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: March 31, 2012

ITEM 1.    SCHEDULE OF INVESTMENTS.

SCHEDULE OF INVESTMENTS Pathfinder Aggressive (in  thousands) MARCH 31, 2012 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		578	$	3,380
Ivy Funds VIP Dividend Opportunities		1,195		8,579
Ivy Funds VIP Growth		1,269		14,771
Ivy Funds VIP International Core Equity		604		9,826
Ivy Funds VIP International Growth		890		7,859
Ivy Funds VIP Limited-Term Bond		2,007		10,209
Ivy Funds VIP Mid Cap Growth		376		3,565
Ivy Funds VIP Small Cap Growth (A)		199		2,158
Ivy Funds VIP Small Cap Value		344		5,599
Ivy Funds VIP Value		791		5,027
TOTAL AFFILIATED MUTUAL FUNDS – 99.8%			$	70,973
(Cost: $67,578)
SHORT-TERM SECURITIES – 0.1%	Principal
Master Note
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (B)	$	91		91
(Cost: $91)
TOTAL INVESTMENT SECURITIES – 99.9%			$	71,064
(Cost: $67,669)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%				29
NET ASSETS – 100.0%			$	71,093

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	70,973	$	—	$	—
Short-Term Securities		—		91		—
Total	$	70,973	$	91	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	67,669
Gross unrealized appreciation		4,176
Gross unrealized depreciation		(781	)
Net unrealized appreciation	$	3,395

SCHEDULE OF INVESTMENTS Pathfinder Conservative (in thousands) MARCH 31, 2012 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		4,934	$	28,857
Ivy Funds VIP Dividend Opportunities		2,402		17,245
Ivy Funds VIP Growth		1,079		12,562
Ivy Funds VIP International Core Equity		306		4,979
Ivy Funds VIP Limited-Term Bond		1,903		9,682
Ivy Funds VIP Mid Cap Growth		213		2,023
Ivy Funds VIP Money Market		19,326		19,326
Ivy Funds VIP Small Cap Growth (A)		94		1,020
Ivy Funds VIP Small Cap Value		61		994
Ivy Funds VIP Value		321		2,038
TOTAL AFFILIATED MUTUAL FUNDS – 99.9%			$	98,726
(Cost: $92,285)
SHORT-TERM SECURITIES – 0.1%	Principal
Master Note
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (B)	$	60		60
(Cost: $60)
TOTAL INVESTMENT SECURITIES – 100.0%			$	98,786
(Cost: $92,345)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%				39
NET ASSETS – 100.0%			$	98,825

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	98,726	$	—	$	—
Short-Term Securities		—		60		—
Total	$	98,726	$	60	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	92,345
Gross unrealized appreciation		6,441
Gross unrealized depreciation		—
Net unrealized appreciation	$	6,441

SCHEDULE OF INVESTMENTS Pathfinder Moderate (in thousands) MARCH 31, 2012 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		16,164	$	94,536
Ivy Funds VIP Dividend Opportunities		13,907		99,828
Ivy Funds VIP Growth		8,854		103,062
Ivy Funds VIP International Core Equity		3,214		52,280
Ivy Funds VIP International Growth		5,270		46,555
Ivy Funds VIP Limited-Term Bond		18,704		95,162
Ivy Funds VIP Mid Cap Growth		2,800		26,550
Ivy Funds VIP Money Market		63,313		63,313
Ivy Funds VIP Small Cap Growth (A)		1,238		13,388
Ivy Funds VIP Small Cap Value		1,603		26,071
Ivy Funds VIP Value		5,262		33,426
TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	654,171
(Cost: $597,125)
SHORT-TERM SECURITIES – 0.0%	Principal
Master Note
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (B)	$	299		299
(Cost: $299)
TOTAL INVESTMENT SECURITIES – 100.0%			$	654,470
(Cost: $597,424)
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0%				(225	)
NET ASSETS – 100.0%			$	654,245

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	654,171	$	—	$	—
Short-Term Securities		—		299		—
Total	$	654,171	$	299	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	597,424
Gross unrealized appreciation		57,046
Gross unrealized depreciation		—
Net unrealized appreciation	$	57,046

SCHEDULE OF INVESTMENTS Pathfinder Moderately Aggressive (in thousands) MARCH 31, 2012 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		13,284	$	77,693
Ivy Funds VIP Dividend Opportunities		17,149		123,104
Ivy Funds VIP Growth		10,920		127,104
Ivy Funds VIP International Core Equity		4,954		80,583
Ivy Funds VIP International Growth		9,283		82,014
Ivy Funds VIP Limited-Term Bond		23,057		117,314
Ivy Funds VIP Mid Cap Growth		4,317		40,926
Ivy Funds VIP Money Market		39,025		39,025
Ivy Funds VIP Small Cap Growth (A)		2,289		24,768
Ivy Funds VIP Small Cap Value		3,459		56,258
Ivy Funds VIP Value		6,488		41,219
TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	810,008
(Cost: $742,808)
SHORT-TERM SECURITIES – 0.0%	Principal
Master Note
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (B)	$	368		368
(Cost: $368)
TOTAL INVESTMENT SECURITIES – 100.0%			$	810,376
(Cost: $743,176)
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0%				(305	)
NET ASSETS – 100.0%			$	810,071

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	810,008	$	—	$	—
Short-Term Securities		—		368		—
Total	$	810,008	$	368	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	743,176
Gross unrealized appreciation		67,200
Gross unrealized depreciation		—
Net unrealized appreciation	$	67,200

SCHEDULE OF INVESTMENTS Pathfinder Moderately Conservative (in thousands) MARCH 31, 2012 (UNAUDITED)

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Bond		8,818	$	51,574
Ivy Funds VIP Dividend Opportunities		4,554		32,688
Ivy Funds VIP Growth		2,706		31,503
Ivy Funds VIP International Core Equity		658		10,698
Ivy Funds VIP International Growth		1,233		10,889
Ivy Funds VIP Limited-Term Bond		4,082		20,767
Ivy Funds VIP Mid Cap Growth		917		8,694
Ivy Funds VIP Money Market		31,087		31,087
Ivy Funds VIP Small Cap Growth (A)		203		2,192
Ivy Funds VIP Small Cap Value		131		2,134
Ivy Funds VIP Value		1,723		10,945
TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	213,171
(Cost: $196,692)
TOTAL INVESTMENT SECURITIES – 100.0%			$	213,171
(Cost: $196,692)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%				93
NET ASSETS – 100.0%			$	213,264

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Affiliated Mutual Funds	$	213,171	$	—	$	—
Total	$	213,171	$	—	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	196,692
Gross unrealized appreciation		16,479
Gross unrealized depreciation		—
Net unrealized appreciation	$	16,479

SCHEDULE OF INVESTMENTS Asset Strategy (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Apparel, Accessories & Luxury Goods – 4.3%
Compagnie Financiere Richemont S.A. (A)		674	$	42,241
Prada S.p.A. (A)(B)		447		2,904
Prada S.p.A. (A)(B)(C)		1,875		12,191
				57,336
Application Software – 0.1%
Intuit Inc.		12		698
Asset Management & Custody Banks – 2.9%
Apollo Global Management, LLC		651		9,301
Blackstone Group L.P. (The)		1,264		20,153
KKR & Co. L.P.		608		9,021
				38,475
Automobile Manufacturers – 4.7%
Bayerische Motoren Werke AG (A)		338		30,369
Hyundai Motor Company (A)		117		24,060
Porsche Automobil Holding SE (A)		146		8,605
				63,034
Broadcasting – 2.2%
CBS Corporation, Class B		880		29,848
Casinos & Gaming – 12.9%
Las Vegas Sands, Inc.		143		8,204
Sands China Ltd. (A)		3,136		12,256
Sands China Ltd. (A)(C)		12,791		49,992
Wynn Macau, Limited (A)		8,196		23,957
Wynn Macau, Limited (A)(C)		665		1,943
Wynn Resorts, Limited		612		76,415
				172,767
Communications Equipment – 0.4%
Cisco Systems, Inc.		230		4,862
Computer Hardware – 3.1%
Apple Inc. (B)		70		41,963
Construction & Farm Machinery & Heavy Trucks – 3.3%
Caterpillar Inc.		221		23,509
Cummins Inc.		178		21,367
				44,876
Diversified Banks – 0.9%
China Minsheng Banking Corp., Ltd., H Shares (A)		386		349
China Minsheng Banking Corp., Ltd., H Shares (A)(B)(C)		12,556		11,367
				11,716
Diversified Metals & Mining – 0.9%
Freeport-McMoRan Copper & Gold Inc., Class B		315		11,979
Hotels, Resorts & Cruise Lines – 2.1%
Starwood Hotels & Resorts Worldwide, Inc. (D)		498		28,103
Industrial Conglomerates – 2.0%
Hutchison Whampoa Limited, Ordinary Shares (A)		2,622		26,201

Integrated Oil & Gas – 9.2%
ConocoPhillips (D)	794		60,351
Exxon Mobil Corporation	55		4,761
Occidental Petroleum Corporation	202		19,256
Royal Dutch Shell plc, Class A (A)	360		12,618
StatoilHydro ASA (A)	497		13,482
Total S.A. (A)	246		12,521
			122,989
Internet Software & Services – 6.0%
Baidu.com, Inc., ADR (B)	282		41,160
Google Inc., Class A (B)	29		18,275
Tencent Holdings Limited (A)	810		22,596
			82,031
Investment Banking & Brokerage – 1.0%
CITIC Securities Company Limited, H Shares (A)(B)(C)	6,664		13,386
IT Consulting & Other Services – 2.4%
Cognizant Technology Solutions Corporation, Class A (B)(D)	415		31,915
Life & Health Insurance – 3.1%
AIA Group Limited (A)	2,994		10,968
AIA Group Limited (A)(C)	7,628		27,945
Ping An Insurance (Group) Company of China, Ltd., A Shares (A)	351		2,038
			40,951
Marine – 0.5%
A.P. Moller – Maersk A/S (A)	1		6,949
Mortgage REITs – 1.0%
American Capital Agency Corp.	463		13,662
Movies & Entertainment – 0.2%
Delta Prefco Limited (B)(E)	—	*	—	*
Delta Topco Limited (B)(E)	7,586		2,117
			2,117
Multi-Line Insurance – 1.4%
China Pacific Insurance (Group) Co. Ltd., H Shares (A)	6,186		19,157
Oil & Gas Drilling – 2.5%
Seadrill Limited (A)	735		27,548
Seadrill Limited (A)(C)	163		6,097
			33,645
Oil & Gas Equipment & Services – 2.1%
Halliburton Company	405		13,449
National Oilwell Varco, Inc. (D)	185		14,733
			28,182
Pharmaceuticals – 0.5%
GlaxoSmithKline plc (A)	118		2,638
Sanofi-Aventis (A)	52		4,038
			6,676
Restaurants – 1.7%
Starbucks Corporation	400		22,339
Semiconductor Equipment – 2.3%
ASML Holding N.V., Ordinary Shares (A)	607		30,332

Semiconductors – 0.3%
Intel Corporation		121		3,387
Specialized Finance – 0.2%
CME Group Inc.		12		3,327
Tobacco – 2.0%
Philip Morris International Inc. (D)		300		26,565
Wireless Telecommunication Service – 0.2%
Bharti Airtel Limited (A)		204		1,353
China Mobile Limited (A)		63		688
				2,041
TOTAL COMMON STOCKS – 76.4%			$	1,021,509
(Cost: $771,700)
PREFERRED STOCKS
Automobile Manufacturers – 4.9%
Volkswagen AG, 2.260% (A)		256		44,985
Volkswagen AG, 2.260% (A)(C)		114		20,117
				65,102
TOTAL PREFERRED STOCKS – 4.9%			$	65,102
(Cost: $37,570)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
Blackstone Group L.P. (The), Call $17.00, Expires 5–21–12		201		5
Cisco Systems, Inc., Call $22.00, Expires 6–18–12		1,288		66
Cognizant Technology Solutions Corporation, Class A:
Call $77.50, Expires 4–23–12		121		16
Call $82.50, Expires 5–21–12		162		14
DAX Index:
Put EUR6,550.00, Expires 4–20–12, OTC (Ctrpty: Morgan Stanley & Co., Inc.)(F)		145		25
Put EUR6,650.00, Expires 4–20–12, OTC (Ctrpty: JPMorgan Chase Bank N.A.)(F)		146		37
Put EUR6,850.00, Expires 5–18–12, OTC (Ctrpty: Morgan Stanley & Co., Inc.)(F)		291		288
Euro (Currency),
Put $1.30, Expires 5–31–12, OTC (Ctrpty: Deutsche Bank AG)		1		221
Exxon Mobil Corporation:
Call $90.00, Expires 5–21–12		161		9
Call $90.00, Expires 7–23–12		161		21
FTSE 100 Index:
Put GBP5,700.00, Expires 4–20–12, OTC (Ctrpty: Citibank N.A.)(F)		72		65
Put GBP5,750.00, Expires 4–20–12, OTC (Ctrpty: Morgan Stanley & Co., Inc.)(F)		72		84
Put GBP5,700.00, Expires 5–18–12, OTC (Ctrpty: Citibank N.A.)(F)		145		260
Intel Corporation,
Call $29.00, Expires 6–18–12		885		50
Japanese Yen (Currency),
Put $83.50, Expires 4–17–12, OTC (Ctrpty: Deutsche Bank AG)		1		144
NASDAQ 100 Index:
Put $2,450.00, Expires 4–20–12, OTC (Ctrpty: Deutsche Bank AG)		103		18
Put $2,525.00, Expires 4–20–12		104		36
Put $2,650.00, Expires 5–18–12, OTC (Ctrpty: Citibank N.A.)		100		320
Put $2,660.00, Expires 5–18–12, OTC (Ctrpty: Deutsche Bank AG)		98		335

National Oilwell Varco, Inc.,
Call $87.50, Expires 5–21-12		161		12
Russell 2000 Index:
Put $800.00, Expires 4–20–12, OTC (Ctrpty: UBS AG)		316		212
Put $805.00, Expires 4–20–12, OTC (Ctrpty: Morgan Stanley & Co., Inc.)		324		253
Put $805.00, Expires 5–18–12, OTC (Ctrpty: Citibank N.A.)		323		581
Put $810.00, Expires 5–18–12, OTC (Ctrpty: UBS AG)		327		639
S&P 500 Index:
Put $1,325.00, Expires 4–20–12		492		124
Put $1,300.00, Expires 4–23–12		485		79
Put $1,360.00, Expires 5–18–12, OTC (Ctrpty: Deutsche Bank AG)		484		742
Put $1,365.00, Expires 5–18–12, OTC (Ctrpty: Goldman Sachs International)		477		784
Seadrill Limited,
Put NOK235.14, Expires 6–27–12, OTC (Ctrpty: Goldman Sachs International)(F)		162,700		511
Starwood Hotels & Resorts Worldwide, Inc.:
Call $60.00, Expires 4–23–12, OTC (Ctrpty: Goldman Sachs International)		122		3
Call $62.50, Expires 5–21-12		162		8
Total S.A.:
Call EUR40.00, Expires 6–15–12, OTC (Ctrpty: Deutsche Bank AG)(F)		241		26
Call EUR41.00, Expires 6–15–12, OTC (Ctrpty: Citibank N.A.)(F)		242		17
Call EUR43.00, Expires 6–18–12, OTC (Ctrpty: Credit Suisse AG)(F)		484		12
TOTAL PURCHASED OPTIONS – 0.4%			$	6,017
(Cost: $11,841)
CORPORATE DEBT SECURITIES	Principal
Automobile Manufacturers – 0.1%
Toyota Motor Credit Corporation, 4.430%, 1–18–15 (G)	$	1,050		1,072
Homebuilding – 0.0%
Desarrolladora Homex, S.A. de C.V., 7.500%, 9–28–15		327		330
Independent Power Producers & Energy Traders – 0.1%
CESP – Companhia Energetica de Sao Paulo, 9.750%, 1–15–15 (C)(F)		BRL1,550		1,246
Movies & Entertainment – 4.2%
Delta Topco Limited, 15.000%, 11–24–16 (E)(H)	$	56,294		56,271
TOTAL CORPORATE DEBT SECURITIES – 4.4%			$	58,919
(Cost: $59,543)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 0.1%
Federal Home Loan Mortgage Corporation Agency REMIC/CMO: 5.500%, 9–15–17 (I)		1,231		81

5.000%, 11–15–17 (I)		80		3
5.000%, 4–15–19 (I)		265		10
5.000%, 11–15–22 (I)		1		—	*
5.500%, 3–15–23 (I)		245		27
5.000%, 5–15–23 (I)		71		1
5.000%, 8–15–23 (I)		99		3
5.500%, 10–15–25 (I)		661		90
5.000%, 8–15–30 (I)		12		—	*
5.500%, 3–15–31 (I)		96		1
6.000%, 11–15–35 (I)		404		69
Federal National Mortgage Association Agency REMIC/CMO:
5.500%, 6–25–23 (I)		317		40
5.000%, 8–25–23 (I)		122		3
5.000%, 11–25–23 (I)		206		11
5.500%, 8–25–33 (I)		473		71
5.500%, 4–25–34 (I)		855		129
5.500%, 11–25–36 (I)		1,212		176
Government National Mortgage Association Agency REMIC/CMO:
5.000%, 6–20–31 (I)		320		8
5.500%, 3–20–32 (I)		295		25
5.000%, 7–20–33 (I)		159		14
5.500%, 11–20–33 (I)		672		64
5.500%, 6–20–35 (I)		572		104
5.500%, 7–20–35 (I)		412		61
5.500%, 10–16–35 (I)		275		46
				1,037
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.1%			$	1,037
(Cost: $2,202)
BULLION – 10.1%	Troy Ounces
Gold		81	$	134,604
(Cost: $75,642)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 3.6%
American Honda Finance Corp. (GTD by Honda Motor Co.), 0.110%, 4–18–12 (J)	$	4,000		4,000
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited):
0.140%, 4–10–12 (J)		3,000		3,000
0.120%, 4–24–12 (J)		5,000		5,000
Danaher Corporation, 0.120%, 4–23–12 (J)		3,000		3,000
Diageo Capital plc (GTD by Diageo plc), 0.440%, 4–26–12 (J)		5,000		4,998
Ecolab Inc., 0.400%, 4–4–12 (J)		3,000		3,000
McCormick & Co. Inc., 0.150%, 4–16–12 (J)		6,168		6,167
Siemens Capital Corp. (GTD by Siemens AG), 0.140%, 4–16–12 (J)		5,000		5,000
Wal-Mart Stores, Inc., 0.110%, 4–3–12 (J)		5,515		5,515
Wisconsin Electric Power Co., 0.150%, 4–2–12 (J)		8,174		8,174
				47,854
Master Note – 0.1%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (K)		1,994		1,994

Treasury Bills – 0.3%
United States Treasury Bills, 0.120%, 8–9–12	4,000		3,998
TOTAL SHORT-TERM SECURITIES – 4.0%		$	53,846
(Cost: $53,846)
TOTAL INVESTMENT SECURITIES – 100.3%		$	1,341,034
(Cost: $1,012,344)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3%)			(4,533	)
NET ASSETS – 100.0%		$	1,336,501

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	373,427	$	—	$	2,117
Consumer Staples		26,565		—		—
Energy		184,816		—		—
Financials		140,674		—		—
Health Care		6,676		—		—
Industrials		78,026		—		—
Information Technology		195,188		—		—
Materials		11,979		—		—
Telecommunication Services		2,041		—		—
Total Common Stocks	$	1,019,392	$	—	$	2,117
Preferred Stocks		65,102		—		—
Purchased Options		440		5,577		—
Corporate Debt Securities		—		2,648		56,271
United States Government Agency Obligations		—		1,037		—
Bullion		134,604		—		—
Short-Term Securities		—		53,846		—
Total	$	1,219,538	$	63,108	$	58,388
Forward Foreign Currency Contracts	$	—	$	993	$	—
Liabilities
Forward Foreign Currency Contracts	$	—	$	454	$	—
Written Options	$	193	$	1,022	$	—

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

	Common Stocks(1)			Corporate Debt Securities(2)
Beginning Balance 1-1-12	$	—		$	—
Net realized gain (loss)		—			—
Net unrealized appreciation (depreciation)		(230	)		—
Purchases		2,347			56,271
Sales		—			—
Transfers into Level 3 during the period		—			—
Transfers out of Level 3 during the period		—			—
Ending Balance 3-31-12	$	2,117		$	56,271
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 3-31-12	$	(230	)	$	—

Significant unobservable inputs were used to determine fair value:

(1) Equity Securities. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.

(2) Corporate Bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following forward foreign currency contracts were outstanding at March 31, 2012:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Euro	Deutsche Bank AG		7,900		6-13-12	$	—	$	179
Sell	Euro	Morgan Stanley International		14,300		6-14-12		—		275
Sell	Euro	Goldman Sachs International		30,000		6-15-12		993		—
							$	993	$	454

The following written options were outstanding at March 31, 2012 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
Blackstone Group L.P. (The)	N/A	Put		201		May 2012	$	14.00	$	6	$	(4	)
Cisco Systems, Inc.	N/A	Put		1,288		June 2012		19.00		50		(33	)
Cognizant Technology Solutions Corporation, Class A	N/A	Put		121		April 2012		65.00		13		(1	)
	N/A	Put		162		May 2012		70.00		17		(15	)
DAX Index	Morgan Stanley & Co., Inc.	Put		145		April 2012		EUR5,900.00		59		(4	)
	JPMorgan Chase Bank N.A.	Put		146		April 2012		5,950.00		39		(4	)
	Morgan Stanley & Co., Inc.	Put		291		May 2012		6,150.00		64		(57	)
Euro (Currency)	Deutsche Bank AG	Put		1		May 2012	$	1.22		225		(25	)
Exxon Mobil Corporation	N/A	Put		161		May 2012		80.00		11		(6	)
	N/A	Put		161		July 2012		80.00		24		(18	)
FTSE 100 Index	Citibank N.A.	Put		144		April 2012		GBP5,150.00		63		(12	)
	Citibank N.A.	Put		145		May 2012		5,100.00		46		(48	)
Intel Corporation	N/A	Put		885		June 2012	$	26.00		45		(38	)
Japanese Yen (Currency)	Deutsche Bank AG	Put		1		April 2012		86.50		68		(14	)
NASDAQ 100 Index	Deutsche Bank AG	Put		103		April 2012		2,200.00		153		(2	)
	N/A	Put		104		April 2012		2,275.00		107		(4	)
	Citibank N.A.	Put		100		May 2012		2,375.00		100		(60	)
	Deutsche Bank AG	Put		98		May 2012		2,400.00		91		(67	)
National Oilwell Varco, Inc.	N/A	Put		161		May 2012		72.50		26		(24	)
Russell 2000 Index	UBS AG	Put		640		April 2012		720.00		491		(39	)
	Citibank N.A.	Put		323		May 2012		720.00		174		(121	)
	UBS AG	Put		327		May 2012		730.00		222		(147	)
S&P 500 Index	N/A	Put		492		April 2012		1,190.00		245		(18	)
	N/A	Put		485		April 2012		1,170.00		375		(13	)
	Deutsche Bank AG	Put		484		May 2012		1,220.00		242		(134	)
	Goldman Sachs International	Put		477		May 2012		1,225.00		212		(140	)
Starwood Hotels & Resorts Worldwide, Inc.	Goldman Sachs International	Put		122		April 2012		50.00		13		(2	)
	N/A	Put		162		May 2012		52.50		17		(19	)
Total S.A.	Deutsche Bank AG	Put		241		June 2012		EUR35.00		25		(16	)
	Citibank N.A.	Put		242		June 2012		36.00		25		(24	)
	Credit Suisse AG	Put		242		June 2012		39.00		22		(61	)
	Credit Suisse AG	Put		242		June 2012		38.00		19		(45	)
									$	3,289	$	(1,215	)

* 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 March 31, 2012, the total value of these securities amounted to $144,284 or 10.8% of net assets.

(D) All or a portion of the security position is held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements.

(E) Restricted securities. At March 31, 2012, the Portfolio owned the following restricted securities:

Security	Acquisition Date(s)		Shares/Principal			Cost		Market Value
Delta Prefco Limited		1-23-2012		—	*	$	—	$	—	*
Delta Topco Limited		1-23-2012	$	63,881		$	59,796	$	58,388
						$	59,796	$	58,388

The total value of these securities represented 4.4% of net assets at March 31, 2012.

(F) Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real, EUR - Euro, GBP - British Pound and NOK - Norwegian Krone).

(G) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(H) Payment-in-kind bonds.

