N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-5017

Ivy Funds Variable Insurance Portfolios

(Exact name of registrant as specified in charter)

6300 Lamar Avenue, Overland Park, Kansas 66202

(Address of principal executive offices) (Zip code)

Mara D. Herrington

6300 Lamar Avenue

Overland Park, Kansas 66202

(Name and address of agent for service)

Registrant’s telephone number, including area code: 913-236-2000

Date of fiscal year end: December 31

Date of reporting period: September 30, 2011

ITEM 1.    SCHEDULE OF INVESTMENTS.

SCHEDULE OF INVESTMENTS Pathfinder Aggressive (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		669	$	3,822
Ivy Funds VIP Dividend Opportunities		1,216		6,902
Ivy Funds VIP Growth		1,014		9,294
Ivy Funds VIP International Core Equity		586		8,175
Ivy Funds VIP International Growth		1,291		9,410
Ivy Funds VIP Limited-Term Bond		2,216		11,204
Ivy Funds VIP Mid Cap Growth		391		2,894
Ivy Funds VIP Small Cap Growth		186		1,530
Ivy Funds VIP Small Cap Value		347		4,512
Ivy Funds VIP Value		811		4,075
TOTAL AFFILIATED MUTUAL FUNDS – 99.8%			$	61,818
(Cost: $68,406)
SHORT-TERM SECURITIES – 0.1%		Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (A)	$	62	$	62
(Cost: $62)
TOTAL INVESTMENT SECURITIES – 99.9%			$	61,880
(Cost: $68,468)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%				32
NET ASSETS – 100.0%			$	61,912

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	61,818	$	—	$	—
Short-Term Securities		—		62		—
Total	$	61,818	$	62	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	68,468
Gross unrealized appreciation		524
Gross unrealized depreciation		(7,112	)
Net unrealized depreciation	$	(6,588	)

SCHEDULE OF INVESTMENTS Pathfinder Conservative (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		4,384	$	25,054
Ivy Funds VIP Dividend Opportunities		1,911		10,848
Ivy Funds VIP Growth		524		4,799
Ivy Funds VIP International Core Equity		232		3,237
Ivy Funds VIP International Growth		447		3,256
Ivy Funds VIP Limited-Term Bond		1,616		8,173
Ivy Funds VIP Mid Cap Growth		174		1,288
Ivy Funds VIP Money Market		16,257		16,257
Ivy Funds VIP Small Cap Growth		69		571
Ivy Funds VIP Small Cap Value		48		628
Ivy Funds VIP Value		257		1,293
TOTAL AFFILIATED MUTUAL FUNDS – 99.9%			$	75,404
(Cost: $75,663)
SHORT-TERM SECURITIES – 0.3%	Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (A)	$	243	$	243
(Cost: $243)
TOTAL INVESTMENT SECURITIES – 100.2%			$	75,647
(Cost: $75,906)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2%)				(149	)
NET ASSETS – 100.0%			$	75,498

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	75,404	$	—	$	—
Short-Term Securities		—		243		—
Total	$	75,404	$	243	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	75,906
Gross unrealized appreciation		963
Gross unrealized depreciation		(1,222	)
Net unrealized depreciation	$	(259	)

SCHEDULE OF INVESTMENTS Pathfinder Moderate (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		20,876	$	119,311
Ivy Funds VIP Dividend Opportunities		11,959		67,891
Ivy Funds VIP Growth		5,311		48,659
Ivy Funds VIP International Core Equity		2,635		36,778
Ivy Funds VIP International Growth		7,618		55,522
Ivy Funds VIP Limited-Term Bond		11,540		58,346
Ivy Funds VIP Mid Cap Growth		2,465		18,232
Ivy Funds VIP Money Market		57,995		57,995
Ivy Funds VIP Small Cap Growth		980		8,069
Ivy Funds VIP Small Cap Value		1,369		17,783
Ivy Funds VIP Value		4,562		22,921
TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	511,507
(Cost: $520,891)
SHORT-TERM SECURITIES – 0.2%		Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (A)	$	850	$	850
(Cost: $850)
TOTAL INVESTMENT SECURITIES – 100.2%			$	512,357
(Cost: $521,741)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2%)				(766	)
NET ASSETS – 100.0%			$	511,591

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	511,507	$	—	$	—
Short-Term Securities		—		850		—
Total	$	511,507	$	850	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	521,741
Gross unrealized appreciation		5,303
Gross unrealized depreciation		(14,687	)
Net unrealized depreciation	$	(9,384	)

SCHEDULE OF INVESTMENTS Pathfinder Moderately Aggressive (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		12,971	$	74,136
Ivy Funds VIP Dividend Opportunities		14,887		84,518
Ivy Funds VIP Growth		6,610		60,565
Ivy Funds VIP International Core Equity		4,100		57,226
Ivy Funds VIP International Growth		11,852		86,378
Ivy Funds VIP Limited-Term Bond		21,515		108,784
Ivy Funds VIP Mid Cap Growth		3,839		28,389
Ivy Funds VIP Money Market		36,049		36,049
Ivy Funds VIP Small Cap Growth		1,834		15,089
Ivy Funds VIP Small Cap Value		2,984		38,762
Ivy Funds VIP Value		5,681		28,542
TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	618,438
(Cost: $646,247)
SHORT-TERM SECURITIES – 0.2%	Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (A)	$	977	$	977
(Cost: $977)
TOTAL INVESTMENT SECURITIES – 100.2%			$	619,415
(Cost: $647,224)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2%)				(892	)
NET ASSETS – 100.0%			$	618,523

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	618,438	$	—	$	—
Short-Term Securities		—		977		—
Total	$	618,438	$	977	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	647,224
Gross unrealized appreciation		3,865
Gross unrealized depreciation		(31,674	)
Net unrealized depreciation	$	(27,809	)

SCHEDULE OF INVESTMENTS Pathfinder Moderately Conservative (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		8,415	$	48,098
Ivy Funds VIP Dividend Opportunities		3,854		21,877
Ivy Funds VIP Growth		1,541		14,120
Ivy Funds VIP International Core Equity		530		7,404
Ivy Funds VIP International Growth		2,045		14,906
Ivy Funds VIP Limited-Term Bond		3,721		18,815
Ivy Funds VIP Mid Cap Growth		795		5,878
Ivy Funds VIP Money Market		28,054		28,054
Ivy Funds VIP Small Cap Growth		158		1,300
Ivy Funds VIP Small Cap Value		110		1,433
Ivy Funds VIP Value		1,470		7,387
TOTAL AFFILIATED MUTUAL FUNDS – 99.9%			$	169,272
(Cost: $170,957)
SHORT-TERM SECURITIES – 0.3%		Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (A)	$	430	$	430
(Cost: $430)
TOTAL INVESTMENT SECURITIES – 100.2%			$	169,702
(Cost: $171,387)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2%)				(341	)
NET ASSETS – 100.0%			$	169,361

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	169,272	$	—	$	—
Short-Term Securities		—		430		—
Total	$	169,272	$	430	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	171,387
Gross unrealized appreciation		2,125
Gross unrealized depreciation		(3,810	)
Net unrealized depreciation	$	(1,685	)

SCHEDULE OF INVESTMENTS Asset Strategy (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Airlines – 0.4%
Cathay Pacific Airways Limited, H Shares (A)		2,506	$	4,089
Apparel Retail – 0.7%
PRADA S.p.A. (A)(B)(C)		1,875		7,908
Apparel, Accessories & Luxury Goods – 4.5%
Compagnie Financiere Richemont S.A. (A)		662		29,499
LVMH Moet Hennessy - Louis Vuitton (A)		163		21,463
				50,962
Asset Management & Custody Banks – 1.7%
Blackstone Group L.P. (The)		1,067		12,779
KKR & Co. L.P.		595		6,184
				18,963
Automobile Manufacturers – 4.9%
Bayerische Motoren Werke AG (A)		266		17,592
Hyundai Motor Company (A)		142		24,807
Porsche Automobil Holding SE (A)		270		12,837
				55,236
Broadcasting – 1.4%
CBS Corporation, Class B (D)		806		16,424
Casinos & Gaming – 11.3%
Sands China Ltd. (A)(B)		3,136		7,337
Sands China Ltd. (A)(B)(C)		13,604		31,829
Wynn Macau, Limited (A)		7,187		16,995
Wynn Macau, Limited (A)(C)		839		1,984
Wynn Resorts, Limited		612		70,476
				128,621
Communications Equipment – 1.4%
Juniper Networks, Inc. (B)		902		15,562
Computer Hardware – 4.1%
Apple Inc. (B)(D)		122		46,313
Computer Storage & Peripherals – 1.5%
NetApp, Inc. (B)(D)		502		17,048
Construction & Farm Machinery & Heavy Trucks – 4.1%
AB Volvo, Class B (A)		1,663		16,341
AB Volvo, Class B (A)(C)		162		1,589
Caterpillar Inc.		211		15,558
Cummins Inc.		177		14,478
				47,966
Diversified Banks – 0.2%
BOC Hong Kong (Holdings) Limited (A)		1,303		2,756
Diversified Metals & Mining – 0.4%
Freeport-McMoRan Copper & Gold Inc., Class B (D)		162		4,936
Hotels, Resorts & Cruise Lines – 1.9%
Starwood Hotels & Resorts Worldwide, Inc.		570		22,127

Industrial Conglomerates – 1.4%
Hutchison Port Holdings Trust (A)	116		77
Hutchison Whampoa Limited, Ordinary Shares (A)	2,097		15,519
			15,596
Integrated Oil & Gas – 6.7%
ConocoPhillips (D)	756		47,839
Exxon Mobil Corporation	165		11,998
Occidental Petroleum Corporation	197		14,078
StatoilHydro ASA (A)	114		2,455
			76,370
Integrated Telecommunication Services – 0.3%
France Telecom (A)	234		3,831
Internet Software & Services – 5.6%
Baidu.com, Inc., ADR (B)	296		31,602
Google Inc., Class A (B)	34		17,283
Tencent Holdings Limited (A)	766		15,886
			64,771
Investment Banking & Brokerage – 1.0%
CITIC Securities Company Limited, H Shares (A)(B)(C)	6,664		11,381
IT Consulting & Other Services – 2.6%
Cognizant Technology Solutions Corporation, Class A (B)	469		29,413
Life & Health Insurance – 2.0%
AIA Group Limited (A)	1,460		4,135
AIA Group Limited (A)(C)	5,558		15,739
Ping An Insurance (Group) Company of China, Ltd., A Shares (A)	351		1,829
			21,703
Marine – 0.1%
A.P. Moller - Maersk A/S (A)	—	*	587
Movies & Entertainment – 1.2%
Vivendi Universal (A)	668		13,594
Multi-Line Insurance – 1.5%
China Pacific Insurance (Group) Co. Ltd., H Shares (A)	6,102		17,587
Oil & Gas Drilling – 1.7%
Seadrill Limited (A)	703		19,402
Oil & Gas Equipment & Services – 4.8%
Halliburton Company (D)	661		20,177
National Oilwell Varco, Inc.	309		15,837
Schlumberger Limited (D)	307		18,343
			54,357
Pharmaceuticals – 0.5%
Allergan, Inc.	65		5,338
Restaurants – 1.4%
Starbucks Corporation	439		16,381
Semiconductor Equipment – 1.8%
ASML Holding N.V., Ordinary Shares (A)	582		20,125
Semiconductors – 1.2%
Broadcom Corporation, Class A	398		13,243

Systems Software – 1.4%
Oracle Corporation		569		16,347
Tobacco – 2.0%
Philip Morris International Inc. (D)		357		22,276
TOTAL COMMON STOCKS – 75.7%			$	861,213
(Cost: $845,516)
PREFERRED STOCKS
Automobile Manufacturers – 4.8%
Volkswagen AG (A)		303		40,002
Volkswagen AG (A)(C)		114		15,097
TOTAL PREFERRED STOCKS – 4.8%			$	55,099
(Cost: $40,453)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
AB Volvo, Class B,
Call SEK85.00, Expires 12–16–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)(E)		1,033		17
ARM Holdings plc, ADR,
Call $28.00, Expires 11–21–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)		664		55
Bayerische Motoren Werke AG,
Call EUR62.00, Expires 12–16–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)(E)		184		22
Blackstone Group L.P. (The),
Call $15.00, Expires 12–19–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)		1,253		46
CBS Corporation, Class B,
Call $27.00, Expires 12–19–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)		735		24
DAX Index:
Put EUR4,850.00, Expires 10–21–11, OTC (Ctrpty: Goldman, Sachs & Company)(E)		1,403		679
Put EUR4,950.00, Expires 10–21–11, OTC (Ctrpty: Goldman, Sachs & Company)(E)		1,400		859
Put EUR5,000.00, Expires 10–24–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)(E)		1,403		965
Put EUR5,200.00, Expires 11–21–11, OTC (Ctrpty: JP Morgan Securities LLC)(E)		1,445		2,509
Put EUR5,350.00, Expires 11–21–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)(E)		1,408		2,991
Euro (Currency):
Put $1.44, Expires 11–23–11, OTC (Ctrpty: Deutsche Bank AG)		1		4,883
Put $1.44, Expires 11–29–11, OTC (Ctrpty: Deutsche Bank AG)		1		4,267
Exxon Mobil Corporation,
Call $77.50, Expires 10–24–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)		192		13
Freeport-McMoRan Copper & Gold Inc., Class B,
Call $50.00, Expires 11–21–11, OTC (Ctrpty: Goldman, Sachs & Company)		344		3
Halliburton Company,
Call $50.00, Expires 10–24–11, OTC (Ctrpty: JP Morgan Securities LLC)		355		1

Juniper Networks, Inc.,
Call $24.00, Expires 10–24–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)		700		2
NASDAQ 100:
Put $2,075.00, Expires 10–24–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)		240		1,600
Put $2,100.00, Expires 10–24–11, OTC (Ctrpty: UBS Securities LLC)		240		1,817
Put $2,050.00, Expires 11–21–11, OTC (Ctrpty: JP Morgan Securities LLC)		244		2,374
Put $2,075.00, Expires 11–21–11, OTC (Ctrpty: Goldman, Sachs & Company)		235		2,489
Put $2,150.00, Expires 11–21–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)		241		3,305
National Oilwell Varco, Inc.,
Call $77.50, Expires 11–21–11, OTC (Ctrpty: UBS Securities LLC)		277		2
Russell 2000 Index:
Put $620.00, Expires 10–21–11, OTC (Ctrpty: UBS Securities LLC)		625		1,431
Put $610.00, Expires 10–24–11, OTC (Ctrpty: UBS Securities LLC)		625		1,222
Put $625.00, Expires 10–24–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)		601		1,487
Put $650.00, Expires 11–19–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)		612		3,103
Starbucks Corporation,
Call $42.00, Expires 10–24–11, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)		654		16
Starwood Hotels & Resorts Worldwide, Inc.,
Call $49.00, Expires 11–21–11, OTC (Ctrpty: Citigroup Global Markets)		373		21
TOTAL PURCHASED OPTIONS – 3.2%			$	36,203
(Cost: $28,326)
CORPORATE DEBT SECURITIES	Principal
Automobile Manufacturers – 0.2%
Toyota Motor Credit Corporation, 5.130%, 1–18–15 (F)	$	1,050		1,032
Brewers – 0.0%
Companhia Brasileira de Bebidas, 10.500%, 12–15–11		500		508
Homebuilding – 0.0%
Desarrolladora Homex, S.A. de C.V., 7.500%, 9–28–15		327		317
Independent Power Producers & Energy Traders – 0.1%
CESP - Companhia Energetica de Sao Paulo, 9.750%, 1–15–15 (C)(E)		BRL1,550		1,176
TOTAL CORPORATE DEBT SECURITIES – 0.3%			$	3,033
(Cost: $2,593)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 0.1%
Federal Home Loan Mortgage Corporation Agency REMIC/CMO:
5.500%, 9–15–17 (G)	$	1,528		100
5.000%, 11–15–17 (G)		116		5
5.000%, 4–15–19 (G)		366		16

5.000%, 11–15–22 (G)		43		1
5.500%, 3–15–23 (G)		295		31
5.000%, 5–15–23 (G)		141		4
5.000%, 8–15–23 (G)		145		6
5.500%, 4–15–25 (G)		27		—	*
5.500%, 10–15–25 (G)		764		94
5.500%, 2–15–30 (G)		37		—	*
5.000%, 8–15–30 (G)		51		1
5.500%, 3–15–31 (G)		170		5
6.000%, 11–15–35 (G)		457		76
Federal National Mortgage Association Agency REMIC/CMO:
5.000%, 5–25–22 (G)		37		—	*
5.500%, 6–25–23 (G)		378		45
5.000%, 8–25–23 (G)		185		8
5.000%, 11–25–23 (G)		271		15
5.000%, 9–25–30 (G)		92		1
5.500%, 8–25–33 (G)		547		77
5.500%, 4–25–34 (G)		991		146
5.500%, 11–25–36 (G)		1,410		200
Government National Mortgage Association Agency REMIC/CMO:
5.000%, 1–20–30 (G)		147		1
5.000%, 6–20–31 (G)		470		17
5.500%, 3–20–32 (G)		355		35
5.000%, 7–20–33 (G)		192		19
5.500%, 11–20–33 (G)		795		78
5.500%, 6–20–35 (G)		643		114
5.500%, 7–20–35 (G)		490		72
5.500%, 10–16–35 (G)		310		52
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.1%			$	1,219
(Cost: $2,428)
BULLION – 13.4%	Troy Ounces
Gold		94	$	152,663
(Cost: $90,594)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 3.9%
Corporacion Andina de Fomento, 0.190%, 10–17–11 (H)	$	10,000		9,999
E.I. du Pont de Nemours and Company, 0.170%, 12–12–11 (H)		9,000		8,997
Harley–Davidson Funding Corp., 0.320%, 10–13–11 (H)		2,000		2,000
Heinz (H.J.) Finance Co. (GTD by Heinz (H.J.) Co.), 0.290%, 10–25–11 (H)		4,940		4,939
McCormick & Co. Inc., 0.240%, 11–28–11 (H)		5,000		4,998
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), 0.070%, 10–24–11 (H)		3,300		3,300
St. Jude Medical, Inc., 0.210%, 10–27–11 (H)		5,000		4,999
Straight–A Funding, LLC (GTD by Federal Financing Bank), 0.170%, 12–1–11 (H)		5,000		4,999
				44,231
Master Note – 0.0%
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (I)		218		218
Municipal Obligations - Taxable – 0.2%
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.), 0.110%, 10–7–11 (I)		2,000		2,000

TOTAL SHORT-TERM SECURITIES – 4.1%	$	46,449
(Cost: $46,449)
TOTAL INVESTMENT SECURITIES – 101.6%	$	1,155,879
(Cost: $1,056,359)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.6%)		(17,802	)
NET ASSETS – 100.0%	$	1,138,077

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	133,316	$	177,936	$	—
Consumer Staples		22,276		—		—
Energy		128,272		21,857		—
Financials		18,963		42,047		11,381
Health Care		5,338		—		—
Industrials		30,036		38,202		—
Information Technology		186,811		36,011		—
Materials		4,936		—		—
Telecommunication Services		—		3,831		—
Total Common Stocks	$	529,948	$	319,884	$	11,381
Preferred Stocks		—		55,099		—
Purchased Options		—		36,203		—
Corporate Debt Securities		—		3,033		—
United States Government Agency Obligations		—		1,219		—
Bullion		152,663		—		—
Short-Term Securities		—		46,449		—
Total	$	682,611	$	461,887	$	11,381
Forward Foreign Currency Contracts	$	—	$	2,227	$	—
Futures Contracts		3,948		—		—
Liabilities
Forward Foreign Currency Contracts	$	—	$	2,063	$	—
Futures Contracts		237		—		—
Written Options		—		16,363		—

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Common Stocks			Investment Funds			Corporate Debt Securities
Beginning Balance 1–1–11	$	—		$	1,593		$	1,026
Net realized gain (loss)		—			(893	)		—
Net unrealized appreciation (depreciation)		(104	)		—			—
Purchases		11,485			—			—
Sales		—			(700	)		—
Transfers into Level 3 during the period		—			—			—
Transfers out of Level 3 during the period		—			—			(1,026	)
Ending Balance 9–30–11	$	11,381		$	—		$	—
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9–30–11	$	(104	)	$	—		$	—

Transfers from Level 3 to Level 2 occurred generally due to the increased availability of observable market data due to increased market activity or information. During the period ended September 30, 2011, securities totaling $353,954 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.

The following forward foreign currency contracts were outstanding at September 30, 2011:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Buy	Chinese Yuan Renminbi	Deutsche Bank AG		195,850		6–25–12	$	183	$	—
Buy	Chinese Yuan Renminbi	Deutsche Bank AG		14,000		6–25–12		—		13
Buy	Chinese Yuan Renminbi	Citibank, N.A.		62,400		6–28–12		123		—
Sell	Euro	Deutsche Bank AG		32,100		3–13–12		837		—
Sell	Euro	Morgan Stanley International		12,000		3–14–12		247		—
Sell	Euro	Goldman Sachs International		30,000		6–15–12		837		—
Buy	Singapore Dollar	Deutsche Bank AG		32,314		11–23–11		—		2,050
							$	2,227	$	2,063

The following futures contracts were outstanding at September 30, 2011 (contracts unrounded):

Description	Type		Expiration Date		Number of Contracts		Market Value			Unrealized Appreciation (Depreciation)
DAX Index		Short		12–16–11		20	$	(3,638	)	$	(237	)
Nasdaq 100 E–mini		Short		12–16–11		1,242		(53,021	)		991
Russell 2000 Index		Short		12–16–11		166		(10,649	)		480
S&P 500 E-mini		Short		12–16–11		1,511		(85,069	)		2,477
							$	(152,377	)	$	3,711

The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price(E)		Premium Received		Market Value
AB Volvo, Class B	Morgan Stanley Smith Barney LLC	Put		1,033		December 2011		SEK65.00	$	78	$	(78	)
ARM Holdings plc, ADR	Morgan Stanley Smith Barney LLC	Put		641		October 2011	$	23.00		101		(61	)
Bayerische Motoren Werke AG	Morgan Stanley Smith Barney LLC	Put		184		December 2011		EUR50.00		89		(137	)
Blackstone Group L.P. (The)	Deutsche Banc Alex. Brown Inc.	Put		1,229		December 2011	$	12.00		160		(181	)
CBS Corporation, Class B	Morgan Stanley Smith Barney LLC	Put		670		December 2011		22.00		97		(214	)
DAX Index:	Goldman, Sachs & Company	Put		2,803		October 2011		EUR4,400.00		1,054		(415	)
	Morgan Stanley Smith Barney LLC	Put		1,403		October 2011		4,550.00		569		(301	)
	JP Morgan Securities LLC	Put		1,445		November 2011		4,650.00		1,036		(1,136	)
	Deutsche Banc Alex. Brown Inc.	Put		1,408		November 2011		4,800.00		1,043		(1,371	)
Euro (Currency):	Deutsche Bank AG	Put		1		November 2011	$	1.35		643		(1,828	)
	Deutsche Bank AG	Put		1		November 2011		1.35		483		(1,656	)
Exxon Mobil Corporation	Deutsche Banc Alex. Brown Inc.	Put		192		October 2011		65.00		36		(14	)
Freeport-McMoRan Copper & Gold Inc., Class B	Goldman, Sachs & Company	Put		360		November 2011		41.00		80		(404	)
Halliburton Company	JP Morgan Securities LLC	Put		351		October 2011		42.00		72		(405	)
Juniper Networks, Inc.	Deutsche Banc Alex. Brown Inc.	Put		737		October 2011		20.00		96		(223	)
NASDAQ 100:	Morgan Stanley Smith Barney LLC	Put		240		October 2011		1,850.00		360		(427	)
	UBS Securities LLC	Put		240		October 2011		1,875.00		408		(500	)
	JP Morgan Securities LLC	Put		244		November 2011		1,825.00		839		(1,017	)
	Goldman, Sachs & Company	Put		235		November 2011		1,850.00		823		(1,080	)
	Morgan Stanley Smith Barney LLC	Put		241		November 2011		1,925.00		675		(1,476	)
National Oilwell Varco, Inc.	UBS Securities LLC	Put		236		November 2011		62.50		99		(296	)
Russell 2000 Index:	UBS Securities LLC	Put		1,226		October 2011		560.00		1,106		(1,018	)

	UBS Securities LLC	Put	625	October 2011	550.00		516		(413	)
	Deutsche Banc Alex. Brown Inc.	Put	612	November 2011	580.00		829		(1,524	)
Starbucks Corporation	Deutsche Banc Alex. Brown Inc.	Put	434	October 2011	34.00		36		(35	)
Starwood Hotels & Resorts Worldwide, Inc.	Citigroup Global Markets	Put	369	November 2011	40.00		88		(153	)
						$	11,416	$	(16,363	)

* Not shown due to rounding.

(A) Listed on an exchange outside the United States.

(B) No dividends were paid during the preceding 12 months.

(C) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $86,703 or 7.6% of net assets.

(D) All or a portion of the security position has been pledged as collateral on open futures contracts.

(E) Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real, EUR - Euro and SEK - Swedish Krona).

(F) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(G) Interest Only Security. Amount shown as principal represents notional amount for computation of interest.

(H) Rate shown is the yield to maturity at September 30, 2011.

