N-CSR 1 y93342nvcsr.txt THE DIVERSIFIED INVEESTORS STRATEGIC VARIABLE FUND UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811 - 07717 The Diversified Investors Strategic Variable Funds -------------------------------------------------- (Exact name of Registrant as specified in charter) Address of Registrant: 4 Manhattanville Road ------------------------------------------------ Purchase, NY ------------------------------------------------ Name and address of agent for service: Joseph Carusone ------------------------------------------------- 4 Manhattanville Road ------------------------------------------------- Purchase, NY 10577 ------------------------------------------------- Registrant's telephone number, including area code: (914) 697-8586 -------------------------------- Date of fiscal year end: December 31, 2003 ------------------------ Date of reporting period: December 31, 2003 ------------------------
ITEM 1. REPORTS TO STOCKHOLDERS. THE DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS DIVERSIFIED INVESTORS VARIABLE FUNDS DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS ANNUAL REPORT December 31, 2003 Calvert | | International Equity | | High Yield Bond | | Aggressive Equity | |-- Intermediate/Long Special Equity | Horizon | -------------------------- Equity Growth | | Growth & Income |-- Intermediate Horizon | -------------------------- Value & Income | | Balanced | |-- Short Horizon Core Bond | -------------------------- | Intermediate Govt. Bond | | High Quality Bond | | Money Market | [DIVERSIFIED INVESTMENT ADVISORS Logo] _________________________________________________ This report is not to be construed as an offering for sale of any contracts participating in the Subaccounts (Series) of the Diversified Investors Variable Funds or the Diversified Investors Strategic Variable Funds, or as a solicitation of an offer to buy contracts unless preceded by or accompanied by a current prospectus which contains complete information about charges and expenses. This is a combined annual report for the subaccounts of the Diversified Investors Variable Funds and the Diversified Investors Strategic Variable Funds. THE DIVERSIFIED INVESTORS VARIABLE FUNDS AND STRATEGIC VARIABLE FUNDS TABLE OF CONTENTS
PAGE ---- DIVERSIFIED INVESTORS VARIABLE FUNDS: Statements of Assets and Liabilities........................ 2 Statements of Operations.................................... 4 Statements of Changes in Net Assets -- December 31, 2003.... 6 Statements of Changes in Net Assets -- December 31, 2002.... 8 Notes to Financial Statements............................... 10 Financial Highlights........................................ 14 Report of Independent Auditors.............................. 20 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS: Statements of Assets and Liabilities........................ 21 Statements of Operations.................................... 22 Statements of Changes in Net Assets -- December 31, 2003.... 23 Statements of Changes in Net Assets -- December 31, 2002.... 24 PORTFOLIO OF INVESTMENTS: Short Horizon Strategic Variable Fund....................... 25 Intermediate Horizon Strategic Variable Fund................ 26 Intermediate Long Horizon Strategic Variable Fund........... 27 Notes to Financial Statements............................... 28 Report of Independent Auditors.............................. 33 DIVERSIFIED INVESTORS PORTFOLIOS: Economic Overview........................................... 34 Statements of Assets and Liabilities........................ 40 Statements of Operations.................................... 42 Statements of Changes in Net Assets -- December 31, 2003.... 44 Statements of Changes in Net Assets -- December 31, 2002.... 46 PORTFOLIO OF INVESTMENTS: Money Market Portfolio...................................... 48 High Quality Bond Portfolio................................. 50 Intermediate Government Bond Portfolio...................... 58 Core Bond Portfolio......................................... 61 Balanced Portfolio.......................................... 74 Value & Income Portfolio.................................... 91 Growth & Income Portfolio................................... 96 Equity Growth Portfolio..................................... 105 Mid-Cap Value Portfolio..................................... 110 Mid-Cap Growth Portfolio.................................... 113 Small-Cap Value Portfolio................................... 117 Special Equity Portfolio.................................... 120 Small-Cap Growth Portfolio.................................. 132 Aggressive Equity Portfolio................................. 135 High Yield Bond Portfolio................................... 138 International Equity Portfolio.............................. 148 Notes to Financial Statements............................... 156 Report of Independent Auditors.............................. 172 CALVERT SOCIAL BALANCED PORTFOLIO ANNUAL REPORT............................................. I
DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2003
MONEY HIGH INTERMEDIATE MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------ ------------ --------------- ------------ ------------ ASSETS: Investment in the Funds, at value (Notes 1 and 2).......................................... $ 44,678,953 $25,700,155 $ 34,599,590 $ 63,608,609 $ 89,791,529 Investment in Calvert Social Balanced Portfolio (Cost $41,071,539)................ -- -- -- -- -- Receivable for securities sold................ -- -- -- -- -- Receivable for units purchased................ 337,440 11,812 12,316 23,120 51,895 ------------ ------------ ------------ ------------ ------------ Total assets.................................. 45,016,393 25,711,967 34,611,906 63,631,729 89,843,424 ------------ ------------ ------------ ------------ ------------ LIABILITIES: Payable for units redeemed.................... 129,089 8,973 46,640 23,315 56,626 Accrued mortality and expense risk............ 34,456 25,225 34,777 62,468 87,339 ------------ ------------ ------------ ------------ ------------ Total liabilities............................. 163,545 34,198 81,417 85,783 143,965 ------------ ------------ ------------ ------------ ------------ NET ASSETS ATTRIBUTABLE TO ANNUITY CONTRACTHOLDERS............................. $ 44,852,848 $25,677,769 $ 34,530,489 $ 63,545,946 $ 89,699,459 ============ ============ ============ ============ ============ Accumulation units............................ 2,380,101 1,792,768 1,731,895 2,165,116 2,659,711 ============ ============ ============ ============ ============ Unit value.................................... $ 18.84 $ 14.32 $ 19.94 $ 29.35 $ 33.73 ============ ============ ============ ============ ============
See notes to financial statements. 2
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------ ------------ ------------ ------------ ----------- ----------- ------------- ----------- $318,296,743 $130,762,503 $223,404,739 $105,834,288 $55,917,330 $ 4,095,733 $60,814,885 $ -- -- -- -- -- -- -- -- 36,581,213 -- -- -- -- -- -- -- 4,630 74,792 79,876 70,978 131,884 41,277 -- 46,040 16,998 ------------ ------------ ------------ ------------ ----------- ----------- ----------- ----------- 318,371,535 130,842,379 223,475,717 105,966,172 55,958,607 4,095,733 60,860,925 36,602,841 ------------ ------------ ------------ ------------ ----------- ----------- ----------- ----------- 163,614 80,379 131,050 82,497 76,635 11 79,521 21,628 305,183 125,710 216,298 102,491 54,849 3,984 57,806 35,747 ------------ ------------ ------------ ------------ ----------- ----------- ----------- ----------- 468,797 206,089 347,348 184,988 131,484 3,995 137,327 57,375 ------------ ------------ ------------ ------------ ----------- ----------- ----------- ----------- $317,902,738 $130,636,290 $223,128,369 $105,781,184 $55,827,123 $ 4,091,738 $60,723,598 $36,545,466 ============ ============ ============ ============ =========== =========== =========== =========== 7,055,567 5,922,680 5,092,408 3,633,570 4,268,033 269,658 3,737,216 1,403,970 ============ ============ ============ ============ =========== =========== =========== =========== $ 45.06 $ 22.06 $ 43.82 $ 29.11 $ 13.08 $ 15.17 $ 16.25 $ 26.03 ============ ============ ============ ============ =========== =========== =========== ===========
3 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
MONEY HIGH INTERMEDIATE MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------ --------------- --------------- ------------ ------------ INVESTMENT INCOME (LOSS): Net investment income (loss) allocated from Diversified Investors Portfolios (Note 2): Interest income........................... $ 653,732 $ 864,881 $ 1,317,855 $ 2,331,645 $ 1,263,543 Income from loaned securities -- net...... -- 518 7,433 11,693 6,338 Dividend income........................... -- -- -- -- 928,518 Expenses.................................. (130,019) (91,843) (155,619) (232,239) (412,649) Dividend income from Calvert Social Balanced Portfolio (Note 2):............ -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Net investment income (loss) from Portfolios and Calvert.................. 523,713 773,556 1,169,669 2,111,099 1,785,750 ------------ ------------ ------------ ------------ ------------ EXPENSES(NOTE 4): Mortality and expense risk................ 510,135 265,426 444,820 657,677 906,926 Less expenses reimbursed by TFLIC......... (67,872) -- -- -- -- ------------ ------------ ------------ ------------ ------------ Net expenses.............................. 442,263 265,426 444,820 657,677 906,926 ------------ ------------ ------------ ------------ ------------ Net investment income (loss).............. 81,450 508,130 724,849 1,453,422 878,824 ------------ ------------ ------------ ------------ ------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON SECURITIES, FUTURES, WRITTEN OPTIONS, SHORT SALES AND FOREIGN CURRENCIES (NOTE 2): Net realized gains (losses) on securities.............................. 154 51,940 1,185,030 1,660,815 (526,325) Net realized gains (losses) on futures, written options and short sales......... -- -- -- (386,815) (80,596) Net realized gains (losses) on foreign currency transactions................... -- -- -- (468,351) (287,151) Net change in unrealized appreciation (depreciation) on securities............ -- (308,680) (1,684,576) (288,960) 12,815,747 Net change in unrealized appreciation on futures, written options and short sales................................... -- -- -- 225,280 67,959 Net change in unrealized depreciation on translation of assets and liabilities denominated in foreign currencies....... -- -- -- (365,095) (140,105) ------------ ------------ ------------ ------------ ------------ Net realized and unrealized gains (losses) on securities, futures, written options, short sales and foreign currencies...... 154 (256,740) (499,546) 376,874 11,849,529 ------------ ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations.............................. $ 81,604 $ 251,390 $ 225,303 $ 1,830,296 $ 12,728,353 ============ ============ ============ ============ ============
See notes to financial statements. 4
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ----------- ----------- ----------- ----------- ----------- ---------- ------------- ---------- $ 91,912 $ 10,999 $ 22,225 $ 11,882 $ 2,248 $ 434,528 $ -- $ -- 16,849 4,990 12,992 31,987 17,930 -- 15,625 -- 6,473,327 1,807,059 1,834,827 619,423 166,767 5,887 1,006,032 -- (1,307,653) (698,698) (1,222,026) (686,776) (475,183) (27,156) (443,798) -- -- -- -- -- -- -- -- 649,625 ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- 5,274,435 1,124,350 648,018 (23,484) (288,238) 413,259 577,859 649,625 ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- 3,026,356 1,214,008 2,081,234 889,509 521,710 49,815 563,393 364,636 -- -- (80,475) -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- 3,026,356 1,214,008 2,000,759 889,509 521,710 49,815 563,393 364,636 ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- 2,248,079 (89,658) (1,352,741) (912,993) (809,948) 363,444 14,466 284,989 ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- (2,733,678) (2,315,051) (7,249,282) 7,939,862 4,454,796 271,377 (2,056,190) (366,181) -- 48,881 -- 152,423 -- -- -- -- -- -- (52,468) -- -- -- 288,602 -- 64,337,402 25,851,061 51,462,665 22,261,561 7,742,125 462,104 17,223,862 5,658,606 -- 22,244 -- 13,430 -- -- -- -- -- -- (28,944) -- -- -- (173,796) -- ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- 61,603,724 23,607,135 44,131,971 30,367,276 12,196,921 733,481 15,282,478 5,292,425 ----------- ----------- ----------- ----------- ----------- ---------- ----------- ---------- 63,851,803 $ $23,517,477 $42,779,230 $29,454,283 $11,386,973 $1,096,925 $15,296,944 $5,577,414 =========== =========== =========== =========== =========== ========== =========== ==========
5 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2003
MONEY HIGH INTERMEDIATE MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------- ------------ --------------- ------------ ------------ FROM OPERATIONS: Net investment income (loss) from Portfolios and Calvert................................ $ 81,450 $ 508,130 $ 724,849 $ 1,453,422 $ 878,824 Net realized gains (losses) on securities.... 154 51,940 1,185,030 1,660,815 (526,325) Net realized gains (losses) on futures, written options and short sales............ -- -- -- (386,815) (80,596) Net realized gains (losses) on foreign currency transactions...................... -- -- -- (468,351) (287,151) Net change in unrealized appreciation (depreciation) on securities............... -- (308,680) (1,684,576) (288,960) 12,815,747 Net change in unrealized appreciation on futures, written options and short sales... -- -- -- 225,280 67,959 Net change in unrealized depreciation on translation of assets and liabilities denominated in foreign currencies.......... -- -- -- (365,095) (140,105) ------------- ----------- ------------ ------------ ------------ Net increase in net assets resulting from operations................................. 81,604 251,390 225,303 1,830,296 12,728,353 ------------- ----------- ------------ ------------ ------------ FROM UNIT TRANSACTIONS (NOTE 5): Net proceeds from units issued............... 122,511,759 10,838,913 10,816,688 22,554,098 15,052,461 Net asset value of units redeemed............ (126,304,275) (7,258,587) (19,786,134) (15,662,931) (17,655,121) ------------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets from unit transactions.......................... (3,792,516) 3,580,326 (8,969,446) 6,891,167 (2,602,660) ------------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets........ (3,710,912) 3,831,716 (8,744,143) 8,721,463 10,125,693 NET ASSETS: Beginning of year............................ 48,563,760 21,846,053 43,274,632 54,824,483 79,573,766 ------------- ----------- ------------ ------------ ------------ End of year.................................. $ 44,852,848 $25,677,769 $ 34,530,489 $ 63,545,946 $ 89,699,459 ============= =========== ============ ============ ============ Units outstanding beginning of year.......... 2,581,398 1,543,946 2,181,036 1,933,347 2,746,878 Units issued during year..................... 6,504,045 757,650 542,800 774,067 487,099 Units redeemed during year................... (6,705,342) (508,828) (991,941) (542,298) (574,266) ------------- ----------- ------------ ------------ ------------ Units outstanding end of year................ 2,380,101 1,792,768 1,731,895 2,165,116 2,659,711 ============= =========== ============ ============ ============
See notes to financial statements. 6
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------ ------------ ------------ ------------ ------------ ----------- ------------- ----------- $ 2,248,079 $ (89,658) $ (1,352,741) $ (912,993) $ (809,948) $ 363,444 $ 14,466 $ 284,989 (2,733,678) (2,315,051) (7,249,282) 7,939,862 4,454,796 271,377 (2,056,190) (366,181) -- 48,881 -- 152,423 -- -- -- -- -- -- (52,468) -- -- -- 288,602 -- 64,337,402 25,851,061 51,462,665 22,261,561 7,742,125 462,104 17,223,862 5,658,606 -- 22,244 -- 13,430 -- -- -- -- -- -- (28,944) -- -- -- (173,796) -- ------------ ------------ ------------ ------------ ------------ ----------- ------------ ----------- 63,851,803 23,517,477 42,779,230 29,454,283 11,386,973 1,096,925 15,296,944 5,577,414 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ----------- 45,691,539 28,474,589 46,113,086 25,358,358 13,453,776 635,808 63,431,708 7,253,821 (51,086,300) (21,544,926) (31,248,041) (18,638,471) (11,362,699) (2,862,804) (65,530,260) (7,166,551) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ----------- (5,394,761) 6,929,663 14,865,045 6,719,887 2,091,077 (2,226,996) (2,098,552) 87,270 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ----------- 58,457,042 30,447,140 57,644,275 36,174,170 13,478,050 (1,130,071) 13,198,392 5,664,684 259,445,696 100,189,150 165,484,094 69,607,014 42,349,073 5,221,809 47,525,206 30,880,782 ------------ ------------ ------------ ------------ ------------ ----------- ------------ ----------- $317,902,738 $130,636,290 $223,128,369 $105,781,184 $ 55,827,123 $ 4,091,738 $ 60,723,598 $36,545,466 ============ ============ ============ ============ ============ =========== ============ =========== 7,207,058 5,579,094 4,727,738 3,405,431 4,103,500 435,401 3,862,561 1,400,341 1,168,198 1,461,839 1,173,248 1,022,300 1,165,293 46,609 5,099,198 305,625 (1,319,689) (1,118,253) (808,578) (794,161) (1,000,760) (212,352) (5,224,543) (301,996) ------------ ------------ ------------ ------------ ------------ ----------- ------------ ----------- 7,055,567 5,922,680 5,092,408 3,633,570 4,268,033 269,658 3,737,216 1,403,970 ============ ============ ============ ============ ============ =========== ============ ===========
7 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2002
MONEY HIGH INTERMEDIATE MARKET QUALITY BOND GOVERNMENT BOND CORE BOND BALANCED SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------- ------------ --------------- ------------ ------------ FROM OPERATIONS: Net investment income (loss) from Portfolios and Calvert................................ $ 358,950 $ 630,889 $ 999,495 $ 1,944,356 $ 1,395,069 Net realized gains (losses) on securities.... 1,010 65,656 381,918 1,597,844 (7,101,871) Net realized losses on futures, written options and short sales.................... -- -- -- (688,448) (314,826) Net realized gains (losses) on foreign currency transactions...................... -- -- -- (2,272) (4,816) Net change in unrealized appreciation (depreciation) on securities............... -- 247,265 1,040,974 1,548,644 (4,662,517) Net change in unrealized depreciation on futures.................................... -- -- -- (299,558) (129,474) Net change in unrealized depreciation on translation of assets and liabilities denominated in foreign currencies.......... -- -- -- (40,534) (40,741) ------------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations.................. 359,960 943,810 2,422,387 4,060,032 (10,859,176) ------------- ----------- ------------ ------------ ------------ FROM UNIT TRANSACTIONS (NOTE 5): Net proceeds from units issued............... 116,181,033 10,394,949 18,892,520 18,226,715 14,612,644 Net asset value of units redeemed............ (115,617,562) (6,648,181) (11,046,051) (19,941,562) (29,622,715) ------------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets from unit transactions.......................... 563,471 3,746,768 7,846,469 (1,714,847) (15,010,071) ------------- ----------- ------------ ------------ ------------ Net increase (decrease) in net assets........ 923,431 4,690,578 10,268,856 2,345,185 (25,869,247) NET ASSETS: Beginning of year............................ 47,640,329 17,155,475 33,005,776 52,479,298 105,443,013 ------------- ----------- ------------ ------------ ------------ End of year.................................. $ 48,563,760 $21,846,053 $ 43,274,632 $ 54,824,483 $ 79,573,766 ============= =========== ============ ============ ============ Units outstanding beginning of year.......... 2,552,095 1,273,673 1,782,182 1,999,667 3,239,258 Units issued during year..................... 6,198,010 752,463 979,079 675,629 476,939 Units redeemed during year................... (6,168,707) (482,190) (580,225) (741,949) (969,319) ------------- ----------- ------------ ------------ ------------ Units outstanding end of year................ 2,581,398 1,543,946 2,181,036 1,933,347 2,746,878 ============= =========== ============ ============ ============
See notes to financial statements. 8
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY YIELD BOND EQUITY CALVERT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT ------------ ------------ ------------ ------------ ------------ ---------- ------------- ----------- $ 2,595,306 $ (382,540) $ (1,489,342) $ (899,735) $ (840,177) $ 423,748 $ (145,008) $ 538,617 (8,671,972) (21,126,836) (33,539,759) (8,555,095) (12,940,085) (231,607) (3,709,030) (395,288) -- (109,236) -- (80,866) -- -- -- -- -- -- 832 (265) -- -- 662,288 -- (48,145,176) (11,093,629) (22,650,515) (15,308,088) (2,768,037) (129,430) (6,814,416) (5,006,165) -- (22,464) -- (8,500) -- -- -- -- -- -- (58) (30) -- -- (196,689) -- ------------ ------------ ------------ ------------ ------------ ---------- ------------ ----------- (54,221,842) (32,734,705) (57,678,842) (24,852,579) (16,548,299) 62,711 (10,202,855) (4,862,836) ------------ ------------ ------------ ------------ ------------ ---------- ------------ ----------- 46,244,911 29,660,713 37,588,624 20,252,097 15,952,215 596,325 75,150,787 7,028,564 (81,136,100) (42,912,350) (69,340,895) (29,697,789) (19,209,802) (839,650) (80,913,667) (8,416,474) ------------ ------------ ------------ ------------ ------------ ---------- ------------ ----------- (34,891,189) (13,251,637) (31,752,271) (9,445,692) (3,257,587) (243,325) (5,762,880) (1,387,910) ------------ ------------ ------------ ------------ ------------ ---------- ------------ ----------- (89,113,031) (45,986,342) (89,431,113) (34,298,271) (19,805,886) (180,614) (15,965,735) (6,250,746) 348,558,727 146,175,492 254,915,207 103,905,285 62,154,959 5,402,423 63,490,941 37,131,528 ------------ ------------ ------------ ------------ ------------ ---------- ------------ ----------- $259,445,696 $100,189,150 $165,484,094 $ 69,607,014 $ 42,349,073 $5,221,809 $ 47,525,206 $30,880,782 ============ ============ ============ ============ ============ ========== ============ =========== 8,115,057 6,231,973 5,510,385 3,803,719 4,373,710 455,313 4,240,159 1,462,817 1,153,227 1,443,062 927,034 838,176 1,332,883 51,779 5,689,246 298,508 (2,061,226) (2,095,941) (1,709,681) (1,236,464) (1,603,093) (71,691) (6,066,844) (360,984) ------------ ------------ ------------ ------------ ------------ ---------- ------------ ----------- 7,207,058 5,579,094 4,727,738 3,405,431 4,103,500 435,401 3,862,561 1,400,341 ============ ============ ============ ============ ============ ========== ============ ===========
9 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION AND BUSINESS Diversified Investors Variable Funds ("DIVF") is a separate investment account established on November 30, 1993, by Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), (formerly AUSA Life Insurance Company, Inc. ("AUSA")), a wholly owned subsidiary of AEGON USA, Inc. ("AEGON"), under the laws of the State of New York. DIVF operates as a unit investment trust under the Investment Company Act of 1940, as amended (the "1940 Act"). DIVF holds assets that are segregated from all of TFLIC's other assets and, at present, is used as an investment vehicle under certain tax-deferred annuity contracts issued by TFLIC to fund retirement plans maintained by certain not-for-profit and other organizations ("Group Plans"). TFLIC is the legal holder of the assets in DIVF. DIVF had no assets or operations until August 18, 1994 (commencement of operations). There are currently thirteen subaccounts within DIVF which are available to contractholders of Group Plans, and each invests only in a corresponding portfolio of Diversified Investors Portfolios (the "Portfolios") or the Calvert Social Balanced Portfolio, a series of Calvert Variable Series, Inc. ("Calvert") (collectively, the "Funds"). The respective financial statements of the Portfolios and Calvert are contained elsewhere in this report. At December 31, 2003, each of the DIVF subaccount's investment in the corresponding Portfolios was as follows:
PERCENTAGE INVESTMENT SUBACCOUNT IN PORTFOLIO ---------- --------------------- Money Market................................................ 5.59 High Quality Bond........................................... 4.13 Intermediate Government Bond................................ 13.03 Core Bond................................................... 4.33 Balanced.................................................... 20.69 Value & Income.............................................. 14.48 Growth & Income............................................. 12.29 Equity Growth............................................... 11.31 Special Equity.............................................. 8.33 Aggressive Equity........................................... 15.06 High Yield Bond............................................. 1.45 International Equity........................................ 5.80
2. SIGNIFICANT ACCOUNTING POLICIES A. INVESTMENTS: The investment by DIVF in the Portfolios reflects DIVF's proportionate interest in the net assets of the Portfolios. The investment in shares of Calvert is stated at net asset value. Valuation of securities held in each of the Portfolios is discussed in Note 2A of the Portfolios' Notes to Financial Statements which are included elsewhere in this report. A description of the portfolio valuation policy for Calvert can be found in Note A of Calvert's Notes to Financial Statements contained elsewhere in this report. B. INVESTMENT INCOME: Each DIVF subaccount is allocated its pro rata share of income and expenses of the corresponding Portfolio. All of the investment income and expenses and realized and unrealized gains and losses from the security transactions of the corresponding Portfolios are allocated pro rata among the investors and are recorded by the subaccounts on a daily basis. For the Calvert subaccount, dividend income is recorded on the ex-dividend date and realized gains and losses from the sale of investments are determined on the basis of identified cost. 10 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) C. FEDERAL INCOME TAXES: The operations of DIVF form a part of, and are taxed with, the operations of TFLIC. TFLIC does not expect, based upon current tax law, to incur any income tax upon the earnings or realized capital gains attributable to DIVF. Based upon this expectation, no charges are currently being deducted from DIVF for federal income tax purposes. D. OTHER: The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 3. INVESTMENT TRANSACTIONS Purchases and sales of shares in Calvert were $3,570,376 and $3,192,515 respectively. The U.S. federal income tax basis of DIVF's investment in Calvert at December 31, 2003, was $41,071,539 and net unrealized depreciation for U.S. federal income tax purposes was $4,490,326. 4. FEES AND TRANSACTIONS WITH AFFILIATES Because certain subaccounts of DIVF purchase interests in the Portfolios, the net assets of those DIVF subaccounts reflect the investment management fee charged by Diversified Investment Advisors, Inc. (an affiliate of TFLIC), the investment advisor, which provides investment advice and related services to the Portfolios. Diversified is an indirect, wholly-owned subsidiary of AEGON USA, Inc., a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON USA is an indirect, wholly-owned subsidiary of AEGON N.V., a Netherlands corporation which is a publicly traded international insurance group. TFLIC reserves the right to deduct an annual contract charge from a Participant's Accumulation Account to reimburse TFLIC for administrative expenses relating to the maintenance of the Variable Annuity Contracts. TFLIC has no present intention to impose such a charge but may do so in the future. Any such annual charge will not exceed $50. Daily charges to DIVF for mortality and expense risks assumed by TFLIC were computed at an annual rate of 1.10%; however, TFLIC reserves the right to charge maximum fees of 1.25% upon written notice. For the period January 1, 2003 through April 30, 2003, TFLIC had voluntarily undertaken to reimburse fees of the Money Market and Equity Growth subaccounts to the extent necessary, to limit all expenses (other than mortality and expense risk charges) to 0.10% and 0.50%, respectively, of average net assets. For the period May 1, 2003 through December 31, 2003, TFLIC terminated the waiver of expenses. TFLIC reserved the right to raise these limits upon written notice. In addition, due to the interest rate environment, TFLIC has elected to waive a portion of its fees to maintain a positive yield on Money Market. TFLIC reserves the right to terminate this waiver without notice. 5. GROUP PLAN ASSUMPTIONS On December 31, 1993, TFLIC entered into an agreement with MONY Life Insurance Company ("MONY") pursuant to which certain contracts issued by MONY to Group Plans may be transferred through assumption reinsurance to TFLIC subject to receipt of any necessary state insurance department approvals and authorizations. The assumption reinsurance of any Group Plan to TFLIC will result in the 11 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 5. GROUP PLAN ASSUMPTIONS (CONTINUED) transfer of the applicable assets out of a corresponding MONY separate account and into DIVF. There were no assets transferred for the year ended December 31, 2003. For the year ended December 31, 2002, assets transferred were as follows:
SUBACCOUNTS 2002 AMOUNT ----------- ----------- Money Market................................................ $ 2,339 Intermediate Government Bond................................ 52,633 Core........................................................ -- Balanced.................................................... 83,566 Value & Income.............................................. 202,625 Equity Growth............................................... 271,149 Calvert..................................................... 1,916 -------- $614,228 ========
The amounts related to these assumptions are reflected in the proceeds from units issued in the Statements of Changes in Net Assets. 6. GENERAL INDEMNIFICATION In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 12 (This page intentionally left blank) 13 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. FINANCIAL HIGHLIGHTS For an accumulation unit outstanding throughout the year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS ----------------------------- NET REALIZED TOTAL UNIT NET AND INCOME (LOSS) UNIT FOR THE VALUE, INVESTMENT UNREALIZED FROM VALUE, YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF ENDED YEAR (LOSS) ON INVESTMENTS OPERATIONS YEAR ------- ------------ ----------- -------------- ------------- ------ MONEY MARKET SUBACCOUNT 12/31/2003...................... $18.81 $0.03 $ -- $ 0.03 $18.84 12/31/2002...................... 18.67 0.15 (0.01) 0.14 18.81 12/31/2001...................... 18.11 0.55 0.01 0.56 18.67 12/31/2000...................... 17.18 0.93 -- 0.93 18.11 12/31/1999...................... 16.45 0.73 -- 0.73 17.18 HIGH QUALITY BOND SUBACCOUNT 12/31/2003...................... 14.15 0.30 (0.13) 0.17 14.32 12/31/2002...................... 13.47 0.45 0.23 0.68 14.15 12/31/2001...................... 12.58 0.61 0.28 0.89 13.47 12/31/2000...................... 11.72 0.62 0.24 0.86 12.58 12/31/1999...................... 11.45 0.57 (0.30) 0.27 11.72 INTERMEDIATE GOVERNMENT BOND SUBACCOUNT 12/31/2003...................... 19.84 0.36 (0.26) 0.10 19.94 12/31/2002...................... 18.52 0.54 0.78 1.32 19.84 12/31/2001...................... 17.53 0.76 0.23 0.99 18.52 12/31/2000...................... 16.18 0.79 0.56 1.35 17.53 12/31/1999...................... 16.06 0.73 (0.61) 0.12 16.18 CORE BOND SUBACCOUNT 12/31/2003...................... 28.36 0.70 0.29 0.99 29.35 12/31/2002...................... 26.24 1.02 1.10 2.12 28.36 12/31/2001...................... 24.80 1.09 0.35 1.44 26.24 12/31/2000...................... 22.75 1.22 0.83 2.05 24.80 12/31/1999...................... 23.16 1.14 (1.55) (0.41) 22.75 BALANCED SUBACCOUNT 12/31/2003...................... 28.97 0.33 4.43 4.76 33.73 12/31/2002...................... 32.55 0.47 (4.05) (3.58) 28.97 12/31/2001...................... 34.75 0.57 (2.77) (2.20) 32.55 12/31/2000...................... 35.90 0.67 (1.82) (1.15) 34.75 12/31/1999...................... 32.46 0.52 2.92 3.44 35.90
--------------- (1) Portfolio turnover of the Series Portfolio and Calvert Social Balanced Portfolio. (2) Reimbursement of fees occurs at the underlying fund level. * Less than one penny per share. 14
RATIO TO AVERAGE NET ASSETS --------------------------------------------------------------------- EXPENSES NET EXPENSES, INCLUDING NET INVESTMENT INCLUDING EXPENSES ASSETS, NET INCOME (LOSS) EXPENSES OF OF THE PORTFOLIO OR END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO CALVERT (NET OF PORTFOLIO YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1) ------------ ------ ------------- --------------- ------------- ------------------- ----------- $ 44,852,848 0.16% 0.03% 0.17% 1.36% 1.22% N/A 48,563,760 0.75 0.60 0.78 1.38 1.20 N/A 47,640,329 3.09 2.80 2.97 1.37 1.20 N/A 39,923,021 N/A 5.12 5.30 1.31 1.13 N/A 36,438,704 N/A 4.17 4.35 1.18 1.00 N/A 25,677,769 1.20 2.10 2.10 1.48 1.48 50% 21,846,053 5.05 3.27 3.27 1.48 1.48 54 17,155,475 7.07 4.60 4.60 1.48 1.48 53 8,372,604 N/A 5.16 5.16 1.41 1.41 N/A 6,792,871 N/A 4.89 4.89 1.28 1.28 N/A 34,530,489 0.50 1.79 1.79 1.49 1.49 392 43,274,632 7.13 2.81 2.81 1.49 1.49 134 33,005,776 5.65 4.17 4.17 1.48 1.48 40 25,498,701 N/A 4.76 4.76 1.40 1.40 N/A 24,307,081 N/A 4.57 4.57 1.29 1.29 N/A 63,545,946 3.49 2.43 2.43 1.49 1.49(2) 922 54,824,483 8.08 3.78 3.78 1.49 1.49 462 52,479,298 5.81 4.22 4.22 1.48 1.48 547 40,806,446 N/A 5.21 5.21 1.41 1.41 N/A 38,929,480 N/A 4.96 4.96 1.27 1.27 N/A 89,699,459 16.43 1.05 1.06 1.61 1.60(2) 377 79,573,766 (11.00) 1.53 1.55 1.62 1.60(2) 289 105,443,013 (6.33) 1.72 1.72 1.59 1.59 312 123,166,730 N/A 1.88 1.88 1.52 1.52 N/A 139,222,045 N/A 1.56 1.58 1.42 1.40 N/A
15 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. FINANCIAL HIGHLIGHTS (CONTINUED)
INCOME (LOSS) FROM INVESTMENT OPERATIONS ----------------------------- NET REALIZED TOTAL UNIT NET AND INCOME (LOSS) UNIT FOR THE VALUE, INVESTMENT UNREALIZED FROM VALUE, YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF ENDED YEAR (LOSS) ON INVESTMENTS OPERATIONS YEAR ------- ------------ ----------- -------------- ------------- ------ VALUE & INCOME SUBACCOUNT 12/31/2003...................... $36.00 $ 0.32 $ 8.74 $ 9.06 $45.06 12/31/2002...................... 42.95 0.34 (7.29) (6.95) 36.00 12/31/2001...................... 44.31 0.42 (1.78) (1.36) 42.95 12/31/2000...................... 40.87 0.48 2.96 3.44 44.31 12/31/1999...................... 38.07 0.35 2.45 2.80 40.87 GROWTH & INCOME SUBACCOUNT 12/31/2003...................... 17.96 (0.02) 4.12 4.10 22.06 12/31/2002...................... 23.46 (0.07) (5.43) (5.50) 17.96 12/31/2001...................... 30.54 (0.15) (6.93) (7.08) 23.46 12/31/2000...................... 37.40 (0.34) (6.52) (6.86) 30.54 12/31/1999...................... 28.83 (0.25) 8.82 8.57 37.40 EQUITY GROWTH SUBACCOUNT 12/31/2003...................... 35.00 (0.28) 9.10 8.82 43.82 12/31/2002...................... 46.26 (0.29) (10.97) (11.26) 35.00 12/31/2001...................... 58.57 (0.43) (11.88) (12.31) 46.26 12/31/2000...................... 70.56 (0.57) (11.42) (11.99) 58.57 12/31/1999...................... 51.55 (0.37) 19.38 19.01 70.56 SPECIAL EQUITY SUBACCOUNT 12/31/2003...................... 20.44 (0.27) 8.94 8.67 29.11 12/31/2002...................... 27.32 (0.25) (6.63) (6.88) 20.44 12/31/2001...................... 28.51 (0.30) (0.89) (1.19) 27.32 12/31/2000...................... 30.04 (0.28) (1.25) (1.53) 28.51 12/31/1999...................... 24.05 (0.19) 6.18 5.99 30.04
--------------- (1) Portfolio turnover of the Series Portfolio and Calvert Social Balanced Portfolio. (2) Reimbursement of fees occurs at the underlying fund level. * Less than one penny per share. 16
RATIO TO AVERAGE NET ASSETS --------------------------------------------------------------------- EXPENSES NET EXPENSES, INCLUDING NET INVESTMENT INCLUDING EXPENSES ASSETS, NET INCOME (LOSS) EXPENSES OF OF THE PORTFOLIO OR END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO CALVERT (NET OF PORTFOLIO YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1) ------------ ------ ------------- --------------- ------------- ------------------- ----------- $317,902,738 25.17% 0.82% 0.82% 1.57% 1.57% 70% 259,445,696 (16.18) 0.86 0.86 1.58 1.58 31 348,558,727 (3.07) 0.97 0.97 1.58 1.58 32 355,485,672 N/A 1.20 1.20 1.49 1.49 N/A 358,947,875 N/A 0.87 0.87 1.37 1.37 N/A 130,636,290 22.83 (0.08) (0.08) 1.73 1.73(2) 100 100,189,150 (23.44) (0.33) (0.32) 1.76 1.75(2) 115 146,175,492 (23.18) (0.61) (0.61) 1.73 1.73 153 199,091,314 N/A (0.96) (0.96) 1.64 1.64 N/A 227,107,875 N/A (0.83) (0.83) 1.52 1.52 N/A 223,128,369 25.20 (0.76) (0.71) 1.75 1.70 61 165,484,094 (24.34) (0.89) (0.74) 1.75 1.60 75 254,915,207 (21.02) (1.02) (0.87) 1.75 1.60 63 341,907,923 N/A (0.98) (0.84) 1.67 1.53 N/A 412,349,995 N/A (0.78) (0.64) 1.54 1.40 N/A 105,781,184 42.42 (1.13) (1.13) 1.95 1.95(2) 103 69,607,014 (25.18) (1.06) (1.06) 1.95 1.95 109 103,905,285 (4.17) (1.12) (1.12) 1.93 1.93 88 111,365,978 N/A (0.93) (0.93) 1.84 1.84 N/A 108,142,601 N/A (0.77) (0.77) 1.74 1.74 N/A
17 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. FINANCIAL HIGHLIGHTS (CONTINUED)
INCOME (LOSS) FROM INVESTMENT OPERATIONS ----------------------------- NET REALIZED TOTAL UNIT NET AND INCOME (LOSS) UNIT FOR THE VALUE, INVESTMENT UNREALIZED FROM VALUE, YEAR BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF ENDED YEAR (LOSS) ON INVESTMENTS OPERATIONS YEAR ------- ------------ ----------- -------------- ------------- ------ AGGRESSIVE EQUITY SUBACCOUNT 12/31/2003...................... $10.32 $(0.20) $ 2.96 $ 2.76 $13.08 12/31/2002...................... 14.21 (0.20) (3.69) (3.89) 10.32 12/31/2001...................... 20.88 (0.29) (6.38) (6.67) 14.21 12/31/2000...................... 24.36 (0.42) (3.06) (3.48) 20.88 12/31/1999...................... 14.92 (0.24) 9.68 9.44 24.36 HIGH YIELD BOND SUBACCOUNT 12/31/2003...................... 11.99 1.07 2.11 3.18 15.17 12/31/2002...................... 11.87 0.95 (0.83) 0.12 11.99 12/31/2001...................... 11.41 0.98 (0.52) 0.46 11.87 12/31/2000...................... 12.00 0.96 (1.55) (0.59) 11.41 12/31/1999...................... 12.04 0.90 (0.94) (0.04) 12.00 INTERNATIONAL EQUITY SUBACCOUNT 12/31/2003...................... 12.30 0.00* 3.95 3.95 16.25 12/31/2002...................... 14.97 (0.04) (2.63) (2.67) 12.30 12/31/2001...................... 18.60 (0.07) (3.56) (3.63) 14.97 12/31/2000...................... 23.11 (0.05) (4.46) (4.51) 18.60 12/31/1999...................... 14.15 (0.03) 8.99 8.96 23.11 CALVERT SERIES SUBACCOUNT 12/31/2003...................... 22.05 0.20 3.78 3.98 26.03 12/31/2002...................... 25.38 0.37 (3.70) (3.33) 22.05 12/31/2001...................... 27.58 1.14 (3.34) (2.20) 25.38 12/31/2000...................... 28.73 1.04 (2.19) (1.15) 27.58 12/31/1999...................... 25.81 2.54 0.38 2.92 28.73
--------------- (1) Portfolio turnover of the Series Portfolio and Calvert Social Balanced Portfolio. (2) Reimbursement of fees occurs at the underlying Series Portfolio level. * Less than one penny per share. 18
RATIO TO AVERAGE NET ASSETS --------------------------------------------------------------------- EXPENSES NET EXPENSES, INCLUDING NET INVESTMENT INCLUDING EXPENSES ASSETS, NET INCOME (LOSS) EXPENSES OF OF THE PORTFOLIO OR END OF TOTAL INVESTMENT (NET OF THE PORTFOLIO CALVERT (NET OF PORTFOLIO YEAR RETURN INCOME (LOSS) REIMBURSEMENTS) OR CALVERT REIMBURSEMENTS) TURNOVER(1) ------------ ------ ------------- --------------- ------------- ------------------- ----------- $ 55,827,123 26.74% (1.72)% (1.71)% 2.11% 2.10%(2) 165% 42,349,073 (27.38) (1.70) (1.69) 2.11 2.10(2) 87 62,154,959 (31.94) (1.82) (1.82) 2.10 2.10 98 92,859,052 N/A (1.65) (1.65) 2.02 2.02 N/A 64,560,754 N/A... (1.37) (1.36) 1.90 1.89 N/A 4,091,738 26.52 8.02 8.03 1.71 1.70(2) 136 5,221,809 1.01 8.04 8.05 1.71 1.70(2) 95 5,402,423 4.03 8.31 8.31 1.69 1.69 90 4,461,511 N/A 8.09 8.14 1.68 1.63 N/A 3,768,089 N/A 7.54 7.55 1.51 1.50 N/A 60,723,598 32.11 0.03 0.03 1.97 1.97(2) 23 47,525,206 (17.84) (0.26) (0.26) 1.98 1.98 25 63,490,941 (19.52) (0.45) (0.45) 1.99 1.99 28 69,227,248 N/A (0.25) (0.25) 1.86 1.86 N/A 72,858,064 N/A... (0.18) (0.18) 1.76 1.76 N/A 36,545,466 18.05 0.86 0.86 2.03 2.03 374 30,880,782 (13.12) 0.69 0.69 2.01 2.01 552 37,131,528 (7.98) 4.35 4.35 1.97 1.97 751 41,131,100 N/A 3.64 3.64 1.89 1.89 N/A 41,671,897 N/A 9.49 9.49 1.67 1.67 N/A
19 REPORT OF INDEPENDENT AUDITORS To the Board of Directors of Transamerica Financial Life Insurance Company, Inc. (formerly AUSA Life Insurance Company, Inc.) and the Contractholders of Diversified Investors Variable Funds: In our opinion, the accompanying statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Money Market, High Quality Bond, Intermediate Government Bond, Core Bond, Balanced, Value & Income, Growth & Income, Equity Growth, Special Equity, Aggressive Equity, High Yield Bond, International Equity, and Calvert Subaccounts; (constituting the Diversified Investors Variable Funds, hereafter referred to as the "Funds") at December 31, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 26, 2004 20 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2003
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- ASSETS: Investments, at value (cost $9,516,542, $24,446,845, and $32,732,722, respectively)............................. $10,506,997 $25,774,915 $34,723,104 Receivable for units purchased........................... 4,614 20,570 38,665 ----------- ----------- ----------- Total assets............................................. 10,511,611 25,795,485 34,761,769 ----------- ----------- ----------- LIABILITIES: Payable for securities purchased......................... 2,935 10,168 27,275 Payable for units redeemed............................... 1,679 10,402 11,390 Accrued investment advisory fees......................... 1,870 4,544 6,112 ----------- ----------- ----------- Total liabilities........................................ 6,484 25,114 44,777 ----------- ----------- ----------- NET ASSETS............................................... $10,505,127 $25,770,371 $34,716,992 =========== =========== =========== ACCUMULATION UNITS....................................... 742,956 1,775,258 2,340,332 =========== =========== =========== UNIT VALUE............................................... $ 14.14 $ 14.52 $ 14.83 =========== =========== =========== NET ASSETS CONSIST OF: Cost of accumulation units............................... $ 9,155,268 $22,750,725 $31,770,978 Undistributed net realized gains......................... 418,356 1,892,772 1,210,121 Accumulated net investment loss.......................... (58,952) (201,196) (254,489) Unrealized appreciation on investments................... 990,455 1,328,070 1,990,382 ----------- ----------- ----------- NET ASSETS............................................... $10,505,127 $25,770,371 $34,716,992 =========== =========== ===========
See notes to financial statements. 21 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- INVESTMENT ADVISORY FEES................................. $(19,428) $ (43,954) $ (55,749) -------- ---------- ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS: Net realized gains (losses) on investments............... 252,006 (519,806) (403,627) Net change in unrealized appreciation on investments..... 327,167 3,789,465 5,706,874 -------- ---------- ---------- Net realized and unrealized gains on investments......... 579,173 3,269,659 5,303,247 -------- ---------- ---------- Net increase in net assets resulting from operations..... $559,745 $3,225,705 $5,247,498 ======== ========== ==========
See notes to financial statements. 22 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2003
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- FROM OPERATIONS: Investment advisory fees................................. $ (19,428) $ (43,954) $ (55,749) Net realized gains (losses) on investments............... 252,006 (519,806) (403,627) Net change in unrealized appreciation on investments..... 327,167 3,789,465 5,706,874 ----------- ----------- ----------- Net increase in net assets resulting from operations..... 559,745 3,225,705 5,247,498 ----------- ----------- ----------- FROM UNIT TRANSACTIONS: Proceeds from units issued............................... 4,194,952 6,755,492 11,219,203 Value of units redeemed.................................. (3,335,181) (4,345,206) (5,372,554) ----------- ----------- ----------- Net increase in net assets from unit transactions........ 859,771 2,410,286 5,846,649 ----------- ----------- ----------- Total increase in net assets............................. 1,419,516 5,635,991 11,094,147 NET ASSETS: Beginning of year........................................ 9,085,611 20,134,380 23,622,845 ----------- ----------- ----------- End of year.............................................. $10,505,127 $25,770,371 $34,716,992 =========== =========== =========== Units outstanding beginning of year...................... 680,929 1,600,072 1,906,765 Units issued during year................................. 305,372 505,206 836,726 Units redeemed during year............................... (243,345) (330,020) (403,159) ----------- ----------- ----------- Units outstanding end of year............................ 742,956 1,775,258 2,340,332 =========== =========== ===========
See notes to financial statements. 23 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2002
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- FROM OPERATIONS: Investment advisory fees................................. $ (15,282) $ (40,905) $ (49,698) Net realized gains on investments........................ 20,863 308,516 338,375 Net change in unrealized appreciation (depreciation) on investments............................................ 245,826 (2,000,733) (3,899,189) ----------- ----------- ----------- Net increase (decrease) in net assets resulting from operations............................................. 251,407 (1,733,122) (3,610,512) ----------- ----------- ----------- FROM UNIT TRANSACTIONS: Proceeds from units issued............................... 5,681,476 6,287,461 8,392,723 Value of units redeemed.................................. (3,860,345) (6,113,761) (7,927,301) ----------- ----------- ----------- Net increase in net assets from unit transactions........ 1,821,131 173,700 465,422 ----------- ----------- ----------- Total increase (decrease) in net assets.................. 2,072,538 (1,559,422) (3,145,090) NET ASSETS: Beginning of year........................................ 7,013,073 21,693,802 26,767,935 ----------- ----------- ----------- End of year.............................................. $ 9,085,611 $20,134,380 $23,622,845 =========== =========== =========== Units outstanding beginning of year...................... 541,638 1,586,623 1,873,995 Units issued during year................................. 435,133 483,470 629,181 Units redeemed during year............................... (295,842) (470,021) (596,411) ----------- ----------- ----------- Units outstanding end of year............................ 680,929 1,600,072 1,906,765 =========== =========== ===========
See notes to financial statements. 24 SHORT HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ----------- INVESTMENTS 190,431 Diversified Investors Variable Funds -- Core Bond $ 5,589,083 Subaccount................................................ 7,863 Diversified Investors Variable Funds -- Equity Growth 344,546 Subaccount................................................ 6,147 Diversified Investors Variable Funds -- Growth & Income 135,588 Subaccount................................................ 195,396 Diversified Investors Variable Funds -- High Quality Bond 2,798,656 Subaccount................................................ 62,438 Diversified Investors Variable Funds -- High Yield Bond 947,477 Subaccount................................................ 9,981 Diversified Investors Variable Funds -- International Equity 162,170 Subaccount................................................ 5,411 Diversified Investors Variable Funds -- Money Market 101,972 Subaccount................................................ 2,821 Diversified Investors Variable Funds -- Special Equity 82,138 Subaccount................................................ 7,665 Diversified Investors Variable Funds -- Value & Income 345,367 Subaccount................................................ ----------- 10,506,997 Total Investments -- 100.02% (Cost $9,516,542).............. (1,870) Liabilities less other assets -- (0.02%).................... ----------- $10,505,127 NET ASSETS -- 100.00%....................................... =========== The aggregate cost of investments for federal income tax purposes at December 31, 2003 is $9,516,542. The following amounts are based on cost for federal income tax purposes: $ 990,456 Gross unrealized appreciation............................... (1) Gross unrealized depreciation............................... ----------- $ 990,455 Net unrealized appreciation................................. ===========
See notes to financial statements. 25 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ----------- INVESTMENTS 256,127 Diversified Investors Variable Funds -- Core Bond $ 7,517,260 Subaccount................................................ 95,670 Diversified Investors Variable Funds -- Equity Growth 4,191,872 Subaccount................................................ 75,024 Diversified Investors Variable Funds -- Growth & Income 1,654,803 Subaccount................................................ 262,167 Diversified Investors Variable Funds -- High Quality Bond 3,755,022 Subaccount................................................ 84,405 Diversified Investors Variable Funds -- High Yield Bond 1,280,819 Subaccount................................................ 121,428 Diversified Investors Variable Funds -- International Equity 1,973,006 Subaccount................................................ 10,944 Diversified Investors Variable Funds -- Money Market 206,229 Subaccount................................................ 34,148 Diversified Investors Variable Funds -- Special Equity 994,114 Subaccount................................................ 93,255 Diversified Investors Variable Funds -- Value & Income 4,201,790 Subaccount................................................ ----------- 25,774,915 Total Investments -- 100.02% (Cost $24,446,845)............. (4,544) Liabilities less other assets -- (0.02%).................... ----------- $25,770,371 NET ASSETS -- 100.00%....................................... =========== The aggregate cost of investments for federal income tax purposes at December 31, 2003 is $24,446,845. The following amounts are based on cost for federal income tax purposes: $ 1,669,483 Gross unrealized appreciation............................... (341,413) Gross unrealized depreciation............................... ----------- $ 1,328,070 Net unrealized appreciation................................. ===========
See notes to financial statements. 26 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ----------- INVESTMENTS 207,829 Diversified Investors Variable Funds -- Core Bond $ 6,099,721 Subaccount................................................ 178,692 Diversified Investors Variable Funds -- Equity Growth 7,829,544 Subaccount................................................ 140,160 Diversified Investors Variable Funds -- Growth & Income 3,091,509 Subaccount................................................ 207,490 Diversified Investors Variable Funds -- High Quality Bond 2,971,882 Subaccount................................................ 67,565 Diversified Investors Variable Funds -- High Yield Bond 1,025,273 Subaccount................................................ 226,800 Diversified Investors Variable Funds -- International Equity 3,685,140 Subaccount................................................ 16,766 Diversified Investors Variable Funds -- Money Market 315,954 Subaccount................................................ 63,756 Diversified Investors Variable Funds -- Special Equity 1,856,090 Subaccount................................................ 174,179 Diversified Investors Variable Funds -- Value & Income 7,847,991 Subaccount................................................ ----------- 34,723,104 Total Investments -- 100.02% (Cost $32,732,722)............. (6,112) Liabilities less other assets -- (0.02%).................... ----------- $34,716,992 NET ASSETS -- 100.00%....................................... =========== The aggregate cost of investments for federal income tax purposes at December 31, 2003 is $32,732,722. The following amounts are based on cost for federal income tax purposes: $ 2,442,962 Gross unrealized appreciation............................... (452,580) Gross unrealized depreciation............................... ----------- $ 1,990,382 Net unrealized appreciation................................. ===========
See notes to financial statements. 27 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION The Diversified Investors Strategic Variable Funds (the "Trust"), a New York business trust, is registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as an open-end management investment company. The Trust is composed of three different series that are, in effect, separate investment funds: Short Horizon Strategic Variable Fund, Intermediate Horizon Strategic Variable Fund, and Intermediate Long Horizon Strategic Variable Fund (collectively, the "Funds"). The Trust established and designated each of the Funds as separate series on April 15, 1996. Each Fund seeks to achieve its investment objective by investing all of its investable assets among the Diversified Investors Variable Funds ("DIVF"). DIVF is a separate investment account offering thirteen subaccounts, each with a different investment objective. DIVF operates as a unit investment trust under the Investment Company Act of 1940, as amended. The Trust had no assets or operations until January 2, 1997 (commencement of operations). 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. A. INVESTMENT VALUATION: The value of each Fund's investment in a corresponding subaccount of DIVF is valued at the unit value per share of each subaccount determined as of the close of the New York Stock Exchange on the valuation date. B. FEDERAL INCOME TAXES: The operations of the Trust form a part of, and are taxed with, the operations of Transamerica Financial Life Insurance Company ("TFLIC") (formerly AUSA Life Insurance Company, Inc.), a wholly-owned subsidiary of AEGON USA, Inc. ("AEGON"). TFLIC does not expect, based upon current tax law, to incur any income tax upon the earnings or realized capital gains attributable to the Trust. Based upon this expectation, no charges are currently being deducted from the Trust for federal income tax purposes. C. OPERATING EXPENSES: The Trust accounts separately for the assets, liabilities and operations of each Fund. Each Fund will indirectly bear its pro rata share of fees and expenses incurred by DIVF. D. OTHER: The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 3. FEES AND TRANSACTIONS WITH AFFILIATES The Trust has entered into an Investment Advisory Agreement with Diversified Investment Advisors, Inc. (the "Advisor"), an indirect, wholly-owned subsidiary of AEGON USA, Inc., under which the Advisor provides general investment advice to each Fund. AEGON USA, Inc., is a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON USA is an indirect, wholly-owned subsidiary of AEGON N.V., a Netherlands corporation which is a publicly traded international insurance group. For providing these services and facilities and for bearing the related expenses, the Advisor receives a monthly fee from each Fund at an annual rate equal to 0.20% of the average daily net assets of each Fund. 28 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) The Advisor is also advisor to the DIVF's. In addition, TFLIC deducts a mortality and expense risk charge at an annual rate equivalent to 1.10%, of the average daily net assets from the DIVF's. (TFLIC reserves the right to charge maximum fees of 1.25% upon notice.) Accordingly, the net assets and unit values of the DIVF's will reflect the management fee and other expenses paid to the Advisor, as well as the mortality and expense risk charge deducted by TFLIC. TFLIC bears sales distribution expenses and any other expenses in excess of the mortality and expense risk charge. TFLIC reserves the right to deduct an annual contract charge from a Participant's Accumulation Account to reimburse TFLIC for administrative expense relating to the maintenance of the Variable Annuity Contracts. TFLIC has no present intention to impose such a charge but may do so in the future. Any such annual charge will not exceed $50. Certain trustees and officers of the Trust are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent trustees so affiliated receive compensation for services as trustees of the Trust. Similarly, none of the Trust's officers receive compensation from the Funds. The independent trustees are also trustees of the affiliated funds for which they receive fees. 4. PURCHASES AND SALES OF INVESTMENTS The aggregate cost of investments purchased and proceeds from sales for the year ended December 31, 2003, were as follows:
COST OF PURCHASES PROCEEDS FROM SALES ----------------- ------------------- Short Horizon Strategic Variable Fund....................... $ 11,432,029 $ 10,591,377 Intermediate Horizon Strategic Variable Fund................ 21,455,068 19,087,746 Intermediate Long Horizon Strategic Variable Fund........... 33,228,907 27,436,092
5. GENERAL INDEMNIFICATION In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 6. FINANCIAL HIGHLIGHTS For an accumulation unit outstanding throughout the year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS --------------------------- TOTAL INCOME NET REALIZED (LOSS) UNIT UNIT VALUE, NET AND UNREALIZED FROM VALUE, FOR THE BEGINNING OF INVESTMENT GAINS (LOSSES) INVESTMENT END OF TOTAL NET ASSETS, YEAR ENDED YEAR (LOSS) ON INVESTMENTS OPERATIONS YEAR RETURN END OF YEAR ---------- ------------ ---------- -------------- ---------- ------ ------ ----------- SHORT HORIZON STRATEGIC VARIABLE FUND 12/31/2003 $13.34 $(0.03) $ 0.83 $ 0.80 $14.14 6.00% $10,505,127 12/31/2002 12.95 (0.03) 0.42 0.39 13.34 3.01 9,085,611 12/31/2001 12.38 (0.03) 0.60 0.57 12.95 4.60 7,013,073 12/31/2000 11.63 (0.02) 0.77 0.75 12.38 6.45 3,498,791 12/31/1999 11.50 (0.02) 0.15 0.13 11.63 1.13 2,523,200 RATIOS TO AVERAGE NET ASSETS --------------------- NET PORTFOLIO FOR THE INVESTMENT TURNOVER YEAR ENDED EXPENSES (LOSS) RATE ---------- -------- ---------- --------- SHORT HORIZON STRATEGIC VARIABLE FUND 12/31/2003 0.20% (0.20)% 109% 12/31/2002 0.20 (0.20) 55 12/31/2001 0.20 (0.20) 68 12/31/2000 0.20 (0.20) 87 12/31/1999 0.20 (0.20) 84
29 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 6. FINANCIAL HIGHLIGHTS (CONTINUED)
INCOME (LOSS) FROM INVESTMENT OPERATIONS --------------------------- TOTAL INCOME NET REALIZED (LOSS) UNIT UNIT VALUE, NET AND UNREALIZED FROM VALUE, FOR THE BEGINNING OF INVESTMENT GAINS (LOSSES) INVESTMENT END OF TOTAL NET ASSETS, YEAR ENDED YEAR (LOSS) ON INVESTMENTS OPERATIONS YEAR RETURN END OF YEAR ---------- ------------ ---------- -------------- ---------- ------ ------ ----------- INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND 12/31/2003 $12.58 $(0.03) $ 1.97 $ 1.94 $14.52 15.42% $25,770,371 12/31/2002 13.67 (0.03) (1.06) (1.09) 12.58 (7.97) 20,134,380 12/31/2001 14.16 (0.03) (0.46) (0.49) 13.67 (3.46) 21,693,802 12/31/2000 14.35 (0.03) (0.16) (0.19) 14.16 (1.32) 18,239,055 12/31/1999 12.68 (0.03) 1.70 1.67 14.35 13.17 15,953,762 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND 12/31/2003 12.39 (0.03) 2.47 2.44 14.83 19.69 34,716,992 12/31/2002 14.28 (0.03) (1.86) (1.89) 12.39 (13.24) 23,622,845 12/31/2001 15.34 (0.03) (1.03) (1.06) 14.28 (6.91) 26,767,935 12/31/2000 15.99 (0.03) (0.62) (0.65) 15.34 (4.07) 25,424,342 12/31/1999 13.48 (0.03) 2.54 2.51 15.99 18.62 20,592,888 RATIOS TO AVERAGE NET ASSETS --------------------- NET PORTFOLIO FOR THE INVESTMENT TURNOVER YEAR ENDED EXPENSES (LOSS) RATE ---------- -------- ---------- --------- INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND 12/31/2003 0.20% (0.20)% 87% 12/31/2002 0.20 (0.20) 53 12/31/2001 0.20 (0.20) 92 12/31/2000 0.20 (0.20) 98 12/31/1999 0.20 (0.20) 81 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND 12/31/2003 0.20 (0.20) 98 12/31/2002 0.20 (0.20) 49 12/31/2001 0.20 (0.20) 44 12/31/2000 0.20 (0.20) 59 12/31/1999 0.20 (0.20) 72
7. INVESTMENTS IN AFFILIATES The market value of investments in affiliates (as defined in the Investment Company Act of 1940, "Affiliated Companies" are those in which the Trust is under common control with an affiliated entity) at December 31, 2003 totaled $10,506,997, $25,774,915 and $34,723,104, for the Short Horizon Strategic Variable Fund, Intermediate Horizon Strategic Variable Fund, and Intermediate Long Horizon Strategic Variable Fund, respectively. Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN/(LOSS) SHARES PURCHASED SOLD SHARES COST COST ON SALES --------- --------- --------- ------- ----------- ----------- ----------- SHORT HORIZON STRATEGIC VARIABLE FUND ------------------------------------- INVESTMENTS: Diversified Investors Variable Funds -- Core Bond Subaccount.................... 95,555 96,501 1,625 190,431 $ 2,848,419 $ 35,647 $ 12,077 Diversified Investors Variable Funds -- Equity Growth Subaccount....... -- 8,273 410 7,863 324,218 15,693 1,767 Diversified Investors Variable Funds -- Growth & Income Subaccount..... -- 6,263 116 6,147 122,924 2,228 274 Diversified Investors Variable Funds -- High Quality Bond Subaccount... 127,443 68,062 109 195,396 977,930 1,222 345 Diversified Investors Variable Funds -- High Yield Bond Subaccount..... 75,194 108 12,864 62,438 1,627 153,102 23,557 Diversified Investors Variable Funds -- Intermediate Government Bond Subaccount.............................. 90,906 * 90,906 -- 1 1,607,158 221,170 Diversified Investors Variable Funds -- International Equity Subaccount......... -- 11,179 1,198 9,981 146,960 15,413 3,231 Diversified Investors Variable Funds -- Money Market Subaccount........ 52,242 368,467 415,298 5,411 6,941,647 7,821,444 2,615 Diversified Investors Variable Funds -- Special Equity Subaccount...... -- 2,847 26 2,821 66,674 580 167 Diversified Investors Variable Funds -- Value & Income Subaccount...... 24,611 41 16,987 7,665 1,629 686,884 (13,197) ----------- ----------- --------- $11,432,029 $10,339,371 $ 252,006 =========== =========== =========
30 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. INVESTMENTS IN AFFILIATES (CONTINUED) Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN/(LOSS) SHARES PURCHASED SOLD SHARES COST COST ON SALES --------- --------- --------- ------- ----------- ----------- ----------- INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND -------------------------------------------- INVESTMENTS: Diversified Investors Variable Funds -- Aggressive Equity Subaccount... 58,379 -- 58,379 -- $ -- $ 966,255 $(320,419) Diversified Investors Variable Funds -- Core Bond Subaccount.................... 176,521 103,691 24,085 256,127 3,047,990 567,738 119,701 Diversified Investors Variable Funds -- Equity Growth Subaccount....... 39,805 55,978 113 95,670 2,200,681 6,178 (1,357) Diversified Investors Variable Funds -- Growth & Income Subaccount..... 88,819 4,010 17,805 75,024 82,985 605,030 (255,222) Diversified Investors Variable Funds -- High Quality Bond Subaccount... 140,310 121,857 -- 262,167 1,748,928 -- -- Diversified Investors Variable Funds -- High Yield Bond Subaccount..... 169,818 3,819 89,232 84,405 56,178 1,071,713 129,795 Diversified Investors Variable Funds -- Intermediate Government Bond Subaccount.............................. 51,325 * 51,325 -- 1 902,500 129,769 Diversified Investors Variable Funds -- International Equity Subaccount......... 116,220 11,239 6,031 121,428 151,596 86,638 2,825 Diversified Investors Variable Funds -- Money Market Subaccount........ 2,676 712,546 704,278 10,944 13,423,496 13,267,610 479 Diversified Investors Variable Funds -- Special Equity Subaccount...... 98,812 7,791 72,455 34,148 219,615 2,006,167 (337,768) Diversified Investors Variable Funds -- Value & Income Subaccount...... 83,370 13,097 3,212 93,255 523,598 127,723 12,391 ----------- ----------- --------- $21,455,068 $19,607,552 $(519,806) =========== =========== ========= INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND ------------------------------------------------- INVESTMENTS: Diversified Investors Variable Funds -- Aggressive Equity Subaccount... 91,185 5,923 97,108 -- $ 60,696 $ 1,463,479 $(389,190) Diversified Investors Variable Funds -- Core Bond Subaccount.................... 101,120 114,210 7,501 207,829 3,354,502 174,006 38,841 Diversified Investors Variable Funds -- Equity Growth Subaccount....... 66,614 112,518 440 178,692 4,433,097 17,265 952 Diversified Investors Variable Funds -- Growth & Income Subaccount..... 143,065 23,759 26,664 140,160 463,613 642,072 (118,751) Diversified Investors Variable Funds -- High Quality Bond Subaccount... 80,076 128,002 588 207,490 1,837,499 6,685 1,771 Diversified Investors Variable Funds -- High Yield Bond Subaccount..... 159,148 7,626 99,209 67,565 109,957 1,185,726 147,278 Diversified Investors Variable Funds -- Intermediate Government Bond Subaccount.............................. 60,126 2,393 62,519 -- 47,602 1,063,975 193,409 Diversified Investors Variable Funds -- International Equity Subaccount......... 194,496 36,017 3,713 226,800 470,740 53,461 3,940 Diversified Investors Variable Funds -- Money Market Subaccount........ 2,943 1,071,285 1,057,462 16,766 20,182,300 19,921,702 988
