N-CSR 1 jnlst_ncsr.txt FORM N-CSR - JNLST 12/31/03 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: 811-8894 JNL Series Trust -------------------------------------------------------------------------------- (Exact Name of Registrant as specified in charter) 1 Corporate Way, Lansing, Michigan 48951 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Susan S. Rhee Jackson National Asset Management,LLC 1 Corporate Way Lansing, Michigan 48951 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 517-381-5500 Date of Fiscal Year End: December 31 Date of Reporting period: December 31, 2003 Item 1. Report to Shareholders [INSERT LOGO] JNL/AIM LARGE CAP GROWTH FUND A I M CAPITAL MANAGEMENT INC. TEAM MANAGEMENT OBJECTIVE: JNL/AIM Large Cap Growth Fund seeks as its investment objective long-term capital growth by investing primarily in securities of large companies with market capitalizations in the top 50% of the Russell 1000 Index at the time of purchase. MONEY MANAGER COMMENTARY: The financial markets experienced volatility in the first half of 2003 as geopolitical tensions escalated and combat began in Iraq; however, by the second half, the major market indices began a steep advance, and managed to finish the year with significant gains. For the first time in three years, the major equity indices posted gains: the Dow Jones Industrial average was up 28.27%, the NASDAQ was up 50.01%, and the S&P was up 28.67%. Small cap stocks outperformed large caps, and large cap value slightly outperformed large cap growth. For 2003, the JNL/AIM Large Cap Growth Fund posted a return of 30.02% outperforming its benchmark, the Russell 1000 Index, which returned 29.89%. Portfolio managers concentrated positions in the Consumer Discretionary, Health Care and Information Technology sectors, while holding underweight positions in the Industrials, Consumer Staples, and Energy sectors, relative to the Russell 1000 index. Stock selection in the Health Care sector was the largest positive contributor to the fund's performance as companies in the Health Care Equipment and Supplies industry performed particularly well during 2003. Stock selection in the Consumer Discretionary sector also benefited the fund's performance as Internet Retailers performed well. A relatively small weight in the Industrials sector detracted from the fund's performance as these stocks performed well during the year. During 2003, portfolio managers decreased the number of holdings in the fund, bringing the total to 62 by the end of the year. In addition, managers decreased exposure to the Consumer Staples and Financials sectors and increased positions in the Information Technology and Consumer Discretionary sectors during the year. As the market improved throughout 2003, more economically sensitive stocks began to qualify as purchase candidates. Fund managers moved away from more defensive stocks, such as pharmaceuticals, and into quality companies in the Information Technology sector. While low quality stocks led for much of the year, portfolio managers continued to focus on their selection criteria: high quality companies with positive earnings and sustainable growth characteristics. The Fund managers believe that the key to outperformance is playing good defense. The unique selection process is especially effective in steering the portfolio away from upcoming earnings misses, and it should continue to reward the fund in the coming year. JNL/AIM LARGE CAP GROWTH FUND [GRAPH OMITTED] Date JNL/AIM Large Cap Growth Fund Russell 1000 Index 10/29/2001 10,000.00 10,000 10/31/2001 10,080.00 9,832.00 11/30/2001 10,870.00 10,589.00 12/31/2001 10,970.00 10,701.00 01/31/2002 10,850.00 10566.29 02/28/2002 10,240.00 10355.67 03/31/2002 10,790.00 10781.42 04/30/2002 10,060.00 10163.63 05/31/2002 9,840.00 10075.00 06/30/2002 9,230.00 9331.93 07/31/2002 8,610.00 8641.43 08/31/2002 8,620.00 8686.13 09/30/2002 8,040.00 7753.28 10/31/2002 8,480.00 8397.43 11/30/2002 8,540.00 8887.46 12/31/2002 8,176.13 8384.37 01/31/2003 8015.82 8,181.24 02/28/2003 8075.93 8,054.64 03/31/2003 8246.27 8,137.66 04/30/2003 8707.18 8,794.68 05/31/2003 9198.15 9,296.24 06/30/2003 9268.29 9,418.61 07/31/2003 9468.68 9,606.25 08/31/2003 9779.3 9,801.15 09/30/2003 9588.92 9,700.81 10/31/2003 10330.38 10,269.95 11/30/2003 10540.8 10,392.98 12/31/2003 10630.98 10,890.64 AVERAGE ANNUAL TOTAL RETURN 1 Year 30.02% Since Inception 2.85% (Inception date October 29, 2001) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/AIM PREMIER EQUITY II FUND A I M CAPITAL MANAGEMENT INC. TEAM MANAGEMENT OBJECTIVE: JNL/AIM Premier Equity II Fund seeks as its investment objective long-term growth of capital by investing in stocks with strong earnings and attractive valuations with a focus on mid and large-cap stocks. MONEY MANAGER COMMENTARY: The financial markets experienced volatility in the first half of 2003 as geopolitical tensions escalated and combat began in Iraq; however, by the second half, the major market indices began a steep advance, and managed to finish the year with significant gains. For the first time in three years, the major equity indices posted gains: the Dow Jones Industrial average was up 28.27%, the NASDAQ was up 50.01%, and the S&P was up 28.67%. Small cap stocks outperformed large caps, and small cap growth outperformed small cap value. Since January 1, 2003, the JNL/AIM Premier Equity II fund posted a return of 22.66% under performing its benchmark index, the S&P 500, which returned 28.67%. Portfolio managers held overweight positions in the Consumer Discretionary, Information Technology, and Financials sectors, relative to the S&P 500, and under weight positions in the Consumer Staples and Health Care sectors. During the year, portfolio managers increased the total number of holdings in the fund, and they significantly increased exposure to the Industrials sector. While the fund's overall return was very positive for the year, a lack of exposure to more volatile, lower quality stocks detracted from performance when compared to the benchmark index. The fund's relative underperformance was largely due to stock selection in the Information Technology and Consumer Staples sectors. Although Information Technology detracted from performance on a relative basis, this sector had a positive impact on the fund's overall return. Selections in Semiconductors & Semiconductor Equipment stocks performed especially well. Companies in the Consumer Discretionary sector, particularly Media stocks, positively contributed to performance on both an absolute basis, and relative to the S&P 500. The JNL/AIM Premier Equity II Fund maintained a multidisciplinary approach focused on earnings growth, value of earnings, and earnings momentum. Analyst specialization has allowed managers to access a broader range of investment options. Managers continued to look for stocks with below-target price-earnings ratios, and stocks with above-average earnings growth. They believe that above average earnings growth will produce above-average stock price increases. JNL/AIM PREMIER EQUITY II FUND [GRAPH OMITTED] Date JNL/AIM Premier Equity II Fund S&P 500 Index 10/29/2001 10,000.00 10000 10/31/2001 9,980.00 9830 11/30/2001 10,710.00 10584.04 12/31/2001 11050 10676.93 01/31/2002 10600 10527.45 02/28/2002 10320 10324.44 03/31/2002 10920 10712.73 04/30/2002 10290 10063.24 05/31/2002 10050 9989.1 06/30/2002 9120 9277.6 07/31/2002 8290 8554.33 08/31/2002 8210 8610.45 09/30/2002 7560 7674.66 10/31/2002 7980 8350.17 11/30/2002 8380 8841.65 12/31/2002 7930.5 8317.49 01/31/2003 7669.5 8,099.60 02/28/2003 7539 7,978.07 03/31/2003 7609.27 8,055.54 04/30/2003 8131.27 8,719.10 05/31/2003 8502.7 9,178.49 06/30/2003 8562.93 9,295.53 07/31/2003 8753.67 9,459.45 08/31/2003 8864.09 9,643.90 09/30/2003 8793.82 9,541.55 10/31/2003 9305.79 10,081.23 11/30/2003 9335.91 10,169.92 12/31/2003 9727.41 10,703.36 AVERAGE ANNUAL TOTAL RETURN: 1 Year 22.66% Since inception -1.26% (Inception date October 29, 2001) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/AIM SMALL CAP GROWTH FUND A I M CAPITAL MANAGEMENT INC. TEAM MANAGEMENT OBJECTIVE: JNL/AIM Small Cap Growth Fund seeks as its investment objective long-term capital growth by investing in U.S. small-cap companies. MONEY MANAGER COMMENTARY: The financial markets experienced volatility in the first half of 2003 as geopolitical tensions escalated and combat began in Iraq; however, by the second half, the major market indices began a steep advance, and managed to finish the year with significant gains. For the first time in three years, the major equity indices posted gains: the Dow Jones Industrial average was up 28.27%, the NASDAQ was up 50.01%, and the S&P was up 28.67%. Small cap stocks outperformed large caps, and small cap growth outperformed small cap value. Since January 1, 2003, the JNL/AIM Small Cap Growth Fund posted a return of 38.43%, under performing its benchmark, the Russell 2000 Index, which posted a return of 47.25%. Portfolio managers concentrated the fund in the Consumer Discretionary, Health Care, and Information Technology sectors. Portfolio managers reduced exposure to the Materials and Industrials sectors, but added a number of new names to the fund, most of which were Information Technology stocks. While the fund's overall return was very strong for the year, a lack of exposure to more volatile, lower quality stocks detracted from performance when compared to the benchmark index. The fund's relative underperformance was largely due to stock selection in the Health Care sector. Although Health Care detracted from performance on a relative basis, this sector had a positive impact on the fund's overall return. Selections in Biotechnology and Pharmaceuticals stocks performed especially well. Companies in the Consumer Discretionary sector, particularly Specialty Retail stocks, also positively contributed to performance on an absolute basis, and relative to the Russell 2000 Growth. Underweight positions in the Financials and Industrials sectors, relative to the Russell 2000 negatively affected the fund's relative performance. During much of 2003, low quality stocks led the market, and companies with negative earnings revisions and poor profitability have been the best performers. Portfolio managers, however, are encouraged, as they believe this period is coming to an end. Once again, investors are beginning to reward high quality companies with positive revisions and sustainable growth characteristics. Fund managers are hopeful that the strong economic and financial data of the fourth quarter will continue to gain momentum in the new year. JNL/AIM SMALL CAP GROWTH FUND [GRAPH OMITTED] Date JNL/AIM Small Cap Growth Fund Russell 2000 Index 10/29/2001 10,000.00 10,000.00 10/31/2001 10,100.00 9,972.64 11/30/2001 10,810.00 10,745.17 12/31/2001 11,600.00 11,409.17 01/31/2002 11270 11291.21 02/28/2002 10490 10982.24 03/31/2002 11290 11865.66 04/30/2002 11050 11973.58 05/31/2002 10530 11442.3 06/30/2002 9720 10873.6 07/31/2002 8410 9231.18 08/31/2002 8420 9207.56 09/30/2002 7960 8546.15 10/31/2002 8330 8819.99 11/30/2002 9010 9606.92 12/31/2002 8430.78 9072.9 01/31/2003 8190.75 8,822.85 02/28/2003 7970.73 8,556.35 03/31/2003 8090.74 8,666.48 04/30/2003 8680.8 9,487.81 05/31/2003 9510.87 10,505.87 06/30/2003 9790.9 10,696.86 07/31/2003 10240.94 11,365.69 08/31/2003 10871 11,887.12 09/30/2003 10520.97 11,668.04 10/31/2003 11351.04 12,647.58 11/30/2003 11671.07 13,096.36 12/31/2003 11671.07 13,363.65 AVERAGE ANNUAL TOTAL RETURN 1 Year 38.43% Since inception 7.36% (Inception date October 29, 2001) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/ALGER GROWTH FUND FRED ALGER MANAGEMENT, INC. FRED M. ALGER III, DAN C. CHUNG, DAVID HYUN OBJECTIVE: JNL/Alger Growth Fund seeks as its investment objective long-term capital appreciation by investing in a diversified, actively managed portfolio of equity securities, primarily of companies with total market capitalization of $1 billion or greater. MONEY MANAGER COMMENTARY: The twelve months ending December 31st, 2003 brought great relief from all the selling experienced over the past few years. During the first two months of the year, most equity indices lost ground, as fears about a war with Iraq began to trump economic fundamentals. However, with the outbreak of war in March, the negative trend was reversed. Preferring war to the pre-combat uncertainty, investors pushed most indices higher during the final month of the quarter. The second quarter saw a continuation of the positive momentum. Reassured by the swift and decisive allied victory in Iraq, better-than expected first quarter profits and a 25 basis point rate cute on June 25th, investors found good reason to get back into the Market. The second half of the 2003 picked up right where the first half left off. Upbeat earnings news in the tech sector, a bullish outlook from the Fed and the highest GDP growth in 20 years all proved encouraging to investors during the six-month period. The capture of Saddam Hussein on December 13th helped to solidify the gains. Stock prices moved higher in five of the final six months of the year, with small cap stocks leading the way. As equity markets headed into the New Year, low interest rates, minimal inflation and solid economic fundamentals appeared to eclipse fear and uncertainty. For the year ended December 31, 2003, the Alger Growth Fund returned 35.29%, beating the S&P 500 Index return of 28.68%. Over the same time period, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Fund Index returned 29.75% and 26.96%, respectively. Throughout the period, the Portfolio benefited from an overweighting in the strong Technology sector and solid security selection in the Consumer Discretionary and Financials sectors. At the stock level, positions in eBay Inc., Cisco Systems Inc. and Yahoo Inc. contributed most positively to portfolio performance during the twelve-month period. Conversely, positions in General Dynamics Corp., Accenture Ltd. and HCA Inc. detracted most from fund value. As of December 31, 2003, the Portfolio remained well diversified, with information technology, consumer discretionary and health care representing the top three sectors. The Portfolio held 61 stocks representing 98.5% of the $244.6 million in total net assets. At the end of last year, many observers remarked that the markets had been down for three years in a row between 2000 and 2002 and that a fourth year in a row would be very unlikely. 2003 was rather spectacular for the markets, with the S&P 500 up 28.7%, and the Nasdaq up 50.0%. We strongly feel that this is more than the proverbial "dead cat bounce," and that the combination of improved fundamentals, low inflation, low interest rates, and steadily increasing demand will mean continued improvement in corporate earnings. When that fact is juxtaposed to an election year and the low-yield on bonds, we see significant upside in equities in 2004. We also take the capture of Saddam Hussein as an indication that a stable, democratic future is possible for Iraq, and that we may see a lessening of international tension. That is our hope for the New Year. Looking ahead, we will continue to seek out and invest in companies that we believe will grow their earnings rapidly and consistently. Should market conditions remain favorable, we expect that the Portfolio should outperform most of its peers. JNL/ALGER GROWTH FUND [GRAPH OMITTED] Date JNL/Alger Growth Fund S&P 500 Index 10/16/1995 10,000.00 10,000.00 10/31/1995 10,170.00 9,979.00 11/30/1995 10,050.00 10,417.00 12/31/1995 9,840.00 10,617.00 1/31/1996 10,140.00 10,978.00 2/29/1996 10,470.00 11,080.00 3/31/1996 10,380.00 11,187.00 4/30/1996 10,580.00 11,352.00 5/31/1996 10,620.00 11,643.00 6/30/1996 10,430.00 11,687.00 7/31/1996 9,660.00 11,171.00 8/31/1996 10,070.00 11,407.00 9/30/1996 10,760.00 12,048.00 10/31/1996 10,830.00 12,380.00 11/30/1996 11,490.00 13,315.00 12/31/1996 11,160.00 13,051.00 1/31/1997 11,980.00 13,865.38 2/28/1997 11,560.00 13,973.53 3/31/1997 11,140.00 13,400.62 4/30/1997 11,600.00 14,199.29 5/31/1997 12,330.00 15,062.61 6/30/1997 13,030.00 15,737.42 7/31/1997 14,350.00 16,988.54 8/31/1997 13,840.00 16,037.18 9/30/1997 14,560.00 16,916.02 10/31/1997 13,860.00 16,351.03 11/30/1997 14,060.00 17,108.08 12/31/1997 14,083.59 17,401.72 1/31/1998 14,270.54 17,594.17 2/28/1998 15,319.54 18,863.16 3/31/1998 16,160.82 19,902.23 4/30/1998 16,347.77 20,083.34 5/31/1998 16,160.82 19,705.77 6/30/1998 17,625.26 20,482.18 7/31/1998 18,082.25 20,264.64 8/31/1998 15,007.96 17,337.55 9/30/1998 16,327.00 18,448.26 10/31/1998 17,064.41 19,947.54 11/30/1998 18,341.91 21,156.02 12/31/1998 20,514.70 22,374.35 1/31/1999 22,084.43 23,309.98 2/28/1999 21,402.41 22,585.78 3/31/1999 22,853.05 23,489.42 4/30/1999 22,831.40 24,399.07 5/31/1999 21,813.79 23,822.91 6/30/1999 23,870.67 25,145.03 7/31/1999 23,047.92 24,359.88 8/31/1999 22,788.10 24,239.42 9/30/1999 22,636.54 23,574.87 10/31/1999 23,968.10 25,066.74 11/30/1999 25,353.79 25,576.32 12/31/1999 27,447.85 27,082.64 1/31/2000 26,633.16 25,721.95 2/29/2000 27,975.00 25,235.01 3/31/2000 30,431.05 27,703.77 4/30/2000 28,837.62 26,870.31 5/31/2000 27,088.43 26,318.98 6/30/2000 28,693.85 26,967.80 7/31/2000 27,843.22 26,546.15 8/31/2000 30,167.48 28,195.04 9/30/2000 27,663.51 26,706.49 10/31/2000 26,273.74 26,593.60 11/30/2000 23,602.04 24,496.98 12/31/2000 23,758.13 24,616.85 1/31/2001 24,972.89 25,490.23 2/28/2001 22,914.20 23,165.95 3/31/2001 21,008.94 21,698.37 4/30/2001 23,348.95 23,384.55 5/31/2001 23,770.92 23,541.25 6/30/2001 22,607.31 22,968.28 7/31/2001 21,980.75 22,742.13 8/31/2001 20,113.86 21,318.47 9/30/2001 18,413.19 19,596.96 10/31/2001 19,103.69 19,970.64 11/30/2001 20,829.93 21,502.55 12/31/2001 20,915 21691.25 1/31/2002 20,121 21387.58 2/28/2002 19,173 20975.14 3/31/2002 20,172 21763.99 4/30/2002 18,892 20444.48 5/31/2002 18,315 20293.87 6/30/2002 17,022 18848.38 7/31/2002 15,024 17378.98 8/31/2002 14,947 17493 9/30/2002 13,602 15591.84 10/31/2002 14,435 16964.22 11/30/2002 15,011 17962.7 12/31/2002 13,973 16897.82 01/31/2003 13691.65 16,455.15 02/28/2003 13653.22 16,208.25 03/31/2003 13922.19 16,365.64 04/30/2003 15100.51 17,713.74 05/31/2003 16061.11 18,647.02 06/30/2003 16342.88 18,884.81 07/31/2003 16688.69 19,217.83 08/31/2003 17136.97 19,592.55 09/30/2003 16868 19,384.62 10/31/2003 17969.48 20,481.03 11/30/2003 18289.68 20,661.22 12/31/2003 18904.46 21,744.97 AVERAGE ANNUAL TOTAL RETURN 1 Year 35.29% 5 Year -1.62% Since inception 8.06% (Inception date October 16, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/ALLIANCE CAPITAL GROWTH FUND ALLIANCE CAPITAL MANAGEMENT L.P. SYED HASNAIN, JIM REILLY OBJECTIVE: JNL/Alliance Capital Growth Fund seeks as its investment objective long-term growth of capital by investing primarily in common stocks or securities with common stock characteristics which demonstrate the potential for appreciation. MONEY MANAGER COMMENTARY: After three years of historic correction, the U.S. equity market staged a strong recovery in calendar year 2003. Economic growth, as demonstrated by the third quarter GDP figure of 8.2% which is likely to be over 5% in the fourth quarter, is more robust than most anticipated. Inventory levels as measured by the inventory to sales ratio are at historically low levels. Further, the weakness of the U.S. dollar should support strong profit gains for U.S. domiciled multinational companies. As the economy shifts from losing jobs to creating jobs, economic growth should be sustained into the future. The Institute for Supply Management reported that the nation's manufacturing sector completed the year with its most robust month of growth in over twenty years, providing encouragement that economic growth was continuing to gain momentum. Unemployment claims as defined by the number of Americans filing first-time applications for state unemployment benefits declined to the lowest level in almost three years in the final week of the year. The Conference Board reported that its consumer confidence index slipped from its 14-month high of 92.5 to 91.3, but still reflected a relatively strong attitude towards the economy. Investors remained divided on whether the Federal Reserve would alter its accommodative stance while the dollar continued to come under pressure, sinking to another round of multi-year lows. Other notable news during the month included the discovery of a case of mad cow disease in the Pacific Northwest, triggering some concerns among meat, food and restaurant companies and causing Japanese officials to impose a ban on U.S. beef imports. On the international front, an investigation into the collapse of Parmalat in Italy unveiled potentially $11 billion in liabilities. Technology stocks finished the year on a strong note as the NASDAQ composite surged over 50 percent, recording its third best year ever and the highest level since January 2001. Upbeat sentiment for the sector was supported by continued expectations for growth in information-technology spending. Gartner and SoundView Technology Group's survey of 600 executives reported that technology-spending budgets will increase 1.6 percent in 2004 and that the majority of respondents feel "positive or slightly positive" about their organization's outlook next year, with 44 percent expecting their IT budgets to increase in the upcoming year. In the PC arena, research firm IDC revised its forecast for growth of shipments from 10.2 percent to 11.4 percent to predict larger increases for 2004 sales growth. The firm credited the consumer rather than business purchases for the upswing yet stated that overall growth shows the market in mid-recovery and that they expect greater business participation in 2004. Financial stocks also rallied during the month as investors remained confident the Federal Reserve would stay committed to low interest rates until the economic rebound solidifies. Stocks of investment banks reached 52-week highs during the month as the low interest rates fueled bond issuance and recovering stocks convinced more companies to raise capital. Stock and bond underwriting concluded 2003 by topping $5.3 trillion, about 25 percent more than in 2002, according to market research firm Thomson Financial. The retail sector completed a strong year of performance as the S&P Retail Index ran up 42 percent for 2003. Yet, early in the final month of the year the index stumbled as investors became wary that holiday sales would not meet the heightened expectations. In late November, many retailers warned that their holiday and fourth-quarter results might not match analysts and investors estimates. Despite any significant change in fundamentals for the sector, healthcare stocks lifted during December. Investors appeared to lock in year-end gains in the higher-beta sectors, rotating into areas such as the larger pharmaceutical companies. The Amex Pharmaceutical Index welcomed the lift after closing the year up 12 percent, lagging the strong performance seen in the broader market indexes because of the industry pressures on concerns about competition from lower priced generics and lack of new blockbuster drugs. However, the Amex Biotechnology Index was among the sector's leading groups, ending the year with gains of over 45 percent. While some analysts argue that this arena within healthcare has peaked above its trading range, others contend that there is further optimism for these stocks in 2004, noting that pharmaceutical companies are endorsing the value of the biotech industry's groundbreaking science. OUTLOOK Our forecast for U.S. economic growth and equity markets for 2004 remains slightly ahead of consensus estimates reflecting our generally optimistic view for the upcoming year. First, consumers are largely upbeat about the economy and job market. This was confirmed by the University of Michigan's recent poll indicating that, "by more than a two-to-one margin consumers anticipate a higher rate of economic growth in 2004 than in 2003, and more consumers expected declines in the unemployment rate than at anytime during the past twenty years." Second, business confidence continues to grow, driven by soaring operating profits and rising optimism about growth and sales. The inventory-rebuilding cycle will likely soon ramp up with the new orders component of the ISM manufacturing index jumping almost ten points in November, to its highest reading in twenty years. In our opinion, we feel that this inventory-rebuilding cycle will likely prove to be long and sustained as inventories are at all-time lows relative to final demand, and, final sales are expected to keep growing at a relatively fast pace given the strength in profits and job growth. Third, optimism within the investment community is clearly growing. This was represented by the UBS/Gallop poll of individual investors which was conducted in November and showed that 64 percent felt that it was a good time to invest and that roughly 60 percent expressed optimism about the stock market over the next year. Finally, we would note that a considerable amount remains in the fiscal pipeline which will come due in 2004. The Federal Reserve reduced official rates by 25 basis points less than six months ago and it takes at least 12 months for the incremental monetary stimulus to be fully felt in the economy. Consumers will also receive the second installment of last year's tax cut early in the year which should reinforce the positive tone. PORTFOLIO POSITIONING Reflecting this optimism from an investment standpoint, we are continuing our commitment towards slowly increasing the aggressiveness in the Fund at the stock-specific level. True to our S=F+P philosophy which we have consistently applied for over 25 years, we believe that successful investing stems from the correct marriage of fundamentals, gleaned from company specific research, and price. We continue to focus on the factors that in this equation have proven relatively trustworthy in determining a company's ability to sustain exceptional growth over the long term, such as an emphasis on research and development, talented and experienced management, and a strong balance sheet. That said, in the Fund we are currently continuing to take advantage of price strengths particularly in some of our financial positions, trimming them back on a stock-by-stock basis. As the positive data continues to reveal strength in capital spending in the technology arena, we continue to seek opportunities to add to existing names which we feel are competitively positioned in their respective markets, where our conviction in the fundamentals is strong and where valuations remain attractive. We are also continuing to look for opportunities to add to existing positions as well as initiate new positions in the internet space where we are finding continued strong media matrix and activity. Although last year's market rally was led by the smaller-capitalization, low quality, high-beta stocks, we have not veered from our investment discipline in owning only high quality, large capitalization companies. We feel that these companies continue to display healthy and sustainable fundamentals and are selling at unusually attractive relative valuations even though they have met or beat earnings expectations over the course of the past year. With the likely transition from a liquidity-driven rally to a more enduring earnings-driven rally, we remain confident that the Fund is well positioned to benefit as investors become more discerning about fundamentals. JNL/ALLIANCE CAPITAL GROWTH FUND [GRAPH OMITTED] Date JNL/Alliance Capital Growth Fund S&P 500 Index 3/2/1998 10,000.00 10,000 3/31/1998 10,410.00 10,551 4/30/1998 10,680.00 10,647 5/31/1998 10,540.00 10,447 6/30/1998 11,280.00 10,858 7/31/1998 11,530.00 10,743 8/31/1998 9,360.00 9,191 9/30/1998 10,060.00 9,780 10/31/1998 11,050.00 10,575 11/30/1998 11,770.00 11,216 12/31/1998 13,280.00 11,861 1/31/1999 14,670.00 12,357 2/28/1999 13,930.00 11,973 3/31/1999 14,650.00 12,453 4/30/1999 14,480.00 12,935 5/31/1999 14,030.00 12,629 6/30/1999 15,280.00 13,330 7/31/1999 14,880.00 12,914 8/31/1999 14,690.00 12,850 9/30/1999 14,470.00 12,498 10/31/1999 15,600.00 13,289 11/30/1999 15,900.00 13,559 12/31/1999 17,029.43 14,357 1/31/2000 16,169.77 13,636 2/29/2000 16,046.96 13,378 3/31/2000 17,919.79 14,687 4/30/2000 17,285.28 14,245 5/31/2000 16,875.92 13,953 6/30/2000 17,387.62 14,297 7/31/2000 17,254.57 14,073 8/31/2000 18,165.40 14,947 9/30/2000 16,353.98 14,158 10/31/2000 15,924.15 14,098 11/30/2000 14,194.60 12,987 12/31/2000 14,033.34 13,050 1/31/2001 15,193.29 13,513 2/28/2001 12,894.10 12,281 3/31/2001 11,889.50 11,503 4/30/2001 13,298.02 12,397 5/31/2001 13,235.88 12,480 6/30/2001 12,583.40 12,176 7/31/2001 12,293.41 12,056 8/31/2001 11,257.74 11,302 9/30/2001 10,325.64 10,389 10/31/2001 10,781.34 10,587 11/30/2001 11,858.43 11,399 12/31/2001 11988.76 11499.27 1/31/2002 11367.05 11338.28 2/28/2002 10838.59 11119.63 3/31/2002 11304.88 11537.83 4/30/2002 10393.03 10838.31 5/31/2002 10185.79 10758.47 6/30/2002 9460.45 9992.16 7/31/2002 8755.84 9213.18 8/31/2002 8931.99 9273.63 9/30/2002 8061.59 8265.76 10/31/2002 8745.48 8993.31 11/30/2002 8963.08 9522.64 12/31/2002 8268.83 8958.11 01/31/2003 7999.42 8,723.43 02/28/2003 7875.07 8,592.54 03/31/2003 8144.48 8,675.98 04/30/2003 8890.54 9,390.65 05/31/2003 9170.32 9,885.42 06/30/2003 9139.23 10,011.48 07/31/2003 9481.18 10,188.02 08/31/2003 9636.6 10,386.68 09/30/2003 9450.09 10,276.44 10/31/2003 9988.91 10,857.69 11/30/2003 9957.82 10,953.21 12/31/2003 10279.04 11,527.74 AVERAGE ANNUAL TOTAL RETURN 1 Year 24.31% Since inception 0.47% (Inception date March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND (FORMERLY JNL/JPMOREGAN ENHANCED S&P 500 STOCK INDEX FUND)* CURIAN CAPITAL LLC TEAM MANAGEMENT OBJECTIVE: JNL/Curian Enhanced S&P 500 Stock Index Fund seeks as its investment objective to provide high total return by investing in a broadly diversified portfolio of equity securities. MONEY MANAGER COMMENTARY: In 2003, the S&P 500 Index soared 28.7%. Investors responded enthusiastically to lower quality, higher beta investments, bidding up price/earnings multiples for the most beaten- down stocks, particularly in the Technology, Financial and Industrial sectors. On the flip side of this same coin, the stocks of stable, dividend-paying, high-quality companies did not fare as well overall. A benign interest rate environment, supported by steady corporate profit improvement, put a floor on valuation. However, uncertainty surrounding employment growth and consumer spending remained, nagging reminders that potential pitfalls remain in today's euphoric market environment. As for ourselves, we spent the past year wondering when and/or if corporate capital spending would ever kick in to take some of the pressure off consumer spending, which thus far has kept the economic recovery chugging along. The end of the year finished with a real New Year's bang. Instead of the portfolio window dressing that one would expect from a normally quiet December, investors responded to positive economic data, the capture of Saddam Hussein and other good news by driving major indices ever higher. PORTFOLIO REVIEW For the full year 2003, the Fund was supported by strong stock selection across a number of sectors. The top contributors were stocks identified by our dividend discount methodology as having strong potential, but low valuations. Examples included Countrywide and Capital One in the Financial Services sector, Guidant in the Healthcare sector, and PG&E in the Utilities sector. Guidant outperformed its peers on the back of significant market share gains and a strong 2004 EPS forecast. Countrywide outpaced the company's financial peers as it benefited from various bullish analyst reports, increased 2003 and 2004 earnings guidance, market share gains and continued low interest rates. On the other hand, an overweight in retailer Kohl's detracted from results, as it fell on disappointing same-store sales. We remain overweight the stock, however, believing that the company's struggling women's apparel area will show improvement over the next few quarters. We also feel that the company's pricing as a whole will stabilize and that its inventory strategy will be more efficient. An overweight position in media concern Viacom and an underweight in wireless service provider Nextel Communications also detracted from results. OUTLOOK As 2004 begins to unfold, investors still appear to be optimistic, with many anticipating a continuation of the present low interest rate environment, while awaiting fourth-quarter earnings releases and further improvement in the corporate economy. For our part, we continue to seek to outperform the S&P 500 through strong stock selection, grounded in the proprietary insights of our fundamental research analysts. Our outlook for equities in 2004 remains rather optimistic, despite 2003's run-up. At this point, we are in the midst of a "Goldilocks" economy, one where things are not too hot and not too cold, but just right.The question at hand is how the markets will respond if the economy becomes too hot, causing inflation fears to grow and interest rates to rise. If, however, we can remain in this "sweet spot," enjoying strong earnings and low inflation, 2004 is likely to be another good year for equity investors. JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND [GRAPH OMITTED] Date JNL/Curian Enhanced S&P 500 Stock Index Fund S&P 500 Index 05/16/1999 10,000.00 10,000.00 05/31/1999 9,770.00 9,723.48 06/30/1999 10,240.00 10,263.11 07/31/1999 9,910.00 9,942.65 08/31/1999 9,840.00 9,893.48 09/30/1999 9,570.00 9,622.24 10/31/1999 10,080.00 10,231.16 11/30/1999 10,240.00 10,439.15 12/31/1999 10,685.25 11,053.96 01/31/2000 10,119.68 10,498.59 02/29/2000 9,897.49 10,299.84 03/31/2000 10,877.14 11,307.48 04/30/2000 10,483.26 10,967.30 05/31/2000 10,240.87 10,742.27 06/30/2000 10,483.26 11,007.09 07/31/2000 10,331.77 10,834.99 08/31/2000 10,978.13 11,508.00 09/30/2000 10,271.17 10,900.43 10/31/2000 10,250.97 10,854.35 11/30/2000 9,392.52 9,998.61 12/31/2000 9,469.07 10,047.53 01/31/2001 9,864.46 10,404.01 02/28/2001 8,921.61 9,455.34 03/31/2001 8,333.59 8,856.33 04/30/2001 9,053.40 9,544.56 05/31/2001 9,154.79 9,608.52 06/30/2001 8,941.88 9,374.66 07/31/2001 8,850.64 9,282.35 08/31/2001 8,282.90 8,701.28 09/30/2001 7,502.26 7,998.63 10/31/2001 7,664.47 8,151.15 11/30/2001 8,272.76 8,776.41 12/31/2001 8353.88 8853.43 01/31/2002 8160.55 8729.48 02/28/2002 7967.22 8561.14 03/31/2002 8272.48 8883.12 04/30/2002 7712.84 8344.55 05/31/2002 7641.61 8283.08 06/30/2002 7041.27 7693.09 07/31/2002 6491.81 7093.35 08/31/2002 6532.51 7139.89 09/30/2002 5789.72 6363.92 10/31/2002 6278.13 6924.06 11/30/2002 6664.79 7331.6 12/31/2002 6270.21 6896.96 01/31/2003 6107.35 6,716.28 02/28/2003 6015.74 6,615.51 03/31/2003 6076.82 6,679.74 04/30/2003 6575.58 7,229.98 05/31/2003 6952.2 7,610.91 06/30/2003 7023.45 7,707.96 07/31/2003 7104.89 7,843.88 08/31/2003 7227.03 7,996.83 09/30/2003 7145.6 7,911.96 10/31/2003 7573.12 8,359.47 11/30/2003 7674.91 8,433.02 12/31/2003 8094.11 8,875.35 AVERAGE ANNUAL TOTAL RETURN 1 Year 20.09% Since inception -4.46% (Inception date May 16, 1999) *PRIOR TO 12/15/03, THE FUND WAS MANAGED BY JP MORGAN INVESTMENT MANAGEMENT, INC. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/CURIAN S&P 400 MIDCAP INDEX FUND (FORMERLY JNL/MELLON CAPITAL MANAGEMENT S&P 400 MID CAP INDEX FUND)* CURIAN CAPITAL LLC TEAM MANAGEMENT OBJECTIVE: JNL/Curian S&P 400 MidCap Index Fund seeks as its investment objective long-term capital growth by investing in equity securities of medium capitalization weighted domestic corporations and matching the performance of the S&P 400 Index. MONEY MANAGER COMMENTARY: Stocks were strong in 2003, as the S&P 500 Index gained 28.7%. This marked the index's highest return since it gained 33.3% in 1997. More than 90 percent of the stocks in the S&P 500 rallied in 2003, the benchmark's broadest advance in at least 23 years. The 10 biggest S&P 500 companies, led by General Electric Co., Microsoft Corp. and Exxon Mobil Corp., climbed, and all 10 industry groups increased. Also, 459 of the 500 companies rose, the most since at least 1980, according to S&P, as investors bet the economy's surge would extend into 2004. The rally contrasts with 1999, the last year the market advanced, when about half of the S&P 500 members rose and the increases were concentrated in the largest companies' shares and technology stocks. The breadth of this year's advance speaks to the strength in the economy. Technology companies led the gains last year, as they did in 1999. An index of 83 computer related companies in the S&P 500 rose 47%. Telecommunications stocks added 3.3%, the smallest increase among the 10 industry groups. Among the 10 largest companies in the index, Intel Corp. had the biggest gain. Shares of the world's No. 1 semiconductor producer more than doubled. Cisco Systems Inc., the biggest maker of computer networking equipment rose 85%. The war in Iraq took center stage during the first quarter of 2003 as markets finished lower. At the beginning of the quarter, despite some strong gains, investors were uncertain as to the timing and potential length of the war, and were loathe to make large commitments in the markets. Trading volume during the quarter was consistently lower than the recent norm. Prior to the start of the war on March 19, with military action all but assured, equities rallied sharply over an eight-day period, with the S&P 500 gaining nearly 12%. Once the war began in earnest, equity markets hung one very item of news about the military campaign, eschewing the typical indicators that drive investment in stocks. The performance for the rest of March was volatile, depending on news reports of success or failure on the battlefield. For the quarter, the S&P 500 fell 3.2% and the Russell 3000 lost 3.0%. The U.S. equity markets surged in the second quarter as investor sentiment improved. A quick end to the war in Iraq and first quarter earnings results that outpaced expectations gave investors encouragement for the remainder of 2003. Combined with the lowest interest rates in nearly half a century, a weaker U.S. dollar, and a $350 billion tax stimulus package, investors rushed into stocks in the hope that the long-awaited recovery in the economy had arrived. Though the rally slackened toward the end of the quarter as investors questioned the evidence of a pickup in the economy, the S&P 500 returned 15.4%, the best quarterly result since the fourth quarter of 1998. Stocks extended their gains in the third quarter of 2003, with the positive sentiment inspired by better-than-expected economic growth and corporate earnings. The broad market posted its second quarterly advance in a row -- a first since the beginning of 2000. Through August, the S&P 500 rose for six straight months and the Nasdaq Composite advanced for seven, their longest streaks since 1998 and 1995, respectively. Though the streaks ended in September,the major indices still posted gains for the second straight quarter. The S&P 500 Index delivered a 2.7% total return in the quarter. Stocks finished the year in grand fashion, as the broad S&P 500 gained 12.2%. Stocks forged ahead as the anticipated strength in corporate earnings and economic data continued to materialize. The positive news during the quarter -bullish reports on corporate profits, GDP growth and productivity - exceeded the expectations of investors and provided support for the gains. MID CAP STOCKS Mid cap stocks outperformed large capitalization stocks, as the S&P 400(R) Index rose 35.6%. JNL/CURIAN S&P 400 MIDCAP INDEX FUND [GRAPH OMITTED] Date JNL/Curian S&P 400 MidCap Index Fund S&P 400 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 10,080.00 10,031.85 2/28/2002 10,090.00 10,044.17 3/31/2002 10,800.00 10,762.20 4/30/2002 10740 10,711.87 5/31/2002 10,560.00 10,531.22 6/30/2002 9,780.00 9,760.38 7/31/2002 8,830.00 8,814.76 8/31/2002 8,870.00 8,859.21 9/30/2002 8,150.00 8,145.51 10/31/2002 8,500.00 8,498.39 11/30/2002 8,980.00 8,989.94 12/31/2002 8606.01 8,624.99 1/31/2003 8344.31 8,372.96 2/28/2003 8143 8,173.54 3/31/2003 8213.46 8,242.47 4/30/2003 8797.26 8,840.74 5/31/2003 9521.97 9,573.53 6/30/2003 9642.76 9,695.41 7/31/2003 9974.92 10,039.59 8/31/2003 10417.8 10,494.82 9/30/2003 10256.75 10,334.16 10/31/2003 11021.73 11,115.65 11/30/2003 11394.16 11,502.98 12/31/2003 11579.61 11,697.07 AVERAGE ANNUAL TOTAL RETURN 1 Year 34.55% Since inception 7.76% (Inception date January 15, 2002) *PRIOR TO 12/15/03, THE FUND WAS MANAGED BY MELLON CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/CURIAN S&P 500 INDEX FUND (FORMERLY JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND)* CURIAN CAPITAL LLC TEAM MANAGEMENT OBJECTIVE: JNL/Curian S&P 500 Index Fund seeks as its investment objective long-term capital growth by matching the performance of the S&P 500 Index. MONEY MANAGER COMMENTARY: Stocks were strong in 2003, as the S&P 500 Index gained 28.7%. This marked the index's highest return since it gained 33.3% in 1997. More than 90 percent of the stocks in the S&P 500 rallied in 2003, the benchmark's broadest advance in at least 23 years. The 10 biggest S&P 500 companies, led by General Electric Co., Microsoft Corp. and Exxon Mobil Corp., climbed, and all 10 industry groups increased. Also, 459 of the 500 companies rose, the most since at least 1980, according to S&P, as investors bet the economy's surge would extend into 2004. The rally contrasts with 1999, the last year the market advanced, when about half of the S&P 500 members rose and the increases were concentrated in the largest companies' shares and technology stocks. The breadth of this year's advance speaks to the strength in the economy. Technology companies led the gains last year, as they did in 1999. An index of 83 computer related companies in the S&P 500 rose 47%. Telecommunications stocks added 3.3%, the smallest increase among the 10 industry groups. Among the 10 largest companies in the index, Intel Corp. had the biggest gain. Shares of the world's No. 1 semiconductor producer more than doubled. Cisco Systems Inc., the biggest maker of computer networking equipment rose 85%. The war in Iraq took center stage during the first quarter of 2003 as markets finished lower. At the beginning of the quarter, despite some strong gains, investors were uncertain as to the timing and potential length of the war, and were loathe to make large commitments in the markets. Trading volume during the quarter was consistently lower than the recent norm. Prior to the start of the war on March 19, with military action all but assured, equities rallied sharply over an eight-day period, with the S&P 500 gaining nearly 12%. Once the war began in earnest, equity markets hung one very item of news about the military campaign, eschewing the typical indicators that drive investment in stocks. The performance for the rest of March was volatile, depending on news reports of success or failure on the battlefield. For the quarter, the S&P 500 fell 3.2% and the Russell 3000 lost 3.0%. The U.S. equity markets surged in the second quarter as investor sentiment improved. A quick end to the war in Iraq and first quarter earnings results that outpaced expectations gave investors encouragement for the remainder of 2003. Combined with the lowest interest rates in nearly half a century, a weaker U.S. dollar, and a $350 billion tax stimulus package, investors rushed into stocks in the hope that the long-awaited recovery in the economy had arrived. Though the rally slackened toward the end of the quarter as investors questioned the evidence of a pickup in the economy, the S&P 500 returned 15.4%, the best quarterly result since the fourth quarter of 1998. Stocks extended their gains in the third quarter of 2003, with the positive sentiment inspired by better-than-expected economic growth and corporate earnings. The broad market posted its second quarterly advance in a row -- a first since the beginning of 2000. Through August, the S&P 500 rose for six straight months and the Nasdaq Composite advanced for seven, their longest streaks since 1998 and 1995, respectively. Though the streaks ended in September,the major indices still posted gains for the second straight quarter. The S&P 500 Index delivered a 2.7% total return in the quarter. Stocks finished the year in grand fashion, as the broad S&P 500 gained 12.2%. Stocks forged ahead as the anticipated strength in corporate earnings and economic data continued to materialize. The positive news during the quarter -bullish reports on corporate profits, GDP growth and productivity - exceeded the expectations of investors and provided support for the gains. JNL/CURIAN S&P 500 INDEX FUND [GRAPH OMITTED] Date JNL/Curian S&P 500 Index Fund S&P 500 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 9,920.00 9,865.00 2/28/2002 9,720.00 9,674.76 3/31/2002 10,080.00 10,038.62 4/30/2002 9460 9,430.00 5/31/2002 9,380.00 9,360.53 6/30/2002 8,710.00 8,693.80 7/31/2002 8,040.00 8,016.04 8/31/2002 8,090.00 8,068.63 9/30/2002 7,210.00 7,191.72 10/31/2002 7,830.00 7,824.73 11/30/2002 8,280.00 8,285.28 12/31/2002 7790 7,794.10 1/31/2003 7580 7,589.92 2/28/2003 7470 7,476.04 3/31/2003 7530 7,548.64 4/30/2003 8140 8,170.45 5/31/2003 8570 8,600.92 6/30/2003 8670 8,710.60 7/31/2003 8820 8,864.20 8/31/2003 8990 9,037.05 9/30/2003 8890 8,941.14 10/31/2003 9390 9,446.86 11/30/2003 9460 9,529.97 12/31/2003 9955.13 10,029.85 AVERAGE ANNUAL TOTAL RETURN 1 Year 27.79% Since inception -0.23% (Inception date January 15, 2002) *PRIOR TO 12/15/2003, THE FUND WAS MANAGED BY MELLON CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/CURIAN SMALL CAP INDEX FUND (FORMERLY JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND)* CURIAN CAPITAL LLC TEAM MANAGEMENT OBJECTIVE: JNL/Curian Small Cap Index Fund seeks as its investment objective long-term capital growth by investing in equity securities of small to mid-size domestic companies matching the performance of the Russell 2000 Index. MONEY MANAGER COMMENTARY: Stocks were strong in 2003, as the S&P 500 Index gained 28.7%. This marked the index's highest return since it gained 33.3% in 1997. More than 90 percent of the stocks in the S&P 500 rallied in 2003, the benchmark's broadest advance in at least 23 years. The 10 biggest S&P 500 companies, led by General Electric Co., Microsoft Corp. and Exxon Mobil Corp., climbed, and all 10 industry groups increased. Also, 459 of the 500 companies rose, the most since at least 1980, according to S&P, as investors bet the economy's surge would extend into 2004. The rally contrasts with 1999, the last year the market advanced, when about half of the S&P 500 members rose and the increases were concentrated in the largest companies' shares and technology stocks. The breadth of this year's advance speaks to the strength in the economy. Technology companies led the gains last year, as they did in 1999. An index of 83 computer related companies in the S&P 500 rose 47%. Telecommunications stocks added 3.3%, the smallest increase among the 10 industry groups. Among the 10 largest companies in the index, Intel Corp. had the biggest gain. Shares of the world's No. 1 semiconductor producer more than doubled. Cisco Systems Inc., the biggest maker of computer networking equipment rose 85%. The war in Iraq took center stage during the first quarter of 2003 as markets finished lower. At the beginning of the quarter, despite some strong gains, investors were uncertain as to the timing and potential length of the war, and were loathe to make large commitments in the markets. Trading volume during the quarter was consistently lower than the recent norm. Prior to the start of the war on March 19, with military action all but assured, equities rallied sharply over an eight-day period, with the S&P 500 gaining nearly 12%. Once the war began in earnest, equity markets hung one very item of news about the military campaign, eschewing the typical indicators that drive investment in stocks. The performance for the rest of March was volatile, depending on news reports of success or failure on the battlefield. For the quarter, the S&P 500 fell 3.2% and the Russell 3000 lost 3.0%. The U.S. equity markets surged in the second quarter as investor sentiment improved. A quick end to the war in Iraq and first quarter earnings results that outpaced expectations gave investors encouragement for the remainder of 2003. Combined with the lowest interest rates in nearly half a century, a weaker U.S. dollar, and a $350 billion tax stimulus package, investors rushed into stocks in the hope that the long-awaited recovery in the economy had arrived. Though the rally slackened toward the end of the quarter as investors questioned the evidence of a pickup in the economy, the S&P 500 returned 15.4%, the best quarterly result since the fourth quarter of 1998. Stocks extended their gains in the third quarter of 2003, with the positive sentiment inspired by better-than-expected economic growth and corporate earnings. The broad market posted its second quarterly advance in a row -- a first since the beginning of 2000. Through August, the S&P 500 rose for six straight months and the Nasdaq Composite advanced for seven, their longest streaks since 1998 and 1995, respectively. Though the streaks ended in September,the major indices still posted gains for the second straight quarter. The S&P 500 Index delivered a 2.7% total return in the quarter. Stocks finished the year in grand fashion, as the broad S&P 500 gained 12.2%. Stocks forged ahead as the anticipated strength in corporate earnings and economic data continued to materialize. The positive news during the quarter -bullish reports on corporate profits, GDP growth and productivity - exceeded the expectations of investors and provided support for the gains SMALL CAP STOCKS Small cap stocks were solid performers in 2003, as the Russell 2000(R) surged 47.3%. JNL/CURIAN SMALL CAP INDEX FUND [GRAPH OMITTED] Date JNL/Curian Small Cap Index Fund Russell 2000 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 10,010.00 9,965.00 2/28/2002 9,740.00 9,692.32 3/31/2002 10,520.00 10,471.98 4/30/2002 10630 10,567.22 5/31/2002 10,150.00 10,098.34 6/30/2002 9,670.00 9,596.44 7/31/2002 8,220.00 8,146.93 8/31/2002 8,190.00 8,126.08 9/30/2002 7,600.00 7,542.36 10/31/2002 7,830.00 7,784.03 11/30/2002 8,500.00 8,478.54 12/31/2002 8,021.44 8,007.24 1/31/2003 7789.08 7,786.56 2/28/2003 7566.82 7,551.36 3/31/2003 7647.65 7,648.56 4/30/2003 8364.93 8,373.42 5/31/2003 9233.75 9,271.90 6/30/2003 9405.49 9,440.46 7/31/2003 9981.34 10,030.73 8/31/2003 10435.95 10,490.92 9/30/2003 10244.01 10,297.57 10/31/2003 11092.62 11,162.05 11/30/2003 11476.52 11,558.13 12/31/2003 11701.89 11,794.02 AVERAGE ANNUAL TOTAL RETURN 1 Year 45.88% Since inception 8.34% (Inception date January 15, 2002) *PRIOR TO 12/15/2003, THE FUND WAS MANAGED BY MELLON CAPITAL MANAGEMENT. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] THE EAGLE/JNL CORE EQUITY FUND EAGLE ASSET MANAGEMENT, INC. TEAM MANAGEMENT OBJECTIVE: The Eagle/JNL Core Equity Fund ("the Fund") is invested in a diversified portfolio of common stocks and its primary objective is long-term capital appreciation with current income being a secondary objective. The Fund consists of three separately managed constituent portfolios (all managed by different investment teams at sub-advisor Eagle Asset Management, Inc.): (i) the Growth Equity portfolio (40% of Funds' assets comprised of mostly large cap growth companies); (ii) the Value Equity portfolio (40% of Funds' assets comprised of mostly mid and large cap value companies); and (iii) Equity Income portfolio (20% of Funds' assets comprised of mostly mid and large cap companies paying a steady or rising dividend). The Fund is designed to be a core large cap equity holding around which investors can build a diversified equity portfolio. MONEY MANAGER COMMENTARY: The U.S. economy is starting to show the beginning phases of a recovery period. Monetary and fiscal stimuli appear to have set the stage for a sustainable recovery. The federal funds rate remains at a historic trough of 1%. The low borrowing costs allow corporations to spend on capital equipment and new projects. The dollar continues to weaken while economies outside the United States begin recovering. U.S. multinational companies that generate revenues and profits overseas garnered a near-term competitive advantage from the currency translation. Increased government spending has also aided the recovery, pumping more money into the economy. Tax cuts and an improving employment picture have bolstered the consumer over the course of the year, sustaining the recovery throughout its early and current stages. On the corporate level, increased productivity has led to profit growth. An improving real gross domestic product has reflected these positive developments throughout the year. PERFORMANCE DISCUSSION The Fund was up 24.54% in calendar year 2003 while the benchmark S&P 500 Index was up 28.69%. The Fund has a 40 percent value allocation and a 20 percent equity income allocation. Thus, 60 percent of its assets are in relatively conservative strategies that have served investors very well in the rocky markets of 2000, 2001 and 2002. In general, the market recovery of 2003 was led by lower-quality, higher-priced stocks in the technology and telecommunications sectors that don't tend to be areas heavily represented in the Fund's overall portfolio. In such an environment, it is not surprising that the Fund slightly lagged the market. As the economic recovery continues, however, we believe other more traditional sectors will also begin to participate in the improving equity markets as well. This broadening of the market recovery in 2004 should benefit many of the Fund's holdings that were laggards in 2003. PORTFOLIO POSITIONING Below is a brief overview of contributions made by the three constituent portfolios in 2003: GROWTH EQUITY There were mostly winning sectors in 2003 for the Growth Equity portion of the Fund with the financial services, consumer/retail and technology sectors all contributing nicely on the upside. Our financial services sector performance benefited from strong showings by Lehman Brothers, Goldman Sachs and Citigroup. Some of the most significant portfolio moves this year came in the consumer/retail sector where we shifted money from consumer staples names and into more discretionary names. We sold positions in Colgate-Palmolive, Anheuser-Busch and Coca-Cola and added several media names including Time Warner, Univision and Lamar Advertising. Some media names, including Viacom and Westwood One, detracted from performance while the sector has dealt with softer-than-expected local advertising sales but we are seeing strength in national advertising and believe the pending economic recovery may lead to a stronger local ad environment in 2004. Technology's performance improved as the year progressed with consumer spending as the principal driver. Technology holdings Intel, Taiwan Semiconductor and Fairchild Semiconductor benefited performance, while LSI Logic and Lockheed Martin hurt performance. Our healthcare sector performance was hurt due to the lagging performance of some large-cap pharmaceutical stocks such as MedImmune and Merck. Merck suffered from pipeline concerns and MedImmune's nasally inhaled FluMist flu vaccine had a slower-than-expected sales. Positions in Baxter and St. Jude, both beneficiaries of having new products out, did aid the sector's performance. Now that the long-awaited prescription drug legislation has been enacted, we believe much of the uncertainty that held back the large pharmaceutical stocks in 2003 is gone and we believe it is a sector that holds much promise in 2004. VALUE EQUITY During 2003, top-performing sectors in the Value Equity portion of the Fund were telecommunications, financials and consumer cyclicals. BellSouth, SBC Communications and Verizon Communications reported losing fewer hard-wired telephone customers, which should allow the growth in high-speed Internet, wireless and South America to more than offset those losses. Major banks and brokerage houses moderately outperformed the market during 2003. The solid performance of US Bancorp, Wells Fargo, Lehman Brothers Holdings, JP Morgan Chase and Citigroup was driven by solid earnings growth, improving credit quality and defensive posturing. There was also a reduction in loan-loss pressure that had been prevalent during 2002. An improving cyclical economy and better revenues drove Federated Department Stores and Gannett shares higher. Honda continues to take market share in the North American marketplace from domestic manufacturers. While all major sectors were positive for the year, there were individual stocks held in the Value Equity portion of the Fund that had disappointing returns. Shares of some defense manufacturers, including Lockheed Martin, faded since the end of the conflict in Iraq. We continue to hold the stock, as the long-term outlook for defense spending remains solid and we find the stock's valuation compelling. TECO had become highly levered to several power plants it is building and was struggling to pay for them before they became operational. It then suffered from a ratings downgrade, which took up nearly all the slack that was left in the company's financial position and we sold the stock. EQUITY INCOME The Equity Income portion of the Fund had a rewarding 2003, though the safer, large-capitalization dividend-paying stocks we like in this portfolio tended to lag behind the riskier segments of the market that seemed to be most in favor with investors. This portfolio benefited in several ways from a renewed focus on dividends. First, there's the tax break on dividends that was part of the 2003 tax law. Second, many of the stocks we hold have increased their dividends substantially, which is equivalent to an unexpected raise for shareholders. Third, and most important from a long-term perspective, a variety of companies have lifted their dividend payouts high enough that their stocks now meet our yield criteria for inclusion in the portfolio. This has broadened our choices among stocks, which has created opportunities to add high-quality stocks that we would not have considered at lower yields. Top-performing sectors in the Equity Income portion of the Fund included healthcare, capital goods and financials. Pfizer recovered from weak third-quarter results, when blockbuster anti-cholesterol drug Lipitor faced new competition. Pfizer shares also responded favorably to Congress' passage of the Medicare drug reimbursement bill. In the capital goods sector, Deere & Co. benefited from improved farmer cash flow, tax incentives and favorable crop conditions that have supported higher farm-equipment demand. Cooper Industries traded up on cost-cutting initiatives and better sales numbers. 3M reported better-than-expected earnings, revenues and order numbers. Performance of financials was driven by solid earnings growth, improving credit quality and defensive posturing. Also up for the year were REIT holdings, boosted by an improving economic outlook. Down for the year were consumer staples stocks Newell Rubbermaid and Kraft Foods. The restructuring effort of Newell's commodity business is taking longer than the company projected. Kraft suffered from disappointing sales and increased competition in private-label dairy products. OUTLOOK U.S. economic fundamentals continue to improve. We believe tax cuts, government spending, low interest rates and easing credit will likely continue to boost corporate growth into the first half of 2004. The Fed's accommodative monetary policy has been influential in the recovery of the economy and businesses appear to be taking advantage of the low-rate environment by cleaning up their balance sheets and making capital investments. The economy should continue to benefit from historically low interest rates, even if the rates themselves start to ease upward. We look forward now to an increase in corporate spending, which would further bolster the recovery. On the consumer side, spending remains steady as the employment picture stabilizes. All of these factors point, in our view, to a favorable 2004 as more sectors begin to participate in the market's recovery. We believe the Fund, with its diversified approach, should be well positioned to capitalize in the broadening market environment we expect in the coming year. JNL/EAGLE CORE EQUITY FUND [GRAPH OMITTED] Date JNL/Eagle Core Equity Fund S&P 500 Index 09/16/96 10,000.00 10000.00 09/30/96 10,060.00 10054.00 10/31/96 10,250.00 10332.00 11/30/96 10,810.00 11112.00 12/31/96 10,647.07 10892.00 01/31/97 11,158.37 11571.66 02/28/97 11,288.70 11661.92 03/31/97 10,807.48 11183.78 04/30/97 11,328.80 11850.33 05/31/97 12,040.61 12570.83 06/30/97 12,642.14 13134.01 07/31/97 13,634.67 14178.16 08/31/97 13,083.26 13384.18 09/30/97 13,694.82 14117.64 10/31/97 13,424.13 13646.11 11/30/97 13,795.07 14277.92 12/31/97 14,091.34 14522.99 01/31/98 14,122.09 14683.47 02/28/98 15,064.93 15741.94 03/31/98 15,628.58 16609.84 04/30/98 15,536.35 16760.99 05/31/98 15,259.64 16445.88 06/30/98 15,577.34 17093.85 07/31/98 15,290.39 16912.30 08/31/98 13,158.75 14469.43 09/30/98 13,865.88 15396.40 10/31/98 14,839.47 16647.65 11/30/98 15,495.35 17656.21 12/31/98 16,421.70 18673.00 01/31/99 16,659.09 19453.85 02/28/99 16,246.23 18849.46 03/31/99 17,020.35 19603.61 04/30/99 17,773.83 20362.77 05/31/99 17,402.25 19881.93 06/30/99 18,393.13 20985.34 07/31/99 17,949.30 20330.07 08/31/99 17,908.01 20229.54 09/30/99 17,226.78 19674.92 10/31/99 18,331.20 20919.99 11/30/99 19,187.89 21345.27 12/31/99 20,288.39 22602.40 01/31/00 19,673.26 21466.81 02/29/00 19,695.23 21060.43 03/31/00 21,518.66 23120.79 04/30/00 20,804.66 22425.20 05/31/00 20,354.30 21965.08 06/30/00 21,024.35 22506.56 07/31/00 21,035.34 22154.67 08/31/00 22,683.01 23530.79 09/30/00 21,738.35 22288.48 10/31/00 21,364.87 22194.27 11/30/00 19,596.37 20444.49 12/31/00 20,344.67 20544.53 01/31/01 21,085.16 21273.43 02/28/01 19,453.57 19333.65 03/31/01 18,211.05 18108.85 04/30/01 19,754.79 19516.08 05/31/01 19,880.29 19646.86 06/30/01 19,403.37 19168.68 07/31/01 19,240.21 18979.94 08/31/01 18,035.34 17791.80 09/30/01 16,290.80 16355.07 10/31/01 16,893.23 16666.93 11/30/01 18,098.09 17945.42 12/31/01 18,345.35 18102.91 01/31/02 18130.71 17849.47 02/28/02 18004.45 17505.26 03/31/02 18787.25 18163.61 04/30/02 17764.56 17062.39 05/31/02 17562.54 16936.69 06/30/02 16451.47 15730.33 07/31/02 15113.13 14504 08/31/02 15340.4 14599.17 09/30/02 13711.66 13012.51 10/31/02 14620.72 14157.86 11/30/02 15491.91 14991.17 12/31/02 14578.72 14102.44 01/31/03 14260.41 13,733.00 02/28/03 14018.49 13,526.95 03/31/03 14094.89 13,658.30 04/30/03 15202.62 14,783.39 05/31/03 15890.17 15,562.28 06/30/03 16081.16 15,760.73 07/31/03 16323.08 16,038.66 08/31/03 16577.73 16,351.39 09/30/03 16323.08 16,177.86 10/31/03 17099.76 17,092.89 11/30/03 17328.95 17,243.27 12/31/03 18156.21 18,147.74 AVERAGE ANNUAL TOTAL RETURN 1 Year 24.54% 5 Year 2.03% Since inception 8.52% (Inception date September 16, 1996) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/EAGLE SMALLCAP EQUITY FUND EAGLE ASSET MANAGEMENT, INC. BERT L. BOKSEN OBJECTIVE: The JNL/Eagle SmallCap Equity Fund ("the Fund") is designed to capture the significant long-term capital appreciation potential of dynamic small companies whose market capitalization at time of purchase is generally between $100 million and $1.25 billion. Using extensive fundamental research, Eagle attempts to locate those small, rapidly growing, under-researched growth companies that it believes will enable the Fund to outperform the Russell 2000 Index. MONEY MANAGER COMMENTARY: The Russell 2000 Index was up 47.3% for the year, outpacing the 28.7% return of the S&P 500 Index. This pattern is a continuation of several years of outperformance of small-cap stocks over large caps. This is consistent with prior economic cycles when small-cap stocks outperformed large caps following recessionary periods. Leaders of the strong outperformance during the year were nonearners, micro caps, and technology stocks. PERFORMANCE DISCUSSION The Fund had an excellent absolute return of 39.97% for the year but trailed the benchmark Russell 2000 Index which was up 47.3%. Positive sectors for the fund during 2003 included the consumer discretionary and financial services sectors, primarily due to improving sales and solid earnings growth respectively. Individual winners included Eclipsys, a healthcare information technology company; Multimedia Games, a supplier of interactive electronic games; and Integrated Silicon Solution, a provider of computer-memory products. On the down side, materials and processing and health care were the lagging sectors for 2003. Materials and processing underperformance is due primarily to Hughes Supply, a wholesale distributor of construction materials. While positive for the year, our healthcare holdings lagged the benchmark due to the market's focus on micro-cap companies, which we typically do not own. Some holdings notable for their underperformance include SurModics, a provider of coating technologies for medical devices such as stents; and Hilb Rogal and Hamilton, the seventh-largest insurance broker in the United States PRESENT POSITIONING Relative to the Russell 2000 Index, we continue to overweight the consumer discretionary sector due to our holdings in gaming-equipment suppliers, an area that we believe still has tremendous potential. We also are overweight in technology and healthcare because those sectors are currently populated with the types of growth-at-a-reasonable-price characteristics we tend to find most attractive. We have underweighted financial services, industrials and utilities because they are, in our view, less growth-oriented sectors in the near to intermediate term. OUTLOOK The recent market rebound has been fueled by the improving economy and upward revisions of earnings estimates. Small-cap stocks typically lead coming out of a recession, a trend that historically has lasted up to six years. If this holds true again, we are only about two-thirds of the way through this cycle. We remain positive on the market coming into the new year because first-half earnings comparisons will be relatively easy. Of future concern, the economic recovery and increased government spending will put pressure on interest rates, which could mute the market's recovery. JNL/EAGLE SMALLCAP EQUITY FUND [GRAPH OMITTED] Date JNL/Eagle SmallCap Equity Fund Russell 2000 Index 9/16/1996 10,000.00 10,000.00 9/30/1996 10,360.00 10,120.00 10/31/1996 10,420.00 9,964.00 11/30/1996 11,110.00 10,372.00 12/31/1996 11,540.00 10,639.00 1/31/1997 11,810.00 10,849.65 2/28/1997 11,550.00 10,587.09 3/31/1997 11,340.00 10,090.56 4/30/1997 11,460.00 10,115.78 5/31/1997 12,740.00 11,243.69 6/30/1997 13,490.00 11,721.55 7/31/1997 14,410.00 12,268.95 8/31/1997 14,720.00 12,546.22 9/30/1997 16,120.00 13,462.10 10/31/1997 14,980.00 12,864.38 11/30/1997 14,590.00 12,780.76 12/31/1997 14,730.00 13,004.43 1/31/1998 14,860.00 12,806.37 2/28/1998 15,830.00 13,766.97 3/31/1998 17,140.00 14,345.79 4/30/1998 17,480.00 14,274.10 5/31/1998 16,450.00 13,497.59 6/30/1998 15,970.00 13,520.35 7/31/1998 14,350.00 12,416.30 8/31/1998 11,300.00 10,009.25 9/30/1998 12,150.00 10,783.77 10/31/1998 12,930.00 11,226.14 11/30/1998 14,330.00 11,818.87 12/31/1998 14,904.22 12,556.73 1/31/1999 15,879.73 12,719.66 2/28/1999 13,717.52 11,693.89 3/31/1999 13,134.22 11,874.21 4/30/1999 14,260.58 12,936.98 5/31/1999 16,161.33 13,128.01 6/30/1999 16,996.04 13,717.31 7/31/1999 16,553.54 13,339.26 8/31/1999 15,316.55 12,848.24 9/30/1999 14,984.68 12,848.04 10/31/1999 14,753.37 12,902.64 11/30/1999 15,930.02 13,688.15 12/31/1999 17,775.67 15,237.75 1/31/2000 16,581.55 14,990.24 2/29/2000 20,352.46 17,468.17 3/31/2000 18,875.52 16,318.63 4/30/2000 17,031.96 15,336.23 5/31/2000 16277.78 14,440.72 6/30/2000 18299.41 15,702.99 7/31/2000 17545.22 15,211.63 8/31/2000 19210.71 16366.44 9/30/2000 17765.19 15881.71 10/31/2000 16696.77 15174.12 11/30/2000 14842.73 13615.62 12/31/2000 15421.29 14792.96 1/31/2001 17332.66 15563.24 2/28/2001 15899.13 14542.39 3/31/2001 15214.94 13831.48 4/30/2001 16322.67 14913.09 5/31/2001 16865.67 15278.54 6/30/2001 17006.85 15799.99 7/31/2001 16561.59 14966.24 8/31/2001 16040.31 14482.68 9/30/2001 13727.12 12531.5 10/31/2001 14585.06 13266.07 11/30/2001 15844.83 14293.73 12/31/2001 17116.94 15177.01 1/31/2002 17612.29 15020.1 2/28/2002 16896.79 14609.09 3/31/2002 18514.92 15784.26 4/30/2002 18217.71 15927.81 5/31/2002 16984.85 15221.08 6/30/2002 15586.87 14464.58 7/31/2002 13231.23 12279.75 8/31/2002 12967.05 12248.32 9/30/2002 11833.26 11368.49 10/31/2002 12471.7 11732.76 11/30/2002 13484.41 12779.58 12/31/2002 13220.22 12069.2 1/31/2003 12460.69 11,736.57 2/28/2003 11954.34 11,382.06 3/31/2003 12493.72 11,528.56 4/30/2003 13825.65 12,621.13 5/31/2003 14761.3 13,975.40 6/30/2003 15157.58 14,229.46 7/31/2003 16324.39 15,119.17 8/31/2003 17458.18 15,812.81 9/30/2003 16830.74 15,521.38 10/31/2003 17854.46 16,824.40 11/30/2003 18580.96 17,421.40 12/31/2003 18503.91 17,776.95 AVERAGE ANNUAL TOTAL RETURN 1 Year 39.97% 5 Year 4.42% Since inception 8.80% (Inception date September 16, 1996) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/JPMORGAN INTERNATIONAL VALUE FUND JPMORGAN INVESTMENT MANAGEMENT INC. TEAM MANAGEMENT OBJECTIVE: JNL/JPMorgan International Value Fund seeks as its investment objective to provide high total return by investing in equity securities of foreign companies in developed and, to a lesser extent, developing markets. MONEY MANAGER COMMENTARY: Following the outbreak of war in Iraq in mid-March, international equity markets rallied with increasing strength. Low interest rates throughout the developed world and U.S. Congress's approval of a $350-billion package of tax cuts successfully boosted economic activity everywhere. By year-end, there was a clear trend of recovering global growth, with economic data and corporate profits improving across the world. The weak U.S. dollar bolstered U.S. dollar returns from foreign markets. PORTFOLIO REVIEW During the 12 months leading to December 31, 2003, the Fund matched its Salomon Smith Barney PMI Value Index benchmark, rallying by 39.43% compared with the Index's 42.1% rise. Strong stock picking drove performance. Reliance Industries, an Indian conglomerate with interests ranging from bulk chemicals to mobile phones, made the greatest contribution. As demand for raw materials increased, Reliance was able to lift its chemicals prices at a time when sales were also growing. In oil and gas, the strategy of holding second-tier companies rather than the more expensive large caps added to performance. The Portfolio did not own BP or Royal Dutch/Shell, choosing instead to buy TotalFinaElf, ENI and Lukoil. From a negative perspective, the Portfolio suffered from holding Aegon and Bayer, two European companies that experienced unforeseen crises. MARKET OUTLOOK In spite of the substantial rise in equities since the giveaway valuations of March, the combination of an appreciation in bond yields and abundant liquidity (which has kept short rates low), means equities still look attractive. We do not anticipate any valuation appreciation in 2004, so stock gains will depend on genuine earnings progression. As always, we remain confident in our ability to pick stocks at reasonable prices. We do not expect the low-quality momentum rally that dominated parts of 2003 to continue into 2004. JNL/JPMORGAN INTERNATIONAL VALUE FUND [GRAPH OMITTED] MSCI All Country Date JNL/JPMorgan International Value Fund World (ex U.S.) Index 03/02/98 10,000.00 10,000.00 03/31/98 10,490.00 10,172.92 04/30/98 10,750.00 10,230.45 05/31/98 10,320.00 10,028.23 06/30/98 10,230.00 9,976.11 07/31/98 10,270.00 10,055.23 08/31/98 8,560.00 8,621.46 09/30/98 8,140.00 8,424.36 10/31/98 9,200.00 9,292.85 11/30/98 9,600.00 9,778.49 12/31/98 9,875.81 10,099.37 1/31/1999 10,046.77 10,074.91 2/28/1999 9,745.07 9,835.63 3/31/1999 10,278.08 10,294.95 4/30/1999 10,750.75 10,794.99 05/31/99 10,408.82 10,270.82 06/30/99 11,022.29 10,737.95 07/31/99 11,384.33 10,974.69 08/31/99 11,535.18 10,998.39 09/30/99 11,565.35 11,057.82 10/31/99 11,927.40 11,455.15 11/30/99 12,460.41 11,899.54 12/31/99 13,630.84 13,020.00 01/31/00 12,801.59 12,298.12 02/29/00 13,247.31 12,616.88 03/31/00 13,371.70 13,076.18 04/30/00 12,780.86 12,331.10 05/31/00 12,594.28 11,999.28 06/30/00 13,216.22 12,491.85 07/31/00 12,791.22 11,984.42 08/31/00 13,040.00 12,118.22 09/30/00 12,376.60 11,431.90 10/31/00 11,785.76 11,055.79 11/30/00 11,153.45 10,546.89 12/31/00 11,524.73 10,893.00 01/31/01 11,583.59 11,051.34 02/28/01 10,677.15 10,167.69 03/31/01 9,652.99 9,418.28 04/30/01 10,347.54 10,033.84 05/31/01 10,218.04 9,721.21 06/30/01 9,923.75 9,330.13 07/31/01 9,523.50 9,115.73 08/31/01 9,488.18 8,871.90 09/30/01 8,428.71 7,916.70 10/31/01 8,675.92 8,136.17 11/30/01 9040.85 8,501.08 12/31/01 9182.28 8,607.35 01/31/02 8660.96 8212.27 02/28/02 8613.57 8260.78 03/31/02 9075.64 8680.94 04/30/02 9182.28 8679.99 05/31/02 9241.52 8739.77 06/30/02 8566.18 8345.48 07/31/02 7464.3 7524.28 08/31/02 7322.13 7505.93 09/30/02 6445.37 6697.93 10/31/02 6706.02 7051.8 11/30/02 7014.08 7381.73 12/31/02 6740.64 7137.97 01/31/2003 6522.42 6,882.47 02/28/2003 6292.08 6,728.46 03/31/2003 6122.35 6,565.95 04/30/2003 6728.52 7,165.37 05/31/2003 7104.35 7,588.58 06/30/2003 7371.06 7,777.42 07/31/2003 7540.79 7,974.32 08/31/2003 7807.51 8,190.91 09/30/2003 7965.11 8,405.20 10/31/2003 8547.04 8,943.15 11/30/2003 8716.77 9,123.55 12/31/2003 9398.67 9,814.63 AVERAGE ANNUAL TOTAL RETURN 1 Year 39.43% 5 Year -0.98% Since inception -1.06% (Inception date March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/JANUS AGGRESSIVE GROWTH FUND JANUS CAPITAL MANAGEMENT, LLC SCOTT SCHOELZEL OBJECTIVE: JNL/Janus Aggressive Growth Fund seeks as its investment objective long-term growth of capital by investing primarily in common stocks of issuers of any size, including larger, well-established companies and smaller, emerging growth companies. MONEY MANAGER COMMENTARY: MARKET OVERVIEW Broadly speaking, many equity investors enjoyed positive performance in 2003 as the major U.S. stock market indices ended the fiscal year with gains for the first time since 1999. The Dow Jones Industrial Average added 28.27%, and the broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the technology-dominated Nasdaq Composite Index surged 50.01% for the period. Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes of the stock market. The period began with a brief rally that was quickly overcome by worries of a looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs and soaring oil prices also were causes for concern. After hitting a trough in the months leading up to the war, however, both the market and consumer confidence bounced back sharply by the time the hostilities began in mid-March. Later, signs that the manufacturing sector was emerging from a two-year slump and a tax-cut-driven increase in consumer spending also helped to lift investors' spirits. But the health of the economy still was in doubt as job losses mounted. The Federal Reserve acknowledged the mixed picture, cutting its benchmark federal funds rate to a 45-year low of 1% in an attempt to spur corporate investment and hiring. As the fiscal year came to a close, however, stocks added to their gains. Feelings of cautious optimism, fueled by an acceleration of quarterly earnings and better-than-expected economic growth, prevailed despite questions about whether the positive momentum could be sustained. MANAGER'S OVERVIEW Q. How did you manage the Portfolio in this environment? Similar to post-bear market trends throughout history, the equity markets spent much of 2003 bidding up small-capitalization stocks while dismissing large-cap issues. The Portfolio's charter allows us to invest in securities across a variety of market capitalizations. This flexibility enhanced our performance, which exceeded the benchmark, and was exceptionally rewarding. While enduring the whims of the market, we worked diligently and monitored the volatility that naturally occurs within a concentrated Portfolio. By exploring a larger universe and investing in a broader array of industries, we're striving for more consistent returns through the market's ups and downs. Q. Which individual holdings had the greatest positive impact on performance? Among the leaders of the broader technology rally were a trio of the Portfolio's pacesetters - Internet search giant Yahoo!, which continued to expand its fee-based offerings, global online marketplace leader Amazon.com and business software developer Computer Associates International. Other standouts included health insurance interest UnitedHealth Group, which launched an acquisition of health maintenance organization operator Mid-Atlantic Medical Services, and videogame creator Electronic Arts. Q. Which holdings had the greatest negative impact on performance? Detractors included apparel and housewares retailer Kohl's, which slumped amid concerns over the continued purchasing power of consumers. Elsewhere, networking gear manufacturer Ciena underperformed in light of extended woes within its primary market, the telecommunications industry. Also lagging was mortgage reseller Freddie Mac, which was pressured by the cooling home loan business, as well as defense contractor Lockheed Martin and personal finance software developer Intuit. Q. Which sectors had the greatest impact on performance? While my investment decisions remain rooted in extensive company-level research, sector analysis offers some insight into the Portfolio's performance. Powered by companies such as Yahoo!, the information technology sector led all others on an absolute basis. The consumer discretionary sector followed as standouts such as Amazon.com helped compensate for the Kohl's setback. Aiding performance was the Portfolio's overweight position in both sectors, relative to the S&P 500 Index. No sectors generated negative returns on an absolute basis, although holdings in the industrials group, represented by companies such as conglomerate 3M, and the consumer staples sector, featuring companies such as Procter & Gamble, provided the smallest lift. Notably, while the Portfolio's underweight position in the industrials sector hindered returns, its underweight position in the consumer staples group actually enhanced gains on a relative basis. Q. How will you manage the Portfolio in the months ahead? Looking ahead, I am genuinely optimistic about the prospects for the Portfolio. I believe we have invested in some of the world's truly outstanding companies, each capable of experiencing real profit growth as the economy expands. We continue to aim for 100% investment, although we remain disciplined in refraining from a purchase until we're certain a company is truly worthy of your investment dollars. Finally, in light of the trying times facing the mutual fund industry, I would like to reiterate my pledge to conducting myself in a trustworthy manner while managing your money. As an investor in Janus' investment offerings, I found recent revelations unsettling. I have a keen interest in maintaining the Portfolio's integrity as well as striving for outstanding performance, and my commitment to acting in the best interests of investors has not wavered. JNL/JANUS AGGRESSIVE GROWTH FUND [GRAPH OMITTED] Date JNL/Janus Aggressive Growth Fund S&P 500 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,130.00 10,130.00 6/30/1995 10,860.00 10,356.00 7/31/1995 11,860.00 10,694.00 8/31/1995 11,870.00 10,726.00 9/30/1995 12,190.00 11,179.00 10/31/1995 11,910.00 11,139.00 11/30/1995 12,490.00 11,627.00 12/31/1995 12,409.00 11,851.00 1/31/1996 12,760.58 12,254.00 2/29/1996 13,401.72 12,368.00 3/31/1996 13,577.51 12,487.00 4/30/1996 14,125.57 12,671.00 5/31/1996 14,446.14 12,996.00 6/30/1996 14,022.17 13,046.00 7/31/1996 13,029.45 12,469.00 8/31/1996 13,773.99 12,732.00 9/30/1996 14,601.25 13,448.00 10/31/1996 14,528.87 13,819.00 11/30/1996 14,901.14 14,862.00 12/31/1996 14,760.95 14,568.00 1/31/1997 15,356.68 15,477.04 2/28/1997 14,783.01 15,597.76 3/31/1997 14,010.77 14,958.26 4/30/1997 14,275.54 15,849.77 5/31/1997 15,113.98 16,813.43 6/30/1997 15,665.58 17,566.68 7/31/1997 17,022.53 18,963.23 8/31/1997 16,261.32 17,901.29 9/30/1997 17,232.14 18,882.28 10/31/1997 16,746.73 18,251.61 11/30/1997 16,702.60 19,096.66 12/31/1997 16,630.60 19,424.43 1/31/1998 17,191.44 19,639.25 2/28/1998 18,713.72 21,055.75 3/31/1998 19,595.04 22,133.99 4/30/1998 20,373.35 22,417.75 5/31/1998 19,766.72 21,996.30 6/30/1998 21,620.93 22,862.95 7/31/1998 21,563.70 22,620.12 8/31/1998 18,038.42 19,352.80 9/30/1998 20,201.66 20,592.62 10/31/1998 20,934.19 22,266.16 11/30/1998 22,319.12 23,615.11 12/31/1998 26,219.85 24,975.06 1/31/1999 29782.32 26,019.44 2/28/1999 28832.33 25,211.07 3/31/1999 32477.93 26,219.74 4/30/1999 34199.8 27235.12086 5/31/1999 32311.68 26591.99072 6/30/1999 34829.17 28067.79 7/31/1999 33368.55 27191.38 8/31/1999 34294.8 27056.91 9/30/1999 35992.91 26315.12 10/31/1999 38688.52 27980.4 11/30/1999 42726 28549.21 12/31/1999 50979.82 30230.62 1/31/2000 50928.8 28711.77 2/29/2000 57191.27 28168.23 3/31/2000 57994.8 30923.95 4/30/2000 52867.49 29993.6 5/31/2000 48275.86 29378.2 6/30/2000 49615.08 30102.43 7/31/2000 48964.6 29631.78 8/31/2000 52561.38 31472.32 9/30/2000 50291.07 29810.74 10/31/2000 48020.77 29684.73 11/30/2000 40329.79 27344.42 12/31/2000 40288.56 27478.21 1/31/2001 42178.27 28453.11 2/28/2001 34150.79 25858.67 3/31/2001 30613.26 24220.5 4/30/2001 35586.97 26102.68 5/31/2001 34634.56 26277.59 6/30/2001 33289.09 25638.02 7/31/2001 31338.91 25385.59 8/31/2001 28239.79 23796.45 9/30/2001 25488.37 21874.84 10/31/2001 25866.32 22291.95 11/30/2001 27574.61 24001.92 12/31/2001 28127.61 24212.56 1/31/2002 27202.66 23873.58 2/28/2002 25398.24 23413.21 3/31/2002 26580.97 24293.75 4/30/2002 24412.64 22820.87 5/31/2002 23927.42 22652.75 6/30/2002 21637.79 21039.24 7/31/2002 19969.84 19399.04 8/31/2002 20060.82 19526.32 9/30/2002 18832.61 17404.18 10/31/2002 20060.82 18936.08 11/30/2002 21228.38 20050.62 12/31/2002 19757.56 18861.96 1/31/2003 19530.11 18,367.83 2/28/2003 19181.36 18,092.24 3/31/2003 19712.07 18,267.91 4/30/2003 21304.2 19,772.72 5/31/2003 22759.86 20,814.48 6/30/2003 23245.08 21,079.91 7/31/2003 23745.46 21,451.63 8/31/2003 24458.13 21,869.92 9/30/2003 23912.26 21,637.81 10/31/2003 25322.43 22,861.67 11/30/2003 25656.02 23,062.80 12/31/2003 26762.92 24,272.52 AVERAGE ANNUAL TOTAL RETURN 1 Year 35.46% 5 Year 0.41% Since inception 12.07% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/JANUS BALANCED FUND JANUS CAPITAL MANAGEMENT, LLC KAREN L. REIDY OBJECTIVE: JNL/Janus Balanced Fund seeks as its investment objective long-term capital growth, consistent with preservation of capital and balanced by current income. The Fund normally invests 40-60% of its assets in securities selected primarily for their income potential. MONEY MANAGER COMMENTARY: PERFORMANCE OVERVIEW For the 12 months ended December 31, 2003, JNL/Janus Balanced Fund advanced 13.73%, while the S&P 500 Index, the benchmark for the equity portion of the Portfolio, gained 28.67%. The Lehman Brothers Government/Credit Index, the Portfolio's fixed-income benchmark, returned 4.67%. MARKET OVERVIEW For the first time since 1999, the major U.S. stock market indices ended the fiscal year with gains. The Dow Jones Industrial Average added 28.27% and the broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the technology-dominated Nasdaq Composite Index surged 50.01% for the period. Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes of the stock market. The period began with a brief rally that was quickly overcome by worries of a looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs and soaring oil prices also were causes for concern. After hitting a trough in the months leading up to the war, however, both the market and consumer confidence bounced back sharply by the time the hostilities began in mid-March. The Treasury market surged in early March on fears about the war, only to back up sharply as equity markets rebounded. Later, signs that the manufacturing sector was emerging from a two-year slump and a tax-cut-driven increase in consumer spending also helped to lift investors' spirits. But the health of the economy still was in doubt as job losses mounted and the Treasury market exceeded its March highs, peaking in June on economic concerns. The Federal Reserve acknowledged the mixed picture, cutting its benchmark federal funds rate to a 45-year low of 1% in an attempt to protect against deflation. But, the bond market again backed up sharply in July/August when unemployment showed early signs of improvement. As the fiscal year came to a close, stocks added to their gains. Feelings of cautious optimism, fueled by an acceleration of quarterly earnings and better-than-expected economic growth, prevailed despite questions about whether the positive momentum could be sustained. MANAGER'S OVERVIEW Q.How did you manage the Portfolio in this environment? In addition to feeling the lingering effects of an economic slowdown, the consequences of war and SARS also weighed heavily on investors last year. This kept a lid on business travel and capital spending in 2003. As such, I felt it prudent to keep the Portfolio defensively positioned. This was apparent in our relatively high fixed-income weighting and, on the equity side of the Portfolio, a preference for companies with lower but more consistent growth profiles. I also focused on companies that were generating high rates of cash flow and using it to reduce debt or pay dividends. However, this strategy held back performance as the equity market focused on higher-growth opportunities in anticipation of a robust economic recovery. Q. Which individual holdings had the greatest positive impact on performance? Industrial conglomerate Tyco International emerged as our single biggest contributor to performance as the once-troubled company continued to reinvent itself under a new management team. Online media giant Yahoo! also aided results by registering a large gain during the year as investors displayed renewed interest in Internet-based firms that have survived the industry's recent turmoil in stronger competitive shape. Another technology-related holding, chipmaker Texas Instruments, also advanced. Meanwhile, financial services conglomerate Citigroup and industrial powerhouse 3M Company rounded out our list of top performers. Q. Which individual holdings had the greatest negative impact on performance? Automatic Data Processing was our single biggest disappointment as a lackluster employment environment worked against the company's payroll processing and tax processing business. Transportation company CNF also worked against us as a sustained slowdown in global ground and air freight volumes exacted a toll on the company. Information technology consulting firm Accenture was another disappointment, as was our investment in insurer American International Group, or AIG. Finally, grocery chain Kroger also ranked among our worst-performing positions. Q. Which sectors had the greatest impact on the Portfolio's performance? While maintaining our bottom-up approach to building the Portfolio one security at a time, certain sectors did have a material impact on the Portfolio. As a group, our consumer discretionary stocks had the biggest positive influence on performance. We carried nearly twice the weighting of our benchmark, the S&P 500 Index, in this top-performing category, a fact that certainly helped results this year. Meanwhile, information technology - another area of the market that performed extremely well in 2003 - also aided results. However, our individual stock picks in technology tended to be somewhat conservative, and we carried slightly less exposure to this group than the S&P 500. As a result, while information technology was a strong positive contributor to absolute returns, the group held back results when viewed side-by-side with the returns of our benchmark. Only two sectors - telecommunications services and utilities - turned in net negative contributions to performance. We maintained only a very small exposure to both of these sectors during the year, and the negative contribution made by each was minimal. While the equity portion of the Portfolio represents a larger portion of assets and therefore has a bigger impact on overall performance, we are pleased to report that our fixed-income holdings also aided results. In fact, viewed by itself, the fixed-income portion of the Portfolio outpaced the return of its benchmark, the Lehman Brothers Government/Credit Index. Digging deeper into those returns, both credit selection and a shorter than benchmark duration position aided results. Meanwhile, we continued to collect a healthy income return and benefited from strong bond selection as a number of individual holdings gained in price. Q. How will you manage the Portfolio in the months ahead? Given the recent decline in initial jobless claims and renewed strength in capital spending, I have become increasingly confident in the durability of the economic expansion. Put another way, my "full-court press" defense has given way to a strategy emphasizing a bit more offense. For example, I intend to maintain a fixed-income allocation of around 40%, but have repositioned the equity portion of the Portfolio by investing in a mix of stocks I believe will benefit most from an acceleration of economic activity. I believe many of these companies possess a high degree of operating leverage and accelerating revenue growth, traits that should work to their advantage as the economy continues to improve. On a more personal note, I want to express my disappointment in this year's performance, a period when I was clearly too cautious on the economy. My shareholders deserve to participate in the best possible opportunities available in both the stock and bond markets, and not a day goes by when I don't stop to think about the responsibility and trust you have placed in me and the entire Janus team. We appreciate your confidence and will continue to work hard to maintain it through our actions and performance. JNL/JANUS BALANCED FUND [GRAPH OMITTED]
Date JNL/Janus Balanced Fund S&P 500 Index Lehman Brothers Government/Corporate Bond Index 5/1/2000 10,000.00 10,000.00 10,000.00 5/31/2000 9,640.00 9,689.28 10,016.00 6/30/2000 9,980.00 9,928.14 10,220.33 7/31/2000 9,900.00 9,772.91 10,328.66 8/31/2000 10,250.00 10,379.95 10,474.30 9/30/2000 9,980.00 9,831.94 10,514.10 10/31/2000 9,890.00 9,790.38 10,580.34 11/30/2000 9,580.00 9,018.52 10,761.26 12/31/2000 9,800.06 9,062.64 10,973.26 1/31/2001 9,891.08 9,384.18 10,973.26 2/28/2001 9,557.33 8,528.50 10,973.26 3/31/2001 9,264.04 7,988.21 11,324.40 4/30/2001 9,567.45 8,608.97 11,324.40 5/31/2001 9,557.33 8,666.66 11,324.40 6/30/2001 9,435.97 8,455.73 11,358.38 7/31/2001 9,425.86 8,372.47 11,358.38 8/31/2001 9,253.93 7,848.35 11,358.38 9/30/2001 8,920.18 7,214.58 11,899.03 10/31/2001 9,112.34 7,352.15 11,899.03 11/30/2001 9,314.61 7,916.12 11,899.03 12/31/2001 9360.14 7985.59 11,906.17 1/31/2002 9287.74 7873.79 11993.09 2/28/2002 9360.14 7721.96 12095.03 3/31/2002 9473.91 8012.37 11849.5 4/30/2002 9349.8 7526.6 12079.38 5/31/2002 9360.14 7471.15 12190.51 6/30/2002 9070.55 6938.99 12294.13 7/31/2002 8801.64 6398.04 12441.66 8/31/2002 8874.04 6440.01 12720.35 9/30/2002 8563.76 5740.11 12993.84 10/31/2002 8780.95 6245.34 12869.1 11/30/2002 8894.72 6612.93 12876.82 12/31/2002 8744.9 6220.9 13218.06 1/31/2003 8628.44 6,057.93 13,218.06 2/28/2003 8596.68 5,967.04 13,453.34 3/31/2003 8670.79 6,024.98 13,435.85 4/30/2003 9009.57 6,521.28 13,579.61 5/31/2003 9274.25 6,864.86 13,965.27 6/30/2003 9274.25 6,952.41 13,909.41 7/31/2003 9168.38 7,075.00 13,326.61 8/31/2003 9316.6 7,212.96 13,414.56 9/30/2003 9316.6 7,136.41 13,839.81 10/31/2003 9570.68 7,540.05 13,664.04 11/30/2003 9697.73 7,606.39 13,700.93 12/31/2003 9945.96 8,005.37 13,836.57