(I) Interest-only security. Amount shown as principal represents notional amount for computation of interest.

(J) Rate shown is the yield to maturity at March 31, 2012.

(K) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost		$1,012,344
Gross unrealized appreciation		351,442
Gross unrealized depreciation		(22,752	)
Net unrealized appreciation	$	328,690

SCHEDULE OF INVESTMENTS Balanced (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 3.5%
General Dynamics Corporation		37	$	2,700
Honeywell International Inc.		78		4,780
Precision Castparts Corp.		34		5,897
				13,377
Apparel Retail – 2.1%
Limited Brands, Inc.		161		7,708
Apparel, Accessories & Luxury Goods – 0.8%
lululemon athletica inc. (A)		42		3,107
Application Software – 1.5%
Intuit Inc.		90		5,418
Auto Parts & Equipment – 1.7%
BorgWarner Inc. (A)		76		6,368
Brewers – 2.1%
Anheuser-Busch InBev S.A., ADR		105		7,657
Broadcasting – 2.0%
CBS Corporation, Class B		214		7,263
Communications Equipment – 1.1%
QUALCOMM Incorporated		62		4,190
Computer Hardware – 3.8%
Apple Inc. (A)		24		14,328
Construction & Farm Machinery & Heavy Trucks – 0.7%
Caterpillar Inc.		25		2,652
Department Stores – 1.5%
Macy’s Inc.		137		5,455
Distillers & Vintners – 1.7%
Brown-Forman Corporation, Class B		73		6,104
Diversified Support Services – 0.4%
Cintas Corporation		33		1,299
Electric Utilities – 1.1%
PPL Corporation		138		3,886
Fertilizers & Agricultural Chemicals – 1.2%
Monsanto Company		55		4,411
Food Retail – 1.2%
Whole Foods Market, Inc.		52		4,326
Footwear – 1.6%
NIKE, Inc., Class B		54		5,845
Health Care Distributors – 1.1%
Henry Schein, Inc. (A)		53		3,981

Hotels, Resorts & Cruise Lines – 1.7%
Hyatt Hotels Corporation, Class A (A)	147	6,293
Household Products – 1.1%
Colgate-Palmolive Company	43	4,224
Integrated Oil & Gas – 3.1%
ConocoPhillips	110	8,353
Exxon Mobil Corporation	35	3,001
		11,354
Integrated Telecommunication Services – 0.9%
AT&T Inc.	107	3,351
Internet Software & Services – 2.1%
eBay Inc. (A)	73	2,697
Google Inc., Class A (A)	8	4,937
		7,634
Life Sciences Tools & Services – 1.8%
Agilent Technologies, Inc.	60	2,666
Mettler-Toledo International Inc. (A)	21	3,954
		6,620
Motorcycle Manufacturers – 1.4%
Harley-Davidson, Inc.	108	5,291
Oil & Gas Equipment & Services – 3.7%
Halliburton Company	66	2,184
National Oilwell Varco, Inc.	101	8,050
Schlumberger Limited	48	3,343
		13,577
Other Diversified Financial Services – 1.9%
JPMorgan Chase & Co.	152	6,984
Packaged Foods & Meats – 3.1%
Hershey Foods Corporation	68	4,195
Mead Johnson Nutrition Company	89	7,325
		11,520
Personal Products – 1.3%
Estee Lauder Companies Inc. (The), Class A	80	4,937
Pharmaceuticals – 3.4%
Allergan, Inc.	75	7,109
Johnson & Johnson	82	5,396
		12,505
Property & Casualty Insurance – 2.2%
Berkshire Hathaway Inc., Class B (A)	58	4,667
Travelers Companies, Inc. (The)	58	3,416
		8,083
Railroads – 2.1%
Kansas City Southern	37	2,617
Union Pacific Corporation	46	4,965
		7,582
Regional Banks – 1.7%
PNC Financial Services Group, Inc. (The)	100	6,455
Restaurants – 3.3%
McDonald’s Corporation	63	6,219
starbucks Corporation	106	5,929
		12,148

Semiconductor Equipment – 2.2%
ASML Holding N.V., NY Registry Shares		91		4,55
KLA-Tencor Corporation		68		3,717
				8,270
Semiconductors – 1.9%
Microchip Technology Incorporated		188		6,997
Systems Software – 2.6%
Microsoft Corporation		125		4,022
Oracle Corporation		186		5,420
				9,442
Tobacco – 2.1%
Philip Morris International Inc.		87		7,727
TOTAL COMMON STOCKS – 72.7%			$	268,369
(Cost: $187,398)
CORPORATE DEBT SECURITIES	Principal
Apparel Retail – 0.6%
Limited Brands, Inc.: 6.900%, 7–15–17	$	250		278
6.625%, 4–1–21		1,460		1,582
5.625%, 2–15–22		414		418
				2,278
Automobile Manufacturers – 1.0%
Ford Motor Company, Convertible, 4.250%, 11–15–16		2,000		3,171
Banking – 0.2%
Commonwealth Bank of Australia New York, 1.950%, 3–16–15		600		604
Brewers – 0.4%
Anheuser-Busch InBev Worldwide Inc.: 3.000%, 10–15–12		500		506
5.375%, 11–15–14		500		556
SABMiller Holdings Inc., 3.750%, 1– 15–22 (B)		250		254
				1,316
Broadcasting – 0.7%
CBS Corporation: 8.875%, 5–15–19		1,500		1,970
4.300%, 2–15–21		500		524
				2,494
Cable & Satellite – 0.5%
DIRECTV Holdings LLC, 2.400%, 3–15–17 (B)		750		743
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., 3.500%, 3–1–16		500		525
Discovery Communications, LLC, 4.375%, 6–15–21		500		537
				1,805
Construction & Farm Machinery & Heavy Trucks – 0.4%
Caterpillar Inc.: 0.593%, 5–21–12 (C)		300		301
1.375%, 5–27–14		500		508
John Deere Capital Corporation, 5.250%, 10–1–12		750		768
				1,577
Consumer Finance – 0.8%
American Express Credit Corporation, 5.125%, 8–25–14		400		435
Capital One Financial Corporation, 2.125%, 7–15–14		500		503
Caterpillar Financial Services Corporation, 1.550%, 12–20–13		500		508
Ford Motor Credit Company LLC: 3.875%, 1–15–15		500		505
7.000%, 4–15–15		750		820
USAA Capital Corporation,

1.050%, 9–30–14 (B)	500	495
		3,266
Data Processing & Outsourced Services – 0.5%
Fidelity National Financial, Inc., 6.600%, 5–15–17	1,600	1,694
Diversified Banks – 0.6%
Bank of Montreal, 1.300%, 10–31–14 (B)	500	504
Bank of New York Mellon Corporation (The), 1.500%, 1–31–14	500	506
Barclays Bank plc, 2.375%, 1–13–14	300	302
U.S. Bancorp, 4.200%, 5–15–14	500	535
Wells Fargo & Company, 3.676%, 6–15–16 (C)	250	267
		2,114
Diversified Capital Markets – 0.2%
Deutsche Bank AG, 3.450%, 3–30–15	750	778
Diversified Metals & Mining – 0.2%
Rio Tinto Finance (USA) Limited, 8.950%, 5–1–14	500	580
Drug Retail – 0.3%
CVS Caremark Corporation, 3.250%, 5–18–15	950	1,007
Electric Utilities – 0.4%
Hydro-Quebec, 8.000%, 2–1–13	1,500	1,591
Fertilizers & Agricultural Chemicals – 0.1%
Monsanto Company, 2.750%, 4–15–16	500	524
Food Distributors – 0.4%
Cargill, Inc., 4.307%, 5–14–21 (B)	1,219	1,293
Food Retail – 0.4%
Kroger Co. (The), 6.200%, 6–15–12	2,000	2,021
General Merchandise Stores – 0.1%
Target Corporation, 1.125%, 7–18–14	500	505
Health Care Equipment – 0.1%
Stryker Corporation, 2.000%, 9–30–16	500	512
Health Care Services – 0.3%
Quest Diagnostics Incorporated, 3.200%, 4–1–16	1,000	1,049
Health Care Supplies – 0.1%
DENTSPLY International Inc., 2.750%, 8–15–16	250	251
Home Improvement Retail – 0.1%
Home Depot, Inc. (The), 4.400%, 4–1–21	375	420
Household Products – 0.1%
Colgate-Palmolive Company, 1.250%, 5–1–14	250	254
Hypermarkets & Super Centers – 0.3%
Wal-Mart Stores, Inc.,

2.875%, 4–1–15	875	928
Independent Finance – 0.1%
Toyota Motor Credit Corporation, 2.050%, 1–12–17	500	507
Industrial Gases – 0.6%
Praxair, Inc.:
4.375%, 3–31–14	1,500	1,607
3.000%, 9–1–21	500	507
		2,114
Industrial Machinery – 0.6%
Eaton Corporation, 0.804%, 6–16–14 (C)	500	501
Illinois Tool Works Inc., 5.150%, 4–1–14	1,500	1,628
		2,129
Integrated Oil & Gas – 0.6%
Cenovus Energy Inc., 4.500%, 9–15–14	250	270
ConocoPhillips, 4.750%, 2–1–14	1,500	1,610
		1,880
Integrated Telecommunication Services – 0.3%
AT&T Inc., 4.850%, 2–15–14	1,000	1,075
IT Consulting & Other Services – 0.3%
International Business Machines Corporation, 1.250%, 5–12–14	1,000	1,012
Leisure Products – 0.1%
Mattel, Inc., 2.500%, 11–1–16	250	256
Life & Health Insurance – 0.6%
MetLife Global Funding I:
2.000%, 1–10–14 (B)	800	812
2.500%, 9–29–15 (B)	1,000	1,030
Prudential Financial, Inc., 4.750%, 9–17–15	500	543
		2,385
Movies & Entertainment – 0.1%
Viacom Inc., 4.375%, 9–15–14	500	539
Oil & Gas Equipment & Services – 0.1%
Schlumberger S.A. (GTD by Schlumberger Limited), 2.650%, 1–15–16 (B)	500	520
Oil & Gas Exploration & Production – 0.4%
EOG Resources, Inc., 2.500%, 2–1–16	1,000	1,032
Southwestern Energy Company, 4.100%, 3–15–22 (B)	600	595
		1,627
Other Diversified Financial Services – 0.9%
JPMorgan Chase & Co.:
4.650%, 6–1–14	1,000	1,066
3.450%, 3–1–16	1,000	1,042
3.150%, 7–5–16	500	515
7.900%, 4–29–49 (C)	500	548
		3,171
Other Non-Agency REMIC/CMO – 0.0%
Banco Hipotecario Nacional:
7.916%, 7–25–09 (B)(D)	17	—	*
8.000%, 3–31–11 (B)(D)	4	—	*
		—	*
Packaged Foods & Meats – 0.3%
Kraft Foods Inc., 4.125%, 2–9–16	1,000	1,087

Pharmaceuticals – 0.3%
Roche Holdings Ltd, 5.000%, 3–1–14 (B)	952		1,026
Property & Casualty Insurance – 0.1%
Berkshire Hathaway Finance Corporation, 4.000%, 4–15–12 (B)	500		501
Railroads – 0.1%
Burlington Northern Santa Fe, LLC, 3.050%, 3–15–22	400		393
Restaurants – 0.1%
YUM! Brands, Inc., 4.250%, 9–15–15	500		542
Semiconductors – 0.2%
Broadcom Corporation, 2.700%, 11–1–18	250		254
Texas Instruments Incorporated, 0.683%, 5–15–13 (C)	500		502
			756
Soft Drinks – 0.2%
PepsiCo, Inc., 3.750%, 3–1–14	750		796
Systems Software – 0.1%
Microsoft Corporation, 2.950%, 6–1–14	500		527
Tobacco – 0.2%
Philip Morris International Inc., 4.500%, 3–26–20	750		840
Wireless Telecommunication Service – 0.3%
America Movil, S.A.B. de C.V., 3.625%, 3–30–15	700		740
American Tower Corporation, 4.700%, 3–15–22	500		504
			1,244
TOTAL CORPORATE DEBT SECURITIES – 15.4%		$	56,959
(Cost: $53,135)
OTHER GOVERNMENT SECURITIES
Israel – 0.1%
State of Israel, 4.000%, 6–30–22	500		494
Qatar – 0.2%
State of Qatar, 4.000%, 1–20–15 (B)	750		789
Supranational – 0.3%
International Bank for Reconstruction and Development, 2.375%, 5–26–15	900		949
TOTAL OTHER GOVERNMENT SECURITIES – 0.6%		$	2,232
(Cost: $2,141)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 1.7%
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
6.000%, 9–1–17	195		213
5.000%, 1–1–18	102		111
5.500%, 4–1–18	32		35
5.000%, 5–1–18	62		67
4.500%, 7–1–18	898		965

7.000%, 9–1–25	69		79
6.500%, 10–1–28	220		256
6.500%, 2–1–29	114		132
7.500%, 4–1–31	113		136
7.000%, 7–1–31	171		201
7.000%, 9–1–31	259		305
6.500%, 2–1–32	547		624
7.000%, 2–1–32	334		392
7.000%, 3–1–32	124		145
7.000%, 7–1–32	227		266
6.000%, 9–1–32	1,107		1,236
6.000%, 2–1–33	144		161
5.500%, 5–1–33	596		656
5.500%, 6–1–33	259		285
United States Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, 1997–A Class 3–A, 8.293%, 12–15–26	61		72
			6,337
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.7%		$	6,337
(Cost: $5,743)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Inflation Protected Obligations – 0.3%
United States Treasury Notes, 3.000%, 7–15–12 (E)	1,261		1,289
Treasury Obligations – 8.4%
United States Treasury Bonds:
7.500%, 11–15–16	1,500		1,943
6.250%, 8–15–23	5,250		7,266
United States Treasury Notes:
3.875%, 2–15–13	3,000		3,095
3.625%, 5–15–13	3,000		3,113
4.250%, 8–15–13	4,000		4,216
4.250%, 8–15–15	10,000		11,203
			30,836
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 8.7%		$	32,125
(Cost: $28,381)
SHORT-TERM SECURITIES
Master Note – 0.4%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (F)	1,509		1,509
TOTAL SHORT-TERM SECURITIES – 0.4%		$	1,509
(Cost: $1,509)
TOTAL INVESTMENT SECURITIES – 99.5%		$	367,531
(Cost: $278,307)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5%			1,794
NET ASSETS – 100.0%		$	369,325

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	268,369	$	—	$	—
Corporate Debt Securities		—		56,959		—	*
Other Government Securities		—		2,232		—
United States Government Agency Obligations		—		6,337		—
United States Government Obligations		—		32,125		—
Short-Term Securities		—		1,509		—
Total	$	268,369	$	99,162	$	—	*

There were no significant transfers between any levels during the period ended March 31, 2012.

* 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 March 31, 2012, the total value of these securities amounted to $8,562 or 2.3% of net assets.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(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) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	278,307
Gross unrealized appreciation		89,307
Gross unrealized depreciation		(83	)
Net unrealized appreciation	$	89,224

SCHEDULE OF INVESTMENTS Bond (in thousands) MARCH 31, 2012 (UNAUDITED)

ASSET-BACKED SECURITIES	Principal		Value
Lehman ABS Manufactured Housing Contract Trust 2001-B,
3.010%, 4–15–40	$	61	$	60
TOTAL ASSET-BACKED SECURITIES – 0.0%			$	60
(Cost: $60)
CORPORATE DEBT SECURITIES
Aerospace & Defense – 1.7%
Bombardier Inc.,
7.500%, 3–15–18 (A)		5,775		6,353
United Technologies Corporation,
6.125%, 2–1–19		3,000		3,684
				10,037
Apparel Retail – 1.4%
Limited Brands, Inc.:
8.500%, 6–15–19		3,485		4,121
7.000%, 5–1–20		1,000		1,115
5.625%, 2–15–22		2,665		2,688
				7,924
Automotive Manufacturers – 0.5%
Volkswagen International Finance N.V.,
2.375%, 3–22–17 (A)		3,000		3,010
Biotechnology – 1.4%
Amgen Inc.,
6.150%, 6–1–18		6,500		7,786
Brewers – 1.2%
SABMiller Holdings Inc.,
2.450%, 1–15–17 (A)		3,000		3,037
SABMiller plc,
6.500%, 7–15–18 (A)		3,000		3,639
				6,676
Broadcasting – 1.9%
CBS Corporation,
8.875%, 5–15–19		6,000		7,881
NBCUniversal Media, LLC,
5.150%, 4–30–20		2,810		3,179
				11,060
Cable & Satellite – 2.8%
Comcast Corporation,
5.150%, 3–1–20		5,000		5,751
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.,
3.500%, 3–1–16		4,000		4,200
Time Warner Inc.,
4.750%, 3–29–21		5,750		6,312
				16,263
Coal & Consumable Fuels – 0.3%
Peabody Energy Corporation,
6.500%, 9–15–20		2,000		2,000
Consumer Finance – 2.5%
American Express Credit Corporation,
2.750%, 9–15–15		2,000		2,075
Capital One Financial Corporation,
3.150%, 7–15–16		6,500		6,650
Ford Motor Credit Company LLC,
7.000%, 4–15–15		5,000		5,462
				14,187
Data Processing & Outsourced Services – 2.4%
Fidelity National Financial, Inc.,
6.600%, 5–15–17		8,000		8,469
Western Union Company (The),

3.650%, 8–22–18	5,000	5,344
		13,813
Department Stores – 0.7%
Macy’s Retail Holdings, Inc.,
3.875%, 1–15–22	4,000	4,010
Distillers & Vintners – 1.3%
Diageo Capital plc,
5.750%, 10–23–17	6,500	7,811
Diversified Banks – 3.1%
HSBC Holdings plc,
5.100%, 4–5–21	7,000	7,564
U.S. Bancorp,
4.125%, 5–24–21	4,000	4,300
Wells Fargo & Company,
3.676%, 6–15–16 (B)	6,000	6,406
		18,270
Diversified Capital Markets – 0.5%
Credit Suisse AG,
3.500%, 3–23–15	3,000	3,127
Diversified Chemicals – 1.2%
Dow Chemical Company (The),
8.550%, 5–15–19	5,500	7,207
Diversified Metals & Mining – 1.0%
Rio Tinto Finance (USA) Limited,
3.750%, 9–20–21	5,500	5,676
Electric Utilities – 2.7%
Detroit Edison Company (The),
3.900%, 6–1–21	4,875	5,215
NextEra Energy Capital Holdings, Inc.,
7.875%, 12–15–15	5,000	6,010
PacifiCorp,
2.950%, 2–1–22	4,000	3,942
		15,167
Electronic Manufacturing Services – 1.0%
Jabil Circuit, Inc.:
7.750%, 7–15–16	2,000	2,280
8.250%, 3–15–18	3,150	3,662
		5,942
Environmental & Facilities Services – 2.0%
Republic Services, Inc.,
4.750%, 5–15–23	5,000	5,464
Waste Management, Inc.,
4.600%, 3–1–21	5,600	6,147
		11,611
Forest Products – 1.2%
Georgia-Pacific LLC,
5.400%, 11–1–20 (A)	6,000	6,695
Health Care Services – 2.4%
Medco Health Solutions, Inc.:
7.125%, 3–15–18	3,000	3,592
4.125%, 9–15–20	3,500	3,571
Quest Diagnostics Incorporated,
3.200%, 4–1–16	6,000	6,287
		13,450
Health Care Supplies – 0.4%
DENTSPLY International Inc.,
4.125%, 8–15–21	2,500	2,548
Home Improvement Retail – 1.2%
Home Depot, Inc. (The),

4.400%, 4–1–21	6,000	6,721
Household Products – 0.5%
Procter & Gamble Company (The),
8.000%, 9–1–24	2,000	2,894
Industrial Conglomerates – 1.2%
General Electric Capital Corporation,
5.625%, 5–1–18	6,000	6,953
Integrated Telecommunication Services – 1.5%
Verizon Communications Inc.,
8.750%, 11–1–18	6,500	8,819
Investment Banking & Brokerage – 1.8%
Goldman Sachs Group, Inc. (The),
5.375%, 3–15–20	5,500	5,590
Morgan Stanley,
4.100%, 1–26–15	5,000	5,017
		10,607
Life & Health Insurance – 0.8%
Prudential Financial, Inc.,
4.750%, 9–17–15	4,000	4,342
Multi-Utilities – 2.3%
Dominion Resources, Inc.,
5.250%, 8–1–33	2,500	2,781
Duke Energy Indiana, Inc.,
3.750%, 7–15–20	3,000	3,170
NorthWestern Corporation,
6.340%, 4–1–19	3,000	3,459
Pacific Gas and Electric Company,
3.500%, 10–1–20	4,000	4,142
		13,552
Office Electronics – 1.2%
Xerox Corporation,
6.350%, 5–15–18	5,952	6,904
Oil & Gas Equipment & Services – 1.8%
Enterprise Products Operating LLC,
4.050%, 2–15–22	2,000	2,070
Halliburton Company:
6.150%, 9–15–19	4,000	4,874
6.750%, 2–1–27	1,400	1,701
Schlumberger Investment S.A. (GTD by Schlumberger Limited),
3.300%, 9–14–21 (A)	1,500	1,519
		10,164
Oil & Gas Storage & Transportation – 1.1%
Maritimes & Northeast Pipeline, L.L.C.,
7.500%, 5–31–14 (A)	3,593	3,844
Tennessee Gas Pipeline Company,
7.000%, 3–15–27	2,000	2,287
		6,131
Other Diversified Financial Services – 2.7%
Bank of America Corporation:
3.625%, 3–17–16	4,000	3,992
6.500%, 8–1–16	2,000	2,199
ING Bank N.V.,
4.000%, 3–15–16 (A)	3,000	3,036
JPMorgan Chase & Co.,
6.000%, 1–15–18	6,000	6,939
		16,166
Packaged Foods & Meats – 0.3%
H.J. Heinz Company,
3.125%, 9–12–21	1,500	1,501
Paper Products – 0.0%
Westvaco Corporation,
7.500%, 6–15–27	236	263
Pharmaceuticals – 0.5%

Express Scripts, Inc.,
3.125%, 5–15–16	3,000		3,123
Property & Casualty Insurance – 0.9%
Berkshire Hathaway Inc.,
3.750%, 8–15–21	5,000		5,162
Railroads – 0.7%
Burlington Northern Santa Fe, LLC,
3.050%, 3–15–22	4,000		3,931
Restaurants – 0.8%
YUM! Brands, Inc.,
6.250%, 3–15–18	3,792		4,516
Semiconductors – 0.9%
Broadcom Corporation,
2.700%, 11–1–18	5,000		5,082
Specialty Chemicals – 1.2%
Lubrizol Corporation (The),
8.875%, 2–1–19	5,000		6,773
Systems Software – 1.1%
CA, Inc.,
5.375%, 12–1–19	6,000		6,538
Water Utilities – 0.4%
California Water Service Company,
5.875%, 5–1–19	2,000		2,333
Wireless Telecommunication Service – 1.4%
America Movil, S.A.B. de C.V.,
5.000%, 3–30–20	5,500		6,114
American Tower Corporation,
4.700%, 3–15–22	2,000		2,015
			8,129
TOTAL CORPORATE DEBT SECURITIES – 57.9%		$	334,874
(Cost: $316,366)
MORTGAGE-BACKED SECURITIES
Commercial Mortgage-Backed Securities – 1.5%
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005–2,
4.783%, 7–10–43 (B)	117		117
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF1 Trust Fund,
6.500%, 2–15–32	150		138
Deutsche Mortgage and Asset Receiving Corporation COMM 2005-C6 Commercial Mortgage Pass-Through Certificates,
5.144%, 6–10–44	6,000		6,038
Hometown Commercial Capital, LLC Hometown Commercial Mortgage Pass-Through Notes 2006–1,
5.506%, 11–11–38 (A)	128		77
J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004–C1,
4.719%, 1–15–38	2,000		2,098
			8,468
Non-Agency REMIC/CMO – 0.6%
MASTR Adjustable Rate Mortgage Trust 2005–1,
3.312%, 3–25–35 (B)	2,617		195
Merrill Lynch Mortgage Trust 2005–CIP1,
4.949%, 7–12–38 (B)	2,000		2,107

Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004–1, 2.703%, 2–25–34 (B)	599		74
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004–3AC, 2.672%, 3–25–34 (B)	1,151		122
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004–5, 2.890%, 5–25–34 (B)	959		20
Wells Fargo Mortgage Pass-Through Certificates, Series 2003–10, 4.500%, 9–25–18	868		892
			3,410
TOTAL MORTGAGE-BACKED SECURITIES – 2.1%		$	11,878
(Cost: $16,176)
MUNICIPAL BONDS – TAXABLE
Massachusetts – 0.5%
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A, 4.285%, 12–15–18	2,500		2,816
New York – 0.9%
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009,
11.000%, 3–1–29 (A)	4,000		5,033
TOTAL MUNICIPAL BONDS – TAXABLE – 1.4%		$	7,849
(Cost: $6,612)
OTHER GOVERNMENT SECURITIES
Canada – 0.4%
Province de Quebec, 7.140%, 2–27–26	1,500		2,052
Israel – 1.0%
State of Israel, 4.000%, 6–30–22	6,000		5,931
TOTAL OTHER GOVERNMENT SECURITIES – 1.4%		$	7,983
(Cost: $7,470)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Agency Obligations – 3.2%
Federal National Mortgage Association, 2.000%, 3–22–17 (B)	4,900		4,864
Freddie Mac, 5.400%, 3–17–21	11,450		13,377
			18,241
Mortgage-Backed Obligations – 23.8%
Federal Home Loan Mortgage Corporation Agency REMIC/CMO:
5.000%, 5–15–19	1,000		1,085
5.000%, 5–15–23	1,431		1,566
5.000%, 9–15–31 (C)	729		24
2.500%, 12–15–41	6,500		6,655
Federal Home Loan Mortgage Corporation Fixed Rate Participation Certificates:
3.500%, 11–1–20	2,682		2,823
5.000%, 6–1–23	3,212		3,455
4.000%, 7–1–25	4,316		4,562
4.500%, 6–15–27	2,668		2,771
4.500%, 5–15–32	4,000		4,253
4.000%, 11–15–36	2,447		2,544
4.500%, 5–15–39	1,302		1,381

Federal National Mortgage Association Agency REMIC/CMO:
4.780%, 1–25–17	2,633		2,804
5.000%, 3–25–18	2,490		2,675
5.000%, 6–25–18	2,047		2,203
3.000%, 3–15–25	4,183		4,349
4.500%, 12–25–34	884		930
4.000%, 10–15–35	5,429		5,703
5.500%, 11–25–36 (C)	4,760		697
4.500%, 3–25–37	2,961		3,075
5.500%, 4–25–37	2,692		2,962
4.500%, 9–15–37	4,336		4,546
4.000%, 3–25–39	1,683		1,730
4.000%, 5–25–39	2,943		3,107
4.500%, 8–15–39	4,936		5,301
3.000%, 11–25–39	3,731		3,865
4.500%, 6–25–40	3,706		3,992
4.500%, 10–25–40	4,460		4,793
4.750%, 12–15–40	2,594		2,666
5.000%, 7–25–50	4,213		4,621
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
5.423%, 2–1–16	2,227		2,513
5.506%, 4–1–17	3,812		4,266
4.500%, 6–1–19	1,037		1,114
4.500%, 8–1–19	1,432		1,539
4.500%, 9–1–19	2,236		2,395
5.500%, 10–1–21	3,733		4,080
6.000%, 6–1–22	2,634		2,856
6.000%, 9–1–22	3,911		4,241
5.000%, 9–1–23	2,659		2,872
4.000%, 3–1–24	3,658		3,878
4.500%, 7–25–24	952		1,024
5.000%, 6–25–32	1,511		1,561
5.500%, 2–1–33	698		767
5.500%, 2–1–35	2,197		2,431
Government National Mortgage Association Agency REMIC/CMO:
2.500%, 7–20–40	3,960		4,071
2.000%, 3–16–42	7,000		7,064
0.344%, 6–17–45 (B)(C)	599		12
			137,822
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 27.0%		$	156,063
(Cost: $153,710)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 4.5%
United States Treasury Bonds, 3.125%, 11–15–41	6,500		6,211
United States Treasury Notes, 2.125%, 8–15–21	20,000		19,975
			26,186
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 4.5%		$	26,186
(Cost: $26,540)
SHORT-TERM SECURITIES
Commercial Paper – 4.6%
Baxter International Inc.:
0.220%, 4–10–12 (D)	5,000		5,000
0.190%, 4–11–12 (D)	3,400		3,400
Corporacion Andina de Fomento,
0.270%, 4–19–12 (D)	4,000		3,999
Harley-Davidson Funding Corp.,
0.350%, 4–17–12 (D)	5,733		5,732
PACCAR Financial Corp.,
0.120%, 4–10–12 (D)	3,000		3,000
Sysco Corporation,
0.130%, 4–16–12 (D)	5,000		5,000
			26,131

Master Note – 0.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (E)	1,900		1,900
TOTAL SHORT-TERM SECURITIES – 4.9%		$	28,031
(Cost: $28,031)
TOTAL INVESTMENT SECURITIES – 99.2%		$	572,924
(Cost: $554,965)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.8%			4,656
NET ASSETS – 100.0%		$	577,580

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Asset-Backed Securities	$	—	$	60	$	—
Corporate Debt Securities		—		334,874		—
Mortgage-Backed Securities		—		11,878		—
Municipal Bonds		—		7,849		—
Other Government Securities		—		7,983		—
United States Government Agency Obligations		—		156,063		—
United States Government Obligations		—		26,186		—
Short-Term Securities		—		28,031		—
Total	$	—	$	572,924	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

(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 March 31, 2012, the total value of these securities amounted to $36,243 or 6.3% of net assets.

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(C) Interest-only security. Amount shown as principal represents notional amount for computation of interest.

(D) Rate shown is the yield to maturity at March 31, 2012.

(E) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	554,965
Gross unrealized appreciation		24,676
Gross unrealized depreciation		(6,717	)
Net unrealized appreciation	$	17,959

SCHEDULE OF INVESTMENTS Core Equity (in  thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 6.6%
Honeywell International Inc.		131	$	8,010
Precision Castparts Corp.		109		18,830
				26,840
Apparel, Accessories & Luxury Goods – 2.9%
Polo Ralph Lauren Corporation		31		5,457
Under Armour, Inc., Class A (A)		67		6,316
				11,773
Application Software – 1.4%
Intuit Inc.		93		5,604
Biotechnology – 1.1%
Alexion Pharmaceuticals, Inc. (A)		51		4,699
Brewers – 2.4%
Anheuser-Busch InBev S.A., ADR		134		9,759
Broadcasting – 5.7%
CBS Corporation, Class B		536		18,177
Discovery Holding Company, Class A (A)		112		5,667
				23,844
Cable & Satellite – 3.0%
Time Warner Cable Inc.		154		12,518
Computer Hardware – 6.4%
Apple Inc. (A)		44		26,076
Computer Storage & Peripherals – 1.1%
NetApp, Inc. (A)		103		4,625
Consumer Finance – 4.8%
Capital One Financial Corporation		357		19,887
Data Processing & Outsourced Services – 1.9%
MasterCard Incorporated, Class A		19		7,990
Department Stores – 2.2%
Macy’s Inc.		227		9,032
Distillers & Vintners – 1.2%
BEAM, INC		83		4,844
Fertilizers & Agricultural Chemicals – 2.4%
Monsanto Company		123		9,771
Food Retail – 1.6%
Whole Foods Market, Inc.		78		6,490
Health Care Equipment – 1.4%
Covidien plc		105		5,720
Home Improvement Retail – 1.9%
Home Depot, Inc. (The)		154		7,758
Hypermarkets & Super Centers – 1.7%
Costco Wholesale Corporation		78		7,052

Industrial Conglomerates – 2.8%
General Electric Company	563	$	11,303
Industrial Gases – 1.0%
Air Products and Chemicals, Inc.	45		4,131
Industrial Machinery – 1.4%
Pall Corporation	99		5,921
Integrated Oil & Gas – 3.4%
ConocoPhillips	185		14,035
Internet Retail – 0.5%
Groupon, Inc. (A)	103		1,900
Internet Software & Services – 2.3%
Google Inc., Class A (A)	15		9,619
Motorcycle Manufacturers – 3.7%
Harley-Davidson, Inc.	313		15,339
Oil & Gas Equipment & Services – 5.0%
Halliburton Company	358		11,886
National Oilwell Varco, Inc.	55		4,355
Schlumberger Limited	61		4,256
			20,497
Oil & Gas Exploration & Production – 3.1%
Devon Energy Corporation	77		5,469
Noble Energy, Inc.	73		7,136
			12,605
Other Diversified Financial Services – 1.7%
JPMorgan Chase & Co.	149		6,842
Packaged Foods & Meats – 2.4%
Mead Johnson Nutrition Company	118		9,766
Personal Products – 2.0%
Estee Lauder Companies Inc. (The), Class A	134		8,321
Pharmaceuticals – 6.3%
Allergan, Inc.	102		9,754
Johnson & Johnson	105		6,932
Pfizer Inc.	404		9,146
			25,832
Railroads – 3.8%
Kansas City Southern	64		4,552
Union Pacific Corporation	104		11,175
			15,727
Restaurants – 3.3%
McDonald’s Corporation	92		8,986
Starbucks Corporation	79		4,426
			13,412
Semiconductors – 4.0%
Altera Corporation	211		8,410
Microchip Technology Incorporated	212		7,899
			16,309

Tobacco – 3.2%
Philip Morris International Inc.		152		13,456
TOTAL COMMON STOCKS – 99.6%			$	409,297
(Cost: $324,079)
SHORT-TERM SECURITIES	Principal
Master Note – 0.3%
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (B)	$	1,190		1,190
TOTAL SHORT-TERM SECURITIES – 0.3%			$	1,190
(Cost: $1,190)
TOTAL INVESTMENT SECURITIES – 99.9%			$	410,487
(Cost: $325,269)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%				407
NET ASSETS – 100.0%			$	410,894

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	95,576	$	—	$	—
Consumer Staples		59,688		—		—
Energy		47,137		—		—
Financials		26,729		—		—
Health Care		36,251		—		—
Industrials		59,791		—		—
Information Technology		70,223		—		—
Materials		13,902		—		—
Total Common Stocks	$	409,297	$	—	$	—
Short-Term Securities		—		1,190		—
Total	$	409,297	$	1,190	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	325,269
Gross unrealized appreciation		89,242
Gross unrealized depreciation		(4,024	)
Net unrealized appreciation	$	85,218

SCHEDULE OF INVESTMENTS Dividend Opportunities (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 5.6%
Boeing Company (The)		143	$	10,646
General Dynamics Corporation		65		4,788
Honeywell International Inc.		92		5,586
				21,020
Brewers – 2.0%
Anheuser-Busch InBev S.A., ADR		104		7,534
Broadcasting – 0.6%
CBS Corporation, Class B		69		2,353
Casinos & Gaming – 2.1%
Las Vegas Sands, Inc.		33		1,897
Wynn Resorts, Limited		49		6,104
				8,001
Communications Equipment – 1.6%
QUALCOMM Incorporated		89		6,023
Computer Hardware – 3.5%
Apple Inc. (A)		22		13,128
Construction & Farm Machinery & Heavy Trucks – 5.2%
Caterpillar Inc.		90		9,630
Cummins Inc.		28		3,373
Deere & Company		83		6,728
				19,731
Consumer Finance – 1.7%
Capital One Financial Corporation		115		6,430
Data Processing & Outsourced Services – 2.1%
Visa Inc., Class A		67		7,865
Distillers & Vintners – 1.7%
Diageo plc, ADR		68		6,601
Diversified Banks – 2.4%
Wells Fargo & Company		262		8,960
Diversified Chemicals – 1.3%
Dow Chemical Company (The)		147		5,102
Diversified Metals & Mining – 2.9%
BHP Billiton Limited, ADR		22		1,622
Rio Tinto plc, ADR		94		5,218
Southern Copper Corporation		121		3,844
				10,684
Electrical Components & Equipment – 1.3%
Emerson Electric Co.		93		4,843
General Merchandise Stores – 1.0%
Target Corporation		65		3,788
Home Improvement Retail – 3.0%
Home Depot, Inc. (The)		225		11,332
Homebuilding – 1.3%
D.R. Horton, Inc.		320		4,848

Household Products – 1.1%
Colgate-Palmolive Company	43	4,172
Industrial Conglomerates – 2.0%
General Electric Company	375	7,522
Industrial Gases – 1.0%
Air Products and Chemicals, Inc.	41	3,727
Integrated Oil & Gas – 3.6%
ConocoPhillips	64	4,841
Exxon Mobil Corporation	101	8,790
		13,631
Integrated Telecommunication Services – 2.0%
AT&T Inc.	247	7,715
Investment Banking & Brokerage – 1.7%
Goldman Sachs Group, Inc. (The)	53	6,616
Mortgage REITs – 2.1%
American Capital Agency Corp.	267	7,881
Multi-Utilities – 1.0%
PG&E Corporation	88	3,805
Oil & Gas Drilling – 2.5%
Seadrill Limited	247	9,276
Oil & Gas Equipment & Services – 7.1%
Halliburton Company	99	3,279
National Oilwell Varco, Inc.	130	10,371
Schlumberger Limited	190	13,266
		26,916
Oil & Gas Exploration & Production – 1.3%
Apache Corporation	51	5,088
Other Diversified Financial Services – 3.3%
JPMorgan Chase & Co.	272	12,518
Personal Products – 1.0%
Estee Lauder Companies Inc. (The), Class A	60	3,729
Pharmaceuticals – 5.2%
Johnson & Johnson	108	7,120
Merck & Co., Inc.	94	3,608
Pfizer Inc.	392	8,881
		19,609
Property & Casualty Insurance – 1.1%
ACE Limited	59	4,290
Railroads – 4.3%
Kansas City Southern	71	5,065
Union Pacific Corporation	103	11,121
		16,186
Restaurants – 4.0%
McDonald’s Corporation	97	9,474
Starbucks Corporation	99	5,516
		14,990

Semiconductors – 4.1%
Intel Corporation		94	$	2,637
Microchip Technology Incorporated		355		13,195
				15,832
Soft Drinks – 1.4%
Coca-Cola Company (The)		69		5,114
Specialized Finance – 0.5%
CME Group Inc.		6		1,852
Tobacco – 7.4%
Altria Group, Inc.		309		9,547
Philip Morris International Inc.		211		18,696
				28,243
TOTAL COMMON STOCKS – 97.0%			$	366,955
(Cost: $309,994)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 1.4%
Kraft Foods Inc., 0.220%, 4–2–12 (B)	$	2,028		2,028
Wisconsin Electric Power Co., 0.180%, 4–12–12 (B)		3,000		3,000
				5,028
Master Note – 1.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (C)		5,074		5,074
TOTAL SHORT-TERM SECURITIES – 2.7%			$	10,102
(Cost: $10,102)
TOTAL INVESTMENT SECURITIES – 99.7%			$	377,057
(Cost: $320,096)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3%				1,196
NET ASSETS – 100.0%			$	378,253

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	366,955	$	—	$	—
Short-Term Securities		—		10,102		—
Total	$	366,955	$	10,102	$	—

There were no significant transfers between any levels during the period ended March 31, 2012.

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

(B) Rate shown is the yield to maturity at March 31, 2012.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	320,096
Gross unrealized appreciation		59,945
Gross unrealized depreciation		(2,984	)
Net unrealized appreciation	$	56,961

SCHEDULE OF INVESTMENTS

Energy (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Auto Parts & Equipment – 1.3%
BorgWarner Inc. (A)		11	$	898
Coal & Consumable Fuels – 2.3%
Arch Coal, Inc.		32		344
Cameco Corporation		30		653
Peabody Energy Corporation		20		592
				1,589
Construction & Engineering – 3.8%
Chicago Bridge & Iron Company N.V., NY Shares		20		862
Fluor Corporation		29		1,765
				2,627
Construction & Farm Machinery & Heavy Trucks – 1.9%
Caterpillar Inc.		4		415
Cummins Inc.		7		877
				1,292
Diversified Metals & Mining – 1.5%
BHP Billiton Limited, ADR		15		1,053
Integrated Oil & Gas – 10.4%
BP plc, ADR		13		587
ConocoPhillips		19		1,463
Exxon Mobil Corporation		26		2,225
Occidental Petroleum Corporation		22		2,062
Suncor Energy Inc.		25		821
				7,158
Oil & Gas Drilling – 8.2%
ENSCO International Incorporated		16		844
Helmerich & Payne, Inc.		29		1,582
Nabors Industries Ltd. (A)		53		923
Seadrill Limited		29		1,099
Transocean Inc.		22		1,225
				5,673
Oil & Gas Equipment & Services – 28.1%
Basic Energy Services, Inc. (A)		31		538
Cameron International Corporation (A)		42		2,219
Core Laboratories N.V.		15		1,980
Dresser-Rand Group Inc. (A)		22		1,004
Dril-Quip, Inc. (A)		18		1,157
FMC Technologies, Inc. (A)		35		1,762
Halliburton Company		39		1,283
National Oilwell Varco, Inc.		45		3,545
Schlumberger Limited		38		2,672
Superior Energy Services, Inc. (A)		43		1,144
Tenaris S.A., ADR		24		910
Weatherford International Ltd. (A)		72		1,086
				19,300

Oil & Gas Exploration & Production – 29.6%
Anadarko Petroleum Corporation		30		2,365
Apache Corporation		19		1,933
Cabot Oil & Gas Corporation		32		985
CNOOC Limited, ADR		4		827
Cobalt International Energy, Inc. (A)		26		781
Concho Resources Inc. (A)		8		771
Continental Resources, Inc. (A)		35		3,041
Devon Energy Corporation		18		1,291
EOG Resources, Inc.		12		1,378
Kosmos Energy Ltd. (A)		36		481
Laredo Petroleum Holdings, Inc. (A)		16		366
Matador Resources Company (A)		25		279
Noble Energy, Inc.		16		1,550
Oasis Petroleum LLC (A)		22		671
Pioneer Natural Resources Company		3		368
Plains Exploration and Production Company (A)		23		992
Southwestern Energy Company (A)		48		1,464
St. Mary Land & Exploration Company		12		814
				20,357
Oil & Gas Refining & Marketing – 1.1%
Clean Energy Fuels Corp. (A)		34		732
Oil & Gas Storage & Transportation – 8.4%
El Paso Corporation		78		2,293
El Paso Pipeline Partners, L.P.		28		972
Enbridge Inc.		45		1,740
Williams Companies, Inc. (The)		25		781
				5,786
TOTAL COMMON STOCKS – 96.6%			$	66,465
(Cost: $60,438)
SHORT-TERM SECURITIES		Principal
Master Note – 3.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (B)	$	2,241		2,241
TOTAL SHORT-TERM SECURITIES – 3.3%			$	2,241
(Cost: $2,241)
TOTAL INVESTMENT SECURITIES – 99.9%			$	68,706
(Cost: $62,679)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%				66
NET ASSETS – 100.0%			$	68,772

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	66,465	$	—	$	—
Short-Term Securities		—		2,241		—
Total	$	66,465	$	2,241	$	—

There were no significant transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	62,679
Gross unrealized appreciation		10,113
Gross unrealized depreciation		(4,086	)
Net unrealized appreciation	$	6,027

SCHEDULE OF INVESTMENTS Global Bond (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Water Utilities – 0.2%
Aguas Andinas S.A. (A)		34	$	21
TOTAL COMMON STOCKS – 0.2%			$	21
(Cost: $20)
CORPORATE DEBT SECURITIES	Principal
Aerospace & Defense – 1.9%
Bombardier Inc.,
7.500%, 3–15–18 (B)	$	50		55
Embraer Overseas Limited,
6.375%, 1–24–17		100		111
				166
Agricultural Products – 1.3%
CCL Finance Limited,
9.500%, 8–15–14		100		112
Airlines – 1.8%
Aeropuertos Argentina 2000 S.A.,
10.750%, 12–1–20 (B)		48		48
TAM Capital 2 Inc.,
9.500%, 1–29–20		100		109
				157
Broadcasting – 2.5%
Globo Comunicacoe e Participacoes S.A.,
6.250%, 12–20–49 (C)		200		212
Coal & Consumable Fuels – 2.5%
Indo Integrated Energy II B.V.,
9.750%, 11–5–16		100		108
PT Adaro Indonesia,
7.625%, 10–22–19		100		109
				217
Diversified Banks – 11.1%
Banco Bradesco S.A.,
4.125%, 5–16–16 (B)		200		207
Banco Cruzeiro do Sul S.A.,
7.000%, 7–8–13		115		109
Banco de Credito del Peru,
4.750%, 3–16–16 (B)		100		103
Banco Santander Chile, S.A.,
3.750%, 9–22–15 (B)		100		102
Bancolombia S.A.,
4.250%, 1–12–16		100		103
ICICI Bank Limited,
6.625%, 10–3–12 (B)		125		128
Sberbank Rossii OAO,
6.480%, 5–15–13		100		105
State Bank of India,
4.500%, 10–23–14		100		102
				959
Diversified Metals & Mining – 0.7%
Glencore Funding LLC,
6.000%, 4–15–14 (B)		60		64
Electric Utilities – 5.7%
Compania de Transporte de Energia Electrica en Alta Tension TRANSENER S.A.,
9.750%, 8–15–21 (B)		50		39
Empresa Distribuidora y Comercializadora Norte S.A.,
9.750%, 10–25–22 (B)		50		30
Listrindo Capital B.V.,
6.950%, 2–21–19 (B)		200		206
Majapahit Holding B.V.,
7.750%, 10–17–16		100		116

Rural Electrification Corporation Limited,
4.250%, 1–25–16		100	100
			491
Food Distributors – 1.2%
Olam International Limited,
7.500%, 8–12–20		100	100
Homebuilding – 1.5%
Desarrolladora Homex, S.A. de C.V.,
7.500%, 9–28–15		25	25
URBI, Desarrollos Urbanos, S.A. de C.V.,
8.500%, 4–19–16		100	102
			127
Household Appliances – 0.9%
Controladora Mabe, S.A. de C.V.:
6.500%, 12–15–15		50	53
6.500%, 12–15–15 (B)		25	26
			79
Independent Power Producers & Energy Traders – 1.2%
China Resources Power Holdings Company Limited,
3.750%, 8–3–15		100	100
Industrial Conglomerates – 1.6%
Jaiprakash Associates Limited, Convertible,
0.000%, 9–12–12 (D)		100	139
IT Consulting & Other Services – 0.3%
iGATE Corporation,
9.000%, 5–1–16		25	27
Marine – 3.2%
PB Issuer (No. 2) Limited, Convertible,
1.750%, 4–12–16		90	84
SCF Capital Limited,
5.375%, 10–27–17		200	191
			275
Multi-Utilities – 0.8%
Black Hills Corporation,
9.000%, 5–15–14		65	73
Oil & Gas Drilling – 4.3%
Lancer Finance Company (SPV) Limited,
5.850%, 12–12–16 (B)		78	80
Noble Group Limited,
4.875%, 8–5–15		100	100
QGOG Atlantic/Alaskan Rigs Ltd.,
5.250%, 7–30–18 (B)		191	192
			372
Oil & Gas Exploration & Production – 5.5%
Essar Energy Investment Limited, Convertible,
4.250%, 2–1–16		100	66
Novatek Finance Limited,
5.326%, 2–3–16 (B)		200	211
Pacific Rubiales Energy Corp.,
8.750%, 11–10–16 (B)		100	111
Pan American Energy LLC,
7.875%, 5–7–21		100	98
			486
Oil & Gas Storage & Transportation – 2.9%
Empresas Publicas de Medellin E.S.P.,
8.375%, 2–1–21 (E)		COP60,000	36
TransCapital Limited,
5.670%, 3–5–14 (B)	$	200	212
			248

Packaged Foods & Meats – 2.7%
BFF International Limited,
7.250%, 1-28-20		100		112
Bunge Limited Finance Corp.,
5.350%, 4-15-14		25		27
JBS Finance II Ltd.,
8.250%, 1-29-18 (B)		100		102
				241
Paper Products – 0.3%
Inversiones CMPC S.A.,
4.750%, 1-19-18 (B)		25		26
Specialty Stores – 1.5%
Hengdeli Holdings Limited, Convertible,
2.500%, 10-20-15 (E)		HKD1,000		133
Steel – 2.1%
ArcelorMittal,
5.375%, 6-1-13	$	75		78
Steel Capital S.A.,
6.700%, 10-25-17		100		101
				179
Wireless Telecommunication Service – 1.2%
VIP Finance Ireland Limited,
8.375%, 4-30-13		100		105
TOTAL CORPORATE DEBT SECURITIES – 58.7%			$	5,088
(Cost: $5,059)
OTHER GOVERNMENT SECURITIES
Argentina – 1.2%
City of Buenos Aires,
12.500%, 4-6-15 (B)		100		105
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		161
TOTAL OTHER GOVERNMENT SECURITIES – 3.8%			$	328
(Cost: $329)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 9.1%
United States Treasury Bonds,
3.750%, 8-15-41		125		135
United States Treasury Notes:
1.750%, 8-15-12		550		553
2.125%, 8-15-21		100		100
				788
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 9.1%			$	788
(Cost: $794)
SHORT-TERM SECURITIES
Commercial Paper – 14.0%
Bemis Company, Inc.,
0.350%, 4-10-12 (F)		400		400
E.I. du Pont de Nemours and Company,
0.110%, 4-19-12 (F)		400		400
Kellogg Co.,
0.200%, 4-2-12 (F)		414		414
				1,214

Master Note – 12.8%
Toyota Motor Credit Corporation,
0.131%, 4-2-12 (G)	1,112		1,112
TOTAL SHORT-TERM SECURITIES – 26.8%		$	2,326
(Cost: $2,326)
TOTAL INVESTMENT SECURITIES – 98.6%		$	8,551
(Cost: $8,528)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.4%		119
NET ASSETS – 100.0%		$	8,670

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1– Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following tables summarize the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	21	$	—	$	—
Corporate Debt Securities		—		5,008		80
Other Government Securities		—		328		—
United States Government Obligations		—		788		—
Short-Term Securities		—		2,326		—
Total	$	21	$	8,450	$	80
Forward Foreign Currency Contracts	$	—	$	1	$	—
Liabilities
Forward Foreign Currency Contracts	$	—	$	14	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following forward foreign currency contracts were outstanding at March 31, 2012:

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	$	—		$	2
Buy	Chinese Yuan Renminbi	Deutsche Bank AG		1,050		6-10-13		—			3
Buy	Chinese Yuan Renminbi	Goldman Sachs International		1,550		9-13-13		—			4
Buy	Chinese Yuan Renminbi	Citibank, N.A.		650		9-23-13		—			1
Buy	Chinese Yuan Renminbi	Deutsche Bank AG		600		9-26-13		1			—
Sell	Euro	Barclays Capital, Inc.		100		1-25-13		—			3
Sell	Euro	Barclays Capital, Inc.		80		2-11-13		—			1
Sell	Euro	Barclays Capital, Inc.		60		2-28-13		—	*		—
							$	1		$	14

(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 March 31, 2012, the total value of these securities amounted to $2,047 or 23.6% of net assets.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(D) Zero coupon bond.

