N-CSRS 1 y10275nvcsrs.txt FORM N-CSRS 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 Diversified Investors Strategic Variable Funds ---------------------------------------------- (Exact name of Registrant as specified in charter) Address of Registrant: 4 Manhattanville Road ---------------------------------------------- Purchase, NY 10577 ---------------------------------------------- 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, 2005 ----------------- Date of reporting period: June 30, 2005 ------------- ITEM 1. REPORTS TO STOCKHOLDERS. DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS DIVERSIFIED INVESTORS VARIABLE FUNDS DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS SEMI-ANNUAL REPORT June 30, 2005 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 -- June 30, 2005........ 10 Statements of Changes in Net Assets -- December 31, 2004.... 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 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS: An Explanation of Fund Expenses............................. 26 Statements of Assets and Liabilities........................ 27 Statements of Operations.................................... 28 Statements of Changes in Net Assets -- June 30, 2005........ 29 Statements of Changes in Net Assets -- December 31, 2004.... 30 PORTFOLIOS OF INVESTMENTS: Short Horizon Strategic Variable Fund..................... 31 Intermediate Horizon Strategic Variable Fund.............. 32 Intermediate Long Horizon Strategic Variable Fund......... 33 Portfolio Composition....................................... 34 Notes to Financial Statements............................... 35 Approval of Investment Advisory Contracts................... 41 DIVERSIFIED INVESTORS PORTFOLIOS: Economic Overview........................................... 44 Statements of Assets and Liabilities........................ 52 Statements of Operations.................................... 56 Statements of Changes in Net Assets -- June 30, 2005........ 60 Statements of Changes in Net Assets -- December 31, 2004.... 64 PORTFOLIOS OF INVESTMENTS: Money Market Portfolio.................................... 66 High Quality Bond Portfolio............................... 68 Intermediate Government Bond Portfolio.................... 76 Core Bond Portfolio....................................... 78 Total Return Bond Portfolio............................... 94 Balanced Portfolio........................................ 98 Value & Income Portfolio.................................. 109 Value Portfolio........................................... 112 Growth & Income Portfolio................................. 114 Equity Growth Portfolio................................... 120 Mid-Cap Value Portfolio................................... 123 Mid-Cap Growth Portfolio.................................. 127 Small-Cap Value Portfolio................................. 129 Special Equity Portfolio.................................. 131 Small-Cap Growth Portfolio................................ 143 Aggressive Equity Portfolio............................... 145 High Yield Bond Portfolio................................. 147 International Equity Portfolio............................ 157 Summary of Footnotes and Abbreviations to Portfolios........ 162 Portfolio Composition....................................... 163 Notes to Financial Statements............................... 165 Approval of Investment Advisory Contracts................... 185 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 (a "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 (such as distribution fees, administrative fees, and other expenses). 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 January 1, 2005 - June 30, 2005. 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 January 1, 2005 - June 30, 2005 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 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 January 1, 2005 - Expense MONEY MARKET January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,007.90 $5.53 1.11% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,019.29 $5.56 1.11% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense HIGH QUALITY BOND January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,006.30 $7.37 1.48% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.45 $7.41 1.48% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense INTERMEDIATE GOVERNMENT BOND January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,010.50 $7.48 1.50% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.36 $7.50 1.50% 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 January 1, 2005 - Expense CORE BOND January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,016.10 $7.42 1.49% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,017.43 $7.43 1.49% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense BALANCED January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,004.40 $7.95 1.60% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.86 $8.00 1.60% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense VALUE & INCOME January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,003.80 $7.84 1.58% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.97 $7.89 1.58% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense GROWTH & INCOME January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $993.00 $8.56 1.73% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.20 $8.66 1.73% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense EQUITY GROWTH January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $978.20 $8.57 1.75% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.13 $8.73 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 January 1, 2005 - Expense SPECIAL EQUITY January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,020.70 $9.71 1.94% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,015.18 $9.69 1.94% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense AGGRESSIVE EQUITY January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $967.60 $9.27 1.90% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,015.37 $9.50 1.90% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense HIGH YIELD BOND January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,000.00 $8.42 1.70% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,016.38 $8.49 1.70% expenses) ----------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------- Expenses Paid Beginning Account Ending Account During the Period Annualized Value Value January 1, 2005 - Expense INTERNATIONAL EQUITY January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $967.20 $9.61 1.97% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,015.02 $9.85 1.97% 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 January 1, 2005 - Expense CALVERT SUBACCOUNT January 1, 2005 June 30, 2005 June 30, 2005(2) Ratio(2) ---------------------------------------------------------------------------------------------------------------- Actual $1,000 $1,010.00 $5.48 1.10% ---------------------------------------------------------------------------------------------------------------- Hypothetical (5% annual return before $1,000 $1,019.34 $5.51 1.10% expenses) ----------------------------------------------------------------------------------------------------------------
(1) These figures reflect the expenses of both the trust and its corresponding portfolio. (2) These figures do not include expenses incurred by the Calvert Social Balanced Portfolio. 5 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2005 (UNAUDITED)
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED ----------- ----------- ------------ ----------- ----------- ASSETS: Investment in the Portfolios, at value (Notes 1 and 2)................................................... $37,301,560 $23,555,326 $26,891,055 $62,293,929 $83,267,283 Receivable for units sold.............................. 104,224 20,322 15,346 37,404 52,385 ----------- ----------- ----------- ----------- ----------- Total assets........................................... 37,405,784 23,575,648 26,906,401 62,331,333 83,319,668 ----------- ----------- ----------- ----------- ----------- LIABILITIES: Payable for units redeemed............................. 88,292 87 9,885 3,637 56,695 Accrued mortality and expense risk..................... 25,343 21,171 24,321 55,724 75,512 ----------- ----------- ----------- ----------- ----------- Total liabilities...................................... 113,635 21,258 34,206 59,361 132,207 ----------- ----------- ----------- ----------- ----------- NET ASSETS ATTRIBUTABLE TO ANNUITY CONTRACTHOLDERS..... $37,292,149 $23,554,390 $26,872,195 $62,271,972 $83,187,461 =========== =========== =========== =========== =========== ACCUMULATION UNITS..................................... 1,956,534 1,629,095 1,327,545 2,016,930 2,292,453 =========== =========== =========== =========== =========== UNIT VALUE............................................. $ 19.06 $ 14.46 $ 20.24 $ 30.87 $ 36.29 =========== =========== =========== =========== ===========
See notes to financial statements. 6
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY BOND EQUITY ------------ ------------ ------------ ------------ ----------- ---------- ------------- $340,840,536 $132,476,820 $208,256,602 $115,492,597 $55,007,400 $3,963,462 $70,401,583 140,800 88,055 128,242 62,711 33,670 66 37,367 ------------ ------------ ------------ ------------ ----------- ---------- ----------- 340,981,336 132,564,875 208,384,844 115,555,308 55,041,070 3,963,528 70,438,950 ------------ ------------ ------------ ------------ ----------- ---------- ----------- 120,508 61,797 83,376 14,689 39,588 -- 47,017 309,137 120,135 190,202 102,907 50,138 3,581 63,284 ------------ ------------ ------------ ------------ ----------- ---------- ----------- 429,645 181,932 273,578 117,596 89,726 3,581 110,301 ------------ ------------ ------------ ------------ ----------- ---------- ----------- $340,551,691 $132,382,943 $208,111,266 $115,437,712 $54,951,344 $3,959,947 $70,328,649 ============ ============ ============ ============ =========== ========== =========== 6,742,083 5,516,842 4,556,175 3,487,622 3,915,412 238,910 3,781,240 ============ ============ ============ ============ =========== ========== =========== $ 50.51 $ 24.00 $ 45.68 $ 33.10 $ 14.03 $ 16.58 $ 18.60 ============ ============ ============ ============ =========== ========== ===========
7 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED -------- ------------ ------------ ---------- ----------- INVESTMENT INCOME ALLOCATED FROM PORTFOLIOS (NOTE 2): Interest income.......................................... $505,052 $ 422,644 $485,598 $1,283,257 $ 665,472 Securities lending income (net).......................... -- 301 5,177 4,417 2,377 Dividend income.......................................... -- -- -- -- 455,757 Expenses................................................. (51,090) (44,663) (55,072) (117,237) (209,907) -------- --------- -------- ---------- ----------- Net investment income (loss) allocated from Portfolios... 453,962 378,282 435,703 1,170,437 913,699 -------- --------- -------- ---------- ----------- EXPENSES (NOTE 4): Mortality and expense risk............................... 204,704 128,730 151,372 334,682 461,588 Less expenses reimbursed by TFLIC........................ (49,228) -- -- -- -- -------- --------- -------- ---------- ----------- Net expenses............................................. 155,476 128,730 151,372 334,682 461,588 -------- --------- -------- ---------- ----------- NET INVESTMENT INCOME (LOSS)............................. 298,486 249,552 284,331 835,755 452,111 -------- --------- -------- ---------- ----------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) allocated from Portfolios on: Securities............................................. 21 (29,857) (52,219) 126,685 3,721,666 Futures, written and purchased options and short sales................................................ -- -- -- (225,892) 89,439 Foreign currency transactions.......................... -- -- -- 22,064 (109,123) Change in net unrealized appreciation (depreciation) allocated from Portfolios on: Securities............................................. -- (81,780) 44,036 18,047 (3,950,581) Futures, written and purchased options and short sales................................................ -- -- -- (34,869) (45,863) Foreign currency translations.......................... -- -- -- 257,785 181,613 -------- --------- -------- ---------- ----------- Net realized and unrealized gains (losses) on investments............................................ 21 (111,637) (8,183) 163,820 (112,849) -------- --------- -------- ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................. $298,507 $ 137,915 $276,148 $ 999,575 $ 339,262 ======== ========= ======== ========== ===========
See notes to financial statements. 8
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INCOME INCOME GROWTH EQUITY EQUITY BOND --------------- ------------- ------------- ------------- ------------- ------------- $ 124,139 $ 18,218 $ 72,602 $ 45,636 $ 8,483 $ 167,419 49,389 8,156 9,559 27,063 5,391 -- 2,948,250 980,010 982,101 463,267 144,715 996 (805,353) (416,698) (671,530) (464,394) (218,921) (12,197) ------------ ----------- ----------- ----------- ----------- --------- 2,316,425 589,686 392,732 71,572 (60,332) 156,218 ------------ ----------- ----------- ----------- ----------- --------- 1,854,536 724,144 1,142,908 609,252 300,814 22,456 -- -- -- -- -- -- ------------ ----------- ----------- ----------- ----------- --------- 1,854,536 724,144 1,142,908 609,252 300,814 22,456 ------------ ----------- ----------- ----------- ----------- --------- 461,889 (134,458) (750,176) (537,680) (361,146) 133,762 ------------ ----------- ----------- ----------- ----------- --------- 20,459,785 2,668,856 2,537,993 7,138,489 994,805 16,732 -- (1,270) -- (8,491) -- -- -- (23) -- (33) -- 861 (19,672,411) (3,594,936) (6,860,531) (4,374,807) (2,582,983) (145,901) -- (6,258) -- 3,680 -- -- -- -- (8) 12 -- 7 ------------ ----------- ----------- ----------- ----------- --------- 787,374 (933,631) (4,322,546) 2,758,850 (1,588,178) (128,301) ------------ ----------- ----------- ----------- ----------- --------- $ 1,249,263 $(1,068,089) $(5,072,722) $ 2,221,170 $(1,949,324) $ 5,461 ============ =========== =========== =========== =========== ========= INTERNATIONAL EQUITY ------------- $ 13,421 43,501 1,356,324 (308,467) ----------- 1,104,779 ----------- 389,543 -- ----------- 389,543 ----------- 715,236 ----------- 1,112,279 -- (30,095) (4,167,147) -- (18,428) ----------- (3,103,391) ----------- $(2,388,155) ===========
9 DIVERSIFIED INVESTORS VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND CORE BOND BALANCED ------------ ----------- ------------ ----------- ------------ FROM OPERATIONS: Net investment income (loss)......................... $ 298,486 $ 249,552 $ 284,331 $ 835,755 $ 452,111 Net realized gains (losses) allocated from Portfolios on: Securities......................................... 21 (29,857) (52,219) 126,685 3,721,666 Futures, written and purchased options and short sales............................................ -- -- -- (225,892) 89,439 Foreign currency transactions...................... -- -- -- 22,064 (109,123) Change in net unrealized appreciation (depreciation) allocated from Portfolios on: Securities......................................... -- (81,780) 44,036 18,047 (3,950,581) Futures, written and purchased options and short sales............................................ -- -- -- (34,869) (45,863) Foreign currency translations...................... -- -- -- 257,785 181,613 ------------ ----------- ----------- ----------- ------------ Net increase (decrease) in net assets resulting from operations......................................... 298,507 137,915 276,148 999,575 339,262 ------------ ----------- ----------- ----------- ------------ FROM UNIT TRANSACTIONS (NOTE 5): Units sold........................................... 21,307,634 1,876,396 2,581,014 4,613,008 5,472,720 Units redeemed....................................... (24,571,877) (2,875,408) (5,393,724) (5,190,336) (11,202,686) ------------ ----------- ----------- ----------- ------------ Net increase (decrease) in net assets resulting from unit transactions.................................. (3,264,243) (999,012) (2,812,710) (577,328) (5,729,966) ------------ ----------- ----------- ----------- ------------ Total increase (decrease) in net assets.............. (2,965,736) (861,097) (2,536,562) 422,247 (5,390,704) NET ASSETS: Beginning of period.................................. 40,257,885 24,415,487 29,408,757 61,849,725 88,578,165 ------------ ----------- ----------- ----------- ------------ End of period........................................ $ 37,292,149 $23,554,390 $26,872,195 $62,271,972 $ 83,187,461 ============ =========== =========== =========== ============ Units outstanding beginning of period................ 2,129,128 1,698,725 1,467,906 2,036,065 2,451,834 Units sold........................................... 1,123,189 130,553 128,930 151,237 152,999 Units redeemed....................................... (1,295,783) (200,183) (269,291) (170,372) (312,380) ------------ ----------- ----------- ----------- ------------ Units outstanding end of period...................... 1,956,534 1,629,095 1,327,545 2,016,930 2,292,453 ============ =========== =========== =========== ============
See notes to financial statements. 10
VALUE & GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL INCOME INCOME GROWTH EQUITY EQUITY BOND EQUITY ------------ ------------ ------------ ------------ ----------- ---------- ------------- $ 461,889 $ (134,458) $ (750,176) $ (537,680) $ (361,146) $ 133,762 $ 715,236 20,459,785 2,668,856 2,537,993 7,138,489 994,805 16,732 1,112,279 -- (1,270) -- (8,491) -- -- -- -- (23) -- (33) -- 861 (30,095) (19,672,411) (3,594,936) (6,860,531) (4,374,807) (2,582,983) (145,901) (4,167,147) -- (6,258) -- 3,680 -- -- -- -- -- (8) 12 -- 7 (18,428) ------------ ------------ ------------ ------------ ----------- ---------- ----------- 1,249,263 (1,068,089) (5,072,722) 2,221,170 (1,949,324) 5,461 (2,388,155) ------------ ------------ ------------ ------------ ----------- ---------- ----------- 19,054,858 10,254,238 10,369,124 9,903,596 5,364,581 221,717 6,555,063 (27,041,838) (15,549,841) (20,609,915) (14,001,970) (7,802,197) (856,741) (7,626,719) ------------ ------------ ------------ ------------ ----------- ---------- ----------- (7,986,980) (5,295,603) (10,240,791) (4,098,374) (2,437,616) (635,024) (1,071,656) ------------ ------------ ------------ ------------ ----------- ---------- ----------- (6,737,717) (6,363,692) (15,313,513) (1,877,204) (4,386,940) (629,563) (3,459,811) 347,289,408 138,746,635 223,424,779 117,314,916 59,338,284 4,589,510 73,788,460 ------------ ------------ ------------ ------------ ----------- ---------- ----------- $340,551,691 $132,382,943 $208,111,266 $115,437,712 $54,951,344 $3,959,947 $70,328,649 ============ ============ ============ ============ =========== ========== =========== 6,901,393 5,739,439 4,783,781 3,617,451 4,092,218 276,841 3,836,891 382,014 434,798 231,217 314,544 390,541 13,440 349,773 (541,324) (657,395) (458,823) (444,373) (567,347) (51,371) (405,424) ------------ ------------ ------------ ------------ ----------- ---------- ----------- 6,742,083 5,516,842 4,556,175 3,487,622 3,915,412 238,910 3,781,240 ============ ============ ============ ============ =========== ========== ===========
11 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. 12
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 ============ ============ ============ ============ ============ ========== ============
13 DIVERSIFIED INVESTORS VARIABLE FUNDS CALVERT SUBACCOUNT STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2005 (UNAUDITED) ASSETS: Investments, at cost........................................ $41,468,955 =========== Investments, at value (Note 6).............................. $40,551,439 Receivable for units sold................................... 38,343 ----------- Total assets................................................ 40,589,782 ----------- LIABILITIES: Payable for units redeemed.................................. 4,510 Payable for securities purchased............................ 33,833 Accrued mortality and expense risk.......................... 36,595 ----------- Total liabilities........................................... 74,938 ----------- NET ASSETS ATTRIBUTABLE TO ANNUITY CONTRACTHOLDERS.......... $40,514,844 =========== ACCUMULATION UNITS.......................................... 1,439,176 =========== UNIT VALUE.................................................. $ 28.15 ===========
See notes to financial statements. 14 DIVERSIFIED INVESTORS VARIABLE FUNDS CALVERT SUBACCOUNT STATEMENT OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED) INVESTMENT INCOME (NOTE 2): Dividend income............................................. $ -- --------- EXPENSES (NOTE 4): Mortality and expense risk.................................. 218,403 --------- NET INVESTMENT INCOME (LOSS)................................ (218,403) --------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) on securities................... (150,485) Change in net unrealized appreciation (depreciation) on securities................................................ 770,673 --------- Net realized and unrealized gains (losses) on investments... 620,188 --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 401,785 =========
See notes to financial statements. 15 DIVERSIFIED INVESTORS VARIABLE FUNDS CALVERT SUBACCOUNT STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2005 FOR THE YEAR ENDED (UNAUDITED) DECEMBER 31, 2004 -------------------- ------------------ FROM OPERATIONS: Net investment income (loss)............................... $ (218,403) $ 245,178 Net realized gains (losses) on securities.................. (150,485) (388,818) Change in net unrealized appreciation (depreciation) on securities............................................... 770,673 2,802,137 ----------- ----------- Net increase (decrease) in net assets resulting from operations............................................... 401,785 2,658,497 ----------- ----------- FROM UNIT TRANSACTIONS (NOTE 5): Units sold................................................. 3,422,882 7,151,803 Units redeemed............................................. (3,654,436) (6,011,153) ----------- ----------- Net increase (decrease) in net assets resulting from unit transactions............................................. (231,554) 1,140,650 ----------- ----------- Total increase (decrease) in net assets.................... 170,231 3,799,147 NET ASSETS: Beginning of period/year................................... 40,344,613 36,545,466 ----------- ----------- End of period/year......................................... $40,514,844 $40,344,613 =========== =========== Units outstanding beginning of period/year................. 1,447,441 1,403,970 Units sold................................................. 123,652 270,209 Units redeemed............................................. (131,917) (226,738) ----------- ----------- Units outstanding end of period/year....................... 1,439,176 1,447,441 =========== ===========
See notes to financial statements. 16 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 NV, 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 June 30, 2005, each of the DIVF subaccounts' investment in the corresponding Portfolios was as follows:
PERCENTAGE INVESTMENT SUBACCOUNT IN PORTFOLIO ---------- --------------------- Money Market................................................ 4.20 High Quality Bond........................................... 3.14 Intermediate Government Bond................................ 11.52 Core Bond................................................... 3.33 Balanced.................................................... 20.40 Value & Income.............................................. 12.07 Growth & Income............................................. 12.11 Equity Growth............................................... 9.00 Special Equity.............................................. 9.23 Aggressive Equity........................................... 14.95 High Yield Bond............................................. 1.06 International Equity........................................ 4.89
For information regarding each Portfolio's investments, please refer to the Portfolio Composition section of the Portfolios' financial statements, which accompanies 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 the 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) (UNAUDITED) 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 $1,383,492 and $1,834,138 respectively. The U.S. federal income tax basis of DIVF's investment in the Calvert subaccount at June 30, 2005, was $41,468,955 and net unrealized depreciation for US federal income tax purposes was $917,516 (gross unrealized depreciation was $917,516). 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 had elected to voluntarily waive a portion of its fees to maintain a positive yield in the Money Market Subaccount. Subsequent to June 30, 2005, TFLIC terminated this waiver. 18 DIVERSIFIED INVESTORS VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 six months ended June 30, 2005 or for the year ended December 31, 2004. 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 June 30, 2005, it holds 21,331,635 shares with a market value of $40,551,439. 7. LEGAL AND REGULATORY MATTERS 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 (the "International Equity Fund") between July 1, 2003 and October 31, 2003. NASD staff contends that DISC facilitated certain shareholders' trading in the International Equity Fund 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. DISC and DIA are continuing to provide information to the NASD and have also 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 period/year:
INCOME (LOSS) FROM INVESTMENT OPERATIONS ---------------------------- NET NET REALIZED TOTAL INCOME UNIT VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM UNIT VALUE, BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF FOR THE PERIOD/YEAR ENDED PERIOD/YEAR (LOSS)(A) ON INVESTMENTS OPERATIONS PERIOD/YEAR ------------------------- ------------ ---------- -------------- ------------- ----------- MONEY MARKET 06/30/2005(1) $18.91 $0.15 $ 0.00(c) $ 0.15 $19.06 12/31/2004 18.84 0.06 0.01 0.07 18.91 12/31/2003 18.81 0.03 (0.00)(c) 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)(c) 0.93 18.11 HIGH QUALITY BOND 06/30/2005(1) 14.37 0.15 (0.06) 0.09 14.46 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 06/30/2005(1) 20.03 0.21 (0.00)(c) 0.21 20.24 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 06/30/2005(1) 30.38 0.42 0.07 0.49 30.87 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 06/30/2005(1) 36.13 0.19 (0.03) 0.16 36.29 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
--------------- (a) Calculated based upon average units outstanding. (b) Portfolio turnover of the Portfolio or Calvert. (c) Amount rounds to less than one penny per share. (d) Reimbursement of fees occurs at the underlying Portfolio level. (e) Ratios exclude expenses incurred by the Calvert Social Balanced Portfolio. (1) Unaudited. * Annualized. 20
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- EXPENSES, NET NET INVESTMENT EXPENSES, INCLUDING EXPENSES NET ASSETS, INVESTMENT INCOME (LOSS) INCLUDING OF THE PORTFOLIO END OF TOTAL INCOME (NET OF EXPENSES OF (NET OF PORTFOLIO PERIOD/YEAR RETURN (LOSS) REIMBURSEMENTS) THE PORTFOLIO REIMBURSEMENTS) TURNOVER(B) ------------ ------- ---------- --------------- ------------- ------------------ ----------- $ 37,292,149 0.79% 1.34%* 1.60%* 1.37%* 1.11%* N/A 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 23,554,390 0.63 2.13* 2.13* 1.48* 1.48* 19% 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 26,872,195 1.05 2.07* 2.07* 1.50* 1.50(d)* 397 29,408,757 0.45 1.35 1.37 1.52 1.50(d) 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 62,271,972 1.61 2.75* 2.75* 1.49* 1.49* 571 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(d) 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 83,187,461 0.44 1.03* 1.08* 1.65* 1.60(d)* 252 88,578,165 7.12 1.09 1.11 1.62 1.60(d) 338 89,699,459 16.43 1.05 1.06 1.61 1.60(d) 377 79,573,766 (11.00) 1.53 1.55 1.62 1.60(d) 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 VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM UNIT VALUE, BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF FOR THE PERIOD/YEAR ENDED PERIOD/YEAR (LOSS)(A) ON INVESTMENTS OPERATIONS PERIOD/YEAR ------------------------- ------------ ---------- -------------- ------------- ----------- VALUE & INCOME 06/30/2005(1) $50.32 $ 0.07 $ 0.12 $ 0.19 $50.51 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 06/30/2005(1) 24.17 (0.02) (0.15) (0.17) 24.00 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 06/30/2005(1) 46.70 (0.16) (0.86) (1.02) 45.68 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 06/30/2005(1) 32.43 (0.15) 0.82 0.67 33.10 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
--------------- (a) Calculated based upon average units outstanding. (b) Portfolio turnover of the Portfolio or Calvert. (c) Amount rounds to less than one penny per share. (d) Reimbursement of fees occurs at the underlying Portfolio level. (e) Ratios exclude expenses incurred by the Calvert Social Balanced Portfolio. (1) Unaudited. * Annualized. 22
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- EXPENSES, NET NET INVESTMENT EXPENSES, INCLUDING EXPENSES NET ASSETS, INVESTMENT INCOME (LOSS) INCLUDING OF THE PORTFOLIO END OF TOTAL INCOME (NET OF EXPENSES OF (NET OF PORTFOLIO PERIOD/YEAR RETURN (LOSS) REIMBURSEMENTS) THE PORTFOLIO REIMBURSEMENTS) TURNOVER(B) ------------ ------ ---------- --------------- ------------- ------------------ ----------- $340,551,691 0.38% 0.27%* 0.27%* 1.58%* 1.58%* 73% 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 132,382,943 (0.70) (0.20)* (0.20)* 1.73* 1.73* 40 138,746,635 9.56 0.12 0.12 1.74 1.74 184 130,636,290 22.83 (0.08) (0.08) 1.73 1.73(d) 100 100,189,150 (23.44) (0.33) (0.32) 1.76 1.75(d) 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 208,111,266 (2.18) (0.72)* (0.72)* 1.75* 1.75* 41 223,424,779 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 115,437,712 2.07 (0.97)* (0.97)* 1.94* 1.94* 55 117,314,916 11.41 (0.95) (0.95) 1.94 1.94 103 105,781,184 42.42 (1.13) (1.13) 1.95 1.95(d) 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 VALUE, INVESTMENT AND UNREALIZED (LOSS) FROM UNIT VALUE, BEGINNING OF INCOME GAINS (LOSSES) INVESTMENT END OF FOR THE PERIOD/YEAR ENDED PERIOD/YEAR (LOSS)(A) ON INVESTMENTS OPERATIONS PERIOD/YEAR ------------------------- ------------ ---------- -------------- ------------- ----------- AGGRESSIVE EQUITY 06/30/2005(1) $14.50 $(0.09) $(0.38) $(0.47) $14.03 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 06/30/2005(1) 16.58 0.54 (0.54) -- 16.58 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 06/30/2005(1) 19.23 0.19 (0.82) (0.63) 18.60 12/31/2004 16.25 0.13 2.85 2.98 19.23 12/31/2003 12.30 0.00(c) 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 06/30/2005(1) 27.87 (0.15) 0.43 0.28 28.15 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
--------------- (a) Calculated based upon average units outstanding. (b) Portfolio turnover of the Portfolio or Calvert. (c) Amount rounds to less than one penny per share. (d) Reimbursement of fees occurs at the underlying Portfolio level. (e) Ratios exclude expenses incurred by the Calvert Social Balanced Portfolio. (1) Unaudited. * Annualized. 24
RATIOS TO AVERAGE NET ASSETS ----------------------------------------------------------------- EXPENSES, NET NET INVESTMENT EXPENSES, INCLUDING EXPENSES NET ASSETS, INVESTMENT INCOME (LOSS) INCLUDING OF THE PORTFOLIO END OF TOTAL INCOME (NET OF EXPENSES OF (NET OF PORTFOLIO PERIOD/YEAR RETURN (LOSS) REIMBURSEMENTS) THE PORTFOLIO REIMBURSEMENTS) TURNOVER(B) ----------- ------ ---------- --------------- ------------- ------------------ ----------- $54,951,344 (3.24)% (1.33)%* (1.32)%* 1.91%* 1.90%(d)* 98% 59,338,284 10.86 (1.59) (1.58) 2.06 2.05(d) 252 55,827,123 26.74 (1.72) (1.71) 2.11 2.10(d) 165 42,349,073 (27.38) (1.70) (1.69) 2.11 2.10(d) 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 3,959,947 0.00 6.55* 6.55* 1.70* 1.70(d)* 35 4,589,510 9.29 6.97 6.97 1.70 1.70(d) 80 4,091,738 26.52 8.02 8.03 1.71 1.70(d) 136 5,221,809 1.01 8.04 8.05 1.71 1.70(d) 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 70,328,649 (3.28) 2.02* 2.02* 1.97* 1.97* 48 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(d) 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 40,514,844 1.00 (1.10)* (1.10)* 1.10(e)* 1.10(e)* 3 40,344,613 7.07 0.65 0.65 1.10(e) 1.10(e) 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 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS AN EXPLANATION OF FUND EXPENSES (UNAUDITED) As a shareholder in an open-end management investment company (a "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 January 1, 2005 - June 30, 2005. 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 January 1, 2005 - June 30, 2005 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 January 1, 2005 - Expense SHORT HORIZON January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) Actual $1,000 $1,008.20 $1.00 0.20% Hypothetical $1,000 $1,023.80 $1.00 0.20% (5% annual return before expenses)
Expenses Paid Beginning Account Ending Account During the Period Annualized INTERMEDIATE Value Value January 1, 2005 - Expense HORIZON January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) Actual $1,000 $998.70 $0.99 0.20% Hypothetical $1,000 $1,023.80 $1.00 0.20% (5% annual return before expenses)
Expenses Paid INTERMEDIATE Beginning Account Ending Account During the Period Annualized LONG Value Value January 1, 2005 - Expense HORIZON January 1, 2005 June 30, 2005 June 30, 2005(1) Ratio(1) Actual $1,000 $994.40 $0.99 0.20% Hypothetical $1,000 $1,023.80 $1.00 0.20% (5% annual return before expenses)
--------------- (1) These figures exclude the fees and expenses of the underlying investments in DIVF. 26 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2005 (UNAUDITED)
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- ASSETS: Investments in affiliates, at cost....................... $ 9,211,143 $25,025,969 $35,944,666 =========== =========== =========== Investments in affiliates, at value (Notes 1 and 2)...... $10,333,801 $28,119,358 $40,601,275 Receivable for securities sold........................... -- -- 25,586 Receivable for units sold................................ 4,965 11,782 22,631 ----------- ----------- ----------- Total assets............................................. 10,338,766 28,131,140 40,649,492 ----------- ----------- ----------- LIABILITIES: Payable for securities purchased......................... 4,210 9,684 -- Payable for units redeemed............................... 755 2,098 48,217 Accrued investment advisory fees......................... 1,682 4,608 6,656 ----------- ----------- ----------- Total liabilities........................................ 6,647 16,390 54,873 ----------- ----------- ----------- NET ASSETS............................................... $10,332,119 $28,114,750 $40,594,619 =========== =========== =========== ACCUMULATION UNITS....................................... 698,225 1,816,036 2,541,520 =========== =========== =========== UNIT VALUE............................................... $ 14.80 $ 15.48 $ 15.97 =========== =========== =========== NET ASSETS CONSIST OF: Cost of accumulation units............................... $ 8,533,826 $23,328,088 $34,844,220 Undistributed (accumulated) net realized gains (losses)............................................... 765,492 1,975,486 1,461,140 Undistributed (accumulated) net investment income (loss)................................................. (89,857) (282,213) (367,350) Net unrealized appreciation (depreciation) on investments............................................ 1,122,658 3,093,389 4,656,609 ----------- ----------- ----------- NET ASSETS............................................... $10,332,119 $28,114,750 $40,594,619 =========== =========== ===========
See notes to financial statements. 27 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- INVESTMENT ADVISORY FEES (NOTE 3)........................ $(10,118) $(27,943) $ (39,638) -------- -------- --------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS IN AFFILIATES (NOTE 2): Net realized gains (losses) on investments in affiliates............................................. 54,471 5,190 6,555 Change in net unrealized appreciation (depreciation) on investments in affiliates.............................. 35,535 (12,994) (184,279) -------- -------- --------- Net realized and unrealized gains (losses) on investments in affiliates.......................................... 90,006 (7,804) (177,724) -------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................. $ 79,888 $(35,747) $(217,362) ======== ======== =========
See notes to financial statements. 28 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
SHORT INTERMEDIATE INTERMEDIATE HORIZON HORIZON LONG HORIZON STRATEGIC STRATEGIC STRATEGIC VARIABLE FUND VARIABLE FUND VARIABLE FUND ------------- ------------- ------------- FROM OPERATIONS: Investment advisory fees.............................. $ (10,118) $ (27,943) $ (39,638) Net realized gains (losses) on investments in affiliates.......................................... 54,471 5,190 6,555 Change in net unrealized appreciation (depreciation) on investments in affiliates........................ 35,535 (12,994) (184,279) ----------- ----------- ----------- Net increase (decrease) in net assets resulting from operations.......................................... 79,888 (35,747) (217,362) ----------- ----------- ----------- FROM UNIT TRANSACTIONS: Units sold............................................ 2,347,242 3,622,008 5,249,775 Units redeemed........................................ (2,286,310) (4,191,534) (4,560,267) ----------- ----------- ----------- Net increase (decrease) in net assets resulting from unit transactions................................... 60,932 (569,526) 689,508 ----------- ----------- ----------- Total increase (decrease) in net assets............... 140,820 (605,273) 472,146 NET ASSETS: Beginning of period................................... 10,191,299 28,720,023 40,122,473 ----------- ----------- ----------- End of period......................................... $10,332,119 $28,114,750 $40,594,619 =========== =========== =========== Units outstanding beginning of period................. 694,223 1,853,382 2,497,752 Units sold............................................ 160,200 236,868 333,089 Units redeemed........................................ (156,198) (274,214) (289,321) ----------- ----------- ----------- Units outstanding end of period....................... 698,225 1,816,036 2,541,520 =========== =========== ===========
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 SHORT HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- INVESTMENTS 180,654 Diversified Investors Variable Funds -- Core Bond........... $ 5,577,612 7,378 Diversified Investors Variable Funds -- Equity Growth....... 337,001 5,329 Diversified Investors Variable Funds -- Growth & Income..... 127,878 190,999 Diversified Investors Variable Funds -- High Quality Bond... 2,761,582 56,217 Diversified Investors Variable Funds -- High Yield Bond..... 931,801 8,268 Diversified Investors Variable Funds -- International Equity.................................................... 153,772 2,460 Diversified Investors Variable Funds -- Money Market........ 46,888 1,857 Diversified Investors Variable Funds -- Special Equity...... 61,447 6,648 Diversified Investors Variable Funds -- Value & Income...... 335,820 ----------- Total Investments -- 100.0% (Cost $9,211,143)............... 10,333,801 Liabilities less other assets -- (0.0%)..................... (1,682) ----------- NET ASSETS -- 100.0%........................................ $10,332,119 =========== The aggregate cost of investments for federal income tax purposes at June 30, 2005 is $9,211,143. The following amount is based on cost for federal income tax purposes: Net unrealized appreciation................................. $ 1,122,658 ===========
See notes to financial statements. 31 INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- INVESTMENTS 255,315 Diversified Investors Variable Funds -- Core Bond........... $ 7,882,727 104,786 Diversified Investors Variable Funds -- Equity Growth....... 4,786,300 77,194 Diversified Investors Variable Funds -- Growth & Income..... 1,852,326 267,367 Diversified Investors Variable Funds -- High Quality Bond... 3,865,749 84,155 Diversified Investors Variable Funds -- High Yield Bond..... 1,394,877 123,343 Diversified Investors Variable Funds -- International Equity.................................................... 2,294,087 13,091 Diversified Investors Variable Funds -- Money Market........ 249,515 28,405 Diversified Investors Variable Funds -- Special Equity...... 940,079 96,086 Diversified Investors Variable Funds -- Value & Income...... 4,853,698 ----------- Total Investments -- 100.0% (Cost $25,025,969).............. 28,119,358 Liabilities less other assets -- (0.0%)..................... (4,608) ----------- NET ASSETS -- 100.0%........................................ $28,114,750 =========== The aggregate cost of investments for federal income tax purposes at June 30, 2005 is $25,025,969. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 3,157,396 Gross unrealized depreciation............................... (64,007) ----------- Net unrealized appreciation................................. $ 3,093,389 ===========
See notes to financial statements. 32 INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- INVESTMENTS 215,399 Diversified Investors Variable Funds -- Core Bond........... $ 6,650,332 202,963 Diversified Investors Variable Funds -- Equity Growth....... 9,270,704 149,454 Diversified Investors Variable Funds -- Growth & Income..... 3,586,257 216,893 Diversified Investors Variable Funds -- High Quality Bond... 3,135,968 69,048 Diversified Investors Variable Funds -- High Yield Bond..... 1,144,471 236,130 Diversified Investors Variable Funds -- International Equity.................................................... 4,391,858 72,597 Diversified Investors Variable Funds -- Money Market........ 1,383,722 54,350 Diversified Investors Variable Funds -- Special Equity...... 1,798,739 182,904 Diversified Investors Variable Funds -- Value & Income...... 9,239,224 ----------- Total Investments -- 100.0% (Cost $35,944,666).............. 40,601,275 Liabilities less other assets -- (0.0%)..................... (6,656) ----------- NET ASSETS -- 100.0%........................................ $40,594,619 =========== The aggregate cost of investments for federal income tax purposes at June 30, 2005 is $35,944,666. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 4,817,915 Gross unrealized depreciation............................... (161,306) ----------- Net unrealized appreciation................................. $ 4,656,609 ===========
See notes to financial statements. 33 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS PORTFOLIO COMPOSITION JUNE 30, 2005 (UNAUDITED) The following charts summarize the portfolio composition of each Fund by asset type. SHORT HORIZON STRATEGIC VARIABLE FUND Money Market Funds.......................................... 0.5% Fixed Income Funds.......................................... 89.7 Domestic Equity Funds....................................... 8.3 International Equity Funds.................................. 1.5 Liabilities less other assets............................... (0.0)* ----- 100.0% ===== INTERMEDIATE HORIZON STRATEGIC VARIABLE FUND Money Market Funds.......................................... 0.9% Fixed Income Funds.......................................... 46.7 Domestic Equity Funds....................................... 44.2 International Equity Funds.................................. 8.2 Liabilities less other assets............................... (0.0)* ----- 100.0% ===== INTERMEDIATE LONG HORIZON STRATEGIC VARIABLE FUND Money Market Funds.......................................... 3.4% Fixed Income Funds.......................................... 26.9 Domestic Equity Funds....................................... 58.9 International Equity Funds.................................. 10.8 Liabilities less other assets............................... (0.0)* ----- 100.0% =====
--------------- * Amount rounds to less than 0.05%. See notes to financial statements. 34 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION The Diversified Investors Strategic Variable Funds (the "Separate Account"), a separate account of Transamerica Financial Life Insurance Company ("TFLIC"), is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a management investment company. The Separate Account is composed of three different subaccounts that are, in effect, separate investment funds: Short Horizon Strategic Variable Fund ("Short Horizon"), Intermediate Horizon Strategic Variable Fund ("Intermediate Horizon"), and Intermediate Long Horizon Strategic Variable Fund ("Intermediate Long Horizon") (individually, a "Subaccount" and collectively, the "Subaccounts"). The Separate Account established and designated each of the Subaccounts as separate subaccounts on April 15, 1996. Each Subaccount 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 Separate Account 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 Subaccount'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 Separate Account 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 NV, 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 Separate Account. Based upon this expectation, no charges are currently being deducted from the Separate Account for federal income tax purposes. C. OPERATING EXPENSES: The Separate Account accounts separately for the assets, liabilities and operations of each Subaccount. Each Subaccount 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. 35 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES The Separate Account 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 Subaccount. For providing these services and facilities and for bearing the related expenses, the Advisor receives a monthly fee from each Subaccount at an annual rate equal to 0.20% of the average daily net assets of each Subaccount. 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 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. Certain trustees and officers of the Separate Account 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 Separate Account. Similarly, none of the Separate Account's officers receive compensation from the Subaccounts. 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 June 30, 2005,was as follows:
COST OF PROCEEDS PURCHASES FROM SALES ---------- ---------- Short Horizon............................................... $2,347,566 $2,296,796 Intermediate Horizon........................................ 2,327,888 2,925,581 Intermediate Long Horizon................................... 3,282,018 2,632,172
5. LEGAL AND REGULATORY MATTERS: Diversified Investors Securities Corp. ("DISC") is the distributor for each of the Subaccounts 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 (the "International Equity Fund") between July 1, 2003 and October 31, 2003. NASD staff contends that DISC facilitated certain shareholders' trading in the International Equity Fund 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. DISC and DIA are continuing to provide information to the NASD and have also 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 Subaccounts, there can be no assurance at this time. 36 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Subaccounts may have a concentration of several shareholders holding a significant percentage of units outstanding. Investment activities of these unitholders could have a material impact on the Subaccounts. In the normal course of business, the Subaccounts enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Subaccounts' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Subaccounts that have not yet occurred. However, based on experience, the Subaccounts expect the risk of loss to be remote. 7. PROXY VOTING POLICIES AND PROCEDURES Since each Subaccount invests all its assets among DIVF which, in turn, invests all its assets in a corresponding portfolio of Diversified Investors Portfolios ("Portfolios"), the Subaccounts 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 are 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, 2005, is available without charge, upon request. 8. QUARTERLY PORTFOLIOS The Subaccounts 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 Subaccounts' Form N-Q is available on the SEC's website at www.sec.gov. The Subaccounts' Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. For information on the operation of the SEC's Public Reference Room, call 1-800-SEC-0330. 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, at the SEC's Public Reference Room, or by calling 1-800-755-5803. 37 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 9. FINANCIAL HIGHLIGHTS For an accumulation unit outstanding throughout the period/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, PERIOD/YEAR BEGINNING OF INCOME (LOSSES) ON INVESTMENT END OF TOTAL END OF ENDED PERIOD/YEAR (LOSS)(1) INVESTMENTS OPERATIONS PERIOD/YEAR RETURN PERIOD/YEAR ----------- ------------ ---------- ----------- -------------- ----------- ------ ----------- SHORT HORIZON 06/30/2005(a) $14.68 $(0.01) $ 0.13 $ 0.12 $14.80 0.82% $10,332,119 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 06/30/2005(a) 15.50 (0.02) (0.00)** (0.02) 15.48 (0.13) 28,114,750 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 INTERMEDIATE LONG HORIZON 06/30/2005(a) 16.06 (0.02) (0.07) (0.09) 15.97 (0.56) 40,594,619 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 PERIOD/YEAR INCOME TURNOVER ENDED EXPENSES (LOSS) RATE ----------- -------- ---------- --------- SHORT HORIZON 06/30/2005(a) 0.20%* (0.20)%* 23% 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 06/30/2005(a) 0.20* (0.20)* 8 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 INTERMEDIATE LONG HOR 06/30/2005(a) 0.20* (0.20)* 7 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
--------------- (1) Calculated based upon average units outstanding. (a) Unaudited. * Annualized. ** Amount rounds to less than one penny per share. 38 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 June 30, 2005 totaled $10,333,801, $28,119,358 and $40,601,275 for the Short Horizon, Intermediate Horizon, and Intermediate Long Horizon, respectively. Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING UNITS UNITS ENDING PURCHASE GAIN/(LOSS) UNITS PURCHASED SOLD UNITS COST SALE COST ON SALES --------- --------- ------- ------- ---------- ---------- ----------- SHORT HORIZON INVESTMENTS: Diversified Investors Variable Funds -- Core Bond............... 171,346 10,669 1,361 180,654 $ 329,097 $ 31,290 $10,209 Diversified Investors Variable Funds -- Equity Growth........... 8,347 -- 969 7,378 -- 37,487 6,975 Diversified Investors Variable Funds -- Growth & Income......... 6,073 -- 744 5,329 -- 14,348 3,612 Diversified Investors Variable Funds -- High Quality Bond....... 186,754 4,245 -- 190,999 61,386 -- -- Diversified Investors Variable Funds -- High Yield Bond......... 58,506 -- 2,289 56,217 -- 27,924 9,890 Diversified Investors Variable Funds -- International Equity.... 9,559 -- 1,291 8,268 -- 16,785 7,210 Diversified Investors Variable Funds -- Money Market............ 8,418 103,088 109,046 2,460 1,957,083 2,069,300 1,529 Diversified Investors Variable Funds -- Special Equity.......... 2,272 -- 415 1,857 -- 9,460 4,195 Diversified Investors Variable Funds -- Value & Income.......... 7,563 -- 915 6,648 -- 35,731 10,851 ---------- ---------- ------- $2,347,566 $2,242,325 $54,471 ========== ========== ======= INTERMEDIATE HORIZON INVESTMENTS: Diversified Investors Variable Funds -- Core Bond............... 255,315 -- -- 255,315 $ -- $ -- $ -- Diversified Investors Variable Funds -- Equity Growth........... 104,786 -- -- 104,786 -- -- -- Diversified Investors Variable Funds -- Growth & Income......... 77,194 -- -- 77,194 -- -- -- Diversified Investors Variable Funds -- High Quality Bond....... 267,367 -- -- 267,367 -- -- -- Diversified Investors Variable Funds -- High Yield Bond......... 84,155 -- -- 84,155 -- -- -- Diversified Investors Variable Funds -- International Equity.... 123,343 -- -- 123,343 -- -- -- Diversified Investors Variable Funds -- Money Market............ 44,565 122,766 154,240 13,091 2,327,888 2,920,391 5,190 Diversified Investors Variable Funds -- Special Equity.......... 28,405 -- -- 28,405 -- -- -- Diversified Investors Variable Funds -- Value & Income.......... 96,086 -- -- 96,086 -- -- -- ---------- ---------- ------- $2,327,888 $2,920,391 $ 5,190 ========== ========== =======
39 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. INVESTMENTS IN AFFILIATES (CONTINUED) Affiliates and the gain/(loss) from sales of affiliates are as follows:
BEGINNING UNITS UNITS ENDING PURCHASE GAIN/(LOSS) UNITS PURCHASED SOLD UNITS COST SALE COST ON SALES --------- --------- ------- ------- ---------- ---------- ----------- INTERMEDIATE LONG HORIZON INVESTMENTS: Diversified Investors Variable Funds -- Core Bond............... 215,399 -- -- 215,399 $ -- $ -- $ -- Diversified Investors Variable Funds -- Equity Growth........... 202,963 -- -- 202,963 -- -- -- Diversified Investors Variable Funds -- Growth & Income......... 149,454 -- -- 149,454 -- -- -- Diversified Investors Variable Funds -- High Quality Bond....... 216,893 -- -- 216,893 -- -- -- Diversified Investors Variable Funds -- High Yield Bond......... 69,048 -- -- 69,048 -- -- -- Diversified Investors Variable Funds -- International Equity.... 236,130 -- -- 236,130 -- -- -- Diversified Investors Variable Funds -- Money Market............ 38,289 173,059 138,751 72,597 3,282,018 2,625,617 6,555 Diversified Investors Variable Funds -- Special Equity.......... 54,350 -- -- 54,350 -- -- -- Diversified Investors Variable Funds -- Value & Income.......... 182,904 -- -- 182,904 -- -- -- ---------- ---------- ------- $3,282,018 $2,625,617 $ 6,555 ========== ========== =======