AVERAGE ANNUAL TOTAL RETURN 1 Year 13.73% Since inception -0.15% (Inception date May 1, 2000) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/JANUS CAPITAL GROWTH FUND JANUS CAPITAL MANAGEMENT, LLC JONATHAN COLEMAN OBJECTIVE: JNL/Janus Capital Growth Fund is a non-diversified Fund that seeks as its investment objective long-term growth of capital by emphasizing investments in common stocks of medium-sized companies. Although the Fund expects to emphasize such securities, it may also invest in smaller or larger companies. MONEY MANAGER COMMENTARY: MARKET OVERVIEW The Portfolio's gain was set against a backdrop of a marketwide advance as the major U.S. stock market indices ended the fiscal year with gains for the first time since 1999. The Dow Jones Industrial Average added 28.27%, and the broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the technology-dominated Nasdaq Composite Index surged 50.01% for the period. Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes of the stock market. The period began with a brief rally that was quickly overcome by worries of a looming conflict with Iraq. Rising unemployment, a persistent lack of new job growth and soaring oil prices also were causes for concern. After hitting a trough in the months leading up to the war the market bounced back sharply by the time the hostilities began in mid-March. This was quickly followed by improving consumer confidence. Later in the summer, signs that the manufacturing sector was emerging from a two-year slump and a tax-cut-driven increase in consumer spending also helped to lift investors' spirits. But the health of the economy still was in doubt as job losses mounted. The Federal Reserve acknowledged the mixed picture, cutting its benchmark federal funds rate to a 45-year low of 1% in an attempt to spur corporate investment and hiring. As the fiscal year came to a close stocks added to their gains. Feelings of cautious optimism, fueled by an acceleration of quarterly earnings and better-than-expected economic growth, prevailed despite questions about whether the positive momentum could be sustained. MANAGER'S OVERVIEW Q. How did you manage the Portfolio in this environment? Certainly, conditions made for a pleasant year for stock investors as significant gains were experienced. However, one must understand that such periods are far from the norm. While enjoying this broad runup, we steadfastly adhered to our commitment to preserving and growing shareholder capital by maintaining a balanced Portfolio consisting of what we see as innovative companies from across many industries. We increased our holdings of stocks poised to benefit from an improving economy as our fundamental research supported such a thesis. Q. Which individual holdings had the greatest positive impact on performance? Top performers were National Semiconductor, manufacturer of analog microprocessor chips for electronic devices such as wireless phones, and International Game Technology, a world-leading producer of slot machines for casinos. Also contributing significantly was InterActiveCorp, formerly USA Interactive, an online retailer focused heavily on travel markets, and natural gas pipeline owner and operator Kinder Morgan. St. Jude Medical, a medical device manufacture for cardiac disorders, rounded out the Portfolio's list of top-five contributors. Q. Which holdings had the greatest negative impact on performance? Medical insurer First Health Group proved the biggest drag on returns, followed by toolmaker Stanley Works and AutoZone, an automotive parts and accessories retailer with more than 3,000 stores. The largest radio network in the country, Westwood One, also lost ground, as did biotechnology concern Enzon Pharmaceuticals. Q. Which sectors had the greatest impact on performance? Although we build our portfolios from the bottom up, investing in one company at a time, sector weightings do have an impact on performance. During this particular period, the two sectors that had the least positive impact on our absolute results were our positions in the telecommunication services and consumer staples areas, which still managed to contribute positively to the Portfolio's performance despite representing a relatively small share of its assets. Leading the way on an absolute basis were our consumer discretionary holdings, in which the Portfolio's weighting significantly exceeded the index, and the information technology sector. Q. How will you manage the Portfolio in the months ahead? We will continue to search for exciting mid-cap investment ideas across many industries that we feel will provide the best opportunity to balance risk, represented by the preservation of capital, and reward, represented by positive absolute returns. That said, we refuse to limit our quest for quality companies to any particular segment of the economy and we further attempt to spread some of our risk by keeping position sizes manageable. While seeking to maximize returns, we also realize that patience is sometimes required for an idea to play out. As long as there's no change in our original thesis, we're willing to wait for the performance to come to us. On a personal note, I want to reassure you that I assume my obligation of trust with the utmost seriousness, and that I work every day to support the confidence you have placed in me, and in Janus. The news of discretionary frequent trading relationships at Janus greatly distressed me, and I am encouraged that the frequent trading relationships have been terminated. Furthermore, I believe Janus is taking the appropriate steps so this does not happen again. I write this not only as your portfolio manager, but as an investor with a financial interest in the midcap growth products I manage. JNL/JANUS CAPITAL GROWTH FUND [GRAPH OMITTED] Date JNL/Janus Capital Growth Fund S&P Midcap 400 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,020.00 10,009.00 6/30/1995 10,910.00 10,417.00 7/31/1995 11,560.00 10,959.00 8/31/1995 11,930.00 11,161.00 9/30/1995 12,480.00 11,432.00 10/31/1995 12,090.00 11,138.00 11/30/1995 12,580.00 11,622.00 12/31/1995 13,352.64 11,593.00 1/31/1996 13,160.51 11,761.00 2/29/1996 13,768.91 12,160.00 3/31/1996 14,793.57 12,306.00 4/30/1996 15,284.55 12,683.00 5/31/1996 15,892.95 12,854.00 6/30/1996 15,626.11 12,661.00 7/31/1996 14,110.46 11,807.00 8/31/1996 15,273.88 12,489.00 9/30/1996 16,330.56 13,034.00 10/31/1996 15,924.97 13,072.00 11/30/1996 16,074.40 13,807.00 12/31/1996 15,600.01 12,823.00 1/31/1997 15,254.78 13,303.86 2/28/1997 14,952.71 13,194.77 3/31/1997 13,819.93 12,632.67 4/30/1997 13,992.54 12,959.86 5/31/1997 15,567.65 14,092.55 6/30/1997 16,344.41 14,488.55 7/31/1997 16,441.51 15,921.47 8/31/1997 16,463.08 15,902.36 9/30/1997 17,595.86 16,816.75 10/31/1997 17,045.66 16,085.22 11/30/1997 17,326.15 16,323.28 12/31/1997 17,941.01 17,994.00 1/31/1998 17,582.19 17,651.52 2/28/1998 19,039.22 19,113.60 3/31/1998 20,039.57 20,011.93 4/30/1998 20,224.41 20,376.61 5/31/1998 19,376.29 19,440.60 6/30/1998 21,029.04 19,545.58 7/31/1998 20,496.25 18,787.52 8/31/1998 16,299.14 15,293.12 9/30/1998 17,864.90 16,720.17 10/31/1998 19,289.31 18,211.69 11/30/1998 20,768.08 19,120.52 12/31/1998 24,249.15 21,428.83 1/31/1999 26155.86 20,592.31 2/28/1999 25126.47 19,514.00 3/31/1999 28495.38 20,059.26 4/30/1999 30460.58 21641.48 5/31/1999 30051.16 21735.31 6/30/1999 31712.22 22899.17 7/31/1999 31267.71 22408.51 8/31/1999 32893.68 21640.24 9/30/1999 34180.42 20972.12 10/31/1999 39409.25 22040.81 11/30/1999 43702.27 23197.56 12/31/1999 54365.09 24576.05 1/31/2000 55785.91 23883.77 2/29/2000 67950.13 25555.51 3/31/2000 58041.77 27694.33 4/30/2000 50339.43 26726.25 5/31/2000 46189.14 26394.71 6/30/2000 53542.51 26782.32 7/31/2000 51199.4 27205.48 8/31/2000 57817.43 30243.02 9/30/2000 52059.37 30035.95 10/31/2000 45628.29 29017.49 11/30/2000 34386.36 26827.13 12/31/2000 35477.63 28879.54 1/31/2001 37375.79 29523.93 2/28/2001 29150.41 27839.03 3/31/2001 23862.66 25769.37 4/30/2001 27327.57 28612.09 5/31/2001 27011.2 29278.43 6/30/2001 25821.08 29160.15 7/31/2001 24389.93 28725.75 8/31/2001 22220.59 27786.19 9/30/2001 18620.11 24329.92 10/31/2001 19704.77 25406.91 11/30/2001 21000.35 27297.36 12/31/2001 21219.78 28705.85 1/31/2002 19363.24 28547.97 2/28/2002 18396.62 28583.02 3/31/2002 19393.93 30626.34 4/30/2002 18872.26 30483.13 5/31/2002 18350.59 29969.03 6/30/2002 16985.03 27775.45 7/31/2002 15343.3 25084.45 8/31/2002 15343.3 25210.95 9/30/2002 14591.48 23179.96 10/31/2002 15021.09 24184.16 11/30/2002 15742.23 25582.97 12/31/2002 15021.09 24544.41 1/31/2003 14852.31 23,827.22 2/28/2003 14744.91 23,259.70 3/31/2003 15021.09 23,455.87 4/30/2003 16049.09 25,158.37 5/31/2003 17291.9 27,243.72 6/30/2003 17537.39 27,590.54 7/31/2003 17997.69 28,570.00 8/31/2003 18856.92 29,865.45 9/30/2003 18335.24 29,408.27 10/31/2003 19654.77 31,632.18 11/30/2003 20007.66 32,734.41 12/31/2003 20375.9 33,286.73 AVERAGE ANNUAL TOTAL RETURN 1 Year 35.65% 5 Year -3.42% Since inception 8.59% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/JANUS GLOBAL EQUITIES FUND JANUS CAPITAL MANAGEMENT, LLC LAURENCE CHANG OBJECTIVE: JNL/Janus Global Equities Fund seeks as its investment objective long-term growth of capital by investing primarily in common stocks of foreign and domestic issuers of any size. This Fund normally invests in issuers from at least five different countries including the United States. MONEY MANAGER COMMENTARY: PERFORMANCE OVERVIEW For the 12 months ended December 31, 2003, JNL/Janus Global Equities Fund advanced 23.97%, while its benchmark, the MSCI World Index, gained 33.11%. MARKET OVERVIEW As 2003 began, the march toward military conflict between the U.S. and Iraq dominated action in markets around the world, pressuring stocks and delaying any potential progress in the tepid global economic recovery. Later, equity markets bounced back handsomely as major hostilities in Iraq came to an end. Markets in Europe were further aided by the European Central Bank's decision in June to cut its key lending rate by a half-point to 2%, the third reduction since November 2002. At the conclusion of the period, signs of a worldwide economic rebound continued to emerge and markets built on earlier gains. Meanwhile, the U.S. dollar weakened against a number of foreign currencies, most notably the euro and Japanese yen, which remained a source of volatility despite the brighter economic outlook. Turning to individual countries, Japan joined other industrialized markets in a broad recovery as the country's long-moribund economy gained momentum and reform efforts seemed finally to take root. Germany also registered a substantial gain, while markets in France and the United Kingdom followed with healthy returns of their own. In the U.S., the Nasdaq Composite led a strong recovery that came as welcome relief after three years of persistent losses. None, however, performed as well as less-developed markets. In particular, emerging market stocks in Latin America, Europe and Asia climbed significantly higher. MANAGER'S OVERVIEW Q. How did you manage the Portfolio in this environment? Over the past year, investor focus has swung radically from concerns over global deflation and economic stagnation to widely shared anticipation of strong and globally synchronized economic growth. Not surprisingly, companies with the most to gain in this environment - such as cyclical and technology businesses - performed well. But perhaps more than anything, 2003 was characterized by the massive outperformance of smaller-cap and "lower-quality" stocks such as those with high financial leverage and relatively low returns on equity. Our traditional emphasis on strong franchises with historically high consistency of results was therefore out of synch with investor preferences. More recently, I have begun to position the Portfolio more aggressively. For example, I have actively sought out select technology firms that have emerged from the massive industry shake-out in a stronger competitive position and have looked for firms that are benefiting from growth in new end markets such as digital photography and high-functioning cellular phones. I also increased our weighting in Japan in response to fundamental improvements economically and have increased our exposure to emerging markets in an effort to participate in the enormous economic growth taking place in areas such as India. One particularly noteworthy theme is our desire to invest in companies with leverage to China's continued development as a world economic power through investments that, for example, utilize its low-cost production base or supply the raw materials that fuel the country's economic engine. Q. Which individual holdings had the greatest negative impact on performance? Japanese consumer electronics and media company Sony Corp. was our single biggest detractor, followed by Dutch publishing company Wolters Kluwer. Hon Hai Precision, a company that manufactures cable and other connectivity products for personal computers, also slipped. Elsewhere in Asia, Japan's Yamanouchi Pharmaceuticals worked against us. Swedish lock maker Assa Abloy also turned in a disappointing performance. Q. Which individual holdings had the greatest positive impact on performance? Indian industrial conglomerate Reliance Industries, which produces goods across a wide range of sectors including energy, chemicals and textiles, was our top performer during the year. Reliance has also been successful in its efforts to capitalize on the opportunities presented by India's fast-growing wireless communications market. Swiss drugmaker Roche Holdings also performed well, as did South Korean electronics producer Samsung Electronics. Meanwhile, U.S.-based Citigroup gained as global financial markets finally turned higher after a long period of lagging performance. Finally, Bermuda-based conglomerate Tyco rounded out our list of top performers. Q. Which sectors had the greatest impact on the Portfolio's performance? Our exposure to the financial services and information technology sectors provided the greatest boost to performance as those sectors benefited from a general improvement in worldwide markets. When viewed as a group, however, the strong performance of our individual picks within the technology sector wasn't enough to keep pace with the rapid rise of the technology stocks represented in our benchmark. That made information technology our weakest-performing sector when viewed on a relative basis. Meanwhile, although no single sector contributed negatively to absolute performance, our investments in the consumer staples and telecommunication services areas turned in only a modestly positive performance. That made those two sectors our biggest laggards. Q. Which countries had the greatest impact on the Portfolio's performance? More than 37% of the Fund's average assets were invested in the United States during the year, making the U.S. by far the largest geographic exposure in the Portfolio. That, together with the relatively strong performance of U.S. markets, naturally made the U.S. the single biggest contributor to overall performance. Our exposure to Switzerland - characterized by top-performing holdings such as Roche Holdings and UBS - made that country our second biggest contributor. Only two countries detracted from performance during the year - Taiwan and Finland. Q. How will you manage the Portfolio in the months ahead? I have steadfastly maintained the basic philosophy and approach that has governed the Portfolio throughout its history and will continue to do so in the future. More specifically, everyone on our team will continue to work diligently to produce the best possible returns for the Portfolio while never taking what we believe to be unacceptable risks. More importantly, we will always strive to place your interests first and to treat all shareholders fairly. To act otherwise would be to betray the trust you have placed in us by hiring us to manage your money. Looking ahead, I have become very mindful of valuations and believe that some areas of the market are approaching levels that suggest only limited upside. In addition, I believe that while chasing historical performance is easy on an emotional level, it is almost always a recipe for poor returns. Thus, while I have positioned the Portfolio more aggressively in recent months, I don't believe it would be wise to move toward lower-quality companies just to chase what has been working. Most important of all, I believe it is vital to remain true to my investment approach. Although that requires me to maintain a certain amount of flexibility, my emphasis will remain on finding great business franchises with strong growth prospects. JNL/JANUS GLOBAL EQUITIES FUND [INSERT GRAPH] date JNL/Janus Global Equities Fund MSCI World Index 5/15/1995 10,000.00 10000 5/31/1995 10,180.00 10046 6/30/1995 10,680.00 10026 7/31/1995 11,600.00 10511 8/31/1995 11,910.00 10260 9/30/1995 12,240.00 10543 10/31/1995 12,150.00 10360 11/30/1995 12,470.00 10703 12/31/1995 12,926.00 10999 1/31/1996 13,317.07 11182 2/29/1996 13,512.61 11233 3/31/1996 14,150.68 11402 4/30/1996 14,613.79 11588 5/31/1996 15,210.69 11581 6/30/1996 15,735.55 11623 7/31/1996 15,220.98 11194 8/31/1996 15,838.46 11305 9/30/1996 16,064.88 11730 10/31/1996 16,260.41 11794 11/30/1996 17,104.31 12437 12/31/1996 16,979.84 12221 1/31/1997 17,638.93 12370.34 2/28/1997 18,041.08 12514.7 3/31/1997 17,974.06 12269.29 4/30/1997 17,951.72 12672.46 5/31/1997 19,001.79 13456.88 6/30/1997 19,996.00 14130.27 7/31/1997 20,967.87 14783.23 8/31/1997 19,638.53 13796.44 9/30/1997 21,146.61 14548.21 10/31/1997 20,029.51 13784.72 11/30/1997 19,951.32 14030.78 12/31/1997 20,226.96 14203.92 1/31/1998 20,944.40 14581.5 2/28/1998 22,633.83 15549.2 3/31/1998 23,698.41 16335.68 4/30/1998 24,219.13 16476.17 5/31/1998 25,063.85 16250.44 6/30/1998 25,630.85 16463.94 7/31/1998 25,885.42 16418.5 8/31/1998 22,008.97 14209.9 9/30/1998 21,291.54 14443.56 10/31/1998 22,286.69 15729.83 11/30/1998 23756.27 16646.03 12/31/1998 25661 17439.66 1/31/1999 27320.67 17801.99 2/28/1999 26299.33 17308.85 3/31/1999 27332.27 18009.78 4/30/1999 27761.7 18699.98 5/31/1999 27030.51 17996.98 6/30/1999 28678.57 18816.67 7/31/1999 28690.18 18740.1 8/31/1999 28806.24 18686.41 9/30/1999 29525.82 18485.25 10/31/1999 31789 19426.21 11/30/1999 36501.06 19952.95 12/31/1999 42231.98 21565.48 1/31/2000 41794.16 20328.04 2/29/2000 48609.96 20215.74 3/31/2000 47367.5 21786.57 4/30/2000 43415.28 20862.88 5/31/2000 40504.36 20332.21 6/30/2000 42681.63 21014.32 7/31/2000 41545.66 20420.22 8/31/2000 43663.77 21081.94 9/30/2000 40125.7 19958.48 10/31/2000 38575.58 19621.62 11/30/2000 34729.86 18427.88 12/31/2000 34509.84 18723.52 1/31/2001 35798.81 19084.08 2/28/2001 31108.03 17469.13 3/31/2001 28383.92 16318.77 4/30/2001 31174.47 17521.69 5/31/2001 30789.11 17293.37 6/30/2001 29579.87 16749.11 7/31/2001 28144.73 16525.24 8/31/2001 26124.9 15729.6 9/30/2001 23507.09 14341.48 10/31/2001 24251.24 14615.33 11/30/2001 25792.69 15477.75 12/31/2001 26,398.46 15573.48 1/31/2002 25,124.61 15100.09 2/28/2002 24,880.68 14967.29 3/31/2002 26,113.88 15626.6 4/30/2002 24,636.75 15095.45 5/31/2002 24,447.03 15120.61 6/30/2002 22,820.84 14200.57 7/31/2002 20,639.04 13002.35 8/31/2002 20,855.87 13024.56 9/30/2002 18,565.65 11590.56 10/31/2002 19,527.81 12444.6 11/30/2002 20,246.05 13113.67 12/31/2002 19,240.51 12476.53 1/31/2003 18378.38 12096.32 2/28/2003 17913.1 11884.62 3/31/2003 17639.41 11845.39 4/30/2003 18980.5 12895.1 5/31/2003 20143.69 13629.27 6/30/2003 20513.17 13863.44 7/31/2003 20923.71 14143.34 8/31/2003 21197.4 14447.17 9/30/2003 21060.55 14534.11 10/31/2003 22292.16 15395.14 11/30/2003 22524.8 15627.82 12/31/2003 23852.21 16607.06 AVERAGE ANNUAL TOTAL RETURN 1 Year 23.97% 5 Year -1.45% Since inception 10.59% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/JANUS GROWTH & INCOME FUND JANUS CAPITAL MANAGEMENT, LLC DAVID CORKINS OBJECTIVE: JNL/Janus Growth & Income Fund seeks as its investment objective long-term growth of capital and growth of income through investments in equity securities that are considered to have favorable prospects for capital appreciation and/or dividend paying ability. MONEY MANAGER COMMENTARY: PERFORMANCE OVERVIEW For the 12 months ended December 31, 2003, the Portfolio gained 24.68%, while its benchmark, the S&P 500 Index, advanced 28.67%. MARKET OVERVIEW For the first time since 1999, the major U.S. stock market indices ended the fiscal year with gains. The Dow Jones Industrial Average added 28.27% and the broad-based Standard & Poor's 500 Index climbed 28.67%. Not to be outdone, the technology-dominated Nasdaq Composite Index surged 50.01% for the period. Meanwhile, Treasury yields fluctuated with the daily headline news and fortunes of the stock market. The period began with a brief rally that was quickly overcome by worries of a looming conflict with Iraq. Rising unemployment, a persistent lack of new jobs and soaring oil prices also were causes for concern. After hitting a trough in the months leading up to the war, however, both the market and consumer confidence bounced back sharply by the time the hostilities began in mid-March. Later, signs that the manufacturing sector was emerging from a two-year slump and a tax-cut-driven increase in consumer spending also helped to lift investors' spirits. But the health of the economy still was in doubt as job losses mounted. The Federal Reserve acknowledged the mixed picture, cutting its benchmark federal funds rate to a 45-year low of 1% in an attempt to spur corporate investment and hiring. As the fiscal year came to a close, however, stocks added to their gains. Feelings of cautious optimism, fueled by an acceleration of quarterly earnings and better-than-expected economic growth, prevailed despite questions about whether the positive momentum could be sustained. MANAGER'S OVERVIEW Q. How did you manage the Portfolio in this environment? I'd like to begin by saying that nothing is more important to me than the integrity of your investment. I take the recent investigation into mutual fund trading practices very personally and am committed to doing what is necessary to prove to you that, despite the issues we are facing today, Janus continues to stand for integrity and will act in the best interest of its shareholders - always. Now that you know my view on integrity, I want to briefly state my overall investment approach, which holds true regardless of economic environment. First, I manage the Portfolio for shareholders who want long-term exposure to the stock market yet some potential downside protection in difficult times. "Growth and Income" is an apt description in practicality. Common growth stocks usually represent 80-90% of the holdings, while fixed-income and convertible securities represent between 10-20%. When the market is strong, the growth stocks should potentially drive performance, and during periods of weakness, the more income-oriented investments are designed to lend support. I tend to gravitate toward larger, established companies that I believe have sustainable competitive advantages. Because of their stability and solid growth prospects, these often end up to be core, long-term holdings like Citigroup. There are also a smaller amount of investments in companies undergoing significant change or encountering what we believe are short-term dislocations such as Tyco International. Meanwhile, holdings in fixed income and convertibles are based on company fundamentals rather than interest rate bets. That said, I consider the appropriate risk/reward tradeoff in evaluating the free cash flow and return on invested capital for all of our investments. Q. Which individual holdings had the greatest negative impact on performance? Keeping our overall investment approach in mind, some stocks did experience setbacks during the period. Among the most significant were Stanley Works, which manufactures tools and doors, and defense contractor General Dynamics. SBC Communications, a diversified telecommunications company, also weighed on results. Our list of top five detractors was rounded out by the world's largest discount broker Charles Schwab and German car maker Bayerishe Motoren-Werke, better known as BMW. Q. Which individual holdings had the greatest positive impact on performance? Our best performer during the period was global financial services powerhouse and longtime holding Citigroup. Tyco International, the Bermuda-based holding company with a range of businesses including electronic security services, fiber-optic networks and medical products, also helped boost the Portfolio's returns as did analog- and mixed-signal circuit maker Maxim Integrated Products. Other top contributors were cable giant Comcast, along with commercial and consumer lender CIT Group. Q. Which sectors had the greatest impact on the Portfolio's performance? I adhere to a bottom-up process of selecting stocks, meaning I invest in what I believe are outstanding companies without regard to the sectors in which they fall. However, sector weightings can and often do have an impact on performance. For instance, our telecommunications services position proved to be a detractor from absolute performance, though our underweighting versus the benchmark aided relative performance. Materials was our second-weakest sector, yet it actually contributed on an absolute basis. On the positive end were the financial and information technology categories. However, a deeper inspection reveals that although our weighting in the latter sector was closely aligned with that of our benchmark, the Portfolio's individual technology stocks fell short, which ultimately detracted from relative performance. Q. How will you manage the Portfolio in the months ahead? After a very fulfilling experience as manager of the Portfolio, I have decided that the time is right to transition my responsibilities to my assistant portfolio manager and longtime colleague Minyoung (Min) Sohn, effective January 1, 2004. In the five years that I have worked with Min, initially in his role as a research analyst and more recently in an assistant portfolio manager capacity, he has demonstrated an exceptional ability to generate new ideas among large-cap companies across a broad range of industries, including the financial, retail, consumer, Internet and energy sectors. His strong research skills combined with his demonstrated analytic abilities have helped the Portfolio deliver solid long-term performance. As portfolio manager, Min will continue to look for consistent, well-established companies selected for their growth potential, while seeking to minimize downside risk by investing in select income-generating securities. Moreover, he will be supported by a research team that is deeper and, in my opinion, more experienced than any in Janus' 30-year history. Over the last year, we have hired a solid combination of new and seasoned analytical talent, many of whom are making an instant difference in the quality of our information. I am highly confident that Min, with support from our expanded research team, will continue to deliver the results that our shareholders expect. In fact, given my experience working with Min over the past several years, I believe that allowing him to put his full energies and talent to work is the right decision for shareholders. JNL/JANUS GROWTH & INCOME FUND [GRAPH OMITTED] Date JNL/Janus Growth & Income Fund S&P 500 Index 3/2/1998 10,000.00 10,000.00 3/31/1998 10,270.00 10,550.84 4/30/1998 10,160.00 10,646.86 5/31/1998 9,880.00 10,446.70 6/30/1998 9,740.00 10,858.30 7/31/1998 9,240.00 10,742.97 8/31/1998 7,940.00 9,191.22 9/30/1998 8,440.00 9,780.05 10/31/1998 8,910.00 10,574.83 11/30/1998 9,110.00 11,215.52 12/31/1998 9,068.92 11,861.40 1/31/1999 9,159.61 12,357.41 2/28/1999 8,867.39 11,973.49 3/31/1999 9,199.92 12,452.54 4/30/1999 9,764.21 12,934.77 5/31/1999 9,814.59 12,629.33 6/30/1999 9,975.81 13,330.23 7/31/1999 9,572.75 12,914.00 8/31/1999 9,209.99 12,850.14 9/30/1999 8,786.78 12,497.84 10/31/1999 9,129.38 13,288.73 11/30/1999 9,240.22 13,558.87 12/31/1999 9,520.97 14,357.42 1/31/2000 9,093.75 13,636.08 2/29/2000 8,829.28 13,377.93 3/31/2000 9,693.90 14,686.71 4/30/2000 9,164.95 14,244.86 5/31/2000 9,164.95 13,952.58 6/30/2000 9,368.39 14,296.54 7/31/2000 9,256.50 14,073.02 8/31/2000 9,653.21 14,947.15 9/30/2000 9,256.50 14,158.01 10/31/2000 9,348.05 14,098.17 11/30/2000 8,636.01 12,986.68 12/31/2000 8,705.53 13,050.22 1/31/2001 8,972.76 13,513.23 2/28/2001 8,119.68 12,281.06 3/31/2001 7,677.72 11,503.04 4/30/2001 8,294.40 12,396.94 5/31/2001 8,284.12 12,480.01 6/30/2001 8,088.84 12,176.26 7/31/2001 7,811.33 12,056.37 8/31/2001 7,461.88 11,301.64 9/30/2001 6,876.03 10,389.01 10/31/2001 6,999.37 10,587.11 11/30/2001 7,400.21 11,399.23 12/31/2001 7,529.14 11499.27 1/31/2002 7,249.52 11338.28 2/28/2002 7,208.09 11119.63 3/31/2002 7,498.07 11537.83 4/30/2002 7,166.66 10838.31 5/31/2002 7,145.95 10758.47 6/30/2002 6,731.69 9992.16 7/31/2002 6,141.37 9213.18 8/31/2002 6,141.37 9273.63 9/30/2002 5,602.84 8265.76 10/31/2002 5,975.67 8993.31 11/30/2002 6,224.23 9522.64 12/31/2002 5,893.02 8958.11 1/31/2003 5779.1 8,723.43 2/28/2003 5685.89 8,592.54 3/31/2003 5779.1 8,675.98 4/30/2003 6214.09 9,390.65 5/31/2003 6441.94 9,885.42 6/30/2003 6441.94 10,011.48 7/31/2003 6576.57 10,188.02 8/31/2003 6700.86 10,386.68 9/30/2003 6545.5 10,276.44 10/31/2003 6876.92 10,857.69 11/30/2003 7021.92 10,953.21 12/31/2003 7347.67 11,527.74 AVERAGE ANNUAL TOTAL RETURN 1 Year 24.68% 5 Year -4.12% Since inception -5.14% (Inception date March 2, 1998). Prior to May 1, 2000 the Fund was managed by Goldman Sachs Asset Management. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/LAZARD MID CAP VALUE FUND LAZARD ASSET MANAGEMENT TEAM MANAGEMENT OBJECTIVE: JNL/Lazard Mid Cap Value Fund is a non-diversified Fund that seeks as its investment objective capital appreciation by investing primarily in equity securities of U.S. companies with market capitalizations in the range of companies represented in the Russell Midcap(R) Index that the subadviser considers undervalued based on their return on equity. MONEY MANAGER COMMENTARY: The first two-and-a-half months of 2003, which saw a continuation of the previous year's bear market, proved an anomaly in an otherwise bull market year. In mid-March, just before the start of the second Gulf War, sentiment swung abruptly from very negative to very positive. Investors rotated into stocks that stood to gain the most from an improving economy; the stocks that benefited from this change in sentiment included highly leveraged and economically sensitive companies. In fact, many of the greatest beneficiaries were those same lower-quality companies whose business models had been most questioned during the bear market. This trend benefited smaller companies (as they tend to be more sensitive to swings in the economy than larger companies), and as a result, mid cap stocks outperformed during the year. Overall, 2003 proved to be a reversal of 2002, in that the S&P 500 rose in the last 12 months by roughly the same amount that it had fallen in 2002. In addition, the technology sector, which led 2002's decline, proved to be 2003's strongest performer. However, late in the year there were signs that the rebound in lower-quality stocks had begun to fade as investors began to focus once again on individual companies' fundamentals. During the year, the Portfolio benefited from stock selection in the consumer staples sector. For instance, Pepsi Bottling Group, which manufactures and distributes Pepsi Cola products, is benefiting from an improving pricing environment and new product introductions. Conversely, the Portfolio was hurt by stock selection in the technology sector: BMC Software, Inc. reported disappointing results, and the company anticipates some layoffs and restructuring to improve financial performance. We sold our position, based on concerns about the health and visibility of future cash flows as a result of the increased securitization of receivables. Stock selection in the producer manufacturing sector has also detracted from returns. Although our holdings rose strongly, many of the more inconsistently profitable and economically sensitive stocks in the index rose dramatically on optimism over a robust economic recovery. In the past, market recoveries have frequently seen a period during which lower-quality, more cyclical stocks have outperformed. During these initial stages of upswing, investors tend to seek out those companies that stand to gain the most from an improvement in the economic landscape. Frequently, these companies are the most volatile, debt-ridden, and cyclical stocks available. As we may already be seeing, however, investors tend to turn their attention back to the fundamentals underpinning stocks, including a company's ability to generate strong returns on its capital. We remain confident in our Portfolio's holdings, as they feature this sort of history of strong profitability, which over the long term is a key determinant of a stock's performance. JNL/LAZARD MID CAP VALUE FUND [GRAPH OMITTED] Date JNL/Lazard Mid Cap Value Fund Russell Midcap Index 3/2/1998 10,000.00 10000 3/31/1998 10,420.00 10461.08 4/30/1998 10,410.00 10475.92 5/31/1998 9,880.00 10137.84 6/30/1998 9,670.00 10261.03 7/31/1998 9,000.00 9765.6 8/31/1998 7,460.00 8190.45 9/30/1998 7,890.00 8695.03 10/31/1998 8,300.00 9282.97 11/30/1998 8,790.00 9710.71 12/31/1998 9,235.56 10264.29 1/31/1999 9,125.25 10239.89 2/28/1999 8,904.64 9882.09 3/31/1999 9,024.98 10176.87 4/30/1999 9,757.00 10921.35 5/31/1999 9,877.33 10876.63 6/30/1999 10,107.97 11245.01 7/31/1999 9,726.92 10925.63 8/31/1999 9,145.31 10625.56 9/30/1999 8,794.34 10236.65 10/31/1999 9,145.31 10713.79 11/30/1999 9,355.89 11003.9 12/31/1999 9,677.21 11955.33 1/31/2000 8,913.48 11551.78 2/29/2000 9,425.98 12426.77 3/31/2000 10,330.39 13110.66 4/30/2000 10,229.90 12486.74 5/31/2000 10,380.64 12133.81 6/30/2000 10,360.54 12472.5 7/31/2000 10,340.44 12328.77 8/31/2000 11,204.66 13489.6 9/30/2000 11,275.00 13277.15 10/31/2000 11,777.45 13065.92 11/30/2000 11,425.74 11872.36 12/31/2000 12,132.36 12759.35 1/31/2001 12,597.00 12954.31 2/28/2001 12,452.44 12148.64 3/31/2001 11,998.13 11379.57 4/30/2001 12,751.88 12345.03 5/31/2001 13,381.73 12553.83 6/30/2001 13,288.80 12421.69 7/31/2001 13,040.99 12055.55 8/31/2001 13,164.90 11573.53 9/30/2001 11,533.48 10162.85 10/31/2001 12,173.66 10555.62 11/30/2001 13092.62 11423.49 12/31/2001 13738.58 11862.61 1/31/2002 13899.26 11782.92 2/28/2002 14071.43 11643.06 3/31/2002 14473.14 12324.92 4/30/2002 14105.86 12077.3 5/31/2002 13991.08 11923.81 6/30/2002 13199.14 11111.02 7/31/2002 11948.09 10016.47 8/31/2002 11971.04 10056.31 9/30/2002 11075.8 9115.65 10/31/2002 11569.33 9565.76 11/30/2002 12372.76 10212.65 12/31/2002 11803.87 9793.45 1/31/2003 11526.94 9,588.52 2/28/2003 11365.4 9,445.61 3/31/2003 11400.02 9,523.47 4/30/2003 12080.79 10,206.35 5/31/2003 12784.64 11,122.20 6/30/2003 12969.25 11,219.58 7/31/2003 13500.02 11,578.40 8/31/2003 13996.18 12,063.47 9/30/2003 13696.18 11,895.75 10/31/2003 14503.87 12,792.70 11/30/2003 14757.72 13,132.82 12/31/2003 15214.14 13,502.83 AVERAGE ANNUAL TOTAL RETURN 1 Year 28.89% 5 Year 10.49% Since inception 7.45% (Inception date March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/LAZARD SMALL CAP VALUE FUND LAZARD ASSET MANAGEMENT TEAM MANAGEMENT OBJECTIVE: JNL/Lazard Small Cap Value Fund is a non-diversified Fund that seeks as its investment objective capital appreciation by investing primarily in equity securities of U.S. companies with market capitalizations in the range of companies represented by the Russell 2000 Index that the subadviser believes are undervalued based on their return on equity. MONEY MANAGER COMMENTARY: The first two-and-a-half months of 2003, which saw a continuation of the previous year's bear market, proved an anomaly in an otherwise bull market year. In mid-March, just before the start of the second Gulf War, sentiment swung abruptly from very negative to very positive. Investors rotated into stocks that stood to gain the most from an improving economy; the stocks that benefited from this change in sentiment included highly leveraged and economically sensitive companies. In fact, many of the greatest beneficiaries were those same lower-quality companies whose business models had been most questioned during the bear market. This trend benefited smaller companies (as they tend to be more sensitive to swings in the economy than larger companies), and small cap stocks significantly outperformed during the year. Overall, 2003 proved to be a reversal of 2002, in that the S&P 500 rose in the last 12 months by roughly the same amount that it had fallen in 2002. In addition, the technology sector, which led 2002's decline, proved to be 2003's strongest performer. However, late in the year there were signs that the rebound in lower-quality stocks had begun to fade as investors began to focus once again on individual companies' fundamentals. During the year, the Portfolio was helped by stock selection in technology. For example, Microsemi performed well. The company is in transition from being a legacy military/aerospace integrated circuit provider to pursuing leading-edge opportunities in the consumer, communications and auto markets. Microsemi has assembled a portfolio of key technologies that will enable it to leverage its existing competency into new, higher-growth markets. The Portfolio also benefited from stock selection in health care, where aaiPharma continues to benefit from its transition to a specialty pharmaceutical company. Its R&D platform has provided value added product formulation and drug life cycle management programs to many of the major pharmaceutical companies for the past 20 years, and R&D is still the engine that is driving product extensions through new formulations, dosing, etc. Conversely, the Portfolio was hurt by stock selection in commercial services. Tier Technologies saw its shares fall after the company reduced profit and revenue forecasts at the beginning of 2003. However, given the company's high long-term growth, which is increasingly taking the form of recurring payment-processing revenue, we believe there is an opportunity both for margin expansion and for earnings upside. Our overweight position in the energy sector also detracted from returns, as did stock selection in the group: Lone Star Technologies shares declined, as the company was hurt by weaker-than-expected sales and higher steel costs. We believe that the company's problems are temporary and not representative of any fundamental problems with management or the company. Lone Star Technologies is a well-managed company that is expected to participate in an industry upturn. In the past, market recoveries have frequently seen a period during which lower-quality, more cyclical stocks have outperformed. During these initial stages of upswing, investors tend to seek out those companies that stand to gain the most from an improvement in the economic landscape. Frequently, these companies are the most volatile, debt-ridden, and cyclical stocks available. As we may already be seeing, however, investors tend to turn their attention back to the fundamentals underpinning stocks, including a company's ability to generate strong returns on its capital. We remain confident in our Portfolio's holdings, as they feature this sort of history of strong profitability, which over the long term is a key determinant of a stock's performance. JNL/LAZARD SMALL CAP VALUE FUND Date JNL/Lazard Small Cap Value Fund Russell 2000 Index 03/02/1998 10,000.00 10,000.00 03/31/1998 10,350.00 10,420.44 04/30/1998 10,360.00 10,368.36 05/31/1998 9,820.00 9,804.33 06/30/1998 9,640.00 9,820.86 07/31/1998 8,860.00 9,018.90 08/31/1998 7,340.00 7,270.48 09/30/1998 7,480.00 7,833.07 10/31/1998 7,960.00 8,154.40 11/30/1998 8,370.00 8,584.94 12/31/1998 8,707.85 9,120.91 01/31/1999 8,587.74 9,239.25 02/28/1999 7,917.13 8,494.16 03/31/1999 7,937.15 8,625.14 04/30/1999 8,867.99 9,397.11 05/31/1999 9,278.36 9,535.87 06/30/1999 9,538.60 9,963.92 07/31/1999 9,418.49 9,689.32 08/31/1999 8,968.08 9,332.65 09/30/1999 8,787.92 9,332.51 10/31/1999 8,377.55 9,372.17 11/30/1999 8,537.69 9,942.75 12/31/1999 8,876.77 11,068.33 01/31/2000 8,605.65 10,888.55 02/29/2000 8,645.82 12,688.46 03/31/2000 9,348.73 11,853.46 04/30/2000 9,378.85 11,139.87 05/31/2000 9,288.48 10,489.39 06/30/2000 9,338.69 11,406.28 07/31/2000 9,398.94 11,049.36 08/31/2000 9,890.98 11,888.19 09/30/2000 9,770.48 11,536.10 10/31/2000 9,901.02 11,022.12 11/30/2000 9,499.35 9,890.06 12/31/2000 10,349.96 10,745.25 01/31/2001 10,631.86 11,304.77 02/28/2001 10,410.36 10,563.24 03/31/2001 10,007.64 10,046.86 04/30/2001 10,511.04 10,832.51 05/31/2001 11,105.06 11,097.96 06/30/2001 11,366.83 11,476.74 07/31/2001 11,266.15 10,871.12 08/31/2001 11,316.49 10,519.87 09/30/2001 10,198.93 9,102.58 10/31/2001 10,662.06 9,636.16 11/30/2001 11397.03 10,382.62 12/31/2001 12144.92 11024.22 01/31/2002 12208.84 10910.24 02/28/2002 12155.58 10611.69 03/31/2002 13071.77 11465.31 04/30/2002 13125.04 11569.58 05/31/2002 12507.14 11056.23 06/30/2002 11867.93 10506.72 07/31/2002 10152.73 8919.71 08/31/2002 10493.64 8896.89 09/30/2002 9620.06 8257.8 10/31/2002 10120.77 8522.4 11/30/2002 10664.09 9282.78 12/31/2002 10053.6 8766.78 01/31/2003 9850.39 8,525.17 02/28/2003 9572.31 8,267.65 03/31/2003 9572.31 8,374.07 04/30/2003 10288.9 9,167.69 05/31/2003 11198 10,151.40 06/30/2003 11337.04 10,335.94 07/31/2003 12096.41 10,982.20 08/31/2003 12449.35 11,486.05 09/30/2003 12203.36 11,274.36 10/31/2003 13058.99 12,220.84 11/30/2003 13572.36 12,654.49 12/31/2003 13957.39 12,912.75 AVERAGE ANNUAL TOTAL RETURN 1 Year 38.83% 5 Year 9.88% Since inception 5.88% (Since inception March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND MELLON CAPITAL MANAGEMENT CORP. TEAM MANAGEMENT OBJECTIVE: JNL/Mellon Capital Management Bond Index Fund seeks as its investment objective a moderate rate of income by investing in domestic fixed income investments, matching the performance of the Lehman Brothers Aggregate Index. MONEY MANAGER COMMENTARY: U.S. FIXED INCOME MARKETS Bonds were able to post moderate gains in 2003, but it came amid volatility. For the year, the Lehman Aggregate Index gained 4.1%, its lowest annual return since 1999. The bond market outperformed equities during the first quarter, though there was a great deal of volatility caused by the war in Iraq. The Lehman Aggregate Index returned 1.4% for the quarter, while the Lehman Government/Credit Index gained 1.6%. Interest rates staged a strong flight to quality rally as a result of the war, but by the end of the quarter this flight to quality had dissipated and the yield curve found itself essentially unchanged from the beginning of the quarter. Along the Treasury yield curve, the strongest gains were made in the 7-10 year duration sector, while the weakest performers were those under two years. Longer duration benchmarks outperformed shorter duration benchmarks. In the second quarter, the broad U.S. fixed income market finished with another positive quarter. The Lehman Aggregate Index gained 2.5% while the Lehman Government/Credit Index returned 3.5%. Treasury yields all along the curve were lower this quarter. The spread between the yield on the 2-year note and the 30-year bond flattened by 8 basis points. Along the Treasury yield curve, the strongest gains were made in the +10 year duration sector, while the weakest performers were those in the 1-3 year sector. Longer duration benchmarks outperformed shorter duration benchmarks. Investors were willing to take on more risk, as the performance of lower quality investment grade outpaced higher quality credits. In mid-June, Treasury yields hit 45-year lows following Federal Reserve comments concerning the risks of deflation, with the yield on the 10-year note hitting a low of 3.12% on June 13. The broad U.S. fixed income market finished lower in the third quarter, hurt mainly by weak performance in July. Despite a rally in September, when the Lehman Aggregate gained 2.7%, the index still fell 0.2% for the quarter. The Index fell 3.4% in July, its worst monthly performance since 1981. The Lehman Government/Credit Index fell 0.5%. Yields were higher across the Treasury curve, but rose more sharply in the longer maturities. The 1-3 year bucket was the strongest performer and the only positive gainer among Treasury duration sectors, rising 0.4%, while the 20+ sector was the worst performer, falling 3.3%. Longer duration benchmarks sharply underperformed shorter duration benchmarks. The three-month yield rose by 9 bps, the 10-year yield rose by 42 bps. The spread between the 2-year note and the 30-year bond steepened by 30 basis points. Bonds finished the year with small gains. They were lower in October, as continuing positive economic data placed downward pressure on prices, and as investors sold out their positions in favor of equities. Bonds then picked up during the quarter as investors were assured by the Fed's neutral stance on interest rates. The Lehman Aggregate Index managed to recover from a 0.9% loss in October to finish the fourth quarter with a gain of 0.3%. Shorter duration benchmarks outperformed longer duration benchmarks. Treasuries underperformed other spread sectors, as credits were the top performers. JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND [GRAPH OMITTED] JNL/Mellon Capital Management Lehman Brothers Date Bond Index Fund Aggregate Index 1/15/2002 10,000.00 10,000.00 1/31/2002 9,940.00 10,080.00 2/28/2002 10,040.00 10,177.78 3/31/2002 9,860.00 10,008.82 4/30/2002 10030 10,203.00 5/31/2002 10,130.00 10,289.72 6/30/2002 10,230.00 10,379.24 7/31/2002 10,390.00 10,504.83 8/31/2002 10,550.00 10,682.36 9/30/2002 10,720.00 10,855.42 10/31/2002 10,670.00 10,805.48 11/30/2002 10,640.00 10,802.24 12/31/2002 10,855.18 11,025.85 1/31/2003 10,855.18 11,035.77 2/28/2003 11,000.20 11,188.06 3/31/2003 10,979.48 11,179.11 4/30/2003 11,041.63 11,271.90 5/31/2003 11,238.43 11,481.56 6/30/2003 11207.36 11,458.59 7/31/2003 10824.11 11,073.59 8/31/2003 10875.9 11,146.67 9/30/2003 11165.92 11,442.06 10/31/2003 11041.63 11,335.65 11/30/2003 11062.34 11,362.85 12/31/2003 11166.4 11,478.75 AVERAGE ANNUAL TOTAL RETURN 1 Year 2.87% Since inception 5.79% (Inception date January 15, 2002) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND MELLON CAPITAL MANAGEMENT CORP. TEAM MANAGEMENT OBJECTIVE: JNL/Mellon Capital Management International Index Fund seeks as its investment objective long-term capital growth by investing in international equity securities attempting to match the characteristics of each country within the MSCI E.A.FE. Index. MONEY MANAGER COMMENTARY: In a year that began under the auspice of war, global economic weakness, and a fatal flu outbreak, world equities generated the highest annual return in 17 years, rising 35.3% as measured by the MSCI EAFE(R) Index. International markets continued to rally into December, with the MSCI EAFE Index advancing 7.8%. The Euro hit an all time high against the U.S. dollar, translating into higher base currency performance for U.S. investors. The Japanese government sold a record level of Yen to stem foreign exchange strength. Dollar weakness and industrial production have supported steady gains in commodity prices sending material and energy companies higher. Gold prices rose to over $400, base metals remained firm, and energy stocks rallied with oil prices. Market averages around the world finished the year with solid performance. International stocks rallied for their best annual return in over a decade, as the MSCI EAFE gained 38.6% in dollar terms. The returns were even better for U.S. investors as a weak dollar helped returns. International stocks suffered along with the U.S.during the first quarter as the impending war in Iraq caused uncertainty. The MSCI EAFE lost 8.2% in local terms. Economic indicators remained weak while employment in the major markets has yet to recover. German unemployment was 10.5%, France 9.1% and Japan 5.5%. Equity markets were extremely volatile. The German government's plan to gradually reform labor practices and the bloated social welfare system did little to shore up business confidence. The MSCI Germany Index fell 15.9% while the MSCI France lost 14.9%. Japanese equities fell as banks struggle to repair fragile balance sheets, causing a 7.9% loss for Japanese equities. Noticeable domestic economic growth led to smaller losses in Australia and New Zealand. International equity markets rallied sharply during the second quarter, as the MSCI EAFE Index gained 19.3% is U.S. dollar terms, and 15.6% in local currencies. Regionally, Europe was the strongest performer, gaining 22.4% in U.S. dollar terms, followed by Asia ex Japan (15.1%) and Japan (11.7%). In Europe, the two top performing countries were Germany, which surged 38.8%, and France, which rose 26.3%. The strong gains in the second quarter have pushed all developed international equity markets into the black year-to-date, with the EAFE up 9.5%. The quarter's rally came after the first quarter's two causes of uncertainty, SARS and the Iraq war, did not fulfill investors' worst fears. Lower global interest rates also helped international stocks, which bested U.S. equity returns. International equity markets rose during the third quarter, as the MSCI EAFE Index gained 8.13% is U.S. dollar terms. Within the MSCI EAFE Index, most markets posted positive returns in U.S.-dollar terms. The best-performing countries were Japan (+21.9%), Hong Kong (+18.9%), and Bermuda (+16.6%), while Finland (-0.9%), Spain (-0.3%), and Italy (+0.6%) posted the lowest returns. International equity markets continued to rally during the fourth quarter, as the MSCI EAFE Index gained 9.0% in local terms and 17.1% is U.S. dollar terms. The effects of the weaker dollar versus the euro and yen boosted returns to U.S. investors. Within the MSCI EAFE Index, all markets posted positive returns in both local terms and in U.S. dollar terms. The best-performing countries in U.S. dollar terms were Germany (31.3%), Norway (26.7%) and Spain (25.7%). The lowest performers were Hong Kong (5.2%) and Japan (8.3%). JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND [GRAPH OMITTED] JNL/Mellon Capital Management Date International Index Fund MSCI E.A.F.E. Index 1/15/2002 10,000.00 10,000 1/31/2002 9,790.00 9,778 2/28/2002 9,860.00 9,847 3/31/2002 10,440.00 10,379 4/30/2002 10450 10,448 5/31/2002 10,600.00 10,580 6/30/2002 10,170.00 10,159.21 7/31/2002 9,170.00 9,156.29 8/31/2002 9,130.00 9,135.51 9/30/2002 8,140.00 8,154.41 10/31/2002 8,580.00 8,592.67 11/30/2002 8,960.00 8,982.65 12/31/2002 8,639.59 8,680.61 1/31/2003 8,271.08 8,318.21 2/28/2003 8,076.58 8,127.31 3/31/2003 7,933.27 7,967.62 4/30/2003 8,690.77 8,748.54 5/31/2003 9,212.83 9,278.64 6/30/2003 9427.8 9,502.87 7/31/2003 9612.05 9,732.90 8/31/2003 9878.2 9,967.94 9/30/2003 10164.82 10,275.21 10/31/2003 10789.25 10,915.65 11/30/2003 11024.69 11,158.33 12/31/2003 11862.72 12,030.07 AVERAGE ANNUAL TOTAL RETURN 1 Year 37.31% Since inception 9.10% (Inception date January 15, 2002) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/OPPENHEIMER GLOBAL GROWTH FUND OPPENHEIMERFUNDS, INC. WILLIAM L. WILBY OBJECTIVE: JNL/Oppenheimer Global Growth Fund seeks as its investment objective capital appreciation. MONEY MANAGER COMMENTARY: Against a backdrop of market volatility and global uncertainty, the Fund performed very well during its past fiscal year. Despite global uncertainties during the period, we remained committed to our theme-based global approach, which focuses on companies that are poised to capitalize on the far-reaching growth trends of mass affluence, new technologies, corporate restructuring and aging populations. Within each trend, we looked for reasonably priced companies with strong growth prospects. We also maintained our "barbell strategy," combining aggressive positions with more defensive holdings, enabling us to uncover what we believe are good companies in good businesses at good prices the world over. During the first half of 2003, signs of a worldwide economic recovery appeared to stall amid corporate governance scandals and the events leading up to the Iraqi war. The buildup to military action produced considerable uncertainty early in the year, which exerted significant pressure on global markets. In the U.S., the economy moved from recovery to expansion, with the third quarter showing particularly strong growth in Gross Domestic Product (GDP), and profit growth in the second half up strongly. This strength should also benefit the global economy, providing a boost to the major export economies in the developed world, as well as emerging markets. Assuming that the U.S. economy continues to grow at a reasonable and sustainable pace, we would also expect continuing strength in the global equity markets. The Fund benefited from its selective investments in the technology and consumer staples sectors. KDDI Corp., the number two wireless carrier in Japan, was the Fund's best performing stock during the period on strong demand for wireless products. National Semiconductor Corp. remained a strong contributor to performance throughout the year. Two companies in particular detracted from the Fund's overall return. Although we had sold most of our position, Sony Corp. detracted from performance due to management's inability to turn around a slide in brand quality and reputation. Tandberg ASA, a carrier in videoconferencing, had disappointing earnings during the year. From a country perspective, the United States was the biggest contributor to performance as most of the Fund's technology holdings were based there. The Fund also did well in Japan, where solid stock selection led to good performance versus the benchmark. Please remember country, sector and market capitalization weightings were the result of individual stock selection, not predetermined target allocations. The Fund's holdings, allocations, management, and strategies are subject to change. Investing in foreign securities poses additional risks, such as currency fluctuations and higher expenses. Although we continue to be optimistic about U.S. growth potential, the Fund does not currently hold an overweight allocation in the U.S. versus its benchmark. U.S. equity valuations are fairly high relative to the rest of the world, so investors are paying a premium for growth in the U.S. Having said that, we think there are opportunities to buy into solid domestic growth companies. We think that the market will continue to appreciate, but not at the pace that we saw this past year. JNL/OPPENHEIMER GLOBAL GROWTH FUND [GRAPH OMITTED] Date JNL/Oppenheimer Global Growth Fund MSCI World Index 5/1/2001 10,000.00 10000 5/31/2001 9,820.00 9722 6/30/2001 9,670.00 9416.03 7/31/2001 9,480.00 9290.17 8/31/2001 9,160.00 8842.88 9/30/2001 8,010.00 8062.51 10/31/2001 8,390.00 8216.46 11/30/2001 9,080.00 8701.3 12/31/2001 9270 8755.11 1/31/2002 8990 8488.98 2/28/2002 8890 8414.32 3/31/2002 9400 8784.97 4/30/2002 9170 8486.37 5/31/2002 9120 8500.52 6/30/2002 8550 7983.29 7/31/2002 7600 7309.67 8/31/2002 7690 7322.16 9/30/2002 6970 6515.99 10/31/2002 7260 6996.11 11/30/2002 7660 7372.25 12/31/2002 7200 7014.06 1/31/2003 6920 6800.32 2/28/2003 6,730.00 6681.31 3/31/2003 6,640.00 6659.25 4/30/2003 7,180.00 7249.38 5/31/2003 7,790.00 7662.12 6/30/2003 8,000.00 7793.76 7/31/2003 8,290.00 7951.12 8/31/2003 8,610.00 8121.92 9/30/2003 8,720.00 8170.8 10/31/2003 9,350.00 8654.85 11/30/2003 9,530.00 8785.66 12/31/2003 10,120.00 9336.17 AVERAGE ANNUAL TOTAL RETURN 1 Year 40.56% Since inception 0.45% (Inception date May 1, 2001) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/OPPENHEIMER GROWTH FUND OPPENHEIMERFUNDS, INC. BRUCE BARTLETT OBJECTIVE: JNL/Oppenheimer Growth Fund seeks as its investment objective capital appreciation. MONEY MANAGER COMMENTARY: Oppenheimer Growth Fund underperformed its peer group and its benchmark over the calendar year. The Fund underperformed due to our focus on relatively defensive, quality growth companies while the market generally favored more cyclical and speculative issues. We generally avoided highly speculative stocks of companies with weak underlying fundamentals despite steadily improving U.S. economic prospects as our disciplined focus on top line revenue growth kept us invested in more steadily growing companies. It should be noted that a management change over the quarter has not changed our pure growth investment style. While the dramatic rise in the market partly reflects improved fundamentals, we believe many investors have been paying higher prices for speculative growth where earnings have yet to materialize. Prices of such stocks were driven sharply higher as speculators sought to benefit from the market's upward momentum with little regard for each company's underlying business fundamentals. As such, the Fund's stock selection within technology, healthcare and consumer discretionary sectors proved to detract from performance. Additionally, the Funds underweight within the markets more cyclical sectors, energy, materials and utilities hurt performance. Largest contributors to performance included many technology related stocks including Yahoo! Inc. which benefited from improving operating fundamentals while Symantec Corp., benefited from increased demand for Internet security software. However, not all technology related stocks contributed to returns. For example, Scientific-Atlanta, a digital set-top box manufacturer, sold-off in the quarter despite strong long-term fundamentals and an important new customer win. Select holdings within the high tech healthcare area proved accretive to returns with long-time holdings Genentech, Inc., and Varian Medical Systems being among top contributors to performance. However, we continue to like the prospects of this fast growing company as fundamentals continue to be strong. While the portfolio's investment philosophy hasn't changed, the fund's new manager has increased the weighted average market cap of the portfolio to bring it more in line with the benchmark and diversified the Fund's holdings so as not to take on any undue company risk. We remain optimistic regarding the overall economic and business environment. Employment figures have improved on the margin while other economic indicators continue to show signs of a sustainable recovery. These developments are supported by a favorable monetary policy and fiscal stimulus. Furthermore, despite the recent run-up in stock prices, we believe that many growth-oriented growth stocks continue to sell at compelling valuations, offering attractive investment opportunities. While our fundamental, bottom-up stock selection process has proven itself over an extended market cycle, we fully recognize that it will be at odds with the market from time to time. JNL/OPPENHEIMER GROWTH FUND [GRAPH OMITTED] Date JNL/Oppenheimer Growth Fund S&P 500 Index 5/1/2001 10,000.00 10,000 5/31/2001 9,910.00 9,931 6/30/2001 9,730.00 9,689 7/31/2001 9,560.00 9,594 8/31/2001 8,990.00 8,993 9/30/2001 8,740.00 8,267 10/31/2001 8,820.00 8,425 11/30/2001 9,290.00 9,071 12/31/2001 9418.39 9,151 1/31/2002 9128.14 9022.46 2/28/2002 8827.87 8848.47 3/31/2002 9088.1 9181.26 4/30/2002 8747.8 8624.61 5/31/2002 8577.64 8561.08 6/30/2002 8197.31 7951.29 7/31/2002 7586.76 7331.41 8/31/2002 7596.77 7379.52 9/30/2002 7266.48 6577.5 10/31/2002 7506.69 7156.45 11/30/2002 7326.53 7577.66 12/31/2002 7036.27 7128.43 1/31/2003 6856.11 6,941.69 2/28/2003 6,816.07 6,837.54 3/31/2003 7,056.29 6,903.93 4/30/2003 7,316.52 7,472.64 5/31/2003 7,676.84 7,866.35 6/30/2003 7,736.90 7,966.66 7/31/2003 8,087.21 8,107.14 8/31/2003 8,097.22 8,265.22 9/30/2003 7,877.02 8,177.50 10/31/2003 8,187.30 8,640.03 11/30/2003 8,107.23 8,716.05 12/31/2003 8,287.39 9,173.23 AVERAGE ANNUAL TOTAL RETURN 1 Year 17.78% Since inception -6.79% (Inception date May 1, 2001) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PIMCO TOTAL RETURN BOND FUND PACIFIC INVESTMENT MANAGEMENT COMPANY WILLIAM H. GROSS OBJECTIVE: JNL/PIMCO Total Return Bond Fund seeks as its investment objective to realize maximum total return, consistent with preservation of capital and prudent investment management through investment in a diversified portfolio of fixed income securities of varying maturities. The average portfolio duration will normally vary within a three to six year time frame based on the sub-adviser's forecast for interest rates. MONEY MANAGER COMMENTARY: Bonds gained ground in 2003 despite volatile interest rates, led by higher yielding corporate and emerging market assets. Interest rates fell in the first half of year as markets were anxious about deflation, but reversed course in the second half as the mood swung toward optimism about faster growth. Inflation was well behaved even in the face of surging commodity prices and a falling U.S. dollar; low inflation helped to mitigate the rise in interest rates. Global overcapacity, weak labor markets and faster growth in productivity kept inflation well contained during the period. Active management across a wide spectrum of strategies - "rolling down" a steep yield curve, select mortgages and corporates, TIPs, municipals, Eurozone issues and emerging markets - added value amid volatile markets in 2003. Interest rate strategies had minimal impact for the quarter; below-index duration helped as rates rose; an intermediate maturity focus was negative as the yield curve steepened. A mortgage underweight detracted from returns as lower volatility caused yield premiums in this sector to tighten. A corporate underweight was negative as profit growth and margins improved, but positive security selection of pipeline and telecom issues more than offset this impact. Emerging market bonds helped returns as credit fundamentals within the asset class continued to improve. A defensive posture focused on diversified sources of safe yield will add value in a challenging environment for bonds. Target below-index duration to protect relative returns against the risk of upward pressure on rates. Take modest exposure to short/intermediate maturities; the Fed will anchor this end of the yield curve in 2004 while longer maturities are more vulnerable to secular inflation risk. Underweight expensive mortgage and corporate bonds in order to exploit more attractively priced bonds. Emphasize TIPS, which hedge against secular inflation risk and are less volatile than nominal bonds when rates rise. Hold high yielding emerging market bonds, which have potential for solid returns as fundamentals keep improving; they also offer better value than similarly rated corporates. Take modest exposure to short maturity Eurozone issues, where prospects for central bank tightening are more remote than in the U.S; in light of expectations for stronger growth in Japan, employ strategies that gain when Japanese rates rise. JNL/PIMCO TOTAL RETURN BOND FUND [GRAPH OMITTED] Lehman Brothers Date JNL/PIMCO Total Return Bond Fund Aggregate Bond Index 3/2/1998 10,000.00 10,000.00 3/31/1998 9,940.00 9,917.91 4/30/1998 9,970.00 9,968.48 5/31/1998 10,200.00 10,064.19 6/30/1998 10,330.00 10,147.81 7/31/1998 10,290.00 10,169.17 8/31/1998 10,440.00 10,329.56 9/30/1998 10,650.00 10,577.07 10/31/1998 10,540.00 10,577.58 11/30/1998 10,510.00 10,581.19 12/31/1998 10,569.69 10,613.03 1/31/1999 10,694.53 10,688.84 2/28/1999 10,465.66 10,502.21 3/31/1999 10,600.90 10,560.48 4/30/1999 10,559.29 10,593.95 5/31/1999 10,476.06 10,501.12 6/30/1999 10,434.45 10,467.58 7/31/1999 10,413.64 10,423.11 8/31/1999 10,434.45 10,417.82 9/30/1999 10,538.48 10,538.71 10/31/1999 10,569.69 10,577.58 11/30/1999 10,590.50 10,576.53 12/31/1999 10,542.19 10,525.53 1/31/2000 10,509.38 10,490.79 2/29/2000 10,629.68 10,617.73 3/31/2000 10,793.71 10,757.88 4/30/2000 10,739.03 10,726.69 5/31/2000 10,749.97 10,721.32 6/30/2000 10,946.82 10,944.33 7/31/2000 11,034.30 11,043.92 8/31/2000 11,209.28 11,204.06 9/30/2000 11,263.96 11,274.64 10/31/2000 11,362.38 11,349.06 11/30/2000 11,581.10 11,535.18 12/31/2000 11,780.85 11,749.73 1/31/2001 11,952.58 11,749.73 2/28/2001 12,067.07 11,749.73 3/31/2001 12,147.21 12,105.75 4/30/2001 12,044.17 12,105.75 5/31/2001 12,078.52 12,105.75 6/30/2001 12,124.31 12,173.54 7/31/2001 12,502.12 12,173.54 8/31/2001 12,650.96 12,173.54 9/30/2001 12,868.48 12,734.74 10/31/2001 13,143.26 12,734.74 11/30/2001 12960.08 12,734.74 12/31/2001 12902.91 12,741.11 1/31/2002 13072.36 12843.04 2/28/2002 13253.92 12967.62 3/31/2002 13011.84 12752.35 4/30/2002 13253.92 12999.75 5/31/2002 13314.44 13110.25 6/30/2002 13290.24 13224.31 7/31/2002 13338.65 13384.32 8/31/2002 13604.94 13610.52 9/30/2002 13713.88 13831.01 10/31/2002 13713.88 13767.38 11/30/2002 13774.4 13763.25 12/31/2002 14044.21 14048.15 1/31/2003 14116.86 14,060.80 2/28/2003 14334.78 14,254.84 3/31/2003 14322.68 14,243.43 4/30/2003 14492.17 14,361.65 5/31/2003 14734.32 14,628.78 6/30/2003 14722.21 14,599.52 7/31/2003 14153.18 14,108.98 8/31/2003 14274.25 14,202.10 9/30/2003 14649.57 14,578.45 10/31/2003 14540.6 14,442.87 11/30/2003 14564.82 14,477.54 12/31/2003 14715.77 14,625.21 AVERAGE ANNUAL TOTAL RETURN 1 Year 4.78% 5 Year 6.83% Since inception 6.84% (Inception March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PPM AMERICA BALANCED FUND PPM AMERICA, INC. TEAM MANAGEMENT OBJECTIVE: JNL/PPM America Balanced Fund seeks as its investment objective reasonable income, long-term capital growth and preservation of capital. It is intended that this Fund will invest in common stocks and fixed income securities which appear to have some potential for capital enhancement. MONEY MANAGER COMMENTARY: The S&P 500 Index increased 12.18% in the fourth quarter. After three consecutive years of disappointing results, the Index return of positive 28.69% for the year was a welcome sight. Every sector in the S&P 500 Index increased in 2003 with the information technology and materials sectors increasing in excess of 38% for the year while the telecom services sector, the poorest performing sector, increased almost 7%. Fixed income returns were positive for the quarter, with the Lehman Brothers Aggregate Index returning 1.02%, Credit Index 1.11%, and Government Index 0.89%. For the full year, fixed income returns were carried by the Credit Index which returned 7.70%. The Aggregate Index ended up posting a 4.10% return for 2003. The equity markets have rebounded strongly over the past year. Investors were relieved that the resolution of the conflict in Iraq was quick and decisive. With significant tax cuts in place, including a lower tax rate on dividend income and the earnings outlook improving, the equity markets seem poised for a second consecutive year of gains. Deflation fears have all but disappeared and evidence for a slow turn in pricing power is mounting. PPM America uses a value-oriented strategy in managing the Fund. This value strategy has successfully outperformed the market over the past four years. With the market's strong rebound during the past year, the S&P 500 Index is now above historical median valuation levels but nowhere near past extremes. While the credit rally is well positioned to carry into the 2004, it will certainly not be as robust as 2003 and with more limited breadth. We remain constructive on the investment grade market, but are cognizant that market has already priced in a very rosy earnings and growth forecast to current valuations. The stock selection philosophy that guides the management of the equity component of the Fund is relative valuation based. Therefore, despite the market returning to a more normal valuation level, PPM America will continue to focus on relatively attractive priced sectors and securities. The equity portion of the Fund's assets has a lower-than-market price/earnings ratio and a higher-than-market dividend yield (compared to the S&P 500 Index). The equity component of the Fund is overweight (relative to the S&P 500 Index) in stocks of apparel, telecommunications, utilities, energy, banks, autos, and insurance. The Fund is underweight (relative to the S&P 500 Index) in stocks of healthcare and media and significantly underweight in technology companies. The security selection and sector weighting process that guide the fixed income portion of the Fund is also relative valuation based. Weightings are selected based on attractive pricing and potential for out-performance versus the benchmark. The fixed income allocation's overall level of interest rate risk is generally constructed to be close to the benchmark duration. The fixed income portion of the Fund is positioned with over weights in the ABS, CMBS and Corporate bond sectors. The Fund maintains an underweight to the Agency Debenture, MBS and U.S. Treasury sectors. Going forward, the Fund will focus on sectors with attractive valuations and finding securities with potential for relative out-performance. JNL/PPM AMERICA BALANCED FUND [GRAPH OMITTED]
Date JNL/PPM America Balanced Fund S&P 500 Index Lehman Brothers Aggregate Bond Index 5/15/1995 10,000.00 10,000.00 10,000.00 5/31/1995 10,070.00 10,130.00 10,070.00 6/30/1995 10,210.00 10,356.00 10,210.00 7/31/1995 10,460.00 10,694.00 10,245.00 8/31/1995 10,660.00 10,726.00 10,368.00 9/30/1995 10,840.00 11,179.00 10,469.00 10/31/1995 10,890.00 11,139.00 10,605.00 11/30/1995 11,270.00 11,627.00 10,764.00 12/31/1995 11,544.72 11,851.00 10,915.00 1/31/1996 11,711.73 12,254.00 10,988.00 2/29/1996 11,711.73 12,368.00 10,797.00 3/31/1996 11,659.54 12,487.00 10,722.00 4/30/1996 11,649.10 12,671.00 10,662.00 5/31/1996 11,878.74 12,996.00 10,588.00 6/30/1996 11,983.12 13,046.00 10,404.00 7/31/1996 11,555.15 12,469.00 10,472.00 8/31/1996 11,732.60 12,732.00 10,619.00 9/30/1996 12,264.96 13,448.00 10,778.00 10/31/1996 12,588.54 13,819.00 11,017.00 11/30/1996 13,089.58 14,862.00 11,206.00 12/31/1996 12792.44 14,568.00 11,102.00 1/31/1997 13,339.76 15,477.04 11,105.44 2/28/1997 13,200.25 15,597.76 11,133.21 3/31/1997 12,738.78 14,958.26 11,009.63 4/30/1997 13,125.13 15,849.77 11,174.77 5/31/1997 13,640.26 16,813.43 11,280.93 6/30/1997 13,983.68 17,566.68 11,415.17 7/31/1997 14,638.33 18,963.23 11,723.38 8/31/1997 14,370.03 17,901.29 11,623.74 9/30/1997 14,810.04 18,882.28 11,795.77 10/31/1997 14,573.93 18,251.61 11,966.81 11/30/1997 14,938.82 19,096.66 12,021.85 12/31/1997 15,150.04 19,424.43 12,143.27 1/31/1998 15,126.84 19,639.25 12,361.85 2/28/1998 15,869.27 21,055.75 12,434.79 3/31/1998 16,391.28 22,133.99 12,332.71 4/30/1998 16,414.48 22,417.75 12,396.84 5/31/1998 16,414.48 21,996.30 12,514.61 6/30/1998 16,344.88 22,862.95 12,618.59 7/31/1998 16,112.87 22,620.12 12,645.14 8/31/1998 14,987.64 19,352.80 12,844.59 9/30/1998 15,440.05 20,592.62 13,152.36 10/31/1998 16,101.27 22,266.16 13,153.00 11/30/1998 16,658.09 23,615.11 13,157.48 12/31/1998 16,674.14 24,975.06 13,197.07 1/31/1999 16735.99 26,019.44 13,291.34 2/28/1999 16476.23 25,211.07 13,059.27 3/31/1999 16562.81 26,219.74 13,131.73 4/30/1999 17515.27 27235.12086 13173.35 5/31/1999 17403.94 26591.99072 13057.92 6/30/1999 17626.59 28067.79 13016.21 7/31/1999 17255.51 27191.38 12960.92 8/31/1999 16909.16 27056.91 12954.33 9/30/1999 16612.29 26315.12 13104.65 10/31/1999 16735.99 27980.4 13153 11/30/1999 16698.88 28549.21 13151.68 12/31/1999 16656.75 30230.62 13088.26 1/31/2000 16048.64 28711.77 13045.07 2/29/2000 15281.9 28168.23 13202.92 3/31/2000 16498.11 30923.95 13377.2 4/30/2000 16471.67 29993.6 13338.4 5/31/2000 16564.21 29378.2 13331.73 6/30/2000 16114.74 30102.43 13609.03 7/31/2000 16101.52 29631.78 13732.88 8/31/2000 16802.16 31472.32 13932 9/30/2000 16855.04 29810.74 14019.77 10/31/2000 17397.05 29684.73 14112.3 11/30/2000 17211.97 27344.42 14343.75 12/31/2000 18030.77 27478.21 14610.54 1/31/2001 18827.26 28453.11 14610.54 2/28/2001 18923.39 25858.67 14610.54 3/31/2001 18635 24220.5 15053.24 4/30/2001 19211.77 26102.68 15053.24 5/31/2001 19527.62 26277.59 15053.24 6/30/2001 19651.21 25638.02 15137.54 7/31/2001 19953.32 25385.59 15137.54 8/31/2001 19761.07 23796.45 15137.54 9/30/2001 18786.06 21874.84 15835.38 10/31/2001 19088.18 22291.95 15835.38 11/30/2001 19719.87 24001.92 15835.38 12/31/2001 19936.87 24212.56 15843.3 1/31/2002 20264.4 23873.58 15970.04 2/28/2002 20378.33 23413.21 16124.95 3/31/2002 20734.34 24293.75 15857.28 4/30/2002 20648.9 22820.87 16164.91 5/31/2002 21019.16 22652.75 16302.31 6/30/2002 20421.05 21039.24 16444.14 7/31/2002 19409.97 19399.04 16643.11 8/31/2002 19623.57 19526.32 16924.38 9/30/2002 18142.55 17404.18 17198.56 10/31/2002 18996.99 18936.08 17119.44 11/30/2002 19908.39 20050.62 17114.31 12/31/2002 19551.43 18861.96 17468.58 1/31/2003 19224.08 18,367.83 17,484.30 2/28/2003 18986.01 18,092.24 17,725.58 3/31/2003 19030.65 18,267.91 17,711.40 4/30/2003 20176.36 19,772.72 17,858.40 5/31/2003 21277.43 20,814.48 18,190.57 6/30/2003 21441.1 21,079.91 18,154.19 7/31/2003 21441.1 21,451.63 17,544.21 8/31/2003 21753.57 21,869.92 17,660.00 9/30/2003 21798.2 21,637.81 18,127.99 10/31/2003 22661.2 22,861.67 17,959.40 11/30/2003 22854.64 23,062.80 18,002.50 12/31/2003 23768.83 24,272.52 18,186.13
AVERAGE ANNUAL TOTAL RETURN 1 Year 21.57% 5 Year 7.34% Since inception 10.54% (Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by the Phoenix Investment Counsel, Inc. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PPM AMERICA HIGH YIELD BOND FUND PPM AMERICA, INC. TEAM MANAGEMENT OBJECTIVE: JNL/PPM America High Yield Bond Fund seeks as its investment objective a high level of current income; its secondary objective is capital appreciation, by investing in fixed income securities, with emphasis on higher-yielding, higher-risk, lower-rated or unrated corporate bonds. MONEY MANAGER COMMENTARY: The U.S. high yield market experienced a remarkable turnaround in 2003. Investors looked past the war in Iraq and some continued economic concerns to drive the market up 28.97% as measured by the Lehman High Yield Index. This performance represents one of the best years on record, and is second only to the 46% return achieved in 1991. While all segments of the market performed well, there was significant outperformance by the lowest credit quality segments of the market, as well as from distressed industry sectors that had dramatically underperformed in 2002. High yield was distinguished as the best performing asset class for all of 2003, generating 2,642 basis points of excess return versus comparable Treasury securities. Underpinning the dramatic rally in high yield in 2003 was the unprecedented level of cash that moved into the market, including record mutual fund inflows, as well as significant demand from hedge funds, pension funds and insurance companies. The very strong technical environment supporting the asset class continues. While we were pleased with the turnaround in the U.S. high yield market in 2003, especially after the five-year period where the asset class failed to earn even its coupon return, we believe this was an unusual year. We expect 2004 to be a more normal year, with the market earning at least its coupon return, but certainly nothing like the nearly 29% return in 2003. Further, while credit fundamentals are improving, which is clearly supportive of the asset class, it is difficult to get overly excited at current yield levels. Nevertheless, the high yield market should continue to perform well on a relative basis versus other fixed income asset classes. Throughout 2003, PPM America reduced the defensive positioning of the Fund, in line with our view that the U.S. high yield market would perform well, boosted by very strong technical market conditions. Nonetheless, the Fund remained significantly more conservative than its benchmark, the Lehman Brothers High Yield Index, principally due to its lower exposure to Caa and below-rated securities. Significant downgrades, fundamental deterioration and defaults over the past couple of years have caused the benchmark to migrate towards a much lower quality emphasis, including a greater than 18% allocation to Caa and below-rated securities. The Fund's exposure to Caa and below-rated securities, in contrast, was less than half this throughout the year. Although we ended the year at a higher percentage of Caa-rated securities than at the beginning of the year, it was mostly due to downgraded names that we decided to continue to hold rather than new purchases. This positioning was in line with our long-standing philosophy away from investing in distressed securities for the portfolio, specifically companies in or near default, considering their very speculative risk profiles. JNL/PPM AMERICA HIGH YIELD BOND FUND [GRAPH OMITTED] JNL/PPM America Date High Yield Bond Fund Lehman Brothers High Yield Index 5/15/1995 10,000.00 10,000.00 5/31/1995 9,970.00 10,140.00 6/30/1995 9,930.00 10,207.00 7/31/1995 10,120.00 10,333.00 8/31/1995 10,120.00 10,365.00 9/30/1995 10,230.00 10,493.00 10/31/1995 10,360.00 10,557.00 11/30/1995 10,430.00 10,650.00 12/31/1995 10,624.15 10,818.00 1/31/1996 10,792.79 11,008.00 2/29/1996 10,866.56 11,017.00 3/31/1996 10,782.25 11,009.00 4/30/1996 10,771.71 11,034.00 5/31/1996 10,866.56 11,100.00 6/30/1996 10,887.64 11,192.00 7/31/1996 11,003.58 11,243.00 8/31/1996 11,182.76 11,365.00 9/30/1996 11,425.18 11,639.00 10/31/1996 11,551.65 11,728.00 11/30/1996 11,804.61 11,959.00 12/31/1996 11,994.15 12,046.00 1/31/1997 12,129.04 12,164.05 2/28/1997 12,387.58 12,364.76 3/31/1997 12,106.56 12,180.52 4/30/1997 12,263.93 12,308.42 5/31/1997 12,612.40 12,571.82 6/30/1997 12,792.26 12,746.57 7/31/1997 13,174.45 13,097.10 8/31/1997 13,230.66 13,066.97 9/30/1997 13,522.92 13,325.70 10/31/1997 13,466.72 13,337.69 11/30/1997 13,612.85 13,349.70 12/31/1997 13,799.65 13,670.00 1/31/1998 14,064.10 13,916.06 2/28/1998 14,232.39 13,998.16 3/31/1998 14,388.66 14,129.75 4/30/1998 14,424.72 14,179.20 5/31/1998 14,508.86 14,196.11 6/30/1998 14,508.86 14,277.49 7/31/1998 14,653.11 14,277.49 8/31/1998 13,943.90 13,566.54 9/30/1998 13,847.73 13,627.86 10/31/1998 13,499.13 13,625.00 11/30/1998 14,340.58 13,621.68 12/31/1998 14,329.32 13,918.14 1/31/1999 14408.27 14,125.52 2/28/1999 14237.22 14,042.17 3/31/1999 14434.59 14,175.58 4/30/1999 14684.6 14450.58 5/31/1999 14487.22 14255.5 6/30/1999 14474.06 14225.56 7/31/1999 14513.54 14282.83 8/31/1999 14395.11 14124.94 9/30/1999 14289.85 14023.29 10/31/1999 14263.53 13930.15 11/30/1999 14355.64 14094.53 12/31/1999 14485.16 14252.39 1/31/2000 14413.66 14191.1 2/29/2000 14456.56 14218.06 3/31/2000 14213.47 13919.48 4/30/2000 14242.07 13941.76 5/31/2000 14056.18 13798.16 6/30/2000 14270.67 14079.64 7/31/2000 14256.37 14186.64 8/31/2000 14413.66 14283.11 9/30/2000 14327.87 14158.85 10/31/2000 13898.89 13705.77 11/30/2000 13355.52 13163.02 12/31/2000 13671.03 13417.06 1/31/2001 14513.55 13417.06 2/28/2001 14688.41 13417.06 3/31/2001 14449.96 14270.39 4/30/2001 14338.69 14270.39 5/31/2001 14465.86 14270.39 6/30/2001 14179.72 13943.6 7/31/2001 14402.27 13943.6 8/31/2001 14545.34 13943.6 9/30/2001 13686.93 13359.36 10/31/2001 14100.24 13359.36 11/30/2001 14545.34 13359.36 12/31/2001 14445.54 14131.53 1/31/2002 14445.54 14223.39 2/28/2002 14393.26 14024.26 3/31/2002 14584.94 14362.24 4/30/2002 14724.34 14586.3 5/31/2002 14689.49 14510.45 6/30/2002 14131.89 13441.03 7/31/2002 13835.66 12853.65 8/31/2002 14114.46 13219.98 9/30/2002 14027.33 13046.8 10/31/2002 14114.46 12933.29 11/30/2002 14706.92 13733.86 12/31/2002 14741.95 13926.14 1/31/2003 14931.19 14,389.88 2/28/2003 15101.51 14,566.87 3/31/2003 15461.07 14,986.40 4/30/2003 16066.65 15,875.09 5/31/2003 16047.72 16,038.61 6/30/2003 16407.28 16,500.52 7/31/2003 16085.57 16,319.01 8/31/2003 16293.74 16,506.68 9/30/2003 16634.37 16,957.32 10/31/2003 16956.08 17,299.85 11/30/2003 17107.48 17,562.81 12/31/2003 17494.11 17,959.73 AVERAGE ANNUAL TOTAL RETURN 1 Year 18.67% 5 Year 4.07% Since inception 6.69% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PPM AMERICA VALUE FUND PPM AMERICA, INC. TEAM MANAGEMENT OBJECTIVE: JNL/PPM America Value Fund seeks as its investment objective long term growth of capital MONEY MANAGER COMMENTARY: The S&P 500 Index increased 12.18% in the fourth quarter. After three consecutive years of disappointing results, the Index return of positive 28.69% for the year was a welcome sight. Every sector in the S&P 500 Index increased in 2003 with the information technology and materials sectors increasing in excess of 38% for the year while the telecom services sector, the poorest performing sector, increased almost 7%. The equity markets have rebounded strongly over the past year. Investors were relieved that the resolution of the conflict in Iraq was quick and decisive. With significant tax cuts in place, including a lower tax rate on dividend income and the earnings outlook improving, the equity markets seem poised for a second consecutive year of gains. Deflation fears have all but disappeared and evidence for a slow turn in pricing power is mounting. PPM America uses a value-oriented strategy in managing the Fund. This value strategy has successfully outperformed the market over the past four years. With the market's strong rebound during the past year, the S&P 500 Index is now above historical median valuation levels but nowhere near past extremes. The stock selection philosophy that guides the management of the Fund is relative valuation based. Therefore, despite the market returning to a more normal valuation level, PPM America will continue to focus on relatively attractive priced sectors and securities. The Fund's assets have a lower-than-market price/earnings ratio and a higher-than-market dividend yield (compared to the S&P 500 Index). The Fund is overweight (relative to the S&P 500 Index) in stocks of apparel, telecommunication, utilities, energy, banks, autos, and insurance. The Fund is underweight (relative to the S&P 500 Index) in stocks of healthcare and media and significantly underweight in technology companies. Looking forward, the Fund will continue to focus on sectors with attractive valuations and finding securities with potential for relative out-performance. JNL/PPM AMERICA VALUE FUND [GRAPH OMITTED]
Date JNL/PPM America Value Fund S&P Mid 400 Barra Value Index Russell 1000 Value 9/30/2002 10,000.00 10,000.00 10,000.00 10/31/2002 10,620.00 10,407.00 10,830.82 11/30/2002 11,450.00 11,075.03 11,462.84 12/31/2002 10970 10,654.77 10,813.98 1/31/2003 10,670.00 10,285.96 10,551.98 2/28/2003 10,350.00 10,068.65 10,388.69 3/31/2003 10,390.00 10,036.43 10,495.77 4/30/2003 11,370.00 10,851.28 11,343.18 5/31/2003 12280 11,911.42 11,990.08 6/30/2003 12450 11,960.74 12,147.90 7/31/2003 12770 12,320.32 12,389.93 8/31/2003 13030 12,948.28 12,641.31 9/30/2003 12850 12,821.33 12,511.88 10/31/2003 13,780.00 13,871.23 13,245.94 11/30/2003 13,950.00 14,418.87 13,404.63 12/31/2003 14,787.36 14,936.28 14,046.50
AVERAGE ANNUAL TOTAL RETURN 1 Year 34.80% Since inception 36.58% (Inception date September 30, 2002) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PUTNAM EQUITY FUND PUTNAM INVESTMENT MANAGEMENT, LLC U.S. CORE EQUITY TEAM OBJECTIVE: JNL/Putnam Equity Fund seeks as its investment objective long-term growth of capital by investing primarily in the common stocks of domestic, large-capitalization companies believed to have the opportunity for capital growth. MONEY MANAGER COMMENTARY: During the year, the portfolio performed relatively in line with its benchmark. Good results in the financial and utilities sectors were offset by unfavorable results in technology and consumer cyclicals. Over the period, the U.S. equity market rebounded from three declining years and registered its strongest performance since 1997. The financial sector had the largest positive impact on performance. Stock selection in the sector was particularly helpful, especially an overweight to Capital One, a consumer finance company that benefited from increased consumer spending. Holdings in the banking industry also added to relative performance, as credit and balance sheets improved. Careful stock selection in the utilities sector aided relative outperformance. Our overweights to Edison International and PG&E were especially helpful. Despite the portfolio's overweight to technology - the strongest performer in the benchmark - stock selection within the sector offset gains. Semiconductors registered the strongest advances, and the portfolio's underweight or lack of holdings in firms such as Intel and Texas Instruments hindered performance. Small-cap and lower quality names were the star performers during the year, and our emphasis on names such as Microsoft also dragged on returns. Stock selection in consumer cyclicals also had a negative impact on relative performance, especially an overweight to TJX (retail) and an underweight to eBay. Overweight exposure to the sector was helpful, however, as cyclicals outperformed the benchmark as investors anticipated economic recovery. Financials remain the largest overweight in the fund, followed by technology. We continue to favor consumer finance companies MBNA and Capital One. Within technology, we favor software companies Microsoft and BMC Software, as we anticipate increased corporate technology spending for 2004. We are maintaining the largest underweight in consumer staples, as this defensive sector should lag the broad market as the economy continues to recover. We find few appealing investment opportunities in the basic materials sector. JNL/PUTNAM EQUITY FUND [GRAPH OMITTED] Date JNL/Putnam Equity Fund S&P 500 Index 05/15/1995 10,000.00 10,000.00 05/31/1995 10,030.00 10,130.00 06/30/1995 10,540.00 10,356.00 07/31/1995 11,490.00 10,694.00 08/31/1995 11,640.00 10,726.00 09/30/1995 12,080.00 11,179.00 10/31/1995 11,880.00 11,139.00 11/30/1995 12,560.00 11,627.00 12/31/1995 12,733.84 11,851.00 01/31/1996 13,284.61 12,254.00 02/29/1996 13,692.18 12,368.00 03/31/1996 13,769.29 12,487.00 04/30/1996 14,826.77 12,671.00 05/31/1996 15,344.49 12,996.00 06/30/1996 15,355.51 13,046.00 07/31/1996 14,463.26 12,469.00 08/31/1996 15,091.14 12,732.00 09/30/1996 15,520.74 13,448.00 10/31/1996 15,719.02 13,819.00 11/30/1996 16,578.22 14,862.00 12/31/1996 16,147.97 14,568.00 01/31/1997 17,307.08 15,477.04 02/28/1997 16,909.35 15,597.76 03/31/1997 15,886.61 14,958.26 04/30/1997 16,284.34 15,849.77 05/31/1997 16,784.35 16,813.43 06/30/1997 17,613.91 17,566.68 07/31/1997 19,125.29 18,963.23 08/31/1997 17,977.55 17,901.29 09/30/1997 19,057.11 18,882.28 10/31/1997 18,625.28 18,251.61 11/30/1997 19,466.21 19,096.66 12/31/1997 19,681.74 19,424.43 01/31/1998 19,878.68 19,639.25 02/28/1998 21,500.48 21,055.75 03/31/1998 22,890.60 22,133.99 04/30/1998 22,994.86 22,417.75 05/31/1998 22,485.15 21,996.30 06/30/1998 24,141.70 22,862.95 07/31/1998 23,875.26 22,620.12 08/31/1998 19,878.68 19,352.80 09/30/1998 21,245.62 20,592.62 10/31/1998 22,380.89 22,266.16 11/30/1998 23875.26 23,615.11 12/31/1998 26555.72 24,975.06 01/31/1999 27786.01 26,019.44 02/28/1999 26811.06 25,211.07 03/31/1999 27960.11 26,219.74 04/30/1999 28018.14 27235.12086 05/31/1999 26857.49 26591.99072 06/30/1999 29051.12 28067.79 07/31/1999 28215.45 27191.38 08/31/1999 27704.76 27056.91 09/30/1999 27588.7 26315.12 10/31/1999 29515.38 27980.4 11/30/1999 30710.85 28549.21 12/31/1999 34364.67 30230.62 01/31/2000 32311.24 28711.77 02/29/2000 32782.32 28168.23 03/31/2000 35463.86 30923.95 04/30/2000 33217.17 29993.6 05/31/2000 31840.16 29378.2 06/30/2000 33531.22 30102.43 07/31/2000 33011.83 29631.78 08/31/2000 35584.65 31472.32 09/30/2000 33084.3 29810.74 10/31/2000 31707.3 29684.73 11/30/2000 27805.79 27344.42 12/31/2000 28231.33 27478.21 01/31/2001 27763.07 28453.11 02/28/2001 24645.42 25858.67 03/31/2001 22525.91 24220.5 04/30/2001 24571.48 26102.68 05/31/2001 24583.81 26277.59 06/30/2001 23918.38 25638.02 07/31/2001 23018.82 25385.59 08/31/2001 21207.38 23796.45 09/30/2001 19235.75 21874.84 10/31/2001 19654.72 22291.95 11/30/2001 21219.71 24001.92 12/31/2001 21170.42 24212.56 01/31/2002 20504.99 23873.58 02/28/2002 19531.5 23413.21 03/31/2002 20381.76 24293.75 04/30/2002 19346.65 22820.87 05/31/2002 19198.78 22652.75 06/30/2002 17843.28 21039.24 07/31/2002 16438.5 19399.04 08/31/2002 16611.01 19526.32 09/30/2002 14935.12 17404.18 10/31/2002 16278.3 18936.08 11/30/2002 16968.37 20050.62 12/31/2002 16068.81 18861.96 01/31/2003 15563.58 18,367.83 02/28/2003 15230.87 18,092.24 03/31/2003 15366.42 18,267.91 04/30/2003 16635.66 19,772.72 05/31/2003 17547.54 20,814.48 06/30/2003 17757.03 21,079.91 07/31/2003 18003.48 21,451.63 08/31/2003 18373.16 21,869.92 09/30/2003 18311.55 21,637.81 10/31/2003 19371.3 22,861.67 11/30/2003 19469.88 23,062.80 12/31/2003 20443.64 24,272.52 AVERAGE ANNUAL TOTAL RETURN 1 Year 27.23% 5 Year -5.09% Since inception 8.63% (Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by Phoenix Investment Counsel, Inc. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/Putnam International Equity Fund PUTNAM INVESTMENT MANAGEMENT, LLC CORE INTERNATIONAL EQUITY TEAM OBJECTIVE: JNL/Putnam International Equity Fund seeks as its investment objective long-term growth of capital through investments primarily in common stocks of established, non-U.S. companies. MONEY MANAGER COMMENTARY: The portfolio trailed its benchmark for the year as rebounding equity markets favored small, lower-quality companies. During the first quarter, the equity markets responded negatively to the almost universally bad economic news, including the prospect of war in Iraq and the outbreak of the SARS virus. To aid recovery, governments responded with massive liquidity infusions. In March, after the SARS crisis diminished and the Iraq situation became clearer, equity markets rallied for the remainder of the year. The portfolio's defensive stance, focusing on high quality, cash-generative companies, hurt performance. The rally was strongest in companies with weaker balance sheets and less sound business models - companies that fared worst during the weak economy of late 2002/early 2003. Small companies also performed well, so our large cap focus also hurt relative performance. Going forward, the portfolio is positioned for a market rotation back to a focus on earnings and business fundamentals. Although the U.S. presidential election may hinder a rise in interest rates that would hasten such a transition, we believe valuations no longer support the low-margin, highly leveraged, and generally unprofitable companies that fared well in 2003. The portfolio is currently underweight to Japan, the United Kingdom, Australia, and the Netherlands. Although Asian countries should benefit most from China's robust economic growth, valuations in Japan are not as attractive as they were six months ago. Nor do we find compelling valuations in Europe. Overall, the portfolio's current underweights to Europe and Asia are offset by a sizable emerging markets allocation. JNL/PUTNAM INTERNATIONAL EQUITY FUND [GRAPH OMITTED] JNL/Putnam Date International Equity Fund MSCI E.A.FE. Index 5/15/1995 10,000.00 10,000 5/31/1995 9,990.00 9,999 6/30/1995 9,950.00 9,810 7/31/1995 10,530.00 10,407 8/31/1995 10,250.00 9,997 9/30/1995 10,430.00 10,178 10/31/1995 10,240.00 9,981 11/30/1995 10,360.00 10,153 12/31/1995 10,720.00 10,548 1/31/1996 10,970.00 10,578 2/29/1996 11,050.00 10,600 3/31/1996 11,250.00 10,811 4/30/1996 11,570.00 11,112 5/31/1996 11,500.00 10,893 6/30/1996 11,630.00 10,940 7/31/1996 11,280.00 10,606 8/31/1996 11,440.00 10,614 9/30/1996 11,710.00 10,882 10/31/1996 11,640.00 10,756 11/30/1996 12,220.00 11,169 12/31/1996 12,210.72 11,010 1/31/1997 12,069.20 10,627 2/28/1997 12,220.83 10,804 3/31/1997 12,190.50 10,845 4/30/1997 12,311.80 10,906 5/31/1997 13,069.92 11,618 6/30/1997 13,625.87 12,261 7/31/1997 14,009.98 12,462 8/31/1997 12,706.02 11,534 9/30/1997 13,565.22 12,183 10/31/1997 12,513.96 11,249 11/30/1997 12,473.53 11,137 12/31/1997 12,534.44 11,236 1/31/1998 12,959.51 11,736 2/28/1998 13,737.08 12,474 3/31/1998 14,213.99 12,843 4/30/1998 14,328.04 12,929 5/31/1998 14,234.73 12,851 6/30/1998 14,224.36 12,933 7/31/1998 14,431.71 13,049 8/31/1998 12,596.65 11,417 9/30/1998 12,306.35 11,051 10/31/1998 13,436.42 12,188 11/30/1998 13,892.60 12,796 12/31/1998 14,343.24 13,285 1/31/1999 14185.27 13,231 2/28/1999 13911.46 12,900 3/31/1999 14501.2 13,422 4/30/1999 15048.81 13,950 5/31/1999 14353.77 13,216 6/30/1999 14869.79 13,716 7/31/1999 15122.53 14,107 8/31/1999 15312.09 14,143 9/30/1999 15375.27 14,269 10/31/1999 15849.17 14,787 11/30/1999 16881.21 15,286 12/31/1999 18948.66 16,649 1/31/2000 17842.66 15,579 2/29/2000 18779.37 15,948 3/31/2000 18993.8 16,631 4/30/2000 17944.23 15,762 5/31/2000 17030.09 15,395 6/30/2000 18102.23 16,001 7/31/2000 17504.09 15,324 8/31/2000 17842.66 15,462 9/30/2000 16702.81 14,707 10/31/2000 16115.95 14,351 11/30/2000 15483.95 13,806 12/31/2000 16298.55 14,290 1/31/2001 15965.39 14,282 2/28/2001 15045.84 13,212 3/31/2001 13979.71 12,331 4/30/2001 14872.6 13,188 5/31/2001 14499.45 12,722 6/30/2001 14059.67 12,202 7/31/2001 13713.17 11,980 8/31/2001 13380.01 11,676 9/30/2001 12073.99 10,494 10/31/2001 12287.22 10,763 11/30/2001 12753.65 11,159 12/31/2001 12992.22 11,226 1/31/2002 12360.09 10,629 2/28/2002 12481.14 10,704 3/31/2002 13140.16 11,283 4/30/2002 13005.67 11,357 5/31/2002 13032.57 11,501 6/30/2002 12440.79 11,043.52 7/31/2002 11001.69 9,953.30 8/31/2002 10867.2 9,930.71 9/30/2002 9629.84 8,864.21 10/31/2002 10248.52 9,340.62 11/30/2002 10705.8 9,764.54 12/31/2002 10318.32 9,436.21 1/31/2003 9815.32 9,042.27 2/28/2003 9584.21 8,834.75 3/31/2003 9421.07 8,661.16 4/30/2003 10331.91 9,510.06 5/31/2003 10862.1 10,086.30 6/30/2003 10957.26 10,330.05 7/31/2003 11120.4 10,580.10 8/31/2003 11365.1 10,835.60 9/30/2003 11582.62 11,169.61 10/31/2003 12140 11,865.80 11/30/2003 12398.29 12,129.60 12/31/2003 13261.8 13,077.23 AVERAGE ANNUAL TOTAL RETURN 1 Year 28.53% 5 Year -1.55% Since inception 3.32% (Inception date May 15, 1995). Prior to May 1, 2000, the Fund was managed by Rowe-Price Fleming International, Inc. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PUTNAM MIDCAP GROWTH FUND PUTNAM INVESTMENT MANAGEMENT, LLC MIDCAP EQUITY GROWTH TEAM OBJECTIVE: JNL/Putnam Midcap Growth Fund seeks as its investment objective capital appreciation. The Fund invests mainly in common stocks of U.S. companies with a focus on growth stocks whose earnings the sub-adviser believes are likely to grow faster than the economy as a whole. MONEY MANAGER COMMENTARY: The portfolio trailed its benchmark for the year, as relative strength in the capital goods, transportation, and consumer staples sectors could not offset unfavorable stock selection in technology, consumer cyclicals, and health care. Strong stock selection and favorable underweight positions in office equipment & supplies and aerospace & defense made the capital goods sector the portfolio's largest relative contributor. Avoiding stocks in the shipping industry boosted relative returns in the transportation sector. In consumer staples, favorable stock selection in consumer goods and an underweight to restaurants had a positive relative impact on portfolio performance. Unrewarded stock selection in the technology sector had the largest negative relative impact on the portfolio. Specifically, selection in electronics and software, and an underweight to communications equipment hurt relative performance. Stock selection also hindered performance in the retail-cyclicals and commercial & consumer services industries within the consumer cyclicals sector. Within the health-care sector, negative relative contributions came from the pharmaceuticals, health-care services, and medical technology industries. We anticipate that dividend payout will be an important determinant of relative investment performance across the capitalization tiers. Low-quality stocks outperformed the rest of the market by a much narrower margin in the final months in 2003 than in earlier quarters. We expect a rotation toward higher-quality assets driven by an emphasis on yield, solid balance sheets, and margin growth. Capital goods is the portfolio's largest overweight along with overweights to financial and health care. The portfolio's largest underweight is the consumer staples sector. The portfolio has no representation in transportation and conglomerates, as attractive growth opportunities in these sectors are scarce. JNL/PUTNAM MIDCAP GROWTH FUND [GRAPH OMITTED] Date JNL/Putnam Midcap Growth Fund S&P Midcap 400 Index 5/1/2000 10,000.00 10,000.00 5/31/2000 9,410.00 9,742.07 6/30/2000 10,150.00 9,885.13 7/31/2000 9,810.00 10,041.32 8/31/2000 10,840.00 11,162.45 9/30/2000 10,790.00 11,086.02 10/31/2000 10,320.00 10,710.12 11/30/2000 8,960.00 9,901.67 12/31/2000 9,900.00 10,659.20 1/31/2001 9,950.00 10,897.04 2/28/2001 7,620.00 10,275.16 3/31/2001 8,810.00 9,511.26 4/30/2001 8,710.00 10,560.49 5/31/2001 8,540.00 10,806.43 6/30/2001 7,760.00 10,762.77 7/31/2001 7,130.00 10,602.44 8/31/2001 5,790.00 10,255.65 9/30/2001 6,310.00 8,979.97 10/31/2001 6,980.00 9,377.48 11/30/2001 7,260.00 10,075.23 12/31/2001 7,230.00 10,595.09 1/31/2002 7,010.00 10,536.82 2/28/2002 6,610.00 10,549.76 3/31/2002 7,060.00 11,303.93 4/30/2002 6,780.00 11,251.07 5/31/2002 6,570.00 11,061.32 6/30/2002 5,850.00 10,251.69 7/31/2002 5,340.00 9,258.47 8/31/2002 5,270.00 9,305.16 9/30/2002 4,830.00 8,555.53 10/31/2002 5,210.00 8,926.17 11/30/2002 5,500.00 9,442.46 12/31/2002 5,110.00 9,059.14 1/31/2003 5,080.00 8,794.43 2/28/2003 4,980.00 8,584.96 3/31/2003 5,050.00 8,657.37 4/30/2003 5,370.00 9,285.75 5/31/2003 5,820.00 10,055.43 6/30/2003 5,890.00 10,183.44 7/31/2003 6,080.00 10,544.95 8/31/2003 6,400.00 11,023.09 9/30/2003 6,240.00 10,854.35 10/31/2003 6,730.00 11,675.18 11/30/2003 6,860.00 12,082.00 12/31/2003 6,820.00 12,285.86 AVERAGE ANNUAL TOTAL RETURN 1 Year 33.46% Since inception -9.90% (Inception date May 1, 2000) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/PUTNAM VALUE EQUITY FUND PUTNAM INVESTMENT MANAGEMENT, LLC LARGE CAP VALUE TEAM OBJECTIVE: JNL/Putnam Value Equity Fund seeks as its investment objective capital growth, with income as a secondary objective, by investing primarily in common stocks which the sub-adviser believes to be undervalued relative to underlying assets value or earnings potential at the time of purchase. MONEY MANAGER COMMENTARY: The portfolio underperformed its benchmark during the quarter. Positive stock selection results in utilities and consumer staples were undercut by individual holdings in health care and technology. PG&E - California's largest utility - led all contributors in the utilities sector, as a resolution of its bankruptcy proceedings was reached. Edison International also rose in anticipation of a similar settlement. An overweight to Altria added to results in consumer staples. A massive court judgment caused volatility during the year but favorable news in September allowed investors to focus on the tobacco company's fundamentals. Our overweight to Fortune Brands (consumer goods) also contributed to performance. Negative stock selection in health care was led by an overweight to Merck (pharmaceuticals), which was hampered by concerns over generic competition and a lack of new drugs in the pipeline. An overweight to Cardinal Health also a detracted from relative performance as the company experienced slowing profit growth. Within technology not owning Cisco (network equipment) detracted from performance, as shares rose in anticipation of higher GDP growth and increased telecommunications spending. Not owning Texas Instruments also hurt relative results as the semiconductor maker posted strong gains. The fourth-quarter equity market rally may prove more durable than those of earlier months. Credit markets are healthy, and economic reports are improving. Geopolitical concerns and uncertainty about profits and spending may temper these influences. The portfolio remains most overweight to the financial sector. We find compelling valuations in diversified financials and banking and attractive valuations in energy, capital goods, and conglomerates. We maintain a large underweight to the consumer cyclicals area, primarily via underweights to the commercial & consumer services, broadcasting, and automotive industries. We are cautious on technology, as valuations remain high compared to historical levels. JNL/PUTNAM VALUE EQUITY FUND [GRAPH OMITTED] Date JNL/Putnam Value Equity Fund S&P 500 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,210.00 10,130.00 6/30/1995 10,340.00 10,356.00 7/31/1995 10,720.00 10,694.00 8/31/1995 10,850.00 10,726.00 9/30/1995 11,380.00 11,179.00 10/31/1995 11,350.00 11,139.00 11/30/1995 11,980.00 11,627.00 12/31/1995 12,261.70 11,851.00 1/31/1996 12,734.09 12,254.00 2/29/1996 12,888.13 12,368.00 3/31/1996 13,114.06 12,487.00 4/30/1996 13,309.18 12,671.00 5/31/1996 13,668.61 12,996.00 6/30/1996 13,617.26 13,046.00 7/31/1996 13,052.45 12,469.00 8/31/1996 13,452.95 12,732.00 9/30/1996 13,904.81 13,448.00 10/31/1996 14,253.97 13,819.00 11/30/1996 15,342.53 14,862.00 12/31/1996 15,244.39 14,568.00 1/31/1997 15,738.51 15,477.04 2/28/1997 16,295.72 15,597.76 3/31/1997 15,580.81 14,958.26 4/30/1997 16,095.97 15,849.77 5/31/1997 16,758.31 16,813.43 6/30/1997 17,357.57 17,566.68 7/31/1997 18,493.02 18,963.23 8/31/1997 17,715.03 17,901.29 9/30/1997 18,619.18 18,882.28 10/31/1997 17,778.11 18,251.61 11/30/1997 18,377.37 19,096.66 12/31/1997 18,570.63 19,424.43 1/31/1998 18,647.91 19,639.25 2/28/1998 19,718.87 21,055.75 3/31/1998 20,602.13 22,133.99 4/30/1998 20,646.30 22,417.75 5/31/1998 20,116.34 21,996.30 6/30/1998 20,127.38 22,862.95 7/31/1998 19,796.15 22,620.12 8/31/1998 16,991.79 19,352.80 9/30/1998 17,908.18 20,592.62 10/31/1998 19,354.52 22,266.16 11/30/1998 20,403.40 23,615.11 12/31/1998 20,888.30 24,975.06 1/31/1999 21254.76 26,019.44 2/28/1999 20888.3 25,211.07 3/31/1999 21655.58 26,219.74 4/30/1999 22972.55 27235.12086 5/31/1999 22743.51 26591.99072 6/30/1999 23144.33 28067.79 7/31/1999 22239.63 27191.38 8/31/1999 21506.71 27056.91 9/30/1999 20430.23 26315.12 10/31/1999 21460.9 27980.4 11/30/1999 21048.63 28549.21 12/31/1999 20671.2 30230.62 1/31/2000 19919.74 28711.77 2/29/2000 18367.55 28168.23 3/31/2000 20153.8 30923.95 4/30/2000 20190.76 29993.6 5/31/2000 20511.05 29378.2 6/30/2000 20338.59 30102.43 7/31/2000 20042.93 29631.78 8/31/2000 21422.65 31472.32 9/30/2000 21237.87 29810.74 10/31/2000 21903.09 29684.73 11/30/2000 21237.87 27344.42 12/31/2000 22109.91 27478.21 1/31/2001 22383.49 28453.11 2/28/2001 21749.29 25858.67 3/31/2001 20804.21 24220.5 4/30/2001 21960.69 26102.68 5/31/2001 22420.79 26277.59 6/30/2001 21873.64 25638.02 7/31/2001 21649.81 25385.59 8/31/2001 20742.03 23796.45 9/30/2001 19162.75 21874.84 10/31/2001 19249.8 22291.95 11/30/2001 20443.58 24001.92 12/31/2001 20712.4 24212.56 1/31/2002 20360.92 23873.58 2/28/2002 20109.86 23413.21 3/31/2002 20976.01 24293.75 4/30/2002 19846.25 22820.87 5/31/2002 19959.22 22652.75 6/30/2002 18365 21039.24 7/31/2002 16896.3 19399.04 8/31/2002 17059.49 19526.32 9/30/2002 15176.54 17404.18 10/31/2002 16406.73 18936.08 11/30/2002 17486.29 20050.62 12/31/2002 16597.82 18861.96 1/31/2003 16140.3 18,367.83 2/28/2003 15733.62 18,092.24 3/31/2003 15657.36 18,267.91 4/30/2003 16915.55 19,772.72 5/31/2003 18008.51 20,814.48 6/30/2003 18377.07 21,079.91 7/31/2003 18478.74 21,451.63 8/31/2003 18720.21 21,869.92 9/30/2003 18491.45 21,637.81 10/31/2003 19381.07 22,861.67 11/30/2003 19559 23,062.80 12/31/2003 20673.16 24,272.52 AVERAGE ANNUAL TOTAL RETURN 1 Year 24.55% 5 Year -0.21% Since inception 8.77% (Inception date Mary 15, 1995). Prior to May 1, 1997, the Fund was managed by PPM America, Inc. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/S&P STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC. DAVID M. BLITZER, PETER K. TSUI, JOSH HARARI Money Manager Commentary: JNL/S&P Aggressive Growth Fund JNL/S&P Aggressive Growth Fund I JNL/S&P Aggressive Growth Fund II JNL/S&P Conservative Growth Fund JNL/S&P Conservative Growth Fund I JNL/S&P Conservative Growth Fund II JNL/S&P Core Index 100 Fund JNL/S&P Core Index 50 Fund JNL/S&P Core Index 75 Fund JNL/S&P Equity Aggressive Growth Fund I JNL/S&P Equity Aggressive Growth Fund II JNL/S&P Equity Growth Fund I JNL/S&P Equity Growth Fund II JNL/S&P Moderate Growth Fund JNL/S&P Moderate Growth Fund I JNL/S&P Moderate Growth Fund II JNL/S&P Very Aggressive Growth Fund I JNL/S&P Very Aggressive Growth Fund II As we enter 2004, economic data point to solid growth following a steep acceleration in business activity in the second half of 2003. Although the 8.2% third quarter advance in GDP is unlikely to be repeated, we expect GDP growth in 2004 of about 4.7%. Despite the strong growth, the risk of a quick rise in short-term interest rates that could jeopardize economic expansion is small. Inflation is still in check and employment growth is only at a level that matches expansion in the labor force. Until the Fed sees either acceleration in inflation or sustained employment gains, interest rates should remain near recent generational lows. While a hike in interest rates is possible in the early part of 2004, the Fed is likely to stay on hold until after the November Presidential elections. Two wild cards are the large Federal budget deficit and the weakening of the U.S. dollar, which could prompt interest rate hikes to limit future inflationary pressures or to stabilize the currency. While rising equity prices resulted in positive returns in all market sectors in 2003, small and mid-cap value stocks did better than large caps. Mid-cap value and small-cap value were up over 40% for the year while large-cap growth rose about 26%. Despite the 2003 advance, we think the markets will continue to rise in 2004 driven by growth in corporate earnings and heightened interest in dividend paying stocks. While the Funds remain positioned to participate in further stock market advances; our outlook for the fixed income markets is cautious. Standard & Poor's expects the U.S. economy to continue its expansion through the Presidential election year and into 2005. Long-term bond yields should remain stable in the first half of 2004, and begin to rise in the second half in anticipation of Fed tightening after the elections. JNL/S&P AGGRESSIVE GROWTH FUND [GRAPH OMITTED]
