N-CSR 1 y04677srnvcsr.txt DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS 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, 2004 Date of reporting period: December 31, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. THE DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS DIVERSIFIED INVESTORS VARIABLE FUNDS DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS ANNUAL REPORT December 31, 2004 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: An Explanation of Fund Expenses............................. 2 Statements of Assets and Liabilities........................ 6 Statements of Operations.................................... 8 Statements of Changes in Net Assets -- December 31, 2004.... 10 Statements of Changes in Net Assets -- December 31, 2003.... 12 CALVERT SUBACCOUNT: Statement of Assets and Liabilities....................... 14 Statement of Operations................................... 15 Statements of Changes in Net Assets....................... 16 Notes to Financial Statements............................... 17 Report of Independent Registered Public Accounting Firm..... 26 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS: An Explanation of Fund Expenses............................. 27 Statements of Assets and Liabilities........................ 28 Statements of Operations.................................... 29 Statements of Changes in Net Assets -- December 31, 2004.... 30 Statements of Changes in Net Assets -- December 31, 2003.... 31 PORTFOLIOS OF INVESTMENTS: Short Horizon Strategic Variable Fund....................... 32 Intermediate Horizon Strategic Variable Fund................ 33 Intermediate Long Horizon Strategic Variable Fund........... 34 Portfolio Composition....................................... 35 Notes to Financial Statements............................... 36 Report of Independent Registered Public Accounting Firm..... 41 DIVERSIFIED INVESTORS PORTFOLIOS: Annual Economic Overview.................................... 42 Statements of Assets and Liabilities........................ 50 Statements of Operations.................................... 52 Statements of Changes in Net Assets -- December 31, 2004.... 54 Statements of Changes in Net Assets -- December 31, 2003.... 56 PORTFOLIOS OF INVESTMENTS: Money Market Portfolio...................................... 58 High Quality Bond Portfolio................................. 60 Intermediate Government Bond Portfolio...................... 67 Core Bond Portfolio......................................... 69 Balanced Portfolio.......................................... 83 Value & Income Portfolio.................................... 98 Growth & Income Portfolio................................... 101 Equity Growth Portfolio..................................... 106 Mid-Cap Value Portfolio..................................... 109 Mid-Cap Growth Portfolio.................................... 111 Small-Cap Value Portfolio................................... 113 Special Equity Portfolio.................................... 115 Small-Cap Growth Portfolio.................................. 125 Aggressive Equity Portfolio................................. 127 High Yield Bond Portfolio................................... 129 International Equity Portfolio.............................. 138 Summary of Footnotes and Abbreviations to Portfolios........ 143 Portfolio Composition....................................... 144 Notes to Financial Statements............................... 146 Report of Independent Registered Public Accounting Firm..... 165 Trustees Information........................................ 166 CALVERT SOCIAL BALANCED PORTFOLIO ANNUAL REPORT............. I
DIVERSIFIED INVESTORS VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (UNAUDITED) As a shareholder in a unit investment trust ("Trust") invested in a corresponding series of the Diversified Investors Portfolios, you will bear the ongoing costs of managing the corresponding portfolio in which your Trust invests (such as the investment advisor's fee and other expenses). You will also bear the cost of operating the Trust. The first line of each table shown below, based on an investment of $1,000, will show you how much of your investment (per $1,000) went to the ongoing costs of both your Trust and its corresponding portfolio. The figures are based on the actual total return and the actual expenses incurred for the period July 1, 2004 - December 31, 2004. In order to approximate how much you paid in expenses during the six months, divide your balance by 1,000, and multiply the result by the dollar amount shown under the heading "Expenses Paid During the Period". The second line in each table shown below, also based on an investment of $1,000, is based on the actual expense ratio of your Trust, but assumes a total annual return rate of 5% before expenses. Since the 5% is hypothetical, the ending account values and the expenses paid for the period July 1, 2004 - December 31, 2004 will not be the actual values per $1,000 of your investment. This information is presented so you may compare the cost of owning a Diversified Investors Variable Fund against the cost of owning other funds. Other funds should provide this information based on a hypothetical return of 5% before expenses in their most recent report in order for you to make a fair comparison.
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense MONEY MARKET July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,003.18 $5.59 1.11% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,019.56 $5.63 1.11% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense HIGH QUALITY BOND July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,008.42 $7.52 1.49% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.65 $7.56 1.49% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense INTERMEDIATE GOVERNMENT BOND July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,015.72 $7.65 1.51% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.55 $7.66 1.51% expenses) ----------------------------------------------------------------------------------------------------------------
2 DIVERSIFIED INVESTORS VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (CONTINUED) (UNAUDITED)
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense CORE BOND July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,037.92 $7.68 1.50% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.60 $7.61 1.50% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense BALANCED July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,057.05 $8.27 1.60% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.09 $8.11 1.60% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense VALUE & INCOME July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,078.21 $8.31 1.59% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.14 $8.06 1.59% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense GROWTH & INCOME July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,075.18 $9.13 1.75% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.34 $8.87 1.75% expenses) ----------------------------------------------------------------------------------------------------------------
3 DIVERSIFIED INVESTORS VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (CONTINUED) (UNAUDITED)
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense EQUITY GROWTH July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,058.48 $9.06 1.75% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.34 $8.87 1.75% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense SPECIAL EQUITY July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,070.30 $10.15 1.95% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,015.33 $9.88 1.95% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense AGGRESSIVE EQUITY July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,068.53 $10.35 1.99% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,015.13 $10.08 1.99% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense HIGH YIELD BOND July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,081.54 $8.95 1.71% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.54 $8.67 1.71% expenses) ----------------------------------------------------------------------------------------------------------------
4 DIVERSIFIED INVESTORS VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (CONTINUED) (UNAUDITED)
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense INTERNATIONAL EQUITY July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,143.96 $10.72 1.99% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,015.13 $10.08 1.99% expenses) ----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense CALVERT July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,049.72 $5.67 1.10% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,019.61 $5.58 1.10% expenses) ----------------------------------------------------------------------------------------------------------------
--------------- (1) These figures reflect the expenses of both the Trust and its corresponding portfolio, except for Calvert. The figures for Calvert do not include expenses incurred by the Calvert Social Balanced Portfolio. (2) Please be aware that the expense ratios shown in this table may not match the ratios shown in each fund's financial highlights, as the ratios in the financial highlights reflect the actual ratios over the period January 1, 2004 - December 31, 2004. 5 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2004
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED ----------- ----------- ------------ ----------- ----------- ASSETS: Investment in the Portfolios, at value (Notes 1 and 2)................................................... $40,228,865 $24,437,139 $29,442,645 $61,916,532 $88,672,872 Receivable for units sold.............................. 72,782 3,863 10,279 8,544 16,370 ----------- ----------- ----------- ----------- ----------- Total assets........................................... 40,301,647 24,441,002 29,452,924 61,925,076 88,689,242 ----------- ----------- ----------- ----------- ----------- LIABILITIES: Payable for units redeemed............................. 17,074 2,780 16,496 17,484 29,211 Accrued mortality and expense risk..................... 26,688 22,735 27,671 57,867 81,866 ----------- ----------- ----------- ----------- ----------- Total liabilities...................................... 43,762 25,515 44,167 75,351 111,077 ----------- ----------- ----------- ----------- ----------- NET ASSETS ATTRIBUTABLE TO ANNUITY CONTRACTHOLDERS..... $40,257,885 $24,415,487 $29,408,757 $61,849,725 $88,578,165 =========== =========== =========== =========== =========== ACCUMULATION UNITS..................................... 2,129,128 1,698,725 1,467,906 2,036,065 2,451,834 =========== =========== =========== =========== =========== UNIT VALUE............................................. $ 18.91 $ 14.37 $ 20.03 $ 30.38 $ 36.13 =========== =========== =========== =========== ===========
See notes to financial statements. 6
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY BOND EQUITY ------------ ------------ ------------ ------------ ----------- ---------- ------------- $347,630,775 $138,905,776 $223,662,607 $117,429,154 $59,384,027 $4,593,755 $73,875,289 55,707 29,833 53,590 22,318 25,969 -- 26,868 ------------ ------------ ------------ ------------ ----------- ---------- ----------- 347,686,482 138,935,609 223,716,197 117,451,472 59,409,996 4,593,755 73,902,157 ------------ ------------ ------------ ------------ ----------- ---------- ----------- 77,514 61,317 85,158 28,797 17,300 -- 47,046 319,560 127,657 206,260 107,759 54,412 4,245 66,651 ------------ ------------ ------------ ------------ ----------- ---------- ----------- 397,074 188,974 291,418 136,556 71,712 4,245 113,697 ------------ ------------ ------------ ------------ ----------- ---------- ----------- $347,289,408 $138,746,635 $223,424,779 $117,314,916 $59,338,284 $4,589,510 $73,788,460 ============ ============ ============ ============ =========== ========== =========== 6,901,393 5,739,439 4,783,781 3,617,451 4,092,218 276,841 3,836,891 ============ ============ ============ ============ =========== ========== =========== $ 50.32 $ 24.17 $ 46.70 $ 32.43 $ 14.50 $ 16.58 $ 19.23 ============ ============ ============ ============ =========== ========== ===========
7 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED -------- --------- ------------ ---------- ---------- INVESTMENT INCOME ALLOCATED FROM PORTFOLIOS (NOTE 2): Interest income............................................. $586,784 $ 822,681 $ 873,847 $2,466,766 $1,237,650 Securities lending income (net)............................. -- 1,087 15,277 12,168 7,557 Dividend income............................................. -- -- -- -- 1,116,408 Expenses.................................................... (114,277) (94,582) (123,695) (242,033) (435,782) -------- --------- --------- ---------- ---------- Net investment income (loss) allocated from Portfolios...... 472,507 729,186 765,429 2,236,901 1,925,833 -------- --------- --------- ---------- ---------- EXPENSES (NOTE 4): Mortality and expense risk.................................. 445,612 271,390 340,455 680,394 957,744 Less expenses reimbursed by TFLIC........................... (110,225) -- -- -- -- -------- --------- --------- ---------- ---------- Net expenses................................................ 335,387 271,390 340,455 680,394 957,744 -------- --------- --------- ---------- ---------- NET INVESTMENT INCOME (LOSS)................................ 137,120 457,796 424,974 1,556,507 968,089 -------- --------- --------- ---------- ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) allocated from Portfolios on: Securities................................................ (3,081) 5,623 (89,890) 686,562 5,837,792 Futures, written options and short sales.................. -- -- -- 76,644 55,597 Foreign currency transactions............................. -- -- -- 10,621 (166,452) Change in net unrealized appreciation (depreciation) allocated from Portfolios on: Securities................................................ -- (375,846) (188,402) (415,060) (846,052) Futures, written options and short sales.................. -- -- -- 66,052 72,420 Foreign currency translations............................. -- -- -- 157,854 70,113 -------- --------- --------- ---------- ---------- Net realized and unrealized gains (losses) on investments... (3,081) (370,223) (278,292) 582,673 5,023,418 -------- --------- --------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $134,039 $ 87,573 $ 146,682 $2,139,180 $5,991,507 ======== ========= ========= ========== ==========
See notes to financial statements. 8
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY BOND EQUITY --------------- ------------- ------------- ------------- ------------- ------------- ------------- $ 63,784 $ 12,059 $ 49,334 $ 25,569 $ 10,841 $363,771 $ 18,609 19,529 9,380 11,387 37,333 21,596 -- 49,146 7,250,559 2,389,838 2,729,545 1,011,668 224,635 3,275 1,658,460 (1,561,233) (829,242) (1,394,262) (913,134) (521,975) (25,397) (550,346) ----------- ----------- ----------- ----------- ----------- -------- ----------- 5,772,639 1,582,035 1,396,004 161,436 (264,903) 341,649 1,175,869 ----------- ----------- ----------- ----------- ----------- -------- ----------- 3,571,842 1,427,736 2,367,528 1,196,744 607,045 46,559 698,997 -- -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- -------- ----------- 3,571,842 1,427,736 2,367,528 1,196,744 607,045 46,559 698,997 ----------- ----------- ----------- ----------- ----------- -------- ----------- 2,200,797 154,299 (971,524) (1,035,308) (871,948) 295,090 476,872 ----------- ----------- ----------- ----------- ----------- -------- ----------- 18,608,178 14,026,578 3,376,684 20,462,295 7,877,228 28,117 6,385,441 -- 26,453 -- 34,093 -- -- -- -- -- (21,221) (122) -- (461) (67,586) 15,792,360 (2,050,327) 11,310,023 (7,630,444) (1,200,677) 58,588 4,412,223 -- (3,507) -- (4,843) -- -- -- -- -- 27,835 (14) -- (26) 78,236 ----------- ----------- ----------- ----------- ----------- -------- ----------- 34,400,538 11,999,197 14,693,321 12,860,965 6,676,551 86,218 10,808,314 ----------- ----------- ----------- ----------- ----------- -------- ----------- $36,601,335 $12,153,496 $13,721,797 $11,825,657 $ 5,804,603 $381,308 $11,285,186 =========== =========== =========== =========== =========== ======== ===========
9 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2004
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED ------------ ----------- ------------ ------------ ------------ FROM OPERATIONS: Net investment income (loss)....................... $ 137,120 $ 457,796 $ 424,974 $ 1,556,507 $ 968,089 Net realized gains (losses) allocated from Portfolios on: Securities....................................... (3,081) 5,623 (89,890) 686,562 5,837,792 Futures, written options and short sales......... -- -- -- 76,644 55,597 Foreign currency transactions.................... -- -- -- 10,621 (166,452) Change in net unrealized appreciation (depreciation) allocated from Portfolios on: Securities....................................... -- (375,846) (188,402) (415,060) (846,052) Futures, written options and short sales......... -- -- -- 66,052 72,420 Foreign currency translations.................... -- -- -- 157,854 70,113 ------------ ----------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations.................................. 134,039 87,573 146,682 2,139,180 5,991,507 ------------ ----------- ------------ ------------ ------------ FROM UNIT TRANSACTIONS (NOTE 5): Units sold......................................... 60,742,803 6,678,777 6,722,868 11,684,652 13,896,394 Units redeemed..................................... (65,471,805) (8,028,632) (11,991,282) (15,520,053) (21,009,195) ------------ ----------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from unit transactions........................... (4,729,002) (1,349,855) (5,268,414) (3,835,401) (7,112,801) ------------ ----------- ------------ ------------ ------------ Total increase (decrease) in net assets............ (4,594,963) (1,262,282) (5,121,732) (1,696,221) (1,121,294) NET ASSETS: Beginning of year.................................. 44,852,848 25,677,769 34,530,489 63,545,946 89,699,459 ------------ ----------- ------------ ------------ ------------ End of year........................................ $ 40,257,885 $24,415,487 $ 29,408,757 $ 61,849,725 $ 88,578,165 ============ =========== ============ ============ ============ Units outstanding beginning of year................ 2,380,101 1,792,768 1,731,895 2,165,116 2,659,711 Units sold......................................... 3,221,154 465,457 336,189 393,480 405,591 Units redeemed..................................... (3,472,127) (559,500) (600,178) (522,531) (613,468) ------------ ----------- ------------ ------------ ------------ Units outstanding end of year...................... 2,129,128 1,698,725 1,467,906 2,036,065 2,451,834 ============ =========== ============ ============ ============
See notes to financial statements. 10
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY BOND EQUITY ------------ ------------ ------------ ------------ ------------ ---------- ------------- $ 2,200,797 $ 154,299 $ (971,524) $ (1,035,308) $ (871,948) $ 295,090 $ 476,872 18,608,178 14,026,578 3,376,684 20,462,295 7,877,228 28,117 6,385,441 -- 26,453 -- 34,093 -- -- -- -- -- (21,221) (122) -- (461) (67,586) 15,792,360 (2,050,327) 11,310,023 (7,630,444) (1,200,677) 58,588 4,412,223 -- (3,507) -- (4,843) -- -- -- -- -- 27,835 (14) -- (26) 78,236 ------------ ------------ ------------ ------------ ------------ ---------- ------------ 36,601,335 12,153,496 13,721,797 11,825,657 5,804,603 381,308 11,285,186 ------------ ------------ ------------ ------------ ------------ ---------- ------------ 45,173,442 25,581,984 28,345,032 28,055,549 14,369,916 1,043,834 13,533,361 (52,388,107) (29,625,135) (41,770,419) (28,347,474) (16,663,358) (927,370) (11,753,685) ------------ ------------ ------------ ------------ ------------ ---------- ------------ (7,214,665) (4,043,151) (13,425,387) (291,925) (2,293,442) 116,464 1,779,676 ------------ ------------ ------------ ------------ ------------ ---------- ------------ 29,386,670 8,110,345 296,410 11,533,732 3,511,161 497,772 13,064,862 317,902,738 130,636,290 223,128,369 105,781,184 55,827,123 4,091,738 60,723,598 ------------ ------------ ------------ ------------ ------------ ---------- ------------ $347,289,408 $138,746,635 $223,424,779 $117,314,916 $ 59,338,284 $4,589,510 $ 73,788,460 ============ ============ ============ ============ ============ ========== ============ 7,055,567 5,922,680 5,092,408 3,633,570 4,268,033 269,658 3,737,216 971,881 1,149,500 650,040 933,980 1,087,866 66,937 801,725 (1,126,055) (1,332,741) (958,667) (950,099) (1,263,681) (59,754) (702,050) ------------ ------------ ------------ ------------ ------------ ---------- ------------ 6,901,393 5,739,439 4,783,781 3,617,451 4,092,218 276,841 3,836,891 ============ ============ ============ ============ ============ ========== ============
11 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2003
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED ------------ ----------- ------------ ------------ ------------ FROM OPERATIONS: Net investment income (loss)....................... $ 81,450 $ 508,130 $ 724,849 $ 1,453,422 $ 878,824 Net realized gains (losses) allocated from Portfolios on: Securities....................................... 154 51,940 1,185,030 1,660,815 (526,325) Futures, written options and short sales......... -- -- -- (386,815) (80,596) Foreign currency transactions.................... -- -- -- (468,351) (287,151) Change in net unrealized appreciation (depreciation) allocated from Portfolios on: Securities....................................... -- (308,680) (1,684,576) (288,960) 12,815,747 Futures, written options and short sales......... -- -- -- 225,280 67,959 Foreign currency translations.................... -- -- -- (365,095) (140,105) ------------ ----------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations.................................. 81,604 251,390 225,303 1,830,296 12,728,353 ------------ ----------- ------------ ------------ ------------ FROM UNIT TRANSACTIONS (NOTE 5): Units sold......................................... 122,511,759 10,838,913 10,816,688 22,554,098 15,052,461 Units redeemed..................................... (126,304,275) (7,258,587) (19,786,134) (15,662,931) (17,655,121) ------------ ----------- ------------ ------------ ------------ Net increase (decrease) in net assets resulting from unit transactions........................... (3,792,516) 3,580,326 (8,969,446) 6,891,167 (2,602,660) ------------ ----------- ------------ ------------ ------------ Total 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 sold......................................... 6,504,045 757,650 542,800 774,067 487,099 Units redeemed..................................... (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. 12
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY BOND EQUITY ------------ ------------ ------------ ------------ ------------ ----------- ------------- $ 2,248,079 $ (89,658) $ (1,352,741) $ (912,993) $ (809,948) $ 363,444 $ 14,466 (2,733,678) (2,315,051) (7,249,282) 7,939,862 4,454,796 271,377 (2,056,190) -- 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 -- 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 ------------ ------------ ------------ ------------ ------------ ----------- ------------ 45,691,539 28,474,589 46,113,086 25,358,358 13,453,776 635,808 63,431,708 (51,086,300) (21,544,926) (31,248,041) (18,638,471) (11,362,699) (2,862,804) (65,530,260) ------------ ------------ ------------ ------------ ------------ ----------- ------------ (5,394,761) 6,929,663 14,865,045 6,719,887 2,091,077 (2,226,996) (2,098,552) ------------ ------------ ------------ ------------ ------------ ----------- ------------ 58,457,042 30,447,140 57,644,275 36,174,170 13,478,050 (1,130,071) 13,198,392 259,445,696 100,189,150 165,484,094 69,607,014 42,349,073 5,221,809 47,525,206 ------------ ------------ ------------ ------------ ------------ ----------- ------------ $317,902,738 $130,636,290 $223,128,369 $105,781,184 $ 55,827,123 $ 4,091,738 $ 60,723,598 ============ ============ ============ ============ ============ =========== ============ 7,207,058 5,579,094 4,727,738 3,405,431 4,103,500 435,401 3,862,561 1,168,198 1,461,839 1,173,248 1,022,300 1,165,293 46,609 5,099,198 (1,319,689) (1,118,253) (808,578) (794,161) (1,000,760) (212,352) (5,224,543) ------------ ------------ ------------ ------------ ------------ ----------- ------------ 7,055,567 5,922,680 5,092,408 3,633,570 4,268,033 269,658 3,737,216 ============ ============ ============ ============ ============ =========== ============
13 DIVERSIFIED INVESTORS VARIABLE FUNDS CALVERT SUBACCOUNT STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2004 ASSETS: Investments at cost......................................... $42,070,086 =========== Investments at value (Note 6)............................... $40,381,897 Receivable for units sold................................... 24,710 ----------- Total assets................................................ 40,406,607 ----------- LIABILITIES: Payable for units redeemed.................................. 72 Payable for securities purchased............................ 24,637 Accrued mortality and expense risk.......................... 37,285 ----------- Total liabilities........................................... 61,994 ----------- NET ASSETS ATTRIBUTABLE TO ANNUITY CONTRACTHOLDERS.......... $40,344,613 =========== ACCUMULATION UNITS.......................................... 1,447,441 =========== UNIT VALUE.................................................. $ 27.87 ===========
See notes to financial statements. 14 DIVERSIFIED INVESTORS VARIABLE FUNDS CALVERT SUBACCOUNT STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004 INVESTMENT INCOME (NOTE 2): Dividend income............................................. $ 660,405 EXPENSES (NOTE 4): Mortality and expense risk.................................. 415,227 ---------- NET INVESTMENT INCOME (LOSS)................................ 245,178 ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) from securities................. (388,818) Change in net unrealized appreciation (depreciation) on securities................................................ 2,802,137 ---------- Net realized and unrealized gains (losses) on investments... 2,413,319 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $2,658,497 ==========
See notes to financial statements. 15 DIVERSIFIED INVESTORS VARIABLE FUNDS CALVERT SUBACCOUNT STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, ------------------------- 2004 2003 ----------- ----------- FROM OPERATIONS: Net investment income (loss)................................ $ 245,178 $ 284,989 Net realized gains (losses) from securities................. (388,818) (366,181) Change in net unrealized appreciation (depreciation) on securities................................................ 2,802,137 5,658,606 ----------- ----------- Net increase (decrease) in net assets resulting from operations................................................ 2,658,497 5,577,414 ----------- ----------- FROM UNIT TRANSACTIONS (NOTE 5): Units sold.................................................. 7,151,803 7,253,821 Units redeemed.............................................. (6,011,153) (7,166,551) ----------- ----------- Net increase (decrease) in net assets from unit transactions.............................................. 1,140,650 87,270 ----------- ----------- Total increase (decrease) in net assets..................... 3,799,147 5,664,684 NET ASSETS: Beginning of year........................................... 36,545,466 30,880,782 ----------- ----------- End of year................................................. $40,344,613 $36,545,466 =========== =========== Units outstanding beginning of year......................... 1,403,970 1,400,341 Units sold.................................................. 270,209 305,625 Units redeemed.............................................. (226,738) (301,996) ----------- ----------- Units outstanding end of year............................... 1,447,441 1,403,970 =========== ===========
See notes to financial statements. 16 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"), a wholly-owned subsidiary of AEGON USA, Inc. ("AEGON"), under the laws of the State of New York. AEGON is a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON is an indirect, wholly-owned subsidiary of AEGON N.V., a corporation based in The Netherlands which is a publicly traded international insurance group. DIVF operates as a unit investment trust under the Investment Company Act of 1940, as amended. 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 financial statements of the Portfolios and Calvert accompany this report. At December 31, 2004, each of the DIVF subaccounts' investment in the corresponding Portfolios was as follows:
PERCENTAGE INVESTMENT SUBACCOUNT IN PORTFOLIO ---------- --------------------- Money Market................................................ 4.97 High Quality Bond........................................... 3.54 Intermediate Government Bond................................ 11.48 Core Bond................................................... 3.74 Balanced.................................................... 21.13 Value & Income.............................................. 12.85 Growth & Income............................................. 12.23 Equity Growth............................................... 9.77 Special Equity.............................................. 9.57 Aggressive Equity........................................... 14.93 High Yield Bond............................................. 1.31 International Equity........................................ 5.27
For information regarding each Portfolio's investments, please refer to the Portfolio Composition section of the Portfolios' financial statements, which accompany this report. 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 Calvert subaccount is valued at the net asset value per share determined as of the close of business of the New York Stock Exchange (typically, 4:00 P.M. Eastern time) on a valuation date. Valuation of securities held in each of the Portfolios is discussed in Note 2A of the Portfolios' Notes to Financial Statements which accompanies this report. A description of the portfolio valuation policy for Calvert can be found in Note A of Calvert's Notes to Financial Statements which accompanies this report. 17 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) B. INVESTMENT INCOME: Each DIVF subaccount is allocated its 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. 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 income and expenses during the reporting period. Actual results could differ from those estimates. 3. INVESTMENT TRANSACTIONS Purchases and sales of shares in Calvert were $4,404,607 and $3,017,242 respectively. The U.S. federal income tax basis of DIVF's investment in the Calvert subaccount at December 31, 2004, was $42,070,086 and net unrealized depreciation for U.S. federal income tax purposes was $1,688,189 (gross unrealized depreciation was $1,688,189). 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. ("Diversified") (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. TFLIC reserves the right to deduct an annual contract charge from a participant's 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. Due to the current interest rate environment, TFLIC has elected to voluntarily waive a portion of its fees to maintain a positive yield in the Money Market Subaccount. TFLIC reserves the right to terminate this waiver without notice. 18 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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 transfer of the applicable assets out of a corresponding MONY separate account and into DIVF. There were no assets transferred to TFLIC pursuant to this assumption reinsurance agreement for the years ended December 31, 2004 and for December 31, 2003. The amounts related to assumptions, if any, would be reflected in the net proceeds from units sold in the Statements of Changes in Net Assets. 6. PORTFOLIO INVESTMENTS Calvert invests in the Calvert Social Balanced Portfolio. At December 31, 2004, it holds 21,571,526 shares with a market value of $40,381,897. 7. SUBSEQUENT EVENTS Diversified Investors Securities Corp. ("DISC") is the distributor for each of the Funds and a subsidiary of the Funds' investment advisor, Diversified Investment Advisors, Inc. ("DIA"). On February 18, 2005, DISC was notified by NASD staff that it had made a preliminary determination to recommend disciplinary action against DISC based on claims of alleged market timing activity in the Diversified Investors International Equity Fund and the Diversified Institutional International Equity Fund (collectively, the "International Equity Funds") between July 1, 2003 and October 31, 2003. NASD staff contends that DISC facilitated certain shareholders' trading in the International Equity Funds in contravention of prospectus provisions that took effect on or about July 1, 2003, and otherwise violated NASD rules. NASD staff also has alleged that DISC violated certain record retention rules relating to email communications. Like many U.S. financial services companies, DISC and DIA have responded to requests for information from various governmental and self-regulatory agencies in connection with investigations related to mutual fund trading activities. DISC and DIA have cooperated fully with each request. Although it is not anticipated that these developments will have an adverse effect on the Funds, there can be no assurance at this time. 8. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. 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. 19 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS For an accumulation unit outstanding throughout the year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS ---------------------------- NET NET REALIZED TOTAL INCOME UNIT UNIT VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM VALUE, BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF FOR THE YEAR ENDED YEAR (LOSS)(#) ON INVESTMENTS OPERATIONS YEAR ------------------ ------------ ---------- -------------- ------------- ------ MONEY MARKET 12/31/2004 $18.84 $0.06 $ 0.01 $ 0.07 $18.91 12/31/2003 18.81 0.03 (0.00)(a) 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 (0.00)(a) 0.93 18.11 HIGH QUALITY BOND 12/31/2004 14.32 0.27 (0.22) 0.05 14.37 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 INTERMEDIATE GOVERNMENT BOND 12/31/2004 19.94 0.27 (0.18) 0.09 20.03 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 CORE BOND 12/31/2004 29.35 0.75 0.28 1.03 30.38 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 BALANCED 12/31/2004 33.73 0.38 2.02 2.40 36.13 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
--------------- (#) Calculated based upon average units outstanding. (1) Portfolio turnover of the Portfolio or the Calvert subaccount. (2) Reimbursement of fees occurs at the underlying Portfolio level. (a) Amount rounds to less than one penny per share. (b) Ratios exclude expenses incurred by the Calvert Social Balanced Portfolio. 20
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- EXPENSES, NET NET INVESTMENT EXPENSES, INCLUDING EXPENSES INVESTMENT INCOME (LOSS) INCLUDING OF THE PORTFOLIO NET ASSETS, TOTAL INCOME (NET OF EXPENSES OF (NET OF PORTFOLIO END OF YEAR RETURN (LOSS) REIMBURSEMENTS) THE PORTFOLIO REIMBURSEMENTS) TURNOVER(1) ------------ ------ ---------- --------------- ------------- ------------------ ----------- $ 40,257,885 0.37% 0.07% 0.34% 1.38% 1.11% N/A 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 24,415,487 0.35 1.86 1.86 1.48 1.48 48% 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 29,408,757 0.45 1.35 1.37 1.52 1.50(2) 554 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 61,849,725 3.51 2.52 2.52 1.49 1.49 885 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 88,578,165 7.12 1.09 1.11 1.62 1.60(2) 338 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
21 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS (CONTINUED) For an accumulation unit outstanding throughout the year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS ----------------------------- NET NET REALIZED TOTAL INCOME UNIT UNIT VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM VALUE, BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF FOR THE YEAR ENDED YEAR (LOSS)(#) ON INVESTMENTS OPERATIONS YEAR ------------------ ------------ ----------- -------------- ------------- ------ VALUE & INCOME 12/31/2004 $45.06 $ 0.32 $ 4.94 $ 5.26 $50.32 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 GROWTH & INCOME 12/31/2004 22.06 0.03 2.08 2.11 24.17 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 EQUITY GROWTH 12/31/2004 43.82 (0.20) 3.08 2.88 46.70 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 SPECIAL EQUITY 12/31/2004 29.11 (0.28) 3.60 3.32 32.43 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
--------------- (#) Calculated based upon average units outstanding. (1) Portfolio turnover of the Portfolio or the Calvert subaccount. (2) Reimbursement of fees occurs at the underlying Portfolio level. (a) Amount rounds to less than one penny per share. (b) Ratios exclude expenses incurred by the Calvert Social Balanced Portfolio. 22
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- EXPENSES, NET NET INVESTMENT EXPENSES, INCLUDING EXPENSES INVESTMENT INCOME (LOSS) INCLUDING OF THE NET ASSETS, TOTAL INCOME (NET OF EXPENSES OF PORTFOLIO(NET OF PORTFOLIO END OF YEAR RETURN (LOSS) REIMBURSEMENTS) THE PORTFOLIO REIMBURSEMENTS) TURNOVER(1) ------------ ------ ---------- --------------- ------------- ------------------ ----------- $347,289,408 11.67% 0.68% 0.68% 1.58% 1.58% 44% 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 138,746,635 9.56 0.12 0.12 1.74 1.74 184 130,636,290 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 223,424,779 6.57 (0.45) (0.45) 1.75 1.75 129 223,128,369 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 117,314,916 11.41 (0.95) (0.95) 1.94 1.94 103 105,781,184 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
23 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS (CONTINUED) For an accumulation unit outstanding throughout the year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS ---------------------------- NET NET REALIZED TOTAL INCOME UNIT UNIT VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM VALUE, BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF FOR THE YEAR ENDED YEAR (LOSS)(#) ON INVESTMENTS OPERATIONS YEAR ------------------ ------------ ---------- -------------- --------------- ------ AGGRESSIVE EQUITY 12/31/2004 $13.08 $(0.21) $ 1.63 $ 1.42 $14.50 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 HIGH YIELD BOND 12/31/2004 15.17 1.09 0.32 1.41 16.58 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 INTERNATIONAL EQUITY 12/31/2004 16.25 0.13 2.85 2.98 19.23 12/31/2003 12.30 0.00(a) 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 CALVERT 12/31/2004 26.03 0.17 1.67 1.84 27.87 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
--------------- (#) Calculated based upon average units outstanding. (1) Portfolio turnover of the Portfolio or the Calvert subaccount. (2) Reimbursement of fees occurs at the underlying Portfolio level. (a) Amount rounds to less than one penny per share. (b) Ratios exclude expenses incurred by the Calvert Social Balanced Portfolio. 24
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- EXPENSES, NET NET INVESTMENT EXPENSES, INCLUDING EXPENSES INVESTMENT INCOME (LOSS) INCLUDING OF THE NET ASSETS, TOTAL INCOME (NET OF EXPENSES OF PORTFOLIO(NET OF PORTFOLIO END OF YEAR RETURN (LOSS) REIMBURSEMENTS) THE PORTFOLIO REIMBURSEMENTS) TURNOVER(1) ----------- ------ ---------- --------------- ------------- ------------------ ----------- $59,338,284 10.86% (1.59)% (1.58)% 2.06% 2.05%(2) 252% 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 4,589,510 9.29 6.97 6.97 1.70 1.70(2) 80 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 73,788,460 18.34 0.75 0.75 1.97 1.97 171 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 40,344,613 7.07 0.65 0.65 1.10(b) 1.10(b) 8 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
25 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of Transamerica Financial Life Insurance Company, Inc. and the Contractholders of Diversified Investors Variable Funds: In our opinion, the accompanying statements of assets and liabilities, 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, 2004, 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 22, 2005 26 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (UNAUDITED) As a shareholder in an open-end management investment company ("Fund") invested in underlying subaccounts of the Diversified Investors Variable Funds ("DIVF"), a unit investment trust, you will bear the ongoing costs of managing the corresponding subaccounts in which your Fund invests. You will also bear the cost of operating the Fund. The first line of each table shown below, based on an investment of $1,000, will show you how much of your investment (per $1,000) went to the ongoing costs of both your Fund and its investments in DIVF. The figures are based on the actual total return and the actual expenses incurred for the period July 1, 2004 - December 31, 2004. In order to approximate how much you paid in expenses during the six months, divide your balance by 1,000, and multiply the result by the dollar amount shown under the heading "Expenses Paid During the Period". The second line in each table shown below, also based on an investment of $1,000, is based on the actual expense ratio of your Fund, but assumes a total annual return rate of 5% before expenses. Since the 5% is hypothetical, the ending account values and the expenses paid for the period July 1, 2004 - December 31, 2004 will not be the actual values per $1,000 of your investment. This information is presented so you may compare the cost of owning a Diversified Investors Strategic Variable Fund against the cost of owning other funds. Other Funds should provide this information based on a hypothetical annual return of 5% before expenses in their most recent report in order for you to make a fair comparison.
Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value July 1, 2004 - Expense SHORT HORIZON July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) Actual $1,000 $1,037.46 $1.02 0.20% Hypothetical (5% annual return before $1,000 $1,024.13 $1.02 0.20% expenses)
Expenses Paid Beginning Account Ending Account During the Period Annualized INTERMEDIATE Value Value July 1, 2004 - Expense HORIZON July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) Actual $1,000 $1,056.58 $1.03 0.20% Hypothetical (5% annual return before $1,000 $1,024.13 $1.02 0.20% expenses)
Expenses Paid INTERMEDIATE Beginning Account Ending Account During the Period Annualized LONG Value Value July 1, 2004 - Expense HORIZON July 1, 2004 December 31, 2004 December 31, 2004(1) Ratio(1)(2) Actual $1,000 $1,064.99 $1.04 0.20% Hypothetical (5% annual return before $1,000 $1,024.13 $1.02 0.20% expenses)
--------------- (1) These figures exclude the fees and expenses of the underlying investments in DIVF. (2) Ratios exclude expenses incurred by the underlying investments in DIVF. 27 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2004
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- ASSETS: Investments in affiliates, at cost....................... $ 9,105,902 $25,618,472 $35,288,265 =========== =========== =========== Investments in affiliates, at value (Notes 1 and 2)...... $10,193,025 $28,724,855 $40,129,153 Receivable for units sold................................ 7,850 6,729 31,714 ----------- ----------- ----------- Total assets............................................. 10,200,875 28,731,584 40,160,867 ----------- ----------- ----------- LIABILITIES: Payable for securities purchased......................... 6,969 6,729 29,338 Payable for units redeemed............................... 881 -- 2,376 Accrued investment advisory fees......................... 1,726 4,832 6,680 ----------- ----------- ----------- Total liabilities........................................ 9,576 11,561 38,394 ----------- ----------- ----------- NET ASSETS............................................... $10,191,299 $28,720,023 $40,122,473 =========== =========== =========== ACCUMULATION UNITS....................................... 694,223 1,853,382 2,497,752 =========== =========== =========== UNIT VALUE............................................... $ 14.68 $ 15.50 $ 16.06 =========== =========== =========== NET ASSETS CONSIST OF: Cost of accumulation units............................... $ 8,472,894 $23,897,614 $34,154,712 Undistributed (accumulated) net realized gains (losses)............................................... 711,021 1,970,296 1,454,585 Undistributed (accumulated) net investment income (loss)................................................. (79,739) (254,270) (327,712) Net unrealized appreciation (depreciation) on investments............................................ 1,087,123 3,106,383 4,840,888 ----------- ----------- ----------- NET ASSETS............................................... $10,191,299 $28,720,023 $40,122,473 =========== =========== ===========
See notes to financial statements. 28 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- INVESTMENT ADVISORY FEES (NOTE 3)........................ $(20,787) $ (53,074) $ (73,223) -------- ---------- ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS IN AFFILIATES (NOTE 2): Net realized gains (losses) on investments in affiliates............................................. 292,665 77,524 244,464 Change in net unrealized appreciation (depreciation) on investments in affiliates.............................. 96,668 1,778,313 2,850,506 -------- ---------- ---------- Net realized and unrealized gains (losses) on investments in affiliates.......................................... 389,333 1,855,837 3,094,970 -------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................. $368,546 $1,802,763 $3,021,747 ======== ========== ==========
See notes to financial statements. 29 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2004
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- FROM OPERATIONS: Investment advisory fees.................................... $ (20,787) $ (53,074) $ (73,223) Net realized gains (losses) on investments in affiliates.... 292,665 77,524 244,464 Change in net unrealized appreciation (depreciation) on investments in affiliates................................. 96,668 1,778,313 2,850,506 ----------- ----------- ----------- Net increase (decrease) in net assets resulting from operations................................................ 368,546 1,802,763 3,021,747 ----------- ----------- ----------- FROM UNIT TRANSACTIONS: Units sold.................................................. 4,511,488 8,560,481 11,189,227 Units redeemed.............................................. (5,193,862) (7,413,592) (8,805,493) ----------- ----------- ----------- Net increase (decrease) in net assets resulting from unit transactions.............................................. (682,374) 1,146,889 2,383,734 ----------- ----------- ----------- Total increase (decrease) in net assets..................... (313,828) 2,949,652 5,405,481 NET ASSETS: Beginning of year........................................... 10,505,127 25,770,371 34,716,992 ----------- ----------- ----------- End of year................................................. $10,191,299 $28,720,023 $40,122,473 =========== =========== =========== Units outstanding beginning of year......................... 742,956 1,775,258 2,340,332 Units sold.................................................. 315,306 581,825 743,202 Units redeemed.............................................. (364,039) (503,701) (585,782) ----------- ----------- ----------- Units outstanding end of year............................... 694,223 1,853,382 2,497,752 =========== =========== ===========
See notes to financial statements. 30 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 in affiliates.... 252,006 (519,806) (403,627) Change in net unrealized appreciation (depreciation) on investments in affiliates................................. 327,167 3,789,465 5,706,874 ----------- ----------- ----------- Net increase (decrease) in net assets resulting from operations................................................ 559,745 3,225,705 5,247,498 ----------- ----------- ----------- FROM UNIT TRANSACTIONS: Units sold.................................................. 4,194,952 6,755,492 11,219,203 Units redeemed.............................................. (3,335,181) (4,345,206) (5,372,554) ----------- ----------- ----------- Net increase (decrease) in net assets resulting from unit transactions.............................................. 859,771 2,410,286 5,846,649 ----------- ----------- ----------- Total increase (decrease) 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 sold.................................................. 305,372 505,206 836,726 Units redeemed.............................................. (243,345) (330,020) (403,159) ----------- ----------- ----------- Units outstanding end of year............................... 742,956 1,775,258 2,340,332 =========== =========== ===========
See notes to financial statements. 31 SHORT HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ----------- INVESTMENTS 171,346 Diversified Investors Variable Funds -- Core Bond........... $ 5,205,000 8,347 Diversified Investors Variable Funds -- Equity Growth....... 389,832 6,073 Diversified Investors Variable Funds -- Growth & Income..... 146,812 186,754 Diversified Investors Variable Funds -- High Quality Bond... 2,684,173 58,506 Diversified Investors Variable Funds -- High Yield Bond..... 969,915 9,559 Diversified Investors Variable Funds -- International Equity.................................................... 183,836 8,418 Diversified Investors Variable Funds -- Money Market........ 159,177 2,272 Diversified Investors Variable Funds -- Special Equity...... 73,687 7,563 Diversified Investors Variable Funds -- Value & Income...... 380,593 ----------- Total Investments -- 100.0% (Cost $9,105,902)............... 10,193,025 Liabilities less other assets -- (0.0%)..................... (1,726) ----------- NET ASSETS -- 100.0%........................................ $10,191,299 =========== The aggregate cost of investments for federal income tax purposes at December 31, 2004 is $9,105,902. The following amount is based on cost for federal income tax purposes: Net unrealized appreciation................................. $ 1,087,123 ===========
See notes to financial statements. 32 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ----------- INVESTMENTS 255,315 Diversified Investors Variable Funds -- Core Bond........... $ 7,755,734 104,786 Diversified Investors Variable Funds -- Equity Growth....... 4,893,999 77,194 Diversified Investors Variable Funds -- Growth & Income..... 1,866,105 267,367 Diversified Investors Variable Funds -- High Quality Bond... 3,842,809 84,155 Diversified Investors Variable Funds -- High Yield Bond..... 1,395,129 123,343 Diversified Investors Variable Funds -- International Equity.................................................... 2,372,040 44,565 Diversified Investors Variable Funds -- Money Market........ 842,648 28,405 Diversified Investors Variable Funds -- Special Equity...... 921,190 96,086 Diversified Investors Variable Funds -- Value & Income...... 4,835,201 ----------- Total Investments -- 100.0% (Cost $25,618,472).............. 28,724,855 Liabilities less other assets -- (0.0%)..................... (4,832) ----------- NET ASSETS -- 100.0%........................................ $28,720,023 =========== The aggregate cost of investments for federal income tax purposes at December 31, 2004 is $25,618,472. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 3,156,611 Gross unrealized depreciation............................... (50,228) ----------- Net unrealized appreciation................................. $ 3,106,383 ===========
See notes to financial statements. 33 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ----------- INVESTMENTS 215,399 Diversified Investors Variable Funds -- Core Bond........... $ 6,543,192 202,963 Diversified Investors Variable Funds -- Equity Growth....... 9,479,310 149,454 Diversified Investors Variable Funds -- Growth & Income..... 3,612,935 216,893 Diversified Investors Variable Funds -- High Quality Bond... 3,117,359 69,048 Diversified Investors Variable Funds -- High Yield Bond..... 1,144,678 236,130 Diversified Investors Variable Funds -- International Equity.................................................... 4,541,092 38,289 Diversified Investors Variable Funds -- Money Market........ 723,976 54,350 Diversified Investors Variable Funds -- Special Equity...... 1,762,596 182,904 Diversified Investors Variable Funds -- Value & Income...... 9,204,015 ----------- Total Investments -- 100.0% (Cost $35,288,265).............. 40,129,153 Liabilities less other assets -- (0.0%)..................... (6,680) ----------- NET ASSETS -- 100.0%........................................ $40,122,473 =========== The aggregate cost of investments for federal income tax purposes at December 31, 2004 is $35,288,265. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 4,975,516 Gross unrealized depreciation............................... (134,628) ----------- Net unrealized appreciation................................. $ 4,840,888 ===========
See notes to financial statements. 34 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS PORTFOLIO COMPOSITION DECEMBER 31, 2004 The following charts summarize the portfolio composition of each Fund by asset type. SHORT HORIZON STRATEGIC VARIABLE FUND Money Market Funds.......................................... 1.6% Fixed Income Funds.......................................... 86.9 Domestic Equity Funds....................................... 9.7 International Equity Funds.................................. 1.8 Liabilities less other assets............................... (0.0) ----- 100.0% ===== INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND Money Market Funds.......................................... 2.9% Fixed Income Funds.......................................... 45.2 Domestic Equity Funds....................................... 43.6 International Equity Funds.................................. 8.3 Liabilities less other assets............................... (0.0) ----- 100.0% ===== INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND Money Market Funds.......................................... 1.8% Fixed Income Funds.......................................... 26.9 Domestic Equity Funds....................................... 60.0 International Equity Funds.................................. 11.3 Liabilities less other assets............................... (0.0) ----- 100.0% =====
See notes to financial statements. 35 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, as amended (the "1940 Act"), 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 (individually, a "Fund" and 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") except the Balanced and Calvert subaccounts. DIVF is a separate investment account offering thirteen subaccounts, each with a different investment objective. DIVF operates as a unit investment trust under the 1940 Act. 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 (typically, 4:00 P.M. Eastern time) 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"), a wholly-owned subsidiary of AEGON USA, Inc. ("AEGON"). AEGON is a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON is an indirect, wholly-owned subsidiary of AEGON N.V., a corporation based in The Netherlands which is a publicly traded international insurance group. 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 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, under which the Advisor provides general investment advice to each Fund. For providing these services and facilities and for bearing the related 36 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) 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. 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 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 period ended December 31, 2004, was as follows:
COST OF PROCEEDS PURCHASES FROM SALES ----------- ----------- Short Horizon Strategic Variable Fund....................... $ 5,225,428 $ 5,928,733 Intermediate Horizon Strategic Variable Fund................ 8,607,695 7,513,592 Intermediate Long Horizon Strategic Variable Fund........... 14,833,256 12,522,177