40 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS APPROVAL OF INVESTMENT ADVISORY CONTRACTS JUNE 30, 2005 (UNAUDITED) Diversified Investment Advisers, Inc. ("Diversified") manages the assets of each Subaccount pursuant to an Investment Advisory Agreement with Transamerica Financial Life Insurance Company ("TFLIC") with respect to such Subaccount. In approving the continuation of each Investment Advisory Agreement relating to each Subaccount, the Managing Board of the Separate Account, including the independent Managing Board members, considered the reasonableness of the applicable advisory fee in light of the extent and quality of the advisory and administrative services provided and any additional benefits received by Diversified or the Subadvisers and their affiliates in connection with their provision of services, compared the fees charged by Diversified and the Subadvisers to those paid by similar funds for comparable services, and analyzed the expenses incurred with respect to each Fund. The Managing Board members also reviewed information concerning the level of profits received by Diversified from its arrangements with each Subaccount. Additionally, the Managing Board considered the quality of Diversified's advisory, administrative and compliance staffs, including additional compliance resources being added. The Managing Board members reviewed information regarding the investment performance of each Subaccount, compared to its benchmark, for the quarter and for the one- and three-year periods ended December 31, 2004. The Managing Board members also considered information received at regular meetings throughout the year, including updates regarding each Subaccount's performance. The Managing Board also considered the allocations of the Subaccounts. The Managing Board members also reviewed extensive information provided by the Subadvisers to the underlying Portfolios of Diversified Investors Portfolios in which the Subaccounts indirectly invest, regarding, among other things: the nature and quality of services provided; legal, regulatory and compliance matters; actual fees paid by Diversified to each Subadviser, comparable fees paid to each Subadviser and Subadviser profitability data; and other practices and developments. In addition to the quality and content of information provided by the Subadvisers, the Managing Board members also noted instances where information was not disclosed by certain Subadvisers, considered the reasons such information was withheld and weighed the relative importance of such information among the other data available to the Managing Board members. In light of the extensive investment advisor monitoring provided by Diversified and the arms'-length nature of negotiations between Diversified and the Subadvisers, the Managing Board members placed considerable value on Diversified's views regarding the Subadvisers. The Managing Board also considered the allocations of the Subaccounts. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Managing Board members) and after meetings conducted by the independent Managing Board members without management being present, the Managing Board concluded that each Investment Advisory Agreement and each sub-advisory agreement was in the best interests of the applicable Subaccount and its contractholders. The Managing Board based its conclusions, in part, on its observations regarding the performance of and the management fees and total expenses paid by each Subaccount, some of which observations are summarized below. In the case of each of Short Horizon Strategic Variable Fund Subaccount, Intermediate Horizon Strategic Variable Fund Subaccount and Intermediate-Long Horizon Strategic Variable Fund Subaccount, the Board observed that performance was below that of the applicable benchmark for the one- and three-year periods ended December 31, 2004, but that the performance of Short Horizon Strategic Variable Fund Subaccount was above the benchmark for the quarter ended as of such date and was only slightly below the relevant benchmark in the case of the Intermediate Horizon Strategic Variable Fund Subaccount and Intermediate-Long Horizon Strategic Variable Fund Subaccount. The Managing Board also considered recent changes and proposed changes in several of the Subadvisers to the Portfolios in which the Subaccounts indirectly invest. 41 DIVERSIFIED INVESTORS STRATEGIC VARIABLE FUNDS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) For each of the Subaccounts, the Managing Board found both contractual management fees and total expenses to be below the median for the applicable peer group. The Managing Board's conclusions that each Investment Advisory Agreement was in the best interests of each applicable Subaccount and its contractholders were generally based upon the Managing Board's determination for each Subaccount that the Subaccount's recent performance generally compared favorably with its benchmark, that contractual management fees and actual total expenses after giving effect to waivers and reimbursements compared favorably to the peer group, and that, in reviewing Diversified's profitability on a Subaccount-by-Subaccount basis, such profitability (together with additional benefits received by Diversified and its affiliates) appeared reasonable in view of the nature and quality of the services provided by Diversified. The Managing Board also considered that the fee waivers and reimbursements for certain Subaccounts were contractually agreed, and, therefore, could not be discontinued or modified at Diversified's discretion. In addition to the foregoing, the Managing Board members were satisfied with the overall quality of the management services provided by Diversified and with Diversified's approach to selecting and monitoring subadvisers. 42 (This page intentionally left blank) 43 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) PLEASE NOTE THAT ANY PERFORMANCE FIGURES DISCUSSED BELOW REPRESENT PAST PERFORMANCE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA QUOTED. VISIT WWW.DIVINVEST.COM FOR PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH-END. ECONOMIC OVERVIEW The economy continued to expand, despite rising oil prices that peaked at $60 a barrel before retreating to $57 by June 30th. In total, oil prices were up 30% since the beginning of the year. Second quarter preliminary GDP came in at 3.4%, the ninth straight quarter in which the economy grew by more than 3%. First quarter GDP was revised upward to 3.8% from 3.5%. Inflation was held in check, as the Fed increased the Federal Funds rate 25 basis points to 3.25%. It was the ninth consecutive rate increase, and the Federal Open Market Committee said that going forward it "will respond to changes in economic prospects as needed to fulfill its obligation to maintain price stability." Long-term bond yields continued to decline, leading to a flattening of the yield curve and prompting several economists to point out that the closeness of short- and long-term rates is often a precursor to an economic slowdown. Investors apparently shared that sentiment as the UBS/Gallup Index of Investor Optimism hit a three-month low during the quarter. Consumers, however, were more sanguine as low long-term bond yields -- and thus mortgage rates -- coupled with an improving jobs picture, pushed the Conference Board's Consumer Confidence Index to a three-year high at June 30th. Unemployment declined to 5% in June, the lowest rate since September 2001, and 146,000 new jobs were added. While that number was below most economists' forecasts, it followed better-than-expected job growth in April and May, and brought the monthly average for the first half of 2005 to 181,000, close to 2004's average of 183,000 jobs per month. Relatedly, the number of first-time jobless claims fell by 6,000 in the last full week of June to 310,000, its lowest level in more than two months, according to the Labor Department. Analysts had expected an increase to 325,000. Finally, the dollar continued its surprising rise, hitting a four-year peak at the end of June. FIXED INCOME MARKETS Bond prices rebounded and moved into positive territory for the year, as fixed-income investors absorbed both the downgrade of Ford's and General Motors' debt in May and short-term inflationary pressures. The Lehman Brothers Aggregate Index returned 3% for the quarter, pushing year-to-date performance to 2.5%. The Treasury sector was the best performer, returning 3.2% for the six-month period. Corporate and high-yield bonds shook off the volatility from the automaker downgrades and posted semiannual returns of 2.4% and 1.1%, respectively. Long-term yields are artificially low and may remain so for the foreseeable future because of demand for U.S. Treasuries by Japan and China. According to a United States Treasury Department report released on June 30th, foreign holdings of U.S. debt increased 19.6% between June 2003 and June 2004. Japan has the largest portfolio of U.S. debt with $857 billion. China is second with $338 billion. 44 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) EQUITY MARKETS U.S. stocks picked up ground in the second quarter, but the gains were not enough to push most domestic equities solidly into the black for the year. Recall that stocks declined in the first quarter. Second quarter results were muted by the interest rate increase, which sent stocks tumbling on the last day of trading. Overall, the Russell 3000 Index is flat for the year, as the second quarter's 2.2% gain wasn't enough to push the market clearly into positive territory. The broader Dow Jones Wilshire 5000 Index is also flat for the period ended June 30th. Mid-cap stocks were the first half's bright spot, up 3.9% year-to-date, as measured by the Russell Midcap Index. Large-cap stocks -- as measured by the Standard & Poor's 500 Index -- were down slightly year-to-date, due to a significant first quarter decline. Small-caps are underwater for the year, down 1.3% as measured by the Russell 2000 Index. Value continued its dominance over growth, but the latter showed signs of life in the second quarter, outperforming the former for the first time in a year. The Russell 3000 Growth Index returned 2.5%, compared with 2% for its value counterpart. Year-to-date, however, value is ahead of growth, 1.7% gain versus a 1.9% loss. Segmented by market capitalization, large-cap growth trails large-cap value year-to-date, though growth was better in the second quarter; Mid-cap and small-cap value stocks outperformed their growth brethren over the six-month period. Energy-related and utility stocks were the best performers. June's record oil prices boosted energy-related sectors; yield-hungry investors bid up utilities. Materials was the weakest sector as these stocks declined due to rising energy costs. International stocks -- up slightly in the first quarter -- reversed course and were down at the close of the six-month period. The Morgan Stanley Capital International World Index (Ex-US) was down 0.3% at June 30th. LOOKING AHEAD As we enter the third quarter, the economic expansion and labor market conditions continue to improve, despite higher oil prices. But the Federal Reserve Board's measured response to inflation and the flattening yield curve should make for a challenging investing environment. MONEY MARKET SERIES Money market funds returned 1.3% in the first six months of the year, as measured by the Citigroup Treasury Bill Three-Month Index. The fund performed in line with the benchmark during the period. The Federal Open Market Committee (FOMC) continued to remove accommodative policy and adjust rates as expected, raising the federal funds target to 3.25% from 2.75% over the first half of the year. Economic growth and inflation did not alter investors' expectations of the FOMC's action. Investors anticipated the Fed's action and took advantage of the opportunity by shortening maturities. Longer rates, however, declined as market pricing reflected a potential pause by the Fed in late 2005. The portfolio manager focused on identifying value along the short end of the yield curve, while keeping maturities short to take advantage of reinvestment opportunities created by the FOMC action. The manager was able to successfully execute this strategy during the first six months of 2005. 45 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) HIGH QUALITY BOND SERIES Short/intermediate-term investment grade bonds were up slightly in the first half of the year, as measured by the Merrill Lynch 1-3 Year Treasury Index. The yield curve and automakers within the corporate sector were the two biggest stories during the period. Treasury yields rose at the short end of the curve but fell at the long end, following two rate increases by the Federal Open Market Committee; Ford's and General Motors' debt was downgraded to below investment grade. The fund exceeded the benchmark for the six-month period, due to exposure to mortgages and floating rate asset-backed securities, and an overweight to banks and finance in the corporate sector. Income was the largest contributor to performance, accounting for most of the excess return. The manager shifted the portfolio's term structure from the first quarter to the second by increasing the two-to-three and four-to-five year buckets and reducing the one-to-two and three-to-four year ones. Portfolio duration at the end of the period was still in line with the index at 1.67 years. The fund was active in the asset-backed sector, purchasing several new issues. One noteworthy trade was the sale of a short average life (.89 years) home equity deal originated by Equity One -- a subsidiary of Popular Inc. -- and the purchase of a three-year home equity deal originated by Popular. The net yield pick-up on the trade was 34 basis points. INTERMEDIATE GOVERNMENT BOND SERIES Intermediate government bonds returned 1.6% for the six months ended June 30th, as measured by the Lehman Brothers Intermediate Government Bond index. The fund posted returns in line with the benchmark during the first half of 2005. Exposure to the mortgage sector was additive to the portfolio's returns in the first quarter; avoidance of the credit sector also helped. In the second quarter, the manager maintained a duration position of 3.5 years -- slightly longer than the index's 3.3 -- and an overweight to out-of-index sectors, such as mortgages and asset-backed securities. CORE BOND SERIES The Lehman Brothers Aggregate Index rebounded in the second quarter, reversing a first quarter loss and posting a 2.5% gain for the six-month period. The Core Bond Fund underperformed the benchmark during the first half of 2005. Most of the underperformance is attributable to a short duration position relative to the index, and an underweight to the mortgage-backed securities (MBS) sector. In the first quarter, the portfolio posted negative absolute returns, due largely to weakening fundamentals and concerns of a potential downgrade of Ford's and General Motors' debt to junk status. Long-term rates fell over the next three months and all components of the index realized strong absolute returns. The portfolio failed to keep pace because of its short duration position, the underweighting of MBS and an allocation to non-dollar issues. An underweight to the credit sector, combined with a bias toward financial and higher quality issues, resulted in a positive contribution to performance. The portfolio remains short duration, with the underweight concentrated to the three-through-10 year portion of the yield curve. It is also underweight mortgages and corporates and has a modest exposure to the plus sectors. 46 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) BALANCED SERIES The hybrid 60% S&P 500 and 40% Lehman Brothers Aggregate benchmark was up 0.5% for the six-month period, due largely to the fixed income component, as core bonds outperformed large-capitalization stocks. Long bonds rallied in the second quarter as the Federal Open Market Committee raised the federal funds target to 3.25% from 2.75% over the first half of the year. During the period, Goldman Sachs Asset Management and Western Asset Management Co. were selected as new subadvisors to the fund, replacing Aeltus Investment Management Inc. and BlackRock, respectively. Goldman Sachs, the equity manager, employs a quantitative enhanced index strategy; Western uses a core plus approach to manage the fixed-income portion of the fund. Asset allocation detracted slightly from overall performance, as the fund was overweight equities. The two subadvisors nevertheless exceeded their respective benchmarks. Excess equity returns came from the energy, information technology and consumer staples sectors. Overweighting Exxon Mobil Corp. and ConocoPhillips in the energy sector was additive as these two companies posted gains of 15% and 34%, respectively. Contributions also came from internet search engine Google Inc., up 34% and retailer Abercrombie & Fitch Co., up 20%. The fixed income segment benefited from a moderate allocation to out-of-index sectors: high yield, non-dollar and emerging markets. Duration slightly detracted from performance as rates dropped during the second quarter. The fund maintains an overweight to equities with about 36% of the portfolio allocated to fixed income. VALUE & INCOME SERIES Large-cap value stocks were up 1.8% in the first half of the year, as measured by the Russell 1000 Value Index. Stocks rallied in the second quarter, pushing the index into positive territory at June 30th. Energy and utilities were the best performing sectors. TCW Investment Management Company replaced Alliance Capital Management as the fund's relative value manager, at the end of the first quarter. Alliance was replaced due to performance issues and concerns about the viability of its investment model in different market environments. TCW employs a "search for value poised for growth" stock selection process. Bernstein Investment Management and Research continues in its role as the fund's deep value manager. The fund lagged the Russell 1000 Value Index for the six months ended June 30th, due mostly to stock selection in financials, and an overweight to insurance. AIG was the worst performing stock in the portfolio, down 16%. The insurer admitted to improper accounting practices, and Chairman and CEO Hank Greenberg resigned. Alliance continued to buy the stock on weakness, believing investors had overreacted and that AIG's fundamentals remained strong. Fund performance rebounded in the second quarter, with stock selection as the main driver, particularly in the information technology sector. Tellabs Inc., a communications equipment company, was up 19%. GROWTH & INCOME SERIES Large-capitalization growth stocks dropped 0.81% in value for the six months ended June 30th, as measured by the Standard & Poor's 500 Index. Energy was the strongest performing sector, gaining 20%; the materials sector was the worst, losing 7.3%. 47 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) The fund exceeded the benchmark during the period. Stock selection in the consumer discretionary and information technology sectors were the main drivers of performance. Google, Inc., internet search engine, was the fund's top performer, returning 52%. Retailers benefited from strong consumer spending, and shares of Abercrombie & Fitch Co., J. C. Penney Company, Inc., and Federated Department Stores, Inc. rose 47%, 28% and 27%, respectively. EQUITY GROWTH SERIES Large-capitalization growth stocks were down 1.7% in the first half of the year, as measured by the Russell 1000 Index. The best performing sectors were energy, up 22%; utilities, which increased 16%; telecommunication services up, 9%; and healthcare, up 4%. The fund performed in line with the benchmark during the six-month period. Positive returns in the second quarter were not strong enough to pull year-to-date performance out of negative territory. Growth stocks, however, rallied in the second quarter and outperformed their value counterparts for the first time in five years. The first quarter's strong value environment was difficult for the fund's information technology stock holdings. eBay, Inc., an online auctioneer, fell 45% after it missed profit estimates and announced that growth was slowing in the United States. Biogen Idec, Inc., a biotechnology company, dropped 36% after it voluntarily withdrew its multiple sclerosis drug from the market. Stock selection in healthcare was the main driver of the second quarter's improved performance. Genentech Inc. rose 42% following strong preliminary tests for its age related macular degeneration drug. Caremark Rx, Inc., a pharmaceutical services company, and Express Scripts, a provider of health care management and administration services, both added positive relative performance. MID-CAP VALUE SERIES Mid-capitalization value stocks were up 3.1% in the first half of the year, as measured by the Russell Mid Cap Value Index. The energy and the utility sectors provided the strongest returns for the six-month period. During the first quarter, LSV Asset Management was added as a subadvisor to the fund. The decision was a function of capacity constraints at incumbent subadvisor Cramer Rosenthal McGlynn (CRM) and was not reflective of the latter's performance. CRM will manage 60% of the assets with LSV overseeing the balance. LSV's deep value, quantitative approach, complements CRM's opportunistic value methodology. The portfolio trailed the benchmark for the six-month period. Consumer discretionary stocks were the largest detractor from performance, with automotive supplier Lear Corp. down 27% because of larger-than-expected order reductions from Ford and General Motors, its two biggest customers. The debt of both automakers was downgraded to junk status during the second quarter. An underweighting to Real Estate Investment Trusts (REITs) also hurt returns, as it was the second quarter's best performing sector in the index. Energy provided the bulk of the portfolio's year-to-date positive performance, with Frontier Oil appreciating more than 60% since its addition to the portfolio in March. The fund is nevertheless underweight energy. MID-CAP GROWTH SERIES Mid-capitalization growth stocks were up 1.7% for the first half of the year, as measured by the Russell Mid Cap Growth Index. The strongest performing sectors in the index were energy, up 22%; utilities, which increased 18.4%; and telecommunication services, up 16.6%. 48 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) The fund exceeded the benchmark during the period, with the portfolio benefiting from an overweight to the energy sector and strong stock selection within financials. Individual holdings in the pharmaceutical and information technology sectors detracted from performance. During the first quarter, Eyetech Pharmaceuticals, Inc., a biopharmaceutical company, declined 41% on the news of strong clinical drug trials by a major competitor. Cree, Inc., a semi-conductor chip company, missed fourth quarter earnings expectations and lost 41% of its value. Both stocks were sold on the negative news. The fund's two top performing stocks were in the energy sector. Quicksilver Resources Inc. and EOG Resources, Inc. reported better-than-expected results and gained 73% and 59%, respectively. In the financial sector, asset manager Legg Mason, Inc. posted strong gains on the announcement of its acquisition of Citigroup's asset management operations. SMALL-CAP VALUE SERIES Small-capitalization value stocks eked out a 0.9% gain for the first half of 2005, as measured by the Russell 2000 Value Index. A 5.1% increase in the second quarter offset a 4.2% drop in the year's first three months, pushing the category into positive territory. Within the index, the energy, utilities and consumer sectors outperformed information technology, materials and industrials. Global energy demand and lower interest rates propelled the winners, while an absence of capital spending and concerns about a slowing economy dragged down the losers. The fund lagged its benchmark over the six-month period due primarily to one-time transaction costs associated with changing subadvisors. EARNEST Partners LLC replaced Sterling Capital Management on April 13. An underweighting to Real Estate Investment Trusts (REITs) also hurt performance as these stocks surged 14% in the second quarter. Individual stocks that hurt fund performance during the six-month period include Dendrite International, Inc., a pharmaceutical software company that lost 29%; EarthLink, Inc., an internet service provider that declined 25%; and Oriental Financial Group, Inc., a diversified financial holding company that dropped 45%. On the positive side, Administaff, Inc., a provider of personnel management systems, rose 90%, and Phillips-Van Heusen Corp., a shirt manufacturer, posted a 21% gain. SPECIAL EQUITY SERIES Small-capitalization stocks were down 1.3% in the first half of the year, as measured by the Russell 2000 Index. A second quarter rally boosted returns 4.3% and narrowed the first quarter's 5.3% loss. The best performing sectors in the index were energy, up 22%; utilities, which increased 11%; and consumer staples, up 7%. Information Technology was the worst performer, down 11.2%. The Special Equity Fund has five subadvisors -- two growth, two value and one structured core manager -- and attempts to generate higher returns relative to the broad small-cap market over a full market cycle. During the first quarter, Mazama Capital Management Inc. replaced Seneca Capital Management as one of the fund's growth managers. The four other subadvisors remain intact: EARNEST Partners LLC, INVESCO Inc., RS Investments and Wellington Management Co. During the period, Special Equity posted positive net returns against the Russell 2000 Index and generated excess returns in the 10 major industry sectors. Value-oriented stocks led the small-cap category, while growth-oriented equities lagged. 49 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) Stocks that hurt fund performance were Avocent Corp., an enterprise connectivity company, down 35%; Viisage Technology, Inc., an identity verification company that declined 50%; and Gateway, Inc., a seller of personal computers that dropped 45%. Individual stocks that contributed to the outperformance include homebuilders Hovnanian Enterprises Inc. and Meritage Homes Corp., up 31% and 41%, respectively; and Vintage Petroleum, Inc., an oil exploration and distribution company that rose 35%. SMALL-CAP GROWTH SERIES Small-capitalization growth stocks were down 3.6% for the first half of 2005, as measured by the Russell 2000 Growth Index. A second quarter rally that boosted returns 3.5% was not enough to overcome the first quarter's steep 6.8% decline. Information technology was the weakest sector for the six-month period, followed by financials and industrials. The fund trailed its benchmark over the period. Underweighting the energy sector was a major cause, as the portfolio manager sought to avoid exposure to stocks with volatile commodity-linked returns. Healthcare and telecommunication services holdings also hurt performance, while exposure to financials was a positive contributor in the second quarter. Individual names that hurt performance during the six-month period include Dyax Corp., a biotech firm that develops antibodies, down 34.7% and Skyworks Solutions Inc., a designer and producer of wireless semiconductor systems that declined 21.8%. Stocks that helped were Immucor, Inc., a supplier of tests for blood prior to transfusion, up 23.6% and aQuantive, Inc., a digital marketing services company that rose 98.2%. AGGRESSIVE EQUITY SERIES Large-cap growth stocks were down 1.7% for the six months ended June 30, 2005, as measured by the Russell 1000 Growth Index. The fund lagged its benchmark over the six-month period because its growth stock investment approach was out of favor in the first quarter. Portfolio holdings that experienced difficulties during the period included Biogen Idec, Inc., down 39% and eBay, Inc., which dropped 36%. A biotechnology company, Biogen's share price plummeted following the company's voluntary withdrawal of its multiple sclerosis drug from the market; online auctioneer eBay dropped in value after it missed profit estimates. Growth industries, such as internet service providers, luxury goods manufacturers and discount retailers, added value to the portfolio in the second quarter. Top performers for the quarter included: internet search engine Google, Inc., up 62%; leather shoes and accessories manufacturer Coach, Inc., which rose 19%; and women's clothing retailer Chicos FAS, Inc., up 21%. HIGH YIELD BOND SERIES High yield bonds returned 1.1% for the first six months of 2005, as measured by the Merrill Lynch High Yield Master II Index. Major concerns during the first half of the year included future foreign investment in U.S. Treasuries, Federal Reserve Board comments on inflation and General Motors' surprising loss of profitability and the subsequent downgrade of its debt. 50 DIVERSIFIED INVESTORS PORTFOLIOS ECONOMIC OVERVIEW (CONTINUED) SIX MONTHS ENDED JUNE 30, 2005 (UNAUDITED) The portfolio was positioned to minimize interest rate risk and spread widening with the understanding that higher interest rates adversely affect high yield bonds. This stance was neutral as it benefited the portfolio early in the year and then detracted from performance during the second quarter. The fund underperformed the benchmark year-to-date, due to an overweighting to the building materials, air transportation and entertainment sectors, all of which posted negative returns. An underweight to energy and retail -- two of the best performing sectors in the index -- further hampered overall returns. The fund was overweight the strong performing telecommunications sector which aided returns. Gaming and chemicals are the fund's two largest overweighted sectors, and both were additive in the first six months. INTERNATIONAL EQUITY SERIES International stocks were down 2% for the first six months of 2005, as measured by the Morgan Stanley Capital International World (Ex-US) Index. Within the benchmark, Europe was the best performing developed region, due primarily to the energy sector. Emerging markets was the best performing segment, up 6% year-to-date; and small-capitalization stocks led their large-cap counterparts. The co-managed international fund trailed the index for the six-month period, due largely to one holding, Elan Corp. PLC, an Irish pharmaceutical company that declined 80% in the first quarter on negative news regarding a multiple sclerosis drug. Energy sector stocks proved to be the portfolio's best performers year-to-date with Royal Dutch Shell PLC up 18%; Husky Energy, Inc. posting a 40% gain; and Petro-Canada rising 28%. AU Optronics, a manufacturer of thin film transistor-liquid crystal display (TFT-LCD) panels for flat screen televisions, was also a strong performer, returning 22% for the first half of the year. 51 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2005 (UNAUDITED)
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND ------------ ------------ ------------ ASSETS: Securities, at cost................................... $687,733,497 $773,432,531 $260,762,175 ============ ============ ============ Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4).................................................. $687,733,497 $764,188,629 $260,875,171 Repurchase agreements (cost equals market)............ 198,685,454 6,530,904 4,429,501 Cash.................................................. 4,049 -- -- Foreign currency holdings, at value (cost $3,770,742, $5, and $343,539 respectively)...................... -- -- -- Receivable for securities sold........................ -- -- 12,463,343 Unrealized appreciation on foreign currency forward contracts (Note 10)................................. -- -- -- Interest receivable................................... 1,187,167 4,947,291 1,437,317 Dividends receivable.................................. -- -- -- Foreign tax reclaim receivable........................ -- -- -- Receivable from Advisor............................... -- -- 592 Receivable from securities lending (net).............. -- 1,215 3,926 ------------ ------------ ------------ Total assets.......................................... 887,610,167 775,668,039 279,209,850 ------------ ------------ ------------ LIABILITIES: Collateral for securities out on loan................. -- 25,140,250 41,460,158 Payable for securities purchased...................... -- -- 4,199,985 Securities sold short, at value (proceeds $77,887,388)........................................ -- -- -- Written options, at value (premium $564,568, $18,372, and $54,365 respectively)........................... -- -- -- Unrealized depreciation on foreign currency forward contracts (Note 10)................................. -- -- -- Variation margin...................................... -- -- -- Investment advisory fees.............................. 172,683 208,983 67,548 Accrued expenses...................................... 52,219 46,737 61,305 Contingent liability (Note 6)......................... -- -- -- ------------ ------------ ------------ Total liabilities..................................... 224,902 25,395,970 45,788,996 ------------ ------------ ------------ NET ASSETS............................................ $887,385,265 $750,272,069 $233,420,854 ============ ============ ============
See notes to financial statements. 52
TOTAL CORE RETURN VALUE & GROWTH & BOND BOND BALANCED INCOME VALUE INCOME -------------- ----------- ------------ -------------- ----------- -------------- $2,157,262,724 $49,094,846 $396,307,117 $2,776,002,347 $ 9,768,727 $1,120,502,147 ============== =========== ============ ============== =========== ============== $2,167,242,459 $49,566,768 $412,042,714 $3,056,387,698 $10,128,610 $1,204,315,105 20,000,000 10,775,704 39,797,585 103,824,722 248,359 18,393,194 36,064 -- 183,681 -- -- 196,897 3,714,511 5 353,057 -- -- -- 419,049,393 -- 36,540 45,739,730 23,923 11,590,315 1,736,993 90,697 491,199 -- -- -- 16,875,600 492,956 1,094,647 33,986 18 11,831 -- 8,925 400,597 3,714,617 22,391 1,322,560 -- -- -- -- 22 1,639 -- 5,834 17,824 -- 4,934 -- 10,956 -- 2,952 98,469 -- 41,896 -------------- ----------- ------------ -------------- ----------- -------------- 2,628,665,976 60,940,889 454,420,796 3,209,799,222 10,428,257 1,235,873,437 -------------- ----------- ------------ -------------- ----------- -------------- 94,420,159 -- 18,961,356 317,505,927 -- 125,968,925 581,458,927 9,839,859 26,817,193 65,659,170 15,262 15,066,740 77,834,165 -- -- -- -- -- 802,828 28,687 84,984 -- -- -- 450,787 5,643 167,075 -- -- -- 224,373 11,578 21,037 -- -- 19,610 525,196 14,627 151,785 1,045,035 4,231 540,347 101,116 8,570 84,899 159,770 7,623 61,464 -- -- -- -- -- -- -------------- ----------- ------------ -------------- ----------- -------------- 755,817,551 9,908,964 46,288,329 384,369,902 27,116 141,657,086 -------------- ----------- ------------ -------------- ----------- -------------- $1,872,848,425 $51,031,925 $408,132,467 $2,825,429,320 $10,401,141 $1,094,216,351 ============== =========== ============ ============== =========== ==============
53 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) JUNE 30, 2005 (UNAUDITED)
EQUITY MID-CAP MID-CAP GROWTH VALUE GROWTH -------------- ------------ ------------ ASSETS: Securities, at cost................................. $2,213,986,236 $509,745,551 $250,276,475 ============== ============ ============ Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4)................................................ $2,469,446,960 $540,431,524 $281,540,036 Repurchase agreements (cost equals market).......... 67,126,917 29,286,174 6,761,499 Cash................................................ 150 22,286 3,562 Foreign currency holdings, at value (cost $11,830,181)...................................... -- -- -- Receivable for securities sold...................... -- 12,002,243 2,259,965 Unrealized appreciation on foreign currency forward contracts (Note 10)............................... -- -- -- Interest receivable................................. 23,294 7,615 5,487 Dividends receivable................................ 1,919,054 2,001,801 47,305 Foreign tax reclaim receivable...................... 35,972 4,505 -- Receivable from Advisor............................. -- 6,431 3,733 Receivable from securities lending (net)............ 26,876 19,451 5,422 -------------- ------------ ------------ Total assets........................................ 2,538,579,223 583,782,030 290,627,009 -------------- ------------ ------------ LIABILITIES: Collateral for securities out on loan............... 221,128,061 65,903,677 59,966,960 Payable for securities purchased.................... 2,805,749 14,185,065 2,716,033 Unrealized depreciation on foreign currency forward contracts (Note 10)............................... -- -- -- Variation margin.................................... -- -- -- Investment advisory fees............................ 1,197,677 271,275 131,710 Accrued expenses.................................... 125,398 43,222 57,448 Contingent liability (Note 6)....................... -- -- -- -------------- ------------ ------------ Total liabilities................................... 225,256,885 80,403,239 62,872,151 -------------- ------------ ------------ NET ASSETS.......................................... $2,313,322,338 $503,378,791 $227,754,858 ============== ============ ============
See notes to financial statements. 54
SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD INTERNATIONAL VALUE EQUITY GROWTH EQUITY BOND EQUITY ------------ -------------- ------------ ------------ ------------ -------------- $199,110,204 $1,324,867,482 $129,259,289 $374,897,404 $342,137,642 $1,402,436,522 ============ ============== ============ ============ ============ ============== $209,104,478 $1,464,757,812 $139,060,406 $411,298,869 $350,085,615 $1,550,406,470 15,278,831 42,614,970 5,952,517 3,565,577 25,098,512 22,882,397 -- -- -- -- -- -- -- -- -- -- -- 11,661,464 1,538,991 9,061,616 957,019 23,646,069 2,225,214 8,281,279 -- -- -- -- -- 18,437 3,456 24,556 2,987 4,037 7,125,889 13,008 191,417 1,298,543 36,964 226,396 -- 2,984,128 -- 1,287 202 10,051 -- 784,373 7,612 -- 5,832 2,228 180 -- 2,818 51,670 11,622 6,559 -- 128,382 ------------ -------------- ------------ ------------ ------------ -------------- 226,127,603 1,517,810,454 146,027,549 438,759,786 384,535,410 1,597,159,938 ------------ -------------- ------------ ------------ ------------ -------------- 28,176,600 257,599,303 30,669,845 45,336,885 -- 136,187,298 5,239,354 8,511,456 758,148 25,211,350 10,751,183 12,828,617 -- -- -- -- 1,487 25,437 -- 6,325 -- -- -- -- 126,014 810,906 80,592 233,921 165,256 879,244 32,238 28,393 32,626 27,824 41,940 145,167 -- -- -- -- -- -- ------------ -------------- ------------ ------------ ------------ -------------- 33,574,206 266,956,383 31,541,211 70,809,980 10,959,866 150,065,763 ------------ -------------- ------------ ------------ ------------ -------------- $192,553,397 $1,250,854,071 $114,486,338 $367,949,806 $373,575,544 $1,447,094,175 ============ ============== ============ ============ ============ ==============
55 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND ----------- ----------- ------------ INVESTMENT INCOME (NOTE 2): Interest income........................................... $11,094,838 $12,923,368 $4,247,137 Securities lending income (net)........................... -- 9,124 45,081 Dividend income........................................... -- -- -- Less: foreign withholding taxes........................... -- -- -- ----------- ----------- ---------- Total income.............................................. 11,094,838 12,932,492 4,292,218 ----------- ----------- ---------- EXPENSES (NOTE 2): Investment advisory fees.................................. 1,010,827 1,252,178 421,454 Custody fees.............................................. 67,538 82,091 37,921 Audit fees................................................ 13,214 14,071 13,444 Legal fees................................................ 12,747 10,648 7,615 Reports to shareholders................................... 4,770 4,676 1,753 Miscellaneous fees........................................ 2,497 2,111 725 ----------- ----------- ---------- Total expenses............................................ 1,111,593 1,365,775 482,912 Expenses reimbursed by the Advisor........................ -- -- (1,437) ----------- ----------- ---------- Net expenses.............................................. 1,111,593 1,365,775 481,475 ----------- ----------- ---------- NET INVESTMENT INCOME (LOSS).............................. 9,983,245 11,566,717 3,810,743 ----------- ----------- ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) on transactions from: Securities.............................................. 332 (904,924) (476,996) Futures, written and purchased options and short sales................................................ -- -- -- Foreign currency transactions........................... -- -- -- Change in net unrealized appreciation (depreciation) on: Securities.............................................. -- (2,258,428) 390,150 Futures, written and purchased options and short sales................................................ -- -- -- Foreign currency translations........................... -- -- -- ----------- ----------- ---------- Net realized and unrealized gains (losses) on investments............................................. 332 (3,163,352) (86,846) ----------- ----------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............................................. $ 9,983,577 $ 8,403,365 $3,723,897 =========== =========== ==========
--------------- (1) Commencement of Operations, May 6, 2005. See notes to financial statements. 56
TOTAL CORE RETURN VALUE & GROWTH & BOND BOND(1) BALANCED INCOME VALUE(1) INCOME ----------- -------------- ------------ ------------- -------- ------------ $36,920,131 $ 336,531 $ 3,222,262 $ 1,007,955 $ 4,549 $ 148,983 126,468 -- 11,518 405,842 -- 66,804 -- 8,925 2,205,457 24,055,378 38,458 8,021,446 -- -- -- (104,768) (33) (10,314) ----------- ---------- ------------ ------------- -------- ------------ 37,046,599 345,456 5,439,237 25,364,407 42,974 8,226,919 ----------- ---------- ------------ ------------- -------- ------------ 3,062,686 27,155 914,273 6,162,290 7,806 3,230,184 250,387 9,296 156,214 252,771 5,391 124,854 16,964 4,276 14,177 18,074 4,276 15,095 25,403 556 10,505 65,692 248 22,485 11,153 119 7,731 27,773 68 7,804 5,101 77 1,999 13,381 50 5,326 ----------- ---------- ------------ ------------- -------- ------------ 3,371,694 41,479 1,104,899 6,539,981 17,839 3,405,748 -- (10,444) (89,041) -- (9,251) -- ----------- ---------- ------------ ------------- -------- ------------ 3,371,694 31,035 1,015,858 6,539,981 8,588 3,405,748 ----------- ---------- ------------ ------------- -------- ------------ 33,674,905 314,421 4,423,379 18,824,426 34,386 4,821,171 ----------- ---------- ------------ ------------- -------- ------------ 3,609,777 205,639 18,002,950 165,875,407 4,872 21,761,311 615,430 (47,661) 435,385 -- -- (10,318) (6,287,801) 44,620 (513,012) -- -- (187) 941,487 471,922 (19,105,819) (158,537,701) 359,883 (29,381,699) (1,046,210) (41,323) (230,205) -- -- (51,923) 7,200,177 82,307 869,283 -- -- -- ----------- ---------- ------------ ------------- -------- ------------ 5,032,860 715,504 (541,418) 7,337,706 364,755 (7,682,816) ----------- ---------- ------------ ------------- -------- ------------ $38,707,765 $1,029,925 $ 3,881,961 $ 26,162,132 $399,141 $ (2,861,645) =========== ========== ============ ============= ======== ============
57 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF OPERATIONS (CONTINUED) FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
EQUITY MID-CAP MID-CAP GROWTH VALUE GROWTH ------------ ------------ ---------- INVESTMENT INCOME (NOTE 2): Interest income......................................... $ 795,633 $ 309,828 $ 82,219 Securities lending income (net)......................... 104,794 74,615 35,319 Dividend income......................................... 10,774,227 4,880,266 240,123 Less: foreign withholding taxes......................... (55,372) (46,567) -- ------------ ------------ ---------- Total income............................................ 11,619,282 5,218,142 357,661 ------------ ------------ ---------- EXPENSES (NOTE 2): Investment advisory fees................................ 7,010,055 1,508,522 754,391 Custody fees............................................ 218,932 69,257 32,989 Audit fees.............................................. 17,400 11,665 11,349 Legal fees.............................................. 32,588 10,241 6,492 Reports to shareholders................................. 15,255 7,555 1,377 Miscellaneous fees...................................... 11,066 2,175 972 ------------ ------------ ---------- Total expenses.......................................... 7,305,296 1,609,415 807,570 Expenses reimbursed by the Advisor...................... -- (33,031) (21,746) ------------ ------------ ---------- Net expenses............................................ 7,305,296 1,576,384 785,824 ------------ ------------ ---------- NET INVESTMENT INCOME (LOSS)............................ 4,313,986 3,641,758 (428,163) ------------ ------------ ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS (NOTE 2): Net realized gains (losses) on transactions from: Securities............................................ 27,063,584 33,456,569 4,598,756 Futures, written and purchased options and short sales.............................................. -- -- -- Foreign currency transactions......................... -- -- -- Change in net unrealized appreciation (depreciation) on: Securities............................................ (69,252,534) (23,101,317) 773,593 Futures, written and purchased options and short sales.............................................. -- -- -- Foreign currency translations......................... (81) (26,000) -- ------------ ------------ ---------- Net realized and unrealized gains (losses) on investments........................................... (42,189,031) 10,329,252 5,372,349 ------------ ------------ ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................ $(37,875,045) $ 13,971,010 $4,944,186 ============ ============ ==========
See notes to financial statements. 58
SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD INTERNATIONAL VALUE EQUITY GROWTH EQUITY BOND EQUITY ------------ ------------ ----------- ------------ ------------ ------------- $ 107,449 $ 488,903 $ 54,388 $ 56,769 $ 14,652,773 $ 266,476 14,390 290,983 45,778 36,099 -- 875,105 754,999 4,987,122 140,604 981,833 90,231 30,534,743 (2,150) (6,689) (734) (15,077) -- (3,310,260) ------------ ------------ ----------- ------------ ------------ ------------ 874,688 5,760,319 240,036 1,059,624 14,743,004 28,366,064 ------------ ------------ ----------- ------------ ------------ ------------ 725,328 4,752,909 458,270 1,409,153 981,387 5,311,563 30,997 158,541 36,036 35,425 63,473 795,530 11,313 16,299 11,215 13,111 13,597 17,578 6,759 22,681 1,528 10,426 5,155 28,367 4,380 23,281 678 4,199 2,278 9,196 909 5,957 554 1,848 1,069 6,910 ------------ ------------ ----------- ------------ ------------ ------------ 779,686 4,979,668 508,281 1,474,162 1,066,959 6,169,144 (27,676) -- (34,208) (10,107) (180) -- ------------ ------------ ----------- ------------ ------------ ------------ 752,010 4,979,668 474,073 1,464,055 1,066,779 6,169,144 ------------ ------------ ----------- ------------ ------------ ------------ 122,678 780,651 (234,037) (404,431) 13,676,225 22,196,920 ------------ ------------ ----------- ------------ ------------ ------------ 10,663,940 76,481,033 (263,339) 6,674,010 1,396,309 22,044,717 -- (91,430) -- -- -- -- -- (347) -- -- 74,676 (606,843) (21,416,727) (45,795,064) (4,696,530) (17,425,195) (13,205,218) (83,069,270) -- 43,060 -- -- -- -- -- 128 -- -- (883) (365,220) ------------ ------------ ----------- ------------ ------------ ------------ (10,752,787) 30,637,380 (4,959,869) (10,751,185) (11,735,116) (61,996,616) ------------ ------------ ----------- ------------ ------------ ------------ $(10,630,109) $ 31,418,031 $(5,193,906) $(11,155,616) $ 1,941,109 $(39,799,696) ============ ============ =========== ============ ============ ============
59 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
HIGH INTERMEDIATE MONEY QUALITY GOVERNMENT MARKET BOND BOND --------------- ------------- ------------ FROM OPERATIONS: Net investment income (loss)...................... $ 9,983,245 $ 11,566,717 $ 3,810,743 Net realized gains (losses) on transactions from: Securities...................................... 332 (904,924) (476,996) Futures, written and purchased options and short sales........................................ -- -- -- Foreign currency transactions................... -- -- -- Change in net unrealized appreciation (depreciation) on: Securities...................................... -- (2,258,428) 390,150 Futures, written and purchased options and short sales........................................ -- -- -- Foreign currency translations................... -- -- -- --------------- ------------- ------------ Net increase (decrease) in net assets resulting from operations................................. 9,983,577 8,403,365 3,723,897 --------------- ------------- ------------ FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions..................................... 1,427,096,087 163,895,294 32,185,568 Withdrawals....................................... (1,359,046,784) (112,620,968) (58,991,262) --------------- ------------- ------------ Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests....................................... 68,049,303 51,274,326 (26,805,694) --------------- ------------- ------------ Net increase (decrease) in net assets............. 78,032,880 59,677,691 (23,081,797) NET ASSETS: Beginning of period............................... 809,352,385 690,594,378 256,502,651 --------------- ------------- ------------ End of period..................................... $ 887,385,265 $ 750,272,069 $233,420,854 =============== ============= ============
--------------- (1) Commencement of Operations, May 6, 2005. See notes to financial statements. 60
TOTAL CORE RETURN VALUE & GROWTH & BOND BOND(1) BALANCED INCOME VALUE(1) INCOME -------------- ----------- ------------ -------------- ----------- -------------- $ 33,674,905 $ 314,421 $ 4,423,379 $ 18,824,426 $ 34,386 $ 4,821,171 3,609,777 205,639 18,002,950 165,875,407 4,872 21,761,311 615,430 (47,661) 435,385 -- -- (10,318) (6,287,801) 44,620 (513,012) -- -- (187) 941,487 471,922 (19,105,819) (158,537,701) 359,883 (29,381,699) (1,046,210) (41,323) (230,205) -- -- (51,923) 7,200,177 82,307 869,283 -- -- -- -------------- ----------- ------------ -------------- ----------- -------------- 38,707,765 1,029,925 3,881,961 26,162,132 399,141 (2,861,645) -------------- ----------- ------------ -------------- ----------- -------------- 323,836,270 50,002,000 37,960,606 366,086,022 10,002,000 110,147,154 (145,063,495) -- (53,436,789) (272,282,156) -- (149,017,592) -------------- ----------- ------------ -------------- ----------- -------------- 178,772,775 50,002,000 (15,476,183) 93,803,866 10,002,000 (38,870,438) -------------- ----------- ------------ -------------- ----------- -------------- 217,480,540 51,031,925 (11,594,222) 119,965,998 10,401,141 (41,732,083) 1,655,367,885 -- 419,726,689 2,705,463,322 -- 1,135,948,434 -------------- ----------- ------------ -------------- ----------- -------------- $1,872,848,425 $51,031,925 $408,132,467 $2,825,429,320 $10,401,141 $1,094,216,351 ============== =========== ============ ============== =========== ==============
61 DIVERSIFIED INVESTORS PORTFOLIOS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) FOR THE PERIOD ENDED JUNE 30, 2005 (UNAUDITED)
EQUITY MID-CAP MID-CAP GROWTH VALUE GROWTH -------------- ------------ ------------ FROM OPERATIONS: Net investment income (loss)........................ $ 4,313,986 $ 3,641,758 $ (428,163) Net realized gains (losses) on transactions from: Securities........................................ 27,063,584 33,456,569 4,598,756 Futures, written and purchased options and short sales.......................................... -- -- -- Foreign currency transactions..................... -- -- -- Change in net unrealized appreciation (depreciation) on: Securities........................................ (69,252,534) (23,101,317) 773,593 Futures, written and purchased options and short sales.......................................... -- -- -- Foreign currency translations..................... (81) (26,000) -- -------------- ------------ ------------ Net increase (decrease) in net assets resulting from operations........................................ (37,875,045) 13,971,010 4,944,186 -------------- ------------ ------------ FROM TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS: Contributions....................................... 340,684,997 125,946,443 39,174,957 Withdrawals......................................... (280,047,561) (51,249,341) (26,465,157) -------------- ------------ ------------ Net increase (decrease) in net assets resulting from transactions in investors' beneficial interests... 60,637,436 74,697,102 12,709,800 -------------- ------------ ------------ Net increase (decrease) in net assets............... 22,762,391 88,668,112 17,653,986 NET ASSETS: Beginning of period................................. 2,290,559,947 414,710,679 210,100,872 -------------- ------------ ------------ End of period....................................... $2,313,322,338 $503,378,791 $227,754,858 ============== ============ ============
See notes to financial statements. 62
SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE HIGH YIELD INTERNATIONAL VALUE EQUITY GROWTH EQUITY BOND EQUITY ------------ -------------- ------------ ------------ ------------ -------------- $ 122,678 $ 780,651 $ (234,037) $ (404,431) $ 13,676,225 $ 22,196,920 10,663,940 76,481,033 (263,339) 6,674,010 1,396,309 22,044,717 -- (91,430) -- -- -- -- -- (347) -- -- 74,676 (606,843) (21,416,727) (45,795,064) (4,696,530) (17,425,195) (13,205,218) (83,069,270) -- 43,060 -- -- -- -- -- 128 -- -- (883) (365,220) ------------ -------------- ------------ ------------ ------------ -------------- (10,630,109) 31,418,031 (5,193,906) (11,155,616) 1,941,109 (39,799,696) ------------ -------------- ------------ ------------ ------------ -------------- 49,635,203 163,818,719 23,688,835 56,092,416 60,301,452 234,492,244 (19,187,646) (171,913,421) (12,437,743) (74,713,861) (40,439,553) (149,216,317) ------------ -------------- ------------ ------------ ------------ -------------- 30,447,557 (8,094,702) 11,251,092 (18,621,445) 19,861,899 85,275,927 ------------ -------------- ------------ ------------ ------------ -------------- 19,817,448 23,323,329 6,057,186 (29,777,061) 21,803,008 45,476,231 172,735,949 1,227,530,742 108,429,152 397,726,867 351,772,536 1,401,617,944 ------------ -------------- ------------ ------------ ------------ -------------- $192,553,397 $1,250,854,071 $114,486,338 $367,949,806 $373,575,544 $1,447,094,175 ============ ============== ============ ============ ============ ==============
63 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. 64
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 ============ ==============
65 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ COMMERCIAL PAPER -- 34.8% $34,410,000 AIG Funding, Inc., 3.08%, 07/08/05.............. $ 34,389,392 33,890,000 Citigroup, Inc., 3.10%, 07/01/05.............. 33,890,000 33,280,000 Credit Suisse First Boston USA, Inc., 3.03%, 07/11/05.............. 33,251,990 28,610,000 Deutsche Bank Financial LLC, 3.17%, 07/07/05.............. 28,594,908 33,890,000 Jupiter Securities Corp. -- 144A, 3.07%, 07/06/05.............. 33,875,550 34,570,000 Rabobank USA Financial Corp., 3.35%, 11/10/05.............. 34,145,999 28,080,000 Sheffield Receivables -- 144A, 3.18%, 07/15/05.............. 28,045,329 5,810,000 Sheffield Receivables -- 144A, 3.19%, 07/15/05.............. 5,802,792 43,000,000 UBS Finance (Delaware), 3.39%, 07/01/05.............. 43,000,000 34,100,000 Windmill Funding Corp. -- 144A, 3.10%, 07/20/05.............. 34,044,209 ------------ TOTAL COMMERCIAL PAPER (Cost $309,040,169)................ 309,040,169 ------------ YANKEE CERTIFICATES OF DEPOSIT -- 15.2% 33,620,000 Abbey National Treasury, 3.11%, 07/18/05.............. 33,620,000 34,410,000 BNP Paribas New York, 3.18%, 08/09/05.............. 34,410,000 33,640,000 Canadian Imperial Bank, 3.05%, 07/01/05.............. 33,640,000 33,100,000 Dexia Credit Local SA, 3.06%, 07/05/05.............. 33,100,000 ------------ TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $134,770,000)................ 134,770,000 ------------ MEDIUM TERM CORPORATE NOTES -- 1.5% 13,000,000 Caterpillar Financial Service Corp., Variable Rate, 1.24%, 07/09/05(a) (Cost $13,000,000)................. 13,000,000 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 5.4% FREDDIE MAC 33,580,000 3.80%, 07/12/06................ 33,580,000 14,100,000 Variable Rate, 3.08%, 10/07/05(a)........... 14,100,000 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $47,680,000)................. 47,680,000 ------------
PRINCIPAL VALUE --------- ------------ SHORT TERM CORPORATE NOTES -- 20.6% $16,900,000 American Express Credit Company, Variable Rate, 3.23%, 04/05/06(a)........... $ 16,908,576 34,690,000 Bank of America Corp., 3.20%, 08/22/05.............. 34,690,000 33,400,000 Barclays Bank PLC New York, Variable Rate, 3.21%, 06/21/06(a)........... 33,396,270 16,970,000 Goldman Sachs Group, Inc., Variable Rate, 3.27%, 05/24/06(a)........... 16,970,000 33,400,000 HSBC Finance Corp., Series MTN, Variable Rate, 3.49%, 06/22/06(a)........... 33,428,482 14,000,000 Merrill Lynch & Company, Series MTN, Variable Rate, 3.36%, 02/10/06(a)........... 14,000,000 33,850,000 Morgan Stanley, Variable Rate, 3.13%, 02/03/06(a)........... 33,850,000 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $183,243,328).... 183,243,328 ------------ TOTAL SECURITIES (Cost $687,733,497)................ 687,733,497 ------------ REPURCHASE AGREEMENTS -- 22.4% 43,000,000 With Bank of America, dated 06/30/05, 3.35%, due 07/01/05, repurchase proceeds at maturity $43,004,001 (Collateralized by various Freddie Mac Discount Notes, zero coupon, due 10/31/05 - 12/20/05, with a total value of $43,860,578)................. 43,000,000 43,000,000 With Barclays Bank, dated 06/30/05, 3.37%, due 07/01/05, repurchase proceeds at maturity $43,004,025 (Collateralized by Fannie Mae Discount Note, zero coupon, due 11/02/05, with a value of $36,797,072 and Freddie Mac Discount Note, zero coupon, due 04/13/06, with a value of $7,063,054).................. 43,000,000 5,454 With Investors Bank & Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $5,454 (Collateralized by Small Business Administration, 6.13%, due 06/25/26, with a value of $5,726)............. 5,454 69,680,000 With Morgan Stanley, dated 06/30/05, 3.35%, due 07/01/05, repurchase proceeds at maturity $69,686,484 (Collateralized by various Freddie Mac Discount Notes, zero coupon, due 03/27/06-03/31/06, with a total value of $71,076,254)................. 69,680,000
See notes to financial statements. 66 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS (CONTINUED) $43,000,000 With UBS Securities LLC, dated 06/30/05, 3.40%, due 07/01/05, repurchase proceeds at maturity $43,004,061 (Collateralized by Fannie Mae, 6.25%, due 02/01/11, with a value of $36,397,661, and Freddie Mac, 5.75%, due 01/15/12, with a value of $7,465,596).................. $ 43,000,000 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $198,685,454).......... 198,685,454 ------------ Total Investments -- 99.9% (Cost $886,418,951).......... 886,418,951 Other assets less liabilities -- 0.1%.......... 966,314 ------------ NET ASSETS -- 100.0%........... $887,385,265 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $886,418,951. --------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 67 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 76.9% AEROSPACE AND DEFENSE -- 0.6% $ 4,375,000 The Boeing Company, 8.10%, 11/15/06..................... $ 4,572,006 ------------ AUTOMOBILES -- 0.7% 5,150,000 Daimler Chrysler NA Holding, 4.13%, 03/07/07.............. 5,129,663 ------------ BANKS -- 18.2% 1,000,000 Abbey National PLC, Series EMTN (United Kingdom), 6.69%, 10/17/05.............. 1,008,505 2,905,000 ABN AMRO Bank NV (Chicago), 7.13%, 06/18/07.............. 3,065,495 5,000,000 Amsouth Bank NA, Series BKNT, Floating Rate, 3.19%, 01/20/06(b).................. 5,003,395 1,000,000 Bank of America Corp., 6.20%, 02/15/06..................... 1,013,661 4,000,000 Bank of America Corp., 7.13%, 03/01/09..................... 4,378,200 1,500,000 Bank of America Corp., Series MTN1, Floating Rate, 3.55%, 08/26/05(b).................. 1,500,318 4,100,000 Bank of Montreal-Chicago, 6.10%, 09/15/05.............. 4,118,889 3,000,000 Bank of Montreal-Chicago, 7.80%, 04/01/07.............. 3,182,241 4,600,000 Bank of Scotland -- 144A (United Kingdom), 3.50%, 11/30/07.............. 4,543,696 5,600,000 Bank One Corp., 2.63%, 06/30/08.............. 5,360,393 2,000,000 BankBoston NA, Series BKNT, 6.38%, 04/15/08.............. 2,113,302 2,000,000 Fifth Third Bank, 6.75%, 07/15/05.............. 2,001,648 2,000,000 HBOS Treasury Services PLC -- 144A (United Kingdom), 3.75%, 09/30/08..................... 1,985,062 5,333,000 HSBC Bank (United Kingdom), 7.63%, 06/15/06.............. 5,503,715 1,000,000 HSBC Bank PLC, USA, 6.95%, 03/15/11..................... 1,149,554 2,650,000 Inter-American Development Bank, 8.40%, 09/01/09........ 3,092,759 5,000,000 KFW International Finance, Series DTC, 5.25%, 06/28/06.............. 5,060,320 2,000,000 KFW International Finance, Series DTC, 4.75%, 01/24/07.............. 2,030,696 4,545,455 National City Bank, Series BKNT, 2.70%, 08/24/09........ 4,403,755
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 2,825,000 National City Bank, Series BKNT, 4.25%, 01/29/10........ $ 2,826,760 1,000,000 National Westminster Bank (United Kingdom), 7.38%, 10/01/09..................... 1,123,580 6,115,000 Nordea Bank Finland PLC, New York Branch, 6.50%, 01/15/06.............. 6,208,504 5,000,000 SouthTrust Bank NA, Series BKNT, Floating Rate, 3.35%, 12/14/05(b).................. 5,000,020 4,000,000 SunTrust Banks, Inc., Series BKNT, Floating Rate, 3.12%, 10/03/05(b).................. 4,001,296 3,000,000 Svenska Handelsbanken (Sweden), 8.13%, 08/15/07.............. 3,236,019 3,000,000 Swiss Bank Corp., 7.25%, 09/01/06.............. 3,098,865 3,000,000 US Bancorp, Series MTNN, 5.10%, 07/15/07..................... 3,060,612 2,145,000 US Bank NA (Minnesota), Series BKNT, 7.30%, 08/15/05.............. 2,152,392 3,000,000 US Bank NA, Series BKNT, Floating Rate, 3.35%, 12/05/05(b)........... 3,000,858 6,300,000 US Central Credit Union, 2.75%, 05/30/08..................... 6,120,028 1,500,000 Wachovia Corp., 7.55%, 08/18/05.............. 1,507,241 3,125,000 Wachovia Corp., 5.63%, 12/15/08.............. 3,287,681 7,000,000 Wachovia Corp., Floating Rate, 3.37%, 07/20/07(b)........... 7,010,527 6,725,000 Washington Mutual, Inc., 7.50%, 08/15/06..................... 6,962,829 3,166,000 Wells Fargo & Company, 6.88%, 04/01/06..................... 3,230,982 4,000,000 Wells Fargo & Company, Floating Rate, 3.50%, 09/15/06(b)........... 4,006,044 6,000,000 Wells Fargo & Company, Floating Rate, 3.54%, 09/28/07(b)........... 6,010,254 2,150,000 Wells Fargo & Company, Series MTN, Floating Rate, 3.42%, 03/10/08(b)(d)............... 2,150,596 1,000,000 Wells Fargo & Company, Series MTNH, 6.75%, 10/01/06.............. 1,033,704 ------------ 135,544,396 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.3% 2,500,000 First Data Corp., 6.75%, 07/15/05.............. 2,502,098 ------------