(E) Principal amounts are denominated in the indicated foreign currency, where applicable (COP - Columbian Peso and HKD - Hong Kong Dollar).

(F) Rate shown is the yield to maturity at March 31, 2012.

(G) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	8,528
Gross unrealized appreciation		118
Gross unrealized depreciation		(95	)
Net unrealized appreciation	$	23

SCHEDULE OF INVESTMENTS Global Natural Resources (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Brazil – 1.3%
Suzano Bahia Sul Papel E Celulose S.A.		465	$	1,987
Tractebel Energia S.A.		35		623
				2,610
Canada – 13.0%
Agrium Inc.		40		3,455
Athabasca Oil Sands Corp. (A)		135		1,500
First Quantum Minerals Ltd.		325		6,197
Goldcorp Inc.		45		2,028
IAMGOLD Corporation		150		1,997
Neo Material Technologies Inc. (A)		100		1,125
Osisko Mining Corporation (A)		77		893
Potash Corporation of Saskatchewan Inc.		138		6,306
Precision Drilling Corporation (A)		93		933
Progress Energy Resources Corp.		30		301
Southern Pacific Resource Corp. (A)		286		471
				25,206
China – 3.8%
China Metal Recycling (Holdings) Limited		2,542		3,110
GCL-Poly Energy Holdings Limited		9,000		2,503
Hidili Industry International Development Limited		700		249
Sino-Forest Corporation, Class A (A)		590		—	*
Trina Solar Limited, ADR (A)		180		1,283
Yingde Gases Group Company Limited (A)		215		244
				7,389
Cyprus – 0.1%
Buried Hill Energy (Cyprus) Public Company Limited (A)(B)		70		140
Hong Kong – 0.2%
China Longyuan Power Group Corporation Limited, H Shares		450		376
India – 1.8%
Adani Enterprises Limited		55		329
Hindustan Zinc Limited		110		286
Infrastructure Development Finance Company Limited		500		1,325
Shree Renuka Sugars Limited		200		124
Sterlite Industries (India) Limited		650		1,417
				3,481
Indonesia – 0.7%
PT Adaro Energy Tbk		1,800		380
PT Harum Energy Tbk		650		579
PT Indo Tambangraya Megah Tbk		85		404
				1,363
Israel – 0.7%
Israel Chemicals Ltd.		120		1,365
Luxembourg – 0.1%
Pacific Drilling S.A. (A)		20		204
Netherlands – 1.3%
LyondellBasell Industries N.V., Class A		58		2,532
Norway – 0.1%
DNO International ASA (A)		100		177

Panama – 0.1%
McDermott International, Inc. (A)	11	141
Russia – 1.4%
Mechel OAO, ADR	39	141
Mechel Steel Group OAO, ADR	166	1,490
OJSC PhosAgro, GDR	20	207
Open Joint Stock Company “RusHydro”, ADR	100	367
Open Joint Stock Company Gazprom, ADR	35	427
		2,632
Singapore – 0.3%
Indofood Agri Resources Ltd. (A)	450	557
South Korea – 4.1%
LG Chem, Ltd.	25	8,001
Switzerland – 4.4%
Noble Corporation	155	5,808
Weatherford International Ltd. (A)	175	2,641
		8,449
Thailand – 0.9%
Banpu Public Company Limited	92	1,819
United Kingdom – 9.3%
Chariot Oil & Gas Limited (A)	105	333
ENSCO International Incorporated	160	8,469
Rio Tinto plc	105	5,787
Rio Tinto plc, ADR	11	611
Xstrata plc	160	2,733
		17,933
United States – 37.6%
Allegheny Technologies Incorporated	77	3,170
Baker Hughes Incorporated	58	2,433
Boise Inc.	65	534
Cabot Oil & Gas Corporation	260	8,104
Cameron International Corporation (A)	50	2,642
Celanese Corporation, Series A	100	4,618
Crown Holdings, Inc. (A)	32	1,179
Dow Chemical Company (The)	10	346
E.I. du Pont de Nemours and Company	11	582
Eastman Chemical Company	11	590
Foster Wheeler Ltd. (A)	11	250
Halliburton Company	220	7,301
Helmerich & Payne, Inc.	7	394
Kodiak Oil & Gas Corp. (A)	185	1,843
Laredo Petroleum Holdings, Inc. (A)	17	406
Marathon Oil Corporation	20	634
Molycorp, Inc. (A)	30	1,015
Noble Energy, Inc.	13	1,271
Occidental Petroleum Corporation (C)	50	4,762
Oil States International, Inc. (A)	33	2,576
Peabody Energy Corporation	115	3,330
Pioneer Natural Resources Company	41	4,575
Plains Exploration and Production Company (A)	177	7,549
QEP Resources, Inc.	31	946
Rock-Tenn Company, Class A	14	945
Schlumberger Limited	85	5,944
Walter Industries, Inc.	20	1,154
Williams Companies, Inc. (The)	63	1,941

WPX Energy, Inc. (A)		78		1,405
				72,439
TOTAL COMMON STOCKS – 81.2%			$	156,814
(Cost: $182,600)
PREFERRED STOCKS
Brazil – 0.2%
Bradespar S.A.		25		475
Russia – 0.3%
Mechel		80		562
United States – 0.0%
Konarka Technologies, Inc., 8.0% Cumulative (A)(B)		68		1
TOTAL PREFERRED STOCKS – 0.5%			$	1,038
(Cost: $1,942)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
Barrick Gold Corporation, Call $33.00, Expires 7–23–12		1,500		1,594
Occidental Petroleum Corporation, Call $60.00, Expires 5–21–12		850		3,021
Peabody Energy Corporation, Call $20.00, Expires 6–18–12		1,300		1,183
Pioneer Natural Resources Company, Call $60.00, Expires 6–18–12		225		1,159
Potash Corporation of Saskatchewan Inc., Call $30.00, Expires 6–18–12		450		708
Schlumberger Limited, Call $50.00, Expires 5–21–12		800		1,606
Williams Companies, Inc. (The), Call $20.00, Expires 8–20–12		2,300		2,426
TOTAL PURCHASED OPTIONS – 6.0%			$	11,697
(Cost: $13,848)
CORPORATE DEBT SECURITIES	Principal
Brazil – 0.0%
Bahia Sul Celulose S.A., 8.614%, 12–1–12 (D)(E)(F)		BRL180		91
TOTAL CORPORATE DEBT SECURITIES – 0.0%			$	91
(Cost: $84)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 12.4%
Danaher Corporation, 0.120%, 4–23–12 (G)	$	4,000		4,000
Google Inc., 0.090%, 4–19–12 (G)		3,500		3,500
Illinois Tool Works Inc., 0.130%, 4–17–12 (G)		5,000		4,999
Novartis Securities Investment Ltd., 0.110%, 4–12–12 (G)		4,000		4,000
Prudential Funding LLC, 0.160%, 4–9–12 (G)		4,000		4,000
Wisconsin Electric Power Co., 0.150%, 4–2–12 (G)		3,425		3,425
				23,924
Master Note – 0.7%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (H)		1,344		1,344

TOTAL SHORT-TERM SECURITIES – 13.1%	$25,268
(Cost: $25,268)
TOTAL INVESTMENT SECURITIES – 100.8%	$194,908
(Cost: $223,742)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.8%)	(1,487	)
NET ASSETS – 100.0%	$193,421

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Staples	$	681	$	—	$	—
Energy		82,642		—		140
Financials		1,325		—		—
Industrials		579		—		—
Information Technology		3,787		—		—
Materials		66,294		—		—	*
Utilities		1,366		—		—
Total Common Stocks	$	156,674	$	—	$	140
Preferred Stocks		1,037		—		1
Purchased Options		11,697		—		—
Corporate Debt Securities		—		—		91
Short-Term Securities		—		25,268		—
Total	$	169,408	$	25,268	$	232
Forward Foreign Currency Contracts	$	—	$	47	$	—
Liabilities
Forward Foreign Currency Contracts	$	—	$	201	$	—
Futures Contracts		690		—		—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following forward foreign currency contracts were outstanding at March 31, 2012:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Brazilian Real	Toronto-Dominion Bank (The)		430		4-20-12	$	12	$	—
Sell	Brazilian Real	Toronto-Dominion Bank (The)		594		4-27-12		6		—
Sell	Brazilian Real	Toronto-Dominion Bank (The)		594		5-11-12		12		—
Sell	Brazilian Real	Toronto-Dominion Bank (The)		594		5-18-12		16		—
Sell	Brazilian Real	Royal Bank of Canada		180		6-22-12		—		—	*
Sell	Brazilian Real	Toronto-Dominion Bank (The)		430		6-29-12		1		—
Sell	British Pound	Canadian Imperial Bank of Commerce		376		4-20-12		—		27
Sell	British Pound	State Street Global Markets		1,320		4-27-12		—		57
Sell	British Pound	Toronto-Dominion Bank (The)		1,380		5-18-12		—		18
Sell	British Pound	Bank of New York Mellon (The)		940		5-18-12		—		31
Sell	British Pound	Royal Bank of Canada		600		5-18-12		—		9
Sell	British Pound	Bank of New York Mellon (The)		570		6-22-12		—		9
Sell	Canadian Dollar	State Street Global Markets		1,420		4-13-12		—		28
Sell	Canadian Dollar	Bank of New York Mellon (The)		4,000		4-27-12		—		15
Sell	Canadian Dollar	State Street Global Markets		1,420		5-4-12		—		6
Sell	Canadian Dollar	Canadian Imperial Bank of Commerce		780		5-18-12		—		1
							$	47	$	201

The following futures contracts were outstanding at March 31, 2012 (contracts unrounded):

Description	Type	Expiration Date	Number of Contracts		Market Value			Unrealized Depreciation
S&P 500 E-mini	Short	6–15–12		210	$	(14,734	)	$	(562	)
S&P/Toronto Stock Exchange 60 Index	Short	6–15–12		87		(12,293	)		(128	)
					$	(27,027	)	$	(690	)

* Not shown due to rounding.

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

(B) Restricted securities. At March 31, 2012, 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.	8–31–07	68		211		1
			$	329	$	141

The total value of these securities represented 0.1% of net assets at March 31, 2012.

(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 March 31, 2012, the total value of these securities amounted to $91 or 0.0% of net assets.

(F) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(G) Rate shown is the yield to maturity at March 31, 2012.

(H) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	223,742
Gross unrealized appreciation		9,699
Gross unrealized depreciation		(38,533	)
Net unrealized depreciation	$	(28,834	)

SCHEDULE OF INVESTMENTS Growth (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 5.4%
Boeing Company (The)		243	$	18,042
Precision Castparts Corp.		231		39,871
				57,913
Air Freight & Logistics – 0.4%
Expeditors International of Washington, Inc.		92		4,260
Apparel, Accessories & Luxury Goods – 0.5%
Under Armour, Inc., Class A (A)		56		5,236
Application Software – 3.0%
Intuit Inc.		524		31,532
Asset Management & Custody Banks – 1.6%
T. Rowe Price Group, Inc.		267		17,416
Auto Parts & Equipment – 1.4%
BorgWarner Inc. (A)		175		14,734
Automotive Retail – 2.6%
AutoZone, Inc. (A)		52		19,371
O’Reilly Automotive, Inc. (A)		87		7,902
				27,273
Broadcasting – 4.0%
CBS Corporation, Class B		1,086		36,840
Discovery Holding Company, Class A (A)		104		5,252
				42,092
Cable & Satellite – 0.5%
Time Warner Cable Inc.		65		5,298
Casinos & Gaming – 4.0%
Las Vegas Sands, Inc.		379		21,790
Wynn Resorts, Limited		168		20,942
				42,732
Communications Equipment – 3.6%
QUALCOMM Incorporated		566		38,531
Computer Hardware – 10.1%
Apple Inc. (A)		177		105,806
Data Processing & Outsourced Services – 6.7%
MasterCard Incorporated, Class A		99		41,465
Visa Inc., Class A		241		28,403
				69,868
Distillers & Vintners – 0.3%
BEAM, INC		46		2,677
Environmental & Facilities Services – 0.5%
Stericycle, Inc. (A)		59		4,893
Fertilizers & Agricultural Chemicals – 3.5%
Monsanto Company		467		37,279
Footwear – 2.9%
NIKE, Inc., Class B		284		30,754
Home Improvement Retail – 0.8%
Home Depot, Inc. (The)		167		8,377

Hotels, Resorts & Cruise Lines - 0.5%
Starwood Hotels & Resorts Worldwide, Inc.	91	5,142
Household Products – 0.5%
Colgate-Palmolive Company	54	5,300
Industrial Conglomerates – 1.2%
Danaher Corporation	233	13,048
Industrial Gases – 2.6%
Praxair, Inc.	242	27,686
Internet Retail – 0.5%
Amazon.com, Inc. (A)	27	5,488
Internet Software & Services – 3.4%
eBay Inc. (A)	128	4,733
Google Inc., Class A (A)	49	31,139
		35,872
IT Consulting & Other Services – 3.3%
Cognizant Technology Solutions Corporation, Class A (A)	452	34,774
Life Sciences Tools & Services – 0.2%
Mettler-Toledo International Inc. (A)	14	2,642
Managed Health Care – 0.5%
UnitedHealth Group Incorporated	97	5,723
Oil & Gas Equipment & Services – 7.2%
Halliburton Company	151	5,018
National Oilwell Varco, Inc.	443	35,205
Schlumberger Limited	512	35,829
		76,052
Packaged Foods & Meats – 1.0%
Mead Johnson Nutrition Company	127	10,458
Personal Products – 2.4%
Estee Lauder Companies Inc. (The), Class A	407	25,185
Pharmaceuticals – 3.8%
Allergan, Inc.	407	38,802
Railroads – 0.9%
Kansas City Southern	128	9,155
Restaurants – 7.3%
McDonald’s Corporation	247	24,211
Starbucks Corporation	853	47,679
YUM! Brands, Inc.	77	5,502
		77,392
Semiconductor Equipment – 0.5%
Lam Research Corporation (A)	111	4,939
Semiconductors – 3.4%
Altera Corporation	246	9,808
ARM Holdings plc, ADR	152	4,303
Broadcom Corporation, Class A	134	5,278
Microchip Technology Incorporated	459	17,067
		36,456

Soft Drinks – 0.8%
Coca-Cola Company (The)		111		8,193
Specialty Stores – 0.6%
Tiffany & Co.		88		6,090
Systems Software – 3.0%
Oracle Corporation		711		20,718
VMware, Inc., Class A (A)		103		11,518
				32,236
Tobacco – 3.5%
Philip Morris International Inc.		429		37,978
TOTAL COMMON STOCKS – 98.9%			$	1,045,282
(Cost: $792,864)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 0.6%
Avon Capital Corp. (GTD by Avon Products, Inc.), 0.450%, 4-11-12 (B)	$	4,000		3,999
PACCAR Financial Corp., 0.120%, 4-10-12 (B)		3,000		3,000
				6,999
Master Note – 0.1%
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (C)		762		762
TOTAL SHORT-TERM SECURITIES – 0.7%			$	7,761
(Cost: $7,761)
TOTAL INVESTMENT SECURITIES – 99.6%			$	1,053,043
(Cost: $800,625)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4%				4,022
NET ASSETS – 100.0%			$	1,057,065

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	1,045,282	$	—	$	—
Short-Term Securities		—		7,761		—
Total	$	1,045,282	$	7,761	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Rate shown is the yield to maturity at March 31, 2012.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	800,625
Gross unrealized appreciation		256,959
Gross unrealized depreciation		(4,541	)
Net unrealized appreciation	$	252,418

SCHEDULE OF INVESTMENTS High Income (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Casinos & Gaming – 0.0%
Pinnacle Entertainment, Inc. (A)		13	$	144
Food Retail – 0.4%
Roundy’s Supermarkets, Inc. (A)		91		972
Oil & Gas Storage & Transportation – 0.2%
Inergy, L.P.		33		539
Packaged Foods & Meats – 0.1%
Dole Food Company, Inc. (A)		16		162
Railroads – 0.1%
Kansas City Southern		5		387
Wireless Telecommunication Service – 0.1%
Clearwire Corporation, Class A (A)		198		451
TOTAL COMMON STOCKS – 0.9%			$	2,655
(Cost: $2,697)
PREFERRED STOCKS
Consumer Finance – 0.2%
Ally Financial Inc., 8.500%		18		383
GMAC Capital Trust I, 8.125%		22		509
				892
Trucking – 0.1%
Swift Services Holdings, Inc., 6.000% Cumulative (B)		15		167
TOTAL PREFERRED STOCKS – 0.3%			$	1,059
(Cost: $1,129)
WARRANTS
Agricultural Products – 0.0%
ASG Consolidated LLC, Expires 5–15–18 (C)		1	$	114
TOTAL WARRANTS – 0.0%			$	114
(Cost: $72)
CORPORATE DEBT SECURITIES		Principal
Aerospace & Defense – 0.8%
Acquisition Co., 10.000%, 6–1–17	$	2,254		2,440
Agricultural Products – 0.7%
American Seafoods Group LLC, 10.750%, 5–15–16 (B)		1,163		1,061
ASG Consolidated LLC, 15.000%, 5–15–17 (B)(D)		1,495		1,070
				2,131
Alternative Carriers – 2.4%
Level 3 Communications, Inc., 11.875%, 2–1–19		3,465		3,949
Level 3 Financing, Inc.: 10.000%, 2–1–18		700		767
9.375%, 4–1–19		200		219
8.125%, 7–1–19 (B)		2,051		2,118
8.625%, 7–15–20 (B)		377		396
				7,449
Apparel Retail – 1.2%

Burlington Coat Factory Warehouse Corporation, 10.000%, 2–15–19	664	691
J.Crew Group, Inc., 8.125%, 3–1–19	2,443	2,485
Limited Brands, Inc., 5.625%, 2–15–22	336	339
		3,515
Apparel, Accessories & Luxury Goods – 0.8%
Liz Claiborne, Inc., 10.500%, 4–15–19 (B)	2,300	2,553
Asset Management & Custody Banks – 0.3%
Nexeo Solutions, LLC, 8.375%, 3–1–18 (B)	1,037	1,027
Auto Parts & Equipment – 4.4%
Affinia Group Inc.: 9.000%, 11–30–14	290	293
10.750%, 8–15–16 (B)	1,306	1,430
Exide Technologies, 8.625%, 2–1–18	807	676
Icahn Enterprises L.P., 8.000%, 1–15–18	277	288
Icahn Enterprises L.P. and Icahn Enterprises Finance Corp.: 7.750%, 1–15–16	980	1,014
8.000%, 1–15–18 (B)	3,736	3,885
IDQ Holdings, Inc., 11.500%, 4–1–17 (B)	1,491	1,528
Schaeffler Finance B.V.: 7.750%, 2–15–17 (B)	2,264	2,394
8.500%, 2–15–19 (B)	1,809	1,931
		13,439
Automotive Manufacturers – 0.5%
Chrysler Group LLC and CG: 8.000%, 6–15–19	475	477
8.250%, 6–15–21	988	998
		1,475
Automotive Retail – 2.3%
Asbury Automotive Group, Inc.: 7.625%, 3–15–17	1,351	1,400
8.375%, 11–15–20	2,142	2,308
Sonic Automotive, Inc., 9.000%, 3–15–18	2,940	3,183
		6,891
Banking – 0.1%
Ally Financial Inc., 5.500%, 2–15–17	325	325
Broadcast / Outdoor – 0.6%
Clear Channel Worldwide Holdings, Inc., Series A, 7.625%, 3–15–20 (B)	60	58
Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3–15–20 (B)	434	425
Harron Communications, L.P. and Harron Finance Corporation, 9.125%, 4–1–20 (B)	804	831
Univision Communications Inc., 6.875%, 5–15–19 (B)	522	529
		1,843
Broadcasting – 1.5%

Cumulus Media Inc., 7.750%, 5–1–19 (B)	3,645	3,445
Gray Television, Inc., 10.500%, 6–29–15	960	998
		4,443
Building Products – 1.1%
Ply Gem Holdings, Inc., 8.250%, 2–15–18	1,376	1,385
Ply Gem Industries, Inc., 8.250%, 2–15–18 (B)	2,042	1,901
		3,286
Cable & Satellite – 0.1%
Nara Cable Funding Limited, 8.875%, 12–1–18 (B)	321	305
Casinos & Gaming – 1.0%
MGM MIRAGE, 11.375%, 3–1–18	600	713
MGM Resorts International: 10.000%, 11–1–16	560	627
8.625%, 2–1–19 (B)	902	968
Peninsula Gaming, LLC, 10.750%, 8–15–17	617	682
		2,990
Chemicals – 0.3%
INEOS Finance plc, 8.375%, 2–15–19 (B)	525	555
LyondellBasell Industries N.V., 5.750%, 4–15–24 (B)	493	492
		1,047
Communications Equipment – 0.7%
Brightstar Corporation, 9.500%, 12–1–16 (B)	2,124	2,209
Construction & Engineering – 0.3%
J.M. Huber Corporation, 9.875%, 11–1–19 (B)	915	952
Construction & Farm Machinery & Heavy Trucks – 0.3%
ArvinMeritor, Inc., 10.625%, 3–15–18	751	807
Construction Materials – 1.7%
Cemex Finance LLC, 9.500%, 12–14–16 (B)	1,050	1,047
Cemex SAB de CV, 9.000%, 1–11–18 (B)	158	149
Headwaters Incorporated, 7.625%, 4–1–19	1,340	1,303
Headwaters Incorporated, Convertible, 2.500%, 2–1–14	875	801
Hillman Group, Inc. (The), 10.875%, 6–1–18	1,407	1,474
		4,774
Consumer Finance – 2.1%
Credit Acceptance Corporation, 9.125%, 2–1–17	910	983
SLM Corporation: 6.000%, 1–25–17	267	275
7.250%, 1–25–22	161	168
Speedy Cash Intermediate Holdings Corp., 10.750%, 5–15–18 (B)	1,368	1,416
TMX Finance LLC and TitleMax Finance Corporation: 13.250%, 7–15–15	538	595
WM Finance Corp., 11.500%, 10–1–18 (B)	959	1,026
WM Holdings Finance Corp., 13.750%, 10–1–19 (B)	1,495	1,514
		5,977
Data Processing & Outsourced Services – 0.6%