5. SUBSEQUENT EVENTS Diversified Investors Securities Corp. ("DISC") is the distributor for each of the Funds and a subsidiary of the Funds' investment advisor, Diversified Investment Advisors, Inc. ("DIA"). On February 18, 2005, DISC was notified by NASD staff that it had made a preliminary determination to recommend disciplinary action against DISC based on claims of alleged market timing activity in the Diversified Investors International Equity Fund and the Diversified Institutional International Equity Fund (collectively, the "International Equity Funds") between July 1, 2003 and October 31, 2003. NASD staff contends that DISC facilitated certain shareholders' trading in the International Equity Funds in contravention of prospectus provisions that took effect on or about July 1, 2003, and otherwise violated NASD rules. NASD staff also has alleged that DISC violated certain record retention rules relating to email communications. Like many U.S. financial services companies, DISC and DIA have responded to requests for information from various governmental and self-regulatory agencies in connection with investigations related to mutual fund trading activities. DISC and DIA have cooperated fully with each request. Although it is not anticipated that these developments will have an adverse effect on the Funds, there can be no assurance at this time. 37 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 6. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. 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. 7. PROXY VOTING POLICIES AND PROCEDURES Since each Fund invests all its assets among DIVF, which, in turn, invests all its assets in a corresponding portfolio of Diversified Investors Portfolios ("Portfolios"), the Funds themselves do not vote on proxies. A description of the proxy voting policies and procedures is included in the Statement of Additional Information, which is available without charge, upon request: (i) by calling 1-800-755-5803; (ii) on the Advisor's website at www.divinvest.com (Click on the icon for Sponsors, then click on the icon for Corporate, then click on Investments) or (iii) on the SEC's website at www.sec.gov. In addition, the Portfolios will be required to file Form N-PX, with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. The filing for the twelve months ended June 30, 2004, is currently available without charge, upon request. 8. QUARTERLY PORTFOLIOS The Funds will file their portfolios of investments for the first and third quarters (March 31 and September 30, respectively) with the SEC by May 30 and November 29, respectively, each year on Form N-Q. The Funds' Form N-Q is available on the SEC's website at www.sec.gov. You may also obtain a copy of Form N-Q without charge, upon request, by calling 1-800-755-5803. Form N-Q for the corresponding Portfolios is also available without charge on the SEC website or by calling 1-800-755-5803. 9. FINANCIAL HIGHLIGHTS For an accumulation unit outstanding throughout the year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS ------------------------ NET REALIZED AND TOTAL UNIT NET UNREALIZED INCOME UNIT NET FOR THE VALUE, INVESTMENT GAINS (LOSS) FROM VALUE, ASSETS, YEAR BEGINNING OF INCOME (LOSSES) ON INVESTMENT END OF TOTAL END OF ENDED YEAR (LOSS)* INVESTMENTS OPERATIONS YEAR RETURN YEAR ------- ------------ ---------- ----------- ----------- ------ ------ ----------- SHORT HORIZON STRATEGIC VARIABLE FUND 12/31/2004 $14.14 $(0.03) $ 0.57 $ 0.54 $14.68 3.82% $10,191,299 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 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND 12/31/2004 14.52 (0.03) 1.01 0.98 15.50 6.75 28,720,023 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 RATIOS TO AVERAGE NET ASSETS --------------------- NET FOR THE INVESTMENT PORTFOLIO YEAR INCOME TURNOVER ENDED EXPENSES (LOSS) RATE ------- -------- ---------- --------- SHORT HORIZON STRATEG 12/31/2004 0.20% (0.20)% 50% 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 INTERMEDIATE HORIZON 12/31/2004 0.20 (0.20) 28 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
38 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS (CONTINUED)
INCOME (LOSS) FROM INVESTMENT OPERATIONS ------------------------ NET REALIZED AND TOTAL UNIT NET UNREALIZED INCOME UNIT NET FOR THE VALUE, INVESTMENT GAINS (LOSS) FROM VALUE, ASSETS, YEAR BEGINNING OF INCOME (LOSSES) ON INVESTMENT END OF TOTAL END OF ENDED YEAR (LOSS)* INVESTMENTS OPERATIONS YEAR RETURN YEAR ------- ------------ ---------- ----------- ----------- ------ ------ ----------- INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND 12/31/2004 $14.83 $(0.03) $ 1.26 $ 1.23 $16.06 8.29% $40,122,473 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 RATIOS TO AVERAGE NET ASSETS --------------------- NET FOR THE INVESTMENT PORTFOLIO YEAR INCOME TURNOVER ENDED EXPENSES (LOSS) RATE ------- -------- ---------- --------- INTERMEDIATE LONG HOR 12/31/2004 0.20% (0.20)% 34% 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
--------------- * Calculated based upon average units outstanding. 10. INVESTMENTS IN AFFILIATES The market value of investments in affiliates (as defined in the 1940 Act, "Affiliated Companies" are those in which the Trust is under common control with an affiliated entity) at December 31, 2004 totaled $10,193,025, $28,724,855 and $40,129,153, 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 UNITS UNITS ENDING PURCHASE SALE GAIN/(LOSS) UNITS PURCHASED SOLD UNITS COST COST ON SALES --------- --------- ------- ------- ----------- ----------- ----------- SHORT HORIZON STRATEGIC VARIABLE FUND ------------------------------------- INVESTMENTS: Diversified Investors Variable Funds -- Core Bond................. 190,431 8,423 27,508 171,346 $ 248,916 $ 625,506 $191,206 Diversified Investors Variable Funds -- Equity Growth............. 7,863 750 266 8,347 30,426 10,198 559 Diversified Investors Variable Funds -- Growth & Income........... 6,147 178 252 6,073 3,711 4,828 495 Diversified Investors Variable Funds -- High Quality Bond......... 195,396 20,930 29,572 186,754 300,423 342,412 81,227 Diversified Investors Variable Funds -- High Yield Bond........... 62,438 -- 3,932 58,506 -- 47,667 13,014 Diversified Investors Variable Funds -- International Equity...... 9,981 74 496 9,559 1,168 6,377 1,446 Diversified Investors Variable Funds -- Money Market.............. 5,411 245,525 242,518 8,418 4,629,548 4,572,428 395 Diversified Investors Variable Funds -- Special Equity............ 2,821 93 642 2,272 2,461 14,472 3,074 Diversified Investors Variable Funds -- Value & Income............ 7,665 198 300 7,563 8,775 12,180 1,249 ----------- ----------- -------- $ 5,225,428 $ 5,636,068 $292,665 =========== =========== ========
39 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 10. INVESTMENTS IN AFFILIATES (CONTINUED) Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING UNITS UNITS ENDING PURCHASE SALE GAIN/(LOSS) UNITS PURCHASED SOLD UNITS COST COST ON SALES --------- --------- ------- ------- ----------- ----------- ----------- INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND ------------------------------------------------ INVESTMENTS: Diversified Investors Variable Funds -- Core Bond................. 256,127 16,522 17,334 255,315 $ 488,057 $ 436,303 $ 80,785 Diversified Investors Variable Funds -- Equity Growth............. 95,670 10,490 1,374 104,786 428,585 75,884 (20,452) Diversified Investors Variable Funds -- Growth & Income........... 75,024 3,616 1,446 77,194 76,313 54,122 (23,660) Diversified Investors Variable Funds -- High Quality Bond......... 262,167 11,060 5,860 267,367 158,285 68,641 15,208 Diversified Investors Variable Funds -- High Yield Bond........... 84,405 671 921 84,155 10,342 11,237 2,980 Diversified Investors Variable Funds -- International Equity...... 121,428 1,915 -- 123,343 30,216 -- -- Diversified Investors Variable Funds -- Money Market.............. 10,944 383,628 350,007 44,565 7,234,369 6,598,778 1,093 Diversified Investors Variable Funds -- Special Equity............ 34,148 466 6,209 28,405 12,492 150,763 19,199 Diversified Investors Variable Funds -- Value & Income............ 93,255 3,785 954 96,086 169,036 40,340 2,371 ----------- ----------- -------- $ 8,607,695 $ 7,436,068 $ 77,524 =========== =========== ======== INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND ------------------------------------------------ INVESTMENTS: Diversified Investors Variable Funds -- Core Bond................. 207,829 26,374 18,804 215,399 $ 770,672 $ 440,661 $112,916 Diversified Investors Variable Funds -- Equity Growth............. 178,692 25,359 1,088 202,963 1,070,672 43,287 844 Diversified Investors Variable Funds -- Growth & Income........... 140,160 11,120 1,826 149,454 243,676 40,202 (1,586) Diversified Investors Variable Funds -- High Quality Bond......... 207,490 22,428 13,025 216,893 319,334 149,471 36,680 Diversified Investors Variable Funds -- High Yield Bond........... 67,565 5,120 3,637 69,048 78,489 42,286 13,862 Diversified Investors Variable Funds -- International Equity...... 226,800 9,905 575 236,130 161,994 8,260 770 Diversified Investors Variable Funds -- Money Market.............. 16,766 612,509 590,986 38,289 11,548,918 11,141,342 1,398 Diversified Investors Variable Funds -- Special Equity............ 63,756 2,600 12,006 54,350 76,364 275,339 53,341 Diversified Investors Variable Funds -- Value & Income............ 174,179 12,373 3,648 182,904 563,137 136,865 26,239 ----------- ----------- -------- $14,833,256 $12,277,713 $244,464 =========== =========== ========
40 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 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, 2004, 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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, 2004 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 22, 2005 41 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW DECEMBER 31, 2004 (UNAUDITED) Investors seemed guarded about the prospects of finishing the year on a positive note, but as the markets cleared several hurdles of uncertainty, capped by the Bush reelection, the major stock indices surged during the last few months of 2004. And while the returns couldn't match the double-digit pace set in 2003, this marks the second straight year that equity markets have been positive -- welcome relief to investors who suffered through the bear market of 2000-2002. Throughout 2004, investors seemed to be waiting for the "all clear." But, positive signals were clouded by less favorable news. The first quarter's "jobless recovery" quickly gave way to concerns about an overheated economy and higher energy prices did nothing to allay these worries. The Federal Reserve began raising interest rates at the end of June which continued during the third quarter. Their actions seemed to reduce inflation concerns, but the economic recovery slowed somewhat. Even as the economy appeared to be hitting its stride in the fourth quarter, the November presidential election loomed large. When the uncertainty was removed, investors expressed their satisfaction with the election results by bidding stock prices up quickly through year-end. While inflation and higher interest rates appeared the biggest threats to the stock and bond markets, those fears were never fully realized. In this regard, 2004 defied history lessons, leaving many experts groping for explanations. It may be that the Federal Reserve tempered concerns by signaling its intentions well in advance of any action. But, most agree that the biggest factor was continued and even increased foreign demand of US bonds. With inflation and higher interest rates held at bay this year, pressure may be building for 2005. Adding to that pressure are the Federal budget and trade deficits as well as the declining value of the dollar. The dollar's drop was significant in 2004, falling between 4% and 8% against other major currencies, and hitting record-lows against the euro. The weak dollar is bad news for other economies, because it hurts their exports to the US. So, foreign governments have an interest in buying the greenback, and with the notable exception of Japan, some have already started to do so. Of particular importance to many currency market observers, is that China has continued to peg its yuan to the dollar, causing it to be undervalued. Some fear that revaluation of the yuan could have considerable implications for the global markets. Whatever action the Chinese government takes, it seems clear that the dollar's relative value will be carefully watched in the year ahead. EQUITY MARKET After three choppy quarters, by September 30 most stock investors were not much further ahead than where they began the year. But, what a difference a quarter can make; for the indices made nearly all of their 2004 gains during the last three months of the year. The broad stock market, as measured by the S&P 500, edged up 9.2% for the quarter, bringing the full year returns to 10.9%. Mid-capitalization stocks did even better, with the Russell Midcap Index posting a 13.7% return for the quarter and finishing the year with a 20.2% return. Among domestic stocks, small-caps, as measured by the Russell 2000 Index, had the highest fourth quarter return of 14.1%, but with an 18.3% return for the year, fell short of the pace set by the mid-caps. Thanks to the declining dollar, international stocks had the best returns of all, with the MSCI EAFE Ex-US Index returning 15.2% in the last three months of 2004 alone, bringing the twelve-month return to 20.8%. Among investment styles, the fourth quarter was fairly evenly split across the capitalization spectrum, with growth edging out value among mid- and small- cap stocks. For the year, value stocks fared better than growth stocks, so the long-awaited rotation to growth was still not fully evident. With oil prices topping $55 a barrel in October, the 2004 returns on energy stocks handsomely outpaced the returns of most other stock sectors. And while the technology sector surged in the fourth quarter, for the twelve months ended December, technology was one of the worst places to have been invested, particularly among semiconductors. 2004 saw some pick-up in IPO activity, including the long-awaited Google deal, and several mergers during the last quarter appeared to add to the overall buoyancy of investor sentiment. Consensus appears to be that 42 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW (CONTINUED) DECEMBER 31, 2004 (UNAUDITED) corporate earnings will continue to grow, albeit at a subdued rate. Generally speaking, companies have strong balance sheets and excess cash that bode well for the year ahead. FIXED INCOME MARKET Anxious about the impact that rising interest rates might have on bond values, bond investors should be pleased to have seen positive returns for the year. Like stocks, bonds had a bumpy ride, but the fact that they survived unscathed -- and even ahead -- surprised even the most experienced investors. After a sharp decline in the third quarter, the yield on the benchmark 10-year Treasury note moved to 4.22% by December 31, up from 4.125% on September 30, but slightly down for the year overall. As a measure of the broad bond market, the Lehman Aggregate Bond Index rose 0.95% during the quarter, adding to the gains earned during the first nine months, to finish the year with a very respectable 4.3% return. All sectors finished in positive territory for both the quarter and the year, with the riskiest and longest duration securities posting the best results. High yield bonds led the pack for the quarter and the year, finishing up 4.5% and 10.9% respectively as measured by the Merrill Lynch High Yield Master II Index. MONEY MARKET SERIES The Money Market Fund invests primarily in short-term, US dollar-denominated money market instruments. Although fixed income investors were not rewarded as much as most equity investors in 2004, a Citigroup Treasury Bill 3-Month Index return of 1.24% was welcomed in a year when the Federal Reserve hiked short rates 125 basis points. Fund returns were positive, and the manager's positioning along the yield curve was the primary driver behind the performance. The view that the Federal Reserve would begin raising the Federal funds target mid-year pointed the manager towards a shorter average maturity in the portfolio. This approach enabled reinvestments in higher rates as the Fed continued to raise rates at a measured pace. The portfolio duration was shortened by selling longer dated fixed rate notes. Currently, portfolio duration is moderately shorter than the benchmark. The treasury yield curve, that flattened dramatically in 2004, should continue on that path; however, trades taking advantage of further curve moves will be evaluated on an opportunistic basis. HIGH QUALITY BOND SERIES The Fund invests in debt issued by the US Government and its agencies as well as asset-backed and corporate fixed income securities, emphasizing short duration and high quality securities. Credit risk-taking was not rewarded early in the year with Treasuries and other high quality sectors faring best. The Fund was well positioned and holdings in the residential mortgage sector were the largest contributors to performance. During April, Treasury yields rose sharply and the portfolio posted negative absolute returns, but was in line with the benchmark. Additive performance was the result of holdings in the residential mortgage sector as well as allocations to the money market sector. Negative returns were primarily generated by the longer than benchmark duration stance of the portfolio early in the quarter. The third quarter found the portfolio ahead of the Merrill Lynch 1-3 year US Treasury Index. The best performing sectors for the portfolio were those with the longest durations, i.e. CMBS, residential mortgage-backed and asset-backed. Furthermore, as spreads were fairly stable over the quarter, the largest contributor of return was the income component. This theme continued into the 4th quarter where the income component again was the main source of return, propelling the portfolio ahead of its benchmark for the quarter. This capped off a volatile 12 months with the Fund aligned with its benchmark, trailing by 2 basis points for the year. In addition to the income component, issue selection in the MBS and ABS sectors were additive during the fourth quarter. 43 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW (CONTINUED) DECEMBER 31, 2004 (UNAUDITED) INTERMEDIATE GOVERNMENT BOND SERIES The Intermediate Government Bond Fund seeks high current income consistent with preservation of capital by investing primarily in intermediate-term US Government and Agency securities. The complementary investment approaches utilized by the two portfolio managers incorporate duration management, yield curve management and opportunistic investments in corporate, asset-backed and mortgage-backed securities. By positioning the portfolio in short maturities with lower coupons to avoid price depreciation, the portfolio lost ground to higher yielding, longer duration indexes in a year of flat ten-year interest rates. As a result, the Fund underperformed for the year. Moving into 2005, the Fund maintains a short duration with an overweight in asset-backed and mortgage-backed securities. CORE BOND SERIES The Core Bond Fund seeks to maximize return through investment in US Government, asset-backed, mortgage-backed and corporate securities and to a lesser extent convertible, high yield and international fixed income securities. The Fund performed in line with the benchmark for the year. Two major themes garnered the majority of the relative performance: yield curve and non-dollar securities. The sub-advisor positioned the portfolio to benefit from rising rates and a flatter yield curve by holding shorter duration securities and maintaining a barbelled position versus the index. Additionally, the manager's exposure to non-dollar securities, based on the belief that the yields on these securities would move lower than comparable US Treasuries, was rewarded. Allocations to spread sectors, primarily corporates and mortgages, were also additive. BALANCED SERIES The Balanced Fund seeks to provide a high total return consistent with a broad diversified mix of stocks, bonds and money market instruments and is managed by two sub-advisors: one overseeing the Fund's equity portion and one managing 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. Market volatility hampered the quantitative model utilized in the equity portion for the first half of the year. The second half of 2004 presented a slightly more stable environment which complemented the approach. For the year, the S&P 500 Index posted a solid 10.9% return which was matched by the equity portion of the portfolio. Returning just over 9%, the fourth quarter accounted for the bulk of the year's performance. 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. A shorter duration position relative to the benchmark was additive for the year and the non-dollar allocation was the other main contributor. The Fund performance captured most of its 8.3% benchmark return, which is 60% S&P500/40% Lehman Aggregate Bond. VALUE & INCOME SERIES The Value & Income Fund seeks long-term capital appreciation primarily through investment in a diversified portfolio of common stocks selling at reasonable valuations relative to their future projected earnings. The Fund utilizes a combination of deep and relative value sub-styles. The portfolio delivered healthy absolute gains in 2004, outpacing the broad market but lagging its own Russell 1000 Value Index, which returned 16.5%. Stock selection in media and an overweight in pharmaceuticals detracted from relative returns for the year. These groups were hit by intense negative publicity throughout the year. In addition, the portfolio had a 44 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW (CONTINUED) DECEMBER 31, 2004 (UNAUDITED) weighted average market capitalization above its benchmark. In an environment where small-capitalization stocks outperformed their mid- and large-capitalization counterparts, this higher market capitalization was a detractor. GROWTH & INCOME SERIES The Growth & Income Fund invests in a diversified portfolio of stocks which have the potential to generate long-term capital appreciation and current dividend income. The Fund was restructured in May to utilize three sub-advisors, each with a specific role. The structured core component, sub-advised by Goldman Sachs Asset Management, applies a quantitative model and tracks the benchmark risk closely, while the active value and growth components seek to add more value through fundamental stock selection. The complementary sub-advisors are Ark Asset Management (growth style) and Aronson+Johnson+Ortiz, LP (value style). The restructuring proved beneficial for 2004 as all three managers performed well relative to their respective style benchmarks. For the year, the Fund's performance was in line with the S&P 500 Index return of 10.9%. The Fund's stock selection in aggregate remained strong for the year, especially in the household durables industry of the consumer discretionary sector. Sector allocations, however, had less of an impact on relative performance. Among the top twenty-five holdings at the end of 2004, almost half of the names were also among the top performers in the Fund for the year, including Exxon Mobil Corp., General Electric Company, eBay, Inc. and Johnson & Johnson. EQUITY GROWTH SERIES The Equity Growth Fund seeks to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks with the potential for above-average growth in earnings. The Fund utilizes a multi-managed approach with complementary large capitalization growth styles. During the year, the Fund was restructured and a sub-advisor was removed so that the Fund now has just two sub-advisors: Ark Asset Management and Marsico Capital Management. The Fund outperformed its Russell 1000 Growth benchmark, which returned 6.3% for the year. The best performing sectors -- Utilities, Telecommunications and Energy -- also had the smallest weightings in the Index. As expected, stock selection was the main driver of the Fund's performance. Consumer Discretionary, Healthcare and Financial sectors and names were the main contributors while Information Technology -- a major growth sector -- was flat. The top five performing stocks in the portfolio were UnitedHealth Group Inc., eBay, Inc., QUALCOMM, Inc., General Electric Company and YAHOO!, Inc. MID-CAP VALUE SERIES The Mid-Cap Value Fund has a value-oriented investment philosophy grounded in identifying opportunities among companies undergoing material strategic change. The Mid-Cap Value Fund outperformed the Russell Mid Cap Value Index for the year. A large portion of the excess return was generated from stock selection in the Healthcare, Consumer Staples and Financial sectors. The portfolio returned 37% vs. the Index return of 11% in Healthcare, 51% vs. 21% in Consumer Staples and 30% vs. 25% in Financials. In addition to strong stock selection in Healthcare, an overweight of 5% to the sector was also additive. From a security standpoint the top three contributors for the year were TXU Corp. (Utilities), Brascan Corp. (Financial Services) and CR Bard, Inc. (Healthcare). To close out the year, companies continued to build substantial liquidity positions and 2005 could become a notable year for capital redeployment via mergers and acquisitions, spin offs, large stock buybacks and meaningful dividend increases. The portfolio investment process is dedicated to discovering companies that are efficient in the execution of this process and given the current environment, should find interesting opportunities in the upcoming year. 45 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW (CONTINUED) DECEMBER 31, 2004 (UNAUDITED) MID-CAP GROWTH SERIES The Mid-Cap Growth Fund seeks a high level of capital appreciation through investment in a diversified portfolio of medium size, growth-oriented companies. At the end of the third quarter, the incumbent sub-advisor was replaced by Columbus Circle Investors. Equity performance during the fourth quarter was the strongest of the year, helping to generate 10% to 20% returns for 2004 and leaving stocks at the highest levels in three years despite continued Iraqi violence, resumed US dollar decline, and the Federal Reserve raising short-term interest rates twice. A confluence of positive events helped power the rally, including a $10 per barrel drop in the price of oil, a definitive outcome to the US Presidential election, and heightened merger and acquisition activity. During the fourth quarter, the mid-growth portfolio gained primarily due to the strength in telecommunication services, industrial, consumer discretionary and select technology stocks. Strong fourth quarter returns helped the Fund's one year return. As we enter the new year, capital spending, energy services and export oriented industrial activity are areas of interest as are companies that benefit strong secular trends, such as satellite radio and internet telephony. SMALL-CAP VALUE SERIES The Small-Cap Value Fund's approach to small-cap equity management is fundamental, bottom-up and value oriented. The strategy identifies stocks of quality companies selling at large discounts to the underlying value of the business. Many small- and mid-capitalization stocks surged in price over the last two years. Most impressive have been the gains registered within the value category of the small-cap universe. Specifically, the Russell 2000 Value Index posted a gain of 22.3% for 2004, on the heels of a 46.0% rise in 2003. The Small-Cap Value Fund posted strong returns for 2004. Given the more normal economic and investment environment, the sub-advisor's "normalized" free cash flow methodology was rewarded. Strong stock selection in telecommunication services, materials and information technology was the primary driver for the Fund's calendar year performance. For example, the Fund gained 31.7%, 43.5%, and 21.6%, respectively in these three sectors while the Russell 2000 Value Index only returned (19.6)%, 36.7% and 5.3% for the same three sectors. However, sector allocations, particularly a 3.3% overweight to the telecommunication services sector, which was the only major economic sector in the Russell 2000 Value Index to register a negative return for the year, offset partial gains from strong stock selection. Given the portfolio's emphasis on free cash flow, below are highlighted two examples of how portfolio holdings are adding to intrinsic value. Delta & Pine Land Company (DLP) dominates the cotton seed industry with over 80% share of the market for genetically modified cotton seeds. Its business is stable domestically and claims growth potential overseas. The company has built up a cash balance of more than $150 million with no debt. The sub-advisor has actively worked with DLP's management and board to encourage restructuring the company's balance sheet to return excess cash to shareholders and to introduce debt. The sub-advisor believes DLP's intrinsic value may improve 10-15% through a combination of a reduced share count and lowered weighted average cost of capital. Another company that is restructuring its capital allocations is Post Properties, Inc. (PPS). Unlike many of its REIT counterparts, management of PPS has embarked on a strategy of downsizing the company and taking advantage of high valuations. In an environment where cap rates have reached historic lows of 5%, PPS is selling properties, reducing leverage, and returning capital to shareholders. SPECIAL EQUITY SERIES The Special Equity Fund is managed by five sub-advisors: two small-cap growth managers, two small-cap value managers, and one small-cap core manager. A multiple manager approach is utilized to assist in 46 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW (CONTINUED) DECEMBER 31, 2004 (UNAUDITED) maximizing opportunities and dampening the volatility often associated with small-capitalization stocks. The Fund trailed the Russell 2000 Index for 2004. Stock selection was the primary driver for the underperformance, while sector allocations also had a small negative effect. Holdings that detracted from performance were primarily consumer discretionary names, such as Cox Radio Inc., Emmis Communications Corp., and Ruby Tuesday, Inc. In aggregate, stock selection in the consumer discretionary sector cost the Fund 2.5% in the relative performance, as the Fund returned 5.4% in this sector compared to the benchmark's 18.8%. Additionally, underweighted positions in the top-performing energy and materials sectors, which returned 56.7% and 34.6%, respectively, within the benchmark for the year, further detracted performance. Positive contributors to performance included Peoples Bank Bridgeport, InfoSpace Inc., and CNET Networks. Strong stock selection in the financial sector also added to performance. SMALL-CAP GROWTH SERIES The Small-Cap Growth Fund seeks a high level of capital appreciation through investment in a diversified portfolio of small-growth oriented or emerging growth companies that are believed to offer above average opportunities for long-term price appreciation. The Small-Cap Growth Fund finished the year with strong gains, but relative performance trailed that of the benchmark Russell 2000 Growth Index. The year's relative performance was largely due to stock selection in the technology and healthcare sectors as well as a relative underweight in the energy and basic industry/capital goods sectors. Strong performance in the consumer non-durables sector helped to offset these factors. Among individual names, Urban Outfitters, Inc. was the biggest positive contributor to performance, rising more than 100% during the year as it continued to deliver strong earnings and sales growth. Coach, Inc. also continued to surpass expectations on earnings and sales growth and gained almost 50%. Travel-related firms also did well during the year with Four Seasons Hotels, Inc. delivering returns in excess of 50%. Technology-related stocks comprised many of the worst performing stocks during the year as many companies failed to live up to lofty expectations. O2 Micro International, Ltd., Asyst Technology and Varian Semiconductor Equipment Associates, Inc. are three technology companies in the portfolio that performed poorly during the past year. The sub-advisor exited from Asyst Technology and Varian Semiconductor Equipment Associates, Inc., but opted to continue to hold O2 Micro International, Ltd. For the coming year, the Fund will continue to seek out and hold those companies that have established market leadership and which the sub-advisor feels will be able to post superior earnings and sales growth. AGGRESSIVE EQUITY SERIES The Aggressive Equity Fund seeks to provide long-term capital appreciation through investment in large-capitalization, high-growth companies. The Fund invests in stocks which present an opportunity for significant increases in earnings, revenue and/or value. At the end of the third quarter, the Fund's objective was refined from one of all-capitalization growth to large-capitalization growth. Correspondingly, there was also a change in the Fund's sub-advisor, which is now Turner Investment Partners. The Russell 1000 Growth Index posted 6.3% for the year. Growth lagged value in large part because the best performing sectors -- Utilities, Telecommunications and Energy -- had the smallest weightings in the Growth Index. The Fund relied on stock selection as the main driver of performance for these sectors. Consumer Discretionary, Financial and Information Technology sectors and names were the main contributors while Industrials failed to add value. The top performing stocks in the portfolio included Elan, Cooper Cos., Palmone, Urban Outfitters, Inc., XTO Energy and Apple Computer, Inc. 47 DIVERSIFIED INVESTORS PORTFOLIOS ANNUAL ECONOMIC OVERVIEW (CONTINUED) DECEMBER 31, 2004 (UNAUDITED) HIGH YIELD BOND SERIES The High Yield Bond Fund seeks high current income as is consistent with providing reasonable safety of principal by investing in lower rated, high-yield corporate debt securities. Risk taking continued to be rewarded in 2004 in the high-yield space, as lower rated issues, such as B and CCC, benefited from improving credit ratings and better earnings fundamentals. In addition, such issues tend to be less sensitive to rising interest rates compared to higher rated credit sectors, such as BB. For the year, according to the Merrill Lynch High Yield Master II Index, CCC rated bonds gained 15.7%, followed by the B sector, which returned 10.4%. The BB sector only finished the year with a 9.3% return. The Fund's overweight to the CCC and B sectors at the expense of the BB sector contributed significantly to performance in 2004. Sector allocation decisions, however, had a slightly negative impact on relative performance, including an underweight to the strong energy industry and an overweight to the lagging cable/satellite TV industry. Energy issues in aggregate returned 12.3% for the Index, while cable/satellite TV trailed with a return of 8.3% for the year. In combination, these factors meant that the fund had strong absolute performance in line with the benchmark, but fell short of the 10.9% index return. INTERNATIONAL EQUITY SERIES The International Equity Fund provides access to international stock markets, which represent approximately two-thirds of the investment opportunities available worldwide. The International Equity Fund underwent a sub-advisory change in March as the incumbent was replaced with two style specific managers, Wellington Management Company and LSV Asset Management. The new structure pairs a growth manager, Wellington Management Company, with a value manager, LSV Asset Management. This coupling achieves the Fund objective which is an overall core approach in the international space. The portfolio posted strong returns for the year, slightly trailing the MSCI World Ex-US Index return of 20.8%. Value outpaced growth for the second half of the year to bring it in firmly ahead of growth for 2004. As a result, the slight overweight to value within the portfolio was beneficial. From a cap size perspective, small and mid-caps led performance; therefore, the lower-than-benchmark average market cap for the portfolio was also additive. Looking at country selection, the overall contribution was slightly negative. The UK was the largest allocation (21%) at year end and largest overweight (7%) in the portfolio. Strong stock selection in the UK added to performance. Currency contribution was slightly negative, but is not an alpha generator and is expected to be neutral. 48 (This page intentionally left blank) 49 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2004
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & MARKET BOND BOND BOND BALANCED INCOME ------------ ------------ ------------ -------------- ------------ -------------- ASSETS: Securities, at cost................. $748,623,310 $717,304,799 $350,694,701 $2,171,881,538 $418,696,867 $2,305,368,292 ============ ============ ============ ============== ============ ============== Securities, at value, including investments held as collateral for securities out on loan (Note 4).... $748,623,310 $710,319,325 $350,417,547 $2,180,919,786 $453,538,283 $2,744,291,344 Repurchase agreements (cost equals market)............................ 60,216,832 698,287 6,103,722 46,075,207 8,603,926 66,108,926 Cash................................ -- -- -- -- 19,097 -- Foreign currency holdings, at value (cost $31,058, $3,246 and $15,335,728, respectively)......... -- -- -- 31,276 3,281 -- Receivable for securities sold...... -- -- 10,312,500 236,270,070 24,248,450 996,418 Unrealized appreciation on foreign currency forward contracts......... -- -- -- 2,784,501 303,961 -- Variation margin.................... -- -- -- -- 32,188 -- Interest receivable................. 752,643 4,296,758 1,630,660 14,357,614 1,262,549 10,224 Dividends receivable................ -- -- -- -- 370,179 4,138,415 Foreign tax reclaim receivable...... -- -- -- -- -- 1,879 Receivable from Advisor............. -- -- 20,940 -- 5,991 -- Receivable from securities lending (net).............................. -- 4,305 16,613 8,111 1,991 9,536 ------------ ------------ ------------ -------------- ------------ -------------- Total assets........................ 809,592,785 715,318,675 368,501,982 2,480,446,565 488,389,896 2,815,556,742 ------------ ------------ ------------ -------------- ------------ -------------- LIABILITIES: Due to Advisor...................... 3,362 -- -- 1,220 -- -- Due to Custodian.................... -- -- -- -- -- -- Collateral for securities out on loan............................... -- 24,475,000 64,248,067 357,709,666 24,760,913 108,351,744 Foreign currency due to Custodian, at value (cost $113,948)........... -- -- -- -- -- -- Payable for securities purchased.... -- -- 47,617,584 290,105,164 27,991,206 599,598 Securities sold short, at value (proceeds $168,103,608 and $14,888,708, respectively)......... -- -- -- 167,792,788 14,856,967 -- Unrealized depreciation on foreign currency forward contracts......... -- -- -- 8,811,052 849,714 -- Variation margin.................... -- -- -- 72,047 -- -- Investment advisory fees............ 177,743 204,564 77,951 493,237 159,974 1,020,983 Accrued expenses.................... 59,295 44,733 55,729 93,506 44,433 121,095 Contingent liability (Note 6)....... -- -- -- -- -- -- ------------ ------------ ------------ -------------- ------------ -------------- Total liabilities................... 240,400 24,724,297 111,999,331 825,078,680 68,663,207 110,093,420 ------------ ------------ ------------ -------------- ------------ -------------- NET ASSETS.......................... $809,352,385 $690,594,378 $256,502,651 $1,655,367,885 $419,726,689 $2,705,463,322 ============ ============ ============ ============== ============ ==============
See notes to financial statements. 50
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH -------------- -------------- ------------ ------------ ------------ -------------- ------------ $1,100,909,061 $2,134,500,942 $398,607,948 $224,614,152 $162,178,255 $1,176,986,716 $123,461,318 ============== ============== ============ ============ ============ ============== ============ $1,214,103,718 $2,459,214,200 $452,395,238 $255,104,120 $193,589,256 $1,362,672,110 $137,958,965 7,071,418 41,295,933 22,804,390 5,082,338 1,367,599 26,260,855 1,887,631 -- -- -- -- -- 1,067,441 -- -- -- -- -- -- -- -- 2,615,671 4,690,905 4,318,789 412,396 -- 10,445,848 47,359 -- -- -- -- -- -- -- -- -- -- -- -- 2,295 -- 5,683 14,872 4,854 3,415 1,448 12,059 2,059 1,490,823 2,151,635 395,854 34,242 176,671 1,221,493 22,574 934 654 4,788 -- -- 1,257 214 -- -- 2,397 31,093 4,061 -- 2,271 37,589 13,295 7,426 11,006 1,188 47,078 3,731 -------------- -------------- ------------ ------------ ------------ -------------- ------------ 1,225,325,836 2,507,381,494 479,933,736 260,678,610 195,140,223 1,401,730,436 139,924,804 -------------- -------------- ------------ ------------ ------------ -------------- ------------ 6,673 4,920 -- -- -- -- -- -- 8,998 -- -- -- 5,747 -- 85,014,118 203,440,449 58,613,178 50,393,267 22,031,456 171,006,787 31,366,433 -- -- -- -- -- 117,942 -- 3,719,182 12,057,374 6,351,818 -- 227,162 2,052,639 22,745 -- -- -- -- -- -- -- -- -- -- -- -- 2,369 -- 475 -- -- -- -- -- -- 579,529 1,194,720 228,378 125,524 117,192 895,583 77,619 57,425 115,086 29,683 58,947 28,464 118,627 28,855 -- -- -- -- -- -- -- -------------- -------------- ------------ ------------ ------------ -------------- ------------ 89,377,402 216,821,547 65,223,057 50,577,738 22,404,274 174,199,694 31,495,652 -------------- -------------- ------------ ------------ ------------ -------------- ------------ $1,135,948,434 $2,290,559,947 $414,710,679 $210,100,872 $172,735,949 $1,227,530,742 $108,429,152 ============== ============== ============ ============ ============ ============== ============ AGGRESSIVE HIGH YIELD INTERNATIONAL EQUITY BOND EQUITY ------------ ------------ -------------- $384,745,597 $308,558,949 $1,262,989,346 ============ ============ ============== $438,572,257 $329,712,140 $1,494,028,564 -- 16,169,442 15,085,220 -- -- -- -- -- 15,490,725 3,187,268 1,725,550 17,063,507 -- -- 97,112 -- -- -- 2,643 6,638,496 132,789 83,911 -- 1,255,943 -- -- 630,089 25,897 811 -- 8,840 -- 65,737 ------------ ------------ -------------- 441,880,816 354,246,439 1,543,849,686 ------------ ------------ -------------- -- -- -- 856,129 -- -- 42,298,930 -- 127,122,222 -- -- -- 674,689 2,268,187 14,057,632 -- -- -- -- 3,950 44,823 -- -- -- 261,493 162,774 870,732 62,708 38,992 136,333 -- -- -- ------------ ------------ -------------- 44,153,949 2,473,903 142,231,742 ------------ ------------ -------------- $397,726,867 $351,772,536 $1,401,617,944 ============ ============ ==============
51 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & MARKET BOND BOND BOND BALANCED INCOME ----------- ----------- ------------ ----------- ----------- ------------ INVESTMENT INCOME: Interest income............................. $11,986,198 $22,311,088 $ 7,666,832 $61,599,370 $ 5,956,010 $ 479,807 Securities lending income (net)............. -- 29,633 133,678 301,101 36,417 145,453 Dividend income............................. -- -- -- -- 5,369,252 54,262,719 Less: foreign withholding taxes............. -- -- -- -- -- (204,499) ----------- ----------- ----------- ----------- ----------- ------------ Total income................................ 11,986,198 22,340,721 7,800,510 61,900,471 11,361,679 54,683,480 ----------- ----------- ----------- ----------- ----------- ------------ EXPENSES: Investment advisory fees.................... 2,056,993 2,341,487 948,718 5,404,392 1,887,638 10,846,077 Custody fees................................ 168,276 172,231 84,652 554,099 246,669 472,468 Audit fees.................................. 23,901 28,147 28,494 32,663 27,984 28,851 Legal fees.................................. 35,069 14,456 49,424 33,913 7,534 203,840 Reports to shareholders..................... 35,191 5,627 28,969 13,284 2,564 20,110 Miscellaneous fees.......................... 4,128 3,419 1,407 6,668 5,595 20,801 ----------- ----------- ----------- ----------- ----------- ------------ Total expenses.............................. 2,323,558 2,565,367 1,141,664 6,045,019 2,177,984 11,592,147 Expenses reimbursed by the Advisor.......... -- -- (57,448) -- (80,562) -- ----------- ----------- ----------- ----------- ----------- ------------ Net expenses................................ 2,323,558 2,565,367 1,084,216 6,045,019 2,097,422 11,592,147 ----------- ----------- ----------- ----------- ----------- ------------ NET INVESTMENT INCOME (LOSS)................ 9,662,640 19,775,354 6,716,294 55,855,452 9,264,257 43,091,333 ----------- ----------- ----------- ----------- ----------- ------------ REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS: Net realized gains (losses) on transactions from: Securities................................. (68,909) 151,339 (958,216) 17,584,819 28,014,567 136,210,030 Futures, written options and short sales... -- -- -- 2,034,427 275,477 -- Foreign currency transactions.............. -- -- -- 754,587 (797,829) -- Change in net unrealized appreciation (depreciation) on: Securities................................. -- (10,070,723) (1,623,256) (9,954,093) (4,120,704) 124,599,254 Futures, written options and short sales... -- -- -- 1,831,989 352,272 -- Foreign currency translations.............. -- -- -- 3,018,058 326,110 -- ----------- ----------- ----------- ----------- ----------- ------------ Net realized and unrealized gains (losses) on investments............................. (68,909) (9,919,384) (2,581,472) 15,269,787 24,049,893 260,809,284 ----------- ----------- ----------- ----------- ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $ 9,593,731 $ 9,855,970 $ 4,134,822 $71,125,239 $33,314,150 $303,900,617 =========== =========== =========== =========== =========== ============
See notes to financial statements. 52
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY BOND ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- $ 118,829 $ 486,864 $ 174,747 $ 37,887 $ 41,507 $ 305,771 $ 25,539 $ 103,517 $26,584,824 77,418 110,292 54,391 47,417 32,477 435,904 27,965 114,805 -- 19,764,058 26,963,291 4,272,824 777,190 1,555,269 12,022,367 326,788 1,524,038 238,798 (13,548) (48,306) (42,090) (1,445) -- (11,321) (1,936) (9,998) -- ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 19,946,757 27,512,141 4,459,872 861,049 1,629,253 12,752,721 378,356 1,732,362 26,823,622 ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 6,428,226 12,888,076 2,004,782 1,349,517 1,150,035 10,328,852 836,819 3,401,765 1,702,720 261,661 427,707 100,606 58,237 63,438 371,302 68,091 70,198 122,730 28,263 31,675 22,262 22,178 27,196 29,777 27,172 27,027 29,020 34,733 54,795 6,482 16,529 2,992 38,391 1,934 20,856 8,414 77,203 47,239 2,378 31,075 1,084 40,371 795 32,846 2,650 9,361 17,817 2,590 1,555 1,288 10,889 925 3,221 1,598 ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 6,839,447 13,467,309 2,139,100 1,479,091 1,246,033 10,819,582 935,736 3,555,913 1,867,132 -- -- (42,344) (72,900) (53,146) -- (69,756) (43,307) (8,915) ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 6,839,447 13,467,309 2,096,756 1,406,191 1,192,887 10,819,582 865,980 3,512,606 1,858,217 ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 13,107,310 14,044,832 2,363,116 (545,142) 436,366 1,933,139 (487,624) (1,780,244) 24,965,405 ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 115,263,875 31,940,963 42,407,767 12,882,888 11,963,670 237,402,239 8,624,552 53,282,314 2,115,482 218,837 -- -- -- -- 383,845 -- -- -- -- (195,930) -- -- -- (1,419) -- -- (38,584) (14,746,118) 124,528,399 28,735,824 14,287,960 16,063,298 (94,435,273) 1,287,183 (6,938,097) 4,878,847 (25,648) -- -- -- -- (63,125) -- -- -- -- 252,838 -- -- -- (128) -- -- (2,274) ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- 100,710,946 156,526,270 71,143,591 27,170,848 28,026,968 143,286,139 9,911,735 46,344,217 6,953,471 ------------ ------------ ----------- ----------- ----------- ------------ ---------- ----------- ----------- $113,818,256 $170,571,102 $73,506,707 $26,625,706 $28,463,334 $145,219,278 $9,424,111 $44,563,973 $31,918,876 ============ ============ =========== =========== =========== ============ ========== =========== =========== INTERNATIONAL EQUITY ------------- $ 342,745 916,541 34,265,596 (3,475,347) ------------ 32,049,535 ------------ 8,840,962 1,236,229 31,571 41,346 51,626 10,146 ------------ 10,211,880 -- ------------ 10,211,880 ------------ 21,837,655 ------------ 115,705,922 -- (1,206,452) 90,404,364 -- 1,402,931 ------------ 206,306,765 ------------ $228,144,420 ============
53 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS FOR THE YEAR ENDED DECEMBER 31, 2004
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT CORE VALUE & MARKET BOND BOND BOND BALANCED INCOME --------------- ------------- ------------- -------------- -------------- -------------- FROM OPERATIONS: Net investment income (loss)...................... $ 9,662,640 $ 19,775,354 $ 6,716,294 $ 55,855,452 $ 9,264,257 $ 43,091,333 Net realized gains (losses) on transactions from: Securities.................. (68,909) 151,339 (958,216) 17,584,819 28,014,567 136,210,030 Futures, written options and short sales............... -- -- -- 2,034,427 275,477 -- Foreign currency transactions.............. -- -- -- 754,587 (797,829) -- Change in net unrealized appreciation (depreciation) on: Securities.................. -- (10,070,723) (1,623,256) (9,954,093) (4,120,704) 124,599,254 Futures, written options and short sales............... -- -- -- 1,831,989 352,272 -- Foreign currency translations.............. -- -- -- 3,018,058 326,110 -- --------------- ------------- ------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.................. 9,593,731 9,855,970 4,134,822 71,125,239 33,314,150 303,900,617 --------------- ------------- ------------- -------------- -------------- -------------- FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions............... 2,390,217,896 297,813,199 108,850,896 481,906,477 80,900,947 698,778,362 Withdrawals................. (2,390,031,840) (239,823,125) (122,003,055) (366,450,838) (128,574,240) (495,301,392) --------------- ------------- ------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests........ 186,056 57,990,074 (13,152,159) 115,455,639 (47,673,293) 203,476,970 --------------- ------------- ------------- -------------- -------------- -------------- Net increase (decrease) in net assets.................. 9,779,787 67,846,044 (9,017,337) 186,580,878 (14,359,143) 507,377,587 NET ASSETS: Beginning of year............ 799,572,598 622,748,334 265,519,988 1,468,787,007 434,085,832 2,198,085,735 --------------- ------------- ------------- -------------- -------------- -------------- End of year.................. $ 809,352,385 $ 690,594,378 $256,502,651 $1,655,367,885 $ 419,726,689 $2,705,463,322 =============== ============= ============= ============== ============== ==============
See notes to financial statements. 54
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY -------------- -------------- ------------ ------------ ------------ -------------- ------------ ------------- $ 13,107,310 $ 14,044,832 $ 2,363,116 $ (545,142) $ 436,366 $ 1,933,139 $ (487,624) $ (1,780,244) 115,263,875 31,940,963 42,407,767 12,882,888 11,963,670 237,402,239 8,624,552 53,282,314 218,837 -- -- -- -- 383,845 -- -- -- (195,930) -- -- -- (1,419) -- -- (14,746,118) 124,528,399 28,735,824 14,287,960 16,063,298 (94,435,273) 1,287,183 (6,938,097) (25,648) -- -- -- -- (63,125) -- -- -- 252,838 -- -- -- (128) -- -- -------------- -------------- ------------ ------------ ------------ -------------- ------------ ------------- 113,818,256 170,571,102 73,506,707 26,625,706 28,463,334 145,219,278 9,424,111 44,563,973 -------------- -------------- ------------ ------------ ------------ -------------- ------------ ------------- 240,606,463 588,107,212 187,619,787 70,645,237 81,981,796 387,584,089 48,004,475 134,545,173 (281,865,617) (443,755,067) (62,608,934) (52,917,945) (38,596,639) (575,873,750) (32,589,077) (152,715,289) -------------- -------------- ------------ ------------ ------------ -------------- ------------ ------------- (41,259,154) 144,352,145 125,010,853 17,727,292 43,385,157 (188,289,661) 15,415,398 (18,170,116) -------------- -------------- ------------ ------------ ------------ -------------- ------------ ------------- 72,559,102 314,923,247 198,517,560 44,352,998 71,848,491 (43,070,383) 24,839,509 26,393,857 1,063,389,332 1,975,636,700 216,193,119 165,747,874 100,887,458 1,270,601,125 83,589,643 371,333,010 -------------- -------------- ------------ ------------ ------------ -------------- ------------ ------------- $1,135,948,434 $2,290,559,947 $414,710,679 $210,100,872 $172,735,949 $1,227,530,742 $108,429,152 $ 397,726,867 ============== ============== ============ ============ ============ ============== ============ ============= HIGH YIELD INTERNATIONAL BOND EQUITY ------------ -------------- $ 24,965,405 $ 21,837,655 2,115,482 115,705,922 -- -- (38,584) (1,206,452) 4,878,847 90,404,364 -- -- (2,274) 1,402,931 ------------ -------------- 31,918,876 228,144,420 ------------ -------------- 119,654,473 363,246,391 (82,501,587) (238,806,763) ------------ -------------- 37,152,886 124,439,628 ------------ -------------- 69,071,762 352,584,048 282,700,774 1,049,033,896 ------------ -------------- $351,772,536 $1,401,617,944 ============ ==============
55 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 transactions from: Securities.................... 2,502 1,053,699 9,090,837 33,834,691 (2,378,526) (14,947,882) Futures, written options and short sales................. -- -- -- (7,377,329) (381,773) -- Foreign currency transactions................ -- -- -- (9,734,134) (1,376,703) -- Change in net unrealized appreciation (depreciation) on: Securities.................... -- (6,996,509) (12,217,945) (7,048,140) 61,359,689 432,326,774 Futures, written options and short sales................. -- -- -- 4,245,398 320,215 -- Foreign currency translations................ -- -- -- (8,285,094) (677,257) -- --------------- ------------- ------------- -------------- ------------ -------------- Net increase (decrease) 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 TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions................. 4,895,275,949 443,551,095 136,326,640 1,006,604,253 87,161,756 787,647,945 Withdrawals................... (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 transactions in investors' beneficial interests.......... (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 =============== ============= ============= ============== ============ ==============
See notes to financial statements. 56
GROWTH & EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE INCOME GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY -------------- -------------- ------------ ------------ ------------ -------------- ----------- ------------- $ 9,209,845 $ 5,160,875 $ 630,628 $ (295,799) $ 661,360 $ (259,523) $ (78,423) $ (1,976,889) (18,757,982) (53,877,311) 16,382,379 7,924,068 3,460,669 93,446,698 3,962,414 28,566,283 393,990 -- -- -- -- 1,993,411 -- -- -- (448,279) 12 -- -- -- -- -- 212,270,922 409,432,264 26,563,475 16,015,678 16,155,804 300,788,244 12,202,135 56,018,993 183,859 -- -- -- -- 229,855 -- -- -- (253,185) -- -- -- -- -- -- -------------- -------------- ------------ ------------ ------------ -------------- ----------- ------------- 203,300,634 360,014,364 43,576,494 23,643,947 20,277,833 396,198,685 16,086,126 82,608,387 -------------- -------------- ------------ ------------ ------------ -------------- ----------- ------------- 426,163,342 842,583,806 152,858,411 117,035,920 74,205,600 619,304,338 60,627,113 219,225,766 (365,696,147) (373,850,553) (27,871,166) (19,202,750) (11,516,201) (750,860,756) (9,645,051) (242,800,742) -------------- -------------- ------------ ------------ ------------ -------------- ----------- ------------- 468,733,253 124,987,245 97,833,170 62,689,399 (131,556,418) 50,982,062 (23,574,976) 60,467,195 -------------- -------------- ------------ ------------ ------------ -------------- ----------- ------------- 263,767,829 828,747,617 168,563,739 121,477,117 82,967,232 264,642,267 67,068,188 59,033,411 799,621,503 1,146,889,083 47,629,380 44,270,757 17,920,226 1,005,958,858 16,521,455 312,299,599 -------------- -------------- ------------ ------------ ------------ -------------- ----------- ------------- $1,063,389,332 $1,975,636,700 $216,193,119 $165,747,874 $100,887,458 $1,270,601,125 $83,589,643 $ 371,333,010 ============== ============== ============ ============ ============ ============== =========== ============= HIGH YIELD INTERNATIONAL BOND EQUITY ------------- --------------- $ 21,480,918 $ 8,873,734 14,222,810 (29,216,895) -- -- -- 4,292,233 23,379,451 279,190,953 -- -- -- (2,877,612) ------------- --------------- 59,083,179 260,262,413 ------------- --------------- 164,492,103 1,663,422,826 (148,960,043) (1,531,539,691) ------------- --------------- 15,532,060 131,883,135 ------------- --------------- 74,615,239 392,145,548 208,085,535 656,888,348 ------------- --------------- $ 282,700,774 $ 1,049,033,896 ============= ===============
57 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ COMMERCIAL PAPER -- 43.2% $31,650,000 Abbey National NA LLC, 2.17%, 01/04/05.............. $ 31,644,277 18,960,000 Bank of America Corp., 2.11%, 02/02/05.............. 18,924,440 32,380,000 Barclays US Funding LLC, 2.34%, 02/28/05.............. 32,257,925 32,350,000 Calyon North America, Inc., 2.24%, 01/19/05.............. 32,313,768 33,780,000 Credit Suisse First Boston NY, 1.95%, 01/03/05.............. 33,776,341 34,990,000 HSBC Americas, Inc., 2.34%, 01/20/05.............. 34,946,787 32,240,000 ING (US) Funding LLC, 2.28%, 02/04/05.............. 32,170,577 35,100,000 Jupiter Securities Corp. -- 144A, 2.35%, 01/18/05.............. 35,061,132 35,040,000 Morgan Stanley, 2.34%, 01/25/05.............. 34,985,338 31,410,000 Rabobank USA Financial Corp., 2.16%, 01/18/05.............. 31,377,962 31,920,000 UBS Finance (Delaware), Inc., 2.20%, 01/06/05.............. 31,910,247 ------------ TOTAL COMMERCIAL PAPER (Cost $349,368,794)................ 349,368,794 ------------ DOMESTIC CERTIFICATES OF DEPOSIT -- 4.3% 34,990,000 Wells Fargo Bank NA, 2.32%, 01/07/05 (Cost $34,990,000)........... 34,990,000 ------------ YANKEE CERTIFICATES OF DEPOSIT -- 16.3% 32,280,000 Bank of Montreal, 2.27%, 02/01/05.............. 32,280,000 32,360,000 Dexia Bank, 2.24%, 01/05/05.............. 32,360,000 32,320,000 HBOS Treasury Services PLC, 2.31%, 02/09/05.............. 32,320,000 34,880,000 Toronto Dominion Holdings, 2.39%, 02/25/05.............. 34,880,000 ------------ TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $131,840,000)................ 131,840,000 ------------ MEDIUM TERM CORPORATE NOTES -- 1.6% 13,000,000 Caterpillar Financial Service Corp., Floating Rate, 2.18%, 07/09/05(a) (Cost $13,000,000)................. 13,000,000 ------------