(I) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

OTC = Over the Counter

REMIC = Real Estate Mortgage Investment Conduit

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	1,059,828
Gross unrealized appreciation		188,425
Gross unrealized depreciation		(92,374	)
Net unrealized appreciation	$	96,051

SCHEDULE OF INVESTMENTS
Balanced (in thousands)	SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 2.9%
General Dynamics Corporation		37	$	2,094
Honeywell International Inc.		94		4,144
Precision Castparts Corp.		22		3,358
				9,596
Air Freight & Logistics – 1.2%
Expeditors International of Washington, Inc.		95		3,844
Apparel Retail – 1.9%
Limited Brands, Inc.		161		6,185
Application Software – 1.2%
Intuit Inc.		85		4,009
Auto Parts & Equipment – 2.0%
BorgWarner Inc. (A)		76		4,569
Johnson Controls, Inc.		82		2,170
				6,739
Brewers – 1.7%
Anheuser-Busch Inbev S.A., ADR		105		5,579
Broadcasting – 1.9%
CBS Corporation, Class B		296		6,028
Casinos & Gaming – 1.3%
Wynn Resorts, Limited		36		4,097
Computer Hardware – 3.3%
Apple Inc. (A)		28		10,482
Construction & Farm Machinery & Heavy Trucks – 0.6%
Cummins Inc.		25		2,058
Department Stores – 1.3%
Macy’s Inc.		160		4,214
Distillers & Vintners – 1.7%
Brown-Forman Corporation, Class B		81		5,667
Electric Utilities – 1.0%
PPL Corporation		112		3,191
Fertilizers & Agricultural Chemicals – 1.0%
Monsanto Company		55		3,321
Food Retail – 1.0%
Whole Foods Market, Inc.		52		3,396
Footwear – 1.6%
NIKE, Inc., Class B		59		5,062
Health Care Distributors – 1.6%
Henry Schein, Inc. (A)		83		5,134
Health Care Supplies – 1.2%
DENTSPLY International Inc.		124		3,815

Hotels, Resorts & Cruise Lines – 1.4%
Hyatt Hotels Corporation, Class A (A)	147	4,621
Household Products – 1.2%
Colgate-Palmolive Company	43	3,831
Industrial Gases – 0.7%
Praxair, Inc.	23	2,131
Integrated Oil & Gas – 2.1%
ConocoPhillips	110	6,959
Integrated Telecommunication Services – 1.3%
AT&T Inc.	143	4,090
Internet Software & Services – 1.2%
Google Inc., Class A (A)	8	3,858
IT Consulting & Other Services – 1.0%
Accenture plc, Class A	65	3,403
Motorcycle Manufacturers – 1.2%
Harley-Davidson, Inc.	113	3,883
Oil & Gas Equipment & Services – 3.7%
Halliburton Company	106	3,247
National Oilwell Varco, Inc.	109	5,593
Schlumberger Limited	52	3,112
		11,952
Oil & Gas Exploration & Production – 0.6%
Southwestern Energy Company (A)	61	2,023
Other Diversified Financial Services – 1.9%
JPMorgan Chase & Co.	209	6,298
Packaged Foods & Meats – 3.0%
General Mills, Inc.	79	3,031
Mead Johnson Nutrition Company	94	6,449
		9,480
Personal Products – 1.5%
Estee Lauder Companies Inc. (The), Class A	57	4,981
Pharmaceuticals – 3.5%
Allergan, Inc.	81	6,690
Johnson & Johnson	75	4,797
		11,487
Property & Casualty Insurance – 1.2%
Travelers Companies, Inc. (The)	78	3,806
Railroads – 1.2%
Union Pacific Corporation	47	3,798
Regional Banks – 1.4%
PNC Financial Services Group, Inc. (The)	96	4,636
Restaurants – 1.7%
McDonald’s Corporation	63	5,568
Semiconductor Equipment – 1.3%
ASML Holding N.V., NY Registry Shares	118	4,086

Semiconductors – 1.8%
Microchip Technology Incorporated		188	5,852
Soft Drinks – 1.0%
PepsiCo, Inc.		54	3,355
Systems Software – 1.5%
Oracle Corporation		169	4,863
Tobacco – 1.7%
Philip Morris International Inc.		87	5,440
TOTAL COMMON STOCKS – 65.5%			$212,818
(Cost: $178,416)
CORPORATE DEBT SECURITIES		Principal
Apparel Retail – 0.5%
Limited Brands, Inc., 6.625%, 4–1–21	$	1,460	1,471
Automobile Manufacturers – 0.7%
Ford Motor Company, Convertible, 4.250%, 11–15–16		2,000	2,598
Brewers – 0.3%
Anheuser-Busch InBev Worldwide Inc.: 3.000%, 10–15–12		500	510
5.375%, 11–15–14		500	559
			1,069
Broadcasting – 0.7%
CBS Corporation: 8.875%, 5–15–19		1,500	1,918
4.300%, 2–15–21		500	503
			2,421
Cable & Satellite – 0.3%
DirecTV Holdings LLC and DirecTV Financing Co., Inc., 3.500%, 3–1–16		500	516
Discovery Communications, LLC, 4.375%, 6–15–21		500	518
			1,034
Construction & Farm Machinery & Heavy Trucks – 0.5%
Caterpillar Inc.: 0.398%, 11–21–12 (B)		300	300
1.375%, 5–27–14		500	504
John Deere Capital Corporation, 5.250%, 10–1–12		750	783
			1,587
Consumer Finance – 0.8%
American Express Credit Corporation, 5.125%, 8–25–14		400	433
Capital One Financial Corporation, 2.125%, 7–15–14		500	495
Caterpillar Financial Services Corporation, 1.550%, 12–20–13		500	506
Ford Motor Credit Company LLC, 7.000%, 4–15–15		750	788
USAA Capital Corporation, 1.050%, 9–30–14 (C)		500	499
			2,721
Data Processing & Outsourced Services – 0.3%
Western Union Company (The), 6.500%, 2–26–14		1,000	1,102
Diversified Banks – 0.5%
Bank of New York Mellon Corporation (The), 1.500%, 1–31–14		500	504
Barclays Bank plc, 2.375%, 1–13–14		300	294
U.S. Bancorp, 4.200%, 5–15–14		500	537

Wells Fargo & Company,
3.676%, 6–15–16 (B)	250	260
		1,595
Diversified Capital Markets – 0.4%
Deutsche Bank AG: 3.450%, 3–30–15	750	746
3.250%, 1–11–16	500	491
		1,237
Diversified Metals & Mining – 0.2%
Rio Tinto Finance (USA) Limited, 8.950%, 5–1–14	500	592
Drug Retail – 0.3%
CVS Caremark Corporation, 3.250%, 5–18–15	950	1,000
Electric Utilities – 0.5%
Hydro-Quebec, 8.000%, 2–1–13	1,500	1,643
Fertilizers & Agricultural Chemicals – 0.2%
Monsanto Company, 2.750%, 4–15–16	500	527
Food Distributors – 0.4%
Cargill, Inc., 4.307%, 5–14–21 (C)	1,219	1,324
Food Retail – 0.6%
Kroger Co. (The), 6.200%, 6–15–12	2,000	2,068
General Merchandise Stores – 0.2%
Target Corporation, 1.125%, 7–18–14	500	504
Gold – 0.7%
Newmont Mining Corporation, Convertible, 3.000%, 2–15–12	1,800	2,485
Health Care Equipment – 0.2%
Stryker Corporation, 2.000%, 9–30–16	500	503
Health Care Services – 0.3%
Quest Diagnostics Incorporated, 3.200%, 4–1–16	1,000	1,039
Health Care Supplies – 0.1%
DENTSPLY International Inc., 2.750%, 8–15–16	250	252
Home Improvement Retail – 0.1%
Home Depot, Inc. (The), 4.400%, 4–1–21	375	408
Household Products – 0.1%
Colgate-Palmolive Company, 1.250%, 5–1–14	250	253
Hypermarkets & Super Centers – 0.3%
Wal-Mart Stores, Inc., 2.875%, 4–1–15	875	924
Industrial Gases – 0.7%
Praxair, Inc.: 4.375%, 3–31–14	1,500	1,621
3.000%, 9–1–21	500	502
		2,123
Industrial Machinery – 0.6%
Eaton Corporation, 0.679%, 6–16–14 (B)	500	501
Illinois Tool Works Inc., 5.150%, 4–1–14	1,500	1,643
		2,144
Integrated Oil & Gas – 0.6%
Cenovus Energy Inc., 4.500%, 9–15–14	250	270

ConocoPhillips, 4.750%, 2–1–14	1,500	1,633
		1,903
Integrated Telecommunication Services – 0.4%
AT&T Inc., 4.850%, 2–15–14	1,000	1,075
Investment Banking & Brokerage – 0.4%
Morgan Stanley, 4.100%, 1–26–15	1,500	1,431
IT Consulting & Other Services – 0.3%
International Business Machines Corporation, 1.250%, 5–12–14	1,000	1,009
Life & Health Insurance – 0.7%
MetLife Global Funding I:
2.000%, 1–10–14 (C)	800	804
2.500%, 9–29–15 (C)	1,000	1,008
Prudential Financial, Inc., 4.750%, 9–17–15	500	522
		2,334
Movies & Entertainment – 0.2%
Viacom Inc., 4.375%, 9–15–14	500	534
Oil & Gas Equipment & Services – 0.2%
Schlumberger S.A. (GTD by Schlumberger Limited), 2.650%, 1–15–16 (C)	500	515
Oil & Gas Exploration & Production – 0.3%
EOG Resources, Inc., 2.500%, 2–1–16	1,000	1,021
Other Diversified Financial Services – 1.4%
JPMorgan Chase & Co.:
4.650%, 6–1–14	1,000	1,059
3.450%, 3–1–16	1,000	1,005
3.150%, 7–5–16	500	497
7.900%, 4–29–49 (B)	500	515
Principal Life Global, 6.250%, 2–15–12 (C)	1,500	1,528
		4,604
Other Non-Agency REMIC/CMO – 0.0%
Banco Hipotecario Nacional:
7.916%, 7–25–09 (C)(D)	17	—	*
8.000%, 3–31–11 (C)(D)	4	—	*
		—	*
Packaged Foods & Meats – 1.0%
Kraft Foods Inc., 4.125%, 2–9–16	1,000	1,066
Unilever Capital Corporation, 5.900%, 11–15–32	1,450	1,927
		2,993
Pharmaceuticals – 0.7%
Pfizer Inc., 4.450%, 3–15–12	1,500	1,525
Roche Holdings Ltd, 5.000%, 3–1–14 (C)	952	1,047
		2,572
Property & Casualty Insurance – 0.7%
Berkshire Hathaway Finance Corporation, 4.000%, 4–15–12 (C)	500	509
Fidelity National Financial, Inc., 6.600%, 5–15–17	1,600	1,687
		2,196
Restaurants – 0.2%
YUM! Brands, Inc., 4.250%, 9–15–15	500	537
Semiconductors – 0.2%
Texas Instruments Incorporated, 0.466%, 5–15–13 (B)	500	500

Soft Drinks – 0.2%
PepsiCo, Inc., 3.750%, 3–1–14	750		801
Systems Software – 0.2%
Microsoft Corporation, 2.950%, 6–1–14	500		531
Tobacco – 0.3%
Philip Morris International Inc., 4.500%, 3–26–20	750		835
Wireless Telecommunication Service – 0.2%
America Movil, S.A.B. de C.V., 3.625%, 3–30–15	700		725
TOTAL CORPORATE DEBT SECURITIES – 18.7%		$	60,740
(Cost: $56,719)
OTHER GOVERNMENT SECURITIES
Qatar – 0.2%
State of Qatar, 4.000%, 1–20–15 (C)	750		789
Supranational – 0.3%
International Bank for Reconstruction and Development, 2.375%, 5–26–15	900		950
TOTAL OTHER GOVERNMENT SECURITIES – 0.5%		$	1,739
(Cost: $1,646)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 2.2%
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
6.000%, 9–1–17	226		245
5.000%, 1–1–18	138		149
5.500%, 4–1–18	45		49
5.000%, 5–1–18	73		79
4.500%, 7–1–18	1,038		1,112
7.000%, 9–1–25	71		81
6.500%, 10–1–28	235		272
6.500%, 2–1–29	121		140
7.500%, 4–1–31	115		135
7.000%, 7–1–31	183		210
7.000%, 9–1–31	287		332
6.500%, 2–1–32	594		672
7.000%, 2–1–32	356		410
7.000%, 3–1–32	128		148
7.000%, 7–1–32	287		330
6.000%, 9–1–32	1,189		1,321
6.000%, 2–1–33	173		192
5.500%, 5–1–33	763		834
5.500%, 6–1–33	311		340
United States Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, 1997-A Class 3-A, 8.293%, 12–15–26	65		78
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 2.2%		$	7,129
(Cost: $6,524)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Inflation Protected Obligations – 0.4%
United States Treasury Notes, 3.000%, 7–15–12 (E)	1,257		1,292
Treasury Obligations – 9.7%
United States Treasury Bonds: 7.500%, 11–15–16	1,500		1,990

6.250%, 8–15–23	5,250		7,498
United States Treasury Notes:
3.875%, 2–15–13	3,000		3,149
3.625%, 5–15–13	3,000		3,162
4.250%, 8–15–13	4,000		4,296
4.250%, 8–15–15	10,000		11,371
			31,466
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 10.1%		$	32,758
(Cost: $28,382)
SHORT-TERM SECURITIES
Commercial Paper – 0.6%
Wisconsin Electric Power Co., 0.120%, 10–3–11 (F)	1,838		1,838
Master Note – 1.7%
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (G)	5,532		5,532
TOTAL SHORT-TERM SECURITIES – 2.3%		$	7,370
(Cost: $7,370)
TOTAL INVESTMENT SECURITIES – 99.3%		$	322,554
(Cost: $279,057)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.7%			2,191
NET ASSETS – 100.0%		$	324,745

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	212,818	$	—	$	—
Corporate Debt Securities		—		60,740		—
Other Government Securities		—		1,739		—
United States Government Agency Obligations		—		7,129		—
United States Government Obligations		—		32,758		—
Short-Term Securities		—		7,370		—
Total	$	212,818	$	109,736	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

* Not shown due to rounding.

(A) No dividends were paid during the preceding 12 months.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(C) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $8,023 or 2.5% of net assets.

(D) Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy.

(E) The interest rate for this security is a stated rate, but the interest payments are determined by multiplying the inflation-adjusted principal by one half of the stated rate for each semiannual interest payment date.

(F) Rate shown is the yield to maturity at September 30, 2011.

(G) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

CMO = Collateralized Mortgage Obligation

REMIC = Real Estate Mortgage Investment Conduit

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	279,307
Gross unrealized appreciation		51,553
Gross unrealized depreciation		(8,306	)
Net unrealized appreciation	$	43,247

SCHEDULE OF INVESTMENTS Bond (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

ASSET-BACKED SECURITIES – 0.0%	Principal		Value
Lehman ABS Manufactured Housing Contract Trust 2001-B,
3.010%, 3–15–12	$	67	$	66
(Cost: $67)
CORPORATE DEBT SECURITIES
Aerospace & Defense – 1.8%
Bombardier Inc.,
7.500%, 3–15–18 (A)		3,800		4,009
Honeywell International Inc.,
5.000%, 2–15–19		2,225		2,579
United Technologies Corporation,
6.125%, 2–1–19		3,000		3,683
				10,271
Apparel Retail – 0.9%
Limited Brands, Inc.:
8.500%, 6–15–19		3,485		3,938
7.000%, 5–1–20		1,000		1,050
				4,988
Biotechnology – 1.3%
Amgen Inc.,
6.150%, 6–1–18		6,500		7,911
Brewers – 1.2%
Anheuser-Busch InBev Worldwide Inc.,
5.375%, 1–15–20		6,000		7,000
Broadcasting – 1.8%
CBS Corporation,
8.875%, 5–15–19		6,000		7,672
NBCUniversal Media, LLC,
5.150%, 4–30–20		2,810		3,085
				10,757
Cable & Satellite – 2.7%
Comcast Corporation,
5.150%, 3–1–20		5,000		5,651
DirecTV Holdings LLC and DirecTV Financing Co., Inc.,
3.500%, 3–1–16		4,000		4,130
Time Warner Inc.,
4.750%, 3–29–21		5,750		6,046
				15,827
Coal & Consumable Fuels – 0.4%
Peabody Energy Corporation,
6.500%, 9–15–20		2,000		2,103
Computer & Electronics Retail – 0.9%
Best Buy Co., Inc.,
6.750%, 7–15–13		5,000		5,365
Construction & Farm Machinery & Heavy Trucks – 0.7%
Caterpillar Inc.,
3.900%, 5–27–21		3,575		3,862
Consumer Finance – 1.8%
American Express Credit Corporation,
2.750%, 9–15–15		2,000		2,011
Capital One Financial Corporation,
3.150%, 7–15–16		3,500		3,467
Ford Motor Credit Company LLC,
7.000%, 4–15–15		5,000		5,250
				10,728
Data Processing & Outsourced Services – 0.9%
Western Union Company (The),
3.650%, 8–22–18		5,000		5,052

Distillers & Vintners – 1.3%
Diageo Capital plc,
5.750%, 10–23–17	6,500	7,598
Diversified Banks – 3.1%
HSBC Holdings plc,
5.100%, 4–5–21	7,000	7,218
U.S. Bancorp,
4.125%, 5–24–21	4,000	4,319
Wells Fargo & Company,
3.676%, 6–15–16 (B)	6,000	6,247
		17,784
Diversified Capital Markets – 1.3%
Credit Suisse AG,
3.500%, 3–23–15	3,000	3,002
Deutsche Bank AG,
3.250%, 1–11–16	5,000	4,905
		7,907
Diversified Chemicals – 2.1%
Dow Chemical Company, (The),
8.550%, 5–15–19	5,500	7,054
E.I. du Pont de Nemours and Company,
5.750%, 3–15–19	3,725	4,467
		11,521
Diversified Metals & Mining – 0.9%
Rio Tinto Finance (USA) Limited,
3.750%, 9–20–21	5,500	5,487
Electric Utilities – 1.9%
Detroit Edison Company (The),
3.900%, 6–1–21	4,875	5,194
NextEra Energy Capital Holdings, Inc.,
7.875%, 12–15–15	5,000	5,969
		11,163
Electrical Components & Equipment – 0.5%
Emerson Electric Co.,
4.875%, 10–15–19	2,500	2,906
Electronic Manufacturing Services – 1.0%
Jabil Circuit, Inc.:
7.750%, 7–15–16	2,000	2,205
8.250%, 3–15–18	3,150	3,567
		5,772
Environmental & Facilities Services – 1.9%
Republic Services, Inc.,
4.750%, 5–15–23	5,000	5,438
Waste Management, Inc.,
4.600%, 3–1–21	5,600	6,016
		11,454
Fertilizers & Agricultural Chemicals – 0.4%
Potash Corporation of Saskatchewan Inc.,
3.250%, 12–1–17	2,500	2,604
Forest Products – 1.0%
Georgia-Pacific LLC,
5.400%, 11–1–20 (A)	6,000	6,112
Health Care Services – 2.4%
Medco Health Solutions, Inc.:
7.125%, 3–15–18	3,000	3,641
4.125%, 9–15–20	3,500	3,483
Quest Diagnostics Incorporated,
3.200%, 4–1–16	6,000	6,234
		13,358
Health Care Supplies – 0.4%
DENTSPLY International Inc.,
4.125%, 8–15–21	2,500	2,618

Home Improvement Retail – 0.9%
Home Depot, Inc. (The),
4.400%, 4-1-21	5,000	5,441
Household Products – 0.5%
Procter & Gamble Company (The),
8.000%, 9-1-24	2,000	2,963
Industrial Conglomerates – 1.1%
General Electric Capital Corporation,
5.625%, 5-1-18	6,000	6,566
Integrated Telecommunication Services – 1.8%
AT&T Inc.,
3.875%, 8-15-21	2,950	3,039
Verizon Communications Inc.,
8.750%, 11-1-18	5,500	7,373
		10,412
Investment Banking & Brokerage – 1.7%
Goldman Sachs Group, Inc. (The),
5.375%, 3-15-20	5,500	5,469
Morgan Stanley,
4.100%, 1-26-15	5,000	4,770
		10,239
IT Consulting & Other Services – 0.5%
International Business Machines Corporation,
7.625%, 10-15-18	2,000	2,655
Life & Health Insurance – 0.7%
Prudential Financial, Inc.,
4.750%, 9-17-15	4,000	4,178
Multi-Utilities – 2.7%
Dominion Resources, Inc.,
5.250%, 8-1-33	2,500	2,839
Duke Energy Carolinas, LLC,
4.300%, 6-15-20	2,000	2,212
Duke Energy Indiana, Inc.,
3.750%, 7-15-20	3,000	3,194
NorthWestern Corporation,
6.340%, 4-1-19	3,000	3,523
Pacific Gas and Electric Company,
3.500%, 10-1-20	4,000	4,105
		15,873
Office Electronics – 1.1%
Xerox Corporation,
6.350%, 5-15-18	5,952	6,773
Oil & Gas Equipment & Services – 2.0%
Baker Hughes Incorporated,
3.200%, 8-15-21 (A)	2,000	2,019
Enterprise Products Operating LLC,
4.050%, 2-15-22	2,000	2,007
Halliburton Company:
6.150%, 9-15-19	4,000	4,849
6.750%, 2-1-27	1,400	1,767
Schlumberger Investment S.A. (GTD by Schlumberger Limited),
3.300%, 9-14-21 (A)	1,500	1,504
		12,146
Oil & Gas Exploration & Production – 0.7%
EOG Resources, Inc.,
2.500%, 2-1-16	4,000	4,085
Oil & Gas Storage & Transportation – 1.1%
Maritimes & Northeast Pipeline, L.L.C.,
7.500%, 5-31-14 (A)	3,675	3,973
Tennessee Gas Pipeline Company,
7.000%, 3-15-27	2,000	2,325
		6,298
Other Diversified Financial Services – 2.7%
Bank of America Corporation:
3.625%, 3-17-16	4,000	3,643
6.500%, 8-1-16	2,000	1,987
ING Bank N.V.,
4.000%, 3-15-16 (A)	3,000	3,020

JPMorgan Chase & Co.,
6.000%, 1-15-18	6,000		6,689
			15,339
Packaged Foods & Meats – 1.3%
H.J. Heinz Company,
3.125%, 9-12-21	1,500		1,496
Kraft Foods Inc.,
5.375%, 2-10-20	5,500		6,232
			7,728
Paper Products – 0.0%
Westvaco Corporation,
7.500%, 6-15-27	236		268
Pharmaceuticals – 1.0%
Express Scripts, Inc.,
3.125%, 5-15-16	3,000		3,031
GlaxoSmithKline Capital Inc.,
5.650%, 5-15-18	2,500		3,026
			6,057
Property & Casualty Insurance – 2.3%
Berkshire Hathaway Inc.,
3.750%, 8-15-21	5,000		5,079
Fidelity National Financial, Inc.,
6.600%, 5-15-17	8,000		8,434
			13,513
Regional Banks – 0.7%
PNC Funding Corp,
4.250%, 9-21-15	4,000		4,322
Restaurants – 0.8%
YUM! Brands, Inc.,
6.250%, 3-15-18	3,792		4,488
Semiconductors – 0.5%
Broadcom Corporation,
2.375%, 11-1-15 (A)	3,000		3,028
Specialty Chemicals – 1.2%
Lubrizol Corporation (The),
8.875%, 2-1-19	5,000		6,788
Systems Software – 1.1%
CA, Inc.,
5.375%, 12-1-19	6,000		6,609
Water Utilities – 0.4%
California Water Service Company,
5.875%, 5-1-19	2,000		2,386
Wireless Telecommunication Service – 1.0%
America Movil, S.A.B. de C.V.,
5.000%, 3-30-20	5,500		5,808
TOTAL CORPORATE DEBT SECURITIES – 60.4%		$	354,111
(Cost: $337,742)
MORTGAGE-BACKED SECURITIES
Commercial Mortgage-Backed Securities – 1.9%
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-2,
4.783%, 7-10-43 (B)	2,368		2,392
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF1 Trust Fund,
6.500%, 2-15-32	150		68
Deutsche Mortgage and Asset Receiving Corporation COMM 2005-C6 Commercial Mortgage Pass-Through Certificates,
5.144%, 6-10-44	6,000		6,076