Alliance Data Systems Corporation, 6.375%, 4–1–20 (B)		1,879	1,912
Diversified Chemicals – 1.0%
Kinove German Bondco GmbH, 10.000%, 6–15–18 (B)(E)		EUR664	921
Styrolution Group GmbH, 7.625%, 5–15–16 (B)(E)		1,390	1,622
Taminco Global Chemical, 9.750%, 3–31–20 (B)	$	528	549
			3,092
Diversified Metals & Mining – 1.5%
FMG Resources Pty Ltd.: 6.375%, 2–1–16		300	299
6.000%, 4–1–17 (B)		653	646
6.875%, 2–1–18		300	300
8.250%, 11–1–19 (B)		991	1,041
6.875%, 4–1–22 (B)		2,139	2,086
			4,372
Education Services – 4.1%
Laureate Education, Inc.: 11.000%, 8–15–15 (B)(F)		1,750	1,794
11.250%, 8–15–15 (B)(F)		7,228	7,480
12.750%, 8–15–17 (B)(F)		3,040	3,245
			12,519
Electrical Components & Equipment – 0.7%
WireCo WorldGroup Inc., 10.250%, 5–15–17		2,090	2,158
Electronic Equipment & Instruments – 2.5%
CDW LLC and CDW Finance Corporation: 12.535%, 10–12–17		3,990	4,334
8.500%, 4–1–19		2,341	2,487
8.500%, 4–1–19 (B)		485	515
			7,336
Electronic Manufacturing Services – 2.4%
Jabil Circuit, Inc.: 7.750%, 7–15–16		1,520	1,733
8.250%, 3–15–18		1,885	2,191
KEMET Corporation: 10.500%, 5–1–18 (B)		1,975	2,123
10.500%, 5–1–18		1,040	1,123
			7,170
Finance – 0.1%
Verisure Holding AB (publ), 8.750%, 9–1–18 (B)(E)		EUR155	212
Food Distributors – 1.7%
U.S. Foodservice, Inc., 8.500%, 6–30–19 (B)	$	2,615	2,648
Viskase Companies, Inc., 9.875%, 1–15–18 (B)		2,225	2,353
			5,001
Forest Products – 0.8%
Ainsworth Lumber Co. Ltd., 11.000%, 7–29–15 (B)(D)		3,384	2,562
Gaming – 0.7%
Wynn Las Vegas, LLC and Wynn Las Vegas Capital Corp., 5.375%, 3–15–22 (B)		2,139	2,086
Health Care Equipment – 0.9%
DJO Finance LLC and DJO Finance Corporation, 9.750%, 10–15–17		420	313
Immucor, Inc., 11.125%, 8–15–19		2,147	2,386
			2,699
Health Care Facilities – 1.7%
Acadia Healthcare Company, Inc., 12.875%, 11–1–18		1,558	1,659
INC Research, LLC,

11.500%, 7–15–19 (B)	375	366
Kindred Healthcare, Inc.,
8.250%, 6–1–19	756	659
Radiation Therapy Services, Inc.,
9.875%, 4–15–17	718	576
Tenet Healthcare Corporation,
6.875%, 11–15–31	2,303	1,969
		5,229
Health Care Facilities / Supplies – 0.6%
Chiron Merger Sub, Inc.,
12.500%, 11–1–19 (B)	811	762
Physio–Control International, Inc.,
9.875%, 1–15–19 (B)	1,080	1,134
		1,896
Health Care Services – 0.8%
Air Medical Group Holdings Inc.,
9.250%, 11–1–18 (B)	770	801
ExamWorks Group, Inc.,
9.000%, 7–15–19 (B)	599	596
OnCure Holdings, Inc.,
11.750%, 5–15–17	250	164
WP Rocket Merger Sub, Inc.,
10.125%, 7–15–19 (B)	830	780
		2,341
Health Care Technology – 1.8%
Emdeon, Inc.,
11.000%, 12–31–19 (B)	2,746	3,103
MedAssets, Inc.,
8.000%, 11–15–18	2,248	2,360
		5,463
Home Furnishings – 0.1%
Empire Today, LLC and Empire Today Finance Corp.,
11.375%, 2–1–17 (B)	340	336
Homebuilding – 0.2%
Taylor Morrison Communities, Inc. and Monarch Communities Inc.,
7.750%, 4–15–20 (B)	474	474
Household Products – 0.9%
Reynolds Group Holdings Limited:
9.000%, 4–15–19 (B)	1,880	1,852
9.875%, 8–15–19 (B)	255	261
8.250%, 2–15–21 (B)	280	263
Reynolds Group Issuer (Luxembourg) S.A., Reynolds Group Issuer LLC and Reynolds Group Issuer, Inc.,
9.875%, 8–15–19 (B)	404	413
		2,789
Human Resource & Employment Services – 0.2%
CDRT Merger Sub, Inc.,
8.125%, 6–1–19	690	709
Independent Power Producers & Energy Traders – 0.9%
NRG Energy, Inc.:
7.625%, 5–15–19	1,280	1,235
7.875%, 5–15–21	1,600	1,536
		2,771
Industrial Machinery – 1.4%
CPM Holdings, Inc.,
10.625%, 9–1–14 (F)	1,000	1,065
RBS Global, Inc. and Rexnord LLC,
11.750%, 8–1–16	2,525	2,677
Tempel Steel Company,
12.000%, 8–15–16 (B)	637	624
		4,366
Investment Banking & Brokerage – 1.2%
E*TRADE Financial Corporation:
7.875%, 12–1–15	481	489
6.750%, 6–1–16	780	798

12.500%, 11–30–17	700	815
GFI Group Inc.,
8.375%, 7–19–18	1,735	1,652
		3,754
IT Consulting & Other Services – 1.4%
iGATE Corporation,
9.000%, 5–1–16	2,744	2,981
SRA International, Inc. and Sterling Merger, Inc.,
11.000%, 10–1–19 (B)	1,089	1,149
		4,130
Leisure Facilities – 0.8%
Palace Entertainment Holdings, LLC,
8.875%, 4–15–17 (B)	2,242	2,329
Metal & Glass Containers – 0.4%
Plastipak Holdings, Inc.,
10.625%, 8–15–19 (B)	1,070	1,220
Movies & Entertainment – 0.3%
AMC Entertainment Holdings, Inc.,
9.750%, 12–1–20	990	933
Multi–Line Insurance – 0.4%
American International Group, Inc.,
8.175%, 5–15–58	1,135	1,201
Oil & Gas Drilling – 0.6%
RDS Ultra–Deepwater Ltd,
11.875%, 3–15–17 (B)	1,560	1,724
Oil & Gas Equipment & Services – 2.1%
Forbes Energy Services Ltd.,
9.000%, 6–15–19	1,415	1,380
Global Geophysical Services, Inc.:
10.500%, 5–1–17	3,576	3,558
10.500%, 5–1–17 (B)	1,133	1,082
Thermon Industries, Inc.,
9.500%, 5–1–17	328	361
		6,381
Oil & Gas Refining & Marketing – 2.4%
Energy Partners Ltd.,
8.250%, 2–15–18	2,516	2,551
Offshore Group Investment Limited,
11.500%, 8–1–15	4,130	4,543
PetroBakken Energy Ltd.,
8.625%, 2–1–20 (B)	265	276
		7,370
Oil Services – 0.5%
Bill Barrett Corporation,
7.000%, 10–15–22	238	230
Linn Energy, LLC and Linn Energy Finance Corp.,
6.250%, 11–1–19 (B)	1,306	1,266
		1,496
Other Diversified Financial Services – 0.6%
Bank of America Corporation:
8.000%, 12–29–49 (F)	1,450	1,486
8.125%, 12–29–49 (F)	426	439
		1,925
Packaged Foods & Meats – 1.9%
Bumble Bee Foods, LLC:
9.000%, 12–15–17 (B)	1,996	2,035
9.625%, 3–15–18 (B)	2,175	1,974
JBS USA, LLC and JBS USA Finance, Inc.,
8.250%, 2–1–20 (B)	1,736	1,784
		5,793
Paper Products – 0.0%
Verso Paper Corp.,
8.750%, 2–1–19	142	78
Pharmaceuticals – 2.4%
Capsugel FinanceCo S.C.A.,

9.875%, 8–1–19 (B)(E)		EUR1,879	2,713
ConvaTec Healthcare E S.A.,
10.500%, 12–15–18 (B)	$	630	647
Jaguar Holding Company II and Jaguar Merger Sub Inc.,
9.500%, 12–1–19 (B)		3,447	3,740
			7,100
Regional Banks – 0.8%
CIT Group, Inc.,
7.000%, 5–2–17 (B)		2,330	2,336
Restaurants – 4.7%
CKE Holdings, Inc.,
10.500%, 3–14–16 (B)(D)		6,881	7,053
Dave & Buster’s, Inc.,
0.000%, 2–15–16 (B)(G)		4,180	2,780
DineEquity, Inc.,
9.500%, 10–30–18		1,734	1,899
NPC International, Inc.,
10.500%, 1–15–20 (B)		2,438	2,657
			14,389
Retail Stores – 0.4%
Claire’s Stores, Inc.,
9.000%, 3–15–19 (B)		1,093	1,130
Security & Alarm Services – 0.4%
DynCorp International Inc.,
10.375%, 7–1–17		1,325	1,151
Semiconductor Equipment – 0.1%
Phototronics, Inc., Convertible,
3.250%, 4–1–16 (B)		170	172
Semiconductors – 0.6%
Freescale Semiconductor, Inc.,
8.050%, 2–1–20		1,302	1,309
Micron Technology, Inc., Convertible:
1.500%, 8–1–31 (B)		461	486
1.875%, 8–1–31 (B)		135	143
			1,938
Service – Other – 1.5%
Monitronics International, Inc.,
9.125%, 4–1–20 (B)		1,795	1,817
ServiceMaster Company, (The),
8.000%, 2–15–20 (B)		676	720
TransUnion LLC and TransUnion Financing Corporation,
9.625%, 6–15–18 (B)		1,870	1,969
			4,506
Specialized Consumer Services – 0.6%
B–Corp Merger Sub, Inc.,
8.250%, 6–1–19 (B)		1,635	1,684
Specialized Finance – 0.5%
International Lease Finance Corporation:
4.875%, 4–1–15		815	807
5.875%, 4–1–19		815	787
			1,594
Specialized REITs – 0.8%
CNL Lifestyles Properties, Inc.,
7.250%, 4–15–19		2,696	2,426
Steel – 0.5%
Ryerson Inc.,
12.000%, 11–1–15		750	769
Severstal Columbus LLC,
10.250%, 2–15–18		720	770
			1,539
Systems Software – 1.5%
Atlantis Merger Sub, Inc. and SoftBrands, Inc.,
11.500%, 7–15–18 (B)		3,296	3,642
Lawson Software, Inc.,
9.375%, 4–1–19 (B)		851	881

			4,523
Technology – 0.0%
Fidelity National Information Services, Inc.,
5.000%, 3–15–22 (B)	98		97
Technology Distributors – 1.1%
Sophia, L.P. and Sophia Finance, Inc.,
9.750%, 1–15–19 (B)	3,215		3,432
Thrifts & Mortgage Finance – 0.4%
Provident Funding Associates, L.P. and PFG Finance Corp.,
10.125%, 2–15–19 (B)	1,745		1,283
Transportation – Other – 0.1%
Rural/Metro Corporation,
10.125%, 7–15–19 (B)	259		239
Wireless – 0.2%
Eileme 1 AB (publ) Polkomtel S.A.,
14.250%, 8–15–20 (B)(D)	555		509
Wireless Telecommunication Service – 1.7%
Clearwire Communications LLC,
12.000%, 12–1–15 (B)	1,791		1,763
Clearwire Communications LLC and Clearwire Finance, Inc.,
14.750%, 12–1–16 (B)	81		89
Cricket Communications, Inc.,
7.750%, 10–15–20	695		683
Digicel Group Limited:
10.500%, 4–15–18 (B)	928		1,025
7.000%, 2–15–20 (B)	200		204
Sprint Nextel Corporation:
9.125%, 3–1–17 (B)	408		406
7.000%, 3–1–20 (B)	258		262
Wind Acquisition Finance S.A.,
11.750%, 7–15–17 (B)	685		675
			5,107
TOTAL CORPORATE DEBT SECURITIES – 79.7%		$	240,860
(Cost: $235,595)
MUNICIPAL BONDS – TAXABLE
Arizona – 0.5%
AZ Hlth Fac Auth, Rev Bonds (Banner Hlth), Ser 2007B,
1.199%, 1–1–37 (F)	2,175		1,567
TOTAL MUNICIPAL BONDS – TAXABLE – 0.5%		$	1,567
(Cost: $1,412)
SENIOR LOANS
Building Products – 1.3%
Goodman Global, Inc.,
9.000%, 10–28–17 (F)	3,783		3,846
Casinos & Gaming – 0.4%
Revel AC, Inc.,
9.000%, 2–17–17 (F)	350		345
Station Casinos LLC,
3.241%, 6–17–16 (F)	833		775
			1,120
Communications Equipment – 0.7%
Blue Coat Systems, Inc.:
7.500%, 2–8–18 (F)	1,622		1,612
11.500%, 8–8–18 (F)	634		634
			2,246
Diversified Real Estate Activities – 0.2%
EIG Investors, Corp.,
7.750%, 11–28–17 (F)	569		569

Diversified Support Services – 2.1%
Advantage Sales & Marketing, Inc.:
9.250%, 5–29–18 (F)	5,184		5,166
13.000%, 12–30–18 (F)	1,100		1,097
Applied Systems, Inc.,
9.250%, 6–8–17 (F)	215		213
			6,476
Environmental & Facilities Services – 0.3%
K2 Pure Solutions Nocal, L.P.,
10.000%, 9–10–15 (F)	998		988
Food Distributors – 0.6%
Fairway Group Acquisition Company,
7.500%, 3–3–17 (F)	1,926		1,897
Health Care Facilities – 0.7%
National Surgical Hospitals, Inc.:
0.000%, 2–3–17 (F)(G)	323		301
8.250%, 2–3–17 (F)	1,834		1,710
			2,011
Health Care Services – 0.8%
Quintiles Transnational Corp.,
7.500%, 2–22–17 (F)	2,443		2,442
Home Furnishings – 0.6%
Spring Windows Fashions, LLC,
11.250%, 5–31–18 (F)	1,800		1,752
Independent Power Producers & Energy Traders – 0.6%
Texas Competitive Electric Holdings Company, LLC,
4.743%, 10–10–17 (F)	3,291		1,825
Internet Software & Services – 1.1%
Nextag, Inc.,
7.000%, 1–28–16 (F)	1,268		1,218
Web.com Group, Inc.,
7.000%, 10–27–17 (F)	1,962		1,940
			3,158
IT Consulting & Other Services – 0.6%
Presidio, Inc.,
7.250%, 3–31–17 (F)	1,576		1,591
Vertafore, Inc.,
9.750%, 10–29–17 (F)	222		223
			1,814
Restaurants – 0.6%
Focus Brands, Inc.:
6.250%, 2–2–18 (F)	501		501
10.250%, 9–1–18 (F)	1,270		1,270
			1,771
Retail Stores – 1.2%
Claire’s Stores, Inc.,
0.000%, 5–19–14 (G)	4,030		3,826
Wireless Telecommunication Service – 0.7%
Asurion, LLC,
9.000%, 5–24–19 (F)	2,211		2,235
TOTAL SENIOR LOANS – 12.5%		$	37,976
(Cost: $38,771)
SHORT–TERM SECURITIES
Commercial Paper – 4.3%
Clorox Co.,
0.330%, 4–16–12 (H)	4,550		4,549
Diageo Capital plc (GTD by Diageo plc),
0.440%, 4–23–12 (H)	3,000		2,999
Ecolab Inc.,
0.400%, 4–4–12 (H)	5,300		5,300
			12,848

Master Note – 0.4%
Toyota Motor Credit Corporation,
0.131%, 4–2–12 (I)	1,281		1,281
TOTAL SHORT–TERM SECURITIES – 4.7%		$	14,129
(Cost: $14,129)
TOTAL INVESTMENT SECURITIES – 98.6%		$	298,360
(Cost: $293,805)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.4%			4,242
NET ASSETS – 100.0%		$	302,602

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	2,655	$	—	$	—
Preferred Stocks		892		167		—
Warrants		—		—		114
Corporate Debt Securities		—		239,279		1,581
Municipal Bonds		—		1,567		—
Senior Loans		—		30,244		7,732
Short-Term Securities		—		14,129		—
Total	$	3,547	$	285,386	$	9,427
Liabilities
Forward Foreign Currency Contracts	$	—	$	52	$	—

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

	Warrants(1)		Corporate Debt Securities(2)			Senior Loans(3)
Beginning Balance 1–1–12	$	—	$	2,100		$	4,951
Net realized gain (loss)		—		—			33
Net unrealized appreciation (depreciation)		23		45			580
Purchases		—		—			4,195
Sales		—		—			(6,042	)
Transfers into Level 3 during the period		91		1,536			4,231
Transfers out of Level 3 during the period		—		(2,100	)		(216	)
Ending Balance 3–31–12	$	114	$	1,581		$	7,732
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 3–31–12	$	23	$	45		$	75

Significant unobservable inputs were used to determine fair value:

(1) Equity Securities. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.

(2) Corporate Bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

(3) Bank Loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable in which case they would be categorized as Level 3.

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following forward foreign currency contracts were outstanding at March 31, 2012:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Euro	Morgan Stanley International		4,200		4–10–12		—	$	52

(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 March 31, 2012, the total value of these securities amounted to $142,934 or 47.2% of net assets.

(C) Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

(D) Payment-in-kind bonds.

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

(F) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(G) Zero coupon bond.

(H) Rate shown is the yield to maturity at March 31, 2012.

(I) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	293,805
Gross unrealized appreciation		10,782
Gross unrealized depreciation		(6,227	)
Net unrealized appreciation	$	4,555

SCHEDULE OF INVESTMENTS International Core Equity (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Argentina – 1.1%
Arcos Dorados Holdings Inc.		354	$	6,398
Australia – 10.1%
Asciano Limited		1,451		7,365
Brambles Limited		850		6,255
Myer Holdings Limited		2,608		6,322
Newcrest Mining Limited		266		8,192
Orica Limited		233		6,749
Telstra Corporation Limited		4,732		16,127
Toll Holdings Limited		1,209		7,351
				58,361
Brazil – 1.3%
Vivo Participacoes S.A., ADR		253		7,744
Canada – 1.1%
Potash Corporation of Saskatchewan Inc.		142		6,479
China – 6.4%
Baidu.com, Inc., ADR (A)		45		6,526
China Construction Bank Corporation		10,534		8,139
China Unicom Limited		4,500		7,626
SINA Corporation (A)		97		6,286
Spreadtrum Communications, Inc., ADR		254		4,196
ZTE Corporation, H Shares		1,551		4,175
				36,948
Denmark – 0.4%
PANDORA Holding A/S		105		1,217
PANDORA Holding A/S (B)		85		982
				2,199
France – 11.2%
Alstom		198		7,743
Cap Gemini S.A.		142		6,359
Compagnie Generale des Etablissements Michelin, Class B		85		6,304
Safran		176		6,482
Sanofi-Aventis		150		11,669
Schneider Electric S.A.		107		7,016
Total S.A.		375		19,102
				64,675
Germany – 5.9%
Bayer AG		213		14,990
DaimlerChrysler AG, Registered Shares		116		6,997
Dialog Semiconductor plc (A)		306		7,483
SAP Aktiengesellschaft		67		4,710
				34,180
Hong Kong – 1.7%
Cheung Kong (Holdings) Limited		780		10,074
India – 1.2%
Housing Development Finance Corporation Limited (A)(B)		520		6,872
Israel – 2.2%
Bezeq – Israel Telecommunication Corp., Ltd. (The)		2,091		3,433
Teva Pharmaceutical Industries Limited, ADR		204		9,171
				12,604

Italy – 1.3%
Saipem S.p.A.	145	$	7,475
Japan – 14.4%
Chiyoda Corporation	639		8,114
Honda Motor Co., Ltd.	174		6,600
Hoya Corporation	359		8,061
KONAMI Corporation	165		4,671
Mitsubishi Corporation	439		10,188
Mitsubishi Electric Corporation	964		8,525
Mitsui Fudosan Co., Ltd.	464		8,874
Nissin Kogyo Co., Ltd.	570		9,302
Softbank Corp.	372		10,986
Suzuki Motor Corporation	348		8,303
			83,624
Mexico – 1.3%
America Movil, S.A. de C.V.	313		7,764
Netherlands – 5.0%
Fugro N.V.	150		10,710
ING Groep N.V., Certicaaten Van Aandelen (A)	711		5,924
Koninklijke Ahold N.V.	908		12,581
			29,215
Norway – 1.4%
Telenor ASA	433		8,028
Singapore – 2.6%
Singapore Telecommunications Limited	2,862		7,172
United Overseas Bank Limited	558		8,145
			15,317
Spain – 0.8%
Banco Bilbao Vizcaya Argentaria, S.A.	612		4,872
Sweden – 1.3%
Investor AB, B Shares	330		7,318
Switzerland – 3.9%
Credit Suisse Group AG, Registered Shares	357		10,185
Swiss Re Ltd	110		7,003
TEMENOS Group AG (A)	294		5,432
			22,620
Taiwan – 2.3%
Advanced Semiconductor Engineering, Inc.	7,301		7,347
Unimicron Technology Corp.	4,809		5,963
			13,310
United Kingdom – 18.5%
AMEC plc	321		5,696
Barclays plc	3,016		11,348
Barclays plc (B)	211		793
GlaxoSmithKline plc	321		7,171
HSBC Holdings plc	751		6,664
Invensys plc, ADR	2,054		6,536
National Grid plc	615		6,197
Prudential plc	735		8,784
Royal Dutch Shell plc, Class A	342		11,958
Unilever plc	420		13,867
Vodafone Group plc	2,198		6,055

WPP Group plc		923		12,612
Xstrata plc		564		9,629
				107,310
United States – 1.7%
InBev NV		133		9,692
TOTAL COMMON STOCKS – 97.1%			$	563,079
(Cost: $562,274)
SHORT-TERM SECURITIES		Principal
Commercial Paper – 0.7%
Wisconsin Electric Power Co., 0.150%, 4–2–12 (C)	$	4,104		4,104
Master Note – 0.6%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (D)		3,235		3,235
TOTAL SHORT-TERM SECURITIES – 1.3%			$	7,339
(Cost: $7,339)
TOTAL INVESTMENT SECURITIES – 98.4%			$	570,418
(Cost: $569,613)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.6%				9,431
NET ASSETS – 100.0%			$	579,849

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	65,036	$	—	$	—
Consumer Staples		36,141		—		—
Energy		54,941		—		—
Financials		104,996		—		—
Health Care		43,001		—		—
Industrials		75,575		—		—
Information Technology		71,210		—		—
Materials		31,049		—		—
Telecommunication Services		74,933		—		—
Utilities		6,197		—		—
Total Common Stocks	$	563,079	$	—	$	—
Short-Term Securities		—		7,339		—
Total	$	563,079	$	7,339	$	—
Forward Foreign Currency Contracts	$	—	$	4,269	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following forward foreign currency contracts were outstanding at March 31, 2012:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Japanese Yen	Goldman Sachs International		4,310,000		2-7-13	$	4,269		—

(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 March 31, 2012, the total value of these securities amounted to $8,647 or 1.5% of net assets.

(C) Rate shown is the yield to maturity at March 31, 2012.

(D) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date the variable rate resets.