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 23.3% FANNIE MAE -- 11.7% $26,560,000 2.13%, 01/03/05.............. $ 26,556,857 9,260,000 1.87%, 02/23/05.............. 9,234,507 20,200,000 Floating Rate, 1.50%, 02/14/05(a)........... 20,200,000 25,000,000 2.07%, 04/29/05.............. 24,830,785 14,100,000 Floating Rate, 2.36%, 06/09/05(a)........... 14,098,258 ------------ 94,920,407 ------------ FEDERAL HOME LOAN BANK -- 5.5% 7,650,000 1.47%, 03/01/05.............. 7,650,000 20,200,000 1.40%, 04/01/05.............. 20,199,889 16,500,000 1.66%, 05/16/05.............. 16,508,274 ------------ 44,358,163 ------------ FREDDIE MAC -- 6.1% 20,200,000 Floating Rate, 1.50%, 02/14/05(a)........... 20,200,000 15,000,000 2.34%, 03/08/05.............. 14,935,733 14,100,000 Floating Rate, 2.00%, 10/07/05(a)........... 14,100,000 ------------ 49,235,733 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $188,514,303).......... 188,514,303 ------------ SHORT TERM CORPORATE NOTES -- 3.8% 16,900,000 American Express Credit Company, Floating Rate, 2.38%, 04/05/05(a)........... 16,910,213 14,000,000 Merrill Lynch & Company, Floating Rate, 2.54%, 03/11/05(a)........... 14,000,000 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $30,910,213)........... 30,910,213 ------------ TOTAL SECURITIES (Cost $748,623,310).......... 748,623,310 ------------
See notes to financial statements. 58 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 7.4% $60,210,000 With Barclays Bank PLC, dated 12/31/04, 2.25%, due 01/03/05, repurchase proceeds at maturity $60,221,289 (Collateralized by Fannie Mae Discount Note, zero coupon, due 02/07/05, with a value of $10,274,250, various Fannie Maes, 2.00% -- 3.88%, due 03/15/05-01/26/07, with a total value of $16,412,699, Federal Home Loan Bank, 2.38%, due 04/05/06, with a value of $10,514,554, Federal Home Loan Bank Discount Note, zero coupon, due 06/03/05, with a value of $3,405,727, Freddie Mac, 4.00%, due 08/10/09, with a value of $10,170,467, and Tennessee Valley Authority, 6.38%, due 06/15/05, with a value of $10,636,804)................. $ 60,210,000 6,832 With Investors Bank & Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $6,833 (Collateralized by Freddie Mac, 2.95%, due 03/15/32, with a value of $7,210)...... 6,832 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $60,216,832)........... 60,216,832 ------------ Total Investments -- 99.9% (Cost $808,840,142).......... 808,840,142 Other assets less liabilities -- 0.1%.......... 512,243 ------------ NET ASSETS -- 100.0%........... $809,352,385 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $808,840,142. --------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 59 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 76.4% BANKS -- 17.8% $1,000,000 Abbey National PLC, Series EMTN, 6.69%, 10/17/05............... $ 1,025,126 6,490,000 ABN AMRO Bank NV (Chicago), 7.25%, 05/31/05............... 6,602,082 5,000,000 Amsouth Bank NA, Series BKNT, Floating Rate, 2.13%, 01/20/06(b)............ 5,004,810 1,000,000 Bank of America Corp., 6.20%, 02/15/06............... 1,032,705 4,000,000 Bank of America Corp., 7.13%, 03/01/09............... 4,471,824 1,500,000 Bank of America Corp., Series MTN1, Floating Rate, 2.63%, 08/26/05(b)............ 1,502,637 4,100,000 Bank of Montreal-Chicago, 6.10%, 09/15/05............... 4,185,690 3,000,000 Bank of Montreal-Chicago, 7.80%, 04/01/07............... 3,260,286 4,000,000 Bank of Scotland -- 144A, 3.50%, 11/30/07............... 3,988,860 2,000,000 BankBoston NA, Series BKNT, 6.38%, 04/15/08............... 2,157,862 1,000,000 Bayerische Landesbank, 4.13%, 01/14/05............... 1,000,358 2,500,000 Deutsche Bank Financial, 6.70%, 12/13/06............... 2,652,863 2,000,000 Fifth Third Bank, 6.75%, 07/15/05............... 2,040,112 2,000,000 HBOS Treasury Services PLC -- 144A, 3.75%, 09/30/08............... 1,998,392 5,333,000 HSBC Bank PLC, 7.63%, 06/15/06............... 5,690,823 1,000,000 HSBC Bank PLC, 6.95%, 03/15/11............... 1,152,514 2,650,000 Inter-American Development Bank, 8.40%, 09/01/09............... 3,143,099 5,000,000 KFW International Finance, Series DTC, 5.25%, 06/28/06............... 5,162,920 2,000,000 KFW International Finance, Series DTC, 4.75%, 01/24/07............... 2,063,306 5,000,000 National City Bank, Series BKNT, 2.70%, 08/24/09............... 4,872,050 1,000,000 National Westminster Bank, 7.38%, 10/01/09............... 1,139,590 6,115,000 Nordea Bank (Finland), 6.50%, 01/15/06............... 6,324,151 5,000,000 SouthTrust Bank NA, Series BKNT, Floating Rate, 2.43%, 12/14/05(b)............ 5,002,740 4,000,000 SunTrust Banks, Inc., Series BKNT, Floating Rate, 2.56%, 10/03/05(b)............ 4,003,076
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $3,000,000 Svenska Handelsbanken, 8.13%, 08/15/07............... $ 3,327,258 3,000,000 Swiss Bank Corp., 7.25%, 09/01/06............... 3,189,144 3,000,000 US Bancorp, Series MTNN, 5.10%, 07/15/07............... 3,104,679 2,145,000 US Bank NA (Minnesota), Series BKNT, 7.30%, 08/15/05............... 2,194,148 3,000,000 US Bank NA, Series BKNT, Floating Rate, 2.44%, 12/05/05(b)............ 3,001,110 3,500,000 US Central Credit Union, 2.75%, 05/30/08............... 3,390,338 1,500,000 Wachovia Corp., 7.55%, 08/18/05............... 1,542,872 7,000,000 Wachovia Corp., Floating Rate, 2.50%, 07/20/07(c)............ 7,003,170 3,166,000 Wells Fargo & Company, 6.88%, 04/01/06............... 3,301,951 2,000,000 Wells Fargo & Company, Floating Rate, 2.56%, 06/12/06(b)............ 2,003,318 4,000,000 Wells Fargo & Company, Floating Rate, 2.58%, 09/15/06(b)............ 4,006,836 6,000,000 Wells Fargo & Company, Floating Rate, 2.61%, 09/28/07(b)............ 6,005,784 1,000,000 Wells Fargo & Company, Series MTNH, 6.75%, 10/01/06............... 1,060,907 ------------ 122,609,391 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.4% 2,500,000 First Data Corp., 6.75%, 07/15/05............... 2,551,328 ------------ FINANCIAL SERVICES -- 9.0% 4,000,000 Associates Corp. NA, Series MTNH, 7.63%, 04/27/05............... 4,060,384 5,000,000 Citigroup, Inc., 3.50%, 02/01/08............... 4,981,295 4,500,000 Citigroup, Inc., Floating Rate, 2.50%, 06/04/07(b)............ 4,504,068 3,570,000 General Electric Capital Corp., 8.30%, 09/20/09............... 4,175,433 1,000,000 General Electric Capital Corp., Series MTNA, 8.70%, 03/01/07............... 1,105,288 6,000,000 Goldman Sachs Group, Inc., Series MTN1, Floating Rate, 2.20%, 01/09/07(b)............ 6,010,860 8,000,000 Heller Financial, Inc., 8.00%, 06/15/05............... 8,180,823
See notes to financial statements. 60 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $1,000,000 Heller Financial, Inc., 6.38%, 03/15/06............... $ 1,035,286 7,000,000 Lehman Brothers Holdings, Inc., 8.25%, 06/15/07............... 7,769,853 2,000,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08............... 2,186,694 5,000,000 Morgan Stanley, 3.88%, 01/15/09............... 4,976,795 2,000,000 Morgan Stanley, Floating Rate, 2.24%, 07/27/07(b)............ 2,001,196 6,000,000 The Bear Stearns Companies, Inc., Series MTNB, Floating Rate, 2.76%, 06/19/06(b)............ 6,022,074 2,727,270 Toyota Motor Credit Corp., Series MTN, 2.75%, 08/06/09............... 2,672,002 2,500,000 Toyota Motor Credit Corp., Series MTN, Floating Rate, 2.42%, 09/09/05(c)............ 2,501,713 ------------ 62,183,764 ------------ FOOD AND BEVERAGE -- 0.9% 6,000,000 Kellogg Company, Series B, 6.00%, 04/01/06............... 6,187,968 ------------ INSURANCE -- 0.3% 2,000,000 Met Life Global Funding I -- 144A, 4.25%, 07/30/09............... 2,015,192 ------------ OIL, COAL AND GAS -- 1.2% 3,500,000 ConocoPhillips, 8.75%, 05/25/10............... 4,276,034 3,760,000 Tosco Corp., 7.25%, 01/01/07............... 4,012,924 ------------ 8,288,958 ------------ PHARMACEUTICALS -- 0.4% 3,000,000 Abbott Laboratories, 5.63%, 07/01/06............... 3,102,723 ------------ PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 12.9% 6,575,000 AmeriCredit Auto Receivables Trust, Series 2002-C, Class A4, 3.55%, 02/12/09............... 6,601,936 1,741,034 Capital One Auto Finance Trust, Series 2003-A, Class A3A, 1.83%, 10/15/07............... 1,732,896 3,500,000 Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10............... 3,492,344 4,500,000 Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11............... 4,462,112 2,113,988 Chevy Chase Auto Receivables Trust, Series 2001-2, Class A4, 4.44%, 04/16/07............... 2,124,930
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $7,500,000 Fifth Third Auto Trust, Series 2004-A, Class A4, 3.70%, 10/20/11............... $ 7,516,116 4,525,000 Franklin Auto Trust, Series 2003-1, Class A4, 2.27%, 05/20/11............... 4,438,065 2,000,000 Franklin Auto Trust, Series 2004-1, Class A2, 3.57%, 03/16/09............... 1,985,655 3,000,000 Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11............... 2,939,590 2,000,000 Household Automotive Trust, Series 2003-1, Class A3, 1.73%, 12/17/07............... 1,988,050 1,597,989 Hyundai Auto Receivables Trust, Series 2002-A, Class A3, 2.80%, 02/15/07............... 1,597,347 942,161 Marshall & Ilsley Auto Loan Trust, Series 2002-1, Class A3, 2.49%, 10/22/07............... 942,029 3,500,000 National City Auto Receivables Trust, Series 2004-A, Class A3, 2.11%, 07/15/08............... 3,457,066 3,250,000 Onyx Acceptance Auto Trust, Series 2002-D, Class A4, 3.10%, 07/15/09............... 3,248,758 1,500,000 Onyx Acceptance Auto Trust, Series 2004-A, Class A3, 2.19%, 03/17/08............... 1,485,337 1,619,990 Provident Auto Lease ABS Trust, Series 1999-1, Class A2, 7.03%, 01/14/12............... 1,646,761 4,000,000 Regions Auto Receivables Trust, Series 2003-2, Class A3, 2.31%, 01/15/08............... 3,974,394 193,986 Ryder Vehicle Lease Trust, Series 2001-A, Class A4, 5.81%, 08/15/06............... 194,721 2,200,000 Ryder Vehicle Lease Trust, Series 2001-A, Class A5, 6.17%, 11/15/07............... 2,255,298 4,230,568 Susquehanna Auto Lease Trust, Series 2003-1, Class A3, 2.46%, 01/14/07............... 4,210,581 5,000,000 Triad Auto Receivables Owner Trust, Series 2002-A, Class A4, 3.24%, 08/12/09............... 5,006,253 8,000,000 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.27%, 10/22/07............... 7,943,501 8,500,000 Wachovia Auto Owner Trust, Series 2004-A, Class A4, 3.66%, 07/20/10............... 8,514,448
See notes to financial statements. 61 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $4,500,000 WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11............... $ 4,420,938 3,000,000 Whole Auto Loan Trust, Series 2003-1, Class A3B, 1.99%, 05/15/07............... 2,974,781 ------------ 89,153,907 ------------ PRIVATE ASSET BACKED: BANKS -- 0.2% 1,550,000 Bank One Issuance Trust, Series 2002-A2, Class A2, 4.16%, 01/15/08............... 1,559,338 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 5.1% 1,625,000 Advanta Business Card Master Trust, Series 2000-C, Class B, Floating Rate, 3.11%, 04/20/08(c)............ 1,628,372 1,500,000 Chemical Master Credit Card Trust 1, Series 1996-2, Class A, 5.98%, 09/15/08............... 1,539,547 5,000,000 Citibank Credit Card Issuance Trust, Series 2000-A3, Class A3, 6.88%, 11/16/09............... 5,444,696 2,000,000 Citibank Credit Card Issuance Trust, Series 2003-A6, Class A6, 2.90%, 05/17/10............... 1,948,457 5,375,000 Citibank Omni-S Master Trust, Series 2000-2, Class A, 6.75%, 09/16/09............... 5,512,569 3,000,000 Fleet Credit Card Master Trust II, Series 2001-B, Class A, 5.60%, 12/15/08............... 3,097,309 1,700,000 Household Private Label Credit Card Master Note Trust I, Series 2002-2, Class A, Floating Rate, 2.57%, 01/18/11(c)............ 1,704,383 6,000,000 Nordstrom Private Label Credit Card, Series 2001-1A, Class A, 4.82%, 04/15/10............... 6,145,982 5,500,000 Prime Credit Card Master Trust, Series 2000-1, Class A, 6.70%, 10/15/09............... 5,670,721 2,570,000 Standard Credit Card Master Trust, Series 1994-2, Class A, 7.25%, 04/07/08............... 2,699,072 ------------ 35,391,108 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 5.4% 983,367 Caterpillar Financial Asset Trust, Series 2002-A, Class A3, 3.15%, 02/25/08............... 985,437 2,358,489 Caterpillar Financial Asset Trust, Series 2003-A, Class A3, 1.66%, 12/26/07............... 2,336,123
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES (CONTINUED) $4,500,000 Caterpillar Financial Asset Trust, Series 2004-A, Class A3, 3.13%, 01/26/09............... $ 4,484,888 3,765,695 Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18............... 3,769,003 1,271,330 Distribution Financial Services Trust, Series 2001-1, Class A4, 5.67%, 01/17/17............... 1,285,799 3,000,000 First National Master Note Trust, Series 2003-1, Class A, Floating Rate, 2.50%, 08/15/08(c)............ 3,005,478 1,550,000 Morgan Stanley Capital I, Series 2001-IQA, Class A2, 5.33%, 12/18/32............... 1,603,900 237,309 Morgan Stanley Capital I, Series 2002-HQ, Class A1, 4.59%, 04/15/34............... 239,812 1,057,522 Morgan Stanley Capital I, Series 2002-IQ2, Class A1, 4.09%, 12/15/35............... 1,065,657 1,716,191 Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41............... 1,695,590 1,782,125 Morgan Stanley Capital I, Series 2004-T13, Class A1, 2.85%, 09/13/45............... 1,745,306 385,403 Morgan Stanley Capital, Series 1999-RM1, Class A1, 6.37%, 12/15/31............... 397,864 736,186 Morgan Stanley Capital, Series 2001-TOP3, Class A1, 5.31%, 07/15/33............... 747,635 468,847 Nations Credit Grantor Trust, Series 1997, Class A, 6.75%, 08/15/13............... 475,252 3,113,061 Navistar Financial Corp. Owner Trust, Series 2001-B, Class A4, 4.37%, 11/17/08............... 3,124,655 2,150,000 PSE&G Transition Funding LLC, Series 2001-1, Class A3, 5.98%, 06/15/08............... 2,209,422 3,550,000 PSE&G Transition Funding LLC, Series 2001-1, Class A5, 6.45%, 03/15/13............... 3,949,157 3,792,158 Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10............... 3,943,347 ------------ 37,064,325 ------------
See notes to financial statements. 62 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 10.2% $4,007,984 Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A1, 3.37%, 07/11/43............... $ 3,998,223 2,714,041 Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41............... 2,691,340 36,686 BankBoston Home Equity Loan Trust, Series 1998-1, Class A4, 6.42%, 01/25/21............... 36,637 2,187,194 Bear Stearns Commercial Mortgage Securities, Inc., Series 1998-C1, Class A1, 6.34%, 06/16/30............... 2,271,352 998,390 Bear Stearns Commercial Mortgage Securities, Inc., Series 1999-C1, Class A1, 5.91%, 02/14/31............... 1,037,329 1,730,871 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16............... 1,783,675 898,598 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35............... 897,941 1,957,711 Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42............... 1,952,028 2,503,349 Commercial Mortgage Pass-Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39............... 2,453,793 2,221,437 Contimortgage Home Equity Loan Trust, Series 1998-2, Class A7, 6.57%, 03/15/23............... 2,275,880 522,527 Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CF2, Class A1, 5.26%, 02/15/34............... 525,817 4,047,771 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A1, 2.08%, 05/15/38............... 3,924,230 4,194,746 Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C1, Class A1, 2.25%, 01/15/37............... 4,107,573 54,933 DLJ Commercial Mortgage Corp., Series 1998-CG1, Class A1A, 6.11%, 06/10/31............... 55,009 3,000,000 Equity One ABS, Inc., Series 2004-3, Class AF2, 3.80%, 07/25/34............... 2,989,562 19,961 General Electric Capital Commercial Mortgage Corp., Series 2001-2, Class A1, 5.26%, 08/11/33............... 19,973
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 853,188 General Electric Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38............... $ 893,688 597,248 General Electric Capital Commercial Mortgage Corp., Series 2002-1, Class A1, 5.03%, 12/10/35............... 609,780 3,737,611 General Electric Capital Commercial Mortgage Corp., Series 2002-3A, Class A1, 4.23%, 12/10/37............... 3,771,299 3,085,473 General Electric Capital Commercial Mortgage Corp., Series 2004-C3, Class A1, 3.75%, 07/10/39............... 3,080,434 2,200,000 GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25............... 2,213,258 655,629 IMC Home Equity Loan Trust, Series 1997-3, Class A7, 7.08%, 08/20/28............... 655,189 1,437,009 Interstar Millennium Trust, Series 2003-3G, Class A2, Floating Rate, 2.80%, 09/27/35(b)............ 1,437,974 2,292,596 Interstar Millennium Trust, Series 2004-2G, Class A, Floating Rate, 2.68%, 03/14/36(b)............ 2,294,907 865,125 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34............... 871,893 1,935,311 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A1, 2.72%, 03/15/27............... 1,900,120 1,850,000 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27............... 1,821,275 2,938,600 LB-UBS Commercial Mortgage Trust, Series 2003-C3, Class A1, 2.60%, 05/15/27............... 2,862,214 3,000,000 LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27............... 2,954,589 1,987,297 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29............... 1,993,865 3,400,000 Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI4, 4.26%, 06/25/29............... 3,402,362
See notes to financial statements. 63 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 335,840 Travelers Mortgage Securities Corp., Series 1, Class Z2, 12.00%, 03/01/14.............. $ 340,085 3,446,632 Vendee Mortgage Trust, Series 1996-1, Class 1K, 6.75%, 11/15/12............... 3,508,689 5,124,704 Wachovia Bank Commercial Mortgage Trust, Series 2003-4, Class A1, 3.00%, 04/15/35............... 5,043,907 ------------ 70,675,890 ------------ PRIVATE ASSET BACKED: OTHER -- 7.3% 2,312,782 Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33............... 2,287,021 4,672,000 California Infrastructure PG&E Corp., Series 1997-1, Class A8, 6.48%, 12/26/09............... 4,993,179 3,093,780 California Infrastructure SCE-1, Series 1997-1, Class A6, 6.38%, 09/25/08............... 3,191,597 459,777 CIT Equipment Collateral, Series 2002-VT1, Class A3, 4.03%, 01/20/06............... 461,061 2,500,000 CIT Equipment Collateral, Series 2003-VT1, Class A3B, 1.63%, 04/20/07............... 2,478,116 2,000,000 CIT Equipment Collateral, Series 2004-VT1, Class A3, 2.20%, 03/20/08............... 1,976,362 3,000,000 CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13............... 3,092,782 5,000,000 CNH Equipment Trust, Series 2004-A, Class A3B, 2.94%, 10/15/08............... 4,953,920 2,000,000 CNH Wholesale Master Note Trust, Series 2003-1, Class A, Floating Rate, 2.60%, 08/15/08(c)............ 2,000,659 6,000,000 Connecticut RRB Special Purpose Trust CL&P1, Series 2001-1, Class A3, 5.73%, 03/30/09............... 6,202,822 2,449,043 Crusade Global Trust, Series 2004-2, Class A1, Floating Rate, 2.46%, 11/19/37(b)............ 2,448,859 4,000,000 GE Dealer Floorplan Master Note Trust, Series 2004-2, Class A, Floating Rate, 2.22%, 07/20/09(c)............ 4,009,355 2,600,000 Illinois Power Special Purpose Trust, Series 1998-1, Class A6, 5.54%, 06/25/09............... 2,686,997
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: OTHER (CONTINUED) $4,837,875 Nelnet Student Loan Corp., Series 2001-A, Class A1, 5.76%, 07/01/12............... $ 5,000,753 2,221,186 PBG Equipment Trust, Series 1A, Class A, 6.27%, 01/20/12............... 2,257,174 2,400,000 Providian Gateway Master Trust, Series 2004-FA, Class A, 3.65%, 11/15/11............... 2,389,500 ------------ 50,430,157 ------------ PRIVATE ASSET BACKED: RECEIVABLES -- 0.5% 3,774,304 Alter Moneta Receivables LLC, Series 2003-1, 2.56%, 03/15/11............... 3,762,791 ------------ PRIVATE ASSET BACKED: TRANSPORTATION -- 1.3% 2,150,000 E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18............... 2,139,922 1,452,531 Railcar Leasing LLC, Series 1, Class A1, 6.75%, 07/15/06............... 1,491,263 5,000,000 Railcar Leasing LLC, Series 1, Class A2, 7.13%, 01/15/13............... 5,518,275 ------------ 9,149,460 ------------ PRIVATE ASSET BACKED: UTILITIES -- 1.1% 5,000,000 PECO Energy Transition Trust, Series 1999-A, Class A6, 6.05%, 03/01/09............... 5,197,540 2,000,000 PECO Energy Transition Trust, Series 2001-A, Class A1, 6.52%, 12/31/10............... 2,223,373 ------------ 7,420,913 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.1% 875,000 AvalonBay Communities, 6.63%, 01/15/05............... 875,850 ------------ SPECIAL PURPOSE ENTITY -- 1.1% 2,500,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09............... 2,488,623 5,000,000 New York Life Global Funding -- 144A, Floating Rate, 2.44%, 02/26/07(b)............ 5,003,420 ------------ 7,492,043 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.8% 5,000,000 Verizon Wireless Capital, 5.38%, 12/15/06............... 5,181,410 ------------
See notes to financial statements. 64 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC -- 0.4% $2,500,000 Atlantic City Electric, Series AMBC, 6.67%, 03/23/05............... $ 2,520,823 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $533,442,180)........... 527,617,339 ------------ US TREASURY SECURITIES -- 3.4% US TREASURY NOTES 24,000,000 2.75%, 08/15/07(d) (Cost $24,008,465)............ 23,744,064 ------------ US GOVERNMENT AGENCY SECURITIES -- 16.4% FANNIE MAE -- 3.7% 1,533,785 PL# 254062, 6.00%, 10/01/11..... 1,611,464 2,899,615 PL# 254754, 4.50%, 05/01/10..... 2,920,053 3,979,381 PL# 254758, 4.50%, 06/01/13..... 4,006,187 2,041,156 PL# 254805, 5.00%, 06/01/13..... 2,107,505 4,050,262 PL# 254807, 5.00%, 07/01/13..... 4,181,918 1,010,633 PL# 323743, 5.00%, 04/01/14..... 1,030,328 649,818 PL# 429168, 6.00%, 05/01/13..... 682,580 611,001 PL# 50903, 6.00%, 09/01/08...... 636,479 768,288 PL# 50973, 6.00%, 01/01/09...... 800,325 652,578 PL# 517699, 6.00%, 07/01/14..... 685,251 2,233,733 PL# 545038, 6.00%, 09/01/14..... 2,346,917 3,640,714 PL# 555154, 5.50%, 12/01/22..... 3,727,657 598,789 PL# 609771, 6.00%, 09/01/08..... 627,497 ------------ 25,364,161 ------------ FEDERAL FARM CREDIT BANK -- 1.2% 8,500,000 2.50%, 11/15/05................. 8,472,180 ------------ FEDERAL HOME LOAN BANK -- 1.1% 7,437,647 Series 6T-9009, 3.84%, 11/25/09............... 7,381,322 ------------ FREDDIE MAC GOLD -- 0.7% 7,966 PL# D06777, 7.50%, 03/01/08..... 8,363 258,908 PL# E00532, 6.50%, 02/01/13..... 274,499 446,075 PL# E00542, 6.50%, 04/01/13..... 472,940 1,069,679 PL# E00676, 5.50%, 06/01/14..... 1,107,880 1,551,942 PL# E89557, 5.50%, 04/01/17..... 1,605,396 1,576,921 PL# M90802, 4.00%, 03/01/08..... 1,583,986 ------------ 5,053,064 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.4% 2,346,949 PL# 436708, 5.75%, 12/15/22..... 2,440,734 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 8.6% 3,149,473 Fannie Mae -- ACES, Series 1998-M1, Class A2, 6.25%, 01/25/08............... 3,321,659 2,218,854 Fannie Mae, Series 1993-234, Class PC, 5.50%, 12/25/08............... 2,258,021
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $5,000,000 Fannie Mae, Series 2003-46, Class PQ, 3.00%, 06/25/19............... $ 4,929,068 2,550,000 Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26............... 2,480,019 3,727,069 Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33............... 3,718,720 1,500,000 Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25............... 1,469,460 5,566,165 Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31............... 5,383,139 4,087,000 Fannie Mae, Series 2004-21, Class QA, 4.00%, 11/25/17............... 4,101,668 4,115,570 Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29............... 4,066,214 6,700,000 Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16............... 6,713,312 7,093,322 Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09............... 7,093,613 3,678,201 Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09............... 3,663,639 1,416,456 Freddie Mac, Series 2557, Class MA, 4.50%, 07/15/16............... 1,420,966 3,108,702 Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29............... 3,055,438 961,371 Freddie Mac, Series 2640, Class PA, 5.00%, 02/15/11............... 963,230 5,000,000 Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13............... 5,072,252 ------------ 59,710,418 ------------ PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.7% 5,000,000 Student Loan Marketing Association Student Loan Trust, Series 2003-4, Class A5B, 3.39%, 03/15/33............... 4,908,075 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $114,313,527)................. 113,329,954 ------------
See notes to financial statements. 65 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 3.1% $3,000,000 Hydro Quebec, Series MTNB, 7.00%, 04/12/05............... $ 3,034,674 5,000,000 Hydro Quebec, Series MTNB, 6.52%, 02/23/06............... 5,188,255 3,500,000 Province of British Columbia, 4.63%, 10/03/06............... 3,584,469 5,000,000 Province of Manitoba, 4.25%, 11/20/06............... 5,101,150 4,000,000 Province of Ontario, 5.50%, 10/01/08............... 4,244,420 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $21,065,627).................. 21,152,968 ------------ SECURITIES LENDING COLLATERAL -- 3.6% 24,475,000 Securities Lending Collateral Investment (Note 4) (Cost $24,475,000)............ 24,475,000 ------------ TOTAL SECURITIES (Cost $717,304,799)................. 710,319,325 ------------ REPURCHASE AGREEMENTS -- 0.1% 698,287 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $698,397 (Collateralized by Small Business Administration, 5.13%, due 11/25/15, with a value of $733,202) (Cost $698,287)..................... 698,287 ------------ Total Investments -- 103.0% (Cost $718,003,086)........... 711,017,612 Liabilities less other assets -- (3.0)%.............. (20,423,234) ------------ NET ASSETS -- 100.0%............ $690,594,378 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $718,003,086. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $ 1,352,114 Gross unrealized depreciation........... (8,337,588) ----------- Net unrealized depreciation............. $(6,985,474) ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 66 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------- US TREASURY SECURITIES -- 67.6% US TREASURY NOTES $53,997,000 1.63%, 01/31/05(d)............ $ 54,005,477 3,615,000 1.50%, 07/31/05............... 3,593,961 4,575,000 5.63%, 02/15/06............... 4,717,973 4,760,000 2.00%, 05/15/06............... 4,705,336 3,135,000 4.63%, 05/15/06............... 3,208,234 4,315,000 2.38%, 08/15/06(d)............ 4,275,393 2,300,000 6.50%, 10/15/06............... 2,438,541 2,175,000 3.25%, 08/15/07(d)............ 2,178,908 16,185,000 3.00%, 11/15/07(d)............ 16,090,172 2,325,000 3.00%, 02/15/08............... 2,306,746 2,855,000 2.63%, 05/15/08............... 2,792,102 2,300,000 3.13%, 09/15/08............... 2,277,810 2,500,000 3.13%, 10/15/08............... 2,474,123 1,700,000 4.75%, 11/15/08............... 1,781,083 2,142,000 3.38%, 12/15/08............... 2,135,893 2,000,000 3.25%, 01/15/09............... 1,983,282 2,250,000 3.00%, 02/15/09............... 2,209,309 2,545,000 3.13%, 04/15/09............... 2,507,225 16,237,000 4.00%, 06/15/09............... 16,550,959 1,995,000 3.38%, 09/15/09............... 1,977,388 7,494,000 3.50%, 11/15/09(d)............ 7,461,221 4,091,000 5.00%, 02/15/11............... 4,353,241 6,000,000 4.88%, 02/15/12............... 6,343,596 5,417,000 3.88%, 02/15/13............... 5,346,330 3,901,000 4.00%, 02/15/14............... 3,848,430 2,861,000 4.75%, 05/15/14............... 2,982,369 2,998,000 4.25%, 08/15/14(d)............ 3,005,615 5,854,000 4.25%, 11/15/14(d)............ 5,871,152 ------------- TOTAL US TREASURY SECURITIES (Cost $173,573,532)......... 173,421,869 ------------- US GOVERNMENT AGENCY SECURITIES -- 27.6% FANNIE MAE -- 19.3% 3,514,389 PL# 648688, 6.50%, 07/01/32... 3,708,190 4,885,582 PL# 777050, 5.00%, 04/01/34... 4,851,353 6,128,639 PL# 798330, 5.00%, 09/01/34... 6,094,603 24,589,000 TBA, 5.00%, 01/01/35.......... 24,396,911 10,000,000 TBA, 6.50%, 01/01/35.......... 10,487,500 ------------- 49,538,557 ------------- FREDDIE MAC -- 8.3% 17,177,000 2.88%, 05/15/07(d)............ 17,011,396 4,350,000 4.50%, 07/15/13............... 4,376,061 ------------- 21,387,457 ------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $70,893,203).......... 70,926,014 -------------
PRINCIPAL VALUE --------- ------------- CORPORATE BONDS AND NOTES -- 16.4% PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 6.6% $ 4,418,000 Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11............. $ 4,380,803 1,651,000 Onyx Acceptance Auto Trust, Series 2003-C, Class A4, 2.66%, 05/17/10............. 1,627,460 2,409,000 Wells Fargo Financial Auto Owner Trust, Series 2004-A, Class A4, 2.67%, 08/16/10............. 2,371,982 6,489,000 WFS Financial Owner Trust, Series 2003-1, Class A4, 2.74%, 09/20/10............. 6,445,040 2,204,000 Whole Auto Loan Trust, Series 2004-1, Class A4, 3.26%, 03/15/11............. 2,184,066 ------------- 17,009,351 ------------- PRIVATE ASSET BACKED: CREDIT CARDS -- 2.0% 5,000,000 Chase Credit Card Master Trust, Series 2002-6, Class A, Floating Rate, 2.46%, 01/15/08(c).......... 5,005,257 ------------- PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 1.3% 1,794,000 Navistar Financial Corp. Owner Trust, Series 2004-A, Class A4, 2.59%, 03/15/11............. 1,752,067 1,465,000 WFS Financial Owner Trust, Series 2004-4, Class A4, 3.44%, 05/17/12............. 1,459,860 ------------- 3,211,927 ------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 4.3% 2,656,000 Chase Funding Mortgage Loan, Series 2004-1, Class 1A2, 2.43%, 06/25/19............. 2,622,674 4,690,678 Saxon Asset Securities Trust, Series 2004-1, Class A, Floating Rate, 2.69%, 03/25/35(c).......... 4,688,734 3,709,000 Wells Fargo Home Equity Trust, Series 2004-2, Class AI3, 3.97%, 09/25/24............. 3,694,250 ------------- 11,005,658 ------------- PRIVATE ASSET BACKED: OTHER -- 1.5% 3,837,000 CNH Equipment Trust, Series 2003-B, Class A4B, 3.38%, 02/15/11............. 3,821,424 ------------- PRIVATE ASSET BACKED: UTILITIES -- 0.7% 1,510,000 PSE&G Transition Funding LLC, Series 2001-1, Class A8, 6.89%, 12/15/17............. 1,767,980 ------------- TOTAL CORPORATE BONDS AND NOTES (Cost $41,979,899).......... 41,821,597 -------------
See notes to financial statements. 67 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------- SECURITIES LENDING COLLATERAL -- 25.0% $64,248,067 Securities Lending Collateral Investment (Note 4) (Cost $64,248,067).......... $ 64,248,067 ------------- TOTAL SECURITIES (Cost $350,694,701)......... 350,417,547 ------------- REPURCHASE AGREEMENTS -- 2.4% 6,103,722 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $6,104,678 (Collateralized by various Small Business Administrations, 5.13% -- 5.25%, due 11/25/15-04/25/28, with a total value of $6,408,908) (Cost $6,103,722)........... 6,103,722 ------------- Total Investments -- 139.0% (Cost $356,798,423)......... 356,521,269 Liabilities less other assets -- (39.0)%........... (100,018,618) ------------- NET ASSETS -- 100.0%.......... $ 256,502,651 =============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $356,911,054. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $ 561,701 Gross unrealized depreciation........... (951,486) --------- Net unrealized depreciation............. $(389,785) =========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 68 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- US TREASURY SECURITIES -- 27.3% US TREASURY BONDS -- 10.4% $ 13,125,000 10.38%, 11/15/12(d)......... $ 15,652,599 12,395,000 12.00%, 08/15/13(d)......... 15,978,903 14,770,000 8.13%, 08/15/19(d).......... 20,164,521 8,090,000 8.50%, 02/15/20............. 11,420,176 4,600,000 6.00%, 02/15/26............. 5,270,777 16,850,000 6.75%, 08/15/26(d).......... 21,023,020 21,590,000 6.13%, 11/15/27(d).......... 25,222,366 11,905,000 5.50%, 08/15/28............. 12,889,032 41,580,000 5.38%, 02/15/31(d).......... 44,974,633 -------------- 172,596,027 -------------- US TREASURY NOTES -- 16.9% 50,755,000 2.38%, 08/31/06(d).......... 50,265,315 43,435,000 2.50%, 09/30/06(d).......... 43,073,621 64,985,000 2.50%, 10/31/06(d).......... 64,398,640 31,350,000 2.88%, 11/30/06............. 31,261,844 71,800,000 3.00%, 11/15/07(d).......... 71,379,323 8,510,000 3.50%, 11/15/09(d).......... 8,472,777 9,795,000 3.50%, 12/15/09(d).......... 9,750,619 645,000 4.25%, 11/15/14(d).......... 646,890 -------------- 279,249,029 -------------- TOTAL US TREASURY SECURITIES (Cost $451,580,634)....... 451,845,056 -------------- US GOVERNMENT AGENCY SECURITIES -- 43.3% FANNIE MAE -- 28.2% 2,760,000 1.75%, 06/16/06............. 2,707,408 25,850,000 2.71%, 01/30/07............. 25,570,665 14,090,000 2.35%, 04/05/07............. 13,803,099 9,405,000 6.00%, 05/15/11............. 10,361,141 10,060,000 5.50%, 07/18/12............. 10,182,611 585,531 PL# 252571, 7.00%, 07/01/29.................. 621,400 10,102 PL# 252716, 7.00%, 09/01/29.................. 10,720 2,194 PL# 253264, 7.00%, 05/01/30.................. 2,327 2,450 PL# 253346, 7.50%, 06/01/30.................. 2,626 30,682 PL# 253479, 7.00%, 10/01/30.................. 32,545 18,552 PL# 253698, 6.00%, 02/01/16(e)............... 19,464 70,130 PL# 253990, 7.00%, 09/01/16.................. 74,373 56,987 PL# 254008, 7.00%, 10/01/31.................. 60,430 275,605 PL# 254141, 6.00%, 01/01/17(e)............... 289,067 186,834 PL# 254342, 6.00%, 06/01/17.................. 195,949 704,331 PL# 254346, 6.50%, 06/01/32.................. 739,500 342,534 PL# 254403, 6.00%, 08/01/17.................. 359,245 608,486 PL# 254406, 6.50%, 08/01/32.................. 638,870 69,384 PL# 254623, 6.00%, 01/01/18(e)............... 72,768 272,962 PL# 254804, 5.50%, 06/01/18.................. 282,423 93,855 PL# 255357, 5.50%, 08/01/19(e)............... 97,090 417,118 PL# 255559, 5.50%, 12/01/19(e)............... 431,495 1,962 PL# 259141, 7.50%, 12/01/30.................. 2,103
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 10,390 PL# 323250, 6.00%, 08/01/13.................. $ 10,916 1,631,909 PL# 323842, 5.50%, 07/01/14.................. 1,691,700 102,846 PL# 323967, 7.00%, 10/01/29.................. 109,146 48,471 PL# 357513, 5.50%, 02/01/34(e)............... 49,252 434,018 PL# 357605, 6.50%, 08/01/34.................. 455,439 10,139 PL# 492742, 7.00%, 05/01/29.................. 10,761 7,586 PL# 503916, 7.50%, 06/01/29.................. 8,134 5,807 PL# 508415, 7.00%, 08/01/29.................. 6,162 28,899 PL# 515946, 7.00%, 10/01/29.................. 30,670 597 PL# 524164, 7.00%, 11/01/29.................. 634 120,062 PL# 524657, 7.00%, 01/01/30.................. 127,353 78,967 PL# 526053, 7.00%, 12/01/29.................. 83,804 1,408 PL# 527717, 7.50%, 01/01/30.................. 1,510 9,164 PL# 528107, 7.00%, 02/01/30.................. 9,725 3,017 PL# 531092, 7.50%, 10/01/29.................. 3,234 31,264 PL# 531497, 7.00%, 02/01/30.................. 33,163 22,751 PL# 531735, 7.00%, 02/01/30.................. 24,133 3,161 PL# 533841, 7.50%, 12/01/30.................. 3,388 49,255 PL# 535030, 7.00%, 12/01/29.................. 52,272 70,070 PL# 535103, 7.00%, 01/01/15.................. 74,311 19,972 PL# 535159, 7.00%, 02/01/30.................. 21,196 86,215 PL# 535195, 7.00%, 03/01/30.................. 91,496 33,726 PL# 535277, 7.00%, 04/01/30.................. 35,792 923,622 PL# 535675, 7.00%, 01/01/16.................. 979,554 2,057 PL# 535722, 7.00%, 02/01/31.................. 2,182 14,089 PL# 535723, 7.00%, 02/01/31.................. 14,945 3,160 PL# 535811, 6.50%, 04/01/31.................. 3,318 232,237 PL# 535880, 7.00%, 02/01/31.................. 246,363 753 PL# 538314, 7.50%, 05/01/30.................. 807 3,306 PL# 540211, 7.50%, 06/01/30.................. 3,543 6,143 PL# 542999, 7.50%, 08/01/30.................. 6,585 221,036 PL# 545194, 7.00%, 08/01/31.................. 234,389 77,639 PL# 545477, 7.00%, 03/01/32.................. 82,327 476,562 PL# 545759, 6.50%, 07/01/32.................. 500,357 1,797,001 PL# 545760, 6.50%, 07/01/32.................. 1,886,729 358,202 PL# 545762, 6.50%, 07/01/32.................. 376,088 478,693 PL# 545814, 6.50%, 08/01/32.................. 502,595 74,222 PL# 545815, 7.00%, 07/01/32.................. 78,705 582,882 PL# 545967, 5.50%, 10/01/17(e)............... 603,231 70,650 PL# 548822, 7.00%, 08/01/30.................. 74,941 58,763 PL# 549659, 7.00%, 02/01/16.................. 62,318 31,835 PL# 549962, 7.00%, 10/01/30.................. 33,768 55,213 PL# 549975, 7.00%, 10/01/30.................. 58,566 24,347 PL# 550440, 7.00%, 02/01/16.................. 25,820 1,701 PL# 550544, 7.50%, 09/01/30.................. 1,824 8,069 PL# 552603, 7.00%, 10/01/30.................. 8,559 90,012 PL# 554493, 7.00%, 10/01/30.................. 95,479 458,205 PL# 555114, 5.50%, 12/01/17(e)............... 474,201
See notes to financial statements. 69 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 70,469 PL# 555144, 7.00%, 10/01/32.................. $ 74,737 505,386 PL# 555229, 6.00%, 10/01/17(e)............... 530,070 866,866 PL# 555254, 6.50%, 01/01/33.................. 910,285 486,931 PL# 555798, 6.50%, 05/01/33.................. 511,320 721,388 PL# 555878, 6.00%, 03/01/18.................. 756,622 424,522 PL# 555919, 5.50%, 10/01/18(e)............... 439,236 2,531 PL# 558362, 7.50%, 11/01/30.................. 2,713 851 PL# 558519, 7.50%, 11/01/30.................. 912 11,713 PL# 559277, 7.00%, 10/01/30.................. 12,424 68,563 PL# 559313, 7.00%, 12/01/30.................. 72,727 4,164 PL# 559741, 7.50%, 01/01/31.................. 4,463 34,750 PL# 560384, 7.00%, 11/01/30.................. 36,860 1,502 PL# 560596, 7.50%, 01/01/31.................. 1,610 4,521 PL# 561678, 7.50%, 12/01/30.................. 4,845 2,619 PL# 564080, 7.50%, 12/01/30.................. 2,807 41,890 PL# 564183, 7.00%, 12/01/30.................. 44,434 3,341 PL# 564529, 7.50%, 12/01/30.................. 3,580 23,139 PL# 566658, 7.00%, 02/01/31.................. 24,537 71,555 PL# 574885, 6.00%, 05/01/16.................. 75,050 6,593 PL# 575285, 7.50%, 03/01/31.................. 7,066 61,777 PL# 575515, 6.00%, 06/01/17.................. 64,791 15,720 PL# 577525, 6.00%, 05/01/16(e)............... 16,488 16,466 PL# 579161, 6.50%, 04/01/31.................. 17,291 226,872 PL# 579224, 6.00%, 04/01/16.................. 237,953 565,014 PL# 580055, 5.50%, 07/01/16.................. 585,049 46,534 PL# 580179, 7.00%, 10/01/16.................. 49,350 2,966 PL# 580377, 7.50%, 04/01/31.................. 3,179 31,650 PL# 584811, 7.00%, 05/01/31.................. 33,562 284,335 PL# 585248, 7.00%, 06/01/31.................. 301,602 67,509 PL# 589395, 6.00%, 07/01/16.................. 70,806 7,379 PL# 589405, 7.50%, 06/01/31.................. 7,909 23,297 PL# 589893, 7.00%, 06/01/31.................. 24,705 4,816 PL# 592129, 7.50%, 06/01/31.................. 5,161 12,668 PL# 596895, 6.50%, 07/01/31.................. 13,303 172,753 PL# 596922, 6.00%, 08/01/16.................. 181,190 37,646 PL# 598125, 7.00%, 09/01/16.................. 39,924 512,823 PL# 598422, 5.50%, 01/01/17(e)............... 531,008 68,384 PL# 600259, 6.00%, 08/01/16.................. 71,724 507,442 PL# 601426, 6.00%, 11/01/16(e)............... 532,227 604,432 PL# 602050, 6.00%, 09/01/16.................. 633,954 16,653 PL# 606551, 6.50%, 10/01/31.................. 17,487 8,064 PL# 606600, 7.00%, 10/01/31.................. 8,552 83,153 PL# 607386, 5.50%, 11/01/16(e)............... 86,101 262,220 PL# 609539, 6.00%, 10/01/16(e)............... 275,027 26,412 PL# 610128, 7.00%, 10/01/31.................. 28,008 302,925 PL# 610579, 5.50%, 12/01/16(e)............... 313,667 73,986 PL# 610599, 5.50%, 02/01/17(e)............... 76,569 633,730 PL# 610759, 6.00%, 11/01/16(e)............... 664,683
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 66,691 PL# 610987, 6.00%, 10/01/16(e)............... $ 69,948 51,127 PL# 611323, 7.00%, 10/01/16.................. 54,220 33,330 PL# 611695, 5.50%, 12/01/16(e)............... 34,512 274,213 PL# 614934, 6.00%, 12/01/16(e)............... 287,606 495,990 PL# 616908, 6.00%, 12/01/16.................. 520,215 3,254,645 PL# 619054, 5.50%, 02/01/17.................. 3,368,266 91,519 PL# 621656, 6.00%, 01/01/17(e)............... 95,984 11,730 PL# 622119, 6.50%, 01/01/32.................. 12,318 365,670 PL# 624035, 6.50%, 01/01/32.................. 385,257 487,177 PL# 625942, 5.50%, 03/01/17.................. 504,185 18,224 PL# 629236, 6.50%, 02/01/32.................. 19,134 91,239 PL# 629603, 5.50%, 02/01/17.................. 94,474 65,966 PL# 630312, 6.00%, 03/01/17.................. 69,184 464,744 PL# 630962, 6.50%, 02/01/32.................. 487,950 633,469 PL# 631068, 6.00%, 03/01/17.................. 664,373 648,480 PL# 631287, 6.00%, 03/01/17(e)............... 680,117 1,140,321 PL# 631321, 5.50%, 02/01/17.................. 1,180,130 3,000,000 PL# 631323, 5.50%, 02/01/17.................. 3,104,731 96,809 PL# 631606, 5.50%, 03/01/17.................. 100,188 117,403 PL# 632269, 7.00%, 05/01/32.................. 124,496 15,889 PL# 634563, 6.50%, 03/01/32.................. 16,682 169,583 PL# 634949, 7.00%, 05/01/32.................. 179,824 173,116 PL# 634985, 6.00%, 04/01/17.................. 181,561 329,957 PL# 635014, 6.50%, 06/01/32.................. 346,433 603,974 PL# 635164, 6.50%, 08/01/32.................. 634,132 2,000,000 PL# 636691, 5.50%, 05/01/17.................. 2,070,920 7,313 PL# 637270, 6.50%, 05/01/32.................. 7,678 641,283 PL# 641795, 6.00%, 04/01/17.................. 672,568 184,890 PL# 642325, 6.00%, 05/01/17.................. 193,909 51,804 PL# 644646, 6.00%, 04/01/17.................. 54,331 60,430 PL# 644743, 6.00%, 05/01/17.................. 63,378 8,204 PL# 644932, 6.50%, 07/01/32.................. 8,614 581,284 PL# 646396, 5.50%, 08/01/17.................. 601,577 9,606 PL# 647556, 7.00%, 01/01/30.................. 10,194 939,122 PL# 648795, 6.50%, 08/01/32.................. 986,015 59,569 PL# 649170, 6.00%, 07/01/17.................. 62,475 257,405 PL# 650206, 5.50%, 01/01/18(e)............... 266,392 109,413 PL# 650291, 6.50%, 07/01/32.................. 114,876 22,348 PL# 650872, 7.00%, 07/01/32.................. 23,697 248,715 PL# 650891, 6.50%, 07/01/32.................. 261,134 665,289 PL# 650946, 6.50%, 07/01/32.................. 698,508 460,792 PL# 651649, 6.50%, 08/01/32.................. 483,801 1,851,181 PL# 652127, 6.50%, 06/01/32.................. 1,943,615 94,618 PL# 653071, 6.50%, 07/01/32.................. 99,343 2,000,000 PL# 660089, 5.50%, 09/01/17(e)............... 2,069,821 354,654 PL# 662405, 5.50%, 12/01/17(e)............... 367,035 627,099 PL# 662965, 6.50%, 09/01/32.................. 658,411 9,717 PL# 663353, 6.50%, 09/01/32.................. 10,202
See notes to financial statements. 70 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 61,925 PL# 664188, 5.50%, 09/01/17.................. $ 64,086 112,994 PL# 664194, 5.50%, 09/01/17.................. 116,938 965,783 PL# 670402, 6.50%, 06/01/32.................. 1,014,007 325,331 PL# 671046, 6.50%, 01/01/33.................. 341,576 2,000,000 PL# 671487, 5.50%, 11/01/17(e)............... 2,069,821 255,614 PL# 673079, 6.50%, 11/01/32.................. 268,377 321,040 PL# 675314, 5.50%, 12/01/17(e)............... 332,247 57,487 PL# 675394, 5.50%, 02/01/18(e)............... 59,479 599,413 PL# 676800, 5.50%, 01/01/18(e)............... 620,339 410,515 PL# 677516, 5.50%, 01/01/18(e)............... 424,744 289,047 PL# 679430, 5.50%, 01/01/18(e)............... 299,138 199,980 PL# 681291, 5.50%, 02/01/18(e)............... 206,962 98,187 PL# 681390, 5.50%, 02/01/18.................. 101,615 622,620 PL# 683199, 5.50%, 02/01/18(e)............... 644,201 460,554 PL# 684130, 5.50%, 01/01/18(e)............... 476,632 1,328,488 PL# 687929, 5.50%, 02/01/18.................. 1,374,535 223,488 PL# 688000, 5.50%, 03/01/18.................. 231,235 46,386 PL# 688312, 5.50%, 03/01/18.................. 47,993 637,642 PL# 688785, 6.00%, 02/01/18.................. 668,750 331,604 PL# 692252, 6.50%, 03/01/33.................. 347,966 1,262,464 PL# 694200, 4.50%, 05/01/18(e)............... 1,263,101 8,905 PL# 694372, 6.50%, 11/01/32.................. 9,350 151,914 PL# 695925, 5.50%, 05/01/18.................. 157,179 706,020 PL# 698481, 6.00%, 02/01/18.................. 740,463 353,944 PL# 698853, 5.50%, 03/01/18(e)............... 366,300 2,377,080 PL# 701161, 4.50%, 04/01/18(e)............... 2,375,609 63,296 PL# 704387, 5.50%, 05/01/18.................. 65,490 3,229,708 PL# 705651, 5.50%, 06/01/18.................. 3,341,655 374,742 PL# 711115, 6.50%, 09/01/33.................. 393,232 294,965 PL# 711582, 5.50%, 04/01/18.................. 305,424 747,479 PL# 711636, 4.50%, 05/01/18(e)............... 747,016 3,471,077 PL# 720317, 5.00%, 07/01/18.................. 3,531,038 47,264 PL# 721897, 5.50%, 05/01/18.................. 48,913 68,427 PL# 725135, 6.00%, 05/01/18.................. 71,769 32,794,559 PL# 725232, 5.00%, 03/01/34(e)............... 32,612,433 21,331 PL# 725269, 5.50%, 03/01/19.................. 22,076 171,552 PL# 725272, 6.00%, 01/01/19(e)............... 179,930 489,093 PL# 725407, 6.50%, 01/01/34.................. 513,590 695,279 PL# 725418, 6.50%, 05/01/34.................. 730,103 11,931,501 PL# 725603, 5.50%, 07/01/19.................. 12,345,067 167,455 PL# 725747, 6.00%, 08/01/19.................. 175,634 925,344 PL# 726747, 4.50%, 03/01/19(e)............... 923,269 3,615,889 PL# 729739, 4.00%, 08/01/18.................. 3,537,673 3,100,437 PL# 730823, 4.00%, 08/01/18.................. 3,033,371 884,517 PL# 731682, 4.50%, 03/01/19(e)............... 882,533 265,125 PL# 738632, 5.00%, 11/01/18.................. 269,705 394,235 PL# 739284, 5.50%, 09/01/18.................. 407,900 4,000,000 PL# 739339, 5.50%, 09/01/18.................. 4,138,647
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 45,273 PL# 739417, 5.50%, 10/01/18.................. $ 46,842 526,122 PL# 740512, 5.50%, 10/01/18(e)............... 544,358 57,131 PL# 741793, 5.50%, 10/01/18(e)............... 59,111 94,491 PL# 744728, 4.00%, 10/01/18.................. 92,447 55,090 PL# 747773, 5.50%, 10/01/18(e)............... 57,000 418,716 PL# 747827, 5.50%, 11/01/18(e)............... 433,229 445,205 PL# 747880, 5.50%, 12/01/18(e)............... 460,637 806,730 PL# 748257, 4.50%, 10/01/18(e)............... 806,231 17,295 PL# 748655, 6.50%, 09/01/33.................. 18,148 255,990 PL# 748917, 5.50%, 12/01/18(e)............... 264,863 70,133 PL# 750045, 5.50%, 12/01/18(e)............... 72,564 183,159 PL# 750057, 5.50%, 01/01/19(e)............... 189,508 270,726 PL# 753961, 5.50%, 12/01/18(e)............... 280,110 361,842 PL# 755813, 6.50%, 11/01/33.................. 379,696 4,883,058 PL# 757687, 5.50%, 07/01/34(e)............... 4,961,768 825,037 PL# 759773, 5.50%, 05/01/18(e)............... 853,839 2,065,297 PL# 761173, 4.50%, 04/01/19(e)............... 2,060,665 4,670,627 PL# 761175, 4.50%, 04/01/19(e)............... 4,660,152 328,088 PL# 761256, 5.50%, 01/01/19(e)............... 339,460 24,280 PL# 761758, 5.50%, 01/01/19(e)............... 25,122 61,520 PL# 761808, 5.50%, 05/01/18.................. 63,667 39,633 PL# 762307, 6.00%, 06/01/17.................. 41,618 176,448 PL# 763249, 5.50%, 02/01/34(e)............... 179,292 327,855 PL# 764221, 5.50%, 05/01/34(e)............... 333,139 951,739 PL# 764800, 4.50%, 04/01/19(e)............... 949,605 821,006 PL# 766312, 5.50%, 03/01/19.................. 849,303 880,714 PL# 766419, 4.50%, 03/01/19(e)............... 878,739 452,891 PL# 766823, 6.50%, 02/01/34.................. 475,243 933,552 PL# 767073, 4.50%, 04/01/19(e)............... 931,459 95,578 PL# 767075, 4.50%, 04/01/19(e)............... 95,364 248,618 PL# 767172, 5.50%, 01/01/34(e)............... 252,694 130,514 PL# 767392, 5.50%, 04/01/34(e)............... 132,618 1,147,456 PL# 767395, 5.50%, 04/01/34(e)............... 1,165,952 523,236 PL# 768306, 6.00%, 12/01/18.................. 548,736 426,349 PL# 768313, 5.50%, 01/01/19.................. 441,127 534,717 PL# 768317, 5.50%, 01/01/19.................. 553,251 1,133,212 PL# 768528, 5.50%, 05/01/34(e)............... 1,151,479 964,871 PL# 769006, 4.50%, 03/01/19(e)............... 962,707 768,258 PL# 770410, 5.50%, 04/01/34(e)............... 780,642 1,763,552 PL# 772651, 5.50%, 03/01/34(e)............... 1,791,978 1,169,842 PL# 772664, 5.50%, 03/01/34(e)............... 1,188,699 1,171,719 PL# 772805, 5.50%, 04/01/34(e)............... 1,190,606 475,215 PL# 773066, 5.50%, 03/01/34(e)............... 482,875 305,705 PL# 773072, 5.50%, 04/01/34(e)............... 310,632 1,797,216 PL# 773073, 5.50%, 04/01/34(e)............... 1,826,186 637,064 PL# 773488, 5.50%, 08/01/19.................. 659,022 723,122 PL# 773532, 4.50%, 04/01/19(e)............... 721,500 1,649,536 PL# 773571, 5.50%, 05/01/34(e)............... 1,676,124
See notes to financial statements. 71 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 72,785 PL# 773588, 5.50%, 07/01/34(e)............... $ 73,958 459,732 PL# 773777, 5.50%, 04/01/34(e)............... 467,143 88,801 PL# 773911, 5.50%, 04/01/34(e)............... 90,257 929,099 PL# 774258, 4.50%, 03/01/19(e)............... 927,016 397,138 PL# 774338, 6.50%, 02/01/34.................. 416,733 911,173 PL# 775316, 4.50%, 05/01/19(e)............... 909,130 533,420 PL# 775341, 6.00%, 05/01/19.................. 559,473 1,161,938 PL# 775525, 5.50%, 05/01/34(e)............... 1,180,667 484,556 PL# 775794, 5.50%, 05/01/34(e)............... 492,367 459,897 PL# 776233, 5.50%, 04/01/34(e)............... 467,310 447,388 PL# 776440, 5.50%, 07/01/34(e)............... 454,600 792,065 PL# 776715, 5.50%, 05/01/34(e)............... 804,832 8,319,457 PL# 776983, 5.50%, 04/01/34(e)............... 8,453,558 92,493 PL# 777251, 4.50%, 04/01/19(e)............... 92,285 174,431 PL# 777263, 5.50%, 08/01/19(e)............... 180,443 96,056 PL# 777481, 5.50%, 06/01/34(e)............... 97,605 976,924 PL# 777677, 5.50%, 05/01/34(e)............... 992,671 99,658 PL# 777754, 5.50%, 05/01/34(e)............... 101,264 188,057 PL# 778219, 5.50%, 05/01/34(e)............... 191,088 71,755 PL# 778287, 5.50%, 05/01/34(e)............... 72,911 99,903 PL# 778619, 5.50%, 06/01/34(e)............... 101,513 1,161,664 PL# 779135, 5.50%, 06/01/34(e)............... 1,180,389 154,771 PL# 779520, 5.50%, 06/01/34(e)............... 157,266 479,727 PL# 780211, 5.50%, 05/01/34(e)............... 487,460 777,562 PL# 780698, 6.00%, 04/01/19.................. 815,540 1,111,818 PL# 780901, 5.50%, 05/01/34(e)............... 1,129,739 430,818 PL# 782122, 5.50%, 07/01/34(e)............... 437,762 74,678 PL# 782571, 5.50%, 06/01/34(e)............... 75,882 319,175 PL# 782618, 5.50%, 07/01/34(e)............... 324,320 99,453 PL# 782707, 5.50%, 07/01/34(e)............... 101,056 454,335 PL# 782974, 5.50%, 06/01/34(e)............... 461,658 86,844 PL# 783017, 5.50%, 06/01/34(e)............... 88,244 103,947 PL# 783667, 5.50%, 06/01/34(e)............... 105,623 1,146,270 PL# 783813, 5.50%, 07/01/34(e)............... 1,164,747 1,795,962 PL# 783824, 5.50%, 07/01/34(e)............... 1,824,911 3,165,109 PL# 784017, 5.50%, 06/01/19.................. 3,274,200 1,543,918 PL# 785226, 5.50%, 07/01/34(e)............... 1,568,804 1,235,153 PL# 786148, 5.50%, 07/01/34(e)............... 1,255,063 876,268 PL# 787817, 5.50%, 07/01/34(e)............... 890,392 331,387 PL# 789053, 5.50%, 07/01/34(e)............... 336,729 1,136,820 PL# 789432, 5.50%, 07/01/19.................. 1,176,002 498,070 PL# 789545, 5.50%, 07/01/34(e)............... 506,099 53,054 PL# 789632, 5.50%, 08/01/19.................. 54,882 306,026 PL# 789634, 5.50%, 08/01/19.................. 316,574 315,797 PL# 789873, 6.50%, 09/01/34.................. 331,383 1,175,068 PL# 790929, 6.50%, 09/01/34.................. 1,233,063 858,700 PL# 793193, 5.50%, 07/01/19.................. 888,296 633,615 PL# 793680, 6.50%, 09/01/34.................. 664,887
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 535,658 PL# 794206, 5.50%, 08/01/19.................. $ 554,120 3,323,477 PL# 795118, 5.50%, 10/01/19(e)............... 3,438,027 541,458 PL# 798175, 6.50%, 09/01/34.................. 568,182 6,999,999 PL# 800272, 5.50%, 12/01/19(e)............... 7,241,268 7,600,000 TBA, 4.00%, 01/01/20........ 7,419,500 13,100,000 TBA, 4.50%, 01/01/20........ 13,059,063 32,900,000 TBA, 5.00%, 01/01/20........ 33,424,361 10,175,000 TBA, 4.56%, 12/01/34........ 10,251,313 7,500,000 TBA, 4.50%, 01/01/35........ 7,249,215 39,700,000 TBA, 5.00%, 01/01/35........ 39,389,865 600,000 TBA, 5.50%, 01/01/35........ 609,187 44,600,000 TBA, 6.00%, 01/01/35........ 46,119,166 29,300,000 TBA, 6.50%, 01/01/35........ 30,728,375 -------------- 467,369,241 -------------- FREDDIE MAC -- 2.4% 5,350,000 3.50%, 04/01/08............. 5,323,651 13,080,000 3.88%, 11/10/08............. 13,108,658 7,140,000 3.88%, 01/12/09............. 7,117,102 1,560,000 4.75%, 12/08/10............. 1,568,235 12,080,000 4.13%, 02/24/11(d).......... 11,909,757 -------------- 39,027,403 -------------- FREDDIE MAC GOLD -- 6.0% 11,345,000 4.50%, 12/16/10............. 11,348,823 1,565,000 6.00%, 06/15/11............. 1,727,500 51,300 6.00%, 02/01/13............. 53,828 933,491 PL# A10807, 5.50%, 07/01/33(e)............... 949,480 217,967 PL# A12350, 5.50%, 08/01/33(e)............... 221,700 129,597 PL# A12533, 5.50%, 08/01/33(e)............... 131,817 350,635 PL# A12800, 5.50%, 08/01/33(e)............... 356,641 678,861 PL# A13289, 5.50%, 09/01/33(e)............... 690,489 135,512 PL# A13331, 5.50%, 09/01/33(e)............... 137,833 7,714,000 PL# A13669, 5.50%, 09/01/33(e)............... 7,846,128 269,926 PL# A16148, 6.00%, 11/01/33(e)............... 279,044 1,095,356 PL# A16728, 5.50%, 12/01/33(e)............... 1,114,117 188,473 PL# B14156, 4.00%, 05/01/19.................. 184,454 1,860,474 PL# C01271, 6.50%, 12/01/31.................. 1,954,622 4,479,185 PL# C01623, 5.50%, 09/01/33(e)............... 4,555,906 5,520,592 PL# C57150, 6.00%, 05/01/31(e)............... 5,712,437 8,301 PL# C67653, 7.00%, 06/01/32.................. 8,801
See notes to financial statements. 72 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 147,166 PL# C67868, 7.00%, 06/01/32.................. $ 156,019 35,213 PL# C67999, 7.00%, 06/01/32.................. 37,332 232,027 PL# C68001, 7.00%, 06/01/32.................. 245,985 274,090 PL# C90229, 7.00%, 08/01/18.................. 292,370 56,378 PL# E00418, 6.00%, 02/01/11.................. 59,170 38,623 PL# E00570, 6.00%, 09/01/13.................. 40,526 839,958 PL# E00592, 6.00%, 12/01/13.................. 881,357 39,877 PL# E00720, 6.00%, 07/01/14.................. 41,827 37,640 PL# E01007, 6.00%, 08/01/16.................. 39,438 123,241 PL# E01095, 6.00%, 01/01/17.................. 129,126 3,813,835 PL# E01638, 4.00%, 04/01/19.................. 3,732,510 38,799 PL# E63016, 6.00%, 03/01/11.................. 40,725 62,476 PL# E73319, 6.00%, 11/01/13.................. 65,555 61,720 PL# E73769, 6.00%, 12/01/13.................. 64,762 51,669 PL# E75990, 6.00%, 04/01/14.................. 54,238 46,576 PL# E76341, 6.00%, 04/01/14.................. 48,852 80,505 PL# E76730, 6.00%, 05/01/14.................. 84,440 65,762 PL# E76731, 6.00%, 05/01/14.................. 68,976 52,828 PL# E78995, 6.00%, 11/01/14.................. 55,410 419,078 PL# E84191, 6.00%, 07/01/16.................. 439,092 7,502 PL# E84758, 5.50%, 07/01/16.................. 7,763 39,321 PL# E85885, 6.00%, 11/01/16.................. 41,199 455,440 PL# E86502, 5.50%, 12/01/16.................. 471,294 8,678 PL# E86565, 5.50%, 12/01/16.................. 8,981 351,768 PL# E87961, 6.00%, 02/01/17.................. 368,568 792,230 PL# E88001, 6.00%, 02/01/17.................. 830,080 85,551 PL# E88452, 6.00%, 03/01/17.................. 89,638 500,754 PL# E88749, 6.00%, 03/01/17.................. 524,668 976,911 PL# E88789, 6.00%, 04/01/17.................. 1,023,584 244,127 PL# E88979, 5.50%, 04/01/17.................. 252,535 610,169 PL# E89282, 6.00%, 04/01/17.................. 639,320 1,163,352 PL# E89336, 6.00%, 05/01/17.................. 1,218,932 40,034 PL# E89653, 6.00%, 04/01/17.................. 41,946 735,400 PL# E89913, 6.00%, 05/01/17.................. 770,535 1,399,218 PL# E91644, 5.50%, 10/01/17.................. 1,447,412 363,125 PL# E91754, 5.50%, 10/01/17.................. 375,633 585,969 PL# E91774, 5.50%, 10/01/17.................. 606,152 249,876 PL# E91968, 5.50%, 10/01/17.................. 258,483 525,565 PL# E92113, 5.50%, 10/01/17.................. 543,668 136,767 PL# E93402, 6.00%, 09/01/12.................. 143,561 2,994,979 PL# G01391, 7.00%, 04/01/32.................. 3,176,136 76,483 PL# G10558, 6.00%, 07/01/11.................. 80,280 764,556 PL# G10937, 6.00%, 04/01/14.................. 802,429 31,279 PL# G11111, 6.00%, 04/01/16.................. 32,780 4,838,679 PL# M80813, 4.00%, 04/01/10.................. 4,820,680 4,000,000 TBA, 4.50%, 01/01/20........ 3,986,248 3,800,000 TBA, 5.50%, 01/01/20........ 3,924,686 600,000 TBA, 5.50%, 01/01/35........ 609,563