Hometown Commercial Capital, LLC Hometown Commercial Mortgage Pass-Through Notes 2006-1,
5.506%, 11–11–38 (A)	154		91
J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C1,
4.719%, 1–15–38	2,000		2,103
			10,730
Non-Agency REMIC/CMO – 0.6%
MASTR Adjustable Rate Mortgage Trust 2005-1,
3.345%, 3–25–35 (B)	2,626		253
Merrill Lynch Mortgage Trust 2005-CIP1,
4.949%, 7–12–38 (B)	2,000		2,044
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-1,
2.502%, 2–25–34 (B)	618		71
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-3AC,
2.412%, 3–25–34 (B)	1,156		138
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-5,
2.918%, 5–25–34 (B)	1,052		29
Wells Fargo Mortgage Pass-Through Certificates, Series 2003-10,
4.500%, 9–25–18	1,155		1,187
			3,722
TOTAL MORTGAGE-BACKED SECURITIES – 2.5%		$	14,452
(Cost: $18,748)
MUNICIPAL BONDS – TAXABLE
California – 1.6%
Stockton, CA, 2007 Taxable Pension Oblig Bonds, Ser A,
5.140%, 9–1–17	9,155		9,555
Massachusetts – 0.5%
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A,
4.285%, 12–15–18	2,500		2,785
New York – 0.8%
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009,
11.000%, 3–1–29 (A)	4,000		4,887
TOTAL MUNICIPAL BONDS – TAXABLE – 2.9%		$	17,227
(Cost: $15,453)
OTHER GOVERNMENT SECURITIES – 0.4%
Canada
Province de Quebec, 7.140%, 2–27–26	1,500	$	2,088
(Cost: $1,539)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Agency Obligations – 1.6%
Private Export Funding Corporation,
4.375%, 3–15–19	8,000		9,282
Mortgage-Backed Obligations – 24.8%
Federal Home Loan Mortgage Corporation Agency REMIC/CMO:
5.000%, 5–15–19	1,000		1,102
5.000%, 5–15–23	1,500		1,663
5.000%, 9–15–31 (C)	1,018		46
Federal Home Loan Mortgage Corporation Fixed Rate Participation Certificates:
5.000%, 6–1–23	3,952		4,246
4.000%, 7–1–25	5,408		5,702
4.500%, 6–15–27	3,502		3,667

4.500%, 5–15–32	4,000		4,355
4.000%, 11–15–36	2,757		2,895
4.500%, 5–15–39	1,650		1,763
Federal National Mortgage Association Agency REMIC/CMO:
4.780%, 1–25–17	3,077		3,152
5.000%, 3–25–18	3,019		3,255
5.000%, 6–25–18	2,173		2,376
3.000%, 3–15–25	4,616		4,807
4.000%, 2–25–26	4,526		4,788
3.500%, 3–15–26	3,332		3,499
5.000%, 3–25–29	674		676
4.500%, 12–25–34	1,060		1,124
4.000%, 10–15–35	5,702		6,127
5.500%, 7–15–36	3,006		3,213
5.500%, 11–25–36 (C)	5,540		789
4.500%, 3–25–37	4,566		4,815
5.500%, 4–25–37	3,072		3,393
4.500%, 9–15–37	5,155		5,445
4.000%, 3–25–39	2,083		2,165
4.000%, 5–25–39	3,532		3,758
4.500%, 8–15–39	5,379		5,867
3.000%, 11–25–39	4,120		4,266
4.500%, 6–25–40	4,202		4,566
4.500%, 10–25–40	4,750		5,182
4.750%, 12–15–40	2,810		3,057
5.000%, 7–25–50	4,707		5,160
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
5.506%, 4–1–17	3,838		4,365
4.500%, 6–1–19	1,222		1,310
4.500%, 8–1–19	1,697		1,819
4.500%, 9–1–19	2,796		2,979
5.500%, 10–1–21	4,355		4,738
6.000%, 6–1–22	2,994		3,260
6.000%, 9–1–22	4,379		4,767
5.000%, 9–1–23	2,995		3,222
4.000%, 3–1–24	4,952		5,230
4.500%, 7–25–24	1,000		1,088
5.000%, 6–25–32	2,062		2,145
5.500%, 2–1–33	863		943
5.500%, 2–1–35	2,462		2,724
Government National Mortgage Association Agency REMIC/CMO,
0.483%, 6–17–45 (B)(C)	791		19
			145,528
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 26.4%		$	154,810
(Cost: $150,605)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 4.7%
United States Treasury Bonds,
8.000%, 11–15–21	1,000		1,564
United States Treasury Notes:
3.625%, 8–15–19	2,000		2,305
3.625%, 2–15–21	10,000		11,569
3.125%, 5–15–21	11,000		12,229
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 4.7%		$	27,667
(Cost: $24,812)
SHORT-TERM SECURITIES
Commercial Paper – 1.4%
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited),
0.120%, 10–18–11 (D)	3,000		3,000
Sonoco Products Co.,
0.310%, 10–3–11 (D)	5,337		5,337
			8,337
Master Note – 0.1%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (E)	723		723

TOTAL SHORT-TERM SECURITIES – 1.5%	$	9,060
(Cost: $9,060)
TOTAL INVESTMENT SECURITIES – 98.8%	$	579,481
(Cost: $558,026)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.2%		7,289
NET ASSETS – 100.0%	$	586,770

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Asset-Backed Securities	$	—	$	66	$	—
Corporate Debt Securities		—		354,111		—
Mortgage-Backed Securities		—		14,452		—
Municipal Bonds		—		17,227		—
Other Government Securities		—		2,088		—
United States Government Agency Obligations		—		154,810		—
United States Government Obligations		—		27,667		—
Short-Term Securities		—		9,060		—
Total	$	—	$	579,481	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $28,643 or 4.9% of net assets.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(C) Interest Only Security. Amount shown as principal represents notional amount for computation of interest.

(D) Rate shown is the yield to maturity at September 30, 2011.

(E) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

REMIC = Real Estate Mortgage Investment Conduit

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	558,031
Gross unrealized appreciation		28,455
Gross unrealized depreciation		(7,005	)
Net unrealized appreciation	$	21,450

SCHEDULE OF INVESTMENTS
Core Equity (in thousands)	SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 7.1%
Honeywell International Inc.		147	$	6,464
Precision Castparts Corp.		119		18,423
				24,887
Application Software – 0.9%
Intuit Inc.		70		3,311
Auto Parts & Equipment – 0.9%
Johnson Controls, Inc.		114		2,996
Automobile Manufacturers – 2.1%
Bayerische Motoren Werke AG (A)		113		7,452
Brewers – 2.5%
Anheuser-Busch Inbev S.A., ADR		163		8,636
Broadcasting – 5.4%
CBS Corporation, Class B		710		14,461
Discovery Holding Company, Class A (B)		108		4,067
				18,528
Cable & Satellite – 4.9%
DirecTV Group, Inc. (The) (B)		150		6,353
Time Warner Cable Inc.		171		10,691
				17,044
Communications Equipment – 1.4%
Juniper Networks, Inc. (B)		292		5,043
Computer Hardware – 5.6%
Apple Inc. (B)		50		19,174
Computer Storage & Peripherals – 0.8%
NetApp, Inc. (B)		80		2,708
Construction & Farm Machinery & Heavy Trucks – 1.0%
Cummins Inc.		41		3,370
Consumer Finance – 3.5%
Capital One Financial Corporation		302		11,967
Data Processing & Outsourced Services – 2.0%
MasterCard Incorporated, Class A		22		6,914
Department Stores – 3.0%
Macy’s Inc.		399		10,500
Fertilizers & Agricultural Chemicals – 2.1%
Monsanto Company		117		7,025
Health Care Equipment – 1.4%
Covidien plc		111		4,900
Hypermarkets & Super Centers – 2.0%
Costco Wholesale Corporation		83		6,813
Industrial Gases – 1.0%
Air Products and Chemicals, Inc.		48		3,635

Industrial Machinery – 1.4%
Parker Hannifin Corporation	76		4,821
Integrated Oil & Gas – 4.8%
ConocoPhillips	266		16,814
Integrated Telecommunication Services – 1.1%
AT&T Inc.	138		3,924
Internet Software & Services – 3.2%
Google Inc., Class A (B)	22		11,162
Motorcycle Manufacturers – 4.9%
Harley-Davidson, Inc.	502		17,242
Oil & Gas Equipment & Services – 3.6%
Halliburton Company	203		6,191
National Oilwell Varco, Inc.	58		2,986
Schlumberger Limited	60		3,557
			12,734
Oil & Gas Exploration & Production – 1.6%
Noble Energy, Inc.	78		5,493
Other Diversified Financial Services – 2.6%
JPMorgan Chase & Co.	306		9,205
Packaged Foods & Meats – 2.6%
Mead Johnson Nutrition Company	134		9,238
Personal Products – 1.7%
Estee Lauder Companies Inc. (The), Class A	69		6,023
Pharmaceuticals – 5.0%
Allergan, Inc.	109		8,947
Johnson & Johnson	134		8,556
			17,503
Railroads – 2.6%
Union Pacific Corporation	111		9,030
Restaurants – 2.3%
McDonald’s Corporation	90		7,886
Semiconductors – 5.3%
Altera Corporation	86		2,715
Broadcom Corporation, Class A	259		8,631
Microchip Technology Incorporated	235		7,302
			18,648
Soft Drinks – 2.5%
Coca-Cola Company (The)	128		8,680
Systems Software – 2.8%
Oracle Corporation	346		9,935
Tobacco – 2.2%
Philip Morris International Inc.	125		7,808
TOTAL COMMON STOCKS – 97.8%		$	341,049
(Cost: $334,913)

SHORT-TERM SECURITIES	Principal
Commercial Paper – 1.4%
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc),
0.070%, 10–24–11 (C)	$	2,000		2,000
Verizon Communications Inc.,
0.310%, 10–4–11 (C)		3,000		3,000
				5,000
Master Note – 0.7%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (D)		2,457		2,457
TOTAL SHORT-TERM SECURITIES – 2.1%			$	7,457
(Cost: $7,457)
TOTAL INVESTMENT SECURITIES – 99.9%			$	348,506
(Cost: $342,370)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%				477
NET ASSETS – 100.0%			$	348,983

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	74,196	$	7,452	$	—
Other Sectors		259,401		—		—
Total Common Stocks	$	333,597	$	7,452	$	—
Short-Term Securities		—		7,457		—
Total	$	333,597	$	14,909	$	—

During the period ended September 30, 2011, securities totaling $7,452 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.

(A) Listed on an exchange outside the United States.

(B) No dividends were paid during the preceding 12 months.

(C) Rate shown is the yield to maturity at September 30, 2011.

(D) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	342,615
Gross unrealized appreciation		31,347
Gross unrealized depreciation		(25,456	)
Net unrealized appreciation	$	5,891

SCHEDULE OF INVESTMENTS Dividend Opportunities (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 5.7%
Boeing Company (The)		135	$	8,154
General Dynamics Corporation		61		3,496
Honeywell International Inc.		86		3,783
				15,433
Asset Management & Custody Banks – 1.3%
T. Rowe Price Group, Inc.		72		3,451
Brewers – 0.5%
Anheuser-Busch Inbev S.A., ADR		24		1,287
Broadcasting – 1.0%
CBS Corporation, Class B		138		2,821
Casinos & Gaming – 2.8%
Wynn Resorts, Limited		66		7,610
Communications Equipment – 1.5%
QUALCOMM Incorporated		83		4,053
Construction & Engineering – 1.4%
Fluor Corporation		82		3,818
Construction & Farm Machinery & Heavy Trucks – 5.7%
Caterpillar Inc.		74		5,472
Cummins Inc.		42		3,405
Deere & Company		101		6,519
				15,396
Consumer Finance – 2.1%
Capital One Financial Corporation		142		5,631
Data Processing & Outsourced Services – 2.3%
Visa Inc., Class A		74		6,360
Distillers & Vintners – 0.4%
Diageo plc, ADR		16		1,203
Diversified Banks – 2.4%
Wells Fargo & Company		274		6,607
Diversified Chemicals – 0.7%
Dow Chemical Company (The)		82		1,838
Diversified Metals & Mining – 2.6%
Rio Tinto plc, ADR		88		3,893
Southern Copper Corporation		121		3,013
				6,906
Electrical Components & Equipment – 1.3%
Emerson Electric Co.		87		3,609
Home Improvement Retail – 0.4%
Home Depot, Inc. (The)		37		1,205
Homebuilding – 1.2%
D.R. Horton, Inc.		362		3,276
Hotels, Resorts & Cruise Lines – 1.5%
Starwood Hotels & Resorts Worldwide, Inc.		105		4,084

Household Products – 2.3%
Colgate-Palmolive Company	40	3,561
Procter & Gamble Company (The)	42	2,633
		6,194
Industrial Conglomerates – 1.5%
General Electric Company	273	4,155
Industrial Gases – 0.8%
Air Products and Chemicals, Inc.	30	2,283
Industrial Machinery – 0.5%
Eaton Corporation	15	547
Ingersoll-Rand plc	27	769
		1,316
Integrated Oil & Gas – 2.5%
ConocoPhillips	23	1,462
Exxon Mobil Corporation	73	5,324
		6,786
Integrated Telecommunication Services – 1.8%
AT&T Inc.	173	4,937
Investment Banking & Brokerage – 2.1%
Goldman Sachs Group, Inc. (The)	59	5,578
Mortgage REITs – 1.5%
American Capital Agency Corp.	102	2,752
Annaly Capital Management, Inc.	80	1,335
		4,087
Movies & Entertainment – 1.5%
Walt Disney Company (The)	132	3,969
Oil & Gas Drilling – 1.9%
Seadrill Limited	192	5,291
Oil & Gas Equipment & Services – 10.4%
Baker Hughes Incorporated	78	3,580
Halliburton Company	168	5,115
National Oilwell Varco, Inc.	152	7,785
Schlumberger Limited	199	11,863
		28,343
Oil & Gas Exploration & Production – 2.4%
Anadarko Petroleum Corporation	41	2,604
Apache Corporation	48	3,824
		6,428
Other Diversified Financial Services – 2.5%
JPMorgan Chase & Co.	234	7,039
Personal Products – 1.1%
Estee Lauder Companies Inc. (The), Class A	34	3,013
Pharmaceuticals – 4.1%
Johnson & Johnson	82	5,209
Merck & Co., Inc.	29	940
Pfizer Inc.	288	5,090
		11,239
Railroads – 3.4%
Norfolk Southern Corporation	38	2,316
Union Pacific Corporation	85	6,960
		9,276

Restaurants – 4.1%
McDonald’s Corporation		84		7,360
Starbucks Corporation		95		3,537
				10,897
Semiconductors – 3.9%
Microchip Technology Incorporated		334		10,389
Soft Drinks – 1.6%
Coca-Cola Company (The)		65		4,395
Systems Software – 1.4%
Oracle Corporation		136		3,904
Tobacco – 5.1%
Altria Group, Inc.		173		4,641
Philip Morris International Inc.		149		9,274
				13,915
TOTAL COMMON STOCKS – 91.2%			$	248,022
(Cost: $263,459)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 8.1%
Danaher Corporation,
0.070%, 10–5–11 (A)	$	4,000		4,000
General Mills, Inc.,
0.170%, 10–17–11 (A)		4,000		4,000
McCormick & Co. Inc.,
0.100%, 10–3–11 (A)		4,018		4,017
Sonoco Products Co.,
0.310%, 10–3–11 (A)		3,000		3,000
Straight-A Funding, LLC (GTD by Federal Financing Bank),
0.130%, 10–18–11 (A)		3,000		3,000
Verizon Communications Inc.,
0.310%, 10–4–11 (A)		4,000		4,000
				22,017
Master Note – 1.3%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (B)		3,613		3,613
Municipal Obligations – Taxable – 1.7%
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York (The)),
0.120%, 10–3–11 (B)		4,534		4,534
TOTAL SHORT-TERM SECURITIES – 11.1%			$	30,164
(Cost: $30,164)
TOTAL INVESTMENT SECURITIES – 102.3%			$	278,186
(Cost: $293,623)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.3%)				(6,229	)
NET ASSETS – 100.0%			$	271,957

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	248,022	$	—	$	—
Short-Term Securities		—		30,164		—
Total	$	248,022	$	30,164	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Rate shown is the yield to maturity at September 30, 2011.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	293,631
Gross unrealized appreciation		11,824
Gross unrealized depreciation		(27,269	)
Net unrealized depreciation	$	(15,445	)

SCHEDULE OF INVESTMENTS Energy (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Auto Parts & Equipment – 1.1%
BorgWarner Inc. (A)		9	$	572
Coal & Consumable Fuels – 3.0%
Alpha Natural Resources, Inc. (A)		12		219
Arch Coal, Inc.		28		415
Cameco Corporation		16		298
Peabody Energy Corporation		18		601
				1,533
Construction & Engineering – 4.2%
Chicago Bridge & Iron Company N.V., NY Shares		22		643
Fluor Corporation		24		1,119
Jacobs Engineering Group Inc. (A)		10		334
				2,096
Construction & Farm Machinery & Heavy Trucks – 1.5%
Caterpillar Inc.		3		255
Cummins Inc.		6		522
				777
Diversified Metals & Mining – 1.4%
BHP Billiton Limited, ADR		10		688
Industrial Machinery – 1.3%
Gardner Denver, Inc.		11		674
Integrated Oil & Gas – 9.7%
ConocoPhillips		21		1,301
Exxon Mobil Corporation		23		1,663
Occidental Petroleum Corporation		19		1,384
Suncor Energy Inc.		22		570
				4,918
Oil & Gas Drilling – 5.3%
ENSCO International Incorporated		11		439
Helmerich & Payne, Inc.		29		1,187
Nabors Industries Ltd. (A)		28		340
Seadrill Limited		26		721
				2,687
Oil & Gas Equipment & Services – 29.2%
Baker Hughes Incorporated		34		1,581
C&J Energy Services, Inc. (A)		24		401
Cameron International Corporation (A)		29		1,192
Core Laboratories N.V.		13		1,208
Dresser-Rand Group Inc. (A)		19		784
Dril-Quip, Inc. (A)		11		580
FMC Technologies, Inc. (A)		27		1,028
Halliburton Company		48		1,468
McDermott International, Inc. (A)		18		194
National Oilwell Varco, Inc.		45		2,296
Schlumberger Limited		37		2,201
Superior Energy Services, Inc. (A)		25		649
Tenaris S.A., ADR		21		537
Weatherford International Ltd. (A)		64		780
				14,899

Oil & Gas Exploration & Production – 28.3%
Anadarko Petroleum Corporation		27		1,700
Apache Corporation		17		1,380
Cabot Oil & Gas Corporation		14		873
CNOOC Limited, ADR		4		585
Concho Resources Inc. (A)		7		484
Continental Resources, Inc. (A)		31		1,522
Devon Energy Corporation		7		399
EOG Resources, Inc.		10		703
Kosmos Energy Ltd. (A)		32		375
Newfield Exploration Company (A)		30		1,187
Noble Energy, Inc.		15		1,051
Oasis Petroleum LLC (A)		47		1,047
Plains Exploration and Production Company (A)		21		471
Southwestern Energy Company (A)		43		1,428
St. Mary Land & Exploration Company		10		625
Ultra Petroleum Corp. (A)		21		568
				14,398
Oil & Gas Refining & Marketing – 0.7%
Clean Energy Fuels Corp. (A)		31		340
Oil & Gas Storage & Transportation – 7.7%
El Paso Corporation		69		1,209
El Paso Pipeline Partners, L.P.		25		881
Enbridge Inc.		40		1,277
Williams Companies, Inc. (The)		23		550
				3,917
TOTAL COMMON STOCKS – 93.4%			$	47,499
(Cost: $55,305)
SHORT-TERM SECURITIES – 10.7%	Principal
Master Note
Toyota Motor Credit Corporation,
0.113%, 10-3-11 (B)	$	5,453	$	5,453
(Cost: $5,453)
TOTAL INVESTMENT SECURITIES – 104.1%			$	52,952
(Cost: $60,758)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (4.1%)				(2,065	)
NET ASSETS – 100.0%			$	50,887

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair

value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	47,499	$	—	$	—
Short-Term Securities		—		5,453		—
Total	$	47,499	$	5,453	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) No dividends were paid during the preceding 12 months.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronym is used throughout this schedule:

ADR = American Depositary Receipts

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	60,746
Gross unrealized appreciation		2,410
Gross unrealized depreciation		(10,204	)
Net unrealized depreciation	$	(7,794	)

SCHEDULE OF INVESTMENTS Global Bond (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares			Value
Diversified Metals & Mining – 0.7%
Southern Copper Corporation		3		$	64
Oil & Gas Storage & Transportation – 0.3%
Plains All American Pipeline, L.P.		—	*		22
Tobacco – 0.3%
Altria Group, Inc.		1			22
Water Utilities – 0.2%
Aguas Andinas S.A. (A)		34			18
TOTAL COMMON STOCKS – 1.5%				$	126
(Cost: $134)
CORPORATE DEBT SECURITIES	Principal
Aerospace & Defense – 1.7%
Bombardier Inc.,
7.500%, 3–15–18 (B)	$	50			53
Embraer Overseas Limited,
6.375%, 1–24–17		100			107
					160
Agricultural Products – 1.3%
CCL Finance Limited,
9.500%, 8–15–14		100			112
Airlines – 1.7%
Aeropuertos Argentina 2000 S.A.,
10.750%, 12–1–20 (B)		49			49
TAM Capital 2 Inc.,
9.500%, 1–29–20		100			99
					148
Broadcasting – 2.3%
Globo Comunicacoe e Participacoes S.A.,
6.250%, 12–20–49 (C)		200			203
Coal & Consumable Fuels – 2.3%
Indo Integrated Energy II B.V.,
9.750%, 11–5–16		100			97
PT Adaro Indonesia,
7.625%, 10–22–19		100			98
					195
Distillers & Vintners – 0.6%
Central European Distribution Corporation, Convertible,
3.000%, 3–15–13		75			51
Diversified Banks – 9.3%
Banco Bradesco S.A.,
4.125%, 5–16–16 (B)		200			198
Banco Cruzeiro do Sul S.A.,
7.000%, 7–8–13		115			107
Banco de Credito del Peru,
4.750%, 3–16–16 (B)		100			97
Banco Santander Chile, S.A.,
3.750%, 9–22–15 (B)		100			100
Bancolombia S.A.,
4.250%, 1–12–16 (B)		100			98
Sberbank Rossii OAO,
6.480%, 5–15–13		100			104
State Bank of India,
4.500%, 10–23–14		100			102
					806

Diversified Metals & Mining – 0.7%
Glencore Funding LLC,
6.000%, 4–15–14 (B)	60	62
Electric Utilities – 4.6%
Compania de Transporte de Energia Electrica en Alta Tension TRANSENER S.A.,
9.750%, 8–15–21 (B)	50	43
EEB International Ltd.,
8.750%, 10–31–14	100	102
Empresa Distribuidora y Comercializadora Norte S.A.,
9.750%, 10–25–22 (B)	50	42
Majapahit Holding B.V.,
7.750%, 10–17–16	100	111
Rural Electrification Corporation Limited,
4.250%, 1–25–16	100	98
		396
Food Distributors – 1.0%
Olam International Limited,
7.500%, 8–12–20	100	89
Homebuilding – 1.2%
URBI, Desarrollos Urbanos, S.A. de C.V.,
8.500%, 4–19–16	100	100
Household Appliances – 0.9%
Controladora Mabe, S.A. de C.V.:
6.500%, 12–15–15	50	51
6.500%, 12–15–15 (B)	25	26
		77
Independent Power Producers & Energy Traders – 2.2%
China Resources Power Holdings Company Limited,
3.750%, 8–3–15	100	96
Listrindo Capital B.V.,
9.250%, 1–29–15 (B)	100	98
		194
Industrial Conglomerates – 1.4%
Jaiprakash Associates Limited, Convertible,
0.000%, 9–12–12 (D)	100	118
IT Consulting & Other Services – 0.3%
iGATE Corporation,
9.000%, 5–1– 16 (B)	25	23
Marine – 2.8%
PB Issuer (No. 2) Limited, Convertible,
1.750%, 4–12–16	80	66
SCF Capital Limited,
5.375%, 10–27–17	200	181
		247
Marine Ports & Services – 1.2%
Novorossiysk Port Capital S.A.,
7.000%, 5–17–12	100	100
Multi-Utilities – 0.9%
Black Hills Corporation,
9.000%, 5–15–14	65	75
Oil & Gas Drilling – 4.0%
Lancer Finance Company (SPV) Limited,
5.850%, 12–12–16 (B)	86	84
Noble Group Limited,
4.875%, 8–5–15	100	92
QGOG Atlantic/Alaskan Rigs Ltd.,
5.250%, 7–30–18 (B)	200	180
		356

Oil & Gas Equipment & Services – 1.1%
Petroleum Geo-Services ASA, Convertible,
2.700%, 12–3–12		100		96
Oil & Gas Exploration & Production – 5.3%
Essar Energy Investment Limited, Convertible, 4.250%, 2–1–16		100		63
Novatek Finance Limited, 5.326%, 2–3–16 (B)		200		197
Pacific Rubiales Energy Corp., 8.750%, 11–10–16 (B)		100		107
Pan American Energy LLC, 7.875%, 5–7–21		100		100
				467
Oil & Gas Storage & Transportation – 2.7%
Empresas Publicas de Medellin E.S.P., 8.375%, 2–1–21 (E)		COP60,000		31
TransCapital Limited, 5.670%, 3–5–14 (B)	$	200		201
				232
Packaged Foods & Meats – 2.5%
BFF International Limited, 7.250%, 1–28–20		100		104
Bunge Limited Finance Corp., 5.350%, 4–15–14		25		26
JBS Finance II Ltd., 8.250%, 1–29–18 (B)		100		83
				213
Paper Products – 0.3%
Inversiones CMPC S.A., 4.750%, 1–19–18 (B)		25		25
Railroads – 0.6%
Kansas City Southern Railway Company (The), 8.000%, 6–1–15		50		53
Steel – 1.9%
ArcelorMittal, 5.375%, 6–1–13		75		77
Steel Capital S.A., 6.700%, 10–25–17		100		85
				162
Wireless Telecommunication Service – 1.2%
VIP Finance Ireland Limited, 8.375%, 4–30–13		100		100
TOTAL CORPORATE DEBT SECURITIES – 56.0%			$	4,860
(Cost: $5,140)

OTHER GOVERNMENT SECURITIES
Argentina – 1.1%
City of Buenos Aires, 12.500%, 4–6–15 (B)	100		99
Supranational – 0.7%
Central American Bank for Economic Integration, 5.375%, 9–24–14	58		62
Venezuela – 1.9%
Corporacion Andina de Fomento, 3.750%, 1–15–16	155		157
TOTAL OTHER GOVERNMENT SECURITIES – 3.7%		$	318
(Cost: $332)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 28.0%
United States Treasury Bonds, 3.750%, 8–15–41	100		117
United States Treasury Notes: 1.750%, 8–15–12	2,150		2,180
2.125%, 8–15–21	125		127
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 28.0%		$	2,424
(Cost: $2,412)
SHORT-TERM SECURITIES – 14.4%
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (F)	1,250	$	1,250
(Cost: $1,250)
TOTAL INVESTMENT SECURITIES – 103.6%		$	8,978
(Cost: $9,268)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (3.6%)			(312	)
NET ASSETS – 100.0%		$	8,666

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following tables summarize the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	126	$	—	$	—
Corporate Debt Securities		—		4,669		191
Other Government Securities		—		318		—
United States Government Obligations		—		2,424		—
Short-Term Securities		—		1,250		—
Total	$	126	$	8,661	$	191
Forward Foreign Currency Contracts	$	—	$	4	$	—
Liabilities
Forward Foreign Currency Contracts	$	—	$	27	$	—

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Corporate Debt Securities
Beginning Balance 1–1–11	$	267
Net realized gain (loss)		—
Net unrealized appreciation (depreciation)		(11	)
Purchases		—
Sales		(11	)
Transfers into Level 3 during the period		—
Transfers out of Level 3 during the period		(54	)
Ending Balance 9–30–11	$	191
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9–30–11	$	(11	)

Transfers from Level 3 to Level 2 occurred generally due to the increased availability of observable market data due to increased market activity or information. There were no significant transfers between Level 1 and Level 2 during the period ended September 30, 2011.