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	569,613
Gross unrealized appreciation		37,862
Gross unrealized depreciation		(37,057	)
Net unrealized appreciation	$	805

SCHEDULE OF INVESTMENTS International Growth (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Argentina – 0.7%
Arcos Dorados Holdings Inc.		112	$	2,032
Australia – 5.9%
Coca-Cola Amatil Limited		271		3,504
David Jones Limited		1,182		2,951
Orica Limited		125		3,635
Telstra Corporation Limited		2,223		7,577
				17,667
Canada – 1.0%
Canadian Natural Resources Limited		92		3,033
China – 3.9%
China Unicom Limited		2,638		4,471
Sands China Ltd.		418		1,632
SINA Corporation (A)		34		2,210
Tingyi Holding Corp.		1,228		3,550
				11,863
France – 11.4%
Danone		80		5,591
European Aeronautic Defence and Space Company EADSN.V.		41		1,698
LVMH Moet Hennessy – Louis Vuitton		28		4,753
Pinault-Printemps-Redoute S.A.		27		4,582
Safran		156		5,738
Sanofi-Aventis		60		4,690
Vinci		142		7,384
				34,436
Germany – 10.9%
adidas AG		93		7,274
Bayer AG		90		6,340
Fresenius SE & Co. KGaA		74		7,602
Linde AG		34		6,062
MTU Aero Engines Holding AG		60		4,820
SAP Aktiengesellschaft		12		811
				32,909
Hong Kong – 1.6%
Yue Yuen Industrial (Holdings) Limited		1,412		4,953
India – 2.6%
Housing Development Finance Corporation Limited (A)(B)		322		4,254
Infrastructure Development Finance Company Limited		597		1,582
Infrastructure Development Finance Company Limited (B)		346		916
Larsen & Toubro Limited		43		1,105
				7,857
Israel – 1.5%
Teva Pharmaceutical Industries Limited, ADR		102		4,574
Italy – 1.9%
Saipem S.p.A.		108		5,604
Japan – 10.8%
Canon Inc.		69		3,260
JGC Corporation		159		4,927
KONAMI Corporation		94		2,651

Mitsubishi Corporation	219		5,068
Mitsubishi Electric Corporation	312		2,759
Mitsui & Co., Ltd.	282		4,621
NEXON Co., Ltd. (A)(B)	142		2,477
Nissin Kogyo Co., Ltd.	230		3,761
ORIX Corporation	30		2,897
			32,421
Luxembourg – 1.7%
Tenaris S.A.	271		5,164
Mexico – 1.6%
Grupo Modelo, S.A.B. de C.V., Series C	692		4,853
Netherlands – 1.2%
ASML Holding N.V., Ordinary Shares	70		3,510
Norway – 1.7%
Seadrill Limited	134		5,009
Sweden – 2.1%
AB Volvo, Class B	206		3,003
Telefonaktiebolaget LM Ericsson, B Shares	316		3,275
			6,278
Switzerland – 3.9%
ABB Ltd	259		5,313
Credit Suisse Group AG, Registered Shares	95		2,696
Swatch Group Ltd (The), Bearer Shares	8		3,811
			11,820
United Kingdom – 13.6%
ARM Holdings plc, ADR	77		2,169
Barclays plc	1,356		5,103
British American Tobacco plc	90		4,535
Diageo plc	304		7,305
Experian plc	388		6,045
GlaxoSmithKline plc	262		5,848
Prudential plc	294		3,516
Rio Tinto plc	54		2,973
Xstrata plc	188		3,208
			40,702
United States – 11.5%
Apple Inc. (A)	27		16,263
Cognizant Technology Solutions Corporation, Class A (A)	40		3,077
InBev NV	79		5,764
QUALCOMM Incorporated	75		5,076
Schlumberger Limited	64		4,486
			34,666
TOTAL COMMON STOCKS – 89.5%		$	269,351
(Cost: $245,244)
PREFERRED STOCKS
Germany – 1.8%
Volkswagen AG, 2.260%	31		5,515
TOTAL PREFERRED STOCKS – 1.8%		$	5,515
(Cost: $6,049)

SHORT-TERM SECURITIES	Principal
Commercial Paper – 3.0%
Prudential Funding LLC,
0.110%, 4–2–12 (C)	$	5,131		5,131
Straight-A Funding, LLC (GTD by Federal Financing Bank), 0.150%, 5–21–12 (C)		4,000		3,999
				9,130
Master Note – 1.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (D)		3,902		3,902
Municipal Obligations – Taxable – 1.7%
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.), 0.160%, 4–4–12 (D)		1,328		1,328
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2007B (GTD by Chevron Corporation), 0.180%, 4–2–12 (D)		3,831		3,831
				5,159
TOTAL SHORT-TERM SECURITIES – 6.0%			$	18,191
(Cost: $18,191)
TOTAL INVESTMENT SECURITIES – 97.3%			$	293,057
(Cost: $269,484)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 2.7%				8,074
NET ASSETS – 100.0%			$	301,131

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	35,747	$	—	$	—
Consumer Staples		35,102		—		—
Energy		23,296		—		—
Financials		20,964		—		—
Health Care		29,055		—		—
Industrials		52,483		—		—
Information Technology		44,779		—		—
Materials		15,878		—		—
Telecommunication Services		12,047		—		—
Total Common Stocks	$	269,351	$	—	$	—
Preferred Stocks		5,515		—		—
Short-Term Securities		—		18,191		—
Total	$	274,866	$	18,191	$	—
Forward Foreign Currency Contracts	$	—	$	2,158	$	—
Liabilities
Forward Foreign Currency Contracts		—		361		—
Swap Agreements	$	—	$	59	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following forward foreign currency contracts were outstanding at March 31, 2012:

Type	Currency	Counterparty	Principal Amount of Contract (Denominated in Indicated Currency)		Settlement Date		Unrealized Appreciation		Unrealized Depreciation
Sell	Euro	Citibank, N.A.		15,950		4-13-12		—	$	361
Sell	Japanese Yen	Goldman Sachs International		2,178,000		2-7-13	$	2,158		—
							$	2,158	$	361

The following total return swap agreements were outstanding at March 31, 2012:

Counterparty	Notional Amount	Underlying Security	Termination Date		Financing Fee#			Unrealized Depreciation
UBS AG, London	$2,549	Ping An Insurance (Group) Company of China, Ltd.		10-22-12		USD LIBOR + 0.700	%	$	(59	)

# 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 March 31, 2012, the total value of these securities amounted to $7,647 or 2.5% of net assets.

(C) Rate shown is the yield to maturity at March 31, 2012.

(D) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	269,484
Gross unrealized appreciation		34,099
Gross unrealized depreciation		(10,526	)
Net unrealized appreciation	$	23,573

SCHEDULE OF INVESTMENTS
Limited-Term Bond (in thousands)	MARCH 31, 2012 (UNAUDITED)

CORPORATE DEBT SECURITIES	Principal		Value
Aerospace & Defense – 1.8%
Bombardier Inc., 7.500%, 3–15–18 (A)	$	2,000	$	2,200
Raytheon Company, 1.400%, 12–15–14		2,575		2,617
				4,817
Air Freight & Logistics – 0.6%
FedEx Corporation, 7.375%, 1–15–14		1,500		1,657
Apparel Retail – 0.9%
Limited Brands, Inc., 8.500%, 6–15–19		2,000		2,365
Banking – 0.8%
Commonwealth Bank of Australia New York, 1.950%, 3–16–15		2,000		2,013
Brewers – 1.6%
Anheuser-Busch InBev Worldwide Inc., 4.125%, 1–15–15		1,000		1,084
SABMiller Holdings Inc., 1.850%, 1–15–15 (A)		3,000		3,040
				4,124
Broadcasting – 1.2%
CBS Corporation, 8.200%, 5–15–14		2,200		2,510
NBC Universal, Inc., 3.650%, 4–30–15		600		640
				3,150
Cable & Satellite – 3.1%
Comcast Corporation, 4.950%, 6–15–16		2,000		2,247
DIRECTV Holdings LLC, 2.400%, 3–15–17 (A)		2,000		1,982
DIRECTV Holdings LLC and DIRECTV Financing Co., 7.625%, 5–15–16		2,000		2,095
Time Warner Cable Inc., 3.500%, 2–1–15		2,000		2,118
				8,442
Computer & Electronics Retail – 0.4%
Best Buy Co., Inc., 6.750%, 7–15–13		1,000		1,061
Construction & Farm Machinery & Heavy Trucks – 0.8%
Caterpillar Inc., 1.375%, 5–27–14		2,000		2,032
Consumer Finance – 2.9%
American Express Company, 7.250%, 5–20–14		1,000		1,126
American Express Credit Corporation, 2.750%, 9–15–15		2,000		2,074
Capital One Financial Corporation, 2.125%, 7–15–14		1,500		1,508
Ford Motor Credit Company LLC, 3.875%, 1–15–15		2,000		2,020
USAA Capital Corporation, 1.050%, 9–30–14 (A)		1,000		991
				7,719
Data Processing & Outsourced Services – 1.4%
Fidelity National Financial, Inc., 6.600%, 5–15–17		2,000		2,117

Western Union Company (The), 6.500%, 2–26–14	1,500	1,639
		3,756
Distillers & Vintners – 0.7%
Diageo Capital plc, 5.750%, 10–23–17	1,500	1,802
Diversified Banks – 4.3%
Bank of New York Mellon Corporation (The), 1.500%, 1–31–14	2,000	2,023
Bank of Nova Scotia (The), 2.375%, 12–17–13	1,500	1,543
Barclays Bank plc, 2.375%, 1–13–14	1,500	1,511
HSBC Bank plc, 3.100%, 5–24–16 (A)	2,000	2,037
U.S. Bancorp, 2.200%, 11–15–16	2,000	2,039
Wells Fargo & Company, 3.676%, 6–15–16 (B)	2,000	2,136
		11,289
Diversified Chemicals – 1.6%
Dow Chemical Company (The), 5.900%, 2–15–15	2,000	2,252
E.I. du Pont de Nemours and Company, 2.750%, 4–1–16	2,000	2,114
		4,366
Diversified Metals & Mining – 2.0%
BHP Billiton Finance (USA) Limited, 7.250%, 3–1–16	1,000	1,204
BHP Billiton plc and BHP Billiton Limited, 5.250%, 12–15–15	2,000	2,295
Rio Tinto Finance (USA) Limited, 2.250%, 9–20–16	1,500	1,542
		5,041
Drug Retail – 0.7%
CVS Caremark Corporation, 3.250%, 5–18–15	1,675	1,775
Electric Utilities – 3.1%
Carolina Power & Light Company, 5.125%, 9–15–13	2,000	2,129
Great Plains Energy Incorporated, 2.750%, 8–15–13	2,000	2,034
National Rural Utilities Cooperative Finance Corporation: 1.125%, 11–1–13	1,000	1,007
1.900%, 11–1–15	1,000	1,024
Oncor Electric Delivery Company LLC: 6.375%, 5–1–12	1,000	1,004
5.950%, 9–1–13	1,000	1,065
		8,263
Electronic Manufacturing Services – 0.9%
Jabil Circuit, Inc., 7.750%, 7–15–16	2,000	2,280
Environmental & Facilities Services – 2.5%
Allied Waste North America, Inc., 6.875%, 6–1–17	2,000	2,088
Waste Management, Inc.: 6.375%, 11–15–12	2,050	2,119
6.100%, 3–15–18	2,000	2,369
		6,576
Health Care Equipment – 0.8%
Stryker Corporation, 2.000%, 9–30–16	2,000	2,050

Health Care Services – 1.5%
Medco Health Solutions, Inc., 2.750%, 9–15–15	2,000	2,056
Quest Diagnostics Incorporated, 3.200%, 4–1–16	2,000	2,095
		4,151
Health Care Supplies – 0.4%
DENTSPLY International Inc., 2.750%, 8–15–16	1,000	1,005
Independent Finance – 0.7%
Volkswagen International Finance N.V., 1.625%, 3–22–15 (A)	1,894	1,894
Industrial Conglomerates – 1.2%
General Electric Capital Corporation, 2.950%, 5–9–16	3,000	3,129
Industrial Machinery – 0.2%
Illinois Tool Works Inc., 5.150%, 4–1–14	540	586
Integrated Telecommunication Services – 1.7%
AT&T Inc., 2.400%, 8–15–16	1,000	1,033
Deutsche Telekom International Finance B.V., 4.875%, 7–8–14	1,000	1,071
Verizon Communications Inc., 3.000%, 4–1–16	2,250	2,379
		4,483
Investment Banking & Brokerage – 1.7%
Goldman Sachs Group, Inc. (The), 3.625%, 2–7–16	2,000	1,999
Morgan Stanley, 4.100%, 1–26–15	2,500	2,509
		4,508
Leisure Products – 0.6%
Mattel, Inc., 2.500%, 11–1–16	1,500	1,534
Life & Health Insurance – 1.0%
MetLife Global Funding I, 2.500%, 9–29–15 (A)	1,500	1,545
Prudential Financial, Inc., 4.750%, 9–17–15	1,000	1,086
		2,631
Movies & Entertainment – 0.7%
Viacom Inc., 4.375%, 9–15–14	1,600	1,725
Office Electronics – 0.8%
Xerox Corporation, 2.950%, 3–15–17	2,000	2,020
Oil & Gas Equipment & Services – 0.8%
Schlumberger S.A. (GTD by Schlumberger Limited), 1.950%, 9–14–16 (A)	2,000	2,023
Oil & Gas Exploration & Production – 1.6%
EOG Resources, Inc., 2.500%, 2–1–16	2,000	2,064
Petrohawk Energy Corporation, 7.250%, 8–15–18	2,000	2,288
		4,352
Oil & Gas Storage & Transportation – 1.4%
DCP Midstream Operating, LP, 3.250%, 10–1–15	1,500	1,505
Sunoco Logistics Partners Operations L.P., 8.750%, 2–15–14	2,000	2,206
		3,711

Other Diversified Financial Services – 2.9%
Bank of America Corporation, 3.625%, 3–17–16	2,000		1,996
ING Bank NV, 2.375%, 6–9–14 (A)	2,500		2,482
JPMorgan Chase & Co., 3.150%, 7–5–16	3,000		3,092
			7,570
Packaged Foods & Meats – 1.5%
General Mills, Inc., 5.250%, 8–15–13	2,000		2,122
Kraft Foods Inc., 4.125%, 2–9–16	2,000		2,174
			4,296
Pharmaceuticals – 0.5%
Roche Holdings Ltd, 5.000%, 3–1–14 (A)	1,270		1,369
Property & Casualty Insurance – 0.8%
Berkshire Hathaway Inc., 2.200%, 8–15–16	2,000		2,071
Regional Banks – 0.8%
PNC Funding Corp, 4.250%, 9–21–15	2,000		2,184
Restaurants – 0.2%
YUM! Brands, Inc., 4.250%, 9–15–15	555		602
Semiconductors – 0.6%
Broadcom Corporation, 1.500%, 11–1–13	1,669		1,688
Specialty Chemicals – 0.8%
Lubrizol Corporation (The), 5.500%, 10–1–14	2,000		2,216
Systems Software – 1.0%
CA, Inc., 6.125%, 12–1–14	2,494		2,753
Wireless Telecommunication Service – 2.0%
America Movil, S.A.B. de C.V.: 3.625%, 3–30–15	2,000		2,115
2.375%, 9–8–16	1,000		1,012
American Tower Corporation: 4.625%, 4–1–15	1,000		1,065
5.900%, 11–1–21	1,000		1,102
			5,294
TOTAL CORPORATE DEBT SECURITIES – 57.5%		$	152,373
(Cost: $149,495)
MUNICIPAL BONDS – TAXABLE
Arizona – 1.1%
Tucson Unif Sch Dist No. 1 of Pima Cnty, AZ, Rfdg Bonds, Ser 2011, 1.546%, 7–1–14	2,745		2,757
Massachusetts – 0.6%
MA Hlth and Edu Fac Auth, Rev Bonds, Harvard Univ Issue, Ser 2008C, 5.260%, 10–1–18	1,250		1,491
North Carolina – 0.5%
Charlotte-Mecklenburg Hosp Auth, Spl Oblig Bonds, Ser 2003, 5.000%, 8–1–13	1,360		1,384
Rhode Island – 0.8%
Providence Hlth & Svc Oblig Group, Direct Oblig Notes, Ser 2009A, 5.050%, 10–1–14	2,000		2,206

TOTAL MUNICIPAL BONDS – TAXABLE – 3.0%		$	7,838
(Cost: $7,677)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Agency Obligations – 7.1%
Federal Home Loan Bank,
1.750%, 9–11–15	2,000		2,063
Federal National Mortgage Association:
2.375%, 7–28–15	2,000		2,109
2.000%, 12–30–15	1,000		1,045
2.125%, 10–26–18	3,000		3,027
3.000%, 11–14–18	3,000		3,101
Freddie Mac:
2.000%, 11–14–17	3,000		3,012
5.400%, 3–17–21	4,000		4,673
			19,030
Mortgage-Backed Obligations – 17.1%
Federal Home Loan Mortgage Corporation Agency REMIC/CMO,
2.500%, 12–15–41	3,000		3,072
Federal Home Loan Mortgage Corporation Fixed Rate Participation Certificates:
4.500%, 10–1–20	1,151		1,235
3.500%, 11–1–20	3,283		3,456
3.000%, 11–1–21	2,842		2,974
5.500%, 12–1–24	2,714		2,941
Federal National Mortgage Association Agency REMIC/CMO:
3.000%, 3–15–25	1,673		1,740
4.000%, 5–25–39	981		1,035
3.000%, 11–25–39	1,493		1,546
4.000%, 11–25–39	2,392		2,499
4.750%, 12–15–40	2,162		2,222
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
4.000%, 8–1–18	2,639		2,817
5.000%, 12–1–19	822		891
5.500%, 10–1–21	2,908		3,178
5.500%, 11–1–22	1,103		1,205
5.000%, 4–1–24	845		926
4.000%, 12–1–31	5,882		6,242
5.000%, 9–1–33	1,579		1,710
Government National Mortgage Association Agency REMIC/CMO:
4.000%, 10–16–32	2,367		2,461
2.000%, 3–16–42	3,000		3,027
			45,177
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 24.2%		$	64,207
(Cost: $63,405)
UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 6.2%
United States Treasury Notes:
1.750%, 5–31–16	6,000		6,224
1.500%, 7–31–16	5,000		5,129
1.500%, 8–31–18	5,000		5,011
			16,364
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 6.2%		$	16,364
(Cost: $16,099)
SHORT-TERM SECURITIES
Commercial Paper – 4.6%
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited),
0.120%, 4–18–12 (C)	5,000		5,000

Citigroup Funding Inc.,
0.290%, 4–11–12 (C)	3,000		3,000
Corporacion Andina de Fomento,
0.270%, 4–19–12 (C)	4,000		3,999
			11,999
Master Note – 0.1%
Toyota Motor Credit Corporation,
0.131%, 4–2–12 (D)	231		231
Municipal Obligations – Taxable – 4.2%
MS Business Fin Corp, Gulf Opp Zone Indl Dev Var Rev Bonds (Chevron U.S.A. Inc. Proj), Ser D (GTD by Chevron Corporation),
0.190%, 4–2–12 (D)	4,000		4,000
The Pub Bldg Auth of Montgomery Cnty, TN, Adj Rate Pooled Fin Rev Bonds (TN Cnty Loan Pool), Ser 2008 (GTD by Bank of America, N.A.),
0.300%, 4–2–12 (D)	7,275		7,275
			11,275
TOTAL SHORT-TERM SECURITIES – 8.9%		$	23,505
(Cost: $23,505)
TOTAL INVESTMENT SECURITIES – 99.8%		$	264,287
(Cost: $260,181)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%			526
NET ASSETS – 100.0%		$	264,813

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following tables summarize the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Corporate Debt Securities	$	—	$	150,278	$	2,095
Municipal Bonds		—		7,838		—
United States Government Agency Obligations		—		64,207		—
United States Government Obligations		—		16,364		—
Short-Term Securities		—		23,505		—
Total	$	—	$	262,192	$	2,095

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

(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 March 31, 2012, the total value of these securities amounted to $19,563 or 7.4% of net assets.

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

(C) Rate shown is the yield to maturity at March 31, 2012.

(D) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	260,181
Gross unrealized appreciation		4,292
Gross unrealized depreciation		(186	)
Net unrealized appreciation	$	4,106

SCHEDULE OF INVESTMENTS Micro Cap Growth (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Air Freight & Logistics – 1.0%
Pacer International, Inc. (A)		85	$	534
Apparel Retail – 3.3%
bebe stores, inc.		56		518
Body Central Corp. (A)		20		589
Francesca’s Holdings Corporation (A)		21		670
				1,777
Apparel, Accessories & Luxury Goods – 1.2%
Movado Group, Inc.		27		658
Application Software – 4.4%
Callidus Software Inc. (A)		121		947
Kenexa Corporation (A)		21		650
RealPage, Inc. (A)		14		276
Tangoe, Inc. (A)		28		527
				2,400
Asset Management & Custody Banks – 0.6%
Internet Capital Group, Inc. (A)		38		340
Auto Parts & Equipment – 1.2%
Amerigon Incorporated (A)		39		628
Automotive Retail – 0.8%
America’s Car-Mart, Inc. (A)		9		413
Biotechnology – 4.2%
Achillion Pharmaceuticals, Inc. (A)		78		749
ArQule, Inc. (A)		28		197
Clovis Oncology, Inc. (A)		20		506
NewLink Genetics Corporation (A)		33		298
SciClone Pharmaceuticals, Inc. (A)		87		551
				2,301
Casinos & Gaming – 0.9%
Multimedia Games Holding Company, Inc. (A)		47		514
Commercial Printing – 1.2%
InnerWorkings, Inc. (A)		56		655
Communications Equipment – 3.3%
Ixia (A)		33		415
Procera Networks, Inc. (A)		61		1,355
				1,770
Computer Storage & Peripherals – 3.3%
Datalink Corporation (A)		27		260
OCZ Technology Group, Inc. (A)		126		876
SimpleTech, Inc. (A)		26		244
Xyratex Ltd		26		418
				1,798
Construction & Farm Machinery & Heavy Trucks – 2.1%
Commercial Vehicle Group, Inc. (A)		32		396
Wabash National Corporation (A)		71		730
				1,126
Consumer Electronics – 0.9%
SGOCO Technology Ltd. (A)		16		12
Skullcandy, Inc. (A)		29		456
				468

Consumer Finance – 1.5%
NetSpend Holdings, Inc. (A)	47	$	362
Regional Management Corp. (A)	25		419
			781
Electronic Equipment & Instruments – 1.7%
FARO Technologies, Inc. (A)	16		933
Electronic Manufacturing Services – 1.2%
Fabrinet (A)	21		372
Maxwell Technologies, Inc. (A)	14		260
			632
Fertilizers & Agricultural Chemicals – 1.1%
American Vanguard Corporation	26		570
Food Distributors – 1.1%
Chefs’ Warehouse Holdings, LLC (The) (A)	26		595
General Merchandise Stores – 1.4%
Gordmans Stores, Inc. (A)	34		745
Health Care Equipment – 2.1%
ABIOMED, Inc. (A)	32		706
Rockwell Medical Technologies, Inc. (A)	46		434
			1,140
Health Care Supplies – 6.2%
Quidel Corporation (A)	58		1,071
Rochester Medical Corporation (A)	20		196
Spectranetics Corporation (The) (A)	107		1,116
STAAR Surgical Company (A)	49		535
Synergetics USA, Inc. (A)	70		454
			3,372
Health Care Technology – 2.6%
Greenway Medical Technologies, Inc. (A)	18		269
HealthStream, Inc. (A)	33		758
Vocera Communications, Inc. (A)	16		365
			1,392
Homefurnishing Retail – 0.9%
Kirkland’s, Inc. (A)	32		515
Human Resource & Employment Services – 1.8%
On Assignment, Inc. (A)	56		982
Internet Software & Services – 12.6%
Active Network, Inc., (The) (A)	25		414
Bazaarvoice, Inc. (A)	6		115
Boingo Wireless, Inc. (A)	28		336
Brightcove Inc. (A)	18		436
Envestnet, Inc. (A)	37		466
Keynote Systems, Inc.	27		524
Liquidity Services, Inc. (A)	16		712
Responsys, Inc. (A)	29		342
SciQuest, Inc. (A)	28		431
SPS Commerce, Inc. (A)	37		990
Velti plc (A)	51		694
Vocus, Inc. (A)	23		307
Web.com Group, Inc. (A)	31		450
Zillow, Inc. (A)	17		594
			6,811
IT Consulting & Other Services – 1.3%
InterXion Holding N.V. (A)	17		311
Virtusa Corporation (A)	22		373
			684