31 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. INVESTMENTS IN AFFILIATES (CONTINUED) Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING SHARES SHARES ENDING PURCHASE SALE GAIN/(LOSS) SHARES PURCHASED SOLD SHARES COST COST ON SALES --------- --------- --------- ------- ----------- ----------- ----------- Diversified Investors Variable Funds -- Special Equity Subaccount...... 162,056 23,655 121,955 63,756 588,692 3,112,417 (320,730) Diversified Investors Variable Funds -- Value & Income Subaccount...... 136,731 42,883 5,435 174,179 1,680,209 198,931 37,865 ----------- ----------- --------- $33,228,907 $27,839,719 $(403,627) =========== =========== =========
--------------- * Less than one share. 32 REPORT OF INDEPENDENT AUDITORS To the Board of Trustees and the Contractholders of Diversified Investors Strategic Variable Funds: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Short Horizon Strategic Variable Fund, Intermediate Horizon Strategic Variable Fund, and Intermediate Long Horizon Strategic Variable Fund; (constituting the Diversified Investors Strategic Variable Funds, hereafter referred to as the "Funds") at December 31, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 26, 2004 33 ANNUAL ECONOMIC OVERVIEW Despite a rocky start to 2003, the economic recovery clearly established itself by the Fourth Quarter. Stock prices, which often anticipate such turnarounds, posted positive returns for the last three quarters of the year, ending on a decidedly optimistic note. In contrast, bonds had a more difficult time, and with the exception of high yield bonds, most bond returns ended the year in the low single digits. As the year progressed, more and more economic indicators turned positive. Gross Domestic Product surged by 8.2% in the Third Quarter, catching most economists by surprise and setting the stage for what is hoped to be continued growth in 2004. The unemployment rate, while still higher than historical averages, had been some cause for concern, but by year-end appeared to be improving due to growing corporate profits and business spending. Additional factors aiding the economy included continued tax cuts and a weaker dollar, which fell to a record low against the Euro. Many on Wall Street had feared that foreign investors would pull out of the U.S. Treasury market, but this fear had not materialized and foreign investment in Treasuries actually increased. Interest rates trended higher during the year, but still remain at historically low levels. The Ten-year Treasury yield that began 2003 at 3.82% ended the year at 4.25%. This represents a retreat from the spike in yields that occurred in the summer when the Ten-year yield reached just over 4.6% and Treasuries sold off sharply. While the Fed chose not to increase interest rates during the year, many feel that such action is inevitable in 2004. The stock market had three positive quarters in 2003, buoyed by the ever-improving economic picture. The broad stock market, as measured by the S&P 500 Index, gained 28.7% for the year. Small-capitalization stocks had an even stronger showing, with the Russell 2000 Index posting an impressive 47.3% return. Large-cap international stocks did better than their domestic counterparts, with the MSCI EAFE ex-US Index returning 40.0% for the twelve-month period. Investors favored growth over value for most of 2003, which is not unusual during the initial stages of an economic upturn. After the corporate scandals of 2001 and 2002, many businesses had stronger balance sheets and so reaped the full benefits of this year's economic upturn. Corporate earnings continue to be strong, but the biggest gains for the year came from lower quality companies with little to no earnings. Investors bought stocks that had been beaten down most recently and were less enamored with more established companies. Overall, however, the rally was in fact broad enough so that stocks of all types participated. Among bonds, risk was rewarded. As a measure of the broad bond market, the Lehman Aggregate Bond Index posted a one-year return of 4.1%. Treasury securities had the lowest returns for the year (2.4%). At the other end of the spectrum were high yield bonds, which behaved more like equity securities and gained 28.2% to prove it. MONEY MARKET FUND In that a money market fund's opportunities and rewards for deviating much from the norm are usually limited, there were few ways to generate superior performance during 2003. Nevertheless, in 2003, the portfolio manager shifted a meaningful portion of the Fund's assets into high-quality, liquid U.S. Government Agency securities to capitalize on two developments. First, spreads on Agency securities widened markedly. Second, the market backups in interest rates allowed for some opportune purchases of Agency callable, coupon and discount note securities at yields significantly above the current federal funds rate of 1%. Throughout 2003 the portfolio's performance largely tracked the movement in the Federal Reserve's U.S. federal-funds target rate, albeit with a lagged effect. The Fund's yield trended down through 2003 as yields on new investments edged downward, particularly in the wake of the Fed's June 25 interest rate cut. HIGH QUALITY BOND FUND The fund invests in debt issued by the U.S. Government and its agencies as well as asset-backed and corporate fixed income securities, emphasizing short duration and high quality securities. The primary driver of the 34 fund's return is the return of the Merrill Lynch 1-3 year benchmark. During 2003, the fund's performance held up even in the face of the increase of rising rates, as evidenced by the two-year Treasury yield rising from 1.61% at the beginning the year to 1.83% by December 31. INTERMEDIATE GOVERNMENT BOND FUND The fund invests almost exclusively in intermediate-term U.S. Government and Agency fixed income securities as well as money market instruments with minimal credit exposure. During 2003, Diversified Investment Advisors made a change in the Fund's sub-advisors, replacing the incumbent with two sub-advisors that have complementary investment styles. The new sub-advisory structure reduces the fund's manager-specific risk while constraining the fund's duration relative to the benchmark. The fund's returns during the year were negatively impacted by the prior sub-advisor's second quarter performance including a shorter-than-index duration position and a significant underweight to government securities. CORE BOND FUND The fund's investment strategy expands on the more traditional investable fixed income universe, creating a more diversified portfolio that includes some exposure to below-investment grade ("high yield"), non-dollar, and emerging market securities on an opportunistic basis. Positive effects on the fund's 2003 performance included an allocation to high yield and non-dollar sectors, credit selection in the investment grade corporate sector, and allocations to high quality spread product (ABS, CMBS, and Agencies). Portfolio performance was adversely affected by an underweight position in both the corporate and mortgage sectors and a yield curve flattening bias. HIGH YIELD BOND FUND In a reversal from recent years, the high yield market posted significant gains during 2003. Because risk was rewarded throughout most of the year, the fund's return closely matched that of its benchmark, the Merrill Lynch High Yield Master II Index, particularly after the portfolio manager increased the fund's exposure to lower rated issues as the economy continued to show signs of strength, improving credit ratings and better earnings fundamentals. Sector allocation decisions also added to performance, including an overweighted position to the strong performing cable/satellite TV sector, which returned 46.0% for the year. BALANCED FUND The fund is managed by two sub-advisors: one overseeing the fund's equity portion and one overseeing the fund's fixed income portion. The equity sub-advisor uses a quantitative model that is designed to track the S&P 500 Index closely. This structured core approach was negatively impacted by the volatility of the market and the surprising turnaround in investor sentiment. The fund's fixed income sub-advisor uses an investment strategy that expands on the more traditional investable fixed income universe, creating a more diversified portfolio that includes some exposure to below-investment grade ("high yield"), non-dollar, and emerging market securities on an opportunistic basis. Positive effects on the fixed income portion's 2003 performance included an allocation to high yield and non-dollar sectors, credit selection in the investment grade corporate sector, and allocations to high quality spread product (ABS, CMBS, and Agencies). Fixed income performance was adversely affected by an underweight position in both the corporate and mortgage sectors and a yield curve flattening bias. VALUE & INCOME FUND The fund is managed by two sub-advisors with unique and complementary investment approaches to value investing: deep value and relative value. During 2003, Diversified replaced the relative value manager sub-advisor, due to the pending retirement of the portfolio manager. 35 Sector allocation had a meaningful impact on the fund's performance, particularly during the second half of the year. With respect to the Healthcare sector, for instance, which trailed the market, investor concerns about weak product pipelines, patent expirations and pricing pressures, caused pharmaceuticals to trade down for much of 2003. Positions in Pfizer and Wyeth in particular detracted from performance, while an underweighting to Merck helped. Strong performance by hospital management holdings--HCA and Tenet Healthcare--also helped. For the year, cyclical stocks led the market, fueled by mounting evidence that the economy and corporate profits are improving. Indeed, among the top contributors to fund performance were pro-cyclicals such as Sears and Cooper Industries. Telecom equipment manufacturers Corning and Nortel, which were also overweighted, also participated in the market's rally. Stock selection in the Financials sector was disappointing in the second half of the year. For instance, the Fund's position in Bank of America hurt performance; shares lagged after the company's rich offer for FleetBoston was announced. Additionally, the fund's avoidance of a number of capital markets-sensitive shares was a further detractor. GROWTH & INCOME FUND Two sub-advisors, each of whom has a specific role, manage the fund. The structured core component is managed using a quantitative model that is designed to track the S&P 500 Index closely, while the enhanced component is designed to add value over the benchmark. For 2003, the Fund's performance lagged the S&P 500 Index primarily because of the nature of the stock market rally, which benefited low quality and low price stocks the most. Additionally, the fund's model-driven core component was negatively impacted by the volatility of the market and the surprising turnaround in investor sentiment. Positive contributors to performance included strong stock selection in the Commercial Services sector. Industry selection had less of an impact on total fund performance. Top holdings throughout the year included Intel, Cendant, Citigroup and Cisco. Specific stocks that detracted from performance included Newell Rubbermaid, Avery Dennison and SBC Communications. EQUITY GROWTH FUND The fund is managed by three sub-advisors, each of whom has a specific role in the fund. Total fund performance during 2003 was negatively impacted by the nature of the stock market rally, which benefited low quality and low price stocks the most. The valuation and quality bias discipline of the fund's core sub-advisor did not fare well in the environment. Fortunately, some of this performance shortfall was lessened due to the favorable stock picking decisions of the non-core sub-advisors. Stock selection within Biotechnology and Software were particularly additive to 2003 performance, with Cisco Systems and Intel representing the largest individual contributors to return. Specific stocks that detracted from performance included General Dynamics Corporation and Kraft General Foods. MID-CAP VALUE The fund's sub-advisor invests in neglected, inefficiently priced stocks that possess strong fundamentals. In-depth research resulted in several strong stock selections during 2003 including United States Steel, shares of which rallied strongly on the combined benefits of its acquisition of National Steel and upward movement in steel prices. Everest Re Group, whose share price rebounded from its recent weakness, moved to new highs in the second quarter after it reported very strong first quarter earnings. These results reflected the benefits of both the favorable pricing environment as well as effective cost control. Stanley Works rallied on an upside surprise regarding third quarter earnings, along with the accretive impact of the divestiture of their residential entry doors business and two acquisitions. The largest detractor from performance in 2003 was Royal Group Technologies, whose margins in core building products were hurt by rising feedstock costs, and who suffered losses in their window blind operation due to competition from imports. Also negatively impacting performance were holdings in Big Lots, AFC Enterprises, York International and Ikon Office Solutions. 36 MID-CAP GROWTH The sub-advisor's investment philosophy is to seek quality growth companies, sensitive to valuations. For the calendar year 2003, the fund posted a strong absolute gain, yet it trailed the Russell Midcap Growth Index return, due largely to performance in the second and third quarters. The relative underperformance in 2003 was generally a result of market sentiment rewarding companies with weak but improving fundamentals. Specifically, the sub-advisor's underweight allocations to stocks in the Technology, Telecommunications and Media ("TMT") groups held back relative returns, along with an overweight position in Energy stocks. While the sub-advisor began to selectively add exposure to the highly cyclical Semiconductor and Software groups mid year, the major challenge was to identify quality growth stocks that did not discount high and often unprecedented expectations. Stocks that more than tripled despite challenging outlooks included very strong performances by Avaya Inc., PMC-Sierra Inc. and UnitedGlobalCom Inc. SMALL-CAP VALUE The fund's sub-advisor uses normalized earnings to derive a stock's intrinsic value, and then compares it to current market price to make portfolio decisions. This emphasis on finding and investing in high quality companies meant that the fund did not participate fully in the year's rally, as "low quality" companies dominated. In addition, 2003 was clearly a micro-cap year. In this regard, the sub-advisor's bias towards slightly larger, more liquid stocks detracted from performance. The sub-advisor's industry selection was a significant positive contributor to 2003 performance, but stock selection detracted, particularly among specialty retailers. Individual holdings that added to performance included Acuity Brands, Dendrite International and Rayonier while JLG Industrials, Footstar and Payless Shoesource hampered returns. SPECIAL EQUITY FUND The fund is managed by five sub-advisors: two small-cap growth managers, two small-cap value managers, and one small-cap core manager. The fund produced high absolute returns for the year ended December 31, but trailed its Russell 2000 Index. This underperformance was primarily due to the low quality nature of the stock market rally generally, in particular during the second quarter when the fund's strong quality focus cost the relative performance. Industry selection was a positive contributor to performance, with an overweighted position to the outperforming Semiconductor sector and an underweighted position to Real Estate and Chemicals. ITT Educational Services was the Fund's most additive holding for the twelve months ended December 31, while Healthsouth and PEC Solutions detracted from returns. SMALL CAP GROWTH The fund's sub-advisor seeks sustainable growth with reasonable valuations. The fund did not participate to the fullest extent possible in this year's market rally, as stocks generally considered to be of poor quality, e.g., those with low returns on equity, outperformed the broad index during the year. In addition, smallest stocks did the best, with the smallest 25% of stocks returning considerably more on average than all other stocks in the index. The portfolio's returns were hurt on a relative basis by poor stock selection in the Consumer Services and Technology sectors as well as being underexposed to the type of stocks that performed best; those with the smallest market capitalizations and poorest earnings and balance sheet quality. The Technology sector was the best performing sector within the Russell 2000 Growth Index, returning over 65%, and the portfolio's relative underweight in this sector was also a significant factor to the underperformance. AGGRESSIVE EQUITY Despite high absolute returns, the fund underperformed its benchmark for the year as the market was dominated by the extraordinary performance from low quality, low price securities. The fund's sub-advisor uses a quantitative model that benefits from market trends, favoring companies with strong relative risk adjusted returns and accelerating earnings growth. This approach did not perform well during the earlier part 37 of 2003, but did prove helpful as the year progressed and such securities became attractive from a risk adjusted relative return basis. Unfortunately, December provided a two-week correction in these top-performing securities that led to the eventual year-end underperformance. For the full year, industry selection was a positive contributor to fund performance, but stock selection, particularly among software and pharmaceuticals hampered returns. INTERNATIONAL EQUITY Optimism about a sustainable economic recovery in Europe and Japan coupled with strong corporate earnings helped international equity markets produce very strong returns for the year. The fund did benefit from the sub-advisor's stock selection decisions in Japan, particularly within the Information Techology sector, including holdings in Tokyo Electron, NEC Corp. and Yahoo Japan. Stock selection in Materials was also additive, as was an underweighting to the Consumer Staples sector, which underperformed. Finally, the fund's exposure to emerging markets, the broad benchmark for which posted a 56% return, contributed positively to performance for the year. Detractors from performance included stock selection and underweighting in Financials, especially in the insurance industry; stock selection and underweighting in the Discretionary sector, specifically Inditex, Mitsubishi Motors and Sony; and stock selection in the Industrials sector. 38 (This page intentionally left blank) 39 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2003
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & MARKET BOND BOND BOND BALANCED INCOME ------------ ------------ ------------ -------------- ------------ -------------- ASSETS: Securities, at cost............ $798,222,566 $642,896,569 $326,262,518 $1,642,694,609 $419,931,676 $1,956,775,436 ============ ============ ============ ============== ============ ============== Securities, at value, including securities loaned (Note 4).... $798,222,566 $645,981,818 $327,608,620 $1,661,686,950 $458,893,796 $2,271,099,234 Repurchase agreements (cost equals market)................ 774 3,547,162 5,865,247 87,077,526 22,111,141 77,231,817 Cash........................... 596 2,417 -- 37,118 4,402 15,749 Receivable for securities sold.......................... -- 933 -- 116,790,967 12,362,308 440,275 Unrealized appreciation on foreign currency forward contracts..................... -- -- -- 3,173,812 185,665 -- Variation margin............... -- -- -- -- -- -- Interest receivable............ 1,583,992 4,605,369 3,609,480 18,339,131 1,653,185 4,985 Dividends receivable........... -- -- -- -- 368,349 3,754,377 Foreign tax reclaim receivable.................... -- -- -- -- -- -- Receivable from Advisor........ -- -- -- -- 20,077 -- Receivable from securities lending....................... -- 1,707 -- 29,338 4,154 16,687 ------------ ------------ ------------ -------------- ------------ -------------- Total assets................... 799,807,928 654,139,406 337,083,347 1,887,134,842 495,603,077 2,352,563,124 ------------ ------------ ------------ -------------- ------------ -------------- LIABILITIES: Payable to Custodian........... -- -- 31,373 -- -- -- Collateral for securities loaned........................ -- 31,159,620 53,416,536 160,419,929 29,454,439 151,980,023 Payable for securities purchased..................... -- -- 18,000,047 239,157,696 28,743,092 1,536,951 Securities sold short, at value (proceeds $5,063,319 and $1,944,612, respectively)..... -- -- -- 5,117,122 1,952,593 -- Written options, at value (premium $444,723 and $48,164, respectively)................. -- -- -- 231,743 25,056 -- Unrealized depreciation on foreign currency forward contracts..................... -- -- -- 12,521,039 1,081,753 -- Payable to Advisor............. -- -- -- 549 -- -- Variation margin............... -- -- -- 369,185 35,075 -- Investment advisory fees....... 186,592 192,360 84,630 458,852 173,048 866,076 Accrued expenses............... 48,738 39,092 30,773 71,720 52,189 94,339 Contingent liability (Note 6)............................ -- -- -- -- -- -- ------------ ------------ ------------ -------------- ------------ -------------- Total liabilities.............. 235,330 31,391,072 71,563,359 418,347,835 61,517,245 154,477,389 ------------ ------------ ------------ -------------- ------------ -------------- NET ASSETS..................... $799,572,598 $622,748,334 $265,519,988 $1,468,787,007 $434,085,832 $2,198,085,735 ============ ============ ============ ============== ============ ============== NET ASSETS CONSIST OF: Paid-in capital................ $799,572,598 $619,663,085 $264,173,886 $1,460,263,270 $396,188,539 $1,883,761,937 Net unrealized appreciation on securities.................... -- 3,085,249 1,346,102 18,992,341 38,962,120 314,323,798 Net unrealized appreciation (depreciation) on futures, written options and short sales......................... -- -- -- (1,446,390) (195,089) -- Net unrealized depreciation on translation of assets and liabilities in foreign currencies.................... -- -- -- (9,022,214) (869,738) -- ------------ ------------ ------------ -------------- ------------ -------------- NET ASSETS..................... $799,572,598 $622,748,334 $265,519,988 $1,468,787,007 $434,085,832 $2,198,085,735 ============ ============ ============ ============== ============ ============== GROWTH & INCOME -------------- ASSETS: Securities, at cost............ $ 973,772,106 ============== Securities, at value, including securities loaned (Note 4).... $1,101,712,881 Repurchase agreements (cost equals market)................ 20,206,694 Cash........................... 3,203 Receivable for securities sold.......................... -- Unrealized appreciation on foreign currency forward contracts..................... -- Variation margin............... 5,800 Interest receivable............ 1,816 Dividends receivable........... 1,184,749 Foreign tax reclaim receivable.................... -- Receivable from Advisor........ -- Receivable from securities lending....................... 30,132 -------------- Total assets................... 1,123,145,275 -------------- LIABILITIES: Payable to Custodian........... -- Collateral for securities loaned........................ 59,141,095 Payable for securities purchased..................... -- Securities sold short, at value (proceeds $5,063,319 and $1,944,612, respectively)..... -- Written options, at value (premium $444,723 and $48,164, respectively)................. -- Unrealized depreciation on foreign currency forward contracts..................... -- Payable to Advisor............. -- Variation margin............... -- Investment advisory fees....... 558,929 Accrued expenses............... 55,919 Contingent liability (Note 6)............................ -- -------------- Total liabilities.............. 59,755,943 -------------- NET ASSETS..................... $1,063,389,332 ============== NET ASSETS CONSIST OF: Paid-in capital................ $ 935,418,429 Net unrealized appreciation on securities.................... 127,940,775 Net unrealized appreciation (depreciation) on futures, written options and short sales......................... 30,128 Net unrealized depreciation on translation of assets and liabilities in foreign currencies.................... -- -------------- NET ASSETS..................... $1,063,389,332 ==============
See notes to financial statements. 40
EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY BOND -------------- ------------ ------------ ------------ -------------- ------------ ------------ ------------ $1,799,554,954 $210,927,308 $166,912,352 $ 90,054,940 $1,088,065,726 $ 79,777,582 $387,673,224 $243,589,525 ============== ============ ============ ============ ============== ============ ============ ============ $1,999,739,813 $235,978,774 $183,114,360 $105,402,643 $1,368,186,393 $ 92,988,046 $448,437,981 $259,863,869 56,130,189 25,821,934 12,155,301 6,177,260 78,500,165 14,423,993 17,782,237 19,578,332 10,625 1,015,674 2,648 1,099 35,508 2,333 12,693 -- 7,591,869 3,696,809 1,115,014 -- 7,147,105 33,656 5,566,632 462,094 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 2,704 1,287 922 304 5,493 549 2,561 5,627,558 1,320,489 197,011 124,000 77,028 767,428 41,139 23,069 74,343 3,922 720 -- -- -- -- -- -- -- 9,652 2,108 1,861 -- 2,570 3,026 10,076 16,912 5,511 2,891 876 38,664 2,013 14,547 -- -------------- ------------ ------------ ------------ -------------- ------------ ------------ ------------ 2,064,816,523 266,727,372 196,517,244 111,661,071 1,454,680,756 107,494,299 471,842,746 285,616,272 -------------- ------------ ------------ ------------ -------------- ------------ ------------ ------------ -- -- -- -- -- -- -- -- 75,729,565 36,445,993 29,139,322 8,553,351 170,584,121 13,953,530 88,458,027 -- 12,030,949 13,940,670 1,504,146 2,135,079 12,461,733 9,871,447 11,674,955 2,747,070 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 253,771 -- -- -- -- -- -- -- 677 -- -- -- 399 -- -- -- -- -- -- -- 61,200 -- -- -- 1,083,532 116,479 95,747 64,408 898,789 57,936 323,295 132,768 81,329 31,111 30,155 20,775 73,389 21,743 53,459 35,660 -- -- -- -- -- -- -- -- -------------- ------------ ------------ ------------ -------------- ------------ ------------ ------------ 89,179,823 50,534,253 30,769,370 10,773,613 184,079,631 23,904,656 100,509,736 2,915,498 -------------- ------------ ------------ ------------ -------------- ------------ ------------ ------------ $1,975,636,700 $216,193,119 $165,747,874 $100,887,458 $1,270,601,125 $ 83,589,643 $371,333,010 $282,700,774 ============== ============ ============ ============ ============== ============ ============ ============ $1,775,704,598 $191,141,653 $149,545,866 $ 85,539,755 $ 990,377,398 $ 70,379,179 $310,568,253 $266,426,430 200,184,859 25,051,466 16,202,008 15,347,703 280,120,667 13,210,464 60,764,757 16,274,344 -- -- -- -- 103,060 -- -- -- (252,757) -- -- -- -- -- -- -- -------------- ------------ ------------ ------------ -------------- ------------ ------------ ------------ $1,975,636,700 $216,193,119 $165,747,874 $100,887,458 $1,270,601,125 $ 83,589,643 $371,333,010 $282,700,774 ============== ============ ============ ============ ============== ============ ============ ============ INTERNATIONAL EQUITY -------------- $ 912,166,196 ============== $1,052,801,050 78,815,866 16,979 164,284 676,503 -- 56,557 595,206 579,344 -- 16,420 -------------- 1,133,722,209 -------------- -- 80,552,348 1,410,215 -- -- 1,935,257 -- -- 670,844 119,649 -- -------------- 84,688,313 -------------- $1,049,033,896 ============== $ 909,592,331 140,634,854 -- (1,193,289) -------------- $1,049,033,896 ==============
41 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2003
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & GROWTH & MARKET BOND BOND BOND BALANCED INCOME INCOME ----------- ----------- ------------ ----------- ----------- ------------ ------------ INVESTMENT INCOME: Interest income.............. $12,455,044 $19,195,982 $10,643,578 $49,309,905 $ 6,083,212 $ 594,802 $ 90,287 Securities lending income (net)....................... -- 11,811 56,944 249,995 30,579 111,435 40,804 Dividend income.............. -- -- -- -- 4,473,650 42,467,206 14,800,812 Less: withholding taxes...... -- -- -- -- -- (79,247) -- ----------- ----------- ----------- ----------- ----------- ------------ ------------ Total income................. 12,455,044 19,207,793 10,700,522 49,559,900 10,587,441 43,094,196 14,931,903 ----------- ----------- ----------- ----------- ----------- ------------ ------------ EXPENSES: Investment advisory fees..... 2,243,100 1,883,795 1,139,280 4,439,027 1,788,590 8,137,894 5,427,473 Custody fees................. 183,809 124,587 76,457 419,978 207,397 374,681 244,928 Professional fees............ 36,764 32,833 29,958 42,594 32,397 53,278 38,902 Reports to shareholders...... 7,436 4,867 2,987 24,145 10,895 15,135 6,580 Miscellaneous fees........... 4,210 2,430 1,566 5,802 1,868 13,711 4,175 ----------- ----------- ----------- ----------- ----------- ------------ ------------ Total expenses............... 2,475,319 2,048,512 1,250,248 4,931,546 2,041,147 8,594,699 5,722,058 Expenses reimbursed by the Advisor..................... -- -- -- (373) (53,018) -- -- ----------- ----------- ----------- ----------- ----------- ------------ ------------ Net expenses................. 2,475,319 2,048,512 1,250,248 4,931,173 1,988,129 8,594,699 5,722,058 ----------- ----------- ----------- ----------- ----------- ------------ ------------ NET INVESTMENT INCOME (LOSS)...................... 9,979,725 17,159,281 9,450,274 44,628,727 8,599,312 34,499,497 9,209,845 ----------- ----------- ----------- ----------- ----------- ------------ ------------ NET REALIZED AND UNREALIZED GAINS (LOSSES) ON SECURITIES, FUTURES, WRITTEN OPTIONS, SHORT SALES AND FOREIGN CURRENCIES: Net realized gains (losses) on securities............... 2,502 1,053,699 9,090,837 33,834,691 (2,378,526) (14,947,882) (18,757,982) Net realized gains (losses) on futures, written options and short sales............. -- -- -- (7,377,329) (381,773) -- 393,990 Net realized gains (losses) on foreign currency transactions................ -- -- -- (9,734,134) (1,376,703) -- -- Net change in unrealized appreciation (depreciation) on securities............... -- (6,996,509) (12,217,945) (7,048,140) 61,359,689 432,326,774 212,270,922 Net change in unrealized appreciation on futures, written options and short sales....................... -- -- -- 4,245,398 320,215 -- 183,859 Net change in unrealized depreciation on translation of assets and liabilities in foreign currencies.......... -- -- -- (8,285,094) (677,257) -- -- ----------- ----------- ----------- ----------- ----------- ------------ ------------ Net realized and unrealized gains (losses) on securities, futures, written options, short sales and foreign currencies.......... 2,502 (5,942,810) (3,127,108) 5,635,392 56,865,645 417,378,892 194,090,789 ----------- ----------- ----------- ----------- ----------- ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS... $ 9,982,227 $11,216,471 $ 6,323,166 $50,264,119 $65,464,957 $451,878,389 $203,300,634 =========== =========== =========== =========== =========== ============ ============
See notes to financial statements. 42
EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY BOND ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- $ 183,742 $ 35,327 $ 17,669 $ 11,410 $ 154,335 $ 13,598 $ 15,776 $22,567,878 104,146 18,134 18,610 6,900 420,624 16,452 121,670 -- 14,853,365 1,365,389 393,135 1,080,814 8,215,955 307,253 1,197,881 332,864 (97,359) (5,095) (949) -- (5,068) (2,157) -- -- ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- 15,043,894 1,413,755 428,465 1,099,124 8,785,846 335,146 1,335,327 22,900,742 ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- 9,484,312 746,553 692,964 420,493 8,542,212 398,170 3,211,358 1,300,488 334,744 72,321 61,079 44,758 384,532 49,947 91,544 104,322 47,154 26,013 25,914 18,745 52,683 18,681 29,764 29,652 9,887 755 488 685 60,926 605 2,937 1,880 6,922 152 157 204 5,136 182 1,576 1,160 ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- 9,883,019 845,794 780,602 484,885 9,045,489 467,585 3,337,179 1,437,502 -- (62,667) (56,338) (47,121) (120) (54,016) (24,963) (17,678) ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- 9,883,019 783,127 724,264 437,764 9,045,369 413,569 3,312,216 1,419,824 ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- 5,160,875 630,628 (295,799) 661,360 (259,523) (78,423) (1,976,889) 21,480,918 ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- (53,877,311) 16,382,379 7,924,068 3,460,669 93,446,698 3,962,414 28,566,283 14,222,810 -- -- -- -- 1,993,411 -- -- -- (448,279) 12 -- -- -- -- -- -- 409,432,264 26,563,475 16,015,678 16,155,804 300,788,244 12,202,135 56,018,993 23,379,451 -- -- -- -- 229,855 -- -- -- (253,185) -- -- -- -- -- -- -- ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- 354,853,489 42,945,866 23,939,746 19,616,473 396,458,208 16,164,549 84,585,276 37,602,261 ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- $360,014,364 $43,576,494 $23,643,947 $20,277,833 $396,198,685 $16,086,126 $82,608,387 $59,083,179 ============ =========== =========== =========== ============ =========== =========== =========== INTERNATIONAL EQUITY ------------- $ 100,659 329,719 17,311,664 (1,974,565) ------------ 15,767,477 ------------ 5,969,766 872,690 41,738 5,907 3,642 ------------ 6,893,743 -- ------------ 6,893,743 ------------ 8,873,734 ------------ (29,216,895) -- 4,292,233 279,190,953 -- (2,877,612) ------------ 251,388,679 ------------ $260,262,413 ============
43 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2003
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & MARKET BOND BOND BOND BALANCED INCOME --------------- ------------- ------------- -------------- ------------ -------------- FROM OPERATIONS: Net investment income (loss)................... $ 9,979,725 $ 17,159,281 $ 9,450,274 $ 44,628,727 $ 8,599,312 $ 34,499,497 Net realized gains (losses) on securities... 2,502 1,053,699 9,090,837 33,834,691 (2,378,526) (14,947,882) Net realized gains (losses) on futures, written options and short sales.................... -- -- -- (7,377,329) (381,773) -- Net realized gains (losses) on foreign currency transactions.... -- -- -- (9,734,134) (1,376,703) -- Net change in unrealized appreciation (depreciation) on securities............... -- (6,996,509) (12,217,945) (7,048,140) 61,359,689 432,326,774 Net change in unrealized appreciation on futures, written options and short sales.................... -- -- -- 4,245,398 320,215 -- Net change in unrealized depreciation on translation of assets and liabilities in foreign currencies............... -- -- -- (8,285,094) (677,257) -- --------------- ------------- ------------- -------------- ------------ -------------- Net increase in net assets resulting from operations............... 9,982,227 11,216,471 6,323,166 50,264,119 65,464,957 451,878,389 --------------- ------------- ------------- -------------- ------------ -------------- FROM CAPITAL TRANSACTIONS: Proceeds from capital invested................. 4,895,275,949 443,551,095 136,326,640 1,006,604,253 87,161,756 787,647,945 Value of capital withdrawn................ (4,970,458,524) (271,034,250) (235,135,208) (587,705,969) (94,286,493) (594,600,404) --------------- ------------- ------------- -------------- ------------ -------------- Net increase (decrease) in net assets resulting from capital transactions..... (75,182,575) 172,516,845 (98,808,568) 418,898,284 (7,124,737) 193,047,541 --------------- ------------- ------------- -------------- ------------ -------------- Net increase (decrease) in net assets............... (65,200,348) 183,733,316 (92,485,402) 469,162,403 58,340,220 644,925,930 NET ASSETS: Beginning of year......... 864,772,946 439,015,018 358,005,390 999,624,604 375,745,612 1,553,159,805 --------------- ------------- ------------- -------------- ------------ -------------- End of year............... $ 799,572,598 $ 622,748,334 $ 265,519,988 $1,468,787,007 $434,085,832 $2,198,085,735 =============== ============= ============= ============== ============ ============== GROWTH & INCOME -------------- FROM OPERATIONS: Net investment income (loss)................... $ 9,209,845 Net realized gains (losses) on securities... (18,757,982) Net realized gains (losses) on futures, written options and short sales.................... 393,990 Net realized gains (losses) on foreign currency transactions.... -- Net change in unrealized appreciation (depreciation) on securities............... 212,270,922 Net change in unrealized appreciation on futures, written options and short sales.................... 183,859 Net change in unrealized depreciation on translation of assets and liabilities in foreign currencies............... -- -------------- Net increase in net assets resulting from operations............... 203,300,634 -------------- FROM CAPITAL TRANSACTIONS: Proceeds from capital invested................. 426,163,342 Value of capital withdrawn................ (365,696,147) -------------- Net increase (decrease) in net assets resulting from capital transactions..... 60,467,195 -------------- Net increase (decrease) in net assets............... 263,767,829 NET ASSETS: Beginning of year......... 799,621,503 -------------- End of year............... $1,063,389,332 ==============
See notes to financial statements. 44
EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY BOND -------------- ------------ ------------ ------------ -------------- ----------- ------------ ------------ $ 5,160,875 $ 630,628 $ (295,799) $ 661,360 $ (259,523) $ (78,423) $ (1,976,889) $ 21,480,918 (53,877,311) 16,382,379 7,924,068 3,460,669 93,446,698 3,962,414 28,566,283 14,222,810 -- -- -- -- 1,993,411 -- -- -- (448,279) 12 -- -- -- -- -- -- 409,432,264 26,563,475 16,015,678 16,155,804 300,788,244 12,202,135 56,018,993 23,379,451 -- -- -- -- 229,855 -- -- -- (253,185) -- -- -- -- -- -- -- -------------- ------------ ------------ ------------ -------------- ----------- ------------ ------------ 360,014,364 43,576,494 23,643,947 20,277,833 396,198,685 16,086,126 82,608,387 59,083,179 -------------- ------------ ------------ ------------ -------------- ----------- ------------ ------------ 842,583,806 152,858,411 117,035,920 74,205,600 619,304,338 60,627,113 219,225,766 164,492,103 (373,850,553) (27,871,166) (19,202,750) (11,516,201) (750,860,756) (9,645,051) (242,800,742) (148,960,043) -------------- ------------ ------------ ------------ -------------- ----------- ------------ ------------ 468,733,253 124,987,245 97,833,170 62,689,399 (131,556,418) 50,982,062 (23,574,976) 15,532,060 -------------- ------------ ------------ ------------ -------------- ----------- ------------ ------------ 828,747,617 168,563,739 121,477,117 82,967,232 264,642,267 67,068,188 59,033,411 74,615,239 1,146,889,083 47,629,380 44,270,757 17,920,226 1,005,958,858 16,521,455 312,299,599 208,085,535 -------------- ------------ ------------ ------------ -------------- ----------- ------------ ------------ $1,975,636,700 $216,193,119 $165,747,874 $100,887,458 $1,270,601,125 $83,589,643 $371,333,010 $282,700,774 ============== ============ ============ ============ ============== =========== ============ ============ INTERNATIONAL EQUITY -------------- $ 8,873,734 (29,216,895) -- 4,292,233 279,190,953 -- (2,877,612) -------------- 260,262,413 -------------- 1,663,422,826 (1,531,539,691) -------------- 131,883,135 -------------- 392,145,548 656,888,348 -------------- $1,049,033,896 ==============
45 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2002
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & MARKET BOND BOND BOND BALANCED INCOME --------------- ------------- ------------ ------------- ------------- -------------- FROM OPERATIONS: Net investment income (loss).................... $ 13,605,046 $ 16,268,846 $ 12,019,762 $ 43,145,000 $ 11,093,817 $ 32,404,566 Net realized gains (losses) on securities............. 17,391 1,328,948 3,260,207 29,137,981 (32,851,562) (49,366,130) Net realized losses on futures, written options and short sales........... -- -- -- (12,591,733) (1,438,214) -- Net realized gains (losses) on foreign currency transactions.............. -- -- -- 3,328 (16,980) -- Net change in unrealized appreciation (depreciation) on securities................ -- 4,727,239 9,226,645 27,277,439 (20,750,290) (255,253,221) Net change in unrealized depreciation on futures... -- -- -- (5,691,788) (596,810) -- Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies................ -- -- -- (744,806) (194,408) -- --------------- ------------- ------------ ------------- ------------- -------------- Net increase (decrease) in net assets resulting from operations................ 13,622,437 22,325,033 24,506,614 80,535,421 (44,754,447) (272,214,785) --------------- ------------- ------------ ------------- ------------- -------------- FROM CAPITAL TRANSACTIONS: Proceeds from capital invested.................. 4,912,006,709 316,504,911 169,225,450 587,510,246 98,930,216 821,338,693 Value of capital withdrawn................. (4,765,433,391) (230,317,882) (96,521,791) (429,894,202) (176,266,754) (649,666,149) --------------- ------------- ------------ ------------- ------------- -------------- Net increase (decrease) in net assets resulting from capital transactions...... 146,573,318 86,187,029 72,703,659 157,616,044 (77,336,538) 171,672,544 --------------- ------------- ------------ ------------- ------------- -------------- Net increase (decrease) in net assets................ 160,195,755 108,512,062 97,210,273 238,151,465 (122,090,985) (100,542,241) NET ASSETS: Beginning of year.......... 704,577,191 330,502,956 260,795,117 761,473,139 497,836,597 1,653,702,046 --------------- ------------- ------------ ------------- ------------- -------------- End of year................ $ 864,772,946 $ 439,015,018 $358,005,390 $ 999,624,604 $ 375,745,612 $1,553,159,805 =============== ============= ============ ============= ============= ============== GROWTH & INCOME ------------- FROM OPERATIONS: Net investment income (loss).................... $ 6,917,502 Net realized gains (losses) on securities............. (158,046,430) Net realized losses on futures, written options and short sales........... (827,873) Net realized gains (losses) on foreign currency transactions.............. -- Net change in unrealized appreciation (depreciation) on securities................ (77,626,470) Net change in unrealized depreciation on futures... (153,731) Net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies................ -- ------------- Net increase (decrease) in net assets resulting from operations................ (229,737,002) ------------- FROM CAPITAL TRANSACTIONS: Proceeds from capital invested.................. 463,944,648 Value of capital withdrawn................. (403,351,910) ------------- Net increase (decrease) in net assets resulting from capital transactions...... 60,592,738 ------------- Net increase (decrease) in net assets................ (169,144,264) NET ASSETS: Beginning of year.......... 968,765,767 ------------- End of year................ $ 799,621,503 =============
--------------- (1) Commencement of Operations, April 15, 2002. See notes to financial statements. 46
EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD GROWTH VALUE GROWTH VALUE(1) EQUITY GROWTH(1) EQUITY BOND -------------- ------------ ------------ ----------- --------------- ----------- ------------- ------------ $ 2,771,887 $ 165,808 $ (157,349) $ 30,765 $ 576,113 $ (39,083) $ (2,002,779) $ 18,084,908 (203,992,761) (2,203,548) (8,542,151) (635,185) (121,857,230) (1,198,826) (86,973,699) (8,656,105) -- -- -- -- (1,145,022) -- -- -- 4,214 -- -- -- (3,662) -- -- -- (133,263,844) (2,836,730) (272,411) (808,101) (202,240,665) 1,008,329 (18,621,085) (5,025,540) -- -- -- -- (478,227) -- -- -- 428 -- -- -- -- -- -- -- -------------- ------------ ------------ ----------- --------------- ----------- ------------- ------------ (334,480,076) (4,874,470) (8,971,911) (1,412,521) (325,148,693) (229,580) (107,597,563) 4,403,263 -------------- ------------ ------------ ----------- --------------- ----------- ------------- ------------ 724,003,183 54,535,136 61,442,314 20,836,788 1,257,299,651 18,976,732 285,800,072 88,710,848 (473,578,357) (15,663,580) (23,762,594) (1,504,041) (1,249,415,940) (2,225,697) (238,482,043) (59,048,041) -------------- ------------ ------------ ----------- --------------- ----------- ------------- ------------ 250,424,826 38,871,556 37,679,720 19,332,747 7,883,711 16,751,035 47,318,029 29,662,807 -------------- ------------ ------------ ----------- --------------- ----------- ------------- ------------ (84,055,250) 33,997,086 28,707,809 17,920,226 (317,264,982) 16,521,455 (60,279,534) 34,066,070 1,230,944,333 13,632,294 15,562,948 -- 1,323,223,840 -- 372,579,133 174,019,465 -------------- ------------ ------------ ----------- --------------- ----------- ------------- ------------ $1,146,889,083 $ 47,629,380 $ 44,270,757 $17,920,226 $ 1,005,958,858 $16,521,455 $ 312,299,599 $208,085,535 ============== ============ ============ =========== =============== =========== ============= ============ INTERNATIONAL EQUITY --------------- $ 5,546,189 (47,748,953) -- 8,106,486 (68,130,187) -- (2,378,692) --------------- (104,605,157) --------------- 2,216,447,729 (2,087,842,949) --------------- 128,604,780 --------------- 23,999,623 632,888,725 --------------- $ 656,888,348 ===============
47 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ COMMERCIAL PAPER -- 33.8% $ 2,699,000 CIT Group, Inc., 1.06%, 03/23/04.............. $ 2,692,483 17,900,000 Countrywide Home Loan, 1.11%, 01/09/04.............. 17,895,585 6,930,000 DaimlerChrysler, 1.37%, 01/16/04.............. 6,926,044 4,434,000 Dexia Delaware LLC, 1.08%, 01/14/04.............. 4,432,271 469,000 Edison Asset Securitization LLC -- 144A, 1.09%, 01/05/04.............. 468,943 9,395,000 Golden Funding Corp. -- 144A, 1.10%, 01/20/04.............. 9,389,546 8,033,000 Household Finance Corp., 1.10%, 01/09/04.............. 8,031,036 3,000,000 Kellogg Company -- 144A, 1.18%, 01/15/04.............. 2,998,623 1,300,000 Lloyds Bank PLC, 1.10%, 01/22/04.............. 1,299,166 28,147,000 Lockhart Funding LLC -- 144A, 1.19%, 02/02/04.............. 28,117,226 19,375,000 Marsh & McLennan Companies, Inc. -- 144A, 1.07%, 01/12/04.............. 19,368,666 24,090,000 National Rural Utilities Cooperative Finance Corp., 1.09%, 01/29/04.............. 24,069,671 11,250,000 Nestle Capital Corp., 1.07%, 01/21/04.............. 11,243,313 30,000,000 Province of Quebec, 1.07%, 01/26/04.............. 29,977,708 10,240,000 Starfish Global Funding LLC -- 144A, 1.10%, 01/14/04.............. 10,235,932 11,646,000 Starfish Global Funding LLC -- 144A, 1.12%, 02/23/04.............. 11,626,797 13,300,000 Three Pillars Funding Company -- 144A, 1.10%, 01/02/04.............. 13,299,594 16,121,000 Three Pillars Funding Company -- 144A, 1.10%, 01/12/04.............. 16,115,582 34,275,000 Thunder Bay Funding, Inc. -- 144A, 1.10%, 01/09/04.............. 34,266,622 17,798,000 Toronto Dominion Holdings, 1.08%, 01/23/04.............. 17,786,253 ------------ TOTAL COMMERCIAL PAPER (Cost $270,241,061)................ 270,241,061 ------------
PRINCIPAL VALUE --------- ------------ DOMESTIC CERTIFICATES OF DEPOSIT -- 6.0% $22,500,000 Tannehill Capital Company LLC -- 144A, Variable Rate, 1.14%(**), 01/23/04.......... $ 22,499,863 25,500,000 Wells Fargo Bank N.A., 1.08%, 01/09/04.............. 25,500,000 ------------ TOTAL DOMESTIC CERTIFICATES OF DEPOSIT (Cost $47,999,863)... 47,999,863 ------------ DOMESTIC EURODOLLAR CERTIFICATES OF DEPOSIT -- 6.3% 30,000,000 Barclays Bank PLC, 1.10%, 01/09/04.............. 30,000,033 20,000,000 HBOS Treasury Services PLC, 1.12%, 03/19/04.............. 20,000,000 ------------ TOTAL DOMESTIC EURODOLLAR CERTIFICATES OF DEPOSIT (Cost $50,000,033)................. 50,000,033 ------------ FOREIGN CERTIFICATE OF DEPOSIT -- 1.9% 15,000,000 Canadian Imperial Bank, 1.46%, 11/17/04 (Cost $14,998,705)................. 14,998,705 ------------ MEDIUM TERM CORPORATE NOTES -- 2.7% 13,000,000 Caterpillar Financial Service Corp., Floating Rate, 1.25%(**), 07/09/04.......... 13,000,000 9,000,000 Goldman Sachs Group, Inc. Floating Rate, 1.40%(**), 04/13/04.......... 9,000,000 ------------ TOTAL MEDIUM TERM CORPORATE NOTES (Cost $22,000,000)..... 22,000,000 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 15.7% FANNIE MAE -- 12.1% 16,500,000 6.50%, 08/15/04................ 17,015,293 21,100,000 1.25%, 08/30/04................ 21,100,000 23,600,000 1.30%, 08/30/04................ 23,581,834 21,100,000 1.60%, 12/29/04................ 21,100,000 14,100,000 Floating Rate, 1.09%(**), 06/09/05.......... 14,094,661 ------------ 96,891,788 ------------ FEDERAL HOME LOAN BANK -- 0.1% 947,000 1.06%, 02/04/04................ 946,052 ------------
See notes to financial statements. 48 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC -- 3.5% $14,100,000 1.40%, 10/03/04................ $ 14,100,000 14,100,000 Floating Rate, 1.11%(**), 10/07/05.......... 14,100,000 ------------ 28,200,000 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $126,037,840)................ 126,037,840 ------------ SHORT TERM CORPORATE NOTES -- 33.4% 8,000,000 American Express Credit Company, Floating Rate, 1.12%(**), 03/05/04.......... 8,000,000 22,000,000 American Express Credit Company, Floating Rate, 1.12%(**), 05/13/04.......... 22,000,000 18,300,000 Bank Of America Corp., Floating Rate, 1.26%(**), 07/02/04.......... 18,305,490 10,000,000 Bayerische Landesbank Girozentrale, Floating Rate, 1.17%(**), 03/08/04.......... 10,000,482 5,000,000 Coca-Cola Enterprises, Inc., Floating Rate, 1.41%(**), 04/26/04.......... 5,004,019 25,000,000 Credit Suisse First Boston USA, Inc., Floating Rate, 1.16%(**), 01/21/04.......... 25,000,000 14,300,000 First USA Bank, Floating Rate, 1.33%(**), 02/10/04.......... 14,303,634 24,000,000 FleetBoston Financial Corp., Floating Rate, 1.45%(**), 02/20/04.......... 24,006,736 10,300,000 General Electric Capital Corp., Inc., Floating Rate, 1.23%(**), 02/17/04.......... 10,300,000 18,000,000 Goldman Sachs Group, Inc. Floating Rate, 1.24%(**), 05/03/04.......... 18,000,000 12,000,000 International Lease Finance Corp., Floating Rate, 1.22%(**), 04/08/04.......... 12,000,000 12,500,000 International Lease Finance Corp., 5.35%, 05/03/04.............. 12,654,140
PRINCIPAL VALUE --------- ------------ SHORT TERM CORPORATE NOTES (CONTINUED) $ 8,750,000 Keybank N.A., Floating Rate, 1.35%(**), 01/26/04.......... $ 8,751,136 14,000,000 Merrill Lynch & Company, Floating Rate, 1.25%(**), 03/11/04.......... 14,000,000 15,000,000 National Rural Utilities Corp., Floating Rate, 1.32%(**), 03/10/04.......... 15,000,000 25,000,000 Paccar Financial Corp., Floating Rate, 1.23%(**), 03/04/04.......... 25,004,110 9,500,000 SBS Communications, Inc. -- 144A, 4.18%, 06/05/04.............. 9,618,277 15,000,000 SLM Corp. -- 144A, Floating Rate, 1.17%(**), 05/28/04.......... 14,997,040 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $266,945,064).... 266,945,064 ------------ TOTAL SECURITIES (Cost $798,222,566)................ 798,222,566 ------------ REPURCHASE AGREEMENT -- 0.0% 774 With Investors Bank & Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $774 (Collateralized by Small Business Administration, 4.63%, due 10/25/22, with a value of $812) (Cost $774)... 774 ------------ Total Investments -- 99.8% (Cost $798,223,340).......... 798,223,340 Other assets less liabilities -- 0.2% 1,349,258 ------------ NET ASSETS -- 100.0%........... $799,572,598 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $798,223,340. --------------- ** Variable rate security. The rate shown was in effect at December 31, 2003. See notes to financial statements. 49 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 73.8% BANKS -- 17.4% $1,520,000 Abbey National First Capital, 8.20%, 10/15/04............... $ 1,598,307 1,000,000 Abbey National PLC, Series EMTN, 6.69%, 10/17/05............... 1,081,965 6,490,000 ABN AMRO Bank NV, 7.25%, 05/31/05............... 6,983,434 3,000,000 Bank of America Corp., 7.75%, 08/15/04............... 3,113,433 1,000,000 Bank of America Corp., 6.20%, 02/15/06............... 1,081,846 2,000,000 Bank of America Corp., 5.25%, 02/01/07............... 2,140,450 1,000,000 Bank of America Corp., 6.63%, 10/15/07............... 1,115,834 1,500,000 Bank of America Corp., Series MTN1, Floating Rate, 1.42%(a), 08/26/05............ 1,505,181 4,100,000 Bank of Montreal -- Chicago, 6.10%, 09/15/05............... 4,362,740 3,000,000 Bank of Montreal -- Chicago, 7.80%, 04/01/07............... 3,411,408 3,000,000 Bank One Corp., 7.63%, 08/01/05............... 3,266,421 1,000,000 Bayerische Landesbank, 4.13%, 01/14/05............... 1,024,458 4,000,000 Bayersiche Landesbank, Series MTN, 2.50%, 03/30/06............... 4,051,984 2,000,000 Citigroup Global Markets, Series MTNA, Floating Rate, 1.28%(b), 12/12/06............ 2,000,142 2,500,000 Deutsche Bank Financial, 6.70%, 12/13/06............... 2,781,655 7,000,000 Fifth Third Bank, 6.75%, 07/15/05............... 7,522,290 2,280,000 HSBC Bank PLC, 8.63%, 12/15/04............... 2,426,948 500,000 Inter-American Development Bank, 8.40%, 09/01/09............... 619,852 5,000,000 KFW International Finance, Series DTC, 5.25%, 06/28/06............... 5,398,155 2,000,000 KFW International Finance, Series DTC, 4.75%, 01/24/07(c)............ 2,147,016 5,000,000 LB Baden -- Wuerttemberg, 7.88%, 04/15/04............... 5,096,615 1,500,000 National Bank of Canada, Series B, 8.13%, 08/15/04............... 1,562,573
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $1,000,000 National Westminster Bank, 7.38%, 10/01/09............... $ 1,171,178 5,000,000 RBSG Capital Corp., 10.13%, 03/01/04.............. 5,065,190 4,000,000 SunTrust Banks, Inc., Series BKNT, Floating Rate, 1.15%(b), 10/03/05............ 4,001,504 3,000,000 Svenska Handelsbanken, 8.13%, 08/15/07............... 3,485,679 3,000,000 Swiss Bank Corp., 7.25%, 09/01/06............... 3,356,301 1,500,000 U.S. Bancorp, 7.63%, 05/01/05............... 1,614,770 3,000,000 U.S. Bancorp, Series MTNN, Floating Rate, 1.32%(a), 09/16/05............ 3,004,560 2,145,000 U.S. Bank NA Minnesota, Series BKNT, 7.30%, 08/15/05............... 2,325,431 3,500,000 U.S. Central Credit Union, 2.75%, 05/30/08............... 3,383,902 3,000,000 US Bank N.A., Floating Rate, 1.17%(b), 12/05/05............ 3,001,569 6,000,000 Wachovia Corp., 7.55%, 08/18/05............... 6,543,348 2,000,000 Wells Fargo & Company, Floating Rate, 1.26%(a), 06/12/06............ 2,003,726 4,000,000 Wells Fargo & Company, Floating Rate, 1.26%(a), 09/15/06............ 4,005,264 1,000,000 Wells Fargo & Company, Series MTNH, 6.75%, 10/01/06............... 1,108,566 ------------ 108,363,695 ------------ BUSINESS SERVICES -- 0.4% 2,500,000 First Data Corp., 6.75%, 07/15/05............... 2,688,230 ------------ FINANCIAL SERVICES -- 8.1% 4,000,000 Associates Corp. N.A., Series MTNH, 7.63%, 04/27/05............... 4,315,536 3,000,000 Bear Stearns Companies, Inc., Floating Rate, 1.70%(a), 07/15/05............ 3,022,044 5,000,000 Bear Stearns Companies, Inc., Series MTNB, Floating Rate, 1.42%(a), 06/19/06............ 5,017,370 1,000,000 Citigroup, Inc., 3.50%, 02/01/08............... 1,004,693
See notes to financial statements. 50 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $2,500,000 Citigroup, Inc., Floating Rate, 1.30%(a), 05/19/06............ $ 2,506,090 1,000,000 General Electric Capital Corp., Series MTNA, 8.70%, 03/01/07............... 1,171,167 8,000,000 Heller Financial, Inc., 8.00%, 06/15/05............... 8,728,496 1,000,000 Heller Financial, Inc., 6.38%, 03/15/06............... 1,091,405 2,000,000 Lehman Brothers Holdings, Inc., 6.25%, 05/15/06............... 2,174,002 3,000,000 Lehman Brothers Holdings, Inc., 8.25%, 06/15/07............... 3,499,533 2,000,000 Morgan Stanley, 7.75%, 06/15/05............... 2,171,562 2,500,000 Morgan Stanley, 6.10%, 04/15/06............... 2,706,748 3,000,000 Morgan Stanley, Series MTNE, Floating Rate, 1.45%(a), 03/27/06............ 3,011,511 2,500,000 Toyota Motor Credit Corp., Series MTN, Floating Rate, 1.23%(b), 09/09/05............ 2,502,890 5,000,000 Wells Fargo Financial, 6.75%, 06/01/05............... 5,347,720 2,000,000 Wells Fargo Financial, 6.13%, 02/15/06............... 2,157,592 ------------ 50,428,359 ------------ FOOD AND BEVERAGE -- 0.9% 1,000,000 General Mills, Inc., 5.13%, 02/15/07............... 1,063,021 2,000,000 General Mills, Inc., 3.88%, 11/30/07............... 2,027,098 2,430,000 Ralcorp Holdings, Inc., 8.75%, 09/15/04............... 2,544,672 ------------ 5,634,791 ------------ LEISURE AND RECREATION -- 0.5% 3,145,000 International Game Technology, 7.88%, 05/15/04............... 3,210,856 ------------ MACHINERY -- 0.2% 1,500,000 Ingersoll-Rand Company, 5.80%, 06/01/04............... 1,526,843 ------------ OIL, COAL AND GAS -- 1.0% 1,000,000 Conoco, Inc., 5.90%, 04/15/04............... 1,012,854
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $4,760,000 Tosco Corp., 7.25%, 01/01/07............... $ 5,337,069 ------------ 6,349,923 ------------ PHARMACEUTICALS -- 1.3% 3,000,000 Abbott Laboratories, 5.63%, 07/01/06............... 3,237,801 4,000,000 Merck & Company, Inc., 5.25%, 07/01/06(c)............ 4,278,036 767,127 Upjohn Company, Series A, 9.79%, 02/01/04............... 771,149 ------------ 8,286,986 ------------ PRIVATE ASSET BACKED: AUTOMOBILES -- 6.4% 5,000,000 Capital One Auto Finance Trust, Series 2001-A, Class A4, 5.40%, 05/15/08............... 5,214,880 2,000,000 Capital One Auto Finance Trust, Series 2003-A , Class A3A, 1.83%, 10/15/07............... 1,996,944 3,250,000 Onyx Acceptance Auto Trust, Series 2002-D, Class A4, 3.10%, 07/15/09............... 3,299,181 3,965,934 Provident Auto Lease ABS Trust, Series 1999-1, Class A2, 7.03%, 01/14/12............... 4,151,738 876,821 Ryder Vehicle Lease Trust, Series 2001-A, Class A4, 5.81%, 08/15/06............... 894,726 4,000,000 SSB Auto Loan Trust, Series 2002-1, Class A3, 2.37%, 09/15/06............... 4,037,157 4,250,000 Susquehanna Auto Lease Trust, Series 2003-1, Class A3, 2.46%, 01/14/07............... 4,280,606 8,000,000 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.27%, 10/22/07............... 8,021,610 4,725,000 Whole Auto Loan Trust, Series 2002-1, Class A3, 2.60%, 08/15/06............... 4,781,372 3,000,000 Whole Auto Loan Trust, Series 2003-1, Class A3B, 1.99%, 05/15/07............... 3,000,837 ------------ 39,679,051 ------------ PRIVATE ASSET BACKED: BANKS -- 0.3% 2,000,000 HBOS Treasury Services PLC -- 144A, 3.75%, 09/30/08............... 2,003,788 ------------
See notes to financial statements. 51 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: CREDIT CARDS -- 5.5% $5,000,000 Citibank Credit Card Issuance Trust, Series 2000-A3, Class A3, 6.88%, 11/16/09............... $ 5,699,775 2,000,000 Citibank Credit Card Issuance Trust, Series 2003-A6, Class A6, 2.90%, 05/17/10............... 1,958,036 5,375,000 Citibank Omni-S Master Trust, Series 2000-2, Class A, 6.75%, 09/16/09............... 5,785,195 5,250,000 Fleet Credit Card Master Trust II, Series 2001-C, Class A, 3.86%, 03/15/07............... 5,345,093 1,700,000 Household Private Label Credit Card Master Note Trust, Series 2002-2, Class A, Floating Rate, 1.33%(a), 01/18/11............ 1,704,319 4,818,000 MBNA Master Credit Card Trust, Series 1999-M, Class A, 6.60%, 04/16/07............... 5,039,231 5,000,000 Nordstrom Private Label Credit Card, Series 2001-1A, Class A, 4.82%, 04/15/10............... 5,266,119 487,083 Sears Credit Account Master Trust, Series 1996-3, Class A, 7.00%, 07/15/08............... 495,558 2,570,000 Standard Credit Card Master Trust, Series 1994-2, Class A, 7.25%, 04/07/08............... 2,852,803 ------------ 34,146,129 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 8.4% 782,828 Caterpillar Financial Asset Trust, Series 2001-A, Class A3, 4.85%, 04/25/07............... 793,563 3,040,681 Caterpillar Financial Asset Trust, Series 2002-A , Class A3, 3.15%, 02/25/08............... 3,076,690 3,000,000 Caterpillar Financial Asset Trust, Series 2003-A , Class A3, 1.66%, 12/26/07............... 2,986,164 4,700,890 Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18............... 4,697,282 675,999 Copelco Capital Funding Corp., Series 1999-B, Class A4, 6.90%, 12/18/04............... 678,441 2,750,000 Distribution Financial Services Trust, Series 2001-1, Class A4, 5.67%, 01/17/17............... 2,837,996 3,000,000 First National Master Note Trust, Series 2003-1, Class A, Floating Rate, 1.26%(b), 08/15/08............ 3,008,436
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES (CONTINUED) $2,000,000 Franklin Auto Trust, Series 2003-1, Class A4, 2.27%, 05/20/11............... $ 1,975,796 1,853,863 Interstar Millennium Trust, Series 2003-3G, Class A2, Floating Rate, 1.42%(b), 09/27/35............ 1,856,180 3,000,000 Marshall & Isley Auto Loan Trust, Series 2002-1, Class A3, 2.49%, 10/22/07............... 3,027,935 1,931,429 Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41............... 1,946,062 841,818 Morgan Stanley Capital, Series 1999-RM1, Class A1, 6.37%, 12/15/31............... 904,800 1,550,000 Morgan Stanley Dean Witter Capital I, Series 2001-IQA, Class A2, 5.33%, 12/18/32............... 1,656,355 378,228 Morgan Stanley Dean Witter Capital I, Series 2002-HQ, Class A1, 4.59%, 04/15/34............... 391,931 1,964,224 Morgan Stanley Dean Witter Capital I, Series 2002-IQ2, Class A1, 4.09%, 12/15/35............... 2,021,313 1,302,061 Morgan Stanley Dean Witter Capital, Series 2001-TOP3, Class A1, 5.31%, 07/15/33............... 1,362,898 761,254 Nations Credit Grantor Trust, Series 1997, Class A, 6.75%, 08/15/13............... 800,843 4,000,000 Navistar Financial Corp. Owner Trust, Series 2001-B, Class A4, 4.37%, 11/17/08............... 4,104,039 3,000,000 Nelnet Student Loan Trust, Series 2002-2, Class A3, Floating Rate, 1.24%(a), 09/25/13............ 2,989,246 2,150,000 PSE&G Transition Funding LLC, Series 2001-1, Class A3, 5.98%, 06/15/08............... 2,304,077 3,550,000 PSE&G Transition Funding LLC, Series 2001-1, Class A5, 6.45%, 03/15/13............... 4,019,838
See notes to financial statements. 52 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES (CONTINUED) $4,609,134 Public Service New Hampshire Funding, LLC, Series 2001-1, Class A2, 5.73%, 11/01/10............... $ 4,967,758 ------------ 52,407,643 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 6.8% 719,300 Bank Boston Home Equity Loan Trust, Series 1998-1, Class A4, 6.42%, 01/25/21............... 731,679 1,601,067 Bear Stearns Commercial Mortgage Securities, Inc., Series 1998-C1, Class A1, 6.34%, 06/16/30............... 1,719,132 1,198,777 Bear Stearns Commercial Mortgage Securities, Inc., Series 1999-C1, Class A1, 5.91%, 02/14/31............... 1,282,918 1,795,688 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16............... 1,891,128 970,865 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35............... 980,015 3,000,000 Contimortgage Home Equity Loan Trust, Series 1998-2, Class A7, 6.57%, 03/15/23............... 3,057,031 1,324,070 Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CF2, Class A1, 5.26%, 02/15/34............... 1,356,879 4,696,556 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A1, 2.08%, 05/15/38............... 4,614,657 781,006 DLJ Commercial Mortgage Corp., Series 1998-CG1, Class A1A, 6.11%, 06/10/31............... 804,569 398,001 EQCC Home Equity Loan Trust, Series 1998-1, Class A6F, 6.25%, 12/15/07............... 404,344 1,347,872 General Electric Capital Commercial Mortgage Corp., Series 2001-2, Class A1, 5.26%, 08/11/33............... 1,414,184 921,648 General Electric Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38............... 982,378
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 758,160 General Electric Capital Commercial Mortgage Corp., Series 2002-1, Class A1, 5.03%, 12/10/35............... $ 793,579 3,876,205 General Electric Capital Commercial Mortgage Corp., Series 2002-3A, Class A1, 4.23%, 12/10/37............... 3,944,569 1,413,888 IMC Home Equity Loan Trust, Series 1997-3, Class A7, 7.08%, 08/20/28............... 1,421,298 920,028 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34............... 936,877 2,357,367 LB-UBS Commercial Mortgage Trust, Series 2003-C3, Class A1, 2.60%, 05/15/27............... 2,332,414 1,364,739 Residential Asset Mortgage Products, Inc., Series 2002-RZ3, Class A2, 3.08%, 07/25/26............... 1,369,708 3,400,000 Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI4, 4.26%, 07/25/29............... 3,404,250 2,000,000 Residential Asset Mortgage Products, Inc., Series 2003-RZ1, Class AI2, 2.81%, 10/25/25............... 2,015,532 356,361 Residential Funding Mortgage Securities II, Series 2001-HI3, Class AI1, 6.63%, 07/25/26............... 365,085 480,180 Travelers Mortgage Securities Corp., Series 1, Class Z2, 12.00%, 03/01/14.............. 487,631 3,500,000 Vendee Mortgage Trust, Series 1996-1, Class 1K, 6.75%, 11/15/12............... 3,688,068 2,098,150 Wachovia Bank Commercial Mortgage Trust, Series 2003-4, Class A1, 3.00%, 04/15/35............... 2,104,182 ------------ 42,102,107 ------------ PRIVATE ASSET BACKED: OTHER -- 8.6% 2,000,000 Asset Securitization Corp., Series 1997-D4, Class A1C, 7.42%, 04/14/29............... 2,086,719
