The Prudential Series Fund

N-CSR 1 d563375dncsr.htm THE PRUDENTIAL SERIES FUND The Prudential Series Fund

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:		655 Broad Street, 17^th Floor
		Newark, New Jersey 07102

Name and address of agent for service:		Andrew R. French
		655 Broad Street, 17^th Floor
		Newark, New Jersey 07102

Registrant’s telephone number, including area code:		800-225-1852

Date of fiscal year end:		12/31/2018

Date of reporting period:		12/31/2018

Item 1 – Reports to Stockholders

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The Prudential Series Fund


ANNUAL REPORT		December 31, 2018

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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 annuity or variable life insurance contract prospectus to determine which portfolios are available to you.

The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

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The Prudential Series Fund

Table of Contents

Annual Report

December 31, 2018

∎

LETTER TO CONTRACT OWNERS

∎

MARKET OVERVIEW

∎

REPORT OF THE INVESTMENT MANAGERS

∎

BENCHMARK GLOSSARY

∎

PRESENTATION OF PORTFOLIO HOLDINGS

∎

FEES AND EXPENSES

∎

FINANCIAL REPORTS


Section A	Schedule of Investments and Financial Statements

	Conservative Balanced Portfolio	A1
	Diversified Bond Portfolio	A36
	Equity Portfolio	A68
	Flexible Managed Portfolio	A73
	Global Portfolio	A106
	Government Income Portfolio	A114
	Government Money Market Portfolio	A124
	High Yield Bond Portfolio	A127
	Jennison Portfolio	A143
	Natural Resources Portfolio	A147
	Small Capitalization Stock Portfolio	A151
	Stock Index Portfolio	A164
	Value Portfolio	A176
	Glossary	A181

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, 2018

∎

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. 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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

January 31, 2019


Market Overview — unaudited		Annual Report		December 31, 2018

Equity Market Overview

Stock markets worldwide retreated in 2018 and volatility spiked late in the year, triggered by uncertainties regarding interest rates, a potential trade war, slowing global economic growth, geopolitical issues, and other challenges.

In the US, the broad-based Russell 3000^® Index and the S&P 500^® Index returned -5.24% and -4.38%, respectively, for the year but held up better than international stocks in general. Equities trading in developed markets outside the US and Canada, as measured by the MSCI EAFE Index, fell 13.79%. Stocks in emerging markets reversed course. After posting strong gains in 2017, the MSCI Emerging Markets Index finished down 14.58%. (Returns are in US dollars, excluding dividends.)

Global economy and interest rates

In contrast to 2017’s global synchronized growth, 2018 saw global divergence characterized by strength in the US and weakness in many other parts of the world. In the US, economic growth remained healthy but decelerated slightly in the third quarter. Corporate earnings were generally solid, companies continued to hire at a strong pace, and inflation remained benign. The US dollar strengthened against most other currencies, and oil prices declined.

Several emerging markets economies, such as Argentina and Turkey, faced severe challenges in 2018, and the performance of other countries ran somewhere in between. In China, economic activity weakened and imports slowed, which had a negative impact on other economies, particularly in Europe. In the United Kingdom, wage growth improved, but uncertainty regarding negotiations to leave the European Union (known as Brexit) created a drag on stock prices. The European political backdrop became a bit more volatile late in the period, spurred by concerns over cohesion in the eurozone after the election of an anti-establishment coalition government in Italy that is skeptical of the European Union and widespread protests over stagnant wage growth in France.

Against this backdrop of decelerating economic activity and rising global tensions, many central banks continued to tighten monetary policy. In December, the Federal Reserve (the Fed) raised its target range for the short-term federal funds rate to 2.25%-2.50%, following three rate hikes earlier in the year. The Fed also moderated its median projection for additional hikes going forward. A number of other central banks raised rates or took other measures to reduce stimulus during the period. For example, the European Central Bank ended its quantitative-easing bond-purchase program. China, however, moved to stimulate its economy, but these efforts did not gain much traction.

Equity markets fluctuated sharply

Volatility picked up significantly in 2018. The CBOE Volatility Index (VIX) average annual level rose sharply in 2018 from 2017.

After kicking off the new year with a rally, stocks declined in early February in reaction to reports of a sharp rise in average hourly earnings, which triggered concerns about inflation and that the Fed might raise rates more quickly than expected. Stocks recovered but sold off again in March, driven by the prospects of a tariff trade war between the US and China. US companies continued to report strong earnings, fueled in part by tax cuts, and stocks advanced throughout the spring and summer.

In the fall, sentiment shifted again in reaction to Fed comments perceived by many as hawkish, weaker growth in China, and rising trade tensions. The price of a 42-gallon barrel of Current West Texas Intermediate Crude Oil, which had risen to $76.41 per barrel in October, plunged to $45.41 at the end of the period. The year closed with a US government shutdown due to a stalemate over border wall funding. Many of these factors exerted pressure on European, Japanese, and US stock markets.

Strong earnings growth, combined with the market decline, brought US equity valuations down from elevated levels to multiples more in line with long-term averages. For the fourth quarter, the Russell 3000 returned -14.30% and the MSCI EAFE Index returned -12.54%, although the MSCI Emerging Markets Index held up better, declining 7.47%.

Investors’ desire for less-risky assets prompted a rally in US Treasuries in December. The yield on the 10-year note, which moves opposite to its price, ended the year up 28 basis points (0.28%) at approximately 2.68%.

S&P 500: leaders and laggards

Three of the S&P 500’s 11 sectors finished higher during the period. They were Health Care (+6.5%) and Utilities (+4.1%), which include defensive stocks less correlated to the economy, and Consumer Discretionary (+0.8%). Five sectors posted double-digit losses. Energy performed worst (-18.1%), hurt by the sharp drop in oil prices. The next worst-performing sectors were Materials (-14.7%), Industrials (-13.3%), Financials (-13.0%), Communication Services (-12.5%), Consumer Staples (-8.4%), Real Estate (-2.2%), and Information Technology (-0.3%).


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

Growth and larger-cap stocks outperformed their counterparts

During the period, the Russell 3000 Growth Index fell 2.1%, while the Russell 3000 Value Index dropped 8.6%. Stocks with large market capitalizations, as measured by the Russell 1000^® Index, held up best, finishing down 4.8%. The Russell Midcap^® Index fell 9.1%, and the Russell 2000^® Index, which reflects the performance of small-cap stocks, dropped 11.0%. Smaller-capitalized companies often have more debt, making them more susceptible to rising rates.

International equity markets: best and worst performers

For the 12 months, the best-performing countries making up the MSCI Emerging Markets Index were Russia (+0.2%), Brazil (-0.1%), and Malaysia (-6.0%). The worst performers were South Africa (-24.3%), South Korea (-20.5%), and China (-18.7%). For the fourth quarter, Brazil’s market outperformed, returning 13.6%.

For the 12 months, the best-performing developed markets making up the MSCI EAFE Index were Switzerland (-8.2%), Australia (-11.8%), and France (-11.9%). The worst performers were Germany (-21.6%), Italy (-17.0%), and Spain (-15.7%).

Fixed Income Market Overview

Financial markets experienced a volatile year in 2018, particularly riskier assets. The total returns and excess returns on bonds relative to US Treasuries were generally low or negative.

Over the 12-month period, the Bloomberg Barclays US Aggregate Bond Index, a broad measure of the US investment-grade bond market, finished virtually flat with a return of 0.01%. Among key sectors, US agency mortgage-backed securities returned 0.99%, US Treasuries advanced 0.86%, commercial mortgage-backed securities (CMBS) rose 0.78%, Treasury inflation protected securities (TIPS) dropped 1.26%, and investment-grade corporate bonds declined 2.51%.

Municipal bonds rose 1.28%. High yield municipal issues (rated below investment grade) rose 4.76% for the year. However, high yield corporate bonds fell 2.08%.

The Bloomberg Barclays Global Aggregate Bond Index (USD), which reflects performance of investment-grade bonds in developing and emerging markets, declined 0.03%. Emerging markets bonds, as measured by the J.P. Morgan EMBI Global Diversified Index (hard currency), finished down 4.26% for the year.

Bond market highlights

Early in the reporting period, hawkish rhetoric from the Federal Reserve (the Fed), anticipated fiscal stimulus from tax cuts, an increased supply of US Treasuries (particularly shorter-dated issues), and concerns about inflation exerted pressure on the prices of US bonds. These factors sent bond yields, which move in the opposite direction, higher. Later in the first quarter, concerns about trade friction between the US and China put pressure on riskier assets.

In the second quarter, rates diverged. Signs that the US economy was growing at a strong pace sparked concerns that inflation could pick up. The yield on the 10-year US Treasury note rose above 3%. Meanwhile, growth in many other economies weakened. Rising rates in the US and a strong dollar, coupled with trade uncertainty and geopolitical concerns, helped expose structural weaknesses in several emerging markets, and prices of emerging market bonds fell sharply. Yields on Italian bonds rose significantly in reaction to political concerns in Italy.

Although the US economy grew at a healthy pace during the year, growth decelerated in the third quarter and economic activity in the eurozone slowed.

Risk aversion rose late in the period

In the fourth quarter, following a sharp spike in US Treasury bond yields in November, demand for higher-quality US bonds rose — driving their prices higher and yields down — as a result of a flight to quality, whereas riskier US assets such as high yield bonds sold off. The shift in sentiment was triggered by uncertainties regarding the economy amid growing concerns about a potential trade war, Great Britain’s negotiations to leave the European Union (known as Brexit), and perceptions of a hawkish Fed.

In December, the Fed raised its federal funds rate target for the fourth time in 2018 but moderated its median projection for future additional rate hikes. The European Central Bank (ECB) halted its quantitative-easing asset purchases and issued guidance that it does not anticipate raising interest rates at least until after the summer of 2019. The yield on the 10-year US Treasury note fell during the quarter to close the period at 2.68%.

For the fourth quarter, based on returns of the Bloomberg Barclays indexes, US Treasuries returned 2.6%. Agency mortgage-backed securities returned 2.1%, as their spreads widened amid the broad risk-off sentiment and higher net supply. CMBS advanced 1.7%.


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

US corporate bonds — excluding energy — remained supported by robust earnings, strong cash flows, positive economic growth, and tailwinds from tax reform, but underperformed US government securities. For the quarter, US investment-grade corporates returned -0.2%. High yield bonds declined 4.53%, as they were hurt by a drop in oil prices. The municipal bonds sector rose 1.20%. Yields on debt carrying a triple-A rating ended lower on the heels of the rally in US Treasuries.

Emerging markets closed the year at varying stages of economic and political cycles. For the fourth quarter, emerging markets bonds declined 1.26%, based on the return of the J.P. Morgan EMBI Global Diversified Index (hard currency), benefiting in part from a weakening US dollar following its strong rise during the year. Yields on China’s government bonds dropped significantly in November in anticipation of further monetary stimulus. Global investment-grade bonds, based on the Bloomberg Barclays Global Aggregate Bond Index (USD), gained 1.55% in the fourth quarter.

The Prudential Series Fund, Conservative Balanced Portfolio

December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-2.47	%		5.13	%		8.81	%
Blended Index		-1.71			5.44			8.13
S&P 500 Index		-4.38			8.49			13.11

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.

Portfolio performance is net of fund expenses, but not contract 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, performance would be lower.

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Conservative Balanced Portfolio returned -2.47%. The Portfolio underperformed its Blended Index and outperformed the S&P 500 Index.

The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.

What were market conditions during the reporting period?

The reporting period was characterized by the return of market volatility, rising trade tensions, concerns over global economic growth, and fears of an overly aggressive Federal Reserve (the Fed). High valuations and an exceptionally strong start to the year led to a quick correction in US equities in the first quarter, which helped inject a measure of sobriety into the markets. A growing economic growth differential between the US and the rest of the world led to a steady decline in international markets, which failed to bounce back following the early-year volatility.

Escalations in trade uncertainty helped exacerbate the situation and reinforced growth uncertainty. In the meantime, the Fed was quietly unwinding its balance sheet with its quantitative-tightening program, which had the effect of reducing global liquidity and drove investor assets back toward the US, helping support equity prices as well as the dollar.

Off-the-cuff comments by Fed Chairman Jerome Powell at the beginning of the fourth quarter were construed as overly hawkish and triggered a rout in equities as investors feared there would be significant interest rate increases to come. Whether the global economy could weather such aggressive monetary policy was the question on investors’ minds heading into the end of the year and prompted a flight toward safety, as well as the most negative year for global equities since the 2008 global financial crisis.

What strategies or holdings affected the Portfolio’s performance?

Asset allocation decisions had a limited impact on performance in 2018, with positive contributions throughout most of the year offset by a negative fourth quarter. Specifically, this was driven by an overweight (larger percentage than the benchmark index) to equities and an underweight to fixed income.

Equity markets experienced a sudden drawdown in October on the back of slowing global growth and concerns that the Fed would tighten monetary policy too aggressively. Portfolio risk was quickly scaled back. Asset allocation provided positive benefits in the remaining two months of the year, despite continued drawdowns, but failed to fully offset the initial negativity of October.

An off-benchmark allocation to international equities was a negative contributor for the full year as the asset class trailed domestic equities and fixed income by a wide margin. Furthermore, an off-benchmark allocation to Treasury inflation-protected securities (TIPS) slightly detracted as the lack of inflation surprises for the year meant they lagged the fixed income benchmark. Cash was generally kept below the benchmark for much of the year before moving up to a benchmark weight before the market volatility of the fourth quarter.

The negativity of off-benchmark positions was offset by an overall tilt toward domestic equities as US stocks ended the period as the best-performing segment of the benchmark. The bulk of the Portfolio’s underperformance came from negative underlying fund returns, as both the equity and fixed income components trailed their respective benchmarks. At the close of 2018, the Portfolio was positioned with an underweight to equities and an overweight to fixed income and cash.

The Portfolio held several derivatives, including stock futures and Treasury bond futures, to manage liquidity needs for redemptions. These derivatives generally did not affect performance significantly, although they added to returns relative to the benchmark during the period due to a tilt toward fixed income futures heading into the final quarter of the year. The Portfolio also held interest rate swaps, credit default swaps, and forward foreign currency exchange contracts in the various subadviser sleeves.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Diversified Bond Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-0.15	%		3.80	%		6.61	%
Bloomberg Barclays U.S. Aggregate Bond Index		0.01			2.52			3.48

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Diversified Bond Portfolio returned -0.15%. The Portfolio underperformed the Bloomberg Barclays U.S. Aggregate Bond Index.

The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital.

What were market conditions during the reporting period?

The reporting period was inhospitable for the financial markets. Most bond market returns were low or negative, and stock returns were negative as well. The only rising trend seemed to be the level of market volatility. In the end, the most solid performers of 2018 were arguably the defensive US dollar and cash.

In early 2018, the bond market suffered from a tough starting point: a combination of low government yields and tight spreads (yield differentials) that left little room for error. Over the course of the year, the market was buffeted alternately — and at times jointly — by rising government yields and widening spreads. Some of the initial spread widening could easily have been chalked up to normalizing (i.e., spreads may have gotten ahead of fundamentals and were too tight early in 2018). But investor anxiety soon rose, driving spreads wider across virtually all fixed income sectors. As a result, for all but the most defensive bond market segments, total returns and excess returns relative to US Treasuries were generally low or negative for the period.

The global economy moderated in 2018. Looking beyond that single year, the world’s population is aging, debt levels are high, and productivity has been low. But central bankers have been keen to foster growth, and perhaps there were hopes that trends such as globalization and better policy could keep economic results on a sound-enough footing. While growth prospects were looking up a year ago, in hindsight it appears more like the clock had already run out for old-school politicians. The unimpressive economic performance of recent years — along with its uneven distribution — created a new dynamic of heightened voter dissatisfaction, bringing politicians to the fore who are chipping away at policy orthodoxy and taking nationalistic stances. These new politicians are often replacing those who favor geopolitically stabilizing alliances, free trade, and labor mobility. Rising risk premiums in the fixed income and equity markets suggest investors fear that this tilt away from global policy coordination and toward unorthodoxy is likely to result in less predictable, if not subpar, economic results.

What strategies or holdings affected the Portfolio’s performance?

During the reporting period, sector allocation detracted from the Portfolio’s performance, with overweights to high yield bonds, sovereign government bonds, and commercial mortgage-backed securities (CMBS) hurting the most. Underweights to mortgage-backed securities and investment-grade corporate bonds helped offset some of the losses. Individual issue selection was positive, with positioning in high yield bonds, non-agency mortgages, US Treasuries, interest rate swaps, sovereign government bonds, and CMBS adding value. Security selection in emerging markets debt and investment-grade corporate bonds hurt performance. Within holdings of corporate bonds, the Portfolio benefited from positions in the cable & satellite sector and its underweight to the consumer non-cyclical sector, while positions in the foreign non-corporate and automotive sectors weighed on performance. The combined impact of the Portfolio’s duration and yield curve strategies had a negligible impact on performance for the period. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.

During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the period. In addition, the Portfolio used futures and options to manage interest rate risk, a more efficient way of managing this type of risk than through the purchase and sale of cash bonds. The use of futures and options collectively added to performance. In addition, the Portfolio traded foreign exchange derivatives, which had a modestly negative impact on performance during the period. The Portfolio used credit default swaps to hedge credit risk or to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had a positive impact on performance during the period.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Equity Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-4.85	%		6.49	%		11.99	%
Portfolio: Class II		-5.23			6.06			11.54
Russell 1000^® Index		-4.78			8.21			13.28
S&P 500 Index		-4.38			8.49			13.11

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

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2018, Equity Portfolio Class I shares returned -4.85% and Class II shares returned -5.23%. The Portfolio’s Class I & II shares underperformed the Russell 1000 Index, and the S&P 500 Index.

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Market concerns surrounding rising inflation expectations and monetary tightening, along with uncertainty about the Trump administration’s policy initiatives, caused equity markets to decline early in 2018. Those concerns seemed to subside, as most major indices continued their march upward until October. Early in the fourth calendar quarter, market fears surrounding rising interest rates, deteriorating growth prospects in the US and emerging markets, and the escalating odds of a trade war combined to unsettle both domestic and global equity markets.

Volatility returned with a vengeance in 2018, having been muted over the past few years, with the CBOE Volatility Index (the VIX) higher by a sharp 130% during the 12-month period. The energy sector was among the worst-performing sectors within the broad S&P 500 Index, likely a result of West Texas Intermediate (WTI) oil prices falling 24.84% during the year. Prices for most industrial metals also saw double-digit declines, hurting the performance of the materials sector, while health care and utilities were among the few bright spots in 2018.

Despite the narrowing differential between styles toward the end of the year, growth stocks continued to outperform their value peers for the reporting period overall. Gains in the Russell 1000 Growth Index were led by select technology, health care, and consumer company stocks. Sectors with sensitivity to commodities prices and cyclical growth — including materials, energy, and industrials — were weak. Gains in the Russell 1000 Value Index were led by the health care and utilities sectors, while financials and energy detracted from performance.

The S&P 500 (the Index) declined 4.38% in 2018, with the energy, materials, industrials, and financials sectors each posting a double-digit decline. Health care, utilities, information technology, and consumer discretionary were the only sectors to produce positive returns.

What strategies or holdings affected the Portfolio’s performance?

The Portfolio underperformed the Index during the reporting period. On an absolute basis, positions in application software and movies & entertainment contributed positively to performance, while holdings within diversified banks and interactive media & services were among the primary detractors. Relative to the Index, stock selection in aerospace & defense and movies & entertainment helped, while security selection among health care equipment and Internet & direct marketing retail detracted from relative performance.

Notable Portfolio positive contributors included application software maker Microsoft Corp., whose shares performed well. The company posted solid earnings while beating consensus expectations during the past several quarters. This was driven in part by its Commercial Cloud and Azure segments and by a steady personal computer business. Additionally, its Office 365 software drove operating income improvements in the company’s productivity and business process segment. Jennison believes improving top-line growth and expanding profit margins should drive multiple years of accelerated earnings-per-share growth. Shares of Salesforce.com Inc. rose as the company benefited from secular growth drivers, including the shift to cloud computing, increasing corporate focus on customer-facing applications, emergence of mobile as a primary user interface into enterprise applications,

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.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Equity Portfolio

December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited) (Continued)

and increasing demand for analytical capabilities to optimize business decisions and processes. Netflix Inc. continued to raise its long-term competitive barriers with investments in content, resulting in strong subscriber growth and solid evidence of increased pricing and operating leverage. Its shares performed well as the company’s third-quarter earnings and subscriber growth (reported in October) exceeded estimates. Netflix’s guidance for the fourth quarter implied a materially better-than-projected acceleration in growth.

Among the notable detractors in the Portfolio were semiconductor firm Nvidia Corp. Its shares declined in November, reflecting lower-than-anticipated third-quarter revenue from low- and mid-end gaming graphics-processing units. An underlying inventory issue was anticipated to result in a revenue shortfall in the fourth quarter, as the company would not ship more product until the channel has been cleared. Jennison reduced its estimates to reflect the company’s temporary inventory challenge. Further, based on the company’s third-quarter revenue miss and its inability to anticipate the inventory/demand problem, the position was sold during the fourth quarter for what Jennison saw as more attractive investment opportunities.

Conagra Brands Inc. lost ground during the reporting period as the company was weighed down by higher-than-expected cost inflation, higher interest rates, and pricing pressures from retailers. Additionally, the company’s acquisition of Pinnacle Foods Inc., while potentially beneficial for the long term, caused concerns over the short term given Pinnacle’s slowdown in revenue. Investors had become more defensive, as companies with levered balance sheets fell out of favor with the market.

Goldman Sachs Group Inc. underperformed after its shares declined when the firm was issued a limit on shareholder payouts as a result of its “conditional non-objection” grade on the quantitative portion of the Federal Reserve’s annual stress test of capital levels during the period. Additionally, the market negatively reacted to potential repercussions from the indictment of two senior Goldman Sachs executives. While many investors were aware of this indictment, the timing of any settlement and potential charge to the company’s bottom line was unclear. However, at the end of the reporting period, Jennison favored the company for its valuation and multiple businesses that can generate profits, in its view.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Flexible Managed Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-4.18	%		6.04	%		9.86	%
Blended Index		-2.26			6.13			9.25
S&P 500 Index		-4.38			8.49			13.11

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Flexible Managed Portfolio returned -4.18%. The Portfolio underperformed its Blended Index and outperformed the S&P 500 Index.

The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.

What were market conditions during the reporting period?

What strategies or holdings affected the Portfolio’s performance?

The negativity of off-benchmark positions was offset by an overall tilt toward domestic equities, as US stocks ended the period as the best-performing segment of the benchmark. The bulk of the Portfolio’s underperformance came from negative underlying fund returns, as both the equity and fixed income components trailed their respective benchmarks. At the close of 2018, the Portfolio was positioned with an underweight to equities, an overweight to fixed income, and cash at benchmark weight.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Global Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-7.31	%		5.02	%		10.17	%
MSCI World Index (GD)		-8.20			5.14			10.29

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Global Portfolio returned -7.31%. The Portfolio outperformed the MSCI World Index (GD).

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Strained fundamentals and geopolitical tensions across the globe heightened investor concerns, particularly late in 2018. To be sure, tax cuts boosted corporate earnings and US economic growth for much of the year, while the 3.7% unemployment rate remained at historically low levels. The US economy experienced two of the strongest quarters of growth since 2014 during the second and third quarters, and major equity market indices reached all-time highs, only to plunge during the final months of the year. Concerns over trade wars, slowing growth, and falling prices for oil and other commodities led many companies to start lowering their profit forecasts for 2019. Combined with elevated valuations, heightened equity market volatility led markets lower in October and accelerated those losses in December, giving US equity markets their first annual decline since 2008. Specific to active managers, stock correlations dropped early in the year, only to spike again during the fourth quarter. Meanwhile, small-cap stocks and international investments, both emerging and developed, underperformed the S&P 500 Index, providing a headwind to many active managers who were overweight these market segments.

What strategies or holdings affected the Portfolio’s performance?

The subadviser’s performance for the period was mixed. The Portfolio’s domestic and international growth subadvisers outperformed their style-specific benchmarks, while the opposite was true for the Portfolio’s value subadvisers. The Brown Large-Cap Growth sleeve, however, made up for the underperformance of the other managers, as it strongly outperformed the Russell 1000 Growth Index.

Additionally, Brown’s relative outperformance was solely responsible for the outperformance of the overall Portfolio, as it was the only sleeve to outperform the MSCI World Index and to post a positive absolute return in 2018. Brown’s outperformance was driven by strong stock selection within the technology and health care sectors.

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, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		0.63	%		2.44	%		3.54	%
Bloomberg Barclays Government Bond Index		0.88			1.99			2.12

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Government Income Portfolio returned 0.63%. The Portfolio underperformed the Bloomberg Barclays Government Bond Index.

The Portfolio’s investment objective is a high level of income over the long-term consistent with the preservation of capital.

What were market conditions during the reporting period?

After a series of quarterly rate hikes, the Federal Reserve (the Fed) signaled in December that it expects to be less aggressive going forward, cutting its median projection from three rate hikes in 2019 to just two. At the end of 2018, the federal funds target rate, at 2.25%-2.50%, was effectively at the lower end of the 2.50%-3.50% range of Fed estimates for the long-run neutral rate, which explains the Fed’s desire to become more data-dependent going forward. As a base case, PGIM Fixed Income still expects the Fed to hike rates twice in 2019, but with the risks now skewed toward fewer hikes. PGIM Fixed Income anticipates the Fed will likely need to address the “autopilot” nature of its balance sheet reduction in 2019, confronting the question of just how much more liquidity it should drain from the US financial system.

What strategies or holdings affected the Portfolio’s performance?

During the reporting period, security selection was a strong driver of the Portfolio’s performance, highlighted by positions among commercial mortgage-backed securities (CMBS), interest rate swaps, US Treasuries, and collateralized loan obligations. Security selection in mortgage-backed securities (MBS) modestly hurt performance. Sector allocation also hurt performance, with the Portfolio’s overweight in CMBS the largest detractor. An underweight to MBS added value. The Portfolio’s positioning for a flatter US yield curve added to performance, while its tactical duration positioning limited results. Duration is a measure of a bond’s price sensitivity to interest rate changes over time.

The use of interest rate swaps had a positive impact on performance during the period. The Portfolio used futures and options to manage interest rate risk, a more efficient way of managing this type of risk than through the purchase and sale of cash bonds. The use of futures and options collectively had a positive impact on the Portfolio’s performance during the period.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Government Money Market Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	7-Day* Current Net Yield			1-Year			5-Years			10-Years
Portfolio		2.04	%		1.53	%		0.44	%		0.26	%
Lipper (VIP) Money Market Funds Average		N/A			1.31			0.35			0.21
Lipper US Government Money Market Index		N/A			1.22			0.30			0.17

The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of fund expenses, but not contract 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, performance would be lower.

7-DAY CURRENT NET YIELD*

LOGO

For the year ended December 31, 2018, the Government Money Market Portfolio returned 1.53%. The Portfolio outperformed both the Lipper VIP Money Market Funds Average and the Lipper US Government Money Market Index.

The Portfolio’s investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity.

What were market conditions during the reporting period?

In the face of escalating financial market volatility and trade tensions, the global economic expansion moderated during the reporting period from “very strong” to just “solid.” While perhaps disappointing relative to robust expectations from a year ago, the current pace of growth, if sustained, would hardly be distressing for the global economy. Against this backdrop, the Federal Reserve (the Fed) led other central banks in the “punch-bowl snatching” by reducing the size of its balance sheet and increasing interest rates. In 2018, the Fed hiked rates four times, bringing the federal funds target rate to 2.25%-2.50%. Meanwhile, the European Central Bank ended its bond purchase program, and the Bank of Japan continued to reduce its bond purchases after widening the target range on the 10-year Japanese government bond yield. Other central banks (e.g., the Bank of Canada and Bank of England) hiked rates as well.

Turning to the fixed income markets, in early 2018 bonds suffered from a tough starting point: a combination of low government yields and tight spreads (yield differentials) that left little room for error. Over the course of the year, the market was buffeted alternately — and at times jointly — by rising government yields and widening spreads. Some of the initial spread widening could easily have been chalked up to normalizing (i.e., spreads may have gotten ahead of fundamentals and were too tight early in 2018). But investor anxiety soon rose, driving spreads wider across virtually all fixed income sectors. As a result, for all but the most defensive bond market segments, total returns and excess returns relative to US Treasuries were generally low or negative for the period.

Money market funds, however, after years out of the spotlight, attracted investor attention as the yield curve flattened and yields on short-term and cash-like instruments rose to relatively more attractive levels. In addition to the aforementioned increase in the federal funds target rate, the three-month London InterBank Offered Rate (LIBOR) rose from 1.70% to 2.81%. Government money market funds similarly saw their yields rise, from 0.78% to 1.91%, according to Morningstar. Government money market funds’ average return of 1.38% bested most fixed income sectors.

What strategies or holdings affected the Portfolio’s performance?

Throughout the year, with the Fed’s rate hikes generally anticipated and telegraphed, the Portfolio’s weighted average maturity and weighted average life were shortened ahead of the hikes, thus allowing the proceeds to be reinvested after the increases at higher levels in longer maturities.

At different times during 2018, the Portfolio took advantage of wider floating-rate spreads and increased its positions in LIBOR floaters. Floaters are bonds or other types of debt with coupon rates that change with short-term interest rates.

Additionally, the Portfolio’s position in agency discount notes versus repurchase agreements and US Treasuries was shifted tactically based on relative value between the sectors.

*	Source: iMoneyNet, Inc. based on 93 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Government Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/25/2018.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

An investment in the Government 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, High Yield Bond Portfolio

December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-1.26	%		4.39	%		10.38	%
Bloomberg Barclays US High Yield 1% Issuer Capped Index		-2.21			3.80			11.14

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the High Yield Bond Portfolio returned -1.26%. The Portfolio outperformed the Bloomberg Barclays US High Yield 1% Issuer Capped Index.

The Portfolio’s objective is high total return.

What were market conditions during the reporting period?

The US high yield bond market began 2018 with a strong tone, moving higher early in the year on optimism that domestic tax reform would fuel economic growth. Volatility in equities and a sharp rise in the CBOE Volatility Index (VIX), however, spooked investors and caused credit spreads to widen. (Credit spreads are yield differentials between corporate bonds and US Treasury securities of comparable maturity.) After some mixed results early in the second quarter, the market steadied as the quarter progressed, posting solid results as most other fixed income sectors retreated. High yield bonds began the third quarter in slightly negative territory amid light volumes, no new deals, and pressures from the high-grade and emerging markets sectors. With a pause in emerging markets stresses and hope for US/China trade talks, high yield spreads tightened to near-decade lows at the end of the third quarter. In the fourth quarter, mounting global tensions and fears that the Fed was hiking rates too quickly spurred a significant decline in the high yield bond market. For the reporting period, the Bloomberg Barclays 1% Issuer Constrained Index returned -2.21%. In terms of quality, single-B rated credits fared the best, posting a total return of -1.31%, while BBs and CCCs returned -2.41% and -3.84%, respectively.

In general, global default activity continued to slow. The Moody’s Investors Services 12-month US speculative-grade default rate ended December at 2.8%, the lowest level since May 2015. As 2018 concluded, the speculative-grade corporate bond market saw 77 defaults, compared to 104 defaults in 2017. Looking ahead, Moody’s expects defaults to trend lower over the next few months before gradually rising.

What strategies or holdings affected the Portfolio’s performance?

During the reporting period, the Portfolio’s relative outperformance was driven mostly by broad-based issue selection, principally within the electric utilities, technology, and upstream energy sectors. A few of the overall largest single-name contributors included overweights to NRG Energy and Dynegy (both electric utilities), McAfee (technology), MEG Energy (upstream energy), and BMC Software (technology). An underweight to Weatherford International also boosted returns. This was partially offset by issue selection within metals & mining and cable & satellite, driven mostly by an overweight to Dish Network, which hurt the Portfolio’s performance. Overweights to Digicel (telecom) and Alta Mesa Resources (upstream energy) were the largest single-name detractors from returns.

The Portfolio also benefited from strong industry selection, highlighted by an overweight to the electric utilities sector, coupled with underweights to upstream energy and banking. This was partially offset by the Portfolio having, on average, more risk than the benchmark index, which detracted from returns as spreads widened during the year.

During the period, the Portfolio used US Treasury futures to manage interest rate risk, a more efficient way of managing this type of risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the period.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Jennison Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-0.78	%		10.51	%		15.52	%
Portfolio: Class II		-1.18			10.07			15.07
Russell 1000^® Growth Index		-1.51			10.40			15.29
S&P 500 Index		-4.38			8.49			13.11

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

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2018, the Jennison Portfolio Class I shares returned -0.78% and Class II shares returned -1.18%. The Portfolio’s Class I & II shares outperformed the Russell 1000 Growth Index and the S&P 500 Index.

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

As 2018 began, global gross domestic product (GDP) growth was accelerating, the labor market was continuing to strengthen, and lower US corporate tax rates were taking effect, helping to boost wages and capital spending. Given the constructive macroeconomic landscape, investors largely overlooked uncertainty created by White House trade and other policy initiatives. A sell-off in the fourth quarter reflected mounting investor concerns about a range of issues, including the pace of US interest rate increases and its effect on US economic growth, decelerating expansion in non-US economies, the state of US trade alliances with major trading partners — most notably the rising risk of a trade war with China — and discord and uncertainty about domestic policy, which culminated in a partial US government shutdown as the year drew to a close.

Gains in the Russell 1000 Growth benchmark were led by select technology, health care, and consumer companies. Sectors with sensitivity to commodities prices and cyclical growth — including materials, energy, and industrials — were weaker performers.

What strategies or holdings affected the Portfolio’s performance?

Information technology positions were strong contributors to Portfolio performance. Digital transformation of the enterprise has become a strategic imperative across many industries and companies. Cloudware, therefore, is no longer primarily a tool to reduce infrastructure costs. Portfolio holdings salesforce.com, Inc., Red Hat, Inc., Adobe, Inc., Microsoft Corp., and Workday, Inc. offer mission-critical applications and services that are creating fundamental changes in the way businesses operate.

Payment companies continue to benefit from the long-term shift from cash to electronic credit and debit transactions. Both Mastercard, Inc. and Visa, Inc. have strong market positions with high barriers to entry, pricing power, and solid operating leverage potential. Portfolio holdings Square, Inc. and PayPal Holdings, Inc. offer innovative low-cost, high-security, easy-to-use digital payment options, particularly for mobile and online transactions.

The Portfolio’s long-term holdings in US Internet companies also meaningfully contributed to performance. Video-streaming service Netflix, Inc. continued to raise its competitive barriers with investments in content, resulting in strong subscriber growth and increased pricing and operating leverage, while e-commerce stalwart Amazon.com, Inc. benefited from its market position, scale, and execution.

Conversely, Chinese Internet companies fared poorly. While the various business segments of Alibaba Group Holding Ltd. are providing significant revenue growth, the stock declined on high business investment spending and Chinese government efforts to tighten control of Internet and non-traditional financial companies. Tencent Holdings Ltd. was negatively affected by new restrictions on video-game approvals implemented by Chinese authorities. Jennison expects these restrictions will be lessened in the coming year.

After strong performance through much of 2017 and 2018, NVIDIA Corp. fell significantly in 2018’s final quarter, reflecting issues with its gaming graphics processing unit inventory, exacerbated by a slowdown in the cryptocurrency mining boom.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Jennison Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited) (Continued)

Ongoing concerns about data breaches, user-data usage, and increased government scrutiny, coupled with maturation of user engagement, continued to loom over social media giant Facebook, Inc. However, the company has significant scale benefits and untapped monetization opportunities that Jennison believes should drive better-than-average growth even with higher costs and restriction in data usage.

Boeing Co. was a top performer in industrials. Its stock gain reflected 787 Dreamliner commercial-jet cash generation, solid cost controls, and ramped-up 737 jet production. The company’s extensive order backlog reflects strong global demand, in Jennison’s view.

Performance of the Portfolio’s health care positions improved over the year, as the “hot-button” topic of drug pricing subsided. However, Jennison expects the issue will re-emerge as political winds change once again. Advances in systems for analyzing genetic variation and function continue to broaden the understanding of the clinical significance of the genome. Portfolio holding Illumina, Inc. is at the forefront of this technology. Some of the Portfolio’s biopharmaceutical positions experienced setbacks. Bristol-Myers Squibb Co. fell on signs that its non-small cell lung cancer program has been eclipsed by a competing franchise. However, Jennison believes the likely broad adoption of immuno-oncology therapy in multiple settings points to avenues of future growth for Bristol-Myers.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Natural Resources Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-18.07	%		-10.02	%		1.53	%
Portfolio: Class II		-18.42			-10.38			1.11
Blended Index		-16.12			-2.57			4.43
MSCI World Index (GD)		-8.20			5.14			10.29

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2018, the Natural Resources Portfolio Class I returned -18.07% and Class II
returned -18.42%. The Portfolio’s Class I & II shares underperformed both the Blended Index and the MSCI World Index.

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Crude oil markets fell sharply in the fourth quarter of 2018 by more than 40% to a Brent crude level of $50 a barrel, after hitting a high for the year of $85 a barrel in September. The significant drop in crude oil prices was a result of many factors, including pressure from the Trump administration on Saudi Arabia to maintain production, Iranian supplies that were higher than expected despite US sanctions, strong production from US shale producers, and worries of a possible global economic slowdown impacting global demand. Largely due to the fourth-quarter drop in energy prices, the MSCI World Energy Index was one of the worst-performing MSCI World sector indexes for the year, down more than 15%. Meanwhile, similar worries of a global economic contraction, particularly in China, and ongoing trade tensions helped push the MSCI World Materials Index down in the fourth quarter as well. Largely impacted by the fourth-quarter sell-off, the MSCI World Materials Index fell more than 16% for the calendar year.

What strategies or holdings affected the Portfolio’s performance?

For the period, the Portfolio underperformed its benchmark, the MSCI World Energy/Materials (60%/40%) Index. The underperformance was largely a result of adverse selection of the Portfolio’s energy and materials stocks.

The majority of the largest positive contributors to relative performance came from positioning in stocks that enjoyed positive absolute returns in the calendar year, despite the double-digit decline for the benchmark. Positions in large miner BHP Group Ltd., railroad company Union Pacific Corp., specialty chemical producer Ecolab Inc., and US exploration and production company ConocoPhillips all benefited the Portfolio.

The primary detractors included some energy-related positions. Positions in two oil and gas exploration and production companies Concho Resources Inc. and Diamondback Energy Inc., and pressure pumper RPC Inc., all detracted from performance. US pressure pumpers were negatively impacted by weak Permian Basin demand and improved efficiency of the producers themselves, which needed less pressure pumping services to produce the same equivalent amount of energy. Lithium producer Albemarle Corp. and aluminum producer Alcoa Corp., which was negatively impacted by weak aluminum pricing, also hurt the Portfolio’s performance. The Portfolio no longer held positions in RPC Inc. and Alcoa Corp. at the end of the reporting period.

It was a difficult year for natural resource-related funds in general, largely due to the significant sell-off in the underlying commodities during the fourth quarter. During the latter part of the third quarter and throughout the fourth quarter, the subadviser lowered the Portfolio’s energy beta and layered in more energy exposure with yield support, such as that provided by integrated oil companies. While this action helped contain losses, pressures on the natural resource sectors led to a significant absolute decline for the Portfolio in the fourth quarter.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Natural Resources Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited) (Continued)

At the end of the reporting period, the subadviser hoped the worst was over for the more cyclical sectors of the economy, as valuations for some energy and materials stocks had reached levels not seen since the Great Recession in 2007-2008. Given these depressed valuations and prospects for the stabilization of energy prices after the major decline, the subadviser anticipated layering in more beta in the Portfolio at the beginning of 2019. The subadviser’s focus in adding exposure was on relatively higher-quality energy names, particularly oil and gas exploration and production companies. At the end of the reporting period, the Portfolio’s position in energy was in line with the benchmark, while its position in materials was underweight. The Portfolio remained globally diversified.

Regarding derivatives, the Portfolio at times utilized a buy-write strategy with call options written against long equity positions. At any given time, call options may be written against some of the Portfolio’s long exposure, depending on the premium income, market volatility, and outlook on the underlying positions. In 2018, these call positions detracted from the Portfolio’s overall performance on an absolute basis, though the negative impact was modest.

For a complete list of holdings, please refer to the Schedule of Investments section of this report.

The Prudential Series Fund, Small Capitalization Stock Portfolio

December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-8.73	%		6.09	%		13.29	%
S&P SmallCap 600 Index		-8.48			6.34			13.61

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Small Capitalization Stock Portfolio returned -8.73%. The Portfolio underperformed the S&P SmallCap 600 Index.

The Portfolio’s investment objective is long-term growth of capital.

What were the market conditions during the reporting period?

Throughout 2018, value strategies struggled in the US and around the world. In general, reasonably priced companies with good fundamentals underperformed expensive companies with weak or deteriorating fundamentals, based on the subadviser’s measures. The lack of consistent payoff to sound fundamentals is likely the result of high levels of uncertainty facing US markets, including the interest rate environment, tariff negotiations, and weak overseas economies, all feeding into slowing profit growth for US companies.

What strategies or holdings affected the Portfolio’s performance?

Potential tracking error differences (the difference between the return of the Portfolio and that of the benchmark), brokerage costs, and other costs and expenses may cause the Portfolio’s return to be lower than that of its benchmark, the S&P SmallCap 600^® Index (the Index). For the period, the Portfolio slightly underperformed the Index.

The largest sectors in both the Portfolio and Index were industrials and financials. Health care was the largest contributor to Portfolio return, and it was the only sector to post a gain in 2018. Energy, materials, and industrials were among the largest detractors.

In terms of positions, Nektar Therapeutics and HealthEquity Inc. were the largest contributors to Portfolio performance, while US Silica Holdings Inc. and LCI Industries were the largest detractors. Nektar was eliminated from the Portfolio because the stock migrated to the S&P 500 Index. HealthEquity was also sold, as it migrated to the S&P 400 Index.

The Portfolio closely tracked the Index. Most of the buy or sell trades and trades made to increase or decrease the number of shares held in a position were traded as close as possible to the end of the market day in order to more closely track the Index. Income from securities lending consistently adds to Portfolio returns. The income is greater for small-cap stocks because it is often more difficult for investors to borrow stock of some of these companies that are generally not as widely traded as large-cap stocks.

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

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, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-4.61	%		8.24	%		12.81	%
S&P 500 Index		-4.38			8.49			13.11

$10,000 INVESTED OVER 10 YEARS

LOGO

For the year ended December 31, 2018, the Stock Index Portfolio returned -4.61%. The Portfolio underperformed the S&P 500 Index.

The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.

What were market conditions during the reporting period?

What strategies or holdings affected the Portfolio’s performance?

Potential tracking error differences (the difference between the return of the Portfolio and that of the benchmark), brokerage costs, and other costs and expenses caused the Portfolio’s return to be slightly lower than that of the S&P 500 Index (the Index).

Information technology remained the largest sector in both the Portfolio and the Index, while energy was the largest detractor to performance. Microsoft Corp. and Amazon.com Inc. were the largest contributors to Portfolio performance, while Facebook Inc. and General Electric Co. were the largest detractors.

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

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Value Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-9.88	%		3.49	%		10.70	%
Portfolio: Class II		-10.23			3.08			10.26
Russell 1000^® Value Index		-8.27			5.95			11.18
S&P 500 Index		-4.38			8.49			13.11

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

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2018, the Value Portfolio Class I shares returned -9.88% and Class II shares returned -10.23%. The Portfolio’s Class I & II shares underperformed the Russell 1000 Value Index and S&P 500 Index.

The Portfolio’s investment objective is capital appreciation.

What were market conditions during the reporting period?

Despite the narrowing differential between styles toward the end of the year, growth stocks continued to outperform their value peers for the reporting period overall. The Russell 1000 Value Index (the Index) returned -10.55% in 2018, dragged lower by the industrials, energy, and materials sectors. All sectors fell during the year with the exceptions of health care and utilities, while the information technology sector produced a modest gain.

What strategies or holdings affected the Portfolio’s performance?

Relative to the Index, the Portfolio’s stock selection and allocation within health care equipment were among the primary drivers of underperformance. A slight overweight allocation to consumer finance holdings along with security selection among biotechnology and cable & satellite names also hurt. Conversely, the Portfolio’s overweight allocation and stock selection within pharmaceuticals contributed positively. Allocations to interactive media & services and industrial conglomerates also helped.

Top contributors for the reporting period included pharmaceutical companies Eli Lilly & Co. and Merck & Co., as both firms announced solid quarterly earnings and beat consensus estimates during the period. Merck announced a $10 billion share-buyback program and raised its dividend by 15%. Eli Lilly’s diabetes team generated a series of positive news in October after showing robust phase 2 results for its GIP/GLP-1 co-agonist (LY’176) for the treatment of diabetes, supporting its decision to roll out eight phase 3 clinical trials in late 2018 and early 2019. Media and entertainment firm Twenty-First Century Fox Inc. gained ground during the reporting period after news of a potential deal to sell most of its assets to The Walt Disney Co. and leave behind its news and sports assets. The company is engaged in the production and licensing of news and sports, the operation of broadcast television stations and network programming in the US, and the production and acquisition of movies for distribution and licensing.

Top detractors for the reporting period included consumer staples firm Conagra Brands Inc., which lost ground as the company was weighed down by higher-than-expected cost inflation, higher interest rates, and pricing pressures from retailers. Additionally, the company’s acquisition of Pinnacle Foods Inc., while potentially beneficial for the long term, caused concerns over the short term given Pinnacle’s slowdown in revenue. Investors had become more defensive, as companies with levered balance sheets fell out of favor with the market.

For a complete list of holdings, refer to the Schedule of Investments section of this report.


The Prudential Series Fund, Value Portfolio		December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited) (Continued)

For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund

Benchmark Glossary — unaudited

December 31, 2018

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.

For Russell Indexes: Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell^® is a trademark of Russell Investment Group.

Bloomberg Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the US Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years.

Bloomberg Barclays US Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds.

Bloomberg Barclays US High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of US 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.

Lipper US Government Money Market Index invests principally in financial instruments issued or guaranteed by the US government, its agencies, or its instrumentalities, with dollar-weighted average maturities of less than 90 days.

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. Returns for the Lipper Average reflect the deduction of operating expenses.

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.

PSF Conservative Balanced Portfolio Blended Index consists of the S&P 500 Index (50%), the Bloomberg Barclays US Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the US Treasury with maturities of three months, excluding zero coupon strips.

PSF Flexible Managed Portfolio Blended Index consists of the S&P 500 Index (60%), the Bloomberg Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the FTSE 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.

PSF Natural Resources Portfolio Blended Index consists of MSCI (Morgan Stanley Capital International) World Energy Index (ND) (60%), is an unmanaged capitalization-weighted index that is designed to capture the large and mid-cap segments across twenty-three Developed Markets countries. All securities in the index are classified in the Energy sector. MSCI (Morgan Stanley Capital International) World Materials Energy Index (ND) (40%), is an unmanaged capitalization-weighted index that is designed to capture the large and mid-cap segments across twenty-three Developed Markets countries. All securities in the index are classified in the Materials sector.

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.

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.

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 over 500 stocks generally representative of the broad stock market.

S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks.

The Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

December 31, 2018


Conservative Balanced Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	1.7%
Apple, Inc.	1.5%
U.S. Treasury Inflation Indexed Bonds, TIPS	1.4%
Amazon.com, Inc.	1.3%
Berkshire Hathaway, Inc. (Class B Stock)	0.9%


Diversified Bond Portfolio
Fund Composition	(% of Net Assets	)
Corporate Bonds	35.5%
Asset-Backed Securities	28.2%
Commercial Mortgage-Backed Securities	13.0%
Sovereign Bonds	6.2%
Residential Mortgage-Backed Securities	4.4%


Equity Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	4.0%
JPMorgan Chase & Co.	3.5%
AstraZeneca PLC	3.4%
Boeing Co. (The)	3.2%
Amazon.com, Inc.	3.0%


Flexible Managed Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	2.3%
Apple, Inc.	1.5%
JPMorgan Chase & Co.	1.3%
Alphabet, Inc. (Class C Stock)	1.3%
Amazon.com, Inc.	1.1%


Global Portfolio
Top Five Countries	(% of Net Assets	)
United States	58.4%
Japan	6.1%
France	4.7%
United Kingdom	4.6%
Canada	3.0%


Government Income Portfolio
Fund Composition	(% of Net Assets	)
U.S. Government Agency Obligations	44.0%
U.S. Treasury Obligations	22.2%
Commercial Mortgage-Backed Securities	22.2%
Asset-Backed Securities	8.1%
Corporate Bonds	1.4%


High Yield Bond Portfolio
Five Largest Holdings	(% of Net Assets	)
DISH DBS Corp. Gtd. Notes	1.5%
Wind Tre SpA Sr. Sec’d. Notes	1.3%
Clear Channel Worldwide Holdings, Inc. Gtd. Notes, Series B	1.0%
Bombardier, Inc. Sr. Unsec’d. Notes	1.0%
Calpine Corp. Sr. Unsec’d. Notes	1.0%


Jennison Portfolio
Five Largest Holdings	(% of Net Assets	)
Amazon.com, Inc.	5.8%
Microsoft Corp.	5.1%
Mastercard, Inc. (Class A Stock)	3.9%
salesforce.com, Inc.	3.9%
Tencent Holdings Ltd.	3.5%


Natural Resources Portfolio
Five Largest Holdings	(% of Net Assets	)
Exxon Mobil Corp.	6.4%
Chevron Corp.	6.1%
BHP Group Ltd.	4.6%
Royal Dutch Shell PLC (Class A Stock)	4.1%
BP PLC	3.8%


Small Capitalization Stock Portfolio
Five Largest Holdings	(% of Net Assets	)
First Financial Bankshares, Inc.	0.6%
Green Dot Corp. (Class A Stock)	0.6%
Spire, Inc.	0.6%
Selective Insurance Group, Inc.	0.5%
Ingevity Corp.	0.5%


Stock Index Portfolio
Five Largest Holdings	(% of Net Assets	)
Microsoft Corp.	3.6%
Apple, Inc.	3.3%
Amazon.com, Inc.	2.9%
Berkshire Hathaway, Inc. (Class B Stock)	1.8%
Johnson & Johnson	1.6%


Value Portfolio
Five Largest Holdings	(% of Net Assets	)
JPMorgan Chase & Co.	4.8%
Pfizer, Inc.	3.1%
Bank of America Corp.	2.8%
Chevron Corp.	2.8%
American Electric Power Co., Inc.	2.6%

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, 2018

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, 2018 through December 31, 2018.

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, 2018		Ending Account Value December 31, 2018		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*
Conservative Balanced (Class I)	Actual	$	1,000.00	$	970.30		0.59	%	$	2.93
	Hypothetical	$	1,000.00	$	1,022.23		0.59	%	$	3.01
Diversified Bond (Class I)	Actual	$	1,000.00	$	1,015.50		0.44	%	$	2.24
	Hypothetical	$	1,000.00	$	1,022.99		0.44	%	$	2.24
Equity (Class I)	Actual	$	1,000.00	$	898.00		0.47	%	$	2.25
	Hypothetical	$	1,000.00	$	1,022.84		0.47	%	$	2.40
Equity (Class II)	Actual	$	1,000.00	$	896.10		0.87	%	$	4.16
	Hypothetical	$	1,000.00	$	1,020.82		0.87	%	$	4.43
Flexible Managed (Class I)	Actual	$	1,000.00	$	951.20		0.63	%	$	3.10
	Hypothetical	$	1,000.00	$	1,022.03		0.63	%	$	3.21
Global (Class I)	Actual	$	1,000.00	$	900.10		0.77	%	$	3.69
	Hypothetical	$	1,000.00	$	1,021.32		0.77	%	$	3.92
Government Income (Class I)	Actual	$	1,000.00	$	1,016.80		0.50	%	$	2.54
	Hypothetical	$	1,000.00	$	1,022.68		0.50	%	$	2.55
Government Money Market (Class I)	Actual	$	1,000.00	$	1,009.00		0.34	%	$	1.72
Government Money Market (Class I)	Hypothetical	$	1,000.00	$	1,023.49		0.34	%	$	1.73
High Yield Bond (Class I)	Actual	$	1,000.00	$	978.30		0.57	%	$	2.84
	Hypothetical	$	1,000.00	$	1,022.33		0.57	%	$	2.91
Jennison (Class I)	Actual	$	1,000.00	$	892.80		0.62	%	$	2.96
	Hypothetical	$	1,000.00	$	1,022.08		0.62	%	$	3.16

The Prudential Series Fund

Fees and Expenses — unaudited (continued)

December 31, 2018


The Prudential Series Fund Portfolios		Beginning Account Value July 1, 2018		Ending Account Value December 31, 2018		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*

Jennison (Class II)	Actual	$	1,000.00	$	891.00		1.02	%	$	4.86
	Hypothetical	$	1,000.00	$	1,020.06		1.02	%	$	5.19

Natural Resources (Class I)	Actual	$	1,000.00	$	809.10		0.51	%	$	2.33
	Hypothetical	$	1,000.00	$	1,022.63		0.51	%	$	2.60

Natural Resources (Class II)	Actual	$	1,000.00	$	807.40		0.91	%	$	4.15
	Hypothetical	$	1,000.00	$	1,020.62		0.91	%	$	4.63

Small Capitalization Stock (Class I)	Actual	$	1,000.00	$	835.30		0.38	%	$	1.76
Small Capitalization Stock (Class I)	Hypothetical	$	1,000.00	$	1,023.29		0.38	%	$	1.94

Stock Index (Class I)	Actual	$	1,000.00	$	930.20		0.31	%	$	1.51
	Hypothetical	$	1,000.00	$	1,023.64		0.31	%	$	1.58

Value (Class I)	Actual	$	1,000.00	$	916.20		0.43	%	$	2.08
	Hypothetical	$	1,000.00	$	1,023.04		0.43	%	$	2.19

Value (Class II)	Actual	$	1,000.00	$	914.30		0.83	%	$	4.00
	Hypothetical	$	1,000.00	$	1,021.02		0.83	%	$	4.23

* 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, 2018 and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2018 (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				as of December 31, 2018


LONG-TERM INVESTMENTS — 86.4%
COMMON STOCKS — 45.7%	Shares		Value
Aerospace & Defense — 1.1%
Arconic, Inc.		21,480	$	362,153
Boeing Co. (The)		26,950		8,691,375
General Dynamics Corp.		14,100		2,216,661
Harris Corp.		5,900		794,435
Huntington Ingalls Industries, Inc.		2,200		418,682
L3 Technologies, Inc.		4,200		729,372
Lockheed Martin Corp.		12,480		3,267,763
MTU Aero Engines AG (Germany)		682		124,297
Northrop Grumman Corp.		8,862		2,170,304
Raytheon Co.		14,400		2,208,240
Safran SA (France)		448		54,166
Textron, Inc.		12,500		574,875
Thales SA (France)		144		16,851
TransDigm Group, Inc.*		2,500		850,150
United Technologies Corp.		40,802		4,344,597

				26,823,921

Air Freight & Logistics — 0.3%
C.H. Robinson Worldwide, Inc.(a)		7,300		613,857
Expeditors International of Washington, Inc.		8,600		585,574
FedEx Corp.		12,280		1,981,132
SG Holdings Co. Ltd. (Japan)		1,300		33,694
United Parcel Service, Inc. (Class B Stock)		35,000		3,413,550

				6,627,807

Airlines — 0.2%
Alaska Air Group, Inc.(a)		6,500		395,525
American Airlines Group, Inc.		20,300		651,833
Delta Air Lines, Inc.		31,700		1,581,830
Deutsche Lufthansa AG (Germany)		1,547		35,148
International Consolidated Airlines Group SA (United Kingdom)		1,614		12,812
Japan Airlines Co. Ltd. (Japan)		3,500		124,040
Southwest Airlines Co.		26,000		1,208,480
United Continental Holdings, Inc.*		11,600		971,268

				4,980,936

Auto Components — 0.1%
Aptiv PLC		13,400		825,038
BorgWarner, Inc.		9,600		333,504
Cie Generale des Etablissements Michelin SCA (France)		231		22,970
Denso Corp. (Japan)		700		30,948
Goodyear Tire & Rubber Co. (The)		11,500		234,715
Koito Manufacturing Co. Ltd. (Japan)		100		5,126

				1,452,301

Automobiles — 0.2%
Ferrari NV (Italy)		166		16,571
Fiat Chrysler Automobiles NV (United Kingdom)*		1,497		21,770
Ford Motor Co.		197,185		1,508,465
General Motors Co.		66,100		2,211,045
Harley-Davidson, Inc.		7,900		269,548
Honda Motor Co. Ltd. (Japan)		4,100		107,686


COMMON STOCKS (continued)	Shares		Value
Automobiles (continued)
Isuzu Motors Ltd. (Japan)		900	$	12,646
Mitsubishi Motors Corp. (Japan)		2,500		13,590
Peugeot SA (France)		6,857		146,615
Suzuki Motor Corp. (Japan)		2,300		116,216
Toyota Motor Corp. (Japan)		3,500		203,180
Volkswagen AG (Germany)		45		7,193

				4,634,525

Banks — 2.6%
ABN AMRO Group NV (Netherlands), CVA, 144A		948		22,328
Australia & New Zealand Banking Group Ltd. (Australia)		4,465		76,918
Bank Leumi Le-Israel BM (Israel)		20,968		126,624
Bank of America Corp.		467,921		11,529,573
Bank of Ireland Group PLC (Ireland)		21,645		120,557
Bank of Queensland Ltd. (Australia)		11,201		76,550
BB&T Corp.		39,000		1,689,480
BNP Paribas SA (France)		1,557		70,546
BOC Hong Kong Holdings Ltd. (China)		5,500		20,377
Citigroup, Inc.		126,835		6,603,030
Citizens Financial Group, Inc.		24,000		713,520
Comerica, Inc.		8,200		563,258
Commonwealth Bank of Australia (Australia)		189		9,625
DBS Group Holdings Ltd. (Singapore)		2,700		46,869
DNB ASA (Norway)		1,450		23,291
Fifth Third Bancorp		32,821		772,278
Hang Seng Bank Ltd. (Hong Kong)		1,100		24,541
HSBC Holdings PLC (United Kingdom)		14,599		120,703
Huntington Bancshares, Inc.		54,536		650,069
ING Groep NV (Netherlands)		5,789		62,563
Intesa Sanpaolo SpA (Italy)		9,392		20,969
JPMorgan Chase & Co.		169,345		16,531,459
KeyCorp.		51,400		759,692
Lloyds Banking Group PLC (United Kingdom)		108,930		71,925
M&T Bank Corp.		7,300		1,044,849
Mebuki Financial Group, Inc. (Japan)		3,700		9,802
Mediobanca Banca di Credito Finanziario SpA (Italy)		13,648		115,920
Mitsubishi UFJ Financial Group, Inc. (Japan)		37,600		184,218
Mizuho Financial Group, Inc. (Japan)		33,500		51,966
Nordea Bank Abp (Finland)		4,691		39,521
People’s United Financial, Inc.		16,500		238,095
PNC Financial Services Group, Inc. (The)		23,433		2,739,552
Raiffeisen Bank International AG (Austria)		4,372		111,381
Regions Financial Corp.		52,003		695,800
Resona Holdings, Inc. (Japan)		30,500		146,832
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		2,447		23,843
Societe Generale SA (France)		2,623		83,968
Sumitomo Mitsui Financial Group, Inc. (Japan)		1,900		63,027
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		500		18,283

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Banks (continued)
SunTrust Banks, Inc.		23,200	$	1,170,208
SVB Financial Group*		2,700		512,784
Svenska Handelsbanken AB (Sweden) (Class A Stock)		3,537		39,510
Swedbank AB (Sweden) (Class A Stock)		1,260		28,211
U.S. Bancorp		77,185		3,527,355
United Overseas Bank Ltd. (Singapore)		7,300		131,511
Wells Fargo & Co.		218,364		10,062,213
Zions Bancorp NA		9,450		384,993

				62,130,587

Beverages — 0.9%
Asahi Group Holdings Ltd. (Japan)		1,300		50,455
Brown-Forman Corp. (Class B Stock)		8,475		403,241
Coca-Cola Co. (The)		192,801		9,129,127
Coca-Cola European Partners PLC (United Kingdom)		3,500		160,475
Constellation Brands, Inc. (Class A Stock)		8,500		1,366,970
Diageo PLC (United Kingdom)		297		10,588
Kirin Holdings Co. Ltd. (Japan)		6,900		144,072
Molson Coors Brewing Co. (Class B Stock)		9,700		544,752
Monster Beverage Corp.*		20,000		984,400
PepsiCo, Inc.		71,307		7,877,997
Treasury Wine Estates Ltd. (Australia)		1,144		11,918

				20,683,995

Biotechnology — 1.2%
AbbVie, Inc.		76,300		7,034,097
Alexion Pharmaceuticals, Inc.*		11,300		1,100,168
Amgen, Inc.		32,637		6,353,445
Biogen, Inc.*		10,160		3,057,347
Celgene Corp.*		35,400		2,268,786
CSL Ltd. (Australia)		65		8,500
Gilead Sciences, Inc.		65,300		4,084,515
Incyte Corp.*		9,100		578,669
Regeneron Pharmaceuticals, Inc.*		3,940		1,471,590
Vertex Pharmaceuticals, Inc.*		12,900		2,137,659

				28,094,776

Building Products — 0.1%
A.O. Smith Corp.		7,800		333,060
Allegion PLC		5,133		409,151
Daikin Industries Ltd. (Japan)		400		42,465
Fortune Brands Home & Security, Inc.		6,600		250,734
Johnson Controls International PLC		46,622		1,382,342
Kingspan Group PLC (Ireland)		229		9,841
Masco Corp.		15,800		461,992

				2,889,585

Capital Markets — 1.3%
3i Group PLC (United Kingdom)		12,082		119,280
Affiliated Managers Group, Inc.		2,600		253,344
Ameriprise Financial, Inc.		7,220		753,551
Bank of New York Mellon Corp. (The)		46,358		2,182,071
BlackRock, Inc.		6,200		2,435,484


COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
Cboe Global Markets, Inc.		5,900	$	577,197
Charles Schwab Corp. (The)		60,550		2,514,642
CME Group, Inc.		17,900		3,367,348
E*TRADE Financial Corp.		12,820		562,542
Franklin Resources, Inc.(a)		15,200		450,832
Goldman Sachs Group, Inc. (The)		17,700		2,956,785
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		1,700		49,251
Intercontinental Exchange, Inc.		28,955		2,181,180
Invesco Ltd.		20,600		344,844
Macquarie Group Ltd. (Australia)		2,287		174,670
Moody’s Corp.(a)		8,350		1,169,334
Morgan Stanley		66,780		2,647,827
MSCI, Inc.		4,700		692,921
Nasdaq, Inc.		6,200		505,734
Northern Trust Corp.		11,200		936,208
Partners Group Holding AG (Switzerland)		169		102,566
Raymond James Financial, Inc.		6,500		483,665
S&P Global, Inc.		12,700		2,158,238
SBI Holdings, Inc. (Japan)		600		11,725
State Street Corp.		19,500		1,229,865
T. Rowe Price Group, Inc.		12,300		1,135,536

				29,996,640

Chemicals — 1.0%
Air Liquide SA (France)		91		11,325
Air Products & Chemicals, Inc.		11,100		1,776,555
Albemarle Corp.(a)		5,500		423,885
Arkema SA (France)		104		8,947
Asahi Kasei Corp. (Japan)		7,400		76,140
Celanese Corp.		6,100		548,817
CF Industries Holdings, Inc.		12,000		522,120
Covestro AG (Germany), 144A		1,928		95,925
DowDuPont, Inc.		116,241		6,216,569
Eastman Chemical Co.		7,100		519,081
Ecolab, Inc.(a)		12,800		1,886,080
FMC Corp.		6,800		502,928
Givaudan SA (Switzerland)		14		32,481
International Flavors & Fragrances, Inc.		5,000		671,350
Israel Chemicals Ltd. (Israel)		2,999		16,987
Kuraray Co. Ltd. (Japan)		400		5,623
Linde PLC (United Kingdom)		27,800		4,337,912
LyondellBasell Industries NV (Class A Stock)		16,100		1,338,876
Mitsubishi Chemical Holdings Corp. (Japan)		20,000		151,098
Mitsubishi Gas Chemical Co., Inc. (Japan)		400		6,009
Mitsui Chemicals, Inc. (Japan)		300		6,766
Mosaic Co. (The)		17,700		517,017
PPG Industries, Inc.		12,200		1,247,206
Sherwin-Williams Co. (The)		4,150		1,632,859
Shin-Etsu Chemical Co. Ltd. (Japan)		500		38,682
Showa Denko KK (Japan)		200		5,941
Solvay SA (Belgium)		110		11,023

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Chemicals (continued)
Sumitomo Chemical Co. Ltd. (Japan)		2,000	$	9,664
Teijin Ltd. (Japan)		700		11,183

				22,629,049

Commercial Services & Supplies — 0.2%
Cintas Corp.		4,400		739,156
Copart, Inc.*(a)		10,600		506,468
Republic Services, Inc.		10,965		790,467
Rollins, Inc.		6,600		238,260
Securitas AB (Sweden) (Class B Stock)		430		6,915
Waste Management, Inc.		19,942		1,774,639

				4,055,905

Communications Equipment — 0.5%
Arista Networks, Inc.*		2,800		589,960
Cisco Systems, Inc.		230,300		9,978,899
F5 Networks, Inc.*		3,300		534,699
Juniper Networks, Inc.		16,500		444,015
Motorola Solutions, Inc.		8,489		976,575
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		4,747		42,366

				12,566,514

Construction & Engineering — 0.1%
CIMIC Group Ltd. (Australia)		2,118		64,508
Eiffage SA (France)		108		9,039
Fluor Corp.		6,500		209,300
HOCHTIEF AG (Germany)		719		97,289
Jacobs Engineering Group, Inc.		5,900		344,914
Quanta Services, Inc.		7,400		222,740
Taisei Corp. (Japan)		300		12,824
Vinci SA (France)		2,109		174,166

				1,134,780

Construction Materials — 0.1%
CRH PLC (Ireland)		1,147		30,484
Martin Marietta Materials, Inc.(a)		3,400		584,358
Vulcan Materials Co.		6,600		652,080

				1,266,922

Consumer Finance — 0.3%
American Express Co.		35,600		3,393,392
Capital One Financial Corp.		24,161		1,826,330
Discover Financial Services		17,240		1,016,815
Synchrony Financial		34,072		799,329

				7,035,866

Containers & Packaging — 0.1%
Avery Dennison Corp.		4,300		386,269
Ball Corp.		17,300		795,454
International Paper Co.		20,473		826,290
Packaging Corp. of America		5,100		425,646
Sealed Air Corp.		8,000		278,720
Smurfit Kappa Group PLC (Ireland)		329		8,775
Westrock Co.		12,344		466,110

				3,187,264


COMMON STOCKS (continued)	Shares		Value
Distributors — 0.0%
Genuine Parts Co.		7,300	$	700,946
LKQ Corp.*		15,000		355,950

				1,056,896

Diversified Consumer Services — 0.0%
H&R Block, Inc.		10,500		266,385

Diversified Financial Services — 0.9%
Berkshire Hathaway, Inc. (Class B Stock)*		98,240		20,058,643
Investor AB (Sweden) (Class B Stock)		685		29,149
Jefferies Financial Group, Inc.		14,400		249,984
ORIX Corp. (Japan)		11,100		161,662

				20,499,438

Diversified Telecommunication Services — 1.0%
AT&T, Inc.		365,836		10,440,959
BT Group PLC (United Kingdom)		12,812		39,009
CenturyLink, Inc.(a)		47,279		716,277
Deutsche Telekom AG (Germany)		13,269		226,214
HKT Trust & HKT Ltd. (Hong Kong), (Class SS Stock)		16,000		23,052
Nippon Telegraph & Telephone Corp. (Japan)		4,200		171,115
Swisscom AG (Switzerland)		36		17,315
Telecom Italia SpA (Italy), RSP		22,010		10,564
Telefonica Deutschland Holding AG (Germany)		1,110		4,360
Telefonica SA (Spain)		1,957		16,493
Telenor ASA (Norway)		1,125		21,883
Telia Co. AB (Sweden)		4,248		20,172
Telstra Corp. Ltd. (Australia)		6,393		12,800
Verizon Communications, Inc.		208,176		11,703,655

				23,423,868

Electric Utilities — 0.9%
Alliant Energy Corp.(a)		11,300		477,425
American Electric Power Co., Inc.		24,860		1,858,037
Chubu Electric Power Co., Inc. (Japan)		900		12,806
CLP Holdings Ltd. (Hong Kong)		1,000		11,301
Duke Energy Corp.		35,861		3,094,804
Edison International		16,900		959,413
Endesa SA (Spain)		435		10,044
Enel SpA (Italy)		37,277		216,467
Entergy Corp.		9,000		774,630
Evergy, Inc.		14,000		794,780
Eversource Energy		16,300		1,060,152
Exelon Corp.		48,613		2,192,446
FirstEnergy Corp.(a)		24,706		927,710
Kansai Electric Power Co., Inc. (The) (Japan)		9,400		141,163
NextEra Energy, Inc.		23,800		4,136,916
PG&E Corp.*		25,000		593,750
Pinnacle West Capital Corp.		5,900		502,680
PPL Corp.		35,600		1,008,548
Red Electrica Corp. SA (Spain)		592		13,251
Southern Co. (The)		51,100		2,244,312

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Electric Utilities (continued)
Terna Rete Elettrica Nazionale SpA (Italy)		5,534	$	31,465
Xcel Energy, Inc.		25,510		1,256,878

				22,318,978

Electrical Equipment — 0.2%
AMETEK, Inc.		11,500		778,550
Eaton Corp. PLC		21,837		1,499,328
Emerson Electric Co.		31,700		1,894,075
Legrand SA (France)		364		20,597
Melrose Industries PLC (United Kingdom)		7,416		15,519
Rockwell Automation, Inc.		6,200		932,976
Schneider Electric SE (France)		2,562		176,029

				5,317,074

Electronic Equipment, Instruments & Components — 0.2%
Amphenol Corp. (Class A Stock)		15,200		1,231,504
Corning, Inc.		40,800		1,232,568
FLIR Systems, Inc.		7,100		309,134
Hexagon AB (Sweden) (Class B Stock)		386		17,856
Hitachi Ltd. (Japan)		5,600		148,563
IPG Photonics Corp.*		2,100		237,909
Keysight Technologies, Inc.*		9,900		614,592
Kyocera Corp. (Japan)		300		14,974
Murata Manufacturing Co. Ltd. (Japan)		300		40,725
TDK Corp. (Japan)		200		14,017
TE Connectivity Ltd.		17,600		1,331,088

				5,192,930

Energy Equipment & Services — 0.2%
Baker Hughes a GE Co.		25,098		539,607
Halliburton Co.		43,700		1,161,546
Helmerich & Payne, Inc.		5,400		258,876
National Oilwell Varco, Inc.		18,400		472,880
Schlumberger Ltd		69,724		2,515,642
TechnipFMC PLC (United Kingdom)		20,600		403,348

				5,351,899

Entertainment — 0.9%
Activision Blizzard, Inc.		38,400		1,788,288
Electronic Arts, Inc.*		15,400		1,215,214
Netflix, Inc.*		21,950		5,875,137
Take-Two Interactive Software, Inc.*		5,800		597,052
Twenty-First Century Fox, Inc. (Class A Stock)		53,100		2,555,172
Twenty-First Century Fox, Inc. (Class B Stock)		24,700		1,180,166
Viacom, Inc. (Class B Stock)		16,934		435,204
Walt Disney Co. (The)		74,900		8,212,785

				21,859,018

Equity Real Estate Investment Trusts (REITs) — 1.3%
Alexandria Real Estate Equities, Inc.		5,600		645,344
American Tower Corp.		22,200		3,511,818
Apartment Investment & Management Co. (Class A Stock)		8,233		361,264
AvalonBay Communities, Inc.		6,975		1,213,999


COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Boston Properties, Inc.		7,800	$	877,890
Crown Castle International Corp.		20,900		2,270,367
Digital Realty Trust, Inc.		10,300		1,097,465
Duke Realty Corp.		18,200		471,380
Equinix, Inc.		4,054		1,429,278
Equity Residential		18,400		1,214,584
Essex Property Trust, Inc.		3,350		821,453
Extra Space Storage, Inc.(a)		6,400		579,072
Federal Realty Investment Trust		3,700		436,748
Goodman Group (Australia)		19,412		145,170
HCP, Inc.		23,400		653,562
Host Hotels & Resorts, Inc.		36,782		613,156
Iron Mountain, Inc.		14,702		476,492
Kimco Realty Corp.		18,700		273,955
Klepierre SA (France)		282		8,723
Land Securities Group PLC (United Kingdom)		10,899		111,867
Link REIT (Hong Kong)		3,000		30,354
Macerich Co. (The)		5,500		238,040
Mid-America Apartment Communities, Inc.		6,000		574,200
Mirvac Group (Australia)		5,038		7,949
Nippon Building Fund, Inc. (Japan)		2		12,595
Prologis, Inc.		31,677		1,860,073
Public Storage		7,600		1,538,316
Realty Income Corp.		14,600		920,384
Regency Centers Corp.		8,700		510,516
SBA Communications Corp.*		5,800		938,962
Simon Property Group, Inc.		15,593		2,619,468
SL Green Realty Corp.		4,300		340,044
Stockland (Australia)		3,629		8,986
UDR, Inc.		13,200		522,984
Ventas, Inc.		17,918		1,049,816
Vornado Realty Trust		8,525		528,806
Welltower, Inc.		18,800		1,304,908
Weyerhaeuser Co.		37,818		826,701

				31,046,689

Food & Staples Retailing — 0.7%
Costco Wholesale Corp.		22,100		4,501,991
ICA Gruppen AB (Sweden)		4,060		145,152
J Sainsbury PLC (United Kingdom)		20,236		68,414
Koninklijke Ahold Delhaize NV (Netherlands)		5,518		139,641
Kroger Co. (The)		39,992		1,099,780
Sysco Corp.		24,100		1,510,106
Walgreens Boots Alliance, Inc.		42,500		2,904,025
Walmart, Inc.		72,300		6,734,745
WM Morrison Supermarkets PLC (United Kingdom)		27,939		75,990

				17,179,844

Food Products — 0.5%
Archer-Daniels-Midland Co.		28,226		1,156,419
Barry Callebaut AG (Switzerland)		40		62,449
Campbell Soup Co.(a)		9,000		296,910
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		2		12,385
Conagra Brands, Inc.		23,000		491,280

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
General Mills, Inc.		29,300	$	1,140,942
Hershey Co. (The)		7,400		793,132
Hormel Foods Corp.(a)		13,300		567,644
J.M. Smucker Co. (The)(a)		6,100		570,289
Kellogg Co.(a)		12,700		724,027
Kraft Heinz Co. (The)		31,317		1,347,884
Lamb Weston Holdings, Inc.		6,400		470,784
McCormick & Co., Inc.(a)		6,100		849,364
MEIJI Holdings Co. Ltd. (Japan)		200		16,330
Mondelez International, Inc. (Class A Stock)		73,853		2,956,336
Nestle SA (Switzerland)		3,164		257,316
Orkla ASA (Norway)		1,233		9,717
Tate & Lyle PLC (United Kingdom)		16,744		141,072
Tyson Foods, Inc. (Class A Stock)		14,700		784,980
WH Group Ltd. (Hong Kong), 144A		23,500		18,090
Wilmar International Ltd. (Singapore)		55,600		127,163

				12,794,513

Health Care Equipment & Supplies — 1.5%
Abbott Laboratories		88,400		6,393,972
ABIOMED, Inc.*		2,260		734,590
Align Technology, Inc.*		3,800		795,834
Baxter International, Inc.		25,000		1,645,500
Becton, Dickinson & Co.		13,510		3,044,073
Boston Scientific Corp.*		69,667		2,462,032
ConvaTec Group PLC (United Kingdom), 144A		14,496		25,716
Cooper Cos., Inc. (The)		2,640		671,880
Danaher Corp.		31,000		3,196,720
DENTSPLY SIRONA, Inc.		10,800		401,868
Edwards Lifesciences Corp.*		10,600		1,623,602
Hologic, Inc.*		13,600		558,960
Hoya Corp. (Japan)		500		30,101
IDEXX Laboratories, Inc.*		4,400		818,488
Intuitive Surgical, Inc.*		5,760		2,758,579
Medtronic PLC		68,090		6,193,467
ResMed, Inc.		7,100		808,477
Smith & Nephew PLC (United Kingdom)		5,389		100,809
Sonova Holding AG (Switzerland)		76		12,512
Stryker Corp.		15,700		2,460,975
Varian Medical Systems, Inc.*		4,600		521,226
Zimmer Biomet Holdings, Inc.		10,300		1,068,316

				36,327,697

Health Care Providers & Services — 1.5%
Alfresa Holdings Corp. (Japan)		2,900		74,088
AmerisourceBergen Corp.		8,100		602,640
Anthem, Inc.		13,100		3,440,453
Cardinal Health, Inc.		15,250		680,150
Centene Corp.*		10,400		1,199,120
Cigna Corp.(a)		19,200		3,646,464
CVS Health Corp.		65,083		4,264,238
DaVita, Inc.*		6,400		329,344
Fresenius Medical Care AG & Co. KGaA (Germany)		292		18,985
Fresenius SE & Co. KGaA (Germany)		564		27,514
HCA Healthcare, Inc.		13,600		1,692,520


COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
Henry Schein, Inc.*(a)		7,700	$	604,604
Humana, Inc.		6,950		1,991,036
Laboratory Corp. of America Holdings* .		5,200		657,072
McKesson Corp.		10,130		1,119,061
Medipal Holdings Corp. (Japan)		6,700		143,722
Quest Diagnostics, Inc.		6,800		566,236
UnitedHealth Group, Inc.		48,530		12,089,794
Universal Health Services, Inc. (Class B Stock)		4,300		501,208
WellCare Health Plans, Inc.*		2,500		590,225

				34,238,474


Health Care Technology — 0.0%
Cerner Corp.*		16,500		865,260

Hotels, Restaurants & Leisure — 0.8%
Accor SA (France)		257		11,058
Carnival Corp.		20,300		1,000,790
Chipotle Mexican Grill, Inc.*		1,400		604,506
Compass Group PLC (United Kingdom)		6,161		129,687
Darden Restaurants, Inc.		6,450		644,097
Genting Singapore Ltd. (Singapore)		9,300		6,662
Hilton Worldwide Holdings, Inc.		15,300		1,098,540
Marriott International, Inc. (Class A Stock)		14,528		1,577,160
McDonald’s Corp.		39,100		6,942,987
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		8,494
MGM Resorts International		25,800		625,908
Norwegian Cruise Line Holdings Ltd.*		10,300		436,617
Oriental Land Co. Ltd. (Japan)		300		30,242
Paddy Power Betfair PLC (Ireland)		114		9,363
Royal Caribbean Cruises Ltd		9,000		880,110
Sodexo SA (France)		137		14,049
Starbucks Corp.		62,500		4,025,000
TUI AG (Germany)		591		8,490
Wynn Resorts Ltd		4,700		464,877
Yum! Brands, Inc.		16,000		1,470,720

				19,989,357

Household Durables — 0.2%
Barratt Developments PLC (United Kingdom)		1,516		8,957
Berkeley Group Holdings PLC (United Kingdom)		3,268		144,904
D.R. Horton, Inc.		17,500		606,550
Garmin Ltd.		6,000		379,920
Leggett & Platt, Inc.		6,300		225,792
Lennar Corp. (Class A Stock)		14,600		571,590
Mohawk Industries, Inc.*		3,340		390,647
Newell Brands, Inc.(a)		21,814		405,522
Persimmon PLC (United Kingdom)		4,934		121,651
PulteGroup, Inc.(a)		12,922		335,843
Sony Corp. (Japan)		3,900		187,288
Whirlpool Corp.		3,426		366,137

				3,744,801

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares			Value
Household Products — 0.8%
Church & Dwight Co., Inc.		12,600		$	828,576
Clorox Co. (The)		6,500			1,001,910
Colgate-Palmolive Co.		43,700			2,601,024
Henkel AG & Co. KGaA (Germany)		143			14,087
Kimberly-Clark Corp.		17,500			1,993,950
Procter & Gamble Co. (The)		125,425			11,529,066
Reckitt Benckiser Group PLC (United Kingdom)		1,024			78,576

					18,047,189

Independent Power & Renewable Electricity Producers — 0.0%
AES Corp.		30,700			443,922
Electric Power Development Co. Ltd. (Japan)		500			11,843
NRG Energy, Inc.		14,700			582,120

					1,037,885

Industrial Conglomerates — 0.7%
3M Co.(a)		29,600			5,639,984
CK Hutchison Holdings Ltd. (Hong Kong)		3,916			37,588
General Electric Co.		437,730			3,313,616
Honeywell International, Inc.		37,412			4,942,874
NWS Holdings Ltd. (Hong Kong)		34,000			69,772
Roper Technologies, Inc.		5,200			1,385,904
Siemens AG (Germany)		90			10,072

					15,399,810

Insurance — 1.1%
Aegon NV (Netherlands)		27,144			127,329
Aflac, Inc.		38,700			1,763,172
AIA Group Ltd. (Hong Kong)		2,800			23,217
Allianz SE (Germany)		1,261			254,040
Allstate Corp. (The)(a)		17,500			1,446,025
American International Group, Inc.		44,739			1,763,164
Aon PLC		12,300			1,787,928
Arthur J. Gallagher & Co.		9,000			663,300
Assurant, Inc.		3,000			268,320
Aviva PLC (United Kingdom)		5,998			28,761
AXA SA (France)		5,287			114,464
Brighthouse Financial, Inc.*		6,054			184,526
Chubb Ltd.		23,386			3,021,003
Cincinnati Financial Corp.		7,737			598,998
Dai-ichi Life Holdings, Inc. (Japan)		1,500			23,310
Everest Re Group Ltd.		2,200			479,072
Hartford Financial Services Group, Inc. (The)		17,700			786,765
Insurance Australia Group Ltd. (Australia)		3,444			16,984
Legal & General Group PLC (United Kingdom)		50,315			148,535
Lincoln National Corp.		11,318			580,727
Loews Corp.		13,675			622,486
Marsh & McLennan Cos., Inc.		25,500			2,033,625
MetLife, Inc.		50,100			2,057,106
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		222	(r)		48,585


COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
NN Group NV (Netherlands)		452	$	18,043
Principal Financial Group, Inc.		13,100		578,627
Progressive Corp. (The)		29,400		1,773,702
Suncorp Group Ltd. (Australia)		1,950		17,315
Swiss Life Holding AG (Switzerland)*		95		36,747
Tokio Marine Holdings, Inc. (Japan)		900		42,732
Torchmark Corp.		5,625		419,231
Travelers Cos., Inc. (The)		13,535		1,620,816
Unum Group		11,310		332,288
Willis Towers Watson PLC		6,640		1,008,350
Zurich Insurance Group AG (Switzerland)		227		67,915

				24,757,208

Interactive Media & Services — 2.1%
Alphabet, Inc. (Class A Stock)*		15,140		15,820,694
Alphabet, Inc. (Class C Stock)*		15,603		16,158,623
Auto Trader Group PLC (United Kingdom), 144A		16,363		95,032
Facebook, Inc. (Class A Stock)*		121,520		15,930,057
TripAdvisor, Inc.*(a)		5,150		277,791
Twitter, Inc.*		35,600		1,023,144

				49,305,341

Internet & Direct Marketing Retail — 1.6%
Amazon.com, Inc.*		20,700		31,090,779
Booking Holdings, Inc.*		2,480		4,271,602
eBay, Inc.*		46,100		1,294,027
Expedia Group, Inc.(a)		5,950		670,267

				37,326,675

IT Services — 2.2%
Accenture PLC (Class A Stock)		32,300		4,554,623
Akamai Technologies, Inc.*		8,700		531,396
Alliance Data Systems Corp.		2,640		396,211
Amadeus IT Group SA (Spain)		2,089		145,845
Atos SE (France)		138		11,303
Automatic Data Processing, Inc.		22,100		2,897,752
Broadridge Financial Solutions, Inc.		6,000		577,500
Capgemini SE (France)		134		13,363
Cognizant Technology Solutions Corp. (Class A Stock)		29,200		1,853,616
DXC Technology Co.		14,128		751,186
Fidelity National Information Services, Inc.		16,600		1,702,330
Fiserv, Inc.*		20,400		1,499,196
FleetCor Technologies, Inc.*		4,600		854,312
Gartner, Inc.*		4,900		626,416
Global Payments, Inc.		7,900		814,727
International Business Machines Corp.		46,000		5,228,820
Jack Henry & Associates, Inc.		3,800		480,776
Mastercard, Inc. (Class A Stock)		46,000		8,677,900
Obic Co. Ltd. (Japan)		200		15,434
Paychex, Inc.		16,100		1,048,915
PayPal Holdings, Inc.*		59,600		5,011,764
Total System Services, Inc.		8,496		690,640
VeriSign, Inc.*		5,700		845,253
Visa, Inc. (Class A Stock)		89,500		11,808,630

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Western Union Co. (The)		21,510	$	366,961
Wirecard AG (Germany)		918		141,109

				51,545,978

Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		300		13,448
Hasbro, Inc.(a)		6,300		511,875
Mattel, Inc.*(a)		16,051		160,349
Sankyo Co. Ltd. (Japan)		300		11,457

				697,129

Life Sciences Tools & Services — 0.5%
Agilent Technologies, Inc.		16,014		1,080,305
Illumina, Inc.*		7,400		2,219,482
IQVIA Holdings, Inc.*		8,200		952,594
Mettler-Toledo International, Inc.*		1,300		735,254
PerkinElmer, Inc.		5,900		463,445
QIAGEN NV*		310		10,614
Thermo Fisher Scientific, Inc.		20,380		4,560,840
Waters Corp.*		3,900		735,735

				10,758,269

Machinery — 0.7%
Alstom SA (France)		233		9,429
Atlas Copco AB (Sweden) (Class B Stock)		585		12,815
Caterpillar, Inc.		30,000		3,812,100
CNH Industrial NV (United Kingdom)		1,531		13,994
Cummins, Inc.		7,600		1,015,664
Daifuku Co. Ltd. (Japan)		1,200		54,615
Deere & Co.		16,280		2,428,488
Dover Corp.		7,500		532,125
Flowserve Corp.		6,100		231,922
Fortive Corp.		15,550		1,052,113
Hitachi Construction Machinery Co. Ltd. (Japan)		400		9,328
Illinois Tool Works, Inc.		15,600		1,976,364
Ingersoll-Rand PLC		12,400		1,131,252
Komatsu Ltd. (Japan)		1,400		29,939
PACCAR, Inc.		17,643		1,008,121
Parker-Hannifin Corp.		6,665		994,018
Pentair PLC (United Kingdom)		7,677		290,037
Sandvik AB (Sweden)		10,227		147,242
Schindler Holding AG (Switzerland)		71		13,861
Snap-on, Inc.(a)		3,100		450,399
Stanley Black & Decker, Inc.		7,697		921,639
Volvo AB (Sweden) (Class B Stock)		11,123		146,154
Xylem, Inc.		9,000		600,480
Yangzijiang Shipbuilding Holdings Ltd. (China)		143,700		130,900

				17,012,999

Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		5		5,921

Media — 0.6%
CBS Corp. (Class B Stock)		17,034		744,726


COMMON STOCKS (continued)	Shares		Value
Media (continued)
Charter Communications, Inc. (Class A Stock)*(a)		9,080	$	2,587,528
Comcast Corp. (Class A Stock)		230,280		7,841,034
Discovery, Inc. (Class A Stock)*(a)		7,800		192,972
Discovery, Inc. (Class C Stock)*		16,600		383,128
DISH Network Corp. (Class A Stock)*		11,400		284,658
Eutelsat Communications SA (France)		256		5,054
Hakuhodo DY Holdings, Inc. (Japan)		900		12,864
I-CABLE Communications Ltd. (Hong Kong)*		3,831		57
Interpublic Group of Cos., Inc. (The)		18,831		388,484
News Corp. (Class A Stock)		16,175		183,586
News Corp. (Class B Stock)		4,800		55,440
Omnicom Group, Inc.(a)		11,700		856,908
Pearson PLC (United Kingdom)		13,015		155,989
RTL Group SA (Luxembourg)		138		7,387

				13,699,815

Metals & Mining — 0.1%
Anglo American PLC (South Africa)		7,845		175,318
ArcelorMittal (Luxembourg)		5,875		123,459
BHP Group Ltd. (Australia)		5,026		120,727
BHP Group PLC (Australia)		2,908		61,668
BlueScope Steel Ltd. (Australia)		4,181		32,167
Freeport-McMoRan, Inc.		69,388		715,390
Glencore PLC (Switzerland)*		15,764		58,640
JFE Holdings, Inc. (Japan)		700		11,077
Kobe Steel Ltd. (Japan)		3,000		20,766
Newmont Mining Corp.(a)		27,100		939,015
Nippon Steel & Sumitomo Metal Corp. (Japan)		1,100		18,869
Nucor Corp.		16,400		849,684
Rio Tinto Ltd. (Australia)		568		31,344
Rio Tinto PLC (Australia)		1,658		79,195
South32 Ltd. (Australia)		7,203		16,979
voestalpine AG (Austria)		164		4,931

				3,259,229

Multiline Retail — 0.2%
Dollar General Corp.		13,400		1,448,272
Dollar Tree, Inc.*		12,365		1,116,807
Don Quijote Holdings Co. Ltd. (Japan)		200		12,256
Kohl’s Corp.		8,300		550,622
Macy’s, Inc.		14,674		436,992
Next PLC (United Kingdom)		214		10,895
Nordstrom, Inc.(a)		6,100		284,321
Target Corp.		26,500		1,751,385
Wesfarmers Ltd. (Australia)		1,540		34,913

				5,646,463

Multi-Utilities — 0.5%
AGL Energy Ltd. (Australia)		11,585		167,728
Ameren Corp.		12,200		795,806
CenterPoint Energy, Inc.		24,000		677,520
CMS Energy Corp.		14,800		734,820
Consolidated Edison, Inc.		15,700		1,200,422
Dominion Energy, Inc.		32,932		2,353,321
DTE Energy Co.		9,100		1,003,730

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Multi-Utilities (continued)
National Grid PLC (United Kingdom)		13,369	$	130,193
NiSource, Inc.		17,300		438,555
Public Service Enterprise Group, Inc.		25,400		1,322,070
SCANA Corp.		7,000		334,460
Sempra Energy(a)		14,019		1,516,716
WEC Energy Group, Inc.(a)		16,313		1,129,838

				11,805,179

Oil, Gas & Consumable Fuels — 2.2%
Aker BP ASA (Norway)		160		4,062
Anadarko Petroleum Corp.		25,754		1,129,055
Apache Corp.(a)		19,314		506,993
BP PLC (United Kingdom)		19,763		125,134
Cabot Oil & Gas Corp.		21,400		478,290
Chevron Corp.		96,522		10,500,628
Cimarex Energy Co.		5,200		320,580
Concho Resources, Inc.*		10,100		1,038,179
ConocoPhillips		58,577		3,652,276
Devon Energy Corp.		23,600		531,944
Diamondback Energy, Inc.		5,800		537,660
Eni SpA (Italy)		10,299		162,673
EOG Resources, Inc.		29,200		2,546,532
Equinor ASA (Norway)		1,636		34,733
Exxon Mobil Corp.		213,299		14,544,859
Hess Corp.		12,700		514,350
HollyFrontier Corp.		8,200		419,184
JXTG Holdings, Inc. (Japan)		4,800		25,104
Kinder Morgan, Inc.		94,298		1,450,303
Lundin Petroleum AB (Sweden)		262		6,569
Marathon Oil Corp.		40,482		580,512
Marathon Petroleum Corp.(a)		33,819		1,995,659
Neste OYJ (Finland)		1,302		100,666
Newfield Exploration Co.*		9,800		143,668
Noble Energy, Inc.		24,000		450,240
Occidental Petroleum Corp.		38,500		2,363,130
ONEOK, Inc.		20,700		1,116,765
Phillips 66		21,538		1,855,499
Pioneer Natural Resources Co.		8,550		1,124,496
Repsol SA (Spain)		9,357		151,509
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		6,913		203,613
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		1,871		55,878
Santos Ltd. (Australia)		14,129		54,178
TOTAL SA (France)		2,591		137,110
Valero Energy Corp.		21,600		1,619,352
Williams Cos., Inc. (The)		60,300		1,329,615

				51,810,998

Paper & Forest Products — 0.0%
Mondi PLC (United Kingdom)		538		11,232
Stora Enso OYJ (Finland) (Class R Stock)		758		8,813
UPM-Kymmene OYJ (Finland)		735		18,746

				38,791

Personal Products — 0.1%
Coty, Inc. (Class A Stock)		18,000		118,080


COMMON STOCKS (continued)	Shares		Value
Personal Products (continued)
Estee Lauder Cos., Inc. (The) (Class A Stock)		11,300	$	1,470,130
L’Oreal SA (France)		315		72,776
Pola Orbis Holdings, Inc. (Japan)		100		2,692
Shiseido Co. Ltd. (Japan)(a)		600		37,554
Unilever NV (United Kingdom), CVA		2,318		126,074
Unilever PLC (United Kingdom)		1,882		98,719

				1,926,025

Pharmaceuticals — 2.4%
Allergan PLC		16,075		2,148,584
Astellas Pharma, Inc. (Japan)		7,500		96,060
AstraZeneca PLC (United Kingdom)		255		19,128
Bayer AG (Germany)		870		60,910
Bristol-Myers Squibb Co.		82,170		4,271,197
Eli Lilly & Co.		48,200		5,577,704
GlaxoSmithKline PLC (United Kingdom)		3,048		58,037
H. Lundbeck A/S (Denmark)		2,200		96,531
Johnson & Johnson		135,178		17,444,721
Merck & Co., Inc.		134,033		10,241,461
Mylan NV*		25,600		701,440
Nektar Therapeutics*		8,200		269,534
Novartis AG (Switzerland)		4,893		419,849
Novo Nordisk A/S (Denmark) (Class B Stock)		2,741		125,920
Perrigo Co. PLC		6,700		259,625
Pfizer, Inc.		295,270		12,888,535
Roche Holding AG (Switzerland)		1,628		405,068
Sanofi (France)		3,289		285,272
Shionogi & Co. Ltd. (Japan)		2,700		154,425
Takeda Pharmaceutical Co. Ltd. (Japan)(a)		1,000		33,906
Teva Pharmaceutical Industries Ltd. (Israel), ADR*		1,500		23,130
UCB SA (Belgium)		171		13,976
Zoetis, Inc.		24,300		2,078,622

				57,673,635

Professional Services — 0.1%
Equifax, Inc.		6,400		596,032
IHS Markit Ltd.*		17,800		853,866
Intertek Group PLC (United Kingdom)		243		14,898
Nielsen Holdings PLC		17,000		396,610
Recruit Holdings Co. Ltd. (Japan)		1,700		41,041
RELX PLC (United Kingdom)		2,940		60,643
Robert Half International, Inc.		6,600		377,520
Teleperformance (France)		779		124,773
Verisk Analytics, Inc.*(a)		8,200		894,128
Wolters Kluwer NV (Netherlands)		801		47,491

				3,407,002

Real Estate Management & Development — 0.0%
CBRE Group, Inc. (Class A Stock)*		16,200		648,648
CK Asset Holdings Ltd. (Hong Kong)		3,500		25,359
Hysan Development Co. Ltd. (Hong Kong)		2,000		9,490
Mitsui Fudosan Co. Ltd. (Japan)		1,400		30,892

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Real Estate Management & Development (continued)
Sumitomo Realty & Development Co. Ltd. (Japan)		500	$	18,286
Sun Hung Kai Properties Ltd. (Hong Kong)		2,500		35,638
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		12,500		132,198
Swire Properties Ltd. (Hong Kong)		1,600		5,615
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		17,000		101,601

				1,007,727

Road & Rail — 0.5%
CSX Corp.		41,100		2,553,543
DSV A/S (Denmark)		1,317		86,990
J.B. Hunt Transport Services, Inc.		4,300		400,072
Kansas City Southern		5,200		496,340
Kyushu Railway Co. (Japan)		200		6,765
Norfolk Southern Corp.		14,100		2,108,514
Union Pacific Corp.		37,300		5,155,979

				10,808,203

Semiconductors & Semiconductor Equipment — 1.7%
Advanced Micro Devices, Inc.*(a)		42,700		788,242
Analog Devices, Inc.		18,758		1,609,999
Applied Materials, Inc.		49,500		1,620,630
ASML Holding NV (Netherlands)		601		94,834
Broadcom, Inc.		21,780		5,538,218
Infineon Technologies AG (Germany)		8,040		160,981
Intel Corp.		232,300		10,901,839
KLA-Tencor Corp.		7,850		702,497
Lam Research Corp.		7,950		1,082,551
Maxim Integrated Products, Inc.		10,000		508,500
Microchip Technology, Inc.(a)		11,800		848,656
Micron Technology, Inc.*		58,400		1,853,032
NVIDIA Corp.		30,650		4,091,775
NXP Semiconductors NV (Netherlands)		500		36,640
Qorvo, Inc.*		6,807		413,389
QUALCOMM, Inc.		61,100		3,477,201
Skyworks Solutions, Inc.		9,000		603,180
STMicroelectronics NV (Switzerland)		929		13,345
Texas Instruments, Inc.		49,000		4,630,500
Xilinx, Inc.		12,800		1,090,176

				40,066,185

Software — 2.8%
Adobe, Inc.*		24,700		5,588,128
ANSYS, Inc.*		4,500		643,230
Autodesk, Inc.*		11,000		1,414,710
Cadence Design Systems, Inc.*		14,400		626,112
Citrix Systems, Inc.		6,500		665,990
Dassault Systemes SE (France)		202		24,043
Fortinet, Inc.*(a)		7,200		507,096
Intuit, Inc.		13,100		2,578,735
Micro Focus International PLC (United Kingdom)		2,957		52,280
Microsoft Corp.		390,300		39,642,771
Nice Ltd. (Israel)*		94		10,123
Oracle Corp.		141,300		6,379,695


COMMON STOCKS (continued)	Shares		Value
Software (continued)
Red Hat, Inc.*		9,000	$	1,580,760
salesforce.com, Inc.*		38,200		5,232,254
SAP SE (Germany)		337		33,740
Symantec Corp.		30,578		577,771
Synopsys, Inc.*		7,500		631,800

				66,189,238

Specialty Retail — 1.1%
Advance Auto Parts, Inc.		3,900		614,094
AutoZone, Inc.*		1,400		1,173,676
Best Buy Co., Inc.(a)		12,225		647,436
CarMax, Inc.*(a)		8,900		558,297
Fast Retailing Co. Ltd. (Japan)		400		204,168
Foot Locker, Inc.		6,400		340,480
Gap, Inc. (The)		9,500		244,720
Home Depot, Inc. (The)		57,650		9,905,423
Industria de Diseno Textil SA (Spain)		1,632		41,788
L Brands, Inc.		10,906		279,957
Lowe’s Cos., Inc.		40,900		3,777,524
O’Reilly Automotive, Inc.*		4,100		1,411,753
Ross Stores, Inc.		19,000		1,580,800
Tiffany & Co.(a)		5,720		460,517
TJX Cos., Inc. (The)		63,200		2,827,568
Tractor Supply Co.		6,500		542,360
Ulta Beauty, Inc.*		2,900		710,036

				25,320,597

Technology Hardware, Storage & Peripherals — 1.7%
Apple, Inc.		230,090		36,294,397
FUJIFILM Holdings Corp. (Japan)		500		19,444
Hewlett Packard Enterprise Co.		74,048		978,174
HP, Inc.		79,648		1,629,598
Konica Minolta, Inc. (Japan)		11,700		105,525
NetApp, Inc.		13,100		781,677
Seagate Technology PLC(a)		13,200		509,388
Western Digital Corp.		14,703		543,570
Xerox Corp.		10,390		205,306

				41,067,079

Textiles, Apparel & Luxury Goods — 0.4%
adidas AG (Germany)		281		58,951
Burberry Group PLC (United Kingdom)		566		12,530
Hanesbrands, Inc.(a)		15,400		192,962
Hermes International (France)		43		23,917
Kering SA (France)		191		90,066
LVMH Moet Hennessy Louis Vuitton SE (France)		699		207,181
Michael Kors Holdings Ltd.*		7,600		288,192
Moncler SpA (Italy)		242		8,086
NIKE, Inc. (Class B Stock)		64,500		4,782,030
PVH Corp.		4,200		390,390
Ralph Lauren Corp.		3,000		310,380
Swatch Group AG (The) (Switzerland)		77		4,477
Tapestry, Inc.		15,000		506,250
Under Armour, Inc. (Class A Stock)*(a)		7,500		132,525
Under Armour, Inc. (Class C Stock)*(a)		9,474		153,195
VF Corp.(a)		16,400		1,169,976

				8,331,108

SEE NOTES TO FINANCIAL STATEMENTS.



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Tobacco — 0.4%
Altria Group, Inc.		95,000	$	4,692,050
British American Tobacco PLC (United Kingdom)		4,430		141,664
Imperial Brands PLC (United Kingdom)		4,429		134,305
Japan Tobacco, Inc. (Japan)		1,500		35,703
Philip Morris International, Inc.		78,300		5,227,308

				10,231,030

Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		684		14,304
Fastenal Co.		14,500		758,205
ITOCHU Corp. (Japan)		2,000		33,968
Marubeni Corp. (Japan)		11,800		82,679
Mitsubishi Corp. (Japan)		7,300		200,504
Mitsui & Co. Ltd. (Japan)		6,300		96,841
Sumitomo Corp. (Japan)		1,600		22,696
Toyota Tsusho Corp. (Japan)		300		8,829
United Rentals, Inc.*		4,100		420,373
W.W. Grainger, Inc.		2,300		649,428

				2,287,827

Transportation Infrastructure — 0.0%
Aena SME SA (Spain), 144A		135		21,019

Water Utilities — 0.0%
American Water Works Co., Inc.(a)		9,100		826,007

Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		5,400		129,054
NTT DOCOMO, Inc. (Japan)		2,000		45,031
SoftBank Group Corp. (Japan)		1,300		86,149
Vodafone Group PLC (United Kingdom)		1,322		2,588

				262,822

TOTAL COMMON STOCKS (cost $385,424,140)				1,083,244,877


EXCHANGE TRADED FUNDS — 0.3%
iShares Core S&P 500 ETF		24,800		6,239,928
iShares MSCI EAFE ETF		2,359		138,662

TOTAL EXCHANGE TRADED FUNDS (cost $6,464,775)				6,378,590


PREFERRED STOCKS — 0.1%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		75		5,361

Banks — 0.0%
Citigroup Capital XIII 8.890% (Capital Security, fixed to floating preferred)		20,000		528,600

Capital Markets — 0.1%
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred)		30,000		716,400


PREFERRED STOCKS (continued)	Shares		Value
Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		245	$	26,832

TOTAL PREFERRED STOCKS (cost $1,285,465)				1,277,193


	Units

*RIGHTS — 0.0%**
Oil, Gas & Consumable Fuels
Repsol SA (Spain), expiring 01/09/19 (cost $4,390)		9,357		4,288


Interest Rate	Maturity Date		Principal Amount (000)#

ASSET-BACKED SECURITIES — 7.5%
Automobiles — 1.8%
AmeriCredit Automobile Receivables Trust,
Series 2016-04, Class C
2.410%		07/08/22		800	789,839
Series 2017-03, Class C
2.690%		06/19/23		750	740,994
Series 2017-04, Class C
2.600%		09/18/23		1,500	1,475,120
Series 2018-01, Class C
3.500%		01/18/24		1,200	1,204,263
Avis Budget Rental Car Funding AESOP LLC,
Series 2015-01A, Class A, 144A
2.500%		07/20/21		1,700	1,683,829
Series 2015-02A, Class A, 144A
2.630%		12/20/21		3,200	3,164,203
Series 2018-01A, Class A, 144A
3.700%		09/20/24		1,300	1,317,379
Series 2018-02A, Class A, 144A
4.000%		03/20/25		1,100	1,122,509
Drive Auto Receivables Trust,
Series 2018-01, Class B
2.880%		02/15/22		1,300	1,298,353
Ford Credit Auto Owner Trust,
Series 2017-01, Class A, 144A
2.620%		08/15/28		800	788,491
Series 2017-02, Class A, 144A
2.360%		03/15/29		4,200	4,092,982
Series 2018-02, Class A, 144A
3.470%		01/15/30		2,200	2,220,078
Ford Credit Floorplan Master Owner Trust,
Series 2017-03, Class A
2.480%		09/15/24		3,300	3,235,405
Series 2018-02, Class A
3.170%		03/15/25		9,700	9,768,371
GM Financial Consumer Automobile Receivables Trust,
Series 2018-04, Class C
3.620%		06/17/24		300	305,028
OneMain Direct Auto Receivables Trust,
Series 2017-01A, Class A, 144A
2.160%		10/15/20		1,447	1,442,196
Series 2017-02A, Class B, 144A
2.550%		11/14/23		2,300	2,276,620

SEE NOTES TO FINANCIAL STATEMENTS.