See notes to financial statements. 68 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) '-FINANCIAL SERVICES -- 9.0% $ 5,550,000 Capital One Bank, Series BKNT, 6.70%, 05/15/08.............. $ 5,896,997 2,050,000 Caterpillar Financial Services Corp., Series MTND, 9.50%, 02/06/07..................... 2,169,656 5,000,000 Citigroup, Inc., 3.50%, 02/01/08.............. 4,932,515 4,500,000 Citigroup, Inc., Floating Rate, 3.41%, 06/04/07(b)........... 4,505,135 3,570,000 General Electric Capital Corp., 8.30%, 09/20/09.............. 4,121,554 1,000,000 General Electric Capital Corp., Series MTNA, 8.70%, 03/01/07.............. 1,070,677 6,000,000 Goldman Sachs Group, Inc., Series MTN1, Floating Rate, 3.27%, 01/09/07(b)........... 6,010,698 1,000,000 Heller Financial, Inc., 6.38%, 03/15/06..................... 1,017,041 7,000,000 Lehman Brothers Holdings, Inc., 8.25%, 06/15/07.............. 7,543,053 2,250,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08.............. 2,403,743 5,000,000 Morgan Stanley, 3.88%, 01/15/09.............. 4,940,560 2,000,000 Morgan Stanley, Floating Rate, 3.31%, 07/27/07(b)........... 2,003,160 8,000,000 Residential Capital Corp. -- 144A, 6.38%, 06/30/10..................... 8,046,976 2,100,000 The Bear Stearns Companies, Inc., 3.25%, 03/25/09........ 2,025,626 6,000,000 The Bear Stearns Companies, Inc., Floating Rate, 3.34%, 04/29/08(b).................. 6,007,350 2,454,540 Toyota Motor Credit Corp., Series MTN, 2.75%, 08/06/09.............. 2,400,822 2,500,000 Toyota Motor Credit Corp., Series MTN, Floating Rate, 3.24%, 09/09/05(c)........... 2,500,498 ------------ 67,596,061 ------------ FOOD AND BEVERAGE -- 0.8% 6,000,000 Kellogg Company, Series B, 6.00%, 04/01/06.............. 6,098,856 ------------ INSURANCE -- 0.4% 2,000,000 Met Life Global Funding I -- 144A, 4.25%, 07/30/09.............. 2,008,794 1,391,000 Principal Life Income Funding, 3.20%, 04/01/09.............. 1,346,060 ------------ 3,354,854 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS -- 1.3% $ 3,500,000 ConocoPhillips, 8.75%, 05/25/10.............. $ 4,173,600 1,840,000 Michigan Consolidated Gas Company, 6.13%, 09/01/08.............. 1,935,516 3,760,000 Tosco Corp., 7.25%, 01/01/07.............. 3,916,051 ------------ 10,025,167 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.4% 3,000,000 Abbott Laboratories, 5.63%, 07/01/06..................... 3,050,907 ------------ PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 14.0% 6,500,000 AmeriCredit Automobile Receivables Trust, Series 2005-AX, Class A3, 3.63%, 01/06/10..................... 6,460,097 4,500,000 Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12..................... 4,492,446 3,000,000 Capital Auto Receivables Asset Trust, Series 2005-1, Class A4, 4.05%, 07/15/09.......... 3,005,616 893,646 Capital One Auto Finance Trust, Series 2003-A, Class A3A, 1.83%, 10/15/07.............. 890,187 4,000,000 Capital One Auto Finance Trust, Series 2005-A, Class A3, 4.28%, 07/15/09.............. 4,011,452 2,000,000 Capital One Auto Finance Trust, Series 2005-BSS, Class A3, 4.08%, 11/15/09.............. 1,998,438 3,500,000 Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10.............. 3,467,657 4,500,000 Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11..................... 4,427,825 3,000,000 Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11.............. 2,981,250 1,146,912 Chevy Chase Auto Receivables Trust, Series 2001-2, Class A4, 4.44%, 04/16/07.......... 1,148,793 7,500,000 Fifth Third Auto Trust, Series 2004-A, Class A4, 3.70%, 10/20/11..................... 7,449,005 2,250,000 Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10.............. 2,273,031 4,525,000 Franklin Auto Trust, Series 2003-1, Class A4, 2.27%, 05/20/11.............. 4,443,355
See notes to financial statements. 69 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $ 2,000,000 Franklin Auto Trust, Series 2004-1, Class A2, 3.57%, 03/16/09.............. $ 1,990,474 3,000,000 Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11.......... 2,924,132 973,123 Household Automotive Trust, Series 2003-1, Class A3, 1.73%, 12/17/07.............. 968,750 753,479 Hyundai Auto Receivables Trust, Series 2002-A, Class A3, 2.80%, 02/15/07.............. 752,532 204,729 Marshall & Ilsley Auto Loan Trust, Series 2002-1, Class A3, 2.49%, 10/22/07.......... 204,669 3,500,000 National City Auto Receivables Trust, Series 2004-A, Class A3, 2.11%, 07/15/08.......... 3,456,557 1,404,318 Onyx Acceptance Owner Trust, Series 2004-A, Class A3, 2.19%, 03/17/08.............. 1,395,550 3,250,000 Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11.............. 3,234,319 560,494 Provident Auto Lease ABS Trust, Series 1999-1, Class A2, 7.03%, 01/14/12.............. 569,757 3,696,095 Regions Auto Receivables Trust, Series 2003-2, Class A3, 2.31%, 01/15/08.............. 3,671,802 1,923,553 Ryder Vehicle Lease Trust, Series 2001-A, Class A5, 6.17%, 11/15/07.............. 1,947,132 3,213,800 Susquehanna Auto Lease Trust -- 144A, Series 2003-1, Class A3, 2.46%, 01/14/07.............. 3,192,984 5,600,000 Susquehanna Auto Lease Trust -- 144A, Series 2005-1, Class A3, 4.43%, 06/16/08.............. 5,642,000 4,858,247 Triad Auto Receivables Owner Trust, Series 2002-A, Class A4, 3.24%, 08/12/09.............. 4,837,881 7,879,585 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.27%, 10/22/07.............. 7,823,848 8,500,000 Wachovia Auto Owner Trust, Series 2004-A, Class A4, 3.66%, 07/20/10.............. 8,436,891 4,500,000 WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11.............. 4,425,678
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $ 2,653,072 Whole Auto Loan Trust, Series 2003-1, Class A3B, 1.99%, 05/15/07.............. $ 2,635,448 ------------ 105,159,556 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 4.5% 1,625,000 Advanta Business Card Master Trust, Series 2000-C, Class B, Floating Rate, 3.96%, 04/20/08(c)........... 1,626,493 1,500,000 Chemical Master Credit Card Trust 1, Series 1996-2, Class A, 5.98%, 09/15/08.............. 1,517,529 5,000,000 Citibank Credit Card Issuance Trust, Series 2000-A3, Class A3, 6.88%, 11/16/09.............. 5,330,538 2,000,000 Citibank Credit Card Issuance Trust, Series 2003-A6, Class A6, 2.90%, 05/17/10.............. 1,940,310 5,375,000 Citibank Omni-S Master Trust, Series 2000-2, Class A, 6.75%, 09/16/09.............. 5,411,510 3,000,000 Fleet Credit Card Master Trust II, Series 2001-B, Class A, 5.60%, 12/15/08.............. 3,047,461 4,100,000 GE Credit Card Master Note Trust, Series 2005-3, Class A, 4.13%, 06/15/13.............. 4,100,641 1,700,000 Household Private Label Credit Card Master Note Trust I, Series 2002-2, Class A, Floating Rate, 3.39%, 01/18/11(c)........... 1,703,541 6,000,000 Nordstrom Private Label Credit Card -- 144A, Series 2001-1A, Class A, 4.82%, 04/15/10.............. 6,064,598 500,000 Prime Credit Card Master Trust, Series 2000-1, Class A, 6.70%, 10/15/09.............. 505,784 2,570,000 Standard Credit Card Master Trust, Series 1994-2, Class A, 7.25%, 04/07/08........... 2,635,902 ------------ 33,884,307 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 5.6% 5,250,000 Capital One Multi-Asset Execution Trust, Series 2005-A3, Class A3, 4.05%, 03/15/13..................... 5,226,211 1,453,080 Caterpillar Financial Asset Trust, Series 2003-A, Class A3, 1.66%, 12/26/07.............. 1,437,661 4,500,000 Caterpillar Financial Asset Trust, Series 2004-A, Class A3, 3.13%, 01/26/09.............. 4,459,964
See notes to financial statements. 70 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES (CONTINUED) $ 3,357,709 Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18.............. $ 3,357,054 436,300 Distribution Financial Services Trust, Series 2001-1, Class A4, 5.67%, 01/17/17.............. 437,747 3,000,000 First National Master Note Trust, Series 2003-1, Class A, Floating Rate, 3.32%, 08/15/08(c)........... 3,004,055 185,349 Morgan Stanley Capital, Series 1999-RM1, Class A1, 6.37%, 12/15/31.............. 187,967 498,369 Morgan Stanley Capital, Series 2001-TOP3, Class A1, 5.31%, 07/15/33.............. 501,405 1,550,000 Morgan Stanley Capital I, Series 2001-IQA, Class A2, 5.33%, 12/18/32.............. 1,577,097 161,186 Morgan Stanley Capital I, Series 2002-HQ, Class A1, 4.59%, 04/15/34.............. 161,563 1,601,071 Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41.............. 1,577,773 1,644,832 Morgan Stanley Capital I, Series 2004-T13, Class A1, 2.85%, 09/13/45.............. 1,602,810 6,866,688 Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42.............. 6,940,864 2,046,693 Navistar Financial Corp. Owner Trust, Series 2001-B, Class A4, 4.37%, 11/17/08.............. 2,048,218 1,771,081 PSE&G Transition Funding LLC, Series 2001-1, Class A3, 5.98%, 06/15/08.............. 1,793,349 3,550,000 PSE&G Transition Funding LLC, Series 2001-1, Class A5, 6.45%, 03/15/13.............. 3,910,275 3,365,345 Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10.............. 3,449,653 ------------ 41,673,666 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 9.4% 2,616,165 Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A1, 3.37%, 07/11/43.............. 2,597,190 2,561,028 Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41.............. 2,523,863
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 1,700,866 Bear Stearns Commercial Mortgage Securities, Inc., Series 1998-C1, Class A1, 6.34%, 06/16/30.............. $ 1,742,778 883,655 Bear Stearns Commercial Mortgage Securities, Inc., Series 1999-C1, Class A1, 5.91%, 02/14/31.............. 874,408 1,661,648 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16.............. 1,694,260 883,655 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35.............. 878,754 1,825,887 Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42.............. 1,807,885 2,355,029 Commercial Mortgage Pass- Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39.............. 2,297,666 5,000,000 Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CP4, Class A2, 5.87%, 12/15/35.............. 5,203,079 3,645,355 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A1, 2.08%, 05/15/38.............. 3,524,678 3,619,405 Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C1, Class A1, 2.25%, 01/15/37.............. 3,531,399 816,017 GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38.............. 844,681 508,908 GE Capital Commercial Mortgage Corp., Series 2002-1, Class A1, 5.03%, 12/10/35.............. 514,323 3,654,953 GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A1, 4.23%, 12/10/37.............. 3,665,207 2,875,689 GE Capital Commercial Mortgage Corp., Series 2004-C3, Class A1, 3.75%, 07/10/39.............. 2,850,499 2,463,587 GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48.............. 2,461,270 2,200,000 GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25.............. 2,197,478
See notes to financial statements. 71 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 604,261 IMC Home Equity Loan Trust, Series 1997-3, Class A7, 7.08%, 08/20/28.............. $ 603,573 1,238,745 Interstar Millennium Trust, Series 2003-3G, Class A2 (Australia), Floating Rate, 3.72%, 09/27/35(b)........... 1,244,361 2,039,680 Interstar Millennium Trust, Series 2004-2G, Class A (Australia), Floating Rate, 3.60%, 03/14/36(b)........... 2,041,603 835,553 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34.............. 837,328 3,493,242 JP Morgan Mortgage Trust, Series 2005-A1, Class 5A1, 4.48%, 02/25/35.............. 3,464,633 1,757,213 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A1, 2.72%, 03/15/27.............. 1,716,959 1,850,000 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27.............. 1,814,181 2,745,726 LB-UBS Commercial Mortgage Trust, Series 2003-C3, Class A1, 2.60%, 05/15/27.............. 2,668,897 3,000,000 LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27.............. 2,951,364 1,901,507 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29.............. 1,894,148 3,000,000 Popular ABS Mortgage Pass- Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35.............. 3,001,703 3,400,000 Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI4, 4.26%, 06/25/29.............. 3,387,844 1,400,686 Vendee Mortgage Trust, Series 1996-1, Class 1K, 6.75%, 11/15/12.............. 1,406,125 4,324,402 Wachovia Bank Commercial Mortgage Trust, Series 2003-4, Class A1, 3.00%, 04/15/35.............. 4,240,610 ------------ 70,482,747 ------------ PRIVATE ASSET BACKED: OTHER -- 6.4% 1,809,666 Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33.............. 1,798,172
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: OTHER (CONTINUED) $ 4,672,000 California Infrastructure PG&E Corp., Series 1997-1, Class A8, 6.48%, 12/26/09.............. $ 4,888,872 2,247,960 California Infrastructure SCE-1, Series 1997-1, Class A6, 6.38%, 09/25/08.............. 2,289,690 1,190,555 CIT Equipment Collateral, Series 2003-VT1, Class A3B, 1.63%, 04/20/07.............. 1,178,937 2,000,000 CIT Equipment Collateral, Series 2004-VT1, Class A3, 2.20%, 03/20/08.............. 1,975,747 2,583,450 CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13.............. 2,628,089 5,000,000 CNH Equipment Trust, Series 2004-A, Class A3B, 2.94%, 10/15/08.............. 4,927,520 2,000,000 CNH Wholesale Master Note Trust, Series 2003-1, Class A, Floating Rate, 3.42%, 08/15/08(c)........... 2,001,072 6,000,000 Connecticut RRB Special Purpose Trust CL&P1, Series 2001-1, Class A3, 5.73%, 03/30/09.............. 6,108,485 2,233,458 Crusade Global Trust, Series 2004-2, Class A1 (Australia), Floating Rate, 3.40%, 11/19/37(b)........... 2,237,346 4,000,000 GE Dealer Floorplan Master Note Trust, Series 2004-2, Class A, Floating Rate, 3.34%, 07/20/09(c)........... 4,008,501 1,000,000 GE Floorplan Master Note Trust, Series 2004-1, Class B, Floating Rate, 3.52%, 07/20/08(c)........... 1,001,042 2,427,657 Illinois Power Special Purpose Trust, Series 1998-1, Class A6, 5.54%, 06/25/09.............. 2,470,351 4,243,750 Nelnet Student Loan Corp., Series 2001-A, Class A1, 5.76%, 07/01/12.............. 4,364,732 1,767,809 PBG Equipment Trust, Series 1A, Class A, 6.27%, 01/20/12.............. 1,771,638 2,300,000 Permanent Financing PLC, Series 7, Class 2A (United Kingdom), Floating Rate, 3.42%, 09/10/14(b)........... 2,299,281 2,400,000 Providian Gateway Master Trust - 144A, Series 2004-FA, Class A, 3.65%, 11/15/11.............. 2,373,374 ------------ 48,322,849 ------------
See notes to financial statements. 72 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: RECEIVABLES -- 0.3% $ 2,356,893 Alter Moneta Receivables LLC - 144A, Series 2003-1, 2.56%, 03/15/11.............. $ 2,343,024 ------------ PRIVATE ASSET BACKED: TRANSPORTATION -- 1.1% 2,150,000 E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18.............. 2,125,097 1,009,942 Railcar Leasing LLC - 144A, Series 1, Class A1, 6.75%, 07/15/06.............. 1,024,520 5,000,000 Railcar Leasing LLC, Series 1, Class A2, 7.13%, 01/15/13.............. 5,464,575 ------------ 8,614,192 ------------ PRIVATE ASSET BACKED: UTILITIES -- 1.0% 5,000,000 PECO Energy Transition Trust, Series 1999-A, Class A6, 6.05%, 03/01/09.............. 5,105,520 2,000,000 PECO Energy Transition Trust, Series 2001-A, Class A1, 6.52%, 12/31/10.............. 2,208,473 ------------ 7,313,993 ------------ SPECIAL PURPOSE ENTITY -- 2.0% 7,475,000 Allstate Life Global Funding Trust, Series MTN, 3.85%, 01/25/08.............. 7,429,619 2,500,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09.............. 2,482,018 5,000,000 New York Life Global Funding -- 144A, Floating Rate, 3.36%, 02/26/07(b)........... 5,004,460 ------------ 14,916,097 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.3% 2,000,000 SBC Communications Capital Corp., Series MTND, 6.68%, 11/28/07.............. 2,103,216 ------------ UTILITIES: ELECTRIC -- 0.6% 3,000,000 Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09..................... 3,055,314 1,275,000 Virginia Electric & Power, Series A, 5.38%, 02/01/07.............. 1,298,649 ------------ 4,353,963 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $584,711,210).......... 577,041,618 ------------
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 3.0% US TREASURY NOTES $23,300,000 2.75%, 08/15/07(d) (Cost $23,107,073)........... $ 22,877,711 ------------ US GOVERNMENT AGENCY SECURITIES -- 14.9% FANNIE MAE -- 2.9% 1,257,711 PL# 254062, 6.00%, 10/01/11.............. 1,301,797 2,484,457 PL# 254754, 4.50%, 05/01/10.............. 2,480,331 3,548,132 PL# 254758, 4.50%, 06/01/13.............. 3,548,609 1,774,644 PL# 254805, 5.00%, 06/01/13.............. 1,811,456 3,573,208 PL# 254807, 5.00%, 07/01/13.............. 3,647,329 889,281 PL# 323743, 5.00%, 04/01/14.............. 901,326 546,426 PL# 429168, 6.00%, 05/01/13.............. 565,618 485,375 PL# 50903, 6.00%, 09/01/08.............. 499,235 612,180 PL# 50973, 6.00%, 01/01/09.............. 629,661 552,254 PL# 517699, 6.00%, 07/01/14.............. 571,570 1,875,828 PL# 545038, 6.00%, 09/01/14.............. 1,941,234 3,394,646 PL# 555154, 5.50%, 12/01/22.............. 3,467,070 419,814 PL# 609771, 6.00%, 09/01/08.............. 433,514 ------------ 21,798,750 ------------ FEDERAL FARM CREDIT BANK -- 0.5% 3,500,000 2.50%, 11/15/05................ 3,487,960 ------------ FEDERAL HOME LOAN BANK -- 0.9% 6,632,612 Series 6T-9009, 3.84%, 11/25/09.............. 6,560,900 ------------ FREDDIE MAC GOLD -- 0.6% 217,566 PL# E00532, 6.50%, 02/01/13.............. 226,384 376,250 PL# E00542, 6.50%, 04/01/13.............. 391,656 970,942 PL# E00676, 5.50%, 06/01/14.............. 997,817 1,390,059 PL# E89557, 5.50%, 04/01/17.............. 1,427,622 1,314,447 PL# M90802, 4.00%, 03/01/08.............. 1,307,832 ------------ 4,351,311 ------------
See notes to financial statements. 73 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.3% $ 2,250,335 PL# 436708, 5.75%, 12/15/22.............. $ 2,322,271 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 9.1% 2,493,190 Fannie Mae -- ACES, Series 1998-M1, Class A2, 6.25%, 01/25/08..................... 2,585,751 1,548,755 Fannie Mae, Series 1993-234, Class PC, 5.50%, 12/25/08.............. 1,564,175 5,400,000 Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26.............. 5,318,650 2,300,000 Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27.............. 2,277,567 5,000,000 Fannie Mae, Series 2003-46, Class PQ, 3.00%, 06/25/19.............. 4,942,066 2,550,000 Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26.............. 2,477,094 3,224,167 Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33.............. 3,199,290 1,500,000 Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25.............. 1,467,202 6,873,853 Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31.............. 6,709,657 3,952,328 Fannie Mae, Series 2004-21, Class QA, 4.00%, 11/25/17.............. 3,945,723 3,820,787 Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29.............. 3,755,882 6,700,000 Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16.............. 6,654,256 6,326,677 Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09.............. 6,292,994 3,280,081 Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09.............. 3,254,240 153,252 Freddie Mac, Series 2557, Class MA, 4.50%, 07/15/16.............. 153,143 2,838,466 Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29.............. 2,782,126
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 6,143,034 Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16.............. $ 6,095,673 4,590,793 Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13.............. 4,613,971 ------------ 68,089,460 ------------ PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.6% 5,000,000 Student Loan Marketing Association Student Loan Trust - 144A, Series 2003-4, Class A5B, 3.39%, 03/15/33.............. 4,854,875 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $112,856,156).......... 111,465,527 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 1.2% 5,000,000 Hydro Quebec, Series MTNB, 6.52%, 02/23/06.............. 5,084,000 4,000,000 Province of Ontario (Canada), 5.50%, 10/01/08.............. 4,199,132 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $9,237,451)............ 9,283,132 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 2.4% FANNIE MAE -- 0.8% 6,000,000 3.04%, 07/06/05................ 5,997,467 ------------ FEDERAL HOME LOAN BANK -- 0.8% 6,000,000 3.14%, 07/13/05................ 5,993,720 ------------ FREDDIE MAC -- 0.8% 6,400,000 3.20%, 07/20/05................ 6,389,204 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $18,380,391)........... 18,380,391 ------------ SECURITIES LENDING COLLATERAL -- 3.4% 25,140,250 Securities Lending Collateral Investment (Note 4) (Cost $25,140,250)........... 25,140,250 ------------ TOTAL SECURITIES (Cost $773,432,531).......... 764,188,629 ------------
See notes to financial statements. 74 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENT -- 0.9% $ 6,530,904 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $6,531,378 (Collateralized by Small Business Administration, 6.33%, due 11/25/16, with a value of $6,857,450) (Cost $6,530,904).................. $ 6,530,904 ------------ Total Investments -- 102.7% (Cost $779,963,435).......... 770,719,533 Liabilities less other assets -- (2.7)%............. (20,447,464) ------------ NET ASSETS -- 100.0%........... $750,272,069 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $779,963,435. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.............. $ 795,989 Gross unrealized depreciation.............. (10,039,891) ------------ Net unrealized depreciation................ $ (9,243,902) ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 75 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 64.6% US TREASURY NOTES $ 2,000,000 2.38%, 08/15/06................ $ 1,974,532 2,000,000 6.50%, 10/15/06................ 2,073,204 39,657,000 3.50%, 05/31/07................ 39,548,578 2,175,000 3.25%, 08/15/07(d)............. 2,158,094 2,610,000 3.00%, 11/15/07(d)............. 2,572,891 2,325,000 3.00%, 02/15/08................ 2,288,037 1,393,000 3.38%, 02/15/08(d)............. 1,383,314 2,855,000 2.63%, 05/15/08................ 2,775,263 2,300,000 3.13%, 09/15/08................ 2,261,728 2,500,000 3.13%, 10/15/08(d)............. 2,457,130 1,700,000 4.75%, 11/15/08................ 1,756,845 2,142,000 3.38%, 12/15/08................ 2,121,167 2,000,000 3.25%, 01/15/09(d)............. 1,972,110 32,125,000 3.00%, 02/15/09(d)............. 31,384,647 1,945,000 3.13%, 04/15/09................ 1,906,633 2,495,000 3.38%, 09/15/09................ 2,462,353 2,250,000 3.38%, 10/15/09................ 2,219,065 2,000,000 3.50%, 12/15/09(d)............. 1,981,798 2,000,000 3.63%, 01/15/10................ 1,991,172 9,765,000 4.00%, 04/15/10................ 9,874,866 1,950,000 3.63%, 05/15/13................ 1,925,779 12,912,000 4.25%, 08/15/13................ 13,238,841 1,750,000 4.00%, 02/15/14................ 1,761,076 9,926,000 4.75%, 05/15/14................ 10,535,526 2,584,000 4.00%, 02/15/15................ 2,593,995 3,527,000 4.13%, 05/15/15................ 3,579,630 ------------ TOTAL US TREASURY SECURITIES (Cost $150,896,803).......... 150,798,274 ------------ US GOVERNMENT AGENCY SECURITIES -- 9.5% FANNIE MAE -- 8.2% 8,186,000 7.13%, 06/15/10................ 9,332,687 1,410,000 5.00%, 04/15/15................ 1,492,436 2,671,860 PL# 648688, 6.50%, 07/01/32.............. 2,775,957 5,383,618 PL# 818844, Variable Rate, 4.53%, 12/01/34(a)........... 5,413,821 ------------ 19,014,901 ------------ FEDERAL HOME LOAN BANK -- 1.3% 1,500,000 Series 363, 4.50%, 11/15/12.............. 1,535,613 1,500,000 Series P113, 5.13%, 05/24/13.............. 1,599,834 ------------ 3,135,447 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $21,968,665)................. 22,150,348 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 19.9% PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 4.3% $ 4,665,000 Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11.............. $ 4,590,179 2,102,000 Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11.............. 2,091,858 2,037,000 Triad Auto Receivables Owner Trust, Series 2005-A, Class A4, 4.22%, 06/12/12.............. 2,046,363 1,276,000 Wells Fargo Financial Auto Owner Trust, Series 2005-A, Class A4, 4.28%, 05/15/12.............. 1,283,377 ------------ 10,011,777 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 3.5% 1,075,000 Chase Issuance Trust, Series 2005-A4, Class A4, 4.23%, 01/15/13.............. 1,080,039 1,822,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42.............. 1,835,865 1,660,000 Morgan Stanley Capital I, Series 2005-T17, Class A5, 4.78%, 12/13/41.............. 1,688,730 2,142,000 Navistar Financial Corp. Owner Trust, Series 2004-A, Class A4, 2.59%, 03/15/11.............. 2,081,278 1,507,000 WFS Financial Owner Trust, Series 2004-4, Class A4, 3.44%, 05/17/12.............. 1,488,801 ------------ 8,174,713 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 6.6% 1,112,000 Chase Funding Mortgage Loan Asset-Backed, Series 2003-6, Class 1A3, 3.34%, 05/25/26.............. 1,096,246 1,773,000 Citigroup Commercial Mortgage Trust, Series 2005-C3, Class A2, 4.64%, 05/15/43.............. 1,781,835 2,580,000 Commercial Mortgage Pass- Through Certificates, Series 2004-LB4A, Class A4, 4.58%, 10/15/37.............. 2,597,320 1,586,000 Credit-Based Asset Servicing and Securities, Series 2005-CB3, Class AF2, 4.45%, 12/25/34.............. 1,585,860 1,336,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class A2, 4.48%, 07/10/39.............. 1,344,325
See notes to financial statements. 76 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 903,000 JP Morgan Chase Commercial Mortgage Securities, Series 2003-CB6, Class A2, 5.26%, 07/12/37.............. $ 947,864 889,000 JP Morgan Chase Commercial Mortgage Securities, Series 2005-LDP2, Class A2, 4.58%, 07/15/42.............. 897,106 1,295,000 Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A2, 4.56%, 05/12/43.............. 1,302,068 3,851,000 Wells Fargo Home Equity Trust, Series 2004-2, Class AI3, 3.97%, 09/25/24.............. 3,816,092 ------------ 15,368,716 ------------ PRIVATE ASSET BACKED: OTHER -- 3.9% 3,837,000 CNH Equipment Trust, Series 2003-B, Class A4B, 3.38%, 02/15/11.............. 3,792,437 2,111,000 CNH Equipment Trust, Series 2004-A, Class A4B, 3.48%, 09/15/11.............. 2,073,168 1,121,000 Countrywide Asset-Backed Certificates, Series 2005-1, Class AF3, 4.58%, 07/25/35.............. 1,126,944 2,214,000 John Deere Owner Trust, Series 2005-A, Class A4, 4.16%, 05/15/12.............. 2,219,910 ------------ 9,212,459 ------------ PRIVATE ASSET BACKED: UTILITIES -- 1.6% 1,853,000 PG&E Energy Recovery Funding LLC, Series 2005-1, Class A2, 3.87%, 06/25/11.............. 1,852,813 1,544,000 PSE&G Transition Funding LLC, Series 2001-1, Class A8, 6.89%, 12/15/17.............. 1,845,913 ------------ 3,698,726 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $46,436,549)........... 46,466,391 ------------
PRINCIPAL VALUE --------- ------------ SECURITIES LENDING COLLATERAL -- 17.8% $41,460,158 Securities Lending Collateral Investment (Note 4) (Cost $41,460,158)........... $ 41,460,158 ------------ TOTAL SECURITIES (Cost $260,762,175).......... 260,875,171 ------------ REPURCHASE AGREEMENT -- 1.9% 4,429,501 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $4,429,823 (Collateralized by Various Fannie Mae Adjustable Rate Mortgages, 5.46%-7.15%, due 02/01/30-07/01/32, with a total value of $4,650,976) (Cost $4,429,501)............ 4,429,501 ------------ Total Investments -- 113.7% (Cost $265,191,676).......... 265,304,672 Liabilities less other assets -- (13.7)%............ (31,883,818) ------------ NET ASSETS -- 100.0%........... $233,420,854 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $265,191,676. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............ $ 864,550 Gross unrealized depreciation............ (751,554) ---------- Net unrealized appreciation.............. $ 112,996 ==========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 77 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US TREASURY SECURITIES -- 27.0% US TREASURY BONDS -- 7.1% $ 13,125,000 10.38%, 11/15/12(d)........ $ 15,100,418 12,350,000 8.13%, 08/15/19(d)......... 17,504,198 16,090,000 8.50%, 02/15/20(d)......... 23,604,545 2,080,000 6.25%, 08/15/23............ 2,592,770 4,600,000 6.00%, 02/15/26............ 5,669,141 12,095,000 6.75%, 08/15/26(d)......... 16,205,885 3,280,000 6.13%, 11/15/27(d)......... 4,143,309 11,285,000 5.50%, 08/15/28............ 13,292,940 29,880,000 5.38%, 02/15/31............ 35,267,752 -------------- 133,380,958 -------------- US TREASURY INFLATION INDEX -- 1.9% 8,417,183 2.00%, 07/15/14............ 8,675,952 27,052,061 1.63%, 01/15/15............ 26,962,249 -------------- 35,638,201 -------------- US TREASURY NOTES -- 18.0% 72,185,000 3.13%, 01/31/07(d)......... 71,637,982 41,435,000 3.38%, 02/28/07............ 41,266,691 163,365,000 3.75%, 03/31/07(e)......... 163,664,938 34,795,000 3.63%, 04/30/07............ 34,786,858 10,000,000 3.50%, 05/31/07(d)......... 9,972,660 1,265,000 3.88%, 05/15/10(d)......... 1,272,610 3,940,000 3.63%, 06/15/10............ 3,923,996 10,060,000 4.13%, 05/15/15............ 10,210,115 -------------- 336,735,850 -------------- TOTAL US TREASURY SECURITIES (Cost $502,786,701)............ 505,755,009 -------------- US GOVERNMENT AGENCY SECURITIES -- 31.7% FANNIE MAE -- 21.8% 3,800,000 2.35%, 04/29/06............ 3,757,178 2,760,000 1.75%, 06/16/06............ 2,708,606 13,850,000 4.00%, 10/16/06............ 13,883,295 25,850,000 2.71%, 01/30/07............ 25,426,421 14,090,000 2.35%, 04/05/07............ 13,746,683 9,935,000 6.63%, 09/15/09............ 10,958,057 8,025,000 5.50%, 03/15/11............ 8,618,577 9,405,000 6.00%, 05/15/11............ 10,356,457 6,800,000 5.13%, 05/27/15............ 6,876,881 290,000 5.50%, 08/31/34............ 296,615 477,256 PL# 252571, 7.00%, 07/01/29................. 503,843 7,945 PL# 252716, 7.00%, 09/01/29................. 8,387 1,550 PL# 253264, 7.00%, 05/01/30................. 1,635
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 1,759 PL# 253346, 7.50%, 06/01/30................. $ 1,880 23,521 PL# 253479, 7.00%, 10/01/30................. 24,819 14,393 PL# 253698, 6.00%, 02/01/16................. 14,890 58,316 PL# 253990, 7.00%, 09/01/16................. 61,124 44,119 PL# 254008, 7.00%, 10/01/31................. 46,551 573,094 PL# 254346, 6.50%, 06/01/32................. 594,273 494,772 PL# 254406, 6.50%, 08/01/32................. 513,056 1,929 PL# 259141, 7.50%, 12/01/30................. 2,062 1,421,445 PL# 323842, 5.50%, 07/01/14................. 1,460,950 80,601 PL# 323967, 7.00%, 10/01/29................. 85,091 43,755 PL# 357513, 5.50%, 02/01/34................. 44,393 8,441 PL# 492742, 7.00%, 05/01/29................. 8,911 7,519 PL# 503916, 7.50%, 06/01/29................. 8,041 4,742 PL# 508415, 7.00%, 08/01/29................. 5,006 21,557 PL# 515946, 7.00%, 10/01/29................. 22,758 561 PL# 524164, 7.00%, 11/01/29................. 592 117,770 PL# 524657, 7.00%, 01/01/30................. 124,266 48,817 PL# 526053, 7.00%, 12/01/29................. 51,536 934 PL# 527717, 7.50%, 01/01/30................. 999 8,952 PL# 528107, 7.00%, 02/01/30................. 9,450 2,996 PL# 531092, 7.50%, 10/01/29................. 3,204 17,264 PL# 531497, 7.00%, 02/01/30................. 18,217 6,638 PL# 531735, 7.00%, 02/01/30................. 7,005 2,910 PL# 533841, 7.50%, 12/01/30................. 3,110 38,214 PL# 535030, 7.00%, 12/01/29................. 40,343 60,848 PL# 535103, 7.00%, 01/01/15................. 63,786 16,057 PL# 535159, 7.00%, 02/01/30................. 16,951 69,667 PL# 535195, 7.00%, 03/01/30................. 73,548 27,805 PL# 535277, 7.00%, 04/01/30................. 29,354 758,720 PL# 535675, 7.00%, 01/01/16................. 795,285 1,630 PL# 535722, 7.00%, 02/01/31................. 1,720 11,330 PL# 535723, 7.00%, 02/01/31................. 11,955 2,531 PL# 535811, 6.50%, 04/01/31................. 2,626 181,575 PL# 535880, 7.00%, 02/01/31................. 191,620 3,286 PL# 540211, 7.50%, 06/01/30................. 3,512 6,106 PL# 542999, 7.50%, 08/01/30................. 6,527 181,187 PL# 545194, 7.00%, 08/01/31................. 191,171 60,664 PL# 545477, 7.00%, 03/01/32................. 64,010 389,830 PL# 545759, 6.50%, 07/01/32................. 404,236 1,470,802 PL# 545760, 6.50%, 07/01/32................. 1,525,154 288,314 PL# 545762, 6.50%, 07/01/32................. 298,968 58,529 PL# 545815, 7.00%, 07/01/32................. 61,754 69,688 PL# 548822, 7.00%, 08/01/30................. 73,532
See notes to financial statements. 78 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 52,451 PL# 549659, 7.00%, 02/01/16................. $ 54,977 26,921 PL# 549962, 7.00%, 10/01/30................. 28,406 53,430 PL# 549975, 7.00%, 10/01/30................. 56,377 19,451 PL# 550440, 7.00%, 02/01/16................. 20,388 1,270 PL# 550544, 7.50%, 09/01/30................. 1,358 1,277 PL# 552603, 7.00%, 10/01/30................. 1,348 83,179 PL# 554493, 7.00%, 10/01/30................. 87,767 405,147 PL# 555114, 5.50%, 12/01/17................. 416,309 54,654 PL# 555144, 7.00%, 10/01/32................. 57,666 699,034 PL# 555254, 6.50%, 01/01/33................. 725,317 394,469 PL# 555798, 6.50%, 05/01/33................. 409,300 2,224 PL# 558362, 7.50%, 11/01/30................. 2,377 789 PL# 558519, 7.50%, 11/01/30................. 843 11,628 PL# 559277, 7.00%, 10/01/30................. 12,269 62,990 PL# 559313, 7.00%, 12/01/30................. 66,464 3,334 PL# 559741, 7.50%, 01/01/31................. 3,564 34,225 PL# 560384, 7.00%, 11/01/30................. 36,113 1,487 PL# 560596, 7.50%, 01/01/31................. 1,589 2,925 PL# 561678, 7.50%, 12/01/30................. 3,126 2,234 PL# 564080, 7.50%, 12/01/30................. 2,388 26,969 PL# 564183, 7.00%, 12/01/30................. 28,456 2,669 PL# 564529, 7.50%, 12/01/30................. 2,852 22,986 PL# 566658, 7.00%, 02/01/31................. 24,253 60,191 PL# 574885, 6.00%, 05/01/16................. 62,272 6,555 PL# 575285, 7.50%, 03/01/31................. 7,006 12,216 PL# 577525, 6.00%, 05/01/16................. 12,638 13,204 PL# 579161, 6.50%, 04/01/31................. 13,700 219,726 PL# 579224, 6.00%, 04/01/16................. 227,324 28,053 PL# 580179, 7.00%, 10/01/16................. 29,404 718 PL# 580377, 7.50%, 04/01/31................. 768 9,920 PL# 584811, 7.00%, 05/01/31................. 10,466 237,569 PL# 585248, 7.00%, 06/01/31................. 250,672 57,795 PL# 589395, 6.00%, 07/01/16................. 59,793 1,162 PL# 589405, 7.50%, 06/01/31................. 1,242 17,884 PL# 589893, 7.00%, 06/01/31................. 18,869 4,789 PL# 592129, 7.50%, 06/01/31................. 5,118 11,851 PL# 596895, 6.50%, 07/01/31................. 12,297 145,163 PL# 596922, 6.00%, 08/01/16................. 150,183 29,706 PL# 598125, 7.00%, 09/01/16................. 31,137 61,496 PL# 600259, 6.00%, 08/01/16................. 63,622 13,638 PL# 606551, 6.50%, 10/01/31................. 14,150 7,464 PL# 606600, 7.00%, 10/01/31................. 7,875 73,246 PL# 607386, 5.50%, 11/01/16................. 75,268
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 26,277 PL# 610128, 7.00%, 10/01/31................. $ 27,724 293,982 PL# 610579, 5.50%, 12/01/16................. 302,100 40,227 PL# 611323, 7.00%, 10/01/16................. 42,164 2,859,933 PL# 619054, 5.50%, 02/01/17................. 2,938,723 9,644 PL# 622119, 6.50%, 01/01/32................. 10,007 320,116 PL# 624035, 6.50%, 01/01/32................. 334,273 17,022 PL# 629236, 6.50%, 02/01/32................. 17,651 370,925 PL# 630962, 6.50%, 02/01/32................. 384,633 1,034,449 PL# 631321, 5.50%, 02/01/17................. 1,062,948 81,977 PL# 631606, 5.50%, 03/01/17................. 84,235 96,063 PL# 632269, 7.00%, 05/01/32................. 101,356 13,208 PL# 634563, 6.50%, 03/01/32................. 13,696 93,196 PL# 634949, 7.00%, 05/01/32................. 98,337 303,344 PL# 635014, 6.50%, 06/01/32................. 314,554 466,904 PL# 635164, 6.50%, 08/01/32................. 484,158 8,126 PL# 644932, 6.50%, 07/01/32................. 8,426 8,443 PL# 647556, 7.00%, 01/01/30................. 8,913 782,215 PL# 648795, 6.50%, 08/01/32................. 811,122 239,692 PL# 650206, 5.50%, 01/01/18................. 246,295 72,847 PL# 650291, 6.50%, 07/01/32................. 75,539 22,216 PL# 650872, 7.00%, 07/01/32................. 23,442 123,181 PL# 650891, 6.50%, 07/01/32................. 127,733 349,427 PL# 651649, 6.50%, 08/01/32................. 362,340 1,591,953 PL# 652127, 6.50%, 06/01/32................. 1,650,782 596,807 PL# 662965, 6.50%, 09/01/32................. 618,861 5,848 PL# 663353, 6.50%, 09/01/32................. 6,064 55,099 PL# 664188, 5.50%, 09/01/17................. 56,617 106,530 PL# 664194, 5.50%, 09/01/17................. 109,465 775,225 PL# 670402, 6.50%, 06/01/32................. 803,873 264,817 PL# 671046, 6.50%, 01/01/33................. 274,604 218,907 PL# 673079, 6.50%, 11/01/32................. 226,996 284,514 PL# 675314, 5.50%, 12/01/17................. 292,352 499,967 PL# 676800, 5.50%, 01/01/18................. 513,741 662,457 PL# 679631, 5.50%, 02/01/18................. 680,649 548,262 PL# 683199, 5.50%, 02/01/18................. 563,317 298,832 PL# 692252, 6.50%, 03/01/33................. 309,549 1,182,039 PL# 694200, 4.50%, 05/01/18................. 1,178,452 8,851 PL# 694372, 6.50%, 11/01/32................. 9,178 125,954 PL# 695925, 5.50%, 05/01/18................. 129,413 2,108,021 PL# 701161, 4.50%, 04/01/18................. 2,100,611 261,713 PL# 711115, 6.50%, 09/01/33................. 271,098 702,816 PL# 711636, 4.50%, 05/01/18................. 700,345 3,151,560 PL# 720317, 5.00%, 07/01/18................. 3,190,322
See notes to financial statements. 79 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 18,702 PL# 725269, 5.50%, 03/01/19................. $ 19,217 391,777 PL# 725407, 6.50%, 01/01/34................. 406,507 551,915 PL# 725418, 6.50%, 05/01/34................. 572,666 224,685 PL# 725424, 5.50%, 04/01/34................. 228,035 808,945 PL# 731682, 4.50%, 03/01/19................. 806,149 6,984,056 PL# 735454, 5.50%, 11/01/18................. 7,176,463 1,861,186 PL# 735611, 5.50%, 03/01/20................. 1,912,461 239,523 PL# 738632, 5.00%, 11/01/18................. 242,469 744,520 PL# 748257, 4.50%, 10/01/18................. 741,903 11,851 PL# 748655, 6.50%, 09/01/33................. 12,276 306,914 PL# 755813, 6.50%, 11/01/33................. 317,920 4,672,356 PL# 757687, 5.50%, 07/01/34................. 4,740,466 49,781 PL# 761808, 5.50%, 05/01/18................. 51,153 167,392 PL# 763249, 5.50%, 02/01/34................. 169,832 310,163 PL# 764221, 5.50%, 05/01/34................. 314,684 748,690 PL# 766312, 5.50%, 03/01/19................. 769,286 806,169 PL# 766419, 4.50%, 03/01/19................. 803,382 307,289 PL# 766823, 6.50%, 02/01/34................. 318,219 110,845 PL# 767392, 5.50%, 04/01/34................. 112,461 1,073,192 PL# 767395, 5.50%, 04/01/34................. 1,088,836 342,624 PL# 768313, 5.50%, 01/01/19................. 352,032 1,070,711 PL# 768528, 5.50%, 05/01/34................. 1,086,319 616,444 PL# 770410, 5.50%, 04/01/34................. 625,430 1,630,963 PL# 772651, 5.50%, 03/01/34................. 1,654,738 1,018,113 PL# 772664, 5.50%, 03/01/34................. 1,032,954 1,103,911 PL# 772805, 5.50%, 04/01/34................. 1,120,003 416,139 PL# 773066, 5.50%, 03/01/34................. 422,205 274,890 PL# 773072, 5.50%, 04/01/34................. 278,898 1,638,146 PL# 773571, 5.50%, 05/01/34................. 1,662,026 66,220 PL# 773588, 5.50%, 07/01/34................. 67,185 400,428 PL# 773777, 5.50%, 04/01/34................. 406,265 266,204 PL# 774338, 6.50%, 02/01/34................. 275,750 433,400 PL# 775794, 5.50%, 05/01/34................. 439,718 395,376 PL# 776233, 5.50%, 04/01/34................. 401,140 443,828 PL# 776440, 5.50%, 07/01/34................. 450,298 774,006 PL# 776715, 5.50%, 05/01/34................. 785,289 7,553,285 PL# 776983, 5.50%, 04/01/34................. 7,663,391 87,339 PL# 777481, 5.50%, 06/01/34................. 88,612 845,564 PL# 777677, 5.50%, 05/01/34................. 857,890 90,562 PL# 777754, 5.50%, 05/01/34................. 91,882 169,582 PL# 778219, 5.50%, 05/01/34................. 172,054 96,290 PL# 778619, 5.50%, 06/01/34................. 97,694 990,797 PL# 779135, 5.50%, 06/01/34................. 1,005,240
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 140,706 PL# 779520, 5.50%, 06/01/34................. $ 142,757 965,345 PL# 780901, 5.50%, 05/01/34................. 979,417 68,744 PL# 782571, 5.50%, 06/01/34................. 69,746 98,778 PL# 782707, 5.50%, 07/01/34................. 100,218 382,940 PL# 782974, 5.50%, 06/01/34................. 388,523 75,849 PL# 783017, 5.50%, 06/01/34................. 76,954 94,709 PL# 783667, 5.50%, 06/01/34................. 96,090 1,628,941 PL# 783824, 5.50%, 07/01/34................. 1,652,686 1,350,294 PL# 785226, 5.50%, 07/01/34................. 1,369,977 1,192,836 PL# 786148, 5.50%, 07/01/34................. 1,210,224 307,706 PL# 789053, 5.50%, 07/01/34................. 312,191 438,262 PL# 789545, 5.50%, 07/01/34................. 444,651 285,172 PL# 789873, 6.50%, 09/01/34................. 295,316 493,018 PL# 798175, 6.50%, 09/01/34................. 510,555 9,855,978 PL# 806549, Variable Rate, 4.58%, 01/01/35(a)....... 9,885,362 21,400,000 TBA, 5.50%, 07/01/19....... 21,968,426 11,500,000 TBA, 4.50%, 07/01/20....... 11,449,688 10,100,000 TBA, 5.00%, 07/01/20....... 10,213,625 2,200,000 TBA, 5.00%, 07/01/35....... 2,200,686 99,400,000 TBA, 6.00%, 08/01/35....... 101,822,874 46,900,000 TBA, 6.50%, 08/01/35....... 48,512,187 1,700,000 TBA, 4.50%, 07/01/35....... 1,662,813 15,330,900 TBA, 5.50%, 07/01/35....... 15,541,700 5,340,000 Variable Rate, 2.92%, 08/15/07(a)....... 5,337,106 -------------- 406,860,010 -------------- FREDDIE MAC GOLD -- 4.0% 1,565,000 6.00%, 06/15/11............ 1,724,774 203,171 PL# A16148, 6.00%, 11/01/33................. 208,530 295,741 PL# A32037, 5.00%, 03/01/35................. 296,210 595,370 PL# B10307, 4.50%, 10/01/18................. 593,345 660,892 PL# B11431, 4.50%, 12/01/18................. 658,643 65,629 PL# B13285, 4.50%, 04/01/19................. 65,414 180,243 PL# B14156, 4.00%, 05/01/19................. 176,378 923,686 PL# B14218, 4.50%, 05/01/19................. 920,665 1,380,963 PL# B14518, 4.50%, 01/01/20................. 1,376,446 1,994,825 PL# B17118, 4.50%, 11/01/19................. 1,988,300 30,095 PL# B17892, 4.50%, 10/01/19................. 29,993 194,900 PL# B18433, 4.50%, 05/01/20................. 194,223 204,138 PL# B19022, 4.50%, 04/01/20................. 203,429 993,241 PL# B19028, 4.50%, 03/01/20................. 989,789 5,875,015 PL# B19043, 4.50%, 03/01/20................. 5,854,598
See notes to financial statements. 80 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 348,504 PL# B19101, 4.50%, 04/01/20................. $ 347,293 719,966 PL# B19177, 4.50%, 05/01/20................. 717,464 1,392,073 PL# B19187, 4.50%, 04/01/20................. 1,387,235 224,656 PL# B19188, 4.50%, 05/01/20................. 223,875 508,128 PL# B19233, 4.50%, 04/01/20................. 506,363 483,704 PL# B19238, 4.50%, 05/01/20................. 482,023 775,948 PL# B19272, 4.50%, 05/01/20................. 773,251 1,542,366 PL# C01271, 6.50%, 12/01/31................. 1,600,520 4,466,138 PL# C57150, 6.00%, 05/01/31................. 4,588,487 6,660 PL# C67653, 7.00%, 06/01/32................. 7,015 84,463 PL# C67868, 7.00%, 06/01/32................. 88,964 26,123 PL# C67999, 7.00%, 06/01/32................. 27,515 193,994 PL# C68001, 7.00%, 06/01/32................. 204,332 219,699 PL# C90229, 7.00%, 08/01/18................. 232,255 33,420 PL# E00570, 6.00%, 09/01/13................. 34,566 722,947 PL# E00592, 6.00%, 12/01/13................. 747,749 33,782 PL# E00720, 6.00%, 07/01/14................. 34,951 31,813 PL# E01007, 6.00%, 08/01/16................. 32,904 105,966 PL# E01095, 6.00%, 01/01/17................. 109,598 3,627,572 PL# E01638, 4.00%, 04/01/19................. 3,549,784 46,927 PL# E69171, 6.00%, 02/01/13................. 48,537 45,875 PL# E73319, 6.00%, 11/01/13................. 47,448 56,149 PL# E73769, 6.00%, 12/01/13................. 58,076 34,551 PL# E75990, 6.00%, 04/01/14................. 35,742 41,787 PL# E76341, 6.00%, 04/01/14................. 43,233 73,715 PL# E76730, 6.00%, 05/01/14................. 76,267 51,824 PL# E76731, 6.00%, 05/01/14................. 53,619 50,116 PL# E78995, 6.00%, 11/01/14................. 51,852 371,197 PL# E84191, 6.00%, 07/01/16................. 383,921 6,873 PL# E84758, 5.50%, 07/01/16................. 7,061 30,774 PL# E85885, 6.00%, 11/01/16................. 31,829 383,695 PL# E86502, 5.50%, 12/01/16................. 394,156 6,814 PL# E86565, 5.50%, 12/01/16................. 6,999 328,012 PL# E87961, 6.00%, 02/01/17................. 339,256 643,621 PL# E88001, 6.00%, 02/01/17................. 665,734 59,208 PL# E88452, 6.00%, 03/01/17................. 61,242 388,899 PL# E88749, 6.00%, 03/01/17................. 402,230 836,165 PL# E88789, 6.00%, 04/01/17................. 864,894 217,900 PL# E88979, 5.50%, 04/01/17................. 223,788 552,056 PL# E89282, 6.00%, 04/01/17................. 571,023 981,728 PL# E89336, 6.00%, 05/01/17................. 1,015,458 35,317 PL# E89653, 6.00%, 04/01/17................. 36,527 674,900 PL# E89913, 6.00%, 05/01/17................. 698,088
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 1,210,057 PL# E91644, 5.50%, 10/01/17................. $ 1,242,755 343,692 PL# E91754, 5.50%, 10/01/17................. 352,980 510,148 PL# E91774, 5.50%, 10/01/17................. 523,933 214,983 PL# E91968, 5.50%, 10/01/17................. 220,792 493,417 PL# E92113, 5.50%, 10/01/17................. 506,751 33,437 PL# E95352, 4.50%, 04/01/18................. 33,323 71,045 PL# E98821, 4.50%, 09/01/18................. 70,803 2,371,317 PL# G01391, 7.00%, 04/01/32................. 2,497,716 26,576 PL# G11111, 6.00%, 04/01/16................. 27,486 152,842 PL# G11394, 4.50%, 05/01/18................. 152,322 9,378,383 PL# G11618, 4.50%, 05/01/18................. 9,351,356 553,971 PL# G11639, 4.50%, 12/01/19................. 552,159 249,055 PL# G18052, 4.50%, 05/01/20................. 248,189 4,368,131 PL# M80813, 4.00%, 04/01/10................. 4,323,550 14,100,000 TBA, 5.00%, 07/01/19....... 14,258,626 3,800,000 TBA, 5.50%, 07/01/19....... 3,899,750 400,000 TBA, 6.00%, 07/01/35....... 410,250 -------------- 75,766,602 -------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 1.9% 211,323 PL# 3173, 6.50%, 12/20/31................. 220,102 153,428 PL# 421352, 6.00%, 11/15/33................. 158,428 2,987 PL# 434615, 7.00%, 11/15/29................. 3,166 287,110 PL# 435071, 7.00%, 03/15/31................. 304,204 76,203 PL# 462559, 7.00%, 02/15/28................. 80,819 29,217 PL# 493966, 7.00%, 06/15/29................. 30,968 104,801 PL# 494742, 7.00%, 04/15/29................. 111,080 1,835 PL# 530260, 7.00%, 02/15/31................. 1,944 238,204 PL# 531025, 6.00%, 04/15/32................. 246,045 1,456 PL# 538271, 7.00%, 11/15/31................. 1,543 129,225 PL# 538312, 6.00%, 02/15/32................. 133,478 289,915 PL# 543989, 7.00%, 03/15/31................. 307,175 1,411 PL# 547545, 7.00%, 04/15/31................. 1,495 598,379 PL# 550985, 7.00%, 10/15/31................. 634,005 941 PL# 551549, 7.00%, 07/15/31................. 997 73,047 PL# 552413, 7.00%, 02/15/32................. 77,392 172,096 PL# 554808, 6.00%, 05/15/31................. 177,779 149,178 PL# 555360, 6.00%, 06/15/31................. 154,104 163,034 PL# 555733, 6.00%, 03/15/32................. 168,401 1,271 PL# 557664, 7.00%, 08/15/31................. 1,346 175,488 PL# 557678, 7.00%, 08/15/31................. 185,936 6,504 PL# 561050, 7.00%, 05/15/31................. 6,892
See notes to financial statements. 81 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 1,616 PL# 561996, 7.00%, 07/15/31................. $ 1,712 18,765 PL# 563346, 7.00%, 09/15/31................. 19,883 112,956 PL# 563599, 7.00%, 06/15/32................. 119,675 215,594 PL# 564086, 7.00%, 07/15/31................. 228,430 56,895 PL# 564300, 6.00%, 08/15/31................. 58,774 15,359 PL# 564706, 7.00%, 07/15/31................. 16,274 127,243 PL# 565808, 6.00%, 11/15/31................. 131,445 271,580 PL# 567622, 6.00%, 04/15/32................. 280,520 150,818 PL# 567668, 6.00%, 05/15/32................. 155,783 143,344 PL# 569567, 7.00%, 01/15/32................. 151,870 122,253 PL# 570517, 6.00%, 01/15/32................. 126,278 120,266 PL# 572821, 6.00%, 12/15/31................. 124,238 129,535 PL# 574873, 6.00%, 12/15/31................. 133,812 124,653 PL# 575906, 6.00%, 01/15/32................. 128,756 35,965 PL# 576323, 6.00%, 12/15/31................. 37,152 1,685 PL# 579377, 7.00%, 04/15/32................. 1,785 440,834 PL# 581015, 7.00%, 02/15/32................. 467,055 141,326 PL# 581070, 6.00%, 02/15/32................. 145,978 34,270 PL# 581084, 7.00%, 02/15/32................. 36,309 132,775 PL# 582956, 7.00%, 02/15/32................. 140,673 301,292 PL# 585210, 6.00%, 03/15/33................. 311,109 449,569 PL# 587122, 7.00%, 06/15/32................. 476,308 121,147 PL# 587390, 6.00%, 11/15/32................. 125,135 30,619 PL# 587494, 7.00%, 06/15/32................. 32,441 985 PL# 589696, 7.00%, 05/15/32................. 1,043 142,405 PL# 592030, 6.00%, 02/15/32................. 147,093 10,099 PL# 593823, 6.00%, 10/15/32................. 10,431 199,967 PL# 596818, 6.00%, 12/15/32................. 206,549 353,611 PL# 598205, 6.00%, 05/15/33................. 365,133 187,844 PL# 598459, 6.00%, 11/15/32................. 194,028 111,110 PL# 603498, 6.00%, 03/15/33................. 114,730 201,009 PL# 611085, 6.00%, 05/15/33................. 207,559 244,154 PL# 615382, 6.00%, 07/15/33................. 252,110 28,696 PL# 780802, 6.50%, 05/15/28................. 30,054 51,382 PL# 781113, 7.00%, 11/15/29................. 54,460 267,344 PL# 781148, 6.00%, 07/15/29................. 276,461 151,538 PL# 781276, 6.50%, 04/15/31................. 158,562 45,907 PL# 781287, 7.00%, 05/15/31................. 48,643 74,108 PL# 781324, 7.00%, 07/15/31................. 78,520 397,350 PL# 781328, 7.00%, 09/15/31................. 421,048 248,696 PL# 781330, 6.00%, 09/15/31................. 257,143 79,842 PL# 781496, 6.50%, 09/15/32................. 83,518
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 119,856 PL# 781548, 7.00%, 11/15/32................. $ 126,993 210,473 PL# 781566, 6.00%, 02/15/33................. 217,401 72,073 PL# 781584, 7.00%, 05/15/32................. 76,365 4,240,575 PL# 781690, 6.00%, 12/15/33................. 4,380,309 9,779,539 PL# 80916, 3.75%, 05/20/34................. 9,625,714 6,900,000 TBA, 5.50%, 07/01/35....... 7,046,624 4,700,000 TBA, 6.00%, 07/01/35....... 4,848,340 -------------- 35,687,525 -------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 3.6% 3,469,196 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29.......... 3,567,620 8,456,387 Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18.......... 8,637,992 6,767,233 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34.......... 6,835,341 8,571,525 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34.......... 8,796,541 5,050,000 Fannie Mae, Series 2004-101, Class AR, 5.50%, 01/25/35.......... 5,216,717 7,557,261 Fannie Mae, Series 2005-51, Class TA, 5.50%, 12/25/33.......... 7,759,017 6,263,763 Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15.......... 6,500,349 4,629,365 Freddie Mac, Series 2877, Class PA, 5.50%, 07/15/33.......... 4,760,401 7,996,362 Freddie Mac, Series 2927, Class BA, 5.50%, 10/15/33.......... 8,258,703 7,080,000 Freddie Mac, Series 2996, Class MK, 5.50%, 06/15/35.......... 7,336,650 -------------- 67,669,331 -------------- PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.3% 3,214,473 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12.......... 3,297,923
See notes to financial statements. 82 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES (CONTINUED) $ 2,842,698 Small Business Administration, Series 2004-P10A, 4.50%, 02/10/14.......... $ 2,858,524 -------------- 6,156,447 -------------- RESOLUTION FUNDING STRIPS -- 0.1% 1,200,000 Zero coupon, 07/15/18...... 675,438 1,200,000 Zero coupon, 10/15/18...... 667,169 -------------- 1,342,607 -------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $591,522,860)............ 593,482,522 -------------- CORPORATE BONDS AND NOTES -- 41.0% AEROSPACE AND DEFENSE -- 0.5% 320,000 B/E Aerospace, 8.50%, 10/01/10.......... 355,200 1,545,000 Lockheed Martin Corp., 8.50%, 12/01/29.......... 2,238,211 545,000 Lockheed Martin Corp., 7.20%, 05/01/36.......... 706,535 2,390,000 Northrop Grumman Corp., 4.08%, 11/16/06.......... 2,383,879 35,000 Northrop Grumman Corp., 7.13%, 02/15/11.......... 39,630 940,000 Northrop Grumman Corp., 7.75%, 02/15/31.......... 1,275,632 790,000 RC Trust I, 7.00%, 05/15/06.......... 405,616 1,575,000 United Technologies Corp., 4.88%, 05/01/15.......... 1,614,233 675,000 United Technologies Corp., 8.88%, 11/15/19.......... 948,371 -------------- 9,967,307 -------------- AIRLINES -- 0.0% 825,000 Southwest Airlines Company, 5.13%, 03/01/17.......... 810,731 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.1% 765,000 Daimler Chrysler AG Corp., 7.45%, 03/01/27.......... 873,537 280,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08................. 275,899
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $ 130,000 Navistar International -- 144A, 6.25%, 03/01/12.......... $ 126,100 -------------- 1,275,536 -------------- BANKS -- 6.3% 5,575,000 American Express Bank FSB, Series BKNT, Floating Rate, 3.35%, 11/21/07(c)....... 5,583,028 1,500,000 American Express Centurion Bank, Series BKNT, 4.38%, 07/30/09.......... 1,512,300 1,404,000 Bank of America Corp., 5.25%, 02/01/07.......... 1,433,394 730,000 Bank of America Corp., 3.88%, 01/15/08.......... 727,563 1,425,000 Bank of America Corp., 3.25%, 08/15/08.......... 1,391,552 2,000,000 Bank of America Corp., 3.38%, 02/17/09.......... 1,950,822 1,250,000 Bank of Scotland -- 144A (United Kingdom), 3.50%, 11/30/07.......... 1,234,700 2,000,000 BankBoston NA, Series BKNT, 6.38%, 03/25/08.......... 2,110,672 1,350,000 Barclays Bank PLC (United Kingdom), Variable Rate, 6.28%, perpetual(a)...... 1,378,688 660,000 Barclays Bank PLC -- 144A (United Kingdom), Variable Rate, 6.86%, perpetual(a)...... 778,626 1,375,000 Barclays Bank PLC -- 144A (United Kingdom), Variable Rate, 8.55%, perpetual(a)...... 1,656,211 3,850,000 Deutsche Bank AG New York, Series YCD, Variable Rate, 3.84%, 03/15/07(a)....... 3,846,831 2,850,000 HBOS Treasury Services PLC -- 144A (United Kingdom), 3.75%, 09/30/08.......... 2,828,713 11,400,000 HSBC Bank USA NA, Series CD, 3.87%, 06/07/07.......... 11,328,454
See notes to financial statements. 83 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 3,550,000 HSBC Bank USA, Series BKNT, 3.88%, 09/15/09.......... $ 3,503,250 1,155,000 Huntington National Bank, Series BKNT, 2.75%, 10/16/06.......... 1,136,849 2,600,000 JP Morgan Chase & Company, 5.35%, 03/01/07.......... 2,653,014 475,000 JP Morgan Chase & Company, 5.25%, 05/30/07.......... 485,146 1,495,000 JP Morgan Chase & Company, 3.63%, 05/01/08.......... 1,472,887 2,100,000 JP Morgan Chase & Company, 5.75%, 10/15/08.......... 2,194,382 1,100,000 JP Morgan Chase & Company, 7.00%, 11/15/09(f)....... 1,211,079 850,000 Kazkommerts International -- 144A, (The Netherlands) 8.50%, 04/16/13.......... 904,740 535,000 Kazkommerts International BV -- 144A (The Netherlands), 7.88%, 04/07/14.......... 551,050 835,000 National City Bank, 3.38%, 10/15/07.......... 826,571 1,135,000 RBS Capital Trust I, Variable Rate, 4.71%, perpetual(a)...... 1,121,616 1,200,000 Royal Bank of Scotland Group PLC (United Kingdom), Variable Rate, 7.65%, perpetual(a)...... 1,530,919 3,600,000 State Street Bank & Trust, Series CD1, Floating Rate, 3.33%, 12/11/06(b)....... 3,599,964 2,990,000 SunTrust Banks, Inc., 3.63%, 10/15/07.......... 2,952,236 2,000,000 SunTrust Banks, Inc., 4.00%, 10/15/08.......... 1,990,708 1,535,000 SunTrust Banks, Inc., 4.42%, 06/15/09.......... 1,549,204 2,275,000 Swedish Export Credit (Sweden), 2.88%, 01/26/07.......... 2,239,530
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 2,150,000 The Bank of New York Company, Inc., Series BKNT, 3.80%, 02/01/08.......... $ 2,133,907 550,000 Turanalem Finance BV -- 144A (The Netherlands), 8.50%, 02/10/15.......... 568,497 1,945,000 Turanalem Finance BV -- 144A (The Netherlands), 8.00%, 03/24/14.......... 1,974,175 2,068,000,000 UBS AG (Japan), 0.10%, 09/27/05(t)....... 18,659,174 980,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual(a)...... 1,165,617 490,000 US Bancorp, Series MTNN, 3.95%, 08/23/07.......... 489,479 3,040,000 US Bank NA, 2.40%, 03/12/07.......... 2,967,727 3,405,000 VTB Capital SA -- 144A (Luxembourg), 6.25%, 07/02/35.......... 3,440,753 2,340,000 Wachovia Corp., Variable Rate, 6.30%, 04/15/08(a)....... 2,480,302 9,210,000 Wells Fargo & Company, 4.00%, 08/15/08.......... 9,200,394 500,000 Wells Fargo & Company, 3.13%, 04/01/09.......... 483,931 6,480,000 Wells Fargo & Company, 4.20%, 01/15/10.......... 6,483,195 -------------- 117,731,850 -------------- BROADCAST SERVICES/MEDIA -- 1.5% 3,875,000 Comcast Cable Communications Holdings, 8.38%, 03/15/13.......... 4,731,938 250,000 Comcast Cable Communications, Inc., 6.38%, 01/30/06.......... 253,551 1,800,000 Comcast Cable Communications, Inc., 6.75%, 01/30/11.......... 1,988,179 450,000 Comcast Corp., 7.05%, 03/15/33.......... 533,056 820,000 Comcast Corp., 5.65%, 06/15/35.......... 819,496 2,020,000 Continental Cablevision, 8.30%, 05/15/06.......... 2,094,378
See notes to financial statements. 84 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 465,000 Cox Communications, Inc., 7.75%, 11/01/10.......... $ 527,083 370,000 Cox Communications, Inc., 4.63%, 06/01/13.......... 359,749 130,000 CSC Holdings, Inc., 7.88%, 02/15/18.......... 128,700 690,000 DIRECTV Holdings LLC/ DIRECTV Financing Company, Inc. -- 144A, 6.38%, 06/15/15.......... 690,000 1,070,000 News America Holdings, 7.63%, 11/30/28.......... 1,296,157 1,275,000 News America, Inc., 7.30%, 04/30/28.......... 1,488,220 545,000 News America, Inc., 7.28%, 06/30/28.......... 635,535 865,000 News America, Inc., 6.20%, 12/15/34.......... 910,956 650,000 TCI Communications, Inc., 7.88%, 02/15/26.......... 814,096 1,675,000 TCI Communications, Inc., 7.13%, 02/15/28.......... 1,960,676 700,000 Time Warner, Inc., 8.18%, 08/15/07.......... 753,404 1,910,000 Time Warner, Inc., 7.57%, 02/01/24.......... 2,339,847 610,000 Time Warner, Inc., 6.95%, 01/15/28.......... 704,844 1,905,000 Time Warner, Inc., 7.63%, 04/15/31.......... 2,386,674 775,000 Time Warner, Inc., 7.70%, 05/01/32.......... 983,553 870,000 Viacom, Inc., 6.63%, 05/15/11.......... 935,609 300,000 Viacom, Inc., 7.88%, 07/30/30.......... 352,968 675,000 Walt Disney Company, Series MTNB, 6.20%, 06/20/14.......... 750,632 -------------- 28,439,301 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.3% 200,000 DR Horton, Inc., 7.88%, 08/15/11.......... 225,797 430,000 DR Horton, Inc., 5.63%, 09/15/14.......... 431,530 1,275,000 DR Horton, Inc., 5.25%, 02/15/15(d)....... 1,240,759
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) $ 745,000 K Hovnanian Enterprises, Inc., 6.25%, 01/15/15.......... $ 739,413 1,390,000 KB Home, 6.25%, 06/15/15.......... 1,420,124 1,195,000 Lennar Corp. -- 144A, 5.60%, 05/31/15.......... 1,226,996 425,000 Pulte Homes, Inc., 6.00%, 02/15/35.......... 414,910 -------------- 5,699,529 -------------- CONTAINERS AND PACKAGING -- 0.0% 790,000 Crown European Holdings SA (France), 10.88%, 03/01/13......... 932,200 -------------- FINANCIAL SERVICES -- 6.8% 390,000 American Real Estate Partners, LP/Financing, 8.13%, 06/01/12.......... 403,650 225,000 American Real Estate Partners, LP/Financing -- 144A, 7.13%, 02/15/13.......... 221,625 255,000 BCP US Crystal Holdings Corp., 9.63%, 06/15/14.......... 286,875 9,050,000 Citigroup, Inc., 3.50%, 02/01/08.......... 8,927,852 14,330,000 Citigroup, Inc., 3.63%, 02/09/09.......... 14,104,861 820,000 Citigroup, Inc., 6.20%, 03/15/09.......... 875,598 8,000,000 Citigroup, Inc., 4.13%, 02/22/10.......... 7,979,920 900,000 Citigroup, Inc., 5.85%, 12/11/34.......... 998,564 1,775,000 Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09.......... 1,805,312 8,225,000 Eksportfinans ASA, Series MTN (Norway), 3.38%, 01/15/08.......... 8,113,691 3,720,000 General Electric Capital Corp., 4.13%, 03/04/08.......... 3,726,484 2,000,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07.......... 2,108,958
See notes to financial statements. 85 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 21,875,000 General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09.......... $ 21,820,859 30,250,000 General Electric Capital Corp., Series MTNA, Variable Rate, 3.45%, 01/15/08(a)....... 30,044,450 1,520,000 General Motors Acceptance Corp., 4.75%, 09/14/09.......... 1,677,079 2,500,000 General Motors Acceptance Corp., Series MTN, Floating Rate, 4.60%, 09/23/08(b)....... 2,313,263 450,000 Household Finance Corp., 7.20%, 07/15/06.......... 463,994 2,925,000 Household Finance Corp., 6.50%, 11/15/08.......... 3,124,336 1,583,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08.......... 1,691,166 1,800,000 Morgan Stanley, 4.00%, 01/15/10.......... 1,774,976 350,000 Nationwide Building Society -- 144A (United Kingdom), 2.63%, 01/30/07.......... 342,720 4,000,000 Nationwide Building Society -- 144A (United Kingdom), 3.50%, 07/31/07.......... 3,954,848 355,000 Nationwide Building Society -- 144A (United Kingdom), 4.25%, 02/01/10.......... 354,480 1,600,000 Prudential Financial, Inc., Series MTNC, 5.40%, 06/13/35.......... 1,603,485 390,000 SLM Corp., 4.00%, 01/15/10.......... 385,654 1,700,000 SLM Corp., Series MTNA, 5.63%, 04/10/07.......... 1,743,653 545,000 SLM Corp., Series MTNA, 3.63%, 03/17/08.......... 536,036 1,000,000 The Bear Stearns Companies, Inc., 2.88%, 07/02/08.......... 962,991 2,475,000 TIAA Global Markets -- 144A, 3.88%, 01/22/08.......... 2,460,972