See notes to financial statements. 53 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: OTHER (CONTINUED) $4,220,013 Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33............... $ 4,130,669 4,672,000 California Infrastructure PG&E Corp., Series 1997-1, Class A8, 6.48%, 12/26/09............... 5,194,054 4,891,133 California Infrastructure, Series 1997-1, Class A6, 6.38%, 09/25/08............... 5,215,336 4,049,332 CIT Equipment Collateral, Series 2002-VT1, Class A3, 4.03%, 01/20/06............... 4,114,144 2,500,000 CIT Equipment Collateral, Series 2003-VT1, Class A3B, 1.63%, 04/20/07............... 2,486,746 3,000,000 CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13............... 3,116,082 5,000,000 CNH Equipment Trust, Series 2003-A, Class A3B, 1.89%, 07/16/07............... 4,996,012 2,000,000 CNH Wholesale Master Note Trust, Series 2003-1, Class A, 1.36%, 08/15/08............... 1,999,280 6,665,000 Connecticut RRB Special Purpose Trust CL&P, Series 2001-1, Class A3, 5.73%, 03/30/09............... 7,172,057 483,739 Household Automotive Trust, Series 2001-2, Class A3, 4.83%, 03/17/06............... 488,105 3,465,106 Household Automotive Trust, Series 2002-1, Class A3, 3.75%, 09/18/06............... 3,515,868 2,000,000 Household Automotive Trust, Series 2003-1, Class A3, 1.73%, 12/17/07............... 1,985,580 2,100,000 Illinois Power Special Purpose Trust, Series 1998-1, Class A6, 5.54%, 06/25/09............... 2,254,927 1,062,744 John Deere Owner Trust, Series 2001-A, Class A3, 3.26%, 10/17/05............... 1,070,868 3,656,237 PBG Equipment Trust, Series 1A, Class A, 6.27%, 01/20/12............... 3,814,073 ------------ 53,640,520 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: RECEIVABLES -- 3.1% $3,237,077 Alter Moneta Receivables, LLC, Series 2003-1, 2.56%, 03/15/11............... $ 3,237,483 343,879 Chevy Chase Auto Receivables Trust, Series 2001-2 , Class A3, 3.80%, 11/15/05............... 345,355 4,000,000 Chevy Chase Auto Receivables Trust, Series 2001-2, Class A4, 4.44%, 04/16/07............... 4,098,626 3,000,000 Hyundai Auto Receivables Trust, Series 2002-A, Class A3, 2.80%, 02/15/07............... 3,034,461 2,097,992 National City Auto Receivables Trust, Series 2002-A, Class A3, 4.04%, 07/15/06............... 2,124,938 4,000,000 Regions Auto Receivables Trust, Series 2003-2, Class A3, 2.31%, 01/15/08............... 4,011,250 2,280,020 World Omni Auto Receivables Trust, Series 2001-B, Class A3, 3.79%, 11/21/05............... 2,299,132 ------------ 19,151,245 ------------ PRIVATE ASSET BACKED: TRANSPORTATION -- 1.7% 2,294,486 Railcar Leasing, LLC, Series 1, Class A1, 6.75%, 07/15/06............... 2,429,838 5,000,000 Railcar Leasing, LLC, Series 1, Class A2, 7.13%, 01/15/13............... 5,576,600 2,437,338 Railcar Trust, Series 1992-1, Class A, 7.75%, 06/01/04............... 2,487,790 ------------ 10,494,228 ------------ PRIVATE ASSET BACKED: UTILITIES -- 1.2% 5,000,000 PECO Energy Transition Trust, Series 1999-A, Class A6, 6.05%, 03/01/09............... 5,423,431 2,000,000 PECO Energy Transition Trust, Series 2001-A, Class A1, 6.52%, 12/31/10............... 2,266,056 ------------ 7,689,487 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.0% 875,000 AvalonBay Communities, 6.63%, 01/15/05............... 917,177 3,000,000 AvalonBay Communities, Series MTN, 6.58%, 02/15/04............... 3,016,992 1,000,000 Equity Residential Properties, 7.50%, 04/15/04............... 1,015,841
See notes to financial statements. 54 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) $1,000,000 Kimco Realty Corp., Series MTNB, 7.62%, 10/20/04............... $ 1,047,623 ------------ 5,997,633 ------------ RETAIL: SUPERMARKETS -- 0.6% 3,500,000 Safeway, Inc., 2.50%, 11/01/05............... 3,467,632 ------------ UTILITIES: ELECTRIC -- 0.4% 2,500,000 Atlantic City Electric, Series AMBC, 6.67%, 03/23/05............... 2,655,553 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $457,579,124)........... 459,924,699 ------------ US TREASURY SECURITIES -- 5.3% US TREASURY NOTES 4,000,000 1.25%, 05/31/05................. 3,990,628 10,000,000 1.63%, 09/30/05(c).............. 9,999,220 9,000,000 1.63%, 10/31/05(c).............. 8,988,759 10,000,000 1.88%, 11/30/05(c).............. 10,021,880 ------------ TOTAL US TREASURY SECURITIES (Cost $32,919,489)............ 33,000,487 ------------ US GOVERNMENT AGENCY SECURITIES -- 10.3% FANNIE MAE -- 4.2% 2,394,649 PL# 254062, 6.00%, 10/01/11..... 2,518,680 4,986,805 PL# 254758, 4.50%, 06/01/13..... 5,084,671 2,612,045 PL# 254805, 5.00%, 06/01/13..... 2,698,061 1,380,900 PL# 323743, 5.00%, 04/01/14..... 1,412,530 1,024,810 PL# 429168, 6.00%, 05/01/13..... 1,077,715 983,374 PL# 50903, 6.00%, 09/01/08...... 1,035,772 1,216,307 PL# 50973, 6.00%, 01/01/09...... 1,281,116 949,851 PL# 517699, 6.00%, 07/01/14..... 998,466 3,292,923 PL# 545038, 6.00%, 09/01/14..... 3,462,404 5,056,187 PL# 555154, 5.50%, 12/01/22..... 5,173,613 1,171,232 PL# 609771, 6.00%, 09/01/08..... 1,230,453 ------------ 25,973,481 ------------ FEDERAL FARM CREDIT BANK -- 1.4% 8,500,000 2.50%, 11/15/05................. 8,595,829 ------------ FREDDIE MAC -- 1.1% 7,000,000 3.25%, 11/15/04................. 7,119,077 508 PL# 306816, 7.00%, 01/01/18..... 510 ------------ 7,119,587 ------------
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD -- 1.2% $ 12,214 PL# D06777, 7.50%, 03/01/08..... $ 12,957 408,486 PL# E00532, 6.50%, 02/01/13..... 432,973 688,622 PL# E00542, 6.50%, 04/01/13..... 729,803 1,544,415 PL# E00676, 5.50%, 06/01/14..... 1,606,337 2,248,601 PL# E89557, 5.50%, 04/01/17..... 2,333,005 2,260,309 PL# M90802, 4.00%, 03/01/08..... 2,302,046 ------------ 7,417,121 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.4% 2,565,598 PL# 436708, 5.75%, 12/15/22..... 2,670,270 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 2.0% 3,802,276 Fannie Mae, Series 1993-234, Class PC, 5.50%, 12/25/08............... 3,959,247 734,602 Fannie Mae, Series 2003-28, Class PA, 5.50%, 05/25/06............... 734,647 2,337,060 Freddie Mac, Series 2557, Class MA, 4.50%, 07/15/16............... 2,390,286 3,410,219 Freddie Mac, Series 2640, Class PA, 5.00%, 02/15/11............... 3,481,897 2,000,000 Freddie Mac, Series T-52, Class AF2, 3.63%, 11/25/32............... 2,024,127 ------------ 12,590,204 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $64,191,731)............ 64,366,492 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 4.9% 3,000,000 Hydro Quebec, Series MTNB, 7.00%, 04/12/05............... 3,200,067 5,000,000 Hydro Quebec, Series MTNB, 6.52%, 02/23/06............... 5,449,640 3,500,000 Province of British Columbia, 4.63%, 10/03/06............... 3,692,441 5,000,000 Province of Manitoba, 4.25%, 11/20/06............... 5,209,150 3,000,000 Province of Ontario, 7.00%, 08/04/05............... 3,233,667 4,000,000 Province of Ontario, 6.00%, 02/21/06............... 4,312,808 4,000,000 Republic of Italy, 7.25%, 02/07/05............... 4,239,564
See notes to financial statements. 55 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $1,000,000 Republic of Italy, 4.38%, 10/25/06............... $ 1,048,339 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $29,901,761).................. 30,385,676 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 5.0% FANNIE MAE -- 2.0% 600,534 1.06%, 01/02/04(d).............. 600,534 6,000,000 1.05%, 01/14/04................. 5,997,725 6,000,000 1.03%, 01/28/04................. 5,995,387 ------------ 12,593,646 ------------ FEDERAL HOME LOAN BANK -- 1.9% 6,000,000 1.02%, 01/21/04................. 5,996,617 6,000,000 1.04%, 02/27/04................. 5,990,167 ------------ 11,986,784 ------------ FREDDIE MAC -- 1.1% 301,555 1.06%, 01/27/04(d).............. 301,555 6,490,000 1.05%, 02/12/04................. 6,482,050 ------------ 6,783,605 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $31,364,035)............ 31,364,035 ------------ SHARES ------ REGULATED INVESTMENT COMPANIES -- 0.4% 1,055,441 American Aadvantage Select(d)... 1,055,441 326,742 Merrill Lynch Premier Institutional Fund(d)......... 326,742 904,664 Merrimac Cash Fund -- Premium Class(d).............. 904,664 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $2,286,847)............. 2,286,847 ------------ PRINCIPAL --------- SHORT TERM CORPORATE NOTES -- 1.3% $ 301,555 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(d)........ 301,555
PRINCIPAL VALUE --------- ------------ SHORT TERM CORPORATE NOTES (CONTINUED) $ 301,555 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(d)........ $ 301,555 753,887 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(d)........ 753,887 603,109 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(d)........ 603,109 753,887 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(d)........ 753,887 1,206,219 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(d)........ 1,206,219 1,960,106 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(d)........ 1,960,106 452,332 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(d)........ 452,332 1,507,773 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(d)........ 1,507,773 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $7,840,423)............. 7,840,423 ------------ TIME DEPOSITS -- 2.6% 2,763,312 Bank of Montreal, 1.06%, 01/15/04(d)............ 2,763,312 1,206,219 Bank of Montreal, 1.06%, 02/17/04(d)............ 1,206,219 1,507,773 Bank of Novia Scotia, 1.08%, 03/10/04(d)............ 1,507,773 904,664 Citigroup, Inc., 1.08%, 01/05/04(d)............ 904,664 452,332 Citigroup, Inc., 1.09%, 02/06/04(d)............ 452,332 904,664 Credit Agricole Indosuez, 0.98%, 01/02/04(d)............ 904,664 904,664 Credit Agricole Indosuez, 1.08%, 01/28/04(d)............ 904,664 1,206,219 Den Danske Bank, 1.08%, 01/20/04(d)............ 1,206,219
See notes to financial statements. 56 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS (CONTINUED) $1,507,773 Royal Bank of Canada, 1.05%, 02/27/04(d)............ $ 1,507,773 753,887 Royal Bank of Scotland, 1.08%, 01/09/04(d)............ 753,887 301,555 Royal Bank of Scotland, 1.08%, 01/15/04(d)............ 301,555 2,261,660 Royal Bank of Scotland, 1.08%, 01/20/04(d)............ 2,261,660 753,887 Svenska Handlesbanken, 1.08%, 02/04/04(d)............ 753,887 301,555 Toronto Dominion Bank, 1.10%, 01/08/04(d)............ 301,555 452,332 Wells Fargo Bank, N.A., 1.04%, 01/30/04(d)............ 452,332 ------------ TOTAL TIME DEPOSITS (Cost $16,182,496)............ 16,182,496 ------------ SHORT TERM COMMERCIAL PAPER -- 0.1% 329,108 General Electric Capital Corp., 1.09%, 01/09/04(d)............ 329,108 301,555 General Electric Capital Corp., 1.08%, 01/16/04(d)............ 301,555 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $630,663)......... 630,663 ------------ TOTAL SECURITIES (Cost $642,896,569)........... 645,981,818 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 0.6% $3,317,102 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $3,317,294 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $693,244, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $680,505, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $1,081,279, Morgan Stanley, 6.75%, due 04/15/11, with a value of $270,549, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $657,867)(d)......... $ 3,317,102 230,060 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $230,066 (Collateralized by Small Business Administration, rate 3.88%, due 07/25/26, with a value of $241,563)............ 230,060 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $3,547,162)............. 3,547,162 ------------ Total Investments -- 104.3% (Cost $646,443,731)........... 649,528,980 Liabilities less other assets -- (4.3)%.............. (26,780,646) ------------ NET ASSETS -- 100.0%............ $622,748,334 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $646,443,731. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............... $ 6,346,222 Gross unrealized depreciation............... (3,260,973) ----------- Net unrealized appreciation................. $ 3,085,249 ===========
--------------- (a) Quarterly reset provision. The rate shown was in effect at December 31, 2003. (b) Monthly reset provision. The rate shown was in effect at December 31, 2003. (c) All or part of this security is on loan. (d) Short term security purchased with cash collateral received for securities loaned. ** Variable rate security. The rate shown was in effect at December 31, 2003. See notes to financial statements. 57 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 56.2% US TREASURY BONDS -- 1.0% $ 2,402,000 12.00%, 05/15/05............... $ 2,747,571 ------------ US TREASURY NOTES -- 55.2% 13,000,000 3.00%, 01/31/04................ 13,024,388 1,600,000 3.25%, 05/31/04................ 1,615,189 2,300,000 2.13%, 08/31/04................ 2,316,443 2,155,000 2.00%, 11/30/04................ 2,171,078 3,260,000 1.50%, 02/28/05................ 3,268,535 3,780,000 1.63%, 03/31/05................ 3,794,179 4,900,000 1.63%, 04/30/05................ 4,916,273 5,215,000 1.50%, 07/31/05(a)............. 5,212,559 24,500,000 6.50%, 08/15/05................ 26,438,955 4,775,000 5.63%, 02/15/06(a)............. 5,147,488 4,360,000 2.00%, 05/15/06(a)............. 4,362,215 2,785,000 4.63%, 05/15/06................ 2,952,537 2,315,000 2.38%, 08/15/06(a)............. 2,328,205 2,300,000 6.50%, 10/15/06................ 2,562,614 26,778,000 3.25%, 08/15/07(a)............. 27,322,985 1,615,000 3.00%, 11/15/07(a)............. 1,629,385 1,315,000 3.00%, 02/15/08(a)............. 1,321,524 1,355,000 2.63%, 05/15/08................ 1,335,046 2,000,000 3.13%, 09/15/08................ 1,999,454 1,700,000 4.75%, 11/15/08(a)............. 1,820,462 2,142,000 3.38%, 12/15/08(a)............. 2,157,230 24,787,000 3.88%, 02/15/13(a)............. 24,271,901 4,533,000 4.25%, 11/15/13(a)............. 4,529,460 ------------ 146,498,105 ------------ TOTAL US TREASURY SECURITIES (Cost $148,771,333).......... 149,245,676 ------------ US GOVERNMENT AGENCY SECURITIES -- 33.9% FANNIE MAE -- 21.0% 19,871,000 7.00%, 07/15/05................ 21,474,927 9,485,222 PL# 750693, 4.50%, 11/01/33.... 9,084,105 2,506,688 PL# 738406, 4.50%, 09/01/33.... 2,400,684 5,000,000 PL# 740345, 4.50%, 10/01/33.... 4,788,557 10,000,000 TBA, 5.50%, 01/01/19........... 10,362,500 7,700,000 TBA, 5.50%, 01/01/34........... 7,801,063 ------------ 55,911,836 ------------ FREDDIE MAC -- 12.9% 18,420,000 7.00%, 07/15/05................ 19,908,833 13,191,000 5.50%, 07/15/06................ 14,221,072 ------------ 34,129,905 ------------
PRINCIPAL VALUE --------- ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $89,497,232)................. $ 90,041,741 ------------ CORPORATE BONDS AND NOTES -- 15.3% PRIVATE ASSET BACKED: AUTOMOBILES -- 6.1% $ 3,000,000 Carmax Auto Owner Trust, Series 2003-1, Class A4, 2.16%, 11/15/09.............. 2,959,859 3,117,000 Carmax Auto Owner Trust, Series 2003-2, Class A4, 3.07%, 10/15/10.............. 3,144,820 10,000,000 WFS Financial Owner Trust, Series 2003-1, Class A4, 2.74%, 09/20/10.............. 10,001,217 ------------ 16,105,896 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 3.8% 5,000,000 Bank One Issuance Trust, Series 2003-A2, Class A2, Floating Rate, 1.21%(c), 10/15/08..................... 5,008,468 5,000,000 Chase Credit Card Master Trust, Series 2002-6, Class A, Floating Rate, 1.22%,(c), 01/15/08.......... 5,008,052 ------------ 10,016,520 ------------ PRIVATE ASSET BACKED: OTHER -- 1.4% 3,837,000 CNH Equipment Trust, Series 2003-B, Class A4B, 3.38%, 02/15/11.............. 3,825,009 ------------ PRIVATE ASSET BACKED: UTILITIES -- 1.8% 4,317,000 Detroit Edison Securitization Funding LLC, Series 2001-1, Class A3, 5.88%, 03/01/10.............. 4,693,777 ------------ SPECIAL PURPOSE ENTITY -- 2.2% 5,589,969 Overseas Private Investment Corp., Variable Rate, 5.14%(d), 08/15/07........... 5,949,930 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $40,263,882)........... 40,591,132 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.6% FANNIE MAE -- 0.4% 1,029,489 1.06%, 01/02/04(b)............. 1,029,489 ------------ FREDDIE MAC -- 0.2% 516,951 1.06%, 01/27/04(b)............. 516,951 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $1,546,440).................. 1,546,440 ------------
See notes to financial statements. 58 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS -- 10.4% $ 4,737,111 Bank of Montreal, 1.06%, 01/15/04(b)........... $ 4,737,111 2,067,805 Bank of Montreal, 1.06%, 02/17/04(b)........... 2,067,805 2,584,757 Bank of Novia Scotia, 1.08%, 03/10/04(b)........... 2,584,757 1,550,854 Citigroup, Inc., 1.08%, 01/05/04(b)........... 1,550,854 775,427 Citigroup, Inc., 1.09%, 02/06/04(b)........... 775,427 1,550,854 Credit Agricole Indosuez, 0.98%, 01/02/04(b)........... 1,550,854 1,550,854 Credit Agricole Indosuez, 1.08%, 01/28/04(b)........... 1,550,854 2,067,806 Den Danske Bank, 1.08%, 01/20/04(b)........... 2,067,806 2,584,757 Royal Bank of Canada, 1.05%, 02/27/04(b)........... 2,584,757 1,292,378 Royal Bank of Scotland, 1.08%, 01/09/04(b)........... 1,292,378 516,951 Royal Bank of Scotland, 1.08%, 01/15/04(b)........... 516,951 3,877,135 Royal Bank of Scotland, 1.08%, 01/20/04(b)........... 3,877,135 1,292,378 Svenska Handlesbanken, 1.08%, 02/04/04(b)........... 1,292,378 516,951 Toronto Dominion Bank, 1.10%, 01/08/04(b)........... 516,951 775,427 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)........... 775,427 ------------ TOTAL TIME DEPOSITS (Cost $27,741,445)................. 27,741,445 ------------ SHORT TERM CORPORATE NOTES -- 5.1% 516,951 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)....... 516,951 516,951 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)....... 516,951 1,292,378 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)....... 1,292,378 1,033,903 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)....... 1,033,903 1,292,378 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)....... 1,292,378 2,067,806 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)....... 2,067,806
PRINCIPAL VALUE --------- ------------ SHORT TERM CORPORATE NOTES (CONTINUED) $ 3,360,184 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)....... $ 3,360,184 775,427 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)....... 775,427 2,584,757 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)....... 2,584,757 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $13,440,735)..... 13,440,735 ------------ SHARES ------ REGULATED INVESTMENT COMPANIES -- 1.5% 1,809,330 American Aadvantage Select(b).................... 1,809,330 560,130 Merrill Lynch Premier Institutional Fund(b)........ 560,130 1,550,854 Merrimac Cash Fund -- Premium Class(b)..................... 1,550,854 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $3,920,314).................. 3,920,314 ------------ PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.4% $ 564,186 General Electric Capital Corp., 1.09%, 01/09/04(b)........... 564,186 516,951 General Electric Capital Corp., 1.08%, 01/16/04(b)........... 516,951 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $1,081,137)...... 1,081,137 ------------ TOTAL SECURITIES (Cost $326,262,518)................ 327,608,620 ------------ REPURCHASE AGREEMENTS -- 2.2% 5,686,465 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $5,686,794 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $1,188,419, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $1,166,580, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $1,853,623, Morgan Stanley, 6.75%, due 04/15/11, with a value of $463,797, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $1,127,774)(b)...... 5,686,465
See notes to financial statements. 59 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS (CONTINUED) $ 178,782 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $178,787 (Collateralized by Small Business Administration, 4.63%, due 09/25/16, with a value of $187,721)........... $ 178,782 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $5,865,247)............ 5,865,247 ------------ Total Investments -- 125.6% (Cost $332,127,765).......... 333,473,867 Liabilities less other assets -- (25.6)%............ (67,953,879) ------------ NET ASSETS -- 100.0%........... $265,519,988 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $332,298,632. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $1,309,518 Gross unrealized depreciation........... (134,283) ---------- Net unrealized appreciation............. $1,175,235 ==========
--------------- (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (c) Monthly reset provision. The rate shown was in effect at December 31, 2003. (d) Variable rate security. The rate shown was in effect at December 31, 2003. ** Variable rate security. The rate shown was in effect at December 31, 2003. See notes to financial statements. 60 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- US TREASURY SECURITIES -- 20.6% US TREASURY BONDS -- 8.5% $ 6,130,000 10.38%, 11/15/12(a).......... $ 7,822,695 26,045,000 12.00%, 08/15/13(a).......... 35,992,992 17,425,000 8.13%, 08/15/19.............. 23,542,813 19,280,000 8.50%, 02/15/20.............. 26,934,025 10,975,000 8.00%, 11/15/21.............. 14,825,689 1,025,000 6.25%, 08/15/23.............. 1,168,621 8,715,000 6.75%, 08/15/26.............. 10,549,917 3,935,000 5.38%, 02/15/31(a)........... 4,104,854 -------------- 124,941,606 -------------- US TREASURY NOTES -- 11.4% 28,565,000 2.00%, 08/31/05.............. 28,758,042 32,190,000 1.63%, 10/31/05(a)........... 32,149,795 15,660,000 1.88%, 11/30/05(a)........... 15,694,264 27,235,000 2.38%, 08/15/06(a)........... 27,390,348 3,500,000 2.63%, 11/15/06(a)........... 3,531,994 1,690,000 3.25%, 08/15/07.............. 1,724,395 50,245,000 3.38%, 12/15/08(a)........... 50,602,242 7,150,000 4.25%, 11/15/13.............. 7,144,416 -------------- 166,995,496 -------------- US TREASURY STRIPS -- 0.7% 13,685,000 Zero coupon, 05/15/17........ 6,996,963 6,000,000 Zero coupon, 11/15/22........ 2,155,026 3,955,000 Zero coupon, 02/15/23........ 1,396,178 -------------- 10,548,167 -------------- TOTAL US TREASURY SECURITIES (Cost $302,893,980)........ 302,485,269 -------------- US GOVERNMENT AGENCY SECURITIES -- 34.0% FANNIE MAE -- 15.4% 2,760,000 1.75%, 06/16/06.............. 2,719,202 4,905,000 2.75%, 08/11/06.............. 4,908,277 4,215,000 7.13%, 03/15/07.............. 4,779,093 7,310,000 5.75%, 02/15/08.............. 8,037,740 14,035,000 3.75%, 09/15/08.............. 14,040,895 3,700,000 6.63%, 09/15/09.............. 4,235,975 3,505,000 7.25%, 01/15/10.............. 4,137,684 25,125,000 7.13%, 06/15/10.............. 29,579,462 3,775,000 6.63%, 11/15/10.............. 4,343,477 16,465,000 6.00%, 05/15/11.............. 18,276,265 10,060,000 5.50%, 07/18/12.............. 10,307,506 6,355,000 4.38%, 07/17/13.............. 6,095,303 994,132 PL# 252571, 7.00%, 07/01/29................... 1,053,760 17,709 PL# 252716, 7.00%, 09/01/29................... 18,771
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 3,867 PL# 253264, 7.00%, 05/01/30................... $ 4,096 4,948 PL# 253346, 7.50%, 06/01/30................... 5,289 63,525 PL# 253479, 7.00%, 10/01/30................... 67,281 32,518 PL# 253698, 6.00%, 02/01/16................... 34,155 125,422 PL# 253990, 7.00%, 09/01/16................... 134,238 105,565 PL# 254008, 7.00%, 10/01/31................... 111,806 5,281 PL# 259141, 7.50%, 12/01/30................... 5,645 16,021 PL# 323250, 6.00%, 08/01/13................... 16,846 2,338,929 PL# 323842, 5.50%, 07/01/14................... 2,435,936 184,591 PL# 323967, 7.00%, 10/01/29................... 195,662 16,777 PL# 492742, 7.00%, 05/01/29................... 17,783 10,324 PL# 503916, 7.50%, 06/01/29................... 11,039 9,256 PL# 508415, 7.00%, 08/01/29................... 9,811 53,272 PL# 515946, 7.00%, 10/01/29................... 56,467 13,948 PL# 524164, 7.00%, 11/01/29................... 14,785 161,637 PL# 524657, 7.00%, 01/01/30................... 171,196 128,489 PL# 526053, 7.00%, 12/01/29................... 136,196 2,468 PL# 527717, 7.50%, 01/01/30................... 2,639 22,955 PL# 528107, 7.00%, 02/01/30................... 24,332 5,653 PL# 531092, 7.50%, 10/01/29................... 6,045 40,861 PL# 531497, 7.00%, 02/01/30................... 43,277 24,225 PL# 531735, 7.00%, 02/01/30................... 25,657 5,652 PL# 533841, 7.50%, 12/01/30................... 6,041 89,003 PL# 535030, 7.00%, 12/01/29................... 94,341 104,570 PL# 535103, 7.00%, 01/01/15................... 111,864 37,565 PL# 535159, 7.00%, 02/01/30................... 39,818 151,825 PL# 535195, 7.00%, 03/01/30................... 160,932 69,631 PL# 535277, 7.00%, 04/01/30................... 73,808 1,538,246 PL# 535675, 7.00%, 01/01/16................... 1,645,859 4,034 PL# 535722, 7.00%, 02/01/31................... 4,272 24,528 PL# 535723, 7.00%, 02/01/31................... 25,979 4,303,992 PL# 535735, 6.00%, 01/01/16................... 4,524,279 5,994 PL# 535811, 6.50%, 04/01/31................... 6,271 456,913 PL# 535880, 7.00%, 02/01/31................... 483,933 3,088 PL# 538314, 7.50%, 05/01/30................... 3,302 5,464 PL# 540211, 7.50%, 06/01/30................... 5,841 8,912 PL# 542999, 7.50%, 08/01/30................... 9,526 428,635 PL# 545194, 7.00%, 08/01/31................... 453,974 152,456 PL# 545477, 7.00%, 03/01/32................... 161,484 147,620 PL# 545815, 7.00%, 07/01/32................... 156,346 117,943 PL# 548822, 7.00%, 08/01/30................... 124,918 91,083 PL# 549659, 7.00%, 02/01/16................... 97,486 62,688 PL# 549962, 7.00%, 10/01/30................... 66,396 120,365 PL# 549975, 7.00%, 10/01/30................... 127,483
See notes to financial statements. 61 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 57,490 PL# 550440, 7.00%, 02/01/16................... $ 61,531 2,908 PL# 550544, 7.50%, 09/01/30................... 3,108 10,321 PL# 552603, 7.00%, 10/01/30................... 10,931 163,351 PL# 554493, 7.00%, 10/01/30................... 173,011 137,837 PL# 555144, 7.00%, 10/01/32................... 145,989 4,009 PL# 558362, 7.50%, 11/01/30................... 4,286 1,870 PL# 558519, 7.50%, 11/01/30................... 1,999 25,489 PL# 559277, 7.00%, 10/01/30................... 26,996 138,370 PL# 559313, 7.00%, 12/01/30................... 146,553 6,647 PL# 559741, 7.50%, 01/01/31................... 7,105 64,386 PL# 560384, 7.00%, 11/01/30................... 68,194 3,818 PL# 560596, 7.50%, 01/01/31................... 4,082 8,769 PL# 561678, 7.50%, 12/01/30................... 9,374 5,591 PL# 564080, 7.50%, 12/01/30................... 5,977 47,368 PL# 564183, 7.00%, 12/01/30................... 50,169 5,991 PL# 564529, 7.50%, 12/01/30................... 6,404 28,205 PL# 566658, 7.00%, 02/01/31................... 29,872 6,666 PL# 575285, 7.50%, 03/01/31................... 7,125 24,077 PL# 577525, 6.00%, 05/01/16................... 25,289 420,773 PL# 579224, 6.00%, 04/01/16................... 441,953 54,599 PL# 580179, 7.00%, 10/01/16................... 58,437 11,556 PL# 580377, 7.50%, 04/01/31................... 12,353 58,395 PL# 584811, 7.00%, 05/01/31................... 61,847 515,895 PL# 585248, 7.00%, 06/01/31................... 546,403 9,251 PL# 589405, 7.50%, 06/01/31................... 9,889 66,479 PL# 589893, 7.00%, 06/01/31................... 70,409 4,866 PL# 592129, 7.50%, 06/01/31................... 5,202 5,844 PL# 593988, 7.50%, 07/01/31................... 6,247 58,835 PL# 598125, 7.00%, 09/01/16................... 62,971 16,532 PL# 606600, 7.00%, 10/01/31................... 17,509 77,351 PL# 610128, 7.00%, 10/01/31................... 81,924 55,044 PL# 611323, 7.00%, 10/01/16................... 58,913 38,331 PL# 611695, 5.50%, 12/01/16................... 39,781 26,357 PL# 617705, 6.00%, 04/01/32................... 27,264 159,394 PL# 632269, 7.00%, 05/01/32................... 168,817 392,335 PL# 634949, 7.00%, 05/01/32................... 415,568 17,060 PL# 647556, 7.00%, 01/01/30................... 18,083 76,849 PL# 650872, 7.00%, 07/01/32................... 81,400 99,597 PL# 744728, 4.00%, 10/01/18................... 97,211 31,900,000 TBA, 5.00%, 01/01/19......... 32,537,999 16,400,000 TBA, 5.50%, 01/01/19......... 16,994,500 5,200,000 TBA, 6.00%, 01/01/19......... 5,453,500 9,300,000 TBA, 6.50%, 01/01/19......... 9,858,000 2,600,000 TBA, 5.50%, 01/01/34......... 2,634,125
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 3,200,000 TBA, 6.00%, 01/01/34......... $ 3,308,000 26,300,000 TBA, 6.50%, 01/01/34......... 27,508,169 -------------- 225,812,213 -------------- FANNIE MAE GOLD -- 2.6% 896,920 PL# A13289, 5.50%, 09/01/33................... 908,495 845,788 PL# E88749, 6.00%, 03/01/17................... 887,727 9,352,408 PL# E89336, 6.00%, 05/01/17................... 9,816,987 1,904,832 PL# E89561, 6.00%, 04/01/17................... 1,999,454 416,836 PL# E89787, 6.00%, 05/01/17................... 437,542 1,059,278 PL# E89913, 6.00%, 05/01/17................... 1,111,897 161,503 PL# E97469, 4.00%, 07/01/18................... 158,015 390,423 PL# E97486, 4.00%, 07/01/18................... 381,990 480,258 PL# E97540, 4.00%, 08/01/18................... 469,885 488,116 PL# E97585, 4.00%, 07/01/18................... 477,574 57,724 PL# E97834, 4.00%, 08/01/18................... 56,477 491,029 PL# E98155, 4.00%, 08/01/18................... 480,423 452,770 PL# E98221, 4.00%, 08/01/18................... 442,991 491,290 PL# E98354, 4.00%, 08/01/18................... 480,679 428,403 PL# E98552, 4.00%, 08/01/18................... 419,151 486,977 PL# E98751, 4.00%, 08/01/18................... 476,459 393,741 PL# E99169, 4.00%, 09/01/18................... 385,237 1,900,000 TBA, 5.50%, 01/01/19......... 1,968,875 1,300,000 TBA, 5.50%, 01/01/34......... 1,315,844 100,000 TBA, 6.00%, 01/01/34......... 103,344 6,600,000 TBA, 6.50%, 01/01/34......... 6,913,500 8,300,000 TBA, 5.00%, 01/01/34......... 8,193,660 -------------- 37,886,206 -------------- FREDDIE MAC -- 7.8% 5,350,000 3.50%, 04/01/08.............. 5,337,444 24,000,000 3.88%, 11/10/08.............. 24,325,872 465,000 6.63%, 09/15/09.............. 532,401 4,635,000 4.38%, 02/04/10.............. 4,638,272 11,425,000 7.00%, 03/15/10.............. 13,349,084 14,145,000 6.88%, 09/15/10.............. 16,450,791 14,695,000 4.75%, 12/08/10.............. 14,858,144 25,450,000 4.50%, 12/16/10.............. 25,469,749 8,910,000 6.00%, 06/15/11.............. 9,904,169 -------------- 114,865,926 -------------- FREDDIE MAC GOLD -- 5.7% 1,466,441 PL# A10807, 5.50%, 07/01/33................... 1,485,364 15,257,000 PL# A11986, 5.00%, 08/01/33................... 15,072,457
See notes to financial statements. 62 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 790,988 PL# A12118, 5.00%, 08/01/33(e)......... $ 781,420 287,722 PL# A12350, 5.50%, 08/01/33................... 291,435 530,013 PL# A12533, 5.50%, 08/11/33................... 536,853 500,172 PL# A12800, 5.50%, 08/01/33................... 506,626 213,571 PL# A13331, 5.50%, 09/01/33................... 216,327 8,854,435 PL# A13669, 5.50%, 09/01/33................... 8,968,697 5,490,967 PL# C01623, 5.50%, 09/01/33................... 5,561,824 4,576,510 PL# C01648, 5.00%, 10/01/33(e)......... 4,521,155 14,468,151 PL# C01672, 6.00%, 10/01/33................... 14,962,302 7,651,608 PL# C57150, 6.00%, 05/01/31................... 7,912,711 178,736 PL# C63423, 6.00%, 02/01/32................... 184,835 13,258 PL# C67653, 7.00%, 06/01/32................... 14,032 394,386 PL# C67868, 7.00%, 06/01/32................... 417,411 69,657 PL# C67999, 7.00%, 06/01/32................... 73,724 535,349 PL# C68001, 7.00%, 06/01/32................... 566,604 427,163 PL# C90229, 7.00%, 08/01/18................... 453,209 11,366 PL# E84758, 5.50%, 07/01/16................... 11,790 621,533 PL# E86502, 5.50%, 12/01/16................... 644,680 11,591 PL# E86565, 5.50%, 12/01/16................... 12,022 1,533,839 PL# E88789, 6.00%, 04/01/17................... 1,610,032 314,638 PL# E88979, 5.50%, 04/01/17................... 326,449 1,883,957 PL# E90194, 6.00%, 06/01/17................... 1,977,542 2,666,532 PL# E90195, 6.00%, 06/01/17................... 2,798,991 1,898,443 PL# E91644, 5.50%, 10/01/17................... 1,969,704 480,482 PL# E91754, 5.50%, 10/01/17................... 498,518 2,362,081 PL# E91774, 5.50%, 10/01/17................... 2,450,745 182,114 PL# E91952, 5.50%, 10/01/17................... 188,950 496,263 PL# E91967, 5.50%, 10/01/17................... 514,891 403,352 PL# E91968, 5.50%, 10/01/17................... 418,492 647,134 PL# E92113, 5.50%, 10/01/17................... 671,425 5,731,512 PL# G01391, 7.00%, 04/01/32................... 6,066,119 1,015,602 PL# G01477, 6.00%, 12/01/32................... 1,050,258 -------------- 83,737,594 -------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 2.4% 560,332 PL# 03173, 6.50%, 12/20/31... 590,115 6,442 PL# 434615, 7.00%, 11/15/29................... 6,873 832,522 PL# 435071, 7.00%, 03/15/31................... 887,799 125,156 PL# 462559, 7.00%, 02/15/28................... 133,642 149,788 PL# 483482, 6.50%, 09/15/28................... 158,201 78,096 PL# 493966, 7.00%, 06/15/29................... 83,313 146,054 PL# 494742, 7.00%, 04/15/29................... 155,809
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 4,512 PL# 530260, 7.00%, 02/15/31................... $ 4,812 5,466 PL# 538271, 7.00%, 11/15/31................... 5,829 239,812 PL# 538312, 6.00%, 02/15/32................... 249,565 894,629 PL# 543989, 7.00%, 03/15/31................... 954,030 7,603 PL# 547545, 7.00%, 04/15/31................... 8,108 1,394,988 PL# 550985, 7.00%, 10/15/31................... 1,487,610 4,302 PL# 551549, 7.00%, 07/15/31................... 4,588 199,223 PL# 552413, 7.00%, 02/15/32................... 212,373 184,259 PL# 552952, 6.00%, 12/15/32................... 191,753 462,847 PL# 553320, 6.00%, 06/15/33................... 481,592 5,851 PL# 557664, 7.00%, 08/15/31................... 6,239 516,291 PL# 557678, 7.00%, 08/15/31................... 550,571 6,625 PL# 561050, 7.00%, 05/15/31................... 7,065 5,217 PL# 561996, 7.00%, 07/15/31................... 5,563 70,479 PL# 563346, 7.00%, 09/15/31................... 75,159 586,442 PL# 563599, 7.00%, 06/15/32................... 625,151 533,350 PL# 564086, 7.00%, 07/15/31................... 568,762 70,810 PL# 564300, 6.00%, 08/15/31................... 73,664 679,069 PL# 564603, 6.50%, 08/15/31................... 716,520 39,314 PL# 564706, 7.00%, 07/15/31................... 41,925 388,883 PL# 569567, 7.00%, 01/15/32................... 414,552 694,316 PL# 569839, 6.50%, 06/15/32................... 732,230 4,222 PL# 579377, 7.00%, 04/15/32................... 4,501 1,367,469 PL# 581015, 7.00%, 02/15/32................... 1,457,731 101,153 PL# 581084, 7.00%, 02/15/32................... 107,829 160,664 PL# 581970, 6.50%, 04/15/32................... 169,437 95,559 PL# 582457, 6.00%, 10/15/32................... 99,445 598,826 PL# 582956, 7.00%, 02/15/32................... 638,353 511,533 PL# 585210, 6.00%, 03/15/33................... 532,250 1,082,219 PL# 587122, 7.00%, 06/15/32................... 1,153,652 75,611 PL# 587494, 7.00%, 06/15/32................... 80,602 7,019 PL# 589696, 7.00%, 05/15/32................... 7,482 636,363 PL# 592218, 6.00%, 12/15/32................... 662,245 654,176 PL# 592668, 6.50%, 04/15/33................... 689,910 1,537,784 PL# 593248, 6.00%, 10/15/32................... 1,600,327 19,762 PL# 593823, 6.00%, 10/15/32................... 20,566 157,242 PL# 595411, 6.00%, 09/15/32................... 163,637 277,216 PL# 598119, 6.50%, 02/15/33................... 292,359 511,968 PL# 598205, 6.00%, 05/15/33................... 532,703 345,727 PL# 598459, 6.00%, 11/15/32................... 359,789 23,611 PL# 599742, 6.00%, 10/15/32................... 24,571 178,930 PL# 603341, 6.00%, 12/15/32................... 186,207 827,815 PL# 603674, 6.00%, 05/15/33................... 861,342
See notes to financial statements. 63 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 700,915 PL# 603922, 6.50%, 01/15/33................... $ 739,203 629,307 PL# 607812, 6.00%, 03/15/33................... 654,794 830,665 PL# 610913, 6.50%, 06/15/33................... 876,040 473,180 PL# 611537, 6.00%, 05/15/33................... 492,344 307,545 PL# 611880, 6.00%, 05/15/33................... 320,000 419,828 PL# 615382, 6.00%, 07/15/33................... 436,831 6,888,112 PL# 618874, 5.50%, 08/15/33................... 7,012,097 59,365 PL# 780802, 6.50%, 05/15/28................... 62,707 115,559 PL# 781113, 7.00%, 11/15/29................... 123,278 474,542 PL# 781148, 6.00%, 07/15/29................... 494,092 334,897 PL# 781276, 6.50%, 04/15/31................... 353,552 116,094 PL# 781287, 7.00%, 05/15/31................... 123,832 196,703 PL# 781324, 7.00%, 07/15/31................... 209,786 990,907 PL# 781328, 7.00%, 09/15/31................... 1,056,966 440,131 PL# 781330, 6.00%, 09/15/31................... 458,145 336,701 PL# 781548, 7.00%, 11/15/32................... 359,082 633,014 PL# 781561, 6.50%, 11/15/32................... 668,052 421,276 PL# 781566, 6.00%, 02/15/33................... 438,201 680,610 PL# 781577, 6.50%, 03/15/33................... 718,201 187,895 PL# 781584, 7.00%, 05/15/32................... 200,395 1,000,000 TBA, 5.50%, 01/01/34......... 1,016,875 -------------- 35,892,824 -------------- RESOLUTION FUNDING STRIPS -- 0.1% 1,200,000 Zero coupon, 07/15/18........ 545,634 1,200,000 Zero coupon, 10/15/18........ 535,931 -------------- 1,081,565 -------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $496,548,931)........ 499,276,328 -------------- CORPORATE BONDS AND NOTES -- 29.4% AEROSPACE AND DEFENSE -- 0.4% 195,000 BE Aerospace -- 144A, 8.50%, 10/01/10............ 210,113 550,000 Lockheed Martin Corp., 8.50%, 12/01/29............ 722,902 2,120,000 Lockheed Martin Corp., 7.20%, 05/01/36............ 2,516,181 35,000 Northrop Grumman Corp., 7.13%, 02/15/11............ 40,538 940,000 Northrop Grumman Corp., 7.75%, 02/15/31............ 1,146,647
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) AEROSPACE AND DEFENSE (CONTINUED) $ 1,530,000 Raytheon Company, 4.85%, 01/15/11............ $ 1,534,282 -------------- 6,170,663 -------------- AIRLINES -- 0.1% 1,179,756 Continental Airlines, Inc., Series 974A, 6.90%, 01/02/18............ 1,165,972 -------------- AUTOMOBILES -- 0.7% 1,605,000 Daimler Chrysler AG Corp., 7.45%, 03/01/27............ 1,712,895 2,095,000 Daimler Chrysler N.A. Holding, 4.75%, 01/15/08............ 2,145,422 4,200,000 Daimler Chrysler N.A. Holding, 4.05%, 06/04/08............ 4,175,577 2,750,000 Daimler Chrysler N.A. Holding, 6.50%, 11/15/13............ 2,902,166 -------------- 10,936,060 -------------- AUTOMOTIVE EQUIPMENT -- 0.1% 810,000 Collins & Aikman Products, 10.75%, 12/31/11........... 799,875 425,000 Dura Operating Corp., Series B, 8.63%, 04/15/12............ 454,750 -------------- 1,254,625 -------------- BANKS -- 2.3% 2,050,000 ANZ Capital Trust I -- 144A, 4.48%, perpetual........... 2,069,621 3,120,000 ANZ Capital Trust I -- 144A, 5.36%, perpetual........... 3,121,554 535,000 Bank of America Corp., 7.40%, 01/15/11............ 628,344 3,550,000 Bank of America Corp., 3.88%, 01/15/08(k)......... 3,622,651 3,300,000 Bank of America Corp., 4.38%, 12/01/10............ 3,313,213 4,790,000 Barclays Bank PLC -- 144A, Floating Rate, 8.55%(c), perpetual(k)............... 5,895,042 350,000 HSBC Holdings PLC, 5.25%, 12/12/12............ 359,057 475,000 JP Morgan Chase & Company, 5.25%, 05/30/07............ 507,421 1,100,000 JP Morgan Chase & Company, 7.00%, 11/15/09............ 1,269,346 935,000 JP Morgan Chase & Company, 6.75%, 02/01/11............ 1,055,800
See notes to financial statements. 64 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 800,000 Rabobank Capital Funding II -- 144A, 5.26%, perpetual........... $ 802,958 500,000 Sovereign Bancorp, 10.50%, 11/15/06........... 591,747 2,275,000 Swedish Export Credit, 2.88%, 01/26/07............ 2,288,243 490,000 U.S. Bancorp, Series MTNN, 3.95%, 08/23/07............ 504,591 3,875,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%(l), perpetual........ 4,783,986 2,150,000 Wells Fargo Bank NA, Series BKNT, Variable Rate, 7.80%(l), 06/15/10......... 2,321,456 -------------- 33,135,030 -------------- BROADCAST SERVICES/MEDIA -- 1.7% 2,450,000 AOL Time Warner, Inc., 7.63%, 04/15/31............ 2,837,281 2,695,000 British Sky Broadcasting, 6.88%, 02/23/09............ 3,029,083 1,720,000 Charter Communications Holdings LLC, 10.75%, 10/01/09........... 1,586,700 245,000 Charter Communications Holdings LLC, 11.13%, 01/15/11(a)........ 226,013 250,000 Comcast Cable Communications, Inc., 6.38%, 01/30/06............ 269,294 1,055,000 Comcast Cable Communications, Inc., 6.88%, 06/15/09............ 1,190,980 1,100,000 Comcast Corp., 5.85%, 01/15/10............ 1,176,277 2,020,000 Continental Cablevision, 8.30%, 05/15/06............ 2,266,258 895,000 CSC Holdings, Inc., 7.88%, 02/15/18............ 959,888 645,000 DirecTV Holdings, 8.38%, 03/15/13............ 751,425 550,000 News America Holdings, 8.88%, 04/26/23............ 706,899 825,000 News America Holdings, 7.63%, 11/30/28............ 958,516 725,000 TCI Communications, Inc., 7.88%, 02/15/26............ 850,031 1,695,000 TCI Communications, Inc., 7.13%, 02/15/28............ 1,843,701
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 620,000 Time Warner, Inc., 6.88%, 06/15/18............ $ 683,725 865,000 Time Warner, Inc., 9.15%, 02/01/23............ 1,122,291 610,000 Time Warner, Inc., 6.95%, 01/15/28............ 653,841 2,420,000 Time Warner, Inc., 6.63%, 05/15/29............ 2,496,249 685,000 Vivendi Universal SA -- 144A, 6.25%, 07/15/08............ 728,669 -------------- 24,337,121 -------------- CHEMICALS -- 0.4% 555,000 Crown Euro Holdings SA, 9.50%, 03/01/11............ 631,313 500,000 Crown Euro Holdings SA, 10.88%, 03/01/13........... 590,625 970,000 Dow Chemical Company, 6.00%, 10/01/12............ 1,022,794 2,490,000 Dow Chemical Company, 7.38%, 11/01/29............ 2,792,716 100,000 Lyondell Chemical Company, 9.50%, 12/15/08............ 105,000 395,000 Nalco Company -- 144A, 7.75%, 11/15/11............ 424,625 -------------- 5,567,073 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.4% 415,000 Ainsworth Lumber Company, Ltd., 13.88%, 07/15/07........... 479,325 775,000 Beazer Homes USA, 8.38%, 04/15/12............ 858,313 410,000 D.R. Horton, Inc., 10.50%, 04/01/05........... 446,900 600,000 D.R. Horton, Inc., 6.88%, 05/01/13............ 642,000 520,000 K. Hovnanian Enterprises, 6.50%, 01/15/14............ 520,650 1,020,000 NVR, Inc., 5.00%, 06/15/10............ 1,004,700 1,800,000 Ryland Group, 8.00%, 08/15/06............ 1,970,999 165,000 Ryland Group, 5.38%, 06/01/08............ 170,775 375,000 Ryland Group, 9.13%, 06/15/11............ 430,313 -------------- 6,523,975 --------------
See notes to financial statements. 65 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) CONSUMER GOODS AND SERVICES -- 0.2% $ 3,595,000 General Electric Company, 5.00%, 02/01/13............ $ 3,642,335 -------------- CONTAINERS AND PACKAGING -- 0.1% 1,125,000 Owens-Brockway Glass Containers, 8.75%, 11/15/12............ 1,258,594 -------------- ELECTRONICS -- 0.2% 785,000 Flextronics International, Ltd., 6.50%, 05/15/13............ 816,400 175,000 L-3 Communications Corp., 6.13%, 07/15/13............ 177,188 2,285,000 L-3 Communications Corp. -- 144A, 6.13%, 01/15/14............ 2,302,137 -------------- 3,295,725 -------------- ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1% 515,000 Allied Waste North America Industries, Inc., 7.88%, 04/15/13............ 560,062 285,000 Allied Waste North America Industries, Inc., 7.40%, 09/15/35............ 271,463 425,000 Allied Waste North America Industries, Inc., Series B, 8.88%, 04/01/08............ 478,125 300,000 Allied Waste North America Industries, Inc., Series B, 9.25%, 09/01/12............ 342,000 -------------- 1,651,650 -------------- FINANCIAL SERVICES -- 4.7% 1,000,000 Bear Stearns Companies, Inc., 2.88%, 07/02/08............ 968,916 3,490,000 Citigroup, Inc., 5.75%, 05/10/06............ 3,758,109 8,300,000 Citigroup, Inc., 3.50%, 02/01/08............ 8,338,951 3,095,000 Citigroup, Inc., 7.25%, 10/01/10............ 3,612,314 865,000 Citigroup, Inc., 5.88%, 02/22/33............ 853,057 2,790,000 Credit Suisse First Boston USA, Inc., 3.88%, 01/15/09............ 2,789,827 1,675,000 Credit Suisse First Boston USA, Inc., 6.13%, 11/15/11............ 1,826,490 2,000,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07............ 2,239,850
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 4,710,000 General Electric Capital Corp., Series MTNA, 6.13%, 02/22/11............ $ 5,189,092 3,560,000 General Electric Capital Corp., Series MTNA, 5.88%, 02/15/12............ 3,832,258 550,000 General Electric Capital Corp., Series MTNA, 6.75%, 03/15/32............ 610,941 710,000 General Motors Acceptance Corp., 7.25%, 03/02/11............ 780,044 3,395,000 General Motors Acceptance Corp., 6.88%, 09/15/11............ 3,662,339 270,000 Goldman Sachs Group, Inc., 7.35%, 10/01/09............ 315,270 1,195,000 Goldman Sachs Group, Inc., 6.88%, 01/15/11............ 1,358,972 880,000 Goldman Sachs Group, Inc., 6.60%, 01/15/12............ 984,980 4,225,000 Goldman Sachs Group, Inc., 5.25%, 10/15/13............ 4,273,680 1,135,000 Goldman Sachs Group, Inc., 6.13%, 02/15/33............ 1,146,880 450,000 Household Finance Corp., 7.20%, 07/15/06............ 500,781 1,200,000 Household Finance Corp., 6.75%, 05/15/11............ 1,352,879 2,915,000 Household Finance Corp., 6.38%, 10/15/11............ 3,214,921 2,825,000 Household Finance Corp., 7.00%, 05/15/12............ 3,226,740 2,245,000 Household Finance Corp., 4.75%, 07/15/13............ 2,187,600 850,000 Household Finance Corp., 7.63%, 05/17/32............ 1,031,045 1,495,000 JP Morgan Chase & Company, 3.63%, 05/01/08............ 1,499,495 1,315,000 JP Morgan Chase & Company, 4.50%, 11/15/10............ 1,327,393 1,583,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08............ 1,789,504 1,300,000 Morgan Stanley, 6.10%, 04/15/06............ 1,407,509 1,385,000 Morgan Stanley, 5.80%, 04/01/07............ 1,506,586 1,395,000 Morgan Stanley, 6.75%, 04/15/11............ 1,580,635
See notes to financial statements. 66 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 545,000 SLM Corp., Series MTN, 3.63%, 03/17/08............ $ 543,198 1,600,000 SLM Corp., Series MTN, 5.63%, 08/01/33............ 1,523,142 -------------- 69,233,398 -------------- FOOD AND BEVERAGE -- 0.9% 750,000 Cadbury Schweppes -- 144A, 5.13%, 10/01/13............ 746,530 1,000,000 Diageo Capital PLC, 3.50%, 11/19/07............ 1,009,528 915,000 Diageo Capital PLC, 3.38%, 03/20/08............ 909,909 1,100,000 General Mills, Inc., 5.13%, 02/15/07............ 1,169,323 1,385,000 Kellogg Company, Series B, 6.60%, 04/01/11............ 1,554,422 6,750,000 Kraft Foods, Inc., 5.63%, 11/01/11............ 7,123,369 -------------- 12,513,081 -------------- FUNERAL SERVICES -- 0.0% 260,000 Service Corp. International, 7.70%, 04/15/09............ 278,850 -------------- INSURANCE -- 0.9% 540,000 American General Capital II, 8.50%, 07/01/30............ 704,681 510,000 Americo Life, Inc. -- 144A, 7.88%, 05/01/13............ 511,275 4,830,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08............ 4,880,122 1,150,000 ASIF Global Financing -- 144A, 3.85%, 11/26/07............ 1,169,982 880,000 Fund American Companies, Inc., 5.88%, 05/15/13............ 892,259 625,000 MetLife, Inc., 6.50%, 12/15/32............ 664,956 725,000 Pacific Life Corp. -- 144A, 6.60%, 09/15/33............ 768,227 1,980,000 Protective Life Secured Trust, Series MTN, 3.70%, 11/24/08............ 1,975,895 1,135,000 Prudential Financial, Inc., Series MTNB, 5.75%, 07/15/33............ 1,075,710 1,100,000 Prudential Insurance Company -- 144A, 6.38%, 07/23/06............ 1,198,967 -------------- 13,842,074 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) MANUFACTURING -- 0.5% $ 1,375,000 Briggs & Stratton Corp., 8.88%, 03/15/11............ $ 1,622,500 295,000 Dresser, Inc., 9.38%, 04/15/11............ 322,288 420,000 Tyco International Group SA, 6.38%, 06/15/05............ 444,150 1,025,000 Tyco International Group SA, 6.38%, 02/15/06............ 1,096,750 526,000 Tyco International Group SA, 5.80%, 08/01/06............ 558,875 2,140,000 Tyco International Group SA, 6.13%, 01/15/09(a)......... 2,300,499 255,000 Tyco International Group SA, 6.75%, 02/15/11............ 279,863 -------------- 6,624,925 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 0.2% 370,000 HCA, Inc., 6.95%, 05/01/12............ 397,349 370,000 HCA, Inc., 6.25%, 02/15/13............ 379,389 1,080,000 HCA, Inc., 7.50%, 11/06/33............ 1,129,644 350,000 United Surgical Partners, Inc., 10.00%, 12/15/11........... 399,000 -------------- 2,305,382 -------------- METALS AND MINING -- 0.1% 1,275,000 Alcan, Inc., 6.13%, 12/15/33............ 1,287,170 -------------- OIL AND GAS: PIPELINES -- 0.6% 1,425,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14............ 1,419,075 955,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13........... 1,103,025 365,000 El Paso Natural Gas, 8.38%, 06/15/32............ 374,855 490,000 El Paso Production Holdings -- 144A, 7.75%, 06/01/13............ 485,100 965,000 Gulfterra Energy Partner, 6.25%, 06/01/10............ 1,008,425 134,000 Gulfterra Energy Partner -- 144A, 10.63%, 12/01/12........... 166,830 1,085,000 Kinder Morgan Energy Partners, 7.30%, 08/15/33............ 1,236,898 110,000 Kinder Morgan, Inc., 7.25%, 03/01/28............ 122,743
See notes to financial statements. 67 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES (CONTINUED) $ 825,000 Tennessee Gas Pipeline, 7.50%, 04/01/17............ $ 855,938 370,000 Williams Companies, Inc., 7.13%, 09/01/11............ 393,125 1,470,000 Williams Companies, Inc., 8.13%, 03/15/12............ 1,639,050 -------------- 8,805,064 -------------- OIL, COAL AND GAS -- 1.0% 1,225,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31............ 1,439,609 1,710,000 Anadarko Petroleum Corp, 5.38%, 03/01/07............ 1,829,416 1,205,000 Conoco Funding Company, 6.35%, 10/15/11............ 1,353,097 2,085,000 Conoco, Inc., 6.95%, 04/15/29............ 2,371,952 605,000 Devon Energy Corp., 7.95%, 04/15/32............ 731,778 2,160,000 EnCana Corp., 4.75%, 10/15/13............ 2,134,423 950,000 Gazprom OAO, 9.63%, 03/01/13............ 1,053,008 1,240,000 Gazprom OAO -- 144A, 9.63%, 03/01/13............ 1,373,300 600,000 Hanover Equipment Trust, Series B, 8.75%, 09/01/11............ 639,000 465,000 Massey Energy Company, 6.95%, 03/01/07............ 478,950 505,000 Occidental Petroleum, 8.45%, 02/15/29............ 664,016 700,000 Suncor Energy, Inc., 5.95%, 12/01/34............ 697,792 250,000 Valero Energy Corp., 7.50%, 04/15/32............ 279,487 -------------- 15,045,828 -------------- PAPER AND FOREST PRODUCTS -- 0.4% 290,000 Boise Cascade Company, 6.50%, 11/01/10............ 302,932 920,000 Caraustar Industries, Inc., 7.38%, 06/01/09............ 970,600 565,000 Georgia-Pacific Corp., 8.88%, 02/01/10............ 646,925 1,735,000 Georgia-Pacific Corp. -- 144A, 8.00%, 01/15/24............ 1,778,375
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PAPER AND FOREST PRODUCTS (CONTINUED) $ 1,375,000 Weyerhaeuser Company, 6.95%, 10/01/27............ $ 1,423,286 1,220,000 Weyerhaeuser Company, 6.88%, 12/15/33............ 1,257,808 -------------- 6,379,926 -------------- PHARMACEUTICALS -- 0.2% 1,100,000 Bristol-Myers Squibb, 6.88%, 08/01/97............ 1,208,621 1,775,000 Wyeth, 5.50%, 02/01/14............ 1,798,711 -------------- 3,007,332 -------------- PRIVATE ASSET BACKED: AUTOMOBILES -- 0.6% 8,000,000 Daimler Chrysler Auto Trust, Series 01-C, Class A4, 4.63%, 12/06/06............ 8,233,732 -------------- PRIVATE ASSET BACKED: BANKS -- 0.3% 3,466,491 Banc of America Funding Corp., Series 2003-1, Class A1, 6.00%, 05/20/33............ 3,510,628 1,304,540 Washington Mutual MSC, Series 2002-MS12, Class A, 6.50%, 05/25/32............ 1,346,261 -------------- 4,856,889 -------------- PRIVATE ASSET BACKED: CREDIT CARDS -- 1.2% 11,500,000 MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10............ 11,198,642 6,050,000 Sears Credit Account Master Trust, Series 2002-5, Class A, Floating Rate, 1.54%(d), 11/17/09......... 6,062,205 -------------- 17,260,847 -------------- PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.9% 9,800,000 Countrywide Alternative Loan Trust, 5.00%, 02/15/04............ 9,836,750 2,980,000 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31............ 3,329,014 -------------- 13,165,764 --------------
See notes to financial statements. 68 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 4.2% $ 1,908,222 Bear Stearns Commercial Mortgage Securities, Series 2001, Class A1, 6.08%, 02/15/35............ $ 2,061,927 4,875,000 DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 08/10/10............ 5,527,293 6,150,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33............ 6,979,487 14,665,037 GSR Mortgage Loan Trust, Series 2003-13, Class 1A1, 4.53%, 10/25/33............ 14,626,174 6,650,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35............ 7,423,118 7,425,000 LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35............ 8,192,573 6,900,000 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 01/15/10............ 8,239,776 8,710,000 Wachovia Bank Commercial Mortgage Trust, Series 2003-C8, Class A4, 4.96%, 11/15/35............ 8,763,304 -------------- 61,813,652 -------------- PRIVATE ASSET BACKED: OTHER -- 1.3% 4,158,208 Impac Secured Assets Common Owner Trust, Series 2003-2, Class A2, 6.00%, 08/25/33............ 4,335,486 2,949,480 SLM Student Loan Trust, Series 2002-1, Class A1, Floating Rate, 1.19%(c), 10/25/10......... 2,953,226 3,712,493 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12............ 3,746,306 7,892,201 Structured Asset Securities Corp., Series 2003-AL2, Class A, 3.36%, 01/25/31............ 7,573,059 -------------- 18,608,077 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: UTILITIES -- 0.6% $ 8,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10............ $ 9,417,665 -------------- REAL ESTATE -- 0.0% 505,000 EOP Operating LP, 7.50%, 04/19/29............ 566,864 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.3% 910,000 AvalonBay Communities, Series MTN, 6.63%, 09/15/11............ 1,009,220 295,000 Host Marriott LP -- 144A, 7.13%, 11/01/13............ 302,375 315,000 Mandalay Resort Group, Series B, 10.25%, 08/01/07........... 365,400 1,230,000 Mohegan Tribal Gaming, 6.38%, 07/15/09............ 1,276,125 825,000 Park Place Entertainment, 8.88%, 09/15/08............ 936,375 220,000 Park Place Entertainment, 7.00%, 04/15/13............ 235,950 -------------- 4,125,445 -------------- RETAIL -- 0.1% 1,195,000 Wal-Mart Stores, 7.55%, 02/15/30............ 1,475,348 -------------- RETAIL: SUPERMARKETS -- 0.2% 1,025,000 Kroger Company, 6.75%, 04/15/12............ 1,137,544 1,300,000 Kroger Company, 6.20%, 06/15/12............ 1,396,590 400,000 Kroger Company, Series B, 7.70%, 06/01/29............ 468,474 -------------- 3,002,608 -------------- SPECIAL PURPOSE ENTITY -- 0.2% 1,000,000 California Preferred Fund Trust, 7.00%, perpetual........... 1,015,062 800,000 Camp Pendelton/ Quantico -- 144A, 5.94%, 10/01/43............ 801,744 1,825,000 Principal Life Global -- 144A, 5.25%, 01/15/13............ 1,851,828 -------------- 3,668,634 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.6% 1,390,000 British Telecom PLC, Variable Rate, 8.88%, 12/15/30(l)........... 1,824,133
See notes to financial statements. 69 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 450,000 Crown Castle International Corp. -- 144A, 7.50%, 12/01/13............ $ 454,500 345,000 Deutsche Telekom, 8.50%, 06/15/10(l)......... 417,785 1,325,000 Deutsche Telekom International Corp., 8.25%, 06/15/05(l)......... 1,437,894 2,015,000 Deutsche Telekom International Finance, 8.75%, 06/15/30(l)......... 2,583,214 2,350,000 New England Telephone & Telegraph, 7.88%, 11/15/29............ 2,817,775 970,000 New Jersey Bell Telephone, 7.85%, 11/15/29............ 1,152,982 80,000 Panamsat Corp., 8.50%, 02/01/12............ 89,200 980,000 Qwest Capital Funding Corp., 7.75%, 08/15/06............ 1,019,200 625,000 Qwest Capital Funding Corp., 7.00%, 08/03/09............ 623,438 500,000 Qwest Corp. -- 144A, 9.13%, 03/15/12(l)......... 576,250 2,300,000 Verizon New Jersey, Inc., Series A, 5.88%, 01/17/12............ 2,446,892 900,000 Verizon Pennsylvania, Series A, 5.65%, 11/15/11............ 945,743 5,205,000 Vodafone Group PLC, 5.00%, 12/16/13............ 5,195,557 2,290,000 WorldCom, Inc., 6.40%, 08/15/05(f)......... 772,875 1,620,000 WorldCom, Inc., 8.00%, 05/15/06(f)......... 546,750 140,000 WorldCom, Inc., 7.50%, 05/15/11(f)......... 47,250 1,960,000 WorldCom, Inc., 8.25%, 05/15/31(f)......... 661,500 -------------- 23,612,938 -------------- TRANSPORTATION: FREIGHT -- 0.2% 1,350,000 Burlington Northern Santa Fe Corp., 7.29%, 06/01/36............ 1,606,859 1,705,000 Canadian National Railway Company, 6.90%, 07/15/28............ 1,912,079 -------------- 3,518,938 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TRANSPORTATION: SERVICES -- 0.1% $ 540,000 Omi Corp. -- 144A, 7.63%, 12/01/13............ $ 547,425 605,000 Overseas Shipholding Group, 8.25%, 03/15/13............ 651,131 300,000 Overseas Shipholding Group, 8.75%, 12/01/13............ 330,375 -------------- 1,528,931 -------------- UTILITIES -- 0.1% 325,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12........... 364,813 330,000 Orion Power Holdings, Inc., 12.00%, 05/01/10........... 402,600 -------------- 767,413 -------------- UTILITIES: ELECTRIC -- 1.3% 1,665,000 AES Corp. -- 144A, 8.75%, 05/15/13............ 1,868,963 1,735,000 Calpine Corp. -- 144A, 8.50%, 07/15/10............ 1,700,300 1,235,000 Dominion Resources, Inc., Series E, 6.75%, 12/15/32............ 1,325,428 1,970,000 DTE Energy Corp., 6.45%, 06/01/06............ 2,130,882 725,000 Edison Mission Energy, 7.73%, 06/15/09............ 694,188 1,485,000 First Energy Corp., Series C, 7.38%, 11/15/31............ 1,524,569 690,000 Midwest Generation LLC, Series A, 8.30%, 07/02/09............ 720,213 920,000 Midwest Generation LLC, Series B, 8.56%, 01/02/16............ 960,662 2,725,000 Ohio Edison -- 144A, 5.45%, 05/01/15............ 2,639,512 825,000 Oncor Electric Delivery, 6.38%, 01/15/15............ 898,680 925,000 Oncor Electric Delivery, 7.25%, 01/15/33............ 1,055,691 765,000 Progress Energy, Inc., 7.00%, 10/30/31............ 821,888
See notes to financial statements. 70 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 1,800,000 SP PowerAssets, Ltd. -- 144A, 5.00%, 10/22/13............ $ 1,813,739 450,000 Virginia Electric & Power, 5.25%, 12/15/15............ 452,538 -------------- 18,607,253 -------------- TOTAL CORPORATE BONDS AND NOTES (Cost $426,846,993).............. 432,492,851 -------------- MUNICIPAL BONDS -- 1.0% CALIFORNIA -- 0.1% 1,575,000 California State Department of Water Powersupply Revenue Bond, Series E, 3.98%, 05/01/05............ 1,600,405 -------------- ILLINOIS -- 0.8% 13,000,000 Illinois State Pension, General Obligation, 5.10%, 06/01/33............ 11,953,110 -------------- WISCONSIN -- 0.1% 1,125,000 Wisconsin State General Revenue Bond, Series A, 5.70%, 05/01/26............ 1,143,619 -------------- TOTAL MUNICIPAL BONDS (Cost $15,696,421)......... 14,697,134 -------------- FOREIGN GOVERNMENT OBLIGATIONS -- 14.4% 9,700,000 AID-Israel, 5.50%, 09/18/23............ 9,848,934 47,825,000 Bonos Y Obligation Del Estado, 6.00%, 01/31/08(h)......... 66,397,223 41,195,000 Bundesobligation, Series 142, 3.00%, 04/11/08(h)......... 51,104,082 23,975,000 Canadian Government, 5.25%, 06/01/13(j)......... 19,408,422 27,090,000 French Treasury Note, 3.50%, 01/12/08(h)......... 34,348,123 51,780,000 Government of Sweden, 5.00%, 01/28/09(i)......... 7,484,328 32,255,000 Government of Sweden, Series 1037, 8.00%, 08/15/07(i)......... 5,114,504 625,000 Province of Quebec, Series A, 7.37%, 03/06/26(g)......... 752,109 1,120,000 Province of Quebec, Series MTNA, 7.38%, 04/09/26............ 1,342,354 1,225,000 Province of Quebec, Series NJ, 7.50%, 07/15/23............ 1,507,241 2,997,753 Republic of Colombia, 9.75%, 04/09/11............ 3,417,438
PRINCIPAL VALUE --------- -------------- FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $ 1,000,000 United Mexican States, 4.63%, 10/08/08............ $ 1,015,000 2,295,000 United Mexican States, 8.38%, 01/14/11............ 2,731,050 4,880,000 United Mexican States, 8.13%, 12/30/19............ 5,465,600 1,115,000 United Mexican States, 8.00%, 09/24/22............ 1,222,598 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $199,398,533)........ 211,159,006 -------------- PREFERRED CORPORATE BONDS & NOTES -- 0.2% TELECOMMUNICATIONS EQUIPMENT AND SERVICES 2,000,000 TCI Communications Financing III, 9.65%, 03/31/27 (Cost $2,153,389)................ 2,420,000 -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 4.1% FANNIE MAE -- 0.2% 3,091,748 1.06%, 01/02/04(b)........... 3,091,748 -------------- FEDERAL HOME LOAN BANK -- 3.8% 27,400,000 0.75%, 01/02/04.............. 27,399,429 28,425,000 1.02%, 01/14/04.............. 28,414,530 -------------- 55,813,959 -------------- FREDDIE MAC -- 0.1% 1,552,502 1.06%, 01/27/04(b)........... 1,552,502 -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $60,458,209)......... 60,458,209 -------------- TIME DEPOSITS -- 5.7% 14,226,436 Bank of Montreal, 1.06%, 01/15/04(b)......... 14,226,436 6,210,009 Bank of Montreal, 1.06%, 02/17/04(b)......... 6,210,009 7,762,513 Bank of Novia Scotia, 1.08%, 03/10/04(b)......... 7,762,513 4,657,507 Citigroup, Inc., 1.08%, 01/05/04(b)......... 4,657,507 2,328,754 Citigroup, Inc., 1.09%, 02/06/04(b)......... 2,328,754 4,657,507 Credit Agricole Indosuez, 0.98%, 01/02/04(b)......... 4,657,507 4,657,507 Credit Agricole Indosuez, 1.08%, 01/28/04(b)......... 4,657,507 6,210,009 Den Danske Bank, 1.08%, 01/20/04(b)......... 6,210,009
See notes to financial statements. 71 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- TIME DEPOSITS (CONTINUED) $ 7,762,512 Royal Bank of Canada, 1.05%, 02/27/04(b)......... $ 7,762,512 3,881,256 Royal Bank of Scotland, 1.08%, 01/09/04(b)......... 3,881,256 1,552,502 Royal Bank of Scotland, 1.08%, 01/15/04(b)......... 1,552,502 11,643,768 Royal Bank of Scotland, 1.08%, 01/20/04(b)......... 11,643,768 3,881,256 Svenska Handlesbanken, 1.08%, 02/04/04(b)......... 3,881,256 1,552,503 Toronto Dominion Bank, 1.10%, 01/08/04(b)......... 1,552,503 2,328,754 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)......... 2,328,754 -------------- TOTAL TIME DEPOSITS (Cost $83,312,793)......... 83,312,793 -------------- SHORT TERM CORPORATE NOTES -- 2.7% 1,552,502 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)..... 1,552,502 1,552,502 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)..... 1,552,502 3,881,256 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)..... 3,881,256 3,105,005 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)..... 3,105,005 3,881,256 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)..... 3,881,256 6,210,009 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)..... 6,210,009
PRINCIPAL VALUE --------- -------------- SHORT TERM CORPORATE NOTES (CONTINUED) $10,091,265 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)..... $ 10,091,265 2,328,754 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)..... 2,328,754 7,762,512 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)..... 7,762,512 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $40,365,061)... 40,365,061 -------------- SHARES ------ REGULATED INVESTMENT COMPANIES -- 0.8% 5,433,758 American Aadvantage Select(b).................. 5,433,758 1,682,176 Merrill Lynch Premier Institutional Fund(b)...... 1,682,176 4,657,507 Merrimac Cash Fund -- Premium Class(b)................... 4,657,507 -------------- TOTAL REGULATED INVESTMENT COMPANIES (Cost $11,773,441)......... 11,773,441 -------------- PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.2% $ 1,694,356 General Electric Capital Corp., 1.09%, 01/09/04(b)......... 1,694,356 1,552,502 General Electric Capital Corp., 1.08%, 01/16/04(b)......... 1,552,502 -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $3,246,858).... 3,246,858 -------------- TOTAL SECURITIES (Cost $1,642,694,609)...... 1,661,686,950 --------------
See notes to financial statements. 72 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 5.9% $17,077,526 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $17,078,513 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $3,569,049, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $3,503,460, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $5,566,779, Morgan Stanley, 6.75%, due 04/15/11, with a value of $1,392,872, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $3,386,917)(b).... $ 17,077,526 10,504,538 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $10,504,801 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.54%, due 02/01/33, with a value of $11,029,765)............... 10,504,538 59,495,462 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $59,496,949 (Collateralized by U.S. Treasury Bond, 8.00%, due 11/15/21, with a value of $60,744,921)............... 59,495,462 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $87,077,526)......... 87,077,526 -------------- SECURITIES SOLD SHORT -- (0.3)% 5,200,000 Fannie Mae Gold, TBA, 5.00%, 01/01/04 (Proceeds $5,063,319)................ (5,117,122) -------------- CONTRACTS --------- CALL OPTIONS WRITTEN -- 0.0% 9,625,000 Fannie Mae Gold Expiring February 2004 @ 96.968, 5.00%, 02/05/04............ (40,618) 278 US Treasury Note (10 Year) March Future, Expiring February 2004 @ 110, zero coupon, 02/21/04........... (191,125) -------------- TOTAL CALL OPTIONS WRITTEN (Premium $444,723)......... (231,743) --------------
VALUE -------------- Total Investments -- 118.7% (Cost $1,724,264,093)...... $1,743,415,611 Liabilities less other assets -- (18.7)%.......... (274,628,604) -------------- NET ASSETS -- 100.0%......... $1,468,787,007 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $1,731,496,626. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.............. $ 27,928,917 Gross unrealized depreciation.............. (10,661,067) ------------ Net unrealized appreciation................ $ 17,267,850 ============
--------------- (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (c) Quarterly reset provision. The rate shown was in effect at December 31, 2003. (d) Monthly reset provision. The rate shown was in effect at December 31, 2003. (e) Security is segregated as collateral for written options and short sales. (f) Bond is in default. (g) Step bond. The rate shown was in effect at December 31, 2003. (h) Principal amount shown for this debt security is denominated in Euros. (i) Principal amount shown for this debt security is denominated in Swedish Krona. (j) Principal amount shown for this debt security is denominated in Canadian dollars. (k) Security is segregated as initial margin for futures contracts. (l) Variable Rate Security. Interest rate based on the credit rating of the issuer. The rate shown was in effect at December 31, 2003. ** Variable Rate Security. The rate shown was in effect at December 31, 2003. TBA To be assigned. Securities are purchased on a forward commitment basis with approximate principal amount (generally +/- 1.0%) and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned.