A10



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Automobiles (continued)

Series 2017-02A, Class C, 144A

2.820%

07/15/24

600

593,960

Series 2018-01A, Class A, 144A

3.430%

12/16/24

3,800

3,807,361

Santander Drive Auto Receivables Trust,

Series 2018-01, Class C

2.960%

03/15/24

900

895,925

Series 2018-02, Class C

3.350%

07/17/23

30,031

Series 2018-04, Class C

3.560%

07/15/24

1,500

1,511,352

43,764,289

Collateralized Loan Obligations — 2.7%

ArrowMark Colorado Holdings (Cayman Islands),

Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%

3.716%(c)

07/15/29

500

498,922

Battalion CLO Ltd. (Cayman Islands),

Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%

3.785%(c)

07/18/30

1,000

998,890

Benefit Street Partners CLO Ltd. (Cayman Islands),

Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%

3.686%(c)

07/15/29

1,000

997,235

Brookside Mill CLO Ltd. (Cayman Islands),

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%

3.269%(c)

01/17/28

1,000

990,077

Canyon Capital CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%

3.686%(c)

04/15/29

2,500

2,481,426

CIFC Funding Ltd. (Cayman Islands),

Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%

3.627%(c)

10/17/31

7,000

6,939,082

Elevation CLO Ltd. (Cayman Islands),

Series 2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%

3.995%(c)

04/18/27

1,000

1,001,589

Galaxy CLO Ltd. (Cayman Islands),

Series 2018-29A, Class A, 144A, 3 Month LIBOR + 0.790%

3.406%(c)

11/15/26

1,000

992,480

Greenwood Park CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%

3.446%(c)

04/15/31

1,000

984,832

Highbridge Loan Management Ltd. (Cayman Islands),

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%

3.582%(c)

02/05/31

250

245,717

ICG US CLO Ltd. (Cayman Islands),

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)

3.590%(c)

10/19/28

7,000

6,937,599

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

3.757%(c)

10/23/29

1,250

1,241,844

Jackson Mill CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.830%

3.266%(c)

04/15/27

1,250

1,243,079

Jefferson Mill CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AR, 3 Month LIBOR + 1.175%

3.672%(c)

10/20/31

4,250

4,194,622

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (continued)

MidOcean Credit CLO (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%

3.589%(c)

04/21/31

3,500

3,456,987

Mill Creek CLO Ltd. (Cayman Islands),

Series 2016-01A, Class A, 144A, 3 Month LIBOR + 1.750%

4.219%(c)

04/20/28

1,250

1,257,238

Mountain View CLO Ltd. (Cayman Islands),

Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%

3.556%(c)

07/15/31

2,500

2,468,818

OZLM Ltd. (Cayman Islands),

Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080%

3.529%(c)

04/17/31

3,000

2,955,303

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

3.770%(c)

10/30/30

750

745,910

Palmer Square CLO Ltd. (Cayman Islands),

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

3.946%(c)

05/21/29

2,000

1,991,657

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%

3.834%(c)

11/14/29

500

498,207

Sound Point CLO Ltd. (Cayman Islands),

Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%

3.349%(c)

07/20/27

1,000

992,362

Telos CLO (Cayman Islands),

Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%

3.749%(c)

07/17/26

2,500

2,498,778

TIAA CLO Ltd. (Cayman Islands),

Series 2016-01A, Class AR, 144A, 3 Month LIBOR + 1.200%

3.669%(c)

07/20/31

1,750

1,735,102

TICP CLO Ltd. (Cayman Islands),

Series 2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%

3.666%(c)

07/15/29

1,000

996,771

Trinitas CLO Ltd. (Cayman Islands),

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

4.190%(c)

10/25/28

2,500

2,499,787

Series 2017-06A, Class A, 144A, 3 Month LIBOR + 1.320%

3.810%(c)

07/25/29

1,000

1,000,832

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%

3.700%(c)

01/25/31

1,750

1,737,565

Venture CLO Ltd. (Cayman Islands),

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%

3.316%(c)

07/15/27

1,000

989,103

Wellfleet CLO Ltd. (Cayman Islands),

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%

3.789%(c)

04/20/29

1,500

1,501,134

Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%

3.599%(c)

01/17/31

2,000

1,970,107

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%

3.638%(c)

10/20/31

3,750

3,713,824

Zais CLO Ltd. (Cayman Islands),

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%

3.806%(c)

07/15/29

1,250

1,251,532

64,008,411

Consumer Loans — 0.3%

OneMain Financial Issuance Trust,

Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%

3.240%(c)

09/14/32

2,600

2,605,946

SEE NOTES TO FINANCIAL STATEMENTS.

A11



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
Oportun Funding X LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,100	$	1,110,522
Oportun Funding XII LLC,
Series 2018-D, Class A, 144A
4.150%		12/09/24		800		808,369
SpringCastle America Funding LLC,
Series 2016-AA, Class A, 144A
3.050%		04/25/29		1,280		1,267,933
Springleaf Funding Trust,
Series 2015-AA, Class A, 144A
3.160%		11/15/24		1,122		1,120,288

						6,913,058

Credit Cards — 0.5%
American Express Credit Account Master Trust,
Series 2017-05, Class A, 1 Month LIBOR + 0.380%
2.835%(c)		02/18/25		500		499,800
Citibank Credit Card Issuance Trust,
Series 2017-A05, Class A5, 1 Month LIBOR + 0.620%
3.124%(c)		04/22/26		2,700		2,713,885
Series 2018-A07, Class A7
3.960%		10/13/30		4,600		4,827,235
Discover Card Execution Note Trust,
Series 2017-A04, Class A4
2.530%		10/15/26		2,800		2,734,919
Series 2017-A05, Class A5, 1 Month LIBOR + 0.600%
3.055%(c)		12/15/26		1,900		1,897,101

						12,672,940

Equipment — 0.3%
MMAF Equipment Finance LLC,
Series 2017-AA, Class A4, 144A
2.410%		08/16/24		2,500		2,455,826
Series 2017-B, Class A4, 144A
2.410%		11/15/24		1,300		1,275,985
Series 2017-B, Class A5, 144A
2.720%		06/15/40		2,100		2,049,741
Series 2018-A, Class A4, 144A
3.390%		01/10/25		1,200		1,214,722
Series 2018-A, Class A5, 144A
3.610%		03/10/42		500		505,943

						7,502,217

Home Equity Loans — 0.2%
CDC Mortgage Capital Trust,
Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%
4.156%(c)		03/25/33		109		109,228
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%
3.706%(c)		05/25/33		69		68,571
Morgan Stanley Dean Witter Capital I, Inc. Trust,
Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%
3.406%(c)		07/25/32		89		89,253
Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%
3.781%(c)		09/25/32		1,826		1,815,717

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Home Equity Loans (continued)

New Residential Mortgage Loan Trust,

Series 2018-01A, Class A1A, 144A

4.000%(cc)

12/25/57

1,422

1,428,828

3,511,597

Other — 0.1%

Sierra Timeshare Receivables Funding LLC,

Series 2018-02A, Class A, 144A

3.500%

06/20/35

1,643

1,659,379

Residential Mortgage-Backed Securities — 0.8%

Credit-Based Asset Servicing & Securitization LLC,

Series 2005-CB06, Class A3

3.791%

07/25/35

249

247,307

CSMC Trust,

Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%

5.499%(c)

12/26/46

2,663

2,691,179

Series 2018-11R, 144A, 1 Month LIBOR + 1.400%

3.774%

08/25/37^

800

800,000

Series 2018-RPL08, Class A1, 144A

4.070%

07/25/58

1,355

1,352,657

CWABS, Inc., Asset-Backed Certificates,

Series 2004-01, Class M1, 1 Month LIBOR + 0.750%

3.256%(c)

03/25/34

937

938,116

Equity One Mortgage Pass-Through Trust,

Series 2004-03, Class M1

4.570%

07/25/34

266

265,707

Fremont Home Loan Trust,

Series 2004-02, Class M1, 1 Month LIBOR + 0.855%

3.361%(c)

07/25/34

506

502,540

Long Beach Mortgage Loan Trust,

Series 2004-02, Class M1, 1 Month LIBOR + 0.795%

3.301%(c)

06/25/34

235

230,765

Mill City Mortgage Loan Trust,

Series 2017-03, Class A1, 144A

2.750%(cc)

01/25/61

1,627

1,589,864

TFS (Spain),

Series 2018-03, Class A1

2.900%(cc)

03/16/23

EUR

2,111

2,414,212

Towd Point Mortgage Trust,

Series 2017-04, Class A1, 144A

2.750%(cc)

06/25/57

974

948,003

Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%

3.106%(c)

02/25/57

3,090

3,073,478

Series 2017-06, Class A1, 144A

2.750%(cc)

10/25/57

2,370

2,314,651

Series 2018-02, Class A1, 144A

3.250%(cc)

03/25/58

229

225,674

Series 2018-03, Class A1, 144A

3.750%(cc)

05/25/58

101

100,975

Series 2018-05, Class A1, 144A

3.250%(cc)

07/25/58

775

761,364

VOLT LX LLC,

Series 2017-NPL07, Class A1, 144A

3.250%

06/25/47

240

238,389

18,694,881

SEE NOTES TO FINANCIAL STATEMENTS.

A12



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Student Loans — 0.8%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		2,240	$	2,167,858
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		1,545		1,537,508
Series 2018-CGS, Class A1, 144A
3.870%		02/25/46		600		605,358
Series 2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)
3.183%(c)		02/25/46		800		796,418
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		1,500		1,460,428
Series 2018-B, Class A2FX, 144A
3.540%		05/26/43		2,200		2,200,874
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		3,300		3,251,630
Series 2018-CA, Class A2, 144A
3.520%		06/16/42		1,200		1,209,320
SoFi Professional Loan Program Trust,
Series 2018-B, Class A1FX, 144A
2.640%		08/25/47		1,676		1,668,203
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		3,200		3,206,298

						18,103,895

TOTAL ASSET-BACKED SECURITIES (cost $177,285,501)						176,830,667


COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.2%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		3,100		3,028,918
BBCMS Mortgage Trust,
Series 2018-C02, Class A4
4.047%		12/15/51		3,850		3,946,993
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		3,600		3,626,486
CFCRE Commercial Mortgage Trust,
Series 2016-C04, Class A3
3.014%		05/10/58		2,500		2,405,047
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		888		873,549
Series 2014-GC21, Class A4
3.575%		05/10/47		1,835		1,853,897
Series 2016-C01, Class A3
2.944%		05/10/49		2,700		2,611,785
Series 2017-P07, Class A3
3.442%		04/14/50		4,000		3,948,344
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		1,231		1,229,217


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2014-CR18, Class A4
3.550%		07/15/47		2,100	$	2,113,044
Series 2014-LC17, Class A4
3.648%		10/10/47		5,000		5,057,113
Series 2014-UBS03, Class A2
2.844%		06/10/47		1,700		1,696,712
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		2,500		2,497,329
Series 2017-C08, Class A3
3.127%		06/15/50		3,800		3,655,690
Fannie Mae-Aces,
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		2,814		2,798,805
Series 2015-M17, Class A2
2.939%(cc)		11/25/25		3,000		2,964,891
Series 2016-M07, Class AB2
2.385%		09/25/26		1,800		1,706,461
Series 2017-M01, Class A2
2.415%(cc)		10/25/26		1,600		1,505,930
Series 2017-M04, Class A2
2.597%(cc)		12/25/26		8,600		8,180,847
Series 2017-M08, Class A2
3.061%(cc)		05/25/27		5,900		5,776,791
Series 2018-M04, Class A2
3.043%(cc)		03/25/28		3,075		2,989,923
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.409%(cc)		05/25/22		19,326		763,008
Series K021, Class X1, IO
1.444%(cc)		06/25/22		5,338		223,907
Series K055, Class X1, IO
1.366%(cc)		03/25/26		4,617		378,631
Series K064, Class AM
3.327%(cc)		03/25/27		4,200		4,175,050
Series K068, Class AM
3.315%		08/25/27		4,100		4,085,937
Series K069, Class A2
3.187%(cc)		09/25/27		3,500		3,466,330
Series K069, Class AM
3.248%(cc)		09/25/27		750		742,859
Series K070, Class A2
3.303%(cc)		11/25/27		5,200		5,190,525
Series K070, Class AM
3.364%(cc)		12/25/27		1,100		1,098,111
Series K072, Class A2
3.444%		12/25/27		1,400		1,412,106
Series K074, Class A2
3.600%		01/25/28		8,550		8,725,525
Series K075, Class AM
3.650%(cc)		02/25/28		2,550		2,596,389
Series K076, Class A2
3.900%		06/25/51		6,200		6,468,242
Series K076, Class AM
3.900%		06/25/51		1,825		1,892,937
Series K077, Class A2
3.850%(cc)		05/25/28		3,470		3,606,896

SEE NOTES TO FINANCIAL STATEMENTS.

A13



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K077, Class AM
3.850%(cc)		05/25/28		690	$	713,542
Series K080, Class AM
3.986%(cc)		07/25/28		5,150		5,382,042
Series K081, Class AM
3.900%(cc)		08/25/28		2,600		2,692,911
Series K086, Class A2
3.859%(cc)		11/25/28		2,500		2,597,771
Series K086, Class AM
3.919%(cc)		11/25/28		800		831,367
Series K157, Class A2
3.990%(cc)		05/25/33		3,100		3,205,760
Series K710, Class X1, IO
1.734%(cc)		05/25/19		13,858		33,663
Series K711, Class X1, IO
1.668%(cc)		07/25/19		14,009		52,532
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,630		1,629,637
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		3,000		2,947,654
Series 2015-GC34, Class A3
3.244%		10/10/48		4,800		4,717,673
Series 2016-GS03, Class A3
2.592%		10/10/49		4,200		3,938,892
Series 2016-GS04, Class A3
3.178%		11/10/49		4,000		3,885,260
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		1,100		1,098,982
Series 2015-C27, Class A3A1
2.920%		02/15/48		5,000		4,859,615
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP06, Class A3
3.109%		07/15/50		5,581		5,540,048
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		2,500		2,401,733
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A3
3.139%		06/15/45		224		223,672
Series 2012-LC09, Class A4
2.611%		12/15/47		716		713,948
Series 2013-C10, Class A4
2.875%		12/15/47		259		257,708
Series 2013-LC11, Class A4
2.694%		04/15/46		505		493,211
LB-UBS Commercial Mortgage Trust,
Series 2007-C06, Class AM
6.114%(cc)		07/15/40		59		59,086
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,080		1,064,922
Morgan Stanley Capital I Trust,
Series 2015-UBS08, Class A3
3.540%		12/15/48		5,000		5,000,742


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2016-UB11, Class A3
2.531%		08/15/49		6,300	$	5,872,289
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50		2,500		2,494,537
Series 2017-C05, Class A4
3.212%		11/15/50		5,000		4,825,736
Series 2018-C09, Class A3
3.854%		03/15/51		1,800		1,819,578
Series 2018-C14, Class A3
4.180%		12/15/51		2,900		3,000,048
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45		1,400		1,385,956
Series 2013-C05, Class A3
2.920%		03/10/46		2,763		2,737,030
Series 2013-C06, Class A3
2.971%		04/10/46		1,498		1,487,230
Wells Fargo Commercial Mortgage Trust,
Series 2016-BNK01, Class XB, IO
1.339%(cc)		08/15/49		9,000		789,130
Series 2016-NXS06, Class A3
2.642%		11/15/49		4,500		4,227,728
Series 2017-C38, Class A4
3.190%		07/15/50		3,300		3,180,859

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $199,075,367)						195,456,717


CORPORATE BONDS — 10.6%
Aerospace & Defense — 0.1%
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23		170		177,014
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		1,790		1,791,448
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		910		901,538

						2,870,000

Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24		2,685		2,473,137
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		290		295,849

						2,768,986

Airlines — 0.2%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28		2,182		2,073,642

SEE NOTES TO FINANCIAL STATEMENTS.

A14



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Airlines (continued)
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22		13	$	14,057
Continental Airlines 2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		427		438,176
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		396		401,699
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		303		299,331
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		222		239,704
Delta Air Lines 2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20		79		79,034
Delta Air Lines 2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20		422		424,292
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		1,300		1,291,364

						5,261,299

Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.835%(c)		04/12/21		355		351,545
Gtd. Notes, 144A
3.100%		04/12/21		480		475,386
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		875		870,160
3.350%		05/04/21		1,455		1,450,587
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43		1,090		840,592
5.291%		12/08/46		950		779,932
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21		515		499,711
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43		1,065		998,270
6.600%		04/01/36		585		569,499
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.258%(c)		04/09/21		820		801,337
Gtd. Notes
3.550%		04/09/21		620		611,463
3.950%		04/13/24		1,700		1,614,507
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21		2,300		2,259,472

						12,122,461


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks — 3.1%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.545%(c)		04/12/23			400	$	392,234
Sr. Unsec’d. Notes
3.848%		04/12/23			800		777,331
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		275		279,304
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			1,520		1,496,986
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			2,275		2,275,341
3.824%(ff)		01/20/28			615		596,612
4.000%		04/01/24			745		749,129
Sub. Notes, MTN
4.000%		01/22/25			1,700		1,656,049
4.450%		03/03/26			4,790		4,735,371
Bank of America NA,
Sub. Notes
6.000%		10/15/36			805		928,913
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.896%(c)		04/13/21			400		397,604
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			570		569,714
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			610		562,261
3.684%		01/10/23			320		307,474
4.375%		01/12/26			323		306,828
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			705		679,745
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,590		1,534,350
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		945		922,556
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		640		612,928
Sr. Unsec’d. Notes
3.200%		10/21/26			670		618,536
3.700%		01/12/26			1,610		1,547,957
3.887%(ff)		01/10/28			560		540,349
8.125%		07/15/39			365		506,383
Sub. Notes
4.450%		09/29/27			1,485		1,431,268
4.750%		05/18/46			440		406,762
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28			980		945,411
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,240		1,196,657
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			595		580,830

SEE NOTES TO FINANCIAL STATEMENTS.

A15



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
Sub. Notes
7.000%		04/15/20			485	$	504,929
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		1,800		1,739,286
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		560		501,200
Sr. Unsec’d. Notes
3.750%		02/25/26			1,165		1,101,678
3.814%(ff)		04/23/29			440		410,795
3.850%		01/26/27			2,625		2,469,200
5.750%		01/24/22			3,265		3,418,567
Sub. Notes
6.750%		10/01/37			1,100		1,242,212
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.240%(c)		05/18/21			1,530		1,507,296
Sr. Unsec’d. Notes
4.875%		01/14/22			1,230		1,271,407
5.100%		04/05/21			920		951,381
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.990%(c)		—	(rr)		1,435		1,415,269
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,175		1,167,656
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			270		262,094
3.964%(ff)		11/15/48			2,240		1,982,763
4.005%(ff)		04/23/29			1,360		1,333,292
4.250%		10/15/20			1,660		1,689,912
Sub. Notes
3.875%		09/10/24			3,525		3,468,514
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%(ff)		04/26/21			3,000		2,987,873
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			1,400		1,395,754
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,770		1,811,811
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			2,385		2,291,551
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		640		622,477
Sr. Unsec’d. Notes
4.375%		01/22/47			930		880,189
4.457%(ff)		04/22/39			290		280,775
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			610		608,925
3.772%(ff)		01/24/29	(a)		1,295		1,239,023
3.875%		01/27/26			550		536,454
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,030		973,869
Sub. Notes, GMTN
4.350%		09/08/26			3,050		2,964,003


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
PNC Bank NA,
Sr. Unsec’d. Notes
1.950%		03/04/19		455	$	454,207
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.910%(c)		04/30/21		1,620		1,606,418
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21		360		359,963

						73,005,626

Beverages — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes, 144A
4.700%		02/01/36		1,220		1,131,425
Keurig Dr. Pepper, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21		830		828,743

						1,960,168

Building Materials — 0.0%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24		1,135		1,065,481

Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21		1,160		1,219,382
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44		445		360,450
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22		2,675		2,607,780
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41		5		4,989
9.400%		05/15/39		30		43,392
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55		620		522,174
5.000%		04/15/19		201		201,219
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		265		272,381
5.625%		11/15/43		295		299,655
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25		500		578,124

						6,109,546

Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46		875		780,209
7.000%		10/15/37		390		484,876

SEE NOTES TO FINANCIAL STATEMENTS.

A16



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Commercial Services (continued)
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			735	$	644,963
5.875%		09/15/26			400		377,000

							2,287,048

Computers — 0.1%
Apple, Inc.,
Sr. Unsec’d. Notes
3.200%		05/13/25			2,400		2,360,341
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19			825		822,562
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			150		148,310

							3,331,213

Diversified Financial Services — 0.5%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.750%		05/15/19			600		599,955
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20			1,625		1,603,972
3.450%		04/30/21			3,215		3,213,489
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			1,300		1,309,827
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		893,761
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			465		470,787
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes
6.875%		05/02/18	(d)		700		13,650
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,850		35,150
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,380		1,381,101
U.S. Gov’t. Gtd. Notes
2.450%		07/15/24			285		281,189
3.250%		06/15/25			255		260,092
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,175		2,138,052

							12,201,025

Electric — 1.2%
Avista Corp.,
First Mortgage
4.350%		06/01/48			845		862,625


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (continued)
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36		530	$	639,818
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37		335		391,813
CenterPoint Energy Houston Electric LLC,
General Ref. Mtge.
6.950%		03/15/33		300		392,325
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes
5.500%		12/01/39		145		163,997
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		2,470		2,484,265
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,075		1,065,215
Duke Energy Carolinas LLC,
First Mortgage
6.050%		04/15/38		530		645,641
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		845		950,071
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		605		610,564
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		2,397		2,344,025
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		400		405,152
6.250%		10/01/39		1,375		1,433,916
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		265		287,883
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		380		461,806
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		140		163,206
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,105		2,116,862
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20		1,000		1,059,000
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		575		546,204
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		1,560		1,608,823
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19		545		549,827

SEE NOTES TO FINANCIAL STATEMENTS.

A17



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (continued)
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,035	$	947,433
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			980		873,362
5.000%		03/15/44			495		504,570
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,260		1,239,221
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			675		649,682
3.700%		05/01/28			850		863,460
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			515		615,585
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,010		980,858
Southern California Edison Co.,
First Ref. Mtge.
4.000%		04/01/47			350		320,861
First Ref. Mtge., Series C
3.600%		02/01/45			690		593,193
State Grid Overseas Investment 2014 Ltd. (China),
Gtd. Notes, 144A
2.750%		05/07/19			500		499,487
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		488,495

							27,759,245

Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			650		640,854

Foods — 0.1%
Conagra Brands, Inc.,
Sr. Unsec’d. Notes
3.800%		10/22/21			2,470		2,470,871
Kraft Heinz Foods Co.,
Gtd. Notes
4.375%		06/01/46			360		296,578

							2,767,449

Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20			275		284,948
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41			1,270		1,337,845

							1,622,793


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43		45	$	45,261
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		2,355		2,247,246

						2,292,507

Healthcare-Products — 0.0%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24		372		359,350

Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		480		562,954
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		330		318,088
Centene Corp.,
Sr. Unsec’d. Notes
5.625%		02/15/21		750		751,875
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		435		435,505
HCA, Inc.,
Sr. Sec’d. Notes
4.500%		02/15/27		700		661,500
5.250%		04/15/25		350		348,250
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		670		661,739
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22		160		158,789
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45		340		330,589

						4,229,289

Home Builders — 0.0%
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21		1,000		990,000

Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		2,010		1,964,412

Insurance — 0.3%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20		990		1,018,524
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		635		665,654

SEE NOTES TO FINANCIAL STATEMENTS.

A18



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Insurance (continued)
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42		215	$	254,971
7.000%		03/15/34		910		1,115,179
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		701		827,725
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		165		164,572
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		650		852,610
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40		100		121,582
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20		640		660,854
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		105		101,480
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,430		1,368,689
6.850%		12/16/39		122		158,626
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		315		325,930
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19		575		585,585

						8,221,981

Lodging — 0.1%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.000%		03/01/19		490		489,374
3.250%		09/15/22		805		788,351

						1,277,725

Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,060		1,094,514

Media — 0.5%
21st Century Fox America, Inc.,
Gtd. Notes
6.150%		03/01/37		250		306,647
6.900%		08/15/39		35		45,997
7.625%		11/30/28		1,265		1,641,991
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24		1,225		1,160,688


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35		630	$	646,662
6.484%		10/23/45		1,000		1,027,939
Comcast Cable Holdings LLC,
Gtd. Notes
9.875%		06/15/22		1,440		1,723,139
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28		1,455		1,477,454
4.250%		10/15/30		500		505,654
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37		677		627,967
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		270		246,046
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		340		307,669
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		850		845,750
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27		585		548,907

						11,112,510

Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75		315		321,637
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45		400		408,662
6.750%		04/16/40		300		331,262

						1,061,561

Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22		1,040		1,027,000

Multi-National — 0.2%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		485		483,246
2.125%		09/27/21		1,195		1,159,951
2.750%		01/06/23		385		375,822
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22		855		835,923
4.375%		02/11/20		800		812,649

						3,667,591

SEE NOTES TO FINANCIAL STATEMENTS.

A19



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas — 0.6%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		1,000	$	417,049
4.850%		03/15/21		637		652,212
6.450%		09/15/36		1,040		1,123,196
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		850		731,898
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		150		142,325
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41		225		213,346
Encana Corp. (Canada),
Sr. Unsec’d. Notes
3.900%		11/15/21		100		100,085
6.500%		02/01/38		240		260,206
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22		255		257,038
6.510%		03/07/22		440		459,470
Helmerich & Payne, Inc.,
Gtd. Notes, 144A
4.650%		03/15/25		1,555		1,585,563
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22		400		393,256
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44		595		512,513
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25		535		510,925
5.750%		02/01/29		610		564,250
6.250%		03/17/24		515		522,467
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22		330		323,235
5.500%		01/21/21		1,295		1,289,781
6.500%		06/02/41		955		790,740
8.625%		12/01/23		350		372,295
Gtd. Notes, MTN
6.750%		09/21/47		1,590		1,314,755
6.875%		08/04/26		1,000		972,000
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,000		987,712

						14,496,317

Oil & Gas Services — 0.1%
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
3.000%		12/21/20		559		554,155
4.000%		12/21/25		2,170		2,141,877


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas Services (continued)
Schlumberger Investment SA,
Gtd. Notes, 144A
3.300%		09/14/21		100	$	100,242

						2,796,274

Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20		465		466,744
WestRock RKT Co.,
Gtd. Notes
4.900%		03/01/22		675		694,694

						1,161,438

Pharmaceuticals — 0.5%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		950		911,226
4.500%		05/14/35		1,595		1,475,546
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		1,770		1,679,018
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
3.452%(c)		06/25/21		805		794,277
Gtd. Notes, 144A
3.500%		06/25/21		350		347,522
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		1,870		1,880,436
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		230		220,399
5.050%		03/25/48		535		520,346
5.125%		07/20/45		440		428,300
5.300%		12/05/43		170		171,760
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		2,570		2,485,148

						10,913,978

Pipelines — 0.4%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20		473		474,774
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21		610		620,609
4.950%		06/15/28		795		777,838
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25		1,055		1,043,877
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25		1,140		1,107,171
4.875%		06/01/25		2,275		2,295,845
5.200%		03/01/47		25		23,012

SEE NOTES TO FINANCIAL STATEMENTS.

A20



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pipelines (continued)
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36			130	$	145,441
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47			640		591,232
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.500%		08/15/48			80		71,220
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48			230		208,703
4.900%		01/15/45			1,100		997,335

							8,357,057

Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
4.875%		11/01/20			240		242,040
5.375%		04/15/26			725		717,032
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22			190		190,268

							1,149,340

Retail — 0.3%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.149%(c)		04/17/20			795		789,929
Sr. Unsec’d. Notes
4.000%		05/15/25			3,395		3,263,797
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,000		996,250
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22	(a)		300		296,877
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,020		938,400

							6,285,253

Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,195		1,196,158

Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27			1,555		1,394,998

Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			915		919,159
Microsoft Corp.,
Sr. Unsec’d. Notes
4.000%		02/12/55			360		353,534


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Software (continued)
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34		700	$	702,654

						1,975,347

Telecommunications — 0.3%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31		10		13,252
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25		3,130		2,947,373
4.500%		05/15/35		225		202,005
4.500%		03/09/48		12		10,269
4.550%		03/09/49		4		3,443
5.350%		09/01/40		113		109,776
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30		350		473,366
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20		400		410,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23		963		950,469
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.125%		08/15/46		1,900		1,676,326
4.500%		08/10/33		865		853,829

						7,650,108

Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		735		906,147
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		690		816,018
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		120		132,910

						1,855,075

TOTAL CORPORATE BONDS (cost $258,409,856)						252,302,977


MUNICIPAL BONDS — 0.7%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Revenue Bonds, BABs
4.263%		09/15/32		180		183,917

California — 0.2%
Bay Area Toll Authority,
Revenue Bonds, BABs
6.263%		04/01/49		1,305		1,776,079

SEE NOTES TO FINANCIAL STATEMENTS.

A21



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

MUNICIPAL BONDS (continued)
California (continued)
California Educational Facilities Authority, Stanford Univ.,
Revenue Bonds, Series U-7, BABs
5.000%		06/01/46		550	$	713,080
State of California, GO BABs
7.300%		10/01/39		1,250		1,715,900
7.500%		04/01/34		350		476,956
7.550%		04/01/39		245		350,975
7.625%		03/01/40		205		291,877

						5,324,867

Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, Series 2010-B, BABs
5.844%		11/01/50		565		746,540

Illinois — 0.2%
Chicago O’Hare International Airport,
Revenue Bonds, BABs
6.395%		01/01/40		970		1,237,972
State of Illinois, GO, Series D, BABs
5.000%		11/01/22		2,305		2,431,130

						3,669,102

New Jersey — 0.1%
New Jersey Turnpike Authority,
Revenue Bonds, Series F, BABs
7.414%		01/01/40		1,000		1,409,000

New York — 0.1%
New York City Transitional Finance Authority Future Tax Secured Revenue,
Revenue Bonds, BABs
5.767%		08/01/36		1,100		1,313,686

Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Series C, BABs
4.910%		06/01/40		415		480,213

Ohio State Water Development Authority Water Pollution Control Loan Fund,
Revenue Bonds, BABs
4.879%		12/01/34		275		302,104

						782,317

Oregon — 0.0%
State of Oregon Department of Transportation Highway,
Revenue Bonds, Series A, BABs
5.834%		11/15/34		425		528,317

Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, Series B, BABs
5.511%		12/01/45		505		619,978

Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		1,100		1,432,365

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

MUNICIPAL BONDS (continued)

Virginia — 0.0%

University of Virginia,

Revenue Bonds, Taxable, Series C

4.179%

09/01/2117

355

345,575

TOTAL MUNICIPAL BONDS
(cost $13,838,492)

16,355,664

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.5%

Alternative Loan Trust,

Series 2004-18CB, Class 3A1

5.250%

09/25/19

46,524

Banc of America Funding Trust,

Series 2015-R04, Class 4A1, 144A

3.500%(cc)

01/27/30

630

623,274

Banc of America Mortgage Trust,

Series 2005-A, Class 2A1

3.681%(cc)

02/25/35

141

140,321

Series 2005-B, Class 2A1

3.910%(cc)

03/25/35

149

145,571

Bellemeade Re Ltd. (Bermuda),

Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%

4.206%(c)

10/25/27

462

464,396

Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%

4.106%(c)

04/25/28

233

233,000

Series 2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%

3.456%(c)

08/25/28

600

598,481

Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%

3.856%(c)

08/25/28

300

298,581

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%

4.106%(c)

08/25/28

300

295,270

Central Park Funding Trust,

Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%)

3.780%(c)

11/01/23^

3,500

3,500,000

Chase Mortgage Finance Trust,

Series 2007-A01, Class 1A5

4.369%(cc)

02/25/37

282

283,273

CIM Trust,

Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

12/25/57

2,072

2,083,255

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

01/25/57

2,571

2,611,152

Series 2017-06, Class A1, 144A

3.015%(cc)

06/25/57

1,206

1,164,079

Series 2017-08, Class A1, 144A

3.000%(cc)

12/25/65

2,382

2,342,659

CSMC Trust,

Series 2018-RPL09, Class A, 144A

3.850%(cc)

09/25/57

1,949

1,972,321

Fannie Mae Connecticut Avenue Securities,

Series 2016-C02, Class 1M1, 1 Month LIBOR + 2.150%

4.656%(c)

09/25/28

60,294

Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%

3.956%(c)

01/25/29

450

451,686

SEE NOTES TO FINANCIAL STATEMENTS.

A22



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%

3.806%(c)

03/25/29

950

951,049

Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%

4.756%(c)

11/25/28

589

598,250

Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%

3.706%(c)

07/25/29

1,711

1,718,436

Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%

3.256%(c)

03/25/30

3,441

3,430,611

Gosforth Funding PLC (United Kingdom),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%

3.139%(c)

08/25/60

1,555

1,550,014

Holmes Master Issuer PLC (United Kingdom),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%

2.796%(c)

10/15/54

1,600

1,593,650

JPMorgan Mortgage Trust,

Series 2007-A01, Class 4A1

4.570%(cc)

07/25/35

136

138,021

Lanark Master Issuer PLC (United Kingdom),

Series 2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%

3.097%(c)

12/22/69

1,148

1,142,847

Lehman XS Trust,

Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%

2.711%(c)

08/25/46

994

974,723

LSTAR Securities Investment Ltd. (Cayman Islands),

Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

05/01/22

1,050

1,046,218

Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%

4.170%(c)

11/01/22

703

702,944

LSTAR Securities Investment Trust,

Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%

4.099%(c)

09/01/22

814

815,497

MASTR Alternative Loan Trust,

Series 2004-04, Class 4A1

5.000%

04/25/19

744

MetLife Securitization Trust,

Series 2018-01A, Class A, 144A

3.750%(cc)

03/25/57

673

678,917

New Residential Mortgage Loan Trust,

Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750%

3.256%(c)

01/25/48

638

634,824

Oaktown Re II Ltd. (Bermuda),

Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%

4.056%(c)

07/25/28

300

300,364

STACR Trust,

Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%

3.256%(c)

09/25/48

1,000

998,072

Structured Adjustable Rate Mortgage Loan Trust,

Series 2004-01, Class 4A3

4.232%(cc)

02/25/34

189

189,194

Washington Mutual Mortgage Pass-Through Certificates,

Series 2005-01, Class 3A

5.000%

03/25/20

32,498

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $34,790,992)

34,811,010


Interest Rate	Maturity Date		Principal Amount (000)#		Value

SOVEREIGN BONDS — 1.2%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27		2,420	$	2,311,197
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24		220		217,800
4.375%		07/12/21		400		406,000
7.375%		09/18/37		450		544,275
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28		745		700,170
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20		265		272,735
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25		400		384,668
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21		1,760		1,857,398
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25		EUR1,200		1,462,757
4.450%		02/11/24		355		356,842
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24		750		799,577
Sr. Unsec’d. Notes, EMTN
2.150%		07/18/24		EUR1,510		1,748,812
4.750%		01/08/26		350		354,583
Japan Bank for International Cooperation (Japan),
Gov’t. Gtd. Notes
1.500%		07/21/21		400		387,186
2.125%		11/16/20		1,200		1,184,644
3.375%		10/31/23		200		203,782
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%		04/13/21		600		588,589
2.125%		10/25/23		1,000		958,017
2.625%		04/20/22		1,400		1,382,506
Sr. Unsec’d. Notes, EMTN
2.125%		04/13/21		200		196,196
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes
4.000%		10/02/23		438		435,959
Sr. Unsec’d. Notes, MTN
4.750%		03/08/44		366		332,694
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25		490		485,350
4.000%		09/22/24		395		398,361
4.500%		04/16/50		340		325,550
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23		750		765,190
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%		04/23/23		800		809,064
5.103%		04/23/48		885		929,471

SEE NOTES TO FINANCIAL STATEMENTS.

A23



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#			Value

SOVEREIGN BONDS (continued)
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%		10/26/21			980		$	943,303
2.875%		03/04/23			1,285			1,235,201
4.000%		04/17/25			750			743,381
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			1,200			1,177,457
3.250%		06/01/23			600			604,294
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%		06/05/20			1,260			1,284,250
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55			560			532,566
5.100%		06/18/50			490			480,935

TOTAL SOVEREIGN BONDS (cost $28,317,962)								27,800,760


U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7%
Federal Home Loan Bank
5.500%		07/15/36	(k)		850			1,092,909
Federal Home Loan Mortgage Corp.
2.000%		01/01/32			1,009			965,279
2.500%		03/01/30			590			579,059
3.000%		10/01/28			461			462,375
3.000%		06/01/29			873			874,399
3.000%		01/01/37			263			260,489
3.000%		06/01/42			415			408,186
3.000%		10/01/42			970			953,549
3.000%		01/01/43			873			857,820
3.000%		07/01/43			2,288			2,247,552
3.500%		TBA			9,250			9,238,895
3.500%		06/01/42			418			421,238
3.500%		01/01/47			937			938,678
4.000%		TBA			15,000			15,291,504
4.000%		06/01/26			591			606,911
4.000%		09/01/26			203			208,503
4.000%		03/01/38			522			536,728
4.000%		10/01/39			681			700,170
4.000%		12/01/40			458			471,575
4.000%		10/01/41			475			488,611
4.000%		01/01/42			165			169,325
4.000%		10/01/48			9,377			9,561,430
4.000%		11/01/48			1,062			1,082,511
4.500%		02/01/19			—	(r)		36
4.500%		07/01/19			14			14,350
4.500%		07/01/20			24			24,578
4.500%		02/01/39			98			102,760
4.500%		09/01/39			168			175,959
4.500%		10/01/39			1,525			1,597,224
4.500%		12/01/39			146			152,458
4.500%		07/01/41			274			285,580
4.500%		07/01/41			1,806			1,890,529
4.500%		08/01/41			131			136,115
4.500%		08/01/41			232			240,812
4.500%		08/01/41			556			582,610
4.500%		10/01/41			152			157,374


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		12/01/47			497	$	514,857
5.000%		05/01/34			21		21,970
5.000%		05/01/34			334		354,201
5.000%		10/01/35			8		8,331
5.000%		07/01/37			513		543,576
5.000%		05/01/39			73		77,737
5.500%		12/01/33			47		49,173
5.500%		01/01/34			47		50,263
5.500%		06/01/34			81		87,823
5.500%		07/01/34			207		222,351
5.500%		05/01/37			57		61,050
5.500%		02/01/38			465		498,474
5.500%		05/01/38			51		54,468
5.500%		07/01/38			125		133,712
6.000%		03/01/32			233		252,307
6.000%		12/01/33			53		56,937
6.000%		11/01/36			58		63,052
6.000%		01/01/37			49		53,297
6.000%		05/01/37			29		32,129
6.000%		02/01/38			5		5,220
6.000%		08/01/39			73		79,804
6.750%		03/15/31	(k)		550		747,792
7.000%		05/01/31			14		14,733
7.000%		06/01/31			14		14,512
7.000%		08/01/31			115		123,299
7.000%		10/01/31			7		7,066
Federal National Mortgage Assoc.
2.000%		08/01/31			925		885,120
2.500%		01/01/28			872		860,248
2.500%		10/01/43			726		688,356
2.500%		12/01/46			1,520		1,435,344
3.000%		02/01/27			1,824		1,829,388
3.000%		08/01/30			1,220		1,218,973
3.000%		11/01/36			2,403		2,376,838
3.000%		12/01/42			1,798		1,768,315
3.000%		11/01/46			1,431		1,395,315
3.000%		03/01/47			982		957,818
3.500%		TBA			6,500		6,493,946
3.500%		02/01/33			3,444		3,487,990
3.500%		06/01/39			593		595,943
3.500%		01/01/42			4,818		4,855,732
3.500%		05/01/42			2,556		2,575,457
3.500%		07/01/42			934		941,343
3.500%		08/01/42			394		397,020
3.500%		08/01/42			1,194		1,202,863
3.500%		09/01/42			526		530,579
3.500%		09/01/42			1,952		1,967,364
3.500%		11/01/42			343		345,194
3.500%		03/01/43			2,781		2,802,544
3.500%		04/01/43			658		663,290
3.500%		04/01/43			1,006		1,013,691
3.500%		01/01/46			2,080		2,086,255
4.000%		TBA			12,500		12,742,187
4.000%		10/01/41			3,007		3,091,664
4.000%		09/01/44			2,891		2,954,152
4.000%		11/01/47			903		925,770
4.500%		07/01/33			57		59,576
4.500%		08/01/33			48		49,846

SEE NOTES TO FINANCIAL STATEMENTS.

A24



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
4.500%		09/01/33		116		$	120,813
4.500%		10/01/33		10			10,792
4.500%		10/01/33		36			37,381
4.500%		10/01/33		151			156,970
4.500%		01/01/35		2			1,802
4.500%		07/01/39		998			1,045,137
4.500%		08/01/39		1,525			1,596,473
4.500%		03/01/41		524			548,476
5.000%		TBA		4,250			4,451,543
5.000%		03/01/34		271			288,143
5.000%		06/01/35		100			105,980
5.000%		07/01/35		132			139,462
5.000%		09/01/35		80			84,730
5.000%		11/01/35		103			109,400
5.000%		02/01/36		125			132,753
5.000%		05/01/36		62			66,160
5.500%		09/01/33		283			304,933
5.500%		10/01/33		88			94,417
5.500%		12/01/33		62			67,126
5.500%		01/01/34		1			1,510
5.500%		12/01/34		199			213,871
5.500%		10/01/35		726			775,542
5.500%		03/01/36		136			146,676
5.500%		05/01/36		122			130,752
5.500%		04/01/37		111			119,279
6.000%		05/01/21		31			32,015
6.000%		08/01/22		34			34,387
6.000%		04/01/33		17			18,696
6.000%		06/01/33		6			6,724
6.000%		10/01/33		317			341,336
6.000%		11/01/33		6			6,333
6.000%		11/01/33		22			23,429
6.000%		11/01/33		49			52,157
6.000%		01/01/34		314			341,979
6.000%		02/01/34		76			82,920
6.000%		03/01/34		33			35,888
6.000%		03/01/34		67			71,563
6.000%		07/01/34		183			199,142
6.000%		08/01/34		1			666
6.000%		10/01/34		3			3,672
6.000%		11/01/34		3			2,874
6.000%		11/01/34		45			48,898
6.000%		12/01/34		24			25,367
6.000%		01/01/35		80			86,756
6.000%		01/01/35		240			260,083
6.000%		02/01/35		5			4,824
6.000%		02/01/35		79			84,502
6.000%		02/01/35		277			306,361
6.000%		03/01/35		3			2,875
6.000%		04/01/35		1			1,071
6.000%		07/01/36		48			51,890
6.000%		02/01/37		83			90,700
6.000%		05/01/37		32			34,853
6.000%		06/01/37		1			901
6.000%		08/01/37		—	(r)		208
6.000%		08/01/37		18			19,991
6.000%		09/01/37		—	(r)		378
6.000%		10/01/37		38			41,247


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		05/01/38			75	$	81,734
6.000%		06/01/38			2		2,614
6.250%		05/15/29	(k)		1,245		1,596,553
6.500%		07/01/32			45		48,646
6.500%		09/01/32			2		1,825
6.500%		09/01/32			14		15,177
6.500%		09/01/32			67		73,215
6.500%		09/01/32			67		73,440
6.500%		09/01/32			94		102,533
6.500%		04/01/33			112		126,455
6.500%		11/01/33			22		24,343
6.500%		01/01/34			45		48,522
6.500%		09/01/34			73		78,008
6.500%		10/01/34			156		169,965
6.500%		09/01/36			63		70,955
6.500%		10/01/36			29		32,857
6.500%		11/01/36			22		23,752
6.500%		01/01/37			41		43,599
6.500%		01/01/37			112		121,505
6.625%		11/15/30	(k)		800		1,072,342
7.000%		02/01/32			33		35,952
7.000%		05/01/32			16		18,992
7.000%		06/01/32			20		22,244
7.000%		07/01/32			59		65,291
7.125%		01/15/30	(k)		3,195		4,397,365
Government National Mortgage Assoc.
2.500%		12/20/46			783		749,789
3.000%		12/20/44			359		355,330
3.000%		03/15/45			1,092		1,076,654
3.000%		11/20/45			1,018		1,005,603
3.000%		03/20/46			2,354		2,323,431
3.000%		07/20/46			4,351		4,291,364
3.000%		08/20/46			1,620		1,598,141
3.000%		11/20/46			820		808,510
3.000%		12/20/46			1,467		1,445,749
3.000%		01/20/47			417		410,765
3.000%		04/20/47			1,740		1,714,882
3.500%		TBA			9,500		9,558,633
3.500%		12/20/42			1,472		1,488,752
3.500%		05/20/43			452		457,198
3.500%		04/20/45			2,007		2,023,478
3.500%		07/20/46			7,595		7,648,226
4.000%		TBA			5,000		5,115,430
4.000%		06/15/40			98		101,529
4.000%		05/20/41			80		82,202
4.000%		12/20/42			733		756,953
4.000%		08/20/44			357		367,024
4.000%		11/20/45			820		845,398
4.000%		12/20/45			2,160		2,228,046
4.500%		TBA			5,500		5,691,104
4.500%		04/15/40			696		726,683
4.500%		01/20/41			569		597,141
4.500%		02/20/41			951		997,986
4.500%		03/20/41			481		504,330
4.500%		06/20/44			716		752,595
4.500%		09/20/46			675		707,713
4.500%		11/20/46			1,005		1,057,140
4.500%		03/20/47			703		734,280

SEE NOTES TO FINANCIAL STATEMENTS.

A25



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.000%		10/20/37		104		$	109,308
5.000%		04/20/45		725			766,140
5.500%		08/15/33		253			269,194
5.500%		08/15/33		283			300,871
5.500%		09/15/33		81			86,402
5.500%		12/15/33		34			36,095
5.500%		03/15/34		163			173,428
5.500%		12/15/34		362			393,109
5.500%		07/15/35		74			79,851
5.500%		04/15/36		133			142,259
6.000%		11/15/23		—	(r)		420
6.000%		05/15/32		—	(r)		257
6.000%		04/15/33		9			9,522
6.000%		12/15/33		128			137,180
6.000%		01/15/34		36			39,799
6.000%		01/15/34		60			64,631
6.000%		01/15/34		69			75,105
6.000%		06/20/34		124			134,828
6.000%		07/15/34		89			97,047
6.500%		10/15/23		1			1,097
6.500%		12/15/23		4			4,459
6.500%		01/15/24		—	(r)		156
6.500%		01/15/24		—	(r)		516
6.500%		01/15/24		1			1,479
6.500%		01/15/24		4			3,787
6.500%		01/15/24		12			12,614
6.500%		01/15/24		16			17,326
6.500%		01/15/24		17			18,403
6.500%		01/15/24		38			40,684
6.500%		01/15/24		59			63,933
6.500%		02/15/24		3			3,130
6.500%		02/15/24		5			5,797
6.500%		02/15/24		6			5,913
6.500%		02/15/24		7			7,066
6.500%		02/15/24		12			12,704
6.500%		02/15/24		13			13,764
6.500%		03/15/24		1			1,536
6.500%		03/15/24		3			3,462
6.500%		03/15/24		4			4,219
6.500%		04/15/24		—	(r)		401
6.500%		04/15/24		1			1,166
6.500%		04/15/24		1			1,590
6.500%		04/15/24		2			2,388
6.500%		04/15/24		2			2,550
6.500%		04/15/24		3			3,141
6.500%		04/15/24		7			7,783
6.500%		04/15/24		13			14,414
6.500%		05/15/24		4			4,513
6.500%		05/15/24		5			5,859
6.500%		05/15/24		22			24,194
6.500%		10/15/24		20			21,798
6.500%		11/15/28		6			6,412
6.500%		08/15/31		7			8,007
6.500%		12/15/31		11			11,760
6.500%		02/15/32		38			40,650
6.500%		06/15/32		24			25,414
6.500%		07/15/32		44			47,283
6.500%		08/15/32		6			6,095


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		08/15/32			7		$	8,057
6.500%		08/15/32			8			8,454
6.500%		08/15/32			27			29,209
6.500%		08/15/32			203			232,329
6.500%		08/15/34			26			29,035
6.500%		06/15/35			42			47,313
6.500%		09/15/36			60			68,337
8.000%		01/15/24			8			7,928
8.000%		07/15/24			—	(r)		468
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes
3.000%		06/30/25			915			910,179
Tennessee Valley Authority, Sr. Unsec’d. Notes
7.125%		05/01/30			510			702,413

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $206,688,806)								206,155,717


U.S. TREASURY OBLIGATIONS — 1.9%
U.S. Treasury Bonds
3.000%		08/15/48			1,050			1,045,037
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			5,889			5,791,455
2.375%		01/15/27			30,928			34,142,308
U.S. Treasury Notes
2.625%		12/15/21			75			75,337
2.625%		12/31/23			425			427,225
2.875%		11/30/23	(k)		300			305,226
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			2,115			1,642,704
2.241%(s)		05/15/28			1,055			812,690
2.280%(s)		02/15/29			1,055			793,415
2.519%(s)		08/15/25			680			571,375

TOTAL U.S. TREASURY OBLIGATIONS (cost $46,456,208)								45,606,772

TOTAL LONG-TERM INVESTMENTS (cost $1,358,041,954)								2,046,225,232


				Shares

SHORT-TERM INVESTMENTS — 17.7%
AFFILIATED MUTUAL FUNDS — 17.5%
PGIM Core Short-Term Bond Fund(w)					6,525,324			60,098,231
PGIM Core Ultra Short Bond Fund(w)					321,028,979			321,028,979
PGIM Institutional Money Market Fund (cost $35,066,813; includes $34,978,670 of cash collateral for securities on loan)(b)(w)					35,069,293			35,065,786

TOTAL AFFILIATED MUTUAL FUNDS (cost $416,352,928)								416,192,996


Interest Rate	Maturity Date			Principal Amount (000)#

COMMERCIAL PAPER — 0.1%
Ford Motor Credit Co. LLC
3.201%(n) (cost $1,774,748)		04/09/19			1,790			1,773,529

SEE NOTES TO FINANCIAL STATEMENTS.

A26



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date	Principal Amount (000)#		Value

U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills 2.376%(n) 03/21/19(k) (cost $1,885,303)			1,895	$	1,885,387

*OPTIONS PURCHASED~ — 0.0%** (cost $16,598)					355,091

TOTAL SHORT-TERM INVESTMENTS (cost $420,029,577)					420,207,003

TOTAL INVESTMENTS — 104.1% (cost $1,778,071,531)					2,466,432,235
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (4.1)%					(96,658,697	)

NET ASSETS — 100.0%				$	2,369,773,538

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

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

~	See tables subsequent to the Schedule of Investments for options detail.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $4,254,073 and 0.2% of net assets.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $34,025,598; cash collateral of $34,978,670 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2018. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(d)	Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(ff)	Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(k)	Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n)	Rate shown reflects yield to maturity at purchased date.

(r)	Less than $500 par.

(rr)	Perpetual security with no stated maturity date.

(s)	Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)	Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded


Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		400	$	2,334
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		600		3,666
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		2,424		22,325
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		2,357		21,724
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		5,892		52,025
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		11,696		112,032
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		11,860		116,593
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		2,357		24,392

Total Options Purchased (cost $16,598)													$	355,091

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
623		2 Year U.S. Treasury Notes		Mar. 2019	$	132,270,688	$	852,615
1,038		5 Year U.S. Treasury Notes		Mar. 2019		119,045,625		1,918,273
27		10 Year U.S. Ultra Treasury Notes		Mar. 2019		3,512,109		19,568
583		30 Year U.S. Ultra Treasury Bonds		Mar. 2019		93,662,594		4,805,079

SEE NOTES TO FINANCIAL STATEMENTS.

A27



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Futures contracts outstanding at December 31, 2018 (continued):
Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions (continued):
7	Mini MSCI EAFE Index		Mar. 2019	$	600,600	$	(14,352	)
133	S&P 500 E-Mini Index		Mar. 2019		16,659,580		(381,328	)
25	S&P 500 Index		Mar. 2019		15,657,500		(438,282	)

							6,761,573

Short Positions:
315	10 Year U.S. Treasury Notes		Mar. 2019		38,434,922		(529,860	)
387	20 Year U.S. Treasury Bonds		Mar. 2019		56,502,000		(2,501,709	)

							(3,031,569	)

						$	3,730,004

Forward foreign currency exchange contracts outstanding at December 31, 2018:


Sale Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 01/25/19		Morgan Stanley & Co. International PLC		EUR2,497	$	2,844,660	$	2,867,310	$	—	$	(22,650	)
Expiring 01/25/19		Morgan Stanley & Co. International PLC		EUR2,497		2,826,055		2,867,309		—		(41,254	)

					$	5,670,715	$	5,734,619	$	—	$	(63,904	)

Credit default swap agreements outstanding at December 31, 2018:

Reference Entity/ Obligation

Termination
Date

Fixed
Rate

Notional
Amount
(000)#(3)

Value at
Trade
Date

Value at
December 31,
2018

Unrealized
Appreciation
(Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1):

CDX.NA.IG.31.V1

12/20/28

1.000

%(Q)

39,000

230,699

1,013,909

$783,210

The Portfolio entered into credit default swaps ("CDS") to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(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)

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.

(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 where the Portfolio is the seller of protection 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.

SEE NOTES TO FINANCIAL STATEMENTS.

A28



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Forward rate agreement outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date	Fixed Rate			Floating Rate			Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreement^:
	79,800	01/14/19		—	(3)		—	(3)	$	(33,295	)	$	—	$	(33,295	)	JPMorgan Securities LLC
	46,400	01/14/19		—	(4)		—	(4)		(12,632	)		—		(12,632	)	Citigroup Global Markets Inc.

									$	(45,927	)	$	—	$	(45,927	)

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

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

(3)	The Portfolio pays or receives payments based on CMM102 minus 7 Year CMS minus 1.337% upon termination.

(4)	The Portfolio pays or receives payments based on CMM102 minus 7 Year CMT minus 1.395% upon termination.

Inflation swap agreement outstanding at December 31, 2018:


Notional Amount (000)#	Termination Date	Fixed Rate			Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
Centrally Cleared Inflation Swap Agreement:
7,080	12/19/23		1.900%	(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(44,941	)	$	(44,941	)

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

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

Interest rate swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR2,835		05/11/24	0.396%(A)	6 Month EURIBOR(1)(S)	$	21,623		$	(35,298	)	$	(56,921	)
	47,045		06/30/19	1.486%(A)	1 Day USOIS(1)(A)		(17,942	)		363,837			381,779
	9,895		06/30/19	1.502%(A)	1 Day USOIS(1)(A)		(5,200	)		74,956			80,156
	17,865		09/30/19	1.707%(A)	1 Day USOIS(1)(A)		5,028			121,291			116,263
	28,570		12/31/19	1.840%(A)	1 Day USOIS(1)(A)		17,379			197,610			180,231
	13,360		12/31/19	1.950%(A)	1 Day USOIS(1)(A)		3,688			66,806			63,118
	5,500		12/31/19	2.040%(A)	1 Day USOIS(1)(A)		62			18,872			18,810
	2,345		12/31/19	2.107%(A)	1 Day USOIS(1)(A)		(5	)		5,336			5,341
	17,640		03/23/21	2.370%(A)	1 Day USOIS(1)(A)		—			(68,592	)		(68,592	)
	570		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			(2,466	)		(2,466	)
	14,815		08/15/24	2.170%(S)	3 Month LIBOR(1)(Q)		32,653			251,541			218,888
	11,300		11/15/24	2.334%(S)	3 Month LIBOR(1)(Q)		35,176			163,200			128,024
	7,455		02/12/25	2.408%(A)	1 Day USOIS(1)(A)		—			(78,468	)		(78,468	)
	1,180		02/28/25	2.454%(A)	1 Day USOIS(1)(A)		—			(12,542	)		(12,542	)
	4,758		05/31/25	2.998%(S)	3 Month LIBOR(1)(Q)		(3,258	)		(112,344	)		(109,086	)
	2,620		07/31/25	2.802%(A)	1 Day USOIS(1)(A)		—			(78,344	)		(78,344	)
	3,685		07/31/25	3.105%(S)	3 Month LIBOR(1)(Q)		2,908			(111,220	)		(114,128	)
	11,431		07/31/25	3.109%(S)	3 Month LIBOR(1)(Q)		657			(348,079	)		(348,736	)
	27,645		01/08/26	2.210%(S)	3 Month LIBOR(1)(Q)		216,718			602,189			385,471
	5,668		02/15/27	1.824%(A)	1 Day USOIS(1)(A)		62,809			228,829			166,020
	1,185		02/15/27	1.899%(A)	1 Day USOIS(1)(A)		1,502			40,484			38,982
	925		02/15/27	1.965%(A)	1 Day USOIS(1)(A)		—			26,537			26,537
	3,150		02/15/27	2.067%(A)	1 Day USOIS(1)(A)		(1,997	)		63,419			65,416
	525		05/15/27	2.295%(S)	3 Month LIBOR(1)(Q)		—			14,731			14,731
	3,417		08/15/28	2.579%(A)	1 Day USOIS(1)(A)		(7,561	)		(51,532	)		(43,971	)
	4,601		08/15/28	2.835%(S)	3 Month LIBOR(1)(Q)		(18,251	)		(51,897	)		(33,646	)
	145		11/15/43	2.659%(S)	3 Month LIBOR(1)(Q)		—			4,812			4,812

						$	345,989		$	1,293,668		$	947,679

SEE NOTES TO FINANCIAL STATEMENTS.

A29



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest rate swap agreements outstanding at December 31, 2018 (continued):

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

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:


	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(45,927	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency	Securities Market Value
Citigroup Global Markets Inc.	$—	$	7,508,409
Goldman Sachs & Co.	—		1,885,387

Total	$—	$	9,393,796

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Common Stocks	$	1,064,691,664	$	18,553,213		$	—
Exchange Traded Funds		6,378,590		—			—
Preferred Stocks		1,245,000		32,193			—
Rights		4,288		—			—
Asset-Backed Securities
Automobiles		—		43,764,289			—
Collateralized Loan Obligations.		—		64,008,411			—
Consumer Loans		—		6,913,058			—
Credit Cards.		—		12,672,940			—
Equipment		—		7,502,217			—
Home Equity Loans		—		3,511,597			—
Other		—		1,659,379			—
Residential Mortgage-Backed Securities		—		17,894,881			800,000
Student Loans		—		18,103,895			—
Commercial Mortgage-Backed Securities		—		195,456,717			—
Corporate Bonds		—		252,302,977			—
Municipal Bonds		—		16,355,664			—
Residential Mortgage-Backed Securities		—		31,311,010			3,500,000
Sovereign Bonds		—		27,800,760			—
U.S. Government Agency Obligations		—		206,155,717			—
U.S. Treasury Obligations		—		47,492,159			—
Affiliated Mutual Funds		416,192,996		—			—
Commercial Paper		—		1,773,529			—
Options Purchased		—		355,091			—
Other Financial Instruments*
Futures Contracts		3,730,004		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(63,904	)		—
Centrally Cleared Credit Default Swap Agreement		—		783,210			—

SEE NOTES TO FINANCIAL STATEMENTS.

A30



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2			Level 3
*Other Financial Instruments (continued)**
OTC Forward Rate Agreements	$	—	$	—		$	(45,927	)
Centrally Cleared Inflation Swap Agreement		—		(44,941	)		—
Centrally Cleared Interest Rate Swap Agreements		—		947,679			—

Total	$	1,492,242,542	$	975,241,741		$	4,254,073

Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (1.5% represents investments
purchased with collateral from securities on loan)	17.5	%
U.S. Government Agency Obligations	8.7
Commercial Mortgage-Backed Securities	8.2
Banks	5.7
Pharmaceuticals	2.9
Software	2.9
Collateralized Loan Obligations	2.7
Residential Mortgage-Backed Securities	2.3
Oil, Gas & Consumable Fuels	2.2
IT Services	2.2
Interactive Media & Services	2.1
Automobiles	2.0
U.S. Treasury Obligations	2.0
Technology Hardware, Storage & Peripherals	1.7
Semiconductors & Semiconductor Equipment	1.7
Internet & Direct Marketing Retail	1.6
Health Care Equipment & Supplies	1.5
Health Care Providers & Services	1.5
Insurance	1.4
Diversified Financial Services	1.4
Capital Markets	1.4
Equity Real Estate Investment Trusts (REITs)	1.3
Chemicals	1.3
Aerospace & Defense	1.2
Biotechnology	1.2
Sovereign Bonds	1.2
Electric	1.2
Specialty Retail	1.1
Media	1.1
Diversified Telecommunication Services	1.0
Beverages	1.0
Electric Utilities	0.9
Entertainment	0.9
Hotels, Restaurants & Leisure	0.8
Student Loans	0.8
Household Products	0.8
Food & Staples Retailing	0.7
Machinery	0.7
Municipal Bonds	0.7
Industrial Conglomerates	0.7
Oil & Gas	0.6
Food Products	0.5
Credit Cards	0.5
Communications Equipment	0.5
Auto Manufacturers	0.5


Multi-Utilities	0.5	%
Road & Rail	0.5
Life Sciences Tools & Services	0.5
Airlines	0.4
Tobacco	0.4
Pipelines	0.4
Textiles, Apparel & Luxury Goods	0.4
Telecommunications	0.3
Equipment	0.3
Consumer Finance	0.3
Consumer Loans	0.3
Air Freight & Logistics	0.3
Exchange Traded Funds	0.3
Retail	0.3
Multiline Retail	0.2
Energy Equipment & Services	0.2
Electrical Equipment	0.2
Electronic Equipment, Instruments & Components	0.2
Healthcare-Services	0.2
Commercial Services & Supplies	0.2
Household Durables	0.2
Multi-National	0.2
Home Equity Loans	0.2
Professional Services	0.1
Computers	0.1
Metals & Mining	0.1
Containers & Packaging	0.1
Building Products	0.1
Oil & Gas Services	0.1
Agriculture	0.1
Foods	0.1
Gas	0.1
Trading Companies & Distributors	0.1
Commercial Services	0.1
Housewares	0.1
Personal Products	0.1
Transportation	0.1
Commercial Paper	0.1
Other	0.1
Forest Products & Paper	0.1
Auto Components	0.1
Semiconductors	0.1
Lodging	0.1
Construction Materials	0.1
Savings & Loans	0.1

SEE NOTES TO FINANCIAL STATEMENTS.

A31



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Construction & Engineering	0.1	%
Packaging & Containers	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Machinery-Diversified	0.0	*
Building Materials	0.0	*
Mining	0.0	*
Distributors	0.0	*
Independent Power & Renewable Electricity Producers	0.0	*
Miscellaneous Manufacturing	0.0	*
Real Estate Management & Development	0.0	*
Home Builders	0.0	*
Health Care Technology	0.0	*
Water Utilities	0.0	*
Leisure Products	0.0	*
Electronics	0.0	*


Healthcare-Products	0.0	*%
Options Purchased	0.0	*
Diversified Consumer Services	0.0	*
Wireless Telecommunication Services	0.0	*
Paper & Forest Products	0.0	*
Transportation Infrastructure	0.0	*
Marine	0.0	*

	104.1
Liabilities in excess of other assets	(4.1	)

	100.0	%

*	Less than +/-0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, equity contracts risk, foreign exchange contracts risk and interest rate contracts 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, 2018 as presented in the Statement of Assets and Liabilities:


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Credit contracts	Due from/to broker — variation margin swaps	$	783,210	*	—	$	—
Equity contracts	—		—		Due from/to broker-variation margin futures		833,962	*
Equity contracts	Unaffiliated investments		4,288		—		—
Foreign exchange contracts	—		—		Unrealized depreciation on OTC forward foreign currency exchange contracts		63,904
Interest rate contracts	Due from/to broker-variation margin futures		7,595,535	*	Due from/to broker-variation margin futures		3,031,569	*
Interest rate contracts	Due from/to broker-variation margin swaps		1,894,579	*	Due from/to broker-variation margin swaps		991,841	*
Interest rate contracts	Unaffiliated investments		355,091		—		—
Interest rate contracts	—		—		Unrealized depreciation on OTC forward rate agreements		45,927

		$	10,632,703			$	4,967,203

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A32



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	—	$	—		$	—	$	—		$	—	$	—		$	(296,252	)
Equity contracts		7,470		—			—		(1,704,478	)		—		—			—
Foreign exchange contracts		—		—			—		—			326,094		—			—
Interest rate contracts		—		(306,253	)		22,570		(8,758,987	)		—		(47,506	)		1,628,380

Total	$	7,470	$	(306,253	)	$	22,570	$	(10,463,465	)	$	326,094	$	(47,506	)	$	1,332,128

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)		Futures			Forward Currency Contracts			Forward Rate Agreements			Swaps
Credit contracts.	$	—		$	—	$	—		$	—		$	—		$	783,210
Equity contracts		(102	)		—		(1,030,190	)		—			—			—
Foreign exchange contracts		—			—		—			(21,636	)		—			—
Interest rate contracts		—			338,493		5,150,133			—			(45,927	)		425,071

Total	$	(102	)	$	338,493	$	4,119,943		$	(21,636	)	$	(45,927	)	$	1,208,281

(2)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)
$53,517	$74,000	$446,191,477	$115,722,338

Forward Foreign Currency Exchange Contracts — Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements — Buy Protection(2)
$4,363,955	$69,640,000	$882,796,878	$15,600,000

Total Return Swap Agreements(2)		Inflation Swap Agreements(2)
$499,000		$2,408,000

(1)

Cost.

(2)	Notional Amount in USD.

(3)	Value at Settlement Date.

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

SEE NOTES TO FINANCIAL STATEMENTS.

A33



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)			Net Amount
Securities on Loan	$	34,025,598	$	(34,025,598	)	$	—

Offsetting of OTC derivative assets and liabilities:


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	280,650	$	—		$	280,650		$	(260,000	)	$	20,650
Barclays Bank PLC		72,107		—			72,107			—			72,107
Citigroup Global Markets Inc.		—		(12,632	)		(12,632	)		—			(12,632	)
JPMorgan Securities LLC		—		(33,295	)		(33,295	)		—			(33,295	)
Morgan Stanley & Co. International PLC		2,334		(63,904	)		(61,570	)		—			(61,570	)

	$	355,091	$	(109,831	)	$	245,260		$	(260,000	)	$	(14,740	)

(1)	Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A34



		*CONSERVATIVE BALANCED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $34,025,598:
Unaffiliated investments (cost $1,361,718,603)	$	2,050,239,239
Affiliated investments (cost $416,352,928)		416,192,996
Cash		7,189
Foreign currency, at value (cost $250,205)		252,140
Receivable for investments sold		24,740,152
Dividends and interest receivable		6,996,500
Due from broker-variation margin futures		636,166
Tax reclaim receivable		545,717
Receivable for Portfolio shares sold		537,354
Receivable from affiliate		5,542
Prepaid expenses		19,000

Total Assets		2,500,171,995

LIABILITIES
Payable for investments purchased		92,317,525
Payable to broker for collateral for securities on loan		34,978,670
Management fee payable		1,121,307
Payable for Portfolio shares repurchased		695,999
Accrued expenses and other liabilities		430,808
Due to broker-variation margin swaps		278,450
Cash segregated from counterparty - OTC		260,000
Payable to affiliate		204,887
Unrealized depreciation on OTC forward foreign currency exchange contracts		63,904
Unrealized depreciation on OTC forward rate agreements		45,927
Affiliated transfer agent fee payable		980

Total Liabilities		130,398,457

NET ASSETS	$	2,369,773,538

Net assets were comprised of:
Partners Equity	$	2,369,773,538

Net asset value and redemption price per share, $2,369,773,538 / 89,431,845 outstanding shares of beneficial interest	$	26.50

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	30,287,310
Unaffiliated dividend income (net) (foreign withholding tax $162,068, of which $21,531 is reimbursable by an affiliate)		25,919,133
Affiliated dividend income		7,680,145
Income from securities lending, net (including affiliated income of $135,802)		140,665

Total income		64,027,253

EXPENSES
Management fee		13,944,012
Custodian and accounting fees		377,229
Shareholders’ reports		331,343
Audit fee		49,532
Trustees’ fees		35,531
Legal fees and expenses		18,194
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		83,100

Total expenses		14,849,623

NET INVESTMENT INCOME (LOSS)		49,177,630

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(3,471,841))		78,702,956
Futures transactions		(10,463,465	)
Forward rate agreement transactions		(47,506	)
Forward currency contract transactions		326,094
Options written transactions		22,570
Swap agreements transactions		1,332,128
Foreign currency transactions		(121,102	)

		69,751,675

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $2,964,744)		(183,029,395	)
Futures		4,119,943
Forward rate agreements		(45,927	)
Forward currency contracts		(21,636	)
Swap agreements		1,208,281
Foreign currencies		(3,672	)

		(177,772,406	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(108,020,731	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(58,843,101	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	49,177,630		$	44,458,968
Net realized gain (loss) on investment and foreign currency transactions		69,751,675			131,476,601
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(177,772,406	)		119,341,110

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(58,843,101	)		295,276,679

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [303,199 and 357,202 shares, respectively]		8,272,676			9,258,591
Portfolio shares repurchased [6,356,332 and 7,143,196 shares, respectively]		(174,377,090	)		(183,096,479	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(166,104,414	)		(173,837,888	)

CAPITAL CONTRIBUTIONS		55,261			—

TOTAL INCREASE (DECREASE)		(224,892,254	)		121,438,791
NET ASSETS:
Beginning of year		2,594,665,792			2,473,227,001

End of year	$	2,369,773,538		$	2,594,665,792

SEE NOTES TO FINANCIAL STATEMENTS.

A35



		*DIVERSIFIED BOND PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

LONG-TERM INVESTMENTS — 95.2%

ASSET-BACKED SECURITIES — 28.2%

Automobiles — 0.3%

Ford Credit Floorplan Master Owner Trust A,

Series 2018-04, Class A

4.060%

11/15/30

3,200

3,198,081

Hertz Vehicle Financing II LP,

Series 2015-01A, Class A, 144A

2.730%

03/25/21

400

396,617

3,594,698

Collateralized Loan Obligations — 19.1%

ArrowMark Colorado Holdings (Cayman Islands),

Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%

3.716%(c)

07/15/29

250

249,461

Atlas Senior Loan Fund Ltd. (Cayman Islands),

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.830%

3.470%(c)

11/17/27

4,500

4,452,698

Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260%

3.696%(c)

07/16/29

500

495,016

Atrium (Cayman Islands),

Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830%

3.299%(c)

04/22/27

8,250

8,151,380

Battalion CLO Ltd.,

Series 2018-12A, Class A1, 144A, 3 Month LIBOR + 1.070%

3.710%(c)

05/17/31

3,000

2,955,990

Benefit Street Partners CLO Ltd. (Cayman Islands),

Series 2017-12A, Class A1, 144A, 3 Month LIBOR + 1.250%

3.686%(c)

10/15/30

4,500

4,486,618

Brookside Mill CLO Ltd. (Cayman Islands),

Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350%

3.799%(c)

01/17/28

2,500

2,436,755

Carlyle US CLO Ltd. (Cayman Islands),

Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.180%

3.616%(c)

01/15/30

4,000

3,964,015

Catamaran CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%

3.729%(c)

04/22/30

7,750

7,712,042

CIFC Funding Ltd. (Cayman Islands),

Series 2013-03RA, Class A1, 144A, 3 Month LIBOR + 0.980%

3.467%(c)

04/24/31

1,500

1,477,785

Series 2015-01A, Class ARR, 144A, 3 Month LIBOR + 1.110%

3.579%(c)

01/22/31

3,750

3,718,197

Series 2015-03A, Class AR, 144A, 3 Month LIBOR + 0.870%

3.320%(c)

04/19/29

5,000

4,933,382

Elevation CLO Ltd. (Cayman Islands),

Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.230%

3.666%(c)

10/15/29

7,500

7,475,120

Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220%

3.656%(c)

07/15/30

5,250

5,215,580

Flagship CLO Ltd. (Cayman Islands),

Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%

3.286%(c)

01/16/26

5,000

4,985,726

Greenwood Park CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%

3.446%(c)

04/15/31

6,000

5,908,990

Greywolf CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%

3.538%(c)

04/26/31

3,500

3,440,667

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (continued)

Highbridge Loan Management Ltd. (Cayman Islands),

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%

3.582%(c)

02/05/31

4,000

3,931,467

ICG US CLO Ltd. (Cayman Islands),

Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030%

3.520%(c)

04/25/31

2,500

2,457,929

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

3.757%(c)

10/23/29

1,250

1,241,844

Mariner CLO Ltd. (Cayman Islands),

Series 2018-05A, Class A, 144A, 3 Month LIBOR + 1.110%

3.600%(c)

04/25/31

5,750

5,676,520

MidOcean Credit CLO (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%

3.589%(c)

04/21/31

9,750

9,630,179

Series 2018-08A, Class A1, 144A, 3 Month LIBOR + 1.150%

3.795%(c)

02/20/31

4,000

3,948,848

Mountain View CLO LLC (Cayman Islands),

Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.210%

3.646%(c)

01/16/31

4,000

3,970,176

Mountain View CLO Ltd. (Cayman Islands),

Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 1.250%

3.675%(c)

10/12/30

8,000

7,957,418

Series 2015-09A, Class A1R, 144A, 3 Month LIBOR + 1.120%

3.556%(c)

07/15/31

6,000

5,925,163

Neuberger Berman CLO Ltd. (Cayman Islands),

Series 2017-16SA, Class A, 144A, 3 Month LIBOR + 0.850%

3.286%(c)

01/15/28

3,000

2,970,285

OCP CLO Ltd. (Cayman Islands),

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%

3.696%(c)

07/15/30

750

746,489

OZLM Ltd. (Cayman Islands),

Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

3.749%(c)

10/20/31

2,750

2,730,401

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

3.770%(c)

10/30/30

1,250

1,243,183

Palmer Square CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%

3.579%(c)

01/17/31

4,000

3,955,405

Series 2015-02A, Class A1AR, 144A, 3 Month LIBOR + 1.270%

3.739%(c)

07/20/30

1,000

993,441

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),

Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.220%

3.834%(c)

11/14/29

3,500

3,487,447

Romark CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%

3.499%(c)

04/20/31

4,000

3,933,544

Sound Point CLO Ltd. (Cayman Islands),

Series 2013-01A, Class A1R, 144A, 3 Month LIBOR + 1.070%

3.578%(c)

01/26/31

3,500

3,449,573

Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%

3.349%(c)

07/20/27

4,000

3,969,449

Series 2017-03A, Class A1A, 144A, 3 Month LIBOR + 1.220%

3.689%(c)

10/20/30

5,750

5,710,882

Telos CLO Ltd. (Cayman Islands),

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%

3.689%(c)

01/17/30

3,500

3,482,088

SEE NOTES TO FINANCIAL STATEMENTS.

A36



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
TICP CLO Ltd. (Cayman Islands),
Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.300%
3.769%(c)		07/20/27		6,000	$	5,957,816
Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140%
3.609%(c)		01/20/31		3,000		2,964,035
Trinitas CLO Ltd. (Cayman Islands),
Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400%
3.836%(c)		07/15/27		5,000		4,886,426
Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%
4.190%(c)		10/25/28		3,250		3,249,724
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.700%(c)		01/25/31		4,000		3,971,576
Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600%
4.090%(c)		01/25/31		1,500		1,459,342
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.316%(c)		07/15/27		5,000		4,945,515
Voya CLO Ltd. (Cayman Islands),
Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210%
3.646%(c)		10/15/30		7,500		7,446,356
Series 2013-02A, Class A1R, 144A, 3 Month LIBOR + 0.970%
3.460%(c)		04/25/31		3,000		2,945,990
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.789%(c)		04/20/29		1,750		1,751,323
Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%
3.719%(c)		10/20/29		1,000		997,403
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.599%(c)		01/17/31		6,500		6,402,848
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.638%(c)		10/20/31		2,750		2,723,471
York CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150%
3.619%(c)		01/22/31		2,000		1,978,969
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.806%(c)		07/15/29		1,000		1,001,226
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950%
3.386%(c)		04/15/29		8,500		8,391,946

						214,545,119

Consumer Loans — 2.1%
Lendmark Funding Trust,
Series 2017-01A, Class A, 144A
2.830%		12/22/25		1,000		986,648
Series 2018-02A, Class A, 144A
4.230%		04/20/27		1,400		1,424,848
OneMain Financial Issuance Trust,
Series 2015-02A, Class C, 144A
4.320%		07/18/25		1,100		1,100,764
Series 2016-01A, Class A, 144A
3.660%		02/20/29		2,500		2,504,539
Series 2016-02A, Class A, 144A
4.100%		03/20/28		670		671,491
Series 2017-01A, Class B, 144A
2.790%		09/14/32		500		490,230
Series 2017-01A, Class C, 144A
3.350%		09/14/32		500		491,166


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Consumer Loans (continued)
Series 2018-01A, Class A, 144A
3.300%		03/14/29		1,030	$	1,030,997
Oportun Funding IX LLC,
Series 2018-B, Class A, 144A
3.910%		07/08/24		1,200		1,199,990
Series 2018-B, Class C, 144A
5.430%		07/08/24		500		501,957
Oportun Funding VI LLC,
Series 2017-A, Class A, 144A
3.230%		06/08/23		1,250		1,238,706
Oportun Funding VII LLC,
Series 2017-B, Class A, 144A
3.220%		10/10/23		3,000		2,970,816
Oportun Funding VIII LLC,
Series 2018-A, Class A, 144A
3.610%		03/08/24		1,140		1,129,734
Oportun Funding X LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,400		1,413,392
Oportun Funding XII LLC,
Series 2018-D, Class A, 144A
4.150%		12/09/24		1,000		1,010,461
PNMAC FMSR Issuer Trust,
Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350%
4.856%(c)		04/25/23		120		120,068
PNMAC GMSR Issuer Trust,
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850%
5.356%(c)		02/25/23		740		741,590
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650%
5.156%(c)		08/25/25		1,200		1,202,507
SpringCastle America Funding LLC,
Series 2016-AA, Class A, 144A
3.050%		04/25/29		2,324		2,301,063
Springleaf Funding Trust,
Series 2015-AA, Class A, 144A
3.160%		11/15/24		1,306		1,304,702

						23,835,669

Credit Card — 0.3%
Citibank Credit Card Issuance Trust,
Series 2018-A07, Class A7
3.960%		10/13/30		2,800		2,938,317

Home Equity Loans — 1.9%
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500%
5.374%(c)		01/25/33		1,565		1,561,918
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates,
Series 2001-02, Class M3, 1 Month LIBOR + 2.925%
5.431%(c)		10/25/31		242		255,440
Argent Securities, Inc. Asset-Backed Pass-Through Certificates,
Series 2003-W02, Class M4
4.036%(cc)		09/25/33		2,252		2,133,444
Series 2004-W06, Class M1, 1 Month LIBOR + 0.825%
3.331%(c)		05/25/34		557		551,316

SEE NOTES TO FINANCIAL STATEMENTS.

A37



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Home Equity Loans (continued)

Asset-Backed Securities Corp. Home Equity Loan Trust,

Series 2003-HE03, Class M1, 1 Month LIBOR + 1.245%

3.700%(c)

06/15/33

768

766,612

Bear Stearns Asset-Backed Securities Trust,

Series 2004-HE02, Class M1, 1 Month LIBOR + 0.900%

3.215%(c)

03/25/34

2,231

2,223,227

Centex Home Equity Loan Trust,

Series 2004-B, Class AF6

4.686%

03/25/34

333

340,466

Merrill Lynch Mortgage Investors Trust,

Series 2004-HE02, Class M1, 1 Month LIBOR + 1.200%

3.706%(c)

08/25/35

247

247,816

Morgan Stanley ABS Capital I, Inc. Trust,

Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%

3.706%(c)

05/25/33

515

510,850

Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020%

3.526%(c)

10/25/33

383

381,971

Series 2004-OP01, Class M1, 1 Month LIBOR + 0.870%

3.376%(c)

11/25/34

3,688

3,655,606

New Century Home Equity Loan Trust,

Series 2003-04, Class M1, 1 Month LIBOR + 1.125%

3.631%(c)

10/25/33

1,691

1,689,744

Series 2004-04, Class M1, 1 Month LIBOR + 0.765%

3.271%(c)

02/25/35

1,909

1,885,806

New Residential Mortgage Loan Trust,

Series 2018-01A, Class A1A, 144A

4.000%(cc)

12/25/57

1,706

1,714,593

Residential Asset Securities Trust,

Series 2004-KS01, Class AI5

5.347%

02/25/34

542

549,931

Securitized Asset-Backed Receivables LLC Trust,

Series 2004-NC01, Class M1, 1 Month LIBOR + 0.780%

3.286%(c)

02/25/34

1,746

1,742,045

Specialty Underwriting & Residential Finance Trust,

Series 2004-BC01, Class M1, 1 Month LIBOR + 0.765%

3.271%(c)

02/25/35

1,038

1,032,827

21,243,612

Residential Mortgage-Backed Securities — 3.2%

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates,

Series 2004-R08, Class M1, 1 Month LIBOR + 0.960%

3.466%(c)

09/25/34

195

194,492

Argent Securities, Inc. Asset-Backed Pass-Through Certificates,

Series 2004-W010, Class A2, 1 Month LIBOR + 0.780%

3.095%(c)

10/25/34

1,254

1,239,951

CSMC Trust,

Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%

5.499%(c)

12/26/46

3,256

3,289,933

Series 2018-03R, Class 1A1, 144A, 1 Month LIBOR + 1.200%

3.547%(c)

12/25/46

2,384

2,345,528

Series 2018-11R, 144A, 1 Month LIBOR + 1.400%^

3.774%

08/25/37

1,700

1,700,000

Series 2018-RPL08, Class A1, 144A

4.070%

07/25/58

1,540

1,537,552

Equity One Mortgage Pass-Through Trust,

Series 2004-03, Class M1

4.570%

07/25/34

337

336,135

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Residential Mortgage-Backed Securities (continued)

FBR Securitization Trust,

Series 2005-02, Class M1, 1 Month LIBOR + 0.720%

3.226%(c)

09/25/35

26,216

Fremont Home Loan Trust,

Series 2003-B, Class M1, 1 Month LIBOR + 1.050%

3.556%(c)

12/25/33

119

116,897

GSAMP Trust,

Series 2007-HE01, Class A1, 1 Month LIBOR + 0.140%

2.646%(c)

03/25/47

1,196

1,121,654

Legacy Mortgage Asset Trust,

Series 2017-RPL01, Class A, 144A, 1 Month LIBOR + 1.750%

4.256%(c)

01/28/70

695

705,690

Long Beach Mortgage Loan Trust,

Series 2004-01, Class M1, 1 Month LIBOR + 0.750%

3.256%(c)

02/25/34

1,567

1,549,424

LSFVT,

Series 2018-01, 1 Month LIBOR + 2.000%^

3.982%(c)

04/01/21

6,316

6,296,987

Merrill Lynch Mortgage Investors Trust,

Series 2004-OPT01, Class A1A, 1 Month LIBOR + 0.520%

3.026%(c)

06/25/35

826

823,731

Structured Asset Investment Loan Trust,

Series 2004-07, Class A8, 1 Month LIBOR + 1.200%

3.706%(c)

08/25/34

1,400

1,382,570

TFS (Spain),

Series 2018-03, Class A1

2.900%(cc)

03/16/23

EUR

4,341

4,963,801

Towd Point Mortgage Trust,

Series 2017-04, Class A1, 144A

2.750%(cc)

06/25/57

2,420

2,354,960

Series 2017-06, Class A1, 144A

2.750%(cc)

10/25/57

2,677

2,615,149

Series 2018-02, Class A1, 144A

3.250%(cc)

03/25/58

431

424,268

Series 2018-03, Class A1, 144A

3.750%(cc)

05/25/58

193

192,771

Series 2018-05, Class A1, 144A

3.250%(cc)

07/25/58

581

571,023

Series 2018-06, Class A1A, 144A

3.750%(cc)

03/25/58

2,140

2,141,389

VOLT LX LLC,

Series 2017-NPL07, Class A1, 144A

3.250%

06/25/47

155

154,744

36,084,865

Student Loans — 1.3%

Earnest Student Loan Program LLC,

Series 2016-D, Class A1, 144A, 1 Month LIBOR + 1.400%

3.906%(c)

01/25/41

197

198,936

Laurel Road Prime Student Loan Trust,

Series 2018-A, Class A, 144A

—%(p)

02/25/43

2,980

4,008,657

Series 2018-C, Class A, 144A

—%(p)

08/25/43

3,761

3,820,729

Series 2018-D, Class A, 144A

—%(p)

11/25/43

3,772

3,906,649

SEE NOTES TO FINANCIAL STATEMENTS.

A38



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Student Loans (continued)

SLM Student Loan Trust,

Series 2004-02X, Class A6, 3 Month EURIBOR + 0.550%

0.233%(c)

07/25/39

EUR

2,100

2,311,698

14,246,669

TOTAL ASSET-BACKED SECURITIES
(cost $315,235,664)

316,488,949

BANK LOANS — 1.0%

Computers — 0.1%

McAfee, LLC,

Second Lien Initial Loan, 1 Month LIBOR + 8.500%,

11.010%(c)

09/29/25

458

453,750

Term B USD Loan, 1 Month LIBOR + 3.750%,

6.270%(c)

09/30/24

528

512,630

966,380

Electric — 0.0%

Vistra Operations Co., LLC,

Term Loan,

—%(p)

08/04/23

399

382,424

Entertainment — 0.1%

Aristocrat Leisure, Ltd. (Australia),

Term Loan, 3 Month LIBOR + 1.750%,

—%(p)

10/19/24

1,350

1,287,900

Foods — 0.2%

Sigma Bidco BV (Netherlands),

Facility B4 Loan, 3 Month GBP LIBOR + 4.000%,

4.800%(c)

07/02/25

GBP

1,550

1,908,458

Healthcare-Products — 0.0%

Avantor, Inc.,

Initial B1 EURO Term loan,1-3Month EURIBOR + 3.750%,

3.750%(c)

11/21/24

EUR

424

477,843

Internet — 0.1%

Go Daddy Operating Co., LLC,

Tranche B-1 Term Loan, 1 Month LIBOR + 2.250%,

4.770%(c)

02/15/24

997

950,585

Machinery-Diversified — 0.1%

Gardner Denver, Inc.,

Term Loan,

—%(p)

07/30/24

1,021

985,257

Packaging & Containers — 0.1%

Berry Global, Inc,

Term T Loan, 1 Month LIBOR + 1.750%,

4.140%(c)

01/06/21

1,000

974,286

Pharmaceuticals — 0.1%

Nidda Healthcare Holding AG (Germany),

Facility C GBP, 3 Month GBP LIBOR + 4.000%,

4.888%(c)

08/21/24

GBP

1,000

1,240,610

Retail — 0.2%

EG America, LLC (United Kingdom),

Second Lien Facility (USD), 3 Month LIBOR + 8.000%,^

10.810%(c)

04/20/26

1,025

1,004,500


Interest Rate	Maturity Date		Principal Amount (000)#		Value

BANK LOANS (continued)
Retail (continued)
EG Finco, Ltd. (United Kingdom),
Second Lien Term Loan, 3 Month EURIBOR + 7.750%,
8.750%(c)		04/20/26	EUR	600	$	677,139

						1,681,639

TOTAL BANK LOANS (cost $11,429,195)						10,855,382


COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.0%
Banc of America Commercial Mortgage Trust,
Series 2016-UB010, Class A3
2.903%		07/15/49		2,300		2,210,286
BANK,
Series 2017-BNK05, Class A4
3.131%		06/15/60		4,400		4,231,660
Series 2017-BNK06, Class A4
3.254%		07/15/60		3,300		3,204,238
Series 2017-BNK08, Class A3
3.229%		11/15/50		1,950		1,894,807
BBCMS Mortgage Trust,
Series 2016-ETC, Class A, 144A
2.937%		08/14/36		1,170		1,116,231
Series 2016-ETC, Class B, 144A
3.189%		08/14/36		510		482,116
Series 2016-ETC, Class C, 144A
3.391%		08/14/36		430		406,781
Series 2016-ETC, Class D, 144A
3.609%(cc)		08/14/36		1,560		1,455,144
BX Commercial Mortgage Trust,
Series 2018-IND, Class F, 144A, 1 Month LIBOR + 1.800% (Cap N/A, Floor 1.800%)
4.255%(c)		11/15/35		299		296,184
Series 2018-IND, Class G, 144A, 1 Month LIBOR + 2.050%
4.505%(c)		11/15/35		1,348		1,331,149
CD Mortgage Trust,
Series 2017-CD05, Class A3
3.171%		08/15/50		3,500		3,383,932
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class A4
3.575%		05/10/47		2,001		2,022,433
Series 2016-GC37, Class A4
3.314%		04/10/49		1,600		1,579,157
CityLine Commercial Mortgage Trust,
Series 2016-CLNE, Class B, 144A
2.778%(cc)		11/10/31		2,400		2,293,210
Series 2016-CLNE, Class C, 144A
2.778%(cc)		11/10/31		900		843,652
Commercial Mortgage Trust,
Series 2014-UBS04, Class A4
3.420%		08/10/47		3,200		3,204,099
Series 2014-UBS05, Class A4
3.838%		09/10/47		3,600		3,676,051
Series 2015-DC01, Class A4
3.078%		02/10/48		5,000		4,899,450
Series 2015-LC21, Class A4
3.708%		07/10/48		820		829,303

SEE NOTES TO FINANCIAL STATEMENTS.

A39



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2015-PC01, Class A5
3.902%		07/10/50		1,570	$	1,601,399
Series 2016-COR01, Class A3
2.826%		10/10/49		2,500		2,367,641
Series 2016-DC02, Class A5
3.765%		02/10/49		240		242,398
Series 2017-COR02, Class A2
3.239%		09/10/50		4,500		4,348,040
DBJPM Mortgage Trust,
Series 2017-C06, Class A4
3.071%		06/10/50		2,800		2,689,588
DBWF Mortgage Trust,
Series 2016-85T, Class D, 144A
3.808%(cc)		12/10/36		1,400		1,333,747
Eleven Madison Trust Mortgage Trust,
Series 2015-11MD, Class C, 144A
3.555%(cc)		09/10/35		3,000		2,926,016
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.515%(cc)		06/25/20		7,561		125,653
Series K020, Class X1, IO
1.409%(cc)		05/25/22		26,517		1,046,918
Series K021, Class X1, IO
1.444%(cc)		06/25/22		15,110		633,769
Series K025, Class X1, IO
0.853%(cc)		10/25/22		10,446		286,750
Series K027, Class X1, IO
0.780%(cc)		01/25/23		129,873		3,366,431
Series K044, Class X1, IO
0.748%(cc)		01/25/25		82,559		3,072,372
Series K053, Class X1, IO
0.890%(cc)		12/25/25		88,925		4,661,494
Series K055, Class X1, IO
1.366%(cc)		03/25/26		13,851		1,135,894
Series K710, Class X1, IO
1.734%(cc)		05/25/19		19,157		46,534
Series K711, Class X1, IO
1.668%(cc)		07/25/19		22,414		84,051
GS Mortgage Securities Corp. II,
Series 2015-GC30, Class A3
3.119%		05/10/50		3,025		2,961,903
GS Mortgage Securities Trust,
Series 2017-GS06, Class A2
3.164%		05/10/50		3,400		3,281,703
IMT Trust,
Series 2017-APTS, Class AFX, 144A
3.478%		06/15/34		510		512,695
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C21, Class A4
3.493%		08/15/47		3,200		3,208,118
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C02, Class A3A
2.881%		06/15/49		1,070		1,027,942
Series 2017-C05, Class A4
3.414%		03/15/50		1,975		1,951,008
Series 2017-C07, Class A4
3.147%		10/15/50		3,600		3,471,702


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2018-AON, Class E, 144A
4.613%(cc)		07/05/31		5,875	$	5,790,329
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC09, Class A4
2.611%		12/15/47		955		951,931
Series 2013-C10, Class A4
2.875%		12/15/47		372		370,456
Series 2016-JP02, Class A3
2.559%		08/15/49		2,900		2,718,665
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C05, Class XA, IO, 144A
1.466%(cc)		08/15/45		38,082		1,570,467
Series 2013-C08, Class A3
2.863%		12/15/48		1,531		1,508,639
Series 2013-C09, Class A3
2.834%		05/15/46		2,037		1,999,360
Series 2013-C10, Class A3
3.967%(cc)		07/15/46		4,680		4,816,631
Series 2016-C30, Class A5
2.860%		09/15/49		2,000		1,898,321
Morgan Stanley Capital I Trust,
Series 2017-H01, Class A4
3.259%		06/15/50		2,750		2,672,408
Morgan Stanley Capital I, Inc.,
Series 2017-HR02, Class A3
3.330%		12/15/50		5,500		5,332,521
Shops at Crystals Trust,
Series 2016-CSTL, Class A, 144A
3.126%		07/05/36		140		134,134
UBS Commercial Mortgage Trust,
Series 2017-C02, Class A3
3.225%		08/15/50		4,400		4,258,404
Series 2017-C07, Class A3
3.418%		12/15/50		5,600		5,485,799
Series 2018-C10, Class A3
4.048%		05/15/51		2,200		2,254,937
UBS-Barclays Commercial Mortgage Trust,
Series 2013-C05, Class A3
2.920%		03/10/46		3,971		3,934,481
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC016, Class A4
3.548%		08/15/50		4,300		4,328,603
Series 2016-C032, Class A3
3.294%		01/15/59		2,250		2,218,120
Series 2016-C034, Class A3
2.834%		06/15/49		2,500		2,387,508
Series 2016-C035, Class A3
2.674%		07/15/48		4,600		4,338,211
Series 2017-C040, Class A3
3.317%		10/15/50		1,370		1,339,018

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $150,400,989)						146,052,592

SEE NOTES TO FINANCIAL STATEMENTS.

A40



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#			Value

CORPORATE BONDS — 35.5%
Aerospace & Defense — 0.5%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.500%		12/01/24		1,850		$	1,743,625
7.500%		03/15/25		1,250			1,178,125
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		2,115			2,116,710
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		1,115			1,104,632

							6,143,092

Agriculture — 0.3%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24		2,810			2,588,274
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		895			913,051

							3,501,325

Airlines — 0.6%
American Airlines 2016-1 Class AA Pass-Through Trust,
Pass-Through Certificates
3.575%		07/15/29		1,660			1,629,279
Continental Airlines 2001-1 Class A-1 Pass-Through Trust,
Pass-Through Certificates
6.703%		12/15/22		—	(r)		265
Continental Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.983%		10/19/23		1,265			1,321,083
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		302			306,057
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		823			889,302
Delta Air Lines 2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20		91			91,543
Delta Air Lines 2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20		315			316,358
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		1,180			1,172,161
United Airlines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.636%		01/02/24		615			639,249

							6,365,297

Apparel — 0.2%
Hanesbrands Finance Luxembourg SCA,
Gtd. Notes, 144A
3.500%		06/15/24	EUR	575			662,760


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Apparel (continued)
PVH Corp.,
Sr. Unsec’d. Notes, 144A
3.625%		07/15/24	EUR	1,250	$	1,508,508

						2,171,268

Auto Manufacturers — 0.9%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.835%(c)		04/12/21		425		420,864
Gtd. Notes, 144A
3.100%		04/12/21		570		564,521
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		1,030		1,024,303
3.350%		05/04/21		1,715		1,709,798
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43		1,755		1,353,430
5.291%		12/08/46		440		361,232
General Motors Co.,
Sr. Unsec’d. Notes
4.875%		10/02/23		1,350		1,353,054
6.250%		10/02/43		1,885		1,766,891
6.600%		04/01/36		210		204,436
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.258%(c)		04/09/21		610		596,116
Gtd. Notes
3.550%		04/09/21		460		453,666

						9,808,311

Auto Parts & Equipment — 0.4%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
3.500%		08/15/24	EUR	701		644,528
IHO Verwaltungs GmbH (Germany),
Sr. Sec’d. Notes, 144A, Cash coupon 3.250% or PIK 4.000%
3.250%		09/15/23	EUR	1,075		1,200,154
Sr. Sec’d. Notes, 144A, Cash coupon 3.750% or PIK N/A
3.750%		09/15/26	EUR	1,050		1,151,909
LKQ Italia Bondco SpA,
Gtd. Notes, 144A
3.875%		04/01/24	EUR	1,275		1,490,049

						4,486,640

Banks — 11.0%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.545%(c)		04/12/23		400		392,234
Sr. Unsec’d. Notes
3.848%		04/12/23		600		582,998
Bank of America Corp.,
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23		5,870		5,781,123
3.593%(ff)		07/21/28		740		701,756
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22		385		385,058

SEE NOTES TO FINANCIAL STATEMENTS.

A41



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
3.824%(ff)		01/20/28			1,715	$	1,663,723
4.125%		01/22/24			3,750		3,801,102
4.271%(ff)		07/23/29			910		905,729
Sub. Notes, MTN
4.000%		01/22/25			1,117		1,088,121
4.450%		03/03/26			1,735		1,715,213
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.896%(c)		04/13/21			600		596,406
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			645		644,676
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			700		645,217
3.684%		01/10/23			480		461,211
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			1,050		1,012,386
BNP Paribas SA (France),
Sr. Unsec’d. Notes, 144A
4.400%		08/14/28			420		409,937
Sr. Unsec’d. Notes, 144A, MTN
3.500%		03/01/23			855		828,933
BPCE SA (France),
Sr. Unsec’d. Notes, 144A, MTN
3.500%		10/23/27			300		272,573
Sub. Notes, 144A, MTN
4.500%		03/15/25			1,500		1,451,626
Citibank NA,
Sr. Unsec’d. Notes
3.050%		05/01/20			4,120		4,114,769
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		1,355		1,307,575
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,085		1,059,231
Sr. Unsec’d. Notes
3.200%		10/21/26			3,255		3,004,978
3.887%(ff)		01/10/28			1,710		1,649,994
8.125%		07/15/39			1,060		1,470,592
Sub. Notes
4.450%		09/29/27			2,630		2,534,838
Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, MTN
3.625%		09/09/24			1,050		1,030,249
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.290%
3.766%(c)		02/04/21			1,025		996,865
Sr. Unsec’d. Notes
4.250%		02/04/21			950		936,240
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			900		868,542
Sr. Unsec’d. Notes, MTN
3.700%		05/30/24			159		144,432
Dexia Credit Local SA (France),
Gov’t. Liquid Gtd. Notes, 144A, MTN
3.250%		09/26/23			750		760,023


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
Discover Bank,
Sr. Unsec’d. Notes
3.450%		07/27/26			280	$	256,759
4.250%		03/13/26			1,150		1,122,613
Sub. Notes
7.000%		04/15/20			2,005		2,087,388
Fifth Third Bank,
Sr. Unsec’d. Notes
2.375%		04/25/19			425		424,123
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		1,950		1,884,227
Sr. Unsec’d. Notes
3.272%(ff)		09/29/25			4,063		3,808,545
3.750%		02/25/26			125		118,206
3.814%(ff)		04/23/29			1,960		1,829,905
3.850%		01/26/27			1,765		1,660,243
5.750%		01/24/22			4,200		4,397,544
Sr. Unsec’d. Notes, Series D, MTN
6.000%		06/15/20			2,420		2,505,153
Sub. Notes
6.750%		10/01/37			440		496,885
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.240%(c)		05/18/21			1,785		1,758,511
Sr. Unsec’d. Notes
4.583%(ff)		06/19/29			1,000		991,238
Intesa Sanpaolo SpA (Italy),
Sr. Unsec’d. Notes, 144A
3.875%		07/14/27			630		541,912
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.990%(c)		—	(rr)		4,397		4,336,541
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,450		1,440,938
Sr. Unsec’d. Notes
2.750%		06/23/20			5,400		5,369,049
2.950%		10/01/26			1,740		1,606,939
3.200%		01/25/23			470		463,152
3.200%		06/15/26			3,020		2,844,132
3.509%(ff)		01/23/29			1,435		1,358,807
3.782%(ff)		02/01/28			965		936,745
4.005%(ff)		04/23/29			1,200		1,176,435
4.250%		10/15/20			600		610,812
Sub. Notes
4.250%		10/01/27			420		413,452
KeyCorp,
Sr. Unsec’d. Notes, MTN
5.100%		03/24/21			1,155		1,197,910
Lloyds Bank PLC (United Kingdom),
Gtd. Notes, 144A, MTN
5.800%		01/13/20			2,650		2,712,598
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		975		948,305
Sr. Unsec’d. Notes
4.375%		01/22/47			895		847,064

SEE NOTES TO FINANCIAL STATEMENTS.

A42



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
4.457%(ff)		04/22/39			280	$	271,093
5.750%		01/25/21			1,920		2,001,889
Sr. Unsec’d. Notes, GMTN
3.125%		01/23/23			1,190		1,162,564
3.750%		02/25/23			395		394,304
3.772%(ff)		01/24/29	(a)		1,875		1,793,953
5.500%		07/28/21			2,080		2,179,808
Sr. Unsec’d. Notes, MTN
3.125%		07/27/26			2,725		2,519,628
5.625%		09/23/19			2,635		2,673,995
Sub. Notes, GMTN
4.350%		09/08/26			750		728,853
PNC Financial Services Group, Inc. (The),
Sub. Notes
3.900%		04/29/24			975		966,665
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.910%(c)		04/30/21			1,920		1,903,902
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			5,215		5,214,464
Santander UK Group Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes
2.875%		10/16/20			1,550		1,522,959
Sumitomo Mitsui Banking Corp. (Japan),
Bank Gtd. Notes, 3 Month LIBOR + 0.350%
2.799%(c)		01/17/20			1,820		1,818,400
Gtd. Notes
2.450%		01/10/19			625		624,913
UBS Group Funding Switzerland AG (Switzerland),
Gtd. Notes, 144A
2.859%(ff)		08/15/23			1,100		1,057,964
3.491%		05/23/23			2,970		2,896,438

							123,096,273

Beverages — 0.1%
Keurig Dr. Pepper, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21			970		968,531

Biotechnology — 0.1%
Celgene Corp.,
Sr. Unsec’d. Notes
2.250%		08/15/21			1,070		1,037,330

Building Materials — 0.3%
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24			3,000		2,816,250
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24			600		552,000

							3,368,250

Chemicals — 1.4%
Ashland LLC,
Gtd. Notes
6.875%		05/15/43			1,400		1,379,000


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Chemicals (continued)
CF Industries, Inc.,
Gtd. Notes
4.950%		06/01/43		675	$	523,125
5.375%		03/15/44		700		567,000
7.125%		05/01/20		141		145,230
DowDuPont, Inc.,
Sr. Unsec’d. Notes
3.766%		11/15/20		490		494,698
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
6.000%		11/15/21		3,550		3,752,416
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		465		477,952
5.625%		11/15/43		155		157,446
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
4.900%		06/01/43		870		831,305
5.250%		01/15/45		420		420,987
6.125%		01/15/41		450		492,791
Sasol Financing International Ltd. (South Africa),
Gtd. Notes
4.500%		11/14/22		1,525		1,476,139
SASOL Financing USA LLC (South Africa),
Gtd. Notes
5.875%		03/27/24		575		573,787
Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes
3.450%		08/01/25		445		424,689
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.875%		04/01/23		3,058		3,497,983

						15,214,548

Commercial Services — 0.6%
ERAC USA Finance LLC,
Gtd. Notes, 144A
6.700%		06/01/34		920		1,092,772
7.000%		10/15/37		770		957,320
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22		1,500		1,432,500
United Rentals North America, Inc.,
Gtd. Notes
4.625%		10/15/25		700		624,750
4.875%		01/15/28		675		592,313
5.500%		07/15/25		650		612,625
5.500%		05/15/27		975		904,312

						6,216,592

Computers — 0.2%
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19		905		902,325

SEE NOTES TO FINANCIAL STATEMENTS.

A43



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Computers (continued)
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25			900	$	851,625

							1,753,950

Diversified Financial Services — 1.1%
American Express Co.,
Sr. Unsec’d. Notes
3.375%		05/17/21			3,695		3,700,875
Capital One Financial Corp.,
Sr. Unsec’d. Notes
3.450%		04/30/21			5,235		5,232,539
International Lease Finance Corp.,
Sr. Unsec’d. Notes
6.250%		05/15/19			1,400		1,412,385
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			650		658,090
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
6.875%		05/02/18	(d)		2,740		53,430
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
8.125%		07/15/23			1,250		1,218,750

							12,276,069

Electric — 1.7%
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
3.350%		07/01/23			550		550,587
Calpine Corp.,
Sr. Unsec’d. Notes
5.375%		01/15/23			396		371,250
5.750%		01/15/25	(a)		2,400		2,196,000
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes, Series C
4.300%		12/01/56			235		218,657
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21			2,710		2,725,651
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35			2,325		2,614,100
Enel Americas SA (Chile),
Sr. Unsec’d. Notes
4.000%		10/25/26			235		218,726
Eskom Holdings SOC Ltd. (South Africa),
Gov’t. Gtd. Notes, 144A, MTN
6.350%		08/10/28			550		529,156
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
6.250%		10/01/39			1,900		1,981,411
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44			400		434,541


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (continued)
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		1,150	$	1,340,624
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		680		645,946
Korea Hydro & Nuclear Power Co. Ltd. (South Korea),
Sr. Unsec’d. Notes, 144A
4.750%		07/13/21		250		258,092
Pacific Gas & Electric Co.,
Sr. Unsec’d. Notes
4.600%		06/15/43		1,950		1,608,177
South Carolina Electric & Gas Co.,
First Mortgage
4.600%		06/15/43		2,025		2,074,450
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.500%		09/01/26		1,375		1,323,437

						19,090,805

Electronics — 0.1%
Sensata Technologies BV,
Gtd. Notes, 144A
5.000%		10/01/25		1,750		1,645,000

Engineering & Construction — 0.0%
GMR Hyderabad International Airport Ltd. (India),
Sr. Sec’d. Notes, 144A
4.250%		10/27/27		345		283,311

Entertainment — 0.0%
CPUK Finance Ltd. (United Kingdom),
Sec’d. Notes, 144A
4.250%		02/28/47	GBP	250		304,545
4.875%		02/28/47	GBP	125		148,926

						453,471

Foods — 0.4%
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,
Gtd. Notes
5.750%		03/15/25		225		196,875
General Mills, Inc.,
Sr. Unsec’d. Notes
3.200%		04/16/21		1,200		1,193,411
Ingles Markets, Inc.,
Sr. Unsec’d. Notes
5.750%		06/15/23		100		98,750
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25		2,025		1,933,875
Kraft Heinz Foods Co.,
Gtd. Notes
5.000%		07/15/35		725		680,396

						4,103,307

Forest Products & Paper — 0.1%
International Paper Co.,
Sr. Unsec’d. Notes
7.300%		11/15/39		1,000		1,178,730

SEE NOTES TO FINANCIAL STATEMENTS.