Leisure Facilities – 0.7%
Town Sports International Holdings, Inc. (A)	32	399
Leisure Products – 1.7%
Arctic Cat Inc. (A)	14	596
Black Diamond, Inc. (A)	37	344
		940
Managed Health Care – 1.1%
Molina Healthcare, Inc. (A)	17	587
Movies & Entertainment – 1.9%
Digital Domain Media Group, Inc. (A)	36	203
Rentrak Corporation (A)	36	822
		1,025
Oil & Gas Drilling – 1.0%
Pioneer Drilling Company (A)	61	538
Oil & Gas Equipment & Services – 2.6%
Basic Energy Services, Inc. (A)	36	616
Natural Gas Services Group, Inc. (A)	20	268
RigNet, Inc. (A)	32	564
		1,448
Oil & Gas Exploration & Production – 1.9%
Callon Petroleum Company (A)	110	690
Triangle Petroleum Corporation (A)	48	331
		1,021
Pharmaceuticals – 2.8%
NuPathe Inc. (A)	37	137
Obagi Medical Products, Inc. (A)	54	722
Pacira Pharmaceuticals, Inc. (A)	56	640
		1,499
Railroads – 1.0%
RailAmerica, Inc. (A)	25	545
Research & Consulting Services – 1.3%
Mistras Group, Inc. (A)	27	636
RPX Corporation (A)	4	59
		695
Restaurants – 2.5%
Bravo Brio Restaurant Group, Inc. (A)	19	381
Caribou Coffee Company, Inc. (A)	25	460
Red Robin Gourmet Burgers, Inc. (A)	14	536
		1,377
Semiconductor Equipment – 1.8%
CVD Equipment Corporation (A)	29	390
Nanometrics Incorporated (A)	33	606
		996
Semiconductors – 3.3%
BCD Semiconductor Manufacturing Limited, ADR (A)	34	196
Diodes Incorporated (A)	13	311
Entropic Communications, Inc. (A)	43	251
Inphi Corporation (A)	13	177
Mellanox Technologies, Ltd. (A)	12	506
RDA Microelectronics, Inc., ADR (A)	32	348
		1,789
Specialty Chemicals – 1.1%
ADA-ES, Inc. (A)	26	623

Systems Software – 2.2%
Allot Communications Ltd. (A)		22		516
Imperva, Inc. (A)		7		290
OPNET Technologies, Inc.		13		383
				1,189
Trading Companies & Distributors – 2.9%
CAI International, Inc. (A)		14		258
DXP Enterprises, Inc. (A)		30		1,292
				1,550
Trucking – 4.0%
Celadon Group, Inc.		50		776
Marten Transport, Ltd.		30		655
Roadrunner Transportation Systems, Inc. (A)		29		500
Vitran Corporation Inc., Class A (A)		38		299
				2,230
TOTAL COMMON STOCKS – 97.7%			$	52,985
(Cost: $40,735)
SHORT-TERM SECURITIES	Principal
Master Note – 3.6%
Toyota Motor Credit Corporation, 0.131%, 4-2-12 (B)	$	1,953		1,953
TOTAL SHORT-TERM SECURITIES – 3.6%			$	1,953
(Cost: $1,953)
TOTAL INVESTMENT SECURITIES – 101.3%			$	54,938
(Cost: $42,688)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.3%)				(711	)
NET ASSETS – 100.0%			$	54,227

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	52,985	$	—	$	—
Short-Term Securities		—		1,953		—
Total	$	52,985	$	1,953	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	42,688
Gross unrealized appreciation		13,624
Gross unrealized depreciation		(1,374	)
Net unrealized appreciation	$	12,250

SCHEDULE OF INVESTMENTS Mid Cap Growth (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares			Value
Air Freight & Logistics – 1.6%
Expeditors International of Washington, Inc.		70		$	3,235
Apparel, Accessories & Luxury Goods – 3.6%
Burberry Group plc (A)		92			2,200
Michael Kors Holdings Limited (B)		34			1,584
Under Armour, Inc., Class A (B)		4			348
Vera Bradley, Inc. (B)		45			1,366
Warnaco Group, Inc. (The) (B)		33			1,916
					7,414
Application Software – 3.9%
ANSYS, Inc. (B)		51			3,323
Solera Holdings, Inc.		76			3,471
Ultimate Software Group, Inc. (The) (B)		16			1,143
					7,937
Asset Management & Custody Banks – 1.8%
Northern Trust Corporation		78			3,689
Auto Parts & Equipment – 1.8%
BorgWarner Inc. (B)		43			3,618
Automotive Retail – 3.3%
CarMax, Inc. (B)		193			6,693
Brewers – 1.0%
Boston Beer Company, Inc. (The), Class A (B)		20			2,093
Building Products – 0.0%
Fortune Brands Home & Security, Inc. (B)		—	*		4
Communications Equipment – 4.6%
Acme Packet, Inc. (B)		70			1,917
Aruba Networks, Inc. (B)		136			3,020
F5 Networks, Inc. (B)		18			2,436
Riverbed Technology, Inc. (B)		74			2,081
					9,454
Construction Materials – 1.2%
Martin Marietta Materials, Inc.		30			2,543
Consumer Electronics – 3.1%
Harman International Industries, Incorporated		98			4,590
Skullcandy, Inc. (B)		113			1,781
					6,371
Data Processing & Outsourced Services – 2.9%
Fiserv, Inc. (B)		65			4,531
Vantiv, Inc., Class A (B)		75			1,468
					5,999
Department Stores – 1.0%
Nordstrom, Inc.		37			2,081
Distillers & Vintners – 1.3%
Brown-Forman Corporation, Class B		31			2,608
Electrical Components & Equipment – 3.8%
Acuity Brands, Inc.		37			2,353
Polypore International, Inc. (B)		84			2,964
Roper Industries, Inc.		26			2,548
					7,865

Electronic Manufacturing Services – 2.8%
Trimble Navigation Limited (B)	105	5,733
Food Retail – 1.4%
Whole Foods Market, Inc.	35	2,950
Health Care Distributors – 2.0%
Henry Schein, Inc. (B)	53	4,030
Health Care Equipment – 7.4%
Gen-Probe Incorporated (B)	61	4,024
IDEXX Laboratories, Inc. (B)	30	2,637
Intuitive Surgical, Inc. (B)	5	2,519
Varian Medical Systems, Inc. (B)	89	6,116
		15,296
Health Care Services – 0.8%
Accretive Health, Inc. (B)	80	1,599
Hotels, Resorts & Cruise Lines – 3.2%
Orient-Express Hotels Ltd. (B)	50	511
Wyndham Worldwide Corporation	131	6,086
		6,597
Industrial Machinery – 4.9%
Donaldson Company, Inc.	49	1,736
IDEX Corporation	98	4,117
Pall Corporation	69	4,121
		9,974
Insurance Brokers – 1.0%
Arthur J. Gallagher & Co.	55	1,955
Internet Retail – 1.0%
Netflix, Inc. (B)	18	2,025
Internet Software & Services – 1.3%
DealerTrack Holdings, Inc. (B)	88	2,652
Investment Banking & Brokerage – 1.7%
Greenhill & Co., Inc.	79	3,443
IT Consulting & Other Services – 2.2%
Teradata Corporation (B)	67	4,580
Life Sciences Tools & Services – 2.0%
Agilent Technologies, Inc.	46	2,030
Mettler-Toledo International Inc. (B)	11	2,060
		4,090
Oil & Gas Drilling – 1.1%
Patterson-UTI Energy, Inc.	126	2,177
Oil & Gas Equipment & Services – 2.3%
Dresser-Rand Group Inc. (B)	54	2,519
Dril-Quip, Inc. (B)	32	2,103
		4,622
Oil & Gas Exploration & Production – 2.8%
Continental Resources, Inc. (B)	37	3,185
Ultra Petroleum Corp. (B)	119	2,688
		5,873
Packaged Foods & Meats – 1.3%
Mead Johnson Nutrition Company	32	2,668

Real Estate Services – 1.7%
CB Richard Ellis Group, Inc. (B)		170		3,399
Regional Banks – 5.0%
First Republic Bank (B)		130		4,296
Huntington Bancshares Incorporated		327		2,110
Signature Bank (B)		64		4,031
				10,437
Semiconductor Equipment – 2.4%
Lam Research Corporation (B)		112		4,982
Semiconductors – 5.0%
ARM Holdings plc, ADR		73		2,055
Cavium Inc. (B)		79		2,458
Microchip Technology Incorporated		112		4,181
Semtech Corporation (B)(C)		49		1,392
				10,086
Specialty Stores – 3.9%
PetSmart, Inc.		68		3,868
Ulta Salon, Cosmetics & Fragrance, Inc.		44		4,077
				7,945
Systems Software – 2.3%
MICROS Systems, Inc. (B)		39		2,134
Red Hat, Inc. (B)		42		2,501
				4,635
Trading Companies & Distributors –2.7%
Fastenal Company		100		5,434
TOTAL COMMON STOCKS – 97.1%			$	198,786
(Cost: $166,704)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
Agilent Technologies, Inc., Call $48.00, Expires 5–21–12, OTC (Ctrpty: Citibank, N.A.)		423		26
TOTAL PURCHASED OPTIONS – 0.0%			$	26
(Cost: $68)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 1.6%
Wisconsin Electric Power Co., 0.150%, 4–2–12 (D)	$	3,237		3,237
Master Note – 1.7%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (E)		3,481		3,481
TOTAL SHORT-TERM SECURITIES – 3.3%			$	6,718
(Cost: $6,718)
TOTAL INVESTMENT SECURITIES – 100.4%			$	205,530
(Cost: $173,490)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.4%)				(850	)
NET ASSETS – 100.0%			$	204,680

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	198,786	$	—	$	—
Purchased Options		—		26		—
Short-Term Securities		—		6,718		—
Total	$	198,786	$	6,744	$	—
Liabilities
Written Options	$	28	$	148	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following written options were outstanding at March 31, 2012 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
Agilent Technologies, Inc.	Citibank, N.A.	Put		423		May 2012	$	40.00	$	76	$	(25	)
Polypore International, Inc.	N/A	Put		53		April 2012		40.00		20		(28	)
Semtech Corporation	Citibank, N.A.	Call		128		April 2012		30.00		13		(2	)
Ubiquiti Networks, Inc.	UBS Securities LLC	Put		155		May 2012		29.00		29		(37	)
	UBS Securities LLC	Put		155		May 2012		30.00		40		(49	)
Vera Bradley, Inc.	Citibank, N.A.	Put		7		April 2012		33.00		1		(2	)
	Citibank, N.A.	Put		84		April 2012		34.00		12		(33	)
									$	191	$	(176	)

* 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) All or a portion of the security position is held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements.

(D) Rate shown is the yield to maturity at March 31, 2012.

(E) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	173,490
Gross unrealized appreciation		39,603
Gross unrealized depreciation		(7,563	)
Net unrealized appreciation	$	32,040

SCHEDULE OF INVESTMENTS Money Market (in thousands) MARCH 31, 2012 (UNAUDITED)

CORPORATE OBLIGATIONS	Principal		Value
Certificate Of Deposit
Banco del Estado de Chile, 0.785%, 9–10–12 (A)	$	2,354	$	2,354
Total Certificate Of Deposit – 1.1%				2,354
Commercial Paper
Baxter International Inc.:
0.220%, 4–10–12 (B)		8,125		8,124
0.190%, 4–11–12 (B)		2,925		2,925
Corporacion Andina de Fomento:
0.440%, 5–4–12 (B)		5,000		4,998
0.690%, 5–15–12 (B)		1,800		1,798
0.270%, 5–21–12 (B)		1,045		1,045
0.510%, 6–20–12 (B)		1,200		1,199
Novartis Securities Investment Ltd., 0.180%, 6–11–12 (B)		4,780		4,778
Prudential Funding LLC, 0.180%, 4–5–12 (B)		2,000		2,000
River Fuel Company #2, Inc. (GTD by Bank of Nova Scotia), 0.170%, 4–30–12 (B)		3,300		3,300
River Fuel Trust #1 (GTD by Bank of Nova Scotia), 0.290%, 4–30–12 (B)		2,424		2,423
Sara Lee Corporation, 0.320%, 4–2–12 (B)		1,100		1,100
Sonoco Products Co., 0.320%, 4–2–12 (B)		1,100		1,100
St. Jude Medical, Inc.:
0.200%, 4–3–12 (B)		7,800		7,800
0.190%, 4–27–12 (B)		3,100		3,100
Straight–A Funding, LLC (GTD by Federal Financing Bank):
0.110%, 4–11–12 (B)		1,750		1,750
0.130%, 4–16–12 (B)		2,747		2,747
0.100%, 4–18–12 (B)		4,249		4,249
0.170%, 5–14–12 (B)		1,500		1,499
Target Corporation, 0.160%, 4–2–12 (B)		5,000		5,000
Unilever Capital Corporation, 0.450%, 1–17–13 (B)		1,400		1,395
Wisconsin Electric Power Co.:
0.150%, 4–2–12 (B)		1,210		1,210
0.160%, 4–4–12 (B)		3,200		3,200
0.200%, 4–11–12 (B)		3,190		3,190
0.180%, 4–12–12 (B)		1,234		1,234
Total Commercial Paper – 31.7%				71,164
Notes
American Honda Finance Corp. (GTD by Honda Motor Co.):
0.720%, 6–7–12 (A)		3,400		3,400
0.720%, 6–26–12 (A)		1,000		1,000
0.570%, 6–29–12 (A)		1,875		1,875
Banco del Estado de Chile, 1.090%, 6–22–12		4,000		4,000
Bank of America, N.A., 0.910%, 4–23–12 (A)		1,300		1,300
BellSouth Corporation (GTD by AT&T Inc.), 4.450%, 4–26–12 (C)		6,700		6,716
Caterpillar Inc., 0.593%, 5–21–12 (C)		2,200		2,203
General Electric Capital Corporation:
6.000%, 6–15–12		450		455
3.500%, 8–13–12		2,800		2,830
5.250%, 10–19–12		6,850		7,017

General Electric Capital Corporation: (continued) 5.450%, 1–15–13	400		414
IBM International Group Capital LLC (GTD by International Business Machines Corporation), 0.770%, 5–29–12 (A)	1,500		1,500
Kimberly–Clark Corporation, 4.028%, 12–19–12	6,100		6,258
Rabobank Nederland, 0.640%, 5–16–12 (A)	1,000		1,000
The Academy of the New Church, Var Rate Demand Bonds, Ser 2008 (GTD by Wachovia Bank, N.A.), 0.190%, 4–5–12 (A)	2,335		2,335
Toyota Motor Credit Corporation:
0.131%, 4–2–12 (A)	1,022		1,022
0.760%, 4–24–12 (A)	1,700		1,700
0.670%, 6–18–12 (A)	6,100		6,100
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank, N.A.), 0.190%, 4–5–12 (A)	1,290		1,290
Total Notes – 23.4%			52,415
TOTAL CORPORATE OBLIGATIONS – 56.2%		$	125,933
(Cost: $125,933)
MUNICIPAL OBLIGATIONS
Arizona – 0.8%
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.), 0.180%, 4–5–12 (A)	1,817		1,817
California – 9.2%
CA Infra and Econ Dev Bank, Var Rate Demand Rfdg Rev Bonds (Los Angeles Cnty Museum of Natural History Fndtn), Ser 2008A (GTD by Wells Fargo Bank, N.A.), 0.200%, 4–3–12 (A)	1,900		1,900
CA Muni Fin Auth, Recovery Zone Fac Bonds (Chevron U.S.A. Inc. Proj), Ser 2010C (GTD by Chevron Corporation), 0.180%, 4–3–12 (A)	2,210		2,210
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co), Ser C (GTD by JPMorgan Chase Bank, N.A.), 0.190%, 4–2–12 (A)	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), 0.180%, 4–5–12 (A)	5,200		5,200
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by United States Government), 0.180%, 4–5–12 (A)	2,210		2,210

City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.):
0.160%, 4–4–12 (A)	1,395	1,395
0.160%, 4–4–12 (A)	400	400
Fremont (Alameda Cnty, CA), Fremont Public Fin Auth (GTD by U.S. Bank, N.A.), 0.170%, 4–5–12 (A)	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.), 0.180%, 4–4–12 (A)	1,085	1,085
		20,600
Colorado – 4.9%
Castle Rock, CO, Cert of Part, Ser 2008 (GTD by Wells Fargo Bank, N.A.), 0.220%, 4–4–12 (A)	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.), 0.210%, 4–5–12 (A)	1,895	1,895
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.), 0.200%, 4–5–12 (A)	250	250
Harvest Junction Metro Dist (Longmont, CO), Ltd Tax GO Var Rate Bonds, Ser 2006 (GTD by U.S Bank, N.A.), 0.250%, 4–5–12 (A)	1,080	1,080
Sheridan Redev Agy CO Tax, Var Rfdg S Santa Fe Dr Corridor Redev PJ- Ser A-1 (GTD by JPMorgan Chase & Co.):
0.220%, 4–5–12 (A)	1,500	1,500
0.450%, 4–5–12 (A)	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%, 4–5–12 (A)	1,110	1,110
		10,905
Georgia – 2.7%
Dev Auth of Talbot Cnty, Incr Indl Dev Rev Bonds (Junction City Mining Co, LLC Proj), Ser 2000 (GTD by Wachovia Bank, N.A.), 0.240%, 4–5–12 (A)	135	135
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser B (Taxable), (GTD by Wells Fargo Bank), 0.150%, 4–4–12	5,810	5,810
		5,945
Illinois – 0.9%
Elmhurst, IL, Adj Demand Rev Bonds, Joint Comsn on Accred of Hltcare Org (GTD by JPMorgan Chase Bank, N.A.), 0.180%, 4–5–12 (A)	835	835
IL Fin Auth, Var Rate Demand Rev Bonds (Provena Health), Ser 2009B (GTD by JPMorgan Chase & Co.), 0.200%, 4–3–12 (A)	1,055	1,055
		1,890
Iowa – 0.5%
IA Fin Auth, Var Rate Demand Hlth Fac Rev Bonds (Great River Med Ctr Proj), Ser 2008 (Great River Medical Center), 0.210%, 4–3–12 (A)	1,170	1,170

Louisiana – 2.3%
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2009A (GTD by Air Products and Chemicals, Inc.), 0.150%, 4–4–12 (A)	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)), 0.160%, 4–4–12 (A)	1,750	1,750
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp Proj), Ser 1996 (GTD by Exxon Mobil Corporation), 0.170%, 4–3–12 (A)	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), 0.200%, 4–4–12 (A)	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.), 0.160%, 4–5–12 (A)	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.), 0.190%, 4–5–12 (A)	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), 0.190%, 4–3–12 (A)	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), 0.190%, 4–3–12 (A)	1,750	1,750
		13,286
Missouri – 0.6%
Kansas City, MO, Var Rate Demand Taxable Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase & Co.), 0.250%, 4–4–12 (A)	1,340	1,340
New York – 1.6%
NY Hsng Fin Agy, Related–Caroline Apt Hsng Rev Bonds, Ser 2008A (GTD by Federal Home Loan Mortgage Corporation), 0.170%, 4–4–12 (A)	900	900
NY State Hsng Fin Agy, 600 W 42nd Street Hsng Rev Bonds, Ser 2008B, 0.170%, 4–4–12 (A)	2,750	2,750
		3,650
Oregon – 0.3%
Hosp Fac Auth of Clackamas Cnty, OR, Rev Bonds (Legacy Hlth Sys), Ser 2008B (GTD by U.S. Bank, N.A.), 0.190%, 4–4–12 (A)	700	700

Texas – 3.7%
Harris Cnty Hosp Dist, Sr Lien Rfdg Rev Bonds, Ser 2010 (GTD by JPMorgan Chase & Co.),
0.190%, 4-5-12 (A)	2,910		2,910
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.),
0.170%, 4-3-12 (A)	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.),
0.170%, 4-3-12 (A)	3,040		3,040
			8,200
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.),
0.190%, 4-4-12 (A)	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.),
0.190%, 4-4-12 (A)	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),
0.190%, 4-3-12 (A)	1,156		1,156
TOTAL MUNICIPAL OBLIGATIONS – 37.1%		$	82,974
(Cost: $82,974)
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
Treasury Bills
United States Treasury Bills:
0.140%, 8-30-12	5,000		4,997
0.150%, 9-27-12	1,600		1,599
Total Treasury Bills – 2.9%			6,596
United States Government Agency Obligations
Overseas Private Investment Corporation (GTD by United States Government):
0.120%, 4-4-12 (A)	2,333		2,333
0.120%, 4-4-12 (A)	1,891		1,890
0.120%, 4-4-12 (A)	1,262		1,262
0.500%, 12-9-12	815		815
Totem Ocean Trailer Express, Inc. (GTD by United States Government),
0.710%, 4-16-12 (A)	1,443		1,443
Total United States Government Agency Obligations – 3.5%			7,743
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 6.4%		$	14,339
(Cost: $14,339)
TOTAL INVESTMENT SECURITIES – 99.7%		$	223,246
(Cost: $223,246)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3%	$	656
NET ASSETS – 100.0%	$	223,902

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Corporate Obligations	$	—	$	125,933	$	—
Municipal Obligations		—		82,974		—
United States Government Agency Obligations		—		14,339		—
Total	$	—	$	223,246	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

(A) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets or the next demand date.

(B) Rate shown is the yield to maturity at March 31, 2012.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012.

The following acronym is used throughout this schedule:

GTD = Guaranteed

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	223,246
Gross unrealized appreciation		—
Gross unrealized depreciation		—
Net unrealized appreciation	$	—

SCHEDULE OF INVESTMENTS Real Estate Securities (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Diversified REITs – 3.0%
PS Business Parks, Inc.		5	$	308
Vornado Realty Trust		11		900
				1,208
Hotels, Resorts & Cruise Lines – 1.5%
Starwood Hotels & Resorts Worldwide, Inc.		11		621
Industrial REITs – 4.4%
EastGroup Properties, Inc.		3		126
ProLogis		47		1,682
				1,808
Mortgage REITs – 0.3%
Colony Financial, Inc.		9		139
Office REITs – 15.5%
Alexandria Real Estate Equities, Inc. (A)		10		695
BioMed Realty Trust, Inc.		33		630
Boston Properties, Inc.		16		1,628
Brandywine Realty Trust		30		343
Digital Realty Trust, Inc.		10		747
Duke Realty Corporation		31		449
DuPont Fabros Technology, Inc.		8		200
Highwoods Properties, Inc.		3		83
Kilroy Realty Corporation		14		657
SL Green Realty Corp.		12		915
				6,347
Real Estate Operating Companies – 3.0%
Brookfield Properties Corporation		50		876
Forest City Enterprises, Inc., Class A (B)		22		351
				1,227
Real Estate Services – 0.4%
CB Richard Ellis Group, Inc. (A)(B)		8		166
Residential REITs – 20.0%
Associated Estates Realty Corporation		27		441
AvalonBay Communities, Inc.		10		1,428
BRE Properties, Inc., Class A		6		303
Camden Property Trust		11		730
Colonial Properties Trust		11		248
Equity Lifestyle Properties, Inc.		4		279
Equity Residential (A)		33		2,035
Essex Property Trust, Inc.		4		599
Home Properties, Inc.		7		433
Mid-America Apartment Communities, Inc.		9		630
Post Properties		10		459
UDR, Inc.		23		601
				8,186
Retail REITs – 23.3%
Acadia Realty Trust		26		581
Agree Realty Corporation		16		366
CBL & Associates Properties, Inc.		17		314
DDR Corp.		56		818
General Growth Properties, Inc.		20		336
Kimco Realty Corporation		32		618
Macerich Company (The)		17		975
Primaris Retail Real Estate Investment Trust (C)		12		256
Regency Centers Corporation		1		62
Retail Opportunity Investments Corp.		27		321
RioCan Real Estate Investment Trust (C)		1		33
Simon Property Group, Inc.		29		4,187
Tanger Factory Outlet Centers, Inc.		13		389
Weingarten Realty Investors		10		259
				9,515

Specialized REITs – 24.3%
Chesapeake Lodging Trust	11		190
CubeSmart	43		513
HCP, Inc.	31		1,211
Health Care REIT, Inc.	28		1,539
Hersha Hospitality Trust	78		425
Host Hotels & Resorts, Inc.	59		966
LaSalle Hotel Properties	13		371
LTC Properties, Inc.	6		195
Pebblebrook Hotel Trust	7		156
Public Storage, Inc.	13		1,727
Sovran Self Storage, Inc.	7		349
Sunstone Hotel Investors, Inc. (B)	44		427
Ventas, Inc.	31		1,795
			9,864
Wireless Telecommunication Service – 2.0%
American Tower Corporation, Class A (B)	6		366
Crown Castle International Corp. (B)	9		459
			825
TOTAL COMMON STOCKS – 97.7%		$	39,906
(Cost: $34,647)
PREFERRED STOCKS
Diversified REITs – 0.5%
CapLease, Inc., 8.125% Series A Cumulative	8		191
Office REITs – 0.7%
Digital Realty Trust, Inc., 7.000%	12		316
Specialized REITs – 0.6%
Pebblebrook Hotel Trust, Series B, 8.000%	9		232
TOTAL PREFERRED STOCKS – 1.8%		$	739
(Cost: $692)
TOTAL INVESTMENT SECURITIES – 99.5%		$	40,645
(Cost: $35,339)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5%			186
NET ASSETS – 100.0%		$	40,831