See notes to financial statements. 73 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS -- 64.7% ADVERTISING -- 0.2% 12,900 Interpublic Group of Companies, Inc.*(a)..................... $ 201,240 7,600 Omnicom Group, Inc. ........... 663,708 ------------ 864,948 ------------ AEROSPACE AND DEFENSE -- 0.9% 22,100 Boeing Company................. 931,294 8,100 General Dynamics Corp. ........ 732,159 2,800 Goodrich Corp. ................ 83,132 11,550 Lockheed Martin Corp. ......... 593,670 19,000 United Technologies Corp. ..... 1,800,630 ------------ 4,140,885 ------------ AGRICULTURE -- 0.1% 10,900 Monsanto Company............... 313,702 ------------ AIRLINES -- 0.0% 8,200 Southwest Airlines Company..... 132,348 ------------ APPAREL: MANUFACTURING -- 0.3% 5,450 Jones Apparel Group, Inc. ..... 192,004 2,750 Liz Claiborne, Inc. ........... 97,515 15,250 Nike, Inc. -- Class B.......... 1,044,015 2,200 Reebok International, Ltd.(a)...................... 86,504 ------------ 1,420,038 ------------ APPAREL: RETAIL -- 0.4% 16,950 Limited Brands................. 305,609 53,950 The Gap, Inc.(a)............... 1,252,179 ------------ 1,557,788 ------------ AUTOMOBILE: RETAIL -- 0.0% 10,750 AutoNation, Inc.*.............. 197,478 ------------ AUTOMOBILES -- 0.2% 14,200 General Motors Corp.(a)........ 758,280 ------------ AUTOMOTIVE EQUIPMENT -- 0.1% 2,400 Johnson Controls, Inc. ........ 278,688 ------------ BANKS -- 5.6% 9,500 AmSouth Bancorp................ 232,750 50,950 Bank of America Corp. ......... 4,097,908 19,950 Bank of New York Company, Inc. ........................ 660,744 30,250 Bank One Corp. ................ 1,379,098 5,650 BB&T Corp. .................... 218,316 6,048 Charter One Financial, Inc. ... 208,958 4,500 First Tennessee National Corp. ....................... 198,450 27,250 FleetBoston Financial Corp. ... 1,189,463
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 4,300 Golden West Financial Corp. ... $ 443,717 5,650 Huntington Bancshares, Inc. ... 127,125 98,300 J.P. Morgan Chase & Company.... 3,610,558 10,350 KeyCorp........................ 303,462 5,700 Marshall & Ilsley Corp. ....... 218,025 10,900 Mellon Financial Corp. ........ 349,999 16,300 National City Corp. ........... 553,222 3,850 North Fork Bancorp, Inc. ...... 155,810 5,550 Northern Trust Corp. .......... 257,631 7,400 PNC Financial Services Group... 405,002 5,900 Regions Financial Corp. ....... 219,480 13,600 SouthTrust Corp. .............. 445,128 8,900 State Street Corp. ............ 463,512 7,400 SunTrust Banks, Inc. .......... 529,100 49,282 U.S. Bancorp................... 1,467,618 5,400 Union Planters Corp. .......... 170,046 67,050 Wachovia Corp. ................ 3,123,859 24,000 Washington Mutual, Inc. ....... 962,880 43,250 Wells Fargo & Company.......... 2,546,992 2,850 Zions Bancorp.................. 174,791 ------------ 24,713,644 ------------ BROADCAST SERVICES/MEDIA -- 1.9% 56,100 Comcast Corp. -- Class A*...... 1,844,007 30,950 Delphi Corp. .................. 316,000 6,950 Gannett Company, Inc. ......... 619,662 7,650 McGraw-Hill Companies, Inc. ... 534,888 3,100 Meredith Corp. ................ 151,311 118,500 Time Warner, Inc.*............. 2,131,815 7,900 Tribune Company................ 407,640 18,050 Viacom, Inc. -- Class B........ 801,059 53,400 Walt Disney Company............ 1,245,822 ------------ 8,052,204 ------------ BUSINESS SERVICES -- 0.5% 12,000 Concord EFS, Inc.*............. 178,080 4,000 Convergys Corp.*............... 69,840 6,850 Ecolab, Inc. .................. 187,485 13,250 First Data Corp. .............. 544,443 5,100 Fiserv, Inc.*.................. 201,501 3,950 Moody's Corp. ................. 239,173 15,400 Paychex, Inc. ................. 572,879 5,050 Robert Half International, Inc.*........................ 117,867 ------------ 2,111,268 ------------
See notes to financial statements. 74 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) CHEMICALS -- 0.7% 6,250 Air Products and Chemicals, Inc. ........................ $ 330,187 24,000 Dow Chemical Company........... 997,680 5,750 Engelhard Corp. ............... 172,213 2,200 Hercules, Inc.*................ 26,840 2,500 International Flavors & Fragrances, Inc. ............ 87,300 7,400 PPG Industries, Inc. .......... 473,748 9,200 Praxair, Inc. ................. 351,440 6,500 Rohm And Haas Company.......... 277,615 2,300 Sigma-Aldrich Corp.(a)......... 131,514 ------------ 2,848,537 ------------ COMMERCIAL SERVICES -- 0.3% 60,000 Cendant Corp.*................. 1,336,200 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.3% 9,750 Adobe Systems, Inc. ........... 383,175 3,200 Autodesk, Inc. ................ 78,656 15,850 Automatic Data Processing, Inc. ........................ 627,818 9,950 BMC Software, Inc.*............ 185,568 10,550 Citrix Systems, Inc.*.......... 223,766 15,250 Computer Associates International, Inc.(a)....... 416,935 1,950 Computer Sciences Corp.*....... 86,249 8,450 Compuware Corp.*............... 51,038 7,600 Electronic Arts, Inc.*......... 363,128 11,950 Electronic Data Systems Corp.(a)..................... 293,253 6,500 Intuit, Inc.*.................. 343,915 1,900 Mercury Interactive Corp.*(a).................... 92,416 275,350 Microsoft Corp. ............... 7,583,138 3,450 NVIDIA Corp.*(a)............... 80,213 136,650 Oracle Corp.*.................. 1,803,779 8,100 PeopleSoft, Inc.*.............. 184,680 26,200 Siebel Systems, Inc.*.......... 363,394 6,800 SunGard Data Systems, Inc.*.... 188,428 9,950 Unisys Corp.*.................. 147,758 25,950 VERITAS Software Corp.*........ 964,301 ------------ 14,461,608 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 2.7% 15,450 Apple Computer, Inc.*.......... 330,167 65,700 Dell, Inc.*.................... 2,231,172 127,100 EMC Corp.*..................... 1,642,132 19,350 Gateway, Inc.*................. 89,010 79,387 Hewlett-Packard Company........ 1,823,519 44,000 International Business Machines Corp. ....................... 4,077,919
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) COMPUTERS AND OFFICE EQUIPMENT (CONTINUED) 5,350 Lexmark International Group, Inc.*........................ $ 420,724 19,050 Network Appliance, Inc.*(a).... 391,097 5,750 Pitney Bowes, Inc. ............ 233,565 79,750 Sun Microsystems, Inc.*........ 358,078 20,500 Xerox Corp.*(a)................ 282,900 ------------ 11,880,283 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.2% 750 American Standard Companies, Inc.*........................ 75,525 1,700 Centex Corp.(a)................ 183,005 1,400 KB Home........................ 101,528 12,250 Masco Corp. ................... 335,772 700 Pulte Homes, Inc. ............. 65,534 2,850 Vulcan Materials Company....... 135,575 ------------ 896,939 ------------ CONSUMER GOODS AND SERVICES -- 4.7% 1,600 Alberto-Culver Company -- Class B............................ 100,928 53,150 Altria Group, Inc. ............ 2,892,423 5,900 Avon Products, Inc. ........... 398,191 5,750 Clorox Company................. 279,220 14,150 Colgate-Palmolive Company...... 708,208 6,950 Eastman Kodak Company(a)....... 178,407 7,400 FedEx Corp. ................... 499,500 4,450 Fortune Brands, Inc. .......... 318,131 256,750 General Electric Company....... 7,954,114 60,100 Gillette Company............... 2,207,473 21,000 Kimberly-Clark Corp. .......... 1,240,890 7,800 Leggett & Platt, Inc. ......... 168,714 33,600 Procter & Gamble Company....... 3,355,967 4,150 Sherwin-Williams Company....... 144,171 1,900 Whirlpool Corp. ............... 138,035 ------------ 20,584,372 ------------ CONTAINERS AND PACKAGING -- 0.1% 1,300 Ball Corp. .................... 77,441 2,200 Bemis Company, Inc. ........... 110,000 7,800 Pactiv Corp.*.................. 186,420 4,850 Sealed Air Corp.*.............. 262,579 ------------ 636,440 ------------
See notes to financial statements. 75 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) DISTRIBUTION -- 0.0% 2,550 W.W. Grainger, Inc. ........... $ 120,845 ------------ EDUCATION -- 0.1% 4,550 Apollo Group, Inc. -- Class A*........................... 309,400 ------------ ELECTRONICS -- 0.4% 11,000 Emerson Electric Company....... 712,249 4,750 Jabil Circuit, Inc.*........... 134,425 5,050 Molex, Inc. ................... 176,195 4,950 Rockwell Collins, Inc. ........ 148,649 30,350 Sanmina-SCI Corp.*............. 382,713 20,550 Solectron Corp.*............... 121,451 2,900 Tektronix, Inc.*............... 91,640 ------------ 1,767,322 ------------ ENVIRONMENTAL MANAGEMENT SERVICES -- 0.2% 10,800 Allied Waste Industries, Inc.*(a)..................... 149,904 17,600 Waste Management, Inc. ........ 520,960 ------------ 670,864 ------------ FINANCIAL SERVICES -- 5.4% 34,100 American Express Company....... 1,644,643 3,900 Bear Stearns Companies, Inc. ........................ 311,805 13,500 Capital One Financial Corp.(a)..................... 827,415 34,050 Charles Schwab Corp. .......... 403,152 131,749 Citigroup, Inc. ............... 6,395,095 10,600 Countrywide Financial Corp. ... 804,010 1,950 Deluxe Corp. .................. 80,594 5,400 Equifax, Inc. ................. 132,300 25,250 Fannie Mae..................... 1,895,265 6,350 Franklin Resources, Inc. ...... 330,581 17,950 Freddie Mac.................... 1,046,844 12,200 Goldman Sachs Group, Inc.(a)... 1,204,506 7,500 H&R Block, Inc. ............... 415,275 11,200 Lehman Brothers Holdings, Inc. ........................ 864,864 33,050 MBNA Corp. .................... 821,293 50,000 Merrill Lynch & Company, Inc.(a)...................... 2,932,499 41,050 Morgan Stanley................. 2,375,564 7,500 Providian Financial Corp.*..... 87,300 14,000 Prudential Financial, Inc. .... 584,780 11,850 SLM Corp. ..................... 446,508 3,600 T. Rowe Price Group, Inc. ..... 170,676 ------------ 23,774,969 ------------ FOOD AND BEVERAGE -- 2.5% 22,300 Anheuser-Busch Companies, Inc. ........................ 1,174,764 17,350 Archer-Daniels-Midland Company...................... 264,067
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE (CONTINUED) 600 Brown-Forman Corp. -- Class B............................ $ 56,070 10,750 Campbell Soup Company.......... 288,100 62,600 Coca-Cola Company.............. 3,176,949 4,500 Coca-Cola Enterprises, Inc. ... 98,415 23,000 ConAgra Foods, Inc. ........... 606,970 10,400 General Mills, Inc.(a)......... 471,120 9,050 H.J. Heinz Company............. 329,692 1,300 Hershey Foods Corp. ........... 100,087 10,050 Kellogg Company................ 382,704 3,700 McCormick & Company, Inc. ..... 111,370 6,700 Pepsi Bottling Group, Inc. .... 162,006 44,150 PepsiCo, Inc. ................. 2,058,273 22,250 Sara Lee Corp. ................ 483,048 17,000 Sysco Corp. ................... 632,910 5,900 Wm. Wrigley Jr. Company(a)..... 331,639 ------------ 10,728,184 ------------ INSURANCE -- 2.9% 7,200 Ace, Ltd. ..................... 298,224 4,000 Aetna, Inc. ................... 270,320 13,350 AFLAC, Inc. ................... 483,003 18,600 Allstate Corp. ................ 800,171 3,100 Ambac Financial Group, Inc. ... 215,109 67,053 American International Group, Inc. ........................ 4,444,272 7,850 Aon Corp. ..................... 187,929 4,650 Chubb Corp. ................... 316,665 8,300 CIGNA Corp. ................... 477,250 1,700 Cincinnati Financial Corp. .... 71,196 7,400 Hartford Financial Services Group, Inc. ................. 436,822 8,650 Humana, Inc.*.................. 197,653 4,400 Jefferson-Pilot Corp. ......... 222,860 7,950 John Hancock Financial Services, Inc. .............. 298,125 4,700 Lincoln National Corp. ........ 189,739 5,400 Marsh & McLennan Companies, Inc. ........................ 258,606 4,300 MBIA, Inc. .................... 254,689 20,050 MetLife, Inc. ................. 675,084 2,750 MGIC Investment Corp. ......... 156,585 8,650 Principal Financial Group, Inc. ........................ 286,056 9,100 Progressive Corp. ............. 760,669 3,850 SAFECO Corp. .................. 149,881 6,200 St. Paul Companies, Inc. ...... 245,830
See notes to financial statements. 76 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 3,600 Torchmark Corp. ............... $ 163,944 26,496 Travelers Property Casualty Corp. -- Class B............. 449,637 3,600 XL Capital, Ltd. -- Class A(a)......................... 279,180 ------------ 12,589,499 ------------ INTERNET SERVICES -- 1.6% 179,500 Cisco Systems, Inc.*........... 4,360,054 16,650 eBay, Inc.*.................... 1,075,424 4,450 Monster Worldwide, Inc.*(a).... 97,722 8,300 Novell, Inc.*.................. 87,316 12,350 Symantec Corp.*(a)............. 427,928 16,550 YAHOO!, Inc.*.................. 747,564 ------------ 6,796,008 ------------ LEISURE AND RECREATION -- 0.3% 2,050 Brunswick Corp. ............... 65,252 6,300 Carnival Corp. ................ 250,299 4,100 Harrah's Entertainment, Inc. ........................ 204,057 4,150 Hilton Hotels Corp. ........... 71,090 9,200 International Game Technology................... 328,439 2,450 Marriott International, Inc. -- Class A...................... 113,190 5,100 Starwood Hotels & Resorts...... 183,447 ------------ 1,215,774 ------------ MACHINERY -- 0.6% 8,800 Caterpillar, Inc. ............. 730,576 13,950 Deere & Company................ 907,448 5,200 Dover Corp. ................... 206,700 5,000 Ingersoll-Rand Company -- Class A(a)......................... 339,400 8,200 Rockwell Automation, Inc. ..... 291,920 ------------ 2,476,044 ------------ MANUFACTURING -- 1.7% 39,000 3M Company..................... 3,316,169 2,800 Cooper Industries, Ltd. -- Class A.............. 162,204 6,250 Danaher Corp.(a)............... 573,438 1,950 Eaton Corp. ................... 210,561 22,100 Honeywell International, Inc. ........................ 738,803 7,700 Illinois Tool Works, Inc.(a)... 646,107 2,350 ITT Industries, Inc. .......... 174,394 3,250 Parker-Hannifin Corp. ......... 193,375
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MANUFACTURING (CONTINUED) 4,150 Textron, Inc. ................. $ 236,799 50,550 Tyco International, Ltd. ...... 1,339,575 ------------ 7,591,425 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.9% 5,500 Anthem, Inc.*(a)............... 412,500 700 Express Scripts, Inc.*(a)...... 46,501 16,350 IMS Health, Inc.(a)............ 406,461 3,100 McKesson Corp. ................ 99,696 6,958 Medco Health Solutions, Inc.*........................ 236,502 34,600 UnitedHealth Group, Inc. ...... 2,013,028 7,900 WellPoint Health Networks, Inc.*........................ 766,221 ------------ 3,980,909 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 2.5% 3,350 Allergan, Inc. ................ 257,314 1,600 Bausch & Lomb, Inc. ........... 83,040 16,900 Baxter International, Inc. .... 515,788 7,900 Becton, Dickinson and Company...................... 325,006 7,450 Biomet, Inc.(a)................ 271,255 34,150 Boston Scientific Corp.*....... 1,255,354 1,300 C. R. Bard, Inc. .............. 105,625 5,550 Genzyme Corp.*................. 273,837 18,400 Guidant Corp. ................. 1,107,680 76,600 Johnson & Johnson.............. 3,957,155 32,000 Medtronic, Inc. ............... 1,555,520 4,400 St. Jude Medical, Inc.*........ 269,940 5,200 Stryker Corp. ................. 442,052 5,200 Zimmer Holdings, Inc.*......... 366,080 ------------ 10,785,646 ------------ METALS AND MINING -- 0.4% 22,100 Alcoa, Inc. ................... 839,800 4,500 Freeport-McMoRan Copper & Gold, Inc. -- Class B(a)........... 189,585 11,000 Newmont Mining Corp. .......... 534,710 2,100 Phelps Dodge Corp.*(a)......... 159,789 ------------ 1,723,884 ------------ MOTOR VEHICLES -- 0.6% 111,650 Ford Motor Company(a).......... 1,786,400 7,750 Harley-Davidson, Inc.(a)....... 368,358 6,000 PACCAR, Inc. .................. 510,720 ------------ 2,665,478 ------------
See notes to financial statements. 77 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) OIL AND GAS: PIPELINES -- 0.1% 3,700 Kinder Morgan, Inc. ........... $ 218,670 17,700 Williams Companies, Inc. ...... 173,814 ------------ 392,484 ------------ OIL, COAL AND GAS -- 3.8% 3,500 Amerada Hess Corp. ............ 186,095 6,650 Anadarko Petroleum Corp. ...... 339,217 1,682 Apache Corp. .................. 136,410 3,900 BJ Services Company*........... 140,010 5,800 Burlington Resources, Inc. .... 321,204 38,800 ChevronTexaco Corp. ........... 3,351,932 28,213 ConocoPhillips................. 1,849,926 14,100 Devon Energy Corp. ............ 807,366 1,200 EOG Resources, Inc. ........... 55,404 170,750 Exxon Mobil Corp. ............. 7,000,749 4,500 Halliburton Company............ 117,000 2,400 Kerr-McGee Corp. .............. 111,576 8,200 Marathon Oil Corp. ............ 271,338 3,900 Nabors Industries, Ltd.*....... 161,850 1,650 Noble Corp.*................... 59,037 22,200 Occidental Petroleum Corp. .... 937,728 5,100 Sunoco, Inc. .................. 260,865 3,200 Transocean, Inc.*.............. 76,832 6,800 Unocal Corp. .................. 250,444 ------------ 16,434,983 ------------ PAPER AND FOREST PRODUCTS -- 0.4% 1,600 Boise Cascade Corp. ........... 52,576 10,300 Georgia-Pacific Corp. ......... 315,901 12,350 International Paper Company.... 532,408 6,450 Louisiana-Pacific Corp.*....... 115,326 4,850 MeadWestvaco Corp. ............ 144,288 5,800 Weyerhauser Company............ 371,200 ------------ 1,531,699 ------------ PHARMACEUTICALS -- 3.7% 41,000 Abbott Laboratories............ 1,910,600 21,200 Bristol-Myers Squibb Company... 606,320 29,200 Eli Lilly and Company.......... 2,053,636 3,700 Forest Laboratories, Inc.*..... 228,660 10,350 King Pharmaceuticals, Inc.*.... 157,941 58,450 Merck & Company, Inc. ......... 2,700,390 198,160 Pfizer, Inc. .................. 7,000,992
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 2,600 Watson Pharmaceuticals, Inc.*........................ $ 119,600 34,700 Wyeth.......................... 1,473,014 ------------ 16,251,153 ------------ PRINTING AND PUBLISHING -- 0.1% 800 Knight-Ridder, Inc. ........... 61,896 3,850 New York Times Company -- Class A............................ 183,992 3,300 R.R. Donnelley & Sons Company(a)................... 99,495 ------------ 345,383 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.2% 10,250 Equity Office Properties Trust........................ 293,662 7,550 Equity Residential............. 222,801 6,100 Simon Property Group, Inc. .... 282,674 ------------ 799,137 ------------ RESEARCH AND DEVELOPMENT -- 0.6% 32,784 Amgen, Inc.*................... 2,026,051 3,300 Biogen Idec, Inc.*............. 121,374 4,750 Chiron Corp.*.................. 270,703 2,500 MedImmune, Inc.*............... 63,500 ------------ 2,481,628 ------------ RETAIL -- 4.1% 10,250 Bed Bath & Beyond, Inc.*....... 444,338 18,700 Best Buy Company, Inc. ........ 976,888 4,000 Big Lots, Inc.*................ 56,840 19,000 Costco Wholesale Corp.*........ 706,420 15,850 CVS Corp. ..................... 572,502 8,050 Dollar General Corp. .......... 168,970 4,650 Family Dollar Stores, Inc. .... 166,842 10,550 Federated Department Stores, Inc. ........................ 497,222 105,000 Home Depot, Inc. .............. 3,726,449 2,850 J.C. Penney Company, Inc.(a)... 74,898 20,350 Lowe's Companies, Inc. ........ 1,127,186 8,000 May Department Stores Company(a)................... 232,560 3,650 Nordstrom, Inc.(a)............. 125,195 8,100 Office Depot, Inc.*(a)......... 135,351 9,500 RadioShack Corp. .............. 291,460 7,500 Sears, Roebuck & Company....... 341,175 27,900 Staples, Inc.*................. 761,670 3,850 Tiffany & Company.............. 174,020 5,400 TJX Companies, Inc. ........... 119,070
See notes to financial statements. 78 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 9,800 Toys "R" Us, Inc.*(a).......... $ 123,872 111,320 Wal-Mart Stores, Inc. ......... 5,905,525 25,900 Walgreen Company............... 942,242 ------------ 17,670,695 ------------ RETAIL: RESTAURANTS -- 0.8% 7,950 Darden Restaurants, Inc.(a).... 167,268 76,150 McDonald's Corp. .............. 1,890,805 23,450 Starbucks Corp.*............... 775,257 7,400 Wendy's International, Inc. ... 290,376 11,800 YUM! Brands, Inc.*............. 405,920 ------------ 3,529,626 ------------ RETAIL: SUPERMARKETS -- 0.1% 19,100 Kroger Company*(a)............. 353,541 4,500 Safeway, Inc.*................. 98,595 4,750 SUPERVALU, Inc. ............... 135,803 4,400 Winn-Dixie Stores, Inc.(a)..... 43,780 ------------ 631,719 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2% 12,000 Agilent Technologies, Inc.*.... 350,880 6,900 Applera Corp.-Applied Biosystems Group............. 142,899 3,800 Pall Corp. .................... 101,954 7,000 PerkinElmer, Inc. ............. 119,490 5,200 Thermo Electron Corp.*......... 131,040 ------------ 846,263 ------------ SEMICONDUCTORS -- 3.0% 22,800 Altera Corp.*.................. 517,560 10,600 Analog Devices, Inc.*.......... 483,890 68,200 Applied Materials, Inc.*....... 1,531,090 3,100 Broadcom Corp. -- Class A*..... 105,679 203,200 Intel Corp. ................... 6,543,039 8,050 Linear Technology Corp. ....... 338,664 9,850 LSI Logic Corp.*............... 87,370 19,200 Maxim Integrated Products, Inc. ........................ 956,160 4,450 National Semiconductor Corp.*....................... 175,375 4,000 Novellus Systems, Inc.*........ 168,200 2,800 QLogic Corp.*.................. 144,480 5,200 Teradyne, Inc.*................ 132,340 44,600 Texas Instruments, Inc. ....... 1,310,348 9,900 Xilinx, Inc.*.................. 383,526 ------------ 12,877,721 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.0% 7,900 ALLTEL Corp. .................. $ 367,982 17,010 AT&T Corp. .................... 345,303 27,300 AT&T Wireless Services, Inc.*........................ 218,127 26,650 Avaya, Inc.*................... 344,851 73,150 BellSouth Corp. ............... 2,070,145 4,050 CenturyTel, Inc. .............. 132,111 18,700 CIENA Corp.*................... 124,168 8,400 Comverse Technology, Inc.*..... 147,756 30,000 Corning, Inc.*(a).............. 312,900 102,900 Lucent Technologies, Inc.*..... 292,236 60,550 Motorola, Inc. ................ 851,939 60,800 Nextel Communications, Inc. -- Class A*..................... 1,706,048 8,150 QUALCOMM, Inc. ................ 439,530 85,000 SBC Communications, Inc. ...... 2,215,950 9,550 Scientific-Atlanta, Inc. ...... 260,715 23,250 Sprint Corp. (FON Group)....... 381,765 6,500 Symbol Technologies, Inc. ..... 109,785 10,400 Tellabs, Inc.*................. 87,672 69,950 Verizon Communications, Inc. ........................ 2,453,845 ------------ 12,862,828 ------------ TOOLS -- 0.1% 2,200 Black & Decker Corp. .......... 108,504 1,700 Snap-on, Inc. ................. 54,808 2,650 Stanley Works.................. 100,356 ------------ 263,668 ------------ TOYS -- 0.1% 11,200 Hasbro, Inc. .................. 238,336 18,800 Mattel, Inc. .................. 362,276 ------------ 600,612 ------------ TRANSPORTATION -- 0.5% 29,250 United Parcel Service, Inc. -- Class B...................... 2,180,588 ------------ TRANSPORTATION: FREIGHT -- 0.1% 9,400 Burlington Northern Santa Fe Corp. ....................... 304,090 2,600 Union Pacific Corp. ........... 180,648 ------------ 484,738 ------------ TRANSPORTATION: SERVICES -- 0.0% 3,000 Ryder System, Inc. ............ 102,450 ------------
See notes to financial statements. 79 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC -- 1.4% 23,900 Aes Corp.*..................... $ 225,616 4,500 Ameren Corp. .................. 207,000 9,840 American Electric Power Company, Inc. ............... 300,218 4,700 American Power Conversion Corp.(a)..................... 114,915 14,600 CenterPoint Energy, Inc. ...... 141,474 4,300 Cinergy Corp. ................. 166,883 2,400 Consolidated Edison, Inc. ..... 103,224 8,250 Constellation Energy Group, Inc. ........................ 323,070 3,600 Dominion Resources, Inc. ...... 229,788 9,750 Duke Energy Corp. ............. 199,388 20,150 Edison International........... 441,890 5,650 Entergy Corp. ................. 322,785 8,350 Exelon Corp. .................. 554,105 8,300 FirstEnergy Corp. ............. 292,160 4,800 FPL Group, Inc. ............... 314,016 12,250 PG&E Corp.*.................... 340,183 4,700 PPL Corp. ..................... 205,625 2,650 Progress Energy, Inc. ......... 119,939 6,800 Public Service Enterprise Group, Inc. ................. 297,840 20,500 Southern Company............... 620,124 8,100 TXU Corp. ..................... 192,132 10,350 Xcel Energy, Inc. ............. 175,743 ------------ 5,888,118 ------------ UTILITIES: GAS -- 0.1% 4,000 KeySpan Corp. ................. 147,200 6,100 NiSource, Inc. ................ 133,834 650 Peoples Energy Corp. .......... 27,326 5,700 Sempra Energy.................. 171,342 ------------ 479,702 ------------ TOTAL COMMON STOCKS (Cost $244,202,158)................ 281,037,096 ------------ REGULATED INVESTMENT COMPANIES -- 0.5% 997,683 American Aadvantage Select(b).................... 997,683 308,862 Merrill Lynch Premier Institutional Fund(b)........ 308,862 855,157 Merrimac Cash Fund -- Premium Class(b)..................... 855,157 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $2,161,702).................. 2,161,702 ------------ PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 6.4% US TREASURY BONDS -- 2.5% $ 1,580,000 10.38%, 11/15/12(a)............ $ 2,016,290 2,540,000 12.00%, 08/15/13............... 3,510,163 885,000 9.25%, 02/15/16................ 1,270,564 1,200,000 8.13%, 08/15/19................ 1,621,313 1,475,000 8.50%, 02/15/20................ 2,060,565 165,000 5.38%, 02/15/31................ 172,122 ------------ 10,651,017 ------------ US TREASURY NOTES -- 3.3% 2,575,000 2.00%, 08/31/05................ 2,592,402 10,190,000 1.63%, 10/31/05(a)............. 10,177,272 1,075,000 2.38%, 08/15/06(a)............. 1,081,132 375,000 2.63%, 11/15/06(a)............. 378,428 220,000 3.25%, 08/15/07................ 224,477 20,000 3.38%, 12/15/08................ 20,142 55,000 4.25%, 11/15/13................ 54,957 ------------ 14,528,810 ------------ US TREASURY STRIPS -- 0.6% 4,895,000 Zero coupon, 05/15/17.......... 2,502,750 ------------ TOTAL US TREASURY SECURITIES (Cost $27,452,444)........... 27,682,577 ------------ US GOVERNMENT AGENCY SECURITIES -- 13.3% FANNIE MAE -- 6.5% 300,000 1.75%, 06/16/06................ 295,565 325,000 7.13%, 03/15/07................ 368,495 660,000 5.75%, 02/15/08................ 725,706 1,115,000 3.75%, 09/15/08................ 1,115,468 400,000 6.63%, 09/15/09................ 457,943 1,770,000 7.25%, 01/15/10................ 2,089,501 1,275,000 7.13%, 06/15/10................ 1,501,047 1,100,000 6.63%, 11/15/10................ 1,265,649 1,610,000 6.00%, 05/15/11................ 1,787,111 1,160,000 5.50%, 07/18/12................ 1,188,539 675,000 4.38%, 07/17/13................ 647,416 285,000 4.63%, 10/15/13................ 283,545 522,792 PL# 252345, 6.00%, 03/01/14.... 549,781 335,476 PL# 323842, 5.50%, 07/01/14.... 349,390 432,090 PL# 406815, 7.00%, 07/01/28.... 458,152 462,549 PL# 535675, 7.00%, 01/01/16.... 494,909 4,511 PL# 549906, 7.50%, 09/01/30.... 4,822 8,274 PL# 552549, 7.50%, 09/01/30.... 8,844 612,484 PL# 555531, 5.50%, 06/01/33.... 620,962 4,193 PL# 558384, 7.50%, 01/01/31.... 4,483
See notes to financial statements. 80 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 6,299 PL# 561844, 7.50%, 11/01/30.... $ 6,734 37,926 PL# 564462, 6.50%, 03/01/32.... 39,682 103,136 PL# 566031, 6.00%, 03/01/16.... 108,328 5,270 PL# 568677, 7.50%, 01/01/31.... 5,633 9,440 PL# 572762, 7.50%, 03/01/31.... 10,090 36,069 PL# 575334, 6.00%, 04/01/16.... 37,884 83,403 PL# 577523, 6.00%, 05/01/16.... 87,601 17,306 PL# 578769, 6.00%, 05/01/16.... 18,177 270,979 PL# 579234, 6.00%, 04/01/16.... 284,619 32,736 PL# 582178, 7.50%, 06/01/31.... 34,992 143,991 PL# 582491, 6.00%, 05/01/16.... 151,239 25,063 PL# 594316, 6.50%, 07/01/31.... 26,221 7,260 PL# 602859, 6.50%, 10/01/31.... 7,596 98,724 PL# 614924, 7.00%, 12/01/16.... 105,664 40,577 PL# 618454, 5.50%, 12/01/16.... 42,113 8,951 PL# 620174, 6.50%, 12/01/31.... 9,364 214,162 PL# 627256, 6.50%, 03/01/32.... 224,078 44,837 PL# 649576, 6.00%, 12/01/32.... 46,380 99,567 PL# 748975, 4.00%, 10/01/18.... 97,182 3,600,000 TBA, 5.00%, 01/01/19........... 3,672,001 2,500,000 TBA, 5.50%, 01/01/19........... 2,590,626 1,900,000 TBA, 6.00%, 01/01/19........... 1,992,625 1,200,000 TBA, 6.50%, 01/01/19........... 1,272,000 700,000 TBA, 5.50%, 01/01/34........... 709,188 100,000 TBA, 6.00%, 01/01/34........... 103,375 2,400,000 TBA, 6.50%, 01/01/34........... 2,510,251 ------------ 28,410,971 ------------ FANNIE MAE GOLD -- 1.1% 214,780 PL# E01172, 6.00%, 07/01/17(e).................. 225,449 477,170 PL# E89913, 6.00%, 05/01/17(e).................. 500,874 114,625 PL# E90603, 6.00%, 07/01/17(e).................. 120,319 284,442 PL# E90827, 5.50%, 08/01/17.... 295,119 188,551 PL# G01315, 7.00%, 09/01/31.... 199,558 2,100,000 TBA, 6.50%, 01/01/34........... 2,199,750 1,200,000 TBA, 5.00%, 01/14/34........... 1,184,626 ------------ 4,725,695 ------------ FREDDIE MAC -- 2.8% 695,000 3.50%, 04/01/08................ 693,369 140,000 3.63%, 09/15/08................ 141,078 2,825,000 3.88%, 11/10/08................ 2,863,357 590,000 6.63%, 09/15/09................ 675,520 1,190,000 4.38%, 02/04/10................ 1,190,840
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC (CONTINUED) $ 250,000 7.00%, 03/15/10................ $ 292,103 510,000 6.88%, 09/15/10................ 593,136 1,635,000 4.75%, 12/08/10................ 1,653,152 2,700,000 4.50%, 12/16/10................ 2,702,095 980,000 6.00%, 06/15/11................ 1,089,347 405,000 5.13%, 08/20/12................ 405,141 ------------ 12,299,138 ------------ FREDDIE MAC GOLD -- 1.7% 1,662,916 PL# A11986, 5.00%, 08/01/33.... 1,642,803 1,390,461 PL# A12447, 6.00%, 08/01/33.... 1,437,951 315,082 PL# A12800, 5.50%, 08/01/33.... 319,148 608,799 PL# A13041, 6.00%, 09/01/33(e).................. 629,592 298,578 PL# A13802, 5.00%, 09/01/33.... 294,966 436,545 PL# C01615, 6.00%, 08/01/33.... 451,455 651,909 PL# C01623, 5.50%, 09/01/33.... 660,321 103,591 PL# C64741, 7.00%, 03/01/32.... 109,639 87,183 PL# E00513, 6.00%, 09/01/12(e).................. 91,616 489,785 PL# E01388, 4.00%, 05/01/18.... 479,206 60,454 PL# E84467, 6.00%, 07/01/16(e).................. 63,452 109,911 PL# E89080, 6.00%, 04/01/17(e).................. 115,371 140,711 PL# E89874, 6.00%, 05/01/17(e).................. 147,689 89,091 PL# E91210, 6.00%, 09/01/17(e).................. 93,516 19,995 PL# G01309, 7.00%, 08/01/31.... 21,162 470,259 PL# G01391, 7.00%, 04/01/32.... 497,713 276,983 PL# G01477, 6.00%, 12/01/32.... 286,434 100,000 TBA, 6.00%, 01/01/19........... 104,781 ------------ 7,446,815 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.9% 581,614 PL# 003161, 6.50%, 11/20/31.... 612,527 19,451 PL# 461836, 7.00%, 01/15/28.... 20,770 40,902 PL# 480112, 6.00%, 04/15/29.... 42,561 45,369 PL# 499445, 6.00%, 04/15/29.... 47,209 76,320 PL# 552851, 6.00%, 10/15/32.... 79,424 66,410 PL# 555283, 6.50%, 04/15/32.... 70,037 199,390 PL# 555581, 7.00%, 10/15/31.... 212,629 35,736 PL# 569839, 6.50%, 06/15/32.... 37,688 130,148 PL# 578249, 6.00%, 10/15/32.... 135,441 90,670 PL# 587784, 6.50%, 12/15/32.... 95,621 391,443 PL# 590257, 6.00%, 10/15/32.... 407,364 12,822 PL# 596647, 7.00%, 09/15/32.... 13,668 136,554 PL# 780914, 6.00%, 11/15/28.... 142,180
See notes to financial statements. 81 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 593,071 PL# 781328, 7.00%, 09/15/31.... $ 632,608 1,200,000 TBA, 5.50%, 01/01/34........... 1,220,250 ------------ 3,769,977 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 0.2% 600,000 Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10.............. 658,737 ------------ RESOLUTION FUNDING STRIPS -- 0.1% 250,000 Zero coupon, 07/15/18.......... 113,674 250,000 Zero coupon, 10/15/18.......... 111,652 ------------ 225,326 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $57,177,093)................. 57,536,659 ------------ CORPORATE BONDS AND NOTES -- 11.1% AEROSPACE AND DEFENSE -- 0.2% 20,000 BE Aerospace -- 144A, 8.50%, 10/01/10.............. 21,550 50,000 Lockheed Martin Corp., 8.50%, 12/01/29.............. 65,718 430,000 Lockheed Martin Corp., 7.20%, 05/01/36.............. 510,357 90,000 Northrop Grumman Corp., 7.13%, 02/15/11.............. 104,241 20,000 Northrop Grumman Corp., 7.75%, 02/15/31.............. 24,397 120,000 Raytheon Company, 4.85%, 01/15/11.............. 120,336 ------------ 846,599 ------------ AIRLINES -- 0.0% 168,537 Continental Airlines, Inc., Series 974A, 6.90%, 01/02/18.............. 166,567 ------------ AUTOMOBILES -- 0.3% 150,000 Daimler Chrysler AG Corp., 7.45%, 03/01/27.............. 160,084 215,000 Daimler Chrysler NA Holding, 4.75%, 01/15/08.............. 220,175 500,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08.............. 497,092 245,000 Daimler Chrysler NA Holding, 6.50%, 11/15/13.............. 258,556 ------------ 1,135,907 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) AUTOMOTIVE EQUIPMENT -- 0.0% $ 90,000 Collins & Aikman Products, 10.75%, 12/31/11............. $ 88,875 70,000 Dura Operating Corp., Series B, 8.63%, 04/15/12.............. 74,900 ------------ 163,775 ------------ BANKS -- 0.9% 220,000 ANZ Capital Trust I -- 144A, 4.48%, perpetual............. 222,106 335,000 ANZ Capital Trust I -- 144A, 5.36%, perpetual............. 335,167 130,000 Bank of America Corp., 7.40%, 01/15/11.............. 152,682 155,000 Bank of America Corp., 3.88%, 01/15/08.............. 158,172 5,000 Bank of America Corp., 7.80%, 02/15/10.............. 5,953 425,000 Bank of America Corp., 4.38%, 12/01/10.............. 426,702 510,000 Barclays Bank PLC -- 144A, Floating Rate, 8.55%(c), perpetual.......... 627,655 175,000 Chase Manhattan Corp., 7.13%, 06/15/09.............. 201,193 600,000 DEPFA ACS Bank, 3.63%, 10/29/08.............. 596,532 100,000 HSBC Holdings PLC, 5.25%, 12/12/12.............. 102,588 50,000 JP Morgan Chase & Company, 5.25%, 05/30/07.............. 53,413 110,000 JP Morgan Chase & Company, 6.75%, 02/01/11.............. 124,212 75,000 Sovereign Bancorp, 10.50%, 11/15/06............. 88,762 250,000 Swedish Export Credit, 2.88%, 01/26/07.............. 251,455 50,000 U.S. Bancorp, Series MTNN, 3.95%, 08/23/07.............. 51,489 385,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%(l), 10/29/49........... 475,312 100,000 Wells Fargo Bank N.A., Series BKNT, Variable Rate, 7.80%(l), 06/15/10........... 107,975 ------------ 3,981,368 ------------ BROADCAST SERVICES/MEDIA -- 0.7% 225,000 AOL Time Warner, Inc., 7.63%, 04/15/31.............. 260,567 270,000 British Sky Broadcasting, 6.88%, 02/23/09.............. 303,470
See notes to financial statements. 82 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/ MEDIA (CONTINUED) $ 235,000 Charter Communications Holdings LLC, 10.75%, 10/01/09............. $ 216,788 35,000 Charter Communications Holdings LLC, 11.13%, 01/15/11(a).......... 32,288 570,000 Comcast Cable Communications, Inc., 6.88%, 06/15/09.............. 643,467 30,000 Comcast Corp., 5.50%, 03/15/11.............. 31,238 235,000 Comcast Corp., 7.05%, 03/15/33.............. 256,631 100,000 CSC Holdings, Inc., 7.88%, 02/15/18.............. 107,250 60,000 DirecTV Holdings, 8.38%, 03/15/13.............. 69,900 75,000 News America Holdings, 8.88%, 04/26/23.............. 96,395 75,000 News America Holdings, 7.63%, 11/30/28.............. 87,138 83,000 TCI Communications, Inc., 7.88%, 08/01/13.............. 98,418 75,000 TCI Communications, Inc., 7.88%, 02/15/26.............. 87,934 30,000 Time Warner, Inc., 7.25%, 10/15/17.............. 34,229 35,000 Time Warner, Inc., 6.88%, 06/15/18.............. 38,597 110,000 Time Warner, Inc., 6.95%, 01/15/28.............. 117,906 380,000 Time Warner, Inc., 6.63%, 05/15/29.............. 391,973 70,000 Vivendi Universal SA -- 144A, 6.25%, 07/15/08.............. 74,463 ------------ 2,948,652 ------------ CHEMICALS -- 0.1% 85,000 Crown Euro Holdings SA, 9.50%, 03/01/11.............. 96,688 50,000 Dow Chemical Company, 6.00%, 10/01/12.............. 52,721 325,000 Dow Chemical Company, 7.38%, 11/01/29.............. 364,511 15,000 Lyondell Chemical Company, 9.50%, 12/15/08.............. 15,750 45,000 Nalco Company -- 144A, 7.75%, 11/15/11.............. 48,375 ------------ 578,045 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES -- 0.2% $ 65,000 Ainsworth Lumber Company, Ltd., 13.88%, 07/15/07............. $ 75,075 85,000 Beazer Homes USA, 8.38%, 04/15/12.............. 94,138 75,000 D.R. Horton, Inc., 10.50%, 04/01/05............. 81,750 55,000 K. Hovnanian Enterprises, 6.50%, 01/15/14.............. 55,069 110,000 NVR, Inc., 5.00%, 06/15/10.............. 108,350 500,000 Ryland Group, 8.00%, 08/15/06.............. 547,499 20,000 Ryland Group, 5.38%, 06/01/08.............. 20,700 40,000 Ryland Group, 9.13%, 06/15/11.............. 45,900 ------------ 1,028,481 ------------ CONSUMER GOODS AND SERVICES -- 0.1% 310,000 General Electric Company, 5.00%, 02/01/13.............. 314,082 ------------ CONTAINERS AND PACKAGING -- 0.0% 130,000 Owens-Brockway Glass Containers, 8.75%, 11/15/12.............. 145,438 ------------ ELECTRONICS -- 0.1% 80,000 Flextronics International, Ltd., 6.50%, 05/15/13.............. 83,200 20,000 L-3 Communications Corp., 6.13%, 07/15/13.............. 20,250 245,000 L-3 Communications Corp. -- 144A, 6.13%, 01/15/14.............. 246,838 ------------ 350,288 ------------ ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1% 95,000 Allied Waste North America Industries, Inc., 7.88%, 04/15/13.............. 103,312 55,000 Allied Waste North America Industries, Inc., 7.40%, 09/15/35.............. 52,388 80,000 Allied Waste North America Industries, Inc., Series B, 8.88%, 04/01/08.............. 90,000 45,000 Allied Waste North America Industries, Inc., Series B, 9.25%, 09/01/12.............. 51,300 ------------ 297,000 ------------
See notes to financial statements. 83 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES -- 1.6% $ 140,000 Citigroup, Inc., 5.75%, 05/10/06.............. $ 150,755 300,000 Citigroup, Inc., 3.50%, 02/01/08.............. 301,408 585,000 Citigroup, Inc., 7.25%, 10/01/10.............. 682,779 205,000 Citigroup, Inc., 5.88%, 02/22/33.............. 202,170 300,000 Credit Suisse First Boston USA, Inc., 3.88%, 01/15/09.............. 299,981 180,000 Credit Suisse First Boston USA, Inc., 6.13%, 11/15/11.............. 196,280 175,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07.............. 195,987 545,000 General Electric Capital Corp., Series MTNA, 6.13%, 02/22/11.............. 600,435 420,000 General Electric Capital Corp., Series MTNA, 5.88%, 02/15/12.............. 452,120 50,000 General Electric Capital Corp., Series MTNA, 6.75%, 03/15/32.............. 55,540 80,000 General Motors Acceptance Corp., 7.75%, 01/19/10.............. 90,796 165,000 General Motors Acceptance Corp., 7.25%, 03/02/11.............. 181,278 190,000 General Motors Acceptance Corp., 6.88%, 09/15/11.............. 204,962 40,000 Goldman Sachs Group, Inc., 7.35%, 10/01/09.............. 46,707 205,000 Goldman Sachs Group, Inc., 6.60%, 01/15/12.............. 229,455 425,000 Goldman Sachs Group, Inc., 5.25%, 10/15/13.............. 429,897 135,000 Goldman Sachs Group, Inc., 6.13%, 02/15/33.............. 136,413 50,000 Household Finance Corp., 7.20%, 07/15/06.............. 55,642 275,000 Household Finance Corp., 6.75%, 05/15/11.............. 310,035 50,000 Household Finance Corp., 7.00%, 05/15/12.............. 57,110 390,000 Household Finance Corp., 6.38%, 11/27/12.............. 428,585 200,000 Household Finance Corp., 4.75%, 07/15/13.............. 194,886 75,000 Household Finance Corp., 7.63%, 05/17/32.............. 90,975
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 75,000 JP Morgan Chase & Company, 3.63%, 05/01/08.............. $ 75,226 120,000 JP Morgan Chase & Company, 4.50%, 11/15/10.............. 121,131 190,000 Lehman Brothers Holdings, Inc., 6.25%, 05/15/06.............. 206,530 55,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08.............. 62,175 75,000 Morgan Stanley, 6.10%, 04/15/06.............. 81,202 150,000 Morgan Stanley, 5.80%, 04/01/07.............. 163,168 180,000 Morgan Stanley, 6.75%, 04/15/11.............. 203,953 60,000 SLM Corp., Series MTN, 3.63%, 03/17/08.............. 59,802 150,000 SLM Corp., Series MTN, 5.63%, 08/01/33.............. 142,795 130,000 Wells Fargo Financial, 6.13%, 04/18/12.............. 142,579 ------------ 6,852,757 ------------ FOOD AND BEVERAGE -- 0.3% 80,000 Cadbury Schweppes -- 144A, 5.13%, 10/01/13.............. 79,630 100,000 Diageo Capital PLC, 3.50%, 11/19/07.............. 100,953 95,000 Diageo Capital PLC, 3.38%, 03/20/08.............. 94,471 125,000 General Mills, Inc., 5.13%, 02/15/07.............. 132,878 150,000 Kellogg Company, Series B, 6.60%, 04/01/11.............. 168,349 720,000 Kraft Foods, Inc., 5.63%, 11/01/11.............. 759,826 ------------ 1,336,107 ------------ FUNERAL SERVICES -- 0.0% 30,000 Service Corp. International, 7.70%, 04/15/09.............. 32,175 ------------ INSURANCE -- 0.4% 40,000 American General Capital II, 8.50%, 07/01/30.............. 52,199 65,000 Americo Life, Inc. -- 144A, 7.88%, 05/01/13.............. 65,163 575,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08.............. 580,966
See notes to financial statements. 84 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) INSURANCE (CONTINUED) $ 125,000 ASIF Global Financing -- 144A, 3.85%, 11/26/07.............. $ 127,172 115,000 Fund American Companies, Inc., 5.88%, 05/15/13.............. 116,602 50,000 MetLife, Inc., 6.50%, 12/15/32.............. 53,197 100,000 New York Life Insurance -- 144A, 5.88%, 05/15/33.............. 99,733 80,000 Pacific Life Corp. -- 144A, 6.60%, 09/15/33.............. 84,770 210,000 Protective Life Secured Trust, Series MTN, 3.70%, 11/24/08.............. 209,565 125,000 Prudential Financial, Inc., Series MTNB, 5.75%, 07/15/33.............. 118,470 100,000 Prudential Insurance Company -- 144A, 6.38%, 07/23/06.............. 108,997 ------------ 1,616,834 ------------ MANUFACTURING -- 0.2% 165,000 Briggs & Stratton Corp., 8.88%, 03/15/11.............. 194,700 90,000 Dresser, Inc., 9.38%, 04/15/11.............. 98,325 135,000 Tyco International Group SA, 6.38%, 06/15/05.............. 142,763 110,000 Tyco International Group SA, 6.38%, 02/15/06.............. 117,700 274,000 Tyco International Group SA, 5.80%, 08/01/06.............. 291,124 35,000 Tyco International Group SA, 6.75%, 02/15/11.............. 38,413 ------------ 883,025 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.1% 40,000 HCA, Inc., 6.95%, 05/01/12.............. 42,957 40,000 HCA, Inc., 6.25%, 02/15/13.............. 41,015 100,000 HCA, Inc., 7.50%, 11/06/33.............. 104,596 55,000 United Surgical Partners, Inc., 10.00%, 12/15/11............. 62,700 ------------ 251,268 ------------ METALS AND MINING -- 0.0% 125,000 Alcan, Inc., 6.13%, 12/15/33.............. 126,193 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES -- 0.3% $ 275,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14.............. $ 273,856 105,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13............. 121,275 100,000 El Paso Natural Gas, 8.38%, 06/15/32.............. 102,700 55,000 El Paso Production Holdings -- 144A, 7.75%, 06/01/13.............. 54,450 60,000 Gulfterra Energy Partner, 6.25%, 06/01/10.............. 62,700 46,000 Gulfterra Energy Partner -- 144A, 10.63%, 12/01/12............. 57,270 125,000 Kinder Morgan Energy Partners, 7.30%, 08/15/33.............. 142,500 50,000 Tennessee Gas Pipeline, 7.50%, 04/01/17.............. 51,875 40,000 Williams Companies, Inc., 7.13%, 09/01/11.............. 42,500 155,000 Williams Companies, Inc., 8.13%, 03/15/12.............. 172,825 ------------ 1,081,951 ------------ OIL, COAL AND GAS -- 0.3% 100,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31.............. 117,519 230,000 Anadarko Petroleum Corp., 5.38%, 03/01/07.............. 246,062 195,000 Conoco Funding Company, 6.35%, 10/15/11.............. 218,966 115,000 Conoco, Inc., 6.95%, 04/15/29.............. 130,827 90,000 ConocoPhillips, 5.90%, 10/15/32.............. 90,551 75,000 Devon Energy Corp., 7.95%, 04/15/32.............. 90,716 230,000 Encana Corp., 6.30%, 11/01/11.............. 254,734 75,000 Hanover Equipment Trust, Series B, 8.75%, 09/01/11.............. 79,875 50,000 Massey Energy Company, 6.95%, 03/01/07.............. 51,500 75,000 Suncor Energy, Inc., 5.95%, 12/01/34.............. 74,763 ------------ 1,355,513 ------------
See notes to financial statements. 85 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PAPER AND FOREST PRODUCTS -- 0.2% $ 30,000 Boise Cascade Company, 6.50%, 11/01/10.............. $ 31,338 90,000 Caraustar Industries, Inc., 7.38%, 06/01/09.............. 94,950 65,000 Georgia-Pacific Corp., 8.88%, 02/01/10.............. 74,425 190,000 Georgia-Pacific Corp. -- 144A, 8.00%, 01/15/24.............. 194,750 165,000 Weyerhaeuser Company, 5.25%, 12/15/09.............. 171,571 100,000 Weyerhaeuser Company, 6.75%, 03/15/12.............. 109,267 115,000 Weyerhaeuser Company, 7.13%, 07/15/23.............. 121,375 70,000 Weyerhaeuser Company, 6.88%, 12/15/33.............. 72,169 ------------ 869,845 ------------ PHARMACEUTICALS -- 0.1% 125,000 Bristol-Myers Squibb, 6.88%, 08/01/97.............. 137,343 175,000 Wyeth, 5.50%, 02/01/14.............. 177,339 ------------ 314,682 ------------ PRIVATE ASSET BACKED: AUTOMOBILES -- 0.4% 1,600,000 Daimler Chrysler Auto Trust, Series 01-C, Class A4, 4.63%, 12/06/06.............. 1,646,746 ------------ PRIVATE ASSET BACKED: BANKS -- 0.1% 429,730 Banc of America Funding Corp., Series 2003-1, Class A1, 6.00%, 05/20/33.............. 435,202 124,242 Washington Mutual MSC, Series 2002-MS12, Class A, 6.50%, 05/25/32..................... 128,215 ------------ 563,417 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 0.5% 1,250,000 Citibank Credit Card Issuance Trust, Series 2003-A6, Class A6, 2.90%, 05/17/10.............. 1,223,773 975,000 Sears Credit Account Master Trust, Series 2002-5, Class A, Floating Rate, 1.54%(d), 11/17/09........... 976,967 ------------ 2,200,740 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.4% $ 800,000 Countrywide Alternative Loan Trust, 5.00%, 02/15/19.............. $ 802,999 510,000 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31.............. 569,731 150,144 SLM, Series 2001-3, Class A1L, Floating Rate, 1.20%(c), 04/25/10........... 150,407 ------------ 1,523,137 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 1.1% 363,471 Bear Stearns Commercial Mortgage Securities, Series 2001, Class A1, 6.08%, 02/15/35.............. 392,748 900,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33.............. 1,021,387 1,090,000 GMAC Commercial Mortgage Securities, Inc., Series 2000-C3, Class A2, 6.96%, 09/15/35.............. 1,242,157 639,732 GS Mortgage Securities Corp., Series 1998-C1, Class A3, 6.14%, 10/18/30.............. 690,327 680,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35.............. 759,056 665,000 Salomon Brothers Mortgage Securities VII, 2000-C3, Series A2, 6.59%, 12/18/33.............. 746,714 ------------ 4,852,389 ------------ PRIVATE ASSET BACKED: OTHER -- 0.4% 378,019 Impac Secured Assets Common Owner Trust, Series 2003-2, Class A2, 6.00%, 08/25/33.............. 394,135 613,094 SLM Student Loan Trust, Series 2002-1, Class A1, Floating Rate, 1.19%(c), 10/25/10........... 613,873 512,910 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12.............. 517,582 ------------ 1,525,590 ------------
See notes to financial statements. 86 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: UTILITIES -- 0.5% $ 2,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10.............. $ 2,354,416 ------------ REAL ESTATE -- 0.0% 50,000 EOP Operating LP, 7.50%, 04/19/29.............. 56,125 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.1% 30,000 Host Marriott LP -- 144A, 7.13%, 11/01/13.............. 30,750 35,000 Mandalay Resort Group, Series B, 10.25%, 08/01/07............. 40,600 130,000 Mohegan Tribal Gaming, 6.38%, 07/15/09.............. 134,875 50,000 Park Place Entertainment, 8.88%, 09/15/08.............. 56,750 25,000 Park Place Entertainment, 7.00%, 04/15/13.............. 26,813 ------------ 289,788 ------------ RETAIL -- 0.0% 130,000 Wal-Mart Stores, 7.55%, 02/15/30.............. 160,498 ------------ RETAIL: SUPERMARKETS -- 0.1% 125,000 Kroger Company, 6.75%, 04/15/12.............. 138,725 200,000 Kroger Company, 6.20%, 06/15/12.............. 214,860 ------------ 353,585 ------------ SPECIAL PURPOSE ENTITY -- 0.0% 175,000 Principal Life Global -- 144A, 5.25%, 01/15/13.............. 177,573 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.6% 135,000 British Telecom PLC, Variable Rate, 8.88%, 12/15/30(l)........... 177,164 50,000 Crown Castle International Corp. -- 144A, 7.50%, 12/01/13.............. 50,500 45,000 Deutsche Telekom, Variable Rate, 8.50%, 06/15/10(l)........... 54,494 125,000 Deutsche Telekom International Corp., Variable Rate, 8.25%, 06/15/05(l)........... 135,650 215,000 Deutsche Telekom International Finance, Variable Rate, 8.75%, 06/15/30(l)........... 275,628
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 250,000 New England Telephone & Telegraph, 7.88%, 11/15/29.............. $ 299,763 210,000 New Jersey Bell Telephone, 7.85%, 11/15/29.............. 249,615 25,000 Panamsat Corp., 8.50%, 02/01/12.............. 27,875 245,000 Qwest Capital Funding Corp., 7.75%, 08/15/06.............. 254,800 115,000 Qwest Capital Funding Corp., 7.00%, 08/03/09.............. 114,713 130,000 Verizon Pennsylvania, Series A, 5.65%, 11/15/11.............. 136,607 410,000 Vodafone Group PLC, 5.00%, 12/16/13.............. 409,257 90,000 Vodafone Group PLC, 6.25%, 11/30/32.............. 92,163 630,000 WorldCom, Inc., 6.40%, 08/15/05(f)........... 212,625 430,000 WorldCom, Inc., 8.00%, 05/15/06(f)........... 145,125 20,000 WorldCom, Inc., 8.25%, 05/15/10(f)........... 6,750 260,000 WorldCom, Inc., 8.25%, 05/15/31(f)........... 87,750 ------------ 2,730,479 ------------ TRANSPORTATION: FREIGHT -- 0.2% 230,000 Burlington Northern Santa Fe Corp., 7.29%, 06/01/36.............. 273,761 400,000 Canadian National Railway Company, 6.90%, 07/15/28(k)........... 448,582 ------------ 722,343 ------------ TRANSPORTATION: SERVICES -- 0.0% 55,000 Omi Corp. -- 144A, 7.63%, 12/01/13.............. 55,756 90,000 Overseas Shipholding Group, 8.25%, 03/15/13.............. 96,863 45,000 Overseas Shipholding Group, 8.75%, 12/01/13.............. 49,556 ------------ 202,175 ------------
See notes to financial statements. 87 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES -- 0.0% $ 35,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12............. $ 39,288 35,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 42,700 ------------ 81,988 ------------ UTILITIES: ELECTRIC -- 0.5% 185,000 AES Corp. -- 144A, 8.75%, 05/15/13.............. 207,663 185,000 Calpine Corp. -- 144A, 8.50%, 07/15/10.............. 181,300 50,000 Dominion Resources, Inc., Series E, 6.75%, 12/15/32.............. 53,661 290,000 DTE Energy Corp., 6.45%, 06/01/06.............. 313,682 85,000 Edison Mission Energy, 7.73%, 06/15/09.............. 81,388 110,000 First Energy Corp., Series C, 7.38%, 11/15/31.............. 112,931 75,000 Midwest Generation LLC, Series A, 8.30%, 07/02/09.............. 78,284 95,000 Midwest Generation LLC, Series B, 8.56%, 01/02/16.............. 99,199 275,000 Ohio Edison -- 144A, 5.45%, 05/01/15.............. 266,373 25,000 Oncor Electric Delivery, 6.38%, 01/15/15.............. 27,233 150,000 Oncor Electric Delivery, 7.25%, 01/15/33.............. 171,193 160,000 Progress Energy, Inc., 7.00%, 10/30/31.............. 171,898 150,000 SP PowerAssets, Ltd. -- 144A, 5.00%, 10/22/13.............. 151,145 50,000 Virginia Electric & Power, 5.25%, 12/15/15.............. 50,282 ------------ 1,966,232 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $47,558,090)........... 48,083,773 ------------ MUNICIPAL BONDS -- 0.4% CALIFORNIA -- 0.1% 250,000 California State Department of Water Powersupply Revenue Bond, Series E, 3.98%, 05/01/05.............. 254,033 ------------
PRINCIPAL VALUE --------- ------------ MUNICIPAL BONDS (CONTINUED) ILLINOIS -- 0.3% $ 1,475,000 Illinois State Pension, General Obligation, 5.10%, 06/01/33.............. $ 1,356,218 ------------ WISCONSIN -- 0.0% 120,000 Wisconsin State General Revenue Bond, Series A, 5.70%, 05/01/26.............. 121,986 ------------ TOTAL MUNICIPAL BONDS (Cost $1,844,613).................. 1,732,237 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 3.8% 5,085,000 Bundesobligation, Series 142, 3.00%, 04/11/08(h)........... 6,308,150 2,625,000 Canadian Government, 5.25%, 06/01/13(j)........... 2,125,010 3,900,000 French Treasury Note, 3.50%, 01/12/08.............. 4,944,913 7,695,000 Government of Sweden, 5.00%, 01/28/09(i)........... 1,112,242 75,000 Province of Quebec, Series A, 7.37%, 03/06/26(g)........... 90,253 145,000 Province of Quebec, Series MTNA, 7.38%, 04/09/26.............. 173,787 90,000 Province of Quebec, Series NJ, 7.50%, 07/15/23.............. 110,736 533,562 Republic of Colombia, 9.75%, 04/09/11.............. 608,260 250,000 United Mexican States, 11.38%, 09/15/16............. 355,000 602,000 United Mexican States, 8.13%, 12/30/19.............. 674,240 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $15,378,415)................. 16,502,591 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.2% FANNIE MAE -- 0.1% 567,671 1.06%, 01/02/04(b)............. 567,671 ------------ FREDDIE MAC -- 0.1% 285,052 1.06%, 01/27/04(b)............. 285,052 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $852,723).................... 852,723 ------------ TIME DEPOSITS -- 3.5% 2,612,093 Bank of Montreal, 1.06%, 01/15/04(b)........... 2,612,093 1,140,210 Bank of Montreal, 1.06%, 02/17/04(b)........... 1,140,210
See notes to financial statements. 88 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS (CONTINUED) $ 1,425,262 Bank of Novia Scotia, 1.08%, 03/10/04(b)........... $ 1,425,262 855,157 Citigroup, Inc., 1.08%, 01/05/04(b)........... 855,157 427,579 Citigroup, Inc., 1.09%, 02/06/04(b)........... 427,579 855,157 Credit Agricole Indosuez, 0.98%, 01/02/04(b)........... 855,157 855,157 Credit Agricole Indosuez, 1.08%, 01/28/04(b)........... 855,157 1,140,210 Den Danske Bank, 1.08%, 01/20/04(b)........... 1,140,210 1,425,262 Royal Bank of Canada, 1.05%, 02/27/04(b)........... 1,425,262 712,631 Royal Bank of Scotland, 1.08%, 01/09/04(b)........... 712,631 285,052 Royal Bank of Scotland, 1.08%, 01/15/04(b)........... 285,052 2,137,893 Royal Bank of Scotland, 1.08%, 01/20/04(b)........... 2,137,893 712,631 Svenska Handlesbanken, 1.08%, 02/04/04(b)........... 712,631 285,052 Toronto Dominion Bank, 1.10%, 01/08/04(b)........... 285,052 427,579 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)........... 427,579 ------------ TOTAL TIME DEPOSITS (Cost $15,296,925)................. 15,296,925 ------------ SHORT TERM CORPORATE NOTES -- 1.7% 285,052 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)....... 285,052 285,052 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)....... 285,052
PRINCIPAL VALUE --------- ------------ SHORT TERM CORPORATE NOTES (CONTINUED) $ 712,631 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)....... $ 712,631 570,105 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)....... 570,105 712,631 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)....... 712,631 1,140,210 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)....... 1,140,210 1,852,841 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)....... 1,852,841 427,579 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)....... 427,579 1,425,262 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)....... 1,425,262 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $7,411,363)...... 7,411,363 ------------ SHORT TERM COMMERCIAL PAPER -- 0.1% 311,098 General Electric Capital Corp., 1.09%, 01/09/04(b)........... 311,098 285,052 General Electric Capital Corp., 1.08%, 01/16/04(b)........... 285,052 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $596,150)........ 596,150 ------------ TOTAL SECURITIES (Cost $419,931,676)................ 458,893,796 ------------
See notes to financial statements. 89 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 5.1% $ 3,135,576 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $3,135,757 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $655,307, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $643,265, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $1,022,107, Morgan Stanley, 6.75%, due 04/15/11, with a value of $255,743, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $621,866)(b)........ $ 3,135,576 1,509,171 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $1,509,209 (Collateralized by Small Business Administration, 4.38%, due 08/25/14, with a value of $1,584,629)......... 1,509,171 17,466,394 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $17,466,831 (Collateralized by Fannie Mae, 4.38%, due 03/01/33, with a value of $16,663,532 and Fannie Mae Adjustable Rate Mortgage, 5.34%, due 07/01/26, with a value of $1,676,270).................. 17,466,394 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $22,111,141)........... 22,111,141 ------------ SECURITIES SOLD SHORT -- (0.4)% 1,300,000 Fannie Mae Gold, TBA, 6.00%, 01/20/04.............. (1,362,156) 600,000 Fannie Mae Gold, TBA, 5.00%, 02/12/04.............. (590,437) ------------ TOTAL SECURITIES SOLD SHORT (Proceeds $1,944,612)........ (1,952,593) ------------ CONTRACTS VALUE --------- ------------ CALL OPTIONS WRITTEN -- 0.0% 1,050,000 Fannie Mae Gold Expiring February 2004 @ 96.968, 5.00% 02/05/04..................... $ (4,431) 30 US Treasury Note (10 Year) March Future, Expiring February 2004 @ 110, zero coupon, 02/21/04............. (20,625) ------------ TOTAL CALL OPTIONS WRITTEN (Premium $48,164)............ (25,056) ------------ Total Investments -- 110.4% (Cost $440,050,041).......... 479,027,288 Liabilities less other assets -- (10.4)%............ (44,941,456) ------------ NET ASSETS -- 100.0%........... $434,085,832 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $453,240,633. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $31,961,556 Gross unrealized depreciation........... (4,197,252) ----------- Net unrealized appreciation............. $27,764,304 ===========
--------------- (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (c) Quarterly reset provision. The rate shown was in effect at December 31, 2003. (d) Monthly reset provision. The rate shown was in effect at December 31, 2003. (e) Security is segregated as collateral for short sales and written options. (f) Bond is in default. (g) Step bond. The rate shown was in effect at December 31, 2003. (h) Principal amount shown for this debt security is denominated in Euros. (i) Principal amount shown for this debt security is denominated in Swedish Krona. (j) Principal amount shown for this debt security is denominated in Canadian dollars. (k) Security is segregated as initial margin for futures contracts. (l) Variable Rate Security. Interest rate based on the credit rating of the issuer. The rate shown was in effect at December 31, 2003. * Non-income producing security. ** Variable Rate Security. The rate shown was in effect at December 31, 2003. TBA To be assigned. Securities are purchased on a forward commitment basis with approximate principal amount (generally +/-1.0%) and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. See notes to financial statements. 90 VALUE AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.2% AEROSPACE AND DEFENSE -- 0.8% 85,000 Northrop Grumman Corp.(a).... $ 8,126,000 90,000 United Technologies Corp. ... 8,529,300 -------------- 16,655,300 -------------- APPAREL: MANUFACTURING -- 0.6% 293,100 V. F. Corp. ................. 12,673,644 -------------- AUTOMOTIVE EQUIPMENT -- 1.3% 70,000 Johnson Controls, Inc. ...... 8,128,400 142,725 Lear Corp.(a)................ 8,753,324 153,900 Magna International, Inc. -- Class A(a)................. 12,319,695 -------------- 29,201,419 -------------- BANKS -- 12.4% 931,400 Bank of America Corp.(a)..... 74,912,501 850,000 Bank One Corp. .............. 38,751,500 50,000 Commerce Bancorp, Inc.(a).... 2,634,000 534,200 FleetBoston Financial Corp. ..................... 23,317,830 93,600 Golden West Financial Corp. ..................... 9,658,584 1,129,840 J.P. Morgan Chase & Company.. 41,499,023 397,300 National City Corp. ......... 13,484,362 386,900 Regions Financial Corp. ..... 14,392,680 560,000 Wachovia Corp. .............. 26,090,400 540,150 Washington Mutual, Inc. ..... 21,670,818 132,800 Wells Fargo & Company........ 7,820,592 -------------- 274,232,290 -------------- BROADCAST SERVICES/MEDIA -- 5.0% 230,000 Clear Channel Communications, Inc. ...................... 10,770,900 808,165 Comcast Corp. -- Class A*.... 26,564,384 365,000 Comcast Corp. -- Special Class A*................... 11,417,200 878,000 Time Warner, Inc.*........... 15,795,220 775,000 Viacom, Inc. -- Class B...... 34,394,500 315,000 Westwood One, Inc.*.......... 10,776,150 -------------- 109,718,354 -------------- BUSINESS SERVICES -- 0.7% 400,000 First Data Corp. ............ 16,436,000 -------------- CHEMICALS -- 1.3% 25,000 Ashland, Inc. ............... 1,101,500 328,100 Dow Chemical Company......... 13,639,117 186,600 Eastman Chemical Company..... 7,376,298
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 93,300 International Flavors & Fragrances, Inc.(a)........ $ 3,258,036 82,500 Lubrizol Corp. .............. 2,682,900 -------------- 28,057,851 -------------- COMPUTER SOFTWARE AND SERVICES -- 0.9% 750,000 Microsoft Corp. ............. 20,655,000 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 1.9% 1,582,400 Hewlett-Packard Company...... 36,347,728 61,000 International Business Machines Corp. ............ 5,653,480 -------------- 42,001,208 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.7% 100,000 American Standard Companies, Inc.*...................... 10,070,000 98,200 Martin Marietta Materials, Inc. ...................... 4,612,454 -------------- 14,682,454 -------------- CONSUMER GOODS AND SERVICES -- 6.0% 1,014,400 Altria Group, Inc. .......... 55,203,648 250,000 Avon Products, Inc. ......... 16,872,500 350,000 Colgate-Palmolive Company.... 17,517,500 425,000 Loews Corp. -- Carolina Group...................... 10,727,000 185,000 Procter & Gamble Company..... 18,477,800 166,100 Whirlpool Corp.(a)........... 12,067,165 -------------- 130,865,613 -------------- DISTRIBUTION -- 0.5% 272,200 Avnet, Inc.*................. 5,895,852 324,105 Ingram Micro, Inc. -- Class A*......................... 5,153,270 -------------- 11,049,122 -------------- ELECTRONICS -- 1.0% 641,400 Flextronics International, Ltd.*(a)................... 9,518,376 1,638,375 Solectron Corp.*............. 9,682,796 147,600 Thomas & Betts Corp. ........ 3,378,564 -------------- 22,579,736 -------------- FINANCIAL SERVICES -- 9.0% 1,910,500 Citigroup, Inc. ............. 92,735,670 394,800 Fannie Mae................... 29,633,688 192,900 Freddie Mac.................. 11,249,928 209,800 Lehman Brothers Holdings, Inc. ...................... 16,200,756 750,000 MBNA Corp. .................. 18,637,500