A44



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Gas — 0.3%
Korea Gas Corp. (South Korea),
Sr. Unsec’d. Notes
4.250%		11/02/20			1,750	$	1,777,685
NiSource, Inc.,
Sr. Unsec’d. Notes
4.800%		02/15/44			300		290,448
Southern Co. Gas Capital Corp.,
Gtd. Notes
4.400%		06/01/43			1,050		996,282

							3,064,415

Healthcare-Products — 0.6%
Abbott Laboratories,
Sr. Unsec’d. Notes
2.900%		11/30/21			2,780		2,755,849
Becton Dickinson & Co.,
Sr. Unsec’d. Notes
3.363%		06/06/24			3,415		3,280,029
Stryker Corp.,
Sr. Unsec’d. Notes
2.125%		11/30/27		EUR	510		600,841

							6,636,719

Healthcare-Services — 1.1%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.750%		12/15/37			1,900		2,295,723
Anthem, Inc.,
Sr. Unsec’d. Notes
4.650%		01/15/43			385		373,992
CHS/Community Health Systems, Inc.,
Sec’d. Notes, 144A
8.125%		06/30/24	(a)		625		456,250
Cigna Corp.,
Gtd. Notes
4.375%		12/15/20			745		758,538
DaVita, Inc.,
Gtd. Notes
5.000%		05/01/25			500		453,750
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20			330		330,383
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			2,325		2,266,875
5.875%		02/15/26			275		273,625
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22			240		238,183
3.250%		09/01/24			1,495		1,430,822
Select Medical Corp.,
Gtd. Notes
6.375%		06/01/21			1,225		1,221,937
Synlab Bondco PLC (United Kingdom),
Sr. Sec’d. Notes
6.250%		07/01/22		EUR	1,100		1,278,966


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Healthcare-Services (continued)
Tenet Healthcare Corp.,
Sec’d. Notes
5.125%		05/01/25	(a)		550	$	512,875
Sr. Unsec’d. Notes
6.750%		02/01/20			500		499,375
UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes
3.950%		10/15/42			220		209,722

							12,601,016

Home Builders — 0.5%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada),
Gtd. Notes, 144A
6.125%		07/01/22			1,000		945,000
PulteGroup, Inc.,
Gtd. Notes
5.000%		01/15/27			975		882,375
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21			2,175		2,153,250
William Lyon Homes, Inc.,
Gtd. Notes
7.000%		08/15/22			1,650		1,633,500

							5,614,125

Home Furnishings — 0.0%
Tempur Sealy International, Inc.,
Gtd. Notes
5.500%		06/15/26			650		593,125

Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26			670		654,804

Insurance — 1.1%
American International Group, Inc.,
Sr. Unsec’d. Notes
3.750%		07/10/25			2,110		2,020,217
4.500%		07/16/44			1,075		959,361
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22			500		524,137
Liberty Mutual Finance Europe DAC,
Gtd. Notes, 144A
1.750%		03/27/24		EUR	800		917,287
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		03/15/35			1,030		1,200,092
Lincoln National Corp.,
Sr. Unsec’d. Notes
7.000%		06/15/40			405		509,254
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43			350		349,091
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40			130		158,057

SEE NOTES TO FINANCIAL STATEMENTS.

A45



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Insurance (continued)
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20		850	$	877,697
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		150		144,972
Sompo International Holdings Ltd. (Bermuda),
Sr. Unsec’d. Notes
7.000%		07/15/34		1,350		1,587,025
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		2,310		2,210,958
6.850%		12/16/39		196		254,842
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		500		517,349

						12,230,339

Internet — 0.1%
Netflix, Inc.,
Sr. Unsec’d. Notes
3.625%		05/15/27	EUR	1,050		1,163,940

Iron/Steel — 0.0%
Vale Overseas Ltd. (Brazil),
Gtd. Notes
6.250%		08/10/26		270		291,600

Lodging — 0.3%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.250%		09/15/22		1,325		1,297,596
MGM Resorts International,
Gtd. Notes
6.625%		12/15/21		1,325		1,358,125
Sands China Ltd. (Macau),
Sr. Unsec’d. Notes, 144A
5.125%		08/08/25		400		396,100
Studio City Co. Ltd. (Hong Kong),
Sr. Sec’d. Notes
7.250%		11/30/21		300		305,505

						3,357,326

Machinery-Diversified — 0.4%
CNH Industrial Capital LLC,
Gtd. Notes
4.875%		04/01/21		1,050		1,066,905
Rockwell Automation, Inc.,
Sr. Unsec’d. Notes
5.200%		01/15/98		1,100		1,086,006
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,960		2,023,818

						4,176,729

Media — 2.4%
21st Century Fox America, Inc.,
Gtd. Notes
6.900%		08/15/39		65		85,423


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (continued)
7.625%		11/30/28			1,415	$	1,836,693
Cablevision Systems Corp.,
Sr. Unsec’d. Notes
8.000%		04/15/20			2,000		2,025,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.500%		05/01/26			3,300		3,172,125
5.875%		04/01/24			800		796,000
5.875%		05/01/27			1,000		970,000
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
6.384%		10/23/35			710		728,777
6.484%		10/23/45			855		878,888
6.834%		10/23/55			225		228,817
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28			1,820		1,848,087
4.250%		10/15/30			620		627,011
Cox Communications, Inc.,
Sr. Unsec’d. Notes, 144A
3.150%		08/15/24			2,800		2,693,610
CSC Holdings LLC,
Sr. Unsec’d. Notes, 144A
5.125%		12/15/21			1,425		1,396,500
7.500%		04/01/28			650		648,375
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37			1,010		936,849
Grupo Televisa SAB (Mexico),
Sr. Unsec’d. Notes
6.125%		01/31/46			495		506,200
Liberty Interactive LLC,
Sr. Unsec’d. Notes
8.250%		02/01/30	(a)		725		706,875
NBCUniversal Media LLC,
Gtd. Notes
4.450%		01/15/43			15		14,459
TCI Communications, Inc.,
Sr. Unsec’d. Notes
7.875%		02/15/26			750		911,183
TEGNA, Inc.,
Gtd. Notes, 144A
4.875%		09/15/21			475		464,313
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany),
Sr. Sec’d. Notes
4.000%		01/15/25		EUR	1,100		1,298,388
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		02/15/25	(a)		1,175		1,031,062
UPCB Finance IV Ltd. (Netherlands),
Sr. Sec’d. Notes, 144A
5.375%		01/15/25			1,140		1,066,037
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27			690		647,429

SEE NOTES TO FINANCIAL STATEMENTS.

A46



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (continued)
Ziggo BV (Netherlands),
Sr. Sec’d. Notes
3.750%		01/15/25	EUR	1,000	$	1,135,829

						26,653,930

Mining — 0.2%
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%		05/01/43		410		430,641
Goldcorp, Inc. (Canada),
Sr. Unsec’d. Notes
3.625%		06/09/21		825		822,493
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
6.750%		04/16/40		990		1,093,165

						2,346,299

Miscellaneous Manufacturing — 0.2%
Textron, Inc.,
Sr. Unsec’d. Notes
7.250%		10/01/19		2,350		2,421,537

Multi-National — 0.5%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		440		438,409
2.125%		09/27/21		3,095		3,004,224
4.375%		06/15/22		500		517,475
Inter-American Development Bank (Supranational Bank),
Unsec’d. Notes
6.950%		08/01/26		1,500		1,865,398

						5,825,506

Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
5.000%		09/01/23		1,150		1,129,875


Oil & Gas — 1.9%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		2,000		834,098
6.450%		09/15/36		945		1,020,596
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		1,000		861,057
CNOOC Finance 2013 Ltd. (China),
Gtd. Notes
3.000%		05/09/23		750		723,878
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		180		170,789
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41		1,650		1,564,534
Encana Corp. (Canada),
Sr. Unsec’d. Notes
6.500%		02/01/38		200		216,839


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (continued)
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes
4.950%		07/19/22		390	$	393,117
Sr. Unsec’d. Notes, 144A
6.510%		03/07/22		1,665		1,738,676
Helmerich & Payne, Inc.,
Gtd. Notes, 144A
4.650%		03/15/25		1,500		1,529,482
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22		1,160		1,140,442
4.750%		04/19/27		200		194,492
Lukoil International Finance BV (Russia),
Gtd. Notes, 144A
6.125%		11/09/20		600		617,880
Petrobras Global Finance BV (Brazil),
Gtd. Notes
4.750%		01/14/25	EUR	300		357,474
5.299%		01/27/25		625		596,875
5.750%		02/01/29		725		670,625
6.125%		01/17/22		56		57,470
7.375%		01/17/27		405		416,138
Petroleos Mexicanos (Mexico),
Gtd. Notes
4.750%		02/26/29	EUR	1,000		1,047,216
4.875%		01/24/22		1,100		1,070,850
5.375%		03/13/22		405		396,698
6.375%		01/23/45		1,015		817,075
6.500%		03/13/27		1,225		1,151,500
Gtd. Notes, EMTN
2.750%		04/21/27	EUR	700		663,773
3.750%		02/21/24	EUR	400		439,877
4.875%		02/21/28	EUR	800		868,479
Gtd. Notes, MTN
6.750%		09/21/47		235		194,319
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,250		1,234,640
YPF SA (Argentina),
Sr. Unsec’d. Notes, 144A
8.500%		03/23/21		380		375,250

						21,364,139

Oil & Gas Services — 0.0%
Cameron International Corp.,
Gtd. Notes
7.000%		07/15/38		450		569,213

Packaging & Containers — 0.4%
Ball Corp.,
Gtd. Notes
4.375%		12/15/23	EUR	925		1,175,149
Greif Nevada Holdings, Inc. SCS,
Gtd. Notes, 144A, MTN
7.375%		07/15/21	EUR	1,470		1,873,480

SEE NOTES TO FINANCIAL STATEMENTS.

A47



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Packaging & Containers (continued)
WestRock RKT Co.,
Gtd. Notes
4.450%		03/01/19		1,165	$	1,166,896

						4,215,525

Pharmaceuticals — 1.7%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		1,020		978,368
4.500%		05/14/35		1,715		1,586,558
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		2,040		1,935,139
Allergan Sales LLC,
Gtd. Notes, 144A
4.875%		02/15/21		1,350		1,382,775
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
6.125%		04/15/25		325		283,563
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		1,320		1,327,367
CVS Health Corp.,
Sr. Unsec’d. Notes
4.780%		03/25/38		270		258,729
5.050%		03/25/48		655		637,059
5.125%		07/20/45		565		549,976
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		07/15/23		625		476,563
Express Scripts Holding Co.,
Gtd. Notes
4.500%		02/25/26		3,690		3,739,939
Mylan NV,
Gtd. Notes
5.250%		06/15/46		1,455		1,226,052
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
3.200%		09/23/26		3,745		3,388,932
Takeda Pharmaceutical Co. Ltd. (Japan),
Sr. Unsec’d. Notes, 144A
3.800%		11/26/20		280		281,689
4.000%		11/26/21		600		608,183

						18,660,892

Pipelines — 0.9%
Energy Transfer Operating LP,
Gtd. Notes
5.150%		03/15/45		55		47,581
5.300%		04/15/47		120		105,765
6.000%		06/15/48		125		121,727
Enterprise Products Operating LLC,
Gtd. Notes
4.900%		05/15/46		2,110		2,043,698
Fermaca Enterprises S de RL de CV (Mexico),
Sr. Sec’d. Notes, 144A
6.375%		03/30/38		392		391,791


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pipelines (continued)
Magellan Midstream Partners LP,
Sr. Unsec’d. Notes
4.200%		03/15/45		1,000	$	880,600
MPLX LP,
Sr. Unsec’d. Notes
4.500%		04/15/38		970		847,147
5.200%		03/01/47		115		105,857
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.375%		08/15/22		50		48,625
4.875%		08/15/27		225		212,062
ONEOK Partners LP,
Gtd. Notes
6.850%		10/15/37		1,250		1,405,011
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		450		415,710
Phillips 66 Partners LP,
Sr. Unsec’d. Notes
4.680%		02/15/45		1,900		1,710,990
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.450%		04/01/44		575		515,302
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.900%		01/15/45		1,200		1,088,002

						9,939,868

Real Estate Investment Trusts (REITs) — 0.1%
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22		325		325,457
Trust F/1401 (Mexico),
Sr. Unsec’d. Notes, 144A
5.250%		12/15/24		1,235		1,184,056

						1,509,513

Retail — 0.5%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.149%(c)		04/17/20		950		943,941
Sr. Unsec’d. Notes
4.200%		05/15/28		1,875		1,775,996
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22		1,600		1,594,000
6.625%		04/01/21		551		564,775
PetSmart, Inc.,
Sr. Sec’d. Notes, 144A
5.875%		06/01/25		675		487,688
Rite Aid Corp.,
Gtd. Notes, 144A
6.125%		04/01/23		375		296,250

						5,662,650

SEE NOTES TO FINANCIAL STATEMENTS.

A48



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Savings & Loans — 0.1%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22		1,675	$	1,676,623
Semiconductors — 0.5%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27		3,310		2,969,416
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A
4.625%		06/01/23		2,675		2,621,500

						5,590,916

Software — 0.5%
Fiserv, Inc.,
Sr. Unsec’d. Notes
3.500%		10/01/22		1,162		1,153,991
Infor Software Parent LLC/Infor Software Parent, Inc.,
Sr. Unsec’d. Notes, Cash coupon 7.125% or PIK 7.875%, 144A
7.125%		05/01/21		1,300		1,264,250
Microsoft Corp.,
Sr. Unsec’d. Notes
3.750%		02/12/45		1,540		1,489,850
4.000%		02/12/55		435		427,186
4.450%		11/03/45		275		291,676
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34		1,070		1,074,057

						5,701,010

Telecommunications — 1.0%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31		55		72,885
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25		1,905		1,793,849
4.500%		03/09/48		74		63,322
4.550%		03/09/49		499		429,537
5.250%		03/01/37		680		667,915
5.350%		09/01/40		49		47,602
Sprint Capital Corp.,
Gtd. Notes
6.900%		05/01/19		1,300		1,306,500
Sprint Corp.,
Gtd. Notes
7.625%		02/15/25		500		500,000
T-Mobile USA, Inc.,
Gtd. Notes
6.500%		01/15/26		1,675		1,708,500
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.500%		08/10/33		990		977,215
4.522%		09/15/48		425		398,333
5.012%		04/15/49		1,000		996,402


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Telecommunications (continued)
Wind Tre SpA (Italy),
Sr. Sec’d. Notes, 144A
2.625%		01/20/23	EUR	675	$	697,204
3.125%		01/20/25	EUR	1,550		1,579,075

						11,238,339

Textiles — 0.0%
Mohawk Industries, Inc.,
Sr. Unsec’d. Notes
3.850%		02/01/23		294		294,404

TOTAL CORPORATE BONDS (cost $406,992,971)						398,346,477


MUNICIPAL BONDS — 1.9%
California — 0.7%
Bay Area Toll Authority,
BABs, Taxable, Revenue Bonds
6.907%		10/01/50		1,125		1,599,142
State of California,
GO BABs
7.625%		03/01/40		725		1,032,248
GO, BABs
7.300%		10/01/39		2,280		3,129,802
University of California,
BABs, Revenue Bonds
5.770%		05/15/43		1,400		1,684,494

						7,445,686

Colorado — 0.1%
Regional Transportation District,
Revenue Bonds, BABs, Series 2010-B
5.844%		11/01/50		770		1,017,409

Illinois — 0.4%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,380		1,761,239
State of Illinois,
GO Unlimited
5.000%		10/01/22		20		21,079
GO, Series D
5.000%		11/01/22		2,650		2,795,008

						4,577,326

New Jersey — 0.4%
New Jersey Turnpike Authority,
BABs, Revenue Bonds, Series A
7.102%		01/01/41		1,175		1,605,132
Tax. Issuer Subs., Revenue Bonds, BABs, Series F
7.414%		01/01/40		2,050		2,888,450

						4,493,582

Ohio — 0.1%
Ohio State University (The),
Revenue Bonds, Taxable, BABs, Series C
4.910%		06/01/40		695		804,212

SEE NOTES TO FINANCIAL STATEMENTS.

A49



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

MUNICIPAL BONDS (continued)

Ohio (continued)

Ohio State Water Development Auth. Wtr. Poll. Ctl. Rev.,

Revenue Bonds, BABs

4.879%

12/01/34

450

494,352

1,298,564

Oregon — 0.1%

State of Oregon Department of Transportation,

Revenue Bonds, Taxable, BABs, Series A

5.834%

11/15/34

615

764,507

Pennsylvania — 0.1%

Pennsylvania Turnpike Commission,

Revenue Bonds, BABs, Series B

5.511%

12/01/45

800

982,144

Virginia — 0.0%

University of Virginia,

Revenue Bonds, Taxable, Series C

4.179%

09/01/2117

425

413,716

TOTAL MUNICIPAL BONDS
(cost $16,766,249)

20,992,934

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 4.4%

Alternative Loan Trust,

Series 2004-18CB, Class 3A1

5.250%

09/25/19

57,542

Bellemeade Re Ltd. (Bermuda),

Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%

4.206%(c)

10/25/27

545

547,572

Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600%

4.106%(c)

04/25/28

1,113

1,112,999

Series 2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%

3.456%(c)

08/25/28

1,050

1,047,343

Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%

3.856%(c)

08/25/28

450

447,872

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%

4.106%(c)

08/25/28

450

442,905

Series 2018-03A, Class M1A, 144A, 1 Month LIBOR + 1.200% (Cap

N/A, Floor 1.200%)

3.706%(c)

10/25/27

690

689,806

Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850%

4.356%(c)

10/25/27

1,040

1,038,345

Central Park Funding Trust,

Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A,

Floor 1.500%)^

3.780%(c)

11/01/23

5,400

5,400,000

CIM Trust,

Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

12/25/57

1,446

1,453,089

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

01/25/57

1,646

1,671,690

Series 2017-06, Class A1, 144A

3.015%(cc)

06/25/57

1,373

1,324,906

Series 2017-08, Class A1, 144A

3.000%(cc)

12/25/65

2,817

2,770,720

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Citigroup Mortgage Loan Trust,

Series 2011-12, Class 3A2, 144A

4.058%(cc)

09/25/47

618

581,179

Eagle RE Ltd. (Bermuda),

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700%

4.206%(c)

11/25/28

1,700

1,697,644

Fannie Mae Connecticut Avenue Securities,

Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%

3.956%(c)

01/25/29

494

495,398

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2014-DN04, Class M3, 1 Month LIBOR + 4.550%

7.056%(c)

10/25/24

259

282,941

Series 2015-DNA01, Class M3, 1 Month LIBOR + 3.300%

5.806%(c)

10/25/27

3,460

3,753,203

Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%

4.756%(c)

11/25/28

709

720,783

Series 2016-HQA03, Class M2, 1 Month LIBOR + 1.350%

3.856%(c)

03/25/29

760

763,794

Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%

3.806%(c)

04/25/29

1,740

1,753,048

GSMSC Resecuritization Trust,

Series 2015-03R, Class 1A1, 144A, 1 Month LIBOR + 0.140%

2.646%(c)

01/26/37

1,368

1,348,886

Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140%

2.646%(c)

01/26/37

1,400

1,338,398

Harborview Mortgage Loan Trust,

Series 2007-04, Class 2A1, 1 Month LIBOR + 0.220%

2.690%(c)

07/19/47

1,637

1,581,401

Home Re Ltd. (Bermuda),

Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600%

4.106%(c)

10/25/28

510

510,621

IndyMac INDX Mortgage Loan Trust,

Series 2006-AR19, Class 5A2

3.939%(cc)

08/25/36

370

341,035

Lehman XS Trust,

Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%

2.711%(c)

08/25/46

1,130

1,107,810

LSTAR Securities Investment Ltd. (Cayman Islands),

Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

05/01/22

1,192

1,187,562

Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%

4.170%(c)

11/01/22

796

796,670

Series 2017-09, Class A, 144A, 1 Month LIBOR + 1.550%

3.899%(c)

12/01/22

283

282,200

LSTAR Securities Investment Trust,

Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%

4.099%(c)

09/01/22

947

948,458

Series 2018-02, Class A1, 144A, 1 Month LIBOR + 1.500%

4.020%(c)

04/01/23

408

407,729

MASTR Alternative Loan Trust,

Series 2004-04, Class 4A1

5.000%

04/25/19

744

MetLife Securitization Trust,

Series 2018-01A, Class A, 144A

3.750%(cc)

03/25/57

1,153

1,163,857

SEE NOTES TO FINANCIAL STATEMENTS.

A50



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
New Residential Mortgage Loan Trust,
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		01/25/48		1,641	$	1,632,403
Oaktown Re II Ltd. (Bermuda),
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
4.056%(c)		07/25/28		500		500,606
Radnor RE Ltd. (Bermuda),
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400%
3.906%(c)		03/25/28		690		688,530
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700%
5.206%(c)		03/25/28		360		359,619
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		09/25/48		1,220		1,217,648
Series 2018-HRP02, Class M1, 144A, 1 Month LIBOR + 0.850%
3.356%(c)		02/25/47		1,150		1,148,384
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
4.232%(cc)		02/25/34		530		529,743
Series 2004-18, Class 3A1
4.322%(cc)		12/25/34		2,855		2,831,390
Towd Point Mortgage Funding PLC (United Kingdom),
Series 2016-V1A, Class A1, 144A, 3 Month GBP LIBOR + 1.200%
2.089%(c)		02/20/54	GBP	1,544		1,969,077
Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-01, Class 3A
5.000%		03/25/20		50		49,855

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $49,234,244)						49,995,405


SOVEREIGN BONDS — 6.2%
Argentine Republic Government International Bond (Argentina),
Sr. Unsec’d. Notes
2.260%		12/31/38	EUR	300		187,944
4.625%		01/11/23		1,625		1,283,750
6.875%		04/22/21		1,775		1,603,730
7.820%		12/31/33	EUR	958		917,067
7.820%		12/31/33	EUR	634		601,465
8.280%		12/31/33		582		453,840
Brazil Minas SPE via State of Minas Gerais (Brazil),
Gov’t. Gtd. Notes
5.333%		02/15/28		1,105		1,096,712
Gov’t. Gtd. Notes, 144A
5.333%		02/15/28		500		496,250
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24		250		247,500
Dominican Republic International Bond (Dominican Republic),
Sr. Unsec’d. Notes
7.500%		05/06/21		2,250		2,323,125
Sr. Unsec’d. Notes, 144A
6.000%		07/19/28		575		573,563
7.500%		05/06/21		600		619,500
Egypt Government International Bond (Egypt),
Sr. Unsec’d. Notes, 144A, MTN
4.750%		04/16/26	EUR	1,410		1,461,593


Interest Rate	Maturity Date		Principal Amount (000)#		Value

SOVEREIGN BONDS (continued)
Hellenic Republic Government Bond (Greece),
Bonds
3.000%		02/24/23	EUR	1,200	$	1,366,741
3.000%		02/24/29	EUR	1,000		1,060,472
3.000%		02/24/31	EUR	620		638,783
3.000%		02/24/32	EUR	1,280		1,302,186
3.000%		02/24/34	EUR	640		627,706
3.750%		01/30/28	EUR	65		71,077
3.900%		01/30/33	EUR	1,990		2,075,803
4.200%		01/30/42	EUR	295		296,693
Hellenic Republic Government International Bond (Greece),
Sr. Unsec’d. Notes
5.200%		07/17/34	EUR	1,500		1,712,130
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
5.375%		02/21/23		436		461,615
5.375%		03/25/24		290		310,387
5.750%		11/22/23		2,300		2,485,063
6.375%		03/29/21		2,776		2,929,624
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25	EUR	3,125		3,809,264
5.350%		02/11/49		400		412,048
Sr. Unsec’d. Notes, EMTN
2.875%		07/08/21	EUR	1,225		1,475,126
3.750%		06/14/28	EUR	500		621,354
Iraq International Bond (Iraq),
Unsec’d. Notes, 144A
5.800%		01/15/28		450		402,399
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A
3.375%		09/27/23		600		609,720
Sr. Unsec’d. Notes, 144A, MTN
2.000%		09/08/20		1,200		1,180,647
2.625%		04/20/22		1,000		987,504
Lithuania Government International Bond (Lithuania),
Sr. Unsec’d. Notes
6.625%		02/01/22		1,000		1,089,856
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%		03/16/25		450		445,730
Portugal Government International Bond (Portugal),
Sr. Unsec’d. Notes, EMTN
5.125%		10/15/24		12,075		12,592,051
Portugal Obrigacoes do Tesouro OT (Portugal),
Sr. Unsec’d. Notes, 144A
3.875%		02/15/30	EUR	3,070		4,181,157
Province of Ontario (Canada),
Sr. Unsec’d. Notes
3.400%		10/17/23		915		933,532
Provincia de Buenos Aires (Argentina),
Sr. Unsec’d. Notes, 144A
6.500%		02/15/23		120		96,600
9.950%		06/09/21		1,940		1,823,600
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
5.103%		04/23/48		1,040		1,092,260

SEE NOTES TO FINANCIAL STATEMENTS.

A51



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

SOVEREIGN BONDS (continued)
Republic of Italy Government International Bond (Italy),
Sr. Unsec’d. Notes
6.875%		09/27/23			260	$	282,589
Sr. Unsec’d. Notes, MTN
5.375%		06/15/33			730		761,547
Republic of South Africa Government International Bond (South Africa),
Sr. Unsec’d. Notes
5.875%		09/16/25			1,020		1,032,499
Romanian Government International Bond (Romania),
Sr. Unsec’d. Notes, 144A, MTN
3.875%		10/29/35		EUR	945		1,052,959
Sr. Unsec’d. Notes, EMTN
3.875%		10/29/35		EUR	1,000		1,114,243
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
4.000%		04/17/25			675		669,042
Senegal Government International Bond (Senegal),
Sr. Unsec’d. Notes, 144A
4.750%		03/13/28		EUR	475		500,421
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes
2.125%		05/19/20			1,000		987,486
Sr. Unsec’d. Notes, 144A
2.500%		06/08/22			600		588,728
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
5.625%		03/30/21			500		499,963
7.000%		06/05/20			1,510		1,539,061
Ukraine Government International Bond (Ukraine),
Sr. Unsec’d. Notes
7.750%		09/01/22			1,120		1,026,323
Sr. Unsec’d. Notes, 144A
7.750%		09/01/22			340		311,562
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%		04/20/55			470		446,975

TOTAL SOVEREIGN BONDS (cost $71,578,474)							69,770,565


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0%
Federal Home Loan Mortgage Corp.
5.500%		10/01/33			593		641,455
5.500%		06/01/34			9		9,334
6.000%		11/01/33			214		233,802
6.000%		05/01/34			59		63,617
6.000%		06/01/34			150		161,463
6.250%		07/15/32	(k)		830		1,108,257
6.500%		07/01/32			23		25,492
6.500%		07/01/32			30		32,323
6.500%		08/01/32			45		48,670
6.500%		08/01/32			47		50,901
6.500%		08/01/32			50		53,964
6.500%		09/01/32			41		44,823
6.500%		09/01/32			120		130,927
6.750%		03/15/31	(k)		600		815,773
Federal National Mortgage Assoc.
5.500%		02/01/33			18		19,521
5.500%		02/01/33			22		23,546


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.500%		03/01/33			27	$	28,375
5.500%		03/01/33			50		53,426
5.500%		03/01/33			55		59,006
5.500%		04/01/33			8		8,135
5.500%		04/01/33			34		36,933
5.500%		04/01/33			37		39,314
5.500%		04/01/33			42		45,453
5.500%		07/01/33			33		35,772
5.500%		07/01/33			40		43,263
5.500%		08/01/33			17		17,697
5.500%		02/01/34			35		37,264
5.500%		04/01/34			28		30,039
5.500%		06/01/34			39		42,104
6.000%		10/01/33			4		3,902
6.000%		10/01/33			245		265,501
6.000%		03/01/34			89		95,418
6.000%		02/01/35			228		251,810
6.000%		11/01/36			62		68,179
6.250%		05/15/29	(k)		1,090		1,397,785
6.500%		08/01/32			140		155,740
6.500%		09/01/32			111		122,024
6.500%		09/01/32			192		216,472
6.500%		10/01/32			105		114,329
6.500%		04/01/33			190		213,875
6.500%		11/01/33			5		5,410
6.625%		11/15/30	(k)		530		710,426
7.000%		05/01/32			87		95,087
7.000%		06/01/32			8		8,951
7.125%		01/15/30	(k)		785		1,080,417
Government National Mortgage Assoc.
5.500%		01/15/33			75		80,592
5.500%		02/15/33			57		62,005
5.500%		05/15/33			134		142,668
5.500%		05/15/33			190		202,227
5.500%		06/15/33			205		219,784
5.500%		09/15/33			115		123,794
5.500%		07/15/35			74		79,851
6.000%		12/15/32			139		151,799
6.000%		11/15/33			70		76,231
6.000%		01/15/34			12		13,464
6.000%		06/20/34			373		404,484
6.000%		11/15/34			528		572,123
6.500%		09/15/32			88		94,424
6.500%		09/15/32			212		229,026
6.500%		09/15/32			227		247,720
6.500%		11/15/33			167		182,090

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $11,665,325)							11,628,257


U.S. TREASURY OBLIGATIONS — 3.8%
U.S. Treasury Bonds
2.500%		05/15/46	(k)		965		870,272
2.750%		08/15/47	(k)		1,950		1,846,787
3.000%		02/15/48	(k)		1,380		1,372,615
3.000%		08/15/48	(h)		2,560		2,547,900
3.125%		05/15/48			1,174		1,196,288
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			5,640		5,546,182

SEE NOTES TO FINANCIAL STATEMENTS.

A52



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Notes
1.375%		05/31/21	(h)(k)		7,020	$	6,839,564
1.875%		04/30/22	(k)		520		510,047
2.000%		11/30/20			1,355		1,342,456
2.125%		05/15/25	(k)		260		253,012
2.250%		02/15/27	(k)		910		883,624
2.625%		07/15/21	(k)		2,350		2,358,354
2.875%		11/30/25			5,045		5,135,455
3.125%		11/15/28	(h)		7,950		8,246,262
U.S. Treasury Strips Coupon
2.783%(s)		08/15/29	(k)		1,200		889,201
2.878%(s)		05/15/31	(h)(k)		1,200		841,682
3.042%(s)		11/15/35	(k)		2,400		1,465,071
3.202%(s)		08/15/40	(k)		2,400		1,246,818

TOTAL U.S. TREASURY OBLIGATIONS (cost $42,898,521)							43,391,590


				Shares

PREFERRED STOCKS — 0.2%
Banks — 0.1%
Citigroup Capital XIII 8.890%					45,000		1,189,350

Capital Markets — 0.1%
State Street Corp. 5.350%					35,000		835,800

TOTAL PREFERRED STOCKS (cost $2,000,000)							2,025,150

TOTAL LONG-TERM INVESTMENTS (cost $1,078,201,632)							1,069,547,301


SHORT-TERM INVESTMENTS — 4.4%
AFFILIATED MUTUAL FUNDS — 4.0%
PGIM Core Short-Term Bond Fund(w)					3,926,899		36,166,743
PGIM Core Ultra Short Bond Fund(w)					3,312,505		3,312,505
PGIM Institutional Money Market Fund (cost $5,294,938; includes $5,280,830 of cash collateral for securities on loan)(b)(w)					5,295,469		5,294,940

TOTAL AFFILIATED MUTUAL FUNDS (cost $45,319,536)							44,774,188


Interest Rate	Maturity Date			Principal Amount (000)#

COMMERCIAL PAPER(n) — 0.4%
Ford Motor Credit Co. LLC
3.201%		04/09/19			4,020		3,983,010

(cost $3,985,746)


	Value
*OPTIONS PURCHASED~ — 0.0%** (cost $62,088)	$	486,594

TOTAL SHORT-TERM INVESTMENTS (cost $49,367,370)		49,243,792

TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN—99.6% (cost $1,127,569,002)		1,118,791,093

*OPTIONS WRITTEN~ — (0.0)%** (premiums received $291,883)		(453,510	)

TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN — 99.6% (cost $1,127,277,119)		1,118,337,583
OTHER ASSETS IN EXCESS OF LIABILITIES(z) — 0.4%		4,587,812

NET ASSETS — 100.0%	$	1,122,925,395

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

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

~	See tables subsequent to the Schedule of Investments for options detail.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,279,655 and 1.3% of net assets.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $5,182,650; cash collateral of $5,280,830 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc)

(d)	Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(ff)	Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h)	Represents security, or a portion thereof, segregated as collateral for OTC derivatives.

(k)	Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n)	Rate shown reflects yield to maturity at purchase date.

(p)	Interest rate not available as of December 31, 2018.

(r)	Principal or notional amount is less than $500 par.

(s)	Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(rr)	Perpetual security with no stated maturity date.

SEE NOTES TO FINANCIAL STATEMENTS.

A53



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)	Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded


Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		3,100	$	18,088
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		4,700		28,721
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		3,026		27,869
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		2,942		27,116
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		7,356		64,952
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		14,601		139,858
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		14,800		145,495
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		2,942		30,447

Total OTC Traded (cost $38,739)													$	482,546

OTC Swaptions


Description	Call/ Put		Counterparty	Expiration Date		Strike		Receive			Pay	Notional Amount (000)#		Value
CDX.NA.HY.31.V1, 12/20/23		Call	Bank of America, N.A.		03/20/19	$	107.50		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		5,650	$	892
CDX.NA.HY.31.V1, 12/20/23		Call	Deutsche Bank AG		03/20/19	$	107.50		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		5,550		876
CDX.NA.HY.31.V1, 12/20/23		Call	Bank of America, N.A.		03/20/19	$	106.50		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		5,140		2,280

Total OTC Swaptions (cost $23,349)														$	4,048

Total Options Purchased (cost $62,088)														$	486,594

Options Written:

OTC Swaptions


Description	Call/ Put		Counterparty	Expiration Date		Strike		Receive			Pay	Notional Amount (000)#		Value
CDX.NA.HY.31.V1, 12/20/23		Put	Citibank, N.A.		01/16/19	$	94.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		10,000	$	(861	)
CDX.NA.HY.31.V1, 12/20/23		Put	BNP Paribas		01/16/19	$	97.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		5,040		(2,965	)
CDX.NA.HY.31.V1, 12/20/23		Put	BNP Paribas		01/16/19	$	101.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		5,040		(24,290	)
CDX.NA.HY.31.V1, 12/20/23		Put	Deutsche Bank AG		01/16/19	$	98.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		2,050		(1,904	)
CDX.NA.HY.31.V1, 12/20/23		Put	Goldman Sachs International		02/20/19	$	102.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		1,370		(22,504	)
CDX.NA.HY.31.V1, 12/20/23		Put	Citibank, N.A.		02/20/19	$	98.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		10,000		(53,094	)
CDX.NA.HY.31.V1, 12/20/23		Put	Bank of America, N.A.		02/20/19	$	97.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		13,640		(55,294	)
CDX.NA.HY.31.V1, 12/20/23		Put	Goldman Sachs International		03/20/19	$	99.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		3,410		(37,372	)
CDX.NA.HY.31.V1, 12/20/23		Put	Barclays Bank PLC		03/20/19	$	100.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		3,410		(46,380	)
CDX.NA.HY.31.V1, 12/20/23		Put	Deutsche Bank AG		03/20/19	$	98.00		5.00	%(Q)	CDX.NA.HY. 31.V1(Q)		5,550		(49,183	)

SEE NOTES TO FINANCIAL STATEMENTS.

A54



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Options Written (continued):

OTC Swaptions


Description	Call/ Put		Counterparty	Expiration Date		Strike			Receive			Pay	Notional Amount (000)#			Value
CDX.NA.HY.31.V1, 12/20/23		Put	Bank of America, N.A.		03/20/19	$	98.00			5.00	%(Q)	CDX.NA.HY. 31.V1(Q)			5,650	$	(50,069	)
iTraxx.XO.30.V1, 12/20/23		Put	Citibank, N.A.		03/20/19		4.00	%		5.00	%(Q)	iTraxx.XO.30.V1(Q)		EUR	6,000		(109,594	)

Total Options Written (premiums received $291,883)																$	(453,510	)

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type	Expiration Date		Current Notional Amount		Value/ Unrealized Appreciation (Depreciation)
Long Positions:
3,867	5 Year U.S. Treasury Notes		Mar. 2019	$	443,496,562	$	6,873,770
3,216	10 Year U.S. Treasury Notes		Mar. 2019		392,402,250		8,405,128
132	10 Year U.S. Ultra Treasury Notes		Mar. 2019		17,170,313		154,125
68	20 Year U.S. Treasury Bonds		Mar. 2019		9,928,000		459,664
614	30 Year U.S. Ultra Treasury Bonds		Mar. 2019		98,642,937		4,742,351

							20,635,038

Short Positions:
965	2 Year U.S. Treasury Notes		Mar. 2019		204,881,562		(1,370,324	)
67	5 Year Euro-Bobl		Mar. 2019		10,172,940		(25,912	)
95	10 Year Euro-Bund		Mar. 2019		17,800,731		(8,751	)
81	Euro Schatz Index		Mar. 2019		10,388,685		(4,170	)

							(1,409,157	)

						$	19,225,881

Forward foreign currency exchange contracts outstanding at December 31, 2018:


Purchase Contracts	Counterparty		Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 01/25/19		Citibank, N.A.		EUR 489	$	560,000	$	561,279	$	1,279	$	—


Sale Contracts	Counterparty		Notional Amount (000)			Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Australian Dollar,
Expiring 01/18/19		The Toronto-Dominion Bank		AUD	559	$	398,092	$	394,140	$	3,952	$	—
British Pound,
Expiring 01/25/19		Goldman Sachs International		GBP	4,935		6,411,009		6,298,200		112,809		—
Euro,
Expiring 01/25/19		Citibank, N.A.		EUR	23,669		26,952,311		27,179,412		—		(227,101	)
Expiring 01/25/19		Citibank, N.A.		EUR	23,669		26,777,136		27,179,414		—		(402,278	)
Expiring 01/25/19		Citibank, N.A.		EUR	175		199,463		200,951		—		(1,488	)
Expiring 01/25/19		JPMorgan Chase Bank, N.A.		EUR	350		400,454		401,903		—		(1,449	)

						$	61,138,465	$	61,654,020	$	116,761	$	(632,316	)

										$	118,040	$	(632,316	)

SEE NOTES TO FINANCIAL STATEMENTS.

A55



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018:


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)	Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^:
Banc of America Commercial Mortgage Trust		01/30/19		1.250%(M)		21	6.794%	$	28	$	—	$	28	Goldman Sachs International
Banc of America Commercial Mortgage Trust		01/30/19		1.250%(M)		12	6.780%		16		—		16	Goldman Sachs International
Bear Stearns Asset Backed Securities Trust		01/31/19		1.250%(M)		358	*		472		—		472	Goldman Sachs International
Bear Stearns Asset Backed Securities Trust		01/31/19		1.250%(M)		252	*		332		—		332	Goldman Sachs International
Bear Stearns Asset Backed Securities Trust		01/31/19		1.250%(M)		113	10.086%		148		—		148	Goldman Sachs International
Chase Mortgage		01/31/19		1.250%(M)		429	*		561		—		561	Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		168	6.940%		220		—		220	Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		64	*		84		—		84	Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		59	4.670%		77		—		77	Goldman Sachs International
Citigroup Commercial Mortgage Trust		01/30/19		1.250%(M)		13	6.780%		17		—		17	Goldman Sachs International
Citigroup Mortgage Loan Trust		01/31/19		1.250%(M)		125	*		164		—		164	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		94	4.550%		124		—		124	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		88	*		116		—		116	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		74	4.550%		97		—		97	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		69	*		91		—		91	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		44	2.473%		58		—		58	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		32	7.460%		42		—		42	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		29	6.598%		38		—		38	Goldman Sachs International
COMM Mortgage Trust		01/30/19		1.250%(M)		22	*		29		—		29	Goldman Sachs International
Countrywide Alternative		01/31/19		1.250%(M)		237	*		310		—		310	Goldman Sachs International
Deutsche Bank Alta Mortgages		01/31/19		1.250%(M)		337	*		441		—		441	Goldman Sachs International
Deutsche Bank Alta Mortgages		01/31/19		1.250%(M)		191	*		250		—		250	Goldman Sachs International
Equity One Home		01/31/19		1.250%(M)		291	*		380		—		380	Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		511	*		668		—		668	Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		201	*		263		—		263	Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		147	*		192		—		192	Goldman Sachs International
Fannie Mae Connecticut Avenue Securities		01/31/19		1.250%(M)		64	*		84		—		84	Goldman Sachs International
First Franklin Home Equity		01/31/19		1.250%(M)		120	*		157		—		157	Goldman Sachs International
First Franklin Home Equity		01/31/19		1.250%(M)		47	*		61		—		61	Goldman Sachs International
GMAC Home Equity		01/31/19		1.250%(M)		46	*		60		—		60	Goldman Sachs International
GMAC Home Equity		01/31/19		1.250%(M)		43	*		56		—		56	Goldman Sachs International
GMAC Home Equity		01/31/19		1.250%(M)		34	*		45		—		45	Goldman Sachs International
GS Mortgage Securities Trust		01/30/19		1.250%(M)		124	*		163		—		163	Goldman Sachs International
GS Mortgage Securities Trust		01/30/19		1.250%(M)		101	0.620%		133		—		133	Goldman Sachs International
GS Mortgage Securities Trust		01/30/19		1.250%(M)		41	7.460%		54		—		54	Goldman Sachs International
GSR Mortgage Loan Trust		01/31/19		1.250%(M)		89	*		117		—		117	Goldman Sachs International
JPMBB Commercial Mortgage Securities Trust		01/30/19		1.250%(M)		124	*		163		—		163	Goldman Sachs International
JPMBB Commercial Mortgage Securities Trust		01/30/19		1.250%(M)		97	*		127		—		127	Goldman Sachs International
JPMBB Commercial Mortgage Securities Trust		01/30/19		1.250%(M)		12	*		16		—		16	Goldman Sachs International

SEE NOTES TO FINANCIAL STATEMENTS.

A56



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018 (continued):


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)		Fair Value		Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on asset-backed securities—Sell Protection(2)^ (continued):
Lehman Home Equity		01/31/19		1.250%(M)		321		*	$	422	$	—	$	422	Goldman Sachs International
Lehman Home Equity		01/31/19		1.250%(M)		47		*		62		—		62	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		80		7.460%		105		—		105	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		57		10.400%		75		—		75	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		51		6.940%		67		—		67	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		41		2.602%		54		—		54	Goldman Sachs International
Morgan Stanley BAML Trust		01/30/19		1.250%(M)		17		2.602%		22		—		22	Goldman Sachs International
Morgan Stanley Home Equity		01/31/19		1.250%(M)		128		*		168		—		168	Goldman Sachs International
New Century Home Equity		01/31/19		1.250%(M)		334		14.903%		440		—		440	Goldman Sachs International
New Century Home Equity		01/31/19		1.250%(M)		141		*		184		—		184	Goldman Sachs International
New Century Home Equity		01/31/19		1.250%(M)		65		*		85		—		85	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		188		*		247		—		247	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		25		*		33		—		33	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		23		6.780%		30		—		30	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		21		*		28		—		28	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		12		4.670%		16		—		16	Goldman Sachs International
Wells Fargo Commercial Mortgage Trust		01/30/19		1.250%(M)		10		6.780%		13		—		13	Goldman Sachs International

									$	8,505	$	—	$	8,505


Reference Entity/ Obligation	Termination Date		Fixed Rate			Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)			Value at Trade Date		Value at December 31, 2018		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on corporate and/or sovereign issues—Sell Protection(2):
General Motors Co.		06/20/19		5.000	%(Q)		1,925		0.245	%	$	216,697	$	46,503	$	(170,194	)


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Buy Protection(1):
Kingdom of Spain		06/20/23		1.000%(Q)		2,100	$	(43,375	)	$	(51,965	)	$	8,590		Bank of America, N.A.
Republic of Italy		06/20/19		1.000%(Q)		2,010		(7,822	)		(1,431	)		(6,391	)	Deutsche Bank AG
Republic of Italy		06/20/23		1.000%(Q)		980		7,357			21,923			(14,566	)	Bank of America, N.A.
Republic of Italy		06/20/28		1.000%(Q)		1,115		108,677			113,002			(4,325	)	Goldman Sachs International
United Mexican States		06/20/23		1.000%(Q)		665		11,673			4,137			7,536		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		655		11,498			10,327			1,171		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		3,862			3,885			(23	)	Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		220		3,862			3,567			295		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		215		3,774			1,258			2,516		Citibank, N.A.
United Mexican States		06/20/23		1.000%(Q)		115		2,019			715			1,304		Citibank, N.A.

							$	101,525		$	105,418		$	(3,893	)

SEE NOTES TO FINANCIAL STATEMENTS.

A57



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018 (continued):


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)	Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)			Counterparty
OTC Credit Default Swap Agreements on corporate and/or sovereign issues—Sell Protection(2):
Arab Republic of Egypt		03/20/19		1.000%(Q)		620	2.208%	$	(1,421	)	$	(2,414	)	$	993		Citibank, N.A.
Hellenic Republic		06/20/22		1.000%(Q)		1,020	4.046%		(94,994	)		(176,063	)		81,069		Citibank, N.A.
Hellenic Republic		06/20/22		1.000%(Q)		260	4.046%		(24,214	)		(46,150	)		21,936		Goldman Sachs International
Hellenic Republic		06/20/23		1.000%(Q)		660	4.380%		(84,020	)		(64,560	)		(19,460	)	Citibank, N.A.
Hellenic Republic		06/20/24		1.000%(Q)		500	4.623%		(79,691	)		(108,125	)		28,434		Barclays Bank PLC
Kingdom of Spain		06/20/19		1.000%(Q)		4,200	0.261%		15,975			13,688			2,287		Morgan Stanley & Co. International PLC
Kingdom of Spain		06/20/23		1.000%(Q)		2,100	0.757%		22,012			31,811			(9,799	)	Bank of America, N.A.
Kingdom of Spain		06/20/23		1.000%(Q)		660	0.757%		6,918			9,538			(2,620	)	Bank of America, N.A.
Kingdom of Spain		06/20/23		1.000%(Q)		940	0.757%		9,853			10,222			(369	)	Citibank, N.A.
Kingdom of Spain		06/20/23		1.000%(Q)		1,870	0.757%		19,602			21,646			(2,044	)	Goldman Sachs International
Petroleos Mexicanos		06/20/23		1.000%(Q)		550	3.140%		(46,287	)		(30,406	)		(15,881	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		545	3.140%		(45,866	)		(36,167	)		(9,699	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185	3.140%		(15,569	)		(12,581	)		(2,988	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		185	3.140%		(15,569	)		(12,353	)		(3,216	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		180	3.140%		(15,148	)		(9,997	)		(5,151	)	Citibank, N.A.
Petroleos Mexicanos		06/20/23		1.000%(Q)		90	3.140%		(7,574	)		(4,973	)		(2,601	)	Citibank, N.A.
Republic of Italy		06/20/20		1.000%(Q)		710	1.194%		(1,742	)		(10,229	)		8,487		Bank of America, N.A.
Republic of Italy		09/20/20		1.000%(Q)		5,650	1.305%		(26,942	)		26,213			(53,155	)	JPMorgan Chase Bank, N.A.
Republic of Italy		06/20/21		1.000%(Q)		1,770	1.565%		(22,961	)		(36,553	)		13,592		Goldman Sachs International
Republic of Italy		12/20/21		1.000%(Q)		2,010	1.684%		(37,717	)		(74,681	)		36,964		Bank of America, N.A.
Republic of Italy		06/20/23		1.000%(Q)		980	1.982%		(38,330	)		(58,974	)		20,644		Bank of America, N.A.
Republic of Italy		06/20/23		1.000%(Q)		1,770	1.982%		(69,229	)		(83,740	)		14,511		Goldman Sachs International
Republic of Portugal		06/20/23		1.000%(Q)		570	0.889%		4,274			501			3,773		Bank of America, N.A.
Republic of Portugal		12/20/23		1.000%(Q)		320	0.889%		1,741			148			1,593		JPMorgan Chase Bank, N.A.
Republic of Portugal		12/20/23		1.000%(Q)		650	0.889%		3,536			—			3,536		Morgan Stanley & Co. International PLC

								$	(543,363	)	$	(654,199	)	$	110,836

Reference Entity/ Obligation

Termination
Date

Fixed
Rate

Notional
Amount
(000)#(3)

Value at
Trade Date

Value at
December 31, 2018

Unrealized
Appreciation
(Depreciation)

Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):

CDX.NA.IG.30.V1

06/20/28

1.000%(Q)

7,863

75,009

178,288

103,279

Reference Entity/ Obligation

Termination
Date

Fixed
Rate

Notional
Amount
(000)#(3)

Fair
Value

Upfront
Premiums
Paid
(Received)

Unrealized
Appreciation
(Depreciation)

Counterparty

OTC Credit Default Swap Agreement on credit indices—Buy Protection(1):

CMBX.NA.10.AAA

11/17/59

0.500%(M)

6,000

65,262

68,926

(3,664

)

Deutsche Bank AG

SEE NOTES TO FINANCIAL STATEMENTS.

A58



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Credit default swap agreements outstanding at December 31, 2018 (continued):


Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Implied Credit Spread at December 31, 2018(4)		Fair Value		Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)		Counterparty
OTC Credit Default Swap Agreements on credit indices—Sell Protection(2):
CMBX.NA.6.AA		05/11/63		1.500%(M)		3,000		*	$	6,310	$	(1,485	)	$	7,795	Goldman Sachs International
CMBX.NA.6.AA		05/11/63		1.500%(M)		650		*		1,367		(2,368	)		3,735	Deutsche Bank AG

									$	7,677	$	(3,853	)	$	11,530

The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.

(1)

(2)

(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)

When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it 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, when compared to the notional amount of the swap, represents 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.

Forward rate agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	173,800		01/14/19		—(4)	—(4)	$	(47,315	)	$	—	$	(47,315	)	Citigroup Global Markets Inc.
	132,100		01/28/19		—(3)	—(3)		(83,022	)		—		(83,022	)	Citigroup Global Markets Inc.

							$	(130,337	)	$	—	$	(130,337	)

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

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

(3)	The Porftolio pays or receives payments based on CMM102 minus 7 year CMT minus 1.371% upon termination.

(4)	The Porftolio pays or receives payments based on CMM102 minus 7 year CMT minus 1.395% upon termination.

SEE NOTES TO FINANCIAL STATEMENTS.

A59



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Inflation swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	8,520		12/19/23		1.900%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(54,081	)	$	(54,081	)

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

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

Interest rate swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
BRL	7,167		01/04/27		12.095%(T)	1 Day BROIS(2)(T)	$	—		$	518,404		$	518,404
EUR	9,735		05/11/19		(0.144)%(A)	6 Month EURIBOR(1)(S)		(17,482	)		1,740			19,222
EUR	7,065		05/11/21		0.100%(A)	6 Month EURIBOR(1)(S)		(32,493	)		(56,535	)		(24,042	)
EUR	8,125		05/11/22		0.156%(A)	6 Month EURIBOR(1)(S)		(12,751	)		(71,556	)		(58,805	)
EUR	4,650		05/11/23		0.650%(A)	6 Month EURIBOR(1)(S)		(41,668	)		(150,305	)		(108,637	)
EUR	2,620		05/11/24		0.396%(A)	6 Month EURIBOR(1)(S)		15,866			(32,621	)		(48,487	)
EUR	2,110		05/11/25		0.650%(A)	6 Month EURIBOR(1)(S)		(9,274	)		(50,697	)		(41,423	)
EUR	3,815		05/11/26		0.750%(A)	6 Month EURIBOR(1)(S)		(5,568	)		(96,933	)		(91,365	)
EUR	13,961		02/15/28		0.758%(A)	6 Month EURIBOR(2)(S)		(2,272	)		20,620			22,892
EUR	5,195		05/11/28		0.750%(A)	6 Month EURIBOR(1)(S)		199,844			(34,084	)		(233,928	)
EUR	2,640		02/15/30		1.124%(A)	6 Month EURIBOR(1)(S)		(631	)		(101,976	)		(101,345	)
EUR	1,640		05/11/30		0.850%(A)	6 Month EURIBOR(1)(S)		60,674			5,843			(54,831	)
EUR	2,410		05/11/33		1.000%(A)	6 Month EURIBOR(1)(S)		144,652			32,180			(112,472	)
EUR	5		05/11/35		1.050%(A)	6 Month EURIBOR(1)(S)		357			113			(244	)
EUR	1,240		05/11/36		1.050%(A)	6 Month EURIBOR(1)(S)		102,375			38,225			(64,150	)
EUR	230		05/11/37		1.253%(A)	6 Month EURIBOR(1)(S)		10,208			(621	)		(10,829	)
EUR	6,100		10/25/37		2.085%(A)	3 Month EURIBOR(2)(Q)		—			115,801			115,801
EUR	6,100		10/25/37		2.114%(A)	6 Month EURIBOR(1)(S)		—			(119,291	)		(119,291	)
EUR	400		05/11/39		1.350%(A)	6 Month EURIBOR(1)(S)		1,003			(5,353	)		(6,356	)
EUR	195		05/11/42		1.350%(A)	6 Month EURIBOR(1)(S)		6,978			(1,623	)		(8,601	)
EUR	1,140		01/26/48		1.853%(A)	3 Month EURIBOR(2)(Q)		—			27,389			27,389
EUR	1,140		01/26/48		1.863%(A)	6 Month EURIBOR(1)(S)		—			(27,369	)		(27,369	)
EUR	3,920		03/19/48		1.650%(A)	3 Month EURIBOR(2)(Q)		—			38,142			38,142
EUR	3,920		03/19/48		1.658%(A)	6 Month EURIBOR(1)(S)		—			(38,407	)		(38,407	)
GBP	1,995		05/08/21		0.716%(S)	6 Month GBP LIBOR(1)(S)		23,776			28,074			4,298
JPY	4,844,850		12/17/20		0.015%(S)	6 Month JPY LIBOR(1)(S)		—			(2,723	)		(2,723	)
	92,210		02/15/19		1.820%(T)	1 Day USOIS(1)(T)		—			147,982			147,982
	14,618		03/31/19		1.431%(A)	1 Day USOIS(1)(A)		—			96,372			96,372
	14,825		03/31/19		1.431%(A)	1 Day USOIS(1)(A)		—			97,848			97,848
	6,015		06/30/19		1.486%(A)	1 Day USOIS(1)(A)		—			46,519			46,519
	28,605		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(13,976	)		216,687			230,663
	11,650		07/14/19		1.428%(A)	1 Day USOIS(1)(A)		—			99,583			99,583
	28,185		09/08/19		1.290%(A)	1 Day USOIS(1)(A)		—			299,871			299,871
	36,580		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		10,331			248,354			238,023
	116,905		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		328,613			808,596			479,983
	46,220		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		14,346			231,120			216,774
	25,810		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		281			88,560			88,279
	66,255		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		7,124			150,769			143,645
	22,890		03/08/20		2.157%(A)	1 Day USOIS(1)(A)		—			32,559			32,559
	1,515		03/28/20		2.190%(A)	1 Day USOIS(1)(A)		(78	)		1,838			1,916
	16,870		03/31/20		2.295%(A)	1 Day USOIS(1)(A)		4,272			8,803			4,531
	35,490		03/31/20		2.369%(A)	1 Day USOIS(1)(A)		(7,669	)		(26,288	)		(18,619	)
	29,440		04/24/20		2.311%(A)	1 Day USOIS(1)(A)		—			(22,149	)		(22,149	)
	13,600		07/17/20		1.521%(A)	1 Day USOIS(1)(A)		—			217,020			217,020
	1,895		09/27/21		2.330%(A)	1 Day USOIS(1)(A)		(527	)		(2,106	)		(1,579	)
	5,260		05/31/22		2.353%(A)	1 Day USOIS(1)(A)		—			(22,761	)		(22,761	)
	4,490		09/27/22		2.360%(A)	1 Day USOIS(1)(A)		53			(15,295	)		(15,348	)

SEE NOTES TO FINANCIAL STATEMENTS.

A60



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest rate swap agreements outstanding at December 31, 2018 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciation (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
	6,920		02/15/24		2.115%(S)	3 Month LIBOR(1)(Q)	$	16,359		$	122,256		$	105,897
	16,137		02/15/24		2.151%(S)	3 Month LIBOR(1)(Q)		(17,628	)		255,092			272,720
	19,590		02/15/24		2.183%(S)	3 Month LIBOR(1)(Q)		(27,672	)		276,386			304,058
	3,650		05/15/24		1.808%(A)	1 Day USOIS(1)(A)		—			93,729			93,729
	11,070		08/15/24		2.168%(S)	3 Month LIBOR(1)(Q)		—			188,995			188,995
	88,455		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		297,704			1,501,863			1,204,159
	29,940		08/15/24		2.176%(S)	3 Month LIBOR(1)(Q)		102,544			498,958			396,414
	34,400		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		120,853			496,821			375,968
	6,025		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		5,665			(64,037	)		(69,702	)
	2,040		02/28/25		3.019%(S)	3 Month LIBOR(1)(Q)		—			(64,865	)		(64,865	)
	41,999		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(29,049	)		(991,666	)		(962,617	)
	2,620		07/31/25		2.802%(A)	1 Day USOIS(1)(A)		—			(78,344	)		(78,344	)
	8,910		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		7,029			(268,921	)		(275,950	)
	26,843		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		938			(817,381	)		(818,319	)
	15,934		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		211,227			643,288			432,061
	6,555		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		7,830			223,946			216,116
	2,515		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			72,153			72,153
	7,480		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(5,086	)		150,596			155,682
	5,020		05/08/27		2.309%(S)	3 Month LIBOR(1)(Q)		—			135,043			135,043
	3,295		05/15/27		1.823%(A)	1 Day USOIS(1)(A)		—			140,345			140,345
	2,095		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			58,784			58,784
	7,475		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(26,868	)		(112,732	)		(85,864	)
	9,330		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(40,174	)		(105,237	)		(65,063	)
	3,815		03/16/38		2.987%(S)	3 Month LIBOR(2)(Q)		—			118,112			118,112
	2,905		02/15/42		1.369%(A)	1 Day USOIS(1)(A)		202			603,694			603,492
	580		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			19,248			19,248
	1,835		09/27/46		1.380%(A)	1 Day USOIS(1)(A)		184			422,157			421,973
	2,865		03/16/48		2.970%(S)	3 Month LIBOR(1)(Q)		—			(99,764	)		(99,764	)
	1,100		04/09/48		2.545%(S)	3 Month LIBOR(1)(Q)		—			66,076			66,076
	1,020		05/08/48		2.627%(S)	3 Month LIBOR(1)(Q)		—			44,136			44,136
ZAR	114,100		07/16/28		8.170%(Q)	3 Month JIBAR(2)(Q)		(5,173	)		22,213			27,386

							$	1,405,249		$	6,291,263		$	4,886,014

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

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

Total return swap agreements outstanding at December 31, 2018:


Reference Entity	Financing Rate	Counterparty	Termination Date		Long (Short) Notional Amount (000)#		Fair Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
OTC Total Return Swap Agreement:
IOS. FN30.450.10(M)	1 Month LIBOR(M)	Credit Suisse International		1/12/41		2,758	$	(30,904	)	$	(8,422	)	$	(22,482	)

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate and Swap Agreements:


	Premiums Paid		Premiums Received			Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—		$	—	$	(130,337	)

OTC Swap Agreements	$	341,507	$	(833,637	)		279,266		(178,434	)

SEE NOTES TO FINANCIAL STATEMENTS.

A61



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	500,000	$	22,417,938

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Automobiles	$	—	$	3,594,698		$	—
Collateralized Loan Obligations		—		214,545,119			—
Consumer Loans		—		23,835,669			—
Credit Card		—		2,938,317			—
Home Equity Loans		—		21,243,612			—
Residential Mortgage-Backed Securities		—		28,087,878			7,996,987
Student Loans		—		14,246,669			—
Bank Loans		—		9,850,882			1,004,500
Commercial Mortgage-Backed Securities		—		146,052,592			—
Corporate Bonds		—		398,346,477			—
Municipal Bonds		—		20,992,934			—
Residential Mortgage-Backed Securities		—		44,595,405			5,400,000
Sovereign Bonds		—		69,770,565			—
U.S. Government Agency Obligations		—		11,628,257			—
U.S. Treasury Obligations		—		43,391,590			—
Preferred Stocks		2,025,150		—			—
Affiliated Mutual Funds		44,774,188		—			—
Commercial Paper		—		3,983,010			—
Options Purchased		—		486,594			—
Options Written		—		(453,510	)		—
Other Financial Instruments*
Futures Contracts		19,225,881		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(514,276	)		—
Centrally Cleared Credit Default Swap Agreements		—		(66,915	)		—
OTC Credit Default Swap Agreements		—		(368,899	)		8,505
OTC Forward Rate Agreements		—		—			(130,337	)
Centrally Cleared Inflation Swap Agreement		—		(54,081	)		—
Centrally Cleared Interest Rate Swap Agreements		—		4,886,014			—
OTC Total Return Swap Agreement		—		(30,904	)		—

Total	$	66,025,219	$	1,060,987,697		$	14,279,655

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


	Asset-Backed Securities — Residential Mortgage-Backed Securities		Bank Loans		Residential Mortgage-Backed Securities		Credit Default Swap Agreements		Forward Rate Agreements
Balance as of 12/31/17	$	1,751,539	$	—	$	5,931,898	$	30,357	$	—
Realized gain (loss)		1,601		—		—		28,085		—

SEE NOTES TO FINANCIAL STATEMENTS.

A62



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Asset-Backed Securities — Residential Mortgage-Backed Securities			Bank Loans			Residential Mortgage-Backed Securities			Credit Default Swap Agreements			Forward Rate Agreements
Change in unrealized appreciation (depreciation)	$	(10,339	)	$	(10,250	)	$	—		$	(21,852	)	$	(130,337	)
Purchases/Exchanges/Issuances		8,529,450			1,014,750			5,400,000			—			—
Sales/Paydowns		(2,275,264	)		—			—			(28,085	)		—
Accrued discount/premium		—			—			—			—			—
Transfers into of Level 3		—			—			—			—			—
Transfers out of Level 3		—			—			(5,931,898	)		—			—

Balance as of 12/31/18	$	7,996,987		$	1,004,500		$	5,400,000		$	8,505		$	(130,337	)

Change in unrealized appreciation (depreciation) relating to securities still held at reporting period end	$	—		$	10,250		$	—		$	8,505		$	130,337

Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:


Level 3 Securities	Fair Value as of December 31, 2018			Valuation Methodology	Unobservable Inputs
Asset-Backed Securities-Residential Mortgage-Backed Securities	$	7,996,987		Market Approach	Single Broker Indicative Quote
Bank Loans		1,004,500		Market Approach	Single Broker Indicative Quote
Residential Mortgage-Backed Securities		5,400,000		Market Approach	Single Broker Indicative Quote
Credit Default Swap Agreements		8,505		Market Approach	Single Broker Indicative Quote
Forward Rate Agreements		(130,337	)	Model Pricing	Forward Rate Volatility & Convexity Adjustment

	$	14,279,655

It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:


Investments in Securities	Amount Transferred		Level Transfer	Logic
Residential Mortgage-Backed Securities	$	5,931,898	L3 to L2	Single Broker Indicative Quote to Evaluated Bid

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Collateralized Loan Obligations	19.1	%
Commercial Mortgage-Backed Securities	13.0
Banks	11.1
Residential Mortgage-Backed Securities	7.6
Sovereign Bonds	6.2
Affiliated Mutual Funds (0.5% represents investments purchased with collateral from securities on loan)	4.0
U.S. Treasury Obligations	3.8
Media	2.4
Consumer Loans	2.1
Oil & Gas	1.9
Home Equity Loans	1.9


Municipal Bonds	1.9	%
Pharmaceuticals	1.8
Electric	1.7
Chemicals	1.4
Student Loans	1.3
Healthcare-Services	1.1
Diversified Financial Services	1.1
Insurance	1.1
U.S. Government Agency Obligations	1.0
Telecommunications	1.0
Pipelines	0.9
Auto Manufacturers	0.9

SEE NOTES TO FINANCIAL STATEMENTS.

A63



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


IndustryTable (con’t.):
Retail	0.7	%
Healthcare-Products	0.6
Airlines	0.6
Commercial Services	0.6
Foods	0.6
Aerospace & Defense	0.5
Multi-National	0.5
Software	0.5
Home Builders	0.5
Semiconductors	0.5
Packaging & Containers	0.5
Machinery-Diversified	0.5
Auto Parts & Equipment	0.4
Commercial Paper	0.4
Automobiles	0.3
Agriculture	0.3
Building Materials	0.3
Lodging	0.3
Gas	0.3
Credit Card	0.3
Computers	0.3
Miscellaneous Manufacturing	0.2
Mining	0.2
Apparel	0.2
Internet	0.2


Entertainment	0.1	%
Savings & Loans	0.1
Electronics	0.1
Real Estate Investment Trusts (REITs)	0.1
Forest Products & Paper	0.1
Office/Business Equipment	0.1
Biotechnology	0.1
Beverages	0.1
Capital Markets	0.1
Housewares	0.1
Home Furnishings	0.0	*
Oil & Gas Services	0.0	*
Options Purchased	0.0	*
Textiles	0.0	*
Iron/Steel	0.0	*
Engineering & Construction	0.0	*

	99.6
Options Written	(0.0	)*
Other assets in excess of liabilities	0.4

	100.0	%

*	Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit contracts risk, foreign exchange contracts risk and interest rate contracts 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.

Derivatives not accounted for as hedging
instruments, carried at fair value

Asset Derivatives

Liability Derivatives

Statement of Assets
and Liabilities Location

Fair Value

Statement of Assets
and Liabilities Location

Fair Value

Credit contracts

Due from/to broker — variation margin swaps

103,279

Due from/to broker — variation margin swaps

170,194

Credit contracts

Premiums paid for OTC swap agreements

341,507

Premiums received for OTC swap agreements

825,215

Credit contracts

Unaffiliated investments

4,048

Options written outstanding, at value

453,510

Credit contracts

Unrealized appreciation on OTC swap agreements

279,266

Unrealized depreciation on OTC swap agreements

155,952

Foreign exchange contracts

Unrealized appreciation on OTC forward foreign currency exchange contracts

118,040

Unrealized depreciation on OTC forward foreign currency exchange contracts

632,316

Interest rate contracts

Due from/to broker — variation margin futures

20,635,038

Due from/to broker — variation margin futures

1,409,157

Interest rate contracts

Due from/to broker — variation margin swaps

8,640,263

Due from/to broker — variation margin swaps

3,808,330

Interest rate contracts

—

Premiums received for OTC swap agreements

8,422

Interest rate contracts

Unaffiliated investments

482,546

—

Interest rate contracts

—

Unrealized depreciation on OTC forward rate agreements

130,337

SEE NOTES TO FINANCIAL STATEMENTS.

A64



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	—	$	—	Unrealized depreciation on OTC swap agreements	$	22,482

		$	30,603,987		$	7,615,915

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. 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, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	(87,243	)	$	357,350	$	—		$	—	$	—		$	259,179
Foreign exchange contracts.		—			—		—			4,439,972		—			—
Interest rate contracts		(695,366	)		485,620		(26,300,118	)		—		(536,673	)		7,487,635

Total	$	(782,609	)	$	842,970	$	(26,300,118	)	$	4,439,972	$	(536,673	)	$	7,746,814

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)			Options Written			Futures		Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	(17,149	)	$	(295,848	)	$	—	$	—	$	—		$	231,857
Foreign exchange contracts		—			—			—		362,613		—			—
Interest rate contracts		738,266			(259,584	)		20,332,177		—		(130,337	)		(1,149,569	)

Total	$	721,117		$	(555,432	)	$	20,332,177	$	362,613	$	(130,337	)	$	(917,712	)

(2)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased(1)	Options Written(2)	Futures Contracts— Long Positions(2)	Futures Contracts— Short Positions(2)	Forward Foreign Currency Exchange Contracts— Purchased(3)
$391,153	$144,903,533	$929,229,338	$272,585,307	$2,750,534


Forward Foreign Currency Exchange Contracts—Sold(3)	Forward Rate Agreements(2)	Interest Rate Swap Agreements(2)	Credit Default Swap Agreements— Buy Protection(2)
$63,868,701	$228,080,000	$1,394,747,388	$15,744,800


Credit Default Swap Agreements— Sell Protection(2)	Currency Swap Agreements(2)	Total Return Swap Agreements(2)	Inflation Swap Agreements(2)
$37,174,200	$8,677,400	$2,995,600	$19,114,513

SEE NOTES TO FINANCIAL STATEMENTS.

A65



		*DIVERSIFIED BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

(1)

Cost.

(2)	Notional Amount in USD.

(3)	Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	5,182,650	$	(5,182,650	)	$	—

Offsetting of OTC derivative assets and liabilities:


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)		Net Amount
Bank of America, N.A.	$	495,708	$	(328,197	)	$	167,511		$	—	$	167,511
Barclays Bank PLC		142,587		(154,505	)		(11,918	)		—		(11,918	)
BNP Paribas		—		(27,255	)		(27,255	)		—		(27,255	)
Citibank, N.A.		130,274		(1,203,318	)		(1,073,044	)		770,586		(302,458	)
Citigroup Global Markets Inc.		—		(130,337	)		(130,337	)		—		(130,337	)
Credit Suisse International		—		(30,904	)		(30,904	)		—		(30,904	)
Deutsche Bank AG		73,537		(64,941	)		8,596			—		8,596
Goldman Sachs International		313,796		(234,173	)		79,623			—		79,623
JPMorgan Chase Bank, N.A.		27,954		(54,604	)		(26,650	)		—		(26,650	)
Morgan Stanley & Co. International PLC		37,599		—			37,599			—		37,599
The Toronto-Dominion Bank		3,952		—			3,952			—		3,952

	$	1,225,407	$	(2,228,234	)	$	(1,002,827	)	$	770,586	$	(232,241	)

(1)	Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A66



		*DIVERSIFIED BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $5,182,650:
Unaffiliated investments (cost $1,082,249,466)	$	1,074,016,905
Affiliated investments (cost $45,319,536)		44,774,188
Cash		70,591
Foreign currency, at value (cost $955,926)		946,518
Cash segregated for counterparty — OTC		70,000
Dividends and interest receivable		9,873,219
Due from broker-variation margin futures		2,516,522
Receivable for investments sold		1,078,616
Receivable for Portfolio shares sold		545,571
Deposits with broker for centrally cleared/exchange-traded derivatives		500,000
Premiums paid for OTC swap agreements		341,507
Unrealized appreciation on OTC swap agreements		279,266
Unrealized appreciation on OTC forward foreign currency exchange contracts		118,040
Tax reclaim receivable		38,586
Receivable from affiliate		1,135
Prepaid expenses		8,616

Total Assets		1,135,179,280

LIABILITIES
Payable to broker for collateral for securities on loan		5,280,830
Payable for investments purchased		2,775,570
Due to broker-variation margin swaps		1,026,649
Premiums received for OTC swap agreements		833,637
Unrealized depreciation on OTC forward foreign currency exchange contracts		632,316
Options written outstanding, at value (proceeds received $291,883)		453,510
Payable for Portfolio shares repurchased		401,814
Management fee payable		379,888
Unrealized depreciation on OTC swap agreements		178,434
Accrued expenses and other liabilities		159,920
Unrealized depreciation on OTC forward rate agreements		130,337
Affiliated transfer agent fee payable		980

Total Liabilities		12,253,885

NET ASSETS	$	1,122,925,395

Net assets were comprised of: Partners Equity	$	1,122,925,395

Net asset value and redemption price per share $1,122,925,395 / 85,586,112 outstanding shares of beneficial interest	$	13.12

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income (net of $7,028 foreign withholding tax of which $1,135 is reimbursable by an affiliate)	$	42,240,441
Affiliated dividend income		1,496,918
Unaffiliated dividend income		141,823
Income from securities lending, net (including affiliated income of $55,611)		65,538

Total income		43,944,720

EXPENSES
Management fee		4,527,402
Custodian and accounting fees		179,826
Shareholders’ reports		110,028
Audit fee		55,410
Trustees’ fees		20,788
Legal fees and expenses		13,856
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		35,168

Total expenses		4,953,160

NET INVESTMENT INCOME (LOSS)		38,991,560

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(1,203,003))		(1,365,890	)
Futures transactions		(26,300,118	)
Forward rate agreement transactions		(536,673	)
Forward currency contract transactions		4,439,972
Options written transactions		842,970
Swap agreements transactions		7,746,814
Foreign currency transactions		(439,991	)

		(15,612,916	)

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $907,952)		(45,230,713	)
Futures		20,332,177
Forward rate agreements		(130,337	)
Forward currency contracts		362,613
Options written		(555,432	)
Swap agreements		(917,712	)
Foreign currencies		(79,110	)

		(26,218,514	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(41,831,430	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(2,839,870	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	38,991,560		$	36,839,384
Net realized gain (loss) on investment and foreign currency transactions		(15,612,916	)		17,744,973
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(26,218,514	)		20,986,202

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(2,839,870	)		75,570,559

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [6,799,295 and 8,208,158 shares, respectively]		88,168,310			106,613,787
Portfolio shares repurchased [8,370,109 and 10,992,821 shares, respectively]		(108,237,839	)		(141,664,847	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(20,069,529	)		(35,051,060	)

CAPITAL CONTRIBUTIONS		736,677			—

TOTAL INCREASE (DECREASE)		(22,172,722	)		40,519,499
NET ASSETS:
Beginning of year		1,145,098,117			1,104,578,618

End of year	$	1,122,925,395		$	1,145,098,117

SEE NOTES TO FINANCIAL STATEMENTS.

A67



		*EQUITY PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 96.7%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 4.8%
Boeing Co. (The)		384,958	$	124,148,955
Safran SA (France)		269,407		32,572,799
United Technologies Corp.		289,395		30,814,780

				187,536,534

Automobiles — 1.4%
Tesla, Inc.*(a)		160,620		53,454,336

Banks — 8.3%
Bank of America Corp.		2,585,371		63,703,541
BB&T Corp.		927,877		40,195,632
Citigroup, Inc.		817,694		42,569,150
JPMorgan Chase & Co.		1,411,622		137,802,540
PNC Financial Services Group, Inc. (The)		359,661		42,047,967

				326,318,830

Biotechnology — 0.7%
BioMarin Pharmaceutical, Inc.*		317,919		27,070,803

Building Products — 0.5%
Johnson Controls International PLC		634,823		18,822,502

Capital Markets — 1.5%
Goldman Sachs Group, Inc. (The)		342,458		57,207,609

Chemicals — 1.8%
DowDuPont, Inc.		389,553		20,833,294
FMC Corp.		343,464		25,402,598
Linde PLC (United Kingdom)		163,601		25,528,300

				71,764,192

Communications Equipment — 1.3%
Cisco Systems, Inc.		1,198,330		51,923,639

Consumer Finance — 1.4%
Capital One Financial Corp.		410,023		30,993,639
SLM Corp.*		2,678,543		22,258,692

				53,252,331

Diversified Telecommunication Services — 1.0%
Verizon Communications, Inc.		700,529		39,383,740

Electric Utilities — 3.4%
American Electric Power Co., Inc.		1,012,742		75,692,337
Exelon Corp.		1,245,794		56,185,309

				131,877,646

Electrical Equipment — 0.7%
Emerson Electric Co.		484,436		28,945,051

Energy Equipment & Services — 0.4%
Schlumberger Ltd.		442,893		15,979,579

Entertainment — 3.1%
Activision Blizzard, Inc.		407,589		18,981,420
Netflix, Inc.*		270,140		72,305,672
Twenty-First Century Fox, Inc. (Class A Stock)		656,338		31,582,985

				122,870,077

Equity Real Estate Investment Trusts (REITs) — 1.4%
American Tower Corp.		352,683		55,790,924


COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing — 2.3%
Costco Wholesale Corp.		183,077	$	37,294,616
Walmart, Inc.		582,642		54,273,102

				91,567,718

Food Products — 1.4%
Conagra Brands, Inc.		792,584		16,929,594
Mondelez International, Inc. (Class A Stock)		917,948		36,745,459

				53,675,053

Health Care Equipment & Supplies — 3.0%
IDEXX Laboratories, Inc.*		177,371		32,994,553
Intuitive Surgical, Inc.*		85,118		40,764,713
Zimmer Biomet Holdings, Inc.		423,021		43,875,738

				117,635,004

Health Care Providers & Services — 2.1%
Laboratory Corp. of America Holdings*		222,035		28,056,342
UnitedHealth Group, Inc.		212,156		52,852,303

				80,908,645

Hotels, Restaurants & Leisure — 1.9%
Marriott International, Inc. (Class A Stock)		371,116		40,288,353
McDonald’s Corp.		192,142		34,118,655

				74,407,008

Insurance — 2.0%
Chubb Ltd.		332,032		42,891,894
MetLife, Inc.		852,970		35,022,948

				77,914,842

Interactive Media & Services — 7.5%
Alphabet, Inc. (Class A Stock)*		90,948		95,037,022
Alphabet, Inc. (Class C Stock)*		62,665		64,896,501
Facebook, Inc. (Class A Stock)*		461,004		60,433,014
Tencent Holdings Ltd. (China)		1,842,115		73,732,777

				294,099,314

Internet & Direct Marketing Retail — 5.6%
Alibaba Group Holding Ltd. (China), ADR*(a)		471,029		64,563,945
Amazon.com, Inc.*		78,033		117,203,225
Booking Holdings, Inc.*		12,425		21,401,069
eBay, Inc.*		531,857		14,929,226

				218,097,465

IT Services — 5.4%
Adyen NV (Netherlands), 144A*(a)		37,663		20,620,551
Mastercard, Inc. (Class A Stock)		399,549		75,374,919
PayPal Holdings, Inc.*		242,729		20,411,082
Square, Inc. (Class A Stock)*		414,258		23,235,731
Visa, Inc. (Class A Stock)		553,185		72,987,229

				212,629,512

Life Sciences Tools & Services — 1.3%
Illumina, Inc.*		171,123		51,324,921

SEE NOTES TO FINANCIAL STATEMENTS.

A68



		*EQUITY PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Media — 1.6%
Comcast Corp. (Class A Stock)		1,162,724	$	39,590,752
Liberty Global PLC (United Kingdom) (Class C Stock)*		1,193,863		24,641,332

				64,232,084

Oil, Gas & Consumable Fuels — 3.5%
Anadarko Petroleum Corp.		378,589		16,597,342
Chevron Corp.		490,009		53,308,079
Noble Energy, Inc.		867,222		16,269,084
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		860,992		50,170,004

				136,344,509

Pharmaceuticals — 9.8%
Allergan PLC		209,862		28,050,155
AstraZeneca PLC (United Kingdom), ADR(a)		3,518,341		133,626,591
Bristol-Myers Squibb Co.		692,533		35,997,865
Eli Lilly & Co.		579,787		67,092,952
Merck & Co., Inc.		655,195		50,063,450
Pfizer, Inc.		1,633,315		71,294,200

				386,125,213

Road & Rail — 0.9%
Union Pacific Corp.		253,155		34,993,616

Semiconductors & Semiconductor Equipment — 2.4%
Broadcom, Inc.		142,336		36,193,198
NVIDIA Corp.		245,877		32,824,579
Texas Instruments, Inc.		267,377		25,267,127

				94,284,904

Software — 9.5%
Adobe, Inc.*		285,713		64,639,709
Microsoft Corp.		1,566,851		159,145,056
PTC, Inc.*(a)		320,744		26,589,677
salesforce.com, Inc.*		588,940		80,667,112
Workday, Inc. (Class A Stock)*		267,613		42,732,444

				373,773,998

Specialty Retail — 1.6%
Home Depot, Inc. (The)		174,926		30,055,785
Lowe’s Cos., Inc.		334,583		30,902,086

				60,957,871


COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripherals — 0.7%
Apple, Inc.		172,950	$	27,281,133

Textiles, Apparel & Luxury Goods — 2.5%
Kering SA (France)		73,014		34,429,747
NIKE, Inc. (Class B Stock)		568,610		42,156,745
Tapestry, Inc.		648,030		21,871,013

				98,457,505

TOTAL LONG-TERM INVESTMENTS (cost $2,767,553,478)				3,790,908,108


SHORT-TERM INVESTMENTS — 9.1%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		122,077,957		122,077,957
PGIM Institutional Money Market Fund (cost $233,959,995; includes $233,450,391 of cash collateral for securities on loan)(b)(w)		233,985,533		233,962,135

TOTAL SHORT-TERM INVESTMENTS (cost $356,037,952)				356,040,092

TOTAL INVESTMENTS—105.8% (cost $3,123,591,430)				4,146,948,200
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.8)%				(225,882,687	)

NET ASSETS — 100.0%			$	3,921,065,513

See the Glossary for abbreviations used in the annual report.

*	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 $227,798,660; cash collateral of $233,450,391 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—unadjusted

quoted prices generally in active markets for identical securities.

Level 2—quoted

prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable

inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A69



		*EQUITY PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	154,963,735	$	32,572,799	$	—
Automobiles		53,454,336		—		—
Banks		326,318,830		—		—
Biotechnology		27,070,803		—		—
Building Products		18,822,502		—		—
Capital Markets		57,207,609		—		—
Chemicals		71,764,192		—		—
Communications Equipment		51,923,639		—		—
Consumer Finance		53,252,331		—		—
Diversified Telecommunication Services		39,383,740		—		—
Electric Utilities		131,877,646		—		—
Electrical Equipment		28,945,051		—		—
Energy Equipment & Services		15,979,579		—		—
Entertainment		122,870,077		—		—
Equity Real Estate Investment Trusts (REITs)		55,790,924		—		—
Food & Staples Retailing		91,567,718		—		—
Food Products		53,675,053		—		—
Health Care Equipment & Supplies		117,635,004		—		—
Health Care Providers & Services		80,908,645		—		—
Hotels, Restaurants & Leisure		74,407,008		—		—
Insurance		77,914,842		—		—
Interactive Media & Services		220,366,537		73,732,777		—
Internet & Direct Marketing Retail		218,097,465		—		—
IT Services		192,008,961		20,620,551		—
Life Sciences Tools & Services		51,324,921		—		—
Media		64,232,084		—		—
Oil, Gas & Consumable Fuels		136,344,509		—		—
Pharmaceuticals		386,125,213		—		—
Road & Rail		34,993,616		—		—
Semiconductors & Semiconductor Equipment		94,284,904		—		—
Software		373,773,998		—		—
Specialty Retail		60,957,871		—		—
Technology Hardware, Storage & Peripherals		27,281,133		—		—
Textiles, Apparel & Luxury Goods		64,027,758		34,429,747		—
Affiliated Mutual Funds		356,040,092		—		—

Total	$	3,985,592,326	$	161,355,874	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Pharmaceuticals	9.8	%
Software	9.5
Affiliated Mutual Funds (6.0% represents investments purchased with collateral from securities on loan)	9.1
Banks	8.3
Interactive Media & Services	7.5
Internet & Direct Marketing Retail	5.6
IT Services	5.4
Aerospace & Defense	4.8
Oil, Gas & Consumable Fuels	3.5
Electric Utilities	3.4
Entertainment	3.1
Health Care Equipment & Supplies	3.0
Textiles, Apparel & Luxury Goods	2.5
Semiconductors & Semiconductor Equipment	2.4
Food & Staples Retailing	2.3


Health Care Providers & Services	2.1	%
Insurance	2.0
Hotels, Restaurants & Leisure	1.9
Chemicals	1.8
Media	1.6
Specialty Retail	1.6
Capital Markets	1.5
Equity Real Estate Investment Trusts (REITs)	1.4
Food Products	1.4
Automobiles	1.4
Consumer Finance	1.4
Communications Equipment	1.3
Life Sciences Tools & Services	1.3
Diversified Telecommunication Services	1.0
Road & Rail	0.9
Electrical Equipment	0.7

SEE NOTES TO FINANCIAL STATEMENTS.

A70



		*EQUITY PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Technology Hardware, Storage & Peripherals	0.7	%
Biotechnology	0.7
Building Products	0.5
Energy Equipment & Services	0.4

	105.8
Liabilities in excess of other assets	(5.8	)

	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

The Portfolio entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	227,798,660	$	(227,798,660	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A71



		*EQUITY PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $227,798,660:
Unaffiliated investments (cost $2,767,553,478)	$	3,790,908,108
Affiliated investments (cost $356,037,952)		356,040,092
Receivable for investments sold		9,505,406
Dividends and interest receivable		2,486,706
Tax reclaim receivable		1,075,665
Receivable from affiliate		33,011
Receivable for Portfolio shares sold		6,389
Prepaid expenses		34,022

Total Assets		4,160,089,399

LIABILITIES
Payable to broker for collateral for securities on loan		233,450,391
Payable for investments purchased		2,514,521
Management fee payable		1,537,293
Accrued expenses and other liabilities		754,448
Payable to affiliate		540,629
Payable for Portfolio shares repurchased		224,934
Affiliated transfer agent fee payable		980
Distribution fee payable		319
Administration fee payable		282
Payable to custodian		89

Total Liabilities		239,023,886

NET ASSETS	$	3,921,065,513

Net assets were comprised of:
Partners Equity	$	3,921,065,513

Class I:
Net asset value and redemption price per share, $3,919,601,870 / 79,958,033 outstanding shares of beneficial interest	$	49.02

Class II:
Net asset value and redemption price per share, $1,463,643 / 30,259 outstanding shares of beneficial interest	$	48.37

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $1,183,806, of which $30,662 is reimbursable by an affiliate)	$	61,100,406
Affiliated dividend income		2,671,102
Income from securities lending, net (including affiliated income of $954,151)		1,229,940

Total income		65,001,448

EXPENSES
Management fee		20,245,048
Distribution fee—Class II		4,570
Administration fee—Class II		2,742
Shareholders’ reports		329,728
Custodian and accounting fees		307,682
Trustees’ fees		56,989
Audit fee		32,034
Legal fees and expenses		24,230
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,684
Miscellaneous		79,013

Total expenses		21,092,720

NET INVESTMENT INCOME (LOSS)		43,908,728

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(12,714))		267,332,488
Foreign currency transactions		(53,849	)

		267,278,639

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $1,779)		(497,924,445	)
Foreign currencies		(10,323	)

		(497,934,768	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(230,656,129	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(186,747,401	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	43,908,728		$	36,631,169
Net realized gain (loss) on investment and foreign currency transactions		267,278,639			337,897,437
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(497,934,768	)		560,989,236

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(186,747,401	)		935,517,842

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		16,251,411			7,725,478
Portfolio shares repurchased		(329,183,650	)		(269,394,297	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(312,932,239	)		(261,668,819	)

CAPITAL CONTRIBUTIONS		3,505,159			—

TOTAL INCREASE (DECREASE)		(496,174,481	)		673,849,023
NET ASSETS:
Beginning of year		4,417,239,994			3,743,390,971

End of year	$	3,921,065,513		$	4,417,239,994

SEE NOTES TO FINANCIAL STATEMENTS.

A72



		*FLEXIBLE MANAGED PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 94.5%
COMMON STOCKS — 57.1%	Shares		Value
Aerospace & Defense — 1.1%
Lockheed Martin Corp.		69,500	$	18,197,880
Meggitt PLC (United Kingdom)		1,973		11,867
MTU Aero Engines AG (Germany)		1,152		209,957
Raytheon Co.		103,700		15,902,395
Safran SA (France)		834		100,835
Thales SA (France)		267		31,244
United Technologies Corp.		69,000		7,347,120

				41,801,298

Air Freight & Logistics — 0.2%
Hub Group, Inc. (Class A Stock)*		19,200		711,744
SG Holdings Co. Ltd. (Japan)		900		23,327
United Parcel Service, Inc. (Class B Stock)		84,600		8,251,038

				8,986,109

Airlines — 0.7%
Delta Air Lines, Inc.		243,600		12,155,640
Deutsche Lufthansa AG (Germany)		2,570		58,391
International Consolidated Airlines Group SA (United Kingdom)		2,273		18,043
Japan Airlines Co. Ltd. (Japan)		5,900		209,095
United Continental Holdings, Inc.*		161,100		13,488,903

				25,930,072

Auto Components — 0.0%
Cie Generale des Etablissements Michelin SCA (France)		428		42,560
Denso Corp. (Japan)		1,100		48,632
Koito Manufacturing Co. Ltd. (Japan)		300		15,379
Stanley Electric Co. Ltd. (Japan)		300		8,402
Tenneco, Inc. (Class A Stock)		38,200		1,046,298

				1,161,271

Automobiles — 0.0%
Ferrari NV (Italy)		347		34,640
Fiat Chrysler Automobiles NV (United Kingdom)*		2,781		40,443
Honda Motor Co. Ltd. (Japan)		10,000		262,648
Isuzu Motors Ltd. (Japan)		1,400		19,671
Mitsubishi Motors Corp. (Japan)		2,100		11,415
Peugeot SA (France)		10,934		233,789
Suzuki Motor Corp. (Japan)		3,700		186,956
Toyota Motor Corp. (Japan)		5,900		342,504
Volkswagen AG (Germany)		91		14,545

				1,146,611

Banks — 3.6%
ABN AMRO Group NV (Netherlands), CVA, 144A		1,069		25,178
AIB Group PLC (Ireland)		2,064		8,723
Australia & New Zealand Banking Group Ltd. (Australia)		7,430		127,995
Bank Leumi Le-Israel BM (Israel)		35,384		213,681
Bank of America Corp.		1,596,550		39,338,992
Bank of Ireland Group PLC (Ireland)		36,527		203,445
Bank of Queensland Ltd. (Australia)		22,916		156,612


COMMON STOCKS (continued)	Shares		Value
Banks (continued)
BB&T Corp.		90,400	$	3,916,128
BNP Paribas SA (France)		2,805		127,092
BOC Hong Kong Holdings Ltd. (China)		9,500		35,197
Citigroup, Inc.		466,550		24,288,593
Commonwealth Bank of Australia (Australia)		163		8,301
DBS Group Holdings Ltd. (Singapore)		4,600		79,851
DNB ASA (Norway)		2,447		39,306
Fifth Third Bancorp		101,900		2,397,707
Hang Seng Bank Ltd. (Hong Kong)		1,900		42,389
HSBC Holdings PLC (United Kingdom)		24,735		204,506
ING Groep NV (Netherlands)		9,769		105,577
JPMorgan Chase & Co.		504,694		49,268,228
KeyCorp		135,000		1,995,300
Lloyds Banking Group PLC (United Kingdom)		215,086		142,019
Mebuki Financial Group, Inc. (Japan)		3,200		8,478
Mediobanca Banca di Credito Finanziario SpA (Italy)		24,184		205,409
Mitsubishi UFJ Financial Group, Inc. (Japan)		64,500		316,013
Mizuho Financial Group, Inc. (Japan)		60,400		93,693
Nordea Bank Abp (Finland)		7,861		66,228
Raiffeisen Bank International AG (Austria)		7,379		187,987
Resona Holdings, Inc. (Japan)		54,900		264,297
Skandinaviska Enskilda Banken AB (Sweden) (Class A Stock)		4,252		41,431
Societe Generale SA (France)		2,663		85,248
Sumitomo Mitsui Financial Group, Inc. (Japan)		5,300		175,812
Sumitomo Mitsui Trust Holdings, Inc. (Japan)		600		21,940
Svenska Handelsbanken AB (Sweden) (Class A Stock)		3,819		42,660
Swedbank AB (Sweden) (Class A Stock)		385		8,620
Synovus Financial Corp.		31,200		998,088
United Overseas Bank Ltd. (Singapore)		11,700		210,777
Wells Fargo & Co.		302,300		13,929,984

				139,381,485

Beverages — 1.0%
Asahi Group Holdings Ltd. (Japan)		900		34,930
Coca-Cola European Partners PLC (United Kingdom)		5,800		265,930
Diageo PLC (United Kingdom)		497		17,718
Keurig Dr. Pepper, Inc.		253,000		6,486,920
Kirin Holdings Co. Ltd. (Japan)		11,700		244,296
PepsiCo, Inc.		287,020		31,709,970
Treasury Wine Estates Ltd. (Australia)		1,899		19,783

				38,779,547

Biotechnology — 1.7%
Alexion Pharmaceuticals, Inc.*		30,400		2,959,744
Amgen, Inc.		50,208		9,773,991
Biogen, Inc.*		57,800		17,393,176
Celgene Corp.*		233,100		14,939,379

SEE NOTES TO FINANCIAL STATEMENTS.

A73



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Biotechnology (continued)
CSL Ltd. (Australia)		110	$	14,385
Gilead Sciences, Inc.		328,350		20,538,293

				65,618,968

Building Products — 0.2%
Armstrong World Industries, Inc.		55,300		3,219,013
Daikin Industries Ltd. (Japan)		600		63,697
Kingspan Group PLC (Ireland)		386		16,588
Resideo Technologies, Inc.*		63,466		1,304,226
Universal Forest Products, Inc.		73,600		1,910,656

				6,514,180

Capital Markets — 1.3%
3i Group PLC (United Kingdom)		20,112		198,557
Affiliated Managers Group, Inc.		450		43,848
Ameriprise Financial, Inc.		115,750		12,080,827
Evercore, Inc. (Class A Stock)		20,450		1,463,402
Goldman Sachs Group, Inc. (The)		64,500		10,774,725
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		2,900		84,017
Macquarie Group Ltd. (Australia)		3,758		287,018
Morgan Stanley		436,050		17,289,382
Natixis SA (France)		2,711		12,805
Partners Group Holding AG (Switzerland)		389		236,083
SBI Holdings, Inc. (Japan)		600		11,725
State Street Corp.		130,450		8,227,482

				50,709,871

Chemicals — 0.9%
Air Liquide SA (France)		161		20,037
Arkema SA (France)		175		15,055
Asahi Kasei Corp. (Japan)		9,100		93,632
Celanese Corp.		59,700		5,371,209
Chemours Co. (The)		102,950		2,905,249
Covestro AG (Germany), 144A		3,067		152,595
Evonik Industries AG (Germany)		408		10,230
Givaudan SA (Switzerland)		23		53,362
Huntsman Corp.		339,700		6,552,813
Israel Chemicals Ltd. (Israel)		1,603		9,080
Kuraray Co. Ltd. (Japan)		1,000		14,057
LyondellBasell Industries NV (Class A Stock)		108,200		8,997,912
Mitsubishi Chemical Holdings Corp. (Japan)		31,600		238,735
Mitsubishi Gas Chemical Co., Inc. (Japan)		2,400		36,056
Mitsui Chemicals, Inc. (Japan)		600		13,531
Mosaic Co. (The)		245,000		7,156,450
Olin Corp.		50,300		1,011,533
Shin-Etsu Chemical Co. Ltd. (Japan)		900		69,627
Showa Denko KK (Japan)		300		8,911
Solvay SA (Belgium)		185		18,538
Sumitomo Chemical Co. Ltd. (Japan)		17,100		82,629
Teijin Ltd. (Japan)		700		11,183

				32,842,424


COMMON STOCKS (continued)	Shares		Value
Commercial Services & Supplies — 0.0%
Dai Nippon Printing Co. Ltd. (Japan)		600	$	12,577
Securitas AB (Sweden) (Class B Stock)		989		15,905

				28,482

Communications Equipment — 1.1%
Arista Networks, Inc.*		10,600		2,233,420
Cisco Systems, Inc.		832,400		36,067,892
CommScope Holding Co., Inc.*		119,600		1,960,244
Juniper Networks, Inc.		47,100		1,267,461
Telefonaktiebolaget LM Ericsson (Sweden) (Class B Stock)		7,954		70,988

				41,600,005

Construction & Engineering — 0.1%
ACS Actividades de Construccion y Servicios SA (Spain)		642		24,918
CIMIC Group Ltd. (Australia)		2,075		63,198
Eiffage SA (France)		232		19,418
EMCOR Group, Inc.		53,900		3,217,291
HOCHTIEF AG (Germany)		1,273		172,252
Taisei Corp. (Japan)		2,600		111,144
Vinci SA (France)(a)		2,767		228,505

				3,836,726

Construction Materials — 0.0%
CRH PLC (Ireland)		2,109		56,051
HeidelbergCement AG (Germany)		378		23,232

				79,283

Consumer Finance — 0.6%
American Express Co.		40,250		3,836,630
Capital One Financial Corp.		204,800		15,480,832
Navient Corp.		150,350		1,324,583
OneMain Holdings, Inc.*		96,000		2,331,840

				22,973,885

Containers & Packaging — 0.0%
Greif, Inc. (Class A Stock)		15,450		573,350
Westrock Co.		33,700		1,272,512

				1,845,862

Distributors — 0.2%
Genuine Parts Co.		93,100		8,939,462

Diversified Financial Services — 0.6%
Berkshire Hathaway, Inc. (Class B Stock)*		103,850		21,204,093
Investor AB (Sweden) (Class B Stock)		1,144		48,681
Jefferies Financial Group, Inc.		161,000		2,794,960
ORIX Corp. (Japan)		16,500		240,308

				24,288,042

Diversified Telecommunication Services — 1.7%
AT&T, Inc.		1,016,500		29,010,910
BT Group PLC (United Kingdom)		21,515		65,507
Deutsche Telekom AG (Germany)		22,027		375,523
HKT Trust & HKT Ltd. (Hong Kong), (Class SS Stock)		22,000		31,696

SEE NOTES TO FINANCIAL STATEMENTS.

A74



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Diversified Telecommunication Services (continued)
Nippon Telegraph & Telephone Corp. (Japan)		7,400	$	301,488
Proximus SADP (Belgium)		384		10,410
Spark New Zealand Ltd. (New Zealand)		4,651		12,946
Swisscom AG (Switzerland)		66		31,745
Telecom Italia SpA (Italy), RSP		18,981		9,110
Telenor ASA (Norway)		1,867		36,316
Telia Co. AB (Sweden)		7,133		33,872
Telstra Corp. Ltd. (Australia)		10,735		21,493
Verizon Communications, Inc.		600,088		33,736,947

				63,677,963

Electric Utilities — 0.8%
Chubu Electric Power Co., Inc. (Japan)		1,600		22,766
CK Infrastructure Holdings Ltd. (Hong Kong)		1,500		11,360
CLP Holdings Ltd. (Hong Kong)		4,000		45,205
Endesa SA (Spain)		5,307		122,536
Enel SpA (Italy)		61,882		359,348
Eversource Energy		75,400		4,904,016
Exelon Corp.		409,600		18,472,960
FirstEnergy Corp.(a)		49,500		1,858,725
Kansai Electric Power Co., Inc. (The) (Japan)		8,800		132,152
Portland General Electric Co.		63,400		2,906,890
Red Electrica Corp. SA (Spain)		1,066		23,861
Terna Rete Elettrica Nazionale SpA (Italy)		3,541		20,133

				28,879,952

Electrical Equipment — 0.1%
Atkore International Group, Inc.*		84,850		1,683,424
Legrand SA (France)		656		37,119
Melrose Industries PLC (United Kingdom)		12,515		26,190
Schneider Electric SE (France)		2,880		197,878

				1,944,611

Electronic Equipment, Instruments & Components — 0.4%
Avnet, Inc.(a)		66,200		2,389,820
CDW Corp.		78,700		6,378,635
Hexagon AB (Sweden) (Class B Stock)		661		30,577
Hitachi Ltd. (Japan)		9,800		259,985
Keysight Technologies, Inc.*		14,700		912,576
Kyocera Corp. (Japan)		800		39,932
Murata Manufacturing Co. Ltd. (Japan)		800		108,599
National Instruments Corp.		35,700		1,620,066
SYNNEX Corp.		18,600		1,503,624
TDK Corp. (Japan)		300		21,026
Tech Data Corp.*		16,200		1,325,322

				14,590,162

Energy Equipment & Services — 0.1%
Archrock, Inc.		145,650		1,090,919
Superior Energy Services, Inc.*		292,900		981,215

				2,072,134


COMMON STOCKS (continued)	Shares		Value
Entertainment — 0.7%
Activision Blizzard, Inc.		227,250	$	10,583,032
Ubisoft Entertainment SA (France)*		198		16,021
Viacom, Inc. (Class B Stock)		106,450		2,735,765
Walt Disney Co. (The)		135,500		14,857,575

				28,192,393

Equity Real Estate Investment Trusts (REITs) — 1.2%
American Tower Corp.		5,200		822,588
Apple Hospitality REIT, Inc.		196,550		2,802,803
Brandywine Realty Trust		81,200		1,045,044
Brixmor Property Group, Inc.		179,750		2,640,528
CoreCivic, Inc.		134,050		2,390,112
DiamondRock Hospitality Co.		358,450		3,254,726
Empire State Realty Trust, Inc. (Class A Stock)		114,100		1,623,643
Equity Residential		21,100		1,392,811
Franklin Street Properties Corp.		70,250		437,658
GEO Group, Inc. (The)		246,250		4,851,125
Goodman Group (Australia)		33,921		253,673
Host Hotels & Resorts, Inc.		700,050		11,669,833
Klepierre SA (France)		681		21,066
Land Securities Group PLC (United Kingdom)		19,617		201,348
Link REIT (Hong Kong)		5,500		55,649
Mirvac Group (Australia)		9,114		14,381
Nippon Building Fund, Inc. (Japan)		3		18,892
Piedmont Office Realty Trust, Inc. (Class A Stock)		96,900		1,651,176
Prologis, Inc.		13,100		769,232
Ryman Hospitality Properties, Inc.		45,400		3,027,726
Spirit MTA REIT		14,870		106,023
Spirit Realty Capital, Inc.		199,450		7,030,612
Stockland (Australia)		6,024		14,916
United Urban Investment Corp. (Japan)		7		10,866

				46,106,431

Food & Staples Retailing — 0.7%
Colruyt SA (Belgium)		151		10,751
Costco Wholesale Corp.		21,800		4,440,878
ICA Gruppen AB (Sweden)		6,664		238,250
J Sainsbury PLC (United Kingdom)		39,087		132,145
Koninklijke Ahold Delhaize NV (Netherlands)		8,164		206,602
Walgreens Boots Alliance, Inc.(a)		256,900		17,553,977
Walmart, Inc.		27,300		2,542,995
WM Morrison Supermarkets PLC (United Kingdom)		48,202		131,102

				25,256,700

Food Products — 1.1%
Archer-Daniels-Midland Co.		351,250		14,390,712
Barry Callebaut AG (Switzerland)		46		71,816
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		3		18,578
J.M. Smucker Co. (The)(a)		14,650		1,369,629
Kraft Heinz Co. (The)		277,700		11,952,208
MEIJI Holdings Co. Ltd. (Japan)		200		16,329

SEE NOTES TO FINANCIAL STATEMENTS.

A75



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Food Products (continued)
Mondelez International, Inc. (Class A Stock)		124,800	$	4,995,744
Nestle SA (Switzerland)		6,361		517,316
Orkla ASA (Norway)		1,959		15,439
Tate & Lyle PLC (United Kingdom)		28,843		243,009
Tyson Foods, Inc. (Class A Stock)		139,400		7,443,960
WH Group Ltd. (Hong Kong), 144A		22,500		17,320
Wilmar International Ltd. (Singapore)		100,800		230,541

				41,282,601

Gas Utilities — 0.2%
UGI Corp.		128,500		6,855,475

Health Care Equipment & Supplies — 1.5%
Baxter International, Inc.		49,850		3,281,127
Boston Scientific Corp.*		315,550		11,151,537
ConvaTec Group PLC (United Kingdom), 144A		8,547		15,162
Danaher Corp.		210,550		21,711,916
Hoya Corp. (Japan)		2,000		120,403
IDEXX Laboratories, Inc.*		6,900		1,283,538
Intuitive Surgical, Inc.*		6,400		3,065,088
Medtronic PLC.		141,100		12,834,456
Smith & Nephew PLC (United Kingdom)		4,731		88,500
Sonova Holding AG (Switzerland)		289		47,578
Straumann Holding AG (Switzerland)		18		11,396
Stryker Corp.		10,200		1,598,850
Zimmer Biomet Holdings, Inc.		19,700		2,043,284

				57,252,835

Health Care Providers & Services — 1.8%
Alfresa Holdings Corp. (Japan)		7,100		181,387
CVS Health Corp.		195,350		12,799,332
Fresenius SE & Co. KGaA (Germany)		630		30,734
HCA Healthcare, Inc.		150,050		18,673,723
Humana, Inc.		9,950		2,850,476
Medipal Holdings Corp. (Japan)		11,300		242,398
Sonic Healthcare Ltd. (Australia)		1,001		15,561
UnitedHealth Group, Inc.		132,600		33,033,312

				67,826,923

Hotels, Restaurants & Leisure — 0.6%
Accor SA (France)		576		24,784
Bloomin’ Brands, Inc.		246,450		4,408,991
Compass Group PLC (United Kingdom)		13,227		278,423
Extended Stay America, Inc., UTS		266,000		4,123,000
Genting Singapore Ltd. (Singapore)		15,100		10,817
Hilton Grand Vacations, Inc.*		107,100		2,826,369
Marriott International, Inc. (Class A Stock)		18,950		2,057,212
McDonald’s Holdings Co. Japan Ltd. (Japan)		200		8,494
Norwegian Cruise Line Holdings Ltd.*		65,200		2,763,828
Oriental Land Co. Ltd. (Japan)		500		50,403
Paddy Power Betfair PLC (Ireland)		249		20,451
Penn National Gaming, Inc.*		6,700		126,161
Royal Caribbean Cruises Ltd		71,100		6,952,869


COMMON STOCKS (continued)	Shares		Value
Hotels, Restaurants & Leisure (continued)
Sodexo SA (France)		231	$	23,689
TUI AG (Germany)		1,434		20,600

				23,696,091

Household Durables — 0.0%
Barratt Developments PLC (United Kingdom)		2,562		15,138
Berkeley Group Holdings PLC (United Kingdom)		5,587		247,728
Nikon Corp. (Japan)		800		11,852
Persimmon PLC (United Kingdom)		6,649		163,936
Sony Corp. (Japan)		6,300		302,542

				741,196

Household Products — 0.6%
Henkel AG & Co. KGaA (Germany)		321		31,622
Procter & Gamble Co. (The)		243,705		22,401,364
Reckitt Benckiser Group PLC (United Kingdom)		1,729		132,674

				22,565,660

Independent Power & Renewable Electricity Producers — 0.5%
AES Corp.		491,900		7,112,874
Electric Power Development Co. Ltd. (Japan)		500		11,843
NRG Energy, Inc.		278,350		11,022,660

				18,147,377

Industrial Conglomerates — 0.7%
CK Hutchison Holdings Ltd. (Hong Kong)		19,500		187,171
General Electric Co.		485,100		3,672,207
Honeywell International, Inc.		161,800		21,377,016
NWS Holdings Ltd. (Hong Kong)		4,000		8,209
Siemens AG (Germany)		223		24,956

				25,269,559

Insurance — 1.3%
Aegon NV (Netherlands)		46,139		216,432
Aflac, Inc.		56,900		2,592,364
AIA Group Ltd. (Hong Kong)		6,000		49,752
Allianz SE (Germany)		2,059		414,805
Allstate Corp. (The)(a)		169,900		14,038,837
Aviva PLC (United Kingdom)		9,961		47,764
AXA SA (France)		8,413		182,141
CNO Financial Group, Inc.		50,300		748,464
Dai-ichi Life Holdings, Inc. (Japan)		2,700		41,958
Insurance Australia Group Ltd. (Australia)		5,811		28,656
Legal & General Group PLC (United Kingdom)		91,188		269,196
Lincoln National Corp.		90,800		4,658,948
MetLife, Inc.		402,300		16,518,438
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)		372		81,412
NN Group NV (Netherlands)		759		30,298
Old Republic International Corp.		7,850		161,475

SEE NOTES TO FINANCIAL STATEMENTS.