Date JNL/S&P Aggressive Growth Fund S&P 500 Index Lehman Brothers Aggregate Bond Index 1/6/2000 10,000.00 10,000.00 10,000 1/31/2000 10,360.00 9,939.60 9,967 2/29/2000 10,880.00 9,751.43 10,088 3/31/2000 11,580.00 10,705.43 10,221 4/30/2000 10,990.00 10,383.35 10,191 5/31/2000 10,510.00 10,170.31 10,186 6/30/2000 10,850.00 10,421.03 10,398 7/31/2000 10,690.00 10,258.09 10,493 8/31/2000 11,420.00 10,895.26 10,645 9/30/2000 10,740.00 10,320.05 10,712 10/31/2000 10,490.00 10,276.43 10,782 11/30/2000 9,320.00 9,466.24 10,959 12/31/2000 9,470.00 9,512.56 11,163 1/31/2001 9,920.00 9,850.06 11,163 2/28/2001 8,730.00 8,951.90 11,163 3/31/2001 8,020.00 8,384.79 11,501 4/30/2001 8,900.00 9,036.37 11,501 5/31/2001 8,920.00 9,096.92 11,501 6/30/2001 8,690.00 8,875.51 11,566 7/31/2001 8,460.00 8,788.12 11,566 8/31/2001 7,920.00 8,237.99 11,566 9/30/2001 7,070.00 7,572.75 12,099 10/31/2001 7,290.00 7,717.15 12,099 11/30/2001 7,840.00 8,309.12 12,099 12/31/2001 7,967.68 8,382.04 12,105 1/31/2002 7,743.39 8259.23 12,201.80 2/28/2002 7,508.42 8099.96 12320.16 3/31/2002 7,828.84 8404.59 12115.65 4/30/2002 7,412.29 7895.03 12350.69 5/31/2002 7,294.81 7836.87 12455.67 6/30/2002 6,771.46 7278.67 12564.03 7/31/2002 6,237.44 6711.23 12716.06 8/31/2002 6,301.52 6755.26 12930.96 9/30/2002 5,778.17 6021.09 13140.44 10/31/2002 6,162.67 6551.06 13080 11/30/2002 6,472.41 6936.65 13076.07 12/31/2002 6,095.89 6525.42 13346.75 1/31/2003 5956.12 6,358.68 13,358.76 2/28/2003 5870.11 6,263.27 13,543.11 3/31/2003 5966.87 6,324.09 13,532.28 4/30/2003 6429.17 6,845.03 13,644.59 5/31/2003 6773.21 7,205.67 13,898.38 6/30/2003 6848.46 7,297.56 13,870.59 7/31/2003 7009.73 7,426.24 13,404.53 8/31/2003 7171 7,571.05 13,493.00 9/30/2003 7084.99 7,490.70 13,850.57 10/31/2003 7493.53 7,914.38 13,721.76 11/30/2003 7579.54 7,984.01 13,754.69 12/31/2003 7869.04 8,402.79 13,894.99 AVERAGE ANNUAL TOTAL RETURN 1 Year 29.09% Since inception -5.83% (Inception date January 6, 2000) JNL/S&P AGGRESSIVE GROWTH FUND I [GRAPH OMITTED] Date JNL/S&P Aggressive Growth Fund I S&P 500 Index Lehman Brothers Aggregate Bond Index 4/8/1998 10,000.00 10,000.00 10,000.00 4/30/1998 10,020.00 10,096.95 10,050.99 5/31/1998 9,830.00 9,923.39 10,147.49 6/30/1998 10,230.00 10,326.45 10,231.80 7/31/1998 10,080.00 10,216.50 10,253.34 8/31/1998 8,520.00 8,739.41 10,415.06 9/30/1998 8,960.00 9,299.29 10,664.62 10/31/1998 9,420.00 10,055.71 10,665.13 11/30/1998 9,960.00 10,665.17 10,668.77 12/31/1998 10,880.00 11,279.76 10,700.87 1/31/1999 11,470.00 11,751.44 10,777.31 2/28/1999 11,020.00 11,386.35 10,589.14 3/31/1999 11,630.00 11,841.90 10,647.89 4/30/1999 11,990.00 12,300.49 10,681.64 5/31/1999 11,750.00 12,010.03 10,588.04 6/30/1999 12,470.00 12,676.56 10,554.22 7/31/1999 12,150.00 12,280.74 10,509.38 8/31/1999 12,010.00 12,220.01 10,504.05 9/30/1999 11,990.00 11,884.99 10,625.93 10/31/1999 12,650.00 12,637.09 10,665.13 11/30/1999 13,390.00 12,893.99 10,664.07 12/31/1999 14,729.10 13,653.38 10,612.65 1/31/2000 14,318.01 12,967.41 10,577.62 2/29/2000 15,220.41 12,721.92 10,705.61 3/31/2000 15,822.01 13,966.52 10,846.93 4/30/2000 14,949.69 13,546.34 10,815.47 5/31/2000 14,348.09 13,268.39 10,810.06 6/30/2000 14,889.53 13,595.49 11,034.91 7/31/2000 14,668.95 13,382.92 11,135.33 8/31/2000 15,681.63 14,214.19 11,296.79 9/30/2000 14,879.50 13,463.75 11,367.96 10/31/2000 14,458.39 13,406.84 11,442.99 11/30/2000 13,074.71 12,349.86 11,630.66 12/31/2000 13,348.41 12,410.28 11,846.99 1/31/2001 13,784.36 12,850.59 11,846.99 2/28/2001 12,663.34 11,678.83 11,846.99 3/31/2001 11,812.20 10,938.97 12,205.95 4/30/2001 12,777.52 11,789.04 12,205.95 5/31/2001 12,870.94 11,868.03 12,205.95 6/30/2001 12,559.55 11,579.18 12,274.30 7/31/2001 12,331.19 11,465.17 12,274.30 8/31/2001 11,718.78 10,747.45 12,274.30 9/30/2001 10,649.66 9,879.57 12,840.15 10/31/2001 10,971.44 10,067.96 12,840.15 11/30/2001 11,729.16 10,840.25 12,840.15 12/31/2001 11,936.09 10,935.38 12,846.57 1/31/2002 11753.34 10782.29 12,949 2/28/2002 11604.85 10574.36 13,075 3/31/2002 12107.43 10972.05 12,858 4/30/2002 11684.81 10306.84 13,107 5/31/2002 11547.74 10230.91 13,219 6/30/2002 10771.04 9502.18 13,334 7/31/2002 9868.69 8761.4 13,495 8/31/2002 9994.34 8818.88 13,723 9/30/2002 9194.79 7860.44 13,945 10/31/2002 9685.94 8552.31 13,881 11/30/2002 10199.94 9055.68 13,877 12/31/2002 9756.84 8518.83 14,164 1/31/2003 9560.32 8,295.66 14,177.18 2/28/2003 9398.48 8,171.19 14,372.82 3/31/2003 9479.4 8,250.54 14,361.32 4/30/2003 10138.33 8,930.17 14,480.52 5/31/2003 10681.66 9,400.67 14,749.86 6/30/2003 10831.94 9,520.55 14,720.36 7/31/2003 11016.91 9,688.43 14,225.76 8/31/2003 11271.23 9,877.35 14,319.65 9/30/2003 11167.19 9,772.52 14,699.12 10/31/2003 11722.08 10,325.26 14,562.42 11/30/2003 11872.37 10,416.10 14,597.37 12/31/2003 12371.85 10,962.46 14,746.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 26.80% 5 Year 2.60% Since inception 3.78% (Inception date April 8, 1998) JNL/S&P AGRESSIVE GROWTH FUND II [GRAPH OMITTED] Date JNL/S&P Aggressive Growth Fund II S&P 500 Index Lehman Brothers Aggregate Bond Index 4/13/1998 10,000.00 10,000 10,000.00 4/30/1998 10,010.00 10,023 10,050.99 5/31/1998 9,790.00 9,851 10,147.49 6/30/1998 9,850.00 10,251 10,231.80 7/31/1998 9,550.00 10,142 10,253.34 8/31/1998 8,120.00 8,675 10,415.06 9/30/1998 8,540.00 9,231 10,664.62 10/31/1998 9,010.00 9,982 10,665.13 11/30/1998 9,450.00 10,587 10,668.77 12/31/1998 10,050.00 11,197 10,700.87 1/31/1999 10,460.00 11,665 10,777.31 2/28/1999 10,070.00 11,303 10,589.14 3/31/1999 10,480.00 11,755 10,647.89 4/30/1999 10,930.00 12,211 10,681.64 5/31/1999 10,720.00 11,922 10,588.04 6/30/1999 11,290.00 12,584 10,554.22 7/31/1999 10,970.00 12,191 10,509.38 8/31/1999 10,830.00 12,131 10,504.05 9/30/1999 10,760.00 11,798 10,625.93 10/31/1999 11,400.00 12,545 10,665.13 11/30/1999 11,900.00 12,800 10,664.07 12/31/1999 12,930.59 13,553 10,612.65 1/31/2000 12,510.25 12,873 10,577.62 2/29/2000 12,970.63 12,629 10,705.61 3/31/2000 13,711.23 13,864 10,846.93 4/30/2000 13,030.68 13,447 10,815.47 5/31/2000 12,640.36 13,171 10,810.06 6/30/2000 12,990.64 13,496 11,034.91 7/31/2000 12,840.52 13,285 11,135.33 8/31/2000 13,601.14 14,110 11,296.79 9/30/2000 12,920.59 13,365 11,367.96 10/31/2000 12,700.41 13,309 11,442.99 11/30/2000 11,689.78 12,260 11,630.66 12/31/2000 11,762.26 12,319 11,846.99 1/31/2001 12,145.36 12,757 11,846.99 2/28/2001 10,923.58 11,593 11,846.99 3/31/2001 10,209.14 10,859 12,205.95 4/30/2001 11,099.60 11,703 12,205.95 5/31/2001 11,141.01 11,781 12,205.95 6/30/2001 10,830.39 11,494 12,274.30 7/31/2001 10,592.24 11,381 12,274.30 8/31/2001 10,022.77 10,669 12,274.30 9/30/2001 9,173.73 9,807 12,840.15 10/31/2001 9,453.29 9,994 12,840.15 11/30/2001 10,115.96 10,761 12,840.15 12/31/2001 10,262.43 10,855 12,846.57 1/31/2002 9999.87 10703.4 12949.34 2/28/2002 9725.9 10497 13074.95 3/31/2002 10125.44 10891.78 12857.91 4/30/2002 9668.83 10231.43 13107.35 5/31/2002 9554.67 10156.06 13218.76 6/30/2002 8915.41 9432.66 13333.76 7/31/2002 8241.9 8697.3 13495.1 8/31/2002 8356.06 8754.36 13723.17 9/30/2002 7716.8 7802.93 13945.49 10/31/2002 8162 8489.74 13881.34 11/30/2002 8504.46 8989.43 13877.17 12/31/2002 8069.12 8456.51 14164.43 1/31/2003 7895.21 8,234.97 14,177.18 2/28/2003 7790.87 8,111.41 14,372.82 3/31/2003 7906.81 8,190.18 14,361.32 4/30/2003 8463.3 8,864.83 14,480.52 5/31/2003 8880.67 9,331.89 14,749.86 6/30/2003 8985.01 9,450.89 14,720.36 7/31/2003 9193.69 9,617.55 14,225.76 8/31/2003 9367.6 9,805.08 14,319.65 9/30/2003 9263.25 9,701.02 14,699.12 10/31/2003 9727 10,249.72 14,562.42 11/30/2003 9819.75 10,339.90 14,597.37 12/31/2003 10176.1 10,882.26 14,746.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 26.11% 5 Year 0.25% Since inception 0.31% (Inception date April 13, 1998) JNL/S&P CONSERVATIVE GROWTH FUND [GRAPH OMITTED] Date JNL/S&P Conservative Growth Fund S&P 500 Index Lehman Brothers Aggregate Bond Index 1/26/2000 10,000.00 10,000.00 10,000 1/31/2000 9,930.00 9,933.03 9,967 2/29/2000 10,150.00 9,744.99 10,088 3/31/2000 10,570.00 10,698.35 10,221 4/30/2000 10,220.00 10,376.49 10,191 5/31/2000 9,990.00 10,163.59 10,186 6/30/2000 10,220.00 10,414.14 10,398 7/31/2000 10,170.00 10,251.31 10,493 8/31/2000 10,540.00 10,888.06 10,645 9/30/2000 10,140.00 10,313.23 10,712 10/31/2000 10,020.00 10,269.63 10,782 11/30/2000 9,470.00 9,459.99 10,959 12/31/2000 9,540.00 9,506.27 11,163 1/31/2001 9,900.00 9,843.55 11,163 2/28/2001 9,170.00 8,945.98 11,163 3/31/2001 8,790.00 8,379.25 11,501 4/30/2001 9,280.00 9,030.40 11,501 5/31/2001 9,290.00 9,090.91 11,501 6/30/2001 9,110.00 8,869.65 11,566 7/31/2001 9,070.00 8,782.32 11,566 8/31/2001 8,750.00 8,232.54 11,566 9/30/2001 8,310.00 7,567.75 12,099 10/31/2001 8,500.00 7,712.05 12,099 11/30/2001 8,850.00 8,303.63 12,099 12/31/2001 8,910.43 8376.5 12,105 1/31/2002 8,776.52 8259.23 12,201.80 2/28/2002 8,632.31 8099.96 12320.16 3/31/2002 8,807.42 8404.59 12115.65 4/30/2002 8,539.60 7895.03 12350.69 5/31/2002 8,488.09 7836.87 12455.67 6/30/2002 8,106.95 7278.67 12564.03 7/31/2002 7,777.32 6711.23 12716.06 8/31/2002 7,880.33 6755.26 12930.96 9/30/2002 7,519.79 6021.09 13140.44 10/31/2002 7,828.82 6551.06 13080 11/30/2002 8,086.35 6936.65 13076.07 12/31/2002 7,826.92 6525.42 13346.75 1/31/2003 7732.75 6,354.47 13,358.76 2/28/2003 7690.89 6,259.13 13,543.11 3/31/2003 7785.07 6,319.91 13,532.28 4/30/2003 8193.16 6,840.50 13,644.59 5/31/2003 8475.68 7,200.91 13,898.38 6/30/2003 8538.46 7,292.74 13,870.59 7/31/2003 8569.85 7,421.34 13,404.53 8/31/2003 8695.42 7,566.04 13,493.00 9/30/2003 8684.95 7,485.75 13,850.57 10/31/2003 8988.4 7,909.15 13,721.76 11/30/2003 9051.19 7,978.73 13,754.69 12/31/2003 9345.25 8,397.24 13,894.99 AVERAGE ANNUAL TOTAL RETURN 1 Year 19.40% Since inception -1.71% (Inception date January 26, 2000) JNL/S&P CONSERVATIVE GROWTH FUND I [GRAPH OMITTED] Date JNL/S&P Conservative Growth Fund I S&P 500 Index Lehman Brothers Aggregate Bond Index 4/9/1998 10,000.00 10,000.00 10,000.00 4/30/1998 9,970.00 10,014.80 10,050.99 5/31/1998 9,850.00 9,842.66 10,147.49 6/30/1998 10,050.00 10,242.43 10,231.80 7/31/1998 9,950.00 10,133.37 10,253.34 8/31/1998 8,920.00 8,668.30 10,415.06 9/30/1998 9,250.00 9,223.63 10,664.62 10/31/1998 9,570.00 9,973.89 10,665.13 11/30/1998 9,980.00 10,578.39 10,668.77 12/31/1998 10,470.00 11,187.98 10,700.87 1/31/1999 10,770.00 11,655.83 10,777.31 2/28/1999 10,520.00 11,293.71 10,589.14 3/31/1999 10,910.00 11,745.56 10,647.89 4/30/1999 11,200.00 12,200.42 10,681.64 5/31/1999 10,970.00 11,912.32 10,588.04 6/30/1999 11,360.00 12,573.42 10,554.22 7/31/1999 11,160.00 12,180.82 10,509.38 8/31/1999 11,070.00 12,120.59 10,504.05 9/30/1999 11,020.00 11,788.29 10,625.93 10/31/1999 11,450.00 12,534.27 10,665.13 11/30/1999 11,850.00 12,789.08 10,664.07 12/31/1999 12,513.52 13,542.30 10,612.65 1/31/2000 12,252.19 12,861.90 10,577.62 2/29/2000 12,634.13 12,618.42 10,705.61 3/31/2000 13,156.79 13,852.89 10,846.93 4/30/2000 12,784.90 13,436.12 10,815.47 5/31/2000 12,483.37 13,160.44 10,810.06 6/30/2000 12,805.00 13,484.87 11,034.91 7/31/2000 12,704.49 13,274.04 11,135.33 8/31/2000 13,297.50 14,098.54 11,296.79 9/30/2000 12,885.41 13,354.21 11,367.96 10/31/2000 12,714.54 13,297.76 11,442.99 11/30/2000 12,081.33 12,249.38 11,630.66 12/31/2000 12,319.88 12,309.31 11,846.99 1/31/2001 12,590.65 12,746.04 11,846.99 2/28/2001 11,976.22 11,583.81 11,846.99 3/31/2001 11,507.58 10,849.97 12,205.95 4/30/2001 12,049.11 11,693.12 12,205.95 5/31/2001 12,122.01 11,771.47 12,205.95 6/30/2001 11,924.14 11,484.97 12,274.30 7/31/2001 11,882.49 11,371.89 12,274.30 8/31/2001 11,559.65 10,660.01 12,274.30 9/30/2001 10,966.05 9,799.19 12,840.15 10/31/2001 11,215.99 9,986.04 12,840.15 11/30/2001 11,642.96 10,752.05 12,840.15 12/31/2001 11730.39 10,846.41 12,846.57 1/31/2002 11630.22 10694.56 12949.34 2/28/2002 11596.83 10488.33 13074.95 3/31/2002 11830.55 10882.78 12857.91 4/30/2002 11585.71 10222.98 13107.35 5/31/2002 11574.58 10147.67 13218.76 6/30/2002 11084.88 9424.87 13333.76 7/31/2002 10584.06 8690.12 13495.1 8/31/2002 10739.87 8747.13 13723.17 9/30/2002 10216.79 7796.49 13945.49 10/31/2002 10584.06 8482.72 13881.34 11/30/2002 10995.85 8982 13877.17 12/31/2002 10735.95 8449.52 14164.43 1/31/2003 10611.38 8,228.17 14,177.18 2/28/2003 10543.43 8,104.71 14,372.82 3/31/2003 10577.4 8,183.41 14,361.32 4/30/2003 11109.67 8,857.51 14,480.52 5/31/2003 11517.36 9,324.19 14,749.86 6/30/2003 11607.96 9,443.09 14,720.36 7/31/2003 11562.66 9,609.61 14,225.76 8/31/2003 11743.86 9,796.98 14,319.65 9/30/2003 11766.51 9,693.01 14,699.12 10/31/2003 12106.25 10,241.26 14,562.42 11/30/2003 12208.18 10,331.36 14,597.37 12/31/2003 12641.23 10,873.27 14,746.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 17.75% 5 Year -3.84% Since inception 4.17% (Inception date April 9, 1998) JNL/S&P CONSERVATIVE GROWTH FUND II [GRAPH OMITTED] Date JNL/S&P Conservative Growth Fund II S&P 500 Index Lehman Brothers Aggregate Bond Index 4/13/1998 10,000.00 10,000.00 10,000.00 4/30/1998 9,970.00 10,023.08 10,050.99 5/31/1998 9,890.00 9,850.79 10,147.49 6/30/1998 9,900.00 10,250.90 10,231.80 7/31/1998 9,720.00 10,141.75 10,253.34 8/31/1998 8,720.00 8,675.47 10,415.06 9/30/1998 8,990.00 9,231.25 10,664.62 10/31/1998 9,060.00 9,982.14 10,665.13 11/30/1998 9,300.00 10,587.14 10,668.77 12/31/1998 9,540.00 11,197.23 10,700.87 1/31/1999 9,780.00 11,665.47 10,777.31 2/28/1999 9,530.00 11,303.04 10,589.14 3/31/1999 9,800.00 11,755.27 10,647.89 4/30/1999 10,030.00 12,210.50 10,681.64 5/31/1999 9,850.00 11,922.16 10,588.04 6/30/1999 10,200.00 12,583.82 10,554.22 7/31/1999 9,990.00 12,190.89 10,509.38 8/31/1999 9,880.00 12,130.61 10,504.05 9/30/1999 9,830.00 11,798.03 10,625.93 10/31/1999 10,220.00 12,544.64 10,665.13 11/30/1999 10,530.00 12,799.66 10,664.07 12/31/1999 11,079.42 13,553.49 10,612.65 1/31/2000 10,817.78 12,872.54 10,577.62 2/29/2000 11,059.29 12,628.85 10,705.61 3/31/2000 11,522.19 13,864.34 10,846.93 4/30/2000 11,119.67 13,447.23 10,815.47 5/31/2000 10,868.09 13,171.32 10,810.06 6/30/2000 11,119.67 13,496.02 11,034.91 7/31/2000 11,049.23 13,285.01 11,135.33 8/31/2000 11,522.19 14,110.20 11,296.79 9/30/2000 11,089.48 13,365.25 11,367.96 10/31/2000 10,948.60 13,308.75 11,442.99 11/30/2000 10,399.17 12,259.50 11,630.66 12/31/2000 10,440.65 12,319.49 11,846.99 1/31/2001 10,762.06 12,756.57 11,846.99 2/28/2001 10,036.29 11,593.39 11,846.99 3/31/2001 9,611.20 10,858.94 12,205.95 4/30/2001 10,139.97 11,702.79 12,205.95 5/31/2001 10,171.08 11,781.21 12,205.95 6/30/2001 9,942.98 11,494.46 12,274.30 7/31/2001 9,880.77 11,381.29 12,274.30 8/31/2001 9,538.62 10,668.82 12,274.30 9/30/2001 9,009.85 9,807.29 12,840.15 10/31/2001 9,227.58 9,994.30 12,840.15 11/30/2001 9,642.31 10,760.94 12,840.15 12/31/2001 9709.51 10,855.38 12,846.57 1/31/2002 9551.38 10703.4 12949.34 2/28/2002 9403.79 10497 13074.95 3/31/2002 9635.72 10891.78 12857.91 4/30/2002 9361.62 10231.43 13107.35 5/31/2002 9319.45 10156.06 13218.76 6/30/2002 8834.5 9432.66 13333.76 7/31/2002 8391.72 8697.3 13495.1 8/31/2002 8549.85 8754.36 13723.17 9/30/2002 8107.07 7802.93 13945.49 10/31/2002 8444.43 8489.74 13881.34 11/30/2002 8739.62 8989.43 13877.17 12/31/2002 8472.44 8456.51 14164.43 1/31/2003 8364.65 8,234.97 14,177.18 2/28/2003 8321.53 8,111.41 14,372.82 3/31/2003 8429.33 8,190.18 14,361.32 4/30/2003 8914.39 8,864.83 14,480.52 5/31/2003 9259.32 9,331.89 14,749.86 6/30/2003 9345.56 9,450.89 14,720.36 7/31/2003 9377.9 9,617.55 14,225.76 8/31/2003 9507.25 9,805.08 14,319.65 9/30/2003 9507.25 9,701.02 14,699.12 10/31/2003 9841.4 10,249.72 14,562.42 11/30/2003 9895.3 10,339.90 14,597.37 12/31/2003 10227.62 10,882.26 14,746.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 20.72% 5 Year 1.40% Since inception 0.39% (Inception date April 13, 1998) JNL/S&P CORE INDEX 100 FUND [GRAPH OMITTED] Date JNL/S&P Core Index 100 Fund S&P 500 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 9,920.00 9,865.00 2/28/2002 9,800.00 9,674.76 3/31/2002 10,070.00 10,038.62 4/30/2002 9760 9430 5/31/2002 9700 9360.53 6/30/2002 9250 8693.8 7/31/2002 8740 8016.04 8/31/2002 8790 8068.63 9/30/2002 8200 7191.72 10/31/2002 8620 7824.73 11/30/2002 8990 8285.28 12/31/2002 8660 7794.1 1/31/2003 8480 7,589.92 2/28/2003 8400 7,476.04 3/31/2003 8,440.00 7,548.64 4/30/2003 8,940.00 8,170.45 5/31/2003 9,360.00 8,600.92 6/30/2003 9,440.00 8,710.60 7/31/2003 9,510.00 8,864.20 8/31/2003 9,680.00 9,037.05 9/30/2003 9,660.00 8,941.14 10/31/2003 10,070.00 9,446.86 11/30/2003 10,190.00 9,529.97 12/31/2003 10,571.74 10,029.85 AVERAGE ANNUAL TOTAL RETURN 1 Year 22.08% Since inception 2.87% (Inception date January 15, 2002) JNL/S&P CORE INDEX 50 FUND [GRAPH OMITTED] Date JNL/S&P Core Index 50 Fund S&P 500 Index Lehman Brothers Aggregate Bond Index 1/15/2002 10,000.00 10,000.00 10000 1/31/2002 9,900.00 9,865.00 10080 2/28/2002 9,710.00 9,674.76 10177.78 3/31/2002 10,180.00 10,038.62 10008.82 4/30/2002 9730 9430 10203 5/31/2002 9600 9360.53 10289.72 6/30/2002 8930 8693.8 10379.24 7/31/2002 8100 8016.04 10504.83 8/31/2002 8160 8068.63 10682.36 9/30/2002 7360 7191.72 10855.42 10/31/2002 7870 7824.73 10805.48 11/30/2002 8310 8285.28 10802.24 12/31/2002 7840 7794.1 11025.85 1/31/2003 7630 7,589.92 11035.77 2/28/2003 7480 7,476.04 11188.06 3/31/2003 7,550.00 7,548.64 11179.11 4/30/2003 8,160.00 8,170.45 11271.9 5/31/2003 8,660.00 8,600.92 11481.56 6/30/2003 8,780.00 8,710.60 11458.59 7/31/2003 9,020.00 8,864.20 11073.59 8/31/2003 9,250.00 9,037.05 11146.67 9/30/2003 9,140.00 8,941.14 11442.06 10/31/2003 9,690.00 9,446.86 11335.65 11/30/2003 9,830.00 9,529.97 11362.85 12/31/2003 10,264.84 10,029.85 11478.75 AVERAGE ANNUAL TOTAL RETURN 1 Year 30.93% Since inception 1.34% (Inception date January 15, 2002) JNL/S&P CORE INDEX 75 FUND [GRAPH OMITTED] Date JNL/S&P Core Index 75 Fund S&P 500 Index Lehman Brothers Aggregate Bond Index 1/15/2002 10,000.00 10,000.00 10000 1/31/2002 9,900.00 9,865.00 10080 2/28/2002 9,750.00 9,674.76 10177.78 3/31/2002 10,110.00 10,038.62 10008.82 4/30/2002 9720 9430 10203 5/31/2002 9630 9360.53 10289.72 6/30/2002 9070 8693.8 10379.24 7/31/2002 8400 8016.04 10504.83 8/31/2002 8460 8068.63 10682.36 9/30/2002 7770 7191.72 10855.42 10/31/2002 8240 7824.73 10805.48 11/30/2002 8650 8285.28 10802.24 12/31/2002 8250 7794.1 11025.85 1/31/2003 8050 7,589.92 11035.77 2/28/2003 7940 7,476.04 11188.06 3/31/2003 8,000.00 7,548.64 11179.11 4/30/2003 8,560.00 8,170.45 11271.9 5/31/2003 9,030.00 8,600.92 11481.56 6/30/2003 9,130.00 8,710.60 11458.59 7/31/2003 9,280.00 8,864.20 11073.59 8/31/2003 9,480.00 9,037.05 11146.67 9/30/2003 9,420.00 8,941.14 11442.06 10/31/2003 9,890.00 9,446.86 11335.65 11/30/2003 10,020.00 9,529.97 11362.85 12/31/2003 10,434.96 10,029.85 11478.75 AVERAGE ANNUAL TOTAL RETURN 1 Year 26.48% Since inception 2.19% (Inception date January 15, 2002) JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I [GRAPH OMITTED] Date JNL/S&P Equity Aggressive Growth Fund I S&P 500 Index 4/15/1998 10,000.00 10,000.00 4/30/1998 9,900.00 9,936.77 5/31/1998 9,650.00 9,765.97 6/30/1998 10,070.00 10,162.63 7/31/1998 9,850.00 10,054.42 8/31/1998 8,230.00 8,600.76 9/30/1998 8,700.00 9,151.76 10/31/1998 9,170.00 9,896.18 11/30/1998 9,780.00 10,495.97 12/31/1998 10,750.00 11,100.81 1/31/1999 11,460.00 11,565.01 2/28/1999 10,970.00 11,205.71 3/31/1999 11,580.00 11,654.04 4/30/1999 11,930.00 12,105.36 5/31/1999 11,640.00 11,819.50 6/30/1999 12,500.00 12,475.46 7/31/1999 12,170.00 12,085.91 8/31/1999 12,070.00 12,026.15 9/30/1999 12,140.00 11,696.44 10/31/1999 12,880.00 12,436.61 11/30/1999 13,850.00 12,689.44 12/31/1999 15,614.85 13,436.78 1/31/2000 15,203.40 12,761.69 2/29/2000 16,487.92 12,520.10 3/31/2000 17,100.07 13,744.95 4/30/2000 15,925.94 13,331.44 5/31/2000 15,002.70 13,057.90 6/30/2000 15,805.52 13,379.81 7/31/2000 15,464.32 13,170.61 8/31/2000 16,698.66 13,988.69 9/30/2000 15,614.85 13,250.16 10/31/2000 14,922.42 13,194.15 11/30/2000 13,188.15 12,153.94 12/31/2000 13,230.19 12,213.41 1/31/2001 13,776.63 12,646.73 2/28/2001 12,326.46 11,493.56 3/31/2001 11,265.10 10,765.43 4/30/2001 12,463.07 11,602.01 5/31/2001 12,526.12 11,679.76 6/30/2001 12,168.83 11,395.48 7/31/2001 11,832.56 11,283.28 8/31/2001 11,044.42 10,576.95 9/30/2001 9,951.54 9,722.84 10/31/2001 10,319.34 9,908.24 11/30/2001 11,149.51 10,668.28 12/31/2001 11418.63 10,761.90 1/31/2002 11144.49 10611.23 2/28/2002 10918.02 10406.61 3/31/2002 11454.39 10797.99 4/30/2002 10906.1 10143.33 5/31/2002 10739.24 10068.6 6/30/2002 9952.57 9351.44 7/31/2002 8999.03 8622.41 8/31/2002 9094.38 8678.98 9/30/2002 8236.19 7735.74 10/31/2002 8772.56 8416.63 11/30/2002 9273.17 8912.02 12/31/2002 8767.84 8383.69 1/31/2003 8529.26 8,164.06 2/28/2003 8338.4 8,041.57 3/31/2003 8409.97 8,119.65 4/30/2003 9089.93 8,788.50 5/31/2003 9650.59 9,251.54 6/30/2003 9781.81 9,369.51 7/31/2003 10080.04 9,534.73 8/31/2003 10330.55 9,720.65 9/30/2003 10151.61 9,617.49 10/31/2003 10748.07 10,161.46 11/30/2003 10903.14 10,250.86 12/31/2003 11392.62 10,788.55 AVERAGE ANNUAL TOTAL RETURN 1 Year 29.94% 5 Year 1.17% Since inception 2.31% (Inception date April 15, 1998) JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II [GRAPH OMITTED] Date JNL/S&P Equity Aggressive Growth Fund II S&P 500 Index 4/13/1998 10,000.00 10,000.00 4/30/1998 10,010.00 10,023.08 5/31/1998 9,750.00 9,850.79 6/30/1998 9,920.00 10,250.90 7/31/1998 9,690.00 10,141.75 8/31/1998 8,070.00 8,675.47 9/30/1998 8,470.00 9,231.25 10/31/1998 8,990.00 9,982.14 11/30/1998 9,520.00 10,587.14 12/31/1998 10,360.00 11,197.23 1/31/1999 10,990.00 11,665.47 2/28/1999 10,540.00 11,303.04 3/31/1999 11,060.00 11,755.27 4/30/1999 11,510.00 12,210.50 5/31/1999 11,220.00 11,922.16 6/30/1999 11,970.00 12,583.82 7/31/1999 11,640.00 12,190.89 8/31/1999 11,520.00 12,130.61 9/30/1999 11,540.00 11,798.03 10/31/1999 12,280.00 12,544.64 11/30/1999 12,980.00 12,799.66 12/31/1999 14,463.72 13,553.49 1/31/2000 14,002.97 12,872.54 2/29/2000 14,784.25 12,628.85 3/31/2000 15,635.65 13,864.34 4/30/2000 14,764.22 13,447.23 5/31/2000 14,153.22 13,171.32 6/30/2000 14,583.92 13,496.02 7/31/2000 14,393.61 13,285.01 8/31/2000 15,375.22 14,110.20 9/30/2000 14,503.79 13,365.25 10/31/2000 14,153.22 13,308.75 11/30/2000 12,763.79 12,259.50 12/31/2000 12,846.27 12,319.49 1/31/2001 13,341.15 12,756.57 2/28/2001 11,877.13 11,593.39 3/31/2001 10,980.16 10,858.94 4/30/2001 12,093.64 11,702.79 5/31/2001 12,165.81 11,781.21 6/30/2001 11,835.89 11,494.46 7/31/2001 11,516.28 11,381.29 8/31/2001 10,825.51 10,668.82 9/30/2001 9,815.13 9,807.29 10/31/2001 10,145.05 9,994.30 11/30/2001 10,938.92 10,760.94 12/31/2001 11,194.97 10,855.38 1/31/2002 10854.35 10703.4 2/28/2002 10513.73 10497 3/31/2002 11001.95 10891.78 4/30/2002 10411.54 10231.43 5/31/2002 10263.94 10156.06 6/30/2002 9514.58 9432.66 7/31/2002 8685.75 8697.3 8/31/2002 8776.58 8754.36 9/30/2002 7993.16 7802.93 10/31/2002 8538.15 8489.74 11/30/2002 8912.83 8989.43 12/31/2002 8374.47 8456.51 1/31/2003 8146.84 8,234.97 2/28/2003 7991.09 8,111.41 3/31/2003 8098.92 8,190.18 4/30/2003 8733.89 8,864.83 5/31/2003 9237.08 9,331.89 6/30/2003 9344.91 9,450.89 7/31/2003 9644.42 9,617.55 8/31/2003 9836.11 9,805.08 9/30/2003 9668.38 9,701.02 10/31/2003 10219.49 10,249.72 11/30/2003 10315.34 10,339.90 12/31/2003 10729.1 10,882.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 28.12% 5 Year 0.70% Since inception 1.24% (Inception date April 13, 1998) JNL/S&P EQUITY GROWTH FUND I [GRAPH OMITTED] Date JNL/S&P Equity Growth Fund I S&P 500 Index 4/13/1998 10,000.00 10,000.00 4/30/1998 9,990.00 10,023.08 5/31/1998 9,770.00 9,850.79 6/30/1998 9,970.00 10,250.90 7/31/1998 9,780.00 10,141.75 8/31/1998 8,170.00 8,675.47 9/30/1998 8,630.00 9,231.25 10/31/1998 9,120.00 9,982.14 11/30/1998 9,700.00 10,587.14 12/31/1998 10,640.00 11,197.23 1/31/1999 11,290.00 11,665.47 2/28/1999 10,780.00 11,303.04 3/31/1999 11,370.00 11,755.27 4/30/1999 11,750.00 12,210.50 5/31/1999 11,520.00 11,922.16 6/30/1999 12,360.00 12,583.82 7/31/1999 12,040.00 12,190.89 8/31/1999 11,920.00 12,130.61 9/30/1999 11,940.00 11,798.03 10/31/1999 12,670.00 12,544.64 11/30/1999 13,570.00 12,799.66 12/31/1999 15,235.04 13,553.49 1/31/2000 14,774.28 12,872.54 2/29/2000 15,906.14 12,628.85 3/31/2000 16,567.22 13,864.34 4/30/2000 15,455.40 13,447.23 5/31/2000 14,674.11 13,171.32 6/30/2000 15,375.27 13,496.02 7/31/2000 15,064.76 13,285.01 8/31/2000 16,246.70 14,110.20 9/30/2000 15,235.04 13,365.25 10/31/2000 14,634.05 13,308.75 11/30/2000 13,020.17 12,259.50 12/31/2000 13,092.97 12,319.49 1/31/2001 13,529.75 12,756.57 2/28/2001 12,073.82 11,593.39 3/31/2001 11,054.67 10,858.94 4/30/2001 12,219.41 11,702.79 5/31/2001 12,271.41 11,781.21 6/30/2001 11,917.83 11,494.46 7/31/2001 11,595.44 11,381.29 8/31/2001 10,836.28 10,668.82 9/30/2001 9,817.13 9,807.29 10/31/2001 10,160.31 9,994.30 11/30/2001 10,971.47 10,760.94 12/31/2001 11219.62 10855.38 1/31/2002 10954.41 10703.4 2/28/2002 10723.79 10497 3/31/2002 11265.75 10891.78 4/30/2002 10723.79 10231.43 5/31/2002 10539.3 10156.06 6/30/2002 9766.72 9432.66 7/31/2002 8821.18 8697.3 8/31/2002 8913.43 8754.36 9/30/2002 8060.14 7802.93 10/31/2002 8602.1 8489.74 11/30/2002 9109.46 8989.43 12/31/2002 8601.2 8456.51 1/31/2003 8381.84 8,234.97 2/28/2003 8174.03 8,111.41 3/31/2003 8243.3 8,190.18 4/30/2003 8924.47 8,864.83 5/31/2003 9467.1 9,331.89 6/30/2003 9594.09 9,450.89 7/31/2003 9859.63 9,617.55 8/31/2003 10102.09 9,805.08 9/30/2003 9928.91 9,701.02 10/31/2003 10506.17 10,249.72 11/30/2003 10644.71 10,339.90 12/31/2003 11142.46 10,882.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 29.55% 5 Year 0.93% Since inception 1.91% (Inception date April 13, 1998) JNL/S&P EQUITY GROWTH FUND II [GRAPH OMITTED] Date JNL/S&P Equity Growth Fund II S&P 500 Index 4/13/1998 10,000.00 10,000.00 4/30/1998 10,000.00 10,023.08 5/31/1998 9,730.00 9,850.79 6/30/1998 9,800.00 10,250.90 7/31/1998 9,460.00 10,141.75 8/31/1998 7,910.00 8,675.47 9/30/1998 8,290.00 9,231.25 10/31/1998 8,780.00 9,982.14 11/30/1998 9,280.00 10,587.14 12/31/1998 10,040.00 11,197.23 1/31/1999 10,600.00 11,665.47 2/28/1999 10,170.00 11,303.04 3/31/1999 10,670.00 11,755.27 4/30/1999 11,140.00 12,210.50 5/31/1999 10,910.00 11,922.16 6/30/1999 11,600.00 12,583.82 7/31/1999 11,280.00 12,190.89 8/31/1999 11,130.00 12,130.61 9/30/1999 11,100.00 11,798.03 10/31/1999 11,790.00 12,544.64 11/30/1999 12,390.00 12,799.66 12/31/1999 13,683.12 13,553.49 1/31/2000 13,212.67 12,872.54 2/29/2000 13,823.26 12,628.85 3/31/2000 14,644.04 13,864.34 4/30/2000 13,873.31 13,447.23 5/31/2000 13,342.80 13,171.32 6/30/2000 13,763.20 13,496.02 7/31/2000 13,573.02 13,285.01 8/31/2000 14,503.91 14,110.20 9/30/2000 13,713.15 13,365.25 10/31/2000 13,412.86 13,308.75 11/30/2000 12,153.84 12,259.50 12/31/2000 12,267.33 12,319.49 1/31/2001 12,669.71 12,756.57 2/28/2001 11,256.23 11,593.39 3/31/2001 10,399.89 10,858.94 4/30/2001 11,462.58 11,702.79 5/31/2001 11,514.16 11,781.21 6/30/2001 11,194.32 11,494.46 7/31/2001 10,884.80 11,381.29 8/31/2001 10,193.54 10,668.82 9/30/2001 9,213.39 9,807.29 10/31/2001 9,522.91 9,994.30 11/30/2001 10,296.72 10,760.94 12/31/2001 10,503.69 10,855.38 1/31/2002 10165.95 10703.4 2/28/2002 9828.21 10497 3/31/2002 10301.04 10891.78 4/30/2002 9704.37 10231.43 5/31/2002 9580.53 10156.06 6/30/2002 8837.51 9432.66 7/31/2002 8071.96 8697.3 8/31/2002 8162.03 8754.36 9/30/2002 7385.23 7802.93 10/31/2002 7903.09 8489.74 11/30/2002 8263.35 8989.43 12/31/2002 7764.08 8456.51 1/31/2003 7553.29 8,234.97 2/28/2003 7401.05 8,111.41 3/31/2003 7494.74 8,190.18 4/30/2003 8080.27 8,864.83 5/31/2003 8548.69 9,331.89 6/30/2003 8642.37 9,450.89 7/31/2003 8900 9,617.55 8/31/2003 9063.95 9,805.08 9/30/2003 8911.71 9,701.02 10/31/2003 9403.56 10,249.72 11/30/2003 9497.24 10,339.90 12/31/2003 9872.41 10,882.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 27.15% 5 Year -0.34% Since inception -0.22% (Inception date April 13, 1998) JNL/S&P MODERATE GROWTH FUND [GRAPH OMITTED] Date JNL/S&P Moderate Growth Fund S&P 500 Index Lehman Brothers Aggregate Bond Index 1/13/2000 10,000.00 10,000 10,000.00 1/31/2000 9,910.00 9,622 9,967.00 2/29/2000 10,240.00 9,439 10,087.60 3/31/2000 10,740.00 10,363 10,220.76 4/30/2000 10,290.00 10,051 10,191.12 5/31/2000 9,940.00 9,845 10,186.02 6/30/2000 10,210.00 10,088 10,397.89 7/31/2000 10,120.00 9,930 10,492.51 8/31/2000 10,620.00 10,547 10,644.65 9/30/2000 10,110.00 9,990 10,711.71 10/31/2000 9,930.00 9,948 10,782.41 11/30/2000 9,120.00 9,163 10,959.24 12/31/2000 9,190.00 9,208 11,163.08 1/31/2001 9,590.00 9,535 11,163.08 2/28/2001 8,720.00 8,665 11,163.08 3/31/2001 8,220.00 8,117 11,501.33 4/30/2001 8,840.00 8,747 11,501.33 5/31/2001 8,850.00 8,806 11,501.33 6/30/2001 8,660.00 8,592 11,565.73 7/31/2001 8,540.00 8,507 11,565.73 8/31/2001 8,160.00 7,974 11,565.73 9/30/2001 7,580.00 7,330 12,098.91 10/31/2001 7,800.00 7,470 12,098.91 11/30/2001 8,250.00 8,043 12,098.91 12/31/2001 8333.23 8,113.85 12,104.96 1/31/2002 8167.19 8000.25 12,201.80 2/28/2002 8001.15 7845.97 12320.16 3/31/2002 8250.21 8141.05 12115.65 4/30/2002 7928.5 7647.48 12350.69 5/31/2002 7855.86 7591.14 12455.67 6/30/2002 7388.87 7050.44 12564.03 7/31/2002 6911.49 6500.79 12716.06 8/31/2002 7004.89 6543.44 12930.96 9/30/2002 6558.66 5832.3 13140.44 10/31/2002 6911.49 6345.65 13080 11/30/2002 7212.45 6719.14 13076.07 12/31/2002 6885.58 6320.81 13346.75 1/31/2003 6769.77 6,155.22 13,358.76 2/28/2003 6706.6 6,062.87 13,543.11 3/31/2003 6790.82 6,121.74 13,532.28 4/30/2003 7243.55 6,626.01 13,644.59 5/31/2003 7590.98 6,975.12 13,898.38 6/30/2003 7664.68 7,064.07 13,870.59 7/31/2003 7769.97 7,188.63 13,404.53 8/31/2003 7917.36 7,328.80 13,493.00 9/30/2003 7864.72 7,251.02 13,850.57 10/31/2003 8243.75 7,661.15 13,721.76 11/30/2003 8338.5 7,728.55 13,754.69 12/31/2003 8638.2 8,133.94 13,894.99 AVERAGE ANNUAL TOTAL RETURN 1 Year 25.45% Since inception -3.62% (Inception date January 13, 2000) JNL/S&P MODERATE GROWTH FUND I [GRAPH OMITTED] Date JNL/S&P Moderate Growth Fund I S&P 500 Index Lehman Brothers Aggregate Bond Index 4/8/1998 10,000.00 10,000.00 10,000.00 4/30/1998 10,010.00 10,096.95 10,050.99 5/31/1998 9,860.00 9,923.39 10,147.49 6/30/1998 10,140.00 10,326.45 10,231.80 7/31/1998 10,000.00 10,216.50 10,253.34 8/31/1998 8,720.00 8,739.41 10,415.06 9/30/1998 9,090.00 9,299.29 10,664.62 10/31/1998 9,480.00 10,055.71 10,665.13 11/30/1998 9,970.00 10,665.17 10,668.77 12/31/1998 10,630.00 11,279.76 10,700.87 1/31/1999 11,050.00 11,751.44 10,777.31 2/28/1999 10,740.00 11,386.35 10,589.14 3/31/1999 11,240.00 11,841.90 10,647.89 4/30/1999 11,590.00 12,300.49 10,681.64 5/31/1999 11,330.00 12,010.03 10,588.04 6/30/1999 11,850.00 12,676.56 10,554.22 7/31/1999 11,610.00 12,280.74 10,509.38 8/31/1999 11,490.00 12,220.01 10,504.05 9/30/1999 11,430.00 11,884.99 10,625.93 10/31/1999 11,980.00 12,637.09 10,665.13 11/30/1999 12,510.00 12,893.99 10,664.07 12/31/1999 13,472.67 13,653.38 10,612.65 1/31/2000 13,141.38 12,967.41 10,577.62 2/29/2000 13,663.42 12,721.92 10,705.61 3/31/2000 14,326.01 13,966.52 10,846.93 4/30/2000 13,783.89 13,546.34 10,815.47 5/31/2000 13,362.24 13,268.39 10,810.06 6/30/2000 13,743.73 13,595.49 11,034.91 7/31/2000 13,593.14 13,382.92 11,135.33 8/31/2000 14,386.25 14,214.19 11,296.79 9/30/2000 13,824.05 13,463.75 11,367.96 10/31/2000 13,573.07 13,406.84 11,442.99 11/30/2000 12,609.30 12,349.86 11,630.66 12/31/2000 12,887.20 12,410.28 11,846.99 1/31/2001 13,210.16 12,850.59 11,846.99 2/28/2001 12,355.88 11,678.83 11,846.99 3/31/2001 11,709.96 10,938.97 12,205.95 4/30/2001 12,460.06 11,789.04 12,205.95 5/31/2001 12,532.99 11,868.03 12,205.95 6/30/2001 12,293.37 11,579.18 12,274.30 7/31/2001 12,168.35 11,465.17 12,274.30 8/31/2001 11,709.96 10,747.45 12,274.30 9/30/2001 10,907.76 9,879.57 12,840.15 10/31/2001 11,199.47 10,067.96 12,840.15 11/30/2001 11,782.88 10,840.25 12,840.15 12/31/2001 11,941.78 10,935.38 12,846.57 1/31/2002 11819.01 10,782 12,949 2/28/2002 11752.05 10,574 13,075 3/31/2002 12120.35 10,972 12,858 4/30/2002 11819.01 10,307 13,107 5/31/2002 11752.05 10,231 13,219 6/30/2002 11149.38 9,502.18 13,333.76 7/31/2002 10435.1 8,761.40 13,495.10 8/31/2002 10569.03 8,818.88 13,723.17 9/30/2002 9910.56 7,860.44 13,945.49 10/31/2002 10334.66 8,552.31 13,881.34 11/30/2002 10803.4 9,055.68 13,877.17 12/31/2002 10461.11 8,518.83 14,164.43 1/31/2003 10302.78 8,295.66 14,177.18 2/28/2003 10178.38 8,171.19 14,372.82 3/31/2003 10223.62 8,250.54 14,361.32 4/30/2003 10823.01 8,930.17 14,480.52 5/31/2003 11309.31 9,400.67 14,749.86 6/30/2003 11422.4 9,520.55 14,720.36 7/31/2003 11490.26 9,688.43 14,225.76 8/31/2003 11716.45 9,877.35 14,319.65 9/30/2003 11693.83 9,772.52 14,699.12 10/31/2003 12134.89 10,325.26 14,562.42 11/30/2003 12270.6 10,416.10 14,597.37 12/31/2003 12734.46 10,962.46 14,746.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 21.73% 5 Year 3.67% Since inception 4.30% (Inception date April 8, 1998) JNL/S&P MODERAGE GROWTH FUND II [GRAPH OMITTED] Date JNL/S&P Moderate Growth Fund II S&P 500 Index Lehman Brothers Aggregate Bond Index 4/13/1998 10,000.00 10,000 10,000.00 4/30/1998 9,990.00 10,023 10,050.99 5/31/1998 9,830.00 9,851 10,147.49 6/30/1998 9,910.00 10,251 10,231.80 7/31/1998 9,710.00 10,142 10,253.34 8/31/1998 8,540.00 8,675 10,415.06 9/30/1998 8,940.00 9,231 10,664.62 10/31/1998 9,330.00 9,982 10,665.13 11/30/1998 9,720.00 10,587 10,668.77 12/31/1998 10,220.00 11,197 10,700.87 1/31/1999 10,650.00 11,665 10,777.31 2/28/1999 10,320.00 11,303 10,589.14 3/31/1999 10,740.00 11,755 10,647.89 4/30/1999 11,070.00 12,211 10,681.64 5/31/1999 10,870.00 11,922 10,588.04 6/30/1999 11,340.00 12,584 10,554.22 7/31/1999 11,070.00 12,191 10,509.38 8/31/1999 10,940.00 12,131 10,504.05 9/30/1999 10,870.00 11,798 10,625.93 10/31/1999 11,380.00 12,545 10,665.13 11/30/1999 11,790.00 12,800 10,664.07 12/31/1999 12,546.88 13,553 10,612.65 1/31/2000 12,215.38 12,873 10,577.62 2/29/2000 12,577.02 12,629 10,705.61 3/31/2000 13,179.75 13,864 10,846.93 4/30/2000 12,677.47 13,447 10,815.47 5/31/2000 12,325.88 13,171 10,810.06 6/30/2000 12,637.29 13,496 11,034.91 7/31/2000 12,516.74 13,285 11,135.33 8/31/2000 13,169.70 14,110 11,296.79 9/30/2000 12,627.24 13,365 11,367.96 10/31/2000 12,466.52 13,309 11,442.99 11/30/2000 11,659.79 12,260 11,630.66 12/31/2000 11,722.48 12,319 11,846.99 1/31/2001 12,088.15 12,757 11,846.99 2/28/2001 11,116.50 11,593 11,846.99 3/31/2001 10,520.97 10,859 12,205.95 4/30/2001 11,241.88 11,703 12,205.95 5/31/2001 11,294.12 11,781 12,205.95 6/30/2001 11,012.02 11,494 12,274.30 7/31/2001 10,876.20 11,381 12,274.30 8/31/2001 10,416.50 10,669 12,274.30 9/30/2001 9,674.70 9,807 12,840.15 10/31/2001 9,956.79 9,994 12,840.15 11/30/2001 10,489.63 10,761 12,840.15 12/31/2001 10611.48 10,855 12,846.57 1/31/2002 10420.38 10703.4 12949.34 2/28/2002 10218.04 10497 13074.95 3/31/2002 10544.03 10891.78 12857.91 4/30/2002 10218.04 10231.43 13107.35 5/31/2002 10139.35 10156.06 13218.76 6/30/2002 9554.82 9432.66 13333.76 7/31/2002 8981.54 8697.3 13495.1 8/31/2002 9116.43 8754.36 13723.17 9/30/2002 8576.86 7802.93 13945.49 10/31/2002 8970.29 8489.74 13881.34 11/30/2002 9318.76 8989.43 13877.17 12/31/2002 8965.19 8456.51 14164.43 1/31/2003 8816.72 8,234.97 14,177.18 2/28/2003 8736.77 8,111.41 14,372.82 3/31/2003 8839.56 8,190.18 14,361.32 4/30/2003 9399.17 8,864.83 14,480.52 5/31/2003 9821.73 9,331.89 14,749.86 6/30/2003 9924.52 9,450.89 14,720.36 7/31/2003 10038.72 9,617.55 14,225.76 8/31/2003 10210.03 9,805.08 14,319.65 9/30/2003 10164.35 9,701.02 14,699.12 10/31/2003 10586.91 10,249.72 14,562.42 11/30/2003 10666.86 10,339.90 14,597.37 12/31/2003 11037.5 10,882.26 14,746.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 23.12% 5 Year 1.55% Since inception 1.74% (Inception date April 13, 1998) JNL/S&P VERY AGGRESSIVE GROWTH FUND I [GRAPH OMITTED] Date JNL/S&P Very Aggressive Growth Fund I S&P 500 Index 4/1/1998 10,000.00 10,000.00 4/30/1998 10,010.00 10,041.60 5/31/1998 9,800.00 9,868.99 6/30/1998 10,340.00 10,269.84 7/31/1998 10,220.00 10,160.49 8/31/1998 8,520.00 8,691.50 9/30/1998 9,000.00 9,248.31 10/31/1998 9,460.00 10,000.59 11/30/1998 10,110.00 10,606.70 12/31/1998 11,190.00 11,217.92 1/31/1999 12,030.00 11,687.02 2/28/1999 11,500.00 11,323.93 3/31/1999 12,200.00 11,776.99 4/30/1999 12,560.00 12,233.06 5/31/1999 12,240.00 11,944.19 6/30/1999 13,170.00 12,607.07 7/31/1999 12,800.00 12,213.42 8/31/1999 12,720.00 12,153.02 9/30/1999 12,850.00 11,819.83 10/31/1999 13,640.00 12,567.82 11/30/1999 14,710.00 12,823.31 12/31/1999 16,657.65 13,578.54 1/31/2000 16,256.51 12,896.32 2/29/2000 17,750.78 12,652.18 3/31/2000 18,232.16 13,889.96 4/30/2000 16,908.37 13,472.08 5/31/2000 15,855.36 13,195.66 6/30/2000 16,808.08 13,520.96 7/31/2000 16,386.88 13,309.56 8/31/2000 17,750.78 14,136.27 9/30/2000 16,537.31 13,389.94 10/31/2000 15,704.93 13,333.34 11/30/2000 13,777.39 12,282.16 12/31/2000 13,798.48 12,342.25 1/31/2001 14,368.15 12,780.14 2/28/2001 12,849.05 11,614.81 3/31/2001 11,794.12 10,879.00 4/30/2001 13,017.84 11,724.41 5/31/2001 13,070.58 11,802.97 6/30/2001 12,669.71 11,515.70 7/31/2001 12,332.13 11,402.32 8/31/2001 11,530.38 10,688.53 9/30/2001 10,369.96 9,825.41 10/31/2001 10,749.74 10,012.76 11/30/2001 11,625.33 10,780.82 12/31/2001 11,904.52 10,875.44 1/31/2002 11616.8 10723.18 2/28/2002 11389.02 10516.39 3/31/2002 11940.49 10911.9 4/30/2002 11377.03 10250.34 5/31/2002 11209.19 10174.82 6/30/2002 10381.99 9450.09 7/31/2002 9374.96 8713.37 8/31/2002 9470.87 8770.54 9/30/2002 8571.73 7817.35 10/31/2002 9135.19 8505.42 11/30/2002 9662.68 9006.04 12/31/2002 9143.2 8472.13 1/31/2003 8891.22 8,250.19 2/28/2003 8687.24 8,126.40 3/31/2003 8771.23 8,205.31 4/30/2003 9479.17 8,881.21 5/31/2003 10079.12 9,349.14 6/30/2003 10223.11 9,468.36 7/31/2003 10547.08 9,635.32 8/31/2003 10811.05 9,823.20 9/30/2003 10631.07 9,718.95 10/31/2003 11267.01 10,268.66 11/30/2003 11435 10,359.01 12/31/2003 11938.96 10,902.37 AVERAGE ANNUAL TOTAL RETURN 1 Year 30.58% 5 Year 1.30% Since inception 3.13% (Inception date April 1, 1998) JNL/S&P VERY AGGRESIVE GROWTH FUND II [GRAPH OMITTED] Date JNL/S&P Very Aggressive Growth Fund II S&P 500 Index 4/13/1998 10,000.00 10,000.00 4/30/1998 10,040.00 10,023.08 5/31/1998 9,810.00 9,850.79 6/30/1998 10,150.00 10,250.90 7/31/1998 10,020.00 10,141.75 8/31/1998 8,320.00 8,675.47 9/30/1998 8,740.00 9,231.25 10/31/1998 9,290.00 9,982.14 11/30/1998 9,860.00 10,587.14 12/31/1998 10,800.00 11,197.23 1/31/1999 11,490.00 11,665.47 2/28/1999 11,010.00 11,303.04 3/31/1999 11,550.00 11,755.27 4/30/1999 11,990.00 12,210.50 5/31/1999 11,690.00 11,922.16 6/30/1999 12,500.00 12,583.82 7/31/1999 12,160.00 12,190.89 8/31/1999 12,070.00 12,130.61 9/30/1999 12,150.00 11,798.03 10/31/1999 12,940.00 12,544.64 11/30/1999 13,730.00 12,799.66 12/31/1999 15,381.48 13,553.49 1/31/2000 14,931.15 12,872.54 2/29/2000 15,911.88 12,628.85 3/31/2000 16,732.49 13,864.34 4/30/2000 15,731.74 13,447.23 5/31/2000 15,011.21 13,171.32 6/30/2000 15,491.56 13,496.02 7/31/2000 15,291.41 13,285.01 8/31/2000 16,312.18 14,110.20 9/30/2000 15,331.44 13,365.25 10/31/2000 14,921.14 13,308.75 11/30/2000 13,370.50 12,259.50 12/31/2000 13,402.80 12,319.49 1/31/2001 13,984.12 12,756.57 2/28/2001 12,476.98 11,593.39 3/31/2001 11,540.40 10,858.94 4/30/2001 12,692.29 11,702.79 5/31/2001 12,746.12 11,781.21 6/30/2001 12,380.10 11,494.46 7/31/2001 12,035.61 11,381.29 8/31/2001 11,346.63 10,668.82 9/30/2001 10,291.63 9,807.29 10/31/2001 10,657.65 9,994.30 11/30/2001 11,486.58 10,760.94 12/31/2001 11798.24 10,855.38 1/31/2002 11450.14 10703.4 2/28/2002 11089.6 10497 3/31/2002 11611.76 10891.78 4/30/2002 10990.14 10231.43 5/31/2002 10816.09 10156.06 6/30/2002 10045.29 9432.66 7/31/2002 9162.6 8697.3 8/31/2002 9249.62 8754.36 9/30/2002 8441.52 7802.93 10/31/2002 9000.98 8489.74 11/30/2002 9373.95 8989.43 12/31/2002 8810.37 8456.51 1/31/2003 8573.93 8,234.97 2/28/2003 8412.16 8,111.41 3/31/2003 8536.6 8,190.18 4/30/2003 9196.13 8,864.83 5/31/2003 9731.22 9,331.89 6/30/2003 9843.22 9,450.89 7/31/2003 10179.21 9,617.55 8/31/2003 10390.76 9,805.08 9/30/2003 10204.1 9,701.02 10/31/2003 10801.41 10,249.72 11/30/2003 10900.96 10,339.90 12/31/2003 11313.64 10,882.26 AVERAGE ANNUAL TOTAL RETURN 1 Year 28.41% 5 Year 0.93% Since inception 2.18% (Inception date April 13, 1998)
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/SALOMON BROTHERS BALANCED FUND SALOMON BROTHERS ASSET MANAGEMENT INC. GEORGE WILLIAMSON OBJECTIVE: seeks to obtain above-average income. As a secondary objective, the Fund seeks to take advantage of opportunities for growth of capital and income. The Fund seeks to achieve its objective primarily through investments in a broad variety of securities, including equity securities, fixed-income securities and short-term obligations. MONEY MANAGER COMMENTARY: 2003 began on a positive note with investors' building optimism about a strengthening economy and continued robust consumer spending. Just a couple of weeks into the year sentiment turned sour with investor focus shifting toward geopolitical concerns mostly centered on Iraq. Very similar to the first Gulf War, once the much anticipated fighting started the market began a steady climb that lasted the rest of the year. The backdrop of this advance included a very stimulative monetary stance by the Federal Reserve, a boost in consumer liquidity with record mortgage refinancings, solid productivity gains and news of corporate finance and governance scandals receding into the past. On the stock side of the portfolio, we saw a return of the run up in lower quality, more speculative names, mostly in the technology area. We attempted to avoid getting caught in a momentum situation as investors payed increasingly less attention to fundamentals and valuations and piled into these stocks in an effort to participate in the continuing price gains. We stuck with our style of holding what we believe are reasonably priced names with good growth prospects. Stocks overall did well mostly due to a healthy economic outlook partly justified by a pickup in manufacturing activity later in the year. On the bond side, during the year we continued to diversify the number of corporate issues and remain favorable on the corporate market despite much higher valuations. We remain focused on selecting securities that offer upside potential with improving credit metrics and seek to increase our overall allocation to the sector. Currently the portfolio duration is slightly short that of the benchmark as a defensive measure against rising interest rates, however, we may tactically move towards a more neutral position should economic growth not meet expectations. In 2004 we expect that changes in interest rates, yield curve shifts, and sector allocation, will be greater determining factors of overall market returns than individual security selection. FUND PERFORMANCE The fund's allocation to the financials sector benefited from low interest rates and improving borrower credit quality, and its exposure to the basic materials sector benefited as commodity prices strengthened. Areas that detracted from performance included the fund's emphasis on consumer staples sector, and limited exposure to the technology sector, particularly the lower-quality more volatile names. In general, we focused on higher quality stocks when more speculative names outperformed. Of the larger holdings, stocks that did well for us relative to the market include JP Morgan Chase, as investors focused on rebounding earnings in their traditional banking and securities business, and Alcoa, as the outlook for the industrial economy improved and demand expectations from China increased. Larger holdings that underperformed the overall market include IBM and Pfizer. However, we believe these names are very much worth holding on to. Names we sold on valuation concerns include Hormel and United Technologies. Names we added to that we view as reasonably valued include Microsoft, American International Group (the largest insurer in the U.S.), and Wal-mart Stores. We will continue to manage the portfolio seeking to generate above average income with capital appreciation by investing in a mix of stocks and bonds. On the stock side we remain committed to investing in large capitalization high quality growth companies selling at reasonable prices. On the bond side we will continue to buy mostly investment grade corporate and government securities. Looking down the road, we remain optimistic about the overall market. We believe this year's upcoming Presidential election and the Federal Reserve's aggressively stimulative monetary stance bodes well for economic growth, corporate profits and stock prices. JNL/SALOMON BROTHERS BALANCED FUND [GRAPH OMITTED]
Date JNL/Salomon Brothers Balanced Fund Lehman Brothers Aggregate Bond Index S&P 500 Index 3/2/1998 10000 10,000.00 10,000.00 3/31/1998 10270 9,917.91 10,550.84 4/30/1998 10270 9,968.48 10,646.86 5/31/1998 10260 10,064.19 10,446.70 6/30/1998 10230 10,147.81 10,858.30 7/31/1998 10130 10,169.17 10,742.97 8/31/1998 9570 10,329.56 9,191.22 9/30/1998 9900 10,577.07 9,780.05 10/31/1998 10220 10,577.58 10,574.83 11/30/1998 10500 10,581.19 11,215.52 12/31/1998 10590.9 10,613.03 11,861.40 1/31/1999 10652.12 10,688.84 12,357.41 2/28/1999 10427.65 10,502.21 11,973.49 3/31/1999 10570.49 10,560.48 12,452.54 4/30/1999 10835.78 10,593.95 12,934.77 5/31/1999 10754.15 10,501.12 12,629.33 6/30/1999 11009.23 10,467.58 13,330.23 7/31/1999 10794.96 10,423.11 12,914.00 8/31/1999 10682.73 10,417.82 12,850.14 9/30/1999 10468.46 10,538.71 12,497.84 10/31/1999 10682.73 10,577.58 13,288.73 11/30/1999 10743.95 10,576.53 13,558.87 12/31/1999 10600.57 10,525.53 14,357.42 1/31/2000 10537.66 10,490.79 13,636.08 2/29/2000 10275.53 10,617.73 13,377.93 3/31/2000 10810.27 10,757.88 14,686.71 4/30/2000 10841.73 10,726.69 14,244.86 5/31/2000 10862.7 10,721.32 13,952.58 6/30/2000 10946.58 10,944.33 14,296.54 7/31/2000 10936.09 11,043.92 14,073.02 8/31/2000 11166.77 11,204.06 14,947.15 9/30/2000 11114.34 11,274.64 14,158.01 10/31/2000 11313.56 11,349.06 14,098.17 11/30/2000 11198.23 11,535.18 12,986.68 12/31/2000 11469.82 11,749.73 13,050.22 1/31/2001 11664.96 11,749.73 13,513.23 2/28/2001 11480.66 11,749.73 12,281.06 3/31/2001 11198.79 12,105.75 11,503.04 4/30/2001 11393.93 12,105.75 12,396.94 5/31/2001 11513.18 12,105.75 12,480.01 6/30/2001 11307.2 12,173.54 12,176.26 7/31/2001 11437.3 12,173.54 12,056.37 8/31/2001 11253 12,173.54 11,301.64 9/30/2001 10906.09 12,734.74 10,389.01 10/31/2001 11,090.38 12,734.74 10,587.11 11/30/2001 11328.89 12,734.74 11,399.23 12/31/2001 11410.46 12,741.11 11499.27 1/31/2002 11355.07 12843.03969 11338.28 2/28/2002 11377.23 12967.61717 11119.63 3/31/2002 11499.09 12752.35473 11537.83 4/30/2002 11399.39 12999.75041 10838.31 5/31/2002 11432.62 13110.24829 10758.47 6/30/2002 10934.1 13224.30745 9992.16 7/31/2002 10612.84 13384.32157 9213.18 8/31/2002 10690.39 13610.5166 9273.63 9/30/2002 10202.95 13831.00697 8265.76 10/31/2002 10568.53 13767.38434 8993.31 11/30/2002 10923.03 13763.25413 9522.64 12/31/2002 10579.6 14048.15349 8958.11 1/31/2003 10457.75 14,060.80 8,723.43 2/28/2003 10335.89 14,254.84 8,592.54 3/31/2003 10346.96 14,243.43 8,675.98 4/30/2003 10889.79 14,361.65 9,390.65 5/31/2003 11388.31 14,628.78 9,885.42 6/30/2003 11465.85 14,599.52 10,011.48 7/31/2003 11377.23 14,108.98 10,188.02 8/31/2003 11465.85 14,202.10 10,386.68 9/30/2003 11499.09 14,578.45 10,276.44 10/31/2003 11853.59 14,442.87 10,857.69 11/30/2003 11920.06 14,477.54 10,953.21 12/31/2003 12383.15 14,625.21 11,527.74
AVERAGE ANNUAL TOTAL RETURN 1 Year 17.05% 5 Year 3.17% Since inception 3.73% (Inception date March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/SALOMON BROTHERS GLOBAL BOND FUND SALOMON BROTHERS ASSET MANAGEMENT INC. PETER J. WILBY, DAVID J. SCOTT, ROGER LAVAN OBJECTIVE: JNL/Salomon Brothers Global Bond Fund seeks as its investment objective a high level of current income. As a secondary objective, the Fund will seek capital appreciation. The Fund seeks to achieve its objectives by investing in a globally diverse portfolio of fixed income investments and by giving the subadviser broad discretion to deploy the Fund's assets among certain segments of the fixed income market that the sub-adviser believes will best contribute to achievement of the Fund's investment objectives. MONEY MANAGER COMMENTARY: When the period began, concerns about a faltering economy and stock market volatility, coupled with expectations that interest rates would drop, triggered investor demand for fixed-income securities. Because bond prices typically move opposite to interest rate movements, many longer-term fixed-income securities appreciated over the first five months of the period. The Fed proceeded to reduce its interest rate targets in June to their lowest levels since the Eisenhower Administration. Shortly after the Fed's rate reduction, signs suggesting that gross domestic product ("GDP") growth was stronger than expected generated concerns that inflation could pick up. This led investors to question whether the Fed's rate-cutting cycle had run its course, which contributed to a decline in prices of bonds. The decline was exacerbated due to selling from investors holding mortgage-backed securities in their portfolios. Prices of Treasuries bounced back to an extent in September, although rate concerns resurfaced after the Commerce Department released preliminary third-quarter data. According to estimates that were revised upward late in the quarter, real GDP increased 8.2% over the third quarter. For the fourth quarter, U.S. Treasury bonds generated slightly negative total returns as concerns about the economy's acceleration over the third quarter caused bond yields to rise and prices to decline, particularly during October. Shorter-term U.S. Treasuries and U.S. agency securities held up better. In contrast, U.S. high-yield and emerging markets bonds rallied. (Their performance has tended to be more highly correlated to the credit strength of bond issuers than interest rate movements.) U.S. high-yield bonds benefited from a favorable reception to corporate earnings results from investors, continued low default rates versus 2002, and strong infusion of cash into the market. As of the end of the period, all the individual markets represented by the J.P. Morgan Emerging Markets Bond Index Plus had generated positive total returns over the 12-month period. The sovereign debt market benefited from strong cash inflows, signs of global economic growth and stable commodity prices, including metals, gold and oil - important drivers of export revenues for many emerging market economies. The portfolio's allocation to higher-yielding bonds has provided it with favorable yields, which, in the managers' view, should continue to benefit the portfolio over the long term if corporate earnings continue to improve and interest rates remain within the same range seen over the fourth quarter. JNL/SALOMON BROTHERS GLOBAL BOND FUND [GRAPH OMITTED] JNL/Salomon Brothers Salomon Smith Barney Broad Date Global Bond Fund Investment-Grade Bond Index 5/15/1995 10,000.00 10,000.00 5/31/1995 9,930.00 10,194.00 6/30/1995 10,040.00 10,265.00 7/31/1995 10,070.00 10,245.00 8/31/1995 10,110.00 10,362.00 9/30/1995 10,240.00 10,459.00 10/31/1995 10,210.00 10,599.00 11/30/1995 10,420.00 10,764.00 12/31/1995 10,714.07 10,913.00 1/31/1996 11,137.56 10,987.00 2/29/1996 11,010.51 10,800.00 3/31/1996 11,074.03 10,722.00 4/30/1996 11,190.49 10,643.00 5/31/1996 11,285.77 10,637.00 6/30/1996 11,370.47 10,774.00 7/31/1996 11,433.99 10,803.00 8/31/1996 11,592.80 10,788.00 9/30/1996 11,910.41 10,976.00 10/31/1996 11,984.52 11,223.00 11/30/1996 12,175.08 11,408.00 12/31/1996 12,256.28 11,307.00 1/31/1997 12,383.11 11,351.10 2/28/1997 12,509.94 11,363.58 3/31/1997 12,325.46 11,248.81 4/30/1997 12,498.41 11,409.67 5/31/1997 12,740.54 11,516.92 6/30/1997 12,925.02 11,653.97 7/31/1997 13,213.27 11,969.79 8/31/1997 13,178.68 11,866.85 9/30/1997 13,432.33 12,041.30 10/31/1997 13,190.21 12,214.69 11/30/1997 13,386.21 12,272.10 12/31/1997 13,562.83 12,397.28 1/31/1998 13,672.60 12,556.62 2/28/1998 13,770.18 12,547.55 3/31/1998 13,867.75 12,597.05 4/30/1998 13,892.14 12,661.93 5/31/1998 13,916.54 12,783.01 6/30/1998 13,904.34 12,888.32 7/31/1998 13,965.32 12,915.54 8/31/1998 13,062.76 13,113.73 9/30/1998 13,526.24 13,422.75 10/31/1998 13,550.63 13,362.02 11/30/1998 13,855.55 13,435.75 12/31/1998 13,896.64 13,477.51 1/31/1999 13883.62 13,577.16 2/28/1999 13766.4 13,339.11 3/31/1999 13974.78 13,415.41 4/30/1999 14157.12 13460.04 5/31/1999 13818.5 13336.87 6/30/1999 13883.62 13290.86 7/31/1999 13857.57 13238.23 8/31/1999 13727.33 13228.56 9/30/1999 13883.62 13386.91 10/31/1999 13974.78 13427.47 11/30/1999 14026.88 13426.62 12/31/1999 14156.56 13365.47 1/31/2000 14032.26 13327.7 2/29/2000 14308.49 13483.24 3/31/2000 14391.35 13658.13 4/30/2000 14267.05 13617.58 5/31/2000 14156.56 13605.56 6/30/2000 14460.41 13889.86 7/31/2000 14598.52 14016.76 8/31/2000 14778.07 14217.03 9/30/2000 14805.69 14313.39 10/31/2000 14722.82 14404.47 11/30/2000 14860.94 14638.01 12/31/2000 15186.77 14914.83 1/31/2001 15465.02 15160.27 2/28/2001 15567.54 15294.78 3/31/2001 15582.18 15374.9 4/30/2001 15538.25 15302.74 5/31/2001 15611.47 15402.96 6/30/2001 15640.76 15453.85 7/31/2001 15875.08 15810.88 8/31/2001 16050.82 15985.47 9/30/2001 15948.31 16182.53 10/31/2001 16299.78 16509.13 11/30/2001 16167.98 16280.84 12/31/2001 16206.43 16185.45 1/31/2002 16362.12 16312.93 2/28/2002 16517.8 16468.9 3/31/2002 16502.23 16196.37 4/30/2002 16782.45 16503.62 5/31/2002 16782.45 16643.88 6/30/2002 16486.66 16766.41 7/31/2002 16268.71 16965.95 8/31/2002 16766.89 17263.09 9/30/2002 16798.02 17537.83 10/31/2002 16860.3 17458.72 11/30/2002 17233.93 17455.89 12/31/2002 17564.25 17818.33 1/31/2003 17729.48 17,831.94 2/28/2003 18059.95 18,085.58 3/31/2003 18258.22 18,068.60 4/30/2003 18853.06 18,228.00 5/31/2003 19299.19 18,564.36 6/30/2003 19332.24 18,531.78 7/31/2003 18753.92 17,904.74 8/31/2003 18968.73 18,027.73 9/30/2003 19464.42 18,500.20 10/31/2003 19497.47 18,329.78 11/30/2003 19613.13 18,383.57 12/31/2003 19941.24 18,567.39 AVERAGE ANNUAL TOTAL RETURN 1 Year 13.53% 5 Year 7.48% Since inception 8.32% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/SALOMON BROTHERS HIGH YIELD BOND FUND SALOMON BROTHERS ASSET MANAGEMENT INC. PETER J. WILBY OBJECTIVE: JNL/Salomon Brothers High Yield Bond Fund seeks to maximize current income. As a secondary objective, the Fund seeks capital appreciation. The Fund seeks to achieve its objectives by investing primarily in a diversified portfolio of high-yield, high-risk fixed-income securities of U.S. issuers rated in medium to lower rating categories. MONEY MANAGER COMMENTARY: Declining default rates, signs of improving corporate earnings, the end of major hostilities in Iraq and relatively favorable yields available through high-yield bonds in the low interest rate environment contributed to the strong demand for high-yield bonds earlier this year. These factors, coupled with expectations that the Fed would likely cut its short-term interest rate targets, all helped buoy high-yield securities through mid-June. In June, the Fed cut its target for the federal funds rate to a four-decade low of 1% to trigger a more accommodative borrowing environment. Treasury bond prices (which move opposite to yields) subsequently fell, particularly during July, amid stronger-than-anticipated economic data. Likewise, the high-yield market lost ground from the end of June into the middle of August as the yield on 10-year U.S. Treasuries soared from the low 3% range in mid-June to almost 4.5% by the middle of August. These rising yields, the subsequent outflows of cash from high-yield bond funds, and the abundant quantity of new issues on the market (which created supply pressures) caused the high-yield market to move lower. However, the market reversed course and rallied through the end of the year, sparking the return of mutual fund inflows, due to stronger-than-expected economic data and earnings that were in line with expectations. Over 2003, airlines, cable, communications towers, energy, technology, telecommunications, and utilities were the top-performing sectors within the high-yield bond universe. Airlines recovered as some companies avoided bankruptcy by renegotiating union contracts and experiencing better-than-expected traffic volumes following the resolution of the major hostilities in Iraq. The cable sector outperformed many others. The communications towers sector benefited from better-than-expected earnings results, asset sales, new financing, and increasing free cash flow. The energy and utilities sectors benefited as companies added additional financing through the use of senior debt and sold assets to reduce total debt. Technology moved higher due to strong earning and improved liquidity. Wireless telecommunications bonds outperformed due to better-than-expected operating results, debt-for-equity swaps, and debt refinancing. Wireline telecommunications benefited as well. The most significant underperforming sectors included healthcare and textiles. Within this environment, the U.S. high-yield debt component of the fund benefited during the year from its overweighting in the cable and communications towers sectors. The fund was adversely affected by its underweighting in the airlines, technology, and utilities sectors, and by its overweighting in the healthcare sector. As of the end of the period, all the individual markets represented by the J.P. Morgan Emerging Markets Bond Index Plus had generated positive total returns over the 12-month period. The sovereign debt market benefited from strong cash inflows, signs of global economic growth and stable commodity prices, including metals, gold and oil - important drivers of export revenues for many emerging market economies. YIELDS REMAINED COMPETITIVE High-yield bonds categorically offer very competitive yields relative to their higher-rated brethren (although they also are subject to additional risks such as the increased risk of default because of the lower credit quality of the issues.) The market responded positively to recent economic data indicating that the U.S. economy has shown signs of improvement, as a stronger corporate earnings environment is favorable for high-yield bond issuers. JNL/SALOMON BROTHERS HIGH YIELD BOND FUND [GRAPH OMITTED] JNL/Salomon Brothers Salomon Smith Barney Date High Yield Bond Fund High Yield Market Index 3/2/1998 10,000.00 10,000.00 3/31/1998 10,050.00 10,107.96 4/30/1998 10,080.00 10,163.00 5/31/1998 10,110.00 10,190.16 6/30/1998 10,140.00 10,212.74 7/31/1998 10,190.00 10,294.59 8/31/1998 9,760.00 9,604.50 9/30/1998 9,830.00 9,723.05 10/31/1998 9,690.00 9,589.33 11/30/1998 10,160.00 10,070.56 12/31/1998 10,132.37 10,063.26 1/31/1999 10,248.59 10,214.00 2/28/1999 10,195.77 10,128.18 3/31/1999 10,290.86 10,213.81 4/30/1999 10,428.21 10,427.72 5/31/1999 10,311.99 10,263.87 6/30/1999 10,164.07 10,240.84 7/31/1999 10,111.24 10,263.07 8/31/1999 9,910.50 10,140.95 9/30/1999 9,942.19 10,064.35 10/31/1999 9,783.71 9,995.66 11/30/1999 9,857.67 10,152.26 12/31/1999 9,953.95 10,237.63 1/31/2000 9,839.67 10,152.97 2/29/2000 9,816.82 10,177.15 3/31/2000 9,633.96 9,970.11 4/30/2000 9,599.68 10,009.71 5/31/2000 9,485.40 9,870.49 6/30/2000 9,611.11 10,092.11 7/31/2000 9,702.53 10,201.71 8/31/2000 9,793.96 10,277.69 9/30/2000 9,736.82 10,167.46 10/31/2000 9,508.25 9,866.47 11/30/2000 9,359.69 9,463.01 12/31/2000 9,489.58 9,656.46 1/31/2001 9,848.38 10,307.02 2/28/2001 9,996.85 10,430.08 3/31/2001 9,972.11 10,240.58 4/30/2001 10,009.22 10,090.06 5/31/2001 10,083.46 10,251.79 6/30/2001 9,972.11 9,969.84 7/31/2001 10,095.83 10,157.72 8/31/2001 10,194.81 10,296.33 9/30/2001 9,613.31 9,554.98 10/31/2001 9,860.75 9,872.45 11/30/2001 10046.34 10,247.74 12/31/2001 9995.81 10,181.90 1/31/2002 10090.11 10225.49 2/28/2002 10036.22 10114.27 3/31/2002 10224.82 10383.5 4/30/2002 10386.48 10553.42 5/31/2002 10346.07 10422.52 6/30/2002 9874.57 9504.59 7/31/2002 9591.67 9074.88 8/31/2002 9914.98 9420.24 9/30/2002 9847.62 9234.97 10/31/2002 9780.27 9203.5 11/30/2002 10399.95 9905.79 12/31/2002 10571.08 10027.6 1/31/2003 10767.97 10,401.01 2/28/2003 10919.42 10,540.50 3/31/2003 11146.59 10,895.10 4/30/2003 11691.8 11,572.19 5/31/2003 11843.25 11,648.98 6/30/2003 12131 12,011.22 7/31/2003 11994.7 11,833.67 8/31/2003 12115.86 11,955.12 9/30/2003 12403.61 12,309.32 10/31/2003 12721.65 12,595.53 11/30/2003 12918.53 12,770.49 12/31/2003 13297.21 13,098.34 AVERAGE ANNUAL TOTAL RETURN 1 Year 25.79% 5 Year 5.58% Since inception 5.00% (Inception date March 2, 1998) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND SALOMON BROTHERS ASSET MANAGEMENT INC. ROGER LAVAN OBJECTIVE: JNL/Salomon Brothers U.S. Government & Quality Bond Fund seeks as its investment objective a high level of current income, by investing primarily in debt obligations and mortgage-backed securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities including collateralized mortgage obligations backed by such securities. The Fund may also invest a portion of its assets in investment-grade bonds. MONEY MANAGER COMMENTARY: When the period began, concerns about a faltering economy and stock market volatility, coupled with expectations that interest rates would drop, triggered investor demand for higher-rated fixed-income securities. Because bond prices typically move opposite to interest rate movements, many longer-term fixed-income securities appreciated over the first five months of the period. The Fed proceeded to reduce its interest rate targets in June to their lowest levels since the Eisenhower Administration. Given the combination of past rate cuts and a significant tax-cut package passed by lawmakers in 2003, it seemed that the U.S. government was going to throw "everything but the kitchen sink" at the economy in an attempt to revive its growth. Shortly after the Fed's rate reduction, signs suggesting that gross domestic product ("GDP") growth was stronger than expected generated concerns that inflation could pick up. This led investors to question whether the Fed's rate-cutting cycle had run its course, which contributed to a decline in prices of bonds. The decline was exacerbated due to selling from investors holding mortgage-backed securities ("MBS") in their portfolios. Many institutional investors who had previously bought U.S. Treasuries when long-term yields were dropping to help hedge their portfolios' exposure to MBS sold Treasuries as long-term rates rose to help lower their portfolios' duration, a common gauge of the price sensitivity of a fixed income asset or portfolio to a change in interest rates, to better preserve their value against a further rise in long-term rates. Prices of Treasuries bounced back to an extent in September. Rate concerns resurfaced after the Commerce Department released preliminary third-quarter data stating that the economy grew at its fastest pace in almost 20 years. According to estimates that were revised higher later in the quarter, real GDP increased 8.2% over the quarter. However, selling in the Treasury markets was more contained than it was in July as some of this growth was attributable to one-time factors, such as the tax cuts and the end of major combat in Iraq, and many analysts and investors felt that the Fed appeared to be in a holding pattern from adjusting its rate targets. PORTFOLIO ALLOCATION APPROACH As of the period's close, we continued to allocate investment capital primarily between mortgage-backed fixed-income securities and U.S. Treasuries through the end of the period, while maintaining the ability to add exposure to other sectors when opportunities arise. Given that certain fixed-income sectors exhibited more volatility than others during periods throughout 2003, our diversified approach to fixed-income investing reduced overall portfolio volatility yet enabled us to capture competitive yields. Although interest rate fluctuations can be unpredictable, as of the end of the year we maintained a relatively defensive posture in terms of the portfolio's exposure to interest rate risk versus prior periods. JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND [GRAPH OMITTED] JNL/Salomon Brothers Salomon Smith Barney Date U.S. Government & Quality Bond Fund Treasury Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,030.00 10,199.00 6/30/1995 10,140.00 10,277.00 7/31/1995 10,060.00 10,242.00 8/31/1995 10,180.00 10,356.00 9/30/1995 10,270.00 10,449.00 10/31/1995 10,410.00 10,612.00 11/30/1995 10,560.00 10,784.00 12/31/1995 10,693.64 10,934.00 1/31/1996 10,766.24 11,005.00 2/29/1996 10,548.43 10,786.00 3/31/1996 10,465.45 10,691.00 4/30/1996 10,423.96 10,608.00 5/31/1996 10,392.84 10,606.00 6/30/1996 10,506.94 10,737.00 7/31/1996 10,527.68 10,761.00 8/31/1996 10,527.68 10,740.00 9/30/1996 10,693.64 10,916.00 10/31/1996 10,901.08 11,161.00 11/30/1996 11,098.15 11,348.00 12/31/1996 10,969.35 11,232.00 1/31/1997 11,001.61 11,248.85 2/28/1997 11,023.12 11,254.47 3/31/1997 10,904.82 11,141.93 4/30/1997 11,044.63 11,295.69 5/31/1997 11,130.66 11,393.96 6/30/1997 11,227.45 11,521.57 7/31/1997 11,560.83 11,852.24 8/31/1997 11,431.78 11,730.16 9/30/1997 11,603.85 11,910.81 10/31/1997 11,797.42 12,118.05 11/30/1997 11,840.44 12,145.93 12/31/1997 11,973.66 12,249.17 1/31/1998 12,152.87 12,437.58 2/28/1998 12,130.47 12,397.93 3/31/1998 12,152.87 12,435.32 4/30/1998 12,208.87 12,490.09 5/31/1998 12,320.88 12,617.81 6/30/1998 12,421.69 12,764.34 7/31/1998 12,444.09 12,784.17 8/31/1998 12,735.31 13,127.89 9/30/1998 13,149.74 13,494.11 10/31/1998 13,037.73 13,447.72 11/30/1998 13,037.73 13,449.29 12/31/1998 13,099.34 13,474.66 1/31/1999 13,169.83 13,557.28 2/28/1999 12,887.87 13,214.42 3/31/1999 12,970.11 13,266.72 4/30/1999 13,005.36 13296.35 5/31/1999 12,840.88 13177.45 6/30/1999 12,758.64 13145.13 7/31/1999 12,711.65 13134.01 8/31/1999 12,711.65 13136.67 9/30/1999 12,864.38 13238.88 10/31/1999 12,887.87 13254.7 11/30/1999 12,852.63 13229.91 12/31/1999 12,771.53 13144.7 1/31/2000 12,685.23 13175.77 2/29/2000 12,870.15 13373.88 3/31/2000 13,055.07 13638.51 4/30/2000 13,018.08 13598.26 5/31/2000 13,005.76 13618.37 6/30/2000 13,239.98 13848.25 7/31/2000 13,338.60 13989.35 8/31/2000 13,535.85 14193.18 9/30/2000 13,609.81 14205.98 10/31/2000 13,720.76 14343.93 11/30/2000 13,967.32 14637.08 12/31/2000 14,240.76 14916.94 1/31/2001 14,409.67 15033.01 2/28/2001 14,526.61 15216.34 3/31/2001 14,591.58 15266.32 4/30/2001 14,435.66 15078.3 5/31/2001 14,474.64 15128.89 6/30/2001 14,526.61 15207.83 7/31/2001 14,903.42 15584.43 8/31/2001 15,072.33 15785.74 9/30/2001 15,436.15 16039.75 10/31/2001 15,851.94 16475.68 11/30/2001 15,423.15 16074.63 12/31/2001 15225.85 15921.05 1/31/2002 15362.16 16025.22 2/28/2002 15525.73 16173.63 3/31/2002 15157.69 15779.71 4/30/2002 15552.99 16166.15 5/31/2002 15648.41 16259.56 6/30/2002 15839.25 16488.81 7/31/2002 16166.39 16876.64 8/31/2002 16493.53 17233.55 9/30/2002 16875.2 17697.61 10/31/2002 16725.26 17496.16 11/30/2002 16575.32 17329.3 12/31/2002 16972.77 17774.18 1/31/2003 16,944.22 17,718.12 2/28/2003 17,229.72 18,024.04 3/31/2003 17,144.07 17,947.47 4/30/2003 17,243.99 18,031.09 5/31/2003 17,700.79 18,555.02 6/30/2003 17,572.32 18,438.21 7/31/2003 16,587.35 17,630.82 8/31/2003 16,744.38 17,734.26 9/30/2003 17,158.35 18,267.34 10/31/2003 16,987.05 17,991.35 11/30/2003 17,044.15 18,017.35 12/31/2003 17,172.69 18,177.11 AVERAGE ANNUAL TOTAL RETURN 1 Year 1.18% 5 Year 5.56% Since inception 6.46% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND T. ROWE PRICE ASSOCIATES, INC. INVESTMENT ADVISORY COMMITTEE OBJECTIVE: JNL/T. Rowe Price Established Growth Fund seeks as its investment objective long-term growth of capital and increasing dividend income through investment primarily in common stocks of well-established growth companies. MONEY MANAGER COMMENTARY: U.S. stocks rose sharply in the 12 months ended December 31, 2003. The S&P 500 Index sprinted more than 12% in the final quarter, boosting full-year results to more than 28%, and marked the first positive year for stocks since 1999. Investors bid up equities - large and small, growth and value, and nearly everything in between - buoyed by favorable economic data, stronger earnings growth, signs of job market stabilization, and rising global demand. In the large-cap universe, value shares edged growth. The market sectors with the strongest gains were information technology, consumer discretionary, and materials. The telecom services and consumer staples sectors posted positive results but lagged other sectors for the year. For the 12-month period, the portfolio posted a strong gain that outperformed the S&P 500 Index, the style-specific Russell 1000 Growth Index, and our Lipper peer group average. Superior stock selection in the telecom services sector produced the strongest contribution to the portfolio's relative results versus the S&P 500. Vodafone and Nextel Communications were top absolute and relative performance contributors. We were significantly overweight in Nextel (up more than 140% for the year) versus the index. Vodafone released positive earnings results and news that diminished the threat of competition from Hutchinson Whampoa. Boosted by strong stock selection, the health care sector also contributed to relative returns despite our overweight position, which limited gains. Strength came mostly from pharmaceuticals and biotechs during the period. Large-cap pharmaceuticals rallied sharply in the fourth quarter as investors sought their perceived safety near year end. Not owning Merck and eliminating Schering-Plough early in the year aided relative performance. After posting strong gains for much of 2003, biotechnology holdings, Gilead Sciences and Genentech struggled as the year progressed, but posted solid 12-month contributions. The information technology sector was the largest drag on relative results due to stock selection in IT services and semiconductors. In general, the stocks that we held generated positive absolute returns, but lagged the technology group. Affiliated Computer Services was the tech sector's largest detractor to relative performance after struggling most of the year with contract disputes. The economic landscape continues to improve, but we believe that there will not be dramatic gains in the U.S. or on a global basis. Demand for technology products should rebound with the economy but not enough to justify the recent tremendous gains in some of these stocks. Business conditions for advertising and media companies, as well as selected financial and retail stocks whose business strategies protect them from rising interest rates, look promising. We think investors will begin to focus on larger growth companies with attractive valuations that can report consistent and sustainable 10% to 13% earnings gains - these are the companies that can flourish in a modestly growing economy. JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND [GRAPH OMITTED] JNL/T.Rowe Price Date Established Growth Fund S&P 500 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,230.00 10,130.00 6/30/1995 10,760.00 10,356.00 7/31/1995 11,210.00 10,694.00 8/31/1995 11,230.00 10,726.00 9/30/1995 11,720.00 11,179.00 10/31/1995 11,570.00 11,139.00 11/30/1995 11,820.00 11,627.00 12/31/1995 12,145.59 11,851.00 1/31/1996 12,766.41 12,254.00 2/29/1996 12,834.14 12,368.00 3/31/1996 12,822.85 12,487.00 4/30/1996 13,116.33 12,671.00 5/31/1996 13,387.24 12,996.00 6/30/1996 13,375.95 13,046.00 7/31/1996 12,879.29 12,469.00 8/31/1996 13,240.50 12,732.00 9/30/1996 14,019.35 13,448.00 10/31/1996 14,166.09 13,819.00 11/30/1996 15,080.39 14,862.00 12/31/1996 14,889.64 14,568.00 1/31/1997 15,589.08 15,477.04 2/28/1997 15,612.78 15,597.76 3/31/1997 14,948.92 14,958.26 4/30/1997 15,636.49 15,849.77 5/31/1997 16,691.57 16,813.43 6/30/1997 17,509.55 17,566.68 7/31/1997 18,706.89 18,963.23 8/31/1997 17,711.09 17,901.29 9/30/1997 18,730.60 18,882.28 10/31/1997 18,185.28 18,251.61 11/30/1997 18,849.15 19,096.66 12/31/1997 19,277.00 19,424.43 1/31/1998 19,597.87 19,639.25 2/28/1998 21,189.89 21,055.75 3/31/1998 22,226.56 22,133.99 4/30/1998 22,399.33 22,417.75 5/31/1998 21,856.32 21,996.30 6/30/1998 22,596.79 22,862.95 7/31/1998 22,374.65 22,620.12 8/31/1998 18,906.76 19,352.80 9/30/1998 19,968.11 20,592.62 10/31/1998 21,621.83 22,266.16 11/30/1998 22,967.03 23,615.11 12/31/1998 24,632.53 24,975.06 1/31/1999 24,955.63 26,019.44 2/28/1999 24,309.44 25,211.07 3/31/1999 25,188.25 26,219.74 4/30/1999 26,041.22 27235.12086 5/31/1999 25,317.49 26591.99072 6/30/1999 26,713.25 28067.79 7/31/1999 25,950.75 27191.38 8/31/1999 25,692.28 27056.91 9/30/1999 25,162.40 26315.12 10/31/1999 26,687.40 27980.4 11/30/1999 27,682.52 28549.21 12/31/1999 29,994.80 30230.62 1/31/2000 28,944.29 28711.77 2/29/2000 30,050.09 28168.23 3/31/2000 32,482.85 30923.95 4/30/2000 31,404.70 29993.6 5/31/2000 30,354.19 29378.2 6/30/2000 32,344.63 30102.43 7/31/2000 31,888.48 29631.78 8/31/2000 34,348.89 31472.32 9/30/2000 32,648.72 29810.74 10/31/2000 32,220.22 29684.73 11/30/2000 29,027.23 27344.42 12/31/2000 29,894.16 27478.21 1/31/2001 30,835.33 28453.11 2/28/2001 27,820.39 25858.67 3/31/2001 25,395.68 24220.5 4/30/2001 28,059.67 26102.68 5/31/2001 28,298.95 26277.59 6/30/2001 27,597.06 25638.02 7/31/2001 27,038.74 25385.59 8/31/2001 25,299.97 23796.45 9/30/2001 23,497.38 21874.84 10/31/2001 24,406.65 22291.95 11/30/2001 26,336.85 24001.92 12/31/2001 26834.73 24212.56 1/31/2002 25891.19 23873.58 2/28/2002 25347.46 23413.21 3/31/2002 26450.92 24293.75 4/30/2002 24931.67 22820.87 5/31/2002 24547.86 22652.75 6/30/2002 22468.89 21039.24 7/31/2002 20805.71 19399.04 8/31/2002 21237.5 19526.32 9/30/2002 19030.59 17404.18 10/31/2002 20821.7 18936.08 11/30/2002 21845.19 20050.62 12/31/2002 20574.57 18861.96 1/31/2003 20206.31 18,367.83 2/28/2003 19918.11 18,092.24 3/31/2003 20206.31 18,267.91 4/30/2003 21887.5 19,772.72 5/31/2003 23104.36 20,814.48 6/30/2003 23472.62 21,079.91 7/31/2003 23920.94 21,451.63 8/31/2003 24321.23 21,869.92 9/30/2003 24049.03 21,637.81 10/31/2003 25217.86 22,861.67 11/30/2003 25538.09 23,062.80 12/31/2003 26857.91 24,272.52 AVERAGE ANNUAL TOTAL RETURN 1 Year 30.54% 5 Year 1.74% Since inception 12.12% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] JNL/T.ROWE PRICE MID-CAP GROWTH FUND T. ROWE PRICE ASSOCIATES, INC. INVESTMENT ADVISORY COMMITTEE OBJECTIVE: JNL/T.Rowe Price Mid-Cap Growth Fund seeks as its investment objective long-term growth of capital by investing primarily in the common stock of companies with medium-sized market capitalizations ("mid-cap") and the potential for above average growth. MONEY MANAGER COMMENTARY: U.S. stocks bounced back from a three-year bear market in 2003, with several major indexes finishing the year at their highest levels in nearly two years. After a dismal first quarter blanketed by concern about a double-dip recession and pending war with Iraq, the market began to climb in late March in the midst of the war. A new round of tax cuts and a late-June reduction in the fed funds target rate encouraged investors that the economy would begin to improve. The rally accelerated as the year progressed, aided by stronger corporate earnings growth, mounting evidence of a self-sustaining economic recovery, and repeated assurances from Federal Reserve officials that short-term interest rates could remain low "for a considerable period" due to low inflation. Rising commodity prices were a boon for energy and various industrial and materials companies. Small- and mid-cap shares outperformed large-caps by a substantial margin for the year, and growth outperformed value for the first time in years, led by technology stocks. JNL/T. Rowe Price Mid-Cap Growth Fund posted a very strong return for the year, outpacing the broad S&P MidCap 400 Index but modestly trailing the aggressive-growth-oriented Russell Midcap Growth Index. Omnicare, the undisputed leader in pharmacy services for long-term care institutions such as nursing homes, rose steadily throughout the year as the company continued to execute well. Omnicare has gained market share and is assimilating recent acquisitions, which should soon begin boosting earnings. Wireless communications service provider Nextel Communications, which continues to show business strength with new subscriber additions and the success of its Nationwide Direct Connect product. Discount consumer electronics leader Best Buy, which bounced back from depressed levels early in the year on the strength of robust demand for the latest products, such as computers and digital cameras. Shares of weight loss services provider Weight Watchers fell due to a lack of near-term visibility for the company's new program innovation in North America and the emerging popularity of low-carbohydrate diets. As the new program gains traction, it is expected to drive growth. Data processor and insurance wholesaler BISYS Group, which delivered a series of earnings disappointments and warnings, causing a serious loss of confidence in management. We eliminated our position. Biotechnology company Vertex Pharmaceuticals, which fell sharply on the news that it had voluntarily halted trials on its promising experimental rheumatoid arthritis treatment. The U.S. economy has made significant progress clearing through the debris left by the collapse of the late 1990s bubble and building a new foundation from which to grow. We expect strong GDP growth in 2004, though at a slower pace than in the last half of 2003. Enormous productivity gains (the third quarter increase was the largest in 20 years), continued low inflation, a rebound in business capital spending, and recent job gains are all favorable for growth and for the financial markets. However, imbalances from the bubble years remain, and new concerns are cropping up: profligate fiscal and monetary policies, a weak U.S. dollar, and the prospect that these factors, along with stronger economic growth, will create upward pressure on interest rates. Overall, prospects for equities in 2004 are favorable. Mid-caps have outperformed large-caps for nearly five years and no longer trade at a substantial valuation discount as in 1999. We believe the current mid-cap outperformance cycle could last three to four more years and drive mid-cap valuations to a significant premium over large-caps. Yet with the dollar slipping on the heels of a strong run for mid-caps in 2003, a pause in the superior performance of mid-caps should not be unexpected. JNL/T. ROWE PRICE MID-CAP GROWTH FUND [GRAPH OMITTED] JNL/T.Rowe Price Date Mid-Cap Growth Fund S&P MidCap 400 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,020.00 10,009.00 6/30/1995 10,740.00 10,417.00 7/31/1995 11,460.00 10,959.00 8/31/1995 11,780.00 11,161.00 9/30/1995 12,230.00 11,432.00 10/31/1995 12,120.00 11,138.00 11/30/1995 12,580.00 11,622.00 12/31/1995 12,921.52 11,593.00 1/31/1996 12,921.52 11,761.00 2/29/1996 13,672.41 12,160.00 3/31/1996 14,006.13 12,306.00 4/30/1996 14,433.72 12,683.00 5/31/1996 14,850.88 12,854.00 6/30/1996 14,496.30 12,661.00 7/31/1996 13,724.55 11,807.00 8/31/1996 14,548.44 12,489.00 9/30/1996 15,236.75 13,034.00 10/31/1996 15,007.32 13,072.00 11/30/1996 15,737.35 13,807.00 12/31/1996 15,954.83 12,823.00 1/31/1997 16,094.13 13,303.86 2/28/1997 15,847.68 13,194.77 3/31/1997 14,904.75 12,632.67 4/30/1997 15,001.18 12,959.86 5/31/1997 16,372.72 14,092.55 6/30/1997 16,929.91 14,488.55 7/31/1997 17,819.26 15,921.47 8/31/1997 17,819.26 15,902.36 9/30/1997 18,901.49 16,816.75 10/31/1997 17,947.84 16,085.22 11/30/1997 18,065.71 16,323.28 12/31/1997 18,860.33 17,994.00 1/31/1998 18,882.04 17,651.52 2/28/1998 20,630.18 19,113.60 3/31/1998 21,900.57 20,011.93 4/30/1998 21,857.13 20,376.61 5/31/1998 20,934.20 19,440.60 6/30/1998 21,998.29 19,545.58 7/31/1998 21,031.93 18,787.52 8/31/1998 16,916.75 15,293.12 9/30/1998 18,035.12 16,720.17 10/31/1998 19,663.82 18,211.69 11/30/1998 20,467.31 19,120.52 12/31/1998 22,913.72 21,428.83 1/31/1999 23261.4 20,592.31 2/28/1999 21769.71 19,514.00 3/31/1999 22745.48 20,059.26 4/30/1999 23553.01 21641.48 5/31/1999 24282.03 21735.31 6/30/1999 25504.55 22899.17 7/31/1999 25583.06 22408.51 8/31/1999 24248.39 21640.24 9/30/1999 23676.38 20972.12 10/31/1999 24573.64 22040.81 11/30/1999 25549.41 23197.56 12/31/1999 28415.01 24576.05 1/31/2000 27204.59 23883.77 2/29/2000 29217.97 25555.51 3/31/2000 31219.36 27694.33 4/30/2000 29697.34 26726.25 5/31/2000 29026.22 26394.71 6/30/2000 29984.97 26782.32 7/31/2000 29529.56 27205.48 8/31/2000 32681.46 30243.02 9/30/2000 31686.75 30035.95 10/31/2000 31423.1 29017.49 11/30/2000 28247.23 26827.13 12/31/2000 30450.59 28879.54 1/31/2001 31657.19 29523.93 2/28/2001 29243.98 27839.03 3/31/2001 26389.64 25769.37 4/30/2001 29905.67 28612.09 5/31/2001 30294.9 29278.43 6/30/2001 30268.95 29160.15 7/31/2001 29905.67 28725.75 8/31/2001 28283.89 27786.19 9/30/2001 24754.89 24329.92 10/31/2001 26259.9 25406.91 11/30/2001 28530.4 27297.36 12/31/2001 29996.49 28705.85 1/31/2002 28971.52 28547.97 2/28/2002 28231.99 28583.02 3/31/2002 30165.15 30626.34 4/30/2002 29334.8 30483.13 5/31/2002 29269.93 29969.03 6/30/2002 26752.92 27775.45 7/31/2002 23794.79 25084.45 8/31/2002 23626.13 25210.95 9/30/2002 21524.3 23179.96 10/31/2002 22990.39 24184.16 11/30/2002 24612.17 25582.97 12/31/2002 23418.54 24544.41 1/31/2003 23029.31 23,827.22 2/28/2003 22601.16 23,259.70 3/31/2003 23081.21 23,455.87 4/30/2003 24845.71 25,158.37 5/31/2003 26986.46 27,243.72 6/30/2003 27687.07 27,590.54 7/31/2003 28776.91 28,570.00 8/31/2003 29814.85 29,865.45 9/30/2003 28867.73 29,408.27 10/31/2003 31112.28 31,632.18 11/30/2003 31799.91 32,734.41 12/31/2003 32457.63 33,286.73 AVERAGE ANNUAL TOTAL RETURN 1 Year 38.60% 5 Year 7.20% Since inception 14.60% (Inception date May 15, 1995) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES. [INSERT LOGO] THE JNL/T.ROWE PRICE VALUE FUND T. ROWE PRICE ASSOCIATES, INC. INVESTMENT ADVISORY COMMITTEE OBJECTIVE: The JNL/T.Rowe Price Value Fund seeks as its investment objective to provide long-term capital appreciation by investing in common stocks believed to be undervalued. Income is a secondary objective. MONEY MANAGER COMMENTARY: U.S. stocks bounced back from a three-year bear market in 2003, with several major indexes finishing the year at their highest levels in nearly two years. After a dismal first quarter blanketed by concern about a double-dip recession and pending war with Iraq, the market began to climb in late March in the midst of the war. A new round of tax cuts and a late-June reduction in the fed funds target rate encouraged investors that the economy would begin to improve. The rally accelerated as the year progressed, aided by stronger corporate earnings growth, mounting evidence of a self-sustaining economic recovery, and repeated assurances from Federal Reserve officials that short-term interest rates could remain low "for a considerable period" due to low inflation. Rising commodity prices were a boon for energy and various industrial and materials companies. Small- and mid-cap shares outperformed large-caps by a substantial margin for the year. Though growth outperformed value substantially among small- and mid-caps, value edged out growth for the year among large-caps. Most S&P 500 sectors rose strongly, led by information technology, consumer discretionary, and materials. Consumer staples, telecommunications services, and health care gained more modestly. The fund posted a strong result for 2003, in line with the Russell 1000 Value Index. Positive stock selection, particularly in financials and information technology, aided results. Overweighting the strong industrials sector and underweighting telecommunications services was also positive. Overweighting pharmaceuticals detracted from results versus the benchmark. Bank stocks were among our top contributors for the year, led by FleetBoston Financial (which agreed to be acquired by BankAmerica at a significant premium), U.S. Bancorp, and Comerica. In the strong industrials sector, results were boosted by gains in Cooper Industries, which posted better-than-expected sales in the final period of the year, and Rockwell Automation and Honeywell International, which were helped by a better outlook for defense spending and improved sentiment toward the aerospace industry. Stock selection in technology was aided by Motorola, which was boosted by the resignation of the founder's grandson as CEO, and Texas Instruments, which nearly doubled for the year on strong results in its semiconductor division. Continued concern about generic competition and limited product pipelines weighed on Merck and Schering-Plough, which detracted from results. We believe these pharmaceutical leaders have good business models and attractive valuations relative to the market, as well as strong and safe dividend yields. The positive impact of overweighting consumer discretionary was partially offset by negative stock selection. Eastman Kodak, despite a strong fourth quarter, was a detractor for the year, as was Sony, which posted disappointing earnings. Insurer UnumProvident was a notable detractor for the year after a first quarter setback. However, company performance and the share price recovered somewhat during the year, ending down just 8%. Last year was a recovery year for the stock market, characterized by significant expansion of price/earnings multiples. We believe that some stocks have gotten ahead of themselves, and anticipate that some will pull back in 2004 as they play "catch up" with their valuations. We are rotating into more defensive names, increasing exposure to steady growth multinationals as well as to health care and energy stocks. However, the portfolio retains a significant amount of economic sensitivity. We are optimistic for 2004, but we do not expect the magnitude of positive returns that we saw in 2003 JNL/T. ROWE PRICE VALUE FUND [GRAPH OMITTED] Date JNL/T.Rowe Price Value Fund Russell 1000 Value Index 5/1/2000 10,000.00 10,000 5/31/2000 10,160.00 9,975 6/30/2000 9,650.00 9,492 7/31/2000 9,740.00 9,606 8/31/2000 10,370.00 10,119 9/30/2000 10,210.00 10,197 10/31/2000 10,780.00 10,436 11/30/2000 10,600.00 10,028 12/31/2000 11,253.68 10,517 1/31/2001 11,799.19 10,542 2/28/2001 11,526.44 10,228 3/31/2001 11,102.15 9,857 4/30/2001 11,718.38 10,327 5/31/2001 12,031.54 10,537 6/30/2001 11,738.58 10,292 7/31/2001 11,698.17 10,257 8/31/2001 11,374.91 9,823 9/30/2001 10,192.97 9,120 10/31/2001 10,243.48 9,028 11/30/2001 11,112.26 9,532 12/31/2001 11340.93 9,740 1/31/2002 11289.89 9,649 2/28/2002 11371.56 9,644 3/31/2002 11902.36 10,089 4/30/2002 11453.22 9,729 5/31/2002 11555.3 9,758 6/30/2002 10595.76 9,183 7/31/2002 9462.69 8,314 8/31/2002 9605.6 8,354 9/30/2002 8595.02 7,412 10/31/2002 9074.79 7,942 11/30/2002 9942.46 8,419 12/31/2002 9431.59 8,036 1/31/2003 9,145.16 7,826.97 2/28/2003 8,756.44 7,597.78 3/31/2003 8,746.21 7,595.84 4/30/2003 9,533.88 8,247.79 5/31/2003 10,178.34 8,757.47 6/30/2003 10,311.33 8,852.50 7/31/2003 10,526.15 8,963.74 8/31/2003 10,894.41 9,082.92 9/30/2003 10,700.05 8,977.85 10/31/2003 11,364.96 9,506.75 11/30/2003 11,487.72 9,613.23 12/31/2003 12,258.49 10,184.27 AVERAGE ANNUAL TOTAL RETURN 1 Year 29.97% Since inception 5.70% (Inception date May 1, 2000) PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE MORE OR LESS THAN THEIR ORIGINAL COST. PERFORMANCE NUMBERS ARE NET OF ALL FUND OPERATING EXPENSES, BUT DO NOT REFLECT THE DEDUCTION OF INSURANCE CHARGES.