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 1,955,000 USAA Capital Corp. -- 144A, Series MTNB, 4.00%, 12/10/07.......... $ 1,952,973 -------------- 126,761,325 -------------- FOOD AND BEVERAGE -- 0.2% 1,915,000 Diageo Capital PLC (United Kingdom), 3.38%, 03/20/08.......... 1,879,842 1,100,000 General Mills, Inc., 5.13%, 02/15/07.......... 1,117,580 395,000 Smithfield Foods, Inc, 7.00%, 08/01/11.......... 417,713 -------------- 3,415,135 -------------- FUNERAL SERVICES -- 0.0% 655,000 Service Corp. International, 7.70%, 04/15/09.......... 704,125 -------------- INSURANCE -- 1.3% 2,775,000 Allstate Financial Global Funding -- 144A, 6.15%, 02/01/06.......... 2,810,689 5,375,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08.......... 5,280,002 2,000,000 Berkshire Hathaway Finance Corp., 3.40%, 07/02/07.......... 1,975,168 2,850,000 Berkshire Hathaway Finance Corp., 3.38%, 10/15/08.......... 2,774,857 2,815,000 Berkshire Hathaway Finance Corp., 4.13%, 01/15/10.......... 2,800,998 2,085,000 Liberty Mutual Group -- 144A, 6.50%, 03/15/35.......... 2,072,557 2,400,000 Met Life Global Funding -- 144A, 4.50%, 05/05/10.......... 2,418,086 1,115,000 Met Life Global Funding I -- 144A, 4.25%, 07/30/09.......... 1,119,903 1,280,000 MetLife, Inc., 5.70%, 06/15/35.......... 1,324,320 1,145,000 Protective Life Secured Trust, Series MTN, 3.70%, 11/24/08.......... 1,128,574 -------------- 23,705,154 --------------
See notes to financial statements. 86 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION -- 0.1% $ 440,000 John Q Hammons Hotels, LP/John Q Hammons Finance Corporation III, Series B, 8.88%, 05/15/12.......... $ 481,800 370,000 K2, Inc., 7.38%, 07/01/14.......... 391,275 1,210,000 MGM MIRAGE, 6.00%, 10/01/09.......... 1,222,100 325,000 Mohegan Tribal Gaming Authority -- 144A, 6.13%, 02/15/13.......... 329,875 185,000 Wynn Las Vegas LLC/Capital Corp. -- 144A, 6.63%, 12/01/14.......... 180,838 -------------- 2,605,888 -------------- MANUFACTURING -- 0.2% 395,000 Briggs & Stratton Corp., 8.88%, 03/15/11.......... 453,263 2,390,000 Tyco International Group SA (Luxembourg), 6.13%, 11/01/08.......... 2,532,563 -------------- 2,985,826 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 0.2% 525,000 HCA, Inc., 5.50%, 12/01/09.......... 529,180 2,075,000 WellPoint, Inc., 6.38%, 06/15/06.......... 2,120,036 1,300,000 WellPoint, Inc., 5.95%, 12/15/34.......... 1,424,173 -------------- 4,073,389 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 0.1% 1,140,000 Boston Scientific Corp., 5.45%, 06/15/14.......... 1,198,825 -------------- METALS AND MINING -- 0.2% 1,250,000 Falconbridge, Ltd. (Canada), 5.50%, 06/15/17.......... 1,250,060 85,000 International Steel Group, 6.50%, 04/15/14.......... 82,025 1,999,000 Ispat Inland ULC, 9.75%, 04/01/14.......... 2,338,830 220,000 TriMas Corp., 9.88%, 06/15/12.......... 185,900 -------------- 3,856,815 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES -- 0.3% $ 1,425,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14.......... $ 1,448,026 1,020,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13......... 1,157,700 365,000 El Paso Natural Gas, 8.63%, 01/15/22.......... 427,563 935,000 Transcontinental Gas Pipe Line Corp., Series B, 8.88%, 07/15/12.......... 1,117,325 570,000 Williams Companies, Inc., 7.63%, 07/15/19.......... 644,100 225,000 Williams Companies, Inc., 7.75%, 06/15/31.......... 249,188 -------------- 5,043,902 -------------- OIL, COAL AND GAS -- 1.2% 2,250,000 Amerada Hess Corp., 7.13%, 03/15/33.......... 2,677,585 875,000 Anadarko Finance Company, Series B (Canada), 7.50%, 05/01/31.......... 1,108,243 545,000 Chesapeake Energy Corp., 7.75%, 01/15/15.......... 591,325 500,000 Chesapeake Energy Corp. -- 144A, 6.25%, 01/15/18.......... 495,000 2,500,000 Conoco Funding Company (Canada), 6.35%, 10/15/11.......... 2,771,857 1,625,000 Devon Energy Corp., 7.95%, 04/15/32.......... 2,144,357 435,000 Devon Financing Corp. ULC, 7.88%, 09/30/31.......... 567,614 180,000 El Paso Production Holding Company, 7.75%, 06/01/13.......... 193,050 2,160,000 EnCana Corp. (Canada), 4.75%, 10/15/13.......... 2,157,070 700,000 EnCana Corp. (Canada), 6.50%, 08/15/34.......... 806,165 1,225,000 Enterprise Products Operating LP, Series B, 4.00%, 10/15/07.......... 1,213,413 1,710,000 Gazprom OAO -- 144A (Russia), 9.63%, 03/01/13.......... 2,105,438 200,000 KCS Energy, Inc. -- 144A, 7.13%, 04/01/12.......... 205,000
See notes to financial statements. 87 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 950,000 Morgan Stanley (Gazprom) -- 144A (Russia), 9.63%, 03/01/13.......... $ 1,167,550 505,000 Occidental Petroleum -- 144A, 8.45%, 02/15/29.......... 731,575 1,065,000 Pemex Project Funding Master Trust -- 144A, 5.75%, 12/15/15.......... 1,065,533 2,400,000 Petro-Canada (Canada), 5.95%, 05/15/35.......... 2,519,529 700,000 Suncor Energy, Inc. (Canada), 5.95%, 12/01/34.......... 781,565 -------------- 23,301,869 -------------- PAPER AND FOREST PRODUCTS -- 0.1% 760,000 Abitibi-Consolidated, Inc. (Canada), 8.38%, 04/01/15(d)....... 779,000 140,000 Georgia-Pacific Corp., 8.00%, 01/15/24.......... 161,700 -------------- 940,700 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.3% 170,000 Bio-Rad Laboratories, Inc., 7.50%, 08/15/13.......... 182,750 530,000 Bio-Rad Laboratories, Inc., 6.13%, 12/15/14.......... 537,950 1,100,000 Bristol-Myers Squibb, 6.88%, 08/01/97.......... 1,376,786 815,000 Elan Finance PLC/Elan Finance Corp. -- 144A (Brazil), 7.75%, 11/15/11(d)....... 700,900 2,325,000 Merck & Company, Inc., 4.75%, 03/01/15.......... 2,350,264 -------------- 5,148,650 -------------- PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 1.7% 2,209,019 Daimler Chrysler Auto Trust, Series 2001-C, Class A4, 4.63%, 12/06/06.......... 2,210,800 16,200,000 Daimler Chrysler Auto Trust, Series 2005-B, Class A3, 4.04%, 09/08/09.......... 16,226,977
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $ 13,200,000 Ford Credit Auto Owner Trust, Series 2005-B, Class A3, 4.17%, 01/15/09.......... $ 13,239,791 -------------- 31,677,568 -------------- PRIVATE ASSET BACKED: BANKS -- 0.7% 4,882,914 Bank of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19.......... 4,908,043 9,000,000 DEPFA ACS Bank -- 144A (Ireland), 4.25%, 08/16/10(d)....... 9,038,430 -------------- 13,946,473 -------------- PRIVATE ASSET BACKED: CREDIT CARDS -- 3.5% 14,000,000 American Express Credit Account Master Trust, Series 2005-3, Class A, 3.24%, 01/18/11.......... 14,000,000 12,075,000 Chase Issuance Trust, Series 2004-A9, Class A9, 3.22%, 06/15/10.......... 11,887,291 14,950,000 Citibank Credit Card Issuance Trust, Series 2004-A1, Class A1, 2.55%, 01/20/09.......... 14,645,081 14,850,000 Citibank Credit Card Issuance Trust, Series 2004-A4, Class A4, 3.20%, 08/24/09.......... 14,620,940 11,500,000 MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10.......... 11,117,814 -------------- 66,271,126 -------------- PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 2.0% 2,805,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36.......... 2,855,516 11,200,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42.......... 11,285,230 4,540,550 Morgan Stanley Capital I, Series 1998-WF1, Class A2, 6.55%, 03/15/30.......... 4,759,600
See notes to financial statements. 88 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES (CONTINUED) $ 2,980,000 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31.......... $ 3,187,083 15,075,000 SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 3.45%, 01/25/18(b)....... 15,075,000 -------------- 37,162,429 -------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 9.2% 9,300,000 Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36.......... 10,238,224 1,559,412 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35.......... 1,610,992 9,075,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41.......... 9,151,936 7,670,000 Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32.......... 8,637,827 10,848,052 Commercial Mortgage Acceptance Corp., Series 1998-C2, Class A2, 6.03%, 09/15/30.......... 11,260,552 8,280,000 Commercial Mortgage Pass- Through Certificates, Series 2000-C1, Class A2, 7.42%, 08/15/33.......... 9,254,409 11,319,899 Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 3.60%, 06/25/35(c)....... 11,338,615 4,875,000 DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33.......... 5,460,750 6,150,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33................. 6,697,035
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 7,565,745 GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36.......... $ 8,269,441 8,700,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39.......... 8,828,747 11,875,094 GSR Mortgage Loan Trust, Series 2003-13, Class 1A1, 4.51%, 10/25/33.......... 11,719,091 6,650,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35.......... 7,302,845 9,475,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33.......... 10,340,876 7,425,000 LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35.......... 7,863,189 6,900,000 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25.......... 7,894,719 6,830,000 LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26.......... 7,704,340 7,395,000 LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27.......... 7,461,651 9,100,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29.......... 9,155,896 9,099,504 Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11.......... 10,073,700 -------------- 170,264,835 -------------- PRIVATE ASSET BACKED: OTHER -- 0.3% 5,898,548 Structured Asset Securities Corp. -- 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31.......... 5,622,260 --------------
See notes to financial statements. 89 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: UTILITIES -- 0.5% $ 8,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10.......... $ 9,068,783 -------------- REAL ESTATE -- 0.1% 1,252,000 EOP Operating LP, 7.50%, 04/19/29.......... 1,507,116 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.4% 910,000 AvalonBay Communities, Series MTN, 6.63%, 09/15/11.......... 1,003,615 2,300,000 Developers Diversified Realty Corp., 3.88%, 01/30/09.......... 2,235,878 4,135,000 Rouse Company, 5.38%, 11/26/13.......... 4,012,617 -------------- 7,252,110 -------------- RETAIL -- 0.1% 430,000 Federated Department Stores, Inc., 6.79%, 07/15/27.......... 487,493 450,000 Federated Department Stores, Inc., 7.00%, 02/15/28.......... 524,743 495,000 May Department Stores Company, 7.88%, 03/01/30.......... 627,874 625,000 May Department Stores Company, 6.70%, 07/15/34.......... 701,136 215,000 Movie Gallery, Inc. -- 144A, 11.00%, 05/01/12......... 226,825 -------------- 2,568,071 -------------- RETAIL: SUPERMARKETS -- 0.1% 1,860,000 Delhaize America, Inc., 9.00%, 04/15/31.......... 2,331,471 -------------- SEMICONDUCTORS -- 0.1% 245,000 Freescale Semiconductor, Inc., Floating Rate, 5.89%, 07/15/09(b)....... 255,719 55,000 MagnaChip Semiconductor, Ltd. -- 144A, 6.88%, 12/15/11.......... 54,175 720,000 MagnaChip Semiconductor, Ltd. -- 144A, Floating Rate, 6.66%, 12/15/11(b)....... 716,400 -------------- 1,026,294 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) SPECIAL PURPOSE ENTITY -- 0.3% $ 359,553 AES Ironwood LLC, 8.86%, 11/30/25.......... $ 408,991 2,875,000 Belvoir Land LLC -- 144A, 5.40%, 12/15/47.......... 2,949,808 1,000,000 California Preferred Fund Trust, 7.00%, perpetual......... 1,046,260 1,600,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09.......... 1,588,491 -------------- 5,993,550 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.4% 625,000 America Movil SA de CV (Mexico), 6.38%, 03/01/35.......... 613,031 2,175,000 BellSouth Corp., 4.20%, 09/15/09.......... 2,169,347 775,000 BellSouth Corp., 6.55%, 06/15/34.......... 885,475 80,000 British Telecom PLC (United Kingdom), Variable Rate, 8.88%, 12/15/30(m)....... 113,278 810,000 Cincinnati Bell, Inc., 7.25%, 07/15/13.......... 854,550 200,000 Citizens Communications Company, 6.25%, 01/15/13.......... 194,500 850,000 France Telecom (France), 8.75%, 03/01/31.......... 1,188,789 75,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), 8.25%, 01/15/13.......... 77,813 330,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), Floating Rate, 7.81%, 01/15/12(n)....... 337,425 2,350,000 New England Telephone & Telegraph, 7.88%, 11/15/29.......... 2,976,531 970,000 New Jersey Bell Telephone, 7.85%, 11/15/29.......... 1,203,334 1,710,000 Qwest Corp., 7.88%, 09/01/11.......... 1,791,225 400,000 Qwest Corp., 8.88%, 03/15/12.......... 437,000 900,000 Qwest Corp. -- 144A, Floating Rate, 6.67%, 06/15/13(b)....... 925,875
See notes to financial statements. 90 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 50,000 Rogers Wireless, Inc. (Canada), 7.25%, 12/15/12.......... $ 54,250 590,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15(d)....... 644,575 1,915,000 SBC Communications, Inc., 6.45%, 06/15/34.......... 2,160,566 190,000 SBC Communications, Inc., 6.15%, 09/15/34.......... 206,541 2,575,000 Sprint Capital Corp., 8.75%, 03/15/32.......... 3,593,315 655,000 Telecom Italia Capital -- 144A (Luxembourg), 4.95%, 09/30/14.......... 649,734 2,785,000 Telecom Italia Capital -- 144A (Luxembourg), 6.00%, 09/30/34.......... 2,853,149 850,000 Telefonica Europe BV (The Netherlands), 7.75%, 09/15/10.......... 981,782 215,000 Verizon Maryland, Inc., 5.13%, 06/15/33.......... 202,269 1,470,000 Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13.......... 1,514,978 -------------- 26,629,332 -------------- TRANSPORTATION -- 0.1% 375,000 Burlington Northern Santa Fe Corp., 7.29%, 06/01/36.......... 489,242 765,000 Canadian National Railway Company (Canada), 6.90%, 07/15/28.......... 943,840 520,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13.......... 520,650 810,000 Overseas Shipholding Group, 7.50%, 02/15/24.......... 785,700 -------------- 2,739,432 -------------- UTILITIES -- 0.0% 190,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12......... 214,700 470,000 Orion Power Holdings, Inc., 12.00%, 05/01/10......... 565,175 -------------- 779,875 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC -- 0.8% $ 1,500,000 Dominion Resources, Inc., 5.95%, 06/15/35.......... $ 1,559,237 591,847 Elwood Energy LLC, 8.16%, 07/05/26.......... 670,266 850,000 Exelon Corp., 5.63%, 06/15/35.......... 859,970 2,490,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31.......... 3,053,544 223,673 Homer City Funding LLC, 8.73%, 10/01/26.......... 262,815 410,000 Midwest Generation LLC, 8.75%, 05/01/34.......... 461,250 545,000 Midwest Generation LLC, Series B, 8.56%, 01/02/16.......... 601,203 1,940,000 Progress Energy, Inc., 7.75%, 03/01/31.......... 2,428,125 75,000 Reliant Energy, Inc., 9.25%, 07/15/10.......... 82,125 220,000 Reliant Energy, Inc., 6.75%, 12/15/14.......... 216,150 300,000 SP PowerAssets, Ltd. -- 144A (Singapore), 5.00%, 10/22/13.......... 311,447 290,000 Tenaska Alabama II Partners, LP -- 144A, 7.00%, 06/30/21.......... 295,075 15,000 Texas Genco LLC/ Financing -- 144A, 6.88%, 12/15/14.......... 15,863 3,750,000 TXU Corp. -- 144A, 4.80%, 11/15/09.......... 3,700,387 -------------- 14,517,457 -------------- TOTAL CORPORATE BONDS AND NOTES (Cost $766,315,283)...... 767,956,239 -------------- FOREIGN GOVERNMENT OBLIGATIONS -- 3.4% 9,700,000 AID-Israel (Israel), 5.50%, 09/18/23.......... 10,903,605 2,275,000 Bundesrepublik Deutschland, Series 03 (Germany), 4.75%, 07/04/34(j)....... 3,287,434 9,300,000 Bundesrepublik Deutschland, Series 05 (Germany), 4.00%, 01/04/37(j)....... 11,972,425 4,000,000 Japan Finance Corp. for Municipal Enterprises, Series DTC (Japan), 4.63%, 04/21/15.......... 4,077,432
See notes to financial statements. 91 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $ 56,188,000 Mexican Fixed Rate Bonds, Series M7 (Mexico), 8.00%, 12/24/08(l)....... $ 5,046,637 7,800,000 Mexican Fixed Rate Bonds, Series MI10 (Mexico), 8.00%, 12/19/13(l)....... 670,705 40,611,000 Mexican Fixed Rate Bonds, Series MI7 (Mexico), 9.00%, 12/24/09(l)....... 3,755,809 4,175,000 New Zealand Government, Series 415 (New Zealand), 6.00%, 04/15/15(i)....... 2,967,192 7,840,000 Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15(i).............. 5,427,172 3,594,421 Republic of Colombia (Columbia), 9.75%, 04/09/11.......... 4,122,800 2,295,000 United Mexican States (Mexico), 8.38%, 01/14/11.......... 2,677,118 4,045,000 United Mexican States (Mexico), 8.13%, 12/30/19.......... 4,975,350 2,385,000 United Mexican States (Mexico), 8.00%, 09/24/22.......... 2,927,588 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $59,337,324)............. 62,811,267 -------------- CONTRACTS --------- PURCHASED PUT OPTIONS -- 0.0% 232 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 111, 6.00%, 08/26/05 (Cost $110,259).......... 47,125 -------------- PRINCIPAL --------- SHORT TERM CORPORATE NOTES -- 0.8% TELECOMMUNICATIONS EQUIPMENT AND SERVICES $ 7,575,000 BellSouth Corp. -- 144A, 4.26%, 04/26/06.......... 7,603,792 7,750,000 SBC Communications, Inc. -- 144A, 4.39%, 06/05/06.......... 7,775,767 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $15,379,559)....... 15,379,559 --------------
PRINCIPAL VALUE --------- -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 6.5% FEDERAL HOME LOAN BANK $ 9,100,000 2.55%, 07/01/05............ $ 9,100,000 112,200,000 2.65%, 07/01/05............ 112,200,000 -------------- TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $121,300,000)............ 121,300,000 -------------- SHORT TERM US TREASURY SECURITY -- 0.3% 6,100,000 US Treasury Bill, 2.78%, 07/21/05 (Cost $6,090,579)........ 6,090,579 -------------- SECURITIES LENDING COLLATERAL -- 5.0% 94,420,159 Securities Lending Collateral Investment (Note 4) (Cost $94,420,159)....... 94,420,159 -------------- TOTAL SECURITIES (Cost $2,157,262,724).......... 2,167,242,459 -------------- REPURCHASE AGREEMENT -- 1.1% 20,000,000 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $20,001,450 (Collateralized by Small Business Administration, 6.33%, due 11/25/16, with a value of $21,000,000) (Cost $20,000,000)....... 20,000,000 -------------- SECURITIES SOLD SHORT -- (4.2)% 9,600,000 Fannie Mae, TBA, 5.50%, 07/14/05.......... (9,732,000) 9,400,000 Fannie Mae, TBA, 4.50%, 07/19/05.......... (9,358,875) 20,000,000 Fannie Mae, TBA, 5.50%, 07/19/05.......... (20,531,240) 20,000,000 Fannie Mae, TBA, 5.50%, 08/16/05.......... (20,506,240) 200,000 Freddie Mae Gold, TBA, 5.00%, 07/14/05.......... (200,062) 5,000,000 Freddie Mae Gold, TBA, 6.00%, 07/14/05.......... (5,128,125) 3,800,000 Freddie Mae Gold, TBA, 4.00%, 07/19/05.......... (3,715,686) 8,700,000 Freddie Mae Gold, TBA, 4.50%, 07/19/05.......... (8,661,937) -------------- TOTAL SECURITIES SOLD SHORT (Proceeds $77,887,388)... (77,834,165) --------------
See notes to financial statements. 92 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
CONTRACTS VALUE --------- -------------- CALL OPTIONS WRITTEN -- (0.0)% 293 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 112, 6.00%, 08/26/05.......... $ (544,797) 215 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 113, 6.00%, 08/26/05.......... (251,953) -------------- TOTAL CALL OPTIONS WRITTEN (Premium $258,747)....... (796,750) -------------- PUT OPTIONS WRITTEN -- (0.0)% 71 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 105, 6.00%, 08/26/05.......... (1,109) 318 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 106, 6.00%, 08/26/05.......... (4,969) -------------- TOTAL PUT OPTIONS WRITTEN (Premium $305,821)....... (6,078) -------------- Total Investments -- 112.6% (Cost $2,098,810,768).... 2,108,605,466 Liabilities less other assets -- (12.6)%........ (235,757,041) -------------- NET ASSETS -- 100.0%....... $1,872,848,425 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $2,098,810,768. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.............. $ 20,098,673 Gross unrealized depreciation.............. (10,303,975) ------------ Net unrealized appreciation................ $ 9,794,698 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 93 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ----------- US TREASURY SECURITIES -- 37.7% US TREASURY BOND -- 2.5% $ 1,090,000 5.38%, 02/15/31................. $ 1,286,541 ----------- US TREASURY INFLATION INDEX -- 4.9% 893,473 0.88%, 04/15/10................. 871,695 560,401 1.63%, 01/15/15................. 558,540 928,935 2.38%, 01/15/25................. 1,017,148 35,504 3.88%, 04/15/29................. 49,911 ----------- 2,497,294 ----------- US TREASURY NOTES -- 29.1% 11,510,000 3.38%, 02/15/08................. 11,429,972 2,643,000 4.00%, 04/15/10................. 2,672,736 250,000 4.00%, 02/15/15................. 250,967 430,000 4.13%, 05/15/15................. 436,416 ----------- 14,790,091 ----------- US TREASURY STRIP -- 1.2% 1,580,000 Zero coupon, 11/15/27........... 601,985 ----------- TOTAL US TREASURY SECURITIES (Cost $18,970,067)............ 19,175,911 ----------- US GOVERNMENT AGENCY SECURITIES -- 21.2% FANNIE MAE -- 14.0% 431,622 PL# 801516, 4.73%, 08/01/34..... 435,006 453,995 PL# 810896, 4.90%, 01/01/35..... 460,072 399,064 PL# 821150, 4.60%, 04/01/35..... 400,346 500,000 TBA, 5.50%, 07/01/19............ 513,281 400,000 TBA, 5.00%, 07/01/20............ 404,500 2,200,000 TBA, 5.00%, 07/01/35............ 2,200,686 300,000 TBA, 5.50%, 07/01/35............ 304,125 2,400,000 TBA, 6.00%, 07/01/35............ 2,460,750 ----------- 7,178,766 ----------- FREDDIE MAC GOLD -- 0.6% 300,000 TBA, 5.00%, 07/01/19............ 303,375 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 5.6% 2,000,000 TBA, 5.00%, 07/01/34............ 2,015,624 800,000 TBA, 5.50%, 07/01/34............ 817,000 ----------- 2,832,624 ----------- TENNESSEE VALLEY AUTHORITY -- 1.0% 520,000 4.65%, 06/15/35................. 523,008 ----------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $10,816,421).................. 10,837,773 -----------
PRINCIPAL VALUE --------- ----------- CORPORATE BONDS AND NOTES -- 25.1% AUTOMOBILES/MOTOR VEHICLES -- 1.0% $ 160,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08............... $ 157,656 200,000 Ford Motor Company, 7.45%, 07/16/31...................... 167,390 250,000 General Motors Corp., 8.38%, 07/15/33...................... 210,001 ----------- 535,047 ----------- BANKS -- 1.5% 230,000 Bank of America Corp., 3.88%, 01/15/08...................... 229,232 20,000 Rabobank Capital Federal Trust III -- 144A, Variable Rate, 5.25%, perpetual(a)........... 20,558 10,000 Rabobank Capital Funding II -- 144A, Variable Rate, 5.26%, perpetual(a).................. 10,305 240,000 Wachovia Corp., 5.25%, 08/01/14............... 250,986 230,000 Wells Fargo & Company, 4.20%, 01/15/10...................... 230,113 ----------- 741,194 ----------- BROADCAST SERVICES/MEDIA -- 1.7% 250,000 Comcast Corp., 6.50%, 01/15/15...................... 279,163 80,000 Cox Communications, Inc., 3.88%, 10/01/08...................... 78,374 100,000 Liberty Media Corp., 7.88%, 07/15/09...................... 106,809 50,000 News America, Inc., 6.20%, 12/15/34...................... 52,656 50,000 Time Warner Entertainment, 8.38%, 07/15/33............... 66,572 160,000 Time Warner, Inc., 6.88%, 05/01/12...................... 180,797 90,000 Time Warner, Inc., 7.70%, 05/01/32...................... 114,219 ----------- 878,590 ----------- CONSUMER GOODS AND SERVICES -- 0.4% 180,000 Altria Group, Inc., 7.00%, 11/04/13...................... 201,761 ----------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.3% 120,000 Waste Management, Inc., 6.38%, 11/15/12...................... 131,219 ----------- FINANCIAL SERVICES -- 7.0% 250,000 Citigroup, Inc., 4.13%, 02/22/10...................... 249,373 340,000 Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10...................... 339,952
See notes to financial statements. 94 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ----------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 100,000 Credit Suisse First Boston USA, Inc., 4.63%, 01/15/08......... $ 101,141 790,000 Ford Motor Credit Company, 7.38%, 10/28/09............... 772,676 250,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08.. 251,115 350,000 General Motors Acceptance Corp., 6.13%, 08/28/07............... 346,572 350,000 General Motors Acceptance Corp., 5.63%, 05/15/09............... 328,050 30,000..... General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07.... 29,076 120,000 Goldman Sachs Group, Inc., 4.13%, 01/15/08............... 120,003 70,000 Goldman Sachs Group, Inc., 4.50%, 06/15/10............... 70,303 250,000 HSBC Finance Corp., 4.63%, 01/15/08...................... 252,662 350,000 JPMorgan Chase & Company, 5.13%, 09/15/14...................... 358,686 130,000 Lehman Brothers Holdings, Inc., 4.00%, 01/22/08............... 129,613 200,000 Morgan Stanley, 3.63%, 04/01/08...................... 197,026 ----------- 3,546,248 ----------- FOOD AND BEVERAGE -- 0.6% 170,000 Anheuser-Busch Companies, Inc., 4.95%, 01/15/14............... 176,891 140,000 Kraft Foods, Inc., 5.63%, 11/01/11...................... 148,713 ----------- 325,604 ----------- INSURANCE -- 0.1% 30,000 ASIF Global Financing XIX -- 144A, 4.90%, 01/17/13............... 30,490 ----------- MANUFACTURING -- 0.8% 120,000 Tyco International Group SA (Luxembourg), 6.38%, 10/15/11...................... 131,968 240,000 Tyco International Group SA (Luxembourg), 6.00%, 11/15/13...................... 261,431 ----------- 393,399 -----------
PRINCIPAL VALUE --------- ----------- CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES -- 0.6% $ 110,000 El Paso Natural Gas, 8.38%, 06/15/32...................... $ 128,480 170,000 Williams Companies, Inc., Series A, 7.50%, 01/15/31............ 184,875 ----------- 313,355 ----------- OIL, COAL AND GAS -- 2.3% 110,000 Amerada Hess Corp., 7.30%, 08/15/31...................... 133,149 100,000 Anadarko Finance Company, Series B (Canada), 7.50%, 05/01/31... 126,656 150,000 Apache Finance Canada (Canada), 4.38%, 05/15/15............... 149,993 150,000 ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07..... 148,624 230,000 Conoco, Inc., 6.95%, 04/15/29... 289,885 140,000 Devon Energy Corp., 7.95%, 04/15/32...................... 184,745 20,000 Morgan Stanley (Gazprom) -- 144A (Russia), 9.63%, 03/01/13..... 24,580 120,000 XTO Energy, Inc., 6.25%, 04/15/13...................... 130,069 ----------- 1,187,701 ----------- PAPER AND FOREST PRODUCTS -- 0.6% 70,000 International Paper Company, 5.50%, 01/15/14............... 71,600 210,000 Weyerhaeuser Company, 6.75%, 03/15/12...................... 231,364 ----------- 302,964 ----------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 5.7% 400,000 Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, Floating Rate, 4.67%, 07/10/43(c)............ 402,019 440,340 Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.49%, 02/25/35(c)............ 439,771 130,000 Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35.... 129,939 679,330 GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 3.62%, 12/19/33(c)................... 676,065
See notes to financial statements. 95 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ----------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 470,811 GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.71%, 03/18/35(c)................... $ 472,283 200,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39............... 202,548 100,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30........... 101,313 100,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30.......... 101,156 400,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35...................... 398,516 ----------- 2,923,610 ----------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.1% 50,000 Deutsche Telekom International Finance BV (The Netherlands), 5.25%, 07/22/13............... 51,997 320,000 Sprint Capital Corp., 6.00%, 01/15/07...................... 328,037 170,000 Verizon Global Funding Corp., 7.38%, 09/01/12............... 198,926 ----------- 578,960 ----------- TRANSPORTATION -- 0.1% 50,000 Union Pacific Corp., 5.38%, 05/01/14...................... 52,234 ----------- UTILITIES: ELECTRIC -- 1.3% 30,000 Dominion Resources, Inc., 4.75%, 12/15/10...................... 30,218 100,000 Dominion Resources, Inc., 5.70%, 09/17/12...................... 105,608 140,000 Duke Energy Corp., 5.63%, 11/30/12...................... 148,736 70,000 FirstEnergy Corp., Series B, 6.45%, 11/15/11............... 76,584 150,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31............... 183,949 50,000 Oncor Electric Delivery Company, 6.38%, 01/15/15............... 55,523 70,000 Pacific Gas & Electric Company, 6.05%, 03/01/34............... 77,421 ----------- 678,039 ----------- TOTAL CORPORATE BONDS AND NOTES (Cost $12,560,568)............ 12,820,415 -----------
PRINCIPAL VALUE --------- ----------- FOREIGN GOVERNMENT OBLIGATIONS -- 9.8% $ 320,000 Australian Government (Australia), Series 121, 5.25%, 08/15/10(r)............ $ 245,250 720,000 Bundesrepublik Deutschland (Germany), Series 03, 4.25%, 01/04/14(j)................... 953,993 170,000 Federal Republic of Brazil (Brazil), 14.50%, 10/15/09.... 221,850 168,878 Federal Republic of Brazil (Brazil), 8.00%, 04/15/14..... 174,071 20,000 Federal Republic of Brazil (Brazil), 8.88%, 10/14/19..... 21,250 140,000 Federal Republic of Brazil (Brazil), 10.13%, 05/15/27.... 162,890 40,000 Federal Republic of Brazil (Brazil), 11.00%, 08/17/40.... 48,170 49,412 Federal Republic of Brazil (Brazil), Series 18YR, Floating Rate, 4.31%, 04/15/12(n)................... 47,807 116,683 Government of Canada Real Return Bonds (Canada), 4.00%, 12/01/31(s)................... 137,044 698,670 Government of France, Series OATi (France), 3.00%, 07/25/09(j)................... 930,913 120,000 Republic of Bulgaria -- 144A (Bulgaria), 8.25%, 01/15/15... 151,350 30,000 Republic of Colombia (Colombia), 10.50%, 07/09/10.............. 35,850 70,000 Republic of Colombia (Colombia), 11.75%, 02/25/20.............. 92,400 20,000 Republic of Panama (Panama), 9.63%, 02/08/11............... 24,000 80,000 Republic of Panama (Panama), 10.75%, 05/15/20.............. 108,800 50,000 Republic of Peru (Peru), 8.75%, 11/21/33...................... 56,625 76,500 Republic of Peru, Series 20 YR (Peru), 5.00%, 03/07/17....... 73,494 560,000 Russian Federation (Russia) -- 144A, 5.00%, 03/31/30......... 626,567 150,000 United Mexican States (Mexico), 8.38%, 01/14/11............... 174,975 110,000 United Mexican States (Mexico), Series MTN, 8.30%, 08/15/31... 137,225 520,000 United Mexican States (Mexico), Series MTNA, 7.50%, 04/08/33.. 598,000 ----------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $5,034,330)................... 5,022,524 -----------
See notes to financial statements. 96 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- PREFERRED STOCKS -- 1.1% 10,200 Fannie Mae, Series O (Cost $569,925)..................... $ 566,610 ----------- PRINCIPAL --------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.3% $ 150,000 Fannie Mae, 3.39%, 12/05/05(f) (Cost $147,782)............... 147,782 ----------- YANKEE CERTIFICATE OF DEPOSIT -- 1.0% 500,000 Treasury Bank, Series CD, Floating Rate, 3.31%, 11/23/05(a) (Cost $500,000)... 500,000 ----------- SHORT TERM COMMERCIAL PAPER -- 1.0% 500,000 BankAmerica Corp., zero coupon, 09/30/05 (Cost $495,753)...... 495,753 ----------- TOTAL SECURITIES (Cost $49,094,846).................. 49,566,768 ----------- REPURCHASE AGREEMENT -- 21.1% 10,775,704 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $10,776,485 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.79%, due 09/01/34, with a value of $11,314,489) (Cost $10,775,704).................. 10,775,704 ----------- CONTRACTS VALUE --------- ----------- PUT OPTIONS WRITTEN -- (0.0)% 12 US Treasury Note (10 Year) September Future, Expiring August 2005@ 110, 6.00%, 08/26/05 (Premium $3,159)..... $ (1,125) ----------- CALL OPTIONS WRITTEN -- (0.1)% 36 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 114, 6.00%, 08/26/05...................... (23,625) 12 US Treasury Note (10 Year) September Future, Expiring August 2005@ 115, 6.00%, 08/26/05...................... (3,937) ----------- TOTAL CALL OPTIONS WRITTEN (Premium $15,213)............. (27,562) ----------- Total Investments -- 118.2% (Cost $59,852,178)............ 60,313,785 Liabilities less other assets -- (18.2)%............. (9,281,860) ----------- NET ASSETS -- 100.0%............ $51,031,925 ===========
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $59,852,178. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............ $ 587,643 Gross unrealized depreciation............ (126,036) --------- Net unrealized appreciation.............. $ 461,607 =========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 97 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 63.3% AEROSPACE AND DEFENSE -- 1.6% 33,950 Lockheed Martin Corp. ......... $ 2,202,336 36,271 Northrop Grumman Corp. ........ 2,003,973 50,350 Raytheon Company............... 1,969,692 7,500 The Boeing Company............. 495,000 ------------ 6,671,001 ------------ AGRICULTURE -- 0.4% 29,150 Monsanto Company............... 1,832,661 ------------ APPAREL: MANUFACTURING AND RETAIL -- 0.9% 23,300 Abercrombie & Fitch Company -- Class A(d)................... 1,600,710 57,300 Coach, Inc.*................... 1,923,561 ------------ 3,524,271 ------------ AUTOMOBILE: RETAIL -- 0.2% 37,200 AutoNation, Inc.*.............. 763,344 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.1% 47,550 Ford Motor Company............. 486,912 ------------ AUTOMOTIVE EQUIPMENT -- 0.4% 33,100 Autoliv, Inc. ................. 1,449,780 ------------ BANKS -- 4.4% 130,212 Bank of America Corp. ......... 5,938,969 7,500 Bank of Hawaii Corp. .......... 380,625 6,900 Golden West Financial Corp.(d)..................... 444,222 15,150 KeyCorp........................ 502,223 65,650 North Fork Bancorp, Inc. ...... 1,844,109 11,900 UnionBanCal Corp. ............. 796,348 74,782 US Bancorp..................... 2,183,634 69,153 Wachovia Corp. ................ 3,429,989 36,550 Wells Fargo & Company.......... 2,250,749 ------------ 17,770,868 ------------ BROADCAST SERVICES/MEDIA -- 3.3% 75,300 Comcast Corp. -- Class A*...... 2,311,710 47,800 Comcast Corp. -- Special Class A*........................... 1,431,610 4,200 Gannett Company, Inc. ......... 298,746 46,800 Liberty Media Corp. -- Class A*........................... 476,892 29,700 Pixar*(d)...................... 1,486,485 104,500 The Walt Disney Company........ 2,631,310 203,690 Time Warner, Inc.*............. 3,403,660 42,700 Viacom, Inc. -- Class B........ 1,367,254 ------------ 13,407,667 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES -- 0.5% 41,900 Moody's Corp. ................. $ 1,883,824 ------------ CHEMICALS -- 0.3% 25,650 The Dow Chemical Company....... 1,142,195 ------------ COMMERCIAL SERVICES -- 0.5% 97,950 Cendant Corp. ................. 2,191,142 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.1% 59,400 Adobe Systems, Inc. ........... 1,700,028 48,000 Autodesk, Inc. ................ 1,649,760 39,600 Computer Sciences Corp.*....... 1,730,520 32,900 Ingram Micro, Inc. -- Class A*........................... 515,214 179,250 Microsoft Corp. ............... 4,452,570 205,150 Oracle Corp.*.................. 2,707,980 14,700 Parametric Technology Corp.*... 93,786 ------------ 12,849,858 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 2.3% 96,700 Dell, Inc.*.................... 3,820,617 134,987 Hewlett-Packard Company........ 3,173,544 17,950 International Business Machines Corp. ....................... 1,331,890 167,000 Sun Microsystems, Inc.*........ 622,910 45,100 Western Digital Corp.*......... 605,242 ------------ 9,554,203 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.1% 5,800 USG Corp.*(d).................. 246,500 ------------ CONSUMER GOODS AND SERVICES -- 5.7% 71,750 Altria Group, Inc. ............ 4,639,354 10,900 American Greetings Corp. -- Class A...................... 288,850 11,850 Colgate-Palmolive Company...... 591,434 9,600 Eastman Kodak Company(d)....... 257,760 16,900 Energizer Holdings, Inc.*...... 1,050,673 291,200 General Electric Company....... 10,090,079 24,200 Gillette Company............... 1,225,246 31,950 Procter & Gamble Company(d).... 1,685,363 3,150 Reynolds American, Inc.(d)..... 248,220 11,200 The Black & Decker Corp. ...... 1,006,320 4,300 United Parcel Service, Inc. -- Class B...................... 297,388 35,885 UST, Inc. ..................... 1,638,509 ------------ 23,019,196 ------------
See notes to financial statements. 98 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) \xElectronics -- 0.1% 4,750 Rockwell Collins, Inc. ........ $ 226,480 ------------ FINANCIAL SERVICES -- 5.1% 35,400 AmeriCredit Corp.*............. 902,700 7,000 CIT Group, Inc. ............... 300,790 103,699 Citigroup, Inc. ............... 4,794,004 15,200 E*TRADE Financial Corp.*....... 212,648 5,500 Franklin Resources, Inc. ...... 423,390 128,800 JPMorgan Chase & Company....... 4,549,215 50,700 Merrill Lynch & Company, Inc. ........................ 2,789,007 47,900 Morgan Stanley................. 2,513,313 7,500 Nelnet, Inc. -- Class A*....... 249,525 27,500 Prudential Financial, Inc. .... 1,805,650 60,250 Washington Mutual, Inc.(d)..... 2,451,573 ------------ 20,991,815 ------------ FOOD AND BEVERAGE -- 1.7% 90,050 Archer-Daniels-Midland Company...................... 1,925,268 19,050 Coca-Cola Company.............. 795,338 29,850 Hershey Foods Corp.(d)......... 1,853,685 10,300 PepsiAmericas, Inc. ........... 264,298 12,500 PepsiCo, Inc. ................. 674,125 7,300 Pilgrim's Pride Corp.(d)....... 249,149 6,050 The Pepsi Bottling Group, Inc. ........................ 173,091 50,900 Tyson Foods, Inc. -- Class A... 906,020 ------------ 6,840,974 ------------ INSURANCE -- 3.4% 17,700 Aetna, Inc. ................... 1,465,914 33,803 American International Group, Inc. ........................ 1,963,954 14,500 CIGNA Corp. ................... 1,551,935 19,200 CNA Financial Corp.*........... 545,664 53,200 Genworth Financial, Inc. -- Class A...................... 1,608,236 24,000 Loews Corp. ................... 1,860,000 29,800 MBIA, Inc. .................... 1,767,438 28,100 The Allstate Corp. ............ 1,678,975 20,500 WR Berkley Corp. .............. 731,440 8,500 XL Capital, Ltd. -- Class A (Cayman Islands)............. 632,570 ------------ 13,806,126 ------------ INTERNET SERVICES -- 2.0% 159,350 Cisco Systems, Inc.*........... 3,045,178 7,000 eBay, Inc.*.................... 231,070
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 5,250 Google, Inc. -- Class A*....... $ 1,544,288 62,600 Juniper Networks, Inc.*........ 1,576,268 28,117 Symantec Corp.*................ 611,264 28,100 YAHOO!, Inc.*.................. 973,665 ------------ 7,981,733 ------------ LEISURE AND RECREATION -- 0.3% 11,000 Boyd Gaming Corp. ............. 562,430 4,500 Choice Hotels International, Inc. ........................ 295,650 7,000 Marriott International, Inc. -- Class A...................... 477,540 ------------ 1,335,620 ------------ MACHINERY -- 0.1% 11,950 Rockwell Automation, Inc. ..... 582,085 ------------ MANUFACTURING -- 0.7% 24,200 Illinois Tool Works, Inc. ..... 1,928,256 2,250 ITT Industries, Inc. .......... 219,668 24,850 Tyco International, Ltd. (Bermuda).................... 725,620 ------------ 2,873,544 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.9% 37,200 HCA, Inc. ..................... 2,108,124 36,300 McKesson Corp. ................ 1,625,877 ------------ 3,734,001 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 2.6% 8,050 Guidant Corp. ................. 541,765 94,650 Johnson & Johnson.............. 6,152,250 57,450 Medtronic, Inc. ............... 2,975,336 23,200 St Jude Medical, Inc.*......... 1,011,752 ------------ 10,681,103 ------------ METALS AND MINING -- 0.3% 6,700 Newmont Mining Corp. .......... 261,501 5,600 Phelps Dodge Corp. ............ 518,000 14,400 United States Steel Corp.(d)... 494,928 ------------ 1,274,429 ------------ OIL AND GAS: PIPELINES -- 0.1% 7,900 Questar Corp. ................. 520,610 ------------ OIL, COAL AND GAS -- 5.7% 25,500 Anadarko Petroleum Corp. ...... 2,094,825 32,714 Apache Corp. .................. 2,113,323 38,200 Burlington Resources, Inc. .... 2,110,168
See notes to financial statements. 99 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 22,100 ChevronTexaco Corp. ........... $ 1,235,832 36,026 ConocoPhillips................. 2,071,135 13,450 Devon Energy Corp. ............ 681,646 144,450 Exxon Mobil Corp. ............. 8,301,541 21,600 Helmerich & Payne, Inc. ....... 1,013,472 12,500 Noble Energy, Inc. ............ 945,625 3,850 Occidental Petroleum Corp. .... 296,181 15,800 Sunoco, Inc. .................. 1,796,144 6,300 Unit Corp.*.................... 277,263 ------------ 22,937,155 ------------ PAPER AND FOREST PRODUCTS -- 0.4% 52,900 Georgia-Pacific Corp. ......... 1,682,220 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.6% 67,800 Abbott Laboratories............ 3,322,878 4,000 AmerisourceBergen Corp. ....... 276,600 55,634 Amgen, Inc.*................... 3,363,631 106,200 Bristol-Myers Squibb Company... 2,652,876 8,000 Eli Lilly and Company.......... 445,680 25,950 Genzyme Corp.*................. 1,559,336 9,300 Gilead Sciences, Inc.*......... 409,107 45,500 Merck & Company, Inc. ......... 1,401,400 167,660 Pfizer, Inc. .................. 4,624,062 15,900 Wyeth.......................... 707,550 ------------ 18,763,120 ------------ PRINTING AND PUBLISHING -- 0.1% 13,800 RR Donnelley & Sons Company.... 476,238 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.4% 15,000 Equity Office Properties Trust........................ 496,500 32,000 ProLogis....................... 1,287,680 ------------ 1,784,180 ------------ RETAIL -- 2.6% 14,400 7-Eleven, Inc.*................ 435,456 97,700 Circuit City Stores, Inc. ..... 1,689,233 42,000 Dillard's, Inc. -- Class A..... 983,640 12,972 Home Depot, Inc. .............. 504,611 37,800 Michaels Stores, Inc. ......... 1,563,786 14,700 Saks, Inc.*.................... 278,859
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 5,350 Target Corp.(d)................ $ 291,094 48,170 Wal-Mart Stores, Inc. ......... 2,321,794 58,100 Walgreen Company............... 2,672,018 ------------ 10,740,491 ------------ RETAIL: RESTAURANTS -- 0.5% 7,950 Darden Restaurants, Inc. ...... 262,191 33,050 McDonald's Corp. .............. 917,138 17,650 Starbucks Corp.*............... 911,799 ------------ 2,091,128 ------------ SEMICONDUCTORS -- 2.0% 62,000 Advanced Micro Devices, Inc.*........................ 1,075,080 51,139 Freescale Semiconductor, Inc. -- Class B*............. 1,083,124 196,250 Intel Corp. ................... 5,114,275 27,850 Texas Instruments, Inc. ....... 781,750 ------------ 8,054,229 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.8% 45,700 BellSouth Corp.(d)............. 1,214,249 49,650 CenturyTel, Inc. .............. 1,719,380 19,750 Comverse Technology, Inc.*..... 467,088 51,850 Motorola, Inc. ................ 946,781 7,000 QUALCOMM, Inc. ................ 231,070 133,600 SBC Communications, Inc. ...... 3,172,999 69,550 Sprint Corp. (FON Group)(d).... 1,745,010 33,550 Tellabs, Inc.*................. 291,885 45,500 Verizon Communications, Inc.(d)...................... 1,572,025 ------------ 11,360,487 ------------ TRANSPORTATION -- 1.1% 41,400 Burlington Northern Santa Fe Corp. ....................... 1,949,112 42,100 CSX Corp. ..................... 1,795,986 9,050 Norfolk Southern Corp. ........ 280,188 12,800 Swift Transportation Company, Inc.*........................ 298,112 4,100 Union Pacific Corp. ........... 265,680 ------------ 4,589,078 ------------ UTILITIES: ELECTRIC -- 2.0% 47,800 Edison International........... 1,938,290 4,950 Entergy Corp. ................. 373,973 47,550 Exelon Corp. .................. 2,440,741 15,300 FPL Group, Inc. ............... 643,518
See notes to financial statements. 100 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) 51,150 PG&E Corp. .................... $ 1,920,171 6,450 TXU Corp. ..................... 535,931 8,100 Wisconsin Energy Corp. ........ 315,900 ------------ 8,168,524 ------------ TOTAL COMMON STOCKS (Cost $243,564,511).......... 258,288,792 ------------ PREFERRED STOCKS -- 0.5% 34,800 Fannie Mae, Series O (Cost 1,943,963)................... 1,933,140 ------------ PRINCIPAL --------- US TREASURY SECURITIES -- 5.6% US TREASURY BOND -- 0.7% $ 2,280,000 5.38%, 02/15/31(d)............. 2,691,114 ------------ US TREASURY INFLATION INDEX -- 2.6% 6,161,880 0.88%, 04/15/10................ 6,011,691 3,715,740 2.38%, 01/15/25................ 4,068,590 236,696 3.88%, 04/15/29................ 332,743 ------------ 10,413,024 ------------ US TREASURY NOTES -- 1.9% 1,350,000 2.50%, 10/31/06................ 1,331,227 1,185,000 3.38%, 02/28/07................ 1,180,187 2,585,000 3.75%, 03/31/07................ 2,589,746 730,000 3.00%, 02/15/08................ 718,394 915,000 3.38%, 02/15/08(d)............. 908,638 910,000 4.00%, 04/15/10................ 920,238 250,000 4.00%, 02/15/15................ 250,967 ------------ 7,899,397 ------------ US TREASURY STRIP -- 0.4% 4,430,000 Zero coupon, 11/15/27.......... 1,687,843 ------------ TOTAL US TREASURY SECURITIES (Cost $22,402,429)........... 22,691,378 ------------ US GOVERNMENT AGENCY SECURITIES -- 8.4% FANNIE MAE -- 5.0% 228,147 PL# 535675, 7.00%, 01/01/16.... 239,142 977 PL# 549906, 7.50%, 09/01/30.... 1,044 3,018 PL# 552549, 7.50%, 09/01/30.... 3,226 606 PL# 558384, 7.50%, 01/01/31.... 647 3,811 PL# 568677, 7.50%, 01/01/31.... 4,073 3,624 PL# 572762, 7.50%, 03/01/31.... 3,874 16,258 PL# 582178, 7.50%, 06/01/31.... 17,377
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 13,535 PL# 594316, 6.50%, 07/01/31.... $ 14,044 2,649 PL# 602859, 6.50%, 10/01/31.... 2,749 50,812 PL# 614924, 7.00%, 12/01/16.... 53,259 76,553 PL# 793193, 5.50%, 07/01/19.... 78,659 1,294,865 PL# 801516, Variable Rate, 4.73%, 08/01/34(a)........... 1,305,019 1,388,608 PL# 810896, Variable Rate, 4.90%, 01/01/35(a)........... 1,407,195 897,895 PL# 821150, Variable Rate, 4.60%, 04/01/35(a)........... 900,779 1,300,000 TBA, 5.50%, 07/01/19........... 1,334,531 1,100,000 TBA, 5.00%, 07/01/20........... 1,112,375 6,400,000 TBA, 5.00%, 07/01/34........... 6,401,997 900,000 TBA, 5.50%, 07/01/35........... 912,375 6,700,000 TBA, 6.00%, 07/01/35........... 6,869,590 ------------ 20,661,955 ------------ FREDDIE MAC GOLD -- 0.2% 900,000 TBA, 5.00%, 07/01/19........... 910,125 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 1.9% 9,526 PL# 461836, 7.00%, 01/15/28.... 10,103 1,549 PL# 596647, 7.00%, 09/15/32.... 1,641 5,700,000 TBA, 5.00%, 07/01/34........... 5,744,528 2,200,000 TBA, 5.50%, 07/01/34........... 2,246,750 ------------ 8,003,022 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 0.8% 600,000 Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10.............. 651,613 334,380 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29.............. 343,867 760,000 Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18.............. 776,321 574,751 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34.............. 580,536 706,232 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34.............. 724,772 ------------ 3,077,109 ------------
See notes to financial statements. 101 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) exResolution Funding Strips -- 0.1% $ 250,000 Zero coupon, 07/15/18.......... $ 140,716 250,000 Zero coupon, 10/15/18.......... 138,994 ------------ 279,710 ------------ TENNESSEE VALLEY AUTHORITY -- 0.4% 1,520,000 4.65%, 06/15/35................ 1,528,792 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $34,368,478)........... 34,460,713 ------------ CORPORATE BONDS AND NOTES -- 10.4% AEROSPACE AND DEFENSE -- 0.1% 35,000 B/E Aerospace, 8.50%, 10/01/10..................... 38,850 720,000 RC Trust I, 7.00%, 05/15/06.... 369,675 ------------ 408,525 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.3% 475,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08.............. 468,042 580,000 Ford Motor Company, 7.45%, 07/16/31.............. 485,432 520,000 General Motors Corp., 8.38%, 07/15/33(d)........... 436,800 ------------ 1,390,274 ------------ AUTOMOTIVE EQUIPMENT -- 0.0% 50,000 Visteon Corp., 8.25%, 08/01/10.............. 46,500 ------------ BANKS -- 0.7% 690,000 Bank of America Corp., 3.88%, 01/15/08.............. 687,696 325,000 Deutsche Bank AG New York, Series YCD, Variable Rate, 3.84%, 03/15/07(a)........... 324,733 20,000 Rabobank Capital Funding Trust II -- 144A, Variable Rate, 5.26%, perpetual(a).......... 20,610 40,000 Rabobank Capital Funding Trust III -- 144A, Variable Rate, 5.25%, perpetual(a).......... 41,117 215,000 SunTrust Banks, Inc., 4.42%, 06/15/09.............. 216,990
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 740,000 Wachovia Corp., 5.25%, 08/01/14.............. $ 773,869 625,000 Wells Fargo & Company, 4.20%, 01/15/10.............. 625,308 ------------ 2,690,323 ------------ BROADCAST SERVICES/MEDIA -- 0.7% 100,000 Clear Channel Communications, Inc., 4.25%, 05/15/09.............. 96,451 760,000 Comcast Corp., 6.50%, 01/15/15.............. 848,655 230,000 Cox Communications, Inc., 3.88%, 10/01/08.............. 225,325 40,000 CSC Holdings, Inc., 7.88%, 02/15/18.............. 39,600 20,000 CSC Holdings, Inc., 7.63%, 07/15/18.............. 19,400 20,000 DIRECTV Holdings LLC/ DIRECTV Financing Company, Inc. -- 144A, 6.38%, 06/15/15.............. 20,000 280,000 Liberty Media Corp., 7.88%, 07/15/09.............. 299,066 100,000 Liberty Media Corp., 5.70%, 05/15/13.............. 93,154 160,000 News America, Inc., 6.20%, 12/15/34.............. 168,500 20,000 Rogers Cable, Inc. (Canada), 6.75%, 03/15/15.............. 20,500 150,000 Time Warner Entertainment, 8.38%, 07/15/33.............. 199,716 580,000 Time Warner, Inc., 6.88%, 05/01/12.............. 655,388 270,000 Time Warner, Inc., 7.70%, 05/01/32.............. 342,657 ------------ 3,028,412 ------------ CHEMICALS -- 0.0% 40,000 IMC Global, Inc., Series B, 10.88%, 06/01/08............. 45,200 20,000 Rhodia SA (France), 10.25%, 06/01/10............. 21,550 20,000 Westlake Chemical Corp., 8.75%, 07/15/11.............. 21,850 ------------ 88,600 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.0% 65,000 K Hovnanian Enterprises, Inc., 6.25%, 01/15/15.............. 64,513 ------------
See notes to financial statements. 102 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) gxConsumer Goods and Services -- 0.2% $ 550,000 Altria Group, Inc., 7.00%, 11/04/13.............. $ 616,492 10,000 Eastman Kodak Company, 7.25%, 11/15/13.............. 10,563 ------------ 627,055 ------------ CONTAINERS AND PACKAGING -- 0.0% 25,000 Crown European Holdings SA (France), 10.88%, 03/01/13............. 29,500 ------------ ELECTRONICS -- 0.0% 10,000 Flextronics International, Ltd. (Singapore), 6.25%, 11/15/14.............. 9,975 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.1% 160,000 Waste Management, Inc., 6.50%, 11/15/08.............. 170,088 350,000 Waste Management, Inc., 6.38%, 11/15/12.............. 382,720 ------------ 552,808 ------------ FINANCIAL SERVICES -- 3.1% 770,000 Citigroup, Inc., 4.13%, 02/22/10.............. 768,067 1,000,000 Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10.............. 999,860 300,000 Credit Suisse First Boston USA, Inc., 4.63%, 01/15/08.............. 303,422 210,000 Ford Motor Credit Company, 6.63%, 06/16/08.............. 207,542 2,305,000 Ford Motor Credit Company, 7.38%, 10/28/09.............. 2,254,455 760,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08.............. 763,390 1,170,000 General Motors Acceptance Corp., 6.13%, 08/28/07.............. 1,158,542 1,010,000 General Motors Acceptance Corp., 5.63%, 05/15/09.............. 946,659 200,000 General Motors Acceptance Corp., Floating Rate, 4.10%, 07/16/07(b)........... 193,106 110,000 General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07.............. 106,613
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 160,000 General Motors Acceptance Corp., Series MTN, Floating Rate, 4.60%, 09/23/08(b)........... $ 148,049 330,000 Goldman Sachs Group, Inc., 4.13%, 01/15/08.............. 330,007 200,000 Goldman Sachs Group, Inc., 4.50%, 06/15/10.............. 200,866 900,000 Goldman Sachs Group, Inc., Series MTNB, Floating Rate, 3.15%, 08/01/06(c)........... 900,123 750,000 HSBC Finance Corp., 4.63%, 01/15/08.............. 757,985 1,060,000 JPMorgan Chase & Company, 5.13%, 09/15/14.............. 1,086,307 380,000 Lehman Brothers Holdings, Inc., 4.00%, 01/22/08.............. 378,868 620,000 Morgan Stanley, 3.63%, 04/01/08.............. 610,781 45,000 REFCO Finance Holdings, 9.00%, 08/01/12.............. 47,925 ------------ 12,162,567 ------------ FOOD AND BEVERAGE -- 0.2% 530,000 Anheuser-Busch Companies, Inc., 4.95%, 01/15/14.............. 551,485 430,000 Kraft Foods, Inc., 5.63%, 11/01/11.............. 456,761 ------------ 1,008,246 ------------ FUNERAL SERVICES -- 0.0% 35,000 Service Corp. International, 7.70%, 04/15/09.............. 37,625 10,000 Service Corp. International -- 144A, 7.00%, 06/15/17.............. 10,325 ------------ 47,950 ------------ INSURANCE -- 0.0% 80,000 ASIF Global Financing XIX -- 144A, 4.90%, 01/17/13.............. 81,306 ------------ LEISURE AND RECREATION -- 0.1% 40,000 Inn of The Mountain Gods, 12.00%, 11/15/10............. 46,400 15,000 John Q Hammons Hotels, LP/ John Q Hammons Finance Corporation III, Series B, 8.88%, 05/15/12.............. 16,425 10,000 K2, Inc., 7.38%, 07/01/14.............. 10,575
See notes to financial statements. 103 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION (CONTINUED) $ 40,000 MGM MIRAGE, 7.25%, 10/15/06.............. $ 41,350 25,000 MGM MIRAGE, 6.00%, 10/01/09.............. 25,250 50,000 MGM MIRAGE, 8.50%, 09/15/10.............. 55,750 30,000 MGM MIRAGE -- 144A, 6.63%, 07/15/15.............. 30,488 15,000 Mohegan Tribal Gaming Authority -- 144A, 6.13%, 02/15/13.............. 15,225 ------------ 241,463 ------------ MANUFACTURING -- 0.3% 350,000 Tyco International Group SA (Luxembourg), 6.38%, 10/15/11.............. 384,907 710,000 Tyco International Group SA (Luxembourg), 6.00%, 11/15/13.............. 773,400 ------------ 1,158,307 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.1% 30,000 Davita, Inc. -- 144A, 7.25%, 03/15/15.............. 30,975 40,000 HCA, Inc., 5.50%, 12/01/09.............. 40,318 40,000 HCA, Inc., 7.69%, 06/15/25.............. 43,055 110,000 HCA, Inc., 7.50%, 11/06/33.............. 118,859 60,000 Tenet Healthcare Corp., 6.38%, 12/01/11.............. 57,450 30,000 Tenet Healthcare Corp., 6.50%, 06/01/12.............. 28,650 ------------ 319,307 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 0.0% 10,000 Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08.............. 10,475 ------------ METALS AND MINING -- 0.0% 20,000 International Steel Group, 6.50%, 04/15/14.............. 19,300 25,000 TriMas Corp., 9.88%, 06/15/12.............. 21,125 ------------ 40,425 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL AND GAS: PIPELINES -- 0.2% $ 330,000 El Paso Natural Gas, 8.38%, 06/15/32.............. $ 385,440 510,000 Williams Companies, Inc., Series A, 7.50%, 01/15/31.............. 554,625 ------------ 940,065 ------------ OIL, COAL AND GAS -- 0.9% 330,000 Amerada Hess Corp., 7.30%, 08/15/31.............. 399,447 300,000 Anadarko Finance Company, Series B (Canada), 7.50%, 05/01/31.............. 379,969 470,000 Apache Finance Canada (Canada), 4.38%, 05/15/15.............. 469,977 45,000 Chesapeake Energy Corp., 7.75%, 01/15/15.............. 48,825 20,000 Chesapeake Energy Corp. -- 144A, 6.25%, 01/15/18.............. 19,800 460,000 ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07.............. 455,781 690,000 Conoco, Inc., 6.95%, 04/15/29.............. 869,654 420,000 Devon Energy Corp., 7.95%, 04/15/32.............. 554,234 15,000 KCS Energy, Inc. -- 144A, 7.13%, 04/01/12.............. 15,375 60,000 Morgan Stanley (Gazprom) -- 144A (Russia), 9.63%, 03/01/13.............. 73,740 80,000 Western Oil Sands, Inc. (Canada), 8.38%, 05/01/12.............. 91,500 350,000 XTO Energy, Inc., 6.25%, 04/15/13.............. 379,369 ------------ 3,757,671 ------------ PAPER AND FOREST PRODUCTS -- 0.2% 35,000 Abitibi-Consolidated, Inc. (Canada), 8.38%, 04/01/15.............. 35,875 220,000 International Paper Company, 5.50%, 01/15/14.............. 225,027 630,000 Weyerhaeuser Company, 6.75%, 03/15/12.............. 694,092 ------------ 954,994 ------------
See notes to financial statements. 104 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.0% $ 15,000 Bio-Rad Laboratories, Inc., 7.50%, 08/15/13.............. $ 16,125 45,000 Bio-Rad Laboratories, Inc., 6.13%, 12/15/14.............. 45,675 75,000 Elan Finance PLC/Elan Finance Corp. -- 144A (Brazil), 7.75%, 11/15/11(d)........... 64,500 ------------ 126,300 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 1.6% 1,340,164 Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.49%, 02/25/35(c)........... 1,338,435 390,000 Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 05/25/35.............. 389,817 900,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33.............. 980,054 1,412,434 GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.71%, 03/18/35(c)........... 1,416,847 870,000 LB-UBS Commercial Mortgage Trust, Series 2005-C1, Class A3, 4.55%, 02/15/30.............. 875,770 1,300,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35..................... 1,295,176 ------------ 6,296,099 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.0% 40,000 Ventas Realty LP/Capital Corp. -- 144A, 7.13%, 06/01/15.............. 41,800 50,000 Ventas Realty LP/Capital Corp. -- 144A, 6.75%, 06/01/10.............. 52,128 ------------ 93,928 ------------ RETAIL -- 0.0% 10,000 JC Penney & Company, Inc., 7.40%, 04/01/37.............. 10,850 60,000 Suburban Propane Partners, 6.88%, 12/15/13.............. 57,300 ------------ 68,150 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) RETAIL: SUPERMARKETS -- 0.0% $ 100,000 Delhaize America, Inc., 9.00%, 04/15/31.............. $ 125,348 ------------ SEMICONDUCTORS -- 0.0% 25,000 Freescale Semiconductor, Inc., Floating Rate, 5.89%, 07/15/09(b)........... 26,094 40,000 MagnaChip Semiconductor, Ltd. -- 144A, Floating Rate, 6.66%, 12/15/11(b)........... 39,800 ------------ 65,894 ------------ SPECIAL PURPOSE ENTITY -- 0.1% 225,000 Irwin Land LLC, Series A-2, 5.40%, 12/15/47.............. 232,432 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.6% 50,000 Cincinnati Bell, Inc., 7.25%, 07/15/13.............. 52,750 25,000 Citizens Communications Company, 6.25%, 01/15/13.............. 24,313 150,000 Deutsche Telekom International Finance BV (The Netherlands), 5.25%, 07/22/13.............. 155,989 15,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), 8.25%, 01/15/13.............. 15,563 30,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), Floating Rate, 7.81%, 01/15/12(n)........... 30,675 60,000 Nextel Communications, Inc., 5.95%, 03/15/14.............. 62,625 10,000 Nextel Communications, Inc., 7.38%, 08/01/15.............. 10,850 100,000 Qwest Communications International, Inc. Floating Rate, 7.27%, 02/15/09(b)........... 98,750 105,000 Qwest Corp., 7.88%, 09/01/11.............. 109,988 50,000 Qwest Corp., 8.88%, 03/15/12.............. 54,625 15,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15(d)........... 16,388 960,000 Sprint Capital Corp., 6.00%, 01/15/07.............. 984,112