The following forward foreign currency contracts were outstanding at September 30, 2011:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Buy	Chinese Yuan Renminbi	Citibank, N.A.		1,050		3–11–13	$	—	$	5
Buy	Chinese Yuan Renminbi	Deutsche Bank AG		1,050		6–10–13		—		5
Buy	Chinese Yuan Renminbi	Goldman Sachs International		1,550		9–13–13		—		8
Buy	Chinese Yuan Renminbi	Citibank, N.A.		650		9–23–13		—		2
Buy	Chinese Yuan Renminbi	Deutsche Bank AG		600		9–26–13		—		1
Sell	Euro	Deutsche Bank AG		158		8–22–12		4		—
Sell	Japanese Yen	Deutsche Bank AG		18,000		2–10–12		—		6
							$	4	$	27

* Not shown due to rounding.

(A) Listed on an exchange outside the United States.

(B) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $1,865 or 21.5% of net assets.

(C) This security currently pays the stated rate but this rate will increase in the future.

(D) Zero coupon bond.

(E) Principal amounts are denominated in the indicated foreign currency, where applicable (COP – Columbian Peso).

(F) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	9,268
Gross unrealized appreciation		21
Gross unrealized depreciation		(311	)
Net unrealized depreciation	$	(290	)

SCHEDULE OF INVESTMENTS Global Natural Resources (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Brazil – 2.7%
Companhia de Saneamento de Minas Gerais		33	$	512
Companhia Energetica de Minas Gerais - CEMIG, ADR		75		1,113
Suzano Bahia Sul Papel E Celulose S.A.		465		2,095
Tractebel Energia S.A.		55		759
				4,479
Canada – 14.2%
Advantage Oil & Gas Ltd. (A)		121		456
Agrium Inc.		30		2,000
Athabasca Oil Sands Corp. (A)		135		1,381
Barrick Gold Corporation		40		1,866
Canadian Natural Resources Limited		30		881
Cenovus Energy Inc.		40		1,231
Connacher Oil and Gas Limited (A)		267		83
First Quantum Minerals Ltd.		275		3,661
Goldcorp Inc.		25		1,141
IAMGOLD Corporation		130		2,584
Neo Material Technologies Inc. (A)		100		609
Potash Corporation of Saskatchewan Inc.		95		4,105
Progress Energy Resources Corp.		20		246
Silver Wheaton Corp.		70		2,062
Southern Pacific Resource Corp. (A)		245		281
Teck Cominco Limited		29		856
				23,443
China – 3.5%
China Metal Recycling (Holdings) Limited		2,300		1,976
GCL-Poly Energy Holdings Limited		7,900		2,056
Hidili Industry International Development Limited, ADR		800		232
Sino-Forest Corporation, Class A (A)		590		46
Trina Solar Limited, ADR (A)		155		942
Yingli Green Energy Holding Company Limited, ADR (A)		150		465
				5,717
Cyprus – 0.1%
Buried Hill Energy (Cyprus) Public Company Limited (A)(B)		70		140
Hong Kong – 0.1%
China Vanadium Titano-Magnetite Mining Company Limited, H Shares		600		94
India – 2.1%
Adani Enterprises Limited		55		590
Infrastructure Development Finance Company Limited		500		1,123
Shree Renuka Sugars Limited		350		391
Sterlite Industries (India) Limited		575		1,324
				3,428
Indonesia – 0.5%
PT Adaro Energy Tbk		2,903		559
PT Harum Energy Tbk		300		239
				798
Israel – 1.1%
Israel Chemicals Ltd.		160		1,822
Japan – 0.5%
Mitsubishi Corporation		40		814

Netherlands – 0.3%
LyondellBasell Industries N.V., Class A	20	489
Norway – 0.1%
DNO International ASA (A)	100	92
Russia – 1.6%
Mechel OAO, ADR	39	158
Mechel Steel Group OAO, ADR	166	1,691
Open Joint Stock Company “RusHydro”, ADR	100	341
Open Joint Stock Company Gazprom, ADR	40	383
		2,573
Singapore – 0.3%
Indofood Agri Resources Ltd. (A)	450	417
South Korea – 2.9%
LG Chem, Ltd.	18	4,771
Thailand – 0.9%
Banpu Public Company Limited	90	1,508
United Kingdom – 11.3%
Antofagasta plc	60	857
Chariot Oil & Gas Limited (A)	105	203
ENSCO International Incorporated	100	4,043
Hochschild Mining plc, ADR	9	58
Randgold Resources Limited, ADR	20	1,934
Rio Tinto plc	80	3,548
Xstrata plc	625	7,893
		18,536
United States – 42.8%
Allegheny Technologies Incorporated	125	4,624
Alpha Natural Resources, Inc. (A)	120	2,123
Baker Hughes Incorporated	118	5,447
Boise Inc.	100	517
Cabot Oil & Gas Corporation	145	8,977
Cameron International Corporation (A)	115	4,777
Celanese Corporation, Series A	120	3,904
Chart Industries, Inc. (A)	12	506
Cliffs Natural Resources Inc.	35	1,791
CONSOL Energy Inc.	50	1,697
Dow Chemical Company (The)	30	674
Energy XXI (Bermuda) Limited (A)	12	257
EXCO Resources, Inc.	60	643
Freeport-McMoRan Copper & Gold Inc., Class B	10	305
Halliburton Company (C)	238	7,263
International Paper Company	84	1,960
Kodiak Oil & Gas Corp. (A)	350	1,824
Marathon Oil Corporation	4	86
National Oilwell Varco, Inc.	9	461
Noble Energy, Inc.	8	566
Occidental Petroleum Corporation (C)	50	3,575
Peabody Energy Corporation	108	3,658
Plains Exploration and Production Company (A)	210	4,769
Rock-Tenn Company, Class A	2	88
Schlumberger Limited (C)	63	3,763
Solutia Inc. (A)	125	1,606
Southwestern Energy Company (A)	20	667
St. Mary Land & Exploration Company	5	303

Walter Industries, Inc.		25		1,500
Whiting Petroleum Corporation (A)		16		561
Williams Companies, Inc. (The)		67		1,636
				70,528
TOTAL COMMON STOCKS – 85.0%			$	139,649
(Cost: $196,426)
PREFERRED STOCKS
Brazil – 0.3%
Bradespar S.A.		25		436
Russia – 0.3%
Mechel		80		610
United States – 0.1%
Konarka Technologies, Inc., 8.0% Cumulative (A)(B)		68		118
TOTAL PREFERRED STOCKS – 0.7%			$	1,164
(Cost: $1,942)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
Barrick Gold Corporation,
Call $35.00, Expires 1–23–12		2,100		2,667
Energy Select Sector SPDR,
Put $90.00, Expires 12–19–11		700		2,210
Occidental Petroleum Corporation:
Call $40.00, Expires 1–23–12		600		1,987
Call $60.00, Expires 1–23–12		550		844
Williams Companies, Inc. (The):
Call $17.50, Expires 1–23–12		1,800		1,359
Call $20.00, Expires 1–23–12		1,000		578
TOTAL PURCHASED OPTIONS – 5.8%			$	9,645
(Cost: $11,357)
CORPORATE DEBT SECURITIES – 0.0%	Principal
Brazil
Bahia Sul Celulose S.A.,
8.614%, 12–1–12 (D)(E)(F)		BRL180	$	47
(Cost: $85)
SHORT-TERM SECURITIES
Commercial Paper – 6.1%
CVS Caremark Corporation,
0.250%, 10–3–11 (G)	$	5,000		5,000
McCormick & Co. Inc.,
0.100%, 10–3–11 (G)		2,890		2,890
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc),
0.070%, 10–24–11 (G)		2,000		2,000
				9,890
Master Note – 0.6%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (H)		1,042		1,042
Municipal Obligations - Taxable – 0.6%
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York (The)),
0.120%, 10–3–11 (H)		1,000		1,000
TOTAL SHORT-TERM SECURITIES – 7.3%			$	11,932
(Cost: $11,932)

TOTAL INVESTMENT SECURITIES – 98.8%	$	162,437
(Cost: $221,742)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.2%		2,053
NET ASSETS – 100.0%	$	164,490

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Staples	$	—	$	808	$	—
Energy		61,656		2,986		140
Financials		—		1,123		—
Industrials		506		1,404		—
Information Technology		1,407		2,056		—
Materials		42,218		22,573		46
Utilities		2,385		341		—
Total Common Stocks	$	108,172	$	31,291	$	186
Preferred Stocks		1,046		—		118
Purchased Options		9,645		—		—
Corporate Debt Securities		—		—		47
Short-Term Securities		—		11,932		—
Total	$	118,863	$	43,223	$	351
Forward Foreign Currency Contracts	$	—	$	1,151	$	—
Futures Contracts		1,336		—		—
Liabilities
Forward Foreign Currency Contracts	$	—	$	34	$	—

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Common Stocks			Preferred Stocks			Corporate Debt Securities
Beginning Balance 1-1-11	$	140		$	244		$	56
Net realized gain (loss)		111			—			—
Net unrealized appreciation (depreciation)		(13,193	)		(126	)		(9	)
Purchases		9,793			—			—
Sales		(178	)		—			—
Transfers into Level 3 during the period		3,513			—			—
Transfers out of Level 3 during the period		—			—			—
Ending Balance 9-30-11	$	186		$	118		$	47
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9-30-11	$	(13,193	)	$	(126	)	$	(9	)

Transfers from Level 2 to Level 3 occurred generally due to the lack of observable market data due to decreased market activity or information for these securities. During the period ended September 30, 2011, securities totaling $28,005 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.

The following forward foreign currency contracts were outstanding at September 30, 2011:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Brazilian Real	Bank of New York Mellon (The)		1,165		10-21-11	$	111	$	—
Sell	Brazilian Real	Toronto-Dominion Bank (The)		710		10-28-11		53		—
Sell	Brazilian Real	Toronto-Dominion Bank (The)		1,100		12-2-11		100		—
Sell	Brazilian Real	Royal Bank of Canada		1,000		12-16-11		24		—
Sell	British Pound	Canadian Imperial Bank of Commerce		240		10-21-11		9		—
Sell	British Pound	State Street Global Markets		1,950		10-28-11		105		—
Sell	British Pound	Royal Bank of Canada		280		11-4-11		15		—
Sell	British Pound	Toronto-Dominion Bank (The)		1,380		11-18-11		133		—
Sell	British Pound	Canadian Imperial Bank of Commerce		1,150		12-2-11		77		—
Sell	British Pound	Bank of New York Mellon (The)		1,270		12-9-11		1		—
Sell	British Pound	Bank of New York Mellon (The)		1,785		12-16-11		33		—
Sell	Canadian Dollar	Bank of New York Mellon (The)		2,550		10-21-11		265		—
Sell	Canadian Dollar	Bank of New York Mellon (The)		260		10-28-11		16		—
Sell	Canadian Dollar	State Street Global Markets		1,900		10-28-11		170		—
Sell	Canadian Dollar	Canadian Imperial Bank of Commerce		2,100		12-16-11		39		—
Sell	Japanese Yen	State Street Global Markets		21,650		10-5-11		—		13
Sell	Japanese Yen	Canadian Imperial Bank of Commerce		41,000		10-19-11		—		21
							$	1,151	$	34

The following futures contracts were outstanding at September 30, 2011 (contracts unrounded):

Description	Type		Expiration Date		Number of Contracts		Market Value			Unrealized Appreciation
S&P 500 E-mini		Short		12-16-11		200	$	(11,260	)	$	658
S&P/Toronto Stock Exchange 60 Index		Short		12-16-11		85		(10,783	)		678
							$	(22,043	)	$	1,336

(A) No dividends were paid during the preceding 12 months.

(B) Restricted securities. At September 30, 2011, the Portfolio owned the following restricted securities:

Security	Acquisition Date(s)	Shares		Cost		Market Value
Buried Hill Energy (Cyprus) Public Company Limited	5-1-07 to 4-17-08		70	$	118	$	140
Konarka Technologies, Inc., 8.0% Cumulative	8-31-07		68		211		118
				$	329	$	258

The total value of these securities represented 0.2% of net assets at September 30, 2011.

(C) All or a portion of the security position has been pledged as collateral on open futures contracts.

(D) Principal amounts are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real).

(E) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $47 or 0.0% of net assets.

(F) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(G) Rate shown is the yield to maturity at September 30, 2011.

(H) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	224,538
Gross unrealized appreciation		1,628
Gross unrealized depreciation		(63,729	)
Net unrealized depreciation	$	(62,101	)

SCHEDULE OF INVESTMENTS Growth (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 5.4%
Boeing Company (The)		227	$	13,724
Precision Castparts Corp.		189		29,320
				43,044
Air Freight & Logistics – 1.3%
Expeditors International of Washington, Inc.		244		9,878
Application Software – 3.4%
Intuit Inc.		434		20,598
salesforce.com, inc. (A)		54		6,183
				26,781
Asset Management & Custody Banks – 2.6%
T. Rowe Price Group, Inc.		424		20,274
Auto Parts & Equipment – 2.5%
BorgWarner Inc. (A)		148		8,946
Gentex Corporation		458		11,015
				19,961
Automotive Retail – 2.5%
AutoZone, Inc. (A)		43		13,789
O’Reilly Automotive, Inc. (A)		89		5,943
				19,732
Broadcasting – 3.6%
CBS Corporation, Class B		1,211		24,688
Discovery Holding Company, Class A (A)		104		3,905
				28,593
Casinos & Gaming – 3.7%
Wynn Resorts, Limited		250		28,758
Communications Equipment – 3.4%
Juniper Networks, Inc. (A)		245		4,222
QUALCOMM Incorporated		463		22,494
				26,716
Computer Hardware – 8.0%
Apple Inc. (A)		165		63,008
Computer Storage & Peripherals – 0.2%
NetApp, Inc. (A)		57		1,918
Data Processing & Outsourced Services – 3.8%
MasterCard Incorporated, Class A		95		29,972
Environmental & Facilities Services – 0.8%
Stericycle, Inc. (A)		75		6,022
Fertilizers & Agricultural Chemicals – 2.5%
Monsanto Company		327		19,603
Footwear – 1.4%
NIKE, Inc., Class B		130		11,108
Health Care Equipment – 0.6%
Intuitive Surgical, Inc. (A)		13		4,699
Hotels, Resorts & Cruise Lines – 1.0%
Starwood Hotels & Resorts Worldwide, Inc.		205		7,968

Industrial Gases – 3.0%
Praxair, Inc.	252		23,548
Industrial Machinery – 1.5%
Danaher Corporation	280		11,726
Internet Retail – 1.8%
Amazon.com, Inc. (A)	64		13,817
Internet Software & Services – 3.8%
Google Inc., Class A (A)	58		30,071
IT Consulting & Other Services – 3.1%
Cognizant Technology Solutions Corporation, Class A (A)	394		24,710
Life Sciences Tools & Services – 0.7%
Thermo Fisher Scientific Inc. (A)	114		5,768
Movies & Entertainment – 0.5%
Walt Disney Company (The)	132		3,981
Oil & Gas Equipment & Services – 8.3%
Halliburton Company	499		15,217
National Oilwell Varco, Inc.	420		21,518
Schlumberger Limited	480		28,655
			65,390
Packaged Foods & Meats – 1.4%
Mead Johnson Nutrition Company	159		10,972
Personal Products – 2.0%
Estee Lauder Companies Inc. (The), Class A	182		16,004
Pharmaceuticals – 4.8%
Allergan, Inc.	458		37,689
Restaurants – 6.0%
McDonald’s Corporation	172		15,123
Starbucks Corporation	849		31,645
			46,768
Semiconductor Equipment – 0.5%
Lam Research Corporation (A)	106		4,030
Semiconductors – 3.3%
ARM Holdings plc, ADR	165		4,197
Broadcom Corporation, Class A	176		5,872
Microchip Technology Incorporated	501		15,571
			25,640
Soft Drinks – 1.8%
Coca-Cola Company (The)	111		7,479
PepsiCo, Inc.	102		6,332
			13,811
Specialty Stores – 1.3%
Tiffany & Co.	171		10,400
Systems Software – 4.6%
Oracle Corporation	891		25,596
VMware, Inc., Class A (A)	136		10,956
			36,552
TOTAL COMMON STOCKS – 95.1%		$	748,912
(Cost: $686,548)

SHORT-TERM SECURITIES	Principal
Commercial Paper – 3.5%
Baxter International Inc.,
0.110%, 10–6–11 (B)	$	3,000		3,000
Clorox Co.,
0.320%, 10–14–11 (B)		5,000		4,999
Danaher Corporation,
0.070%, 10–5–11 (B)		8,000		8,000
Diageo Capital plc (GTD by Diageo plc),
0.400%, 10–21–11 (B)		3,000		2,999
Straight-A Funding, LLC (GTD by Federal Financing Bank),
0.130%, 10–18–11 (B)		4,000		4,000
Wisconsin Electric Power Co.,
0.120%, 10–3–11 (B)		4,590		4,590
				27,588
Master Note – 0.5%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (C)		3,740		3,740
Municipal Obligations - Taxable – 0.2%
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co), Ser C (GTD by JPMorgan Chase Bank, N.A.),
0.120%, 10–3–11 (C)		1,815		1,815
TOTAL SHORT-TERM SECURITIES – 4.2%			$	33,143
(Cost: $33,143)
TOTAL INVESTMENT SECURITIES – 99.3%			$	782,055
(Cost: $719,691)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.7%				5,423
NET ASSETS – 100.0%			$	787,478

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	748,912	$	—	$	—
Short-Term Securities		—		33,143		—
Total	$	748,912	$	33,143	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) No dividends were paid during the preceding 12 months.

(B) Rate shown is the yield to maturity at September 30, 2011.

(C) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	720,342
Gross unrealized appreciation		107,964
Gross unrealized depreciation		(46,251	)
Net unrealized appreciation	$	61,713

SCHEDULE OF INVESTMENTS High Income (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Casinos & Gaming – 0.0%
Pinnacle Entertainment, Inc. (A)		13	$	114
Packaged Foods & Meats – 0.1%
Dole Food Company, Inc. (A)		18		177
Railroads – 0.3%
Kansas City Southern (A)		15		749
TOTAL COMMON STOCKS – 0.4%			$	1,040
(Cost: $1,147)
PREFERRED STOCKS
Consumer Finance – 0.3%
Ally Financial Inc., Preferred 8.5%		18		308
GMAC Capital Trust I, Preferred 8.125%		22		401
				709
Trucking – 0.0%
Swift Services Holdings, Inc., 6.0% Cumulative (B)		15		117
TOTAL PREFERRED STOCKS – 0.3%			$	826
(Cost: $1,129)
WARRANTS – 0.1%
Agricultural Products
ASG Consolidated LLC		1	$	150
(Cost: $72)
CORPORATE DEBT SECURITIES	Principal
Aerospace & Defense – 0.4%
Acquisition Co.,
10.000%, 6–1–17	$	335		333
Ducommun Incorporated,
9.750%, 7–15–18 (B)		325		325
Kratos Defense & Security Solutions, Inc.,
10.000%, 6–1–17 (B)		419		417
				1,075
Agricultural Products – 1.1%
American Rock Salt Company LLC and American Rock Salt Capital Corporation,
8.250%, 5–1–18 (B)		195		171
American Seafoods Group LLC,
10.750%, 5–15–16 (B)		1,475		1,430
ASG Consolidated LLC,
15.000%, 5–15–17 (B)(C)		1,391		1,264
				2,865
Alternative Carriers – 2.7%
Level 3 Communications, Inc.:
11.875%, 2–1–19 (B)		2,965		2,816
8.125%, 7–1–19 (B)		2,051		1,813
Level 3 Financing, Inc.:
10.000%, 2–1–18		700		672
9.375%, 4–1–19 (B)		200		186
PAETEC Escrow Corporation,
9.875%, 12–1–18		1,160		1,215
				6,702
Apparel Retail – 1.1%
Burlington Coat Factory Investments Holdings, Inc.,
10.000%, 2–15–19 (B)		764		649
J.Crew Group, Inc.,
8.125%, 3–1–19		2,443		2,046
				2,695

Apparel, Accessories & Luxury Goods – 0.2%
Norcraft Companies, L.P. and Norcraft Finance Corp.,
10.500%, 12–15–15	590	538
Asset Management & Custody Banks – 0.4%
Nexeo Solutions, LLC,
8.375%, 3–1–18 (B)	1,037	1,024
Auto Parts & Equipment – 2.7%
Affinia Group Inc.:
9.000%, 11–30–14	290	280
10.750%, 8–15–16 (B)	1,656	1,689
Exide Technologies,
8.625%, 2–1–18	807	751
Icahn Enterprises L.P.,
8.000%, 1–15–18	2,721	2,710
Icahn Enterprises L.P. and Icahn Enterprises Finance Corp.,
7.750%, 1–15–16	980	979
Visteon Corporation,
6.750%, 4–15–19 (B)	440	396
		6,805
Automotive Manufacturers – 0.5%
Chrysler Group LLC and CG:
8.000%, 6–15–19 (B)	450	351
8.250%, 6–15–21 (B)	1,137	875
		1,226
Automotive Retail – 2.4%
Asbury Automotive Group, Inc.:
7.625%, 3–15–17	725	692
8.375%, 11–15–20	2,405	2,321
Sonic Automotive, Inc.,
9.000%, 3–15–18	2,940	2,948
		5,961
Broadcasting – 1.0%
Cumulus Media Inc.,
7.750%, 5–1–19 (B)	2,145	1,808
dcp LLC,
10.750%, 8–15–15 (B)	490	407
Gray Television, Inc.,
10.500%, 6–29–15	460	416
		2,631
Building Products – 0.7%
Ply Gem Holdings, Inc.,
8.250%, 2–15–18	2,050	1,671
Casinos & Gaming – 1.5%
Inn of the Mountain Gods Resort and Casino,
1.250%, 11–30–20	1,187	656
MGM MIRAGE:
11.375%, 3–1–18	600	600
9.000%, 3–15–20	400	416
MGM Resorts International,
10.000%, 11–1–16 (B)	560	531
Peninsula Gaming, LLC:
8.375%, 8–15–15	990	985
10.750%, 8–15–17	617	595
		3,783
Catalog Retail – 1.0%
QVC, Inc.,
7.500%, 10–1–19 (B)	2,330	2,481
Communications Equipment – 1.0%
Brightstar Corporation,
9.500%, 12–1–16 (B)	2,415	2,463