JNL/AIM Large Cap Growth Fund Common Stocks - 96.3% SHARES VALUE Aerospace & Defense - 1.1% United Technologies Corp. 4 398 Apparel - 2.3% Coach Inc. (b) 16 589 NIKE Inc. 4 240 829 Banks - 0.2% Popular Inc. 2 85 Biotechnology - 2.0% Genentech Inc. (b) 8 729 Commercial Services - 5.2% Accenture Ltd. (b) 12 326 Apollo Group Inc. (b) 8 510 Cendant Corp. (b) 48 1,060 1,896 Computers - 5.6% Dell Inc. (b) 25 859 EMC Corp. (b) 67 862 Network Appliance Inc. (b) 15 302 2,023 Cosmetics & Personal Care - 1.7% Avon Products Inc. 9 627 Diversified Financial Services - 6.8% American Express Co. 8 395 Ameritrade Holding Corp. (b) 22 310 Capital One Financial Corp. 4 215 Citigroup Inc. 15 733 MBNA Corp. 9 219 SLM Corp. 16 588 2,460 Entertainment - 2.5% International Game Technology 26 924 Healthcare - 14.0% Alcon Inc. 5 285 Boston Scientific Corp. (b) 27 1,000 Guidant Corp. 12 740 St. Jude Medical Inc. (b) 4 258 Stryker Corp. 5 400 UnitedHealth Group Inc. 26 1,485 Zimmer Holdings Inc. (b) 13 936 5,104 Household Products - 1.8% Fortune Brands Inc. 9 643 Internet - 6.1% Amazon.Com Inc. (b) 17 908 Symantec Corp. (b) 11 374 Yahoo! Inc. (b) 21 945 2,227 Machinery - 1.8% Rockwell Automation Inc. 19 662 Manufacturing - 2.2% 3M Co. 7 578 Dover Corp. 6 235 813 Pharmaceuticals - 2.5% Caremark Rx Inc. (b) 13 339 Mylan Laboratories Inc. 15 366 Teva Pharmaceutical Industries Ltd. - ADR 4 221 926 Retail - 9.2% AutoNation Inc. (b) 12 219 Bed Bath & Beyond Inc. (b) 8 355 Dollar General Corp. 14 296 Gap Inc. 27 631 Home Depot Inc. 14 493 Lowe's Cos. Inc. 9 521 Staples Inc. (b) 22 600 Starbucks Corp. (b) 7 235 3,350 Savings & Loans - 3.1% Golden West Financial Corp. 6 579 New York Community Bancorp. Inc. 14 529 1,108 Semiconductors - 7.9% Altera Corp. (b) 12 268 Analog Devices Inc. (b) 7 297 Applied Materials Inc. (b) 17 370 Intel Corp. 54 1,732 QLogic Corp. (b) 4 212 2,879 Software - 11.1% Adobe Systems Inc. 9 369 Electronic Arts Inc. (b) 5 239 IMS Health Inc. 22 539 Microsoft Corp. 46 1,261 Oracle Corp. (b) 18 239 SAP AG - ADR 10 395 Veritas Software Corp. (b) 27 985 4,027 Telecommunications Equipment - 6.4% Cisco Systems Inc. (b) 69 1,667 Corning Inc. (b) 25 264 Juniper Networks Inc. (b) 22 402 2,333 Wireless Telecommunications - 2.8% Nextel Communications Inc. (b) 36 1,019 Total Common Stocks (cost $30,889) 35,062 Short Term Investments - 6.6% Money Market Funds - 6.6% Dreyfus Cash Management Plus, 0.898% (a) 1,797 1,797 Dreyfus Government Cash Management, 0.893% (a) 611 611 Total Short Term Investments (cost $2,408) 2,408 Total Investments - 102.9% (cost $33,297) 37,470 Other Assets and Liabilities, Net - (2.9%) -1,049 Total Net Assets - 100% 36,421 JNL/AIM Premier Equity II Fund Common Stocks - 96.1% Advertising - 1.6% Omnicom Group Inc. 4 376 Aerospace & Defense - 1.4% Lockheed Martin Corp. 4 181 United Technologies Corp. 2 142 323 Airlines - 0.5% Ryanair Holdings Plc - ADR (b) 2 122 Apparel - 1.3% Coach Inc. (b) 9 321 Banks - 4.9% Bank of America Corp. 6 483 Bank of New York Co. Inc. 9 295 US Bancorp. 4 104 Wells Fargo & Co. 5 277 1,159 Beverages - 3.1% Anheuser-Busch Cos. Inc. 4 216 Coca-Cola Co. 6 289 PepsiCo Inc. 5 224 729 Biotechnology - 1.5% Amgen Inc. (b) 6 352 Building Materials - 0.5% American Standard Cos. Inc. (b) 1 126 Chemicals - 0.9% Dow Chemical Co. 2 87 E.I. du Pont de Nemours & Co. 3 133 220 Commercial Services - 3.4% Accenture Ltd. (b) 9 234 Cendant Corp. (b) 10 214 Paychex Inc. 4 156 Robert Half International Inc. (b) 9 203 807 Computers - 4.9% Affiliated Computer Services Inc. - Class A (b) 3 174 Dell Inc. (b) 13 441 Diebold Inc. 3 162 International Business Machines Corp. 4 389 1,166 Cosmetics & Personal Care - 2.5% Colgate-Palmolive Co. 3 125 Procter & Gamble Co. 5 469 594 Distribution & Wholesale - 1.4% CDW Corp. 6 329 Diversified Financial Services - 11.9% American Express Co. 4 198 Citigroup Inc. 16 772 Fannie Mae 7 525 Freddie Mac 2 117 Goldman Sachs Group Inc. 4 365 Merrill Lynch & Co. Inc. 6 369 Morgan Stanley 7 382 SLM Corp. 3 94 2,822 Electronics - 1.3% Agilent Technologies Inc. (b) 7 193 Fisher Scientific International (b) 3 120 313 Engineering & Construction - 1.4% Jacobs Engineering Group Inc. (b) 7 331 Environmental Control - 1.0% Waste Management Inc. 8 228 Healthcare - 2.8% Anthem Inc. (b) 4 315 Guidant Corp. 2 108 HCA Inc. 3 142 St. Jude Medical Inc. (b) 2 110 675 Household Products - 0.8% Clorox Co. 4 180 Insurance - 4.4% AMBAC Financial Group Inc. 2 146 American International Group Inc. 8 530 Chubb Corp. 2 143 Willis Group Holdings Ltd. 7 235 1,054 Lodging - 0.5% Starwood Hotels & Resorts Worldwide Inc. 3 108 Manufacturing - 8.0% Danaher Corp. 5 459 Dover Corp. 2 72 General Electric Co. 27 824 Ingersoll-Rand Co. - Class A 2 129 SPX Corp. (b) 2 94 Tyco International Ltd. 12 315 1,893 Media - 4.5% Clear Channel Communications Inc. 2 108 Comcast Corp. - Special Class A (b) 13 404 COX Communications Inc. (b) 3 114 Univision Communications Inc. (b) 5 194 Viacom Inc. - Class B 5 240 1,060 Mining - 0.4% Alcoa Inc. 2 84 Oil & Gas Producers - 4.1% BP Plc - ADR 5 257 ConocoPhillips 3 177 Exxon Mobil Corp. 12 492 GlobalSantaFe Corp. 2 50 976 Oil & Gas Services - 1.0% BJ Services Co. (b) 2 68 Halliburton Co. 4 112 Schlumberger Ltd. 1 60 240 Packaging & Containers - 1.5% Pactiv Corp. (b) 15 347 Pharmaceuticals - 5.6% Allergan Inc. 2 169 Eli Lilly & Co. 1 91 Pfizer Inc. 20 717 Teva Pharmaceutical Industries Ltd. - ADR 2 108 Wyeth 6 242 1,327 Retail - 6.9% Advance Auto Parts (b) 3 228 Home Depot Inc. 5 192 McDonald's Corp. 4 107 Staples Inc. (b) 4 120 Target Corp. 4 165 Wal-Mart de Mexico SA de CV - Series C 118 314 Wal-Mart Stores Inc. 5 249 Williams-Sonoma Inc. (b) 4 129 Yum! Brands Inc. (b) 4 144 1,648 Semiconductors - 4.0% Analog Devices Inc. (b) 6 283 Intel Corp. 15 477 Microchip Technology Inc. 6 190 950 Software - 6.6% BEA Systems Inc. (b) 11 134 Computer Associates International Inc. 6 164 Microsoft Corp. 28 782 Oracle Corp. (b) 7 95 SAP AG - ADR 6 237 Veritas Software Corp. (b) 5 167 1,579 Telecommunications Equipment - 1.0% Cisco Systems Inc. (b) 10 248 Textiles - 0.3% Cintas Corp. 1 70 Transportation - 0.4% FedEx Corp. 1 84 Total Common Stocks (cost $20,219) 22,841 Short Term Investments - 5.4% Money Market Funds - 4.8% Dreyfus Cash Management Plus, 0.898% (a) 1,140 1,140 U.S. Treasury Bills - 0.6% U.S. Treasury Bill, 0.885%, 03/18/04 (l) 150 150 Total Short Term Investments (cost $1,290) 1,290 Total Investments - 101.5% (cost $21,509) 24,131 Other Assets and Liabilities, Net - (1.5%) -354 Total Net Assets - 100% 23,777 JNL/AIM Small Cap Growth Fund Common Stocks - 90.4% Advertising - 0.6% Getty Images Inc. (b) 6 286 Aerospace & Defense - 0.5% Engineered Support Systems Inc. 4 238 Airlines - 0.3% Frontier Airlines Inc. (b) 10 140 Apparel - 0.3% Quiksilver Inc. (b) 6 112 Banks - 2.9% East-West Bancorp. Inc. 4 215 Greater Bay Bancorp. 5 130 Investors Financial Services Corp. 3 123 PrivateBancorp Inc. 3 146 Prosperity Bancshares Inc. 6 128 Silicon Valley Bancshares (b) 5 188 Southwest Bancorp. of Texas Inc. 4 159 UCBH Holdings Inc. 5 195 1,284 Biotechnology - 3.4% Affymetrix Inc. (b) 5 130 Charles River Laboratories International Inc. (b) 5 175 Ciphergen Biosystems Inc. (b) 10 117 Digene Corp. (b) 6 233 Genencor International Inc. (b) 7 109 Harvard Bioscience Inc. (b) 14 123 Integra LifeSciences Holdings Corp. (b) 5 146 Invitrogen Corp. (b) 4 252 Martek Biosciences Corp. (b) 4 227 1,512 Building Materials - 0.3% Trex Co. Inc. (b) 4 141 Chemicals - 0.3% Spartech Corp. 5 111 Commercial Services - 7.2% Administaff Inc. (b) 12 200 Advisory Board Co. (b) 5 175 Alliance Data Systems Corp. (b) 5 133 Charles River Associates Inc. (b) 5 154 Corinthian Colleges Inc. (b) 4 200 Corporate Executive Board Co. (b) 6 270 CoStar Group Inc. (b) 7 279 Education Management Corp. (b) 6 189 Euronet Worldwide Inc. (b) 14 248 Forrester Research Inc. (b) 8 134 Icon Plc - ADR (b) 5 227 Iron Mountain Inc. (b) 3 117 Kroll Inc. (b) 5 130 PDI Inc. (b) 6 150 Steiner Leisure Ltd. (b) 6 83 Strayer Education Inc. 2 174 Sylvan Learning Systems Inc. (b) 5 150 Wireless Facilities Inc. (b) 9 134 3,147 Computers - 3.9% Anteon International Corp. (b) 5 187 CACI International Inc. - Class A (b) 4 185 Cognizant Technology Solutions Corp. (b) 5 205 Cray Inc. (b) 9 90 Kronos Inc. (b) 3 109 Lexar Media Inc. (b) 10 176 Magma Design Automation Inc. (b) 6 135 M-Systems Flash Disk Pioneers Ltd. (b) 8 130 Neoware Systems Inc. (b) 6 85 NetScreen Technologies Inc. (b) 6 156 Sandisk Corp. (b) 2 135 Stratasys Inc. (b) 4 120 1,713 Distribution & Wholesale - 1.1% Fastenal Co. 2 110 ScanSource Inc. (b) 4 173 Tech Data Corp. (b) 5 183 466 Diversified Financial Services - 1.7% Affiliated Managers Group Inc. (b) 2 160 Doral Financial Corp. 4 123 eSPEED Inc. (b) 8 176 Jefferies Group Inc. 5 172 Knight Trading Group Inc. (b) 8 116 747 Electrical Components & Equipment - 0.5% Wilson Greatbatch Technologies Inc. (b) 5 216 Electronics - 6.3% Cymer Inc. (b) 5 240 Daktronics Inc. (b) 7 164 FEI Co. (b) 8 182 Fisher Scientific International (b) 3 124 Flir Systems Inc. (b) 6 212 Ii-Vi Inc. (b) 6 150 Imax Corp. (b) 18 142 Keithley Instruments Inc. 8 154 PerkinElmer Inc. 8 142 Photon Dynamics Inc. (b) 7 262 Tektronix Inc. 6 202 Trimble Navigation Ltd. (b) 9 320 TTM Technologies Inc. (b) 11 189 Varian Inc. (b) 7 271 2,754 Entertainment - 1.7% Alliance Gaming Corp. (b) 8 202 Macrovision Corp. (b) 9 199 Penn National Gaming Inc. (b) 6 134 Shuffle Master Inc. (b) 6 197 732 Environmental Control - 1.4% Stericycle Inc. (b) 5 238 Tetra Tech Inc. (b) 9 214 Waste Connections Inc. (b) 5 170 622 Food - 1.6% Performance Food Group Co. (b) 5 188 SunOpta Inc. (b) 12 112 United Natural Foods Inc. (b) 7 262 Whole Foods Market Inc. 2 154 716 Healthcare - 8.6% Advanced Neuromodulation Systems Inc. (b) 4 186 American Medical Systems Holdings Inc. (b) 4 83 Amsurg Corp. (b) 3 129 Bruker BioSciences Corp. (b) 15 68 Closure Medical Corp. (b) 6 187 Covance Inc. (b) 6 169 Cyberonics Inc. (b) 5 166 Cytyc Corp. (b) 13 172 DaVita Inc. (b) 4 144 Diagnostic Products Corp. 3 115 Gen-Probe Inc. (b) 6 219 ICU Medical Inc. (b) 4 120 LifePoint Hospitals Inc. (b) 7 211 Odyssey HealthCare Inc. (b) 7 217 OraSure Technologies Inc. (b) 15 116 Pediatrix Medical Group Inc. (b) 3 138 ResMed Inc. (b) 4 170 Steris Corp. (b) 7 156 Techne Corp. (b) 5 178 Therasense Inc. (b) 10 210 Triad Hospitals Inc. (b) 5 170 VISX Inc. (b) 8 188 Wright Medical Group Inc. (b) 5 137 Zoll Medical Corp. (b) 4 135 3,784 Home Builders - 0.3% Toll Brothers Inc. (b) 3 127 Home Furnishings - 0.3% Tivo Inc. (b) 18 132 Household Products - 0.3% Fossil Inc. (b) 4 122 Insurance - 0.9% HCC Insurance Holdings Inc. 5 162 Navigators Group Inc. (b) 4 123 ProAssurance Corp. (b) 4 122 407 Internet - 4.3% Aquantive Inc. (b) 14 141 Avocent Corp. (b) 6 215 CNET Networks Inc. (b) 14 94 Digital Insight Corp. (b) 6 157 DoubleClick Inc. (b) 13 130 eResearch Technology Inc. (b) 5 135 Internet Security Systems Inc. (b) 9 164 Interwoven Inc. (b) 9 114 Macromedia Inc. (b) 12 205 Netease.com - ADR (b) 2 85 Netegrity Inc. (b) 14 142 Network Associates Inc. (b) 9 136 Websense Inc. (b) 6 175 1,893 Iron & Steel - 0.3% Gibraltar Steel Corp. 5 113 Lodging - 1.1% Kerzner International Ltd. (b) 4 148 Mandalay Resort Group 3 148 Station Casinos Inc. 6 178 474 Machinery - 0.3% AGCO Corp. (b) 7 139 Manufacturing - 0.7% Applied Films Corp. (b) 10 320 Media - 1.6% COX Radio Inc. (b) 5 131 Cumulus Media Inc. - Class A (b) 7 147 Entravision Communications Corp. (b) 13 139 Radio One Inc. (b) 6 115 Radio One Inc. - Class D (b) 9 178 710 Oil & Gas Producers - 3.2% Chesapeake Energy Corp. 11 152 Evergreen Resources Inc. (b) 5 169 Grey Wolf Inc. (b) 30 112 Newfield Exploration Co. (b) 4 169 Patterson-UTI Energy Inc. (b) 5 168 Pride International Inc. (b) 8 157 Quicksilver Resources Inc. (b) 5 149 Spinnaker Exploration Co. (b) 7 216 Ultra Petroleum Corp. (b) 5 113 1,405 Oil & Gas Services - 2.7% CAL Dive International Inc. (b) 11 270 FMC Technologies Inc. (b) 9 200 Key Energy Services Inc. (b) 14 142 National-Oilwell Inc. (b) 8 168 Tetra Technologies Inc. (b) 5 127 Universal Compression Holdings Inc. (b) 6 144 Varco International Inc. (b) 8 155 1,206 Pharmaceuticals - 5.1% aaiPharma Inc. (b) 10 255 Accredo Health Inc. (b) 8 237 American Pharmaceutical Partners Inc. (b) 6 188 Angiotech Pharmaceuticals Inc. (b) 4 179 Cephalon Inc. (b) 2 82 Connetics Corp. (b) 8 136 Medicis Pharmaceutical Corp. - Class A 4 257 NBTY Inc. (b) 7 180 Priority Healthcare Corp. (b) 6 152 Salix Pharmaceuticals Ltd. (b) 5 113 Taro Pharmaceuticals Industries Ltd. (b) 4 252 VCA Antech Inc. (b) 6 192 2,223 Retail - 9.3% 99 Cents Only Stores (b) 6 158 Bebe Stores Inc. (b) 5 122 Bombay Co. Inc. (b) 15 120 Carmax Inc. (b) 6 176 Chico's FAS Inc. (b) 7 259 Claire's Stores Inc. 7 136 Fred's Inc. 7 218 GameStop Corp. (b) 8 126 Hollywood Entertainment Corp. (b) 9 124 HOT Topic Inc. (b) 9 252 Insight Enterprises Inc. (b) 12 216 Jos. A. Banks Clothiers Inc. (b) 4 139 Krispy Kreme Doughnuts Inc. (b) 3 110 MSC Industrial Direct Co. Inc. 8 215 Pacific Sunwear of California (b) 8 165 Panera Bread Co. - Class A (b) 5 190 PF Chang's China Bistro Inc. (b) 5 265 Rare Hospitality International Inc. (b) 9 226 Select Comfort Corp. (b) 7 176 Sonic Corp. (b) 6 182 Tractor Supply Co. (b) 6 249 Urban Outfitters Inc. (b) 8 285 4,109 Semiconductors - 9.2% Actel Corp. (b) 8 183 ASE Test Ltd. (b) 15 225 Asyst Technologies Inc. (b) 11 189 ChipPAC Inc. (b) 28 209 Entegris Inc. (b) 13 163 Exar Corp. (b) 8 138 Integrated Circuit Systems Inc. (b) 8 219 Intersil Corp. 5 118 Micrel Inc. (b) 9 140 Microsemi Corp. (b) 5 125 Mykrolis Corp. (b) 15 248 Nvidia Corp. (b) 6 130 O2Micro International Ltd. (b) 10 222 Omnivision Technologies Inc. (b) 4 193 Pixelworks Inc. (b) 11 124 Power Integrations Inc. (b) 4 130 Semtech Corp. (b) 8 189 Skyworks Solutions Inc. (b) 16 137 Tripath Technology Inc. (b) 20 135 Ultratech Inc. (b) 5 147 Varian Semiconductor Equipment Associates Inc. (b) 6 249 Veeco Instruments Inc. (b) 5 130 Xicor Inc. (b) 15 170 Zoran Corp. (b) 6 108 4,021 Software - 4.4% Activision Inc. (b) 10 184 Autodesk Inc. 6 157 Avid Technology Inc. (b) 3 163 Business Objects SA - ADR (b) 5 159 Cognos Inc. (b) 5 153 Micromuse Inc. (b) 19 133 National Instruments Corp. 5 205 Pinnacle Systems Inc. (b) 14 116 Pixar Inc. (b) 2 152 Red Hat Inc. (b) 21 402 Take-Two Interactive Software Inc. (b) 4 112 1,936 Telecommunications - 0.3% Intrado Inc. (b) 7 147 Telecommunications Equipment - 2.2% Adtran Inc. 3 105 Aeroflex Inc. (b) 15 171 Plantronics Inc. (b) 5 170 Polycom Inc. (b) 6 113 SafeNet Inc. (b) 8 243 UTStarcom Inc. (b) 5 171 973 Toys & Hobbies - 0.7% Leapfrog Enterprises Inc. (b) 4 106 Marvel Enterprises Inc. (b) 7 201 307 Transportation - 0.3% Gulfmark Offshore Inc. (b) 8 111 Wireless Telecommunications - 0.3% REMEC Inc. (b) 14 116 Total Common Stocks (cost $33,077) 39,712 Mutual Funds - 0.3% iShares Nasdaq Biotechnology Index Fund 2 115 Total Mutual Funds (cost $122) 115 Short Term Investments - 10.5% Money Market Funds - 10.0% Dreyfus Cash Management Plus, 0.898% (a) 2,197 2,197 Dreyfus Government Cash Management, 0.893% (a) 2,198 2,198 4,395 Repurchase Agreement - 0.3% Repurchase Agreement with Mellon Trust, 0.40%, (Collateralized by $152 Federal Home Loan Mortgage Corp., 3.50%, due 06/15/23, market value $144) acquired on 12/31/03, due 01/02/04 at $134 134 134 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 0.885%, 03/18/04 (l) 100 100 Total Short Term Investments (cost $4,629) 4,629 Total Investments - 101.2% (cost $37,828) 44,456 Other Assets and Liabilities, Net - (1.2%) -516 Total Net Assets - 100% 43,940 JNL/Alger Growth Fund Common Stocks - 98.2% Banks - 0.8% US Bancorp. 65 1,921 Biotechnology - 5.3% Amgen Inc. (b) 79 4,890 Chiron Corp. (b) 25 1,425 Genentech Inc. (b) 71 6,672 12,987 Computers - 6.1% EMC Corp. (b) 261 3,369 Hewlett-Packard Co. 158 3,634 Seagate Technology (b) 155 2,920 Synopsys Inc. (b) 146 4,932 14,855 Diversified Financial Services - 4.8% Affiliated Managers Group Inc. (b) 22 1,503 American Express Co. 38 1,823 Capital One Financial Corp. 30 1,826 Citigroup Inc. 61 2,952 T. Rowe Price Group Inc. 77 3,670 11,774 Entertainment - 1.2% International Game Technology 85 3,020 Healthcare - 6.2% Boston Scientific Corp. (b) 180 6,620 Medtronic Inc. 78 3,787 UnitedHealth Group Inc. 64 3,744 Varian Medical Systems Inc. (b) 17 1,182 15,333 Insurance - 2.1% American International Group Inc. 79 5,229 Internet - 10.3% Amazon.Com Inc. (b) 120 6,319 eBay Inc. (b) 124 7,990 NetFlix Inc. (b) 63 3,448 Yahoo! Inc. (b) 166 7,519 25,276 Lodging - 1.5% Starwood Hotels & Resorts Worldwide Inc. 100 3,581 Manufacturing - 5.7% General Electric Co. 206 6,369 Tyco International Ltd. 287 7,594 13,963 Media - 4.5% Fox Entertainment Group Inc. (b) 91 2,658 Hughes Electronics Corp. (b) 206 3,415 Walt Disney Co. 124 2,886 XM Satellite Radio Holdings Inc. - Class A (b) 76 1,993 10,952 Oil & Gas Producers - 1.9% Devon Energy Corp. 81 4,628 Oil & Gas Services - 0.9% BJ Services Co. (b) 61 2,199 Pharmaceuticals - 10.3% Abbott Laboratories 25 1,168 Allergan Inc. 32 2,473 Caremark Rx Inc. (b) 128 3,250 GlaxoSmithKline Plc - ADR 103 4,802 Medco Health Solutions Inc. (b) 95 3,215 Novartis AG - ADR 104 4,786 Teva Pharmaceutical Industries Ltd. - ADR 58 3,298 Watson Pharmaceuticals Inc. (b) 48 2,195 25,187 Retail - 7.6% Best Buy Co. Inc. 53 2,790 Gap Inc. 193 4,478 Home Depot Inc. 156 5,522 Target Corp. 117 4,500 TJX Cos. Inc. 65 1,435 18,725 Semiconductors - 12.1% Analog Devices Inc. (b) 127 5,777 Applied Materials Inc. (b) 139 3,109 Intel Corp. 184 5,918 Teradyne Inc. (b) 244 6,202 Texas Instruments Inc. 141 4,134 Xilinx Inc. (b) 114 4,416 29,556 Software - 7.5% Microsoft Corp. 349 9,605 PeopleSoft Inc. (b) 225 5,125 Veritas Software Corp. (b) 96 3,556 18,286 Telecommunications Equipment - 6.2% Cisco Systems Inc. (b) 321 7,790 Corning Inc. (b) 440 4,584 Nokia Oyj - ADR 163 2,763 15,137 Transportation - 1.0% United Parcel Service Inc. 32 2,382 Wireless Telecommunications - 2.2% Nextel Communications Inc. (b) 48 1,344 Vodafone Group Plc - ADR 160 4,006 5,350 Total Common Stocks (cost $201,507) 240,341 Preferred Stocks - 0.3% Media - 0.3% News Corp. Ltd. - ADR 23 698 Total Preferred Stocks (cost $578) 698 Short Term Investments - 1.5% Money Market Funds - 1.5% Dreyfus Cash Management Plus, 0.898% (a) 3,525 3,525 Total Short Term Investments (cost $3,525) 3,525 Total Investments - 100.0% (cost $205,610) 244,564 Other Assets and Liabilities, Net - 0.0% 103 Total Net Assets - 100% 244,667 JNL/Alliance Capital Growth Fund Common Stocks - 99.3% Banks - 0.5% Bank One Corp. 14 643 Biotechnology - 2.6% Amgen Inc. (b) 54 3,331 Computers - 4.7% Dell Inc. (b) 131 4,435 EMC Corp. (b) 122 1,580 6,015 Cosmetics & Personal Care - 2.9% Avon Products Inc. 26 1,741 Colgate-Palmolive Co. 6 315 Procter & Gamble Co. 17 1,708 3,764 Diversified Financial Services - 15.1% Citigroup Inc. 117 5,674 Fannie Mae 26 1,944 Franklin Resources Inc. 5 260 Goldman Sachs Group Inc. 7 691 JPMorgan Chase & Co. 17 610 Lehman Brothers Holdings Inc. 17 1,336 MBNA Corp. 160 3,964 Merrill Lynch & Co. Inc. 38 2,246 Morgan Stanley 45 2,622 19,347 Healthcare - 6.9% Alcon Inc. 11 684 Boston Scientific Corp. (b) 32 1,191 Medtronic Inc. 69 3,369 UnitedHealth Group Inc. 54 3,165 Zimmer Holdings Inc. (b) 6 444 8,853 Insurance - 6.9% ACE Ltd. 27 1,110 American International Group Inc. 78 5,143 Progressive Corp. 32 2,675 8,928 Internet - 4.7% eBay Inc. (b) 39 2,525 Symantec Corp. (b) 26 908 Yahoo! Inc. (b) 56 2,543 5,976 Manufacturing - 4.2% General Electric Co. 176 5,437 Media - 9.5% Clear Channel Communications Inc. 40 1,873 Comcast Corp. - Special Class A (b) 95 2,962 E.W. Scripps Co. 9 819 Liberty Media Corp. (b) 56 669 Time Warner Inc. (b) 61 1,097 Viacom Inc. - Class B 109 4,851 12,271 Pharmaceuticals - 5.5% Forest Laboratories Inc. (b) 6 383 Gilead Sciences Inc. (b) 14 814 Pfizer Inc. 166 5,868 7,065 Retail - 11.1% Bed Bath & Beyond Inc. (b) 24 1,058 Family Dollar Stores Inc. 11 409 Kohl's Corp. (b) 23 1,038 Lowe's Cos. Inc. 62 3,440 Target Corp. 50 1,916 Walgreen Co. 50 1,823 Wal-Mart Stores Inc. 87 4,637 14,321 Semiconductors - 11.5% Applied Materials Inc. (b) 100 2,254 Broadcom Corp. (b) 31 1,067 Intel Corp. 184 5,922 Marvell Technology Group Ltd. (b) 29 1,100 Maxim Integrated Products Inc. 36 1,768 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (b) 179 1,829 Texas Instruments Inc. 28 820 14,760 Software - 8.7% Electronic Arts Inc. (b) 43 2,069 Microsoft Corp. 265 7,306 Veritas Software Corp. (b) 47 1,758 11,133 Telecommunications Equipment - 4.5% Cisco Systems Inc. (b) 183 4,445 Nokia Oyj - ADR 80 1,367 5,812 Total Common Stocks (cost $120,092) 127,656 Short Term Investments - 2.3% Money Market Funds - 2.3% Dreyfus Cash Management Plus, 0.898% (a) 2,939 2,939 Total Short Term Investments (cost $2,939) 2,939 Total Investments - 101.6% (cost $123,031) 130,595 Other Assets and Liabilities, Net - (1.6%) -2,077 Total Net Assets - 100% 128,518 JNL/Curian Enhanced S&P 500 Stock Index Fund Common Stocks - 96.4% Advertising - 0.2% Interpublic Group of Cos. Inc. (b) 4 59 Omnicom Group Inc. 2 156 215 Aerospace & Defense - 1.6% Boeing Co. 8 341 General Dynamics Corp. 2 171 Lockheed Martin Corp. 4 223 Northrop Grumman Corp. 2 163 Raytheon Co. 4 118 United Technologies Corp. 5 431 1,447 Airlines - 0.1% Southwest Airlines Co. 7 119 Apparel - 0.2% NIKE Inc. 3 172 Auto Manufacturers - 0.7% Ford Motor Co. 18 282 General Motors Corp. 5 285 PACCAR Inc. 1 94 661 Auto Parts & Equipment - 0.1% Johnson Controls Inc. 1 104 Banks - 6.6% Bank of America Corp. 14 1,146 Bank of New York Co. Inc. 7 248 Bank One Corp. 11 486 BB&T Corp. 5 206 Comerica Inc. 2 96 Fifth Third Bancorp. 5 318 FleetBoston Financial Corp. 10 437 KeyCorp 4 122 Marshall & Ilsley Corp. 2 85 Mellon Financial Corp. 4 136 National City Corp. 6 196 State Street Corp. 3 164 SunTrust Banks Inc. 3 190 US Bancorp. 19 554 Wachovia Corp. 12 579 Wells Fargo & Co. 16 945 5,908 Beverages - 2.8% Anheuser-Busch Cos. Inc. 8 408 Coca-Cola Co. 23 1,191 Coca-Cola Enterprises Inc. 4 93 PepsiCo Inc. 16 764 2,456 Biotechnology - 1.3% Amgen Inc. (b) 12 772 Biogen Idec Inc. (b) 3 115 Chiron Corp. (b) 2 103 Genzyme Corp. (b) 2 103 Medimmune Inc. (b) 2 58 1,151 Building Materials - 0.1% Masco Corp. 4 118 Chemicals - 1.4% Air Products & Chemicals Inc. 2 119 Dow Chemical Co. 9 370 E.I. du Pont de Nemours & Co. 9 430 PPG Industries Inc. 2 102 Praxair Inc. 3 122 Rohm & Haas Co. 2 95 1,238 Commercial Services - 0.7% Apollo Group Inc. (b) 2 117 Cendant Corp. (b) 10 215 Concord EFS Inc. (b) 4 62 McKesson Corp. 3 86 Paychex Inc. 4 136 616 Computers - 4.3% Apple Computer Inc. (b) 3 73 Dell Inc. (b) 25 833 Electronic Data Systems Corp. 5 115 EMC Corp. (b) 23 301 Hewlett-Packard Co. 30 679 International Business Machines Corp. 17 1,530 Lexmark International Inc. (b) 1 96 Network Appliance Inc. (b) 3 70 Sun Microsystems Inc. (b) 31 141 3,838 Cosmetics & Personal Care - 2.6% Avon Products Inc. 2 153 Colgate-Palmolive Co. 5 256 Gillette Co. 10 352 Kimberly-Clark Corp. 5 285 Procter & Gamble Co. 12 1,239 2,285 Diversified Financial Services - 8.5% American Express Co. 12 601 Capital One Financial Corp. 2 138 Charles Schwab Corp. 13 150 Citigroup Inc. 49 2,374 Countrywide Financial Corp. 2 132 Fannie Mae 9 705 Franklin Resources Inc. 2 128 Freddie Mac 7 388 Goldman Sachs Group Inc. 5 447 JPMorgan Chase & Co. 19 707 Lehman Brothers Holdings Inc. 3 202 MBNA Corp. 12 303 Merrill Lynch & Co. Inc. 9 528 Morgan Stanley 10 599 SLM Corp. 4 163 7,565 Electric - 1.6% AES Corp. (b) 6 54 American Electric Power Co. Inc. 4 112 Dominion Resources Inc. 3 197 Duke Energy Corp. 8 173 Entergy Corp. 2 128 Exelon Corp. 3 208 FirstEnergy Corp. 3 110 PG&E Corp. (b) 4 111 Public Service Enterprise Group Inc. 2 102 Southern Co. 7 212 1,407 Electrical Components & Equipment - 0.3% American Power Conversion Corp. 2 43 Emerson Electric Co. 4 260 303 Electronics - 0.2% Agilent Technologies Inc. (b) 5 132 Sanmina-SCI Corp. (b) 5 59 191 Entertainment - 0.1% International Game Technology 3 115 Environmental Control - 0.2% Waste Management Inc. 5 161 Food - 1.4% Archer-Daniels-Midland Co. 6 93 Campbell Soup Co. 4 102 ConAgra Foods Inc. 5 139 General Mills Inc. 4 161 H.J. Heinz Co. 3 119 Kroger Co. (b) 7 132 Safeway Inc. (b) 4 89 Sara Lee Corp. 8 166 Sysco Corp. 6 235 1,236 Forest Products & Paper - 0.5% Georgia-Pacific Corp. 3 78 International Paper Co. 5 197 Plum Creek Timber Co. Inc. 2 51 Weyerhaeuser Co. 2 138 464 Healthcare - 4.5% Aetna Inc. 1 97 Anthem Inc. (b) 1 95 Baxter International Inc. 6 176 Boston Scientific Corp. (b) 8 289 Guidant Corp. 3 176 HCA Inc. 5 200 Johnson & Johnson 28 1,446 Medtronic Inc. 12 571 St. Jude Medical Inc. (b) 2 103 Stryker Corp. 2 163 Tenet Healthcare Corp. (b) 4 71 UnitedHealth Group Inc. 6 323 WellPoint Health Networks Inc. (b) 1 138 Zimmer Holdings Inc. (b) 2 162 4,010 Home Furnishings - 0.1% Whirlpool Corp. 1 52 Insurance - 4.1% ACE Ltd. 3 114 AFLAC Inc. 5 181 Allstate Corp. 7 289 American International Group Inc. 25 1,656 Chubb Corp. 2 121 Hartford Financial Services Group Inc. 3 163 Loews Corp. 2 89 Marsh & McLennan Cos. Inc. 5 241 MetLife Inc. 7 247 Progressive Corp. 2 169 Prudential Financial Inc. 5 220 Travelers Property Casualty Corp. 9 159 3,649 Internet - 0.9% eBay Inc. (b) 6 398 Symantec Corp. (b) 3 104 Yahoo! Inc. (b) 6 287 789 Leisure Time - 0.4% Carnival Corp. 6 239 Harley-Davidson Inc. 3 136 375 Lodging - 0.1% Marriott International Inc. - Class A 2 102 Machinery - 0.5% Caterpillar Inc. 3 280 Deere & Co. 2 147 427 Manufacturing - 5.6% 3M Co. 7 637 Danaher Corp. 1 136 Eastman Kodak Co. 3 70 General Electric Co. 97 3,008 Honeywell International Inc. 8 274 Illinois Tool Works Inc. 3 247 Ingersoll-Rand Co. - Class A 2 111 Tyco International Ltd. 19 496 4,979 Media - 4.0% Clear Channel Communications Inc. 6 273 Comcast Corp. - Class A (b) 21 702 Gannett Co. Inc. 3 230 McGraw-Hill Cos. Inc. 2 129 Time Warner Inc. (b) 44 785 Tribune Co. 3 156 Univision Communications Inc. (b) 3 126 Viacom Inc. - Class B 17 741 Walt Disney Co. 19 447 3,589 Mining - 0.6% Alcoa Inc. 8 317 Newmont Mining Corp. 4 196 513 Office & Business Equipment - 0.1% Xerox Corp. (b) 8 107 Oil & Gas Producers - 5.2% Anadarko Petroleum Corp. 2 127 Apache Corp. 2 127 ChevronTexaco Corp. 10 872 ConocoPhillips 6 425 Devon Energy Corp. 2 126 Exxon Mobil Corp. 63 2,592 Marathon Oil Corp. 3 95 Occidental Petroleum Corp. 4 155 Unocal Corp. 3 93 4,612 Oil & Gas Services - 0.5% Halliburton Co. 4 106 Schlumberger Ltd. 6 303 409 Pharmaceuticals - 7.8% Abbott Laboratories 15 700 Bristol-Myers Squibb Co. 19 539 Cardinal Health Inc. 4 250 Eli Lilly & Co. 11 768 Forest Laboratories Inc. (b) 3 216 Medco Health Solutions Inc. (b) 3 88 Merck & Co. Inc. 21 989 Pfizer Inc. 72 2,555 Schering-Plough Corp. 14 243 Wyeth 12 530 6,878 Real Estate - 0.1% Equity Office Properties Trust 4 110 Retail - 6.9% Bed Bath & Beyond Inc. (b) 3 120 Best Buy Co. Inc. 3 162 Costco Wholesale Corp. (b) 4 162 CVS Corp. 4 140 Dollar General Corp. 3 70 Federated Department Stores Inc. 2 78 Gap Inc. 9 198 Home Depot Inc. 22 773 Kohl's Corp. (b) 3 142 Limited Brands Inc. 5 93 Lowe's Cos. Inc. 8 420 May Department Stores Co. 3 78 McDonald's Corp. 12 300 Sears Roebuck & Co. 2 111 Staples Inc. (b) 5 132 Starbucks Corp. (b) 4 121 Target Corp. 9 331 TJX Cos. Inc. 5 105 Walgreen Co. 10 355 Wal-Mart Stores Inc. 42 2,222 6,113 Savings & Loans - 0.4% Washington Mutual Inc. 9 343 Semiconductors - 4.4% Altera Corp. (b) 4 85 Analog Devices Inc. (b) 4 164 Applied Materials Inc. (b) 16 356 Broadcom Corp. (b) 3 102 Intel Corp. 63 2,031 KLA-Tencor Corp. (b) 2 106 Linear Technology Corp. 3 122 Maxim Integrated Products Inc. 3 155 Micron Technology Inc. (b) 6 83 National Semiconductor Corp. (b) 2 68 Texas Instruments Inc. 17 496 Xilinx Inc. (b) 3 130 3,898 Software - 5.5% Adobe Systems Inc. 2 85 Automatic Data Processing Inc. 6 226 Computer Associates International Inc. 6 156 Electronic Arts Inc. (b) 3 139 First Data Corp. 7 285 Intuit Inc. (b) 2 105 Microsoft Corp. 104 2,875 Oracle Corp. (b) 51 669 PeopleSoft Inc. (b) 3 78 Siebel Systems Inc. (b) 5 66 Veritas Software Corp. (b) 4 154 4,838 Telecommunications - 3.1% Alltel Corp. 3 136 AT&T Corp. 7 149 BellSouth Corp. 18 498 Qwest Communications International Inc. (b) 18 76 SBC Communications Inc. 32 833 Sprint Corp. - FON Group 8 139 Verizon Communications Inc. 26 923 2,754 Telecommunications Equipment - 2.1% Cisco Systems Inc. (b) 66 1,603 Corning Inc. (b) 13 134 Lucent Technologies Inc. (b) 41 115 1,852 Textiles - 0.1% Cintas Corp. 2 85 Tobacco - 1.2% Altria Group Inc. 19 1,049 RJ Reynolds Tobacco Holdings Inc. 1 50 1,099 Transportation - 1.3% FedEx Corp. 3 196 Union Pacific Corp. 2 172 United Parcel Service Inc. 11 798 1,166 Wireless Telecommunications - 1.4% AT&T Wireless Services Inc. (b) 26 210 Motorola Inc. 22 313 Nextel Communications Inc. (b) 11 299 Qualcomm Inc. 8 416 1,238 Total Common Stocks (cost $79,306) 85,757 Government Securities - 0.1% U.S. Treasury Securities - 0.1% U.S. Treasury Note, 3.00%, 02/29/04 (l) 125 125 Total Government Securities (cost $125) 125 Short Term Investments - 3.2% Money Market Funds - 3.2% Reich & Tang Institutional Money Market Portfolio - Class B, 0.957% (a) 2,830 2,830 U.S. Treasury Bills - 0.0% U.S. Treasury Bill, 0.885%, 03/18/04 50 50 Total Short Term Investments (cost $2,880) 2,880 Total Investments - 99.7% (cost $82,312) 88,762 Other Assets and Liabilities, Net - 0.3% 306 Total Net Assets - 100% 89,068 JNL/Curian S&P 400 MidCap Index Fund Common Stocks - 97.4% Advertising - 0.3% Catalina Marketing Corp. (b) 4 88 Harte-Hanks Inc. 7 155 243 Aerospace & Defense - 0.7% L-3 Communications Holdings Inc. (b) 8 406 Sequa Corp. - Class A (b) 1 43 Titan Corp. (b) 7 145 594 Airlines - 0.3% Alaska Air Group Inc. (b) 2 59 JetBlue Airways Corp. (b) 8 220 279 Apparel - 0.9% Coach Inc. (b) 15 572 Timberland Co. - Class A (b) 3 145 Unifi Inc. (b) 4 28 745 Auto Parts & Equipment - 1.1% ArvinMeritor Inc. 6 135 Bandag Inc. 2 65 BorgWarner Inc. 2 191 Lear Corp. 6 339 Modine Manufacturing Co. 3 75 Superior Industries International Inc. 2 95 900 Banks - 6.9% Associated Banc-Corp. 6 255 Bank of Hawaii Corp. 4 190 Banknorth Group Inc. 13 429 City National Corp. 4 248 Colonial BancGroup Inc. 10 176 Commerce Bancorp. Inc. 6 326 Compass Bancshares Inc. 10 391 Cullen/Frost Bankers Inc. 4 172 FirstMerit Corp. 7 186 Greater Bay Bancorp. 4 122 Hibernia Corp. 13 298 Investors Financial Services Corp. 5 205 M&T Bank Corp. 10 964 Mercantile Bankshares Corp. 7 296 National Commerce Financial Corp. 17 457 Provident Financial Group Inc. 4 128 Silicon Valley Bancshares (b) 3 102 TCF Financial Corp. 6 298 Westamerica Bancorp. 3 133 Wilmington Trust Corp. 5 194 5,570 Beverages - 0.6% Constellation Brands Inc. - Class A (b) 9 283 PepsiAmericas Inc. 12 202 485 Biotechnology - 1.0% Charles River Laboratories International Inc. (b) 4 128 Millennium Pharmaceuticals Inc. (b) 25 460 Protein Design Labs Inc. (b) 8 137 Vertex Pharmaceuticals Inc. (b) 6 65 790 Building Materials - 0.4% Martin Marietta Materials Inc. 4 188 York International Corp. 3 120 308 Chemicals - 2.4% Airgas Inc. 6 130 Albemarle Corp. 3 101 Cabot Corp. 5 161 Cabot Microelectronics Corp. (b) 2 95 Crompton Corp. 9 65 Cytec Industries Inc. (b) 3 122 Ferro Corp. 3 92 FMC Corp. (b) 3 98 IMC Global Inc. 9 93 Lubrizol Corp. 4 137 Lyondell Chemical Co. 14 245 Minerals Technologies Inc. 2 99 Olin Corp. 5 96 RPM International Inc. 9 155 Sensient Technologies Corp. 4 75 Valspar Corp. 4 204 1,968 Commercial Services - 3.7% Banta Corp. 2 82 Career Education Corp. (b) 8 328 ChoicePoint Inc. (b) 7 272 Corinthian Colleges Inc. (b) 4 201 DeVry Inc. (b) 6 144 Education Management Corp. (b) 6 183 First Health Group Corp. (b) 8 150 Gartner Inc. (b) 11 119 Kelly Services Inc. - Class A 3 80 Korn/Ferry International (b) 3 41 Manpower Inc. 6 300 MPS Group Inc. (b) 9 80 Plexus Corp. (b) 3 60 Quanta Services Inc. (b) 10 70 Rent-A-Center Inc. (b) 7 197 Rollins Inc. 4 83 Sotheby's Holdings Inc. - Class A (b) 5 69 Sylvan Learning Systems Inc. (b) 4 102 United Rentals Inc. (b) 6 121 Valassis Communications Inc. (b) 4 125 Viad Corp. 7 180 2,987 Computers - 4.5% Affiliated Computer Services Inc. - Class A (b) 11 584 BISYS Group Inc. (b) 10 144 Cadence Design Systems Inc. (b) 21 386 Ceridian Corp. (b) 12 255 Diebold Inc. 6 320 DST Systems Inc. (b) 7 285 Imation Corp. 3 102 Jack Henry & Associates Inc. 7 150 McData Corp. (b) 9 90 Mentor Graphics Corp. (b) 6 81 Quantum Corp. (b) 15 45 Reynolds & Reynolds Co. 5 159 Sandisk Corp. (b) 6 396 Storage Technology Corp. (b) 9 233 Synopsys Inc. (b) 13 428 3,658 Distribution & Wholesale - 1.1% CDW Corp. 7 393 Fastenal Co. 6 309 Tech Data Corp. (b) 5 184 886 Diversified Financial Services - 2.5% A.G. Edwards Inc. 6 233 AmeriCredit Corp. (b) 13 204 E*TRADE Group Inc. (b) 30 378 Eaton Vance Corp. 6 206 IndyMac Bancorp. Inc. 5 135 Investment Technology Group Inc. (b) 4 62 LaBranche & Co. Inc. 5 57 Legg Mason Inc. 5 417 Raymond James Financial Inc. 4 150 Waddell & Reed Financial Inc. - Class A 7 158 2,000 Electric - 4.8% Allete Inc. 7 217 Alliant Energy Corp. 9 225 Black Hills Corp. 3 78 DPL Inc. 10 216 Duquesne Light Holdings Inc. 6 113 Energy East Corp. 12 267 Great Plains Energy Inc. 6 180 Hawaiian Electric Industries Inc. 3 146 Idacorp Inc. 3 93 MDU Resources Group Inc. 9 220 Northeast Utilities 11 220 NSTAR 4 210 OGE Energy Corp. 7 172 Pepco Holdings Inc. 14 274 PNM Resources Inc. 3 90 Puget Energy Inc. 8 183 SCANA Corp. 9 310 Sierra Pacific Resources (b) 10 70 Westar Energy Inc. 6 120 Wisconsin Energy Corp. 10 321 WPS Resources Corp. 3 137 3,862 Electrical Components & Equipment - 0.7% Ametek Inc. 3 132 Energizer Holdings Inc. (b) 7 259 Hubbell Inc. - Class B 5 215 606 Electronics - 1.5% Arrow Electronics Inc. (b) 8 190 Avnet Inc. (b) 10 212 Gentex Corp. 6 277 Kemet Corp. (b) 7 97 Varian Inc. (b) 3 118 Vishay Intertechnology Inc. (b) 13 300 1,194 Engineering & Construction - 0.5% Dycom Industries Inc. (b) 4 106 Granite Construction Inc. 3 80 Jacobs Engineering Group Inc. (b) 5 217 403 Entertainment - 0.7% GTECH Holdings Corp. 5 239 International Speedway Corp. - Class A 4 194 Macrovision Corp. (b) 4 90 Six Flags Inc. (b) 8 57 580 Environmental Control - 0.6% Republic Services Inc. 13 332 Stericycle Inc. (b) 3 160 492 Food - 2.5% Dean Foods Co. (b) 13 419 Hormel Foods Corp. 11 292 Interstate Bakeries 4 52 JM Smucker Co. 4 185 Ruddick Corp. 4 68 Smithfield Foods Inc. (b) 9 187 Tootsie Roll Industries Inc. 4 152 Tyson Foods Inc. 29 379 Whole Foods Market Inc. 5 328 2,062 Forest Products & Paper - 0.8% Bowater Inc. 5 210 Longview Fibre Co. 4 51 P.H. Glatfelter Co. 4 45 Potlatch Corp. 2 79 Rayonier Inc. 4 178 Wausau-Mosinee Paper Corp. 4 57 620 Gas - 0.7% AGL Resources Inc. 5 153 Oneok Inc. 8 171 Vectren Corp. 6 152 WGL Holdings Inc. 4 110 586 Hand & Machine Tools - 0.1% Kennametal Inc. 3 117 Healthcare - 6.0% Apogent Technologies Inc. (b) 7 170 Apria Healthcare Group Inc. (b) 4 120 Beckman Coulter Inc. 5 256 Community Health Systems Inc. (b) 8 214 Covance Inc. (b) 5 136 Coventry Health Care Inc. (b) 5 316 Cytyc Corp. (b) 9 123 Dentsply International Inc. 6 292 Edwards Lifesciences Corp. (b) 5 146 Health Net Inc. (b) 9 304 Henry Schein Inc. (b) 4 241 Hillenbrand Industries Inc. 5 313 LifePoint Hospitals Inc. (b) 3 91 Lincare Holdings Inc. (b) 8 241 Oxford Health Plans (b) 7 288 Pacificare Health Systems Inc. (b) 3 231 Patterson Dental Co. (b) 6 358 Steris Corp. (b) 6 128 Triad Hospitals Inc. (b) 6 205 Universal Health Services Inc. 5 254 Varian Medical Systems Inc. (b) 6 384 VISX Inc. (b) 4 91 4,902 Holding Companies - Diversified - 0.3% Leucadia National Corp. 6 262 Home Builders - 2.0% DR Horton Inc. 13 555 Hovnanian Enterprises Inc. - Class A (b) 2 214 Lennar Corp. 6 618 Toll Brothers Inc. (b) 6 237 1,624 Home Furnishings - 0.2% Furniture Brands International Inc. 5 134 Household Products - 0.8% Blyth Inc. 4 120 Church & Dwight Co. Inc. 3 131 Dial Corp. 8 224 Scotts Co. - Class A (b) 3 155 630 Insurance - 5.1% Allmerica Financial Corp. (b) 4 133 American Financial Group Inc. 6 158 AmerUs Group Co. 3 112 Arthur J. Gallagher & Co. 7 239 Brown & Brown Inc. 6 183 Everest Re Group Ltd. 5 385 Fidelity National Financial Inc. 12 470 First American Corp. 6 190 HCC Insurance Holdings Inc. 5 166 Horace Mann Educators Corp. 3 49 Mony Group Inc. (b) 4 121 Ohio Casualty Corp. (b) 5 86 Old Republic International Corp. 15 375 PMI Group Inc. 8 289 Protective Life Corp. 6 190 Radian Group Inc. 8 374 Stancorp Financial Group Inc. 2 150 Unitrin Inc. 6 228 W.R. Berkley Corp. 7 238 4,136 Internet - 0.9% Avocent Corp. (b) 4 140 Checkfree Corp. (b) 7 180 Internet Security Systems Inc. (b) 4 75 Macromedia Inc. (b) 5 91 Network Associates Inc. (b) 13 198 RSA Security Inc. (b) 5 70 754 Iron & Steel - 0.1% Carpenter Technology Corp. 2 51 Leisure Time - 0.1% Callaway Golf Co. 6 104 Lodging - 0.9% Boyd Gaming Corp. 5 85 Extended Stay America Inc. 8 115 Mandalay Resort Group 5 224 Park Place Entertainment Corp. (b) 25 268 692 Machinery - 1.0% AGCO Corp. (b) 6 124 Flowserve Corp. (b) 5 94 Graco Inc. 4 151 Nordson Corp. 3 96 Tecumseh Products Co. 2 73 Zebra Technologies Corp. (b) 4 256 794 Manufacturing - 2.0% Brink's Co. 4 100 Carlisle Cos. Inc. 3 153 Donaldson Co. Inc. 4 209 Federal Signal Corp. 4 69 Harsco Corp. 3 146 Lancaster Colony Corp. 3 132 Pentair Inc. 4 184 SPX Corp. (b) 6 366 Teleflex Inc. 3 157 Trinity Industries Inc. 4 117 1,633 Media - 2.5% Belo Corp. - Class A 9 265 Emmis Communications Corp. (b) 4 121 Entercom Communications Corp. (b) 4 222 Lee Enterprises Inc. 4 159 Media General Inc. 2 125 Reader's Digest Association Inc. - Class A 8 119 Scholastic Corp. (b) 3 109 Washington Post 1 590 Westwood One Inc. (b) 8 279 1,989 Metal Fabrication & Hardware - 0.3% Precision Castparts Corp. 5 230 Mining - 0.4% Arch Coal Inc. 4 134 Peabody Energy Corp. 4 185 319 Office Furnishings - 0.4% Herman Miller Inc. 6 145 HON Industries Inc. 5 206 351 Oil & Gas Producers - 3.9% ENSCO International Inc. 12 333 Forest Oil Corp. (b) 4 125 Helmerich & Payne Inc. 4 114 Murphy Oil Corp. 8 490 Noble Energy Inc. 5 206 Patterson-UTI Energy Inc. (b) 7 218 Pioneer Natural Resources Co. (b) 10 308 Pogo Producing Co. 5 251 Pride International Inc. (b) 11 206 Valero Energy Corp. 10 455 XTO Energy Inc. 15 426 3,132 Oil & Gas Services - 2.1% Cooper Cameron Corp. (b) 4 205 FMC Technologies Inc. (b) 5 126 Grant Prideco Inc. (b) 10 129 Hanover Compressor Co. (b) 6 67 National-Oilwell Inc. (b) 7 155 Smith International Inc. (b) 8 340 Tidewater Inc. 5 148 Varco International Inc. (b) 8 164 Weatherford International Ltd. (b) 11 383 1,717 Packaging & Containers - 0.5% Packaging Corp. of America 9 188 Sonoco Products Co. 8 195 383 Pharmaceuticals - 4.8% AdvancePCS (b) 8 399 Barr Laboratories Inc. (b) 5 422 Gilead Sciences Inc. (b) 17 962 IVAX Corp. (b) 16 383 Mylan Laboratories Inc. 22 555 Omnicare Inc. 8 338 Perrigo Co. 6 90 Pharmaceutical Resources Inc. (b) 3 181 Sepracor Inc. (b) 7 166 Sicor Inc. (b) 10 264 Valeant Pharmaceuticals International 7 171 3,931 Pipelines - 1.0% Aquila Inc. (b) 16 54 Equitable Resources Inc. 5 218 National Fuel Gas Co. 7 163 Questar Corp. 7 238 Western Gas Resources Inc. 3 128 801 Real Estate - 1.7% AMB Property Corp. 7 220 Highwoods Properties Inc. 4 110 Hospitality Properties Trust 5 211 Liberty Property Trust 7 255 Mack-Cali Realty Corp. 5 198 New Plan Excel Realty Trust 8 197 United Dominion Realty Trust Inc. 10 199 1,390 Retail - 6.7% 99 Cents Only Stores (b) 6 160 Abercrombie & Fitch Co. - Class A (b) 8 195 American Eagle Outfitters Inc. (b) 6 95 Applebees International Inc. 4 176 Barnes & Noble Inc. (b) 5 179 BJ's Wholesale Club Inc. (b) 6 131 Bob Evans Farms Inc. 3 93 Borders Group Inc. 6 139 Brinker International Inc. (b) 8 262 Carmax Inc. (b) 8 262 CBRL Group Inc. 4 155 Cheesecake Factory (b) 4 186 Chico's FAS Inc. (b) 7 263 Claire's Stores Inc. 4 80 Copart Inc. (b) 7 120 Dollar Tree Stores Inc. (b) 9 283 Krispy Kreme Doughnuts Inc. (b) 5 180 Longs Drug Stores Corp. 3 74 Michaels Stores Inc. 5 242 Neiman-Marcus Group Inc. - Class A (b) 4 214 O'Reilly Automotive Inc. (b) 4 170 Outback Steakhouse Inc. 6 270 Payless Shoesource Inc. (b) 6 74 Petsmart Inc. 12 278 Pier 1 Imports Inc. 7 159 Ross Stores Inc. 12 328 Ruby Tuesday Inc. 5 151 Saks Inc. (b) 11 168 Williams-Sonoma Inc. (b) 10 332 5,419 Savings & Loans - 2.8% Astoria Financial Corp. 6 241 Greenpoint Financial Corp. 11 385 Independence Community Bank Corp. 4 160 New York Community Bancorp. Inc. 16 598 Sovereign Bancorp. Inc. 24 567 Washington Federal Inc. 6 162 Webster Financial Corp. 4 171 2,284 Semiconductors - 4.1% Atmel Corp. (b) 39 232 Credence Systems Corp. (b) 5 68 Cree Inc. (b) 6 107 Cypress Semiconductor Corp. (b) 10 210 Fairchild Semiconductor International Inc. - Class A (b) 10 240 Integrated Circuit Systems Inc. (b) 6 168 Integrated Device Technology Inc. (b) 9 147 International Rectifier Corp. (b) 5 260 Intersil Corp. 11 282 Lam Research Corp. (b) 11 344 Lattice Semiconductor Corp. (b) 9 89 LTX Corp. (b) 4 64 Micrel Inc. (b) 8 117 Microchip Technology Inc. 17 565 Semtech Corp. (b) 6 137 Silicon Laboratories Inc. (b) 4 176 Triquint Semiconductor Inc. (b) 11 78 3,284 Software - 2.5% Activision Inc. (b) 7 132 Acxiom Corp. (b) 7 129 Advent Software Inc. (b) 3 47 Ascential Software Corp. (b) 5 126 Certegy Inc. 5 174 CSG Systems International Inc. (b) 4 53 Dun & Bradstreet Corp. (b) 6 301 Fair Isaac Corp. 4 193 Keane Inc. (b) 5 77 National Instruments Corp. 4 193 Retek Inc. (b) 4 41 SEI Investments Co. 9 262 Sybase Inc. (b) 8 163 Transaction Systems Architects Inc. (b) 3 65 Wind River Systems Inc. (b) 7 60 2,016 Telecommunications - 0.5% Cincinnati Bell Inc. (b) 20 101 Telephone & Data Systems Inc. 5 293 394 Telecommunications Equipment - 1.5% 3Com Corp. (b) 30 249 Adtran Inc. 6 200 Advanced Fibre Communications Inc. (b) 7 143 CommScope Inc. (b) 5 79 Harris Corp. 5 206 Newport Corp. (b) 3 53 Plantronics Inc. (b) 4 119 Polycom Inc. (b) 8 158 1,207 Textiles - 0.5% Mohawk Industries Inc. (b) 5 383 Tobacco - 0.1% Universal Corp. 2 87 Transportation - 1.9% Alexander & Baldwin Inc. 3 115 C.H. Robinson Worldwide Inc. 7 261 CNF Inc. 4 138 EGL Inc. (b) 4 68 Expeditors International of Washington Inc. 9 323 GATX Corp. 4 112 J.B. Hunt Transport Services Inc. (b) 7 177 Overseas Shipholding Group Inc. 3 99 Swift Transportation Co. Inc. (b) 7 144 Werner Enterprises Inc. 7 127 1,564 Water - 0.2% Philadelphia Suburban Corp. 8 167 Wireless Telecommunications - 0.3% Powerwave Technologies Inc. (b) 5 39 Price Communications Corp. (b) 4 61 RF Micro Devices Inc. (b) 15 152 252 Total Common Stocks (cost $68,424) 78,951 Short Term Investments - 2.3% Money Market Funds - 1.7% Reich & Tang Institutional U.S. Treasury Portfolio - Class B, 0.744% (a) 1,392 1,392 U.S. Treasury Bills - 0.6% U.S. Treasury Bill, 0.895%, 03/11/04 (l) 500 499 Total Short Term Investments (cost $1,891) 1,891 Total Investments - 99.7% (cost $70,315) 80,842 Other Assets and Liabilities, Net - 0.3% 235 Total Net Assets - 100% 81,077 JNL/Curian S&P 500 Index Fund Common Stocks - 97.9% Advertising - 0.2% Interpublic Group of Cos. Inc. (b) 8 117 Omnicom Group Inc. 3 301 418 Aerospace & Defense - 1.5% Boeing Co. 15 642 General Dynamics Corp. 4 324 Goodrich Corp. 2 63 Lockheed Martin Corp. 8 420 Northrop Grumman Corp. 3 317 Raytheon Co. 8 227 Rockwell Collins Inc. 3 96 United Technologies Corp. 9 808 2,897 Agriculture - 0.1% Monsanto Co. 5 137 Airlines - 0.1% Delta Air Lines Inc. 2 27 Southwest Airlines Co. 14 230 257 Apparel - 0.3% Jones Apparel Group Inc. 2 80 Liz Claiborne Inc. 2 70 NIKE Inc. 5 326 Reebok International Ltd. 1 40 V.F. Corp. 2 85 601 Auto Manufacturers - 0.7% Ford Motor Co. 33 531 General Motors Corp. 10 542 Navistar International Corp. (b) 1 60 PACCAR Inc. 2 180 1,313 Auto Parts & Equipment - 0.2% Cooper Tire & Rubber Co. 1 28 Dana Corp. 3 49 Delphi Corp. 10 104 Goodyear Tire & Rubber Co. (b) 3 25 Johnson Controls Inc. 2 190 Visteon Corp. 2 25 421 Banks - 6.8% AmSouth Bancorp. 6 156 Bank of America Corp. 27 2,165 Bank of New York Co. Inc. 14 464 Bank One Corp. 20 924 BB&T Corp. 10 383 Charter One Financial Inc. 4 139 Comerica Inc. 3 178 Fifth Third Bancorp. 10 609 First Tennessee National Corp. 2 97 FleetBoston Financial Corp. 19 834 Huntington Bancshares Inc. 4 93 KeyCorp 8 223 Marshall & Ilsley Corp. 4 157 Mellon Financial Corp. 8 250 National City Corp. 11 374 North Fork Bancorp. Inc. 3 111 Northern Trust Corp. 4 185 PNC Financial Services Group Inc. 5 275 Regions Financial Corp. 4 150 SouthTrust Corp. 6 197 State Street Corp. 6 315 SunTrust Banks Inc. 5 365 Synovus Financial Corp. 5 158 Union Planters Corp. 3 108 US Bancorp. 35 1,041 Wachovia Corp. 24 1,118 Wells Fargo & Co. 31 1,805 Zions Bancorp. 2 96 12,970 Beverages - 2.6% Adolph Coors Co. - Class B 1 32 Anheuser-Busch Cos. Inc. 15 778 Brown-Forman Corp. - Class B 1 103 Coca-Cola Co. 44 2,254 Coca-Cola Enterprises Inc. 8 180 Pepsi Bottling Group Inc. 5 115 PepsiCo Inc. 31 1,450 4,912 Biotechnology - 1.2% Amgen Inc. (b) 23 1,445 Biogen Idec Inc. (b) 6 218 Chiron Corp. (b) 3 194 Genzyme Corp. (b) 4 200 Medimmune Inc. (b) 4 114 Millipore Corp. (b) 1 33 2,204 Building Materials - 0.2% American Standard Cos. Inc. (b) 1 133 Masco Corp. 8 230 Vulcan Materials Co. 2 88 451 Chemicals - 1.5% Air Products & Chemicals Inc. 4 218 Ashland Inc. 1 55 Dow Chemical Co. 17 693 E.I. du Pont de Nemours & Co. 18 829 Eastman Chemical Co. 1 57 Ecolab Inc. 5 128 Engelhard Corp. 2 68 Great Lakes Chemical Corp. 1 24 Hercules Inc. (b) 2 24 International Flavors & Fragrances Inc. 2 59 PPG Industries Inc. 3 197 Praxair Inc. 6 225 Rohm & Haas Co. 4 172 Sherwin-Williams Co. 3 90 Sigma-Aldrich Corp. 1 73 2,912 Commercial Services - 0.9% Apollo Group Inc. (b) 3 217 Cendant Corp. (b) 18 409 Concord EFS Inc. (b) 8 125 Convergys Corp. (b) 3 45 Deluxe Corp. 1 37 Equifax Inc. 3 62 H&R Block Inc. 3 179 McKesson Corp. 5 170 Moody's Corp. 3 163 Paychex Inc. 7 254 R.R. Donnelley & Sons Co. 2 62 Robert Half International Inc. (b) 3 72 1,795 Computers - 4.0% Apple Computer Inc. (b) 7 140 Computer Sciences Corp. (b) 3 150 Dell Inc. (b) 46 1,576 Electronic Data Systems Corp. 9 214 EMC Corp. (b) 44 563 Gateway Inc. (b) 6 27 Hewlett-Packard Co. 55 1,269 International Business Machines Corp. 31 2,889 Lexmark International Inc. (b) 2 183 NCR Corp. (b) 2 63 Network Appliance Inc. (b) 6 128 Sun Microsystems Inc. (b) 59 266 SunGard Data Systems Inc. (b) 5 144 Unisys Corp. (b) 6 89 7,701 Cosmetics & Personal Care - 2.3% Alberto-Culver Co. - Class B 1 67 Avon Products Inc. 4 289 Colgate-Palmolive Co. 10 487 Gillette Co. 18 673 Kimberly-Clark Corp. 9 540 Procter & Gamble Co. 23 2,347 4,403 Distribution & Wholesale - 0.1% Genuine Parts Co. 3 103 W.W. Grainger Inc. 2 78 181 Diversified Financial Services - 7.8% American Express Co. 23 1,124 Bear Stearns Cos. Inc. 2 142 Capital One Financial Corp. 4 256 Charles Schwab Corp. 25 291 Citigroup Inc. 93 4,537 Countrywide Financial Corp. 3 253 Fannie Mae 18 1,321 Federated Investors Inc. 2 58 Franklin Resources Inc. 5 237 Freddie Mac 13 735 Goldman Sachs Group Inc. 9 847 Janus Capital Group Inc. 4 71 JPMorgan Chase & Co. 37 1,358 Lehman Brothers Holdings Inc. 5 380 MBNA Corp. 23 575 Merrill Lynch & Co. Inc. 17 1,005 Morgan Stanley 20 1,136 Providian Financial Corp. (b) 5 61 SLM Corp. 8 308 T. Rowe Price Group Inc. 2 107 14,802 Electric - 2.4% AES Corp. (b) 11 106 Allegheny Energy Inc. (b) 2 30 Ameren Corp. 3 136 American Electric Power Co. Inc. 7 219 Calpine Corp. (b) 7 36 Centerpoint Energy Inc. 6 54 Cinergy Corp. 3 125 CMS Energy Corp. (b) 3 25 Consolidated Edison Inc. 4 176 Constellation Energy Group Inc. 3 119 Dominion Resources Inc. 6 375 DTE Energy Co. 3 120 Duke Energy Corp. 16 336 Edison International 6 129 Entergy Corp. 4 237 Exelon Corp. 6 393 FirstEnergy Corp. 6 210 FPL Group Inc. 3 218 NiSource Inc. 5 104 PG&E Corp. (b) 8 209 Pinnacle West Capital Corp. 2 66 PPL Corp. 3 137 Progress Energy Inc. 4 201 Public Service Enterprise Group Inc. 4 187 Southern Co. 13 401 TECO Energy Inc. 3 49 TXU Corp. 6 139 Xcel Energy Inc. 7 123 4,660 Electrical Components & Equipment - 0.4% American Power Conversion Corp. 4 86 Emerson Electric Co. 8 494 Molex Inc. 3 120 Power-One Inc. (b) 2 16 716 Electronics - 0.6% Agilent Technologies Inc. (b) 9 252 Applera Corp. - Applied Biosystems Group 4 78 Jabil Circuit Inc. (b) 4 103 Parker Hannifin Corp. 2 128 PerkinElmer Inc. 2 39 Sanmina-SCI Corp. (b) 9 118 Solectron Corp. (b) 15 90 Symbol Technologies Inc. 4 71 Tektronix Inc. 2 48 Thermo Electron Corp. (b) 3 74 Thomas & Betts Corp. 1 24 Waters Corp. (b) 2 73 1,098 Engineering & Construction - 0.0% Fluor Corp. 1 59 Entertainment - 0.1% International Game Technology 6 224 Environmental Control - 0.2% Allied Waste Industries Inc. (b) 6 81 Waste Management Inc. 11 312 393 Food - 1.8% Albertson's Inc. 7 151 Archer-Daniels-Midland Co. 12 178 Campbell Soup Co. 7 199 ConAgra Foods Inc. 10 257 General Mills Inc. 7 306 H.J. Heinz Co. 6 232 Hershey Foods Corp. 2 174 Kellogg Co. 7 282 Kroger Co. (b) 14 250 McCormick & Co. Inc. 3 76 Safeway Inc. (b) 8 176 Sara Lee Corp. 14 311 Supervalu Inc. 2 69 Sysco Corp. 12 437 Winn-Dixie Stores Inc. 3 25 Wm. Wrigley Jr. Co. 4 229 3,352 Forest Products & Paper - 0.6% Boise Cascade Corp. 2 52 Georgia-Pacific Corp. 5 141 International Paper Co. 9 375 Louisiana-Pacific Corp. (b) 2 34 MeadWestvaco Corp. 4 108 Plum Creek Timber Co. Inc. 3 101 Temple-Inland Inc. 1 60 Weyerhaeuser Co. 4 255 1,126 Gas - 0.2% KeySpan Corp. 3 106 Nicor Inc. 1 29 Peoples Energy Corp. 1 27 Sempra Energy 4 123 285 Hand & Machine Tools - 0.1% Black & Decker Corp. 1 69 Snap-On Inc. 1 37 Stanley Works 1 56 162 Healthcare - 4.5% Aetna Inc. 3 187 Anthem Inc. (b) 3 188 Bausch & Lomb Inc. 1 50 Baxter International Inc. 11 337 Becton Dickinson & Co. 5 189 Biomet Inc. 5 169 Boston Scientific Corp. (b) 15 546 C.R. Bard Inc. 1 72 Guidant Corp. 6 339 HCA Inc. 9 386 Health Management Associates Inc. 4 104 Humana Inc. (b) 3 67 Johnson & Johnson 54 2,778 Manor Care Inc. 2 56 Medtronic Inc. 22 1,068 Quest Diagnostics Inc. 2 138 St. Jude Medical Inc. (b) 3 192 Stryker Corp. 4 307 Tenet Healthcare Corp. (b) 8 135 UnitedHealth Group Inc. 11 618 WellPoint Health Networks Inc. (b) 3 267 Zimmer Holdings Inc. (b) 4 308 8,501 Home Builders - 0.2% Centex Corp. 1 121 KB Home 1 57 Pulte Homes Inc. 1 105 283 Home Furnishings - 0.1% Leggett & Platt Inc. 3 75 Maytag Corp. 1 40 Whirlpool Corp. 1 92 207 Household Products - 0.3% American Greetings Corp. - Class A (b) 1 26 Avery Dennison Corp. 2 108 Clorox Co. 4 186 Fortune Brands Inc. 3 189 Newell Rubbermaid Inc. 5 113 Tupperware Corp. 1 19 641 Insurance - 4.7% ACE Ltd. 5 209 AFLAC Inc. 9 336 Allstate Corp. 13 548 AMBAC Financial Group Inc. 2 134 American International Group Inc. 47 3,132 AON Corp. 6 136 Chubb Corp. 3 232 Cigna Corp. 2 142 Cincinnati Financial Corp. 3 122 Hartford Financial Services Group Inc. 5 303 Jefferson-Pilot Corp. 3 129 John Hancock Financial Services Inc. 5 197 Lincoln National Corp. 3 130 Loews Corp. 3 166 Marsh & McLennan Cos. Inc. 10 460 MBIA Inc. 3 155 MetLife Inc. 14 464 MGIC Investment Corp. 2 99 Principal Financial Group 6 194 Progressive Corp. 4 327 Prudential Financial Inc. 10 409 Safeco Corp. 3 98 St. Paul Cos. Inc. 4 164 Torchmark Corp. 2 93 Travelers Property Casualty Corp. 18 309 UnumProvident Corp. 5 85 XL Capital Ltd. 2 193 8,966 Internet - 0.8% eBay Inc. (b) 12 756 Monster Worldwide Inc. (b) 2 45 Symantec Corp. (b) 6 193 Yahoo! Inc. (b) 12 538 1,532 Iron & Steel - 0.1% Allegheny Technologies Inc. 1 19 Nucor Corp. 1 79 United States Steel Corp. 2 66 164 Leisure Time - 0.4% Brunswick Corp. 2 53 Carnival Corp. 11 453 Harley-Davidson Inc. 5 261 Sabre Holdings Corp. 3 56 823 Lodging - 0.3% Harrah's Entertainment Inc. 2 99 Hilton Hotels Corp. 7 118 Marriott International Inc. - Class A 4 194 Starwood Hotels & Resorts Worldwide Inc. 4 132 543 Machinery - 0.5% Caterpillar Inc. 6 523 Cummins Inc. 1 36 Deere & Co. 4 283 Rockwell Automation Inc. 3 120 962 Manufacturing - 5.3% 3M Co. 14 1,209 Cooper Industries Ltd. - Class A 2 98 Crane Co. 1 31 Danaher Corp. 3 255 Dover Corp. 4 146 Eastman Kodak Co. 5 133 Eaton Corp. 1 149 General Electric Co. 182 5,636 Honeywell International Inc. 16 522 Illinois Tool Works Inc. 6 469 Ingersoll-Rand Co. - Class A 3 213 ITT Industries Inc. 2 124 Pall Corp. 2 61 Textron Inc. 2 141 Tyco International Ltd. 36 960 10,147 Media - 3.8% Clear Channel Communications Inc. 11 522 Comcast Corp. - Class A (b) 41 1,340 Dow Jones & Co. Inc. 1 72 Gannett Co. Inc. 5 438 Knight-Ridder Inc. 1 110 McGraw-Hill Cos. Inc. 3 243 Meredith Corp. 1 42 New York Times Co. 3 129 Time Warner Inc. (b) 82 1,474 Tribune Co. 6 292 Univision Communications Inc. (b) 6 232 Viacom Inc. - Class B 32 1,407 Walt Disney Co. 37 865 7,166 Metal Fabrication & Hardware - 0.0% Worthington Industries 2 28 Mining - 0.6% Alcoa Inc. 16 596 Freeport-McMoRan Copper & Gold Inc. 3 139 Newmont Mining Corp. 8 381 Phelps Dodge Corp. (b) 2 118 1,234 Office & Business Equipment - 0.2% Pitney Bowes Inc. 4 172 Xerox Corp. (b) 14 198 370 Oil & Gas Producers - 5.1% Amerada Hess Corp. 2 87 Anadarko Petroleum Corp. 5 232 Apache Corp. 3 238 Burlington Resources Inc. 3 193 ChevronTexaco Corp. 19 1,673 ConocoPhillips 12 809 Devon Energy Corp. 4 241 EOG Resources Inc. 2 96 Exxon Mobil Corp. 120 4,910 Kerr-McGee Corp. 2 84 Marathon Oil Corp. 6 186 Nabors Industries Ltd. (b) 3 110 Noble Corp. (b) 2 87 Occidental Petroleum Corp. 7 295 Rowan Cos. Inc. (b) 2 40 Sunoco Inc. 1 72 Transocean Inc. (b) 6 139 Unocal Corp. 5 173 9,665 Oil & Gas Services - 0.6% Baker Hughes Inc. 6 195 BJ Services Co. (b) 3 103 Halliburton Co. 8 207 Schlumberger Ltd. 11 580 1,085 Packaging & Containers - 0.1% Ball Corp. 1 56 Bemis Co. 1 45 Pactiv Corp. (b) 3 68 Sealed Air Corp. (b) 2 83 252 Pharmaceuticals - 7.1% Abbott Laboratories 28 1,320 Allergan Inc. 2 182 AmerisourceBergen Corp. 2 114 Bristol-Myers Squibb Co. 35 1,005 Cardinal Health Inc. 8 480 Eli Lilly & Co. 20 1,431 Express Scripts Inc. - Class A (b) 1 95 Forest Laboratories Inc. (b) 7 409 King Pharmaceuticals Inc. (b) 4 67 Medco Health Solutions Inc. (b) 5 166 Merck & Co. Inc. 40 1,863 Pfizer Inc. 138 4,885 Schering-Plough Corp. 27 463 Watson Pharmaceuticals Inc. (b) 2 90 Wyeth 24 1,024 13,594 Pipelines - 0.2% Dynegy Inc. - Class A (b) 7 30 El Paso Corp. 11 90 Kinder Morgan Inc. 2 132 Williams Cos. Inc. 9 92 344 Real Estate - 0.4% Apartment Investment & Management Co. 2 59 Equity Office Properties Trust 7 207 Equity Residential 5 147 ProLogis 3 105 Simon Property Group Inc. 3 161 679 Retail - 6.8% Autonation Inc. (b) 5 92 Autozone Inc. (b) 2 136 Bed Bath & Beyond Inc. (b) 5 233 Best Buy Co. Inc. 6 306 Big Lots Inc. (b) 2 31 Circuit City Stores Inc. - Circuit City Group 4 38 Costco Wholesale Corp. (b) 8 308 CVS Corp. 7 258 Darden Restaurants Inc. 3 63 Dillard's Inc. - Class A 2 25 Dollar General Corp. 6 128 Family Dollar Stores Inc. 3 112 Federated Department Stores Inc. 3 151 Gap Inc. 16 377 Home Depot Inc. 41 1,463 J.C. Penney Co. Inc. 5 130 Kohl's Corp. (b) 6 277 Limited Brands Inc. 9 169 Lowe's Cos. Inc. 14 789 May Department Stores Co. 5 152 McDonald's Corp. 23 571 Nordstrom Inc. 2 84 Office Depot Inc. (b) 6 95 RadioShack Corp. 3 91 Sears Roebuck & Co. 5 209 Staples Inc. (b) 9 245 Starbucks Corp. (b) 7 234 Target Corp. 17 634 Tiffany & Co. 3 120 TJX Cos. Inc. 9 201 Toys "R" Us Inc. (b) 4 49 Walgreen Co. 19 676 Wal-Mart Stores Inc. 78 4,160 Wendy's International Inc. 2 81 Yum! Brands Inc. (b) 5 183 12,871 Savings & Loans - 0.5% Golden West Financial Corp. 3 284 Washington Mutual Inc. 16 654 938 Semiconductors - 4.2% Advanced Micro Devices Inc. (b) 6 94 Altera Corp. (b) 7 156 Analog Devices Inc. (b) 7 304 Applied Materials Inc. (b) 30 677 Applied Micro Circuits Corp. (b) 6 33 Broadcom Corp. (b) 5 187 Intel Corp. 118 3,811 KLA-Tencor Corp. (b) 4 207 Linear Technology Corp. 6 238 LSI Logic Corp. (b) 7 61 Maxim Integrated Products Inc. 6 297 Micron Technology Inc. (b) 11 149 National Semiconductor Corp. (b) 3 129 Novellus Systems Inc. (b) 3 115 Nvidia Corp. (b) 3 68 PMC - Sierra Inc. (b) 3 63 QLogic Corp. (b) 2 88 Teradyne Inc. (b) 3 88 Texas Instruments Inc. 31 921 Xilinx Inc. (b) 6 240 7,926 Software - 5.1% Adobe Systems Inc. 4 166 Autodesk Inc. 2 52 Automatic Data Processing Inc. 11 427 BMC Software Inc. (b) 4 76 Citrix Systems Inc. (b) 3 63 Computer Associates International Inc. 10 287 Compuware Corp. (b) 7 42 Electronic Arts Inc. (b) 5 258 First Data Corp. 13 543 Fiserv Inc. (b) 4 139 IMS Health Inc. 4 108 Intuit Inc. (b) 4 190 Mercury Interactive Corp. (b) 2 79 Microsoft Corp. 196 5,395 Novell Inc. (b) 7 71 Oracle Corp. (b) 95 1,250 Parametric Technology Corp. (b) 5 19 PeopleSoft Inc. (b) 7 155 Siebel Systems Inc. (b) 9 125 Veritas Software Corp. (b) 8 288 9,733 Telecommunications - 2.8% Alltel Corp. 6 263 AT&T Corp. 14 291 BellSouth Corp. 33 948 CenturyTel Inc. 3 85 Citizens Communications Co. (b) 5 64 Qwest Communications International Inc. (b) 32 138 SBC Communications Inc. 60 1,564 Sprint Corp. - FON Group 16 269 Verizon Communications Inc. 50 1,755 5,377 Telecommunications Equipment - 2.1% ADC Telecommunications Inc. (b) 15 43 Andrew Corp. (b) 3 32 Avaya Inc. (b) 8 98 CIENA Corp. (b) 9 57 Cisco Systems Inc. (b) 125 3,038 Comverse Technology Inc. (b) 3 60 Corning Inc. (b) 24 251 JDS Uniphase Corp. (b) 26 95 Lucent Technologies Inc. (b) 76 216 Scientific-Atlanta Inc. 3 75 Tellabs Inc. (b) 8 64 4,029 Textiles - 0.1% Cintas Corp. 3 155 Tobacco - 1.2% Altria Group Inc. 37 2,003 RJ Reynolds Tobacco Holdings Inc. 2 89 UST Inc. 3 104 2,196 Toys & Hobbies - 0.1% Hasbro Inc. 3 67 Mattel Inc. 8 150 217 Transportation - 1.5% Burlington Northern Santa Fe Corp. 7 218 CSX Corp. 4 139 FedEx Corp. 5 365 Norfolk Southern Corp. 7 167 Ryder System Inc. 1 38 Union Pacific Corp. 5 321 United Parcel Service Inc. 20 1,519 2,767 Wireless Telecommunications - 1.3% AT&T Wireless Services Inc. (b) 49 393 Motorola Inc. 42 594 Nextel Communications Inc. (b) 20 559 Qualcomm Inc. 14 782 Sprint Corp. - PCS Group (b) 19 105 2,433 Total Common Stocks (cost $166,794) 186,278 Short Term Investments - 1.8% Money Market Funds - 1.3% Reich & Tang Institutional Money Market Portfolio - Class B, 0.957% (a) 335 335 Reich & Tang Institutional U.S. Treasury Portfolio - Class B, 0.744% (a) 2,070 2,070 2,405 U.S. Treasury Bills - 0.5% U.S. Treasury Bill, 0.895%, 03/11/04 (l) 1,000 998 Total Short Term Investments (cost $3,403) 3,403 Total Investments - 99.7% (cost $170,197) 189,681 Other Assets and Liabilities, Net - 0.3% 657 Total Net Assets - 100% 190,338 JNL/Curian Small Cap Index Fund Common Stocks - 93.2% Advertising - 0.3% Advo Inc. 2 75 Catalina Marketing Corp. (b) 3 61 Grey Global Group Inc. - 40 R.H. Donnelley Corp. (b) 2 63 ValueVision Media Inc. - Class A (b) 2 26 265 Aerospace & Defense - 1.1% AAR Corp. (b) 2 36 Armor Holdings Inc. (b) 2 42 Curtiss-Wright Corp. 1 60 DRS Technologies Inc. (b) 2 54 Ducommun Inc. (b) 1 16 EDO Corp. 1 28 Engineered Support Systems Inc. 1 77 Esterline Technologies Corp. (b) 2 43 GenCorp Inc. 2 25 Heico Corp. 1 21 Herley Industries Inc. (b) 1 19 Kaman Corp. - Class A 2 24 Moog Inc. - Class A (b) 1 58 MTC Technologies Inc. (b) - 15 Orbital Sciences Corp. (b) 4 48 Sequa Corp. - Class A (b) - 14 Teledyne Technologies Inc. (b) 3 49 Titan Corp. (b) 6 139 Triumph Group Inc. (b) 1 41 United Industrial Corp. 1 15 824 Agriculture - 0.2% Alico Inc. - 14 Delta & Pine Land Co. 3 76 Maui Land & Pineapple Co. Inc. (b) - 7 Tejon Ranch Co. (b) 1 21 118 Airlines - 0.9% Airtran Holdings Inc. (b) 6 73 Alaska Air Group Inc. (b) 2 52 America West Holdings Corp. - Class B (b) 3 32 AMR Corp. (b) 13 165 Atlantic Coast Airlines Holdings Inc. (b) 3 34 Continental Airlines Inc. (b) 5 86 ExpressJet Holdings Inc. (b) 3 39 Frontier Airlines Inc. (b) 3 39 Mair Holdings Inc. (b) 1 7 Mesa Air Group Inc. (b) 2 28 Midwest Express Holdings Inc. (b) 1 4 Northwest Airlines Corp. (b) 5 62 SkyWest Inc. 5 84 705 Alternative Energy - 0.1% FuelCell Energy Inc. (b) 3 37 Headwaters Inc. (b) 2 45 KFX Inc. (b) 2 13 Plug Power Inc. (b) 3 18 113 Apparel - 0.9% Cherokee Inc. 1 11 DHB Industries Inc. (b) 2 14 Guess Inc. (b) 1 8 Gymboree Corp. (b) 2 42 Kellwood Co. 2 85 K-Swiss Inc. - Class A 2 49 Maxwell Shoe Co. Inc. - Class A (b) 1 18 Oshkosh B'Gosh Inc. - Class A 1 15 Oxford Industries Inc. 1 35 Perry Ellis International Inc. (b) - 8 Phillips-Van Heusen 2 38 Quiksilver Inc. (b) 4 77 Russell Corp. 2 38 Skechers U.S.A. Inc. - Class A (b) 1 10 Steven Madden Ltd. (b) 1 15 Stride Rite Corp. 3 29 Unifi Inc. (b) 4 25 Vans Inc. (b) 2 19 Warnaco Group Inc. (b) 3 46 Weyco Group Inc. - 5 Wolverine World Wide Inc. 3 63 650 Auto Manufacturers - 0.3% ASV Inc. (b) 1 25 Oshkosh Truck Corp. 2 122 Wabash National Corp. (b) 2 65 212 Auto Parts & Equipment - 0.8% Aftermarket Technology Corp. (b) 1 14 Bandag Inc. 1 35 Collins & Aikman Corp. (b) 4 16 Cooper Tire & Rubber Co. 5 110 Dura Automotive Systems Inc. (b) 1 16 Goodyear Tire & Rubber Co. (b) 12 95 Keystone Automotive Industries Inc. (b) 1 22 Modine Manufacturing Co. 2 51 Raytech Corp. (b) 2 7 Spartan Motors Inc. - 4 Sports Resorts International Inc. (b) 1 4 Standard Motor Products Inc. - 3 Strattec Security Corp. (b) - 15 Superior Industries International Inc. 2 74 Tenneco Automotive Inc. (b) 3 21 Tower Automotive Inc. (b) 4 28 Visteon Corp. 10 104 619 Banks - 7.8% 1st Source Corp. 1 20 ABC Bancorp. 1 10 Alabama National Bancorp. 1 39 Allegiant Bancorp. Inc. 1 28 Amcore Financial Inc. 2 55 American National Bankshares Inc. - 10 AmericanWest Bancorp. (b) 1 21 Arrow Financial Corp. 1 23 Banc Corp. (b) 1 7 Bancfirst Corp. - 21 BancTrust Financial Group Inc. 1 13 Bank of Granite Corp. 1 22 Bank of the Ozarks Inc. 1 19 Banner Corp. 1 20 Boston Private Financial Holdings Inc. 2 42 Bryn Mawr Bank Corp. 1 15 BSB Bancorp. Inc. 1 25 C&F Financial Corp. - 10 Camden National Corp. 1 24 Capital City Bank Group Inc. 1 36 Capital Corp. of the West (b) - 18 Capitol Bancorp. Ltd. 1 26 Cascade Bancorp. 1 23 Cathay Bancorp. Inc. 2 94 Cavalry Bancorp Inc. - 5 CB Bancshares Inc. - 25 CCBT Financial Cos. Inc. 1 23 Center Bancorp Inc. - 8 Central Coast Bancorp. (b) - 5 Central Pacific Financial Corp. 1 37 Century Bancorp Inc. - Class A - 13 Chemical Financial Corp. 2 70 Chittenden Corp. 3 99 Citizens Banking Corp. 4 120 City Bank Lynnwood 1 20 City Holding Co. 1 45 CNB Financial Corp. - 7 CoBiz Inc. 1 16 Columbia Bancorp. 1 27 Columbia Banking Systems Inc. 1 22 Community Bank - 9 Community Bank System Inc. 1 46 Community Banks Inc. 1 27 Community First Bankshares Inc. 3 91 Community Trust Bancorp. Inc. 1 34 Corus Bankshares Inc. 1 37 CVB Financial Corp. 3 59 East-West Bancorp. Inc. 2 105 Farmers Capital Bank Corp. - 14 Financial Institutions Inc. 1 17 First Bancorp. 1 23 First Busey Corp. - Class A 1 23 First Charter Corp. 3 49 First Citizens BancShares Inc. - Class A 1 63 First Commonwealth Financial Corp. 5 70 First Community Bancorp. 1 38 First Community Bancshares Inc. 1 27 First Financial Bancorp. 3 42 First Financial Bankshares Inc. 1 46 First Financial Corp. 1 36 First Indiana Corp. 1 21 First M&F Corp. - 6 First Merchants Corp. 2 40 First National Corp. 1 18 First Oak Brook Bancshares Inc. 1 16 First of Long Island Corp. - 15 First Republic Bank 1 29 First South Bancorp. Inc. - 5 First State Bancorp. - 17 First United Corp. - 4 Firstbank Corp. - 9 FNB Corp. - 13 Franklin Financial Corp. - 6 Fremont General Corp. 5 84 Frontier Financial Corp. 1 36 German American Bancorp. 1 10 Glacier Bancorp. Inc. 1 46 Gold Bancorp. Inc. 3 42 Great Southern Bancorp. Inc. - 19 Greater Bay Bancorp. 4 123 Hancock Holding Co. 1 63 Hanmi Financial Corp. 1 13 Harleysville National Corp. 2 57 Heartland Financial USA Inc. 1 16 Heritage Commerce Corp. (b) 1 14 Humboldt Bancorp. 1 17 IBERIABANK Corp. 1 34 IBT Bancorp. Inc. - 16 Independent Bank Corp. 1 32 Independent Bank Corp. - MI 1 41 Integra Bank Corp. 1 22 Interchange Financial Services Corp. 1 27 Irwin Financial Corp. 1 40 Lakeland Bancorp. Inc. 1 16 Lakeland Financial Corp. - 11 LNB Bancorp. Inc. - 5 Local Financial Corp. (b) 2 31 LSB Bancshares Inc. 1 13 Macatawa Bank Corp. 1 19 Main Street Banks Inc. 1 33 MainSource Financial Group Inc. - 8 MB Financial Corp. 1 52 MBT Financial Corp. - 8 Mercantile Bank Corp. 1 23 Merchants Bancshares Inc. - 5 Mid-State Bancshares 2 44 Midwest Banc Holdings Inc. 1 20 Nara Bancorp Inc. 1 21 National Bankshares Inc. - 8 National Penn Bancshares Inc. 2 58 NBC Capital Corp. 1 14 NBT Bancorp. Inc. 3 55 Old Second Bancorp. Inc. - 23 Omega Financial Corp. 1 29 Oriental Financial Group Inc. 1 28 PAB Bankshares Inc. 1 8 Pacific Capital Bancorp. 3 108 Pacific Union Bank - 9 Peapack Gladstone Financial Corp. 1 20 Pennrock Financial Services Corp. 1 22 Penns Woods Bancorp. Inc. - 16 Peoples Bancorp. Inc. 1 29 Peoples Holding Co. 1 24 PrivateBancorp Inc. 1 24 Prosperity Bancshares Inc. 1 25 Provident Bankshares Corp. 2 57 R&G Financial Corp. - Class B 2 62 Republic Bancorp. Inc. 5 63 Republic Bancorp. Inc. - Class A 1 15 Republic Bancshares Inc. 1 24 Resource Bankshares Corp. - 8 Riggs National Corp. 1 23 Royal Bancshares of Pennsylvania - Class A - 9 S&T Bancorp. Inc. 2 66 S.Y. Bancorp. Inc. 1 17 Sandy Spring Bancorp. Inc. 1 45 Santander BanCorp. 1 13 Seacoast Banking Corp. 1 15 Second Bancorp. Inc. 1 17 Sierra Bancorp. - 7 Silicon Valley Bancshares (b) 2 89 Simmons First National Corp. - Class A 1 37 South Financial Group Inc. 4 122 Southern Financial Bancorp. Inc. - 20 Southside Bancshares Inc. 1 12 Southwest Bancorp. Inc. 1 19 Southwest Bancorp. of Texas Inc. 2 94 State Bancorp. Inc. 1 15 State Financial Services Corp. - 7 Sterling Bancorp. - NYS 1 29 Sterling Bancshares Inc. 3 40 Sterling Financial Corp. 2 43 Suffolk Bancorp. 1 35 Summit Bancshares Inc. 1 17 Sun Bancorp. Inc. (b) 1 15 Sun Bancorp. Inc. 1 13 Susquehanna Bancshares Inc. 3 83 Taylor Capital Group Inc. - 8 Texas Regional Bancshares Inc. - Class A 2 74 Tompkins Trustco Inc. 1 27 Trico Bancshares 1 16 Trust Co. of New Jersey 2 60 TrustCo Bancorp. 6 84 UCBH Holdings Inc. 4 139 UMB Financial Corp. 1 60 Umpqua Holdings Corp. 2 47 Union Bankshares Corp. 1 23 United Community Banks Inc. 1 48 United National Bancorp. 1 46 Unizan Financial Corp. 2 37 USB Holding Co. Inc. 1 22 Virginia Financial Group Inc. - 16 W Holding Co. Inc. 6 107 Washington Trust Bancorp. Inc. 1 30 Wayne Bancorp. Inc. - 9 WesBanco Inc. 1 39 West Bancorp. 1 16 West Coast Bancorp. 1 31 Wintrust Financial Corp. 2 69 Yardville National Bancorp. 1 16 5,934 Beverages - 0.1% Boston Beer Co. Inc. - Class A (b) 1 14 Coca-Cola Bottling Co. Consolidated - 14 Farmer Bros. Co. - 12 Green Mountain Coffee Roasters Inc. (b) - 8 National Beverage Corp. (b) - 6 Peet's Coffee & Tea Inc. (b) 1 13 Robert Mondavi Corp. - Class A (b) 1 26 93 Biotechnology - 1.9% Aclara BioSciences Inc. (b) 2 7 Aksys Ltd. (b) 3 23 Alexion Pharmaceuticals Inc. (b) 2 29 Aphton Corp. (b) 2 10 Applera Corp. - Celera Genomics Group (b) 6 79 Arena Pharmaceuticals Inc. (b) 2 10 Ariad Pharmaceuticals Inc. (b) 3 25 Avant Immunotherapeutics Inc. (b) 4 11 Cambrex Corp. 2 39 Cell Genesys Inc. (b) 3 37 Ciphergen Biosystems Inc. (b) 2 25 CryoLife Inc. (b) 1 7 CuraGen Corp. (b) 4 28 Decode Genetics Inc. (b) 3 28 Digene Corp. (b) 1 45 Diversa Corp. (b) 2 18 Embrex Inc. (b) - 4 Encysive Pharmaceuticals Inc. (b) 4 32 Enzo Biochem Inc. (b) 2 30 Enzon Pharmaceuticals Inc. (b) 4 44 Exact Sciences Corp. (b) 1 9 Exelixis Inc. (b) 4 26 Gene Logic Inc. (b) 2 11 Genencor International Inc. (b) 1 12 Geron Corp. (b) 3 25 Harvard Bioscience Inc. (b) 1 5 Immunogen Inc. (b) 3 15 Immunomedics Inc. (b) 3 13 Incyte Corp. (b) 6 44 Integra LifeSciences Holdings Corp. (b) 1 42 InterMune Inc. (b) 2 48 Interpore International (b) 1 16 Kosan Biosciences Inc. (b) 2 16 Lexicon Genetics Inc. (b) 3 18 Martek Biosciences Corp. (b) 2 118 Maxygen Inc. (b) 2 23 Myriad Genetics Inc. (b) 2 31 Nektar Therapeutics Inc. (b) 4 52 Neose Technologies Inc. (b) 1 11 Peregrine Pharmaceuticals Inc. (b) 8 18 Praecis Pharmaceuticals Inc. (b) 4 26 Regeneration Technologies Inc. (b) 2 24 Regeneron Pharmaceuticals Inc. (b) 3 43 Repligen Corp. (b) 3 14 Savient Pharmaceuticals Inc. (b) 4 20 Seattle Genetics Inc. (b) 2 18 Serologicals Corp. (b) 2 33 SuperGen Inc. (b) 3 32 Telik Inc. (b) 3 59 Third Wave Technologies Inc. (b) 3 14 Transkaryotic Therapies Inc. (b) 2 39 Vertex Pharmaceuticals Inc. (b) 6 62 Vical Inc. (b) 1 4 1,472 Building Materials - 0.9% Aaon Inc. (b) 1 15 Apogee Enterprises Inc. 2 21 Centex Construction Products Inc. 1 30 Drew Industries Inc. (b) 1 15 ElkCorp. 