See notes to financial statements. 105 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 10,000 Valor Telecommunications Enterprises LLC -144A, 7.75%, 02/15/15.............. $ 9,875 530,000 Verizon Global Funding Corp., 7.38%, 09/01/12.............. 620,181 ------------ 2,246,684 ------------ TRANSPORTATION -- 0.1% 85,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13.............. 85,106 80,000 Overseas Shipholding Group, 7.50%, 02/15/24.............. 77,600 130,000 Union Pacific Corp., 5.38%, 05/01/14.............. 135,808 ------------ 298,514 ------------ UTILITIES -- 0.0% 20,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12............. 22,600 5,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 6,013 ------------ 28,613 ------------ UTILITIES: ELECTRIC -- 0.8% 760,000 AES Corp., 7.75%, 03/01/14.............. 828,400 90,000 Dominion Resources, Inc., 4.75%, 12/15/10.............. 90,654 320,000 Dominion Resources, Inc., 5.70%, 09/17/12.............. 337,945 440,000 Duke Energy Corp., 5.63%, 11/30/12.............. 467,456 210,000 FirstEnergy Corp., Series B, 6.45%, 11/15/11.............. 229,753 450,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31.............. 551,845 50,000 Midwest Generation LLC, 8.75%, 05/01/34.............. 56,250 45,000 Midwest Generation LLC, Series B, 8.56%, 01/02/16.............. 49,641 10,000 NRG Energy, Inc. -- 144A, 8.00%, 12/15/13.............. 10,600 140,000 Oncor Electric Delivery Company, 6.38%, 01/15/15.............. 155,464 210,000 Pacific Gas & Electric Company, 6.05%, 03/01/34.............. 232,264
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 15,000 Reliant Energy, Inc., 9.25%, 07/15/10.............. $ 16,425 45,000 Reliant Energy, Inc., 6.75%, 12/15/14.............. 44,213 40,000 Texas Genco LLC/Financing -- 144A, 6.88%, 12/15/14.............. 42,300 ------------ 3,113,210 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $41,923,409)........... 42,354,433 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 3.9% 450,000 AID-Israel (Israel), 5.50%, 04/26/24.............. 505,803 315,000 AID-Israel (Israel), 5.50%, 09/18/33.............. 362,583 930,000 Australian Government (Australia), Series 121, 5.25%, 08/15/10(r)........... 712,757 2,100,000 Bundesrepublik Deutschland (Germany), Series 03, 4.25%, 01/04/14(j)........... 2,782,480 510,000 Federal Republic of Brazil (Brazil), 14.50%, 10/15/09............. 665,550 517,190 Federal Republic of Brazil (Brazil), 8.00%, 04/15/14.............. 533,091 480,000 Federal Republic of Brazil (Brazil), 10.13%, 05/15/27............. 558,480 130,000 Federal Republic of Brazil (Brazil), 11.00%, 08/17/40............. 156,553 156,473 Federal Republic of Brazil (Brazil), Series 18YR, Floating Rate, 4.31%, 04/15/12(n)........... 151,388 338,380 Government of Canada Real Return Bonds (Canada), 4.00%, 12/01/31(s)........... 397,428 2,040,560 Government of France, Series OATi (France), 3.00%, 07/25/09(j)........... 2,718,857 400,000 Japan Finance Corp. for Municipal Enterprises, Series DTC (Japan), 4.63%, 04/21/15.............. 407,743
See notes to financial statements. 106 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $ 350,000 Republic of Bulgaria -- 144A (Bulgaria), 8.25%, 01/15/15.............. $ 441,438 110,000 Republic of Colombia (Colombia), 10.50%, 07/09/10............. 131,450 200,000 Republic of Colombia (Colombia), 11.75%, 02/25/20............. 264,000 50,000 Republic of Panama (Panama), 9.63%, 02/08/11.............. 60,000 230,000 Republic of Panama (Panama), 10.75%, 05/15/20............. 312,800 150,000 Republic of Peru (Peru), 8.75%, 11/21/33.............. 169,875 212,500 Republic of Peru, Series 20YR (Peru), Variable Rate, 5.00%, 03/07/17(a)........... 204,149 1,650,000 Russian Federation (Russia) -- 144A, 5.00%, 03/31/30.............. 1,846,136 450,000 United Mexican States (Mexico), 8.38%, 01/14/11.............. 524,925 320,000 United Mexican States (Mexico), Series MTN, 8.30%, 08/15/31.............. 399,200 1,540,000 United Mexican States (Mexico), Series MTNA, 7.50%, 04/08/33.............. 1,771,000 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $15,867,755)........... 16,077,686 ------------ SECURITIES LENDING COLLATERAL -- 4.6% 18,961,356 Securities Lending Collateral Investment (Note 4) (Cost $18,961,356)........... 18,961,356 ------------ YANKEE CERTIFICATE OF DEPOSIT -- 0.4% 1,500,000 Treasury Bank, Series CD, Variable Rate, 3.31%, 11/23/05(a) (Cost $1,500,000).................. 1,500,000 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.8% FANNIE MAE -- 0.1% 300,000 3.39%, 12/05/05(f)............. 295,565 ------------
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES (CONTINUED) FEDERAL HOME LOAN BANK -- 0.7% $ 1,500,000 2.97%, 07/01/05................ $ 1,500,000 1,500,000 3.00%, 07/06/05................ 1,499,375 ------------ 2,999,375 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $3,294,940)............ 3,294,940 ------------ SHORT TERM CORPORATE NOTES -- 0.1% TELECOMMUNICATIONS EQUIPMENT AND SERVICES 500,000 BellSouth Corp. -- 144A, 4.26%, 04/26/06 (Cost $501,900).................... 501,900 ------------ SHORT TERM COMMERCIAL PAPER -- 2.9% 1,500,000 Abbey National NA LLC, 2.97%, 07/07/05.............. 1,499,258 1,500,000 BankAmerica Corp., 3.36%, 09/30/05.............. 1,487,260 1,500,000 Barclays US Funding LLC, 3.16%, 08/03/05.............. 1,495,662 1,500,000 Danske Corp., 3.06%, 07/05/05.............. 1,499,490 1,500,000 Governor & Company Bank Of Ireland (Ireland), 3.06%, 07/11/05.............. 1,498,725 1,500,000 HBOS Treasury Services PLC (United Kingdom), 3.06%, 07/07/05.............. 1,499,235 1,500,000 Rabobank USA Financial Corp., 3.04%, 07/07/05.............. 1,499,240 1,500,000 Toyota Motor Credit Company, 2.96%, 07/05/05.............. 1,499,506 ------------ TOTAL SHORT TERM COMMERCIAL PAPER (Cost $11,978,376)........... 11,978,376 ------------ TOTAL SECURITIES (Cost $396,307,117).......... 412,042,714 ------------ REPURCHASE AGREEMENT -- 9.8% 39,797,585 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $39,800,470 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.38% - 3.81%, due 01/25/33 - 05/01/34, with a total value of $40,219,224 and Small Business Administration, 6.13%, due 10/25/20 with a value of $1,568,241) (Cost $39,797,585)................. 39,797,585 ------------
See notes to financial statements. 107 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
CONTRACTS VALUE --------- ------------ CALL OPTIONS WRITTEN -- (0.0)% 107 US Treasury Note (10 Year) September Future, Expiring August 2005 @ 114, 6.00%, 08/26/05.............. $ (70,219) 35 US Treasury Note (10 Year) September Future, Expiring August 2005@ 115, 6.00%, 08/26/05.............. (11,484) ------------ TOTAL CALL OPTIONS WRITTEN (Premium $45,009)............ (81,703) ------------ PUT OPTIONS WRITTEN -- (0.0)% 35 US Treasury Note (10 Year) September Future, Expiring August 2005@ 110, 6.00%, 08/26/05 (Premium $9,356)............. (3,281) ------------ Total Investments -- 110.7% (Cost $436,050,337).......... 451,755,315 Liabilities less other assets -- (10.7)%............ (43,622,848) ------------ NET ASSETS -- 100.0%........... $408,132,467 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $436,050,337. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $21,536,435 Gross unrealized depreciation........... (5,831,457) ----------- Net unrealized appreciation............. $15,704,978 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 108 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 96.9% ADVERTISING -- 0.5% 1,070,000 The Interpublic Group of Companies, Inc.*(d)....... $ 13,032,600 -------------- AEROSPACE AND DEFENSE -- 3.4% 275,000 Goodrich Corp............... 11,264,000 920,800 The Boeing Company.......... 60,772,800 475,400 United Technologies Corp.... 24,411,790 -------------- 96,448,590 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.8% 341,600 Jones Apparel Group, Inc.... 10,603,264 150,000 Liz Claiborne, Inc.......... 5,964,000 118,100 VF Corp..................... 6,757,682 -------------- 23,324,946 -------------- AUTOMOBILES/MOTOR VEHICLES -- 1.4% 1,177,400 General Motors Corp.(d)..... 40,031,600 -------------- AUTOMOTIVE EQUIPMENT -- 0.8% 104,000 BorgWarner, Inc.(d)......... 5,581,680 142,725 Lear Corp.(d)............... 5,192,336 173,900 Magna International, Inc. -- Class A (Canada).......... 12,232,126 -------------- 23,006,142 -------------- BANKS -- 3.9% 926,082 Bank of America Corp........ 42,238,600 397,300 National City Corp.......... 13,555,876 255,800 SunTrust Banks, Inc......... 18,478,992 560,000 Wachovia Corp............... 27,776,000 132,800 Wells Fargo & Company....... 8,177,824 -------------- 110,227,292 -------------- BROADCAST SERVICES/MEDIA -- 5.1% 658,280 Clear Channel Communications, Inc....... 20,360,600 1,002,165 Comcast Corp. -- Class A*... 30,766,466 645,000 Comcast Corp. -- Special Class A*.................. 19,317,750 3,448,300 Time Warner, Inc.*.......... 57,621,093 434,400 Tribune Company(d).......... 15,282,192 -------------- 143,348,101 -------------- COMPUTER SOFTWARE AND SERVICES -- 2.9% 1,781,400 Electronic Data Systems Corp...................... 34,291,950 624,105 Ingram Micro, Inc. -- Class A*........................ 9,773,484 1,481,530 Microsoft Corp.............. 36,801,206 -------------- 80,866,640 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTERS AND OFFICE EQUIPMENT -- 4.2% 3,388,300 Hewlett-Packard Company..... $ 79,658,933 543,500 International Business Machines Corp............. 40,327,700 -------------- 119,986,633 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.6% 135,000 Martin Marietta Materials, Inc....................... 9,331,200 130,000 Vulcan Materials Company.... 8,448,700 -------------- 17,779,900 -------------- CONSUMER GOODS AND SERVICES -- 4.4% 487,000 Altria Group, Inc........... 31,489,420 1,110,200 General Electric Company.... 38,468,430 434,400 Kimberly-Clark Corp......... 27,189,096 228,000 Procter & Gamble Company(d)................ 12,027,000 217,000 Unilever NV (The Netherlands)(d)........... 14,068,110 -------------- 123,242,056 -------------- ELECTRONICS -- 3.8% 285,233 Arrow Electronics, Inc.*.... 7,746,928 422,200 Avnet, Inc.*(d)............. 9,512,166 1,121,400 Flextronics International, Ltd. (Singapore)*(d)...... 14,813,694 100,000 Hubbell, Inc. -- Class B(d)...................... 4,410,000 1,933,577 Sanmina-SCI Corp.*.......... 10,576,666 6,111,075 Solectron Corp.*............ 23,160,974 1,087,500 Sony Corp. (ADR) (Japan).... 37,453,501 -------------- 107,673,929 -------------- FINANCIAL SERVICES -- 10.8% 606,100 American Express Company.... 32,262,703 1,345,500 Citigroup, Inc.............. 62,202,465 388,200 Fannie Mae.................. 22,670,880 362,900 Freddie Mac................. 23,671,967 139,000 Goldman Sachs Group, Inc.... 14,180,780 2,061,940 JPMorgan Chase & Company.... 72,827,720 209,800 Lehman Brothers Holdings, Inc.(d)................... 20,828,944 910,800 Merrill Lynch & Company, Inc....................... 50,103,108 74,400 Morgan Stanley.............. 3,903,768 -------------- 302,652,335 -------------- FOOD AND BEVERAGE -- 2.0% 1,055,400 Kraft Foods, Inc. -- Class A(d)...................... 33,572,274 255,000 PepsiCo, Inc................ 13,752,150 500,000 Tyson Foods, Inc. -- Class A......................... 8,900,000 -------------- 56,224,424 --------------
See notes to financial statements. 109 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE -- 7.2% 560,500 American International Group, Inc................ $ 32,565,050 469,100 Chubb Corp.................. 40,159,651 450,200 MetLife, Inc................ 20,231,988 61,566 PartnerRE, Ltd. (Bermuda)... 3,966,082 708,600 The Allstate Corp........... 42,338,849 240,000 The Hartford Financial Services Group, Inc....... 17,947,200 340,438 The St. Paul Travelers Companies, Inc............ 13,457,514 270,300 Torchmark Corp.............. 14,109,660 238,000 XL Capital, Ltd. -- Class A (Cayman Islands).......... 17,711,960 -------------- 202,487,954 -------------- MANUFACTURING -- 3.2% 204,000 Cooper Industries, Ltd. -- Class A (Bermuda)......... 13,035,600 100,000 Eaton Corp.................. 5,990,000 870,900 Honeywell International, Inc....................... 31,901,067 592,950 Smurfit-Stone Container Corp.*.................... 6,030,302 442,100 Textron, Inc................ 33,533,285 -------------- 90,490,254 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 5.3% 1,067,650 HCA, Inc.................... 60,503,726 1,323,800 Medco Health Solutions, Inc.*(d).................. 70,637,968 1,462,000 Tenet Healthcare Corp.*(d)................. 17,894,880 -------------- 149,036,574 -------------- OIL, COAL AND GAS -- 9.2% 624,000 ChevronTexaco Corp.......... 34,894,080 1,694,702 ConocoPhillips.............. 97,428,417 1,234,800 Exxon Mobil Corp............ 70,963,956 300,000 GlobalSantaFe Corp. (Cayman Islands).................. 12,240,000 195,000 Noble Corp. (Cayman Islands).................. 11,994,450 424,000 Occidental Petroleum Corp...................... 32,618,320 -------------- 260,139,223 -------------- PAPER AND FOREST PRODUCTS -- 0.7% 146,800 International Paper Company................... 4,434,828 500,000 MeadWestvaco Corp........... 14,020,000 -------------- 18,454,828 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 3.7% 1,529,500 Millennium Pharmaceuticals, Inc.*..................... $ 14,178,465 1,143,200 Pfizer, Inc................. 31,529,456 624,100 Watson Pharmaceuticals, Inc.*..................... 18,448,396 922,190 Wyeth....................... 41,037,455 -------------- 105,193,772 -------------- PRINTING AND PUBLISHING -- 0.2% 400,000 The Reader's Digest Association, Inc.......... 6,600,000 -------------- REGISTERED INVESTMENT COMPANIES -- 1.8% 438,300 SPDR Trust Series 1(d)...... 52,210,296 -------------- RETAIL -- 4.8% 185,700 Federated Department Stores, Inc.(d)................... 13,608,096 455,800 May Department Stores Company................... 18,304,928 1,919,600 Office Depot, Inc.*......... 43,843,664 224,800 Sears Holdings Corp.*(d).... 33,690,776 255,000 Target Corp................. 13,874,550 442,900 Toys "R" Us, Inc.*.......... 11,727,992 -------------- 135,050,006 -------------- RETAIL: RESTAURANTS -- 0.5% 535,000 McDonald's Corp.(d)......... 14,846,250 -------------- RETAIL: SUPERMARKETS -- 1.5% 819,925 Safeway, Inc.(d)............ 18,522,105 295,700 SUPERVALU, Inc.(d).......... 9,642,777 779,350 The Kroger Company*......... 14,831,031 -------------- 42,995,913 -------------- RUBBER PRODUCTS -- 0.1% 193,100 Cooper Tire & Rubber Company(d)................ 3,585,867 -------------- SEMICONDUCTORS -- 2.3% 2,464,100 Advanced Micro Devices, Inc.*(d).................. 42,727,494 1,152,100 Intersil Corp. -- Class A... 21,624,917 -------------- 64,352,411 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 3.4% 4,518,900 Lucent Technologies, Inc.*..................... 13,149,999 1,707,566 Nortel Networks Corp. (Canada)*................. 4,456,747 8,721,700 Qwest Communications International, Inc.*...... 32,357,507 237,800 SBC Communications, Inc.(d)................... 5,647,750
See notes to financial statements. 110 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 964,950 Tellabs, Inc.*.............. 8,395,065 320,652 Verizon Communications, Inc....................... 11,078,527 -------------- 96,806,008 -------------- TOYS -- 1.3% 2,049,200 Mattel, Inc................. 37,500,360 -------------- TRANSPORTATION -- 3.9% 419,900 Burlington Northern Santa Fe Corp...................... 19,768,892 600,000 CNF, Inc.................... 26,940,000 1,098,100 CSX Corp.................... 46,844,946 525,300 Norfolk Southern Corp....... 16,263,288 -------------- 109,817,126 UTILITIES: ELECTRIC -- 3.2% -------------- 1,099,780 American Electric Power Company, Inc.(d).......... 40,548,889 374,800 Constellation Energy Group, Inc....................... 21,622,212 225,000 Entergy Corp................ 16,998,750 305,800 Wisconsin Energy Corp....... 11,926,200 -------------- 91,096,051 -------------- UTILITIES: GAS -- 0.0% 9,046 Sempra Energy............... 373,690 TOTAL COMMON STOCKS (Cost -------------- $2,458,496,420)........... 2,738,881,771 -------------- PRINCIPAL VALUE ------------ -------------- SECURITIES LENDING COLLATERAL -- 11.2% $317,505,927 Securities Lending Collateral Investment (Note 4) (Cost $317,505,927)............. $ 317,505,927 TOTAL SECURITIES (Cost -------------- $2,776,002,347) 3,056,387,698 -------------- REPURCHASE AGREEMENT -- 3.7% 103,824,722 With Investors Bank & Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $103,832,249 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.65% - 4.83%, due 08/01/33 - 08/01/37 with a total value of $94,083,611 and Small Business Administration, 5.57%, due 07/25/29, with a value of $14,932,347) (Cost $103,824,722)....... 103,824,722 -------------- Total Investments -- 111.8% (Cost $2,879,827,069)..... 3,160,212,420 Liabilities less other assets -- (11.8)%......... (334,783,100) -------------- NET ASSETS -- 100.0%........ $2,825,429,320 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $2,879,827,069. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $360,798,514 Gross unrealized depreciation.......... (80,413,163) ------------ Net unrealized appreciation............ $280,385,351 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 111 VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- COMMON STOCKS -- 97.4% ADVERTISING -- 0.9% 7,900 The Interpublic Group of Companies, Inc.*................ $ 96,222 ----------- AEROSPACE AND DEFENSE -- 3.5% 4,000 Lockheed Martin Corp. ............ 259,480 2,600 Raytheon Company.................. 101,712 ----------- 361,192 ----------- BANKS -- 2.9% 2,200 Bank of America Corp. ............ 100,342 1,700 Comerica, Inc. ................... 98,260 1,500 KeyCorp........................... 49,725 800 UnionBanCal Corp. ................ 53,536 ----------- 301,863 ----------- CHEMICALS -- 1.5% 10,200 The Mosaic Company*............... 158,712 ----------- COMMERCIAL SERVICES -- 2.4% 11,100 Cendant Corp. .................... 248,307 ----------- COMPUTER SOFTWARE AND SERVICES -- 9.2% 18,600 Computer Associates International, Inc. ........................... 511,128 23,000 Electronic Data Systems Corp. .... 442,750 ----------- 953,878 ----------- COMPUTERS AND OFFICE EQUIPMENT -- 1.1% 4,800 Hewlett-Packard Company........... 112,848 ----------- CONSTRUCTION SERVICES AND SUPPLIES -- 6.0% 6,800 Centex Corp. ..................... 480,556 1,700 Pulte Homes, Inc. ................ 143,225 ----------- 623,781 ----------- CONSUMER GOODS AND SERVICES -- 7.1% 6,800 Altria Group, Inc. ............... 439,688 3,900 Eastman Kodak Company............. 104,715 5,100 Unilever PLC (ADR) (United Kingdom)........................ 198,135 ----------- 742,538 ----------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.9% 6,900 Waste Management, Inc. ........... 195,546 ----------- FINANCIAL SERVICES -- 14.0% 2,500 CIT Group, Inc. .................. 107,425 4,800 Freddie Mac....................... 313,104 6,300 JPMorgan Chase & Company.......... 222,516
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 12,600 MBNA Corp. ....................... $ 329,616 5,000 Prudential Financial, Inc. ....... 328,300 3,600 Washington Mutual, Inc. .......... 146,484 ----------- 1,447,445 ----------- FOOD AND BEVERAGE -- 2.8% 6,200 Kraft Foods, Inc. -- Class A...... 197,222 4,700 Sara Lee Corp. ................... 93,107 ----------- 290,329 ----------- INSURANCE -- 13.5% 3,000 Assurant, Inc. ................... 108,300 5,000 Conseco, Inc.*.................... 109,100 10,100 MetLife, Inc. .................... 453,894 4,400 Principal Financial Group, Inc. ........................... 184,360 3,000 The Allstate Corp. ............... 179,250 1,400 The Hartford Financial Services Group, Inc. .................... 104,692 6,500 The St. Paul Travelers Companies, Inc. ........................... 256,945 ----------- 1,396,541 ----------- LEISURE AND RECREATION -- 2.2% 5,800 MGM MIRAGE*....................... 229,564 ----------- MANUFACTURING -- 2.4% 8,600 Tyco International, Ltd. (Bermuda)....................... 251,120 ----------- MEDICAL AND OTHER HEALTH SERVICES -- 2.7% 2,700 HCA, Inc. ........................ 153,009 10,800 Tenet Healthcare Corp.*........... 132,192 ----------- 285,201 ----------- METALS AND MINING -- 2.7% 3,400 Alcan, Inc. (Canada).............. 102,000 6,900 Alcoa, Inc. ...................... 180,297 ----------- 282,297 ----------- OIL, COAL AND GAS -- 1.1% 1,800 Petro-Canada (Canada)............. 117,252 ----------- PAPER AND FOREST PRODUCTS -- 2.0% 2,200 International Paper Company....... 66,462 2,200 Weyerhaeuser Company.............. 140,030 ----------- 206,492 ----------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT --1.7% 5,800 Merck & Company, Inc. ............ 178,640 -----------
See notes to financial statements. 112 VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) RETAIL: RESTAURANTS -- 2.0% 3,400 McDonald's Corp. ................. $ 94,350 2,100 YUM! Brands, Inc. ................ 109,368 ----------- 203,718 ----------- RETAIL: SUPERMARKETS -- 2.0% 4,900 Albertson's, Inc. ................ 101,332 4,900 Safeway, Inc. .................... 110,691 ----------- 212,023 ----------- SEMICONDUCTORS -- 2.2% 10,800 Freescale Semiconductor, Inc. -- Class A*........................ 226,908 ----------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.5% 900 ALLTEL Corp. ..................... 56,052 ----------- TRANSPORTATION -- 3.0% 7,300 CSX Corp. ........................ 311,418 ----------- UTILITIES: ELECTRIC -- 6.1% 1,000 Entergy Corp. .................... 75,550 4,100 FirstEnergy Corp. ................ 197,251 8,700 FPL Group, Inc. .................. 365,922 ----------- 638,723 ----------- TOTAL COMMON STOCKS (Cost $9,768,727)..................... 10,128,610 ----------- PRINCIPAL VALUE --------- ----------- REPURCHASE AGREEMENT -- 2.4% $248,359 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $248,377 (Collateralized by Small Business Administration, 6.63%, due 02/25/10, with a value of $260,777) (Cost $248,359)....... $ 248,359 ----------- Total Investments -- 99.8% (Cost $10,017,086).............. 10,376,969 Assets less other liabilities -- 0.2%............. 24,172 ----------- NET ASSETS -- 100.0%.............. $10,401,141 ===========
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $10,017,086. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............ $ 493,367 Gross unrealized depreciation............ (133,484) --------- Net unrealized appreciation.............. $ 359,883 =========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 113 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 98.5% AEROSPACE AND DEFENSE -- 1.6% 400 Lockheed Martin Corp. ...... $ 25,948 112,900 Northrop Grumman Corp. ..... 6,237,725 67,100 Raytheon Company............ 2,624,952 136,500 The Boeing Company.......... 9,009,000 -------------- 17,897,625 -------------- AGRICULTURE -- 0.6% 25,800 Bunge, Ltd. (Bermuda)(d).... 1,635,720 79,100 Monsanto Company............ 4,973,017 -------------- 6,608,737 -------------- APPAREL: MANUFACTURING AND RETAIL -- 1.3% 55,600 Abercrombie & Fitch Company -- Class A(d)..... 3,819,720 104,200 American Eagle Outfitters, Inc. ..................... 3,193,730 79,300 Coach, Inc.*................ 2,662,101 30,600 Payless ShoeSource, Inc.*... 587,520 62,700 Ross Stores, Inc. .......... 1,812,657 60,000 The Timberland Company -- Class A*.................. 2,323,200 3,500 VF Corp. ................... 200,270 -------------- 14,599,198 -------------- ASSET MANAGEMENT -- 0.3% 86,100 Brascan Corp. -- Class A (Canada)(d)............... 3,285,576 -------------- AUTOMOBILE: RETAIL -- 0.1% 68,300 AutoNation, Inc.*........... 1,401,516 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.6% 511,200 Ford Motor Company.......... 5,234,688 27,400 PACCAR, Inc. ............... 1,863,200 -------------- 7,097,888 -------------- AUTOMOTIVE EQUIPMENT -- 0.3% 84,400 Autoliv, Inc. .............. 3,696,720 -------------- BANKS -- 6.2% 36,600 Astoria Financial Corp. .... 1,042,002 175,500 Bank of America Corp. ...... 8,004,555 16,000 Bank of Hawaii Corp. ....... 812,000 65,000 Comerica, Inc. ............. 3,757,000 89,900 Commerce Bancorp, Inc. (New Jersey)(d)........... 2,724,869 38,400 Downey Financial Corp.(d)... 2,810,880 58,200 IndyMac Bancorp, Inc. ...... 2,370,486 136,300 KeyCorp..................... 4,518,345
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 40,000 National City Corp. ........ $ 1,364,800 57,600 PNC Financial Services Group..................... 3,136,896 85,600 UnionBanCal Corp. .......... 5,728,352 370,000 US Bancorp.................. 10,804,000 136,400 Wachovia Corp. ............. 6,765,440 219,000 Wells Fargo & Company....... 13,486,020 -------------- 67,325,645 -------------- BROADCAST SERVICES/MEDIA -- 3.1% 73,700 Comcast Corp. -- Class A*... 2,262,590 18,500 Gannett Company, Inc. ...... 1,315,905 13,500 Hearst-Argyle Television, Inc. -- Class A........... 330,750 28,600 Liberty Global, Inc. -- Class A*.......... 1,334,762 181,400 Liberty Media Corp. -- Class A*........................ 1,848,466 29,600 McGraw-Hill Companies, Inc. ..................... 1,309,800 119,400 News Corp. -- Class A....... 1,931,892 108,400 The Walt Disney Company..... 2,729,512 641,300 Time Warner, Inc.*.......... 10,716,123 206,565 Viacom, Inc. -- Class B..... 6,614,211 93,100 XM Satellite Radio Holdings, Inc. -- Class A*(d)....... 3,133,746 -------------- 33,527,757 -------------- BUSINESS SERVICES AND SUPPLIES -- 0.8% 10,800 Alliance Data Systems Corp.*(d)................. 438,048 16,000 Dun & Bradstreet Corp.*..... 986,400 42,200 Fair Isaac Corp. ........... 1,540,300 104,300 GTECH Holdings Corp. ....... 3,049,732 56,700 Moody's Corp.(d)............ 2,549,232 -------------- 8,563,712 -------------- CHEMICALS -- 1.6% 169,800 Agrium, Inc.(Canada)(d)..... 3,329,778 37,200 Eastman Chemical Company(d)................ 2,051,580 88,500 EI du Pont de Nemours and Company................... 3,806,385 64,100 Methanex Corp. (Canada)(d)............... 1,055,727 9,100 PPG Industries, Inc. ....... 571,116 139,900 The Dow Chemical Company.... 6,229,747 -------------- 17,044,333 -------------- COMMERCIAL SERVICES -- 0.3% 132,000 Cendant Corp. .............. 2,952,840 --------------
See notes to financial statements. 114 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES -- 4.7% 25,466 Activision, Inc.*........... $ 420,698 65,000 Autodesk, Inc. ............. 2,234,050 76,900 Automatic Data Processing, Inc. ..................... 3,227,493 65,700 BMC Software, Inc.*......... 1,179,315 55,000 Cadence Design Systems, Inc.*..................... 751,300 160 Computer Associates International, Inc. ...... 4,397 53,000 Computer Sciences Corp.*.... 2,316,100 68,700 Electronic Arts, Inc.*(d)... 3,889,107 175,700 Ingram Micro, Inc. -- Class A*........................ 2,751,462 1,198,800 Microsoft Corp. ............ 29,778,192 185,100 NVIDIA Corp.*............... 4,945,872 -------------- 51,497,986 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 2.2% 56,300 Apple Computer, Inc.*....... 2,072,403 98,000 Dell, Inc.*................. 3,871,980 426,900 Hewlett-Packard Company..... 10,036,419 49,200 HNI Corp. .................. 2,516,580 24,000 International Business Machines Corp. ........... 1,780,800 122,700 SanDisk Corp.*.............. 2,911,671 28,200 Seagate Technology (Cayman Islands)*......... 494,910 -------------- 23,684,763 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 1.3% 5,000 DR Horton, Inc. ............ 188,050 4,100 Hovnanian Enterprises, Inc. -- Class A*.......... 267,320 45,100 KB Home(d).................. 3,437,973 50,960 MDC Holdings, Inc. ......... 4,191,460 42,700 Standard Pacific Corp. ..... 3,755,465 18,900 Toll Brothers, Inc.*(d)..... 1,919,295 -------------- 13,759,563 -------------- CONSUMER GOODS AND SERVICES -- 7.0% 130,800 Altria Group, Inc. ......... 8,457,528 27,500 American Greetings Corp. -- Class A................... 728,750 33,900 Clorox Company.............. 1,888,908 76,200 Colgate-Palmolive Company... 3,803,142 13,300 Eastman Kodak Company(d).... 357,105 58,300 Energizer Holdings, Inc.*... 3,624,511 30,200 FedEx Corp. ................ 2,446,502
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) 908,900 General Electric Company.... $ 31,493,385 32,400 Gillette Company............ 1,640,412 288,900 Procter & Gamble Company(d)................ 15,239,475 28,600 Reynolds American, Inc.(d)................... 2,253,680 26,300 The Black & Decker Corp. ... 2,363,055 6,100 United Parcel Service, Inc. -- Class B........... 421,876 35,400 UST, Inc. .................. 1,616,364 -------------- 76,334,693 -------------- CONTAINERS AND PACKAGING -- 0.0% 13,600 Owens-Illinois, Inc.*....... 340,680 -------------- DISTRIBUTION -- 0.0% 9,600 Tech Data Corp.*............ 351,456 -------------- ELECTRONICS -- 0.4% 64,700 Arrow Electronics, Inc.*.... 1,757,252 18,300 Emerson Electric Company.... 1,146,129 11,900 Harman International Industries, Inc. ..................... 968,184 -------------- 3,871,565 -------------- FINANCIAL SERVICES -- 9.2% 23,400 AG Edwards, Inc. ........... 1,056,510 127,700 American Express Company.... 6,797,471 84,300 AmeriCredit Corp.*.......... 2,149,650 130,600 Capital One Financial Corp. .................... 10,449,306 60,600 CIT Group, Inc. ............ 2,603,982 570,300 Citigroup, Inc. ............ 26,364,969 140,800 Countrywide Financial Corp. .................... 5,436,288 28,900 E*TRADE Financial Corp.*.... 404,311 20,800 Goldman Sachs Group, Inc. ..................... 2,122,016 28,600 H&R Block, Inc. ............ 1,668,810 137,400 JPMorgan Chase & Company.... 4,852,968 62,600 Lehman Brothers Holdings, Inc.(d)................... 6,214,928 171,200 Merrill Lynch & Company, Inc. ..................... 9,417,712 27,100 Morgan Stanley.............. 1,421,937 87,500 Providian Financial Corp.*.................... 1,542,625 49,800 Prudential Financial, Inc. ..................... 3,269,868 51,700 The Bear Stearns Companies, Inc. ..................... 5,373,698 223,300 Washington Mutual, Inc.(d)................... 9,086,077 -------------- 100,233,126 --------------
See notes to financial statements. 115 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE -- 2.6% 121,900 Archer-Daniels-Midland Company................... $ 2,606,222 114,600 Coca-Cola Company........... 4,784,550 67,800 Dean Foods Company*......... 2,389,272 8,800 Hershey Foods Corp.(d)...... 546,480 15,900 PepsiAmericas, Inc. ........ 407,994 156,200 PepsiCo, Inc. .............. 8,423,866 53,900 Pilgrim's Pride Corp.(d).... 1,839,607 104,500 Sysco Corp. ................ 3,781,855 63,800 The Pepsi Bottling Group, Inc. ..................... 1,825,318 13,560 TreeHouse Foods, Inc.*...... 386,596 108,900 Tyson Foods, Inc. -- Class A......................... 1,938,420 -------------- 28,930,180 -------------- INSURANCE -- 5.6% 92,300 Aetna, Inc. ................ 7,644,286 4,800 Ambac Financial Group, Inc. ..................... 334,848 124,800 American International Group, Inc. .............. 7,250,880 14,800 CIGNA Corp. ................ 1,584,044 9,345 Cincinnati Financial Corp. .................... 369,688 69,800 Endurance Specialty Holdings, Ltd. (Bermuda)................. 2,639,836 70,000 First American Corp. ....... 2,809,800 19,200 Genworth Financial, Inc. -- Class A................... 580,416 28,200 Humana, Inc.*(d)............ 1,120,668 5,400 IPC Holdings, Ltd. (Bermuda)................. 213,948 69,300 Loews Corp. ................ 5,370,750 42,000 MBIA, Inc. ................. 2,491,020 62,600 MetLife, Inc. .............. 2,813,244 11,900 Nationwide Financial Services, Inc. -- Class A........... 451,486 104,800 Principal Financial Group, Inc. ..................... 4,391,120 63,400 Radian Group, Inc. ......... 2,993,748 70,400 SAFECO Corp. ............... 3,825,536 127,700 The Allstate Corp. ......... 7,630,075 77,200 The PMI Group, Inc. ........ 3,009,256 33,900 The Progressive Corp. ...... 3,349,659 -------------- 60,874,308 -------------- INTERNET SERVICES -- 3.6% 62,100 CheckFree Corp.*(d)......... 2,115,126 493,200 Cisco Systems, Inc.*........ 9,425,052 32,550 Google, Inc. -- Class A*(d)..................... 9,574,583
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 214,100 Juniper Networks, Inc.*..... $ 5,391,038 37,500 Symantec Corp.*............. 815,250 134,800 VeriSign, Inc.*............. 3,876,848 241,700 YAHOO!, Inc.*............... 8,374,905 -------------- 39,572,802 -------------- LEISURE AND RECREATION -- 1.7% 44,100 Carnival Corp. (Panama)(d)............... 2,405,655 85,400 Hilton Hotels Corp. ........ 2,036,790 71,100 Marriott International, Inc. -- Class A........... 4,850,442 19,200 MGM MIRAGE*................. 759,936 38,200 Royal Caribbean Cruises, Ltd. (Liberia)............ 1,847,352 106,500 Starwood Hotels & Resorts Worldwide, Inc. .......... 6,237,705 -------------- 18,137,880 -------------- MACHINERY -- 1.0% 44,200 Caterpillar, Inc. .......... 4,212,702 20,800 Cummins, Inc.(d)............ 1,551,888 24,400 Graco, Inc. ................ 831,308 14,500 Rockwell Automation, Inc. ..................... 706,295 20,800 Terex Corp.*................ 819,520 116,500 The Timken Company.......... 2,691,150 -------------- 10,812,863 -------------- MANUFACTURING -- 0.8% 40,000 3M Company.................. 2,892,000 19,300 Harsco Corp. ............... 1,052,815 102,300 Honeywell International, Inc. ..................... 3,747,249 5,300 Illinois Tool Works, Inc. ..................... 422,304 9,000 ITT Industries, Inc. ....... 878,670 -------------- 8,993,038 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 1.5% 57,900 DaVita, Inc.*............... 2,633,292 26,800 HCA, Inc. .................. 1,518,756 15,400 IMS Health, Inc. ........... 381,458 29,600 McKesson Corp. ............. 1,325,784 56,900 Medco Health Solutions, Inc.*..................... 3,036,184 69,200 UnitedHealth Group, Inc. ... 3,608,088 57,400 WellPoint, Inc.*............ 3,997,336 -------------- 16,500,898 --------------
See notes to financial statements. 116 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES -- 4.4% 27,400 Allergan, Inc.(d)........... $ 2,335,576 40,700 Baxter International, Inc. ..................... 1,509,970 31,100 Becton, Dickinson and Company................... 1,631,817 48,000 Dade Behring Holdings, Inc. ..................... 3,120,480 10,800 Guidant Corp. .............. 726,840 323,600 Johnson & Johnson........... 21,034,000 69,100 Kinetic Concepts, Inc.*..... 4,146,000 90,500 Medtronic, Inc. ............ 4,686,995 66,200 St. Jude Medical, Inc.*..... 2,886,982 51,900 Stryker Corp. .............. 2,468,364 40,500 Zimmer Holdings, Inc.*...... 3,084,885 -------------- 47,631,909 -------------- METALS AND MINING -- 0.7% 7,600 Newmont Mining Corp. ....... 296,628 102,700 Nucor Corp.(d).............. 4,685,174 10,100 Southern Peru Copper Corp. .................... 432,684 35,000 Steel Dynamics, Inc. ....... 918,750 40,800 United States Steel Corp.(d).................. 1,402,296 -------------- 7,735,532 -------------- OIL, COAL AND GAS -- 8.6% 87,400 Anadarko Petroleum Corp.(d).................. 7,179,910 37,600 Apache Corp. ............... 2,428,960 51,900 Burlington Resources, Inc. ..................... 2,866,956 234,500 ChevronTexaco Corp.(d)...... 13,113,240 194,000 ConocoPhillips.............. 11,153,060 11,800 Devon Energy Corp. ......... 598,024 95,900 EOG Resources, Inc. ........ 5,447,120 489,300 Exxon Mobil Corp. .......... 28,120,071 71,000 Newfield Exploration Company*.................. 2,832,190 40,000 Occidental Petroleum Corp. .................... 3,077,200 75,000 PetroKazakhstan, Inc. Class A (Canada).......... 2,743,500 12,900 Questar Corp. .............. 850,110 5,300 Schlumberger, Ltd. (Netherland Antilles)....... 402,482 56,800 Sunoco, Inc. ............... 6,457,024 21,600 Transocean, Inc. (Cayman Islands)*................. 1,165,752 94,000 UGI Corp. .................. 2,622,600 19,700 Unit Corp.*................. 866,997 26,600 Valero Energy Corp.(d)...... 2,104,326 -------------- 94,029,522 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PAPER AND FOREST PRODUCTS -- 0.0% 10,300 Georgia-Pacific Corp. ...... $ 327,540 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 6.7% 9,800 Abbott Laboratories......... 480,298 12,100 AmerisourceBergen Corp. .... 836,715 223,300 Amgen, Inc.*................ 13,500,718 41,000 Bristol-Myers Squibb Company................... 1,024,180 27,700 Cardinal Health, Inc. ...... 1,594,966 164,900 Caremark Rx, Inc.*.......... 7,341,348 66,600 Eli Lilly and Company....... 3,710,286 42,600 Genentech, Inc.*............ 3,419,928 17,900 Genzyme Corp.*.............. 1,075,611 12,500 ImClone Systems, Inc.*(d)... 387,125 28,700 King Pharmaceuticals, Inc.*..................... 299,054 117,400 Merck & Company, Inc. ...... 3,615,920 36,800 Novartis AG (ADR) (Switzerland)............. 1,745,792 987,200 Pfizer, Inc. ............... 27,226,976 200,900 Schering-Plough Corp.(d).... 3,829,154 76,300 Wyeth....................... 3,395,350 -------------- 73,483,421 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.3% 70,300 CB Richard Ellis Group, Inc. -- Class A*.......... 3,083,358 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.2% 71,700 Equity Office Properties Trust..................... 2,373,270 -------------- RETAIL -- 4.4% 44,400 7-Eleven, Inc.*............. 1,342,656 53,300 Bed Bath & Beyond, Inc.*.... 2,226,874 212,103 Circuit City Stores, Inc. ..................... 3,667,261 24,500 Costco Wholesale Corp. ..... 1,098,090 154,600 CVS Corp. .................. 4,494,222 44,500 Dillard's, Inc. -- Class A......................... 1,042,190 58,100 Federated Department Stores, Inc.(d)................... 4,257,568 283,900 Home Depot, Inc. ........... 11,043,710 73,900 JC Penney Company, Inc. (Holding Company)......... 3,885,662 68,200 Kohl's Corp.*............... 3,813,062 82,000 Office Depot, Inc.*......... 1,872,880 61,500 PETsMART, Inc. ............. 1,866,525 10,300 Target Corp.(d)............. 560,423 70,400 Wal-Mart Stores, Inc. ...... 3,393,280
See notes to financial statements. 117 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 89,500 Walgreen Company............ $ 4,116,105 -------------- 48,680,508 -------------- RETAIL: RESTAURANTS -- 1.0% 36,800 Brinker International, Inc.*..................... 1,473,840 96,400 Darden Restaurants, Inc. ... 3,179,272 15,100 McDonald's Corp. ........... 419,025 18,700 Starbucks Corp.*............ 966,042 74,600 Wendy's International, Inc. ..................... 3,554,690 29,700 YUM! Brands, Inc. .......... 1,546,776 -------------- 11,139,645 -------------- RETAIL: SUPERMARKETS -- 0.7% 108,700 SUPERVALU, Inc.(d).......... 3,544,707 194,600 The Kroger Company*......... 3,703,238 -------------- 7,247,945 -------------- SEMICONDUCTORS -- 4.3% 120,700 Advanced Micro Devices, Inc.*..................... 2,092,938 175,500 Altera Corp.*............... 3,478,410 192,000 Applied Materials, Inc. .... 3,106,560 124,000 Broadcom Corp. -- Class A*........................ 4,403,240 59,999 Freescale Semiconductor, Inc. -- Class B*.......... 1,270,779 330,400 Intel Corp. ................ 8,610,224 84,700 Maxim Integrated Products, Inc. ..................... 3,236,387 183,000 Micron Technology, Inc.*.... 1,868,430 271,500 National Semiconductor Corp. .................... 5,981,145 230,900 PMC-Sierra, Inc.*(d)........ 2,154,297 382,300 Texas Instruments, Inc. .... 10,731,161 -------------- 46,933,571 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 4.7% 10,700 ALLTEL Corp.(d)............. 666,396 70,800 BCE, Inc. (Canada).......... 1,676,544 44,800 BellSouth Corp.(d).......... 1,190,336 157,600 CenturyTel, Inc. ........... 5,457,688 678,700 Motorola, Inc. ............. 12,393,062 56,400 Nextel Communications, Inc. -- Class A*.......... 1,822,284 295,200 QUALCOMM, Inc. ............. 9,744,552
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 49,600 SBC Communications, Inc. ... $ 1,178,000 94,200 Sprint Corp. (FON Group)(d)................. 2,363,478 11,100 Telephone and Data Systems, Inc. ..................... 452,991 11,100 Telephone and Data Systems, Inc. -- Special Common Shares.................... 425,574 419,800 Verizon Communications, Inc.(d)................... 14,504,090 -------------- 51,874,995 -------------- TRANSPORTATION -- 1.0% 52,500 Burlington Northern Santa Fe Corp. .................... 2,471,700 8,500 CSX Corp. .................. 362,610 105,200 JB Hunt Transport Services, Inc.(d)................... 2,030,360 54,200 Norfolk Southern Corp. ..... 1,678,032 77,300 Ryder System, Inc. ......... 2,829,180 41,900 Teekay Shipping Corp. (Marshall Islands)(d)..... 1,839,410 -------------- 11,211,292 -------------- UTILITIES: ELECTRIC -- 3.0% 74,000 Constellation Energy Group, Inc. ..................... 4,269,060 190,100 Edison International........ 7,708,555 16,200 Entergy Corp. .............. 1,223,910 58,900 Exelon Corp. ............... 3,023,337 67,000 FirstEnergy Corp. .......... 3,223,370 84,300 NRG Energy, Inc.*........... 3,169,680 74,700 Pepco Holdings, Inc. ....... 1,788,318 68,800 PG&E Corp. ................. 2,582,752 1,200 SCANA Corp. ................ 51,252 67,800 TXU Corp. .................. 5,633,502 15,000 Wisconsin Energy Corp. ..... 585,000 -------------- 33,258,736 -------------- UTILITIES: GAS -- 0.1% 34,800 Sempra Energy............... 1,437,588 -------------- TOTAL COMMON STOCKS (Cost $994,533,222)............. 1,078,346,180 --------------
See notes to financial statements. 118 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- SECURITIES LENDING COLLATERAL -- 11.5% $125,968,925 Securities Lending Collateral Investment (Note 4) (Cost $125,968,925)............. $ 125,968,925 -------------- TOTAL SECURITIES (Cost $1,120,502,147)........... 1,204,315,105 -------------- REPURCHASE AGREEMENT -- 1.7% 18,393,194 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $18,394,528 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.58%, due 12/01/31, with a value of $3,191,761, Freddie Mac, 3.72%, due 02/15/33, with a value of $11,205,341 and Small Business Administration, 6.63%, due 03/25/15, with a value of $4,915,752) (Cost $18,393,194).............. 18,393,194 -------------- Total Investments -- 111.7% (Cost $1,138,895,341)..... 1,222,708,299 Liabilities less other assets -- (11.7)%......... (128,491,948) -------------- NET ASSETS -- 100.0%........ $1,094,216,351 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $1,138,895,341. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $113,353,113 Gross unrealized depreciation.......... (29,540,155) ------------ Net unrealized appreciation............ $ 83,812,958 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 119 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.2% AEROSPACE AND DEFENSE -- 1.6% 161,122 General Dynamics Corp. ..... $ 17,649,304 309,000 The Boeing Company.......... 20,394,000 -------------- 38,043,304 -------------- AGRICULTURE -- 0.4% 150,100 Monsanto Company............ 9,436,787 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.9% 160,844 Nike, Inc. -- Class B....... 13,929,090 253,600 Ross Stores, Inc. .......... 7,331,576 -------------- 21,260,666 -------------- BANKS -- 1.5% 367,400 Commerce Bancorp, Inc. (New Jersey)(d)................ 11,135,894 305,324 UBS AG (Switzerland)........ 23,769,473 -------------- 34,905,367 -------------- BROADCAST SERVICES/MEDIA -- 1.7% 489,900 News Corp. -- Class A....... 7,926,582 1,144,800 Time Warner, Inc.*.......... 19,129,608 372,300 XM Satellite Radio Holdings, Inc. -- Class A*(d)....... 12,531,618 -------------- 39,587,808 -------------- CHEMICALS -- 1.1% 354,300 EI du Pont de Nemours and Company................... 15,238,443 245,300 The Dow Chemical Company.... 10,923,209 -------------- 26,161,652 -------------- COMPUTER SOFTWARE AND SERVICES -- 5.4% 307,500 Automatic Data Processing, Inc. ..................... 12,905,775 282,100 Electronic Arts, Inc.*(d)... 15,969,681 3,037,270 Microsoft Corp. ............ 75,445,787 740,600 NVIDIA Corp.*............... 19,788,832 -------------- 124,110,075 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.5% 491,900 SanDisk Corp.*.............. 11,672,787 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.5% 186,627 Lennar Corp. -- Class A..... 11,841,483 -------------- CONSUMER GOODS AND SERVICES -- 11.7% 304,600 Colgate-Palmolive Company... 15,202,586 424,720 FedEx Corp. ................ 34,406,567
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) 3,847,702 General Electric Company.... $ 133,322,875 1,608,912 Procter & Gamble Company.... 84,870,108 -------------- 267,802,136 -------------- ELECTRONICS -- 0.3% 259,400 Arrow Electronics, Inc.*.... 7,045,304 -------------- FINANCIAL SERVICES -- 9.1% 510,600 American Express Company.... 27,179,238 522,300 Capital One Financial Corp. .................... 41,789,223 87,070 Chicago Mercantile Exchange Holdings, Inc. ........... 25,729,185 886,893 Countrywide Financial Corp. .................... 34,242,939 399,170 Goldman Sachs Group, Inc. ..................... 40,723,323 766,255 SLM Corp. .................. 38,925,754 -------------- 208,589,662 -------------- FOOD AND BEVERAGE -- 2.6% 354,600 Coca-Cola Company........... 14,804,550 570,284 PepsiCo, Inc. .............. 30,755,416 428,800 Sysco Corp. ................ 15,518,272 -------------- 61,078,238 -------------- INSURANCE -- 0.8% 323,600 American International Group, Inc. .............. 18,801,160 -------------- INTERNET SERVICES -- 6.8% 251,100 CheckFree Corp.*(d)......... 8,552,466 1,321,540 Cisco Systems, Inc.*........ 25,254,629 202,796 Google, Inc. -- Class A*(d)..................... 59,652,444 856,300 Juniper Networks, Inc.*..... 21,561,634 553,600 VeriSign, Inc.*(d).......... 15,921,536 788,800 YAHOO!, Inc.*............... 27,331,920 -------------- 158,274,629 -------------- LEISURE AND RECREATION -- 5.8% 404,234 Carnival Corp. (Panama)..... 22,050,965 142,558 Four Seasons Hotels, Inc. (Canada)(d)............... 9,423,084 341,400 Hilton Hotels Corp. ........ 8,142,390 291,600 Marriott International, Inc. -- Class A........... 19,892,952 538,062 MGM MIRAGE*(d).............. 21,296,494 155,660 Royal Caribbean Cruises, Ltd. (Liberia)............ 7,527,718
See notes to financial statements. 120 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) LEISURE AND RECREATION (CONTINUED) 436,200 Starwood Hotels & Resorts Worldwide, Inc. .......... $ 25,548,233 416,544 Wynn Resorts, Ltd.*(d)...... 19,690,035 -------------- 133,571,871 -------------- MACHINERY -- 1.9% 470,040 Caterpillar, Inc. .......... 44,799,512 -------------- MANUFACTURING -- 0.6% 409,000 Honeywell International, Inc. ..................... 14,981,670 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 6.1% 237,400 DaVita, Inc.*............... 10,796,952 232,630 Medco Health Solutions, Inc.*..................... 12,413,137 1,944,788 UnitedHealth Group, Inc. ... 101,401,246 229,600 WellPoint, Inc.*............ 15,989,344 -------------- 140,600,679 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 8.1% 1,203,024 Johnson & Johnson........... 78,196,560 256,800 Kinetic Concepts, Inc.*..... 15,408,000 329,300 Medtronic, Inc. ............ 17,054,447 216,900 St Jude Medical, Inc.*...... 9,459,009 207,500 Stryker Corp. .............. 9,868,700 747,770 Zimmer Holdings, Inc.*...... 56,957,641 -------------- 186,944,357 -------------- OIL, COAL AND GAS -- 1.2% 279,600 EOG Resources, Inc.(d)...... 15,881,280 286,180 Newfield Exploration Company*.................. 11,415,720 -------------- 27,297,000 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 8.6% 492,069 Amgen, Inc.*................ 29,750,492 547,400 Caremark Rx, Inc.*.......... 24,370,248 968,478 Genentech, Inc.*............ 77,749,414 147,100 Novartis AG (ADR) (Switzerland)............. 6,978,424 1,032,876 Pfizer, Inc. ............... 28,486,720 803,400 Schering-Plough Corp.(d).... 15,312,804 308,300 Wyeth....................... 13,719,350 -------------- 196,367,452 -------------- RETAIL -- 7.8% 217,560 Bed Bath & Beyond, Inc.*.... 9,089,657
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 579,500 Circuit City Stores, Inc. ..................... $ 10,019,555 633,000 CVS Corp. .................. 18,401,310 918,200 Home Depot, Inc. ........... 35,717,980 303,000 JC Penney Company, Inc. (Holding Company)......... 15,931,740 276,000 Kohl's Corp.*............... 15,431,160 812,059 Lowe's Companies, Inc.(d)... 47,278,075 329,900 Office Depot, Inc.*......... 7,534,916 248,600 PETsMART, Inc.(d)........... 7,545,010 318,400 Walgreen Company............ 14,643,216 -------------- 181,592,619 -------------- RETAIL: RESTAURANTS -- 0.9% 404,313 Starbucks Corp.*............ 20,886,810 -------------- SEMICONDUCTORS -- 5.7% 701,900 Altera Corp.*............... 13,911,658 784,200 Applied Materials, Inc. .... 12,688,356 499,000 Broadcom Corp. -- Class A*........................ 17,719,490 333,400 Maxim Integrated Products, Inc. ..................... 12,739,214 1,085,900 National Semiconductor Corp. .................... 23,922,377 947,100 PMC-Sierra, Inc.*(d)........ 8,836,443 1,528,800 Texas Instruments, Inc. .... 42,913,416 -------------- 132,730,954 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 4.3% 2,289,500 Motorola, Inc. ............. 41,806,270 1,742,891 QUALCOMM, Inc. ............. 57,532,832 -------------- 99,339,102 -------------- UTILITIES: ELECTRIC -- 1.3% 368,225 TXU Corp. .................. 30,595,815 -------------- TOTAL COMMON STOCKS (Cost $1,992,858,175)..... 2,248,318,899 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 9.6% $221,128,061 Securities Lending Collateral Investment (Note 4) (Cost $221,128,061)....... 221,128,061 -------------- TOTAL SECURITIES (Cost $2,213,986,236)........... 2,469,446,960 --------------
See notes to financial statements. 121 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENT -- 2.9% $ 67,126,917 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $67,131,784 (Collateralized by various Fannie Maes, 3.81% - 3.86%, due 01/25/33 - 03/25/33, with a total value of $42,000,000 and various Small Business Administrations, 4.63% - 6.38%, due 06/25/15 - 05/25/30, with a total value of $28,483,263) (Cost $67,126,917)........ $ 67,126,917 -------------- Total Investments -- 109.7% (Cost $2,281,113,153)..... 2,536,573,877 Liabilities less other assets -- (9.7)%.......... (223,251,539) -------------- NET ASSETS -- 100.0%........ $2,313,322,338 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $2,281,113,153. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $297,140,309 Gross unrealized depreciation.......... (41,679,585) ------------ Net unrealized appreciation............ $255,460,724 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 122 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ----------- ------------ COMMON STOCKS -- 94.3% AEROSPACE AND DEFENSE -- 1.3% 160,900 Goodrich Corp. ................ $ 6,590,464 ------------ AIRLINES -- 0.5% 46,400 Alaska Air Group, Inc.*........ 1,380,400 121,900 ExpressJet Holdings, Inc.*..... 1,037,369 ------------ 2,417,769 ------------ APPAREL: MANUFACTURING AND RETAIL -- 2.9% 190,700 Foot Locker, Inc. ............. 5,190,854 113,600 Limited Brands, Inc. .......... 2,433,312 24,400 Reebok International, Ltd. .... 1,020,652 59,600 Russell Corp. ................. 1,218,820 98,550 The Cato Corp. -- Class A...... 2,035,058 44,300 VF Corp. ...................... 2,534,846 ------------ 14,433,542 ------------ ASSET MANAGEMENT -- 1.2% 157,400 Brascan Corp. -- Class A (Canada)(d).................. 6,006,384 ------------ AUTOMOBILES/MOTOR VEHICLES -- 1.2% 65,300 Navistar International Corp.*....................... 2,089,600 113,000 Winnebago Industries, Inc.(d)...................... 3,700,750 ------------ 5,790,350 ------------ AUTOMOTIVE EQUIPMENT -- 0.5% 52,900 Autoliv, Inc. ................. 2,317,020 ------------ BANKS -- 6.3% 49,600 Comerica, Inc. ................ 2,866,880 20,500 Downey Financial Corp.(d)...... 1,500,600 84,600 First Horizon National Corp. ....................... 3,570,120 89,200 KeyCorp........................ 2,956,980 52,100 M&T Bank Corp.(d).............. 5,478,836 210,300 North Fork Bancorp, Inc. ...... 5,907,327 116,000 State Street Corp. ............ 5,597,000 34,600 UnionBanCal Corp. ............. 2,315,432 37,813 United Bankshares, Inc. ....... 1,346,521 ------------ 31,539,696 ------------ BROADCAST SERVICES/MEDIA -- 1.5% 77,700 Arbitron, Inc.(d).............. 3,333,330 91,100 The EW Scripps Company -- Class A(d)......................... 4,445,680 ------------ 7,779,010 ------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES -- 2.5% 169,800 Convergys Corp.*............... $ 2,414,556 24,700 Diebold, Inc. ................. 1,114,217 59,100 Dun & Bradstreet Corp.*........ 3,643,515 134,300 Manpower, Inc. ................ 5,342,454 ------------ 12,514,742 ------------ CHEMICALS -- 4.1% 38,100 Ashland, Inc.*................. 2,738,247 42,300 Eastman Chemical Company(d).... 2,332,845 190,700 Huntsman Corp.*................ 3,865,489 56,900 International Flavors & Fragrances, Inc. ............ 2,060,918 243,000 Methanex Corp. (Canada)........ 4,002,210 115,100 PolyOne Corp.*................. 761,962 38,100 PPG Industries, Inc. .......... 2,391,156 60,800 The Lubrizol Corp. ............ 2,554,208 ------------ 20,707,035 ------------ COMMERCIAL SERVICES -- 1.0% 98,200 ChoicePoint, Inc.*............. 3,932,910 26,200 Pre-Paid Legal Services, Inc.(d)...................... 1,169,830 ------------ 5,102,740 ------------ COMPUTER SOFTWARE AND SERVICES -- 1.9% 19,800 Computer Sciences Corp.*....... 865,260 122,400 NCR Corp.*..................... 4,298,688 123,500 Sybase, Inc.*.................. 2,266,225 85,100 The Reynolds and Reynolds Company -- Class A........... 2,300,253 ------------ 9,730,426 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 0.3% 94,400 Western Digital Corp.*......... 1,266,848 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.2% 127,700 American Standard Companies, Inc. ........................ 5,353,184 15,200 KB Home(d)..................... 1,158,696 17,000 The Ryland Group, Inc. ........ 1,289,790 72,500 USG Corp.*(d).................. 3,081,250 ------------ 10,882,920 ------------ CONSUMER GOODS AND SERVICES -- 2.7% 73,500 Blyth, Inc. ................... 2,061,675 82,900 Eastman Kodak Company(d)....... 2,225,865 42,200 Fortune Brands, Inc. .......... 3,747,360
See notes to financial statements. 123 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) 115,200 Tupperware Corp. .............. $ 2,692,224 37,900 Whirlpool Corp.(d)............. 2,657,169 ------------ 13,384,293 ------------ CONTAINERS AND PACKAGING -- 0.5% 110,300 Pactiv Corp.*.................. 2,380,274 ------------ DISTRIBUTION -- 0.8% 74,200 CDW Corp. ..................... 4,236,078 ------------ ELECTRONICS -- 1.5% 310,200 Thomson (France)(ADR)(d)....... 7,429,290 ------------ EQUIPMENT RENTAL AND LEASING -- 0.5% 112,400 United Rentals, Inc.*.......... 2,271,604 ------------ FINANCIAL SERVICES -- 4.8% 75,964 Advanta Corp. -- Class B....... 2,139,146 58,100 AG Edwards, Inc. .............. 2,623,215 127,100 CIT Group, Inc. ............... 5,461,487 452,000 E*TRADE Financial Corp.*....... 6,323,480 80,500 Friedman, Billings, Ramsey Group, Inc. -- Class A(d).... 1,151,150 17,700 Legg Mason, Inc.(d)............ 1,842,747 127,100 Nuveen Investments -- Class A(d)......................... 4,781,502 ------------ 24,322,727 ------------ FOOD AND BEVERAGE -- 0.7% 110,200 Archer-Daniels-Midland Company...................... 2,356,076 64,100 Tyson Foods, Inc. -- Class A... 1,140,980 ------------ 3,497,056 ------------ INSURANCE -- 7.2% 125,200 Assurant, Inc. ................ 4,519,720 31,000 CIGNA Corp. ................... 3,317,930 64,680 Cincinnati Financial Corp. .... 2,558,741 40,800 Everest Re Group, Ltd. (Bermuda).................... 3,794,400 102,000 Horace Mann Educators Corp. ... 1,919,640 40,600 Jefferson-Pilot Corp. ......... 2,047,052 36,600 LandAmerica Financial Group, Inc. ........................ 2,172,942 59,800 Lincoln National Corp. ........ 2,805,816 75,700 MBIA, Inc.(d).................. 4,489,767 70,400 Principal Financial Group, Inc. ........................ 2,949,760
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 56,300 SAFECO Corp. .................. $ 3,059,342 55,000 Unitrin, Inc. ................. 2,700,500 ------------ 36,335,610 ------------ INTERNET SERVICES -- 0.4% 259,500 EarthLink, Inc.*............... 2,247,270 ------------ LEISURE AND RECREATION -- 3.9% 89,500 Harrah's Entertainment, Inc. ........................ 6,450,265 127,100 Hilton Hotels Corp. ........... 3,031,335 466,189 InterContinental Hotels Group PLC (Great Britain) (ADR)(q)(u).................. -- 366,571 InterContinental Hotels Group PLC (Great Britain) (ADR).... 4,637,123 116,300 Royal Caribbean Cruises, Ltd. (Liberia)(d)................. 5,624,268 ------------ 19,742,991 ------------ MANUFACTURING -- 3.7% 52,900 Carlisle Companies, Inc. ...... 3,630,527 33,500 Crane Company.................. 881,050 64,700 EnPro Industries, Inc.*........ 1,867,889 53,000 ITT Industries, Inc. .......... 5,174,390 116,500 The Sherwin-Williams Company... 5,485,985 104,900 Tredegar Corp. ................ 1,636,440 ------------ 18,676,281 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 2.9% 204,800 IMS Health, Inc. .............. 5,072,896 31,400 Kindred Healthcare, Inc.*...... 1,243,754 30,600 Manor Care, Inc. .............. 1,215,738 91,800 Omnicare, Inc. ................ 3,895,074 42,800 WellPoint, Inc.*............... 2,980,592 ------------ 14,408,054 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 0.7% 54,400 CR Bard, Inc. ................. 3,618,144 ------------ METALS AND MINING -- 0.1% 20,700 United States Steel Corp. ..... 711,459 ------------ OIL AND GAS: PIPELINES -- 2.3% 53,900 Equitable Resources, Inc. ..... 3,665,200 57,100 National Fuel Gas Company...... 1,650,761 98,800 Questar Corp. ................. 6,510,920 ------------ 11,826,881 ------------
See notes to financial statements. 124 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) OIL, COAL AND GAS -- 5.1% 28,400 Amerada Hess Corp. ............ $ 3,024,884 119,800 EnCana Corp. (Canada).......... 4,742,882 100,400 Frontier Oil Corp. ............ 2,946,740 7,631 Kerr-McGee Corp. .............. 582,322 59,300 Marathon Oil Corp. ............ 3,164,841 60,000 Praxair, Inc. ................. 2,796,000 26,700 Sunoco, Inc. .................. 3,035,256 66,400 Swift Energy Company*.......... 2,378,448 45,500 Unocal Corp. .................. 2,959,775 ------------ 25,631,148 ------------ PAPER AND FOREST PRODUCTS -- 1.0% 76,400 Georgia-Pacific Corp. ......... 2,429,520 86,000 MeadWestvaco Corp. ............ 2,411,440 ------------ 4,840,960 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 2.3% 101,500 Altana AG (Germany)(ADR)....... 5,823,055 98,700 Millipore Corp.*............... 5,599,251 ------------ 11,422,306 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.3% 38,900 Crescent Real Estate Equities Company...................... 729,375 12,700 Highwoods Properties, Inc. .... 377,952 214,300 HRPT Properties Trust.......... 2,663,749 52,400 New Century Financial Corp.(d)..................... 2,695,980 ------------ 6,467,056 ------------ RETAIL -- 3.6% 96,600 Dillard's, Inc. -- Class A..... 2,262,372 187,200 Dollar Tree Stores, Inc.*(d)... 4,492,800 117,800 Federated Department Stores, Inc.(d)...................... 8,632,384 69,100 Longs Drug Stores Corp. ....... 2,974,755 ------------ 18,362,311 ------------ RETAIL: RESTAURANTS -- 1.3% 72,800 Applebee's International, Inc. ........................ 1,928,472 83,700 Darden Restaurants, Inc. ...... 2,760,426 61,900 Lone Star Steakhouse & Saloon, Inc. ........................ 1,882,379 ------------ 6,571,277 ------------