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 18,000,000 TBA, 6.00%, 01/01/35........ $ 18,596,249 10,500,000 TBA, 5.00%, 01/01/35........ 10,427,813 -------------- 99,972,146 -------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 3.5% 271,962 PL# 3173, 6.50%, 12/20/31... 286,026 196,206 PL# 421352, 6.00%, 11/15/33.................. 203,542 3,574 PL# 434615, 7.00%, 11/15/29.................. 3,803 397,458 PL# 435071, 7.00%, 03/15/31.................. 422,576 97,725 PL# 462559, 7.00%, 02/15/28.................. 104,062 41,580 PL# 493966, 7.00%, 06/15/29.................. 44,242 105,592 PL# 494742, 7.00%, 04/15/29.................. 112,352 712,889 PL# 502998, 5.50%, 02/15/29.................. 730,406 2,936 PL# 530260, 7.00%, 02/15/31.................. 3,121 240,098 PL# 531025, 6.00%, 04/15/32.................. 249,210 2,137 PL# 538271, 7.00%, 11/15/31.................. 2,272 152,494 PL# 538312, 6.00%, 02/15/32.................. 158,281 386,061 PL# 543989, 7.00%, 03/15/31.................. 410,459 2,372 PL# 547545, 7.00%, 04/15/31.................. 2,522 766,876 PL# 550985, 7.00%, 10/15/31.................. 815,339 947 PL# 551549, 7.00%, 07/15/31.................. 1,007 84,131 PL# 552413, 7.00%, 02/15/32.................. 89,441 2,699,881 PL# 552942, 5.50%, 12/15/32(e)............... 2,762,995 194,123 PL# 554808, 6.00%, 05/15/31.................. 201,593 170,721 PL# 555360, 6.00%, 06/15/31.................. 177,290 166,024 PL# 555733, 6.00%, 03/15/32.................. 172,325 2,222 PL# 557664, 7.00%, 08/15/31.................. 2,362 337,379 PL# 557678, 7.00%, 08/15/31.................. 358,700 6,548 PL# 561050, 7.00%, 05/15/31.................. 6,962 2,099 PL# 561996, 7.00%, 07/15/31.................. 2,232 27,309 PL# 563346, 7.00%, 09/15/31.................. 29,035 175,207 PL# 563599, 7.00%, 06/15/32.................. 186,266 258,413 PL# 564086, 7.00%, 07/15/31.................. 274,743 57,498 PL# 564300, 6.00%, 08/15/31.................. 59,710 18,731 PL# 564706, 7.00%, 07/15/31.................. 19,915 149,242 PL# 565808, 6.00%, 11/15/31.................. 154,985 273,643 PL# 567622, 6.00%, 04/15/32.................. 284,028 152,054 PL# 567668, 6.00%, 05/15/32.................. 157,824 176,625 PL# 569567, 7.00%, 01/15/32.................. 187,773 149,254 PL# 570517, 6.00%, 01/15/32.................. 154,918 121,111 PL# 572821, 6.00%, 12/15/31.................. 125,771 148,614 PL# 574873, 6.00%, 12/15/31.................. 154,332 138,989 PL# 575906, 6.00%, 01/15/32.................. 144,263 82,343 PL# 576323, 6.00%, 12/15/31.................. 85,511 2,648 PL# 579377, 7.00%, 04/15/32.................. 2,816 525,127 PL# 581015, 7.00%, 02/15/32.................. 558,270 166,418 PL# 581070, 6.00%, 02/15/32.................. 172,734
See notes to financial statements. 73 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 78,985 PL# 581084, 7.00%, 02/15/32.................. $ 83,970 200,439 PL# 582956, 7.00%, 02/15/32.................. 213,089 358,271 PL# 585210, 6.00%, 03/15/33.................. 371,666 561,593 PL# 587122, 7.00%, 06/15/32.................. 597,037 146,049 PL# 587390, 6.00%, 11/15/32.................. 151,591 58,899 PL# 587494, 7.00%, 06/15/32.................. 62,616 1,612 PL# 589696, 7.00%, 05/15/32.................. 1,714 209,018 PL# 592030, 6.00%, 02/15/32.................. 216,950 13,662 PL# 593823, 6.00%, 10/15/32.................. 14,180 251,115 PL# 596818, 6.00%, 12/15/32.................. 260,645 447,817 PL# 598205, 6.00%, 05/15/33.................. 464,560 220,045 PL# 598459, 6.00%, 11/15/32.................. 228,396 132,440 PL# 603498, 6.00%, 03/15/33.................. 137,392 202,350 PL# 611085, 6.00%, 05/15/33.................. 209,916 294,940 PL# 615382, 6.00%, 07/15/33.................. 305,968 4,918,032 PL# 618874, 5.50%, 08/15/33.................. 5,029,271 857,686 PL# 625651, 5.50%, 01/15/34(e)............... 876,699 33,671 PL# 780802, 6.50%, 05/15/28.................. 35,532 64,360 PL# 781113, 7.00%, 11/15/29.................. 68,481 314,273 PL# 781148, 6.00%, 07/15/29.................. 326,977 186,765 PL# 781276, 6.50%, 04/15/31.................. 196,895 58,920 PL# 781287, 7.00%, 05/15/31.................. 62,655 96,076 PL# 781324, 7.00%, 07/15/31.................. 102,152 508,425 PL# 781328, 7.00%, 09/15/31.................. 540,692 286,888 PL# 781330, 6.00%, 09/15/31.................. 298,388 100,010 PL# 781496, 6.50%, 09/15/32.................. 105,402 157,682 PL# 781548, 7.00%, 11/15/32.................. 167,651 257,850 PL# 781566, 6.00%, 02/15/33.................. 267,635 90,165 PL# 781584, 7.00%, 05/15/32.................. 95,868 4,684,661 PL# 781689, 5.50%, 12/15/33(e)............... 4,793,912 5,283,030 PL# 781690, 6.00%, 12/15/33.................. 5,483,594 5,632,221 PL# 781707, 5.50%, 02/15/34(e)............... 5,763,568 10,561,871 PL# 80916, 3.75%, 05/20/34.................. 10,419,802 1,700,000 TBA, 5.50%, 01/01/35........ 1,735,063 4,700,000 TBA, 6.00%, 01/01/35........ 4,870,375 3,400,000 TBA, 6.50%, 01/01/35........ 3,577,439 -------------- 58,213,755 -------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 2.7% 4,047,588 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29........... 4,184,515 3,780,000 Fannie Mae, Series 2002-81, Class BR, 5.25%, 04/25/25........... 3,872,122 5,050,000 Fannie Mae, Series 2004-101, Class AR, 5.50%, 01/25/35........... 5,270,938
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 7,085,071 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34........... $ 7,229,054 8,860,000 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34........... 9,120,307 3,325,000 Freddie Mac, Series 2550, Class QP, 5.00%, 03/15/26........... 3,361,458 6,496,153 Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15........... 6,726,686 4,765,543 Freddie Mac, Series 2877, Class PA, 5.50%, 07/15/33........... 4,915,290 -------------- 44,680,370 -------------- PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.4% 3,423,225 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12........... 3,498,964 2,940,700 Small Business Administration, Series 2004-P10A, 4.50%, 02/01/14........... 2,923,401 -------------- 6,422,365 -------------- RESOLUTION FUNDING STRIPS -- 0.1% 1,200,000 Zero coupon, 07/15/18....... 612,124 1,200,000 Zero coupon, 10/15/18....... 602,894 -------------- 1,215,018 -------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $713,288,680)....... 716,900,298 -------------- CORPORATE BONDS AND NOTES -- 34.8% AEROSPACE AND DEFENSE -- 0.4% 320,000 B/E Aerospace, 8.50%, 10/01/10........... 353,600 1,545,000 Lockheed Martin Corp., 8.50%, 12/01/29........... 2,120,469 545,000 Lockheed Martin Corp., 7.20%, 05/01/36........... 664,001 2,390,000 Northrop Grumman Corp., 4.08%, 11/16/06........... 2,415,229 35,000 Northrop Grumman Corp., 7.13%, 02/15/11........... 40,217 940,000 Northrop Grumman Corp., 7.75%, 02/15/31........... 1,207,335 790,000 RC Trust I, 7.00%, 05/15/06........... 416,479 -------------- 7,217,330 --------------
See notes to financial statements. 74 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) AUTOMOBILES/MOTOR VEHICLES -- 0.1% $ 765,000 Daimler Chrysler AG Corp., 7.45%, 03/01/27........... $ 852,988 280,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08........... 279,643 70,000 Daimler Chrysler NA Holding, 6.50%, 11/15/13........... 76,052 1,200,000 Daimler Chrysler NA Holding, Series MTND, Floating Rate, 2.94%, 09/10/07(b)........ 1,204,857 -------------- 2,413,540 -------------- BANKS -- 6.7% 5,575,000 American Express Bank FSB, Series BKNT, Floating Rate, 2.49%, 11/21/07(c)........ 5,577,291 2,000,000 American Express Centurion Bank, Series BKNT, 4.38%, 07/30/09........... 2,033,936 1,404,000 Bank of America Corp., 5.25%, 02/01/07........... 1,454,145 3,550,000 Bank of America Corp., 3.88%, 01/15/08(f)........ 3,580,221 1,425,000 Bank of America Corp., 3.25%, 08/15/08........... 1,401,877 2,000,000 Bank of America Corp., 3.38%, 02/17/09........... 1,961,586 425,000 Bank of America Corp., 5.38%, 06/15/14........... 444,340 1,250,000 Bank of Scotland -- 144A, 3.50%, 11/30/07........... 1,246,519 1,750,000 Bank One Corp., 6.00%, 08/01/08........... 1,874,500 2,000,000 BankBoston NA, Series BKNT, 6.38%, 03/25/08........... 2,153,982 2,850,000 HBOS Treasury Services PLC -- 144A, 3.75%, 09/30/08........... 2,847,709 3,850,000 HSBC Bank USA, Series BKNT, 3.88%, 09/15/09........... 3,820,490 4,350,000 HSBC Bank USA, Series BKNT, Floating Rate, 2.59%, 09/21/07(b)........ 4,355,255 2,600,000 JP Morgan Chase & Company, 5.35%, 03/01/07........... 2,700,191 475,000 JP Morgan Chase & Company, 5.25%, 05/30/07........... 494,085 1,495,000 JP Morgan Chase & Company, 3.63%, 05/01/08(e)........ 1,485,556 2,100,000 JP Morgan Chase & Company, 5.75%, 10/15/08........... 2,229,856 935,000 JP Morgan Chase & Company, 3.50%, 03/15/09........... 916,969 1,100,000 JP Morgan Chase & Company, 7.00%, 11/15/09........... 1,228,708
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 580,000 JP Morgan Chase & Company, Floating Rate, 2.16%, 10/02/09(b)........ $ 581,477 2,200,000 National City Bank, 3.38%, 10/15/07........... 2,189,422 2,705,000 National City Bank, Series BKNT, Floating Rate, 2.67%, 06/29/09(b)........ 2,706,655 800,000 Rabobank Capital Funding II -- 144A, Variable Rate, 5.26%, perpetual(a)....... 815,441 1,135,000 RBS Capital Trust I, Variable Rate, 4.71%, perpetual(a)....... 1,107,620 3,600,000 State Street Bank & Trust, Series CD1, Floating Rate, 2.41%, 12/11/06(b)........ 3,597,840 4,390,000 SunTrust Banks, Inc., 3.63%, 10/15/07........... 4,382,581 2,000,000 SunTrust Banks, Inc., 4.00%, 10/15/08........... 2,020,192 1,535,000 SunTrust Banks, Inc., 4.42%, 06/15/09........... 1,557,227 2,275,000 Swedish Export Credit, 2.88%, 01/26/07........... 2,253,294 980,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual(a)....... 1,179,348 490,000 US Bancorp, Series MTNN, 3.95%, 08/23/07........... 495,016 3,040,000 US Bank NA, 2.40%, 03/12/07........... 2,984,760 8,275,000 US Bank NA, Series BKNT, Floating Rate, 2.04%, 10/01/07(b)........ 8,281,008 1,140,000 Wachovia Corp., 3.63%, 02/17/09........... 1,127,941 2,340,000 Wachovia Corp., Variable Rate, 6.30%, 04/15/08(a)........ 2,512,407 9,925,000 Wells Fargo & Company, 4.00%, 08/15/08........... 9,999,696 500,000 Wells Fargo & Company, 3.13%, 04/01/09........... 485,084 8,250,000 Wells Fargo & Company, 4.20%, 01/15/10........... 8,292,842 10,030,000 Wells Fargo & Company, Floating Rate, 2.59%, 09/15/09(b)........ 10,031,394 2,150,000 Wells Fargo Bank NA, Series BKNT, Variable Rate, 7.80%, 06/15/10(a)........ 2,195,238 -------------- 110,603,699 --------------
See notes to financial statements. 75 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA -- 1.4% $ 1,395,000 Charter Communications Holdings LLC, 10.75%, 10/01/09.......... $ 1,276,425 250,000 Comcast Cable Communications, Inc., 6.38%, 01/30/06........... 258,302 1,800,000 Comcast Cable Communications, Inc., 6.75%, 01/30/11........... 2,023,916 450,000 Comcast Corp., 7.05%, 03/15/33........... 516,598 2,020,000 Continental Cablevision, 8.30%, 05/15/06........... 2,146,559 465,000 Cox Communications, Inc., 7.75%, 11/01/10........... 533,289 370,000 Cox Communications, Inc., 4.63%, 06/01/13........... 354,554 2,300,000 Cox Communications, Inc. -- 144A, 4.63%, 01/15/10........... 2,297,246 330,000 CSC Holdings, Inc., 7.88%, 02/15/18........... 358,050 710,000 CSC Holdings, Inc. -- 144A, 6.75%, 04/15/12(d)........ 734,850 675,000 EchoStar DBS Corp. -- 144A, 6.63%, 10/01/14........... 686,813 1,070,000 News America Holdings, 7.63%, 11/30/28........... 1,274,410 1,275,000 News America, Inc., 7.30%, 04/30/28........... 1,465,318 545,000 News America, Inc., 7.28%, 06/30/28........... 624,702 1,200,000 News America, Inc. -- 144A, 5.30%, 12/15/14........... 1,216,490 130,000 Rogers Cable, Inc. -- 144A (Canada), 6.75%, 03/15/15........... 133,575 650,000 TCI Communications, Inc., 7.88%, 02/15/26........... 800,470 1,675,000 TCI Communications, Inc., 7.13%, 02/15/28........... 1,898,532 700,000 Time Warner, Inc., 8.18%, 08/15/07........... 777,864 1,910,000 Time Warner, Inc., 7.57%, 02/01/24........... 2,252,883 610,000 Time Warner, Inc., 6.95%, 01/15/28........... 682,714 80,000 Time Warner, Inc., 7.63%, 04/15/31........... 97,085 675,000 Walt Disney Company, Series MTNB, 6.20%, 06/20/14........... 748,571 -------------- 23,159,216 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) CHEMICALS -- 0.1% $ 365,000 Crown Euro Holdings SA (France), 9.50%, 03/01/11........... $ 417,925 425,000 Crown Euro Holdings SA (France), 10.88%, 03/01/13.......... 504,688 220,000 Nalco Company, 7.75%, 11/15/11........... 238,700 -------------- 1,161,313 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.0% 600,000 D.R. Horton, Inc., 7.88%, 08/15/11........... 690,000 -------------- FINANCIAL SERVICES -- 6.1% 9,050,000 Citigroup, Inc., 3.50%, 02/01/08........... 9,016,144 14,330,000 Citigroup, Inc., 3.63%, 02/09/09........... 14,220,504 820,000 Citigroup, Inc., 6.20%, 03/15/09........... 892,035 11,200,000 Citigroup, Inc., Floating Rate, 2.59%, 06/09/09(b)........ 11,231,024 160,000 E*TRADE Financial Corp. -- 144A, 8.00%, 06/15/11........... 172,800 8,225,000 Eksportfinans ASA, Series MTN, 3.38%, 01/15/08........... 8,188,399 2,000,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07........... 2,156,576 10,285,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08........... 10,455,206 5,045,000 General Electric Capital Corp., Series MTNA, 3.60%, 10/15/08........... 4,994,217 630,000 General Electric Capital Corp., Series MTNA, 4.38%, 11/21/11........... 627,181 5,000,000 General Electric Capital Corp., Series MTNA, Floating Rate, 2.22%, 07/28/08(b)........ 5,009,405 2,290,000 General Motors Acceptance Corp., 5.63%, 05/15/09........... 2,292,269 1,500,000 General Motors Acceptance Corp., 7.25%, 03/02/11........... 1,572,387 2,120,000 General Motors Acceptance Corp., 6.88%, 09/15/11........... 2,175,455 1,100,000 General Motors Acceptance Corp., 6.75%, 12/01/14........... 1,103,473
See notes to financial statements. 76 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 1,560,000 General Motors Acceptance Corp., 8.00%, 11/01/31........... $ 1,607,989 450,000 Household Finance Corp., 7.20%, 07/15/06........... 475,370 2,925,000 Household Finance Corp., 6.50%, 11/15/08........... 3,183,889 1,500,000 Household Finance Corp., 4.13%, 12/15/08........... 1,507,493 1,590,000 Household Finance Corp., 7.00%, 05/15/12........... 1,818,400 1,575,000 HSBC Finance Corp., 4.13%, 11/16/09........... 1,568,240 440,000 HSBC Finance Corp., 6.75%, 05/15/11........... 494,424 1,583,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08........... 1,730,768 4,000,000 Nationwide Building Society -- 144A, 3.50%, 07/31/07........... 3,984,268 430,000 REFCO Finance Holdings -- 144A, 9.00%, 08/01/12........... 473,000 4,550,000 SLM Corp., 4.00%, 01/15/10........... 4,519,861 545,000 SLM Corp., Series MTNA, 3.63%, 03/17/08........... 542,789 1,000,000 The Bear Stearns Companies, Inc., 2.88%, 07/02/08........... 967,960 2,475,000 TIAA Global Markets -- 144A, 3.88%, 01/22/08........... 2,492,120 1,955,000 USAA Capital Corp. -- 144A, Series MTNB, 4.00%, 12/10/07........... 1,978,693 -------------- 101,452,339 -------------- FOOD AND BEVERAGE -- 0.2% 1,915,000 Diageo Capital PLC, 3.38%, 03/20/08........... 1,898,288 1,100,000 General Mills, Inc., 5.13%, 02/15/07........... 1,129,951 -------------- 3,028,239 -------------- INSURANCE -- 1.3% 2,775,000 Allstate Financial Global Funding -- 144A, 6.15%, 02/01/06........... 2,861,586 1,150,000 ASIF Global Financial XVIII -- 144A, 3.85%, 11/26/07........... 1,155,175 6,430,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08........... 6,432,783 2,850,000 Berkshire Hathaway Finance Corp., 3.38%, 10/15/08........... 2,819,864
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) INSURANCE (CONTINUED) $ 2,000,000 Berkshire Hathaway Finance Corp. -- 144A, 3.40%, 07/02/07........... $ 1,996,452 1,655,000 Liberty Mutual Group -- 144A, 5.75%, 03/15/14........... 1,629,935 1,000,000 Marsh & McLennan Companies, Inc., 5.38%, 07/15/14........... 978,859 2,060,000 Met Life Global Funding I -- 144A, 4.25%, 07/30/09........... 2,075,648 1,980,000 Protective Life Secured Trust, Series MTN, 3.70%, 11/24/08........... 1,975,959 -------------- 21,926,261 -------------- LEISURE AND RECREATION -- 0.1% 310,000 MGM MIRAGE, 6.00%, 10/01/09........... 319,300 795,000 Wynn Las Vegas LLC/Capital Corp. -- 144A, 6.63%, 12/01/14........... 791,025 -------------- 1,110,325 -------------- MANUFACTURING -- 0.2% 395,000 Briggs & Stratton Corp., 8.88%, 03/15/11........... 476,963 2,390,000 Tyco International Group SA, 6.13%, 11/01/08........... 2,577,182 -------------- 3,054,145 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 0.1% 525,000 HCA, Inc., 5.50%, 12/01/09........... 525,730 1,300,000 WellPoint, Inc. -- 144A, 5.95%, 12/15/34........... 1,317,256 -------------- 1,842,986 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 0.1% 1,140,000 Boston Scientific Corp., 5.45%, 06/15/14........... 1,186,468 -------------- METALS AND MINING -- 0.1% 210,000 International Steel Group, 6.50%, 04/15/14........... 226,275 374,000 Ispat Inland ULC, 9.75%, 04/01/14........... 463,760 220,000 TriMas Corp., 9.88%, 06/15/12........... 234,300 -------------- 924,335 -------------- OIL AND GAS: PIPELINES -- 0.2% 1,425,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14........... 1,430,934 365,000 El Paso Natural Gas, 8.63%, 01/15/22........... 427,506
See notes to financial statements. 77 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES (CONTINUED) $ 670,000 Transcontinental Gas Pipe Line Corp., Series B, 8.88%, 07/15/12........... $ 818,238 570,000 Williams Companies, Inc., 7.63%, 07/15/19........... 629,850 225,000 Williams Companies, Inc., 7.75%, 06/15/31........... 236,813 -------------- 3,543,341 -------------- OIL, COAL AND GAS -- 1.2% 840,000 Amerada Hess Corp., 7.30%, 08/15/31........... 940,018 2,480,000 Amerada Hess Corp., 7.13%, 03/15/33........... 2,735,638 295,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31........... 366,664 255,000 Chesapeake Energy Corp. -- 144A, 6.38%, 06/15/15........... 263,288 2,500,000 Conoco Funding Company, 6.35%, 10/15/11........... 2,794,327 1,625,000 Devon Energy Corp., 7.95%, 04/15/32........... 2,083,070 435,000 Devon Financing Corp. ULC, 7.88%, 09/30/31........... 549,435 610,000 El Paso Production Holding Company, 7.75%, 06/01/13........... 642,025 2,160,000 EnCana Corp., 4.75%, 10/15/13........... 2,147,299 700,000 EnCana Corp., 6.50%, 08/15/34........... 771,114 1,225,000 Enterprise Products Operating LP -- 144A, 4.00%, 10/15/07........... 1,222,806 950,000 Gazprom OAO, 9.63%, 03/01/13........... 1,131,165 1,710,000 Gazprom OAO -- 144A, 9.63%, 03/01/13........... 2,026,350 600,000 Hanover Equipment Trust, Series B, 8.75%, 09/01/11........... 654,000 505,000 Occidental Petroleum, 8.45%, 02/15/29........... 686,154 700,000 Suncor Energy, Inc., 5.95%, 12/01/34........... 736,474 -------------- 19,749,827 -------------- PAPER AND FOREST PRODUCTS -- 0.1% 735,000 Georgia-Pacific Corp., 8.00%, 01/15/24........... 856,275 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PHARMACEUTICALS -- 0.3% $ 1,100,000 Bristol-Myers Squibb, 6.88%, 08/01/97........... $ 1,267,019 815,000 Elan Finance PLC/Elan Finance Corp. -- 144A (Brazil), 7.75%, 11/15/11........... 872,050 865,000 Merck & Company, Inc., 5.95%, 12/01/28........... 898,168 1,685,000 Wyeth, 6.50%, 02/01/34........... 1,803,782 -------------- 4,841,019 -------------- PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 0.3% 4,329,260 Daimler Chrysler Auto Trust, Series 2001-C, Class A4, 4.63%, 12/06/06........... 4,353,046 -------------- PRIVATE ASSET BACKED: BANKS -- 0.3% 5,174,564 Bank of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19........... 5,239,499 -------------- PRIVATE ASSET BACKED: CREDIT CARDS -- 3.2% 12,075,000 Chase Issuance Trust, Series 2004-A9, Class A9, 3.22%, 06/15/10........... 11,998,131 14,950,000 Citibank Credit Card Issuance Trust, Series 2004-A1, Class A1, 2.55%, 01/20/09........... 14,704,945 14,850,000 Citibank Credit Card Issuance Trust, Series 2004-A4, Class A4, 3.20%, 08/24/09........... 14,718,008 11,500,000 MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10........... 11,157,443 -------------- 52,578,527 -------------- PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 1.0% 7,480,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36........... 7,651,089 5,397,447 Morgan Stanley Capital I, Series 1998-WF1, Class A2, 6.55%, 03/15/30........... 5,760,775 2,980,000 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31........... 3,236,757 -------------- 16,648,621 --------------
See notes to financial statements. 78 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 6.9% $ 1,695,287 Bear Stearns Commercial Mortgage Securities, Series 2001, Class A1, 6.08%, 02/15/35........... $ 1,778,748 7,670,000 Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32........... 8,768,392 12,725,000 Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 2.71%, 06/25/35(c)........ 12,724,999 4,875,000 DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33........... 5,529,630 6,150,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33........... 6,807,030 7,715,596 GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36........... 8,619,821 12,737,013 GSR Mortgage Loan Trust, Series 2003-13, Class 1A1, 4.52%, 10/25/33........... 12,475,384 6,650,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35........... 7,388,000 9,475,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33........... 10,419,379 7,425,000 LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35........... 7,971,997 6,900,000 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 01/15/10........... 8,015,690 6,830,000 LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26........... 7,808,134 7,395,000 LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27........... 7,466,425 8,060,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A2, 4.20%, 12/15/29........... 8,083,994 -------------- 113,857,623 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: OTHER -- 0.4% $ 6,426,823 Structured Asset Securities Corp., Series 2003-AL2, Class A, 3.36%, 01/25/31........... $ 6,131,556 -------------- PRIVATE ASSET BACKED: UTILITIES -- 0.6% 8,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10........... 9,220,028 -------------- REAL ESTATE -- 0.2% 510,000 EOP Operating LP, 4.75%, 03/15/14........... 494,263 2,315,000 EOP Operating LP, 7.50%, 04/19/29........... 2,691,517 -------------- 3,185,780 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 910,000 AvalonBay Communities, Series MTN, 6.63%, 09/15/11........... 1,008,495 2,300,000 Developers Diversified Realty Corp., 3.88%, 01/30/09........... 2,259,147 4,135,000 Rouse Company, 5.38%, 11/26/13........... 3,973,789 -------------- 7,241,431 -------------- RESEARCH AND DEVELOPMENT -- 0.0% 530,000 Bio-Rad Laboratories, Inc. -- 144A, 6.13%, 12/15/14........... 536,625 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.0% 175,000 Fisher Scientific International, Inc. -- 144A, 6.75%, 08/15/14........... 188,563 -------------- SEMICONDUCTORS -- 0.0% 125,000 Freescale Semiconductor, Inc., 6.88%, 07/15/11........... 134,688 245,000 Freescale Semiconductor, Inc., Floating Rate, 4.82%, 07/15/09(b)........ 256,331 320,000 MagnaChip Semiconductor, Ltd. -- 144A, Floating Rate, 5.26%, 12/15/11(b)........ 330,400 -------------- 721,419 -------------- SPECIAL PURPOSE ENTITY -- 0.2% 1,000,000 California Preferred Fund Trust, 7.00%, perpetual.......... 1,042,838 1,600,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09........... 1,592,718 405,000 Rainbow National Services LLC -- 144A, 8.75%, 09/01/12........... 446,513 -------------- 3,082,069 --------------
See notes to financial statements. 79 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.4% $ 2,175,000 BellSouth Corp., 4.20%, 09/15/09........... $ 2,182,984 775,000 BellSouth Corp., 6.55%, 06/15/34........... 847,357 80,000 British Telecom PLC, Variable Rate, 8.88%, 12/15/30(m)........ 107,444 550,000 Cincinnati Bell, Inc., 8.38%, 01/15/14(d)........ 559,625 860,000 Citizens Communications Company, 6.25%, 01/15/13........... 870,750 875,000 Deutsche Telekom International Corp., Variable Rate, 8.25%, 06/15/05(m)........ 895,490 358,000 MCI, Inc., 6.91%, 05/01/07........... 367,398 258,000 MCI, Inc., 6.69%, 05/01/09........... 267,675 2,350,000 New England Telephone & Telegraph, 7.88%, 11/15/29........... 2,845,803 970,000 New Jersey Bell Telephone, 7.85%, 11/15/29........... 1,174,423 605,000 Nextel Communications, Inc., 5.95%, 03/15/14........... 629,200 535,000 Qwest Communications International -- 144A, 7.50%, 02/15/14........... 543,025 2,310,000 Qwest Corp. -- 144A, 7.88%, 09/01/11........... 2,517,900 400,000 Qwest Corp. -- 144A, 9.13%, 03/15/12........... 464,000 480,000 Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14........... 477,600 350,000 Rogers Wireless, Inc. -- 144A (Canada), 7.25%, 12/15/12........... 372,750 130,000 Rogers Wireless, Inc. -- 144A (Canada), 7.50%, 03/15/15........... 137,800 645,000 SBC Communications, Inc., 4.13%, 09/15/09........... 644,504 255,000 SBC Communications, Inc., 6.45%, 06/15/34........... 274,132 950,000 Telecom Italia Capital -- 144A, 4.00%, 01/15/10........... 932,511 655,000 Telecom Italia Capital -- 144A, 4.95%, 09/30/14........... 642,953 2,785,000 Telecom Italia Capital -- 144A, 6.00%, 09/30/34........... 2,732,071 850,000 Telefonica Europe BV, 7.75%, 09/15/10........... 997,958
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 155,000 Verizon Global Funding Corp., 7.75%, 12/01/30........... $ 193,320 215,000 Verizon Maryland, Inc., 5.13%, 06/15/33........... 193,542 1,470,000 Vodafone Group PLC, 5.00%, 12/16/13........... 1,498,427 -------------- 23,370,642 -------------- TRANSPORTATION -- 0.2% 1,350,000 Burlington Northern Santa Fe Corp., 7.29%, 06/01/36........... 1,658,710 765,000 Canadian National Railway Company, 6.90%, 07/15/28........... 883,220 540,000 OMI Corp. (Marshall Island), 7.63%, 12/01/13........... 580,500 810,000 Overseas Shipholding Group, 7.50%, 02/15/24........... 830,250 -------------- 3,952,680 -------------- UTILITIES -- 0.1% 325,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12.......... 367,250 470,000 Orion Power Holdings, Inc., 12.00%, 05/01/10.......... 599,250 -------------- 966,500 -------------- UTILITIES: ELECTRIC -- 0.9% 590,000 First Energy Corp., Series C, 7.38%, 11/15/31........... 675,886 224,753 Homer City Funding LLC, 8.73%, 10/01/26........... 262,960 1,000,000 Midwest Generation LLC, 8.75%, 05/01/34........... 1,140,000 315,000 Midwest Generation LLC, Series B, 8.56%, 01/02/16........... 349,847 2,725,000 Ohio Edison, 5.45%, 05/01/15........... 2,769,524 1,482,000 Ontario Electricity Finance, 6.10%, 01/30/08........... 1,587,775 1,940,000 Progress Energy, Inc., 7.75%, 03/01/31........... 2,335,465 160,000 Reliant Energy, Inc., 9.25%, 07/15/10(d)........ 179,200 355,000 Reliant Energy, Inc., 6.75%, 12/15/14........... 354,556 300,000 SP PowerAssets, Ltd. -- 144A, 5.00%, 10/22/13........... 304,954
See notes to financial statements. 80 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 600,000 Texas Genco LLC/Financing -- 144A, 6.88%, 12/15/14........... $ 623,250 3,750,000 TXU Corp. -- 144A, 4.80%, 11/15/09........... 3,760,747 -------------- 14,344,164 -------------- TOTAL CORPORATE BONDS AND NOTES (Cost $572,771,188)....... 574,379,431 -------------- MUNICIPAL BONDS -- 0.1% CALIFORNIA 1,575,000 California State Department of Water Powersupply Revenue Bond, Series E, 3.98%, 05/01/05 (Cost $1,574,964)......... 1,579,946 -------------- FOREIGN GOVERNMENT OBLIGATIONS -- 2.9% 9,700,000 AID-Israel, 5.50%, 09/18/23........... 10,164,543 75,228,000 Mexican Fixed Rate Bonds, Series M7, 8.00%, 12/24/08(l)........ 6,552,590 49,121,000 Mexican Fixed Rate Bonds, Series MI7, 9.00%, 12/24/09(l)........ 4,378,066 16,795,000 New Zealand Government, Series 415, 6.00%, 04/15/15(i)........ 12,152,731 1,480,000 Quebec Province, 5.00%, 07/17/09........... 1,547,529 3,198,883 Republic of Colombia, 9.75%, 04/09/11........... 3,694,710 2,295,000 United Mexican States, 8.38%, 01/14/11........... 2,701,215 4,045,000 United Mexican States, 8.13%, 12/30/19........... 4,756,920 2,385,000 United Mexican States, 8.00%, 09/24/22........... 2,757,060 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $45,328,200).............. 48,705,364 -------------- PREFERRED CORPORATE BONDS & NOTES -- 0.1% TELECOMMUNICATIONS EQUIPMENT AND SERVICES 2,000,000 TCI Communications Financing III, 9.65%, 03/31/27 (Cost $2,151,273)............... 2,323,092 --------------
PRINCIPAL VALUE --------- -------------- SHORT TERM COMMERCIAL PAPER -- 0.7% $ 7,500,000 HBOS Treasury Services PLC, 2.04%, 01/26/05........... $ 7,489,375 4,500,000 Santander Central Hispano Finance (Delaware), Inc., 2.01%, 01/14/05........... 4,496,734 -------------- TOTAL SHORT TERM COMMERCIAL PAPER (Cost $11,986,109)........ 11,986,109 -------------- SHORT TERM US TREASURY SECURITY -- 0.9% 15,500,000 US Treasury Bill, 1.78%, 01/13/05 (Cost $15,490,824)........ 15,490,824 -------------- SECURITIES LENDING COLLATERAL -- 21.6% 357,709,666 Securities Lending Collateral Investment (Note 4) (Cost $357,709,666)....... 357,709,666 -------------- TOTAL SECURITIES (Cost $2,171,881,538)..... 2,180,919,786 -------------- REPURCHASE AGREEMENTS -- 2.8% 46,075,207 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $46,082,425 (Collateralized by various Fannie Maes, 2.92%, due 01/25/33-02/25/33, with a total value of $21,003,463, and various Small Business Administrations, 5.03% -- 5.38%, due 07/25/16- 02/25/28, with a total value of $27,378,967) (Cost $46,075,207)........ 46,075,207 -------------- SECURITIES SOLD SHORT -- (10.1)% 20,200,000 Fannie Mae, TBA, 5.00%, 01/13/05........... (20,042,198) 43,500,000 Fannie Mae, TBA, 5.50%, 01/13/05........... (44,166,072) 21,400,000 Fannie Mae, TBA, 4.50%, 01/19/05........... (21,333,125) 23,200,000 Fannie Mae, TBA, 5.50%, 01/19/05........... (23,975,762) 3,100,000 Fannie Mae, TBA, 6.00%, 01/19/05........... (3,248,218) 16,300,000 Freddie Mac Gold, TBA, 5.50%, 01/13/05........... (16,559,789)
See notes to financial statements. 81 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- SECURITIES SOLD SHORT (CONTINUED) $ 23,700,000 Freddie Mac Gold, TBA, 6.00%, 01/13/05........... $ (24,485,062) 13,700,000 Government National Mortgage Association, TBA, 5.50%, 01/20/05........... (13,982,562) -------------- TOTAL SECURITIES SOLD SHORT (Proceeds $168,103,608)... (167,792,788) -------------- Total Investments -- 124.4% (Cost $2,049,853,137)..... 2,059,202,205 Liabilities less other assets -- (24.4)%......... (403,834,320) -------------- NET ASSETS -- 100.0%........ $1,655,367,885 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $2,050,735,894. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $16,686,024 Gross unrealized depreciation........... (8,219,713) ----------- Net unrealized appreciation............. $ 8,466,311 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 82 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS -- 63.6% ADVERTISING -- 0.1% 3,500 Interpublic Group of Companies, Inc.*........................ $ 46,900 4,350 Omnicom Group, Inc. ........... 366,792 ------------ 413,692 ------------ AEROSPACE AND DEFENSE -- 1.6% 10,550 General Dynamics Corp. ........ 1,103,530 2,800 Goodrich Corp. ................ 91,392 2,250 L-3 Communications Holdings, Inc. ........................ 164,790 16,650 Lockheed Martin Corp. ......... 924,908 7,700 Northrop Grumman Corp. ........ 418,572 23,750 Raytheon Company............... 922,213 41,100 The Boeing Company............. 2,127,746 11,300 United Technologies Corp. ..... 1,167,855 ------------ 6,921,006 ------------ AGRICULTURE -- 0.1% 6,000 Monsanto Company............... 333,300 ------------ APPAREL: MANUFACTURING -- 0.5% 7,350 Coach, Inc.*................... 414,540 2,650 Jones Apparel Group, Inc. ..... 96,911 2,650 Liz Claiborne, Inc. ........... 111,857 13,250 Nike, Inc. -- Class B.......... 1,201,642 2,200 Reebok International, Ltd.(d)...................... 96,800 6,150 VF Corp. ...................... 340,587 ------------ 2,262,337 ------------ APPAREL: RETAIL -- 0.3% 14,900 Limited Brands, Inc. .......... 342,998 33,450 The Gap, Inc.(d)............... 706,464 ------------ 1,049,462 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.6% 92,400 Ford Motor Company(d).......... 1,352,736 5,100 General Motors Corp.(d)........ 204,306 6,750 Harley-Davidson, Inc. ......... 410,063 9,250 PACCAR, Inc.(d)................ 744,440 ------------ 2,711,545 ------------ AUTOMOTIVE EQUIPMENT -- 0.1% 6,650 Genuine Parts Company.......... 292,999 4,200 Johnson Controls, Inc. ........ 266,448 ------------ 559,447 ------------ BANKS -- 3.9% 7,700 AmSouth Bancorp(d)............. 199,430 86,212 Bank of America Corp. ......... 4,051,101 12,500 BB&T Corp. .................... 525,625 6,700 Comerica, Inc.(d).............. 408,834 5,300 Fifth Third Bancorp............ 250,584
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 1,300 First Horizon National Corp.(d)..................... $ 56,043 6,900 Golden West Financial Corp. ... 423,798 5,450 Huntington Bancshares, Inc.(d)...................... 135,051 15,900 KeyCorp........................ 539,010 2,750 M&T Bank Corp. ................ 296,560 5,500 Marshall & Ilsley Corp. ....... 243,100 10,400 Mellon Financial Corp. ........ 323,544 23,950 National City Corp.(d)......... 899,323 9,950 North Fork Bancorp, Inc. ...... 287,058 1,950 Northern Trust Corp. .......... 94,731 2,600 PNC Financial Services Group... 149,344 8,684 Regions Financial Corp. ....... 309,064 3,200 Sovereign Bancorp, Inc.(d)..... 72,160 7,950 State Street Corp. ............ 390,504 7,200 SunTrust Banks, Inc. .......... 531,936 2,850 Synovus Financial Corp. ....... 81,453 15,400 The Bank of New York Company, Inc. ........................ 514,668 40,482 US Bancorp..................... 1,267,896 34,753 Wachovia Corp. ................ 1,828,007 36,100 Wells Fargo & Company.......... 2,243,614 1,850 Zions Bancorp.................. 125,856 ------------ 16,248,294 ------------ BROADCAST SERVICES/MEDIA -- 1.7% 48,600 Comcast Corp. -- Class A*...... 1,617,408 6,050 Gannett Company, Inc. ......... 494,285 9,550 McGraw-Hill Companies, Inc. ... 874,207 1,050 Meredith Corp. ................ 56,910 45,000 The Walt Disney Company........ 1,251,000 97,050 Time Warner, Inc.*............. 1,886,652 3,000 Tribune Company................ 126,420 24,850 Viacom, Inc. -- Class B........ 904,292 ------------ 7,211,174 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.5% 2,500 Avery Dennison Corp. .......... 149,925 4,000 Cintas Corp. .................. 175,440 3,350 Ecolab, Inc.(d)................ 117,686 19,230 First Data Corp. .............. 818,043 5,000 Fiserv, Inc.*.................. 200,950 3,400 Moody's Corp. ................. 295,290 8,700 Paychex, Inc. ................. 296,496 4,850 Robert Half International, Inc. ........................ 142,736 ------------ 2,196,566 ------------ CHEMICALS -- 0.9% 5,450 Air Products and Chemicals, Inc. ........................ 315,937 1,750 Ashland, Inc. ................. 102,165
See notes to financial statements. 83 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 2,150 Eastman Chemical Company....... $ 124,120 22,300 EI du Pont de Nemours and Company...................... 1,093,814 2,650 Engelhard Corp. ............... 81,276 2,500 International Flavors & Fragrances, Inc. ............ 107,100 9,600 PPG Industries, Inc. .......... 654,336 5,100 Rohm and Haas Company.......... 225,573 2,300 Sigma-Aldrich Corp. ........... 139,058 21,150 The Dow Chemical Company....... 1,047,136 ------------ 3,890,515 ------------ COMMERCIAL SERVICES -- 0.1% 23,150 Cendant Corp. ................. 541,247 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.2% 5,700 Adobe Systems, Inc. ........... 357,618 3,050 Affiliated Computer Services, Inc. -- Class A*(d).......... 183,580 8,500 Autodesk, Inc. ................ 322,575 13,200 Automatic Data Processing, Inc. ........................ 585,420 11,600 BMC Software, Inc.*............ 215,760 3,500 Citrix Systems, Inc.*.......... 85,855 13,000 Computer Associates International, Inc.(d)....... 403,780 4,600 Computer Sciences Corp.*....... 259,302 21,300 Compuware Corp.*............... 137,811 2,650 Electronic Arts, Inc.*......... 163,452 11,350 Electronic Data Systems Corp. ....................... 262,185 4,500 Intuit, Inc.*.................. 198,045 239,650 Microsoft Corp. ............... 6,401,051 2,200 NCR Corp.*..................... 152,306 212,000 Oracle Corp.*.................. 2,908,639 8,700 PeopleSoft, Inc.*.............. 230,376 11,400 Siebel Systems, Inc.*.......... 119,700 7,200 SunGard Data Systems, Inc.*.... 203,976 9,150 Unisys Corp.*.................. 93,147 10,100 VERITAS Software Corp.*(d)..... 288,355 ------------ 13,572,933 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 3.4% 20,000 Apple Computer, Inc.*.......... 1,288,000 91,850 Dell, Inc.*.................... 3,870,558 53,100 EMC Corp. (Massachusetts)*..... 789,597 3,550 Gateway, Inc.*................. 21,336 64,187 Hewlett-Packard Company........ 1,346,001 45,450 International Business Machines Corp. ....................... 4,480,460 2,950 Lexmark International Group, Inc.*........................ 250,750 8,000 Network Appliance, Inc.*....... 265,760
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) COMPUTERS AND OFFICE EQUIPMENT (CONTINUED) 5,550 Pitney Bowes, Inc. ............ $ 256,854 171,300 Sun Microsystems, Inc.*........ 921,594 34,750 Xerox Corp.*................... 591,098 ------------ 14,082,008 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.2% 4,850 American Standard Companies, Inc.*........................ 200,402 1,150 Centex Corp. .................. 68,517 9,500 Masco Corp. ................... 347,035 2,200 Vulcan Materials Company....... 120,142 ------------ 736,096 ------------ CONSUMER GOODS AND SERVICES -- 6.1% 2,400 Alberto-Culver Company -- Class B............................ 116,568 43,950 Altria Group, Inc. ............ 2,685,344 4,250 Avon Products, Inc. ........... 164,475 5,950 Clorox Company................. 350,634 11,850 Colgate-Palmolive Company...... 606,246 10,700 Eastman Kodak Company(d)....... 345,075 15,550 FedEx Corp. ................... 1,531,520 3,250 Fortune Brands, Inc. .......... 250,835 224,300 General Electric Company....... 8,186,949 49,250 Gillette Company............... 2,205,415 10,850 Kimberly-Clark Corp. .......... 714,039 1,900 Leggett & Platt, Inc. ......... 54,017 6,600 Newell Rubbermaid, Inc.(d)..... 159,654 86,950 Procter & Gamble Company....... 4,789,205 3,550 Reynolds American, Inc.(d)..... 279,030 4,150 The Black & Decker Corp.(d).... 366,570 8,100 The Sherwin-Williams Company... 361,503 24,050 United Parcel Service, Inc. -- Class B...................... 2,055,313 6,450 UST, Inc. ..................... 310,310 1,900 Whirlpool Corp.(d)............. 131,499 ------------ 25,664,201 ------------ CONTAINERS AND PACKAGING -- 0.1% 2,600 Ball Corp. .................... 114,348 900 Bemis Company, Inc. ........... 26,181 3,550 Pactiv Corp.*.................. 89,780 2,250 Sealed Air Corp.*.............. 119,857 ------------ 350,166 ------------ DISTRIBUTION -- 0.1% 3,300 WW Grainger, Inc. ............. 219,846 ------------ EDUCATION -- 0.1% 4,350 Apollo Group, Inc. -- Class A*........................... 351,089 ------------
See notes to financial statements. 84 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) ELECTRONICS -- 0.4% 15,800 Emerson Electric Company....... $ 1,107,580 4,550 Jabil Circuit, Inc.*........... 116,389 4,750 Rockwell Collins, Inc. ........ 187,340 300 Sanmina-SCI Corp.*............. 2,541 8,350 Solectron Corp.*............... 44,506 2,900 Tektronix, Inc. ............... 87,609 ------------ 1,545,965 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.1% 12,750 Waste Management, Inc. ........ 381,735 ------------ FINANCIAL SERVICES -- 5.0% 27,050 American Express Company....... 1,524,808 12,650 Capital One Financial Corp.(d)..................... 1,065,257 11,350 CIT Group, Inc. ............... 520,057 111,749 Citigroup, Inc. ............... 5,384,066 11,950 Countrywide Financial Corp. ... 442,270 8,900 E*TRADE Financial Corp.*....... 133,055 2,800 Equifax, Inc. ................. 78,680 20,900 Fannie Mae..................... 1,488,288 5,500 Franklin Resources, Inc. ...... 383,075 15,500 Freddie Mac.................... 1,142,350 11,000 Goldman Sachs Group, Inc. ..... 1,144,440 6,000 H&R Block, Inc. ............... 294,000 9,900 Lehman Brothers Holdings, Inc. ........................ 866,052 27,500 MBNA Corp. .................... 775,225 20,100 Merrill Lynch & Company, Inc. ........................ 1,201,377 23,900 Morgan Stanley................. 1,326,928 6,050 Providian Financial Corp.*..... 99,644 27,150 Prudential Financial, Inc. .... 1,492,163 9,600 SLM Corp. ..................... 512,544 3,850 The Bear Stearns Companies, Inc. ........................ 393,894 18,950 Washington Mutual, Inc. ....... 801,206 ------------ 21,069,379 ------------ FOOD AND BEVERAGE -- 2.3% 7,000 Anheuser-Busch Companies, Inc. ........................ 355,110 13,900 Archer-Daniels-Midland Company...................... 310,109 1,200 Brown-Forman Corp. -- Class B............................ 58,416 9,250 Campbell Soup Company.......... 276,483 52,550 Coca-Cola Company.............. 2,187,656 10,300 Coca-Cola Enterprises, Inc. ... 214,755 12,850 ConAgra Foods, Inc. ........... 378,433 8,900 General Mills, Inc. ........... 442,419 6,100 Hershey Foods Corp. ........... 338,794 8,450 HJ Heinz Company............... 329,466 9,250 Kellogg Company................ 413,105 3,600 McCormick & Company, Inc. ..... 138,960 50,700 PepsiCo, Inc. ................. 2,646,539
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE (CONTINUED) 17,350 Sara Lee Corp. ................ $ 418,829 5,950 The Pepsi Bottling Group, Inc. ........................ 160,888 11,700 Wm Wrigley Jr. Company......... 809,523 ------------ 9,479,485 ------------ INSURANCE -- 3.1% 6,100 Ace, Ltd. ..................... 260,775 7,900 Aetna, Inc. ................... 985,524 11,050 AFLAC, Inc. ................... 440,232 14,750 Allstate Corp. ................ 762,870 2,700 Ambac Financial Group, Inc. ... 221,751 55,653 American International Group, Inc. ........................ 3,654,732 6,950 Aon Corp. ..................... 165,827 9,850 Chubb Corp. ................... 757,465 7,000 CIGNA Corp. ................... 570,990 4,205 Cincinnati Financial Corp. .... 186,113 10,950 Hartford Financial Services Group, Inc. ................. 758,945 5,550 Humana, Inc.*.................. 164,780 1,400 Jefferson-Pilot Corp. ......... 72,744 7,300 Lincoln National Corp. ........ 340,764 10,100 Loews Corp. ................... 710,030 4,700 Marsh & McLennan Companies, Inc. ........................ 154,630 3,300 MBIA, Inc.(d).................. 208,824 16,400 MetLife, Inc. ................. 664,364 2,650 MGIC Investment Corp. ......... 182,612 7,100 Principal Financial Group, Inc. ........................ 290,674 4,950 Progressive Corp. ............. 419,958 6,950 SAFECO Corp. .................. 363,068 2,500 The St. Paul Travelers Companies, Inc. ............. 92,675 2,150 Torchmark Corp. ............... 122,851 3,100 UnumProvident Corp. ........... 55,614 3,300 XL Capital, Ltd. -- Class A(d)......................... 256,245 ------------ 12,865,057 ------------ INTERNET SERVICES -- 1.6% 142,600 Cisco Systems, Inc.*........... 2,752,180 14,600 eBay, Inc.*.................... 1,697,688 8,000 Novell, Inc.*(d)............... 54,000 32,100 Symantec Corp.*................ 826,896 31,500 YAHOO!, Inc.*.................. 1,186,920 ------------ 6,517,684 ------------ LEISURE AND RECREATION -- 0.6% 2,050 Brunswick Corp. ............... 101,475 14,350 Carnival Corp. ................ 826,990 2,350 Harrah's Entertainment, Inc. ........................ 157,192
See notes to financial statements. 85 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) LEISURE AND RECREATION (CONTINUED) 8,150 Hilton Hotels Corp. ........... $ 185,331 8,900 International Game Technology................... 305,982 8,700 Marriott International, Inc. -- Class A...................... 547,926 5,000 Starwood Hotels & Resorts Worldwide, Inc. ............. 292,000 ------------ 2,416,896 ------------ MACHINERY -- 0.4% 3,150 Caterpillar, Inc. ............. 307,157 1,700 Cummins, Inc. ................. 142,443 5,600 Deere & Company................ 416,640 1,900 Dover Corp. ................... 79,686 4,000 Ingersoll-Rand Company, Ltd. -- Class A...................... 321,200 4,300 Rockwell Automation, Inc. ..... 213,065 ------------ 1,480,191 ------------ MANUFACTURING -- 1.5% 25,500 3M Company..................... 2,092,784 1,800 Cooper Industries, Ltd. -- Class A.............. 122,202 7,500 Danaher Corp. ................. 430,575 3,800 Eaton Corp. ................... 274,968 18,450 Honeywell International, Inc. ........................ 653,315 6,700 Illinois Tool Works, Inc. ..... 620,956 2,250 ITT Industries, Inc. .......... 190,013 2,850 Parker Hannifin Corp. ......... 215,859 3,200 Textron, Inc. ................. 236,160 43,250 Tyco International, Ltd. ...... 1,545,755 ------------ 6,382,587 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 1.3% 700 Express Scripts, Inc.*......... 53,508 4,950 IMS Health, Inc. .............. 114,890 3,200 Laboratory Corp. of America Holdings*.................... 159,424 3,550 Manor Care, Inc. .............. 125,777 6,550 McKesson Corp. ................ 206,063 4,808 Medco Health Solutions, Inc.*........................ 200,013 950 Quest Diagnostics, Inc. ....... 90,773 29,650 UnitedHealth Group, Inc. ...... 2,610,089 15,550 WellPoint, Inc.*............... 1,788,249 ------------ 5,348,786 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 2.5% 2,850 Allergan, Inc. ................ 231,050 1,600 Bausch & Lomb, Inc. ........... 103,136 5,400 Baxter International, Inc. .... 186,516 12,700 Becton, Dickinson and Company...................... 721,360 5,700 Biomet, Inc. .................. 247,323 18,550 Boston Scientific Corp.*....... 659,453
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED) 2,600 CR Bard, Inc. ................. $ 166,348 2,800 Guidant Corp. ................. 201,880 95,200 Johnson & Johnson.............. 6,037,583 25,750 Medtronic, Inc. ............... 1,279,003 8,100 St. Jude Medical, Inc.*........ 339,633 5,550 Zimmer Holdings, Inc.*......... 444,666 ------------ 10,617,951 ------------ METALS AND MINING -- 0.2% 3,900 Nucor Corp.(d)................. 204,126 4,050 Phelps Dodge Corp. ............ 400,626 4,200 United States Steel Corp. ..... 215,250 ------------ 820,002 ------------ OIL AND GAS: PIPELINES -- 0.1% 21,150 Dynegy, Inc. -- Class A*(d).... 97,713 12,650 El Paso Corp. ................. 131,560 1,100 Kinder Morgan, Inc. ........... 80,443 11,150 Williams Companies, Inc. ...... 181,634 ------------ 491,350 ------------ OIL, COAL AND GAS -- 4.9% 3,750 Amerada Hess Corp. ............ 308,925 9,300 Anadarko Petroleum Corp. ...... 602,733 7,514 Apache Corp. .................. 379,983 7,450 Baker Hughes, Inc. ............ 317,892 3,600 BJ Services Company............ 167,544 21,300 Burlington Resources, Inc. .... 926,550 61,450 ChevronTexaco Corp. ........... 3,226,739 22,913 ConocoPhillips................. 1,989,535 25,600 Devon Energy Corp. ............ 996,352 2,850 EOG Resources, Inc. ........... 203,376 161,050 Exxon Mobil Corp. ............. 8,255,422 9,650 Halliburton Company............ 378,666 2,400 Kerr-McGee Corp. .............. 138,696 7,450 Marathon Oil Corp. ............ 280,195 1,350 Nabors Industries, Ltd.*....... 69,242 3,350 Noble Corp.*................... 166,629 8,450 Occidental Petroleum Corp. .... 493,142 7,600 Praxair, Inc. ................. 335,540 3,100 Sunoco, Inc. .................. 253,301 3,600 Transocean, Inc.*.............. 152,604 5,600 Unocal Corp. .................. 242,144 13,200 Valero Energy Corp. ........... 599,280 ------------ 20,484,490 ------------ PAPER AND FOREST PRODUCTS -- 0.3% 5,800 Georgia-Pacific Corp. ......... 217,384 4,550 International Paper Company.... 191,100 2,850 Louisiana-Pacific Corp. ....... 76,209
See notes to financial statements. 86 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PAPER AND FOREST PRODUCTS (CONTINUED) 4,950 MeadWestvaco Corp. ............ $ 167,756 1,850 Plum Creek Timber Company, Inc. ........................ 71,114 1,300 Temple-Inland, Inc. ........... 88,920 8,750 Weyerhauser Company............ 588,175 ------------ 1,400,658 ------------ PHARMACEUTICALS -- 3.2% 34,100 Abbott Laboratories............ 1,590,764 4,300 AmerisourceBergen Corp. ....... 252,324 43,600 Bristol-Myers Squibb Company... 1,117,032 9,600 Cardinal Health, Inc.(d)....... 558,240 23,550 Caremark Rx, Inc.*............. 928,577 9,650 Eli Lilly and Company.......... 547,638 8,350 Forest Laboratories, Inc.*(d)..................... 374,581 3,715 Hospira, Inc.*................. 124,453 2,500 King Pharmaceuticals, Inc.*.... 31,000 48,200 Merck & Company, Inc. ......... 1,549,147 160,410 Pfizer, Inc. .................. 4,313,424 31,750 Schering-Plough Corp. ......... 662,940 29,800 Wyeth.......................... 1,269,182 ------------ 13,319,302 ------------ PRINTING AND PUBLISHING -- 0.1% 800 Knight-Ridder, Inc. ........... 53,552 3,300 New York Times Company -- Class A............................ 134,640 3,300 RR Donnelley & Sons Company.... 116,457 ------------ 304,649 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.1% 3,850 Equity Office Properties Trust........................ 112,112 100 Equity Residential............. 3,618 3,950 ProLogis....................... 171,154 4,900 Simon Property Group, Inc. .... 316,883 ------------ 603,767 ------------ RESEARCH AND DEVELOPMENT -- 0.6% 26,834 Amgen, Inc.*................... 1,721,400 7,050 Biogen Idec, Inc.*............. 469,601 2,150 Genzyme Corp.*................. 124,851 9,900 Gilead Sciences, Inc.*......... 346,401 1,050 Millipore Corp.*(d)............ 52,301 ------------ 2,714,554 ------------ RETAIL -- 3.9% 6,800 Bed Bath & Beyond, Inc.*....... 270,844 7,450 Best Buy Company, Inc. ........ 442,679 8,900 Circuit City Stores, Inc. ..... 139,196 24,500 Costco Wholesale Corp. ........ 1,186,044 9,500 CVS Corp. ..................... 428,165
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 3,900 Federated Department Stores, Inc. ........................ $ 225,381 82,650 Home Depot, Inc. .............. 3,532,460 13,950 JC Penney Company, Inc. (Holding Company)............ 577,530 3,050 Kohl's Corp.*.................. 149,969 16,400 Lowe's Companies, Inc.(d)...... 944,476 6,650 May Department Stores Company.. 195,510 3,100 Nordstrom, Inc. ............... 144,863 14,850 Office Depot, Inc.*............ 257,796 3,500 RadioShack Corp. .............. 115,080 25,850 Staples, Inc. ................. 871,404 19,950 Target Corp. .................. 1,036,004 11,600 TJX Companies, Inc.(d)......... 291,508 4,250 Toys "R" Us, Inc.*............. 86,998 91,220 Wal-Mart Stores, Inc. ......... 4,818,239 21,950 Walgreen Company............... 842,222 ------------ 16,556,368 ------------ RETAIL: RESTAURANTS -- 0.8% 3,900 Darden Restaurants, Inc. ...... 108,186 63,950 McDonald's Corp. .............. 2,050,237 14,650 Starbucks Corp.*............... 913,574 2,550 Wendy's International, Inc. ... 100,113 6,450 YUM! Brands, Inc. ............. 304,311 ------------ 3,476,421 ------------ RETAIL: SUPERMARKETS -- 0.1% 3,450 Albertson's, Inc.(d)........... 82,386 5,150 SUPERVALU, Inc. ............... 177,778 6,600 The Kroger Company*............ 115,764 ------------ 375,928 ------------ RUBBER PRODUCTS -- 0.0% 3,900 The Goodyear Tire & Rubber Company*..................... 57,174 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.3% 11,000 Agilent Technologies, Inc.*.... 265,100 6,700 Applera Corp.-Applied Biosystems Group............. 140,097 2,750 Fisher Scientific International, Inc.*......... 171,545 1,100 Pall Corp.(d).................. 31,845 2,450 PerkinElmer, Inc. ............. 55,101 9,250 Thermo Electron Corp.*......... 279,257 2,650 Waters Corp.*.................. 123,994 ------------ 1,066,939 ------------ SEMICONDUCTORS -- 1.5% 8,450 Altera Corp.*.................. 174,915 8,400 Analog Devices, Inc. .......... 310,128
See notes to financial statements. 87 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 36,700 Applied Materials, Inc.*....... $ 627,570 9,339 Freescale Semiconductor, Inc. -- Class B*............. 171,464 137,850 Intel Corp. ................... 3,224,312 4,800 KLA-Tencor Corp.*.............. 223,584 7,550 Linear Technology Corp. ....... 292,638 3,100 Maxim Integrated Products, Inc. ........................ 131,409 6,000 National Semiconductor Corp. ....................... 107,700 36,550 Texas Instruments, Inc. ....... 899,861 ------------ 6,163,581 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.0% 11,350 ALLTEL Corp. .................. 666,926 6,760 AT&T Corp. .................... 128,846 10,350 Avaya, Inc.*(d)................ 178,020 39,500 BellSouth Corp. ............... 1,097,705 3,950 CenturyTel, Inc. .............. 140,107 7,300 Citizens Communications Company...................... 100,667 3,850 Comverse Technology, Inc.*..... 94,133 11,850 Corning, Inc.*................. 139,475 91,850 Lucent Technologies, Inc.*(d)..................... 345,356 85,900 Motorola, Inc. ................ 1,477,479 25,600 Nextel Communications, Inc. -- Class A*..................... 768,000 35,050 QUALCOMM, Inc. ................ 1,486,119 16,500 Qwest Communications International, Inc.*......... 73,260 71,000 SBC Communications, Inc. ...... 1,829,669 3,450 Scientific-Atlanta, Inc. ...... 113,885 31,050 Sprint Corp. (FON Group)....... 771,593 10,150 Tellabs, Inc.*................. 87,189 78,950 Verizon Communications, Inc. ........................ 3,198,264 ------------ 12,696,693 ------------ TOOLS -- 0.0% 1,700 Snap-on, Inc. ................. 58,412 2,550 Stanley Works(d)............... 124,925 ------------ 183,337 ------------ TOYS -- 0.1% 3,750 Hasbro, Inc. .................. 72,675 9,750 Mattel, Inc. .................. 190,028 ------------ 262,703 ------------ TRANSPORTATION -- 0.3% 9,100 Burlington Northern Santa Fe Corp. ....................... 430,521 5,300 CSX Corp. ..................... 212,424 14,750 Norfolk Southern Corp. ........ 533,802
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TRANSPORTATION (CONTINUED) 1,250 Ryder System, Inc. ............ $ 59,713 5,050 Sabre Holdings Corp. -- Class A............................ 111,908 ------------ 1,348,368 ------------ UTILITIES: ELECTRIC -- 1.6% 25,350 AES Corp.*..................... 346,535 1,850 Ameren Corp. .................. 92,759 9,540 American Electric Power Company, Inc. ............... 327,604 4,050 Cinergy Corp. ................. 168,602 5,800 Consolidated Edison, Inc.(d)... 253,750 4,000 Constellation Energy Group, Inc. ........................ 174,840 2,850 Dominion Resources, Inc. (Virginia)................... 193,059 3,350 DTE Energy Company............. 144,486 48,400 Duke Energy Corp. ............. 1,225,971 7,600 Edison International........... 243,428 4,950 Entergy Corp. ................. 334,571 14,300 Exelon Corp. .................. 630,200 8,350 FirstEnergy Corp. ............. 329,909 4,250 FPL Group, Inc. ............... 317,688 8,450 PG&E Corp.*.................... 281,216 2,150 Pinnacle West Capital Corp. ... 95,482 7,050 PPL Corp. ..................... 375,624 16,050 Southern Company(d)............ 537,995 9,250 TXU Corp.(d)................... 597,179 9,550 Xcel Energy, Inc. ............. 173,810 ------------ 6,844,708 ------------ UTILITIES: GAS -- 0.1% 4,550 KeySpan Corp. ................. 179,498 2,300 NiSource, Inc. ................ 52,394 9,200 Sempra Energy.................. 337,456 ------------ 569,348 ------------ TOTAL COMMON STOCKS (Cost $233,132,030).......... 267,160,980 ------------ PRINCIPAL --------- US TREASURY SECURITIES -- 9.0% US TREASURY BONDS -- 2.5% $ 2,345,000 10.38%, 11/15/12(d)............ 2,796,598 1,150,000 12.00%, 08/15/13(d)............ 1,482,512 1,000,000 6.00%, 02/15/26................ 1,145,821 1,260,000 6.13%, 11/15/27................ 1,471,986 1,060,000 5.50%, 08/15/28................ 1,147,616 2,405,000 5.38%, 02/15/31(d)............. 2,601,347 ------------ 10,645,880 ------------
See notes to financial statements. 88 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES (CONTINUED) US TREASURY NOTES -- 6.5% $14,120,000 2.38%, 08/31/06................ $ 13,983,771 4,130,000 2.50%, 09/30/06(d)............. 4,095,638 4,370,000 2.50%, 10/31/06................ 4,330,569 4,280,000 3.00%, 11/15/07(d)............. 4,254,924 545,000 3.50%, 12/15/09(d)............. 542,531 ------------ 27,207,433 ------------ TOTAL US TREASURY SECURITIES (Cost $38,048,417)........... 37,853,313 ------------ US GOVERNMENT AGENCY SECURITIES -- 16.1% FANNIE MAE -- 10.5% 300,000 1.75%, 06/16/06................ 294,284 2,225,000 2.71%, 01/30/07................ 2,200,957 1,355,000 2.35%, 04/05/07................ 1,327,409 520,000 3.13%, 03/16/09................ 505,776 40,000 6.63%, 09/15/09................ 44,708 1,160,000 5.50%, 07/18/12................ 1,174,138 700,000 4.75%, 02/21/13................ 696,940 352,718 PL# 252345, 6.00%, 03/01/14(e).................. 370,501 307,513 PL# 254346, 6.50%, 06/01/32.... 322,868 181,523 PL# 255069, 5.00%, 01/01/34.... 180,515 372,682 PL# 255225, 5.50%, 06/01/34(e).................. 378,689 119,366 PL# 255269, 5.50%, 07/01/34(e).................. 121,290 1,200,119 PL# 255452, 5.50%, 10/01/19(e).................. 1,241,484 234,067 PL# 323842, 5.50%, 07/01/14(e).................. 242,643 654,689 PL# 357414, 4.00%, 07/01/18.... 640,528 300,992 PL# 406815, 7.00%, 07/01/28.... 319,616 277,732 PL# 535675, 7.00%, 01/01/16.... 294,551 983 PL# 549906, 7.50%, 09/01/30.... 1,054 3,893 PL# 552549, 7.50%, 09/01/30.... 4,173 775,293 PL# 555034, 6.00%, 09/01/17(e).................. 813,116 30,482 PL# 555455, 6.00%, 04/01/18.... 31,969 9,969 PL# 555514, 6.00%, 11/01/17.... 10,456 473,802 PL# 555531, 5.50%, 06/01/33(e).................. 481,569 1,295 PL# 558384, 7.50%, 01/01/31.... 1,388 96,863 PL# 566031, 6.00%, 03/01/16.... 101,594 4,236 PL# 568677, 7.50%, 01/01/31.... 4,540 3,648 PL# 572762, 7.50%, 03/01/31.... 3,910 23,642 PL# 575334, 6.00%, 04/01/16.... 24,796 38,629 PL# 577523, 6.00%, 05/01/16.... 40,516 12,029 PL# 578769, 6.00%, 05/01/16.... 12,617 167,083 PL# 579234, 6.00%, 04/01/16.... 175,244 5,222 PL# 581450, 6.50%, 06/01/31.... 5,486 20,648 PL# 582178, 7.50%, 06/01/31.... 22,129 85,193 PL# 582491, 6.00%, 05/01/16.... 89,354 5,112 PL# 589433, 6.50%, 07/01/31.... 5,368 13,627 PL# 594316, 6.50%, 07/01/31.... 14,310 2,676 PL# 602859, 6.50%, 10/01/31.... 2,810 68,821 PL# 614924, 7.00%, 12/01/16.... 72,985