A76



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
Reinsurance Group of America, Inc.		6,400	$	897,472
Suncorp Group Ltd. (Australia)		3,255		28,902
Swiss Life Holding AG (Switzerland)*		101		39,068
Tokio Marine Holdings, Inc. (Japan)		1,700		80,716
UnipolSai Assicurazioni SpA (Italy)		81,747		185,474
Unum Group		262,200		7,703,436
Zurich Insurance Group AG (Switzerland)		52		15,558

				49,031,566

Interactive Media & Services — 2.7%
Alphabet, Inc. (Class A Stock)*		21,650		22,623,384
Alphabet, Inc. (Class C Stock)*		46,732		48,396,127
Auto Trader Group PLC (United Kingdom), 144A		11,239		65,273
Facebook, Inc. (Class A Stock)*		256,550		33,631,139

				104,715,923

Internet & Direct Marketing Retail — 2.2%
Amazon.com, Inc.*		27,700		41,604,569
Booking Holdings, Inc.*		11,150		19,204,983
eBay, Inc.*		533,400		14,972,538
Expedia Group, Inc.(a)		8,400		946,260
Qurate Retail, Inc.*		454,500		8,871,840

				85,600,190

IT Services — 2.4%
Accenture PLC (Class A Stock)		71,350		10,061,063
Amadeus IT Group SA (Spain)		3,501		244,424
Automatic Data Processing, Inc.		73,550		9,643,876
Capgemini SE (France)		248		24,732
Cognizant Technology Solutions Corp. (Class A Stock)		292,350		18,558,378
DXC Technology Co.		179,100		9,522,747
International Business Machines Corp.		85,200		9,684,684
Obic Co. Ltd. (Japan)		200		15,434
Visa, Inc. (Class A Stock)		264,400		34,884,936
Wirecard AG (Germany)		1,549		238,103

				92,878,377

Leisure Products — 0.0%
Bandai Namco Holdings, Inc. (Japan)		500		22,413
Vista Outdoor, Inc.*(a)		85,200		967,020

				989,433

Life Sciences Tools & Services — 1.0%
Illumina, Inc.*		59,850		17,950,810
QIAGEN NV*		620		21,229
Thermo Fisher Scientific, Inc.		86,300		19,313,077

				37,285,116

Machinery — 0.9%
Alfa Laval AB (Sweden)		751		16,147
Alstom SA (France)		393		15,904
Atlas Copco AB (Sweden) (Class B Stock)		1,705		37,351
Caterpillar, Inc.		117,900		14,981,553
CNH Industrial NV (United Kingdom)		2,556		23,362


COMMON STOCKS (continued)	Shares		Value
Machinery (continued)
Cummins, Inc.		101,300	$	13,537,732
Daifuku Co. Ltd. (Japan)		2,100		95,575
Hitachi Construction Machinery Co. Ltd. (Japan)		300		6,996
IHI Corp. (Japan)		400		11,013
Komatsu Ltd. (Japan)		2,300		49,186
PACCAR, Inc.		33,150		1,894,191
Pentair PLC (United Kingdom)		81,700		3,086,626
Sandvik AB (Sweden)		18,506		266,439
Schindler Holding AG (Switzerland)		64		12,495
Timken Co. (The)		38,200		1,425,624
Volvo AB (Sweden) (Class B Stock)		20,027		263,150
Yangzijiang Shipbuilding Holdings Ltd. (China)		239,100		217,802

				35,941,146

Marine — 0.0%
AP Moller - Maersk A/S (Denmark) (Class A Stock)		10		11,842

Media — 1.0%
Comcast Corp. (Class A Stock)		772,396		26,300,084
Eutelsat Communications SA (France)		2,940		58,039
Hakuhodo DY Holdings, Inc. (Japan)		700		10,005
I-CABLE Communications Ltd. (Hong Kong)*		3,065		46
News Corp. (Class A Stock)		157,500		1,787,625
Pearson PLC (United Kingdom)		21,660		259,602
RTL Group SA (Luxembourg)		111		5,942
TEGNA, Inc.		369,350		4,014,834
Tribune Media Co. (Class A Stock)		132,400		6,008,312

				38,444,489

Metals & Mining — 0.3%
Alcoa Corp.*		18,650		495,717
Alumina Ltd. (Australia)		6,301		10,190
Anglo American PLC (South Africa)		14,915		333,316
ArcelorMittal (Luxembourg)		10,215		214,661
BHP Group Ltd. (Australia)		7,966		191,347
BHP Group PLC (Australia)		5,222		110,740
BlueScope Steel Ltd. (Australia)		4,669		35,922
Glencore PLC (Switzerland)*		28,671		106,653
JFE Holdings, Inc. (Japan)		1,300		20,570
Kobe Steel Ltd. (Japan)		1,000		6,922
Nippon Steel & Sumitomo Metal Corp. (Japan)		1,900		32,592
Norsk Hydro ASA (Norway)		2,370		10,796
Rio Tinto Ltd. (Australia)		1,018		56,177
Rio Tinto PLC (Australia)		2,977		142,197
South32 Ltd. (Australia)		16,028		37,782
Steel Dynamics, Inc.		258,850		7,775,854
voestalpine AG (Austria)		371		11,155

				9,592,591

Mortgage Real Estate Investment Trusts (REITs) — 0.1%
Ladder Capital Corp.		158,900		2,458,183
Two Harbors Investment Corp.		236,300		3,034,092

				5,492,275

SEE NOTES TO FINANCIAL STATEMENTS.

A77



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Multiline Retail — 0.7%
Don Quijote Holdings Co. Ltd. (Japan)		300	$	18,384
Kohl’s Corp.(a)		201,600		13,374,144
Macy’s, Inc.		434,150		12,928,987
Next PLC (United Kingdom)		360		18,329
Wesfarmers Ltd. (Australia)		2,737		62,049

				26,401,893

Multi-Utilities — 0.2%
AGL Energy Ltd. (Australia)		17,131		248,023
CenterPoint Energy, Inc.		165,100		4,660,773
MDU Resources Group, Inc.		125,050		2,981,192
National Grid PLC (United Kingdom)		26,885		261,819

				8,151,807

Oil, Gas & Consumable Fuels — 3.0%
Aker BP ASA (Norway)		284		7,209
BP PLC (United Kingdom)		33,082		209,466
Chevron Corp.		318,300		34,627,857
ConocoPhillips		52,650		3,282,727
Eni SpA (Italy)		11,156		176,210
Equinor ASA (Norway)		2,934		62,290
Exxon Mobil Corp.		209,066		14,256,211
JXTG Holdings, Inc. (Japan)		8,100		42,363
Kinder Morgan, Inc.		911,000		14,011,180
Lundin Petroleum AB (Sweden)		591		14,818
Marathon Oil Corp.		117,500		1,684,950
Marathon Petroleum Corp.(a)		232,600		13,725,726
Neste OYJ (Finland)		2,839		219,502
Phillips 66		169,100		14,567,965
Repsol SA (Spain)		16,848		272,803
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		11,808		347,789
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		3,044		90,909
Santos Ltd. (Australia)		46,595		178,670
TOTAL SA (France)		2,429		128,538
Valero Energy Corp.		196,800		14,754,096
Woodside Petroleum Ltd. (Australia)		1,448		31,801
World Fuel Services Corp.		84,200		1,802,722

				114,495,802

Paper & Forest Products — 0.0%
Oji Holdings Corp. (Japan)		2,200		11,277
Stora Enso OYJ (Finland) (Class R Stock)		1,395		16,219
UPM-Kymmene OYJ (Finland)		1,360		34,686

				62,182

Personal Products — 0.2%
Avon Products, Inc. (United Kingdom)*		28,200		42,864
Herbalife Nutrition Ltd.*		35,600		2,098,620
Kose Corp. (Japan)		100		15,660
L’Oreal SA (France)		555		128,224
Nu Skin Enterprises, Inc. (Class A Stock)		21,600		1,324,728
Pola Orbis Holdings, Inc. (Japan)		200		5,383
Shiseido Co. Ltd. (Japan)(a)		900		56,331
Unilever NV (United Kingdom), CVA		3,869		210,432


COMMON STOCKS (continued)	Shares		Value
Personal Products (continued)
Unilever PLC (United Kingdom)		3,035	$	159,200
USANA Health Sciences, Inc.*		23,400		2,754,882

				6,796,324

Pharmaceuticals — 3.3%
Allergan PLC		111,400		14,889,724
Astellas Pharma, Inc. (Japan)		5,100		65,321
AstraZeneca PLC (United Kingdom)		426		31,955
Bayer AG (Germany)		1,468		102,776
Bristol-Myers Squibb Co.		317,000		16,477,660
Eli Lilly & Co.		117,400		13,585,528
GlaxoSmithKline PLC (United Kingdom)		11,144		212,192
H. Lundbeck A/S (Denmark)		1,244		54,584
Ipsen SA (France)		95		12,288
Johnson & Johnson		209,448		27,029,264
Merck & Co., Inc.		430,000		32,856,300
Novartis AG (Switzerland)		7,867		675,037
Novo Nordisk A/S (Denmark) (Class B Stock)		4,553		209,162
Pfizer, Inc.		454,400		19,834,560
Roche Holding AG (Switzerland)		2,747		683,490
Sanofi (France)		5,575		483,548
Shionogi & Co. Ltd. (Japan)		4,600		263,095
Takeda Pharmaceutical Co. Ltd. (Japan)(a)		1,300		44,078
Teva Pharmaceutical Industries Ltd. (Israel), ADR*		2,400		37,008
UCB SA (Belgium)		396		32,365

				127,579,935

Professional Services — 0.2%
Insperity, Inc.		31,100		2,903,496
Intertek Group PLC (United Kingdom)		410		25,137
Korn/Ferry International		51,700		2,044,218
Recruit Holdings Co. Ltd. (Japan)		2,800		67,597
RELX PLC (United Kingdom)		5,026		103,671
Robert Half International, Inc.		55,650		3,183,180
Teleperformance (France)		1,297		207,741
Wolters Kluwer NV (Netherlands)		1,909		113,183

				8,648,223

Real Estate Management & Development — 0.4%
CapitaLand Ltd. (Singapore)		6,500		14,791
CBRE Group, Inc. (Class A Stock)*		361,750		14,484,470
CK Asset Holdings Ltd. (Hong Kong)		8,500		61,587
Henderson Land Development Co. Ltd. (Hong Kong)		400		1,991
Mitsui Fudosan Co. Ltd. (Japan)		2,300		50,751
Sumitomo Realty & Development Co. Ltd. (Japan)		900		32,914
Sun Hung Kai Properties Ltd. (Hong Kong)		4,000		57,020
Swire Pacific Ltd. (Hong Kong) (Class A Stock)		21,000		222,092
Swire Properties Ltd. (Hong Kong)		3,800		13,337

SEE NOTES TO FINANCIAL STATEMENTS.

A78



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Real Estate Management & Development (continued)
Vonovia SE (Germany)		1,111	$	50,555
Wharf Real Estate Investment Co. Ltd. (Hong Kong)		26,000		155,390

				15,144,898

Road & Rail — 0.9%
Aurizon Holdings Ltd. (Australia)		5,022		15,129
CSX Corp.		279,950		17,393,294
DSV A/S (Denmark)		2,516		166,186
Kyushu Railway Co. (Japan)		500		16,913
Nippon Express Co. Ltd. (Japan)		200		11,137
Norfolk Southern Corp.		112,650		16,845,681

				34,448,340

Semiconductors & Semiconductor Equipment — 1.7%
ASML Holding NV (Netherlands)		1,045		164,894
Cabot Microelectronics Corp.		8,000		762,800
Infineon Technologies AG (Germany)		13,474		269,784
Intel Corp.		800,450		37,565,118
KLA-Tencor Corp.		17,500		1,566,075
Lam Research Corp.		46,800		6,372,756
Micron Technology, Inc.*		114,500		3,633,085
NXP Semiconductors NV (Netherlands)		800		58,624
Qorvo, Inc.*		67,900		4,123,567
STMicroelectronics NV (Switzerland)		2,025		29,088
Texas Instruments, Inc.		41,450		3,917,025
Versum Materials, Inc.		68,700		1,904,364
Xilinx, Inc.		62,300		5,306,091

				65,673,271

Software — 3.9%
Adobe, Inc.*		70,150		15,870,736
Cadence Design Systems, Inc.*		92,900		4,039,292
Citrix Systems, Inc.		8,800		901,648
Dassault Systemes SE (France)		320		38,088
Intuit, Inc.		38,500		7,578,725
Micro Focus International PLC (United Kingdom)		1,656		29,278
Microsoft Corp.		887,700		90,163,689
Nice Ltd. (Israel)*		157		16,907
Oracle Corp.		517,650		23,371,898
SAP SE (Germany)		565		56,567
Synopsys, Inc.*		88,100		7,421,544

				149,488,372

Specialty Retail — 0.9%
Advance Auto Parts, Inc.		73,550		11,581,183
Asbury Automotive Group, Inc.*		37,700		2,513,082
AutoNation, Inc.*		128,700		4,594,590
Fast Retailing Co. Ltd. (Japan)		500		255,210
Foot Locker, Inc.		195,100		10,379,320
Home Depot, Inc. (The)		14,800		2,542,936
Michaels Cos., Inc. (The)*(a)		120,900		1,636,986
Penske Automotive Group, Inc.(a)		31,400		1,266,048

				34,769,355

Technology Hardware, Storage & Peripherals — 2.4%
Apple, Inc.		375,800		59,278,692


COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripherals (continued)
FUJIFILM Holdings Corp. (Japan)		1,000	$	38,889
Hewlett Packard Enterprise Co.		1,020,050		13,474,860
HP, Inc.		833,950		17,062,617
Konica Minolta, Inc. (Japan)		22,600		203,835

				90,058,893

Textiles, Apparel & Luxury Goods — 0.7%
adidas AG (Germany)		462		96,923
Burberry Group PLC (United Kingdom)		1,136		25,148
Hanesbrands, Inc.(a)		130,300		1,632,659
Hermes International (France)		155		86,211
Kering SA (France)		238		112,229
LVMH Moet Hennessy Louis Vuitton SE (France)		1,473		436,592
NIKE, Inc. (Class B Stock)		246,400		18,268,096
Puma SE (Germany)		21		10,294
Swatch Group AG (The) (Switzerland) (Registered Shares)		140		8,141
Tapestry, Inc.		212,400		7,168,500

				27,844,793

Thrifts & Mortgage Finance — 0.1%
Radian Group, Inc.		206,000		3,370,160

Tobacco — 0.4%
Altria Group, Inc.		32,750		1,617,522
British American Tobacco PLC (United Kingdom)		6,054		193,597
Imperial Brands PLC (United Kingdom)		8,396		254,601
Japan Tobacco, Inc. (Japan)		2,700		64,266
Philip Morris International, Inc.		188,400		12,577,584

				14,707,570

Trading Companies & Distributors — 0.1%
Ashtead Group PLC (United Kingdom)		1,125		23,527
ITOCHU Corp. (Japan)		7,900		134,172
Marubeni Corp. (Japan)		15,000		105,101
Mitsubishi Corp. (Japan)		9,100		249,943
Mitsui & Co. Ltd. (Japan)		14,200		218,276
Sumitomo Corp. (Japan)		2,800		39,717
Toyota Tsusho Corp. (Japan)		700		20,601
WESCO International, Inc.*		83,700		4,017,600

				4,808,937

Transportation Infrastructure — 0.1%
Aena SME SA (Spain), 144A		171		26,624
Auckland International Airport Ltd. (New Zealand)		2,462		11,842
Macquarie Infrastructure Corp.(a)		129,500		4,734,520

				4,772,986

Wireless Telecommunication Services — 0.0%
KDDI Corp. (Japan)		9,200		219,870
NTT DOCOMO, Inc. (Japan)		3,400		76,552
SoftBank Group Corp. (Japan)		2,100		139,164

SEE NOTES TO FINANCIAL STATEMENTS.

A79



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Wireless Telecommunication Services (continued)
T-Mobile US, Inc.*		13,900	$	884,179
Vodafone Group PLC (United Kingdom)		14,071		27,548

				1,347,313

TOTAL COMMON STOCKS (cost $1,941,568,512)				2,189,375,648


EXCHANGE TRADED FUND — 0.0%
iShares MSCI EAFE ETF (cost $121,601)		2,088		122,733


PREFERRED STOCKS — 0.0%
Automobiles — 0.0%
Bayerische Motoren Werke AG (Germany) (PRFC)		155		11,080

Banks — 0.0%
Citigroup Capital XIII 8.890%		22,000		581,460

Household Products — 0.0%
Henkel AG & Co. KGaA (Germany) (PRFC)		441		48,297

TOTAL PREFERRED STOCKS (cost $615,221)				640,837


	Units

*RIGHTS — 0.0%**
Oil, Gas & Consumable Fuels
Repsol SA (Spain), expiring 01/09/19 (cost $7,904)		16,848		7,721


Interest Rate	Maturity Date		Principal Amount (000)#

ASSET-BACKED SECURITIES — 6.7%
Automobiles — 1.6%
AmeriCredit Automobile Receivables Trust,
Series 2016-04, Class C
2.410%		07/08/22		1,000	987,298
Series 2017-03, Class C
2.690%		06/19/23		1,020	1,007,752
Series 2017-04, Class C
2.600%		09/18/23		2,100	2,065,168
Series 2018-01, Class C
3.500%		01/18/24		1,600	1,605,684
Avis Budget Rental Car Funding AESOP LLC,
Series 2015-01A, Class A, 144A
2.500%		07/20/21		3,300	3,268,608
Series 2015-02A, Class A, 144A
2.630%		12/20/21		4,000	3,955,253
Series 2018-01A, Class A, 144A
3.700%		09/20/24		1,600	1,621,390
Series 2018-02A, Class A, 144A
4.000%		03/20/25		1,600	1,632,741
Drive Auto Receivables Trust,
Series 2018-01, Class B
2.880%		02/15/22		1,700	1,697,846


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Automobiles (continued)
Ford Credit Auto Owner Trust,
Series 2017-01, Class A, 144A
2.620%		08/15/28		1,300	$	1,281,298
Series 2017-02, Class A, 144A
2.360%		03/15/29		2,500		2,436,299
Series 2018-02, Class A, 144A
3.470%		01/15/30		3,000		3,027,379
Ford Credit Floorplan Master Owner Trust,
Series 2017-03, Class A
2.480%		09/15/24		4,500		4,411,916
Series 2018-02, Class A
3.170%		03/15/25		13,350		13,444,098
GM Financial Consumer Automobile Receivables Trust,
Series 2018-04, Class C
3.620%		06/17/24		500		508,380
OneMain Direct Auto Receivables Trust,
Series 2017-01A, Class A, 144A
2.160%		10/15/20		1,955		1,948,229
Series 2017-02A, Class B, 144A
2.550%		11/14/23		5,800		5,741,042
Series 2017-02A, Class C, 144A
2.820%		07/15/24		1,400		1,385,906
Series 2018-01A, Class A, 144A
3.430%		12/16/24		5,200		5,210,073
Santander Drive Auto Receivables Trust,
Series 2018-01, Class C
2.960%		03/15/24		1,200		1,194,567
Series 2018-04, Class C
3.560%		07/15/24		2,300		2,317,407

						60,748,334

Collateralized Loan Obligations — 2.6%
ArrowMark Colorado Holdings (Cayman Islands),
Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280%
3.716%(c)		07/15/29		500		498,922
Battalion CLO Ltd. (Cayman Islands),
Series 2015-08A, Class A1R, 144A, 3 Month LIBOR + 1.340%
3.785%(c)		07/18/30		1,500		1,498,335
Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		07/15/29		1,500		1,495,853
Series 2017-11A, Class X, 144A, 3 Month LIBOR + 1.000%
3.436%(c)		04/15/29		938		937,401
Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820%
3.269%(c)		01/17/28		1,500		1,485,116
Canyon Capital CLO Ltd. (Cayman Islands),
Series 2015-01A, Class AS, 144A, 3 Month LIBOR + 1.250%
3.686%(c)		04/15/29		3,000		2,977,711
Catamaran CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month LIBOR + 1.400%
3.845%(c)		10/18/26		500		499,482
CIFC Funding Ltd. (Cayman Islands),
Series 2014-05A, Class A1R2, 144A, 3 Month LIBOR + 1.200%
3.627%(c)		10/17/31		9,750		9,665,150
Elevation CLO Ltd. (Cayman Islands),
Series 2015-04A, Class A, 144A, 3 Month LIBOR + 1.550%
3.995%(c)		04/18/27		1,000		1,001,588

SEE NOTES TO FINANCIAL STATEMENTS.

A80



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Collateralized Loan Obligations (continued)

Greenwood Park CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 1.010%

3.446%(c)

04/15/31

2,000

1,969,663

Greywolf CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030%

3.538%(c)

04/26/31

4,000

3,932,191

Highbridge Loan Management Ltd. (Cayman Islands),

Series 2015-06A, Class A1R, 144A, 3 Month LIBOR + 1.000%

3.582%(c)

02/05/31

250

245,717

ICG US CLO Ltd. (Cayman Islands),

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%)

3.590%(c)

10/19/28

10,000

9,910,856

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

3.757%(c)

10/23/29

1,250

1,241,844

Jefferson Mill CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AR, 3 Month LIBOR + 1.175%

3.672%(c)

10/20/31

6,750

6,662,046

MidOcean Credit CLO (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120%

3.589%(c)

04/21/31

2,400

2,370,506

OCP CLO Ltd. (Cayman Islands),

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%

3.696%(c)

07/15/30

1,250

1,244,149

OZLM Ltd. (Cayman Islands),

Series 2014-09A, Class A1AR, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%)

3.749%(c)

10/20/31

7,500

7,446,547

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

3.770%(c)

10/30/30

1,500

1,491,820

Palmer Square CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130%

3.579%(c)

01/17/31

1,500

1,483,277

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

3.946%(c)

05/21/29

1,750

1,742,700

Series 2018-02A, Class A1A, 144A, 3 Month LIBOR + 1.100%

3.362%(c)

07/16/31

2,350

2,315,009

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1A, 144A, 3 Month LIBOR + 1.280%

3.772%(c)

10/20/31

8,750

8,705,097

Romark CLO Ltd. (Cayman Islands),

Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175%

3.431%(c)

07/25/31

1,000

989,925

Sound Point CLO Ltd. (Cayman Islands),

Series 2015-02A, Class AR, 144A, 3 Month LIBOR + 0.880%

3.349%(c)

07/20/27

1,000

992,362

Telos CLO (Cayman Islands),

Series 2013-03A, Class AR, 144A, 3 Month LIBOR + 1.300%

3.749%(c)

07/17/26

1,500

1,499,267

Telos CLO Ltd. (Cayman Islands),

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 1.240%

3.689%(c)

01/17/30

2,500

2,487,206

TICP CLO Ltd. (Cayman Islands),

Series 2017-07A, Class AS, 144A, 3 Month LIBOR + 1.230%

3.666%(c)

07/15/29

1,250

1,245,963

Trinitas CLO Ltd. (Cayman Islands),

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

4.190%(c)

10/25/28

3,250

3,249,724


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Collateralized Loan Obligations (continued)
Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210%
3.700%(c)		01/25/31		2,500	$	2,482,235
Venture CLO Ltd. (Cayman Islands),
Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880%
3.316%(c)		07/15/27		1,000		989,103
Wellfleet CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.320%
3.789%(c)		04/20/29		2,000		2,001,512
Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150%
3.599%(c)		01/17/31		2,750		2,708,897
Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.100%
3.470%(c)		07/17/31		3,500		3,450,666
Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.200%
3.638%(c)		10/20/31		5,750		5,694,531
Zais CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1, 144A, 3 Month LIBOR + 1.370%
3.806%(c)		07/15/29		1,750		1,752,145

						100,364,516

Consumer Loans — 0.2%
OneMain Financial Issuance Trust,
Series 2017-01A, Class A2, 144A, 1 Month LIBOR + 0.800%
3.240%(c)		09/14/32		3,700		3,708,462
Oportun Funding X LLC,
Series 2018-C, Class A, 144A
4.100%		10/08/24		1,600		1,615,305
Oportun Funding XII LLC,
Series 2018-D, Class A, 144A
4.150%		12/09/24		1,100		1,111,507
SpringCastle America Funding LLC,
Series 2016-AA, Class A, 144A
3.050%		04/25/29		1,659		1,643,616
Springleaf Funding Trust,
Series 2015-AA, Class A, 144A
3.160%		11/15/24		1,406		1,403,810

						9,482,700

Credit Cards — 0.4%
Citibank Credit Card Issuance Trust,
Series 2017-A05, Class A5, 1 Month LIBOR + 0.620%
3.124%(c)		04/22/26		3,800		3,819,542
Series 2018-A07, Class A7
3.960%		10/13/30		6,400		6,716,153
Discover Card Execution Note Trust,
Series 2017-A04, Class A4
2.530%		10/15/26		4,000		3,907,027
Series 2017-A05, Class A5, 1 Month LIBOR + 0.600%
3.055%(c)		12/15/26		2,600		2,596,033

						17,038,755

Equipment — 0.3%
MMAF Equipment Finance LLC,
Series 2017-AA, Class A4, 144A
2.410%		08/16/24		3,500		3,438,157
Series 2017-B, Class A4, 144A
2.410%		11/15/24		1,700		1,668,596

SEE NOTES TO FINANCIAL STATEMENTS.

A81



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

ASSET-BACKED SECURITIES (continued)

Equipment (continued)

Series 2017-B, Class A5, 144A

2.720%

06/15/40

2,800

2,732,988

Series 2018-A, Class A4, 144A

3.390%

01/10/25

1,600

1,619,629

Series 2018-A, Class A5, 144A

3.610%

03/10/42

800

809,509

10,268,879

Home Equity Loans — 0.1%

CDC Mortgage Capital Trust,

Series 2002-HE03, Class M1, 1 Month LIBOR + 1.650%

4.156%(c)

03/25/33

86,700

Morgan Stanley ABS Capital I, Inc. Trust,

Series 2003-HE01, Class M1, 1 Month LIBOR + 1.200%

3.706%(c)

05/25/33

173

171,426

Series 2004-HE05, Class M1, 1 Month LIBOR + 0.945%

3.451%(c)

06/25/34

487

484,535

Morgan Stanley Dean Witter Capital I, Inc. Trust,

Series 2002-HE01, Class M1, 1 Month LIBOR + 0.900%

3.406%(c)

07/25/32

82,207

Series 2002-NC04, Class M1, 1 Month LIBOR + 1.275%

3.781%(c)

09/25/32

2,354

2,340,241

New Residential Mortgage Loan Trust,

Series 2018-01A, Class A1A, 144A

4.000%(cc)

12/25/57

1,965

1,975,144

5,140,253

Other — 0.1%

Sierra Timeshare Receivables Funding LLC,

Series 2018-02A, Class A, 144A

3.500%

06/20/35

2,191

2,212,505

Residential Mortgage-Backed Securities — 0.7%

Credit-Based Asset Servicing & Securitization LLC,

Series 2005-CB06, Class A3

3.791%

07/25/35

200

198,983

CSMC Trust,

Series 2016-RPL01, Class A1, 144A, 1 Month LIBOR + 3.150%

5.499%(c)

12/26/46

3,607

3,644,036

Series 2018-11R, 144A, 1 Month LIBOR + 1.400%

3.774%(c)

08/25/37

1,200

1,200,000

Series 2018-RPL08, Class A1, 144A

4.070%

07/25/58

1,423

1,420,776

Equity One Mortgage Pass-Through Trust,

Series 2004-03, Class M1

4.570%

07/25/34

205

204,882

Long Beach Mortgage Loan Trust,

Series 2004-02, Class M1, 1 Month LIBOR + 0.795%

3.301%(c)

06/25/34

235

230,765

Mill City Mortgage Loan Trust,

Series 2017-03, Class A1, 144A

2.750%(cc)

01/25/61

2,261

2,209,389

TFS (Spain),

Series 2018-03, Class A1

2.900%(cc)

03/16/23

EUR 2,940

3,361,847

Towd Point Mortgage Trust,

Series 2017-04, Class A1, 144A

2.750%(cc)

06/25/57

4,895

4,762,586


Interest Rate	Maturity Date		Principal Amount (000)#		Value

ASSET-BACKED SECURITIES (continued)
Residential Mortgage-Backed Securities (continued)
Series 2017-05, Class A1, 144A, 1 Month LIBOR + 0.600%
3.106%(c)		02/25/57		4,395	$	4,371,168
Series 2017-06, Class A1, 144A
2.750%(cc)		10/25/57		3,276		3,199,903
Series 2018-02, Class A1, 144A
3.250%(cc)		03/25/58		412		406,214
Series 2018-03, Class A1, 144A
3.750%(cc)		05/25/58		184		183,591
Series 2018-05, Class A1, 144A
3.250%(cc)		07/25/58		678		666,194
VOLT LX LLC,
Series 2017-NPL07, Class A1, 144A
3.250%		06/25/47		336		334,581

						26,394,915

Student Loans — 0.7%
Commonbond Student Loan Trust,
Series 2017-BGS, Class A1, 144A
2.680%		09/25/42		3,062		2,962,739
Series 2018-AGS, Class A1, 144A
3.210%		02/25/44		2,145		2,135,427
Series 2018-CGS, Class A1, 144A
3.870%		02/25/46		900		908,036
Series 2018-CGS, Class A2, 144A, 1 Month LIBOR + 0.800% (Cap N/A, Floor 0.800%)
3.183%(c)		02/25/46		1,100		1,095,075
Laurel Road Prime Student Loan Trust,
Series 2017-C, Class A2B, 144A
2.810%		11/25/42		2,000		1,947,237
Series 2018-B, Class A2FX, 144A
3.540%		05/26/43		3,000		3,001,192
Navient Private Education Refi Loan Trust,
Series 2018-A, Class A2, 144A
3.190%		02/18/42		4,600		4,532,576
Series 2018-CA, Class A2, 144A
3.520%		06/16/42		1,700		1,713,204
SoFi Professional Loan Program Trust,
Series 2018-B, Class A1FX, 144A
2.640%		08/25/47		2,286		2,274,823
Series 2018-B, Class A2FX, 144A
3.340%		08/25/47		4,500		4,508,857

						25,079,166

TOTAL ASSET-BACKED SECURITIES (cost $257,781,336)						256,730,023


COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.5%
Assurant Commercial Mortgage Trust,
Series 2016-01A, Class AS, 144A
3.172%		05/15/49		4,000		3,908,281
BANK,
Series 2017-BNK04, Class A3
3.362%		05/15/50		6,500		6,368,643
BBCMS Mortgage Trust,
Series 2018-C02, Class A4
4.047%		12/15/51		5,400		5,536,042

SEE NOTES TO FINANCIAL STATEMENTS.

A82



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Benchmark Mortgage Trust,
Series 2018-B03, Class A4
3.761%		04/10/51		5,000	$	5,036,786
Series 2018-B08, Class A4
3.963%		01/15/52		6,700		6,837,447
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class A3
2.815%		04/10/46		1,086		1,067,671
Series 2014-GC21, Class A4
3.575%		05/10/47		2,414		2,439,338
Series 2014-GC23, Class A3
3.356%		07/10/47		2,800		2,800,413
Series 2016-C01, Class A3
2.944%		05/10/49		5,000		4,836,638
Series 2016-GC37, Class A3
3.050%		04/10/49		6,500		6,319,482
Series 2017-P07, Class A3
3.442%		04/14/50		5,500		5,428,974
Commercial Mortgage Trust,
Series 2014-CR15, Class A2
2.928%		02/10/47		1,662		1,659,443
Series 2014-CR18, Class A4
3.550%		07/15/47		2,800		2,817,392
Series 2014-CR20, Class A3
3.326%		11/10/47		5,000		4,976,015
Series 2014-UBS03, Class A2
2.844%		06/10/47		2,300		2,295,552
Series 2015-CR27, Class A3
3.349%		10/10/48		6,100		6,047,146
CSAIL Commercial Mortgage Trust,
Series 2015-C04, Class A3
3.544%		11/15/48		3,000		2,996,795
Series 2017-C08, Class A3
3.127%		06/15/50		5,300		5,098,726
Fannie Mae-Aces,
Series 2015-M17, Class A2
2.939%(cc)		11/25/25		3,900		3,854,359
Series 2016-M07, Class AB2
2.385%		09/25/26		2,400		2,275,281
Series 2017-M01, Class A2
2.415%(cc)		10/25/26		2,200		2,070,653
Series 2017-M04, Class A2
2.597%(cc)		12/25/26		11,800		11,224,883
Series 2017-M08, Class A2
3.061%(cc)		05/25/27		8,250		8,077,716
Series 2018-M04, Class A2
3.043%(cc)		03/25/28		4,325		4,205,338
FHLMC Multifamily Structured Pass-Through Certificates,
Series K020, Class X1, IO
1.409%(cc)		05/25/22		23,371		922,708
Series K021, Class X1, IO
1.444%(cc)		06/25/22		6,605		277,037
Series K055, Class X1, IO
1.366%(cc)		03/25/26		13,848		1,135,691
Series K057, Class AM
2.624%		08/25/26		7,230		6,935,302


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K064, Class AM
3.327%(cc)		03/25/27		5,900	$	5,864,950
Series K068, Class AM
3.315%		08/25/27		5,600		5,580,793
Series K069, Class A2
3.187%(cc)		09/25/27		4,900		4,852,861
Series K069, Class AM
3.248%(cc)		09/25/27		1,050		1,040,003
Series K070, Class A2
3.303%(cc)		11/25/27		7,250		7,236,790
Series K070, Class AM
3.364%(cc)		12/25/27		1,525		1,522,382
Series K072, Class A2
3.444%		12/25/27		2,000		2,017,295
Series K074, Class A2
3.600%		01/25/28		11,800		12,042,245
Series K075, Class AM
3.650%(cc)		02/25/28		3,575		3,640,036
Series K076, Class A2
3.900%		06/25/51		8,600		8,972,078
Series K076, Class AM
3.900%		06/25/51		2,575		2,670,856
Series K077, Class A2
3.850%(cc)		05/25/28		4,800		4,989,367
Series K077, Class AM
3.850%(cc)		05/25/28		950		982,413
Series K080, Class AM
3.986%(cc)		07/25/28		7,050		7,367,649
Series K081, Class AM
3.900%(cc)		08/25/28		3,500		3,625,072
Series K086, Class A2
3.859%(cc)		11/25/28		5,800		6,026,829
Series K086, Class AM
3.919%(cc)		11/25/28		1,300		1,350,972
Series K157, Class A2
3.990%(cc)		05/25/33		4,200		4,343,288
Series K710, Class X1, IO
1.734%(cc)		05/25/19		16,304		39,604
Series K711, Class X1, IO
1.668%(cc)		07/25/19		16,810		63,038
Series W5FX, Class AFX
3.214%(cc)		04/25/28		2,260		2,259,496
GS Mortgage Securities Trust,
Series 2015-GC28, Class A4
3.136%		02/10/48		4,000		3,930,205
Series 2015-GC32, Class A3
3.498%		07/10/48		5,800		5,805,823
Series 2016-GS03, Class A3
2.592%		10/10/49		5,800		5,439,423
Series 2016-GS04, Class A3
3.178%		11/10/49		5,500		5,342,233
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class A4A1
3.408%		11/15/47		1,400		1,398,704
Series 2015-C27, Class A3A1
2.920%		02/15/48		6,000		5,831,537

SEE NOTES TO FINANCIAL STATEMENTS.

A83



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A3
3.139%		06/15/45		261	$	260,951
Series 2012-LC09, Class A4
2.611%		12/15/47		811		809,141
Series 2013-C10, Class A4
2.875%		12/15/47		315		314,082
Series 2013-LC11, Class A4
2.694%		04/15/46		643		627,723
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C08, Class A3
2.863%		12/15/48		1,351		1,331,152
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class A3
2.531%		08/15/49		10,400		9,693,937
Series 2018-H04, Class A3
4.043%		12/15/51		1,900		1,942,331
UBS Commercial Mortgage Trust,
Series 2017-C02, Class ASB
3.264%		08/15/50		3,500		3,492,352
Series 2017-C05, Class A4
3.212%		11/15/50		6,750		6,514,743
Series 2018-C09, Class A3
3.854%		03/15/51		2,500		2,527,191
Series 2018-C14, Class A3
4.180%		12/15/51		4,100		4,241,448
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C04, Class A4
2.792%		12/10/45		1,700		1,682,947
Series 2013-C05, Class A3
2.920%		03/10/46		3,367		3,335,756
Series 2013-C06, Class A3
2.971%		04/10/46		1,798		1,784,676
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS06, Class A3
2.642%		11/15/49		8,000		7,515,962
Series 2017-C38, Class A4
3.190%		07/15/50		4,600		4,433,924
Series 2018-C48, Class A4
4.037%		01/15/52		7,000		7,153,932

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $294,509,354)						289,347,942


CORPORATE BONDS — 10.9%
Aerospace & Defense — 0.1%
Embraer Netherlands Finance BV (Brazil),
Gtd. Notes
5.050%		06/15/25		575		581,474
Embraer Overseas Ltd. (Brazil),
Gtd. Notes, 144A
5.696%		09/16/23		240		249,902
General Dynamics Corp.,
Gtd. Notes
3.000%		05/11/21		2,480		2,482,006


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Aerospace & Defense (continued)
United Technologies Corp.,
Sr. Unsec’d. Notes
4.125%		11/16/28		1,270	$	1,258,191

						4,571,573

Agriculture — 0.1%
BAT Capital Corp. (United Kingdom),
Gtd. Notes
3.222%		08/15/24		3,740		3,444,892
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
8.125%		06/23/19		325		331,554

						3,776,446

Airlines — 0.2%
American Airlines 2015-1 Class A Pass-Through Trust,
Pass-Through Certificates
3.375%		11/01/28		2,700		2,565,492
Continental Airlines 2009-2 Class A Pass-Through Trust,
Pass-Through Certificates
7.250%		05/10/21		465		477,461
Continental Airlines 2010-1 Class A Pass-Through Trust,
Pass-Through Certificates
4.750%		07/12/22		461		467,282
Continental Airlines 2012-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.000%		04/29/26		528		521,059
Delta Air Lines 2007-1 Class A Pass-Through Trust,
Pass-Through Certificates
6.821%		02/10/24		231		249,292
Delta Air Lines 2010-2 Class A Pass-Through Trust,
Pass-Through Certificates
4.950%		11/23/20		86		86,995
Delta Air Lines 2011-1 Class A Pass-Through Trust,
Pass-Through Certificates
5.300%		10/15/20		549		552,696
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.875%		03/13/20		2,000		1,986,713

						6,906,990

Auto Manufacturers — 0.5%
BMW US Capital LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%
2.835%(c)		04/12/21		495		490,183
Gtd. Notes, 144A
3.100%		04/12/21		655		648,704
Daimler Finance North America LLC (Germany),
Gtd. Notes, 144A
3.100%		05/04/20		1,205		1,198,335
3.350%		05/04/21		2,010		2,003,904
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43		1,430		1,102,795
5.291%		12/08/46		1,230		1,009,806

SEE NOTES TO FINANCIAL STATEMENTS.

A84



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Auto Manufacturers (continued)
Ford Motor Credit Co. LLC,
Sr. Unsec’d. Notes
3.336%		03/18/21			680	$	659,813
4.134%		08/04/25			390		351,305
General Motors Co.,
Sr. Unsec’d. Notes
6.250%		10/02/43			1,395		1,307,593
6.600%		04/01/36			760		739,862
General Motors Financial Co., Inc.,
Gtd. Notes, 3 Month LIBOR + 0.850%
3.258%(c)		04/09/21			1,060		1,035,874
Gtd. Notes
3.550%		04/09/21			805		793,915
3.950%		04/13/24			2,800		2,659,188
Harley-Davidson Financial Services, Inc.,
Gtd. Notes, 144A, MTN
2.850%		01/15/21			4,705		4,622,094
Jaguar Land Rover Automotive PLC (United Kingdom),
Gtd. Notes, 144A
4.250%		11/15/19			715		699,806

							19,323,177

Banks — 3.6%
Banco Santander SA (Spain),
Sr. Unsec’d. Notes, 3 Month LIBOR + 1.120%
3.545%(c)		04/12/23			800		784,467
Sr. Unsec’d. Notes
3.848%		04/12/23			1,000		971,664
Bank of America Corp.,
Jr. Sub. Notes, Series DD
6.300%(ff)		—	(rr)		445		451,964
Sr. Unsec’d. Notes, GMTN
3.300%		01/11/23			2,875		2,831,470
Sr. Unsec’d. Notes, MTN
3.499%(ff)		05/17/22			2,510		2,510,377
3.824%(ff)		01/20/28			955		926,446
4.000%		04/01/24			975		980,404
4.125%		01/22/24			3,820		3,872,056
4.271%(ff)		07/23/29			510		507,606
Sub. Notes, MTN
4.000%		01/22/25			2,000		1,948,292
4.450%		03/03/26			8,455		8,358,573
Bank of America NA,
Sub. Notes
6.000%		10/15/36			410		473,111
Bank of Montreal (Canada),
Sr. Unsec’d. Notes, Series D, MTN, 3 Month LIBOR + 0.460%
2.896%(c)		04/13/21			600		596,406
Sr. Unsec’d. Notes, Series D, MTN
3.100%		04/13/21			780		779,608
Barclays PLC (United Kingdom),
Sr. Unsec’d. Notes
3.650%		03/16/25			850		783,478
3.684%		01/10/23			585		562,101
Sr. Unsec’d. Notes, MTN
4.972%(ff)		05/16/29			3,825		3,687,979


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
Citigroup, Inc.,
Jr. Sub. Notes, Series Q
5.950%(ff)		—	(rr)		2,205	$	2,127,825
Jr. Sub. Notes, Series R
6.125%(ff)		—	(rr)		1,375		1,342,344
Jr. Sub. Notes, Series T
6.250%(ff)		—	(rr)		625		598,563
Sr. Unsec’d. Notes
3.200%		10/21/26			1,870		1,726,362
3.700%		01/12/26			8,785		8,446,462
Sub. Notes
4.450%		09/29/27			5,965		5,749,167
4.750%		05/18/46			820		758,056
Credit Suisse Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A
4.282%		01/09/28			1,370		1,321,646
Deutsche Bank AG (Germany),
Sr. Unsec’d. Notes, GMTN
3.375%		05/12/21			1,640		1,582,676
Discover Bank,
Sr. Unsec’d. Notes
4.250%		03/13/26			970		946,900
Sub. Notes
7.000%		04/15/20			570		593,422
Goldman Sachs Group, Inc. (The),
Jr. Sub. Notes, Series M
5.375%(ff)		—	(rr)		2,215		2,140,288
Jr. Sub. Notes, Series O
5.300%(ff)		—	(rr)		740		662,300
Sr. Unsec’d. Notes
3.500%		01/23/25			4,100		3,886,436
3.750%		02/25/26			1,010		955,103
3.814%(ff)		04/23/29			540		504,158
3.850%		01/26/27			2,910		2,737,284
5.750%		01/24/22			5,420		5,674,926
Sub. Notes
6.750%		10/01/37			104		117,446
HSBC Holdings PLC (United Kingdom),
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600%
3.240%(c)		05/18/21			2,115		2,083,614
Sr. Unsec’d. Notes
4.875%		01/14/22			1,910		1,974,298
5.100%		04/05/21			1,025		1,059,963
JPMorgan Chase & Co.,
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470%
5.990%(c)		—	(rr)		1,435		1,415,269
Jr. Sub. Notes, Series X
6.100%(ff)		—	(rr)		1,275		1,267,031
Sr. Unsec’d. Notes
3.782%(ff)		02/01/28			695		674,650
3.964%(ff)		11/15/48			3,250		2,876,776
4.005%(ff)		04/23/29			2,170		2,127,386
4.250%		10/15/20			2,930		2,982,797
4.452%(ff)		12/05/29			3,350		3,407,435
Sub. Notes
3.875%		09/10/24			3,775		3,714,508

SEE NOTES TO FINANCIAL STATEMENTS.

A85



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Banks (continued)
JPMorgan Chase Bank NA,
Sr. Unsec’d. Notes
3.086%(ff)		04/26/21			5,000	$	4,979,789
Lloyds Bank PLC (United Kingdom),
Gtd. Notes
3.300%		05/07/21			2,200		2,193,328
Gtd. Notes, 144A, MTN
5.800%		01/13/20			1,870		1,914,173
Manufacturers & Traders Trust Co.,
Sr. Unsec’d. Notes
2.900%		02/06/25			3,080		2,959,320
Morgan Stanley,
Jr. Sub. Notes, Series H
5.450%(ff)		—	(rr)		840		817,001
Sr. Unsec’d. Notes
4.375%		01/22/47			1,045		989,029
4.457%(ff)		04/22/39			325		314,661
5.750%		01/25/21			1,400		1,459,711
Sr. Unsec’d. Notes, GMTN
3.750%		02/25/23			950		948,325
3.772%		01/24/29	(a)		8,775		8,395,699
3.875%		01/27/26			675		658,376
Sr. Unsec’d. Notes, MTN
3.591%(ff)		07/22/28			1,255		1,186,607
5.625%		09/23/19			1,415		1,435,940
Sub. Notes, GMTN
4.350%		09/08/26			3,825		3,717,151
National City Corp.,
Sub. Notes
6.875%		05/15/19			3,370		3,416,248
PNC Bank NA,
Sr. Unsec’d. Notes
1.950%		03/04/19			515		514,102
Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.390%
2.910%(c)		04/30/21			2,250		2,231,136
Sr. Unsec’d. Notes, GMTN
3.200%		04/30/21			490		489,950
Sumitomo Mitsui Banking Corp. (Japan),
Gtd. Notes
2.450%		01/10/19			1,210		1,209,832

							136,311,471

Beverages — 0.1%
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
8.000%		11/15/39			1,285		1,628,021
8.200%		01/15/39			250		321,443
Constellation Brands, Inc.,
Gtd. Notes
4.250%		05/01/23			1,400		1,415,387
Keurig Dr. Pepper, Inc.,
Gtd. Notes, 144A
3.551%		05/25/21			1,150		1,148,258

							4,513,109


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Building Materials — 0.1%
Owens Corning,
Sr. Unsec’d. Notes
4.200%		12/15/22		775	$	769,482
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
5.375%		11/15/24		1,400		1,314,250

						2,083,732

Chemicals — 0.3%
Celanese US Holdings LLC,
Gtd. Notes
5.875%		06/15/21		1,500		1,576,787
CF Industries, Inc.,
Gtd. Notes
5.375%		03/15/44		585		473,850
CNAC HK Finbridge Co. Ltd. (China),
Gtd. Notes
3.500%		07/19/22		3,680		3,587,525
Dow Chemical Co. (The),
Sr. Unsec’d. Notes
5.250%		11/15/41		45		44,902
9.400%		05/15/39		347		501,903
LyondellBasell Industries NV,
Sr. Unsec’d. Notes
4.625%		02/26/55		970		816,951
5.000%		04/15/19		600		600,653
Mexichem SAB de CV (Mexico),
Gtd. Notes, 144A
4.875%		09/19/22		2,000		2,012,500
Mosaic Co. (The),
Sr. Unsec’d. Notes
5.450%		11/15/33		345		354,609
5.625%		11/15/43		430		436,785
Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes
3.150%		10/01/22		780		752,926
Union Carbide Corp.,
Sr. Unsec’d. Notes
7.500%		06/01/25		460		531,874

						11,691,265

Commercial Services — 0.1%
ERAC USA Finance LLC,
Gtd. Notes, 144A
4.200%		11/01/46		975		869,376
6.700%		06/01/34		420		498,874
7.000%		10/15/37		380		472,443
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28		1,190		1,044,225
5.875%		09/15/26		485		457,113

						3,342,031

Computers — 0.1%
Apple, Inc.,
Sr. Unsec’d. Notes
3.200%		05/13/25		1,350		1,327,692

SEE NOTES TO FINANCIAL STATEMENTS.

A86



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Computers (continued)
3.450%		02/09/45			890	$	788,071
Dell International LLC/EMC Corp.,
Sr. Sec’d. Notes, 144A
3.480%		06/01/19			1,085		1,081,794
Hewlett Packard Enterprise Co.,
Sr. Unsec’d. Notes, 144A
2.100%		10/04/19			225		222,465

							3,420,022

Diversified Financial Services — 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.750%		05/15/19			775		774,942
Capital One Financial Corp.,
Sr. Unsec’d. Notes
2.500%		05/12/20	(a)		2,225		2,196,208
3.450%		04/30/21			4,415		4,412,925
CDP Financial, Inc. (Canada),
Gtd. Notes, 144A
3.150%		07/24/24			800		806,047
Discover Financial Services,
Sr. Unsec’d. Notes
3.850%		11/21/22			900		893,761
GE Capital International Funding Co. Unlimited Co.,
Gtd. Notes
2.342%		11/15/20			766		739,233
Jefferies Group LLC,
Sr. Unsec’d. Notes
6.500%		01/20/43			560		566,969
Lehman Brothers Holdings, Inc.,
Sr. Unsec’d. Notes, MTN
5.250%		02/06/12	(d)		1,715		32,585
6.875%		05/02/18	(d)		700		13,650
Private Export Funding Corp.,
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21			1,915		1,916,528
U.S. Gov’t. Gtd. Notes, Series GG
2.450%		07/15/24			475		468,648
U.S. Gov’t. Gtd. Notes, Series NN
3.250%		06/15/25			330		336,589
Synchrony Financial,
Sr. Unsec’d. Notes
2.700%		02/03/20			2,700		2,654,134

							15,812,219

Electric — 1.0%
Avista Corp.,
First Mortgage
4.350%		06/01/48			1,160		1,184,196
Baltimore Gas & Electric Co.,
Sr. Unsec’d. Notes
6.350%		10/01/36			550		663,962
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes
5.950%		05/15/37			305		356,725


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (continued)
CenterPoint Energy Houston Electric LLC,
General Ref. Mtge.
6.950%		03/15/33		590	$	771,573
Comision Federal de Electricidad (Mexico),
Sr. Unsec’d. Notes, 144A
4.875%		01/15/24		245		238,875
Commonwealth Edison Co.,
First Mortgage
3.750%		08/15/47		1,610		1,475,942
Consolidated Edison Co. of New York, Inc.,
Sr. Unsec’d. Notes
5.500%		12/01/39		220		248,823
Dominion Energy, Inc.,
Jr. Sub. Notes
4.104%		04/01/21		3,210		3,228,538
DTE Electric Co.,
General Ref. Mortgage, Series A
4.050%		05/15/48		1,490		1,476,438
Duke Energy Carolinas LLC,
First Mortgage
4.000%		09/30/42		570		547,626
6.050%		04/15/38		550		670,005
El Paso Electric Co.,
Sr. Unsec’d. Notes
6.000%		05/15/35		670		753,311
Eversource Energy,
Sr. Unsec’d. Notes
4.500%		11/15/19		615		620,656
Exelon Corp.,
Jr. Sub. Notes
3.497%		06/01/22		3,470		3,393,311
Exelon Generation Co. LLC,
Sr. Unsec’d. Notes
5.200%		10/01/19		800		810,304
6.250%		10/01/39		1,425		1,486,058
FirstEnergy Transmission LLC,
Sr. Unsec’d. Notes, 144A
5.450%		07/15/44		355		385,655
Florida Power & Light Co.,
First Mortgage
5.950%		10/01/33		295		358,507
Iberdrola International BV (Spain),
Gtd. Notes
6.750%		09/15/33		145		169,035
Indiana Michigan Power Co.,
Sr. Unsec’d. Notes
3.850%		05/15/28		2,910		2,926,399
Israel Electric Corp. Ltd. (Israel),
Sr. Sec’d. Notes, 144A
9.375%		01/28/20		1,420		1,503,780
Sr. Sec’d. Notes, 144A, GMTN
4.250%		08/14/28		470		446,462
Monongahela Power Co.,
First Mortgage, 144A
4.100%		04/15/24		2,170		2,237,915

SEE NOTES TO FINANCIAL STATEMENTS.

A87



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Electric (continued)
Niagara Mohawk Power Corp.,
Sr. Unsec’d. Notes, 144A
4.881%		08/15/19			610	$	615,403
Northern States Power Co.,
First Mortgage
3.600%		09/15/47			1,580		1,446,322
PPL Capital Funding, Inc.,
Gtd. Notes
4.000%		09/15/47			1,360		1,212,012
5.000%		03/15/44			695		708,436
PSEG Power LLC,
Gtd. Notes
3.000%		06/15/21	(a)		1,760		1,730,975
Public Service Electric & Gas Co.,
First Mortgage, MTN
3.000%		05/15/27			1,130		1,087,617
3.700%		05/01/28			1,280		1,300,270
Sr. Sec’d. Notes, MTN
5.800%		05/01/37			535		639,491
San Diego Gas & Electric Co.,
First Mortgage
4.150%		05/15/48			1,400		1,359,605
Southern California Edison Co.,
First Ref. Mtge.
4.000%		04/01/47			580		531,712
First Ref. Mtge., Series C
3.600%		02/01/45			860		739,342
State Grid Overseas Investment 2014 Ltd. (China),
Gtd. Notes, 144A
2.750%		05/07/19			665		664,317
Xcel Energy, Inc.,
Sr. Unsec’d. Notes
4.800%		09/15/41			480		488,495

							38,478,093

Electronics — 0.0%
FLIR Systems, Inc.,
Sr. Unsec’d. Notes
3.125%		06/15/21			900		887,336

Foods — 0.3%
Conagra Brands, Inc.,
Sr. Unsec’d. Notes
3.800%		10/22/21			3,440		3,441,213
General Mills, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540%
2.976%(c)		04/16/21			5,635		5,547,590
Kraft Heinz Foods Co.,
Gtd. Notes
4.375%		06/01/46			475		391,318
5.000%		07/15/35			815		764,859
Mondelez International, Inc.,
Sr. Unsec’d. Notes
3.000%		05/07/20			2,535		2,525,603

							12,670,583


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Forest Products & Paper — 0.1%
Georgia-Pacific LLC,
Gtd. Notes, 144A
5.400%		11/01/20		290	$	300,491
International Paper Co.,
Sr. Unsec’d. Notes
6.000%		11/15/41		1,595		1,680,207

						1,980,698

Gas — 0.1%
Dominion Energy Gas Holdings LLC,
Sr. Unsec’d. Notes
4.800%		11/01/43		65		65,377
NiSource, Inc.,
Sr. Unsec’d. Notes
3.490%		05/15/27		3,285		3,134,693

						3,200,070

Healthcare-Products — 0.0%
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
3.734%		12/15/24		474		457,882

Healthcare-Services — 0.2%
Aetna, Inc.,
Sr. Unsec’d. Notes
6.625%		06/15/36		515		604,003
Anthem, Inc.,
Sr. Unsec’d. Notes
4.625%		05/15/42		390		375,922
Centene Corp.,
Sr. Unsec’d. Notes
5.625%		02/15/21		1,125		1,127,813
Fresenius Medical Care U.S. Finance II, Inc. (Germany),
Gtd. Notes, 144A
4.125%		10/15/20		640		640,742
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25		1,155		1,126,125
Sr. Sec’d. Notes
5.250%		04/15/25		400		398,000
Kaiser Foundation Hospitals,
Gtd. Notes
4.150%		05/01/47		940		928,410
Laboratory Corp. of America Holdings,
Sr. Unsec’d. Notes
3.200%		02/01/22		190		188,562
New York & Presbyterian Hospital (The),
Unsec’d. Notes
4.024%		08/01/45		445		432,683

						5,822,260

Home Builders — 0.0%
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.250%		04/15/21		1,300		1,287,000

SEE NOTES TO FINANCIAL STATEMENTS.

A88



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Housewares — 0.1%
Newell Brands, Inc.,
Sr. Unsec’d. Notes
4.200%		04/01/26		1,695	$	1,656,556

Insurance — 0.2%
AXIS Specialty Finance LLC,
Gtd. Notes
5.875%		06/01/20		1,030		1,059,677
Hartford Financial Services Group, Inc. (The),
Sr. Unsec’d. Notes
5.125%		04/15/22		755		791,447
Liberty Mutual Group, Inc.,
Gtd. Notes, 144A
6.500%		05/01/42		365		432,859
7.000%		03/15/34		850		1,041,651
Lincoln National Corp.,
Sr. Unsec’d. Notes
6.300%		10/09/37		772		911,560
Markel Corp.,
Sr. Unsec’d. Notes
5.000%		03/30/43		200		199,481
New York Life Insurance Co.,
Sub. Notes, 144A
6.750%		11/15/39		660		865,727
Northwestern Mutual Life Insurance Co. (The),
Sub. Notes, 144A
6.063%		03/30/40		100		121,582
Ohio National Financial Services, Inc.,
Sr. Unsec’d. Notes, 144A
6.375%		04/30/20		680		702,158
Principal Financial Group, Inc.,
Gtd. Notes
4.625%		09/15/42		130		125,642
Teachers Insurance & Annuity Association of America,
Sub. Notes, 144A
4.270%		05/15/47		1,450		1,387,831
6.850%		12/16/39		124		161,226
Unum Group,
Sr. Unsec’d. Notes
5.625%		09/15/20		350		362,144
W.R. Berkley Corp.,
Sr. Unsec’d. Notes
6.150%		08/15/19		460		468,468

						8,631,453

Lodging — 0.0%
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.000%		03/01/19		580		579,259
3.250%		09/15/22		980		959,732

						1,538,991

Machinery-Diversified — 0.0%
Xylem, Inc.,
Sr. Unsec’d. Notes
4.875%		10/01/21		1,260		1,301,026


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media — 0.4%
21st Century Fox America, Inc.,
Gtd. Notes
6.150%		03/01/37		515	$	631,693
6.900%		08/15/39		90		118,278
AMC Networks, Inc.,
Gtd. Notes
5.000%		04/01/24		1,520		1,440,200
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
5.375%		04/01/38		1,950		1,815,495
6.384%		10/23/35		875		898,141
6.484%		10/23/45		1,386		1,424,723
Comcast Corp.,
Gtd. Notes
4.150%		10/15/28		1,990		2,020,711
4.250%		10/15/30		680		687,689
6.400%		05/15/38		530		621,759
Discovery Communications LLC,
Gtd. Notes
5.000%		09/20/37		941		872,847
Gtd. Notes, 144A
2.800%		06/15/20		1,740		1,721,553
Grupo Televisa SAB (Mexico),
Sr. Unsec’d. Notes
5.000%		05/13/45		200		174,652
NBCUniversal Media LLC,
Gtd. Notes
2.875%		01/15/23		330		323,968
Time Warner Cable LLC,
Sr. Sec’d. Notes
5.500%		09/01/41		360		328,062
Viacom, Inc.,
Sr. Unsec’d. Notes
5.250%		04/01/44		450		407,209
Videotron Ltd. (Canada),
Gtd. Notes
5.000%		07/15/22		1,040		1,034,800
Warner Media LLC,
Gtd. Notes
3.800%		02/15/27		385		361,247

						14,883,027

Mining — 0.0%
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes, 144A
6.250%(ff)		10/19/75		425		433,955
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
5.875%		04/23/45		530		541,477
6.750%		04/16/40		425		469,288

						1,444,720

Miscellaneous Manufacturing — 0.0%
Actuant Corp.,
Gtd. Notes
5.625%		06/15/22		1,205		1,189,937

SEE NOTES TO FINANCIAL STATEMENTS.

A89



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Miscellaneous Manufacturing (continued)
General Electric Co.,
Sr. Unsec’d. Notes, GMTN
6.000%		08/07/19		264	$	266,844

						1,456,781

Multi-National — 0.1%
Corp. Andina de Fomento (Supranational Bank),
Sr. Unsec’d. Notes
2.000%		05/10/19		645		642,668
2.125%		09/27/21		2,270		2,203,421
2.750%		01/06/23		315		307,491
North American Development Bank (Supranational Bank),
Sr. Unsec’d. Notes
2.400%		10/26/22		1,095		1,070,568
4.375%		02/11/20		1,000		1,015,811

						5,239,959

Oil & Gas — 0.5%
Anadarko Petroleum Corp.,
Sr. Unsec’d. Notes
4.677%(s)		10/10/36		2,000		834,098
4.850%		03/15/21		936		958,352
6.450%		09/15/36		1,155		1,247,395
Cenovus Energy, Inc. (Canada),
Sr. Unsec’d. Notes
5.400%		06/15/47		1,200		1,033,268
Concho Resources, Inc.,
Gtd. Notes
4.875%		10/01/47		210		199,254
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%		07/15/41		300		284,461
Encana Corp. (Canada),
Sr. Unsec’d. Notes
6.500%		08/15/34		370		391,481
6.500%		02/01/38		275		298,153
Gazprom OAO Via Gaz Capital SA (Russia),
Sr. Unsec’d. Notes, 144A
4.950%		07/19/22		350		352,797
6.510%		03/07/22		580		605,665
Helmerich & Payne, Inc.,
Gtd. Notes, 144A
4.650%		03/15/25		1,995		2,034,211
KazMunayGas National Co. JSC (Kazakhstan),
Sr. Unsec’d. Notes, 144A
3.875%		04/19/22		550		540,727
Noble Energy, Inc.,
Sr. Unsec’d. Notes
5.050%		11/15/44		835		719,241
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25		740		706,700
5.750%		02/01/29		840		777,000
6.250%		03/17/24		710		720,295
Petroleos Mexicanos (Mexico),
Gtd. Notes
5.375%		03/13/22		450		440,775


Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Oil & Gas (continued)
5.500%		01/21/21		2,110	$	2,101,497
6.500%		06/02/41		1,255		1,039,140
8.625%		12/01/23		350		372,296
Gtd. Notes, MTN
6.750%		09/21/47		1,540		1,273,411
6.875%		08/04/26		1,000		972,000
Sinopec Group Overseas Development 2015 Ltd. (China),
Gtd. Notes, 144A
2.500%		04/28/20		1,250		1,234,640

						19,136,857

Oil & Gas Services — 0.1%
Cameron International Corp.,
Gtd. Notes
4.500%		06/01/21		2,200		2,226,419
Schlumberger Holdings Corp.,
Sr. Unsec’d. Notes, 144A
4.000%		12/21/25		2,845		2,808,130

						5,034,549

Packaging & Containers — 0.0%
Ball Corp.,
Gtd. Notes
4.375%		12/15/20		630		632,362
WestRock RKT Co.,
Gtd. Notes
4.900%		03/01/22		800		823,342

						1,455,704

Pharmaceuticals — 1.0%
AbbVie, Inc.,
Sr. Unsec’d. Notes
3.600%		05/14/25		1,175		1,127,042
4.500%		05/14/35		1,910		1,766,954
Allergan Funding SCS,
Gtd. Notes
4.550%		03/15/35		2,190		2,077,429
Bayer US Finance II LLC (Germany),
Gtd. Notes, 144A, 3 Month LIBOR + 0.630%
3.452%(c)		06/25/21		1,115		1,100,148
Gtd. Notes, 144A
3.500%		06/25/21		500		496,461
Cigna Corp.,
Gtd. Notes, 144A
4.375%		10/15/28		12,785		12,856,352
CVS Health Corp.,
Sr. Unsec’d. Notes
4.300%		03/25/28		11,250		10,998,102
4.780%		03/25/38		340		325,807
5.050%		03/25/48		785		763,499
5.125%		07/20/45		610		593,780
5.300%		12/05/43		225		227,329
Mylan NV,
Gtd. Notes
5.250%		06/15/46		1,415		1,192,346

SEE NOTES TO FINANCIAL STATEMENTS.

A90



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pharmaceuticals (continued)
Shire Acquisitions Investments Ireland DAC,
Gtd. Notes
2.400%		09/23/21		3,555	$	3,437,627
Wyeth LLC,
Gtd. Notes
6.450%		02/01/24		60		68,703

						37,031,579

Pipelines — 0.4%
DCP Midstream Operating LP,
Gtd. Notes, 144A
5.350%		03/15/20		717		719,689
Energy Transfer Operating LP,
Gtd. Notes
4.650%		06/01/21		675		686,739
4.950%		06/15/28		1,115		1,090,931
Enterprise Products Operating LLC,
Gtd. Notes
3.750%		02/15/25		1,345		1,330,820
MPLX LP,
Sr. Unsec’d. Notes
4.000%		02/15/25		1,430		1,388,819
4.800%		02/15/29		1,750		1,745,689
4.875%		06/01/25		3,250		3,279,778
5.200%		03/01/47		40		36,820
5.500%		02/15/49		395		384,222
ONEOK Partners LP,
Gtd. Notes
6.650%		10/01/36		145		162,223
ONEOK, Inc.,
Gtd. Notes
4.950%		07/13/47		935		863,752
Western Gas Partners LP,
Sr. Unsec’d. Notes
5.500%		08/15/48		120		106,830
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
4.850%		03/01/48		315		285,832
4.900%		01/15/45		1,000		906,668
5.100%		09/15/45		500		461,958

						13,450,770

Real Estate Investment Trusts (REITs) — 0.0%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26		1,050		1,038,460
Simon Property Group LP,
Sr. Unsec’d. Notes
3.375%		03/15/22		230		230,324

						1,268,784

Retail — 0.2%
Dollar Tree, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700%
3.149%(c)		04/17/20		1,100		1,092,984
Sr. Unsec’d. Notes
4.000%		05/15/25		4,705		4,523,170


Interest Rate	Maturity Date			Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Retail (continued)
L Brands, Inc.,
Gtd. Notes
5.625%		02/15/22			1,450	$	1,444,563
Macy’s Retail Holdings, Inc.,
Gtd. Notes
3.875%		01/15/22	(a)		360		356,252
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,375		1,265,000

							8,681,969

Savings & Loans — 0.0%
People’s United Financial, Inc.,
Sr. Unsec’d. Notes
3.650%		12/06/22			1,455		1,456,410

Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.,
Gtd. Notes
3.875%		01/15/27			2,125		1,906,347

Software — 0.1%
Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes
3.625%		10/15/20			1,233		1,238,605
Microsoft Corp.,
Sr. Unsec’d. Notes
3.750%		02/12/45			1,210		1,170,596
4.450%		11/03/45			215		228,038
Oracle Corp.,
Sr. Unsec’d. Notes
4.300%		07/08/34			920		923,488

							3,560,727

Telecommunications — 0.3%
AT&T Corp.,
Gtd. Notes
8.750%		11/15/31			4		5,301
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%		05/15/25			3,460		3,258,119
4.500%		03/09/48			4		3,423
4.550%		03/09/49			64		55,091
5.250%		03/01/37			65		63,845
5.350%		09/01/40			82		79,661
British Telecommunications PLC (United Kingdom),
Sr. Unsec’d. Notes
9.625%		12/15/30			400		540,989
Sprint Communications, Inc.,
Gtd. Notes, 144A
7.000%		03/01/20			750		768,750
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC,
Sr. Sec’d. Notes, 144A
3.360%		03/20/23			1,375		1,357,812

SEE NOTES TO FINANCIAL STATEMENTS.

A91



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Telecommunications (continued)
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.125%		08/15/46		2,650	$	2,338,034
4.500%		08/10/33		1,205		1,189,438

						9,660,463

Transportation — 0.1%
Burlington Northern Santa Fe LLC,
Sr. Unsec’d. Notes
6.700%		08/01/28		670		826,012
CSX Corp.,
Sr. Unsec’d. Notes
6.150%		05/01/37		715		845,584
Norfolk Southern Corp.,
Sr. Unsec’d. Notes
5.590%		05/17/25		100		110,758

						1,782,354

TOTAL CORPORATE BONDS (cost $425,585,436)						417,114,983


MUNICIPAL BONDS — 0.5%
Alabama — 0.0%
Alabama Economic Settlement Authority,
Rev., Taxable BP Settlement, Series B
4.263%		09/15/32		240		245,222

California — 0.2%
Bay Area Toll Authority,
Taxable, Revenue Bonds, BABs
6.263%		04/01/49		1,325		1,803,298
California Educational Facilities Authority, Stanford Univ.,
Revenue Bonds, Series U-07, BABs
5.000%		06/01/46		750		972,383
State of California,
GO BABs
7.550%		04/01/39		245		350,975
7.625%		03/01/40		215		306,115
GO, BABs
7.300%		10/01/39		1,270		1,743,354
7.500%		04/01/34		475		647,297

						5,823,422

Colorado — 0.0%
Regional Transportation District,
Revenue Bonds, BABs, Series 2010-B
5.844%		11/01/50		680		898,491

Illinois — 0.1%
Chicago O’Hare International Airport,
Revenue Bonds, BABs, Series B
6.395%		01/01/40		1,030		1,314,548
State of Illinois,
GO, Series D
5.000%		11/01/22		3,190		3,364,557

						4,679,105


Interest Rate	Maturity Date		Principal Amount (000)#		Value

MUNICIPAL BONDS (continued)
New Jersey — 0.1%
New Jersey Turnpike Authority,
Tax. Issuer Subs., Revenue Bonds, BABs, Series F
7.414%		01/01/40		1,070	$	1,507,630

New York — 0.0%
New York City Transitional Finance Authority Future Tax Secured
Revenue,
Tax. Future, Revenue Bonds, BABs
5.767%		08/01/36		1,130		1,349,514

Ohio — 0.0%
Ohio State University (The),
Revenue Bonds, Taxable, BABs, Series C
4.910%		06/01/40		455		526,499
Ohio State Water Development Auth. Wtr. Poll. Ctl. Rev.,
Revenue Bonds, BABs
4.879%		12/01/34		300		329,568

						856,067

Oregon — 0.0%
State of Oregon Department of Transportation,
Revenue Bonds, Taxable, BABs, Series A
5.834%		11/15/34		445		553,179

Pennsylvania — 0.0%
Pennsylvania Turnpike Commission,
Revenue Bonds, BABs, Series B
5.511%		12/01/45		550		675,224

Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		1,490		1,940,203

Virginia — 0.0%
University of Virginia,
Revenue Bonds, Taxable, Series C
4.179%		09/01/2117		495		481,858

TOTAL MUNICIPAL BONDS (cost $16,320,074)						19,009,915


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.3%
Alternative Loan Trust,
Series 2004-18CB, Class 3A1
5.250%		09/25/19		37		36,729
Banc of America Funding Trust,
Series 2015-R04, Class 4A1, 144A
3.500%(cc)		01/27/30		773		764,927
Banc of America Mortgage Trust,
Series 2005-A, Class 2A1
3.681%(cc)		02/25/35		383		379,802
Series 2005-B, Class 2A1
3.910%(cc)		03/25/35		124		120,339
Bellemeade Re Ltd. (Bermuda),
Series 2017-01, Class M1, 144A, 1 Month LIBOR + 1.700%
4.206%(c)		10/25/27		642		644,610
Series 2018-02A, Class M1A, 144A, 1 Month LIBOR + 0.950%
3.456%(c)		08/25/28		900		897,722

SEE NOTES TO FINANCIAL STATEMENTS.

A92



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)

Series 2018-02A, Class M1B, 144A, 1 Month LIBOR + 1.350%

3.856%(c)

08/25/28

300

298,581

Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600%

4.106%(c)

08/25/28

300

295,270

Central Park Funding Trust,

Series 2018-01, Class A, 144A, 1 Month LIBOR + 1.500% (Cap N/A,

Floor 1.500%)

3.780%(c)

11/01/23^

4,700

4,700,000

Chase Mortgage Finance Trust,

Series 2007-A01, Class 1A5

4.369%(cc)

02/25/37

291

293,390

CIM Trust,

Series 2017-02, Class A1, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

12/25/57

3,142

3,158,244

Series 2017-03, Class A1, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

01/25/57

3,476

3,529,891

Series 2017-06, Class A1, 144A

3.015%(cc)

06/25/57

1,682

1,623,584

Series 2017-08, Class A1, 144A

3.000%(cc)

12/25/65

3,300

3,245,478

CSMC Trust,

Series 2018-RPL09, Class A, 144A

3.850%(cc)

09/25/57

2,631

2,662,633

Fannie Mae Connecticut Avenue Securities,

Series 2016-C02, Class 1M1, 1 Month LIBOR + 2.150%

4.656%(c)

09/25/28

78,277

Series 2016-C04, Class 1M1, 1 Month LIBOR + 1.450%

3.956%(c)

01/25/29

588

590,106

Freddie Mac Structured Agency Credit Risk Debt Notes,

Series 2016-DNA04, Class M2, 1 Month LIBOR + 1.300%

3.806%(c)

03/25/29

1,300

1,301,435

Series 2016-HQA02, Class M2, 1 Month LIBOR + 2.250%

4.756%(c)

11/25/28

787

800,069

Series 2016-HQA04, Class M2, 1 Month LIBOR + 1.300%

3.806%(c)

04/25/29

2,050

2,065,372

Series 2017-DNA01, Class M1, 1 Month LIBOR + 1.200%

3.706%(c)

07/25/29

2,321

2,331,096

Series 2017-DNA03, Class M1, 1 Month LIBOR + 0.750%

3.256%(c)

03/25/30

4,244

4,231,087

Gosforth Funding PLC (United Kingdom),

Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.450%

3.139%(c)

08/25/60

2,333

2,325,021

Holmes Master Issuer PLC (United Kingdom),

Series 2018-01A, Class A2, 144A, 3 Month LIBOR + 0.360%

2.796%(c)

10/15/54

2,200

2,191,268

JPMorgan Mortgage Trust,

Series 2007-A01, Class 4A1

4.570%(cc)

07/25/35

147

148,968

Lanark Master Issuer PLC (United Kingdom),

Series 2018-01A, Class 1A, 144A, 3 Month LIBOR + 0.420%

3.097%(c)

12/22/69

1,640

1,632,638

Lehman XS Trust,

Series 2006-GP04, Class 1A1, 1 Month LIBOR + 0.205%

2.711%(c)

08/25/46

1,382

1,355,240

LSTAR Securities Investment Ltd. (Cayman Islands),

Series 2017-05, Class A, 144A, 1 Month LIBOR + 2.000%

4.349%(c)

05/01/22

1,464

1,459,163


Interest Rate	Maturity Date		Principal Amount (000)#			Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2017-08, Class A, 144A, 1 Month LIBOR + 1.650%
4.170%(c)		11/01/22			983	$	984,122
LSTAR Securities Investment Trust,
Series 2017-06, Class A, 144A, 1 Month LIBOR + 1.750%
4.099%(c)		09/01/22			1,128		1,130,172
MASTR Alternative Loan Trust,
Series 2004-04, Class 4A1
5.000%		04/25/19			1		744
MetLife Securitization Trust,
Series 2018-01A, Class A, 144A
3.750%(cc)		03/25/57			961		969,881
New Residential Mortgage Loan Trust,
Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		01/25/48			1,003		997,580
Oaktown Re II Ltd. (Bermuda),
Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550%
4.056%(c)		07/25/28			400		400,485
STACR Trust,
Series 2018-DNA03, Class M1, 144A, 1 Month LIBOR + 0.750%
3.256%(c)		09/25/48			1,380		1,377,340
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
4.232%(cc)		02/25/34			151		151,355
Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-01, Class 3A
5.000%		03/25/20			17		16,618

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $49,138,465)							49,189,237


SOVEREIGN BONDS — 0.9%
Abu Dhabi Government International Bond (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.125%		10/11/27			3,350		3,199,384
Colombia Government International Bond (Colombia),
Sr. Unsec’d. Notes
4.000%		02/26/24			175		173,250
4.375%		07/12/21			500		507,500
7.375%		09/18/37			625		755,937
Export-Import Bank of India (India),
Sr. Unsec’d. Notes, 144A
3.875%		02/01/28			1,040		977,418
Export-Import Bank of Korea (South Korea),
Sr. Unsec’d. Notes
5.125%		06/29/20			400		411,675
Finnvera OYJ (Finland),
Gov’t. Gtd. Notes, 144A, MTN
2.375%		06/04/25			400		384,668
Hungary Government International Bond (Hungary),
Sr. Unsec’d. Notes
6.375%		03/29/21			2,280		2,406,175
Indonesia Government International Bond (Indonesia),
Sr. Unsec’d. Notes
3.375%		07/30/25		EUR	1,500		1,828,447
4.450%		02/11/24			505		507,620
Sr. Unsec’d. Notes, 144A, MTN
5.875%		01/15/24			950		1,012,797

SEE NOTES TO FINANCIAL STATEMENTS.

A93



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date	Principal Amount (000)#			Value

SOVEREIGN BONDS (continued)
Sr. Unsec’d. Notes, EMTN
2.150%	07/18/24		EUR	2,100	$	2,432,123
4.750%	01/08/26			540		547,071
Japan Finance Organization for Municipalities (Japan),
Sr. Unsec’d. Notes, 144A, MTN
2.125%	04/13/21			800		784,786
2.125%	10/25/23			1,400		1,341,223
2.625%	04/20/22			2,000		1,975,008
Sr. Unsec’d. Notes, EMTN
2.125%	04/13/21			200		196,196
Mexico Government International Bond (Mexico),
Sr. Unsec’d. Notes
4.000%	10/02/23			566		563,362
Sr. Unsec’d. Notes, MTN
4.750%	03/08/44			606		550,854
Panama Government International Bond (Panama),
Sr. Unsec’d. Notes
3.750%	03/16/25			600		594,306
4.000%	09/22/24			515		519,383
4.500%	04/16/50			475		454,812
Qatar Government International Bond (Qatar),
Sr. Unsec’d. Notes, 144A
3.875%	04/23/23			1,105		1,117,520
5.103%	04/23/48			1,220		1,281,305
Saudi Government International Bond (Saudi Arabia),
Sr. Unsec’d. Notes, 144A, MTN
2.375%	10/26/21			1,325		1,275,384
2.875%	03/04/23			1,785		1,715,824
4.000%	04/17/25			1,035		1,025,865
Tokyo Metropolitan Government (Japan),
Sr. Unsec’d. Notes, 144A
2.500%	06/08/22			1,800		1,766,185
3.250%	06/01/23			800		805,726
Turkey Government International Bond (Turkey),
Sr. Unsec’d. Notes
7.000%	06/05/20			1,710		1,742,911
Uruguay Government International Bond (Uruguay),
Sr. Unsec’d. Notes
4.975%	04/20/55			770		732,278
5.100%	06/18/50			680		667,420

TOTAL SOVEREIGN BONDS (cost $34,957,785)						34,254,413


U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.0%
Federal Home Loan Bank
5.500%	07/15/36(k)			1,080		1,388,637
Federal Home Loan Mortgage Corp.
2.000%	01/01/32			1,099		1,051,203
2.500%	03/01/30			590		579,059
3.000%	10/01/28			461		462,375
3.000%	06/01/29			1,092		1,092,999
3.000%	01/01/37			615		607,806
3.000%	01/01/43			1,164		1,143,759
3.000%	07/01/43			2,288		2,247,552
3.000%	01/01/47			8,445		8,233,087
3.500%	TBA			3,000		2,998,273
3.500%	TBA			16,500		16,480,192
3.500%	03/01/42			704		709,088


Interest Rate	Maturity Date	Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
3.500%	06/01/42		418		$	421,238
3.500%	01/01/47		1,406			1,408,424
4.000%	TBA		10,500			10,704,053
4.000%	06/01/26		690			708,063
4.000%	09/01/26		342			351,330
4.000%	10/01/39		908			933,561
4.000%	12/01/40		458			471,575
4.000%	10/01/41		475			488,611
4.000%	01/01/42		177			182,574
4.000%	10/01/45		760			775,974
4.000%	07/01/48		13,533			13,799,940
4.000%	10/01/48		11,549			11,775,656
4.500%	02/01/19		—	(r)		7
4.500%	07/01/19		13			13,025
4.500%	07/01/20		24			24,619
4.500%	09/01/39		336			351,917
4.500%	10/01/39		1,942			2,032,830
4.500%	12/01/39		582			609,832
4.500%	07/01/41		287			299,626
4.500%	07/01/41		1,894			1,983,506
4.500%	08/01/41		138			142,810
4.500%	08/01/41		243			252,656
4.500%	08/01/41		584			611,263
4.500%	10/01/41		152			157,374
4.500%	10/01/46		398			412,328
4.500%	12/01/47		2,338			2,422,069
5.000%	05/01/34		26			27,800
5.000%	05/01/34		267			283,361
5.000%	08/01/35		26			27,897
5.000%	09/01/35		35			36,827
5.000%	10/01/36		41			43,029
5.000%	05/01/37		27			28,495
5.000%	07/01/37		533			565,102
5.000%	09/01/38		64			67,826
5.000%	09/01/38		67			70,565
5.000%	09/01/38		77			81,892
5.000%	02/01/39		25			26,663
5.000%	06/01/39		69			73,300
5.500%	02/01/34		35			36,931
5.500%	04/01/34		322			340,884
5.500%	06/01/34		142			153,535
5.500%	06/01/34		168			181,269
5.500%	05/01/37		57			61,050
5.500%	02/01/38		465			498,474
5.500%	05/01/38		85			90,781
5.500%	07/01/38		413			441,250
6.000%	03/01/32		233			252,307
6.000%	12/01/33		53			56,937
6.000%	07/01/36		4			4,539
6.000%	12/01/36		10			10,819
6.000%	05/01/37		15			16,539
6.000%	12/01/37		36			39,596
6.000%	01/01/38		4			4,330
6.000%	01/01/38		17			18,891
6.000%	01/01/38		379			413,298
6.000%	10/01/38		83			90,949
6.000%	08/01/39		51			55,585
6.750%	03/15/31		500			679,810

SEE NOTES TO FINANCIAL STATEMENTS.

A94



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date	Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%	01/01/31		27	$	30,405
7.000%	06/01/31		31		33,509
7.000%	09/01/31		4		4,603
7.000%	10/01/31		51		57,960
7.000%	10/01/32		31		32,636
Federal National Mortgage Assoc.
2.000%	08/01/31		1,541		1,475,199
2.500%	01/01/28		1,308		1,290,372
2.500%	10/01/43		1,089		1,032,534
2.500%	12/01/46		1,967		1,857,504
3.000%	02/01/27		2,018		2,023,961
3.000%	08/01/30		1,220		1,218,973
3.000%	11/01/36		3,204		3,169,117
3.000%	12/01/42		1,392		1,368,635
3.000%	12/01/42		2,157		2,121,978
3.000%	11/01/46		398		388,046
3.000%	03/01/47		1,473		1,436,728
3.500%	TBA		3,500		3,542,041
3.500%	TBA		7,750		7,742,782
3.500%	11/01/32		502		508,889
3.500%	02/01/33		1,705		1,726,161
3.500%	06/01/39		741		744,929
3.500%	01/01/42		7,085		7,140,782
3.500%	05/01/42		3,577		3,605,351
3.500%	07/01/42		934		941,343
3.500%	08/01/42		394		397,020
3.500%	08/01/42		1,194		1,202,863
3.500%	09/01/42		1,053		1,061,159
3.500%	09/01/42		1,869		1,883,872
3.500%	11/01/42		685		690,390
3.500%	03/01/43		3,539		3,566,874
3.500%	04/01/43		658		663,290
3.500%	04/01/43		1,676		1,689,485
3.500%	07/01/43		309		310,961
3.500%	06/01/45		7,938		7,966,778
4.000%	TBA		21,500		21,916,562
4.000%	12/01/36		1,267		1,306,210
4.000%	10/01/41		3,758		3,864,580
4.000%	09/01/44		3,305		3,376,173
4.000%	06/01/47		1,951		1,989,312
4.000%	11/01/47		1,264		1,295,142
4.500%	07/01/33		57		59,576
4.500%	08/01/33		15		15,191
4.500%	09/01/33		50		52,103
4.500%	10/01/33		151		156,970
4.500%	03/01/34		40		41,979
4.500%	01/01/35		3		3,227
4.500%	07/01/39		998		1,045,137
4.500%	08/01/39		762		798,237
4.500%	09/01/39		544		569,878
4.500%	12/01/39		6		5,892
4.500%	03/01/41		1,833		1,919,665
4.500%	07/01/42		158		165,334
5.000%	TBA		5,750		6,022,676
5.000%	03/01/34		271		288,143
5.000%	04/01/35		652		692,005
5.000%	06/01/35		159		168,350
5.000%	07/01/35		117		122,656


Interest Rate	Maturity Date	Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
5.000%	07/01/35		158	$	167,354
5.000%	09/01/35		88		93,203
5.000%	11/01/35		113		120,340
5.000%	02/01/36		90		95,257
5.500%	02/01/33		147		156,606
5.500%	08/01/33		210		226,498
5.500%	10/01/33		58		62,944
5.500%	12/01/33		62		67,127
5.500%	12/01/34		159		171,096
5.500%	10/01/35		653		697,988
5.500%	03/01/36		52		55,250
5.500%	04/01/36		116		124,359
5.500%	01/01/37		79		84,852
5.500%	04/01/37		42		45,385
5.500%	05/01/37		257		276,948
5.500%	08/01/37		309		333,213
6.000%	05/01/21		51		52,374
6.000%	10/01/33		272		292,574
6.000%	11/01/33		31		33,675
6.000%	11/01/33		35		37,681
6.000%	01/01/34		274		299,232
6.000%	02/01/34		122		132,901
6.000%	03/01/34		2		2,553
6.000%	03/01/34		14		15,238
6.000%	03/01/34		44		47,709
6.000%	11/01/34		40		42,435
6.000%	01/01/35		67		72,605
6.000%	01/01/35		180		195,062
6.000%	02/01/35		3		3,533
6.000%	02/01/35		112		119,794
6.000%	02/01/35		240		264,894
6.000%	04/01/35		20		22,092
6.000%	12/01/35		160		171,260
6.000%	05/01/36		42		46,007
6.000%	06/01/36		35		37,874
6.000%	02/01/37		83		90,700
6.000%	06/01/37		40		43,739
6.000%	05/01/38		219		237,209
6.250%	05/15/29(k)		1,935		2,481,390
6.500%	09/01/32		1		1,217
6.500%	09/01/32		9		10,118
6.500%	09/01/32		14		14,977
6.500%	09/01/32		45		48,810
6.500%	09/01/32		47		51,525
6.500%	10/01/32		49		53,842
6.500%	04/01/33		74		83,162
6.500%	11/01/33		22		24,343
6.500%	01/01/34		45		48,522
6.500%	09/01/34		60		64,678
6.500%	10/01/34		104		113,310
6.500%	09/01/36		139		156,669
6.500%	10/01/36		42		47,151
6.500%	11/01/36		39		42,144
6.500%	01/01/37		41		43,599
6.500%	01/01/37		112		121,505
6.500%	09/01/37		19		21,705
6.625%	11/15/30(k)		550		737,235
7.000%	02/01/32		33		35,952

SEE NOTES TO FINANCIAL STATEMENTS.

A95



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		05/01/32			17	$	18,992
7.000%		06/01/32			14		15,889
7.000%		07/01/32			59		65,291
7.125%		01/15/30	(k)		3,600		4,954,777
Government National Mortgage Assoc.
2.500%		12/20/46			1,076		1,030,960
3.000%		03/15/45			1,365		1,345,817
3.000%		11/20/45			1,527		1,508,090
3.000%		03/20/46			10,199		10,068,200
3.000%		07/20/46			3,987		3,932,810
3.000%		12/20/46			1,467		1,445,748
3.000%		02/20/47			2,980		2,937,045
3.500%		TBA			15,250		15,344,121
3.500%		12/20/42			2,208		2,233,128
3.500%		05/20/43			452		457,198
3.500%		03/20/45			2,034		2,050,355
3.500%		04/20/45			2,867		2,890,682
3.500%		07/20/46			10,356		10,429,399
4.000%		TBA			6,500		6,650,059
4.000%		06/15/40			201		206,960
4.000%		05/20/41			357		368,687
4.000%		12/20/42			733		756,953
4.000%		08/20/44			357		367,024
4.000%		11/20/45			2,049		2,113,495
4.000%		12/20/45			2,160		2,228,046
4.000%		11/20/46			529		545,359
4.500%		TBA			9,000		9,312,715
4.500%		04/15/40			870		908,353
4.500%		01/20/41			1,549		1,625,109
4.500%		02/20/41			987		1,035,864
4.500%		06/20/44			1,076		1,130,296
4.500%		09/20/46			675		707,713
4.500%		11/20/46			1,340		1,409,520
4.500%		03/20/47			1,406		1,468,560
5.000%		10/20/37			137		144,025
5.000%		04/20/45			958		1,012,142
5.500%		11/15/32			84		90,475
5.500%		02/15/33			67		72,850
5.500%		08/15/33			123		131,162
5.500%		08/15/33			167		177,724
5.500%		09/15/33			77		81,217
5.500%		09/15/33			86		92,729
5.500%		10/15/33			86		93,299
5.500%		12/15/33			17		18,048
5.500%		04/15/34			380		412,702
5.500%		07/15/35			74		79,851
5.500%		02/15/36			120		129,255
6.000%		02/15/33			3		3,172
6.000%		04/15/33			19		20,496
6.000%		09/15/33			22		23,409
6.000%		12/15/33			41		44,401
6.000%		12/15/33			128		137,180
6.000%		01/15/34			22		23,868
6.000%		01/15/34			36		39,799
6.000%		06/20/34			83		89,885
6.000%		07/15/34			179		194,093
6.000%		10/15/34			201		217,714
6.500%		10/15/23			1		1,097


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.500%		12/15/23			4		$	4,459
6.500%		01/15/24			2			1,766
6.500%		01/15/24			2			2,023
6.500%		01/15/24			5			5,044
6.500%		01/15/24			16			17,326
6.500%		01/15/24			21			22,643
6.500%		01/15/24			59			63,933
6.500%		02/15/24			—	(r)		375
6.500%		02/15/24			1			689
6.500%		02/15/24			3			3,556
6.500%		02/15/24			4			3,951
6.500%		02/15/24			4			4,495
6.500%		02/15/24			9			9,510
6.500%		02/15/24			12			12,704
6.500%		02/15/24			13			13,764
6.500%		02/15/24			19			19,979
6.500%		02/15/24			31			33,189
6.500%		03/15/24			9			9,344
6.500%		04/15/24			2			2,147
6.500%		04/15/24			2			2,295
6.500%		04/15/24			2			2,550
6.500%		04/15/24			3			2,696
6.500%		04/15/24			5			4,902
6.500%		04/15/24			5			4,966
6.500%		04/15/24			13			14,414
6.500%		05/15/24			—	(r)		75
6.500%		05/15/24			14			14,712
6.500%		05/15/24			16			17,098
6.500%		10/15/24			20			21,798
6.500%		12/15/30			8			8,659
6.500%		01/15/32			23			25,432
6.500%		02/15/32			17			18,597
6.500%		07/15/32			47			50,557
6.500%		08/15/32			6			6,473
6.500%		08/15/32			8			8,933
6.500%		08/15/32			29			31,018
6.500%		08/15/32			216			246,766
6.500%		06/15/35			5			5,771
6.500%		06/15/35			42			46,343
6.500%		07/15/35			7			7,680
8.000%		01/15/24			8			7,928
8.000%		04/15/25			6			6,311

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $307,448,753)								306,833,644


U.S. TREASURY OBLIGATIONS — 1.6%
U.S. Treasury Bonds
3.000%		08/15/48			500			497,637
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			25,267			24,847,696
2.375%		01/15/27			23,317			25,739,964
U.S. Treasury Notes
2.625%		12/15/21			6,860			6,890,816
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28	(k)		615			477,666

SEE NOTES TO FINANCIAL STATEMENTS.

A96



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date	Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS (continued)
2.241%(s) 05/15/28(k)			2,553	$	1,966,633

TOTAL U.S. TREASURY OBLIGATIONS (cost $60,956,915)					60,420,412

TOTAL LONG-TERM INVESTMENTS (cost $3,389,011,356)					3,623,047,508



	Shares

SHORT-TERM INVESTMENTS — 9.0%
AFFILIATED MUTUAL FUNDS — 8.9%
PGIM Core Short-Term Bond Fund(w)		8,359,807	76,993,820
PGIM Core Ultra Short Bond Fund(w)		219,948,136	219,948,136
PGIM Institutional Money Market Fund (cost $42,949,975; includes $42,882,005 of cash collateral for securities on loan)(b)(w)		42,953,797	42,949,501

TOTAL AFFILIATED MUTUAL FUNDS (cost $343,453,901)			339,891,457



Interest Rate	Maturity Date		Principal Amount (000)#

COMMERCIAL PAPER(n) — 0.1%
Ford Motor Credit Co. LLC
3.201%		04/09/19		2,310		2,288,745

(cost $2,290,317)

U.S. TREASURY OBLIGATION(n) — 0.0%
U.S. Treasury Bills
2.376%(s) 03/21/19(k)				150		149,239

(cost $149,232)
*OPTIONS PURCHASED~ — 0.0%** (cost $23,424)						495,656

TOTAL SHORT-TERM INVESTMENTS (cost $345,916,874)						342,825,097

TOTAL INVESTMENTS — 103.5% (cost $3,734,928,230)						3,965,872,605
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (3.5)%						(132,345,720	)

NET ASSETS — 100.0%					$	3,833,526,885

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

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

~	See tables subsequent to the Schedule of Investments for options detail.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $5,825,877 and 0.2% of net assets.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $41,999,105; cash collateral of $42,882,005 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. (c) Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc)

(d)	Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(ff)	Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(k)	Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n)	Rate shown reflects yield to maturity at purchased date. (r) Principal or notional amount is less than $500 par. (s) Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(rr)	Perpetual security with no stated maturity date.

(w)

PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund, PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. (z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded


Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13	%		—		600	$	3,501
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12	%		—		900		5,500
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11	%		—		3,379		31,120
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11	%		—		3,285		30,277
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15	%		—		8,212		72,510
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15	%		—		16,302		156,151

SEE NOTES TO FINANCIAL STATEMENTS.

A97



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Options Purchased (continued):

OTC Traded


Description	Call/ Put		Counterparty	Expiration Date		Strike			Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14	%		—		16,540	$	162,601
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21	%		—		3,285		33,996

Total Options Purchased (cost $23,424)													$	495,656

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type	Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
876	2 Year U.S. Treasury Notes		Mar. 2019	$	185,985,750	$	1,139,780
1,878	5 Year U.S. Treasury Notes		Mar. 2019		215,383,125		3,051,558
109	10 Year U.S. Ultra Treasury Notes		Mar. 2019		14,178,516		104,067
851	30 Year U.S. Ultra Treasury Bonds		Mar. 2019		136,718,469		6,677,479
8	Mini MSCI EAFE Index		Mar. 2019		686,400		(16,402	)

							10,956,482

Short Positions:
830	10 Year U.S. Treasury Notes		Mar. 2019		101,272,969		(1,273,227	)
456	20 Year U.S. Treasury Bonds		Mar. 2019		66,576,000		(2,915,148	)

							(4,188,375	)

						$	6,768,107

Forward foreign currency exchange contracts outstanding at December 31, 2018:


Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Foreign Currency Exchange Contracts:
Euro,
Expiring 01/25/19	Morgan Stanley & Co. International PLC		EUR 3,365	$	3,833,538	$	3,864,061	$	—	$	(30,523	)
Expiring 01/25/19	Morgan Stanley & Co. International PLC		EUR 3,365		3,808,466		3,864,062		—		(55,596	)

				$	7,642,004	$	7,728,123	$	—	$	(86,119	)

Credit default swap agreements outstanding at December 31, 2018:


Reference Entity/ Obligation	Termination Date		Fixed Rate			Notional Amount (000)#(3)		Value at Trade Date		Value at December 31, 2018		Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX.NA.IG.31.V1		12/20/28		1.000	%(Q)		39,000	$	230,699	$	1,013,909	$	783,210

(1)

SEE NOTES TO FINANCIAL STATEMENTS.

A98



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

(2)

(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)

Forward rate agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate			Floating Rate			Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	135,500		01/14/19		—	(3)		—	(3)	$	(56,536	)	$	—	$	(56,536	)	JPMorgan Securities LLC
	64,600		01/14/19		—	(4)		—	(4)		(17,587	)		—		(17,587	)	Citigroup Global Markets Inc.

										$	(74,123	)	$	—	$	(74,123	)

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

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

(3)	The Portfolio pays or receives payment based on CMM102 minus 7 year CMT minus 1.337% upon termination.

(4)	The Portfolio pays or receives payment based on CMM102 minus 7 year CMT minus 1.395% upon termination.

Inflation swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate			Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	10,920		12/19/23		1.900	%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(69,315	)	$	(69,315	)

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

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

Interest rate swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate	Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	EUR 3,905		05/11/24	0.396%(A)	6 Month EURIBOR(1)(S)	$	19,571		$	(48,620	)	$	(68,191	)
	65,090		06/30/19	1.486%(A)	1 Day USOIS(1)(A)		(23,719	)		503,393			527,112
	14,410		06/30/19	1.502%(A)	1 Day USOIS(1)(A)		(7,440	)		109,157			116,597
	23,180		09/30/19	1.707%(A)	1 Day USOIS(1)(A)		6,555			157,377			150,822
	37,520		12/31/19	1.840%(A)	1 Day USOIS(1)(A)		22,844			259,513			236,669
	17,170		12/31/19	1.950%(A)	1 Day USOIS(1)(A)		4,725			85,858			81,133
	7,195		12/31/19	2.040%(A)	1 Day USOIS(1)(A)		78			24,688			24,610
	2,555		12/31/19	2.107%(A)	1 Day USOIS(1)(A)		(5	)		5,814			5,819
	24,360		03/23/21	2.370%(A)	1 Day USOIS(1)(A)		—			(94,723	)		(94,723	)
	685		05/31/22	2.353%(A)	1 Day USOIS(1)(A)		—			(2,964	)		(2,964	)
	610		05/15/24	1.808%(A)	1 Day USOIS(1)(A)		—			15,664			15,664
	20,135		08/15/24	2.170%(S)	3 Month LIBOR(1)(Q)		49,779			341,869			292,090
	14,985		11/15/24	2.334%(S)	3 Month LIBOR(1)(Q)		46,829			216,421			169,592
	10,320		02/12/25	2.408%(A)	1 Day USOIS(1)(A)		—			(108,623	)		(108,623	)
	4,710		02/28/25	2.454%(A)	1 Day USOIS(1)(A)		—			(50,060	)		(50,060	)
	6,432		05/31/25	2.998%(S)	3 Month LIBOR(1)(Q)		(4,468	)		(151,870	)		(147,402	)

SEE NOTES TO FINANCIAL STATEMENTS.

A99



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest rate swap agreements outstanding at December 31, 2018 (continued):


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements (continued):
	3,575		07/31/25		2.802%(A)	1 Day USOIS(1)(A)	$	—		$	(106,901	)	$	(106,901	)
	4,870		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		3,842			(146,986	)		(150,828	)
	16,149		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		1,001			(491,744	)		(492,745	)
	36,240		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		294,382			789,414			495,032
	8,033		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		90,939			324,309			233,370
	1,575		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		1,998			53,808			51,810
	1,325		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			38,013			38,013
	4,595		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(2,908	)		92,512			95,420
	1,580		05/15/27		1.823%(A)	1 Day USOIS(1)(A)		—			67,297			67,297
	655		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			18,379			18,379
	6,964		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(15,129	)		(105,026	)		(89,897	)
	11,635		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(50,614	)		(131,236	)		(80,622	)
	290		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			9,624			9,624

							$	438,260		$	1,674,357		$	1,236,097

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

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:


	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(74,123	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	—	$	10,345,286
Goldman Sachs & Co. LLC		—		149,239

Total	$	—	$	10,494,525

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks	$	2,157,859,037	$	31,516,611	$	—
Exchange Traded Fund		122,733		—		—
Preferred Stocks		581,460		59,377		—
Rights		7,721		—		—
Asset-Backed Securities
Automobiles		—		60,748,334		—
Collateralized Loan Obligations		—		100,364,516		—
Consumer Loans		—		9,482,700		—

SEE NOTES TO FINANCIAL STATEMENTS.

A100



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2			Level 3
Investments in Securities (continued)
Asset-Backed Securities (continued)
Credit Cards	$	—	$	17,038,755		$	—
Equipment		—		10,268,879			—
Home Equity Loans		—		5,140,253			—
Other		—		2,212,505			—
Residential Mortgage-Backed Securities		—		25,194,915			1,200,000
Student Loans		—		25,079,166			—
Commercial Mortgage-Backed Securities		—		289,347,942			—
Corporate Bonds		—		417,114,983			—
Municipal Bonds		—		19,009,915			—
Residential Mortgage-Backed Securities		—		44,489,237			4,700,000
Sovereign Bonds		—		34,254,413			—
U.S. Government Agency Obligations		—		306,833,644			—
U.S. Treasury Obligations		—		60,569,651			—
Affiliated Mutual Funds		339,891,457		—			—
Commercial Paper		—		2,288,745			—
Options Purchased		—		495,656			—
Other Financial Instruments*
Futures Contracts		6,768,107		—			—
OTC Forward Foreign Currency Exchange Contracts		—		(86,119	)		—
Centrally Cleared Credit Default Swap Agreement		—		783,210			—
OTC Forward Rate Agreements		—		—			(74,123	)
Centrally Cleared Inflation Swap Agreement		—		(69,315	)		—
Centrally Cleared Interest Rate Swap Agreements		—		1,236,097			—

Total	$	2,505,230,515	$	1,463,374,070		$	5,825,877

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (1.1% represents investments purchased with collateral from securities on loan)	8.9	%
U.S. Government Agency Obligations	8.0
Commercial Mortgage-Backed Securities	7.5
Banks	7.2
Pharmaceuticals	4.3
Software	4.0
Oil, Gas & Consumable Fuels	3.0
Interactive Media & Services	2.7
Collateralized Loan Obligations	2.6
IT Services	2.4
Technology Hardware, Storage & Peripherals	2.4
Internet & Direct Marketing Retail	2.2
Residential Mortgage-Backed Securities	2.0
Health Care Providers & Services	1.8
Semiconductors & Semiconductor Equipment	1.7
Biotechnology	1.7
Diversified Telecommunication Services	1.7
Automobiles	1.6
U.S. Treasury Obligations	1.6
Insurance	1.5
Health Care Equipment & Supplies	1.5
Media	1.4
Capital Markets	1.3
Aerospace & Defense	1.2
Equity Real Estate Investment Trusts (REITs)	1.2


Chemicals	1.2	%
Beverages	1.1
Communications Equipment	1.1
Food Products	1.1
Diversified Financial Services	1.0
Electric	1.0
Life Sciences Tools & Services	1.0
Machinery	0.9
Specialty Retail	0.9
Road & Rail	0.9
Sovereign Bonds	0.9
Airlines	0.9
Electric Utilities	0.8
Entertainment	0.7
Textiles, Apparel & Luxury Goods	0.7
Multiline Retail	0.7
Industrial Conglomerates	0.7
Food & Staples Retailing	0.7
Student Loans	0.7
Hotels, Restaurants & Leisure	0.6
Consumer Finance	0.6
Household Products	0.6
Auto Manufacturers	0.5
Oil & Gas	0.5
Municipal Bonds	0.5

SEE NOTES TO FINANCIAL STATEMENTS.