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) RETAIL: SUPERMARKETS -- 0.7% 53,600 Albertson's, Inc.(d)........... $ 1,108,448 76,900 SUPERVALU, Inc. ............... 2,507,709 ------------ 3,616,157 ------------ RUBBER PRODUCTS -- 0.5% 183,200 The Goodyear Tire & Rubber Company*(d).................. 2,729,680 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.8% 51,300 Applera Corp.-Applied Biosystems Group............. 1,009,071 160,900 PerkinElmer, Inc. ............. 3,041,010 ------------ 4,050,081 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.7% 188,500 Amdocs, Ltd. (Guernsey)*....... 4,982,055 75,700 CenturyTel, Inc. .............. 2,621,491 123,500 CommScope, Inc.*............... 2,150,135 150,400 UNOVA, Inc.*(d)................ 4,005,152 ------------ 13,758,833 ------------ TOOLS -- 0.5% 54,000 The Stanley Works.............. 2,459,160 ------------ TOYS -- 0.2% 50,100 Mattel, Inc. .................. 916,830 ------------ TRANSPORTATION -- 6.5% 45,300 Arkansas Best Corp. ........... 1,440,993 127,100 CNF, Inc. ..................... 5,706,790 198,400 CSX Corp. ..................... 8,463,744 127,100 Florida East Coast Industries, Inc. ........................ 5,503,430 70,600 GATX Corp. .................... 2,435,700 133,800 Norfolk Southern Corp. ........ 4,142,448 135,400 Sabre Holdings Corp. -- Class A............................ 2,701,230 98,700 Swift Transportation Company, Inc.*........................ 2,298,723 ------------ 32,693,058 ------------ UTILITIES: ELECTRIC -- 5.9% 82,500 American Electric Power Company, Inc. ............... 3,041,775 118,300 Cleco Corp. ................... 2,551,731 83,500 Duquesne Light Holdings, Inc.(d)...................... 1,559,780 93,000 FirstEnergy Corp. ............. 4,474,230 137,400 PG&E Corp. .................... 5,157,996 25,800 Pinnacle West Capital Corp. ... 1,146,810
See notes to financial statements. 125 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ----------- ------------ COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) 63,600 PPL Corp. ..................... $ 3,776,568 115,600 Puget Energy, Inc. ............ 2,702,728 25,200 TXU Corp. ..................... 2,093,868 159,100 Xcel Energy, Inc.(d)........... 3,105,632 ------------ 29,611,118 ------------ UTILITIES: GAS -- 1.8% 162,500 AGL Resources, Inc. ........... 6,280,625 119,300 NiSource, Inc. ................ 2,950,289 ------------ 9,230,914 ------------ TOTAL COMMON STOCKS (Cost $443,841,874)................ 474,527,847 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 13.1% $65,903,677 Securities Lending Collateral Investment (Note 4) (Cost $65,903,677)........... 65,903,677 ------------ TOTAL SECURITIES (Cost $509,745,551).......... 540,431,524 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENT -- 5.8% $29,286,174 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $29,288,298 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.20%, due 03/01/33, with a value of $21,069,393 and Small Business Administration, 5.63%, due 09/25/27 with a value of $9,681,090) (Cost $29,286,174)................. $ 29,286,174 ------------ Total Investments -- 113.2% (Cost $539,031,725).......... 569,717,698 Liabilities less other assets -- (13.2)%............ (66,338,907) ------------ NET ASSETS -- 100.0%........... $503,378,791 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $539,031,725. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $ 43,177,990 Gross unrealized depreciation.......... (12,492,017) ------------ Net unrealized appreciation............ $ 30,685,973 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 126 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 97.3% ADVERTISING -- 2.1% 64,400 Getty Images, Inc.*(d)......... $ 4,782,344 ------------ APPAREL: MANUFACTURING AND RETAIL -- 4.9% 42,464 Abercrombie & Fitch Company -- Class A(d)........ 2,917,277 116,700 American Eagle Outfitters, Inc. ........................ 3,576,855 139,100 Chico's FAS, Inc.*(d).......... 4,768,348 ------------ 11,262,480 ------------ AUTOMOBILES/MOTOR VEHICLES -- 1.4% 40,500 Oshkosh Truck Corp. ........... 3,170,340 ------------ BROADCAST SERVICES/MEDIA -- 6.6% 69,196 Cablevision Systems Corp. New York Group -- Class A*....... 2,228,111 59,200 Pixar, Inc.*(d)................ 2,962,960 749,050 Sirius Satellite Radio, Inc.*(d)..................... 4,853,844 147,390 XM Satellite Radio Holdings, Inc. -- Class A*(d).......... 4,961,148 ------------ 15,006,063 ------------ BUSINESS SERVICES AND SUPPLIES -- 2.4% 55,000 Fluor Corp.(d)................. 3,167,450 33,700 Global Payments, Inc.(d)....... 2,284,860 ------------ 5,452,310 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.0% 64,700 Cognos, Inc. (Canada)*......... 2,208,858 56,800 Mercury Interactive Corp.*..... 2,178,848 62,961 NAVTEQ Corp.*.................. 2,340,890 ------------ 6,728,596 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.0% 89,400 Washington Group International, Inc.*........................ 4,570,128 ------------ CONSUMER GOODS AND SERVICES -- 1.9% 195,660 Tempur-Pedic International, Inc.*(d)..................... 4,339,739 ------------ CONTAINERS AND PACKAGING -- 1.9% 169,314 Owens-Illinois, Inc.*.......... 4,241,316 ------------ ELECTRONICS -- 2.7% 156,700 Trimble Navigation, Ltd.*...... 6,106,599 ------------ FINANCIAL SERVICES -- 3.9% 53,450 Legg Mason, Inc.(d)............ 5,564,680 54,000 T Rowe Price Group, Inc. ...... 3,380,400 ------------ 8,945,080 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE -- 3.0% 197,000 Dean Foods Company*............ $ 6,942,280 ------------ INTERNET SERVICES -- 5.1% 203,000 Monster Worldwide, Inc.*....... 5,822,040 203,800 VeriSign, Inc.*................ 5,861,288 ------------ 11,683,328 ------------ LEISURE AND RECREATION -- 6.9% 119,600 Brunswick Corp. ............... 5,181,072 244,750 Hilton Hotels Corp. ........... 5,837,288 173,200 Scientific Games Corp. -- Class A*........................... 4,664,276 ------------ 15,682,636 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 9.1% 66,000 PacifiCare Health Systems, Inc.*........................ 4,715,700 73,496 Sierra Health Services, Inc.*........................ 5,252,024 106,200 Triad Hospitals, Inc.*......... 5,802,767 108,000 VCA Antech, Inc.*.............. 2,619,000 226,000 WebMD Corp.*................... 2,321,020 ------------ 20,710,511 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.4% 30,085 Bausch & Lomb, Inc. ........... 2,497,055 80,200 CR Bard, Inc. ................. 5,334,102 28,110 Zimmer Holdings, Inc.*......... 2,141,139 ------------ 9,972,296 ------------ OIL, COAL AND GAS -- 11.0% 69,300 Diamond Offshore Drilling, Inc.(d)...................... 3,702,699 107,000 EOG Resources, Inc. ........... 6,077,600 53,900 Nabors Industries, Ltd. (Bermuda)*................... 3,267,418 56,500 Noble Corp. (Cayman Islands)... 3,475,315 96,400 Quicksilver Resources, Inc.*(d)..................... 6,162,851 52,000 Southwestern Energy Company*... 2,442,960 ------------ 25,128,843 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 1.9% 72,400 Sepracor, Inc.*................ 4,344,724 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 1.9% 97,340 CB Richard Ellis Group, Inc. -- Class A*............. 4,269,332 ------------ RETAIL -- 1.2% 64,000 Bed Bath & Beyond, Inc.*....... 2,673,920 ------------
See notes to financial statements. 127 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) RETAIL: RESTAURANTS -- 4.1% 133,000 Darden Restaurants, Inc. ...... $ 4,386,340 80,014 Panera Bread Company -- Class A*(d)........................ 4,967,669 ------------ 9,354,009 ------------ SEMICONDUCTORS -- 2.9% 187,950 Broadcom Corp. -- Class A*..... 6,674,105 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 13.0% 121,000 ADTRAN, Inc. .................. 2,999,590 323,350 Alamosa Holdings, Inc.*(d)..... 4,494,565 83,000 Amdocs, Ltd. (Guernsey)*....... 2,193,690 124,050 American Tower Corp. -- Class A*(d)........................ 2,607,531 183,200 Comverse Technology, Inc.*(d)..................... 4,332,680 182,562 Harris Corp. .................. 5,697,759 66,050 SpectraSite, Inc.*............. 4,916,102 86,000 UNOVA, Inc.*................... 2,290,180 ------------ 29,532,097 ------------ TOTAL COMMON STOCKS (Cost $190,309,515).......... 221,573,076 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 26.3% $59,966,960 Securities Lending Collateral Investment (Note 4) (Cost $59,966,960)........... 59,966,960 ------------ TOTAL SECURITIES (Cost $250,276,475).......... 281,540,036 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENT -- 3.0% $ 6,761,499 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $6,761,989 (Collateralized by Government National Mortgage Association, 3.38%, due 05/20/32, with a value of $7,099,574) (Cost $6,761,499).................. $ 6,761,499 ------------ Total Investments -- 126.6% (Cost $257,037,974).......... 288,301,535 Liabilities less other assets -- (26.6)%............ (60,546,677) ------------ NET ASSETS -- 100.0%........... $227,754,858 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $257,037,974. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............. $33,200,173 Gross unrealized depreciation............. (1,936,612) ----------- Net unrealized appreciation............... $31,263,561 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 128 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.0% AEROSPACE AND DEFENSE -- 2.4% 145,654 Moog, Inc. -- Class A*(d)...... $ 4,586,644 ------------ APPAREL: MANUFACTURING AND RETAIL -- 5.1% 189,700 Phillips-Van Heusen Corp. ..... 6,201,293 165,814 Stein Mart, Inc. .............. 3,647,908 ------------ 9,849,201 ------------ AUTOMOBILES/MOTOR VEHICLES -- 2.9% 170,300 Winnebago Industries, Inc.(d)...................... 5,577,325 ------------ AUTOMOTIVE EQUIPMENT -- 2.2% 175,500 CSK Auto Corp.*................ 2,927,340 267,870 Exide Technologies*(d)......... 1,299,170 ------------ 4,226,510 ------------ BANKS -- 3.2% 135,900 BankUnited Financial Corp. -- Class A...................... 3,674,736 158,373 Oriental Financial Group, Inc. (Puerto Rico)................ 2,416,772 ------------ 6,091,508 ------------ BROADCAST SERVICES/MEDIA -- 2.2% 468,700 Sinclair Broadcast Group, Inc. -- Class A.............. 4,255,796 ------------ BUSINESS SERVICES AND SUPPLIES -- 3.8% 130,600 Administaff, Inc. ............. 3,103,056 144,314 Kelly Services, Inc. -- Class A............................ 4,133,153 ------------ 7,236,209 ------------ COMPUTER SOFTWARE AND SERVICES -- 2.4% 260,200 Checkpoint Systems, Inc.*...... 4,605,540 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 3.4% 35,000 Hovnanian Enterprises, Inc. -- Class A*..................... 2,282,000 21,300 Meritage Homes Corp.*.......... 1,693,350 28,500 Standard Pacific Corp. ........ 2,506,575 ------------ 6,481,925 ------------ CONSUMER GOODS AND SERVICES -- 3.0% 102,500 Chattem, Inc.*................. 4,243,500 21,600 The Scotts Miracle-Gro Company -- Class A*.......... 1,538,136 ------------ 5,781,636 ------------ DISTRIBUTION -- 2.3% 103,753 Watsco, Inc. .................. 4,419,878 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) EDUCATION -- 2.4% 97,662 School Specialty, Inc.*........ $ 4,541,283 ------------ FINANCIAL SERVICES -- 5.7% 102,700 Accredited Home Lenders Holding Company*(d).................. 4,518,800 102,500 Eaton Vance Corp. ............. 2,450,775 54,400 Jefferies Group, Inc. ......... 2,061,216 71,862 Raymond James Financial, Inc. ........................ 2,030,102 ------------ 11,060,893 ------------ FOOD AND BEVERAGE -- 2.1% 134,200 United Natural Foods, Inc.*.... 4,075,654 ------------ INSURANCE -- 5.9% 104,513 Delphi Financial Group, Inc. -- Class A...................... 4,614,249 17,900 Philadelphia Consolidated Holding Corp.*............... 1,517,204 134,716 Phoenix Companies, Inc.(d)..... 1,603,120 32,100 Protective Life Corp. ......... 1,355,262 37,600 The Commerce Group, Inc. ...... 2,335,336 ------------ 11,425,171 ------------ MACHINERY -- 2.3% 69,100 Bucyrus International, Inc. -- Class A(d)................... 2,624,418 52,800 Joy Global, Inc. .............. 1,773,552 ------------ 4,397,970 ------------ MANUFACTURING -- 0.9% 55,200 FLIR Systems, Inc.*............ 1,647,168 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 10.9% 132,600 American Healthways, Inc.*(d)..................... 5,605,001 53,700 AMERIGROUP Corp.*.............. 2,158,740 42,700 Covance, Inc.*................. 1,915,949 117,300 Matria Healthcare, Inc.*....... 3,780,579 59,400 Sunrise Senior Living, Inc.*(d)..................... 3,206,412 79,900 United Surgical Partners International, Inc.*......... 4,161,192 ------------ 20,827,873 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 2.5% 119,700 Immucor, Inc.*................. 3,465,315 23,500 The Cooper Companies, Inc. .... 1,430,210 ------------ 4,895,525 ------------
See notes to financial statements. 129 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) OIL, COAL AND GAS -- 9.9% 39,400 Cabot Oil & Gas Corp. ......... $ 1,367,180 202,000 Energy Partners, Ltd.*......... 5,294,420 50,739 Headwaters, Inc.*.............. 1,744,407 45,400 Oceaneering International, Inc.*........................ 1,754,710 59,100 ONEOK, Inc.(d)................. 1,929,615 118,000 Spinnaker Exploration Company*..................... 4,187,820 78,000 Swift Energy Company*.......... 2,793,960 ------------ 19,072,112 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.4% 100,300 K-V Pharmaceutical Company -- Class A*..................... 1,680,025 136,700 Nabi Biopharmaceuticals*(d).... 2,081,941 147,100 Serologicals Corp.*............ 3,125,875 143,500 VaxGen, Inc.*(d)............... 1,556,975 ------------ 8,444,816 ------------ PRINTING AND PUBLISHING -- 2.1% 107,158 Scholastic Corp.*.............. 4,130,941 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.0% 1,500 Avatar Holdings, Inc.*(d)...... 75,405 ------------ REAL ESTATE INVESTMENT TRUSTS -- 4.0% 117,287 Entertainment Properties Trust........................ 5,395,202 36,600 SL Green Realty Corp.(d)....... 2,360,700 ------------ 7,755,902 ------------ RETAIL: RESTAURANTS -- 4.2% 52,600 Brinker International, Inc.*... 2,106,630 104,900 CEC Entertainment, Inc.*(d).... 4,415,241 53,200 Sonic Corp.*................... 1,624,196 ------------ 8,146,067 ------------ TOOLS -- 1.0% 54,700 Snap-on, Inc. ................. 1,876,210 ------------ TRANSPORTATION -- 1.6% 71,400 Overnite Corp. ................ 3,068,772 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC -- 1.2% 82,400 PNM Resources, Inc. ........... $ 2,373,944 ------------ TOTAL COMMON STOCKS (Cost $170,933,604)................ 180,927,878 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 14.6% $28,176,600 Securities Lending Collateral Investment (Note 4) (Cost $28,176,600)................. 28,176,600 ------------ TOTAL SECURITIES (Cost $199,110,204).......... 209,104,478 ------------ REPURCHASE AGREEMENT -- 7.9% 15,278,831 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $15,279,939 (Collateralized by Fannie Mae, 4.80%, due 09/01/34, with a value of $16,042,773) (Cost $15,278,831)........... 15,278,831 ------------ Total Investments -- 116.5% (Cost $214,389,035).......... 224,383,309 Liabilities less other assets -- (16.5)%............ (31,829,912) ------------ NET ASSETS -- 100.0%........... $192,553,397 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $214,389,035. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $15,594,047 Gross unrealized depreciation........... (5,599,773) ----------- Net unrealized appreciation............. $ 9,994,274 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 130 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 96.4% ADVERTISING -- 0.8% 94,600 ADVO, Inc. ................. $ 3,013,010 90,600 Catalina Marketing Corp. ... 2,302,146 46,200 RH Donnelley Corp.*......... 2,863,476 75,900 Ventiv Health, Inc.*........ 1,463,352 -------------- 9,641,984 -------------- AEROSPACE AND DEFENSE -- 0.9% 37,900 Curtiss-Wright Corp. ....... 2,044,705 56,440 DRS Technologies, Inc.(d)... 2,894,243 42,600 Innovative Solutions and Support, Inc.*............ 1,430,082 115,050 Moog, Inc. -- Class A*...... 3,622,925 30,100 Teledyne Technologies, Inc.*..................... 980,658 -------------- 10,972,613 -------------- AIRLINES -- 0.4% 197,700 AirTran Holdings, Inc.*(d).................. 1,824,771 31,500 Alaska Air Group, Inc.*..... 937,125 6,200 Continental Airlines, Inc. -- Class B*(d)....... 82,336 169,600 ExpressJet Holdings, Inc.*..................... 1,443,296 16,300 Mesa Air Group, Inc.*(d).... 109,373 33,800 Pinnacle Airlines Corp.*(d)................. 290,342 19,800 Republic Airways Holdings, Inc.*..................... 286,110 -------------- 4,973,353 -------------- APPAREL: MANUFACTURING AND RETAIL -- 3.4% 33,300 Abercrombie & Fitch Company -- Class A(d)..... 2,287,710 16,300 AnnTaylor Stores Corp.*(d)................. 395,764 254,920 Ashworth, Inc.*............. 2,296,829 8,600 Columbia Sportswear Company*.................. 424,754 17,300 DSW, Inc. -- Class A*....... 431,635 26,600 Genesco, Inc.*.............. 986,594 100,600 Gildan Activewear, Inc. -- Class A (Canada)*......... 2,650,810 20,100 Guess?, Inc.*............... 333,258 37,100 Hartmarx Corp.*............. 373,597 58,557 Jos A Bank Clothiers, Inc.*(d).................. 2,535,518 38,100 New York & Company, Inc.*... 802,386 90,800 Payless ShoeSource, Inc.*... 1,743,360 158,300 Phillips-Van Heusen Corp. .................... 5,174,827 49,200 Polo Ralph Lauren Corp. .... 2,121,012 14,500 Skechers USA, Inc. -- Class A*........................ 206,770
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) APPAREL: MANUFACTURING AND RETAIL (CONTINUED) 149,000 Stage Stores, Inc.*(d)...... $ 6,496,400 168,100 Stein Mart, Inc. ........... 3,698,200 160,650 The Cato Corp. -- Class A... 3,317,423 20,800 The Children's Place Retail Stores, Inc.*............. 970,736 10,600 The Men's Wearhouse, Inc.*(d).................. 364,958 39,900 Urban Outfitters, Inc.*..... 2,261,931 123,000 Wolverine World Wide, Inc. ..................... 2,953,230 -------------- 42,827,702 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.2% 3,800 Arctic Cat, Inc. ........... 78,014 61,900 Winnebago Industries, Inc.(d)................... 2,027,225 -------------- 2,105,239 -------------- AUTOMOTIVE EQUIPMENT -- 1.1% 9,000 Commercial Vehicle Group, Inc.*..................... 159,750 159,600 CSK Auto Corp.*............. 2,662,128 310,650 IMPCO Technologies, Inc.*... 1,494,227 67,000 Modine Manufacturing Company................... 2,181,520 84,700 O'Reilly Automotive, Inc.*..................... 2,524,907 190,600 Spartan Motors, Inc. ....... 2,054,668 61,900 Tenneco Automotive, Inc.*... 1,030,016 76,200 Titan International, Inc.(d)................... 1,065,276 -------------- 13,172,492 -------------- BANKS -- 4.7% 8,400 ABC Bancorp................. 151,872 76,100 AMCORE Financial, Inc. ..... 2,273,868 4,290 AmericanWest Bancorp*....... 85,586 146,850 Astoria Financial Corp.(d).................. 4,180,819 4,700 BancFirst Corp. ............ 408,853 17,500 BancorpSouth, Inc. ......... 413,000 76,723 BankUnited Financial Corp. -- Class A.......... 2,074,590 4,700 Camden National Corp. ...... 153,925 9,000 Capital Crossing Bank*...... 306,900 13,300 City Holding Company........ 485,716 16,200 Columbia Banking System, Inc. ..................... 398,844 8,000 Community Trust Bancorp, Inc. ..................... 261,760 24,400 Corus Bankshares, Inc. ..... 1,353,956 49,600 East West Bancorp, Inc. .... 1,666,064 38,400 First BanCorp (Puerto Rico)..................... 1,541,760
See notes to financial statements. 131 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 9,800 First Charter Corp. ........ $ 215,306 2,900 First Citizens Bancshares, Inc. -- Class A........... 419,195 23,000 First Financial Bancorp..... 434,700 9,700 First Financial Bankshares, Inc. ..................... 328,248 3,600 First Financial Holdings. Inc. ..................... 107,676 14,200 First Indiana Corp. ........ 421,314 70,400 First Midwest Bancorp, Inc. ..................... 2,475,968 6,400 First Place Financial Corp. .................... 128,576 10,050 First Republic Bank......... 355,067 29,200 FirstFed Financial Corp.*... 1,740,612 11,000 Flushing Financial Corp. ... 202,400 48,600 Fremont General Corp.(d).... 1,182,438 13,650 Frontier Financial Corp. ... 344,799 17,200 Hancock Holding Company..... 591,680 4,300 Harbor Florida Bancshares, Inc. ..................... 160,992 4,000 Horizon Financial Corp. .... 88,800 49,400 Hudson United Bancorp....... 1,783,340 3,200 Independent Bank Corp. (Massachusetts)........... 90,272 9,800 Independent Bank Corp. (Michigan)................ 278,712 32,900 Irwin Financial Corp. ...... 730,051 6,000 ITLA Capital Corp.*......... 323,400 13,000 Kearny Financial Corp.*..... 153,400 6,195 MainSource Financial Group, Inc. ..................... 112,068 48,400 MB Financial, Inc. ......... 1,927,772 12,300 MBT Financial Corp. ........ 236,775 15,300 Mid-State Bancshares........ 424,881 5,300 NBC Capital Corp. .......... 129,002 192,500 NewAlliance Bancshares, Inc. ..................... 2,704,625 3,800 OceanFirst Financial Corp. .................... 85,538 11,900 Old Second Bancorp, Inc. ... 346,171 96,080 Oriental Financial Group, Inc. (Puerto Rico)........ 1,466,181 13,350 PFF Bancorp, Inc. .......... 404,372 82,260 PrivateBancorp, Inc.(d)..... 2,910,359 2,100 S&T Bancorp, Inc. .......... 75,810 3,700 Sandy Spring Bancorp, Inc. ..................... 129,611 12,100 Santander BanCorp (Puerto Rico)..................... 303,226
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 3,360 SCBT Financial Corp. ....... $ 106,344 7,000 Simmons First National Corp. -- Class A.......... 189,770 5,072 Southside Bancshares, Inc. ..................... 103,976 3,465 State Bancorp, Inc. ........ 78,378 7,950 Sterling Bancorp............ 169,733 6,125 Sterling Financial Corp. (Pennsylvania)............ 130,524 5,300 Suffolk Bancorp............. 171,137 27,600 Susquehanna Bancshares, Inc. ..................... 678,684 111,900 SVB Financial Group*........ 5,360,009 2,400 Taylor Capital Group, Inc. ..................... 94,200 84,700 Texas Regional Bancshares, Inc. -- Class A........... 2,581,656 15,100 TierOne Corp. .............. 409,663 14,700 Trustmark Corp. ............ 430,122 3,000 Uninvest Corp. of Pennsylvania.............. 89,880 2,100 Union Bankshares Corp. ..... 81,102 23,600 United Bankshares, Inc. .... 840,396 21,500 United Community Financial Corp. .................... 235,210 9,100 USB Holding Company, Inc. ..................... 212,940 13,600 WesBanco, Inc. ............. 408,272 6,800 West Coast Bancorp.......... 165,988 67,300 Westamerica Bancorp......... 3,554,112 25,400 Western Alliance Bancorp*... 645,160 4,500 Western Sierra Bancorp*..... 152,325 28,600 Wintrust Financial Corp. ... 1,497,210 8,300 WSFS Financial Corp. ....... 454,093 -------------- 58,411,734 -------------- BROADCAST SERVICES/MEDIA -- 0.6% 31,700 Citadel Broadcasting Company*.................. 362,965 36,000 CKX, Inc.*(d)............... 463,140 78,700 Dolby Laboratories, Inc. -- Class A*.................. 1,736,122 81,700 DreamWorks Animation SKG, Inc. -- Class A*.......... 2,140,540 11,800 Gray Television, Inc. ...... 142,308 4,900 Journal Communications, Inc. -- Class A........... 82,320 194,500 Sinclair Broadcast Group, Inc. -- Class A........... 1,766,060
See notes to financial statements. 132 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) 56,300 Spanish Broadcasting System, Inc. -- Class A*.......... $ 562,437 10,400 WPT Enterprises, Inc.*(d)... 202,696 -------------- 7,458,588 -------------- BUSINESS SERVICES AND SUPPLIES -- 3.1% 133,400 Administaff, Inc. .......... 3,169,584 6,900 Ambassadors Group, Inc. .... 256,611 14,700 Angelica Corp. ............. 360,297 3,800 CCC Information Services Group, Inc.*.............. 91,010 37,300 Certegy, Inc. .............. 1,425,606 43,800 CSG Systems International, Inc.*..................... 831,324 167,220 FirstService Corp. (Canada)*................. 3,339,383 5,600 Forrester Research, Inc.*... 99,848 94,290 Global Payments, Inc.(d).... 6,392,862 118,800 Herman Miller, Inc. ........ 3,663,792 26,200 Huron Consulting Group, Inc.*..................... 617,010 6,800 infoUSA*.................... 79,560 32,900 John H Harland Company...... 1,250,200 58,580 Kelly Services, Inc. -- Class A........... 1,677,731 126,800 Labor Ready, Inc.*.......... 2,955,708 106,400 MAXIMUS, Inc. .............. 3,754,856 189,600 Optimal Group, Inc. -- Class A (Canada)*............... 3,062,040 12,300 Pomeroy IT Solutions, Inc.*..................... 124,599 49,740 Portfolio Recovery Associates, Inc.*......... 2,090,075 33,700 Robert Half International, Inc.(d)................... 841,489 5,800 SOURCECORP, Inc.*........... 114,956 5,000 TALX Corp. ................. 144,550 94,800 TeleTech Holdings, Inc.*.... 772,620 13,800 The Corporate Executive Board Company............. 1,080,954 17,900 Vertrue, Inc.*(d)........... 697,384 -------------- 38,894,049 -------------- CHEMICALS -- 0.9% 120,900 Compass Minerals International, Inc. ...... 2,829,060 29,700 FMC Corp.*.................. 1,667,358 10,800 MacDermid, Inc. ............ 336,528 11,500 NewMarket Corp.*............ 170,085 38,900 SurModics, Inc.*(d)......... 1,687,093
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 195,000 Terra Industries, Inc.*(d).................. $ 1,327,950 37,800 The Valspar Corp. .......... 1,825,362 70,400 Wellman, Inc. .............. 717,376 5,000 Westlake Chemical Corp. .... 122,500 125,500 WR Grace & Company*......... 977,645 -------------- 11,660,957 -------------- COLLECTIBLES -- 0.0% 10,200 Department 56, Inc.*........ 104,550 15,600 Sotheby's Holdings, Inc. -- Class A*.................. 213,720 -------------- 318,270 -------------- COMMERCIAL SERVICES -- 0.6% 62,920 Chemed Corp. ............... 2,572,170 3,600 Euronet Worldwide, Inc.*.... 104,652 2,300 Pre-Paid Legal Services, Inc.(d)................... 102,695 72,810 Providence Service Corp.*... 1,807,872 92,620 Steiner Leisure, Ltd. (Bahama Islands)*......... 3,433,423 -------------- 8,020,812 -------------- COMPUTER SOFTWARE AND SERVICES -- 4.1% 13,100 Ansoft Corp.*............... 316,496 2,600 ANSYS, Inc.*................ 92,326 138,500 ATI Technologies, Inc. (Canada)*................. 1,641,225 8,500 Avid Technology, Inc.*(d)... 452,880 155,150 Bottomline Technologies, Inc.*..................... 2,322,596 363,400 Checkpoint Systems, Inc.*... 6,432,179 29,200 Covansys Corp.*............. 375,220 147,890 Epicor Software Corp.*...... 1,952,148 75,000 Extreme Networks, Inc.*..... 307,500 156,180 Infocrossing, Inc.*(d)...... 1,947,565 129,100 Intergraph Corp.*(d)........ 4,448,785 20,700 InterVideo, Inc.*........... 297,666 24,600 Itron, Inc.*................ 1,099,128 117,300 Keane, Inc.*................ 1,607,010 116,650 M-Systems Flash Disk Pioneers, Ltd. (Israel)*(d).............. 2,236,181 72,800 Manhattan Associates, Inc.*(d).................. 1,398,488 5,400 ManTech International Corp. -- Class A*......... 167,616 157,600 Mentor Graphics Corp.*(d)... 1,615,400 146,704 Merge Technologies, Inc.*(d).................. 2,750,700
See notes to financial statements. 133 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES (CONTINUED) 27,800 MicroStrategy, Inc. -- Class A*(d)..................... $ 1,474,512 28,300 MTS Systems Corp. .......... 950,314 117,600 Parametric Technology Corp.*.................... 750,288 41,200 Phoenix Technologies, Ltd.*..................... 320,536 5,400 Progress Software Corp.*.... 162,810 307,100 Red Hat, Inc.*(d)........... 4,023,010 5,000 Renaissance Learning, Inc. ..................... 101,500 6,200 SERENA Software, Inc.*...... 119,660 4,500 SPSS, Inc.*................. 86,445 22,900 SS&C Technologies, Inc. .... 725,472 57,400 Sybase, Inc.*............... 1,053,290 32,900 Synopsys, Inc.*............. 548,443 407,130 Synplicity, Inc.*........... 2,202,573 32,100 The Ultimate Software Group, Inc.*..................... 526,440 36,500 Transaction Systems Architects, Inc. -- Class A*........................ 898,995 67,800 Trident Microsystems, Inc.*..................... 1,538,382 34,600 Tyler Technologies, Inc.*... 261,576 98,500 Wind River Systems, Inc.*(d).................. 1,544,480 120,950 Witness Systems, Inc.*...... 2,204,919 -------------- 50,954,754 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 1.6% 77,900 Black Box Corp. ............ 2,757,660 135,500 Electronics For Imaging, Inc.*(d).................. 2,850,920 597,700 Maxtor Corp.*............... 3,108,040 132,540 Mercury Computer Systems, Inc.*..................... 3,627,620 9,900 Radiant Systems, Inc.*...... 112,860 196,570 RadiSys Corp.*.............. 3,174,606 314,100 Western Digital Corp.*...... 4,215,221 -------------- 19,846,927 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 4.2% 95,600 Agilysys, Inc. ............. 1,500,920 21,200 Brookfield Homes Corp. ..... 966,720 31,170 Building Materials Holding Corp. .................... 2,159,769 9,700 Drew Industries, Inc.*...... 440,380 24,300 Eagle Materials, Inc. ...... 2,249,937 18,200 Genlyte Group, Inc.*........ 887,068
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) 182,000 Hovnanian Enterprises, Inc. -- Class A*.......... $ 11,866,400 86,600 Meritage Homes Corp.*....... 6,884,700 148,300 Simpson Manufacturing Company, Inc. ............ 4,530,565 80,350 Standard Pacific Corp. ..... 7,066,783 115,175 Technical Olympic USA, Inc. ..................... 2,796,449 26,500 The Ryland Group, Inc. ..... 2,010,555 44,500 USG Corp.*(d)............... 1,891,250 65,000 Walter Industries, Inc. .... 2,613,000 136,000 WCI Communities, Inc.*...... 4,356,080 -------------- 52,220,576 -------------- CONSUMER GOODS AND SERVICES -- 2.0% 51,090 Central Garden & Pet Company*.................. 2,509,541 33,300 Chattem, Inc.*.............. 1,378,620 5,900 CNS, Inc. .................. 134,815 230,100 Herbalife, Ltd. (Cayman Islands)*................. 4,972,460 62,950 Jarden Corp.*............... 3,394,264 128,100 NBTY, Inc.*................. 3,322,914 32,700 Playtex Products, Inc.*..... 351,852 116,640 Rollins, Inc. .............. 2,337,466 40,600 The Scotts Miracle-Gro Company -- Class A*....... 2,891,126 129,100 The Yankee Candle Company, Inc. ..................... 4,144,110 -------------- 25,437,168 -------------- CONTAINERS AND PACKAGING -- 0.1% 2,900 Greif, Inc. -- Class A...... 177,190 14,700 Silgan Holdings, Inc. ...... 826,728 -------------- 1,003,918 -------------- CORRECTIONAL FACILITIES -- 0.0% 22,400 The Geo Group, Inc.*........ 561,120 -------------- DISTRIBUTION -- 1.7% 59,598 Beacon Roofing Supply, Inc.*..................... 1,567,427 5,100 Handleman Company........... 84,201 169,300 United Stationers, Inc.*(d).................. 8,312,630 90,900 Universal Corp. ............ 3,979,602 130,500 Watsco, Inc. ............... 5,559,300 44,900 WESCO International, Inc.*..................... 1,408,962 -------------- 20,912,122 --------------
See notes to financial statements. 134 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) DIVERSIFIED SERVICES -- 0.1% 20,100 Resource America, Inc. -- Class A................... $ 774,453 -------------- EDUCATION -- 0.9% 64,200 Education Management Corp.*.................... 2,165,466 40,000 ITT Educational Services, Inc.*(d).................. 2,136,800 76,940 Laureate Education, Inc.*... 3,682,348 76,200 School Specialty, Inc.*..... 3,543,300 -------------- 11,527,914 -------------- ELECTRONICS -- 1.7% 89,660 BEI Technologies, Inc. ..... 2,392,129 202,349 Belden CDT, Inc.(d)......... 4,289,799 23,300 Electro Scientific Industries, Inc.*......... 416,604 23,600 Methode Electronics, Inc. -- Class A................... 280,132 128,800 Nam Tai Electronics, Inc. (Virgin Islands).......... 2,928,912 56,800 Park Electrochemical Corp. .................... 1,431,360 322,000 Sanmina-SCI Corp.*.......... 1,761,340 120,150 Sonic Solutions*(d)......... 2,234,790 394,670 SRS Labs, Inc.*............. 2,407,487 15,000 Stoneridge, Inc.*........... 99,000 88,700 Technitrol, Inc. ........... 1,253,331 47,400 Thomas & Betts Corp.*....... 1,338,576 -------------- 20,833,460 -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 238,600 Allied Waste Industries, Inc.*(d).................. 1,892,098 6,000 Clean Harbors, Inc.*(d)..... 130,080 3,600 Metal Management, Inc. ..... 69,660 -------------- 2,091,838 -------------- EQUIPMENT RENTAL AND LEASING -- 0.4% 9,700 Electro Rent Corp.*......... 141,038 178,070 McGrath Rentcorp............ 4,220,259 23,400 Rent-Way, Inc.*............. 230,256 -------------- 4,591,553 -------------- FINANCIAL SERVICES -- 4.2% 137,300 Accredited Home Lenders Holding Company*(d)....... 6,041,200 12,400 Affiliated Managers Group, Inc.*(d).................. 847,292
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 268,400 AmeriCredit Corp.*.......... $ 6,844,200 38,100 Calamos Asset Management, Inc. -- Class A........... 1,037,844 117,500 CapitalSource, Inc.*(d)..... 2,306,525 30,800 CompuCredit Corp.*(d)....... 1,055,824 500,200 E*TRADE Financial Corp.*.... 6,997,798 191,000 Eaton Vance Corp. .......... 4,566,810 113,800 Friedman, Billings, Ramsey Group, Inc. -- Class A(d)...................... 1,627,340 3,600 Greenhill & Company, Inc.(d)................... 145,836 83,200 Investment Technology Group, Inc.*..................... 1,748,864 130,500 Jefferies Group, Inc.(d).... 4,944,645 150,200 Lazard, Ltd. -- Class A (Bermuda)*(d)............. 3,492,150 24,100 Metris Companies, Inc.*..... 348,486 13,600 Nelnet, Inc. -- Class A*.... 452,472 128,900 Raymond James Financial, Inc. ..................... 3,641,425 5,100 Renasant Corp. ............. 156,876 43,900 SEI Investments Company..... 1,639,665 19,100 The Student Loan Corp.(d)... 4,198,180 16,100 W Holding Company, Inc. (Puerto Rico)............. 164,542 -------------- 52,257,974 -------------- FOOD AND BEVERAGE -- 0.5% 32,000 Boston Beer Company, Inc. -- Class A*.................. 718,080 58,600 Chiquita Brands International, Inc. ...... 1,609,156 105,300 John B Sanfilippo & Son, Inc.*..................... 2,428,218 10,300 M&F Worldwide Corp.*........ 137,608 41,600 Nash Finch Company(d)....... 1,528,384 -------------- 6,421,446 -------------- FUNERAL SERVICES -- 0.1% 69,000 Alderwoods Group, Inc.*..... 991,530 -------------- INSURANCE -- 4.7% 4,700 American Physicians Capital, Inc.*..................... 174,605 270,600 Assured Guaranty, Ltd. (Bermuda)................. 6,321,216 154,400 Delphi Financial Group, Inc. -- Class A........... 6,816,760 9,100 FPIC Insurance Group, Inc.*(d).................. 266,903
See notes to financial statements. 135 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 89,970 Infinity Property & Casualty Corp. .................... $ 3,138,154 108,700 IPC Holdings, Ltd. (Bermuda)................. 4,306,694 54,200 LandAmerica Financial Group, Inc. ..................... 3,217,854 88,800 Philadelphia Consolidated Holding Corp.*............ 7,526,688 143,700 Platinum Underwriters Holdings, Inc. (Bermuda)................. 4,572,534 47,300 Protective Life Corp. ...... 1,997,006 114,200 Reinsurance Group of America, Inc. ............ 5,311,442 5,400 Safety Insurance Group, Inc. ..................... 182,304 20,100 Stewart Information Services Corp. .................... 844,200 63,600 The Commerce Group, Inc. ... 3,950,196 274,800 Tower Group, Inc. .......... 4,295,124 77,900 UICI........................ 2,319,083 17,900 United Fire & Casualty Company................... 795,118 164,800 Universal American Financial Corp.*.................... 3,727,776 -------------- 59,763,657 -------------- INTERNET SERVICES -- 5.0% 195,200 aQuantive, Inc.*............ 3,458,944 98,360 Avocent Corp.*.............. 2,571,130 8,200 Blue Nile, Inc.*(d)......... 268,058 88,000 CheckFree Corp.*(d)......... 2,997,280 78,380 CNET Networks, Inc.*(d)..... 920,181 35,300 Digital River, Inc.*........ 1,120,775 319,635 Digitas, Inc.*.............. 3,647,035 229,800 EarthLink, Inc.*............ 1,990,068 64,140 Equinix, Inc.*.............. 2,779,828 78,500 eResearch Technology, Inc.*(d).................. 1,051,115 7,900 F5 Networks, Inc.*.......... 373,157 66,300 GSI Commerce, Inc.*(d)...... 1,110,525 169,360 InfoSpace, Inc.*(d)......... 5,577,024 116,900 Internet Security Systems, Inc.*..................... 2,371,901 142,350 j2 Global Communications, Inc.*(d).................. 4,902,534 326,440 Keynote Systems, Inc.*...... 3,809,555 12,400 Marchex, Inc. -- Class B*(d)..................... 186,496 104,300 Monster Worldwide, Inc.*.... 2,991,324 82,500 NETGEAR, Inc.*(d)........... 1,534,500
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 252,420 Online Resources Corp.*..... $ 2,854,870 229,260 Openwave Systems, Inc.*(d).................. 3,759,864 17,300 Priceline.com, Inc.*(d)..... 403,609 156,390 RADVision, Ltd. (Israel)*... 2,078,423 72,960 RADWARE, Ltd. (Israel)*..... 1,319,117 107,877 SafeNet, Inc.*.............. 3,674,291 114,300 SonicWALL, Inc.*............ 616,077 7,000 Stamps.com, Inc.*(d)........ 131,250 65,500 The TriZetto Group, Inc.*... 917,655 79,900 United Online, Inc. ........ 867,714 205,150 ValueClick, Inc.*........... 2,529,500 28,600 Websense, Inc.*(d).......... 1,374,230 -------------- 64,188,030 -------------- LEISURE AND RECREATION -- 1.4% 258,900 Century Casinos, Inc.*...... 1,946,928 31,800 Choice Hotels International, Inc. ..................... 2,089,260 224,300 Interstate Hotels & Resorts, Inc.*..................... 1,101,313 34,700 Kerzner International, Ltd. (Bahama Islands)*......... 1,976,165 120,930 Mikohn Gaming Corp.*........ 1,780,694 32,400 Monarch Casino & Resort, Inc.*..................... 714,096 189,050 Scientific Games Corp. -- Class A*.................. 5,091,117 53,100 Shuffle Master, Inc.*(d).... 1,488,393 55,400 Sunterra Corp.*............. 898,034 10,300 Vail Resorts, Inc.*......... 289,430 -------------- 17,375,430 -------------- MACHINERY -- 1.2% 106,800 Albany International Corp. -- Class A.......... 3,429,348 50,700 Applied Industrial Technologies, Inc. ....... 1,637,103 13,000 Astec Industries, Inc.*..... 301,470 17,700 Blount International, Inc.*..................... 295,413 38,900 Bucyrus International, Inc. -- Class A........... 1,477,422 45,000 Flow International Corp.*(d)................. 287,550 91,300 Joy Global, Inc. ........... 3,066,767 101,700 Kadant, Inc.*............... 2,230,281 19,800 Kennametal, Inc. ........... 907,830 12,400 Middleby Corp.*(d).......... 655,464
See notes to financial statements. 136 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 28,000 Terex Corp.*................ $ 1,103,200 -------------- 15,391,848 -------------- MANUFACTURING -- 2.9% 177,000 Acuity Brands, Inc. ........ 4,547,130 51,500 AptarGroup, Inc. ........... 2,616,200 92,900 Carlisle Companies, Inc.(d)................... 6,375,727 11,500 CIRCOR International, Inc. ..................... 283,705 49,800 Coherent, Inc.*............. 1,793,298 146,250 Deswell Industries, Inc. (Virgin Islands).......... 2,278,560 91,585 Engineered Support Systems, Inc.(d)................... 3,281,491 301,000 FLIR Systems, Inc.*(d)...... 8,981,840 16,800 Griffon Corp.*.............. 372,960 45,200 Harsco Corp. ............... 2,465,660 23,100 Kaydon Corp.(d)............. 643,335 32,100 Matthews International Corp. -- Class A.......... 1,250,616 78,700 Power-One, Inc.*............ 496,597 9,200 Steinway Musical Instruments, Inc.*........ 270,112 -------------- 35,657,231 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 4.4% 59,510 Amedisys, Inc.*(d).......... 2,188,778 152,900 American Healthways, Inc.*(d).................. 6,463,082 95,700 AMERIGROUP Corp.*........... 3,847,140 280,700 AMN Healthcare Services, Inc.*..................... 4,218,921 107,100 AmSurg Corp.*(d)............ 2,965,599 46,200 CorVel Corp.*............... 1,160,544 128,700 Covance, Inc.*.............. 5,774,769 15,600 Henry Schein, Inc.*......... 647,712 120,800 ICON PLC (Ireland) (ADR)*... 4,191,760 84,700 IDX Systems Corp.*.......... 2,552,858 78,270 Kindred Healthcare, Inc.*... 3,100,275 83,820 LabOne, Inc.*(d)............ 3,336,874 38,100 Manor Care, Inc. ........... 1,513,713 64,650 Matria Healthcare, Inc.*.... 2,083,670 11,500 MedCath Corp.*.............. 319,585 10,000 Per-Se Technologies, Inc.*..................... 210,200 1,700 Quality Systems, Inc.*...... 80,546 28,000 RehabCare Group, Inc.*...... 748,440 7,000 Res-Care, Inc.*............. 94,920
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES (CONTINUED) 35,400 Sierra Health Services, Inc.*..................... $ 2,529,684 34,900 Sunrise Senior Living, Inc.*..................... 1,883,902 57,200 Triad Hospitals, Inc.*...... 3,125,408 17,200 Universal Health Services, Inc. -- Class B........... 1,069,496 4,500 US Physical Therapy, Inc.*..................... 86,310 12,800 VistaCare, Inc. -- Class A*........................ 236,416 -------------- 54,430,602 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 4.3% 40,000 American Medical Systems Holdings, Inc.*........... 826,000 9,500 AngioDynamics, Inc.*........ 206,530 51,300 Diagnostic Products Corp. .................... 2,428,029 22,000 DJ Orthopedics, Inc.*....... 603,460 483,280 Encore Medical Corp.*....... 2,682,204 70,000 Haemonetics Corp.*.......... 2,844,800 4,000 ICU Medical, Inc.*(d)....... 128,680 17,400 Illumina, Inc.*............. 210,018 25,700 Immucor, Inc.*.............. 744,015 6,500 INAMED Corp.*............... 435,305 43,340 Laserscope*(d).............. 1,796,010 24,500 Lifecore Biomedical, Inc.*..................... 267,050 95,270 Lifeline Systems, Inc.*..... 3,060,072 18,400 Luminex Corp.*.............. 181,056 69,900 Mentor Corp. ............... 2,899,452 7,400 Meridian Bioscience, Inc. ..................... 140,230 9,400 Neurometrix, Inc.*.......... 188,282 9,800 Oakley, Inc. ............... 166,894 91,700 OraSure Technologies, Inc.*..................... 916,083 445,800 Orthovita, Inc.*............ 1,751,994 157,020 PolyMedica Corp.(d)......... 5,599,333 39,700 PSS World Medical, Inc.*.... 494,265 4,000 Somanetics Corp.*........... 89,880 42,310 SonoSite, Inc.*............. 1,313,302 75,220 Symmetry Medical, Inc.*..... 1,770,679 96,230 Syneron Medical, Ltd. (Israel)*(d).............. 3,521,056 62,200 Techne Corp.*(d)............ 2,855,602 136,400 The Cooper Companies, Inc. ..................... 8,301,304 456,300 The Spectranetics Corp.*.... 3,070,899 73,000 Thoratec Corp.*............. 1,119,820 49,400 Urologix, Inc.*(d).......... 213,902
See notes to financial statements. 137 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED) 57,500 Varian Medical Systems, Inc.*(d).................. $ 2,146,475 4,700 Vital Signs, Inc. .......... 203,604 -------------- 53,176,285 -------------- METALS AND MINING -- 1.1% 51,500 Aber Diamond Corp. (Canada)(d)............... 1,585,170 33,400 Commercial Metals Company... 795,588 78,400 Meridian Gold, Inc. (Canada)*(d).............. 1,411,200 84,800 Mueller Industries, Inc.(d)................... 2,298,080 157,900 Novelis, Inc. (Canada)(d)... 4,054,872 49,800 NS Group, Inc.*............. 1,618,998 18,300 Schnitzer Steel Industries, Inc. -- Class A........... 433,710 6,900 Titanium Metals Corp.*(d)... 391,851 175,200 Wolverine Tube, Inc.*....... 1,028,424 -------------- 13,617,893 -------------- OIL AND GAS: EQUIPMENT -- 0.8% 7,000 Dril-Quip, Inc.*............ 203,070 12,500 Gulf Island Fabrication, Inc. ..................... 248,500 2,900 Hydril Company*............. 157,615 41,600 Lone Star Technologies, Inc.*..................... 1,892,800 85,560 Maverick Tube Corp.*........ 2,549,688 93,990 Oil States International, Inc.*..................... 2,365,728 149,960 Superior Energy Services, Inc.*..................... 2,669,288 -------------- 10,086,689 -------------- OIL AND GAS: PIPELINES -- 0.0% 42,900 TransMontaigne, Inc.*....... 450,450 -------------- OIL, COAL AND GAS -- 5.2% 283,150 Cabot Oil & Gas Corp. ...... 9,825,305 59,860 Cal Dive International, Inc.*..................... 3,134,868 4,300 Clayton Williams Energy, Inc.*..................... 128,957 83,300 Encore Acquisition Company*(d)............... 3,415,300 252,400 Energy Partners, Ltd.*...... 6,615,404 38,500 Global Industries, Ltd.*.... 327,250 266,700 Grey Wolf, Inc.*............ 1,976,247 148,400 Harvest Natural Resources, Inc.*(d).................. 1,622,012 101,900 Headwaters, Inc.*(d)........ 3,503,322 5,000 Holly Corp. ................ 233,350
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 110,500 ONEOK, Inc.(d).............. $ 3,607,825 111,700 Parker Drilling Company*.... 783,017 102,000 Patterson-UTI Energy, Inc. ..................... 2,838,660 3,100 Petroleum Development Corp.*.................... 98,735 16,100 PetroQuest Energy, Inc.*.... 105,777 118,900 Plains Exploration & Production Company*....... 4,224,517 148,200 Swift Energy Company*....... 5,308,524 48,200 Todco -- Class A*........... 1,237,294 56,400 Ultra Petroleum Corp. (Canada)*................. 1,712,304 52,360 Unit Corp.*................. 2,304,364 263,700 Vintage Petroleum, Inc. .... 8,034,939 156,600 Whiting Petroleum Corp.*.... 5,686,146 -------------- 66,724,117 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 5.8% 330,100 Abgenix, Inc.*(d)........... 2,832,258 66,700 Albany Molecular Research, Inc.*..................... 933,800 84,950 Alexion Pharmaceuticals, Inc.*(d).................. 1,957,248 111,200 Alpharma, Inc. -- Class A... 1,609,064 123,989 AtheroGenics, Inc.*(d)...... 1,981,344 69,400 Barr Pharmaceuticals, Inc.*(d).................. 3,382,556 195,800 Cephalon, Inc.*(d).......... 7,794,798 257,400 Cubist Pharmaceuticals, Inc.*..................... 3,389,958 33,100 CV Therapeutics, Inc.*(d)... 742,102 24,300 deCODE genetics, Inc.*(d)... 228,177 282,200 Dendreon Corp.*(d).......... 1,475,906 243,400 DepoMed, Inc.*(d)........... 1,063,658 138,200 Endo Pharmaceuticals Holdings, Inc.*........... 3,631,896 20,799 Enzo Biochem, Inc.*(d)...... 372,926 130,300 Enzon Pharmaceuticals, Inc.*..................... 844,344 72,000 First Horizon Pharmaceutical Corp.*(d)................. 1,370,880 81,700 Human Genome Sciences, Inc.*(d).................. 946,086 51,400 InterMune, Inc.*(d)......... 670,256 103,400 K-V Pharmaceutical Company -- Class A*....... 1,731,950 26,700 Lexicon Genetics, Inc.*..... 131,898 35,000 LifeCell Corp.*............. 553,350
See notes to financial statements. 138 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT (CONTINUED) 328,500 Ligand Pharmaceuticals, Inc. -- Class B*.......... $ 2,283,075 18,200 Millipore Corp.*............ 1,032,486 227,000 Nabi Biopharmaceuticals*(d).... 3,457,210 39,500 Neurocrine Biosciences, Inc.*..................... 1,661,370 9,300 Nutraceutical International Corp.*.................... 124,155 14,100 Orchid Cellmark, Inc.*...... 152,421 145,636 Pharmaceutical Product Development, Inc.*........ 6,824,503 18,400 POZEN, Inc.*................ 150,880 36,000 PRA International*.......... 964,080 124,990 Priority Healthcare Corp. -- Class B*.................. 3,169,746 176,430 QLT, Inc. (Canada)*......... 1,838,401 27,600 Regeneron Pharmaceuticals, Inc.*..................... 231,564 107,150 Rigel Pharmaceuticals, Inc.*..................... 2,134,428 147,160 Salix Pharmaceuticals, Ltd.*..................... 2,598,846 220,400 Serologicals Corp.*(d)...... 4,683,500 186,300 Trimeris, Inc.*(d).......... 1,859,274 36,600 United Therapeutics Corp.*(d)................. 1,764,120 7,900 Valeant Pharmaceuticals International............. 139,277 41,600 Vertex Pharmaceuticals, Inc.*..................... 700,544 -------------- 73,414,335 -------------- PRINTING AND PUBLISHING -- 0.5% 148,300 Bowne & Company, Inc. ...... 2,144,418 12,000 Consolidated Graphics, Inc.*..................... 489,240 77,700 Scholastic Corp.*........... 2,995,335 6,300 Valassis Communications, Inc.*..................... 233,415 -------------- 5,862,408 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.2% 29,800 Getty Realty Corp. ......... 825,460 25,700 Jones Lang LaSalle, Inc.*... 1,136,711 27,300 Trammell Crow Company*...... 661,752 -------------- 2,623,923 -------------- REAL ESTATE INVESTMENT TRUSTS -- 4.0% 96,800 Aames Investment Corp. ..... 940,896 177,900 Acadia Realty Trust......... 3,317,835 39,200 American Home Mortgage Investment Corp. ......... 1,370,432
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 27,800 Arbor Realty Trust, Inc. ... $ 797,860 22,900 Associated Estates Realty Corp. .................... 211,367 4,000 BRT Realty Trust............ 92,600 17,500 Capital Trust, Inc. -- Class A......................... 584,675 12,100 Commercial Net Lease Realty.................... 247,687 89,500 Cousins Properties, Inc. ... 2,647,410 5,200 Digital Realty Trust, Inc. ..................... 90,376 67,700 Entertainment Properties Trust..................... 3,114,200 120,900 Equity Inns, Inc. .......... 1,607,970 72,900 Equity One, Inc. ........... 1,654,830 15,900 FelCor Lodging Trust, Inc.*..................... 230,232 8,600 Global Signal, Inc. ........ 323,790 18,600 Gramercy Capital Corp. ..... 454,956 29,000 HomeBanc Corp. (Georgia).... 263,610 21,300 Innkeepers USA Trust........ 318,222 148,470 KKR Financial Corp.*........ 3,711,750 35,500 LaSalle Hotel Properties.... 1,164,755 40,900 LTC Properties, Inc. ....... 846,630 116,600 Maguire Properties, Inc. ... 3,304,444 32,600 Mid-America Apartment Communities, Inc. ........ 1,480,692 8,200 MortgageIT Holdings, Inc.(d)................... 149,650 16,500 National Health Realty, Inc. ..................... 463,155 29,900 Newcastle Investment Corp. .................... 901,485 130,600 OMEGA Healthcare Investors, Inc.(d)................... 1,679,516 44,900 PS Business Parks, Inc. .... 1,995,805 68,600 RAIT Investment Trust....... 2,054,570 3,300 Ramco-Gershenson Properties Trust..................... 96,624 22,600 Realty Income Corp. ........ 565,904 18,900 Saul Centers, Inc.(d)....... 687,015 53,900 SL Green Realty Corp.(d).... 3,476,550 11,500 Sovran Self Storage......... 522,790 60,900 Taubman Centers, Inc. ...... 2,076,081 201,200 U-Store-It Trust............ 3,832,860 68,700 Ventas, Inc. ............... 2,074,740 6,900 Winston Hotels, Inc. ....... 77,694 -------------- 49,431,658 -------------- REGISTERED INVESTMENT COMPANIES -- 1.0% 4,900 Apollo Investment Corp. .... 90,307 77,600 iShares Russell 2000 Growth Index Fund(d)............. 5,024,600
See notes to financial statements. 139 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REGISTERED INVESTMENT COMPANIES (CONTINUED) 116,100 iShares Russell 2000 Value Index Fund(d)............. $ 7,447,815 -------------- 12,562,722 -------------- RETAIL -- 1.7% 4,000 BJ'S Wholesale Club, Inc.*..................... 129,960 187,200 Casey's General Stores, Inc. ..................... 3,710,304 4,500 Conn's, Inc.*............... 110,115 38,300 Design Within Reach, Inc.*..................... 693,230 77,200 Dollar Tree Stores, Inc.*(d).................. 1,852,800 82,900 GameStop Corp. -- Class B*........................ 2,478,710 41,560 Guitar Center, Inc.*........ 2,425,857 40,000 Longs Drug Stores Corp. .... 1,722,000 46,600 Pantry, Inc.*............... 1,804,818 6,100 Sonic Automotive, Inc. ..... 129,686 46,000 Trans World Entertainment Corp.*.................... 544,180 38,030 Tuesday Morning Corp. ...... 1,198,706 47,900 Williams-Sonoma, Inc.*...... 1,895,403 95,300 Zale Corp.*................. 3,020,057 -------------- 21,715,826 -------------- RETAIL: RESTAURANTS -- 2.3% 97,700 Brinker International, Inc.*..................... 3,912,885 120,650 CEC Entertainment, Inc.*(d).................. 5,078,158 99,200 CKE Restaurants, Inc. ...... 1,380,864 353,438 Cosi, Inc.*................. 2,431,653 32,400 Dave & Buster's, Inc.*...... 597,456 25,900 Jack in the Box, Inc.*...... 982,128 36,100 Lone Star Steakhouse & Saloon, Inc. ............. 1,097,801 33,300 Panera Bread Company -- Class A*(d)............... 2,067,431 35,800 Papa John's International, Inc.*..................... 1,430,926 7,900 PF Chang's China Bistro, Inc.*(d).................. 465,942 90,540 RARE Hospitality International, Inc.*...... 2,758,754 148,500 Ruby Tuesday, Inc.(d)....... 3,846,150 96,900 Sonic Corp.*................ 2,958,357 -------------- 29,008,505 -------------- RETAIL: SUPERMARKETS -- 0.1% 50,200 Pathmark Stores, Inc.*...... 439,752 15,600 Smart & Final, Inc.*........ 191,100 14,600 Spartan Stores, Inc.*....... 214,182
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL: SUPERMARKETS (CONTINUED) 13,200 The Great Atlantic & Pacific Tea Company, Inc.*(d)..... $ 383,592 -------------- 1,228,626 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.4% 164,600 FEI Company*................ 3,754,526 19,500 Hexcel Corp.*............... 329,940 11,900 Woodward Governor Company... 999,957 -------------- 5,084,423 -------------- SEMICONDUCTORS -- 4.5% 127,040 Agere Systems, Inc.*........ 1,524,480 256,900 Altera Corp.*............... 5,091,758 128,900 AMIS Holdings, Inc.*........ 1,719,526 146,800 Amkor Technology, Inc.*(d).................. 660,600 150,900 Axcelis Technologies, Inc.*..................... 1,035,174 13,500 Cohu, Inc. ................. 270,675 401,800 Conexant Systems, Inc.*..... 646,898 76,700 Cree, Inc.*(d).............. 1,953,549 214,400 Emulex Corp.*(d)............ 3,914,944 209,400 Genesis Microchip, Inc.*.... 3,865,524 165,700 Intersil Corp. -- Class A... 3,110,189 11,600 IXYS Corp.*................. 164,488 131,400 Kulicke and Soffa Industries, Inc.*......... 1,039,374 172,900 Lattice Semiconductor Corp.*.................... 767,676 260,400 Micrel, Inc.*............... 2,999,808 189,310 Microsemi Corp.*(d)......... 3,559,028 103,900 MIPS Technologies, Inc.*.... 748,080 10,900 MKS Instruments, Inc.*...... 184,101 34,800 Netlogic Microsystems, Inc.*(d).................. 617,004 212,000 Novellus Systems, Inc.*..... 5,238,520 229,000 O2Micro International, Ltd. (Cayman Islands)*......... 3,217,450 106,900 OmniVision Technologies, Inc.*(d).................. 1,452,771 85,000 Photronics, Inc.*........... 1,983,900 67,800 Pixelworks, Inc.*........... 581,724 5,600 Rudolph Technologies, Inc.*..................... 80,248 44,400 Sigmatel, Inc.*(d).......... 761,904 135,690 SiRF Technology Holdings, Inc.*..................... 2,398,999 286,200 Teradyne, Inc.*(d).......... 3,425,814 88,190 Ultratech, Inc.*............ 1,613,877 14,300 Veeco Instruments, Inc.*.... 232,804
See notes to financial statements. 140 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 118,510 Volterra Semiconductor Corp.*(d)................. $ 1,764,614 -------------- 56,625,501 -------------- SPORTING GOODS AND EQUIPMENT -- 0.2% 62,700 Hibbett Sporting Goods, Inc.*..................... 2,372,568 12,500 The Nautilus Group, Inc. ... 356,250 -------------- 2,728,818 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.6% 12,300 ADTRAN, Inc. ............... 304,917 257,700 American Tower Corp. -- Class A*(d)............... 5,416,854 10,700 Anaren, Inc.*............... 140,705 7,600 Anixter International, Inc.*..................... 282,492 72,600 Arris Group, Inc.*.......... 632,346 613,700 Avaya, Inc.*................ 5,105,984 51,000 Brightpoint, Inc.*.......... 1,131,690 6,400 Centennial Communications Corp.*.................... 88,832 35,200 Commonwealth Telephone Enterprises, Inc. ........ 1,475,232 92,600 CommScope, Inc.*(d)......... 1,612,166 16,100 CT Communications, Inc. .... 210,105 51,400 Digi International, Inc.*... 609,604 43,500 Intervoice, Inc.*........... 375,405 6,300 Intrado, Inc.*.............. 94,248 10,700 North Pittsburgh Systems, Inc. ..................... 209,292 76,100 Plantronics, Inc. .......... 2,766,996 424,200 Polycom, Inc.*.............. 6,324,822 579,600 RF Micro Devices, Inc.*..... 3,147,228 65,700 TALK America Holdings, Inc.*..................... 657,657 160,400 UbiquiTel, Inc.*............ 1,308,864 9,300 USA Mobility, Inc.*......... 273,048 -------------- 32,168,487 -------------- TOOLS -- 0.3% 100,400 Snap-on, Inc. .............. 3,443,720 -------------- TOYS -- 0.1% 40,200 JAKKS Pacific, Inc.*(d)..... 772,242 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TRANSPORTATION -- 1.0% 53,900 General Maritime Corp. (Marshall Islands)(d)..... $ 2,285,360 148,350 Genesee & Wyoming, Inc. -- Class A*(d)............... 4,036,604 20,800 Hub Group, Inc. -- Class A*........................ 521,040 19,000 Landstar System, Inc.*...... 572,280 40,780 Old Dominion Freight Line, Inc.*..................... 1,094,127 41,900 Swift Transportation Company, Inc.*............ 975,851 4,500 Trico Marine Services, Inc.*..................... 84,600 191,450 Vitran Corp., Inc. -- Class A (Canada)*............... 3,024,910 -------------- 12,594,772 -------------- UTILITIES: ELECTRIC -- 1.2% 52,800 Avista Corp. ............... 981,552 38,500 Cleco Corp. ................ 830,445 60,100 NorthWestern Corp.(d)....... 1,894,352 281,800 PNM Resources, Inc. ........ 8,118,658 126,500 Sierra Pacific Resources*(d)............. 1,574,925 86,800 Westar Energy, Inc. ........ 2,085,804 -------------- 15,485,736 -------------- UTILITIES: GAS -- 1.0% 79,200 Atmos Energy Corp. ......... 2,280,960 14,900 Cascade Natural Gas Corp. .................... 305,450 58,700 New Jersey Resources Corp. .................... 2,832,275 63,900 Nicor, Inc.(d).............. 2,630,763 114,900 WGL Holdings, Inc. ......... 3,865,236 -------------- 11,914,684 -------------- TOTAL COMMON STOCKS (Cost $1,066,522,834)..... 1,206,413,164 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 20.6% $257,599,303 Securities Lending Collateral Investment (Note 4) (Cost $257,599,303)....... 257,599,303 -------------- US TREASURY SECURITY -- 0.1% 750,000 US Treasury Bill, 2.94%, 09/15/05(f) (Cost $745,345)........... 745,345 -------------- TOTAL SECURITIES (Cost $1,324,867,482)..... 1,464,757,812 --------------
See notes to financial statements. 141 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENT -- 3.4% $ 42,614,970 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $42,618,059 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.92%-4.07%, due 01/01/33-02/01/33, with a total value of $13,648,836, Government National Mortgage Association, 4.00%, due 08/20/34, with a value of $19,185,137, and various Small Business Administrations, 6.13%-6.63%, due 01/25/15-07/25/16, with a total value of $11,911,745) (Cost $42,614,970).............. $ 42,614,970 -------------- Total Investments -- 120.5% (Cost $1,367,482,452)..... 1,507,372,782 Liabilities less other assets -- (20.5)%......... (256,518,711) -------------- NET ASSETS -- 100.0%........ $1,250,854,071 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $1,367,482,452. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............ $177,153,990 Gross unrealized depreciation............ (37,263,660) ------------ Net unrealized appreciation.............. $139,890,330 ============
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 142 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.7% APPAREL: MANUFACTURING AND RETAIL -- 9.5% 29,200 Carter's, Inc.*................ $ 1,704,696 92,600 Coach, Inc.*................... 3,108,582 81,400 The Warnaco Group, Inc.*....... 1,892,550 73,600 Urban Outfitters, Inc.*........ 4,172,384 ------------ 10,878,212 ------------ BANKS -- 3.6% 75,000 Brookline Bancorp, Inc. ....... 1,219,500 19,700 Downey Financial Corp.(d)...... 1,442,040 61,900 Signature Bank*................ 1,510,360 ------------ 4,171,900 ------------ BUSINESS SERVICES AND SUPPLIES -- 4.2% 45,100 Advisory Board Company*........ 2,198,174 4,300 Portfolio Recovery Associates, Inc.*........................ 180,686 77,800 Resources Connection, Inc.*.... 1,807,294 37,800 TRM Corp.*(d).................. 635,796 ------------ 4,821,950 ------------ COMMERCIAL SERVICES -- 1.2% 77,600 Collectors Universe, Inc.*..... 1,359,552 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.3% 123,800 Agile Software Corp.*.......... 779,940 136,800 Interwoven, Inc.*.............. 1,030,104 44,300 Manhattan Associates, Inc.*.... 851,003 213,300 MatrixOne, Inc.*............... 1,066,500 ------------ 3,727,547 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.0% 45,200 NCI Building Systems, Inc.*.... 1,482,560 29,700 Trex Company, Inc.*(d)......... 763,290 ------------ 2,245,850 ------------ ELECTRONICS -- 0.4% 86,700 Merix Corp.*(d)................ 507,195 ------------ FINANCIAL SERVICES -- 2.9% 63,500 Westcorp....................... 3,328,670 ------------ INSURANCE -- 2.9% 60,100 Delphi Financial Group, Inc. -- Class A...................... 2,653,415 33,600 Hub International, Ltd. (Canada)..................... 654,864 ------------ 3,308,279 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INTERNET SERVICES -- 9.6% 129,000 Akamai Technologies, Inc.*(d)..................... $ 1,693,770 70,500 aQuantive, Inc.*............... 1,249,260 37,100 Blue Nile, Inc.*(d)............ 1,212,799 230,000 iVillage, Inc.*................ 1,375,400 109,400 Jupitermedia Corp.*(d)......... 1,874,022 108,000 Marchex, Inc. -- Class B*(d)... 1,624,320 156,100 SupportSoft, Inc.*............. 810,159 180,600 TIBCO Software, Inc.*.......... 1,181,124 ------------ 11,020,854 ------------ LEISURE AND RECREATION -- 1.3% 22,400 Four Seasons Hotels, Inc. (Canada)(d).................. 1,480,640 ------------ MANUFACTURING -- 2.7% 39,950 Engineered Support Systems, Inc.(d)...................... 1,431,409 50,700 Lincoln Electric Holdings, Inc. ........................ 1,680,705 ------------ 3,112,114 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.8% 138,400 Align Technology, Inc.*(d)..... 1,020,008 86,800 Animas Corp.*(d)............... 1,749,020 110,300 Conceptus, Inc.*(d)............ 623,195 45,000 Conor Medsystems, Inc.*........ 690,750 50,675 Immucor, Inc.*................. 1,467,041 ------------ 5,550,014 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 16.6% 87,800 Amylin Pharmaceuticals, Inc.*(d)..................... 1,837,654 110,300 CV Therapeutics, Inc.*(d)...... 2,472,925 48,600 Digene Corp.*.................. 1,345,248 122,600 Dyax Corp.*.................... 578,672 104,600 Encysive Pharmaceuticals, Inc.*........................ 1,130,726 160,800 Isolagen, Inc.*(d)............. 659,280 38,600 Medicis Pharmaceuticals Corp. -- Class A(d).......... 1,224,778 60,600 MGI Pharma, Inc.*(d)........... 1,318,656 120,000 Nektar Therapeutics*........... 2,020,800 88,400 POZEN, Inc.*................... 724,880 83,000 Protein Design Labs, Inc.*(d)..................... 1,677,430 58,500 Rigel Pharmaceuticals, Inc.*... 1,165,320