See notes to financial statements. 91 VALUE AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 135,000 Merrill Lynch & Company, Inc.(a).................... $ 7,917,750 361,400 Morgan Stanley............... 20,914,218 -------------- 197,289,510 -------------- FOOD AND BEVERAGE -- 1.6% 335,000 Anheuser-Busch Companies, Inc. ...................... 17,647,800 265,000 Dean Foods Company*.......... 8,710,550 195,000 PepsiCo, Inc. ............... 9,090,900 -------------- 35,449,250 -------------- INSURANCE -- 8.5% 500,000 Ace, Ltd. ................... 20,710,000 731,300 Allstate Corp. .............. 31,460,526 707,700 American International Group, Inc. ...................... 46,906,355 70,800 Axis Capital Holdings, Ltd. ...................... 2,073,024 198,700 Chubb Corp. ................. 13,531,470 178,400 Jefferson-Pilot Corp. ....... 9,035,960 725,200 MetLife, Inc. ............... 24,417,484 97,000 PartnerRE, Ltd. ............. 5,630,850 201,710 RenaissanceRe Holdings, Ltd.(a).................... 9,893,876 270,300 Torchmark Corp. ............. 12,309,462 564,300 Travelers Property Casualty Corp. -- Class A........... 9,468,954 55,079 Travelers Property Casualty Corp. -- Class B........... 934,691 -------------- 186,372,652 -------------- INTERNET SERVICES -- 0.2% 190,000 Juniper Networks, Inc.*(a)... 3,549,200 -------------- LEISURE AND RECREATION -- 0.3% 140,000 Carnival Corp. .............. 5,562,200 52,200 Royal Caribbean Cruises, Ltd.(a).................... 1,816,038 -------------- 7,378,238 -------------- MANUFACTURING -- 2.3% 229,000 Cooper Industries, Ltd. -- Class A.................... 13,265,970 228,300 Owens-Illinois, Inc.*........ 2,714,487 182,100 Parker-Hannifin Corp. ....... 10,834,950 592,950 Smurfit-Stone Container Corp.*..................... 11,011,082 240,000 Textron, Inc. ............... 13,694,400 -------------- 51,520,889 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES -- 3.5% 225,000 Anthem, Inc.*(a)............. $ 16,875,000 475,000 HCA, Inc. ................... 20,406,000 252,100 Health Management Associates, Inc. -- Class A(a)......... 6,050,400 750,000 Tenet Healthcare Corp.*...... 12,037,500 225,000 WellPoint Health Networks, Inc.*...................... 21,822,750 -------------- 77,191,650 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 0.7% 115,000 Alcon, Inc.(a)............... 6,962,100 175,000 Johnson & Johnson............ 9,040,500 -------------- 16,002,600 -------------- METALS AND MINING -- 0.2% 125,000 Alcoa, Inc. ................. 4,750,000 -------------- MOTOR VEHICLES -- 0.8% 350,000 Harley-Davidson, Inc.(a)..... 16,635,500 -------------- OIL, COAL AND GAS -- 11.3% 206,500 Baker Hughes, Inc. .......... 6,641,040 375,000 BP PLC (ADR)................. 18,506,250 319,000 ChevronTexaco Corp. ......... 27,558,410 799,400 ConocoPhillips............... 52,416,658 125,000 Devon Energy Corp. .......... 7,157,500 1,384,800 Exxon Mobil Corp. ........... 56,776,800 375,000 Kerr-McGee Corp. ............ 17,433,750 250,000 Nabors Industries, Ltd.*..... 10,375,000 152,700 Noble Corp.*................. 5,463,606 100,000 Noble Energy, Inc.(a)........ 4,443,000 624,000 Occidental Petroleum Corp.(a)................... 26,357,760 220,000 Valero Energy Corp. ......... 10,194,800 124,000 Weatherford International, Ltd.*...................... 4,464,000 -------------- 247,788,574 -------------- PAPER AND FOREST PRODUCTS -- 0.9% 41,800 International Paper Company.................... 1,801,998 319,702 MeadWestvaco Corp. .......... 9,511,134 119,350 Temple-Inland, Inc. ......... 7,479,665 -------------- 18,792,797 -------------- PHARMACEUTICALS -- 5.3% 89,000 Aventis S.A. (ADR)(a)........ 5,897,140 180,000 Bristol-Myers Squibb Company.................... 5,148,000 265,400 GlaxoSmithKline PLC (ADR)(a)................... 12,372,948 255,000 Merck & Company, Inc. ....... 11,781,000
See notes to financial statements. 92 VALUE AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 1,455,400 Pfizer, Inc. ................ $ 51,419,282 696,400 Wyeth........................ 29,562,180 -------------- 116,180,550 -------------- RESEARCH AND DEVELOPMENT -- 0.5% 54,900 Cephalon, Inc.*(a)........... 2,657,709 300,000 MedImmune, Inc.*............. 7,620,000 -------------- 10,277,709 -------------- RETAIL -- 1.3% 215,700 Federated Department Stores, Inc. ...................... 10,165,941 275,000 Home Depot, Inc. ............ 9,759,750 179,678 Sears, Roebuck & Company..... 8,173,552 -------------- 28,099,243 -------------- RETAIL: SUPERMARKETS -- 1.4% 479,350 Kroger Company*.............. 8,872,769 519,925 Safeway, Inc.*............... 11,391,556 355,700 SUPERVALU, Inc. ............. 10,169,463 -------------- 30,433,788 -------------- RUBBER PRODUCTS -- 0.2% 193,100 Cooper Tire & Rubber Company.................... 4,128,478 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.3% 292,900 Applera Corp. -- Applied Biosystems Group(a)........ 6,065,959 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.5% 35,960 AT&T Corp. .................. 729,988 300,000 BellSouth Corp. ............. 8,490,000 1,690,300 Corning, Inc.*(a)............ 17,629,829 4,707,566 Nortel Networks Corp.*....... 19,913,004 1,132,200 Qwest Communications International, Inc.*....... 4,891,104 854,900 SBC Communications, Inc. .... 22,287,243 1,679,800 Sprint Corp. (FON Group)(a).................. 27,582,316 751,800 Sprint Corp. (PCS Group)*(a)................. 4,225,116 964,950 Tellabs, Inc.*............... 8,134,529 820,652 Verizon Communications, Inc. ...................... 28,788,472 -------------- 142,671,601 -------------- TRANSPORTATION: FREIGHT -- 4.7% 1,124,900 Burlington Northern Santa Fe Corp. ..................... 36,390,515 398,100 CSX Corp. ................... 14,307,714
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TRANSPORTATION: FREIGHT (CONTINUED) 609,900 Norfolk Southern Corp. ...... $ 14,424,135 563,500 Union Pacific Corp. ......... 39,151,980 -------------- 104,274,344 -------------- UTILITIES: ELECTRIC -- 4.0% 430,780 American Electric Power Company, Inc. ............. 13,143,098 9,526 Cinergy Corp. ............... 369,704 374,800 Constellation Energy Group, Inc. ...................... 14,677,168 79,400 Edison International......... 1,741,242 390,000 Entergy Corp. ............... 22,280,700 60,000 Exelon Corp. ................ 3,981,600 497,500 PPL Corp. ................... 21,765,625 305,800 Wisconsin Energy Corp. ...... 10,229,010 -------------- 88,188,147 -------------- UTILITIES: GAS -- 0.6% 447,425 Sempra Energy................ 13,449,596 -------------- TOTAL COMMON STOCKS (Cost $1,820,974,468)............ 2,135,298,266 -------------- REGULATED INVESTMENT COMPANIES -- 0.5% 5,147,881 American Aadvantage Select(b).................. 5,147,881 1,593,675 Merrill Lynch Premier Institutional Fund(b)...... 1,593,675 4,412,469 Merrimac Cash Fund -- Premium Class(b)................... 4,412,469 -------------- TOTAL REGULATED INVESTMENT COMPANIES (Cost $11,154,025)............... 11,154,025 -------------- PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.1% $ 1,605,213 General Electric Capital Corp., 1.09%, 01/09/04(b)......... 1,605,213 1,470,823 General Electric Capital Corp., 1.08%, 01/16/04(b)......... 1,470,823 -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $3,076,036).... 3,076,036 -------------- SHORT TERM CORPORATE NOTES -- 1.7% 1,470,823 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)..... 1,470,823 1,470,823 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)..... 1,470,823 3,677,058 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)..... 3,677,058
See notes to financial statements. 93 VALUE AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- SHORT TERM CORPORATE NOTES (CONTINUED) $ 2,941,646 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)..... $ 2,941,646 3,677,058 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)..... 3,677,058 5,883,293 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)..... 5,883,293 9,560,350 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)..... 9,560,350 2,206,235 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)..... 2,206,235 7,354,116 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)..... 7,354,116 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $38,241,402)... 38,241,402 -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.2% FANNIE MAE -- 0.1% 2,929,087 1.06%, 01/02/04(b)........... 2,929,087 -------------- FREDDIE MAC -- 0.1% 1,470,823 1.06%, 01/27/04(b)........... 1,470,823 -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $4,399,910)................ 4,399,910 -------------- TIME DEPOSITS -- 3.6% 13,477,964 Bank of Montreal, 1.06%, 01/15/04(b)......... 13,477,964 5,883,293 Bank of Montreal, 1.06%, 02/17/04(b)......... 5,883,293 7,354,116 Bank of Novia Scotia, 1.08%, 03/10/04(b)......... 7,354,116 4,412,469 Citigroup, Inc., 1.08%, 01/05/04(b)......... 4,412,469 2,206,235 Citigroup, Inc., 1.09%, 02/06/04(b)......... 2,206,235 4,412,469 Credit Agricole Indosuez, 0.98%, 01/02/04(b)......... 4,412,469 4,412,469 Credit Agricole Indosuez, 1.08%, 01/28/04(b)......... 4,412,469 5,883,293 Den Danske Bank, 1.08%, 01/20/04(b)......... 5,883,293 7,354,116 Royal Bank of Canada, 1.05%, 02/27/04(b)......... 7,354,116
PRINCIPAL VALUE --------- -------------- TIME DEPOSITS (CONTINUED) $ 3,677,058 Royal Bank of Scotland, 1.08%, 01/09/04(b)......... $ 3,677,058 1,470,823 Royal Bank of Scotland, 1.08%, 01/15/04(b)......... 1,470,823 11,031,174 Royal Bank of Scotland, 1.08%, 01/20/04(b)......... 11,031,174 3,677,058 Svenska Handlesbanken, 1.08%, 02/04/04(b)......... 3,677,058 1,470,823 Toronto Dominion Bank, 1.10%, 01/08/04(b)......... 1,470,823 2,206,235 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)......... 2,206,235 -------------- TOTAL TIME DEPOSITS (Cost $78,929,595)............... 78,929,595 -------------- TOTAL SECURITIES (Cost $1,956,775,436)............ 2,271,099,234 -------------- REPURCHASE AGREEMENTS -- 3.5% 16,179,055 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $16,179,990 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $3,381,277, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $3,319,138, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $5,273,903, Morgan Stanley, 6.75%, due 04/15/11, with a value of $1,319,591, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $3,208,727)(b).... 16,179,055 28,963,894 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $28,964,618 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 3.981%, due 03/01/33, with a value of $24,497,893 and Small Business Administration, 4.38%, due 07/25/15, with a value of $5,914,196)....... 28,963,894
See notes to financial statements. 94 VALUE AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS (CONTINUED) $32,088,868 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $32,089,670 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.60%, due 02/01/33, with a value of $25,342,404 and Fannie Mae Adjustable Rate Mortgage, 5.11%, due 06/01/32, with a value of $8,350,908)....... $ 32,088,868 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $77,231,817)......... 77,231,817 -------------- Total Investments -- 106.8% (Cost $2,034,007,253)...... 2,348,331,051 Liabilities less other assets -- (6.8)%........... (150,245,316) -------------- NET ASSETS -- 100.0%......... $2,198,085,735 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $2,046,600,509. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $343,975,506 Gross unrealized depreciation.......... (42,244,964) ------------ Net unrealized appreciation............ $301,730,542 ============
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned (ADR) American Depository Receipt. See notes to financial statements. 95 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS -- 98.6% ADVERTISING -- 0.2% 23,300 Interpublic Group of Companies, Inc.*(a)......... $ 363,480 15,100 Omnicom Group, Inc. .......... 1,318,683 -------------- 1,682,163 -------------- AEROSPACE AND DEFENSE -- 3.6% 41,550 Boeing Company................ 1,750,917 15,450 General Dynamics Corp. ....... 1,396,526 4,100 Goodrich Corp. ............... 121,729 451,100 Lockheed Martin Corp. ........ 23,186,540 129,900 United Technologies Corp. .... 12,310,623 -------------- 38,766,335 -------------- AGRICULTURE -- 0.1% 20,600 Monsanto Company.............. 592,868 -------------- AIRLINES -- 0.0% 15,650 Southwest Airlines Company.... 252,591 -------------- APPAREL: MANUFACTURING -- 0.2% 10,450 Jones Apparel Group, Inc. .... 368,154 4,900 Liz Claiborne, Inc. .......... 173,754 29,050 Nike, Inc. -- Class B......... 1,988,763 3,200 Reebok International, Ltd.(a)..................... 125,824 -------------- 2,656,495 -------------- APPAREL: RETAIL -- 0.3% 31,000 Limited Brands................ 558,930 101,600 The Gap, Inc.(a).............. 2,358,136 -------------- 2,917,066 -------------- AUTOMOBILE: RETAIL -- 0.0% 20,200 AutoNation, Inc.*............. 371,074 -------------- AUTOMOBILES -- 0.2% 43,950 General Motors Corp.(a)....... 2,346,930 -------------- AUTOMOTIVE EQUIPMENT -- 0.0% 4,100 Johnson Controls, Inc. ....... 476,092 -------------- BANKS -- 9.9% 22,850 AmSouth Bancorp............... 559,825 315,991 Bank of America Corp.(a)...... 25,415,155 37,500 Bank of New York Company, Inc. ....................... 1,242,000 55,300 Bank One Corp. ............... 2,521,127 10,700 BB &T Corp. .................. 413,448 10,908 Charter One Financial, Inc. ....................... 376,871 5,500 First Tennessee National Corp.(a).................... 242,550 50,050 FleetBoston Financial Corp. ...................... 2,184,683
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 7,950 Golden West Financial Corp. ...................... $ 820,361 10,300 Huntington Bancshares, Inc. ....................... 231,750 180,700 J.P. Morgan Chase & Company... 6,637,111 21,500 KeyCorp....................... 630,380 9,600 Marshall & Ilsley Corp. ...... 367,200 430,550 Mellon Financial Corp. ....... 13,824,960 30,600 National City Corp. .......... 1,038,564 7,250 North Fork Bancorp, Inc. ..... 293,408 9,900 Northern Trust Corp. ......... 459,558 13,400 PNC Financial Services Group....................... 733,382 10,800 Regions Financial Corp. ...... 401,760 25,750 SouthTrust Corp. ............. 842,798 270,650 State Street Corp. ........... 14,095,451 13,600 SunTrust Banks, Inc. ......... 972,400 87,900 U.S. Bancorp.................. 2,617,662 11,050 Union Planters Corp. ......... 347,965 454,150 Wachovia Corp. ............... 21,158,848 45,100 Washington Mutual, Inc. ...... 1,809,412 81,950 Wells Fargo & Company......... 4,826,036 5,300 Zions Bancorp................. 325,049 -------------- 105,389,714 -------------- BROADCAST SERVICES/MEDIA -- 5.6% 109,800 Comcast Corp. -- Class A*..... 3,609,126 56,900 Delphi Corp. ................. 580,949 159,250 Gannett Company, Inc. ........ 14,198,730 905,157 Hughes Electronics Corp.*..... 14,980,347 14,550 McGraw-Hill Companies, Inc. ....................... 1,017,336 5,700 Meredith Corp. ............... 278,217 217,950 Time Warner, Inc.*............ 3,920,921 335,350 Tribune Company(a)............ 17,304,059 34,150 Viacom, Inc. -- Class B....... 1,515,577 97,650 Walt Disney Company........... 2,278,175 -------------- 59,683,437 -------------- BUSINESS SERVICES -- 1.0% 120,800 Cintas Corp.(a)............... 6,055,704 22,750 Concord EFS, Inc.*............ 337,610 9,100 Convergys Corp.*.............. 158,886 13,000 Ecolab, Inc. ................. 355,810 35,700 First Data Corp.(a)........... 1,466,913 8,650 Fiserv, Inc.*................. 341,762 4,800 Moody's Corp. ................ 290,640
See notes to financial statements. 96 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BUSINESS SERVICES (CONTINUED) 29,350 Paychex, Inc. ................ $ 1,091,820 14,850 Robert Half International, Inc.*....................... 346,599 -------------- 10,445,744 -------------- CHEMICALS -- 3.8% 11,200 Air Products and Chemicals, Inc. ....................... 591,696 44,050 Dow Chemical Company.......... 1,831,159 394,200 E. I. du Pont de Nemours and Company..................... 18,089,837 10,800 Engelhard Corp. .............. 323,460 8,200 International Flavors & Fragrances, Inc. ........... 286,344 281,950 PPG Industries, Inc. ......... 18,050,439 17,000 Praxair, Inc. ................ 649,400 11,750 Rohm And Haas Company......... 501,843 4,150 Sigma-Aldrich Corp.(a)........ 237,297 -------------- 40,561,475 -------------- COMMERCIAL SERVICES -- 1.9% 889,990 Cendant Corp.*(a)............. 19,820,077 -------------- COMPUTER SOFTWARE AND SERVICES -- 6.3% 262,350 Adobe Systems, Inc.(a)........ 10,310,354 2,200 Autodesk, Inc. ............... 54,076 28,900 Automatic Data Processing, Inc. ....................... 1,144,729 426,400 BEA Systems, Inc.*(a)......... 5,244,720 10,750 BMC Software, Inc.*........... 200,488 19,500 Citrix Systems, Inc.*......... 413,595 45,250 Computer Associates International, Inc.(a)...... 1,237,135 9,150 Computer Sciences Corp.*...... 404,705 45,800 Compuware Corp.*.............. 276,632 14,000 Electronic Arts, Inc.*........ 668,920 22,400 Electronic Data Systems Corp.(a).................... 549,696 11,800 Intuit, Inc.*................. 624,338 3,650 Mercury Interactive Corp.*(a)................... 177,536 1,203,800 Microsoft Corp. .............. 33,152,651 6,350 NVIDIA Corp.*(a).............. 147,638 251,350 Oracle Corp.*................. 3,317,820 14,600 PeopleSoft, Inc.*............. 332,880 55,500 Siebel Systems, Inc.*......... 769,785 12,850 SunGard Data Systems, Inc.*... 356,074 18,450 Unisys Corp.*................. 273,983 184,700 VERITAS Software Corp.*....... 6,863,451 -------------- 66,521,206 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTERS AND OFFICE EQUIPMENT -- 2.7% 29,250 Apple Computer, Inc.*......... $ 625,073 125,100 Dell, Inc.*................... 4,248,396 242,000 EMC Corp.*.................... 3,126,640 36,350 Gateway, Inc.*................ 167,210 145,261 Hewlett-Packard Company....... 3,336,645 84,600 International Business Machines Corp. ............. 7,840,727 12,600 Lexmark International Group, Inc.*....................... 990,864 35,050 Network Appliance, Inc.*(a)... 719,577 10,900 Pitney Bowes, Inc. ........... 442,758 308,000 Seagate Technology*........... 5,821,200 143,450 Sun Microsystems, Inc.*....... 644,091 33,650 Xerox Corp.*(a)............... 464,370 -------------- 28,427,551 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.8% 66,850 American Standard Companies, Inc.*....................... 6,731,794 3,150 Centex Corp.(a)............... 339,098 3,800 KB Home....................... 275,576 22,050 Masco Corp. .................. 604,391 3,100 Pulte Homes, Inc. ............ 290,222 5,100 Vulcan Materials Company...... 242,607 -------------- 8,483,688 -------------- CONSUMER GOODS AND SERVICES -- 7.0% 2,300 Alberto-Culver Company -- Class B..................... 145,084 99,750 Altria Group, Inc. ........... 5,428,395 11,200 Avon Products, Inc. .......... 755,888 333,550 Clorox Company................ 16,197,187 25,650 Colgate-Palmolive Company..... 1,283,783 13,800 Eastman Kodak Company(a)...... 354,246 191,000 Estee Lauder Companies, Inc. -- Class A............. 7,498,660 13,950 FedEx Corp. .................. 941,625 11,200 Fortune Brands, Inc. ......... 800,688 491,350 General Electric Company...... 15,222,022 114,400 Gillette Company.............. 4,201,912 39,800 Kimberly-Clark Corp. ......... 2,351,782 9,450 Leggett & Platt, Inc. ........ 204,404 545,000 Newell Rubbermaid, Inc.(a).... 12,409,650 63,700 Procter & Gamble Company...... 6,362,356 4,400 R.J. Reynolds Tobacco Holdings, Inc. ............. 255,860
See notes to financial statements. 97 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) 7,800 Sherwin-Williams Company...... $ 270,972 3,550 Whirlpool Corp. .............. 257,908 -------------- 74,942,422 -------------- CONTAINERS AND PACKAGING -- 0.1% 5,600 Ball Corp. ................... 333,592 5,100 Bemis Company, Inc. .......... 255,000 7,300 Pactiv Corp.*................. 174,470 8,800 Sealed Air Corp.*............. 476,432 -------------- 1,239,494 -------------- DISTRIBUTION -- 0.0% 4,750 W.W. Grainger, Inc. .......... 225,103 -------------- EDUCATION -- 0.1% 8,250 Apollo Group, Inc. -- Class A*.......................... 561,000 -------------- ELECTRONICS -- 0.8% 99,432 Emerson Electric Company...... 6,438,222 12,300 Jabil Circuit, Inc.*.......... 348,090 8,000 Molex, Inc. .................. 279,120 14,700 Rockwell Collins, Inc. ....... 441,441 55,800 Sanmina-SCI Corp.*............ 703,638 37,800 Solectron Corp.*.............. 223,398 -------------- 8,433,909 -------------- ENVIRONMENTAL MANAGEMENT SERVICES -- 0.1% 16,000 Allied Waste Industries, Inc.*(a).................... 222,080 27,350 Waste Management, Inc. ....... 809,560 -------------- 1,031,640 -------------- FINANCIAL SERVICES -- 6.5% 63,700 American Express Company...... 3,072,251 7,450 Bear Stearns Companies, Inc. ....................... 595,628 25,700 Capital One Financial Corp.(a).................... 1,575,153 64,450 Charles Schwab Corp. ......... 763,088 526,559 Citigroup, Inc. .............. 25,559,173 20,066 Countrywide Financial Corp. ...................... 1,522,006 3,300 Deluxe Corp. ................. 136,389 14,000 Equifax, Inc.(a).............. 343,000 45,600 Fannie Mae.................... 3,422,736 11,850 Franklin Resources, Inc. ..... 616,911 32,550 Freddie Mac................... 1,898,316 22,100 Goldman Sachs Group, Inc.(a)..................... 2,181,933 14,200 H &R Block, Inc. ............. 786,254 21,350 Lehman Brothers Holdings, Inc. ....................... 1,648,647 62,625 MBNA Corp. ................... 1,556,231
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 91,400 Merrill Lynch & Company, Inc. ....................... $ 5,360,610 78,150 Morgan Stanley................ 4,522,541 14,650 Providian Financial Corp.*.... 170,526 285,200 Prudential Financial, Inc. ... 11,912,803 21,500 SLM Corp. .................... 810,120 6,650 T. Rowe Price Group, Inc. .... 315,277 -------------- 68,769,593 -------------- FOOD AND BEVERAGE -- 1.9% 41,250 Anheuser-Busch Companies, Inc. ....................... 2,173,050 29,955 Archer-Daniels-Midland Company..................... 455,915 3,000 Brown-Forman Corp. -- Class B........................... 280,350 20,400 Campbell Soup Company......... 546,720 117,250 Coca-Cola Company............. 5,950,437 8,500 Coca-Cola Enterprises, Inc. ....................... 185,895 43,600 ConAgra Foods, Inc. .......... 1,150,604 19,300 General Mills, Inc.(a)........ 874,290 17,200 H.J. Heinz Company............ 626,596 2,450 Hershey Foods Corp. .......... 188,626 18,000 Kellogg Company............... 685,440 6,600 McCormick & Company, Inc. .... 198,660 18,800 Pepsi Bottling Group, Inc. ... 454,584 84,100 PepsiCo, Inc. ................ 3,920,742 36,100 Sara Lee Corp. ............... 783,731 31,200 Sysco Corp. .................. 1,161,576 10,800 Wm. Wrigley Jr. Company(a).... 607,068 -------------- 20,244,284 -------------- INSURANCE -- 4.7% 13,350 Ace, Ltd. .................... 552,957 7,550 Aetna, Inc. .................. 510,229 24,100 AFLAC, Inc. .................. 871,938 33,700 Allstate Corp. ............... 1,449,773 5,100 Ambac Financial Group, Inc. ....................... 353,889 127,500 American International Group, Inc. ....................... 8,450,699 14,900 Aon Corp. .................... 356,706 162,800 Chubb Corp. .................. 11,086,679 15,800 CIGNA Corp. .................. 908,500 3,150 Cincinnati Financial Corp. ... 131,922 284,450 Hartford Financial Services Group, Inc. ................ 16,791,083 15,850 Humana, Inc.*................. 362,173 7,800 Jefferson-Pilot Corp. ........ 395,070
See notes to financial statements. 98 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 14,700 John Hancock Financial Services, Inc. ............. $ 551,250 8,350 Lincoln National Corp. ....... 337,090 10,250 Marsh & McLennan Companies, Inc. ....................... 490,873 7,150 MBIA, Inc. ................... 423,495 37,150 MetLife, Inc. ................ 1,250,841 5,050 MGIC Investment Corp. ........ 287,547 16,400 Principal Financial Group, Inc. ....................... 542,348 17,300 Progressive Corp. ............ 1,446,107 7,050 SAFECO Corp. ................. 274,457 11,200 St. Paul Companies, Inc. ..... 444,080 5,750 Torchmark Corp. .............. 261,855 50,173 Travelers Property Casualty Corp. -- Class B............ 851,436 6,750 XL Capital, Ltd. -- Class A... 523,463 -------------- 49,906,460 -------------- INTERNET SERVICES -- 1.8% 342,750 Cisco Systems, Inc.*.......... 8,325,397 31,500 eBay, Inc.*................... 2,034,585 302,500 Monster Worldwide, Inc.*(a)... 6,642,900 15,750 Novell, Inc.*................. 165,690 23,350 Symantec Corp.*(a)............ 809,078 31,500 YAHOO!, Inc.*................. 1,422,855 -------------- 19,400,505 -------------- LEISURE AND RECREATION -- 0.2% 5,600 Brunswick Corp. .............. 178,248 12,000 Carnival Corp. ............... 476,760 4,800 Harrah's Entertainment, Inc. ....................... 238,896 19,550 Hilton Hotels Corp. .......... 334,892 17,500 International Game Technology.................. 624,749 4,650 Marriott International, Inc. -- Class A............. 214,830 9,350 Starwood Hotels & Resorts..... 336,320 -------------- 2,404,695 -------------- MACHINERY -- 0.4% 16,200 Caterpillar, Inc. ............ 1,344,924 26,550 Deere & Company............... 1,727,077 9,650 Dover Corp. .................. 383,588 8,200 Ingersoll-Rand Company -- Class A(a).................. 556,616 16,850 Rockwell Automation, Inc. .... 599,860 -------------- 4,612,065 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MANUFACTURING -- 2.9% 74,000 3M Company.................... $ 6,292,219 7,150 Cooper Industries, Ltd. -- Class A............. 414,200 11,750 Danaher Corp.(a).............. 1,078,063 3,000 Eaton Corp. .................. 323,940 41,850 Honeywell International, Inc. ....................... 1,399,046 214,250 Illinois Tool Works, Inc.(a)..................... 17,977,717 4,350 ITT Industries, Inc. ......... 322,814 6,100 Parker-Hannifin Corp. ........ 362,950 7,650 Textron, Inc. ................ 436,509 92,700 Tyco International, Ltd.(a)... 2,456,550 -------------- 31,064,008 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 2.1% 10,500 Anthem, Inc.*(a).............. 787,500 4,250 Express Scripts, Inc.*(a)..... 282,328 30,250 IMS Health, Inc.(a)........... 752,015 5,900 McKesson Corp. ............... 189,744 16,166 Medco Health Solutions, Inc.*....................... 549,482 305,400 UnitedHealth Group, Inc. ..... 17,768,172 17,000 WellPoint Health Networks, Inc.*....................... 1,648,830 -------------- 21,978,071 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 4.9% 6,300 Allergan, Inc. ............... 483,903 31,250 Baxter International, Inc. ... 953,750 13,950 Becton, Dickinson and Company..................... 573,903 390,000 Biomet, Inc.(a)............... 14,199,900 64,750 Boston Scientific Corp.*...... 2,380,210 2,400 C. R. Bard, Inc. ............. 195,000 9,950 Genzyme Corp.*................ 490,933 34,600 Guidant Corp. ................ 2,082,920 145,300 Johnson & Johnson............. 7,506,198 434,607 Medtronic, Inc. .............. 21,126,245 8,000 St. Jude Medical, Inc.*....... 490,800 9,100 Stryker Corp. ................ 773,591 9,550 Zimmer Holdings, Inc.*........ 672,320 -------------- 51,929,673 -------------- METALS AND MINING -- 0.3% 39,900 Alcoa, Inc. .................. 1,516,199 8,550 Freeport-McMoRan Copper & Gold, Inc. -- Class B....... 360,212 19,500 Newmont Mining Corp. ......... 947,895 5,250 Phelps Dodge Corp.*(a)........ 399,473 -------------- 3,223,779 --------------
See notes to financial statements. 99 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MOTOR VEHICLES -- 0.5% 206,600 Ford Motor Company(a)......... $ 3,305,600 14,700 Harley-Davidson, Inc.(a)...... 698,691 13,425 PACCAR, Inc. ................. 1,142,736 -------------- 5,147,027 -------------- OIL AND GAS: PIPELINES -- 0.1% 6,600 Kinder Morgan, Inc. .......... 390,060 32,100 Williams Companies, Inc. ..... 315,222 -------------- 705,282 -------------- OIL, COAL AND GAS -- 4.5% 6,450 Amerada Hess Corp. ........... 342,947 12,050 Anadarko Petroleum Corp. ..... 614,671 3,200 Apache Corp. ................. 259,520 7,150 BJ Services Company*.......... 256,685 10,600 Burlington Resources, Inc. ... 587,028 73,600 ChevronTexaco Corp. .......... 6,358,304 53,512 ConocoPhillips................ 3,508,782 140,900 Devon Energy Corp. ........... 8,067,933 2,250 EOG Resources, Inc. .......... 103,883 578,900 Exxon Mobil Corp. ............ 23,734,899 8,600 Halliburton Company........... 223,600 4,500 Kerr-McGee Corp. ............. 209,205 15,600 Marathon Oil Corp. ........... 516,204 7,300 Nabors Industries, Ltd.*...... 302,950 2,900 Noble Corp.*.................. 103,762 42,100 Occidental Petroleum Corp. ... 1,778,304 9,700 Sunoco, Inc. ................. 496,155 5,850 Transocean, Inc.*............. 140,459 16,100 Unocal Corp. ................. 592,963 -------------- 48,198,254 -------------- PAPER AND FOREST PRODUCTS -- 0.9% 2,800 Boise Cascade Corp. .......... 92,008 19,650 Georgia-Pacific Corp.(a)...... 602,666 180,650 International Paper Company... 7,787,821 12,200 Louisiana-Pacific Corp.*...... 218,136 9,000 MeadWestvaco Corp. ........... 267,750 10,800 Weyerhauser Company........... 691,200 -------------- 9,659,581 -------------- PHARMACEUTICALS -- 6.4% 497,400 Abbott Laboratories........... 23,178,840 39,950 Bristol-Myers Squibb Company..................... 1,142,570 156,850 Eli Lilly and Company......... 11,031,261 7,050 Forest Laboratories, Inc.*.... 435,690
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 18,900 King Pharmaceuticals, Inc.*... $ 288,414 108,100 Merck & Company, Inc. ........ 4,994,220 659,443 Pfizer, Inc. ................. 23,298,120 5,900 Watson Pharmaceuticals, Inc.*....................... 271,400 68,500 Wyeth......................... 2,907,825 -------------- 67,548,340 -------------- PRINTING AND PUBLISHING -- 0.1% 1,650 Knight-Ridder, Inc. .......... 127,661 7,100 New York Times Company -- Class A..................... 339,309 5,900 R.R. Donnelley & Sons Company(a).................. 177,885 -------------- 644,855 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.1% 18,700 Equity Office Properties Trust....................... 535,755 14,050 Equity Residential............ 414,616 8,800 Simon Property Group, Inc. ... 407,792 -------------- 1,358,163 -------------- RESEARCH AND DEVELOPMENT -- 0.5% 63,644 Amgen, Inc.*.................. 3,933,199 6,250 Biogen Idec, Inc.*............ 229,875 9,050 Chiron Corp.*................. 515,760 4,800 MedImmune, Inc.*.............. 121,920 -------------- 4,800,754 -------------- RETAIL -- 6.5% 23,950 Bed Bath & Beyond, Inc.*...... 1,038,233 34,350 Best Buy Company, Inc. ....... 1,794,444 6,500 Big Lots, Inc.*............... 92,365 36,200 Costco Wholesale Corp.*....... 1,345,916 497,150 CVS Corp. .................... 17,957,057 24,050 Dollar General Corp. ......... 504,810 8,750 Family Dollar Stores, Inc. ... 313,950 408,500 Federated Department Stores, Inc. ....................... 19,252,604 199,300 Home Depot, Inc. ............. 7,073,156 5,350 J.C. Penney Company, Inc.(a)..................... 140,598 37,350 Lowe's Companies, Inc. ....... 2,068,817 14,700 May Department Stores Company(a).................. 427,329 6,950 Nordstrom, Inc.(a)............ 238,385 15,050 Office Depot, Inc.*(a)........ 251,486 16,650 RadioShack Corp. ............. 510,822 14,150 Sears, Roebuck & Company...... 643,684
See notes to financial statements. 100 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 54,300 Staples, Inc.*(a)............. $ 1,482,390 6,950 Tiffany & Company............. 314,140 10,000 TJX Companies, Inc. .......... 220,500 17,750 Toys "R" Us, Inc.*(a)......... 224,360 211,450 Wal-Mart Stores, Inc. ........ 11,217,422 49,300 Walgreen Company.............. 1,793,534 -------------- 68,906,002 -------------- RETAIL: RESTAURANTS -- 0.6% 8,500 Darden Restaurants, Inc.(a)... 178,840 144,200 McDonald's Corp. ............. 3,580,486 44,650 Starbucks Corp.*.............. 1,476,129 14,000 Wendy's International, Inc. ....................... 549,360 22,500 YUM! Brands, Inc.*............ 774,000 -------------- 6,558,815 -------------- RETAIL: SUPERMARKETS -- 0.1% 34,850 Kroger Company*(a)............ 645,073 8,550 Safeway, Inc.*................ 187,331 12,950 SUPERVALU, Inc. .............. 370,241 8,000 Winn-Dixie Stores, Inc.(a).... 79,600 -------------- 1,282,245 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.1% 22,050 Agilent Technologies, Inc.*... 644,741 11,250 Applera Corp. -- Applied Biosystems Group............ 232,988 6,700 Pall Corp. ................... 179,761 12,850 PerkinElmer, Inc. ............ 219,350 8,900 Thermo Electron Corp.*........ 224,280 -------------- 1,501,120 -------------- SEMICONDUCTORS -- 3.6% 45,000 Altera Corp.*................. 1,021,500 19,650 Analog Devices, Inc.*......... 897,023 126,850 Applied Materials, Inc.*...... 2,847,783 5,900 Broadcom Corp. -- Class A*.... 201,131 809,825 Intel Corp. .................. 26,076,364 15,100 Linear Technology Corp. ...... 635,257 10,400 LSI Logic Corp.*.............. 92,248 36,400 Maxim Integrated Products, Inc. ....................... 1,812,720 8,300 National Semiconductor Corp.*...................... 327,103 7,200 Novellus Systems, Inc.*....... 302,760 4,500 QLogic Corp.*................. 232,200
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 9,800 Teradyne, Inc.*............... $ 249,410 83,750 Texas Instruments, Inc. ...... 2,460,575 18,000 Xilinx, Inc.*................. 697,320 -------------- 37,853,394 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.4% 14,500 ALLTEL Corp. ................. 675,410 30,630 AT&T Corp. ................... 621,789 51,700 AT&T Wireless Services, Inc.*....................... 413,083 36,400 Avaya, Inc.*.................. 471,016 139,300 BellSouth Corp. .............. 3,942,190 7,450 CenturyTel, Inc. ............. 243,019 34,100 CIENA Corp.*.................. 226,424 24,250 Comverse Technology, Inc.*.... 426,558 53,900 Corning, Inc.*(a)............. 562,177 193,500 Lucent Technologies, Inc.*.... 549,540 112,000 Motorola, Inc. ............... 1,575,840 121,950 Nextel Communications, Inc. -- Class A*.................... 3,421,917 38,400 QUALCOMM, Inc. ............... 2,070,912 163,100 SBC Communications, Inc. ..... 4,252,017 13,350 Scientific-Atlanta, Inc. ..... 364,455 44,100 Sprint Corp. (FON Group)(a)... 724,122 12,100 Symbol Technologies, Inc. .... 204,369 21,150 Tellabs, Inc.*................ 178,295 130,750 Verizon Communications, Inc. ....................... 4,586,709 -------------- 25,509,842 -------------- TOOLS -- 0.0% 6,400 Black & Decker Corp. ......... 315,648 1,800 Snap-on, Inc. ................ 58,032 3,750 Stanley Works................. 142,013 -------------- 515,693 -------------- TOYS -- 0.1% 22,050 Hasbro, Inc. ................. 469,224 35,850 Mattel, Inc. ................. 690,830 -------------- 1,160,054 -------------- TRANSPORTATION -- 0.4% 54,950 United Parcel Service, Inc. -- Class B..................... 4,096,523 --------------
See notes to financial statements. 101 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TRANSPORTATION: FREIGHT -- 0.1% 17,750 Burlington Northern Santa Fe Corp. ...................... $ 574,213 4,750 Union Pacific Corp. .......... 330,030 -------------- 904,243 -------------- TRANSPORTATION: SERVICES -- 0.0% 3,400 Ryder System, Inc. ........... 116,110 -------------- UTILITIES: ELECTRIC -- 1.1% 70,100 Aes Corp.*.................... 661,744 8,350 Ameren Corp. ................. 384,100 17,550 American Electric Power Company, Inc. .............. 535,451 9,900 American Power Conversion Corp.(a).................... 242,055 15,000 CenterPoint Energy, Inc. ..... 145,350 13,200 Cinergy Corp. ................ 512,292 4,500 Consolidated Edison, Inc. .... 193,545 15,500 Constellation Energy Group, Inc. ....................... 606,980 6,700 Dominion Resources, Inc. ..... 427,661 17,900 Duke Energy Corp. ............ 366,055 37,050 Edison International.......... 812,506 10,350 Entergy Corp. ................ 591,296 15,850 Exelon Corp. ................. 1,051,805 15,700 FirstEnergy Corp. ............ 552,640 8,700 FPL Group, Inc. .............. 569,154 20,150 PG&E Corp.*................... 559,566 12,350 PPL Corp. .................... 540,313 11,750 Progress Energy, Inc. ........ 531,805 10,500 Public Service Enterprise Group, Inc. ................ 459,900 38,850 Southern Company.............. 1,175,212 24,300 TXU Corp. .................... 576,396 19,750 Xcel Energy, Inc. ............ 335,355 -------------- 11,831,181 -------------- UTILITIES: GAS -- 0.1% 7,200 KeySpan Corp. ................ 264,960 10,200 NiSource, Inc. ............... 223,788 1,700 Peoples Energy Corp.(a)....... 71,468 17,100 Sempra Energy................. 514,026 -------------- 1,074,242 -------------- TOTAL COMMON STOCKS (Cost $920,792,152)......... 1,048,732,927 --------------
SHARES VALUE ------ -------------- REGULATED INVESTMENT COMPANIES -- 0.4% 2,003,233 American Aadvantage Select(b)................... $ 2,003,233 620,158 Merrill Lynch Premier Institutional Fund(b)....... 620,158 1,717,056 Merrimac Cash Fund -- Premium Class(b).................... 1,717,056 -------------- TOTAL REGULATED INVESTMENT COMPANIES (Cost $4,340,447)........... 4,340,447 -------------- PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.1% $ 624,649 General Electric Capital Corp., 1.09%, 01/09/04(b).......... 624,649 572,352 General Electric Capital Corp., 1.08%, 01/16/04(b).......... 572,352 -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $1,197,001)........... 1,197,001 -------------- SHORT TERM CORPORATE NOTES -- 1.4% 572,352 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)...... 572,352 572,352 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)...... 572,352 1,430,880 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)...... 1,430,880 1,144,704 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)...... 1,144,704 1,430,880 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)...... 1,430,880 2,289,409 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)...... 2,289,409 3,720,289 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)...... 3,720,289 858,528 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)...... 858,528 2,861,761 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)...... 2,861,761 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $14,881,155).......... 14,881,155 --------------
See notes to financial statements. 102 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.2% FANNIE MAE -- 0.1% $1,139,817 1.06%, 01/02/04(b)............ $ 1,139,817 -------------- FREDDIE MAC -- 0.1% 572,352 1.06%, 01/27/04(b)............ 572,352 -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $1,712,169)................. 1,712,169 -------------- SHORT TERM US TREASURY SECURITY -- 0.0% 135,000 United States Treasury Bill, 0.85%, 03/25/04(c) (Cost $134,733)................... 134,733 -------------- TIME DEPOSITS -- 2.9% 5,244,779 Bank of Montreal, 1.06%, 01/15/04(b).......... 5,244,779 2,289,409 Bank of Montreal, 1.06%, 02/17/04(b).......... 2,289,409 2,861,761 Bank of Novia Scotia, 1.08%, 03/10/04(b).......... 2,861,761 1,717,057 Citigroup, Inc., 1.08%, 01/05/04(b).......... 1,717,057 858,528 Citigroup, Inc., 1.09%, 02/06/04(b).......... 858,528 1,717,056 Credit Agricole Indosuez, 0.98%, 01/02/04(b).......... 1,717,056 1,717,056 Credit Agricole Indosuez, 1.08%, 01/28/04(b).......... 1,717,056 2,289,409 Den Danske Bank, 1.08%, 01/20/04(b).......... 2,289,409 2,861,761 Royal Bank of Canada, 1.05%, 02/27/04(b).......... 2,861,761 1,430,880 Royal Bank of Scotland, 1.08%, 01/09/04(b).......... 1,430,880 572,352 Royal Bank of Scotland, 1.08%, 01/15/04(b).......... 572,352 4,292,641 Royal Bank of Scotland, 1.08%, 01/20/04(b).......... 4,292,641 1,430,880 Svenska Handlesbanken, 1.08%, 02/04/04(b).......... 1,430,880 572,352 Toronto Dominion Bank, 1.10%, 01/08/04(b).......... 572,352 858,528 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b).......... 858,528 -------------- TOTAL TIME DEPOSITS (Cost $30,714,449)................ 30,714,449 -------------- TOTAL SECURITIES (Cost $973,772,106)............... 1,101,712,881 --------------
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 1.9% $6,295,874 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $6,296,238 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $1,315,781, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $1,291,601, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $2,052,272, Morgan Stanley, 6.75%, due 04/15/11, with a value of $513,502, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $1,248,635)(b).............. $ 6,295,874 4,120,226 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $4,120,329 (Collateralized by Small Business Administration, 4.13%, due 07/25/27, with a value of $4,326,237)........ 4,120,226 9,790,594 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $9,790,839 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.93%, due 7/01/32, with a value of $10,280,124)................ 9,790,594 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $20,206,694).......... 20,206,694 -------------- Total Investments -- 105.5% (Cost $993,978,800)......... 1,121,919,575 Liabilities less other assets -- (5.5)%............ (58,530,243) -------------- NET ASSETS -- 100.0%.......... $1,063,389,332 ==============
See notes to financial statements. 103 GROWTH AND INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003 The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $1,022,951,511. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $106,192,130 Gross unrealized depreciation.......... (7,224,066) ------------ Net unrealized appreciation. .......... $ 98,968,064 ============
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (c) Security is segregated as initial margin for futures contract. See notes to financial statements. 104 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.8% AEROSPACE AND DEFENSE -- 1.9% 61,900 Boeing Company............... $ 2,608,466 125,208 Lockheed Martin Corp. ....... 6,435,691 302,000 United Technologies Corp. ... 28,620,540 -------------- 37,664,697 -------------- AGRICULTURE -- 0.2% 130,100 Monsanto Company............. 3,744,278 -------------- AIRLINES -- 0.7% 97,285 Ryanair Holdings PLC (ADR)*(a).................. 4,926,512 505,200 Southwest Airlines Company... 8,153,928 -------------- 13,080,440 -------------- APPAREL: MANUFACTURING -- 0.6% 162,500 Nike, Inc. -- Class B.................... 11,124,750 -------------- AUTOMOBILES -- 0.8% 326,714 Bayerische Motoren Werke AG......................... 15,048,548 -------------- BANKS -- 0.1% 11,800 M&T Bank Corp. .............. 1,159,940 -------------- BROADCAST SERVICES/MEDIA -- 2.1% 88,100 Fox Entertainment Group, Inc. -- Class A*................... 2,568,115 247,129 Hughes Electronics Corp.*.... 4,089,985 97,000 News Corp., Ltd. (ADR)...................... 2,934,250 180,200 Time Warner, Inc.*........... 3,241,798 96,000 Tribune Company.............. 4,953,600 125,600 Univision Communications, Inc. -- Class A*........... 4,985,064 415,500 Viacom, Inc. -- Class B...... 18,439,890 -------------- 41,212,702 -------------- BUSINESS SERVICES -- 0.5% 106,200 First Data Corp.(a).......... 4,363,758 165,200 Paychex, Inc. ............... 6,145,440 -------------- 10,509,198 -------------- CHEMICALS -- 0.3% 100,500 Air Products and Chemicals, Inc. ...................... 5,309,415 -------------- COMMERCIAL SERVICES -- 0.5% 355,000 Accenture, Ltd. -- Class A*......................... 9,343,600 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES -- 7.7% 619,316 Electronic Arts, Inc.*(a).... $ 29,590,918 2,047,970 Microsoft Corp. ............. 56,401,094 2,721,800 Oracle Corp.*................ 35,927,760 277,500 SAP AG (ADR)................. 11,532,900 485,500 VERITAS Software Corp.*...... 18,041,180 -------------- 151,493,852 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 3.5% 1,500,308 Dell, Inc.*.................. 50,950,460 774,000 EMC Corp.*................... 10,000,080 391,000 Hewlett-Packard Company...... 8,981,270 -------------- 69,931,810 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.6% 112,006 Lennar Corp. -- Class A(a)... 10,752,576 4,153 Lennar Corp. -- Class B...... 379,584 -------------- 11,132,160 -------------- CONSUMER GOODS AND SERVICES -- 7.7% 205,400 Colgate-Palmolive Company.... 10,280,270 119,900 Estee Lauder Companies, Inc. -- Class A.................... 4,707,274 274,668 FedEx Corp. ................. 18,540,090 2,639,428 General Electric Company..... 81,769,479 56,800 Kimberly-Clark Corp. ........ 3,356,312 336,401 Procter & Gamble Company..... 33,599,732 -------------- 152,253,157 -------------- ELECTRONICS -- 0.1% 46,300 Emerson Electric Company..... 2,997,925 -------------- FINANCIAL SERVICES -- 9.0% 151,200 American Express Company..... 7,292,376 191,000 AmeriTrade Holding Corp.*(a).................. 2,687,370 88,100 Capital One Financial Corp.(a)................... 5,399,649 791,444 Citigroup, Inc. ............. 38,416,692 190,434 Countrywide Financial Corp. ..................... 14,444,419 538,222 Fannie Mae................... 40,398,943 188,200 Franklin Resources, Inc. .... 9,797,692 89,000 Goldman Sachs Group, Inc. ... 8,786,970 493,271 Merrill Lynch & Company, Inc.(a).................... 28,930,344 592,557 SLM Corp. ................... 22,327,548 -------------- 178,482,003 --------------
See notes to financial statements. 105 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE -- 3.3% 298,961 Anheuser-Busch Companies, Inc. ...................... $ 15,749,265 88,700 Campbell Soup Company........ 2,377,160 237,500 Coca-Cola Company............ 12,053,125 560,284 PepsiCo, Inc. ............... 26,120,441 237,000 Sysco Corp. ................. 8,823,510 -------------- 65,123,501 -------------- INSURANCE -- 1.2% 135,500 AFLAC, Inc. ................. 4,902,390 223,700 American International Group, Inc. ...................... 14,826,836 118,000 SAFECO Corp. ................ 4,593,740 -------------- 24,322,966 -------------- INTERNET SERVICES -- 6.4% 3,270,159 Cisco Systems, Inc.*......... 79,432,162 264,000 eBay, Inc.*(a)............... 17,051,760 519,000 Novell, Inc.* ............... 5,459,880 75,800 Symantec Corp.*(a)........... 2,626,470 469,000 YAHOO!, Inc.*................ 21,184,730 -------------- 125,755,002 -------------- LEISURE AND RECREATION -- 0.6% 142,558 Four Seasons Hotels, Inc.(a).................... 7,291,842 100,600 Marriott International, Inc. -- Class A............ 4,647,720 -------------- 11,939,562 -------------- MACHINERY -- 1.2% 248,210 Caterpillar, Inc. ........... 20,606,394 55,250 Ingersoll-Rand Company -- Class A.................... 3,750,370 -------------- 24,356,764 -------------- MANUFACTURING -- 1.9% 271,700 3M Company................... 23,102,651 64,000 Danaher Corp. ............... 5,872,000 227,700 Honeywell International, Inc. ...................... 7,612,011 -------------- 36,586,662 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 2.3% 175,600 Caremark Rx, Inc.*(a)........ 4,447,948 86,900 HCA, Inc. ................... 3,733,224 631,062 UnitedHealth Group, Inc. .... 36,715,187 -------------- 44,896,359 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES -- 6.6% 961,042 Boston Scientific Corp.*..... $ 35,327,903 79,000 Genzyme Corp.*(a)............ 3,897,860 55,100 Guidant Corp. ............... 3,317,020 345,000 Johnson & Johnson............ 17,822,700 522,054 Medtronic, Inc. ............. 25,377,045 316,900 St. Jude Medical, Inc.* ..... 19,441,815 97,500 Stryker Corp.(a)............. 8,288,475 242,214 Zimmer Holdings, Inc.* ...... 17,051,866 -------------- 130,524,684 -------------- MOTOR VEHICLES -- 0.2% 103,000 Harley-Davidson, Inc.(a)..... 4,895,590 -------------- OIL, COAL AND GAS -- 1.3% 345,000 Baker Hughes, Inc. .......... 11,095,200 273,200 BJ Services Company*(a)...... 9,807,880 114,200 EOG Resources, Inc. ......... 5,272,614 -------------- 26,175,694 -------------- PHARMACEUTICALS -- 9.5% 169,400 Abbott Laboratories.......... 7,894,040 86,400 Bristol-Myers Squibb Company.................... 2,471,040 157,500 Cardinal Health, Inc.(a)..... 9,632,700 359,896 Eli Lilly and Company........ 25,311,486 53,900 Forest Laboratories, Inc.*... 3,331,020 102,900 IVAX Corp.*.................. 2,457,252 2,596,139 Pfizer, Inc. ................ 91,721,592 278,300 Teva Pharmaceutical Industries, Ltd. (ADR)(a)................... 15,782,393 58,500 Watson Pharmaceuticals, Inc.*...................... 2,691,000 628,700 Wyeth........................ 26,688,315 -------------- 187,980,838 -------------- RESEARCH AND DEVELOPMENT -- 5.6% 702,414 Amgen, Inc.*................. 43,409,185 518,767 Genentech, Inc.*............. 48,541,028 279,600 Gilead Sciences, Inc.* ...... 16,255,944 44,300 Invitrogen Corp.*............ 3,101,000 -------------- 111,307,157 -------------- RETAIL -- 7.7% 81,800 Best Buy Company, Inc. ...... 4,273,232 406,900 Home Depot, Inc. ............ 14,440,881 657,934 Lowe's Companies, Inc. ...... 36,442,964 94,300 RadioShack Corp. ............ 2,893,124
See notes to financial statements. 106 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 106,300 Target Corp.(a).............. $ 4,081,920 426,253 Tiffany & Company............ 19,266,636 888,518 Wal-Mart Stores, Inc. ....... 47,135,880 622,900 Walgreen Company............. 22,661,102 -------------- 151,195,739 -------------- RETAIL: RESTAURANTS -- 1.0% 202,400 McDonald's Corp. ............ 5,025,592 460,500 Starbucks Corp.* ............ 15,224,130 -------------- 20,249,722 -------------- SEMICONDUCTORS -- 8.7% 234,500 Applied Materials, Inc.*..... 5,264,525 256,500 ASML Holding NV*............. 5,142,825 3,539,107 Intel Corp. ................. 113,959,245 48,300 KLA-Tencor Corp.*............ 2,833,761 460,626 Maxim Integrated Products, Inc. ...................... 22,939,175 211,800 Microchip Technology, Inc. ...................... 7,065,648 103,400 QLogic Corp.*................ 5,335,440 122,200 Teradyne, Inc.*(a)........... 3,109,990 245,500 Texas Instruments, Inc. ..... 7,212,790 -------------- 172,863,399 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.3% 417,500 Avaya, Inc.*................. 5,402,450 137,500 Comverse Technology, Inc.*... 2,418,625 524,851 Nextel Communications, Inc. -- Class A*................... 14,727,319 496,500 Nokia Oyj (ADR).............. 8,440,500 356,457 QUALCOMM, Inc. .............. 19,223,726 581,000 Vodafone Group PLC (ADR)..... 14,548,240 -------------- 64,760,860 -------------- TRANSPORTATION -- 0.7% 196,500 United Parcel Service, Inc. -- Class B.................... 14,649,075 -------------- TOTAL COMMON STOCKS (Cost $1,731,887,190)...... 1,932,072,049 --------------
SHARES VALUE ------ -------------- REGULATED INVESTMENT COMPANIES -- 0.3% 2,565,119 American Aadvantage Select(b).................. $ 2,565,119 794,106 Merrill Lynch Premier Institutional Fund(b)...... 794,106 2,198,673 Merrimac Cash Fund -- Premium Class(b)........... 2,198,673 -------------- TOTAL REGULATED INVESTMENT COMPANIES (Cost $5,557,898).......... 5,557,898 -------------- PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.1% $ 799,856 General Electric Capital Corp., 1.09%, 01/09/04(b)......... 799,856 732,891 General Electric Capital Corp., 1.08%, 01/16/04(b)......... 732,891 -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $1,532,747).......... 1,532,747 -------------- SHORT TERM CORPORATE NOTES -- 1.0% 732,891 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)..... 732,891 732,891 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)..... 732,891 1,832,228 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)..... 1,832,228 1,465,782 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)..... 1,465,782 1,832,228 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)..... 1,832,228 2,931,564 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)..... 2,931,564 4,763,792 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)..... 4,763,792 1,099,336 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)..... 1,099,336 3,664,455 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)..... 3,664,455 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $19,055,167)......... 19,055,167 --------------
See notes to financial statements. 107 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.1% FANNIE MAE -- 0.1% $ 1,459,524 1.06%, 01/02/04(b)........... $ 1,459,524 -------------- FREDDIE MAC -- 0.0% 732,891 1.06%, 01/27/04(b)........... 732,891 -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $2,192,415).......... 2,192,415 -------------- TIME DEPOSITS -- 2.0% 6,715,885 Bank of Montreal, 1.06%, 01/15/04(b)......... 6,715,885 2,931,564 Bank of Montreal, 1.06%, 02/17/04(b)......... 2,931,564 3,664,455 Bank of Novia Scotia, 1.08%, 03/10/04(b)......... 3,664,455 2,198,673 Citigroup, Inc., 1.08%, 01/05/04(b)......... 2,198,673 1,099,337 Citigroup, Inc., 1.09%, 02/06/04(b)......... 1,099,337 2,198,673 Credit Agricole Indosuez, 0.98%, 01/02/04(b)......... 2,198,673 2,198,673 Credit Agricole Indosuez, 1.08%, 01/28/04(b)......... 2,198,673
PRINCIPAL VALUE --------- -------------- TIME DEPOSITS (CONTINUED) $ 2,931,564 Den Danske Bank, 1.08%, 01/20/04(b)......... $ 2,931,564 3,664,455 Royal Bank of Canada, 1.05%, 02/27/04(b)......... 3,664,455 1,832,228 Royal Bank of Scotland, 1.08%, 01/09/04(b)......... 1,832,228 732,891 Royal Bank of Scotland, 1.08%, 01/15/04(b)......... 732,891 5,496,683 Royal Bank of Scotland, 1.08%, 01/20/04(b)......... 5,496,683 1,832,228 Svenska Handlesbanken, 1.08%, 02/04/04(b)......... 1,832,228 732,891 Toronto Dominion Bank, 1.10%, 01/08/04(b)......... 732,891 1,099,337 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)......... 1,099,337 -------------- TOTAL TIME DEPOSITS (Cost $39,329,537)......... 39,329,537 -------------- TOTAL SECURITIES (Cost $1,799,554,954)...... 1,999,739,813 --------------
See notes to financial statements. 108 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 2.8% $ 8,061,801 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $8,062,267 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $1,684,844, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $1,653,881, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $2,627,913, Morgan Stanley, 6.75%, due 04/15/11, with a value of $657,534, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $1,598,865)(b).... $ 8,061,801 9,434,532 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $9,434,768 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.35%, due 01/01/32, with a value of $9,906,259)................ 9,434,532 18,662,181 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $18,662,648 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 3.97%, due 01/01/33, with a value of $16,820,115 and Small Business Administration, 4.63%, due 04/25/16, with a value of $2,775,175)....... 18,662,181
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS (CONTINUED) $19,971,675 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $19,972,174 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.29%, due 06/01/30, with a value of $3,446,640 and Fannie Mae Adjustable Rate Mortgage, 4.75%, due 02/01/33, with a value of $17,523,828)...... $ 19,971,675 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $56,130,189)......... 56,130,189 -------------- Total Investments -- 104.1% (Cost $1,855,685,143)...... 2,055,870,002 Liabilities less other assets -- (4.1)%........... (80,233,302) -------------- NET ASSETS -- 100.0%......... $1,975,636,700 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $1,919,175,700. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........ $ 169,545,072 Gross unrealized depreciation........ (32,850,770) -------------- Net unrealized appreciation.......... $ 136,694,302 ==============
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (ADR) American Depository Receipt. See notes to financial statements. 109 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.2% AEROSPACE AND DEFENSE -- 1.8% 118,700 United Defense Industries, Inc.*........................ $ 3,784,156 ------------ AGRICULTURE -- 1.5% 96,400 Bunge, Ltd. ................... 3,173,488 ------------ ASSET MANAGEMENT -- 1.5% 108,800 Brascan Corp. -- Class A(a).... 3,322,752 ------------ AUTOMOTIVE EQUIPMENT -- 2.5% 27,600 Advanced Auto Parts, Inc.*..... 2,246,640 95,300 Genuine Parts Company.......... 3,163,960 ------------ 5,410,600 ------------ BANKS -- 7.0% 160,956 Charter One Financial, Inc. ... 5,561,029 62,500 Greenpoint Financial Corp. .... 2,207,500 30,200 M&T Bank Corp. ................ 2,968,660 109,900 North Fork Bancorp, Inc. ...... 4,447,653 ------------ 15,184,842 ------------ BROADCAST SERVICES/MEDIA -- 4.8% 106,340 Cablevision Systems New York Group -- Class A*(a)......... 2,487,293 155,200 Cox Radio, Inc. -- Class A*.... 3,915,696 78,500 Tribune Company................ 4,050,600 ------------ 10,453,589 ------------ BUSINESS SERVICES AND SUPPLIES -- 4.8% 92,700 Manpower, Inc.(a).............. 4,364,316 315,000 Moore Wallace, Inc.*........... 5,899,950 ------------ 10,264,266 ------------ COMMERCIAL SERVICES -- 2.1% 163,500 ARAMARK Corp. -- Class B....... 4,483,170 ------------ COMPUTER SOFTWARE AND SERVICES -- 4.0% 50,500 DST Systems, Inc.*............. 2,108,880 105,500 SkillSoft PLC (ADR)*........... 912,575 76,000 SunGard Data Systems, Inc.*.... 2,105,960 103,800 Synopsys, Inc.*(a)............. 3,504,288 ------------ 8,631,703 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 5.3% 44,600 American Standard Companies, Inc.*........................ 4,491,220 66,000 Lafarge North America, Inc. ... 2,674,320 116,200 York International Corp. ...... 4,276,160 ------------ 11,441,700 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES -- 3.2% 69,300 Clorox Company................. $ 3,365,208 48,100 Fortune Brands, Inc. .......... 3,438,669 ------------ 6,803,877 ------------ CONTAINERS AND PACKAGING -- 1.0% 91,000 Pactiv Corp.*.................. 2,174,900 ------------ INSURANCE -- 8.1% 63,300 Chubb Corp. ................... 4,310,730 74,300 Everest Re Group, Ltd. ........ 6,285,780 54,300 MBIA, Inc. .................... 3,216,189 108,000 Willis Group Holdings, Ltd. ... 3,679,560 ------------ 17,492,259 ------------ INTERNET SERVICES -- 1.2% 178,900 Network Associates, Inc.*...... 2,690,656 ------------ LEISURE AND RECREATION -- 3.6% 52,300 MGM Mirage, Inc.*.............. 1,967,003 169,100 Royal Caribbean Cruises, Ltd.(a)...................... 5,882,989 ------------ 7,849,992 ------------ MANUFACTURING -- 0.9% 27,100 ITT Industries, Inc. .......... 2,011,091 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 7.0% 30,700 Anthem, Inc.*(a)............... 2,302,500 101,800 Omnicare, Inc. ................ 4,111,702 140,800 STERIS Corp.*.................. 3,182,080 56,600 WellPoint Health Networks, Inc.*........................ 5,489,634 ------------ 15,085,916 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 2.6% 68,300 C. R. Bard, Inc. .............. 5,549,375 ------------ METALS AND MINING -- 2.1% 45,900 Alcan, Inc. ................... 2,155,005 65,200 United States Steel Corp.(a)... 2,283,304 ------------ 4,438,309 ------------ OIL, COAL AND GAS -- 4.4% 78,500 EnCana Corp.(a)................ 3,096,040 149,900 Halliburton Company............ 3,897,400 67,100 Weatherford International, Ltd.*........................ 2,415,600 ------------ 9,409,040 ------------ PAPER AND FOREST PRODUCTS -- 3.1% 203,500 Boise Cascade Corp. ........... 6,687,010 ------------
See notes to financial statements. 110 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PHARMACEUTICALS -- 1.6% 68,900 Schering AG (ADR)(a)........... $ 3,520,790 ------------ RETAIL -- 1.4% 103,700 Dollar Tree Stores, Inc.*...... 3,117,222 ------------ RETAIL: RESTAURANTS -- 2.8% 94,500 Brinker International, Inc.*(a)..................... 3,133,620 86,700 YUM! Brands, Inc.*............. 2,982,480 ------------ 6,116,100 ------------ RETAIL: SUPERMARKETS -- 1.1% 103,500 Safeway, Inc.*................. 2,267,685 ------------ SEMICONDUCTORS -- 1.3% 951,600 Agere Systems, Inc. -- Class B*........................... 2,759,640 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.3% 29,400 UNOVA, Inc.*................... 674,730 ------------ TOOLS -- 2.8% 162,200 Stanley Works(a)............... 6,142,514 ------------ TRANSPORTATION: FREIGHT -- 3.4% 93,500 CNF, Inc. ..................... 3,169,650 59,700 Union Pacific Corp. ........... 4,147,956 ------------ 7,317,606 ------------ TRANSPORTATION: SERVICES -- 2.5% 48,800 Florida East Coast Industries, Inc. ........................ 1,615,280 105,000 Yellow Roadway Corp.*(a)....... 3,797,850 ------------ 5,413,130 ------------ UTILITIES: ELECTRIC -- 4.5% 154,300 PG&E Corp.*.................... 4,284,911 124,700 PPL Corp. ..................... 5,455,625 ------------ 9,740,536 ------------ TOTAL COMMON STOCKS (Cost $178,361,178).......... 203,412,644 ------------ REGULATED INVESTMENT COMPANIES -- 1.2% 1,234,502 American Aadvantage Select(b).................... 1,234,502 382,176 Merrill Lynch Premier Institutional Fund(b)........ 382,176 1,058,145 Merrimac Cash Fund -- Premium Class(b)..................... 1,058,145 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $2,674,823)............ 2,674,823 ------------ PRINCIPAL VALUE --------- ------------ SHORT TERM COMMERCIAL PAPER -- 0.3% $ 384,943 General Electric Capital Corp., 1.09%, 01/09/04(b)........... $ 384,943 352,715 General Electric Capital Corp., 1.08%, 01/16/04(b)........... 352,715 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $737,658).............. 737,658 ------------ SHORT TERM CORPORATE NOTES -- 4.2% 352,715 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)....... 352,715 352,715 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)....... 352,715 881,787 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)....... 881,787 705,430 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)....... 705,430 881,787 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)....... 881,787 1,410,859 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)....... 1,410,859 2,292,646 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)....... 2,292,646 529,072 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)....... 529,072 1,763,574 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)....... 1,763,574 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $9,170,585)............ 9,170,585 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.5% FANNIE MAE -- 0.3% 702,418 1.06%, 01/02/04(b)............. 702,418 ------------ FREDDIE MAC -- 0.2% 352,715 1.06%, 01/27/04(b)............. 352,715 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $1,055,133)............ 1,055,133 ------------ TIME DEPOSITS -- 8.8% 3,232,121 Bank of Montreal, 1.06%, 01/15/04(b)........... 3,232,121 1,410,859 Bank of Montreal, 1.06%, 02/17/04(b)........... 1,410,859 1,763,574 Bank of Novia Scotia, 1.08%, 03/10/04(b)........... 1,763,574
See notes to financial statements. 111 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS (CONTINUED) $ 1,058,145 Citigroup, Inc., 1.08%, 01/05/04(b)........... $ 1,058,145 529,072 Citigroup, Inc., 1.09%, 02/06/04(b)........... 529,072 1,058,145 Credit Agricole Indosuez, 0.98%, 01/02/04(b)........... 1,058,145 1,058,145 Credit Agricole Indosuez, 1.08%, 01/28/04(b)........... 1,058,145 1,410,859 Den Danske Bank, 1.08%, 01/20/04(b)........... 1,410,859 1,763,574 Royal Bank of Canada, 1.05%, 02/27/04(b)........... 1,763,574 881,787 Royal Bank of Scotland, 1.08%, 01/09/04(b)........... 881,787 352,715 Royal Bank of Scotland, 1.08%, 01/15/04(b)........... 352,715 2,645,361 Royal Bank of Scotland, 1.08%, 01/20/04(b)........... 2,645,361 881,787 Svenska Handlesbanken, 1.08%, 02/04/04(b)........... 881,787 352,715 Toronto Dominion Bank, 1.10%, 01/08/04(b)........... 352,715 529,072 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)........... 529,072 ------------ TOTAL TIME DEPOSITS (Cost $18,927,931)................. 18,927,931 ------------ TOTAL SECURITIES (Cost $210,927,308)................ 235,978,774 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 11.9% $ 3,879,863 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $3,880,087 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $810,856, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $795,955, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $1,264,723, Morgan Stanley, 6.75%, due 04/15/11, with a value of $316,448, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $769,478)(b)........ $ 3,879,863 21,942,071 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $21,942,620 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 3.96%, due 02/01/33, with a value of $19,318,172 and Small Business Administration, 5.13%, due 01/25/22, with a value of $3,721,003).................. 21,942,071 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $25,821,934)........... 25,821,934 ------------ Total Investments -- 121.1% (Cost $236,749,242).......... 261,800,708 Liabilities less other assets -- (21.1)%............ (45,607,589) ------------ NET ASSETS -- 100.0%........... $216,193,119 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $236,943,870. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $25,171,244 Gross unrealized depreciation........... (314,406) ----------- Net unrealized appreciation............. $24,856,838 ===========