A101



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Independent Power & Renewable Electricity Producers	0.5	%
Credit Cards	0.4
Real Estate Management & Development	0.4
Tobacco	0.4
Electronic Equipment, Instruments & Components	0.4
Pipelines	0.4
Foods	0.3
Equipment	0.3
Telecommunications	0.3
Metals & Mining	0.3
Consumer Loans	0.2
Air Freight & Logistics	0.2
Distributors	0.2
Retail	0.2
Professional Services	0.2
Multi-Utilities	0.2
Gas Utilities	0.2
Personal Products	0.2
Building Products	0.2
Healthcare-Services	0.2
Mortgage Real Estate Investment Trusts (REITs)	0.1
Multi-National	0.1
Home Equity Loans	0.1
Oil & Gas Services	0.1
Trading Companies & Distributors	0.1
Transportation Infrastructure	0.1
Construction & Engineering	0.1
Agriculture	0.1
Computers	0.1
Thrifts & Mortgage Finance	0.1
Commercial Services	0.1
Gas	0.1
Commercial Paper	0.1
Other	0.1
Building Materials	0.1


Energy Equipment & Services	0.1	%
Forest Products & Paper	0.1
Electrical Equipment	0.1
Semiconductors	0.1
Transportation	0.1
Housewares	0.1
Containers & Packaging	0.0	*
Lodging	0.0	*
Miscellaneous Manufacturing	0.0	*
Savings & Loans	0.0	*
Packaging & Containers	0.0	*
Mining	0.0	*
Wireless Telecommunication Services	0.0	*
Machinery-Diversified	0.0	*
Home Builders	0.0	*
Real Estate Investment Trusts (REITs)	0.0	*
Auto Components	0.0	*
Leisure Products	0.0	*
Electronics	0.0	*
Household Durables	0.0	*
Options Purchased	0.0	*
Healthcare-Products	0.0	*
Exchange Traded Fund	0.0	*
Construction Materials	0.0	*
Paper & Forest Products	0.0	*
Commercial Services & Supplies	0.0	*
Marine	0.0	*

	103.5
Liabilities in excess of other assets	(3.5	)

	100.0	%

*	Less than +/-0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted for as hedging instruments,
carried at fair value

Asset Derivatives

Liability Derivatives

Statement of

Assets and

Liabilities Location

Fair Value

Statement of

Assets and

Liabilities Location

Fair Value

Due from/to broker-variation

Credit contracts

margin swaps

783,210

—

Due from/to broker-variation

Equity contracts

—

margin futures

16,402

Equity contracts

Unaffiliated investments

7,721

—

Unrealized depreciation on OTC

forward foreign currency

Foreign exchange contracts

—

exchange contracts

86,119

Due from/to broker-variation

Interest rate contracts

margin futures

10,972,884

margin futures

4,188,375

SEE NOTES TO FINANCIAL STATEMENTS.

A102



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
	Due from/to broker-variation				Due from/to broker-variation
Interest rate contracts	margin swaps	$	2,629,053	*	margin swaps	$	1,462,271	*
Interest rate contracts	Unaffiliated investments		495,656		—		—
					Unrealized depreciation on OTC
Interest rate contracts	—		—		forward rate agreements		74,123

		$	14,888,524			$	5,827,290

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. 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, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)		Options Purchased(1)			Options Written		Futures			Forward Currency Contracts		Forward Rate Agreements			Swaps
Credit contracts	$	—	$	—		$	—	$	—		$	—	$	—		$	(296,252	)
Equity contracts		6,097		—			—		(194,862	)		—		—			—
Foreign exchange contracts		—		—			—		—			435,275		—			—
Interest rate contracts		—		(425,724	)		31,232		(11,993,171	)		—		(77,423	)		2,108,239

Total	$	6,097	$	(425,724	)	$	31,232	$	(12,188,033	)	$	435,275	$	(77,423	)	$	1,811,987

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)			Options Purchased(2)		Futures			Forward Currency Contracts			Forward Rate Agreements			Swaps
Credit contracts	$	—		$	—	$	—		$	—		$	—		$	783,210
Equity contracts		(183	)		—		(28,444	)		—			—			—
Foreign exchange contracts		—			—		—			(30,113	)		—			—
Interest rate contracts		—			472,232		7,613,429			—			(74,123	)		469,667

Total	$	(183	)	$	472,232	$	7,584,985		$	(30,113	)	$	(74,123	)	$	1,252,877

(2)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:


Options Purchased(1)	Options Written(2)		Futures Contracts— Long Positions(2)		Futures Contracts— Short Positions(2)
$74,516	$	102,400	$	566,721,911	$	155,569,000

Forward Foreign Currency Exchange Contracts—Sold(3)	Forward Rate Agreements(2)		Interest Rate Swap Agreements(2)		Credit Default Swap Agreements_ Buy Protection(2)
$5,833,784	$	91,340,000	$	1,221,461,926	$	15,600,000

SEE NOTES TO FINANCIAL STATEMENTS.

A103



		*FLEXIBLE MANAGED PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


		Total Return Swap Agreements(2)		Inflation Swap Agreements(2)
		$696,000		$3,560,000

(1)

Cost.

(2)	Notional Amount in USD.

(3)	Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	41,999,105	$	(41,999,105	)	$	—

Offsetting of OTC derivative assets and liabilities:


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/(Liabilities)			Collateral Pledged/(Received)(2)			Net Amount
Bank of America, N.A.	$	391,262	$	—		$	391,262		$	(331,782	)	$	59,480
Barclays Bank PLC		100,893		—			100,893			—			100,893
Citigroup Global Markets Inc.		—		(17,587	)		(17,587	)		—			(17,587	)
JPMorgan Securities LLC		—		(56,536	)		(56,536	)		—			(56,536	)
Morgan Stanley & Co. International PLC		3,501		(86,119	)		(82,618	)		—			(82,618	)

	$	495,656	$	(160,242	)	$	335,414		$	(331,782	)	$	3,632

(1)	Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A104



		*FLEXIBLE MANAGED PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $41,999,105:
Unaffiliated investments (cost $3,391,474,329)	$	3,625,981,147
Affiliated investments (cost $343,453,901)		339,891,457
Foreign currency, at value (cost $261,140)		261,716
Receivable for investments sold		44,822,393
Dividends and interest receivable		11,728,905
Tax reclaim receivable		616,603
Due from broker-variation margin futures		584,774
Receivable for Portfolio shares sold		208,113
Receivable from affiliate		7,150
Prepaid expenses		31,179

Total Assets		4,024,133,437

LIABILITIES
Payable for investments purchased		144,047,475
Payable to broker for collateral for securities on loan		42,882,005
Management fee payable.		1,988,219
Accrued expenses and other liabilities		465,382
Due to broker-variation margin swaps		423,842
Payable for Portfolio shares repurchased		382,598
Payable to affiliate		255,809
Unrealized depreciation on OTC forward foreign currency exchange contracts		86,119
Unrealized depreciation on OTC forward rate agreements		74,123
Affiliated transfer agent fee payable		980

Total Liabilities		190,606,552

NET ASSETS	$	3,833,526,885

Net assets were comprised of:
Partners Equity	$	3,833,526,885

Net asset value and redemption price per share, $3,833,526,885 / 133,916,432 outstanding shares of beneficial interest	$	28.63

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $160,238, of which $22,701 is reimbursable by an affiliate)	$	50,181,582
Interest income (net of $4,885 foreign withholding tax)		41,147,562
Affiliated dividend income.		7,089,136
Income from securities lending, net (including affiliated income of $232,409)		237,191

Total income		98,655,471

EXPENSES
Management fee		24,944,348
Custodian and accounting fees		448,448
Shareholders’ reports		390,610
Trustees’ fees.		52,693
Audit fee		46,934
Legal fees and expenses		23,192
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		129,133

Total expenses.		26,046,040

NET INVESTMENT INCOME (LOSS)		72,609,431

REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(4,610,670))		245,393,888
Futures transactions		(12,188,033	)
Forward rate agreement transactions		(77,423	)
Forward currency contract transactions		435,275
Options written transactions		31,232
Swap agreements transactions		1,811,987
Foreign currency transactions		303,510

		235,710,436

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $3,968,522)		(481,310,379	)
Futures		7,584,985
Forward rate agreements		(74,123	)
Forward currency contracts		(30,113	)
Swap agreements		1,252,877
Foreign currencies.		(5,625	)

		(472,582,378	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(236,871,942	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(164,262,511	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	72,609,431		$	65,564,001
Net realized gain (loss) on investment and foreign currency transactions		235,710,436			297,648,108
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(472,582,378	)		201,322,947

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(164,262,511	)		564,535,056

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [233,974 and 218,250 shares, respectively]		7,057,478			6,080,347
Portfolio shares repurchased [7,894,348 and 8,310,120 shares, respectively]		(239,041,615	)		(230,747,682	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(231,984,137	)		(224,667,335	)

CAPITAL CONTRIBUTIONS.		72,588

TOTAL INCREASE (DECREASE)		(396,174,060	)		339,867,721
NET ASSETS:
Beginning of year.		4,229,700,945			3,889,833,224

End of year	$	3,833,526,885		$	4,229,700,945

SEE NOTES TO FINANCIAL STATEMENTS.

A105



		*GLOBAL PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 96.7%			Value
COMMON STOCKS — 96.1%	Shares		Value
Australia — 2.4%
AGL Energy Ltd.		66,200	$	958,446
Aristocrat Leisure Ltd.		110,320		1,693,366
Ausdrill Ltd.		123,200		103,384
Bendigo & Adelaide Bank Ltd.		126,100		956,695
BHP Group PLC		157,823		3,346,857
Caltex Australia Ltd.		26,000		465,526
Coca-Cola Amatil Ltd.		166,300		958,365
CSL Ltd.		29,289		3,830,185
CSR Ltd.		334,900		661,185
Fortescue Metals Group Ltd.		201,900		595,507
Harvey Norman Holdings Ltd.(a)		247,700		549,816
Inghams Group Ltd.*(a)		268,900		780,453
LendLease Group		101,800		831,696
Macquarie Group Ltd.		49,695		3,795,460
Metcash Ltd.		412,500		710,620
Mineral Resources Ltd.		64,000		697,836
Myer Holdings Ltd.*		567,600		165,318
Qantas Airways Ltd.		387,619		1,578,843
Rio Tinto Ltd.		26,000		1,434,767

				24,114,325

Austria — 0.2%
OMV AG		28,000		1,227,808
voestalpine AG		28,800		865,959

				2,093,767

Belgium — 0.4%
AGFA-Gevaert NV*		49,600		189,245
Bekaert SA		13,500		326,664
KBC Group NV		45,401		2,958,642
UCB SA		8,900		727,400

				4,201,951

Canada — 3.0%
Brookfield Asset Management, Inc. (Class A Stock)(a)		96,758		3,710,669
Canadian National Railway Co.		56,046		4,150,902
Canadian Natural Resources Ltd.		88,050		2,124,647
Canadian Pacific Railway Ltd.		6,559		1,165,010
Dollarama, Inc.		73,603		1,750,578
Magna International, Inc.		65,850		2,992,882
Rogers Communications, Inc. (Class B Stock)		63,912		3,275,186
Suncor Energy, Inc.		76,585		2,139,017
Toronto-Dominion Bank (The)		82,010		4,076,471
TransCanada Corp.		134,652		4,807,076

				30,192,438

China — 2.0%
Alibaba Group Holding Ltd., ADR*(a)		70,209		9,623,548
China Merchants Bank Co. Ltd. (Class H Stock)		902,500		3,311,924
China Resources Cement Holdings Ltd.		1,234,000		1,110,064
NetEase, Inc., ADR		11,127		2,618,962


COMMON STOCKS (continued)	Shares		Value
China (continued)
Tencent Holdings Ltd.		81,100	$	3,246,121
Xinyi Solar Holdings Ltd.		1,870,000		655,421

				20,566,040

Denmark — 0.9%
Coloplast A/S (Class B Stock)		33,692		3,133,111
Danske Bank A/S		61,200		1,215,347
DFDS A/S		11,300		455,786
Orsted A/S, 144A		57,028		3,821,596

				8,625,840

Finland — 0.2%
Nordea Bank Abp(a)		83,600		704,325
UPM-Kymmene OYJ		57,300		1,461,411

				2,165,736

France — 4.7%
Airbus SE		37,961		3,660,261
Arkema SA		23,575		2,028,162
Atos SE		4,900		401,349
AXA SA		46,300		1,002,395
BNP Paribas SA		23,200		1,051,168
Capgemini SE		33,231		3,314,018
Cie Generale des Etablissements Michelin SCA		12,000		1,193,255
CNP Assurances		46,700		991,970
Credit Agricole SA		78,500		850,396
Engie SA		50,000		718,208
LVMH Moet Hennessy Louis Vuitton SE		13,775		4,082,857
Natixis SA		146,400		691,491
Orange SA		101,700		1,653,683
Renault SA		12,300		770,303
Safran SA		35,945		4,345,950
Sanofi		50,200		4,354,101
SCOR SE		12,100		546,226
Societe Generale SA		28,600		915,545
TOTAL SA		114,941		6,082,439
TOTAL SA, ADR(a)		159,400		8,317,492
Valeo SA		8,300		243,254

				47,214,523

Germany — 2.1%
Allianz SE		8,500		1,712,406
Aurubis AG		10,800		537,605
BASF SE		25,900		1,817,893
Bayerische Motoren Werke AG		14,800		1,203,906
Covestro AG, 144A		26,100		1,298,570
Daimler AG		27,600		1,456,395
Deutsche Lufthansa AG		54,200		1,231,441
Deutsche Post AG		18,500		508,119
Evonik Industries AG		36,500		915,206
Infineon Technologies AG		92,428		1,850,642
METRO AG		46,000		708,386
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		5,300		1,159,903
Rational AG		3,533		2,014,775

SEE NOTES TO FINANCIAL STATEMENTS.

A106



		*GLOBAL PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Germany (continued)
Rheinmetall AG		7,300	$	648,331
SAP SE		32,771		3,280,983
Volkswagen AG		7,400		1,182,778

				21,527,339

Hong Kong — 1.1%
AIA Group Ltd.		671,400		5,567,215
Kingboard Holdings Ltd.		216,000		576,092
Lee & Man Paper Manufacturing Ltd.		1,244,000		1,047,849
PAX Global Technology Ltd.		933,000		337,939
Skyworth Digital Holdings Ltd.		1,072,000		231,722
WH Group Ltd., 144A		1,914,500		1,473,752
Wheelock & Co. Ltd.		67,000		383,220
Yue Yuen Industrial Holdings Ltd.		296,500		947,976

				10,565,765

India — 0.3%
HDFC Bank Ltd., ADR		30,654		3,175,448

Ireland — 0.4%
Kingspan Group PLC		71,995		3,093,868
Smurfit Kappa Group PLC		35,200		938,874

				4,032,742

Israel — 0.1%
Bank Hapoalim BM		91,200		576,127
Teva Pharmaceutical Industries Ltd.*		36,100		563,611

				1,139,738

Italy — 0.6%
A2A SpA		782,400		1,412,364
Astaldi SpA*(a)		33,900		20,246
Enel SpA		470,000		2,729,287
Leonardo SpA		74,400		657,013
Mediobanca Banca di Credito Finanziario SpA		87,600		744,038

				5,562,948

Japan — 6.1%
AGC, Inc.		18,100		569,896
Aisan Industry Co. Ltd.		68,400		460,076
Aisin Seiki Co. Ltd.		14,000		481,663
Daikin Industries Ltd.		24,300		2,579,738
Dowa Holdings Co. Ltd.		21,700		647,188
Enplas Corp.		11,200		276,780
Fujikura Ltd.		200,200		791,972
Hazama Ando Corp.		85,900		565,761
Hitachi Capital Corp.		28,500		599,786
Hitachi High-Technologies Corp.		17,300		540,252
Isuzu Motors Ltd.		78,200		1,098,774
ITOCHU Corp.		102,900		1,747,630
Japan Airlines Co. Ltd.		28,000		992,317
Japan Aviation Electronics Industry Ltd.		46,000		526,763
Kaneka Corp.		14,800		529,936
KDDI Corp.		117,600		2,810,519
Keihin Corp.		54,300		907,927
Keiyo Bank Ltd. (The)		76,500		490,649
Keyence Corp.		8,900		4,503,909
Konica Minolta, Inc.		87,900		792,791


COMMON STOCKS (continued)	Shares		Value
Japan (continued)
Lintec Corp.		30,000	$	643,890
Marubeni Corp.		173,200		1,213,566
Mazda Motor Corp.		56,700		583,175
Mitsubishi Gas Chemical Co., Inc.		46,900		704,587
Mitsubishi UFJ Financial Group, Inc.		248,600		1,217,996
Mitsubishi UFJ Lease & Finance Co. Ltd.		165,800		795,388
Mitsui Chemicals, Inc.		31,500		710,377
Mitsui Sugar Co. Ltd.		25,400		643,111
Mixi, Inc.		17,800		372,541
Mizuho Financial Group, Inc.		597,700		927,160
Nippon Telegraph & Telephone Corp.		69,300		2,823,394
Nishi-Nippon Financial Holdings, Inc.		48,600		419,998
Nissan Motor Co. Ltd.		161,600		1,293,703
Nisshinbo Holdings, Inc.		45,400		342,655
Nitori Holdings Co. Ltd.		20,300		2,538,644
NTN Corp.		275,500		790,077
NTT DOCOMO, Inc.		24,800		558,379
ORIX Corp.		217,500		3,167,697
Resona Holdings, Inc.		355,300		1,710,467
Sawai Pharmaceutical Co. Ltd.		9,200		439,656
Shiseido Co. Ltd.(a)		52,600		3,292,224
SKY Perfect JSAT Holdings, Inc.		151,000		643,643
Sompo Holdings, Inc.		23,100		782,491
Sumitomo Forestry Co. Ltd.		50,100		654,874
Sumitomo Heavy Industries Ltd.		30,900		919,180
Sumitomo Mitsui Financial Group, Inc.		33,900		1,124,535
Suzuki Motor Corp.		46,700		2,359,688
Teijin Ltd.		67,300		1,075,152
Toagosei Co. Ltd.		53,700		590,845
Toho Holdings Co. Ltd.		13,500		330,802
Tokyo Electron Ltd.		7,300		829,898
Towa Pharmaceutical Co. Ltd.		9,400		656,067
Toyo Tire Corp.		35,200		438,263
Toyoda Gosei Co. Ltd.		33,200		651,574
Toyota Motor Corp.		15,730		913,150
Tsubakimoto Chain Co.		17,000		555,565
Ube Industries Ltd.		30,100		609,254
Ulvac, Inc.		12,700		366,321
Yokohama Rubber Co. Ltd. (The)		45,000		842,313

				61,446,627

Liechtenstein — 0.0%
VP Bank AG		1,765		254,328

Luxembourg — 0.1%
Tenaris SA		127,241		1,376,524

Macau — 0.3%
Galaxy Entertainment Group Ltd		422,000		2,661,048

Netherlands — 2.5%
ABN AMRO Group NV, CVA, 144A		45,300		1,066,934
Adyen NV, 144A*		1,253		686,019
Aegon NV		95,000		445,631
BE Semiconductor Industries NV		21,100		448,334
ING Groep NV		75,400		814,871
Koninklijke Ahold Delhaize NV		95,900		2,426,893
Koninklijke Philips NV		106,904		3,789,893
NN Group NV		38,700		1,544,852
NXP Semiconductors NV(a)		81,481		5,970,928

SEE NOTES TO FINANCIAL STATEMENTS.

A107



		*GLOBAL PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Netherlands (continued)
Royal Dutch Shell PLC (Class A Stock)		119,044	$	3,514,992
Royal Dutch Shell PLC (Class B Stock)		139,400		4,163,189
Signify NV, 144A		30,400		714,549

				25,587,085

New Zealand — 0.1%
Air New Zealand Ltd.		485,600		1,010,662

Norway — 0.4%
DNB ASA		68,200		1,095,490
Equinor ASA		37,300		791,897
Leroy Seafood Group ASA		134,500		1,027,801
Salmar ASA		15,600		769,812

				3,685,000

Portugal — 0.1%
EDP - Energias de Portugal SA		154,000		538,269

Singapore — 0.1%
DBS Group Holdings Ltd.		62,300		1,081,457

South Africa — 0.2%
Bid Corp. Ltd.		76,684		1,412,355
Investec PLC		79,700		449,660
Nedbank Group Ltd.		4,316		82,321
Old Mutual Ltd.		99,200		148,573

				2,092,909

Spain — 1.1%
ACS Actividades de Construccion y Servicios SA		87,175		3,383,583
Amadeus IT Group SA		53,954		3,766,828
Banco Santander SA		137,900		632,318
Distribuidora Internacional de Alimentacion SA(a)		175,100		92,555
Iberdrola SA		150,200		1,211,417
Mapfre SA		219,300		583,870
Repsol SA		73,100		1,183,637

				10,854,208

Sweden — 1.0%
Atlas Copco AB (Class A Stock)		84,019		2,004,127
Boliden AB*		35,400		770,576
Electrolux AB (Class B Stock)		37,400		792,210
Hexagon AB (Class B Stock)		59,723		2,762,765
JM AB		25,700		503,102
SKF AB (Class B Stock)		80,900		1,233,590
Swedbank AB (Class A Stock)		18,400		411,969
Volvo AB (Class B Stock)		133,200		1,750,217

				10,228,556

Switzerland — 2.8%
ALSO Holding AG*		4,300		489,381
Baloise Holding AG		9,000		1,243,330
Credit Suisse Group AG*		79,900		877,945
Geberit AG		5,967		2,328,941
Helvetia Holding AG		1,800		1,054,592
Lonza Group AG*		14,867		3,880,132
Partners Group Holding AG		4,740		2,876,697
Roche Holding AG		20,000		4,976,261


COMMON STOCKS (continued)	Shares		Value
Switzerland (continued)
Sika AG		7,208	$	917,874
Swiss Life Holding AG*		6,500		2,514,246
Swiss Re AG		20,100		1,849,630
Temenos AG*		23,707		2,861,012
UBS Group AG*		83,800		1,045,788
Zurich Insurance Group AG		4,900		1,466,003

				28,381,832

Taiwan — 0.5%
Taiwan Semiconductor Manufacturing Co. Ltd.		616,000		4,512,446

United Kingdom — 4.6%
3i Group PLC		97,100		958,625
Aviva PLC		164,200		787,362
Babcock International Group PLC		13,200		82,488
BAE Systems PLC		282,200		1,655,027
Barratt Developments PLC		109,300		645,803
Bellway PLC		25,400		815,745
Berkeley Group Holdings PLC		25,300		1,121,806
Bovis Homes Group PLC		66,300		729,257
BP PLC		355,000		2,247,761
BT Group PLC		365,300		1,112,232
Centrica PLC		387,000		666,511
Compass Group PLC		178,345		3,754,091
Crest Nicholson Holdings PLC		143,814		602,839
Debenhams PLC(a)		301,400		19,724
Experian PLC		154,329		3,749,575
GlaxoSmithKline PLC		166,000		3,160,790
Go-Ahead Group PLC (The)		34,500		674,865
Imperial Brands PLC		5,700		172,847
Inchcape PLC		66,600		469,042
International Consolidated Airlines Group SA		150,000		1,183,872
J Sainsbury PLC		384,900		1,301,267
Keller Group PLC		48,200		303,608
Kingfisher PLC		255,800		676,960
Legal & General Group PLC		494,700		1,460,405
Lloyds Banking Group PLC		1,954,100		1,290,273
London Stock Exchange Group PLC		46,247		2,398,533
Man Group PLC		291,300		493,567
Marks & Spencer Group PLC		142,500		449,198
Meggitt PLC		72,300		434,858
National Express Group PLC		154,700		738,075
Paragon Banking Group PLC		105,900		522,175
Premier Foods PLC*		357,756		151,303
QinetiQ Group PLC		214,000		782,733
Quilter PLC, 144A		91,600		138,299
RELX PLC		154,808		3,193,223
Royal Mail PLC		120,900		419,610
RPC Group PLC		42,000		350,412
Segro PLC, REIT		314,531		2,363,806
SSE PLC		51,500		710,638
St. James’s Place PLC		131,839		1,589,720
Tate & Lyle PLC		109,000		918,349
Taylor Wimpey PLC		263,400		457,795
Vesuvius PLC		81,100		524,444

				46,279,513

SEE NOTES TO FINANCIAL STATEMENTS.

A108



		*GLOBAL PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
United States — 57.8%
Adobe, Inc.*		40,855	$	9,243,035
Alphabet, Inc. (Class C Stock)*		11,029		11,421,743
Amazon.com, Inc.*		9,323		14,002,866
American International Group, Inc.		98,990		3,901,196
Amphenol Corp. (Class A Stock)		109,723		8,889,757
Applied Materials, Inc.		78,550		2,571,727
AT&T, Inc.		36,750		1,048,845
Autodesk, Inc.*		66,026		8,491,604
Bank of New York Mellon Corp. (The)		93,800		4,415,166
Becton, Dickinson & Co.		9,844		2,218,050
Boeing Co. (The)		16,202		5,225,145
Booking Holdings, Inc.*		5,454		9,394,079
Brighthouse Financial, Inc.*		41,675		1,270,254
Bunge Ltd.		55,800		2,981,952
BWX Technologies, Inc.		131,880		5,041,772
Carnival Corp.		45,250		2,230,825
CF Industries Holdings, Inc.		60,600		2,636,706
Chubb Ltd.		48,750		6,297,525
Cintas Corp.		52,382		8,799,652
Cisco Systems, Inc.		171,300		7,422,429
Citigroup, Inc.		51,550		2,683,693
Comcast Corp. (Class A Stock)		109,750		3,736,987
Costco Wholesale Corp.		45,558		9,280,620
CVS Health Corp.		83,358		5,461,616
Danaher Corp.		97,463		10,050,385
DexCom, Inc.*		80,555		9,650,489
DowDuPont, Inc.		89,164		4,768,491
Duke Energy Corp.		30,400		2,623,520
Edwards Lifesciences Corp.*		52,098		7,979,851
Electronic Arts, Inc.*		114,676		9,049,083
EQT Corp.		56,917		1,075,162
Equitrans Midstream Corp.*		54,547		1,092,031
Estee Lauder Cos., Inc. (The) (Class A Stock)		70,740		9,203,274
Evergy, Inc.		64,850		3,681,534
Exxon Mobil Corp.		102,800		7,009,932
Ferguson PLC		40,148		2,572,600
Fifth Third Bancorp		202,100		4,755,413
FleetCor Technologies, Inc.*		24,237		4,501,296
Fortive Corp.		148,443		10,043,653
Fortune Brands Home & Security, Inc.		69,950		2,657,401
Franklin Resources, Inc.(a)		89,350		2,650,121
General Electric Co.		291,050		2,203,249
Genpact Ltd.		269,247		7,266,977
Gilead Sciences, Inc.		46,600		2,914,830
Hess Corp.		50,900		2,061,450
Hologic, Inc.*		71,150		2,924,265
Illinois Tool Works, Inc.		21,950		2,780,845
International Paper Co.		102,750		4,146,990
Intuit, Inc.		62,383		12,280,094
Intuitive Surgical, Inc.*		27,011		12,936,108
Johnson & Johnson		47,700		6,155,685
Johnson Controls International PLC		144,098		4,272,506
JPMorgan Chase & Co.		118,200		11,538,684
Kimberly-Clark Corp.		49,450		5,634,333
Kohl’s Corp.		21,950		1,456,163
Las Vegas Sands Corp.		36,836		1,917,314
Loews Corp.		77,434		3,524,796
Marsh & McLennan Cos., Inc.		50,080		3,993,880


COMMON STOCKS (continued)	Shares		Value
United States (continued)
Mattel, Inc.*(a)		61,837	$	617,752
Medtronic PLC		81,421		7,406,054
Merck & Co., Inc.		100,050		7,644,820
MetLife, Inc.		94,600		3,884,276
Microsoft Corp.		197,839		20,094,507
Morgan Stanley		144,650		5,735,372
News Corp. (Class A Stock)		134,800		1,529,980
NextEra Energy, Inc.		1,600		278,112
Nielsen Holdings PLC		92,000		2,146,360
Occidental Petroleum Corp.		69,150		4,244,427
PayPal Holdings, Inc.*		148,549		12,491,485
PepsiCo, Inc.		32,150		3,551,932
Perrigo Co. PLC(a)		49,350		1,912,313
Pfizer, Inc.		210,100		9,170,865
PG&E Corp.*		84,200		1,999,750
Philip Morris International, Inc.		62,150		4,149,134
QUALCOMM, Inc.		96,850		5,511,733
Raytheon Co.		14,485		2,221,275
Roper Technologies, Inc.		42,580		11,348,422
salesforce.com, Inc.*		84,525		11,577,389
SBA Communications Corp.*		69,545		11,258,640
Sempra Energy(a)		3,250		351,618
Sherwin-Williams Co. (The)		26,876		10,574,631
Signature Bank		13,050		1,341,671
SL Green Realty Corp.		25,600		2,024,448
Southern Co. (The)		140,300		6,161,976
Southwest Airlines Co.		97,150		4,515,532
Stericycle, Inc.*		33,120		1,215,173
TE Connectivity Ltd.		30,500		2,306,715
Texas Instruments, Inc.		36,150		3,416,175
Thermo Fisher Scientific, Inc.		59,179		13,243,668
TJX Cos., Inc. (The)		186,752		8,355,284
Twenty-First Century Fox, Inc. (Class B Stock)(a)		155,100		7,410,678
Tyson Foods, Inc. (Class A Stock)		117,950		6,298,530
U.S. Bancorp		119,250		5,449,725
United Parcel Service, Inc. (Class B Stock)		33,700		3,286,761
United Technologies Corp.		15,000		1,597,200
Verizon Communications, Inc.		126,700		7,123,074
Visa, Inc. (Class A Stock)		107,869		14,232,236
Vulcan Materials Co.		7,000		691,600
Walmart, Inc.		51,000		4,750,650
Wells Fargo & Co.		229,150		10,559,232
Weyerhaeuser Co.		124,500		2,721,570
Zimmer Biomet Holdings, Inc.		12,350		1,280,942
Zoetis, Inc.		168,568		14,419,307

				582,142,643

TOTAL COMMON STOCKS (cost $810,713,140)				967,311,707


PREFERRED STOCKS — 0.6%
United States
Becton, Dickinson & Co. 6.125%		11,615		669,837
NextEra Energy, Inc. 6.123%(a)		54,098		3,118,209
Sempra Energy Series A, CVT, 6.000%		20,474		1,947,282

SEE NOTES TO FINANCIAL STATEMENTS.

A109



		*GLOBAL PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


PREFERRED STOCKS (continued)	Shares		Value
United States (continued)
Sempra Energy Series B, CVT, 6.750%(a)		4,673	$	450,664

TOTAL PREFERRED STOCKS (cost $5,827,669)				6,185,992

	Units
*RIGHTS — 0.0%**
Spain
Repsol SA, expiring 01/09/19 (cost $34,295)		73,100		33,502

TOTAL LONG-TERM INVESTMENTS (cost $816,575,104)				973,531,201

	Shares

SHORT-TERM INVESTMENTS — 7.2%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		29,089,153		29,089,153
PGIM Institutional Money Market Fund (cost $42,891,789; includes $42,778,066 of cash collateral for securities on loan)(b)(w)		42,895,530		42,891,241

TOTAL SHORT-TERM INVESTMENTS (cost $71,980,942)				71,980,394

TOTAL INVESTMENTS — 103.9% (cost $888,556,046)				1,045,511,595
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.9)%				(38,837,430	)

NET ASSETS — 100.0%			$	1,006,674,165

See the Glossary for abbreviations used in the annual report.

*	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 $41,677,213; cash collateral of $42,778,066 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM

Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Australia	$	—	$	24,114,325	$	—
Austria		—		2,093,767		—
Belgium		—		4,201,951		—
Canada		30,192,438		—		—
China		12,242,510		8,323,530		—
Denmark		—		8,625,840		—
Finland		—		2,165,736		—
France		8,317,492		38,897,031		—
Germany		—		21,527,339		—
Hong Kong		—		10,565,765		—
India		3,175,448		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A110



		*GLOBAL PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Ireland	$	—	$	4,032,742	$	—
Israel		—		1,139,738		—
Italy		—		5,562,948		—
Japan		—		61,446,627		—
Liechtenstein		—		254,328		—
Luxembourg.		—		1,376,524		—
Macau		—		2,661,048		—
Netherlands		5,970,928		19,616,157		—
New Zealand		—		1,010,662		—
Norway		—		3,685,000		—
Portugal		—		538,269		—
Singapore		—		1,081,457		—
South Africa		—		2,092,909		—
Spain		—		10,854,208		—
Sweden		—		10,228,556		—
Switzerland		—		28,381,832		—
Taiwan		—		4,512,446		—
United Kingdom		—		46,279,513		—
United States		579,570,043		2,572,600		—
Preferred Stocks
United States		6,185,992		—		—
Rights
Spain		33,502		—		—
Affiliated Mutual Funds		71,980,394		—		—

Total	$	717,668,747	$	327,842,848	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (4.2% represents investments purchased with collateral from securities on loan)	7.2	%
Banks	6.8
Software	6.7
Health Care Equipment & Supplies	6.2
Pharmaceuticals	5.3
Oil, Gas & Consumable Fuels	5.0
Insurance	4.9
IT Services	4.5
Capital Markets	3.4
Internet & Direct Marketing Retail	3.2
Chemicals	3.2
Electric Utilities	2.8
Semiconductors & Semiconductor Equipment	2.7
Aerospace & Defense	2.6
Machinery	2.3
Food & Staples Retailing	2.0
Electronic Equipment, Instruments & Components	1.9
Entertainment	1.9
Equity Real Estate Investment Trusts (REITs)	1.8
Life Sciences Tools & Services	1.7
Building Products	1.6
Food Products	1.6
Interactive Media & Services	1.4
Industrial Conglomerates	1.4
Diversified Telecommunication Services	1.4


Hotels, Restaurants & Leisure	1.3	%
Personal Products	1.2
Specialty Retail	1.1
Automobiles	1.0
Airlines	1.0
Commercial Services & Supplies	1.0
Metals & Mining	1.0
Professional Services	0.9
Auto Components	0.7
Communications Equipment	0.7
Biotechnology	0.7
Road & Rail	0.7
Wireless Telecommunication Services	0.7
Household Durables	0.7
Media	0.7
Multi-Utilities	0.6
Household Products	0.6
Trading Companies & Distributors	0.6
Health Care Providers & Services	0.5
Containers & Packaging	0.5
Textiles, Apparel & Luxury Goods	0.5
Beverages	0.5
Tobacco	0.4
Construction & Engineering	0.4
Diversified Financial Services	0.4
Multiline Retail	0.3

SEE NOTES TO FINANCIAL STATEMENTS.

A111



		*GLOBAL PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Air Freight & Logistics	0.3	%
Construction Materials	0.3
Paper & Forest Products	0.2
Electrical Equipment	0.2
Energy Equipment & Services	0.1
Real Estate Management & Development	0.1
Technology Hardware, Storage & Peripherals	0.1
Leisure Products	0.1
Consumer Finance	0.1


Thrifts & Mortgage Finance	0.1
Marine	0.1	%
Distributors	0.0	*
Health Care Technology	0.0	*

	103.9
Liabilities in excess of other assets	(3.9	)

	100.0	%

*	Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity contracts 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, 2018 as presented in the Statement of Assets and Liabilities:

Asset Derivatives

Liability Derivatives

Derivatives not accounted for as hedging

instruments, carried at fair value

Statement of Assets and
Liabilities Location

Fair Value

Statement of Assets and
Liabilities Location

Fair Value

Equity contracts

Unaffiliated investments

33,502

—

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(1)
Equity contracts	$	31,836

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Rights(2)
Equity contracts	$	(618	)

(2)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	41,677,213	$	(41,677,213	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A112



		*GLOBAL PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $41,677,213:
Unaffiliated investments (cost $816,575,104)	$	973,531,201
Affiliated investments (cost $71,980,942)		71,980,394
Cash		11,050
Foreign currency, at value (cost $938,039)		931,062
Receivable for investments sold		2,577,136
Tax reclaim receivable		1,854,270
Dividends and interest receivable		1,180,334
Receivable from affiliate		88,931
Receivable for Portfolio shares sold		55,873
Prepaid expenses		8,614

Total Assets		1,052,218,865

LIABILITIES
Payable to broker for collateral for securities on loan		42,778,066
Payable for investments purchased		908,066
Payable to affiliate		855,867
Management fee payable.		627,343
Accrued expenses and other liabilities		289,000
Payable for Portfolio shares repurchased		85,378
Affiliated transfer agent fee payable		980

Total Liabilities		45,544,700

NET ASSETS	$	1,006,674,165

Net assets were comprised of:
Partners Equity	$	1,006,674,165

Net asset value and redemption price per share, $1,006,674,165 / 31,630,188 outstanding shares of beneficial interest	$	31.83

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net) (foreign withholding tax $1,528,795, of which $136,734 is reimbursable by an affiliate)	$	23,008,306
Affiliated dividend income		615,259
Income from securities lending, net (including affiliated income of $201,682)		339,550

Total income		23,963,115

EXPENSES
Management fee		8,548,908
Custodian and accounting fees		328,412
Shareholders’ reports		110,495
Audit fee		28,800
Trustees’ fees		21,753
Legal fees and expenses		14,062
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		49,626

Total expenses		9,112,739
Less: Fee waiver and/or expense reimbursement		(280,540	)

Net expenses		8,832,199

NET INVESTMENT INCOME (LOSS)		15,130,916

REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENT AND FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(5,596))		72,600,685
Foreign currency transactions		(74,117	)

		72,526,568

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(943))		(166,274,627	)
Foreign currencies		(117,453	)

		(166,392,080	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(93,865,512	)

NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS	$	(78,734,596	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	15,130,916		$	14,091,738
Net realized gain (loss) on investment and foreign currency transactions		72,526,568			40,601,021
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(166,392,080	)		177,030,000

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(78,734,596	)		231,722,759

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [414,359 and 246,184 shares, respectively]		14,682,656			7,749,375
Portfolio shares repurchased [1,780,900 and 1,990,951 shares, respectively]		(62,730,947	)		(61,897,531	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(48,048,291	)		(54,148,156	)

CAPITAL CONTRIBUTIONS		520,841			—

TOTAL INCREASE (DECREASE)		(126,262,046	)		177,574,603
NET ASSETS:
Beginning of year		1,132,936,211			955,361,608

End of year	$	1,006,674,165		$	1,132,936,211

SEE NOTES TO FINANCIAL STATEMENTS.

A113



		*GOVERNMENT INCOME PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

Value

LONG-TERM INVESTMENTS — 98.2%

ASSET-BACKED SECURITIES — 8.1%

Collateralized Loan Obligations

Atlas Senior Loan Fund Ltd. (Cayman Islands),

Series 2017-08A, Class A, 144A, 3 Month LIBOR + 1.300%

3.736%(c)

01/16/30

250

249,302

Battalion CLO Ltd. (Cayman Islands),

Series 2014-07A, Class A1RR, 144A, 3 Month LIBOR + 1.040%

3.489%(c)

07/17/28

500

493,104

BlueMountain CLO Ltd. (Cayman Islands),

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.330%

3.766%(c)

04/13/27

1,750

1,747,230

Catamaran CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1AR, 144A, 3 Month LIBOR + 1.260%

3.729%(c)

04/22/30

2,000

1,990,204

CIFC Funding Ltd. (Cayman Islands),

Series 2017-04A, Class A1, 144A, 3 Month LIBOR + 1.250%

3.737%(c)

10/24/30

2,000

1,993,927

Flagship CLO Ltd. (Cayman Islands),

Series 2014-08A, Class ARR, 144A, 3 Month LIBOR + 0.850%

3.286%(c)

01/16/26

2,500

2,492,863

ICG US CLO Ltd. (Cayman Islands),

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.280%

3.757%(c)

10/23/29

500

496,738

Limerock CLO LLC (Cayman Islands),

Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.200%

3.669%(c)

10/20/26

1,300

1,300,006

OCP CLO Ltd. (Cayman Islands),

Series 2017-13A, Class A1A, 144A, 3 Month LIBOR + 1.260%

3.696%(c)

07/15/30

250

248,830

OZLM Ltd. (Cayman Islands),

Series 2015-11A, Class A1R, 144A, 3 Month LIBOR + 1.250%

3.770%(c)

10/30/30

2,000

1,989,093

Palmer Square CLO Ltd. (Cayman Islands),

Series 2015-01A, Class A1R, 144A, 3 Month LIBOR + 1.300%

3.946%(c)

05/21/29

500

497,914

Regatta Funding Ltd. (Cayman Islands),

Series 2017-01A, Class A, 144A, 3 Month LIBOR + 1.250%

3.699%(c)

10/17/30

1,000

994,626

Sound Point CLO Ltd. (Cayman Islands),

Series 2014-03RA, Class A1, 144A, 3 Month LIBOR + 1.250%

3.532%(c)

10/23/31

1,000

990,614

Trinitas CLO Ltd. (Cayman Islands),

Series 2016-05A, Class A, 144A, 3 Month LIBOR + 1.700%

4.190%(c)

10/25/28

500

499,958

Wellfleet CLO Ltd. (Cayman Islands),

Series 2017-02A, Class A1, 144A, 3 Month LIBOR + 1.250%

3.719%(c)

10/20/29

2,000

1,994,806

TOTAL ASSET-BACKED SECURITIES
(cost $18,049,050)

17,979,215

COMMERCIAL MORTGAGE-BACKED SECURITIES — 22.2%

BANK,

Series 2017-BNK05, Class A3

3.020%

06/15/60

2,800

2,739,379

Citigroup Commercial Mortgage Trust,

Series 2015-GC33, Class A3

3.515%

09/10/58

700

702,955


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Commercial Mortgage Trust,
Series 2015-CR024, Class A3
3.214%		08/10/48		1,600	$	1,598,234
Series 2015-CR025, Class A3
3.505%		08/10/48		1,000		1,000,135
Deutsche Bank Commercial Mortgage Trust,
Series 2017-C06, Class A3
3.269%		06/10/50		2,800		2,768,349
Fannie Mae-Aces,
Series 2012-M02, Class A2
2.717%		02/25/22		174		173,854
Series 2015-M01, Class AB2
2.465%		09/25/24		358		353,552
Series 2015-M03, Class AB2
2.625%		10/25/24		1,056		1,040,628
Series 2015-M08, Class AB2
2.829%(cc)		01/25/25		1,098		1,092,217
Series 2015-M10, Class A2
3.092%(cc)		04/25/27		1,600		1,570,986
Series 2015-M17, Class A2
2.939%(cc)		11/25/25		1,500		1,482,446
Series 2016-M11, Class A2
2.369%(cc)		07/25/26		1,200		1,126,342
Series 2016-M13, Class A2
2.479%(cc)		09/25/26		2,100		1,989,488
Series 2018-M14, Class A1
3.578%(cc)		08/25/28		949		980,866
FHLMC Multifamily Structured Pass-Through Certificates,
Series K008, Class X1, IO
1.515%(cc)		06/25/20		15,122		251,307
Series K019, Class X1, IO
1.627%(cc)		03/25/22		16,153		710,034
Series K020, Class X1, IO
1.409%(cc)		05/25/22		8,539		337,143
Series K021, Class X1, IO
1.444%(cc)		06/25/22		9,048		379,503
Series K025, Class X1, IO
0.853%(cc)		10/25/22		25,792		707,993
Series K060, Class AM
3.300%(cc)		10/25/26		1,930		1,927,460
Series K064, Class A2
3.224%		03/25/27		2,200		2,194,919
Series K064, Class AM
3.327%(cc)		03/25/27		1,100		1,093,465
Series K068, Class AM
3.315%		08/25/27		1,700		1,694,169
Series K073, Class A2
3.350%		01/25/28		2,200		2,202,932
Series K076, Class A2
3.900%		06/25/51		1,500		1,564,897
Series K076, Class AM
3.900%		06/25/51		425		440,821
Series K077, Class A2
3.850%(cc)		05/25/28		900		935,506
Series K077, Class AM
3.850%(cc)		05/25/28		180		186,141

SEE NOTES TO FINANCIAL STATEMENTS.

A114



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)
Series K078, Class AM
3.920%(cc)		06/25/28		525	$	545,533
Series K079, Class AM
3.930%		06/25/28		675		702,289
Series K080, Class AM
3.986%(cc)		07/25/28		1,900		1,985,608
Series K081, Class AM
3.900%(cc)		08/25/28		1,500		1,553,602
Series K083, Class A2
4.050%(cc)		09/25/28		625		659,163
Series K083, Class AM
4.030%(cc)		10/25/28		250		262,053
Series K084, Class AM
3.880%(cc)		10/25/28		1,300		1,346,735
Series K085, Class AM
4.060%(cc)		10/25/28		650		681,316
Series K086, Class A2
3.859%(cc)		11/25/28		1,400		1,454,752
Series K086, Class AM
3.919%(cc)		11/25/28		200		207,842
Series K151, Class A3
3.511%		04/25/30		400		397,326
Series K157, Class A2
3.990%(cc)		05/25/33		1,700		1,757,998
Series K158, Class A2
3.900%(cc)		12/25/30		700		717,907
Series K710, Class X1, IO
1.734%(cc)		05/25/19		6,929		16,832
Series K711, Class X1, IO
1.668%(cc)		07/25/19		6,404		24,014
Series W5FX, Class AFX
3.214%(cc)		04/25/28		1,100		1,099,755
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C030, Class A3
3.322%		07/15/48		1,600		1,600,613
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class A4
2.694%		04/15/46		780		762,235

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $49,069,602)						49,021,294


CORPORATE BONDS — 1.4%
Diversified Financial Services
Private Export Funding Corp.,
Series BB, U.S. Gov’t. Gtd. Notes
4.300%		12/15/21		1,255		1,311,208
Sr. Unsec’d. Notes, 144A
2.650%		02/16/21		1,655		1,656,321

TOTAL CORPORATE BONDS (cost $2,997,998)						2,967,529


MUNICIPAL BONDS — 0.2%
California — 0.1%
California Educational Facilities Authority, Stanford Univ.,
Revenue Bonds, Series U-07, BABs
5.000%		06/01/46		125		162,064


Interest Rate	Maturity Date		Principal Amount (000)#		Value

MUNICIPAL BONDS (continued)
Texas — 0.1%
University of Texas System (The),
Revenue Bonds, Series F, Rfdg.
5.000%		08/15/47		275	$	358,091

TOTAL MUNICIPAL BONDS (cost $510,337)						520,155


RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1%
Merrill Lynch Mortgage Investors Trust,
Series 2003-E, Class A1, 1 Month LIBOR + 0.620%
3.126%(c)		10/25/28		20		19,450
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-01, Class 4A3
4.232%(cc)		02/25/34		87		87,029

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $106,902)						106,479


U.S. GOVERNMENT AGENCY OBLIGATIONS — 44.0%
Federal Home Loan Bank
2.625%		10/01/20		720		720,937
3.000%		10/12/21		900		911,480
3.250%		11/16/28		1,025		1,042,292
Federal Home Loan Mortgage Corp.
2.000%		01/01/32		322		307,955
2.375%		02/16/21		1,730		1,723,993
2.500%		03/01/30		590		579,059
3.000%		06/01/29		437		437,200
3.000%		01/01/37		852		842,246
3.000%		06/01/45		557		545,588
3.500%		07/01/42		678		682,731
3.500%		10/01/42		1,126		1,133,956
3.500%		08/01/43		859		865,316
3.500%		10/01/45		626		628,261
4.000%		TBA		6,000		6,116,602
4.000%		06/01/26		62		63,234
4.000%		09/01/26		228		234,220
4.000%		09/01/40		421		432,793
4.000%		12/01/40		429		441,112
4.000%		12/01/40		458		471,575
4.000%		10/01/48		990		1,009,745
4.500%		09/01/39		1,513		1,583,628
5.000%		06/01/33		287		304,434
5.000%		05/01/34		297		315,199
5.500%		05/01/37		57		61,050
5.500%		02/01/38		199		213,632
5.500%		05/01/38		85		90,781
6.000%		09/01/34		73		78,482
6.000%		01/01/37		90		98,393
6.000%		09/01/38		57		62,332
6.000%		08/01/39		73		79,804
6.500%		09/01/32		32		35,288
Federal Home Loan Mortgage Corp., MTN
2.750%		06/19/23		190		191,110
3.208%(s)		12/11/25		600		487,489

SEE NOTES TO FINANCIAL STATEMENTS.

A115



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
Federal National Mortgage Assoc.
1.000%		10/24/19		2,300		$	2,269,513
1.875%		09/24/26		400			372,180
2.000%		08/01/31		308			295,040
2.375%		01/19/23		385			382,119
2.500%		06/01/28		1,928			1,902,159
2.500%		02/01/43		206			195,591
2.500%		12/01/46		715			675,456
2.750%		06/22/21		640			643,591
2.875%		09/12/23		1,345			1,360,836
3.000%		08/01/28		982			982,854
3.000%		02/01/31		1,207			1,205,264
3.000%		11/01/36		801			792,279
3.000%		03/01/43		1,023			1,005,281
3.000%		07/01/43		916			900,626
3.000%		07/01/43		1,166			1,145,748
3.000%		11/01/46		461			449,290
3.500%		TBA		1,500			1,518,018
3.500%		TBA		4,250			4,246,042
3.500%		02/01/33		246			249,466
3.500%		06/01/39		296			297,972
3.500%		04/01/42		507			510,594
3.500%		06/01/42		866			872,267
3.500%		07/01/42		934			941,343
3.500%		06/01/45		2,089			2,096,133
3.500%		12/01/46		436			437,401
4.000%		TBA		2,500			2,548,437
4.000%		09/01/40		1,588			1,633,098
4.000%		06/01/42		1,117			1,147,847
4.000%		09/01/44		826			844,043
4.000%		10/01/46		379			386,797
4.000%		06/01/47		624			636,580
4.000%		07/01/47		700			713,370
4.000%		11/01/47		496			506,147
4.500%		05/01/40		2,065			2,163,340
5.000%		TBA		500			523,711
5.000%		12/01/31		27			28,725
5.000%		03/01/34		361			384,190
5.000%		06/01/35		159			168,350
5.000%		07/01/35		79			83,677
5.000%		05/01/36		107			113,719
5.500%		02/01/34		223			239,640
5.500%		09/01/34		261			280,834
5.500%		02/01/35		292			314,074
5.500%		06/01/35		70			74,335
5.500%		06/01/35		117			123,741
5.500%		09/01/35		41			43,486
5.500%		09/01/35		105			111,234
5.500%		10/01/35		243			261,143
5.500%		11/01/35		215			229,147
5.500%		11/01/35		375			403,953
5.500%		11/01/35		556			598,777
6.000%		05/01/21		17			17,458
6.000%		12/01/33		11			11,654
6.000%		02/01/34		122			132,903
6.000%		08/01/34		—	(r)		434
6.000%		11/01/34		1			621
6.000%		11/01/34		1			1,096


Interest Rate	Maturity Date		Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
6.000%		12/01/34		1		$	1,035
6.000%		01/01/35		22			23,821
6.000%		01/01/36		87			93,815
6.000%		05/01/38		48			51,825
6.500%		07/01/32		244			273,154
6.500%		08/01/32		79			85,705
6.500%		10/01/32		274			309,146
6.500%		10/01/37		124			138,365
6.625%		11/15/30		280			375,320
7.000%		12/01/31		1			547
7.000%		12/01/31		85			95,201
7.000%		11/01/33		11			10,872
7.000%		01/01/36		19			20,742
8.000%		10/01/23		—	(r)		193
8.000%		09/01/24		1			1,041
8.000%		11/01/24		1			1,174
8.000%		01/01/26		—	(r)		397
9.000%		02/01/25		8			9,115
9.000%		04/01/25		4			4,803
Freddie Mac Strips Coupon
3.318%(s)		09/15/23		295			257,882
3.374%(s)		09/15/24		280			237,033
Government National Mortgage Assoc.
2.500%		12/20/46		294			281,171
3.000%		03/15/45		1,638			1,614,980
3.000%		09/20/46		1,632			1,609,853
3.000%		10/20/46		408			401,986
3.000%		04/20/47		1,699			1,674,052
3.500%		TBA		1,500			1,509,258
3.500%		01/20/43		1,154			1,167,533
3.500%		04/20/43		569			575,502
3.500%		03/20/45		1,017			1,025,178
3.500%		04/20/45		859			866,048
3.500%		04/20/46		1,416			1,427,137
3.500%		07/20/46		2,189			2,204,263
4.000%		TBA		1,000			1,023,086
4.000%		06/15/40		204			210,860
4.000%		08/20/46		831			852,600
4.000%		11/20/46		529			545,359
4.500%		TBA		2,250			2,328,179
4.500%		02/20/41		571			598,792
4.500%		03/20/41		488			512,353
4.500%		06/20/44		372			391,180
4.500%		09/20/46		503			526,786
4.500%		11/20/46		1,005			1,057,140
4.500%		01/20/47		123			129,485
5.000%		07/15/33		149			157,711
5.000%		09/15/33		221			234,523
5.000%		04/15/34		82			85,382
5.500%		03/15/34		319			344,548
5.500%		03/15/36		64			68,665
6.500%		07/15/32		19			20,732
6.500%		08/15/32		2			2,670
6.500%		08/15/32		3			3,669
6.500%		08/15/32		12			12,924
6.500%		08/15/32		89			101,505
7.000%		05/15/23		5			4,921
7.000%		06/15/23		1			864

SEE NOTES TO FINANCIAL STATEMENTS.

A116



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#			Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
7.000%		06/15/23			1		$	1,125
7.000%		06/15/23			4			4,184
7.000%		06/15/23			13			13,149
7.000%		07/15/23			1			604
7.000%		07/15/23			12			11,864
7.000%		08/15/23			—	(r)		417
7.000%		08/15/23			4			4,001
7.000%		08/15/23			7			7,368
7.000%		09/15/23			1			1,253
7.000%		10/15/23			3			3,031
7.000%		10/15/23			4			4,438
7.000%		11/15/23			3			3,058
7.000%		11/15/23			9			8,969
7.000%		01/15/24			51			53,461
7.000%		05/15/24			45			46,572
7.000%		08/15/28			44			49,083
7.500%		12/15/25			4			4,024
7.500%		12/15/25			28			30,300
7.500%		02/15/26			5			5,582
8.500%		09/15/24			59			62,479
8.500%		04/15/25			7			7,217
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes
3.000%		06/30/25			1,580			1,571,674
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes
3.141%(s)		05/15/23			400			354,701
3.329%(s)		05/15/25			600			497,774
5.500%		09/18/23			1,300			1,461,571
Residual Funding Corp. Strips Principal, Bonds, PO
2.194%(s)		01/15/21			100			94,781
3.168%(s)		04/15/30			2,305			1,611,079
Resolution Funding Corp. Strips Interest, Bonds, IO
3.657%(s)		04/15/30			500			350,125
Tennessee Valley Authority, Series A, Sr. Unsec’d. Notes
2.875%		02/01/27			175			173,183
Tennessee Valley Authority, Series E, Sr. Unsec’d. Notes
6.750%		11/01/25			510			627,031
Tennessee Valley Authority, Sr. Unsec’d. Notes
2.250%		03/15/20			365			363,760
5.880%		04/01/36			230			299,445
7.125%		05/01/30			530			729,959

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (cost $97,697,651)								97,284,884


U.S. TREASURY OBLIGATIONS — 22.2%
U.S. Treasury Bonds
3.000%		08/15/48			255			253,795
U.S. Treasury Inflation Indexed Bonds, TIPS
0.625%		04/15/23			12,980			12,764,227
U.S. Treasury Notes
1.750%		05/15/23			1,360			1,317,819
1.875%		09/30/22			1,000			978,242
2.125%		08/15/21			4,210			4,171,682
2.125%		09/30/21	(k)		8,035			7,958,730
2.125%		06/30/22			2,055			2,030,597
2.125%		02/29/24			1,615			1,584,025
2.125%		05/15/25	(k)		1,900			1,848,937
2.250%		12/31/24			665			653,363
2.250%		11/15/25			1,810			1,770,053


Interest Rate	Maturity Date			Principal Amount (000)#		Value

U.S. TREASURY OBLIGATIONS (continued)
2.250%		11/15/27			1,495	$	1,444,135
2.500%		12/31/20			160		159,994
2.625%		12/15/21			1,370		1,376,154
2.625%		12/31/23			700		703,664
2.750%		11/30/20			855		858,874
2.875%		11/15/21			90		91,002
2.875%		11/30/23			485		493,450
U.S. Treasury Strips Coupon
2.184%(s)		02/15/28			550		427,181
2.384%(s)		05/15/29			565		421,195
2.404%(s)		08/15/21	(k)		1,585		1,484,699
2.499%(s)		02/15/22			835		771,841
2.783%(s)		08/15/29			500		370,501
2.878%(s)		05/15/31			500		350,701
3.042%(s)		11/15/35			1,000		610,446
3.143%(s)		08/15/27			825		651,343
3.202%(s)		08/15/40			1,000		519,507
4.138%(s)		02/15/42			3,725		1,829,545
U.S. Treasury Strips Principal, PO
2.351%(s)		05/15/43			430		204,536
2.543%(s)		02/15/45			515		232,193
2.993%(s)		11/15/43			165		77,213
3.005%(s)		11/15/44			715		325,395
3.429%(s)		08/15/43			800		377,343

TOTAL U.S. TREASURY OBLIGATIONS (cost $48,737,317)							49,112,382

TOTAL LONG-TERM INVESTMENTS (cost $217,168,857)							216,991,938



	Shares

SHORT-TERM INVESTMENTS — 10.3%

AFFILIATED MUTUAL FUNDS — 10.2%
PGIM Core Short-Term Bond Fund(w)		2,459,756		22,597,532
PGIM Core Ultra Short Bond Fund(w)		2,506		2,506

TOTAL AFFILIATED MUTUAL FUNDS (cost $23,547,949)				22,600,038


*OPTIONS PURCHASED~ — 0.1%** (cost $11,679)				186,858

TOTAL SHORT-TERM INVESTMENTS (cost $23,559,628)				22,786,896

TOTAL INVESTMENTS—108.5% (cost $240,728,485)				239,778,834
LIABILITIES IN EXCESS OF OTHER ASSETS(Z) — (8.5)%				(18,696,584	)

NET ASSETS — 100.0%			$	221,082,250

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

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

SEE NOTES TO FINANCIAL STATEMENTS.

A117



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

~	See tables subsequent to the Schedule of Investments for options detail.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $(876) and (0.0)% of net assets.

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc)

(k)	Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(r)	Principal or notional amount is less than $500 par.

(s)	Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Short-Term Bond Fund and PGIM Core Ultra Short Bond Fund.

(z)	Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Options Purchased:

OTC Traded


Description	Call/ Put		Counterparty	Expiration Date		Strike		Contracts		Notional Amount (000)#		Value
2- Year 10 CMS Curve CAP		Call	Morgan Stanley & Co. International PLC		11/21/19		0.13%		—		700	$	4,084
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/21/19		0.12%		—		1,000		6,111
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/12/21		0.11%		—		1,227		11,301
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		07/13/21		0.11%		—		1,193		10,996
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/16/21		0.15%		—		2,982		26,330
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		08/20/21		0.15%		—		5,920		56,706
2- Year 10 CMS Curve CAP		Call	Bank of America, N.A.		09/13/21		0.14%		—		6,000		58,984
2- Year 10 CMS Curve CAP		Call	Barclays Bank PLC		11/09/21		0.21%		—		1,193		12,346

Total Options Purchased (cost $11,679)												$	186,858

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
230		2 Year U.S. Treasury Notes		Mar. 2019	$	48,831,875	$	309,319
247		5 Year U.S. Treasury Notes		Mar. 2019		28,327,812		390,661
65		10 Year U.S. Ultra Treasury Bonds		Mar. 2019		8,455,078		159,262
180		30 Year U.S. Ultra Treasury Bonds		Mar. 2019		28,918,125		1,369,418

								2,228,660

Short Positions:
4		10 Year U.S. Treasury Notes		Mar. 2019		488,063		(3,068	)
220		20 Year U.S. Treasury Bonds		Mar. 2019		32,120,000		(1,431,023	)

								(1,434,091	)

							$	794,569

Forward rate agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)			Counterparty
	OTC Forward Rate Agreements^:
	2,100		01/14/19		—(3)	—(3)	$	(876	)	$	—	$	(876	)	J.P. Morgan Securities LLC

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

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

(3)	The Portfolio pays or receives payment based on CMM102 minus 7 year CMT minus 1.3365% upon termination.

SEE NOTES TO FINANCIAL STATEMENTS.

A118



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Inflation swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date		Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Inflation Swap Agreement:
	3,360		12/19/23		1.900%(T)	U.S. CPI Urban Consumers NSA Index(1)(T)	$	—	$	(21,328	)	$	(21,328	)

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

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

Interest rate swap agreements outstanding at December 31, 2018:


Notional Amount (000)#		Termination Date		Fixed Rate		Floating Rate	Value at Trade Date			Value at December 31, 2018			Unrealized Appreciaton (Depreciation)
	Centrally Cleared Interest Rate Swap Agreements:
	21,265		06/30/19		1.486%(A)	1 Day USOIS(1)(A)	$	(8,090	)	$	164,459		$	172,549
	4,730		06/30/19		1.502%(A)	1 Day USOIS(1)(A)		(2,550	)		35,830			38,380
	7,870		09/30/19		1.707%(A)	1 Day USOIS(1)(A)		2,185			53,432			51,247
	11,945		12/31/19		1.840%(A)	1 Day USOIS(1)(A)		6,414			82,620			76,206
	5,295		12/31/19		1.950%(A)	1 Day USOIS(1)(A)		1,396			26,477			25,081
	2,750		12/31/19		2.040%(A)	1 Day USOIS(1)(A)		31			9,436			9,405
	1,495		12/31/19		2.107%(A)	1 Day USOIS(1)(A)		(3	)		3,402			3,405
	5,570		03/23/21		2.370%(A)	1 Day USOIS(1)(A)		—			(21,659	)		(21,659	)
	17,565		08/15/24		2.170%(S)	3 Month LIBOR(1)(Q)		(4,680	)		298,233			302,913
	4,670		11/15/24		2.334%(S)	3 Month LIBOR(1)(Q)		14,367			67,446			53,079
	3,785		02/12/25		2.408%(A)	1 Day USOIS(1)(A)		—			(39,839	)		(39,839	)
	590		02/28/25		2.454%(A)	1 Day USOIS(1)(A)		—			(6,271	)		(6,271	)
	1,669		05/31/25		2.998%(S)	3 Month LIBOR(1)(Q)		(1,080	)		(39,408	)		(38,328	)
	1,305		07/31/25		3.105%(S)	3 Month LIBOR(1)(Q)		1,030			(39,387	)		(40,417	)
	4,951		07/31/25		3.109%(S)	3 Month LIBOR(1)(Q)		313			(150,760	)		(151,073	)
	1,920		01/08/26		2.210%(S)	3 Month LIBOR(1)(Q)		70,520			41,823			(28,697	)
	2,102		02/15/27		1.824%(A)	1 Day USOIS(1)(A)		29,738			84,863			55,125
	790		02/15/27		1.899%(A)	1 Day USOIS(1)(A)		984			26,990			26,006
	530		02/15/27		1.965%(A)	1 Day USOIS(1)(A)		—			15,205			15,205
	1,445		02/15/27		2.067%(A)	1 Day USOIS(1)(A)		(911	)		29,093			30,004
	260		05/15/27		2.295%(S)	3 Month LIBOR(1)(Q)		—			7,295			7,295
	884		08/15/28		2.579%(A)	1 Day USOIS(1)(A)		(4,942	)		(13,332	)		(8,390	)
	3,451		08/15/28		2.835%(S)	3 Month LIBOR(1)(Q)		(13,709	)		(38,925	)		(25,216	)
	145		11/15/43		2.659%(S)	3 Month LIBOR(1)(Q)		—			4,812			4,812

							$	91,013		$	601,835		$	510,822

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

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

Balances Reported in the Statement of Assets and Liabilities for OTC Forward Rate Agreements:


	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Rate Agreements	$	—	$	—	$	—	$	(876	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	—	$	2,550,984

SEE NOTES TO FINANCIAL STATEMENTS.

A119



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	17,979,215		$	—
Commercial Mortgage-Backed Securities		—		49,021,294			—
Corporate Bonds		—		2,967,529			—
Municipal Bonds		—		520,155			—
Options Purchased		—		186,858			—
Residential Mortgage-Backed Securities		—		106,479			—
U.S. Government Agency Obligations		—		97,284,884			—
U.S. Treasury Obligations		—		49,112,382			—
Affiliated Mutual Funds		22,600,038		—			—
Other Financial Instruments*
Futures Contracts		794,569		—			—
OTC Forward Rate Agreement		—		—			(876	)
Centrally Cleared Inflation Swap Agreement		—		(21,328	)		—
Centrally Cleared Interest Rate Swap Agreements		—		510,822			—

Total	$	23,394,607	$	217,668,290		$	(876	)

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


U.S. Government Agency Obligations	44.0	%
U.S. Treasury Obligations	22.2
Commercial Mortgage-Backed Securities	22.2
Affiliated Mutual Funds	10.2
Collateralized Loan Obligations	8.1
Diversified Financial Services	1.4
Municipal Bonds	0.2


Options Purchased	0.1	%
Residential Mortgage-Backed Securities	0.1

	108.5
Liabilities in excess of other assets	(8.5	)

	100.0	%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts 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, 2018 as presented in the Statement of Assets and Liabilities:

Asset Derivatives

Liability Derivatives

Derivatives not accounted for as hedging
instruments, carried at fair value

Statement of
Assets and
Liabilities Location

Fair Value

Statement of
Assets and
Liabilities Location

Fair Value

Due from/to broker-variation

Interest rate contracts

margin futures

2,228,660

margin futures

1,434,091

Due from/to broker-variation

Interest rate contracts

margin swaps

870,712

margin swaps

381,218

Interest rate contracts

Unaffiliated investments

186,858

—

SEE NOTES TO FINANCIAL STATEMENTS.

A120



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Asset Derivatives			Liability Derivatives
Derivatives not accounted for as hedging instruments, carried at fair value	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
				Unrealized depreciation on OTC
Interest rate contracts	—	$	—	forward rate agreements	$	876


		$	3,286,230		$	1,816,185

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. 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, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(1)			Options Written		Futures			Swaps
Interest rate contracts	$	(133,216	)	$	10,858	$	(2,276,192	)	$	564,391

(1)	Included in net realized gain (loss) on investment transactions in the Statement of Operations.



Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Purchased(2)		Futures		Forward Rate Agreements			Swaps
Interest rate contracts	$	175,179	$	971,622	$	(876	)	$	359,598

(2)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options Purchased(1)

Options Written(2)

Futures

Contracts—

Long Positions(2)

Futures

Contracts—

Short Positions(2)

$27,419

$35,600

$145,049,909

$47,609,725

Forward Rate

Agreements(2)

Inflation Swap

Agreements(2)

Interest Rate

Swap

Agreements(2)

$420,000

$1,104,000

$419,927,800

(1)

Cost.

(2)	Notional Amount in USD.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Portfolio invested in OTC derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives where the legal right to set-off exists, is presented in the summary below.


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)		Net Amounts of Recognized Assets/ (Liabilities)		Collateral Pledged/ (Received)(2)		Net Amount
Bank of America, N.A.	$	142,020	$	—	$	142,020	$	—	$	142,020
Barclays Bank PLC		40,754		—		40,754		—		40,754

SEE NOTES TO FINANCIAL STATEMENTS.

A121



		*GOVERNMENT INCOME PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/ (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount
J.P. Morgan Securities LLC	$	—	$	(876	)	$	(876	)	$	—	$	(876	)
Morgan Stanley & Co. International PLC		4,084		—			4,084			—		4,084

	$	186,858	$	(876	)	$	185,982		$	—	$	185,982

(1)	Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions and the Portfolio’s OTC derivative exposure by counterparty.

SEE NOTES TO FINANCIAL STATEMENTS.

A122



		*GOVERNMENT INCOME PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018



ASSETS
Investments at value:
Unaffiliated investments (cost $217,180,536)	$	217,178,796
Affiliated investments (cost $23,547,949)		22,600,038
Receivable for investments sold		6,001,228
Dividends and interest receivable		793,553
Due from broker-variation margin futures		122,221
Receivable for Portfolio shares sold		12,842
Prepaid expenses		1,883

Total Assets		246,710,561

LIABILITIES
Payable for investments purchased		24,743,901
Loan payable.		471,000
Payable to custodian		108,386
Accrued expenses and other liabilities		101,285
Due to broker-variation margin swaps		98,039
Management fee payable		75,220
Payable for Portfolio shares repurchased		28,624
Affiliated transfer agent fee payable		980
Unrealized depreciation on OTC forward rate agreements		876

Total Liabilities		25,628,311

NET ASSETS	$	221,082,250

Net assets were comprised of:
Partners Equity	$	221,082,250

Net asset value and redemption price per share $221,082,250 / 17,412,654 outstanding shares of beneficial interest	$	12.70

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income.	$	5,703,489
Affiliated dividend income		727,176
Income from securities lending, net (including affiliated income of $3,351)		3,437

Total income		6,434,102

EXPENSES
Management fee		922,054
Shareholders’ reports		89,818
Custodian and accounting fees		80,704
Audit fee		35,300
Trustees’ fees		12,022
Legal fees and expenses		11,227
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous.		17,613

Total expenses		1,179,420

NET INVESTMENT INCOME (LOSS)		5,254,682

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(315,324))		(3,086,349	)
Futures transactions		(2,276,192	)
Options written transactions		10,858
Swap agreements transactions		564,391

		(4,787,292	)

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $83,454)		(859,523	)
Futures		971,622
Forward rate agreements		(876	)
Swap agreements		359,598
		470,821

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(4,316,471	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	938,211

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	5,254,682		$	4,641,829
Net realized gain (loss) on investment transactions		(4,787,292	)		916,943
Net change in unrealized appreciation (depreciation) on investments		470,821			1,875,901

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.		938,211			7,434,673

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [1,165,919 and 3,422,868 shares, respectively]		14,482,217			42,250,137
Portfolio shares repurchased [3,097,890 and 2,543,772 shares, respectively].		(38,486,314	)		(31,854,985	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(24,004,097	)		10,395,152

CAPITAL CONTRIBUTIONS		246			—

TOTAL INCREASE (DECREASE)		(23,065,640	)		17,829,825
NET ASSETS:
Beginning of year		244,147,890			226,318,065

End of year	$	221,082,250		$	244,147,890

SEE NOTES TO FINANCIAL STATEMENTS.

A123



		*GOVERNMENT MONEY MARKET PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value
REPURCHASE AGREEMENTS(m) — 16.4%
Credit Agricole Corporate & Investment Bank, 3.00%, dated 12/31/18, due 01/02/19 in the amount of $40,006,667				40,000	$	40,000,000
HSBC Securities (USA), Inc., 2.53%, dated 12/27/18, due 01/03/19 in the amount of $20,009,839				20,000		20,000,000
Merrill Lynch, 3.00%, dated 12/31/18, due 01/02/19 in the amount of $11,864,977				11,863		11,863,000
MUFG Securities (USA) LLC, 2.60%, dated 12/26/18, due 01/02/19 in the amount of $16,008,089				16,000		16,000,000

TOTAL REPURCHASE AGREEMENTS						87,863,000


U.S. GOVERNMENT AGENCY OBLIGATIONS — 65.9%
Federal Farm Credit Bank, 1 Month LIBOR + (0.100)%
2.247%(c)		04/04/19		17,000		16,999,567
Federal Farm Credit Bank, 1 Month LIBOR + (0.135)%
2.265%(c)		04/11/19		10,000		9,997,671
2.297%(c)		06/13/19		3,000		2,998,700
Federal Farm Credit Bank, 1 Month LIBOR + (0.050)%
2.337%(c)		01/08/20		7,000		7,000,000
2.472%(c)		05/29/20		6,000		5,995,743
Federal Farm Credit Bank, 1 Month LIBOR + (0.110)%
2.345%(c)		01/15/19		7,000		7,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.065)%
2.390%(c)		12/17/19		7,000		6,999,804
Federal Farm Credit Bank, 1 Month LIBOR + (0.070)%
2.436%(c)		01/28/20		9,000		9,000,000
Federal Farm Credit Bank, 1 Month LIBOR + (0.045)%
2.461%(c)		02/25/20		6,000		6,000,000
Federal Farm Credit Bank, 1 Month LIBOR + 0.160%
2.509%(c)		01/02/19		7,000		7,000,055
Federal Farm Credit Bank, 1 Month LIBOR + 0.180%
2.580%(c)		10/11/19		8,000		8,013,110
Federal Home Loan Bank, 3 Month LIBOR + (0.280)%
2.261%(c)		02/01/19		2,000		2,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.080)%
2.267%(c)		02/04/19		7,000		7,000,000
2.352%(c)		11/13/19		3,000		2,998,616
Federal Home Loan Bank
2.310%(n)		01/04/19		6,000		5,998,865
2.351%(n)		01/25/19		9,000		8,986,170
2.356%(n)		01/09/19		23,000		22,988,142
2.385%(n)		01/18/19		24,000		23,973,421
2.386%(n)		01/23/19		16,000		15,977,071
2.392%(n)		01/16/19		8,000		7,992,150
2.423%(n)		02/22/19		7,000		6,975,986
2.426%(n)		02/13/19		14,000		13,960,184
2.448%(n)		02/20/19		8,000		7,973,278
2.448%(n)		03/06/19		7,000		6,970,133
2.448%(n)		03/20/19		8,000		7,958,400
2.450%(n)		03/13/19		17,000		16,919,464
2.451%(n)		03/15/19		6,000		5,970,764
2.456%(n)		03/22/19		29,000		28,844,867


Interest Rate	Maturity Date		Principal Amount (000)#		Value

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)
2.468%(n)		01/30/19		9,000	$	8,982,990
2.469%(n)		02/01/19		4,000		3,991,900
Federal Home Loan Bank, 1 Month LIBOR + (0.130)%
2.374%(c)		03/22/19		9,000		8,998,632
Federal Home Loan Bank, 1 Month LIBOR + (0.115)%
2.391%(c)		02/25/19		8,000		8,000,000
Federal Home Loan Bank, 1 Month LIBOR + (0.060)%
2.446%(c)		03/28/19		7,000		7,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.220)%
2.457%(c)		08/23/19		7,000		7,000,000
Federal Home Loan Bank, 3 Month LIBOR + (0.230)%
2.508%(c)		12/03/19		8,000		7,998,250
Federal Home Loan Mortgage Corp.
0.950%		01/30/19		6,000		5,993,951
Federal Home Loan Mortgage Corp., 1 Month LIBOR + (0.100)%
2.287%(c)		08/08/19		6,000		6,000,000
2.355%(c)		03/18/19		4,000		4,000,000
Federal Home Loan Mortgage Corp., 3 Month LIBOR + (0.225)%
2.466%(c)		08/27/19		5,000		5,000,000

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS						353,457,884


U.S. TREASURY OBLIGATIONS — 25.1%
U.S. Treasury Bills
2.147%(n)		01/10/19		7,000		6,996,334
2.227%(n)		02/07/19		6,000		5,986,606
2.364%(n)		01/08/19		16,000		15,992,755
2.366%(n)		01/31/19		7,000		6,986,437
2.367%(n)		01/15/19		18,000		17,983,691
2.379%(n)		01/22/19		16,000		15,978,160
2.423%(n)		01/29/19		27,000		26,951,009
2.428%(n)		02/05/19		16,000		15,962,884
2.440%(n)		03/21/19		7,000		6,963,256
2.515%(n)		04/04/19		8,000		7,950,152
2.558%(n)		06/27/19		7,000		6,914,268

TOTAL U.S. TREASURY OBLIGATIONS						134,665,552

TOTAL INVESTMENTS—107.4% (amortized cost $575,986,436)						575,986,436
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.4)%						(39,602,248	)

NET ASSETS — 100.0%					$	536,384,188

See the Glossary for abbreviations used in the annual report.

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

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(m)

Repurchase agreements are collateralized by FHLMC (coupon rate 3.060%, maturity date 06/01/44), FNMA (coupon rate 4.500%, maturity date 08/01/48), GNMA (coupon rates 3.500%-6.000%, maturity dates 09/15/36-10/20/48), and U.S. Treasury Securities (coupon rates 0.625%-2.875%, maturity dates 04/15/23-02/15/46), with the aggregate value, including accrued interest, of $89,638,557.

(n)	Rate shown reflects yield to maturity at purchased date.

SEE NOTES TO FINANCIAL STATEMENTS.

A124



		*GOVERNMENT MONEY MARKET PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Repurchase Agreements	$	—	$	87,863,000	$	—
U.S. Government Agency Obligations		—		353,457,884		—
U.S. Treasury Obligations		—		134,665,552		—

Total	$	—	$	575,986,436	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


U.S. Government Agency Obligations	65.9	%
U.S. Treasury Obligations	25.1
Repurchase Agreements	16.4

	107.4
Liabilities in excess of other assets	(7.4	)

	100.0	%

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Counterparty	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Repurchase Agreements	Credit Agricole Corporate & Investment Bank	$	40,000,000	$	(40,000,000	)	$	—
Repurchase Agreements	HSBC Securities (USA), Inc.		20,000,000		(20,000,000	)		—
Repurchase Agreements	Merrill Lynch		11,863,000		(11,863,000	)		—
Repurchase Agreements	MUFG Securities (USA) LLC		16,000,000		(16,000,000	)		—

		$	87,863,000

(1)	Collateral amount disclosed by the Fund is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A125



		*GOVERNMENT MONEY MARKET PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments, at amortized cost which approximates fair value:	$	488,123,436
Repurchase Agreements (cost $87,863,000)		87,863,000
Cash		44
Interest receivable		242,105
Receivable for Portfolio shares sold		229,541
Prepaid expenses		4,225

Total Assets		576,462,351

LIABILITIES
Payable for investments purchased		36,896,242
Payable for Portfolio shares repurchased		2,857,257
Management fee payable		138,307
Accrued expenses and other liabilities		93,396
Dividends payable		91,981
Affiliated transfer agent fee payable		980

Total Liabilities		40,078,163

NET ASSETS	$	536,384,188

Net assets were comprised of:
Partners Equity	$	536,384,188

Net asset value and redemption price per share $536,384,188 / 53,636,400 outstanding shares of beneficial interest	$	10.00

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
Interest income	$	10,432,103

EXPENSES
Management fee		1,681,228
Shareholders’ reports		98,665
Custodian and accounting fees		78,017
Audit fee		25,100
Trustees’ fees		15,348
Legal fees and expenses.		11,976
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		16,558

Total expenses		1,937,575

NET INVESTMENT INCOME (LOSS)		8,494,528

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions		2,882

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	8,497,410

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	8,494,528		$	3,628,268
Net realized gain (loss) on investment transactions		2,882			8,014

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		8,497,410			3,636,282

DISTRIBUTIONS		(8,508,150	)		(3,635,165	)

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [40,499,240 and 39,436,094 shares, respectively]		404,992,401			394,360,938
Portfolio shares issued in reinvestment of distributions [850,815 and 363,517 shares, respectively]		8,508,150			3,635,165
Portfolio shares repurchased [43,674,368 and 56,260,374 shares, respectively]		(436,743,676	)		(562,603,761	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(23,243,125	)		(164,607,658	)

TOTAL INCREASE (DECREASE)		(23,253,865	)		(164,606,541	)
NET ASSETS:
Beginning of year.		559,638,053			724,244,594

End of year	$	536,384,188		$	559,638,053

SEE NOTES TO FINANCIAL STATEMENTS.

A126



		*HIGH YIELD BOND PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

LONG-TERM INVESTMENTS — 96.3%

ASSET-BACKED SECURITIES — 2.2%

Collateralized Loan Obligations

Adams Mill CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.100%

3.536%(c)

07/15/26

1,661

1,660,054

Flatiron CLO Ltd. (Cayman Islands),

Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 0.890%

3.326%(c)

04/15/27

1,625

1,614,325

Ocean Trails CLO Ltd. (Cayman Islands),

Series 2013-04A, Class AR, 144A, 3 Month LIBOR + 0.900%

3.518%(c)

08/13/25

1,264

1,264,513

OZLM Ltd. (Cayman Islands),

Series 2015-13A, Class A1R, 144A, 3 Month LIBOR + 1.080%

3.600%(c)

07/30/27

2,000

1,989,491

Silvermore CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 1.170%

3.786%(c)

05/15/26

2,021

2,021,006

West CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R, 144A, 3 Month LIBOR + 0.920%

3.365%(c)

07/18/26

1,784

1,782,447

TOTAL ASSET-BACKED SECURITIES
(cost $10,355,463)

10,331,836

BANK LOANS — 3.9%

Chemicals — 0.4%

Solenis International, LP,
Second Lien Initial Term Loan, 3 Month LIBOR + 8.500%,

11.210%(c)

06/18/24

1,781

1,674,375

Commercial Services — 0.5%

Financial & Risk US Holdings, Inc.,
Initial Dollar Term Loan, 1 Month LIBOR + 3.750%,

6.270%(c)

10/01/25

2,650

2,469,800

Computers — 1.2%

McAfee, LLC,
Second Lien Initial Loan, 1 Month LIBOR + 8.500%,

11.010%(c)

09/29/25

2,931

2,901,938

Term B USD Loan, 1 Month LIBOR + 3.750%,

6.270%(c)

09/30/24

3,026

2,940,731

5,842,669

Electric — 0.2%

Calpine Corp.,

Term Loan,

—%(p)

01/15/24

948

897,799

Vistra Operations Co., LLC,

Term Loan,

—%(p)

08/04/23

199

191,212

1,089,011

Insurance — 0.1%

Asurion, LLC,

Term Loan,

—%(p)

11/03/23

594

566,998

Media — 0.5%

Numericable U.S., LLC (France),
USD TLB-13 Incremental Term Loan, 1 Month LIBOR + 4.000%,

6.460%(c)

08/14/26

2,225

2,085,937


Interest Rate	Maturity Date			Principal Amount (000)#		Value

BANK LOANS (continued)
Mining — 0.3%
Aleris International, Inc., Initial Term Loan, 2 Month LIBOR + 4.750%,
7.250%(c)		02/27/23			1,569	$	1,551,121

Retail — 0.2%
EG America, LLC (United Kingdom),
Second Lien Facility (USD), 3 Month LIBOR + 8.000%,
10.810%(c)		04/20/26^			875		857,500

Software — 0.5%
Almonde, Inc.,
Dollar Term Loan (Second Lien), 3 Month LIBOR + 7.250%,
10.050%(c)		06/13/25			725		662,922
Boxer Parent Co., Inc.,
Initial Dollar Term Loan, 3 Month LIBOR + 4.250%,
7.050%(c)		10/02/25			1,230		1,177,110
Kronos, Inc.,
Second Lien Initial Term Loan, 3 Month LIBOR + 8.250%,
10.790%(c)		11/01/24			525		516,469


							2,356,501

TOTAL BANK LOANS (cost $18,987,974)							18,493,912


CORPORATE BONDS — 89.9%
Advertising — 0.1%
Clear Channel International BV,
Gtd. Notes, 144A
8.750%		12/15/20			250		251,875
Mood Media Borrower LLC/Mood Media Co-Issuer, Inc.,
Sec’d. Notes, Cash pays ((6 Month LIBOR + 14.000%)/(1 - Statutory Reserves)) or PIK 8.000% (Cap N/A, Floor 1.000%)
16.501%		07/01/24	(c)		271		266,513


							518,388

Aerospace & Defense — 2.4%
Arconic, Inc.,
Sr. Unsec’d. Notes
5.125%		10/01/24	(a)		375		360,004
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
5.750%		03/15/22			225		209,813
6.125%		01/15/23			250		234,375
7.450%		05/01/34			75		66,938
7.500%		12/01/24			5,175		4,877,437
7.500%		03/15/25			975		918,937
8.750%		12/01/21			2,600		2,678,000
TransDigm UK Holdings PLC,
Gtd. Notes, 144A
6.875%		05/15/26			600		571,500
TransDigm, Inc.,
Gtd. Notes
6.375%		06/15/26			650		604,500
6.500%		07/15/24			625		607,812
6.500%		05/15/25			175		167,125

							11,296,441

SEE NOTES TO FINANCIAL STATEMENTS.

A127



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Agriculture — 0.2%
Vector Group Ltd.,
Sr. Sec’d. Notes, 144A
6.125%		02/01/25			1,075	$	913,750

Auto Manufacturers — 1.6%
Allison Transmission, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		10/01/27			350		311,500
Ford Motor Co.,
Sr. Unsec’d. Notes
4.750%		01/15/43			700		539,830
5.291%		12/08/46			2,525		2,072,977
General Motors Co.,
Sr. Unsec’d. Notes
5.000%		10/01/28			1,425		1,350,230
5.200%		04/01/45			150		124,313
JB Poindexter & Co., Inc.,
Sr. Unsec’d. Notes, 144A
7.125%		04/15/26			525		490,875
Mclaren Finance PLC (United Kingdom),
Sr. Sec’d. Notes, 144A
5.750%		08/01/22			125		113,100
Navistar International Corp.,
Gtd. Notes, 144A
6.625%		11/01/25	(a)		2,575		2,484,875


							7,487,700

Auto Parts & Equipment — 1.8%
Adient Global Holdings Ltd.,
Gtd. Notes, 144A
4.875%		08/15/26	(a)		1,900		1,453,500
American Axle & Manufacturing, Inc.,
Gtd. Notes
6.250%		04/01/25	(a)		725		659,750
6.250%		03/15/26	(a)		2,323		2,084,892
6.500%		04/01/27			100		89,500
Cooper-Standard Automotive, Inc.,
Gtd. Notes, 144A
5.625%		11/15/26			1,575		1,386,000
Dana Financing Luxembourg Sarl,
Gtd. Notes, 144A
6.500%		06/01/26			1,725		1,653,844
IHO Verwaltungs GmbH (Germany),
Sr. Sec’d. Notes, 144A, Cash coupon 4.750% or PIK 5.500%
4.750%		09/15/26			200		173,500
Meritor, Inc.,
Gtd. Notes
6.250%		02/15/24			150		143,250
Titan International, Inc.,
Sr. Sec’d. Notes
6.500%		11/30/23			1,000		895,000


							8,539,236

Banks — 0.4%
CIT Group, Inc.,
Sub. Notes
6.125%		03/09/28	(a)		1,675		1,666,625


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Beverages — 0.2%
Cott Holdings, Inc. (Canada), Gtd. Notes, 144A
5.500%		04/01/25			1,175	$	1,107,438

Building Materials — 1.8%
Cemex SAB de CV (Mexico),
Sr. Sec’d. Notes, 144A
5.700%		01/11/25			320		306,803
Griffon Corp.,
Gtd. Notes
5.250%		03/01/22			2,625		2,375,625
Masonite International Corp.,
Gtd. Notes, 144A
5.750%		09/15/26			625		589,063
NCI Building Systems, Inc.,
Gtd. Notes, 144A
8.000%		04/15/26			1,275		1,166,625
Standard Industries, Inc.,
Sr. Unsec’d. Notes, 144A
4.750%		01/15/28			1,000		840,000
5.375%		11/15/24			275		258,156
Summit Materials LLC/Summit Materials Finance Corp.,
Gtd. Notes
6.125%		07/15/23			500		495,000
8.500%		04/15/22			650		679,250
Gtd. Notes, 144A
5.125%		06/01/25	(a)		475		432,250
U.S. Concrete, Inc.,
Gtd. Notes
6.375%		06/01/24			1,725		1,587,000


							8,729,772

Chemicals — 4.0%
Alpha 2 BV (Germany),
Sr. Unsec’d. Notes, 144A, Cash coupon 8.750% or PIK 9.500%
8.750%		06/01/23	(a)		1,325		1,268,687
Alpha 3 BV/Alpha US Bidco, Inc. (United Kingdom),
Gtd. Notes, 144A
6.250%		02/01/25			450		423,000
Ashland LLC,
Gtd. Notes
6.875%		05/15/43			2,005		1,974,925
Chemours Co. (The),
Gtd. Notes
5.375%		05/15/27			720		648,000
7.000%		05/15/25			900		906,750
Cornerstone Chemical Co.,
Sr. Sec’d. Notes, 144A
6.750%		08/15/24			1,110		974,025
Hexion, Inc.,
Sec’d. Notes, 144A
13.750%		02/01/22			1,225		588,000
Sr. Sec’d. Notes, 144A
10.375%		02/01/22			650		518,375
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A
4.875%		06/01/24			225		203,063
5.000%		05/01/25			200		180,000

SEE NOTES TO FINANCIAL STATEMENTS.

A128



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Chemicals (continued)
5.250%		06/01/27			2,615	$	2,314,275
Olin Corp.,
Sr. Unsec’d. Notes
5.000%		02/01/30			175		153,344
Platform Specialty Products Corp.,
Gtd. Notes, 144A
5.875%		12/01/25	(a)		1,370		1,280,950
PQ Corp.,
Sr. Sec’d. Notes, 144A
6.750%		11/15/22			400		412,000
Rain CII Carbon LLC/CII Carbon Corp.,
Sec’d. Notes, 144A
7.250%		04/01/25			1,755		1,588,275
Starfruit Finco BV/Starfruit US Holdco LLC (Netherlands),
Sr. Unsec’d. Notes, 144A
8.000%		10/01/26	(a)		675		624,375
TPC Group, Inc.,
Sr. Sec’d. Notes, 144A
8.750%		12/15/20			1,435		1,363,250
Tronox Finance PLC,
Gtd. Notes, 144A
5.750%		10/01/25	(a)		1,650		1,336,500
Tronox, Inc.,
Gtd. Notes, 144A
6.500%		04/15/26	(a)		1,480		1,228,400
Venator Finance Sarl/Venator Materials LLC,
Gtd. Notes, 144A
5.750%		07/15/25	(a)		1,460		1,168,000


							19,154,194

Coal — 0.2%
Warrior Met Coal, Inc.,
Sr. Sec’d. Notes, 144A
8.000%		11/01/24			875		868,438

Commercial Services — 3.4%
Laureate Education, Inc.,
Gtd. Notes, 144A
8.250%		05/01/25			3,790		3,894,225
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes, 144A
5.000%		04/15/22			985		940,675
Refinitiv US Holdings, Inc.,
Gtd. Notes, 144A
8.250%		11/15/26			3,595		3,284,931
United Rentals North America, Inc.,
Gtd. Notes
4.875%		01/15/28			4,600		4,036,500
5.500%		05/15/27			1,075		997,063
5.875%		09/15/26			1,400		1,319,500
6.500%		12/15/26			950		935,750
Verscend Escrow Corp.,
Sr. Unsec’d. Notes, 144A
9.750%		08/15/26			800		752,000


							16,160,644


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Computers — 1.7%
Banff Merger Sub, Inc.,
Sr. Unsec’d. Notes, 144A
9.750%		09/01/26			2,855	$	2,612,325
Everi Payments, Inc.,
Gtd. Notes, 144A
7.500%		12/15/25			1,200		1,135,500
Exela Intermediate LLC/Exela Finance, Inc.,
Sr. Sec’d. Notes, 144A
10.000%		07/15/23			160		152,800
NCR Corp.,
Gtd. Notes
5.000%		07/15/22			755		711,587
6.375%		12/15/23			220		213,180
West Corp.,
Gtd. Notes, 144A
8.500%		10/15/25	(a)		2,785		2,186,225
Western Digital Corp.,
Gtd. Notes
4.750%		02/15/26	(a)		1,350		1,171,125


							8,182,742

Distribution/Wholesale — 0.5%
Global Partners LP/GLP Finance Corp.,
Gtd. Notes
6.250%		07/15/22			550		519,750
7.000%		06/15/23			1,300		1,235,000
H&E Equipment Services, Inc.,
Gtd. Notes
5.625%		09/01/25			750		688,125


							2,442,875

Diversified Financial Services — 2.5%
Alliance Data Systems Corp.,
Gtd. Notes, 144A
5.375%		08/01/22			420		409,500
Ally Financial, Inc.,
Gtd. Notes
8.000%		03/15/20			300		310,500
LPL Holdings, Inc.,
Gtd. Notes, 144A
5.750%		09/15/25			1,375		1,289,062
Nationstar Mortgage Holdings, Inc.,
Gtd. Notes, 144A
9.125%		07/15/26			4,650		4,522,125
Navient Corp.,
Sr. Unsec’d. Notes
7.250%		09/25/23			375		344,063
Sr. Unsec’d. Notes, MTN
8.000%		03/25/20			700		711,270
Springleaf Finance Corp.,
Gtd. Notes
6.000%		06/01/20			900		902,250
6.875%		03/15/25			1,100		984,500
7.125%		03/15/26			1,050		937,125
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.,
Sr. Unsec’d. Notes, 144A
6.750%		06/01/25			1,050		971,250

SEE NOTES TO FINANCIAL STATEMENTS.

A129



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Diversified Financial Services (continued)
VFH Parent LLC/Orchestra Co-Issuer, Inc.,
Sec’d. Notes, 144A
6.750%		06/15/22			425	$	413,087

							11,794,732

Electric — 4.3%
Calpine Corp.,
Sr. Unsec’d. Notes
5.375%		01/15/23			1,000		937,500
5.500%		02/01/24			1,800		1,647,000
5.750%		01/15/25	(a)		5,300		4,849,500
GenOn Energy Inc/NRG Americas, Inc.,
Sec’d. Notes, 3 Month LIBOR + 6.500%
9.392%		12/01/23	(a)(d)		947		927,996
GenOn Energy, Inc.,
Sr. Unsec’d. Notes
7.875%		12/31/49^	(d)(kk)		1,900		712,500
9.500%		12/31/49^	(d)(kk)		150		56,250
9.875%		10/15/20^	(a)(d)(kk)		2,275		853,125
Keystone & Conemaugh Pass Through Certificates,
Gtd. Notes, 144A
9.000%		12/01/23			400		400,000
Mirant Corp.,
Bonds, 144A
7.400%		07/15/49^	(d)		250		250
NRG Energy, Inc.,
Gtd. Notes
5.750%		01/15/28			950		912,000
6.625%		01/15/27			375		377,813
7.250%		05/15/26			525		544,688
NRG REMA LLC,
Sec’d. Notes
9.681%		07/02/26			2,150		1,021,912
Red Oak Power LLC,
Sr. Sec’d. Notes, Series B
9.200%		11/30/29			100		125,000
Vistra Energy Corp.,
Gtd. Notes
7.375%		11/01/22			3,100		3,200,750
7.625%		11/01/24			1,741		1,836,755
Vistra Operations Co. LLC,
Gtd. Notes, 144A
5.500%		09/01/26			2,075		1,997,187

							20,400,226

Electronics — 0.2%
Itron, Inc.,
Gtd. Notes, 144A
5.000%		01/15/26			450		411,750
Sensata Technologies BV,
Gtd. Notes, 144A
4.875%		10/15/23			375		364,688

							776,438


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Engineering & Construction — 0.9%
AECOM,
Gtd. Notes
5.125%		03/15/27			925	$	790,875
5.875%		10/15/24			700		689,500
StandardAero Aviation Holdings, Inc.,
Gtd. Notes, 144A
10.000%		07/15/23			875		931,875
TopBuild Corp.,
Gtd. Notes, 144A
5.625%		05/01/26			1,800		1,647,000

							4,059,250

Entertainment — 3.8%
AMC Entertainment Holdings, Inc.,
Gtd. Notes
5.750%		06/15/25	(a)		1,175		1,034,000
5.875%		11/15/26	(a)		1,950		1,672,125
Caesars Resort Collection LLC/CRC Finco, Inc.,
Gtd. Notes, 144A
5.250%		10/15/25			3,450		2,967,000
Churchill Downs, Inc.,
Gtd. Notes, 144A
4.750%		01/15/28			825		746,378
International Game Technology PLC,
Sr. Sec’d. Notes, 144A
6.250%		01/15/27			450		432,000
6.500%		02/15/25			1,400		1,379,000
Jacobs Entertainment, Inc.,
Sec’d. Notes, 144A
7.875%		02/01/24			1,025		1,055,750
National CineMedia LLC,
Sr. Sec’d. Notes
6.000%		04/15/22			325		325,406
Sr. Unsec’d. Notes
5.750%		08/15/26			1,625		1,458,892
Penn National Gaming, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		01/15/27	(a)		1,375		1,230,625
Scientific Games International, Inc.,
Gtd. Notes
6.250%		09/01/20			275		264,000
6.625%		05/15/21			3,725		3,529,437
10.000%		12/01/22			1,200		1,218,000
Sr. Sec’d. Notes, 144A
5.000%		10/15/25			625		557,813

							17,870,426

Environmental Control — 0.2%
Advanced Disposal Services, Inc.,
Gtd. Notes, 144A
5.625%		11/15/24			1,000		977,500

Foods — 1.8%
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC,
Gtd. Notes
5.750%		03/15/25			1,150		1,006,250

SEE NOTES TO FINANCIAL STATEMENTS.

A130



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Foods (continued)
B&G Foods, Inc.,
Gtd. Notes
4.625%		06/01/21	(a)		150	$	146,250
5.250%		04/01/25	(a)		525		488,250
JBS USA LUX SA/JBS USA Finance, Inc.,
Gtd. Notes, 144A
5.750%		06/15/25			1,625		1,551,875
5.875%		07/15/24			1,050		1,034,250
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc.,
Sr. Unsec’d. Notes, 144A
8.500%		06/01/26			750		596,250
Pilgrim’s Pride Corp.,
Gtd. Notes, 144A
5.750%		03/15/25			325		304,688
5.875%		09/30/27			2,275		2,064,562
Post Holdings, Inc.,
Gtd. Notes, 144A
5.625%		01/15/28			1,350		1,242,000

							8,434,375

Forest Products & Paper — 0.0%
Mercer International, Inc. (Canada),
Sr. Unsec’d. Notes
6.500%		02/01/24			125		122,188

Gas — 0.8%
AmeriGas Partners LP/AmeriGas Finance Corp.,
Sr. Unsec’d. Notes
5.500%		05/20/25			1,325		1,212,375
5.625%		05/20/24			400		378,000
5.750%		05/20/27			575		508,875
5.875%		08/20/26			650		593,125
Superior Plus LP/Superior General Partner, Inc. (Canada),
Sr. Unsec’d. Notes, 144A
7.000%		07/15/26			1,075		1,037,375

							3,729,750

Healthcare-Products — 0.3%
Mallinckrodt International Finance SA,
Gtd. Notes
4.750%		04/15/23			850		569,500
Mallinckrodt International Finance SA/Mallinckrodt CB LLC,
Gtd. Notes, 144A
5.500%		04/15/25	(a)		1,250		862,500

							1,432,000

Healthcare-Services — 4.8%
Acadia Healthcare Co., Inc.,
Gtd. Notes
6.125%		03/15/21			235		233,238
6.500%		03/01/24			600		579,000
CHS/Community Health Systems, Inc.,
Gtd. Notes
6.875%		02/01/22			3,743		1,703,065
Sec’d. Notes, 144A
8.125%		06/30/24	(a)		2,242		1,636,660
Sr. Sec’d. Notes
6.250%		03/31/23			925		840,640


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Healthcare-Services (continued)
DaVita, Inc.,
Gtd. Notes
5.000%		05/01/25			325	$	294,938
5.125%		07/15/24			450		421,875
Encompass Health Corp.,
Gtd. Notes
5.125%		03/15/23			200		196,000
Hadrian Merger Sub, Inc.,
Sr. Unsec’d. Notes, 144A
8.500%		05/01/26	(a)		900		810,000
HCA, Inc.,
Gtd. Notes
5.375%		02/01/25			4,550		4,436,250
MEDNAX, Inc.,
Gtd. Notes, 144A
6.250%		01/15/27	(a)		950		916,750
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.,
Gtd. Notes, 144A
9.750%		12/01/26	(a)		1,500		1,421,250
Select Medical Corp.,
Gtd. Notes
6.375%		06/01/21			830		827,925
Surgery Center Holdings, Inc.,
Gtd. Notes, 144A
6.750%		07/01/25	(a)		625		531,250
8.875%		04/15/21			475		473,812
Tenet Healthcare Corp.,
Sr. Sec’d. Notes
4.750%		06/01/20			450		448,920
Sr. Unsec’d. Notes
6.750%		02/01/20			700		699,125
6.750%		06/15/23	(a)		1,125		1,056,094
7.000%		08/01/25	(a)		1,800		1,665,000
8.125%		04/01/22			3,425		3,433,562

							22,625,354

Home Builders — 3.8%
Ashton Woods USA LLC/Ashton Woods Finance Co.,
Sr. Unsec’d. Notes, 144A
6.750%		08/01/25			1,375		1,196,250
Beazer Homes USA, Inc.,
Gtd. Notes
5.875%		10/15/27	(a)		650		513,500
6.750%		03/15/25			850		731,000
7.250%		02/01/23			25		23,250
8.750%		03/15/22			350		350,000
Brookfield Residential Properties, Inc. (Canada),
Gtd. Notes, 144A
6.375%		05/15/25			1,450		1,323,125
KB Home,
Gtd. Notes
7.500%		09/15/22			75		77,063
7.625%		05/15/23			825		835,312
Lennar Corp.,
Gtd. Notes
4.750%		05/30/25			400		375,000
4.875%		12/15/23			325		312,000

SEE NOTES TO FINANCIAL STATEMENTS.

A131



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Home Builders (continued)
5.250%		06/01/26			375	$	353,437
5.375%		10/01/22			400		399,000
M/I Homes, Inc.,
Gtd. Notes
5.625%		08/01/25			375		343,125
6.750%		01/15/21			475		472,625
Mattamy Group Corp. (Canada),
Sr. Unsec’d. Notes, 144A
6.500%		10/01/25			650		581,750
6.875%		12/15/23			900		840,375
Meritage Homes Corp.,
Gtd. Notes
5.125%		06/06/27			1,300		1,105,000
6.000%		06/01/25			1,275		1,201,687
New Home Co., Inc. (The),
Gtd. Notes
7.250%		04/01/22			625		567,187
PulteGroup, Inc.,
Gtd. Notes
5.000%		01/15/27			950		859,750
5.500%		03/01/26			800		770,000
Shea Homes LP/Shea Homes Funding Corp.,
Gtd. Notes, 144A
5.875%		04/01/23			175		157,938
6.125%		04/01/25			175		154,875
Taylor Morrison Communities, Inc.,
Gtd. Notes
6.625%		05/15/22			350		350,438
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A
5.625%		03/01/24			275		261,250
5.875%		04/15/23			1,400		1,351,000
William Lyon Homes, Inc.,
Gtd. Notes
5.875%		01/31/25			1,425		1,211,250
7.000%		08/15/22			1,300		1,287,000

							18,004,187

Home Furnishings — 0.5%
Tempur Sealy International, Inc.,
Gtd. Notes
5.500%		06/15/26	(a)		2,375		2,167,188

Household Products/Wares — 0.2%
Spectrum Brands, Inc.,
Gtd. Notes
5.750%		07/15/25			1,050		997,185

Housewares — 0.1%
Scotts Miracle-Gro Co. (The),
Gtd. Notes
5.250%		12/15/26			785		714,350

Internet — 0.6%
Zayo Group LLC/Zayo Capital, Inc.,
Gtd. Notes
6.000%		04/01/23			295		279,545


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Internet (continued)
Gtd. Notes, 144A
5.750%		01/15/27			3,065	$	2,735,512

							3,015,057

Iron/Steel — 0.8%
AK Steel Corp.,
Gtd. Notes
6.375%		10/15/25	(a)		690		531,300
7.000%		03/15/27	(a)		550		429,000
Cleveland-Cliffs, Inc.,
Gtd. Notes
5.750%		03/01/25	(a)		2,195		1,975,500
United States Steel Corp.,
Sr. Unsec’d. Notes
6.250%		03/15/26			800		700,000

							3,635,800

Lodging — 0.7%
Boyd Gaming Corp.,
Gtd. Notes
6.000%		08/15/26			575		537,625
Interval Acquisition Corp.,
Gtd. Notes
5.625%		04/15/23			350		349,125
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp.,
Sec’d. Notes, 144A
10.250%		11/15/22			775		821,500
Sr. Sec’d. Notes, 144A
6.750%		11/15/21			700		707,000
MGM Resorts International,
Gtd. Notes
5.750%		06/15/25	(a)		1,000		965,000

							3,380,250

Machinery-Diversified — 0.6%
ATS Automation Tooling Systems, Inc. (Canada),
Gtd. Notes, 144A
6.500%		06/15/23			600		604,500
Cloud Crane LLC,
Sec’d. Notes, 144A
10.125%		08/01/24			1,725		1,772,438
RBS Global, Inc./Rexnord LLC,
Gtd. Notes, 144A
4.875%		12/15/25			500		453,750

							2,830,688

Media — 9.7%
Altice France SA (France),
Sr. Sec’d. Notes, 144A
7.375%		05/01/26			2,010		1,844,175
8.125%		02/01/27			2,050		1,932,125
AMC Networks, Inc.,
Gtd. Notes
4.750%		08/01/25			900		816,750
Cablevision Systems Corp.,
Sr. Unsec’d. Notes
8.000%		04/15/20			330		334,125

SEE NOTES TO FINANCIAL STATEMENTS.