See notes to financial statements. 143 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT (CONTINUED) 34,400 SeraCare Life Sciences, Inc.*........................ $ 481,256 47,700 United Therapeutics Corp.*(d).................... 2,299,140 ------------ 18,936,765 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.0% 36,600 RAIT Investment Trust.......... 1,096,170 ------------ RETAIL -- 5.6% 44,350 America's Car-Mart, Inc.*...... 998,319 39,800 Build-A-Bear-Workshop, Inc.*(d)..................... 933,310 52,700 First Cash Financial Services, Inc.*........................ 1,126,199 36,800 Guitar Center, Inc.*........... 2,148,016 25,300 Tractor Supply Company*........ 1,242,230 ------------ 6,448,074 ------------ RETAIL: RESTAURANTS -- 6.1% 5,600 BJ's Restaurants, Inc.*........ 113,904 40,500 CEC Entertainment, Inc.*....... 1,704,645 44,300 RARE Hospitality International, Inc.*........................ 1,349,821 58,400 Sonic Corp.*................... 1,782,952 59,050 The Cheesecake Factory, Inc.*(d)..................... 2,050,807 ------------ 7,002,129 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 1.2% 51,900 Cymer, Inc.*(d)................ 1,367,565 ------------ SEMICONDUCTORS -- 8.8% 81,300 Integrated Device Technology, Inc.*(d)..................... 873,975 141,000 Mattson Technology, Inc.*...... 1,009,560 167,100 O2Micro International, Ltd. (Cayman Islands)*............ 2,347,755 61,500 Power Integrations, Inc.*(d)... 1,326,555 84,400 SiRF Technology Holdings, Inc.*........................ 1,492,192 80,800 Skyworks Solutions, Inc.*...... 595,496 72,400 Tessera Technologies, Inc.*.... 2,418,884 ------------ 10,064,417 ------------ SPORTING GOODS AND EQUIPMENT -- 3.1% 92,475 Hibbett Sporting Goods, Inc.*........................ 3,499,254 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.0% 45,000 InPhonic, Inc.*(d)............. 692,100 147,300 NMS Communications Corp.*...... 421,278 ------------ 1,113,378 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TRANSPORTATION -- 2.9% 56,050 Knight Transportation, Inc. ... $ 1,363,697 36,200 Old Dominion Freight Line, Inc.*........................ 971,246 60,100 Universal Truckload Services, Inc.*........................ 1,015,089 ------------ 3,350,032 ------------ TOTAL COMMON STOCKS (Cost $98,589,444)................. 108,390,561 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 26.8% $30,669,845 Securities Lending Collateral Investment (Note 4) (Cost $30,669,845)........... 30,669,845 ------------ TOTAL SECURITIES (Cost $129,259,289)................ 139,060,406 ------------ REPURCHASE AGREEMENT -- 5.2% 5,952,517 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $5,952,949 (Collateralized by Small Business Administration, 5.63%, due 02/25/27, with a value of $6,250,143) (Cost $5,952,517).................. 5,952,517 ------------ Total Investments -- 126.7% (Cost $135,211,806).......... 145,012,923 Liabilities less other assets -- (26.7)%............ (30,526,585) ------------ NET ASSETS -- 100.0%........... $114,486,338 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $135,211,806. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $17,977,646 Gross unrealized depreciation........... (8,176,529) ----------- Net unrealized appreciation............. $ 9,801,117 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 144 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 99.5% AEROSPACE AND DEFENSE -- 2.5% 93,500 Goodrich Corp. ................ $ 3,829,760 83,050 The Boeing Company............. 5,481,300 ------------ 9,311,060 ------------ AGRICULTURE -- 0.9% 52,820 Monsanto Company............... 3,320,793 ------------ APPAREL: MANUFACTURING AND RETAIL -- 5.9% 155,160 Chico's FAS, Inc.*(d).......... 5,318,885 220,960 Coach, Inc.*................... 7,417,627 61,400 Nike, Inc. -- Class B.......... 5,317,240 61,490 Urban Outfitters, Inc.*........ 3,485,868 ------------ 21,539,620 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.9% 46,500 Toyota Motor Corp. (ADR) (Japan)...................... 3,324,285 ------------ BROADCAST SERVICES/MEDIA -- 1.3% 725,540 Sirius Satellite Radio, Inc.*(d)..................... 4,701,499 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.9% 57,000 Fluor Corp. ................... 3,282,630 ------------ CHEMICALS -- 1.1% 57,000 Ashland, Inc.*................. 4,096,590 ------------ COMPUTER SOFTWARE AND SERVICES -- 2.7% 137,250 Cognizant Technology Solutions Corp. -- Class A*............ 6,468,593 58,700 Electronic Arts, Inc.*......... 3,323,007 ------------ 9,791,600 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 6.0% 87,040 Apple Computer, Inc.*.......... 3,203,942 265,090 Dell, Inc.*.................... 10,473,707 609,340 EMC Corp. (Massachusetts)*..... 8,354,051 ------------ 22,031,700 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.9% 91,000 DR Horton, Inc. ............... 3,422,510 ------------ CONSUMER GOODS AND SERVICES -- 7.2% 51,510 Fortune Brands, Inc. .......... 4,574,088 632,710 General Electric Company....... 21,923,402 ------------ 26,497,490 ------------ ELECTRONICS -- 1.2% 331,620 Flextronics International, Ltd. (Singapore)*............ 4,380,700 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 4.8% 16,970 Chicago Mercantile Exchange Holdings, Inc.(d)............ $ 5,014,635 31,380 Legg Mason, Inc.(d)............ 3,266,972 70,000 SEI Investments Company........ 2,614,500 108,600 T Rowe Price Group, Inc. ...... 6,798,360 ------------ 17,694,467 ------------ FOOD AND BEVERAGE -- 0.9% 111,180 Constellation Brands, Inc. -- Class A*............. 3,279,810 ------------ INTERNET SERVICES -- 9.5% 36,120 Google, Inc. -- Class A*(d).... 10,624,697 283,260 Juniper Networks, Inc.*........ 7,132,487 146,270 Monster Worldwide, Inc.*....... 4,195,024 163,330 VeriSign, Inc.*................ 4,697,371 236,270 YAHOO!, Inc.*.................. 8,186,756 ------------ 34,836,335 ------------ LEISURE AND RECREATION -- 2.4% 53,000 Marriott International, Inc. -- Class A...................... 3,615,660 130,100 MGM MIRAGE*(d)................. 5,149,358 ------------ 8,765,018 ------------ MACHINERY -- 2.5% 54,300 Caterpillar, Inc. ............. 5,175,333 124,000 Joy Global, Inc. .............. 4,165,160 ------------ 9,340,493 ------------ MANUFACTURING -- 0.8% 14,470 Danaher Corp. ................. 757,360 22,450 ITT Industries, Inc. .......... 2,191,793 ------------ 2,949,153 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 3.9% 60,940 Medco Health Solutions, Inc.*(d)..................... 3,251,758 77,000 UnitedHealth Group, Inc. ...... 4,014,780 101,100 WellPoint, Inc.*............... 7,040,604 ------------ 14,307,142 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 5.0% 82,660 CR Bard, Inc. ................. 5,497,717 199,380 Johnson & Johnson.............. 12,959,700 ------------ 18,457,417 ------------
See notes to financial statements. 145 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) OIL AND GAS: PIPELINES -- 1.0% 55,700 Questar Corp. ................. $ 3,670,630 ------------ OIL, COAL AND GAS -- 1.3% 89,000 Peabody Energy Corp. .......... 4,631,560 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 10.7% 108,000 Amgen, Inc.*................... 6,529,680 158,190 Caremark Rx, Inc.*............. 7,042,619 98,700 Genentech, Inc.*............... 7,923,636 95,280 Genzyme Corp.*................. 5,725,375 161,570 Gilead Sciences, Inc.*......... 7,107,464 83,600 Sepracor, Inc.*................ 5,016,836 ------------ 39,345,610 ------------ RETAIL -- 0.9% 49,000 Best Buy Company, Inc. ........ 3,358,950 ------------ RETAIL: RESTAURANTS -- 3.0% 85,140 Starbucks Corp.*............... 4,398,332 130,600 YUM! Brands, Inc. ............. 6,801,648 ------------ 11,199,980 ------------ RETAIL: SUPERMARKETS -- 0.8% 25,400 Whole Foods Market, Inc. ...... 3,004,820 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.7% 38,903 Fisher Scientific International, Inc.*(d)..................... 2,524,805 ------------ SEMICONDUCTORS -- 12.2% 446,510 Applied Materials, Inc. ....... 7,224,532 222,580 Broadcom Corp. -- Class A*..... 7,903,816 690,590 Intel Corp. ................... 17,996,775 134,280 Marvell Technology Group, Ltd. (Bermuda)*.............. 5,108,011 242,060 Texas Instruments, Inc. ....... 6,794,624 ------------ 45,027,758 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 7.6% 86,480 America Movil SA de CV -- Series L (ADR) (Mexico)...... 5,155,073 201,000 Comverse Technology, Inc.*(d)..................... 4,753,650
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) 401,720 Corning, Inc.*................. $ 6,676,586 62,500 NII Holdings, Inc.*(d)......... 3,996,250 235,000 Nokia Oyj (ADR) (Finland)...... 3,910,400 388,000 Tellabs, Inc.*................. 3,375,600 ------------ 27,867,559 ------------ TOTAL COMMON STOCKS (Cost $329,560,519)................ 365,961,984 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 12.3% $45,336,885 Securities Lending Collateral Investment (Note 4) (Cost $45,336,885)........... 45,336,885 ------------ TOTAL SECURITIES (Cost $374,897,404)................ 411,298,869 ------------ REPURCHASE AGREEMENT -- 1.0% 3,565,577 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $3,565,836 (Collateralized by Small Business Administration, 6.60%, due 03/25/16, with a value of $3,743,856) (Cost $3,565,577).................. 3,565,577 ------------ Total Investments -- 112.8% (Cost $378,462,981).......... 414,864,446 Liabilities less other assets -- (12.8)%............ (46,914,640) ------------ NET ASSETS -- 100.0%........... $367,949,806 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $378,462,981. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $39,847,718 Gross unrealized depreciation........... (3,446,253) ----------- Net unrealized appreciation............. $36,401,465 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 146 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 90.9% ADVERTISING -- 0.5% $ 1,370,000 Advanstar Communications, Inc., 10.75%, 08/15/10............. $ 1,503,575 455,000 WDAC Subsidiary Corp. -- 144A, 8.38%, 12/01/14.............. 436,800 ------------ 1,940,375 ------------ AEROSPACE AND DEFENSE -- 0.3% 395,000 Argo-Tech Corp., 9.25%, 06/01/11.............. 430,550 415,000 Armor Holdings, Inc., 8.25%, 08/15/13.............. 450,794 210,000 B/E Aerospace, Series B, 8.00%, 03/01/08.............. 211,050 ------------ 1,092,394 ------------ AGRICULTURAL EQUIPMENT -- 0.3% 940,000 Case New Holland, Inc. -- 144A, 9.25%, 08/01/11.............. 991,700 ------------ AIRLINES -- 1.6% 920,000 American Airlines, Inc., 8.61%, 04/01/11.............. 863,190 1,700,000 American Airlines, Inc., Series 2001-2, 7.80%, 10/01/06.............. 1,616,609 295,000 American Airlines, Inc., Series 2001-2, 7.86%, 10/01/11.............. 311,769 1,505,000 AMR Corp., 9.00%, 08/01/12.............. 1,188,950 1,433,626 Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11.............. 1,204,740 500,000 Delta Air Lines, Inc., 7.90%, 12/15/09.............. 180,000 495,000 Delta Air Lines, Inc. -- 144A, 9.50%, 11/18/08.............. 405,900 45,000 Delta Air Lines, Inc., Series 2000-1, 7.78%, 11/18/05.............. 39,213 140,000 Northwest Airlines, Inc., 8.88%, 06/01/06.............. 89,600 ------------ 5,899,971 ------------ APPAREL: MANUFACTURING AND RETAIL -- 3.2% 1,330,000 GFSI, Inc., Series B, 9.63%, 03/01/07.............. 1,216,950 1,810,000 Levi Strauss & Company, 12.25%, 12/15/12............. 1,986,475
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) APPAREL: MANUFACTURING AND RETAIL (CONTINUED) $ 895,000 Levi Strauss & Company, 9.75%, 01/15/15.............. $ 892,763 1,740,000 Levi Strauss & Company, Floating Rate, 7.73%, 04/01/12(b)........... 1,653,000 1,485,000 Oxford Industries, Inc., 8.88%, 06/01/11.............. 1,596,375 2,300,000 Perry Ellis International, Inc., Series B, 8.88%, 09/15/13.............. 2,311,499 490,000 Phillips Van-Heusen Corp., 7.25%, 02/15/11.............. 516,950 685,000 Phillips Van-Heusen Corp., 8.13%, 05/01/13.............. 744,938 875,000 William Carter, Series B, 10.88%, 08/15/11............. 984,515 ------------ 11,903,465 ------------ AUTOMOBILE: RENTAL -- 0.1% 330,000 Williams Scotsman, Inc., 10.00%, 08/15/08............. 364,693 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.5% 565,000 Navistar International, 7.50%, 06/15/11.............. 579,125 1,270,000 Navistar International -- 144A, 6.25%, 03/01/12.............. 1,231,900 ------------ 1,811,025 ------------ AUTOMOTIVE EQUIPMENT -- 2.7% 2,110,000 Collins & Aikman Products Company, Series B, 9.75%, 02/15/10.............. 2,194,399 395,000 Commercial Vehicle Group -- 144A, 8.00%, 07/01/13.............. 403,888 1,585,000 Delphi Corp., 6.55%, 06/15/06.............. 1,549,338 1,100,000 Delphi Corp. (Loan Participation), Tranche B, 9.74%, 06/14/11.............. 1,128,875 155,000 Dura Operating Corp., Series D, 9.00%, 05/01/09.............. 108,500 270,000 Keystone Automotive Operations, Inc., 9.75%, 11/01/13.............. 268,650 1,210,000 Metaldyne Corp. -- 144A, 10.00%, 11/01/13............. 998,250 260,000 Rexnord Corp., 10.13%, 12/15/12............. 286,000
See notes to financial statements. 147 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) AUTOMOTIVE EQUIPMENT (CONTINUED) $ 1,000,000 Tenneco Automotive, Inc., 8.63%, 11/15/14.............. $ 1,010,000 945,000 Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13............. 1,072,575 354,000 TRW Automotive, Inc., 11.00%, 02/15/13............. 408,870 680,000 Visteon Corp., 8.25%, 08/01/10.............. 632,400 ------------ 10,061,745 ------------ BROADCAST SERVICES/MEDIA -- 6.2% 1,595,000 Adelphia Communications, 10.25%, 11/01/06(h).......... 1,363,725 840,000 Adelphia Communications, 10.25%, 06/15/11(h).......... 758,100 305,000 Adelphia Communications, Series B, 9.25%, 10/01/02(h)(p)........ 263,825 1,575,000 Charter Communications Holdings II, 10.25%, 09/15/10............. 1,600,593 1,975,000 Charter Communications Holdings LLC, 10.25%, 01/15/10............. 1,476,313 900,000 Charter Communications Holdings LLC, 11.13%, 01/15/11............. 677,250 285,000 Charter Communications Holdings LLC, 10.00%, 05/15/11............. 209,475 385,000 Charter Communications Holdings/Charter Capital, 11.75%, 01/15/10............. 304,150 1,740,000 Coleman Cable, Inc. -- 144A, 9.88%, 10/01/12.............. 1,557,299 1,030,000 CSC Holdings, Inc., 10.50%, 05/15/16............. 1,112,400 965,000 CSC Holdings, Inc. -- 144A, 6.75%, 04/15/12.............. 911,925 195,000 CSC Holdings, Inc., Series B, 7.63%, 04/01/11.............. 193,538 570,000 Fisher Communications, Inc., 8.63%, 09/15/14.............. 607,763 4,625,000 Insight Communications Company, Inc., zero coupon, 02/15/11(g)..... 4,659,687 2,040,000 Kabel Deutschland GMBH -- 144A (Germany), 10.63%, 07/01/14............. 2,223,599
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 570,000 LBI Media, Inc., zero coupon, 10/15/13(g)..... $ 425,363 1,655,000 Nexstar Financial Holdings LLC, Inc., zero coupon, 04/01/13(g)..... 1,251,594 835,000 Nextmedia Operating, Inc., 10.75%, 07/01/11............. 911,194 1,300,000 ONO Finance PLC (United Kingdom), 14.00%, 02/15/11............. 1,465,750 430,000 ONO Finance PLC (United Kingdom), 14.00%, 02/15/11(j)(q)....... 578,194 465,000 Paxson Communications Corp., 10.75%, 07/15/08............. 460,350 190,000 Paxson Communications Corp., zero coupon, 01/15/09(g)..... 178,600 ------------ 23,190,687 ------------ BUSINESS SERVICES AND SUPPLIES -- 1.0% 1,500,000 Affinity Group, Inc., 9.00%, 02/15/12.............. 1,526,250 2,010,000 Quintiles Transnational Corp., 10.00%, 10/01/13............. 2,211,000 ------------ 3,737,250 ------------ CHEMICALS -- 5.2% 260,000 Acetex Corp. (Canada), 10.88%, 08/01/09............. 274,300 87,000 Avecia Group PLC (United Kingdom), 11.00%, 07/01/09............. 89,066 655,000 Equistar Chemical/Funding, 10.63%, 05/01/11............. 726,231 720,000 Hercules, Inc., 11.13%, 11/15/07............. 816,300 1,086,000 Huntsman LLC, 11.63%, 10/15/10............. 1,277,408 760,000 IMC Global, Inc., 10.88%, 08/01/13............. 894,900 1,675,000 IMC Global, Inc., Series B, 11.25%, 06/01/11............. 1,859,250 220,000 Innophos, Inc. -- 144A, 8.88%, 08/15/14.............. 225,500 320,000 Lyondell Chemical Company, 11.13%, 07/15/12............. 364,800 1,301,000 Lyondell Chemical Company, 10.50%, 06/01/13............. 1,494,524 2,408,000 Nalco Company, 8.88%, 11/15/13.............. 2,594,619
See notes to financial statements. 148 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CHEMICALS (CONTINUED) $ 2,900,000 OM Group, Inc., 9.25%, 12/15/11.............. $ 2,914,499 765,000 PolyOne Corp., 10.63%, 05/15/10............. 812,813 105,000 PolyOne Corp., 8.88%, 05/01/12.............. 104,213 135,000 Polypore, Inc., 8.75%, 05/15/12.............. 126,900 380,000 PQ Corp. -- 144A, 7.50%, 02/15/13.............. 375,250 1,535,000 Rhodia SA (France), 10.25%, 06/01/10............. 1,653,963 1,575,000 Rockwood Specialties Corp., 10.63%, 05/15/11............. 1,744,313 1,455,000 UAP Holding Corp., zero coupon, 07/15/12(g)..... 1,200,375 ------------ 19,549,224 ------------ COMPUTER SOFTWARE AND SERVICES -- 0.2% 560,000 Danka Business Systems (United Kingdom), 11.00%, 06/15/10............. 450,800 190,000 Stratus Technologies, Inc., 10.38%, 12/01/08............. 185,250 ------------ 636,050 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 1,800,000 Interface, Inc., 10.38%, 02/01/10............. 1,989,000 170,000 Interface, Inc., 9.50%, 02/01/14.............. 174,250 ------------ 2,163,250 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.3% 1,590,000 Dayton Superior Corp., 10.75%, 09/15/08............. 1,661,550 1,470,000 Nortek, Inc., 8.50%, 09/01/14.............. 1,374,450 815,000 Ply Gem Industries, Inc., 9.00%, 02/15/12.............. 692,750 1,100,000 RMCC Acquisition Company -- 144A, 9.50%, 11/01/12.............. 1,056,000 155,000 Texas Industries, Inc. -- 144A, 7.25%, 07/15/13.............. 159,650 ------------ 4,944,400 ------------ CONSUMER GOODS AND SERVICES -- 0.7% 595,000 Del Laboratories, Inc., 8.00%, 02/01/12.............. 514,675
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) $ 695,000 Fedders North America, 9.88%, 03/01/14.............. $ 455,225 295,000 Jostens Holding Corp., zero coupon, 12/01/13(g)..... 209,450 1,280,000 Spectrum Brands, Inc. -- 144A, 7.38%, 02/01/15.............. 1,244,800 303,000 WH Holdings, Ltd. (Cayman Islands)/WH Capital Corp., 9.50%, 04/01/11.............. 325,725 ------------ 2,749,875 ------------ CONTAINERS AND PACKAGING -- 2.6% 365,000 Crown European Holdings SA (France), 9.50%, 03/01/11.............. 405,150 1,990,000 Crown European Holdings SA (France), 10.88%, 03/01/13............. 2,348,200 995,000 Intertape Polymer US, Inc., 8.50%, 08/01/14.............. 990,986 300,000 Kappa Beheer BV (The Netherlands), 10.63%, 07/15/09............. 310,500 1,215,000 Pliant Corp., 11.13%, 09/01/09............. 1,190,700 999,905 Pliant Corp. -- 144A, 11.63%, 06/15/09(o).......... 1,074,898 870,000 Smurfit-Stone Container Corp., 9.25%, 02/01/08.............. 913,500 960,000 Solo Cup Company, 8.50%, 02/15/14.............. 902,400 1,250,000 Stone Container Finance Company of Canada (Canada), 7.38%, 07/15/14.............. 1,181,250 235,000 US Can Corp., 10.88%, 07/15/10............. 246,163 ------------ 9,563,747 ------------ DISTRIBUTION -- 0.3% 916,000 Jafra Cosmetics International, 10.75%, 05/15/11............. 1,030,500 ------------ EDUCATION -- 0.2% 740,000 Knowledge Learning Center -- 144A, 7.75%, 02/01/15.............. 710,400 ------------ ELECTRONICS -- 0.1% 550,000 Muzak LLC, 10.00%, 02/15/09............. 459,250 ------------
See notes to financial statements. 149 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.5% $ 625,000 Aleris International, Inc., 10.38%, 10/15/10............. $ 689,063 651,000 Aleris International, Inc., 9.00%, 11/15/14.............. 677,040 2,630,000 Allied Waste North America, Inc., Series B, 8.88%, 04/01/08.............. 2,774,650 1,555,000 Waste Services, Inc. -- 144A (Canada), 9.50%, 04/15/14.............. 1,547,225 ------------ 5,687,978 ------------ EQUIPMENT RENTAL AND LEASING -- 1.1% 1,100,000 Neff Rental, Inc./ Neff Finance -- 144A, 11.25%, 06/15/12............. 1,100,000 1,425,000 The Greenbrier Companies, Inc. -- 144A, 8.38%, 05/15/15.............. 1,457,062 235,000 United Rentals North America, Inc., 6.50%, 02/15/12.............. 232,356 365,000 United Rentals North America, Inc., 7.75%, 11/15/13.............. 360,438 1,065,000 United Rentals North America, Inc., 7.00%, 02/15/14.............. 1,019,738 ------------ 4,169,594 ------------ FINANCIAL SERVICES -- 5.4% 600,000 Alamosa Delaware, Inc., zero coupon, 07/31/09(g)..... 664,500 2,050,000 Alamosa Delaware, Inc., 11.00%, 07/31/10............. 2,308,813 1,335,000 BCP US Crystal Holdings Corp., 9.63%, 06/15/14.............. 1,501,875 385,000 Dana Credit Corp. -- 144A, 8.38%, 08/15/07.............. 394,387 1,400,000 E*TRADE Financial Corp., 8.00%, 06/15/11.............. 1,480,500 4,555,000 Ford Motor Credit Company, 7.88%, 06/15/10.............. 4,505,787 200,000 General Motors Acceptance Corp., 6.13%, 09/15/06.............. 200,200 1,900,000 General Motors Acceptance Corp., 7.25%, 03/02/11.............. 1,783,587 1,540,000 General Motors Acceptance Corp., 7.00%, 02/01/12.............. 1,421,414
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 2,300,000 Masonite International Corp. (Bridge Loan), 9.38%, 10/06/06.............. $ 2,300,000 2,735,000 REFCO Finance Holdings, 9.00%, 08/01/12.............. 2,912,774 620,000 Residential Capital Corp. -- 144A, 6.88%, 06/30/15.............. 634,793 ------------ 20,108,630 ------------ FOOD AND BEVERAGE -- 1.5% 1,280,000 American Seafood Group LLC, 10.13%, 04/15/10............. 1,372,800 1,550,000 ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11(g)..... 1,119,875 1,415,000 Pierre Foods, Inc., 9.88%, 07/15/12.............. 1,468,063 1,355,000 Pinnacle Foods Holding Corp., 8.25%, 12/01/13.............. 1,219,500 357,000 United Agriculture Products, 8.25%, 12/15/11.............. 371,280 ------------ 5,551,518 ------------ FUNERAL SERVICES -- 0.3% 1,090,000 Service Corp. International -- 144A, 7.00%, 06/15/17.............. 1,125,425 ------------ LEISURE AND RECREATION -- 5.3% 1,415,000 AMC Entertainment, Inc., 9.88%, 02/01/12.............. 1,411,463 215,000 Hollywood Casino Shreveport, 13.00%, 08/01/06(h).......... 176,300 2,100,000 Inn of The Mountain Gods, 12.00%, 11/15/10............. 2,435,999 2,155,000 LCE Acquisition Corp. -- 144A, 9.00%, 08/01/14.............. 2,095,738 1,460,000 Majestic Star Casino LLC, 9.50%, 10/15/10.............. 1,511,100 460,000 Mohegan Tribal Gaming Authority, 8.00%, 04/01/12.............. 494,500 1,070,000 OED Corp./Diamond JO, 8.75%, 04/15/12.............. 1,003,125 120,000 Premier Entertainment LLC (Biloxi) Financial, 10.75%, 02/01/12............. 117,000 250,000 Resort International Hotel/Casino (Loan Participation), 8.81%, 03/22/13.............. 250,781
See notes to financial statements. 150 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION (CONTINUED) $ 565,000 Seneca Gaming Corp., 7.25%, 05/01/12.............. $ 586,894 930,000 Seneca Gaming Corp. -- 144A, 7.25%, 05/01/12.............. 966,038 500,000 Station Casinos, Inc. -- 144A, 6.88%, 03/01/16.............. 516,250 2,560,000 Trump Entertainment Resorts, Inc., 8.50%, 06/01/15.............. 2,511,999 1,807,000 Waterford Gaming LLC -- 144A, 8.63%, 09/15/12.............. 1,919,938 3,930,000 Wynn Las Vegas LLC/Capital Corp. -- 144A, 6.63%, 12/01/14.............. 3,841,574 ------------ 19,838,699 ------------ MACHINERY -- 0.9% 620,000 Flowserve Corp., 12.25%, 08/15/10............. 672,700 745,000 Terex Corp., Series B, 10.38%, 04/01/11............. 812,050 305,000 The Manitowoc Company, Inc., 10.50%, 08/01/12............. 346,175 1,570,000 Thermadyne Holdings Corp., 9.25%, 02/01/14.............. 1,460,100 ------------ 3,291,025 ------------ MANUFACTURING -- 2.0% 455,000 Aearo Company I, 8.25%, 04/15/12.............. 457,275 800,000 Amsted Industries, Inc. -- 144A, 10.25%, 10/15/11............. 868,000 3,585,000 Dresser, Inc., 9.38%, 04/15/11.............. 3,791,137 515,000 Goodman Global Holding Company -- 144A, Floating Rate, 6.41%, 06/15/12(n)........... 509,850 15,000 Koppers, Inc., 9.88%, 10/15/13.............. 16,275 720,000 MAAX Corp. (Canada), 9.75%, 06/15/12.............. 639,000 1,035,000 Samsonite Corp., 8.88%, 06/01/11.............. 1,104,863 720,000 Venture Holdings Trust, Series B, 9.50%, 02/01/06(h)........... 3,600 ------------ 7,390,000 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 2.1% 1,250,000 Ardent Health Services, 10.00%, 08/15/13............. 1,517,188
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES (CONTINUED) $ 270,000 Concentra Operating Corp., 9.50%, 08/15/10.............. $ 288,900 220,000 Concentra Operating Corp., 9.13%, 06/01/12.............. 234,300 700,000 HEALTHSOUTH Corp., 8.38%, 10/01/11.............. 698,250 985,000 HEALTHSOUTH Corp., 7.63%, 06/01/12.............. 960,375 800,000 National Mentor, Inc. -- 144A, 9.63%, 12/01/12.............. 846,000 315,000 Psychiatric Solutions, Inc. -- 144A, 7.75%, 07/15/15.............. 317,756 1,570,000 US Oncology, Inc., 9.00%, 08/15/12.............. 1,687,750 1,345,000 US Oncology, Inc., 10.75%, 08/15/14............. 1,472,775 ------------ 8,023,294 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 1.6% 1,345,000 CDRV Investors, Inc. -- 144A, zero coupon, 01/01/15(g)..... 665,775 870,000 Inverness Medical Innovations, 8.75%, 02/15/12.............. 867,825 710,000 Medical Device Manufacturing, Inc., Series B, 10.00%, 07/15/12............. 766,800 1,375,000 Medquest, Inc., Series B, 11.88%, 08/15/12............. 1,306,250 1,085,000 Norcross Safety Products LLC -- Series B, 9.88%, 08/15/11.............. 1,139,250 175,000 Rotech Healthcare, Inc., 9.50%, 04/01/12.............. 188,125 350,000 Safety Products Holdings -- 144A, 11.75%, 01/01/12(o).......... 335,125 885,000 VWR International, Inc., 8.00%, 04/15/14.............. 847,388 ------------ 6,116,538 ------------ METALS AND MINING -- 1.7% 630,000 Chaparral Steel Company -- 144A, 10.00%, 07/15/13............. 636,300 1,349,000 Ispat Inland ULC, 9.75%, 04/01/14.............. 1,578,330 1,635,000 Mueller Group, Inc., 10.00%, 05/01/12............. 1,724,924 1,240,000 Mueller Holdings (NA), Inc., zero coupon, 04/15/14(g)..... 911,400
See notes to financial statements. 151 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) METALS AND MINING (CONTINUED) $ 1,130,000 Novelis, Inc. -- 144A (Canada), 7.25%, 02/15/15.............. $ 1,139,888 375,000 Oregon Steel Mills, Inc., 10.00%, 07/15/09............. 405,938 ------------ 6,396,780 ------------ OIL AND GAS: PIPELINES -- 2.2% 365,000 ANR Pipeline Company, 8.88%, 03/15/10.............. 402,204 1,285,000 Dynegy Holdings, Inc., 7.63%, 10/15/26.............. 1,230,388 675,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13............. 766,125 105,000 El Paso CGP Company, 7.50%, 08/15/06.............. 107,888 740,000 El Paso CGP Company, 9.63%, 05/15/12.............. 814,000 775,000 El Paso Corp. -- 144A, 7.63%, 08/16/07.............. 798,250 485,000 El Paso Corp., Series MTN, 6.95%, 12/15/07.............. 492,881 380,000 Northwest Pipeline Corp., 8.13%, 03/01/10.............. 414,200 275,000 Southern Natural Gas Company, 8.88%, 03/15/10.............. 303,030 2,510,000 TransMontaigne, Inc., 9.13%, 06/01/10.............. 2,622,949 375,000 Williams Companies, Inc., 8.75%, 03/15/32.............. 452,344 ------------ 8,404,259 ------------ OIL, COAL AND GAS -- 3.0% 415,000 Alpha Natural Resources -- 144A, 10.00%, 06/01/12............. 460,650 160,000 El Paso Production Holding Company, 7.75%, 06/01/13.............. 171,600 695,000 Giant Industries, Inc., 8.00%, 05/15/14.............. 728,013 2,485,000 Hanover Compressor Company, zero coupon, 03/31/07(g)..... 2,199,224 580,000 Hanover Equipment Trust, Series B, 8.75%, 09/01/11.............. 619,150 390,000 Ocean Rig Norway AS -- 144A (Norway), 8.38%, 07/01/13.............. 396,825 525,000 Parker Drilling Company, 9.63%, 10/01/13.............. 594,563
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 1,125,000 Petrobras International Finance (Cayman Islands), 9.13%, 07/02/13.............. $ 1,285,313 175,000 Petrobras International Finance (Cayman Islands), 7.75%, 09/15/14.............. 184,625 1,470,700 Port Arthur Finance Corp., 12.50%, 01/15/09............. 1,669,244 295,000 Premcor Refining Group, 7.75%, 02/01/12.............. 323,763 440,000 Ram Energy, Inc., 11.50%, 02/15/08............. 464,200 290,000 Titan Petrochemicals -- 144A (Bermuda), 8.50%, 03/18/12.............. 265,350 1,255,000 United Refining Company, 10.50%, 08/15/12............. 1,295,787 360,000 United Refining Company -- 144A, 10.50%, 08/15/12............. 371,700 ------------ 11,030,007 ------------ PAPER AND FOREST PRODUCTS -- 2.8% 70,000 Boise Cascade LLC -- 144A, Floating Rate, 6.02%, 10/15/12(b)........... 71,050 170,000 Caraustar Industries, Inc., 7.38%, 06/01/09.............. 170,000 2,225,000 Caraustar Industries, Inc., 9.88%, 04/01/11.............. 2,252,813 1,185,000 Georgia-Pacific Corp., 9.50%, 12/01/11.............. 1,436,813 1,385,000 Georgia-Pacific Corp., 9.38%, 02/01/13.............. 1,573,706 1,545,000 Mercer International, Inc., 9.25%, 02/15/13.............. 1,243,725 790,000 Newark Group, Inc., 9.75%, 03/15/14.............. 730,750 2,620,000 Newpage Corp. -- 144A, 10.00%, 05/01/12............. 2,639,649 375,000 Norske Skog Ltd., Series D, (Canada), 8.63%, 06/15/11.............. 388,594 ------------ 10,507,100 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.2% 890,000 Warner Chilcott Corp. -- 144A, 8.75%, 02/01/15.............. 869,975 ------------
See notes to financial statements. 152 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRINTING AND PUBLISHING -- 4.1% $ 515,000 American Media Operations, Inc., 8.88%, 01/15/11.............. $ 490,538 3,910,000 American Media Operations, Inc., Series B, 10.25%, 05/01/09............. 3,929,549 1,195,000 CanWest Media, Inc. (Canada), 10.63%, 05/15/11............. 1,310,019 2,281,634 CanWest Media, Inc. (Canada), 8.00%, 09/15/12.............. 2,412,828 410,000 CBD Media LLC/CBD Finance, Inc., 8.63%, 06/01/11.............. 424,350 1,241,000 Dex Media West Finance Company, Series B, 9.88%, 08/15/13.............. 1,420,945 1,850,000 Houghton Mifflin Company, 8.25%, 02/01/11.............. 1,928,625 1,680,000 Houghton Mifflin Company, 9.88%, 02/01/13.............. 1,801,800 500,000 Houghton Mifflin Company, zero coupon, 10/15/13(g)..... 367,500 101,310 Merrill Corp., Series A, Variable Rate, 12.00%, 05/01/09(a).......... 108,402 185,000 Merrill Corp., Series B, Variable Rate, 12.00%, 05/01/09(a).......... 197,950 1,000,000 Primedia, Inc., Floating Rate, 8.64%, 05/15/10(b)........... 1,050,000 ------------ 15,442,506 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.4% 130,000 CB Richard Ellis Services, Inc., 9.75%, 05/15/10.............. 144,950 500,000 CB Richard Ellis Services, Inc., 11.25%, 06/15/11............. 557,500 830,000 HydroChem Industrial Services, Inc. -- 144A, 9.25%, 02/15/13.............. 771,900 ------------ 1,474,350 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.7% 350,000 FelCor Lodging LP, Floating Rate, 7.78%, 06/01/11(n)........... 362,250 150,000 Host Marriott LP -- 144A, 6.38%, 03/15/15.............. 149,250 1,605,000 MeriStar Hospitality Operating Partnership LP/ MeriStar Hospitality Finance Corp., 10.50%, 06/15/09............. 1,725,375
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) $ 485,000 Ventas Realty LP/Ventas Capital Corp. -- 144A, 7.13%, 06/01/15.............. $ 506,825 ------------ 2,743,700 ------------ RETAIL -- 0.2% 875,000 Rite Aid Corp., 7.13%, 01/15/07.............. 881,563 ------------ SEMICONDUCTORS -- 1.7% 2,270,000 Advanced Micro Devices, Inc., 7.75%, 11/01/12.............. 2,247,300 705,000 Amkor Technologies, Inc., 7.13%, 03/15/11.............. 613,350 4,065,000 Amkor Technologies, Inc., 7.75%, 05/15/13.............. 3,516,225 ------------ 6,376,875 ------------ SPECIAL PURPOSE ENTITY -- 7.3% 215,000 Altra Industrial Motion, Inc. -- 144A, 9.00%, 12/01/11.............. 204,250 1,170,000 AMR Holding Company/Emcare Holding Company -- 144A, 10.00%, 02/15/15............. 1,251,900 455,000 Aventine Renewable Energy Holdings, Inc. -- 144A, Floating Rate, 9.41%, 12/15/11(b)........... 439,075 535,000 Borden US Finance/Nova Scotia -- 144A, 9.00%, 07/15/14.............. 547,038 892,789 Caithness Coso Funding Corp., Series B, 9.05%, 12/15/09.............. 961,980 1,375,000 Chukchansi Economic Development Authority -- 144A, 14.50%, 06/15/09............. 1,687,813 450,000 CPI Holdco, Inc., Floating Rate, 8.83%, 02/01/15(n)........... 443,464 1,381,000 Crystal US Holdings 3 LLC/ Crystal US Sub 3 Corp. -- Series B, zero coupon, 10/01/14(g)..... 966,700 140,000 Huntsman Advanced Materials, 11.00%, 07/15/10............. 158,900 673,000 Interline Brands, Inc., 11.50%, 05/15/11............. 743,665 665,000 JSG Funding PLC -- 144A (Ireland), 7.75%, 04/01/15.............. 548,625
See notes to financial statements. 153 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) SPECIAL PURPOSE ENTITY (CONTINUED) $ 1,810,000 Marquee Holdings, Inc., zero coupon, 08/15/14(g)..... $ 1,113,150 1,175,000 MDP Acquisitions PLC (Ireland), 9.63%, 10/01/12.............. 1,180,875 1,750,000 Milacron Escrow Corp., 11.50%, 05/15/11............. 1,846,250 1,530,000 NSP Holdings/Cap Corp., 11.75%, 01/01/12(o).......... 1,657,755 1,380,000 Rainbow National Services LLC -- 144A, 8.75%, 09/01/12.............. 1,514,550 2,155,000 Rainbow National Services LLC -- 144A, 10.38%, 09/01/14............. 2,489,024 100,000 Standard Aero Holdings, Inc. -- 144A, 8.25%, 09/01/14.............. 106,000 3,535,000 UGS Corp., 10.00%, 06/01/12............. 3,941,524 2,465,000 Universal City Development Partners, Ltd., 11.75%, 04/01/10............. 2,840,912 275,000 Universal City Florida, 8.38%, 05/01/10.............. 288,063 595,000 Universal City Florida, Floating Rate, 7.96%, 05/01/10(b)........... 620,288 1,530,000 Vanguard Health Holding Company II, 9.00%, 10/01/14.............. 1,660,050 ------------ 27,211,851 ------------ SPORTING GOODS AND EQUIPMENT -- 0.0% 185,000 True Temper Sports, Inc., 8.38%, 09/15/11.............. 172,513 ------------ SYNDICATED BANK LOANS -- 0.1% 500,000 Mirant Corp., 8.63%, 07/17/49(h)........... 378,750 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 11.2% 345,000 Airgate PCS, Inc., Floating Rate, 6.89%, 10/15/11(b)........... 354,488 65,000 American Tower Corp., 9.38%, 02/01/09.............. 68,494 2,995,000 Centennial Cellular/ Communications, 10.13%, 06/15/13............. 3,399,324 585,000 General Cable Corp., 9.50%, 11/15/10.............. 628,875
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 1,310,000 Inmarsat Finance PLC (United Kingdom), 7.63%, 06/30/12.............. $ 1,388,600 2,620,000 Intelsat Bermuda, Ltd. (Bermuda), 5.25%, 11/01/08.............. 2,462,800 2,620,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), 8.25%, 01/15/13.............. 2,718,249 1,825,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), Floating Rate, 7.81%, 01/15/12(n)........... 1,866,063 765,000 IWO Escrow Company -- 144A, zero coupon, 01/15/15(g)..... 504,900 185,000 IWO Escrow Company -- 144A, Floating Rate, 6.89%, 01/15/12(b)........... 184,538 1,000,000 IWO Holdings, Inc., 14.00%, 01/15/11(h).......... -- 3,145,000 LCI International, Inc., 7.25%, 06/15/07.............. 3,066,374 1,395,000 New Skies Satellites NV -- 144A (The Netherlands), 9.13%, 11/01/12.............. 1,391,513 645,000 New Skies Satellites NV -- 144A (The Netherlands), Floating Rate, 8.54%, 11/01/11(n)........... 661,125 3,095,000 Nortel Networks Corp. (Canada), 4.25%, 09/01/08.............. 2,901,562 485,000 NTL Cable PLC, (United Kingdom), 8.75%, 04/15/14.............. 507,431 848,000 PanAmSat Corp., 9.00%, 08/15/14.............. 929,620 1,780,000 Qwest Capital Funding, Inc., 7.75%, 08/15/06.............. 1,828,950 670,000 Qwest Capital Funding, Inc., 6.38%, 07/15/08.............. 658,275 290,000 Qwest Capital Funding, Inc., 7.00%, 08/03/09.............. 284,925 540,000 Qwest Capital Funding, Inc., 7.90%, 08/15/10.............. 540,000 460,000 Qwest Communications International, 7.25%, 02/15/11.............. 447,350 2,405,000 Qwest Communications International -- 144A, 7.50%, 02/15/14.............. 2,287,756
See notes to financial statements. 154 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 1,035,000 Qwest Corp., 7.88%, 09/01/11.............. $ 1,084,163 110,000 Qwest Corp., 7.20%, 11/10/26.............. 99,550 470,000 Qwest Corp. -- 144A, 7.63%, 06/15/15.............. 482,338 1,075,000 Qwest Services Corp., 13.50%, 12/15/10............. 1,247,000 580,000 Rogers Wireless, Inc. (Canada), 8.00%, 12/15/12.............. 627,850 2,260,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15.............. 2,469,050 1,065,000 Rogers Wireless, Inc. (Canada), Floating Rate, 6.54%, 12/15/10(b)........... 1,115,588 60,000 SBA Telecommunications, Inc., zero coupon, 12/15/11(g)..... 55,500 450,000 Telemig Celular Participacoes SA/Amazonia Cel -- 144A (Brazil), 8.75%, 01/20/09.............. 472,500 1,590,000 Ubiquitel Operating Company, 9.88%, 03/01/11.............. 1,752,975 2,460,000 Western Wireless Corp., 9.25%, 07/15/13.............. 2,813,624 ------------ 41,301,350 ------------ TRANSPORTATION -- 1.6% 765,000 H-Lines Finance Holding -- 144A, zero coupon, 04/01/13(g)..... 592,875 1,620,000 Horizon Lines LLC -- 144A, 9.00%, 11/01/12.............. 1,705,050 285,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13.............. 285,356 560,000 Progress Rail/Metal -- 144A, 7.75%, 04/01/12.............. 569,800 220,000 Quality Distribution LLC/QD Capital Corp., 9.00%, 11/15/10.............. 203,500 610,000 Quality Distribution LLC/QD Capital Corp. -- 144A, Floating Rate, 7.64%, 01/15/12(b)........... 594,750 385,000 TFM, SA de CV (Mexico), 12.50%, 06/15/12............. 452,375
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TRANSPORTATION (CONTINUED) $ 1,535,000 TFM, SA de CV -- 144A (Mexico), 9.38%, 05/01/12.............. $ 1,604,075 ------------ 6,007,781 ------------ UTILITIES -- 0.9% 675,000 National Waterworks, Inc., Series B, 10.50%, 12/01/12............. 762,750 2,015,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 2,423,038 ------------ 3,185,788 ------------ UTILITIES: ELECTRIC -- 3.5% 553,000 AES Corp., 9.38%, 09/15/10.............. 629,038 400,000 AES Corp. -- 144A, 8.75%, 05/15/13.............. 449,000 310,000 AES Corp. -- 144A, 9.00%, 05/15/15.............. 349,525 491,412 AES Eastern Energy, Series 99-A, 9.00%, 01/02/17.............. 570,345 1,650,000 Calpine Corp., 8.25%, 08/15/05.............. 1,647,937 295,000 Calpine Corp., 7.63%, 04/15/06.............. 278,038 125,000 Calpine Corp., 8.75%, 07/15/07.............. 98,125 1,130,000 Calpine Corp. -- 144A, 8.75%, 07/15/13.............. 841,850 1,305,000 Inergy LP/Inergy Finance Corp. -- 144A, 6.88%, 12/15/14.............. 1,275,638 2,750,000 Mission Energy Holding Company, 13.50%, 07/15/08............. 3,279,374 750,000 Nevada Power Company, 9.00%, 08/15/13.............. 847,500 845,000 NRG Energy, Inc. -- 144A, 8.00%, 12/15/13.............. 895,700 255,000 Reliant Energy, Inc., 9.25%, 07/15/10.............. 279,225 915,000 Reliant Energy, Inc., 9.50%, 07/15/13.............. 1,020,225 625,000 Reliant Energy, Inc., 6.75%, 12/15/14.............. 614,063 ------------ 13,075,583 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $333,912,400).......... 339,563,433 ------------
See notes to financial statements. 155 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 1.4% BROADCAST SERVICES/MEDIA -- 0.3% 54,651 Telewest Global, Inc. (United Kingdom)*............ $ 1,244,950 ------------ FINANCIAL SERVICES -- 0.0% 1,745,000 Trump Atlantic City(q)......... 62,528 ------------ LEISURE AND RECREATION -- 0.4% 109,445 Trump Entertainment Resorts, Inc.*........................ 1,488,457 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.7% 11,585 Crown Castle International Corp.*....................... 235,407 31,250 IWO Holdings, Inc.*............ 1,117,188 16,540 NTL, Inc.*..................... 1,131,666 ------------ 2,484,261 ------------ TOTAL COMMON STOCKS (Cost $4,274,737)............ 5,280,196 ------------ CONVERTIBLE PREFERRED STOCKS -- 0.9% OIL AND GAS: PIPELINES -- 0.3% 11,465 Williams Companies, Inc. -- 144A, 5.50%.......... 1,043,315 ------------ OIL, COAL AND GAS -- 0.1% 2,400 Chesapeake Energy Corp., 5.00%........................ 349,800 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.4% 38,375 Crown Castle International Corp., 6.25%................. 1,842,000 ------------ UTILITIES: ELECTRIC -- 0.1% 245 NRG Energy, Inc. -- 144A, 4.00%........................ 268,489 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $2,797,993)............ 3,503,604 ------------ WARRANTS -- 0.2% 1,125 American Tower Corp., Expires 08/01/08*.................... 332,843 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*.................... 262,500 84 New World Coffee, Expires 06/20/06*(q)................. 1 1,000 ONO Finance PLC, (United Kingdom), Expires 03/16/11*(q)................. --
SHARES VALUE ------ ------------ WARRANTS (CONTINUED) 250 UbiquiTel, Inc. -- 144A, Expires 04/15/10*(q)......... $ -- ------------ TOTAL WARRANTS (Cost $75,402)............... 595,344 ------------ PRINCIPAL --------- CONVERTIBLE BONDS -- 0.3% LEISURE AND RECREATION -- 0.2% $ 645,000 Kerzner International -- 144A (Bahama Islands), 2.38%, 04/15/24.............. 727,238 ------------ SEMICONDUCTORS -- 0.1% 440,000 Amkor Technologies, Inc., 5.75%, 06/01/06.............. 415,800 ------------ TOTAL CONVERTIBLE BONDS (Cost $1,077,110)............ 1,143,038 ------------ TOTAL SECURITIES (Cost $342,137,642).......... 350,085,615 ------------ REPURCHASE AGREEMENT -- 6.7% 25,098,512 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $25,100,331 (Collateralized by Fannie Mae 4.43%, due 02/01/34 with value of $21,000,000 and Small Business Administration, 6.38%, due 10/25/14 with a value of $5,353,437) (Cost $25,098,512)................. 25,098,512 ------------ Total Investments -- 100.4% (Cost $367,236,154).......... 375,184,127 Liabilities less other assets -- (0.4)%............. (1,608,583) ------------ NET ASSETS -- 100.0%........... $373,575,544 ============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $367,236,154. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............. $14,202,696 Gross unrealized depreciation............. (6,254,723) ----------- Net unrealized appreciation............... $ 7,947,973 ===========
--------------- See summary of footnotes and abbreviations to portfolios. See notes to financial statements. 156 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS JUNE 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS -- 97.7% ADVERTISING -- 0.2% 90,293 Publicis Groupe*(d) $ 2,669,419 FRA -------------- AEROSPACE AND DEFENSE -- 1.2% 1,565,500 Bae Systems PLC...... 8,050,081 BRI 275,458 European Aeronautic Defense and Space Company*(d)........ 8,783,654 NET -------------- 16,833,735 -------------- AGRICULTURE -- 0.3% 11,951,000 Chaoda Modern Agriculture (Holdings), Ltd. .............. 4,729,034 CAY -------------- AIRLINES -- 0.8% 344,219 British Airways PLC*............... 1,625,102 BRI 1,710,200 Qantas Airways, Ltd. .............. 4,387,080 AUS 125,500 Ryanair Holdings PLC (ADR)*(d).......... 5,627,421 IRE -------------- 11,639,603 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.8% 53,985 Adidas-Salomon AG.... 9,048,851 GER 242,300 Benetton Group SpA... 2,235,798 ITA -------------- 11,284,649 -------------- AUTOMOBILES/MOTOR VEHICLES -- 3.1% 147,200 DaimlerChrysler AG*.. 5,981,742 GER 117,200 Honda Motor Company, Ltd. .............. 5,780,218 JPN 1,122,800 Nissan Motor Company, Ltd. .............. 11,115,629 JPN 608,200 Toyota Motor Corp.... 21,770,391 JPN -------------- 44,647,980 -------------- AUTOMOTIVE EQUIPMENT -- 1.4% 252,900 Aisin Seiki Company, Ltd. .............. 5,483,947 JPN 127,500 Alpine Electronics, Inc.(d)............ 1,857,722 JPN 10,200 Georg Fischer AG*(d)............. 3,120,094 SWI 1,128,000 GKN PLC.............. 5,214,277 BRI 113,276 Valeo SA*(d)......... 5,085,703 FRA -------------- 20,761,743 -------------- BANKS -- 20.7% 589,000 ABN AMRO Holding NV*................ 14,505,039 NET 69,300 Allied Irish Banks PLC................ 1,484,382 IRE 241,200 Allied Irish Banks PLC*............... 5,186,853 IRE 818,357 Banco Bilbao Vizcaya Argentaria SA...... 12,636,671 SPA
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 709,400 Banco Comercial Portugues SA -- Class R*........... $ 1,819,978 POR 403,900 Banco Santander Central Hispano SA................. 4,687,396 SPA 2,176,600 Barclays PLC......... 21,663,467 BRI 301,731 Bayerische Hypo- und Vereinsbank AG (HVB Group)*............ 7,854,156 GER 222,100 BNP Paribas SA(d).... 15,239,504 FRA 183,200 Canadian Imperial Bank of Commerce... 11,332,622 CDA 204,100 Commonwealth Bank of Australia.......... 5,895,947 AUS 475,728 Credit Suisse Group*............. 18,765,549 SWI 169,200 Danske Bank A/S...... 5,090,716 DEN 19,400 Deutsche Bank AG..... 1,519,191 GER 476,800 Dexia................ 10,507,161 BEL 250,800 DNB NOR ASA.......... 2,619,577 NOR 115,820 EFG Eurobank Ergasias........... 3,574,069 GRC 89,200 ForeningsSparbanken AB*................ 1,958,281 SWE 105,300 Fortis*.............. 2,924,491 BEL 575,000 HBOS PLC............. 8,865,108 BRI 135,700 IKB Deutsche Industriebank AG*.. 3,683,395 GER 1,238,200 Joyo Bank, Ltd. ..... 6,050,892 JPN 132,200 Laurentian Bank of Canada............. 2,919,794 CDA 2,249,000 Lloyds TSB Group PLC................ 19,059,693 BRI 1,118 Mitsubishi Tokyo Financial Group, Inc. .............. 9,485,511 JPN 70,200 National Australia Bank, Ltd.*........ 1,643,699 AUS 194,800 National Bank of Canada............. 8,650,888 CDA 60,100 National Bank of Greece SA.......... 2,042,259 GRC 1,472,300 Nordea Bank AB....... 13,381,376 SWE 327,700 SanPaolo IMI SpA*(d)............ 4,504,992 ITA 153,700 Societe Generale..... 15,651,905 FRA 735,553 Standard Chartered PLC................ 13,442,481 BRI 490,100 Suncorp-Metway, Ltd. .............. 7,502,319 AUS
See notes to financial statements. 157 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 792,000 The Sumitomo Trust and Banking Company, Ltd. ..... $ 4,820,124 JPN 360,950 UBS AG............... 28,166,211 SWI -------------- 299,135,697 -------------- BROADCAST SERVICES/MEDIA -- 3.2% 193,500 Grupo Televisa SA (ADR).............. 12,014,415 MEX 771,076 SES Global (FDR)..... 11,617,314 LUX 883,200 Seven Network, Ltd. .............. 4,672,428 AUS 578,910 Vivendi Universal SA(d).............. 18,256,801 FRA -------------- 46,560,958 -------------- BUSINESS SERVICES AND SUPPLIES -- 1.3% 1,677,379 Capita Group PLC..... 11,059,725 BRI 2,162,700 Marubeni Corp. ...... 7,429,345 JPN -------------- 18,489,070 -------------- CHEMICALS -- 1.2% 45,100 Akzo Nobel NV........ 1,778,144 NET 17,700 Ciba Specialty Chemicals AG....... 1,031,752 SWI 48,906 KS AG................ 2,709,425 GER 264,800 Methanex Corp. ...... 4,339,850 CDA 2,205,600 Mitsubishi Chemical Corp. ............. 6,463,078 JPN 257,500 Sumitomo Bakelite Company, Ltd. ..... 1,666,982 JPN -------------- 17,989,231 -------------- COMPUTER SOFTWARE AND SERVICES -- 1.6% 178,086 Dassault Systemes SA*(d)............. 8,631,206 FRA 64,883 SAP AG (System, Anwendungen, Produkte in der Datenverarbeitung)*.. 11,307,402 GER 148,824 TomTom NV*........... 3,267,002 NET -------------- 23,205,610 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.1% 7,450 Creative Technology, Ltd. .............. 49,052 SIN 2,043,000 TPV Technology, Ltd. .............. 1,419,663 HNG -------------- 1,468,715 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 2.2% 353,700 Barratt Developments PLC................ 4,540,635 BRI 159,300 Compagnie de Saint- Gobain............. 8,846,531 FRA 644,700 George Wimpey PLC.... 5,070,928 BRI 43,500 Lafarge SA*.......... 3,966,539 FRA
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) 91,000 Maeda Road Construction Company, Ltd. ..... $ 649,004 JPN 2,189,400 Pilkington PLC....... 4,697,491 BRI 211,200 The Berkeley Group Holdings PLC....... 3,462,424 BRI -------------- 31,233,552 -------------- CONSUMER GOODS AND SERVICES -- 2.4% 201,048 Imperial Tobacco Group PLC.......... 5,414,072 BRI 711 Japan Tobacco, Inc. .............. 9,487,694 JPN 35,493 LVMH Moet Hennessy Louis Vuitton SA*................ 2,744,623 FRA 163,672 Reckitt Benckiser PLC*............... 4,823,981 BRI 19,886 Swatch Group AG -- Class B............ 2,793,195 SWI 319,551 Swatch Group AG*..... 9,138,934 SWI -------------- 34,402,499 -------------- DISTRIBUTION -- 0.8% 1,593,000 Esprit Holdings, Ltd.*.............. 11,530,852 BER -------------- DIVERSIFIED SERVICES -- 0.9% 189,300 BASF AG.............. 12,599,477 GER -------------- ELECTRONICS -- 4.7% 1,099,000 AU Optronics Corp. (ADR)*(d).......... 18,617,061 TWN 9,543,000 Chi Mei Optoelectroics Corp. ............. 14,853,036 TWN 209,000 Hosiden Corp.(d)..... 2,119,962 JPN 33,900 Keyence Corp. ....... 7,598,539 JPN 253,150 LG Philips LCD Company, Ltd.*..... 11,770,435 KOR 213,000 Matsushita Electric Industrial Company, Ltd. .............. 3,232,161 JPN 427,000 Nippon Electric Glass Company, Ltd. ..... 6,452,547 JPN 810,100 Toshiba Tec Corp. ... 3,593,627 JPN -------------- 68,237,368 -------------- ENGINEERING -- 0.3% 89,871 SNC-Lavalin Group, Inc. .............. 5,031,954 CDA -------------- FINANCIAL SERVICES -- 3.6% 497,100 Alliance & Leicester PLC................ 7,793,224 BRI 800,900 Bradford & Bingley PLC................ 4,699,535 BRI 226,900 Hitachi Capital Corp. ............. 4,490,537 JPN
See notes to financial statements. 158 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 155,500 Irish Life & Permanent PLC...... $ 2,722,940 IRE 315,800 Japan Securities Finance Company, Ltd. .............. 2,013,079 JPN 16,000 Orix Corp. .......... 2,400,505 JPN 96,700 Promise Company, Ltd. .............. 6,199,053 JPN 225,700 Sampo Oyj -- Class A.................. 3,517,925 FIN 38,300 Sanyo Shinpan Finance Company, Ltd. ..... 2,631,377 JPN 119,100 Sun Life Financial, Inc. .............. 4,011,800 CDA 103,500 Takefuji Corp. ...... 6,998,918 JPN 1,522,000 Tokai Tokyo Securities Company, Ltd. .............. 4,583,428 JPN -------------- 52,062,321 -------------- FOOD AND BEVERAGE -- 2.3% 464,700 Asahi Breweries, Ltd. .............. 5,539,026 JPN 42,200 Fraser and Neave, Ltd. .............. 393,001 SIN 17,514 Groupe Danone........ 1,540,845 FRA 1,537,300 Northern Foods PLC... 4,351,921 BRI 64,765 Pernod Ricard(d)..... 10,345,548 FRA 135,288 Royal Numico NV...... 5,415,817 NET 695,700 Tate & Lyle PLC...... 5,945,737 BRI -------------- 33,531,895 -------------- INSURANCE -- 5.6% 1,052,600 Aviva PLC............ 11,730,568 BRI 278,584 AXA.................. 6,968,445 FRA 612,400 Britannic Group PLC.. 5,582,194 BRI 105,800 CNP Assurances....... 6,772,992 FRA 1,939,300 Friends Provident PLC................ 6,323,852 BRI 422,900 ING Groep NV*........ 11,960,121 NET 696,775 Milano Assicurazioni SpA................ 4,342,492 ITA 3,634,200 Old Mutual PLC....... 7,943,903 BRI 358,800 Pohjola Group PLC -- Class D(d)......... 5,210,422 FIN 84,528 Zurich Financial Services AG*....... 14,564,012 SWI -------------- 81,399,001 -------------- LEISURE AND RECREATION -- 1.7% 3,022,985 EMI Group PLC........ 13,757,357 BRI 261,000 NAMCO, Ltd. ......... 3,473,411 JPN 304,500 TUI AG*(d)........... 7,550,374 GER -------------- 24,781,142 --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) MACHINERY -- 1.6% 148,400 MAN AG*(d)........... $ 6,165,196 GER 15,900 Rieter Holding AG.... 4,404,604 SWI 82,500 Saurer AG*........... 5,150,215 SWI 162,400 Stork NV............. 6,731,096 NET -------------- 22,451,111 -------------- MANUFACTURING -- 0.2% 704,000 Kurabo Industries, Ltd. .............. 1,751,907 JPN 496,000 Nippon Paint Company, Ltd. .............. 1,833,559 JPN -------------- 3,585,466 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 0.6% 126,640 Essilor International SA CIE Generale D'Optique.......... 8,658,817 FRA -------------- METALS AND MINING -- 2.0% 1,257,100 BlueScope Steel, Ltd. .............. 7,875,324 AUS 107,600 Companhia Vale do Rio Doce (ADR)......... 3,150,528 BRA 331,500 Rautaruukki Oyj...... 4,954,384 FIN 78,100 Russel Metals, Inc. .............. 882,864 CDA 82,700 Salzgitter AG........ 2,245,782 GER 308,300 Sims Group, Ltd. .... 3,482,621 AUS 396,900 ThyssenKrupp AG...... 6,911,640 GER -------------- 29,503,143 -------------- OIL, COAL AND GAS -- 10.5% 2,182,200 Cosmo Oil Company, Ltd. .............. 9,247,444 JPN 150,700 EnCana Corp. ........ 5,944,606 CDA 1,114,816 Eni SpA(d)........... 28,749,206 ITA 73,700 ERG SpA.............. 1,426,117 ITA 83,300 Fording Canadian Coal Trust.............. 7,626,995 CDA 35,460 Hellenic Petroleum SA................. 379,341 GRC 287,100 Husky Energy, Inc. .............. 11,418,857 CDA 12,100 OMV AG............... 5,271,267 AST 2,114,000 Osaka Gas Company, Ltd. .............. 6,652,114 JPN 250,212 Petro-Canada......... 16,286,653 CDA 287,000 Repsol YPF SA........ 7,349,144 SPA 2,958,700 Shell Transport & Trading Company PLC................ 28,771,734 BRI 722,700 Snam Rete Gas SpA.... 3,869,996 ITA 114,800 Talisman Energy, Inc. .............. 4,300,784 CDA 61,400 Total SA -- Class B.................. 14,437,114 FRA -------------- 151,731,372 --------------
See notes to financial statements. 159 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) PAPER AND FOREST PRODUCTS -- 0.6% 231,000 Billerud(d).......... $ 2,764,838 SWE 660,000 Hokuetsu Paper Mills, Ltd. .............. 3,487,152 JPN 301,800 Norbord, Inc. ....... 2,581,508 CDA -------------- 8,833,498 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 3.4% 163,381 AstraZeneca PLC...... 6,764,984 BRI 158,400 Eisai Company, Ltd. .............. 5,327,130 JPN 173,800 GlaxoSmithKline PLC.. 4,206,980 BRI 122,371 Merck KGaA*.......... 9,754,508 GER 128,029 Roche Holding AG..... 16,204,685 SWI 114,700 Taisho Pharmaceutical Company, Ltd. ..... 2,233,811 JPN 476,000 Tanabe Seiyaku Company, Ltd. ..... 4,592,192 JPN -------------- 49,084,290 -------------- PRINTING AND PUBLISHING -- 0.2% 228,978 CIR SpA.............. 633,168 ITA 126,000 Quebecor World, Inc. .............. 2,468,169 CDA -------------- 3,101,337 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.5% 57,042 Unibail(d)........... 7,324,017 FRA -------------- REGISTERED INVESTMENT COMPANIES -- 0.6% 3,274,622 Macquarie Airports... 8,923,659 AUS -------------- RETAIL -- 1.9% 2,974,038 Carphone Warehouse PLC................ 9,817,916 BRI 1,912,500 Dixons Group PLC..... 5,379,803 BRI 168,300 Hudson's Bay Company............ 2,061,854 CDA 590,900 JJB Sports PLC....... 1,900,394 BRI 334,610 Kesa Electricals PLC................ 1,675,660 BRI 196,900 RONA, Inc.*.......... 3,966,285 CDA 10,300 Valora Holding AG*... 2,332,872 SWI -------------- 27,134,784 -------------- RETAIL: SUPERMARKETS -- 2.0% 110,592 Carrefour SA......... 5,366,700 FRA 1,090,862 J Sainsbury PLC...... 5,575,204 BRI 2,110,517 Koninklijke Ahold NV*................ 17,367,486 NET -------------- 28,309,390 -------------- RUBBER PRODUCTS -- 0.2% 150,000 Bridgestone Corp. ... 2,887,476 JPN --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS -- 0.5% 793,485 Taiwan Semiconductor Manufacturing Company, Ltd. (ADR).............. $ 7,236,583 TWN -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 5.7% 3,290,400 BT Group PLC......... 13,559,442 BRI 159,600 Elcoteq Network Corp. -- Class A(d)............... 3,136,593 FIN 149,685 France Telecom SA*(d)............. 4,376,374 FRA 1,765,000 MobileOne, Ltd.*..... 2,282,350 SIN 3,500 Nippon Telegraph and Telephone Corp. ... 14,989,632 JPN 747,300 Nokia Oyj (ADR)...... 12,435,072 FIN 81,600 Research In Motion, Ltd.*.............. 6,018,000 CDA 20,800 Swisscom AG(d)....... 6,784,549 SWI 96,700 TDC A/S.............. 4,146,204 DEN 3,037,000 Telefonaktiebolaget LM Ericsson -- Class B............ 9,758,085 SWE 2,073,280 Vodafone Group PLC... 5,051,986 BRI -------------- 82,538,287 -------------- TOOLS -- 0.3% 418,000 Hitachi Koki Company, Ltd. .............. 3,930,881 JPN -------------- TRANSPORTATION -- 1.9% 92,132 Canadian National Railway Company.... 5,314,961 CDA 163,300 Canadian Pacific Railway, Ltd. ..... 5,649,924 CDA 25,629 Kuehne & Nagel International AG... 5,439,788 SWI 2,158,000 Neptune Orient Lines, Ltd. .............. 4,838,651 SIN 1,508,100 Orient Overseas International, Ltd. .............. 6,598,301 BER -------------- 27,841,625 -------------- UTILITIES -- 1.7% 70,000 E.ON AG*............. 6,241,470 GER 676,300 Kelda Group PLC...... 8,463,910 BRI 147,300 Suez SA(d)........... 3,998,262 FRA 548,800 United Utilities PLC................ 6,489,681 BRI -------------- 25,193,323 -------------- UTILITIES: ELECTRIC -- 2.6% 78,200 Chubu Electric Power Company, Inc.(d)... 1,875,503 JPN 613,500 Endesa SA(d)......... 14,410,508 SPA
See notes to financial statements. 160 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) 1,130,300 Energias de Portugal SA................. $ 2,845,092 POR 314,200 Hokkaido Electric Power Company, Inc................ 6,430,746 JPN 245,100 Shikoku Electric Power Company, Inc................ 4,883,879 JPN 239,900 Union Fenosa SA...... 7,318,840 SPA -------------- 37,764,568 -------------- UTILITIES: GAS -- 0.3% 954,800 Toho Gas Company, Ltd................ 3,960,040 JPN -------------- TOTAL COMMON STOCKS (Cost $1,266,249,224).... 1,414,219,172 -------------- RIGHTS -- 0.0% AUTOMOTIVE EQUIPMENT 390,900 TI Automotive, Ltd. -- Class A*(q) (Cost $0) -- BRI -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 9.4% $136,187,298 Securities Lending Collateral Investment (Note 4) (Cost $136,187,298)...... 136,187,298 USA -------------- TOTAL SECURITIES (Cost $1,402,436,522).... 1,550,406,470 -------------- REPURCHASE AGREEMENT -- 1.6% 22,882,397 With Investors Bank and Trust, dated 06/30/05, 2.61%, due 07/01/05, repurchase proceeds at maturity $22,884,056 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.56%, due 05/01/32, with a value of $4,443,986 and Small Business Administration, 5.59%, due 05/25/29, with a value of $19,582,531) (Cost $22,882,397) 22,882,397 USA -------------- Total Investments -- 108.7% (Cost $1,425,318,919).... 1,573,288,867 Liabilities less other assets -- (8.7)%... (126,194,692) -------------- NET ASSETS --100.0%.. $1,447,094,175 ==============
The aggregate cost of securities for federal income tax purposes at June 30, 2005 is $1,425,318,919. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation......... $166,939,790 Gross unrealized depreciation......... (18,969,842) ------------ Net unrealized appreciation........... $147,969,948 ============
--------------- See summary of footnotes and abbreviations to portfolios.