2 46 Genlyte Group Inc. (b) 1 54 Lennox International Inc. 3 57 LSI Industries Inc. 1 19 NCI Building Systems Inc. (b) 2 39 Simpson Manufacturing Co. Inc. (b) 1 60 Texas Industries Inc. 2 66 Trex Co. Inc. (b) 1 21 Universal Forest Products Inc. 1 36 US Concrete Inc. (b) 1 6 USG Corp. (b) 3 50 York International Corp. 3 119 654 Chemicals - 2.1% A. Schulman Inc. 2 52 Aceto Corp. 1 22 Albemarle Corp. 3 76 Arch Chemicals Inc. 2 41 Cabot Microelectronics Corp. (b) 1 73 Crompton Corp. 9 67 Ethyl Corp. (b) 1 30 Ferro Corp. 3 76 FMC Corp. (b) 3 95 Georgia Gulf Corp. 2 63 Great Lakes Chemical Corp. 3 76 HB Fuller Co. 2 68 Hercules Inc. (b) 7 87 IMC Global Inc. 8 84 Kronos Worldwide Inc. (b) - 8 MacDermid Inc. 2 73 Millennium Chemicals Inc. 5 64 Minerals Technologies Inc. 1 82 NL Industries 1 8 Octel Corp. 1 13 Olin Corp. 4 86 OM Group Inc. (b) 2 57 Omnova Solutions Inc. (b) 3 15 Penford Corp. - 4 PolyOne Corp. (b) 8 48 Quaker Chemical Corp. 1 19 Sensient Technologies Corp. 3 62 Solutia Inc. (b) 8 3 Spartech Corp. 2 46 Stepan Co. - 10 Symyx Technologies Inc. (b) 2 36 Valhi Inc. 2 35 W.R. Grace & Co. (b) 5 13 Wellman Inc. 2 24 1,616 Commercial Services - 3.8% Aaron Rents Inc. 2 41 ABM Industries Inc. 3 48 Administaff Inc. (b) 1 25 Advisory Board Co. (b) 1 30 Albany Molecular Research Inc. (b) 2 31 Alderwoods Group Inc. (b) 3 27 AMN Healthcare Services Inc. (b) 1 16 Arbitron Inc. (b) 2 99 Bankrate Inc. (b) - 4 Banta Corp. 2 73 Bowne & Co. Inc. 3 38 Bright Horizons Family Solutions Inc. (b) 1 38 CDI Corp. 1 31 Central Parking Corp. 2 26 Century Business Services Inc. (b) 6 28 Charles River Associates Inc. (b) 1 23 Clark Inc. (b) 1 24 Coinstar Inc. (b) 2 36 Consolidated Graphics Inc. (b) 1 30 Cornell Cos. Inc. (b) 1 14 Corrections Corp. of America (b) 3 79 Corvel Corp. (b) - 17 CoStar Group Inc. (b) 1 42 CPI Corp. - 9 Cross Country Healthcare Inc. (b) 2 26 Dollar Thrifty Automotive Group (b) 2 47 Electro Rent Corp. (b) 2 20 Euronet Worldwide Inc. (b) 1 22 Exult Inc. (b) 2 17 First Consulting Group Inc. (b) 2 11 Forrester Research Inc. (b) 1 22 FTI Consulting Inc. (b) 3 77 Gartner Inc. (b) 5 60 Gevity HR Inc. 1 23 Healthcare Services Group 1 15 Heidrick & Struggles International Inc. (b) 1 27 Hooper Holmes Inc. 5 31 Hudson Highland Group Inc. (b) 1 15 ICT Group Inc. (b) - 6 Insurance Auto Auctions Inc. (b) 1 7 Integrated Electrical Services Inc. (b) 3 28 iPayment Holdings Inc. (b) 1 19 Kelly Services Inc. - Class A 1 35 Korn/Ferry International (b) 3 37 Kroll Inc. (b) 3 75 Labor Ready Inc. (b) 3 45 Landauer Inc. 1 24 Learning Tree International Inc. (b) 1 16 Mail-Well Inc. (b) 3 12 MAXIMUS Inc. (b) 1 52 McGrath Rentcorp. 1 16 Medical Staffing Network Holdings Inc. (b) 1 11 MedQuist Inc. (b) 1 12 Memberworks Inc. (b) 1 20 Midas Inc. (b) 1 16 Monro Muffler Brake Inc. (b) 1 14 MPS Group Inc. (b) 7 69 National Processing Inc. (b) 1 17 Navigant Consulting Inc. (b) 3 62 NCO Group Inc. (b) 2 36 Parexel International Corp. (b) 2 34 PDI Inc. (b) 1 15 Plexus Corp. (b) 3 54 Pre-Paid Legal Services Inc. (b) 1 36 PRG-Schultz International Inc. (b) 3 15 Princeton Review Inc. (b) 1 10 Proxymed Inc. (b) - 9 Quanta Services Inc. (b) 6 43 Rent-Way Inc. (b) 2 19 Resources Connection Inc. (b) 2 45 Rewards Network Inc. (b) 2 18 Right Management Consultants Inc. (b) 2 29 Rollins Inc. 2 39 Roto-Rooter Inc. 1 31 SFBC International Inc. (b) - 12 SM&A Inc. (b) 1 14 Sotheby's Holdings Inc. - Class A (b) 4 48 Source Interlink Cos. Inc. (b) 1 9 SOURCECORP Inc. (b) 1 32 Spherion Corp. (b) 5 45 Startek Inc. 1 33 Stewart Enterprises Inc. - Class A (b) 9 49 Strayer Education Inc. 1 92 Sylvan Learning Systems Inc. (b) 3 79 TeleTech Holdings Inc. (b) 3 31 United Rentals Inc. (b) 4 81 Volt Information Sciences Inc. (b) 1 15 Wackenhut Corrections Corp. (b) 1 20 Watson Wyatt & Co. Holdings (b) 2 60 Wireless Facilities Inc. (b) 2 33 2,921 Computers - 2.9% 3D Systems Corp. (b) - 2 ActivCard Corp. (b) 3 25 Advanced Digital Information Corp. (b) 5 69 Agilysys Inc. 2 23 Ansoft Corp. (b) 1 8 Anteon International Corp. (b) 2 56 CACI International Inc. - Class A (b) 2 113 CapitalSource Inc. (b) 1 5 Catapult Communications Corp. (b) 1 8 Ciber Inc. (b) 4 34 Compucom Systems Inc. (b) 1 7 Computer Horizons Corp. (b) 2 10 Cray Inc. (b) 5 56 Cyberguard Corp. (b) 1 7 Digimarc Corp. (b) 1 9 Dot Hill Systems Corp. (b) 3 42 Drexler Technology Corp. (b) 1 9 Echelon Corp. (b) 3 28 Electronics for Imaging Inc. (b) 4 91 EMC Corp. (b) 8 99 Gateway Inc. (b) 17 79 Hutchinson Technology Inc. (b) 2 56 iGate Capital Corp. (b) 2 14 InFocus Corp. (b) 3 26 Inforte Corp. (b) 1 8 Integral Systems Inc. (b) 1 17 Intergraph Corp. (b) 3 78 InterVoice Inc. (b) 3 37 Iomega Corp. (b) 5 29 Komag Inc. (b) 2 30 Kronos Inc. (b) 2 93 Lexar Media Inc. (b) 5 85 Magma Design Automation Inc. (b) 2 43 Manhattan Associates Inc. (b) 2 50 Mentor Graphics Corp. (b) 5 78 Mercury Computer Systems Inc. (b) 2 46 Micros Systems Inc. (b) 1 58 MTS Systems Corp. 2 33 Nassda Corp. (b) 1 7 Neoware Systems Inc. (b) 1 19 Netscout Systems Inc. (b) 2 14 Nuance Communications Inc. (b) 1 8 NYFIX Inc. (b) 2 16 Overland Storage Inc. (b) 1 14 PalmOne Inc. (b) 3 33 Pec Solutions Inc. (b) 1 10 Perot Systems Corp. (b) 6 78 Pomeroy Computer Resources (b) 1 13 Quantum Corp. (b) 11 35 Radiant Systems Inc. (b) 1 10 RadiSys Corp. (b) 2 28 Rainbow Technologies Inc. (b) 2 20 Sigma Designs Inc. (b) 1 10 Silicon Graphics Inc. (b) 12 17 Silicon Storage Technology Inc. (b) 6 70 SRA International Inc. - Class A (b) 1 31 Stratasys Inc. (b) 1 22 SYKES Enterprises Inc. (b) 2 15 Synaptics Inc. (b) 1 22 Synplicity Inc. (b) 1 11 Syntel Inc. 1 14 Systems & Computer Technology Corp. (b) 3 44 Talx Corp. 1 24 Tier Technologies Inc. - Class B (b) 1 11 Tyler Technologies Inc. (b) 3 29 2,185 Cosmetics & Personal Care - 0.1% Chattem Inc. (b) 1 24 DEL Laboratories Inc. (b) 1 14 Elizabeth Arden Inc. (b) 1 26 64 Distribution & Wholesale - 0.7% Advanced Marketing Services Inc. 1 13 Aviall Inc. (b) 2 37 Building Material Holding Corp. 1 13 Central European Distribution Corp. (b) 1 19 Handleman Co. 2 36 Hughes Supply Inc. 2 92 Owens & Minor Inc. 3 56 ScanSource Inc. (b) 1 44 SCP Pool Corp. (b) 2 76 United Stationers Inc. (b) 2 101 Watsco Inc. 2 38 WESCO International Inc. (b) 1 11 536 Diversified Financial Services - 1.2% Accredited Home Lenders Holding Co. (b) 1 23 Advanta Corp. - Class B 2 21 Affiliated Managers Group Inc. (b) 2 119 Bay View Capital Corp. 5 10 Charter Municipal Mortgage Acceptance Co. 3 69 CompuCredit Corp. (b) 1 26 Credit Acceptance Corp. (b) 1 19 eSPEED Inc. (b) 2 46 Federal Agricultural Mortgage Corp. - Class C (b) 1 20 Financial Federal Corp. (b) 1 37 First Albany Cos. Inc. 1 8 Gabelli Asset Management Inc. - Class A - 18 Investment Technology Group Inc. (b) 4 61 Knight Trading Group Inc. (b) 6 85 Metris Cos. Inc. 2 11 New Century Financial Corp. 2 91 Portfolio Recovery Associates Inc. (b) 1 25 Sanders Morris Harris Group Inc. 1 16 Saxon Capital Inc. (b) 2 46 SoundView Technology Group Inc. (b) 1 20 SWS Group Inc. 1 23 United PanAm Financial Corp. (b) - 7 West Corp. 1 41 WFS Financial Inc. (b) 1 40 World Acceptance Corp. (b) 1 25 907 Electric - 1.5% Allegheny Energy Inc. (b) 10 130 Avista Corp. 4 68 Black Hills Corp. 2 74 Central Vermont Public Service Corp. 1 26 CH Energy Group Inc. 1 55 Cleco Corp. 4 64 CMS Energy Corp. (b) 11 93 El Paso Electric Co. (b) 4 54 Empire District Electric Co. 2 42 Idacorp Inc. 3 92 MGE Energy Inc. 1 46 Otter Tail Corp. 2 52 PNM Resources Inc. 3 89 Sierra Pacific Resources (b) 9 68 UIL Holdings Corp. 1 44 Unisource Energy Corp. 2 59 Westar Energy Inc. 5 111 1,167 Electrical Components & Equipment - 0.8% Advanced Energy Industries Inc. (b) 1 37 Artesyn Technologies Inc. (b) 3 22 Belden Inc. 2 40 C&D Technologies Inc. 2 35 Encore Wire Corp. (b) 1 17 Energy Conversion Devices Inc. (b) 1 11 General Cable Corp. (b) 3 21 GrafTech International Ltd. (b) 7 91 Intermagnetics General Corp. (b) 1 28 Littelfuse Inc. (b) 2 48 Magnetek Inc. (b) 1 5 Medis Technologies Ltd. (b) 1 10 Powell Industries Inc. (b) 1 10 Power-One Inc. (b) 5 55 Rayovac Corp. (b) 3 60 Research Frontiers Inc. (b) 1 11 Superconductor Technologies (b) 4 22 Universal Display Corp. (b) 1 17 Valence Technology Inc. (b) 5 18 Vicor Corp. (b) 2 20 Wilson Greatbatch Technologies Inc. (b) 2 67 645 Electronics - 2.7% Analogic Corp. 1 24 BEI Technologies Inc. 1 19 Bel Fuse Inc. - Class B 1 28 Benchmark Electronics Inc. (b) 3 103 Brady Corp. - Class A 2 61 Checkpoint Systems Inc. (b) 3 50 Coherent Inc. (b) 2 55 CTS Corp. 3 30 Cubic Corp. 1 32 Cymer Inc. (b) 3 129 Daktronics Inc. (b) 1 30 Dionex Corp. (b) 1 61 Electro Scientific Industries Inc. (b) 2 51 Excel Technology Inc. (b) 1 28 Fargo Electronics Inc. (b) 1 12 FEI Co. (b) 2 46 Flir Systems Inc. (b) 3 94 Identix Inc. (b) 7 31 Ii-Vi Inc. (b) 1 26 Innovex Inc. (b) 1 12 Invision Technologies Inc. (b) 1 49 Itron Inc. (b) 2 28 Keithley Instruments Inc. 1 19 Kemet Corp. (b) 7 94 LeCroy Corp. (b) 1 9 Manufacturers Services Ltd. (b) 2 9 Merix Corp. (b) - 4 Methode Electronics Inc. 3 31 Metrologic Instruments Inc. (b) 1 20 Molecular Devices Corp. (b) 1 24 OSI Systems Inc. (b) 1 18 Park Electrochemical Corp. 1 38 Paxar Corp. (b) 3 34 Pemstar Inc. (b) 2 5 Photon Dynamics Inc. (b) 1 52 Planar Systems Inc. (b) 1 29 Rofin-Sinar Technologies Inc. (b) 1 32 Rogers Corp. (b) 1 56 SAFLINK Corp. (b) 2 5 SBS Technologies Inc. (b) 1 21 Sonic Solutions Inc. (b) 1 22 Stoneridge Inc. (b) 1 15 Sypris Solutions Inc. - 6 Technitrol Inc. (b) 3 66 Thomas & Betts Corp. 3 77 Trimble Navigation Ltd. (b) 3 93 TTM Technologies Inc. (b) 2 29 Varian Inc. (b) 2 97 Watts Industries Inc. 1 21 Woodhead Industries Inc. 1 14 Woodward Governor Co. 1 43 X-Rite Inc. 2 22 Zygo Corp. (b) 1 24 2,028 Engineering & Construction - 0.5% Dycom Industries Inc. (b) 4 103 EMCOR Group Inc. (b) 1 50 Granite Construction Inc. 3 60 Insituform Technologies Inc. (b) 2 33 Perini Corp. (b) 2 14 URS Corp. (b) 1 34 Washington Group International Inc. (b) 2 64 358 Entertainment - 0.9% Alliance Gaming Corp. (b) 4 97 AMC Entertainment Inc. (b) 3 38 Argosy Gaming Co. (b) 2 52 Carmike Cinemas Inc. (b) - 4 Championship Auto Racing Teams Inc. (b) 1 - Churchill Downs Inc. - 15 Dover Downs Gaming & Entertainment Inc. 1 10 Dover Motorsports Inc. 2 5 Gaylord Entertainment Co. (b) 1 32 Isle of Capri Casinos Inc. (b) 1 28 Macrovision Corp. (b) 3 73 Magna Entertainment Corp. (b) 3 14 Penn National Gaming Inc. (b) 2 55 Pinnacle Entertainment Inc. (b) 2 17 Scientific Games Corp. - Class A (b) 4 65 Shuffle Master Inc. (b) 1 46 Six Flags Inc. (b) 7 53 Speedway Motorsports Inc. 1 35 Steinway Musical Instruments (b) - 9 Vail Resorts Inc. (b) 2 28 676 Environmental Control - 0.5% BHA Group Holdings Inc. - 8 Calgon Carbon Corp. 3 20 Casella Waste Systems Inc. (b) 1 14 Clean Harbors Inc. (b) - 4 Duratek Inc. (b) 1 10 Gundle/Slt Environmental Inc. (b) - 8 Ionics Inc. (b) 1 47 Mine Safety Appliances Co. - 37 Tetra Tech Inc. (b) 4 100 TRC Cos. Inc. (b) 1 19 Waste Connections Inc. (b) 2 89 356 Food - 1.1% American Italian Pasta Co. (b) 1 53 Arden Group Inc. - Class A - 5 Chiquita Brands International Inc. (b) 3 61 Corn Products International Inc. 3 100 Flowers Foods Inc. 2 64 Great Atlantic & Pacific Tea Co. Inc. (b) 2 14 Hain Celestial Group Inc. (b) 2 44 Horizon Organic Holding Corp. (b) 1 13 Ingles Markets Inc. - Class A - 5 International Multifoods Corp. (b) 1 25 Interstate Bakeries 4 50 J&J Snack Foods Corp. (b) - 17 John B. Sanfilippo & Son (b) 1 26 Lance Inc. 2 34 M&F Worldwide Corp. (b) 1 11 Monterey Pasta Co. (b) 1 4 Nash Finch Co. 1 18 Pathmark Stores Inc. (b) 2 15 Pilgrims Pride Corp. - Class B 1 21 Ralcorp Holdings Inc. (b) 2 71 Riviana Foods Inc. 1 17 Ruddick Corp. 3 46 Sanderson Farms Inc. 1 22 Seaboard Corp. - 8 United Natural Foods Inc. (b) 2 55 Weis Markets Inc. 1 34 Wild Oats Markets Inc. (b) 2 25 858 Forest Products & Paper - 0.7% Buckeye Technologies Inc. (b) 2 22 Caraustar Industries Inc. (b) 2 34 Deltic Timber Corp. 1 21 Longview Fibre Co. 4 52 Louisiana-Pacific Corp. (b) 8 151 P.H. Glatfelter Co. 2 29 Pope & Talbot Inc. 2 27 Potlatch Corp. 2 73 Rock-Tenn Co. - Class A 2 32 Schweitzer-Mauduit International Inc. 1 32 Wausau-Mosinee Paper Corp. 3 41 514 Gas - 0.9% Atmos Energy Corp. 4 93 Cascade Natural Gas Corp. 1 23 Chesapeake Utilities Corp. - 8 Energen Corp. 3 122 EnergySouth Inc. - 14 Laclede Group Inc. 1 40 New Jersey Resources Corp. 2 82 Northwest Natural Gas Co. 2 59 NUI Corp. 1 24 SEMCO Energy Inc. 2 11 South Jersey Industries Inc. 1 39 Southern Union Co. (b) 5 83 Southwest Gas Corp. 2 55 653 Hand & Machine Tools - 0.4% Baldor Electric Co. 2 55 Franklin Electric Co. Inc. 1 35 Kennametal Inc. 3 107 Lincoln Electric Holdings Inc. 3 64 Milacron Inc. 4 15 Regal-Beloit Corp. 2 46 Starrett (L.S.) Co. - Class A - 7 329 Healthcare - 5.9% Advanced Medical Optics Inc. (b) 2 46 Advanced Neuromodulation Systems Inc. (b) 1 66 Alaris Medical Inc. (b) 2 24 Align Technology Inc. (b) 4 58 Alliance Imaging Inc. (b) - 1 American Healthways Inc. (b) 2 52 American Medical Security Group Inc. (b) 1 24 American Medical Systems Holdings Inc. (b) 2 34 AMERIGROUP Corp. (b) 2 80 Amsurg Corp. (b) 1 53 Arrow International Inc. 2 44 Arthrocare Corp. (b) 1 35 Aspect Medical Systems Inc. (b) 1 8 Beverly Enterprises Inc. (b) 7 63 Biolase Technology Inc. (b) 1 24 Bioreliance Corp. (b) 1 25 Biosite Inc. (b) 1 28 Bruker BioSciences Corp. (b) 2 8 Candela Corp. (b) 1 13 Cantel Medical Corp. (b) 1 9 Cardiac Science Inc. (b) 4 17 Cardiodynamics International Corp. (b) 3 18 Centene Corp. (b) 1 41 Cepheid Inc. (b) 3 25 Cerus Corp. (b) 1 3 Cholestech Corp. (b) 1 8 Chronimed Inc. (b) 1 13 Closure Medical Corp. (b) - 15 Columbia Laboratories Inc. (b) 2 14 Conceptus Inc. (b) 2 18 CONMED Corp. (b) 2 59 Cooper Cos. Inc. 2 117 Covance Inc. (b) 5 132 CTI Molecular Imaging Inc. (b) 2 34 Curative Health Services Inc. (b) 1 12 Cyberonics Inc. (b) 2 52 Cytyc Corp. (b) 9 124 Dade Behring Holdings Inc. (b) 3 111 Datascope Corp. 1 33 Diagnostic Products Corp. 2 73 DJ Orthopedics Inc. (b) 1 17 Dynacq Healthcare Inc. (b) - 3 Epix Medical Inc. (b) 1 17 Exactech Inc. (b) - 7 Genesis HealthCare Corp. (b) 1 21 Gen-Probe Inc. (b) 4 138 Gentiva Health Services Inc. (b) 2 24 Haemonetics Corp. (b) 1 27 Hanger Orthopedic Group Inc. (b) 2 24 Hologic Inc. (b) 1 25 ICU Medical Inc. (b) 1 32 Igen International Inc. (b) 1 85 Immucor Inc. (b) 2 31 Inamed Corp. (b) 2 104 Intuitive Surgical Inc. (b) 2 29 Invacare Corp. 2 82 Inveresk Research Group Inc. (b) 2 59 Inverness Medical Innovations Inc. (b) 1 18 I-Stat Corp. (b) 1 19 Kensey Nash Corp. (b) 1 14 Kindred Healthcare Inc. (b) 1 50 Kyphon Inc. (b) 2 39 LabOne Inc. (b) 1 22 Laserscope (b) 1 19 Lifecore Biomedical Inc. (b) 1 5 Lifeline Systems Inc. (b) 1 13 LifePoint Hospitals Inc. (b) 3 86 Luminex Corp. (b) 2 20 Matria Healthcare Inc. (b) 1 20 Medical Action Industries Inc. (b) 1 16 Mentor Corp. 3 77 Meridian Bioscience Inc. 1 12 Merit Medical Systems Inc. (b) 2 39 Micro Therapeutics Inc. (b) 1 3 National Healthcare Corp. (b) 1 13 Novoste Corp. (b) 1 4 Oakley Inc. 2 25 Ocular Sciences Inc. (b) 2 45 Odyssey HealthCare Inc. (b) 3 74 Option Care Inc. (b) 1 10 OraSure Technologies Inc. (b) 3 26 Orthodontic Centers of America Inc. (b) 4 30 Orthologic Corp. (b) 3 18 Osteotech Inc. (b) 1 12 Palatin Technologies Inc. (b) 3 9 Pediatrix Medical Group Inc. (b) 2 102 PolyMedica Corp. 1 38 Possis Medical Inc. (b) 1 25 Prime Medical Services Inc. (b) 1 4 Province Healthcare Co. (b) 4 61 PSS World Medical Inc. (b) 6 67 Quest Diagnostics Inc. - 1 Quidel Corp. (b) 2 24 Radiologix Inc. (b) 1 2 RehabCare Group Inc. (b) 1 24 Retractable Technologies Inc. (b) 1 5 Select Medical Corp. 4 62 Sierra Health Services Inc. (b) 2 54 Sola International Inc. (b) 2 38 SonoSite Inc. (b) 1 28 Specialty Laboratories Inc. (b) 1 14 Staar Surgical Co. (b) 1 16 Sunrise Senior Living Inc. (b) 1 49 SurModics Inc. (b) 1 24 Sybron Dental Specialties Inc. (b) 3 84 Synovis Life Technologies Inc. (b) 1 19 Techne Corp. (b) 3 119 Therasense Inc. (b) 2 39 Thoratec Corp. (b) 4 49 TriPath Imaging Inc. (b) 2 15 United Surgical Partners International Inc. (b) 1 48 Urologix Inc. (b) - 3 US Oncology Inc. (b) 6 63 US Physical Therapy Inc. (b) 1 13 Ventana Medical Systems Inc. (b) 1 40 Viasys Healthcare Inc. (b) 2 49 VistaCare Inc. - Class A (b) 1 35 VISX Inc. (b) 3 71 Vital Images Inc. (b) 1 13 Vital Signs Inc. - 14 WellPoint Health Networks Inc. (b) - 10 West Pharmaceutical Services Inc. 1 30 Wright Medical Group Inc. (b) 1 41 Young Innovations Inc. - 16 Zoll Medical Corp. (b) 1 21 4,507 Holding Companies - Diversified - 0.1% Resource America Inc. - Class A 1 15 Walter Industries Inc. 2 28 43 Home Builders - 0.9% Beazer Homes USA Inc. 1 103 Brookfield Homes Corp. 1 34 Champion Enterprises Inc. (b) 4 31 Coachmen Industries Inc. 1 19 Dominion Homes Inc. (b) - 10 Fleetwood Enterprises Inc. (b) 3 31 M/I Schottenstein Homes Inc. 1 29 Meritage Corp. (b) 1 49 Modtech Holdings Inc. (b) 1 6 Monaco Coach Corp. (b) 2 50 Palm Harbor Homes Inc. (b) 1 24 Skyline Corp. - 16 Standard-Pacific Corp. 3 126 Technical Olympic USA Inc. (b) - 7 WCI Communities Inc. (b) 1 26 William Lyon Homes Inc. (b) - 22 Winnebago Industries 1 72 655 Home Furnishings - 0.2% American Woodmark Corp. - 25 Applica Inc. (b) 2 13 Bassett Furniture Industries Inc. 1 17 Bush Industries Inc. - Class A (b) 1 4 Emerson Radio Corp. (b) 1 3 Hooker Furniture Corp. - 12 Kimball International Inc. - Class B 2 25 Parkervision Inc. (b) 1 5 Salton Inc. (b) - 3 Stanley Furniture Co. Inc. - 13 Tivo Inc. (b) 3 23 Universal Electronics Inc. (b) 1 14 157 Household Products - 1.0% American Greetings Corp. - Class A (b) 5 108 Central Garden & Pet Co. (b) 1 39 CSS Industries Inc. - 15 Ennis Business Forms 2 25 Fossil Inc. (b) 2 54 Jarden Corp. (b) 2 55 John H. Harland Co. 2 60 Libbey Inc. 1 30 National Presto Industries Inc. - 13 New England Business Service Inc. 1 22 Oneida Ltd. 1 3 Playtex Products Inc. (b) 2 19 Russ Berrie & Co. Inc. 1 22 Standard Register Co. 1 18 Toro Co. 2 91 Tupperware Corp. 4 72 WD-40 Co. 1 51 Yankee Candle Co. Inc. (b) 2 67 764 Insurance - 2.2% 21st Century Insurance Group 2 23 Alfa Corp. 3 32 Allmerica Financial Corp. (b) 4 132 American Physicians Capital Inc. (b) 1 18 AmerUs Group Co. 3 114 Argonaut Group Inc. (b) 2 29 Baldwin & Lyons Inc. 1 16 Citizens Inc. (b) 3 25 CNA Surety Corp. (b) 1 11 Commerce Group Inc. 2 78 Crawford & Co. - Class B 2 12 Delphi Financial Group Inc. - Class A 2 73 Enstar Group Inc. (b) - 16 FBL Financial Group Inc. - Class A 1 22 Financial Industries Corp. 1 8 Great American Financial Resources Inc. 1 10 Harleysville Group Inc. 3 50 Hilb Rogal & Hamilton Co. 3 82 Horace Mann Educators Corp. 3 45 Independence Holding Co. - 7 Infinity Property & Casualty Corp. 1 30 Kansas City Life Insurance Co. - 13 LandAmerica Financial Group Inc. 2 79 Midland Co. 1 13 National Western Life Insurance Co. - Class A (b) - 25 Navigators Group Inc. (b) - 14 NYMAGIC Inc. - 7 Ohio Casualty Corp. (b) 4 78 Penn-America Group Inc. 1 12 Philadelphia Consolidated Holding Co. (b) 1 62 Phoenix Cos. Inc. 7 90 PMA Capital Corp. 2 8 Presidential Life Corp. 1 20 ProAssurance Corp. (b) 2 63 RLI Corp. 2 56 Safety Insurance Group Inc. 1 14 Selective Insurance Group 2 70 State Auto Financial Corp. 1 18 Stewart Information Services Corp. 1 56 Triad Guaranty Inc. (b) 1 33 UICI (b) 3 40 United Fire & Casualty Co. 1 21 Universal American Financial Corp. (b) 2 21 USI Holdings Corp. (b) 2 21 Zenith National Insurance Corp. 1 22 1,689 Internet - 3.3% 1-800 Contacts Inc. (b) 1 10 1-800-FLOWERS.COM Inc. (b) 2 18 Agile Software Corp. (b) 4 38 Akamai Technologies Inc. (b) 8 91 Alloy Inc. (b) 2 13 Aquantive Inc. (b) 4 37 Ariba Inc. (b) 21 64 AsiaInfo Holdings Inc. (b) 2 15 Ask Jeeves Inc. (b) 3 51 At Road Inc. (b) 3 33 Autobytel Inc. (b) 3 25 BroadVision Inc. (b) 3 11 Centillium Communications Inc. (b) 2 13 CMGI Inc. (b) 29 52 CNET Networks Inc. (b) 8 55 Digital Insight Corp. (b) 2 59 Digital River Inc. (b) 2 48 Digitalthink Inc. (b) 4 11 Digitas Inc. (b) 2 15 drugstore.com Inc. (b) 2 13 E.piphany Inc. (b) 4 32 Earthlink Inc. (b) 9 94 eCollege.com Inc. (b) 1 16 E-Loan Inc. (b) 4 12 Entrust Inc. (b) 3 14 eResearch Technology Inc. (b) 2 54 F5 Networks Inc. (b) 2 47 FindWhat.com (b) 1 17 Freemarkets Inc. (b) 3 17 FTD Inc. (b) - 7 GSI Commerce Inc. (b) 2 16 Harris Interactive Inc. (b) 4 31 Infospace Inc. (b) 2 47 Interland Inc. (b) 1 7 Internet Security Systems Inc. (b) 3 57 Interwoven Inc. (b) 2 24 J2 Global Communications Inc. (b) 1 35 Kana Software Inc. (b) 1 5 Keynote Systems Inc. (b) 1 16 Lionbridge Technologies Inc. (b) 3 25 LookSmart Ltd. (b) 6 9 Marketwatch.com Inc. (b) 1 6 Matrixone Inc. (b) 4 22 Neoforma Inc. (b) 1 6 Net2Phone Inc. (b) 3 18 NetBank Inc. 4 53 Netegrity Inc. (b) 2 21 NetFlix Inc. (b) 1 47 Netratings Inc. (b) 1 10 NIC Inc. (b) 2 18 Openwave Systems Inc. (b) 5 53 Opsware Inc. (b) 4 30 Overstock.com Inc. (b) 1 14 PC-Tel Inc. (b) 2 17 Portal Software Inc. (b) 2 15 Priceline.com Inc. (b) 2 33 ProQuest Co. (b) 2 55 QRS Corp. (b) 1 6 Raindance Communications Inc. (b) 4 10 Register.com (b) 2 12 RSA Security Inc. (b) 4 53 S1 Corp. (b) 5 44 Safeguard Scientifics Inc. (b) 10 42 Sapient Corp. (b) 6 33 Secure Computing Corp. (b) 3 51 Seebeyond Technology Corp. (b) 3 14 Sohu.com Inc. (b) 1 44 SonicWALL Inc. (b) 5 35 Stamps.com Inc. (b) 3 16 Stellent Inc. (b) 2 17 SupportSoft Inc. (b) 2 25 TheStreet.com Inc. (b) 1 5 TIBCO Software Inc. (b) 7 46 Trizetto Group Inc. (b) 3 20 United Online Inc. (b) 3 58 Valueclick Inc. (b) 5 49 Verity Inc. (b) 2 25 Verso Technologies Inc. (b) 9 29 Vignette Corp. (b) 16 36 Vitria Technology Inc. (b) 2 12 WatchGuard Technologies Inc. (b) 3 16 WebEx Communications Inc. (b) 2 43 webMethods Inc. (b) 4 34 Websense Inc. (b) 2 50 2,497 Investment Companies - 0.1% Gladstone Capital Corp. 1 18 MCG Capital Corp. 2 44 Medallion Financial Corp. 2 15 77 Iron & Steel - 0.6% AK Steel Holding Corp. (b) 7 35 Allegheny Technologies Inc. 7 92 Carpenter Technology Corp. 2 46 Cleveland-Cliffs Inc. (b) 1 34 Gibraltar Steel Corp. 1 19 Material Sciences Corp. (b) - 4 Reliance Steel & Aluminum Co. 2 66 Roanoke Electric Steel Corp. 1 8 Ryerson Tull Inc. 2 19 Schnitzer Steel Industries Inc. - Class A 1 44 Steel Dynamics Inc. (b) 3 73 440 Leisure Time - 0.6% Ambassadors Group Inc. - 10 Ambassadors Internaitonal Inc. - 6 Arctic Cat Inc. 1 32 Bally Total Fitness Holding Corp. (b) 2 15 Callaway Golf Co. 5 87 Escalade Inc. (b) - 3 K2 Inc. (b) 2 33 Marine Products Corp. 1 11 Multimedia Games Inc. (b) 1 34 Nautilus Group Inc. 2 33 Navigant International Inc. (b) 1 18 Pegasus Solutions Inc. (b) 2 24 Thor Industries Inc. 1 80 WMS Industries Inc. (b) 2 44 430 Lodging - 0.6% Ameristar Casinos Inc. (b) 1 19 Aztar Corp. (b) 2 49 Boca Resorts Inc. - Class A (b) 2 34 Boyd Gaming Corp. 3 44 Choice Hotels International Inc. (b) 2 56 Extended Stay America Inc. 6 82 La Quinta Corp. (b) 11 71 Marcus Corp. 1 24 MTR Gaming Group Inc. (b) 2 18 Prime Hospitality Corp. (b) 3 28 425 Machinery - 1.8% Alamo Group Inc. - 6 Albany International Corp. 2 71 Applied Industrial Technologies Inc. 1 35 Astec Industries Inc. (b) 1 15 Briggs & Stratton Corp. 2 120 Cascade Corp. 1 19 Cognex Corp. 3 75 Flowserve Corp. (b) 4 78 Gardner Denver Inc. (b) 1 28 Gerber Scientific Inc. (b) 2 15 Global Power Equipment Group Inc. (b) 2 12 Gorman-Rupp Co. - 13 IDEX Corp. 2 92 JLG Industries Inc. 4 56 Joy Global Inc. 4 100 Kadant Inc. (b) 1 19 Lindsay Manufacturing Co. 1 28 Manitowoc Co. 2 71 NACCO Industries Inc. - Class A - 37 Nordson Corp. 2 72 Presstek Inc. (b) 2 16 Robbins & Myers Inc. 1 17 Sauer-Danfoss Inc. 1 15 Stewart & Stevenson Services Inc. 2 35 Tecumseh Products Co. 1 57 Tennant Co. 1 24 Terex Corp. (b) 3 99 Thomas Industries Inc. 1 29 UNOVA Inc. (b) 4 85 Wabtec Corp. 3 46 1,385 Manufacturing - 1.6% Actuant Corp. - Class A (b) 2 60 Acuity Brands Inc. 3 84 Ameron International Corp. 1 17 AO Smith Corp. 1 49 Applied Films Corp. (b) 1 37 Barnes Group Inc. 1 34 Brink's Co. 4 96 Ceradyne Inc. (b) 1 24 Clarcor Inc. 2 88 Concord Camera Corp. (b) 2 17 Cuno Inc. (b) 1 50 EnPro Industries Inc. (b) 2 22 ESCO Technologies Inc. (b) 1 43 Federal Signal Corp. 4 64 Griffon Corp. (b) 2 41 Hexcel Corp. (b) 2 13 Jacuzzi Brands Inc. (b) 6 42 Lydall Inc. (b) 1 12 Matthews International Corp. - Class A 2 68 Myers Industries Inc. 2 18 Quixote Corp. 1 15 Raven Industries Inc. 1 16 Roper Industries Inc. 2 107 Standex International Corp. 1 23 Sturm Ruger & Co. Inc. 2 21 Tredegar Corp. 3 39 Trinity Industries Inc. 3 87 1,187 Media - 1.3% 4Kids Entertainment Inc. (b) 1 28 Acme Communications Inc. (b) 1 10 Beasley Broadcasting Group Inc. - Class A (b) - 3 Charter Communications Inc. (b) 21 83 Courier Corp. 1 22 Crown Media Holdings Inc. (b) 1 11 Cumulus Media Inc. - Class A (b) 3 73 Emmis Communications Corp. (b) 3 94 Fisher Communications Inc. (b) - 23 Gray Television Inc. 3 43 Gray Television Inc. - Class A 1 9 Hollinger International Inc. 3 54 Information Holdings Inc. (b) 1 20 Insight Communications Co. Inc. (b) 4 38 Journal Register Co. (b) 3 55 Liberty Corp. 1 59 Lin TV Corp. - Class A (b) 2 52 Lodgenet Entertainment Corp. (b) 1 20 Martha Stewart Living Omnimedia Inc. (b) 1 10 Mediacom Communications Corp. (b) 4 37 Paxson Communications Corp. (b) 2 8 Pegasus Communications Corp. (b) - 3 Playboy Enterprises Inc. - Class B (b) 1 19 PRIMEDIA Inc. (b) 11 32 Pulitzer Inc. - 18 Regent Communications Inc. (b) 3 21 Saga Communications Inc. (b) 1 19 Salem Communications Corp. - Class A (b) 1 17 Sinclair Broadcast Group Inc. - Class A (b) 3 48 Spanish Broadcasting System Inc. (b) 3 31 Thomas Nelson Inc. 1 17 World Wrestling Entertainment Inc. 1 17 Young Broadcasting Inc. (b) 1 21 1,015 Metal Fabrication & Hardware - 0.6% A.M. Castle & Co. (b) 1 8 CIRCOR International Inc. 1 18 Commercial Metals Co. 2 61 Intermet Corp. 1 7 Kaydon Corp. 2 57 Lawson Products Inc. - 12 Mueller Industries Inc. (b) 3 93 NN Inc. 1 14 NS Group Inc. (b) 1 10 Penn Engineering & Manufacturing Corp. 1 18 Quanex Corp. 1 59 Shaw Group Inc. (b) 5 63 Valmont Industries Inc. 1 27 447 Mining - 0.8% Amcol International Corp. 2 33 Arch Coal Inc. 4 116 Brush Engineered Materials Inc. (b) 1 19 Century Aluminum Co. (b) 1 24 Coeur D'alene Mines Corp. (b) 16 94 Hecla Mining Co. (b) 9 73 Liquidmetal Technologies Inc. (b) 1 3 Massey Energy Co. 5 102 Royal Gold Inc. 1 26 RTI International Metals Inc. (b) 1 25 Stillwater Mining Co. (b) 4 37 USEC Inc. 7 57 Westmoreland Coal Co. (b) - 6 615 Office & Business Equipment - 0.1% General Binding Corp. (b) 1 12 Global Imaging Systems Inc. (b) 1 41 Imagistics International Inc. (b) 1 45 98 Office Furnishings - 0.0% Interface Inc. (b) 3 17 Virco Manufacturing Corp. 1 4 21 Oil & Gas Producers - 2.4% Atwood Oceanics Inc. (b) 1 19 Berry Petroleum Co. - Class A 1 29 Cabot Oil & Gas Corp. 2 59 Cimarex Energy Co. (b) 3 89 Clayton Williams Energy Inc. (b) - 12 Comstock Resources Inc. (b) 2 43 Denbury Resources Inc. (b) 3 41 Encore Acquisition Co. (b) 1 17 Energy Partners Ltd. (b) 2 27 Evergreen Resources Inc. (b) 3 104 Forest Oil Corp. (b) 4 101 Frontier Oil Corp. 2 37 Grey Wolf Inc. (b) 14 51 Harvest Natural Resources Inc. (b) 3 33 Holly Corp. 1 22 Houston Exploration Co. (b) 1 41 KCS Energy Inc. (b) 3 28 Magnum Hunter Resources Inc. (b) 6 56 McMoRan Exploration Co. (b) 1 20 Meridian Resource Corp. (b) 3 15 Nuevo Energy Co. (b) 1 35 Parker Drilling Co. (b) 7 19 Patina Oil & Gas Corp. 2 121 Penn Virginia Corp. 1 32 Petrocorp Inc. (b) - 7 Petroleum Development Corp. (b) 1 27 Plains Exploration & Production Co. (b) 3 49 Prima Energy Corp. (b) 1 25 Quicksilver Resources Inc. (b) 1 30 Range Resources Corp. (b) 5 43 Remington Oil & Gas Corp. (b) 2 32 Southwestern Energy Co. (b) 3 70 Spinnaker Exploration Co. (b) 2 64 St. Mary Land & Exploration Co. 2 62 Stone Energy Corp. (b) 2 77 Swift Energy Co. (b) 2 38 Tesoro Petroleum Corp. (b) 5 69 Tom Brown Inc. (b) 3 94 Unit Corp. (b) 3 68 Vintage Petroleum Inc. 4 49 1,855 Oil & Gas Services - 1.0% CAL Dive International Inc. (b) 3 67 CARBO Ceramics Inc. 1 46 Dril-Quip Inc. (b) 1 9 Global Industries Ltd. (b) 7 34 Gulf Island Fabrication Inc. (b) - 6 Hanover Compressor Co. (b) 4 48 Horizon Offshore Inc. (b) 2 9 Hydril Co. (b) 1 30 Input/Output Inc. (b) 3 15 Lone Star Technologies Inc. (b) 2 34 Lufkin Industries Inc. - 12 Matrix Service Co. (b) 1 24 Maverick Tube Corp. (b) 3 64 Newpark Resources Inc. (b) 5 24 Oceaneering International Inc. (b) 2 53 Oil States International Inc. (b) 2 25 RPC Inc. 1 9 Seacor Smit Inc. (b) 1 59 Superior Energy Services Inc. (b) 4 39 Tetra Technologies Inc. (b) 1 36 Universal Compression Holdings Inc. (b) 1 39 Veritas DGC Inc. (b) 2 23 W-H Energy Services Inc. (b) 2 31 736 Packaging & Containers - 0.3% AEP Industries Inc. (b) 1 7 Chesapeake Corp. 1 32 Crown Holdings Inc. (b) 13 119 Graphic Packaging Corp. (b) 1 4 Greif Inc. - Class A 1 38 Silgan Holdings Inc. (b) 1 41 241 Pharmaceuticals - 3.8% aaiPharma Inc. (b) 1 26 Abgenix Inc. (b) 7 87 Able Laboratories Inc. (b) 1 25 Accredo Health Inc. (b) 4 121 Adolor Corp. (b) 3 52 Alkermes Inc. (b) 5 68 Alpharma Inc. 3 61 Alteon Inc. (b) 2 3 Antigenics Inc. (b) 2 19 Atherogenics Inc. (b) 3 46 Atrix Labs Inc. (b) 2 42 AVI BioPharma Inc. (b) 1 4 Bentley Pharmaceuticals Inc. (b) 1 12 BioMarin Pharmaceuticals Inc. (b) 5 42 Biopure Corp. (b) 2 5 Bone Care International Inc. (b) 1 9 Bradley Pharmaceuticals Inc. (b) 1 17 Cell Therapeutics Inc. (b) 2 21 Cima Labs Inc. (b) 1 39 Collagenex Pharmaceuticals Inc. (b) 1 12 Connetics Corp. (b) 2 42 Corixa Corp. (b) 4 25 Cubist Pharmaceuticals Inc. (b) 3 35 CV Therapeutics Inc. (b) 2 35 D&K Healthcare Resources Inc. 1 13 Dendreon Corp. (b) 1 5 Discovery Laboratories Inc. (b) 3 34 Dov Pharmaceutical Inc. (b) 1 12 Durect Corp. (b) 1 4 Esperion Therapeutics Inc. (b) 3 92 First Horizon Pharmaceutical Corp. (b) 1 16 Genta Inc. (b) 4 41 Guilford Pharmaceuticals Inc. (b) 2 13 HealthExtras Inc. (b) 1 19 Hi-Tech Pharmacal Co. Inc. (b) - 9 Hollis-Eden Pharmaceuticals Inc. (b) 1 11 Ilex Oncology Inc. (b) 3 63 Impax Laboratories Inc. (b) 2 34 Indevus Pharmaceuticals Inc. (b) 4 22 Inspire Pharmaceuticals Inc. (b) 2 35 Isis Pharmaceuticals Inc. (b) 4 26 Kos Pharmaceuticals Inc. (b) 1 38 KV Pharmaceutical Co. - Class A (b) 2 56 La Jolla Pharmaceutical Co. (b) 3 15 Lannett Co. Inc. (b) 1 12 Ligand Pharmaceuticals Inc. - Class B (b) 4 66 Medarex Inc. (b) 6 36 Medicines Co. (b) 3 96 MGI Pharma Inc. (b) 2 98 MIM Corp. (b) 2 11 Nabi Biopharmaceuticals (b) 4 49 Nature's Sunshine Products Inc. 1 5 NBTY Inc. (b) 4 110 NeighborCare Inc. (b) 2 37 Neopharm Inc. (b) 1 23 Neurogen Corp. (b) - 4 Noven Pharmaceuticals Inc. (b) 2 24 NPS Pharmaceuticals Inc. (b) 2 70 Onyx Pharmaceuticals Inc. (b) 2 63 OSI Pharmaceuticals Inc. (b) 3 99 Pain Therapeutics Inc. (b) 2 11 Penwest Pharmaceuticals Co. (b) 1 25 Perrigo Co. 5 74 Pharmacopeia Inc. (b) 2 26 Pozen Inc. (b) 2 17 Priority Healthcare Corp. (b) 3 66 Progenics Pharmaceuticals Inc. (b) 1 16 Salix Pharmaceuticals Ltd. (b) 1 30 Sciclone Pharmaceuticals Inc. (b) 3 23 Star Scientific Inc. (b) 1 2 Tanox Inc. (b) 2 31 Theragenics Corp. (b) 3 17 Trimeris Inc. (b) 1 21 Tularik Inc. (b) 4 59 United Therapeutics Corp. (b) 1 32 Usana Health Sciences Inc. (b) 1 21 VCA Antech Inc. (b) 2 75 Vicuron Pharmaceuticals Inc. (b) 4 66 Virbac Corp. (b) 1 4 Vivus Inc. (b) 4 15 Zymogenetics Inc. (b) 1 16 2,856 Pipelines - 0.1% Aquila Inc. (b) 15 49 Plains Resources Inc. (b) 1 22 Transmontaigne Inc. (b) 1 7 78 Real Estate - 5.2% Acadia Realty Trust 1 16 Alexander's Inc. (b) - 16 Alexandria Real Estate Equities Inc. 2 87 American Home Mortgage Investment Corp. 2 36 American Land Lease Inc. - 4 American Mortgage Acceptance Co. 1 14 AMLI Residential Properties 1 35 Anthracite Capital Inc. 4 42 Anworth Mortgage Asset Corp. 3 39 Associated Estates Realty 2 13 Avatar Holdings Inc. (b) - 15 Bedford Property Investors 1 34 Boykin Lodging Co. 1 11 Brandywine Realty Trust 2 52 Capital Automotive REIT 2 63 Capstead Mortgage Corp. 1 15 Colonial Properties Trust 1 57 Commercial Net Lease Realty 3 56 Consolidated-Tomoka Land Co. - 15 Cornerstone Realty Income Trust Inc. 4 31 Corporate Office Properties Trust 2 43 Correctional Properties Trust 1 29 CRIIMI MAE Inc. (b) 1 14 Eastgroup Properties Inc. 1 37 Entertainment Properties Trust 2 53 Equity Inns Inc. 4 33 Equity One Inc. 2 41 Essex Property Trust Inc. 2 100 FelCor Lodging Trust Inc. (b) 4 42 First Industrial Realty Trust Inc. 3 110 Gables Residential Trust 2 77 Getty Realty Corp. 1 37 Glenborough Realty Trust Inc. 1 25 Glimcher Realty Trust 2 54 Great Lakes Reit Inc. 1 12 Health Care REIT Inc. 4 152 Heritage Property Investment Trust 1 40 Highwoods Properties Inc. 5 115 Home Properties of NY Inc. 2 94 IMPAC Mortgage Holdings Inc. 4 73 Innkeepers USA Trust 2 16 Investors Real Estate Trust 3 33 Jones Lang LaSalle Inc. (b) 3 54 Keystone Property Trust 2 34 Kilroy Realty Corp. 2 66 Koger Equity Inc. 1 22 Kramont Realty Trust 1 23 LaSalle Hotel Properties 1 27 Lexington Corporate Properties Trust 3 53 LTC Properties Inc. 1 17 Manufactured Home Communities Inc. 1 45 Meristar Hospitality Corp. (b) 4 25 MFA Mortgage Investments Inc. 5 46 Mid-America Apartment Communities Inc. 1 48 Mission West Properties 1 15 National Health Investors Inc. 2 45 National Health Realty Inc. 1 13 Nationwide Health Properties Inc. 5 91 Newcastle Investment Corp. 2 53 Novastar Financial Inc. 2 70 Omega Healthcare Investors Inc. 2 15 Parkway Properties Inc. 1 24 Pennsylvania Real Estate Investment Trust 2 82 Post Properties Inc. 3 71 Prentiss Properties Trust 3 91 Price Legacy Corp. (b) 2 6 PS Business Parks Inc. 1 38 RAIT Investment Trust 2 44 Ramco-Gershenson Properties Trust 1 19 Reading International Inc. (b) 1 8 Reckson Associates Realty Corp. 4 97 Redwood Trust Inc. 1 56 Saul Centers Inc. 1 23 Senior Housing Properties Trust 3 60 Sizeler Property Investors Inc. 1 7 SL Green Realty Corp. 2 93 Sovran Self Storage Inc. 1 34 Summit Properties Inc. 2 47 Sun Communities Inc. 1 44 Tanger Factory Outlet Centers Inc. 1 27 Tarragon Realty Investors Inc. (b) - 7 Taubman Centers Inc. 4 75 Town & Country Trust 1 32 Trammell Crow Co. (b) 3 33 United Capital Corp. - 4 Universal Health Realty Income Trust 1 30 Urstadt Biddle Properties Inc. - Class A 2 28 US Restaurants Properties Inc. 2 32 Ventas Inc. 6 134 Washington Real Estate Investment Trust 3 86 Winston Hotels Inc. 1 14 3,989 Retail - 6.4% 7-Eleven Inc. (b) 2 30 AC Moore Arts & Crafts Inc. (b) 1 22 Aeropostale Inc. (b) 2 44 American Eagle Outfitters Inc. (b) 4 69 America's Car Mart Inc. (b) - 10 AnnTaylor Stores Corp. (b) 4 141 Asbury Automotive Group Inc. (b) 1 16 Bebe Stores Inc. (b) 1 13 Big 5 Sporting Goods Corp. (b) 1 24 BJ's Wholesale Club Inc. (b) 6 128 Blair Corp. 1 16 Blue Rhino Corp. (b) 1 16 Bob Evans Farms Inc. 3 86 Bombay Co. Inc. (b) 3 21 Brookstone Inc. (b) 1 24 Brown Shoe Co. Inc. 1 54 Buckle Inc. 1 16 Burlington Coat Factory Warehouse Corp. 2 33 California Pizza Kitchen Inc. (b) 1 24 Casey's General Stores Inc. 4 62 Cash America International Inc. 2 46 Casual Male Retail Group Inc. (b) 2 16 Cato Corp. - Class A 1 26 CEC Entertainment Inc. (b) 2 89 Charlotte Russe Holding Inc. (b) 1 13 Charming Shoppes Inc. (b) 9 46 Chicago Pizza & Brewery Inc. (b) 1 15 Children's Place Retail Stores Inc. (b) 1 25 Christopher & Banks Corp. 3 55 CKE Restaurants Inc. (b) 3 22 Coldwater Creek Inc. (b) 1 9 Cole National Corp. (b) 1 19 Copart Inc. (b) 5 90 Cost Plus Inc. (b) 2 68 CSK Auto Corp. (b) 3 52 Dave & Buster's Inc. (b) 1 15 DEB Shops Inc. - 7 Dick's Sporting Goods Inc. (b) 1 49 Dillard's Inc. - Class A 5 77 Dress Barn Inc. (b) 1 22 Duane Reade Inc. (b) 2 31 Electronics Boutique Holdings Corp. (b) 1 22 Factory 2-U Stores Inc. (b) - 1 Finish Line - Class A (b) 1 42 Finlay Enterprises Inc. (b) 1 9 Footstar Inc. (b) 2 6 Fred's Inc. 3 95 Friedman's Inc. - Class A 1 8 Galyan's Trading Co. Inc. (b) 1 9 GameStop Corp. (b) 2 29 Genesco Inc. (b) 2 29 Goody's Family Clothing Inc. 1 13 Group 1 Automotive Inc. (b) 1 50 Guitar Center Inc. (b) 1 33 Hancock Fabrics Inc. 1 20 Haverty Furniture Cos. Inc. 1 26 Hibbett Sporting Goods Inc. (b) 1 31 Hollywood Entertainment Corp. (b) 4 57 HOT Topic Inc. (b) 4 112 IHOP Corp. 2 62 Insight Enterprises Inc. (b) 4 68 Intertan Inc. (b) 2 16 J. Jill Group Inc. (b) 1 17 Jack in the Box Inc. (b) 3 59 Jo-Ann Stores Inc. (b) 1 28 Jos. A. Banks Clothiers Inc. (b) - 13 Kenneth Cole Productions Inc. - 11 Kirkland's Inc. (b) 1 14 Landry's Restaurants Inc. 2 43 Linens 'N Things Inc. (b) 4 105 Lithia Motors Inc. - Class A 1 29 Lone Star Steakhouse & Saloon Inc. 1 25 Longs Drug Stores Corp. 2 59 MarineMax Inc. (b) 1 11 Men's Wearhouse Inc. (b) 3 70 Mothers Work Inc. (b) - 8 Movado Group Inc. 1 18 Movie Gallery Inc. (b) 2 40 MSC Industrial Direct Co. Inc. - 5 Nu Skin Enterprises Inc. 2 42 O'Charleys Inc. (b) 2 32 Pacific Sunwear of California (b) 6 121 Panera Bread Co. - Class A (b) 2 88 Pantry Inc. (b) 1 12 Papa John's International Inc. (b) 1 35 Party City Corp. (b) 1 12 Payless Shoesource Inc. (b) 5 71 PC Connection Inc. (b) - 3 PEP Boys-Manny Moe & Jack 4 87 Petco Animal Supplies Inc. (b) 3 85 PF Chang's China Bistro Inc. (b) 2 103 Rare Hospitality International Inc. (b) 2 56 Red Robin Gourmet Burgers Inc. (b) 1 22 Restoration Hardware Inc. (b) 2 9 Rex Stores Corp. (b) 1 10 Ryan's Family Steak Houses Inc. (b) 3 51 School Specialty Inc. (b) 1 42 Select Comfort Corp. (b) 2 40 Sharper Image Corp. (b) 1 23 Shoe Carnival Inc. (b) - 8 ShopKo Stores Inc. (b) 2 35 Smart & Final Inc. (b) 1 8 Sonic Automotive Inc. 2 49 Sonic Corp. (b) 3 94 Stage Stores Inc. (b) 1 36 Steak N Shake Co. (b) 2 36 Stein Mart Inc. (b) 2 14 Summit America Television Inc. (b) 4 14 Systemax Inc. (b) 1 5 TBC Corp. (b) 1 36 The Sports Authority Inc. (b) 2 60 Too Inc. (b) 3 49 Tractor Supply Co. (b) 2 91 Trans World Entertainment Corp. (b) 1 6 Triarc Cos. 1 7 Triarc Cos. 2 25 Tuesday Morning Corp. (b) 1 37 Tweeter Home Entertainment Group Inc. (b) 2 16 Ultimate Electronics Inc. (b) 1 10 United Auto Group Inc. 1 43 Urban Outfitters Inc. (b) 2 74 West Marine Inc. (b) 1 25 Wet Seal Inc. (b) 2 16 Whitehall Jewellers Inc. (b) 1 11 Wilsons The Leather Experts Inc. (b) 1 4 World Fuel Services Corp. 1 28 Zale Corp. (b) 2 121 4,835 Savings & Loans - 2.7% Anchor Bancorp. Inc. 2 43 Bank Mutual Corp. 3 34 BankAtlantic Bancorp. Inc. 3 65 BankUnited Financial Corp. - Class A (b) 2 59 Berkshire Hills Bancorp. Inc. 1 20 BostonFed Bancorp. Inc. - 5 Brookline Bancorp. Inc. 5 76 Camco Financial Corp. 1 14 CFS Bancorp. Inc. 1 11 Charter Financial Corp. - 13 Citizens First Bancorp. Inc. 1 14 Citizens South Banking Corp. - 7 Coastal Bancorp Inc. - 18 Coastal Financial Corp. 1 17 Commercial Capital Bancorp Inc. (b) 1 15 Commercial Federal Corp. 4 98 Connecticut Bancshares Inc. 1 46 Dime Community Bancshares Inc. 2 51 ESB Financial Corp. 1 13 EverTrust Financial Group Inc. - 14 Fidelity Bankshares Inc. 1 39 First Defiance Financial Corp. - 9 First Essex Bancorp. Inc. 1 29 First Federal Capital Corp. 1 33 First Financial Holdings Inc. 1 29 First Niagara Financial Group Inc. 6 88 First Place Financial Corp. 1 20 First Sentinel Bancorp. Inc. 2 36 FirstFed America Bancorp. Inc. 1 36 FirstFed Financial Corp. (b) 1 62 Flagstar Bancorp. Inc. 3 54 Florida First Bancorp Inc. - 9 Flushing Financial Corp. 1 20 GA Financial Inc. - 16 Harbor Florida Bancshares Inc. 2 51 Hawthorne Financial Corp. (b) 1 28 Heritage Financial Corp. - 6 Horizon Financial Corp. 1 18 Hudson River Bancorp. 1 49 Itla Capital Corp. (b) - 18 Klamath First Bancorp Inc. 1 14 MAF Bancorp. Inc. 2 94 MASSBANK Corp. - 15 MutualFirst Financial Inc. - 5 NASB Financial Inc. - 8 Northwest Bancorp. Inc. 1 19 OceanFirst Financial Corp. 1 15 Ocwen Financial Corp. (b) 3 26 Parkvale Financial Corp. - 9 Partners Trust Financial Group Inc. 1 19 Pennfed Financial Services Inc. - 7 PFF Bancorp. Inc. 1 39 Provident Bancorp. Inc. - 14 Provident Financial Holdings Inc. - 15 Provident Financial Services Inc. 4 77 Quaker City Bancorp. Inc. - 23 Seacoast Financial Services Corp. 2 56 Sound Federal Bancorp. Inc. 1 17 Staten Island Bancorp. Inc. 4 99 Sterling Financial Corp. (b) 1 39 TierOne Corp. (b) 2 43 Troy Financial Corp. - 15 United Community Financial Corp. 3 31 Warwick Community Bancorp Inc. - 7 Waypoint Financial Corp. 2 49 Westfield Financial Inc. - 9 Willow Grove Bancorp Inc. 1 16 WSFS Financial Corp. - 20 2,083 Semiconductors - 3.7% Actel Corp. (b) 2 43 ADE Corp. (b) - 6 Alliance Semiconductor Corp. (b) 2 13 Artisan Components Inc. (b) 1 28 Asyst Technologies Inc. (b) 3 54 ATMI Inc. (b) 2 49 Axcelis Technologies Inc. (b) 8 80 Brooks Automation Inc. (b) 3 72 Ceva Inc. (b) 2 17 ChipPAC Inc. (b) 4 33 Cirrus Logic Inc. (b) 6 43 Cohu Inc. 2 35 Conexant Systems Inc. (b) 22 108 Credence Systems Corp. (b) 5 66 Diodes Inc. (b) 1 13 DSP Group Inc. (b) 2 57 Dupont Photomasks Inc. (b) 1 23 Entegris Inc. (b) 4 53 ESS Technology (b) 3 43 Exar Corp. (b) 3 52 Genesis Microchip Inc. (b) 3 48 GlobespanVirata Inc. (b) 8 50 Helix Technology Corp. 2 46 Integrated Silicon Solutions Inc. (b) 2 34 IXYS Corp. (b) 2 16 Kopin Corp. (b) 6 40 Kulicke & Soffa Industries Inc. (b) 4 57 Lattice Semiconductor Corp. (b) 8 77 LTX Corp. (b) 4 60 Mattson Technology Inc. (b) 2 26 Micrel Inc. (b) 4 70 Microsemi Corp. (b) 2 55 Mindspeed Technologies Inc. (b) 7 47 MKS Instruments Inc. (b) 2 59 Monolithic System Technology Inc. (b) 2 19 Mykrolis Corp. (b) 3 42 Omnivision Technologies Inc. (b) 2 105 ON Semiconductor Corp. (b) 2 13 Pericom Semiconductor Corp. (b) 2 20 Photronics Inc. (b) 2 46 Pixelworks Inc. (b) 3 32 PLX Technology Inc. (b) 1 5 Power Integrations Inc. (b) 2 69 Richardson Electronics Ltd. 1 7 Rudolph Technologies Inc. (b) 1 25 Semitool Inc. (b) 1 14 Semtech Corp. (b) 5 108 Silicon Image Inc. (b) 6 42 Siliconix Inc. (b) 1 24 Sipex Corp. (b) 2 17 Skyworks Solutions Inc. (b) 12 103 Standard Microsystems Corp. (b) 1 23 Supertex Inc. (b) 1 14 Three-Five Systems Inc. (b) 2 12 Transmeta Corp. (b) 9 30 Triquint Semiconductor Inc. (b) 11 75 Ultratech Inc. (b) 2 47 Varian Semiconductor Equipment Associates Inc. (b) 2 100 Veeco Instruments Inc. (b) 2 50 Virage Logic Corp. (b) 1 11 Vitesse Semiconductor Corp. (b) 17 97 White Electronic Designs Corp. (b) 1 13 Xicor Inc. (b) 2 21 Zoran Corp. (b) 3 57 2,814 Software - 4.0% Activision Inc. (b) 7 128 Advent Software Inc. (b) 3 45 Allscripts Healthcare Solutions Inc. (b) 2 13 Altiris Inc. (b) 1 32 American Management Systems Inc. (b) 3 50 Ansys Inc. (b) 1 49 Ascential Software Corp. (b) 5 120 Aspen Technology Inc. (b) 3 29 Avid Technology Inc. (b) 2 115 Barra Inc. (b) 1 45 Borland Software Corp. (b) 6 54 CCC Information Services Group (b) 1 15 Cerner Corp. (b) 2 86 Computer Programs & Systems Inc. 1 11 Concord Communications Inc. (b) 1 29 Concur Technologies Inc. (b) 2 15 Concurrent Computer Corp. (b) 6 26 Convera Corp. (b) 1 4 CSG Systems International Inc. (b) 4 51 Datastream Systems Inc. (b) 1 8 Dendrite International Inc. (b) 3 39 Eclipsys Corp. (b) 3 37 eFunds Corp. (b) 4 63 Embarcadero Technologies Inc. (b) 1 18 Epicor Software Corp. (b) 3 38 EPIQ Systems Inc. (b) 1 17 FalconStor Software Inc. (b) 3 23 FILENET Corp. (b) 3 72 Group 1 Software Inc. (b) 1 11 Hyperion Solutions Corp. (b) 3 97 IDX Systems Corp. (b) 2 41 IMPAC Medical Systems Inc. (b) 1 15 Informatica Corp. (b) 5 52 infoUSA Inc. (b) 3 20 Intelidata Technologies Corp. (b) 1 2 InterCept Inc. (b) 1 16 Inter-Tel Inc. 2 41 JDA Software Group Inc. (b) 2 41 Keane Inc. (b) 4 59 Lawson Software Inc. (b) 4 31 Mantech International Corp. - Class A (b) 1 30 Manugistics Group Inc. (b) 5 33 MAPICS Inc. (b) 2 20 Micromuse Inc. (b) 5 34 MicroStrategy Inc. - Class A (b) 1 46 Midway Games Inc. (b) 2 7 Mobius Management Systems Inc. (b) 1 9 MRO Software Inc. (b) 1 20 MSC.Software Corp. (b) 2 19 NDCHealth Corp. 3 71 NETIQ Corp. (b) 4 56 Omnicell Inc. (b) 1 18 Onyx Software Corp. (b) - 1 Opnet Technologies Inc. (b) 1 14 Packeteer Inc. (b) 2 32 PalmSource Inc. (b) 1 19 Parametric Technology Corp. (b) 17 65 PDF Solutions Inc. (b) 1 15 Pegasystems Inc. (b) 1 8 Per-Se Technologies Inc. (b) 2 31 Phoenix Technologies Ltd. (b) 1 7 Pinnacle Systems Inc. (b) 4 36 Progress Software Corp. (b) 2 45 Pumatech Inc. (b) 3 12 QAD Inc. (b) 1 11 Quality Systems Inc. (b) - 12 Quest Software Inc. (b) 3 45 Renaissance Learning Inc. (b) 1 18 Retek Inc. (b) 4 40 Roxio Inc. (b) 3 13 Sanchez Computer Associates Inc. (b) 1 2 ScanSoft Inc. (b) 6 32 Schawk Inc. 1 8 Seachange International Inc. (b) 2 34 Serena Software Inc. (b) 2 37 SPSS Inc. (b) 1 16 SS&C Technologies Inc. 1 16 Sybase Inc. (b) 7 142 Take-Two Interactive Software Inc. (b) 3 95 THQ Inc. (b) 3 50 Tradestation Group Inc. (b) 1 11 Transaction Systems Architects Inc. (b) 3 61 Ulticom Inc. (b) 1 12 Vastera Inc. (b) 2 8 Verint Systems Inc. (b) 1 15 VitalWorks Inc. (b) 3 14 Wind River Systems Inc. (b) 6 54 3,052 Storage/Warehousing - 0.0% Mobile Mini Inc. (b) 1 19 Telecommunications - 0.7% Aspect Communications Corp. (b) 3 43 Cincinnati Bell Inc. (b) 14 69 Commonwealth Telephone Enterprises Inc. (b) 2 64 CT Communications Inc. 2 21 D&E Communications Inc. - 2 General Communication - Class A (b) 4 35 Golden Telecom Inc. (b) 1 31 Hickory Tech Corp. 1 13 Inet Technologies Inc. (b) 1 16 Intrado Inc. (b) 1 23 Lightbridge Inc. (b) 2 19 MASTEC Inc. (b) 2 25 Metro One Telecommunications Inc. (b) 1 3 Primus Telecommunications GP (b) 4 43 PTEK Holdings Inc. (b) 4 34 RMH Teleservices Inc. (b) - 1 Shenandoah Telecom Co. - 14 SureWest Communications 1 46 Talk America Holdings Inc. (b) 2 29 Time Warner Telecom Inc. (b) 3 35 Warwick Valley Telephone Co. - 3 569 Telecommunications Equipment - 2.1% Adaptec Inc. (b) 8 74 Aeroflex Inc. (b) 4 52 Anaren Inc. (b) 2 27 Andrew Corp. (b) 12 137 Anixter International Inc. (b) 3 65 Applied Signal Technology Inc. 1 15 Arris Group Inc. (b) 5 33 Avanex Corp. (b) 6 28 Black Box Corp. 1 59 Cable Design Technologies Corp. (b) 3 29 C-COR.net Corp. (b) 3 28 CommScope Inc. (b) 4 66 Computer Network Technology Corp. (b) 2 19 Comtech Telecommunications (b) 1 31 Corvis Corp. (b) 24 40 Ditech Communications Corp. (b) 2 38 Enterasys Networks Inc. (b) 16 61 Extreme Networks Inc. (b) 8 55 Harmonic Inc. (b) 5 35 Hypercom Corp. (b) 2 11 Ixia (b) 2 20 KVH Industries Inc. (b) 1 19 MRV Communications Inc. (b) 8 30 Network Equipment Technologies Inc. (b) 2 19 New Focus Inc. (b) 5 25 Newport Corp. (b) 3 51 North Pittsburgh Systems Inc. 1 26 Oplink Communications Inc. (b) 8 18 Plantronics Inc. (b) 3 104 SafeNet Inc. (b) 1 30 Sonus Networks Inc. (b) 16 121 SR Telecom Inc. (b) - - Stratos Lightwave Inc. (b) - 1 Sycamore Networks Inc. (b) 13 68 Symmetricom Inc. (b) 3 23 Tekelec (b) 4 63 Terayon Communication Systems Inc. (b) 5 25 Tollgrade Communications Inc. (b) 1 21 Westell Technologies Inc. (b) 4 24 1,591 Textiles - 0.1% Angelica Corp. 1 19 G&K Services Inc. - Class A 1 49 Quaker Fabric Corp. 1 5 Unifirst Corp. 1 15 88 Tobacco - 0.2% DIMON Inc. 3 20 Standard Commercial Corp. 1 15 Universal Corp. 2 87 Vector Group Ltd. 2 33 155 Toys & Hobbies - 0.2% Action Performance Cos. Inc. 1 28 Boyds Collection Ltd. (b) 1 4 Department 56 Inc. (b) 1 15 Jakks Pacific Inc. (b) 2 29 RC2 Corp. (b) 1 25 Topps Co. Inc. 2 25 126 Transportation - 1.5% Alexander & Baldwin Inc. 3 108 Arkansas Best Corp. 2 57 Covenant Transport Inc. (b) 1 12 EGL Inc. (b) 3 45 Florida East Coast Industries - Class A 1 42 Forward Air Corp. (b) 1 27 GATX Corp. 3 94 Genesee & Wyoming Inc. - Class A (b) 1 32 Greenbrier Cos. Inc. (b) 1 8 Gulfmark Offshore Inc. (b) 1 13 Heartland Express Inc. 2 59 Interpool Inc. - 5 Kansas City Southern (b) 5 69 Kirby Corp. (b) 2 54 Knight Transportation Inc. (b) 2 51 Landstar System Inc. (b) 2 88 Maritrans Inc. 1 13 Offshore Logistics Inc. (b) 1 34 Old Dominion Freight Line Inc. (b) 1 28 Overseas Shipholding Group Inc. 1 41 Pacer International Inc. (b) 2 39 PAM Transportation Services (b) - 11 Petroleum Helicopters Inc. (b) - 5 RailAmerica Inc. (b) 2 28 SCS Transportation Inc. (b) 1 18 Seabulk International Inc. (b) 1 5 US Xpress Enterprises Inc. (b) 1 7 USF Corp. 2 70 Yellow Roadway Corp. (b) 3 116 1,179 Water - 0.2% American States Water Co. 1 28 California Water Service Group 1 39 Connecticut Water Service Inc. - 11 Middlesex Water Co. 1 13 Pico Holdings Inc. (b) - 5 SJW Corp. - 14 Southwest Water Co. 1 17 127 Wireless Telecommunications - 0.8% Aether Systems Inc. (b) 3 14 Audiovox Corp. (b) 1 15 Boston Communications Group Inc. (b) 2 16 Centennial Communications Corp. (b) 1 7 Dobson Communications Corp. (b) 2 15 EMS Technologies Inc. (b) 1 16 NII Holdings Inc. - Class B (b) 1 80 Powerwave Technologies Inc. (b) 5 37 Price Communications Corp. (b) 3 41 Proxim Corp. - Class A (b) 5 8 REMEC Inc. (b) 5 41 RF Micro Devices Inc. (b) 14 140 SBA Communications Corp. (b) 4 16 Spectralink Corp. 1 24 Stratex Networks Inc. (b) 6 26 Triton PCS Holdings Inc. (b) 1 7 Viasat Inc. (b) 2 35 Western Wireless Corp. (b) 4 78 616 Total Common Stocks (cost $60,530) 70,933 Short Term Investments - 6.3% Money Market Funds - 5.5% Reich & Tang Institutional Money Market Portfolio - Class B, 0.957% (a) 1,273 1,273 Reich & Tang Institutional U.S. Treasury Portfolio - Class B, 0.744% (a) 2,932 2,932 4,205 U.S. Treasury Bills - 0.8% U.S. Treasury Bill, 0.895%, 03/11/04 (l) 600 599 Total Short Term Investments (cost $4,804) 4,804 Total Investments - 99.5% (cost $65,334) 75,737 Other Assets and Liabilities, Net - 0.5% 393 Total Net Assets - 100% 76,130 JNL/Eagle Core Equity Fund Common Stocks - 92.3% Advertising - 0.4% Lamar Advertising Co. (b) 26 987 Aerospace & Defense - 2.1% Boeing Co. 25 1,070 Lockheed Martin Corp. 64 3,313 United Technologies Corp. 9 829 5,212 Airlines - 0.7% Southwest Airlines Co. 108 1,743 Auto Manufacturers - 1.0% Honda Motor Co. Ltd. - ADR 110 2,468 Banks - 6.2% Bank of America Corp. 72 5,811 Bank of New York Co. Inc. 22 729 US Bancorp. 134 3,999 Wells Fargo & Co. 78 4,591 15,130 Beverages - 1.4% Anheuser-Busch Cos. Inc. 16 843 PepsiCo Inc. 58 2,695 3,538 Biotechnology - 1.4% Amgen Inc. (b) 14 887 Biogen Idec Inc. (b) 23 853 Genentech Inc. (b) 8 720 Genzyme Corp. (b) 11 565 Medimmune Inc. (b) 18 445 3,470 Chemicals - 3.4% Dow Chemical Co. 26 1,064 E.I. du Pont de Nemours & Co. 40 1,852 Praxair Inc. 72 2,751 Rohm & Haas Co. 64 2,716 8,383 Commercial Services - 1.5% Accenture Ltd. (b) 24 619 Cendant Corp. (b) 131 2,925 3,544 Computers - 3.0% Dell Inc. (b) 74 2,511 DigitalNet Holdings Inc. (b) 7 132 EMC Corp. (b) 82 1,061 International Business Machines Corp. 39 3,573 7,277 Cosmetics & Personal Care - 1.0% Colgate-Palmolive Co. 13 661 Procter & Gamble Co. 19 1,868 2,529 Diversified Financial Services - 9.0% Citigroup Inc. 197 9,568 Countrywide Financial Corp. 19 1,426 Goldman Sachs Group Inc. 12 1,195 JPMorgan Chase & Co. 115 4,229 Lehman Brothers Holdings Inc. 64 4,934 Merrill Lynch & Co. Inc. 14 833 22,185 Electric - 0.2% NiSource Inc. 20 439 Electronics - 1.6% Agilent Technologies Inc. (b) 53 1,539 Flextronics International Ltd. (b) 44 657 Parker Hannifin Corp. 27 1,613 3,809 Entertainment - 0.4% International Game Technology 30 1,055 Food - 2.1% Dean Foods Co. (b) 41 1,342 General Mills Inc. 15 680 Kraft Foods Inc. 22 709 Smithfield Foods Inc. (b) 89 1,840 Sysco Corp. 19 700 5,271 Forest Products & Paper - 1.0% International Paper Co. 60 2,565 Gas - 0.4% UGI Corp. 27 915 Healthcare - 2.3% HCA Inc. 44 1,869 Johnson & Johnson 61 3,149 Medtronic Inc. 16 753 5,771 Home Furnishings - 0.4% Tempur-pedic International Inc. (b) 65 1,003 Household Products - 0.3% Newell Rubbermaid Inc. 32 733 Insurance - 3.6% Hartford Financial Services Group Inc. 54 3,199 Marsh & McLennan Cos. Inc. 25 1,178 MetLife Inc. 49 1,660 St. Paul Cos. Inc. 10 377 Travelers Property Casualty Corp. 6 99 Travelers Property Casualty Corp. - Class A 146 2,452 8,965 Internet - 0.2% eBay Inc. (b) 7 426 Leisure Time - 0.2% Carnival Corp. 13 526 Lodging - 0.5% Harrah's Entertainment Inc. 26 1,302 Machinery - 0.5% Deere & Co. 18 1,171 Manufacturing - 5.5% 3M Co. 22 1,896 Cooper Industries Ltd. - Class A 57 3,308 General Electric Co. 193 5,992 Harsco Corp. 26 1,139 Ingersoll-Rand Co. - Class A 17 1,174 13,509 Media - 8.1% Clear Channel Communications Inc. 39 1,840 Comcast Corp. - Special Class A (b) 31 956 COX Radio Inc. (b) 28 696 EchoStar Communications Corp. (b) 19 660 Entercom Communications Corp. (b) 10 503 Gannett Co. Inc. 25 2,184 McGraw-Hill Cos. Inc. 12 818 Time Warner Inc. (b) 133 2,391 Univision Communications Inc. (b) 15 609 Viacom Inc. - Class A 67 2,975 Viacom Inc. - Class B 87 3,872 Walt Disney Co. 70 1,631 Westwood One Inc. (b) 22 763 19,898 Oil & Gas Producers - 4.3% BP Plc - ADR 103 5,074 ChevronTexaco Corp. 37 3,184 Exxon Mobil Corp. 26 1,078 Pride International Inc. (b) 66 1,230 10,566 Oil & Gas Services - 2.4% Cooper Cameron Corp. (b) 31 1,431 Halliburton Co. 167 4,352 5,783 Pharmaceuticals - 6.0% Abbott Laboratories 24 1,095 Bristol-Myers Squibb Co. 41 1,158 Gilead Sciences Inc. (b) 12 701 Merck & Co. Inc. 21 991 Pfizer Inc. 228 8,070 Wyeth 63 2,670 14,685 Pipelines - 0.6% Kinder Morgan Inc. 25 1,454 Real Estate - 1.4% Boston Properties Inc. 10 482 Equity Office Properties Trust 30 860 General Growth Properties Inc. 30 832 Health Care Property Investors Inc. 18 891 Vornado Realty Trust 8 438 3,503 Retail - 4.5% Family Dollar Stores Inc. 30 1,071 Federated Department Stores Inc. 54 2,563 Home Depot Inc. 46 1,636 Kohl's Corp. (b) 20 876 Limited Brands Inc. 34 613 Target Corp. 13 497 Wal-Mart Stores Inc. 54 2,862 Wendy's International Inc. 24 929 11,047 Semiconductors - 7.0% Applied Materials Inc. (b) 54 1,207 ASML Holding NV - NYS (b) 36 721 Fairchild Semiconductor International Inc. - Class A (b) 75 1,867 Intel Corp. 145 4,675 International Rectifier Corp. (b) 9 420 Lam Research Corp. (b) 54 1,744 LSI Logic Corp. (b) 169 1,499 Micrel Inc. (b) 45 696 National Semiconductor Corp. (b) 38 1,498 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR (b) 145 1,484 Texas Instruments Inc. 48 1,407 17,218 Software - 3.3% First Data Corp. 43 1,763 Microsoft Corp. 146 4,026 Oracle Corp. (b) 95 1,251 Veritas Software Corp. (b) 28 1,035 8,075 Telecommunications - 1.9% BellSouth Corp. 100 2,838 SBC Communications Inc. 50 1,293 Verizon Communications Inc. 16 558 4,689 Telecommunications Equipment - 1.8% Cisco Systems Inc. (b) 136 3,313 JDS Uniphase Corp. (b) 287 1,047 4,360 Wireless Telecommunications - 0.7% Sprint Corp. - PCS Group (b) 294 1,652 Total Common Stocks (cost $196,386) 226,856 Corporate Bonds - 0.8% Healthcare - 0.2% Community Health Systems Inc., 4.25%, 10/15/08 (j) 575 615 Insurance - 0.3% Loews Corp., 3.125%, 09/15/07 (j) 750 725 Media - 0.3% Liberty Media Corp., 3.25%, 03/15/31 (j) 620 645 Total Corporate Bonds (cost $1,836) 1,985 Preferred Stocks - 0.5% Insurance - 0.3% Travelers Property Casualty Corp., 4.50% 31 752 Oil & Gas Services - 0.2% Hanover Compressor Capital Trust, 7.25% 12 576 Total Preferred Stocks (cost $1,344) 1,328 Short Term Investments - 6.1% Money Market Funds - 6.1% Dreyfus Cash Management Plus, 0.898% (a) 12,239 12,239 Dreyfus Government Cash Management, 0.893% (a) 2,841 2,841 Total Short Term Investments (cost $15,080) 15,080 Total Investments - 99.7% (cost $214,645) 245,249 Other Assets and Liabilities, Net - 0.3% 664 Total Net Assets - 100% 245,913 JNL/Eagle SmallCap Equity Fund Common Stocks - 95.4% Agriculture - 2.2% Delta & Pine Land Co. 95 2,415 Banks - 2.2% Southwest Bancorp. of Texas Inc. 28 1,084 TrustCo Bancorp. 100 1,318 2,402 Commercial Services - 3.8% Sylvan Learning Systems Inc. (b) 62 1,791 University of Phoenix Online (b) 35 2,378 4,169 Computers - 2.7% Factset Research Systems Inc. 78 2,990 Distribution & Wholesale - 3.1% SCP Pool Corp. (b) 58 1,887 Tech Data Corp. (b) 37 1,469 3,356 Electrical Components & Equipment - 2.0% General Cable Corp. (b) 270 2,203 Electronics - 3.7% Gentex Corp. 68 2,981 OYO Geospace Corp. (b) 70 1,112 4,093 Entertainment - 7.9% Alliance Gaming Corp. (b) 99 2,431 GTECH Holdings Corp. 57 2,811 Lions Gate Entertainment Corp. (b) 769 3,445 8,687 Environmental Control - 1.0% Imco Recycling Inc. (b) 113 1,119 Healthcare - 18.2% American Medical Systems Holdings Inc. (b) 120 2,625 Cooper Cos. Inc. 71 3,367 Edwards Lifesciences Corp. (b) 87 2,621 Horizon Health Corp. (b) 140 3,025 Idexx Laboratories Inc. (b) 57 2,647 Respironics Inc. (b) 57 2,557 Steris Corp. (b) 78 1,752 Zoll Medical Corp. (b) 41 1,444 20,038 Home Furnishings - 3.4% Universal Electronics Inc. (b) 291 3,701 Insurance - 2.4% Direct General Corp. 81 2,672 Internet - 1.5% Monster Worldwide Inc. (b) 73 1,609 Manufacturing - 2.2% Actuant Corp. - Class A (b) 68 2,447 Oil & Gas Producers - 3.1% Patterson-UTI Energy Inc. (b) 105 3,443 Pharmaceuticals - 2.6% Medicis Pharmaceutical Corp. - Class A 40 2,823 Retail - 5.6% Cash America International Inc. 53 1,125 Genesco Inc. (b) 159 2,399 Red Robin Gourmet Burgers Inc. (b) 9 277 Sharper Image Corp. (b) 72 2,345 6,146 Savings & Loans - 0.7% Bank Mutual Corp. 69 781 Semiconductors - 8.8% ASE Test Ltd. (b) 124 1,857 Integrated Device Technology Inc. (b) 243 4,179 Integrated Silicon Solutions Inc. (b) 233 3,651 9,687 Software - 13.0% Avid Technology Inc. (b) 37 1,781 Barra Inc. (b) 39 1,380 Datastream Systems Inc. (b) 399 3,132 Eclipsys Corp. (b) 339 3,947 Global Payments Inc. 27 1,286 Netsmart Technologies Inc. (b) 167 2,560 Open Solutions Inc. (b) 14 248 14,334 Telecommunications Equipment - 2.2% Enterasys Networks Inc. (b) 654 2,451 Wireless Telecommunications - 3.1% EMS Technologies Inc. (b) 164 3,369 Total Common Stocks (cost $79,864) 104,935 Short Term Investments - 5.6% Money Market Funds - 5.6% Dreyfus Cash Management Plus, 0.898% (a) 5,530 5,530 Dreyfus Government Cash Management, 0.893% (a) 670 670 Total Short Term Investments (cost $6,200) 6,200 Total Investments - 101.1% (cost $86,064) 111,135 Other Assets and Liabilities, Net - (1.1%) -1,163 Total Net Assets - 100% 109,972 JNL/Janus Aggressive Growth Fund Common Stocks - 98.8% Aerospace & Defense - 2.5% Lockheed Martin Corp. 56 2,890 Northrop Grumman Corp. 37 3,535 6,425 Apparel - 2.8% NIKE Inc. 107 7,306 Banks - 8.5% Bank of America Corp. 138 11,078 Fifth Third Bancorp. 44 2,577 Wells Fargo & Co. 140 8,216 21,871 Biotechnology - 5.4% Genentech Inc. (b) 127 11,891 Invitrogen Corp. (b) 27 1,919 13,810 Computers - 3.1% Apple Computer Inc. (b) 242 5,176 Synopsys Inc. (b) 84 2,840 8,016 Cosmetics & Personal Care - 1.3% Procter & Gamble Co. 34 3,412 Diversified Financial Services - 5.0% Fannie Mae 27 2,001 Goldman Sachs Group Inc. 88 8,644 SLM Corp. 56 2,097 12,742 Electrical Components & Equipment - 3.6% Energizer Holdings Inc. (b) 51 1,901 Samsung Electronics Co. Ltd. 20 7,408 9,309 Healthcare - 11.8% Aetna Inc. 132 8,895 Anthem Inc. (b) 46 3,480 UnitedHealth Group Inc. 286 16,648 WellPoint Health Networks Inc. (b) 15 1,486 30,509 Insurance - 5.7% Allstate Corp. 119 5,137 Berkshire Hathaway Inc. - Class B (b) 3 9,667 14,804 Internet - 8.9% Amazon.Com Inc. (b) 97 5,113 eBay Inc. (b) 105 6,773 Symantec Corp. (b) 98 3,397 Yahoo! Inc. (b) 170 7,699 22,982 Manufacturing - 1.1% 3M Co. 32 2,758 Media - 2.2% EchoStar Communications Corp. (b) 45 1,528 Time Warner Inc. (b) 227 4,092 5,620 Oil & Gas Producers - 1.6% Murphy Oil Corp. 62 4,054 Oil & Gas Services - 0.9% BJ Services Co. (b) 67 2,419 Pharmaceuticals - 1.9% Forest Laboratories Inc. (b) 80 4,935 Retail - 4.2% Advance Auto Parts (b) 46 3,719 Dollar Tree Stores Inc. (b) 96 2,894 Kohl's Corp. (b) 71 3,173 Outback Steakhouse Inc. 22 967 10,753 Semiconductors - 10.1% Applied Materials Inc. (b) 406 9,104 KLA-Tencor Corp. (b) 138 8,073 Nvidia Corp. (b) 142 3,312 Texas Instruments Inc. 193 5,673 26,162 Software - 9.1% Electronic Arts Inc. (b) 234 11,190 Microsoft Corp. 441 12,147 23,337 Telecommunications Equipment - 3.3% Cisco Systems Inc. (b) 244 5,935 Nokia Oyj - ADR 155 2,636 8,571 Wireless Telecommunications - 5.8% Nextel Communications Inc. (b) 360 10,099 Vodafone Group Plc - ADR 196 4,904 15,003 Total Common Stocks (cost $202,674) 254,798 Short Term Investments - 1.4% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 36 36 U.S. Government Agencies - 1.4% Federal Home Loan Bank Discount Note, 0.75%, 01/02/04 3,600 3,600 Total Short Term Investments (cost $3,636) 3,636 Total Investments - 100.2% (cost $206,310) 258,434 Other Assets and Liabilities, Net - (0.2%) -582 Total Net Assets - 100% 257,852 JNL/Janus Balanced Fund Common Stocks - 53.6% Aerospace & Defense - 0.9% General Dynamics Corp. 4 386 Lockheed Martin Corp. 12 627 1,013 Airlines - 0.2% Southwest Airlines Co. 17 277 Auto Manufacturers - 0.3% Bayerische Motoren Werke AG 8 353 Auto Parts & Equipment - 0.1% Lear Corp. 2 123 Banks - 1.6% Bank of America Corp. 7 587 HSBC Holdings Plc 37 584 US Bancorp. 23 685 1,856 Beverages - 1.6% Anheuser-Busch Cos. Inc. 21 1,102 PepsiCo Inc. 15 703 1,805 Chemicals - 0.8% International Flavors & Fragrances Inc. 9 308 Potash Corp. 6 548 856 Computers - 2.0% Dell Inc. (b) 25 859 International Business Machines Corp. 11 1,029 Lexmark International Inc. (b) 5 429 2,317 Cosmetics & Personal Care - 1.2% Procter & Gamble Co. 13 1,307 Diversified Financial Services - 3.8% American Express Co. 14 670 Citigroup Inc. 34 1,649 Freddie Mac 25 1,482 Goldman Sachs Group Inc. 5 508 4,309 Electrical Components & Equipment - 0.9% Samsung Electronics Co. Ltd. - GDR (e) 2 331 Samsung Electronics Co. Ltd. 2 738 1,069 Environmental Control - 1.2% Waste Management Inc. 45 1,328 Healthcare - 1.9% Aetna Inc. 14 940 Medtronic Inc. 15 738 UnitedHealth Group Inc. 9 541 2,219 Holding Companies - Diversified - 1.2% LVMH Moet Hennessy Louis Vuitton SA 19 1,394 Household Products - 0.9% Reckitt Benckiser Plc 44 990 Insurance - 0.9% Berkshire Hathaway Inc. - Class B (b) - 1,011 Internet - 1.8% Amazon.Com Inc. (b) 9 490 eBay Inc. (b) 8 532 Yahoo! Inc. (b) 24 1,069 2,091 Lodging - 3.0% Fairmont Hotels & Resorts Inc. 7 198 Marriott International Inc. - Class A 39 1,782 Starwood Hotels & Resorts Worldwide Inc. 41 1,480 3,460 Manufacturing - 6.3% 3M Co. 22 1,831 General Electric Co. 48 1,480 Honeywell International Inc. 33 1,112 Tyco International Ltd. 105 2,785 7,208 Media - 5.3% British Sky Broadcasting Plc (b) 40 503 Comcast Corp. - Class A (b) 7 239 Dow Jones & Co. Inc. 10 490 Fox Entertainment Group Inc. (b) 13 372 Gannett Co. Inc. 15 1,315 Liberty Media Corp. (b) 25 302 Time Warner Inc. (b) 120 2,155 Viacom Inc. - Class B 16 691 6,067 Oil & Gas Producers - 1.9% Apache Corp. 5 382 Exxon Mobil Corp. 28 1,155 Total Fina Elf SA 3 628 2,165 Pharmaceuticals - 5.0% Barr Laboratories Inc. (b) 10 775 Caremark Rx Inc. (b) 20 497 Medco Health Solutions Inc. (b) 18 607 Neurocrine Biosciences Inc. (b) 8 449 Novartis AG - ADR 11 482 Pfizer Inc. 34 1,203 Roche Holding AG Genusschein 17 1,690 5,703 Pipelines - 0.2% El Paso Corp. 32 259 Retail - 2.2% Best Buy Co. Inc. 11 575 J.C. Penney Co. Inc. 27 713 Target Corp. 9 339 Wal-Mart Stores Inc. 17 892 2,519 Semiconductors - 2.9% Applied Materials Inc. (b) 21 481 Intel Corp. 26 822 Linear Technology Corp. 7 274 Maxim Integrated Products Inc. 7 345 Texas Instruments Inc. 46 1,338 3,260 Software - 2.3% Electronic Arts Inc. (b) 11 510 Microsoft Corp. 41 1,127 Oracle Corp. (b) 44 578 Veritas Software Corp. (b) 12 433 2,648 Telecommunications Equipment - 1.3% Cisco Systems Inc. (b) 45 1,089 Nokia Oyj - ADR 26 441 1,530 Textiles - 0.3% Mohawk Industries Inc. (b) 5 365 Toys & Hobbies - 0.3% Mattel Inc. 17 336 Transportation - 1.3% Canadian National Railway Co. 15 936 FedEx Corp. 8 547 1,483 Total Common Stocks (cost $52,797) 61,321 Corporate Bonds - 25.5% Aerospace & Defense - 0.6% Lockheed Martin Corp. 8.20%, 12/01/09 210 255 7.65%, 05/01/16 370 450 705 Auto Parts & Equipment - 1.5% Dana Corp., 9.00%, 08/15/11 88 106 Delphi Corp. 6.125%, 05/01/04 240 243 6.55%, 06/15/06 338 363 Lear Corp., 7.96%, 05/15/05 510 546 Tenneco Automotive Inc., 11.625%, 10/15/09 391 422 1,680 Banks - 0.2% First Bank National Association, 5.70%, 12/15/08 70 76 Firstar Bank NA, 7.125%, 12/01/09 180 208 284 Beverages - 2.6% Anheuser-Busch Cos. Inc. 5.65%, 09/15/08 375 407 5.125%, 10/01/08 260 277 5.75%, 04/01/10 255 276 6.00%, 04/15/11 419 466 7.55%, 10/01/30 40 49 6.80%, 01/15/31 100 114 6.80%, 08/20/32 50 57 Coca-Cola Enterprises Inc. 5.375%, 08/15/06 200 215 4. 