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (ADR) American Depository Receipt. See notes to financial statements. 112 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.8% ADVERTISING -- 0.5% 20,000 Lamar Advertising Company*...... $ 746,400 ------------ AEROSPACE AND DEFENSE -- 2.8% 35,000 Alliant Techsystems, Inc.*...... 2,021,600 90,000 Goodrich Corp. ................. 2,672,100 ------------ 4,693,700 ------------ APPAREL: MANUFACTURING -- 1.0% 25,000 Nike, Inc. -- Class B........... 1,711,500 ------------ BANKS -- 4.0% 30,000 Bank of Hawaii Corp. ........... 1,266,000 12,500 Golden West Financial Corp. .... 1,289,875 8,500 M&T Bank Corp. ................. 835,550 40,000 Mellon Financial Corp. ......... 1,284,400 32,500 Zions Bancorp................... 1,993,225 ------------ 6,669,050 ------------ BROADCAST SERVICES/MEDIA -- 4.3% 82,500 Cox Radio, Inc. -- Class A*..... 2,081,475 17,500 E.W. Scripps Company -- Class A............................. 1,647,450 30,000 Entercom Communications Corp.*........................ 1,588,800 55,000 Westwood One, Inc.*............. 1,881,550 ------------ 7,199,275 ------------ BUSINESS SERVICES -- 2.3% 75,000 BISYS Group, Inc.*.............. 1,116,000 52,500 Cintas Corp.(a)................. 2,631,825 ------------ 3,747,825 ------------ CHEMICALS -- 2.5% 55,000 Air Products and Chemicals, Inc. ......................... 2,905,650 25,000 Valspar Corp. .................. 1,235,500 ------------ 4,141,150 ------------ COMMERCIAL SERVICES -- 1.2% 70,000 ARAMARK Corp. -- Class B........ 1,919,400 ------------ COMPUTER SOFTWARE AND SERVICES -- 11.6% 45,000 Affiliated Computer Services, Inc. -- Class A*(a)........... 2,450,700 80,000 Amdocs, Ltd.*................... 1,798,400 110,000 Citrix Systems, Inc.*........... 2,333,100 70,000 DST Systems, Inc.*(a)........... 2,923,200 35,000 Electronic Arts, Inc.*.......... 1,672,300 100,000 Macromedia, Inc.*............... 1,784,000 55,000 Mercury Interactive Corp.*(a)... 2,675,200
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES (CONTINUED) 60,000 Perot Systems Corp. -- Class A*............................ $ 808,800 65,000 SunGard Data Systems, Inc.*..... 1,801,150 55,000 THQ, Inc.*(a)................... 930,050 ------------ 19,176,900 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.9% 15,000 American Standard Companies, Inc.*......................... 1,510,500 ------------ CONSUMER GOODS AND SERVICES -- 1.5% 65,000 Estee Lauder Companies, Inc. -- Class A....................... 2,551,900 ------------ DISTRIBUTION -- 2.3% 35,000 CDW Corp.(a).................... 2,021,600 37,500 Fastenal Company(a)............. 1,872,750 ------------ 3,894,350 ------------ ELECTRONICS -- 4.8% 315,000 Agere Systems, Inc. -- Class A*............................ 960,750 12,500 Harman International Industries, Inc. ......................... 924,750 85,000 Jabil Circuit, Inc.*............ 2,405,500 42,500 L-3 Communications Holdings, Inc.*(a)...................... 2,182,800 50,000 Molex, Inc. -- Class A.......... 1,468,000 ------------ 7,941,800 ------------ FINANCIAL SERVICES -- 1.1% 25,000 Chicago Mercantile Exchange(a)................... 1,809,000 ------------ FOOD AND BEVERAGE -- 2.4% 65,000 Dean Foods Company*............. 2,136,550 50,000 Performance Food Group Company*(a)................... 1,808,500 ------------ 3,945,050 ------------ INSURANCE -- 3.6% 30,000 Aetna, Inc. .................... 2,027,400 70,000 Willis Group Holdings, Ltd. .... 2,384,900 20,000 XL Capital, Ltd. -- Class A..... 1,551,000 ------------ 5,963,300 ------------ INTERNET SERVICES -- 2.8% 240,000 Novell, Inc.*................... 2,524,800 60,000 Symantec Corp.*(a).............. 2,079,000 ------------ 4,603,800 ------------
See notes to financial statements. 113 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) LEISURE AND RECREATION -- 3.2% 110,000 Hilton Hotels Corp. ............ $ 1,884,300 35,000 Royal Caribbean Cruises, Ltd.(a)....................... 1,217,650 60,000 Starwood Hotels & Resorts....... 2,158,200 ------------ 5,260,150 ------------ MACHINERY -- 1.0% 25,000 Ingersoll-Rand Company -- Class A............................. 1,697,000 ------------ MANUFACTURING -- 3.9% 35,000 Danaher Corp.(a)................ 3,211,250 55,000 SPX Corp.*(a)................... 3,234,550 ------------ 6,445,800 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 4.4% 50,000 AdvancePCS*..................... 2,633,000 35,000 Anthem, Inc.*(a)................ 2,625,000 20,000 WellPoint Health Networks, Inc.*......................... 1,939,800 ------------ 7,197,800 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.4% 10,000 Allergan, Inc. ................. 768,100 35,000 St. Jude Medical, Inc.*......... 2,147,250 17,500 Stryker Corp. .................. 1,487,675 20,000 Varian Medical Systems, Inc.*... 1,382,000 20,000 Zimmer Holdings, Inc.*.......... 1,408,000 ------------ 7,193,025 ------------ OIL, COAL AND GAS -- 6.8% 13,500 Apache Corp. ................... 1,094,850 60,000 BJ Services Company*............ 2,154,000 47,500 Nabors Industries, Ltd.*........ 1,971,250 40,000 Noble Corp.*.................... 1,431,200 40,000 Smith International, Inc.*...... 1,660,800 37,500 Weatherford International, Ltd.*......................... 1,350,000 58,600 XTO Energy, Inc. ............... 1,658,380 ------------ 11,320,480 ------------ PHARMACEUTICALS -- 3.7% 32,100 AmerisourceBergen Corp.(a)...... 1,802,415 35,000 Angiotech Pharmaceuticals, Inc.*......................... 1,610,000 30,000 MGI Pharma, Inc.*............... 1,234,500 25,000 Teva Pharmaceutical Industries, Ltd. (ADR).................... 1,417,750 ------------ 6,064,665 ------------ RESEARCH AND DEVELOPMENT -- 3.2% 52,000 Biogen Idec, Inc.*.............. 1,912,560 21,400 Cytyc Corp.*.................... 294,464
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RESEARCH AND DEVELOPMENT (CONTINUED) 35,000 Gilead Sciences, Inc.*.......... $ 2,034,900 20,000 Neurocrine Biosciences, Inc.*... 1,090,800 ------------ 5,332,724 ------------ RETAIL -- 4.9% 70,000 Dollar Tree Stores, Inc.*....... 2,104,200 60,000 Linens 'n Things, Inc.*......... 1,804,800 90,000 TJX Companies, Inc. ............ 1,984,500 65,000 Williams-Sonoma, Inc.*(a)....... 2,260,050 ------------ 8,153,550 ------------ RETAIL: RESTAURANTS -- 0.8% 40,000 Starbucks Corp.*................ 1,322,400 ------------ SEMICONDUCTORS -- 5.0% 60,000 Emulex Corp.*(a)................ 1,600,800 45,000 Fairchild Semiconductor International, Inc.*.......... 1,123,650 75,000 Intersil Corp. -- Class A....... 1,863,750 27,500 Marvell Technology Group, Ltd.*......................... 1,043,075 80,000 Microchip Technology, Inc. ..... 2,668,800 ------------ 8,300,075 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.9% 50,000 Adtran, Inc. ................... 1,550,000 ------------ TOYS -- 1.5% 65,000 Marvel Enterprises, Inc.*....... 1,892,150 35,000 Mattel, Inc. ................... 674,450 ------------ 2,566,600 ------------ TRANSPORTATION -- 1.5% 65,000 Expeditors International of Washington, Inc. ............. 2,447,900 ------------ TOTAL COMMON STOCKS (Cost $140,875,061)................. 157,077,069 ------------ REGULATED INVESTMENT COMPANIES -- 1.3% 987,010 American Aadvantage Select(b)... 987,010 305,557 Merrill Lynch Premier Institutional Fund(b)......... 305,557 846,008 Merrimac Cash Fund -- Premium Class(b)...................... 846,008 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $2,138,575)............. 2,138,575 ------------
See notes to financial statements. 114 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ SHORT TERM COMMERCIAL PAPER -- 0.4% $ 307,769 General Electric Capital Corp., 1.09%, 01/09/04(b)............ $ 307,769 282,003 General Electric Capital Corp., 1.08%, 01/16/04(b)............ 282,003 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $589,772)............... 589,772 ------------ SHORT TERM CORPORATE NOTES -- 4.4% 282,003 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)........ 282,003 282,003 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)........ 282,003 705,007 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)........ 705,007 564,006 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)........ 564,006 705,007 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)........ 705,007 1,128,011 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)........ 1,128,011 1,833,018 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)........ 1,833,018 423,004 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)........ 423,004 1,410,014 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)........ 1,410,014 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $7,332,073)............. 7,332,073 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.5% FANNIE MAE -- 0.3% 561,598 1.06%, 01/02/04(b).............. 561,598 ------------ FREDDIE MAC -- 0.2% 282,003 1.06%, 01/27/04(b).............. 282,003 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $843,601)..................... 843,601 ------------
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS -- 9.1% $2,584,147 Bank of Montreal, 1.06%, 01/15/04(b)............ $ 2,584,147 1,128,011 Bank of Montreal, 1.06%, 02/17/04(b)............ 1,128,011 1,410,014 Bank of Novia Scotia, 1.08%, 03/10/04(b)............ 1,410,014 846,008 Citigroup, Inc., 1.08%, 01/05/04(b)............ 846,008 423,004 Citigroup, Inc., 1.09%, 02/06/04(b)............ 423,004 846,008 Credit Agricole Indosuez, 0.98%, 01/02/04(b)............ 846,008 846,008 Credit Agricole Indosuez, 1.08%, 01/28/04(b)............ 846,008 1,128,011 Den Danske Bank, 1.08%, 01/20/04(b)............ 1,128,011 1,410,014 Royal Bank of Canada, 1.05%, 02/27/04(b)............ 1,410,014 705,007 Royal Bank of Scotland, 1.08%, 01/09/04(b)............ 705,007 282,003 Royal Bank of Scotland, 1.08%, 01/15/04(b)............ 282,003 2,115,021 Royal Bank of Scotland, 1.08%, 01/20/04(b)............ 2,115,021 705,007 Svenska Handlesbanken, 1.08%, 02/04/04(b)............ 705,007 282,003 Toronto Dominion Bank, 1.10%, 01/08/04(b)............ 282,003 423,004 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)............ 423,004 ------------ TOTAL TIME DEPOSITS (Cost $15,133,270).................. 15,133,270 ------------ TOTAL SECURITIES (Cost $166,912,352)................. 183,114,360 ------------
See notes to financial statements. 115 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 7.3% $3,102,031 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $3,102,210 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $648,297, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $636,383, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $1,011,172, Morgan Stanley, 6.75%, due 04/15/11, with a value of $253,007, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $615,213)(b)......... $ 3,102,031 9,053,270 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $9,053,496 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.95%, due 01/01/32, with a value of $9,505,934).......... 9,053,270 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $12,155,301)............ 12,155,301 ------------ Total Investments -- 117.8% (Cost $179,067,653)........... 195,269,661 Liabilities less other assets -- (17.8)%....................... (29,521,787) ------------ NET ASSETS -- 100.0%............ $165,747,874 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $179,896,027. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $17,421,878 Gross unrealized depreciation........... (2,048,244) ----------- Net unrealized appreciation............. $15,373,634 ===========
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (ADR) American Depository Receipt. See notes to financial statements. 116 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS -- 96.9% ADVERTISING -- 1.7% 84,125 Catalina Marketing Corp.*(a).... $ 1,695,960 ------------ AGRICULTURE -- 3.6% 141,750 Delta and Pine Land Company..... 3,600,450 ------------ BANKS -- 7.6% 94,200 Commercial Federal Corp. ....... 2,516,081 38,975 First Financial Bancorp. ....... 621,651 55,200 Provident Financial Services, Inc. ......................... 1,043,280 55,400 Silicon Valley Bancshares*...... 1,998,278 31,225 UMB Financial Corp. ............ 1,484,437 ------------ 7,663,727 ------------ BUSINESS SERVICES AND SUPPLIES -- 6.2% 209,600 CSG Systems International, Inc.*......................... 2,617,904 230,850 Dendrite International, Inc.*... 3,617,419 ------------ 6,235,323 ------------ CHEMICALS -- 5.4% 26,200 Cytec Industries, Inc.*......... 1,005,818 351,349 Millennium Chemicals, Inc. ..... 4,455,104 ------------ 5,460,922 ------------ COMPUTER SOFTWARE AND SERVICES -- 1.4% 128,325 Gartner, Inc. -- Class A*....... 1,451,356 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.1% 23,550 Black Box Corp.................. 1,084,949 ------------ CONSUMER GOODS AND SERVICES -- 3.5% 72,925 American Greetings Corp. -- Class A*(a)................... 1,594,870 59,475 Blyth, Inc. .................... 1,916,284 ------------ 3,511,154 ------------ FINANCIAL SERVICES -- 4.8% 63,825 Raymond James Financial, Inc. ......................... 2,406,203 102,150 Waddell & Reed Financial, Inc. -- Class A............... 2,396,439 ------------ 4,802,642 ------------ INSURANCE -- 2.7% 228,450 Phoenix Companies, Inc.(a)...... 2,750,538 ------------ INTERNET SERVICES -- 2.8% 284,900 Earthlink, Inc.*................ 2,849,000 ------------ LEISURE AND RECREATION -- 3.7% 129,300 Speedway Motorsports, Inc. ..... 3,739,356 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MANUFACTURING -- 11.6% 197,450 Acuity Brands, Inc. ............ $ 5,094,209 28,125 Brady Corp. -- Class A.......... 1,146,094 83,225 Crane Company................... 2,558,336 58,250 Furniture Brands International, Inc. ......................... 1,708,473 76,975 Tredegar Corp. ................. 1,195,422 ------------ 11,702,534 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 2.2% 74,750 LifePoint Hospitals, Inc.*(a)... 2,201,388 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.3% 80,150 Haemonetics Corp.*.............. 1,914,784 83,250 Ocular Sciences, Inc.*.......... 2,390,107 ------------ 4,304,891 ------------ OIL, COAL AND GAS -- 4.6% 89,000 Forest Oil Corp.*............... 2,542,730 71,650 Tidewater, Inc. ................ 2,140,902 ------------ 4,683,632 ------------ PAPER AND FOREST PRODUCTS -- 3.1% 76,587 Rayonier, Inc. ................. 3,179,126 ------------ PRINTING AND PUBLISHING -- 5.4% 107,225 Bowne & Company, Inc. .......... 1,453,971 254,475 Hollinger International, Inc. ......................... 3,974,900 ------------ 5,428,871 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.1% 2,525 Avatar Holdings, Inc.*.......... 93,274 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.5% 52,850 Post Properties, Inc. .......... 1,475,572 ------------ RETAIL -- 4.9% 372,000 Payless ShoeSource, Inc.*....... 4,984,800 ------------ RUBBER PRODUCTS -- 1.1% 8,750 Bandag, Inc. ................... 360,500 17,550 Bandag, Inc. -- Class A......... 709,020 ------------ 1,069,520 ------------ SECURITY SERVICES -- 4.0% 177,650 The Brink's Company............. 4,016,667 ------------ SEMICONDUCTORS -- 1.9% 190,075 Axcelis Technologies, Inc.*..... 1,942,567 ------------ SPORTING GOODS AND EQUIPMENT -- 2.7% 163,500 Callaway Golf Company(a)........ 2,754,975 ------------
See notes to financial statements. 117 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 5.0% 100,650 Belden, Inc. ................... $ 2,122,709 78,250 Commonwealth Telephone Enterprises, Inc.*(a)......... 2,953,937 ------------ 5,076,646 ------------ TOTAL COMMON STOCKS (Cost $82,412,137).................. 97,759,840 ------------ REGULATED INVESTMENT COMPANIES -- 0.6% 289,720 American Aadvantage Select(b)... 289,720 89,691 Merrill Lynch Premier Institutional Fund(b)......... 89,691 248,331 Merrimac Cash Fund -- Premium Class(b)...................... 248,331 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $627,742)............... 627,742 ------------ PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.2% $ 90,341 General Electric Capital Corp., 1.09%, 01/09/04(b)............ 90,341 82,777 General Electric Capital Corp., 1.08%, 01/16/04(b)............ 82,777 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $173,118)............... 173,118 ------------ SHORT TERM CORPORATE NOTES -- 2.1% 82,777 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)........ 82,777 82,777 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)........ 82,777 206,943 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)........ 206,943 165,554 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)........ 165,554 206,943 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)........ 206,943 331,108 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)........ 331,108 538,051 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)........ 538,051
PRINCIPAL VALUE --------- ------------ SHORT TERM CORPORATE NOTES (CONTINUED) $ 124,166 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)........ $ 124,166 413,886 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)........ 413,886 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $2,152,205)............. 2,152,205 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.3% FANNIE MAE -- 0.2% 164,847 1.06%, 01/02/04(b).............. 164,847 ------------ FREDDIE MAC -- 0.1% 82,777 1.06%, 01/27/04(b).............. 82,777 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $247,624)..................... 247,624 ------------ TIME DEPOSITS -- 4.4% 758,532 Bank of Montreal, 1.06%, 01/15/04(b)............ 758,532 331,108 Bank of Montreal, 1.06%, 02/17/04(b)............ 331,108 413,886 Bank of Novia Scotia, 1.08%, 03/10/04(b)............ 413,886 248,331 Citigroup, Inc., 1.08%, 01/05/04(b)............ 248,331 124,166 Citigroup, Inc., 1.09%, 02/06/04(b)............ 124,166 248,331 Credit Agricole Indosuez, 0.98%, 01/02/04(b)............ 248,331 248,331 Credit Agricole Indosuez, 1.08%, 01/28/04(b)............ 248,331 331,109 Den Danske Bank, 1.08%, 01/20/04(b)............ 331,109 413,886 Royal Bank of Canada, 1.05%, 02/27/04(b)............ 413,886 206,943 Royal Bank of Scotland, 1.08%, 01/09/04(b)............ 206,943 82,777 Royal Bank of Scotland, 1.08%, 01/15/04(b)............ 82,777 620,828 Royal Bank of Scotland, 1.08%, 01/20/04(b)............ 620,828 206,943 Svenska Handlesbanken, 1.08%, 02/04/04(b)............ 206,943
See notes to financial statements. 118 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS (CONTINUED) $ 82,777 Toronto Dominion Bank, 1.10%, 01/08/04(b)............ $ 82,777 124,166 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)............ 124,166 ------------ TOTAL TIME DEPOSITS (Cost $4,442,114)................... 4,442,114 ------------ TOTAL SECURITIES (Cost $90,054,940)............ 105,402,643 ------------ REPURCHASE AGREEMENTS -- 6.1% 910,548 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $910,601 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $190,296, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $186,800, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $296,812, Morgan Stanley, 6.75%, due 04/15/11, with a value of $74,266, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $180,585)(b)......... 910,548 5,266,712 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $5,266,844 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 1.64%, due 11/25/30, with a value of $5,530,157).......... 5,266,712 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $6,177,260)............. 6,177,260 ------------ Total Investments -- 110.6% (Cost $96,232,200)............ 111,579,903 Liabilities less other assets -- (10.6)%....................... (10,692,445) ------------ NET ASSETS -- 100.0%............ $100,887,458 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $96,484,383. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $15,358,097 Gross unrealized depreciation........... (262,577) ----------- Net unrealized appreciation............. $15,095,520 ===========
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. See notes to financial statements. 119 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS -- 95.5% ADVERTISING -- 0.1% 92,600 aQuantive, Inc.*............. $ 949,150 17,300 R.H. Donnelley Corp.*........ 689,232 -------------- 1,638,382 -------------- AEROSPACE AND DEFENSE -- 0.6% 219,900 AAR Corp.*................... 3,287,505 94,200 Curtiss-Wright Corp. -- Class B.......................... 4,229,580 9,200 Ducommun, Inc.*.............. 205,620 4,700 Moog, Inc. -- Class A*....... 232,180 -------------- 7,954,885 -------------- AIRLINES -- 0.5% 38,500 AirTran Holdings, Inc.*...... 458,150 68,800 American West Holdings Corp. -- Class B*(a)....... 853,120 132,000 ExpressJet Holdings, Inc.*... 1,980,000 16,700 Mair Holdings, Inc.*......... 121,576 176,550 Pinnacle Airlines Corp*...... 2,452,280 -------------- 5,865,126 -------------- APPAREL: MANUFACTURING -- 0.6% 258,850 Ashworth, Inc.*.............. 2,088,920 2,600 Gildan Activewear, Inc. -- Class A*................... 80,288 145,800 Guess?, Inc.*................ 1,759,806 24,400 K-Swiss, Inc. -- Class A..... 587,064 21,900 Kellwood Company............. 897,900 74,100 Oxford Industries, Inc. ..... 2,510,508 -------------- 7,924,486 -------------- APPAREL: RETAIL -- 3.6% 240,440 Aeropostale, Inc.*........... 6,592,865 57,000 Brown Shoe Company, Inc. .... 2,162,010 410,050 Casual Male Retail Group, Inc.*(a)................... 2,845,747 161,900 Charlotte Russe Holding, Inc.*...................... 2,243,934 104,000 Claire's Stores, Inc. ....... 1,959,360 236,400 J. Jill Group, Inc.*......... 3,004,644 146,110 Jos. A. Bank Clothiers, Inc.*(a)................... 5,068,556 222,010 Pacific Sunwear of California, Inc.*.......... 4,688,851 356,000 Ross Stores, Inc.(a)......... 9,409,080 101,300 Shoe Carnival, Inc.*......... 1,803,140 161,700 Stage Stores, Inc.*.......... 4,511,430
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) APPAREL: RETAIL (CONTINUED) 52,000 The Men's Wearhouse, Inc.*... $ 1,300,520 26,800 Wilsons The Leather Experts, Inc.*...................... 93,532 -------------- 45,683,669 -------------- AUTOMOBILES -- 0.2% 41,100 American Axle & Manufacturing Holdings, Inc.*............ 1,661,262 29,000 Oshkosh Truck Corp. ......... 1,479,870 -------------- 3,141,132 -------------- AUTOMOTIVE EQUIPMENT -- 1.0% 32,800 Dura Automotive Systems, Inc. -- Class A*........... 418,856 188,700 O'Reilly Automotive, Inc.*... 7,238,532 211,600 Spartan Motors, Inc. ........ 2,137,160 6,500 Standard Motor Products, Inc. ...................... 78,975 86,800 TBC Corp.*................... 2,240,308 66,100 Tenneco Automotive, Inc.*.... 442,209 -------------- 12,556,040 -------------- BANKS -- 6.8% 4,300 ABC Bancorp.................. 68,671 16,900 AMCORE Financial, Inc. ...... 456,638 3,900 AmericanWest Bancorp.*....... 88,920 1,400 BancFirst Corp. ............. 82,183 19,500 BancorpSouth, Inc. .......... 462,540 136,300 Bank of Bermuda, Ltd. ....... 6,126,685 4,300 Bank of Granite Corp. ....... 93,654 151,976 Banner Corp. ................ 3,822,196 3,100 Capital Corp. of the West*... 122,884 3,100 Capitol Bancorp, Ltd. ....... 88,040 2,300 CCBT Financial Companies, Inc. ...................... 80,385 16,500 City Holding Company......... 577,500 14,500 Columbia Banking System, Inc. ...................... 314,070 44,400 Commercial Capital Bancorp, Inc.*...................... 950,604 97,300 Commercial Federal Corp. .... 2,598,883 55,700 Community First Bankshares, Inc. ...................... 1,611,958 7,260 Community Trust Bancorp, Inc. ...................... 219,252 14,200 Corus Bankshares, Inc. ...... 448,152 2,900 Dime Community Bancshares.... 89,204 26,500 First BanCorp................ 1,048,075 4,700 First Commonwealth Financial Corp. ..................... 67,022 57,050 First Community Bancorp...... 2,061,787
See notes to financial statements. 120 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 14,900 First Midwest Bancorp, Inc. ...................... $ 482,909 4,000 First National Corp. ........ 120,040 9,600 First Place Financial Corp. ..................... 187,488 7,400 First Republic Bank.......... 264,920 24,300 FirstFed Financial Corp.*.... 1,057,050 142,000 FirstMerit Corp. ............ 3,829,740 79,800 Flagstar Bancorp, Inc. ...... 1,709,316 18,600 Flushing Financial Corp. .... 340,008 70,300 Franklin Bank Corp.*......... 1,335,700 7,100 Frontier Financial Corp. .... 235,436 292,111 Hudson United Bancorp........ 10,793,501 5,000 Humboldt Bancorp(a).......... 87,600 11,000 Independent Bank Corp. ...... 311,960 32,700 IndyMac Bancorp, Inc.(a)..... 974,133 4,000 Interchange Financial Services Corp. ............ 101,200 29,300 Irwin Financial Corp. ....... 920,020 6,300 ITLA Capital Corp.*.......... 315,630 17,800 Local Financial Corp.*....... 370,952 2,300 MASSBANK Corp. .............. 97,980 4,400 Mid-State Bancshares......... 111,936 60,300 Nara Bancorp, Inc. .......... 1,646,190 140,150 NetBank, Inc. ............... 1,871,003 6,800 OceanFirst Financial Corp. ..................... 184,688 1,700 Old Second Bancorp, Inc. .... 84,150 16,170 Oriental Financial Group, Inc. ...................... 415,569 5,100 Patriot Bank Corp. .......... 145,911 325,000 People's Bank(a)............. 10,595,000 2,250 People's Holding Company..... 74,250 9,900 PFF Bancorp, Inc. ........... 359,172 49,450 PrivateBancorp, Inc. ........ 2,250,964 41,400 Provident Bankshares Corp. ..................... 1,218,816 8,800 Provident Financial Group, Inc. ...................... 281,160 2,800 Provident Financial Holdings, Inc. ...................... 101,556 31,600 R & G Financial Corp. -- Class B.................... 1,257,680 2,800 S&T Bancorp, Inc. ........... 83,720 3,700 Sandy Spring Bancorp, Inc. ...................... 138,380 7,400 Second Bancorp, Inc. ........ 195,360 50,100 Silicon Valley Bancshares*... 1,807,107 7,000 Simmons First National Corp. -- Class A........... 195,300 125,700 Sky Financial Group, Inc. ... 3,260,658 4,600 Southside Bancshares, Inc. ...................... 85,100
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 3,300 State Bancorp, Inc. ......... $ 80,058 3,600 State Financial Services Corp. -- Class A........... 95,616 6,625 Sterling Bancorp............. 188,813 3,200 Suffolk Bancorp.............. 110,496 30,800 Susquehanna Bancshares, Inc. ...................... 770,308 226,650 Texas Capital Bancshares, Inc.*...................... 3,277,812 53,800 Texas Regional Bancshares, Inc. -- Class A............ 1,990,600 23,900 The Trust Company of N. J. ........................ 948,352 14,600 Trustmark Corp. ............. 427,342 9,800 U.S.B. Holding Company, Inc. ...................... 190,022 2,800 Union Bankshares Corp. ...... 85,400 16,500 United Community Financial Corp. ..................... 188,265 3,100 WesBanco, Inc. .............. 85,839 6,800 West Coast Bancorp........... 145,112 114,140 Westamerica Bancorp.......... 5,672,758 2,400 Western Sierra Bancorp*...... 112,800 3,600 WSFS Financial Corp. ........ 161,460 -------------- 85,909,609 -------------- BROADCAST SERVICES/MEDIA -- 1.9% 388,200 Cox Radio, Inc. -- Class A*......................... 9,794,286 449,400 Emmis Communications Corp. -- Class A*................... 12,156,270 55,700 Sinclair Broadcast Group -- Class A*................... 831,044 53,000 Spanish Broadcasting System, Inc. -- Class A*........... 556,500 13,200 World Wrestling Entertainment, Inc. ....... 172,920 24,100 Young Broadcasting, Inc. -- Class A*................... 482,964 -------------- 23,993,984 -------------- BUSINESS SERVICES AND SUPPLIES -- 2.5% 50,700 Administaff, Inc.*........... 881,166 25,500 Advisory Board Company*...... 890,205 417,000 American Management Systems, Inc.*...................... 6,284,190 16,600 Angelica Corp. .............. 365,200 54,600 Dendrite International, Inc.*...................... 855,582 135,200 Essex Corp.*................. 1,269,528 42,500 Exult, Inc.*(a).............. 302,600 113,700 Forrester Research, Inc.*.... 2,031,819 64,100 Gevity HR, Inc. ............. 1,425,584
See notes to financial statements. 121 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES (CONTINUED) 135,700 Global Payments, Inc. ....... $ 6,394,184 127,600 Image Entertainment, Inc.*... 526,988 23,000 John H. Harland Company...... 627,900 17,400 Kforce, Inc.*................ 162,516 129,800 Labor Ready, Inc.*........... 1,700,380 132,100 MAXIMUS, Inc.*(a)............ 5,169,073 42,200 MemberWorks, Inc.*(a)........ 1,146,574 12,300 New England Business Service, Inc. ...................... 362,850 12,400 Pomeroy IT Solutions, Inc.*...................... 182,776 20,100 SOURCECORP, Inc.*............ 515,163 7,200 UniFirst Corp. .............. 170,712 -------------- 31,264,990 -------------- CHEMICALS -- 1.2% 35,900 Airgas, Inc. ................ 771,132 20,400 Albemarle Corp. ............. 611,388 17,600 Arch Chemicals, Inc. ........ 451,616 18,600 Cytec Industries, Inc.*...... 714,054 15,600 Ethyl Corp.*................. 341,172 68,200 Hercules, Inc.*.............. 832,040 46,600 MacDermid, Inc. ............. 1,595,584 13,300 Octel Corp. ................. 261,877 281,230 Tetra Tech, Inc.*............ 6,991,378 69,100 Tetra Technologies, Inc.*.... 1,674,984 31,300 Trex Company, Inc.*.......... 1,188,774 -------------- 15,433,999 -------------- COLLECTIBLES -- 0.0% 10,200 Department 56, Inc.*......... 133,620 -------------- COMMERCIAL SERVICES -- 0.2% 128,650 Providence Service Corp.*.... 2,081,557 -------------- COMPUTER SOFTWARE AND SERVICES -- 3.9% 82,800 Advanced Digital Information Corp.*..................... 1,159,200 50,450 Altiris, Inc.*(a)............ 1,840,416 57,900 ANSYS, Inc.*................. 2,298,630 11,400 Captaris, Inc.*.............. 64,068 228,200 Checkpoint Systems, Inc.*.... 4,315,262 106,100 Citadel Security Software, Inc.*(a)................... 403,180 529,800 ClickSoftware Technologies, Ltd.*(a)................... 2,161,584 33,000 Computer Network Technology Corp.*..................... 314,820
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES (CONTINUED) 8,300 Concord Communications, Inc.*...................... $ 165,751 8,700 Covansys Corp.*.............. 95,700 12,000 Datastream Systems, Inc.*.... 94,200 450,860 Embarcadero Technologies, Inc.*...................... 7,191,217 71,700 Epicor Software Corp.*....... 914,892 29,900 Evolving Systems, Inc.*(a)... 397,670 39,600 Hyperion Solutions Corp.*.... 1,193,544 8,500 Informatica Corp.*........... 87,550 2,500 Inter-Tel, Inc. ............. 62,450 135,800 Keane, Inc.*................. 1,988,112 81,200 Kintera, Inc.*............... 1,006,880 137,040 Macromedia, Inc.* ........... 2,444,794 4,000 ManTech International Corp. -- Class A*.......... 99,800 87,150 Merge Technologies, Inc.*(a)................... 1,537,326 128,300 Micromuse, Inc.*............. 885,270 171,900 MRO Software, Inc.*.......... 2,313,774 14,800 MTS Systems Corp. ........... 284,604 30,200 Omnicell, Inc.*.............. 489,240 109,650 OPNET Technologies, Inc.*.... 1,804,839 788,700 Parametric Technology Corp.*..................... 3,107,478 180,800 Phoenix Technologies, Ltd.*...................... 1,460,864 5,400 Progress Software Corp.*..... 110,484 18,100 Renaissance Learning, Inc.*(a)................... 435,848 6,700 SERENA Software, Inc.*....... 122,945 14,000 SRA International, Inc. -- Class A*................... 603,400 26,200 SS&C Technologies, Inc....... 732,290 6,800 Sybase, Inc.*................ 139,944 33,800 Sykes Enterprises, Inc.*..... 289,328 100,000 Synopsys, Inc.*(a)........... 3,376,000 210,600 Synplicity, Inc.*............ 1,648,998 79,700 Transaction Systems Architects, Inc. -- Class A*......................... 1,803,611 23,900 Tyler Technologies, Inc.*.... 230,157 -------------- 49,676,120 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 94,600 Black Box Corp.(a)........... 4,358,222 11,400 Electronics For Imaging, Inc.*(a)................... 296,628 32,400 Hutchinson Technology, Inc.*(a)................... 995,976 34,300 Mercury Computer Systems, Inc.*...................... 854,070
See notes to financial statements. 122 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTERS AND OFFICE EQUIPMENT (CONTINUED) 16,000 RadiSys Corp.*............... $ 269,760 114,700 Silicon Storage Technology, Inc.*...................... 1,261,700 -------------- 8,036,356 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 2.3% 24,100 Brookfield Homes Corp. ...... 621,057 8,900 Centex Construction Products, Inc. ...................... 536,403 206,600 Dycom Industries, Inc.*...... 5,541,012 35,500 Florida Rock Industries, Inc. ...................... 1,947,175 6,700 Genlyte Group, Inc.*......... 391,146 112,300 Granite Construction, Inc. ...................... 2,637,927 28,000 Integrated Electrical Services, Inc. ............ 259,000 57,000 Lennox International, Inc. ...................... 951,900 28,800 M/I Schottenstein Homes, Inc. ...................... 1,124,640 45,600 Meritage Corp.*.............. 3,023,736 116,200 Simpson Manufacturing Company, Inc.*............. 5,909,932 15,500 Universal Forest Products, Inc. ...................... 498,790 23,500 USG Corp.*(a)................ 389,395 24,800 Walter Industries, Inc. ..... 331,080 207,000 WCI Communities, Inc.*....... 4,266,270 15,400 York International Corp. .... 566,720 -------------- 28,996,183 -------------- CONSUMER GOODS AND SERVICES -- 1.9% 4,200 Central Garden & Pet Company*................... 117,726 38,600 Chattem, Inc.*............... 690,940 32,400 Coinstar, Inc.*.............. 585,144 6,000 CSS Industries, Inc. ........ 186,060 10,400 DIMON, Inc. ................. 70,200 221,325 Jarden Corp.*................ 6,051,026 172,200 NBTY, Inc.*.................. 4,625,292 42,804 Regis Corp. ................. 1,691,614 195,090 Toro Company................. 9,052,176 59,900 Yankee Candle Company, Inc.*...................... 1,637,067 -------------- 24,707,245 -------------- CONTAINERS AND PACKAGING -- 0.1% 11,600 Chesapeake Corp. ............ 307,168 9,900 Greif, Inc. -- Class A....... 351,549 12,900 Silgan Holdings, Inc.*....... 549,411 -------------- 1,208,128 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CORRECTIONAL FACILITIES -- 0.0% 5,600 Wackenhut Corrections Corp.*..................... $ 127,680 -------------- DISTRIBUTION -- 2.5% 8,000 Building Materials Holding Corp. ..................... 124,240 58,400 Handleman Company............ 1,198,952 144,020 Hughes Supply, Inc. ......... 7,146,272 20,600 Nu Skin Enterprises, Inc. -- Class A.................... 352,054 187,540 Tech Data Corp.*(a).......... 7,443,463 216,900 United Stationers, Inc.*..... 8,875,548 129,000 Universal Corp. ............. 5,697,930 26,600 Watsco, Inc. ................ 604,618 -------------- 31,443,077 -------------- EDUCATION -- 2.5% 50,135 Bright Horizons Family Solutions, Inc.*........... 2,105,670 329,000 DeVry, Inc.*(a).............. 8,267,770 399,530 ITT Educational Services, Inc.*...................... 18,765,924 98,350 Sylvan Learning Systems, Inc.*(a)................... 2,831,497 -------------- 31,970,861 -------------- ELECTRONICS -- 1.9% 44,600 Artesyn Technologies, Inc.*...................... 379,992 51,100 Benchmark Electronics, Inc.*...................... 1,778,791 16,400 Daktronics, Inc.*............ 412,624 7,200 Excel Technology, Inc.*...... 236,592 279,300 Innovex, Inc.*............... 2,354,499 43,100 Methode Electronics, Inc. -- Class A.................... 527,113 12,400 Planar Systems, Inc.*........ 301,568 351,550 Plexus Corp.*................ 6,036,114 78,075 SRS Labs, Inc.*.............. 728,440 15,000 Stoneridge, Inc.*............ 225,750 108,900 Technitrol, Inc.*............ 2,258,586 390,700 Thomas & Betts Corp. ........ 8,943,122 -------------- 24,183,191 -------------- ENGINEERING -- 0.1% 40,600 EMCOR Group, Inc.*........... 1,782,340 -------------- EQUIPMENT RENTAL AND LEASING -- 0.4% 140,000 Aaron Rents, Inc. ........... 2,818,200 125,600 Marlin Business Services, Inc.*(a)................... 2,185,440 -------------- 5,003,640 --------------
See notes to financial statements. 123 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 1.3% 21,400 Accredited Home Lenders Holding Company*........... $ 654,840 126,500 American Capital Strategies, Ltd.(a).................... 3,760,845 50,900 CompuCredit Corp.*........... 1,083,152 93,700 Financial Federal Corp.*..... 2,862,535 97,800 Investment Technology Group, Inc.*...................... 1,579,470 28,000 Knight Trading Group, Inc.*(a)................... 409,920 33,600 New Century Financial Corp.(a)................... 1,332,912 134,300 Saxon Capital, Inc.*......... 2,813,585 105,400 World Acceptance Corp.*...... 2,098,514 -------------- 16,595,773 -------------- FOOD AND BEVERAGE -- 1.8% 85,880 Adolph Coors Company -- Class B(a)....................... 4,817,868 58,900 Chiquita Brands International, Inc.*(a).... 1,327,017 213,540 Cott Corp.*.................. 5,981,255 46,600 Interstate Bakeries Corp. ... 663,118 112,750 Peet's Coffee & Tea, Inc.*... 1,962,978 60,000 Ralcorp Holdings, Inc.*...... 1,881,600 59,087 Riviana Foods, Inc. ......... 1,618,393 5,800 Sanderson Farms, Inc. ....... 233,740 192,600 Sensient Technologies Corp. ..................... 3,807,702 -------------- 22,293,671 -------------- FUNERAL SERVICES -- 0.1% 42,100 Alderwoods Group, Inc.*...... 396,582 194,500 Service Corp. International*............. 1,048,355 -------------- 1,444,937 -------------- INSURANCE -- 3.9% 2,200 AmerUs Group Company......... 76,934 116,400 Delphi Financial Group, Inc. -- Class A(a)......... 4,190,400 10,100 FPIC Insurance Group, Inc.*(a)................... 253,409 100,000 Fremont General Corp.(a)..... 1,691,000 109,800 Infinity Property & Casualty Corp. ..................... 3,628,890 131,800 IPC Holdings, Ltd. .......... 5,132,292 58,500 LandAmerica Financial Group, Inc. ...................... 3,057,210 38,600 National Western Life Insurance Company -- Class A*......................... 5,977,210 161,800 Platinum Underwriters Holdings, Inc. ............ 4,854,000
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 66,150 ProAssurance Corp.*(a)....... $ 2,126,723 161,800 Reinsurance Group of America, Inc. ...................... 6,253,570 53,500 RLI Corp. ................... 2,004,110 120,100 Scottish Re Group, Ltd. ..... 2,495,678 26,300 StanCorp Financial Group, Inc. ...................... 1,653,744 49,100 Stewart Information Services Corp. ..................... 1,991,005 26,600 UICI*........................ 353,248 374,800 Universal American Financial Corp.*..................... 3,714,268 -------------- 49,453,691 -------------- INTERNET SERVICES -- 4.4% 111,300 Akamai Technologies, Inc.*(a)................... 1,196,475 57,500 Ask Jeeves, Inc.*(a)......... 1,041,900 945,830 CNET Networks, Inc.*......... 6,450,560 40,200 Corillian Corp.*............. 253,662 251,750 Digitas, Inc.*............... 2,346,310 15,500 eCollege.com, Inc. .......... 286,130 70,800 Equinix, Inc.*............... 1,996,560 32,800 eResearch Technology, Inc.*(a)................... 833,776 245,720 F5 Networks, Inc.*........... 6,167,571 86,500 InfoSpace, Inc.*............. 1,993,825 430,380 Ixia*........................ 5,035,446 33,700 j2 Global Communications, Inc.(a).................... 834,749 16,600 Keynote Systems, Inc.*....... 197,540 215,600 Lionbridge Technologies, Inc.*...................... 2,071,916 156,050 Modem Media, Inc.*........... 1,274,929 39,500 Netegrity, Inc.*............. 407,245 26,600 NETFLIX, Inc.*(a)............ 1,454,754 300,670 NETGEAR, Inc.*(a)............ 4,807,713 66,300 RADWARE, Ltd.*............... 1,806,675 42,700 RSA Security, Inc.*(a)....... 606,340 357,500 Sapient Corp.*............... 2,002,000 279,300 Secure Computing Corp.*...... 5,002,263 9,400 SupportSoft, Inc.*........... 123,610 23,600 TheStreet.com, Inc.*......... 97,232 212,450 Tumbleweed Communications Corp.*..................... 1,780,331 166,324 United Online, Inc.*(a)...... 2,792,580 248,400 ValueClick, Inc.*............ 2,255,472 21,300 Websense, Inc.*(a)........... 622,812 -------------- 55,740,376 --------------
See notes to financial statements. 124 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) LEISURE AND RECREATION -- 1.6% 233,320 Alliance Gaming Corp.*....... $ 5,751,338 81,000 Aztar Corp.*(a).............. 1,822,500 60,800 Choice Hotels International, Inc.*...................... 2,143,200 237,700 Interstate Hotels & Resorts, Inc.*...................... 1,271,695 66,500 La Quinta Corp.*............. 426,265 59,400 Multimedia Games, Inc.*(a)... 2,441,340 12,200 Navigant International, Inc.*(a)................... 168,970 16,800 Polaris Industries, Inc.(a).................... 1,488,144 252,050 Scientific Games Corp. -- Class A*................... 4,287,371 27,500 Shuffle Master, Inc.*(a)..... 952,050 -------------- 20,752,873 -------------- MACHINERY -- 1.2% 109,400 Albany International Corp. -- Class A.................... 3,708,660 37,300 Applied Industrial Technologies, Inc. ........ 889,978 16,800 Cascade Corp. ............... 374,640 22,900 Global Power Equipment Group, Inc.*...................... 152,972 115,400 Intevac, Inc.*............... 1,628,294 160,200 Kadant, Inc.*................ 3,468,330 19,900 Middleby Corp. .............. 805,353 20,800 Presstek, Inc.*.............. 151,216 166,160 Terex Corp.*................. 4,732,237 -------------- 15,911,680 -------------- MANUFACTURING -- 3.2% 40,120 Applied Films Corp.*......... 1,324,762 22,900 AptarGroup, Inc. ............ 893,100 42,100 Briggs & Stratton Corp.(a)... 2,837,540 46,600 C&D Technologies, Inc. ...... 893,322 63,300 Carlisle Companies, Inc. .... 3,852,438 28,700 Ceradyne, Inc.*.............. 977,522 13,500 Cognex Corp. ................ 381,240 268,230 Crane Company................ 8,245,390 110,500 Deswell Industries, Inc. .... 2,873,000 18,600 Griffon Corp.*............... 376,836 24,900 II-VI, Inc.*................. 642,420 68,400 Jacuzzi Brands, Inc.*........ 484,956 4,800 Kaydon Corp. ................ 124,032 20,300 Lincoln Electric Holdings, Inc. ...................... 502,222 202,030 Merix Corp.*(a).............. 4,955,796 23,600 NN, Inc. .................... 297,124 5,500 Powell Industries, Inc.*..... 105,325
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MANUFACTURING (CONTINUED) 7,100 Quixote Corp. ............... $ 173,311 16,400 Rofin-Sinar Technologies, Inc.*...................... 566,784 210,000 Rogers Corp.*................ 9,265,201 8,900 TTM Technologies, Inc.*...... 150,232 22,100 Valmont Industries, Inc. .... 511,615 -------------- 40,434,168 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 5.6% 173,250 American Medical Security Group, Inc.*............... 3,884,265 123,600 AMERIGROUP Corp.*(a)......... 5,271,540 30,300 AMN Healthcare Services, Inc.*(a)................... 519,948 39,700 AmSurg Corp.*................ 1,504,233 47,500 CorVel Corp.*................ 1,786,000 5,200 Hanger Orthopedic Group, Inc.*...................... 80,964 17,380 ICON PLC (ADR)*.............. 757,768 89,600 Inveresk Research Group, Inc.*...................... 2,215,808 55,000 Kindred Healthcare, Inc.*.... 2,858,900 98,050 LabOne, Inc.*................ 3,183,684 238,935 Lincare Holdings, Inc.*(a)... 7,175,218 285,000 Owens & Minor, Inc. ......... 6,244,350 13,900 PDI, Inc.*................... 372,659 160,700 Per-Se Technologies, Inc.*... 2,452,282 127,500 Province Healthcare Company*................... 2,040,000 9,800 Quality Systems, Inc.*....... 436,982 263,960 Triad Hospitals, Inc.*....... 8,781,949 362,800 Universal Health Services, Inc. -- Class B(a)......... 19,489,615 196,200 US Oncology, Inc.*(a)........ 2,111,112 -------------- 71,167,277 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 4.6% 113,700 Advanced Medical Optics, Inc.*...................... 2,234,205 440,490 ALARIS Medical Systems, Inc.*...................... 6,699,853 87,500 Biolase Technology, Inc.*(a)................... 1,452,500 59,200 Candela Corp.*............... 1,076,256 1,900 Cerner Corp.*(a)............. 71,915 12,700 Closure Medical Corp.*....... 430,911 6,600 Cyberonics, Inc.*............ 211,266 68,900 Dade Behring Holdings, Inc.*...................... 2,462,486 30,000 DJ Orthopedics, Inc.*........ 804,000 105,000 EPIX Medical, Inc.*.......... 1,709,400 204,890 Gen-Probe, Inc.*............. 7,472,337
See notes to financial statements. 125 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED) 114,350 I-Flow Corp.*(a)............. $ 1,590,609 55,600 IDEXX Laboratories, Inc.*(a)................... 2,573,168 5,550 INAMED Corp.*................ 266,733 128,950 Intuitive Surgical, Inc.*.... 2,203,756 23,400 Kensey Nash Corp.*(a)........ 544,050 93,450 Laserscope*.................. 1,456,886 12,900 LCA-Vision, Inc.*............ 273,093 24,100 Luminex Corp. ............... 226,058 31,000 Mentor Corp. ................ 745,860 125,300 North America Scientific, Inc.*...................... 1,315,650 211,150 OrthoLogic Corp.*............ 1,294,350 201,400 PolyMedica Corp.(a).......... 5,298,834 569,390 PSS World Medical, Inc.*..... 6,872,536 36,000 Synovis Life Technologies, Inc.*(a)................... 732,240 79,400 Techne Corp.*................ 2,999,732 32,800 Therasense, Inc.*(a)......... 665,840 239,550 TriPath Imaging, Inc.*....... 1,868,490 32,950 Ventana Medical Systems, Inc.*...................... 1,298,230 67,300 VISX, Inc.*.................. 1,557,995 -------------- 58,409,239 -------------- METALS AND MINING -- 1.4% 34,000 AMCOL International Corp. ... 686,800 18,100 Brush Engineered Materials, Inc.*...................... 277,111 24,600 Carpenter Technology Corp. ..................... 727,422 14,900 Century Aluminum Company*.... 283,249 713,050 GrafTech International, Ltd.*(a)................... 9,626,175 101,200 Hecla Mining Company*........ 838,948 8,500 Material Sciences Corp.*..... 85,935 171,400 Meridian Gold, Inc.*......... 2,504,154 23,300 Mueller Industries, Inc.*.... 800,588 28,300 RTI International Metals, Inc.*...................... 477,421 19,700 Southern Peru Copper Corp. ..................... 929,052 16,500 USEC, Inc. .................. 138,600 -------------- 17,375,455 -------------- MOTOR VEHICLES -- 0.0% 3,800 Arctic Cat, Inc. ............ 93,860 -------------- OIL AND GAS: EQUIPMENT -- 0.7% 41,300 CARBO Ceramics, Inc. ........ 2,116,625 13,400 Dril-Quip, Inc.*............. 218,420 12,500 Gulf Island Fabrication, Inc.*...................... 212,875 89,800 Maverick Tube Corp.*......... 1,728,650
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL AND GAS: EQUIPMENT (CONTINUED) 175,450 Oil States International, Inc.*...................... $ 2,445,773 229,350 Superior Energy Services, Inc.*...................... 2,155,890 -------------- 8,878,233 -------------- OIL, COAL AND GAS -- 1.7% 49,100 Cabot Oil & Gas Corp. ....... 1,441,085 75,750 Cal Dive International, Inc.*...................... 1,826,333 5,100 Clayton Williams Energy, Inc.*...................... 148,257 93,400 Comstock Resources, Inc.*.... 1,802,620 538,450 Grey Wolf, Inc.*............. 2,013,803 18,300 Headwaters, Inc.*............ 359,046 47,200 Nuevo Energy Company*........ 1,140,824 6,200 Oceaneering International, Inc.*...................... 173,600 164,600 St. Mary Land & Exploration Company.................... 4,691,100 90,800 Unit Corp.*.................. 2,138,340 149,600 Vintage Petroleum, Inc. ..... 1,799,688 6,900 Westmoreland Coal Company*... 120,750 141,900 Westport Resources Corp.*.... 4,237,134 11,400 World Fuel Services Corp. ... 387,030 -------------- 22,279,610 -------------- PAPER AND FOREST PRODUCTS -- 0.6% 208,800 Boise Cascade Corp. ......... 6,861,168 18,700 Longview Fibre Company....... 230,945 22,500 Schweitzer-Mauduit International, Inc. ....... 670,050 -------------- 7,762,163 -------------- PHARMACEUTICALS -- 2.2% 76,200 Adolor Corp.*................ 1,525,524 110,000 Alexion Pharmaceuticals, Inc.*...................... 1,872,200 133,300 AtheroGenics, Inc.*.......... 1,992,835 81,300 Bradley Pharmaceuticals, Inc.*(a)................... 2,067,459 25,300 Connetics Corp.*............. 459,448 102,500 Discovery Laboratories Inc*....................... 1,075,225 580,800 Durect Corp.*(a)............. 1,498,464 34,800 Kos Pharmaceuticals, Inc.*(a)................... 1,497,792 8,700 Medicis Pharmaceuticals Corp. -- Class A........... 620,310 88,750 Penwest Pharmaceuticals Company*................... 1,533,600 63,000 Perrigo Company.............. 990,360 122,350 Pozen, Inc.*................. 1,247,970 98,210 Salix Pharmaceuticals, Ltd.*(a)................... 2,226,421
See notes to financial statements. 126 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 55,800 Savient Pharmaceuticals, Inc.*...................... $ 257,238 32,700 Serologicals Corp.*.......... 608,220 29,600 Tanox, Inc.*................. 439,560 99,810 Taro Pharmaceutical Industries, Ltd.*.......... 6,437,745 90,000 Vicuron Pharmaceuticals, Inc.*...................... 1,678,500 -------------- 28,028,871 -------------- PRINTING AND PUBLISHING -- 0.1% 14,100 Consolidated Graphics, Inc.*...................... 445,278 17,400 Thomas Nelson, Inc. ......... 336,342 -------------- 781,620 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.6% 71,400 Getty Realty Corp. .......... 1,867,110 157,700 The St. Joe Company.......... 5,880,633 -------------- 7,747,743 -------------- REAL ESTATE INVESTMENT TRUSTS -- 2.1% 5,200 American Land Lease, Inc. ... 103,740 17,100 American Mortgage Acceptance Company.................... 278,730 40,000 Anworth Mortgage Asset Corp. ..................... 557,200 55,700 Arden Realty, Inc. .......... 1,689,938 20,300 Associated Estates Realty Corp. ..................... 148,393 18,100 Bedford Property Investors, Inc.(a).................... 518,203 22,800 Boykin Lodging Company....... 208,620 2,300 Camden Property Trust........ 101,890 19,300 Capital Automotive REIT...... 617,600 46,400 Chelsea Property Group, Inc. ...................... 2,543,184 9,200 Cornerstone Realty Income Trust, Inc. ............... 80,592 3,000 Correctional Properties Trust...................... 86,400 53,100 Equity Inns, Inc. ........... 480,555 3,000 Essex Property Trust, Inc. ...................... 192,660 38,000 FelCor Lodging Trust, Inc.*...................... 421,040 27,800 Gables Residential Trust..... 965,772 9,600 Great Lakes REIT............. 150,720 12,900 Highwoods Properties, Inc. ...................... 327,660 73,300 HRPT Properties Trust........ 739,597 32,200 Innkeepers USA Trust......... 269,514 12,900 Investors Real Estate Trust...................... 127,710 19,700 Keystone Property Trust...... 435,173 26,200 Kilroy Realty Corp. ......... 858,050 28,400 Koger Equity................. 594,412
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 18,000 LTC Properties, Inc. ........ $ 265,320 128,400 Maguire Properties, Inc. .... 3,120,120 173,800 MeriStar Hospitality Corp.*..................... 1,131,438 18,400 Mission West Properties, Inc. ...................... 238,280 24,500 National Health Investors, Inc. ...................... 609,560 9,600 Post Properties, Inc. ....... 268,032 55,700 PS Business Parks, Inc. ..... 2,298,182 85,200 RAIT Investment Trust........ 2,181,120 25,600 Shurgard Storage Centers, Inc. -- Class A............ 963,840 19,500 Sizeler Property Investors, Inc. ...................... 208,845 34,500 SL Green Realty Corp. ....... 1,416,225 23,000 Sovran Self Storage.......... 854,450 5,300 Urstadt Biddle Properties -- Class A.................... 74,995 20,100 Winston Hotels, Inc. ........ 205,020 -------------- 26,332,780 -------------- REGISTERED INVESTMENT COMPANIES -- 0.6% 125,000 iShares Russell 2000 Growth Index Fund(a).............. 7,406,250 -------------- RESEARCH AND DEVELOPMENT -- 1.2% 57,200 Albany Molecular Research, Inc.*...................... 859,144 5,800 BioReliance Corp.*........... 277,356 107,100 Covance, Inc.*............... 2,870,280 5,500 Cytyc Corp.* ................ 75,680 31,500 Digene Corp.*................ 1,263,150 55,900 Encysive Pharmaceuticals, Inc.*...................... 500,305 44,099 Enzo Biochem, Inc.*(a)....... 789,813 8,400 Exact Sciences Corp.*........ 85,008 17,900 Genencor International, Inc.*...................... 281,925 72,100 Incyte, Inc.*................ 493,164 61,700 Inspire Pharmaceuticals, Inc.*...................... 873,672 79,400 Martek Biosciences Corp.*(a).................. 5,158,618 18,800 Maxygen, Inc.*............... 199,844 66,100 Telik, Inc*(a)............... 1,520,961 -------------- 15,248,920 -------------- RETAIL -- 4.1% 537,050 Big Lots, Inc.*.............. 7,631,480 326,370 BJ'S Wholesale Club, Inc.*(a)................... 7,493,455 17,100 Brookstone, Inc.*............ 364,401 190,700 Casey's General Stores, Inc. ...................... 3,367,762 36,300 Cost Plus, Inc.*............. 1,488,300
See notes to financial statements. 127 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 133,000 Duane Reade, Inc.*(a)........ $ 2,250,360 112,400 EZCORP, Inc.*(a)............. 955,400 6,700 Finlay Enterprises, Inc.*.... 94,671 95,300 Guitar Center, Inc.*......... 3,104,874 63,270 Hot Topic, Inc.*............. 1,863,934 150,200 Kirkland's, Inc.*............ 2,652,532 116,250 Movie Gallery, Inc.*(a)...... 2,171,550 10,300 Pantry, Inc.*................ 233,810 5,800 REX Stores Corp.*............ 82,128 452,300 Saks, Inc.*.................. 6,802,592 104,900 Shopko Stores, Inc.*(a)...... 1,599,725 16,200 Sonic Automotive, Inc. ...... 371,304 50,500 The Pep Boys -- Manny, Moe & Jack....................... 1,154,935 151,700 Tractor Supply Company*...... 5,899,613 19,400 Trans World Entertainment Corp.*(a).................. 138,128 100,200 Ultimate Electronics, Inc.*...................... 764,526 31,600 Zale Corp.*.................. 1,681,120 -------------- 52,166,600 -------------- RETAIL: RESTAURANTS -- 3.9% 439,900 Applebee's International, Inc. ...................... 17,274,873 81,150 Buffalo Wild Wings, Inc.*.... 2,105,843 81,800 CEC Entertainment, Inc.*..... 3,876,502 73,007 Chicago Pizza & Brewery, Inc.*...................... 1,089,264 31,900 Lone Star Steakhouse & Saloon, Inc. .............. 739,442 100,000 Outback Steakhouse, Inc. .... 4,421,000 61,400 Papa John's International, Inc.*(a)................... 2,049,532 97,650 RARE Hospitality International, Inc.*....... 2,386,566 432,200 Ruby Tuesday, Inc. .......... 12,313,378 53,200 Ryan's Family Steak Houses, Inc.*...................... 805,448 66,600 Sonic Corp.*................. 2,039,292 4,700 The Steak n Shake Company*... 83,895 -------------- 49,185,035 -------------- RETAIL: SUPERMARKETS -- 0.2% 189,800 Wild Oats Markets, Inc.*..... 2,454,114 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RUBBER PRODUCTS -- 0.1% 32,300 Bandag, Inc. ................ $ 1,330,760 14,600 Cooper Tire & Rubber Company.................... 312,148 -------------- 1,642,908 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.8% 2,200 Dionex Corp.*................ 101,244 39,200 Metrologic Instruments, Inc.*...................... 1,058,400 7,600 Molecular Devices Corp.*..... 144,324 445,170 PerkinElmer, Inc. ........... 7,599,052 11,700 Woodward Governor Company.... 664,911 -------------- 9,567,931 -------------- SEMICONDUCTORS -- 5.5% 218,712 Actel Corp.*................. 5,270,959 150,900 Asyst Technologies, Inc.*.... 2,618,115 9,600 CEVA, Inc.*.................. 99,840 276,600 ChipPAC, Inc. -- Class A*.... 2,099,394 23,800 Cohu, Inc. .................. 455,770 37,800 DSP Group, Inc.*............. 941,598 151,000 Dupont Photomasks, Inc.*(a)................... 3,645,140 330,800 ESS Technology, Inc.*........ 5,626,908 161,750 Exar Corp.*.................. 2,762,690 133,600 FSI International, Inc.*..... 985,968 300,000 Genus, Inc.*(a).............. 1,800,000 15,400 Integrated Device Technology, Inc.*...................... 264,418 2,400 International Rectifier Corp.*..................... 118,584 424,100 LogicVision, Inc.*........... 1,908,450 64,500 Microsemi Corp.*............. 1,585,410 174,940 MKS Instruments, Inc.*....... 5,073,260 106,650 Mykrolis Corp.*.............. 1,714,932 321,230 O2Micro International, Ltd.*...................... 7,195,551 15,600 OmniVision Technologies, Inc.*(a)................... 861,900 238,900 Pericom Semiconductor Corp.*..................... 2,546,674 67,400 Photronics, Inc.*............ 1,342,608 278,000 PLX Technology, Inc.*........ 2,460,300 85,950 Power Integrations, Inc.*.... 2,875,887 199,000 Rudolph Technologies, Inc.*...................... 4,883,460 24,200 Silicon Laboratories, Inc.*(a)................... 1,045,924 14,800 Standard Microsystems Corp.*..................... 374,440 89,850 Ultratech, Inc.*............. 2,638,895 4,200 Varian Semiconductor Equipment Associates, Inc.*...................... 183,498 75,600 Veeco Instruments, Inc.*(a)................... 2,131,920
See notes to financial statements. 128 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 7,900 Virage Logic Corp.*.......... $ 80,343 10,700 Vitesse Semiconductor Corp.*..................... 62,809 193,050 Xicor, Inc.*................. 2,189,187 145,200 Zoran Corp.*(a).............. 2,525,028 -------------- 70,369,860 -------------- SPORTING GOODS AND EQUIPMENT -- 0.8% 131,900 Callaway Golf Company(a)..... 2,222,515 182,400 Hibbett Sporting Goods, Inc.*...................... 5,435,520 153,700 K2, Inc.*.................... 2,337,777 19,900 Nautilus Group, Inc.(a)...... 279,595 -------------- 10,275,407 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.9% 78,200 Alvarion Ltd.*............... 903,210 22,900 Anaren, Inc.*................ 323,348 8,800 Anixter International, Inc.*...................... 227,744 13,900 Applied Signal Technology, Inc. ...................... 319,839 44,600 Aspect Communications Corp.*..................... 702,896 24,800 Audiovox Corp. -- Class A*... 318,432 590,500 Cable Design Technologies Corp.*..................... 5,308,595 42,700 Carrier Access Corp.*(a)..... 534,604 50,600 Centillium Communications, Inc.*...................... 284,878 355,400 Cincinnati Bell, Inc.*....... 1,794,770 13,200 Commonwealth Telephone Enterprises, Inc.*(a)...... 498,300 42,800 Comtech Telecommunications Corp.*(a).................. 1,235,636 6,200 CT Communications, Inc. ..... 83,700 18,800 Digi International, Inc.*.... 180,480 62,400 Ditech Communications Corp.*..................... 1,191,840 35,600 General Cable Corp.*......... 290,140 33,400 General Communication, Inc. -- Class A*........... 290,580 22,800 Inet Technologies, Inc.*..... 273,600 49,000 Intervoice, Inc.*............ 581,630 8,200 Performance Technologies, Inc.*...................... 116,850 47,600 Plantronics, Inc.*........... 1,554,140 47,000 Sonus Networks, Inc.*........ 355,320 18,900 SpectraLink Corp. ........... 362,313 10,200 SureWest Communications...... 412,284 35,800 TALK America Holdings, Inc.*(a)................... 412,416
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 193,530 Tekelec*..................... $ 3,009,392 17,800 Ulticom, Inc.*............... 171,770 43,400 UNOVA, Inc.*................. 996,030 73,300 Western Wireless Corp. -- Class A.................... 1,345,788 -------------- 24,080,525 -------------- TRANSPORTATION: FREIGHT -- 1.0% 217,000 EGL, Inc.*(a)................ 3,810,520 81,550 Forward Air Corp.*........... 2,242,625 188,900 Genesee & Wyoming, Inc. -- Class A*................... 5,950,350 31,000 Landstar System, Inc.*....... 1,179,240 -------------- 13,182,735 -------------- TRANSPORTATION: SERVICES -- 1.4% 154,200 Dynamex, Inc.*............... 1,850,400 8,300 Greenbrier Companies, Inc.*...................... 139,025 78,070 Petroleum Helicopters, Inc.*...................... 2,107,890 190,990 Ryder System, Inc. .......... 6,522,308 6,600 SCS Transportation, Inc.*.... 116,028 109,500 USF Corp. ................... 3,743,805 150,500 Vitran Corp., Inc. -- Class A.......................... 2,129,575 62,375 Werner Enterprises, Inc. .... 1,215,689 -------------- 17,824,720 -------------- UTILITIES: ELECTRIC -- 0.7% 39,900 Avista Corp. ................ 722,988 78,300 Black Hills Corp. ........... 2,335,689 110,200 Cleco Corp. ................. 1,981,396 18,400 El Paso Electric Company*.... 245,640 148,800 PNM Resources, Inc. ......... 4,181,280 1,700 UIL Holdings Corp. .......... 76,670 -------------- 9,543,663 -------------- UTILITIES: GAS -- 0.7% 11,900 Cascade Natural Gas Corp. ... 250,971 46,200 New Jersey Resources Corp. ..................... 1,779,162 35,500 Peoples Energy Corp.(a)...... 1,492,420 77,700 Southern Union Company*...... 1,429,680 127,000 WGL Holdings, Inc. .......... 3,529,329 -------------- 8,481,562 --------------
See notes to financial statements. 129 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) WASTE MANAGEMENT AND RECYCLING -- 0.1% 30,000 Waste Connections, Inc.*..... $ 1,133,100 -------------- TOTAL COMMON STOCKS (Cost $934,642,983).............. 1,214,763,650 -------------- REGULATED INVESTMENT COMPANIES -- 1.0% 5,778,041 American Aadvantage Select(b).................. 5,778,041 1,788,759 Merrill Lynch Premier Institutional Fund(b)...... 1,788,759 4,952,606 Merrimac Cash Fund -- Premium Class(b)................... 4,952,606 -------------- TOTAL REGULATED INVESTMENT COMPANIES (Cost $12,519,406)......... 12,519,406 -------------- PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.3% $ 1,801,710 General Electric Capital Corp., 1.09%, 01/09/04(b)......... 1,801,710 1,650,869 General Electric Capital Corp., 1.08%, 01/16/04(b)......... 1,650,869 -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $3,452,579).......... 3,452,579 -------------- SHORT TERM CORPORATE NOTES -- 3.4% 1,650,869 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)..... 1,650,869 1,650,869 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)..... 1,650,869 4,127,172 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)..... 4,127,172 3,301,738 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)..... 3,301,738 4,127,172 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)..... 4,127,172 6,603,475 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)..... 6,603,475 10,730,646 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)..... 10,730,646 2,476,303 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)..... 2,476,303 8,254,344 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)..... 8,254,344 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $42,922,588)......... 42,922,588 --------------
PRINCIPAL VALUE --------- -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.4% FANNIE MAE -- 0.3% $ 3,287,641 1.06%, 01/02/04(b)........... $ 3,287,641 -------------- FREDDIE MAC -- 0.1% 1,650,869 1.06%, 01/27/04(b)........... 1,650,869 -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $4,938,510)................ 4,938,510 -------------- SHORT TERM US TREASURY SECURITY -- 0.1% 1,000,000 US Treasury Bill, 0.85%, 03/18/04(c) (Cost $998,179).................. 998,179 -------------- TIME DEPOSITS -- 7.0% 15,127,822 Bank of Montreal, 1.06%, 01/15/04(b)......... 15,127,822 6,603,475 Bank of Montreal, 1.06%, 02/17/04(b)......... 6,603,475 8,254,344 Bank of Novia Scotia, 1.08%, 03/10/04(b)......... 8,254,344 4,952,606 Citigroup, Inc., 1.08%, 01/05/04(b)......... 4,952,606 2,476,303 Citigroup, Inc., 1.09%, 02/06/04(b)......... 2,476,303 4,952,606 Credit Agricole Indosuez, 0.98%, 01/02/04(b)......... 4,952,606 4,952,606 Credit Agricole Indosuez, 1.08%, 01/28/04(b)......... 4,952,606 6,603,475 Den Danske Bank, 1.08%, 01/20/04(b)......... 6,603,475 8,254,344 Royal Bank of Canada, 1.05%, 02/27/04(b)......... 8,254,344 4,127,172 Royal Bank of Scotland, 1.08%, 01/09/04(b)......... 4,127,172 1,650,869 Royal Bank of Scotland, 1.08%, 01/15/04(b)......... 1,650,869 12,381,516 Royal Bank of Scotland, 1.08%, 01/20/04(b)......... 12,381,516 4,127,172 Svenska Handlesbanken, 1.08%, 02/04/04(b)......... 4,127,172