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 30,694 PL# 618454, 5.50%, 12/01/16(e).................. $ 31,782 6,463 PL# 620174, 6.50%, 12/01/31.... 6,786 142,925 PL# 627256, 6.50%, 03/01/32.... 150,061 74,218 PL# 629167, 6.50%, 08/01/32.... 77,924 300,970 PL# 635164, 6.50%, 08/01/32.... 315,998 66,030 PL# 643361, 6.00%, 07/01/17.... 69,252 176,367 PL# 650296, 6.50%, 08/01/32.... 185,173 333,295 PL# 693252, 6.50%, 03/01/33.... 349,741 44,218 PL# 701353, 5.50%, 04/01/18(e).................. 45,761 183,337 PL# 725174, 5.50%, 01/01/19(e).................. 189,692 3,342,696 PL# 725232, 5.00%, 03/01/34(e).................. 3,324,133 305,811 PL# 725418, 6.50%, 05/01/34.... 321,128 705,477 PL# 725464, 6.00%, 04/01/19.... 740,798 468,066 PL# 725551, 5.50%, 06/01/19(e).................. 484,290 917,808 PL# 725603, 5.50%, 07/01/19.... 949,621 371,006 PL# 727361, 5.00%, 08/01/18.... 377,415 2,000,000 PL# 739339, 5.50%, 09/01/18.... 2,069,323 148,508 PL# 740491, 6.00%, 10/01/18.... 155,746 45,861 PL# 744714, 4.50%, 10/01/18(e).................. 45,832 94,347 PL# 748975, 4.00%, 10/01/18.... 92,306 517,149 PL# 749105, 4.50%, 10/01/18(e).................. 516,829 642,353 PL# 770052, 4.50%, 03/01/19(e).................. 640,912 152,704 PL# 772962, 5.50%, 05/01/34(e).................. 155,166 1,185,251 PL# 773068, 5.50%, 03/01/34(e).................. 1,204,356 91,121 PL# 773100, 5.50%, 04/01/34(e).................. 92,590 483,211 PL# 773177, 5.50%, 06/01/34(e).................. 490,999 468,643 PL# 773385, 5.50%, 05/01/34(e).................. 476,197 217,187 PL# 773589, 5.50%, 07/01/34(e).................. 220,688 745,617 PL# 777336, 4.50%, 04/01/19(e).................. 743,945 48,504 PL# 779556, 5.50%, 06/01/34(e).................. 49,286 868,362 PL# 780899, 5.50%, 05/01/34(e).................. 882,360 449,101 PL# 786388, 5.50%, 07/01/34(e).................. 456,340 496,580 PL# 788262, 5.50%, 07/01/34(e).................. 504,585 698,055 PL# 791674, 6.00%, 09/01/17.... 732,149 111,703 PL# 792083, 6.50%, 10/01/34.... 117,216 525,863 PL# 793193, 5.50%, 07/01/19.... 543,988 700,000 TBA, 4.00%, 01/01/20........... 683,375 600,000 TBA, 4.50%, 01/01/20........... 598,125 3,200,000 TBA, 5.00%, 01/01/20........... 3,251,002 1,500,000 TBA, 4.56%, 12/01/34........... 1,511,250 700,000 TBA, 4.50%, 01/01/35........... 676,593 800,000 TBA, 5.00%, 01/01/35........... 793,750 100,000 TBA, 5.50%, 01/01/35........... 101,531 4,400,000 TBA, 6.00%, 01/01/35........... 4,549,874 2,000,000 TBA, 6.50%, 01/01/35........... 2,097,500 ------------ 44,349,649 ------------
See notes to financial statements. 89 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC -- 0.6% $ 60,000 3.88%, 11/10/08................ $ 60,131 410,000 3.88%, 01/12/09................ 408,685 1,230,000 4.13%, 02/24/11................ 1,212,666 695,000 Series MTN, 3.01%, 04/19/07.... 690,543 ------------ 2,372,025 ------------ FREDDIE MAC GOLD -- 2.2% 2,700,000 4.50%, 12/16/10................ 2,700,909 261,749 PL# A12447, 6.00%, 08/01/33(e).................. 270,591 220,881 PL# A12800, 5.50%, 08/01/33.... 224,665 487,537 PL# B13607, 4.50%, 04/01/19(e).................. 486,363 471,182 PL# B14156, 4.00%, 05/01/19.... 461,135 481,176 PL# B14794, 4.50%, 06/01/19(e).................. 480,017 531,786 PL# C01623, 5.50%, 09/01/33(e).................. 540,895 50,703 PL# C64741, 7.00%, 03/01/32.... 53,753 496,395 PL# C75655, 6.00%, 01/01/33(e).................. 513,646 189,159 PL# E90827, 5.50%, 08/01/17.... 195,674 9,726 PL# G01309, 7.00%, 08/01/31.... 10,311 97,915 PL# G01315, 7.00%, 09/01/31.... 103,837 245,732 PL# G01391, 7.00%, 04/01/32.... 260,595 372,206 PL# M80813, 4.00%, 04/01/10.... 370,822 1,000,000 TBA, 5.50%, 01/01/20........... 1,032,812 600,000 TBA, 6.00%, 01/01/35........... 619,875 1,100,000 TBA, 5.00%, 01/01/35........... 1,092,438 ------------ 9,418,338 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 1.3% 287,558 PL# 3161, 6.50%, 11/20/31...... 302,429 9,677 PL# 461836, 7.00%, 01/15/28.... 10,304 35,472 PL# 480112, 6.00%, 04/15/29.... 36,878 31,735 PL# 499445, 6.00%, 04/15/29.... 32,992 44,619 PL# 552851, 6.00%, 10/15/32.... 46,312 103,347 PL# 555581, 7.00%, 10/15/31.... 109,878 98,083 PL# 578249, 6.00%, 10/15/32.... 101,805 297,321 PL# 590257, 6.00%, 10/15/32.... 308,605 100,010 PL# 594411, 6.50%, 09/15/32.... 105,402 2,941 PL# 596647, 7.00%, 09/15/32.... 3,127 169,549 PL# 607183, 6.00%, 11/15/33.... 175,888 192,190 PL# 616026, 6.00%, 10/15/33.... 199,376 857,686 PL# 625651, 5.50%, 01/15/34(e).................. 876,699 185,322 PL# 629348, 5.50%, 02/15/34(e).................. 189,430 88,645 PL# 780914, 6.00%, 11/15/28.... 92,228 304,299 PL# 781328, 7.00%, 09/15/31.... 323,611 1,368,242 PL# 80916, 3.75%, 05/20/34..... 1,349,838 1,100,000 TBA, 5.50%, 01/01/35........... 1,122,688 ------------ 5,387,490 ------------
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 1.1% $ 600,000 Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10.............. $ 654,297 390,129 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29..................... 403,327 365,000 Fannie Mae, Series 2002-81, Class BR, 5.25%, 04/25/25..................... 373,895 430,000 Fannie Mae, Series 2004-101, Class AR, 5.50%, 01/25/35.............. 448,813 601,746 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34.............. 613,974 730,000 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34.............. 751,448 325,000 Freddie Mac, Series 2550, Class QP, 5.00%, 03/15/26.............. 328,564 602,485 Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15.............. 623,866 426,913 Freddie Mac, Series 2877, Class PA, 5.50%, 07/15/33.............. 440,328 ------------ 4,638,512 ------------ PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.3% 472,946 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12.............. 483,410 637,152 Small Business Administration, Series 2004-P10A, 4.50%, 02/10/14.............. 633,403 ------------ 1,116,813 ------------ RESOLUTION FUNDING STRIPS -- 0.1% 250,000 Zero coupon, 07/15/18.......... 127,526 250,000 Zero coupon, 10/15/18.......... 125,603 ------------ 253,129 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $67,141,801)................. 67,535,956 ------------ CORPORATE BONDS AND NOTES -- 12.0% AEROSPACE AND DEFENSE -- 0.3% 35,000 B/E Aerospace, 8.50%, 10/01/10.............. 38,675 190,000 Lockheed Martin Corp., 7.65%, 05/01/16.............. 233,258 80,000 Lockheed Martin Corp., 8.50%, 12/01/29.............. 109,798 110,000 Lockheed Martin Corp., 7.20%, 05/01/36.............. 134,019
See notes to financial statements. 90 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) AEROSPACE AND DEFENSE (CONTINUED) $ 220,000 Northrop Grumman Corp., 4.08%, 11/16/06.............. $ 222,322 90,000 Northrop Grumman Corp., 7.13%, 02/15/11.............. 103,415 20,000 Northrop Grumman Corp., 7.75%, 02/15/31.............. 25,688 720,000 RC Trust I, 7.00%, 05/15/06.............. 379,575 ------------ 1,246,750 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.1% 60,000 Daimler Chrysler AG Corp., 7.45%, 03/01/27.............. 66,901 25,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08.............. 24,968 150,000 Daimler Chrysler NA Holding, Series MTND, Floating Rate, 2.94%, 09/10/07(b)........... 150,607 ------------ 242,476 ------------ BANKS -- 2.2% 400,000 American Express Bank FSB, Series BKNT, Floating Rate, 2.49%, 11/21/07(c)........... 400,164 250,000 American Express Centurion Bank, Series BKNT, 4.38%, 07/30/09.............. 254,242 155,000 Bank of America Corp., 3.88%, 01/15/08.............. 156,320 175,000 Bank of America Corp., 3.25%, 08/15/08.............. 172,160 5,000 Bank of America Corp., 7.80%, 02/15/10.............. 5,821 80,000 Bank of America Corp., 4.38%, 12/01/10.............. 80,342 45,000 Bank of America Corp., 5.38%, 06/15/14.............. 47,048 325,000 Bank One Corp., 6.00%, 08/01/08.............. 348,121 175,000 Chase Manhattan Corp., 7.13%, 06/15/09.............. 194,895 600,000 DEPFA ACS Bank, 3.63%, 10/29/08.............. 596,249 190,000 FleetBoston Financial Corp., 3.85%, 02/15/08.............. 191,020 260,000 HBOS Treasury Services PLC -- 144A, 3.75%, 09/30/08.............. 259,791 575,000 HSBC Bank USA, Series BKNT, Floating Rate, 2.59%, 09/21/07(b)........... 575,695 175,000 JP Morgan Chase & Company, 5.35%, 03/01/07.............. 181,744 50,000 JP Morgan Chase & Company, 5.25%, 05/30/07.............. 52,009
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 75,000 JP Morgan Chase & Company, 3.63%, 05/01/08.............. $ 74,526 50,000 JP Morgan Chase & Company, 3.50%, 03/15/09.............. 49,036 85,000 JP Morgan Chase & Company, Floating Rate, 2.75%, 10/02/09(b)........... 85,217 250,000 National City Bank, Series BKNT, Floating Rate, 2.67%, 06/29/09(b)........... 250,153 115,000 RBS Capital Trust I, Variable Rate, 4.71%, perpetual(a).......... 112,226 300,000 State Street Bank & Trust, Series CD1, Floating Rate, 2.41%, 12/11/06(b)........... 299,820 290,000 SunTrust Banks, Inc., 3.63%, 10/15/07.............. 289,510 150,000 SunTrust Banks, Inc., 4.00%, 10/15/08.............. 151,514 215,000 SunTrust Banks, Inc., 4.42%, 06/15/09.............. 218,113 250,000 Swedish Export Credit, 2.88%, 01/26/07.............. 247,615 100,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual(a).......... 120,342 50,000 US Bancorp, Series MTNN, 3.95%, 08/23/07.............. 50,512 475,000 US Bank NA, 2.87%, 02/01/07.............. 471,123 275,000 US Bank NA, 2.40%, 03/12/07.............. 270,003 275,000 US Bank NA, Series BKNT, Floating Rate, 2.59%, 10/01/07(b)........... 275,200 115,000 Wachovia Corp., 3.63%, 02/17/09.............. 113,784 1,025,000 Wells Fargo & Company, 4.00%, 08/15/08.............. 1,032,713 625,000 Wells Fargo & Company, 4.20%, 01/15/10.............. 628,245 200,000 Wells Fargo & Company, Floating Rate, 2.61%, 09/28/07(b)........... 200,193 725,000 Wells Fargo & Company, Floating Rate, 2.59%, 09/15/09(b)........... 725,101 100,000 Wells Fargo Bank NA, Series BKNT, Variable Rate, 7.80%, 06/15/10(a)........... 102,104 ------------ 9,282,671 ------------
See notes to financial statements. 91 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA -- 0.6% $ 170,000 Charter Communications Holdings LLC, 10.75%, 10/01/09............. $ 155,550 465,000 Comcast Cable Communications, Inc., 6.75%, 01/30/11.............. 522,845 30,000 Comcast Corp., 5.50%, 03/15/11.............. 31,750 50,000 Cox Communications, Inc., 7.75%, 11/01/10.............. 57,343 200,000 Cox Communications, Inc. -- 144A, 4.63%, 01/15/10.............. 199,760 40,000 CSC Holdings, Inc., 7.88%, 02/15/18.............. 43,400 70,000 CSC Holdings, Inc. -- 144A, 6.75%, 04/15/12(d)........... 72,450 60,000 EchoStar DBS Corp. -- 144A, 6.63%, 10/01/14.............. 61,050 20,000 News America Holdings, 7.63%, 11/30/28.............. 23,821 75,000 News America, Inc., 7.30%, 04/30/28.............. 86,195 175,000 News America, Inc., 7.28%, 06/30/28.............. 200,593 100,000 News America, Inc. -- 144A, 5.30%, 12/15/14.............. 101,374 10,000 Rogers Cable, Inc. -- 144A (Canada), 6.75%, 03/15/15.............. 10,275 83,000 TCI Communications, Inc., 7.88%, 08/01/13.............. 99,677 35,000 TCI Communications, Inc., 8.75%, 08/01/15.............. 44,723 110,000 TCI Communications, Inc., 7.88%, 02/15/26.............. 135,464 380,000 Time Warner, Inc., 6.63%, 05/15/29.............. 410,733 50,000 Walt Disney Company, Series MTNB, 6.20%, 06/20/14.............. 55,450 ------------ 2,312,453 ------------ CHEMICALS -- 0.0% 60,000 Crown Euro Holdings SA (France), 9.50%, 03/01/11.............. 68,700 45,000 Nalco Company, 7.75%, 11/15/11.............. 48,825 ------------ 117,525 ------------ FINANCIAL SERVICES -- 2.2% 130,000 Associates Corp. NA, 6.25%, 11/01/08.............. 141,040 375,000 Citigroup, Inc., 3.50%, 02/01/08.............. 373,597
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 1,565,000 Citigroup, Inc., 3.63%, 02/09/09(d)........... $ 1,553,041 100,000 Citigroup, Inc., 6.20%, 03/15/09.............. 108,785 700,000 Citigroup, Inc., Floating Rate, 2.59%, 06/09/09(b)........... 701,939 30,000 E*TRADE Financial Corp. -- 144A, 8.00%, 06/15/11.............. 32,400 710,000 Eksportfinans ASA, Series MTN, 3.38%, 01/15/08.............. 706,841 175,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07.............. 188,700 995,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08.............. 1,011,465 610,000 General Electric Capital Corp., Series MTNA, 3.60%, 10/15/08.............. 603,860 60,000 General Electric Capital Corp., Series MTNA, 4.38%, 11/21/11.............. 59,732 650,000 General Electric Capital Corp., Series MTNA, Floating Rate, 2.22%, 07/28/08(b)........... 651,223 420,000 General Motors Acceptance Corp., 5.63%, 05/15/09.............. 420,416 175,000 General Motors Acceptance Corp., 7.25%, 03/02/11.............. 183,445 100,000 General Motors Acceptance Corp., 6.88%, 09/15/11.............. 102,616 25,000 General Motors Acceptance Corp., 8.00%, 11/01/31.............. 25,769 50,000 Household Finance Corp., 7.20%, 07/15/06.............. 52,819 325,000 Household Finance Corp., 6.50%, 11/15/08.............. 353,765 125,000 Household Finance Corp., 4.13%, 12/15/08.............. 125,624 50,000 Household Finance Corp., 7.00%, 05/15/12.............. 57,182 390,000 Household Finance Corp., 6.38%, 11/27/12.............. 431,580 100,000 HSBC Finance Corp., 6.75%, 05/15/11.............. 112,369 55,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08.............. 60,134 400,000 Nationwide Building Society -- 144A, 3.50%, 07/31/07.............. 398,427 45,000 REFCO Finance Holdings -- 144A, 9.00%, 08/01/12.............. 49,500 375,000 SLM Corp., 4.00%, 01/15/10.............. 372,516
See notes to financial statements. 92 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 60,000 SLM Corp., Series MTNA, 3.63%, 03/17/08.............. $ 59,757 220,000 TIAA Global Markets -- 144A, 3.88%, 01/22/08.............. 221,522 175,000 USAA Capital Corp. -- 144A, Series MTNB, 4.00%, 12/10/07.............. 177,121 ------------ 9,337,185 ------------ FOOD AND BEVERAGE -- 0.1% 195,000 Diageo Capital PLC, 3.38%, 03/20/08.............. 193,298 125,000 General Mills, Inc., 5.13%, 02/15/07.............. 128,404 ------------ 321,702 ------------ INSURANCE -- 0.5% 225,000 Allstate Financial Global Funding -- 144A, 6.15%, 02/01/06.............. 232,020 125,000 ASIF Global Financial XVIII -- 144A, 3.85%, 11/26/07.............. 125,563 610,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08.............. 610,265 225,000 Berkshire Hathaway Finance Corp., 3.38%, 10/15/08.............. 222,621 195,000 Berkshire Hathaway Finance Corp. -- 144A, 3.40%, 07/02/07.............. 194,654 150,000 Liberty Mutual Group -- 144A, 5.75%, 03/15/14.............. 147,728 90,000 Marsh & McLennan Companies, Inc., 5.38%, 07/15/14.............. 88,097 100,000 New York Life Insurance -- 144A, 5.88%, 05/15/33.............. 103,826 210,000 Protective Life Secured Trust, Series MTN, 3.70%, 11/24/08.............. 209,571 ------------ 1,934,345 ------------ LEISURE AND RECREATION -- 0.0% 25,000 MGM MIRAGE, 6.00%, 10/01/09.............. 25,750 70,000 Wynn Las Vegas LLC/Capital Corp. -- 144A, 6.63%, 12/01/14.............. 69,650 ------------ 95,400 ------------ MANUFACTURING -- 0.0% 50,000 Briggs & Stratton Corp., 8.88%, 03/15/11.............. 60,375 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES -- 0.0% $ 40,000 HCA, Inc., 5.50%, 12/01/09.............. $ 40,056 115,000 WellPoint, Inc. -- 144A, 5.95%, 12/15/34.............. 116,526 ------------ 156,582 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 0.0% 95,000 Boston Scientific Corp., 5.45%, 06/15/14.............. 98,872 ------------ METALS AND MINING -- 0.0% 20,000 International Steel Group, 6.50%, 04/15/14.............. 21,550 33,000 Ispat Inland ULC, 9.75%, 04/01/14.............. 40,920 25,000 TriMas Corp., 9.88%, 06/15/12.............. 26,625 ------------ 89,095 ------------ OIL AND GAS: PIPELINES -- 0.1% 275,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14.............. 276,145 100,000 El Paso Natural Gas, 8.63%, 01/15/22.............. 117,125 60,000 Transcontinental Gas Pipe Line Corp., Series B, 8.88%, 07/15/12.............. 73,275 60,000 Williams Companies, Inc., 7.63%, 07/15/19.............. 66,300 25,000 Williams Companies, Inc., 7.75%, 06/15/31.............. 26,313 ------------ 559,158 ------------ OIL, COAL AND GAS -- 0.4% 80,000 Amerada Hess Corp., 7.30%, 08/15/31.............. 89,526 235,000 Amerada Hess Corp., 7.13%, 03/15/33.............. 259,223 130,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31.............. 161,581 20,000 Chesapeake Energy Corp. -- 144A, 6.38%, 06/15/15.............. 20,650 140,000 Conoco Funding Company, 6.35%, 10/15/11.............. 156,482 100,000 Devon Energy Corp., 7.95%, 04/15/32.............. 128,189 50,000 Devon Financing Corp. ULC, 7.88%, 09/30/31.............. 63,154 50,000 El Paso Production Holding Company, 7.75%, 06/01/13.............. 52,625 230,000 EnCana Corp., 6.30%, 11/01/11.............. 253,050
See notes to financial statements. 93 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 100,000 Enterprise Products Operating LP -- 144A, 4.00%, 10/15/07.............. $ 99,821 75,000 Hanover Equipment Trust, Series B, 8.75%, 09/01/11.............. 81,750 75,000 Suncor Energy, Inc., 5.95%, 12/01/34.............. 78,908 ------------ 1,444,959 ------------ PAPER AND FOREST PRODUCTS -- 0.0% 70,000 Georgia-Pacific Corp., 8.00%, 01/15/24.............. 81,550 ------------ PHARMACEUTICALS -- 0.1% 125,000 Bristol-Myers Squibb, 6.88%, 08/01/97.............. 143,980 75,000 Elan Finance PLC/Elan Finance Corp. -- 144A (Brazil), 7.75%, 11/15/11.............. 80,250 75,000 Merck & Company, Inc., 5.95%, 12/01/28.............. 77,876 110,000 Wyeth, 6.50%, 02/01/34.............. 117,754 ------------ 419,860 ------------ PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 0.2% 865,852 Daimler Chrysler Auto Trust, Series 2001-C, Class A4, 4.63%, 12/06/06.............. 870,609 ------------ PRIVATE ASSET BACKED: BANKS -- 0.1% 483,785 Bank of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19.............. 489,856 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 1.2% 1,075,000 Chase Issuance Trust, Series 2004-A9, Class A9, 3.22%, 06/15/10.............. 1,068,157 1,250,000 Citibank Credit Card Issuance Trust, Series 2003-A6, Class A6, 2.90%, 05/17/10(f)........... 1,217,786 1,475,000 Citibank Credit Card Issuance Trust, Series 2004-A1, Class A1, 2.55%, 01/20/09.............. 1,450,822 1,200,000 MBNA Credit Card Master Note Trust, Series 2004-A4, Class A4, 2.70%, 09/15/09.............. 1,180,632 ------------ 4,917,397 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.3% $ 740,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36.............. $ 756,926 510,000 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31.............. 553,942 ------------ 1,310,868 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 2.0% 322,912 Bear Stearns Commercial Mortgage Securities, Series 2001, Class A1, 6.08%, 02/15/35.............. 338,809 720,000 Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32.............. 823,108 1,075,000 Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 2.71%, 06/25/35(c)........... 1,075,000 900,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33.............. 996,151 712,277 GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36.............. 795,752 1,090,000 GMAC Commercial Mortgage Securities, Inc., Series 2000-C3, Class A2, 6.96%, 09/15/35.............. 1,232,820 589,094 GS Mortgage Securities Corp., Series 1998-C1, Class A3, 6.14%, 10/18/30.............. 627,378 680,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35.............. 755,465 605,000 LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26.............. 691,643 900,000 LB-UBS Commercial Mortgage Trust, Series 2004-C6, Class A2, 4.19%, 08/15/29.............. 904,547 ------------ 8,240,673 ------------ PRIVATE ASSET BACKED: UTILITIES -- 0.6% 2,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10.............. 2,305,007 ------------
See notes to financial statements. 94 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE -- 0.0% $ 65,000 EOP Operating LP, 4.75%, 03/15/14.............. $ 62,994 90,000 EOP Operating LP, 7.50%, 04/19/29.............. 104,638 ------------ 167,632 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.1% 225,000 Developers Diversified Realty Corp., 3.88%, 01/30/09.............. 221,004 325,000 Rouse Company, 5.38%, 11/26/13.............. 312,329 ------------ 533,333 ------------ RESEARCH AND DEVELOPMENT -- 0.0% 45,000 Bio-Rad Laboratories, Inc. -- 144A, 6.13%, 12/15/14.............. 45,563 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.0% 15,000 Fisher Scientific International, Inc. -- 144A, 6.75%, 08/15/14.............. 16,163 ------------ SEMICONDUCTORS -- 0.0% 10,000 Freescale Semiconductor, Inc., 6.88%, 07/15/11.............. 10,775 25,000 Freescale Semiconductor, Inc., Floating Rate, 4.82%, 07/15/09(b)........... 26,156 25,000 MagnaChip Semiconductor, Ltd. -- 144A, Floating Rate, 5.76%, 12/15/11(b)........... 25,813 ------------ 62,744 ------------ SPECIAL PURPOSE ENTITY -- 0.0% 35,000 Rainbow National Services LLC -- 144A, 8.75%, 09/01/12.............. 38,588 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.5% 350,000 BellSouth Corp., 4.20%, 09/15/09.............. 351,284 25,000 BellSouth Corp., 6.55%, 06/15/34.............. 27,334 5,000 British Telecom PLC, Variable Rate, 8.88%, 12/15/30(m)........... 6,715 50,000 Cincinnati Bell, Inc., 8.38%, 01/15/14(d)........... 50,875 75,000 Citizens Communications Company, 6.25%, 01/15/13.............. 75,938 75,000 Deutsche Telekom International Corp., Variable Rate, 8.25%, 06/15/05(m)........... 76,756
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 25,000 France Telecom, 9.25%, 03/01/31.............. $ 33,990 80,000 MCI, Inc., 6.91%, 05/01/07.............. 82,100 55,000 MCI, Inc., 6.69%, 05/01/09.............. 57,063 65,000 New England Telephone & Telegraph, 7.88%, 11/15/29.............. 78,714 210,000 New Jersey Bell Telephone, 7.85%, 11/15/29.............. 254,256 50,000 Nextel Communications, Inc., 5.95%, 03/15/14.............. 52,000 60,000 Qwest Communications International -- 144A, 7.50%, 02/15/14.............. 60,900 155,000 Qwest Corp. -- 144A, 7.88%, 09/01/11.............. 168,950 50,000 Qwest Corp. -- 144A, 9.13%, 03/15/12.............. 58,000 40,000 Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14.............. 39,800 30,000 Rogers Wireless, Inc. -- 144A (Canada), 7.25%, 12/15/12.............. 31,950 10,000 Rogers Wireless, Inc. -- 144A (Canada), 7.50%, 03/15/15.............. 10,600 65,000 SBC Communications, Inc., 4.13%, 09/15/09.............. 64,950 35,000 SBC Communications, Inc., 6.45%, 06/15/34.............. 37,626 285,000 Telecom Italia Capital -- 144A, 6.00%, 09/30/34.............. 279,584 75,000 Telefonica Europe BV, 7.75%, 09/15/10.............. 88,055 130,000 Vodafone Group PLC, 5.00%, 12/16/13.............. 132,514 ------------ 2,119,954 ------------ TRANSPORTATION -- 0.1% 230,000 Burlington Northern Santa Fe Corp., 7.29%, 06/01/36.............. 282,595 75,000 Canadian National Railway Company, 6.90%, 07/15/28.............. 86,590 55,000 OMI Corp. (Marshall Island), 7.63%, 12/01/13.............. 59,125 80,000 Overseas Shipholding Group, 7.50%, 02/15/24.............. 82,000 ------------ 510,310 ------------
See notes to financial statements. 95 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES -- 0.0% $ 35,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12............. $ 39,550 35,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 44,625 ------------ 84,175 ------------ UTILITIES: ELECTRIC -- 0.3% 10,000 First Energy Corp., Series C, 7.38%, 11/15/31.............. 11,456 110,000 Midwest Generation LLC, 8.75%, 05/01/34.............. 125,400 15,000 Midwest Generation LLC, Series B, 8.56%, 01/02/16.............. 16,659 275,000 Ohio Edison, 5.45%, 05/01/15.............. 279,493 140,000 Ontario Electricity Finance, 6.10%, 01/30/08.............. 149,992 165,000 Progress Energy, Inc., 7.75%, 03/01/31.............. 198,635 30,000 Reliant Energy, Inc., 9.25%, 07/15/10(d)........... 33,600 30,000 Reliant Energy, Inc., 6.75%, 12/15/14.............. 29,963 55,000 Texas Genco LLC/Financing -- 144A, 6.88%, 12/15/14.............. 57,131 200,000 TXU Corp. -- 144A, 6.50%, 11/15/24.............. 200,890 ------------ 1,103,219 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $50,449,917)........... 50,617,049 ------------ MUNICIPAL BONDS -- 0.1% CALIFORNIA 250,000 California State Department of Water Powersupply Revenue Bond, Series E, 3.98%, 05/01/05 (Cost $249,994).................... 250,785 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 1.1% 450,000 AID-Israel, 5.50%, 04/26/24.............. 470,835 315,000 AID-Israel, 5.50%, 09/18/33.............. 331,944 6,943,000 Mexican Fixed Rate Bonds, Series M7, 8.00%, 12/24/08(l)........... 604,757 4,526,000 Mexican Fixed Rate Bonds, Series MI7, 9.00%, 12/24/09(l)........... 403,394
PRINCIPAL VALUE --------- ------------ FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $ 1,555,000 New Zealand Government, Series 415, 6.00%, 04/15/15(i)........... $ 1,125,185 130,000 Quebec Province, 5.00%, 07/17/09.............. 135,932 531,269 Republic of Colombia, 9.75%, 04/09/11.............. 613,615 250,000 United Mexican States, 11.38%, 09/15/16............. 369,625 367,000 United Mexican States, 8.13%, 12/30/19.............. 431,592 150,000 United Mexican States, 8.00%, 09/24/22.............. 173,400 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $4,214,787)............ 4,660,279 ------------ SHORT TERM COMMERCIAL PAPER -- 0.2% 700,000 HBOS Treasury Services PLC, 2.04%, 01/26/05 (Cost $699,008).................... 699,008 ------------ SECURITIES LENDING COLLATERAL -- 5.9% 24,760,913 Securities Lending Collateral Investment (Note 4) (Cost $24,760,913)........... 24,760,913 ------------ TOTAL SECURITIES (Cost $418,696,867).......... 453,538,283 ------------ REPURCHASE AGREEMENTS -- 2.1% 8,603,926 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $8,605,274 (Collateralized by various Small Business Administrations, 4.63% -- 5.63%, due 11/25/16- 05/25/27, with a total value of $9,034,120) (Cost $8,603,926).................. 8,603,926 ------------ SECURITIES SOLD SHORT -- (3.5)% 5,500,000 Fannie Mae, TBA, 5.50%, 01/13/05.............. (5,584,216) 2,500,000 Fannie Mae, TBA, 4.50%, 01/19/05.............. (2,492,188) 2,000,000 Fannie Mae, TBA, 5.50%, 01/19/05.............. (2,066,876) 800,000 Fannie Mae, TBA, 6.00%, 01/19/05.............. (838,250) 500,000 Freddie Mac Gold, TBA, 5.50%, 01/13/05.............. (507,970) 1,300,000 Freddie Mac Gold, TBA, 6.00%, 01/13/05.............. (1,343,062)
See notes to financial statements. 96 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ SECURITIES SOLD SHORT (CONTINUED) $ 700,000 Freddie Mac Gold, TBA, 4.50%, 01/19/05.............. $ (697,593) 1,300,000 Government National Mortgage Association, TBA, 5.50%, 01/20/05.............. (1,326,812) ------------ TOTAL SECURITIES SOLD SHORT (Proceeds $14,888,708)....... (14,856,967) ------------ Total Investments -- 106.6% (Cost $412,412,085).......... 447,285,242 Liabilities less other assets -- (6.6)%............. (27,558,553) ------------ NET ASSETS -- 100.0%........... $419,726,689 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $417,973,038. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $34,510,709 Gross unrealized depreciation........... (5,198,505) ----------- Net unrealized appreciation............. $29,312,204 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 97 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.4% ADVERTISING -- 0.4% 720,000 Interpublic Group of Companies, Inc.*.......... $ 9,648,000 -------------- AEROSPACE AND DEFENSE -- 1.5% 43,600 General Dynamics Corp. ..... 4,560,560 180,000 Northrop Grumman Corp. ..... 9,784,800 274,000 The Boeing Company.......... 14,184,980 117,300 United Technologies Corp. .................... 12,122,955 -------------- 40,653,295 -------------- APPAREL: MANUFACTURING -- 0.9% 341,600 Jones Apparel Group, Inc. ..................... 12,492,312 150,000 Liz Claiborne, Inc. ........ 6,331,500 118,100 VF Corp. ................... 6,540,378 -------------- 25,364,190 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.3% 150,000 Harley-Davidson, Inc. ...... 9,112,500 -------------- AUTOMOTIVE EQUIPMENT -- 1.4% 104,000 BorgWarner, Inc. ........... 5,633,680 163,700 Johnson Controls, Inc. ..... 10,385,128 142,725 Lear Corp.(d)............... 8,707,652 173,900 Magna International, Inc. -- Class A(d)................ 14,355,445 -------------- 39,081,905 -------------- BANKS -- 9.5% 1,731,082 Bank of America Corp. ...... 81,343,544 2,050,140 JP Morgan Chase & Company... 79,975,961 397,300 National City Corp.(d)...... 14,918,615 382,100 North Fork Bancorp, Inc. ... 11,023,585 255,800 SunTrust Banks, Inc. ....... 18,898,504 785,000 Wachovia Corp. ............. 41,291,000 132,800 Wells Fargo & Company....... 8,253,520 -------------- 255,704,729 -------------- BROADCAST SERVICES/MEDIA -- 6.2% 283,100 Clear Channel Communications, Inc. ..... 9,481,019 433,165 Comcast Corp. -- Class A*........................ 14,415,731 970,000 Comcast Corp. -- Special Class A*.................. 31,854,800 2,548,000 Time Warner, Inc.*.......... 49,533,120 1,461,000 Viacom, Inc. -- Class B.... 53,165,790 386,500 Westwood One, Inc.*......... 10,408,445 -------------- 168,858,905 -------------- BUSINESS SERVICES AND SUPPLIES -- 0.6% 425,000 Fiserv, Inc.*............... 17,080,750 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 0.9% 200,565 Air Products and Chemicals, Inc. ..................... $ 11,626,753 254,600 EI du Pont de Nemours and Company................... 12,488,130 -------------- 24,114,883 -------------- COMPUTER SOFTWARE AND SERVICES -- 2.7% 2,765,700 Microsoft Corp. ............ 73,871,847 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 1.4% 1,854,300 Hewlett-Packard Company..... 38,884,671 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 1.0% 257,400 American Standard Companies, Inc.*..................... 10,635,768 119,800 DR Horton, Inc. ............ 4,829,138 135,000 Martin Marietta Materials, Inc. ..................... 7,244,100 50,400 Pulte Homes, Inc. .......... 3,215,520 -------------- 25,924,526 -------------- CONSUMER GOODS AND SERVICES -- 10.5% 1,298,500 Altria Group, Inc. ......... 79,338,350 622,700 Avon Products, Inc. ........ 24,098,490 118,400 Fortune Brands, Inc. ....... 9,138,112 2,998,100 General Electric Company.... 109,430,650 65,000 Kimberly-Clark Corp. ....... 4,277,650 364,800 Loews Corp.-Carolina Group..................... 10,560,960 593,000 Procter & Gamble Company.... 32,662,440 217,000 Unilever NV................. 14,476,070 -------------- 283,982,722 -------------- DISTRIBUTION -- 0.5% 624,105 Ingram Micro, Inc. -- Class A*........................ 12,981,384 -------------- ELECTRONICS -- 1.9% 422,200 Avnet, Inc.*................ 7,700,928 80,700 Emerson Electric Company.... 5,657,070 981,400 Flextronics International, Ltd.*..................... 13,562,948 1,450,000 Sanmina-SCI Corp.*.......... 12,281,500 2,513,375 Solectron Corp.*............ 13,396,289 -------------- 52,598,735 -------------- FINANCIAL SERVICES -- 9.6% 2,434,200 Citigroup, Inc. ............ 117,279,756 322,900 Fannie Mae.................. 22,993,709 317,900 Freddie Mac................. 23,429,230 93,000 Goldman Sachs Group, Inc. ..................... 9,675,720 209,800 Lehman Brothers Holdings, Inc. ..................... 18,353,304 555,100 MBNA Corp. ................. 15,648,269 656,700 Merrill Lynch & Company, Inc. ..................... 39,250,959 246,700 Morgan Stanley.............. 13,696,784 -------------- 260,327,731 --------------
See notes to financial statements. 98 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE -- 0.7% 153,200 Dean Foods Company*......... $ 5,047,940 255,000 PepsiCo, Inc. .............. 13,311,000 -------------- 18,358,940 -------------- INSURANCE -- 8.7% 736,400 Ace, Ltd. .................. 31,481,100 107,100 AFLAC, Inc. ................ 4,266,864 458,400 Allstate Corp.(d)........... 23,708,448 852,500 American International Group, Inc. .............. 55,983,675 456,500 Axis Capital Holdings, Ltd. ..................... 12,489,840 198,700 Chubb Corp.(d).............. 15,280,030 240,000 Hartford Financial Services Group, Inc. .............. 16,634,400 690,000 MetLife, Inc. .............. 27,951,900 61,566 PartnerRE, Ltd. ............ 3,813,398 268,438 The St. Paul Travelers Companies, Inc. .......... 9,950,997 270,300 Torchmark Corp. ............ 15,444,942 238,000 XL Capital, Ltd. -- Class A(d)...................... 18,480,700 -------------- 235,486,294 -------------- LEISURE AND RECREATION -- 0.1% 52,200 Royal Caribbean Cruises, Ltd. (Liberia)(d)......... 2,841,768 -------------- MACHINERY -- 0.6% 76,200 Deere & Company............. 5,669,280 143,800 Ingersoll-Rand Company, Ltd. -- Class A.......... 11,547,140 -------------- 17,216,420 -------------- MANUFACTURING -- 2.4% 149,700 3M Company.................. 12,285,879 204,000 Cooper Industries, Ltd. -- Class A................... 13,849,560 132,100 Parker Hannifin Corp. ...... 10,005,254 592,950 Smurfit-Stone Container Corp.*(d)................. 11,076,306 240,000 Textron, Inc. .............. 17,712,000 -------------- 64,928,999 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 3.2% 307,000 HCA, Inc. .................. 12,267,720 236,000 Health Management Associates, Inc. -- Class A(d)...................... 5,361,920 442,700 Medco Health Solutions, Inc.*..................... 18,416,320 116,600 UnitedHealth Group, Inc. ... 10,264,298 354,500 WellPoint, Inc.*............ 40,767,500 -------------- 87,077,758 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES -- 1.5% 75,000 Beckman Coulter, Inc. ...... $ 5,024,250 989,400 Boston Scientific Corp.*.... 35,173,170 -------------- 40,197,420 -------------- METALS AND MINING -- 0.7% 590,200 Alcoa, Inc. ................ 18,544,084 -------------- OIL AND GAS: EQUIPMENT -- 0.2% 147,600 FMC Technologies, Inc.*..... 4,752,720 -------------- OIL, COAL AND GAS -- 10.6% 227,800 Baker Hughes, Inc. ......... 9,720,226 342,000 BP PLC (ADR)................ 19,972,800 624,000 ChevronTexaco Corp. ........ 32,766,240 829,000 ConocoPhillips.............. 71,982,070 187,900 EnCana Corp. (Canada)....... 10,721,574 1,409,800 Exxon Mobil Corp. .......... 72,266,347 209,500 Nabors Industries, Ltd.*(d).................. 10,745,255 150,000 Noble Energy, Inc. ......... 9,249,000 615,500 Occidental Petroleum Corp. .................... 35,920,580 187,600 Schlumberger, Ltd. ......... 12,559,820 -------------- 285,903,912 -------------- PAPER AND FOREST PRODUCTS -- 0.9% 146,800 International Paper Company................... 6,165,600 319,702 MeadWestvaco Corp. ......... 10,834,701 119,350 Temple-Inland, Inc. ........ 8,163,540 -------------- 25,163,841 -------------- PHARMACEUTICALS -- 2.2% 191,900 Caremark Rx, Inc.*.......... 7,566,617 168,700 Forest Laboratories, Inc.*..................... 7,567,882 265,400 GlaxoSmithKline PLC (ADR)(d).................. 12,577,306 858,400 Pfizer, Inc. ............... 23,082,376 224,200 Wyeth....................... 9,548,678 -------------- 60,342,859 -------------- RETAIL -- 3.2% 113,800 Bed Bath & Beyond, Inc.*.... 4,532,654 215,700 Federated Department Stores, Inc.(d)................... 12,465,303 775,000 Home Depot, Inc. ........... 33,123,500 151,800 Lowe's Companies, Inc. ..... 8,742,162 755,000 Office Depot, Inc.*......... 13,106,800 255,000 Target Corp. ............... 13,242,150 -------------- 85,212,569 --------------
See notes to financial statements. 99 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL: RESTAURANTS -- 0.8% 430,000 McDonald's Corp. ........... $ 13,785,800 200,000 Wendy's International, Inc. ..................... 7,852,000 -------------- 21,637,800 -------------- RETAIL: SUPERMARKETS -- 1.5% 819,925 Safeway, Inc.*.............. 16,185,320 295,700 SUPERVALU, Inc. ............ 10,207,564 779,350 The Kroger Company*......... 13,669,799 -------------- 40,062,683 -------------- RUBBER PRODUCTS -- 0.2% 193,100 Cooper Tire & Rubber Company(d)................ 4,161,305 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2% 270,000 Applera Corp.-Applied Biosystems Group.......... 5,645,700 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.6% 266,900 BellSouth Corp. ............ 7,417,151 271,200 Corning, Inc.*.............. 3,192,024 1,707,566 Nortel Networks Corp.*...... 5,959,405 237,800 SBC Communications, Inc.(d)................... 6,128,106 605,700 Sprint Corp. (FON Group).... 15,051,645 964,950 Tellabs, Inc.*(d)........... 8,288,921 579,452 Verizon Communications, Inc. ..................... 23,473,600 -------------- 69,510,852 -------------- TRANSPORTATION -- 3.9% 706,900 Burlington Northern Santa Fe Corp. .................... 33,443,439 398,100 CSX Corp. .................. 15,955,848 525,300 Norfolk Southern Corp. ..... 19,010,607 546,800 Union Pacific Corp. ........ 36,772,300 -------------- 105,182,194 -------------- UTILITIES: ELECTRIC -- 3.5% 430,780 American Electric Power Company, Inc.(d).......... 14,792,985 374,800 Constellation Energy Group, Inc. ..................... 16,382,508 50,000 Dominion Resources, Inc. (Virginia)................ 3,387,000 380,000 Entergy Corp. .............. 25,684,200 258,800 Exelon Corp. ............... 11,405,316 249,450 Northeast Utilities......... 4,702,133 175,000 PPL Corp. .................. 9,324,000
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) 305,800 Wisconsin Energy Corp.(d)... $ 10,308,518 -------------- 95,986,660 -------------- UTILITIES: GAS -- 0.4% 259,925 Sempra Energy............... 9,534,049 -------------- TOTAL COMMON STOCKS (Cost $2,197,016,548)........... 2,635,939,600 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 4.0% $108,351,744 Securities Lending Collateral Investment (Note 4) (Cost $108,351,744)....... 108,351,744 -------------- TOTAL SECURITIES (Cost $2,305,368,292)..... 2,744,291,344 -------------- REPURCHASE AGREEMENTS -- 2.5% 66,108,926 With Investors Bank & Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $66,119,283 (Collateralized by various Fannie Maes, 2.92% -- 3.75%, due 03/25/33-06/01/33, with a total value of $21,000,514, and various Small Business Administrations, 4.62% -- 5.38%, due 08/25/16- 07/25/29, with a total value of $48,414,372) (Cost $66,108,926)........ 66,108,926 -------------- Total Investments -- 103.9% (Cost $2,371,477,218)..... 2,810,400,270 Liabilities less other assets -- (3.9)%.......... (104,936,948) -------------- NET ASSETS -- 100.0%........ $2,705,463,322 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $2,378,411,701. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $476,179,739 Gross unrealized depreciation.......... (44,191,170) ------------ Net unrealized appreciation............ $431,988,569 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 100 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS -- 99.4% AEROSPACE AND DEFENSE -- 1.8% 137,400 Northrop Grumman Corp. ...... $ 7,469,064 71,300 Raytheon Company............. 2,768,579 136,000 The Boeing Company........... 7,040,720 68,300 United Defense Industries, Inc.*(d)................... 3,227,175 -------------- 20,505,538 -------------- AGRICULTURE -- 0.7% 145,800 Monsanto Company............. 8,099,190 -------------- AIRLINES -- 0.5% 349,700 Southwest Airlines Company... 5,693,116 -------------- APPAREL: MANUFACTURING -- 0.5% 57,800 Liz Claiborne, Inc. ......... 2,439,738 22,300 Nike, Inc. -- Class B........ 2,022,387 28,800 VF Corp. .................... 1,594,944 -------------- 6,057,069 -------------- APPAREL: RETAIL -- 1.0% 60,000 Abercrombie & Fitch Company -- Class A......... 2,817,000 85,700 Aeropostale, Inc.*........... 2,522,151 52,100 American Eagle Outfitters, Inc. ...................... 2,453,910 30,600 Payless ShoeSource, Inc.*.... 376,380 45,200 The Timberland Company -- Class A*(d)................ 2,832,684 -------------- 11,002,125 -------------- ASSET MANAGEMENT -- 0.3% 86,100 Brascan Corp. -- Class A (Canada)(d)................ 3,100,461 -------------- AUTOMOBILE: RETAIL -- 0.2% 53,100 AutoNation, Inc.*............ 1,020,051 59,000 Copart, Inc.*................ 1,552,880 -------------- 2,572,931 -------------- AUTOMOBILES/MOTOR VEHICLES -- 1.4% 557,000 Ford Motor Company(d)........ 8,154,480 59,200 PACCAR, Inc. ................ 4,764,416 44,500 Polaris Industries, Inc. .... 3,026,890 -------------- 15,945,786 -------------- AUTOMOTIVE EQUIPMENT -- 0.4% 16,800 American Axle & Manufacturing Holdings, Inc. ............ 515,088 76,200 Autoliv, Inc. ............... 3,680,460 59,100 Delphi Corp.(d).............. 533,082 -------------- 4,728,630 -------------- BANKS -- 7.0% 105,150 Associated Banc-Corp. ....... 3,492,032 24,400 Astoria Financial Corp. ..... 975,268
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 180,100 Bank of America Corp. ....... $ 8,462,899 53,900 Bank of Hawaii Corp. ........ 2,734,886 65,000 Comerica, Inc. .............. 3,966,300 32,700 First BanCorp. .............. 2,076,777 123,800 Fremont General Corp.(d)..... 3,117,284 118,900 Hibernia Corp. -- Class A.... 3,508,739 115,600 JP Morgan Chase & Company.... 4,509,556 136,300 KeyCorp...................... 4,620,570 82,000 Marshall & Ilsley Corp. ..... 3,624,400 42,900 National City Corp. ......... 1,610,895 75,100 R&G Financial Corp. -- Class B.......................... 2,919,888 85,600 UnionBanCal Corp. ........... 5,519,488 373,600 US Bancorp................... 11,701,152 251,600 Wachovia Corp. .............. 13,234,160 51,400 Wells Fargo & Company........ 3,194,510 -------------- 79,268,804 -------------- BROADCAST SERVICES/MEDIA -- 3.1% 67,000 Comcast Corp. -- Class A*.... 2,229,760 18,100 Hearst-Argyle Television, Inc. -- Class A............ 477,478 113,200 Liberty Media Corp. -- Class A*......................... 1,242,936 30,200 Liberty Media International, Inc. -- Class A*........... 1,396,146 64,000 McGraw-Hill Companies, Inc. ...................... 5,858,560 207,600 The Walt Disney Company...... 5,771,280 514,000 Time Warner, Inc.*........... 9,992,160 116,065 Viacom, Inc. -- Class B...... 4,223,605 98,100 XM Satellite Radio Holdings, Inc. -- Class A*(d)........ 3,690,522 -------------- 34,882,447 -------------- BUSINESS SERVICES AND SUPPLIES -- 0.7% 37,400 Dun & Bradstreet Corp.*...... 2,230,910 57,100 First Data Corp. ............ 2,429,034 14,300 GTECH Holdings Corp. ........ 371,085 30,800 Moody's Corp. ............... 2,674,980 -------------- 7,706,009 -------------- CHEMICALS -- 0.9% 169,800 Agrium, Inc.(d).............. 2,861,130 28,600 Eastman Chemical Company..... 1,651,078 9,700 PPG Industries, Inc. ........ 661,152 10,500 Rohm and Haas Company........ 464,415 66,100 The Dow Chemical Company..... 3,272,611 23,100 The Lubrizol Corp. .......... 851,466 -------------- 9,761,852 -------------- COMMERCIAL SERVICES -- 0.3% 133,300 Cendant Corp. ............... 3,116,554 --------------
See notes to financial statements. 101 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES -- 4.2% 93,500 Activision, Inc.*............ $ 1,886,830 53,500 Autodesk, Inc. .............. 2,030,325 123,250 BMC Software, Inc.*.......... 2,292,450 92,900 Cadence Design Systems, Inc.*...................... 1,282,949 44,000 Computer Sciences Corp.*..... 2,480,280 1,301,100 Microsoft Corp. ............. 34,752,381 109,500 NVIDIA Corp.*................ 2,579,820 28,300 Oracle Corp.*................ 388,276 -------------- 47,693,311 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 2.8% 293,400 Dell, Inc.*.................. 12,363,876 344,100 Hewlett-Packard Company...... 7,215,777 95,300 International Business Machines Corp. ............ 9,394,674 118,400 Seagate Technology*.......... 2,044,768 45,100 Xerox Corp.*................. 767,151 -------------- 31,786,246 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 1.9% 87,100 DR Horton, Inc. ............. 3,511,001 36,200 KB Home...................... 3,779,280 39,200 M.D.C. Holdings, Inc. ....... 3,388,448 15,400 Masco Corp. ................. 562,562 5,000 NVR, Inc.*................... 3,847,000 41,200 Standard Pacific Corp. ...... 2,642,568 53,500 Toll Brothers, Inc.*......... 3,670,635 -------------- 21,401,494 -------------- CONSUMER GOODS AND SERVICES -- 5.5% 107,700 Altria Group, Inc. .......... 6,580,470 27,500 American Greetings Corp. -- Class A.................... 697,125 38,900 Clorox Company............... 2,292,377 38,500 Colgate-Palmolive Company.... 1,969,660 30,200 FedEx Corp. ................. 2,974,398 559,300 General Electric Company..... 20,414,450 81,700 Gillette Company............. 3,658,526 41,700 Kimberly-Clark Corp. ........ 2,744,277 193,500 Procter & Gamble Company..... 10,657,980 28,100 Reynolds American, Inc.(d)... 2,208,660 13,100 The Black & Decker Corp.(d)................... 1,157,123 48,000 United Parcel Service, Inc. -- Class B............ 4,102,080 57,400 UST, Inc. ................... 2,761,514 -------------- 62,218,640 -------------- CONTAINERS AND PACKAGING -- 0.2% 64,300 Ball Corp. .................. 2,827,914 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) DISTRIBUTION -- 0.5% 175,700 Ingram Micro, Inc. -- Class A*......................... $ 3,654,560 51,200 Tech Data Corp.*............. 2,324,480 -------------- 5,979,040 -------------- ELECTRONICS -- 0.4% 23,600 Advanced Micro Devices, Inc.*...................... 519,672 18,000 Emerson Electric Company..... 1,261,800 17,500 Harman International Industries, Inc. .......... 2,222,500 134,400 Sanmina-SCI Corp.*........... 1,138,368 -------------- 5,142,340 -------------- FINANCIAL SERVICES -- 8.2% 140,200 American Express Company..... 7,903,074 72,700 AmeriCredit Corp.*........... 1,777,515 153,800 Ameritrade Holding Corp.*.... 2,187,036 135,200 Capital One Financial Corp.(d)................... 11,385,192 123,000 CIT Group, Inc. ............. 5,635,860 563,200 Citigroup, Inc. ............. 27,134,975 45,800 Countrywide Financial Corp. ..................... 1,695,058 72,100 Doral Financial Corp. ....... 3,550,925 32,000 Eaton Vance Corp. ........... 1,668,800 4,900 Fannie Mae................... 348,929 53,700 Freddie Mac.................. 3,957,690 36,200 Goldman Sachs Group, Inc. ... 3,766,248 58,700 Lehman Brothers Holdings, Inc. ...................... 5,135,076 109,500 MBNA Corp. .................. 3,086,805 105,300 Merrill Lynch & Company, Inc. ...................... 6,293,781 116,600 Providian Financial Corp.*... 1,920,402 57,600 Prudential Financial, Inc. ...................... 3,165,696 24,300 The Bear Stearns Companies, Inc. ...................... 2,486,133 12,900 Washington Mutual, Inc. ..... 545,412 -------------- 93,644,607 -------------- FOOD AND BEVERAGE -- 2.9% 22,500 Adolph Coors Company -- Class B.......................... 1,702,575 83,600 Anheuser-Busch Companies, Inc. ...................... 4,241,028 141,200 Archer-Daniels-Midland Company.................... 3,150,172 118,700 Coca-Cola Company............ 4,941,481 7,000 Hershey Foods Corp. ......... 388,780 61,500 Kraft Foods, Inc. -- Class A(d)....................... 2,190,015 146,000 PepsiCo, Inc. ............... 7,621,200 52,500 Pilgrim's Pride Corp. ....... 1,610,700 57,800 Smithfield Foods, Inc.*...... 1,710,302
See notes to financial statements. 102 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE (CONTINUED) 89,000 The Pepsi Bottling Group, Inc.(d).................... $ 2,406,560 149,600 Tyson Foods, Inc. -- Class A.......................... 2,752,640 -------------- 32,715,453 -------------- INSURANCE -- 4.6% 9,300 Ace, Ltd. ................... 397,575 50,200 Aetna, Inc. ................. 6,262,450 104,200 Allstate Corp. .............. 5,389,224 4,800 Ambac Financial Group, Inc. ...................... 394,224 128,900 American International Group, Inc. ...................... 8,464,863 8,600 Cincinnati Financial Corp. ..................... 380,636 18,600 Everest Re Group, Ltd. (Bermuda).................. 1,665,816 46,500 First American Corp. ........ 1,634,010 73,000 IPC Holdings, Ltd. .......... 3,176,230 82,900 Lincoln National Corp. ...... 3,869,772 38,100 Loews Corp. ................. 2,678,430 39,300 MBIA, Inc.(d)................ 2,486,904 39,300 Mercury General Corp. ....... 2,354,856 132,900 MetLife, Inc. ............... 5,383,779 11,900 Nationwide Financial Services, Inc. -- Class A.......................... 454,937 28,500 Principal Financial Group, Inc. ...................... 1,166,790 63,400 Radian Group, Inc. .......... 3,375,416 40,100 StanCorp Financial Group, Inc. ...................... 3,308,250 -------------- 52,844,162 -------------- INTERNET SERVICES -- 4.9% 956,200 Cisco Systems, Inc.*......... 18,454,660 80,600 EarthLink, Inc.*............. 928,512 105,500 eBay, Inc.*.................. 12,267,540 10,100 Google, Inc. -- Class A*..... 1,950,310 253,869 Juniper Networks, Inc.*...... 6,902,698 36,800 Symantec Corp.*.............. 947,968 177,200 VeriSign, Inc.*(d)........... 5,939,744 218,300 YAHOO!, Inc.*................ 8,225,544 -------------- 55,616,976 -------------- LEISURE AND RECREATION -- 2.4% 7,500 Brunswick Corp. ............. 371,250 8,300 Carnival Corp.(d)............ 478,329 59,300 DreamWorks Animation SKG, Inc. -- Class A*........... 2,224,343 89,500 Hilton Hotels Corp. ......... 2,035,230 128,500 Marriott International, Inc. -- Class A............ 8,092,930 23,500 Royal Caribbean Cruises, Ltd. (Liberia)(d)............... 1,279,340
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) LEISURE AND RECREATION (CONTINUED) 157,200 Starwood Hotels & Resorts Worldwide, Inc. ........... $ 9,180,480 45,400 Wynn Resorts, Ltd.*(d)....... 3,038,168 -------------- 26,700,070 -------------- MACHINERY -- 0.5% 19,500 Caterpillar, Inc. ........... 1,901,445 21,300 Cummins, Inc. ............... 1,784,727 24,200 Graco, Inc. ................. 903,870 20,800 Terex Corp.*................. 991,120 -------------- 5,581,162 -------------- MANUFACTURING -- 1.7% 44,400 3M Company................... 3,643,908 23,900 Eaton Corp. ................. 1,729,404 39,900 Harsco Corp. ................ 2,224,026 106,300 Honeywell International, Inc. ...................... 3,764,083 5,300 Illinois Tool Works, Inc. ... 491,204 9,200 ITT Industries, Inc. ........ 776,940 27,400 Parker Hannifin Corp. ....... 2,075,276 127,500 Tyco International, Ltd. .... 4,556,850 -------------- 19,261,691 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 1.2% 95,500 IMS Health, Inc. ............ 2,216,555 29,600 McKesson Corp. .............. 931,216 95,000 Medco Health Solutions, Inc.*...................... 3,952,000 36,000 UnitedHealth Group, Inc. .... 3,169,080 27,700 WellPoint, Inc.*............. 3,185,500 -------------- 13,454,351 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 4.0% 31,400 Allergan, Inc. .............. 2,545,598 31,700 Bausch & Lomb, Inc.(d)....... 2,043,382 31,100 Becton, Dickinson and Company.................... 1,766,480 5,700 CR Bard, Inc. ............... 364,686 7,422 Guidant Corp. ............... 535,126 377,200 Johnson & Johnson............ 23,922,024 48,800 Kinetic Concepts, Inc.*...... 3,723,440 6,700 Medtronic, Inc. ............. 332,789 97,800 St. Jude Medical, Inc.*...... 4,100,754 74,800 Zimmer Holdings, Inc.*....... 5,992,976 -------------- 45,327,255 -------------- METALS AND MINING -- 1.1% 50,900 Alcoa, Inc. ................. 1,599,278 7,600 Newmont Mining Corp.(d)...... 337,516 113,100 Nucor Corp.(d)............... 5,919,654 35,100 Southern Peru Copper Corp.(d)................... 1,657,071
See notes to financial statements. 103 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) METALS AND MINING (CONTINUED) 39,100 Steel Dynamics, Inc. ........ $ 1,481,108 70,700 Worthington Industries, Inc. ...................... 1,384,306 -------------- 12,378,933 -------------- OIL, COAL AND GAS -- 6.6% 26,800 Amerada Hess Corp. .......... 2,207,784 41,200 Anadarko Petroleum Corp. .... 2,670,172 16,400 Apache Corp. ................ 829,348 99,600 Burlington Resources, Inc. ...................... 4,332,600 272,900 ChevronTexaco Corp. ......... 14,329,979 109,500 ConocoPhillips............... 9,507,885 11,400 Devon Energy Corp. .......... 443,688 56,900 EOG Resources, Inc. ......... 4,060,384 407,000 Exxon Mobil Corp. ........... 20,862,820 9,600 Halliburton Company.......... 376,704 29,200 Newfield Exploration Company*................... 1,724,260 49,800 Occidental Petroleum Corp. ..................... 2,906,328 75,000 PetroKazakhstan, Inc. -- Class A............ 2,782,500 9,900 Schlumberger, Ltd. .......... 662,805 71,000 Sunoco, Inc. ................ 5,801,410 49,800 Tesoro Corp.*................ 1,586,628 -------------- 75,085,295 -------------- PAPER AND FOREST PRODUCTS -- 0.2% 77,200 Louisiana-Pacific Corp. ..... 2,064,328 -------------- PHARMACEUTICALS -- 3.9% 8,000 Abbott Laboratories.......... 373,200 82,000 Cardinal Health, Inc. ....... 4,768,300 190,100 Caremark Rx, Inc.*........... 7,495,643 129,200 Eli Lilly and Company........ 7,332,100 86,125 IVAX Corp.*.................. 1,362,498 120,100 Merck & Company, Inc. ....... 3,860,014 553,600 Pfizer, Inc. ................ 14,886,304 210,300 Schering-Plough Corp. ....... 4,391,064 -------------- 44,469,123 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.2% 10,200 AMB Property Corp. .......... 411,978 68,500 Equity Office Properties Trust...................... 1,994,720 -------------- 2,406,698 -------------- RESEARCH AND DEVELOPMENT -- 2.0% 146,100 Amgen, Inc.*................. 9,372,315 44,200 Biogen Idec, Inc.*........... 2,944,162 11,600 Chiron Corp.*(d)............. 386,628 95,700 Genentech, Inc.*............. 5,209,908 10,900 Genzyme Corp.*............... 632,963
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RESEARCH AND DEVELOPMENT (CONTINUED) 53,200 Gilead Sciences, Inc.*....... $ 1,861,468 58,400 ImClone Systems, Inc.*(d).... 2,691,072 -------------- 23,098,516 -------------- RETAIL -- 5.2% 44,400 7-Eleven, Inc.*.............. 1,063,380 55,400 BJ'S Wholesale Club, Inc.*... 1,613,802 209,200 Circuit City Stores, Inc.(d).................... 3,271,888 24,500 Costco Wholesale Corp. ...... 1,186,045 92,900 Dollar General Corp. ........ 1,929,533 99,700 Federated Department Stores, Inc. ...................... 5,761,663 394,700 Home Depot, Inc. ............ 16,869,478 113,600 JC Penney Company, Inc. (Holding Company).......... 4,703,040 14,232 Kmart Holding Corp.*(d)...... 1,408,256 165,900 Staples, Inc. ............... 5,592,489 31,100 Toys "R" Us, Inc.*........... 636,617 289,800 Wal-Mart Stores, Inc. ....... 15,307,236 -------------- 59,343,427 -------------- RETAIL: RESTAURANTS -- 1.2% 96,400 Darden Restaurants, Inc. .... 2,674,136 245,600 McDonald's Corp. ............ 7,873,936 18,700 Starbucks Corp.*............. 1,166,132 37,000 YUM! Brands, Inc. ........... 1,745,660 -------------- 13,459,864 -------------- RETAIL: SUPERMARKETS -- 0.8% 182,600 SUPERVALU, Inc. ............. 6,303,352 175,900 The Kroger Company*.......... 3,085,286 -------------- 9,388,638 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.2% 32,500 Fisher Scientific International, Inc.*....... 2,027,350 -------------- SECURITY SERVICES -- 0.1% 23,100 The Brink's Company.......... 912,912 -------------- SEMICONDUCTORS -- 3.3% 181,600 Altera Corp.*................ 3,759,120 99,600 Applied Materials, Inc.*..... 1,703,160 117,700 Broadcom Corp. -- Class A*... 3,799,356 48,300 Cree, Inc.*(d)............... 1,935,864 21,299 Freescale Semiconductor, Inc. -- Class B*........... 391,050 251,800 Intel Corp. ................. 5,889,602 183,000 Micron Technology, Inc.*..... 2,260,050 281,800 National Semiconductor Corp. ..................... 5,058,310