375%, 09/15/09 194 199 6.125%, 08/15/11 110 122 Miller Brewing Co. 4.25%, 08/15/08 (e) 205 208 5.50%, 08/15/13 (e) 620 634 3,024 Chemicals - 0.4% International Flavors & Fragrances Inc., 6.45%, 05/15/06 425 461 Nalco Co., 7.75%, 11/15/11 (e) 53 57 518 Computers - 0.7% Apple Computer Inc., 6.50%, 02/15/04 305 306 Hewlett-Packard Co., 3.625%, 03/15/08 333 334 Sun Microsystems Inc., 7.35%, 08/15/04 121 125 765 Diversified Financial Services - 2.6% American Express Co., 4.875%, 07/15/13 231 231 American General Finance Corp., 5.875%, 07/14/06 175 189 Citigroup Inc. 7.25%, 10/01/10 115 134 6.625%, 06/15/32 180 195 Ford Motor Credit Co., 7.00%, 10/01/13 265 279 Gemstone Investors Ltd., 7.71%, 10/31/04 (e) 60 61 General Electric Capital Corp. 5.375%, 04/23/04 95 96 4.25%, 01/28/05 337 346 2.85%, 01/30/06 190 193 5.35%, 03/30/06 430 459 6.75%, 03/15/32 250 277 General Motors Acceptance Corp. 5.36%, 07/27/04 182 186 5.25%, 05/16/05 335 347 2,993 Electric - 1.0% American Electric Power Co. Inc., 5.375%, 03/15/10 53 56 CMS Energy Corp. 9.875%, 10/15/07 164 183 7.50%, 01/15/09 141 145 Dominion Resources Inc. 2.80%, 02/15/05 97 98 4.125%, 02/15/08 61 62 Duke Energy Corp., 6.25%, 01/15/12 65 71 Illinova Corp., 11.50%, 12/15/10 166 199 Midamerican Energy Holdings Co., 3.50%, 05/15/08 340 334 1,148 Environmental Control - 0.3% Allied Waste North America, 10.00%, 08/01/09 148 160 Waste Management Inc., 7.00%, 10/01/04 241 249 409 Food - 2.0% Dean Foods Co. 6.75%, 06/15/05 48 50 8.15%, 08/01/07 950 1,050 6.625%, 05/15/09 187 196 6.90%, 10/15/17 38 39 Fred Meyer Inc. Holding Co., 7.45%, 03/01/08 52 59 General Mills Inc., 5.125%, 02/15/07 195 207 Kellogg Co. 2.875%, 06/01/08 119 115 7.45%, 04/01/31 130 154 Pepsi Bottling Holdings Inc., 5.625%, 02/17/09 (e) 385 418 2,288 Hand & Machine Tools - 0.1% Black & Decker Corp., 7.125%, 06/01/11 106 122 Healthcare - 0.1% UnitedHealth Group Inc., 5.20%, 01/17/07 63 67 Home Furnishings - 0.4% Harman International Industries Inc., 7.125%, 02/15/07 425 469 Insurance - 0.6% AIG SunAmerica Global Financing IX, 5.10%, 01/17/07 (e) 145 154 Berkshire Hathaway Inc., 3.375%, 10/15/08 (e) 305 303 Marsh & McLennan Cos. Inc., 5.375%, 03/15/07 165 176 633 Internet - 0.3% Amazon.Com Inc., 4.75%, 02/01/09 (j) 336 340 Investment Companies - 0.2% Credit Suisse First Boston USA Inc., 3.875%, 01/15/09 265 265 Lodging - 0.5% John Q Hammons Hotels LP, 8.875%, 05/15/12 72 79 Mandalay Resort Group, 6.50%, 07/31/09 445 462 541 Manufacturing - 2.1% Honeywell International Inc. 5.125%, 11/01/06 280 300 6.125%, 11/01/11 293 322 SPX Corp., 7.50%, 01/01/13 234 254 Tyco International Group SA 5.875%, 11/01/04 407 418 6.375%, 02/15/06 515 548 6.375%, 10/15/11 240 257 6.00%, 11/15/13 (e) 263 271 2,370 Media - 4.0% AOL Time Warner Inc. 5.625%, 05/01/05 370 387 6.15%, 05/01/07 462 503 7.70%, 05/01/32 355 414 British Sky Broadcasting PLC, 6.875%, 02/23/09 307 345 Clear Channel Communications Inc. 6.00%, 11/01/06 110 119 4.625%, 01/15/08 149 154 Comcast Cable Communications 6.75%, 01/30/11 283 315 7.125%, 06/15/13 76 86 Comcast Corp. 6.50%, 01/15/15 130 141 7.05%, 03/15/33 169 184 COX Communications Inc., 7.125%, 10/01/12 50 58 Echostar DBS Corp. 5.75%, 10/01/08 (e) 264 267 9.375%, 02/01/09 243 255 TCI Communications Inc., 6.875%, 02/15/06 136 148 Tele-Communications-TCI Group, 7.875%, 08/01/13 65 77 Time Warner Inc., 9.15%, 02/01/23 458 592 Walt Disney Co., 4.875%, 07/02/04 488 496 4,541 Oil & Gas Producers - 0.4% Burlington Resources Finance Co., 7.20%, 08/15/31 142 164 Conoco Inc., 6.95%, 04/15/29 116 131 El Paso CGP Co., 6.20%, 05/15/04 139 140 435 Oil & Gas Services - 0.1% Hanover Equipment Trust, 8.50%, 09/01/08 67 71 Packaging & Containers - 0.9% Ball Corp., 6.875%, 12/15/12 305 319 Owens-Illinois Inc., 7.15%, 05/15/05 235 243 Sealed Air Corp. 5.625%, 07/15/13 (e) 320 327 6.875%, 07/15/33 (e) 180 191 1,080 Pharmaceuticals - 0.2% Medco Health Solutions Inc., 7.25%, 08/15/13 198 216 Pipelines - 0.5% EL Paso Corp., 7.00%, 05/15/11 468 432 Sonat Inc., 6.875%, 06/01/05 138 136 568 Retail - 1.2% Gap Inc., 6.90%, 09/15/07 150 166 Target Corp., 5.50%, 04/01/07 285 308 Wal-Mart Stores Inc. 5.45%, 08/01/06 475 511 6.875%, 08/10/09 297 342 1,327 Shipbuilding - 0.3% Ship Finance International Ltd., 8.50%, 12/15/13 (e) 290 287 Telecommunications - 0.8% Deutsche Telekom International Finance, 3.875%, 07/22/08 252 253 Verizon Global Funding Corp. 6.125%, 06/15/07 202 221 4.00%, 01/15/08 290 295 Verizon Maryland Inc., 5.125%, 06/15/33 127 110 879 Textiles - 0.3% Mohawk Industries Inc., 7.20%, 04/15/12 348 395 Wireless Telecommunications - 0.6% American Tower Corp., 9.375%, 02/01/09 250 266 AT&T Wireless Services Inc. 7.35%, 03/01/06 105 115 7.50%, 05/01/07 119 133 Nextel Communications Inc., 7.375%, 08/01/15 153 165 679 Total Corporate Bonds (cost $27,955) 29,099 Government Securities - 14.2% U.S. Government Agencies - 5.9% Federal Home Loan Mortgage Corp. 1.875%, 01/15/05 577 580 4.25%, 06/15/05 435 451 6.50%, 11/15/05 445 483 2.375%, 04/15/06 651 654 5.75%, 04/15/08 112 123 5.75%, 03/15/09 48 53 7.00%, 03/15/10 447 522 6.25%, 07/15/32 130 141 Federal National Mortgage Association 1.875%, 12/15/04 425 427 2.125%, 04/15/06 714 714 5.50%, 05/02/06 594 635 4.75%, 01/02/07 181 191 5.00%, 01/15/07 341 364 2.50%, 06/15/08 110 106 5.25%, 01/15/09 207 223 6.375%, 06/15/09 162 183 6.25%, 02/01/11 315 348 5.375%, 11/15/11 460 490 6,688 U.S. Treasury Securities - 8.3% U.S. Treasury Bond 7.25%, 05/15/16 664 828 8.125%, 08/15/19 184 249 7.875%, 02/15/21 371 494 7.25%, 08/15/22 325 410 6.25%, 08/15/23 711 810 6.00%, 02/15/26 393 436 5.25%, 02/15/29 199 201 6.25%, 05/15/30 361 417 5.375%, 02/15/31 249 260 U.S. Treasury Note 6.50%, 05/15/05 210 224 4.625%, 05/15/06 394 418 3.50%, 11/15/06 471 487 2.625%, 05/15/08 916 902 5.625%, 05/15/08 531 588 6.00%, 08/15/09 556 630 6.50%, 02/15/10 8 9 5.75%, 08/15/10 545 611 5.00%, 08/15/11 651 697 4.25%, 08/15/13 350 350 4.25%, 11/15/13 505 504 9,525 Total Government Securities (cost $15,939) 16,213 Short Term Investments - 5.9% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 23 23 U.S. Government Agencies - 5.9% Federal Home Loan Bank Discount Note, 0.75%, 01/02/04 6,700 6,700 Total Short Term Investments (cost $6,723) 6,723 Total Investments - 99.2% (cost $103,414) 113,356 Other Assets and Liabilities, Net - 0.8% 906 Total Net Assets - 100% 114,262 JNL/Janus Capital Growth Fund Common Stocks - 96.4% Advertising - 3.9% Interpublic Group of Cos. Inc. (b) 69 1,069 Lamar Advertising Co. (b) 136 5,068 6,137 Airlines - 1.0% Ryanair Holdings Plc - ADR (b) 33 1,649 Apparel - 1.0% Liz Claiborne Inc. 21 743 Puma AG Rudolf Dassler Sport 5 866 1,609 Auto Parts & Equipment - 0.9% Lear Corp. 23 1,392 Banks - 3.5% Investors Financial Services Corp. 48 1,845 M&T Bank Corp. 11 1,125 Northern Trust Corp. 56 2,611 5,581 Biotechnology - 2.4% Celgene Corp. (b) 35 1,589 Invitrogen Corp. (b) 31 2,166 3,755 Chemicals - 1.0% Praxair Inc. 40 1,533 Commercial Services - 8.0% Apollo Group Inc. (b) 32 2,190 Cendant Corp. (b) 100 2,234 Iron Mountain Inc. (b) 5 179 Manpower Inc. 42 1,978 Moody's Corp. 27 1,621 Paychex Inc. 70 2,586 Robert Half International Inc. (b) 82 1,908 12,696 Computers - 2.4% Apple Computer Inc. (b) 60 1,273 BISYS Group Inc. (b) 59 878 Cadence Design Systems Inc. (b) 45 806 Synopsys Inc. (b) 25 853 3,810 Diversified Financial Services - 3.1% CapitalSource Inc. (b) 43 927 Chicago Mercantile Exchange Holding Inc. 9 657 Lehman Brothers Holdings Inc. 13 968 T. Rowe Price Group Inc. 48 2,271 4,823 Electrical Components & Equipment - 1.1% Ametek Inc. 37 1,788 Electronics - 1.7% Flextronics International Ltd. (b) 113 1,679 Mettler-Toledo International Inc. (b) 25 1,036 2,715 Entertainment - 1.7% International Game Technology 77 2,744 Food - 1.5% Dean Foods Co. (b) 70 2,306 Healthcare - 6.6% Anthem Inc. (b) 14 1,066 Apogent Technologies Inc. (b) 78 1,796 C.R. Bard Inc. 22 1,755 Inamed Corp. (b) 37 1,800 St. Jude Medical Inc. (b) 47 2,898 Stryker Corp. 13 1,084 10,399 Home Builders - 1.2% NVR Inc. (b) 4 1,943 Home Furnishings - 1.2% Harman International Industries Inc. 26 1,936 Insurance - 5.7% Berkshire Hathaway Inc. - Class B (b) 2 5,005 MGIC Investment Corp. 31 1,743 W.R. Berkley Corp. 41 1,425 XL Capital Ltd. 11 814 8,987 Internet - 0.9% Check Point Software Technologies Ltd. (b) 41 686 eBay Inc. (b) 11 738 1,424 Leisure Time - 0.6% Polaris Industries Inc. 10 917 Lodging - 3.1% Mandalay Resort Group 51 2,265 Starwood Hotels & Resorts Worldwide Inc. 73 2,635 4,900 Manufacturing - 1.5% ITT Industries Inc. 16 1,213 SPX Corp. (b) 19 1,097 2,310 Media - 6.4% Citadel Broadcasting Corp. (b) 60 1,333 COX Radio Inc. (b) 30 764 EchoStar Communications Corp. (b) 88 2,993 Entercom Communications Corp. (b) 17 926 Univision Communications Inc. (b) 57 2,251 Westwood One Inc. (b) 55 1,887 10,154 Oil & Gas Producers - 3.7% EOG Resources Inc. 65 3,011 Murphy Oil Corp. 42 2,765 5,776 Oil & Gas Services - 0.5% Smith International Inc. (b) 18 736 Packaging & Containers - 2.0% Ball Corp. 52 3,100 Pharmaceuticals - 3.1% Barr Laboratories Inc. (b) 32 2,440 Gilead Sciences Inc. (b) 15 858 Neurocrine Biosciences Inc. (b) 29 1,554 4,852 Pipelines - 2.9% Kinder Morgan Inc. 79 4,656 Retail - 6.7% Advance Auto Parts (b) 11 918 Autozone Inc. (b) 12 1,049 Darden Restaurants Inc. 56 1,180 Fred's Inc. 70 2,165 Outback Steakhouse Inc. 16 703 Pier 1 Imports Inc. 26 559 Staples Inc. (b) 78 2,129 Yum! Brands Inc. (b) 56 1,938 10,641 Semiconductors - 9.0% Altera Corp. (b) 16 354 Emulex Corp. (b) 46 1,225 Integrated Circuit Systems Inc. (b) 33 943 Intersil Corp. 39 961 KLA-Tencor Corp. (b) 48 2,806 Marvell Technology Group Ltd. (b) 61 2,316 National Semiconductor Corp. (b) 67 2,638 Novellus Systems Inc. (b) 52 2,195 Nvidia Corp. (b) 34 780 14,218 Software - 1.9% BMC Software Inc. (b) 76 1,420 Certegy Inc. 6 201 Citrix Systems Inc. (b) 14 290 Electronic Arts Inc. (b) 15 708 National Instruments Corp. 7 309 2,928 Telecommunications - 0.7% Amdocs Ltd. (b) 51 1,153 Telecommunications Equipment - 0.9% Harris Corp. 20 754 UTStarcom Inc. (b) 17 646 1,400 Textiles - 1.3% Mohawk Industries Inc. (b) 30 2,110 Toys & Hobbies - 0.8% Marvel Enterprises Inc. (b) 44 1,269 Transportation - 1.8% Canadian National Railway Co. 16 991 CNF Inc. 37 1,245 Expeditors International of Washington Inc. 18 680 2,916 Wireless Telecommunications - 0.7% Nextel Partners Inc. (b) 79 1,067 Total Common Stocks (cost $125,752) 152,330 Short Term Investments - 3.8% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 16 16 U.S. Government Agencies - 3.8% Federal Home Loan Bank Discount Note, 0.75%, 01/02/04 6,000 6,000 Total Short Term Investments (cost $6,016) 6,016 Total Investments - 100.2% (cost $131,768) 158,346 Other Assets and Liabilities, Net - (0.2%) -333 Total Net Assets - 100% 158,013 JNL/Janus Global Equities Fund Common Stocks - 96.4% Aerospace & Defense - 1.6% Boeing Co. 14 601 Northrop Grumman Corp. 13 1,275 United Technologies Corp. 16 1,561 3,437 Apparel - 0.1% Hermes International 1 205 Auto Manufacturers - 1.4% Honda Motor Co. Ltd. 36 1,581 Toyota Motor Corp. 35 1,172 2,753 Auto Parts & Equipment - 0.4% Autoliv Inc. - SDR 21 793 Banks - 15.6% Anglo Irish Bank Corp. Plc 47 748 Banca Intesa SpA 307 1,201 Bangkok Bank Public Co. (b) 43 124 Bangkok Bank Public Co. (b) 27 74 Bank of New York Co. Inc. 28 929 Credit Agricole SA 44 1,052 Credit Suisse Group 72 2,646 DBS Group Holdings Ltd. 229 1,982 Erste Bank der Oesterreichischen Sparkassen AG - 52 HSBC Holdings Plc 310 4,874 Icici Bank Ltd. 27 174 Mitsubishi Tokyo Financial Group Inc. 1 4,368 Mizuho Financial Group Inc. (b) - 1,028 Northern Trust Corp. 13 589 Principal Office Fund (b) 26 962 Standard Chartered Plc 147 2,432 Sumitomo Mitsui Financial Group Inc. - 938 UBS AG 70 4,779 Uniao de Bancos Brasileiros SA - GDR 20 506 UniCredito Italiano SpA 227 1,226 30,684 Biotechnology - 0.3% Amgen Inc. (b) 10 648 Building Materials - 0.3% Matsushita Electric Works Ltd. 75 674 Chemicals - 4.2% Givaudan 2 947 JSR Corp. 29 648 Nitto Denko Corp. 28 1,500 Reliance Industries Ltd. 408 5,118 8,213 Commercial Services - 0.5% Cendant Corp. (b) 45 993 Computers - 2.8% Dell Inc. (b) 14 477 Hewlett-Packard Co. 48 1,093 HON HAI Precision Industry Co. Ltd. 530 2,082 Quanta Computer Inc. 454 1,117 Sandisk Corp. (b) 11 678 5,447 Cosmetics & Personal Care - 0.7% Kao Corp. 69 1,404 Distribution & Wholesale - 0.2% Mitsubishi Corp. 46 488 Diversified Financial Services - 5.1% Citigroup Inc. 108 5,219 Fubon Financial Holding Co. Ltd. 544 521 Housing Development Finance Corp. 40 572 Nikko Cordial Corp. 197 1,097 Nomura Holdings Inc. 152 2,588 9,997 Electrical Components & Equipment - 3.3% Samsung Electronics Co. Ltd. 17 6,507 Electronics - 1.1% Fanuc Ltd. 11 629 Hirose Electric Co. Ltd. 4 459 Omron Corp. 52 1,055 2,143 Food - 2.1% Compass Group Plc 274 1,865 Numico NV (b) 25 683 Tesco Plc 328 1,514 4,062 Gas - 0.3% Tokyo Gas Co. Ltd. 163 581 Healthcare - 4.9% Anthem Inc. (b) 40 2,965 Baxter International Inc. 23 716 Medtronic Inc. 59 2,886 UnitedHealth Group Inc. 53 3,105 9,672 Holding Companies - Diversified - 1.7% LVMH Moet Hennessy Louis Vuitton SA 46 3,384 Home Furnishings - 0.6% Pioneer Corp. 44 1,213 Household Products - 0.7% Reckitt Benckiser Plc 58 1,304 Insurance - 1.9% China Life Insurance Co. Ltd. (b) 1,326 1,085 ING Groep NV 54 1,267 Millea Holdings Inc. - 927 Mitsui Sumitomo Insurance Co. Ltd. 62 509 3,788 Internet - 1.3% Check Point Software Technologies Ltd. (b) 77 1,291 eBay Inc. (b) 9 573 InterActiveCorp. (b) 22 738 2,602 Iron & Steel - 2.5% China Steel Corp. (e) 43 714 China Steel Corp. 667 554 POSCO Inc. 18 2,508 Tata Iron & Steel Co. Ltd. 111 1,076 4,852 Machinery - 1.7% Atlas Copco AB 40 1,414 Komatsu Ltd. 300 1,904 3,318 Manufacturing - 2.8% Tyco International Ltd. 210 5,558 Media - 6.2% British Sky Broadcasting Plc (b) 264 3,325 Clear Channel Communications Inc. 21 964 Grupo Televisa SA - ADR 57 2,290 Liberty Media Corp. (b) 53 631 Time Warner Inc. (b) 283 5,094 12,304 Mining - 3.8% Caemi Mineracao e Metalurgica SA (b) 1,300 572 Cia Vale do Rio Doce - ADR 43 2,495 MMC Norilsk Nickel 24 1,534 Rio Tinto Plc 74 2,037 Vedanta Resources Plc (b) 118 780 7,418 Office & Business Equipment - 1.7% Canon Inc. 74 3,446 Oil & Gas Producers - 4.1% Canadian Natural Resources Ltd. 17 848 CNOOC Ltd. 663 1,299 EnCana Corp. 28 1,095 Ptt Plc-NVDR 97 451 Suncor Energy Inc. 34 853 Total Fina Elf SA 10 1,808 YUKOS - ADR 39 1,646 8,000 Oil & Gas Services - 1.1% Lukoil-spon ADR (b) 24 2,197 Pharmaceuticals - 7.2% Altana AG 13 802 Aventis SA 10 672 Chugai Pharmaceutical Co. Ltd. 56 804 Medco Health Solutions Inc. (b) 36 1,234 Roche Holding AG Genusschein 66 6,654 Sanofi-Synthelabo SA 30 2,224 Serono SA - Class B 1 575 Takeda Chemical Industries Ltd. 17 674 Teva Pharmaceutical Industries Ltd. - ADR 10 562 14,201 Real Estate - 0.9% Cheung Kong Holdings Ltd. 64 509 Sun Hung Kai Properties Ltd. 153 1,266 1,775 Retail - 1.6% Carmax Inc. (b) 21 662 McDonald's Corp. 42 1,054 Shinsegae Co. Ltd. 2 518 Wal-Mart de Mexico SA de CV 308 876 3,110 Semiconductors - 5.2% Applied Materials Inc. (b) 42 954 KLA-Tencor Corp. (b) 23 1,328 NEC Electronics Corp. (b) 5 344 STMicroelectronics NV 116 3,148 Texas Instruments Inc. 48 1,399 Tokyo Electron Ltd. 16 1,245 United Microelectronics Corp. (b) 2,240 1,920 10,338 Software - 1.4% Infosys Technologies Ltd. 16 1,975 SAP AG 4 707 2,682 Telecommunications - 1.0% Amdocs Ltd. (b) 47 1,057 Deutsche Telekom AG (b) 48 883 1,940 Telecommunications Equipment - 2.4% Cisco Systems Inc. (b) 144 3,492 Nokia Oyj 72 1,248 4,740 Wireless Telecommunications - 1.7% China Mobile Ltd. 461 1,415 NTT DoCoMo Inc. 1 1,186 SK Telecom Co. Ltd. 5 800 3,401 Total Common Stocks (cost $160,427) 190,273 Short Term Investments - 1.4% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 7 7 U.S. Government Agencies - 1.4% Federal Home Loan Bank Discount Note, 0.75%, 01/02/04 2,700 2,700 Total Short Term Investments (cost $2,707) 2,707 Total Investments - 97.8% (cost $163,134) 192,980 Other Assets and Liabilities, Net - 2.2% 4,308 Total Net Assets - 100% 197,288 JNL/Janus Growth & Income Fund Common Stocks - 94.0% Advertising - 1.1% Lamar Advertising Co. (b) 5 178 Aerospace & Defense - 1.3% Lockheed Martin Corp. 4 205 Airlines - 0.6% Southwest Airlines Co. 5 87 Banks - 3.3% Bank of America Corp. 2 157 US Bancorp. 12 359 516 Beverages - 3.2% Anheuser-Busch Cos. Inc. 6 305 PepsiCo Inc. 4 191 496 Biotechnology - 0.3% Amgen Inc. (b) 1 39 Chemicals - 0.6% International Flavors & Fragrances Inc. 2 87 Computers - 3.7% Ceridian Corp. (b) 6 122 Dell Inc. (b) 3 89 International Business Machines Corp. 3 237 Lexmark International Inc. (b) 2 126 574 Cosmetics & Personal Care - 2.4% Procter & Gamble Co. 4 370 Diversified Financial Services - 9.2% CIT Group Inc. 6 200 Citigroup Inc. 14 677 Fannie Mae 5 340 Goldman Sachs Group Inc. 2 214 1,431 Electrical Components & Equipment - 1.1% Samsung Electronics Co. Ltd. - GDR (e) 1 169 Environmental Control - 1.2% Waste Management Inc. 6 192 Food - 0.1% Whole Foods Market Inc. - 8 Healthcare - 5.9% Aetna Inc. 3 186 C.R. Bard Inc. 1 116 Inamed Corp. (b) - 22 Medtronic Inc. 5 252 St. Jude Medical Inc. (b) 1 46 UnitedHealth Group Inc. 5 300 922 Holding Companies - Diversified - 0.6% LVMH Moet Hennessy Louis Vuitton SA 1 91 Insurance - 4.4% American International Group Inc. 5 307 Berkshire Hathaway Inc. - Class B (b) - 326 MGIC Investment Corp. 1 44 677 Internet - 0.8% Amazon.Com Inc. (b) 1 33 eBay Inc. (b) 1 36 Yahoo! Inc. (b) 1 54 123 Lodging - 2.5% Fairmont Hotels & Resorts Inc. 6 169 Four Seasons Hotels Inc. 1 54 Starwood Hotels & Resorts Worldwide Inc. 5 166 389 Manufacturing - 8.4% 3M Co. 3 224 General Electric Co. 10 304 Honeywell International Inc. 3 106 Tyco International Ltd. 25 666 1,300 Media - 12.9% British Sky Broadcasting Plc (b) 3 41 Clear Channel Communications Inc. 6 258 Comcast Corp. - Special Class A (b) 10 317 COX Communications Inc. (b) 6 224 Gannett Co. Inc. 2 217 Liberty Media Corp. (b) 28 337 Time Warner Inc. (b) 17 303 Viacom Inc. - Class B 5 212 Walt Disney Co. 5 113 2,022 Oil & Gas Producers - 5.2% ConocoPhillips 2 112 EnCana Corp. 6 248 Exxon Mobil Corp. 11 440 800 Pharmaceuticals - 6.5% Caremark Rx Inc. (b) 6 142 Medco Health Solutions Inc. (b) 5 161 Pfizer Inc. 8 289 Roche Holding AG Genusschein 4 412 1,004 Pipelines - 0.8% Kinder Morgan Inc. 2 121 Retail - 1.0% Autozone Inc. (b) - 36 Petsmart Inc. 2 40 Staples Inc. (b) 3 72 148 Semiconductors - 7.0% Applied Materials Inc. (b) 7 165 Intel Corp. 7 230 Linear Technology Corp. 4 163 Maxim Integrated Products Inc. 6 312 Nvidia Corp. (b) 2 44 Texas Instruments Inc. 6 168 1,082 Software - 4.5% Computer Associates International Inc. 4 101 Electronic Arts Inc. (b) 2 102 Microsoft Corp. 15 401 Oracle Corp. (b) 7 92 696 Telecommunications Equipment - 3.5% Cisco Systems Inc. (b) 15 365 Nokia Oyj - ADR 11 183 548 Toys & Hobbies - 1.0% Mattel Inc. 8 160 Transportation - 0.9% Canadian National Railway Co. 2 147 Total Common Stocks (cost $12,574) 14,582 Corporate Bonds - 1.0% Advertising - 0.1% Lamar Advertising Co., 2.875%, 12/31/10 (j) 15 16 Electric - 0.1% CMS Energy Corp., 7.625%, 11/15/04 15 16 Environmental Control - 0.1% Allied Waste North America, 7.875%, 04/15/13 10 11 Media - 0.2% COX Communications Inc., 7.125%, 10/01/12 22 25 Oil & Gas Producers - 0.1% Devon Energy Corp., 3.624%, 06/27/20 (j) 45 24 Telecommunications - 0.2% CenturyTel Inc., 8.375%, 10/15/10 20 24 Toys & Hobbies - 0.2% Mattel Inc., 6.125%, 07/15/05 34 36 Total Corporate Bonds (cost $138) 152 Preferred Stocks - 1.5% Auto Manufacturers - 0.8% Porsche AG - 132 Electric - 0.5% Centerpoint Energy Inc. Convertible Preferred, 2.00% 2 71 Environmental Control - 0.2% Allied Waste Industries Convertible Preferred, 6.25% - 26 Total Preferred Stocks (cost $212) 229 Short Term Investments - 2.1% Money Market Funds - 0.2% Dreyfus Cash Management Plus, 0.898% (a) 34 34 U.S. Government Agencies - 1.9% Federal Home Loan Bank Discount Note, 0.75%, 01/02/04 300 300 Total Short Term Investments (cost $334) 334 Total Investments - 98.6% (cost $13,259) 15,297 Other Assets and Liabilities, Net - 1.4% 223 Total Net Assets - 100% 15,520 JNL/JPMorgan International Value Fund Common Stocks - 75.8% Aerospace & Defense - 1.1% BAE Systems Plc 113 340 Auto Manufacturers - 2.9% DaimlerChrysler AG 8 389 Honda Motor Co. Ltd. 10 462 851 Banks - 17.3% ABN Amro Holding NV 28 660 Allied Irish Banks Plc 28 446 Australia & New Zealand Banking Group Ltd. 29 380 Bayerische Hypo-und Vereinsbank AG (b) 14 319 BNP Paribas SA 13 797 Credit Suisse Group 17 608 DBS Group Holdings Ltd. 38 329 HSBC Holdings Plc 24 378 Mizuho Financial Group Inc. (b) - 424 Royal Bank of Scotland Group Plc 26 780 5,121 Beverages - 1.4% Asahi Breweries Ltd. 46 419 Building Materials - 0.6% Buzzi Unicem SpA 15 176 Chemicals - 2.5% Imperial Chemical Industries Plc 65 231 Reliance Industries Ltd. - GDR (e) 17 509 740 Commercial Services - 1.3% Vedior NV 24 380 Computers - 1.7% Fujitsu Ltd. (b) 83 489 Diversified Financial Services - 3.2% Aiful Corp. 5 355 Daiwa Securities Group Inc. 49 333 Grupo Financiero BBVA Bancomer - ADR (b) 16 268 956 Electric - 4.2% CEMIG SA - ADR 21 389 Iberdrola SA 24 481 Public Power Corp. 2 41 Scottish Power Plc 50 331 1,242 Electrical Components & Equipment - 1.3% Samsung Electronics Co. Ltd. 1 397 Electronics - 2.0% Koninklijke Philips Electronics NV 12 364 Nippon Electric Glass Co. Ltd. 12 233 597 Food - 2.9% Tesco Plc 134 618 Unilever Plc 25 231 849 Holding Companies - Diversified - 1.0% Wharf Holdings Ltd. 105 291 Home Furnishings - 1.8% SONY Corp. 15 519 Insurance - 7.3% Aviva Plc 50 439 AXA 34 724 China Life Insurance Co. Ltd. (b) 52 43 ING Groep NV 19 451 Zurich Financial Services AG (b) 3 496 2,153 Iron & Steel - 0.4% Acerinox SA 3 131 Leisure Time - 0.9% TUI AG 13 262 Lodging - 0.8% InterContinental Hotels Group Plc 25 235 Machinery - 2.2% Kubota Corp. 90 371 MAN AG 9 281 652 Metal Fabrication & Hardware - 0.7% SKF AB 6 222 Oil & Gas Producers - 6.1% ENI-Ente Nazionale Idrocarburi SpA 28 538 LUKOIL - ADR 2 230 Petroleo Brasileiro SA - Petrobras - ADR 12 325 Total Fina Elf SA 4 723 1,816 Pharmaceuticals - 2.6% GlaxoSmithKline Plc 21 471 Schering AG 6 302 773 Retail - 1.4% Compagnie Financiere Richemont AG - Class A 17 412 Telecommunications - 4.2% Nippon Telegraph & Telephone Corp. - 425 Royal KPN NV (b) 61 471 Singapore Telecommunications Ltd. 298 344 1,240 Tobacco - 1.0% Imperial Tobacco Group Plc 15 294 Water - 2.0% Veolia Environnement 22 601 Wireless Telecommunications - 1.0% Advanced Info Service Public Company Ltd. 137 293 Total Common Stocks (cost $19,558) 22,451 Short Term Investments - 18.6% Money Market Funds - 9.5% Dreyfus Cash Management Plus, 0.898% (a) 1,400 1,400 Dreyfus Government Cash Management, 0.893% (a) 1,400 1,400 2,800 Repurchase Agreement - 6.8% Repurchase Agreement with Mellon Trust, 0.40%, (Collateralized by $2,266 Federal Home Loan Mortgage Corporation, 3.50%, due 06/15/23, market value $2,153) acquired on 12/31/03, due 01/02/04 at $2,000 2,000 2,000 U.S. Treasury Bills - 2.3% U.S. Treasury Bill, 0.895%, 03/11/04 (l) 690 689 Total Short Term Investments (cost $5,489) 5,489 Total Investments - 94.4% (cost $25,047) 27,940 Other Assets and Liabilities, Net - 5.6% 1,669 Total Net Assets - 100% 29,609 JNL/Lazard Mid Cap Value Fund Common Stocks - 97.5% Aerospace & Defense - 2.1% Alliant Techsystems Inc. (b) 51 2,940 Apparel - 3.7% NIKE Inc. 36 2,437 Polo Ralph Lauren Corp. 96 2,776 5,213 Auto Parts & Equipment - 1.2% Lear Corp. 29 1,754 Banks - 5.6% Charter One Financial Inc. 49 1,676 City National Corp. 29 1,777 Mercantile Bankshares Corp. 57 2,580 SouthTrust Corp. 60 1,954 7,987 Beverages - 3.2% Pepsi Bottling Group Inc. 187 4,524 Building Materials - 0.9% American Standard Cos. Inc. (b) 13 1,339 Chemicals - 3.2% Ashland Inc. 38 1,687 Rohm & Haas Co. 68 2,883 4,570 Commercial Services - 3.7% Aramark Corp. 116 3,173 Arbitron Inc. (b) 10 401 Iron Mountain Inc. (b) 42 1,676 5,250 Computers - 4.7% Apple Computer Inc. (b) 110 2,344 Lexmark International Inc. (b) 32 2,548 Storage Technology Corp. (b) 69 1,772 6,664 Distribution & Wholesale - 1.4% CDW Corp. 35 2,033 Diversified Financial Services - 3.0% Federated Investors Inc. 79 2,322 Student Loan Corp. 13 1,898 4,220 Electric - 1.4% NiSource Inc. 88 1,935 Environmental Control - 2.0% Republic Services Inc. 110 2,817 Food - 1.5% Safeway Inc. (b) 96 2,099 Gas - 1.5% KeySpan Corp. 58 2,127 Hand & Machine Tools - 1.5% Black & Decker Corp. 44 2,160 Healthcare - 6.9% Anthem Inc. (b) 22 1,650 DaVita Inc. (b) 38 1,490 Edwards Lifesciences Corp. (b) 48 1,429 Laboratory Corp. of America Holdings (b) 91 3,370 Steris Corp. (b) 89 2,009 9,948 Household Products - 1.4% Avery Dennison Corp. 37 2,067 Insurance - 6.7% Cigna Corp. 40 2,323 Jefferson-Pilot Corp. 39 1,960 Principal Financial Group 46 1,505 Protective Life Corp. 68 2,305 XL Capital Ltd. 21 1,590 9,683 Internet - 1.2% WebMD Corp. (b) 196 1,762 Lodging - 2.6% Mandalay Resort Group 84 3,743 Manufacturing - 2.2% ITT Industries Inc. 42 3,124 Office & Business Equipment - 1.8% Pitney Bowes Inc. 62 2,531 Oil & Gas Producers - 3.9% GlobalSantaFe Corp. 92 2,277 Unocal Corp. 44 1,624 Valero Energy Corp. 37 1,719 5,620 Oil & Gas Services - 2.4% Baker Hughes Inc. 57 1,820 Cooper Cameron Corp. (b) 34 1,603 3,423 Packaging & Containers - 1.5% Ball Corp. 35 2,109 Pharmaceuticals - 4.4% AmerisourceBergen Corp. 38 2,111 Barr Laboratories Inc. (b) 17 1,270 NBTY Inc. (b) 108 2,887 6,268 Real Estate - 5.0% AMB Property Corp. 66 2,154 Archstone-Smith Trust 99 2,767 Health Care Property Investors Inc. 44 2,230 7,151 Retail - 5.9% Abercrombie & Fitch Co. - Class A (b) 55 1,354 TJX Cos. Inc. 119 2,626 Toys "R" Us Inc. (b) 121 1,527 Yum! Brands Inc. (b) 83 2,862 8,369 Semiconductors - 1.4% AMIS Holdings Inc. (b) 109 1,983 Software - 4.1% Dun & Bradstreet Corp. (b) 29 1,491 PeopleSoft Inc. (b) 101 2,300 SEI Investments Co. 72 2,194 5,985 Telecommunications - 0.9% MCI Inc. (b) 55 1,302 Textiles - 0.9% Mohawk Industries Inc. (b) 18 1,263 Toys & Hobbies - 2.4% Mattel Inc. 176 3,384 Transportation - 1.3% Swift Transportation Co. Inc. (b) 88 1,854 Total Common Stocks (cost $120,656) 139,201 Short Term Investments - 3.5% Money Market Funds - 3.5% Dreyfus Cash Management Plus, 0.898% (a) 4,986 4,986 Total Short Term Investments (cost $4,986) 4,986 Total Investments - 101.0% (cost $125,642) 144,187 Other Assets and Liabilities, Net - (1.0%) -1,389 Total Net Assets - 100% 142,798 JNL/Lazard Small Cap Value Fund Common Stocks - 96.8% Advertising - 1.3% Advo Inc. 33 1,058 R.H. Donnelley Corp. (b) 24 960 2,018 Aerospace & Defense - 2.0% DRS Technologies Inc. (b) 85 2,347 Titan Corp. (b) 33 718 3,065 Agriculture - 0.9% Delta & Pine Land Co. 55 1,389 Apparel - 2.5% Gymboree Corp. (b) 71 1,218 Timberland Co. - Class A (b) 25 1,312 Warnaco Group Inc. (b) 97 1,544 4,074 Banks - 7.4% Chittenden Corp. 18 592 Community First Bankshares Inc. 55 1,586 East-West Bancorp. Inc. 9 483 First Community Bancorp. 22 799 First Midwest Bancorp. Inc. 54 1,740 Hudson United Bancorp. 29 1,057 South Financial Group Inc. 18 496 Sterling Bancshares Inc. 116 1,545 United Bankshares Inc. 48 1,494 W Holding Co. Inc. 52 976 Westamerica Bancorp. 17 825 11,593 Beverages - 0.5% Robert Mondavi Corp. - Class A (b) 21 827 Biotechnology - 0.9% Celgene Corp. (b) 33 1,463 Building Materials - 0.4% Florida Rock Industries Inc. 11 598 Chemicals - 3.2% Ferro Corp. 50 1,369 Olin Corp. 42 832 PolyOne Corp. (b) 176 1,123 Spartech Corp. 65 1,607 4,931 Commercial Services - 5.4% BearingPoint Inc. (b) 166 1,677 FTI Consulting Inc. (b) 58 1,346 Kroll Inc. (b) 63 1,641 Learning Tree International Inc. (b) 81 1,405 Plexus Corp. (b) 66 1,137 Watson Wyatt & Co. Holdings (b) 52 1,258 8,464 Computers - 2.7% Advanced Digital Information Corp. (b) 76 1,057 Maxtor Corp. (b) 102 1,128 Mentor Graphics Corp. (b) 88 1,278 Pec Solutions Inc. (b) 39 666 4,129 Cosmetics & Personal Care - 0.7% Elizabeth Arden Inc. (b) 57 1,139 Distribution & Wholesale - 0.7% ScanSource Inc. (b) 23 1,045 Diversified Financial Services - 2.3% Financial Federal Corp. (b) 46 1,399 IndyMac Bancorp. Inc. 47 1,394 WP Stewart & Co. Ltd. 35 763 3,556 Electric - 0.5% MDU Resources Group Inc. 31 746 Electrical Components & Equipment - 0.6% GrafTech International Ltd. (b) 68 918 Electronics - 5.1% Coherent Inc. (b) 66 1,564 Electro Scientific Industries Inc. (b) 81 1,923 Fisher Scientific International (b) 46 1,886 Flir Systems Inc. (b) 41 1,497 Varian Inc. (b) 23 976 Zygo Corp. (b) 11 185 8,031 Engineering & Construction - 0.8% Chicago Bridge & Iron Co. NV 41 1,196 Entertainment - 1.4% AMC Entertainment Inc. (b) 96 1,459 Intrawest Corp. 41 754 2,213 Environmental Control - 1.1% Waste Connections Inc. (b) 45 1,696 Food - 1.3% American Italian Pasta Co. (b) 47 1,957 Aurora Foods Inc. (b) 1 - 1,957 Gas - 0.9% AGL Resources Inc. 28 818 Energen Corp. 12 509 1,327 Healthcare - 4.4% Covance Inc. (b) 45 1,212 Inamed Corp. (b) 12 598 Inveresk Research Group Inc. (b) 47 1,172 Kindred Healthcare Inc. (b) 24 1,263 LifePoint Hospitals Inc. (b) 61 1,805 Manor Care Inc. 22 775 6,825 Home Builders - 0.6% Monaco Coach Corp. (b) 42 995 Home Furnishings - 0.9% Tempur-pedic International Inc. (b) 90 1,401 Household Products - 3.2% Moore Wallace Inc. (b) 78 1,452 Scotts Co. - Class A (b) 20 1,154 Toro Co. 28 1,308 Yankee Candle Co. Inc. (b) 36 986 4,900 Insurance - 3.1% HCC Insurance Holdings Inc. 52 1,641 Max Re Capital Ltd. 43 960 Reinsurance Group of America 17 657 RLI Corp. 22 832 Stancorp Financial Group Inc. 12 773 4,863 Internet - 1.7% ProQuest Co. (b) 46 1,349 Verity Inc. (b) 76 1,272 2,621 Leisure Time - 0.7% Brunswick Corp. 33 1,041 Machinery - 0.8% Nordson Corp. 38 1,312 Manufacturing - 1.6% Federal Signal Corp. 82 1,437 Roper Industries Inc. 20 970 2,407 Media - 3.5% Journal Register Co. (b) 71 1,468 Liberty Corp. 38 1,694 Pulitzer Inc. 16 837 Scholastic Corp. (b) 44 1,491 5,490 Metal Fabrication & Hardware - 0.8% Shaw Group Inc. (b) 90 1,230 Office Furnishings - 1.1% Herman Miller Inc. 68 1,643 Oil & Gas Producers - 2.0% Helmerich & Payne Inc. 52 1,447 Newfield Exploration Co. (b) 38 1,670 3,117 Oil & Gas Services - 1.8% CAL Dive International Inc. (b) 63 1,519 Key Energy Services Inc. (b) 117 1,206 2,725 Packaging & Containers - 0.7% Packaging Corp. of America 48 1,056 Pharmaceuticals - 5.0% aaiPharma Inc. (b) 86 2,148 Able Laboratories Inc. (b) 76 1,379 Andrx Corp. (b) 74 1,784 MIM Corp. (b) 172 1,208 NeighborCare Inc. (b) 62 1,214 7,733 Pipelines - 1.4% Kinder Morgan Management LLC (b) 36 1,565 Western Gas Resources Inc. 14 661 2,226 Real Estate - 5.1% Alexandria Real Estate Equities Inc. 11 619 Camden Property Trust 26 1,156 CarrAmerica Realty Corp. 29 870 Catellus Development Corp. 64 1,533 Healthcare Realty Trust Inc. 30 1,072 Maguire Properties Inc. 53 1,293 Mills Corp. 30 1,316 7,859 Retail - 2.5% Guitar Center Inc. (b) 34 1,108 Jack in the Box Inc. (b) 72 1,534 Sonic Corp. (b) 41 1,252 3,894 Semiconductors - 4.9% Actel Corp. (b) 52 1,241 AMIS Holdings Inc. (b) 75 1,373 Exar Corp. (b) 80 1,366 Lattice Semiconductor Corp. (b) 122 1,184 Microsemi Corp. (b) 48 1,185 Zoran Corp. (b) 71 1,228 7,577 Software - 1.9% Activision Inc. (b) 75 1,371 Borland Software Corp. (b) 155 1,506 2,877 Telecommunications - 1.0% Talk America Holdings Inc. (b) 135 1,560 Telecommunications Equipment - 2.1% C-COR.net Corp. (b) 159 1,773 CommScope Inc. (b) 7 111 Extreme Networks Inc. (b) 188 1,354 3,238 Transportation - 2.5% EGL Inc. (b) 50 885 Forward Air Corp. (b) 34 927 Swift Transportation Co. Inc. (b) 71 1,501 USF Corp. 17 591 3,904 Wireless Telecommunications - 0.9% Powerwave Technologies Inc. (b) 183 1,403 Total Common Stocks (cost $124,759) 150,272 Short Term Investments - 4.8% Money Market Funds - 4.8% Dreyfus Cash Management Plus, 0.898% (a) 7,385 7,385 Total Short Term Investments (cost $7,385) 7,385 Total Investments - 101.6% (cost $132,144) 157,657 Other Assets and Liabilities, Net - (1.6%) -2,466 Total Net Assets - 100% 155,191 JNL/Mellon Capital Management Bond Index Fund Corporate Bonds - 27.6% Aerospace & Defense - 0.3% General Dynamics Corp., 4.25%, 05/15/13 150 United Technologies Corp. 6.35%, 03/01/11 75 84 6.70%, 08/01/28 50 56 284 Alternative Energy - 0.1% Midamerican Energy Co., 6.75%, 12/30/31 50 54 Asset Backed Securities - 5.5% Bear Stearns Commercial Mortgage Securities, 6.80%, 09/15/08 119 126 Capital One Master Trust, 6.31%, 06/15/11 200 219 Capital One Prime Auto Receivables Trust, 2.59%, 09/15/09 150 149 Chase Manhattan Auto Owner Trust, 3.09%, 11/15/05 32 32 Chase Manhattan Bank-First Union, 7.439%, 08/15/31 50 58 Chevy Chase Auto Receivables Trust, 3.80%, 11/15/05 43 43 DaimlerChrysler Auto Trust, 3.78%, 02/06/07 400 410 DLJ Commercial Mortgage Corp. 6.93%, 08/10/09 191 208 6.46%, 03/10/32 50 56 6.88%, 06/10/32 60 65 First Union Commercial Mortgage Securities Inc., 6.65%, 11/18/29 100 110 First Union National Bank Commercial Mortgage Trust 7.184%, 12/15/31 84 90 7.39%, 12/15/31 105 122 First Union National Bank-Bank of America Commercial Mortgage Trust, 6.136%, 03/15/33 301 330 First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, 6.56%, 11/18/35 250 279 GMAC Commercial Mortgage Securities Inc., 6.42%, 05/15/35 100 111 Heller Financial Commercial Mortgage Asset Corp., 6.50%, 05/15/31 92 100 Honda Auto Receivables Owner Trust 3.96%, 02/19/07 250 254 2.77%, 11/21/08 200 201 Household Automotive Trust, 4.37%, 12/17/08 100 103 JPMorgan Commercial Mortgage Finance Corp., 6.507%, 10/15/35 (g) 35 39 LB Commercial Conduit Mortgage Trust 6.48%, 02/18/30 200 221 6.41%, 06/15/31 149 158 6.78%, 06/15/31 223 252 LB-UBS Commercial Mortgage Trust 5.401%, 03/15/26 111 116 5.594%, 06/15/31 75 80 Morgan Stanley Capital I, 6.52%, 03/15/30 100 111 Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 117 Mortgage Capital Funding Inc., 7.288%, 02/20/27 32 34 PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 61 Salomon Brothers Mortgage Securities VII, 6.17%, 02/13/10 100 110 Sears Credit Account Master Trust, 5.65%, 03/17/09 188 192 Toyota Auto Receivables Owner Trust, 4.72%, 09/15/08 125 128 4,685 Auto Manufacturers - 0.6% DaimlerChrysler NA Holding Corp. 7.25%, 01/18/06 250 270 4.75%, 01/15/08 150 154 4.05%, 06/04/08 100 99 523 Banks - 3.3% Bank of America Corp. 5.25%, 02/01/07 100 107 4.875%, 09/15/12 150 151 Bank One Corp., 6.50%, 02/01/06 200 217 Barclays Bank Plc, 6.86%, 09/15/49 (e) 50 54 BB&T Corp., 6.50%, 08/01/11 75 84 HSBC Holdings Plc, 5.25%, 12/12/12 100 102 KeyCorp, 4.625%, 05/16/05 150 156 KFW International Finance, 2.50%, 10/17/05 100 101 Korea Development Bank, 5.50%, 11/13/12 75 78 National Australia Bank Ltd., 8.60%, 05/19/10 250 310 National City Bank, 4.625%, 05/01/13 100 98 National Westminster Bank PLC, 7.375%, 10/01/09 250 292 NB Capital Trust II, 7.83%, 12/15/26 75 85 Popular North America Inc., 4.25%, 04/01/08 100 102 Province of Ontario, 6.00%, 02/21/06 200 216 Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 100 99 US Bancorp., 6.75%, 10/15/05 75 81 US Bank National Association, 6.375%, 08/01/11 100 112 Wachovia Corp., 7.55%, 08/18/05 100 109 Wells Fargo & Co., 5.00%, 11/15/14 200 199 2,753 Beverages - 0.4% Anheuser-Busch Cos. Inc., 6.80%, 01/15/31 75 86 Coca-Cola Enterprises Inc. 6.125%, 08/15/11 75 83 7.125%, 08/01/17 100 118 Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 86 373 Chemicals - 0.4% Dow Chemical Co. 6.125%, 02/01/11 50 54 6.00%, 10/01/12 50 53 E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 100 101 Praxair Inc., 3.95%, 06/01/13 100 94 Rohm & Haas Co., 7.85%, 07/15/29 50 61 363 Computers - 0.3% Hewlett-Packard Co., 7.15%, 06/15/05 100 107 International Business Machines Corp. 4.75%, 11/29/12 75 75 7.00%, 10/30/45 50 58 240 Diversified Financial Services - 6.7% Associates Corp., 6.25%, 11/01/08 300 333 Bear Stearns Co. Inc., 7.80%, 08/15/07 250 289 Boeing Capital Corp., 5.80%, 01/15/13 125 131 Citigroup Inc., 6.00%, 02/21/12 100 109 Countrywide Home Loans Inc., 5.50%, 08/01/06 75 80 Ford Motor Credit Co. 7.75%, 03/15/05 250 264 6.125%, 01/09/06 250 260 7.20%, 06/15/07 100 109 5.625%, 10/01/08 200 205 7.25%, 10/25/11 75 81 General Electric Capital Corp. 4.25%, 01/15/08 150 155 6.75%, 03/15/32 150 166 General Motors Acceptance Corp. 4.50%, 07/15/06 200 206 6.125%, 09/15/06 100 107 6.125%, 02/01/07 150 161 6.125%, 08/28/07 200 215 7.25%, 03/02/11 175 192 Goldman Sachs Group Inc. 6.65%, 05/15/09 250 283 5.25%, 04/01/13 100 101 Household Finance Corp. 6.875%, 03/01/07 100 112 7.625%, 05/17/32 150 182 International Lease Finance Corp., 5.75%, 10/15/06 250 269 JP Morgan Chase & Co. 5.625%, 08/15/06 100 108 6.625%, 03/15/12 100 112 5.75%, 01/02/13 100 105 Lehman Brothers Holdings Inc., 7.00%, 02/01/08 250 282 Merrill Lynch & Co. Inc., 7.375%, 05/15/06 100 111 Morgan Stanley Dean Witter & Co., 7.25%, 04/01/32 100 117 National Rural Utilities, 5.75%, 08/28/09 200 217 SLM Corp., 5.05%, 11/14/14 250 247 Textron Financial Corp., 7.125%, 12/09/04 50 52 Toyota Motor Credit Corp., 2.875%, 08/01/08 100 98 Wells Fargo Financial Inc., 7.60%, 05/03/05 100 108 5,567 Electric - 1.4% Alabama Power Co., 5.875%, 12/01/22 100 102 Florida Power & Light Co., 6.00%, 06/01/08 100 110 FPL Group Capital Inc., 7.375%, 06/01/09 100 117 Hydro Quebec, 7.50%, 04/01/16 100 123 Northern States Power Co., 8.00%, 08/28/12 100 122 Ohio Power Co., 5.50%, 02/15/13 100 103 Peco Energy Co., 4.75%, 10/01/12 100 100 PPL Electric Utilities Corp., 6.25%, 08/15/09 100 110 SCANA Corp., 6.875%, 05/15/11 75 85 Virginia Electric and Power Co., 4.75%, 03/01/13 50 49 Wisconsin Energy Corp., 6.50%, 04/01/11 100 110 1,131 Food - 1.1% Archer-Daniels-Midland Co., 8.125%, 06/01/12 75 92 HJ Heinz Finance Co., 6.625%, 07/15/11 200 226 Kraft Foods Inc. 4.625%, 11/01/06 50 52 5.25%, 06/01/07 100 106 Nabisco Inc., 7.05%, 07/15/07 200 225 Sara Lee Corp., 6.25%, 09/15/11 75 83 Unilever Capital Corp., 7.125%, 11/01/10 100 116 900 Gas - 0.1% KeySpan Corp., 6.15%, 06/01/06 100 108 Healthcare - 0.2% Baxter International Inc., 4.625%, 03/15/15 75 72 UnitedHealth Group Inc., 7.50%, 11/15/05 85 93 165 Insurance - 0.8% Allstate Corp. 6.125%, 02/15/12 75 82 5.35%, 06/01/33 75 69 American International Group Inc., 4.25%, 05/15/13 (e) 100 95 Chubb Corp., 5.20%, 04/01/13 100 101 Hartford Life Inc., 7.65%, 06/15/27 75 90 Metlife Inc., 5.00%, 11/24/13 100 99 Travelers Property Casualty Corp., 6.75%, 11/15/06 100 111 647 Investment Companies - 0.4% Credit Suisse First Boston Inc., 7.125%, 07/15/32 100 114 Credit Suisse First Boston USA Inc. 5.875%, 08/01/06 100 108 6.125%, 11/15/11 100 109 331 Machinery - 0.3% Caterpillar Inc., 7.30%, 05/01/31 100 120 Deere & Co., 8.10%, 05/15/30 70 90 210 Media - 0.4% AOL Time Warner Inc., 6.125%, 04/15/06 200 215 Viacom Inc., 7.875%, 07/30/30 125 156 371 Mining - 0.5% Alcan Inc., 4.875%, 09/15/12 50 50 Alcoa Inc., 6.50%, 06/01/11 125 141 BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 200 201 392 Oil & Gas Producers - 0.8% Apache Corp., 7.95%, 04/15/26 50 63 Conoco Funding Co., 7.25%, 10/15/31 75 88 ConocoPhillips, 6.65%, 07/15/18 75 85 Norsk Hydro ASA, 6.36%, 01/15/09 150 167 Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 83 Texaco Capital Inc., 8.625%, 11/15/31 100 142 628 Oil & Gas Services - 0.2% Baker Hughes Inc., 6.25%, 01/15/09 150 167 Pharmaceuticals - 0.6% Bristol-Myers Squibb Co., 5.75%, 10/01/11 100 108 Cardinal Health Inc., 6.75%, 02/15/11 75 86 Pharmacia Corp., 6.60%, 12/01/28 100 112 Schering-Plough Corp., 6.50%, 12/01/33 50 52 Wyeth, 5.25%, 03/15/13 100 102 460 Pipelines - 0.1% Consolidated Natural Gas Co., 6.80%, 12/15/27 50 54 Retail - 1.1% CVS Corp., 5.625%, 03/15/06 300 321 Kohl's Corp., 7.25%, 06/01/29 75 88 Lowe's Cos. Inc., 6.875%, 02/15/28 75 84 McDonald's Corp., 5.95%, 01/15/08 100 108 Target Corp. 5.50%, 04/01/07 75 81 7.00%, 07/15/31 100 113 Wal-Mart Stores Inc. 4.55%, 05/01/13 100 99 7.55%, 02/15/30 50 62 956 Software - 0.3% First Data Corp., 5.625%, 11/01/11 200 213 Telecommunications - 1.4% Alltel Corp., 7.875%, 07/01/32 50 61 BellSouth Corp., 6.875%, 10/15/31 200 219 GTE Corp., 6.94%, 04/15/28 50 52 SBC Communications Inc., 5.875%, 02/01/12 100 106 Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 116 Sprint Capital Corp., 6.00%, 01/15/07 150 160 Telefonica Europe BV, 8.25%, 09/15/30 100 126 Verizon Global Funding Corp. 7.25%, 12/01/10 250 288 7.75%, 12/01/30 50 59 1,187 Wireless Telecommunications - 0.3% Vodafone Group PLC, 7.75%, 02/15/10 200 237 Total Corporate Bonds (cost $22,892) 22,999 Government Securities - 70.5% Sovereign - 1.8% Canadian Government, 6.75%, 08/28/06 100 111 European Bank for Reconstruction & Development, 5.375%, 06/15/06 100 108 Export Development Canada, 2.75%, 12/12/05 100 101 Inter-American Development Bank 5.375%, 01/18/06 100 109 6.125%, 03/08/06 100 109 7.375%, 01/15/10 100 120 International Finance Corp., 5.25%, 05/02/06 100 106 Province of Quebec 5.75%, 02/15/09 125 137 7.50%, 07/15/23 100 123 Republic of Italy 2.50%, 03/31/06 100 100 5.375%, 06/15/33 100 96 Spain Government International Bond, 7.00%, 07/19/05 100 108 United Mexican States, 7.50%, 04/08/33 150 155 1,483 U.S. Government Agencies - 52.5% Federal Home Loan Mortgage Corp. 6.00%, TBA (c) 653 685 7.50%, TBA (c) 594 638 7.50%, TBA (c) 814 875 1.50%, 08/15/05 1,320 1,315 2.125%, 11/15/05 550 552 2.50%, 12/15/05 1,300 1,315 2.50%, 03/15/06 2,470 2,490 4.50%, 07/23/07 150 152 3.50%, 09/15/07 1,305 1,328 2.75%, 03/14/08 300 295 5.125%, 07/15/09 200 204 4.75%, 08/13/09 200 204 5.75%, 05/15/12 55 60 5.125%, 07/15/12 148 155 5.125%, 08/20/12 75 75 4.625%, 05/28/13 75 74 6.50%, 06/01/14 2,928 3,100 7.00%, 06/01/15 20 21 7.00%, 08/01/15 80 86 7.00%, 11/01/15 5 5 7.00%, 11/01/16 214 229 5.50%, 07/01/17 731 758 4.50%, 01/01/18 1,454 1,454 5.50%, 04/01/18 887 920 6.50%, 12/01/28 241 252 6.50%, 05/01/29 349 365 6.50%, 03/01/31 138 145 7.00%, 06/01/31 86 91 6.25%, 07/15/32 125 136 6.60%, 08/01/32 540 566 6.00%, 12/01/32 349 361 5.50%, 04/01/33 (f) 1,961 1,986 5.50%, 05/01/33 1,890 1,914 5.50%, 08/01/33 997 1,009 4.50%, 10/01/33 1,991 1,908 Federal National Mortgage Association 4.00%, TBA (c) 2,600 2,533 6.00%, TBA (c) 900 930 6.50%, TBA (c) 288 301 4.75%, 06/18/07 150 152 3.25%, 01/15/08 300 301 2.50%, 06/15/08 345 333 3.25%, 08/15/08 350 347 6.625%, 09/15/09 90 103 5.375%, 11/15/11 50 53 4.625%, 10/15/13 175 174 6.50%, 02/01/16 132 140 6.00%, 06/01/16 313 328 6.50%, 09/01/16 56 59 6.50%, 10/01/16 96 102 6.50%, 12/01/16 5 5 5.50%, 03/01/17 668 694 5.50%, 12/01/17 1,259 1,306 4.00%, 10/01/18 (f) 2,478 2,418 6.25%, 05/15/29 450 487 7.00%, 02/01/31 478 506 5.50%, 01/01/32 577 585 6.50%, 04/01/32 295 309 6.00%, 01/01/33 475 491 6.00%, 02/01/33 663 686 5.00%, 10/01/33 993 983 4.50%, 11/01/33 1,700 1,628 Government National Mortgage Association 8.00%, 04/15/30 95 103 8.50%, 06/15/30 120 130 8.50%, 12/15/30 6 7 6.50%, 01/15/32 505 533 6.00%, 10/15/32 436 454 5.50%, 07/15/33 968 986 43,890 U.S. Treasury Securities - 16.2% U.S. Treasury Bond 11.25%, 02/15/15 500 800 8.75%, 05/15/17 545 764 8.875%, 08/15/17 100 142 8.875%, 02/15/19 855 1,222 8.00%, 11/15/21 800 1,080 7.125%, 02/15/23 605 755 6.50%, 11/15/26 210 247 6.375%, 08/15/27 150 174 5.25%, 02/15/29 100 101 U.S. Treasury Note 4.625%, 05/15/06 425 450 4.375%, 05/15/07 300 318 3.25%, 08/15/07 320 326 6.125%, 08/15/07 750 839 5.50%, 02/15/08 785 866 5.50%, 05/15/09 750 834 6.50%, 02/15/10 1,415 1,644 5.75%, 08/15/10 375 421 5.00%, 08/15/11 825 883 4.875%, 02/15/12 395 418 4.375%, 08/15/12 605 617 3.875%, 02/15/13 125 123 8.125%, 05/15/21 375 511 13,535 Total Government Securities (cost $58,393) 58,908 Municipals - 0.3% Illinois St Taxable Pension, 5.10%, 06/01/33 200 184 New Jersey St Turnpike, 4.252%, 01/01/16 100 95 Total Municipals (cost $278) 279 Short Term Investments - 1.5% Money Market Funds - 1.5% Dreyfus Cash Management Plus, 0.898% (a) 1,262 1,262 Total Short Term Investments (cost $1,262) 1,262 Total Investments - 99.9% (cost $82,825) 83,448 Other Assets and Liabilities, Net - 0.1% 99 Total Net Assets - 100% 83,547 JNL/Mellon Capital Management International Index Fund Common Stocks - 91.8% Advertising - 0.2% Aegis Group Plc 15 27 Asatsu-DK Inc. 1 13 Dentsu Inc. - 15 Publicis Groupe 1 35 Telefonica Publicidad e Informacion SA 1 6 WPP Group Plc 14 140 236 Aerospace & Defense - 0.4% BAE Systems Plc 36 109 Cobham Plc 1 27 European Aeronautic Defense and Space Co. 4 85 Finmeccanica SpA 71 56 Rolls-Royce Group Plc 18 58 Sagem SA - 23 Thales SA 1 33 Zodiac SA - 14 405 Airlines - 0.2% Air France 1 15 All Nippon Airways Co. Ltd. (b) 6 15 British Airways Plc (b) 6 24 Cathay Pacific Airways Ltd. 11 21 Deutsche Lufthansa AG 2 40 Iberia Lineas Aereas de Espana SA 6 18 Japan Airlines System Corp. 9 24 Ryanair Holdings Plc (b) 1 7 SAS AB (b) 1 12 Singapore Airlines Ltd. 7 46 222 Apparel - 0.2% Adidas-Salomon AG - 56 Benetton Group SpA - 3 Gunze Ltd. 3 14 Hermes International - 18 Onward Kashiyama Co. Ltd. 2 24 Puma AG Rudolf Dassler Sport - 44 Tokyo Style Co. Ltd. 1 11 Wacoal Corp. 1 8 World Co. Ltd. 1 19 Yue Yuen Industrial Holdings 5 14 211 Auto Manufacturers - 3.0% DaimlerChrysler AG 10 486 Fiat SpA (b) 6 42 Hino Motors Ltd. 3 21 Honda Motor Co. Ltd. 10 422 Nissan Motor Co. Ltd. 30 344 Peugeot SA 2 109 Renault SA 2 142 Toyota Motor Corp. 33 1,108 Volkswagen AG 3 154 Volvo AB - Class A 1 35 Volvo AB - Class B 3 83 2,946 Auto Parts & Equipment - 0.5% Bridgestone Corp. 8 108 Compagnie Generale des Etablissements Michelin - Class B 2 73 Continental AG 1 50 Denso Corp. 6 116 GKN Plc 8 38 Koyo Seiko Co. Ltd. 1 10 NGK Spark Plug Co. Ltd. 2 16 Nokian Renkaat Oyj - 15 Pirelli & Co. SpA 20 21 Sanden Corp. 1 6 Toyoda Gosei Co. Ltd. 1 17 Valeo SA 1 33 503 Banks - 16.4% 77 Bank Ltd. 4 22 ABN Amro Holding NV 19 436 Allied Irish Banks Plc 10 164 Alpha Bank A.E. 2 63 Australia & New Zealand Banking Group Ltd. 22 290 Banca Intesa SpA 44 170 Banca Intesa SpA RNC 12 33 Banca Monte dei Paschi di Siena SpA 14 45 Banca Nazionale del Lavoro SpA (b) 17 40 Banca Popolare di Milano SCRL 4 29 Banche Popolari Unite Scrl (b) 4 69 Banco Bilbao Vizcaya Argentaria SA 37 508 Banco BPI SA 6 21 Banco Comercial Portugues SA 25 55 Banco Espirito Santo SA 1 17 Banco Popolare di Verona 5 77 Banco Popular Espanol 2 113 Banco Santander Central Hispano SA 52 616 Bank Austria Creditanstalt AG (b) 1 25 Bank of East Asia 17 53 Bank of Fukuoka Ltd. 7 29 Bank of Ireland 12 158 Bank of Yokohama Ltd. 12 56 Barclays Plc 79 709 Bayerische Hypo-und Vereinsbank AG (b) 4 102 BNP Paribas SA 10 618 BOC Hong Kong Holdings Ltd. 34 63 Capitalia SpA (b) 14 39 Chiba Bank Ltd. 7 29 Commercial Bank of Greece 1 20 Commerzbank AG 6 114 Commonwealth Bank of Australia 15 337 Credit Agricole SA 4 98 Credit Suisse Group 14 527 Danske Bank A/S 6 138 DBS Group Holdings Ltd. 13 113 Deutsche Bank AG 6 523 Dexia 8 134 DnB Holding ASA 9 63 EFG Eurobank Ergasias SA 2 47 Erste Bank der Oesterreichischen Sparkassen AG - 42 FinecoGroup SpA (b) 25 18 Fortis 13 253 Gunma Bank Ltd. 4 18 Hang Seng Bank Ltd. 9 122 HBOS Plc 47 603 Hokugin Financial Group Inc. (b) 9 12 HSBC Holdings Plc 132 2,071 Hypo Real Estate Holding Inc. (b) 2 39 Joyo Bank Ltd. 7 23 KBC Bancassurance Holding 1 52 Lloyds TSB Group Plc 68 544 Mitsubishi Tokyo Financial Group Inc. - 382 Mitsui Trust Holdings Inc. (b) 6 34 Mizuho Financial Group Inc. (b) - 234 National Australia Bank Ltd. 18 410 National Bank of Greece SA 2 58 Nordea AB 28 213 Oversea-Chinese Banking Corp. Ltd. 12 85 Piraeus Bank SA 2 18 Resona Holdings Inc. (b) 53 67 Royal Bank of Scotland Group Plc 34 998 Sanpaolo IMI SpA 12 160 Shizuoka Bank Ltd. 7 52 Singapore Post Ltd. 23 9 Skandinaviska Enskilda Banken AB 6 82 Societe Generale 4 349 Sumitomo Mitsui Financial Group Inc. - 245 Sumitomo Trust & Banking Co. Ltd. 11 65 Suncorp-Metway Ltd. 7 61 Suruga Bank Ltd. 2 13 Svenska Handelsbanken 1 14 Svenska Handelsbanken AB - Class B 7 137 UBS AG 14 983 UFJ Holdings Inc. (b) - 207 UniCredito Italiano SpA 46 247 United Overseas Bank Ltd. 14 109 Westpac Banking Corp. 22 262 16,054 Beverages - 1.3% Asahi Breweries Ltd. 5 46 Carlsberg A/S - 14 Coca-Cola Amatil Ltd. 5 21 Coca-Cola Hellenic Bottling Co. SA 1 21 Coca-Cola West Japan Co. Ltd. - 6 Diageo Plc 38 495 Foster's Group Ltd. 27 93 Fraser & Neave Ltd. 2 13 Heineken NV 2 90 Interbrew 2 51 ITO EN Ltd. - 17 Kirin Brewery Co. Ltd. 8 68 Lion Nathan Ltd. 3 14 Pernod-Ricard 1 73 SABMiller Plc 10 100 Sapporo Holdings Ltd. 5 14 Scottish & Newcastle Plc 9 62 Southcorp Ltd. 9 18 Takara Holdings Inc. 2 19 1,235 Biotechnology - 0.1% Novozymes A/S 1 26 Qiagen NV (b) 1 17 Sonic Healthcare Ltd. 3 17 Zeltia SA 1 10 70 Building Materials - 1.3% Asahi Glass Co. Ltd. 9 74 Boral Ltd. 7 26 BPB Plc 5 33 Central Glass Co. Ltd. 2 13 Cie de Saint-Gobain 4 186 Cimpor Cimentos de Portugal SA 2 12 CRH Plc 6 131 CSR Ltd. 12 17 Daikin Industries Ltd. 2 46 Fletcher Building Ltd. 5 13 FLS Industries A/S (b) - 2 Geberit AG - 17 Hanson Plc 9 65 HeidelbergCement AG (b) 1 23 Holcim Ltd. 2 85 Imerys SA - 30 Italcementi SpA 1 15 James Hardie Industries NV 6 30 Lafarge SA 2 179 Matsushita Electric Works Ltd. 5 45 Nippon Sheet Glass Co. Ltd. 4 12 Pilkington Plc 12 21 Rinker Group Ltd. 10 51 RMC Group Plc 3 39 Sumitomo Osaka Cement Co. Ltd. 2 4 Taiheiyo Cement Corp. 8 23 Titan Cement Co. SA - 16 Tostem Inax Holding Corp. 3 58 Wienerberger AG - 13 1,279 Chemicals - 2.4% Air Liquide SA 1 218 Akzo Nobel NV 3 126 Asahi Kasei Corp. 15 81 BASF AG 7 368 Bayer AG 8 232 BOC Group Plc 6 93 Ciba Specialty Chemicals AG (b) 1 63 Clariant AG (b) 1 18 Daicel Chemical Industries Ltd. 2 8 Dainippon Ink and Chemicals Inc. 8 15 Denki Kagaku Kogyo KK 5 16 DSM NV 1 46 Givaudan - 44 Hitachi Chemical Co. Ltd. 1 20 Imperial Chemical Industries Plc 15 54 Ishihara Sangyo Kaisha Ltd. (b) 1 2 Johnson Matthey Plc 3 50 JSR Corp. 2 45 Kaneka Corp. 3 22 Lonza Group AG 1 29 Mitsubishi Chemical Corp. 20 52 Mitsubishi Gas Chemical Co. Inc. 5 17 Mitsui Chemicals Inc. 7 41 Nippon Kayaku Co. Ltd. 1 5 Nippon Sanso Corp. 3 13 Nippon Shokubai Co. Ltd. 1 8 Nissan Chemical Industries Ltd. 2 18 Nitto Denko Corp. 2 106 Shin-Etsu Chemical Co. Ltd. 4 180 Showa Denko KK 13 29 Solvay SA 1 72 Sumitomo Bakelite Co. Ltd. 2 13 Sumitomo Chemical Co. Ltd. 14 58 Syngenta AG 1 88 Tosoh Corp. 6 20 Ube Industries Ltd. 9 18 2,288 Commercial Services - 1.1% Abertis Infraestructuras SA 2 38 Adecco SA 2 96 Aggreko Plc 5 13 Autoroutes du Sud de la France 1 30 Autostrade SpA (b) 2 40 Bellsystem 24 Inc. - 10 Benesse Corp. 1 22 Brambles Industries Ltd. 11 43 Brambles Industries Plc 10 36 Brisa-Auto Estradas de Portugal SA 4 25 Bunzl Plc 6 46 Capita Group Plc 8 33 Dai Nippon Printing Co. Ltd. 7 98 Davis Service Group Plc 2 13 De La Rue Plc 3 14 Group 4 Falck A/S 1 16 Hays Plc 19 42 IHC Caland NV - 20 ISS A/S 1 30 Kamigumi Co. Ltd. 3 21 Kidde Plc 9 18 Nichii Gakkan Co. - 18 Rank Group Plc 7 33 Rentokil Initial Plc 21 73 Securicor Plc 8 14 Securitas AB 4 50 Serco Group Plc 6 18 SGS Societe Generale Surveillance Holding SA - 29 TIS Inc. 1 17 Toppan Printing Co. Ltd. 7 73 Transurban Group 4 14 Vedior NV 1 18 1,061 Computers - 0.6% Atos Origin SA (b) - 22 Cap Gemini SA (b) 1 61 Computershare Ltd. 7 18 Creative Technology Ltd. 1 14 CSK Corp. 1 29 Fujitsu Ltd. (b) 19 112 Indra Sistemas SA 2 24 Itochu Techno-Science Corp. 1 16 LogicaCMG Plc 9 41 Logitech International SA (b) 1 26 Meitec Corp. 1 19 NET One Systems Co. Ltd. - 23 Obic Co. Ltd. - 20 TDK Corp. 1 101 Tietoenator Oyj 1 25 WM-Data AB (b) 1 2 553 Cosmetics & Personal Care - 0.6% Aderans Co. Ltd. - 3 Beiersdorf AG - 35 Kanebo Ltd. (b) 2 2 Kao Corp. 7 142 L'Oreal SA 4 333 Shiseido Co. Ltd. 4 49 Uni-Charm Corp. 1 29 593 Distribution & Wholesale - 0.6% Cycle & Carriage Ltd. 1 3 Esprit Holdings Ltd. 9 28 Hagemeyer NV 1 1 Itochu Corp. 16 53 Li & Fung Ltd. 18 31 Marubeni Corp. 16 31 Mitsubishi Corp. 12 127 Mitsui & Co. Ltd. 14 113 Sumitomo Corp. 8 59 Wolseley Plc 7 96 542 Diversified Financial Services - 1.5% Acom Co. Ltd. 1 38 Aeon Credit Service Co. Ltd. - 13 Aiful Corp. 1 37 Amvescap Plc 8 60 Australian Stock Exchange Ltd. 2 20 Banca Fideuram SpA 4 23 Cattles Plc 4 25 Close Brothers Group Plc 1 19 Credit Saison Co. Ltd. 2 34 Daiwa Securities Group Inc. 14 95 Deutsche Boerse AG 1 71 Euronext NV 1 28 Hong Kong Exchanges and Clearing Ltd. 12 26 Irish Life & Permanent Plc 3 56 Macquarie Bank Ltd. 3 68 Man Group Plc 3 87 Mediobanca SpA 6 62 MLP AG (b) 1 15 Nikko Cordial Corp. 15 84 Nomura Holdings Inc. 21 358 OM AB 1 10 ORIX Corp. 1 83 Promise Co. Ltd. 1 48 Provident Financial Plc 3 33 Sampo Oyj - Class A 4 37 Schroders Plc 2 18 Singapore Exchange Ltd. 4 4 Takefuji Corp. 1 40 1,492 Electric - 3.2% Chubu Electric Power Co. Inc. 8 159 CLP Holdings Ltd. 21 100 Contact Energy Ltd. 5 19 E.ON AG 8 494 Electrabel SA - 119 Electricidade de Portugal SA 20 53 Endesa SA 11 210 Enel SpA 29 200 Fortum Oyj 4 42 Hong Kong Electric Holdings Ltd. 17 65 Iberdrola SA 9 188 International Power Plc (b) 15 33 Kansai Electric Power Co. Inc. 8 140 Kyushu Electric Power Co. Inc. 5 84 National Grid Transco Plc 37 267 Public Power Corp. 1 27 RWE AG 6 220 Scottish & Southern Energy Plc 10 122 Scottish Power Plc 23 150 Tohoku Electric Power Co. Inc. 5 81 Tokyo Electric Power Co. Inc. 14 305 Union Fenosa SA 3 49 Verbund-Oesterreichische Elektrizitaetswirtschafts AG - 4 3,131 Electrical Components & Equipment - 1.0% Bekaert SA - 11 Casio Computer Co. Ltd. 2 21 Fujikura Ltd. 4 24 Furukawa Electric Co. Ltd. 7 23 Hitachi Cable Ltd. 1 4 Hitachi Ltd. 35 211 Johnson Electric Holdings Ltd. 17 22 Mitsubishi Electric Corp. 21 87 NEG Micon A/S (b) - 2 Sanyo Electric Co. Ltd. 19 99 Sharp Corp. 11 174 Stanley Electric Co. Ltd. 2 39 Sumitomo Electric Industries Ltd. 7 62 Toshiba Corp. 33 125 Ushio Inc. 1 16 Vestas Wind Systems A/S 1 21 941 Electronics - 1.7% Advantest Corp. 1 64 Alps Electric Co. Ltd. 2 29 Anritsu Corp. (b) 1 7 Barco NV - 12 Dainippon Screen Manufacturing Co. Ltd. (b) 2 14 Electrocomponents Plc 5 32 Epcos AG (b) 1 18 Fanuc Ltd. 2 102 Hirose Electric Co. Ltd. - 46 Keyence Corp. - 89 Koninklijke Philips Electronics NV 16 467 Kyocera Corp. 2 133 Mabuchi Motor Co. Ltd. - 31 Minebea Co. Ltd. 4 20 Mitsumi Electric Co. Ltd. 1 12 Murata Manufacturing Co. Ltd. 3 146 NEC Corp. 20 147 NGK Insulators Ltd. 3 22 Omron Corp. 3 51 Secom Co. Ltd. 3 93 Taiyo Yuden Co. Ltd. 1 13 Venture Corp. Ltd. 3 35 Yokogawa Electric Corp. 3 43 1,626 Engineering & Construction - 1.0% ABB Ltd. (b) 20 101 Acciona SA - 21 ACS SA 1 64 Amec Plc 4 18 Auckland International Airport Ltd. 3 16 BAA Plc 13 115 Balfour Beatty Plc 5 21 Bouygues SA 2 85 Cheung Kong Infrastructure Holdings Ltd. 6 13 COMSYS Holdings Corp. (b) 1 6 Flughafen Wien AG - 3 Fomento de Construcciones Y Contratas SA 1 26 Grupo Ferrovial SA 1 32 Hellenic Technodomiki Tev SA - 1 JGC Corp. 2 21 Kajima Corp. 10 32 Kinden Corp. 1 5 Kobenhavns Lufthavne - 15 Leighton Holdings Ltd. 2 19 Linde AG 1 58 New World Development Co. Ltd. 19 15 Nishimatsu Construction Co. Ltd. 3 10 Obayashi Corp. 7 31 Okumura Corp. 3 13 SembCorp Industries Ltd. 19 14 Shimizu Corp. 6 23 Singapore Technologies Engineering Ltd. 17 20 Skanska AB 5 43 Taisei Corp. 10 37 Takuma Co. Ltd. 1 5 Technical Olympic SA 1 4 Toda Corp. 1 3 VA Technologie AG (b) - 1 Vinci SA 1 66 957 Entertainment - 0.3% Aristocrat Leisure Ltd. 1 2 EMI Group Plc 9 24 Greek Organization of Football Prognostics SA 2 29 Hilton Group Plc 19 77 Oriental Land Co. Ltd. 1 43 TAB Ltd. 7 23 TABCORP Holdings Ltd. 4 38 Toho Co. Ltd. 2 19 William Hill Plc 5 35 290 Environmental Control - 0.0% Kurita Water Industries Ltd. 1 14 Tomra Systems ASA 3 17 31 Food - 4.6% Ajinomoto Co. Inc. 7 80 Ariake Japan Co. Ltd. - 4 Axfood AB - 9 Cadbury Schweppes Plc 25 184 Carrefour SA 7 383 Casino Guichard-Perrachon SA - 42 Colruyt SA - 19 Compass Group Plc 27 183 Danisco A/S 1 27 Delhaize Group 1 51 Fyffes Plc 6 11 Greencore Group Plc 3 13 Groupe Danone 2 250 House Foods Corp. 1 6 J Sainsbury Plc 17 94 Jeronimo Martins (b) - 3 Katokichi Co. Ltd. - 3 Kerry Group Plc 1 25 Kesko Oyj 1 14 Kikkoman Corp. 2 14 Koninklijke Ahold NV (b) 13 100 Meiji Dairies Corp. 3 13 Meiji Seika Kaisha Ltd. 3 12 Metro AG 2 79 Nestle SA 5 1,229 Nichirei Corp. 3 10 Nippon Meat Packers Inc. 2 20 Nisshin Seifun Group Inc. 2 18 Nissin Food Products Co. Ltd. 1 30 Numico NV (b) 2 49 Orkla ASA 2 54 Ostasiatiske Kompagni - 13 QP Corp. 2 13 Safeway Plc 14 69 Snow Brand Milk Products Co. Ltd. (b) 1 1 Sodexho Alliance SA 1 31 Suedzucker AG 1 10 Tate & Lyle Plc 5 28 Tesco Plc 89 409 Toyo Suisan Kaisha Ltd. 1 11 Unilever NV 7 451 Unilever Plc 34 313 Woolworths Ltd. 13 113 Yakult Honsha Co. Ltd. 1 16 Yamazaki Baking Co. Ltd. 1 8 4,515 Forest Products & Paper - 0.5% Billerud AB 1 10 Carter Holt Harvey Ltd. 15 18 Holmen AB 1 18 Mayr-Melnhof Karton AG - 5 Nippon Unipac Holding - 52 Norske Skogindustrier ASA 1 23 OJI Paper Co. Ltd. 10 65 PaperlinX Ltd. 5 20 Stora Enso Oyj - Class R 8 102 Svenska Cellulosa AB 2 94 UPM-Kymmene Oyj 6 121 528 Gas - 0.6% Australian Gas Light Co. Ltd. 5 47 Centrica Plc 52 195 Gas Natural SDG SA 3 60 Hong Kong & China Gas Co. Ltd. 46 70 Osaka Gas Co. Ltd. 24 65 Snam Rete Gas SpA 11 48 Tokyo Gas Co. Ltd. 31 110 595 Hand & Machine Tools - 0.5% Fuji Electric Co. Ltd. 6 13 KCI Konecranes Oyj - 3 KONE Corp. Oyj - Class B - 23 Makita Corp. 1 10 Nidec Corp. - 38 Sandvik AB 3 90 Schindler Holding AG (b) - 19 Schneider Electric SA 3 167 SMC Corp. 1 87 Techtronic Industries Co. 6 17 THK Co. Ltd. 1 23 490 Healthcare - 0.7% Amersham Plc 9 117 Cie Generale D'Optique Essilor International SA 1 63 Cochlear Ltd. 1 10 Coloplast A/S - 13 Fisher & Paykel Healthcare Corp. - 2 Fresenius Medical Care AG - 27 Gambro AB 4 33 Getinge AB 2 23 Hoya Corp. 1 119 Luxottica Group SpA 2 31 Nobel Biocare Holding AG - 25 Parkway Holdings Ltd. 2 1 Smith & Nephew Plc 11 95 SNIA SpA 2 4 SSL International Plc 3 18 Synthes-Stratec Inc. - 52 Terumo Corp. 2 38 William Demant Holding A/S (b) - 7 678 Holding Companies - Diversified - 0.7% DCC Plc 1 12 Groupe Bruxelles Lambert SA 1 50 Haw Par Corp. Ltd. 1 3 Hutchison Whampoa Ltd. 26 192 Keppel Corp. Ltd. 6 22 LVMH Moet Hennessy Louis Vuitton SA 3 216 Patrick Corp. Ltd. 2 21 Swire Pacific Ltd. 11 65 Tomkins Plc 10 47 Viohalco - 2 Wharf Holdings Ltd. 14 39 669 Home Builders - 0.3% Barratt Developments Plc 3 26 Berkeley Group Plc 2 25 Daiwa House Industry Co. Ltd. 5 53 George Wimpey Plc 4 27 Persimmon Plc 3 29 Sekisui Chemical Co. Ltd. 5 25 Sekisui House Ltd. 6 62 Taylor Woodrow Plc 6 29 276 Home Furnishings - 1.0% Bang & Olufsen A/S - 4 Electrolux AB - Series B 4 79 Fisher & Paykel Appliances Holdings Ltd. 1 3 Matsushita Electric Industrial Co. Ltd. 25 348 MFI Furniture Group Plc 8 20 Pioneer Corp. 2 53 SONY Corp. 11 367 Thomson 3 63 Yamaha Corp. 2 33 970 Household Products - 0.3% Henkel KGaA 1 55 Reckitt Benckiser Plc 7 166 Societe BIC SA - 21 Toto Ltd. 4 34 Waterford Wedgwood Plc 3 1 277 Insurance - 4.4% Aegon NV 16 242 Alleanza Assicurazioni SpA 5 59 Allianz AG 4 446 Amp Limited 22 84 Assicurazioni Generali SpA 12 308 Aviva Plc 27 240 AXA 17 366 CNP Assurances 1 28 Corporacion Mapfre SA 1 15 Daido Life Insurance Co. Ltd. - 39 Friends Provident Plc 20 48 HHG Plc (b) 17 12 ING Groep NV 21 495 Insurance Australia Group Ltd. 21 66 Legal & General Group Plc 79 142 Mediolanum SpA 4 28 Millea Holdings Inc. - 235 Mitsui Sumitomo Insurance Co. Ltd. 15 123 Muenchener Rueckversicherungs AG 2 223 Pohjola Group Plc - Class D - 3 Prudential Plc 24 206 QBE Insurance Group Ltd. 8 64 Riunione Adriatica di Sicurta SpA 3 58 Royal & Sun Alliance Insurance Group Plc 32 51 Skandia Forsakrings AB 9 33 Sompo Japan Insurance Inc. 9 74 Storebrand ASA (b) 2 15 Swiss Reinsurance 4 265 Topdanmark A/S (b) - 21 Zurich Financial Services AG (b) 2 251 4,240 Internet - 0.1% Softbank Corp. 3 76 Trend Micro Inc. (b) 1 27 Wanadoo (b) 5 38 141 Investment Companies - 0.1% Independent Newspapers Ltd. 2 5 Macquarie Infrastructure Group 23 60 65 Iron & Steel - 0.6% Acerinox SA 1 28 Arcelor 4 73 BHP Steel Ltd. 10 41 Boehler-Uddeholm AG - 2 JFE Holdings Inc. 5 147 Nippon Steel Corp. 66 142 OneSteel Ltd. 9 14 Rautaruukki Oyj (b) - 3 Ssab Svenskt Stal AB 1 14 Sumitomo Metal Industries Ltd. 35 35 ThyssenKrupp AG 4 72 Voestalpine AG - 10 581 Leisure Time - 0.2% Amer Group Ltd. - 13 Carnival Plc 2 82 Kuoni Reisen Holding AG - 15 Namco Ltd. 1 16 Sankyo Co. Ltd. 1 16 Shimano Inc. 1 21 TUI AG 1 27 Yamaha Motor Co. Ltd. 1 11 201 Lodging - 0.2% Accor SA 2 105 InterContinental Hotels Group Plc 9 82 NH Hoteles SA (b) 1 13 Overseas Union Enterprise Ltd. 1 4 Shangri-La Asia Ltd. 14 13 Sky City Entertainment Group Ltd. 7 21 238 Machinery - 0.4% Alstom (b) 6 10 Amada Co. Ltd. 3 16 Atlas Copco AB 2 79 Ebara Corp. 3 13 Komatsu Ltd. 11 70 Komori Corp. 1 15 Kubota Corp. 12 49 MAN AG 1 33 Metso Oyj 2 20 Sumitomo Heavy Industries Ltd. (b) 7 16 Toyota Industries Corp. 2 36 357 Manufacturing - 1.8% AGFA-Gevaert NV 1 36 Alfa Laval AB 1 12 Amano Corp. 1 7 Ansell Ltd. 3 14 BBA Group Plc 6 28 FKI Plc 9 18 Fuji Photo Film Co. Ltd. 6 194 Futuris Corp. Ltd. 2 3 IMI Plc 4 23 Invensys Plc (b) 40 13 Ishikawajima-Harima Heavy Industries Co. Ltd. 12 17 Kawasaki Heavy Industries Ltd. 13 16 Konica Corp. 5 67 Mitsubishi Heavy Industries Ltd. 33 92 Nikon Corp. (b) 3 45 NKT Holding A/S - 2 Novar Plc 6 14 Olympus Optical Co. Ltd. 3 65 Orica Ltd. 3 31 Siemens AG 10 781 Smiths Group Plc 6 76 Sulzer AG - 16 Trelleborg AB 1 20 Uponor Oyj - 13 Wartsila Oyj 1 12 Wesfarmers Ltd. 5 91 1,706 Media - 2.0% Amoldo Mondadori Editore SpA 2 18 Antena 3 Television SA (b) - 7 British Sky Broadcasting Plc (b) 15 192 Carlton Communications Plc 7 29 Daily Mail & General Trust 4 48 EMAP Plc 3 48 Eniro AB 2 16 Fuji Television Network Inc. - 16 Granada Plc 32 69 Gruppo Editoriale L'Espresso SpA 2 14 Independent News & Media Plc 6 15 John Fairfax Holdings Ltd. 11 30 Lagardere S.C.A. 2 89 Mediaset SpA 7 87 Modern Times Group AB (b) 1 15 News Corp. Ltd. 18 163 Pearson Plc 10 106 Promotora de Informaciones SA (Prisa) 1 17 ProSieben Sat.1 Media AG 1 19 Publishing & Broadcasting Ltd. 2 17 Reed Elsevier NV 7 90 Reed Elsevier Plc 16 132 Reuters Group Plc 18 74 Schibsted ASA 1 14 SCMP Group Ltd. 4 2 Seat Pagine Gialle SpA (b) 53 45 Singapore Press Holdings Ltd. 5 56 Societe Television Francaise 1 1 52 Television Broadcasts Ltd. 3 15 Tokyo Broadcasting System Inc. - 6 United Business Media Plc 4 38 Vivendi Universal SA (b) 11 269 VNU NV 3 81 Wolters Kluwer NV 3 53 Yell Group Plc 5 28 1,970 Metal Fabrication & Hardware - 0.1% Assa Abloy AB - Class B 3 40 Hoganas AB - 4 NSK Ltd. 5 18 NTN Corp. 6 29 SKF AB 1 39 SKF AB - Class A - 8 138 Mining - 1.5% Alumina Ltd. 13 65 Aluminum of Greece S.A.I.C. - 2 BHP Billiton Ltd. 45 417 BHP Billiton Plc 30 262 Dowa Mining Co. Ltd. 3 16 Iluka Resources Ltd. 4 12 Mitsubishi Materials Corp. (b) 11 17 Mitsui Mining & Smelting Co. Ltd. 6 25 Newcrest Mining Ltd. 4 41 Outokumpu Oyj 1 16 Rio Tinto Ltd. 4 102 Rio Tinto Plc 13 356 Sumitomo Metal Mining Co. Ltd. 6 45 Umicore - 16 WMC Resources Ltd. (b) 14 59 1,451 Office & Business Equipment - 0.7% Canon Inc. 10 465 OCE NV 1 19 Ricoh Co. Ltd. 8 158 Seiko Epson Corp. 1 37 679 Office Furnishings - 0.0% Kokuyo Co. Ltd. 1 9 Oil & Gas Producers - 7.6% BG Group Plc 43 219 BP Plc 268 2,173 ENI-Ente Nazionale Idrocarburi SpA 32 594 Hellenic Petroleum SA 2 16 Nippon Mining Holdings Inc. 6 21 Nippon Oil Corp. 15 76 Norsk Hydro ASA 2 111 OMV AG - 30 Origin Energy Ltd. 8 29 Repsol YPF SA 11 217 Royal Dutch Petroleum Co. - NYS 25 1,334 Santos Ltd. 7 38 Shell Transport & Trading Co. Plc 117 872 Showa Shell Sekiyu KK 1 8 Statoil ASA 5 61 Teikoku Oil Co. Ltd. 3 15 TonenGeneral Sekiyu KK 4 33 Total Fina Elf SA 8 1,450 Woodside Petroleum Ltd. 6 63 7,360 Oil & Gas Services - 0.0% Aker Kvaerner ASA (b) - 2 Smedvig ASA - Class A - 2 Technip-Coflexip SA - 21 25 Packaging & Containers - 0.2% Amcor Ltd. 10 64 Rexam Plc 7 57 Toyo Seikan Kaisha Ltd. 2 28 149 Pharmaceuticals - 7.5% Alliance Unichem Plc 3 26 Altana AG 1 50 AstraZeneca Plc 21 993 Aventis SA 8 542 Celesio AG - 17 Celltech Group Plc (b) 3 20 Chugai Pharmaceutical Co. Ltd. 3 47 CSL Ltd. 2 28 Daiichi Pharmaceutical Co. Ltd. 3 49 Eisai Co. Ltd. 3 73 Elan Corp. Plc (b) 5 35 Fujisawa Pharmaceutical Co. Ltd. 3 64 GlaxoSmithKline Plc 72 1,656 H Lundbeck A/S 1 10 Kyowa Hakko Kogyo Co. Ltd. 4 26 Mayne Group Ltd. 10 24 Merck KGaA 1 29 Novartis AG 29 1,309 Novo-Nordisk A/S 3 126 Omega Pharma SA - 3 Orion-Yhtymae Oy - 6 Roche Holding AG Bearer - 59 Roche Holding AG Genusschein 9 864 Sankyo Co. Ltd. 4 77 Sanofi-Synthelabo SA 4 333 Schering AG 2 103 Serono SA - Class B - 54 Shionogi & Co. Ltd. 4 74 Suzuken Co. Ltd. - 10 Taisho Pharmaceutical Co. Ltd. 2 36 Takeda Chemical Industries Ltd. 10 404 UCB SA 1 37 Yamanouchi Pharmaceutical Co. Ltd. 4 115 7,299 Real Estate - 1.7% British Land Co. Plc 6 61 Canary Wharf Group Plc (b) 5 26 CapitaLand Ltd. 16 15 Castellum AB 1 12 Centro Properties Group 8 23 CFS Gandel Retail Trust 17 17 Cheung Kong Holdings Ltd. 18 143 City Developments Ltd. 5 18 Cofinimmo SA - 14 Commonwealth Property Office Fund 9 8 Corio NV 1 21 Daito Trust Construction Co. Ltd. 1 36 Deutsche Office Trust 16 13 Drott AB 1 21 Gecina SA (b) - 31 General Property Trust 22 49 Great Portland Estates Plc 3 12 Hammerson Plc 3 38 Hang Lung Properties Ltd. 14 18 Henderson Land Development Co. Ltd. 9 40 Hopewell Holdings 8 12 Hysan Development Co. Ltd. 10 15 Immofinanz Immobilien Anlagen AG (b) 2 17 Investa Property Group 17 25 Japan Real Estate Investment Corp. - 19 Klepierre - 18 Land Securities Group Plc 5 97 Lend Lease Corp. Ltd. 5 37 Liberty International Plc 3 35 Macquarie Goodman Industrial Trust 17 22 Mirvac Group 7 24 Mitsubishi Estate Co. Ltd. 12 114 Mitsui Fudosan Co. Ltd. 8 72 Nippon Building Fund Inc. - 19 Rodamco Europe NV 1 31 Sacyr Vallehermoso SA 1 21 Sino Land Co. 10 6 Slough Estates Plc 5 38 Stockland 14 57 Sumitomo Realty & Development Co. Ltd. 4 35 Sun Hung Kai Properties Ltd. 16 132 Unibail Holding 1 47 United Overseas Land Ltd. 2 2 Wereldhave NV - 22 Westfield Holdings Ltd. 5 56 Westfield Trust (b) 1 2 Westfield Trust 26 70 1,663 Retail - 2.5% Aeon Co. Ltd. 3 94 Aoyama Trading Co. Ltd. 1 16 Autobacs Seven Co. Ltd. - 2 Autogrill SpA (b) 2 24 Boots Group Plc 10 122 Bulgari SpA 2 19 Citizen Watch Co. Ltd. 3 28 Coles Myer Ltd. 14 78 Compagnie Financiere Richemont AG - Class A 6 152 Daimaru Inc. 3 17 D'ieteren NV - 3 Dixons Group Plc 22 54 Douglas Holding AG - 11 Enterprise Inns Plc 2 33 FamilyMart Co. Ltd. 1 18 Fast Retailing Co. Ltd. 1 43 Folli - Follie SA - 3 Giordano International Ltd. 24 11 Grafton Group Plc (b) 2 12 GUS Plc 12 170 Hankyu Department Stores Inc. 1 7 Harvey Norman Holdings Ltd. 8 18 Hellenic Duty Free Shops SA 1 10 Hennes & Mauritz AB - Class B 6 140 ID 2 21 Inditex SA 3 56 Isetan Co. Ltd. 2 22 Ito-Yokado Co. Ltd. 4 126 KarstadtQuelle AG 1 12 Kesa Electricals Plc 6 30 Kingfisher Plc 28 140 Koninklijke Vendex KBB NV 1 17 Lawson Inc. 1 27 Marks & Spencer Group Plc 27 139 Marui Co. Ltd. 4 53 Matsumotokiyoshi Co. Ltd. - 9 Mitchells & Butlers Plc 7 29 Mitsukoshi Ltd. (b) 5 20 Next Plc 4 70 Pinault-Printemps-Redoute SA 1 78 Saizeriya Co. Ltd. - 1 Seven-Eleven Japan Co. Ltd. 5 152 Shimachu Co. Ltd. 1 14 Shimamura Co. Ltd. - 20 Signet Group Plc 21 39 Skylark Co. Ltd. 1 18 Sonae SGPS SA (b) 15 13 Swatch Group AG 1 18 Swatch Group AG - Class B - 52 Takashimaya Co. Ltd. 3 21 USS Co. Ltd. - 21 Valora Holding AG - 7 Warehouse Group Ltd. 1 3 Whitbread Plc 4 47 Yamada Denki Co. Ltd. 1 27 2,387 Semiconductors - 0.8% ARM Holdings Plc (b) 13 29 ASM Pacific Technology 1 4 ASML Holding NV (b) 6 110 Chartered Semiconductor Manufacturing Ltd. (b) 14 14 Infineon Technologies AG (b) 6 79 Rohm Co. Ltd. 1 153 ST Assembly Test Services Ltd. (b) 1 1 STMicroelectronics NV 7 192 Tokyo Electron Ltd. 2 137 Unaxis Holding AG - 23 742 Shipbuilding - 0.0% Mitsui Engineering & Shipbuilding Co. Ltd. 10 17 SembCorp Marine Ltd. 7 4 21 Software - 0.7% Business Objects SA (b) 1 25 Capcom Co. Ltd. - 3 Dassault Systemes SA 1 32 Hitachi Software Engineering Co. Ltd. - 10 Konami Corp. 1 26 Misys Plc 7 27 Nomura Research Institute Ltd. - 29 Oracle Corp. Japan - 21 Sage Group Plc 16 50 SAP AG 3 422 645 Storage/Warehousing - 0.0% Mitsubishi Logistics Corp. 1 8 Telecommunications - 4.2% BT Group Plc 105 354 Cable & Wireless Plc 29 69 Deutsche Telekom AG (b) 31 559 Elisa Communications Oyj - Class A (b) 2 24 France Telecom SA (b) 13 374 Hellenic Telecommunications Organization SA 3 39 Nippon Telegraph & Telephone Corp. - 309 PCCW Ltd. (b) 40 26 Portugal Telecom SGPS SA 11 113 PT-Multimedia - Servicos de Telecomunicacoes e Multimedia SG1S SA (b) 16 Royal KPN NV (b) 26 198 Singapore Telecommunications Ltd. 73 84 Swisscom AG - 105 TDC A/S 2 58 Tele2 AB - Class B (b) 1 64 Telecom Corp. 23 82 Telecom Italia SpA (b) 180 472 Telefonica SA 57 838 Telekom Austria AG (b) 2 30 Telenor ASA 9 56 TeliaSonera AB 19 98 Telstra Corp. Ltd. 25 91 Tiscali SpA (b) 2 15 4,074 Telecommunications Equipment - 1.7% Alcatel SA (b) 15 190 GN Store Nord (b) 3 19 Intracom SA 1 3 Kudelski SA (b) 1 18 Nokia Oyj 58 1,005 NTT Data Corp. - 61 Oki Electric Industry Co. Ltd. (b) 7 27 Tandberg ASA (b) 2 15 Telefonaktiebolaget LM Ericsson (b) 177 317 1,655 Textiles - 0.2% Kuraray Co. Ltd. 4 34 Mitsubishi Rayon Co. Ltd. 7 26 Nisshinbo Industries Inc. 1 6 Teijin Ltd. 10 29 Texwinca Holdings Ltd. 6 4 Toray Industries Inc. 14 59 Toyobo Co. Ltd. 7 15 173 Tobacco - 0.7% Altadis SA 3 96 British American Tobacco Plc 19 265 Imperial Tobacco Group Plc 9 174 Japan Tobacco Inc. - 66 Swedish Match AB 4 39 640 Toys & Hobbies - 0.2% Bandai Co. Ltd. 1 25 Nintendo Co. Ltd. 1 112 Sega Corp. (b) 2 16 153 Transportation - 1.4% Amadeus Global Travel Distribution SA 2 15 Associated British Ports Holdings Plc 4 32 Central Japan Railway Co. - 95 ComfortDelGro Corp. Ltd. 17 8 Compagnie Maritime Belge SA - 2 Dampskibsselskabet Svendborg - 94 Deutsche Post AG 5 95 DSV De Sammensluttede Vognmaend af - 9 East Japan Railway Co. - 193 Exel Plc 4 49 Firstgroup Plc 6 27 Frontline Ltd. 1 21 Kawasaki Kisen Kaisha Ltd. 5 25 Keihin Electric Express Railway Co. Ltd. 4 23 Keio Electric Railway Co. Ltd. 6 31 Kinki Nippon Railway Co. Ltd. (b) 18 54 Mitsui O.S.K. Lines Ltd. 10 49 MTR Corp. 18 24 Neptune Orient Lines Ltd. (b) 13 17 Nippon Express Co. Ltd. 9 42 Nippon Yusen Kabushiki Kaisha 11 50 Peninsular and Oriental Steam Navigation Co. 10 41 Seino Transportation Co. Ltd. 1 8 SembCorp Logistics Ltd. 1 1 Stagecoach Group Plc 12 17 Tobu Railway Co. Ltd. 9 32 Tokyu Corp. 12 62 Toll Holdings Ltd. 3 16 TPG NV 4 92 West Japan Railway Co. - 55 Yamato Transport Co. Ltd. 5 59 1,338 Venture Capital - 0.1% 3i Group Plc 7 82 Jafco Co. Ltd. - 23 105 Water - 0.5% Kelda Group Plc 4 36 Severn Trent Plc 4 55 Sociedad General de Aguas de Barcelona SA - 5 Suez SA 10 197 United Utilities Plc 11 80 Veolia Environnement 3 73 446 Wireless Telecommunications - 2.9% Mobistar SA (b) - 11 NTT DoCoMo Inc. - 474 SmarTone Telecommunications Holding Ltd. 7 7 TIM SpA 46 250 Vodafone Group Plc 827 2,049 Vodafone-Panafon SA 2 17 2,808 Total Common Stocks (cost $74,555) 89,131 Preferred Stocks - 0.3% Auto Manufacturers - 0.1% Porsche AG - 60 Volkswagen AG 1 43 103 Cosmetics & Personal Care - 0.0% Wella AG - 12 Healthcare - 0.0% Fresenius Medical Care AG - 18 Media - 0.2% News Corp. Ltd. 28 211 Total Preferred Stocks (cost $283) 344 Warrants - 0.0% Commercial Services - 0.0% Hopewell Highway Infrastructure, Strike Price 4.18 HKD, Expiring 08/05/06 1 - Machinery - 0.0% Alstom, Strike Price 1.25 EUR, Expiring 01/09/04 1 - Total Warrants (cost $2) - Short Term Investments - 7.4% Money Market Funds - 6.9% Dreyfus Cash Management Plus, 0.898% (a) 4,818 4,818 Dreyfus Government Cash Management, 0.893% (a) 1,923 1,923 6,741 U.S. Treasury Bills - 0.5% U.S. Treasury Bill, 0.895%, 03/11/04 (l) 450 449 Total Short Term Investments (cost $7,190) 7,190 Total Investments - 99.5% (cost $82,030) 96,665 Other Assets and Liabilities, Net - 0.5% 461 Total Net Assets - 100% 97,126 JNL/Oppenheimer Global Growth Fund Common Stocks - 91.9% Advertising - 0.8% JC Decaux SA (b) 21 349 WPP Group Plc 47 465 814 Aerospace & Defense - 3.4% Boeing Co. 12 514 Empresa Brasileira de Aeronautica SA - ADR 35 1,212 Lockheed Martin Corp. 10 529 Northrop Grumman Corp. 5 516 Raytheon Co. 25 751 3,522 Banks - 9.0% ABN Amro Holding NV 61 1,427 Australia & New Zealand Banking Group Ltd. 34 455 Bank One Corp. 40 1,842 ICICI Bank Ltd. - ADR 75 1,293 Northern Trust Corp. 5 227 Resona Holdings Inc. (b) 242 305 Royal Bank of Scotland Group Plc 39 1,162 Societe Generale 17 1,519 Wachovia Corp. 26 1,196 9,426 Beverages - 1.6% Cia de Bebidas das Americas - ADR 24 614 Diageo Plc 17 228 Fomento Economico Mexicano SA de CV 124 458 Grupo Modelo SA 168 401 1,701 Biotechnology - 2.2% Affymetrix Inc. (b) 18 445 Amgen Inc. (b) 12 717 Biogen Idec Inc. (b) 3 99 Genentech Inc. (b) 3 243 Human Genome Sciences Inc. (b) 13 172 Millennium Pharmaceuticals Inc. (b) 12 232 Qiagen NV (b) 35 435 2,343 Chemicals - 0.4% International Flavors & Fragrances Inc. 13 471 Commercial Services - 0.4% Rentokil Initial Plc 125 426 Computers - 3.9% Cadence Design Systems Inc. (b) 147 2,638 International Business Machines Corp. 5 438 Sandisk Corp. (b) 2 104 Synopsys Inc. (b) 26 862 4,042 Cosmetics & Personal Care - 1.1% Gillette Co. 22 812 Shiseido Co. Ltd. 29 352 1,164 Diversified Financial Services - 3.2% American Express Co. 18 873 Charles Schwab Corp. 38 450 Citigroup Inc. 9 422 Credit Saison Co. Ltd. 20 443 Fannie Mae 5 383 MBNA Corp. 18 451 MLP AG (b) 15 295 3,317 Electrical Components & Equipment - 1.7% Samsung Electronics Co. Ltd. 3 961 Sharp Corp. 51 805 1,766 Electronics - 1.3% Applera Corp. - Applied Biosystems Group 21 437 Keyence Corp. 2 437 Murata Manufacturing Co. Ltd. 9 486 1,360 Engineering & Construction - 0.3% JGC Corp. 20 209 Leighton Holdings Ltd. 9 78 287 Entertainment - 0.9% International Game Technology 27 950 Food - 1.4% Cadbury Schweppes Plc 142 1,040 Carrefour SA 8 432 1,472 Gas - 0.5% Hong Kong & China Gas Co. Ltd. 322 492 Healthcare - 2.7% Cie Generale D'Optique Essilor International SA 8 392 Johnson & Johnson 14 702 Oxford Health Plans (b) 9 400 Quest Diagnostics Inc. 12 863 Smith & Nephew Plc 58 486 2,843 Holding Companies - Diversified - 0.4% Hutchison Whampoa Ltd. 58 428 Household Products - 3.1% Hindustan Lever Ltd. 176 791 Reckitt Benckiser Plc 85 1,933 Societe BIC SA 10 482 3,207 Insurance - 4.8% ACE Ltd. 21 875 Aegon NV 71 1,046 Allianz AG 10 1,203 Berkshire Hathaway Inc. - Class B (b) - 873 Everest Re Group Ltd. 6 465 Manulife Financial Corp. 16 524 4,986 Internet - 1.2% Symantec Corp. (b) 6 194 Trend Micro Inc. (b) 21 564 Yahoo Japan Corp. (b) - 470 1,228 Manufacturing - 0.3% Bombardier Inc. - Class B 67 285 Media - 8.9% Grupo Televisa SA - ADR 18 710 Pearson Plc 84 935 Reed Elsevier Plc 87 724 Singapore Press Holdings Ltd. 56 629 Sirius Satellite Radio Inc. (b) 1,027 3,246 Societe Television Francaise 1 15 528 Television Broadcasts Ltd. 191 965 Vivendi Universal SA (b) 23 564 Wolters Kluwer NV 31 492 ZEE Telefilms Ltd. 199 654 9,447 Office & Business Equipment - 0.4% Canon Inc. 9 419 Oil & Gas Producers - 4.5% BP Plc - ADR 18 865 Burlington Resources Inc. 7 388 ChevronTexaco Corp. 10 864 EnCana Corp. 15 604 ENI-Ente Nazionale Idrocarburi SpA 23 440 Husky Energy Inc. 57 1,042 Total Fina Elf SA 2 461 4,664 Pharmaceuticals - 10.0% Aventis SA 12 772 Chugai Pharmaceutical Co. Ltd. 31 448 Eli Lilly & Co. 7 478 Express Scripts Inc. - Class A (b) 7 472 Gilead Sciences Inc. (b) 15 872 Mylan Laboratories Inc. 19 470 Novartis AG 17 782 Pfizer Inc. 28 1,001 Roche Holding AG Genusschein 