See notes to financial statements. 130 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- TIME DEPOSITS (CONTINUED) $ 1,650,869 Toronto Dominion Bank, 1.10%, 01/08/04(b)......... $ 1,650,869 2,476,302 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)......... 2,476,302 -------------- TOTAL TIME DEPOSITS (Cost $88,591,481)............... 88,591,481 -------------- TOTAL SECURITIES (Cost $1,088,065,726)............ 1,368,186,393 -------------- REPURCHASE AGREEMENTS -- 6.2% 18,159,557 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $18,160,606 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $3,795,183, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $3,725,439, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $5,919,489, Morgan Stanley, 6.75%, due 04/15/11, with a value of $1,481,125, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $3,601,512)(b).... 18,159,557 2,147,343 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $2,147,397 (Collateralized by Small Business Administration, 4.38%, due 12/25/26, with a value of $2,254,710)....... 2,147,343 6,974,136 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $6,974,310 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.21%, due 04/01/32, with a value of $7,322,843)................ 6,974,136 9,798,960 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $9,799,205 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 6.11%, due 06/01/32, with a value of $10,288,908)............... 9,798,960
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS (CONTINUED) $10,882,945 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $10,883,217 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.11%, due 01/01/33, with a value of $11,427,092)............... $ 10,882,945 30,537,224 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $30,537,987 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.58%, due 01/01/32, with a value of $7,527,723 and Fannie Mae Adjustable Rate Mortgage, 3.10%, due 11/01/33, with a value of $24,536,363)...... 30,537,224 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $78,500,165)......... 78,500,165 -------------- Total Investments -- 113.9% (Cost $1,166,565,891)...... 1,446,686,558 Liabilities less other assets -- (13.9)%.......... (176,085,433) -------------- NET ASSETS -- 100.0%......... $1,270,601,125 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $1,171,713,098. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $304,215,040 Gross unrealized depreciation.......... (29,241,580) ------------ Net unrealized appreciation............ $274,973,460 ============
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (c) Security is segregated as initial margin for futures contracts. (ADR) American Depository Receipt. See notes to financial statements. 131 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS -- 96.3% BANKS -- 10.6% 53,000 Brookline Bancorp, Inc. ....... $ 813,020 43,800 Downey Financial Corp. ........ 2,159,340 14,300 Franklin Bank Corp.*(a)........ 271,700 56,200 R & G Financial Corp. -- Class B...................... 2,236,760 15,100 Seacoast Financial Services Corp. ....................... 413,891 32,600 South Financial Group, Inc. ... 908,236 55,700 Westcorp....................... 2,035,835 ------------ 8,838,782 ------------ BROADCAST SERVICES/MEDIA -- 2.6% 37,000 Lin TV Corp. -- Class A*....... 954,970 137,800 Mediacom Communications Corp.*....................... 1,194,726 ------------ 2,149,696 ------------ BUSINESS SERVICES AND SUPPLIES -- 4.6% 47,300 Advisory Board Company*........ 1,651,243 68,400 Gevity HR, Inc. ............... 1,521,216 64,800 Rewards Network, Inc.*......... 690,768 ------------ 3,863,227 ------------ COMPUTER SOFTWARE AND SERVICES -- 2.6% 153,000 Agile Software Corp.*.......... 1,514,700 24,700 Manhattan Associates, Inc.*(a)..................... 682,708 ------------ 2,197,408 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 2.1% 79,900 Integral Systems, Inc.*........ 1,719,448 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.3% 49,300 Integrated Electrical Services, Inc. ........................ 456,025 32,600 WCI Communities, Inc.*(a)...... 671,886 ------------ 1,127,911 ------------ ELECTRONICS -- 1.6% 30,800 Gentex Corp.................... 1,360,128 ------------ FINANCIAL SERVICES -- 2.5% 95,900 CapitalSource, Inc.*(a)........ 2,079,112 ------------ INSURANCE -- 2.5% 57,700 Delphi Financial Group, Inc. -- Class A(a)........... 2,077,200 ------------ INTERNET SERVICES -- 2.0% 116,400 Corillian Corp.*............... 734,484 41,200 eSpeed, Inc. -- Class A*....... 964,492 ------------ 1,698,976 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) LEISURE AND RECREATION -- 1.6% 36,500 Extended Stay America, Inc. ... $ 528,520 16,400 Four Seasons Hotels, Inc.(a)... 838,860 ------------ 1,367,380 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.1% 103,300 Align Technology, Inc.*........ 1,706,516 134,800 Conceptus, Inc.*(a)............ 1,431,576 28,500 North America Scientific, Inc.*........................ 299,250 ------------ 3,437,342 ------------ PHARMACEUTICALS -- 7.2% 53,500 Abgenix, Inc.*................. 666,610 75,400 Connetics Corp.*............... 1,369,264 5,400 CV Therapeutics, Inc.*......... 79,164 30,700 Medicis Pharmaceuticals Corp. -- Class A...................... 2,188,910 123,800 Nektar Therapeutics*(a)........ 1,684,918 ------------ 5,988,866 ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.8% 35,500 RAIT Investment Trust.......... 908,800 28,500 Redwood Trust, Inc.(a)......... 1,449,225 ------------ 2,358,025 ------------ RESEARCH AND DEVELOPMENT -- 11.0% 93,300 Axonyx, Inc.*(a)............... 454,371 114,300 Cubist Pharmaceuticals, Inc.*........................ 1,389,888 50,100 Inspire Pharmaceuticals, Inc.*........................ 709,416 10,408 IntraBiotics Pharmaceuticals, Inc.*(a)..................... 167,569 87,500 Neurochem, Inc.*............... 2,064,212 6,500 Neurocrine Biosciences, Inc.*........................ 354,510 25,100 NPS Pharmaceuticals, Inc.*(a)..................... 771,574 131,700 Pain Therapeutics, Inc.*....... 915,315 60,700 Protein Design Labs, Inc.*(a)..................... 1,086,530 198,100 XOMA, Ltd.*.................... 1,307,460 ------------ 9,220,845 ------------
See notes to financial statements. 132 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL -- 13.1% 52,700 Coach, Inc.*................... $ 1,989,425 47,400 Cost Plus, Inc.*............... 1,943,400 52,200 First Cash Financial Services, Inc.*........................ 1,338,460 20,500 Guitar Center, Inc.*........... 667,890 101,800 PC Mall, Inc.*................. 1,644,070 29,600 Tractor Supply Company*........ 1,151,144 58,800 Urban Outfitters, Inc.*(a)..... 2,178,541 ------------ 10,912,930 ------------ RETAIL: RESTAURANTS -- 4.8% 14,000 Krispy Kreme Doughnuts, Inc.*(a)..................... 512,400 46,700..... RARE Hospitality International, Inc.*........................ 1,141,348 31,700 Sonic Corp.*................... 970,654 31,500 The Cheesecake Factory, Inc.*........................ 1,386,945 ------------ 4,011,347 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 3.6% 37,100 Cymer, Inc.*(a)................ 1,713,649 31,400 Varian, Inc.*.................. 1,310,322 ------------ 3,023,971 ------------ SEMICONDUCTORS -- 9.9% 63,800 Asyst Technologies, Inc.*...... 1,106,930 60,800 Brooks Automation, Inc.*....... 1,469,536 112,200 O2Micro International, Ltd.*... 2,513,280 186,500 Skyworks Solutions, Inc.*...... 1,622,550 42,900 Tessera Technologies, Inc.*.... 806,949 17,000 Varian Semiconductor Equipment Associates, Inc.*............ 742,730 ------------ 8,261,975 ------------ SPORTING GOODS AND EQUIPMENT -- 2.7% 75,050 Hibbett Sporting Goods, Inc.*........................ 2,236,490 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.2% 49,547 CIENA Corp.*................... 328,992 42,200 Tekelec*....................... 656,210 ------------ 985,202 ------------ TRANSPORTATION: FREIGHT -- 1.9% 33,000 Heartland Express, Inc......... 798,270 31,400 Knight Transportation, Inc.*... 805,410 ------------ 1,603,680 ------------ TOTAL COMMON STOCKS (Cost $67,309,477)................. 80,519,941 ------------
SHARES VALUE ------ ------------ REGULATED INVESTMENT COMPANIES -- 1.2% 472,635 American Aadvantage Select(b).................... $ 472,635 146,318 Merrill Lynch Premier Institutional Fund(b)........ 146,318 405,116 Merrimac Cash Fund -- Premium Class(b)..................... 405,116 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $1,024,069)............ 1,024,069 ------------ PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.3% $ 147,377 General Electric Capital Corp., 1.09%, 01/09/04(b)........... 147,377 135,039 General Electric Capital Corp., 1.08%, 01/16/04(b)........... 135,039 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $282,416).............. 282,416 ------------ SHORT TERM CORPORATE NOTES -- 4.2% 135,039 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)....... 135,039 135,039 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)....... 135,039 337,596 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)....... 337,596 270,077 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)....... 270,077 337,597 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)....... 337,597 540,154 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)....... 540,154 877,751 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)....... 877,751 202,558 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)....... 202,558 675,193 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)....... 675,193 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $3,511,004)...... 3,511,004 ------------
See notes to financial statements. 133 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.5% FANNIE MAE -- 0.3% $ 268,924 1.06%, 01/02/04(b)............. $ 268,924 ------------ FREDDIE MAC -- 0.2% 135,039 1.06%, 01/27/04(b)............. 135,039 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $403,963).................... 403,963 ------------ TIME DEPOSITS -- 8.7% 1,237,433 Bank of Montreal, 1.06%, 01/15/04(b)........... 1,237,433 540,155 Bank of Montreal, 1.06%, 02/17/04(b)........... 540,155 675,193 Bank of Novia Scotia, 1.08%, 03/10/04(b)........... 675,193 405,116 Citigroup, Inc., 1.08%, 01/05/04(b)........... 405,116 202,558 Citigroup, Inc., 1.09%, 02/06/04(b)........... 202,558 405,116 Credit Agricole Indosuez, 0.98%, 01/02/04(b)........... 405,116 405,116 Credit Agricole Indosuez, 1.08%, 01/28/04(b)........... 405,116 540,154 Den Danske Bank, 1.08%, 01/20/04(b)........... 540,154 675,193 Royal Bank of Canada, 1.05%, 02/27/04(b)........... 675,193 337,597 Royal Bank of Scotland, 1.08%, 01/09/04(b)........... 337,597 135,039 Royal Bank of Scotland, 1.08%, 01/15/04(b)........... 135,039 1,012,790 Royal Bank of Scotland, 1.08%, 01/20/04(b)........... 1,012,790 337,597 Svenska Handlesbanken, 1.08%, 02/04/04(b)........... 337,597 135,038 Toronto Dominion Bank, 1.10%, 01/08/04(b)........... 135,038 202,558 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)........... 202,558 ------------ TOTAL TIME DEPOSITS (Cost $7,246,653).................. 7,246,653 ------------ TOTAL SECURITIES (Cost $79,777,582)................. 92,988,046 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 17.3% $ 1,485,425 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $1,485,511 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $310,440, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $304,736, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $484,206, Morgan Stanley, 6.75%, due 04/15/11, with a value of $121,154, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $294,598)(b)........ $ 1,485,425 12,938,568 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $12,938,891 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 3.00%, due 07/20/31, with a value of $13,585,496)........ 12,938,568 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $14,423,993)........... 14,423,993 ------------ Total Investments -- 128.5% (Cost $94,201,575)........... 107,412,039 Liabilities less other assets -- (28.5)%............ (23,822,396) ------------ NET ASSETS -- 100.0%........... $ 83,589,643 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $94,467,286. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $13,688,386 Gross unrealized depreciation........... (743,633) ----------- Net unrealized appreciation............. $12,944,753 ===========
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. See notes to financial statements. 134 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS -- 99.4% AUTOMOTIVE EQUIPMENT -- 3.0% 138,000 Advanced Auto Parts, Inc.*..... $ 11,233,200 ------------ BANKS -- 2.6% 250,001 New York Community Bancorp, Inc.(a)............. 9,512,538 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.4% 319,000 Foundry Networks, Inc.*........ 8,727,840 178,000 Sybase, Inc.*.................. 3,663,240 ------------ 12,391,080 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 2.6% 535,000 AU Optronics Corp. (ADR)(a).... 6,377,200 195,000 Lexar Media, Inc.*............. 3,398,850 ------------ 9,776,050 ------------ ELECTRONICS -- 1.2% 58,000 Harman International Industries, Inc.............. 4,290,840 ------------ FINANCIAL SERVICES -- 4.0% 151,305 Capital One Financial Corp.(a)..................... 9,273,483 95,000 Merrill Lynch & Company, Inc.......................... 5,571,750 ------------ 14,845,233 ------------ FOOD AND BEVERAGE -- 4.7% 296,000 Constellation Brands, Inc. -- Class A*..................... 9,747,280 240,000 Dean Foods Company............. 7,888,800 ------------ 17,636,080 ------------ INSURANCE -- 2.6% 51,000 Arch Capital Group, Ltd.*...... 2,032,860 219,900 W.R. Berkley Corp.............. 7,685,505 ------------ 9,718,365 ------------ INTERNET SERVICES -- 10.7% 332,000 Ask Jeeves, Inc.*(a)........... 6,015,840 300,000 Cisco Systems, Inc.*........... 7,287,001 217,000 eResearch Technology, Inc.*(a)..................... 5,516,140 276,655 j2 Global Communications, Inc.(a)...................... 6,852,744 78,000 NETFLIX, Inc.*(a).............. 4,265,820 195,000 RADWARE, Ltd.*................. 5,313,750 273,000 United Online, Inc.*........... 4,583,670 ------------ 39,834,965 ------------ LEISURE AND RECREATION -- 1.0% 124,000 Station Casinos, Inc........... 3,798,120 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MACHINERY -- 5.9% 144,000 Caterpillar, Inc............... $ 11,954,880 282,000 Rockwell Automation, Inc....... 10,039,200 ------------ 21,994,080 ------------ MANUFACTURING -- 1.0% 184,000 Rayovac Corp.*(a).............. 3,854,800 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 2.6% 592,000 Select Medical Corp............ 9,637,760 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 10.5% 87,000 Advanced Neuromodulation Systems, Inc.*............... 4,000,260 250,000 Cooper Companies, Inc.(a)...... 11,782,500 140,000 Guidant Corp................... 8,428,000 111,000 INAMED Corp.*.................. 5,334,660 137,000 Varian Medical Systems, Inc.... 9,466,700 ------------ 39,012,120 ------------ METALS AND MINING -- 1.7% 467,000 GrafTech International, Ltd.*........................ 6,304,500 ------------ MOTOR VEHICLES -- 1.6% 200,000 Wabash National Corp.*......... 5,860,000 ------------ OIL, COAL AND GAS -- 1.0% 132,000 XTO Energy, Inc................ 3,735,600 ------------ PHARMACEUTICALS -- 5.6% 213,000 Pfizer, Inc.................... 7,525,290 140,000 Pharmaceutical Resources, Inc.*........................ 9,121,000 88,000 Watson Pharmaceuticals, Inc.*........................ 4,048,000 ------------ 20,694,290 ------------ RESEARCH AND DEVELOPMENT -- 6.9% 259,000 Flamel Technologies S.A. (ADR)*(a).................... 6,938,610 153,000 Invitrogen Corp.*(a)........... 10,710,000 119,500 Martek Biosciences Corp.*...... 7,763,915 ------------ 25,412,525 ------------ RETAIL -- 5.2% 324,000 Foot Locker, Inc............... 7,597,800 319,000 Urban Outfitters, Inc.*(a)..... 11,818,950 ------------ 19,416,750 ------------ SEMICONDUCTORS -- 7.2% 601,000 Amkor Technologies, Inc.*(a)... 10,944,210 282,000 Intel Corp..................... 9,080,400
See notes to financial statements. 135 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 232,000 Ultratech, Inc.*............... $ 6,813,840 ------------ 26,838,450 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 8.1% 295,000 Ditech Communications Corp.*... 5,634,500 284,000 Nextel Communications, Inc. -- Class A*..................... 7,969,040 281,000 Polycom, Inc.*................. 5,485,120 300,000 UTStarcom, Inc.*(a)............ 11,121,000 ------------ 30,209,660 ------------ TOYS -- 2.4% 304,000 Marvel Enterprises, Inc.*...... 8,849,440 ------------ TRANSPORTATION: SERVICES -- 3.9% 308,000 J.B. Hunt Transport Services, Inc.*........................ 8,319,080 172,000 Yellow Roadway Corp.*.......... 6,221,240 ------------ 14,540,320 ------------ TOTAL COMMON STOCKS (Cost $308,632,009).......... 369,396,766 ------------ REGULATED INVESTMENT COMPANIES -- 1.8% 2,996,258 American Aadvantage Select(b).................... 2,996,258 927,578 Merrill Lynch Premier Institutional Fund(b)........ 927,578 2,568,221 Merrimac Cash Fund -- Premium Class(b)..................... 2,568,221 ------------ TOTAL REGULATED INVESTMENT COMPANIES (Cost $6,492,057)............ 6,492,057 ------------ PRINCIPAL --------- TIME DEPOSITS -- 12.4% $ 7,844,677 Bank of Montreal, 1.06%, 01/15/04(b)........... 7,844,677 3,424,295 Bank of Montreal, 1.06%, 02/17/04(b)........... 3,424,295 4,280,369 Bank of Novia Scotia, 1.08%, 03/10/04(b)........... 4,280,369 2,568,221 Citigroup, Inc., 1.08%, 01/05/04(b)........... 2,568,221 1,284,111 Citigroup, Inc., 1.09%, 02/06/04(b)........... 1,284,111 2,568,221 Credit Agricole Indosuez, 0.98%, 01/02/04(b)........... 2,568,221 2,568,221 Credit Agricole Indosuez, 1.08%, 01/28/04(b)........... 2,568,221
PRINCIPAL VALUE --------- ------------ TIME DEPOSITS (CONTINUED) $ 3,424,295 Den Danske Bank, 1.08%, 01/20/04(b)........... $ 3,424,295 4,280,369 Royal Bank of Canada, 1.05%, 02/27/04(b)........... 4,280,369 2,140,184 Royal Bank of Scotland, 1.08%, 01/09/04(b)........... 2,140,184 856,074 Royal Bank of Scotland, 1.08%, 01/15/04(b)........... 856,074 6,420,553 Royal Bank of Scotland, 1.08%, 01/20/04(b)........... 6,420,553 2,140,184 Svenska Handlesbanken, 1.08%, 02/04/04(b)........... 2,140,184 856,074 Toronto Dominion Bank, 1.10%, 01/08/04(b)........... 856,074 1,284,111 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b)........... 1,284,111 ------------ TOTAL TIME DEPOSITS (Cost $45,939,959)........... 45,939,959 ------------ SHORT TERM CORPORATE NOTES -- 6.0% 856,074 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b).................. 856,074 856,074 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b).................. 856,074 2,140,184 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)....... 2,140,184 1,712,148 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b).................. 1,712,148 2,140,184 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b).................. 2,140,184 3,424,295 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b).................. 3,424,295 5,564,480 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)....... 5,564,480 1,284,111 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)....... 1,284,111 4,280,369 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)....... 4,280,369 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $22,257,919)........... 22,257,919 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.7% FANNIE MAE -- 0.5% 1,704,838 1.06%, 01/02/04(b)............. 1,704,838 ------------
See notes to financial statements. 136 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC -- 0.2% $ 856,074 1.06%, 01/27/04(b)............. $ 856,074 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $2,560,912)............ 2,560,912 ------------ SHORT TERM COMMERCIAL PAPER -- 0.5% 934,294 General Electric Capital Corp., 1.09%, 01/09/04(b)........... 934,294 856,074 General Electric Capital Corp., 1.08%, 01/16/04(b)........... 856,074 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $1,790,368)............ 1,790,368 ------------ TOTAL SECURITIES (Cost $387,673,224).......... 448,437,981 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 4.8% $ 9,416,812 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $9,417,356 (Collateralized by Archer- Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $1,968,029, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $1,931,862, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $3,069,607, Morgan Stanley, 6.75%, due 04/15/11, with a value of $768,501, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $1,867,599)(b)...... $ 9,416,812 8,365,425 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $8,365,634 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.28%, due 07/01/32, with a value of $8,783,697)......... 8,365,425 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $17,782,237)........... 17,782,237 ------------ Total Investments -- 125.6% (Cost $405,455,461).......... 466,220,218 Liabilities less other assets -- (25.6)%............ (94,887,208) ------------ NET ASSETS -- 100.0%........... $371,333,010 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $405,455,461. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $64,598,693 Gross unrealized depreciation........... (3,833,936) ----------- Net unrealized appreciation............. $60,764,757 ===========
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (ADR) American Depository Receipt. See notes to financial statements. 137 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 87.3% ADVERTISING -- 1.1% $ 1,370,000 Advanstar Communications, Inc. -- 144A, 10.75%, 08/15/10............. $ 1,489,876 165,000 R.H. Donnelley Finance Corp. I -- 144A, 8.88%, 12/15/10.............. 186,450 1,045,000 R.H. Donnelley Finance Corp. I -- 144A, 10.88%, 12/15/12............. 1,244,856 240,000 R.H. Donnelley Financial Corp., 10.88%, 12/15/12............. 285,900 ------------ 3,207,082 ------------ AEROSPACE AND DEFENSE -- 0.3% 415,000 Armor Holdings, Inc. -- 144A, 8.25%, 08/15/13.............. 446,125 230,000 BE Aerospace -- 144A, 8.50%, 10/01/10.............. 247,825 140,000 K&F Industries, Series B, 9.63%, 12/15/10.............. 157,675 ------------ 851,625 ------------ AGRICULTURAL EQUIPMENT -- 0.4% 250,000 AGCO Corp., 9.50%, 05/01/08.............. 275,000 755,000 Case New Holland, Inc. -- 144A, 9.25%, 08/01/11.............. 849,375 ------------ 1,124,375 ------------ AGRICULTURE -- 0.1% 345,000 Seminis Vegetable Seeds -- 144A, 10.25%, 10/01/13............. 372,600 ------------ AIRLINES -- 3.8% 120,000 American Airlines, Inc., 8.61%, 04/01/11.............. 109,428 1,080,000 American Airlines, Series 2001-2, 7.80%, 10/01/06.............. 977,504 295,000 American Airlines, Series 2001-2, 7.86%, 10/01/11.............. 299,729 1,180,000 AMR Corp., 9.00%, 08/01/12.............. 1,008,900 1,850,131 Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11.............. 1,594,609 15,949 Continental Airlines, Inc., Series 1998-3, 7.08%, 11/01/04.............. 15,655 460,000 Continental Airlines, Inc., Series 1999-2, 7.43%, 09/15/04.............. 451,695
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) AIRLINES (CONTINUED) $ 1,900,000 Delta Air Lines, 7.70%, 12/15/05.............. $ 1,802,625 500,000 Delta Air Lines, 7.90%, 12/15/09.............. 406,875 890,000 Delta Air Lines, Series 2000-1, 7.78%, 11/18/05.............. 819,842 161,333 Delta Air Lines, Series 2002-1, 7.78%, 01/02/12.............. 146,439 1,280,000 Dunlop Standard Aerospace Holdings, 11.88%, 05/15/09............. 1,376,000 1,950,000 Northwest Airlines, Inc., 9.88%, 03/15/07.............. 1,784,250 ------------ 10,793,551 ------------ APPAREL: MANUFACTURING -- 2.3% 1,245,000 GFSI, Inc., Series B, 9.63%, 03/01/07.............. 1,153,181 1,055,000 J. Crew Operating Corp., 10.38%, 10/15/07............. 1,082,694 1,325,000 Oxford Industries, Inc. -- 144A, 8.88%, 06/01/11.............. 1,455,844 850,000 Perry Ellis International, Inc. -- 144A, 8.88%, 09/15/13.............. 898,875 620,000 Phillips Van-Heusen Corp., 8.13%, 05/01/13.............. 661,850 295,000 Tropical Sportswear International, Series A, 11.00%, 06/15/08............. 240,425 875,000 William Carter, Series B, 10.88%, 08/15/11............. 1,015,000 ------------ 6,507,869 ------------ APPAREL: RETAIL -- 0.5% 1,295,000 Mothers Work, Inc., 11.25%, 08/01/10............. 1,445,544 ------------ AUTOMOBILE: RENTAL -- 0.8% 1,810,000 Williams Scotsman, Inc., 9.88%, 06/01/07.............. 1,841,675 285,000 Williams Scotsman, Inc., 10.00%, 08/15/08............. 313,856 ------------ 2,155,531 ------------ AUTOMOTIVE EQUIPMENT -- 3.0% 1,580,000 Collins & Aikman, Series B, 9.75%, 02/15/10.............. 1,698,500 1,620,000 Dana Corp., 10.13%, 03/15/10............. 1,895,400
See notes to financial statements. 138 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) AUTOMOTIVE EQUIPMENT (CONTINUED) $ 700,000 Dura Operating Corp., Series D, 9.00%, 05/01/09.............. $ 703,500 235,000 Keystone Automotive Operations -- 144A, 9.75%, 11/01/13.............. 253,800 655,000 Metaldyne Corp. -- 144A, 10.00%, 11/01/13............. 664,825 365,000 Rexnord Corp., 10.13%, 12/15/12............. 401,500 810,000 Tenneco Automotive, Inc. -- 144A, 10.25%, 07/15/13............. 925,425 1,300,000 Tenneco Automotive, Inc., Series B, 11.63%, 10/15/09............. 1,410,500 545,000 TRW Automotive, Inc., 11.00%, 02/15/13............. 644,463 ------------ 8,597,913 ------------ BROADCAST SERVICES/MEDIA -- 7.4% 715,000 Adelphia Communications, 10.25%, 11/01/06(2).......... 668,525 305,000 Adelphia Communications -- Series B, 9.25%, 10/01/32(2)........... 283,650 120,000 Charter Communications Holdings LLC, 8.25%, 04/01/07.............. 113,400 1,385,000 Charter Communications Holdings LLC, 8.63%, 04/01/09.............. 1,215,338 1,080,000 Charter Communications Holdings LLC, 10.00%, 04/01/09............. 966,600 425,000 Charter Communications Holdings LLC, 10.75%, 10/01/09............. 392,063 1,650,000 Charter Communications Holdings LLC, 10.25%, 01/15/10............. 1,485,000 1,720,000 Charter Communications Holdings LLC, zero coupon, 01/15/11(1).................. 1,290,000 325,000 Charter Communications Holdings LLC, zero coupon, 05/15/11(1).................. 219,375 1,495,000 Charter Communications Holdings LLC, 10.00%, 05/15/11............. 1,308,125 495,000 CSC Holdings, Inc., 9.88%, 02/15/13.............. 519,750 2,175,000 CSC Holdings, Inc., 10.50%, 05/15/16............. 2,501,249
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 350,000 DirecTV Holdings, 8.38%, 03/15/13.............. $ 407,750 46,000 Echostar DBS Corp., 9.13%, 01/15/09.............. 51,693 325,000 Entravision Communication Corp., 8.13%, 03/15/09.............. 349,375 70,000 Granite Broadcasting Corp., 9.38%, 12/01/05.............. 70,175 1,640,000 Insight Communications, zero coupon, 02/15/11(1).................. 1,410,400 570,000 LBI Media, Inc. -- 144A, zero coupon, 10/15/13(1).................. 371,925 100,000 Nexstar Financial Holdings LLC, Inc., 12.00%, 04/01/08............. 113,250 1,205,000 Nexstar Financial Holdings LLC, Inc., zero coupon, 04/01/13(1).................. 887,181 360,000 Nextmedia Operating, Inc., 10.75%, 07/01/11............. 410,400 580,000 ONO Finance PLC, 13.00%, 05/01/09............. 606,825 900,000 ONO Finance PLC, 14.00%, 02/15/11............. 950,625 190,000 Paxson Communications, zero coupon, 01/15/09(1).................. 167,675 1,000,000 Pegasus Communications Corp., Series B, 9.63%, 10/15/05.............. 925,000 250,000 Pegasus Communications Corp., Series B, 9.75%, 12/01/06.............. 226,875 765,000 Pegasus Satellite, 12.38%, 08/01/06............. 723,881 1,940,000 Pegasus Satellite -- 144A, 11.25%, 01/15/10............. 1,736,299 455,000 Young Broadcasting, Inc. -- 144A, 8.75%, 01/15/14.............. 462,963 ------------ 20,835,367 ------------ CHEMICALS -- 6.3% 260,000 Acetex Corp. -- 144A, 10.88%, 08/01/09............. 289,900 1,325,000 Avecia Group PLC, 11.00%, 07/01/09............. 1,199,125 365,000 Crown Euro Holdings SA, 9.50%, 03/01/11.............. 415,188
See notes to financial statements. 139 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CHEMICALS (CONTINUED) $ 1,990,000 Crown Euro Holdings SA, 10.88%, 03/01/13............. $ 2,350,687 655,000 Equistar Chemical/Funding, 10.63%, 05/01/11............. 727,050 720,000 Hercules, Inc., 11.13%, 11/15/07............. 865,800 590,000 Huntsman Advanced Materials -- 144A, 11.00%, 07/15/10............. 654,900 1,135,000 Huntsman Company, LLC -- 144A, 11.63%, 10/15/10............. 1,163,375 760,000 IMC Global, Inc. -- 144A, 10.88%, 08/01/13............. 836,000 1,675,000 IMC Global, Inc., Series B, 11.25%, 06/01/11............. 1,850,875 230,000 Lyondell Chemical Company, 9.50%, 12/15/08.............. 241,500 900,000 Lyondell Chemical Company, 11.13%, 07/15/12............. 1,003,500 550,000 Lyondell Chemical Company, Series A, 9.63%, 05/01/07.............. 585,750 530,000 Methanex Corp., 8.75%, 08/15/12.............. 593,600 733,000 Nalco Company -- 144A, 7.75%, 11/15/11.............. 787,975 883,000 Nalco Company -- 144A, 8.88%, 11/15/13.............. 940,395 225,000 Noveon, Inc., Series B, 11.00%, 02/28/11............. 262,125 2,100,000 OM Group Inc., 9.25%, 12/15/11.............. 2,194,499 765,000 Rockwood Specialties Corp. -- 144A, 10.63%, 05/15/11............. 856,800 210,000 Texas Petrochemical Corp., 11.13%, 07/01/06(2).......... 68,250 ------------ 17,887,294 ------------ COMMERCIAL SERVICES -- 0.0% 90,000 Coinmach Corp., 9.00%, 02/01/10.............. 98,100 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) COMPUTER SOFTWARE AND SERVICES -- 0.7% $ 610,000 Danka Business Systems, 11.00%, 06/15/10............. $ 608,475 443,000 Digitalnet, Inc., 9.00%, 07/15/10.............. 481,763 825,000 Stratus Technologies, Inc. -- 144A, 10.38%, 12/01/08............. 879,656 ------------ 1,969,894 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.8% 1,800,000 Interface, Inc., 10.38%, 02/01/10............. 1,912,500 865,000 Interface, Inc., Series B, 9.50%, 11/15/05.............. 843,375 2,100,000 Xerox Capital Trust I, 8.00%, 02/01/27.............. 2,073,750 325,000 Xerox Corp., 9.75%, 01/15/09.............. 381,875 10,000 Xerox Corp., 7.13%, 06/15/10.............. 10,750 ------------ 5,222,250 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.1% 1,405,000 Associated Materials, Inc., 9.75%, 04/15/12.............. 1,545,500 1,085,000 Dayton Superior Corp. -- 144A, 10.75%, 09/15/08............. 1,117,550 15,000 Koppers, Inc. -- 144A, 9.88%, 10/15/13.............. 16,613 520,000 Owens Corning, 7.70%, 05/01/08(2)........... 228,800 560,000 Owens Corning, 7.50%, 08/01/18(2)........... 246,400 ------------ 3,154,863 ------------ CONSUMER GOODS AND SERVICES -- 0.7% 520,000 Amscan Holdings, Inc., 9.88%, 12/15/07.............. 540,150 385,000 Fedders North America, 9.38%, 08/15/07.............. 388,850 440,000 Home Interiors & Gifts, 10.13%, 06/01/08............. 447,150 295,000 Jostens Holding Corp. -- 144A, zero coupon, 12/01/13(1).................. 186,588 300,000 Mobile Mini, Inc., 9.50%, 07/01/13.............. 331,500 175,000 Norcraft Companies -- 144A, 9.00%, 11/01/11.............. 189,875 ------------ 2,084,113 ------------
See notes to financial statements. 140 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CONTAINERS AND PACKAGING -- 1.5% $ 390,000 Consolidated Container Company, 10.13%, 07/15/09............. $ 237,900 190,000 Graham Packaging, Series B, 8.75%, 01/15/08.............. 195,225 320,000 Graham Packaging, Series B, 10.75%, 01/15/09............. 332,000 240,000 Hexcel Corp., 9.88%, 10/01/08.............. 271,800 155,000 Hexcel Corp., 9.75%, 01/15/09.............. 163,138 300,000 Kappa Beheer BV, 10.63%, 07/15/09............. 322,500 1,150,000 Owens-Brockway Glass Containers, 8.25%, 05/15/13.............. 1,240,562 640,000 Smurfit-Stone Container Corp., 8.25%, 10/01/12.............. 697,599 415,000 Tekni-Plex, Inc. -- 144A, 8.75%, 11/15/13.............. 434,713 60,000 Tekni-Plex, Inc., Series B, 12.75%, 06/15/10............. 65,700 355,000 US Can Corp. -- 144A, 10.88%, 07/15/10............. 373,194 ------------ 4,334,331 ------------ DISTRIBUTION -- 0.2% 485,000 Jafra Cosmetics International, 10.75%, 05/15/11............. 534,713 ------------ ELECTRICAL EQUIPMENT -- 0.2% 400,000 Rayovac Corp. 8.50%, 10/01/13.............. 426,000 ------------ ELECTRONICS -- 1.0% 650,000 Muzak Holdings LLC, zero coupon, 03/15/10(1).................. 581,750 775,000 Muzak LLC, 10.00%, 02/15/09............. 829,250 1,380,000 Muzak LLC, 9.88%, 03/15/09.............. 1,340,325 ------------ 2,751,325 ------------ ENVIRONMENTAL MANAGEMENT SERVICES -- 0.9% 455,000 Allied Waste North America Industries, Inc., Series B, 9.25%, 09/01/12.............. 518,700 1,855,000 Synagro Technologies, Inc., 9.50%, 04/01/09.............. 2,021,950 ------------ 2,540,650 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FOOD AND BEVERAGE -- 3.0% $ 1,130,000 American Seafood Group LLC, 10.13%, 04/15/10............. $ 1,348,937 590,000 Burns, Philp Capital Pty., Ltd. -- 144A, 9.50%, 11/15/10.............. 643,100 815,000 Burns, Philp Capital Pty., Ltd. -- 144A, 10.75%, 02/15/11............. 892,425 395,000 Doane Pet Care Company, 10.75%, 03/01/10............. 410,800 765,000 Land O' Lakes, Inc. -- 144A, 9.00%, 12/15/10.............. 774,563 795,000 Luigino's, Inc., 10.00%, 02/01/06............. 818,850 605,000 Merisant Company -- 144A, 9.50%, 07/15/13.............. 647,350 710,000 Michael Foods -- 144A, 8.00%, 11/15/13.............. 743,725 1,589,000 New World Pasta Company, 9.25%, 02/15/09.............. 421,085 300,000 Pinnacle Foods Holding -- 144A, 8.25%, 12/01/13.............. 312,000 1,000,000 Premier International Foods PLC, 12.00%, 09/01/09............. 1,100,000 395,000 United Agriculture Products -- 144A, 8.25%, 12/15/11.............. 407,838 ------------ 8,520,673 ------------ LEISURE AND RECREATION -- 7.3% 350,000 Ameristar Casinos, Inc., 10.75%, 02/15/09............. 404,250 420,000 AMF Bowling Worldwide, 13.00%, 09/01/08............. 473,025 40,000 Bally Total Fitness Holding -- 144A, 10.50%, 07/15/11............. 40,400 245,000 Equinox Holdings, Ltd. -- 144A, 9.00%, 12/15/09.............. 254,188 295,000 Gaylord Entertainment Company -- 144A, 8.00%, 11/15/13.............. 312,700 910,000 Hockey Company, 11.25%, 04/15/09............. 1,043,088 640,000 Hollywood Casino Shreveport, 13.00%, 08/01/06(2).......... 454,400 360,000 Imax Corp. -- 144A, 9.63%, 12/01/10.............. 380,250 1,695,000 Inn of the Mountain Gods -- 144A, 12.00%, 11/15/10............. 1,809,413
See notes to financial statements. 141 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION (CONTINUED) $ 855,000 Intrawest Corp. -- 144A, 7.50%, 10/15/13.............. $ 893,475 790,000 Kerzner International, 8.88%, 08/15/11.............. 867,025 2,210,000 Majestic Star Casino LLC -144A, 9.50%, 10/15/10.............. 2,276,299 350,000 MGM MIRAGE, Inc., 9.75%, 06/01/07.............. 400,750 1,065,000 Penn National Gaming, Inc., Series B, 11.13%, 03/01/08............. 1,200,788 85,000 Royal Caribbean Cruises, 8.00%, 05/15/10.............. 93,075 2,000,000 Royal Caribbean Cruises, 8.75%, 02/02/11.............. 2,269,999 390,000 Royal Caribbean Cruises, 7.25%, 03/15/18.............. 382,200 1,595,000 Six Flags, Inc. -- 144A, 9.63%, 06/01/14.............. 1,674,750 515,000 Six Flags, Inc., 9.75%, 06/15/07.............. 540,106 470,000 Six Flags, Inc., 9.50%, 02/01/09.............. 494,675 150,000 Six Flags, Inc., 8.88%, 02/01/10.............. 154,688 120,000 Six Flags, Inc., 9.75%, 04/15/13.............. 126,900 1,785,000 Venetian Casino Resort/Las Vegas Sands, 11.00%, 06/15/10............. 2,079,524 1,778,000 Waterford Gaming LLC -- 144A, 8.63%, 09/15/12.............. 1,893,570 ------------ 20,519,538 ------------ MACHINERY -- 1.5% 725,000 Flowserve Corp., 12.25%, 08/15/10............. 844,625 1,330,000 Terex Corp., 9.25%, 07/15/11.............. 1,469,650 1,225,000 Terex Corp., Series B, 10.38%, 04/01/11............. 1,378,125 470,000 The Manitowoc Company, Inc., 10.50%, 08/01/12............. 537,563 ------------ 4,229,963 ------------ MANUFACTURING -- 1.0% 465,000 Avondale Mills, Inc., 10.25%, 07/01/13............. 295,275 960,000 Dresser, Inc., 9.38%, 04/15/11.............. 1,048,800
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MANUFACTURING (CONTINUED) $ 160,000 Foamex LP, 10.75%, 04/01/09............. $ 153,200 245,000 Jacuzzi Brands, Inc. -- 144A, 9.63%, 07/01/10.............. 270,725 445,000 Louisiana Pacific Corp., 10.88%, 11/15/08............. 531,775 380,000 Reddy Ice Group, Inc. -- 144A, 8.88%, 08/01/11.............. 404,700 720,000 Venture Holdings Trust, Series B, 9.50%, 07/01/05(2)........... 21,600 ------------ 2,726,075 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 2.6% 870,000 Ardent Health Services -- 144A, 10.00%, 08/15/13............. 952,650 270,000 Concentra Operating Corp., 9.50%, 08/15/10.............. 292,950 565,000 Magellan Health Services -- 144A, 9.38%, 11/15/07(2)........... 596,075 455,000 National Nephrology Association -- 144A, 9.00%, 11/01/11.............. 478,888 670,000 Pacificare Health System, 10.75%, 06/01/09............. 793,950 450,000 Rotech Healthcare, Inc., 9.50%, 04/01/12.............. 472,500 2,550,000 Tenet Healthcare Corp., 7.38%, 02/01/13.............. 2,575,500 1,100,000 Vanguard Health Systems, 9.75%, 08/01/11.............. 1,199,000 ------------ 7,361,513 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 1.0% 120,000 Alliance Imaging, 10.38%, 04/15/11............. 127,800 1,375,000 Medquest, Inc., Series B, 11.88%, 08/15/12............. 1,509,063 1,010,000 Norcross Safety Products -- 144A, 9.88%, 08/15/11.............. 1,113,525 ------------ 2,750,388 ------------ OIL AND GAS: PIPELINES -- 5.2% 365,000 ANR Pipeline Company, 8.88%, 03/15/10.............. 412,450 2,065,000 Dynegy Holdings, Inc., 6.88%, 04/01/11.............. 1,912,706 440,000 Dynegy Holdings, Inc., 8.75%, 02/15/12.............. 446,050 195,000 Dynegy Holdings, Inc., 7.63%, 10/15/26.............. 169,406
See notes to financial statements. 142 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES (CONTINUED) $ 2,325,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13............. $ 2,685,375 2,910,000 El Paso Corp., 7.00%, 05/15/11.............. 2,699,025 215,000 Gulfterra Energy Partner -- 144A, 10.63%, 12/01/12............. 267,675 642,000 Gulfterra Energy Partner, Series B, 8.50%, 06/01/10.............. 731,880 380,000 Northwest Pipeline Corp., 8.13%, 03/01/10.............. 423,700 275,000 Southern Natural Gas Company, 8.88%, 03/15/10.............. 310,750 1,100,000 Transmontaigne, Inc. -- 144A, 9.13%, 06/01/10.............. 1,185,250 2,090,000 Williams Companies, Inc., 8.63%, 06/01/10.............. 2,356,475 975,000 Williams Companies, Inc., Series A, 6.75%, 01/15/06.............. 1,014,000 ------------ 14,614,742 ------------ OIL, COAL AND GAS -- 2.6% 290,000 Comstock Resources, Inc., 11.25%, 05/01/07............. 313,200 785,000 Continental Resources, 10.25%, 08/01/08............. 792,850 40,000 Grey Wolf, Inc., 8.88%, 07/01/07.............. 41,400 35,000 Grey Wolf, Inc., Series C, 8.88%, 07/01/07.............. 36,225 355,000 Hanover Compress Company, 8.63%, 12/15/10.............. 370,975 200,000 Parker Drilling Company -- 144A, 9.63%, 10/01/13.............. 209,000 375,000 Petrobras International Finance, 9.13%, 07/02/13.............. 412,500 1,780,625 Port Arthur Finance Corp., 12.50%, 01/15/09............. 2,123,395 295,000 Premcor Refining Group -- 144A, 7.75%, 02/01/12.............. 305,325 440,000 Ram Energy, Inc., 11.50%, 02/15/08............. 332,200 1,295,000 Sesi LLC, 8.88%, 05/15/11.............. 1,418,025 1,265,000 Trico Marine Services, Inc., 8.88%, 05/15/12.............. 929,775 ------------ 7,284,870 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PAPER AND FOREST PRODUCTS -- 1.9% $ 1,005,000 Georgia-Pacific Corp., 9.50%, 12/01/11.............. $ 1,170,825 1,385,000 Georgia-Pacific Corp., 9.38%, 02/01/13.............. 1,599,675 465,000 Georgia-Pacific Corp., 9.50%, 05/15/22.............. 485,925 525,000 Longview Fibre Company, 10.00%, 01/15/09............. 578,813 60,000 Millar Western Forest -- 144A, 7.75%, 11/15/13.............. 62,550 550,000 Tembec Industries, Inc., 8.63%, 06/30/09.............. 569,250 1,000,000 Tembec Industries, Inc., 8.50%, 02/01/11.............. 1,040,000 ------------ 5,507,038 ------------ PHARMACEUTICALS -- 0.2% 425,000 Valeant Pharmaceuticals -- 144A, 7.00%, 12/15/11.............. 439,875 ------------ PRINTING AND PUBLISHING -- 1.8% 485,000 American Media Operation, Series B, 10.25%, 05/01/09............. 519,556 1,195,000 Canwest Media, Inc., 10.63%, 05/15/11............. 1,371,263 405,000 CBD Media/CBD Finance -- 144A, 8.63%, 06/01/11.............. 447,525 245,000 Dex Media East LLC, 9.88%, 11/15/09.............. 281,750 1,295,000 Dex Media West -- 144A, 9.88%, 08/15/13.............. 1,511,912 835,000 Liberty Group Operating, 9.38%, 02/01/08.............. 847,525 ------------ 4,979,531 ------------ REAL ESTATE DEVELOPMENT AND MANAGEMENT SERVICES -- 0.4% 500,000 CB Richard Ellis Service, 11.25%, 06/15/11............. 567,500 485,000 CBRE Escrow, Inc. -- 144A, 9.75%, 05/15/10.............. 540,775 ------------ 1,108,275 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.9% 760,000 Felcor Lodging LP, 9.50%, 09/15/08.............. 824,600 165,000 Host Marriott LP, Series G, 9.25%, 10/01/07.............. 185,213
See notes to financial statements. 143 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) $ 300,000 Host Marriott LP, Series I, 9.50%, 01/15/07.............. $ 335,250 1,085,000 Mandalay Resort Group, Series B, 10.25%, 08/01/07............. 1,258,600 ------------ 2,603,663 ------------ RESEARCH AND DEVELOPMENT -- 0.7% 1,710,000 Quintiles Transnational Corp. -- 144A, 10.00%, 10/01/13............. 1,855,350 ------------ RETAIL -- 0.8% 295,000 General Nutrition Center -- 144A, 8.50%, 12/01/10.............. 303,850 1,100,000 Hollywood Entertainment, 9.63%, 03/15/11.............. 1,188,000 600,000 Payless Shoesource, Inc., 8.25%, 08/01/13.............. 580,500 190,000 Shopko Stores, 9.25%, 03/15/22.............. 181,450 ------------ 2,253,800 ------------ SEMICONDUCTORS -- 1.7% 644,000 AMI Semiconductor, Inc., 10.75%, 02/01/13............. 771,190 65,000 Amkor Technology, Inc., 9.25%, 02/15/08.............. 74,100 305,000 Amkor Technology, Inc., 10.50%, 05/01/09............. 327,113 845,000 Chippac International, Ltd., Series B, 12.75%, 08/01/09............. 937,950 1,825,000 On Semiconductor Corp., 13.00%, 05/15/08............. 2,130,687 645,000 SCG Holding & Semiconductor Company, 12.00%, 08/01/09............. 696,600 ------------ 4,937,640 ------------ SPECIAL PURPOSE ENTITY -- 4.9% 395,000 Bombardier Recreational -- 144A, 8.38%, 12/15/13.............. 414,750 1,088,100 Caithness Coso Funding Corp., Series B, 9.05%, 12/15/09.............. 1,186,029 1,375,000 Chukchansi Economic Development Authority -- 144A, 14.50%, 06/15/09............. 1,677,499 1,345,000 Couche -- Tard US -- 144A, 7.50%, 12/15/13.............. 1,415,613 587,585 Hollinger Participation -- 144A, 12.13%, 11/15/10............. 700,695
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) SPECIAL PURPOSE ENTITY (CONTINUED) $ 1,035,000 Interline Brands, Inc., 11.50%, 05/15/11............. $ 1,146,263 395,000 Kraton Polymers LLC -- 144A, 8.13%, 01/15/14.............. 412,775 1,350,000 MDP Acquisitions PLC, 9.63%, 10/01/12.............. 1,518,750 1,395,000 PCA LLC/PCA Finance Corp., 11.88%, 08/01/09............. 1,534,499 855,000 Poster Financial Group -- 144A, 8.75%, 12/01/11.............. 908,438 475,000 Sensus Metering Systems -- 144A, 8.63%, 12/15/13.............. 489,844 1,060,000 Tabletop Holdings, Inc. -- 144A, zero coupon, 05/15/14(1).................. 588,300 1,575,000 Universal City Development -- 144A, 11.75%, 04/01/10............. 1,850,624 ------------ 13,844,079 ------------ SYNDICATED BANK LOANS -- 1.3% 800,000 Century Cable Holdings, Term loan, 6.00%, 06/30/09.............. 741,000 1,091,902 Huntsman Company, LLC, Term A, 6.00%, 03/31/07.............. 1,028,571 826,689 Huntsman International, LLC, Term B, 8.94%, 03/31/07.............. 778,741 981,772 IPCS, Term loan, 6.75%, 06/30/08(2)........... 723,566 500,000 Mirant Corp., 8.63%, 07/17/49(2)........... 292,188 ------------ 3,564,066 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 8.4% 1,300,000 ACC Escrow Corp. -- 144A, 10.00%, 08/01/11............. 1,456,000 340,000 American Tower Corp., 9.38%, 02/01/09.............. 363,800 1,575,000 Centennial Cellular/ Communications, 10.13%, 06/15/13............. 1,736,437 295,000 Centennial Communications, 10.75%, 12/15/08............. 312,700 440,000 Cincinnati Bell, Inc. -- 144A, 8.38%, 01/15/14.............. 475,200 190,000 Crown Castle International Corp., 10.75%, 08/01/11............. 214,700
See notes to financial statements. 144 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 1,500,000 Embratel -- 144A, 11.00%, 12/15/08............. $ 1,545,000 355,000 General Cable Corp. -- 144A, 9.50%, 11/15/10.............. 381,625 705,000 Insight Midwest, L.P. / Insight Capital, Inc., 10.50%, 11/01/10............. 770,213 1,000,000 IWO Holdings, Inc., 14.00%, 01/15/11............. 155,000 1,780,000 LCI International, Inc., 7.25%, 06/15/07.............. 1,717,700 1,420,000 Level 3 Financing, Inc. -- 144A, 10.75%, 10/15/11............. 1,508,750 975,000 Marconi Corp. PLC, 8.00%, 04/30/08.............. 992,505 450,000 Nextel Communications, 7.38%, 08/01/15.............. 486,000 875,000 Nextel Partners, Inc., 12.50%, 11/15/09............. 1,019,375 995,000 Nextel Partners, Inc., 11.00%, 03/15/10............. 1,104,450 65,000 Nextel Partners, Inc., 11.00%, 03/15/10............. 72,150 89,717 NII Holdings, Ltd., zero coupon, 11/01/09(1).................. 89,958 2,300,000 Nortel Networks Corp., 4.25%, 09/01/08.............. 2,187,874 485,000 Qwest Capital Funding Corp., 7.00%, 08/03/09.............. 483,788 985,000 Qwest Capital Funding Corp., 7.90%, 08/15/10.............. 1,004,700 110,000 Qwest Corp., 7.20%, 11/10/26.............. 108,900 1,865,000 Qwest Services Corp. -- 144A, 13.50%, 12/15/10............. 2,275,299 695,000 SBA Telecommunications/SBA Communications Corp. -- 144A, zero coupon, 12/15/11(1).................. 493,450 350,000 Telewest Communication PLC, 11.00%, 10/01/07(2).......... 229,250 1,165,000 Telewest Communication PLC, zero coupon, 04/15/09(1).................. 611,625 202,000 Ubiquitel Operating Company, zero coupon, 05/15/10(1).................. 152,510
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 415,000 US Unwired, Inc., Series B, zero coupon, 11/01/09(1).................. $ 302,950 1,400,000 Western Wireless Corp., 9.25%, 07/15/13.............. 1,484,000 ------------ 23,735,909 ------------ TRANSPORTATION: SERVICES -- 0.6% 380,000 Hornbeck Offshore Services, 10.63%, 08/01/08............. 421,800 715,000 Omi Corp. -- 144A, 7.63%, 12/01/13.............. 724,831 115,000 Petroleum Helicopters, 9.38%, 05/01/09.............. 122,763 530,000 Quality Distribution Capital -- 144A, 9.00%, 11/15/10.............. 557,162 ------------ 1,826,556 ------------ UTILITIES -- 0.8% 635,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12............. 712,788 1,325,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 1,616,500 ------------ 2,329,288 ------------ UTILITIES: ELECTRIC -- 4.6% 750,000 AES Corp., 8.50%, 11/01/07.............. 765,000 553,000 AES Corp., 9.38%, 09/15/10.............. 615,904 500,000 AES Corp., 8.88%, 11/01/27.............. 452,500 62,824 AES Corp. -- 144A, 10.00%, 07/15/05............. 64,238 700,000 AES Corp. -- 144A, 8.75%, 05/15/13.............. 785,750 310,000 AES Corp. -- 144A, 9.00%, 05/15/15.............. 351,850 517,185 AES Eastern Energy, Series 99-A, 9.00%, 01/02/17.............. 572,726 1,460,000 Calpine Canada Energy Financial, 8.50%, 05/01/08.............. 1,171,650 1,040,000 Calpine Corp., 8.25%, 08/15/05.............. 1,011,400 1,065,000 Calpine Corp., 7.63%, 04/15/06.............. 947,850 305,000 Calpine Corp., 10.50%, 05/15/06............. 294,325
See notes to financial statements. 145 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 395,000 Calpine Corp., 8.50%, 02/15/11.............. $ 314,519 290,000 Calpine Corp. -- 144A, 8.50%, 07/15/10.............. 284,200 1,365,000 Calpine Corp. -- 144A, 8.75%, 07/15/13.............. 1,337,700 540,000 Illinova Corp., 7.50%, 06/15/09.............. 596,700 2,505,000 NRG Energy, Inc. -- 144A, 8.00%, 12/15/13.............. 2,645,905 415,000 Reliant Resources, Inc. -- 144A, 9.25%, 07/15/10.............. 441,975 195,000 Reliant Resources, Inc. -- 144A, 9.50%, 07/15/13.............. 209,625 ------------ 12,863,817 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $231,229,181).......... 246,751,639 ------------ SHARES ------ COMMON STOCKS -- 1.2% COMPUTER SOFTWARE AND SERVICES -- 0.2% 23,950 Digitalnet Holdings, Inc.*..... 467,025 ------------ LEISURE AND RECREATION -- 0.2% 19,280 Six Flags, Inc. ............... 441,512 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.8% 1,752 FLAG Telecom Group, Ltd.*...... 165,792 9,710 NII Holdings, Inc. -- Class B*........................... 724,657 20,340 NTL, Inc.*..................... 1,418,715 ------------ 2,309,164 ------------ TOTAL COMMON STOCKS (Cost $3,437,834).................. 3,217,701 ------------ PREFERRED STOCKS -- 1.0% BROADCAST SERVICES/MEDIA 26,730 CSC Holdings, Inc., Series M, 11.13% (Cost $2,737,790)..... 2,813,333 ------------ CONVERTIBLE PREFERRED STOCKS -- 0.8% OIL AND GAS: PIPELINES -- 0.3% 11,465 Williams Companies, Inc. -- 144A, 5.50%........................ 746,658 ------------
SHARES VALUE ------ ------------ CONVERTIBLE PREFERRED STOCKS (CONTINUED) OIL, COAL AND GAS -- 0.1% 2,400 Chesapeake Energy Corp., 5.00%........................ $ 266,100 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.4% 24,775 Crown Castle International Corp., 6.25%........................ 1,114,875 160 Lucent Technology Capital Trust I, 7.75%........................ 170,000 ------------ 1,284,875 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $2,044,844)............ 2,297,633 ------------ WARRANTS -- 0.0% 1,125 American Tower Corp., Expires 08/01/08*.................... 141,187 1,000 IPCS, Inc. -- 144A, Expires 07/15/10*.................... 0 1,000 IWO Holdings, Inc., Expires 01/15/11*.................... 0 84 New World Coffee, Expires 6/20/06*..................... 1 1,000 ONO Finance, Expires 03/16/11*.................... 0 250 Ubiquitel, Inc. -- 144A, Expires 04/15/10*............ 0 ------------ TOTAL WARRANTS (Cost $75,402)............... 141,188 ------------ PRINCIPAL --------- CONVERTIBLE BONDS -- 1.6% BROADCAST SERVICES/MEDIA -- 0.3% $ 410,000 Charter Communications Holdings LLC, 5.75%, 10/15/05.............. 389,500 320,000 Sinclair Broadcasting Group, 4.88%, 07/15/18.............. 353,200 ------------ 742,700 ------------ LEISURE AND RECREATION -- 0.2% 405,000 Wynn Resorts -- 144A, 6.00%, 07/15/15.............. 601,425 ------------ SEMICONDUCTORS -- 0.1% 190,000 Amkor Technologies, Inc., 5.75%, 06/01/06.............. 192,850 ------------
See notes to financial statements. 146 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- ------------ CONVERTIBLE BONDS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.0% $ 1,805,000 American Tower Corp., 6.25%, 10/15/09.............. $ 1,823,050 1,030,000 Nextel Communications, 6.00%, 06/01/11.............. 1,282,350 ------------ 3,105,400 ------------ TOTAL CONVERTIBLE BONDS (Cost $4,064,474)............ 4,642,375 ------------ TOTAL SECURITIES (Cost $243,589,525).......... 259,863,869 ------------ REPURCHASE AGREEMENT -- 6.9% 19,578,332 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $19,578,821 (Collateralized by Fannie Mae, 4.13%, due 02/01/33, with a value of $17,194,234 and Small Business Administration, 3.13%, due 09/25/26, with a value of $3,363,015) (Cost $19,578,332)................. 19,578,332 ------------ Total Investments -- 98.8% (Cost $263,167,857).......... 279,442,201 Assets less other liabilities -- 1.2%.......... 3,258,573 ------------ NET ASSETS -- 100.0%........... $282,700,774 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $263,720,135. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $21,048,884 Gross unrealized depreciation........... (5,326,818) ----------- Net unrealized appreciation............. $15,722,066 ===========
--------------- * Non-income producing security. (1) Represents a zero coupon bond which will convert to an interest bearing security at a later date. (2) Bond is in default. See notes to financial statements. 147 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2003
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS -- 92.8% AEROSPACE AND DEFENSE -- 0.2% 716,144 Bae Systems PLC....... $ 2,154,865 BRI -------------- AIRLINES -- 0.1% 573,000 Japan Airlines System Corp. .............. 1,513,524 JAP -------------- AUTOMOBILES -- 4.1% 43,700 Bayerische Motoren Werke AG............ 2,012,836 GER 164,000 DaimlerChrysler AG(a)............... 7,605,559 GER 40,000 Honda Motor Company, Ltd. ............... 1,777,114 JAP 612,000 Mitsubishi Motors Corp.*(a)........... 1,250,961 JAP 784,000 Nissan Motor Company, Ltd.(a)............. 8,956,655 JAP 127,600 Renault SA............ 8,795,843 FRA 491,000 Suzuki Motor Corp. ... 7,268,303 JAP 146,400 Toyota Motor Corp. ... 4,946,500 JAP -------------- 42,613,771 -------------- BANKS -- 11.8% 669,990 ABN AMRO Holding N.V................. 15,662,162 NET 306,688 Australia & New Zealand Banking Group, Ltd. ........ 4,084,576 AUS 843,200 Banco Bilbao Vizcaya Argentaria SA(a).... 11,635,477 SPA 504,600 Barclays PLC.......... 4,496,341 BRI 266,600 BNP Paribas, SA....... 16,771,589 FRA 57,238 Credit Suisse Group... 2,093,453 SWI 77,600 Deutsche Bank AG...... 6,219,541 GER 294,000 DNB NOR ASA........... 1,958,412 NOR 353,250 ForeningsSparbanken AB.................. 6,953,934 SWE 169,500 Hang Seng Bank, Ltd. ............... 2,227,103 HNG 513,100 HBOS PLC.............. 6,639,039 BRI 583,600 HSBC Holdings PLC..... 9,163,776 BRI 115,900 National Australia Bank, Ltd.(a)....... 2,614,859 AUS 59,000 National Bank of Canada(a)........... 1,968,340 CDA 434,400 Royal Bank of Scotland Group PLC........... 12,787,461 BRI 27,600 Societe Generale...... 2,434,706 FRA
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 400,800 Standard Chartered PLC................. $ 6,612,394 BRI 100,000 Svenska Handelsanken AB -- Class A....... 2,045,075 SWE 111,500 UBS AG................ 7,633,406 SWI -------------- 124,001,644 -------------- BROADCAST SERVICES/MEDIA -- 1.3% 222,285 News Corp., Ltd. ..... 2,007,693 AUS 177,207 Singapore Press Holdings, Ltd. ..... 1,972,329 SIN 380,152 Vivendi Universal SA*................. 9,231,632 FRA -------------- 13,211,654 -------------- CHEMICALS -- 2.3% 31,350 L'Air Liquide SA...... 5,531,018 FRA 108,100 Nitto Denko Corp. .... 5,751,073 JAP 134,600 Norsk Hydro ASA....... 8,289,570 NOR 200 Norsk Hydro ASA (ADR)............... 12,360 NOR 38,500 Shin-Etsu Chemical Company, Ltd. ...... 1,573,922 JAP 617,000 Sumitomo Chemical Company, Ltd. ...... 2,545,399 JAP -------------- 23,703,342 -------------- COMMERCIAL SERVICES -- 0.2% 338,300 Brambles Industries PLC................. 1,231,207 BRI 145,000 Brambles Industries, Ltd.(a)............. 576,726 AUS -------------- 1,807,933 -------------- COMPUTER SOFTWARE AND SERVICES -- 0.7% 37,100 SAP AG................ 6,255,608 GER 16,300 SAP AG (ADR).......... 677,428 GER -------------- 6,933,036 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 85,000 Canon, Inc. .......... 3,958,839 JAP 135,000 Ricoh Company, Ltd. ............... 2,664,971 JAP -------------- 6,623,810 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 2.9% 216,200 Bouygues SA(a)........ 7,552,460 FRA 184,500 CRH PLC............... 3,785,212 IRE 161,686 Holcim, Ltd. ......... 7,527,574 SWI
See notes to financial statements. 148 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) 46,000 Rohm Company, Ltd. ... $ 5,392,570 JAP 425,000 Sekisui House, Ltd. ............... 4,391,217 JAP 78,000 Tostem Inax Holding Corp. .............. 1,507,000 JAP -------------- 30,156,033 -------------- CONSUMER GOODS AND SERVICES -- 2.9% 52,900 Hoya Corp. ........... 4,858,465 JAP 53,000 L'Oreal SA............ 4,341,389 FRA 253,000 Nikon Corp. .......... 3,816,017 JAP 77,000 Reckitt Benckiser PLC................. 1,740,614 BRI 83,950 Sony Corp.(a)......... 2,906,986 JAP 313,000 Swire Pacific, Ltd. -- Class A............. 1,931,302 HNG 22,400 Uni-Charm Corp. ...... 1,101,811 JAP 61,200 Unilever NV........... 3,998,892 NET 602,600 Unilever PLC.......... 5,612,070 BRI -------------- 30,307,546 -------------- CONTAINERS AND PACKAGING -- 0.1% 204,400 Amcor, Ltd. .......... 1,271,830 AUS -------------- DISTRIBUTION -- 0.5% 2,232,000 Li & Fung, Ltd. ...... 3,823,986 HNG 73,500 Wolseley PLC.......... 1,038,434 BRI -------------- 4,862,420 -------------- DIVERSIFIED SERVICES -- 1.2% 1,371,600 Bombardier, Inc. -- Class B(a).......... 5,802,066 CDA 264,800 Hutchison Whampoa, Ltd. ............... 1,952,828 HNG 390,000 Mitsubishi Corp. ..... 4,135,150 JAP 36,300 TUI AG(a)............. 745,648 GER -------------- 12,635,692 -------------- ELECTRONICS -- 4.6% 38,422 Advantest Corp. ...... 3,048,227 JAP 44,100 Epcos AG*............. 986,453 GER 62,200 Fanuc, Ltd. .......... 3,727,123 JAP 37,300 Hirose Electric Company, Ltd. ...... 4,282,154 JAP 1,939,000 Johnson Electric Holdings, Ltd. ..... 2,472,768 HNG 6,500 Keyence Corp. ........ 1,370,497 JAP 184,600 Koninklijke (Royal) Philips Electronics NV.................. 5,385,452 NET
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) ELECTRONICS (CONTINUED) 45,500 Murata Manufacturing Company, Ltd. ...... $ 2,458,886 JAP 1,590,000 NEC Corp. ............ 11,709,072 JAP 58,793 Samsung Electronics (GDR)(a)............ 11,053,084 KOR 190,000 Venture Corp., Ltd. ............... 2,237,795 SIN -------------- 48,731,511 -------------- ENGINEERING -- 0.2% 1,580,000 Singapore Technologies Engineering, Ltd. ............... 1,898,121 SIN -------------- FINANCIAL SERVICES -- 2.7% 34,300 ACOM Company, Ltd. ... 1,555,889 JAP 29,660 AIFUL Corp. .......... 2,170,379 JAP 279,000 Daiwa Securities Group, Inc. ........ 1,898,367 JAP 470,000 DBS Group Holdings, Ltd. ............... 4,068,665 SIN 26,656 Deutsche Boerse AG.... 1,461,247 GER 46,671 Muenchener Rueckversicherungs- Gesellschaft AG..... 5,596,228 GER 458,000 Nikko Cordial Corp. .............. 2,552,044 JAP 251,000 Nomura Holdings, Inc. ............... 4,275,481 JAP 62,080 Orix Corp. ........... 5,133,739 JAP -------------- 28,712,039 -------------- FOOD AND BEVERAGE -- 4.0% 275,000 Compass Group PLC..... 1,868,878 BRI 253,900 Diageo PLC............ 3,337,449 BRI 964,205 Foster's Group, Ltd. ............... 3,268,510 AUS 39,200 Groupe Danone......... 6,392,339 FRA 61,500 Heineken Holding NV -- Class A....... 2,102,637 NET 297,543 Heineken NV........... 11,320,154 NET 50,900 Koninklijke Numico NV*................. 1,405,399 NET 49,243 Nestle SA............. 12,298,810 SWI 1,200 Nissin Food Products Company, Ltd. ...... 29,905 JAP -------------- 42,024,081 -------------- INSURANCE -- 5.0% 60,400 Allianz AG............ 7,615,414 GER 61,300 Assicurazioni Generali Spa................. 1,622,255 ITA 44,100 Great-West Lifeco, Inc. ............... 1,551,736 CDA 357,572 ING Groep NV.......... 8,331,820 NET
See notes to financial statements. 149 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 48,800 Manulife Financial Corp. .............. $ 1,579,367 CDA 354 Millea Holdings, Inc. ............... 4,625,723 JAP 709,000 Mitsui Sumitomo Insurance Company, Ltd. ............... 5,823,409 JAP 412,700 Prudential PLC........ 3,485,548 BRI 349,440 QBE Insurance Group, Ltd.(a)............. 2,790,271 AUS 251,512 Sompo Japan Insurance, Inc. ............... 2,068,155 JAP 189,903 Swiss Re.............. 12,816,765 SWI -------------- 52,310,463 -------------- INTERNET SERVICES -- 1.5% 22,400 Softbank Corp. ....... 685,757 JAP 100,000 Thomson Corp. ........ 3,625,000 CDA 195,524 Thomson Corp. ........ 7,118,761 CDA 345 Yahoo Japan Corp.*(a)........... 4,636,924 JAP -------------- 16,066,442 -------------- LEISURE AND RECREATION -- 0.4% 87,600 Accor SA.............. 3,963,127 FRA -------------- MANUFACTURING -- 4.5% 409,328 ABB, Ltd.*............ 2,074,431 SWI 375,800 Assa Abloy AB......... 4,470,075 SWE 402,524 Compagnie Financiere Richemont AG........ 9,662,919 SWI 641,000 Mitsubishi Heavy Industries, Ltd. ... 1,782,882 JAP 21,700 NIDEC Corp.(a)........ 2,071,971 JAP 61,900 Schneider Electric SA.................. 4,048,531 FRA 129,000 Siemens AG(a)......... 10,331,058 GER 32,700 SMC Corp. ............ 4,071,477 JAP 607,214 Smiths Group PLC...... 7,178,073 BRI 78,600 Wesfarmers, Ltd. ..... 1,568,456 AUS -------------- 47,259,873 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 0.6% 54,600 Essilor International SA CIE Generale D'Optique........... 2,821,084 FRA 370,600 Smith & Nephew PLC.... 3,110,100 BRI -------------- 5,931,184 -------------- METALS AND MINING -- 3.6% 67,700 Alcan, Inc. .......... 3,171,131 CDA 428,300 Alumina, Ltd. ........ 2,119,734 AUS
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) METALS AND MINING (CONTINUED) 102,900 Anglo American PLC.... $ 2,221,198 BRI 1,152,109 BHP Billiton PLC...... 10,054,906 BRI 203,975 BHP Billiton, Ltd. ... 1,873,047 AUS 59,000 Companhia Vale do Rio Doce (CVRD) (ADR)... 3,451,500 BRA 65,000 Companhia Vale do Rio Doce (CVRD) (ADR)... 3,348,150 BRA 77,200 Inco, Ltd.*........... 3,083,582 CDA 994,000 Nippon Steel Corp. ... 2,133,844 JAP 58,500 Rio Tinto PLC......... 1,614,308 BRI 407,500 WMC Resources, Ltd.*.. 1,728,240 AUS 255,000 Xstrata PLC........... 2,873,065 BRI -------------- 37,672,705 -------------- OIL, COAL AND GAS -- 5.2% 1,833,900 BG Group PLC.......... 9,404,674 BRI 315,800 Eni Spa............... 5,953,649 ITA 134,500 Repsol YPF SA......... 2,620,422 SPA 492,400 Royal Dutch Petroleum Company............. 25,937,839 NET 34,000 Royal Dutch Petroleum Company............. 1,781,260 NET 518,300 Statoil ASA(a)........ 5,812,543 NOR 112,200 Suncor Energy, Inc. ............... 2,819,968 CDA -------------- 54,330,355 -------------- PAPER AND FOREST PRODUCTS -- 0.8% 408,800 Abitibi-Consolidated, Inc.(a)............. 3,278,367 CDA 189,000 Sumitomo Forestry Company, Ltd. ...... 1,599,991 JAP 196,000 UPM-Kymmene Oyj(a).... 3,734,627 FIN -------------- 8,612,985 -------------- PHARMACEUTICALS -- 10.4% 549,728 AstraZeneca PLC....... 26,805,741 BRI 167,100 AstraZeneca PLC....... 8,008,956 BRI 40,062 AstraZeneca PLC (ADR)(a)............ 1,938,200 BRI 102,200 Chugai Pharmaceutical Company, Ltd. ...... 1,469,948 JAP 42,500 GlaxoSmithKline PLC... 972,890 BRI 378,971 Novartis AG........... 17,199,500 SWI 58,800 Novo Nordisk A/S -- Class B............. 2,393,359 DEN 58,412 Roche Holding AG...... 5,889,829 SWI