See notes to financial statements. 104 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 252,200 PMC-Sierra, Inc.*............ $ 2,837,250 413,400 Texas Instruments, Inc. ..... 10,177,908 -------------- 37,811,670 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.2% 59,900 Amdocs, Ltd. (Guernsey)*..... 1,572,375 74,200 AT&T Corp. .................. 1,414,252 44,800 BellSouth Corp. ............. 1,244,992 99,800 CenturyTel, Inc. ............ 3,539,906 133,700 Comverse Technology, Inc.*... 3,268,965 29,100 Harris Corp. ................ 1,798,089 550,600 JDS Uniphase Corp.*(d)....... 1,745,402 805,800 Motorola, Inc. .............. 13,859,760 56,400 Nextel Communications, Inc. -- Class A*........... 1,692,000 299,000 QUALCOMM, Inc. .............. 12,677,600 50,100 SBC Communications, Inc. .... 1,291,077 97,500 Sprint Corp. (FON Group)..... 2,422,875 60,200 Telephone and Data Systems, Inc.(d).................... 4,632,390 473,500 Verizon Communications, Inc. ...................... 19,181,485 -------------- 70,341,168 -------------- TRANSPORTATION -- 0.9% 16,700 Burlington Northern Santa Fe Corp. ..................... 790,077 59,300 JB Hunt Transport Services, Inc. ...................... 2,659,605 54,667 Ryder System, Inc. .......... 2,611,443 86,900 Teekay Shipping Corp. ....... 3,659,359 -------------- 9,720,484 -------------- UTILITIES: ELECTRIC -- 2.5% 30,600 Alliant Energy Corp. ........ 875,160 60,700 American Electric Power Company, Inc. ............. 2,084,438 88,300 Constellation Energy Group, Inc. ...................... 3,859,593 201,900 Edison International......... 6,466,857 16,200 Entergy Corp. ............... 1,094,958 87,500 Exelon Corp. ................ 3,856,125 18,000 Northeast Utilities.......... 339,300 74,700 Pepco Holdings, Inc. ........ 1,592,604 33,100 PG&E Corp.*.................. 1,101,568 47,400 SCANA Corp. ................. 1,867,560 74,800 TXU Corp.(d)................. 4,829,088 -------------- 27,967,251 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) UTILITIES: GAS -- 0.3% 104,400 Sempra Energy(d)............. $ 3,829,392 -------------- TOTAL COMMON STOCKS (Cost $1,015,745,616)...... 1,128,940,273 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 7.5% $85,014,118 Securities Lending Collateral Investment (Note 4) (Cost $85,014,118)......... 85,014,118 -------------- SHORT TERM US TREASURY SECURITY -- 0.0% 150,000 US Treasury Bill, 2.16%, 03/17/05(f) (Cost $149,327)............ 149,327 -------------- TOTAL SECURITIES (Cost $1,100,909,061)...... 1,214,103,718 -------------- REPURCHASE AGREEMENTS -- 0.6% 7,071,418 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $7,072,526 (Collateralized by Fannie Mae, 2.92%, due 03/25/33, with a value of $3,345,100, and various Small Business Administrations, 5.13% -- 5.38%, due 11/25/15- 10/25/16, with a total value of $4,082,935) (Cost $7,071,418)................ 7,071,418 -------------- Total Investments -- 107.5% (Cost $1,107,980,479)...... 1,221,175,136 Liabilities less other assets -- (7.5)%........... (85,226,702) -------------- NET ASSETS -- 100.0%......... $1,135,948,434 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $1,116,324,135. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $121,321,581 Gross unrealized depreciation.......... (16,470,580) ------------ Net unrealized appreciation............ $104,851,001 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 105 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS -- 98.5% AEROSPACE AND DEFENSE -- 0.9% 74,251 General Dynamics Corp....... $ 7,766,655 257,000 The Boeing Company.......... 13,304,890 -------------- 21,071,545 -------------- AGRICULTURE -- 1.1% 463,900 Monsanto Company............ 25,769,645 -------------- AIRLINES -- 1.0% 1,333,500 Southwest Airlines Company................... 21,709,380 -------------- APPAREL: MANUFACTURING -- 1.1% 282,327 Nike, Inc. -- Class B....... 25,604,236 -------------- BROADCAST SERVICES/MEDIA -- 1.9% 538,200 The Walt Disney Company..... 14,961,960 801,700 Time Warner, Inc.*.......... 15,585,048 369,100 XM Satellite Radio Holdings, Inc. -- Class A*(d)....... 13,885,542 -------------- 44,432,550 -------------- BUSINESS SERVICES AND SUPPLIES -- 0.4% 216,600 First Data Corp. ........... 9,214,164 -------------- CHEMICALS -- 0.6% 252,100 The Dow Chemical Company.... 12,481,471 -------------- COMPUTER SOFTWARE AND SERVICES -- 5.1% 455,837 Electronic Arts, Inc.*...... 28,116,026 2,987,270 Microsoft Corp.............. 79,789,982 410,400 NVIDIA Corp.*............... 9,669,024 -------------- 117,575,032 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 2.8% 1,348,022 Dell, Inc.*................. 56,805,647 443,600 Seagate Technology*......... 7,660,972 -------------- 64,466,619 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.5% 186,627 Lennar Corp. -- Class A(d)...................... 10,578,018 -------------- CONSUMER GOODS AND SERVICES -- 8.8% 144,900 Colgate-Palmolive Company... 7,413,084 337,400 FedEx Corp.(d).............. 33,230,526 2,414,542 General Electric Company.... 88,130,783 158,400 Kimberly-Clark Corp......... 10,424,304 929,904 Procter & Gamble Company.... 51,219,112 140,600 United Parcel Service, Inc. -- Class B........... 12,015,676 -------------- 202,433,485 -------------- ELECTRONICS -- 0.1% 22,657 Harman International Industries, Inc. ......... 2,877,439 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 10.2% 504,300 American Express Company.... $ 28,427,391 580,300 Ameritrade Holding Corp.*... 8,251,866 515,600 Capital One Financial Corp.(d).................. 43,418,675 456,611 Citigroup, Inc.............. 21,999,518 1,093,363 Countrywide Financial Corp...................... 40,465,365 329,777 Goldman Sachs Group, Inc.... 34,309,999 841,607 SLM Corp.................... 44,933,397 55,438 The Chicago Mercantile Exchange(d)............... 12,678,671 -------------- 234,484,882 -------------- FOOD AND BEVERAGE -- 2.4% 255,400 Anheuser-Busch Companies, Inc....................... 12,956,442 349,000 Coca-Cola Company........... 14,528,870 504,284 PepsiCo, Inc. .............. 26,323,625 -------------- 53,808,937 -------------- INSURANCE -- 0.9% 295,500 American International Group, Inc. .............. 19,405,485 -------------- INTERNET SERVICES -- 8.4% 2,669,340 Cisco Systems, Inc.*........ 51,518,262 564,022 eBay, Inc.*................. 65,584,478 38,300 Google, Inc. -- Class A*.... 7,395,730 845,300 Juniper Networks, Inc.*..... 22,983,707 674,000 VeriSign, Inc.*(d).......... 22,592,480 602,900 YAHOO!, Inc.*............... 22,717,272 -------------- 192,791,929 -------------- LEISURE AND RECREATION -- 6.9% 154,180 Carnival Corp.(d)........... 8,885,393 225,600 DreamWorks Animation SKG, Inc. -- Class A*.......... 8,462,256 142,558 Four Seasons Hotels, Inc.(d)................... 11,659,819 336,200 Hilton Hotels Corp.......... 7,645,188 489,700 Marriott International, Inc. -- Class A........... 30,841,306 211,840 MGM MIRAGE*................. 15,409,242 598,000 Starwood Hotels & Resorts Worldwide, Inc.(d)........ 34,923,200 589,444 Wynn Resorts, Ltd.*(d)...... 39,445,592 -------------- 157,271,996 -------------- MACHINERY -- 1.6% 372,241 Caterpillar, Inc.(d)........ 36,297,220 -------------- MANUFACTURING -- 0.6% 402,500 Honeywell International, Inc. ..................... 14,252,525 --------------
See notes to financial statements. 106 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES -- 4.9% 358,800 Medco Health Solutions, Inc.*..................... $ 14,926,080 977,020 UnitedHealth Group, Inc..... 86,007,071 103,900 WellPoint, Inc.*............ 11,948,500 -------------- 112,881,651 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 6.0% 774,200 Johnson & Johnson........... 49,099,765 185,900 Kinetic Concepts, Inc.*..... 14,184,170 260,284 Medtronic, Inc.............. 12,928,306 327,100 St. Jude Medical, Inc.*..... 13,715,303 589,895 Zimmer Holdings, Inc.*...... 47,262,387 -------------- 137,189,931 -------------- OIL, COAL AND GAS -- 1.0% 213,400 EOG Resources, Inc.......... 15,228,224 111,540 Newfield Exploration Company*.................. 6,586,437 -------------- 21,814,661 -------------- PHARMACEUTICALS -- 4.0% 491,400 Caremark Rx, Inc.*.......... 19,375,902 205,300 Eli Lilly and Company....... 11,650,775 328,500 IVAX Corp.*(d).............. 5,196,870 1,476,652 Pfizer, Inc................. 39,707,172 790,400 Schering-Plough Corp. ...... 16,503,552 -------------- 92,434,271 -------------- RESEARCH AND DEVELOPMENT -- 4.4% 484,169 Amgen, Inc.*................ 31,059,441 1,032,540 Genentech, Inc.*............ 56,211,478 200,400 Gilead Sciences, Inc.*...... 7,011,996 135,800 ImClone Systems, Inc.*(d)... 6,257,664 -------------- 100,540,579 -------------- RETAIL -- 8.5% 643,400 Circuit City Stores, Inc.(d)................... 10,062,776 349,100 Dollar General Corp. ....... 7,250,807 1,158,900 Home Depot, Inc.(d)......... 49,531,386 433,200 JC Penney Company, Inc. (Holding Company)......... 17,934,480 625,449 Lowe's Companies, Inc.(d)... 36,019,608 627,100 Staples, Inc................ 21,139,541 283,143 Target Corp................. 14,703,616 701,518 Wal-Mart Stores, Inc. ...... 37,054,181 -------------- 193,696,395 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL: RESTAURANTS -- 1.9% 580,300 McDonald's Corp............. $ 18,604,418 392,933 Starbucks Corp.*............ 24,503,302 -------------- 43,107,720 -------------- RETAIL: SUPERMARKETS -- 0.7% 170,987 Whole Foods Market, Inc.(d)................... 16,303,610 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.3% 122,800 Fisher Scientific International, Inc.*...... 7,660,264 -------------- SEMICONDUCTORS -- 4.5% 690,200 Altera Corp.*............... 14,287,140 378,200 Applied Materials, Inc.*.... 6,467,220 440,700 Broadcom Corp. -- Class A*(d)..................... 14,225,796 1,073,200 National Semiconductor Corp. .................... 19,263,940 955,200 PMC-Sierra, Inc.*........... 10,746,000 1,509,600 Texas Instruments, Inc. .... 37,166,352 -------------- 102,156,448 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.1% 510,800 Comverse Technology, Inc.*..................... 12,489,060 2,093,100 JDS Uniphase Corp.*(d)...... 6,635,127 2,261,200 Motorola, Inc............... 38,892,640 1,744,407 QUALCOMM, Inc............... 73,962,857 196,820 Verizon Communications, Inc. ..................... 7,973,178 -------------- 139,952,862 -------------- UTILITIES: ELECTRIC -- 0.9% 332,569 TXU Corp.(d)................ 21,470,655 -------------- TOTAL COMMON STOCKS (Cost $1,931,060,493)..... 2,255,735,605 -------------- WARRANTS -- 0.0% 24,143 Lucent Technologies, Inc., expires 12/10/07* (Cost $0)....................... 38,146 --------------
See notes to financial statements. 107 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- SECURITIES LENDING COLLATERAL -- 8.9% $203,440,449 Securities Lending Collateral Investment (Note 4) (Cost $203,440,449)....... $ 203,440,449 -------------- TOTAL SECURITIES (Cost $2,134,500,942)..... 2,459,214,200 -------------- REPURCHASE AGREEMENTS -- 1.8% 41,295,933 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $41,302,403 (Collateralized by various Small Business Administrations, 4.38% -- 5.63%, due 03/25/15- 03/25/29, with a total value of $43,360,730) (Cost $41,295,933)........ 41,295,933 -------------- Total Investments -- 109.2% (Cost $2,175,796,875)..... 2,500,510,133 Liabilities less other assets -- (9.2)%.......... (209,950,186) -------------- NET ASSETS -- 100.0%........ $2,290,559,947 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $2,226,733,418. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $287,891,791 Gross unrealized depreciation.......... (14,115,076) ------------ Net unrealized appreciation............ $273,776,715 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 108 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS -- 95.0% AEROSPACE AND DEFENSE -- 1.8% 227,900 Goodrich Corp. ................ $ 7,438,656 ------------ APPAREL: RETAIL -- 1.6% 252,700 Foot Locker, Inc. ............. 6,805,211 ------------ ASSET MANAGEMENT -- 1.3% 153,600 Brascan Corp. -- Class A (Canada)(d).................. 5,531,136 ------------ AUTOMOTIVE EQUIPMENT -- 2.5% 88,800 Genuine Parts Company.......... 3,912,528 104,000 Lear Corp. .................... 6,345,040 ------------ 10,257,568 ------------ BANKS -- 7.4% 153,600 First Horizon National Corp.(d)..................... 6,621,696 54,500 M&T Bank Corp. ................ 5,877,280 304,700 North Fork Bancorp, Inc. ...... 8,790,595 188,300 State Street Corp. ............ 9,249,296 ------------ 30,538,867 ------------ BROADCAST SERVICES/MEDIA -- 1.4% 122,400 The E.W. Scripps Company -- Class A(d)................... 5,909,472 ------------ BUSINESS SERVICES AND SUPPLIES -- 4.4% 51,300 Avery Dennison Corp. .......... 3,076,461 118,900 Diebold, Inc. ................. 6,626,297 178,400 Manpower, Inc. ................ 8,616,720 ------------ 18,319,478 ------------ CHEMICALS -- 5.8% 178,400 Cytec Industries, Inc. ........ 9,173,328 168,400 International Flavors & Fragrances, Inc. ............ 7,214,256 423,300 Methanex Corp. (Canada)........ 7,729,458 ------------ 24,117,042 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 3.1% 153,600 American Standard Companies, Inc.*........................ 6,346,752 185,800 York International Corp. ...... 6,417,532 ------------ 12,764,284 ------------ CONSUMER GOODS AND SERVICES -- 2.5% 54,300 Fortune Brands, Inc. .......... 4,190,874 133,700 The Sherwin-Williams Company... 5,967,031 ------------ 10,157,905 ------------ CONTAINERS AND PACKAGING -- 2.5% 157,900 Pactiv Corp.*.................. 3,993,291 138,700 Rexam PLC (Great Britain) (ADR)(d)..................... 6,260,918 ------------ 10,254,209 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) DISTRIBUTION -- 0.9% 59,200 CDW Corp. ..................... $ 3,927,920 ------------ ELECTRONICS -- 1.5% 236,600 Thomson (France) (ADR)......... 6,281,730 ------------ FINANCIAL SERVICES -- 5.7% 213,000 CIT Group, Inc. ............... 9,759,660 500,400 E*TRADE Financial Corp.*....... 7,480,980 74,400 Legg Mason, Inc. .............. 5,450,544 45,100 MoneyGram International, Inc. ........................ 953,414 ------------ 23,644,598 ------------ FOOD AND BEVERAGE -- 2.8% 182,500 Allied Domecq PLC (Great Britain) (ADR)(d)............ 7,283,575 113,500 Sysco Corp. ................... 4,332,295 ------------ 11,615,870 ------------ INSURANCE -- 5.6% 218,000 Assurant, Inc. ................ 6,659,900 94,100 Everest Re Group, Ltd. (Bermuda).................... 8,427,596 128,800 MBIA, Inc.(d).................. 8,150,464 ------------ 23,237,960 ------------ LEISURE AND RECREATION -- 4.8% 273,100 Hilton Hotels Corp. ........... 6,210,294 610,989 InterContinental Hotels Group PLC (Great Britain) (ADR).... 7,710,681 109,000 Royal Caribbean Cruises, Ltd. (Liberia)(d)................. 5,933,960 ------------ 19,854,935 ------------ MANUFACTURING -- 1.6% 79,300 ITT Industries, Inc. .......... 6,696,885 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 3.3% 128,300 Omnicare, Inc.(d).............. 4,441,746 79,300 WellPoint, Inc.*............... 9,119,500 ------------ 13,561,246 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 1.1% 69,100 CR Bard, Inc. ................. 4,421,018 ------------ OIL, COAL AND GAS -- 6.1% 133,800 EnCana Corp. (Canada).......... 7,634,628 128,800 Praxair, Inc. ................. 5,686,520 163,500 Questar Corp. ................. 8,331,960 69,100 Weatherford International, Ltd. (Bermuda)*................... 3,544,830 ------------ 25,197,938 ------------ PRINTING AND PUBLISHING -- 1.6% 186,169 RR Donnelley & Sons Company(d)................... 6,569,904 ------------
See notes to financial statements. 109 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL -- 3.1% 89,200 CVS Corp. ..................... $ 4,020,244 307,200 Dollar Tree Stores, Inc.*(d)... 8,810,496 ------------ 12,830,740 ------------ RETAIL: RESTAURANTS -- 1.2% 104,600 YUM! Brands, Inc. ............. 4,935,028 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.7% 196,500 Amdocs, Ltd. (Guernsey)*....... 5,158,125 212,100 Corning, Inc.*................. 2,496,417 312,100 UNOVA, Inc.*(d)................ 7,893,009 ------------ 15,547,551 ------------ TOOLS -- 1.0% 83,900 Stanley Works.................. 4,110,261 ------------ TOYS -- 1.0% 204,700 Mattel, Inc.(d)................ 3,989,603 ------------ TRANSPORTATION -- 7.2% 167,100 CNF, Inc. ..................... 8,371,710 188,300 CSX Corp. ..................... 7,547,064 181,200 Florida East Coast Industries, Inc. ........................ 8,172,120 163,500 Norfolk Southern Corp. ........ 5,917,065 ------------ 30,007,959 ------------ UTILITIES: ELECTRIC -- 6.3% 574,700 CenterPoint Energy, Inc.(d).... 6,494,110 227,900 PG&E Corp.*.................... 7,584,512 74,300 PPL Corp. ..................... 3,958,704 123,900 TXU Corp.(d)................... 7,998,984 ------------ 26,036,310 ------------ UTILITIES: GAS -- 2.2% 277,400 AGL Resources, Inc. ........... 9,220,776 ------------ TOTAL COMMON STOCKS (Cost $339,994,770).......... 393,782,060 ------------ PRINCIPAL VALUE --------- ------------ SECURITIES LENDING COLLATERAL -- 14.1% $58,613,178 Securities Lending Collateral Investment (Note 4) (Cost $58,613,178)........... $ 58,613,178 ------------ TOTAL SECURITIES (Cost $398,607,948).......... 452,395,238 ------------ REPURCHASE AGREEMENTS -- 5.5% 22,804,390 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $22,807,963 (Collateralized by various Small Business Administrations, 4.77% -- 5.77%, due 05/25/16 to 02/25/29, with a total value of $23,944,609) (Cost $22,804,390)................. 22,804,390 ------------ Total Investments -- 114.6% (Cost $421,412,338).......... 475,199,628 Liabilities less other assets -- (14.6)%............ (60,488,949) ------------ NET ASSETS -- 100.0%........... $414,710,679 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $422,114,504. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $54,444,932 Gross unrealized depreciation........... (1,359,808) ----------- Net unrealized appreciation............. $53,085,124 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 110 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS -- 97.4% ADVERTISING -- 2.0% 62,300 Getty Images, Inc.*(d)......... $ 4,289,355 ------------ APPAREL: RETAIL -- 3.2% 89,400 American Eagle Outfitters, Inc. ........................ 4,210,740 55,700 Chico's FAS, Inc.*(d).......... 2,536,021 ------------ 6,746,761 ------------ BROADCAST SERVICES/MEDIA -- 5.5% 89,000 Cablevision Systems Corp. New York Group -- Class A*....... 2,216,100 23,800 Pixar*(d)...................... 2,037,518 367,600 Sirius Satellite Radio, Inc.*(d)..................... 2,812,140 120,300 XM Satellite Radio Holdings, Inc. -- Class A*(d).......... 4,525,686 ------------ 11,591,444 ------------ BUSINESS SERVICES AND SUPPLIES -- 2.9% 87,300 Alliance Data Systems Corp.*... 4,145,004 68,800 Robert Half International, Inc. ........................ 2,024,784 ------------ 6,169,788 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.8% 126,900 Cognos, Inc.*.................. 5,591,214 49,300 NAVTEQ Corp.*.................. 2,285,548 ------------ 7,876,762 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.9% 204,700 ATI Technologies, Inc.*........ 3,969,133 ------------ CONSUMER GOODS AND SERVICES -- 2.0% 199,810 Tempur-Pedic International, Inc.*........................ 4,235,972 ------------ CONTAINERS AND PACKAGING -- 0.9% 87,660 Owens-Illinois, Inc.*.......... 1,985,499 ------------ ELECTRONICS -- 4.0% 32,000 Harman International Industries, Inc. ............ 4,064,000 129,200 Trimble Navigation, Ltd.*...... 4,268,768 ------------ 8,332,768 ------------ FINANCIAL SERVICES -- 6.4% 96,000 Doral Financial Corp. ......... 4,728,000 63,700 Legg Mason, Inc. .............. 4,666,662 64,300 T. Rowe Price Group, Inc. ..... 3,999,460 ------------ 13,394,122 ------------ INTERNET SERVICES -- 8.6% 124,700 Juniper Networks, Inc.*........ 3,390,593 82,300 Macromedia, Inc.*.............. 2,561,176 159,700 Monster Worldwide, Inc.*(d).... 5,372,308 198,900 VeriSign, Inc.*................ 6,667,128 ------------ 17,991,205 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) LEISURE AND RECREATION -- 3.0% 83,600 Brunswick Corp. ............... $ 4,138,200 89,000 Scientific Games Corp. -- Class A*........................... 2,121,760 ------------ 6,259,960 ------------ MACHINERY -- 3.3% 141,800 Rockwell Automation, Inc. ..... 7,026,190 ------------ MANUFACTURING -- 2.0% 75,500 Zebra Technologies Corp. -- Class A*..................... 4,249,140 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 9.3% 30,700 Beckman Coulter, Inc. ......... 2,056,593 101,800 CR Bard, Inc. ................. 6,513,164 88,300 Kinetic Concepts, Inc.*........ 6,737,290 53,960 Zimmer Holdings, Inc.*......... 4,323,275 ------------ 19,630,322 ------------ OIL, COAL AND GAS -- 11.2% 68,424 Bill Barrett Corp.*(d)......... 2,188,884 63,200 Chesapeake Energy Corp. ....... 1,042,800 112,300 Diamond Offshore Drilling, Inc.(d)...................... 4,497,615 62,300 EOG Resources, Inc. ........... 4,445,728 93,900 Massey Energy Company.......... 3,281,805 92,300 Noble Corp.*................... 4,591,002 92,200 Quicksilver Resources, Inc.*(d)..................... 3,391,116 ------------ 23,438,950 ------------ PHARMACEUTICALS -- 2.0% 151,000 MGI Pharma, Inc.*(d)........... 4,229,510 ------------ REAL ESTATE DEVELOPMENT AND MANAGEMENT SERVICES -- 1.2% 71,940 CB Richard Ellis Group, Inc. -- Class A*..................... 2,413,587 ------------ RESEARCH AND DEVELOPMENT -- 2.3% 106,900 Eyetech Pharmaceuticals, Inc.*(d)..................... 4,863,950 ------------ RETAIL -- 4.1% 144,000 MSC Industrial Direct Company, Inc. -- Class A.............. 5,181,120 99,700 Williams-Sonoma, Inc.*(d)...... 3,493,488 ------------ 8,674,608 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 1.5% 50,000 Fisher Scientific International, Inc.*......... 3,119,000 ------------ SEMICONDUCTORS -- 3.9% 126,800 Broadcom Corp. -- Class A*..... 4,093,104 104,100 Cree, Inc.*(d)................. 4,172,328 ------------ 8,265,432 ------------
See notes to financial statements. 111 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 12.4% 429,700 Alamosa Holdings, Inc.*(d)..... $ 5,358,359 173,400 American Tower Corp. -- Class A*........................... 3,190,560 241,900 Comverse Technology, Inc.*..... 5,914,455 101,900 Harris Corp. .................. 6,296,401 133,500 Polycom, Inc.*................. 3,113,220 36,000 SpectraSite, Inc.*............. 2,084,400 ------------ 25,957,395 ------------ TOTAL COMMON STOCKS (Cost $174,220,885)................ 204,710,853 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 24.0% $50,393,267 Securities Lending Collateral Investment (Note 4) (Cost $50,393,267)........... 50,393,267 ------------ TOTAL SECURITIES (Cost $224,614,152)................ 255,104,120 ------------ REPURCHASE AGREEMENTS -- 2.4% 5,082,338 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $5,083,134 (Collateralized by Freddie Mac, 3.49%, due 12/15/23, with a value of $5,339,288) (Cost $5,082,338)............ 5,082,338 ------------ Total Investments -- 123.8% (Cost $229,696,490).......... 260,186,458 Liabilities less other assets -- (23.8)%............ (50,085,586) ------------ NET ASSETS -- 100.0%........... $210,100,872 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $229,935,908. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $31,179,298 Gross unrealized depreciation........... (928,748) ----------- Net unrealized appreciation............. $30,250,550 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 112 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS -- 99.3% ADVERTISING -- 5.5% 322,650 Catalina Marketing Corp. ...... $ 9,560,120 ------------ AGRICULTURE -- 4.3% 268,950 Delta and Pine Land Company.... 7,336,956 ------------ AUTOMOTIVE EQUIPMENT -- 1.4% 175,650 Exide Technologies*............ 2,420,457 ------------ BANKS -- 5.3% 137,225 Commercial Federal Corp. ...... 4,076,954 54,975 First Financial Bancorp........ 962,063 80,000 Provident Financial Services, Inc. ........................ 1,549,600 45,425 UMB Financial Corp. ........... 2,573,781 ------------ 9,162,398 ------------ BUSINESS SERVICES AND SUPPLIES -- 8.7% 327,350 CSG Systems International, Inc.*........................ 6,121,445 349,500 Dendrite International, Inc.*........................ 6,780,299 104,700 FTI Consulting, Inc.*.......... 2,206,029 ------------ 15,107,773 ------------ CHEMICALS -- 3.8% 35,000 Cabot Microelectronics Corp.*(d).................... 1,401,750 311,450 Tetra Tech, Inc.*.............. 5,213,673 ------------ 6,615,423 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.5% 266,325 Gartner, Inc. -- Class A*(d)........................ 3,318,410 92,125 Gartner, Inc. -- Class B*..... 1,132,216 105,800 Keane, Inc.*................... 1,555,260 ------------ 6,005,886 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.8% 65,600 Black Box Corp. ............... 3,150,112 ------------ CONSUMER GOODS AND SERVICES -- 2.2% 131,425 Blyth, Inc. ................... 3,884,923 ------------ EDUCATION -- 1.7% 167,200 DeVry, Inc.*(d)................ 2,902,592 ------------ ELECTRONICS -- 2.0% 146,750 Belden CDT, Inc.(d)............ 3,404,600 ------------ FINANCIAL SERVICES -- 7.4% 245,400 Investment Technology Group, Inc.*........................ 4,907,999 139,662 Raymond James Financial, Inc. ........................ 4,326,729 148,200 Waddell & Reed Financial, Inc. -- Class A.............. 3,540,498 ------------ 12,775,226 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INSURANCE -- 6.9% 155,100 Horace Mann Educators Corp. ... $ 2,959,308 135,925 Infinity Property & Casualty Corp. ....................... 4,784,559 331,225 Phoenix Companies, Inc.(d)..... 4,140,313 ------------ 11,884,180 ------------ INTERNET SERVICES -- 2.8% 415,875 EarthLink, Inc.*............... 4,790,880 ------------ LEISURE AND RECREATION -- 4.4% 193,550 Speedway Motorsports, Inc. .... 7,583,289 ------------ MANUFACTURING -- 9.1% 251,900 Acuity Brands, Inc. ........... 8,010,419 145,750 Crane Company.................. 4,203,430 171,175 Tredegar Corp. ................ 3,459,447 ------------ 15,673,296 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 2.4% 117,200 LifePoint Hospitals, Inc.*(d)..................... 4,080,904 ------------ OIL, COAL AND GAS -- 5.3% 98,400 Forest Oil Corp.*.............. 3,121,248 90,425 Oceaneering International, Inc.*........................ 3,374,661 76,150 Tidewater, Inc.(d)............. 2,711,702 ------------ 9,207,611 ------------ PAPER AND FOREST PRODUCTS -- 2.9% 102,262 Rayonier, Inc. ................ 5,001,634 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.1% 2,525 Avatar Holdings, Inc.*(d)...... 121,453 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.6% 76,850 Post Properties, Inc. ......... 2,682,065 ------------ RETAIL -- 2.6% 214,725 Big Lots, Inc.*(d)............. 2,604,614 92,900 Pier 1 Imports, Inc. .......... 1,830,130 ------------ 4,434,744 ------------ RUBBER PRODUCTS -- 1.7% 16,250 Bandag, Inc.(d)................ 809,413 47,150 Bandag, Inc. -- Class A....... 2,184,459 ------------ 2,993,872 ------------ SECURITY SERVICES -- 2.8% 124,525 The Brink's Company............ 4,921,228 ------------ SEMICONDUCTORS -- 1.9% 413,050 Axcelis Technologies, Inc.*.... 3,358,097 ------------ SPORTING GOODS AND EQUIPMENT -- 2.7% 351,475 Callaway Golf Company.......... 4,744,913 ------------
See notes to financial statements. 113 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 4.5% 156,125 Commonwealth Telephone Enterprises, Inc.*(d)........ $ 7,753,168 ------------ TOTAL COMMON STOCKS (Cost $140,146,799).......... 171,557,800 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 12.8% $22,031,456 Securities Lending Collateral Investment (Note 4) (Cost $22,031,456)........... 22,031,456 ------------ TOTAL SECURITIES (Cost $162,178,255).......... 193,589,256 ------------ REPURCHASE AGREEMENTS -- 0.8% 1,367,599 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $1,367,813 (Collateralized by Small Business Administration, 5.63%, due 09/25/15, with a value of $1,435,979) (Cost $1,367,599).................. 1,367,599 ------------ Total Investments -- 112.9% (Cost $163,545,854).......... 194,956,855 Liabilities less other assets -- (12.9)%............ (22,220,906) ------------ NET ASSETS -- 100.0%........... $172,735,949 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $163,686,491. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $32,358,280 Gross unrealized depreciation........... (1,087,916) ----------- Net unrealized appreciation............. $31,270,364 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 114 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.0% ADVERTISING -- 0.7% 86,200 ADVO, Inc. ................. $ 3,073,030 60,200 Catalina Marketing Corp. ... 1,783,726 50,500 R.H. Donnelley Corp.*(d).... 2,982,025 61,800 Ventiv Health, Inc.*........ 1,255,776 -------------- 9,094,557 -------------- AEROSPACE AND DEFENSE -- 0.9% 6,600 ARGON ST, Inc.*............. 233,970 41,300 B/E Aerospace, Inc.*........ 480,732 58,700 Curtiss-Wright Corp. -- Class B.......... 3,302,462 57,580 DRS Technologies, Inc.*..... 2,459,242 3,900 Ducommun, Inc.*............. 81,315 2,800 Innovative Solutions and Support, Inc.*............ 93,408 57,200 Moog, Inc. -- Class A*...... 2,594,020 162,000 Orbital Sciences Corp.*(d)................. 1,916,460 -------------- 11,161,609 -------------- AIRLINES -- 0.5% 197,700 AirTran Holdings, Inc.*(d).................. 2,115,390 12,100 Alaska Air Group, Inc.*..... 405,229 61,400 America West Holdings Corp. -- Class B*(d)...... 404,012 169,600 ExpressJet Holdings, Inc.*..................... 2,184,448 33,800 Pinnacle Airlines Corp.*.... 471,172 -------------- 5,580,251 -------------- APPAREL: MANUFACTURING -- 1.7% 292,900 Ashworth, Inc.*............. 3,189,681 83,200 Gildan Activewear, Inc. -- Class A*.................. 2,827,968 46,900 Guess?, Inc.*............... 588,595 37,100 Hartmarx Corp.*............. 288,267 15,000 Kellwood Company............ 517,500 76,400 Oxford Industries, Inc. .... 3,155,320 149,700 Phillips-Van Heusen Corp. .................... 4,041,900 14,500 Skechers USA, Inc. -- Class A*........................ 187,920 238,230 The Warnaco Group, Inc.*.... 5,145,768 38,400 Wolverine World Wide, Inc. ..................... 1,206,528 -------------- 21,149,447 -------------- APPAREL: RETAIL -- 2.6% 25,200 Aeropostale, Inc.*.......... 741,636 268,875 Cache, Inc.*................ 4,845,128 103,300 Cato Corp. -- Class A....... 2,977,106 196,350 Charlotte Russe Holding, Inc.*..................... 1,983,135 90,300 Claire's Stores, Inc. ...... 1,918,875 7,300 Genesco, Inc.*.............. 227,322 271,860 Jos. A. Bank Clothiers, Inc.*(d).................. 7,693,638 154,800 New York & Company, Inc.*... 2,557,296
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) APPAREL: RETAIL (CONTINUED) 84,600 Shoe Carnival, Inc.*........ $ 1,099,800 133,600 Stage Stores, Inc.*(d)...... 5,547,072 52,600 Stein Mart, Inc.*........... 897,356 59,100 The Men's Wearhouse, Inc.*..................... 1,888,836 -------------- 32,377,200 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.4% 3,800 Arctic Cat, Inc. ........... 100,776 40,500 Monaco Coach Corp. ......... 833,085 25,700 Polaris Industries, Inc. ... 1,748,114 61,900 Winnebago Industries, Inc.(d)................... 2,417,814 -------------- 5,099,789 -------------- AUTOMOTIVE EQUIPMENT -- 1.1% 64,800 Modine Manufacturing Company................... 2,188,296 176,000 O'Reilly Automotive, Inc.*(d).................. 7,928,800 190,600 Spartan Motors, Inc. ....... 2,273,858 56,800 Tenneco Automotive, Inc.*... 979,232 31,100 Titan International, Inc.(d)................... 469,610 -------------- 13,839,796 -------------- BANKS -- 5.6% 7,000 ABC Bancorp................. 147,000 76,100 AMCORE Financial, Inc. ..... 2,448,898 4,290 AmericanWest Bancorp*....... 86,873 97,900 Astoria Financial Corp. .... 3,913,062 1,400 BancFirst Corp. ............ 110,572 17,500 BancorpSouth, Inc. ......... 426,475 147,323 BankUnited Financial Corp. -- Class A*......... 4,706,969 104,906 Banner Corp. ............... 3,272,018 5,400 Camden National Corp. ...... 212,814 3,200 Capital Crossing Bank*...... 98,208 139,900 Cathay General Bancorp...... 5,246,249 15,900 City Holding Company........ 576,216 16,200 Columbia Banking System, Inc. ..................... 404,838 27,800 Commercial Federal Corp. ... 825,938 8,000 Community Trust Bancorp, Inc. ..................... 258,880 17,700 Corus Bankshares, Inc. ..... 849,777 23,000 First BanCorp. ............. 1,460,730 7,800 First Charter Corp. ........ 204,126 2,600 First Citizens Bancshares, Inc. -- Class A........... 385,450 15,300 First Financial Bancorp..... 267,750 2,500 First Financial Bankshares, Inc. ..................... 112,025 65,200 First Midwest Bancorp, Inc. ..................... 2,366,108 9,600 First Place Financial Corp. .................... 214,944 6,700 First Republic Bank......... 355,100 21,600 FirstFed Financial Corp.*... 1,120,392
See notes to financial statements. 115 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 16,500 Flushing Financial Corp. ... $ 330,990 89,400 Fremont General Corp.(d).... 2,251,092 9,100 Frontier Financial Corp. ... 351,351 19,600 Hancock Holding Company..... 655,816 39,100 Hibernia Corp. -- Class A... 1,153,841 57,211 Hudson United Bancorp....... 2,252,969 3,200 Independent Bank Corp. (Massachusetts)........... 108,000 9,800 Independent Bank Corp. (Michigan)................ 292,334 28,100 IndyMac Bancorp, Inc. ...... 968,045 24,500 Irwin Financial Corp. ...... 695,555 5,500 ITLA Capital Corp.*......... 323,345 6,195 MainSource Financial Group, Inc. ..................... 147,937 3,200 MB Financial, Inc. ......... 134,880 6,700 MBT Financial Corp. ........ 155,909 4,400 Mid-State Bancshares........ 126,060 117,400 Nara Bancorp, Inc. ......... 2,497,098 5,300 NBC Capital Corp. .......... 140,821 192,500 NewAlliance Bancshares, Inc. ..................... 2,945,250 8,000 Old Second Bancorp, Inc. ... 255,040 15,180 Oriental Financial Group, Inc. ..................... 429,746 5,100 People's Holding Company.... 168,810 8,900 PFF Bancorp, Inc. .......... 412,337 55,420 PrivateBancorp, Inc. ....... 1,786,187 4,400 Provident Bankshares Corp. .................... 160,028 50,100 R&G Financial Corp. -- Class B......................... 1,947,888 2,100 S&T Bancorp, Inc. .......... 79,149 3,700 Sandy Spring Bancorp, Inc. ..................... 141,821 8,900 Santander BanCorp........... 268,424 3,360 SCBT Financial Corp. ....... 112,795 65,950 Signature Bank*............. 2,134,142 27,600 Silicon Valley Bancshares*............... 1,237,032 7,000 Simmons First National Corp. -- Class A.......... 202,650 4,830 Southside Bancshares, Inc. ..................... 110,366 90,510 Southwest Bancorp of Texas, Inc. ..................... 2,107,978 3,465 State Bancorp, Inc. ........ 95,288 3,600 State Financial Services Corp. -- Class A.......... 108,360 7,950 Sterling Bancorp............ 224,588 4,900 Sterling Financial Corp. (Pennsylvania)............ 140,483 5,300 Suffolk Bancorp............. 184,599 27,600 Susquehanna Bancshares, Inc. ..................... 688,620 276,150 Texas Capital Bancshares, Inc.*..................... 5,970,362 14,700 Trustmark Corp. ............ 456,729 2,000 Uninvest Corp. of Pennsylvania.............. 92,040
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 2,100 Union Bankshares Corp. ..... $ 80,703 21,500 United Community Financial Corp. .................... 240,800 9,100 USB Holding Company, Inc. ..................... 226,590 13,600 WesBanco, Inc. ............. 434,792 6,800 West Coast Bancorp.......... 172,788 25,900 Westamerica Bancorp......... 1,510,229 4,500 Western Sierra Bancorp*..... 172,598 6,300 WSFS Financial Corp. ....... 380,016 -------------- 68,336,683 -------------- BROADCAST SERVICES/MEDIA -- 0.3% 8,700 Emmis Communications Corp. -- Class A*......... 166,953 66,400 Insight Communications Company, Inc. -- Class A*(d)..................... 615,528 18,700 Journal Communications, Inc. -- Class A........... 337,909 9,900 Nexstar Broadcasting Group, Inc. -- Class A*.......... 91,278 71,900 Sinclair Broadcast Group -- Class A................... 662,199 48,300 Spanish Broadcasting System, Inc. -- Class A*.......... 510,048 8,700 The Liberty Corp. .......... 382,452 13,200 World Wrestling Entertainment, Inc. ...... 160,116 36,500 Young Broadcasting, Inc. -- Class A*.................. 385,440 -------------- 3,311,923 -------------- BUSINESS SERVICES AND SUPPLIES -- 3.2% 44,200 Administaff, Inc.*.......... 557,362 6,900 Ambassadors Group, Inc. .... 245,709 14,700 Angelica Corp. ............. 397,635 48,600 Dendrite International, Inc.*..................... 942,840 6,500 DiamondCluster International, Inc.*...... 93,145 90,900 Gevity HR, Inc. ............ 1,868,904 163,390 Global Payments, Inc.(d).... 9,564,851 180,640 Image Entertainment, Inc.*(d).................. 1,073,002 20,300 John H. Harland Company..... 732,830 58,580 Kelly Services, Inc. -- Class A........... 1,767,944 258,440 Kforce, Inc.*............... 2,868,684 255,510 Korn/Ferry International*(d)......... 5,301,833 128,300 Labor Ready, Inc.*.......... 2,170,836 106,400 MAXIMUS, Inc.*.............. 3,311,168 97,820 Navigant Consulting, Inc.*..................... 2,602,012 177,240 Niku Corp.*................. 3,573,158 12,300 Pomeroy IT Solutions, Inc.*..................... 187,083 20,000 SOURCECORP, Inc.*........... 382,200
See notes to financial statements. 116 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES (CONTINUED) 78,300 TeleTech Holdings, Inc.*.... $ 758,727 7,200 UniFirst Corp. ............. 203,616 14,700 Vertrue, Inc.*.............. 555,219 -------------- 39,158,758 -------------- CHEMICALS -- 1.3% 163,600 Airgas, Inc. ............... 4,337,036 25,200 Albemarle Corp. ............ 975,492 54,000 Compass Minerals International, Inc. ...... 1,308,420 62,100 FMC Corp.*.................. 2,999,430 28,500 Georgia Gulf Corp. ......... 1,419,300 40,500 MacDermid, Inc. ............ 1,462,050 19,400 NewMarket Corp.*............ 386,060 64,600 PolyOne Corp.*.............. 585,276 86,000 Terra Industries, Inc.*(d).................. 763,680 37,800 The Valspar Corp. .......... 1,890,378 -------------- 16,127,122 -------------- COLLECTIBLES -- 0.0% 10,200 Department 56, Inc.*........ 169,830 -------------- COMMERCIAL SERVICES -- 0.5% 53,470 Chemed Corp. ............... 3,588,371 3,600 Euronet Worldwide, Inc.*.... 93,672 118,180 Providence Service Corp.*... 2,478,235 -------------- 6,160,278 -------------- COMPUTER SOFTWARE AND SERVICES -- 4.9% 194,870 Activision, Inc.*........... 3,932,477 7,500 Ansoft Corp.*............... 151,500 33,300 ANSYS, Inc.*................ 1,067,598 99,550 Avid Technology, Inc.*...... 6,147,212 376,800 Checkpoint Systems, Inc.*... 6,801,239 29,200 Covansys Corp.*............. 446,760 275,350 Embarcadero Technologies, Inc.*..................... 2,591,044 174,750 Epicor Software Corp.*...... 2,462,228 51,900 FARO Technologies, Inc.*.... 1,618,242 128,180 Infocrossing, Inc.*(d)...... 2,170,087 74,400 Intergraph Corp.*(d)........ 2,003,592 117,300 Keane, Inc.*................ 1,724,310 109,950 M-Systems Flash Disk Pioneers, Ltd.*(d)........ 2,168,214 137,080 Macrovision Corp.*.......... 3,525,698 90,250 Merge Technologies, Inc.*(d).................. 2,008,063 28,300 MTS Systems Corp. .......... 956,823 64,740 Open Solutions, Inc.*....... 1,680,650 5,400 Progress Software Corp.*.... 126,090 12,600 Quest Software, Inc.*....... 200,970 5,000 Renaissance Learning, Inc. ..................... 92,800
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES (CONTINUED) 29,400 SERENA Software, Inc.*...... $ 636,216 181,730 Smith Micro Software, Inc.*(d).................. 1,626,484 22,900 SS&C Technologies, Inc. .... 472,885 57,400 Sybase, Inc.*............... 1,145,130 350,450 Synplicity, Inc.*........... 2,074,664 234,600 THQ, Inc.*.................. 5,381,724 16,600 Tier Technologies, Inc. -- Class B*.................. 153,550 40,000 Transaction Systems Architects, Inc. -- Class A*........................ 794,000 48,300 Tyler Technologies, Inc.*... 403,788 421,060 Wind River Systems, Inc.*... 5,705,363 -------------- 60,269,401 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 1.4% 102,300 Adaptec, Inc.*.............. 776,457 77,900 Black Box Corp. ............ 3,740,758 137,500 Electronics For Imaging, Inc.*..................... 2,393,875 792,130 Gateway, Inc.*.............. 4,760,701 90,950 Knoll, Inc.*................ 1,591,625 103,470 Mercury Computer Systems, Inc.*(d).................. 3,070,990 30,100 RadiSys Corp.*.............. 588,455 -------------- 16,922,861 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 3.4% 67,100 Agilysys, Inc. ............. 1,150,094 45,700 Brookfield Homes Corp. ..... 1,549,230 181,600 Dycom Industries, Inc.*..... 5,542,432 24,300 Eagle Materials, Inc. ...... 2,098,305 9,100 Genlyte Group, Inc.*........ 779,688 188,600 Hovnanian Enterprises, Inc. -- Class A*.......... 9,339,472 57,300 Meritage Corp.*............. 6,457,710 80,100 Simpson Manufacturing Company, Inc. ............ 2,795,490 80,350 Standard Pacific Corp. ..... 5,153,649 7,400 Universal Forest Products, Inc. ..................... 321,160 15,700 USG Corp.*(d)............... 632,239 53,700 Walter Industries, Inc.(d)................... 1,811,301 13,100 Washington Group International, Inc.*...... 540,375 136,000 WCI Communities, Inc.*(d)... 3,998,400 -------------- 42,169,545 -------------- CONSUMER GOODS AND SERVICES -- 1.4% 33,300 Chattem, Inc.*.............. 1,102,230 6,000 CSS Industries, Inc. ....... 190,560 188,020 Fossil, Inc.*............... 4,820,833 47,100 Herbalife, Ltd.*............ 765,375 128,100 NBTY, Inc.*................. 3,075,681
See notes to financial statements. 117 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) 40,600 The Scotts Company -- Class A*........................ $ 2,984,912 137,700 Yankee Candle Company, Inc.*..................... 4,568,886 -------------- 17,508,477 -------------- CONTAINERS AND PACKAGING -- 0.1% 2,900 Greif, Inc. -- Class A...... 162,400 14,700 Silgan Holdings, Inc. ...... 896,112 -------------- 1,058,512 -------------- CORRECTIONAL FACILITIES -- 0.0% 14,200 The Geo Group, Inc.*........ 377,436 -------------- DISTRIBUTION -- 2.3% 122,970 Beacon Roofing Supply, Inc.*..................... 2,442,184 8,000 Building Materials Holding Corp. .................... 306,320 13,600 Handleman Company........... 292,128 175,040 Hughes Supply, Inc. ........ 5,662,544 18,000 Nu Skin Enterprises, Inc. -- Class A................... 456,840 169,300 United Stationers, Inc.*.... 7,821,660 90,900 Universal Corp. ............ 4,348,656 130,500 Watsco, Inc. ............... 4,596,210 71,700 WESCO International, Inc.*..................... 2,125,188 -------------- 28,051,730 -------------- DIVERSIFIED SERVICES -- 0.1% 20,100 Resource America, Inc. -- Class A................... 653,250 -------------- EDUCATION -- 0.2% 58,410 Laureate Education, Inc.*... 2,575,297 -------------- ELECTRONICS -- 3.4% 247,050 Artesyn Technologies, Inc.*..................... 2,791,665 73,770 BEI Technologies, Inc. ..... 2,278,018 202,349 Belden CDT, Inc.(d)......... 4,694,497 131,650 Benchmark Electronics, Inc.*..................... 4,489,265 16,600 Electro Scientific Industries, Inc.*......... 328,016 2,700 Excel Technology, Inc.*..... 70,200 139,800 FLIR Systems, Inc.*......... 8,917,842 23,600 Methode Electronics, Inc. -- Class A................... 303,260 63,900 Nam Tai Electronics, Inc. ..................... 1,230,075 56,800 Park Electrochemical Corp. .................... 1,231,424 322,000 Sanmina-SCI Corp.*.......... 2,727,340 120,600 Sonic Solutions*(d)......... 2,706,264 360,200 SRS Labs, Inc.*............. 2,251,610 15,000 Stoneridge, Inc.*........... 226,950
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) ELECTRONICS (CONTINUED) 87,700 Technitrol, Inc.*........... $ 1,596,140 47,400 Thomas & Betts Corp.*(d).... 1,457,550 144,260 Trimble Navigation, Ltd.*... 4,766,350 -------------- 42,066,466 -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 238,600 Allied Waste Industries, Inc.*..................... 2,214,208 14,300 Duratek, Inc.*.............. 356,213 3,600 Metal Management, Inc. ..... 96,732 -------------- 2,667,153 -------------- EQUIPMENT RENTAL AND LEASING -- 0.3% 72,600 Aaron Rents, Inc. .......... 1,815,000 9,700 Electro Rent Corp.*......... 138,031 100,490 Marlin Business Services, Inc.*..................... 1,909,310 -------------- 3,862,341 -------------- FINANCIAL SERVICES -- 2.9% 98,900 Accredited Home Lenders Holding Company*.......... 4,913,352 101,900 American Capital Strategies, Ltd.(d)................... 3,398,365 268,400 AmeriCredit Corp.*.......... 6,562,380 30,800 CompuCredit Corp.*.......... 842,072 95,500 Eaton Vance Corp. .......... 4,980,325 38,100 Financial Federal Corp. .... 1,493,520 130,500 Jefferies Group, Inc. ...... 5,256,540 59,300 Metris Companies, Inc.*..... 756,075 17,700 Nelnet, Inc. -- Class A*.... 476,661 128,900 Raymond James Financial, Inc. ..................... 3,993,322 14,800 The Student Loan Corp. ..... 2,723,200 4,600 World Acceptance Corp.*..... 126,546 -------------- 35,522,358 -------------- FOOD AND BEVERAGE -- 0.6% 32,000 Boston Beer Company, Inc. -- Class A*.................. 680,640 44,600 Chiquita Brands International, Inc. ...... 983,876 105,300 John B. Sanfilippo & Son, Inc.*..................... 2,714,634 10,300 M&F Worldwide Corp.*........ 140,286 11,000 Nash Finch Company.......... 415,360 9,200 Sanderson Farms, Inc. ...... 398,176 58,900 Sensient Technologies Corp. .................... 1,413,011 -------------- 6,745,983 -------------- FUNERAL SERVICES -- 0.1% 62,700 Alderwoods Group, Inc.*..... 713,526 --------------
See notes to financial statements. 118 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE -- 4.9% 146,150 Affirmative Insurance Holdings, Inc. ........... $ 2,461,166 2,100 AmerUs Group Company(d)..... 95,130 264,000 Assured Guaranty, Ltd. ..... 5,192,880 154,400 Delphi Financial Group, Inc. -- Class A........... 7,125,559 9,100 FPIC Insurance Group, Inc.*(d).................. 321,958 107,060 Infinity Property & Casualty Corp. .................... 3,768,512 108,700 IPC Holdings, Ltd. ......... 4,729,537 54,700 LandAmerica Financial Group, Inc.(d)................... 2,949,971 88,800 Philadelphia Consolidated Holding Corp.*............ 5,873,232 143,700 Platinum Underwriters Holdings, Inc. ........... 4,469,070 47,300 Protective Life Corp. ...... 2,019,237 114,200 Reinsurance Group of America, Inc. ............ 5,532,990 38,800 Stewart Information Services Corp. .................... 1,616,020 68,600 The Commerce Group, Inc. ... 4,187,344 271,000 Tower Group, Inc. .......... 3,252,000 64,500 UICI........................ 2,186,550 17,900 United Fire & Casualty Company................... 603,409 265,800 Universal American Financial Corp.*.................... 4,111,926 -------------- 60,496,491 -------------- INTERNET SERVICES -- 4.8% 68,500 Akamai Technologies, Inc.*(d).................. 892,555 95,200 Ask Jeeves, Inc.*(d)........ 2,546,600 124,960 Avocent Corp.*.............. 5,063,379 617,510 CNET Networks, Inc.*(d)..... 6,934,637 380,445 Digitas, Inc.*.............. 3,633,250 200,700 EarthLink, Inc.*............ 2,312,064 55,900 Equinix, Inc.*.............. 2,389,166 6,000 F5 Networks, Inc.*.......... 292,320 111,530 InfoSpace, Inc.*(d)......... 5,303,252 34,300 Internet Security Systems, Inc.*..................... 797,475 85,510 j2 Global Communications, Inc.*(d).................. 2,950,095 56,674 Jupitermedia Corp.*......... 1,347,708 281,610 Keynote Systems, Inc.*...... 3,920,011 17,300 Priceline.com, Inc.*(d)..... 408,107 135,770 RADVision, Ltd.*(d)......... 1,832,895 72,620 RADWARE, Ltd.*.............. 1,897,561 275,220 RSA Security, Inc.*......... 5,520,913 99,450 SafeNet, Inc.*.............. 3,653,793 186,900 SonicWALL, Inc.*............ 1,181,208
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 175,580 ValueClick, Inc.*........... $ 2,340,481 15,700 Verity, Inc.*............... 205,984 59,600 Websense, Inc.*............. 3,022,912 -------------- 58,446,366 -------------- LEISURE AND RECREATION -- 1.7% 42,500 Choice Hotels International, Inc. ..................... 2,465,000 310,300 Interstate Hotels & Resorts, Inc.*..................... 1,663,208 21,400 Mikohn Gaming Corp.*........ 218,708 220,950 Pinnacle Entertainment, Inc.*..................... 4,370,391 207,640 Scientific Games Corp. -- Class A*.................. 4,950,138 35,400 Shuffle Master, Inc.*(d).... 1,667,340 55,400 Sunterra Corp.*(d).......... 777,816 129,600 WMS Industries, Inc.*(d).... 4,346,784 -------------- 20,459,385 -------------- MACHINERY -- 1.3% 98,700 Albany International Corp. -- Class A.......... 3,470,292 49,800 Applied Industrial Technologies, Inc. ....... 1,364,520 20,500 Astec Industries, Inc.*..... 352,805 17,700 Blount International, Inc.*..................... 308,334 109,440 Joy Global, Inc.(d)......... 4,752,979 149,100 Kadant, Inc.*............... 3,056,550 10,300 Middleby Corp. ............. 522,416 45,100 Terex Corp.*................ 2,149,015 -------------- 15,976,911 -------------- MANUFACTURING -- 2.7% 91,300 Acuity Brands, Inc. ........ 2,903,340 51,500 AptarGroup, Inc. ........... 2,718,170 16,500 Briggs & Stratton Corp.(d).................. 686,070 30,600 C&D Technologies, Inc. ..... 521,424 70,100 Carlisle Companies, Inc. ... 4,550,891 24,280 Ceradyne, Inc.*(d).......... 1,389,059 7,300 CIRCOR International, Inc. ..................... 169,068 44,400 Coherent, Inc.*............. 1,351,536 97,500 Deswell Industries, Inc. ... 2,410,103 43,500 Engineered Support Systems, Inc.(d)................... 2,576,070 16,800 Griffon Corp.*.............. 453,600 58,140 Harsco Corp. ............... 3,240,724 14,700 II-VI, Inc.*................ 624,603 470,340 Jacuzzi Brands, Inc.*....... 4,091,958 105,110 Kaydon Corp. ............... 3,470,732 22,200 Lincoln Electric Holdings, Inc. ..................... 766,788
See notes to financial statements. 119 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MANUFACTURING (CONTINUED) 4,800 Penn Engineering & Manufacturing Corp. ...... $ 86,880 33,600 Rayovac Corp.*.............. 1,026,816 9,200 Steinway Musical Instruments, Inc.*........ 266,248 14,300 TTM Technologies, Inc.*..... 168,740 16,400 Vicor Corp. ................ 215,004 -------------- 33,687,824 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 3.3% 132,500 Accredo Health, Inc.*....... 3,672,900 94,520 America Service Group, Inc.*..................... 2,530,300 25,500 AMERIGROUP Corp.*........... 1,929,330 27,300 AMN Healthcare Services, Inc.*(d).................. 434,343 107,100 AmSurg Corp.*............... 3,163,734 17,500 Cambrex Corp. .............. 474,250 46,200 CorVel Corp.*............... 1,237,236 128,700 Covance, Inc.*.............. 4,987,124 150,560 Cypress Bioscience, Inc.*... 2,116,874 31,500 ICON plc (ADR)*............. 1,217,475 79,500 Kindred Healthcare, Inc.*... 2,381,025 107,340 LabOne, Inc.*(d)............ 3,439,174 116,460 LifePoint Hospitals, Inc.*(d).................. 4,055,137 22,000 PDI, Inc.*.................. 490,160 11,600 Per-Se Technologies, Inc.*..................... 183,628 99,760 Psychiatric Solutions, Inc.*..................... 3,647,226 8,700 Quality Systems, Inc.*...... 520,260 36,000 RehabCare Group, Inc.*...... 1,007,640 16,100 Res-Care, Inc.*............. 245,042 54,700 Sierra Health Services, Inc.*(d).................. 3,014,517 -------------- 40,747,375 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 6.5% 155,200 Abaxis, Inc.*............... 2,248,848 145,400 Advanced Medical Optics, Inc.*(d).................. 5,981,756 51,450 Advanced Neuromodulation Systems, Inc.*(d)......... 2,030,217 117,700 Align Technology, Inc.*..... 1,265,275 20,000 American Medical Systems Holdings, Inc.*........... 836,200 203,510 ArthroCare Corp.*(d)........ 6,524,530 59,800 Candela Corp.*.............. 679,328 144,100 Closure Medical Corp.*...... 2,809,950 173,040 Cooper Companies, Inc.(d)... 12,214,893 34,500 Dade Behring Holdings, Inc.*..................... 1,932,000 41,200 Diagnostic Products Corp. .................... 2,268,060 26,700 DJ Orthopedics, Inc.*....... 571,914
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED) 386,250 Encore Medical Corp.*....... $ 2,622,638 139,620 Gen-Probe, Inc.*............ 6,312,219 76,400 Haemonetics Corp.*.......... 2,766,444 20,300 Illumina, Inc.*............. 192,444 42,200 Immucor, Inc.*.............. 992,122 29,970 Intuitive Surgical, Inc.*... 1,199,399 21,600 Kensey Nash Corp.*(d)....... 745,848 49,880 Laserscope*(d).............. 1,791,191 106,900 Lifeline Systems, Inc.*..... 2,753,744 91 Lumenis, Ltd.*.............. 177 34,300 Luminex Corp.*.............. 304,584 41,300 Mentor Corp. ............... 1,393,462 470,600 Orthovita, Inc.*............ 1,971,814 135,670 PolyMedica Corp.(d)......... 5,059,134 15,500 Possis Medical, Inc.*....... 208,940 39,700 PSS World Medical, Inc.*.... 496,846 70,800 Techne Corp.*............... 2,754,120 442,300 The Spectranetics Corp.*.... 2,486,168 93,000 Third Wave Technologies*.... 799,800 49,400 Urologix, Inc.*............. 319,618 71,130 Ventana Medical Systems, Inc.*..................... 4,551,609 3,600 Vital Signs, Inc. .......... 140,112 -------------- 79,225,404 -------------- METALS AND MINING -- 0.9% 51,500 Aber Diamond Corp.(d)....... 1,816,869 106,300 AK Steel Holding Corp.*..... 1,538,161 10,500 Carpenter Technology Corp. .................... 613,830 78,400 Meridian Gold, Inc.*........ 1,487,248 54,600 Mueller Industries, Inc.(d)................... 1,758,120 11,700 Olympic Steel, Inc.*(d)..... 310,167 13,900 Oregon Steel Mills, Inc.*... 282,031 8,400 Reliance Steel & Aluminum Company................... 327,264 24,100 RTI International Metals, Inc.*..................... 495,014 6,900 Titanium Metals Corp.*...... 166,566 175,200 Wolverine Tube, Inc.*....... 2,261,832 -------------- 11,057,102 -------------- OIL AND GAS: EQUIPMENT -- 1.2% 11,700 Dril-Quip, Inc.*............ 283,842 45,300 Energy Partners, Ltd.*...... 918,231 210,420 Grant Prideco, Inc.*(d)..... 4,218,921 12,500 Gulf Island Fabrication, Inc. ..................... 272,875 170,400 Key Energy Services, Inc.*..................... 2,010,720 66,090 Maverick Tube Corp.*........ 2,002,527 119,750 Oil States International, Inc.*..................... 2,309,978
See notes to financial statements. 120 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL AND GAS: EQUIPMENT (CONTINUED) 156,500 Superior Energy Services, Inc.*..................... $ 2,411,665 25,000 Veritas DGC, Inc.*.......... 560,250 -------------- 14,989,009 -------------- OIL, COAL AND GAS -- 4.5% 226,800 Cabot Oil & Gas Corp. ...... 10,035,899 56,870 Cal Dive International, Inc.*..................... 2,317,453 322,334 Chesapeake Energy Corp. .... 5,318,511 83,300 Encore Acquisition Company*.................. 2,908,003 20,000 Giant Industries, Inc.*..... 530,200 448,280 Grey Wolf, Inc.*............ 2,362,436 28,000 Holly Corp. ................ 780,360 219,300 Magnum Hunter Resources, Inc.*(d).................. 2,828,970 110,500 ONEOK, Inc.(d).............. 3,140,410 165,520 Patterson-UTI Energy, Inc. ..................... 3,219,364 2,100 Petroleum Development Corp.*.................... 80,997 168,400 Plains Exploration & Production Company*....... 4,378,400 143,800 Swift Energy Company*....... 4,161,572 86,600 Tesoro Corp.*............... 2,759,076 58,650 Unit Corp.*................. 2,241,017 275,100 Vintage Petroleum, Inc. .... 6,242,019 52,200 Whiting Petroleum Corp.*.... 1,579,050 -------------- 54,883,737 -------------- PAPER AND FOREST PRODUCTS -- 0.1% 55,900 Pope & Talbot, Inc. ........ 956,449 5,200 Potlatch Corp. ............. 263,016 -------------- 1,219,465 -------------- PHARMACEUTICALS -- 3.2% 101,960 Alexion Pharmaceuticals, Inc.*..................... 2,569,392 69,900 AtheroGenics, Inc.*(d)...... 1,646,844 102,700 Connetics Corp.*(d)......... 2,494,583 10,000 Enzon Pharmaceuticals, Inc.*..................... 137,200 55,100 First Horizon Pharmaceutical Corp.*(d)................. 1,261,239 13,600 Indevus Pharmaceuticals, Inc.*..................... 81,056 125,830 Inspire Pharmaceuticals, Inc.*(d).................. 2,110,169 131,900 K-V Pharmaceutical Company -- Class A*....... 2,908,395 336,150 Nabi Biopharmaceuticals*.... 4,924,598 18,400 Noven Pharmaceuticals, Inc.*..................... 313,904 9,300 Nutraceutical International Corp.*.................... 143,313 13,500 Pharmion Corp.*(d).......... 569,835 167,690 QLT, Inc.*(d)............... 2,696,455 312,370 Salix Pharmaceuticals, Ltd.*..................... 5,494,588 389,600 Serologicals Corp.*(d)...... 8,617,952
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 27,400 Tanox, Inc.*................ $ 416,480 24,800 United Therapeutics Corp.*.................... 1,119,720 77,100 VaxGen, Inc.*(d)............ 1,310,700 -------------- 38,816,423 -------------- PRINTING AND PUBLISHING -- 0.5% 35,900 Bowne & Company, Inc. ...... 583,734 12,000 Consolidated Graphics, Inc.*..................... 550,800 41,900 Courier Corp. .............. 2,175,448 77,700 Scholastic Corp.*........... 2,871,792 3,700 Thomas Nelson, Inc. ........ 83,620 6,300 Valassis Communications, Inc.*..................... 220,563 -------------- 6,485,957 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.1% 44,800 Getty Realty Corp. ......... 1,287,104 -------------- REAL ESTATE INVESTMENT TRUSTS -- 3.6% 177,900 Acadia Realty Trust......... 2,899,770 36,600 Associated Estates Realty Corp. .................... 374,052 4,000 BRT Realty Trust............ 97,360 11,500 Capital Trust, Inc. -- Class A......................... 353,165 20,800 Corporate Office Properties Trust..................... 610,480 46,000 Cousins Properties, Inc. ... 1,392,420 100,800 Entertainment Properties Trust..................... 4,490,640 89,700 Equity Inns, Inc. .......... 1,053,078 62,700 Equity One, Inc. ........... 1,487,871 62,500 LaSalle Hotel Properties.... 1,989,375 40,900 LTC Properties, Inc. ....... 814,319 50,200 Maguire Properties, Inc. ... 1,378,492 31,500 Mid-America Apartment Communities, Inc. ........ 1,298,430 35,100 National Health Realty, Inc. ..................... 1,024,218 6,000 New Century Financial Corp.(d).................. 383,460 70,500 Newcastle Investment Corp. .................... 2,240,490 90,300 OMEGA Healthcare Investors, Inc. ..................... 1,065,540 44,900 PS Business Parks, Inc. .... 2,024,990 68,600 RAIT Investment Trust....... 1,918,742 17,300 Saul Centers, Inc. ......... 661,725 139,150 Saxon Capital, Inc. ........ 3,338,209 98,300 Senior Housing Properties Trust..................... 1,861,802 88,900 SL Green Realty Corp.(d).... 5,382,895 16,800 Sovran Self Storage......... 707,952 163,800 U-Store-It Trust............ 2,841,930 68,700 Ventas, Inc. ............... 1,883,067 -------------- 43,574,472 --------------