13 1,341 Sanofi-Synthelabo SA 26 1,958 Schering-Plough Corp. 34 583 Shionogi & Co. Ltd. 51 950 Teva Pharmaceutical Industries Ltd. - ADR 8 431 10,558 Retail - 4.8% Boots Group Plc 44 540 Circuit City Stores Inc. - Circuit City Group 55 557 Dixons Group Plc 385 957 Gap Inc. 23 522 Hennes & Mauritz AB - Class B 41 972 Panera Bread Co. - Class A (b) 5 202 RadioShack Corp. 14 423 Seven-Eleven Japan Co. Ltd. 13 394 Starbucks Corp. (b) 15 479 5,046 Semiconductors - 2.7% Advanced Micro Devices Inc. (b) 82 1,225 National Semiconductor Corp. (b) 24 954 Novellus Systems Inc. (b) 11 441 Nvidia Corp. (b) 7 160 2,780 Software - 3.0% BEA Systems Inc. (b) 37 458 Electronic Arts Inc. (b) 4 177 IMS Health Inc. 23 562 Infosys Technologies Ltd. 7 911 Red Hat Inc. (b) 15 274 Sybase Inc. (b) 25 505 Veritas Software Corp. (b) 7 256 3,143 Telecommunications - 4.1% Amdocs Ltd. (b) 18 394 France Telecom SA (b) 51 1,449 KDDI Corp. - 2,492 4,335 Telecommunications Equipment - 4.1% Alcatel SA (b) 45 575 Cisco Systems Inc. (b) 23 559 JDS Uniphase Corp. (b) 194 708 Juniper Networks Inc. (b) 14 258 Scientific-Atlanta Inc. 13 366 Tandberg ASA (b) 111 814 Telefonaktiebolaget LM Ericsson (b) 553 991 4,271 Transportation - 0.4% Amadeus Global Travel Distribution SA 62 403 Venture Capital - 0.4% 3i Group Plc 39 428 Wireless Telecommunications - 4.0% Qualcomm Inc. 45 2,432 SK Telecom Co. Ltd. - ADR 16 289 SK Telecom Co. Ltd. 2 294 Vodafone Group Plc 469 1,163 4,178 Total Common Stocks (cost $78,164) 96,202 Corporate Bonds - 0.2% Biotechnology - 0.2% Nektar Therapeutics, 3.00%, 06/30/10 (e) (j) 126 171 Cosmetics & Personal Care - 0.0% Hindustan Lever Ltd., 9.00%, 01/01/05 INR 926 21 Total Corporate Bonds (cost $146) 192 Preferred Stocks - 2.5% Auto Manufacturers - 1.0% Porsche AG 2 1,084 Pharmaceuticals - 0.5% Fresenius AG 8 563 Telecommunications - 0.9% Tele Norte Leste Participacoes SA 58,941 928 Total Preferred Stocks (cost $1,949) 2,575 Short Term Investments - 8.8% Money Market Funds - 8.8% Dreyfus Cash Management Plus, 0.898% (a) 5,166 5,166 Dreyfus Government Cash Management, 0.893% (a) 4,025 4,025 Total Short Term Investments (cost $9,191) 9,191 Total Investments - 103.4% (cost $89,450) 108,160 Other Assets and Liabilities, Net - (3.4%) -3,535 Total Net Assets - 100% 104,625 JNL/Oppenheimer Growth Fund Common Stocks - 92.4% Beverages - 1.3% PepsiCo Inc. 9 429 Biotechnology - 9.4% Amgen Inc. (b) 22 1,334 Genentech Inc. (b) 18 1,667 Medimmune Inc. (b) 3 86 3,087 Computers - 5.4% Dell Inc. (b) 40 1,373 EMC Corp. (b) 33 421 1,794 Cosmetics & Personal Care - 0.9% Avon Products Inc. 5 304 Diversified Financial Services - 6.6% American Express Co. 15 709 Citigroup Inc. 22 1,082 Morgan Stanley 7 385 2,176 Healthcare - 6.2% Boston Scientific Corp. (b) 17 632 Stryker Corp. 8 652 Varian Medical Systems Inc. (b) 11 764 2,048 Insurance - 3.7% American International Group Inc. 9 616 Radian Group Inc. 12 605 1,221 Internet - 8.2% Amazon.Com Inc. (b) 4 184 eBay Inc. (b) 5 336 Symantec Corp. (b) 29 994 Yahoo! Inc. (b) 27 1,207 2,721 Investment Companies - 4.3% Nasdaq-100 Index Tracking Stock 39 1,422 Leisure Time - 0.7% Harley-Davidson Inc. 5 219 Manufacturing - 4.1% General Electric Co. 44 1,348 Media - 6.7% Clear Channel Communications Inc. 4 164 Comcast Corp. - Class A (b) 7 243 COX Communications Inc. (b) 9 320 EchoStar Communications Corp. (b) 15 515 Univision Communications Inc. (b) 24 953 2,195 Pharmaceuticals - 11.6% Eli Lilly & Co. 6 411 Gilead Sciences Inc. (b) 24 1,397 Pfizer Inc. 37 1,307 Teva Pharmaceutical Industries Ltd. - ADR 13 760 3,875 Retail - 7.5% Gap Inc. 9 216 Staples Inc. (b) 24 661 Target Corp. 13 500 Walgreen Co. 6 218 Wal-Mart Stores Inc. 16 865 2,460 Semiconductors - 3.3% Intel Corp. 26 840 Texas Instruments Inc. 8 238 1,078 Software - 9.6% Microsoft Corp. 64 1,749 Oracle Corp. (b) 65 862 Veritas Software Corp. (b) 15 563 3,174 Telecommunications Equipment - 2.9% Cisco Systems Inc. (b) 21 503 Scientific-Atlanta Inc. 16 449 952 Total Common Stocks (cost $26,932) 30,503 Short Term Investments - 8.5% Money Market Funds - 5.6% Dreyfus Cash Management Plus, 0.898% (a) 1,661 1,661 Dreyfus Government Cash Management, 0.893% (a) 166 166 1,827 Repurchase Agreement - 2.9% Repurchase Agreement with Mellon Trust, 0.40%, (Collateralized by $1,090 Federal Home Loan Mortgage Corp., 3.50%, due 06/15/23, market value $1,036) acquired on 12/31/03, due 01/02/04 at $962 962 962 Total Short Term Investments (cost $2,789) 2,789 Total Investments - 100.9% (cost $29,721) 33,292 Other Assets and Liabilities, Net - (0.9%) -299 Total Net Assets - 100% 32,993 JNL/PIMCO Total Return Bond Fund Corporate Bonds - 12.4% Asset Backed Securities - 5.4% Ameriquest Mortgage Securities Inc., 1.69%, 08/25/32 (g) 307 307 Amortizing Residential Collateral Trust, 1.71%, 07/25/32 (g) 577 576 Bayview Financial Acquisition Trust 1.82%, 04/25/31 (e) (g) 40 40 1.70%, 07/25/31 (e) (g) 142 142 Bear Stearns Adjustable Rate Mortgage, 4.83%, 01/25/34 (g) 1,983 1,996 Bear Stearns Adjustable Rate Mortgage Trust 4.81%, 11/25/30 (g) 29 29 5.439%, 10/25/32 (g) 68 68 5.381%, 02/25/33 (g) 552 560 5.681%, 02/25/33 (g) 180 182 5.22%, 04/25/33 (g) 853 859 CDC Mortgage Capital Trust, 1.71%, 01/25/33 (g) 710 709 Chase Mortgage Finance Corp., 6.21%, 12/25/29 (g) 50 51 Countrywide Asset-Backed Certificates, 1.65%, 06/25/31 (g) 71 71 Credit-Based Asset Servicing and Securitization, 1.74%, 06/25/32 (g) 152 152 CS First Boston Mortgage Securities Corp. 2.07%, 11/25/31 (g) 49 49 1.82%, 02/25/32 (g) 142 142 Equity One ABS Inc., 1.66%, 11/25/32 (g) 588 587 First Nationwide Trust, 1.64%, 09/25/31 (g) 43 43 GSR Mortgage Loan Trust, 5.575%, 10/25/31 (g) 360 359 G-Wing Ltd., 4.09%, 11/06/11 (e) (g) 195 193 Indymac ARM Trust, 6.45%, 01/25/32 (g) 18 18 Irwin Low Balance Home Equity Loan Trust, 1.795%, 06/25/21 (e) (g) 26 26 Mellon Residential Funding Corp., 1.91%, 10/20/29 (g) 800 790 Mid-State Trust, 8.33%, 04/01/30 (g) 35 38 Morgan Stanley Capital I, 6.59%, 10/03/30 95 97 Residential Asset Securitization Trust, 7.13%, 07/25/31 (g428 434 Sequoia Mortgage Trust, 1.77%, 10/19/26 (g) 668 683 Small Business Administration Participation Certificates 6.29%, 01/01/21 85 92 5.13%, 09/01/23 100 101 Structured Asset Mortgage Investments Inc., 1.75%, 09/19/32 (g) 865 857 Structured Asset Securities Corp. 1.87%, 06/25/17 (g) 513 514 1.90%, 03/25/31 (g) 102 102 1.87%, 05/25/31 (g) 1 1 6.50%, 10/25/31 16 17 6.26%, 02/25/32 (g) 30 31 1.71%, 01/25/33 (g) 123 123 Torrens Trust, 1.68%, 07/15/31 (e) (g) 126 126 Vendee Mortgage Trust, 6.50%, 09/15/24 1,093 1,135 Washington Mutual, 2.70%, 08/25/42 (g) 3,949 3,964 Washington Mutual Mortgage Securities Corp., 6.01%, 01/25/31 (g) 51 51 Washington Mutual MSC Mortgage Pass- Through Certificates, 5.39%, 02/25/31 (g) 370 378 Washington Mutual Pass-Through Certificates, 5.10%, 10/25/32 (g) 385 395 Wells Fargo Mortgage Backed Securities Trust 6.15%, 01/25/32 (g) 36 36 5.21%, 09/25/32 (g) 100 102 17,226 Auto Manufacturers - 0.3% DaimlerChrysler NA Holding Corp., 6.90%, 09/01/04 500 516 General Motors Corp., 7.125%, 07/15/13 300 329 General Motors Corp., 8.375%, 07/05/33 EUR 100 148 993 Banks - 0.3% Banque Centrale de Tunisie, 7.50%, 08/06/09 (e) 300 419 Fifth Third Bank, 7.75%, 08/15/10 500 539 958 Chemicals - 0.0% Dow Chemical Co., 8.04%, 07/02/05 99 102 Diversified Financial Services - 2.2% Atlas Reinsurance Plc, 3.65%, 01/07/05 (e) (g) 750 755 CIT Group Inc. 2.78%, 03/01/04 (g) 1,400 1,403 2.62%, 07/30/04 (g) 600 604 CS First Boston Mortgage Securities Corp., 2.4782%, 03/25/32 (g) 677 675 Gemstone Investors Ltd., 7.71%, 10/31/04 (e) 100 101 General Motors Acceptance Corp. 2.05%, 01/20/04 (g) 2,001 2,001 1.53%, 04/05/04 (g) 100 100 2.10%, 05/04/04 (g) 500 501 1.98%, 05/10/04 (g) 100 100 1.68%, 07/21/04 (g) 100 100 8.00%, 11/01/31 200 225 UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 320 6,885 Electric - 0.7% AEP Texas Central Co., 2.43%, 02/15/05 200 200 Appalachian Power Co., 4.80%, 06/15/05 700 728 Gulf States Utilities, 8.25%, 04/01/04 1,000 1,016 TXU Energy Co., 7.00%, 03/15/13 300 332 2,276 Electronics - 0.1% Parker Hannifin Employee Stock Ownership Trust, 6.34%, 07/15/08 (e) 135 146 Pipelines - 1.3% El Paso Corp. 8.05%, 10/15/30 1,000 870 7.80%, 08/01/31 1,500 1,277 7.75%, 01/15/32 900 767 Williams Cos. Inc., 8.75%, 03/15/32 1,200 1,356 4,270 Telecommunications - 2.1% Deutsche Telekom International Finance BV, 8.75%, 06/15/30 1,100 1,405 France Telecom, 7.75%, 03/01/11 (g) 1,300 1,561 France Telecom SA, 8.50%, 03/01/31 (g) 200 266 Qwest Corp. 5.65%, 11/01/04 315 313 8.875%, 03/15/12 (e) 500 574 Sprint Capital Corp. 6.00%, 01/15/07 200 214 6.90%, 05/01/19 300 306 6.875%, 11/15/28 2,000 1,952 6,591 Total Corporate Bonds (cost $37,701) 39,447 Preferred Stocks - 0.7% Banks - 0.7% DG Funding Trust, 0.00% (e) - 2,109 Total Preferred Stocks (cost $2,097) 2,109 Government Securities - 25.6% Sovereign - 2.9% Federal Republic of Brazil 2.5625%, 04/15/06 (g) 200 198 11.50%, 03/12/08 200 232 11.00%, 01/11/12 680 789 11.00%, 08/17/40 550 605 Panama Government International Bond, 8.875%, 09/30/27 200 210 Peru Government International Bond, 9.875%, 02/06/15 600 696 Republic of Brazil, 2.1875%, 04/15/09 104 98 Republic of Panama 9.375%, 07/23/12 200 228 9.375%, 01/16/23 200 218 Republic of Peru, 9.125%, 02/21/12 600 669 Republic of South Africa, 9.125%, 05/19/09 100 120 United Mexican States 8.375%, 01/14/11 200 238 6.375%, 01/16/13 250 259 11.375%, 09/15/16 500 709 8.00%, 09/24/22 800 875 8.30%, 08/15/31 2,700 3,044 United Mexican States-Value Recovery Right 0.00%, 06/30/04 (g) 6,900 69 0.00%, 06/30/05 (g) 6,900 14 0.00%, 06/30/06 (g) 4,600 9 0.00%, 06/30/07 (g) 4,600 6 9,285 U.S. Government Agencies - 13.6% Federal Home Loan Mortgage Corp. 6.00%, 03/01/16 275 289 6.00%, 08/01/16 111 116 5.00%, 09/15/16 (g) 281 289 5.00%, 11/01/18 996 1,016 6.25%, 08/25/22 402 409 7.00%, 05/15/23 1,493 1,576 4.77%, 07/01/27 (g) 8 9 1.87%, 11/15/30 (g) 54 54 7.50%, 03/01/32 197 197 6.50%, 08/01/32 491 515 6.00%, 10/01/32 667 689 6.00%, 03/01/33 909 939 6.00%, 08/01/33 334 345 Federal National Mortgage Association 6.00%, TBA (c) 1,000 1,033 5.50%, 11/01/13 29 31 6.00%, 06/01/14 391 411 5.50%, 03/01/16 331 343 6.00%, 04/01/16 532 560 6.00%, 05/01/16 122 128 6.00%, 06/01/16 68 71 6.00%, 07/01/16 262 275 6.00%, 08/01/16 173 181 6.00%, 09/01/16 84 88 6.00%, 11/01/16 302 317 5.50%, 12/01/16 744 773 5.50%, 01/01/17 2,311 2,398 6.00%, 02/01/17 1,020 1,071 5.50%, 03/01/17 233 241 6.00%, 04/01/17 969 1,017 5.50%, 05/01/17 300 312 6.00%, 05/01/17 459 482 6.00%, 07/01/17 259 272 5.50%, 08/01/17 737 764 6.00%, 08/01/17 314 329 5.50%, 09/01/17 154 159 6.00%, 09/01/17 255 268 5.50%, 10/01/17 955 991 6.00%, 10/01/17 255 267 5.50%, 11/01/17 585 607 6.00%, 11/01/17 305 320 5.50%, 12/01/17 593 615 5.50%, 03/01/18 1,710 1,774 5.00%, 05/01/18 37 38 5.00%, 08/01/18 2,983 3,044 5.00%, 10/01/18 828 845 6.50%, 11/01/32 501 524 6.00%, 01/01/33 1,634 1,690 6.00%, 02/01/33 1,044 1,080 6.00%, 03/01/33 3,230 3,340 5.00%, 04/25/33 3,149 3,209 6.00%, 06/01/33 146 151 6.00%, 07/01/33 2,065 2,136 6.00%, 11/01/33 500 517 3.58%, 09/01/40 (g) 138 140 6.50%, 12/25/42 394 419 FHA St. Regis Nursing Home, 7.449%, 08/01/10 69 75 Government National Mortgage Association II 5.375%, 05/20/26 (g) 366 374 5.375%, 02/20/27 (g) 35 35 5.00%, 04/20/30 (g) 95 97 4.50%, 05/20/30 (g) 74 74 3.50%, 02/20/32 (g) 842 835 4.00%, 02/20/32 (g) 520 528 Resolution Fund Corp. - Principal Only, 5.46%, 10/15/20 400 157 43,237 U.S. Treasury Securities - 9.1% U.S. Treasury Inflation Indexed Note 3.375%, 01/15/07 701 759 3.625%, 01/15/08 9,047 10,005 3.875%, 01/15/09 5,302 5,987 4.25%, 01/15/10 220 256 3.50%, 01/15/11 2,232 2,508 3.375%, 01/15/12 1,250 1,399 3.00%, 07/15/12 5,453 5,945 1.875%, 07/15/13 201 200 3.875%, 04/15/29 1,350 1,750 28,809 Total Government Securities (cost $79,288) 81,331 Municipals - 4.8% Brazos Texas Higer Education, 1.23%, 12/01/39 (g) 300 300 California State Revenue Anticipation Warrants-Series A, 2.00%, 06/16/04 600 601 Clark County Nevada, 5.00%, 06/01/32 1,900 1,936 Educational Funding South Inc., 1.18%, 12/01/35 (g) 500 500 Energy NW Washington Electrical, 5.50%, 07/01/14 100 114 Illinois St Taxable Pension, 5.10%, 06/01/33 4,000 3,678 La Quinta Redevelopment Agency Tax Allocation, 5.10%, 09/01/31 200 206 Lower Colorado River Authority Texas Revenue, 5.00%, 05/15/33 1,300 1,325 Lower Colorado River Authority, 5.00%, 05/15/31 300 306 New York State Dormitory Authority, 5.25%, 07/01/11 700 782 Orange County California Sanitation District, 5.00%, 02/01/33 200 205 Sussex County Municipal Utilities Authority, 5.00%, 12/01/12 1,200 1,338 Tobacco Settlement Financing Corp. 6.125%, 06/01/24 500 487 6.75%, 06/01/39 2,400 2,365 University of Texas, 5.00%, 08/15/33 200 204 Utah Student Loan Revenue, 1.18%, 05/01/41 (g) 1,000 1,000 Total Municipals (cost $15,556) 15,347 Short Term Investments - 56.3% Commercial Paper - 16.5% ABN Amro 1.07%, 01/14/04 4,000 3,998 1.07%, 01/26/04 1,000 999 1.075%, 02/03/04 900 899 ANZ Inc. 1.07%, 02/17/04 2,700 2,696 1.075%, 02/19/04 2,200 2,197 Barclays US Funding 1.065%, 01/20/04 2,700 2,698 1.075%, 03/09/04 1,600 1,597 Danske Corp., 1.075%, 02/09/04 6,000 5,993 European Investment Bank, 1.06%, 02/10/04 3,300 3,296 General Electric Capital Corp., 1.09%, 02/24/04 5,800 5,791 HBOS Treasury Services Plc 1.08%, 01/27/04 2,000 1,998 1.115%, 04/13/04 1,900 1,894 1.10%, 04/15/04 3,100 3,090 Royal Bank of Scotland 1.085%, 01/20/04 1,500 1,499 1.08%, 02/03/04 1,400 1,399 Shell Finance, 1.09%, 03/09/04 4,000 3,992 Westpac Capital Corp. 1.11%, 03/11/04 3,700 3,692 1.10%, 04/07/04 4,500 4,487 52,215 Money Market Funds - 0.7% Dreyfus Cash Management Plus, 0.898% (a) 2,276 2,276 U.S. Government Agencies - 21.6% Federal Home Loan Bank Discount Note, 1.045%, 03/19/04 1,900 1,896 Federal Home Loan Mortgage Corp. Discount Note 1.06%, 01/15/04 15,100 15,094 1.085%, 01/22/04 16,100 16,090 1.08%, 01/29/04 8,200 8,193 1.075%, 02/05/04 1,500 1,498 1.04%, 03/12/04 1,900 1,896 Federal National Mortgage Association Discount Note 1.08%, 01/28/04 1,700 1,699 1.01%, 02/03/04 1,900 1,898 1.00%, 02/04/04 3,000 2,997 1.09%, 03/24/04 13,000 12,967 1.075%, 04/01/04 4,200 4,189 68,417 U.S. Treasury Bills - 17.5% U.S. Treasury Bill 0.925%, 03/04/04 1,390 1,388 0.885%, 03/18/04 1,375 1,372 1.0147%, 04/22/04 13,000 12,960 1.02%, 04/29/04 400 399 1.025%, 05/06/04 4,800 4,783 0.913%, 05/13/04 12,800 12,751 1.01%, 05/27/04 2,300 2,291 1.03%, 06/03/04 14,600 14,537 0.98%, 06/17/04 5,000 4,977 55,458 Total Short Term Investments (cost $178,366) 178,366 Total Investments - 99.8% (cost $313,008) 316,600 Other Assets and Liabilities, Net - 0.2% 701 Total Net Assets - 100% 317,301 JNL/PPM America Balanced Fund Common Stocks - 60.4% Aerospace & Defense - 1.2% United Technologies Corp. 39 3,648 Apparel - 2.1% Liz Claiborne Inc. 78 2,752 V.F. Corp. 82 3,528 6,280 Auto Manufacturers - 2.1% Ford Motor Co. 215 3,442 General Motors Corp. 54 2,878 6,320 Auto Parts & Equipment - 1.0% Delphi Corp. 298 3,047 Banks - 4.2% Bank of America Corp. 56 4,472 Banknorth Group Inc. 83 2,687 Charter One Financial Inc. 103 3,562 KeyCorp 66 1,947 12,668 Building Materials - 1.0% Masco Corp. 107 2,936 Chemicals - 2.0% Ashland Inc. 85 3,727 PPG Industries Inc. 35 2,241 5,968 Computers - 1.2% Hewlett-Packard Co. 161 3,696 Diversified Financial Services - 4.2% Citigroup Inc. 92 4,480 Fannie Mae 60 4,496 JPMorgan Chase & Co. 101 3,695 12,671 Electric - 3.7% Dominion Resources Inc. 51 3,255 FirstEnergy Corp. 111 3,893 NiSource Inc. 186 4,079 11,227 Food - 2.1% Kroger Co. (b) 203 3,756 Sara Lee Corp. 126 2,733 6,489 Forest Products & Paper - 0.9% MeadWestvaco Corp. 97 2,880 Healthcare - 2.4% HCA Inc. 83 3,557 WellPoint Health Networks Inc. (b) 37 3,627 7,184 Home Furnishings - 0.9% Maytag Corp. 93 2,596 Household Products - 1.2% Fortune Brands Inc. 51 3,660 Insurance - 5.8% American International Group Inc. 64 4,229 Cigna Corp. 40 2,283 Hartford Financial Services Group Inc. 69 4,055 Lincoln National Corp. 88 3,565 Radian Group Inc. 69 3,368 17,500 Iron & Steel - 0.9% Nucor Corp. 46 2,598 Leisure Time - 0.9% Brunswick Corp. 89 2,833 Manufacturing - 2.4% Cooper Industries Ltd. - Class A 49 2,815 General Electric Co. 141 4,359 7,174 Oil & Gas Producers - 3.9% ChevronTexaco Corp. 46 4,000 ConocoPhillips 61 3,967 Occidental Petroleum Corp. 98 4,127 12,094 Pharmaceuticals - 2.1% AmerisourceBergen Corp. 43 2,403 Merck & Co. Inc. 88 4,070 6,473 Retail - 3.2% Federated Department Stores Inc. 78 3,695 Home Depot Inc. 70 2,466 Sears Roebuck & Co. 76 3,453 9,614 Savings & Loans - 2.1% Sovereign Bancorp. Inc. 121 2,881 Washington Mutual Inc. 89 3,579 6,460 Software - 1.8% Computer Associates International Inc. 128 3,510 Compuware Corp. (b) 319 1,926 5,436 Telecommunications - 3.9% BellSouth Corp. 95 2,680 SBC Communications Inc. 136 3,535 Sprint Corp. - FON Group 155 2,542 Verizon Communications Inc. 97 3,403 12,160 Tobacco - 1.4% Altria Group Inc. 78 4,218 Transportation - 1.8% Burlington Northern Santa Fe Corp. 109 3,536 CSX Corp. 58 2,074 5,610 Total Common Stocks (cost $147,241) 183,440 Corporate Bonds - 18.0% Aerospace & Defense - 0.3% L-3 Communications Corp., 7.625%, 06/15/12 300 325 Raytheon Co., 6.75%, 08/15/07 500 554 879 Asset Backed Securities - 2.6% AmeriCredit Automobile Receivables Trust 4.46%, 04/12/09 570 591 3.10%, 11/06/09 500 503 Bank of America Commercial Mortgage 5.676%, 06/11/35 500 540 5.464%, 04/11/37 (g) 500 530 Bank One Issuance Trust, 4.77%, 02/16/16 500 474 Capital One Master Trust, 4.50%, 06/15/11 500 513 Commercial Mortgage Acceptance Corp., 7.8803%, 06/15/31 (g) 500 573 CS First Boston Mortgage Securities Corp., 6.133%, 04/15/37 500 548 GE Capital Commercial Mortgage Corp., 6.03%, 08/11/33 (g) 1,000 1,088 MBNA Credit Master Note Trust, 6.55%, 12/15/08 500 541 MBNA Master Credit Trust, 6.65%, 08/15/11 (e) 500 543 Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 559 Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 609 World Omni Auto Receivables Trust, 2.20%, 01/15/08 500 500 8,112 Auto Manufacturers - 0.6% DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 512 General Motors Corp., 7.20%, 01/15/11 1,250 1,374 1,886 Banks - 0.7% Bank of America Corp., 7.40%, 01/15/11 750 880 Popular North America Inc., 3.875%, 10/01/08 500 499 Wachovia Corp., 3.50%, 08/15/08 750 747 2,126 Beverages - 0.3% Diageo Capital Plc, 3.50%, 11/19/07 1,000 1,009 Commercial Services - 0.5% Aramark Services Inc., 7.00%, 07/15/06 1,000 1,088 PHH Corp., 6.00%, 03/01/08 500 538 1,626 Computers - 0.5% Computer Sciences Corp., 6.75%, 06/15/06 1,000 1,097 Hewlett-Packard Co., 5.50%, 07/01/07 500 540 1,637 Diversified Financial Services - 3.9% American General Finance Corp., 5.375%, 10/01/12 750 773 CIT Group Inc., 7.375%, 04/02/07 500 565 Citigroup Inc. 3.50%, 02/01/08 500 502 6.00%, 02/21/12 500 546 Countrywide Home Loans Inc., 5.50%, 08/01/06 1,000 1,068 Ford Motor Credit Co. 6.50%, 01/25/07 1,000 1,065 7.00%, 10/01/13 250 264 GATX Financial Corp., 6.875%, 12/15/06 100 105 General Electric Capital Corp. 5.875%, 02/15/12 500 537 6.75%, 03/15/32 500 554 Goldman Sachs Group Inc. 4.125%, 01/15/08 500 513 6.125%, 02/15/33 500 503 Household Finance Corp. 6.375%, 11/27/12 500 549 7.35%, 11/27/32 500 586 JP Morgan Chase & Co. 4.00%, 02/01/08 750 763 6.625%, 03/15/12 500 559 Lehman Brothers Holdings Inc., 6.625%, 01/18/12 650 734 Merrill Lynch &Co. Inc., 4.50%, 11/04/10 750 757 Morgan Stanley Dean Witter & Co., 5.80%, 04/01/07 500 543 UFJ Finance Aruba AEC, 6.75%, 07/15/13 500 533 12,019 Electric - 1.4% CenterPoint Energy Houston Electric LLC, 6.95%, 03/15/33 (e) 500 554 Centerpoint Energy Inc., 5.875%, 06/01/08 (e) 300 312 DTE Energy Co., 6.45%, 06/01/06 500 540 Exelon Generation Co. LLC, 6.95%, 06/15/11 1,000 1,123 FirstEnergy Corp., 6.45%, 11/15/11 300 311 Nisource Finance Corp., 7.625%, 11/15/05 700 765 PSEG Power LLC, 7.75%, 04/15/11 750 883 4,488 Food - 0.4% Kraft Foods Inc., 5.25%, 06/01/07 500 532 Safeway Inc., 6.50%, 03/01/11 500 546 1,078 Forest Products & Paper - 0.4% Abitibi-Consolidated Inc., 6.95%, 04/01/08 300 314 Weyerhaeuser Co., 7.125%, 07/15/23 750 789 1,103 Healthcare - 0.1% Aetna Inc., 7.875%, 03/01/11 150 177 Home Builders - 0.2% Pulte Homes Inc., 6.375%, 05/15/33 500 487 Insurance - 0.2% Hartford Financial Services Group Inc., 4.625%, 07/15/13 (e) 500 481 Lodging - 0.3% Hilton Hotels Corp., 8.25%, 02/15/11 300 346 MGM Mirage, 8.50%, 09/15/10 300 344 Starwood Hotels & Resorts Worldwide Inc., 7.375%, 05/01/07 300 324 1,014 Manufacturing - 0.1% Tyco International Group SA, 6.375%, 10/15/11 300 321 Media - 1.3% AOL Time Warner Inc., 7.70%, 05/01/32 500 584 Comcast Cable Communications, 7.125%, 06/15/13 500 570 Comcast Corp., 5.85%, 01/15/10 625 667 COX Communications Inc., 5.50%, 10/01/15 500 503 Echostar DBS Corp., 5.75%, 10/01/08 (e) 300 303 Liberty Media Corp. 3.50%, 09/25/06 500 503 8.25%, 02/01/30 500 598 Rogers Cable Inc., 6.25%, 06/15/13 300 302 4,030 Mining - 0.2% Noranda Inc., 7.25%, 07/15/12 500 560 Oil & Gas Producers - 0.6% Amerada Hess Corp., 7.30%, 08/15/31 750 774 ConocoPhillips, 3.625%, 10/15/07 500 504 Pemex Project Funding Master Trust, 7.375%, 12/15/14 500 534 1,812 Pharmaceuticals - 0.5% Bristol-Myers Squibb Co., 4.75%, 10/01/06 1,000 1,057 Wyeth, 6.70%, 03/15/11 500 565 1,622 Real Estate - 0.4% EOP Operating LP 7.75%, 11/15/07 750 860 7.00%, 07/15/11 250 282 1,142 Retail - 0.5% Target Corp., 5.375%, 06/15/09 500 536 Wal-Mart Stores Inc., 4.55%, 05/01/13 500 494 Yum! Brands Inc., 7.65%, 05/15/08 300 340 1,370 Savings & Loans - 0.2% Washington Mutual Inc., 5.625%, 01/15/07 500 539 Telecommunications - 0.9% AT&T Corp., 6.50%, 11/15/06 500 553 SBC Communications Inc., 5.875%, 02/01/12 750 797 Sprint Capital Corp. 6.125%, 11/15/08 250 266 8.375%, 03/15/12 350 409 Verizon Global Funding Corp., 7.75%, 12/01/30 500 587 2,612 Tobacco - 0.4% Imperial Tobacco Overseas BV, 7.125%, 04/01/09 1,000 1,111 Wireless Telecommunications - 0.5% AT&T Wireless Services Inc., 7.875%, 03/01/11 750 868 Vodafone Group Plc, 5.375%, 01/30/15 500 504 1,372 Total Corporate Bonds (cost $53,378) 54,613 Government Securities - 20.4% U.S. Government Agencies - 15.2% Federal Home Loan Mortgage Corp. 2.125%, 12/15/04 870 877 4.05%, 06/21/05 576 584 2.375%, 04/15/06 2,243 2,252 5.50%, 10/01/16 853 885 6.00%, 04/01/17 579 607 6.50%, 11/01/17 245 260 6.00%, 12/01/17 865 907 5.00%, 01/01/18 247 252 5.50%, 01/01/18 3 3 4.50%, 05/01/18 271 271 5.00%, 05/01/18 356 363 4.50%, 09/01/18 291 291 5.50%, 09/01/18 854 886 4.50%, 11/01/18 199 199 7.00%, 02/01/31 263 279 7.00%, 06/01/31 296 313 5.50%, 11/01/32 1,037 1,050 6.00%, 11/01/32 2,208 2,282 6.00%, 12/01/32 178 184 5.50%, 03/01/33 1,507 1,526 5.00%, 04/01/33 464 458 5.00%, 05/01/33 473 467 4.50%, 06/01/33 247 237 5.50%, 06/01/33 370 375 5.00%, 10/01/33 373 369 Federal National Mortgage Association 2.59%, 05/05/06 1,000 1,005 2.75%, 08/11/06 1,308 1,309 3.25%, 11/15/07 176 177 2.875%, 05/19/08 298 291 7.125%, 06/15/10 2,120 2,493 6.25%, 02/01/11 144 159 4.625%, 05/01/13 1,092 1,063 5.00%, 10/01/17 1,036 1,046 5.00%, 11/01/17 234 238 6.00%, 01/01/18 156 163 5.00%, 02/01/18 1,001 1,022 4.50%, 04/01/18 622 623 4.50%, 05/01/18 1,401 1,403 4.50%, 09/01/18 596 596 6.50%, 08/01/28 65 68 7.00%, 09/01/28 90 96 6.50%, 11/01/28 83 87 6.50%, 12/01/28 161 169 6.00%, 03/01/29 517 535 7.50%, 09/01/29 249 266 7.25%, 05/15/30 335 409 7.00%, 06/01/32 113 120 6.50%, 07/01/32 2,147 2,245 6.50%, 09/01/32 1,050 1,099 6.00%, 10/01/32 611 631 5.50%, 01/01/33 136 137 6.50%, 03/01/33 765 800 7.00%, 05/01/33 821 870 5.50%, 06/01/33 2,018 2,045 5.00%, 07/01/33 457 452 5.50%, 07/01/33 658 667 5.00%, 09/01/33 2,279 2,256 5.50%, 09/01/33 744 754 Government National Mortgage Association 6.50%, 04/15/26 220 233 7.00%, 06/15/28 170 182 7.50%, 04/15/29 173 186 7.00%, 07/15/29 241 257 6.50%, 11/15/31 548 578 6.50%, 09/15/32 592 625 5.50%, 11/15/32 458 466 6.00%, 11/15/32 500 520 5.50%, 05/15/33 369 375 Government National Mortgage Association II 5.50%, 05/20/33 670 680 5.00%, 06/20/33 243 241 Tennessee Valley Authority, 6.75%, 11/01/25 402 464 46,288 U.S. Treasury Securities - 5.2% U.S. Treasury Bond 7.25%, 05/15/16 605 755 6.25%, 08/15/23 1,418 1,616 6.25%, 05/15/30 394 455 U.S. Treasury Note 1.75%, 12/31/04 4,851 4,875 6.25%, 02/15/07 4,849 5,405 3.00%, 11/15/07 550 555 5.75%, 08/15/10 1,952 2,189 15,850 Total Government Securities (cost $61,995) 62,138 Short Term Investments - 0.7% Money Market Funds - 0.7% Dreyfus Cash Management Plus, 0.898% (a) 2,084 2,084 Total Short Term Investments (cost $2,084) 2,084 Total Investments - 99.5% (cost $264,698) 302,275 Other Assets and Liabilities, Net - 0.5% 1,617 Total Net Assets - 100% 303,892 JNL/PPM America High Yield Bond Fund Common Stocks - 0.0% Machinery - 0.0% Terex Corp. (b) - 7 Total Common Stocks (cost $1) 7 Corporate Bonds - 95.1% Advertising - 0.7% RH Donnelley Finance Corp. I 8.875%, 12/15/10 (e) 550 619 10.875%, 12/15/12 (e) 1,000 1,186 1,805 Aerospace & Defense - 1.1% Alliant Techsystems Inc., 8.50%, 05/15/11 500 550 BE Aerospace Inc. 9.50%, 11/01/08 550 535 8.50%, 10/01/10 (e) 500 536 L-3 Communications Corp., 6.125%, 07/15/13 1,000 1,007 Sequa Corp., 8.875%, 04/01/08 196 213 2,841 Airlines - 2.0% American Airlines Inc., 7.377%, 05/23/19 918 662 Atlas Air Inc., 7.38%, 01/02/18 454 412 Continental Airlines Inc. 8.00%, 12/15/05 1,000 973 7.875%, 07/02/18 500 503 Delta Air Lines Inc. 7.779%, 11/18/05 500 460 7.90%, 12/15/09 1,400 1,132 Northwest Airlines Inc., 8.875%, 06/01/06 1,200 1,089 5,231 Alternative Energy - 0.3% Salton SEA Funding, 8.30%, 05/30/11 666 735 Apparel - 0.2% Russell Corp., 9.25%, 05/01/10 580 601 Auto Parts & Equipment - 1.8% ArvinMeritor Inc., 8.75%, 03/01/12 500 572 Collins & Aikman Products, 10.75%, 12/31/11 350 344 Dana Corp. 10.125%, 03/15/10 455 530 9.00%, 08/15/11 500 603 Goodyear Tire & Rubber Co., 7.857%, 08/15/11 300 262 TRW Automotive Inc. 9.375%, 02/15/13 500 571 11.00%, 02/15/13 1,650 1,943 4,825 Beverages - 0.2% Constellation Brands Inc., 8.125%, 01/15/12 500 547 Building Materials - 0.2% Nortek Inc., 9.125%, 09/01/07 500 517 Chemicals - 5.1% Equistar Chemicals LP, 10.125%, 09/01/08 1,000 1,095 Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 05/01/11 2,000 2,210 FMC Corp., 10.25%, 11/01/09 500 585 Huntsman International LLC, 9.875%, 03/01/09 2,500 2,737 IMC Global Inc., 10.875%, 06/01/08 500 550 Lyondell Chemical Co. 9.875%, 05/01/07 1,200 1,266 9.50%, 12/15/08 600 627 10.50%, 06/01/13 1,700 1,853 Millennium America Inc., 7.00%, 11/15/06 750 769 Nalco Co., 8.875%, 11/15/13 (e) 1,500 1,590 PolyOne Corp., 10.625%, 05/15/10 200 200 Union Carbide Chemical & Plastics Co. Inc., 7.875%, 04/01/23 200 180 Union Carbide Corp. 6.70%, 04/01/09 100 99 6.79%, 06/01/25 100 99 13,860 Commercial Services - 3.9% Coinmach Corp., 9.00%, 02/01/10 2,017 2,188 Great Lakes Dredge & Dock Corp., 7.75%, 12/15/13 (e) 1,000 1,029 Integrated Electrical Services Inc., 9.375%, 02/01/09 1,000 1,050 Service Corporation International, 7.70%, 04/15/09 500 534 Stewart Enterprises Inc., 10.75%, 07/01/08 2,000 2,260 United Rentals Inc., 9.00%, 04/01/09 750 794 United Rentals North America Inc., 7.75%, 11/15/13 (e) 1,500 1,532 Williams Scotsman Inc. 9.875%, 06/01/07 800 810 10.00%, 08/15/08 200 219 10,416 Computers - 0.4% Unisys Corp. 7.25%, 01/15/05 370 383 8.125%, 06/01/06 630 680 1,063 Distribution & Wholesale - 0.1% Aviall Inc., 7.625%, 07/01/11 175 182 Diversified Financial Services - 1.7% Couche-Tard Finance Corp., 7.50%, 12/15/13 (e) 500 524 IOS Capital LLC, 7.25%, 06/30/08 1,000 1,065 KRATON Polymers LLC/Capital Corp., 8.125%, 01/15/14 (e) 500 520 National Waterworks Inc., 10.50%, 12/01/12 1,000 1,117 Nexstar Finance LLC/Nexstar Finance Inc., 12.00%, 04/01/08 500 564 Universal City Development Partners, 11.75%, 04/01/10 (e) 635 743 4,533 Electric - 8.0% AES Corp. 9.50%, 06/01/09 2,700 2,994 9.00%, 05/15/15 (e) 550 621 AES Eastern Energy LP, 9.00%, 01/02/17 497 550 Allegheny Energy Supply, 8.75%, 04/15/12 (e) 750 707 Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 2,300 1,834 Calpine Corp. 8.75%, 07/15/07 500 410 8.50%, 07/15/10 (e) 1,150 1,121 8.50%, 02/15/11 500 396 8.75%, 07/15/13 (e) 750 731 Centerpoint Energy Inc., 6.85%, 06/01/15 (e) 1,500 1,542 CMS Energy Corp., 8.50%, 04/15/11 1,000 1,080 Edison International Inc., 6.875%, 09/15/04 500 514 Edison Mission Energy Corp. 10.00%, 08/15/08 200 207 9.875%, 04/15/11 250 260 Empresa Nacional de Electricidad SA 8.50%, 04/01/09 500 564 8.35%, 08/01/13 500 562 Homer City Funding LLC, 8.734%, 10/01/26 100 107 Midwest Generation LLC, 8.56%, 01/02/16 350 365 Mission Energy Holding Co., 13.50%, 07/15/08 300 294 Nevada Power Co., 9.00%, 08/15/13 (e) 500 553 Orion Power Holdings Inc., 12.00%, 05/01/10 500 608 PSEG Energy Holdings LLC 10.00%, 10/01/09 1,000 1,173 8.50%, 06/15/11 500 554 Reliant Resources Inc., 9.50%, 07/15/13 (e) 500 535 Sithe/Independence Funding, 9.00%, 12/30/13 1,000 1,128 South Point Energy Center LLC, 8.40%, 05/30/12 (e) 288 276 TECO Energy Inc. 7.50%, 06/15/10 100 107 7.00%, 05/01/12 900 927 Westar Energy Inc., 7.875%, 05/01/07 500 559 21,279 Electronics - 0.4% Sanmina-SCI Corp., 10.375%, 01/15/10 1,000 1,170 Entertainment - 3.1% Alliance Atlantis Communications Inc., 13.00%, 12/15/09 2,065 2,354 Argosy Gaming Co., 9.00%, 09/01/11 1,000 1,108 Capitol Records Inc., 8.375%, 08/15/09 (e) 300 315 Intrawest Corp., 7.50%, 10/15/13 (e) 500 520 Regal Cinemas Inc., 9.375%, 02/01/12 1,533 1,732 Six Flags Inc. 9.50%, 02/01/09 1,000 1,048 8.875%, 02/01/10 200 205 Steinway Musical Instruments, 8.75%, 04/15/11 1,000 1,060 8,342 Environmental Control - 2.0% Allied Waste North America 7.875%, 01/01/09 2,000 2,085 10.00%, 08/01/09 1,500 1,620 7.875%, 04/15/13 500 541 IESI Corp., 10.25%, 06/15/12 1,000 1,111 5,357 Food - 3.2% Ahold Finance USA Inc., 8.25%, 07/15/10 1,000 1,090 B&G Foods Inc., 9.625%, 08/01/07 500 516 Del Monte Corp. 9.25%, 05/15/11 1,000 1,105 8.625%, 12/15/12 500 547 Delhaize America Inc. 8.125%, 04/15/11 1,500 1,725 9.00%, 04/15/31 200 243 Dole Food Co., Inc., 8.875%, 03/15/11 600 658 Domino's Inc., 8.25%, 07/01/11 (e) 250 268 Great Atlantic & Pacific Tea Co., 9.125%, 12/15/11 300 275 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 1,000 1,035 Stater Brothers Holdings Inc., 10.75%, 08/15/06 1,000 1,054 8,516 Forest Products & Paper - 4.0% Abitibi-Consolidated Inc. 8.55%, 08/01/10 2,000 2,227 8.85%, 08/01/30 500 541 Fort James Corp., 6.875%, 09/15/07 1,000 1,055 Georgia-Pacific Corp. 8.125%, 05/15/11 1,000 1,100 9.375%, 02/01/13 1,000 1,150 8.875%, 05/15/31 500 550 Millar Western Forest Products Ltd., 7.75%, 11/15/13 (e) 350 363 Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,549 Tembec Industries Inc. 8.625%, 06/30/09 43 44 8.50%, 02/01/11 1,957 2,025 10,604 Healthcare - 2.9% Ardent Health Services, 10.00%, 08/15/13 (e) 400 436 Coventry Health Care Inc., 8.125%, 02/15/12 483 536 Genesis HealthCare Corp., 8.00%, 10/15/13 (e) 500 521 HCA Inc. 6.25%, 02/15/13 500 512 7.69%, 06/15/25 1,350 1,425 7.50%, 11/06/33 500 521 Medex Inc., 8.875%, 05/15/13 (e) 1,000 1,075 Province Healthcare Co., 7.50%, 06/01/13 1,000 1,000 Select Medical Corp., 7.50%, 08/01/13 (e) 400 424 Tenet Healthcare Corp., 6.50%, 06/01/12 1,300 1,246 7,696 Holding Companies - Diversified - 0.2% Stena AB, 7.50%, 11/01/13 (e) 500 515 Home Builders - 2.1% Beazer Homes USA Inc., 8.375%, 04/15/12 1,155 1,273 Meritage Corp., 9.75%, 06/01/11 300 335 Ryland Group Inc., 9.125%, 06/15/11 1,000 1,143 Schuler Homes Inc., 10.50%, 07/15/11 1,500 1,740 Toll Corp., 8.25%, 02/01/11 500 550 WCI Communities Inc., 10.625%, 02/15/11 500 565 5,606 Household Products - 1.0% JohnsonDiversey Holdings Inc., (Step-Up Bond), 10.67%, 05/15/13 (d) (e) 2,000 1,530 Johnsondiversey Inc., 9.625%, 05/15/12 1,000 1,115 2,645 Insurance - 0.5% Fairfax Financial Holdings Ltd., 8.30%, 04/15/26 1,500 1,388 Iron & Steel - 0.3% AK Steel Corp., 7.75%, 06/15/12 300 257 United States Steel Corp., 9.75%, 05/15/10 450 506 763 Leisure Time - 0.8% Royal Caribbean Cruises Ltd., 6.75%, 03/15/08 2,000 2,083 Lodging - 5.0% Ameristar Casinos Inc., 10.75%, 02/15/09 2,000 2,300 Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,070 Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,152 HMH Properties Inc., 8.45%, 12/01/08 436 455 Mandalay Resort Group, 10.25%, 08/01/07 750 866 MGM Mirage, 9.75%, 06/01/07 2,000 2,280 Park Place Entertainment Corp. 8.875%, 09/15/08 1,000 1,133 8.125%, 05/15/11 1,000 1,121 Starwood Hotels & Resorts Worldwide Inc., 7.875%, 05/01/12 1,000 1,125 Station Casinos Inc., 8.375%, 02/15/08 500 536 Venetian Casino Resort LLC, 11.00%, 06/15/10 1,000 1,160 13,198 Machinery - 1.1% AGCO Corp., 9.50%, 05/01/08 538 589 Case Credit Corp., 6.75%, 10/21/07 250 255 Case New Holland Inc., 9.25%, 08/01/11 (e) 1,200 1,344 Manitowoc Co., 7.125%, 11/01/13 200 207 Terex Corp., 10.375%, 04/01/11 500 560 2,955 Manufacturing - 2.2% Avondale Mills Inc., 10.25%, 07/01/13 500 315 Tyco International Group SA 6.75%, 02/15/11 1,500 1,639 7.00%, 06/15/28 3,700 3,843 5,797 Media - 9.8% American Media Operation Inc., 8.875%, 01/15/11 425 461 CanWest Media Inc., 10.625%, 05/15/11 500 571 Charter Communications Holdings II LLC, 10.25%, 09/15/10 (e) 1,000 1,050 Charter Communications Holdings LLC, 10.00%, 04/01/09 2,000 1,780 Corus Entertainment Inc., 8.75%, 03/01/12 1,068 1,175 CSC Holdings Inc. 7.625%, 04/01/11 1,500 1,579 7.875%, 02/15/18 1,000 1,067 Dex Media East LLC 9.875%, 11/15/09 1,250 1,431 12.125%, 11/15/12 500 615 Dex Media Finance Co., 9.875%, 08/15/13 (e) 500 581 DirecTV Holdings LLC, 8.375%, 03/15/13 1,000 1,160 Echostar DBS Corp., 9.375%, 02/01/09 2,000 2,102 Hollinger International Publishing Inc., 9.00%, 12/15/101,000 1,062 Houghton Mifflin Co. 8.25%, 02/01/11 270 289 9.875%, 02/01/13 340 374 Mediacom Capital Corp., 9.50%, 01/15/13 1,982 2,101 Paxson Communications Corp., 10.75%, 07/15/08 500 546 Primedia Inc., 8.00%, 05/15/13 (e) 1,500 1,530 Rogers Cable Inc., 6.25%, 06/15/13 1,000 1,007 Rogers Cablesystems Ltd., 10.00%, 03/15/05 1,100 1,180 Shaw Communications Inc., 7.20%, 12/15/11 500 541 Sun Media Corp., 7.625%, 02/15/13 1,000 1,070 Vivendi Universal SA, 9.25%, 04/15/10 (e) 1,500 1,778 Young Broadcasting Inc., 10.00%, 03/01/11 1,000 1,078 26,128 Mining - 0.3% Peabody Energy Corp., 6.875%, 03/15/13 250 264 USEC Inc., 6.625%, 01/20/06 500 477 741 Office & Business Equipment - 1.2% General Binding Corp., 9.375%, 06/01/08 2,000 2,020 Xerox Corp., 9.75%, 01/15/09 (g) 1,000 1,170 3,190 Oil & Gas Producers - 3.4% Chesapeake Energy Corp., 8.125%, 04/01/11 1,000 1,110 Denbury Resources Inc., 7.50%, 04/01/13 1,000 1,045 El Paso CGP Co., 7.75%, 06/15/10 1,500 1,416 Newfield Exploration Co., 7.625%, 03/01/11 975 1,087 Pioneer Natural Resources Co., 7.50%, 04/15/12 1,000 1,149 Premcor Refining Group Inc., 9.50%, 02/01/13 300 342 Tesoro Petroleum Corp. 8.00%, 04/15/08 150 159 9.00%, 07/01/08 2,000 2,075 Vintage Petroleum Inc., 8.25%, 05/01/12 500 544 8,927 Oil & Gas Services - 0.3% Key Energy Services Inc., 6.375%, 05/01/13 500 508 Universal Compression Inc., 7.25%, 05/15/10 200 208 716 Packaging & Containers - 3.4% Berry Plastics Corp. 10.75%, 07/15/12 (e) 300 345 10.75%, 07/15/12 700 806 Crown Cork & Seal Co. Inc., 7.375%, 12/15/26 1,500 1,356 Graphic Packaging International Corp., 9.50%, 08/15/13 (e) 1,250 1,381 Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/121,000 1,085 Kappa Beheer BV, 10.625%, 07/15/09 800 856 Owens-Brockway, 8.875%, 02/15/09 1,000 1,096 Owens-Illinois Inc. 8.10%, 05/15/07 1,000 1,054 7.50%, 05/15/10 1,071 1,099 9,078 Pharmaceuticals - 1.7% Alpharma Inc., 8.625%, 05/01/11 (e) 500 506 AmerisourceBergen Corp., 8.125%, 09/01/08 400 451 Biovail Corp., 7.875%, 04/01/10 1,000 1,020 NeighborCare Inc., 6.875%, 11/15/13 (e) 1,000 1,018 Omnicare Inc., 8.125%, 03/15/11 1,500 1,639 4,634 Pipelines - 5.1% ANR Pipeline Co., 8.875%, 03/15/10 1,000 1,125 Aquila Inc., 14.875%, 07/01/12 400 535 Dynegy Holdings Inc., 10.125%, 07/15/13 (e) 1,500 1,725 El Paso Corp. 6.75%, 05/15/09 500 477 7.875%, 06/15/12 2,000 1,890 7.75%, 01/15/32 1,700 1,449 El Paso Production Holding Co., 7.75%, 06/01/13 (e) 500 492 Southern Natural Gas Co., 8.875%, 03/15/10 500 562 Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,774 Transmontaigne Inc., 9.125%, 06/01/10 (e) 500 536 Williams Cos. Inc. 8.625%, 06/01/10 225 253 7.125%, 09/01/11 1,000 1,058 8.125%, 03/15/12 500 555 8.75%, 03/15/32 1,000 1,130 13,561 Real Estate - 2.2% Choctaw Resort Development Enterprise, 9.25%, 04/01/09 2,000 2,170 Felcor Lodging LP, 10.00%, 09/15/08 2,000 2,160 Host Marriott Corp., 7.875%, 08/01/08 400 416 Host Marriott LP, 7.125%, 11/01/13 (e) 550 561 Meristar Hospitality Corp., 9.125%, 01/15/11 450 477 5,784 Retail - 3.9% Finlay Enterprises Inc., 9.00%, 05/01/08 2,075 2,124 Gap Inc., 8.80%, 12/15/08 (g) 500 616 J.C. Penney Co. Inc. 8.25%, 08/15/22 350 362 7.125%, 11/15/23 500 530 7.40%, 04/01/37 1,000 1,086 Michaels Stores Inc., 9.25%, 07/01/09 1,000 1,104 Saks Inc. 7.50%, 12/01/10 630 684 7.00%, 12/01/13 (e) 294 300 Toys R US Inc., 7.875%, 04/15/13 1,000 1,076 Tricon Global Restaurants Inc., 8.875%, 04/15/11 2,000 2,425 10,307 Semiconductors - 0.8% Amkor Technology Inc., 7.75%, 05/15/13 1,000 1,073 Fairchild Semiconductor International Inc., 10.50%, 02/01/09 1,000 1,115 2,188 Telecommunications - 3.6% Insight Midwest Capital Inc., 9.75%, 10/01/09 500 529 Insight Midwest LP/Insight Capital Inc., 10.50%, 11/01/10 (e) 500 544 PanAmSat Corp., 8.50%, 02/01/12 500 555 Qwest Corp. 5.625%, 11/15/08 1,500 1,485 7.50%, 06/15/23 1,800 1,800 Qwest Services Corp. 13.00%, 12/15/07 (e) 1,500 1,762 13.50%, 12/15/10 (e) 2,500 3,038 9,713 Telecommunications Equipment - 0.4% Nortel Networks Ltd., 6.125%, 02/15/06 1,000 1,013 Tobacco - 1.0% DIMON Inc., 9.625%, 10/15/11 1,820 2,029 RJ Reynolds Tobacco Holdings Inc., 7.25%, 06/01/12 700 690 2,719 Transportation - 0.5% Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,249 Wireless Telecommunications - 3.0% Crown Castle International Corp. 9.375%, 08/01/11 500 555 10.75%, 08/01/11 1,000 1,125 Nextel Communications Inc., 9.50%, 02/01/11 2,000 2,260 Rogers Cantel Inc. 8.80%, 10/01/07 1,000 1,028 9.75%, 06/01/16 200 241 Rogers Wireless Communications Inc., 9.625%, 05/01/11 1,000 1,195 Triton PCS Inc. 9.375%, 02/01/11 999 1,019 8.75%, 11/15/11 500 492 7,915 Total Corporate Bonds (cost $234,017) 252,933 Warrants - 0.0% Telecommunications - 0.0% AT&T Canada Inc., No Strike Price, Expiring 08/15/07 (e) 1 - Minorplanet Systems USA Inc., Strike Price $240.625, Expiring 09/15/05 2 - Total Warrants (cost $5) - Short Term Investments - 2.9% Money Market Funds - 2.9% Dreyfus Cash Management Plus, 0.898% (a) 7,836 7,836 Total Short Term Investments (cost $7,836) 7,836 Total Investments - 98.0% (cost $241,859) 260,776 Other Assets and Liabilities, Net - 2.0% 5,405 Total Net Assets - 100% 266,181 JNL/PPM America Money Market Fund Commercial Paper - 95.3% Auto Manufacturers - 7.9% BMW US Capital Corp. 0.95%, 01/02/04 2,500 2,500 1.04%, 01/15/04 6,038 6,036 Volkswagen of America 1.05%, 01/05/04 2,000 2,000 1.07%, 01/22/04 4,000 3,997 14,533 Banks - 15.1% Bank of Nova Scotia, 1.06%, 01/26/04 9,600 9,593 Royal Bank of Scotland 1.08%, 01/09/04 4,000 3,999 1.08%, 01/20/04 1,400 1,399 1.06%, 01/22/04 1,700 1,699 1.08%, 01/22/04 300 300 1.08%, 01/27/04 1,750 1,749 UBS Finance LLC, 1.05%, 02/19/04 9,100 9,087 27,826 Beverages - 9.1% Coca-Cola Co. 1.03%, 01/05/04 4,800 4,799 1.03%, 01/06/04 4,000 3,999 Diageo Capital Plc 1.03%, 01/26/04 2,000 1,999 1.04%, 01/26/04 1,000 999 1.06%, 02/02/04 5,000 4,995 16,791 Chemicals - 4.9% E.I. du Pont de Nemours & Co., 1.06%, 01/21/04 9,000 8,995 Computers - 4.9% IBM Corp., 1.00%, 01/14/04 9,000 8,997 Diversified Financial Services - 35.6% American Express Credit Corp., 1.05%, 01/23/04 9,000 8,994 American General Finance Corp., 1.03%, 03/01/04 5,000 4,991 Citigroup Global Markets Holding Inc., 1.05%, 02/13/04 9,000 8,989 Countrywide Home Loans 1.03%, 01/02/04 200 200 1.12%, 01/09/04 9,000 8,998 General Electric Capital Corp., 1.09%, 01/06/04 8,850 8,849 Goldman Sachs Group Inc. 1.07%, 04/05/04 4,500 4,487 1.08%, 05/24/04 2,000 1,991 Household Finance Corp., 1.07%, 01/16/04 9,000 8,996 Merrill Lynch & Co. Inc., 1.02%, 01/07/04 9,200 9,199 65,694 Food - 1.6% Sara Lee Corp., 1.05%, 01/16/04 3,000 2,999 Insurance - 1.8% AIG Funding Inc., 1.01%, 02/17/04 3,400 3,395 Oil & Gas Producers - 4.9% BP America Inc., 1.03%, 03/17/04 9,000 8,980 Pharmaceuticals - 4.6% Merck & Co., 1.01%, 01/16/04 8,500 8,496 Telecommunications - 4.9% BellSouth Corp., 1.02%, 01/09/04 9,000 8,998 Total Commercial Paper (cost $175,704) 175,704 Money Market Funds - 5.4% Dreyfus Cash Management Plus, 0.898% (a) 9,258 9,258 Dreyfus Government Cash Management, 0.893% (a) 691 691 Total Money Market Funds (cost $9,949) 9,949 Total Investments - 100.7% (cost $185,653) 185,653 Other Assets and Liabilities, Net - (0.7%) -1,213 Total Net Assets - 100% 184,440 JNL/PPM America Value Fund Common Stocks - 99.8% Aerospace & Defense - 1.9% United Technologies Corp. 11 1,024 Apparel - 3.6% Liz Claiborne Inc. 25 876 V.F. Corp. 25 1,094 1,970 Auto Manufacturers - 3.3% Ford Motor Co. 58 931 General Motors Corp. 17 886 1,817 Auto Parts & Equipment - 1.5% Delphi Corp. 80 812 Banks - 6.9% Bank of America Corp. 16 1,303 Banknorth Group Inc. 25 807 Charter One Financial Inc. 32 1,105 KeyCorp 20 572 3,787 Building Materials - 1.7% Masco Corp. 33 913 Chemicals - 3.2% Ashland Inc. 25 1,084 PPG Industries Inc. 10 659 1,743 Computers - 2.0% Hewlett-Packard Co. 47 1,084 Diversified Financial Services - 6.8% Citigroup Inc. 28 1,364 Fannie Mae 17 1,306 JPMorgan Chase & Co. 30 1,087 3,757 Electric - 6.2% Dominion Resources Inc. 15 970 FirstEnergy Corp. 34 1,186 NiSource Inc. 55 1,200 3,357 Food - 3.5% Kroger Co. (b) 59 1,086 Sara Lee Corp. 37 812 1,898 Forest Products & Paper - 1.5% MeadWestvaco Corp. 27 812 Healthcare - 4.0% HCA Inc. 25 1,087 WellPoint Health Networks Inc. (b) 11 1,086 2,173 Home Furnishings - 1.5% Maytag Corp. 29 805 Household Products - 2.0% Fortune Brands Inc. 15 1,101 Insurance - 9.6% American International Group Inc. 18 1,200 Cigna Corp. 12 707 Hartford Financial Services Group Inc. 20 1,198 Lincoln National Corp. 27 1,090 Radian Group Inc. 22 1,092 5,287 Iron & Steel - 1.4% Nucor Corp. 13 750 Leisure Time - 1.5% Brunswick Corp. 26 812 Manufacturing - 3.9% Cooper Industries Ltd. - Class A 14 793 General Electric Co. 43 1,317 2,110 Oil & Gas Producers - 6.4% ChevronTexaco Corp. 13 1,140 ConocoPhillips 17 1,135 Occidental Petroleum Corp. 28 1,191 3,466 Pharmaceuticals - 3.5% AmerisourceBergen Corp. 13 719 Merck & Co. Inc. 26 1,206 1,925 Retail - 5.5% Federated Department Stores Inc. 24 1,140 Home Depot Inc. 22 767 Sears Roebuck & Co. 24 1,074 2,981 Savings & Loans - 3.5% Sovereign Bancorp. Inc. 34 817 Washington Mutual Inc. 27 1,087 1,904 Software - 2.9% Computer Associates International Inc. 37 1,022 Compuware Corp. (b) 88 534 1,556 Telecommunications - 6.6% BellSouth Corp. 29 815 SBC Communications Inc. 40 1,040 Sprint Corp. - FON Group 47 770 Verizon Communications Inc. 28 997 3,622 Tobacco - 2.3% Altria Group Inc. 23 1,263 Transportation - 3.1% Burlington Northern Santa Fe Corp. 32 1,032 CSX Corp. 18 647 1,679 Total Common Stocks (cost $44,862) 54,408 Short Term Investments - 1.7% Money Market Funds - 1.7% Dreyfus Cash Management Plus, 0.898% (a) 951 951 Total Short Term Investments (cost $951) 951 Total Investments - 101.5% (cost $45,813) 55,359 Other Assets and Liabilities, Net - (1.5%) -827 Total Net Assets - 100% 54,532 JNL/Putnam Equity Fund Common Stocks - 98.1% Aerospace & Defense - 2.6% Lockheed Martin Corp. 46 2,385 Rockwell Collins Inc. 36 1,075 United Technologies Corp. 8 765 4,225 Airlines - 0.7% Southwest Airlines Co. 72 1,158 Apparel - 0.1% NIKE Inc. 1 62 Auto Manufacturers - 0.1% General Motors Corp. 2 80 Banks - 6.8% Bank of New York Co. Inc. 47 1,556 Charter One Financial Inc. 1 35 Comerica Inc. 14 757 Commerce Bancorp. Inc. 51 2,681 Fifth Third Bancorp. 36 2,141 M&T Bank Corp. 1 49 US Bancorp. 97 2,874 Wells Fargo & Co. 17 999 11,092 Beverages - 0.3% Anheuser-Busch Cos. Inc. 2 109 Coca-Cola Co. 3 150 Pepsi Bottling Group Inc. 2 36 PepsiCo Inc. 3 143 438 Biotechnology - 1.5% Amgen Inc. (b) 32 1,990 Biogen Idec Inc. (b) 10 374 Genentech Inc. (b) 1 56 Invitrogen Corp. (b) 1 42 2,462 Building Materials - 0.7% Masco Corp. 42 1,154 Chemicals - 0.4% E.I. du Pont de Nemours & Co. 13 601 PPG Industries Inc. 1 65 666 Commercial Services - 1.8% Accenture Ltd. (b) 28 729 ChoicePoint Inc. (b) 25 945 Iron Mountain Inc. (b) 12 463 McKesson Corp. 2 49 Rent-A-Center Inc. (b) 29 858 3,044 Computers - 4.4% Dell Inc. (b) 51 1,731 EMC Corp. (b) 41 534 Hewlett-Packard Co. 92 2,120 International Business Machines Corp. 2 163 Lexmark International Inc. (b) 11 857 Network Appliance Inc. (b) 16 322 Sandisk Corp. (b) 11 679 Storage Technology Corp. (b) 17 425 Sun Microsystems Inc. (b) 100 447 7,278 Cosmetics & Personal Care - 2.6% Avon Products Inc. 10 702 Colgate-Palmolive Co. 17 841 Procter & Gamble Co. 28 2,827 4,370 Diversified Financial Services - 13.9% Capital One Financial Corp. 43 2,657 Charles Schwab Corp. 90 1,067 Citigroup Inc. 105 5,087 Countrywide Financial Corp. 7 561 Fannie Mae 6 473 Freddie Mac 107 6,240 JPMorgan Chase & Co. 51 1,878 Lehman Brothers Holdings Inc. 17 1,297 MBNA Corp. 85 2,115 Providian Financial Corp. (b) 79 917 SLM Corp. 16 607 22,899 Electric - 1.4% Edison International 55 1,209 Entergy Corp. 9 543 Exelon Corp. 4 265 PG&E Corp. (b) 5 134 Sierra Pacific Resources (b) 14 99 2,250 Electrical Components & Equipment - 0.1% American Power Conversion Corp. 9 218 Electronics - 0.2% Celestica Inc. (b) 26 393 Food - 0.6% Dean Foods Co. (b) 27 901 Kraft Foods Inc. 1 32 933 Healthcare - 5.0% Baxter International Inc. 2 57 Boston Scientific Corp. (b) 1 37 Health Management Associates Inc. 1 34 Inamed Corp. (b) 5 245 Johnson & Johnson 103 5,337 Manor Care Inc. 1 21 Medtronic Inc. 39 1,896 St. Jude Medical Inc. (b) 1 37 Tenet Healthcare Corp. (b) 39 632 8,296 Home Builders - 1.1% Lennar Corp. 10 979 NVR Inc. (b) 1 652 Pulte Homes Inc. 2 150 1,781 Insurance - 6.5% ACE Ltd. 30 1,226 American International Group Inc. 72 4,788 Cigna Corp. 13 747 Everest Re Group Ltd. 22 1,844 Radian Group Inc. 23 1,105 XL Capital Ltd. 12 931 10,641 Internet - 1.2% Checkfree Corp. (b) 24 661 eBay Inc. (b) 6 407 Symantec Corp. (b) 3 118 Yahoo! Inc. (b) 19 853 2,039 Investment Companies - 1.0% SPDR Trust Series 1 15 1,626 Leisure Time - 0.8% Harley-Davidson Inc. 27 1,279 Royal Caribbean Cruises Ltd. 3 111 1,390 Lodging - 0.8% Harrah's Entertainment Inc. 25 1,265 Manufacturing - 3.1% Dover Corp. 18 712 General Electric Co. 14 445 Illinois Tool Works Inc. 5 386 ITT Industries Inc. 14 1,054 Tyco International Ltd. 97 2,567 5,164 Media - 3.0% Comcast Corp. - Special Class A (b) 64 1,995 EchoStar Communications Corp. (b) 9 305 Liberty Media Corp. (b) 10 114 Time Warner Inc. (b) 48 871 Viacom Inc. - Class B 37 1,663 4,948 Mining - 0.5% BHP Billiton Plc 66 766 Office & Business Equipment - 0.7% Xerox Corp. (b) 89 1,234 Oil & Gas Producers - 5.1% Apache Corp. 2 129 Burlington Resources Inc. 3 155 Canadian Natural Resources Ltd. 15 779 EnCana Corp. 15 582 Exxon Mobil Corp. 125 5,140 GlobalSantaFe Corp. 47 1,162 Total SA - ADR 4 331 8,278 Oil & Gas Services - 0.4% Halliburton Co. 25 645 Packaging & Containers - 0.1% Sealed Air Corp. (b) 2 81 Smurfit-Stone Container Corp. (b) 3 60 141 Pharmaceuticals - 7.8% Abbott Laboratories 34 1,574 Allergan Inc. 5 392 AstraZeneca Plc 7 314 Cardinal Health Inc. 19 1,141 Express Scripts Inc. - Class A (b) 10 644 Forest Laboratories Inc. (b) 34 2,130 Merck & Co. Inc. 5 217 Pfizer Inc. 182 6,424 Teva Pharmaceutical Industries Ltd. - ADR 1 61 12,897 Real Estate - 0.3% Apartment Investment & Management Co. 15 531 Retail - 6.1% Autozone Inc. (b) 21 1,763 Bed Bath & Beyond Inc. (b) 20 884 Costco Wholesale Corp. (b) 25 915 Family Dollar Stores Inc. 31 1,105 Home Depot Inc. 3 90 Kohl's Corp. (b) 14 647 Lowe's Cos. Inc. 26 1,415 McDonald's Corp. 1 25 Michaels Stores Inc. 1 34 Ross Stores Inc. 19 513 Staples Inc. (b) 4 105 TJX Cos. Inc. 26 579 Wal-Mart Stores Inc. 38 2,021 10,096 Semiconductors - 3.1% Agere Systems Inc. (b) 29 90 Integrated Circuit Systems Inc. (b) 13 370 Intel Corp. 125 4,019 Linear Technology Corp. 15 622 5,101 Software - 6.9% BMC Software Inc. (b) 62 1,155 Computer Associates International Inc. 35 957 First Data Corp. 23 962 Microsoft Corp. 250 6,885 Oracle Corp. (b) 38 505 Siebel Systems Inc. (b) 34 474 Veritas Software Corp. (b) 13 468 11,406 Telecommunications - 1.2% CenturyTel Inc. 1 29 Level 3 Communications Inc. (b) 100 568 SBC Communications Inc. 22 582 Verizon Communications Inc. 23 805 1,984 Telecommunications Equipment - 2.1% Cisco Systems Inc. (b) 115 2,789 Harris Corp. - - Nokia Oyj - ADR 41 702 3,491 Tobacco - 1.0% Altria Group Inc. 30 1,624 Toys & Hobbies - 0.3% Mattel Inc. 30 576 Transportation - 1.4% Canadian National Railway Co. 13 848 Union Pacific Corp. 21 1,481 2,329 Wireless Telecommunications - 0.5% Nextel Communications Inc. (b) 2 48 Qualcomm Inc. 15 803 851 Total Common Stocks (cost $143,302) 161,822 Short Term Investments - 1.5% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) - - Repurchase Agreement - 1.5% Repurchase Agreement with Goldman Sachs and Co., 0.99%, (Collateralized by $2,630 Federal National Mortgage Association, 4.625%, due 05/01/13, market value $2,562) acquired on 12/31/03, due 01/02/04 at $2,526 2,526 2,526 Total Short Term Investments (cost $2,526) 2,526 Total Investments - 99.6% (cost $145,828) 164,348 Other Assets and Liabilities, Net - 0.4% 579 Total Net Assets - 100% 164,927 JNL/Putnam International Equity Fund Common Stocks - 97.3% Advertising - 0.8% WPP Group Plc 77 755 Airlines - 0.3% Qantas Airways Ltd. 29 71 Singapore Airlines Ltd. 29 191 262 Auto Manufacturers - 4.8% Bayerische Motoren Werke AG 27 1,258 Honda Motor Co. Ltd. 24 1,057 Toyota Motor Corp. 69 2,338 4,653 Auto Parts & Equipment - 0.3% Bridgestone Corp. 4 54 Denso Corp. 12 236 290 Banks - 18.2% ABN Amro Holding NV 10 232 Allied Irish Banks Plc 45 725 Australia & New Zealand Banking Group Ltd. 9 126 Banco Bilbao Vizcaya Argentaria SA 7 93 Banco Itau Holding Financeira SA - ADR 1 58 Banco Popular Espanol 1 63 Bank of Ireland 18 240 Bank of Nova Scotia 1 61 Barclays Plc 10 90 BNP Paribas SA 24 1,492 Canadian Imperial Bank of Commerce 18 873 Credit Suisse Group 36 1,314 Danske Bank A/S 30 705 DBS Group Holdings Ltd. 44 381 DnB Holding ASA 12 77 HSBC Holdings Plc 266 4,197 National Australia Bank Ltd. 3 59 Oversea-Chinese Banking Corp. Ltd. 14 99 Royal Bank of Scotland Group Plc 48 1,411 Sanpaolo IMI SpA 7 85 Societe Generale 9 805 Standard Chartered Plc 21 341 Sumitomo Mitsui Financial Group Inc. - 75 UBS AG 43 2,934 Uniao de Bancos Brasileiros SA - GDR 2 55 UniCredito Italiano SpA 107 577 United Overseas Bank Ltd. 65 505 17,673 Beverages - 3.3% Cia de Bebidas das Americas - ADR 17 432 Diageo Plc 175 2,302 Interbrew 16 425 3,159 Building Materials - 0.8% CRH Plc 38 789 Chemicals - 2.2% Air Liquide SA - 81 BASF AG 28 1,573 Ciba Specialty Chemicals AG (b) 6 487 Shin-Etsu Chemical Co. Ltd. 1 29 2,170 Commercial Services - 0.5% Securitas AB 29 386 Toppan Printing Co. Ltd. 6 58 444 Computers - 0.6% Compal Electronics Inc. 391 536 HON HAI Precision Industry Co. Ltd. 8 33 569 Cosmetics & Personal Care - 0.5% Kao Corp. 23 468 Distribution & Wholesale - 0.0% Mitsui & Co. Ltd. 5 40 Diversified Financial Services - 1.5% Acom Co. Ltd. 7 303 Credit Saison Co. Ltd. 14 310 Deutsche Boerse AG 1 38 Grupo Financiero BBVA Bancomer (b) 42 36 Nomura Holdings Inc. 21 358 ORIX Corp. 5 380 1,425 Electric - 2.1% CLP Holdings Ltd. 9 41 E.ON AG 2 104 Electrabel SA - 30 Electricidade de Portugal SA 32 85 Iberdrola SA 64 1,258 Kansai Electric Power Co. Inc. 3 56 Korea Electric Power Corp. - ADR 26 266 Scottish & Southern Energy Plc 6 75 Scottish Power Plc 7 48 Tokyo Electric Power Co. Inc. 2 49 2,012 Electrical Components & Equipment - 3.1% Funai Electric Co. Ltd. 1 82 Samsung Electronics Co. Ltd. 8 3,040 3,122 Electronics - 1.2% Advantest Corp. - 24 Koninklijke Philips Electronics NV 16 481 Omron Corp. 3 61 Secom Co. Ltd. 15 560 1,126 Engineering & Construction - 0.6% Bouygues SA 18 628 Entertainment - 0.4% Hilton Group Plc 106 428 Food - 4.4% Metro AG 1 38 Nestle SA 12 2,939 Tesco Plc 180 830 Unilever NV 1 50 Woolworths Ltd. 44 392 4,249 Forest Products & Paper - 0.0% Sappi Ltd. 2 29 Gas - 0.8% Tokyo Gas Co. Ltd. 207 739 Hand & Machine Tools - 0.1% Schneider Electric SA 1 52 Healthcare - 0.5% Synthes-Stratec Inc. - 445 Holding Companies - Diversified - 1.2% LVMH Moet Hennessy Louis Vuitton SA 15 1,080 Swire Pacific Ltd. 6 37 1,117 Home Furnishings - 0.1% SONY Corp. 2 59 Household Products - 0.6% Reckitt Benckiser Plc 24 543 Insurance - 3.7% Allianz AG 1 67 Cathay Financial Holding Co. Ltd. 172 259 China Life Insurance Co. Ltd. (b) 34 28 ING Groep NV 36 838 Millea Holdings Inc. - 1,058 Sun Life Financial Services of Canada Inc. 2 60 Swiss Reinsurance 15 1,031 XL Capital Ltd. 4 274 Zurich Financial Services AG (b) - 56 3,671 Iron & Steel - 0.3% POSCO - ADR 9 298 Lodging - 0.0% Four Seasons Hotels Inc. 1 41 Manufacturing - 2.0% Olympus Optical Co. Ltd. 38 824 Siemens AG 13 1,081 1,905 Media - 2.9% Mediaset SpA 85 1,014 News Corp. Ltd. - ADR 16 583 Singapore Press Holdings Ltd. 25 278 Societe Television Francaise 1 28 973 2,848 Metal Fabrication & Hardware - 0.3% SKF AB 7 255 Mining - 2.8% Aggregate Industries Plc 87 133 Alcan Inc. 1 47 Anglo American Plc 2 34 BHP Billiton Ltd. 36 328 BHP Billiton Plc 127 1,111 Cia Vale do Rio Doce - ADR 13 789 Rio Tinto Plc 10 285 2,727 Office & Business Equipment - 2.8% Canon Inc. 53 2,468 Ricoh Co. Ltd. 13 256 2,724 Oil & Gas Producers - 7.8% BG Group Plc 14 72 Canadian Natural Resources Ltd. 1 40 EnCana Corp. 4 174 ENI-Ente Nazionale Idrocarburi SpA 63 1,180 Nippon Oil Corp. 52 265 Petroleo Brasileiro SA - Petrobras - ADR 16 456 Shell Transport & Trading Co. Plc 28 211 Statoil ASA 6 65 Suncor Energy Inc. 4 94 Total Fina Elf SA 25 4,632 YUKOS - ADR 8 345 7,534 Packaging & Containers - 0.4% Amcor Ltd. 55 343 Pharmaceuticals - 7.0% AstraZeneca Plc 58 2,785 GlaxoSmithKline Plc 9 209 Novartis AG 54 2,436 Roche Holding AG Genusschein 4 438 Sankyo Co. Ltd. - 7 Schering AG 2 86 Takeda Chemical Industries Ltd. 1 55 Yamanouchi Pharmaceutical Co. Ltd. 24 740 6,756 Retail - 2.3% Aeon Co. Ltd. 11 352 GUS Plc 51 700 Hennes & Mauritz AB - Class B 12 284 Pinault-Printemps-Redoute SA 3 276 Swatch Group AG 8 183 Swatch Group AG - Class B 3 408 Wal-Mart de Mexico SA de CV 14 41 2,244 Semiconductors - 0.7% Rohm Co. Ltd. 4 516 STMicroelectronics NV 2 44 Taiwan Semiconductor Manufacturing Co. Ltd. (b) 46 87 647 Software - 0.1% SAP AG - 49 Telecommunications - 3.0% China Telecom Corp. Ltd. 690 284 Deutsche Telekom AG (b) 35 635 KT Corp. - ADR 33 628 Nippon Telegraph & Telephone Corp. - 251 Portugal Telecom SGPS SA 10 98 Royal KPN NV (b) 9 67 Telefonica SA 5 74 Telefonos de Mexico SA de CV - ADR 25 813 Telus Corp. 3 49 2,899 Telecommunications Equipment - 2.1% Nokia Oyj 83 1,437 Telefonaktiebolaget LM Ericsson (b) 345 618 2,055 Tobacco - 0.5% Altadis SA 17 474 Japan Tobacco Inc. - 44 518 Transportation - 1.7% Canadian National Railway Co. 12 751 East Japan Railway Co. - 518 TPG NV 16 384 1,653 Venture Capital - 0.5% 3i Group Plc 45 502 Water - 0.8% Veolia Environnement 28 747 Wireless Telecommunications - 6.7% NTT DoCoMo Inc. 1 1,889 SK Telecom Co. Ltd. - ADR 19 349 SK Telecom Co. Ltd. 2 354 Vodafone Group Plc 1,577 3,910 6,502 Total Common Stocks (cost $77,571) 94,164 Mutual Funds - 0.5% iShares MSCI EAFE Index Fund 4 488 Total Mutual Funds (cost $447) 488 Preferred Stocks - 0.1% Auto Manufacturers - 0.0% Porsche AG - 42 Diversified Financial Services - 0.0% Singapore Press Holdings 4 46 Total Preferred Stocks (cost $69) 88 Warrants - 0.2% Chemicals - 0.2% Reliance Industries, No Strike Price, Expiring 09/02/04 (e)13 167 Software - 0.0% Infosys Technologies, No Strike Price, Expiring 04/08/04 (e)- 39 Total Warrants (cost $144) 205 Short Term Investments - 2.0% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 1 1 Repurchase Agreement - 2.0% Repurchase Agreement with Goldman Sachs and Co., 0.99%, (Collateralized by $1,790 Federal National Mortgage Association, 6.00%, due 05/15/08, market value $1,981) acquired on 12/31/03, due 01/02/04 at $1,954 1,954 1,954 Total Short Term Investments (cost $1,955) 1,955 Total Investments - 100.1% (cost $80,186) 96,900 Other Assets and Liabilities, Net - (0.1%) -89 Total Net Assets - 100% 96,811 JNL/Putnam Midcap Growth Fund Common Stocks - 98.3% Advertising - 0.8% Advo Inc. 3 94 Getty Images Inc. (b) 3 150 244 Aerospace & Defense - 1.3% Rockwell Collins Inc. 7 216 United Defense Industries Inc. (b) 5 166 382 Apparel - 1.5% Columbia Sportswear Co. (b) 2 120 Kellwood Co. 4 180 Timberland Co. - Class A (b) 3 135 435 Auto Parts & Equipment - 0.8% Autoliv Inc. 1 45 Lear Corp. 3 200 245 Banks - 1.1% Investors Financial Services Corp. 6 234 Zions Bancorp. 2 92 326 Biotechnology - 4.1% Biogen Idec Inc. (b) 9 316 Celgene Corp. (b) 3 126 Genzyme Corp. (b) 5 242 Invitrogen Corp. (b) 5 378 Medimmune Inc. (b) 4 109 1,171 Commercial Services - 2.8% Alliance Data Systems Corp. (b) 4 108 Apollo Group Inc. (b) 3 225 Career Education Corp. (b) 3 128 ChoicePoint Inc. (b) 4 141 Rent-A-Center Inc. (b) 7 218 820 Computers - 7.4% CACI International Inc. - Class A (b) 4 204 Cognizant Technology Solutions Corp. (b) 6 255 Lexar Media Inc. (b) 8 139 Lexmark International Inc. (b) 5 362 Network Appliance Inc. (b) 16 333 Sandisk Corp. (b) 7 416 Storage Technology Corp. (b) 7 191 Sun Microsystems Inc. (b) 10 45 SunGard Data Systems Inc. (b) 7 183 2,128 Cosmetics & Personal Care - 0.4% Alberto-Culver Co. - Class B 2 126 Distribution & Wholesale - 0.5% CDW Corp. 3 156 Diversified Financial Services - 5.7% Ameritrade Holding Corp. (b) 5 66 Bear Stearns Cos. Inc. 3 244 Capital One Financial Corp. 7 417 Doral Financial Corp. 3 110 Legg Mason Inc. 4 295 Nelnet Inc. (b) 4 96 Providian Financial Corp. (b) 18 206 Waddell & Reed Financial Inc. - Class A 9 218 1,652 Electric - 0.7% Entergy Corp. 4 203 Electronics - 1.0% Benchmark Electronics Inc. (b) 4 130 Celestica Inc. (b) 3 38 Flir Systems Inc. (b) 3 124 292 Entertainment - 2.1% GTECH Holdings Corp. 4 198 International Game Technology 10 339 Regal Entertainment Group - Class A 3 68 605 Environmental Control - 0.5% Stericycle Inc. (b) 3 145 Food - 0.3% Dean Foods Co. (b) 3 92 Healthcare - 10.3% Advanced Medical Optics Inc. (b) - - Anthem Inc. (b) 3 248 Apria Healthcare Group Inc. (b) 8 216 Biomet Inc. 7 244 C.R. Bard Inc. 4 358 Cytyc Corp. (b) 11 146 Guidant Corp. 2 93 Health Net Inc. (b) 11 366 Inamed Corp. (b) 6 264 Quest Diagnostics Inc. 2 110 St. Jude Medical Inc. (b) 4 245 WellPoint Health Networks Inc. (b) 3 291 Zimmer Holdings Inc. (b) 5 373 2,954 Home Builders - 1.4% NVR Inc. (b) 1 410 Home Furnishings - 1.0% Whirlpool Corp. 4 283 Household Products - 3.0% Dial Corp. 12 330 Toro Co. 5 214 Yankee Candle Co. Inc. (b) 12 314 858 Insurance - 1.5% Everest Re Group Ltd. 3 220 W.R. Berkley Corp. 6 215 435 Internet - 2.9% Symantec Corp. (b) 16 547 VeriSign Inc. (b) 17 282 829 Investment Companies - 0.4% Nasdaq-100 Index Tracking Stock 3 117 Leisure Time - 0.5% Harley-Davidson Inc. 3 157 Machinery - 1.6% Briggs & Stratton Corp. 4 263 IDEX Corp. 5 195 458 Manufacturing - 0.4% Dover Corp. 3 111 Mining - 0.4% Freeport-McMoRan Copper & Gold Inc. 3 110 Office & Business Equipment - 0.6% Xerox Corp. (b) 14 186 Office Furnishings - 1.0% HON Industries Inc. 7 295 Oil & Gas Producers - 2.1% Burlington Resources Inc. 3 166 EOG Resources Inc. 5 249 Noble Corp. (b) 5 183 598 Pharmaceuticals - 7.1% AdvancePCS (b) 2 111 Allergan Inc. 4 330 Amylin Pharmaceuticals Inc. (b) 4 80 Barr Laboratories Inc. (b) 3 259 Caremark Rx Inc. (b) 12 309 Gilead Sciences Inc. (b) 4 233 Medicis Pharmaceutical Corp. - Class A 3 235 Mylan Laboratories Inc. 15 380 Neurocrine Biosciences Inc. (b) 2 109 2,046 Retail - 11.4% Abercrombie & Fitch Co. - Class A (b) 6 158 Advance Auto Parts (b) 4 326 Autozone Inc. (b) 3 213 CBRL Group Inc. 3 103 Claire's Stores Inc. 16 301 Dollar General Corp. 11 237 Family Dollar Stores Inc. 2 72 Michaels Stores Inc. 4 181 Office Depot Inc. (b) 8 139 RadioShack Corp. 4 117 Ross Stores Inc. 9 233 Staples Inc. (b) 22 603 Starbucks Corp. (b) 12 407 Yum! Brands Inc. (b) 5 179 3,268 Savings & Loans - 0.1% Brookline Bancorp. Inc. 1 17 Semiconductors - 7.8% Agere Systems Inc. (b) 101 306 Altera Corp. (b) 11 256 Integrated Circuit Systems Inc. (b) 7 194 Integrated Device Technology Inc. (b) 8 144 International Rectifier Corp. (b) 3 148 Intersil Corp. 6 152 KLA-Tencor Corp. (b) 2 100 Lam Research Corp. (b) 7 226 Linear Technology Corp. 3 114 Marvell Technology Group Ltd. (b) 5 181 QLogic Corp. (b) 4 227 Sigmatel Inc. (b) 1 33 Silicon Laboratories Inc. (b) 4 186 2,267 Software - 8.3% Adobe Systems Inc. 11 440 BMC Software Inc. (b) 27 500 Electronic Arts Inc. (b) 6 292 Fiserv Inc. (b) 3 119 Informatica Corp. (b) 5 49 Mercury Interactive Corp. (b) 6 302 SEI Investments Co. 5 146 Siebel Systems Inc. (b) 20 276 Veritas Software Corp. (b) 7 265 2,389 Telecommunications - 0.9% CenturyTel Inc. 8 258 Telecommunications Equipment - 1.7% Advanced Fibre Communications Inc. (b) 4 79 Corning Inc. (b) 12 120 Foundry Networks Inc. (b) 7 186 Juniper Networks Inc. (b) 5 93 478 Textiles - 1.0% Mohawk Industries Inc. (b) 4 303 Toys & Hobbies - 1.9% Marvel Enterprises Inc. (b) 8 239 Mattel Inc. 17 323 562 Total Common Stocks (cost $24,236) 28,411 Mutual Funds - 0.4% Midcap SPDR Trust Series 1 1 127 Total Mutual Funds (cost $125) 127 Short Term Investments - 0.4% Money Market Funds - 0.4% Dreyfus Cash Management Plus, 0.898% (a) 108 108 Total Short Term Investments (cost $108) 108 Total Investments - 99.1% (cost $24,469) 28,646 Other Assets and Liabilities, Net - 0.9% 263 Total Net Assets - 100% 28,909 JNL/Putnam Value Equity Fund Common Stocks - 97.2% Aerospace & Defense - 3.0% Boeing Co. 77 3,232 Lockheed Martin Corp. 83 4,261 Northrop Grumman Corp. 18 1,673 9,166 Apparel - 0.4% Liz Claiborne Inc. 31 1,113 Banks - 7.3% Bank of America Corp. 49 3,941 Bank of New York Co. Inc. 59 1,941 State Street Corp. 29 1,515 US Bancorp. 175 5,206 Wachovia Corp. 74 3,466 Wells Fargo & Co. 91 5,377 Zions Bancorp. 