A132



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (continued)
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes, 144A
5.000%		02/01/28			1,905	$	1,752,600
5.125%		05/01/23			300		291,750
5.750%		02/15/26			200		196,000
5.875%		05/01/27			3,275		3,176,750
Clear Channel Worldwide Holdings, Inc.,
Gtd. Notes, Series A
6.500%		11/15/22			1,980		1,960,200
7.625%		03/15/20	(a)		1,575		1,539,563
Gtd. Notes, Series B
7.625%		03/15/20			5,050		4,923,750
CSC Holdings LLC,
Gtd. Notes, 144A
5.375%		02/01/28			1,275		1,172,592
Sr. Unsec’d. Notes, 144A
5.125%		12/15/21			2,315		2,268,700
5.125%		12/15/21			2,100		2,058,000
7.500%		04/01/28			2,985		2,977,537
DISH DBS Corp.,
Gtd. Notes
5.875%		07/15/22			300		276,000
5.875%		11/15/24			755		607,775
7.750%		07/01/26	(a)		8,315		6,880,662
Gray Escrow, Inc.,
Sr. Unsec’d. Notes, 144A
7.000%		05/15/27			1,000		973,170
Gray Television, Inc.,
Gtd. Notes, 144A
5.875%		07/15/26			1,335		1,244,621
Midcontinent Communications/Midcontinent Finance Corp.,
Gtd. Notes, 144A
6.875%		08/15/23			675		691,875
Nexstar Broadcasting, Inc.,
Gtd. Notes, 144A
5.625%		08/01/24	(a)		1,015		949,025
Quebecor Media, Inc. (Canada),
Sr. Unsec’d. Notes
5.750%		01/15/23			1,075		1,080,375
Radiate Holdco LLC/Radiate Finance, Inc.,
Sr. Unsec’d. Notes, 144A
6.625%		02/15/25	(a)		375		324,375
6.875%		02/15/23			1,735		1,574,512
Sinclair Television Group, Inc.,
Gtd. Notes, 144A
5.125%		02/15/27	(a)		250		220,625
5.625%		08/01/24	(a)		380		356,250
5.875%		03/15/26	(a)		275		256,438
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A
5.125%		05/15/23			1,240		1,112,900
5.125%		02/15/25	(a)		1,260		1,105,650
6.750%		09/15/22			200		199,000
UPCB Finance IV Ltd. (Netherlands),
Sr. Sec’d. Notes, 144A
5.375%		01/15/25			475		444,182


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Media (continued)
Ziggo Bond Co. BV (Netherlands),
Sr. Unsec’d. Notes, 144A
6.000%		01/15/27			475	$	415,625

							45,957,677

Metal Fabricate/Hardware — 0.7%
Novelis Corp.,
Gtd. Notes, 144A
5.875%		09/30/26			1,660		1,469,100
6.250%		08/15/24			100		94,000
TriMas Corp.,
Gtd. Notes, 144A
4.875%		10/15/25			337		310,883
Zekelman Industries, Inc.,
Sr. Sec’d. Notes, 144A
9.875%		06/15/23			1,185		1,247,212

							3,121,195

Mining — 2.1%
Constellium NV,
Gtd. Notes, 144A
5.875%		02/15/26	(a)		1,175		1,045,750
6.625%		03/01/25	(a)		1,310		1,215,025
First Quantum Minerals Ltd. (Zambia),
Gtd. Notes, 144A
6.500%		03/01/24			1,320		1,095,600
7.250%		04/01/23			200		176,000
7.500%		04/01/25			1,525		1,258,125
Freeport-McMoRan, Inc.,
Gtd. Notes
3.875%		03/15/23			2,500		2,312,500
4.550%		11/14/24			285		262,912
IAMGOLD Corp. (Canada),
Gtd. Notes, 144A
7.000%		04/15/25			1,340		1,259,600
International Wire Group, Inc.,
Sec’d. Notes, 144A
10.750%		08/01/21			575		511,750
New Gold, Inc. (Canada),
Gtd. Notes, 144A
6.250%		11/15/22			955		802,200

							9,939,462

Miscellaneous Manufacturing — 0.2%
FXI Holdings, Inc.,
Sr. Sec’d. Notes, 144A
7.875%		11/01/24	(a)		925		793,188

Office/Business Equipment — 0.1%
CDW LLC/CDW Finance Corp.,
Gtd. Notes
5.500%		12/01/24			620		612,250

Oil & Gas — 9.3%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.,
Gtd. Notes
7.875%		12/15/24	(a)		2,250		1,395,000

SEE NOTES TO FINANCIAL STATEMENTS.

A133



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (continued)
Antero Resources Corp.,
Gtd. Notes
5.000%		03/01/25	(a)		1,300	$	1,176,500
5.375%		11/01/21			650		627,250
5.625%		06/01/23			525		498,750
Ascent Resources Utica Holdings LLC/ARU Finance Corp.,
Sr. Unsec’d. Notes, 144A
7.000%		11/01/26			1,600		1,448,000
10.000%		04/01/22	(a)		1,675		1,713,190
Centennial Resource Production LLC,
Gtd. Notes, 144A
5.375%		01/15/26			850		790,500
Chesapeake Energy Corp.,
Gtd. Notes
8.000%		06/15/27	(a)		4,225		3,549,000
Citgo Holding, Inc.,
Sr. Sec’d. Notes, 144A
10.750%		02/15/20			3,950		4,029,000
CNX Resources Corp.,
Gtd. Notes
5.875%		04/15/22			3,025		2,904,000
CrownRock LP/CrownRock Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		10/15/25			1,175		1,057,500
Denbury Resources, Inc.,
Sec’d. Notes, 144A
9.000%		05/15/21			350		325,500
Diamond Offshore Drilling, Inc.,
Sr. Unsec’d. Notes
7.875%		08/15/25	(a)		425		352,750
Diamondback Energy, Inc.,
Gtd. Notes
5.375%		05/31/25			375		365,625
Endeavor Energy Resources LP/EER Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.750%		01/30/28			825		841,665
Ensco PLC,
Sr. Unsec’d. Notes
7.750%		02/01/26			900		666,000
Extraction Oil & Gas, Inc.,
Gtd. Notes, 144A
5.625%		02/01/26			1,600		1,168,000
7.375%		05/15/24			950		783,750
Halcon Resources Corp.,
Gtd. Notes
6.750%		02/15/25	(a)		275		200,750
Hilcorp Energy I LP/Hilcorp Finance Co.,
Sr. Unsec’d. Notes, 144A
5.000%		12/01/24			75		66,375
5.750%		10/01/25			1,275		1,134,750
6.250%		11/01/28			900		792,000
MEG Energy Corp. (Canada),
Gtd. Notes, 144A
6.375%		01/30/23			3,000		2,835,000
7.000%		03/31/24			875		835,625


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Oil & Gas (continued)
Nabors Industries, Inc.,
Gtd. Notes
5.750%		02/01/25	(a)		1,050	$	794,923
Newfield Exploration Co.,
Sr. Unsec’d. Notes
5.375%		01/01/26			750		735,000
5.750%		01/30/22			250		252,500
Petrobras Global Finance BV (Brazil),
Gtd. Notes
5.299%		01/27/25			250		238,750
6.125%		01/17/22			34		34,893
7.375%		01/17/27			350		359,625
8.750%		05/23/26			425		476,000
Precision Drilling Corp. (Canada),
Gtd. Notes
7.750%		12/15/23			525		483,656
Gtd. Notes, 144A
7.125%		01/15/26	(a)		750		645,000
QEP Resources, Inc.,
Sr. Unsec’d. Notes
5.250%		05/01/23			400		354,000
5.375%		10/01/22			325		295,750
Range Resources Corp.,
Gtd. Notes
4.875%		05/15/25	(a)		525		430,500
5.000%		03/15/23	(a)		200		176,000
5.875%		07/01/22			2,125		1,965,625
Seven Generations Energy Ltd. (Canada),
Gtd. Notes, 144A
5.375%		09/30/25			650		581,750
Seventy Seven Energy, Inc.,
Sr. Unsec’d. Notes
6.500%		07/15/22	^(d)		275		3
Sunoco LP/Sunoco Finance Corp.,
Gtd. Notes
4.875%		01/15/23			825		804,375
5.500%		02/15/26			850		805,375
5.875%		03/15/28			100		93,538
Transocean Pontus Ltd.,
Sr. Sec’d. Notes, 144A
6.125%		08/01/25			400		386,000
Transocean, Inc.,
Gtd. Notes, 144A
7.250%		11/01/25			1,700		1,483,250
7.500%		01/15/26			575		504,563
WPX Energy, Inc.,
Sr. Unsec’d. Notes
5.250%		09/15/24			400		362,000
5.750%		06/01/26			400		362,000
6.000%		01/15/22			675		656,437
8.250%		08/01/23			950		992,750

							43,830,743

Oil & Gas Services — 0.1%
Nine Energy Service, Inc.,
Sr. Unsec’d. Notes, 144A
8.750%		11/01/23			400		380,000

SEE NOTES TO FINANCIAL STATEMENTS.

A134



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Packaging & Containers — 1.3%
ARD Finance SA (Luxembourg),
Sr. Sec’d. Notes, Cash coupon 7.125% or PIK 7.875%
7.125%		09/15/23			2,250	$	2,019,375
ARD Securities Finance SARL (Luxembourg),
Sr. Sec’d. Notes, 144A, Cash coupon 8.750% or PIK 8.750%
8.750%		01/31/23			775		654,986
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland),
Gtd. Notes, 144A
7.250%		05/15/24			1,725		1,720,687
Sr. Sec’d. Notes, 144A
4.625%		05/15/23			400		382,000
Owens-Brockway Glass Container, Inc.,
Gtd. Notes, 144A
6.375%		08/15/25	(a)		350		346,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu,
Gtd. Notes, 144A
7.000%		07/15/24	(a)		900		857,250

							5,980,798

Pharmaceuticals — 1.0%
Bausch Health Cos., Inc.,
Gtd. Notes, 144A
5.500%		03/01/23			950		869,250
6.125%		04/15/25	(a)		375		327,187
Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
6.000%		07/15/23			225		171,563
6.000%		02/01/25			1,200		861,000
Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A
5.375%		01/15/23			1,100		836,000
NVA Holdings, Inc.,
Gtd. Notes, 144A
6.875%		04/01/26			1,825		1,633,375

							4,698,375

Pipelines — 2.5%
Antero Midstream Partners LP/Antero Midstream Finance Corp.,
Gtd. Notes
5.375%		09/15/24			375		349,688
CNX Midstream Partners LP/CNX Midstream Finance Corp.,
Sr. Unsec’d. Notes, 144A
6.500%		03/15/26			675		641,250
DCP Midstream Operating LP,
Gtd. Notes
5.600%		04/01/44			550		475,750
Gtd. Notes, 144A
6.450%		11/03/36			825		800,250
Energy Transfer LP,
Sr. Sec’d. Notes
7.500%		10/15/20			900		936,000
Genesis Energy LP/Genesis Energy Finance Corp.,
Gtd. Notes
6.000%		05/15/23			250		231,250


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)
Pipelines (continued)
NGPL PipeCo LLC,
Sr. Unsec’d. Notes, 144A
4.875%		08/15/27			700	$	659,750
7.768%		12/15/37			925		1,054,500
Rockies Express Pipeline LLC,
Sr. Unsec’d. Notes, 144A
6.875%		04/15/40			2,619		2,736,855
7.500%		07/15/38			450		508,500
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.,
Gtd. Notes, 144A
5.500%		09/15/24			875		859,687
5.500%		01/15/28			1,725		1,656,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
Gtd. Notes
4.250%		11/15/23			475		439,969
6.750%		03/15/24			675		685,125

							12,034,574

Real Estate — 1.0%
Five Point Operating Co. LP/Five Point Capital Corp.,
Gtd. Notes, 144A
7.875%		11/15/25			1,175		1,133,875
Greystar Real Estate Partners LLC,
Sr. Sec’d. Notes, 144A
5.750%		12/01/25			1,525		1,490,687
Hunt Cos., Inc.,
Sr. Sec’d. Notes, 144A
6.250%		02/15/26			1,700		1,452,480
Realogy Group LLC/Realogy Co-Issuer Corp.,
Gtd. Notes, 144A
4.875%		06/01/23	(a)		600		522,000
WeWork Cos., Inc.,
Gtd. Notes, 144A
7.875%		05/01/25	(a)		275		244,063

							4,843,105

Real Estate Investment Trusts (REITs) — 1.3%
GLP Capital LP/GLP Financing II, Inc.,
Gtd. Notes
5.375%		04/15/26			1,150		1,137,361
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.,
Gtd. Notes
4.500%		09/01/26			775		701,375
4.500%		01/15/28			1,175		1,028,125
MPT Operating Partnership LP/MPT Finance Corp.,
Gtd. Notes
5.000%		10/15/27			1,075		982,953
5.250%		08/01/26			575		541,938
6.375%		03/01/24			550		563,750
Sabra Health Care LP,
Gtd. Notes
5.125%		08/15/26			400		370,708
Senior Housing Properties Trust,
Sr. Unsec’d. Notes
6.750%		12/15/21			800		838,275

							6,164,485

SEE NOTES TO FINANCIAL STATEMENTS.

A135



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date			Principal Amount (000)#		Value

CORPORATE BONDS (continued)

Retail — 5.0%
Beacon Roofing Supply, Inc.,
Gtd. Notes
6.375%		10/01/23			500	$	495,000
Gtd. Notes, 144A
4.875%		11/01/25	(a)		1,350		1,186,312
Brinker International, Inc.,
Gtd. Notes, 144A
5.000%		10/01/24			475		446,500
Caleres, Inc.,
Gtd. Notes
6.250%		08/15/23			725		725,000
CEC Entertainment, Inc.,
Gtd. Notes
8.000%		02/15/22			2,000		1,750,000
Ferrellgas LP/Ferrellgas Finance Corp.,
Gtd. Notes
6.750%		06/15/23	(a)		850		684,250
Sr. Unsec’d. Notes
6.500%		05/01/21	(a)		275		225,500
6.750%		01/15/22	(a)		875		713,125
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes
8.625%		06/15/20	(a)		1,450		1,036,750
8.625%		06/15/20	(a)		1,350		965,250
Golden Nugget, Inc.,
Gtd. Notes, 144A
8.750%		10/01/25			2,275		2,184,000
Sr. Unsec’d. Notes, 144A
6.750%		10/15/24			1,225		1,154,562
Hot Topic, Inc.,
Sr. Sec’d. Notes, 144A
9.250%		06/15/21			546		535,080
L Brands, Inc.,
Gtd. Notes
5.250%		02/01/28			650		555,750
6.750%		07/01/36			1,775		1,446,625
6.875%		11/01/35			1,450		1,211,040
PetSmart, Inc.,
Gtd. Notes, 144A
7.125%		03/15/23			1,275		742,688
Sr. Sec’d. Notes, 144A
5.875%		06/01/25	(a)		2,500		1,806,250
PF Chang’s China Bistro, Inc.,
Gtd. Notes, 144A
10.250%		06/30/20	(a)		825		754,875
Rite Aid Corp.,
Gtd. Notes, 144A
6.125%		04/01/23			2,875		2,271,250
Sally Holdings LLC/Sally Capital, Inc.,
Gtd. Notes
5.625%		12/01/25	(a)		1,550		1,426,000
Suburban Propane Partners LP/Suburban Energy Finance Corp.,
Sr. Unsec’d. Notes
5.500%		06/01/24			1,350		1,255,500

							23,571,307


Interest Rate	Maturity Date	Principal Amount (000)#		Value

CORPORATE BONDS (continued)

Semiconductors — 0.3%
Micron Technology, Inc.,
Sr. Unsec’d. Notes
5.500%	02/01/25		820	$	802,575
Sensata Technologies UK Financing Co. PLC,
Gtd. Notes, 144A
6.250%	02/15/26		650		653,250

					1,455,825


Software — 2.2%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.,
Sr. Unsec’d. Notes, 144A
5.750%	03/01/25		600		559,500
Infor Software Parent LLC/Infor Software Parent, Inc.,
Sr. Unsec’d. Notes, Cash coupon 7.125% or PIK 7.875%, 144A
7.125%	05/01/21(a)		3,280		3,189,800
Infor US, Inc.,
Gtd. Notes
6.500%	05/15/22		4,060		3,926,629
Informatica LLC,
Sr. Unsec’d. Notes, 144A
7.125%	07/15/23		320		311,645
RP Crown Parent LLC,
Sr. Sec’d. Notes, 144A
7.375%	10/15/24		2,305		2,322,287

					10,309,861


Telecommunications — 6.6%
Anixter, Inc.,
Gtd. Notes
5.500%	03/01/23		250		249,375
Gtd. Notes, 144A
6.000%	12/01/25		750		744,375
C&W Senior Financing DAC (Ireland),
Sr. Unsec’d. Notes, 144A
6.875%	09/15/27		1,125		1,032,187
CommScope Technologies LLC,
Gtd. Notes, 144A
5.000%	03/15/27		570		461,700
6.000%	06/15/25		1,285		1,169,350
Digicel Group Ltd. (Jamaica),
Sr. Unsec’d. Notes, 144A
7.125%	04/01/22		200		93,000
8.250%	09/30/20		1,350		911,250
Digicel Ltd. (Jamaica),
Gtd. Notes, 144A
6.750%	03/01/23		1,700		1,345,125
Sr. Unsec’d. Notes, 144A
6.000%	04/15/21(a)		315		282,713
GTT Communications, Inc.,
Gtd. Notes, 144A
7.875%	12/31/24(a)		2,440		2,110,600
Intelsat Jackson Holdings SA (Luxembourg),
Gtd. Notes, 144A
9.750%	07/15/25		1,920		1,925,376
Level 3 Financing, Inc.,
Gtd. Notes
5.250%	03/15/26		335		306,525

SEE NOTES TO FINANCIAL STATEMENTS.

A136



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (continued)
Telecommunications (continued)
Northwestern Bell Telephone,
Sr. Unsec’d. Notes
7.750%		05/01/30		100	$	105,752
ORBCOMM, Inc.,
Sr. Sec’d. Notes, 144A
8.000%		04/01/24		1,700		1,734,000
Sprint Capital Corp.,
Gtd. Notes
6.875%		11/15/28		3,625		3,425,625
8.750%		03/15/32		2,960		3,122,800
Sprint Corp.,
Gtd. Notes
7.125%		06/15/24		795		787,320
7.625%		02/15/25		2,125		2,125,000
ViaSat, Inc.,
Sr. Unsec’d. Notes, 144A
5.625%		09/15/25		1,045		961,400
Wind Tre SpA (Italy),
Sr. Sec’d. Notes, 144A
5.000%		01/20/26		7,165		5,891,063
Xplornet Communications, Inc. (Canada),
Gtd. Notes, 144A, Cash coupon 9.625% or PIK 10.625%
9.625%		06/01/22		2,773		2,704,732

						31,489,268

Textiles — 0.1%
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC (China),
Sr. Sec’d. Notes, 144A
7.500%		05/01/25		750		701,625

Transportation — 0.3%
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc. (Greece),
Sr. Sec’d. Notes, 144A
7.375%		01/15/22		600		378,000
XPO Logistics, Inc.,
Gtd. Notes, 144A
6.125%		09/01/23		200		192,900
6.500%		06/15/22		1,105		1,095,331

						1,666,231

Trucking & Leasing — 0.9%
Avolon Holdings Funding Ltd. (Ireland),
Gtd. Notes, 144A
5.500%		01/15/23		1,850		1,794,500
Park Aerospace Holdings Ltd. (Ireland),
Gtd. Notes, 144A
4.500%		03/15/23		950		888,250
5.250%		08/15/22		400		387,000
5.500%		02/15/24		1,225		1,182,125

						4,251,875

TOTAL CORPORATE BONDS (cost $451,415,231)						425,837,031

Interest
Rate

Maturity
Date

Principal
Amount
(000)#

Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.0%

Adjustable Rate Mortgage Trust,

Series 2005-07, Class 1A1

3.948%(cc)

10/25/35

4,677

Alternative Loan Trust,

Series 2005-43, Class 4A3

3.863%(cc)

10/25/35

2,624

Series 2006-HY13, Class 4A1

3.888%(cc)

02/25/37

3,591

Series 2006-OA09, Class 2A1A, 1 Month LIBOR + 0.210%

2.680%(c)

07/20/46

3,198

American Home Mortgage Assets Trust,

Series 2006-04, Class 1A12, 1 Month LIBOR + 0.210%

2.716%(c)

10/25/46

18,082

American Home Mortgage Investment Trust,

Series 2005-02, Class 4A1, 6 Month LIBOR + 1.500%

4.385%(c)

09/25/45

1,285

Banc of America Alternative Loan Trust,

Series 2005-04, Class CB6, 1 Month LIBOR + 0.400%

2.906%(c)

05/25/35

1,779

Banc of America Funding Trust,

Series 2006-B, Class 2A1

3.767%(cc)

03/20/36

6,354

CHL Mortgage Pass-Through Trust,

Series 2005-02, Class 2A1, 1 Month LIBOR + 0.640%

3.146%(c)

03/25/35

5,238

Citigroup Mortgage Loan Trust,

Series 2007-10, Class 22AA

4.238%(cc)

09/25/37

16,064

HarborView Mortgage Loan Trust,

Series 2006-05, Class 2A1A, 1 Month LIBOR + 0.180%

2.650%(c)

07/19/46

5,093

IndyMac INDX Mortgage Loan Trust,

Series 2006-AR12, Class A1, 1 Month LIBOR + 0.190%

2.696%(c)

09/25/46

4,973

JPMorgan Mortgage Trust,

Series 2007-S03, Class 1A96

6.000%

08/25/37

12,651

MASTR Adjustable Rate Mortgages Trust,

Series 2006-OA01, Class 1A1, 1 Month LIBOR + 0.210%

2.716%(c)

04/25/46

3,579

RALI Series Trust,

Series 2006-QA02, Class 3A1

5.708%(cc)

02/25/36

14,848

Series 2007-QS04, Class 2A1, 1 Month LIBOR + 0.330%

2.836%(c)

03/25/37

3,974

Residential Asset Securitization Trust,

Series 2007-A05, Class 2A3

6.000%

05/25/37

3,265

SunTrust Alternative Loan Trust,

Series 2006-01F, Class 3A, 1 Month LIBOR + 0.350%

2.856%(c)

04/25/36

4,619

WaMu Mortgage Pass-Through Certificates Series Trust,

Series 2007-HY01, Class 2A3

3.474%(cc)

02/25/37

3,605

SEE NOTES TO FINANCIAL STATEMENTS.

A137



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Interest Rate	Maturity Date		Principal Amount (000)#		Value

RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued)
Series 2007-HY01, Class 4A1
3.600%(cc)		02/25/37		5	$	4,531

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (cost $116,578)						124,030


			Shares

COMMON STOCKS — 0.2%
Independent Power & Renewable Electricity Producers — 0.2%
Vistra Energy Corp.*(a)				44,042		1,008,121

Media — 0.0%
Mood Media Corp.*^				88,166		17,633
Mood Media Corp.^				71,972		14,395

						32,028

Oil, Gas & Consumable Fuels — 0.0%
Ascent Resources - Marcellus LLC (Class A Stock)^				4,593		12,860
Frontera Energy Corp. (Colombia)*				7,600		74,038

						86,898

TOTAL COMMON STOCKS (cost $1,226,943)						1,127,047


PREFERRED STOCKS — 0.1%
Capital Markets — 0.1%
Goldman Sachs Group, Inc. (The), Series K, 6.375%				11,850		300,990

Construction Materials — 0.0%
New Millennium Homes LLC^				408		10,621

Media — 0.0%
Adelphia Communications Corp.^				700		0

TOTAL PREFERRED STOCKS (cost $296,917)						311,611


			Units

*WARRANTS — 0.0%**
Oil, Gas & Consumable Fuels
Ascent Resources - Marcellus LLC^, expiring 03/30/23				30,044		3,305
Ascent Resources - Marcellus LLC^, expiring 03/30/23				23,368		1,168

						4,473

TOTAL WARRANTS (cost $6,843)						4,473

TOTAL LONG-TERM INVESTMENTS (cost $482,405,949)						456,229,940


	Shares		Value

SHORT-TERM INVESTMENTS — 18.7%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		11,299,269	$	11,299,269
PGIM Institutional Money Market Fund (cost $77,048,390; includes $76,887,842 of cash collateral for securities on loan)(b)(w)		77,051,864		77,044,159

TOTAL SHORT-TERM INVESTMENTS (cost $88,347,659)				88,343,428

TOTAL INVESTMENTS—115.0% (cost $570,753,608)				544,573,368
LIABILITIES IN EXCESS OF OTHER ASSETS(z) — (15.0)%				(70,882,488	)

NET ASSETS — 100.0%			$	473,690,880

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

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

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $2,539,610 and 0.5% of net assets.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $74,119,952; cash collateral of $76,887,842 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(c)	Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2018.

(cc)

(d)	Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(kk)	Represents an escrow position to be exchanged for an equity security as part of a bond restructuring.

(p)	Interest rate not available as of December 31, 2018.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)	Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

SEE NOTES TO FINANCIAL STATEMENTS.

A138



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
82		2 Year U.S. Treasury Notes		Mar. 2019	$	17,409,625	$	118,754
56		5 Year U.S. Treasury Notes		Mar. 2019		6,422,500		108,954
136		10 Year U.S. Treasury Notes		Mar. 2019		16,594,125		245,312
6		30 Year U.S. Ultra Treasury Bonds		Mar. 2019		963,938		50,780

								523,800

Short Position:
5		20 Year U.S. Treasury Bonds		Mar. 2019		730,000		(31,258	)

							$	492,542

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency		Securities Market Value
Citigroup Global Markets Inc.	$	390,000	$	—

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Asset-Backed Securities
Collateralized Loan Obligations	$	—	$	10,331,836	$	—
Bank Loans		—		17,636,412		857,500
Corporate Bonds.		—		424,214,903		1,622,128
Residential Mortgage-Backed Securities.		—		124,030		—
Common Stocks		1,082,159		—		44,888
Preferred Stocks		300,990		—		10,621
Warrants.		—		—		4,473
Affiliated Mutual Funds		88,343,428		—		—
Other Financial Instruments*
Futures Contracts		492,542		—		—

Total	$	90,219,119	$	452,307,181	$	2,539,610

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (16.2% represents investments purchased with collateral from securities on loan)	18.7	%
Media	10.2


Oil & Gas	9.3	%
Telecommunications	6.6
Retail	5.2

SEE NOTES TO FINANCIAL STATEMENTS.

A139



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Healthcare-Services	4.8	%
Electric	4.5
Chemicals	4.4
Commercial Services	3.9
Home Builders	3.8
Entertainment	3.8
Computers	2.9
Software	2.7
Pipelines	2.5
Diversified Financial Services	2.5
Mining	2.4
Aerospace & Defense	2.4
Collateralized Loan Obligations	2.2
Building Materials	1.8
Auto Parts & Equipment	1.8
Foods	1.8
Auto Manufacturers	1.6
Real Estate Investment Trusts (REITs)	1.3
Packaging & Containers	1.3
Real Estate	1.0
Pharmaceuticals	1.0
Trucking & Leasing	0.9
Engineering & Construction	0.9
Gas	0.8
Iron/Steel	0.8
Lodging	0.7
Metal Fabricate/Hardware	0.7
Internet	0.6
Machinery-Diversified	0.6
Distribution/Wholesale	0.5
Home Furnishings	0.5


Banks	0.4	%
Transportation	0.3
Semiconductors	0.3
Healthcare-Products	0.3
Beverages	0.2
Independent Power & Renewable Electricity Producers	0.2
Household Products/Wares	0.2
Environmental Control	0.2
Agriculture	0.2
Coal	0.2
Miscellaneous Manufacturing	0.2
Electronics	0.2
Housewares	0.1
Textiles	0.1
Office/Business Equipment	0.1
Insurance	0.1
Advertising	0.1
Oil & Gas Services	0.1
Capital Markets	0.1
Residential Mortgage-Backed Securities	0.0	*
Forest Products & Paper	0.0	*
Oil, Gas & Consumable Fuels	0.0	*
Construction Materials	0.0	*

	115.0
Liabilities in excess of other assets	(15.0	)

	100.0	%

*	Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are equity contracts risk and interest rate contracts 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, 2018 as presented in the Statement of Assets and Liabilities:


Derivatives not accounted for as hedging instruments, carried at fair value	Asset Derivatives				Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value			Statement of Assets and Liabilities Location	Fair Value
Equity contracts	Unaffiliated investments	$	4,473		—	$	—
	Due from/to broker-variation				Due from/to broker-variation
Interest rate contracts	margin futures		523,800	*	margin futures		31,258	*

		$	528,273			$	31,258

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

SEE NOTES TO FINANCIAL STATEMENTS.

A140



		*HIGH YIELD BOND PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Interest rate contracts	$	(1,348,118	)



Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Warrants(1)			Futures
Equity contracts	$	(2,370	)	$	—
Interest rate contracts		—			495,649
Total.	$	(2,370	)	$	495,649

(1)	Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:


		Futures Contracts— Long Positions(1)		Futures Contracts— Short Positions(1)
		$38,951,369		$146,000

(1)	Notional Amount in USD.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	74,119,952	$	(74,119,952	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A141



		*HIGH YIELD BOND PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $74,119,952:
Unaffiliated investments (cost $482,405,949)	$	456,229,940
Affiliated investments (cost $88,347,659)		88,343,428
Cash		46,999
Foreign currency, at value (cost $43,688)		43,078
Dividends and interest receivable		8,085,986
Deposits with broker for centrally cleared/exchange-traded derivatives		390,000
Receivable for Portfolio shares sold		158,249
Due from broker-variation margin futures		79,875
Receivable for investments sold		14,651
Tax reclaim receivable		3,350
Prepaid expenses		5,565

Total Assets		553,401,121

LIABILITIES
Payable to broker for collateral for securities on loan		76,887,842
Payable for investments purchased		2,167,067
Accrued expenses and other liabilities		255,431
Management fee payable		232,759
Payable for Portfolio shares repurchased		162,891
Payable to affiliate		3,271
Affiliated transfer agent fee payable		980

Total Liabilities		79,710,241

NET ASSETS	$	473,690,880

Net assets were comprised of: Partners Equity	$	473,690,880

Net asset value and redemption price per share $473,690,880 / 95,544,007 outstanding shares of beneficial interest	$	4.96

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Interest income	$	34,484,632
Income from securities lending, net (including affiliated income of $431,941)		528,680
Affiliated dividend income		277,780
Unaffiliated dividend income		18,886

Total income		35,309,978

EXPENSES
Management fee		2,745,363
Custodian and accounting fees		109,079
Shareholders’ reports		99,368
Audit fee		46,800
Trustees’ fees		14,559
Legal fees and expenses		12,761
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		46,832

Total expenses		3,085,445
Less: Fee waiver and/or expense reimbursement		(240,236	)

Net expenses		2,845,209

NET INVESTMENT INCOME (LOSS)		32,464,769

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(3,791))		5,495,403
Futures transactions		(1,348,118	)
Foreign currency transactions		(147	)

		4,147,138

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(4,576))		(43,243,040	)
Futures		495,649
Foreign currencies		(862	)

		(42,748,253	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(38,601,115	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(6,136,346	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	32,464,769		$	218,925,385
Net realized gain (loss) on investment and foreign currency transactions		4,147,138			42,224,447
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(42,748,253	)		6,859,888

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(6,136,346	)		268,009,720

DISTRIBUTIONS		(14,221,775	)		(225,581,137	)

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [4,306,490 and 1,655,022 shares, respectively]		21,980,492			8,653,185
Portfolio shares issued in reinvestment of distributions [2,833,023 and 43,655,242 shares, respectively]		14,221,775			225,581,137
Portfolio shares repurchased [9,834,319 and 646,795,760 shares, respectively]		(50,202,169	)		(3,336,173,785	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(13,999,902	)		(3,101,939,463	)

CAPITAL CONTRIBUTIONS		2,830			—

TOTAL INCREASE (DECREASE)		(34,355,193	)		(3,059,510,880	)
NET ASSETS:
Beginning of year		508,046,073			3,567,556,953

End of year	$	473,690,880		$	508,046,073

SEE NOTES TO FINANCIAL STATEMENTS.

A142



		*JENNISON PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 99.9%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 4.4%
Boeing Co. (The)		193,279	$	62,332,477
Safran SA (France)		162,095		19,598,184

				81,930,661

Automobiles — 2.4%
Tesla, Inc.*(a)		136,856		45,545,677

Banks — 1.6%
JPMorgan Chase & Co.		312,484		30,504,688

Biotechnology — 4.2%
Alexion Pharmaceuticals, Inc.*		216,021		21,031,804
BioMarin Pharmaceutical, Inc.*		236,901		20,172,120
Celgene Corp.*		154,919		9,928,759
Vertex Pharmaceuticals, Inc.*		162,611		26,946,269

				78,078,952

Capital Markets — 2.3%
Goldman Sachs Group, Inc. (The)		125,274		20,927,022
S&P Global, Inc.		124,836		21,214,630

				42,141,652

Chemicals — 0.9%
Albemarle Corp.(a)		215,141		16,580,917

Entertainment — 4.5%
Activision Blizzard, Inc.		381,565		17,769,482
Netflix, Inc.*		243,630		65,210,006

				82,979,488

Equity Real Estate Investment Trusts (REITs) — 1.5%
American Tower Corp.		59,402		9,396,802
Crown Castle International Corp.		172,192		18,705,217

				28,102,019

Food & Staples Retailing — 1.9%
Costco Wholesale Corp.		177,501		36,158,729

Health Care Equipment & Supplies — 1.6%
Edwards Lifesciences Corp.*		68,334		10,466,719
Intuitive Surgical, Inc.*		39,294		18,818,682

				29,285,401

Health Care Providers & Services — 1.9%
UnitedHealth Group, Inc.		141,695		35,299,058

Hotels, Restaurants & Leisure — 3.5%
Chipotle Mexican Grill, Inc.*		31,139		13,445,509
Marriott International, Inc. (Class A Stock)		273,092		29,646,868
McDonald’s Corp.		128,150		22,755,595

				65,847,972

Interactive Media & Services — 11.8%
Alphabet, Inc. (Class A Stock)*		49,071		51,277,232
Alphabet, Inc. (Class C Stock)*		49,727		51,497,779
Facebook, Inc. (Class A Stock)*		396,303		51,951,360
Tencent Holdings Ltd. (China)		1,640,131		65,648,134

				220,374,505


COMMON STOCKS (continued)	Shares		Value
Internet & Direct Marketing Retail — 9.8%
Alibaba Group Holding Ltd. (China), ADR*(a)		380,462	$	52,149,926
Amazon.com, Inc.*		72,274		108,553,380
Booking Holdings, Inc.*		10,687		18,407,503
Farfetch Ltd. (United Kingdom) (Class A Stock)*(a)		158,361		2,804,573

				181,915,382

IT Services — 11.1%
Adyen NV (Netherlands), 144A*(a)		25,765		14,106,378
FleetCor Technologies, Inc.*		131,024		24,333,777
Mastercard, Inc. (Class A Stock)		382,489		72,156,550
PayPal Holdings, Inc.*		229,242		19,276,960
Square, Inc. (Class A Stock)*		228,200		12,799,738
Visa, Inc. (Class A Stock)		491,852		64,894,953

				207,568,356

Life Sciences Tools & Services — 1.9%
Illumina, Inc.*		119,521		35,847,934

Oil, Gas & Consumable Fuels — 0.5%
Concho Resources, Inc.*		84,531		8,688,941

Personal Products — 1.4%
Estee Lauder Cos., Inc. (The) (Class A Stock)		202,335		26,323,784

Pharmaceuticals — 4.2%
AstraZeneca PLC (United Kingdom), ADR(a)		1,056,119		40,111,400
Bristol-Myers Squibb Co.		291,225		15,137,875
Merck & Co., Inc.		297,566		22,737,018

				77,986,293

Road & Rail — 1.0%
Union Pacific Corp.		136,703		18,896,456

Semiconductors & Semiconductor Equipment — 2.9%
Broadcom, Inc.		103,342		26,277,804
NVIDIA Corp.		211,683		28,259,680

				54,537,484

Software — 16.1%
Adobe, Inc.*		226,756		51,301,277
Microsoft Corp.		938,192		95,292,162
Red Hat, Inc.*		118,393		20,794,547
salesforce.com, Inc.*		522,899		71,621,476
ServiceNow, Inc.*(a)		68,172		12,138,025
Splunk, Inc.*		200,905		21,064,889
Workday, Inc. (Class A Stock)*		174,130		27,805,078

				300,017,454

Specialty Retail — 1.6%
Home Depot, Inc. (The)		170,773		29,342,217

Technology Hardware, Storage & Peripherals — 3.3%
Apple, Inc.		383,584		60,506,540

Textiles, Apparel & Luxury Goods — 3.6%
Kering SA (France)		51,047		24,071,209

SEE NOTES TO FINANCIAL STATEMENTS.

A143



		*JENNISON PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Textiles, Apparel & Luxury Goods (continued)
Lululemon Athletica, Inc.*		80,310	$	9,766,499
NIKE, Inc. (Class B Stock)		453,274		33,605,735

				67,443,443

TOTAL LONG-TERM INVESTMENTS (cost $1,016,861,074)				1,861,904,003

SHORT-TERM INVESTMENTS — 6.7%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		3,388,912		3,388,912
PGIM Institutional Money Market Fund (cost $121,502,360; includes $121,189,497 of cash collateral for securities on loan)(b)(w)		121,514,856		121,502,704

TOTAL SHORT-TERM INVESTMENTS (cost $124,891,272)				124,891,616

TOTAL INVESTMENTS—106.6% (cost $1,141,752,346)				1,986,795,619
LIABILITIES IN EXCESS OF OTHER ASSETS — (6.6)%				(122,426,232	)

NET ASSETS — 100.0%			$	1,864,369,387

See the Glossary for abbreviations used in the annual report.

*	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 $118,265,751; cash collateral of $121,189,497 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	62,332,477	$	19,598,184	$	—
Automobiles		45,545,677		—		—
Banks		30,504,688		—		—
Biotechnology		78,078,952		—		—
Capital Markets		42,141,652		—		—
Chemicals		16,580,917		—		—
Entertainment		82,979,488		—		—
Equity Real Estate Investment Trusts (REITs)		28,102,019		—		—
Food & Staples Retailing		36,158,729		—		—
Health Care Equipment & Supplies		29,285,401		—		—
Health Care Providers & Services		35,299,058		—		—
Hotels, Restaurants & Leisure		65,847,972		—		—
Interactive Media & Services		154,726,371		65,648,134		—
Internet & Direct Marketing Retail		181,915,382		—		—
IT Services		193,461,978		14,106,378		—
Life Sciences Tools & Services		35,847,934		—		—
Oil, Gas & Consumable Fuels		8,688,941		—		—
Personal Products		26,323,784		—		—
Pharmaceuticals		77,986,293		—		—
Road & Rail		18,896,456		—		—
Semiconductors & Semiconductor Equipment		54,537,484		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A144



		*JENNISON PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Software	$	300,017,454	$	—	$	—
Specialty Retail		29,342,217		—		—
Technology Hardware, Storage & Peripherals		60,506,540		—		—
Textiles, Apparel & Luxury Goods		43,372,234		24,071,209		—
Affiliated Mutual Funds		124,891,616		—		—

Total	$	1,863,371,714	$	123,423,905	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Software	16.1	%
Interactive Media & Services	11.8
IT Services	11.1
Internet & Direct Marketing Retail	9.8
Affiliated Mutual Funds (6.5% represents investments purchased with collateral from securities on loan)	6.7
Entertainment	4.5
Aerospace & Defense	4.4
Biotechnology	4.2
Pharmaceuticals	4.2
Textiles, Apparel & Luxury Goods	3.6
Hotels, Restaurants & Leisure	3.5
Technology Hardware, Storage & Peripherals	3.3
Semiconductors & Semiconductor Equipment	2.9
Automobiles	2.4
Capital Markets	2.3


Food & Staples Retailing	1.9	%
Life Sciences Tools & Services	1.9
Health Care Providers & Services	1.9
Banks	1.6
Specialty Retail	1.6
Health Care Equipment & Supplies	1.6
Equity Real Estate Investment Trusts (REITs)	1.5
Personal Products	1.4
Road & Rail	1.0
Chemicals	0.9
Oil, Gas & Consumable Fuels	0.5

	106.6
Liabilities in excess of other assets	(6.6	)

	100.0	%

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	118,265,751	$	(118,265,751	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A145



		*JENNISON PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $118,265,751:
Unaffiliated investments (cost $1,016,861,074)	$	1,861,904,003
Affiliated investments (cost $124,891,272)		124,891,616
Dividends and interest receivable		386,112
Tax reclaim receivable		211,505
Receivable for Portfolio shares sold		109,370
Prepaid expenses and other assets		27,318

Total Assets		1,987,529,924

LIABILITIES
Payable to broker for collateral for securities on loan		121,189,497
Management fee payable		972,127
Payable for Portfolio shares repurchased		487,853
Accrued expenses and other liabilities		445,617
Payable to affiliate		42,695
Distribution fee payable		13,541
Administration fee payable		8,227
Affiliated transfer agent fee payable		980

Total Liabilities		123,160,537

NET ASSETS	$	1,864,369,387

Net assets were comprised of:
Partners Equity	$	1,864,369,387

Class I:
Net asset value and redemption price per share, $1,803,249,805 / 29,461,019 outstanding shares of beneficial interest	$	61.21

Class II:
Net asset value and redemption price per share, $61,119,582 / 1,041,543 outstanding shares of beneficial interest	$	58.68

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $517,838 foreign withholding tax)	$	15,999,534
Income from securities lending, net (including affiliated income of $692,794)		894,831
Affiliated dividend income		280,543

Total income		17,174,908

EXPENSES
Management fee		12,729,964
Distribution fee—Class II		173,795
Administration fee—Class II		104,278
Custodian and accounting fees		185,453
Shareholders’ reports		151,856
Trustees’ fees		32,315
Audit fee		28,600
Legal fees and expenses		16,995
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		42,059

Total expenses		13,475,998

NET INVESTMENT INCOME (LOSS)		3,698,910

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $5,478)		149,827,371
Foreign currency transactions		(1,116	)

		149,826,255

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(931))		(158,047,554	)
Foreign currencies		273

		(158,047,281	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(8,221,026	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(4,522,116	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	3,698,910		$	4,276,768
Net realized gain (loss) on investment and foreign currency transactions		149,826,255			170,316,090
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(158,047,281	)		380,372,655

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(4,522,116	)		554,965,513

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		46,087,602			28,508,126
Portfolio shares repurchased		(174,423,180	)		(147,895,679	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(128,335,578	)		(119,387,553	)

CAPITAL CONTRIBUTIONS		142,910			—

TOTAL INCREASE (DECREASE)		(132,714,784	)		435,577,960
NET ASSETS:
Beginning of year		1,997,084,171			1,561,506,211

End of year	$	1,864,369,387		$	1,997,084,171

SEE NOTES TO FINANCIAL STATEMENTS.

A146



		*NATURAL RESOURCES PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 95.4%			Value
COMMON STOCKS — 93.7%	Shares		Value
Construction Materials — 1.0%
HeidelbergCement AG (Germany)		62,060	$	3,814,229
Diversified Chemicals — 5.1%
DowDuPont, Inc.		139,320		7,450,834
Linde PLC (United Kingdom)		73,590		11,482,983

				18,933,817

Diversified Metals & Mining — 9.8%
BHP Group Ltd. (Australia)		709,497		17,042,498
Rio Tinto PLC (Australia)		281,681		13,454,522
South32 Ltd. (Australia)		1,864,957		4,396,127
Teck Resources Ltd. (Canada) (Class B Stock)		87,032		1,873,623

				36,766,770

Fertilizers & Agricultural Chemicals — 4.2%
CF Industries Holdings, Inc.		70,315		3,059,406
FMC Corp.		60,675		4,487,523
Mosaic Co. (The)		86,650		2,531,047
Nutrien Ltd. (Canada)(a)		115,971		5,446,865

				15,524,841

Heavy Electrical Equipment — 0.8%
Vestas Wind Systems A/S (Denmark)		40,049		3,034,118

Industrial Gases — 4.4%
Air Liquide SA (France)		65,565		8,159,951
Air Products & Chemicals, Inc.		52,120		8,341,806

				16,501,757

Integrated Oil & Gas — 32.1%
BP PLC (United Kingdom)		2,276,031		14,411,192
Chevron Corp.		210,130		22,860,043
Exxon Mobil Corp.		349,820		23,854,226
Occidental Petroleum Corp.		168,230		10,325,957
Royal Dutch Shell PLC (Netherlands) (Class A Stock)		515,425		15,181,164
Royal Dutch Shell PLC (Netherlands) (Class B Stock)		395,328		11,806,495
Suncor Energy, Inc. (Canada)		276,779		7,730,430
TOTAL SA (France)		256,936		13,596,520

				119,766,027

Metal & Glass Containers — 1.6%
Berry Global Group, Inc.*		126,455		6,010,406

Oil & Gas Exploration & Production — 15.4%
Anadarko Petroleum Corp.		53,085		2,327,246
Cabot Oil & Gas Corp.		142,560		3,186,216
Concho Resources, Inc.*		52,802		5,427,518
ConocoPhillips		191,815		11,959,665
Continental Resources, Inc.*		88,595		3,560,633
Diamondback Energy, Inc.(a)		52,735		4,888,535
EOG Resources, Inc.		117,606		10,256,419
Marathon Oil Corp.		452,275		6,485,623
Parsley Energy, Inc. (Class A Stock)*		82,715		1,321,786
Pioneer Natural Resources Co.		34,646		4,556,642


COMMON STOCKS
(continued)	Shares		Value
Oil & Gas Exploration & Production (continued)
SM Energy Co.		102,905	$	1,592,969
WPX Energy, Inc.*		150,585		1,709,140

				57,272,392

Oil & Gas Refining & Marketing — 4.7%
HollyFrontier Corp.		34,415		1,759,295
Marathon Petroleum Corp.		105,515		6,226,440
Phillips 66		58,730		5,059,589
Valero Energy Corp.		60,467		4,533,211

				17,578,535

Oil & Gas Storage & Transportation — 5.9%
Enbridge, Inc. (Canada)		242,110		7,521,158
Kinder Morgan, Inc.		476,460		7,327,955
Williams Cos., Inc. (The)		317,760		7,006,608

				21,855,721

Precious Metals & Minerals — 0.0%
Sedibelo Platinum Mines Ltd. (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*^(f)		129,100		—
Railroads — 3.2%
Kansas City Southern		51,650		4,929,992
Union Pacific Corp.		49,885		6,895,604

				11,825,596

Specialty Chemicals — 5.5%
Albemarle Corp.(a)		36,230		2,792,246
Ecolab, Inc.(a)		60,288		8,883,437
Sherwin-Williams Co. (The)		15,455		6,080,924
Shin-Etsu Chemical Co. Ltd. (Japan)		37,100		2,870,180

				20,626,787

TOTAL COMMON STOCKS (cost $329,475,142)				349,510,996


EXCHANGE TRADED FUND — 1.7%
VanEck Vectors Gold Miners ETF(a) (cost $5,903,742)		297,125		6,266,366

TOTAL LONG-TERM INVESTMENTS (cost $335,378,884)				355,777,362


SHORT-TERM INVESTMENTS — 10.3%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		16,380,536		16,380,536
PGIM Institutional Money Market Fund (cost $21,775,080; includes $21,710,445 of cash collateral for securities on loan)(b)(w)		21,777,409		21,775,231

TOTAL SHORT-TERM INVESTMENTS (cost $38,155,615)				38,155,767

TOTAL INVESTMENTS—105.7% (cost $373,534,499)				393,933,129
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.7)%				(21,124,200	)

NET ASSETS — 100.0%			$	372,808,929

SEE NOTES TO FINANCIAL STATEMENTS.

A147



		*NATURAL RESOURCES PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $0 and 0.0% of net assets.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $21,319,968; cash collateral of $21,710,445 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(f)	Indicates a restricted security; the original cost of such security is $1,102,975. The value of $0 is 0.0% of net assets.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Construction Materials	$	—	$	3,814,229	$	—
Diversified Chemicals		18,933,817		—		—
Diversified Metals & Mining		1,873,623		34,893,147		—
Fertilizers & Agricultural Chemicals		15,524,841		—		—
Heavy Electrical Equipment		—		3,034,118		—
Industrial Gases		8,341,806		8,159,951		—
Integrated Oil & Gas		64,770,656		54,995,371		—
Metal & Glass Containers		6,010,406		—		—
Oil & Gas Exploration & Production		57,272,392		—		—
Oil & Gas Refining & Marketing		17,578,535		—		—
Oil & Gas Storage & Transportation		21,855,721		—		—
Precious Metals & Minerals		—		—		—
Railroads		11,825,596		—		—
Specialty Chemicals		17,756,607		2,870,180		—
Exchange Traded Fund		6,266,366		—		—
Affiliated Mutual Funds		38,155,767		—		—

Total	$	286,166,133	$	107,766,996	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Integrated Oil & Gas	32.1	%
Oil & Gas Exploration & Production	15.4
Affiliated Mutual Funds (5.8% represents investments purchased with collateral from securities on loan)	10.3
Diversified Metals & Mining	9.8
Oil & Gas Storage & Transportation	5.9
Specialty Chemicals	5.5
Diversified Chemicals	5.1
Oil & Gas Refining & Marketing	4.7
Industrial Gases	4.4
Fertilizers & Agricultural Chemicals	4.2
Railroads	3.2


Exchange Traded Fund	1.7	%
Metal & Glass Containers	1.6
Construction Materials	1.0
Heavy Electrical Equipment	0.8
Precious Metals & Minerals	0.0	*

	105.7
Liabilities in excess of other assets	(5.7	)

	100.0	%

*	Less than +/- 0.05%

SEE NOTES TO FINANCIAL STATEMENTS.

A148



		*NATURAL RESOURCES PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Portfolio did not hold any derivative instruments as of December 31, 2018, accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.

The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Options Written
Equity contracts	$	28,996

For the year ended December 31, 2018, there was no change in unrealized appreciation (depreciation) on derivatives recognized in income.

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Options

Written(1)

$145,020

(1)	Notional Amount in USD.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


	Gross Market
	Value of
	Recognized		Collateral			Net
Description	Assets/(Liabilities)		Pledged/(Received)(1)			Amount
Securities on Loan	$	21,319,968	$	(21,319,968	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A149



		*NATURAL RESOURCES PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $21,319,968:
Unaffiliated investments (cost $335,378,884)	$	355,777,362
Affiliated investments (cost $38,155,615)		38,155,767
Foreign currency, at value (cost $6,540)		5,257
Tax reclaim receivable		738,023
Dividends and interest receivable		545,414
Receivable for Portfolio shares sold		272,980
Receivable from affiliate		50,408
Prepaid expenses		3,498

Total Assets		395,548,709

LIABILITIES
Payable to broker for collateral for securities on loan		21,710,445
Payable to affiliate		608,312
Accrued expenses and other liabilities		162,847
Management fee payable		143,299
Payable for Portfolio shares repurchased		89,762
Distribution fee payable		10,425
Payable for investments purchased		7,452
Administration fee payable		6,258
Affiliated transfer agent fee payable		980

Total Liabilities		22,739,780

NET ASSETS	$	372,808,929

Net assets were comprised of:
Partners Equity	$	372,808,929

Class I:
Net asset value and redemption price per share, $324,360,646 / 14,751,050 outstanding shares of beneficial interest	$	21.99

Class II:
Net asset value and redemption price per share, $48,448,283 / 2,278,983 outstanding shares of beneficial interest	$	21.26

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $502,853, of which $4,862 is reimbursable by an affiliate)	$	12,125,091
Income from securities lending, net (including affiliated income of $177,513)		274,396
Affiliated dividend income		268,026

Total income		12,667,513

EXPENSES
Management fee		2,025,512
Distribution fee—Class II		129,983
Administration fee—Class II		77,990
Shareholders’ reports		138,322
Custodian and accounting fees		92,111
Audit fee		32,010
Trustees’ fees		14,422
Legal fees and expenses		11,905
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		18,415

Total expenses		2,551,353
Less: Fee waivers and/or expense reimbursement		(36,009	)

Net expenses		2,515,344

NET INVESTMENT INCOME (LOSS)		10,152,169

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(1,972))		12,450,460
Options written transactions		28,996
Foreign currency transactions		(104,873	)

		12,374,583

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $152)		(105,091,759	)
Foreign currencies.		(10,773	)

		(105,102,532	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(92,727,949	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(82,575,780	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	10,152,169		$	7,168,213
Net realized gain (loss) on investment and foreign currency transactions		12,374,583			10,288,468
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(105,102,532	)		(19,370,201	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(82,575,780	)		(1,913,520	)

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		32,236,320			39,878,340
Portfolio shares repurchased		(54,963,059	)		(58,041,112	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(22,726,739	)		(18,162,772	)

CAPITAL CONTRIBUTIONS		91,663			—

TOTAL INCREASE (DECREASE)		(105,210,856	)		(20,076,292	)
NET ASSETS:
Beginning of year		478,019,785			498,096,077

End of year	$	372,808,929		$	478,019,785

SEE NOTES TO FINANCIAL STATEMENTS.

A150



		*SMALL CAPITALIZATION STOCK PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 99.6%
COMMON STOCKS — 99.3%	Shares		Value
Aerospace & Defense — 2.4%
AAR Corp.		35,521	$	1,326,354
Aerojet Rocketdyne Holdings, Inc.*(a)		78,515		2,766,083
Aerovironment, Inc.*		23,234		1,578,750
Axon Enterprise, Inc.*(a)		63,700		2,786,875
Cubic Corp.		31,143		1,673,625
Engility Holdings, Inc.*		19,780		562,939
Mercury Systems, Inc.*		52,748		2,494,453
Moog, Inc. (Class A Stock)		35,424		2,744,652
National Presto Industries, Inc.(a)		5,469		639,435
Triumph Group, Inc.(a)		54,100		622,150

				17,195,316

Air Freight & Logistics — 0.7%
Atlas Air Worldwide Holdings, Inc.*		27,890		1,176,679
Echo Global Logistics, Inc.*		31,180		633,889
Forward Air Corp.		31,836		1,746,205
Hub Group, Inc. (Class A Stock)*		36,630		1,357,874

				4,914,647

Airlines — 0.7%
Allegiant Travel Co.		13,954		1,398,470
Hawaiian Holdings, Inc.		53,830		1,421,650
SkyWest, Inc.		56,580		2,516,113

				5,336,233

Auto Components — 2.1%
American Axle & Manufacturing Holdings, Inc.*		121,300		1,346,430
Cooper Tire & Rubber Co.		54,500		1,761,985
Cooper-Standard Holdings, Inc.*		18,080		1,123,130
Dorman Products, Inc.*		31,700		2,853,634
Fox Factory Holding Corp.*		41,400		2,437,218
Garrett Motion, Inc. (Switzerland)*(a)		80,550		993,987
Gentherm, Inc.*		38,050		1,521,239
LCI Industries		27,479		1,835,597
Motorcar Parts of America, Inc.*(a)		20,500		341,120
Standard Motor Products, Inc.		21,999		1,065,411
Superior Industries International, Inc.		24,968		120,096

				15,399,847

Automobiles — 0.1%
Winnebago Industries, Inc.(a)		31,631		765,787

Banks — 9.4%
Ameris Bancorp		43,470		1,376,695
Banc of California, Inc.		46,420		617,850
Banner Corp.		34,330		1,835,968
Berkshire Hills Bancorp, Inc.		44,100		1,189,377
Boston Private Financial Holdings, Inc.		91,812		970,453
Brookline Bancorp, Inc.		87,432		1,208,310
Central Pacific Financial Corp.		31,770		773,600
City Holding Co.(a)		18,174		1,228,381
Columbia Banking System, Inc.		79,898		2,899,498
Community Bank System, Inc.(a)		55,806		3,253,490
Customers Bancorp, Inc.*		31,600		575,120
CVB Financial Corp.(a)		111,550		2,256,657
Eagle Bancorp, Inc.*		34,500		1,680,495
Fidelity Southern Corp.		24,050		625,781


COMMON STOCKS (continued)
COMMON STOCKS (continued)	Shares		Value
Banks (continued)
First Bancorp (Puerto Rico)		236,272	$	2,031,939
First Commonwealth Financial Corp.		107,860		1,302,949
First Financial Bancorp		106,653		2,529,809
First Financial Bankshares, Inc.(a)		73,758		4,255,099
First Midwest Bancorp, Inc.(a)		115,970		2,297,366
Franklin Financial Network, Inc.*		13,300		350,721
Glacier Bancorp, Inc.(a)		92,083		3,648,329
Great Western Bancorp, Inc.		62,880		1,965,000
Green Bancorp, Inc.		28,760		492,946
Hanmi Financial Corp.		34,636		682,329
Heritage Financial Corp.		36,150		1,074,378
Hope Bancorp, Inc.		132,854		1,575,649
Independent Bank Corp.		30,636		2,154,017
LegacyTexas Financial Group, Inc.		49,210		1,579,149
National Bank Holdings Corp. (Class A Stock)		28,190		870,225
NBT Bancorp, Inc.		47,610		1,646,830
OFG Bancorp (Puerto Rico)		47,370		779,710
Old National Bancorp		163,877		2,523,706
Opus Bank		23,450		459,386
Pacific Premier Bancorp, Inc.*(a)		49,000		1,250,480
Preferred Bank		15,200		658,920
S&T Bancorp, Inc.		38,173		1,444,466
Seacoast Banking Corp. of Florida*(a)		55,800		1,451,916
ServisFirst Bancshares, Inc.(a)		49,900		1,590,313
Simmons First National Corp. (Class A Stock)		100,846		2,433,414
Southside Bancshares, Inc.		35,936		1,140,968
Tompkins Financial Corp.		13,534		1,015,185
Triumph Bancorp, Inc.*		26,400		784,080
United Community Banks, Inc.		86,277		1,851,504
Veritex Holdings, Inc.*		26,300		562,294
Westamerica Bancorporation(a)		29,150		1,623,072

				68,517,824

Beverages — 0.2%
Coca-Cola Bottling Co. Consolidated		5,050		895,769
MGP Ingredients, Inc.(a)		13,800		787,290

				1,683,059

Biotechnology — 2.2%
Acorda Therapeutics, Inc.*		42,950		669,161
AMAG Pharmaceuticals, Inc.*(a)		37,450		568,865
Cytokinetics, Inc.*		59,250		374,460
Eagle Pharmaceuticals, Inc.*(a)		11,940		481,063
Emergent BioSolutions, Inc.*		48,857		2,896,243
Enanta Pharmaceuticals, Inc.*(a)		17,170		1,216,151
Momenta Pharmaceuticals, Inc.*		104,140		1,149,706
Myriad Genetics, Inc.*		81,400		2,366,298
Progenics Pharmaceuticals, Inc.*		91,050		382,410
REGENXBIO, Inc.*		32,800		1,375,960
Repligen Corp.*(a)		42,550		2,244,087
Spectrum Pharmaceuticals, Inc.*		110,050		962,937
Vanda Pharmaceuticals, Inc.*		57,100		1,492,023

				16,179,364

Building Products — 2.2%
AAON, Inc.(a)		44,219		1,550,318

SEE NOTES TO FINANCIAL STATEMENTS.

A151



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Building Products (continued)
American Woodmark Corp.*		16,780	$	934,310
Apogee Enterprises, Inc.(a)		30,658		915,141
Gibraltar Industries, Inc.*(a)		34,908		1,242,376
Griffon Corp.		36,479		381,206
Insteel Industries, Inc.		19,800		480,744
Patrick Industries, Inc.*		24,850		735,809
PGT Innovations, Inc.*		62,950		997,758
Quanex Building Products Corp.		38,228		519,519
Simpson Manufacturing Co., Inc.		45,103		2,441,425
Trex Co., Inc.*		64,020		3,800,227
Universal Forest Products, Inc.		67,192		1,744,304

				15,743,137

Capital Markets — 1.1%
Blucora, Inc.*		52,312		1,393,592
Donnelley Financial Solutions, Inc.*		37,037		519,629
Greenhill & Co., Inc.(a)		19,100		466,040
INTL. FCStone, Inc.*		17,400		636,492
Investment Technology Group, Inc.		35,986		1,088,217
Piper Jaffray Cos		16,165		1,064,304
Virtus Investment Partners, Inc.		7,810		620,348
Waddell & Reed Financial, Inc. (Class A Stock)(a)		85,350		1,543,128
WisdomTree Investments, Inc.		126,250		839,562

				8,171,312

Chemicals — 2.7%
A Shulman CVR^		32,486		3
AdvanSix, Inc.*		32,480		790,563
American Vanguard Corp.		28,998		440,480
Balchem Corp.		35,163		2,755,021
FutureFuel Corp.		27,900		442,494
Hawkins, Inc.		10,600		434,070
HB Fuller Co.		55,288		2,359,139
Ingevity Corp.*		45,800		3,833,002
Innophos Holdings, Inc.		21,380		524,451
Innospec, Inc.		26,620		1,644,051
Koppers Holdings, Inc.*		22,330		380,503
Kraton Corp.*		34,740		758,722
LSB Industries, Inc.*(a)		21,800		120,336
Quaker Chemical Corp.		14,598		2,594,211
Rayonier Advanced Materials, Inc.(a)		55,570		591,821
Stepan Co.		22,140		1,638,360
Tredegar Corp.		27,835		441,463

				19,748,690

Commercial Services & Supplies — 2.6%
ABM Industries, Inc.		71,783		2,304,952
Brady Corp. (Class A Stock)		53,362		2,319,113
Essendant, Inc.		35,602		447,873
Interface, Inc.		64,862		924,283
LSC Communications, Inc.		35,867		251,069
Matthews International Corp. (Class A Stock)		35,020		1,422,512
Mobile Mini, Inc.		48,707		1,546,447
Multi-Color Corp.		15,250		535,123
RR Donnelley & Sons Co.		75,933		300,695
Team, Inc.*(a)		32,710		479,202


COMMON STOCKS (continued)	Shares		Value
Commercial Services & Supplies (continued)
Tetra Tech, Inc.		60,318	$	3,122,663
UniFirst Corp.		16,860		2,412,160
US Ecology, Inc.		24,000		1,511,520
Viad Corp.		22,127		1,108,341

				18,685,953

Communications Equipment — 1.4%
ADTRAN, Inc.		51,810		556,439
Applied Optoelectronics, Inc.*(a)		20,300		313,229
CalAmp Corp.*		37,650		489,827
Comtech Telecommunications Corp.		26,059		634,276
Digi International, Inc.*		29,464		297,292
Extreme Networks, Inc.*		128,400		783,240
Finisar Corp.*(a)		127,950		2,763,720
Harmonic, Inc.*		93,524		441,433
NETGEAR, Inc.*		34,366		1,788,063
Viavi Solutions, Inc.*		248,390		2,496,320

				10,563,839

Construction & Engineering — 0.6%
Aegion Corp.*		35,057		572,130
Arcosa, Inc.*		53,150		1,471,724
Comfort Systems USA, Inc.		40,484		1,768,341
MYR Group, Inc.*		18,120		510,440
Orion Group Holdings, Inc.*		30,900		132,561

				4,455,196

Construction Materials — 0.1%
U.S. Concrete, Inc.*(a)		17,400		613,872

Consumer Finance — 1.6%
Encore Capital Group, Inc.*(a)		27,790		653,065
Enova International, Inc.*		37,239		724,671
EZCORP, Inc. (Class A Stock)*(a)		55,671		430,337
FirstCash, Inc.		47,781		3,456,955
Green Dot Corp. (Class A Stock)*		51,750		4,115,160
PRA Group, Inc.*(a)		49,307		1,201,612
World Acceptance Corp.*		7,332		749,770

				11,331,570

Containers & Packaging — 0.1%
Myers Industries, Inc.		38,320		579,015

Distributors — 0.2%
Core-Mark Holding Co., Inc.		49,690		1,155,293

Diversified Consumer Services — 0.6%
American Public Education, Inc.*		17,933		510,373
Career Education Corp.*		75,630		863,695
Regis Corp.*		36,050		611,048
Strategic Education, Inc.		23,701		2,688,167

				4,673,283

Diversified Telecommunication Services — 1.2%
ATN International, Inc.		11,900		851,207
Cincinnati Bell, Inc.*		54,280		422,298
Cogent Communications Holdings, Inc.		45,570		2,060,220
Consolidated Communications Holdings, Inc.(a)		77,290		763,625
Frontier Communications Corp.(a)		114,800		273,224

SEE NOTES TO FINANCIAL STATEMENTS.

A152



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Diversified Telecommunication Services (continued)
Iridium Communications, Inc.*(a)		105,590	$	1,948,136
Vonage Holdings Corp.*		239,550		2,091,271

				8,409,981

Electric Utilities — 0.3%
El Paso Electric Co.		44,318		2,221,661

Electrical Equipment — 0.4%
AZZ, Inc.		28,442		1,147,919
Encore Wire Corp.		22,741		1,141,143
Powell Industries, Inc.		9,572		239,396
Vicor Corp.*(a)		17,681		668,165

				3,196,623

Electronic Equipment, Instruments & Components — 4.1%
Anixter International, Inc.*		31,394		1,705,008
Badger Meter, Inc.(a)		31,714		1,560,646
Bel Fuse, Inc. (Class B Stock)		10,722		197,499
Benchmark Electronics, Inc.		47,520		1,006,474
Control4 Corp.*		29,100		512,160
CTS Corp.		36,054		933,438
Daktronics, Inc.		42,558		314,929
Electro Scientific Industries, Inc.*		37,341		1,118,736
ePlus, Inc.*		15,010		1,068,262
Fabrinet (Thailand)*		40,180		2,061,636
FARO Technologies, Inc.*		18,834		765,414
II-VI, Inc.*(a)		65,162		2,115,159
Insight Enterprises, Inc.*		38,735		1,578,451
Itron, Inc.*		36,580		1,729,868
KEMET Corp.		62,550		1,097,127
Knowles Corp.*(a)		98,000		1,304,380
Methode Electronics, Inc.		40,296		938,494
MTS Systems Corp.(a)		19,485		781,933
OSI Systems, Inc.*(a)		18,400		1,348,720
Park Electrochemical Corp.		20,994		379,362
Plexus Corp.*		34,330		1,753,576
Rogers Corp.*		20,081		1,989,224
Sanmina Corp.*		74,390		1,789,823
ScanSource, Inc.*		27,953		961,024
TTM Technologies, Inc.*		100,149		974,450

				29,985,793

Energy Equipment & Services — 1.7%
Archrock, Inc.		140,600		1,053,094
Bristow Group, Inc.*(a)		38,805		94,296
C&J Energy Services, Inc.*		67,850		915,975
CARBO Ceramics, Inc.*(a)		23,150		80,562
Era Group, Inc.*		21,921		191,589
Exterran Corp.*		34,300		607,110
Geospace Technologies Corp.*		14,660		151,145
Gulf Island Fabrication, Inc.*		14,827		107,051
Helix Energy Solutions Group, Inc.*		151,160		817,776
KLX Energy Services Holdings, Inc.*		24,400		572,180
Matrix Service Co.*		29,363		526,772
McDermott International, Inc.*(a)		—		—
Nabors Industries Ltd.(a)		354,000		708,000
Newpark Resources, Inc.*		98,300		675,321
Noble Corp. PLC*(a)		268,000		702,160
Oil States International, Inc.*		65,300		932,484


COMMON STOCKS (continued)	Shares		Value
Energy Equipment & Services (continued)
Pioneer Energy Services Corp.*		84,047	$	103,378
ProPetro Holding Corp.*		79,850		983,752
SEACOR Holdings, Inc.*		18,641		689,717
Superior Energy Services, Inc.*		167,900		562,465
TETRA Technologies, Inc.*		135,891		228,297
Unit Corp.*		58,620		837,093
US Silica Holdings, Inc.(a)		84,100		856,138

				12,396,355

Entertainment — 0.1%
Marcus Corp. (The)		21,808		861,416

Equity Real Estate Investment Trusts (REITs) — 6.2%
Acadia Realty Trust(a)		88,815		2,110,244
Agree Realty Corp.(a)		37,600		2,222,912
American Assets Trust, Inc.		41,180		1,654,201
Armada Hoffler Properties, Inc.		54,100		760,646
CareTrust REIT, Inc.		91,405		1,687,336
CBL & Associates Properties, Inc.(a)		187,100		359,232
Cedar Realty Trust, Inc.		95,716		300,548
Chatham Lodging Trust		50,700		896,376
Chesapeake Lodging Trust		65,750		1,601,012
Community Healthcare Trust, Inc.		19,200		553,536
DiamondRock Hospitality Co.		226,140		2,053,351
Easterly Government Properties, Inc.(a)		66,000		1,034,880
EastGroup Properties, Inc.(a)		39,283		3,603,430
Four Corners Property Trust, Inc.		73,859		1,935,106
Franklin Street Properties Corp.		116,252		724,250
Getty Realty Corp.		36,614		1,076,818
Global Net Lease, Inc.		82,900		1,460,698
Government Properties Income Trust(a)		204,000		1,401,480
Hersha Hospitality Trust(a)		39,400		691,076
Independence Realty Trust, Inc.		96,350		884,493
iStar, Inc.(a)		73,650		675,371
Kite Realty Group Trust		90,972		1,281,795
Lexington Realty Trust		228,536		1,876,281
LTC Properties, Inc.		43,196		1,800,409
National Storage Affiliates Trust		61,650		1,631,259
Pennsylvania Real Estate Investment Trust(a)		69,572		413,258
PS Business Parks, Inc.		21,782		2,853,442
Retail Opportunity Investments Corp.		124,210		1,972,455
RPT Realty(a)		87,000		1,039,650
Saul Centers, Inc.		12,520		591,194
Summit Hotel Properties, Inc.(a)		113,750		1,106,787
Universal Health Realty Income Trust		13,830		848,747
Urstadt Biddle Properties, Inc. (Class A Stock)		32,440		623,497
Washington Prime Group, Inc.(a)		202,100		982,206
Whitestone REIT		43,300		530,858

				45,238,834

Food & Staples Retailing — 0.4%
Andersons, Inc. (The)		28,724		858,560
Chefs’ Warehouse, Inc. (The)*		25,150		804,297

SEE NOTES TO FINANCIAL STATEMENTS.

A153



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Food & Staples Retailing (continued)
SpartanNash Co.		39,026	$	670,467
United Natural Foods, Inc.*		54,900		581,391

				2,914,715

Food Products — 1.6%
B&G Foods, Inc.(a)		71,780		2,075,160
Calavo Growers, Inc.(a)		17,080		1,246,157
Cal-Maine Foods, Inc.(a)		32,960		1,394,208
Darling Ingredients, Inc.*		179,380		3,451,271
Dean Foods Co.(a)		98,750		376,238
J&J Snack Foods Corp.		16,358		2,365,203
John B Sanfilippo & Son, Inc.		9,570		532,666
Seneca Foods Corp. (Class A Stock)*		7,420		209,392

				11,650,295

Gas Utilities — 1.2%
Northwest Natural Holding Co.		31,405		1,898,746
South Jersey Industries, Inc.(a)		93,234		2,591,905
Spire, Inc.		55,224		4,090,994

				8,581,645

Health Care Equipment & Supplies — 3.0%
AngioDynamics, Inc.*		40,300		811,239
Anika Therapeutics, Inc.*(a)		15,500		520,955
CONMED Corp.		28,229		1,812,302
CryoLife, Inc.*		37,003		1,050,145
Cutera, Inc.*		14,950		254,449
Heska Corp.*		7,500		645,750
Integer Holdings Corp.*		32,494		2,477,992
Invacare Corp.(a)		35,902		154,379
Lantheus Holdings, Inc.*		41,650		651,823
LeMaitre Vascular, Inc.		17,250		407,790
Meridian Bioscience, Inc.(a)		46,225		802,466
Merit Medical Systems, Inc.*		59,708		3,332,303
Natus Medical, Inc.*		36,815		1,252,814
Neogen Corp.*		56,673		3,230,361
OraSure Technologies, Inc.*		66,300		774,384
Orthofix Medical, Inc.*		20,650		1,083,919
Surmodics, Inc.*		14,592		689,618
Tactile Systems Technology, Inc.*(a)		18,400		838,120
Varex Imaging Corp.*		41,450		981,536

				21,772,345

Health Care Providers & Services — 3.3%
Addus HomeCare Corp.*		11,000		746,680
Amedisys, Inc.*		31,659		3,707,585
AMN Healthcare Services, Inc.*(a)		51,119		2,896,403
BioTelemetry, Inc.*		36,300		2,167,836
Community Health Systems, Inc.*(a)		125,510		353,938
CorVel Corp.*		10,060		620,903
Cross Country Healthcare, Inc.*		39,163		287,065
Diplomat Pharmacy, Inc.*(a)		61,640		829,674
Ensign Group, Inc. (The)		53,530		2,076,429
LHC Group, Inc.*		31,828		2,988,013
Magellan Health, Inc.*		26,461		1,505,366
Owens & Minor, Inc.(a)		67,650		428,225
Providence Service Corp. (The)*		12,050		723,241
Quorum Health Corp.*		27,150		78,464


COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
Select Medical Holdings Corp.*		117,860	$	1,809,151
Tivity Health, Inc.*		44,626		1,107,171
US Physical Therapy, Inc.		13,890		1,421,641

				23,747,785

Health Care Technology — 1.1%
Computer Programs & Systems, Inc.		12,986		325,949
HealthStream, Inc.		27,900		673,785
HMS Holdings Corp.*		91,450		2,572,488
NextGen Healthcare, Inc.*		51,934		786,800
Omnicell, Inc.*(a)		43,222		2,646,915
Tabula Rasa HealthCare, Inc.*		18,550		1,182,748

				8,188,685

Hotels, Restaurants & Leisure — 1.8%
Belmond Ltd. (United Kingdom) (Class A Stock)*		97,700		2,445,431
BJ’s Restaurants, Inc.		23,222		1,174,337
Chuy’s Holdings, Inc.*(a)		18,500		328,190
Dave & Buster’s Entertainment, Inc.(a)		42,320		1,885,779
Dine Brands Global, Inc.(a)		19,315		1,300,672
El Pollo Loco Holdings, Inc.*		24,000		364,080
Fiesta Restaurant Group, Inc.*		25,450		394,730
Monarch Casino & Resort, Inc.*		12,831		489,374
Red Robin Gourmet Burgers, Inc.*		14,113		377,099
Ruth’s Hospitality Group, Inc.		31,148		707,994
Shake Shack, Inc. (Class A Stock)*(a)		28,190		1,280,390
Wingstop, Inc.(a)		31,950		2,050,870

				12,798,946

Household Durables — 1.8%
Cavco Industries, Inc.*		9,350		1,219,053
Ethan Allen Interiors, Inc.		26,789		471,219
Installed Building Products, Inc.*(a)		23,850		803,506
iRobot Corp.*(a)		30,200		2,528,948
La-Z-Boy, Inc.		50,921		1,411,021
LGI Homes, Inc.*(a)		20,280		917,062
M/I Homes, Inc.*		30,420		639,428
MDC Holdings, Inc.		49,335		1,386,807
Meritage Homes Corp.*		40,937		1,503,207
TopBuild Corp.*		38,600		1,737,000
Universal Electronics, Inc.*		14,994		379,048
William Lyon Homes (Class A Stock)*		35,450		378,960

				13,375,259

Household Products — 0.6%
Central Garden & Pet Co.*(a)		11,300		389,285
Central Garden & Pet Co. (Class A Stock)*		44,508		1,390,875
WD-40 Co.(a)		15,159		2,778,038

				4,558,198

Industrial Conglomerates — 0.2%
Raven Industries, Inc.		39,130		1,416,115

Insurance — 3.8%
Ambac Financial Group, Inc.*		49,450		852,518
American Equity Investment Life Holding Co.		98,390		2,749,016

SEE NOTES TO FINANCIAL STATEMENTS.

A154



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Insurance (continued)
AMERISAFE, Inc.		21,014	$	1,191,284
eHealth, Inc.*		17,791		683,530
Employers Holdings, Inc.		35,715		1,498,958
HCI Group, Inc.(a)		7,880		400,383
Horace Mann Educators Corp.		44,620		1,671,019
James River Group Holdings Ltd.		32,650		1,193,031
Maiden Holdings Ltd.		74,350		122,677
Navigators Group, Inc. (The)		25,336		1,760,599
ProAssurance Corp.		58,436		2,370,164
RLI Corp.(a)		42,720		2,947,253
Safety Insurance Group, Inc.		15,860		1,297,507
Selective Insurance Group, Inc.		64,137		3,908,509
Stewart Information Services Corp.		25,952		1,074,413
Third Point Reinsurance Ltd. (Bermuda)*		80,500		776,020
United Fire Group, Inc.		23,201		1,286,495
United Insurance Holdings Corp.		23,200		385,584
Universal Insurance Holdings, Inc.		34,990		1,326,821

				27,495,781

Interactive Media & Services — 0.1%
QuinStreet, Inc.*		41,900		680,037

Internet & Direct Marketing Retail — 1.0%
Liquidity Services, Inc.*		28,800		177,696
Nutrisystem, Inc.		32,128		1,409,777
PetMed Express, Inc.(a)		22,581		525,234
Shutterfly, Inc.*		36,600		1,473,516
Shutterstock, Inc.(a)		20,200		727,402
Stamps.com, Inc.*(a)		18,560		2,888,678

				7,202,303

IT Services — 2.0%
Cardtronics PLC (Class A Stock)*		40,710		1,058,460
CSG Systems International, Inc.		36,324		1,154,013
EVERTEC, Inc. (Puerto Rico)		65,800		1,888,460
ExlService Holdings, Inc.*		37,350		1,965,357
ManTech International Corp. (Class A Stock)		28,950		1,513,940
NIC, Inc.		72,200		901,056
Perficient, Inc.*		36,164		805,011
Sykes Enterprises, Inc.*		43,410		1,073,529
Travelport Worldwide Ltd.		143,000		2,233,660
TTEC Holdings, Inc.		15,047		429,893
Unisys Corp.*(a)		55,300		643,139
Virtusa Corp.*		30,000		1,277,700

				14,944,218

Leisure Products — 0.5%
Callaway Golf Co.		96,590		1,477,827
Nautilus, Inc.*		31,900		347,710
Sturm Ruger & Co., Inc.(a)		19,067		1,014,746
Vista Outdoor, Inc.*(a)		62,300		707,105

				3,547,388

Life Sciences Tools & Services — 0.5%
Cambrex Corp.*(a)		36,582		1,381,337


COMMON STOCKS (continued)	Shares		Value
Life Sciences Tools & Services (continued)
Luminex Corp.		45,220	$	1,045,034
Medpace Holdings, Inc.*		27,000		1,429,110

				3,855,481

Machinery — 5.4%
Actuant Corp. (Class A Stock)		66,434		1,394,450
Alamo Group, Inc.		10,510		812,633
Albany International Corp. (Class A Stock)		31,614		1,973,662
Astec Industries, Inc.		24,840		749,920
Barnes Group, Inc.		51,416		2,756,926
Briggs & Stratton Corp.		45,976		601,366
Chart Industries, Inc.*		34,050		2,214,272
CIRCOR International, Inc.*		21,678		461,741
EnPro Industries, Inc.		22,608		1,358,741
ESCO Technologies, Inc.		28,231		1,861,834
Federal Signal Corp.		65,650		1,306,435
Franklin Electric Co., Inc.		42,330		1,815,110
Greenbrier Cos., Inc. (The)(a)		35,330		1,396,948
Harsco Corp.*		87,550		1,738,743
Hillenbrand, Inc.		67,918		2,576,130
John Bean Technologies Corp.(a)		34,467		2,475,075
Lindsay Corp.		11,779		1,133,729
Lydall, Inc.*		19,006		386,012
Mueller Industries, Inc.		62,818		1,467,428
Proto Labs, Inc.*		29,550		3,332,944
SPX Corp.*		47,320		1,325,433
SPX FLOW, Inc.*		46,310		1,408,750
Standex International Corp.		14,020		941,864
Tennant Co.		19,750		1,029,173
Titan International, Inc.		54,400		253,504
Wabash National Corp.		61,040		798,403
Watts Water Technologies, Inc. (Class A Stock)		30,311		1,955,969

				39,527,195

Marine — 0.2%
Matson, Inc.		46,500		1,488,930

Media — 0.6%
EW Scripps Co. (The) (Class A Stock)(a)		61,411		965,995
Gannett Co., Inc.(a)		122,690		1,046,546
New Media Investment Group, Inc.		58,870		681,126
Scholastic Corp.		30,220		1,216,657
TechTarget, Inc.*		23,750		289,987

				4,200,311

Metals & Mining — 0.7%
AK Steel Holding Corp.*(a)		342,690		771,053
Century Aluminum Co.*		53,213		388,987
Haynes International, Inc.		13,710		361,944
Kaiser Aluminum Corp.		18,010		1,608,113
Materion Corp.		22,078		993,289
Olympic Steel, Inc.		9,988		142,529
SunCoke Energy, Inc.*		70,100		599,355
TimkenSteel Corp.*(a)		42,660		372,848

				5,238,118

SEE NOTES TO FINANCIAL STATEMENTS.

A155



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Mortgage Real Estate Investment Trusts (REITs) — 1.4%
Apollo Commercial Real Estate Finance, Inc.(a)		122,550	$	2,041,683
ARMOUR Residential REIT, Inc.(a)		46,150		946,075
Capstead Mortgage Corp.		98,960		660,063
Granite Point Mortgage Trust, Inc.		47,250		851,917
Invesco Mortgage Capital, Inc.		121,450		1,758,596
New York Mortgage Trust, Inc.(a)		168,700		993,643
PennyMac Mortgage Investment Trust		66,430		1,236,927
Redwood Trust, Inc.		90,200		1,359,314

				9,848,218

Multiline Retail — 0.0%
J.C. Penney Co., Inc.*(a)		342,300		355,992

Multi-Utilities — 0.4%
Avista Corp.		71,583		3,040,846

Oil, Gas & Consumable Fuels — 1.7%
Bonanza Creek Energy, Inc.*		20,300		419,601
Carrizo Oil & Gas, Inc.*		92,720		1,046,809
Cloud Peak Energy, Inc.*(a)		81,900		30,000
CONSOL Energy, Inc.*		30,250		959,227
Denbury Resources, Inc.*(a)		500,600		856,026
Green Plains, Inc.		42,350		555,209
Gulfport Energy Corp.*		171,100		1,120,705
HighPoint Resources Corp.*		119,880		298,501
Laredo Petroleum, Inc.*(a)		164,000		593,680
Par Pacific Holdings, Inc.*		30,350		430,363
PDC Energy, Inc.*		72,026		2,143,494
Penn Virginia Corp.*		14,650		791,979
Renewable Energy Group, Inc.*(a)		40,650		1,044,705
REX American Resources Corp.*(a)		6,280		427,731
Ring Energy, Inc.*		61,600		312,928
SRC Energy, Inc.*		263,770		1,239,719

				12,270,677

Paper & Forest Products — 0.5%
Boise Cascade Co.		42,390		1,011,001
Clearwater Paper Corp.*		17,850		435,005
Neenah, Inc.		18,388		1,083,421
P.H. Glatfelter Co.		47,510		463,698
Schweitzer-Mauduit International, Inc.		33,546		840,327

				3,833,452

Personal Products — 0.5%
Avon Products, Inc. (United Kingdom)*		480,100		729,752
Inter Parfums, Inc.		18,800		1,232,716
Medifast, Inc.		13,040		1,630,261

				3,592,729

Pharmaceuticals — 1.4%
Akorn, Inc.*		101,850		345,272
Amphastar Pharmaceuticals, Inc.*		37,650		749,235
ANI Pharmaceuticals, Inc.*		9,040		406,981
Assertio Therapeutics, Inc.*(a)		69,220		249,884
Corcept Therapeutics, Inc.*(a)		114,200		1,525,712
Endo International PLC*		217,050		1,584,465
Innoviva, Inc.*(a)		73,550		1,283,447
Lannett Co., Inc.*(a)		36,700		182,032
Medicines Co. (The)*(a)		71,590		1,370,233


COMMON STOCKS (continued)	Shares		Value
Pharmaceuticals (continued)
Phibro Animal Health Corp. (Class A Stock)		21,950	$	705,912
Supernus Pharmaceuticals, Inc.*		56,910		1,890,550

				10,293,723

Professional Services — 1.9%
Exponent, Inc.		56,680		2,874,243
Forrester Research, Inc.		11,232		502,070
FTI Consulting, Inc.*		41,850		2,788,884
Heidrick & Struggles International, Inc.		20,664		644,510
Kelly Services, Inc. (Class A Stock)		33,939		695,071
Korn/Ferry International		61,800		2,443,572
Navigant Consulting, Inc.		46,350		1,114,717
Resources Connection, Inc.		32,000		454,400
TrueBlue, Inc.*		44,048		980,068
WageWorks, Inc.*(a)		43,160		1,172,226

				13,669,761

Real Estate Management & Development — 0.4%
HFF, Inc. (Class A Stock)		42,600		1,412,616
Marcus & Millichap, Inc.*		23,250		798,173
RE/MAX Holdings, Inc. (Class A Stock) .		19,400		596,550

				2,807,339

Road & Rail — 0.6%
ArcBest Corp.		27,995		959,109
Heartland Express, Inc.(a)		51,848		948,818
Marten Transport Ltd.		41,950		679,171
Saia, Inc.*(a)		28,000		1,562,960

				4,150,058

Semiconductors & Semiconductor Equipment — 3.7%
Advanced Energy Industries, Inc.*		41,957		1,801,214
Axcelis Technologies, Inc.*		35,300		628,340
Brooks Automation, Inc.		78,235		2,048,192
Cabot Microelectronics Corp.		31,271		2,981,690
CEVA, Inc.*		23,900		527,951
Cohu, Inc.		44,147		709,442
Diodes, Inc.*		43,170		1,392,664
DSP Group, Inc.*		20,578		230,474
FormFactor, Inc.*		80,750		1,137,767
Ichor Holdings Ltd.*(a)		24,650		401,795
Kopin Corp.*(a)		64,906		64,841
Kulicke & Soffa Industries, Inc. (Singapore)		73,232		1,484,413
MaxLinear, Inc.*		68,250		1,201,200
Nanometrics, Inc.*		26,350		720,146
PDF Solutions, Inc.*		29,900		252,057
Photronics, Inc.*		74,200		718,256
Power Integrations, Inc.		31,930		1,947,091
Rambus, Inc.*		117,550		901,609
Rudolph Technologies, Inc.*		34,624		708,753
Semtech Corp.*		71,720		3,289,796
SMART Global Holdings, Inc.*(a)		13,550		402,435
SolarEdge Technologies, Inc.*(a)		46,900		1,646,190
Ultra Clean Holdings, Inc.*		42,250		357,858

SEE NOTES TO FINANCIAL STATEMENTS.

A156



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Veeco Instruments, Inc.*		51,683	$	382,971
Xperi Corp.		52,667		968,546

				26,905,691

Software — 2.5%
8x8, Inc.*		103,950		1,875,258
Agilysys, Inc.*		19,132		274,353
Alarm.com Holdings, Inc.*(a)		38,200		1,981,434
Bottomline Technologies DE, Inc.*		39,860		1,913,280
Ebix, Inc.(a)		24,547		1,044,720
LivePerson, Inc.*		63,600		1,199,496
MicroStrategy, Inc. (Class A Stock)*		10,270		1,311,992
Monotype Imaging Holdings, Inc.		45,200		701,504
OneSpan, Inc.*		34,050		440,948
Progress Software Corp.		48,997		1,738,904
Qualys, Inc.*		36,920		2,759,401
SPS Commerce, Inc.*		19,250		1,585,815
TiVo Corp.		134,550		1,266,115

				18,093,220

Specialty Retail — 4.0%
Abercrombie & Fitch Co. (Class A Stock)(a)		71,750		1,438,587
Asbury Automotive Group, Inc.*		21,360		1,423,858
Ascena Retail Group, Inc.*(a)		187,600		470,876
Barnes & Noble Education, Inc.*		39,176		157,096
Barnes & Noble, Inc.(a)		61,660		437,169
Buckle, Inc. (The)(a)		31,009		599,714
Caleres, Inc.		47,004		1,308,121
Cato Corp. (The) (Class A Stock)		24,853		354,652
Chico’s FAS, Inc.(a)		136,400		766,568
Children’s Place, Inc. (The)(a)		17,665		1,591,440
DSW, Inc. (Class A Stock)(a)		74,250		1,833,975
Express, Inc.*		74,880		382,637
Francesca’s Holdings Corp.*(a)		38,700		37,570
GameStop Corp. (Class A Stock)(a)		110,700		1,397,034
Genesco, Inc.*		22,032		976,018
Group 1 Automotive, Inc.(a)		19,864		1,047,230
Guess?, Inc.(a)		61,860		1,284,832
Haverty Furniture Cos., Inc.(a)		20,761		389,892
Hibbett Sports, Inc.*(a)		19,896		284,513
Kirkland’s, Inc.*		16,100		153,433
Lithia Motors, Inc. (Class A Stock)		24,590		1,876,955
Lumber Liquidators Holdings, Inc.*(a)		30,822		293,425
MarineMax, Inc.*		24,992		457,603
Monro, Inc.(a)		35,942		2,471,012
Office Depot, Inc.		594,250		1,533,165
Rent-A-Center, Inc.*		48,200		780,358
RH*(a)		20,350		2,438,337
Shoe Carnival, Inc.(a)		10,960		367,270
Sleep Number Corp.*(a)		36,210		1,148,943
Sonic Automotive, Inc. (Class A Stock)		25,647		352,903
Tailored Brands, Inc.(a)		54,287		740,475
Tile Shop Holdings, Inc.		42,300		231,804
Vitamin Shoppe, Inc.*		16,950		80,343
Zumiez, Inc.*		20,500		392,985

				29,500,793


COMMON STOCKS (continued)	Shares		Value
Technology Hardware, Storage & Peripherals — 0.5%
3D Systems Corp.*(a)		124,000	$	1,261,080
Cray, Inc.*		44,430		959,244
Diebold Nixdorf, Inc.(a)		82,450		205,300
Electronics For Imaging, Inc.*		47,870		1,187,176

				3,612,800

Textiles, Apparel & Luxury Goods — 1.7%
Crocs, Inc.*		72,793		1,891,162
Fossil Group, Inc.*(a)		49,550		779,422
G-III Apparel Group Ltd.*		45,700		1,274,573
Movado Group, Inc.		17,967		568,117
Oxford Industries, Inc.		18,516		1,315,377
Steven Madden Ltd.		86,755		2,625,206
Unifi, Inc.*		15,730		359,273
Vera Bradley, Inc.*		22,800		195,396
Wolverine World Wide, Inc.		103,324		3,295,002

				12,303,528

Thrifts & Mortgage Finance — 1.7%
Axos Financial, Inc.*(a)		60,240		1,516,843
Dime Community Bancshares, Inc.		33,771		573,432
Flagstar Bancorp, Inc.*		32,000		844,800
HomeStreet, Inc.*		29,300		622,039
Meta Financial Group, Inc.		29,950		580,731
NMI Holdings, Inc. (Class A Stock)*		72,250		1,289,662
Northfield Bancorp, Inc.		51,000		691,050
Northwest Bancshares, Inc.		112,360		1,903,378
Oritani Financial Corp.		42,000		619,500
Provident Financial Services, Inc.		67,010		1,616,951
TrustCo Bank Corp. NY		104,695		718,208
Walker & Dunlop, Inc.		31,320		1,354,590

				12,331,184

Tobacco — 0.2%
Universal Corp.		27,200		1,472,880

Trading Companies & Distributors — 0.7%
Applied Industrial Technologies, Inc.		42,208		2,276,700
DXP Enterprises, Inc.*		17,400		484,416
Kaman Corp.		30,502		1,710,857
Veritiv Corp.*		13,830		345,335

				4,817,308

Water Utilities — 0.7%
American States Water Co.		40,082		2,687,097
California Water Service Group		52,460		2,500,244

				5,187,341

Wireless Telecommunication Services — 0.0%
Spok Holdings, Inc.		19,630		260,294

TOTAL COMMON STOCKS (cost $552,597,175)				723,555,484


EXCHANGE TRADED FUND — 0.3%
iShares Core S&P Small-Cap ETF(a) (cost $2,611,781)		37,800		2,620,296

TOTAL LONG-TERM INVESTMENTS (cost $555,208,956)				726,175,780

SEE NOTES TO FINANCIAL STATEMENTS.

A157



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


SHORT-TERM INVESTMENTS — 19.4%
AFFILIATED MUTUAL FUNDS — 19.3%	Shares		Value
PGIM Core Ultra Short Bond Fund(w)		1,836,274	$	1,836,274
PGIM Institutional Money Market Fund (cost $138,996,979; includes $138,686,522 of cash collateral for securities on loan)(b)(w)		139,001,151		138,987,251

TOTAL AFFILIATED MUTUAL FUNDS (cost $140,833,253)				140,823,525



Interest Rate	Maturity Date		Principal Amount (000)

U.S. TREASURY OBLIGATION(k)(n) — 0.1%
U.S. Treasury Bills 2.367%		03/21/19		400		397,971

(cost $397,961)
TOTAL SHORT-TERM INVESTMENTS (cost $141,231,214)						141,221,496

TOTAL INVESTMENTS — 119.0% (cost $696,440,170)						867,397,276
LIABILITIES IN EXCESS OF OTHER ASSETS(Z) — (19.0)%						(138,773,666	)

NET ASSETS — 100.0%					$	728,623,610

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $3 and 0.0% of net assets.

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $135,409,473; cash collateral of $138,686,522 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(k)	Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n)	Rate shown reflects yield to maturity at purchased date.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)	Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Position:
38		Russell 2000 E-Mini Index		Mar. 2019	$	2,563,100	$	(49,240	)

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency		Securities Market Value
UBS Securities LLC	$	—	$	397,971

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.

A158



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	17,195,316	$	—	$	—
Air Freight & Logistics		4,914,647		—		—
Airlines		5,336,233		—		—
Auto Components		15,399,847		—		—
Automobiles		765,787		—		—
Banks		68,517,824		—		—
Beverages		1,683,059		—		—
Biotechnology		16,179,364		—		—
Building Products		15,743,137		—		—
Capital Markets		8,171,312		—		—
Chemicals		19,748,687		—		3
Commercial Services & Supplies		18,685,953		—		—
Communications Equipment		10,563,839		—		—
Construction & Engineering		4,455,196		—		—
Construction Materials		613,872		—		—
Consumer Finance		11,331,570		—		—
Containers & Packaging		579,015		—		—
Distributors		1,155,293		—		—
Diversified Consumer Services		4,673,283		—		—
Diversified Telecommunication Services		8,409,981		—		—
Electric Utilities		2,221,661		—		—
Electrical Equipment		3,196,623		—		—
Electronic Equipment, Instruments & Components		29,985,793		—		—
Energy Equipment & Services		12,396,355		—		—
Entertainment		861,416		—		—
Equity Real Estate Investment Trusts (REITs)		45,238,834		—		—
Food & Staples Retailing		2,914,715		—		—
Food Products		11,650,295		—		—
Gas Utilities		8,581,645		—		—
Health Care Equipment & Supplies		21,772,345		—		—
Health Care Providers & Services		23,747,785		—		—
Health Care Technology		8,188,685		—		—
Hotels, Restaurants & Leisure		12,798,946		—		—
Household Durables		13,375,259		—		—
Household Products		4,558,198		—		—
Industrial Conglomerates		1,416,115		—		—
Insurance		27,495,781		—		—
Interactive Media & Services		680,037		—		—
Internet & Direct Marketing Retail		7,202,303		—		—
IT Services		14,944,218		—		—
Leisure Products		3,547,388		—		—
Life Sciences Tools & Services		3,855,481		—		—
Machinery		39,527,195		—		—
Marine		1,488,930		—		—
Media		4,200,311		—		—
Metals & Mining		5,238,118		—		—
Mortgage Real Estate Investment Trusts (REITs)		9,848,218		—		—
Multiline Retail		355,992		—		—
Multi-Utilities		3,040,846		—		—
Oil, Gas & Consumable Fuels		12,270,677		—		—
Paper & Forest Products		3,833,452		—		—
Personal Products		3,592,729		—		—
Pharmaceuticals		10,293,723		—		—
Professional Services		13,669,761		—		—
Real Estate Management & Development		2,807,339		—		—
Road & Rail		4,150,058		—		—
Semiconductors & Semiconductor Equipment		26,905,691		—		—
Software		18,093,220		—		—
Specialty Retail		29,500,793		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A159



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Technology Hardware, Storage & Peripherals	$	3,612,800		$	—	$	—
Textiles, Apparel & Luxury Goods		12,303,528			—		—
Thrifts & Mortgage Finance		12,331,184			—		—
Tobacco		1,472,880			—		—
Trading Companies & Distributors		4,817,308			—		—
Water Utilities		5,187,341			—		—
Wireless Telecommunication Services		260,294			—		—
Exchange Traded Fund		2,620,296			—		—
Affiliated Mutual Funds		140,823,525			—		—
U.S. Treasury Obligation		—			397,971		—
Other Financial Instruments*
Futures Contracts		(49,240	)		—		—

Total	$	866,950,062		$	397,971	$	3

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (19.0% represents investments purchased with collateral from securities on loan)	19.3	%
Banks	9.4
Equity Real Estate Investment Trusts (REITs)	6.2
Machinery	5.4
Electronic Equipment, Instruments & Components	4.1
Specialty Retail	4.0
Insurance	3.8
Semiconductors & Semiconductor Equipment	3.7
Health Care Providers & Services	3.3
Health Care Equipment & Supplies	3.0
Chemicals	2.7
Commercial Services & Supplies	2.6
Software	2.5
Aerospace & Defense	2.4
Biotechnology	2.2
Building Products	2.2
Auto Components	2.1
IT Services	2.0
Professional Services	1.9
Household Durables	1.8
Hotels, Restaurants & Leisure	1.8
Energy Equipment & Services	1.7
Thrifts & Mortgage Finance	1.7
Textiles, Apparel & Luxury Goods	1.7
Oil, Gas & Consumable Fuels	1.7
Food Products	1.6
Consumer Finance	1.6
Communications Equipment	1.4
Pharmaceuticals	1.4
Mortgage Real Estate Investment Trusts (REITs)	1.4
Gas Utilities	1.2
Diversified Telecommunication Services	1.2
Health Care Technology	1.1
Capital Markets	1.1
Internet & Direct Marketing Retail	1.0


Airlines	0.7	%
Metals & Mining	0.7
Water Utilities	0.7
Air Freight & Logistics	0.7
Trading Companies & Distributors	0.7
Diversified Consumer Services	0.6
Household Products	0.6
Construction & Engineering	0.6
Media	0.6
Road & Rail	0.6
Life Sciences Tools & Services	0.5
Paper & Forest Products	0.5
Technology Hardware, Storage & Peripherals	0.5
Personal Products	0.5
Leisure Products	0.5
Electrical Equipment	0.4
Multi-Utilities	0.4
Food & Staples Retailing	0.4
Real Estate Management & Development	0.4
Exchange Traded Fund	0.3
Electric Utilities	0.3
Beverages	0.2
Marine	0.2
Tobacco	0.2
Industrial Conglomerates	0.2
Distributors	0.2
Entertainment	0.1
Automobiles	0.1
Interactive Media & Services	0.1
Construction Materials	0.1
Containers & Packaging	0.1
U.S. Treasury Obligation	0.1
Multiline Retail	0.0	*

SEE NOTES TO FINANCIAL STATEMENTS.

A160



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Wireless Telecommunication Services	0.0	*%

	119.0
Liabilities in excess of other assets	(19.0	)

	100.0	%

*	Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

Asset Derivatives

Liability Derivatives

Derivatives not accounted for as hedging

instruments, carried at fair value

Statement of
Assets and
Liabilities Location

Fair
Value

Statement of

Assets and
Liabilities Location

Fair
Value

Equity contracts

—

Due from/to broker — variation margin futures

49,240

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. 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, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(892,045	)


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(55,525	)

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Futures

Contracts—

Long

Positions(1)

$3,897,590

(1)	Notional Amount in USD.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

SEE NOTES TO FINANCIAL STATEMENTS.

A161



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	135,409,473	$	(135,409,473	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A162



		*SMALL CAPITALIZATION STOCK PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $135,409,473:
Unaffiliated investments (cost $555,606,917)	$	726,573,751
Affiliated investments (cost $140,833,253)		140,823,525
Receivable for investments sold		1,953,565
Dividends and interest receivable		960,085
Receivable for Portfolio shares sold		90,549
Due from broker-variation margin futures		17,451
Tax reclaim receivable		3,935
Prepaid expenses		6,772

Total Assets		870,429,633

LIABILITIES
Payable to broker for collateral for securities on loan		138,686,522
Payable for investments purchased		2,321,498
Accrued expenses and other liabilities		406,709
Management fee payable		225,841
Payable for Portfolio shares repurchased		161,850
Payable to affiliate		2,623
Affiliated transfer agent fee payable		980

Total Liabilities		141,806,023

NET ASSETS	$	728,623,610

Net assets were comprised of:
Partners Equity	$	728,623,610

Net asset value and redemption price per share $728,623,610 / 20,729,815 outstanding shares of beneficial interest	$	35.15

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $1,298 foreign withholding tax)	$	10,811,599
Income from securities lending, net (including affiliated income of $695,591)		1,037,238
Affiliated dividend income		73,780
Interest income		6,371

Total income		11,928,988

EXPENSES
Management fee		3,046,909
Custodian and accounting fees		112,318
Shareholders’ reports		105,265
Audit fee		24,600
Trustees’ fees		18,918
Legal fees and expenses		13,066
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,682
Miscellaneous		24,202

Total expenses		3,355,960

NET INVESTMENT INCOME (LOSS)		8,573,028

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(14,818))		86,602,991
Futures transactions		(892,045	)

		85,710,946

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(4,190))		(162,160,365	)
Futures		(55,525	)

		(162,215,890	)

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(76,504,944	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(67,931,916	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	8,573,028		$	9,003,216
Net realized gain (loss) on investment transactions		85,710,946			60,349,229
Net change in unrealized appreciation (depreciation) on investments		(162,215,890	)		30,443,175

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(67,931,916	)		99,795,620

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [490,945 and 288,518 shares, respectively]		20,132,914			10,090,765
Portfolio shares repurchased [1,834,501 and 2,005,809 shares, respectively]		(73,623,277	)		(70,704,758	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(53,490,363	)		(60,613,993	)

CAPITAL CONTRIBUTIONS		57			—

TOTAL INCREASE (DECREASE)		(121,422,222	)		39,181,627
NET ASSETS:
Beginning of year		850,045,832			810,864,205

End of year	$	728,623,610		$	850,045,832

SEE NOTES TO FINANCIAL STATEMENTS.

A163



		*STOCK INDEX PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 97.6%
COMMON STOCKS — 97.4%	Shares		Value
Aerospace & Defense — 2.4%
Arconic, Inc.		71,992	$	1,213,785
Boeing Co. (The)		90,616		29,223,660
General Dynamics Corp.		47,000		7,388,870
Harris Corp.		20,100		2,706,465
Huntington Ingalls Industries, Inc.		7,800		1,484,418
L3 Technologies, Inc.		13,300		2,309,678
Lockheed Martin Corp.		42,098		11,022,940
Northrop Grumman Corp.		29,626		7,255,408
Raytheon Co.		48,718		7,470,905
Textron, Inc.		43,450		1,998,266
TransDigm Group, Inc.*		8,400		2,856,504
United Technologies Corp.		136,767		14,562,950

				89,493,849

Air Freight & Logistics — 0.6%
C.H. Robinson Worldwide, Inc.(a)		24,100		2,026,569
Expeditors International of Washington, Inc.		30,100		2,049,509
FedEx Corp.		41,340		6,669,382
United Parcel Service, Inc. (Class B Stock)		116,700		11,381,751

				22,127,211

Airlines — 0.4%
Alaska Air Group, Inc.(a)		21,200		1,290,020
American Airlines Group, Inc.		71,600		2,299,076
Delta Air Lines, Inc.		108,100		5,394,190
Southwest Airlines Co.		88,237		4,101,256
United Continental Holdings, Inc.*		39,800		3,332,454

				16,416,996

Auto Components — 0.1%
Aptiv PLC		45,400		2,795,278
BorgWarner, Inc.		33,400		1,160,316
Goodyear Tire & Rubber Co. (The)		39,900		814,359

				4,769,953

Automobiles — 0.4%
Ford Motor Co.		658,159		5,034,916
General Motors Co.		219,200		7,332,240
Harley-Davidson, Inc.		28,400		969,008

				13,336,164

Banks — 5.5%
Bank of America Corp.		1,569,782		38,679,428
BB&T Corp.		132,300		5,731,236
Citigroup, Inc.		425,522		22,152,675
Citizens Financial Group, Inc.		83,300		2,476,509
Comerica, Inc.		28,150		1,933,623
Fifth Third Bancorp		116,249		2,735,339
Huntington Bancshares, Inc.		183,075		2,182,254
JPMorgan Chase & Co.		568,695		55,516,006
KeyCorp		179,800		2,657,444
M&T Bank Corp.		24,700		3,535,311
People’s United Financial, Inc.		58,800		848,484
PNC Financial Services Group, Inc. (The)		79,293		9,270,145


COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Regions Financial Corp.		182,012	$	2,435,321
SunTrust Banks, Inc.		79,300		3,999,892
SVB Financial Group*		8,700		1,652,304
U.S. Bancorp		259,181		11,844,572
Wells Fargo & Co.		731,476		33,706,414
Zions Bancorp NA		33,400		1,360,716

				202,717,673

Beverages — 1.9%
Brown-Forman Corp. (Class B Stock)		29,825		1,419,074
Coca-Cola Co. (The)		648,450		30,704,107
Constellation Brands, Inc. (Class A Stock)		28,500		4,583,370
Molson Coors Brewing Co. (Class B Stock)		31,500		1,769,040
Monster Beverage Corp.*		68,300		3,361,726
PepsiCo, Inc.		239,394		26,448,249

				68,285,566

Biotechnology — 2.6%
AbbVie, Inc.		257,300		23,720,487
Alexion Pharmaceuticals, Inc.*		37,700		3,670,472
Amgen, Inc.		109,584		21,332,717
Biogen, Inc.*		34,275		10,314,033
Celgene Corp.*		120,100		7,697,209
Gilead Sciences, Inc.		219,700		13,742,235
Incyte Corp.*		29,800		1,894,982
Regeneron Pharmaceuticals, Inc.*		13,130		4,904,055
Vertex Pharmaceuticals, Inc.*		43,300		7,175,243

				94,451,433

Building Products — 0.3%
A.O. Smith Corp.		24,800		1,058,960
Allegion PLC		16,533		1,317,845
Fortune Brands Home & Security, Inc.		25,100		953,549
Johnson Controls International PLC		157,415		4,667,355
Masco Corp.		52,530		1,535,977

				9,533,686

Capital Markets — 2.7%
Affiliated Managers Group, Inc.		9,530		928,603
Ameriprise Financial, Inc.		24,950		2,604,032
Bank of New York Mellon Corp. (The)		156,849		7,382,882
BlackRock, Inc.		21,080		8,280,646
Cboe Global Markets, Inc.		19,300		1,888,119
Charles Schwab Corp. (The)		203,600		8,455,508
CME Group, Inc.		59,260		11,147,991
E*TRADE Financial Corp.		45,510		1,996,979
Franklin Resources, Inc.(a)		54,300		1,610,538
Goldman Sachs Group, Inc. (The)		59,920		10,009,636
Intercontinental Exchange, Inc.		97,990		7,381,587
Invesco Ltd.		68,000		1,138,320
Moody’s Corp.		28,420		3,979,937
Morgan Stanley		226,310		8,973,191
MSCI, Inc.		14,600		2,152,478
Nasdaq, Inc.		20,100		1,639,557
Northern Trust Corp.		36,900		3,084,471
Raymond James Financial, Inc.		21,900		1,629,579

SEE NOTES TO FINANCIAL STATEMENTS.