Construction & Farm Machinery & Heavy Trucks – 0.3%
ArvinMeritor, Inc.,
10.625%, 3–15–18		751	723
Greenbrier Companies, Inc., (The), Convertible,
3.500%, 4–1–18 (B)		200	143
			866
Construction Materials – 2.3%
Cemex Finance LLC,
9.500%, 12–14–16 (B)		1,050	761
Cemex SAB de CV,
9.000%, 1–11–18 (B)		1,100	745
Headwaters Incorporated,
7.625%, 4–1–19		1,340	1,025
Headwaters Incorporated, Convertible:
2.500%, 2–1–14		375	299
14.750%, 2–1–14 (B)		1,366	1,431
Hillman Group, Inc. (The):
10.875%, 6–1–18		1,005	995
10.875%, 6–1–18 (B)		402	398
			5,654
Consumer Finance – 2.7%
American General Finance Corporation,
6.900%, 12–15–17		500	360
Bankrate, Inc.,
11.750%, 7–15–15		1,397	1,566
Credit Acceptance Corporation:
9.125%, 2–1–17		640	630
9.125%, 2–1–17 (B)		270	265
Speedy Cash Intermediate Holdings Corp.,
10.750%, 5–15–18 (B)		1,085	1,093
TMX Finance LLC and TitleMax Finance Corporation:
13.250%, 7–15–15 (B)		350	376
13.250%, 7–15–15		188	202
WM Holdings Finance Corp.:
11.500%, 10–1–18 (B)		959	882
13.750%, 10–1–19 (B)		1,495	1,368
			6,742
Consumer Products – 0.6%
Prestige Brands, Inc.,
8.250%, 4–1–18		1,417	1,445
Diversified Chemicals – 1.4%
Kinove German Bondco GmbH:
9.625%, 6–15–18 (B)		715	647
10.000%, 6–15–18 (B)(D)		EUR1,364	1,563
Styrolution Group GmbH,
7.625%, 5–15–16 (B)(D)		1,390	1,350
			3,560
Diversified Metals & Mining – 1.3%
FMG Resources Pty Ltd.:
7.000%, 11–1–15 (B)	$	1,360	1,265
6.375%, 2–1–16 (B)		300	270
6.875%, 2–1–18 (B)		300	264
Taseko Mines Limited,
7.750%, 4–15–19		1,495	1,390
			3,189
Diversified Support Services – 0.6%
ARAMARK Holdings Corporation,
8.625%, 5–1–16 (B)		825	813
SITEL, LLC and SITEL Finance Corp.,
11.500%, 4–1–18		995	786
			1,599
Education Services – 4.0%
Laureate Education, Inc.:
10.000%, 8–15–15 (B)		1,750	1,715
10.250%, 8–15–15 (B)		5,328	5,249
11.750%, 8–15–17 (B)		3,040	3,116
			10,080
Electrical Components & Equipment – 0.3%
International Wire Group, Inc.,
9.750%, 4–15–15 (B)		800	786

Electronic Equipment & Instruments – 2.5%
CDW Escrow Corporation,
8.500%, 4–1–19 (B)	2,760	2,429
CDW LLC and CDW Finance Corporation,
12.535%, 10–12–17	3,990	3,810
		6,239
Electronic Manufacturing Services – 1.9%
Jabil Circuit, Inc.:
7.750%, 7–15–16	1,520	1,676
8.250%, 3–15–18	1,885	2,135
KEMET Corporation,
10.500%, 5–1–18	1,040	1,092
		4,903
Food Distributors – 1.3%
U.S. Foodservice, Inc.,
8.500%, 6–30–19 (B)	1,115	1,006
Viskase Companies, Inc.,
9.875%, 1–15–18 (B)	2,225	2,248
		3,254
Forest Products – 1.0%
Ainsworth Lumber Co. Ltd.,
11.000%, 7–29–15 (B)(C)	4,230	2,632
Health Care Equipment – 0.4%
Biomet, Inc.,
11.625%, 10–15–17	533	553
DJO Finance LLC and DJO Finance Corporation,
9.750%, 10–15–17 (B)	420	351
		904
Health Care Facilities – 3.2%
HCA Inc.,
8.000%, 10–1–18	900	879
HealthSouth Corporation,
8.125%, 2–15–20	1,371	1,285
INC Research, LLC,
11.500%, 7–15–19 (B)	375	335
Kindred Escrow Corp.,
8.250%, 6–1–19 (B)	756	577
Radiation Therapy Services, Inc.,
9.875%, 4–15–17	1,598	1,362
Tenet Healthcare Corporation,
6.875%, 11–15–31	2,303	1,750
United Surgical Partners International, Inc.,
8.875%, 5–1–17	2,000	2,000
		8,188
Health Care Services – 1.3%
Air Medical Group Holdings Inc.,
9.250%, 11–1–18 (B)	1,620	1,620
ExamWorks Group, Inc.,
9.000%, 7–15–19 (B)	599	560
OnCure Holdings, Inc.,
11.750%, 5–15–17	250	221
WP Rocket Merger Sub, Inc.,
10.125%, 7–15–19 (B)	830	789
		3,190
Health Care Supplies – 1.1%
IVD Acquisition Corporation,
11.125%, 8–15–19 (B)	2,913	2,833
Health Care Technology – 0.9%
MedAssets, Inc.,
8.000%, 11–15–18 (B)	2,248	2,141
Home Furnishings – 0.2%
Empire Today, LLC and Empire Today Finance Corp.,
11.375%, 2–1–17 (B)	340	311
Simmons Bedding Company,
11.250%, 7–15–15 (B)	300	309
		620
Household Products – 1.3%
Reynolds Group Holdings Limited:
7.125%, 4–15–19 (B)	950	884
9.000%, 4–15–19 (B)	1,880	1,598
7.875%, 8–15–19 (B)	446	430
9.875%, 8–15–19 (B)	255	224
8.250%, 2–15–21 (B)	280	221
		3,357

Human Resource & Employment Services – 0.4%
CDRT Merger Sub, Inc.,
8.125%, 6–1–19 (B)	985	911
Independent Power Producers & Energy Traders – 1.2%
Calpine Corporation,
7.875%, 1–15–23 (B)	285	275
NRG Energy, Inc.:
7.625%, 5–15–19 (B)	1,280	1,165
7.875%, 5–15–21 (B)	1,600	1,464
		2,904
Industrial Conglomerates – 0.5%
Pinafore, LLC and Pinafore, Inc.,
9.000%, 10–1–18 (B)	1,283	1,315
Industrial Machinery – 1.7%
CPM Holdings, Inc.,
10.625%, 9–1–14 (E)	1,250	1,325
RBS Global, Inc. and Rexnord LLC,
11.750%, 8–1–16	2,215	2,258
Tempel Steel Company,
12.000%, 8–15–16 (B)	637	599
		4,182
Internet Software & Services – 0.2%
Equinix, Inc.,
7.000%, 7–15–21	550	548
Investment Banking & Brokerage – 1.0%
E*TRADE Financial Corporation,
6.750%, 6–1–16	780	778
GFI Group Inc.,
8.375%, 7–19–18 (B)	1,735	1,614
		2,392
IT Consulting & Other Services – 2.0%
iGATE Corporation,
9.000%, 5–1–16 (B)	4,425	4,115
SRA International, Inc. and Sterling Merger, Inc.,
11.000%, 10–1–19 (B)	1,089	1,035
		5,150
Leisure Facilities – 0.8%
Palace Entertainment Holdings, LLC,
8.875%, 4–15–17 (B)	2,242	2,051
Life & Health Insurance – 0.7%
CNO Financial Group, Inc.,
9.000%, 1–15–18 (B)	1,756	1,817
Metal & Glass Containers – 0.4%
Plastipak Holdings, Inc.,
10.625%, 8–15–19 (B)	1,070	1,113
Movies & Entertainment – 1.2%
AMC Entertainment Holdings, Inc.,
9.750%, 12–1–20	990	896
AMC Entertainment Inc.,
8.000%, 3–1–14	510	492
Cinemark USA, Inc.,
8.625%, 6–15–19	1,000	1,030
Regal Enertainment Group,
9.125%, 8–15–18	725	718
		3,136
Multi-Line Insurance – 0.4%
American International Group, Inc.,
8.175%, 5–15–58	1,135	1,002
Oil & Gas Drilling – 0.6%
RDS Ultra-Deepwater Ltd,
11.875%, 3–15–17 (B)	1,560	1,634
Oil & Gas Equipment & Services – 2.4%
Forbes Energy Services Ltd.,
9.000%, 6–15–19 (B)	1,415	1,309

Geokinetics Holdings USA, Inc.,
9.750%, 12–15–14		966	761
Global Geophysical Services, Inc.,
10.500%, 5–1–17		3,767	3,654
Thermon Industries, Inc.,
9.500%, 5–1–17		328	341
			6,065
Oil & Gas Exploration & Production – 0.4%
Quicksilver Resources Inc.:
11.750%, 1–1–16		600	648
7.125%, 4–1–16		400	352
			1,000
Oil & Gas Refining & Marketing – 2.7%
Energy Partners Ltd.,
8.250%, 2–15–18		2,516	2,315
Offshore Group Investment Limited:
11.500%, 8–1–15		3,390	3,491
11.500%, 8–1–15 (B)		740	762
			6,568
Other Diversified Financial Services – 0.6%
Bank of America Corporation:
8.000%, 12–29–49 (E)		1,450	1,233
8.125%, 12–29–49 (E)		426	362
			1,595
Packaged Foods & Meats – 1.5%
Bumble Bee Foods, LLC:
9.000%, 12–15–17 (B)		2,100	1,974
9.625%, 3–15–18 (B)		2,175	1,745
			3,719
Paper Packaging – 1.3%
Sealed Air Corporation:
8.125%, 9–15–19 (B)		1,626	1,642
8.375%, 9–15–21 (B)		1,689	1,706
			3,348
Paper Products – 0.3%
Appleton Papers Inc.,
10.500%, 6–15–15 (B)		720	706
Verso Paper Corp.,
8.750%, 2–1–19		142	98
			804
Pharmaceuticals – 1.1%
Capsugel FinanceCo S.C.A.,
9.875%, 8–1–19 (B)(D)		EUR1,879	2,342
ConvaTec Healthcare E S.A.,
10.500%, 12–15–18 (B)	$	280	246
InVentiv Health, Inc.,
10.000%, 8–15–18 (B)		325	286
			2,874
Property & Casualty Insurance – 0.7%
Fidelity National Information Services, Inc.:
7.625%, 7–15–17		1,235	1,284
7.875%, 7–15–20		420	437
			1,721
Railroads – 1.0%
Kansas City Southern de Mexico, S.A. de C.V.:
8.000%, 2–1–18		1,990	2,119
6.625%, 12–15–20		420	433
			2,552
Regional Banks – 0.9%
CIT Group, Inc.,
7.000%, 5–2–17 (B)		2,330	2,260
Restaurants – 5.2%
CKE Holdings, Inc.,
10.500%, 3–14–16 (B)(C)		2,068	1,802
CKE Restaurants, Inc.,
11.375%, 7–15–18		3,174	3,301
Dave & Buster’s, Inc.,
0.000%, 2–15–16 (B)(F)		4,180	2,320
DineEquity, Inc.,
9.500%, 10–30–18		1,734	1,721
NPC International, Inc.,
9.500%, 5–1–14		4,192	4,120
			13,264
Security & Alarm Services – 0.5%
DynCorp International Inc.,
10.375%, 7–1–17		1,325	1,156

Semiconductor Equipment – 0.1%
Phototronics, Inc., Convertible,
3.250%, 4–1–16 (B)	170		151
Semiconductors – 0.4%
Freescale Semiconductor, Inc.,
8.050%, 2–1–20	302		273
Micron Technology, Inc., Convertible:
1.500%, 8–1–31 (B)	707		543
1.875%, 8–1–31 (B)	159		122
			938
Specialized Consumer Services – 0.7%
B-Corp Merger Sub, Inc.,
8.250%, 6–1–19 (B)	1,944		1,750
Specialized Finance – 0.3%
PHH Corporation,
9.250%, 3–1–16	700		719
Specialized REITs – 0.9%
CNL Lifestyles Properties, Inc.,
7.250%, 4–15–19	2,696		2,319
Steel – 1.5%
Ryerson Inc.,
12.000%, 11–1–15	750		750
Severstal Columbus LLC,
10.250%, 2–15–18	720		734
WireCo WorldGroup Inc.,
9.750%, 5–15–17 (B)	2,090		2,111
			3,595
Systems Software – 1.1%
Atlantis Merger Sub, Inc. and SoftBrands, Inc.,
11.500%, 7–15–18 (B)	3,091		2,751
Thrifts & Mortgage Finance – 0.6%
Provident Funding Associates, L.P. and PFG Finance Corp.,
10.125%, 2–15–19 (B)	1,745		1,509
Trading Companies & Distributors – 0.6%
United Rentals (North America), Inc.,
8.375%, 9–15–20	1,590		1,459
Wireless Telecommunication Service – 1.2%
Cricket Communications, Inc.,
7.750%, 10–15–20	695		605
Digicel Group Limited:
8.250%, 9–1–17 (B)	284		267
10.500%, 4–15–18 (B)	928		914
MetroPCS Wireless, Inc.,
6.625%, 11–15–20	810		713
Wind Acquisition Finance S.A.,
11.750%, 7–15–17 (B)	685		582
			3,081
TOTAL CORPORATE DEBT SECURITIES – 82.4%		$	207,455
(Cost: $222,154)
MUNICIPAL BONDS - TAXABLE – 0.6%
Arizona
AZ Hlth Fac Auth, Rev Bonds (Banner Hlth), Ser 2007B,
0.975%, 1–1–37 (E)	2,175	$	1,398
(Cost: $1,402)
SENIOR LOANS
Application Software – 0.3%
Blackboard, Inc.,
7.500%, 6–30–18 (E)	750		696
Building Products – 2.4%
Goodman Global, Inc.,
9.000%, 10–6–17 (E)	5,945		5,948

Casinos & Gaming – 0.1%
Revel AC, Inc.,
9.000%, 1–24–17 (E)	350		288
Communications Equipment – 0.1%
Mitel Networks Corporation,
7.303%, 8–15–15 (E)	224		203
Diversified Support Services – 3.4%
Advantage Sales & Marketing, Inc.,
9.250%, 5–29–18 (E)	5,184		4,963
Applied Systems, Inc.,
9.250%, 5–17–17 (E)	215		208
N.E.W. Holdings I, LLC,
9.500%, 3–5–17 (E)	3,675		3,588
			8,759
Environmental & Facilities Services – 0.4%
K2 Pure Solutions Nocal, L.P.,
10.000%, 7–20–15 (E)	998		948
Food Distributors – 0.4%
Fairway Group Acquisition Company,
7.500%, 2–11–17 (E)	936		881
U.S. Foodservice, Inc.:
2.730%, 7–3–14 (E)	33		30
2.740%, 7–3–14 (E)	97		89
			1,000
Health Care Equipment – 0.3%
Immucor, Inc.,
7.250%, 7–2–18 (E)	750		738
Health Care Facilities – 0.8%
National Surgical Hospitals, Inc.:
8.250%, 1–4–17 (E)	1,843		1,760
0.000%, 2–3–17 (E)(F)	323		308
			2,068
Home Furnishings – 0.7%
Spring Windows Fashions, LLC,
11.250%, 4–27–18 (E)	1,800		1,710
Hypermarkets & Super Centers – 0.5%
Roundy’s Supermarkets, Inc.,
10.000%, 4–5–16 (E)	1,195		1,167
Independent Power Producers & Energy Traders – 0.9%
Texas Competitive Electric Holdings Company, LLC:
4.726%, 10–10–17 (E)	1,595		1,061
4.772%, 10–10–17 (E)	1,696		1,129
			2,190
Internet Software & Services – 0.5%
Nextag, Inc.,
7.000%, 12–29–17 (E)	1,396		1,291
IT Consulting & Other Services – 0.7%
Presidio, Inc.,
7.250%, 3–31–17 (E)	1,663		1,604
Vertafore, Inc.,
9.750%, 10–18–17 (E)	222		212
			1,816
TOTAL SENIOR LOANS – 11.5%		$	28,822
(Cost: $30,227)
SHORT-TERM SECURITIES
Commercial Paper – 3.2%
Clorox Co.,
0.340%, 10–6–11 (G)	3,068		3,068
Diageo Capital plc (GTD by Diageo plc),
0.400%, 10–21–11 (G)	3,000		2,999
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc),
0.070%, 10–24–11 (G)	2,000		2,000
			8,067

Master Note – 1.1%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (H)	2,777		2,777
Municipal Obligations - Taxable – 0.2%
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp Proj), Ser 1996 (GTD by Exxon Mobil Corporation),
0.100%, 10–3–11 (H)	575		575
TOTAL SHORT-TERM SECURITIES – 4.5%		$	11,419
(Cost: $11,419)
TOTAL INVESTMENT SECURITIES – 99.8%		$	251,110
(Cost: $267,550)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%			416
NET ASSETS – 100.0%		$	251,526

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	1,040	$	—	$	—
Preferred Stocks		709		117		—
Warrants		—		—		150
Corporate Debt Securities		—		206,856		599
Municipal Bonds		—		1,398		—
Senior Loans		—		22,492		6,330
Short-Term Securities		—		11,419		—
Total	$	1,749	$	242,282	$	7,079
Forward Foreign Currency Contracts	$	—	$	546	$	—

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Preferred Stocks			Warrants		Corporate Debt Securities			Senior Loans
Beginning Balance 1–1–11	$	540		$	150	$	8,715		$	16,078
Net realized gain (loss)		—			—		—			115
Net unrealized appreciation (depreciation)		—			—		(19	)		(287	)
Purchases		—			—		618			6,262
Sales		—			—		—			(6,071	)
Transfers into Level 3 during the period		—			—		—			—
Transfers out of Level 3 during the period		(540	)		—		(8,715	)		(9,767	)
Ending Balance 9–30–11	$	—		$	150	$	599		$	6,330
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9–30–11	$	—		$	—	$	(19	)	$	(153	)

Transfers from Level 2 to Level 3 occurred generally due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred generally due to the increased availability of observable market data due to increased market activity or information. There were no significant transfers between Levels 1 and 2 during the period ended September 30, 2011.

The following forward foreign currency contracts were outstanding at September 30, 2011:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation			Unrealized Depreciation
Sell	Euro	Deutsche Bank AG		95		11-15-11	$	7		$	—
Sell	Euro	Deutsche Bank AG		70		12-15-11		5			—
Sell	Euro	Deutsche Bank AG		94		2-1-12		9			—
Sell	Euro	Deutsche Bank AG		95		5-15-12		6			—
Sell	Euro	Deutsche Bank AG		70		6-15-12		4			—
Sell	Euro	Deutsche Bank AG		93		8-1-12		8			—
Sell	Euro	Deutsche Bank AG		95		11-15-12		6			—
Sell	Euro	Deutsche Bank AG		70		12-17-12		4			—
Sell	Euro	Deutsche Bank AG		94		2-1-13		7			—
Sell	Euro	Deutsche Bank AG		95		5-15-13		5			—
Sell	Euro	Deutsche Bank AG		70		6-17-13		4			—
Sell	Euro	Deutsche Bank AG		94		8-1-13		7			—
Sell	Euro	Deutsche Bank AG		95		11-15-13		4			—
Sell	Euro	Deutsche Bank AG		70		12-16-13		3			—
Sell	Euro	Deutsche Bank AG		94		2-3-14		6			—
Sell	Euro	Deutsche Bank AG		95		5-15-14		4			—
Sell	Euro	Deutsche Bank AG		70		6-16-14		2			—
Sell	Euro	Deutsche Bank AG		94		8-1-14		6			—
Sell	Euro	Morgan Stanley International		84		11-14-14		4			—
Sell	Euro	Deutsche Bank AG		11		11-17-14		—	*		—
Sell	Euro	Deutsche Bank AG		70		12-15-14		2			—
Sell	Euro	Deutsche Bank AG		94		2-2-15		6			—
Sell	Euro	Deutsche Bank AG		1,189		5-15-15		54			—
Sell	Euro	Deutsche Bank AG		70		6-15-15		3			—
Sell	Euro	Deutsche Bank AG		94		8-3-15		6			—
Sell	Euro	Deutsche Bank AG		11		11-16-15		—	*		—
Sell	Euro	Deutsche Bank AG		70		12-15-15		4			—
Sell	Euro	Deutsche Bank AG		94		2-1-16		6			—
Sell	Euro	Deutsche Bank AG		301		5-16-16		15			—
Sell	Euro	Deutsche Bank AG		70		6-15-16		4			—
Sell	Euro	Deutsche Bank AG		94		8-1-16		6			—
Sell	Euro	Deutsche Bank AG		70		12-15-16		4			—
Sell	Euro	Deutsche Bank AG		94		2-1-17		7			—
Sell	Euro	Deutsche Bank AG		70		6-15-17		4			—
Sell	Euro	Deutsche Bank AG		94		8-1-17		7			—
Sell	Euro	Deutsche Bank AG		70		12-15-17		5			—
Sell	Euro	Deutsche Bank AG		94		2-1-18		8			—
Sell	Euro	Deutsche Bank AG		1,454		6-15-18		106			—
Sell	Euro	Deutsche Bank AG		94		8-1-18		8			—
Sell	Euro	Deutsche Bank AG		94		2-1-19		8			—
Sell	Euro	Deutsche Bank AG		2,000		8-1-19		182			—
							$	546		$	—

* Not shown due to rounding.

(A) No dividends were paid during the preceding 12 months.

(B) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $116,119 or 46.2% of net assets.

(C) Payment-in-kind bonds.

(D) Principal amounts are denominated in the indicated foreign currency, where applicable (EUR - Euro).

(E) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(F) Zero coupon bond.

(G) Rate shown is the yield to maturity at September 30, 2011.

(H) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

GTD = Guaranteed

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	267,557
Gross unrealized appreciation		1,943
Gross unrealized depreciation		(18,390	)
Net unrealized depreciation	$	(16,447	)

SCHEDULE OF INVESTMENTS International Core Equity (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Australia – 10.6%
Foster’s Group Limited		876	$	4,446
Myer Holdings Limited		2,759		5,369
Newcrest Mining Limited		288		9,503
Orica Limited		233		5,228
QBE Insurance Group Limited		412		5,060
Telstra Corporation Limited		6,014		17,911
Toll Holdings Limited		907		3,805
				51,322
Brazil – 0.2%
Vivo Participacoes S.A., ADR		36		959
China – 5.3%
China Construction Bank Corporation		8,093		4,895
China Unicom Limited		4,500		9,149
SINA Corporation (A)		66		4,705
ZTE Corporation, H Shares		2,427		6,874
				25,623
Denmark – 0.3%
PANDORA Holding A/S		134		896
PANDORA Holding A/S (B)		109		724
				1,620
France – 15.0%
Alstom		180		5,925
Cap Gemini S.A.		186		6,184
Danone		176		10,849
Safran		175		5,347
Sanofi-Aventis		195		12,842
Total S.A.		456		20,116
Vivendi Universal		544		11,084
				72,347
Germany – 4.3%
Bayer AG		156		8,581
DaimlerChrysler AG, Registered Shares		138		6,147
Dialog Semiconductor plc (A)		361		6,111
				20,839
Hong Kong – 1.8%
Cheung Kong (Holdings) Limited		780		8,456
Israel – 2.7%
Bezeq - Israel Telecommunication Corp., Ltd. (The)		2,598		4,860
Teva Pharmaceutical Industries Limited, ADR		218		8,132
				12,992
Italy – 0.9%
Saipem S.p.A.		125		4,372
Japan – 11.1%
Chiyoda Corporation		555		5,411
Hoya Corporation		100		2,316
Kao Corporation		292		8,125
Mitsubishi Corporation		325		6,613
Mitsubishi Electric Corporation		548		4,854
Nissin Kogyo Co., Ltd.		604		9,043
Softbank Corp.		325		9,504
Tokyo Gas Co., Ltd.		1,646		7,645
				53,511

Mexico – 1.4%
America Movil, S.A. de C.V.		313		6,904
Netherlands – 4.5%
Fugro N.V.		116		5,835
Koninklijke Ahold N.V.		707		8,316
Koninklijke KPN N.V.		559		7,365
				21,516
Singapore – 1.5%
United Overseas Bank Limited		558		7,175
Sweden – 2.5%
Tele2 AB		371		6,717
Telefonaktiebolaget LM Ericsson, B Shares		564		5,417
				12,134
Switzerland – 5.0%
Credit Suisse Group AG, Registered Shares		286		7,487
Novartis AG, Registered Shares		136		7,623
Syngenta AG		25		6,572
TEMENOS Group AG (A)		185		2,493
				24,175
Taiwan – 4.5%
Advanced Semiconductor Engineering, Inc.		6,358		5,421
High Tech Computer Corp.		219		4,809
Hon Hai Precision Ind. Co., Ltd.		210		468
Taiwan Semiconductor Manufacturing Company Ltd.		2,342		5,271
Unimicron Technology Corp.		4,036		5,645
				21,614
United Kingdom – 16.6%
Barclays plc		2,331		5,717
Barclays plc (B)		733		1,798
HSBC Holdings plc		677		5,186
Invensys plc, ADR		1,547		5,388
Prudential plc		735		6,309
Rolls-Royce Group plc		720		6,615
Royal Dutch Shell plc, Class A		366		11,276
Unilever plc		504		15,776
Vodafone Group plc		2,838		7,314
WPP Group plc		875		8,109
Xstrata plc		461		5,815
				79,303
United States – 1.5%
InBev NV		140		7,453
TOTAL COMMON STOCKS – 89.7%			$	432,315
(Cost: $507,328)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 7.4%
Bemis Company, Inc., 0.330%, 10–5–11 (C)	$	5,000		5,000
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited), 0.120%, 10–18–11 (C)		3,000		3,000
Danaher Corporation, 0.070%, 10–5–11 (C)		4,000		4,000
John Deere Credit Limited (GTD by John Deere Capital Corporation), 0.100%, 10–7–11 (C)		5,000		5,000

Mattel Inc., 0.310%, 10–17–11 (C)	5,000		4,999
Sara Lee Corporation, 0.280%, 10–18–11 (C)	7,000		6,998
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), 0.070%, 10–24–11 (C)	4,000		4,000
St. Jude Medical, Inc., 0.210%, 10–27–11 (C)	3,000		3,000
			35,997
Master Note – 0.2%
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (D)	1,165		1,165
Municipal Obligations - Taxable – 1.3%
Los Angeles, CA, Wastewater Sys Sub Rev Bonds, Var Rate Rfdg, Ser 2008-A (GTD by Bank of America, N.A.), 0.100%, 10-3-11 (D)	2,864		2,864
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America, N.A.), 0.180%, 10-3-11 (D)	3,000		3,000
			5,864
TOTAL SHORT-TERM SECURITIES – 8.9%		$	43,026
(Cost: $43,026)
TOTAL INVESTMENT SECURITIES – 98.6%		$	475,341
(Cost: $550,354)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.4%			6,684
NET ASSETS – 100.0%		$	482,025

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Health Care	$	8,132	$	29,047	$	—
Information Technology		4,705		51,009		—
Telecommunication Services		7,863		62,820		—
Other Sectors		—		268,739		—
Total Common Stocks	$	20,700	$	411,615	$	—
Short-Term Securities		—		43,026		—
Total	$	20,700	$	454,641	$	—
Forward Foreign Currency Contracts	$	—	$	3,266	$	—

During the period ended September 30, 2011, securities totaling $263,034 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.