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	39,906	$	—	$	—
Preferred Stocks		548		191		—
Total	$	40,454	$	191	$	—
Liabilities
Written Options	$	34	$	—	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following written options were outstanding at March 31, 2012 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
Alexandria Real Estate Equities, Inc.	N/A	Call		20		April 2012	$	75.00	$	4	$	(1	)
CB Richard Ellis Group, Inc.	N/A	Call		83		June 2012		20.00		8		(11	)
Equity Residential	N/A	Call		77		April 2012		60.00		16		(22	)
									$	28	$	(34	)

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

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

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

The following acronym is used throughout this schedule:

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	35,339
Gross unrealized appreciation		6,320
Gross unrealized depreciation		(1,014	)
Net unrealized appreciation	$	5,306

SCHEDULE OF INVESTMENTS Science and Technology (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Agricultural Products – 4.7%
Archer Daniels Midland Company		207	$	6,566
Bunge Limited		102		6,981
Darling International Inc. (A)		125		2,183
				15,730
Application Software – 14.2%
ACI Worldwide, Inc. (A)		482		19,406
Aspen Technology, Inc. (A)		1,214		24,924
Informatica Corporation (A)		65		3,439
				47,769
Biotechnology – 3.8%
Ironwood Pharmaceuticals, Inc., Class A (A)		122		1,620
Isis Pharmaceuticals, Inc. (A)		155		1,362
Vertex Pharmaceuticals Incorporated (A)		230		9,419
				12,401
Computer Hardware – 8.0%
Apple Inc. (A)(B)		45		26,796
Construction & Engineering – 0.6%
Abengoa, S.A. (C)		79		1,441
Aegion Corporation (A)		36		649
				2,090
Consumer Finance – 0.6%
NetSpend Holdings, Inc. (A)		245		1,897
Data Processing & Outsourced Services – 13.4%
Alliance Data Systems Corporation (A)		198		24,978
Euronet Worldwide, Inc. (A)		373		7,782
Vantiv, Inc., Class A (A)		126		2,464
Visa Inc., Class A		56		6,584
WNS (Holdings) Limited, ADR (A)		228		2,741
				44,549
Electronic Components – 1.2%
Power-One, Inc. (A)		860		3,912
Electronic Equipment & Instruments – 1.4%
Elster Group SE, ADR (A)		115		1,818
Ingenico S.A. (C)		58		2,785
				4,603
Health Care Equipment – 0.3%
Boston Scientific Corporation (A)		178		1,067
Health Care Facilities – 2.3%
Tenet Healthcare Corporation (A)		1,445		7,675
Health Care Services – 0.7%
Fleury S.A. (C)		46		603
Fleury S.A. (C)(D)		131		1,730
				2,333
Health Care Technology – 1.8%
Cerner Corporation (A)		80		6,055
Industrial Machinery – 4.9%
ESCO Technologies Inc.		256		9,421
Pentair, Inc.		139		6,608
				16,029
Integrated Telecommunication Services – 1.5%
CenturyLink, Inc.		51		1,960
China Unicom Limited (C)		1,890		3,202
				5,162

Internet Retail – 2.9%
Groupon, Inc. (A)		162	$	2,978
Netflix, Inc. (A)		59		6,775
				9,753
Internet Software & Services – 5.7%
21Vianet Group, Inc., ADR (A)		131		1,491
Google Inc., Class A (A)		18		11,222
SINA Corporation (A)		94		6,130
				18,843
IT Consulting & Other Services – 3.4%
Acxiom Corporation (A)		597		8,757
iGate Corporation (A)		160		2,688
				11,445
Managed Health Care – 3.2%
Amil Participacoes S.A. (C)		332		3,446
UnitedHealth Group Incorporated		123		7,267
				10,713
Research & Consulting Services – 0.8%
Qualicorp S.A. (A)(C)		48		409
Qualicorp S.A. (A)(C)(D)		270		2,318
				2,727
Semiconductor Equipment – 1.3%
Nanometrics Incorporated (A)		80		1,473
Photronics, Inc. (A)		419		2,788
				4,261
Semiconductors – 14.5%
Cree, Inc. (A)		360		11,390
Freescale Semiconductor, Inc. (A)		53		822
Micron Technology, Inc. (A)		1,858		15,053
Samsung Electronics Co., Ltd. (C)		14		16,092
Spansion Inc. (A)		142		1,734
Spreadtrum Communications, Inc., ADR		208		3,424
				48,515
Systems Software – 2.1%
Allot Communications Ltd. (A)		95		2,213
Oracle Corporation		166		4,826
				7,039
Wireless Telecommunication Service – 1.7%
Clearwire Corporation, Class A (A)		809		1,844
Sprint Nextel Corporation (A)		1,269		3,617
				5,461
TOTAL COMMON STOCKS – 95.0%			$	316,825
(Cost: $250,142)
PURCHASED OPTIONS	Number of Contracts (Unrounded)
Apple Inc., Put $565.00, Expires 5-21-12		110		178
TOTAL PURCHASED OPTIONS – 0.1%			$	178
(Cost: $141)
CORPORATE DEBT SECURITIES	Principal
Semiconductors – 0.4%
JinkoSolar Holding Co., Ltd., Convertible, 4.000%, 5-15-16 (D)	$	2,230		1,218
TOTAL CORPORATE DEBT SECURITIES – 0.4%			$	1,218
(Cost: $2,185)

SHORT-TERM SECURITIES	Principal		Value
Commercial Paper – 3.4%
L’Air Liquide S.A., 0.150%, 4–23–12 (E)		5,000		5,000
Straight-A Funding, LLC (GTD by Federal Financing Bank), 0.150%, 5–21–12 (E)		4,000		3,999
Wisconsin Electric Power Co., 0.150%, 4–2–12 (E)		2,141		2,141
				11,140
Master Note – 1.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (F)		4,491		4,491
TOTAL SHORT-TERM SECURITIES – 4.7%			$	15,631
(Cost: $15,631)
TOTAL INVESTMENT SECURITIES – 100.2%			$	333,852
(Cost: $268,099)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2%)				(589	)
NET ASSETS – 100.0%			$	333,263

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	9,753	$	—	$	—
Consumer Staples		15,730		—		—
Financials		1,897		—		—
Health Care		40,244		—		—
Industrials		20,846		—		—
Information Technology		217,732		—		—
Telecommunication Services		10,623		—		—
Total Common Stocks	$	316,825	$	—	$	—
Purchased Options		178		—		—
Corporate Debt Securities		—		1,218		—
Short-Term Securities		—		15,631		—
Total	$	317,003	$	16,849	$	—
Liabilities
Written Options	$	120	$	—	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following written options were outstanding at March 31, 2012 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
Apple Inc.	N/A	Call		110		May 2012	$	655.00	$	143	$	(120	)

(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) Listed on an exchange outside the United States.

(D) 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 March 31, 2012, the total value of these securities amounted to $5,266 or 1.6% of net assets.

(E) Rate shown is the yield to maturity at March 31, 2012.

(F) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	268,099
Gross unrealized appreciation		80,879
Gross unrealized depreciation		(15,126	)
Net unrealized appreciation	$	65,753

SCHEDULE OF INVESTMENTS Small Cap Growth (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Apparel Retail – 1.5%
Zumiez Inc. (A)		167	$	6,048
Apparel, Accessories & Luxury Goods – 5.4%
Columbia Sportswear Company		107		5,079
Under Armour, Inc., Class A (A)		74		6,909
Warnaco Group, Inc. (The) (A)		161		9,376
				21,364
Application Software – 7.4%
BroadSoft, Inc. (A)		228		8,717
Synchronoss Technologies, Inc. (A)		176		5,623
Tangoe, Inc. (A)		140		2,633
Tyler Technologies, Inc. (A)		106		4,072
Ultimate Software Group, Inc. (The) (A)		109		7,989
				29,034
Asset Management & Custody Banks – 2.1%
Affiliated Managers Group, Inc. (A)		35		3,944
WisdomTree Investment, Inc. (A)		526		4,400
				8,344
Brewers – 2.2%
Boston Beer Company, Inc. (The), Class A (A)		81		8,668
Communications Equipment – 3.5%
Acme Packet, Inc. (A)		139		3,815
Aruba Networks, Inc. (A)		292		6,495
Finisar Corporation (A)		171		3,450
				13,760
Computer Hardware – 1.3%
Stratasys, Inc. (A)		144		5,241
Construction & Engineering – 3.2%
Chicago Bridge & Iron Company N.V., NY Shares		295		12,747
Construction & Farm Machinery & Heavy Trucks – 5.9%
Manitowoc Company, Inc. (The)		354		4,906
Westinghouse Air Brake Technologies Corporation		243		18,283
				23,189
Consumer Finance – 2.5%
EZCORP, Inc., Class A (A)		308		9,981
Diversified Support Services – 1.7%
Mobile Mini, Inc. (A)		325		6,858
Electrical Components & Equipment – 1.7%
Acuity Brands, Inc.		104		6,510
Electronic Equipment & Instruments – 6.1%
FARO Technologies, Inc. (A)		156		9,082
OSI Systems, Inc. (A)		244		14,955
				24,037
Electronic Manufacturing Services – 1.9%
IPG Photonics Corporation (A)		143		7,441
Fertilizers & Agricultural Chemicals – 0.7%
American Vanguard Corporation		119		2,576

Health Care Equipment – 9.4%
Cyberonics, Inc. (A)	159	6,064
NuVasive, Inc. (A)	368	6,196
Volcano Corporation (A)	380	10,783
ZOLL Medical Corporation (A)	149	13,806
		36,849
Health Care Technology – 2.5%
HealthStream, Inc. (A)	201	4,661
Omnicell, Inc. (A)	353	5,368
		10,029
Home Furnishings – 3.5%
Tempur – Pedic International Inc. (A)	164	13,831
Homefurnishing Retail – 1.0%
Select Comfort Corporation (A)	122	3,964
Industrial Machinery – 1.2%
Chart Industries, Inc. (A)	63	4,630
Internet Retail – 1.3%
Shutterfly, Inc. (A)	161	5,046
Internet Software & Services – 7.0%
Constant Contact, Inc. (A)	367	10,930
DealerTrack Holdings, Inc. (A)	257	7,785
Dice Holdings, Inc. (A)	694	6,471
Liquidity Services, Inc. (A)	55	2,449
		27,635
Investment Banking & Brokerage – 4.3%
Greenhill & Co., Inc.	223	9,724
Stifel Financial Corp. (A)	182	6,888
		16,612
IT Consulting & Other Services – 0.9%
Sapient Corporation	295	3,671
Oil & Gas Equipment & Services – 5.0%
Core Laboratories N.V.	47	6,118
Dril – Quip, Inc. (A)	122	7,917
Superior Energy Services, Inc. (A)	209	5,516
		19,551
Oil & Gas Storage & Transportation – 2.0%
Targa Resources Corp.	173	7,871
Pharmaceuticals – 5.3%
Akorn, Inc. (A)	326	3,812
Questcor Pharmaceuticals, Inc. (A)	104	3,922
Sagent Pharmaceuticals, Inc. (A)	100	1,784
Salix Pharmaceuticals, Ltd. (A)	214	11,244
		20,762
Restaurants – 0.5%
Caribou Coffee Company, Inc. (A)	99	1,852
Semiconductors – 1.4%
Cavium Inc. (A)	110	3,393
Spansion Inc. (A)	169	2,063
		5,456

Systems Software – 4.7%
MICROS Systems, Inc. (A)		336		18,601
TOTAL COMMON STOCKS – 97.1%			$	382,158
(Cost: $314,499)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 2.8%
Novartis Securities Investment Ltd., 0.110%, 4–12–12 (B)	$	6,000		6,000
PACCAR Financial Corp., 0.120%, 4–10–12 (B)		5,000		5,000
				11,000
Master Note – 1.2%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (C)		4,891		4,891
TOTAL SHORT-TERM SECURITIES – 4.0%			$15,891
(Cost: $15,891)
TOTAL INVESTMENT SECURITIES – 101.1%			$	398,049
(Cost: $330,390)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.1%)				(4,233	)
NET ASSETS – 100.0%			$	393,816

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	382,158	$	—	$	—
Short-Term Securities		—		15,891		—
Total	$	382,158	$	15,891	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Rate shown is the yield to maturity at March 31, 2012.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. Date shown represents the date that the variable rate resets.

For Federal income tax purposes, cost of investments owned at March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	330,390
Gross unrealized appreciation		87,516
Gross unrealized depreciation		(19,857	)
Net unrealized appreciation	$	67,659

SCHEDULE OF INVESTMENTS Small Cap Value (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Aerospace & Defense – 4.0%
AAR Corp.		201	$	3,665
Triumph Group, Inc.		102		6,410
				10,075
Apparel Retail – 3.3%
AnnTaylor Stores Corporation (A)		199		5,699
Payless ShoeSource, Inc. (A)		127		2,505
				8,204
Apparel, Accessories & Luxury Goods – 4.0%
Jones Apparel Group, Inc.		394		4,944
Warnaco Group, Inc. (The) (A)		83		4,871
				9,815
Auto Parts & Equipment – 5.7%
Dana Holding Corporation		236		3,656
Tenneco Automotive Inc. (A)		110		4,072
Visteon Corporation (A)		114		6,063
				13,791
Broadcasting – 3.7%
Belo Corp., Class A		746		5,350
Entercom Communications Corp. (A)		572		3,712
				9,062
Construction & Farm Machinery & Heavy Trucks – 0.5%
Accuride Corporation (A)		129		1,118
Data Processing & Outsourced Services – 1.3%
CoreLogic Inc. (A)		194		3,166
Electric Utilities – 1.7%
NV Energy, Inc.		274		4,415
Food Retail – 1.3%
Roundy’s Supermarkets, Inc. (A)		290		3,102
Forest Products – 1.8%
Louisiana-Pacific Corporation (A)		473		4,424
Gas Utilities – 1.5%
Southwest Gas Corporation		84		3,579
Health Care Facilities – 3.8%
Community Health Systems, Inc. (A)		248		5,511
LifePoint Hospitals, Inc. (A)		97		3,818
				9,329
Homebuilding – 1.2%
M.D.C. Holdings, Inc.		118		3,043
Hotels, Resorts & Cruise Lines – 1.6%
Gaylord Entertainment Company (A)		132		4,066
Movies & Entertainment – 2.8%
Cinemark Holdings, Inc.		313		6,862
Office REITs – 2.0%
Lexington Corporation Properties Trust		553		4,972
Oil & Gas Equipment & Services – 1.7%
Superior Energy Services, Inc. (A)		156		4,112

Oil & Gas Exploration & Production – 1.9%
EV Energy Partners, L.P.	66	$	4,579
Oil & Gas Storage & Transportation – 7.1%
Atlas Pipeline Partners, L.P.	198		6,988
MarkWest Energy Partners, L.P.	65		3,776
Regency Energy Partners LP	122		3,000
Targa Resources Corp.	85		3,858
			17,622
Packaged Foods & Meats – 1.6%
Dean Foods Company (A)	329		3,980
Paper Packaging – 2.4%
Boise Inc.	723		5,935
Personal Products – 0.9%
Inter Parfums, Inc.	148		2,325
Property & Casualty Insurance – 2.6%
Argo Group International Holdings, Ltd.	152		4,525
SeaBright Insurance Holdings, Inc.	213		1,936
			6,461
Publishing – 4.8%
E. W. Scripps Company (The) (A)	408		4,024
Valassis Communications, Inc. (A)	234		5,391
Washington Post Company, Class B (The)	7		2,428
			11,843
Regional Banks – 4.3%
Bank of Marin Bancorp	73		2,775
First Horizon National Corporation	512		5,320
Wintrust Financial Corporation	73		2,611
			10,706
Reinsurance – 4.3%
Endurance Specialty Holdings Ltd.	132		5,372
Reinsurance Group of America, Incorporated	88		5,257
			10,629
Residential REITs – 1.3%
Campus Crest Communities, Inc.	276		3,220
Semiconductors – 2.7%
Freescale Semiconductor, Inc. (A)	325		4,998
Spansion Inc. (A)	131		1,591
			6,589
Specialized REITs – 1.9%
Strategic Hotels & Resorts, Inc. (A)	703		4,622
Specialty Chemicals – 5.4%
Ashland Inc.	72		4,409
Cytec Industries Inc.	65		3,921
RPM International Inc.	187		4,895
			13,225
Technology Distributors – 1.5%
Insight Enterprises, Inc. (A)	170		3,737
Thrifts & Mortgage Finance – 1.9%
Capitol Federal Financial	389		4,609

Trucking – 3.2%
Marten Transport, Ltd.		173		3,825
Werner Enterprises, Inc.		164		4,084
				7,909
TOTAL COMMON STOCKS – 89.7%			$	221,126
(Cost: $205,776)
INVESTMENT FUNDS
Asset Management & Custody Banks – 1.2%
THL Credit, Inc.		239	$	3,076
TOTAL INVESTMENT FUNDS – 1.2%			$	3,076
(Cost: $3,121)
SHORT-TERM SECURITIES	Principal
Commercial Paper – 2.4%
Corporacion Andina de Fomento, 0.270%, 4-19-12 (B)	$	3,000		3,000
E.I. du Pont de Nemours and Company, 0.130%, 4-20-12 (B)		3,000		2,999
				5,999
Master Note – 0.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (C)		669		669
Municipal Obligations – Taxable – 7.5%
Cert of Part, Denver Pub Sch, Var Rate Rfdg Ser 2011A-3 (GTD by Wells Fargo Bank, N.A.), 0.130%, 4-15-12 (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.), 0.180%, 4-5-12 (C)		1,925		1,925
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)), 0.170%, 4-2-12 (C)		3,863		3,863
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America, N.A.), 0.200%, 4-2-12 (C)		12,683		12,683
				18,596
TOTAL SHORT-TERM SECURITIES – 10.2%			$	25,264
(Cost: $25,264)
TOTAL INVESTMENT SECURITIES – 101.1%			$	249,466
(Cost: $234,161)
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.1%)				(2,813)
NET ASSETS – 100.0%			$	246,653

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	221,126	$	—	$	—
Investment Funds		3,076		—		—
Short-Term Securities		—		25,264		—
Total	$	224,202	$	25,264	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

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

(B) Rate shown is the yield to maturity at March 31, 2012.

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	234,161
Gross unrealized appreciation		23,324
Gross unrealized depreciation		(8,019	)
Net unrealized appreciation	$	15,305

SCHEDULE OF INVESTMENTS Value (in thousands) MARCH 31, 2012 (UNAUDITED)

COMMON STOCKS	Shares		Value
Auto Parts & Equipment – 1.8%
TRW Automotive Holdings Corp. (A)		123	$	5,727
Biotechnology – 2.8%
Amgen Inc.		129		8,798
Broadcasting – 1.2%
CBS Corporation, Class B		110		3,740
Cable & Satellite – 3.0%
Time Warner Cable Inc.		117		9,536
Computer Hardware – 2.6%
Hewlett-Packard Company		342		8,156
Consumer Finance – 3.8%
Capital One Financial Corporation		213		11,895
Department Stores – 1.7%
Macy’s Inc.		137		5,435
Diversified Banks – 4.9%
Wells Fargo & Company		451		15,390
Diversified Metals & Mining – 0.7%
Freeport-McMoRan Copper & Gold Inc., Class B		55		2,107
Drug Retail – 3.6%
CVS Corporation (B)		256		11,473
Electric Utilities – 1.2%
PPL Corporation		129		3,648
General Merchandise Stores – 0.8%
Target Corporation		44		2,558
Health Care Distributors – 2.3%
McKesson Corporation		84		7,381
Industrial Machinery – 3.5%
Ingersoll-Rand plc		192		7,952
SPX Corporation (B)		43		3,295
				11,247
Integrated Oil & Gas – 4.5%
ConocoPhillips		187		14,176
Integrated Telecommunication Services – 3.6%
AT&T Inc.		364		11,365
Investment Banking & Brokerage – 3.8%
Goldman Sachs Group, Inc. (The) (B)		78		9,689
Morgan Stanley (B)		124		2,431
				12,120
Life & Health Insurance – 1.0%
MetLife, Inc.		81		3,014

Managed Health Care – 8.0%
Aetna Inc.	139	6,992
UnitedHealth Group Incorporated	165	9,708
WellPoint, Inc.	119	8,797
		25,497
Mortgage REITs – 2.0%
American Capital Agency Corp.	220	6,490
Multi-Utilities – 2.2%
PG&E Corporation	162	7,011
Office Electronics – 2.5%
Xerox Corporation	996	8,044
Oil & Gas Exploration & Production – 3.2%
Marathon Oil Corporation	321	10,169
Oil & Gas Refining & Marketing – 3.7%
Marathon Petroleum Corporation	267	11,581
Oil & Gas Storage & Transportation – 5.9%
MarkWest Energy Partners, L.P.	146	8,516
Plains All American Pipeline, L.P.	27	2,095
Regency Energy Partners LP	341	8,378
		18,989
Other Diversified Financial Services – 2.4%
Citigroup Inc.	211	7,708
Pharmaceuticals – 2.6%
Johnson & Johnson	124	8,199
Property & Casualty Insurance – 5.8%
ACE Limited	170	12,436
XL Group plc	281	6,095
		18,531
Regional Banks – 1.2%
SunTrust Banks, Inc.	153	3,696
Reinsurance – 2.1%
RenaissanceRe Holdings Ltd.	87	6,581
Semiconductor Equipment – 2.0%
Lam Research Corporation (A)	68	3,025
Novellus Systems, Inc. (A)	69	3,434
		6,459
Semiconductors – 2.1%
Freescale Semiconductor, Inc. (A)	423	6,508
Soft Drinks – 2.0%
Dr Pepper Snapple Group, Inc.	155	6,225
Systems Software – 2.1%
Symantec Corporation (A)	356	6,659

Tobacco – 1.4%
Philip Morris International Inc.		50		4,404
TOTAL COMMON STOCKS – 98.0%			$	310,517
(Cost: $285,727)
SHORT-TERM SECURITIES		Principal
Commercial Paper – 0.9%
Wisconsin Electric Power Co., 0.180%, 4–12–12 (C)	$	3,000		3,000
Master Note – 0.3%
Toyota Motor Credit Corporation, 0.131%, 4–2–12 (D)		867		867
Municipal Obligations – Taxable – 0.6%
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.), 0.160%, 4–4–12 (D)		2,000		2,000
TOTAL SHORT-TERM SECURITIES – 1.8%			$	5,867
(Cost: $5,867)
TOTAL INVESTMENT SECURITIES – 99.8%			$	316,384
(Cost: $291,594)
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%				764
NET ASSETS – 100.0%			$	317,148

Notes to Schedule of Investments

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each 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.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

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 as follows:

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of March 31, 2012:

	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks	$	310,517	$	—	$	—
Short-Term Securities		—		5,867		—
Total	$	310,517	$	5,867	$	—
Liabilities
Written Options	$	487	$	7	$	—

There were no reoccurring transfers between any levels during the period ended March 31, 2012.

The following written options were outstanding at March 31, 2012 (contracts and exercise prices unrounded):

Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Market Value
Capital One Financial Corporation	N/A	Put		297		May 2012	$	50.00	$	27	$	(21	)
Citigroup Inc.	N/A	Put		345		April 2012		34.00		13		(11	)
CVS Corporation	N/A	Call		766		May 2012		44.00		80		(129	)
Goldman Sachs Group, Inc. (The)	N/A	Call		100		May 2012		135.00		32		(18	)
Johnson & Johnson	Deutsche Bank AG	Put		121		April 2012		62.50		6		(1	)
	Deutsche Bank AG	Put		121		July 2012		60.00		12		(6	)
Marathon Petroleum Corporation	N/A	Put		620		April 2012		30.00		43		(5	)
Morgan Stanley	N/A	Call		619		May 2012		24.00		19		(8	)
SPX Corporation	N/A	Call		425		May 2012		80.00		57		(96	)
SunTrust Banks, Inc.	N/A	Put		525		May 2012		21.00		16		(16	)
Target Corporation	N/A	Put		219		July 2012		50.00		12		(11	)
Walgreen Co.	N/A	Put		919		May 2012		32.00		30		(59	)
	N/A	Put		919		July 2012		29.00		33		(48	)
	N/A	Put		919		July 2012		30.00		45		(65	)
									$	425	$	(494	)

(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 March 31, 2012.

(D) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2012. 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 March 31, 2012 and the related unrealized appreciation (depreciation) were as follows:

Cost	$	291,594
Gross unrealized appreciation		38,523
Gross unrealized depreciation		(13,733	)
Net unrealized appreciation	$	24,790

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: May 24, 2012

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

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

Date: May 24, 2012

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

Date: May 24, 2012