A164



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Capital Markets (continued)
S&P Global, Inc.		42,680	$	7,253,039
State Street Corp.		62,775		3,959,219
T. Rowe Price Group, Inc.		41,100		3,794,352

				99,290,664

Chemicals — 2.0%
Air Products & Chemicals, Inc.		37,200		5,953,860
Albemarle Corp.(a)		19,200		1,479,744
Celanese Corp.		19,800		1,781,406
CF Industries Holdings, Inc.		39,800		1,731,698
DowDuPont, Inc.		391,468		20,935,708
Eastman Chemical Co.		24,400		1,783,884
Ecolab, Inc.		43,200		6,365,520
FMC Corp.		23,150		1,712,174
International Flavors & Fragrances, Inc.		16,340		2,193,972
Linde PLC (United Kingdom)		92,600		14,449,304
LyondellBasell Industries NV (Class A Stock)		55,100		4,582,116
Mosaic Co. (The)		59,100		1,726,311
PPG Industries, Inc.		41,600		4,252,768
Sherwin-Williams Co. (The)		14,000		5,508,440

				74,456,905

Commercial Services & Supplies — 0.4%
Cintas Corp.		14,800		2,486,252
Copart, Inc.*(a)		32,400		1,548,072
Republic Services, Inc.		38,035		2,741,943
Rollins, Inc.(a)		22,050		796,005
Waste Management, Inc.		67,630		6,018,394

				13,590,666

Communications Equipment — 1.1%
Arista Networks, Inc.*		8,500		1,790,950
Cisco Systems, Inc.		775,375		33,596,999
F5 Networks, Inc.*		10,600		1,717,518
Juniper Networks, Inc.		57,700		1,552,707
Motorola Solutions, Inc.		27,827		3,201,218

				41,859,392

Construction & Engineering — 0.1%
Fluor Corp.		23,700		763,140
Jacobs Engineering Group, Inc.		20,900		1,221,814
Quanta Services, Inc.		26,200		788,620

				2,773,574

Construction Materials — 0.1%
Martin Marietta Materials, Inc.(a)		10,800		1,856,196
Vulcan Materials Co.		22,700		2,242,760

				4,098,956

Consumer Finance — 0.7%
American Express Co.		120,300		11,466,996
Capital One Financial Corp.		82,069		6,203,595
Discover Financial Services		59,205		3,491,911
Synchrony Financial		119,530		2,804,174

				23,966,676


COMMON STOCKS (continued)	Shares		Value
Containers & Packaging — 0.3%
Avery Dennison Corp.		14,900	$	1,338,467
Ball Corp.		59,100		2,717,418
International Paper Co.		70,167		2,831,940
Packaging Corp. of America		16,100		1,343,706
Sealed Air Corp.		28,620		997,121
Westrock Co.		43,561		1,644,863

				10,873,515

Distributors — 0.1%
Genuine Parts Co.		25,325		2,431,707
LKQ Corp.*		53,200		1,262,436

				3,694,143

Diversified Consumer Services — 0.0%
H&R Block, Inc.		35,900		910,783

Diversified Financial Services — 1.9%
Berkshire Hathaway, Inc. (Class B Stock)*		329,860		67,350,815
Jefferies Financial Group, Inc.		51,700		897,512

				68,248,327

Diversified Telecommunication Services — 2.1%
AT&T, Inc.		1,230,271		35,111,934
CenturyLink, Inc.(a)		163,843		2,482,222
Verizon Communications, Inc.		700,538		39,384,246

				76,978,402

Electric Utilities — 2.0%
Alliant Energy Corp.(a)		39,700		1,677,325
American Electric Power Co., Inc.		84,040		6,281,150
Duke Energy Corp.		119,348		10,299,732
Edison International		55,400		3,145,058
Entergy Corp.		30,900		2,659,563
Evergy, Inc.		44,000		2,497,880
Eversource Energy		53,700		3,492,648
Exelon Corp.		164,473		7,417,732
FirstEnergy Corp.		79,280		2,976,964
NextEra Energy, Inc.		79,875		13,883,872
PG&E Corp.*		87,500		2,078,125
Pinnacle West Capital Corp.		19,000		1,618,800
PPL Corp.		116,100		3,289,113
Southern Co. (The)		171,700		7,541,064
Xcel Energy, Inc.		86,295		4,251,755

				73,110,781

Electrical Equipment — 0.5%
AMETEK, Inc.		39,500		2,674,150
Eaton Corp. PLC		74,261		5,098,760
Emerson Electric Co.		107,000		6,393,250
Rockwell Automation, Inc.		21,420		3,223,282

				17,389,442

Electronic Equipment, Instruments & Components — 0.4%
Amphenol Corp. (Class A Stock)		51,200		4,148,224
Corning, Inc.		139,500		4,214,295
FLIR Systems, Inc.		24,100		1,049,314
IPG Photonics Corp.*		6,200		702,398

SEE NOTES TO FINANCIAL STATEMENTS.

A165



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Electronic Equipment, Instruments & Components (continued)
Keysight Technologies, Inc.*		30,100	$	1,868,608
TE Connectivity Ltd.		59,900		4,530,237

				16,513,076

Energy Equipment & Services — 0.5%
Baker Hughes a GE Co.		80,148		1,723,182
Halliburton Co.		148,500		3,947,130
Helmerich & Payne, Inc.(a)		18,900		906,066
National Oilwell Varco, Inc.		64,400		1,655,080
Schlumberger Ltd.		234,898		8,475,120
TechnipFMC PLC (United Kingdom)		74,200		1,452,836

				18,159,414

Entertainment — 2.0%
Activision Blizzard, Inc.		129,200		6,016,844
Electronic Arts, Inc.*		52,200		4,119,102
Netflix, Inc.*		73,690		19,723,865
Take-Two Interactive Software, Inc.*		18,300		1,883,802
Twenty-First Century Fox, Inc. (Class A Stock)		178,700		8,599,044
Twenty-First Century Fox, Inc. (Class B Stock)		80,800		3,860,624
Viacom, Inc. (Class B Stock)		58,743		1,509,695
Walt Disney Co. (The)		251,876		27,618,204

				73,331,180

Equity Real Estate Investment Trusts (REITs) — 2.8%
Alexandria Real Estate Equities, Inc.		17,400		2,005,176
American Tower Corp.(a)		74,000		11,706,060
Apartment Investment & Management Co. (Class A Stock)		27,374		1,201,171
AvalonBay Communities, Inc.		23,418		4,075,903
Boston Properties, Inc.		26,500		2,982,575
Crown Castle International Corp.		69,300		7,528,059
Digital Realty Trust, Inc.(a)		34,900		3,718,595
Duke Realty Corp.		60,500		1,566,950
Equinix, Inc.(a)		13,355		4,708,439
Equity Residential		62,500		4,125,625
Essex Property Trust, Inc.		11,370		2,788,038
Extra Space Storage, Inc.(a)		21,400		1,936,272
Federal Realty Investment Trust(a)		12,400		1,463,696
HCP, Inc.		79,600		2,223,228
Host Hotels & Resorts, Inc.		124,626		2,077,515
Iron Mountain, Inc.(a)		47,830		1,550,170
Kimco Realty Corp.(a)		71,800		1,051,870
Macerich Co. (The)		18,400		796,352
Mid-America Apartment Communities, Inc.		19,500		1,866,150
Prologis, Inc.		105,128		6,173,116
Public Storage		25,650		5,191,817
Realty Income Corp.		47,900		3,019,616
Regency Centers Corp.		27,000		1,584,360
SBA Communications Corp.*		19,830		3,210,279
Simon Property Group, Inc.		52,461		8,812,923
SL Green Realty Corp.		15,400		1,217,832
UDR, Inc.		45,600		1,806,672
Ventas, Inc.		60,704		3,556,647
Vornado Realty Trust		29,457		1,827,218


COMMON STOCKS (continued)	Shares		Value
Equity Real Estate Investment Trusts (REITs) (continued)
Welltower, Inc.		63,000	$	4,372,830
Weyerhaeuser Co.		128,930		2,818,410

				102,963,564

Food & Staples Retailing — 1.5%
Costco Wholesale Corp.		74,522		15,180,877
Kroger Co. (The)		137,400		3,778,500
Sysco Corp.		81,700		5,119,322
Walgreens Boots Alliance, Inc.		142,800		9,757,524
Walmart, Inc.		243,000		22,635,450

				56,471,673

Food Products — 1.1%
Archer-Daniels-Midland Co.		95,638		3,918,289
Campbell Soup Co.(a)		33,200		1,095,268
Conagra Brands, Inc.		78,400		1,674,624
General Mills, Inc.		100,000		3,894,000
Hershey Co. (The)		23,900		2,561,602
Hormel Foods Corp.(a)		46,300		1,976,084
J.M. Smucker Co. (The)(a)		19,600		1,832,404
Kellogg Co.(a)		42,800		2,440,028
Kraft Heinz Co. (The)		102,537		4,413,193
Lamb Weston Holdings, Inc.		23,800		1,750,728
McCormick & Co., Inc.(a)		20,400		2,840,496
Mondelez International, Inc. (Class A Stock)		249,411		9,983,922
Tyson Foods, Inc. (Class A Stock)		50,500		2,696,700

				41,077,338

Health Care Equipment & Supplies — 3.3%
Abbott Laboratories		297,425		21,512,750
ABIOMED, Inc.*		7,300		2,372,792
Align Technology, Inc.*		12,300		2,575,989
Baxter International, Inc.		84,600		5,568,372
Becton, Dickinson & Co.		45,349		10,218,037
Boston Scientific Corp.*		233,899		8,265,991
Cooper Cos., Inc. (The)		8,430		2,145,435
Danaher Corp.		104,100		10,734,792
DENTSPLY SIRONA, Inc.		39,300		1,462,353
Edwards Lifesciences Corp.*		35,750		5,475,827
Hologic, Inc.*		47,400		1,948,140
IDEXX Laboratories, Inc.*		15,000		2,790,300
Intuitive Surgical, Inc.*		19,150		9,171,318
Medtronic PLC		229,528		20,877,867
ResMed, Inc.		24,200		2,755,654
Stryker Corp.		52,600		8,245,050
Varian Medical Systems, Inc.*		15,800		1,790,298
Zimmer Biomet Holdings, Inc.		34,786		3,608,004

				121,518,969

Health Care Providers & Services — 3.1%
AmerisourceBergen Corp.		27,800		2,068,320
Anthem, Inc.		43,700		11,476,931
Cardinal Health, Inc.		53,075		2,367,145
Centene Corp.*		34,200		3,943,260
Cigna Corp.(a)		64,552		12,259,716
CVS Health Corp.		218,499		14,316,054
DaVita, Inc.*		22,500		1,157,850

SEE NOTES TO FINANCIAL STATEMENTS.

A166



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Health Care Providers & Services (continued)
HCA Healthcare, Inc.		46,400	$	5,774,480
Henry Schein, Inc.*(a)		26,500		2,080,780
Humana, Inc.		23,470		6,723,686
Laboratory Corp. of America Holdings*		17,400		2,198,664
McKesson Corp.		34,607		3,823,035
Quest Diagnostics, Inc.		23,300		1,940,191
UnitedHealth Group, Inc.		162,900		40,581,648
Universal Health Services, Inc. (Class B Stock)		15,100		1,760,056
WellCare Health Plans, Inc.*		8,000		1,888,720

				114,360,536

Health Care Technology — 0.1%
Cerner Corp.*		53,700		2,816,028

Hotels, Restaurants & Leisure — 1.8%
Carnival Corp.		68,900		3,396,770
Chipotle Mexican Grill, Inc.*		4,320		1,865,333
Darden Restaurants, Inc.		21,050		2,102,053
Hilton Worldwide Holdings, Inc.		48,700		3,496,660
Marriott International, Inc. (Class A Stock)		49,323		5,354,505
McDonald’s Corp.		131,410		23,334,473
MGM Resorts International		86,500		2,098,490
Norwegian Cruise Line Holdings Ltd.*		34,800		1,475,172
Royal Caribbean Cruises Ltd.		28,700		2,806,573
Starbucks Corp.		212,000		13,652,800
Wynn Resorts Ltd.		15,300		1,513,323
Yum! Brands, Inc.		54,300		4,991,256

				66,087,408

Household Durables — 0.3%
D.R. Horton, Inc.		58,300		2,020,678
Garmin Ltd.		18,800		1,190,416
Leggett & Platt, Inc.(a)		22,700		813,568
Lennar Corp. (Class A Stock)		46,400		1,816,560
Mohawk Industries, Inc.*		10,900		1,274,864
Newell Brands, Inc.(a)		76,949		1,430,482
PulteGroup, Inc.(a)		45,185		1,174,358
Whirlpool Corp.		10,967		1,172,043

				10,892,969

Household Products — 1.6%
Church & Dwight Co., Inc.		41,500		2,729,040
Clorox Co. (The)		21,900		3,375,666
Colgate-Palmolive Co.		148,100		8,814,912
Kimberly-Clark Corp.		59,088		6,732,487
Procter & Gamble Co. (The)		421,176		38,714,498

				60,366,603

Independent Power & Renewable Electricity Producers — 0.1%
AES Corp.		110,400		1,596,384
NRG Energy, Inc.		50,700		2,007,720

				3,604,104

Industrial Conglomerates — 1.4%
3M Co.		99,470		18,953,014
General Electric Co.		1,473,347		11,153,237


COMMON STOCKS (continued)	Shares		Value
Industrial Conglomerates (continued)
Honeywell International, Inc.		126,300	$	16,686,756
Roper Technologies, Inc.		17,500		4,664,100

				51,457,107

Insurance — 2.2%
Aflac, Inc.		131,900		6,009,364
Allstate Corp. (The)(a)		58,588		4,841,126
American International Group, Inc.		151,529		5,971,758
Aon PLC		41,525		6,036,074
Arthur J. Gallagher & Co.		30,700		2,262,590
Assurant, Inc.		9,100		813,904
Brighthouse Financial, Inc.*		16,772		511,211
Chubb Ltd.		78,830		10,183,259
Cincinnati Financial Corp.		25,528		1,976,378
Everest Re Group Ltd.		7,000		1,524,320
Hartford Financial Services Group, Inc. (The)		61,200		2,720,340
Lincoln National Corp.		36,863		1,891,441
Loews Corp.		44,426		2,022,272
Marsh & McLennan Cos., Inc.		86,300		6,882,425
MetLife, Inc.		171,100		7,025,366
Principal Financial Group, Inc.		45,700		2,018,569
Progressive Corp. (The)		98,700		5,954,571
Torchmark Corp.		18,375		1,369,489
Travelers Cos., Inc. (The)		45,898		5,496,285
Unum Group		37,456		1,100,457
Willis Towers Watson PLC		22,500		3,416,850

				80,028,049

Interactive Media & Services — 4.5%
Alphabet, Inc. (Class A Stock)*		50,719		52,999,326
Alphabet, Inc. (Class C Stock)*		52,180		54,038,130
Facebook, Inc. (Class A Stock)*		407,720		53,448,015
TripAdvisor, Inc.*(a)		18,200		981,708
Twitter, Inc.*		117,900		3,388,446

				164,855,625

Internet & Direct Marketing Retail — 3.4%
Amazon.com, Inc.*		69,580		104,507,073
Booking Holdings, Inc.*		8,110		13,968,826
eBay, Inc.*		158,200		4,440,674
Expedia Group, Inc.(a)		20,800		2,343,120

				125,259,693

IT Services — 4.7%
Accenture PLC (Class A Stock)		108,200		15,257,282
Akamai Technologies, Inc.*		29,400		1,795,752
Alliance Data Systems Corp.		8,310		1,247,165
Automatic Data Processing, Inc.		74,660		9,789,419
Broadridge Financial Solutions, Inc.		18,700		1,799,875
Cognizant Technology Solutions Corp. (Class A Stock)		99,800		6,335,304
DXC Technology Co.		48,350		2,570,770
Fidelity National Information Services, Inc.		56,500		5,794,075
Fiserv, Inc.*		69,600		5,114,904
FleetCor Technologies, Inc.*		14,700		2,730,084
Gartner, Inc.*		15,300		1,955,952

SEE NOTES TO FINANCIAL STATEMENTS.

A167



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
IT Services (continued)
Global Payments, Inc.		27,100	$	2,794,823
International Business Machines Corp.		153,725		17,473,921
Jack Henry & Associates, Inc.		12,000		1,518,240
Mastercard, Inc. (Class A Stock)		154,500		29,146,425
Paychex, Inc.		53,950		3,514,842
PayPal Holdings, Inc.*		199,400		16,767,546
Total System Services, Inc.		27,993		2,275,551
VeriSign, Inc.*		17,800		2,639,562
Visa, Inc. (Class A Stock)		301,100		39,727,134
Western Union Co. (The)		77,404		1,320,512

				171,569,138

Leisure Products — 0.1%
Hasbro, Inc.(a)		19,450		1,580,313
Mattel, Inc.*(a)		57,281		572,237

				2,152,550

Life Sciences Tools & Services — 1.0%
Agilent Technologies, Inc.		54,782		3,695,594
Illumina, Inc.*		25,000		7,498,250
IQVIA Holdings, Inc.*		26,700		3,101,739
Mettler-Toledo International, Inc.*		4,320		2,443,305
PerkinElmer, Inc.		18,600		1,461,030
Thermo Fisher Scientific, Inc.		68,400		15,307,236
Waters Corp.*		13,400		2,527,910

				36,035,064

Machinery — 1.5%
Caterpillar, Inc.		101,100		12,846,777
Cummins, Inc.		25,500		3,407,820
Deere & Co.		54,750		8,167,058
Dover Corp.		25,600		1,816,320
Flowserve Corp.		22,500		855,450
Fortive Corp.		52,100		3,525,086
Illinois Tool Works, Inc.		51,675		6,546,706
Ingersoll-Rand PLC		42,200		3,849,906
PACCAR, Inc.		60,128		3,435,714
Parker-Hannifin Corp.		22,787		3,398,453
Pentair PLC (United Kingdom)		28,707		1,084,550
Snap-on, Inc.(a)		9,900		1,438,371
Stanley Black & Decker, Inc.		25,935		3,105,457
Xylem, Inc.		30,400		2,028,288

				55,505,956

Media — 1.2%
CBS Corp. (Class B Stock)		58,968		2,578,081
Charter Communications, Inc. (Class A Stock)*(a)		30,280		8,628,892
Comcast Corp. (Class A Stock)		776,092		26,425,932
Discovery, Inc. (Class A Stock)*(a)		26,300		650,662
Discovery, Inc. (Class C Stock)*		56,500		1,304,020
DISH Network Corp. (Class A Stock)*		38,600		963,842
Interpublic Group of Cos., Inc. (The)		64,462		1,329,851
News Corp. (Class A Stock)		63,625		722,144
News Corp. (Class B Stock)		19,300		222,915
Omnicom Group, Inc.(a)		38,800		2,841,712

				45,668,051


COMMON STOCKS (continued)	Shares		Value
Metals & Mining — 0.2%
Freeport-McMoRan, Inc.		233,212	$	2,404,416
Newmont Mining Corp.(a)		90,803		3,146,324
Nucor Corp.		54,400		2,818,464

				8,369,204

Multiline Retail — 0.5%
Dollar General Corp.		44,100		4,766,328
Dollar Tree, Inc.*		40,647		3,671,237
Kohl’s Corp.		28,500		1,890,690
Macy’s, Inc.		51,620		1,537,244
Nordstrom, Inc.(a)		20,000		932,200
Target Corp.		90,068		5,952,594

				18,750,293

Multi-Utilities — 1.0%
Ameren Corp.		41,500		2,707,045
CenterPoint Energy, Inc.		81,510		2,301,027
CMS Energy Corp.		47,800		2,373,270
Consolidated Edison, Inc.		52,900		4,044,734
Dominion Energy, Inc.		109,884		7,852,311
DTE Energy Co.		30,600		3,375,180
NiSource, Inc.		57,700		1,462,695
Public Service Enterprise Group, Inc.		85,900		4,471,095
SCANA Corp.		24,300		1,161,054
Sempra Energy(a)		45,454		4,917,668
WEC Energy Group, Inc.		53,876		3,731,452

				38,397,531

Oil, Gas & Consumable Fuels — 4.7%
Anadarko Petroleum Corp.		87,426		3,832,756
Apache Corp.(a)		64,550		1,694,437
Cabot Oil & Gas Corp.		78,000		1,743,300
Chevron Corp.		323,962		35,243,826
Cimarex Energy Co.		16,600		1,023,390
Concho Resources, Inc.*		32,800		3,371,512
ConocoPhillips		197,429		12,309,698
Devon Energy Corp.		84,600		1,906,884
Diamondback Energy, Inc.		23,300		2,159,910
EOG Resources, Inc.		98,200		8,564,022
Exxon Mobil Corp.		717,204		48,906,141
Hess Corp.		44,075		1,785,037
HollyFrontier Corp.		28,300		1,446,696
Kinder Morgan, Inc.		320,643		4,931,489
Marathon Oil Corp.		142,994		2,050,534
Marathon Petroleum Corp.(a)		114,487		6,755,878
Newfield Exploration Co.*		34,400		504,304
Noble Energy, Inc.		82,700		1,551,452
Occidental Petroleum Corp.		130,200		7,991,676
ONEOK, Inc.		69,940		3,773,263
Phillips 66		71,464		6,156,624
Pioneer Natural Resources Co.		29,000		3,814,080
Valero Energy Corp.		73,300		5,495,301
Williams Cos., Inc. (The)		199,200		4,392,360

				171,404,570

SEE NOTES TO FINANCIAL STATEMENTS.

A168



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Personal Products — 0.1%
Coty, Inc. (Class A Stock)		77,800	$	510,368
Estee Lauder Cos., Inc. (The) (Class A Stock)		38,100		4,956,810

				5,467,178

Pharmaceuticals — 5.1%
Allergan PLC		54,756		7,318,687
Bristol-Myers Squibb Co.		276,840		14,390,143
Eli Lilly & Co.		162,600		18,816,072
Johnson & Johnson		454,496		58,652,709
Merck & Co., Inc.		450,303		34,407,652
Mylan NV*		87,600		2,400,240
Nektar Therapeutics*		25,700		844,759
Perrigo Co. PLC		21,800		844,750
Pfizer, Inc.		993,723		43,376,009
Zoetis, Inc.		82,400		7,048,496

				188,099,517

Professional Services — 0.3%
Equifax, Inc.		20,500		1,909,165
IHS Markit Ltd.*		60,500		2,902,185
Nielsen Holdings PLC		57,100		1,332,143
Robert Half International, Inc.		21,600		1,235,520
Verisk Analytics, Inc.*		26,900		2,933,176

				10,312,189

Real Estate Management & Development — 0.1%
CBRE Group, Inc. (Class A Stock)*		51,100		2,046,044

Road & Rail — 1.0%
CSX Corp.		138,072		8,578,413
J.B. Hunt Transport Services, Inc.		14,600		1,358,384
Kansas City Southern		17,500		1,670,375
Norfolk Southern Corp.		47,700		7,133,058
Union Pacific Corp.		125,500		17,347,865

				36,088,095

Semiconductors & Semiconductor Equipment — 3.7%
Advanced Micro Devices, Inc.*(a)		139,200		2,569,632
Analog Devices, Inc.		62,823		5,392,098
Applied Materials, Inc.		167,700		5,490,498
Broadcom, Inc.		72,360		18,399,701
Intel Corp.		782,200		36,708,646
KLA-Tencor Corp.		26,900		2,407,281
Lam Research Corp.		27,100		3,690,207
Maxim Integrated Products, Inc.		44,100		2,242,485
Microchip Technology, Inc.(a)		40,000		2,876,800
Micron Technology, Inc.*		196,000		6,219,080
NVIDIA Corp.		103,050		13,757,175
Qorvo, Inc.*		21,886		1,329,137
QUALCOMM, Inc.		207,850		11,828,743
Skyworks Solutions, Inc.		31,000		2,077,620
Texas Instruments, Inc.		164,600		15,554,700
Xilinx, Inc.		43,100		3,670,827

				134,214,630

Software — 6.0%
Adobe, Inc.*		82,875		18,749,640
ANSYS, Inc.*		14,500		2,072,630


COMMON STOCKS (continued)	Shares		Value
Software (continued)
Autodesk, Inc.*		37,370	$	4,806,156
Cadence Design Systems, Inc.*		48,000		2,087,040
Citrix Systems, Inc.		22,100		2,264,366
Fortinet, Inc.*(a)		22,900		1,612,847
Intuit, Inc.		43,600		8,582,660
Microsoft Corp.		1,308,700		132,924,659
Oracle Corp.		473,395		21,373,784
Red Hat, Inc.*		30,300		5,321,892
salesforce.com, Inc.*		128,100		17,545,857
Symantec Corp.		105,211		1,987,962
Synopsys, Inc.*		25,600		2,156,544

				221,486,037

Specialty Retail — 2.3%
Advance Auto Parts, Inc.		12,560		1,977,698
AutoZone, Inc.*		4,610		3,864,747
Best Buy Co., Inc.		42,425		2,246,828
CarMax, Inc.*(a)		30,800		1,932,084
Foot Locker, Inc.		20,900		1,111,880
Gap, Inc. (The)(a)		37,187		957,937
Home Depot, Inc. (The)		193,269		33,207,480
L Brands, Inc.		39,696		1,018,996
Lowe’s Cos., Inc.		138,075		12,752,607
O’Reilly Automotive, Inc.*		13,660		4,703,548
Ross Stores, Inc.		64,600		5,374,720
Tiffany & Co.(a)		17,300		1,392,823
TJX Cos., Inc. (The)		213,800		9,565,412
Tractor Supply Co.		21,200		1,768,928
Ulta Beauty, Inc.*		10,000		2,448,400

				84,324,088

Technology Hardware, Storage & Peripherals — 3.7%
Apple, Inc.		769,715		121,414,844
Hewlett Packard Enterprise Co.		254,966		3,368,101
HP, Inc.		271,166		5,548,056
NetApp, Inc.		45,200		2,697,084
Seagate Technology PLC		45,600		1,759,704
Western Digital Corp.		50,868		1,880,590
Xerox Corp.		36,002		711,400

				137,379,779

Textiles, Apparel & Luxury Goods — 0.7%
Hanesbrands, Inc.(a)		59,300		743,029
Michael Kors Holdings Ltd.*		25,400		963,168
NIKE, Inc. (Class B Stock)		217,700		16,140,278
PVH Corp.		13,300		1,236,235
Ralph Lauren Corp.		9,500		982,870
Tapestry, Inc.		48,800		1,647,000
Under Armour, Inc. (Class A Stock)*(a)		31,200		551,304
Under Armour, Inc. (Class C Stock)*(a)		30,603		494,850
VF Corp.(a)		55,744		3,976,777

				26,735,511

Tobacco — 0.9%
Altria Group, Inc.		319,900		15,799,861
Philip Morris International, Inc.		263,600		17,597,936

				33,397,797

SEE NOTES TO FINANCIAL STATEMENTS.

A169



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Trading Companies & Distributors — 0.2%
Fastenal Co.		48,750	$	2,549,138
United Rentals, Inc.*		14,500		1,486,685
W.W. Grainger, Inc.		7,820		2,208,055

				6,243,878

Water Utilities — 0.1%
American Water Works Co., Inc.(a)		30,800		2,795,716

TOTAL COMMON STOCKS (cost $1,227,721,005)				3,578,580,909


EXCHANGE TRADED FUND — 0.2%
iShares Core S&P 500 ETF (cost $6,789,709)		27,000		6,793,470

TOTAL LONG-TERM INVESTMENTS (cost $1,234,510,714)				3,585,374,379


SHORT-TERM INVESTMENTS — 4.9%
AFFILIATED MUTUAL FUNDS — 4.8%
PGIM Core Ultra Short Bond Fund(w)		78,324,947		78,324,947
PGIM Institutional Money Market Fund (cost $95,422,229; includes $95,191,028 of cash collateral for securities on loan)(b)(w)		95,430,315		95,420,772

TOTAL AFFILIATED MUTUAL FUNDS (cost $173,747,176)				173,745,719

Interest

Rate

Maturity
Date

Principal
Amount
(000)#

U.S. TREASURY OBLIGATION — 0.1%

U.S. Treasury Bills

2.365%(n)

03/21/19

(k)

4,400

4,377,680

(cost $4,377,589)

TOTAL SHORT-TERM INVESTMENTS
(cost $178,124,765)

178,123,399

TOTAL INVESTMENTS — 102.5%
(cost $1,412,635,479)

3,763,497,778

LIABILITIES IN EXCESS OF
OTHER ASSETS(Z) — (2.5)%

(91,175,612

)

NET ASSETS — 100.0%

3,672,322,166

See the Glossary for abbreviations used in the annual report.

*	Non-income producing security.

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

(a)	All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $92,275,392; cash collateral of $95,191,028 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. (k) Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives.

(n)	Rate shown reflects yield to maturity at purchased date.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

(z)	Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Futures contracts outstanding at December 31, 2018:


Number of Contracts	Type		Expiration Date		Current Notional Amount		Value / Unrealized Appreciation (Depreciation)
Long Positions:
164		S&P 500 E-Mini Index		Mar. 2019	$	20,542,640	$	(541,921	)
102		S&P 500 Index		Mar. 2019		63,882,600		(2,332,858	)

							$	(2,874,779	)

SEE NOTES TO FINANCIAL STATEMENTS.

A170



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral to cover requirements for open centrally cleared/exchange-traded derivatives are listed by broker as follows:


Broker	Cash and/or Foreign Currency		Securities Market Value
UBS Securities LLC	$	—	$	4,377,680

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	89,493,849	$	—	$	—
Air Freight & Logistics		22,127,211		—		—
Airlines		16,416,996		—		—
Auto Components		4,769,953		—		—
Automobiles		13,336,164		—		—
Banks		202,717,673		—		—
Beverages		68,285,566		—		—
Biotechnology		94,451,433		—		—
Building Products		9,533,686		—		—
Capital Markets		99,290,664		—		—
Chemicals		74,456,905		—		—
Commercial Services & Supplies		13,590,666		—		—
Communications Equipment		41,859,392		—		—
Construction & Engineering		2,773,574		—		—
Construction Materials		4,098,956		—		—
Consumer Finance		23,966,676		—		—
Containers & Packaging		10,873,515		—		—
Distributors		3,694,143		—		—
Diversified Consumer Services		910,783		—		—
Diversified Financial Services		68,248,327		—		—
Diversified Telecommunication Services		76,978,402		—		—
Electric Utilities		73,110,781		—		—
Electrical Equipment		17,389,442		—		—
Electronic Equipment, Instruments & Components		16,513,076		—		—
Energy Equipment & Services		18,159,414		—		—
Entertainment		73,331,180		—		—
Equity Real Estate Investment Trusts (REITs)		102,963,564		—		—
Food & Staples Retailing		56,471,673		—		—
Food Products		41,077,338		—		—
Health Care Equipment & Supplies		121,518,969		—		—
Health Care Providers & Services		114,360,536		—		—
Health Care Technology		2,816,028		—		—
Hotels, Restaurants & Leisure		66,087,408		—		—
Household Durables		10,892,969		—		—
Household Products		60,366,603		—		—
Independent Power & Renewable Electricity Producers		3,604,104		—		—
Industrial Conglomerates		51,457,107		—		—
Insurance		80,028,049		—		—
Interactive Media & Services		164,855,625		—		—
Internet & Direct Marketing Retail		125,259,693		—		—
IT Services		171,569,138		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A171



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1			Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Leisure Products	$	2,152,550		$	—	$	—
Life Sciences Tools & Services		36,035,064			—		—
Machinery		55,505,956			—		—
Media		45,668,051			—		—
Metals & Mining		8,369,204			—		—
Multiline Retail		18,750,293			—		—
Multi-Utilities		38,397,531			—		—
Oil, Gas & Consumable Fuels		171,404,570			—		—
Personal Products		5,467,178			—		—
Pharmaceuticals		188,099,517			—		—
Professional Services		10,312,189			—		—
Real Estate Management & Development		2,046,044			—		—
Road & Rail		36,088,095			—		—
Semiconductors & Semiconductor Equipment		134,214,630			—		—
Software		221,486,037			—		—
Specialty Retail		84,324,088			—		—
Technology Hardware, Storage & Peripherals		137,379,779			—		—
Textiles, Apparel & Luxury Goods		26,735,511			—		—
Tobacco		33,397,797			—		—
Trading Companies & Distributors		6,243,878			—		—
Water Utilities		2,795,716			—		—
Exchange Traded Fund		6,793,470			—		—
Affiliated Mutual Funds		173,745,719			—		—
U.S. Treasury Obligation		—			4,377,680		—
Other Financial Instruments*
Futures Contracts		(2,874,779	)		—		—

Total	$	3,756,245,319		$	4,377,680	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Software	6.0	%
Banks	5.5
Pharmaceuticals	5.1
Affiliated Mutual Funds (2.6% represents investments purchased with collateral from securities on loan)	4.8
IT Services	4.7
Oil, Gas & Consumable Fuels	4.7
Interactive Media & Services	4.5
Technology Hardware, Storage & Peripherals	3.7
Semiconductors & Semiconductor Equipment	3.7
Internet & Direct Marketing Retail	3.4
Health Care Equipment & Supplies	3.3
Health Care Providers & Services	3.1
Equity Real Estate Investment Trusts (REITs)	2.8
Capital Markets	2.7
Biotechnology	2.6
Aerospace & Defense	2.4
Specialty Retail	2.3
Insurance	2.2
Diversified Telecommunication Services	2.1
Chemicals	2.0
Entertainment	2.0
Electric Utilities	2.0


Beverages	1.9	%
Diversified Financial Services	1.9
Hotels, Restaurants & Leisure	1.8
Household Products	1.6
Food & Staples Retailing	1.5
Machinery	1.5
Industrial Conglomerates	1.4
Media	1.2
Communications Equipment	1.1
Food Products	1.1
Multi-Utilities	1.0
Road & Rail	1.0
Life Sciences Tools & Services	1.0
Tobacco	0.9
Textiles, Apparel & Luxury Goods	0.7
Consumer Finance	0.7
Air Freight & Logistics	0.6
Multiline Retail	0.5
Energy Equipment & Services	0.5
Electrical Equipment	0.5
Electronic Equipment, Instruments & Components	0.4
Airlines	0.4
Commercial Services & Supplies	0.4

SEE NOTES TO FINANCIAL STATEMENTS.

A172



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry table (cont.)
Automobiles	0.4	%
Household Durables	0.3
Containers & Packaging	0.3
Professional Services	0.3
Building Products	0.3
Metals & Mining	0.2
Exchange Traded Fund	0.2
Trading Companies & Distributors	0.2
Personal Products	0.1
Auto Components	0.1
U.S. Treasury Obligation	0.1
Construction Materials	0.1
Distributors	0.1
Independent Power & Renewable Electricity Producers	0.1


Health Care Technology	0.1	%
Water Utilities	0.1
Construction & Engineering	0.1
Leisure Products	0.1
Real Estate Management & Development	0.1
Diversified Consumer Services	0.0	*

	102.5
Liabilities in excess of other assets	(2.5	)

	100.0	%

*	Less than +/- 0.05%

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

Fair values of derivative instruments as of December 31, 2018 as presented in the Statement of Assets and Liabilities:

Asset Derivatives

Liability Derivatives

Derivatives not accounted for as hedging
instruments, carried at fair value

Statement of
Assets and
Liabilities Location

Fair Value

Statement of
Assets and
Liabilities Location

Fair Value

Equity contracts

—

Due from/to broker — variation margin futures

2,874,779

*	Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. 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, 2018 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(2,902,918	)


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures
Equity contracts	$	(3,289,607	)

For the year ended December 31, 2018, the Portfolio’s average volume of derivative activities is as follows:

Futures
Contracts—
Long
Positions(1)

$85,521,178

(1)	Notional Amount in USD.

SEE NOTES TO FINANCIAL STATEMENTS.

A173



		*STOCK INDEX PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	92,275,392	$	(92,275,392	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A174



		*STOCK INDEX PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $92,275,392:
Unaffiliated investments (cost $1,238,888,303)	$	3,589,752,059
Affiliated investments (cost $173,747,176)		173,745,719
Cash		22,366
Dividends receivable		4,187,307
Receivable for Portfolio shares sold		763,936
Due from broker-variation margin futures		647,040
Prepaid expenses		30,261

Total Assets		3,769,148,688

LIABILITIES
Payable to broker for collateral for securities on loan		95,191,028
Management fee payable.		972,386
Accrued expenses and other liabilities		393,537
Payable for Portfolio shares repurchased		268,591
Affiliated transfer agent fee payable		980

Total Liabilities		96,826,522

NET ASSETS	$	3,672,322,166

Net assets were comprised of:
Partners Equity	$	3,672,322,166

Net asset value and redemption price per share $3,672,322,166 / 64,840,775 outstanding shares of beneficial interest	$	56.64

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $31 foreign withholding tax)	$	76,677,918
Affiliated dividend income		1,700,280
Income from securities lending, net (including affiliated income of $306,224)		308,880
Interest income		77,253

Total income		78,764,331

EXPENSES
Management fee		12,128,447
Custodian and accounting fees		245,201
Shareholders’ reports		148,081
Trustees’ fees		52,388
Audit fee		25,100
Legal fees and expenses		22,841
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		70,380

Total expenses.		12,703,121

NET INVESTMENT INCOME (LOSS)		66,061,210

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(20,810))		103,223,108
Futures transactions		(2,902,918	)

		100,320,190

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(1,457))		(336,184,102	)
Futures		(3,289,607	)

		(339,473,709	)

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(239,153,519	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(173,092,309	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	66,061,210		$	61,230,148
Net realized gain (loss) on investment transactions		100,320,190			53,386,531
Net change in unrealized appreciation (depreciation) on investments.		(339,473,709	)		589,671,144

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(173,092,309	)		704,287,823

DISTRIBUTIONS		—			(129,595,196	)

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [3,148,487 and 2,742,922 shares, respectively]		190,000,727			149,785,094
Portfolio shares issued in reinvestment of distributions [0 and 2,421,435 shares, respectively]		—			129,595,196
Portfolio shares repurchased [4,457,788 and 4,202,101 shares, respectively]		(272,872,840	)		(230,911,603	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(82,872,113	)		48,468,687

TOTAL INCREASE (DECREASE)		(255,964,422	)		623,161,314
NET ASSETS:
Beginning of year		3,928,286,588			3,305,125,274

End of year	$	3,672,322,166		$	3,928,286,588

SEE NOTES TO FINANCIAL STATEMENTS.

A175



		*VALUE PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 95.9%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 3.6%
Boeing Co. (The)		79,195	$	25,540,387
United Technologies Corp.		172,262		18,342,458

				43,882,845

Banks — 14.6%
Bank of America Corp.		1,411,284		34,774,038
BB&T Corp.		437,247		18,941,540
Citigroup, Inc.		390,585		20,333,855
JPMorgan Chase & Co.		611,296		59,674,716
PNC Financial Services Group, Inc. (The)		169,485		19,814,491
SunTrust Banks, Inc.		200,835		10,130,117
Wells Fargo & Co.		340,939		15,710,469

				179,379,226

Biotechnology — 0.7%
Celgene Corp.*		142,031		9,102,767

Building Products — 0.9%
Johnson Controls International PLC		359,733		10,666,083

Capital Markets — 1.1%
Goldman Sachs Group, Inc. (The)		81,459		13,607,726

Chemicals — 3.1%
DowDuPont, Inc.		122,380		6,544,882
FMC Corp.		222,189		16,433,098
Linde PLC (United Kingdom)(a)		98,888		15,430,484

				38,408,464

Communications Equipment — 2.2%
Cisco Systems, Inc.		634,691		27,501,161

Consumer Finance — 2.8%
Capital One Financial Corp.		264,488		19,992,648
SLM Corp.*		1,727,811		14,358,109

				34,350,757

Diversified Telecommunication Services — 2.2%
Verizon Communications, Inc.		490,306		27,565,003

Electric Utilities — 5.1%
American Electric Power Co., Inc.		426,768		31,896,640
Exelon Corp.		694,735		31,332,549

				63,229,189

Electrical Equipment — 1.0%
Emerson Electric Co.		205,302		12,266,795

Energy Equipment & Services — 0.4%
Schlumberger Ltd.		139,817		5,044,597

Entertainment — 1.5%
Twenty-First Century Fox, Inc. (Class A Stock)		372,454		17,922,487

Equity Real Estate Investment Trusts (REITs) — 2.7%
American Campus Communities, Inc.		284,610		11,780,008
American Tower Corp.		132,904		21,024,084

				32,804,092

Food & Staples Retailing — 2.3%
Walmart, Inc.		306,505		28,550,941


COMMON STOCKS (continued)	Shares		Value

Food Products — 2.4%
Conagra Brands, Inc.		417,604	$	8,920,021
Mondelez International, Inc. (Class A Stock)		512,500		20,515,375

				29,435,396

Health Care Equipment & Supplies — 1.6%
Zimmer Biomet Holdings, Inc.		193,199		20,038,600

Health Care Providers & Services — 2.5%
Cigna Corp.(a)		85,488		16,235,881
Laboratory Corp. of America Holdings*		112,606		14,228,894

				30,464,775

Hotels, Restaurants & Leisure — 1.3%
McDonald’s Corp.		91,370		16,224,571

Household Products — 2.1%
Procter & Gamble Co. (The)		281,448		25,870,700

Insurance — 4.0%
Brighthouse Financial, Inc.*(a)		238,431		7,267,377
Chubb Ltd.		180,259		23,285,857
MetLife, Inc.		460,414		18,904,599

				49,457,833

Interactive Media & Services — 1.4%
Alphabet, Inc. (Class A Stock)*		16,011		16,730,855

Internet & Direct Marketing Retail — 0.5%
eBay, Inc.*		239,006		6,708,898

Media — 3.0%
Comcast Corp. (Class A Stock)		704,041		23,972,596
Liberty Global PLC (United Kingdom) (Class C Stock)*		647,323		13,360,747

				37,333,343

Multi-Utilities — 1.5%
Ameren Corp.		283,577		18,497,728

Oil, Gas & Consumable Fuels — 7.7%
Anadarko Petroleum Corp.		168,117		7,370,249
Chevron Corp.		319,297		34,736,321
Noble Energy, Inc.		438,379		8,223,990
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR		481,672		28,067,028
Suncor Energy, Inc. (Canada)(a)		598,657		16,744,436

				95,142,024

Pharmaceuticals — 12.1%
Allergan PLC		93,931		12,554,818
AstraZeneca PLC (United Kingdom), ADR(a)		556,140		21,122,197
Bristol-Myers Squibb Co.		243,447		12,654,375
Elanco Animal Health, Inc.*(a)		194,493		6,132,364
Eli Lilly & Co.		270,485		31,300,524
Merck & Co., Inc.		359,127		27,440,894
Pfizer, Inc.		862,380		37,642,887

				148,848,059

Road & Rail — 1.7%
Union Pacific Corp.		153,781		21,257,148

SEE NOTES TO FINANCIAL STATEMENTS.

A176



		*VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Semiconductors & Semiconductor Equipment — 2.6%
Broadcom, Inc.		75,573	$	19,216,702
Texas Instruments, Inc.		140,373		13,265,249

				32,481,951

Software — 2.5%
Microsoft Corp.		168,736		17,138,516
PTC, Inc.*(a)		157,760		13,078,304

				30,216,820

Specialty Retail — 2.3%
Lowe’s Cos., Inc.		137,819		12,728,963
Ross Stores, Inc.		182,708		15,201,305

				27,930,268

Technology Hardware, Storage & Peripherals — 1.3%
Apple, Inc.		100,225		15,809,492

Textiles, Apparel & Luxury Goods — 1.2%
Tapestry, Inc.		453,875		15,318,281

TOTAL LONG-TERM INVESTMENTS (cost $916,204,524)				1,182,048,875


SHORT-TERM INVESTMENTS — 8.2%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		50,056,662		50,056,662
PGIM Institutional Money Market Fund (cost $50,978,549; includes $50,880,924 of cash collateral for securities on loan)(b)(w)		50,981,447		50,976,349

TOTAL SHORT-TERM INVESTMENTS (cost $101,035,211)				101,033,011
TOTAL INVESTMENTS—104.1% (cost $1,017,239,735)				1,283,081,886
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.1)%				(50,508,989	)

NET ASSETS — 100.0%			$	1,232,572,897

See the Glossary for abbreviations used in the annual report.

*	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 $49,925,693; cash collateral of $50,880,924 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	43,882,845	$	—	$	—
Banks		179,379,226		—		—
Biotechnology		9,102,767		—		—
Building Products		10,666,083		—		—
Capital Markets		13,607,726		—		—
Chemicals		38,408,464		—		—

SEE NOTES TO FINANCIAL STATEMENTS.

A177



		*VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Communications Equipment	$	27,501,161	$	—	$	—
Consumer Finance		34,350,757		—		—
Diversified Telecommunication Services		27,565,003		—		—
Electric Utilities		63,229,189		—		—
Electrical Equipment		12,266,795		—		—
Energy Equipment & Services		5,044,597		—		—
Entertainment		17,922,487		—		—
Equity Real Estate Investment Trusts (REITs)		32,804,092		—		—
Food & Staples Retailing		28,550,941		—		—
Food Products		29,435,396		—		—
Health Care Equipment & Supplies		20,038,600		—		—
Health Care Providers & Services		30,464,775		—		—
Hotels, Restaurants & Leisure		16,224,571		—		—
Household Products		25,870,700		—		—
Insurance		49,457,833		—		—
Interactive Media & Services		16,730,855		—		—
Internet & Direct Marketing Retail		6,708,898		—		—
Media		37,333,343		—		—
Multi-Utilities		18,497,728		—		—
Oil, Gas & Consumable Fuels		95,142,024		—		—
Pharmaceuticals		148,848,059		—		—
Road & Rail		21,257,148		—		—
Semiconductors & Semiconductor Equipment		32,481,951		—		—
Software		30,216,820		—		—
Specialty Retail		27,930,268		—		—
Technology Hardware, Storage & Peripherals		15,809,492		—		—
Textiles, Apparel & Luxury Goods		15,318,281		—		—
Affiliated Mutual Funds		101,033,011		—		—

Total	$	1,283,081,886	$	—	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Banks	14.6	%
Pharmaceuticals	12.1
Affiliated Mutual Funds (4.1% represents investments purchased with collateral from securities on loan)	8.2
Oil, Gas & Consumable Fuels	7.7
Electric Utilities	5.1
Insurance	4.0
Aerospace & Defense	3.6
Chemicals	3.1
Media	3.0
Consumer Finance	2.8
Equity Real Estate Investment Trusts (REITs)	2.7
Semiconductors & Semiconductor Equipment	2.6
Health Care Providers & Services	2.5
Software	2.5
Food Products	2.4
Food & Staples Retailing	2.3
Specialty Retail	2.3
Diversified Telecommunication Services	2.2
Communications Equipment	2.2


Household Products	2.1	%
Road & Rail	1.7
Health Care Equipment & Supplies	1.6
Multi-Utilities	1.5
Entertainment	1.5
Interactive Media & Services	1.4
Hotels, Restaurants & Leisure	1.3
Technology Hardware, Storage & Peripherals	1.3
Textiles, Apparel & Luxury Goods	1.2
Capital Markets	1.1
Electrical Equipment	1.0
Building Products	0.9
Biotechnology	0.7
Internet & Direct Marketing Retail	0.5
Energy Equipment & Services	0.4

	104.1
Liabilities in excess of other assets	(4.1	)

	100.0	%

SEE NOTES TO FINANCIAL STATEMENTS.

A178



		*VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	49,925,693	$	(49,925,693	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.

A179



		*VALUE PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $49,925,693:
Unaffiliated investments (cost $916,204,524)	$	1,182,048,875
Affiliated investments (cost $101,035,211)		101,033,011
Dividends and interest receivable		1,207,262
Tax reclaim receivable		1,021,397
Receivable for investments sold		17,116
Receivable from affiliate		16,170
Receivable for Portfolio shares sold		4,891
Prepaid expenses		10,545

Total Assets		1,285,359,267

LIABILITIES
Payable to broker for collateral for securities on loan		50,880,924
Payable to affiliate		805,934
Payable for Portfolio shares repurchased		438,162
Management fee payable		432,036
Accrued expenses and other liabilities		207,039
Payable to custodian		19,151
Distribution fee payable		1,340
Affiliated transfer agent fee payable		980
Administration fee payable		804

Total Liabilities		52,786,370

NET ASSETS	$	1,232,572,897

Net assets were comprised of:
Partners Equity	$	1,232,572,897

Class I:
Net asset value and redemption price per share, $1,226,440,189 / 42,953,865 outstanding shares of beneficial interest	$	28.55

Class II:
Net asset value and redemption price per share, $6,132,708 / 218,448 outstanding shares of beneficial interest	$	28.07

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS) INCOME
Unaffiliated dividend income (net of $98,481 foreign withholding tax)	$	30,564,819
Affiliated dividend income		507,926
Affiliated income from securities lending, net		64,551

Total income		31,137,296

EXPENSES
Management fee		5,694,980
Distribution fee—Class II		17,930
Administration fee—Class II		10,758
Shareholders’ reports		151,722
Custodian and accounting fees		108,783
Audit fee		28,600
Trustees’ fees		24,293
Legal fees and expenses		14,825
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,681
Miscellaneous		32,939

Total expenses		6,095,511

NET INVESTMENT INCOME (LOSS)		25,041,785

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $8,969)		69,745,889
Foreign currency transactions		(9	)

		69,745,880

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(4,504))		(230,181,632	)
Foreign currencies		6,224

		(230,175,408	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(160,429,528	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(135,387,743	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	25,041,785		$	23,114,259
Net realized gain (loss) on investment and foreign currency transactions		69,745,880			57,849,198
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(230,175,408	)		143,044,945

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(135,387,743	)		224,008,402

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		7,491,489			4,954,620
Portfolio shares repurchased		(128,220,347	)		(123,313,323	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(120,728,858	)		(118,358,703	)

CAPITAL CONTRIBUTIONS.		937,697			—

TOTAL INCREASE (DECREASE)		(255,178,904	)		105,649,699
NET ASSETS:
Beginning of year		1,487,751,801			1,382,102,102

End of year	$	1,232,572,897		$	1,487,751,801

SEE NOTES TO FINANCIAL STATEMENTS.

A180



		*GLOSSARY*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

The following abbreviations are used in the preceding Portfolios’ descriptions:


AUD		Australian Dollar
BRL		Brazilian Real
EUR		Euro
GBP		British Pound
JPY		Japanese Yen
USD		US Dollar
ZAR		South African Rand


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.
A		Annual payment frequency for swaps
ABS		Asset-Backed Security
Aces		Alternative Credit Enhancements Securities
ADR		American Depositary Receipt
AGC		Assured Guaranty Corp.
BABs		Build America Bonds
BROIS		Brazil Overnight Index Swap
CDS		Credit Default Swap
CDX		Credit Derivative Index
CLO		Collateralized Loan Obligation
CMBX		Commercial Mortgage-Backed Index
CMS		Constant Maturity Swap
CPI		Consumer Price Index
CVA		Certificate Van Aandelen (Bearer)
CVR		Contingent Value Rights
CVT		Convertible Security
EAFE		Europe, Australasia, Far East
EMTN		Euro Medium Term Note
ETF		Exchange Traded Fund
EURIBOR		Euro Interbank Offered Rate
FHLMC		Federal Home Loan Mortgage Corporation
FNMA		Federal National Mortgage Association
GMAC		General Motors Acceptance Corporation
GMTN		Global Medium Term Note
GNMA		Government National Mortgage Association
GO		General Obligation
IO		Interest Only (Principal amount represents notional)
iTraxx		International Credit Derivative Index
JIBAR		Johannesburg Interbank Agreed Rate
LIBOR		London Interbank Offered Rate
M		Monthly payment frequency for swaps
MSCI		Morgan Stanley Capital International
MTN		Medium Term Note
NSA		Non-Seasonally Adjusted
OTC		Over-the-counter
PIK		Payment-in-Kind

SEE NOTES TO FINANCIAL STATEMENTS.

A181



		*GLOSSARY (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


PO		Principal Only
PRFC		Preference Shares
Q		Quarterly payment frequency for swaps
REIT		Real Estate Investment Trust
REITs		Real Estate Investment Trusts
RSP		Savings Shares
S		Semiannual payment frequency for swaps
S&P		Standard & Poor
SLM		Student Loan Mortgage
STACR		Structured Agency Credit Risk
Strips		Separate Trading of Registered Interest and Principal of Securities
T		Swap payment upon termination
TBA		To Be Announced
TIPS		Treasury Inflation-Protected Securities
USAID		United States Agency for International Development
USOIS		United States Overnight Index Swap
UTS		Unit Trust Security

SEE NOTES TO FINANCIAL STATEMENTS.

A182

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

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.

Government Money Market Portfolio: Maximum current income consistent with the stability of capital and maintenance of liquidity.

High Yield Bond Portfolio: High total return.

Jennison Portfolio: Long-term growth of capital.

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.

Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.

Securities Valuation: Each Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

For the fiscal reporting year-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolios’ foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how each Portfolios’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 - Fair Value Measurements and Disclosures.

Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time each Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stock valuation policies discussed above.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

The Government Money Market Portfolio values all of its securities of sufficient credit quality at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Portfolios utilize the market approach when quoted prices in broker-dealer markets are available but also include consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market

approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

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 Manager 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 unaffiliated mutual funds to calculate their net asset values.

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of its net assets (the Government Money Market Portfolio may invest up to 5%) in illiquid securities, including those which are restricted as to disposition under federal securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be deemed liquid by the Portfolios’ Subadviser under the guidelines adopted by the Board. However, the liquidity of a Portfolios’ investments in Rule 144A securities could be impaired if trading does not develop or declines.

Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR): Certain Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.

Foreign Currency Translation: The books and records of the Portfolios 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 Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally 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 Portfolios do 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, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

Forward and Cross 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. Certain Portfolios entered into forward currency contracts, as defined in the prospectus, in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on forward and cross currency contracts. Gain (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 (loss), if any, is included in net realized gain (loss) on forward and cross currency contract 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. A Portfolios’ 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 cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. The Portfolios may also use options to gain additional market exposure. 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 (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 (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 (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.

The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments 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 or financial instrument underlying the written option. The Portfolio, as purchaser of an OTC option, bears the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.

When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.

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 futures transactions.

Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in value of equities, prevailing interest rates or foreign currency exchange rates. Should interest rates move unexpectedly, the Portfolios 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. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.

Bank Loans: Certain Portfolios invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. Each Portfolio may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, a Portfolio generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Portfolio generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, a Portfolio generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Portfolio may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, a Portfolio will assume the credit risk of both the borrower and the institution selling the participation to the Portfolio.

Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, 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 and 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 Portfolio may be delayed or limited.

Forward Rate Agreements: Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolios entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.

Swap Agreements: Certain Portfolios entered into credit default, interest rate, total return and other types of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement 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. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objective. Certain Portfolios used interest rate swaps to maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments. A Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net present value

of the cash flows to be received from the counterparty over the contract’s remaining life.

Inflation Swaps: Certain Portfolios entered into inflation swap agreements to protect against fluctuations in inflation rates. Inflation swaps are characterized by one party paying a fixed rate in exchange for a floating rate that is derived from an inflation index, such as the Consumer Price Index or UK Retail Price Index. Inflation swaps subject the Portfolios to interest rate risk.

Credit Default Swaps (“CDS”): CDS 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 (collectively a “credit event”) for the referenced entity (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.

Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives, and as such, have entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.

As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.

The maximum amount of the payment that the 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. This potential amount 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 which the Portfolio entered into 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 market value of credit default swap agreements where the Portfolio is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk 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. Wider credit spreads and increased 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 of risk of default or other credit event occurring as defined under the terms of the agreement.

Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.

Total Return Swaps: In a total return swap, one party receives payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pays a defined amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in favor of the Portfolio, from the point of entering into the contract.

Master Netting Arrangements: The Series Fund, on behalf of certain Portfolios, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a Subadviser may have negotiated and entered into on behalf of a Portfolio. For multi-sleeve Portfolios, different Subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. 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 Portfolios’ exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Series Fund, on behalf of certain Portfolios, is a party to International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

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 no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in a portfolio may be identified 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 to serve as recourse in the event of default or bankruptcy/ insolvency of either party. Such OTC 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, 2018, 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, forward rate agreements, 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. Such risks may be mitigated by engaging in master netting arrangements.

Warrants and Rights: Certain Portfolios hold warrants and rights acquired either through a direct purchase 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 Portfolios until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Payment-In-Kind: Certain fixed income Portfolios invest in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.

Delayed-Delivery Transactions: Certain Portfolios purchase or sell securities on a when-issued or delayed-delivery and forward commitment basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the

customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a realized gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.

Securities Lending: Certain Portfolios lend their 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 invested in an affiliated money market fund and 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. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. 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 in the open market using the collateral.

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 borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”.

Mortgage Dollar Rolls: Certain Portfolios enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are 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 sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Portfolios are subject to the risk that the market value of the securities the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price.

Equity and Mortgage Real Estate Investment Trusts (collectively equity REITs): Certain Portfolios invest in equity REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from equity REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. When material, these estimates are adjusted periodically when the actual source of distributions is disclosed by the equity REITs.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees which are charged directly 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 is treated as a separate taxpaying entity. Each Portfolio is treated as a partnership 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 the Portfolio’s shareholders (participating insurance companies). Each Portfolio is not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items. Withholding

taxes on foreign dividends, interest and capital gains are accrued in accordance with each Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudental as referenced in Note 3. Each Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. 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 those estimates.

Agreements

The Series Fund has a management agreement with PGIM Investments on behalf of the Portfolios. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the Subadvisers’ performance of such services. The Manager has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income unit (“PFI”) (a wholly-owned subsidiary of PGIM, Inc.), Jennison Associates LLC (“Jennison”) (a wholly-owned subsidiary of PGIM, Inc.), Allianz Global Investors U.S. LLC (“Allianz”), Brown Advisory LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”) (a wholly-owned subsidiary of PGIM, Inc.), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. The Manager pays for the services of the Subadvisers, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolios. The Portfolios bear all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly, using the value of each Portfolio’s average daily net assets, at the respective annual rates specified below.


Portfolio	Management Fee	Effective Management Fee, Net of Waiver, if Applicable
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		0.73	*
Government Income Portfolio	0.40		0.40
Government Money Market Portfolio	0.30		0.30
High Yield Bond Portfolio	0.55		0.50	**
Jennison Portfolio	0.60		0.60
Natural Resources Portfolio	0.45		0.44	***
Small Capitalization Stock Portfolio	0.35		0.35
	0.30% up to $4 billion
Stock Index Portfolio	0.25% over $4 billion		0.30
Value Portfolio	0.40		0.40

Effective December 1, 2018, the Manager has contractually agreed, through June 30, 2020, to waive a portion of its management fee equal to an annual rate of 0.032% of the average daily net assets of the Portfolio. Prior to December 1, 2018, the Manager had contractually agreed to waive a portion of its management fee equal to an annual rate of 0.024% of the average daily net assets of the Portfolio.

The Manager has contractually agreed through June 30, 2019 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, acquired fund fees and expenses, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of the Portfolio to 0.57% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.

***

The Manager has contractually agreed, through June 30, 2019, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio.

At December 31, 2018, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:


Portfolio		Subadviser(s)
Conservative Balanced Portfolio		PFI, QMA
Diversified Bond Portfolio		PFI
Equity Portfolio		Jennison
Flexible Managed Portfolio		PFI, QMA
Global Portfolio		Brown, LSV, QMA, T. Rowe & William Blair
Government Income Portfolio		PFI
Government Money Market Portfolio		PFI
High Yield Bond Portfolio		PFI
Jennison Portfolio		Jennison
Natural Resources Portfolio		Allianz
Small Capitalization Stock Portfolio		QMA
Stock Index Portfolio		QMA
Value Portfolio		Jennison

The Series Fund, on behalf of the Portfolios, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolios. The Portfolios compensate PIMS for distributing and servicing the Portfolios’ 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 Portfolios. 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 the Manager, which acts as the administrator of the Class II shares of the Portfolios. The administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolios, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2018, brokerage commission recaptured under these agreements was as follows:


Portfolio	Amount
Conservative Balanced Portfolio	$	7
Equity Portfolio		219,872
Flexible Managed Portfolio		6
Global Portfolio		31,368
Jennison Portfolio		76,970
Value Portfolio		51,410

PIMS, PGIM Investments, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolios. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

The Portfolios may invest their overnight sweep cash in the PGIM Core Ultra Short Bond Fund (formerly known as Prudential Core Ultra Short Bond Fund) (the “Core Fund”) and their securities lending cash collateral in the PGIM

B10

Institutional Money Market Fund (formerly known as Prudential Institutional Money Market Fund) (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. The Portfolios may also invest in the PGIM Core Short-Term Bond Fund (formerly known as Prudential Core Short-Term Bond Fund), pursuant to an exemptive order received from Securities Exchange Commission (“SEC”), a series of Prudential Investment Portfolios 2 (together with PGIM Core Ultra Short Bond Fund, the “Core Funds”) registered under the 1940 Act and managed by PGIM Investments. Through the Portfolios’ investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2016.

The SEC Staff and other regulators continue to review the matter.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Portfolios’ independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Portfolios’ independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Portfolios’ independent trustees. The aggregate previously unreimbursed excess withholding tax and opportunity loss payments for each affected Portfolio are disclosed in the respective Portfolios’ “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2018.

In addition to the above, Prudential committed to the Portfolios’ independent trustees that it would pay all consulting, legal, audit, and other charges, fees and expenses incurred with the matters described above. Prudential has made and continues to make these payments.

During the reporting period and in consultation with the Portfolios’ independent trustees, Prudential instituted a process to reimburse the affected Portfolios for any future excess withholding tax within approximately 30 days of the pay date of the applicable dividend or interest income event regardless of whether the excess withholding tax is due to timing differences or permanent detriments resulting from the Portfolios’ partnership tax status. Working with its third-party consultant and a third-party consultant retained by the Portfolios’ independent trustees, Prudential has since developed a process to reimburse the affected Portfolios in a more timely manner. That process is currently being reviewed and tested by Prudential’s third-party consultant.

B11

In cases in which the excess withholding tax is due to timing differences and is reclaimable from the foreign jurisdiction, the affected Portfolios have the ability to recover the excess withholding tax withheld by filing a reclaim with the relevant foreign tax authority. To avoid a Portfolio receiving and retaining a duplicate payment for the same excess withholding tax, payments received by an applicable Portfolio from a foreign tax authority for reclaims for which a Portfolio previously received reimbursement from Prudential will be payable to Prudential. Pending tax reclaim amounts due to Prudential for excess withholding tax which Prudential previously paid to the Portfolios are reported as “Payable to affiliate” on the “Statement of Assets and Liabilities” and any amounts accrued but not yet reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.

The following amounts have been accrued or paid by Prudential for excess withholding taxes related to permanent tax detriments as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.


	2018 Withholding Tax
Conservative Balanced Portfolio	$	21,531
Diversified Bond Portfolio		1,135
Equity Portfolio		30,662
Flexible Managed Portfolio		22,701
Global Portfolio		136,734
Natural Resources Portfolio		4,862

The following amounts have been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.


	2018 Payments
Conservative Balanced Portfolio	$	215,021
Equity Portfolio		542,976
Flexible Managed Portfolio		268,847
Global Portfolio		864,837
Jennison Portfolio		42,927
Small Capitalization Stock Portfolio		1,312
Natural Resources Portfolio		571,169
Value Portfolio		834,512

The following amounts have been paid in 2018 by Prudential for previously unreimbursed excess withholding taxes and for the opportunity loss associated with excess withholding taxes related to permanent tax detriments and timing differences as described above for certain countries due to the Portfolios’ status as partnerships for tax purposes.


	Opportunity Loss		Unreimbursed Excess Withholding Taxes
Conservative Balanced Portfolio	$	55,261	$	—
Diversified Bond Portfolio		333,858		402,819
Equity Portfolio		2,149,284		1,355,875
Flexible Managed Portfolio		65,481		7,107
Global Portfolio		357,830		163,011
Government Income Portfolio		—		246
High Yield Bond Portfolio		1,312		1,518
Jennison Portfolio		113,792		29,118
Natural Resources Portfolio		—		91,663
Small Capitalization Stock Portfolio		57		—
Value Portfolio		577,617		360,080

B12

Certain Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that, subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the year ended December 31, 2018, no such transactions were entered into by the Portfolios.

Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the year ended December 31, 2018, were as follows:


Portfolio	Cost of Purchases		Proceeds from Sales
Conservative Balanced Portfolio	$	2,010,561,008	$	2,192,555,590
Diversified Bond Portfolio		378,375,221		346,864,790
Equity Portfolio		1,589,637,001		1,890,290,006
Flexible Managed Portfolio		5,094,319,447		5,296,111,446
Global Portfolio		313,182,698		350,104,269
Government Income Portfolio		530,010,024		543,035,973
High Yield Bond Portfolio		243,691,796		226,505,758
Jennison Portfolio		801,202,607		915,160,535
Natural Resources Portfolio		468,480,047		494,448,323
Small Capitalization Stock Portfolio		157,090,944		200,303,459
Stock Index Portfolio		165,031,350		205,975,496
Value Portfolio		315,521,132		440,715,368

A summary of the cost of purchases and proceeds from sales of shares of affiliated mutual funds for the year ended December 31, 2018, is presented as follows:

Conservative Balanced Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
$	102,386,530	$	2,210,871	$	44,000,000	$	2,965,771		$	(3,464,941	)	$	60,098,231		6,525,324	$	2,042,068
	PGIM Core Ultra Short Bond Fund*
	255,703,495		591,359,702		526,034,218		—			—			321,028,979		321,028,979		5,638,077
	PGIM Institutional Money Market Fund*
	45,333,840		321,067,203		331,327,330		(1,027	)		(6,900	)		35,065,786		35,069,293		135,802	**

$	403,423,865	$	914,637,776	$	901,361,548	$	2,964,744		$	(3,471,841	)	$	416,192,996			$	7,815,947

B13

Diversified Bond Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
$	54,598,691	$	1,160,875	$	19,300,000	$	907,543	$	(1,200,366	)	$	36,166,743		3,926,899	$	1,160,876
	PGIM Core Ultra Short Bond Fund*
	45,727,273		338,007,102		380,421,870		—		—			3,312,505		3,312,505		336,042
	PGIM Institutional Money Market Fund*
	11,557,301		113,846,229		120,106,362		409		(2,637	)		5,294,940		5,295,469		55,611	**

$	111,883,265	$	453,014,206	$	519,828,232	$	907,952	$	(1,203,003	)	$	44,774,188			$	1,552,529

Equity Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	93,453,847	$	870,527,056	$	841,902,946	$	—	$	—		$	122,077,957		122,077,957	$	2,671,102
	PGIM Institutional Money Market Fund*
	281,455,354		1,987,913,324		2,035,395,608		1,779		(12,714	)		233,962,135		233,985,533		954,151	**

$	374,909,201	$	2,858,440,380	$	2,877,298,554	$	1,779	$	(12,714	)	$	356,040,092			$	3,625,253

Flexible Managed Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
$	133,262,040	$	2,873,540	$	58,500,000	$	3,965,036	$	(4,606,796	)	$	76,993,820		8,359,807	$	2,873,541
	PGIM Core Ultra Short Bond Fund*
	173,027,546		938,502,307		891,581,717		—		—			219,948,136		219,948,136		4,215,595
	PGIM Institutional Money Market Fund*
	78,205,811		590,951,072		626,206,994		3,486		(3,874	)		42,949,501		42,953,797		232,409	**

$	384,495,397	$	1,532,326,919	$	1,576,288,711	$	3,968,522	$	(4,610,670	)	$	339,891,457			$	7,321,545

Global Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	22,911,237	$	241,579,737	$	235,401,821	$	—		$	—		$	29,089,153		29,089,153	$	615,259
	PGIM Institutional Money Market Fund*
	49,761,429		392,143,131		399,006,780		(943	)		(5,596	)		42,891,241		42,895,530		201,682	**

$	72,672,666	$	633,722,868	$	634,408,601	$	(943	)	$	(5,596	)	$	71,980,394			$	816,941

B14

Government Income Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Short-Term Bond Fund*
$	26,643,269	$	686,343	$	4,500,000	$	83,454	$	(315,534	)	$	22,597,532		2,459,756	$	686,343
	PGIM Core Ultra Short Bond Fund*
	2,764,602		80,444,364		83,206,460		—		—			2,506		2,506		40,833
	PGIM Institutional Money Market Fund*
	958,151		21,612,210		22,570,571		—		210			—		—		3,351	**

$	30,366,022	$	102,742,917	$	110,277,031	$	83,454	$	(315,324	)	$	22,600,038			$	730,527

High Yield Bond Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	23,473,373	$	117,020,235	$	129,194,339	$	—		$	—		$	11,299,269		11,299,269	$	277,780
	PGIM Institutional Money Market Fund*
	28,126,890		228,842,476		179,916,840		(4,576	)		(3,791	)		77,044,159		77,051,864		431,941	**

$	51,600,263	$	345,862,711	$	309,111,179	$	(4,576	)	$	(3,791	)	$	88,343,428			$	709,721

Jennison Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	7,129,708	$	396,979,409	$	400,720,205	$	—		$	—	$	3,388,912		3,388,912	$	280,543
	PGIM Institutional Money Market Fund*
	202,129,444		1,042,432,302		1,123,063,589		(931	)		5,478		121,502,704		121,514,856		692,794	**

$	209,259,152	$	1,439,411,711	$	1,523,783,794	$	(931	)	$	5,478	$	124,891,616			$	973,337

Natural Resources Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	459,194	$	223,773,126	$	207,851,784	$	—	$	—		$	16,380,536		16,380,536	$	268,026
	PGIM Institutional Money Market Fund*
	54,423,445		328,591,166		361,237,560		152		(1,972	)		21,775,231		21,777,409		177,513	**

$	54,882,639	$	552,364,292	$	569,089,344	$	152	$	(1,972	)	$	38,155,767			$	445,539

B15

Small Capitalization Stock Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	—	$	85,030,686	$	83,194,412	$	—		$	—		$	1,836,274		1,836,274	$	73,780
	PGIM Institutional Money Market Fund*
	209,790,456		360,267,030		431,051,227		(4,190	)		(14,818	)		138,987,251		139,001,151		695,591	**

$	209,790,456	$	445,297,716	$	514,245,639	$	(4,190	)	$	(14,818	)	$	140,823,525			$	769,371

Stock Index Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	59,834,393	$	282,216,113	$	263,725,559	$	—		$	—		$	78,324,947		78,324,947	$	1,700,280
	PGIM Institutional Money Market Fund*
	119,913,547		628,431,624		652,902,132		(1,457	)		(20,810	)		95,420,772		95,430,315		306,224	**

$	179,747,940	$	910,647,737	$	916,627,691	$	(1,457	)	$	(20,810	)	$	173,745,719			$	2,006,504

Value Portfolio


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)			Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	17,832,841	$	260,319,057	$	228,095,236	$	—		$	—	$	50,056,662		50,056,662	$	507,926
	PGIM Institutional Money Market Fund*
	23,095,428		458,874,864		430,998,408		(4,504	)		8,969		50,976,349		50,981,447		64,551	**

$	40,928,269	$	719,193,921	$	659,093,644	$	(4,504	)	$	8,969	$	101,033,011			$	572,477

The Fund did not have any capital gain distributions during the reporting period.

This amount is included in “Income from securities lending, net” on the Statement of Operations.

Tax Information

All Portfolios are treated as partnerships for federal income tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

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 fair market value.

The Manager has analyzed the Portfolios’ tax positions taken on federal, state and local 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 reporting period. The Portfolios’ federal, state and local 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.

B16

Borrowings

The Series Fund, on behalf of the Portfolios, (excluding the Government Money Market 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 October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. Each Portfolios’ portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. Prior to October 4, 2018, the Portfolios had another SCA that provided a commitment of $900 million and the Portfolios paid an annualized commitment fee of 0.15% of the unused portion of the SCA. The interest on borrowings under the SCAs is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.

Other affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.

The following Portfolios utilized the SCA during the year ended December 31, 2018. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.


Portfolio	Average Balance Outstanding		Weighted Average Interest Rates			Number of Days Outstanding	Maximum Balance Outstanding		Balance Outstanding at December 31, 2018
Conservative Balanced Portfolio	$	15,613,000		3.25	%	3	$	15,613,000	$	—
Diversified Bond Portfolio		2,294,000		3.70		3		2,294,000		—
Flexible Managed Portfolio		7,550,706		3.17		17		24,984,000		—
Government Income Portfolio		1,235,750		3.27		16		8,587,000		471,000
Jennison Portfolio		614,571		3.37		14		1,306,000		—
Natural Resources Portfolio		359,000		2.81		1		359,000		—
Small Capitalization Stock Portfolio		724,786		3.03		14		1,404,000		—

Capital and Ownership

The Portfolios offer Class I shares and certain Portfolios offer 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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. As of December 31, 2018, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.The separate accounts invest in shares of the Portfolios through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Portfolios 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, 2018, all of Class I shares of record of each Portfolio were owned by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”) and Prudential Insurance Company of America (“PICA”) on behalf of owners of the variable insurance products issued by each of these entities; and by other Portfolios as part of their investments.

B17

In addition, the following number of shareholders held the following percentage of outstanding shares of a Portfolio, each holding greater than 5% of outstanding shares, on behalf of multiple beneficial owners.


	Number of Shareholders	% of Outstanding Shares	% held by an Affiliate of Prudential
Conservative Balanced Portfolio	4	96	96
Diversified Bond Portfolio	5	94	94
Equity Portfolio	4	92	92
Flexible Managed Portfolio	4	97	97
Global Portfolio	3	90	90
Government Income Portfolio	4	96	96
Government Money Market Portfolio	3	86	86
High Yield Bond Portfolio	4	92	92
Jennison Portfolio	4	91	91
Natural Resources Portfolio	4	93	83
Small Capitalization Stock Portfolio	4	96	96
Stock Index Portfolio	5	93	93
Value Portfolio	4	95	95

In addition, one unaffiliated shareholder of record of Natural Resources Portfolio, Class II shares, held 10% of the Portfolio’s aggregate outstanding shares.

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, 2018:
Portfolio shares sold		288,901		$	15,724,745
Portfolio shares repurchased		(6,033,417	)		(328,510,611	)
Capital contributions		—			3,503,826

Net increase (decrease) in shares outstanding		(5,744,516	)	$	(309,282,040	)

Year ended December 31, 2017:
Portfolio shares sold		167,133		$	7,721,540
Portfolio shares repurchased		(5,811,087	)		(268,966,449	)

Net increase (decrease) in shares outstanding		(5,643,954	)	$	(261,244,909	)


Class II:
Year ended December 31, 2018:
Portfolio shares sold		9,548		$	526,666
Portfolio shares repurchased		(12,293	)		(673,039	)
Capital contributions		—			1,333

Net increase (decrease) in shares outstanding		(2,745	)	$	(145,040	)

Year ended December 31, 2017:
Portfolio shares sold		85		$	3,938
Portfolio shares repurchased		(8,919	)		(427,848	)

Net increase (decrease) in shares outstanding		(8,834	)	$	(423,910	)

B18

Jennison Portfolio


Class I:	Shares			Amount
Year ended December 31, 2018:
Portfolio shares sold		286,745		$	19,297,456
Portfolio shares repurchased		(2,220,756	)		(149,829,068	)
Capital contributions		—			138,296

Net increase (decrease) in shares outstanding		(1,934,011	)	$	(130,393,316	)

Year ended December 31, 2017:
Portfolio shares sold		244,721		$	13,325,109
Portfolio shares repurchased		(2,533,786	)		(137,181,562	)

Net increase (decrease) in shares outstanding		(2,289,065	)	$	(123,856,453	)


Class II:
Year ended December 31, 2018:
Portfolio shares sold		408,588		$	26,790,146
Portfolio shares repurchased		(383,201	)		(24,594,112	)
Capital contributions		—			4,614

Net increase (decrease) in shares outstanding		25,387		$	2,200,648

Year ended December 31, 2017:
Portfolio shares sold		278,966		$	15,183,017
Portfolio shares repurchased		(207,439	)		(10,714,117	)

Net increase (decrease) in shares outstanding		71,527		$	4,468,900

Natural Resources Portfolio


Class I:	Shares			Amount
Year ended December 31, 2018:
Portfolio shares sold		302,691		$	7,763,447
Portfolio shares repurchased		(1,369,097	)		(35,904,874	)
Capital contributions		—			79,822

Net increase (decrease) in shares outstanding		(1,066,406	)	$	(28,061,605	)

Year ended December 31, 2017:
Portfolio shares sold		289,641		$	7,137,045
Portfolio shares repurchased		(1,436,771	)		(35,872,748	)

Net increase (decrease) in shares outstanding		(1,147,130	)	$	(28,735,703	)


Class II:
Year ended December 31, 2018:
Portfolio shares sold		974,088		$	24,472,873
Portfolio shares repurchased		(745,534	)		(19,058,185	)
Capital contributions		—			11,841

Net increase (decrease) in shares outstanding		228,554		$	5,426,529

Year ended December 31, 2017:
Portfolio shares sold		1,357,286		$	32,741,295
Portfolio shares repurchased		(908,087	)		(22,168,364	)

Net increase (decrease) in shares outstanding		449,199		$	10,572,931

B19

Value Portfolio


Class I:	Shares			Amount
Year ended December 31, 2018:
Portfolio shares sold		234,464		$	7,379,990
Portfolio shares repurchased		(4,008,985	)		(127,480,952	)
Capital contributions		—			933,024

Net increase (decrease) in shares outstanding		(3,774,521	)	$	(119,167,938	)

Year ended December 31, 2017:
Portfolio shares sold		167,360		$	4,852,001
Portfolio shares repurchased		(4,226,596	)		(122,573,899	)

Net increase (decrease) in shares outstanding		(4,059,236	)	$	(117,721,898	)


Class II:
Year ended December 31, 2018:
Portfolio shares sold		3,613		$	111,499
Portfolio shares repurchased		(23,499	)		(739,395	)
Capital contributions		—			4,673

Net increase (decrease) in shares outstanding		(19,886	)	$	(623,223	)

Year ended December 31, 2017:
Portfolio shares sold		3,609		$	102,619
Portfolio shares repurchased		(25,940	)		(739,424	)

Net increase (decrease) in shares outstanding		(22,331	)	$	(636,805	)

Risks of Investing in the Portfolios

The Portfolios’ risks include, but are not limited to, some or all of the risks discussed below:

Bond Obligations Risk: The Portfolios’ holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Portfolios for redemption before it matures and the Portfolios may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Portfolios. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Portfolios will depend on the Subadviser’s ability to analyze and manage derivative transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Portfolios. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Portfolios’ derivatives positions. In fact, many OTC derivative instruments will not have liquidity beyond the counterparty to the instrument. OTC derivative instruments also involve the risk that the other party will not meet its obligations to the Portfolios.

Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility.

Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolio invests could go down. The Portfolios’ holdings can vary significantly from broad market indexes and the performance of the Portfolios can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

B20

Foreign Securities Risk: The Portfolios’ investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which each Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of each Portfolios’ investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Geographic Concentration Risk: The Portfolio’s performance may be closely tied to the market, economic, political, regulatory or other conditions in the countries or regions in which the Portfolio invests. This can result in more pronounced risks based upon conditions that impact one or more countries or regions more or less than other countries or regions.

Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Portfolios may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk.” When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Portfolios’ holdings may fall sharply. This is referred to as “extension risk. The Portfolios may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Portfolios’ investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the Subadviser.

Liquidity Risk: The Portfolios may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Portfolios are difficult to purchase or sell. Liquidity risk includes the risk that the Portfolios may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolios are forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolios may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolios may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolios’ value or prevent the Portfolios from being able to take advantage of other investment opportunities.

Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolios’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolios fall, the value of an investment in the Portfolios will decline. Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios has unsettled or open transactions defaults.

Non-diversification Risk: A non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or industry than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

Risks of Investing in equity REITs: Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.

In addition, investing in equity REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the equity REITs, while mortgage REITs may be affected by the quality of any credit extended. Equity REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since equity REITs are relatively smaller in size when compared to the broader market, and smaller companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid

B21

than other types of equity securities. Equity REITs are subject to interest rate risks. Equity REITs may incur significant amounts of leverage. The Portfolio will indirectly bear a portion of the expenses, including management fees, paid by each equity REIT in which it invests, in addition to the expenses of the Portfolio.

Risks of Investing in Treasury Inflation Protected Securities (TIPS): The value of TIPS generally fluctuates in response to inflationary concerns. As inflationary expectations increase, TIPS will become more attractive, because they protect future interest payments against inflation. Conversely, as inflationary concerns decrease, TIPS will become less attractive and less valuable. Although the principal value of TIPS declines in periods of deflation, holders at maturity receive no less than the par value of the bond. However, if a Portfolios purchases TIPS in the secondary market, where principal values have been adjusted upward due to inflation since issuance, it may experience a loss if there is a subsequent period of deflation. If inflation is lower than expected during the period a Portfolio holds TIPS, the Portfolios may earn less on the security than on a conventional bond.

U.S. Government and Agency Securities Risk: U.S. Government and agency securities are subject to market risk, interest rate risk and credit risk. Not all U.S. Government securities are insured or guaranteed by the full faith and credit of the U.S. Government; some are only insured or guaranteed by the issuing agency, which must rely on its own resources to repay the debt. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. Government.

Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolios’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

B22

Financial Highlights

Conservative Balanced Portfolio


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	27.17		$	24.18		$	22.54		$	22.45		$	20.63

Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.45			0.42			0.39			0.36
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.20	)		2.54			1.20			(0.30	)		1.46

Total from investment operations		(0.67	)		2.99			1.62			0.09			1.82

Capital Contributions.		—	(b)(c)		—			0.02	(d)		—			—

Net Asset Value, end of year	$	26.50		$	27.17		$	24.18		$	22.54		$	22.45

Total Return(e):		(2.47	)%(f)		12.37	%		7.28	%(g)		0.40	%		8.82	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	2,369.8		$	2,594.7		$	2,473.2		$	2,554.3		$	2,574.4
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.59	%		0.58	%		0.58	%		0.58	%		0.58	%
Expenses before waivers and/or expense reimbursement		0.59	%		0.58	%		0.58	%		0.58	%		0.58	%
Net investment income (loss)		1.94	%		1.75	%		1.79	%		1.70	%		1.66	%
Portfolio turnover rate(i)		101	%		136	%		185	%		208	%		134	%

Diversified Bond Portfolio


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	13.14		$	12.28		$	11.64		$	11.66		$	11.01

Income (Loss) From Investment Operations:
Net investment income (loss)		0.45			0.42			0.43			0.41			0.43
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.48	)		0.44			0.21			(0.43	)		0.34

Total from investment operations		(0.03	)		0.86			0.64			(0.02	)		0.77

Less Distributions:		—			—			—			—			(0.12	)
Capital Contributions		0.01	(b)		—			—	(c)(d)		—			—

Net Asset Value, end of year	$	13.12		$	13.14		$	12.28		$	11.64		$	11.66

Total Return(e):		(0.15	)%(j)		7.00	%		5.50	%(f)		(0.17	)%		7.09	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1,122.9		$	1,145.1		$	1,104.6		$	1,084.9		$	1,067.9
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.44	%		0.44	%		0.44	%		0.46	%		0.44	%
Expenses before waivers and/or expense reimbursement		0.44	%		0.44	%		0.44	%		0.46	%		0.44	%
Net investment income (loss)		3.44	%		3.28	%		3.52	%		3.48	%		3.73	%
Portfolio turnover rate(i)		51	%		71	%		49	%		81	%		50	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Less than $0.005 per share.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

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, if any, 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 fee waivers and/or expense reimbursements. In the absence of 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.

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(j)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.23)%.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Equity Portfolio—Class I


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	51.52		$	40.96		$	39.47		$	38.56		$	35.81

Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.41			0.38			0.34			0.19
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(3.07	)		10.15			1.07			0.57			2.56

Total from investment operations		(2.54	)		10.56			1.45			0.91			2.75

Capital Contributions		0.04	(b)		—			0.04	(c)		—			—

Net Asset Value, end of year.	$	49.02		$	51.52		$	40.96		$	39.47		$	38.56

Total Return(d)		(4.85	)%(e)		25.78	%		3.78	%(f)		2.36	%		7.68	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	3,919.6		$	4,415.6		$	3,741.7		$	3,846.2		$	4,017.6
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Expenses before waivers and/or expense reimbursement		0.47	%		0.47	%		0.47	%		0.47	%		0.47	%
Net investment income (loss)		0.98	%		0.89	%		1.01	%		0.86	%		0.52	%
Portfolio turnover rate(h)		37	%		55	%		39	%		37	%		51	%

Equity Portfolio—Class II


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year.	$	51.04		$	40.74		$	39.42		$	38.66		$	36.05

Income (Loss) From Investment Operations:
Net investment income (loss)		0.32			0.23			0.23			0.18			0.04
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(3.03	)		10.07			1.05			0.58			2.57

Total from investment operations		(2.71	)		10.30			1.28			0.76			2.61

Capital Contributions.		0.04	(b)		—			0.04	(c)		—			—

Net Asset Value, end of year	$	48.37		$	51.04		$	40.74		$	39.42		$	38.66

Total Return(d)		(5.23	)%(e)		25.28	%		3.35	%(f)		1.97	%		7.24	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1.5		$	1.7		$	1.7		$	2.0		$	2.2
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Expenses before waivers and/or expense reimbursement		0.87	%		0.87	%		0.87	%		0.87	%		0.87	%
Net investment income (loss)		0.59	%		0.50	%		0.61	%		0.46	%		0.11	%
Portfolio turnover rate(h)		37	%		55	%		39	%		37	%		51	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(d)

(e)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (4.93)% and (5.31)% for Class I and Class II, respectively.

(f)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 3.68% and 3.25% for Class I and Class II, respectively.

(g)	Does not include expenses of the underlying funds in which the Portfolio invests.

(h)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Flexible Managed Portfolio


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	29.88		$	25.99		$	23.95		$	23.71		$	21.35

Income (Loss) From Investment Operations:
Net investment income (loss)		0.53			0.45			0.44			0.42			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.78	)		3.44			1.58			(0.18	)		1.99

Total from investment operations		(1.25	)		3.89			2.02			0.24			2.36

Capital Contributions.		—	(b)(c)		—			0.02	(d)		—			—

Net Asset Value, end of year	$	28.63		$	29.88		$	25.99		$	23.95		$	23.71

Total Return(e):		(4.18	)%(f)		14.97	%		8.52	%(g)		1.01	%		11.05	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	3,833.5		$	4,229.7		$	3,889.8		$	3,768.8		$	3,943.8
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.63	%		0.62	%		0.63	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.63	%		0.62	%		0.63	%		0.63	%		0.63	%
Net investment income (loss)		1.75	%		1.62	%		1.78	%		1.74	%		1.66	%
Portfolio turnover rate(i)(j)		139	%		175	%		203	%		213	%		161	%

Global Portfolio


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	34.33		$	27.50		$	26.33		$	25.72		$	24.91

Income (Loss) From Investment Operations:
Net investment income (loss)		0.47			0.42			0.34			0.34			0.37
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(2.99	)		6.41			0.81			0.27			0.44

Total from investment operations		(2.52	)		6.83			1.15			0.61			0.81

Capital Contributions		0.02	(b)		—			0.02	(d)		—			—

Net Asset Value, end of year.	$	31.83		$	34.33		$	27.50		$	26.33		$	25.72

Total Return(e):		(7.28	)%(k)		24.84	%		4.44	%(l)		2.37	%		3.25	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1,006.7		$	1,132.9		$	955.4		$	965.3		$	719.2
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.77	%		0.79	%		0.80	%		0.81	%		0.81	%
Expenses before waivers and/or expense reimbursement		0.80	%		0.81	%		0.81	%		0.82	%		0.82	%
Net investment income (loss)		1.33	%		1.34	%		1.29	%		1.28	%		1.45	%
Portfolio turnover rate(i)		28	%		33	%		40	%		33	%		37	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Less than $0.005 per share.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%.

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(j)	The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate.

(k)

Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (7.34)%. (l) Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Government Income Portfolio


	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year	$	12.62		$	12.26		$	12.00		$	11.92		$	11.30

Income (Loss) From Investment Operations:
Net investment income (loss)		0.28			0.23			0.20			0.18			0.21
Net realized and unrealized gain (loss) on investment transactions		(0.20	)		0.13			0.06			(0.10	)		0.45

Total from investment operations		0.08			0.36			0.26			0.08			0.66

Less Distributions:.		—			—			—			—			(0.04	)
Capital Contributions		—	(b)(c)		—			—	(c)(d)		—			—

Net Asset Value, end of year.	$	12.70		$	12.62		$	12.26		$	12.00		$	11.92

Total Return(e):		0.63	%(f)		2.94	%		2.17	%(f)		0.67	%		5.86	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	221.1		$	244.1		$	226.3		$	231.8		$	339.2
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.51	%		0.53	%		0.51	%		0.48	%		0.47	%
Expenses before waivers and/or expense reimbursement.		0.51	%		0.53	%		0.51	%		0.48	%		0.47	%
Net investment income (loss)		2.28	%		1.84	%		1.60	%		1.48	%		1.73	%
Portfolio turnover rate(h)(i)		284	%		495	%		705	%		746	%		830	%

Government Money Market Portfolio


	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year.	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00

Income (Loss) From Investment Operations:
Net investment income (loss) and realized gains (losses)		0.15			0.06			0.01			—	(c)		—	(c)
Less Distributions:		(0.15	)		(0.06	)		(0.01	)		—	(c)		—	(c)

Net Asset Value, end of year	$	10.00		$	10.00		$	10.00		$	10.00		$	10.00

Total Return(e):		1.53	%		0.56	%		0.10	%		—	%(j)		—	%(j)
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	536.4		$	559.6		$	724.2		$	650.8		$	823.6
Ratios to average net assets:
Expenses after waivers and/or expense reimbursement		0.35	%		0.35	%		0.35	%		0.19	%		0.16	%
Expenses before waivers and/or expense reimbursement		0.35	%		0.35	%		0.35	%		0.44	%		0.44	%
Net investment income (loss)		1.52	%		0.55	%		0.09	%		0.00	%(j)		0.00	%(j)

(a)	Calculated based on average shares outstanding during the year.

(b)

Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership. (c) Less than $0.005 per share.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Does not include expenses of the underlying funds in which the Portfolio invests.

(h)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(i)	The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. (j) Less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

High Yield Bond Portfolio


	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year	$	5.17		$	5.10		$	4.68		$	5.11		$	5.29

Income (Loss) From Investment Operations:
Net investment income (loss)		0.33			0.32			0.32			0.31			0.32
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.39	)		0.07			0.42			(0.42	)		(0.18	)

Total from investment operations		(0.06	)		0.39			0.74			(0.11	)		0.14

Less Distributions:		(0.15	)		(0.32	)		(0.32	)		(0.32	)		(0.32	)
Capital Contributions		—	(b)(c)		—			—	(c)(d)		—			—

Net Asset Value, end of year	$	4.96		$	5.17		$	5.10		$	4.68		$	5.11

Total Return(e):		(1.26	)%(f)		7.80	%		16.24	%(f)		(2.45	)%		2.71	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	473.7		$	508.0		$	3,567.6		$	3,159.5		$	3,245.9
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Expenses before waivers and/or expense reimbursement		0.62	%		0.57	%		0.57	%		0.57	%		0.57	%
Net investment income (loss)		6.50	%		6.17	%		6.61	%		6.21	%		5.95	%
Portfolio turnover rate(h)		47	%		54	%(i)		39	%		46	%		48	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Less than $0.005 per share.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Does not include expenses of the underlying funds in which the Portfolio invests.

(h)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(i)	The Portfolio turnover rate is calculated in accordance with regulatory requirements and excludes portfolio securities transferred as a result of in-kind transactions. If such transactions were included, the portfolio turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Jennison Portfolio—Class I


	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year	$	61.69		$	45.13		$	45.54		$	40.85		$	37.15

Income (Loss) From Investment Operations:
Net investment income (loss)		0.13			0.13			0.10			0.06			0.06
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.61	)		16.43			(0.55	)		4.63			3.64

Total from investment operations		(0.48	)		16.56			(0.45	)		4.69			3.70

Capital Contributions		—	(b)(c)		—			0.04	(d)		—			—

Net Asset Value, end of year.	$	61.21		$	61.69		$	45.13		$	45.54		$	40.85

Total Return(e)		(0.78	)%(f)		36.69	%		(0.90	)%(g)		11.48	%		9.96	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1,803.2		$	1,936.7		$	1,520.3		$	1,654.7		$	1,580.0
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.62	%		0.63	%		0.63	%		0.63	%		0.63	%
Expenses before waivers and/or expense reimbursement		0.62	%		0.63	%		0.63	%		0.63	%		0.63	%
Net investment income (loss)		0.19	%		0.25	%		0.23	%		0.14	%		0.15	%
Portfolio turnover rate(i)		38	%		51	%		35	%		31	%		34	%

Jennison Portfolio—Class II


	Year Ended December 31,
	2018(a)			2017(a)			2016(a)			2015(a)			2014
Per Share Operating Performance:
Net Asset Value, beginning of year	$	59.38		$	43.62		$	44.19		$	39.80		$	36.33

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.14	)		(0.08	)		(0.07	)		(0.11	)		(0.10	)
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.56	)		15.84			(0.54	)		4.50			3.57

Total from investment operations		(0.70	)		15.76			(0.61	)		4.39			3.47

Capital Contributions		—	(b)(c)		—			0.04	(d)		—			—

Net Asset Value, end of year.	$	58.68		$	59.38		$	43.62		$	44.19		$	39.80

Total Return(e)		(1.18	)%(f)		36.13	%		(1.29)%(g) 11.03%						9.55	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	61.1		$	60.3		$	41.2		$	60.4		$	43.7
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		1.02	%		1.03	%		1.03	%		1.03	%		1.03	%
Expenses before waivers and/or expense reimbursement.		1.02	%		1.03	%		1.03	%		1.03	%		1.03	%
Net investment income (loss)		(0.22	)%		(0.16	)%		(0.17	)%		(0.26	)%		(0.25	)%
Portfolio turnover rate(i)		38	%		51	%		35	%		31	%		34	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Less than $0.005 per share.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (0.99)% and (1.38)% for Class I and Class II, respectively

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Natural Resources Portfolio—Class I


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year.	$	26.84		$	26.89		$	21.45		$	29.87		$	37.29

Income (Loss) From Investment Operations:
Net investment income (loss)		0.60			0.40			0.26			0.29			0.23
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(5.46	)		(0.45	)		5.15			(8.71	)		(7.65	)

Total from investment operations		(4.86	)		(0.05	)		5.41			(8.42	)		(7.42	)

Capital Contributions		0.01	(b)		—			0.03	(c)		—			—

Net Asset Value, end of year	$	21.99		$	26.84		$	26.89		$	21.45		$	29.87

Total Return(d)		(18.07	)%(e)		(0.19	)%		25.36	%(f)		(28.19	)%		(19.90	)%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	324.4		$	424.6		$	456.1		$	386.3		$	589.0
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement.		0.51	%		0.52	%		0.56	%		0.48	%		0.45	%
Expenses before waivers and/or expense reimbursement		0.52	%		0.53	%		0.57	%		0.51	%		0.50	%
Net investment income (loss)		2.30	%		1.60	%		1.08	%		1.06	%		0.59	%
Portfolio turnover rate(h)		108	%		114	%		140	%		29	%		24	%

Natural Resources Portfolio—Class II


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year.	$	26.06		$	26.20		$	20.99		$	29.35		$	36.78

Income (Loss) From Investment Operations:
Net investment income (loss)		0.49			0.29			0.15			0.18			0.07
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(5.30	)		(0.43	)		5.03			(8.54	)		(7.50	)

Total from investment operations		(4.81	)		(0.14	)		5.18			(8.36	)		(7.43	)

Capital Contributions		0.01	(b)		—			0.03	(c)		—			—

Net Asset Value, end of year	$	21.26		$	26.06		$	26.20		$	20.99		$	29.35

Total Return(d)		(18.42	)%(e)		(0.53	)%		24.82	%(f)		(28.48	)%		(20.20	)%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	48.4		$	53.4		$	42.0		$	30.1		$	43.5
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement.		0.91	%		0.92	%		0.96	%		0.88	%		0.85	%
Expenses before waivers and/or expense reimbursement		0.92	%		0.93	%		0.97	%		0.91	%		0.90	%
Net investment income (loss)		1.93	%		1.21	%		0.64	%		0.66	%		0.19	%
Portfolio turnover rate(h)		108	%		114	%		140	%		29	%		24	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(d)

(e)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (18.11)% and (18.46)% for Class I and Class II, respectively.

(f)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 25.22% and 24.68% for Class I and Class II, respectively.

(g)	Does not include expenses of the underlying funds in which the Portfolio invests.

(h)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Small Capitalization Stock Portfolio


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	38.51		$	34.08		$	26.94		$	27.57		$	26.16

Income (Loss) From Investment Operations:
Net investment income (loss)		0.40			0.39			0.35			0.30			0.25
Net realized and unrealized gain (loss) on investment transactions		(3.76	)		4.04			6.72			(0.93	)		1.16

Total from investment operations		(3.36	)		4.43			7.07			(0.63	)		1.41

Capital Contributions		—	(b)(c)		—			0.07	(d)		—			—

Net Asset Value, end of year	$	35.15		$	38.51		$	34.08		$	26.94		$	27.57

Total Return(e):		(8.73	)%(f)		13.00	%		26.50	%(g)		(2.29	)%		5.39	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	728.6		$	850.0		$	810.9		$	682.4		$	750.9
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.39	%		0.40	%		0.40	%		0.40	%		0.40	%
Expenses before waivers and/or expense reimbursement.		0.39	%		0.40	%		0.42	%		0.45	%		0.45	%
Net investment income (loss)		0.98	%		1.11	%		1.21	%		1.06	%		0.96	%
Portfolio turnover rate(i)		18	%		17	%		20	%		16	%		15	%

Stock Index Portfolio


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	59.38		$	50.70		$	48.59		$	49.33		$	47.02

Income (Loss) From Investment Operations:
Net investment income (loss)		1.00			0.92			0.89			0.86			0.79
Net realized and unrealized gain (loss) on investment transactions		(3.74	)		9.75			4.52			(0.26	)		5.20

Total from investment operations		(2.74	)		10.67			5.41			0.60			5.99

Less Distributions:		—			(1.99	)		(3.37	)		(1.34	)		(3.68	)
Capital Contributions.		—			—			0.07	(d)		—			—

Net Asset Value, end of year	$	56.64		$	59.38		$	50.70		$	48.59		$	49.33

Total Return(e):		(4.61	)%		21.46	%		11.83	%(j)		1.18	%		13.31	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	3,672.3		$	3,928.3		$	3,305.1		$	3,010.1		$	3,312.7
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.31	%		0.32	%		0.32	%		0.32	%		0.32	%
Expenses before waivers and/or expense reimbursement		0.31	%		0.32	%		0.34	%		0.37	%		0.37	%
Net investment income (loss)		1.63	%		1.69	%		1.84	%		1.74	%		1.67	%
Portfolio turnover rate(i)		4	%		4	%		5	%		9	%		5	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Less than $0.005 per share.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 26.24%. (h) Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

(j)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%.

SEE NOTES TO FINANCIAL STATEMENTS.

Financial Highlights

Value Portfolio—Class I


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	31.68		$	27.08		$	24.31		$	26.48		$	24.05

Income (Loss) From Investment Operations:
Net investment income (loss)		0.56			0.47			0.46			0.39			0.29
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(3.71	)		4.13			2.28			(2.56	)		2.14

Total from investment operations		(3.15	)		4.60			2.74			(2.17	)		2.43

Capital Contributions		0.02	(b)		—			0.03	(c)		—			—

Net Asset Value, end of year.	$	28.55		$	31.68		$	27.08		$	24.31		$	26.48

Total Return(d)		(9.88	)%(e)		16.99	%		11.39	%(f)		(8.19	)%		10.10	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	1,226.4		$	1,480.3		$	1,375.1		$	1,355.1		$	1,592.6
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.43	%		0.43	%		0.42	%		0.43	%		0.40	%
Expenses before waivers and/or expense reimbursement		0.43	%		0.43	%		0.42	%		0.43	%		0.42	%
Net investment income (loss)		1.76	%		1.63	%		1.90	%		1.52	%		1.13	%
Portfolio turnover rate(h)		23	%		16	%		24	%		32	%		37	%

Value Portfolio—Class II


	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	31.27		$	26.84		$	24.19		$	26.45		$	24.12

Income (Loss) From Investment Operations:
Net investment income (loss)		0.42			0.35			0.37			0.29			0.18
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(3.64	)		4.08			2.25			(2.55	)		2.15

Total from investment operations.		(3.22	)		4.43			2.62			(2.26	)		2.33

Capital Contributions		0.02	(b)		—			0.03	(c)		—			—

Net Asset Value, end of year	$	28.07		$	31.27		$	26.84		$	24.19		$	26.45

Total Return(d)		(10.23	)%(e)		16.51	%		10.95	%(f)		(8.54	)%		9.66	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	6.1		$	7.5		$	7.0		$	9.7		$	10.6
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		0.83	%		0.83	%		0.82	%		0.83	%		0.80	%
Expenses before waivers and/or expense reimbursement		0.83	%		0.83	%		0.82	%		0.83	%		0.82	%
Net investment income (loss)		1.36	%		1.23	%		1.53	%		1.12	%		0.73	%
Portfolio turnover rate(h)		23	%		16	%		24	%		32	%		37	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(d)

(e)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (9.94)% and (10.29)% for Class I and Class II, respectively.

(f)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.27% and 10.83% for Class I and Class II, respectively.

(g)	Does not include expenses of the underlying funds in which the Portfolio invests.

(h)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE SHAREHOLDERS OF THE PORTFOLIOS AND BOARD OF TRUSTEES

THE PRUDENTIAL SERIES FUND:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of each of the portfolios listed in the Appendix (the Portfolios), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2018, 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 related notes (collectively, the financial statements) and the financial highlights for each of the years indicated therein. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2018, the results of its operations for the year then ended, changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years indicated therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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 are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with the custodian, transfer agents, or brokers, or by other appropriate auditing procedures when replies were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

LOGO

We have served as the auditor of one or more PGIM and/or Prudential Insurance investment companies since 2003.

New York, New York

February 19, 2019

Appendix A

Conservative Balanced Portfolio

Diversified Bond Portfolio

Equity Portfolio

Flexible Managed Portfolio

Global Portfolio

Government Income Portfolio

Government Money Market Portfolio

High Yield Bond Portfolio

Jennison Portfolio

Natural Resources Portfolio

Small Capitalization Stock Portfolio

Stock Index Portfolio

Value Portfolio

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)

Information about the Trustees and the Officers of the Prudential Series Fund (the Trust) is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Trust are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Trust and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.



Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Susan Davenport Austin* Age: 51 No. of Portfolios Overseen: 108	Senior Managing Director of Brock Capital (Since 2014); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); Director (Since 2017); formerly Presiding Director (2014-2017) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015).	Since February 2011
Sherry S. Barrat* Age: 69 No. of Portfolios Overseen: 108	Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).	Since January 2013
Jessica M. Bibliowicz* Age: 59 No. of Portfolios Overseen: 108	Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Director (2013-2016) of Realogy Holdings Corp. (residential real estate services); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products).	Director (since 2006) of The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance).	Since September 2014
Kay Ryan Booth* Age: 68 No. of Portfolios Overseen: 108	Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.	Since January 2013



Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Stephen M. Chipman* Age: 57 No. of Portfolios Overseen: 108	Group Managing Director International Expansion and Regional Managing Director, Americas of Vistra (Since June 2018); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP.	None.	Since January 2018
Robert F. Gunia* Age: 72 No. of Portfolios Overseen: 108	Director ICI Mutual Insurance Company (June 2016-present; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM 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.	Since July 2003
Thomas T. Mooney* Age: 77 Independent Chair Since July 2003 No. of Portfolios Overseen: 108	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; 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.	Since July 2003
Thomas M. O’Brien* Age: 68 No. of Portfolios Overseen: 108	Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) 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.	Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) 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 (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.	Since July 2003

Interested Trustee
Timothy S. Cronin* Age: 53 No. of Portfolios Overseen: 108	President of Prudential Annuities (Since June 2015); 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.	Since October 2009

* The address of each Trustee is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.

† The Fund Complex consists of all investment companies managed by PGIM Investments LLC. The Funds for which PGIM Investments LLC serves as manager include the PGIM Funds, The Prudential Variable Contract Accounts 2 and 10, PGIM Short Duration High Yield Fund, Inc., PGIM Global Short Duration High Yield Fund, Inc., PGIM ETF Trust, The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.