The following forward foreign currency contracts were outstanding at September 30, 2011:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Australian Dollar	Goldman Sachs International		24,500		11-10-11	$	1,605	$	—
Sell	Euro	Goldman Sachs International		36,200		6-19-12		1,661		—
							$	3,266	$	—

(A) No dividends were paid during the preceding 12 months.

(B) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $2,522 or 0.5% of net assets.

(C) Rate shown is the yield to maturity at September 30, 2011.

(D) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	550,744
Gross unrealized appreciation		9,263
Gross unrealized depreciation		(84,666	)
Net unrealized depreciation	$	(75,403	)

SCHEDULE OF INVESTMENTS International Growth (in  thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Australia – 5.7%
Coca-Cola Amatil Limited		318	$	3,639
David Jones Limited		847		2,435
Orica Limited		147		3,297
Telstra Corporation Limited		2,603		7,754
				17,125
Canada – 1.0%
Canadian Natural Resources Limited		107		3,145
China – 6.2%
China Unicom Limited		3,092		6,286
SINA Corporation (A)		36		2,556
Tingyi Holding Corp.		1,440		3,530
Wynn Macau, Limited		2,700		6,387
				18,759
France – 8.6%
Danone		94		5,769
LVMH Moet Hennessy - Louis Vuitton		32		4,274
Pinault-Printemps-Redoute S.A.		44		5,704
Safran		100		3,060
Vinci		166		7,112
				25,919
Germany – 10.6%
adidas AG		109		6,639
Bayer AG		106		5,825
Fresenius SE & Co. KGaA		87		7,715
Linde AG		40		5,294
MTU Aero Engines Holding AG		55		3,432
Siemens AG		31		2,794
				31,699
Hong Kong – 1.4%
Yue Yuen Industrial (Holdings) Limited		1,653		4,275
India – 0.8%
Infrastructure Development Finance Company Limited		653		1,466
Infrastructure Development Finance Company Limited (B)		453		1,017
				2,483
Israel – 1.5%
Teva Pharmaceutical Industries Limited, ADR		119		4,425
Italy – 1.5%
Saipem S.p.A.		127		4,459
Japan – 11.5%
Canon Inc.		81		3,664
Honda Motor Co., Ltd.		105		3,082
JGC Corporation		149		3,644
KONAMI Corporation		152		5,110
Mitsubishi Corporation		256		5,206
Mitsubishi Electric Corporation		365		3,233
Mitsui & Co., Ltd.		330		4,780
Nissin Kogyo Co., Ltd.		270		4,040
ORIX Corporation		21		1,631
				34,390

Luxembourg – 1.3%
Tenaris S.A.		317		3,993
Mexico – 1.5%
Grupo Modelo, S.A.B. de C.V., Series C		810		4,580
Netherlands – 2.9%
ASML Holding N.V., Ordinary Shares		82		2,843
Unilever N.V., Certicaaten Van Aandelen		185		5,848
				8,691
Norway – 1.4%
Seadrill Limited		157		4,323
Sweden – 2.9%
Tele2 AB		253		4,581
Telefonaktiebolaget LM Ericsson, B Shares		431		4,141
				8,722
Switzerland – 5.9%
ABB Ltd		268		4,579
Credit Suisse Group AG, Registered Shares		111		2,897
Swatch Group Ltd (The), Bearer Shares		7		2,211
Syngenta AG		22		5,756
TEMENOS Group AG (A)		179		2,421
				17,864
United Kingdom – 15.0%
Barclays plc		2,037		4,996
British American Tobacco plc		137		5,783
Diageo plc		356		6,785
Experian plc		454		5,097
GlaxoSmithKline plc		307		6,326
Meggitt plc		707		3,658
Prudential plc		344		2,957
Rio Tinto plc		63		2,802
Virgin Media Inc.		143		3,483
Xstrata plc		220		2,776
				44,663
United States – 8.5%
Apple Inc. (A)		31		11,764
InBev NV		92		4,903
QUALCOMM Incorporated		87		4,249
Schlumberger Limited		75		4,486
				25,402
TOTAL COMMON STOCKS – 88.2%			$	264,917
(Cost: $287,188)
PREFERRED STOCKS – 1.6%
Germany
Volkswagen AG		37	$	4,846
(Cost: $6,882)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 3.0%
Danaher Corporation, 0.120%, 10–7–11 (C)	$	5,000		5,000
Straight-A Funding, LLC (GTD by Federal Financing Bank), 0.130%, 10–18–11 (C)		4,000		4,000
				9,000

Master Note – 1.3%
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (D)	3,760		3,760
Municipal Obligations - Taxable – 3.9%
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.), 0.110%, 10–7–11 (D)	2,000		2,000
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2007B (GTD by Chevron Corporation), 0.100%, 10–3–11 (D)	10,000		10,000
			12,000
TOTAL SHORT-TERM SECURITIES – 8.2%		$	24,760
(Cost: $24,760)
TOTAL INVESTMENT SECURITIES – 98.0%		$	294,523
(Cost: $318,830)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 2.0%			6,055
NET ASSETS – 100.0%		$	300,578

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	3,483	$	39,047	$	—
Consumer Staples		4,580		36,257		—
Energy		7,631		12,775		—
Health Care		4,425		19,866		—
Information Technology		18,569		18,179		—
Other Sectors		—		100,105		—
Total Common Stocks	$	38,688	$	226,229	$	—
Preferred Stocks		—		4,846		—
Short-Term Securities		—		24,760		—
Total	$	38,688	$	255,835	$	—
Forward Foreign Currency Contracts	$	—	$	845	$	—
Liabilities
Swap Agreements	$	—	$	884	$	—

During the period ended September 30, 2011, securities totaling $177,393 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.

The following forward foreign currency contracts were outstanding at September 30, 2011:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Euro	Citibank, N.A.		31,900		3-13-12	$	845	$	—

The following total return swap agreements were outstanding at September 30, 2011:

Counterparty	Notional Amount	Underlying Security	Termination Date		Financing Fee#			Unrealized Depreciation
UBS AG, London	$3,118	Ping An Insurance (Group) Company of China, Ltd.		10-21-11		USD LIBOR + 0.700	%	$	(884	)

# The Portfolio pays the financing fee multiplied by the notional amount each quarter. On the termination date of the swap contracts, the Portfolio will pay/receive the return of the underlying security.

(A) No dividends were paid during the preceding 12 months.

(B) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $1,017 or 0.3% of net assets.

(C) Rate shown is the yield to maturity at September 30, 2011.

(D) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	318,896
Gross unrealized appreciation		12,684
Gross unrealized depreciation		(37,057	)
Net unrealized depreciation	$	(24,373	)

SCHEDULE OF INVESTMENTS Limited-Term Bond (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

CORPORATE DEBT SECURITIES	Principal		Value
Aerospace & Defense – 0.4%
Bombardier Inc.,
7.500%, 3–15–18 (A)	$	750	$	791
Air Freight & Logistics – 0.8%
FedEx Corporation,
7.375%, 1–15–14		1,500		1,698
Airlines – 0.5%
Southwest Airlines Co.,
6.500%, 3–1–12		1,000		1,021
Apparel Retail – 1.1%
Limited Brands, Inc.,
8.500%, 6–15–19		2,000		2,260
Broadcasting – 1.2%
CBS Corporation,
8.200%, 5–15–14		2,200		2,530
Cable & Satellite – 2.0%
DirecTV Holdings LLC and DirecTV Financing Co.,
7.625%, 5–15–16		2,000		2,150
Time Warner Cable Inc.,
3.500%, 2–1–15		2,000		2,081
				4,231
Computer & Electronics Retail – 0.5%
Best Buy Co., Inc.,
6.750%, 7–15–13		1,000		1,073
Construction & Farm Machinery & Heavy Trucks – 1.0%
Caterpillar Inc.,
1.375%, 5–27–14		2,000		2,014
Consumer Finance – 2.1%
American Express Credit Corporation,
2.750%, 9–15–15		2,000		2,011
Capital One Financial Corporation,
2.125%, 7–15–14		1,500		1,486
USAA Capital Corporation,
1.050%, 9–30–14 (A)		1,000		997
				4,494
Data Processing & Outsourced Services – 0.8%
Western Union Company (The),
6.500%, 2–26–14		1,500		1,654
Distillers & Vintners – 0.8%
Diageo Capital plc,
5.750%, 10–23–17		1,500		1,753
Diversified Banks – 4.4%
Bank of New York Mellon Corporation (The),
1.500%, 1–31–14		2,000		2,016
Bank of Nova Scotia (The),
2.375%, 12–17–13		1,500		1,542
Barclays Bank plc,
2.375%, 1–13–14		1,500		1,468
HSBC Bank plc,
3.100%, 5–24–16 (A)		2,000		1,990
Wells Fargo & Company,
3.676%, 6–15–16 (B)		2,000		2,082
				9,098

Diversified Capital Markets – 0.5%
Deutsche Bank AG,
3.250%, 1–11–16	1,000	981
Diversified Chemicals – 2.0%
Dow Chemical Company, (The),
5.900%, 2–15–15	2,000	2,209
E.I. du Pont de Nemours and Company,
2.750%, 4–1–16	2,000	2,101
		4,310
Diversified Metals & Mining – 2.8%
BHP Billiton plc and BHP Billiton Limited,
5.250%, 12–15–15	2,000	2,292
Freeport-McMoRan Copper & Gold Inc.,
8.375%, 4–1–17	2,000	2,145
Rio Tinto Finance (USA) Limited,
2.250%, 9–20–16	1,500	1,498
		5,935
Drug Retail – 0.8%
CVS Caremark Corporation,
3.250%, 5–18–15	1,675	1,764
Electric Utilities – 3.9%
Carolina Power & Light Company,
5.125%, 9–15–13	2,000	2,160
Great Plains Energy Incorporated,
2.750%, 8–15–13	2,000	2,035
National Rural Utilities Cooperative Finance Corporation:
1.125%, 11–1–13	1,000	1,002
1.900%, 11–1–15	1,000	1,003
Oncor Electric Delivery Company LLC:
6.375%, 5–1–12	1,000	1,030
5.950%, 9–1–13	1,000	1,077
		8,307
Electronic Manufacturing Services – 1.0%
Jabil Circuit, Inc.,
7.750%, 7–15–16	2,000	2,205
Environmental & Facilities Services – 3.0%
Allied Waste North America, Inc.,
6.875%, 6–1–17	2,000	2,138
Waste Management, Inc.:
6.375%, 11–15–12	2,050	2,171
6.100%, 3–15–18	2,000	2,308
		6,617
Health Care Equipment – 1.0%
Stryker Corporation,
2.000%, 9–30–16	2,000	2,011
Health Care Services – 1.8%
Medco Health Solutions, Inc.,
2.750%, 9–15–15	2,000	2,012
Quest Diagnostics Incorporated,
3.200%, 4–1–16	2,000	2,077
		4,089
Health Care Supplies – 0.5%
DENTSPLY International Inc.,
2.750%, 8–15–16	1,000	1,008
Industrial Conglomerates – 1.4%
General Electric Capital Corporation,
2.950%, 5–9–16	3,000	3,009
Industrial Machinery – 0.3%
Illinois Tool Works Inc.,
5.150%, 4–1–14	540	591

Integrated Telecommunication Services – 2.1%
AT&T Inc.,
2.400%, 8–15–16	1,000	1,010
Deutsche Telekom International Finance B.V.,
4.875%, 7–8–14	1,000	1,067
Verizon Communications Inc.,
3.000%, 4–1–16	2,250	2,354
		4,431
Investment Banking & Brokerage – 2.0%
Goldman Sachs Group, Inc. (The),
3.625%, 2–7–16	2,000	1,948
Morgan Stanley,
4.100%, 1–26–15	2,500	2,385
		4,333
Life & Health Insurance – 1.2%
MetLife Global Funding I,
2.500%, 9–29–15 (A)	1,500	1,513
Prudential Financial, Inc.,
4.750%, 9–17–15	1,000	1,044
		2,557
Movies & Entertainment – 0.8%
Viacom Inc.,
4.375%, 9–15–14	1,600	1,710
Oil & Gas Equipment & Services – 0.9%
Schlumberger Investment SA (GTD by Schlumberger Limited),
1.950%, 9–14–16 (A)	2,000	1,990
Oil & Gas Exploration & Production – 1.0%
EOG Resources, Inc.,
2.500%, 2–1–16	2,000	2,043
Oil & Gas Storage & Transportation – 1.8%
DCP Midstream Operating, LP,
3.250%, 10–1–15	1,500	1,507
Sunoco Logistics Partners Operations L.P.,
8.750%, 2–15–14	2,000	2,263
		3,770
Other Diversified Financial Services – 3.4%
Bank of America Corporation,
3.625%, 3–17–16	2,000	1,822
ING Bank NV,
2.375%, 6–9–14 (A)	2,500	2,425
JPMorgan Chase & Co.,
3.150%, 7–5–16	3,000	2,982
		7,229
Packaged Foods & Meats – 2.1%
General Mills, Inc.,
5.250%, 8–15–13	2,000	2,157
Kraft Foods Inc.,
4.125%, 2–9–16	2,000	2,131
		4,288
Pharmaceuticals – 0.7%
Roche Holdings Ltd,
5.000%, 3–1–14 (A)	1,270	1,397
Property & Casualty Insurance – 2.0%
Berkshire Hathaway Inc.,
2.200%, 8–15–16	2,000	2,014
Fidelity National Financial, Inc.,
6.600%, 5–15–17	2,000	2,109
		4,123
Regional Banks – 1.0%
PNC Funding Corp,
4.250%, 9–21–15	2,000	2,161
Restaurants – 0.3%
YUM! Brands, Inc.,
4.250%, 9–15–15	555	596
Semiconductors – 0.8%
Broadcom Corporation,
1.500%, 11–1–13 (A)	1,669	1,672
Specialty Chemicals – 1.1%
Lubrizol Corporation (The),
5.500%, 10–1–14	2,000	2,245

Systems Software – 1.1%
CA, Inc.,
6.125%, 12–1–14	2,000		2,225
Wireless Telecommunication Service – 1.9%
America Movil, S.A.B. de C.V.:
3.625%, 3–30–15	2,000		2,070
2.375%, 9–8–16	1,000		967
American Tower Corporation,
4.625%, 4–1–15	1,000		1,061
			4,098
TOTAL CORPORATE DEBT SECURITIES – 58.8%		$	124,312
(Cost: $124,173)
MUNICIPAL BONDS – TAXABLE
Massachusetts – 0.7%
MA Hlth and Edu Fac Auth, Rev Bonds, Harvard Univ Issue, Ser 2008C,
5.260%, 10–1–18	1,250		1,471
North Carolina – 0.7%
Charlotte-Mecklenburg Hosp Auth, Spl Oblig Bonds, Ser 2003,
5.000%, 8–1–13	1,380		1,436
Rhode Island – 1.0%
Providence Hlth & Svc Oblig Group, Direct Oblig Notes, Ser 2009A,
5.050%, 10–1–14	2,000		2,193
TOTAL MUNICIPAL BONDS – TAXABLE – 2.4%		$	5,100
(Cost: $5,002)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Agency Obligations – 7.3%
Federal Home Loan Bank:
1.750%, 9–22–14	3,000		3,019
1.750%, 9–11–15	2,000		2,061
3.500%, 3–22–16	2,000		2,089
Federal National Mortgage Association:
1.150%, 4–14–14	3,000		3,001
2.375%, 7–28–15	2,000		2,106
1.725%, 9–14–15	2,000		2,020
2.000%, 12–30–15	1,000		1,038
			15,334
Mortgage-Backed Obligations – 16.1%
Federal Home Loan Mortgage Corporation Fixed Rate Participation Certificates:
4.500%, 10–1–20	1,402		1,498
5.500%, 12–1–24	3,576		3,876
Federal National Mortgage Association Agency REMIC/CMO:
3.000%, 3–15–25	1,847		1,923
4.000%, 4–15–25	2,645		2,790
4.000%, 5–25–39	1,177		1,253
3.000%, 11–25–39	1,648		1,706
4.000%, 11–25–39	2,558		2,701
4.750%, 12–15–40	2,342		2,548
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
4.000%, 8–1–18	3,366		3,587
5.000%, 12–1–19	1,014		1,098
5.500%, 10–1–21	3,392		3,690
5.500%, 11–1–22	1,303		1,417
5.000%, 4–1–24	983		1,072
5.000%, 9–1–33	1,904		2,057
Government National Mortgage Association Agency REMIC/CMO,
4.000%, 10–16–32	2,764		2,886
			34,102
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 23.4%		$	49,436
(Cost: $48,717)

UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 12.7%
United States Treasury Notes:
2.375%, 8–31–14	5,000		5,283
1.250%, 8–31–15	5,000		5,119
1.750%, 5–31–16	6,000		6,244
1.500%, 7–31–16	5,000		5,138
1.500%, 8–31–18	5,000		5,030
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 12.7%		$	26,814
(Cost: $26,242)
SHORT-TERM SECURITIES
Master Note – 2.0%
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (C)	4,184		4,184
Municipal Obligations – Taxable – 0.3%
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York (The)),
0.120%, 10–3–11 (C)	732		732
TOTAL SHORT-TERM SECURITIES – 2.3%		$	4,916
(Cost: $4,916)
TOTAL INVESTMENT SECURITIES – 99.6%		$	210,578
(Cost: $209,050)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4%			822
NET ASSETS – 100.0%		$	211,400

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following tables summarize the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Corporate Debt Securities	$	—	$	124,312	$	—
Municipal Bonds		—		5,100		—
United States Government Agency Obligations		—		49,436		—
United States Government Obligations		—		26,814		—
Short-Term Securities		—		4,916		—
Total	$	—	$	210,578	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $12,775 or 6.0% of net assets.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(C) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

REMIC = Real Estate Mortgage Investment Conduit

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	209,050
Gross unrealized appreciation		2,390
Gross unrealized depreciation		(862	)
Net unrealized appreciation	$	1,528

SCHEDULE OF INVESTMENTS
Micro Cap Growth (in thousands)	SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Advertising - 2.5%
interclick, Inc. (A)		56	$	309
MDC Partners Inc., Class A		37		536
ReachLocal, Inc. (A)		13		145
				990
Air Freight & Logistics – 0.7%
Pacer International, Inc. (A)		77		288
Apparel Retail – 1.4%
bebe stores, inc.		59		393
Francesca’s Holdings Corporation (A)		8		163
				556
Application Software – 5.9%
Callidus Software Inc. (A)		129		596
ClickSoftware Technologies Ltd.		23		178
Kenexa Corporation (A)		12		192
NetScout Systems, Inc. (A)		37		424
RealPage, Inc. (A)		30		611
Tangoe, Inc. (A)		30		339
				2,340
Biotechnology – 3.3%
Achillion Pharmaceuticals, Inc. (A)		77		363
ArQule, Inc. (A)		31		157
Astex Pharmaceuticals, Inc. (A)		105		202
Idenix Pharmaceuticals, Inc. (A)		52		259
SciClone Pharmaceuticals, Inc. (A)		84		320
				1,301
Catalog Retail – 0.5%
ValueVision Media, Inc. (A)		90		212
Communications Equipment – 3.4%
Digi International Inc. (A)		27		297
Ixia (A)		35		268
Meru Networks, Inc. (A)		13		108
Procera Networks, Inc. (A)		73		698
				1,371
Computer Hardware – 1.0%
Silicon Graphics, Inc. (A)		33		396
Computer Storage & Peripherals – 1.6%
OCZ Technology Group, Inc. (A)		135		653
Construction & Farm Machinery & Heavy Trucks – 4.9%
Commercial Vehicle Group, Inc. (A)		34		221
Twin Disc, Incorporated		11		291
Wabash National Corporation (A)		59		283
Westport Innovations Inc. (A)		40		1,157
				1,952
Consumer Electronics – 1.1%
SGOCO Technology Ltd. (A)		51		130
Skullcandy, Inc. (A)		23		322
				452
Distillers & Vintners – 0.1%
China New Borun Corporation, ADR (A)		15		50

Electronic Components – 0.4%
BCD Semiconductor Manufacturing Limited, ADR (A)	32	158
Electronic Equipment & Instruments – 1.3%
FARO Technologies, Inc. (A)	17	530
Electronic Manufacturing Services – 1.8%
Fabrinet (A)	24	439
Maxwell Technologies, Inc. (A)	15	271
		710
Food Distributors – 0.8%
Chefs’ Warehouse Holdings, LLC (The) (A)	26	309
Food Retail – 0.8%
Fresh Market, Inc. (The) (A)	8	305
General Merchandise Stores – 1.1%
Gordmans Stores, Inc. (A)	36	429
Health Care Equipment – 4.0%
ABIOMED, Inc. (A)	36	393
Spectranetics Corporation (The) (A)	106	758
Synovis Life Technologies, Inc. (A)	29	476
		1,627
Health Care Services – 1.3%
Epocrates, Inc. (A)	26	233
ExamWorks Group, Inc. (A)	29	292
		525
Health Care Supplies – 3.9%
Quidel Corporation (A)	59	972
Rochester Medical Corporation (A)	24	186
Synergetics USA, Inc. (A)	72	389
		1,547
Health Care Technology – 0.3%
HealthStream, Inc. (A)	9	113
Human Resource & Employment Services – 1.1%
On Assignment, Inc. (A)	61	431
Internet Software & Services – 12.8%
Constant Contact, Inc. (A)	38	659
Envestnet, Inc. (A)	40	397
IntraLinks Holdings, Inc. (A)	43	325
Keynote Systems, Inc.	30	632
KIT digital, Inc. (A)	98	821
Liquidity Services, Inc. (A)	17	542
Responsys, Inc. (A)	9	93
SciQuest, Inc. (A)	29	426
SPS Commerce, Inc. (A)	49	795
Vocus, Inc. (A)	10	168
Website Pros, Inc. (A)	33	232
		5,090
IT Consulting & Other Services – 2.2%
InterXion Holding N.V. (A)	18	215
ServiceSource International, LLC (A)	27	354
Virtusa Corporation (A)	23	306
		875
Managed Health Care – 0.7%
Molina Healthcare, Inc. (A)	19	286

Movies & Entertainment – 1.6%
Rentrak Corporation (A)	51	636
Oil & Gas Drilling – 1.3%
Pioneer Drilling Company (A)	64	459
Union Drilling, Inc. (A)	9	40
		499
Oil & Gas Equipment & Services – 3.4%
Basic Energy Services, Inc. (A)	37	528
Natural Gas Services Group, Inc. (A)	22	280
RigNet, Inc. (A)	35	568
		1,376
Oil & Gas Exploration & Production – 1.2%
Callon Petroleum Company (A)	78	300
Triangle Petroleum Corporation (A)	50	179
		479
Other Diversified Financial Services – 0.2%
57th Street General Acquisition Corp. (A)	20	79
Pharmaceuticals – 3.4%
BioMimetic Therapeutics, Inc. (A)	42	139
NuPathe Inc. (A)	39	79
Obagi Medical Products, Inc. (A)	58	529
Pacira Pharmaceuticals, Inc. (A)	60	598
		1,345
Research & Consulting Services – 1.8%
Mistras Group, Inc. (A)	36	636
RPX Corporation (A)	5	93
		729
Restaurants – 4.5%
BJ’s Restaurants, Inc. (A)	17	754
Bravo Brio Restaurant Group, Inc. (A)	20	333
Caribou Coffee Company, Inc. (A)	15	178
McCormick & Schmick’s Seafood Restaurants, Inc. (A)	20	139
Red Robin Gourmet Burgers, Inc. (A)	16	376
		1,780
Semiconductor Equipment – 1.2%
Nanometrics Incorporated (A)	34	490
Semiconductors – 3.6%
Diodes Incorporated (A)	14	249
Inphi Corporation (A)	13	117
Mellanox Technologies, Ltd. (A)	17	521
MIPS Technologies, Inc. (A)	28	136
Pericom Semiconductor Corporation (A)	26	190
RDA Microelectronics, Inc., ADR (A)	28	237
		1,450
Specialized Consumer Services – 1.2%
Active Network, Inc., (The) (A)	33	488
Systems Software – 4.6%
Allot Communications Ltd. (A)	27	264
OPNET Technologies, Inc.	28	992
Velti plc (A)	89	587
		1,843
Trading Companies & Distributors – 2.2%
CAI International, Inc. (A)	25	291
DXP Enterprises, Inc. (A)	31	585
		876