See notes to financial statements. 121 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RESEARCH AND DEVELOPMENT -- 0.9% 50,300 Albany Molecular Research, Inc.*..................... $ 560,342 23,200 Array BioPharma, Inc.*...... 220,864 46,500 Encysive Pharmaceuticals, Inc.*..................... 461,745 20,799 Enzo Biochem, Inc.*(d)...... 404,957 17,900 Genencor International, Inc.*..................... 293,560 53,400 Lexicon Genetics, Inc.*..... 414,117 145,636 Pharmaceutical Product Development, Inc.*........ 6,013,310 36,500 Protein Design Labs, Inc.*..................... 754,090 77,550 Rigel Pharmaceuticals, Inc.*(d).................. 1,893,771 17,500 Valeant Pharmaceuticals International(d).......... 461,125 -------------- 11,477,881 -------------- RETAIL -- 2.4% 197,970 BJ'S Wholesale Club, Inc.*..................... 5,766,865 9,000 Brookstone, Inc.*........... 175,950 187,200 Casey's General Stores, Inc. ..................... 3,397,680 70,720 Cost Plus, Inc.*(d)......... 2,272,234 159,600 CSK Auto Corp.*............. 2,671,704 23,700 Dillard's, Inc. -- Class A......................... 636,819 147,110 EZCORP, Inc. -- Class A*.... 2,266,965 6,700 Finlay Enterprises, Inc.*... 132,593 62,130 Guitar Center, Inc.*........ 3,273,630 30,300 Pantry, Inc.*............... 911,727 14,300 Sonic Automotive, Inc. ..... 354,640 6,600 The Bon-Ton Stores, Inc. ... 103,950 46,000 Trans World Entertainment Corp.*.................... 573,620 127,530 Tuesday Morning Corp.*...... 3,906,244 96,100 Zale Corp.*................. 2,870,507 -------------- 29,315,128 -------------- RETAIL: RESTAURANTS -- 2.0% 97,700 Brinker International, Inc.*..................... 3,426,339 120,650 CEC Entertainment, Inc.*.... 4,822,381 14,600 CKE Restaurants, Inc.*...... 211,846 271,900 Cosi, Inc.*................. 1,644,995 29,000 Dave & Buster's, Inc.*...... 585,800 25,900 Jack in the Box, Inc.*...... 954,933 36,100 Lone Star Steakhouse & Saloon, Inc. ............. 1,010,800 34,700 Papa John's International, Inc.*(d).................. 1,195,068 84,640 RARE Hospitality International, Inc.*...... 2,696,630 148,500 Ruby Tuesday, Inc.(d)....... 3,872,880 10,100 Ryan's Restaurant Group, Inc.*..................... 155,742 142,816 Sonic Corp.*................ 4,355,888 -------------- 24,933,302 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL: SUPERMARKETS -- 0.0% 25,900 Pathmark Stores, Inc.*...... $ 150,479 15,600 Smart & Final, Inc.*........ 224,484 -------------- 374,963 -------------- RUBBER PRODUCTS -- 0.1% 1,900 Bandag, Inc.(d)............. 94,639 38,100 The Goodyear Tire & Rubber Company*(d)............... 558,546 -------------- 653,185 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.5% 147,010 Cymer, Inc.*(d)............. 4,342,675 2,200 Dionex Corp.*............... 124,674 55,600 Hexcel Corp.*............... 806,200 11,900 Woodward Governor Company... 852,159 -------------- 6,125,708 -------------- SECURITY SERVICES -- 0.5% 48,500 The Brink's Company......... 1,916,720 458,080 Viisage Technology, Inc.*(d).................. 4,127,301 -------------- 6,044,021 -------------- SEMICONDUCTORS -- 2.2% 136,300 Axcelis Technologies, Inc.*..................... 1,108,119 168,700 Cirrus Logic, Inc.*......... 929,537 13,800 ESS Technology, Inc.*....... 98,118 146,500 Integrated Device Technology, Inc.*......... 1,693,540 46,500 Kulicke and Soffa Industries, Inc.*(d)...... 400,830 112,800 Micrel, Inc.*............... 1,243,056 198,650 Microsemi Corp.*............ 3,448,564 248,620 O2Micro International, Ltd.*..................... 2,844,213 164,700 Pericom Semiconductor Corp.*.................... 1,553,121 58,800 Photronics, Inc.*........... 970,200 206,500 Semtech Corp.*.............. 4,516,154 51,490 Sigmatel, Inc.*............. 1,829,440 43,900 Silicon Image, Inc.*........ 722,594 3,400 Siliconix, Inc.*............ 124,066 171,780 SiRF Technology Holdings, Inc.*..................... 2,185,042 5,000 Tessera Technologies, Inc.*..................... 186,050 116,310 Ultratech, Inc.*............ 2,192,444 26,700 Veeco Instruments, Inc.*(d).................. 562,569 -------------- 26,607,657 --------------
See notes to financial statements. 122 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SPORTING GOODS AND EQUIPMENT -- 0.7% 213,900 Hibbett Sporting Goods, Inc.*..................... $ 5,691,879 192,010 K2, Inc.*(d)................ 3,049,119 7,700 The Nautilus Group, Inc. ... 186,109 -------------- 8,927,107 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.6% 29,700 Airspan Networks, Inc.*..... 161,271 95,100 Alamosa Holdings, Inc.*(d).................. 1,185,897 568,700 American Tower Corp. -- Class A*.................. 10,464,079 24,100 Anaren, Inc.*............... 312,336 7,600 Anixter International, Inc.*..................... 273,524 67,960 Applied Signal Technology, Inc. ..................... 2,395,590 29,400 Boston Communications Group, Inc.*..................... 271,656 25,900 Brightpoint, Inc.*.......... 506,086 61,100 Commonwealth Telephone Enterprises, Inc.*........ 3,034,226 218,230 CommScope, Inc.*............ 4,124,547 16,100 CT Communications, Inc. .... 198,030 49,600 Digi International, Inc.*... 852,624 248,040 Harmonic, Inc.*............. 2,068,654 43,500 Intervoice, Inc.*........... 580,725 73,820 JAMDAT Mobile, Inc.*(d)..... 1,524,383 6,700 Newport Corp.*.............. 94,470 10,700 North Pittsburgh Systems, Inc. ..................... 264,611 84,120 Novatel Wireless, Inc.*(d).................. 1,630,246 9,200 Plantronics, Inc. .......... 381,524 328,420 Ptek Holdings, Inc.*........ 3,517,378 571,670 Symmetricom, Inc.*.......... 5,550,916 28,200 TALK America Holdings, Inc.*(d).................. 186,684 220,180 TNS, Inc.*.................. 4,810,933 -------------- 44,390,390 -------------- TOOLS -- 0.3% 100,400 Snap-on, Inc. .............. 3,449,744 -------------- TRANSPORTATION -- 2.2% 43,530 Forward Air Corp.*.......... 1,945,791 148,350 Genesee & Wyoming, Inc. -- Class A*.................. 4,173,086 15,600 Hub Group, Inc. -- Class A*........................ 814,632 69,940 Old Dominion Freight Line, Inc.*..................... 2,433,912
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TRANSPORTATION (CONTINUED) 63,600 Overnite Corp. ............. $ 2,368,464 52,100 Overseas Shipholding Group, Inc. ..................... 2,875,920 77,370 Petroleum Helicopters, Inc.*..................... 1,939,666 61,400 USF Corp. .................. 2,330,130 71,890 UTI Worldwide, Inc. ........ 4,889,957 168,950 Vitran Corp., Inc. -- Class A*........................ 2,889,045 -------------- 26,660,603 -------------- UTILITIES: ELECTRIC -- 1.3% 84,300 Avista Corp. ............... 1,489,581 51,000 Black Hills Corp. .......... 1,564,680 80,200 Cleco Corp. ................ 1,624,852 16,300 El Paso Electric Company*... 308,722 25,300 IDACORP, Inc. .............. 773,421 60,100 NorthWestern Corp.*......... 1,682,800 281,800 PNM Resources, Inc. ........ 7,126,722 86,800 Westar Energy, Inc. ........ 1,985,116 -------------- 16,555,894 -------------- UTILITIES: GAS -- 0.9% 79,200 Atmos Energy Corp. ......... 2,166,120 14,900 Cascade Natural Gas Corp. .................... 315,880 58,700 New Jersey Resources Corp. .................... 2,544,058 51,900 Nicor, Inc.(d).............. 1,917,186 133,800 WGL Holdings, Inc. ......... 4,126,392 -------------- 11,069,636 -------------- TOTAL COMMON STOCKS (Cost $1,004,984,429)..... 1,190,669,823 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 13.9% $171,006,787 Securities Lending Collateral Investment (Note 4) (Cost $171,006,787)....... 171,006,787 -------------- SHORT TERM US TREASURY SECURITY -- 0.1% 1,000,000 US Treasury Bill, 2.16%, 03/17/05(f) (Cost $995,500)........... 995,500 -------------- TOTAL SECURITIES (Cost $1,176,986,716)..... 1,362,672,110 --------------
See notes to financial statements. 123 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENTS -- 2.1% $ 26,260,855 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $26,264,969 (Collateralized by Fannie Mae, 3.02%, due 08/25/33, with a value of $5,121,016 and various Small Business Administrations, 4.62% -- 5.38%, due 04/25/14-07/25/29, with a total value of $22,457,983) (Cost $26,260,855).............. $ 26,260,855 -------------- Total Investments -- 113.1% (Cost $1,203,247,571)..... 1,388,932,965 Liabilities less other assets -- (13.1)%......... (161,402,223) -------------- NET ASSETS -- 100.0%........ $1,227,530,742 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $1,207,880,906. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $198,880,236 Gross unrealized depreciation.......... (17,828,177) ------------ Net unrealized appreciation............ $181,052,059 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 124 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS -- 98.3% APPAREL: MANUFACTURING -- 3.0% 20,400 Carter's, Inc.*(d)............. $ 693,396 46,300 Coach, Inc.*................... 2,611,320 ------------ 3,304,716 ------------ BANKS -- 5.5% 63,600 Brookline Bancorp, Inc. ....... 1,037,952 51,100 Downey Financial Corp. ........ 2,912,700 43,800 Silicon Valley Bancshares*..... 1,963,116 ------------ 5,913,768 ------------ BROADCAST SERVICES/MEDIA -- 2.8% 97,900 Lin TV Corp. -- Class A*....... 1,869,890 181,000 Mediacom Communications Corp.*....................... 1,131,250 ------------ 3,001,140 ------------ BUSINESS SERVICES AND SUPPLIES -- 10.0% 51,200 Advisory Board Company*........ 1,888,256 40,400 Charles River Associates, Inc.*(d)..................... 1,889,508 48,500 Gevity HR, Inc. ............... 997,160 68,500 Intersections, Inc.*........... 1,181,625 38,300 iPayment Holdings, Inc.*....... 1,896,616 45,300 Navigant Consulting, Inc.*..... 1,204,980 33,700 Resources Connection, Inc.*(d)..................... 1,830,247 ------------ 10,888,392 ------------ COMPUTER SOFTWARE AND SERVICES -- 4.7% 183,400 Agile Software Corp.*.......... 1,498,378 66,400 Interwoven, Inc.*.............. 722,432 52,900 Manhattan Associates, Inc.*.... 1,263,252 241,400 MatrixOne, Inc.*............... 1,581,170 ------------ 5,065,232 ------------ ELECTRONICS -- 0.7% 64,500 Merix Corp.*................... 743,040 ------------ FINANCIAL SERVICES -- 6.5% 41,600 Advance America Cash Advance Centers, Inc.*(d)............ 952,640 105,800 CapitalSource, Inc.*(d)........ 2,715,886 6,100 Greenhill & Company, Inc. ..... 175,070 62,800 Westcorp(d).................... 2,884,404 12,400 World Acceptance Corp.*........ 341,124 ------------ 7,069,124 ------------ INSURANCE -- 3.2% 53,000 Delphi Financial Group, Inc. -- Class A...................... 2,445,950 24,900 Hub International, Ltd. ....... 458,409 18,500 Primus Guaranty, Ltd.*......... 303,215 11,200 PXRE Group, Ltd. .............. 282,352 ------------ 3,489,926 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INTERNET SERVICES -- 6.5% 102,500 Akamai Technologies, Inc.*..... $ 1,335,575 42,800 Ask Jeeves, Inc.*.............. 1,144,900 41,400 Audible, Inc.*(d).............. 1,078,470 317,500 Corillian Corp.*............... 1,562,100 195,500 iVillage, Inc.*................ 1,208,190 107,900 SupportSoft, Inc.*............. 718,614 ------------ 7,047,849 ------------ LEISURE AND RECREATION -- 1.5% 19,700 Four Seasons Hotels, Inc.(d)... 1,611,263 ------------ MANUFACTURING -- 1.4% 25,800 Engineered Support Systems, Inc.(d)...................... 1,527,876 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.3% 113,300 Align Technology, Inc.*........ 1,217,975 64,461 Animas Corp.*(d)............... 1,007,525 57,100 Conceptus, Inc.*(d)............ 463,367 14,100 Conor Medsystems, Inc.*(d)..... 195,285 74,175 Immucor, Inc.*................. 1,743,854 ------------ 4,628,006 ------------ PHARMACEUTICALS -- 13.2% 135,900 CV Therapeutics, Inc.*(d)...... 3,125,699 114,800 Dyax Corp.*.................... 828,856 113,700 Inspire Pharmaceuticals, Inc.*(d)..................... 1,906,749 116,900 Isolagen, Inc.*(d)............. 920,003 37,600 Medicis Pharmaceuticals Corp. -- Class A............. 1,320,136 53,400 MGI Pharma, Inc.*(d)........... 1,495,734 95,000 Nektar Therapeutics*........... 1,922,800 101,400 POZEN, Inc.*................... 737,178 46,600 United Therapeutics Corp.*(d).................... 2,103,990 ------------ 14,361,145 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.8% 32,300 RAIT Investment Trust.......... 903,431 ------------ RESEARCH AND DEVELOPMENT -- 6.3% 46,600 Digene Corp.*.................. 1,218,590 139,900 Pain Therapeutics, Inc.*(d).... 1,008,679 95,600 Protein Design Labs, Inc.*(d)..................... 1,975,096 39,900 Rigel Pharmaceuticals, Inc.*... 974,358 64,700 Transkaryotic Therapies, Inc.*........................ 1,642,733 ------------ 6,819,456 ------------ RETAIL -- 9.3% 26,100 America's Car-Mart, Inc.*...... 991,800 45,000 Build-A-Bear-Workshop, Inc.*... 1,581,750 72,100 First Cash Financial Services, Inc.*........................ 1,925,791 32,400 Guitar Center, Inc.*........... 1,707,156
See notes to financial statements. 125 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 25,800 Tractor Supply Company*........ $ 960,018 66,700 Urban Outfitters, Inc.*........ 2,961,480 ------------ 10,127,995 ------------ RETAIL: RESTAURANTS -- 4.4% 40,700 RARE Hospitality International, Inc.*........................ 1,296,702 57,000 Sonic Corp.*................... 1,738,500 52,050 The Cheesecake Factory, Inc.*(d)..................... 1,690,064 ------------ 4,725,266 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 2.6% 44,600 Cymer, Inc.*(d)................ 1,317,484 37,600 Varian, Inc.*.................. 1,541,976 ------------ 2,859,460 ------------ SECURITY SERVICES -- 0.4% 54,000 Identix, Inc.*................. 398,520 ------------ SEMICONDUCTORS -- 6.3% 147,300 O2Micro International, Ltd.*... 1,685,112 54,400 Power Integrations, Inc.*(d)... 1,076,032 223,500 Skyworks Solutions, Inc.*(d)... 2,107,605 51,500 Tessera Technologies, Inc.*.... 1,916,315 ------------ 6,785,064 ------------ SPORTING GOODS AND EQUIPMENT -- 2.0% 81,575 Hibbett Sporting Goods, Inc.*........................ 2,170,711 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.3% 12,400 InPhonic, Inc.*................ 340,752 ------------ TRANSPORTATION -- 2.6% 64,350 Knight Transportation, Inc. ... 1,595,880 34,900 Old Dominion Freight Line, Inc.*........................ 1,214,520 ------------ 2,810,400 ------------ TOTAL COMMON STOCKS (Cost $92,094,885)................. 106,592,532 ------------ PRINCIPAL VALUE --------- ------------ SECURITIES LENDING COLLATERAL -- 28.9% $31,366,433 Securities Lending Collateral Investment (Note 4) (Cost $31,366,433)........... $ 31,366,433 ------------ TOTAL SECURITIES (Cost $123,461,318).......... 137,958,965 ------------ REPURCHASE AGREEMENTS -- 1.8% 1,887,631 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $1,887,927 (Collateralized by Small Business Administration, 6.13%, due 06/25/14, with a value of $1,982,013) (Cost $1,887,631).................. 1,887,631 ------------ Total Investments -- 129.0% (Cost $125,348,949).......... 139,846,596 Liabilities less other assets -- (29.0)%............ (31,417,444) ------------ NET ASSETS -- 100.0%........... $108,429,152 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $125,815,650. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $18,791,893 Gross unrealized depreciation........... (4,760,947) ----------- Net unrealized appreciation............. $14,030,946 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 126 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS -- 99.7% ADVERTISING -- 0.9% 42,000 Omnicom Group, Inc.(d)......... $ 3,541,440 ------------ AGRICULTURE -- 1.7% 123,100 Monsanto Company............... 6,838,205 ------------ APPAREL: MANUFACTURING -- 2.1% 146,800 Coach, Inc.*................... 8,279,520 ------------ APPAREL: RETAIL -- 1.8% 156,000 Chico's FAS, Inc.*(d).......... 7,102,680 ------------ BROADCAST SERVICES/MEDIA -- 1.2% 244,880 News Corp. -- Class B(d)....... 4,701,696 ------------ BUSINESS SERVICES AND SUPPLIES -- 3.1% 122,440 Alliance Data Systems Corp.*... 5,813,451 194,080 Paychex, Inc. ................. 6,614,247 ------------ 12,427,698 ------------ COMPUTER SOFTWARE AND SERVICES -- 2.3% 127,950 Cognizant Technology Solutions Corp. -- Class A*............ 5,416,124 146,940 Microsoft Corp.(d)............. 3,924,767 ------------ 9,340,891 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 9.8% 107,420 Apple Computer, Inc.*.......... 6,917,848 318,400 Dell, Inc.*.................... 13,417,376 697,800 EMC Corp. (Massachusetts)*..... 10,376,286 1,559,110 Sun Microsystems, Inc.*........ 8,388,012 ------------ 39,099,522 ------------ DISTRIBUTION -- 1.6% 93,900 CDW Corp. ..................... 6,230,265 ------------ ELECTRONICS -- 5.8% 266,990 Advanced Micro Devices, Inc.*(d)..................... 5,879,120 44,740 Harman International Industries, Inc. ............ 5,681,980 68,810 Research In Motion, Ltd.*...... 5,671,320 668,800 Sanmina-SCI Corp.*............. 5,664,736 ------------ 22,897,156 ------------ FINANCIAL SERVICES -- 7.6% 123,500 American Express Company....... 6,961,695 335,000 Ameritrade Holding Corp.*...... 4,763,700 461,370 Charles Schwab Corp. .......... 5,517,985 71,660 Goldman Sachs Group, Inc. ..... 7,455,507 87,100 T. Rowe Price Group, Inc. ..... 5,417,620 ------------ 30,116,507 ------------ FOOD AND BEVERAGE -- 1.9% 342,220 Archer-Daniels-Midland Company...................... 7,634,928 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INTERNET SERVICES -- 13.8% 154,000 CheckFree Corp.*(d)............ $ 5,864,320 621,060 Cisco Systems, Inc.*........... 11,986,457 78,490 eBay, Inc.*.................... 9,126,817 46,500 Google, Inc. -- Class A*(d).... 8,979,150 243,910 Juniper Networks, Inc.*........ 6,631,913 127,330 VeriSign, Inc.*................ 4,268,102 207,790 YAHOO!, Inc.*.................. 7,829,527 ------------ 54,686,286 ------------ LEISURE AND RECREATION -- 4.1% 84,210 DreamWorks Animation SKG, Inc. -- Class A*............. 3,158,717 146,390 International Game Technology................... 5,032,888 111,300 MGM MIRAGE*.................... 8,095,962 ------------ 16,287,567 ------------ MACHINERY -- 3.4% 83,740 Caterpillar, Inc. ............. 8,165,487 109,340 Rockwell Automation, Inc. ..... 5,417,797 ------------ 13,583,284 ------------ MANUFACTURING -- 3.1% 98,180 Danaher Corp. ................. 5,636,514 186,100 Tyco International, Ltd. ...... 6,651,214 ------------ 12,287,728 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.9% 30,650 WellPoint, Inc.*............... 3,524,750 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 5.0% 82,660 CR Bard, Inc. ................. 5,288,587 187,780 St. Jude Medical, Inc.*........ 7,873,616 83,520 Zimmer Holdings, Inc.*......... 6,691,622 ------------ 19,853,825 ------------ METALS AND MINING -- 1.2% 158,500 Companhia Vale do Rio Doce (CVRD) (ADR)(d).............. 4,598,085 ------------ OIL, COAL AND GAS -- 1.7% 135,480 Apache Corp. .................. 6,851,224 ------------ PHARMACEUTICALS -- 3.3% 202,450 Caremark Rx, Inc.*............. 7,982,603 125,750 Sanofi-Aventis (ADR)........... 5,036,288 ------------ 13,018,891 ------------ RESEARCH AND DEVELOPMENT -- 4.9% 62,500 Amgen, Inc.*................... 4,009,375 118,850 Biogen Idec, Inc.*............. 7,916,599 214,460 Gilead Sciences, Inc.*......... 7,503,955 ------------ 19,429,929 ------------
See notes to financial statements. 127 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL -- 2.8% 106,730 Best Buy Company, Inc. ........ $ 6,341,896 137,790 Williams-Sonoma, Inc.*(d)...... 4,828,162 ------------ 11,170,058 ------------ RETAIL: RESTAURANTS -- 2.5% 63,770 Starbucks Corp.*............... 3,976,697 130,600 YUM! Brands, Inc. ............. 6,161,708 ------------ 10,138,405 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 2.8% 92,830 Fisher Scientific International, Inc.*......... 5,790,735 115,630 Waters Corp.*.................. 5,410,328 ------------ 11,201,063 ------------ SEMICONDUCTORS -- 8.9% 324,510 Applied Materials, Inc.*....... 5,549,121 400,000 ASML Holding NV*............... 6,364,000 178,780 Marvell Technology Group, Ltd.*........................ 6,341,327 404,070 Texas Instruments, Inc. ....... 9,948,203 241,930 Xilinx, Inc. .................. 7,173,225 ------------ 35,375,876 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.5% 115,680 America Movil SA de CV -- Series L (ADR)............... 6,055,848 ------------ TOTAL COMMON STOCKS (Cost $342,446,667).......... 396,273,327 ------------ PRINCIPAL VALUE --------- ------------ SECURITIES LENDING COLLATERAL -- 10.6% $42,298,930 Securities Lending Collateral Investment (Note 4) (Cost $42,298,930)........... $ 42,298,930 ------------ Total Investments -- 110.3% (Cost $384,745,597).......... 438,572,257 Liabilities less other assets -- (10.3)%............ (40,845,390) ------------ NET ASSETS -- 100.0%........... $397,726,867 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $385,186,143. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $54,587,628 Gross unrealized depreciation........... (1,201,514) ----------- Net unrealized appreciation............. $53,386,114 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 128 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 91.5% ADVERTISING -- 0.8% $ 1,370,000 Advanstar Communications, Inc., 10.75%, 08/15/10............. $ 1,553,237 585,000 Vertis, Inc. -- 144A, 13.50%, 12/07/09............. 619,369 455,000 WDAC Subsidiary Corp. -- 144A, 8.38%, 12/01/14.............. 451,019 ------------ 2,623,625 ------------ AEROSPACE AND DEFENSE -- 0.3% 395,000 Argo-Tech Corp., 9.25%, 06/01/11.............. 435,488 415,000 Armor Holdings, Inc., 8.25%, 08/15/13.............. 466,874 210,000 B/E Aerospace, Series B, 8.00%, 03/01/08.............. 211,313 ------------ 1,113,675 ------------ AGRICULTURAL EQUIPMENT -- 0.2% 755,000 Case New Holland, Inc. -- 144A, 9.25%, 08/01/11.............. 843,713 ------------ AIRLINES -- 1.8% 920,000 American Airlines, Inc., 8.61%, 04/01/11.............. 847,118 1,700,000 American Airlines, Inc., Series 2001-2, 7.80%, 10/01/06.............. 1,557,098 295,000 American Airlines, Inc., Series 2001-2, 7.86%, 10/01/11.............. 305,073 1,505,000 AMR Corp., 9.00%, 08/01/12.............. 1,219,050 125,000 Continental Airlines, Inc., 8.00%, 12/15/05.............. 122,500 1,635,754 Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11.............. 1,347,362 500,000 Delta Air Lines, Inc., 7.90%, 12/15/09.............. 315,000 550,000 Delta Air Lines, Inc. -- 144A, 9.50%, 11/18/08.............. 512,875 45,000 Delta Air Lines, Inc., Series 2000-1, 7.78%, 11/18/05.............. 41,412 140,000 Northwest Airlines, Inc., 8.88%, 06/01/06.............. 135,100 ------------ 6,402,588 ------------ APPAREL: MANUFACTURING -- 2.6% 1,330,000 GFSI, Inc., Series B, 9.63%, 03/01/07.............. 1,296,750 885,000 Levi Strauss & Company, 7.00%, 11/01/06.............. 933,675 1,035,000 Levi Strauss & Company, 11.63%, 01/15/08............. 1,091,925 1,385,000 Oxford Industries, Inc., 8.88%, 06/01/11.............. 1,494,069 2,300,000 Perry Ellis International, Inc., Series B, 8.88%, 09/15/13.............. 2,426,500
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) APPAREL: MANUFACTURING (CONTINUED) $ 310,000 Phillips Van-Heusen Corp., 7.25%, 02/15/11.............. $ 327,050 620,000 Phillips Van-Heusen Corp., 8.13%, 05/01/13.............. 675,800 875,000 William Carter, Series B, 10.88%, 08/15/11............. 984,375 ------------ 9,230,144 ------------ APPAREL: RETAIL -- 0.0% 20,000 Mothers Work, Inc., 11.25%, 08/01/10............. 19,500 ------------ AUTOMOBILE: RENTAL -- 0.1% 330,000 Williams Scotsman, Inc., 10.00%, 08/15/08............. 367,950 ------------ AUTOMOTIVE EQUIPMENT -- 3.0% 2,540,000 Collins & Aikman Products Company, 10.75%, 12/31/11............. 2,603,500 2,110,000 Collins & Aikman Products Company, Series B, 9.75%, 02/15/10.............. 2,278,800 700,000 Dura Operating Corp., Series D, 9.00%, 05/01/09.............. 696,500 235,000 Keystone Automotive Operations, Inc., 9.75%, 11/01/13.............. 252,625 940,000 Metaldyne Corp., 11.00%, 06/15/12............. 784,900 805,000 Metaldyne Corp. -- 144A, 10.00%, 11/01/13............. 768,775 365,000 Rexnord Corp., 10.13%, 12/15/12............. 414,275 1,000,000 Tenneco Automotive, Inc. -- 144A, 8.63%, 11/15/14.............. 1,045,000 945,000 Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13............. 1,119,825 354,000 TRW Automotive, Inc., 11.00%, 02/15/13............. 428,340 ------------ 10,392,540 ------------ BROADCAST SERVICES/MEDIA -- 5.4% 1,595,000 Adelphia Communications, 10.25%, 11/01/06(h).......... 1,559,113 305,000 Adelphia Communications, Series B, 9.25%, 10/01/02(h)(p)........ 293,563 1,975,000 Charter Communications Holdings LLC, 10.25%, 01/15/10............. 1,742,938 285,000 Charter Communications Holdings LLC, 10.00%, 05/15/11............. 245,100 1,740,000 Coleman Cable, Inc. -- 144A, 9.88%, 10/01/12.............. 1,857,450 2,175,000 CSC Holdings, Inc., 10.50%, 05/15/16............. 2,479,499
See notes to financial statements. 129 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 320,000 Fisher Communications, Inc. -- 144A, 8.63%, 09/15/14.............. $ 347,200 3,810,000 Insight Communications Company, Inc., zero coupon, 02/15/11(g)..... 3,724,274 1,820,000 Kabel Deutschland GMBH -- 144A (Germany), 10.63%, 07/01/14............. 2,102,100 570,000 LBI Media, Inc., zero coupon, 10/15/13(g)..... 421,800 100,000 Nexstar Financial Holdings LLC, Inc., 12.00%, 04/01/08............. 108,500 1,655,000 Nexstar Financial Holdings LLC, Inc., zero coupon, 04/01/13(g)..... 1,315,725 360,000 Nextmedia Operating, Inc., 10.75%, 07/01/11............. 405,000 430,000 ONO Finance PLC (Great Britain), 14.00%, 02/15/11(j)(q)....... 697,968 900,000 ONO Finance PLC, (Great Britain), 14.00%, 02/15/11............. 1,039,500 190,000 Paxson Communications, zero coupon, 01/15/09(g)..... 178,600 535,000 Rogers Cable, Inc. -- 144A, (Canada), 6.75%, 03/15/15.............. 549,713 ------------ 19,068,043 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.9% 875,000 Affinity Group, Inc., 9.00%, 02/15/12.............. 951,563 2,010,000 Quintiles Transnational Corp., 10.00%, 10/01/13............. 2,261,250 ------------ 3,212,813 ------------ CHEMICALS -- 7.2% 260,000 Acetex Corp. (Canada), 10.88%, 08/01/09............. 284,050 405,000 Avecia Group PLC (Great Britain), 11.00%, 07/01/09............. 419,175 365,000 Crown Euro Holdings SA (France), 9.50%, 03/01/11.............. 417,925 1,990,000 Crown Euro Holdings SA (France), 10.88%, 03/01/13............. 2,363,125 655,000 Equistar Chemical/Funding, 10.63%, 05/01/11............. 763,075 720,000 Hercules, Inc., 11.13%, 11/15/07............. 860,400 140,000 Huntsman Advanced Materials -- 144A, 11.00%, 07/15/10............. 167,300 1,685,000 Huntsman LLC, 11.63%, 10/15/10............. 2,000,938
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CHEMICALS (CONTINUED) $ 760,000 IMC Global, Inc., 10.88%, 08/01/13............. $ 953,800 1,675,000 IMC Global, Inc., Series B, 11.25%, 06/01/11............. 1,943,000 335,000 Innophos, Inc. -- 144A, 8.88%, 08/15/14.............. 363,475 120,000 Lyondell Chemical Company, 9.50%, 12/15/08.............. 130,800 320,000 Lyondell Chemical Company, 11.13%, 07/15/12............. 381,600 1,661,000 Lyondell Chemical Company, 10.50%, 06/01/13............. 1,984,895 695,000 Lyondell Chemical Company, Series A, 9.63%, 05/01/07.............. 767,975 2,408,000 Nalco Company, 8.88%, 11/15/13.............. 2,654,820 2,150,000 OM Group, Inc., 9.25%, 12/15/11.............. 2,300,500 770,000 PolyOne Corp., 8.88%, 05/01/12.............. 841,225 2,510,000 Rhodia SA (France), 10.25%, 06/01/10............. 2,836,299 1,575,000 Rockwood Specialties Corp., 10.63%, 05/15/11............. 1,819,125 1,455,000 UAP Holding Corp. -- 144A, zero coupon, 07/15/12(g)..... 1,149,450 ------------ 25,402,952 ------------ COMMERCIAL SERVICES -- 0.1% 151,000 Coinmach Corp., 9.00%, 02/01/10.............. 158,550 ------------ COMPUTER SOFTWARE AND SERVICES -- 0.3% 610,000 Danka Business Systems (Great Britain), 11.00%, 06/15/10............. 649,650 360,000 Stratus Technologies, Inc., 10.38%, 12/01/08............. 326,700 ------------ 976,350 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 0.8% 1,800,000 Interface, Inc., 10.38%, 02/01/10............. 2,079,000 170,000 Interface, Inc., 9.50%, 02/01/14.............. 186,150 325,000 Xerox Corp., 9.75%, 01/15/09.............. 383,500 10,000 Xerox Corp., 7.13%, 06/15/10.............. 10,850 ------------ 2,659,500 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.3% 1,140,000 Dayton Superior Corp., 10.75%, 09/15/08............. 1,225,500 515,000 Owens Corning, 7.70%, 05/01/08(h)........... 419,725 560,000 Owens Corning, 7.50%, 08/01/18(h)........... 460,600
See notes to financial statements. 130 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) $ 695,000 Ply Gem Industries, Inc., 9.00%, 02/15/12.............. $ 708,900 540,000 Ply Gem Industries, Inc. -- 144A, 9.00%, 02/15/12.............. 550,800 1,100,000 RMCC Acquisition Company -- 144A, 9.50%, 11/01/12.............. 1,102,750 ------------ 4,468,275 ------------ CONSUMER GOODS AND SERVICES -- 0.6% 695,000 Fedders North America, 9.88%, 03/01/14.............. 569,900 515,000 Home Interiors & Gifts, 10.13%, 06/01/08............. 427,450 295,000 Jostens Holding Corp., zero coupon, 12/01/13(g)..... 210,925 215,000 Mobile Mini, Inc., 9.50%, 07/01/13.............. 251,550 505,000 WH Holdings, Ltd. (Cayman Islands)/WH Capital Corp., 9.50%, 04/01/11.............. 558,025 ------------ 2,017,850 ------------ CONTAINERS AND PACKAGING -- 2.5% 240,000 Hexcel Corp., 9.88%, 10/01/08.............. 267,600 155,000 Hexcel Corp., 9.75%, 01/15/09.............. 161,975 995,000 Intertape Polymer US, Inc. -- 144A (Canada), 8.50%, 08/01/14.............. 1,016,144 300,000 Kappa Beheer BV (The Netherlands), 10.63%, 07/15/09............. 319,500 430,000 Owens-Illinois, Inc., 8.10%, 05/15/07.............. 460,100 1,185,000 Plastipak Holdings, Inc., 10.75%, 09/01/11............. 1,339,050 950,000 Pliant Corp., zero coupon, 06/15/09(g)..... 882,313 1,325,000 Pliant Corp., 11.13%, 09/01/09............. 1,450,874 640,000 Smurfit-Stone Container Corp., 8.25%, 10/01/12.............. 700,800 1,250,000 Stone Container Finance Company of Canada (Canada), 7.38%, 07/15/14.............. 1,337,500 415,000 Tekni-Plex, Inc. -- 144A, 8.75%, 11/15/13.............. 415,000 235,000 US Can Corp., 10.88%, 07/15/10............. 250,275 ------------ 8,601,131 ------------ DISTRIBUTION -- 0.2% 485,000 Jafra Cosmetics International, 10.75%, 05/15/11............. 550,475 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) ELECTRONICS -- 0.3% $ 775,000 Muzak LLC, 10.00%, 02/15/09............. $ 725,593 530,000 Muzak LLC, 9.88%, 03/15/09.............. 372,988 ------------ 1,098,581 ------------ ENGINEERING -- 0.2% 740,000 The Shaw Group, Inc., 10.75%, 03/15/10............. 819,550 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 2.0% 1,500,000 Allied Waste North America, Inc., Series B, 8.88%, 04/01/08.............. 1,612,500 455,000 Allied Waste North America, Inc., Series B, 9.25%, 09/01/12.............. 494,813 340,000 IMCO Recycling, Inc. -- 144A, 9.00%, 11/15/14.............. 355,300 1,855,000 Synagro Technologies, Inc., 9.50%, 04/01/09.............. 2,031,225 2,700,000 Waste Services, Inc. -- 144A (Canada), 9.50%, 04/15/14.............. 2,700,000 ------------ 7,193,838 ------------ EQUIPMENT RENTAL AND LEASING -- 0.6% 1,070,000 Amerco, 9.00%, 03/15/09.............. 1,139,550 235,000 United Rentals North America, Inc., 6.50%, 02/15/12.............. 230,300 685,000 United Rentals North America, Inc., 7.00%, 02/15/14.............. 643,900 ------------ 2,013,750 ------------ FINANCIAL SERVICES -- 2.5% 475,000 Alamosa Delaware, Inc., zero coupon, 07/31/09(g)..... 517,750 715,000 Alamosa Delaware, Inc., 11.00%, 07/31/10............. 845,488 80,000 Alamosa Delaware, Inc., 8.50%, 01/31/12.............. 87,800 2,055,000 BCP Caylux Holdings Luxembourg SCA -- 144A (Luxembourg), 9.63%, 06/15/14.............. 2,327,287 1,200,000 E*TRADE Financial Corp. -- 144A, 8.00%, 06/15/11.............. 1,296,000 1,335,000 REFCO Finance Holdings -- 144A, 9.00%, 08/01/12.............. 1,468,500 1,920,000 Trump Holdings & Funding, 12.63%, 03/15/10............. 2,088,000 ------------ 8,630,825 ------------
See notes to financial statements. 131 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FOOD AND BEVERAGE -- 1.1% $ 1,130,000 American Seafood Group LLC, 10.13%, 04/15/10............. $ 1,214,750 985,000 Pierre Foods, Inc. -- 144A, 9.88%, 07/15/12.............. 1,024,400 1,355,000 Pinnacle Foods Holding Corp. -- 144A, 8.25%, 12/01/13.............. 1,297,412 357,000 United Agriculture Products -- 144A, 8.25%, 12/15/11.............. 384,668 ------------ 3,921,230 ------------ FUNERAL SERVICES -- 0.1% 330,000 Alderwoods Group, Inc. -- 144A, 7.75%, 09/15/12.............. 358,050 ------------ LEISURE AND RECREATION -- 6.2% 700,000 AMC Entertainment, Inc., 9.88%, 02/01/12.............. 766,500 350,000 Ameristar Casinos, Inc., 10.75%, 02/15/09............. 392,000 215,000 Hollywood Casino Shreveport, 13.00%, 08/01/06(h).......... 183,019 2,025,000 Inn of The Mountain Gods, 12.00%, 11/15/10............. 2,379,374 1,890,000 Kerzner International (Bahama Islands), 8.88%, 08/15/11.............. 2,074,274 995,000 LCE Acquisition Corp. -- 144A, 9.00%, 08/01/14.............. 1,082,063 1,460,000 Majestic Star Casino LLC, 9.50%, 10/15/10.............. 1,554,900 1,810,000 Marquee Holdings, Inc. -- 144A, zero coupon, 08/15/14(g)..... 1,230,800 335,000 MGM MIRAGE, 6.88%, 02/06/08.............. 364,313 1,030,000 OED Corp./Diamond JO, 8.75%, 04/15/12.............. 1,014,550 960,000 Penn National Gaming, Inc., Series B, 11.13%, 03/01/08............. 1,029,600 120,000 Premier Entertainment LLC (Biloxi) Financial, 10.75%, 02/01/12............. 131,700 1,420,000 Royal Caribbean Cruises, Ltd. (Liberia), 8.75%, 02/02/11.............. 1,684,475 390,000 Royal Caribbean Cruises, Ltd., 7.25%, 03/15/18.............. 430,950 680,000 Seneca Gaming Corp., 7.25%, 05/01/12.............. 719,100 1,745,000 Trump Atlantic City Association/Funding, Inc., 11.25%, 05/01/06(h).......... 1,673,019 1,785,000 Venetian Casino Resort/Las Vegas Sands, 11.00%, 06/15/10............. 2,046,056 1,882,000 Waterford Gaming LLC -- 144A, 8.63%, 09/15/12.............. 2,023,150
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION (CONTINUED) $ 1,005,000 WMG Holdings Corp. -- 144A, Floating Rate, 6.91%, 12/15/11(b)........... $ 1,017,563 ------------ 21,797,406 ------------ MACHINERY -- 1.4% 635,000 Dresser-Rand Group, Inc. -- 144A, 7.38%, 11/01/14.............. 650,875 725,000 Flowserve Corp., 12.25%, 08/15/10............. 804,750 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............. 542,850 1,570,000 Thermadyne Holdings Corp., 9.25%, 02/01/14.............. 1,538,600 ------------ 4,915,200 ------------ MANUFACTURING -- 2.3% 455,000 Aearo Company I, 8.25%, 04/15/12.............. 470,925 800,000 Amsted Industries, Inc. -- 144A, 10.25%, 10/15/11............. 908,000 3,585,000 Dresser, Inc., 9.38%, 04/15/11.............. 3,943,500 515,000 Goodman Global Holding Company -- 144A, Floating Rate, 5.76%, 06/15/12(n)........... 525,300 15,000 Koppers, Inc., 9.88%, 10/15/13.............. 17,175 720,000 MAAX Corp. -- 144A (Canada), 9.75%, 06/15/12.............. 765,000 180,000 Rayovac Corp., 8.50%, 10/01/13.............. 200,700 975,000 Samsonite Corp., 8.88%, 06/01/11.............. 1,060,313 720,000 Venture Holdings Trust, Series B, 9.50%, 07/01/05(h)........... 32,400 ------------ 7,923,313 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 3.3% 870,000 Ardent Health Services, 10.00%, 08/15/13............. 917,850 270,000 Concentra Operating Corp., 9.50%, 08/15/10.............. 306,450 665,000 HCA, Inc., 5.50%, 12/01/09.............. 665,924 1,690,000 HEALTHSOUTH Corp., 8.38%, 10/01/11.............. 1,761,825 985,000 HEALTHSOUTH Corp., 7.63%, 06/01/12.............. 994,850 527,609 Magellan Health Services, Inc., Series A, 9.38%, 11/15/08.............. 577,072 405,000 National Mentor, Inc. -- 144A, 9.63%, 12/01/12.............. 432,338
See notes to financial statements. 132 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES (CONTINUED) $ 455,000 National Nephrology Association -- 144A, 9.00%, 11/01/11.............. $ 528,938 670,000 Pacificare Health Systems, Inc., 10.75%, 06/01/09............. 777,200 2,155,000 Tenet Healthcare Corp. -- 144A, 9.88%, 07/01/14.............. 2,359,724 670,000 US Oncology, Inc. -- 144A, 9.00%, 08/15/12.............. 752,075 1,345,000 US Oncology, Inc. -- 144A, 10.75%, 08/15/14............. 1,563,563 ------------ 11,637,809 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 1.8% 1,345,000 CDRV Investors, Inc. -- 144A, zero coupon, 01/01/15(g)..... 842,306 870,000 Inverness Medical Innovations, Inc. -- 144A, 8.75%, 02/15/12.............. 913,500 710,000 Medical Device Manufacture, Inc. -- 144A, 10.00%, 07/15/12............. 768,575 1,375,000 Medquest, Inc., Series B, 11.88%, 08/15/12............. 1,622,500 1,010,000 Norcross Safety Products LLC -- Series B, 9.88%, 08/15/11.............. 1,121,100 175,000 Rotech Healthcare, Inc., 9.50%, 04/01/12.............. 193,375 885,000 VWR International, Inc. -- 144A, 8.00%, 04/15/14.............. 949,163 ------------ 6,410,519 ------------ METALS AND MINING -- 1.5% 1,349,000 Ispat Inland ULC, 9.75%, 04/01/14.............. 1,672,760 1,635,000 Mueller Group, Inc., 10.00%, 05/01/12............. 1,790,325 750,000 Mueller Holdings (NA), Inc., zero coupon, 04/15/14(g)..... 517,500 375,000 Oregon Steel Mills, Inc., 10.00%, 07/15/09............. 419,063 745,000 Ryerson Tull, Inc. -- 144A, 8.25%, 12/15/11.............. 756,175 ------------ 5,155,823 ------------ OIL AND GAS: PIPELINES -- 2.3% 365,000 ANR Pipeline Company, 8.88%, 03/15/10.............. 410,625 760,000 Dynegy Holdings, Inc., 7.63%, 10/15/26.............. 664,050 2,675,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13............. 3,076,250 110,000 El Paso CGP Company, 7.50%, 08/15/06.............. 116,875 740,000 El Paso CGP Company, 9.63%, 05/15/12.............. 825,100 205,000 El Paso Corp., 7.00%, 05/15/11.............. 208,331
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES (CONTINUED) $ 625,000 El Paso Corp., Series MTN, 6.95%, 12/15/07.............. $ 657,813 380,000 Northwest Pipeline Corp., 8.13%, 03/01/10.............. 422,275 275,000 Southern Natural Gas Company, 8.88%, 03/15/10.............. 309,375 1,345,000 Transmontaigne, Inc., 9.13%, 06/01/10.............. 1,466,050 ------------ 8,156,744 ------------ OIL, COAL AND GAS -- 3.1% 415,000 Alpha Natural Resources -- 144A, 10.00%, 06/01/12............. 475,175 715,000 El Paso Production Holding Company, 7.75%, 06/01/13.............. 752,538 695,000 Giant Industries, Inc., 8.00%, 05/15/14.............. 729,750 1,875,000 Hanover Compressor Company, zero coupon, 03/31/07(g)..... 1,640,624 355,000 Hanover Compressor Company, 8.63%, 12/15/10.............. 389,613 525,000 Parker Drilling Company, 9.63%, 10/01/13.............. 591,938 1,125,000 Petrobras International Finance (Cayman Islands), 9.13%, 07/02/13.............. 1,282,500 175,000 Petrobras International Finance (Cayman Islands), 7.75%, 09/15/14.............. 184,844 1,586,200 Port Arthur Finance Corp., 12.50%, 01/15/09............. 1,863,784 295,000 Premcor Refining Group, 7.75%, 02/01/12.............. 326,713 440,000 Ram Energy, Inc., 11.50%, 02/15/08............. 451,000 1,295,000 Sesi LLC, 8.88%, 05/15/11.............. 1,424,500 750,000 United Refining Company -- 144A, 10.50%, 08/15/12............. 796,875 ------------ 10,909,854 ------------ PAPER AND FOREST PRODUCTS -- 3.0% 470,000 Boise Cascade LLC -- 144A, Floating Rate, 5.01%, 10/15/12(b)........... 489,975 1,415,000 Caraustar Industries, Inc., 9.88%, 04/01/11.............. 1,542,350 1,185,000 Georgia-Pacific Corp., 9.50%, 12/01/11.............. 1,466,438 1,385,000 Georgia-Pacific Corp., 9.38%, 02/01/13.............. 1,620,450 525,000 Longview Fibre Company, 10.00%, 01/15/09............. 576,188 350,000 Neenah Paper, Inc. -- 144A, 7.38%, 11/15/14.............. 357,000
See notes to financial statements. 133 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PAPER AND FOREST PRODUCTS (CONTINUED) $ 1,100,000 Newark Group, Inc., 9.75%, 03/15/14.............. $ 1,177,000 3,300,000 Tembec Industries, Inc. (Canada), 8.50%, 02/01/11.............. 3,332,999 ------------ 10,562,400 ------------ PHARMACEUTICALS -- 0.4% 1,270,000 Elan Finance PLC/Elan Finance Corp. -- 144A (Brazil), 7.75%, 11/15/11.............. 1,358,900 ------------ PRINTING AND PUBLISHING -- 5.7% 270,000 Advertising Directory Solutions -- 144A, 9.25%, 11/15/12.............. 284,850 3,535,000 American Media Operation, Series B, 10.25%, 05/01/09............. 3,742,680 1,195,000 CanWest Media, Inc. (Canada), 10.63%, 05/15/11............. 1,347,363 2,281,634 CanWest Media, Inc. -- 144A (Canada), 8.00%, 09/15/12.............. 2,458,461 410,000 CBD Media LLC/CBD Finance, Inc., 8.63%, 06/01/11.............. 435,625 245,000 Dex Media East LLC, 9.88%, 11/15/09.............. 280,219 1,481,000 Dex Media West Finance Company, Series B, 9.88%, 08/15/13.............. 1,714,258 1,850,000 Houghton Mifflin Company, 8.25%, 02/01/11.............. 1,979,500 1,680,000 Houghton Mifflin Company, 9.88%, 02/01/13.............. 1,848,000 835,000 Liberty Group Operating, 9.38%, 02/01/08.............. 851,700 101,310 Merrill Corp., Series A, Variable Rate, 12.00%, 05/01/09(a).......... 107,895 185,000 Merrill Corp., Series B, Variable Rate, 12.00%, 05/01/09(a).......... 197,025 3,615,000 Primedia, Inc., 8.88%, 05/15/11.............. 3,840,937 1,000,000 Primedia, Inc., Floating Rate, 7.67%, 05/15/10(b)........... 1,065,000 ------------ 20,153,513 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.3% 315,000 CB Richard Ellis Services, Inc., 9.75%, 05/15/10.............. 360,675 500,000 CB Richard Ellis Services, Inc., 11.25%, 06/15/11............. 577,500 ------------ 938,175 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.6% $ 350,000 FelCor Lodging LP, Floating Rate, 6.87%, 06/01/11(n)........... $ 369,250 150,000 Host Marriott LP, Series I, 9.50%, 01/15/07.............. 165,000 1,295,000 Meristar Hospitality Operating Partnership LP/ MeriStar Hospitality Finance Corp., 10.50%, 06/15/09............. 1,418,025 310,000 Omega Healthcare Investors, Inc., 7.00%, 04/01/14.............. 320,075 ------------ 2,272,350 ------------ RETAIL -- 0.1% 430,000 General Nutrition Centers, Inc., 8.50%, 12/01/10.............. 408,500 ------------ RUBBER PRODUCTS -- 0.1% 505,000 Cooper-Standard Automotive, Inc. -- 144A, 7.00%, 12/15/12.............. 515,100 ------------ SECURITY SERVICES -- 0.0% 135,000 Allied Security, Inc. -- 144A, 11.38%, 07/15/11............. 141,750 ------------ SEMICONDUCTORS -- 2.0% 2,495,000 Advanced Micro Devices, Inc. -- 144A, 7.75%, 11/01/12.............. 2,610,394 724,000 AMI Semiconductor, Inc., 10.75%, 02/01/13............. 854,320 265,000 Amkor Technologies, Inc., 7.13%, 03/15/11.............. 250,425 2,915,000 Amkor Technologies, Inc., 7.75%, 05/15/13.............. 2,754,675 730,000 STATS ChipPAC, Ltd. -- 144A (Singapore), 6.75%, 11/15/11.............. 726,350 ------------ 7,196,164 ------------ SPECIAL PURPOSE ENTITY -- 6.9% 345,000 Affinia Group, Inc. -- 144A, 9.00%, 11/30/14.............. 361,388 215,000 Altra Industrial Motion, Inc. -- 144A, 9.00%, 12/01/11.............. 219,300 1,310,000 ASG Consolidated LLC/Finance, Inc. -- 144A, zero coupon, 11/01/11(g)..... 841,675 455,000 Aventine Renewable Energy, Inc. -- 144A, Floating Rate, 8.50%, 12/15/11(b)........... 461,825 535,000 Borden US Finance/Nova Scotia -- 144A, 9.00%, 07/15/14.............. 596,525 953,672 Caithness Coso Funding Corp., Series B, 9.05%, 12/15/09.............. 1,053,808 1,375,000 Chukchansi Economic Development Authority -- 144A, 14.50%, 06/15/09............. 1,739,375
See notes to financial statements. 134 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) SPECIAL PURPOSE ENTITY (CONTINUED) $ 1,625,000 Crystal US Holdings 3 LLC/ Crystal US Sub3 Corp. -- 144A, zero coupon, 10/01/14(g)..... $ 1,121,250 990,000 Harvest Operations Corp. -- 144A, 7.88%, 10/15/11.............. 1,002,375 1,035,000 Interline Brands, Inc., 11.50%, 05/15/11............. 1,169,550 1,350,000 MDP Acquisitions PLC (Ireland), 9.63%, 10/01/12.............. 1,512,000 1,750,000 Milacron Escrow Corp., 11.50%, 05/15/11............. 1,863,750 370,000 NSP Holdings/Cap Corp. -- 144A, 11.75%, 01/01/12(o).......... 375,550 740,000 PCA LLC/PCA Finance Corp., 11.88%, 08/01/09............. 654,900 555,000 Rainbow National Services LLC -- 144A, 8.75%, 09/01/12.............. 611,888 2,155,000 Rainbow National Services LLC -- 144A, 10.38%, 09/01/14............. 2,440,537 135,000 Riddell Bell Holdings, Inc. -- 144A, 8.38%, 10/01/12.............. 140,400 230,000 Standard Aero Holdings, Inc. -- 144A, 8.25%, 09/01/14.............. 249,550 2,550,000 UGS Corp. -- 144A, 10.00%, 06/01/12............. 2,913,374 2,060,000 Universal City Development Partners, Ltd., 11.75%, 04/01/10............. 2,443,674 300,000 Universal City Florida -- 144A, 8.38%, 05/01/10.............. 312,750 595,000 Universal City Florida -- 144A, Floating Rate, 7.20%, 05/01/10(b)........... 621,775 1,530,000 Vanguard Health Holding Company II LLC -- 144A, 9.00%, 10/01/14.............. 1,644,750 ------------ 24,351,969 ------------ SPORTING GOODS AND EQUIPMENT -- 0.0% 185,000 True Temper Sports, Inc., 8.38%, 09/15/11.............. 172,975 ------------ SYNDICATED BANK LOANS -- 0.1% 500,000 Mirant Corp., 8.63%, 07/17/49(h)........... 355,250 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 9.5% 345,000 AirGate PCS, Inc. -- 144A, Floating Rate, 5.85%, 10/15/11(b)........... 356,213 125,000 American Tower Corp., 9.38%, 02/01/09.............. 132,813 2,785,000 Centennial Cellular/Communications, 10.13%, 06/15/13............. 3,140,087 505,000 Centennial Communications, 10.75%, 12/15/08............. 526,463
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 190,000 Crown Castle International Corp., 10.75%, 08/01/11............. $ 207,100 355,000 General Cable Corp., 9.50%, 11/15/10.............. 402,925 1,310,000 Inmarsat Finance PLC (Great Britain), 7.63%, 06/30/12.............. 1,368,950 1,000,000 Intelsat, Ltd., 7.63%, 04/15/12.............. 973,836 185,000 IWO Escrow Company -- 144A, Floating Rate, 6.32%, 01/15/12(b)........... 187,313 1,000,000 IWO Holdings, Inc., 14.00%, 01/15/11(h).......... 655,000 2,620,000 LCI International, Inc., 7.25%, 06/15/07.............. 2,561,049 855,000 New Skies Satellites NV -- 144A (The Netherlands), 9.13%, 11/01/12.............. 876,375 645,000 New Skies Satellites NV -- 144A (The Netherlands), Floating Rate, 7.44%, 11/01/11(n)........... 667,575 450,000 Nextel Communications, 7.38%, 08/01/15.............. 497,250 875,000 Nextel Partners, Inc., 12.50%, 11/15/09............. 995,313 4,200,000 Nortel Networks Corp. (Canada), 4.25%, 09/01/08.............. 4,105,499 675,000 Nortel Networks, Ltd., 6.13%, 02/15/06.............. 690,188 2,005,000 PanAmSat Corp. -- 144A, 9.00%, 08/15/14.............. 2,248,105 285,000 Qwest Capital Funding, Inc., 7.75%, 08/15/06.............. 301,388 290,000 Qwest Capital Funding, Inc., 7.00%, 08/03/09.............. 287,825 315,000 Qwest Capital Funding, Inc., 7.90%, 08/15/10.............. 319,725 110,000 Qwest Corp., 7.20%, 11/10/26.............. 106,150 1,035,000 Qwest Corp. -- 144A, 7.88%, 09/01/11.............. 1,128,150 1,075,000 Qwest Services Corp. -- 144A (Canada), 14.00%, 12/15/10............. 1,298,063 580,000 Rogers Wireless, Inc. -- 144A (Canada), 8.00%, 12/15/12.............. 616,250 2,150,000 Rogers Wireless, Inc. -- 144A (Canada), 7.50%, 03/15/15.............. 2,278,999 1,065,000 Rogers Wireless, Inc. -- 144A (Canada), Floating Rate, 5.53%, 12/15/10(b)........... 1,120,913 60,000 SBA Telecommunications, Inc., zero coupon, 12/15/11(g)..... 50,850
See notes to financial statements. 135 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 450,000 Telemig Celular Participacoes SA/Amazonia Cel -- 144A (Brazil), 8.75%, 01/20/09.............. $ 469,125 600,000 Ubiquitel Operating Company, 9.88%, 03/01/11.............. 676,500 1,390,000 US Unwired, Inc., Series B, 10.00%, 06/15/12............. 1,574,175 2,460,000 Western Wireless Corp., 9.25%, 07/15/13.............. 2,687,549 ------------ 33,507,716 ------------ TRANSPORTATION -- 0.9% 765,000 H-Lines Finance Holding -- 144A, zero coupon, 04/01/13(g).................. 554,625 715,000 Horizon Lines LLC -- 144A, 9.00%, 11/01/12.............. 772,200 910,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13.............. 978,250 115,000 Petroleum Helicopters, 9.38%, 05/01/09.............. 126,500 695,000 Quality Distribution Capital -- 144A, 9.00%, 11/15/10.............. 696,738 ------------ 3,128,313 ------------ UTILITIES -- 0.7% 635,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12............. 717,550 1,325,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 1,689,375 ------------ 2,406,925 ------------ UTILITIES: ELECTRIC -- 4.4% 347,000 AES Corp., 8.50%, 11/01/07.............. 353,940 553,000 AES Corp., 9.38%, 09/15/10.............. 645,627 700,000 AES Corp. -- 144A, 8.75%, 05/15/13.............. 798,875 310,000 AES Corp. -- 144A, 9.00%, 05/15/15.............. 356,500 496,838 AES Eastern Energy, Series 99-A, 9.00%, 01/02/17.............. 564,222 750,000 Calpine Corp., 8.25%, 08/15/05.............. 761,250 1,575,000 Calpine Corp., 7.63%, 04/15/06.............. 1,555,312 350,000 Calpine Corp., 10.50%, 05/15/06............. 351,750 125,000 Calpine Corp., 8.75%, 07/15/07.............. 110,000 450,000 Calpine Corp. -- 144A, 8.50%, 07/15/10.............. 388,125 1,130,000 Calpine Corp. -- 144A, 8.75%, 07/15/13.............. 937,900
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 1,305,000 Inergy LP/Inergy Finance Corp. -- 144A, 6.88%, 12/15/14.............. $ 1,318,050 3,000,000 Mission Energy Holding Company, 13.50%, 07/15/08............. 3,757,499 750,000 Nevada Power Company, 9.00%, 08/15/13.............. 881,250 1,085,000 NRG Energy, Inc. -- 144A, 8.00%, 12/15/13.............. 1,188,075 255,000 Reliant Energy, Inc., 9.25%, 07/15/10.............. 285,600 915,000 Reliant Energy, Inc., 9.50%, 07/15/13.............. 1,044,244 150,000 Texas Genco LLC/Financing -- 144A, 6.88%, 12/15/14.............. 155,813 ------------ 15,454,032 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $302,606,017).......... 321,976,198 ------------ SHARES ------ COMMON STOCKS -- 0.8% BROADCAST SERVICES/MEDIA -- 0.3% 54,651 Telewest Global, Inc. (Great Britain)*.................... 960,765 ------------ LEISURE AND RECREATION -- 0.0% 2,000 Las Vegas Sands Corp.*......... 96,000 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.5% 7,533 Crown Castle International Corp.*....................... 125,349 20,340 NTL, Inc.*..................... 1,484,006 ------------ 1,609,355 ------------ TOTAL COMMON STOCKS (Cost $1,906,825).................. 2,666,120 ------------ CONVERTIBLE PREFERRED STOCKS -- 1.0% OIL AND GAS: PIPELINES -- 0.3% 11,465 Williams Companies, Inc. -- 144A, 5.50%.......... 960,194 ------------ OIL, COAL AND GAS -- 0.1% 2,400 Chesapeake Energy Corp., 5.00%........................ 293,640 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.6% 43,235 Crown Castle International Corp., 6.25%................. 2,107,706 ------------ UTILITIES: ELECTRIC -- 0.0% 245 NRG Energy, Inc. -- 144A, 4.00%........................ 269,500 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $3,003,931)..... 3,631,040 ------------
See notes to financial statements. 136 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE ------ ------------ WARRANTS -- 0.1% 1,125 American Tower Corp., Expires 08/01/08*............ $ 258,750 1,000 IPCS, Inc. -- 144A, Expires 07/15/10*(q)......... -- 1,000 IWO Holdings, Inc., Expires 01/15/11*(q)......... -- 750 Mueller Holdings, Inc., Expires 04/15/14*............ 52,500 84 New World Coffee, Expires 06/20/06*............ 1 1,000 ONO Finance PLC (Great Britain), Expires 03/16/11*(q)......... -- 250 Ubiquitel, Inc. -- 144A, Expires 04/15/10*(q)......... -- ------------ TOTAL WARRANTS (Cost $75,402)..................... 311,251 ------------ PRINCIPAL --------- CONVERTIBLE BONDS -- 0.3% LEISURE AND RECREATION -- 0.2% $ 645,000 Kerzner International -- 144A (Bahama Islands), 2.38%, 04/15/24.............. 787,706 ------------ SEMICONDUCTORS -- 0.1% 345,000 Amkor Technologies, Inc., 5.75%, 06/01/06.............. 339,825 ------------ TOTAL CONVERTIBLE BONDS (Cost $966,774).................... 1,127,531 ------------ TOTAL SECURITIES (Cost $308,558,949)................ 329,712,140 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 4.6% $16,169,442 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $16,171,976 (Collateralized by various Small Business Administrations, 4.88% -- 5.13%, due 01/25/29 - 05/25/30, with a total value of $16,977,914) (Cost $16,169,442)........... $ 16,169,442 ------------ Total Investments -- 98.3% (Cost $324,728,391).......... 345,881,582 Other assets less liabilities -- 1.7%.......... 5,890,954 ------------ NET ASSETS -- 100.0%........... $351,772,536 ============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $324,751,218. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $23,835,148 Gross unrealized depreciation........... (2,704,784) ----------- Net unrealized appreciation............. $21,130,364 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 137 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS -- 97.5% ADVERTISING -- 0.4% 209,774 JC Decaux SA*........ $ 6,118,173 FRA -------------- AEROSPACE AND DEFENSE -- 2.3% 1,565,500 Bae Systems PLC...... 6,928,277 BRI 488,834 European Aeronautic Defense and Space Company(d)......... 14,197,372 NET 2,473,290 Rolls-Royce Group PLC*............... 11,729,331 BRI -------------- 32,854,980 -------------- AGRICULTURE -- 0.1% 4,566,000 Chaoda Modern Agriculture (Holdings), Ltd. .............. 1,689,001 HNG -------------- AIRLINES -- 0.4% 1,710,200 Qantas Airways, Ltd. .............. 4,958,494 AUS -------------- APPAREL: MANUFACTURING -- 0.8% 65,400 Adidas-Salomon AG*... 10,545,014 GER 12,800 Benetton Group SpA... 169,106 ITA -------------- 10,714,120 -------------- AUTOMOBILES/MOTOR VEHICLES -- 4.6% 147,200 DaimlerChrysler AG*.. 7,047,351 GER 51,700 Honda Motor Company, Ltd. .............. 2,675,180 JPN 149,740 Hyundai Motor Company*........... 8,028,761 KOR 476,980 Kia Motors Corp.*.... 5,022,782 KOR 1,122,800 Nissan Motor Company, Ltd. .............. 12,188,649 JPN 299,000 Suzuki Motor Corp. ............. 5,454,375 JPN 608,200 Toyota Motor Corp. ............. 24,714,423 JPN -------------- 65,131,521 -------------- AUTOMOTIVE EQUIPMENT -- 1.5% 252,900 Aisin Seiki Company, Ltd. .............. 6,395,201 JPN 127,500 Alpine Electronics, Inc.(d)............ 1,712,093 JPN 10,200 Georg Fischer AG*.... 2,641,720 SWI 1,128,000 GKN PLC.............. 5,122,022 BRI 115,700 Valeo SA............. 4,838,602 FRA -------------- 20,709,638 -------------- BANKS -- 19.0% 589,000 ABN AMRO Holding NV................. 15,587,014 NET 241,200 Allied Irish Banks PLC................ 5,000,946 IRE 1,023,700 Banca Intesa SpA..... 4,920,529 ITA 601,200 Banco Bilbao Vizcaya Argentaria SA...... 10,652,837 SPA
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 709,400 Banco Comercial Portugues, SA -- Class R............ $ 1,820,492 POR 240,100 Banco Santander Central Hispano SA*(d)............. 2,976,451 SPA 1,812,600 Barclays PLC......... 20,393,924 BRI 618,900 Bayerische Hypo-und Vereinsbank AG (HVB Group)*............ 14,033,718 GER 198,200 BNP Paribas SA....... 14,343,881 FRA 179,200 Canadian Imperial Bank of Commerce(d)........ 10,799,846 CDA 158,600 Commonwealth Bank of Australia.......... 3,978,663 AUS 140,300 Danske Bank A/S...... 4,297,983 DEN 19,400 Deutsche Bank AG..... 1,720,615 GER 365,900 Dexia*(d)............ 8,406,178 BEL 250,800 DNB NOR ASA.......... 2,473,557 NOR 361,700 EFG Eurobank Ergasias........... 12,415,419 GRC 89,200 ForeningsSparbanken AB................. 2,221,343 SWE 105,300 Fortis............... 2,909,569 BEL 126,100 HBOS PLC............. 2,053,110 BRI 135,700 IKB Deutsche Industriebank AG... 3,753,243 GER 1,238,200 Joyo Bank, Ltd. ..... 6,032,937 JPN 77,400 Laurentian Bank of Canada(d).......... 1,554,458 CDA 1,834,700 Lloyds TSB Group PLC................ 16,662,011 BRI 456 Mitsubishi Tokyo Financial Group, Inc. .............. 4,621,321 JPN 70,200 National Australia Bank, Ltd. ........ 1,581,103 AUS 177,700 National Bank of Canada(d).......... 7,348,195 CDA 60,100 National Bank of Greece SA.......... 1,981,340 GRC 1,248,500 Nordea Bank AB....... 12,586,822 SWE 234,700 SanPaolo IMI SpA*.... 3,377,962 ITA 125,100 Societe Generale*.... 12,646,135 FRA 745,200 Standard Chartered PLC................ 13,857,143 BRI 490,100 Suncorp-Metway, Ltd. .............. 6,656,769 AUS 861,000 The Bank of Yokohama, Ltd. .............. 5,420,055 JPN 199,000 UBS AG............... 16,686,878 SWI 1,739 UFJ Holdings, Inc.*.............. 10,523,475 JPN -------------- 266,295,922 --------------
See notes to financial statements. 138 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BROADCAST SERVICES/MEDIA -- 1.7% 150,200 Grupo Televisa SA (ADR).............. $ 9,087,100 MEX 883,200 Seven Network, Ltd.(d)............ 4,424,315 AUS 337,900 Vivendi Universal SA*................ 10,777,227 FRA -------------- 24,288,642 -------------- BUSINESS SERVICES AND SUPPLIES -- 1.2% 1,671,929 Capita Group PLC..... 11,740,955 BRI 1,914,700 Marubeni Corp. ...... 5,298,916 JPN -------------- 17,039,871 -------------- CHEMICALS -- 0.9% 45,100 Akzo Nobel NV*....... 1,921,610 NET 39,100 Ciba Specialty Chemicals AG*...... 2,974,365 SWI 52,300 K+S AG............... 2,776,606 GER 1,680,600 Mitsubishi Chemical Corp. ............. 5,109,600 JPN -------------- 12,782,181 -------------- COMPUTER SOFTWARE AND SERVICES -- 1.8% 129,200 Infosys Technologies, Ltd. (ADR)(d)...... 8,954,852 IND 309,985 Trend Micro, Inc.*... 16,704,512 JPN -------------- 25,659,364 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.5% 163,900 Creative Technology, Ltd. .............. 2,449,865 SIN 203,900 Oce NV............... 3,117,392 NET 2,043,000 TPV Technology, Ltd. .............. 1,222,299 HNG -------------- 6,789,556 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 3.9% 354,700 Autostrade SpA*...... 9,487,750 ITA 353,700 Barratt Developments PLC................ 4,037,273 BRI 159,300 Compagnie de Saint-Gobain....... 9,586,308 FRA 644,700 George Wimpey PLC.... 5,006,998 BRI 43,500 Lafarge SA*.......... 4,193,565 FRA 260,000 Maeda Road Construction Company, Ltd.(d)... 2,042,097 JPN 2,189,400 Pilkington PLC....... 4,624,013 BRI 438,000 RMC Group PLC........ 7,139,750 BRI 484,000 Sekisui House, Ltd. .............. 5,631,417 JPN 211,200 The Berkeley Group Holdings PLC....... 3,280,527 BRI -------------- 55,029,698 --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES -- 1.8% 376,500 Imperial Tobacco Group PLC.......... $ 10,315,498 BRI 1,308 Japan Tobacco, Inc. .............. 14,912,882 JPN -------------- 25,228,380 -------------- DISTRIBUTION -- 0.9% 2,054,000 Esprit Holdings, Ltd. .............. 12,420,936 BER -------------- DIVERSIFIED SERVICES -- 0.7% 142,100 BASF AG.............. 10,225,999 GER -------------- ELECTRONICS -- 2.9% 56,100 Bang & Olufsen A/S -- Class B(d).. 4,190,161 DEN 209,000 Hosiden Corp.(d)..... 2,311,586 JPN 39,200 Keyence Corp. ....... 8,770,532 JPN 1,191,000 Minebea Company, Ltd. .............. 5,187,848 JPN 286,000 Pioneer Corp. ....... 5,573,962 JPN 130,800 Research In Motion, Ltd.*.............. 10,780,537 CDA 810,100 Toshiba Tec Corp. ... 3,836,568 JPN -------------- 40,651,194 -------------- ENGINEERING -- 0.2% 72,371 SNC-Lavalin Group, Inc. .............. 3,502,310 CDA -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.3% 224,700 Pennon Group PLC..... 4,301,297 BRI -------------- FINANCIAL SERVICES -- 4.1% 344,900 Alliance & Leicester PLC................ 6,039,337 BRI 800,900 Bradford & Bingley PLC................ 5,162,922 BRI 226,900 Hitachi Capital Corp. ............. 4,676,413 JPN 155,500 Irish Life & Permanent PLC...... 2,913,703 IRE 235,389 Man Group PLC........ 6,652,658 BRI 124,000 Mitsubishi Securities Company, Ltd. ..... 1,355,759 JPN 932,000 Nikko Cordial Corp. ............. 4,931,553 JPN 96,700 Promise Company, Ltd. .............. 6,897,720 JPN 225,700 Sampo Oyj -- Class A.................. 3,113,587 FIN 38,300 Sanyo Shinpan Finance Company, Ltd. ..... 2,717,053 JPN 119,100 Sun Life Financial, Inc.(d)............ 3,989,875 CDA 65,500 Takefuji Corp. ...... 4,423,261 JPN 1,386,000 Tokai Tokyo Securities Company, Ltd. .............. 4,254,434 JPN -------------- 57,128,275 --------------