PERCENT OF TOTAL COUNTRY COMPOSITION INVESTMENTS AT VALUE ------------------- -------------------- Australia (AUS)...................... 2.82% Austria (AST)........................ 0.34 Belgium (BEL)........................ 0.85 Bermuda (BER)........................ 1.15 Brazil (BRA)......................... 0.20 Canada (CDA)......................... 7.04 Cayman Islands (CAY)................. 0.30 Denmark (DEN)........................ 0.59 Finland (FIN)........................ 1.86 France (FRA)......................... 9.59 Germany (GER)........................ 5.95 Greece (GRC)......................... 0.38 Hong Kong (HNG)...................... 0.09 Ireland (IRE)........................ 0.95 Italy (ITA).......................... 2.91 Japan (JPN).......................... 14.46 Korea (KOR).......................... 0.75 Luxembourg (LUX)..................... 0.74 Mexico (MEX)......................... 0.76 Norway (NOR)......................... 0.17 Portugal (POR)....................... 0.30 Singapore (SIN)...................... 0.48 Spain (SPA).......................... 2.95 Sweden (SWE)......................... 1.77 Switzerland (SWI).................... 7.49 Taiwan (TWN)......................... 2.59 The Netherlands (NET)................ 4.44 United Kingdom (BRI)................. 17.97 United States (USA).................. 10.11 ------ TOTAL PERCENTAGE..................... 100.00% ======
See notes to financial statements. 161 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIOS OF INVESTMENTS SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS JUNE 30, 2005 (UNAUDITED) Footnotes: * Non-income producing security. 144A Security is exempt from registration under Rule 144A of the Securities Act of 1933. It may be resold in a transaction exempt from registration, normally to qualified institutional buyers. (a) Variable rate security. The rate shown was in effect at June 30, 2005. (b) Quarterly reset provision. The rate shown was in effect at June 30, 2005. (c) Monthly reset provision. The rate shown was in effect at June 30, 2005. (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. Interest rate is based on the credit rating of the issuer. The rate shown was in effect at June 30, 2005. (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 June 30, 2005. (o) PIK ("Payment-In-Kind") bond. These bonds pay interest in the form of additional bonds. (p) Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. (q) Fair valued at June 30, 2005. (r) Principal amount shown for this debt security is denominated in Australian Dollars. (s) Principal amount shown for this debt security is denominated in Canadian Dollars. (t) Principal amount shown for this debt security is denominated in Japanese Yen. (u) "Contra-CUSIP" security received as part of a stock split. Exchanged for a dividend of $2.85846 per share subsequent to June 30, 2005. 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. --------------- - Securities issued by companies registered outside the United States are denoted with their domestic country in parentheses. - Footnotes and abbreviations may or may not appear in each portfolio of investments. See notes to financial statements. 162 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO COMPOSITION JUNE 30, 2005 (UNAUDITED) The following charts summarize the portfolio composition of each Series by asset type. MONEY MARKET SERIES Commercial Paper................................ 34.8% Repurchase Agreements/Cash Equivalents.......... 22.4 Short Term Corporate Notes...................... 20.6 Yankee Certificates of Deposit.................. 15.2 Short Term US Government Agency Securities...... 5.4 Medium Term Corporate Notes..................... 1.5 Other assets less liabilities................... 0.1 ----- 100.0% ===== HIGH QUALITY BOND SERIES Corporate Bonds and Notes....................... 76.9% US Government Agency Securities................. 14.9 Securities Lending Collateral................... 3.4 US Treasury Securities.......................... 3.0 Short Term US Government Agency Securities...... 2.4 Foreign Government Obligations.................. 1.2 Repurchase Agreements/Cash Equivalents.......... 0.9 Liabilities less other assets................... (2.7) ----- 100.0% ===== INTERMEDIATE GOVERNMENT BOND SERIES US Treasury Securities.......................... 64.6% Corporate Bonds and Notes....................... 19.9 Securities Lending Collateral................... 17.8 US Government Agency Securities................. 9.5 Repurchase Agreements/Cash Equivalents.......... 1.9 Liabilities less other assets................... (13.7) ----- 100.0% ===== CORE BOND SERIES Corporate Bonds and Notes....................... 41.0% US Government Agency Securities................. 31.7 US Treasury Securities.......................... 27.0 Short Term US Government Agency Securities...... 6.5 Securities Lending Collateral................... 5.0 Foreign Government Obligations.................. 3.4 Repurchase Agreements/Cash Equivalents.......... 1.1 Short Term Corporate Notes...................... 0.8 Short Term US Treasury Securities............... 0.3 Purchased Put Options........................... 0.0* Call Options Written............................ (0.0)* Put Options Written............................. (0.0)* Securities Sold Short........................... (4.2) Liabilities less other assets................... (12.6) ----- 100.0% ===== TOTAL RETURN BOND SERIES US Treasury Securities.......................... 37.7% Corporate Bonds and Notes....................... 25.1 US Government Agency Securities................. 21.2 Repurchase Agreement/Cash Equivalents........... 21.1 Foreign Government Obligations.................. 9.8 Preferred Stocks................................ 1.1 Yankee Certificates of Deposit.................. 1.0 Short Term Commercial Paper..................... 1.0 Short Term US Government Agency Securities...... 0.3 Put Options Written............................. (0.0)* Call Options Written............................ (0.1) Liabilities less other assets................... (18.2) ----- 100.0% ===== BALANCED SERIES Common Stocks................................... 63.3% Corporate Bond and Notes........................ 10.4 Repurchase Agreements/Cash Equivalents.......... 9.8 US Government Agency Securities................. 8.4 US Treasury Securities.......................... 5.6 Securities Lending Collateral................... 4.6 Foreign Government Obligations.................. 3.9 Short Term Commercial Paper..................... 2.9 Short Term US Government Agency Securities...... 0.8 Preferred Stocks................................ 0.5 Yankee Certificates of Deposit.................. 0.4 Short Term Corporate Notes...................... 0.1 Call Options Written............................ (0.0)* Put Options Written............................. (0.0)* Liabilities less other assets................... (10.7) ----- 100.0% ===== VALUE & INCOME SERIES Common Stocks................................... 96.9% Securities Lending Collateral................... 11.2 Repurchase Agreements/Cash Equivalents.......... 3.7 Liabilities less other assets................... (11.8) ----- 100.0% ===== VALUE SERIES Common Stocks................................... 97.4% Repurchase Agreements/Cash Equivalents.......... 2.4 Other assets less liabilities................... 0.2 ----- 100.0% =====
See notes to financial statements. 163 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIO COMPOSITION (CONTINUED) JUNE 30, 2005 (UNAUDITED) The following charts summarize the portfolio composition of each Series by asset type. GROWTH & INCOME SERIES Common Stocks................................... 98.5% Securities Lending Collateral................... 11.5 Repurchase Agreements/Cash Equivalents.......... 1.7 Liabilities less other assets................... (11.7) ----- 100.0% ===== EQUITY GROWTH SERIES Common Stocks................................... 97.2% Securities Lending Collateral................... 9.6 Repurchase Agreements/Cash Equivalents.......... 2.9 Liabilities less other assets................... (9.7) ----- 100.0% ===== MID-CAP VALUE SERIES Common Stocks................................... 94.3% Securities Lending Collateral................... 13.1 Repurchase Agreements/Cash Equivalents.......... 5.8 Liabilities less other assets................... (13.2) ----- 100.0% ===== MID-CAP GROWTH SERIES Common Stock.................................... 97.3% Securities Lending Collateral................... 26.3 Repurchase Agreements/Cash Equivalents.......... 3.0 Liabilities less other assets................... (26.6) ----- 100.0% ===== SMALL-CAP VALUE SERIES Common Stocks................................... 94.0% Securities Lending Collateral................... 14.6 Repurchase Agreements/Cash Equivalents.......... 7.9 Liabilities less other assets................... (16.5) ----- 100.0% ===== SPECIAL EQUITY SERIES Common Stocks................................... 96.4% Securities Lending Collateral................... 20.6 Repurchase Agreements/Cash Equivalents.......... 3.4 Short Term US Treasury Securities............... 0.1 Liabilities less other assets................... (20.5) ----- 100.0% ===== SMALL-CAP GROWTH SERIES Common Stocks................................... 94.7% Securities Lending Collateral................... 26.8 Repurchase Agreements/Cash Equivalents.......... 5.2 Liabilities less other assets................... (26.7) ----- 100.0% ===== AGGRESSIVE EQUITY SERIES Common Stocks................................... 99.5% Securities Lending Collateral................... 12.3 Repurchase Agreements/Cash Equivalents.......... 1.0 Liabilities less other assets................... (12.8) ----- 100.0% ===== HIGH YIELD BOND SERIES Corporate Bonds and Notes....................... 90.9% Repurchase Agreements/Cash Equivalents.......... 6.7 Common Stocks................................... 1.4 Convertible Preferred Stocks.................... 0.9 Convertible Bonds............................... 0.3 Warrants........................................ 0.2 Liabilities less other assets................... (0.4) ----- 100.0% ===== INTERNATIONAL EQUITY SERIES Common Stocks................................... 97.7% Securities Lending Collateral................... 9.4 Repurchase Agreements/Cash Equivalents.......... 1.6 Rights.......................................... 0.0* Liabilities less other assets................... (8.7) ----- 100.0% =====
--------------- * Amount rounds to less than 0.05%. See notes to financial statements. 164 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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 eighteen 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 Total Return Bond Portfolio, the Balanced Portfolio, the Value & Income Portfolio, the Value 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-US 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. 165 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 June 30, 2005, the Core Bond Series, Total Return Bond Series, Balanced Series, High Yield Bond Series and International Equity Series had outstanding foreign currency forward contracts as listed in Note 10. E. WRITTEN OPTIONS AND PURCHASED OPTIONS Each Series, with the exception the Money Market Series, may write or purchase options for the purpose of either hedging its exposure to the market fluctuations of the portfolio, or an individual security position. When a Series writes an option, an amount equal to the premium received by the Series is recorded 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 an option is purchased, the Series will pay a premium. Premiums paid for options are included as investments and are adjusted to their current market value daily. 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. 166 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Premiums paid for purchased options that expire unexercised will be treated as short-term capital losses. If an option which a Series has purchased expires on its stipulated expiration date, it realizes a loss in the amount of the cost of the option. If it enters into a closing transaction, it realizes a gain or loss, depending on whether the proceeds from the sale are greater or less than the cost of the option. If a Series exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. If a Series exercises a call option, the cost of the security which it purchases upon exercise will be increased by the premium originally paid. Transactions in options written for the period ended June 30, 2005 were as follows:
CORE BOND TOTAL RETURN BOND BALANCED ----------------------- -------------------- --------------------- NUMBER OF NUMBER OF NUMBER OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS CONTRACTS PREMIUMS ----------- --------- --------- -------- ---------- -------- Call options outstanding at December 31, 2004............ -- $ -- -- $ -- -- $ -- Call options written........... 946 456,786 48 15,213 223 84,125 Call options terminated in closing purchase transactions................. (438) (198,039) -- -- (81) (39,116) Call options expired........... -- -- -- -- -- -- ----------- --------- --- -------- ---------- -------- Call options outstanding at June 30, 2005................ 508 $ 258,747 48 $ 15,213 142 $ 45,009 =========== ========= === ======== ========== ======== Put options outstanding at December 31, 2004............ -- $ -- -- $ -- -- $ -- Put options written............ 65,900,389 479,164 48 13,932 5,650,175 82,146 Put options terminated in closing purchase transactions................. (65,900,000) (173,343) (36) (10,773) (5,650,140) (72,790) Put options expired............ -- -- -- -- -- -- ----------- --------- --- -------- ---------- -------- Put options outstanding at June 30, 2005..................... 389 $ 305,821 12 $ 3,159 35 $ 9,356 =========== ========= === ======== ========== ========
F. FUTURES CONTRACTS Each Series, with the exception of the Money Market 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. 167 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) 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. Open futures contracts as of June 30, 2005:
NET UNREALIZED NUMBER OF EXPIRATION VALUE AS OF APPRECIATION/ SERIES CONTRACTS DESCRIPTION DATE JUNE 30, 2005 (DEPRECIATION) ------ --------- -------------------------------- -------------- ------------- -------------- Core Bond............ 86 Long US Treasury Notes 10 Year Future September 2005 $ 9,758,313 $ (27,789) 413 Short Euro -- Bobl Future September 2005 47,759,320 (310,233) 690 Short US Treasury Notes 5 Year Future September 2005 75,134,531 (137,553) --------- $(475,575) ========= Total Return Bond.... 25 Long 90 Day Euro Future September 2005 $ 6,009,375 $ (6,375) 16 Long 90 Day Euro Future December 2005 3,841,200 (380) 1 Long US Long Bond Future September 2005 118,750 339 2 Short US Treasury Notes 2 Year Future September 2005 415,375 (135) 14 Short US Treasury Notes 5 Year Future September 2005 1,524,469 2,899 35 Short US Treasury Notes 10 Year Future September 2005 3,971,406 (27,355) --------- $ (31,007) ========= Balanced............. 95 Long 90 Day Euro Future September 2005 $22,835,625 $ (24,225) 44 Long 90 Day Euro Future December 2005 10,563,300 (1,045) 27 Long S&P 500 Future September 2005 1,613,925 (14,904) 3 Long US Long Bond Future September 2005 356,250 844 6 Short US Treasury Notes 2 Year Future September 2005 1,246,125 (702) 15 Short US Treasury Notes 5 Year Future September 2005 1,633,359 191 3 Short US Treasury Notes 10 Year Future September 2005 340,406 (2,562) --------- $ (42,403) ========= Growth & Income...... 53 Long S&P 500 Future September 2005 $ 3,168,075 $ (47,444) ========= Special Equity....... 11 Long Russell 2000 Future September 2005 $ 3,537,050 $ 82,995 =========
Each Series (except for Growth & Income) has segregated securities as collateral for its respective open futures contracts. The segregated securities are identified within each Series' portfolio of investments. Growth & Income has segregated $200,000 of cash collateral for its open futures contract. Balanced has segregated $188,541 of cash as collateral in addition to the securities identified on its portfolio of investments. 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 168 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) 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 can not exceed the total amount invested. During the period ended June 30, 2005, 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' policy to comply with the applicable provisions of the Internal Revenue Code. Therefore, no federal income tax provision is required. J. SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted for on a trade date basis (the date the order to buy or sell is executed). Dividend income 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. 169 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 NV, 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................................................ 9.01% High Quality Bond........................................... 12.64 Intermediate Government Bond................................ 23.60 Core Bond................................................... 10.23 Total Return Bond........................................... 0.00 Balanced.................................................... 35.14 Value & Income.............................................. 24.15 Value....................................................... 0.00 Growth & Income............................................. 26.49 Equity Growth............................................... 19.18 Mid-Cap Value............................................... 4.33 Mid-Cap Growth.............................................. 0.36 Small-Cap Value............................................. 0.05 Special Equity.............................................. 28.93 Small-Cap Growth............................................ 0.00 Aggressive Equity........................................... 24.89 High Yield Bond............................................. 8.28 International Equity........................................ 13.44
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. 170 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) For its services, the Advisor receives a fee from each Series, and the Subadvisors receive a fee from the Advisor, at an annual rate equal to the percentages specified in the table below of the portion of the corresponding Series' average daily net assets which they subadvise.
ADVISOR SUBADVISOR SERIES SERIES SUBADVISOR FEE (%) FEE (%) ------ ------------------------------------------ ------- ---------- Money Market..................... GE Asset Management, Inc. 0.25 0.05 High Quality Bond................ Merganser Capital Management, LP 0.35 (2) Intermediate Government Bond..... (3) 0.35(1) (4) Core Bond........................ BlackRock Advisors, Inc. 0.35 (5) Total Return Bond................ Western Asset Management Company 0.35(1) (6) Balanced......................... (7) 0.45(1) (8) Value & Income................... (9) 0.45 (10) Value............................ Hotchkis and Wiley Capital Management, LLC 0.50(1) (11) Growth & Income.................. (12) 0.60 (13) Equity Growth.................... (14) 0.62 (15) Mid-Cap Value.................... (16) 0.67(1) (17) Mid-Cap Growth................... Columbus Circle Investors 0.72(1) (18) Small-Cap Value.................. Earnest Partners, LLC 0.82(1) 0.50 Special Equity................... (19) 0.80 (20) Small-Cap Growth................. Delaware Management Company 0.87(1) 0.50 Aggressive Equity................ Turner Investment Partners, Inc. 0.77(1) (21) High Yield Bond.................. Eaton Vance Management 0.55(1) (22) International Equity............. (23) 0.75 (24)
--------------- (1) The Advisor is currently voluntarily waiving a portion of its fee. (2) 0.20% on the first $100,000,000 in average daily net assets, 0.15% on the next $100,000,000 in average daily net assets, 0.10% on the next $100,000,000 in average daily net assets and 0.05% on all average daily net assets in excess of $300,000,000. (3) The Intermediate Government Bond Series has two subadvisors: Allegiance Investment Management, LLC and Stephens Capital Management. (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) For the period January 1, 2005 to April 26, 2005, 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. As of April 27, 2005 the market value of only the Core Bond Series was used to determine the fee. (6) For the period May 6, 2005 to June 30, 2005, Western Asset Management Company received 0.30% on the first $100,000,000 in average daily net assets and 0.15% on all average daily net assets in excess of $100,000,000. In addition, Western Asset Management Company, Ltd. manages the foreign fixed income securities and receives the same fee schedule listed above. 171 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) (7) The Balanced Series has three subadvisors. Effective April 27, 2005, Goldman Sachs Asset Management, LP, Western Asset Management Company and Western Asset Management Company, Ltd. replaced Aeltus Investment Management, Inc. and BlackRock Advisors, Inc. for equity, fixed income and foreign fixed securities, respectively. During the period ended June 30, 2005, the Balanced Series executed $25,343 of sales transactions through Goldman Sachs & Company, an affiliate of Goldman Sachs Asset Management, L.P. Commissions paid for such transactions amounted to $17. (8) For the period January 1, 2005 to April 26, 2005 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, 2005 to April 26, 2005 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. For the period April 27, 2005 to June 30, 2005, Goldman Sachs Asset Management, LP received 0.14% on the first $500,000,000 in combined average daily net assets of the Balanced Series and the Growth & Income Series average daily net assets, 0.12% on the next $1,000,000,000 in combined average daily net assets and 0.10% on all combined average daily net assets in excess of $1,500,000,000. For the period April 27, 2005 to June 30, 2005, Western Asset Management Company and Western Asset Management Company, Ltd. received 0.30% on the first $100,000,000 in average daily net assets and 0.15% on all average daily net assets in excess of $100,000,000. (9) The Value & Income Series has two subadvisors: TCW Investment Management Company and AllianceBernstein. Effective March 30, 2005, TCW Investment Management Company replaced Alliance Capital Management LP. During the period ended June 30, 2005, the Value & Income Series executed $177,203,685 of purchase transactions and $91,349,248 of sales transactions through Sanford C. Bernstein & Co. LLC, an affiliate of Alliance Capital Management LP. Commissions paid for such transactions amounted to $297,402. (10) For the period January 1, 2005 to March 29, 2005, 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. For the period March 30, 2005 to June 30, 2005, TCW Investment Management Company received 0.70% on the first $25,000,000 in average daily net assets, 0.50% on the next $75,000,000 in average daily net assets, 0.30% on the next $400,000,000 in average daily net assets and 0.10% on all average daily net assets in excess of $500,000,000. 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. (11) For the period May 6, 2005 to June 30, 2005, Hotchkis and Wiley Capital Management, LLC received 0.75% on the first $15,000,000 in average daily net assets, 0.50% on the next $35,000,000 in average daily net assets, 0.35% on the next $100,000,000 in average daily net assets and 0.25% on all average daily net assets in excess of $150,000,000. (12) The Growth & Income Series has three subadvisors: Ark Asset Management, Inc., Goldman Sachs Asset Management, LP and Aronson & Johnson & Ortiz, LP. During the period ended June 30, 2005, the Growth & Income Series executed $35,983,901 of purchase transactions and $40,962,418 of sales transactions through Goldman Sachs Company, an affiliate of Goldman Sachs Asset Management, LP. Commissions paid for such transactions amounted to $40,806. 172 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) During the period ended June 30, 2005, the Growth & Income Series executed $471,744 of purchase transactions and $1,239,761 of sales transactions through Wave Securities LLC, an affiliate of Goldman Sachs Asset Management, LP. Commissions paid for such transactions amounted to $1,916. (13) Ark Asset Management, Inc. received 0.20% on the first $750,000,000 in combined average daily net assets of the Growth & Income Series and the Equity Growth Series, 0.18% on the next $250,000,000 in combined average daily net assets and 0.15% on all combined average daily net assets in excess of $1,000,000,000. Goldman Sachs Asset Management, LP received 0.14% on the first $500,000,000 in combined average daily net assets of the Balanced Series and the Growth & Income Series, 0.12% on the next $1,000,000,000 in combined average daily net assets and 0.10% on all combined average daily net assets in excess of $1,500,000,000. 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. (14) The Equity Growth Series has two subadvisors: Ark Asset Management Company, Inc. and Marsico Capital Management LLC. During the period ended June 30, 2005, the Equity Growth Series executed $16,181,054 of purchase transactions and $3,684,145 of sales transactions through Bank of America Securities LLC, an affiliate of Marsico Capital Management LLC. Commissions paid for such transactions amounted to $23,032. (15) Ark Asset Management, Inc. received 0.20% on the first $750,000,000 in combined average daily net assets of the Growth & Income Series and the Equity Growth Series, 0.18% on the next $250,000,000 in combined average daily net assets and 0.15% on all combined average daily net assets in excess of $1,000,000,000. 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. (16) Effective March 30, 2005, The Mid-Cap Value Series added an additional subadvisor, LSV Asset Management, to its existing subadvisor, Cramer, Rosenthal, McGlynn LLC. (17) Cramer Rosenthal McGlynn received 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. For the period March 30, 2005 to June 30, 2005, LSV Asset Management received 0.50% on the first $100,000,000 in average daily net assets, 0.40% on the next $100,000,000 in average daily net assets, 0.35% on the next $600,000,000 in average daily net assets, and 0.33% on all average daily net assets in excess of $800,000,000. In determining the basis point fee applicable to the Series, the combined average daily net assets of the Series and the portion of the International Equity Series managed by LSV Asset Management were applied to the fee schedule. (18) 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. (19) The Special Equity Series has five subadvisors: EARNEST Partners, LLC, Wellington Management Company LLP, RS Investments Management, LP, Mazama Capital Management, LLC and INVESCO, Inc. Effective March 14, 2005, Mazama Capital Management, LLC replaced Seneca Capital Management, LLC. (20) 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. EARNEST Partners, LLC 173 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) 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. 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. For the period January 1, 2005 to March 13, 2005, 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. For the period March 14, 2005 to June 30, 2005, Mazama Capital Management, LLC received 0.55% in average daily net assets. (21) 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. (22) 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. (23) The International Equity Series has two subadvisors: LSV Asset Management and Wellington Management Company, LLP. (24) 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. 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. For the period ended June 30, 2005, 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):
SERIES EXPENSE CAP ------ ---------------------- Money Market................................................ 30 basis points (b.p.) High Quality Bond........................................... 40 b.p. Intermediate Government Bond................................ 40 b.p. Core Bond................................................... 40 b.p. Total Return Bond........................................... 40 b.p. Balanced.................................................... 50 b.p. Value & Income.............................................. 50 b.p. Value....................................................... 55 b.p. Growth & Income............................................. 65 b.p. Equity Growth............................................... 65 b.p. Mid-Cap Value............................................... 70 b.p. Mid-Cap Growth.............................................. 75 b.p. Small-Cap Value............................................. 85 b.p. Special Equity.............................................. 85 b.p. Small-Cap Growth............................................ 90 b.p. Aggressive Equity........................................... 80 b.p. High Yield Bond............................................. 60 b.p. International Equity........................................ 90 b.p.
174 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. FEES AND TRANSACTIONS WITH AFFILIATES (CONTINUED) 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 period ended June 30, 2005 amounted to $42,277. 4. SECURITIES LENDING All Series may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least 102% of the market value of the securities on loan. Any deficiencies or excess of collateral must be delivered or transferred by the member firms no later than the close of business on the next business day. As with other extensions of credit, the Series may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. Each Series receives compensation, net of related expenses, for lending its securities which is reported on the Statements of Operations. The reported compensation includes interest income on short term investments purchased with cash collateral received. At June 30, 2005, the Series loaned securities having market values as follows:
CASH COLLATERAL SERIES MARKET VALUE RECEIVED ------ ------------ --------------- High Quality Bond........................................... $ 24,517,646 $ 25,140,250 Intermediate Government Bond................................ 40,564,413 41,460,158 Core Bond................................................... 92,221,200 94,420,159 Balanced.................................................... 18,384,706 18,961,356 Value & Income.............................................. 307,358,461 317,505,927 Growth & Income............................................. 121,630,404 125,968,925 Equity Growth............................................... 212,726,431 221,128,061 Mid-Cap Value............................................... 63,915,404 65,903,677 Mid-Cap Growth.............................................. 57,167,404 59,966,960 Small-Cap Value............................................. 27,146,206 28,176,600 Special Equity.............................................. 247,780,802 257,599,303 Small-Cap Growth............................................ 29,316,046 30,669,845 Aggressive Equity........................................... 43,915,317 45,336,885 International Equity........................................ 129,197,007 136,187,298
The cash collateral received by each Series was pooled and at June 30, 2005 was invested in the following securities: ABN Amro Bank NV, Time Deposit, 3.25%, 08/05/2005 American Beacon Money Market Fund Bank of America Corp., Floating Rate Note, 3.27%(1), 07/18/2005 Bank of America Corp., Floating Rate Note, 3.31%(1), 06/07/2006 Bank Of Montreal, Time Deposit, 3.01%, 07/01/2005 Bank Of Nova Scotia, Time Deposit, 3.11%, 07/11/2005 Bank Of Nova Scotia, Time Deposit, 3.16%, 07/15/2005 Barclays PLC, Time Deposit, 3.16%, 07/14/2005 Barclays PLC, Time Deposit, 3.25%, 07/27/2005 175 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 4. SECURITIES LENDING (CONTINUED) Barclays Global Investors Money Market Fund -- Institutional Shares BNP Paribas, Time Deposit, 3.00%, 07/01/2005 Canadian Imperial Bank of Commerce, Floating Rate CD, 3.40%(1), 11/04/2005 Citigroup, Inc., Time Deposit, 3.03%, 07/06/2005 Citigroup, Inc., Time Deposit, 3.10%, 07/25/2005 Credit Suisse First Boston Corp., Time Deposit, 3.16%, 07/13/2005 Credit Suisse First Boston Corp., Time Deposit, 3.20%, 07/18/2005 Credit Suisse First Boston Corp., Floating Rate Note, 3.15%(1), 09/09/2005 Credit Suisse First Boston Corp., Floating Rate Note, 3.44%(1), 03/10/2006 Dexia Group, Time Deposit, 3.21%, 07/20/2005 Dexia Group, Time Deposit, 3.30%, 08/09/2005 Federal Home Loan Bank, US Government Agency Discount Note, 2.98%, 07/01/2005 First Tennessee National Corp., Time Deposit, 3.22%, 08/09/2005 Fortis Bank, Time Deposit, 3.11%, 07/05/2005 Fortis Bank, Time Deposit, 3.25%, 08/04/2005 Freddie Mac, US Government Agency Discount Note, 3.21%, 07/26/2005 Freddie Mac, US Government Agency Discount Note, 3.24%, 08/16/2005 General Electric Capital Corp., Commercial Paper, 3.25%(2), 07/08/2005 Goldman Sachs Group Inc., Promissory Note, 3.32%, 07/27/2005 Goldman Sachs Group Inc., Promissory Note, 3.32%, 12/28/2005 HBOS Halifax Bank of Scotland, Time Deposit, 3.15%, 08/08/2005 HSBC Banking/Holdings PLC, Time Deposit, 3.25%, 08/05/2005 JPMorgan Chase & Company, Time Deposit, 3.20%, 07/20/2005 Merrimac Cash Fund -- Premium Class National Australia Bank, Time Deposit, 3.38%, 07/01/2005 National Australia Bank, Time Deposit, 3.26%, 07/06/2005 Nordea Bank Finland PLC (NY Branch), Time Deposit, 3.24%, 08/03/2005 Rabobank Nederland, Time Deposit, 3.35%, 07/01/2005 Rabobank Nederland, Time Deposit, 3.17%, 07/18/2005 Royal Bank of Canada, Time Deposit, 3.26%, 07/28/2005 Royal Bank of Scotland, Time Deposit, 3.27%, 07/29/2005 Royal Bank of Scotland, Time Deposit, 3.25%, 08/04/2005 Royal Bank of Scotland, Time Deposit, 3.24%, 08/08/2005 Societe Generale, Time Deposit, 3.20%, 08/08/2005 Svenska Handelsbanken, Time Deposit, 3.22%, 08/05/2005 The Bank of the West, Time Deposit, 3.27%, 07/27/2005 The Bear Stearns Companies, Inc., Master Note, 3.57%, 09/08/2005 The Bear Stearns Companies, Inc., Master Note, 3.57%, 12/06/2005 Toronto Dominion Bank, Time Deposit, 3.25%, 08/02/2005 UBS AG, Time Deposit, 3.25%, 08/09/2005 Wells Fargo Bank, Time Deposit, 3.27%, 07/21/2005 Wells Fargo Bank, Time Deposit, 3.27%, 08/01/2005 --------------- (1) Variable rate security. The rate shown was in effect at June 30, 2005. (2) Represents yield to maturity at time of purchase. Information pertaining to the investment of the cash collateral is shown on each Series' Portfolio of Investments. 176 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. PURCHASES AND SALES OF INVESTMENTS The aggregate cost of investments purchased and proceeds from sales or maturities (excluding short-term securities) for the period ended June 30, 2005 were as follows:
COST OF PROCEEDS SERIES PURCHASES FROM SALES ------ -------------- -------------- High Quality Bond........................ Government Obligations $ 25,715,257 $ 27,596,834 Other 149,590,460 106,799,026 Intermediate Government Bond............. Government Obligations 915,211,378 986,585,618 Other 30,124,838 25,463,874 Core Bond................................ Government Obligations 9,913,164,851 9,984,963,319 Other 446,091,651 243,186,347 Total Return Bond........................ Government Obligations 71,706,229 41,594,439 Other 18,538,413 946,571 Balanced................................. Government Obligations 735,906,210 782,298,604 Other 271,495,145 276,433,448 Value & Income........................... Other 2,003,992,477 1,908,387,511 Value.................................... Other 10,189,091 425,236 Growth & Income.......................... Other 434,260,380 477,233,456 Equity Growth............................ Other 935,616,310 900,832,213 Mid-Cap Value............................ Other 386,656,121 316,265,586 Mid-Cap Growth........................... Other 155,468,865 143,978,991 Small-Cap Value.......................... Other 243,988,713 223,865,848 Special Equity........................... Other 642,289,218 656,920,824 Small-Cap Growth......................... Other 49,118,881 42,360,983 Aggressive Equity........................ Other 362,760,240 382,320,397 High Yield Bond.......................... Other 148,921,809 117,349,052 International Equity..................... Other 776,702,129 668,364,746
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 Complaint seeks to require the Subject Portfolios to repay to Enron the full amounts of these transfers, in which event the Subject Portfolios would be granted unsecured claims against the Enron bankruptcy estate in the amounts of the repayments. The Subject Portfolios moved to dismiss all counts of the Complaint, contending, among other things, that section 546(e) of the Bankruptcy Code provides a complete defense. The Bankruptcy Court denied the motion on July 1, 2005. Accordingly, the Subject Portfolios filed an 177 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. LEGAL AND REGULATORY MATTERS (CONTINUED) answer to the Complaint on July 29, 2005. The Court has set a discovery calendar indicating that discovery is to proceed through 2006. The Subject Portfolios and their counsel have reviewed the Subject Portfolios' records concerning the factual background of the allegations in the Complaint, and have considered remaining potential defenses to the allegations in the Complaint. Because only limited discovery has taken place, the Subject Portfolios are unable to predict whether Enron will prevail, in whole or in part, in its claims against the Subject Portfolios, and therefore have not recorded a liability in the financial statements for any potential loss. 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 Advisor, 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 (the "International Equity Fund") between July 1, 2003 and October 31, 2003. NASD staff contends that DISC facilitated certain shareholders' trading in the International Equity Fund 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. DISC and DIA are continuing to provide information to the NASD and have also 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 Portfolio 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 Portfolios' filing for the twelve months ended June 30, 2005, 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. The Series Portfolio's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. For information on the operation of the SEC's Public Reference Room, call 1-800-SEC-0330. 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 Portfolio 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 Portfolio to additional risks resulting from 178 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 9. CONCENTRATIONS AND INDEMNIFICATIONS (CONTINUED) 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 June 30, 2005, the High Yield Bond Series invested approximately 10.92% of its portfolio in issuers outside the United States. As of June 30, 2005, 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 June 30, 2005, the International Equity Series invested approximately 17.97% and 14.46% of its portfolio in issuers in the United Kingdom and Japan, respectively. In the normal course of business, the Series Portfolio enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Series Portfolio's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series Portfolio that have not yet occurred. However, based on experience, the Series Portfolio expects the risk of loss to be remote. 10. FOREIGN CURRENCY FORWARD CONTRACTS At June 30, 2005, the Core Bond Series, Total Return Bond Series, Balanced Series, High Yield Bond Series and International Equity Series had entered into foreign currency forward contracts which contractually obligate each Series to deliver/receive currency at specified future dates. The open contracts were as follows:
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AT APPRECIATION/ CURRENCY FOR DATE 06/30/05 (DEPRECIATION) ---------- ----------- ---------- ----------- -------------- CORE BOND PURCHASE CONTRACTS: Mexican Peso....................... 20,880,547 $ 1,901,654 07/25/05 $ 1,935,718 $ 34,064 ========== SALE CONTRACTS: Euro............................... 11,743,013 $15,410,591 07/26/05 $14,220,750 $1,189,841 Euro............................... 1,307,200 1,656,968 07/26/05 1,583,015 73,953 Mexican Peso....................... 48,775,000 4,324,611 07/25/05 4,521,656 (197,045) Mexican Peso....................... 34,144,153 3,040,170 07/25/05 3,165,312 (125,142) Mexican Peso....................... 48,000,000 4,321,210 07/25/05 4,449,810 (128,600) New Zealand Dollar................. 16,867,397 12,150,935 07/27/05 11,711,800 439,135 ---------- TOTAL.............................. $1,252,142 ========== TOTAL RETURN BOND PURCHASE CONTRACTS: Canadian Dollar.................... 153,287 $ 121,947 08/10/05 $ 125,225 $ 3,278 ========== SALE CONTRACTS: Australian Dollar.................. 323,539 $ 245,728 08/10/05 $ 245,740 $ (12) Canadian Dollar.................... 320,464 256,166 08/10/05 261,797 (5,631) Euro............................... 1,564,933 1,983,553 08/10/05 1,896,134 87,419 ---------- TOTAL.............................. $ 81,776 ==========
179 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AT APPRECIATION/ CURRENCY FOR DATE 06/30/05 (DEPRECIATION) ---------- ----------- ---------- ----------- -------------- BALANCED PURCHASE CONTRACTS: Euro............................... 1,014,981 $ 1,321,511 07/26/05 $ 1,229,139 $ (92,372) Mexican Peso....................... 7,167,012 637,799 07/25/05 664,414 26,615 New Zealand Dollar................. 1,561,772 1,118,541 07/27/05 1,084,409 (34,132) ---------- TOTAL.............................. $ (99,889) ========== SALE CONTRACTS: Australian Dollar.................. 940,286 $ 721,199 08/10/05 $ 714,181 $ 7,018 Canadian Dollar.................... 910,497 731,030 08/10/05 743,813 (12,783) Euro............................... 1,014,981 1,331,980 07/26/05 1,229,139 102,841 Euro............................... 4,567,485 5,848,208 08/10/05 5,534,143 314,065 Mexican Peso....................... 4,055,000 359,534 07/25/05 375,916 (16,382) Mexican Peso....................... 3,112,012 277,091 07/25/05 288,497 (11,406) New Zealand Dollar................. 1,561,772 1,125,069 07/27/05 1,084,409 40,660 ---------- TOTAL.............................. $ 424,013 ========== HIGH YIELD SALE CONTRACTS: Euro............................... 504,534 $ 609,563 07/29/05 $ 611,050 $ (1,487) ========== INTERNATIONAL EQUITY PURCHASE CONTRACTS: Euro............................... 261,805 $ 315,905 07/01/05 $ 316,823 $ 918 Japanese Yen....................... 82,870,443 753,642 07/01/05 747,186 (6,456) Swiss Franc........................ 1,514,457 1,183,165 07/01/05 1,181,785 (1,380) Swiss Franc........................ 563,496 440,162 07/01/05 439,716 (446) ---------- TOTAL.............................. $ (7,364) ========== SALE CONTRACTS: Euro............................... 625,060 $ 753,642 07/01/05 $ 756,416 $ (2,774) Euro............................... 531,138 642,066 07/05/05 642,756 (690) Euro............................... 723,664 876,212 07/05/05 875,742 470 Euro............................... 112,829 124,056 12/29/05 137,592 (13,536) Great British Pound................ 581,878 1,056,414 07/01/05 1,042,551 13,863 Great British Pound................ 154,337 276,371 07/05/05 276,526 (155) Great British Pound................ 237,391 428,519 07/05/05 425,333 3,186 ---------- TOTAL.............................. $ 364 ==========
180 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ MONEY MARKET 06/30/2005(a) 0.27%* 0.27%* 2.47%* 2.47%* N/A $ 887,385,265 1.22% 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 06/30/2005(a) 0.38* 0.38* 3.23* 3.23* 19% 750,272,069 1.15 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 06/30/2005(a) 0.40* 0.40* 3.16* 3.16* 397 233,420,854 1.59 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 06/30/2005(a) 0.39* 0.39* 3.85* 3.85* 571 1,872,848,425 2.19 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 TOTAL RETURN BOND 6/30/2005(a)(1) 0.53* 0.40* 3.92* 4.05* 87 51,031,925 2.04
--------------- (a) Unaudited. * Annualized. (1) Commencement of Operations, May 6, 2005. (2) Commencement of Operations, April 27, 2001. (3) Commencement of Operations, April 15, 2002. 181 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ BALANCED 06/30/2005(a) 0.54%* 0.50%* 2.14%* 2.18%* 252% $ 408,132,467 0.99% 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 VALUE & INCOME 06/30/2005(a) 0.48* 0.48* 1.37* 1.37* 73 2,825,429,320 0.93 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 VALUE 06/30/2005(a)(1) 1.14* 0.55* 1.61* 2.20* 4 10,401,141 3.37 GROWTH & INCOME 06/30/2005(a) 0.63* 0.63* 0.90* 0.90* 40 1,094,216,351 (0.20) 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 06/30/2005(a) 0.65* 0.65* 0.38* 0.38* 41 2,313,322,338 (1.67) 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
--------------- (a) Unaudited. * Annualized. (1) Commencement of Operations, May 6, 2005. (2) Commencement of Operations, April 27, 2001. (3) Commencement of Operations, April 15, 2002. 182 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ MID-CAP VALUE 06/30/2005(a) 0.72%* 0.70%* 1.60%* 1.62%* 74% $ 503,378,791 2.73% 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(2) 1.91* 0.70* (0.48)* 0.73* 87 13,632,294 8.28 MID-CAP GROWTH 06/30/2005(a) 0.77* 0.75* (0.43)* (0.41)* 70 227,754,858 2.03 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(2) 1.93* 0.75* (1.50)* (0.32)* 63 15,562,948 (13.27) SMALL-CAP VALUE 06/30/2005(a) 0.88* 0.85* 0.11* 0.14* 131 192,553,397 (6.24) 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(3) 1.39* 0.85* (0.17)* 0.37* 26 17,920,226 (21.90) SPECIAL EQUITY 06/30/2005(a) 0.84* 0.84* 0.13* 0.13* 55 1,250,854,071 2.61 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 06/30/2005(a) 0.96* 0.90* (0.51)* (0.45)* 41 114,486,338 (5.17) 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(3) 1.48* 0.90* (1.03)* (0.45)* 68 16,521,455 (15.98)
--------------- (a) Unaudited. * Annualized. (1) Commencement of Operations, May 6, 2005. (2) Commencement of Operations, April 27, 2001. (3) Commencement of Operations, April 15, 2002. 183 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 11. FINANCIAL HIGHLIGHTS (CONTINUED)
RATIOS TO AVERAGE NET ASSETS --------------------------------------------------------- NET NET INVESTMENT FOR THE NET EXPENSES INVESTMENT INCOME (LOSS) NET ASSETS, PERIOD/YEAR NET (NET OF INCOME (NET OF PORTFOLIO END OF TOTAL ENDED EXPENSES REIMBURSEMENTS) (LOSS) REIMBURSEMENTS) TURNOVER PERIOD/YEAR RETURN ----------- -------- --------------- ---------- --------------- --------- -------------- ------ AGGRESSIVE EQUITY 06/30/2005(a) 0.81%* 0.80%* (0.23)%* (0.22)%* 98% $ 367,949,806 (2.64)% 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 06/30/2005(a) 0.60* 0.60* 7.66* 7.66* 35 373,575,544 0.53 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 06/30/2005(a) 0.87* 0.87* 3.13* 3.13* 48 1,447,094,175 (2.76) 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
--------------- (a) Unaudited. * Annualized. (1) Commencement of Operations, May 6, 2005. (2) Commencement of Operations, April 27, 2001. (3) Commencement of Operations, April 15, 2002. 184 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS JUNE 30, 2005 (UNAUDITED) Diversified Investment Advisors, Inc. ("Diversified") manages the assets of each series of Diversified Investors Portfolios (each, a "Portfolio") pursuant to an Investment Advisory Agreement (the "Diversified Advisory Agreement") with Diversified Investors Portfolios. For each Portfolio, Diversified has entered into an Investment Subadvisory Agreement (each a "Subadvisory Agreement") with a Subadviser. CONTINUATION OF ADVISORY AGREEMENTS AND SUBADVISORY AGREEMENTS In approving the continuation of each Diversified Advisory Agreement and each Subadvisory Agreement, the Board, including the independent Trustees, considered the reasonableness of the applicable advisory fee in light of the extent and quality of the advisory and administrative services provided and any additional benefits received by Diversified or the Subadvisers and their affiliates in connection with their provision of services, compared the fees charged by Diversified and the Subadvisers to those paid by similar funds for comparable services, and analyzed the expenses incurred with respect to each underlying fund investing in the Portfolio (a "Fund"). The Trustees reviewed information concerning the level of profits received by Diversified from its arrangements with each Fund. The Board also considered the quality of Diversified's advisory, administrative and compliance staffs, including additional compliance resources being added. The Trustees reviewed information regarding the investment performance of each Portfolio, compared to its benchmark, for the quarter and, to the extent available, for the one- and three-year periods ended December 31, 2004, as well as information regarding the investment performance of each Portfolio, compared to that of other funds with similar investment objectives and policies, for the quarter and, to the extent available, for the one- and three-year periods ended September 30, 2004. The Trustees also considered information received at regular meetings throughout the year, including updates regarding each Portfolio's performance. The Trustees also reviewed extensive information provided by the Subadvisers, regarding, among other things: the nature and quality of services provided; legal, regulatory and compliance matters; actual fees paid by Diversified to each Subadviser, comparable fees paid to each Subadviser and Subadviser profitability data; and other practices and developments. In addition to the quality and content of information provided by the Subadvisers, the Trustees also noted instances where information was not disclosed by certain Subadvisers, considered the reasons such information was withheld and weighed the relative importance of such information among the other data available to the Trustees. In light of the extensive investment advisor monitoring provided by Diversified and the arms'-length nature of negotiations between Diversified and the Subadvisers, the Trustees placed considerable value on Diversified's views regarding the Subadvisers. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board concluded that each Diversified Advisory Agreement and each sub-advisory agreement was in the best interests of the applicable Portfolio and its investors. The Board based its conclusions, in part, on its observations regarding the performance of the Portfolio and the management fees and total expenses paid by each Fund, some of which observations are summarized below. MONEY MARKET FUNDS. The Board noted that the performance of the Money Market Portfolio approximated the median for the Portfolio's peer group for the one-and three-year periods ended September 30, 2004, but exceeded the relevant benchmark for the one- and three-year periods ended December 31, 2004. Contractual management fees were observed as being somewhat above the median for both Diversified Investors Money Market Fund and Diversified Institutional Money Market Fund. The Board found total expenses to be moderately above the median in the case of Diversified Investors Money Market Fund. The Board also noted that, in an effort to improve returns, the Subadviser to the underlying portfolio had been replaced in June 2004. 185 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) BOND FUNDS. For High Quality Bond Portfolio, the Board observed that performance was above the relevant benchmark for the one- and three-year periods ended December 31, 2004, and above the median for the peer group for the three-year period ended September 30, 2004. Contractual management fees were slightly above the median for the Diversified Investors High Quality Bond Fund and Diversified Institutional High Quality Bond Fund. The Board noted that total expenses were somewhat above the median (but slightly below the average) in the case of Diversified Investors High Quality Bond Fund, and were below the median in the case of Diversified Institutional High Quality Bond Fund. With respect to Intermediate Government Portfolio, the Board noted that, while performance had been substantially below the median for the peer group and the relevant benchmark for the one- and three-year periods ended September 30, 2004 and December 31, 2004, respectively, the subadviser to the underlying portfolio had been replaced in September 2003 and performance exceeded that of the relevant benchmark in the most recent quarter. The Board found that contractual management fees were below the median for both Diversified Investors Intermediate Government Bond Fund and Diversified Institutional Intermediate Government Bond Fund, and that total expenses were slightly above the median (though just below the average) in the case of Diversified Investors Intermediate Government Bond Fund, and were below the median in the case of Diversified Institutional Intermediate Government Bond Fund. For Core Bond Portfolio, the Board noted that performance was below the median for the peer group for the one- and three-year periods ended September 30, 2004, but was higher than the relevant benchmark for the one- and three-year periods ended December 31, 2004. The Board also observed that both contractual management fees and total expenses were below the median for the peer group for Diversified Investors Core Bond Fund and Diversified Institutional Core Bond Fund. For High Yield Bond Portfolio, the Board observed that performance was above the median of the peer group for the one- and three-year periods ended September 30, 2004 and above the benchmark for the one- and three-year periods ended December 31, 2004. The Board also found contractual management fees and total expenses to be below the median for the peer group for both Diversified Investors High Yield Bond Fund and Diversified Institutional High Yield Bond Fund. BALANCED FUNDS. For Balanced Portfolio, the Board noted that performance had been somewhat below the median for the peer group for the one-and three-year periods ended September 30, 2004, but above the benchmark for the one-year period ended December 31, 2004. The Board also noted that both contractual management fees and total expenses were below the median for the peer group for Diversified Investors Balanced Fund and Diversified Institutional Balanced Fund. Additionally, the Board considered that Diversified had recommended replacing the subadvisers to the underlying Portfolio. STOCK FUNDS. With respect to Value & Income Portfolio, the Board found performance to be below the median for the peer group and below the relevant benchmark for the one- and three-year periods ended September 30, 2004 and December 31, 2004, respectively. Both contractual management fees and total expenses were below the median for the peer group for Diversified Investors Value & Income Fund and Diversified Institutional Value & Income Fund. The Board also noted that a new subadviser was to be added to the underlying portfolio in the near future. The Board noted that, for Growth & Income Portfolio, though performance was below the median for the peer group for the one- and three-year periods ended September 30, 2004, it was above the benchmark for the one-year period ended December 31, 2004. Additionally, the Board observed that the subadvisers to the underlying portfolio had been replaced in May 2004. The Board also noted that both contractual management fees and total expenses were below the median for the peer group for Diversified Investors Growth & Income Fund and Diversified Institutional Growth & Income Fund. In the case of Equity Growth Portfolio, the Board found performance to be below the median for the peer group for the one-year period and slightly below the median for the three-year period ended September 30, 2004, but above the benchmark for the one- and three-year periods ended December 31, 2004. The Board observed that one of the advisers to the underlying portfolio had been replaced in 186 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) September 2004. Additionally, it was noted that both contractual management fees and total expenses were below the median for the peer group for Diversified Investors Equity Growth Fund and Diversified Institutional Equity Growth Fund. For Mid-Cap Value Portfolio, the Board observed that performance was above the median for the one- and three-year periods ended September 30, 2004, and above the relevant benchmark for the one-year period ended December 31, 2004. Additionally, it was noted that both contractual management fees and total expenses were below the median for the peer group for Diversified Investors Mid- Cap Value Fund and Diversified Institutional Mid-Cap Value Fund. The Board also noted that a new subadviser was to be added to the underlying portfolio in the near future. In reviewing information relating to Mid-Cap Growth Portfolio, the Board observed that, although performance was substantially below the peer group for the one- and three-year periods ended September 30, 2004, performance was above the relevant benchmark for the one-year period ended December 31, 2004. The Board also noted that the subadviser to the underlying portfolio had been replaced in September 2004. It was also noted that contractual management fees were modestly above the median for the peer group for Diversified Investors Mid-Cap Growth Fund and Diversified Institutional Mid-Cap Growth Fund, but that total expenses were below the median. For Small Cap Value Portfolio, it was observed that, while performance lagged the median for the peer group for the one-year period ended September 30, 2004, performance was above the relevant benchmark for the one-year period ended December 31, 2004. The Board noted that, while contractual management fees exceeded the median for the peer group for Diversified Investors Small Cap Value Fund and Diversified Institutional Small Cap Value Fund, actual total expenses were below the median. The Board also considered that Diversified had recommended replacing the subadviser to the underlying portfolio. The Board noted that, while the performance of Special Equity Portfolio had been below the median for the peer group and the relevant benchmark for recent one- and three-year periods, one of the subadvisers to the underlying portfolio had been replaced two weeks prior to the meeting. The Board also found that contractual management fees were moderately above the median for Diversified Investors Special Equity Fund and Diversified Institutional Special Equity Fund, and that total expenses were slightly above the median (though below the average) in the case of Diversified Investors Special Equity Fund but below the median in the case of Diversified Institutional Special Equity Fund. With respect to Small Cap Growth Portfolio, the Board noted that performance was below the relevant benchmark for the one-year period ended December 31, 2004 but above the median for the peer group for the one-year period ended September 30, 2004. The Board also considered that, though contractual management fees were above the median for the peer group for Diversified Investors Small Cap Growth Fund and Diversified Institutional Small Cap Growth Fund, total expenses were below the median and the average for the peer group. For Aggressive Equity Portfolio, the Board found performance to be somewhat below the median for the peer group for the three-year period and substantially below the peer group for the one-year period ended September 30, 2004. However, the Board noted that performance was above the relevant benchmark for the one- and three-year periods ended December 31, 2004 and that the subadviser to the underlying portfolio had been replaced in September 2004. The Board found that total expenses were below the median for the peer group for Diversified Investors Aggressive Equity Fund and Diversified Institutional Aggressive Equity Fund, but that contractual management fees were above the median. The Board considered, however, that Diversified had recently agreed to reduce its management fee by 20 basis points and that its profitability had dropped substantially since the Board's last review. In the case of International Equity Portfolio, the Board noted that performance was somewhat below the median for the peer group and the relevant benchmark for recent one- and three-year periods, but observed that one of the advisers to the underlying portfolio had been replaced during the year. Additionally, it was noted that both contractual management fees and total expenses were below the median for the peer group for Diversified Investors International Equity Fund and Diversified Institutional International Equity Fund. Except as noted above, the Board's conclusions that each Diversified Advisory Agreement and each Subadvisory Agreement was in the best interests of each applicable Portfolio and its investors were generally 187 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) based upon the Board's determination for each Portfolio that the Portfolio's performance compared favorably with other funds in its peer group and/or benchmark, that contractual management fees and actual total expenses after giving effect to waivers and reimbursements compared favorably to the peer group, and that, in reviewing Diversified's profitability on a Fund-by-Fund basis, such profitability (together with additional benefits received by Diversified and its affiliates) appeared reasonable in view of the nature and quality of the services provided by Diversified. The Board also considered that the fee waivers and reimbursements for certain Funds were contractually agreed, and, therefore, could not be discontinued or modified at Diversified's discretion. In addition to the foregoing, the Trustees were satisfied with the overall quality of the management services provided by Diversified and with Diversified's approach to selecting and monitoring subadvisers. APPOINTMENT OF NEW SUBADVISERS As noted above, during the six month period ended June 30, 2005, Diversified appointed new subadvisers, with the approval of the Board of Trustees, for the Balanced Portfolio, Value & Income Portfolio, Mid Cap Value Portfolio, Small Cap Value Portfolio, and Special Equity Portfolio. In addition two new series of Diversified Investors Portfolios, the Total Return Bond Portfolio and the Value Portfolio, were established and designated and an adviser and subadviser were approved by the Board of Trustees for each of these Portfolios. BALANCED PORTFOLIO. At a meeting held on March 28, 2005, the Board of Trustees considered the termination of Aeltus Investment Management, Inc. ("Aeltus") and BlackRock Advisers, Inc. ("BlackRock") as subadvisers to the Balanced Portfolio and the appointment of Goldman Sachs Asset Management ("GS") and Western Asset Management Company ("WAMCO") as replacement subadvisers to the Balanced Portfolio. Diversified's Manager Monitoring Group proposed that both managers be replaced because Diversified views GS, a subadviser to the Growth & Income Portfolio, and WAMCO as superior alternatives. The Manager Monitoring Group reviewed with the Board detailed information about GS and WAMCO, including information about their investment philosophy, investment process and investment performance. In particular, the Board reviewed detailed information with respect to the hypothetical performance of a GS/WAMCO composite versus the actual performance of the Aeltus/BlackRock managed fund. It was noted that WAMCO and GS had very recently made presentations to the Board (in connection with their retention as subadvisers to the Total Return Bond Portfolio and Growth & Income Portfolio, respectively). The Manager Monitoring Group then reviewed the highlights from these presentations and stated that no material changes in the investment process or infrastructure of these firms had occurred since these presentations had been made to the Board. The Trustees also reviewed subadvisory fees to be paid by Diversified to GS and WAMCO. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board accepted the recommendation to terminate Aeltus and Blackrock as subadvisers and concluded that each of the Subadvisory Agreements with GS and WAMCO was in the best interests of the Balanced Portfolio and its investors. VALUE & INCOME PORTFOLIO. At a meeting held on March 7, 2005, the Board of Trustees considered the appointment of TCW Investment Management Company ("TCW") as a new subadviser to the Value & Income Portfolio. At a Board meeting held on February 11, 2005, Diversified's Manager Monitoring group had reviewed in detail a written presentation previously distributed to the Board. Diversified had completed its search for a subadviser and recommended that TCW be selected. The Manager Monitoring Group then reviewed with the Board Diversified's procedures for selecting new subadvisers and the criteria used. The Manager Monitoring 188 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) Group discussed in general the managers considered but ultimately not selected. The Manager Monitoring Group reviewed summaries of TCW and explained why this firm met the required criteria. The Manager Monitoring Group then reviewed in detail certain information relating to TCW, including its affiliations, its assets under management, and its investment philosophy. It was noted that TCW utilizes fundamental analyses to identify competitive advantages and price catalysts in constructing a portfolio of 30-50 companies. TCW's investment discipline required that every holding have at least one of five specific financial characteristics that is superior to that (from a value perspective) of the overall S&P 500. The Manager Monitoring Group reviewed with the Board detailed data on the historical performance of TCW. The Trustees also reviewed subadvisory fees to be paid by Diversified to TCW. The Board of Trustees then received a presentation from a representative of TCW, reviewing in detail the background of the firm, the firm's investment philosophy, and the firm's compliance policies and procedures. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board concluded that the Subadvisory Agreement between Diversified and TCW Investment Management Company was in the best interests of the Value & Income Portfolio and its investors. MID-CAP VALUE PORTFOLIO. At a meeting held on March 7, 2005, the Board of Trustees considered the appointment of LSV Asset Management ("LSV") as an additional subadviser to the Mid-Cap Value Portfolio in order to resolve capacity issues with respect to the current subadviser to that Portfolio. At a meeting held on February 11, 2005, the Board of Trustees had received a presentation from Diversified's Manager Monitoring Group. The Manager Monitoring Group described the search criteria for a new manager, e.g., must compliment the current subadviser's style, must have sufficient capacity and must demonstrate disciplined sub-style specificity. The Manager Monitoring Group discussed in general the managers considered but ultimately not hired. Diversified recommended that LSV be hired as an additional subadviser to the Mid-Cap Value Portfolio. The Manager Monitoring Group then reviewed in detail certain information related to LSV, including LSV's assets under management and LSV's existing relationship with Diversified as subadviser to another Portfolio. The Manager Monitoring Group then reviewed LSV's mid-cap value product which utilizes a quantitative approach designed to pick undervalued stocks with high near-term appreciation potential. LSV's model is 70% fundamental value factors and 30% momentum factors. The Manager Monitoring Group then reviewed in detail a written presentation previously distributed to the Board, which included, among other things detailed data on the historical investment performance of LSV. The Trustees also reviewed subadvisory fees to be paid by Diversified to LSV. The Board of Trustees then received a presentation from representatives of LSV. The presentation included information regarding the background of LSV, LSV's compliance policies and procedures, and its investment policy. LSV representatives described LSV's investment model as a well diversified and risk controlled quantitative approach with a deep value orientation, noting that LSV looks for undervalued, out-of-favor companies with a slight small cap bias versus a mid-cap benchmark. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board concluded that the Subadvisory Agreement between Diversified and LSV Asset Management was in the best interests of the Mid-Cap Value Portfolio and its investors. 189 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) SMALL CAP VALUE PORTFOLIO. At a meeting held on March 28, 2005, the Board of Trustees considered the termination of Sterling Capital Management as subadviser to the Small Cap Value Portfolio, and the appointment of EARNEST Partners as replacement subadviser to the Small Cap Value Portfolio. Diversified's Manager Monitoring Group reviewed with the Board Diversified's procedures for selecting a new subadviser and the specific search criteria used for this search, including requirements with respect to historical performance, risk characteristics, size of the firm, and age of the firm. The Manager Monitoring Group discussed in general the managers considered but ultimately not selected. The Manager Monitoring Group reviewed summaries regarding EARNEST and explained why EARNEST met these criteria. The Manager Monitoring Group then reviewed in detail certain information relating to EARNEST, including information about EARNEST's investment philosophy, investment process, and investment performance. It was noted that EARNEST had made a presentation to the Board on this investment product in connection with their retention as a subadviser to another Portfolio. The Manager Monitoring Group reviewed the highlights from this presentation and stated that no material changes in the investment process or infrastructure of EARNEST had occurred since the date of this presentation. The Trustees also reviewed subadvisory fees to be paid by Diversified to EARNEST. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board accepted the recommendation to terminate Sterling Capital Management as subadviser and concluded that the Subadvisory Agreement between Diversified and EARNEST Partners was in the best interests of the Small Cap Value Portfolio and its investors. SPECIAL EQUITY PORTFOLIO. At a meeting held on March 7, 2005, the Board of Trustees considered the termination of Seneca Capital Management ("Seneca") as subadviser to the Special Equity Portfolio, and the appointment of Mazama Capital Management ("Mazama") as replacement subadviser to the Special Equity Portfolio. At a meeting held on February 11, 2005, Diversified's Manager Monitoring Group had reviewed in detail a written presentation previously distributed to the Board. Diversified had completed its search for a replacement manager and recommended that Mazama Capital Management be selected. The Manager Monitoring Group then reviewed with the Board Diversified's procedures for selecting new subadvisers and the criteria used. The Manager Monitoring Group discussed in general the managers considered but ultimately not selected. The Manager Monitoring Group then reviewed summaries of Mazama and explained why this firm met the required criteria. The Manager Monitoring Group then reviewed in detail certain information related to Mazama, including the firm's organizational background, its assets under management, and its investment policy. The Manager Monitoring Group then reviewed with the Board detailed data on the historical performance of Mazama. The Trustees reviewed a comparison of fees paid to Seneca and fees to be paid to Mazama. Representatives of Mazama then reviewed in detail a written presentation previously distributed to the Trustees. Representatives of Mazama provided information regarding the firm's compliance policies and procedures, the experience of the management team, and Mazama's investment policy. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board accepted the recommendation to terminate Seneca Capital Management as subadviser and concluded that the Subadvisory Agreement between 190 DIVERSIFIED INVESTORS PORTFOLIOS APPROVAL OF INVESTMENT ADVISORY CONTRACTS (CONTINUED) JUNE 30, 2005 (UNAUDITED) Diversified and Mazama Capital Management was in the best interests of the Special Equity Portfolio and its investors. TOTAL RETURN BOND PORTFOLIO AND VALUE PORTFOLIO. At a meeting held on March 28, 2005, the Board of Trustees considered an Investment Advisory Agreement between each new Portfolio and Diversified. The Board of Trustees reviewed Diversified's general policy to hire investment managers and monitor investment portfolio management. The Trustees noted that Diversified's Manager Monitoring Group reports on advisory and subadvisory activities to the Boards on a regular basis and would do so with respect to the two new Portfolios. The Trustees then discussed the provisions of the proposed Investment Advisory Agreements. The Trustees reviewed comparative fee information with respect to similar funds. The Trustees also reviewed the qualifications and experience of Diversified in performing investment advisory and administrative services. The Trustees discussed the proposed advisory fees and estimated expense ratios of feeder funds which would invest assets in these Portfolios and compared them to investment advisory fees paid by and expense ratios of other investment companies with similar investment objectives. The Investment Advisory Agreements provided for investment advisory fees, accrued daily and paid monthly at an annual rate (before any waiver) equal to 0.35% and 0.50%, respectively of the average daily net assets of the Total Return Bond and Value Portfolios. The Trustees concluded that the advisory fees were reasonable and appropriate in the context of comparable fee arrangements. The Board of Trustees reviewed the Investment Subadvisory Agreements between Diversified and Western Asset Management Company, with respect to the Total Return Bond Portfolio, and between Diversified and Hotchkis & Wiley Capital Management, with respect to the Value Portfolio. The Board of Trustees received presentations from Diversified's Manager Monitoring Group regarding the criteria used in selecting the subadvisers, Diversified's selection of the subadvisers for each new Portfolio, each subadviser's area of portfolio management expertise, and the fees that would be paid to the subadvisers by Diversified. The Trustees extensively reviewed the performance history of funds managed by each of the subadvisers. The Trustees also reviewed information regarding the compliance policies and procedures of each of the subadvisers. After requesting and reviewing such information as they deemed necessary (including additional information provided by Diversified in response to inquiries from the independent Trustees) and after meetings conducted by the independent Trustees without management being present, the Board concluded that each Diversified Investment Advisory Agreement and each sub-advisory agreement was in the best interests of the applicable Portfolio and its investors. 191 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 2875 (8/05) ITEM 2. CODE OF ETHICS. Item not applicable to semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Item not applicable to semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Item not applicable to semi-annual report. 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) Not applicable. (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 August 30, 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 August 30, 2005 By /s/ Joseph Carusone ------------------- Joseph Carusone Principal Financial Officer Date August 30, 2005