Trucking – 3.8%
Celadon Group, Inc.		44		394
Marten Transport, Ltd.		32		558
Roadrunner Transportation Systems, Inc. (A)		32		435
Vitran Corporation Inc., Class A (A)		30		117
				1,504
TOTAL COMMON STOCKS – 92.9%			$	37,070
(Cost: $41,166)
SHORT-TERM SECURITIES – 4.4%	Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (B)	$	1,735	$	1,735
(Cost: $1,735)
TOTAL INVESTMENT SECURITIES – 97.3%			$	38,805
(Cost: $42,901)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 2.7%				1,072
NET ASSETS – 100.0%			$	39,877

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants

would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	37,070	$	—	$	—
Short-Term Securities		—		1,735		—
Total	$	37,070	$	1,735	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) No dividends were paid during the preceding 12 months.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronym is used throughout this schedule:

ADR = American Depositary Receipts

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	43,315
Gross unrealized appreciation		4,493
Gross unrealized depreciation		(9,003	)
Net unrealized depreciation	$	(4,510	)

SCHEDULE OF INVESTMENTS
Mid Cap Growth (in thousands)	SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Air Freight & Logistics - 1.5%
Expeditors International of Washington, Inc.		53	$	2,133
Apparel, Accessories & Luxury Goods – 4.0%
Columbia Sportswear Company		26		1,216
lululemon athletica inc. (A)		27		1,331
Vera Bradley, Inc. (A)		34		1,240
Warnaco Group, Inc. (The) (A)		41		1,870
				5,657
Application Software – 5.1%
ANSYS, Inc. (A)		51		2,506
Solera Holdings, Inc.		56		2,810
SuccessFactors, Inc. (A)		80		1,846
				7,162
Auto Parts & Equipment – 1.8%
BorgWarner Inc. (A)		43		2,597
Automotive Retail – 3.0%
CarMax, Inc. (A)		177		4,219
Biotechnology – 1.1%
Vertex Pharmaceuticals Incorporated (A)		36		1,597
Brewers – 0.7%
Boston Beer Company, Inc. (The), Class A (A)		14		1,036
Communications Equipment – 1.8%
Acme Packet, Inc. (A)		29		1,237
Aruba Networks, Inc. (A)		62		1,304
				2,541
Construction Materials – 1.0%
Martin Marietta Materials, Inc.		22		1,381
Consumer Electronics – 2.5%
Harman International Industries, Incorporated		91		2,603
Skullcandy, Inc. (A)		64		904
				3,507
Consumer Finance – 2.3%
Discover Financial Services		140		3,207
Data Processing & Outsourced Services – 2.2%
Fiserv, Inc. (A)		60		3,031
Department Stores – 1.0%
Nordstrom, Inc.		31		1,432
Distillers & Vintners – 1.9%
Brown-Forman Corporation, Class B		37		2,565
Electrical Components & Equipment – 4.9%
Acuity Brands, Inc.		36		1,301
Polypore International, Inc. (A)		69		3,872
Roper Industries, Inc.		25		1,709
				6,882
Electronic Manufacturing Services – 2.3%
Trimble Navigation Limited (A)		96		3,224

Food Retail – 1.8%
Whole Foods Market, Inc.	39	2,557
Health Care Distributors – 2.3%
Henry Schein, Inc. (A)	53	3,280
Health Care Equipment – 7.0%
Gen-Probe Incorporated (A)	28	1,623
IDEXX Laboratories, Inc. (A)	30	2,079
Intuitive Surgical, Inc. (A)	5	1,694
Varian Medical Systems, Inc. (A)	82	4,281
		9,677
Health Care Services – 1.2%
Accretive Health, Inc. (A)	80	1,699
Health Care Technology – 2.2%
Cerner Corporation (A)	45	3,114
Homefurnishing Retail – 1.6%
Williams-Sonoma, Inc.	71	2,189
Hotels, Resorts & Cruise Lines – 3.2%
Orient-Express Hotels Ltd. (A)	130	900
Wyndham Worldwide Corporation	125	3,549
		4,449
Industrial Gases – 1.1%
Airgas, Inc.	25	1,615
Industrial Machinery – 3.6%
Donaldson Company, Inc.	30	1,655
IDEX Corporation	79	2,474
Kaydon Corporation	34	985
		5,114
Insurance Brokers – 1.3%
Arthur J. Gallagher & Co.	69	1,816
Internet Retail – 0.8%
Netflix, Inc. (A)	9	1,064
Internet Software & Services – 1.4%
DealerTrack Holdings, Inc. (A)	88	1,378
WebMD Health Corp., Class A (A)	21	644
		2,022
Investment Banking & Brokerage – 1.1%
Greenhill & Co., Inc.	53	1,504
IT Consulting & Other Services – 1.7%
Teradata Corporation (A)	45	2,382
Oil & Gas Drilling – 1.4%
Patterson-UTI Energy, Inc.	116	2,005
Oil & Gas Equipment & Services – 2.7%
Dresser-Rand Group Inc. (A)	59	2,396
Dril-Quip, Inc. (A)	26	1,380
		3,776
Oil & Gas Exploration & Production – 2.5%
Continental Resources, Inc. (A)	29	1,415
Ultra Petroleum Corp. (A)	77	2,134
		3,549

Packaged Foods & Meats – 1.6%
Mead Johnson Nutrition Company		32		2,227
Real Estate Management & Development – 1.3%
CB Richard Ellis Group, Inc., Class A (A)		133		1,797
Regional Banks – 5.7%
First Republic Bank (A)		117		2,717
Huntington Bancshares Incorporated		283		1,358
Signature Bank (A)		60		2,875
TCF Financial Corporation		125		1,149
				8,099
Research & Consulting Services – 0.3%
IHS Inc., Class A (A)		6		471
Semiconductor Equipment – 1.9%
Lam Research Corporation (A)		70		2,653
Semiconductors – 5.3%
ARM Holdings plc, ADR		53		1,341
Cavium Inc. (A)		46		1,234
Microchip Technology Incorporated		112		3,498
Semtech Corporation (A)		71		1,500
				7,573
Specialty Stores – 3.5%
PetSmart, Inc.		76		3,229
Ulta Salon, Cosmetics & Fragrance, Inc. (A)		28		1,764
				4,993
Systems Software – 1.5%
Red Hat, Inc. (A)		49		2,071
Trading Companies & Distributors – 3.5%
Fastenal Company		146		4,874
TOTAL COMMON STOCKS – 98.6%			$	138,741
(Cost: $140,767)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
Netflix, Inc.,
Call $205.00, Expires 12–16–11, OTC (Ctrpty: UBS Securities LLC)		44		3
Whole Foods Market, Inc.,
Call $65.00, Expires 11–21–11, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)		166		93
TOTAL PURCHASED OPTIONS – 0.1%			$	96
(Cost: $89)
SHORT-TERM SECURITIES – 1.9%	Principal
Master Note
Toyota Motor Credit Corporation, 0.113%, 10–3–11 (B)	$	2,736	$	2,736
(Cost: $2,736)
TOTAL INVESTMENT SECURITIES – 100.6%			$	141,573
(Cost: $143,592)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.6%)				(856	)
NET ASSETS – 100.0%			$	140,717

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable

inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	138,741	$	—	$	—
Purchased Options		—		96		—
Short-Term Securities		—		2,736		—
Total	$	138,741	$	2,832	$	—
Liabilities
Written Options	$	32	$	230	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
Aruba Networks, Inc.	N/A	Put		255		October 2011	$	20.00	$	63	$	(32	)
Netflix, Inc.	UBS Securities LLC	Put		44		December 2011		140.00		42		(148	)
Noble Energy, Inc.	Deutsche Banc Alex. Brown Inc.	Put		211		November 2011		60.00		48		(43	)
Whole Foods Market, Inc.	Morgan Stanley Smith Barney LLC	Put		258		November 2011		52.50		88		(39	)
									$	241	$	(262	)

(A) No dividends were paid during the preceding 12 months.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

OTC = Over the Counter

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	143,667
Gross unrealized appreciation		15,965
Gross unrealized depreciation		(18,059	)
Net unrealized depreciation	$	(2,094	)

SCHEDULE OF INVESTMENTS Money Market (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

CORPORATE OBLIGATIONS	Principal		Value
Commercial Paper
American Honda Finance Corp. (GTD by Honda Motor Co.):
0.170%, 10–6–11 (A)	$	1,000	$	1,000
0.210%, 12–12–11 (A)		3,500		3,498
Axis Bank Limited (GTD by Bank of America, N.A.),
0.370%, 10–3–11 (A)		2,100		2,100
Baxter International Inc.,
0.110%, 10–6–11 (A)		3,020		3,020
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited),
0.130%, 11–15–11 (A)		3,000		2,999
Corporacion Andina de Fomento:
0.190%, 10–17–11 (A)		2,500		2,500
0.170%, 10–26–11 (A)		3,000		2,999
0.250%, 11–21–11 (A)		750		750
0.770%, 12–7–11 (A)		2,000		1,997
0.700%, 5–15–12 (A)		1,800		1,792
E.I. du Pont de Nemours and Company:
0.120%, 10–25–11 (A)		1,828		1,828
0.130%, 10–27–11 (A)		4,000		4,000
0.160%, 12–1–11 (A)		700		700
0.170%, 12–8–11 (A)		4,500		4,498
Hewlett–Packard Company,
0.110%, 10–4–11 (A)		3,000		3,000
PACCAR Financial Corp.,
0.110%, 10–4–11 (A)		2,500		2,500
River Fuel Company #2, Inc. (GTD by Bank of Nova Scotia),
0.200%, 10–31–11 (A)		7,188		7,187
Sonoco Products Co.,
0.310%, 10–3–11 (A)		1,100		1,100
St. Jude Medical, Inc.:
0.190%, 10–11–11 (A)		2,300		2,300
0.180%, 10–13–11 (A)		1,000		1,000
0.210%, 10–27–11 (A)		7,000		6,999
Straight–A Funding, LLC (GTD by Federal Financing Bank):
0.160%, 10–4–11 (A)		3,000		3,000
0.160%, 11–8–11 (A)		6,513		6,512
0.190%, 12–16–11 (A)		764		764
0.190%, 12–19–11 (A)		830		830
0.190%, 12–20–11 (A)		1,000		999
Wisconsin Electric Power Co.,
0.120%, 10–3–11 (A)		7,687		7,687
Total Commercial Paper – 34.4%				77,559
Notes
American Honda Finance Corp. (GTD by Honda Motor Co.):
0.530%, 12–28–11 (B)		2,600		2,602
0.610%, 12–28–11 (B)		1,000		1,000
0.470%, 12–29–11 (B)		1,875		1,875
5.100%, 3–27–12		500		511
Bank of America, N.A.,
0.550%, 10–24–11 (B)		1,300		1,300
BellSouth Corporation (GTD by AT&T Inc.),
4.370%, 4–26–12 (C)		6,700		6,836
Citigroup Funding Inc. (GTD by Federal Deposit Insurance Corporation),
0.670%, 10–3–11 (B)(D)		3,000		3,006
Citigroup Inc.:
0.470%, 12–16–11 (B)		541		540
6.000%, 2–21–12		2,389		2,438
5.250%, 2–27–12		955		972

Eli Lilly and Company,
3.550%, 3–6–12	300		304
General Electric Capital Corporation:
0.480%, 11–21–11 (C)	930		930
5.875%, 2–15–12	1,100		1,122
3.500%, 8–13–12	2,800		2,871
5.250%, 10–19–12	5,700		5,959
IBM International Group Capital LLC (GTD by International Business Machines Corporation),
0.590%, 11–28–11 (B)	1,500		1,500
Kimberly–Clark Corporation,
4.428%, 12–19–11	2,000		2,016
Rabobank Nederland:
0.450%, 10–26–11 (B)	2,000		2,001
0.430%, 11–16–11 (B)	1,000		1,000
The Academy of the New Church, Var Rate Demand Bonds, Ser 2008 (GTD by Wachovia Bank, N.A.),
0.220%, 10–7–11 (B)	2,465		2,465
Toyota Motor Credit Corporation,
0.330%, 10–3–11 (B)	4,000		4,000
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank, N.A.),
0.220%, 10–7–11 (B)	1,335		1,335
Wachovia Corporation,
0.480%, 12–1–11 (B)	2,400		2,401
Total Notes – 21.8%			48,984
TOTAL CORPORATE OBLIGATIONS – 56.2%		$	126,543
(Cost: $126,543)
MUNICIPAL OBLIGATIONS
Arizona – 0.3%
The Indl Dev Auth of Phoenix, AZ, Adj Mode Multifam Hsng Rev Rfdg Bonds (Paradise Lakes Apt Proj), Ser 2007A (GTD by Wachovia Bank, N.A.),
0.140%, 10–7–11 (B)	579		579
California – 10.8%
CA Hlth Fac Fin Auth, Var Rate Hosp Rev Bonds (Adventist Hlth Sys/West), Ser 1998B (GTD by Bank of America, N.A.),
0.180%, 10–3–11 (B)	1,900		1,900
CA Muni Fin Auth, Recovery Zone Fac Bonds (Chevron U.S.A. Inc. Proj), Ser 2010C (GTD by Chevron Corporation),
0.090%, 10–3–11 (B)	2,000		2,000
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co), Ser C (GTD by JPMorgan Chase Bank, N.A.),
0.120%, 10–3–11 (B)	4,250		4,250
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (The Crossings Sr Apts/Phase I), Ser 2005 I (GTD by United States Government),
0.160%, 10–7–11 (B)	5,200		5,200
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by United States Government),
0.150%, 10–7–11 (B)	2,210		2,210

City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.):
0.110%, 10–7–11 (B)	2,895	2,895
0.110%, 10–7–11 (B)	2,715	2,715
Fremont (Alameda Cnty, CA), Fremont Public Fin Auth (GTD by U.S. Bank, N.A.),
0.140%, 10–7–11 (B)	1,950	1,950
Santa Clara Cnty Fin Auth, Var Rate Rev Bonds, El Camino Hosp, Ser 2009A (GTD by Wells Fargo Bank, N.A.),
0.120%, 10–7–11 (B)	1,085	1,085
		24,205
Colorado – 4.9%
Castle Rock, CO, Cert of Part, Ser 2008 (GTD by Wells Fargo Bank, N.A.),
0.220%, 10–7–11 (B)	4,520	4,520
CO Hsng and Fin Auth, Multifam Hsng Rev Bonds (Greentree Vlg Apts Proj), Ser 2007 (GTD by U.S. Bank, N.A.),
0.170%, 10–7–11 (B)	1,900	1,900
Exempla Gen Impvt Dist of Lafayette, CO, Spl Impvt Dist No. 02–01, Spl Assmt Rev Rfdg and Impvt Bonds, Ser 2002 (GTD by Wells Fargo Bank, N.A.),
0.150%, 10–7–11 (B)	250	250
Harvest Junction Metro Dist (Longmont, CO), Ltd Tax GO Var Rate Bonds, Ser 2006 (GTD by U.S Bank, N.A.),
0.220%, 10–7–11 (B)	1,105	1,105
Sheridan Redev Agy CO Tax, Var Rfdg S Santa Fe Dr Corridor Redev PJ–Ser A–1 (GTD by JPMorgan Chase & Co.):
0.220%, 10–7–11 (B)	1,500	1,500
0.450%, 10–7–11 (B)	550	550
Westminster Econ Dev Auth, Tax Incr Rev Rfdg Bonds (Mandalay Gardens Urban Renewal Proj), Ser 2009 (GTD by U.S. Bank, N.A.),
0.220%, 10–7–11 (B)	1,145	1,145
		10,970
Florida – 1.1%
Pinellas Cnty Edu Fac Auth, Rfdg Prog Rev Bonds (Pooled Independent Higher Edu Institutions Loan Prog), Ser 1985 (GTD by Wachovia Bank, N.A.),
0.200%, 10–5–11	2,500	2,500
Georgia – 4.5%
Dev Auth of Talbot Cnty, Incr Indl Dev Rev Bonds (Junction City Mining Co, LLC Proj), Ser 2000 (GTD by Wachovia Bank, N.A.),
0.270%, 10–7–11 (B)	205	205
Muni Elec Auth of GA (GTD by Wells Fargo Bank, N.A.),
0.220%, 10–17–11	10,000	10,000
		10,205
Illinois – 1.0%
Elmurst, IL, Adj Demand Rev Bonds, Joint Comsn on Accrediation of Hlthcare Org, Ser 1988 (GTD by JPMorgan Chase Bank, N.A.),
0.150%, 10–7–11 (B)	835	835
IL Fin Auth, Var Rate Demand Rev Bonds (The Carle Fndtn), Ser 2009 (GTD by JPMorgan Chase Bank, N.A.),
0.080%, 10–7–11 (B)	1,409	1,409
		2,244

Louisiana – 2.3%
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2009A (GTD by Air Products and Chemicals, Inc.),
0.110%, 10–7–11 (B)	2,350	2,350
LA Pub Fac Auth, Var Rate Rev Rfdg Bonds (CHRISTUS Hlth), Ser 2009B–1 (GTD by Bank of New York (The)),
0.120%, 10–7–11 (B)	1,750	1,750
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp Proj), Ser 1996 (GTD by Exxon Mobil Corporation),
0.100%, 10–3–11 (B)	1,000	1,000
		5,100
Maryland – 0.4%
MD Hlth and Higher Edu Fac Auth Rev Bonds, Anne Arundel Hlth Sys Issue, Ser 2009A (GTD by Toronto Dominion Bank), 0.210%, 10–7–11 (B)	915	915
Massachusetts – 1.3%
MA Hlth and Edu Fac Auth, Var Rate Rev Bonds, Dana–Farber Cancer Institute Issue, Ser 2008L–1 (GTD by JPMorgan Chase Bank, N.A.),
0.120%, 10–7–11 (B)	3,000	3,000
Mississippi – 5.9%
MS Business Fin Corp, Adj Mode Indl Dev Rev Bonds (Belk, Inc. Proj), Ser 2005 (GTD by Wachovia Bank, N.A.),
0.220%, 10–7–11 (B)	3,936	3,936
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2007D (GTD by Chevron Corporation),
0.100%, 10–3–11 (B)	7,600	7,600
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2010J (GTD by Chevron Corporation),
0.100%, 10–3–11 (B)	1,750	1,750
		13,286
Missouri – 0.6%
Kansas City, MO, Var Rate Demand Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase & Co.),
0.230%, 10–7–11 (B)	1,370	1,370
New York – 0.9%
NY Hsng Fin Agy, Related–Caroline Apt Hsng Rev Bonds, Ser 2008A (GTD by Federal Home Loan Mortgage Corporation),
0.160%, 10–7–11 (B)	900	900
NYC Hsng Dev Corp, Multi–Fam Mtg Rev Bonds (Target V Apt), Ser 2006 A (GTD by Citibank, N.A.),
0.170%, 10–7–11 (B)	1,200	1,200
		2,100
Oregon – 0.3%
Hosp Fac Auth of Clackamas Cnty, OR, Rev Bonds (Legacy Hlth Sys), Ser 2008B (GTD by U.S. Bank, N.A.),
0.130%, 10–7–11 (B)	700	700
Texas – 3.9%
Harris Cnty Hosp Dist, Sr Lien Rfdg Rev Bonds, Ser 2010 (GTD by JPMorgan Chase & Co.),
0.160%, 10–7–11 (B)	2,960	2,960

Port Arthur Navigation Dist Indl Dev Corp, Exempt Fac Var Rate Rev Bonds (Air Products Proj), Ser 2005 (GTD by Air Products and Chemicals, Inc.),
0.120%, 10–3–11 (B)	2,250		2,250
Port Arthur Navigation Dist Indl Dev Corp, Exempt Fac Var Rate Rev Bonds (Air Products Proj), Ser 2006 (GTD by Air Products and Chemicals, Inc.),
0.120%, 10–3–11 (B)	3,585		3,585
			8,795
Wisconsin – 1.5%
WI Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Wausau Hosp, Inc.), Ser 1998B (GTD by JPMorgan Chase Bank, N.A.),
0.120%, 10–7–11 (B)	600		600
WI Hlth and Edu Fac Auth, Var Rate Rev Bonds (Aurora Hlth Care Inc.), Ser 2008–A (GTD by U.S. Bank, N.A.),
0.120%, 10–7–11 (B)	2,700		2,700
			3,300
Wyoming – 0.5%
Uinta Cnty, WY, Pollutn Ctl Rfdg Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 1992 (GTD by Chevron Corporation),
0.100%, 10–3–11 (B)	1,156		1,156
TOTAL MUNICIPAL OBLIGATIONS – 40.2%		$	90,425
(Cost: $90,425)
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
United States Government Agency Obligations
Overseas Private Investment Corporation (GTD by United States Government):
0.080%, 10–7–11 (B)	2,500		2,500
0.080%, 10–7–11 (B)	1,970		1,969
0.080%, 10–7–11 (B)	1,622		1,622
Totem Ocean Trailer Express, Inc. (GTD by United States Government),
0.600%, 10–17–11 (B)	1,626		1,626
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 3.4%		$	7,717
(Cost: $7,717)
TOTAL INVESTMENT SECURITIES – 99.8%		$	224,685
(Cost: $224,685)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%			496
NET ASSETS – 100.0%		$	225,181

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Corporate Obligations	$	—	$	126,543	$	—
Municipal Obligations		—		90,425		—
United States Government Agency Obligations		—		7,717		—
Total	$	—	$	224,685	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) Rate shown is the yield to maturity at September 30, 2011.

(B) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets or the next demand date.

(C) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011.

(D) Security is fully guaranteed by the Federal Deposit Insurance Corporation for both interest and principal under the Debt Guarantee Program of the Temporary Liquidity Guarantee Program. The guarantee expires at the earlier of the security’s maturity date or December 31, 2012.

The following acronym is used throughout this schedule:

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	224,685
Gross unrealized appreciation		—
Gross unrealized depreciation		—
Net unrealized appreciation	$	—

SCHEDULE OF INVESTMENTS Real Estate Securities (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Diversified REITs – 4.7%
Cousins Properties Incorporated		18	$	104
PS Business Parks, Inc.		8		416
Retail Opportunity Investments Corp.		20		224
Vornado Realty Trust		7		522
Washington Real Estate Investment Trust		12		344
				1,610
Homebuilding – 0.3%
Lennar Corporation		8		110
Hotels, Resorts & Cruise Lines – 1.0%
Starwood Hotels & Resorts Worldwide, Inc.		9		345
Industrial REITs – 4.3%
DuPont Fabros Technology, Inc.		8		161
EastGroup Properties, Inc.		4		145
ProLogis		49		1,185
				1,491
Mortgage REITs – 0.2%
Colony Financial, Inc.		6		80
Office REITs – 16.0%
Alexandria Real Estate Equities, Inc.		13		774
BioMed Realty Trust, Inc.		38		633
Boston Properties, Inc.		17		1,532
Digital Realty Trust, Inc.		16		882
Douglas Emmett, Inc.		13		218
Kilroy Realty Corporation		24		761
SL Green Realty Corp.		12		709
				5,509
Real Estate Management & Development – 0.9%
CB Richard Ellis Group, Inc., Class A (A)		22		297
Real Estate Operating Companies – 3.0%
Brookfield Properties Corporation		62		857
Forest City Enterprises, Inc., Class A (A)		16		168
				1,025
Residential REITs – 20.9%
American Campus Communities, Inc.		17		621
Associated Estates Realty Corporation		30		466
AvalonBay Communities, Inc.		6		696
Boardwalk Real Estate Investment Trust (B)		5		230
BRE Properties, Inc., Class A		7		275
Camden Property Trust		17		928
Equity Lifestyle Properties, Inc.		1		75
Equity Residential		38		1,956
Essex Property Trust, Inc.		4		523
Home Properties, Inc.		15		846
Mid-America Apartment Communities, Inc.		10		614
				7,230

Retail REITs – 21.2%
Acadia Realty Trust		30		557
Agree Realty Corporation		15		327
CBL & Associates Properties, Inc.		24		276
Cedar Shopping Centers, Inc.		41		128
DDR Corp.		48		525
Equity One, Inc.		8		124
General Growth Properties, Inc.		25		303
Macerich Company (The)		22		946
Primaris Retail Real Estate Investment Trust (B)		11		213
Regency Centers Corporation		2		64
Simon Property Group, Inc.		29		3,194
Taubman Centers, Inc.		4		206
Weingarten Realty Investors		22		468
				7,331
Specialized REITs – 19.8%
Entertainment Properties Trust		4		140
Extra Space Storage Inc.		11		197
HCP, Inc.		39		1,368
Health Care REIT, Inc.		25		1,179
Hersha Hospitality Trust		76		264
Host Hotels & Resorts, Inc.		68		744
LaSalle Hotel Properties		13		248
LTC Properties, Inc.		6		152
Public Storage, Inc.		8		913
Sabra Health Care REIT, Inc.		18		168
Sovran Self Storage, Inc.		9		323
Sunstone Hotel Investors, Inc. (A)		25		141
Ventas, Inc.		20		1,000
				6,837
Wireless Telecommunication Service – 1.8%
American Tower Corporation, Class A (A)		6		339
Crown Castle International Corp. (A)		6		260
				599
TOTAL COMMON STOCKS – 94.1%			$	32,464
(Cost: $34,319)
INVESTMENT FUNDS – 0.1%
Registered Investment Companies
ProShares UltraShort Real Estate		3	$	49
(Cost: $44)
PREFERRED STOCKS
Diversified REITs – 0.5%
CapLease, Inc., 8.125% Series A Cumulative		8		180
Office REITs – 0.9%
Digital Realty Trust, Inc., Preferred 7% (A)		12		299
Specialized REITs – 0.6%
Pebblebrook Hotel Trust, Ser B Preferred 8%		9		221
TOTAL PREFERRED STOCKS – 2.0%			$	700
(Cost: $699)
SHORT-TERM SECURITIES – 4.0%	Principal
Master Note
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (C)	$	1,391	$	1,391
(Cost: $1,391)
TOTAL INVESTMENT SECURITIES – 100.2%			$	34,604
(Cost: $36,453)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2%)		(66	)
NET ASSETS – 100.0%	$	34,538

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	32,464	$	—	$	—
Investment Funds		49		—		—
Preferred Stocks		700		—		—
Short-Term Securities		—		1,391		—
Total	$	33,213	$	1,391	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) No dividends were paid during the preceding 12 months.