See notes to financial statements. 139 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE -- 3.4% 464,700 Asahi Breweries, Ltd. .............. $ 5,746,485 JPN 15,800 Coca-Cola West Japan Company, Ltd. ..... 404,931 JPN 429,200 Fraser and Neave, Ltd. .............. 4,285,690 SIN 345,300 Geest PLC............ 4,229,787 BRI 1,537,300 Northern Foods PLC... 5,054,642 BRI 48,600 Pernod Ricard(d)..... 7,436,969 FRA 325,262 Royal Numico NV*..... 11,716,729 NET 695,700 Tate & Lyle PLC...... 6,314,730 BRI 106,400 Wolverhampton & Dudley Breweries PLC................ 2,243,082 BRI -------------- 47,433,045 -------------- INSURANCE -- 4.6% 999,300 Aioi Insurance Company, Ltd. ..... 4,606,012 JPN 105,700 Allianz AG........... 14,007,498 GER 1,052,600 Aviva PLC............ 12,691,830 BRI 516,700 Britannic Group PLC.. 4,523,812 BRI 105,800 CNP Assurances....... 7,570,631 FRA 1,939,300 Friends Provident PLC................ 5,734,122 BRI 212,400 ING Groep NV*........ 6,419,711 NET 358,800 Pohjola Group PLC -- Class D............ 4,136,147 FIN 31,400 Zurich Financial Services AG*....... 5,235,635 SWI -------------- 64,925,398 -------------- LEISURE AND RECREATION -- 3.1% 143,511 Carnival PLC......... 8,756,697 BRI 88,128 Club Mediterranee SA*(d)............. 4,158,192 FRA 2,447,900 EMI Group PLC........ 12,454,916 BRI 703,971 InterContinental Hotels Group PLC... 8,751,767 BRI 261,000 NAMCO, Ltd. ......... 3,420,824 JPN 227,400 TUI AG(d)............ 5,378,664 GER -------------- 42,921,060 -------------- MACHINERY -- 1.5% 148,400 MAN AG*.............. 5,710,440 GER 15,900 Rieter Holding AG.... 4,614,370 SWI 82,500 Saurer AG*........... 4,861,050 SWI 162,400 Stork NV*............ 5,589,845 NET -------------- 20,775,705 -------------- MANUFACTURING -- 0.4% 295,710 Assa Abloy AB -- Class B*........... 5,050,270 SWE --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES -- 0.8% 134,730 Essilor International SA CIE Generale D'Optique.......... $ 10,546,283 FRA -------------- METALS AND MINING -- 1.4% 1,060,900 BlueScope Steel, Ltd. .............. 6,840,020 AUS 308,300 Sims Group, Ltd. .... 4,288,669 AUS 396,900 ThyssenKrupp AG(d)... 8,730,355 GER -------------- 19,859,044 -------------- OIL, COAL AND GAS -- 8.9% 602,400 BP PLC............... 5,875,569 BRI 158,700 CNOOC, Ltd. (ADR)(d)........... 8,599,953 HNG 2,182,200 Cosmo Oil Company, Ltd. .............. 6,443,253 JPN 559,200 Eni SpA*............. 13,985,970 ITA 83,300 Fording Canadian Coal Trust.............. 6,440,894 CDA 76,800 Gazprom OAO -- 144A (ADR)(d)........... 2,726,400 SUR 175,900 Hellenic Petroleum SA................. 1,910,696 GRC 287,100 Husky Energy, Inc. .............. 8,204,568 CDA 12,100 OMV AG............... 3,642,229 AST 104,212 Petro-Canada......... 5,318,855 CDA 272,500 Repsol YPF SA........ 7,089,210 SPA 542,700 Saipem SpA........... 6,521,371 ITA 2,506,300 Shell Transport & Trading Company PLC................ 21,365,706 BRI 722,700 Snam Rete Gas SpA.... 4,199,887 ITA 102,923 Total SA -- Class B.................. 22,457,640 FRA -------------- 124,782,201 -------------- PAPER AND FOREST PRODUCTS -- 0.6% 231,000 Billerud............. 4,118,917 SWE 60,360 Fraser Papers, Inc.*.............. 783,648 CDA 301,800 Norbord, Inc.(d)..... 3,122,503 CDA -------------- 8,025,068 -------------- PHARMACEUTICALS -- 3.9% 35,900 Dainippon Pharmaceutical Company, Ltd. ..... 360,679 JPN 1,118,963 Elan Corp. PLC (ADR)*(d).......... 30,491,742 IRE 160,800 GlaxoSmithKline PLC.. 3,772,754 BRI 218,200 Santen Pharmaceutical Company, Ltd. ..... 4,762,892 JPN 115,855 Schering AG.......... 8,653,509 GER 280,700 Taisho Pharmaceutical Company, Ltd. ..... 6,099,795 JPN -------------- 54,141,371 --------------
See notes to financial statements. 140 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) PRINTING AND PUBLISHING -- 0.6% 1,772,900 CIR SpA.............. $ 5,247,792 ITA 126,000 Quebecor World, Inc.(d)............ 2,712,390 CDA -------------- 7,960,182 -------------- REAL ESTATE DEVELOPMENT AND MANAGEMENT SERVICES -- 0.7% 64,265 Unibail(d)........... 10,104,594 FRA -------------- RETAIL -- 4.0% 1,246,400 Big Food Group PLC... 2,249,503 BRI 4,077,782 Carphone Warehouse PLC................ 13,446,895 BRI 1,912,500 Dixons Group PLC..... 5,581,440 BRI 30,100 Galeries Lafayette SA(d).............. 7,724,388 FRA 521,389 GUS PLC.............. 9,395,013 BRI 168,300 Hudson's Bay Company............ 1,881,702 CDA 590,900 JJB Sports PLC....... 2,005,278 BRI 279,448 Kingfisher PLC....... 1,661,933 BRI 340,770 Swatch Group AG*..... 10,129,299 SWI 10,300 Valora Holding AG.... 2,536,276 SWI -------------- 56,611,727 -------------- RETAIL: SUPERMARKETS -- 0.9% 1,090,862 J Sainsbury PLC...... 5,665,501 BRI 809,200 Koninklijke Ahold NV*................ 6,262,771 NET -------------- 11,928,272 -------------- RUBBER PRODUCTS -- 0.2% 150,000 Bridgestone Corp. ... 2,981,875 JPN -------------- SEMICONDUCTORS -- 0.1% 131,158 ASML Holding NV*..... 2,086,724 NET -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 7.4% 1,243,480 Alcatel SA*.......... 19,332,147 FRA 582,000 BT Group PLC......... 2,268,403 BRI 159,600 Elcoteq Network Corp. -- Class A... 3,876,850 FIN 297,700 France Telecom SA*... 9,846,728 FRA 2,700 Nippon Telegraph and Telephone Corp. ... 12,102,904 JPN 298,500 Nokia Oyj (ADR)...... 4,677,495 FIN 152,100 PT Telekomunikasi Indonesia (ADR)*... 3,197,142 IDN 820,429 Societe Europeenne des Satellites (FDR)*............. 10,582,796 LUX 20,800 Swisscom AG*......... 8,194,882 SWI 566,450 Tandberg ASA......... 7,035,978 NOR
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 318,556 Telefonaktiebolaget LM Ericsson (ADR)*(d).......... $ 10,031,328 SWE 4,402,233 Vodafone Group PLC... 11,938,856 BRI -------------- 103,085,509 -------------- TRANSPORTATION -- 1.3% 144,432 Canadian National Railway Company.... 8,805,712 CDA 28,610 Kuehne & Nagel International AG... 6,164,322 SWI 777,000 Orient Overseas International, Ltd. .............. 2,944,166 BER -------------- 17,914,200 -------------- UTILITIES -- 1.2% 33,900 E.ON AG*............. 3,086,733 GER 576,700 Kelda Group PLC...... 7,003,445 BRI 548,800 United Utilities PLC................ 6,638,285 BRI -------------- 16,728,463 -------------- UTILITIES: ELECTRIC -- 2.3% 78,200 Chubu Electric Power Company, Inc. ..... 1,874,605 JPN 553,600 Endesa SA............ 12,996,514 SPA 314,200 Hokkaido Electric Power Company, Inc. .............. 6,169,489 JPN 245,100 Shikoku Electric Power Company, Inc. .............. 4,776,847 JPN 239,900 Union Fenosa SA...... 6,302,996 SPA -------------- 32,120,451 -------------- UTILITIES: GAS -- 0.2% 954,800 Toho Gas Company, Ltd. .............. 3,405,348 JPN -------------- TOTAL COMMON STOCKS (Cost $1,135,867,124).... 1,366,906,342 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 9.1% $127,122,222 Securities Lending Collateral Investment (Note 4) (Cost $127,122,222)...... 127,122,222 USA -------------- TOTAL SECURITIES (Cost $1,262,989,346).... 1,494,028,564 -------------- SHARES ------ RIGHTS -- 0.0% AUTOMOTIVE EQUIPMENT 390,900 TI Automotive, Ltd. -- Class A* (Cost $0)(q)....... -- BRI --------------
See notes to financial statements. 141 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2004
PRINCIPAL VALUE COUNTRY --------- -------------- ------- REPURCHASE AGREEMENTS -- 1.1% $ 15,085,220 With Investors Bank and Trust, dated 12/31/04, 1.88%, due 01/03/05, repurchase proceeds at maturity $15,087,583 (Collateralized by Freddie Mac, 2.95%, due 12/15/31, with a value of $10,500,147 and various Small Business Administrations, 4.88% -- 5.13%, due 11/25/22-12/25/28, with a total value of $5,339,481) (Cost $15,085,220)....... $ 15,085,220 USA -------------- Total Investments -- 107.7% (Cost $1,278,074,566).... 1,509,113,784 Liabilities less other assets -- (7.7)%... (107,495,840) -------------- NET ASSETS --100.0%.. $1,401,617,944 ==============
The aggregate cost of securities for federal income tax purposes at December 31, 2004 is $1,282,950,703. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation......... $233,117,631 Gross unrealized depreciation......... (6,954,550) ------------ Net unrealized appreciation........... $226,163,081 ============
--------------- See summary of footnotes and abbreviations to portfolios.
PERCENT OF TOTAL COUNTRY COMPOSITION INVESTMENTS AT VALUE ------------------- -------------------- Australia (AUS)...................... 2.17% Austria (AST)........................ 0.24 Belgium (BEL)........................ 0.75 Bermuda (BER)........................ 1.02 Canada (CDA)......................... 4.99 Denmark (DEN)........................ 0.56 Finland (FIN)........................ 1.05 France (FRA)......................... 10.71 Germany (GER)........................ 6.34 Great Britain (BRI).................. 20.85 Greece (GRC)......................... 1.08 Hong Kong (HNG)...................... 0.76 India (IND).......................... 0.59 Indonesia (IDN)...................... 0.21 Ireland (IRE)........................ 2.55 Italy (ITA).......................... 3.18 Japan (JPN).......................... 16.40 Korea (KOR).......................... 0.87 Luxembourg (LUX)..................... 0.70 Mexico (MEX)......................... 0.60 Netherlands (The) (NET).............. 4.43 Norway (NOR)......................... 0.63 Portugal (POR)....................... 0.12 Russia (SUR)......................... 0.18 Singapore (SIN)...................... 0.45 Spain (SPA).......................... 2.65 Sweden (SWE)......................... 2.26 Switzerland (SWI).................... 4.24 United States (USA).................. 9.42 ------- TOTAL PERCENTAGE..................... 100.00% =======
See notes to financial statements. 142 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIOS OF INVESTMENTS SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS DECEMBER 31, 2004 Footnotes: * Non-income producing security. (a) Variable rate security. The rate shown was in effect at December 31, 2004. (b) Quarterly reset provision. The rate shown was in effect at December 31, 2004. (c) Monthly reset provision. The rate shown was in effect at December 31, 2004. (d) All or part of this security is on loan. (e) Security is segregated as collateral for written options and/or short sales. (f) Security is segregated as initial margin for futures contracts. (g) Represents a zero coupon bond which will convert to an interest bearing security at a later date. (h) Bond is in default. (i) Principal amount shown for this debt security is denominated in New Zealand Dollars. (j) Principal amount shown for this debt security is denominated in Euros. (k) Principal amount shown for this debt security is denominated in Swedish Krona. (l) Principal amount shown for this debt security is denominated in Mexican Pesos. (m) Variable rate security. The interest rate is based on the credit rating of the issuer. The rate shown was in effect at December 31, 2004. (n) Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate ("LIBOR"). The rate shown was in effect at December 31, 2004. (o) PIK ("Payment-In-Kind") bond. These bonds pay interest in the form of additional bonds. (p) Issuer was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. (q) Fair valued at December 31, 2004. Abbreviations: ADR American Depository Receipt. FDR Foreign Depository Receipt. GDR Global Depository Receipt. 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. 143 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO COMPOSITION DECEMBER 31, 2004 The following charts summarize the portfolio composition of each Series by asset type. MONEY MARKET SERIES Commercial Paper................................ 43.2% Domestic Certificates of Deposit................ 4.3 Yankee Certificates of Deposit.................. 16.3 Medium Term Corporate Notes..................... 1.6 Short Term US Government Agency Securities...... 23.3 Short Term Corporate Notes...................... 3.8 Repurchase Agreements........................... 7.4 Other assets less liabilities................... 0.1 ----- 100.0% ===== HIGH QUALITY BOND SERIES Corporate Bonds and Notes....................... 76.4% US Treasury Securities.......................... 3.4 US Government Agency Securities................. 16.4 Foreign Government Obligations.................. 3.1 Securities Lending Collateral................... 3.6 Repurchase Agreements........................... 0.1 Liabilities less other assets................... (3.0) ----- 100.0% ===== INTERMEDIATE GOVERNMENT BOND SERIES US Treasury Securities.......................... 67.6% US Government Agency Securities................. 27.6 Corporate Bonds and Notes....................... 16.4 Securities Lending Collateral................... 25.0 Repurchase Agreements........................... 2.4 Liabilities less other assets................... (39.0) ----- 100.0% ===== CORE BOND SERIES US Treasury Securities.......................... 27.3% US Government Agency Securities................. 43.3 Corporate Bonds and Notes....................... 34.7 Municipal Bonds................................. 0.1 Foreign Government Obligations.................. 3.0 Preferred Corporate Bonds and Notes............. 0.1 Short Term Commercial Paper..................... 0.7 Short Term US Treasury Securities............... 0.9 Securities Lending Collateral................... 21.6 Repurchase Agreements........................... 2.8 Securities Sold Short........................... (10.1) Liabilities less other assets................... (24.4) ----- 100.0% ===== BALANCED SERIES Common Stocks................................... 63.6% US Treasury Securities.......................... 9.0 US Government Agency Securities................. 16.1 BALANCED SERIES (CONTINUED) Corporate Bonds and Notes....................... 12.0% Municipal Bonds................................. 0.1 Foreign Government Obligations.................. 1.1 Short Term Commercial Paper..................... 0.2 Securities Lending Collateral................... 5.9 Repurchase Agreements........................... 2.1 Securities Sold Short........................... (3.5) Liabilities less other assets................... (6.6) ----- 100.0% ===== VALUE & INCOME SERIES Common Stocks................................... 97.4% Securities Lending Collateral................... 4.0 Repurchase Agreements........................... 2.5 Liabilities less other assets................... (3.9) ----- 100.0% ===== GROWTH & INCOME SERIES Common Stocks................................... 99.4% Securities Lending Collateral................... 7.5 Short Term US Treasury Securities............... 0.0 Repurchase Agreements........................... 0.6 Liabilities less other assets................... (7.5) ----- 100.0% ===== EQUITY GROWTH SERIES Common Stocks................................... 98.5% Warrants........................................ 0.0 Securities Lending Collateral................... 8.9 Repurchase Agreements........................... 1.8 Liabilities less other assets................... (9.2) ----- 100.0% ===== MID-CAP VALUE SERIES Common Stocks................................... 95.0% Securities Lending Collateral................... 14.1 Repurchase Agreements........................... 5.5 Liabilities less other assets................... (14.6) ----- 100.0% ===== MID-CAP GROWTH SERIES Common Stocks................................... 97.4% Securities Lending Collateral................... 24.0 Repurchase Agreements........................... 2.4 Liabilities less other assets................... (23.8) ----- 100.0% =====
See notes to financial statements. 144 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO COMPOSITION (CONTINUED) DECEMBER 31, 2004 The following charts summarize the portfolio composition of each Series by asset type. SMALL-CAP VALUE SERIES Common Stocks................................... 99.3% Securities Lending Collateral................... 12.8 Repurchase Agreements........................... 0.8 Liabilities less other assets................... (12.9) ----- 100.0% ===== SPECIAL EQUITY SERIES Common Stocks................................... 97.0% Securities Lending Collateral................... 13.9 Short Term US Treasury Securities............... 0.1 Repurchase Agreements........................... 2.1 Liabilities less other assets................... (13.1) ----- 100.0% ===== SMALL-CAP GROWTH SERIES Common Stocks................................... 98.3% Securities Lending Collateral................... 28.9 Repurchase Agreements........................... 1.8 Liabilities less other assets................... (29.0) ----- 100.0% ===== AGGRESSIVE EQUITY SERIES Common Stocks................................... 99.7% Securities Lending Collateral................... 10.6 Liabilities less other assets................... (10.3) ----- 100.0% ===== HIGH YIELD BOND SERIES Corporate Bonds and Notes....................... 91.5% Common Stocks................................... 0.8 Convertible Preferred Stocks.................... 1.0 Warrants........................................ 0.1 Convertible Bonds............................... 0.3 Repurchase Agreements........................... 4.6 Other assets less liabilities................... 1.7 ----- 100.0% ===== INTERNATIONAL EQUITY SERIES Common Stocks................................... 97.5% Securities Lending Collateral................... 9.1 Rights.......................................... 0.0 Repurchase Agreements........................... 1.1 Liabilities less other assets................... (7.7) ----- 100.0% =====
See notes to financial statements. 145 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. When valuations are not readily available, securities will be valued at their fair value as determined by the Board of Trustees. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. 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 calculation of net asset value when the investment advisor deems that the particular event or circumstance would materially affect its asset value. In accordance with procedures adopted by the Board of Trustees, the International Equity Series applies fair value pricing procedures on a daily basis for all non-U.S. and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Series' investment advisor determines that use of another valuation methodology is appropriate. 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. 146 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) C. FOREIGN CURRENCY TRANSLATION: The accounting records of each Series are maintained in US dollars. The market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated to US dollars based on the prevailing exchange rates each business day. Income, expenses, purchases and sales of investment securities denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. Each 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 each Series' books and the US 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 US dollar. As of December 31, 2004, the Series had outstanding foreign currency forward contracts as listed in Note 10. E. WRITTEN OPTIONS: Each Series, with the exception of the Money Market Series, may write options. When a Series writes an option, an amount equal to the premium received by the Series is included in the Series' Statement of Assets and Liabilities as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Series realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. As of December 31, 2004, none of the Series had written options contracts outstanding. 147 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Transactions in options written for the year ended December 31, 2004 were as follows:
CORE BOND BALANCED ------------------------- ---------------------- NUMBER OF NUMBER OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS ----------- ----------- ---------- --------- Call options outstanding at December 31, 2003......................................... -- $ -- -- $ -- Call options written........................... 11,600,175 186,032 1,200,016 18,065 Call options terminated in closing purchase transactions................................. (11,600,175) (186,032) (1,200,016) (18,065) Call options expired........................... -- -- -- -- ----------- ----------- ---------- --------- Call options outstanding at December 31, 2004......................................... -- $ -- -- $ -- =========== =========== ========== ========= Put options outstanding at December 31, 2003... 9,625,278 $ 444,723 1,050,030 $ 48,164 Put options written............................ 793 867,505 78 84,094 Put options terminated in closing purchase transactions................................. (9,626,071) (1,312,228) (1,050,108) (132,258) Put options expired............................ -- -- -- -- ----------- ----------- ---------- --------- Put options outstanding at December 31, 2004... -- $ -- -- $ -- =========== =========== ========== =========
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 market value caused by changes in prevailing market or interest rates. 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. Use of long futures contracts subjects the Series to risk of loss in excess of amounts shown on the Statement of Assets and Liabilities up to the notional value of the futures contracts. Use of short futures contracts subjects the Series to unlimited risk of loss. The Series may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Series' credit risk is limited to failure of the exchange or board of trade. 148 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Open futures contracts as of December 31, 2004:
VALUE AS OF NET UNREALIZED NUMBER OF EXPIRATION DECEMBER 31, APPRECIATION/ SERIES CONTRACTS DESCRIPTION DATE 2004 (DEPRECIATION) ------ ----------- -------------------- ---------- ------------ -------------- Core Bond.......... 283 Long US Long Bond Future March 2005 $ 31,837,500 $ 245,885 1,217 Short US Treasury Notes 5 Year Future March 2005 133,299,531 (62,542) 426 Short US Treasury Notes 10 Year Future March 2005 47,685,375 (108,564) --------- $ 74,779 ========= Balanced........... 79 Long US Long Bond Future March 2005 $ 8,887,500 $ 133,179 115 Short US Treasury Notes 5 Year Future March 2005 12,596,094 1,174 41 Short US Treasury Notes 10 Year Future March 2005 4,589,438 (8,911) --------- $ 125,442 ========= Growth & Income.... 10 Long S&P 500 Future March 2005 $ 606,875 $ 4,480 ========= Special Equity..... 8 Long Russell 2000 Future March 2005 $ 2,615,800 $ 39,935 =========
G. SHORT SALES: Each 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 Investment Company Act of 1940, as amended. 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 cannot exceed the total amount invested. During the year ended December 31, 2004, the 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' intention to comply with the applicable provisions of the Internal Revenue Code. Therefore, no federal income tax provision is required. 149 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) 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 less foreign taxes withheld, if any, 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. Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date. Interest income is not accrued until settlement date. 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. 3. FEES AND TRANSACTIONS WITH AFFILIATES Transamerica Financial Life Insurance Company, Inc. ("TFLIC"), 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, a financial services holding company whose primary emphasis is life and health insurance and annuity and investment products. AEGON is an indirect, wholly-owned subsidiary of AEGON N.V., a corporation based in The Netherlands which is a publicly traded international insurance group. TFLIC has sub-accounts which invest in the corresponding Series Portfolios as follows:
TFLIC SUB-ACCOUNT INVESTMENT IN PORTFOLIO ----------------- ----------------------- Money Market................................................ 10.42% High Quality Bond........................................... 13.82 Intermediate Government Bond................................ 22.14 Core Bond................................................... 11.07 Balanced.................................................... 35.80 Value & Income.............................................. 25.44 Growth & Income............................................. 26.24 Equity Growth............................................... 20.72 Mid-Cap Value............................................... 04.33 Mid-Cap Growth.............................................. 00.32 Small-Cap Value............................................. 00.04 Special Equity.............................................. 29.72
150 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED)
TFLIC SUB-ACCOUNT INVESTMENT IN PORTFOLIO ----------------- ----------------------- Small-Cap Growth............................................ 00.00% Aggressive Equity........................................... 24.39 High Yield Bond............................................. 08.89 International Equity........................................ 14.10
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 each 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. 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.................. GE Asset Management, Inc.* 0.25 0.05 High Quality Bond Series............. Merganser Capital Management LP 0.35 (2) Intermediate Government Bond Series............................. (3) 0.35(1) (4) Core Bond Series..................... BlackRock Advisors, Inc. 0.35 (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................ Columbus Circle Investors** 0.72(1) (15) Small-Cap Value Series............... Sterling Capital Management LLC 0.82(1) 0.50 Special Equity Series................ (16) 0.80 (17) Small-Cap Growth Series.............. Delaware Management Company 0.87(1) 0.50 Aggressive Equity Series............. Turner Investment Partners, Inc.*** 0.77(1)**** (18) High-Yield Bond Series............... Eaton Vance Management 0.55(1) (19) International Equity Series.......... (20) 0.75 (21)
--------------- * Effective June 18, 2004, GE Asset Management, Inc. replaced Capital Management Group. ** Effective August 27, 2004, Columbus Circle Investors replaced Dresdner RCM Global Investors LLC. *** Effective September 21, 2004, Turner Investment Partners, Inc. replaced McKinley Capital Management, Inc. **** For the period January 1, 2004 to September 23, 2004, the Advisor fee was 0.97%. (1) The Advisor is currently voluntarily waiving a portion of its fee. 151 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) (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. During the year ended December 31, 2004, the Intermediate Government Bond Series executed $370,672 of purchase transactions and $1,696,416 of sales transactions through Stephens Inc., an affiliate of the Portfolio's subadvisor. Commissions paid for such transactions amounted to $625. (4) 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. 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 0.15% 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. BlackRock 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. During the year ended December 31, 2004, the Value & Income Series executed $520,246,721 of purchase transactions and $430,265,555 of sales transactions through Sanford C. Bernstein & Co. LLC, an affiliate of Alliance Capital Management LP and AllianceBernstein. Commissions paid for such transactions amounted to $1,356,078. (9) 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, 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 three subadvisors: Effective May 4, 2004, Ark Asset Management Company, Inc., Goldman Sachs Asset Management, LP and Aronson + Johnson + Ortiz, LP replaced Aeltus Investment Management, Inc. and Credit Suisse Asset Management. During the year ended December 31, 2004, the Growth & Income Series executed $43,672,966 of purchase transactions and $45,413,667 of sales transactions through Goldman Sachs Company, an affiliate of Goldman Sachs Asset Management, LP. Commissions paid for such transactions amounted to $49,542. During the year ended December 31, 2004, the Growth & Income Series executed $91,609 of purchase transactions and $3,955,539 of sales transactions through Spear, Leeds & Kellogg, an affiliate of Goldman Sachs Asset Management, LP. Commissions paid for such transactions amounted to $2,018. 152 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) During the year ended December 31, 2004, the Growth & Income Series executed $121,045 of purchase transactions through Wave Securities LLC, an affiliate of Goldman Sachs Asset Management, LP. Commissions paid for such transactions amounted to $65. (11) For the period January 1, 2004 to May 4, 2004, 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. For the period January 1, 2004 to May 4, 2004, 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. For the period May 5, 2004 to December 31, 2004, Ark Asset Management, Inc. received 0.20% on the first $750,000,000 in average daily net assets, 0.18% on the next $250,000,000 in average daily net assets and 0.15% on all average daily net assets in excess of $1,000,000,000. For the period May 5, 2004 to December 31, 2004, Goldman Sachs Asset Management, LP received 0.14% on the first $500,000,000 in average daily net assets, 0.12% on the next $1,000,000,000 in average daily net assets and 0.10% on all average daily net assets in excess of $1,500,000,000. For the period May 5, 2004 to December 31, 2004, Aronson + Johnson + Ortiz, LP received 0.30% on the first $250,000,000 in average daily net assets, 0.20% on the next $250,000,000 in average daily net assets and 0.15% on all average daily net assets in excess of $500,000,000. If assets are less than $100,000,000, then Aronson + Johnson + Ortiz, LP will receive 0.55% on the first $50,000,000 in average daily net assets and 0.35% on all average daily net assets in excess of $50,000,000. (12) The Equity Growth Series has two subadvisors: Ark Asset Management Company, Inc. and Marsico Capital Management LLC. Effective September 22, 2004, the third subadvisor, Dresdner RCM Global Investors, LLC was terminated. During the year ended December 31, 2004, the Equity Growth Series executed $16,664,388 of purchase transactions and $3,417,211 of sales transactions through Bank of America International, an affiliate of Marsico Capital Management LLC. Commissions paid for such transactions amounted to $24,051. (13) For the period January 1, 2004 to September 23, 2004, 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 Company, Inc. received 0.20% of all average daily net assets. Marsico Capital Management LLC received 0.30% on the first $1,000,000,000 in average daily net assets and 0.25% on all average daily net assets in excess of $1,000,000,000. If assets are greater than $2,000,000,000, then Marsico Capital Management LLC will receive 0.27% on all average daily net assets. (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) For the period January 1, 2004 to August 26, 2004, Dresdner RCM Global Investors, LLC received 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. For the period August 27, 2004 to December 31, 2004, Columbus Circle Investors received 0.40% on the first $135,000,000 in average daily net assets and 0.35% on all average daily net assets in excess of $135,000,000. (16) The Special Equity Series has five subadvisors: EARNEST Partners, LLC, Wellington Management Company LLP, RS Investments Management LP, Seneca Capital Management LLC and INVESCO, Inc. Effective December 16, 2004, EARNEST Partners, LLC replaced Westport Asset Management, Inc. 153 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) (17) Wellington Management Company LLP 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. For the period January 1, 2004 to December 15, 2004, Westport Asset Management, Inc. received 0.50% of all average daily net assets. For the period December 16, 2004 to December 31, 2004, EARNEST Partners LLC received 0.50% of all average daily net assets. RS Investments Management LP 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) For the period January 1, 2004 to September 20, 2004, McKinley Capital Management, Inc. received 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. For the period September 21, 2004 to December 31, 2004, Turner Investment Partners, Inc. received 0.35% on the first $100,000,000 in average daily net assets, 0.30% on the next $200,000,000 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 $500,000,000. (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) The International Equity Series has two subadvisors: LSV Asset Management and Wellington Management Company LLP. Effective March 18, 2004, LSV Asset Management and Wellington Management Company LLP replaced Capital Guardian Trust Company. (21) For the period January 1, 2004 to March 17, 2004, Capital Guardian Trust Company received 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 was 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 period March 18, 2004 to December 31, 2004, LSV Asset Management received 0.45% on the first $100,000,000 in average daily net assets, 0.40% on the next $100,000,000 in average daily net assets, 0.37% on the next $400,000,000 in average daily net assets, 0.35% on the next $200,000,000 in average daily net assets and 0.33% on all average daily net assets in excess of $800,000,000. For the period March 18, 2004 to December 31, 2004, Wellington Management Company LLP received 0.375% on the first $400,000,000 in average daily net assets, 0.35% on the next $600,000,000 in average daily net assets and 0.325% on all average daily net assets in excess of $1,000,000,000. 154 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) For the year ended December 31, 2004, the Advisor has voluntarily undertaken to waive fees to the extent the expenses of a Series exceed 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.................................... 80 b.p.* High Yield Bond Series...................................... 60 b.p. International Equity Series................................. 90 b.p.
--------------- * For the period January 1, 2004 to September 23, 2004, the expense cap was 100 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, 2004 amounted to $66,087. 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 155 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 4. SECURITIES LENDING (CONTINUED) purchased with cash collateral received. At December 31, 2004, the Series loaned securities having market values as follows:
CASH COLLATERAL MARKET VALUE RECEIVED ------------ --------------- High Quality Bond Series.................................... $ 23,974,692 $ 24,475,000 Intermediate Government Bond Series......................... 62,908,746 64,248,067 Core Bond Series............................................ 349,712,770 357,709,666 Balanced Series............................................. 24,076,226 24,760,913 Value & Income Series....................................... 104,493,829 108,351,744 Growth & Income Series...................................... 81,557,775 85,014,118 Equity Growth Series........................................ 195,850,405 203,440,449 Mid-Cap Value Series........................................ 56,892,110 58,613,178 Mid-Cap Growth Series....................................... 48,526,678 50,393,267 Small-Cap Value Series...................................... 21,217,862 22,031,456 Special Equity Series....................................... 164,266,229 171,006,787 Small-Cap Growth Series..................................... 30,242,966 31,366,433 Aggressive Equity Series.................................... 40,844,573 42,298,930 International Equity Series................................. 120,660,011 127,122,222
The cash collateral received by each Series was pooled and at December 31, 2004 was invested in the following securities: Bank of America Corp., Floating Rate Note, 2.27%(1), 01/18/05 Bank of America Corp., Floating Rate Note, 2.26%(1), 02/15/05 Bank of Montreal, Time Deposit, 2.26%, 01/28/05 Bank of Nova Scotia, Time Deposit, 2.33%, 01/13/05 Bank of Nova Scotia, Time Deposit, 2.33%, 01/24/05 Bank of Nova Scotia, Time Deposit, 2.32%, 02/08/05 Barclays Global Investors Money Market Fund -- Institutional Shares BNP Paribas, Time Deposit, 2.30%, 02/01/05 BNP Paribas, Time Deposit, 2.30%, 02/23/05 Calyon, Time Deposit, 2.27%, 01/20/05 Calyon, Time Deposit, 2.34%, 02/02/05 Calyon, Time Deposit, 2.44%, 03/16/05 Canadian Imperial Bank of Commerce, Floating Rate Note, 2.02%(1), 11/04/05 Citigroup, Inc. Time Deposit, 2.06%, 01/25/05 Credit Suisse First Boston Corp., Floating Rate Note, 2.33%(1), 09/09/05 Den Danske Bank, Time Deposit, 2.26%, 01/20/05 Dexia Bank, Time Deposit, 2.04%, 01/21/05 Dreyfus Cash Management Plus Fund -- Institutional Shares Freddie Mac, US Government Agency Discount Note, 2.28%(2), 02/01/05 General Electric Capital Corp., Commercial Paper, 2.29%(2), 01/10/05 General Electric Capital Corp., Commercial Paper, 2.29%(2), 01/21/05 General Electric Capital Corp., Commercial Paper, 2.25%(2), 02/01/05 Goldman Sachs Financial Square Prime Obligations Fund -- Institutional Shares Goldman Sachs Group, Inc., Floating Rate Note, 2.33%(1), 01/27/05 Goldman Sachs Group, Inc., Floating Rate Note, 2.34%(1), 03/29/05 Harris Trust & Savings Bank, Time Deposit, 2.23%, 01/03/05
156 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 4. SECURITIES LENDING (CONTINUED) Lloyds TSB Bank, Time Deposit, 2.28%, 02/02/05 Merrill Lynch Premier Institutional Fund -- Institutional Shares Merrimac Cash Fund -- Premium Class Morgan Stanley, Floating Rate Commercial Paper, 2.39%(1), 06/05/05 Morgan Stanley, Floating Rate Commercial Paper, 2.39%(1), 07/19/05 Royal Bank of Canada, Time Deposit, 2.25%, 01/19/05 Royal Bank of Canada, Time Deposit, 2.26%, 02/01/05 Royal Bank of Scotland, Time Deposit, 2.01%, 01/20/05 Royal Bank of Scotland, Time Deposit, 2.02%, 01/21/05 Royal Bank of Scotland, Time Deposit, 2.27%, 02/02/05 Svenska Handelsbanken, New York, Time Deposit, 2.25%, 01/10/05 The Bear Stearns Companies, Inc., Floating Rate Note, 2.45%(1), 06/05/05 The Bear Stearns Companies, Inc., Floating Rate Note, 2.45%(1), 09/08/05 Toronto Dominion Bank, Time Deposit, 2.42%, 03/01/05 Wells Fargo Bank, Time Deposit, 2.32%, 01/14/05
--------------- (1) Variable rate security. The rate shown was in effect at December 31, 2004. (2) Represents yield to maturity at time of purchase. Information pertaining to the investment of the cash collateral is shown on the Series' Portfolio of Investments. 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, 2004 were as follows:
COST OF PROCEEDS PURCHASES FROM SALES --------------- --------------- High Quality Bond Series............... Government Obligations $ 126,006,380 $ 82,084,425 Other 301,487,334 230,905,553 Intermediate Government Bond Series.... Government Obligations 1,486,752,661 1,435,241,541 Other 50,028,213 90,558,517 Core Bond Series....................... Government Obligations 13,040,591,255 12,682,493,110 Other 972,266,984 1,000,006,684 Balanced Series........................ Government Obligations 1,155,881,776 1,128,940,993 Other 267,168,809 322,143,570 Value & Income Series.................. Other 1,266,327,595 1,026,332,876 Growth & Income Series................. Other 1,940,368,092 1,960,453,610 Equity Growth Series................... Other 2,768,331,582 2,600,896,047 Mid-Cap Value Series................... Other 534,084,070 414,858,245 Mid-Cap Growth Series.................. Other 426,921,301 406,458,366 Small-Cap Value Series................. Other 102,907,717 57,136,725 Special Equity Series.................. Other 1,278,890,895 1,444,778,369 Small-Cap Growth Series................ Other 94,631,660 78,461,609 Aggressive Equity Series............... Other 920,241,917 939,620,234 High Yield Bond Series................. Other 291,830,050 230,886,598 International Equity Series............ Other 2,132,546,125 1,952,609,860
157 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 6. LEGAL AND REGULATORY MATTERS 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 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 sale by the Value & Income Portfolio of approximately $10.3 million of the Notes on or about October 30, 2001 are in dispute. The Subject Portfolios joined other defendants in moving to dismiss all counts of the Complaint in 2004. The motion was heard in September 2004. As of February 15, 2005, no ruling had yet been issued. If the motion to dismiss is denied in whole or in part, the suit may proceed to the active discovery phase, but that has not yet occurred. The Subject Portfolios and their counsel have reviewed the Subject Portfolios' records concerning 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. Only limited formal discovery has taken place. The Subject Portfolios are not in a position to predict the likelihood that Enron would 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. SUBSEQUENT EVENTS Diversified Investors Securities Corp. ("DISC") is the distributor for each of the Series and a subsidiary of the Series Portfolio's investment advisor, Diversified Investment Advisors, Inc. ("DIA"). On February 18, 2005, DISC was notified by NASD staff that it had made a preliminary determination to recommend disciplinary action against DISC based on claims of alleged market timing activity in the Diversified Investors International Equity Fund and the Diversified Institutional International Equity Fund (collectively, the "International Equity Funds") between July 1, 2003 and October 31, 2003. NASD staff contends that DISC facilitated certain shareholders' trading in the International Equity Funds' in contravention of prospectus provisions that took effect on or about July 1, 2003, and otherwise violated NASD rules. NASD staff also has alleged that DISC violated certain record retention rules relating to email communications. Like many U.S. financial services companies, DISC and DIA have responded to requests for information from various governmental and self-regulatory agencies in connection with investigations related to mutual fund trading activities. DISC and DIA have cooperated fully with each request. Although it is not anticipated that these developments will have an adverse effect on the Series Portfolio, there can be no assurance at this time. 7. PROXY VOTING POLICIES AND PROCEDURES A description of the Series Portfolio's proxy voting policies and procedures is included in the Statement of Additional Information ("SAI"), which is available without charge, upon request: (i) by calling 1-800-755-5803; (ii) on the Series Portfolio's website at www.divinvest.com (Click on the icon for Sponsors, then click on the icon for Corporate, then click on Investments) or (iii) on the SEC's website at www.sec.gov. In addition, the Series is required to file Form N-PX, with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. The Series' filing for the twelve months ended 158 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 7. PROXY VOTING POLICIES AND PROCEDURES (CONTINUED) June 30, 2004, is available without charge, upon request: (i) by calling 1-800-755-5803; (ii) on the Series Portfolio's website at www.divinvest.com (Click on the icon for Sponsors, then click on the icon for Corporate, then click on Investments) or (iii) on the SEC's website at www.sec.gov. 8. QUARTERLY PORTFOLIOS The Series Portfolio will file its portfolios of investments for the first and third quarters (March 31 and September 30, respectively) with the SEC by May 30 and November 29, respectively, each year on Form N-Q. The Series Portfolio's Form N-Q is available on the SEC's website at www.sec.gov. You may also obtain a copy of Form N-Q without charge, upon request, by calling 1-800-755-5803. 9. CONCENTRATIONS AND INDEMNIFICATIONS The Series may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Series to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable US securities. As of December 31, 2004, the Mid-Cap Value Series and High Yield Bond Series invested approximately 15.80% and 13.75% of their respective portfolios in issuers outside the United States. As of December 31, 2004, substantially all of the International Equity Series' net assets consist of securities of issuers denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. As of December 31, 2004, the International Equity Series invested approximately 20.85%, 16.40% and 10.71%, of its respective portfolio in issuers in Great Britain, Japan and France, respectively. 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. 10. FOREIGN CURRENCY FORWARD CONTRACTS At December 31, 2004, the Core Bond Series, Balanced Series, Special Equity Series, High Yield Bond Series, and International Equity Series had entered into foreign currency forward contracts which contractually obligate each portfolio to deliver/receive currency at specified future dates. The open contracts were as follows:
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AT APPRECIATION/ CURRENCY FOR DATE 12/31/04 (DEPRECIATION) ----------- ----------- ---------- ----------- -------------- CORE BOND PURCHASE CONTRACTS: Canadian Dollar................... 19,738,461 $16,644,498 01/28/05 $16,448,827 $ (195,671) Euro.............................. 40,463,982 53,755,712 01/25/05 54,915,406 1,159,694 Euro.............................. 17,384,374 23,344,102 01/25/05 23,593,080 248,978 Euro.............................. 980,608 1,313,612 01/25/05 1,330,825 17,213 Euro.............................. 13,590,811 17,506,324 01/25/05 18,444,673 938,349 Swedish Krona..................... 79,819,271 11,579,523 01/21/05 11,999,790 420,267 ----------- TOTAL............................. $ 2,588,830 ===========
159 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 10. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AT APPRECIATION/ CURRENCY FOR DATE 12/31/04 (DEPRECIATION) ----------- ----------- ---------- ----------- -------------- SALE CONTRACTS: Canadian Dollar................... 19,738,461 $16,087,290 01/28/05 $16,448,827 $ (361,537) Euro.............................. 64,849,038 81,729,243 01/25/05 88,009,413 (6,280,170) Euro.............................. 7,570,737 9,835,826 01/25/05 10,274,572 (438,746) New Mexico Peso................... 30,063,554 2,579,494 01/21/05 2,689,028 (109,534) New Zealand Dollar................ 16,867,397 11,722,841 01/27/05 12,136,357 (413,516) Swedish Krona..................... 79,819,271 10,987,912 01/21/05 11,999,790 (1,011,878) ----------- TOTAL............................. $(8,615,381) =========== BALANCED PURCHASE CONTRACTS: Canadian Dollar................... 1,827,900 $ 1,541,380 01/28/05 $ 1,523,260 $ (18,120) Euro.............................. 70,078 93,876 01/25/05 95,106 1,230 Euro.............................. 2,094,779 2,698,285 01/25/05 2,842,914 144,629 Euro.............................. 3,477,985 4,620,444 01/25/05 4,720,123 99,679 Euro.............................. 1,589,484 2,134,393 01/25/05 2,157,157 22,764 Swedish Krona..................... 6,772,401 982,484 01/21/05 1,018,143 35,659 ----------- TOTAL............................. $ 285,841 =========== SALE CONTRACTS: Canadian Dollar................... 1,827,900 $ 1,489,780 01/28/05 $ 1,523,260 $ (33,480) Euro.............................. 769,995 1,000,370 01/25/05 1,044,993 (44,623) Euro.............................. 6,220,145 7,839,249 01/25/05 8,441,626 (602,377) Euro.............................. 242,186 311,693 01/25/05 328,681 (16,988) New Mexico Peso................... 2,740,117 235,106 01/21/05 245,089 (9,983) New Zealand Dollar................ 1,561,772 1,085,431 01/27/05 1,123,719 (38,288) Swedish Krona..................... 6,772,401 932,288 01/21/05 1,018,143 (85,855) ----------- TOTAL............................. $ (831,594) =========== SPECIAL EQUITY SALE CONTRACTS: Canadian Dollar................... 164,436 $ 135,707 01/04/05 $ 137,195 $ (1,488) Canadian Dollar................... 97,784 81,209 01/05/05 81,580 (371) Canadian Dollar................... 382,062 318,226 01/06/05 318,736 (510) ----------- TOTAL............................. $ (2,369) =========== HIGH YIELD BOND SALE CONTRACTS: Euro.............................. 518,714 $ 699,922 01/31/05 $ 703,872 $ (3,950) =========== INTERNATIONAL EQUITY PURCHASE CONTRACTS: Canadian Dollar................... 932,087 $ 769,874 01/04/05 $ 777,672 $ 7,798 Canadian Dollar................... 16,380 13,601 01/04/05 13,666 65 Euro.............................. 2,037,416 2,770,885 01/03/05 2,766,403 (4,482) Euro.............................. 420,602 570,982 01/03/05 571,093 111 Euro.............................. 1,463,482 1,996,043 01/04/05 1,987,116 (8,927) Japanese Yen...................... 173,404,693 1,683,933 01/04/05 1,689,775 5,842 Japanese Yen...................... 192,278,458 1,850,932 01/05/05 1,873,753 22,821 Japanese Yen...................... 84,680,966 817,518 01/06/05 825,242 7,724 ----------- TOTAL............................. $ 30,952 ===========
160 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 10. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AT APPRECIATION/ CURRENCY FOR DATE 12/31/04 (DEPRECIATION) ----------- ----------- ---------- ----------- -------------- SALE CONTRACTS: Canadian Dollar................... 658,479 $ 546,864 01/05/05 $ 549,364 $ (2,500) Euro.............................. 3,422,841 4,676,662 01/04/05 4,647,534 29,128 Euro.............................. 537,956 735,020 01/05/05 730,419 4,601 Euro.............................. 394,811 538,088 01/05/05 536,062 2,026 Euro.............................. 112,829 124,056 12/29/05 151,972 (27,916) Great British Pound............... 205,973 394,488 01/04/05 395,469 (981) Great British Pound............... 2,779,462 5,349,798 01/05/05 5,336,233 13,565 Great British Pound............... 40,483 78,112 01/06/05 77,717 395 Hong Kong Dollar.................. 3,356,710 431,870 01/04/05 431,887 (17) Swedish Krona..................... 1,164,500 176,066 01/05/05 175,215 851 Swiss Franc....................... 646,946 571,128 01/04/05 568,943 2,185 ----------- TOTAL............................. $ 21,337 ===========
161 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- NET INVESTMENT FOR THE NET EXPENSES NET INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED NET EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- ------------ --------------- -------------- --------------- --------- -------------- ------ MONEY MARKET 12/31/2004 0.28% 0.28% 1.17% 1.17% N/A $ 809,352,385 1.17% 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 HIGH QUALITY BOND 12/31/2004 0.38 0.38 2.96 2.96 48% 690,594,378 1.48 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 INTERMEDIATE GOVERNMENT BOND 12/31/2004 0.42 0.40 2.46 2.48 554 256,502,651 1.59 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 CORE BOND 12/31/2004 0.39 0.39 3.62 3.62 885 1,655,367,885 4.65 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 BALANCED 12/31/2004 0.52 0.50 2.19 2.21 338 419,726,689 8.31 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
--------------- * Annualized. (1) Commencement of Operations, April 27, 2001. (2) Commencement of Operations, April 15, 2002. 162 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- NET INVESTMENT FOR THE NET EXPENSES NET INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED NET EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- ------------ --------------- -------------- --------------- --------- -------------- ------ VALUE & INCOME 12/31/2004 0.48% 0.48% 1.79% 1.79% 44% $2,705,463,322 12.91% 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 GROWTH & INCOME 12/31/2004 0.64 0.64 1.22 1.22 184 1,135,948,434 10.79 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 EQUITY GROWTH 12/31/2004 0.65 0.65 0.68 0.68 129 2,290,559,947 7.75 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 MID-CAP VALUE 12/31/2004 0.71 0.70 0.78 0.79 147 414,710,679 25.47 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 12/31/2004 0.79 0.75 (0.33) (0.29) 223 210,100,872 15.38 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 12/31/2004 0.89 0.85 0.27 0.31 42 172,735,949 21.75 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)
--------------- * Annualized. (1) Commencement of Operations, April 27, 2001. (2) Commencement of Operations, April 15, 2002. 163 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- NET INVESTMENT FOR THE NET EXPENSES NET INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED NET EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- ------------ --------------- -------------- --------------- --------- -------------- ------ SPECIAL EQUITY 12/31/2004 0.84% 0.84% 0.15% 0.15% 103% $1,227,530,742 12.63% 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 SMALL-CAP GROWTH 12/31/2004 0.97 0.90 (0.58) (0.51) 84 108,429,152 11.94 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 12/31/2004 0.95 0.94 (0.49) (0.48) 252 397,726,867 12.14 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 HIGH YIELD BOND 12/31/2004 0.60 0.60 8.06 8.06 80 351,772,536 10.32 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 INTERNATIONAL EQUITY 12/31/2004 0.87 0.87 1.85 1.85 171 1,401,617,944 19.66 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
--------------- * Annualized. (1) Commencement of Operations, April 27, 2001. (2) Commencement of Operations, April 15, 2002. 164 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 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, 2004, 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 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 22, 2005 165 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 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, 39................. Treasurer since 2001 Vice President and Director, Diversified Investment Advisors, Inc. Robert F. Colby, 49.................... 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 Transamerica Financial Life Insurance Company, Inc. Peter G. Kunkel, 54.................... Trustee since 2002 Senior Vice President, Chief Operating Officer, Diversified Investment Advisors, Inc. Suzanne Montemurro, 40................. Assistant Treasurer Director, Diversified Investment since 2002 Advisors, Inc. Mark Mullin, 42........................ President since 2002 President, Chairman of the Board, Trustee since 1995 Chief Executive Officer, Vice President, Chief Investment Officer, Diversified Investment Advisors, Inc.
166 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, 70..................... Trustee since 1993 Consultant; Independent Trustee, 355 Thornridge Drive EAI Select (a registered investment Stamford, CT 06903 company) Robert Lester Lindsay, 70.............. Trustee since 1993 Retired 2 Huguenot Center Tenafly, NJ 07670 Eugene M. Mannella, 51................. Trustee since 1993 President, Investment Management 2 Orchard Neck Road Services, Inc. Center Moriches, NY 11934 Joyce Galpern Norden, 65............... Trustee since 1993 Vice President, Institutional 505 Redleaf Road Advancement, Reconstructionist Wynnewood, PA 19096 Rabbinical College Patricia L. Sawyer, 54................. 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
167 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 (2/05) 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 2004 and 2003 were $14,100 and $13,500, respectively. (b) AUDIT RELATED FEE. - No such fees were billed by PWC for 2004 or 2003. (c) TAX FEES. - No such fees were billed by PWC for 2004 or 2003. (d) ALL OTHER FEES - No such fees were billed by PWC for 2004 or 2003. (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 2004 and 2003, were $200,500 and $173,000, respectively. The fees rendered were in connection with the examination of DIA's record-keeping operations and (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 2004 and 2003 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. SCHEDULE OF INVESTMENTS. Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. None. ITEM 11. 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 12. Exhibits. (a) (1) Code of Ethics, attached. (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. (a) (3) Not applicable. (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 1, 2005 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 1, 2005 By /s/ Joseph Carusone Joseph Carusone Principal Financial Officer Date March 1, 2005