Trust Officers¹
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Edward C. Merrill, IV, CFA* Age: 34 Vice President	Vice President of Prudential Annuities (since December 2014); formerly Director of Prudential Annuities (December 2010-December 2014); formerly Manager of Prudential Annuities (August 2009-December 2010); formerly Senior Analyst of Prudential Annuities (October 2008-August 2009).	Since June 2017
Raymond A. O’Hara* Age: 63 Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of PGIM Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since June 2012
Chad A. Earnst* Age: 43 Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of PGIM Investments LLC; Chief Compliance Officer (September 2014-Present) of the PGIM Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global Short Duration High Yield Income Fund, Inc., PGIM Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006–December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since September 2014
Dino Capasso* Age: 43 Deputy Chief Compliance Officer	Vice President and Deputy Chief Compliance Officer (June 2017-Present) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC.	Since March 2018
Andrew R. French* Age: 56 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 PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since October 2006
Jonathan D. Shain* Age: 60 Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PGIM Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since May 2005
Claudia DiGiacomo* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PGIM Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).	Since December 2005
Kathleen DeNicholas* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).	Since May 2013
Christian J. Kelly* Age: 43 Treasurer and Principal Financial & Accounting Officer	Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007).	Since January 2019
Peter Parrella* Age: 60 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).	Since June 2007
Lana Lomuti* Age: 51 Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since April 2014
Linda McMullin* Age: 57 Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since April 2014



Trust Officers¹
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Alina Srodecka, CPA* Age: 52 Assistant Treasurer	Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touche (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997).	Since June 2017
Charles H. Smith* Age: 46 Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since January 2017

* The address for each officer is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

¹ Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.

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

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/variableinsuranceportfolios.

The Fund will file with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-PORT. Form N-PORT will be available on the Commission’s website at www.sec.gov or call (800) SEC-0330.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.

The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.

Annuity and life insurance 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.

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The Prudential Insurance Company of America

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Newark, NJ 07102-3777

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Prudential

The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 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. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.

^©2019 Prudential Financial, Inc. and its related entities. PGIM Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

PSF-AR-A

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The Prudential Series Fund


ANNUAL REPORT		December 31, 2018

LOGO

The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

SP International Growth Portfolio

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The Prudential Series Fund

Table of Contents

Annual Report

December 31, 2018

∎

LETTER TO CONTRACT OWNERS

∎

MARKET OVERVIEW

∎

REPORT OF THE INVESTMENT MANAGER

∎

BENCHMARK GLOSSARY

∎

PRESENTATION OF PORTFOLIO HOLDINGS

∎

FEES AND EXPENSES

∎

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, 2018

∎

DEAR CONTRACT OWNER

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

January 31, 2019


Market Overview — unaudited		Annual Report		December 31, 2018

Equity Market Overview

Global economy and interest rates

Equity markets fluctuated sharply

Volatility picked up significantly in 2018. The CBOE Volatility Index (VIX) average annual level rose sharply in 2018 from 2017.

S&P 500: leaders and laggards


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

Growth and larger-cap stocks outperformed their counterparts

International equity markets: best and worst performers

Fixed Income Market Overview

Financial markets experienced a volatile year in 2018, particularly riskier assets. The total returns and excess returns on bonds relative to US Treasuries were generally low or negative.

Municipal bonds rose 1.28%. High yield municipal issues (rated below investment grade) rose 4.76% for the year. However, high yield corporate bonds fell 2.08%.

Bond market highlights

Although the US economy grew at a healthy pace during the year, growth decelerated in the third quarter and economic activity in the eurozone slowed.

Risk aversion rose late in the period


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

The Prudential Series Fund, SP International Growth Portfolio

December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-12.81	%		2.16	%		7.97	%
Portfolio: Class II		-13.21			1.74			7.55
MSCI EAFE^® Index (GD)		-13.36			1.00			6.81

$10,000 INVESTED OVER 10 YEARS¹

LOGO

For the year ended December 31, 2018 the SP International Growth Portfolio Class I shares returned -12.81% and the Class II shares returned -13.21%. The Portfolio’s Class I & II shares outperformed the MSCI EAFE Index (GD).

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

For 2018, the MSCI EAFE Index was down more than 13%, as a strong US dollar, trade war tensions, Brexit impasse, and economic/political problems in Italy all weighed on international equity market returns. (Brexit refers to the United Kingdom’s decision to leave the European Union.) The US Federal Reserve raised interest rates four times and liquidity contracted, explaining at least part of the US dollar’s rise versus foreign currencies for the year. Meanwhile, global corporate earnings revisions turned negative, and geopolitical concerns increased. Given the softening of global economic growth, defensive, dividend-paying sectors such as utilities and health care protected on the downside, while interest-rate-sensitive sectors such as financials, materials, and consumer discretionary lagged. The international equity market tended to favor larger capitalization stocks with lower valuations that were also less volatile. Investors became more comfortable with household names given the choppier economic environment in 2018.

What strategies or holdings affected the Portfolio’s performance?

During the reporting period, the Portfolio performed in line with the MSCI EAFE Index. Stock selection overall was additive to relative performance, as all three subadvisers (Jennison Associates, Neuberger Berman, and William Blair) tended to avoid highly volatile financials such as Italian banks. Furthermore, they tended to avoid the more speculative industrial and energy names as well, the latter of which was beneficial as the price of oil dropped. Stocks in these areas tend to have slower earnings growth rates. Instead, given their growth mandate, William Blair and Jennison favored companies in the faster-growing Internet software and services industry. Investments in this industry’s stocks were rewarded for the period, despite a tough fourth quarter.

In addition, price momentum and profit margins were key to positive Portfolio returns in 2018. William Blair incorporates momentum as part of its process. Each subadviser’s exposure to companies with a high percentage of earnings compared to sales further enhanced relative returns.

On the other hand, overweighted exposures to companies with higher volatility had a negative impact on Portfolio performance. Given that William Blair and Jennison especially focused on faster-growing companies, these names inherently became more volatile in a perceived global economic slowdown (which occurred in 2018), in the subadvisers’ view. In addition, given that the investments were in highly profitable companies, which generally reinvest profits into the company rather than pay dividends, the subadvisers were generally underexposed to dividend-paying companies, which was detrimental to performance for the period as investors were seeking income. Furthermore, an overexposure to smaller-cap stocks, especially by Neuberger Berman and William Blair, detracted. While these stocks are normally faster growing than their larger-cap counterparts, investors were seeking safety during the period, and so this positioning detracted from the Portfolio’s results.

Finally, both William Blair and Jennison had out-of-benchmark allocations to China, which had higher economic growth rates compared to the rest of the developed world. Following a very strong 2017, China’s economy slowed in the wake of trade war tensions with the US, and the subadvisers’ exposure to its equity market dampened the Portfolio’s results.

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.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund

Benchmark Glossary — unaudited

December 31, 2018

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.

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.

The Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

December 31, 2018


SP International Growth Portfolio
Five Largest Holdings	(% of Net Assets	)
Alibaba Group Holding Ltd.	2.8%
Tencent Holdings Ltd.	2.7%
Keyence Corp.	2.6%
LVMH Moet Hennessy Louis Vuitton SE	2.1%
Safran SA	2.0%

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 2018

As a contract owner investing in the Portfolio 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, 2018 through December 31, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes

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 Portfolio		Beginning Account Value July 1, 2018		Ending Account Value December 31, 2018		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	$	854.90		1.01	%	$	4.72
SP International Growth (Class I)	Hypothetical	$	1,000.00	$	1,020.11		1.01	%	$	5.14

SP International Growth (Class II)	Actual	$	1,000.00	$	852.60		1.41	%	$	6.58
SP International Growth (Class II)	Hypothetical	$	1,000.00	$	1,018.10		1.41	%	$	7.17

* 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, 2018, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2018 (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				as of December 31, 2018


LONG-TERM INVESTMENTS — 97.1%
COMMON STOCKS — 95.8%	Shares		Value
Argentina — 0.4%
MercadoLibre, Inc.*		1,084	$	317,449

Australia — 3.4%
Aristocrat Leisure Ltd.		14,990		230,090
BHP Group PLC		21,477		455,450
Cochlear Ltd.		4,321		528,234
CSL Ltd.		3,980		520,473
Insurance Australia Group Ltd.		34,834		171,781
Macquarie Group Ltd.		6,752		515,685

				2,421,713

Austria — 0.6%
BAWAG Group AG, 144A		9,617		395,881

Belgium — 1.1%
KBC Group NV		11,506		749,810

Canada — 5.4%
Alimentation Couche-Tard, Inc. (Class B Stock)		6,158		306,321
Brookfield Asset Management, Inc. (Class A Stock)(a)		13,137		503,804
Canadian National Railway Co.		7,615		563,985
Dollarama, Inc.		9,986		237,508
Rogers Communications, Inc. (Class B Stock)		8,761		448,960
Shopify, Inc. (Class A Stock)*(a)		4,539		628,425
Suncor Energy, Inc.		20,444		571,000
Toronto-Dominion Bank (The)		11,129		553,189

				3,813,192

China — 7.4%
Alibaba Group Holding Ltd., ADR*(a)		14,605		2,001,907
Baidu, Inc., ADR*		1,084		171,922
China Merchants Bank Co. Ltd. (Class H Stock)		122,500		449,541
Kweichow Moutai Co. Ltd. (Class A Stock)		4,444		382,270
NetEase, Inc., ADR		1,507		354,703
Tencent Holdings Ltd.		46,778		1,872,343

				5,232,686

Denmark — 2.1%
Coloplast A/S (Class B Stock)		4,578		425,721
Novozymes A/S (Class B Stock)		11,229		502,943
Orsted A/S, 144A		7,749		519,281

				1,447,945

France — 13.6%
Air Liquide SA		1,602		199,378
Airbus SE		5,166		498,114
Arkema SA		4,016		345,497
Capgemini SE		4,515		450,266
Dassault Systemes SE		6,639		790,212
Kering SA		798		376,297
L’Oreal SA		5,069		1,171,114
LVMH Moet Hennessy Louis Vuitton SE		4,877		1,445,524
Pernod Ricard SA		6,378		1,047,646


COMMON STOCKS (continued)	Shares		Value
France (continued)
Remy Cointreau SA		4,043	$	458,440
Safran SA		11,383		1,376,268
Schneider Electric SE		3,344		229,759
SPIE SA		11,330		150,632
TOTAL SA		16,699		883,676
Valeo SA		3,989		116,908

				9,539,731

Germany — 6.1%
Brenntag AG		5,073		220,155
Continental AG		1,617		225,227
CTS Eventim AG & Co. KGaA		7,878		294,770
Deutsche Boerse AG		1,417		170,933
Gerresheimer AG		4,198		276,523
Infineon Technologies AG		42,140		843,749
Rational AG		480		273,731
SAP SE		4,480		448,531
SAP SE, ADR(a)		2,668		265,600
Scout24 AG, 144A		5,698		263,216
Wirecard AG		6,648		1,021,889

				4,304,324

Hong Kong — 2.6%
AIA Group Ltd.		132,200		1,096,196
Techtronic Industries Co. Ltd.		133,404		710,677

				1,806,873

India — 2.5%
HDFC Bank Ltd., ADR		11,837		1,226,195
Maruti Suzuki India Ltd.		5,088		544,415

				1,770,610

Ireland — 1.8%
AerCap Holdings NV*		9,833		389,387
CRH PLC		8,113		214,720
Kerry Group PLC (Class A Stock)		2,356		233,850
Kingspan Group PLC		9,782		420,366

				1,258,323

Israel — 0.8%
Check Point Software Technologies Ltd.*(a)		4,261		437,392
Tower Semiconductor Ltd.*		8,300		122,342

				559,734

Italy — 2.4%
Brunello Cucinelli SpA		19,454		671,922
Ferrari NV		6,077		606,655
PRADA SpA		117,196		386,572

				1,665,149

Japan — 9.7%
Bridgestone Corp.		8,500		327,226
Daikin Industries Ltd.		7,400		785,599
Hoya Corp.		2,400		144,484
Kao Corp.		5,100		378,556
Keyence Corp.		3,660		1,852,169
Kose Corp.		2,500		391,507

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP INTERNATIONAL GROWTH PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Japan (continued)
Nitori Holdings Co. Ltd.		2,800	$	350,158
Omron Corp.		4,100		148,818
ORIX Corp.		29,600		431,098
Sanwa Holdings Corp.		21,100		239,608
Shionogi & Co. Ltd.		6,600		377,484
Shiseido Co. Ltd.(a)		7,100		444,388
SMC Corp.		1,250		377,271
Suzuki Motor Corp.		6,300		318,331
Toyota Motor Corp.		4,700		272,842

				6,839,539

Luxembourg — 0.3%
Tenaris SA		17,289		187,037

Macau — 0.5%
Galaxy Entertainment Group Ltd.		58,000		365,737

Netherlands — 4.8%
Adyen NV, 144A*		1,381		756,100
ASML Holding NV		6,434		1,015,240
Heineken NV		4,458		394,886
Koninklijke Philips NV		14,526		514,967
NXP Semiconductors NV		2,919		213,904
Royal Dutch Shell PLC (Class A Stock)		16,175		477,596

				3,372,693

Portugal — 0.3%
Galp Energia SGPS SA		13,100		207,440

Singapore — 0.5%
DBS Group Holdings Ltd.		21,400		371,479

South Africa — 0.3%
Bid Corp. Ltd.		10,419		191,896

Spain — 1.4%
ACS Actividades de Construccion y Servicios SA		11,845		459,748
Amadeus IT Group SA		7,331		511,818

				971,566

Sweden — 1.9%
Atlas Copco AB (Class A Stock)		11,420		272,404
Hexagon AB (Class B Stock)		15,861		733,724
Swedbank AB (Class A Stock)		14,337		321,000

				1,327,128

Switzerland — 10.3%
Cie Financiere Richemont SA		3,194		206,643
Geberit AG		811		316,536
Givaudan SA		486		1,127,553
Julius Baer Group Ltd.*		6,629		237,085
Lonza Group AG*		2,454		640,468
Novartis AG		13,798		1,183,954
Partners Group Holding AG		1,094		663,947
Roche Holding AG		1,875		466,525
SGS SA		129		291,284
SIG Combibloc Group AG*		17,614		188,221
Sika AG		981		124,922
Sonova Holding AG		2,284		376,012
Straumann Holding AG		1,202		760,982


COMMON STOCKS (continued)	Shares		Value
Switzerland (continued)
Temenos AG*		3,221	$	388,717
UBS Group AG*		20,834		259,999

				7,232,848

Taiwan — 0.9%
Taiwan Semiconductor Manufacturing Co. Ltd.		84,000		615,334

United Kingdom — 10.7%
Ashtead Group PLC		19,063		398,664
AstraZeneca PLC		9,755		731,729
Bunzl PLC		17,209		520,314
Compass Group PLC		44,296		932,413
DCC PLC		2,760		210,932
Experian PLC		20,969		509,462
Fevertree Drinks PLC		5,477		153,872
IMI PLC		13,013		156,813
London Stock Exchange Group PLC		11,279		584,969
Prudential PLC		16,325		292,396
Reckitt Benckiser Group PLC		4,321		331,571
RELX PLC		44,997		928,153
Rentokil Initial PLC		44,452		191,410
Segro PLC, REIT		42,737		321,183
Spectris PLC		6,033		175,701
St. James’s Place PLC		90,847		1,095,437

				7,535,019

United States — 4.0%
Albemarle Corp.(a)		2,427		187,049
Aon PLC		2,272		330,258
Core Laboratories NV		2,183		130,238
Ferguson PLC		9,985		639,818
Lululemon Athletica, Inc.*		6,495		789,857
Samsonite International SA, 144A*		121,092		345,037
Sensata Technologies Holding PLC*		9,314		417,640

				2,839,897

TOTAL COMMON STOCKS (cost $58,346,679)				67,341,033


PREFERRED STOCKS — 1.3%
Germany
Henkel AG & Co. KGaA (PRFC)		2,639		289,015
Sartorius AG (PRFC)		4,914		616,292

TOTAL PREFERRED STOCKS (cost $642,888)				905,307

TOTAL LONG-TERM INVESTMENTS (cost $58,989,567)				68,246,340


SHORT-TERM INVESTMENTS — 8.2%
AFFILIATED MUTUAL FUNDS — 7.3%
PGIM Core Ultra Short Bond Fund(w)		940,237		940,237
PGIM Institutional Money Market Fund (cost $4,201,403; includes $4,193,135 of cash collateral for securities on loan)(b)(w)		4,201,802		4,201,382

TOTAL AFFILIATED MUTUAL FUNDS (cost $5,141,640)				5,141,619

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP INTERNATIONAL GROWTH PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Shares		Value
UNAFFILIATED FUND — 0.9%
BlackRock Liquidity Funds FedFund Portfolio (cost $582,870)		582,870	$	582,870

TOTAL SHORT-TERM INVESTMENTS (cost $5,724,510)				5,724,489

TOTAL INVESTMENTS — 105.3% (cost $64,714,077)				73,970,829
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.3)%				(3,718,361	)

NET ASSETS — 100.0%			$	70,252,468

The following abbreviations are used in the annual report:


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
LIBOR		London Interbank Offered Rate
OTC		Over-the-counter
PRFC		Preference Shares
REIT		Real Estate Investment Trust

*	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 $4,091,580; cash collateral of $4,193,135 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Argentina	$	317,449	$	—	$	—
Australia		—		2,421,713		—
Austria		—		395,881		—
Belgium		—		749,810		—
Canada		3,813,192		—		—
China		2,528,532		2,704,154		—
Denmark		—		1,447,945		—
France		—		9,539,731		—
Germany		265,600		4,038,724		—
Hong Kong		—		1,806,873		—
India		1,226,195		544,415		—
Ireland		389,387		868,936		—
Israel		559,734		—		—
Italy		—		1,665,149		—
Japan		—		6,839,539		—
Luxembourg		—		187,037		—
Macau		—		365,737		—
Netherlands		213,904		3,158,789		—
Portugal		—		207,440		—
Singapore		—		371,479		—
South Africa		—		191,896		—
Spain		—		971,566		—
Sweden		—		1,327,128		—
Switzerland		—		7,232,848		—
Taiwan		—		615,334		—
United Kingdom		—		7,535,019		—

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP INTERNATIONAL GROWTH PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
United States	$	1,855,042	$	984,855	$	—
Preferred Stocks
Germany		—		905,307		—
Affiliated Mutual Funds		5,141,619		—		—
Unaffiliated Fund		582,870		—		—

Total	$	16,893,524	$	57,077,305	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (6.0% represents investments purchased with collateral from securities on loan)	7.3	%
Textiles, Apparel & Luxury Goods	6.0
Banks	5.8
Capital Markets	5.6
IT Services	4.8
Health Care Equipment & Supplies	4.8
Electronic Equipment, Instruments & Components	4.1
Semiconductors & Semiconductor Equipment	4.0
Pharmaceuticals	3.9
Chemicals	3.5
Beverages	3.4
Personal Products	3.4
Software	3.3
Internet & Direct Marketing Retail	3.3
Interactive Media & Services	3.3
Trading Companies & Distributors	3.1
Oil, Gas & Consumable Fuels	3.1
Insurance	2.7
Aerospace & Defense	2.7
Automobiles	2.6
Building Products	2.5
Professional Services	2.4
Hotels, Restaurants & Leisure	2.1
Machinery	1.5
Life Sciences Tools & Services	1.3
Household Durables	1.0


Auto Components	1.0	%
Entertainment	0.9
Electrical Equipment	0.9
Household Products	0.9
Unaffiliated Fund	0.9
Road & Rail	0.8
Electric Utilities	0.8
Biotechnology	0.7
Food & Staples Retailing	0.7
Construction & Engineering	0.7
Metals & Mining	0.7
Wireless Telecommunication Services	0.7
Diversified Financial Services	0.6
Specialty Retail	0.5
Commercial Services & Supplies	0.5
Equity Real Estate Investment Trusts (REITs)	0.5
Energy Equipment & Services	0.5
Multiline Retail	0.3
Food Products	0.3
Construction Materials	0.3
Industrial Conglomerates	0.3
Containers & Packaging	0.3

	105.3
Liabilities in excess of other assets	(5.3	)

	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	4,091,580	$	(4,091,580	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP INTERNATIONAL GROWTH PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $4,091,580:
Unaffiliated investments (cost $59,572,437)	$	68,829,210
Affiliated investments (cost $5,141,640)		5,141,619
Cash		1,478
Foreign currency, at value (cost $23,193)		23,391
Tax reclaim receivable		455,344
Receivable for investments sold		344,771
Dividends and interest receivable		26,516
Receivable for Portfolio shares sold		14,124
Receivable from affiliate		7,848
Prepaid expenses		1,030

Total Assets		74,845,331

LIABILITIES
Payable to broker for collateral for securities on loan		4,193,135
Payable to affiliate		175,000
Accrued expenses and other liabilities		116,108
Payable for investments purchased		58,571
Management fee payable		37,714
Payable for Portfolio shares repurchased		11,313
Affiliated transfer agent fee payable		980
Distribution fee payable		26
Administration fee payable		16

Total Liabilities		4,592,863

NET ASSETS	$	70,252,468

Net assets were comprised of:
Partners Equity	$	70,252,468

Class I:
Net asset value and redemption price per share, $70,133,996 / 10,011,326 outstanding shares of beneficial interest	$	7.01

Class II:
Net asset value and redemption price per share, $118,472 / 17,500 outstanding shares of beneficial interest	$	6.77

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net) (foreign withholding tax $165,203, of which $12,225 is reimbursable by an affiliate)	$	1,463,554
Income from securities lending, net (including affiliated income of $14,010)		25,158
Affiliated dividend income.		23,495

Total income		1,512,207

EXPENSES
Management fee		696,828
Distribution fee—Class II		360
Administration fee—Class II		216
Custodian and accounting fees		152,766
Shareholders’ reports		37,342
Audit fee		30,300
Legal fees and expenses		10,826
Trustees’ fees		10,706
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,681
Miscellaneous		34,991

Total expenses		985,016
Less: Fee waivers and/or expense reimbursement		(156,443	)

Net expenses		828,573

NET INVESTMENT INCOME (LOSS)		683,634

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investment transactions (including affiliated of $(268))		3,660,595
Foreign currency transactions		5,161

		3,665,756

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $379) (net of change in foreign capital gains taxes $34,291)		(14,942,732	)
Foreign currencies.		1,350

		(14,941,382	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(11,275,626	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(10,591,992	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	683,634		$	506,261
Net realized gain (loss) on investment and foreign currency transactions		3,665,756			4,282,697
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(14,941,382	)		17,945,911

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(10,591,992	)		22,734,869

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		5,226,397			5,559,010
Portfolio shares repurchased		(8,903,625	)		(8,075,448	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(3,677,228	)		(2,516,438	)

CAPITAL CONTRIBUTIONS		87,325			—

TOTAL INCREASE (DECREASE)		(14,181,895	)		20,218,431
NET ASSETS:
Beginning of year		84,434,363			64,215,932

End of year	$	70,252,468		$	84,434,363

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP International Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio. For purposes of the 1940 Act a non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

The investment objective of the Portfolio is long-term growth of capital.

Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.

Securities Valuation: The Portfolio holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Series Fund’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.

For the fiscal reporting year-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 — Fair Value Measurements and Disclosures.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time the Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in

accordance with exchange-traded common and preferred stock valuation policies discussed above.

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the Portfolio may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under federal securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation: The books and records of the Portfolio 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 Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally 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 Portfolio 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, holding period 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 disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) arise from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates.

Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a Subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different Subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC

derivatives.Amaster 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Lending: The Portfolio lends 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 invested in an affiliated money market fund and 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. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. 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 in the open market using the collateral.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income or loss (other than administration and distribution fees which are charged directly 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, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership 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 Portfolio is the responsibility of the Portfolio’s shareholders (participating insurance companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items. Withholding taxes on foreign dividends, interest and capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded taking into account any agreements in place with Prudental as referenced in Note 3. The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.

Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

Agreements

The Series Fund, on behalf of the Portfolio, has a management agreement with PGIM Investments. Pursuant to this agreement, the Manager has responsibility for all investment management services and supervises the Subadviser’s performance of such services. The Manager has entered into separate subadvisory agreements with each of Jennison Associates LLC (“Jennison”), Neuberger Berman Investment Advisors, LLC and William Blair & Company LLC (collectively, the “Subadvisers”), under which the Subadvisers provide investment advisory services for the Portfolio. The Manager pays for the services of the Subadvisers, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets. PGIM Investments has contractually agreed through June 30, 2019 to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.

PGIM Investments has contractually agreed through June 30, 2019 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 1.01% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year. The effective management fee rate net of waivers and/or expense reimbursements was 0.66% for the year ended December 31, 2018.

The Series Fund, on behalf of the Portfolio, has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’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 Portfolio. Pursuant to the Class II Plan, the Class II shares of the 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 the Manager, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to the Manager is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.

The Series Fund, on behalf of the Portfolio, has entered into brokerage commission recapture agreements with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2018, brokerage commission recaptured under these agreements was $4,222.

PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolio’s “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2016.

The SEC Staff and other regulators continue to review the matter.

In March 2018, Prudential further notified the SEC that it failed to timely reimburse certain Portfolios for amounts due under protocols established to ensure that the Portfolios were not harmed as a result of their tax status as partnerships instead of regulated investment companies (RICs). Specifically, as a result of their partnership status, the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Portfolios’ independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Portfolios’ independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Portfolios’ independent trustees. The aggregate previously unreimbursed excess withholding tax and opportunity loss payments for each affected Portfolio are disclosed in the respective Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2018.

reimbursed by Prudential for excess withholding tax is recorded as “Receivable from affiliate” on the Statement of Assets and Liabilities. The full amount of tax reclaims due to a Portfolio, inclusive of timing differences and routine tax reclaims for foreign jurisdictions where the Portfolios do not incur an excess withholding tax is included as “Tax reclaim receivable” on the “Statement of Assets and Liabilities.” To the extent that there are costs associated with the filing of any reclaim attributable to excess withholding tax, those costs are borne by Prudential.


	2018 Withholding Tax
SP International Growth Portfolio	$	12,225

The following amount has been paid by Prudential for excess withholding taxes related to timing differences as described above for certain countries due to the Portfolio’s status as partnerships for tax purposes.


	2018 Payments
SP International Growth Portfolio	$	182,560


	Opportunity Loss		Unreimbursed Excess Withholding Taxes
SP International Growth Portfolio	$	41,949	$	45,376

The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that, subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the year ended December 31, 2018, no such transactions were entered into by the Portfolio.

Portfolio Securities

A summary of the cost of purchases and proceeds from sales of shares of affiliated mutual funds for the year ended December 31, 2018, is presented as follows:


Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
	PGIM Core Ultra Short Bond Fund*
$	784,496	$	15,124,430	$	14,968,689	$	—	$	—		$	940,237		940,237	$	23,495
	PGIM Institutional Money Market Fund*
	7,771,541		35,823,332		39,393,602		379		(268	)		4,201,382		4,201,802		14,010	**

$	8,556,037	$	50,947,762	$	54,362,291	$	379	$	(268	)	$	5,141,619			$	37,505

*	The Fund did not have any capital gain distributions during the reporting period.

**	This amount is included in “Income from securities lending, net” on the Statement of Operations.

Tax Information

The Portfolio is treated as a partnership for federal income tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as nontaxable return of capital distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.

With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.

The Manager has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local 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.

Borrowings

The Series Fund, on behalf of 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 October 4, 2018 through October 3, 2019. The Funds pay an annualized commitment fee of 0.15% of the unused portion of the SCA. The Portfolio’s portion of the commitment fee for the unused amount, allocated based upon a method approved by the Board, is accrued daily and paid quarterly. Prior to October 4, 2018, the Portfolio had another SCA that provided a commitment of $900 million and the Portfolio paid an annualized commitment fee of 0.15% of the unused portion of the SCA. The interest on borrowings under the SCAs is paid monthly and at a per annum interest rate based upon a contractual spread plus the higher of (1) the effective federal funds rate, (2) the 1-month LIBOR rate or (3) zero percent.

The Portfolio did not utilize the SCA during the year ended December 31, 2018.

Capital and Ownership

The Portfolio offers Class I and Class II shares. Neither Class I nor Class II shares of the 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. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. As of December 31, 2018, the Portfolio has Class II shares outstanding. The separate accounts invest in shares of the Portfolio through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Portfolio 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, 2018, all shares of the Portfolio were owned of record by the following affiliates of the Manager: Prudential Annuities Life Assurance Corporation (“PALAC”), Pruco Life Insurance Company of New Jersey (“PLNJ”), Pruco Life Insurance Company (“PLAZ”) and Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by each of these entities.


	Number of Shareholders		% of Outstanding Shares		% held by an Affiliate of Prudential
SP International Growth Portfolio		5		97		97

Transactions in shares of beneficial interest were as follows:


Class I:	Shares			Amount
Year ended December 31, 2018:
Portfolio shares sold		650,361		$	5,226,397
Portfolio shares repurchased		(1,104,289	)		(8,893,515	)
Capital contributions		—			87,174

Net increase (decrease) in shares outstanding		(453,928	)	$	(3,579,944	)

Year ended December 31, 2017:
Portfolio shares sold		766,642		$	5,559,009
Portfolio shares repurchased		(1,106,799	)		(7,861,924	)

Net increase (decrease) in shares outstanding		(340,157	)	$	(2,302,915	)


Class II:
Year ended December 31, 2018:
Portfolio shares repurchased		(1,392	)	$	(10,110	)
Capital contributions		—			151

Net increase (decrease) in shares outstanding		(1,392	)	$	(9,959	)

Year ended December 31, 2017:
Portfolio shares sold		—		$	1
Portfolio shares repurchased		(29,041	)		(213,524	)

Net increase (decrease) in shares outstanding		(29,041	)	$	(213,523	)

Risks of Investing in the Portfolio

The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below:

Emerging Markets and Foreign Securities Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets.

Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolio invests could go down. The Portfolio’ holdings can vary significantly from broad market indexes and the performance of the Portfolio can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

Liquidity Risk: The Portfolio may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk includes the risk that the Portfolio may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Portfolio is forced to sell these investments to pay redemption proceeds or for other reasons, the Portfolio may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Portfolio may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Portfolio’s value or prevent the Portfolio from being able to take advantage of other investment opportunities.

Market and Credit Risk: Securities markets may be volatile and the market prices of the Portfolio’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Portfolio fall, the value of an investment in the Portfolio will decline. Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

Recent Accounting Pronouncements and Reporting Updates

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Portfolio’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

Financial Highlights


	SP International Growth Portfolio
	Class I
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	8.05		$	5.92		$	6.14		$	5.94		$	6.30

Income (Loss) From Investment Operations:
Net investment income (loss)		0.07			0.05			0.05			0.03			0.03
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.12	)		2.08			(0.28	)		0.17			(0.39	)

Total from investment operations		(1.05	)		2.13			(0.23	)		0.20			(0.36	)

Capital Contributions		0.01	(b)		—			0.01	(c)		—			—

Net Asset Value, end of year	$	7.01		$	8.05		$	5.92		$	6.14		$	5.94

Total Return(d)		(12.92	)%(e)		35.98	%		(3.58	)%(f)		3.37	%		(5.71	)%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	70.1		$	84.3		$	63.9		$	71.5		$	74.5
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		1.01	%		1.01	%		1.03	%		1.22	%		1.23	%
Expenses before waivers and/or expense reimbursement		1.20	%		1.34	%		1.25	%		1.23	%		1.24	%
Net investment income (loss)		0.83	%		0.67	%		0.80	%		0.51	%		0.55	%
Portfolio turnover rate(h)		37	%		45	%		57	%		48	%		55	%

	SP International Growth Portfolio
	Class II
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	7.81		$	5.76		$	6.01		$	5.83		$	6.21

Income (Loss) From Investment Operations:
Net investment income (loss)		0.03			0.03			0.04			0.01			0.01
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(1.08	)		2.02			(0.30	)		0.17			(0.39	)

Total from investment operations		(1.05	)		2.05			(0.26	)		0.18			(0.38	)

Capital Contributions		0.01	(b)		—			0.01	(c)		—			—

Net Asset Value, end of year	$	6.77		$	7.81		$	5.76		$	6.01		$	5.83

Total Return(d)		(13.32	)%(e)		35.59	%		(4.16	)%(f)		3.09	%		(6.12	)%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	0.1		$	0.1		$	0.3		$	6.1		$	6.9
Ratios to average net assets(g):
Expenses after waivers and/or expense reimbursement		1.41	%		1.41	%		1.43	%		1.62	%		1.63	%
Expenses before waivers and/or expense reimbursement		1.60	%		1.72	%		1.65	%		1.63	%		1.64	%
Net investment income (loss)		0.44	%		0.39	%		0.61	%		0.13	%		0.17	%
Portfolio turnover rate(h)		37	%		45	%		57	%		48	%		55	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(c)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(d)

(e)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (13.04)% and (13.45)% for Class I and Class II, respectively.

(f)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been (3.74)% and (4.33)% for Class I and Class II, respectively.

(g)	Does not include expenses of the underlying funds in which the Portfolio invests.

(h)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE SHAREHOLDERS OF SP INTERNATIONAL GROWTH PORTFOLIO

AND THE BOARD OF TRUSTEES OF THE PRUDENTIAL SERIES FUND:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of SP International Growth Portfolio (the Portfolio), a portfolio of The Prudential Series Fund, including the schedule of investments, as of December 31, 2018, the related statement 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 related notes (collectively, the financial statements) and the financial highlights for each of the years indicated therein. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years indicated therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

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We have served as the auditor of one or more PGIM and/or Prudential Insurance investment companies since 2003.

New York, New York

February 14, 2019

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)



Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Susan Davenport Austin* Age: 51 No. of Portfolios Overseen: 108	Senior Managing Director of Brock Capital (Since 2014); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); Director (Since 2017); formerly Presiding Director (2014-2017) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015).	Since February 2011
Sherry S. Barrat* Age: 69 No. of Portfolios Overseen: 108	Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).	Since January 2013
Jessica M. Bibliowicz* Age: 59 No. of Portfolios Overseen: 108	Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Director (2013-2016) of Realogy Holdings Corp. (residential real estate services); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products).	Director (since 2006) of The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance).	Since September 2014
Kay Ryan Booth* Age: 68 No. of Portfolios Overseen: 108	Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.	Since January 2013



Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Stephen M. Chipman* Age: 57 No. of Portfolios Overseen: 108	Group Managing Director International Expansion and Regional Managing Director, Americas of Vistra (Since June 2018); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP.	None.	Since January 2018
Robert F. Gunia* Age: 72 No. of Portfolios Overseen: 108	Director ICI Mutual Insurance Company (June 2016-present; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM 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.	Since July 2003
Thomas T. Mooney* Age: 77 Independent Chair Since July 2003 No. of Portfolios Overseen: 108	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; 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.	Since July 2003
Thomas M. O’Brien* Age: 68 No. of Portfolios Overseen: 108	Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) 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.	Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) 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 (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.	Since July 2003

Interested Trustee
Timothy S. Cronin* Age: 53 No. of Portfolios Overseen: 108	President of Prudential Annuities (Since June 2015); 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.	Since October 2009

* The address of each Trustee is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.



Trust Officers¹
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Edward C. Merrill, IV, CFA* Age: 34 Vice President	Vice President of Prudential Annuities (since December 2014); formerly Director of Prudential Annuities (December 2010-December 2014); formerly Manager of Prudential Annuities (August 2009-December 2010); formerly Senior Analyst of Prudential Annuities (October 2008-August 2009).	Since June 2017
Raymond A. O’Hara* Age: 63 Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of PGIM Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since June 2012
Chad A. Earnst* Age: 43 Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of PGIM Investments LLC; Chief Compliance Officer (September 2014-Present) of the PGIM Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global Short Duration High Yield Income Fund, Inc., PGIM Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006–December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since September 2014
Dino Capasso* Age: 43 Deputy Chief Compliance Officer	Vice President and Deputy Chief Compliance Officer (June 2017-Present) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC.	Since March 2018
Andrew R. French* Age: 56 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 PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since October 2006
Jonathan D. Shain* Age: 60 Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PGIM Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since May 2005
Claudia DiGiacomo* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PGIM Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).	Since December 2005
Kathleen DeNicholas* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).	Since May 2013
Christian J. Kelly* Age: 43 Treasurer and Principal Financial & Accounting Officer	Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007).	Since January 2019
Peter Parrella* Age: 60 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).	Since June 2007
Lana Lomuti* Age: 51 Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since April 2014
Linda McMullin* Age: 57 Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since April 2014



Trust Officers¹
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Alina Srodecka, CPA* Age: 52 Assistant Treasurer	Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touche (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997).	Since June 2017
Charles H. Smith* Age: 46 Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since January 2017

* The address for each officer is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

¹ Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

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The Prudential Insurance Company of America

751 Broad Street

Newark, NJ 07102-3714

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PSF-AR-SP INTL GROWTH

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The Prudential Series Fund


ANNUAL REPORT		December 31, 2018

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The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

SP Prudential U.S. Emerging Growth Portfolio

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The Prudential Series Fund

Table of Contents

Annual Report

December 31, 2018

∎

LETTER TO CONTRACT OWNERS

∎

MARKET OVERVIEW

∎

REPORT OF THE INVESTMENT MANAGER

∎

BENCHMARK GLOSSARY

∎

PRESENTATION OF PORTFOLIO HOLDINGS

∎

FEES AND EXPENSES

∎

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, 2018

∎

DEAR CONTRACT OWNER

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

January 31, 2019


Market Overview — unaudited		Annual Report		December 31, 2018

Equity Market Overview

Global economy and interest rates

Equity markets fluctuated sharply

Volatility picked up significantly in 2018. The CBOE Volatility Index (VIX) average annual level rose sharply in 2018 from 2017.

S&P 500: leaders and laggards


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

Growth and larger-cap stocks outperformed their counterparts

International equity markets: best and worst performers

Fixed Income Market Overview

Financial markets experienced a volatile year in 2018, particularly riskier assets. The total returns and excess returns on bonds relative to US Treasuries were generally low or negative.

Municipal bonds rose 1.28%. High yield municipal issues (rated below investment grade) rose 4.76% for the year. However, high yield corporate bonds fell 2.08%.

Bond market highlights

Although the US economy grew at a healthy pace during the year, growth decelerated in the third quarter and economic activity in the eurozone slowed.

Risk aversion rose late in the period


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio

December 31, 2018

Report of the Investment Managers - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio: Class I		-7.84	%		4.71	%		12.68	%
Portfolio: Class II		-8.17			4.30			12.21
Russell Midcap^® Growth Index		-4.75			7.42			15.12
S&P Midcap 400 Index		-11.08			6.03			13.68

$10,000 INVESTED OVER 10 YEARS¹

LOGO

The Russell Midcap^® Growth 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, 2018, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned -7.84% and Class II shares returned -8.17%. The Portfolio’s Class I & II shares underperformed the Russell Midcap Growth Index and outperformed the S&P Midcap 400 Index.

The Portfolio’s investment objective is long-term capital appreciation.

What were market conditions during the reporting period?

As 2018 began, global gross domestic product growth was accelerating, the labor market was continuing to strengthen, and lower US corporate tax rates were taking effect, helping to boost wages and capital spending. A sell-off in the fourth quarter reflected mounting investor concerns about a range of issues. These worries included the pace of US interest rate increases and the effect on US economic growth, decelerating expansion among non-US economies, the state of US trade alliances with major trading partners — most notably the rising risk of a trade war with China — and discord and uncertainties about domestic policy, which culminated in a partial US government shutdown as the year drew to a close.

The Russell Midcap Growth Index (the Index) finished the year with a -4.75% return. The materials, energy, and financials sectors lost the most ground, while utilities, consumer staples, information technology (IT), and health care posted gains.

What strategies or holdings affected the Portfolio’s performance?

The financials sector was the largest source of relative weakness in 2018, as positions in capital markets, consumer finance, and banks underperformed the Index. Affiliated Managers Group, Inc. was the largest detractor from performance during the year. It reported mixed financial results during the period, with good earnings but a surprisingly large amount of outflows. While Jennison Associates is disappointed in the lack of growth, it still thinks the company can accelerate earnings given healthy markets and return of capital to shareholders.

Energy also detracted from relative results during the period. Shares of Noble Energy, Inc. declined along with its broader peer group after fears of declining demand (due to a potential global economic slowdown) drove West Texas Intermediate crude oil prices down 38% in the fourth quarter. With prospects for growth in the Middle East, efficient use of capital and prudent cost management, Jennison believes Noble Energy could benefit over the medium- to long-term given its inexpensive valuation relative to peers. Jennison also likes its highly visible stream of production growth due to a combination of strong international and US assets, along with a clean balance sheet.

In the IT sector, two software positions contributed to performance. Red Hat, Inc., the market-leading vendor of Linux, an open-source computer operating system, benefited from several secular trends during the period, including a shift from UNIX to Linux, open-source virtualization and middleware, and cloud computing. The stock advanced sharply in October after IBM announced plans to buy Red Hat.

ServiceNow, Inc. is a leader in software as a service (SaaS)-based IT service management. The company reported strong results during the period, driven by growth in revenue, subscriptions, and billings. Jennison still believes there is tremendous growth potential, as the company executed exceptionally well in penetrating new customers, upselling existing customers, and in driving new product innovation and penetration during the period. These gains weren’t enough to overcome losses in other holdings, and ultimately the IT sector detracted from relative performance over the course of the year.

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.

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, 2018

Report of the Investment Managers - As of December 31, 2018 (Unaudited) (Continued)

Flex Ltd. was a notable detractor during the year. It delivers design, engineering, manufacturing, and supply chain insight and logistics to manufacturers. Earnings were disappointing during the period, as its relationship with Nike did not turn profitable as expected. Flex was eliminated from the Portfolio during the period.

Health care was the largest contributor to relative gains, led by Illumina, Inc. and Zoetis, Inc. In Jennison’s view, Illumina’s business goal is to build demand for its next-generation gene-sequencing technology, new product cycles, and untapped end markets beyond academic research, including noninvasive prenatal testing, oncology, and reproductive and genetic health. A dramatic rise in the company’s genotyping services during the period reflected increased consumer interest in family genetics. Additional growth is expected from nascent large-scale national population sequencing projects. The stock’s advance during the period reflected demand for its proprietary Novaseq gene-sequencer.

Zoetis is a pharmaceutical company for animal health medicines and vaccines for livestock and companion animals. Earnings were strong during the period, with US livestock a key driver of upside growth. Sales outside the US were also impressive, reflecting secular tailwinds for both the protein market and companion animals.

Consumer staples was another sector that contributed to relative performance, driven primarily by gains in Church and Dwight, which develops, manufactures, and markets household, personal care, and specialty products. The company reported strong organic revenue growth and accelerating sales for a fifth straight quarter. Jennison continues to like its leading position in niche categories, which enables it to raise prices without losing market share.

In terms of positioning, Jennison is generally more bullish on health care, technology, and consumer stocks, and cautious on cyclical sectors like industrials, materials, and financial stocks. Jennison will continue to carefully evaluate the fundamental outlooks of the holdings and make adjustments as necessary and as the overall market environment evolves.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund

Benchmark Glossary — unaudited

December 31, 2018

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.

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.

The Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

December 31, 2018


SP Prudential U.S. Emerging Growth Portfolio
Five Largest Holdings	(% of Net Assets	)
ServiceNow, Inc.	2.5%
SBA Communications Corp.	2.4%
Roper Technologies, Inc.	2.2%
Fidelity National Information Services, Inc.	2.0%
Worldpay, Inc. (Class A Stock)	2.0%

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 2018

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, 2018 through December 31, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes

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 Portfolio		Beginning Account Value July 1, 2018		Ending Account Value December 31, 2018		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*

SP Prudential US Emerging Growth (Class I)	Actual	$	1,000.00	$	893.20		0.68	%	$	3.24
SP Prudential US Emerging Growth (Class I)	Hypothetical	$	1,000.00	$	1,021.78		0.68	%	$	3.47

SP Prudential US Emerging Growth (Class II)	Actual	$	1,000.00	$	891.40		1.08	%	$	5.15
SP Prudential US Emerging Growth (Class II)	Hypothetical	$	1,000.00	$	1,019.76		1.08	%	$	5.50

* 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, 2018, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2018 (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 PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 95.3%
COMMON STOCKS	Shares		Value
Aerospace & Defense — 1.1%
Hexcel Corp.		41,407	$	2,374,277

Auto Components — 0.7%
Aptiv PLC		25,149		1,548,424

Biotechnology — 2.1%
Alexion Pharmaceuticals, Inc.*		20,928		2,037,550
BioMarin Pharmaceutical, Inc.*		28,617		2,436,738

				4,474,288

Capital Markets — 3.6%
Affiliated Managers Group, Inc.		20,775		2,024,316
Moody’s Corp.(a)		18,368		2,572,255
TD Ameritrade Holding Corp.		66,590		3,260,246

				7,856,817

Chemicals — 2.3%
Albemarle Corp.(a)		28,099		2,165,590
FMC Corp.		38,228		2,827,343

				4,992,933

Commercial Services & Supplies — 1.7%
Cintas Corp.		14,371		2,414,184
Stericycle, Inc.*		36,214		1,328,692

				3,742,876

Communications Equipment — 1.8%
Palo Alto Networks, Inc.*		19,993		3,765,682

Construction & Engineering — 1.1%
Quanta Services, Inc.		81,509		2,453,421

Construction Materials — 1.0%
Vulcan Materials Co.		22,381		2,211,243

Consumer Finance — 1.3%
SLM Corp.*		337,284		2,802,830

Diversified Consumer Services — 1.1%
Bright Horizons Family Solutions, Inc.*		20,964		2,336,438

Electrical Equipment — 1.8%
AMETEK, Inc.		58,735		3,976,359

Electronic Equipment, Instruments & Components — 3.2%
Amphenol Corp. (Class A Stock)		41,348		3,350,015
CDW Corp.		42,350		3,432,467

				6,782,482

Entertainment — 1.0%
Take-Two Interactive Software, Inc.*		21,708		2,234,622

Equity Real Estate Investment Trusts (REITs) — 3.5%
Equinix, Inc.		7,030		2,478,497
SBA Communications Corp.*		31,648		5,123,495

				7,601,992

Food Products — 1.5%
Lamb Weston Holdings, Inc.		25,767		1,895,421
McCormick & Co., Inc.(a)		9,075		1,263,603

				3,159,024


COMMON STOCKS (continued)	Shares		Value
Health Care Equipment & Supplies — 4.7%
Edwards Lifesciences Corp.*		27,253	$	4,174,342
Hill-Rom Holdings, Inc.		34,444		3,050,016
Teleflex, Inc.		10,822		2,797,271

				10,021,629

Health Care Providers & Services — 2.4%
Centene Corp.*		34,377		3,963,668
Premier, Inc. (Class A Stock)*		30,413		1,135,926

				5,099,594

Hotels, Restaurants & Leisure — 5.4%
Aramark		76,754		2,223,563
Dunkin’ Brands Group, Inc.(a)		26,044		1,669,941
Hilton Worldwide Holdings, Inc.		50,246		3,607,663
Norwegian Cruise Line Holdings Ltd.*		40,597		1,720,907
Vail Resorts, Inc.		11,546		2,434,128

				11,656,202

Household Products — 2.1%
Church & Dwight Co., Inc.		42,843		2,817,355
Clorox Co. (The)		10,963		1,689,837

				4,507,192

Industrial Conglomerates — 2.2%
Roper Technologies, Inc.		17,951		4,784,301

Internet & Direct Marketing Retail — 0.7%
GrubHub, Inc.*(a)		19,667		1,510,622

IT Services — 7.9%
Fidelity National Information Services, Inc.		43,099		4,419,802
FleetCor Technologies, Inc.*		17,046		3,165,783
Global Payments, Inc.		39,414		4,064,766
Shopify, Inc. (Canada) (Class A Stock)*(a)		8,123		1,124,629
Worldpay, Inc. (Class A Stock)*		56,455		4,314,856

				17,089,836

Life Sciences Tools & Services — 3.3%
Illumina, Inc.*		6,654		1,995,734
IQVIA Holdings, Inc.*		21,045		2,444,798
Mettler-Toledo International, Inc.*		1,888		1,067,815
PRA Health Sciences, Inc.*		16,778		1,542,905

				7,051,252

Machinery — 1.9%
Fortive Corp.		37,450		2,533,867
IDEX Corp.		11,744		1,482,797

				4,016,664

Mortgage Real Estate Investment Trusts (REITs) — 1.2%
Starwood Property Trust, Inc.		126,425		2,491,837

Multiline Retail — 1.7%
Dollar General Corp.		33,397		3,609,548

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Oil, Gas & Consumable Fuels — 1.6%
Noble Energy, Inc.		110,483	$	2,072,661
Targa Resources Corp.		39,588		1,425,960

				3,498,621

Pharmaceuticals — 1.5%
Catalent, Inc.*		45,074		1,405,407
Zoetis, Inc.		21,035		1,799,334

				3,204,741

Professional Services — 3.7%
CoStar Group, Inc.*		7,926		2,673,757
IHS Markit Ltd.*		73,674		3,534,141
Verisk Analytics, Inc.*		16,496		1,798,724

				8,006,622

Real Estate Management & Development — 2.6%
CBRE Group, Inc. (Class A Stock)*		87,895		3,519,316
Howard Hughes Corp. (The)*		21,296		2,078,915

				5,598,231

Road & Rail — 0.7%
J.B. Hunt Transport Services, Inc.		16,799		1,562,979

Semiconductors & Semiconductor Equipment — 6.3%
Analog Devices, Inc.		44,002		3,776,692
Lam Research Corp.		7,928		1,079,556
Marvell Technology Group Ltd.		255,102		4,130,101
Microchip Technology, Inc.(a)		34,484		2,480,089
Universal Display Corp.(a)		22,137		2,071,359

				13,537,797

Software — 9.5%
Coupa Software, Inc.*		15,754		990,296
Guidewire Software, Inc.*		31,805		2,551,715
HubSpot, Inc.*(a)		11,232		1,412,199
Paycom Software, Inc.*(a)		9,493		1,162,418
Proofpoint, Inc.*		20,118		1,686,090
Red Hat, Inc.*		18,904		3,320,299
ServiceNow, Inc.*(a)		29,950		5,332,597
Splunk, Inc.*		38,542		4,041,129

				20,496,743

Specialty Retail — 6.4%
Advance Auto Parts, Inc.		25,543		4,022,001


COMMON STOCKS (continued)	Shares		Value
Specialty Retail (continued)
Burlington Stores, Inc.*		19,654	$	3,197,116
Ross Stores, Inc.		39,141		3,256,531
Ulta Beauty, Inc.*		13,504		3,306,319

				13,781,967

Textiles, Apparel & Luxury Goods — 0.7%
PVH Corp.		15,128		1,406,148

TOTAL LONG-TERM INVESTMENTS (cost $165,270,910)				205,246,234


SHORT-TERM INVESTMENTS — 14.3%
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		11,121,333		11,121,333
PGIM Institutional Money Market Fund (cost $19,740,575; includes $19,703,086 of cash collateral for securities on loan)(b)(w)		19,742,849		19,740,874

TOTAL SHORT-TERM INVESTMENTS (cost $30,861,908)				30,862,207

TOTAL INVESTMENTS — 109.6% (cost $196,132,818)				236,108,441
LIABILITIES IN EXCESS OF OTHER ASSETS — (9.6)%				(20,775,193	)

NET ASSETS — 100.0%			$	215,333,248

The following abbreviations are used in the annual report:


LIBOR		London Interbank Offered Rate
REITs		Real Estate Investment Trusts

*	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 $19,398,604; cash collateral of $19,703,086 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018

The following is a summary of the inputs used as of December 31, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	2,374,277	$	—	$	—
Auto Components		1,548,424		—		—
Biotechnology		4,474,288		—		—
Capital Markets		7,856,817		—		—
Chemicals		4,992,933		—		—
Commercial Services & Supplies		3,742,876		—		—
Communications Equipment		3,765,682		—		—
Construction & Engineering		2,453,421		—		—
Construction Materials		2,211,243		—		—
Consumer Finance		2,802,830		—		—
Diversified Consumer Services		2,336,438		—		—
Electrical Equipment		3,976,359		—		—
Electronic Equipment, Instruments & Components		6,782,482		—		—
Entertainment		2,234,622		—		—
Equity Real Estate Investment Trusts (REITs)		7,601,992		—		—
Food Products		3,159,024		—		—
Health Care Equipment & Supplies		10,021,629		—		—
Health Care Providers & Services		5,099,594		—		—
Hotels, Restaurants & Leisure		11,656,202		—		—
Household Products		4,507,192		—		—
Industrial Conglomerates		4,784,301		—		—
Internet & Direct Marketing Retail		1,510,622		—		—
IT Services		17,089,836		—		—
Life Sciences Tools & Services		7,051,252		—		—
Machinery		4,016,664		—		—
Mortgage Real Estate Investment Trusts (REITs)		2,491,837		—		—
Multiline Retail		3,609,548		—		—
Oil, Gas & Consumable Fuels		3,498,621		—		—
Pharmaceuticals		3,204,741		—		—
Professional Services		8,006,622		—		—
Real Estate Management & Development		5,598,231		—		—
Road & Rail		1,562,979		—		—
Semiconductors & Semiconductor Equipment		13,537,797		—		—
Software		20,496,743		—		—
Specialty Retail		13,781,967		—		—
Textiles, Apparel & Luxury Goods		1,406,148		—		—
Affiliated Mutual Funds		30,862,207		—		—

Total	$	236,108,441	$	—	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Affiliated Mutual Funds (9.2% represents investments purchased with collateral from securities on loan)	14.3	%
Software	9.5
IT Services	7.9
Specialty Retail	6.4
Semiconductors & Semiconductor Equipment	6.3
Hotels, Restaurants & Leisure	5.4
Health Care Equipment & Supplies	4.7
Professional Services	3.7
Capital Markets	3.6
Equity Real Estate Investment Trusts (REITs)	3.5
Life Sciences Tools & Services	3.3
Electronic Equipment, Instruments & Components	3.2
Real Estate Management & Development	2.6


Health Care Providers & Services	2.4	%
Chemicals	2.3
Industrial Conglomerates	2.2
Household Products	2.1
Biotechnology	2.1
Machinery	1.9
Electrical Equipment	1.8
Communications Equipment	1.8
Commercial Services & Supplies	1.7
Multiline Retail	1.7
Oil, Gas & Consumable Fuels	1.6
Pharmaceuticals	1.5
Food Products	1.5
Consumer Finance	1.3

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry Classification (continued):
Mortgage Real Estate Investment Trusts (REITs)	1.2	%
Construction & Engineering	1.1
Aerospace & Defense	1.1
Diversified Consumer Services	1.1
Entertainment	1.0
Construction Materials	1.0
Road & Rail	0.7
Auto Components	0.7


Internet & Direct Marketing Retail	0.7	%
Textiles, Apparel & Luxury Goods	0.7

	109.6
Liabilities in excess of other assets	(9.6	)

	100.0	%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	19,398,604	$	(19,398,604	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $19,398,604:
Unaffiliated investments (cost $165,270,910)	$	205,246,234
Affiliated investments (cost $30,861,908)		30,862,207
Dividends receivable		140,368
Receivable for Portfolio shares sold		21,449
Tax reclaim receivable		4,398
Prepaid expenses		2,008

Total Assets		236,276,664

LIABILITIES
Payable to broker for collateral for securities on loan		19,703,086
Payable for investments purchased		994,350
Management fee payable		112,702
Accrued expenses and other liabilities		108,105
Payable for Portfolio shares repurchased		19,609
Payable to affiliate		4,398
Affiliated transfer agent fee payable		980
Distribution fee payable		116
Administration fee payable		70

Total Liabilities		20,943,416

NET ASSETS	$	215,333,248

Net assets were comprised of:
Partners Equity	$	215,333,248

Class I:
Net asset value and redemption price per share, $214,806,932 / 15,764,996 outstanding shares of beneficial interest	$	13.63

Class II:
Net asset value and redemption price per share, $526,316 / 41,097 outstanding shares of beneficial interest	$	12.81

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income (net of $9 foreign withholding tax)	$	1,872,158
Affiliated dividend income		139,739
Income from securities lending, net (including affiliated income of $46,188)		56,584

Total income		2,068,481

EXPENSES
Management fee		1,492,631
Distribution fee—Class II		1,467
Administration fee—Class II		880
Shareholders’ reports		63,859
Custodian and accounting fees		53,145
Audit fee		27,700
Trustees’ fees		12,021
Legal fees and expenses		11,227
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,680
Miscellaneous		15,261

Total expenses		1,688,871

NET INVESTMENT INCOME (LOSS)		379,610

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT TRANSACTIONS
Net realized gain (loss) on investment transactions (including affiliated of $(1,813))		16,268,452

Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $1,029)		(34,364,908	)

NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS		(18,096,456	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(17,716,846	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income (loss)	$	379,610		$	428,873
Net realized gain (loss) on investment transactions		16,268,452			22,605,268
Net change in unrealized appreciation (depreciation) on investments		(34,364,908	)		24,449,624

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(17,716,846	)		47,483,765

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold		8,022,446			6,208,440
Portfolio shares repurchased		(25,384,122	)		(21,736,799	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(17,361,676	)		(15,528,359	)

CAPITAL CONTRIBUTIONS		11,284			—

TOTAL INCREASE (DECREASE)		(35,067,238	)		31,955,406
NET ASSETS:
Beginning of year		250,400,486			218,445,080

End of year	$	215,333,248		$	250,400,486

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP Prudential U.S. Emerging Growth Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio. For purposes of the 1940 Act a non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

The investment objective of the Portfolio is long-term capital appreciation.

Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.

For the fiscal reporting year-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Portfolio’s foreign investments may change on days when investors cannot purchase or redeem Portfolio shares.

Foreign equities traded on foreign securities exchanges are generally valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements up to the time the Portfolio is valued. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in

accordance with exchange-traded common and preferred stock valuation policies discussed above.

Foreign Currency Translation: The books and records of the Portfolio 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.

Master Netting Arrangements: The Series Fund, on behalf of the Portfolio, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a Subadviser may have negotiated and entered into on behalf of the Portfolio. 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. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Portfolio becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual. Net investment income or loss (other than administration and distribution fees which are charged directly 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.

Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.

Agreements

services for the Portfolio. The Manager pays for the services of the Subadviser, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.

The management fee paid to the Manager is accrued daily and payable monthly at an annual rate of 0.60% of the Portfolio’s average daily net assets. All amounts paid or payable by the Portfolio to the Manager, under the agreement, are reflected in the Statement of Operations.

PGIM Investments, PIMS and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

Other Transactions with Affiliates

Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PGIM Investments and an indirect, wholly-owned subsidiary of Prudential, serves as the transfer agent of the Portfolio. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.

The Portfolio may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (formerly known as Prudential Core Ultra Short Bond Fund) (the “Core Fund”) and its securities lending cash collateral in the PGIM Institutional Money Market Fund (formerly known as Prudential Institutional Money Market Fund) (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Through the Portfolio’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.

In February 2016, Prudential, the parent company of the Manager, self-reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of the Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolios. The per share amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolio’s “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2016.

The SEC Staff and other regulators continue to review the matter.

the Portfolios are subject to higher foreign withholding tax rates on dividend and interest income in certain foreign jurisdictions and/or are subject to delays in repayment of taxes withheld by certain foreign jurisdictions (collectively, “excess withholding tax”). Prudential’s protocols were intended to protect the Portfolios from these differences and delays. In consultation with the Portfolios’ independent trustees, Prudential paid each of the affected Portfolios an amount equal to the excess withholding tax in addition to an amount equal to the applicable Portfolio’s rate of return (“opportunity loss”) applied to these excess withholding tax amounts for periods from the various transaction dates, beginning January 2, 2006 (the date when the Portfolios were converted to partnerships for tax purposes), through February 28, 2018 (the date through which the previously established protocols were not uniformly implemented). The amount due to each Portfolio was calculated by Prudential with the help of a third-party consultant. Those amounts and the methodology used by Prudential to derive them, were evaluated and confirmed by a consultant retained by the Portfolios’ independent trustees. The excess withholding tax analysis considered detriments to the Portfolios due to their tax status as partnerships arising from both timing differences (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is reclaimable) as described above as well as permanent tax detriments (i.e., jurisdictions in which the Portfolio was subject to a higher withholding tax rate due to its tax status which is not reclaimable). Further, the opportunity loss due to each Portfolio also was calculated by a third-party consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the Portfolios’ independent trustees. The aggregate previously unreimbursed excess withholding tax and opportunity loss payments for each affected Portfolio are disclosed in the respective Portfolio’s “Statements of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions” for the fiscal year or period ended December 31, 2018.


	2018 Payments
SP Prudential U.S. Emerging Growth Portfolio		$4,398


	Opportunity Loss		Unreimbursed Excess Withholding Taxes
SP Prudential U.S. Emerging Growth Portfolio		$2,128		$9,156

Portfolio Securities

A summary of the cost of purchases and proceeds from sales of shares of affiliated mutual funds for the year ended December 31, 2018, is presented as follows:


Value, Beginning of Year	Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)			Value, End of Year		Shares, End of Year		Income
PGIM Core Ultra Short Bond Fund*
$7,804,851	$	58,488,622	$	55,172,140	$	—	$	—		$	11,121,333		11,121,333	$	139,739
PGIM Institutional Money Market Fund*
23,453,443		137,134,303		140,846,088		1,029		(1,813	)		19,740,874		19,742,849		46,188	**

$31,258,294	$	195,622,925	$	196,018,228	$	1,029	$	(1,813	)	$	30,862,207			$	185,927

The Fund did not have any capital gain distributions during the reporting period.

This amount is included in “Income from securities lending, net” on the Statement of Operations.

Tax Information

Borrowings

The Portfolio did not utilize the SCA during the year ended December 31, 2018.

Capital and Ownership

As of December 31, 2018, all of Class I shares of the Portfolio were owned of record by the following affiliates of the Manager: Pruco Life Insurance Company of New Jersey (“PLNJ”) and Pruco Life Insurance Company (“PLAZ”) on behalf of the owners of the variable insurance products issued by each of these entities.


	Number of Shareholders		% of Outstanding Shares		% held by an Affiliate of Prudential
SP Prudential U.S. Emerging Growth Portfolio		3		97		97

Transactions in shares of beneficial interest were as follows:


Class I:	Shares			Amount
Year ended December 31, 2018:
Portfolio shares sold		526,326		$	7,945,032
Portfolio shares repurchased		(1,659,004	)		(25,324,498	)
Capital contributions		—			11,256

Net increase (decrease) in shares outstanding		(1,132,678	)	$	(17,368,210	)

Year ended December 31, 2017:
Portfolio shares sold		455,822		$	6,194,368
Portfolio shares repurchased		(1,580,585	)		(21,354,271	)

Net increase (decrease) in shares outstanding		(1,124,763	)	$	(15,159,903	)


Class II:
Year ended December 31, 2018:
Portfolio shares sold		5,372		$	77,414
Portfolio shares repurchased		(4,223	)		(59,624	)
Capital contributions		—			28

Net increase (decrease) in shares outstanding		1,149		$	17,818

Year ended December 31, 2017:
Portfolio shares sold		1,096		$	14,072
Portfolio shares repurchased		(28,884	)		(382,528	)

Net increase (decrease) in shares outstanding		(27,788	)	$	(368,456	)

Risks of Investing in the Portfolio

The Portfolio’s risks include, but are not limited to, some or all of the risks discussed below:

Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Portfolio invests could go down. The Portfolio’ holdings can vary significantly from broad market indexes and the performance of the Portfolio can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.

Foreign Securities Risk: The Portfolio’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Portfolio may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Portfolio’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Recent Accounting Pronouncements and Reporting Updates

value hierarchy, and the Portfolio’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has determined to early adopt aspects related to the removal and modification of certain fair value measurement disclosures under the ASU effective immediately. At this time, the Manager is evaluating the implications of certain other provisions of the ASU related to new disclosure requirements and any impact on the financial statement disclosures has not yet been determined.

10.

Subsequent Event

On September 12-13, 2018, the Board of Trustees of the Trust approved the replacement of Jennison Associates LLC. as the Subadviser to the SP U.S. Emerging Growth Portfolio with J.P. Morgan Investment Management, Inc. This change became effective on January 28, 2019.

Financial Highlights


	SP Prudential U.S. Emerging Growth Portfolio—Class I
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	14.79		$	12.08		$	11.58		$	11.86		$	10.83

Income (Loss) From Investment Operations:
Net investment income (loss)		0.02			0.02			0.01			—	(b)		0.02
Net realized and unrealized gain (loss) on investment transactions		(1.18	)		2.69			0.47			(0.28	)		1.01

Total from investment operations		(1.16	)		2.71			0.48			(0.28	)		1.03

Capital Contributions		—	(b)(c)		—			0.02	(d)		—			—

Net Asset Value, end of year	$	13.63		$	14.79		$	12.08		$	11.58		$	11.86

Total Return(e)		(7.84	)%(f)		22.43	%		4.32	%(g)		(2.36	)%		9.51	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	214.8		$	249.8		$	217.7		$	223.3		$	249.1
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		0.68	%		0.71	%		0.69	%		0.67	%		0.68	%
Expenses before waivers and/or expense reimbursement		0.68	%		0.71	%		0.69	%		0.67	%		0.68	%
Net investment income (loss)		0.15	%		0.18	%		0.10	%		(0.01	)%		0.22	%
Portfolio turnover rate(i)		43	%		39	%		35	%		34	%		45	%

	SP Prudential U.S. Emerging Growth Portfolio—Class II
	Year Ended December 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, beginning of year	$	13.95		$	11.44		$	11.02		$	11.33		$	10.38

Income (Loss) From Investment Operations:
Net investment income (loss)		(0.03	)		(0.03	)		(0.03	)		(0.05	)		(0.02	)
Net realized and unrealized gain (loss) on investment transactions		(1.11	)		2.54			0.43			(0.26	)		0.97

Total from investment operations		(1.14	)		2.51			0.40			(0.31	)		0.95

Capital Contributions		—	(b)(c)		—			0.02	(d)		—			—

Net Asset Value, end of year	$	12.81		$	13.95		$	11.44		$	11.02		$	11.33

Total Return(e)		(8.17	)%(f)		21.94	%		3.81	%(g)		(2.74	)%		9.15	%
Ratios/Supplemental Data:
Net assets, end of year (millions)	$	0.5		$	0.6		$	0.8		$	0.8		$	1.0
Ratios to average net assets(h):
Expenses after waivers and/or expense reimbursement		1.08	%		1.10	%		1.09	%		1.07	%		1.08	%
Expenses before waivers and/or expense reimbursement		1.08	%		1.10	%		1.09	%		1.07	%		1.08	%
Net investment income (loss)		(0.24	)%		(0.22	)%		(0.30	)%		(0.40	)%		(0.19	)%
Portfolio turnover rate(i)		43	%		39	%		35	%		34	%		45	%

(a)	Calculated based on average shares outstanding during the year.

(b)	Less than $0.005 per share.

(c)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to timely compensate the Portfolio for the excess foreign withholding tax withheld on dividends and interest from certain countries due to the Portfolio’s tax status as a partnership.

(d)	Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential.

(e)

(f)	Total return for the year includes the impact of the capital contribution, which was not material to the total return.

(g)	Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.15% and 3.63% for Class I and Class II, respectively.

(h)	Does not include expenses of the underlying funds in which the Portfolio invests.

(i)	The Portfolio’s turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s turnover rate may be higher.

SEE NOTES TO FINANCIAL STATEMENTS.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

TO THE SHAREHOLDERS OF SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO

AND THE BOARD OF TRUSTEES OF THE PRUDENTIAL SERIES FUND:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of SP Prudential U.S. Emerging Growth Portfolio (the Portfolio), a portfolio of The Prudential Series Fund, including the schedule of investments, as of December 31, 2018, the related statement 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 related notes (collectively, the financial statements) and the financial highlights for each of the years indicated therein. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years indicated therein, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

LOGO

We have served as the auditor of one or more PGIM and/or Prudential Insurance investment companies since 2003.

New York, New York

February 14, 2019

INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)



Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Susan Davenport Austin* Age: 51 No. of Portfolios Overseen: 108	Senior Managing Director of Brock Capital (Since 2014); formerly Vice Chairman (2013-2017), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; formerly President of Sheridan Gospel Network (2004-2014); formerly Vice President, Goldman, Sachs & Co. (2000-2001); formerly Associate Director, Bear, Stearns & Co. Inc. (1997-2000); formerly Vice President, Salomon Brothers Inc. (1993-1997); Member of the Board of Directors, The MacDowell Colony (Since 2010); Director (Since 2017); formerly Presiding Director (2014-2017) and Chairman (2011-2014) of the Board of Directors, Broadcast Music, Inc.; Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010).	Director of NextEra Energy Partners, LP (NYSE: NEP) (Since February 2015).	Since February 2011
Sherry S. Barrat* Age: 69 No. of Portfolios Overseen: 108	Formerly Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust.	Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013).	Since January 2013
Jessica M. Bibliowicz* Age: 59 No. of Portfolios Overseen: 108	Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Director (2013-2016) of Realogy Holdings Corp. (residential real estate services); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products).	Director (since 2006) of The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance).	Since September 2014
Kay Ryan Booth* Age: 68 No. of Portfolios Overseen: 108	Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995).	None.	Since January 2013



Independent Trustees
Name, Address, Age No. of Portfolios Overseen	Principal Occupation(s) During Past 5 Years	Other Directorships Held by Trustee**	Length of Board Service
Stephen M. Chipman* Age: 57 No. of Portfolios Overseen: 108	Group Managing Director International Expansion and Regional Managing Director, Americas of Vistra (Since June 2018); formerly Chief Executive Officer and Director of Radius (2016-2018); formerly Vice Chairman (January 2015-October 2015) and Chief Executive Officer (January 2010-December 2014) of Grant Thornton LLP.	None.	Since January 2018
Robert F. Gunia* Age: 72 No. of Portfolios Overseen: 108	Director ICI Mutual Insurance Company (June 2016-present; June 2012-June 2015); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of PGIM 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.	Since July 2003
Thomas T. Mooney* Age: 77 Independent Chair Since July 2003 No. of Portfolios Overseen: 108	Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; 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.	Since July 2003
Thomas M. O’Brien* Age: 68 No. of Portfolios Overseen: 108	Vice Chairman of Emigrant Bank and President of its Naples Commercial Finance Division (Since October 2018); formerly Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-April 2017) and CEO (April 2007-December 2011) 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.	Formerly Director, Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (July 2014-February 2018); formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) 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 (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island.	Since July 2003

Interested Trustee
Timothy S. Cronin* Age: 53 No. of Portfolios Overseen: 108	President of Prudential Annuities (Since June 2015); 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.	Since October 2009

* The address of each Trustee is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.



Trust Officers¹
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Edward C. Merrill, IV, CFA* Age: 34 Vice President	Vice President of Prudential Annuities (since December 2014); formerly Director of Prudential Annuities (December 2010-December 2014); formerly Manager of Prudential Annuities (August 2009-December 2010); formerly Senior Analyst of Prudential Annuities (October 2008-August 2009).	Since June 2017
Raymond A. O’Hara* Age: 63 Chief Legal Officer	Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of PGIM Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.).	Since June 2012
Chad A. Earnst* Age: 43 Chief Compliance Officer	Chief Compliance Officer (September 2014-Present) of PGIM Investments LLC; Chief Compliance Officer (September 2014-Present) of the PGIM Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., PGIM Global Short Duration High Yield Income Fund, Inc., PGIM Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, US Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006–December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, US Securities & Exchange Commission.	Since September 2014
Dino Capasso* Age: 43 Deputy Chief Compliance Officer	Vice President and Deputy Chief Compliance Officer (June 2017-Present) of PGIM Investments LLC; formerly, Senior Vice President and Senior Counsel (January 2016-June 2017), and Vice President and Counsel (February 2012-December 2015) of Pacific Investment Management Company LLC.	Since March 2018
Andrew R. French* Age: 56 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 PGIM Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC.	Since October 2006
Jonathan D. Shain* Age: 60 Assistant Secretary	Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PGIM Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc.	Since May 2005
Claudia DiGiacomo* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PGIM Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004).	Since December 2005
Kathleen DeNicholas* Age: 44 Assistant Secretary	Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012).	Since May 2013
Christian J. Kelly* Age: 43 Treasurer and Principal Financial & Accounting Officer	Vice President, Head of Fund Administration of PGIM Investments LLC (since November 2018); formerly, Director of Fund Administration of Lord Abbett & Co. LLC (2009-2018), Treasurer and Principal Accounting Officer of the Lord Abbett Family of Funds (2017-2018); Director of Accounting, Avenue Capital Group (2008-2009); Senior Manager, Investment Management Practice of Deloitte & Touche LLP (1998-2007).	Since January 2019
Peter Parrella* Age: 60 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).	Since June 2007
Lana Lomuti* Age: 51 Assistant Treasurer	Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc.	Since April 2014
Linda McMullin* Age: 57 Assistant Treasurer	Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration.	Since April 2014



Trust Officers¹
Name, Age Position with the Trust	Principal Occupation(s) During Past 5 Years	Length of Service as Trust Officer
Alina Srodecka, CPA* Age: 52 Assistant Treasurer	Vice President of Tax at Prudential Financial, Inc. (Since August 2007); formerly Director of Tax at MetLife (January 2003-May 2006); formerly Tax Manager at Deloitte & Touche (October 1997-January 2003); formerly Staff Accountant at Marsh & McLennan (May 1994-May 1997).	Since June 2017
Charles H. Smith* Age: 46 Anti-Money Laundering Compliance Officer	Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007).	Since January 2017

* The address for each officer is c/o PGIM Investments LLC, 655 Broad Street, Newark, New Jersey 07102.

¹ Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.

To contact your client services representative, please call the phone number listed below. Thank you.

Owners of Individual Annuity contracts should call (888) 778-2888.

Owners of Individual Life Insurance contracts should call (800) 778-2255.

Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.

Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.

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The Prudential Series Fund


ANNUAL REPORT		December 31, 2018

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The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

SP Small Cap Value Portfolio

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The Prudential Series Fund

Table of Contents

Annual Report

December 31, 2018

∎

LETTER TO CONTRACT OWNERS

∎

MARKET OVERVIEW

∎

REPORT OF THE INVESTMENT MANAGER

∎

BENCHMARK GLOSSARY

∎

PRESENTATION OF PORTFOLIO HOLDINGS

∎

FEES AND EXPENSES

∎

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, 2018

∎

DEAR CONTRACT OWNER

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,

LOGO

Timothy S. Cronin

President,

The Prudential Series Fund

January 31, 2019


Market Overview — unaudited		Annual Report		December 31, 2018

Equity Market Overview

Global economy and interest rates

Equity markets fluctuated sharply

Volatility picked up significantly in 2018. The CBOE Volatility Index (VIX) average annual level rose sharply in 2018 from 2017.

S&P 500: leaders and laggards


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

Growth and larger-cap stocks outperformed their counterparts

International equity markets: best and worst performers

Fixed Income Market Overview

Financial markets experienced a volatile year in 2018, particularly riskier assets. The total returns and excess returns on bonds relative to US Treasuries were generally low or negative.

Municipal bonds rose 1.28%. High yield municipal issues (rated below investment grade) rose 4.76% for the year. However, high yield corporate bonds fell 2.08%.

Bond market highlights

Although the US economy grew at a healthy pace during the year, growth decelerated in the third quarter and economic activity in the eurozone slowed.

Risk aversion rose late in the period


Market Overview — unaudited (continued)		Annual Report		December 31, 2018

The Prudential Series Fund, SP Small Cap Value Portfolio

December 31, 2018

Report of the Investment Manager - As of December 31, 2018 (Unaudited)


Average Annual Total Returns	1-Year			5-Years			10-Years
Portfolio		-13.79	%		3.80	%		11.93	%
Russell 2000^® Value Index		-12.86			3.61			10.40
Russell 2500^™ Index		-10.00			5.15			13.15

$10,000 INVESTED OVER 10 YEARS

LOGO

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.

For the year ended December 31, 2018, the SP Small Cap Value Portfolio returned -13.79%. The Portfolio underperformed both the Russell 2000 Value Index and the Russell 2500 Index.

The Portfolio’s investment objective is long-term growth of capital.

What were market conditions during the reporting period?

Despite a strong start to the year amid solid economic data, a $1.5 trillion tax reform plan, and a favorable earnings season, US equities endured a challenging and volatile year. The Federal Reserve (the Fed) raised interest rates four times in 2018 and communicated an upbeat view of the economic outlook, spurred by strong US labor and inflation data. Despite the strong fundamentals, escalating trade tensions, fears of a global economic slowdown, and populist politics weighed on investor sentiment throughout the year. US equities fell sharply in the fourth quarter, as investor sentiment rapidly deteriorated in the wake of escalating trade and political uncertainty and a delayed response to an earlier sell-off in global rates. The correction created tighter US financial conditions, which had been resilient to earlier Fed rate hikes. US equities saw a temporary reprieve in November due to more accommodative comments from Fed Chairman Jerome Powell and encouraging progress toward China-US trade talks. However, the recovery was short-lived. US equities plunged in December over renewed investor fears sparked by the arrest of a Chinese technology executive, a partial US federal government shutdown, and President Trump’s criticism of Powell. The year’s best-performing sectors were health care, utilities, and information technology, while the worst-performing sectors were energy, materials, and industrials. Overall, small-cap equities underperformed the broader market, with the Russell 2000^® Index declining 11.01% and the S&P 500^® Index falling 4.38%.

What strategies or holdings affected the Portfolio’s performance?

During 2018, the Portfolio underperformed the Russell 2000^® Value Index. For the year, investment in the industrials sector detracted from returns, while stock selection in information technology contributed to performance.

Burlington Stores, Inc. (0.9% of the Portfolio), a major off-price clothing retailer in the US, was a top contributor to the Portfolio’s returns for the year. The company reported solid earnings and exhibited substantial store productivity, with an increase in same-store sales. Burlington Stores also upgraded and opened stores in high-traffic centers due to real estate availability, which translated into high-mid-digit sales growth and earnings before interest and taxes (EBIT) margin expansion. Despite the many headwinds facing retailers, including higher wage and freight costs, Burlington Stores improved gross margins, due in part to tax cuts, as well as a lower markdown rate. Goldman Sachs believes the company will continue to widen margins in 2019, aided by strong top-line sales fueled by its continued enhancement of underpenetrated categories such as home, beauty, toy, and baby products.

Beacon Roofing Supply, Inc. (0.6% of the Portfolio), which distributes roofing and building materials in the US and Canada, was a major detractor for the year. During the first and second quarters, its gross margins came under pressure as input costs increased, leading to a shortfall in earnings. While the company was able to overcome cost headwinds in the third quarter, it still missed consensus expectations due to mild weather and a decline in organic sales in its residential roofing business. Going into 2019, Goldman Sachs believes the company will have a more favorable backdrop, with better relative weather comparisons and potential cost synergies from its 2018 acquisition of Allied Building Products Corp. Goldman Sachs also has confidence in the company’s experienced management team, which has been able to execute its strategy over multiple cycles and return value to shareholders.

For a complete list of holdings, refer to the Schedule of Investments section of this report.

The Prudential Series Fund

Benchmark Glossary — unaudited

December 31, 2018

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. Investors cannot invest directly in a market index.

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.

Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower forecasted growth values.

The Prudential Series Fund

Presentation of Portfolio Holdings — unaudited

December 31, 2018


SP Small Cap Value Portfolio
Five Largest Holdings	(% of Net Assets	)
iShares Russell 2000 Value ETF	1.5%
ALLETE, Inc.	1.2%
IDACORP, Inc.	1.1%
Pebblebrook Hotel Trust	1.1%
Chesapeake Lodging Trust	1.0%

The Prudential Series Fund

Fees and Expenses — unaudited

December 31, 2018

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, 2018 through December 31, 2018.

Actual Expenses

Hypothetical Example for Comparison Purposes

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 Portfolio		Beginning Account Value July 1, 2018		Ending Account Value December 31, 2018		Annualized Expense Ratio based on the Six-Month period			Expenses Paid During the Six-Month period*

SP Small Cap Value (Class I)	Actual	$	1,000.00	$	847.90		0.99	%	$	4.61
SP Small Cap Value (Class I)	Hypothetical	$	1,000.00	$	1,020.21		0.99	%	$	5.04

* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (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, 2018, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2018 (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 SMALL CAP VALUE PORTFOLIO*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


LONG-TERM INVESTMENTS — 97.5%
COMMON STOCKS — 96.1%	Shares		Value
Aerospace & Defense — 1.8%
AAR Corp.		8,641	$	322,655
Aerojet Rocketdyne Holdings, Inc.*		9,679		340,991
Curtiss-Wright Corp.		8,638		882,113
Esterline Technologies Corp.*		7,185		872,618
Mercury Systems, Inc.*		3,836		181,404
Moog, Inc. (Class A Stock)		9,248		716,535

				3,316,316

Air Freight & Logistics — 1.1%
Air Transport Services Group, Inc.*		49,959		1,139,565
Atlas Air Worldwide Holdings, Inc.*		2,222		93,746
Echo Global Logistics, Inc.*		15,003		305,011
XPO Logistics, Inc.*		6,758		385,476

				1,923,798

Airlines — 1.3%
SkyWest, Inc.		24,493		1,089,204
Spirit Airlines, Inc.*		22,035		1,276,267

				2,365,471

Auto Components — 0.3%
American Axle & Manufacturing Holdings, Inc.*		34,468		382,595
Standard Motor Products, Inc.		4,226		204,665

				587,260

Banks — 17.1%
Amalgamated Bank (Class A Stock)(a)		22,507		438,887
Ameris Bancorp		20,158		638,404
BancorpSouth Bank		27,024		706,407
Banner Corp.		30,155		1,612,689
Boston Private Financial Holdings, Inc.		42,233		446,403
Brookline Bancorp, Inc.		42,770		591,081
Bryn Mawr Bank Corp.		11,644		400,554
CenterState Bank Corp.		48,208		1,014,296
Chemical Financial Corp.		31,166		1,140,987
Columbia Banking System, Inc.		40,498		1,469,672
Community Bank System, Inc.(a)		22,074		1,286,914
ConnectOne Bancorp, Inc.		29,931		552,826
CVB Financial Corp.		69,944		1,414,967
FB Financial Corp.		10,794		378,006
First Financial Bankshares, Inc.(a)		21,123		1,218,586
First Merchants Corp.		31,999		1,096,606
First Midwest Bancorp, Inc.		40,056		793,509
First of Long Island Corp. (The)		14,275		284,786
Flushing Financial Corp.		22,360		481,411
Glacier Bancorp, Inc.(a)		38,755		1,535,473
Great Western Bancorp, Inc.		42,148		1,317,125
Guaranty Bancorp		14,971		310,648
Heritage Financial Corp.		20,516		609,736
Home BancShares, Inc.		35,390		578,273
Independent Bank Corp.(a)		18,788		1,320,984
Independent Bank Group, Inc.		16,563		758,089
Lakeland Financial Corp.		21,155		849,585
LegacyTexas Financial Group, Inc.		41,381		1,327,916
National Commerce Corp.*		10,999		395,964
Old Line Bancshares, Inc.		7,463		196,426


COMMON STOCKS (continued)	Shares		Value
Banks (continued)
Pacific Premier Bancorp, Inc.*		8,793	$	224,397
Pinnacle Financial Partners, Inc.		21,531		992,579
Renasant Corp.		35,652		1,075,977
Sandy Spring Bancorp, Inc.		14,023		439,481
South State Corp.		17,461		1,046,787
Texas Capital Bancshares, Inc.*		5,060		258,515
Towne Bank		22,207		531,858
TriCo Bancshares		14,631		494,382
Union Bankshares Corp.		21,091		595,399

				30,826,585

Biotechnology — 0.3%
Emergent BioSolutions, Inc.*		7,581		449,402

Building Products — 0.2%
Universal Forest Products, Inc.		12,374		321,229

Capital Markets — 1.5%
BrightSphere Investment Group PLC		50,287		537,065
Houlihan Lokey, Inc.		17,328		637,670
Stifel Financial Corp.		25,805		1,068,843
Virtu Financial, Inc. (Class A Stock)(a)		15,672		403,711

				2,647,289

Chemicals — 1.8%
HB Fuller Co.		22,335		953,035
Ingevity Corp.*		10,281		860,417
Quaker Chemical Corp.		4,152		737,852
Sensient Technologies Corp.		12,159		679,080
Tronox Ltd. (Class A Stock)		5,280		41,078

				3,271,462

Commercial Services & Supplies — 1.7%
ABM Industries, Inc.		19,583		628,810
Advanced Disposal Services, Inc.*		30,564		731,702
Brady Corp. (Class A Stock)		15,863		689,406
Mobile Mini, Inc.		15,351		487,394
US Ecology, Inc.		6,731		423,919

				2,961,231

Communications Equipment — 2.6%
Ciena Corp.*		49,997		1,695,398
NetScout Systems, Inc.*(a)		47,939		1,132,799
Plantronics, Inc.		9,822		325,108
Viavi Solutions, Inc.*		147,152		1,478,878

				4,632,183

Construction & Engineering — 1.2%
EMCOR Group, Inc.		12,235		730,307
Granite Construction, Inc.		11,218		451,861
KBR, Inc.		61,877		939,293

				2,121,461

Diversified Consumer Services — 1.1%
Adtalem Global Education, Inc.*		29,580		1,399,726
Chegg, Inc.*		21,496		610,916

				2,010,642

Electric Utilities — 4.7%
ALLETE, Inc.		28,553		2,176,310

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP SMALL CAP VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Electric Utilities (continued)
El Paso Electric Co.		19,726	$	988,864
IDACORP, Inc.		21,816		2,030,197
PNM Resources, Inc.		34,451		1,415,592
Portland General Electric Co.		39,277		1,800,850

				8,411,813

Electronic Equipment, Instruments & Components — 1.7%
CTS Corp.		26,048		674,383
II-VI, Inc.*		15,316		497,157
Knowles Corp.*		31,535		419,731
Rogers Corp.*		3,999		396,141
SYNNEX Corp.		12,732		1,029,255

				3,016,667

Energy Equipment & Services — 1.1%
Apergy Corp.*		40,558		1,098,311
Cactus, Inc. (Class A Stock)*		30,323		831,153
NCS Multistage Holdings, Inc.*		17,867		90,943

				2,020,407

Entertainment — 0.7%
Live Nation Entertainment, Inc.*(a)		25,118		1,237,062

Equity Real Estate Investment Trusts (REITs) — 10.1%
Acadia Realty Trust		68,552		1,628,795
Chatham Lodging Trust		21,842		386,167
Chesapeake Lodging Trust		75,469		1,837,670
Columbia Property Trust, Inc.		89,156		1,725,169
CyrusOne, Inc.		30,428		1,609,033
Healthcare Realty Trust, Inc.		62,408		1,774,883
Hudson Pacific Properties, Inc.		27,949		812,198
Life Storage, Inc.		12,125		1,127,504
National Health Investors, Inc.		23,282		1,758,722
Pebblebrook Hotel Trust(a)		66,847		1,892,439
Preferred Apartment Communities, Inc. (Class A Stock)		28,299		397,884
PS Business Parks, Inc.		13,024		1,706,144
RLJ Lodging Trust		89,253		1,463,749

				18,120,357

Food & Staples Retailing — 0.3%
Performance Food Group Co.*		17,351		559,917
SpartanNash Co.		3,240		55,663

				615,580

Food Products — 2.1%
B&G Foods, Inc.(a)		27,711		801,125
Darling Ingredients, Inc.*		56,623		1,089,427
Hostess Brands, Inc.*(a)		10,726		117,342
Nomad Foods Ltd. (United Kingdom)*		31,516		526,948
Sanderson Farms, Inc.(a)		2,253		223,700
Simply Good Foods Co. (The)*		53,911		1,018,918

				3,777,460

Gas Utilities — 2.1%
Chesapeake Utilities Corp.		13,096		1,064,705


COMMON STOCKS (continued)	Shares		Value
Gas Utilities (continued)
New Jersey Resources Corp.		32,321	$	1,476,100
South Jersey Industries, Inc.(a)		43,200		1,200,960

				3,741,765

Health Care Equipment & Supplies — 1.9%
Avanos Medical, Inc.*		25,449		1,139,861
CONMED Corp.		14,378		923,068
Orthofix Medical, Inc.*		11,670		612,558
Wright Medical Group NV*		25,575		696,151

				3,371,638

Health Care Providers & Services — 0.5%
Acadia Healthcare Co., Inc.*(a)		13,712		352,535
AMN Healthcare Services, Inc.*		7,968		451,467

				804,002

Health Care Technology — 0.9%
Allscripts Healthcare Solutions, Inc.*		126,172		1,216,298
HMS Holdings Corp.*		13,787		387,828

				1,604,126

Hotels, Restaurants & Leisure — 1.8%
Belmond Ltd. (United Kingdom) (Class A Stock)*		10,262		256,858
Boyd Gaming Corp.		2,498		51,908
Brinker International, Inc.		4,074		179,175
Dine Brands Global, Inc.(a)		10,159		684,107
Eldorado Resorts, Inc.*(a)		30,968		1,121,351
Jack in the Box, Inc.		6,558		509,098
Marriott Vacations Worldwide Corp.		749		52,812
Wendy’s Co. (The)		28,948		451,878

				3,307,187

Household Durables — 1.4%
Helen of Troy Ltd.*		5,099		668,887
KB Home		15,062		287,684
Meritage Homes Corp.*		17,481		641,903
Taylor Morrison Home Corp. (Class A Stock)*		22,678		360,580
TopBuild Corp.*		10,635		478,575

				2,437,629

Household Products — 0.4%
Central Garden & Pet Co. (Class A Stock)*		24,332		760,375

Insurance — 5.1%
AMERISAFE, Inc.		9,996		566,673
CNO Financial Group, Inc.		59,812		890,003
Enstar Group Ltd. (Bermuda)*		4,442		744,346
James River Group Holdings Ltd.		23,758		868,117
Kemper Corp.		13,931		924,740
Kinsale Capital Group, Inc.		18,819		1,045,584
Primerica, Inc.		8,685		848,611
ProAssurance Corp.		17,000		689,520
RLI Corp.(a)		14,262		983,935
Selective Insurance Group, Inc.		27,689		1,687,368

				9,248,897

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP SMALL CAP VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Interactive Media & Services — 0.4%
Cars.com, Inc.*(a)		35,724	$	768,066

Internet & Direct Marketing Retail — 0.1%
Liberty Expedia Holdings, Inc. (Class A Stock)*		2,513		98,283

IT Services — 1.2%
CACI International, Inc. (Class A Stock)*		10,510		1,513,755
LiveRamp Holdings, Inc.*(a)		14,860		574,042

				2,087,797

Leisure Products — 0.0%
Callaway Golf Co.		1,696		25,949

Life Sciences Tools & Services — 0.8%
Cambrex Corp.*(a)		11,646		439,753
Syneos Health, Inc.*		26,519		1,043,523

				1,483,276

Machinery — 3.5%
CIRCOR International, Inc.*(a)		17,436		371,387
Federal Signal Corp.		34,815		692,818
ITT, Inc.		15,702		757,935
Navistar International Corp.*		11,975		310,751
RBC Bearings, Inc.*		5,726		750,679
Rexnord Corp.*		60,423		1,386,708
Tennant Co.		5,901		307,501
TriMas Corp.*		39,023		1,064,938
Watts Water Technologies, Inc. (Class A Stock)		11,320		730,480

				6,373,197

Media — 1.3%
Liberty Latin America Ltd. (Chile) (Class C Stock)*		37,361		544,350
MSG Networks, Inc. (Class A Stock)*		19,471		458,737
Nexstar Media Group, Inc. (Class A Stock)(a)		7,182		564,792
Sinclair Broadcast Group, Inc. (Class A Stock)		3,300		86,922
TEGNA, Inc.		68,724		747,030

				2,401,831

Metals & Mining — 1.7%
Allegheny Technologies, Inc.*(a)		59,732		1,300,365
Carpenter Technology Corp.		5,052		179,902
Cleveland-Cliffs, Inc.*(a)		36,713		282,323
Commercial Metals Co.		34,707		556,006
Constellium NV (Class A Stock)*		58,379		408,069
Royal Gold, Inc.		4,615		395,275

				3,121,940

Mortgage Real Estate Investment Trusts (REITs) — 2.3%
Blackstone Mortgage Trust, Inc. (Class A Stock)(a)		19,250		613,305
Granite Point Mortgage Trust, Inc.		34,950		630,148
MFA Financial, Inc.		182,222		1,217,243


COMMON STOCKS (continued)	Shares		Value
Mortgage Real Estate Investment Trusts (REITs) (continued)
PennyMac Mortgage Investment Trust		36,002	$	670,357
Two Harbors Investment Corp.		83,989		1,078,419

				4,209,472

Multiline Retail — 0.1%
Big Lots, Inc.		8,344		241,308

Oil, Gas & Consumable Fuels — 4.2%
Callon Petroleum Co.*(a)		141,000		915,090
Centennial Resource Development, Inc. (Class A Stock)*(a)		40,218		443,202
Delek US Holdings, Inc.		16,408		533,424
Falcon Minerals Corp.*(a)		60,708		516,018
Golar LNG Ltd. (Bermuda)(a)		57,511		1,251,439
Matador Resources Co.*		18,473		286,886
PBF Energy, Inc. (Class A Stock)		8,802		287,561
PDC Energy, Inc.*		22,018		655,256
SM Energy Co.		21,646		335,080
Viper Energy Partners LP		37,497		976,422
WPX Energy, Inc.*		112,659		1,278,680

				7,479,058

Personal Products — 0.1%
Edgewell Personal Care Co.*		4,559		170,279

Pharmaceuticals — 0.2%
Mallinckrodt PLC*(a)		26,977		426,237

Professional Services — 0.4%
ASGN, Inc.*		11,885		647,733

Real Estate Management & Development — 0.5%
Kennedy-Wilson Holdings, Inc.		53,131		965,390

Road & Rail — 0.4%
Saia, Inc.*		11,429		637,967

Semiconductors & Semiconductor Equipment — 2.7%
Cree, Inc.*(a)		34,835		1,490,067
Entegris, Inc.(a)		34,795		970,607
Lattice Semiconductor Corp.*		111,407		770,936
Semtech Corp.*		16,861		773,414
Silicon Laboratories, Inc.*		4,776		376,397
Synaptics, Inc.*(a)		12,131		451,394

				4,832,815

Software — 2.1%
CommVault Systems, Inc.*		21,568		1,274,453
Cornerstone OnDemand, Inc.*		23,404		1,180,264
Verint Systems, Inc.*		31,888		1,349,181

				3,803,898

Specialty Retail — 2.6%
Aaron’s, Inc.		20,304		853,783
Asbury Automotive Group, Inc.*		7,208		480,485
Ascena Retail Group, Inc.*		12,549		31,498
At Home Group, Inc.*(a)		10,788		201,304
Bed Bath & Beyond, Inc.(a)		6,045		68,429
Burlington Stores, Inc.*		9,599		1,561,469
Caleres, Inc.		5,055		140,681
Children’s Place, Inc. (The)(a)		4,008		361,081
DSW, Inc. (Class A Stock)		9,434		233,020
GameStop Corp. (Class A Stock)(a)		7,860		99,193

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP SMALL CAP VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


COMMON STOCKS (continued)	Shares		Value
Specialty Retail (continued)
Guess?, Inc.		10,891	$	226,206
Hudson Ltd. (Class A Stock)*		20,759		356,017
Signet Jewelers Ltd.		2,884		91,625

				4,704,791

Textiles, Apparel & Luxury Goods — 0.7%
Columbia Sportswear Co.		6,800		571,812
G-III Apparel Group Ltd.*		3,614		100,794
Movado Group, Inc.		3,164		100,046
Wolverine World Wide, Inc.		16,138		514,641

				1,287,293

Thrifts & Mortgage Finance — 2.3%
MGIC Investment Corp.*		136,694		1,429,819
OceanFirst Financial Corp.		42,642		959,872
Provident Financial Services, Inc.		34,241		826,235
Washington Federal, Inc.		37,361		997,912

				4,213,838

Trading Companies & Distributors — 1.7%
Beacon Roofing Supply, Inc.*		31,858		1,010,536
Foundation Building Materials, Inc.*		31,601		262,604
H&E Equipment Services, Inc.		22,553		460,532
Kaman Corp.		11,950		670,275
Univar, Inc.*		36,598		649,249

				3,053,196

TOTAL COMMON STOCKS (cost $159,211,214)				172,942,908


EXCHANGE TRADED FUND — 1.4%
iShares Russell 2000 Value ETF(a) (cost $3,118,173)		24,540		2,639,032

TOTAL LONG-TERM INVESTMENTS (cost $162,329,387)				175,581,940


SHORT-TERM INVESTMENTS — 15.7%	Shares		Value
AFFILIATED MUTUAL FUNDS
PGIM Core Ultra Short Bond Fund(w)		4,136,174	$	4,136,174
PGIM Institutional Money Market Fund (cost $24,087,162; includes $24,041,843 of cash collateral for securities on loan)(b)(w)		24,088,581		24,086,172

TOTAL SHORT-TERM INVESTMENTS (cost $28,223,336)				28,222,346

TOTAL INVESTMENTS — 113.2% (cost $190,552,723)				203,804,286
LIABILITIES IN EXCESS OF OTHER ASSETS — (13.2)%				(23,801,477	)

NET ASSETS — 100.0%			$	180,002,809

The following abbreviations are used in the annual report:


ETF		Exchange Traded Fund
LIBOR		London Interbank Offered Rate
REITs		Real Estate Investment Trusts

*	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 $23,643,803; cash collateral of $24,041,843 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments.

(b)	Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment.

(w)	PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund.

Fair Value Measurements:

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—

unadjusted quoted prices generally in active markets for identical securities.

Level 2—

quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—

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, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Common Stocks
Aerospace & Defense	$	3,316,316	$	—	$	—
Air Freight & Logistics		1,923,798		—		—
Airlines		2,365,471		—		—
Auto Components		587,260		—		—
Banks		30,826,585		—		—
Biotechnology		449,402		—		—
Building Products		321,229		—		—
Capital Markets		2,647,289		—		—

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP SMALL CAP VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stocks (continued)
Chemicals	$	3,271,462	$	—	$	—
Commercial Services & Supplies		2,961,231		—		—
Communications Equipment		4,632,183		—		—
Construction & Engineering		2,121,461		—		—
Diversified Consumer Services		2,010,642		—		—
Electric Utilities		8,411,813		—		—
Electronic Equipment, Instruments & Components		3,016,667		—		—
Energy Equipment & Services		2,020,407		—		—
Entertainment		1,237,062		—		—
Equity Real Estate Investment Trusts (REITs)		18,120,357		—		—
Food & Staples Retailing		615,580		—		—
Food Products		3,777,460		—		—
Gas Utilities		3,741,765		—		—
Health Care Equipment & Supplies		3,371,638		—		—
Health Care Providers & Services		804,002		—		—
Health Care Technology		1,604,126		—		—
Hotels, Restaurants & Leisure		3,307,187		—		—
Household Durables		2,437,629		—		—
Household Products		760,375		—		—
Insurance		9,248,897		—		—
Interactive Media & Services		768,066		—		—
Internet & Direct Marketing Retail		98,283		—		—
IT Services		2,087,797		—		—
Leisure Products		25,949		—		—
Life Sciences Tools & Services		1,483,276		—		—
Machinery		6,373,197		—		—
Media		2,401,831		—		—
Metals & Mining		3,121,940		—		—
Mortgage Real Estate Investment Trusts (REITs)		4,209,472		—		—
Multiline Retail		241,308		—		—
Oil, Gas & Consumable Fuels		7,479,058		—		—
Personal Products		170,279		—		—
Pharmaceuticals		426,237		—		—
Professional Services		647,733		—		—
Real Estate Management & Development		965,390		—		—
Road & Rail		637,967		—		—
Semiconductors & Semiconductor Equipment		4,832,815		—		—
Software		3,803,898		—		—
Specialty Retail		4,704,791		—		—
Textiles, Apparel & Luxury Goods		1,287,293		—		—
Thrifts & Mortgage Finance		4,213,838		—		—
Trading Companies & Distributors		3,053,196		—		—
Exchange Traded Fund		2,639,032		—		—
Affiliated Mutual Funds		28,222,346		—		—

Total	$	203,804,286	$	—	$	—

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2018 were as follows (unaudited):


Banks	17.1	%
Affiliated Mutual Funds (13.4% represents investments purchased with collateral from securities on loan)	15.7
Equity Real Estate Investment Trusts (REITs)	10.1
Insurance	5.1
Electric Utilities	4.7
Oil, Gas & Consumable Fuels	4.2
Machinery	3.5


Semiconductors & Semiconductor Equipment	2.7	%
Specialty Retail	2.6
Communications Equipment	2.6
Thrifts & Mortgage Finance	2.3
Mortgage Real Estate Investment Trusts (REITs)	2.3
Software	2.1
Food Products	2.1
Gas Utilities	2.1

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP SMALL CAP VALUE PORTFOLIO (continued)*



SCHEDULE OF INVESTMENTS				as of December 31, 2018


Industry Classification (continued):
Health Care Equipment & Supplies	1.9	%
Aerospace & Defense	1.8
Hotels, Restaurants & Leisure	1.8
Chemicals	1.8
Metals & Mining	1.7
Trading Companies & Distributors	1.7
Electronic Equipment, Instruments & Components	1.7
Commercial Services & Supplies	1.7
Capital Markets	1.5
Household Durables	1.4
Exchange Traded Fund	1.4
Media	1.3
Airlines	1.3
Construction & Engineering	1.2
IT Services	1.2
Energy Equipment & Services	1.1
Diversified Consumer Services	1.1
Air Freight & Logistics	1.1
Health Care Technology	0.9
Life Sciences Tools & Services	0.8
Textiles, Apparel & Luxury Goods	0.7


Entertainment	0.7	%
Real Estate Management & Development	0.5
Health Care Providers & Services	0.5
Interactive Media & Services	0.4
Household Products	0.4
Professional Services	0.4
Road & Rail	0.4
Food & Staples Retailing	0.3
Auto Components	0.3
Biotechnology	0.3
Pharmaceuticals	0.2
Building Products	0.2
Multiline Retail	0.1
Personal Products	0.1
Internet & Direct Marketing Retail	0.1
Leisure Products	0.0	*

	113.2
Liabilities in excess of other assets	(13.2	)

	100.0	%

*	Less than +/- 0.05%

Financial Instruments/Transactions — Summary of Offsetting and Netting Arrangements:

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(1)			Net Amount
Securities on Loan	$	23,643,803	$	(23,643,803	)	$	—

(1)	Collateral amount disclosed by the Portfolio is limited to the market value of financial instruments/transactions.

SEE NOTES TO FINANCIAL STATEMENTS.



		*SP SMALL CAP VALUE PORTFOLIO (continued)*

STATEMENT OF ASSETS AND LIABILITIES

as of December 31, 2018


ASSETS
Investments at value, including securities on loan of $23,643,803:
Unaffiliated investments (cost $162,329,387)	$	175,581,940
Affiliated investments (cost $28,223,336)		28,222,346
Dividends and interest receivable		445,694
Receivable for Portfolio shares sold		114,625
Receivable for investments sold		22,837
Tax reclaim receivable		5,636
Prepaid expenses		1,764

Total Assets		204,394,842

LIABILITIES
Payable to broker for collateral for securities on loan		24,041,843
Management fee payable		141,390
Accrued expenses and other liabilities		116,441
Payable for investments purchased		67,629
Payable for Portfolio shares repurchased		18,114
Payable to affiliate		5,636
Affiliated transfer agent fee payable		980

Total Liabilities		24,392,033

NET ASSETS	$	180,002,809

Net assets were comprised of:
Partners Equity	$	180,002,809

Class I:
Net asset value and redemption price per share, $180,002,809 / 7,934,751 outstanding shares of beneficial interest	$	22.69

STATEMENT OF OPERATIONS

Year Ended December 31, 2018


NET INVESTMENT INCOME (LOSS)
INCOME
Unaffiliated dividend income	$	2,906,343
Affiliated dividend income		103,482
Income from securities lending, net (including affiliated income of $86,184)		91,784

Total income		3,101,609

EXPENSES
Management fee		1,897,926
Custodian and accounting fees		78,407
Shareholders’ reports		52,736
Audit fee		29,300
Trustees’ fees		12,190
Legal fees and expenses		11,229
Transfer agent’s fees and expenses (including affiliated expense of $5,882)		10,683
Miscellaneous		14,873

Total expenses		2,107,344
Less: Fee waiver and/or expense reimbursement		(16,871	)

Net expenses		2,090,473

NET INVESTMENT INCOME (LOSS)		1,011,136

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on investment transactions (including affiliated of $(2,079))		13,544,446
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(574))		(43,215,307	)
Foreign currencies		(89	)

		(43,215,396	)

NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS		(29,670,950	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(28,659,814	)

STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31,
	2018			2017
INCREASE (DECREASE) IN NET ASSETS OPERATIONS
Net investment income (loss)	$	1,011,136		$	1,051,429
Net realized gain (loss) on investment transactions		13,544,446			21,906,540
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(43,215,396	)		880,581

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(28,659,814	)		23,838,550

PORTFOLIO SHARE TRANSACTIONS
Portfolio shares sold [391,841 and 267,902 shares, respectively]		10,182,721			6,532,656
Portfolio shares repurchased [603,195 and 1,117,191 shares, respectively]		(15,962,030	)		(26,981,266	)

NET INCREASE (DECREASE) IN NET ASSETS FROM PORTFOLIO SHARE TRANSACTIONS		(5,779,309	)		(20,448,610	)

CAPITAL CONTRIBUTIONS		8,507			—

TOTAL INCREASE (DECREASE)		(34,430,616	)		3,389,940
NET ASSETS:
Beginning of year		214,433,425			211,043,485

End of year	$	180,002,809		$	214,433,425

SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS OF

THE PRUDENTIAL SERIES FUND

The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP Small Cap Value Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio. For purposes of the 1940 Act a non-diversified Portfolio may invest a greater percentage of its assets in the securities of a single company or other issuer than a diversified portfolio. Investing in a non-diversified portfolio involves greater risk than investing in a diversified portfolio because a loss resulting from the decline in value of any one security may represent a greater portion of the total assets of a non-diversified portfolio.

The investment objective of the Portfolio is long-term growth of capital.

Accounting Policies

The Series Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.