(B) Listed on an exchange outside the United States.

(C) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronym is used throughout this schedule:

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	36,645
Gross unrealized appreciation		1,988
Gross unrealized depreciation		(4,029	)
Net unrealized depreciation	$	(2,041	)

SCHEDULE OF INVESTMENTS Science and Technology (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Agricultural Products – 5.2%
Archer Daniels Midland Company		267	$	6,623
Bunge Limited		102		5,946
Darling International Inc. (A)		125		1,578
				14,147
Application Software – 13.6%
ACI Worldwide, Inc. (A)		522		14,373
Aspen Technology, Inc. (A)		1,261		19,250
Intuit Inc.		64		3,050
S1 Corporation (A)		34		308
				36,981
Biotechnology – 5.6%
Isis Pharmaceuticals, Inc. (A)		155		1,053
Vertex Pharmaceuticals Incorporated (A)		325		14,453
				15,506
Communications Equipment – 0.1%
Brocade Communications Systems, Inc. (A)		57		244
Computer Hardware – 6.9%
Apple Inc. (A)		49		18,640
Construction & Engineering – 1.0%
Abengoa, S.A. (B)		79		1,673
Insituform Technologies, Inc., Class A (A)		102		1,182
				2,855
Consumer Finance – 0.4%
NetSpend Holdings, Inc. (A)		207		1,065
Data Processing & Outsourced Services – 15.9%
Alliance Data Systems Corporation (A)		260		24,120
Euronet Worldwide, Inc. (A)		449		7,068
VeriFone Holdings, Inc. (A)		186		6,507
Visa Inc., Class A		49		4,183
WNS (Holdings) Limited, ADR (A)		144		1,723
				43,601
Diversified Support Services – 0.3%
EnerNOC, Inc. (A)		98		883
Electronic Components – 3.4%
Corning Incorporated		444		5,483
Power-One, Inc. (A)		860		3,869
				9,352
Electronic Equipment & Instruments – 3.0%
Elster Group SE, ADR (A)		189		2,829
Ingenico S.A. (B)		58		2,154
Itron, Inc. (A)		104		3,080
				8,063
Health Care Facilities – 1.8%
Tenet Healthcare Corporation (A)		1,182		4,881
Health Care Services – 0.8%
Fleury S.A. (B)		46		530
Fleury S.A. (B)(C)		131		1,520
				2,050
Health Care Technology – 2.4%
Cerner Corporation (A)		95		6,482
Industrial Machinery – 4.1%
ESCO Technologies Inc.		256		6,533
Pentair, Inc.		139		4,443
				10,976

Integrated Telecommunication Services – 0.6%
CenturyLink, Inc.		51		1,679
Internet Software & Services – 8.0%
21Vianet Group, Inc., ADR (A)		131		1,303
eBay Inc. (A)		232		6,839
Google Inc., Class A (A)		17		8,487
SINA Corporation (A)		73		5,199
				21,828
IT Consulting & Other Services – 3.0%
Acxiom Corporation (A)		582		6,196
iGate Corporation		160		1,851
				8,047
Life & Health Insurance – 0.9%
Qualicorp S.A. (A)(B)		48		355
Qualicorp S.A. (A)(B)(C)		270		2,014
				2,369
Managed Health Care – 1.1%
Amil Participacoes S.A. (B)		332		2,943
Office Electronics – 0.4%
Xerox Corporation		171		1,189
Semiconductor Equipment – 1.1%
Nanometrics Incorporated (A)		53		771
Photronics, Inc. (A)		419		2,088
				2,859
Semiconductors – 13.1%
Cree, Inc. (A)		316		8,220
First Solar, Inc. (A)		102		6,441
Micron Technology, Inc. (A)		1,563		7,879
PMC-Sierra, Inc. (A)		512		3,059
Samsung Electronics Co., Ltd. (B)		14		9,985
				35,584
Systems Software – 1.1%
Oracle Corporation		83		2,382
Velti plc (A)		82		545
				2,927
TOTAL COMMON STOCKS – 93.8%			$	255,151
(Cost: $261,813)
CORPORATE DEBT SECURITIES – 0.2%	Principal
Semiconductors
JinkoSolar Holding Co., Ltd., Convertible,
4.000%, 5–15–16 (C)	$	2,230	$	594
(Cost: $2,180)
SHORT-TERM SECURITIES
Commercial Paper – 5.4%
Baxter International Inc.,
0.110%, 10–6–11 (D)		5,000		5,000
Danaher Corporation,
0.120%, 10–7–11 (D)		3,000		3,000
Verizon Communications Inc.,
0.310%, 10–4–11 (D)		3,000		3,000
Wisconsin Electric Power Co.,
0.120%, 10–3–11 (D)		3,563		3,563
				14,563
Master Note – 0.6%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (E)		1,765		1,765
TOTAL SHORT-TERM SECURITIES – 6.0%			$	16,328
(Cost: $16,328)

TOTAL INVESTMENT SECURITIES – 100.0%	$	272,073
(Cost: $280,321)
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0%		(103	)
NET ASSETS – 100.0%	$	271,970

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Industrials	$	13,041	$	1,673	$	—
Information Technology		177,176		12,139		—
Other Sectors		51,122		—		—
Total Common Stocks	$	241,339	$	13,812	$	—
Corporate Debt Securities		—		594		—
Short-Term Securities		—		16,328		—
Total	$	241,339	$	30,734	$	—
Liabilities
Written Options	$	71	$	—	$	—

During the period ended September 30, 2011, securities totaling $9,985 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.

The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
SINA Corporation	N/A	Put		91		October 2011	$	70.00	$	55	$	(71	)

(A) No dividends were paid during the preceding 12 months.

(B) Listed on an exchange outside the United States.

(C) Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the total value of these securities amounted to $4,128 or 1.5% of net assets.

(D) Rate shown is the yield to maturity at September 30, 2011.

(E) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

OTC = Over the Counter

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	280,583
Gross unrealized appreciation		42,844
Gross unrealized depreciation		(51,354	)
Net unrealized depreciation	$	(8,510	)

SCHEDULE OF INVESTMENTS
Small Cap Growth (in thousands)	SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Airport Services – 1.0%
Wesco Aircraft Holdings, Inc. (A)		292	$	3,194
Apparel Retail – 1.3%
Zumiez Inc. (A)		227		3,983
Apparel, Accessories & Luxury Goods – 5.3%
Columbia Sportswear Company		107		4,966
Under Armour, Inc., Class A (A)		86		5,728
Warnaco Group, Inc. (The) (A)		125		5,775
				16,469
Application Software – 5.3%
BroadSoft, Inc. (A)		228		6,916
Synchronoss Technologies, Inc. (A)		176		4,388
Ultimate Software Group, Inc. (The) (A)		109		5,093
				16,397
Asset Management & Custody Banks – 1.7%
Affiliated Managers Group, Inc. (A)		39		3,061
WisdomTree Investment, Inc. (A)		307		2,157
				5,218
Communications Equipment – 8.0%
Acme Packet, Inc. (A)		67		2,834
Aruba Networks, Inc. (A)		344		7,191
DG FastChannel, Inc. (A)		543		9,206
Finisar Corporation (A)		309		5,428
				24,659
Computer Hardware – 1.1%
Stratasys, Inc. (A)		184		3,420
Construction & Engineering – 3.8%
Chicago Bridge & Iron Company N.V., NY Shares		410		11,728
Construction & Farm Machinery & Heavy Trucks – 5.0%
Manitowoc Company, Inc. (The)		427		2,863
Westinghouse Air Brake Technologies Corporation		235		12,437
				15,300
Consumer Finance – 2.8%
EZCORP, Inc., Class A (A)		308		8,777
Distributors – 3.1%
LKQ Corporation (A)		396		9,562
Diversified Support Services – 1.1%
Mobile Mini, Inc. (A)		199		3,276
Education Services – 1.7%
American Public Education, Inc. (A)		150		5,108
Electrical Components & Equipment – 2.7%
Acuity Brands, Inc.		104		3,734
Polypore International, Inc. (A)		79		4,468
				8,202
Electronic Equipment & Instruments – 3.4%
FARO Technologies, Inc. (A)		179		5,644
OSI Systems, Inc. (A)		143		4,802
				10,446

Health Care Equipment – 11.1%
DexCom, Inc. (A)		436		5,227
Masimo Corporation		129		2,787
NuVasive, Inc. (A)		368		6,281
Volcano Corporation (A)		481		14,256
ZOLL Medical Corporation (A)		149		5,624
				34,175
Health Care Services – 1.6%
Healthways, Inc. (A)		511		5,023
Health Care Technology – 1.6%
Omnicell, Inc. (A)		353		4,863
Home Furnishings – 3.2%
Tempur-Pedic International Inc. (A)		185		9,757
Internet Retail – 2.0%
Shutterfly, Inc. (A)		151		6,205
Internet Software & Services – 9.1%
Constant Contact, Inc. (A)		579		10,005
DealerTrack Holdings, Inc. (A)		388		6,086
Dice Holdings, Inc. (A)		441		3,446
VistaPrint Limited (A)		147		3,965
Vocus, Inc. (A)		280		4,696
				28,198
Investment Banking & Brokerage – 4.3%
Greenhill & Co., Inc.		237		6,770
Stifel Financial Corp. (A)		243		6,447
				13,217
Oil & Gas Equipment & Services – 3.4%
Dril-Quip, Inc. (A)		85		4,591
Superior Energy Services, Inc. (A)		222		5,828
				10,419
Oil & Gas Exploration & Production – 1.2%
Carrizo Oil & Gas, Inc. (A)		173		3,734
Pharmaceuticals – 2.1%
Salix Pharmaceuticals, Ltd. (A)		214		6,340
Semiconductors – 1.5%
Cavium Inc. (A)		176		4,748
Soft Drinks – 1.1%
Primo Water Corporation (A)		581		3,278
Systems Software – 4.8%
MICROS Systems, Inc. (A)		336		14,773
Trading Companies & Distributors – 1.4%
RSC Holdings Inc. (A)		619		4,414
TOTAL COMMON STOCKS – 95.7%			$	294,883
(Cost: $337,572)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 2.2%
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited),
0.120%, 10–18–11 (B)	$	4,000		4,000

Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc),
0.070%, 10–24–11 (B)	3,000		3,000
			7,000
Master Note – 1.5%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (C)	4,501		4,501
Municipal Obligations – Taxable – 0.6%
Los Angeles, CA, Wastewater Sys Sub Rev Bonds, Var Rate Rfdg, Ser 2008-A (GTD by Bank of America, N.A.),
0.100%, 10–3–11 (C)	1,836		1,836
TOTAL SHORT-TERM SECURITIES – 4.3%		$	13,337
(Cost: $13,337)
TOTAL INVESTMENT SECURITIES – 100.0%		$	308,220
(Cost: $350,909)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%			23
NET ASSETS – 100.0%		$	308,243

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	294,883	$	—	$	—
Short-Term Securities		—		13,337		—
Total	$	294,883	$	13,337	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) No dividends were paid during the preceding 12 months.

(B) Rate shown is the yield to maturity at September 30, 2011.

(C) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronym is used throughout this schedule:

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	351,686
Gross unrealized appreciation		31,555
Gross unrealized depreciation		(75,021	)
Net unrealized depreciation	$	(43,466	)

SCHEDULE OF INVESTMENTS Small Cap Value (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 5.6%
AAR Corp.		207	$	3,456
Ceradyne, Inc. (A)		39		1,046
Triumph Group, Inc.		129		6,267
				10,769
Apparel Retail – 0.9%
Payless ShoeSource, Inc. (A)		127		1,651
Apparel, Accessories & Luxury Goods – 4.1%
Jones Apparel Group, Inc.		389		3,579
Warnaco Group, Inc. (The) (A)		98		4,513
				8,092
Application Software – 1.0%
Quest Software, Inc. (A)		120		1,904
Asset Management & Custody Banks – 1.3%
American Capital Strategies, Ltd. (A)		357		2,433
Auto Parts & Equipment – 2.0%
Tenneco Automotive Inc. (A)		152		3,882
Broadcasting – 2.6%
Belo Corp., Class A		500		2,443
Entercom Communications Corp. (A)		483		2,533
				4,976
Data Processing & Outsourced Services – 1.5%
CoreLogic Inc. (A)		266		2,837
Diversified Chemicals – 2.6%
Ashland Inc.		54		2,361
Solutia Inc. (A)		191		2,449
				4,810
Electric Utilities – 2.4%
NV Energy, Inc.		319		4,686
Electronic Manufacturing Services – 1.1%
Celestica Inc. (A)		283		2,053
Gas Utilities – 2.4%
Southwest Gas Corporation		127		4,605
Health Care Facilities – 3.7%
Community Health Systems, Inc. (A)		126		2,098
LifePoint Hospitals, Inc. (A)		141		5,152
				7,250
Homebuilding – 0.4%
M/I Homes, Inc. (A)		118		708
Hotels, Resorts & Cruise Lines – 1.9%
Gaylord Entertainment Company (A)		189		3,661
Investment Banking & Brokerage – 0.8%
Piper Jaffray Companies (A)		84		1,500
Managed Health Care – 1.0%
Coventry Health Care, Inc. (A)		65		1,881
Mortgage REITs – 1.8%
Invesco Mortgage Capital, Inc.		241		3,407

Movies & Entertainment – 1.5%
Cinemark Holdings, Inc.	151	2,843
Office REITs – 2.1%
Lexington Corporation Properties Trust	613	4,011
Oil & Gas Equipment & Services – 1.9%
Hornbeck Offshore Services, Inc. (A)	44	1,096
Superior Energy Services, Inc. (A)	101	2,637
		3,733
Oil & Gas Storage & Transportation – 7.4%
Atlas Pipeline Partners, L.P.	90	2,673
MarkWest Energy Partners, L.P.	30	1,365
Regency Energy Partners LP	263	5,882
Targa Resources Corp.	143	4,257
		14,177
Packaged Foods & Meats – 1.0%
Dean Foods Company (A)	214	1,897
Paper Packaging – 1.9%
Boise Inc.	718	3,709
Personal Products – 1.0%
Inter Parfums, Inc.	130	2,007
Property & Casualty Insurance – 3.4%
Argo Group International Holdings, Ltd.	172	4,889
SeaBright Insurance Holdings, Inc.	244	1,755
		6,644
Publishing – 3.4%
E. W. Scripps Company (The) (A)	202	1,417
Valassis Communications, Inc. (A)	175	3,280
Washington Post Company, Class B (The)	6	1,929
		6,626
Regional Banks – 4.3%
Bank of Marin Bancorp	88	2,916
First Horizon National Corporation	350	2,085
Synovus Financial Corp.	1,399	1,497
Wintrust Financial Corporation	69	1,769
		8,267
Reinsurance – 4.0%
Endurance Specialty Holdings Ltd.	120	4,105
Reinsurance Group of America, Incorporated	79	3,630
		7,735
Residential REITs – 2.8%
Campus Crest Communities, Inc.	493	5,361
Specialized REITs – 1.4%
Strategic Hotels & Resorts, Inc. (A)	613	2,642
Specialty Chemicals – 2.3%
Cytec Industries Inc.	86	3,011
RPM International Inc.	80	1,500
		4,511
Technology Distributors – 1.9%
Insight Enterprises, Inc. (A)	108	1,629
Tech Data Corporation (A)	50	2,149
		3,778
Thrifts & Mortgage Finance – 1.9%
Capitol Federal Financial	348	3,672

Trucking – 3.2%
Marten Transport, Ltd.		123		2,112
Werner Enterprises, Inc.		198		4,133
				6,245
TOTAL COMMON STOCKS – 82.5%			$	158,963
(Cost: $187,521)
INVESTMENT FUNDS – 2.1%
Asset Management & Custody Banks
THL Credit, Inc.		377	$	4,114
(Cost: $4,902)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 2.8%
Straight-A Funding, LLC (GTD by Federal Financing Bank),
0.130%, 10–18–11 (B)	$	3,000		3,000
Wisconsin Electric Power Co.,
0.120%, 10–3–11 (B)		2,446		2,446
				5,446
Master Note – 4.7%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (C)		9,142		9,142
Municipal Obligations – Taxable – 7.7%
Cert of Part, Denver Pub Sch, Var Rate Rfdg Ser 2011A-3 (GTD by Wells Fargo Bank, N.A.),
0.140%, 10–15–11 (C)		125		125
Franklin, OH, Var Rate Demand Hosp Fac Rfdg and Impvt Rev Bonds (U.S. Hlth Corp of Columbus), Ser 1996A (GTD by U.S. Bank, N.A.),
0.130%, 10–7–11 (C)		2,000		2,000
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York (The)),
0.120%, 10–3–11 (C)		2,000		2,000
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America, N.A.),
0.180%, 10–3–11 (C)		10,683		10,683
				14,808
TOTAL SHORT-TERM SECURITIES – 15.2%			$	29,396
(Cost: $29,396)
TOTAL INVESTMENT SECURITIES – 99.8%			$	192,473
(Cost: $221,819)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%				457
NET ASSETS – 100.0%			$	192,930

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	158,963	$	—	$	—
Investment Funds		4,114		—		—
Short-Term Securities		—		29,396		—
Total	$	163,077	$	29,396	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

(A) No dividends were paid during the preceding 12 months.

(B) Rate shown is the yield to maturity at September 30, 2011.

(C) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

GTD = Guaranteed

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:
Cost	$	221,846
Gross unrealized appreciation		8,225
Gross unrealized depreciation		(37,598	)
Net unrealized depreciation	$	(29,373	)

SCHEDULE OF INVESTMENTS Value (in thousands) SEPTEMBER 30, 2011 (UNAUDITED)

COMMON STOCKS	Shares		Value
Auto Parts & Equipment – 1.3%
TRW Automotive Holdings Corp. (A)		102	$	3,335
Biotechnology – 2.4%
Amgen Inc.		113		6,220
Broadcasting – 0.6%
CBS Corporation, Class B		71		1,445
Cable & Satellite – 2.6%
Time Warner Cable Inc.		104		6,518
Computer Hardware – 1.8%
Hewlett-Packard Company		202		4,526
Consumer Finance – 2.6%
Capital One Financial Corporation		169		6,713
Department Stores – 1.8%
Macy’s Inc.		175		4,611
Diversified Banks – 4.5%
Wells Fargo & Company		477		11,503
Diversified Metals & Mining – 0.6%
Freeport-McMoRan Copper & Gold Inc., Class B		48		1,446
Drug Retail – 4.1%
CVS Corporation (B)		308		10,339
Electric Utilities – 2.7%
PPL Corporation		242		6,918
Health Care Distributors – 3.0%
McKesson Corporation		103		7,517
Industrial Machinery – 1.8%
Ingersoll-Rand plc		162		4,562
Integrated Oil & Gas – 8.9%
ConocoPhillips		208		13,176
Marathon Oil Corporation		367		7,918
Occidental Petroleum Corporation		22		1,580
				22,674
Investment Banking & Brokerage – 4.2%
Goldman Sachs Group, Inc. (The)		70		6,657
Morgan Stanley		302		4,070
				10,727
IT Consulting & Other Services – 1.6%
International Business Machines Corporation		23		3,991
Managed Health Care – 4.1%
WellPoint, Inc.		162		10,550
Mortgage REITs – 5.6%
American Capital Agency Corp. (B)		295		8,002
Invesco Mortgage Capital, Inc. (B)		444		6,277
				14,279

Office Electronics – 3.4%
Xerox Corporation		1,237		8,624
Oil & Gas Refining & Marketing – 2.8%
Marathon Petroleum Corporation		265		7,163
Oil & Gas Storage & Transportation – 5.6%
MarkWest Energy Partners, L.P.		111		5,119
Regency Energy Partners LP		405		9,063
				14,182
Other Diversified Financial Services – 2.4%
Bank of America Corporation		1,008		6,166
Pharmaceuticals – 2.3%
Johnson & Johnson		91		5,823
Property & Casualty Insurance – 9.9%
ACE Limited		190		11,520
Travelers Companies, Inc. (The)		157		7,641
XL Group plc		307		5,779
				24,940
Reinsurance – 2.7%
RenaissanceRe Holdings Ltd.		107		6,827
Semiconductors – 2.1%
Freescale Semiconductor, Inc. (A)		495		5,457
Soft Drinks – 2.2%
Dr Pepper Snapple Group, Inc.		147		5,712
Specialty Chemicals – 0.5%
LyondellBasell Industries N.V., Class A		60		1,461
Systems Software – 2.3%
Symantec Corporation (A)		358		5,837
Tobacco – 1.4%
Philip Morris International Inc.		55		3,450
TOTAL COMMON STOCKS – 91.8%			$	233,516
(Cost: $271,378)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 5.2%
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc),
0.070%, 10–24–11 (C)	$	3,000		3,000
Verizon Communications Inc.,
0.310%, 10–4–11 (C)		3,000		3,000
Wisconsin Electric Power Co.,
0.120%, 10–3–11 (C)		7,269		7,269
				13,269
Master Note – 1.2%
Toyota Motor Credit Corporation,
0.113%, 10–3–11 (D)		2,992		2,992
TOTAL SHORT-TERM SECURITIES – 6.4%			$	16,261
(Cost: $16,261)
TOTAL INVESTMENT SECURITIES – 98.2%			$	249,777
(Cost: $287,639)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.8%		4,505
NET ASSETS – 100.0%	$	254,282

Notes to Schedule of Investments

Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

Level 1 – unadjusted quoted prices in active markets for identical securities

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

Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of September 30, 2011:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	233,516	$	—	$	—
Short-Term Securities		—		16,261		—
Total	$	233,516	$	16,261	$	—
Liabilities
Written Options	$	439	$	9	$	—

There were no significant transfers between any levels during the period ended September 30, 2011.

The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
American Capital Agency Corp.	N/A	Call		2,953		October 2011	$	30.00	$	49	$	(7	)
CVS Corporation:	N/A	Call		383		January 2012		39.00		23		(16	)
	N/A	Call		383		January 2012		40.00		16		(11	)
	N/A	Call		766		January 2012		41.00		22		(14	)
Invesco Mortgage Capital, Inc.	N/A	Call		180		October 2011		17.50		3		—	*
Johnson & Johnson:	N/A	Put		220		October 2011		60.00		13		(14	)
	N/A	Put		220		October 2011		62.50		21		(27	)
LyondellBasell Industries N.V., Class A	N/A	Put		412		October 2011		28.00		39		(176	)
Marathon Oil Corporation	N/A	Put		417		October 2011		22.00		16		(62	)
PPL Corporation	Deutsche Banc Alex. Brown Inc.	Call		247		November 2011		30.00		9		(9	)
TRW Automotive Holdings Corp.	N/A	Put		339		October 2011		35.00		31		(112	)
									$	242	$	(448	)

* Not shown due to rounding.

(A) No dividends were paid during the preceding 12 months.

(B) All or a portion of the security position is held in collateralized accounts to cover potential obligations with respect to outstanding written options.

(C) Rate shown is the yield to maturity at September 30, 2011.

(D) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

GTD = Guaranteed

OTC = Over the Counter

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	286,936
Gross unrealized appreciation		14,150
Gross unrealized depreciation		(51,309	)
Net unrealized depreciation	$	(37,159	)

ITEM 2.    CONTROLS AND PROCEDURES.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure.

(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3.    EXHIBITS.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).

Attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Ivy Funds Variable Insurance Portfolios
(Registrant)
By	/s/ Mara D. Herrington
	Mara D. Herrington, Vice President and Secretary

Date: November 21, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	/s/ Henry J. Herrmann
	Henry J. Herrmann, Principal Executive Officer

Date: November 21, 2011

By	/s/ Joseph W. Kauten
	Joseph W. Kauten, Principal Financial Officer

Date: November 21, 2011

EX-99.CERT

Exhibit 99.CERT

CERTIFICATION

I, Henry J. Herrmann, certify that:

1.      I have reviewed this report on Form N-Q of Ivy Funds Variable Insurance Portfolios;

2.      Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.      Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4.      The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)      Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that the material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)      Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)      Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d)      Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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

a)      All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b)      Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 21, 2011	/s/ Henry J. Herrmann
	Henry J. Herrmann, Principal Executive Officer

CERTIFICATION

I, Joseph W. Kauten, certify that:

1.      I have reviewed this report on Form N-Q of Ivy Funds Variable Insurance Portfolios;

2.      Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.      Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4.      The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)      Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that the material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)      Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)      Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d)      Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

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

a)      All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b)      Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 21, 2011	/s/ Joseph W. Kauten
	Joseph W. Kauten, Principal Financial Officer