See notes to financial statements. 150 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 241,000 Sankyo Company, Ltd. ............... $ 4,532,527 JAP 411,080 Sanofi-Synthelabo SA.................. 30,927,168 FRA 2,747 Serono SA -- Class B................... 1,958,337 SWI 256,000 Shionogi & Company, Ltd. ............... 4,769,236 JAP 59,000 Yamanouchi Pharmaceutical Company, Ltd. ...... 1,833,769 JAP -------------- 108,699,460 -------------- PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.2% 33,000 Fuji Photo Film Company, Ltd. ...... 1,065,708 JAP 121,500 Konica Minolta Holdings, Inc. ..... 1,634,138 JAP -------------- 2,699,846 -------------- PRINTING AND PUBLISHING -- 1.3% 115,000 DAI Nippon Printing Company, Ltd. ...... 1,615,410 JAP 689,100 Pearson PLC........... 7,665,444 BRI 57,800 Reed Elsevier NV...... 717,470 NET 220,900 Reed Elsevier PLC..... 1,845,906 BRI 64,003 VNU NV................ 2,020,447 NET -------------- 13,864,677 -------------- REAL ESTATE -- 1.7% 362,000 Cheung Kong Holdings, Ltd. ............... 2,879,493 HNG 2,374,000 Hang Lung Properties, Ltd. ............... 3,042,806 HNG 746,000 Hong Kong Land Holdings, Ltd. ..... 1,268,200 HNG 660,000 Mitsubishi Estate Company, Ltd. ...... 6,258,726 JAP 328,000 Mitsui Fudosan Company, Ltd. ...... 2,963,450 JAP 183,000 Sun Hung Kai Properties, Ltd. ... 1,514,588 HNG -------------- 17,927,263 --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) RETAIL -- 1.9% 248,000 Aeon Company, Ltd. ... $ 8,309,876 JAP 321,400 Industria de Diseno Textil SA........... 6,520,955 SPA 45,300 Metro AG(a)........... 1,998,047 GER 19,500 SHIMAMURA Company, Ltd. ............... 1,324,995 JAP 217,500 Woolworths, Ltd. ..... 1,933,344 AUS -------------- 20,087,217 -------------- RETAIL: SUPERMARKETS -- 0.2% 35,800 Carrefour SA.......... 1,963,412 FRA -------------- SEMICONDUCTORS -- 3.0% 512,400 Arm Holdings PLC*..... 1,177,543 BRI 173,200 Infineon Technologies AG*................. 2,352,914 GER 2,100 NEC Electronics Corp.*.............. 153,668 JAP 83,200 STMicroelectronics NV.................. 2,247,232 SWI 100,500 STMicroelectronics NV.................. 2,722,977 NET 1,128,719 Taiwan Semiconductor Manufacturing Company, Ltd. (ADR)*.............. 11,558,083 TWN 142,900 Tokyo Electron, Ltd. ............... 10,856,879 JAP -------------- 31,069,296 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 10.3% 110,700 America Movil SA de CV -- Series L (ADR)............... 3,026,538 MEX 219,300 BCE, Inc.(a).......... 4,901,222 CDA 164,200 France Telecom SA*.... 4,688,917 FRA 364 Japan Telecom Holdings Company, Ltd. ...... 975,061 JAP 1,261,400 Koninklijke (Royal) KPN NV*............. 9,728,452 NET 488,000 Nokia Oyj............. 8,431,343 FIN 664 NTT DoCoMo, Inc. ..... 1,505,992 JAP 7,285,000 Singapore Telecommunications, Ltd. ............... 8,408,574 SIN 193,100 Societe Europeenne des Satellites (FDR).... 1,946,757 LUX 32,158 Swisscom AG........... 10,604,966 SWI 19,900 TDC A/S(a)............ 717,378 DEN 775,705 Telecom Italia Spa.... 1,578,733 ITA 569,560 Telefonica SA......... 8,354,721 SPA
See notes to financial statements. 151 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 101,800 Telefonos de Mexico SA de CV, Series L (ADR)(a)............ $ 3,362,454 MEX 161,900 Telus Corp. .......... 3,029,913 CDA 15,096,140 Vodafone Group PLC.... 37,392,141 BRI -------------- 108,653,162 -------------- TEXTILES -- 0.3% 728,000 Toray Industries, Inc. ............... 3,044,092 JAP -------------- TOYS -- 0.2% 29,100 Nintendo Company, Ltd. ............... 2,716,072 JAP -------------- TRANSPORTATION: SERVICES -- 0.3% 84,500 TPG NV................ 1,977,462 NET 80,000 Yamato Transport Company, Ltd. ...... 942,318 JAP -------------- 2,919,780 -------------- UTILITIES: ELECTRIC -- 0.8% 219,200 Kansai Electric Power Company, Inc. ...... 3,842,240 JAP 587,200 National Grid Transco PLC................. 4,203,219 BRI -------------- 8,045,459 -------------- UTILITIES: GAS -- 0.2% 577,000 Centrica PLC.......... 2,177,323 BRI -------------- TOTAL COMMON STOCKS (Cost $836,375,631)....... 973,177,045 -------------- REGULATED INVESTMENT COMPANIES -- 0.6% 2,728,476 American Aadvantage Select(b)........... 2,728,476 USA 844,678 Merrill Lynch Premier Institutional Fund(b)............. 844,678 USA 2,338,694 Merrimac Cash Fund -- Premium Class(b).... 2,338,694 USA -------------- TOTAL REGULATED INVESTMENT COMPANIES (Cost $5,911,848)... 5,911,848 -------------- PRINCIPAL VALUE COUNTRY --------- -------------- ------- CONVERTIBLE BONDS -- 0.0% BANKS $21,000,000 SMFG Finance, Ltd. 2.25%, 07/11/05(c) (Cost $274,968)..... $ 357,328 CAY -------------- CORPORATE BONDS AND NOTES -- 0.7% BANKS 1,050,000 Credit Suisse Group, 6.00%, 12/23/05..... 1,155,068 CHI 351,000,000 SMFG Finance -- 144A, 2.25%, 07/11/05(c).. 6,134,473 CAY -------------- TOTAL CORPORATE BONDS AND NOTES (Cost $3,538,461)......... 7,289,541 -------------- SHARES ------ RIGHTS -- 0.0% AUTOMOTIVE EQUIPMENT 390,900 TI Automotive, Ltd. -- Class A, zero coupon* (Cost $0)........... -- BRI -------------- PRINCIPAL --------- SHORT TERM COMMERCIAL PAPER -- 0.2% $ 850,794 General Electric Capital Corp., 1.09%, 01/09/04(b).. 850,794 USA 779,565 General Electric Capital Corp., 1.08%, 01/16/04(b).. 779,565 USA -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $1,630,359)... 1,630,359 -------------- SHORT TERM CORPORATE NOTES -- 1.9% 779,565 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 06/10/04(b)......... 779,565 USA 779,565 Bear Stearns Companies, Inc., Floating Rate, 1.14%(**), 09/08/04(b)......... 779,565 USA 1,948,912 Canadian Imperial Bank of Commerce, Floating Rate, 1.01%(**), 11/04/04(b)......... 1,948,912 USA
See notes to financial statements. 152 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE COUNTRY --------- -------------- ------- SHORT TERM CORPORATE NOTES (CONTINUED) $ 1,559,129 Fleet National Bank, Floating Rate, 1.00%(**), 01/21/04(b)......... $ 1,559,129 USA 1,948,912 Goldman Sachs Group, Inc., Floating Rate, 1.06%(**), 01/05/04(b)......... 1,948,912 USA 3,118,259 Goldman Sachs Group, Inc., Floating Rate, 1.04%(**), 01/30/04(b)......... 3,118,259 USA 5,067,170 Morgan Stanley, Floating Rate, 1.05%(**), 06/14/04(b)......... 5,067,170 USA 1,169,347 Morgan Stanley, Floating Rate, 1.05%(**), 06/21/04(b)......... 1,169,347 USA 3,897,823 Morgan Stanley, Floating Rate, 1.05%(**), 09/10/04(b)......... 3,897,823 USA -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $20,268,682)........ 20,268,682 -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.2% FANNIE MAE -- 0.1% 1,552,472 1.06%, 01/02/04(b).... 1,552,472 USA -------------- FREDDIE MAC -- 0.1% 779,565 1.06%, 01/27/04(b).... 779,565 USA -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $2,332,037)......... 2,332,037 -------------- TIME DEPOSITS -- 4.0% 7,143,581 Bank of Montreal, 1.06%, 01/15/04(b).. 7,143,581 USA 3,118,259 Bank of Montreal, 1.06%, 02/17/04(b).. 3,118,259 USA
PRINCIPAL VALUE COUNTRY --------- -------------- ------- TIME DEPOSITS (CONTINUED) $ 3,897,823 Bank of Novia Scotia, 1.08%, 03/10/04(b).. $ 3,897,823 USA 2,338,694 Citigroup, Inc., 1.08%, 01/05/04(b).. 2,338,694 USA 1,169,347 Citigroup, Inc., 1.09%, 02/06/04(b).. 1,169,347 USA 2,338,694 Credit Agricole Indosuez, 0.98%, 01/02/04(b).. 2,338,694 USA 2,338,694 Credit Agricole Indosuez, 1.08%, 01/28/04(b).. 2,338,694 USA 3,118,259 Den Danske Bank, 1.08%, 01/20/04(b).. 3,118,259 USA 3,897,823 Royal Bank of Canada, 1.05%, 02/27/04(b).. 3,897,823 USA 1,948,912 Royal Bank of Scotland, 1.08%, 01/09/04(b).. 1,948,912 USA 779,565 Royal Bank of Scotland, 1.08%, 01/15/04(b).. 779,565 USA 5,846,735 Royal Bank of Scotland, 1.08%, 01/20/04(b).. 5,846,735 USA 1,948,912 Svenska Handlesbanken, 1.08%, 02/04/04(b).. 1,948,912 USA 779,565 Toronto Dominion Bank, 1.10%, 01/08/04(b).. 779,565 USA 1,169,347 Wells Fargo Bank, N.A., 1.04%, 01/30/04(b).. 1,169,347 USA -------------- TOTAL TIME DEPOSITS (Cost $41,834,210)........ 41,834,210 -------------- TOTAL SECURITIES (Cost $912,166,196)....... 1,052,801,050 --------------
See notes to financial statements. 153 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 7.5% $ 8,575,211 With Goldman Sachs Group, Inc., dated 12/31/03, 1.04%, due 01/02/04, repurchase proceeds at maturity $8,575,706 (Collateralized by Archer-Daniels-Midland Company, 8.88%, due 04/15/11, with a value of $1,792,142, Den Danske Bank -- 144A, 7.40%, due 06/15/10, with a value of $1,759,207, Honeywell International, Inc., 6.88%, due 10/03/05, with a value of $2,795,270, Morgan Stanley, 6.75%, due 04/15/11, with a value of $699,409, and Lehman Brothers Holdings, Inc., 3.50%, due 08/07/08, with a value of $1,700,687)(b).... $ 8,575,211 70,240,655 With Investors Bank and Trust, dated 12/31/03, 0.45%, due 01/02/04, repurchase proceeds at maturity $70,242,411 (Col- lateralized by Fannie Mae Adjustable Rate Mortgage, 4.11%, due 05/01/33, with a value of $35,864,131 and Fannie Mae Adjustable Rate Mortgage, 4.20%, due 07/01/33, with a value of $37,888,556)............... 70,240,655 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $78,815,866)......... 78,815,866 -------------- Total Investments -- 107.9% (Cost $990,982,062)........ 1,131,616,916 Liabilities less other assets -- (7.9)%........... (82,583,020) -------------- NET ASSETS -- 100.0%......... $1,049,033,896 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2003 is $996,861,248. The following amount is based on cost for federal income tax purposes: Gross unrealized appreciation......... $178,623,414 Gross unrealized depreciation......... (43,867,746) ------------ Net unrealized appreciation........... $134,755,668 ============
--------------- * Non-income producing security. ** Variable rate security. The rate shown was in effect at December 31, 2003. (a) All or part of this security is on loan. (b) Short term security purchased with cash collateral received for securities loaned. (c) Principal amount shown for this debt security is denominated in Japanese Yen. (ADR) American Depository Receipt. (FDR) Foreign Depository Receipt. (GDR) Global Depository Receipt. See notes to financial statements. 154 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2003
PERCENT OF TOTAL COUNTRY COMPOSITION INVESTMENTS AT VALUE ------------------- -------------------- Australia (AUS)...................... 2.28% Bermuda (BER)........................ 0.11 Brazil (BRA)......................... 0.60 Canada (CDA)......................... 3.71 Denmark (DEN)........................ 0.28 Finland (FIN)........................ 1.08 France (FRA)......................... 9.67 Grand Cayman (CAY)................... 0.57 Germany (GER)........................ 4.76 Great Britain (BRI).................. 16.79 Hong Kong (HNG)...................... 1.75 Ireland (IRE)........................ 0.33 Italy (ITA).......................... 0.81 Japan (JPN).......................... 18.01 Korea (KOR).......................... 0.98 Luxembourg (LUX)..................... 0.17 Mexico (MEX)......................... 0.57 Netherlands (NET).................... 8.43 Norway (NOR)......................... 1.42 Singapore (SIN)...................... 1.64 Spain (SPA).......................... 2.57 Sweden (SWE)......................... 1.19 Switzerland (SWI).................... 7.93 Taiwan (TWN)......................... 1.02 United States (USA).................. 13.33 ------ TOTAL PERCENTAGE..................... 100.00% ======
See notes to financial statements. 155 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION AND BUSINESS Diversified Investors Portfolios (the Series Portfolio), a series trust organized on September 1, 1993, under the laws of the State of New York, is composed of sixteen different series that are, in effect, separate investment funds: the Money Market Portfolio, the High Quality Bond Portfolio, the Intermediate Government Bond Portfolio, the Core Bond Portfolio, the Balanced Portfolio, the Value & Income Portfolio, the Growth & Income Portfolio, the Equity Growth Portfolio, the Mid-Cap Value Portfolio, the Mid-Cap Growth Portfolio, the Small-Cap Value Portfolio, the Special Equity Portfolio, the Small-Cap Growth Portfolio, the Aggressive Equity Portfolio, the High-Yield Bond Portfolio, and the International Equity Portfolio (each a Series). The Declaration of Trust permits the Board of Trustees to issue an unlimited number of beneficial interests in each Series. Investors in a Series (e.g., investment companies, insurance company separate accounts and common and commingled trust funds) will each be liable for all obligations of that Series (and of no other Series). 2. SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION: Short-term securities having remaining maturities of 60 days or less are valued at amortized cost, which approximates value. The amortized cost of a security is determined by valuing it at original cost and thereafter amortizing any discount or premium at a constant rate until maturity. Equity securities are valued at the last sale price on the exchange on which they are primarily traded or at the bid price on the Nasdaq system for unlisted national market issues, or at the last quoted bid price for securities not reported on the Nasdaq system. Bonds are valued at the mean of the last available bid and asked prices by an independent pricing service. Futures and option contracts that are traded on commodities or securities exchanges are normally valued at the last settlement price on the exchange on which they are traded. All other securities, futures, and option contracts, if necessary, will be valued at their fair value as determined by the Board of Trustees. Events or circumstances affecting the values of portfolio securities that occur between the closing of their principal markets and the time the net asset value is determined may be reflected in the Trust's calculation of net asset value for each applicable Portfolio when the Trust's Manager deems that the particular event or circumstance would materially affect such Portfolio's net asset value. B. REPURCHASE AGREEMENTS: Each Series, along with other affiliated entities of the investment advisor, may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Series investment advisor, subject to the seller's agreement to repurchase and the Series agreement to resell such securities at a mutually agreed upon price. Securities purchased subject to repurchase agreements are segregated at the custodian and, pursuant to the terms of the repurchase agreements, must have an aggregate market value greater than or equal to 102% for domestic securities and 105% for international securities of the repurchase price at all times. If the value of the underlying securities falls below the value of the repurchase price, the Series will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met or the seller defaults on its repurchase obligation, the Series maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller. However, in the event of default or bankruptcy by the seller, realization and/or retention of the collateral may be subject to legal proceedings. C. FOREIGN CURRENCY TRANSLATION: The accounting records of each Series are maintained in U.S. dollars. The market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated to U.S. 156 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) dollars based on the prevailing exchange rates each business day. Income and expenses denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. The Series does not isolate realized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gains or losses on securities. Net realized gains and losses on foreign currency transactions represent net foreign exchange gains and losses on disposition of foreign currencies and foreign currency forward contracts, and the difference between the amount of investment income receivable and foreign withholding taxes payable recorded on the Series' books and the U.S. dollar equivalent of amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities (other than investments in securities) and foreign currency forward contracts, resulting from changes in the prevailing exchange rates. D. FOREIGN CURRENCY FORWARD CONTRACTS: Each Series, with the exception of the Money Market Series, may enter into foreign currency forward contracts and forward cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Series' portfolio securities. A foreign currency forward contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a foreign currency forward contract fluctuates with changes in forward currency exchange rates. Foreign currency forward contracts are marked to market daily and the change in value is recorded by the Series as an unrealized foreign exchange gain or loss. When a foreign currency forward contract is extinguished, through delivery or by entering into another offsetting foreign currency forward contract, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Series' Statement of Assets and Liabilities and Statement of Operations. In addition, the Series could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. E. OPTIONS: Each Series, with the exception of the Money Market Series, may purchase and write (sell) call and put options on securities indices for the purpose of protecting against an anticipated decline in the value of the securities held by that Series. Index options are marked to market daily and the change in value is recorded by the Series as an unrealized gain or loss. A realized gain or loss equal to the difference between the exercise price and the value of the index is recorded by the Series upon cash settlement of the option. The use of index options may expose the Series to the risk that trading in such options may be interrupted if trading in certain securities included in the index is interrupted or the value of the securities in the index may not move in direct correlation with the movements of the Series portfolio. In addition, there is the risk the Series may not be able to enter into a closing transaction because of an illiquid secondary market. 157 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Transactions in options written for the year ended December 31, 2003 were as follows:
CORE BOND BALANCED --------------------- -------------------- NUMBER OF NUMBER OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS --------- --------- --------- -------- Options outstanding at December 31, 2002............. -- $ -- -- $ -- Options written...................................... 9,625,592 804,149 1,050,071 92,675 Options terminated in closing purchase transactions....................................... (314) (359,426) (41) (44,511) Options expired...................................... -- -- -- -- --------- --------- --------- -------- Options outstanding at December 31, 2003............. 9,625,278 $ 444,723 1,050,030 $ 48,164 ========= ========= ========= ========
F. FUTURES CONTRACTS: Each Series may invest in futures contracts solely for the purpose of hedging its existing portfolio securities, or securities that the Series intends to purchase, against fluctuations in fair value caused by changes in prevailing market or interest rates. Initial margin deposits made in cash upon entering into futures contracts are recognized as assets due from the broker (the Series agent in acquiring the futures position). During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking to market on a daily basis to reflect the daily market value of the contract. Variation margin payments are received or made by each Series each day, depending upon the daily fluctuations in the fair value of the underlying instrument. Each Series recognizes an unrealized gain or loss equal to the daily variation margin. When the contract is closed, the Series records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the basis in the contract. Should market conditions move unexpectedly, the Series may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. These contracts may involve market risk in excess of the unrealized gains or loss reflected in the Series' Statement of Assets and Liabilities. Open futures contracts as of December 31, 2003:
VALUE AS OF UNREALIZED NUMBER OF EXPIRATION COST AT DECEMBER 31, APPRECIATION SERIES CONTRACTS DESCRIPTION DATE TRADE DATE 2003 (DEPRECIATION) ------ ---------- -------------------------------- ---------- ------------ ------------ -------------- Core Bond............ 1950 Short US Treasury Notes 5 Year Future March 2004 $216,630,330 $217,668,750 $(1,038,420) 842 Short US Treasury Notes 10 Year Future March 2004 94,060,545 94,527,656 (467,111) 84 Long US Long Bond Future March 2004 9,282,286 9,182,250 (100,036) ----------- $(1,605,567) =========== Balanced............. 54 Long US Long Bond Future March 2004 $ 5,822,914 $ 5,902,875 $ 79,961 144 Short US Treasury Notes 5 Year Future March 2004 16,014,981 16,074,000 (59,019) 148 Short US Treasury Notes 10 Year Future March 2004 16,384,154 16,615,312 (231,158) ----------- $ (210,216) =========== Growth & Income...... 8 Long S&P 500 Future March 2004 $ 2,191,072 $ 2,221,200 $ 30,128 =========== Special Equity....... 18 Long Russell 2000 Future March 2004 $ 4,911,740 $ 5,014,800 $ 103,060 ===========
158 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) G. SHORT SALES: The Series, with the exception of the Money Market Series, may sell securities short. A short sale is a transaction in which the Series sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Series is obligated to replace the borrowed securities at the market price at the time of replacement. The Series' obligation to replace the securities borrowed in connection with a short sale will be fully secured by collateral deposited with the custodian. In addition, the Series will consider the short sale to be a borrowing by the Series that is subject to the asset coverage requirements of the 1940 Act. Short sales by the Series involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases can not exceed the total amount invested. During the year ended December 31, 2003, Core Bond Series and the Balanced Series had short sales. H. DOLLAR ROLLS: Each Series, with the exception of the Money Market Series, may enter into dollar rolls (principally using TBA's) in which the Series sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Series account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Series must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Series are required to purchase may decline below the agreed upon repurchase price of those securities. I. FEDERAL INCOME TAXES: It is the Series' policy to comply with the applicable provisions of the Internal Revenue Code. Therefore, no federal income tax provision is required. J. SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on a trade date basis (the date the order to buy or sell is executed). Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts on investments. Realized gains and losses from securities transactions are recorded on the identified cost basis. All of the net investment income and realized and unrealized gains and losses from security transactions are determined on each valuation day and allocated pro rata among the investors in a Series at the time of such determination. K. OPERATING EXPENSES: The Series Portfolio accounts separately for the assets, liabilities and operations of each Series. Expenses directly attributable to a Series are charged to that Series, while expenses attributable to all Series are allocated among the series based on their relative net assets, or another methodology that is appropriate based on the circumstances. L. OTHER: The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 159 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES Transamerica Financial Life Insurance Company, Inc. (TFLIC), formerly AUSA Life Insurance Company, Inc. (AUSA), a wholly-owned subsidiary of AEGON USA, Inc. (AEGON), is an affiliate of Diversified Investment Advisors, Inc. (the Advisor). The Advisor is an indirect, wholly-owned subsidiary of AEGON USA, Inc., a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON USA is an indirect, wholly-owned subsidiary of AEGON N.V., a Netherlands corporation which is a publicly traded international insurance group. TFLIC has sub-accounts which invest in the corresponding Series Portfolios as follows:
AUSA SUB-ACCOUNT INVESTMENT IN PORTFOLIO ---------------- ----------------------- Money Market................................................ 11.09% High Quality Bond........................................... 17.46 Intermediate Government Bond................................ 27.79 Core Bond................................................... 14.67 Balanced.................................................... 36.04 Value & Income.............................................. 30.31 Growth & Income............................................. 27.82 Equity Growth............................................... 23.90 Mid-Cap Value............................................... 02.50 Mid-Cap Growth.............................................. 00.14 Small-Cap Value............................................. 00.03 Special Equity.............................................. 27.26 Small-Cap Growth............................................ 00.00 Aggressive Equity........................................... 24.32 High Yield Bond............................................. 09.68 International Equity........................................ 15.48
The Advisor manages the assets of each Series of the Series Portfolio pursuant to an Investment Advisory Agreement with the Series Portfolio. Subject to such further policies as the Board of Trustees may determine, the Advisor provides general investment advice to each Series. For its services, the Advisor receives from each Series fees, accrued daily and payable monthly, at an annual rate equal to the percentages specified in the table below of the corresponding Series' average daily net assets. The Advisor is currently waiving a portion of its investment advisory fees for certain Series. For each Series, the Advisor has entered into Investment Subadvisory Agreements with the subadvisors listed in the table below (each a Subadvisor, collectively the Subadvisors). It is the responsibility of a Subadvisor to make the day-to-day investment decisions of the Series and to place the purchase and sales orders for securities transactions of such Series, subject in all cases to the general supervision of the Advisor. Payment of fees to the Subadvisors is the responsibility of the Advisor, and is not an additional expense of a Series. 160 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) For its services, the Advisor receives a fee from each Series, and the Subadvisors receive a fee from the Advisor, at an annual rate equal to the percentages specified in the table below of the portion of the corresponding Series' average daily net assets which they subadvise.
ADVISOR SUBADVISOR PORTFOLIO SERIES PORTFOLIO SUBADVISOR FEE (%) FEE (%) ---------------- -------------------------------------- ------- ---------- Money Market Series................... Capital Management Group 0.25 0.05 High Quality Bond Series.............. Merganser Capital Management 0.35 (2) Limited Partnership Intermediate Government Bond Series... (3) 0.35 (4) Core Bond Series...................... BlackRock Advisors, Inc. 0.35(1) (5) Balanced Series....................... (6) 0.45(1) (7) Value & Income Series................. (8) 0.45 (9) Growth & Income Series................ (10) 0.60 (11) Equity Growth Series.................. (12) 0.62 (13) Mid-Cap Value Series.................. Cramer, Rosenthal, McGlynn, LLC 0.67(1) (14) Mid-Cap Growth Series................. Dresdner RCM Global Investors, LLC 0.72(1) (15) Small-Cap Value Series................ Sterling Capital Management, LLC 0.82(1) 0.50 Special Equity Series................. (16) 0.80(1) (17) Small-Cap Growth Series............... Delaware Management Company 0.87(1) 0.50 Aggressive Equity Series.............. McKinley Capital Management, Inc. 0.97(1) (18) High-Yield Bond Series................ Eaton Vance Management 0.55(1) (19) International Equity Series........... Capital Guardian Trust Company 0.75 (20)
--------------- (1) The Advisor is currently waiving a portion of its fee. (2) 0.20% on the first $100,000,000 in average daily net assets, 0.15% on the next $100,000,000 in average daily net assets, 0.10% on the next $100,000,000 in average daily net assets, and 0.05% on all average daily net assets in excess of $300,000,000. (3) The Intermediate Government Bond Series has two subadvisors: Allegiance Investment Management, LLC and Stephens Capital Management. Effective September 15, 2003, Allegiance Investment Management, LLC and Stephens Capital Management replaced Capital Management Group. During the year-ended December 31, 2003 the Intermediate Government Bond Series executed $49,414,342 of purchase transactions and $8,122,795 of sales transactions through Stephen's, Inc., an affiliate of the Portfolio's subadvisor, for which no commissions were charged. (4) From January 1, 2003 to September 14, 2003, Capital Management Group received 0.15% on all average daily net assets. From September 15, 2003 to December 31, 2003 Allegiance Investment Management, LLC received 0.35% on the first $20,000,000 in average daily net assets, 0.25% on the next $30,000,000 in average daily net assets, 0.20% on the next $50,000,000 in average daily net assets, and 0.05% on all average daily net assets in excess of $100,000,000. From September 15, 2003 to December 31, 2003, Stephens Capital Management received 0.10% on all average daily net assets. (5) The market values of the fixed income securities of the Core Bond Series and Balanced Series were combined to determine the fee at the rate of 0.12% on the first $1,000,000,000 in average daily net assets and 0.05% on all average daily net assets in excess of $1,000,000,000. (6) The Balanced Series has two subadvisors: Aeltus Investment Management, Inc. and BlackRock Advisors, Inc. for equity and fixed income securities, respectively. (7) Aeltus Investment Management, Inc. received 0.20% on the first $200,000,000 in average daily net assets, 0.15% on the next $300,000,000 in average daily net assets, 0.125% on the next $500,000,000 in 161 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) average daily net assets, and 0.10% on all average daily net assets in excess of $1,000,000,000. Black Rock Advisors, Inc. received 0.12% on the first $1,000,000,000 in average daily net assets, and 0.05% on all average daily net assets in excess of $1,000,000,000 on the combined market values of the fixed income securities of the Core Bond Series and Balanced Series. (8) The Value & Income Series has two subadvisors: Alliance Capital Management LP and AllianceBernstein. Effective May 28, 2003, Alliance Capital Management LP replaced Asset Management Group. During the year ended December 31, 2003, the Value & Income Series executed trades through AllianceBernstein, an affiliate of Alliance Capital Management and AllianceBernstein. Commissions paid for such transactions amounted to $1,610,982. (9) For the period January 1, 2003 to May 27, 2003, Asset Management Group received 0.27% on the first $300,000,000 in average daily net assets, 0.16% on the next $700,000,000 in average daily net assets, and 0.13% on all average daily net assets in excess of $1,000,000,000. For the period May 28, 2003 to December 31, 2003, Alliance Capital Management LP received 0.27% on the first $300,000,000 in average daily net assets, 0.15% on the next $700,000,000 in average daily net assets, and 0.12% on the next $1,000,000,000 in average daily net assets, and 0.11% on all average daily net assets in excess of $2,000,000,000. AllianceBernstein received 0.27% on the first $300,000,000 in average daily net assets, 0.16% on the next $700,000,000 in average daily net assets, and 0.13% on all average daily net assets in excess of $1,000,000,000. (10) The Growth & Income Series has two subadvisors: Aeltus Investment Management, Inc. and Credit Suisse Asset Management LLC. (11) Aeltus Investment Management, Inc. received 0.15% on the first $300,000,000 in average daily net assets, 0.125% on the next $700,000,000 in average daily net assets and 0.10% on all average daily net assets in excess of $1,000,000,000. Credit Suisse Asset Management received 0.30% on the first $100,000,000 in average daily net assets, 0.20% on the next $200,000,000 in average daily net assets, 0.15% on the next $200,000,000 in average daily net assets and 0.10% on all average daily net assets in excess of $500,000,000. (12) The Equity Growth Series has three subadvisors, Ark Asset Management Company, Inc., Marsico Capital Management LLC, and Dresdner RCM Global Investors LLC. During the year-ended December 31, 2003 the Equity Growth Series executed $27,264 of sales transactions through Bank of America International, an affiliate of the Portfolio's subadvisor, for which no commissions were charged. (13) Dresdner RCM Global Investors LLC received 0.22% on the first $700,000,000 in average daily net assets, and 0.15% on all average daily net assets in excess of $700,000,000. Ark Asset Management received 0.20% of average daily net assets. Marsico Capital Management LLC received 0.30% on the first $1,000,000,000 in average daily net assets, 0.25% on the next $1,000,000,000 in average daily net assets, and 0.27% on all average daily net assets in excess of $2,000,000,000. (14) 0.70% on the first $25,000,000 in average daily net assets, 0.40% on the next $25,000,000 in average daily net assets, 0.35% on the next $50,000,000 in average daily net assets, 0.25% on the next $200,000,000 in average daily net assets, and 0.20% on all average daily net assets in excess of $300,000,000. (15) 0.82% on the first $25,000,000 in average daily net assets, 0.46% on the next $25,000,000 in average daily net assets, 0.35% on the next $50,000,000 in average daily net assets, and 0.23% on all average daily net assets in excess of $100,000,000. (16) The Special Equity Series has five subadvisors: Wellington Management Company LLP; Westport Asset Management, Inc.; Robertson, Stephens; Seneca Capital Management, LLC; and INVESCO, Inc. 162 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) (17) Wellington Management Company, LLC received 0.45% on the first $200,000,000 of average daily net assets, and 0.375% on average daily net assets in excess of $200,000,000. Westport Asset Management, Inc. received 0.50% of average daily net assets. Robertson, Stephens received 0.50% on the first $100,000,000 in average daily net assets, and 0.40% on all average daily net assets in excess of $100,000,000. Seneca Capital Management, LLC received 0.43% on the first $200,000,000 in average daily net assets, and 0.33% on all average daily net assets in excess of $200,000,000. INVESCO, Inc. received 0.55% on the first $100,000,000 in average daily net assets, 0.45% on the next $100,000,000 in average daily net assets, 0.30% on the next $100,000,000 in average daily net assets and 0.20% on all average daily net assets in excess of $300,000,000. (18) 0.45% on the first $100,000,000 in average daily net assets, 0.35% on the next $200,000,000 in average daily net assets, and 0.25% on all average daily net assets in excess of $300,000,000. (19) 0.35% on the first $20,000,000 in average daily net assets, 0.25% on the next $20,000,000 in average daily net assets, 0.20% on the next $85,000,000 in average daily net assets, and 0.15% on all average daily net assets in excess of $125,000,000. (20) 0.75% on the first $25,000,000 in average daily net assets, 0.60% on the next $25,000,000 in average daily net assets, 0.425% on the next $200,000,000 in average daily net assets and 0.375% on all average daily net assets in excess of $250,000,000. The following fee discount will be applied on the total eligible equity, convertible and balanced assets managed: Assets between $500,000,000 and $750,000,000 have a 5% fee reduction; assets between $750,000,000 and $1,000,000,000 have a 7.5% fee reduction and assets above $1,000,000,000 have a 10% fee reduction. For the year ended December 31, 2003, the Advisor has voluntarily undertaken to waive fees to the extent the expenses of a Series exceeds the following expense caps (as a proportion of average daily net assets):
FUND EXPENSE CAP ---- ---------------------- Money Market Series......................................... 30 basis points (b.p.) High Quality Bond Series.................................... 40 b.p. Intermediate Government Bond Series......................... 40 b.p. Core Bond Series............................................ 40 b.p. Balanced Series............................................. 50 b.p. Value & Income Series....................................... 50 b.p. Growth & Income Series...................................... 65 b.p. Equity Growth Series........................................ 65 b.p. Mid-Cap Value Series........................................ 70 b.p. Mid-Cap Growth Series....................................... 75 b.p. Small-Cap Value Series...................................... 85 b.p. Special Equity Series....................................... 85 b.p. Small-Cap Growth Series..................................... 90 b.p. Aggressive Equity Series.................................... 100 b.p. High-Yield Bond Series...................................... 60 b.p. International Equity Series................................. 90 b.p.
Certain trustees and officers of the Series Portfolio and of the funds that invest in the Series Portfolio are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent trustees so affiliated receive compensation for services as trustees of the Series Portfolio or the funds that invest in the Series Portfolio. Similarly, none of the Series Portfolio officers receive compensation from the Series Portfolio. Aggregate remuneration earned by non-affiliated trustees of the Series Portfolio from the Series Portfolio for the year ended December 31, 2003, amounted to $48,863. 163 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 4. SECURITIES LENDING All Series may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least 102% of the market value of the securities on loan. Any deficiencies or excess of collateral must be delivered or transferred by the member firms no later than the close of business on the next business day. As with other extensions of credit, the Series may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. Each Series receives compensation, net of related expenses, for lending its securities which is reported on the Statements of Operations. The reported compensation includes interest income on short term investments purchased with cash collateral received. At December 31, 2003, the Series loaned securities having market values as follows:
CASH COLLATERAL MARKET VALUE RECEIVED ------------ --------------- High Quality Bond Series.................................... $ 30,383,029 $ 31,159,620 Intermediate Government Bond Series......................... 51,666,236 53,416,536 Core Bond Series............................................ 155,854,884 160,419,929 Balanced Series............................................. 28,596,977 29,454,439 Value & Income Series....................................... 147,679,746 151,980,023 Growth & Income Series...................................... 56,942,432 59,141,095 Equity Growth Series........................................ 72,942,209 75,729,565 Mid-Cap Value Series........................................ 35,197,759 36,445,993 Mid-Cap Growth Series....................................... 28,028,598 29,139,322 Small-Cap Value Series...................................... 8,120,070 8,553,351 Special Equity Series....................................... 161,555,759 170,584,121 Small-Cap Growth Series..................................... 13,173,828 13,953,530 Aggressive Equity Series.................................... 84,692,547 88,458,027 International Equity Series................................. 76,680,492 80,552,348
164 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 5. PURCHASES AND SALES OF INVESTMENTS The aggregate cost of investments purchased and proceeds from sales or maturities (excluding short-term securities) for the year ended December 31, 2003, were as follows:
COST OF PROCEEDS PURCHASES FROM SALES --------------- --------------- High Quality Bond Series............... Government Obligations $ 83,500,064 $ 35,429,222 Other 356,825,207 220,467,137 Intermediate Government Bond Series.... Government Obligations 990,297,309 945,795,725 Other 49,922,833 93,602,335 Core Bond Series....................... Government Obligations 10,932,895,068 10,717,416,435 Other 943,480,662 675,083,376 Balanced Series........................ Government Obligations 1,174,759,298 1,169,386,802 Other 320,214,764 316,066,148 Value & Income Series.................. Other 1,445,556,647 1,199,993,213 Growth & Income Series................. Other 951,827,127 883,153,593 Equity Growth Series................... Other 1,366,817,628 904,290,161 Mid-Cap Value Series................... Other 279,620,651 163,985,481 Mid-Cap Growth Series.................. Other 183,506,116 92,589,482 Small-Cap Value Series................. Other 80,329,377 19,620,670 Special Equity Series.................. Other 1,066,748,487 1,229,169,474 Small-Cap Growth Series................ Other 83,606,598 35,504,702 Aggressive Equity Series............... Other 541,330,918 564,632,157 High Yield Bond Series................. Other 324,780,378 304,500,327 International Equity Series............ Other 274,707,549 174,414,386
6. CONTINGENT LIABILITY On December 12, 2003, the Series Portfolio received a copy of a complaint (the "Complaint") filed in the United States Bankruptcy Court for the Southern District of New York styled Enron Corp. v. J. P. Morgan Securities, Inc., et al. The Complaint names as defendants two Portfolios, believed to be the Intermediate Government Bond Portfolio and the Value & Income Portfolio (the "Subject Portfolios"), and alleges that Enron Corp. ("Enron") transferred to the defendants, including the Subject Portfolios, over $1 billion in the aggregate for the purpose of prepaying certain commercial paper issued by Enron (the "Notes") and held by the defendants prior to the filing by Enron for bankruptcy protection under Chapter 11 of Title 11 of the Bankruptcy Code (the "Bankruptcy Code"). The Complaint seeks to hold the defendants, including the Subject Portfolios, liable for these transfers as preferential transfers or as fraudulent transfers under the Bankruptcy Code. Although the Complaint does not specify the amount of each transfer in dispute, it appears that the sale by the Intermediate Government Bond Portfolio of approximately $2.4 million of the Notes on or about October 30, 2001 and the sales by the Value & Income Portfolio of approximately $10.3 million of the Notes on or about October 30, 2001 are in dispute. It should be noted, however, that the Complaint has grouped the above-referenced sales with certain other sales of Notes, totaling approximately $16.6 million, allegedly made on the same date, and seeks to hold the Subject Portfolios and the sellers of such other Notes jointly and severally liable for the aggregate amount of these transfers. The Subject Portfolios have filed a motion to dismiss all counts of the Complaint. As of February 24, 2004, no ruling has been made. The Series Portfolio and its counsel are in the process of investigating the factual background of the allegations in the Complaint, defenses to the allegations in the Complaint and whether third parties might be partially or wholly liable to the Subject Portfolios for any loss sustained in connection with the Complaint. The Subject Portfolios are currently unable to predict whether Enron will prevail, in whole or in part; in its claims against the Subject Portfolios and whether, in such event, any third party might be liable to the Subject Portfolios. 165 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. GENERAL INDEMNIFICATION In the normal course of business, the Series enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Series' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series that have not yet occurred. However, based on experience, the Series expects the risk of loss to be remote. 166 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 8. FOREIGN CURRENCY FORWARD CONTRACTS At December 31, 2003, the Core Bond Series, the Balanced Series, Equity Growth Series, and the International Equity Series had entered into foreign currency forward contracts which contractually obligate each Series to deliver/receive currency at specified future dates. The open contracts were as follows:
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION/ CURRENCY FOR DATE VALUE (DEPRECIATION) ------------ ----------- ---------- ----------- -------------- CORE BOND PURCHASE CONTRACTS: Canadian Dollar.................. 7,091,592 $ 5,407,237 01/12/04 $ 5,481,649 $ 74,412 Euro............................. 6,029,000 7,008,713 01/08/04 7,596,614 587,901 Euro............................. 11,199,370 13,054,434 01/08/04 14,111,344 1,056,910 Great British Pound.............. 12,037,724 20,054,848 01/15/04 21,509,437 1,454,589 ------------ TOTAL............................ $ 3,173,812 ============ SALE CONTRACTS: Canadian Dollar.................. 16,908,502 $12,562,037 01/12/04 $13,069,911 $ (507,874) Canadian Dollar.................. 3,137,790 2,386,152 01/12/04 2,425,444 (39,292) Canadian Dollar.................. 8,618,700 6,554,144 01/12/04 6,662,071 (107,927) Canadian Dollar.................. 4,037,225 3,103,170 01/12/04 3,120,688 (17,518) Euro............................. 54,294,119 62,981,178 01/08/04 68,411,255 (5,430,077) Euro............................. 16,392,516 19,039,908 01/08/04 20,654,772 (1,614,864) Euro............................. 15,339,638 18,254,169 01/08/04 19,328,132 (1,073,963) Euro............................. 55,099,314 67,729,178 01/08/04 69,425,811 (1,696,633) Great British Pound.............. 12,037,724 20,355,791 01/15/04 21,509,437 (1,153,646) Swedish Krona.................... 91,393,271 11,832,376 01/07/04 12,711,621 (879,245) ------------ TOTAL............................ $(12,521,039) ============ BALANCED PURCHASE CONTRACTS: Canadian Dollar.................. 787,955 $ 600,804 01/12/04 $ 609,072 $ 8,268 Euro............................. 652,423 758,442 01/08/04 822,061 63,619 Euro............................. 1,205,626 1,405,326 01/08/04 1,519,104 113,778 ------------ TOTAL............................ $ 185,665 ============ SALE CONTRACTS: Canadian Dollar.................. 1,878,722 $ 1,395,782 01/12/04 $ 1,452,212 $ (56,430) Canadian Dollar.................. 948,848 721,557 01/12/04 733,439 (11,882) Canadian Dollar.................. 342,784 260,672 01/12/04 264,965 (4,293) Canadian Dollar.................. 422,193 324,515 01/12/04 326,347 (1,832) Euro............................. 5,997,991 6,957,670 01/08/04 7,557,543 (599,873) Euro............................. 2,422,045 2,883,445 01/08/04 3,051,807 (168,362) Euro............................. 2,502,118 2,978,772 01/08/04 3,152,700 (173,928) Swedish Krona.................... 6,772,401 876,800 01/07/04 941,953 (65,153) ------------ TOTAL............................ $ (1,081,753) ============
167 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 8. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT APPRECIATION/ CURRENCY FOR DATE VALUE (DEPRECIATION) ------------ ----------- ---------- ----------- -------------- EQUITY GROWTH SALE CONTRACTS: Euro............................. 5,959,263 $ 7,368,331 03/17/04 $ 7,494,969 $ (126,638) Euro............................. 5,386,849 6,647,911 03/17/04 6,775,044 (127,133) ------------ TOTAL............................ $ (253,771) ============ INTERNATIONAL EQUITY PURCHASE CONTRACTS: Swiss Franc...................... 6,020,413 $ 4,285,907 01/30/04 $ 4,869,823 $ 583,916 Australian Dollar................ 43,839 32,616 01/02/04 33,024 408 Euro............................. 30,092 37,627 01/02/04 37,922 295 Euro............................. 529,664 662,292 01/02/04 667,483 5,191 ------------ TOTAL............................ $ 589,810 ============ SALE CONTRACTS: Swiss Franc...................... 6,020,413 $ 4,469,000 01/30/04 $ 4,869,823 $ (400,823) Swiss Franc...................... 8,995,549 6,610,000 05/12/04 7,297,121 (687,121) Japanese Yen..................... 366,529,095 3,173,000 03/04/04 3,428,506 (255,506) Canadian Dollar.................. 1,733 1,336 01/02/04 1,340 (4) Canadian Dollar.................. 231 178 01/02/04 179 (1) Euro............................. 112,829 124,056 12/30/04 140,951 (16,895) Euro............................. 43,294 54,053 01/02/04 54,559 (506) ------------ TOTAL............................ $ (1,360,856) ============ FOREIGN CURRENCY CROSS CONTRACTS:
NET UNREALIZED SETTLEMENT PURCHASE SALE APPRECIATION/ PURCHASE/SALE DATE CURRENT VALUE CURRENT VALUE (DEPRECIATION) ------------- ---------- -------------- ------------- -------------- Canadian Dollar/Japanese Yen................. 01/20/04 $ 5,779,813 $ 5,693,120 $ 86,693 Great British Pound/Swiss Franc.............. 05/12/04 6,978,448 7,181,206 (202,758) Japanese Yen/Swiss Franc..................... 05/26/04 11,296,985 11,668,628 (371,643) --------- TOTAL........................................ $(487,708) =========
168 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS
{RATIO TO AVERAGE NET ASSETS} --------------------------------------------------------- INVESTMENT FOR THE EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ MONEY MARKET 12/31/2003 0.28% 0.28% 1.11% 1.11% N/A $ 799,572,598 1.11% 12/31/2002 0.28 0.28 1.70 1.70 N/A 864,772,946 1.72 12/31/2001 0.27 0.27 3.85 3.85 N/A 704,577,191 4.04 12/31/2000 0.28 0.28 6.18 6.18 N/A 492,136,376 N/A 12/31/1999 0.28 0.28 5.06 5.06 N/A 416,768,827 N/A HIGH QUALITY BOND 12/31/2003 0.38 0.38 3.19 3.19 50% 622,748,334 2.34 12/31/2002 0.38 0.38 4.36 4.36 54 439,015,018 6.21 12/31/2001 0.38 0.38 5.74 5.74 53 330,502,956 8.26 12/31/2000 0.38 0.38 6.21 6.21 73 228,391,465 N/A 12/31/1999 0.38 0.38 5.78 5.78 56 199,906,097 N/A INTERMEDIATE GOVERNMENT BOND 12/31/2003 0.38 0.38 2.91 2.91 392 265,519,988 1.60 12/31/2002 0.39 0.39 3.93 3.93 134 358,005,390 8.31 12/31/2001 0.38 0.38 5.25 5.25 40 260,795,117 6.83 12/31/2000 0.37 0.37 5.82 5.82 48 208,106,902 N/A 12/31/1999 0.39 0.39 5.46 5.46 25 174,804,385 N/A CORE BOND 12/31/2003 0.39 0.39 3.52 3.52 922 1,468,787,007 4.64 12/31/2002 0.39 0.39 4.85 4.85 462 999,624,604 9.24 12/31/2001 0.38 0.38 5.32 5.32 547 761,473,139 6.97 12/31/2000 0.38 0.38 6.28 6.28 521 641,903,354 N/A 12/31/1999 0.37 0.37 5.86 5.86 307 515,721,444 N/A
--------------- * Annualized. (1) Commencement of Operations, April 27, 2001. (2) Commencement of Operations, April 15, 2002. 169 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO TO AVERAGE NET ASSETS --------------------------------------------------------- INVESTMENT FOR THE EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ BALANCED 12/31/2003 0.51% 0.50% 2.15% 2.16% 377% $ 434,085,832 17.69% 12/31/2002 0.52 0.50 2.63 2.65 289 375,745,612 (10.01) 12/31/2001 0.49 0.49 2.82 2.82 312 497,836,597 (5.27) 12/31/2000 0.49 0.49 2.93 2.93 286 512,675,482 N/A 12/31/1999 0.52 0.50 2.46 2.48 256 525,583,903 N/A VALUE & INCOME 12/31/2003 0.47 0.47 1.91 1.91 70 2,198,085,735 26.52 12/31/2002 0.48 0.48 1.97 1.97 31 1,553,159,805 (15.25) 12/31/2001 0.48 0.48 2.07 2.07 32 1,653,702,046 (1.98) 12/31/2000 0.46 0.46 2.23 2.23 76 1,530,760,024 N/A 12/31/1999 0.46 0.46 1.75 1.75 43 1,414,634,230 N/A GROWTH & INCOME 12/31/2003 0.63 0.63 1.02 1.02 100 1,063,389,332 24.16 12/31/2002 0.66 0.65 0.77 0.78 115 799,621,503 (22.57) 12/31/2001 0.63 0.63 0.50 0.50 153 968,765,767 (22.31) 12/31/2000 0.62 0.62 0.07 0.07 80 1,172,093,970 N/A 12/31/1999 0.62 0.62 0.07 0.07 86 1,242,236,443 N/A EQUITY GROWTH 12/31/2003 0.65 0.65 0.34 0.34 61 1,975,636,700 26.48 12/31/2002 0.65 0.65 0.22 0.22 75 1,146,889,083 (23.60) 12/31/2001 0.64 0.64 0.09 0.09 63 1,230,944,333 (20.22) 12/31/2000 0.64 0.64 0.05 0.05 97 1,226,091,994 N/A 12/31/1999 0.64 0.64 0.12 0.12 44 1,266,869,154 N/A MID-CAP VALUE 12/31/2003 0.75 0.70 0.51 0.56 156 216,193,119 41.63 12/31/2002 1.02 0.70 0.20 0.52 156 47,629,380 (15.09) 12/31/2001(1) 1.91* 0.70* (0.48)* 0.73* 87 13,632,294 8.28 MID-CAP GROWTH 12/31/2003 0.81 0.75 (0.37) (0.31) 100 165,747,874 26.91 12/31/2002 0.96 0.75 (0.62) (0.41) 138 44,270,757 (25.29) 12/31/2001(1) 1.93* 0.75* (1.50)* (0.32)* 63 15,562,948 (13.27) SMALL-CAP VALUE 12/31/2003 0.94 0.85 1.19 1.28 40 100,887,458 41.10 12/31/2002(2) 1.39* 0.85* (0.17)* 0.37* 26 17,920,226 (21.90)
170 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO TO AVERAGE NET ASSETS --------------------------------------------------------- INVESTMENT FOR THE EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ SPECIAL EQUITY 12/31/2003 0.85% 0.85% (0.02)% (0.02)% 103% $1,270,601,125 43.96% 12/31/2002 0.84 0.84 0.05 0.05 109 1,005,958,858 (24.33) 12/31/2001 0.83 0.83 (0.02) (0.02) 88 1,323,223,840 (3.09) 12/31/2000 0.82 0.82 0.10 0.10 77 1,311,523,517 N/A 12/31/1999 0.84 0.84 0.13 0.13 171 1,171,034,281 N/A SMALL-CAP GROWTH 12/31/2003 1.02 0.90 (0.29) (0.17) 81 83,589,643 39.31 12/31/2002(2) 1.48* 0.90* (1.03)* (0.45)* 68 16,521,455 (15.98) AGGRESSIVE EQUITY 12/31/2003 1.01 1.00 (0.61) (0.60) 165 371,333,010 28.12 12/31/2002 1.01 1.00 (0.60) (0.59) 87 312,299,599 (26.56) 12/31/2001 1.00 1.00 (0.72) (0.72) 98 372,579,133 (31.15) 12/31/2000 0.98 0.98 (0.62) (0.62) 62 435,760,615 N/A 12/31/1999 1.01 1.00 (0.47) (0.46) 132 259,974,422 N/A HIGH YIELD BOND 12/31/2003 0.61 0.60 9.07 9.08 136 282,700,774 27.91 12/31/2002 0.61 0.60 9.15 9.16 95 208,085,535 2.19 12/31/2001 0.59 0.59 9.41 9.41 90 174,019,465 5.15 12/31/2000 0.65 0.60 9.17 9.22 105 139,986,593 N/A 12/31/1999 0.61 0.60 8.45 8.46 145 124,990,408 N/A INTERNATIONAL EQUITY 12/31/2003 0.86 0.86 1.11 1.11 23 1,049,033,896 33.52 12/31/2002 0.87 0.87 0.83 0.83 25 656,888,348 (16.90) 12/31/2001 0.88 0.88 0.67 0.67 28 632,888,725 (18.57) 12/31/2000 0.84 0.84 0.77 0.77 46 650,534,093 N/A 12/31/1999 0.86 0.86 0.74 0.74 35 592,713,641 N/A
--------------- * Annualized. (1) Commencement of Operations, April 27, 2001. (2) Commencement of Operations, April 15, 2002. 171 REPORT OF INDEPENDENT AUDITORS To the Board of Trustees and Owners of Beneficial Interests of the Diversified Investors Portfolios: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Money Market Portfolio, High Quality Bond Portfolio, Intermediate Government Bond Portfolio, Core Bond Portfolio, Balanced Portfolio, Value & Income Portfolio, Growth & Income Portfolio, Equity Growth Portfolio, Mid-Cap Value Portfolio, Mid-Cap Growth Portfolio, Small-Cap Value Portfolio, Special Equity Portfolio, Small-Cap Growth Portfolio, Aggressive Equity Portfolio, High Yield Bond Portfolio and International Equity Portfolio (constituting the Diversified Investors Portfolios, hereafter referred to as the "Portfolios") at December 31, 2003, the results of each of their operations for the year then ended and the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 26, 2004 172 DIVERSIFIED INVESTORS PORTFOLIOS TRUSTEES INFORMATION (UNAUDITED) Each portfolio is supervised by the Board of Trustees of Diversified Investors Portfolios. The respective Trustees and officers of each Portfolio Trust and their principal occupations during the past five years are set forth below. Their titles may have varied during that period. Unless otherwise indicated, the address of each Trustee and officer of Diversified Investors Portfolios is Four Manhattanville Road, Purchase, New York 10577. Additional information about Diversified Investors Portfolios' Trustees may be found in Diversified Investors Portfolios' Statement of Additional Information, which is available without charge upon request by calling 1-800-755-5801. OFFICERS AND INTERESTED TRUSTEES:
POSITION(S), LENGTH OF PRINCIPAL OCCUPATIONS DURING NAME, ADDRESS AND AGE TIME SERVED PAST 5 YEARS, DIRECTORSHIPS HELD --------------------- ---------------------- ----------------------------------- Joseph P. Carusone, 38................. Treasurer since 2001 Vice President and Director, Diversified Investment Advisors, Inc.; Vice President, Assistant Vice President and Assistant Treasurer, The Bank of New York. Robert F. Colby, 48.................... Secretary since 1993 Senior Vice President and General Counsel, Diversified Investment Advisors, Inc.; Vice President, Diversified Investors Securities Corp.; Vice President and Assistant Secretary, of AUSA Life Insurance Company, Inc. John F. Hughes, 62..................... Assistant Secretary Assistant Secretary, Vice President since 1993 and Senior Counsel, Diversified Investment Advisors, Inc.; Vice President, AUSA Life Insurance Company, Inc.; Assistant Secretary, Diversified Investors Securities Corp. Peter G. Kunkel, 53.................... Trustee since 2002 Senior Vice President, Chief Operating Officer, Diversified Investment Advisors, Inc. Suzanne Montemurro, 39................. Assistant Treasurer Director, Diversified Investment since 2002 Advisors, Inc. Mark Mullin, 41........................ President since 2002 President, Chairman of the Board, Trustee since 1995 Chief Executive Officer, Vice President, Chief Investment Officer, Diversified Investment Advisors, Inc.
173 DIVERSIFIED INVESTORS PORTFOLIOS TRUSTEES INFORMATION (CONTINUED) (UNAUDITED) DISINTERESTED TRUSTEES:
POSITION(S), LENGTH OF PRINCIPAL OCCUPATIONS DURING NAME, ADDRESS AND AGE TIME SERVED PAST 5 YEARS, DIRECTORSHIPS HELD --------------------- ---------------------- ----------------------------------- Neal M. Jewell, 69..................... Trustee since 1993 Consultant; Independent Trustee, 355 Thornridge Drive EAI Select (a registered investment Stamford, CT 06903 company) Robert Lester Lindsay, 69.............. Trustee since 1993 Retired 2 Huguenot Center Tenafly, NJ 07670 Eugene M. Mannella, 50................. Trustee since 1993 Executive Vice President, 2 Orchard Neck Road Investment Management Services, Center Moriches, NY 11934 Inc. Joyce Galpern Norden, 64............... Trustee since 1993 Vice President, Institutional 505 Redleaf Road Advancement, Reconstructionist Wynnewood, PA 19096 Rabbinical College Patricia L. Sawyer, 53................. Trustee since 1993, President and Executive Search Smith & Sawyer LLP Chairperson of Audit Consultant, Smith & Sawyer LLC P.O. Box 8063 Committee since 2003 Vero Beach, FL 32963
174 TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY, INC. 4 Manhattanville Road, Purchase, New York 10577 (914) 697-8000 DISTRIBUTOR: Diversified Investors Securities Corp. (DISC) 4 Manhattanville Road, Purchase, New York 10577 914-697-8000 2873 (2/04) ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, Registrant had adopted a code of ethics (the "Code") that applies to the Registrant's principal executive officer ("PEO"), principal financial officer ("PFO"), and Assistant Treasurer ("AT"). There were no amendments to the Code during the period covered by the report. A copy of the Code of Ethics is attached as an exhibit to this Form N-CSR. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code to the PEO, PFO, or AT, during the period covered by this report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Board of Trustees has determined that the Registrant has two audit committee financial experts serving on its audit committee. The audit committee financial experts are Robert L. Lindsay and Eugene M. Mannella. Messrs. are independent trustees. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. - The aggregate fees billed for professional services rendered by PricewaterhouseCoopers ("PWC") for the audit of the Registrant's financial statements and services that are normally provided by the accountant in connection with statutory and regulatory filings for 2003 and 2002 were $13,500 and $12,000, respectively. (b) AUDIT RELATED FEE. - No such fees were billed by PWC for 2003 or 2002. (c) TAX FEES. - No such fees were billed by PWC for 2003 or 2002. (d) ALL OTHER FEES - No such fees were billed by PWC for 2003 or 2002. (e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICY. The Audit Committee is required to pre-approve audit and non-audit services performed for the Funds by the independent accountant in order to assure that the provision of such services does not impair the accountant's independence. The Audit Committee also is required to pre-approve non-audit services performed by the Funds' independent accountant for the Funds investment adviser, and certain of the adviser's affiliates that provide ongoing services to the Funds, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Funds. The pre-approval of these services also is intended to assure that the provision of the services does not impair the accountant's independence. Unless a type of service to be provided by the independent accountant has received pre-approval, it will require separate pre-approval by the Audit Committee. Also, any proposed services exceeding pre-approved cost levels will require separate pre-approval by the Audit Committee. When considering services for pre-approval the Audit committee will take into account such matters as it deems appropriate or advisable, including applicable rules regarding auditor independence. The Audit Committee may delegate pre-approval authority to one or more of its members. The member or members to whom such authority is delegated shall report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent accountant and the Funds' treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC's rules on auditor independence. Management will promptly report to the Chair of the Audit Committee any violation of this Policy which it becomes aware. (e) (2) 100% of services described in paragraphs (b) through (d) were approved by the Audit Committee. (f) Not applicable. (g) The aggregate non-audit fees billed by PWC for services rendered to the Registrant and the Registrant's investment advisor, Diversified Investment Advisors ("DIA") for 2003 and 2002, were $173,000 and $132,500, respectively. The fees rendered were in connection with the examination of DIA's record-keeping operations (SAS-70), and in connection with the review of DIA's Transfer Agent's internal control structure. All such fees were incurred by and paid for by DIA. (h) PWC provided non-audit services to DIA in 2003 and 2002 that were not required to be pre-approved by the Registrant's audit committee because the services were not directly related to the operation of the Registrant's funds. The Board of Trustees will consider PWC's independence and will consider whether the provision of these non-audit services to DIA is compatible with maintaining PWC's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. Reserved ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable ITEM 8. Reserved ITEM 9. CONTROLS AND PROCEDURES (a) The Registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized, and reported timely. (b) The Registrant's principal executive officer and principal financial officer are aware of no changes in the Registrant's internal control over financial reporting that occurred during the Registrant's most recent fiscal six-month period that has materially affected, or is likely to materially affect, the Registrant's internal control over financial reporting. ITEM 10. Exhibits. (a) (1) Code of Ethics. (a) (2) Separate certifications by the Registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached. (b) A certification by the Registrant's principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached. 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. Diversified Investors Strategic Variable Funds By /s/ Mark Mullin Mark Mullin Principal Executive Officer Date March 8, 2004 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/ Mark Mullin Mark Mullin Principal Executive officer Date March 8, 2004 By /s/ Joseph Carusone Joseph Carusone Principal Financial Officer Date March 8, 2004