19 1,171 22,617 Building Materials - 0.8% Masco Corp. 93 2,538 Chemicals - 2.3% Dow Chemical Co. 104 4,311 PPG Industries Inc. 44 2,842 7,153 Commercial Services - 0.5% McKesson Corp. 51 1,631 Computers - 6.8% Dell Inc. (b) 72 2,438 Hewlett-Packard Co. 347 7,967 International Business Machines Corp. 88 8,137 Lexmark International Inc. (b) 31 2,438 20,980 Cosmetics & Personal Care - 1.4% Procter & Gamble Co. 43 4,245 Diversified Financial Services - 11.4% Citigroup Inc. 258 12,513 Fannie Mae 89 6,703 Freddie Mac 107 6,240 JPMorgan Chase & Co. 211 7,743 MBNA Corp. 84 2,095 35,294 Electric - 2.6% Edison International 97 2,123 Entergy Corp. 11 623 Exelon Corp. 28 1,858 FirstEnergy Corp. 20 690 PG&E Corp. (b) 95 2,638 7,932 Electrical Components & Equipment - 0.4% Emerson Electric Co. 17 1,107 Electronics - 0.4% Solectron Corp. (b) 224 1,323 Environmental Control - 0.3% Republic Services Inc. 33 838 Food - 1.3% ConAgra Foods Inc. 89 2,341 Kraft Foods Inc. 51 1,653 3,994 Forest Products & Paper - 0.6% Abitibi-Consolidated Inc. 219 1,759 Healthcare - 2.3% Anthem Inc. (b) 43 3,195 C.R. Bard Inc. 21 1,690 Johnson & Johnson 44 2,268 7,153 Home Furnishings - 1.0% Whirlpool Corp. 44 3,197 Household Products - 0.4% Avery Dennison Corp. 22 1,210 Insurance - 5.0% ACE Ltd. 70 2,916 American International Group Inc. 38 2,486 Berkshire Hathaway Inc. - Class B (b) 1 3,688 Cigna Corp. 19 1,104 Travelers Property Casualty Corp. 141 2,394 XL Capital Ltd. 38 2,916 15,504 Manufacturing - 4.5% General Electric Co. 142 4,399 Ingersoll-Rand Co. - Class A 38 2,600 Tyco International Ltd. 260 6,893 13,892 Media - 1.8% Time Warner Inc. (b) 78 1,410 Walt Disney Co. 173 4,034 5,444 Mining - 0.7% Alcoa Inc. 60 2,261 Office & Business Equipment - 1.2% Xerox Corp. (b) 273 3,768 Oil & Gas Producers - 5.9% ConocoPhillips 74 4,842 Exxon Mobil Corp. 273 11,193 Total SA - ADR 24 2,248 18,283 Oil & Gas Services - 0.9% Halliburton Co. 103 2,688 Pharmaceuticals - 8.8% Abbott Laboratories 137 6,403 Cardinal Health Inc. 66 4,061 Express Scripts Inc. - Class A (b) 11 737 Forest Laboratories Inc. (b) 19 1,190 King Pharmaceuticals Inc. (b) 125 1,909 Medco Health Solutions Inc. (b) - - Pfizer Inc. 280 9,906 Wyeth 73 3,116 27,322 Retail - 7.2% Darden Restaurants Inc. 135 2,838 Home Depot Inc. 103 3,641 J.C. Penney Co. Inc. 57 1,493 Limited Brands Inc. 26 469 Lowe's Cos. Inc. 19 1,030 McDonald's Corp. 98 2,431 Office Depot Inc. (b) 203 3,394 TJX Cos. Inc. 82 1,802 Wal-Mart Stores Inc. 97 5,156 22,254 Savings & Loans - 1.3% Washington Mutual Inc. 100 4,020 Semiconductors - 1.5% Intel Corp. 113 3,648 Micron Technology Inc. (b) 77 1,039 4,687 Software - 4.8% Automatic Data Processing Inc. 31 1,216 Computer Associates International Inc. 86 2,357 Fiserv Inc. (b) 42 1,647 Microsoft Corp. 292 8,053 Oracle Corp. (b) 131 1,727 15,000 Telecommunications - 4.4% BellSouth Corp. 81 2,292 CenturyTel Inc. 38 1,249 SBC Communications Inc. 145 3,791 Verizon Communications Inc. 178 6,244 13,576 Tobacco - 3.6% Altria Group Inc. 208 11,298 Toys & Hobbies - 0.4% Mattel Inc. 69 1,322 Transportation - 1.8% Canadian National Railway Co. 39 2,474 Union Pacific Corp. 49 3,370 5,844 Wireless Telecommunications - 0.3% Motorola Inc. 56 792 Total Common Stocks (cost $267,692) 301,205 Options - 0.0% Bellsouth Call Option, Strike Price $29.35, 04/07/04, 27 22 SBC Communication, Call Option, Strike Price $26.74, 04/05/04 60 53 Verizon Call Option, Strike Price $36.17, 04/07/04 22 21 Total Options (cost $83) 96 Short Term Investments - 2.7% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) - - Repurchase Agreement - 2.7% Repurchase Agreement with Goldman Sachs and Co., 0.99%, (Collateralized by $8,410 Federal Home Loan Bank, 3.875%, due 12/15/04 , market value $8,608) acquired on 12/31/03, due 01/02/04 at $8,451 8,451 8,451 Total Short Term Investments (cost $8,451) 8,451 Total Investments - 100.0% (cost $276,226) 309,752 Other Assets and Liabilities, Net - 0.0% -20 Total Net Assets - 100% 309,732 JNL/S&P Aggressive Growth Fund Mutual Funds - 100.0% Aggressive Growth - 92.1% JNL/Alliance Capital Growth Fund 267 2,654 JNL/Curian Enhanced S&P 500 Stock Index Fund 501 3,971 JNL/Janus Aggressive Growth Fund 96 1,689 JNL/Lazard Mid Cap Value Fund 29 375 JNL/Lazard Small Cap Value Fund 51 660 JNL/Oppenheimer Global Growth Fund 91 918 JNL/Putnam Midcap Growth Fund 95 646 JNL/T. Rowe Price Mid-Cap Growth Fund 22 555 11,468 Income - 7.9% JNL/PIMCO Total Return Bond Fund 33 385 JNL/Salomon Brothers Global Bond Fund 9 108 JNL/Salomon Brothers High Yield Bond Fund 62 496 989 Total Investments - 100.0% (cost $12,657) 12,457 Other Assets and Liabilities, Net - 0.0% -4 Total Net Assets - 100% 12,453 JNL/S&P Aggressive Growth Fund I Mutual Funds - 99.7% Aggressive Growth - 31.9% JNL/Alger Growth Fund 341 5,030 JNL/Alliance Capital Growth Fund 471 4,667 JNL/Eagle SmallCap Equity Fund 219 3,685 JNL/Lazard Mid Cap Value Fund 632 8,311 JNL/Lazard Small Cap Value Fund 804 10,488 JNL/Oppenheimer Global Growth Fund 1,044 10,566 JNL/Oppenheimer Growth Fund 516 4,272 JNL/T. Rowe Price Mid-Cap Growth Fund 216 5,364 52,383 Growth - 26.2% JNL/AIM Premier Equity II Fund 162 1,574 JNL/Eagle Core Equity Fund 1,476 20,920 JNL/T. Rowe Price Established Growth Fund 1,211 20,312 42,806 Growth & Income - 26.7% JNL/Janus Balanced Fund 312 2,893 JNL/PPM America Value Fund 361 5,304 JNL/Putnam Value Equity Fund 614 9,876 JNL/T. Rowe Price Value Fund 2,162 25,753 43,826 Income - 14.9% JNL/PIMCO Total Return Bond Fund 688 8,092 JNL/PPM America High Yield Bond Fund 1,402 12,199 JNL/Salomon Brothers Global Bond Fund 256 2,923 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 113 1,294 24,508 Total Investments - 99.7% (cost $152,951) 163,523 Other Assets and Liabilities, Net - 0.3% 493 Total Net Assets - 100% 164,016 JNL/S&P Aggressive Growth Fund II Mutual Funds - 105.2% Aggressive Growth - 68.9% JNL/Alliance Capital Growth Fund 112 1,107 JNL/Janus Aggressive Growth Fund 20 355 JNL/Lazard Mid Cap Value Fund 16 213 JNL/Lazard Small Cap Value Fund 27 357 JNL/Oppenheimer Global Growth Fund 26 266 JNL/Oppenheimer Growth Fund 29 243 JNL/T. Rowe Price Mid-Cap Growth Fund 6 142 2,683 Growth - 2.1% JNL/AIM Premier Equity II Fund 8 80 Growth & Income - 19.6% JNL/Putnam Value Equity Fund 47 763 Income - 14.6% JNL/PIMCO Total Return Bond Fund 17 199 JNL/Salomon Brothers Global Bond Fund 6 74 JNL/Salomon Brothers High Yield Bond Fund 37 297 570 Total Investments - 105.2% (cost $3,894) 4,096 Other Assets and Liabilities, Net - (5.2%) -204 Total Net Assets - 100% 3,892 JNL/S&P Conservative Growth Fund Mutual Funds - 100.0% Aggressive Growth - 52.7% JNL/Alliance Capital Growth Fund 258 2,564 JNL/Curian Enhanced S&P 500 Stock Index Fund 445 3,533 JNL/Janus Aggressive Growth Fund 81 1,434 JNL/Oppenheimer Global Growth Fund 72 730 8,261 Greater Opportunity for Stability - 12.0% JNL/PPM America Money Market Fund 1,889 1,889 Growth & Income - 9.9% JNL/Janus Growth & Income Fund 47 330 JNL/Salomon Brothers Balanced Fund 111 1,220 1,550 Income - 25.4% JNL/PIMCO Total Return Bond Fund 172 2,018 JNL/Salomon Brothers Global Bond Fund 52 598 JNL/Salomon Brothers High Yield Bond Fund 170 1,367 3,983 Total Investments - 100.0% (cost $15,087) 15,683 Other Assets and Liabilities, Net - 0.0% -4 Total Net Assets - 100% 15,679 JNL/S&P Conservative Growth Fund I Mutual Funds - 99.9% Aggressive Growth - 5.5% JNL/Alger Growth Fund 299 4,417 JNL/Alliance Capital Growth Fund 414 4,109 JNL/Curian Enhanced S&P 500 Index Fund 1,674 13,274 21,800 Greater Opportunity for Stability - 9.3% JNL/PPM America Money Market Fund 37,510 37,510 Growth - 29.3% JNL/AIM Premier Equity II Fund 429 4,158 JNL/Curian S&P 500 Stock Index Fund 2,225 21,892 JNL/Eagle Core Equity Fund 2,992 42,394 JNL/Mellon Capital Management International Index Fund 1,221 13,975 JNL/T. Rowe Price Established Growth Fund 2,121 35,567 117,986 Growth & Income - 22.0% JNL/Janus Balanced Fund 413 3,830 JNL/PPM America Balanced Fund 270 4,195 JNL/Putnam Value Equity Fund 1,076 17,319 JNL/T. Rowe Price Value Fund 5,315 63,296 88,640 Income - 33.8% JNL/Mellon Capital Management Bond Index Fund 1,336 14,000 JNL/PIMCO Total Return Bond Fund 3,035 35,688 JNL/PPM America High Yield Bond Fund 2,769 24,087 JNL/Salomon Brothers Global Bond Fund 3,041 34,665 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 2,395 27,476 135,916 Total Investments - 99.9% (cost $381,207) 401,852 Other Assets and Liabilities, Net - 0.1% 470 Total Net Assets - 100% 402,322 JNL/S&P Conservative Growth Fund II Mutual Funds - 100.1% Aggressive Growth - 36.8% JNL/Alliance Capital Growth Fund 270 2,679 JNL/Janus Aggressive Growth Fund 45 790 JNL/Lazard Mid Cap Value Fund 35 457 JNL/Oppenheimer Global Growth Fund 48 483 JNL/Oppenheimer Growth Fund 91 754 5,163 Growth - 2.0% JNL/AIM Premier Equity II Fund 29 285 Growth & Income - 26.9% JNL/Putnam Value Equity Fund 150 2,421 JNL/Salomon Brothers Balanced Fund 123 1,345 3,766 Income - 34.4% JNL/PIMCO Total Return Bond Fund 121 1,425 JNL/Salomon Brothers Global Bond Fund 139 1,583 JNL/Salomon Brothers High Yield Bond Fund 225 1,808 4,816 Total Investments - 100.1% (cost $13,100) 14,030 Other Assets and Liabilities, Net - (0.1%) -11 Total Net Assets - 100% 14,019 JNL/S&P Core Index 100 Fund Mutual Funds - 99.7% Aggressive Growth - 40.5% JNL/Curian Enhanced S&P 500 Stock Index Fund 1,298 10,293 JNL/Curian S&P 400 MidCap Index Fund 171 1,962 JNL/Curian Small Cap Index Fund 218 2,498 14,753 Greater Opportunity for Stability - 8.4% JNL/PPM America Money Market Fund 3,057 3,058 Growth - 33.6% JNL/Curian S&P 500 Index Fund 1,036 10,196 JNL/Mellon Capital Management International Index Fund 177 2,025 12,221 Income - 17.2% JNL/Mellon Capital Management Bond Index Fund 598 6,263 Total Investments - 99.7% (cost $32,039) 36,295 Other Assets and Liabilities, Net - 0.3% 126 Total Net Assets - 100% 36,421 JNL/S&P Core Index 50 Fund Mutual Funds - 100.1% Aggressive Growth - 40.3% JNL/Alger Growth Fund 21 304 JNL/Alliance Capital Growth Fund 44 432 JNL/Curian Enhanced S&P 500 Stock Index Fund 10 76 JNL/Curian S&P 400 MidCap Index Fund 41 465 JNL/Curian Small Cap Index Fund 28 324 JNL/Eagle SmallCap Equity Fund 10 160 JNL/Janus Aggressive Growth Fund 9 153 JNL/Lazard Mid Cap Value Fund 12 151 JNL/Lazard Small Cap Value Fund 18 237 JNL/Oppenheimer Global Growth Fund 40 402 JNL/Oppenheimer Growth Fund 17 137 JNL/T. Rowe Price Mid-Cap Growth Fund 9 236 3,077 Growth - 53.7% JNL/AIM Premier Equity II Fund 8 73 JNL/Curian S&P 500 Index Fund 261 2,566 JNL/Eagle Core Equity Fund 31 444 JNL/Mellon Capital Management International Index Fund 35 401 JNL/T. Rowe Price Established Growth Fund 36 609 4,093 Growth & Income - 6.1% JNL/Putnam Value Equity Fund 5 75 JNL/T. Rowe Price Value Fund 33 389 464 Total Mutual Funds (cost $6,651) 7,634 Total Investments - 100.1% (cost $6,651) 7,634 Other Assets and Liabilities, Net - (0.1%) -5 Total Net Assets - 100% 7,629 JNL/S&P Core Index 75 Fund Mutual Funds - 100.0% Aggressive Growth - 42.5% JNL/Alger Growth Fund 14 205 JNL/Alliance Capital Growth Fund 29 288 JNL/Curian Enhanced S&P 500 Stock Index Fund 219 1,739 JNL/Curian S&P 400 MidCap Index Fund 37 419 JNL/Curian Small Cap Index Fund 39 445 JNL/Eagle SmallCap Equity Fund 13 222 JNL/Janus Aggressive Growth Fund 6 104 JNL/Lazard Mid Cap Value Fund 8 102 JNL/Lazard Small Cap Value Fund 16 214 JNL/Oppenheimer Global Growth Fund 21 216 JNL/Oppenheimer Growth Fund 11 90 JNL/T. Rowe Price Mid-Cap Growth Fund 9 216 4,260 Growth - 41.8% JNL/AIM Premier Equity II Fund 10 97 JNL/Curian S&P 500 Index Fund 309 3,042 JNL/Eagle Core Equity Fund 14 198 JNL/Mellon Capital Management International Index Fund 47 540 JNL/T. Rowe Price Established Growth Fund 18 308 4,185 Growth & Income - 3.1% JNL/Putnam Value Equity Fund 6 101 JNL/T. Rowe Price Value Fund 18 209 310 Income - 12.6% JNL/Mellon Capital Management Bond Index Fund 121 1,263 Total Investments - 100.0% (cost $8,706) 10,018 Other Assets and Liabilities, Net - 0.0% -1 Total Net Assets - 100% 10,017 JNL/S&P Equity Aggressive Growth Fund I Mutual Funds - 99.3% Aggressive Growth - 43.6% JNL/Alger Growth Fund 173 2,554 JNL/Alliance Capital Growth Fund 477 4,730 JNL/Eagle SmallCap Equity Fund 101 1,691 JNL/Lazard Mid Cap Value Fund 307 4,044 JNL/Lazard Small Cap Value Fund 285 3,723 JNL/Oppenheimer Global Growth Fund 212 2,142 JNL/Oppenheimer Growth Fund 156 1,292 JNL/T. Rowe Price Mid-Cap Growth Fund 88 2,185 22,361 Growth - 29.3% JNL/Eagle Core Equity Fund 380 5,381 JNL/Janus Global Equities Fund 110 1,919 JNL/T. Rowe Price Established Growth Fund 462 7,742 15,042 Growth & Income - 26.4% JNL/PPM America Value Fund 220 3,235 JNL/Putnam Value Equity Fund 156 2,504 JNL/T. Rowe Price Value Fund 658 7,839 13,578 Total Investments - 99.3% (cost $47,090) 50,981 Other Assets and Liabilities, Net - 0.7% 363 Total Net Assets - 100% 51,344 JNL/S&P Equity Aggressive Growth Fund II Mutual Funds - 97.2% Aggressive Growth - 71.7% JNL/Alliance Capital Growth Fund 42 417 JNL/Janus Aggressive Growth Fund 11 194 JNL/Lazard Mid Cap Value Fund 9 124 JNL/Lazard Small Cap Value Fund 12 162 JNL/Oppenheimer Global Growth Fund 6 65 JNL/Oppenheimer Growth Fund 11 88 JNL/T. Rowe Price Mid-Cap Growth Fund 3 68 1,118 Growth - 3.7% JNL/Janus Global Equities Fund 3 57 Growth & Income - 21.8% JNL/Putnam Value Equity Fund 21 340 Total Investments - 97.2% (cost $1,508) 1,515 Other Assets and Liabilities, Net - 2.8% 45 Total Net Assets - 100% 1,560 JNL/S&P Equity Growth Fund I Mutual Funds - 99.9% Aggressive Growth - 37.6% JNL/Alger Growth Fund 595 8,783 JNL/Alliance Capital Growth Fund 1,649 16,354 JNL/Eagle SmallCap Equity Fund 229 3,847 JNL/Lazard Mid Cap Value Fund 795 10,460 JNL/Lazard Small Cap Value Fund 840 10,960 JNL/Oppenheimer Global Growth Fund 545 5,514 JNL/Oppenheimer Growth Fund 542 4,488 JNL/T. Rowe Price Mid-Cap Growth Fund 226 5,617 66,023 Growth - 28.6% JNL/Eagle Core Equity Fund 1,313 18,612 JNL/Janus Global Equities Fund 286 4,982 JNL/T. Rowe Price Established Growth Fund 1,591 26,683 50,277 Growth & Income - 33.7% JNL/PPM America Value Fund 757 11,122 JNL/Putnam Value Equity Fund 861 13,847 JNL/T. Rowe Price Value Fund 2,874 34,228 59,197 Total Investments - 99.9% (cost $163,898) 175,497 Other Assets and Liabilities, Net - 0.1% 121 Total Net Assets - 100% 175,618 JNL/S&P Equity Growth Fund II Mutual Funds - 99.9% Aggressive Growth - 63.7% JNL/Alliance Capital Growth Fund 173 1,713 JNL/Janus Aggressive Growth Fund 31 546 JNL/Lazard Mid Cap Value Fund 20 264 JNL/Lazard Small Cap Value Fund 48 625 JNL/Oppenheimer Global Growth Fund 21 208 JNL/Oppenheimer Growth Fund 46 383 JNL/T. Rowe Price Mid-Cap Growth Fund 15 362 4,101 Growth - 6.7% JNL/AIM Premier Equity II Fund 25 247 JNL/Janus Global Equities Fund 11 185 432 Growth & Income - 29.5% JNL/Putnam Value Equity Fund 118 1,901 Total Investments - 99.9% (cost $6,151) 6,433 Other Assets and Liabilities, Net - 0.1% 6 Total Net Assets - 100% 6,439 JNL/S&P Moderate Growth Fund Mutual Funds - 100.0% Aggressive Growth - 70.0% JNL/Alliance Capital Growth Fund 502 4,984 JNL/Curian Enhanced S&P 500 Stock Index Fund 810 6,420 JNL/Janus Aggressive Growth Fund 176 3,102 JNL/Lazard Mid Cap Value Fund 68 897 JNL/Lazard Small Cap Value Fund 97 1,261 JNL/Oppenheimer Global Growth Fund 187 1,889 JNL/Putnam Midcap Growth Fund 90 617 JNL/T. Rowe Price Mid-Cap Growth Fund 40 989 20,159 Growth & Income - 10.4% JNL/Janus Growth & Income Fund 162 1,142 JNL/Salomon Brothers Balanced Fund 168 1,846 2,988 Income - 19.6% JNL/PIMCO Total Return Bond Fund 238 2,796 JNL/Salomon Brothers Global Bond Fund 68 778 JNL/Salomon Brothers High Yield Bond Fund 258 2,075 5,649 Total Investments - 100.0% (cost $27,261) 28,796 Other Assets and Liabilities, Net - 0.0% 4 Total Net Assets - 100% 28,800 JNL/S&P Moderate Growth Fund I Mutual Funds - 99.9% Aggressive Growth - 17.2% JNL/Alger Growth Fund 876 12,935 JNL/Alliance Capital Growth Fund 1,216 12,062 JNL/Eagle SmallCap Equity Fund 419 7,050 JNL/Lazard Mid Cap Value Fund 1,951 25,673 JNL/Lazard Small Cap Value Fund 1,548 20,206 JNL/Oppenheimer Global Growth Fund 1,345 13,607 JNL/T. Rowe Price Mid-Cap Growth Fund 551 13,709 105,242 Greater Opportunity for Stability - 5.0% JNL/PPM America Money Market Fund 30,304 30,305 Growth - 27.3% JNL/AIM Premier Equity II Fund 630 6,104 JNL/Curian S&P 500 Index Fund 1,305 12,842 JNL/Eagle Core Equity Fund 4,831 68,458 JNL/Mellon Capital Management International Index Fund 1,785 20,440 JNL/T. Rowe Price Established Growth Fund 3,498 58,659 166,503 Growth & Income - 26.4% JNL/Janus Balanced Fund 1,827 16,933 JNL/PPM America Balanced Fund 793 12,328 JNL/PPM America Value Fund 462 6,797 JNL/Putnam Value Equity Fund 1,579 25,409 JNL/T. Rowe Price Value Fund 8,335 99,268 160,735 Income - 24.0% JNL/Mellon Capital Management Bond Index Fund 1,483 15,542 JNL/PIMCO Total Return Bond Fund 3,591 42,234 JNL/PPM America High Yield Bond Fund 2,719 23,655 JNL/Salomon Brothers Global Bond Fund 3,489 39,769 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 2,217 25,433 146,633 Total Investments - 99.9% (cost $571,181) 609,418 Other Assets and Liabilities, Net - 0.1% 469 Total Net Assets - 100% 609,887 JNL/S&P Moderate Growth Fund II Mutual Funds - 100.1% Aggressive Growth - 47.4% JNL/Alliance Capital Growth Fund 366 3,627 JNL/Janus Aggressive Growth Fund 72 1,278 JNL/Lazard Mid Cap Value Fund 47 617 JNL/Lazard Small Cap Value Fund 66 866 JNL/Oppenheimer Global Growth Fund 107 1,083 JNL/Oppenheimer Growth Fund 124 1,024 JNL/T. Rowe Price Mid-Cap Growth Fund 27 677 9,172 Growth - 2.0% JNL/AIM Premier Equity II Fund 40 385 Growth & Income - 26.3% JNL/Putnam Value Equity Fund 203 3,267 JNL/Salomon Brothers Balanced Fund 166 1,820 5,087 Income - 24.4% JNL/PIMCO Total Return Bond Fund 124 1,453 JNL/Salomon Brothers Global Bond Fund 125 1,429 JNL/Salomon Brothers High Yield Bond Fund 228 1,828 4,710 Total Investments - 100.1% (cost $18,094) 19,354 Other Assets and Liabilities, Net - (0.1%) -22 Total Net Assets - 100% 19,332 JNL/S&P Very Aggressive Growth Fund I Mutual Funds - 100.0% Aggressive Growth - 47.8% JNL/Alger Growth Fund 203 2,994 JNL/Alliance Capital Growth Fund 558 5,534 JNL/Eagle SmallCap Equity Fund 119 1,995 JNL/Lazard Mid Cap Value Fund 361 4,745 JNL/Lazard Small Cap Value Fund 334 4,362 JNL/Oppenheimer Global Growth Fund 309 3,126 JNL/Oppenheimer Growth Fund 181 1,499 JNL/T. Rowe Price Mid-Cap Growth Fund 181 4,514 28,769 Growth - 25.6% JNL/Eagle Core Equity Fund 162 2,296 JNL/Janus Global Equities Fund 160 2,795 JNL/T. Rowe Price Established Growth Fund 617 10,343 15,434 Growth & Income - 26.6% JNL/PPM America Value Fund 259 3,811 JNL/Putnam Value Equity Fund 183 2,947 JNL/T. Rowe Price Value Fund 774 9,214 15,972 Total Investments - 100.0% (cost $56,005) 60,176 Other Assets and Liabilities, Net - 0.0% 17 Total Net Assets - 100% 60,193 JNL/S&P Very Aggressive Growth Fund II Mutual Funds - 100.2% Aggressive Growth - 79.1% JNL/Alliance Capital Growth Fund 59 582 JNL/Janus Aggressive Growth Fund 14 248 JNL/Lazard Mid Cap Value Fund 13 174 JNL/Lazard Small Cap Value Fund 18 229 JNL/Oppenheimer Global Growth Fund 11 115 JNL/Oppenheimer Growth Fund 19 160 JNL/T. Rowe Price Mid-Cap Growth Fund 7 168 1,676 Growth - 4.8% JNL/Janus Global Equities Fund 6 101 Growth & Income - 16.3% JNL/Putnam Value Equity Fund 21 345 Total Investments - 100.2% (cost $2,261) 2,122 Other Assets and Liabilities, Net - (0.2%) -3 Total Net Assets - 100% 2,119 JNL/Salomon Brothers Balanced Fund Common Stocks - 61.7% Agriculture - 0.1% Monsanto Co. - 10 Auto Manufacturers - 0.1% DaimlerChrysler AG 1 32 Banks - 6.2% Bank of America Corp. 1 113 Bank of New York Co. Inc. (f) 13 431 FleetBoston Financial Corp. 5 209 Mercantile Bankshares Corp. 1 50 SunTrust Banks Inc. 1 79 Wachovia Corp. 6 275 1,157 Beverages - 3.3% Anheuser-Busch Cos. Inc. 3 147 Coca-Cola Co. 4 198 Coca-Cola Enterprises Inc. 5 101 PepsiCo Inc. 4 163 609 Computers - 4.1% Hewlett-Packard Co. 7 163 International Business Machines Corp. 5 436 Sun Microsystems Inc. (b) 36 163 762 Cosmetics & Personal Care - 3.0% Colgate-Palmolive Co. 1 55 Gillette Co. 6 216 Kimberly-Clark Corp. 1 71 Procter & Gamble Co. 2 210 552 Diversified Financial Services - 5.7% American Express Co. 4 202 JPMorgan Chase & Co. (f) 16 588 Merrill Lynch & Co. Inc. 5 276 1,066 Electric - 0.2% American Electric Power Co. Inc. 1 40 Food - 3.4% H.J. Heinz Co. 2 73 Kroger Co. (b) 10 176 Safeway Inc. (b) 15 322 Sara Lee Corp. 3 61 632 Healthcare - 1.5% Bausch & Lomb Inc. 1 41 Johnson & Johnson 5 243 284 Insurance - 6.3% Allstate Corp. 4 185 American International Group Inc. (f) 7 485 Berkshire Hathaway Inc. - Class B (b) (f) - 341 Chubb Corp. 1 75 Cigna Corp. 1 52 Horace Mann Educators Corp. 2 33 1,171 Manufacturing - 1.8% Eastman Kodak Co. 1 33 General Electric Co. 10 304 337 Media - 2.5% Comcast Corp. - Class A (b) 4 129 Hughes Electronics Corp. (b) 6 94 Liberty Media Corp. (b) 4 52 Time Warner Inc. (b) 11 194 469 Mining - 2.7% Alcoa Inc. 13 502 Oil & Gas Producers - 2.7% Amerada Hess Corp. 1 43 BP Plc - ADR 1 49 Diamond Offshore Drilling Inc. 6 113 Exxon Mobil Corp. 2 74 Royal Dutch Petroleum Co. - NYS 1 47 Transocean Inc. (b) 7 170 496 Oil & Gas Services - 0.4% Schlumberger Ltd. 1 77 Pharmaceuticals - 6.6% Abbott Laboratories 7 303 Bristol-Myers Squibb Co. 1 37 Merck & Co. Inc. 2 106 Novartis AG - ADR 7 298 Pfizer Inc. (f) 12 412 Wyeth 2 77 1,233 Retail - 4.5% Costco Wholesale Corp. (b) 6 205 Federated Department Stores Inc. 4 184 Home Depot Inc. 7 245 McDonald's Corp. 5 124 Wal-Mart Stores Inc. 2 90 848 Semiconductors - 0.2% Intel Corp. 1 32 Software - 1.5% Microsoft Corp. 10 278 Telecommunications - 2.1% AT&T Corp. 2 48 SBC Communications Inc. 3 78 Verizon Communications Inc. 7 261 387 Telecommunications Equipment - 0.8% Lucent Technologies Inc. (b) 53 151 Transportation - 0.6% Canadian National Railway Co. 1 89 United Parcel Service Inc. - 22 111 Wireless Telecommunications - 1.4% AT&T Wireless Services Inc. (b) 13 101 Motorola Inc. 11 156 257 Total Common Stocks (cost $11,497) 11,493 Corporate Bonds - 13.0% Asset Backed Securities - 2.3% Atlantic City Electric Transition Funding LLC, 5.55%, 10/20/23 100 102 Capital One Master Trust, 4.60%, 08/17/09 100 105 Household Automotive Trust, 1.73%, 12/17/07 (f) 75 74 Prime Credit Card Master Trust, 6.70%, 10/15/09 (f) 125 134 415 Auto Parts & Equipment - 0.4% Johnson Controls Inc., 5.00%, 11/15/06 50 53 Lear Corp., 8.11%, 05/15/09 25 29 82 Banks - 0.5% Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 75 91 Building Materials - 0.1% Masco Corp., 6.50%, 08/15/32 25 26 Chemicals - 0.1% Potash Corp., 4.875%, 03/01/13 25 24 Diversified Financial Services - 3.3% Capital Bank One, 5.75%, 09/15/10 25 26 CIT Group Inc., 7.75%, 04/02/12 25 30 Countrywide Home Loans Inc., 5.625%, 05/15/07 50 54 Ford Motor Credit Co., 7.875%, 06/15/10 (f) 60 67 General Electric Capital Corp., 5.00%, 06/15/07 50 54 General Motors Acceptance Corp., 6.875%, 09/15/11 (f) 65 70 Household Finance Corp., 8.00%, 07/15/10 (f) 50 60 International Lease Finance Corp., 6.375%, 03/15/09 50 55 Lehman Brothers Holdings Inc., 7.00%, 02/01/08 50 56 Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 50 56 SLM Corp., 1.34%, 09/15/06 (g) 25 25 Washington Mutual Financial Corp., 6.875%, 05/15/11 50 57 610 Electric - 0.3% Appalachian Power Co., 5.95%, 05/15/33 25 24 Dominion Resources Inc., 6.25%, 06/30/12 25 27 51 Food - 0.5% Kellogg Co., 6.60%, 04/01/11 30 34 Safeway Inc., 7.25%, 02/01/31 50 55 89 Forest Products & Paper - 0.1% Domtar Inc., 5.375%, 12/01/13 25 25 Healthcare - 0.1% WellPoint Health Networks, 6.375%, 06/15/06 25 27 Insurance - 0.2% Unitrin Inc., 4.875%, 11/01/10 35 35 Investment Companies - 0.3% Credit Suisse First Boston USA Inc., 4.625%, 01/15/08 50 52 Manufacturing - 0.2% Honeywell International Inc., 6.875%, 10/03/05 35 38 Media - 1.0% AOL Time Warner Inc., 7.625%, 04/15/31 50 58 AT&T Broadband Corp., 8.375%, 03/15/13 25 30 COX Communications Inc., 7.75%, 11/01/10 (f) 50 60 Viacom Inc., 6.625%, 05/15/11 40 45 193 Mining - 0.3% Noranda Inc., 7.25%, 07/15/12 25 28 WMC Finance USA, 5.125%, 05/15/13 25 25 53 Oil & Gas Producers - 1.1% Burlington Resources Finance Co., 6.50%, 12/01/11 35 39 Conoco Inc., 6.95%, 04/15/29 (f) 75 85 Devon Financing Corp. ULC, 6.875%, 09/30/11 50 57 Valero Energy Corp., 7.50%, 04/15/32 25 28 209 Pharmaceuticals - 0.2% Wyeth, 5.25%, 03/15/13 35 36 Real Estate - 0.3% Boston Properties Inc., 6.25%, 01/15/13 25 27 EOP Operating LP, 6.75%, 02/15/08 25 28 55 Savings & Loans - 0.3% Greenpoint Financial Corp., 3.20%, 06/06/08 25 24 Independence Community Bank, 3.50%, 06/20/13 25 24 48 Telecommunications - 0.9% Deutsche Telekom International Finance, 5.25%, 07/22/13 30 30 Sprint Captial Corp., 8.375%, 03/15/12 75 88 Verizon Pennsylvania Inc., 5.65%, 11/15/11 50 52 170 Tobacco - 0.1% Universal Corp., 5.20%, 10/15/13 25 25 Water - 0.1% United Utilities Plc, 4.55%, 06/19/18 25 22 Wireless Telecommunications - 0.3% AT&T Wireless Services Inc., 8.75%, 03/01/31 50 62 Total Corporate Bonds (cost $2,346) 2,438 Preferred Stocks - 2.4% Media - 2.4% News Corp. Ltd. - ADR (f) 15 455 Total Preferred Stocks (cost $399) 455 Government Securities - 21.5% Sovereign - 0.3% Province of Ontario, 3.282%, 03/28/08 $ 50 U.S. Government Agencies - 14.5% Federal Home Loan Mortgage Corp., 5.00%, TBA (c) 100 99 Federal National Mortgage Association 5.50%, TBA (c) 140 142 6.00%, TBA (c) 670 692 6.50%, TBA (c) 650 678 7.00%, TBA (c) 240 253 5.50%, 02/15/06 200 214 6.25%, 02/01/11 200 221 7.00%, 07/01/15 6 7 6.50%, 07/01/28 47 49 7.00%, 02/01/29 12 13 8.00%, 08/01/30 20 21 7.50%, 02/01/31 10 11 Government National Mortgage Association, 5.50%, TBA (c) 300 305 2,705 U.S. Treasury Securities - 6.7% U.S. Treasury Bond, 6.125%, 08/15/29 175 198 U.S. Treasury Note 5.875%, 11/15/04 350 364 6.875%, 05/15/06 400 445 2.625%, 05/15/08 55 54 5.75%, 08/15/10 150 168 4.375%, 08/15/12 20 21 1,250 Total Government Securities (cost $3,929) 4,005 Municipals - 0.3% Region of Lombardy, 5.804%, 10/25/32 50 51 Total Municipals (cost $50) 51 Short Term Investments - 12.3% Money Market Funds - 10.0% Dreyfus Cash Management Plus, 0.898% (a) 928 928 Dreyfus Government Cash Management, 0.893% (a) 928 928 1,856 Repurchase Agreement - 2.3% Repurchase Agreement with Mellon Trust, 0.40%, (Collateralized by $495 Federal Home Loan Mortgage Corporation, 3.50%, due 06/15/23, market value $471) acquired on 12/31/03, due 01/02/04 at $437 437 437 Total Short Term Investments (cost $2,293) 2,293 Total Investments - 111.2% (cost $20,514) 20,735 Other Assets and Liabilities, Net - (11.2%) -2,095 Total Net Assets - 100% 18,640 JNL/Salomon Brothers Global Bond Fund Common Stocks - 0.6% Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 - Food - 0.0% VFB LLC. (b) 79 9 Household Products - 0.0% ContinentalAFA Dispensing Co. (b) (e) 9 35 Media - 0.2% UnitedGlobalCom Inc. (b) 45 379 Telecommunications - 0.3% NTL Inc. (b) (f) 8 586 Wireless Telecommunications - 0.1% Spectrasite Inc. (b) 6 207 Total Common Stocks (cost $1,050) 1,216 Corporate Bonds - 37.2% Advertising - 0.3% Advanstar Communications Inc., 10.75%, 08/15/10 (e) 175 189 Interep National Radio Sales Inc., 10.00%, 07/01/08 100 89 RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 175 208 SITEL Corp., 9.25%, 03/15/06 150 147 Vertis Inc., 9.75%, 04/01/09 200 217 850 Aerospace & Defense - 0.2% Alliant Techsystems Inc., 8.50%, 05/15/11 125 137 L-3 Communications Corp., 7.625%, 06/15/12 200 217 Sequa Corp., 9.00%, 08/01/09 200 221 575 Agriculture - 0.1% Hines Nurseries Inc., 10.25%, 10/01/11 (e) 200 218 Airlines - 0.1% Continental Airlines Inc. 7.25%, 11/01/05 100 95 6.541%, 09/15/08 170 160 255 Apparel - 0.2% Levi Strauss & Co. 11.625%, 01/15/08 70 46 12.25%, 12/15/12 305 198 Tropical Sportswear International Corp., 11.00%, 06/15/08 100 81 325 Asset Backed Securities - 4.1% Amortizing Residential Collateral Trust, 2.62%, 08/25/32 (f) (g) 750 745 Asset Backed Securities Corp. Home Equity Loan, 3.21%, 04/15/33 (f) (g) 500 504 Bayview Financial Acquisition Trust, 2.67%, 08/25/36 (e) (f) (g) 1,000 979 Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 467 Commercial Mortgage Pass-thru, 2.17%, 11/15/15 (e) (f) (g)480 480 CS First Boston Mortgage Securities Corp., 2.26%, 09/25/31 (f) (g) 500 500 First Consumers Master Trust 5.80%, 12/15/05 (e) 91 88 1.49%, 09/15/08 (g) 326 310 Green Tree Financial Corp., 7.07%, 01/15/29 (f) 1,078 1,122 Merit Securities Corp., 2.88%, 09/28/32 (e) (f) (g) 600 532 Metris Master Trust 2.00%, 07/21/08 (g) 175 172 2.5487%, 08/20/08 (g) 200 196 2.18%, 11/20/09 (f) (g) 700 629 Mid-State Trust, 7.34%, 07/01/35 (f) 495 524 Residential Asset Securities Corp., 2.135%, 04/25/32 (f) (500 500 Sail Net 2003-13a, 6.75%, 11/27/33 (e) 194 193 Sail Net Interest Margin Notes, 7.75%, 04/27/33 (e) 124 124 8,065 Auto Parts & Equipment - 0.6% Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 - CSK Auto Inc., 12.00%, 06/15/06 275 316 Eagle-Picher Industries Inc., 9.75%, 09/01/13 (e) 200 216 Rexnord Corp., 10.125%, 12/15/12 175 191 Tenneco Automotive Inc. 11.625%, 10/15/09 125 135 10.25%, 07/15/13 100 114 TRW Automotive Inc., 9.375%, 02/15/13 200 228 1,200 Banks - 1.3% Bank of America Corp., 4.875%, 09/15/12 525 528 Capital One Financial Corp., 7.25%, 05/01/06 (f) 800 866 Corp Andina De Fomento CAF, 6.875%, 03/15/12 (f) 550 610 Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 525 634 2,638 Beverages - 0.1% Constellation Brands Inc., 8.125%, 01/15/12 175 192 Chemicals - 2.1% Acetex Corp., 10.875%, 08/01/09 250 277 Airgas Inc., 7.75%, 09/15/06 250 262 Applied Extrusion Technologies Inc., 10.75%, 07/01/11 100 83 Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 140 1 Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 05/01/11 200 221 FMC Corp. 7.00%, 05/15/08 150 153 10.25%, 11/01/09 150 176 Huntsman ICI Chemicals, 10.125%, 07/01/09 250 258 Huntsman International LLC, 9.875%, 03/01/09 100 110 ISP Chemco Inc., 10.25%, 07/01/11 250 281 Lyondell Chemical Co., 11.125%, 07/15/12 225 250 Methanex Corp., 8.75%, 08/15/12 175 195 Millennium America Inc., 9.25%, 06/15/08 125 136 Noveon Inc., 11.00%, 02/28/11 225 261 Potash Corp., 4.875%, 03/01/13 425 415 Resolution Performance Products Inc., 13.50%, 11/15/10 100 87 Resolution Performance Products LLC, 9.50%, 04/15/10 100 102 Rhodia SA, 7.625%, 06/01/10 (e) 225 216 United Industries Corp., 9.875%, 04/01/09 375 393 Westlake Chemical Corp., 8.75%, 07/15/11 (e) 200 219 4,096 Commercial Services - 0.4% Brand Services Inc., 12.00%, 10/15/12 100 116 Iron Mountain Inc., 6.625%, 01/01/16 300 292 Mail-Well I Corp., 9.625%, 03/15/12 75 83 Mail-Well Inc., 8.75%, 12/15/08 125 125 Pierce Leahy Command Co., 8.125%, 05/15/08 110 114 730 Computers - 0.2% Seagate Technology HDD Holdings, 8.00%, 05/15/09 125 135 Unisys Corp. 8.125%, 06/01/06 125 135 7.875%, 04/01/08 100 104 374 Cosmetics & Personal Care - 0.1% American Safety Razor Co., 9.875%, 08/01/05 125 125 Diversified Financial Services - 3.3% Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 247 5 Alamosa Delaware Inc., 11.00%, 07/31/10 211 229 Athena Neurosciences Finance LLC, 7.25%, 02/21/08 250 224 CIT Group Inc., 7.75%, 04/02/12 550 650 Contifinancial Corp. Liquidating Trust, 06/15/00 230 2 Ford Motor Credit Co. 7.875%, 06/15/10 375 419 7.25%, 10/25/11 75 81 General Electric Capital Corp., 3.50%, 05/01/08 700 701 General Motors Acceptance Corp., 6.875%, 09/15/11 425 458 Hollinger Participation Trust, 12.125%, 11/15/10 (e) 200 238 Household Finance Corp., 8.00%, 07/15/10 (f) 575 689 Huntsman ADV Materials, 11.00%, 07/15/10 (e) 200 221 International Lease Finance Corp., 6.375%, 03/15/09 325 358 Lehman Brothers Holdings Inc., 3.50%, 08/07/08 725 720 Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 (f) 525 586 Washington Mutual Financial Corp., 6.875%, 05/15/11 (f) 750 861 6,442 Electric - 2.4% AES Corp. 8.375%, 08/15/07 25 25 8.50%, 11/01/07 200 203 9.375%, 09/15/10 125 139 Allegheny Energy Supply Statutory Trust 2001, 10.25%, 11/15/07 (e) 175 182 Avon Energy Partners Holdings 7.05%, 12/11/07 (e) 175 167 6.46%, 03/04/08 (e) 350 333 BRL Universal Equipment, 8.875%, 02/15/08 75 80 Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 475 379 Calpine Corp. 8.75%, 07/15/07 150 123 7.875%, 04/01/08 50 39 8.50%, 07/15/10 (e) 125 122 Duke Energy Corp., 4.20%, 10/01/08 (f) 475 477 Edison Mission Energy Corp., 9.875%, 04/15/11 (f) 500 520 Entergy Gulf States Inc., 6.20%, 07/01/33 (e) (f) 500 475 Mirant Americas Generation Inc., 9.125%, 05/01/31 (i) 250 211 Nisource Finance Corp., 7.625%, 11/15/05 (f) 450 492 NRG Energy Inc., 8.00%, 12/15/13 (e) 200 210 Reliant Resources Inc. 9.25%, 07/15/10 (e) 150 159 9.50%, 07/15/13 (e) 350 375 4,711 Electronics - 0.2% Muzak Finance Corp., 9.875%, 03/15/09 125 121 Muzak LLC, 10.00%, 02/15/09 75 80 Sanmina-SCI Corp., 4.279%, 09/12/20 (j) 150 76 Wesco Distribution Inc., 9.125%, 06/01/08 200 207 484 Entertainment - 0.4% Horseshoe Gaming Holding Corp., 8.625%, 05/15/09 375 396 Pinnacle Entertainment Inc., 8.75%, 10/01/13 425 433 829 Environmental Control - 0.3% Allied Waste Inc., 9.25%, 09/01/12 100 113 Allied Waste North America 8.875%, 04/01/08 100 112 7.875%, 01/01/09 250 261 Imco Recycling Inc., 10.375%, 10/15/10 (e) 100 103 Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 1 590 Food - 1.4% Ahold Finance USA Inc. 8.25%, 07/15/10 225 245 6.875%, 05/01/29 25 22 Ahold Lease USA Inc., 7.82%, 01/02/20 47 48 Del Monte Corp. 9.25%, 05/15/11 100 111 8.625%, 12/15/12 75 82 Doane Pet Care Co., 9.75%, 05/15/07 225 201 Dole Food Co., Inc., 8.875%, 03/15/11 200 220 Fleming Cos. Inc., 10.125%, 04/01/08 (i) 50 11 Kellogg Co., 6.60%, 04/01/11 (f) 430 482 Kraft Foods Inc., 5.625%, 11/01/11 215 227 Nash Finch Co., 8.50%, 05/01/08 225 225 Nutritional Sourcing Corp., 10.125%, 08/01/09 14 9 Premier International Foods Plc, 12.00%, 09/01/09 150 164 Safeway Inc., 7.25%, 02/01/31 350 384 Swift & Co., 10.125%, 10/01/09 200 212 United Agri Products, 8.25%, 12/15/11 (e) 125 128 2,771 Forest Products & Paper - 0.9% Appleton Papers Inc., 12.50%, 12/15/08 200 226 Bowater Canada Finance, 7.95%, 11/15/11 150 159 Bowater Inc., 6.50%, 06/15/13 350 340 Buckeye Technologies Inc. 9.25%, 09/15/08 150 152 8.00%, 10/15/10 75 73 Domtar Inc., 5.375%, 12/01/13 (f) 500 495 Norske Skog Canada Ltd., 8.625%, 06/15/11 25 26 Tembec Industries Inc., 8.625%, 06/30/09 300 309 1,780 Healthcare - 1.1% Ameripath Inc., 10.50%, 04/01/13 225 240 Extendicare Health Services Inc., 9.50%, 07/01/10 200 222 Genesis HealthCare Corp., 8.00%, 10/15/13 (e) 125 130 IASIS Healthcare Corp., 13.00%, 10/15/09 300 338 Insight Health Services Corp., 9.875%, 11/01/11 150 159 Psychiatric Solutions Inc., 10.625%, 06/15/13 150 168 Sybron Dental Specialites Inc., 8.125%, 06/15/12 275 299 Tenet Healthcare Corp. 7.375%, 02/01/13 175 176 6.875%, 11/15/31 75 67 Triad Hospitals Inc., 8.75%, 05/01/09 100 108 Vanguard Health Systems Inc., 9.75%, 08/01/11 200 217 2,124 Holding Companies - Diversified - 0.0% Nebco Evans Holding Co., 12.375%, 07/15/07 (i) 350 - Home Furnishings - 0.3% Applica Inc., 10.00%, 07/31/08 64 64 Fedders North America Inc., 9.375%, 08/15/07 100 100 Holmes Products Corp., 9.875%, 11/15/07 150 155 Sealy Mattress Co. 9.875%, 12/15/07 200 207 10.875%, 12/15/07 125 130 656 Household Products - 0.1% Playtex Products Inc., 9.375%, 06/01/11 225 227 Leisure Time - 0.1% Icon Health & Fitness Corp., 11.25%, 04/01/12 100 109 Lodging - 1.8% Ameristar Casinos Inc., 10.75%, 02/15/09 200 230 Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 83 Coast Hotels & Casinos Inc., 9.50%, 04/01/09 375 397 Courtyard by Marriott, 10.75%, 02/01/08 200 201 Herbst Gaming Inc., 10.75%, 09/01/08 175 197 John Q Hammons Hotels LP, 8.875%, 05/15/12 200 220 MGM Mirage, 9.75%, 06/01/07 275 313 Park Place Entertainment Corp. 8.875%, 09/15/08 25 28 7.875%, 03/15/10 175 194 8.125%, 05/15/11 250 280 Prime Hospitality Corp., 8.375%, 05/01/12 225 232 Starwood Hotels & Resorts Worldwide Inc., 7.875%, 05/01/12 200 225 Station Casinos Inc. 8.875%, 12/01/08 275 285 9.875%, 07/01/10 25 28 Sun International Hotels Ltd., 8.875%, 08/15/11 175 191 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 175 190 Venetian Casino Resort LLC, 11.00%, 06/15/10 200 232 3,526 Machinery - 0.2% Case New Holland Inc., 9.25%, 08/01/11 (e) 25 28 Flowserve Corp., 12.25%, 08/15/10 125 145 Terex Corp., 10.375%, 04/01/11 175 196 369 Manufacturing - 0.3% Blount Inc., 13.00%, 08/01/09 225 243 Pacifica Papers Inc., 10.00%, 03/15/09 200 212 Park-Ohio Industries Inc., 9.25%, 12/01/07 125 124 579 Media - 3.2% AOL Time Warner Inc., 7.625%, 04/15/31 325 375 AT&T Broadband Corp., 8.375%, 03/15/13 350 428 Charter Communications Holdings LLC 8.25%, 04/01/07 125 117 8.625%, 04/01/09 50 44 10.75%, 10/01/09 50 46 (Step-Up Bond), 11.75%, 01/15/10 (d) 75 61 10.00%, 05/15/11 (f) 600 522 (Step-Up Bond), 11.75%, 05/15/11 (d) 225 151 (Step-Up Bond), 12.125%, 01/15/12 (d) 75 46 COX Communications Inc., 7.75%, 11/01/10 (f) 730 870 CSC Holdings Inc. 9.875%, 02/15/13 75 78 10.50%, 05/15/16 75 86 9.875%, 04/01/23 100 105 Dex Media Finance Co. 8.50%, 08/15/10 (e) 125 139 9.875%, 08/15/13 (e) 75 87 Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) (e) 200 141 DirecTV Holdings LLC, 8.375%, 03/15/13 200 232 EchoStar DBS Corp. 10.375%, 10/01/07 75 82 9.125%, 01/15/09 179 200 Houghton Mifflin Co., (Step-Up Bond), 11.50%, 10/15/13 (d) (e) 125 79 Lodgenet Entertainment Corp., 9.50%, 06/15/13 300 328 Mediacom Broadband LLC, 11.00%, 07/15/13 235 264 Mediacom Capital Corp., 9.50%, 01/15/13 25 27 Nexstar Finance Holdings LLC, (Step-Up Bond), 11.375%, 04/01/13 (d) 325 238 Nextmedia Operating Inc., 10.75%, 07/01/11 200 227 Radio One Inc., 8.875%, 07/01/11 175 193 Viacom Inc., 6.625%, 05/15/11 220 250 Vivendi Universal SA, 9.25%, 04/15/10 (e) 200 237 Yell Finance BV, 10.75%, 08/01/11 275 322 Young Broadcasting Inc., 10.00%, 03/01/11 275 296 6,271 Metal Fabrication & Hardware - 0.1% Wolverine Tube Inc., 7.375%, 08/01/08 (e) 225 208 Mining - 0.4% Compass Minerals Group Inc., 10.00%, 08/15/11 125 140 Luscar Coal Ltd., 9.75%, 10/15/11 200 226 WMC Finance USA, 5.125%, 05/15/13 425 419 785 Office Furnishings - 0.1% Interface Inc., 9.50%, 11/15/05 75 73 Tempur-Pedic Inc., 10.25%, 08/15/10 (e) 200 223 296 Oil & Gas Producers - 1.5% Devon Financing Corp. ULC, 6.875%, 09/30/11 325 368 Forest Oil Corp., 8.00%, 12/15/11 250 273 Magnum Hunter Resources Inc., 9.60%, 03/15/12 300 340 Nuevo Energy Co., 9.375%, 10/01/10 25 27 Parker Drilling Co., 5.50%, 08/01/04 (j) 125 125 Petronas Capital Ltd., 7.00%, 05/22/12 (e) 100 114 Plains Exploration & Production Co., 8.75%, 07/01/12 200 220 Pride International Inc., 9.375%, 05/01/07 94 97 Stone Energy Corp., 8.25%, 12/15/11 300 327 Swift Energy Co. 10.25%, 08/01/09 150 163 9.375%, 05/01/12 50 55 Valero Energy Corp., 4.75%, 06/15/13 435 412 Vintage Petroleum Inc. 9.75%, 06/30/09 200 211 7.875%, 05/15/11 100 106 Westport Resources Corp., 8.25%, 11/01/11 200 220 3,058 Oil & Gas Services - 0.1% Hanover Compressor Co., 9.00%, 03/31/07 (k) 175 129 Key Energy Services Inc., 14.00%, 01/15/09 86 92 221 Packaging & Containers - 0.8% Anchor Glass Container Corp., 11.00%, 02/15/13 175 203 Berry Plastics Corp., 10.75%, 07/15/12 (e) 200 230 Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 100 109 Plastipak Holdings Inc., 10.75%, 09/01/11 310 345 Pliant Corp., 11.125%, 09/01/09 100 108 Radnor Holdings Corp., 11.00%, 03/15/10 225 205 Stone Container Corp., 8.375%, 07/01/12 200 217 Tekni-Plex Inc., 8.75%, 11/15/13 (e) 225 235 1,652 Pharmaceuticals - 0.6% Aaipharma Inc., 11.00%, 04/01/10 175 199 Vicar Operating Inc., 9.875%, 12/01/09 175 194 Wyeth, 6.70%, 03/15/11 (f) 675 762 1,155 Pipelines - 1.1% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 200 225 7.125%, 05/15/18 100 86 7.625%, 10/15/26 450 389 EL Paso Corp. 7.875%, 06/15/12 100 94 7.80%, 08/01/31 75 64 7.75%, 01/15/32 375 320 Western Gas Resources Inc., 10.00%, 06/15/09 200 215 Williams Cos. Inc. 8.625%, 06/01/10 100 112 7.125%, 09/01/11 50 53 7.625%, 07/15/19 75 78 7.875%, 09/01/21 100 106 8.75%, 03/15/32 325 367 2,109 Real Estate - 1.0% Boston Properties Inc., 6.25%, 01/15/13 (f) 450 483 EOP Operating LP, 7.50%, 04/19/29 (f) 575 643 Felcor Lodging LP 10.00%, 09/15/08 100 108 9.00%, 06/01/11 125 136 Host Marriott Corp., 7.875%, 08/01/08 300 312 Host Marriott LP, 9.50%, 01/15/07 75 83 MeriStar Hospitality Corp., 9.125%, 01/15/11 50 53 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 100 109 1,927 Retail - 1.5% Cole National Group Inc. 8.625%, 08/15/07 100 102 8.875%, 05/15/12 200 214 Eye Care Centers of America, 9.125%, 05/01/08 225 225 Finlay Fine Jewelry Corp., 8.375%, 05/01/08 350 362 Gap Inc., 8.80%, 12/15/08 (g) 140 173 Home Interiors & Gifts Inc., 10.125%, 06/01/08 300 303 Jafra Cosmetics International Inc., 10.75%, 05/15/11 200 219 Limited Brands, 6.95%, 03/01/33 (f) 475 517 Petco Animal Supplies Inc., 10.75%, 11/01/11 150 175 Petro Stopping Centers Holdings LP , 10.50%, 02/01/07 50 51 Rite Aid Corp. 7.125%, 01/15/07 25 26 11.25%, 07/01/08 125 139 Saks Inc. 7.50%, 12/01/10 100 109 9.875%, 10/01/11 75 89 Sbarro Inc., 11.00%, 09/15/09 300 237 2,941 Savings & Loans - 0.2% Independence Community Bank, 3.50%, 06/20/13 475 458 Sovereign - 0.5% Republic of Brazil, 12.00%, 04/15/10 (f) 810 972 Telecommunications - 1.7% ACC Escrow Corp., 10.00%, 08/01/11 (e) 200 223 AT&T Corp., 8.00%, 11/15/31 (g) 275 321 CIncinnati Bell Inc., 8.375%, 01/15/14 (e) 225 242 Insight Midwest Capital Inc., 10.50%, 11/01/10 200 218 Qwest Corp. 8.875%, 03/15/12 (e) 300 344 8.875%, 06/01/31 25 26 Qwest Services Corp. 13.50%, 12/15/10 (e) 225 273 14.00%, 12/15/14 (e) 275 350 Sprint Capital Corp. 8.375%, 03/15/12 750 876 8.75%, 03/15/32 275 325 Telewest Communications Plc, (Step-Up Bond), 11.375%, 02/01/10 (d) (i) 380 186 3,384 Telecommunications Equipment - 0.2% Lucent Technologies Inc., 6.45%, 03/15/29 450 354 Tobacco - 0.1% North Atlantic Trading Co., 11.00%, 06/15/04 125 119 Transportation - 0.1% General Maritime Corp., 10.00%, 03/15/13 100 113 Holt Group, 9.75%, 01/15/06 (i) 200 6 119 Water - 0.3% United Utilities Plc, 4.55%, 06/19/18 (f) 700 624 Wireless Telecommunications - 1.6% American Tower Corp. 9.375%, 02/01/09 200 213 5.00%, 02/15/10 (j) 100 95 American Tower Escrow Corp., 8.619%, 08/01/08 145 100 AT&T Wireless Services Inc., 8.75%, 03/01/31 325 401 Centennial Cellular Operating Co., 10.125%, 06/15/13 200 219 Crown Castle International Corp. 9.375%, 08/01/11 15 17 10.75%, 08/01/11 325 366 7.50%, 12/01/13 (e) 75 75 Dobson Communications Corp., 10.875%, 07/01/10 175 191 Nextel Communications Inc. 9.375%, 11/15/09 140 153 7.375%, 08/01/15 (f) 550 591 SBA Communications Corp., 10.25%, 02/01/09 275 270 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) (e) 250 176 Spectrasite Inc., 8.25%, 05/15/10 100 107 Western Wireless Corp., 9.25%, 07/15/13 200 211 3,185 Total Corporate Bonds (cost $71,366) 73,706 Preferred Stocks - 0.4% Holding Companies - Diversified - 0.0% TCR Holdings - Class B - - TCR Holdings - Class C - - TCR Holdings - Class D 1 - TCR Holdings - Class E 1 - - Media - 0.3% Cablevision Systems Corp., 11.125% (f) 5 478 Cablevision Systems Corp., 11.75% 2 182 660 Wireless Telecommunications - 0.1% Alamosa Holdings Inc., 0.00% - 110 Total Preferred Stocks (cost $725) 770 Government Securities - 56.0% Asset Backed Securities - 0.3% First Union National Bank Commercial Mortgage - Interest Only, 0.5361%, 05/17/32 12,033 393 Sovereign - 19.6% Federal Republic of Brazil 12.00%, 04/15/10 (f) 810 972 9.25%, 10/22/10 170 183 8.00%, 04/15/14 (f) 1,114 1,092 12.25%, 03/06/30 (f) 1,025 1,276 11.00%, 08/17/40 100 110 French Treasury Note, 3.50%, 01/12/08 EUR (f) 3,900 4,948 Kingdom of Morocco, 6.8438%, 01/01/09 (f) 530 522 Malaysia, 7.50%, 07/15/2011, 7.50%, 07/15/11 325 384 Peru Government International Bond, 9.875%, 02/06/15 165 191 Republic of Argentina, 2.0625%, 03/31/23 (g) (i) 750 377 Republic of Brazil, 2.1875%, 04/15/12 (f) 2,270 2,037 Republic of Bulgaria, 8.25%, 01/15/15 550 649 Republic of Colombia 10.00%, 01/23/12 425 465 10.75%, 01/15/13 175 199 11.75%, 02/25/20 235 283 8.375%, 02/15/27 100 92 10.375%, 01/28/33 150 161 Republic of Ecuador, 6.00%, 08/15/30 (f) (h) 1,150 886 Republic of Germany 4.25%, 02/15/08 EUR (f) 3,000 3,908 4.75%, 07/04/08 EUR (f) 3,900 5,196 Republic of Panama 9.625%, 02/08/11 100 116 2.25%, 07/17/16 (g) 286 248 9.375%, 01/16/23 350 382 Republic of Peru, 4.00%, 03/07/17 400 356 Republic of Philippines 8.375%, 03/12/09 (f) 800 843 9.00%, 02/15/13 300 316 Republic of Turkey 11.50%, 01/23/12 (f) 700 891 11.00%, 01/14/13 (f) 550 689 Republic of Venezuela 2.0625%, 03/31/07 (g) 500 475 2.125%, 12/18/07 (g) 190 180 9.25%, 09/15/27 100 91 Russian Federation 8.25%, 03/31/10 (f) 1,730 1,933 11.00%, 07/24/18 175 236 5.00%, 03/31/30 (f) (h) 2,945 2,824 United Mexican States 8.375%, 01/14/11 (f) 1,550 1,841 6.375%, 01/16/13 200 208 8.30%, 08/15/31 (f) 2,700 3,044 7.50%, 04/08/33 250 259 38,863 U.S. Government Agencies - 30.2% Federal Home Loan Mortgage Corp. 5.00%, TBA (c) 7,500 7,407 6.50%, TBA (c) 2,000 2,090 10.00%, 05/15/20 4 4 Interest Only, 1156.50%, 06/15/21 - - Federal National Mortgage Association 5.00%, TBA (c) 11,000 10,891 5.50%, TBA (c) 18,500 18,750 6.00%, TBA (c) 8,000 8,260 6.50%, TBA (c) 2,000 2,087 7.00%, TBA (c) 7,500 7,918 7.3903%, 01/17/13 (f) (g) 987 1,046 10.40%, 04/25/19 9 10 6.50%, 02/01/26 32 34 7.50%, 08/01/29 40 43 8.00%, 08/01/29 5 5 7.50%, 09/01/29 99 106 7.50%, 03/01/30 21 23 8.00%, 04/01/30 30 32 7.50%, 07/01/30 49 52 8.00%, 07/01/30 4 4 7.50%, 05/01/30 25 27 7.50%, 06/01/30 42 44 7.50%, 08/01/30 17 18 8.00%, 08/01/30 24 26 7.50%, 09/01/30 11 11 8.00%, 10/01/30 277 299 7.50%, 11/01/30 21 22 7.50%, 12/01/30 20 21 7.50%, 01/01/31 59 63 8.00%, 01/01/31 118 127 7.50%, 02/01/31 180 192 8.00%, 02/01/31 9 10 7.50%, 03/01/31 123 131 59,753 U.S. Treasury Securities - 5.9% U.S. Treasury Bond 6.125%, 11/15/27 100 113 5.50%, 08/15/28 70 73 5.25%, 11/15/28 1,500 1,511 5.25%, 02/15/29 500 504 6.125%, 08/15/29 1,500 1,700 5.375%, 02/15/31 750 782 U.S. Treasury Note 3.25%, 05/31/04 5,000 5,046 4.25%, 08/15/13 2,000 2,003 11,732 Total Government Securities (cost $105,695) 110,741 Municipals - 0.4% Region of Lombardy, 5.804%, 10/25/32 (f) 750 768 Total Municipals (cost $750) 768 Rights - 0.0% Sovereign - 0.0% Venezuela Par Rights, 04/15/20 4 - Total Rights (cost $ - ) - Warrants - 0.0% Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 - - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 18 Total Warrants (cost $9) 18 Short Term Investments - 33.3% Commercial Paper - 25.7% Amsterdam Funding Corp., 1.09%, 01/13/04 5,367 5,365 Bryant Park Funding, 1.10%, 01/13/04 3,575 3,574 Clipper Receivables, 1.08%, 01/14/04 (f) 3,575 3,574 DaimlerChrysler NA Holdings Inc., 1.35%, 01/14/04 (f) 1,775 1,774 Edison Asset Security Corp., 1.08%, 01/14/04 (f) 3,575 3,574 Falcon Asset Securities Corp., 1.08%, 01/13/04 3,575 3,574 Four Winds Funding Corp., 1.22%, 01/14/04 (f) 1,775 1,774 General Motors Corp., 1.37%, 01/14/04 (f) 1,775 1,774 Jupiter Securites Corp., 1.09%, 01/13/04 5,350 5,348 Polonius Inc., 1.10%, 01/12/04 3,000 2,999 Scaldis Capital LLC, 1.09%, 01/12/04 1,400 1,399 Tasman Funding Inc., 1.11%, 01/13/04 5,350 5,348 Three Pillars Funding, 1.09%, 01/14/04 (f) 3,575 3,574 Variable Funding Capital Corp., 1.08%, 01/14/04 (f) 3,575 3,574 Victory Receivables Corp., 1.11%, 01/13/04 3,575 3,574 50,799 Money Market Funds - 0.3% Dreyfus Cash Management Plus, 0.898% (a) 588 588 Repurchase Agreement - 7.3% Repurchase Agreement with State Street Bank, 0.80%, (Collateralized by $12,705 U.S. Treasury Bond, 6.25%, due 08/15/23, market value $14,785) acquired on 12/31/03, due 01/02/04 at $14,495 14,495 14,495 Total Short Term Investments (cost $65,882) 65,882 Total Investments - 127.9% (cost $245,477) 253,101 Other Assets and Liabilities, Net - (27.9%) -55,178 Total Net Assets - 100% 197,923 JNL/Salomon Brothers High Yield Bond Fund Common Stocks - 4.6% Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 - Food - 0.1% VFB LLC. (b) 79 9 Home Furnishings - 0.0% Mattress Disounter Restricted (b) 1 4 Household Products - 0.1% ContinentalAFA Dispensing Co. (b) (e) 4 17 Media - 1.7% UnitedGlobalCom Inc. (b) 40 340 Telecommunications - 1.9% NTL Inc. (b) 5 366 Wireless Telecommunications - 0.8% Spectrasite Inc. (b) 4 153 Total Common Stocks (cost $941) 889 Corporate Bonds - 91.7% Advertising - 1.3% RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 75 89 SITEL Corp., 9.25%, 03/15/06 150 147 236 Aerospace & Defense - 1.6% L-3 Communications Corp., 7.625%, 06/15/12 150 163 Sequa Corp., 9.00%, 08/01/09 125 138 Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 - 301 Airlines - 0.4% Continental Airlines Inc. 7.25%, 11/01/05 25 24 6.541%, 09/15/08 66 61 85 Apparel - 0.5% Levi Strauss & Co., 11.625%, 01/15/08 155 101 Auto Manufacturers - 0.6% General Motors Corp., 7.125%, 07/15/13 100 110 Auto Parts & Equipment - 2.3% Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 - CSK Auto Inc., 12.00%, 06/15/06 150 172 Keystone Automotive Operations Inc., 9.75%, 11/01/13 (e) 50 54 Rexnord Corp., 10.125%, 12/15/12 100 110 Tenneco Automotive Inc., 11.625%, 10/15/09 50 54 TRW Automotive Inc., 9.375%, 02/15/13 50 57 447 Chemicals - 9.1% Acetex Corp., 10.875%, 08/01/09 150 166 Airgas Inc., 9.125%, 10/01/11 125 140 Applied Extrusion Technologies Inc., 10.75%, 07/01/11 150 124 Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 85 1 Equistar Chemicals LP/Equistar Funding Corp., 10.625%, 05/01/11 100 111 FMC Corp., 7.75%, 07/01/11 100 104 Huntsman ICI Chemicals, 10.125%, 07/01/09 75 77 ISP Chemco Inc., 10.25%, 07/01/11 125 141 Lyondell Chemical Co., 11.125%, 07/15/12 100 111 Millennium America Inc., 9.25%, 06/15/08 140 153 Noveon Inc., 11.00%, 02/28/11 125 145 OM Group Inc., 9.25%, 12/15/11 50 52 Resolution Performance Products LLC/RPP Capital Co., 8.00%, 12/15/09 (e) 100 104 Rhodia SA, 7.625%, 06/01/10 (e) 100 96 United Industries Corp., 9.875%, 04/01/09 150 157 Westlake Chemical Corp., 8.75%, 07/15/11 (e) 75 82 1,764 Commercial Services - 1.6% Brand Services Inc., 12.00%, 10/15/12 75 87 Comforce Operating Inc., 12.00%, 12/01/07 100 65 Iron Mountain Inc., 8.625%, 04/01/13 25 27 Mail-Well I Corp., 9.625%, 03/15/12 50 55 Mail-Well Inc., 8.75%, 12/15/08 50 50 Pierce Leahy Command Co., 8.125%, 05/15/08 32 33 317 Computers - 1.8% Seagate Technology HDD Holdings, 8.00%, 05/15/09 200 216 Unisys Corp., 8.125%, 06/01/06 125 135 351 Diversified Financial Services - 0.8% Airplanes Pass-Through Trust, 10.875%, 03/15/12 (i) 123 2 Alamosa Delaware Inc., (Step-Up Bond), 12.00, 07/31/09 (d)102 92 Contifinancial Corp. Liquidating Trust, 06/15/00 115 1 General Motors Acceptance Corp., 6.875%, 08/28/12 50 54 149 Electric - 8.6% AES Corp. 8.50%, 11/01/07 50 51 8.75%, 06/15/08 50 54 Allegheny Energy Supply Statutory Trust 2001, 10.25%, 11/15/07 (e) 75 78 Avon Energy Partners Holdings 7.05%, 12/11/07 (e) 75 71 6.46%, 03/04/08 (e) 200 190 BRL Universal Equipment, 8.875%, 02/15/08 150 161 Calpine Canada Energy Finance ULC, 8.50%, 05/01/08 200 159 Calpine Corp. 8.75%, 07/15/07 100 82 8.50%, 07/15/10 (e) 100 97 Edison Mission Energy Corp. 7.73%, 06/15/09 125 119 9.875%, 04/15/11 100 104 Mirant Americas Generation Inc. 7.625%, 05/01/06 (i) 50 42 9.125%, 05/01/31 (i) 100 85 NRG Energy Inc., 8.00%, 12/15/13 (e) 75 79 Reliant Resources Inc. 9.25%, 07/15/10 (e) 125 133 9.50%, 07/15/13 (e) 150 161 1,666 Electrical Components & Equipment - 0.4% Motors And Gears Inc., 10.75%, 11/15/06 100 85 Electronics - 0.7% Muzak LLC, 10.00%, 02/15/09 50 53 Wesco Distribution Inc., 9.125%, 06/01/08 75 78 131 Entertainment - 0.9% Argosy Gaming Co., 10.75%, 06/01/09 100 108 Pinnacle Entertainment Inc., 8.75%, 10/01/13 75 76 184 Environmental Control - 1.6% Allied Waste Inc., 9.25%, 09/01/12 100 114 Allied Waste North America, 7.875%, 01/01/09 100 104 Imco Recycling Inc., 10.375%, 10/15/10 (e) 100 103 Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 - 321 Food - 1.4% Ahold Lease USA Inc., 7.82%, 01/02/20 71 72 Fleming Cos. Inc., 10.125%, 04/01/08 (i) 50 11 Nash Finch Co., 8.50%, 05/01/08 100 100 Premier International Foods Plc, 12.00%, 09/01/09 75 82 265 Forest Products & Paper - 3.1% Abitibi-Consolidated Inc., 8.85%, 08/01/30 100 108 Appleton Papers Inc., 12.50%, 12/15/08 75 85 Bowater Canada Finance, 7.95%, 11/15/11 200 212 Buckeye Technologies Inc. 9.25%, 09/15/08 75 76 8.00%, 10/15/10 25 25 Tembec Industries Inc., 8.625%, 06/30/09 100 103 609 Healthcare - 3.7% Extendicare Health Services Inc., 9.50%, 07/01/10 100 111 IASIS Healthcare Corp., 13.00%, 10/15/09 125 141 Insight Health Services Corp., 9.875%, 11/01/11 75 79 Psychiatric Solutions Inc., 10.625%, 06/15/13 75 84 Sola International Inc., 6.875%, 03/15/08 75 76 Tenet Healthcare Corp., 7.375%, 02/01/13 100 100 Vanguard Health Systems Inc., 9.75%, 08/01/11 125 136 727 Home Furnishings - 1.0% Applica Inc., 10.00%, 07/31/08 21 21 Fedders North America Inc., 9.375%, 08/15/07 75 75 Sealy Mattress Co., 10.875%, 12/15/07 100 104 200 Household Products - 0.5% Playtex Products Inc., 9.375%, 06/01/11 100 101 Leisure Time - 1.0% Equinox Holdings Inc., 9.00%, 12/15/09 (e) 100 103 Icon Health & Fitness Corp., 11.25%, 04/01/12 75 82 185 Lodging - 5.4% Ameristar Casinos Inc., 10.75%, 02/15/09 100 115 Coast Hotels & Casinos Inc., 9.50%, 04/01/09 150 158 John Q Hammons Hotels LP, 8.875%, 05/15/12 100 110 MGM Mirage, 8.375%, 02/01/11 50 57 Park Place Entertainment Corp., 8.875%, 09/15/08 150 170 Prime Hospitality Corp., 8.375%, 05/01/12 50 52 Station Casinos Inc., 9.875%, 07/01/10 150 165 Sun International Hotels Ltd., 8.875%, 08/15/11 100 109 Venetian Casino Resort LLC, 11.00%, 06/15/10 100 116 1,052 Machinery - 1.3% Case New Holland Inc., 9.25%, 08/01/11 (e) 75 84 Flowserve Corp., 12.25%, 08/15/10 75 87 NMHG Holding Co., 10.00%, 05/15/09 75 83 254 Manufacturing - 1.1% Blount Inc., 13.00%, 08/01/09 100 108 Pacifica Papers Inc., 10.00%, 03/15/09 100 106 214 Media - 8.1% Charter Communications Holdings LLC 10.75%, 10/01/09 75 69 10.00%, 05/15/11 350 305 CSC Holdings Inc. 10.50%, 05/15/16 125 143 9.875%, 04/01/23 75 78 Dex Media East LLC, 9.875%, 11/15/09 50 57 DirecTV Holdings LLC, 8.375%, 03/15/13 100 116 EchoStar DBS Corp. 10.375%, 10/01/07 100 110 9.125%, 01/15/09 114 128 Mediacom Broadband LLC, 11.00%, 07/15/13 100 112 Nextmedia Operating Inc., 10.75%, 07/01/11 125 142 Radio One Inc., 8.875%, 07/01/11 75 83 Rogers Cable Inc., 8.75%, 05/01/32 25 28 Vivendi Universal SA, 9.25%, 04/15/10 (e) 50 59 Yell Finance BV 10.75%, 08/01/11 100 117 (Step-Up Bond), 13.50%, 08/01/11 (d) 33 30 1,577 Metal Fabrication & Hardware - 0.5% Wolverine Tube Inc., 7.375%, 08/01/08 (e) 100 93 Mining - 0.4% Compass Minerals Group Inc., 10.00%, 08/15/11 75 84 Office Furnishings - 0.1% Interface Inc., 9.50%, 11/15/05 25 24 Oil & Gas Producers - 2.3% Magnum Hunter Resources Inc., 9.60%, 03/15/12 125 142 Nuevo Energy Co., 9.375%, 10/01/10 25 27 Pride International Inc., 9.375%, 05/01/07 54 56 Swift Energy Co., 10.25%, 08/01/09 100 108 Vintage Petroleum Inc., 9.75%, 06/30/09 25 26 Westport Resources Corp., 8.25%, 11/01/11 75 83 442 Packaging & Containers - 3.9% Anchor Glass Container Corp., 11.00%, 02/15/13 125 145 Berry Plastics Corp., 10.75%, 07/15/12 125 144 Plastipak Holdings Inc., 10.75%, 09/01/11 150 167 Pliant Corp., 11.125%, 09/01/09 75 81 Radnor Holdings Corp., 11.00%, 03/15/10 100 91 Stone Container Corp., 9.75%, 02/01/11 125 138 766 Pharmaceuticals - 1.6% Aaipharma Inc., 11.00%, 04/01/10 125 142 Vicar Operating Inc., 9.875%, 12/01/09 150 166 308 Pipelines - 4.7% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 100 113 7.125%, 05/15/18 25 22 7.625%, 10/15/26 125 108 El Paso Corp., 7.75%, 01/15/32 250 213 Western Gas Resources Inc., 10.00%, 06/15/09 150 161 Williams Cos. Inc. 8.625%, 06/01/10 25 28 7.625%, 07/15/19 50 52 7.875%, 09/01/21 200 211 908 Real Estate - 1.1% Felcor Lodging LP 10.00%, 09/15/08 25 27 9.00%, 06/01/11 75 81 Host Marriott Corp., 7.875%, 08/01/08 25 26 Host Marriott LP, 8.375%, 02/15/06 50 53 Meristar Hospitality Corp., 9.125%, 01/15/11 25 27 214 Retail - 5.6% Buffets Inc., 11.25%, 07/15/10 75 80 Cole National Group Inc., 8.625%, 08/15/07 75 77 Eye Care Centers of America, 9.125%, 05/01/08 75 75 Finlay Fine Jewelry Corp., 8.375%, 05/01/08 150 155 Gap Inc., 6.90%, 09/15/07 40 44 Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 177 Jafra Cosmetics International Inc., 10.75%, 05/15/11 100 110 Leslie's Poolmart Inc., 10.375%, 07/15/08 125 125 Rite Aid Corp., 11.25%, 07/01/08 125 139 Saks Inc. 9.875%, 10/01/11 25 30 7.375%, 02/15/19 75 76 1,088 Telecommunications - 6.5% ACC Escrow Corp., 10.00%, 08/01/11 (e) 100 112 CIncinnati Bell Inc., 8.375%, 01/15/14 (e) 100 108 Insight Midwest Capital Inc., 9.75%, 10/01/09 75 79 Insight Midwest Capital Inc., 10.50%, 11/01/10 25 27 Pegasus Satellite Communications Inc., (Step-Up Bond), 13.50%, 03/01/07 (d) 150 127 Qwest Corp., 8.875%, 03/15/12 (e) 75 86 Qwest Services Corp. 13.50%, 12/15/10 (e) 225 273 14.00%, 12/15/14 (e) 125 159 Sprint Capital Corp., 8.75%, 03/15/32 125 148 Telewest Communications Plc (Step-Up Bond), 9.25%, 04/15/09 (d) (i) 125 65 (Step-Up Bond), 11.375%, 02/01/10 (d) (i) 180 88 1,272 Telecommunications Equipment - 0.5% Lucent Technologies Inc., 6.45%, 03/15/29 125 98 Tobacco - 0.6% North Atlantic Trading Co., 11.00%, 06/15/04 125 119 Transportation - 0.0% Holt Group, 9.75%, 01/15/06 (i) 125 4 Wireless Telecommunications - 5.1% American Tower Corp., 9.375%, 02/01/09 175 187 American Tower Escrow Corp., 8.619%, 08/01/08 35 24 Crown Castle International Corp., 9.375%, 08/01/11 175 194 Nextel Communications Inc., 7.375%, 08/01/15 225 242 SBA Communications Corp., 10.25%, 02/01/09 150 147 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) (e) 50 35 Spectrasite Inc., 8.25%, 05/15/10 50 53 Western Wireless Corp., 9.25%, 07/15/13 100 106 988 Total Corporate Bonds (cost $17,391) 17,840 Preferred Stocks - 1.0% Media - 0.8% Cablevision Systems Corp., 11.125% 1 53 Cablevision Systems Corp., 11.75% 1 96 149 Wireless Telecommunications - 0.2% Alamosa Holdings Inc., 0.00% - 43 Total Preferred Stocks (cost $177) 192 Warrants - 0.0% Retail - 0.0% Mattress Discounters Corp., Strike Price $0.01, Expiring 07/15/07 - - Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 1 - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 4 Total Warrants (cost $2) 4 Short Term Investments - 0.8% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 7 7 Repurchase Agreement - 0.8% Repurchase Agreement with State Street Bank, 0.80%, (Collateralized by $115 U.S. Treasury Bond, 8.50%, due 02/15/20, market value $164) acquired on 12/31/03, due 01/02/04 at $159 159 159 Total Short Term Investments (cost $166) 166 Total Investments - 98.1% (cost $18,677) 19,091 Other Assets and Liabilities, Net - 1.9% 373 Total Net Assets - 100% 19,464 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Corporate Bonds - 5.9% Asset Backed Securities - 5.9% Commercial Mortgage Acceptance Corp., 5.45%, 07/16/34 (e) (f) 6,161 6,356 Commodore CDO I Ltd., 1.70%, 02/24/34 (e) (f) (g) 2,500 2,462 Green Tree Financial Corp., 7.07%, 01/15/29 (f) 1,011 1,052 Metris Master Trust, 1.41%, 08/20/08 (f) (g) 1,000 978 Wings Ltd., 1.79%, 11/15/35 (e) (f) (g) 4,412 4,324 Total Corporate Bonds (cost $15,122) 15,172 Government Securities - 91.7% U.S. Government Agencies - 56.9% Federal Home Loan Mortgage Corp. 4.50%, TBA (c) 5,000 5,005 5.00%, TBA (c) 12,000 11,851 6.00%, TBA (c) 10,000 10,322 5.80%, 09/02/08 (f) 3,500 3,854 6.00%, 09/01/10 (f) - - 7.00%, 07/01/11 (f) 9 10 6.50%, 08/01/13 (f) 69 74 8.25%, 04/01/17 (f) 5 6 8.00%, 07/01/20 (f) 144 156 6.00%, 11/01/28 (f) 1,150 1,191 7.00%, 04/01/29 (f) 521 552 8.00%, 09/01/31 (f) 1,907 2,056 7.00%, 10/01/31 (f) 24 25 7.00%, 11/01/31 (f) 46 49 7.00%, 02/01/32 (f) 485 513 7.00%, 03/01/32 (f) 496 525 7.00%, 04/01/32 (f) 499 529 4.50%, 04/15/32 (f) 2,026 2,001 7.00%, 06/01/32 (f) 67 71 7.00%, 08/01/32 (f) 25 26 Federal National Mortgage Association 5.00%, TBA (c) 5,000 4,950 5.50%, TBA (c) 42,000 42,730 6.00%, TBA (c) 20,000 20,650 6.50%, TBA (c) 22,000 22,957 7.39%, 01/17/13 (f) (g) 1,480 1,569 12.50%, 09/20/15 (f) 4 4 12.00%, 01/01/16 (f) 125 143 12.00%, 01/15/16 (f) 3 4 12.50%, 01/15/16 (f) 53 61 11.50%, 09/01/19 (f) 1 1 10.50%, 08/01/20 (f) 12 13 6.50%, 03/01/26 (f) 28 29 7.00%, 05/01/26 (f) 27 29 7.00%, 11/01/28 (f) 45 48 7.00%, 12/01/28 (f) 33 35 7.25%, 12/28/28 (f) (g) 167 186 7.00%, 03/01/29 (f) 93 98 8.00%, 07/01/29 (f) 4 4 8.00%, 11/01/29 (f) 64 69 8.00%, 12/01/29 (f) 108 116 7.00%, 01/01/30 (f) 166 175 8.00%, 01/01/30 (f) 137 148 8.00%, 02/01/30 (f) 23 25 8.00%, 05/01/30 (f) 10 10 6.53%, 05/25/30 (f) 2,250 2,450 8.00%, 09/01/30 (f) 17 19 8.00%, 10/01/30 (f) 117 126 8.00%, 11/01/30 (f) 6 6 8.00%, 01/01/31 (f) 238 257 7.50%, 02/01/31 (f) 341 365 8.00%, 02/01/31 (f) 164 177 8.00%, 03/01/31 (f) 125 136 8.00%, 04/01/31 (f) 18 19 6.00%, 01/01/33 (f) 5,554 5,743 Freddie Mac - Interest Only, 5.50%, 01/15/23 (f) 11,000 1,215 Government National Mortgage Association, 13.50%, 07/15/10 (f) 114 132 Government National Mortgage Association II, 6.50%, 11/20/32 (f) 2,708 2,849 146,364 U.S. Treasury Securities - 34.8% U.S. Treasury Bond 6.625%, 02/15/27 (f) 2,350 2,807 6.375%, 08/15/27 (f) 1,000 1,161 5.25%, 02/15/29 (f) 2,000 2,018 6.125%, 08/15/29 (f) 1,250 1,417 5.375%, 02/15/31 17,000 17,728 U.S. Treasury Note 5.25%, 05/15/04 8,500 8,632 5.875%, 11/15/04 5,000 5,200 6.75%, 05/15/05 12,000 12,864 5.75%, 11/15/05 18,500 19,863 3.375%, 11/15/08 7,300 7,358 4.875%, 02/15/12 10,000 10,591 89,639 Total Government Securities (cost $230,942) 236,003 Short Term Investments - 47.8% Commercial Paper - 24.6% Amsterdam Funding Corp., 1.09%, 01/13/04 3,970 3,969 Bryant Park Funding, 1.10%, 01/13/04 7,000 6,997 Clipper Receivables, 1.08%, 01/14/04 7,500 7,497 DaimlerChrysler NA Holdings Inc., 1.3518%, 01/14/04 3,750 3,748 Four Winds Funding Corp., 1.22%, 01/14/04 3,750 3,748 General Motors Corp., 1.37%, 01/14/04 3,750 3,748 Jupiter Securities, 1.09%, 01/13/04 11,250 11,246 Tasman Funding Inc., 1.11%, 01/13/04 8,074 8,071 Variable Funding Capital Corp., 1.08%, 01/14/04 7,500 7,497 Victory Receivables Corp., 1.11%, 01/13/04 6,848 6,846 63,367 Money Market Funds - 0.0% Dreyfus Cash Management Plus, 0.898% (a) 1 1 Repurchase Agreement - 11.5% Repurchase Agreement with UBS Warburg Securities, 0.83%, (Collateralized by $21,098 U.S. Treasury Bond, 8.50%, due 02/15/20, market value $30,090) acquired on 12/31/03, due 01/02/04 at $29,500 29,500 29,500 U.S. Government Agencies - 11.7% Federal Farm Credit Bank Discount Note, 0.9705%, 01/05/04 15,000 14,998 Federal Home Loan Mortgage Corp. Discount Note, 1.0157%, 01/14/04 15,000 14,995 29,993 Total Short Term Investments (cost $122,861) 122,861 Total Investments - 145.4% (cost $368,925) 374,036 Other Assets and Liabilities, Net - (45.4%) -116,762 Total Net Assets - 100% 257,274 JNL/T. Rowe Price Established Growth Fund Common Stocks - 96.6% Advertising - 0.4% Omnicom Group Inc. 18 1,563 Apparel - 0.5% Hermes International 13 2,573 Banks - 4.9% Credit Suisse Group 102 3,714 Mellon Financial Corp. 137 4,386 Northern Trust Corp. 82 3,783 State Street Corp. 120 6,255 US Bancorp. 164 4,896 23,034 Beverages - 1.3% Coca-Cola Co. 90 4,557 PepsiCo Inc. 37 1,734 6,291 Biotechnology - 2.0% Amgen Inc. (b) 101 6,261 Genentech Inc. (b) 16 1,525 Medimmune Inc. (b) 66 1,666 9,452 Commercial Services - 3.3% Accenture Ltd. (b) 131 3,458 Adecco SA 49 3,137 Apollo Group Inc. (b) 73 4,930 Cendant Corp. (b) 181 4,022 15,547 Computers - 3.6% Affiliated Computer Services Inc. - Class A (b) 122 6,644 Dell Inc. (b) 191 6,500 SunGard Data Systems Inc. (b) 72 2,001 Synopsys Inc. (b) 56 1,890 17,035 Cosmetics & Personal Care - 0.4% Gillette Co. 51 1,888 Diversified Financial Services - 9.9% American Express Co. 52 2,484 Charles Schwab Corp. 144 1,710 Citigroup Inc. 358 17,379 Fannie Mae 87 6,523 Freddie Mac 38 2,199 Goldman Sachs Group Inc. 18 1,777 MBNA Corp. 66 1,630 Merrill Lynch & Co. Inc. 99 5,830 Morgan Stanley 56 3,223 SLM Corp. 115 4,326 47,081 Electrical Components & Equipment - 0.6% Samsung Electronics Co. Ltd. 8 2,915 Entertainment - 1.0% International Game Technology 133 4,762 Food - 2.1% Compass Group Plc 497 3,383 General Mills Inc. 33 1,513 Sysco Corp. 92 3,425 Unilever Plc 190 1,773 10,094 Healthcare - 6.6% Biomet Inc. 56 2,043 Boston Scientific Corp. (b) 29 1,066 Johnson & Johnson 86 4,453 Medtronic Inc. 50 2,445 UnitedHealth Group Inc. 252 14,684 WellPoint Health Networks Inc. (b) 67 6,479 31,170 Insurance - 5.4% ACE Ltd. 82 3,396 American International Group Inc. 173 11,440 China Life Insurance Co. Ltd. (b) 20 656 Hartford Financial Services Group Inc. 72 4,233 Marsh & McLennan Cos. Inc. 58 2,759 Travelers Property Casualty Corp. - Class A 183 3,071 25,555 Internet - 2.5% eBay Inc. (b) 57 3,656 InterActiveCorp. (b) 93 3,152 Symantec Corp. (b) 44 1,510 Yahoo! Inc. (b) 81 3,650 11,968 Iron & Steel - 0.9% Nucor Corp. 75 4,189 Leisure Time - 1.8% Carnival Corp. 98 3,897 Harley-Davidson Inc. 97 4,587 8,484 Lodging - 0.4% MGM Mirage (b) 46 1,723 Manufacturing - 3.7% Danaher Corp. 46 4,239 General Electric Co. 212 6,561 Tyco International Ltd. 254 6,724 17,524 Media - 9.3% British Sky Broadcasting Plc (b) 180 2,266 Clear Channel Communications Inc. 135 6,327 Comcast Corp. - Special Class A (b) 227 7,091 E.W. Scripps Co. 33 3,107 EchoStar Communications Corp. (b) 159 5,413 Liberty Media Corp. (b) 396 4,713 Time Warner Inc. (b) 183 3,298 Univision Communications Inc. (b) 139 5,513 Viacom Inc. - Class B 147 6,538 44,266 Mining - 0.5% Rio Tinto Plc 84 2,329 Oil & Gas Producers - 1.8% ChevronTexaco Corp. 46 4,008 Exxon Mobil Corp. 110 4,515 8,523 Oil & Gas Services - 1.9% Baker Hughes Inc. 137 4,416 Schlumberger Ltd. 86 4,722 9,138 Pharmaceuticals - 6.7% Abbott Laboratories 66 3,052 Cardinal Health Inc. 30 1,853 Eli Lilly & Co. 12 830 Forest Laboratories Inc. (b) 73 4,536 Gilead Sciences Inc. (b) 48 2,814 Medco Health Solutions Inc. (b) 57 1,941 Pfizer Inc. 352 12,419 Sanofi-Synthelabo SA 17 1,303 Wyeth 66 2,781 31,529 Retail - 7.7% Best Buy Co. Inc. 69 3,618 Family Dollar Stores Inc. 50 1,776 Home Depot Inc. 156 5,545 Inditex SA 65 1,324 Kingfisher Plc 481 2,400 Kohl's Corp. (b) 42 1,906 Starbucks Corp. (b) 67 2,228 Target Corp. 181 6,966 Walgreen Co. 88 3,201 Wal-Mart de Mexico SA de CV - ADR 64 1,833 Wal-Mart de Mexico SA de CV 210 599 Wal-Mart Stores Inc. 97 5,135 36,531 Semiconductors - 2.9% Analog Devices Inc. (b) 47 2,164 Applied Materials Inc. (b) 166 3,735 Intel Corp. 119 3,845 Maxim Integrated Products Inc. 34 1,703 Xilinx Inc. (b) 60 2,336 13,783 Software - 7.8% Adobe Systems Inc. 61 2,409 First Data Corp. 191 7,840 Fiserv Inc. (b) 125 4,943 Intuit Inc. (b) 84 4,434 Mercury Interactive Corp. (b) 17 822 Microsoft Corp. 534 14,717 Siebel Systems Inc. (b) 147 2,033 37,198 Telecommunications Equipment - 1.6% Cisco Systems Inc. (b) 314 7,629 Tobacco - 0.8% Altria Group Inc. 70 3,831 Transportation - 0.3% United Parcel Service Inc. 19 1,402 Wireless Telecommunications - 4.0% Crown Castle International Corp. (b) 189 2,083 Nextel Communications Inc. (b) 201 5,651 NTT DoCoMo Inc. - 490 Vodafone Group Plc - ADR 130 3,255 Vodafone Group Plc 3,033 7,520 18,999 Total Common Stocks (cost $397,838) 458,006 Short Term Investments - 3.3% Money Market Funds - 3.3% Dreyfus Cash Management Plus, 0.898% (a) 284 284 T. Rowe Price Reserves Investment Fund, 1.138% (a) 15,284 15,284 Total Short Term Investments (cost $15,568) 15,568 Total Investments - 99.9% (cost $413,407) 473,574 Other Assets and Liabilities, Net - 0.1% 472 Total Net Assets - 100% 474,046 JNL/T. Rowe Price Mid-Cap Growth Fund Common Stocks - 94.0% Advertising - 1.3% Catalina Marketing Corp. (b) 116 2,339 Lamar Advertising Co. (b) 82 3,060 5,399 Aerospace & Defense - 2.6% Alliant Techsystems Inc. (b) 71 4,101 L-3 Communications Holdings Inc. (b) 28 1,438 Rockwell Collins Inc. 152 4,565 10,104 Airlines - 0.4% JetBlue Airways Corp. (b) 56 1,485 Auto Manufacturers - 0.8% Oshkosh Truck Corp. 58 2,960 Banks - 0.5% Investors Financial Services Corp. 35 1,344 Silicon Valley Bancshares (b) 15 541 1,885 Beverages - 0.8% Cott Corp. (b) 113 3,165 Biotechnology - 2.6% Biogen Idec Inc. (b) 46 1,684 Human Genome Sciences Inc. (b) 75 994 Invitrogen Corp. (b) 15 1,050 Medimmune Inc. (b) 129 3,277 Millennium Pharmaceuticals Inc. (b) 56 1,046 Protein Design Labs Inc. (b) 53 949 Vertex Pharmaceuticals Inc. (b) 78 798 9,798 Building Materials - 1.0% American Standard Cos. Inc. (b) 38 3,827 Chemicals - 1.1% Potash Corp. 48 4,151 Commercial Services - 7.9% Apollo Group Inc. (b) 22 1,496 BearingPoint Inc. (b) 212 2,139 ChoicePoint Inc. (b) 131 4,990 Education Management Corp. (b) 76 2,359 Hewitt Associates Inc. - Class A (b) 101 3,029 Iron Mountain Inc. (b) 83 3,282 Manpower Inc. 92 4,331 Robert Half International Inc. (b) 150 3,501 Viad Corp. 138 3,450 Weight Watchers International Inc. (b) 37 1,420 29,997 Computers - 5.6% Affiliated Computer Services Inc. - Class A (b) 45 2,451 Cadence Design Systems Inc. (b) 160 2,877 Ceridian Corp. (b) 151 3,162 Diebold Inc. 48 2,586 DST Systems Inc. (b) 107 4,468 Lexmark International Inc. (b) 26 2,045 Research In Motion Ltd. (b) 9 601 Seagate Technology (b) 66 1,247 SunGard Data Systems Inc. (b) 64 1,773 21,210 Cosmetics & Personal Care - 0.5% Estee Lauder Cos. Inc. 49 1,924 Distribution & Wholesale - 0.9% CDW Corp. 47 2,715 Fastenal Co. 15 749 3,464 Diversified Financial Services - 3.2% CapitalSource Inc. (b) 65 1,409 Charles Schwab Corp. 112 1,326 Eaton Vance Corp. 74 2,711 Franklin Resources Inc. 11 573 Legg Mason Inc. 30 2,315 Waddell & Reed Financial Inc. - Class A 158 3,707 12,041 Electrical Components & Equipment - 0.2% Molex Inc. 26 763 Electronics - 1.4% Garmin Ltd. 35 1,907 Jabil Circuit Inc. (b) 63 1,783 Waters Corp. (b) 52 1,724 5,414 Food - 1.1% Whole Foods Market Inc. 64 4,296 Healthcare - 6.4% Anthem Inc. (b) 53 3,975 DaVita Inc. (b) 54 2,106 Edwards Lifesciences Corp. (b) 46 1,384 Health Management Associates Inc. 155 3,720 Laboratory Corp. of America Holdings (b) 100 3,695 Manor Care Inc. 133 4,598 Universal Health Services Inc. 48 2,578 Wellchoice Inc. (b) 19 655 WellPoint Health Networks Inc. (b) 15 1,455 24,166 Insurance - 3.2% Axis Capital Holdings Ltd. 59 1,728 Nationwide Financial Services Inc. - Class A 45 1,488 Principal Financial Group 78 2,579 Protective Life Corp. 62 2,098 Radian Group Inc. 41 1,999 Willis Group Holdings Ltd. 64 2,180 12,072 Internet - 3.4% InterActiveCorp. (b) 35 1,188 Macromedia Inc. (b) 110 1,962 Monster Worldwide Inc. (b) 92 2,020 Network Associates Inc. (b) 240 3,610 VeriSign Inc. (b) 225 3,667 WebMD Corp. (b) 38 342 12,789 Iron & Steel - 1.6% International Steel Group Inc. (b) 46 1,792 Nucor Corp. 78 4,368 6,160 Leisure Time - 1.0% Brunswick Corp. 119 3,788 Lodging - 0.8% Fairmont Hotels & Resorts Inc. 112 3,040 Manufacturing - 2.9% Danaher Corp. 35 3,211 ITT Industries Inc. 47 3,517 Roper Industries Inc. 83 4,089 10,817 Media - 4.0% Cablevision Systems Corp. (b) 97 2,269 Citadel Broadcasting Corp. (b) 122 2,729 COX Radio Inc. (b) 96 2,422 E.W. Scripps Co. 10 941 Entercom Communications Corp. (b) 22 1,165 Rogers Communications Inc. - Class B 120 1,980 Scholastic Corp. (b) 71 2,417 XM Satellite Radio Holdings Inc. - Class A (b) 53 1,397 15,320 Mining - 1.0% Newmont Mining Corp. 75 3,646 Oil & Gas Producers - 3.7% Devon Energy Corp. 15 859 Diamond Offshore Drilling Inc. 128 2,625 EOG Resources Inc. 86 3,971 Murphy Oil Corp. 59 3,853 XTO Energy Inc. 101 2,858 14,166 Oil & Gas Services - 3.6% BJ Services Co. (b) 126 4,524 Cooper Cameron Corp. (b) 59 2,749 FMC Technologies Inc. (b) 108 2,516 Smith International Inc. (b) 94 3,903 13,692 Pharmaceuticals - 8.6% Abgenix Inc. (b) 56 698 Alkermes Inc. (b) 70 945 AmerisourceBergen Corp. 60 3,358 Amylin Pharmaceuticals Inc. (b) 47 1,044 Andrx Corp. (b) 82 1,971 Barr Laboratories Inc. (b) 31 2,386 Cephalon Inc. (b) 51 2,469 Gilead Sciences Inc. (b) 60 3,488 ImClone Systems Inc. (b) 32 1,269 IVAX Corp. (b) 141 3,367 Neurocrine Biosciences Inc. (b) 30 1,636 Omnicare Inc. 185 7,472 Teva Pharmaceutical Industries Ltd. - ADR 45 2,552 32,655 Pipelines - 0.5% Western Gas Resources Inc. 42 1,985 Retail - 7.4% 99 Cents Only Stores (b) 25 681 Best Buy Co. Inc. 63 3,291 Cheesecake Factory (b) 64 2,818 Dollar Tree Stores Inc. (b) 97 2,916 Family Dollar Stores Inc. 79 2,834 O'Reilly Automotive Inc. (b) 75 2,877 Petsmart Inc. 114 2,713 Ross Stores Inc. 135 3,568 Shoppers Drug Mart Corp. (b) 60 1,392 Starbucks Corp. (b) 67 2,215 Williams-Sonoma Inc. (b) 78 2,712 28,017 Semiconductors - 4.6% AMIS Holdings Inc. (b) 95 1,736 ASML Holding NV - NYS (b) 101 2,025 Integrated Circuit Systems Inc. (b) 30 843 Intersil Corp. 129 3,206 Microchip Technology Inc. 116 3,870 Novellus Systems Inc. (b) 57 2,397 QLogic Corp. (b) 26 1,342 Semtech Corp. (b) 88 2,000 17,419 Software - 4.4% Adobe Systems Inc. 65 2,554 Certegy Inc. 111 3,641 Fiserv Inc. (b) 78 3,082 Intuit Inc. (b) 56 2,963 Mercury Interactive Corp. (b) 45 2,189 Red Hat Inc. (b) 54 1,013 Siebel Systems Inc. (b) 92 1,276 16,718 Telecommunications - 0.4% NTL Inc. (b) 20 1,395 Telecommunications Equipment - 1.3% 3Com Corp. (b) 59 482 Advanced Fibre Communications Inc. (b) 28 564 Harris Corp. 101 3,833 4,879 Transportation - 0.5% Expeditors International of Washington Inc. 48 1,808 Wireless Telecommunications - 2.8% Crown Castle International Corp. (b) 171 1,886 Nextel Communications Inc. (b) 146 4,097 Nextel Partners Inc. (b) 112 1,507 Triton PCS Holdings Inc. (b) 66 368 Western Wireless Corp. (b) 142 2,607 10,465 Total Common Stocks (cost $275,997) 356,880 Short Term Investments - 6.9% Money Market Funds - 6.9% Dreyfus Cash Management Plus, 0.898% (a) 5,846 5,846 T. Rowe Price Reserves Investment Fund, 1.138% (a) 20,386 20,386 Total Short Term Investments (cost $26,232) 26,232 Total Investments - 100.9% (cost $302,229) 383,112 Other Assets and Liabilities, Net - (0.9%) -3,571 Total Net Assets - 100% 379,541 JNL/T. Rowe Price Value Fund Common Stocks - 95.7% Aerospace & Defense - 3.5% Lockheed Martin Corp. 85 4,364 Raytheon Co. 129 3,872 Rockwell Collins Inc. 182 5,459 13,695 Airlines - 0.5% Delta Air Lines Inc. 141 1,659 Auto Manufacturers - 0.7% Ford Motor Co. 182 2,916 Auto Parts & Equipment - 0.2% Delphi Corp. 82 838 Banks - 7.1% Bank of America Corp. 45 3,611 Bank One Corp. 98 4,454 Comerica Inc. 77 4,311 FleetBoston Financial Corp. 145 6,308 Mellon Financial Corp. 100 3,198 US Bancorp. 234 6,969 28,851 Beverages - 1.5% Coca-Cola Enterprises Inc. 129 2,812 Heineken NV 90 3,416 6,228 Chemicals - 2.5% E.I. du Pont de Nemours & Co. 96 4,401 Great Lakes Chemical Corp. 142 3,858 Hercules Inc. (b) 141 1,714 9,973 Computers - 1.9% Electronic Data Systems Corp. 72 1,762 Hewlett-Packard Co. 253 5,807 7,569 Diversified Financial Services - 6.5% American Express Co. 110 5,281 Citigroup Inc. 57 2,789 Franklin Resources Inc. 80 4,170 Freddie Mac 51 2,998 JPMorgan Chase & Co. 116 4,250 Morgan Stanley 118 6,811 26,299 Electric - 3.1% FirstEnergy Corp. 114 4,024 NiSource Inc. 170 3,723 Pinnacle West Capital Corp. 64 2,569 TXU Corp. 91 2,168 12,484 Environmental Control - 1.0% Waste Management Inc. 136 4,032 Food - 1.7% Campbell Soup Co. 137 3,658 General Mills Inc. 24 1,074 Safeway Inc. (b) 101 2,211 6,943 Forest Products & Paper - 3.0% Bowater Inc. 99 4,594 International Paper Co. 88 3,785 MeadWestvaco Corp. 131 3,885 12,264 Healthcare - 2.4% Becton Dickinson & Co. 43 1,765 Johnson & Johnson 90 4,628 Medtronic Inc. 69 3,364 9,757 Home Furnishings - 0.8% Sony Corp. - ADR 95 3,304 Household Products - 2.8% Clorox Co. 51 2,477 Fortune Brands Inc. 66 4,733 Newell Rubbermaid Inc. 175 3,989 11,199 Insurance - 8.6% Berkshire Hathaway Inc. - Class A (b) - 3,539 China Life Insurance Co. Ltd. (b) 19 637 Cigna Corp. 55 3,168 Hartford Financial Services Group Inc. 72 4,250 Marsh & McLennan Cos. Inc. 86 4,109 Principal Financial Group 122 4,031 Prudential Financial Inc. 68 2,849 Safeco Corp. 109 4,239 Travelers Property Casualty Corp. 297 5,040 UnumProvident Corp. 179 2,815 34,677 Iron & Steel - 1.0% Nucor Corp. 75 4,189 Lodging - 1.8% Fairmont Hotels & Resorts Inc. 130 3,523 Hilton Hotels Corp. 220 3,770 7,293 Machinery - 0.5% Rockwell Automation Inc. 57 2,029 Manufacturing - 7.3% Cooper Industries Ltd. - Class A 111 6,401 Dover Corp. 35 1,403 Eastman Kodak Co. 78 2,002 Eaton Corp. 43 4,632 General Electric Co. 33 1,010 Honeywell International Inc. 182 6,068 Pall Corp. 84 2,265 Tyco International Ltd. 219 5,801 29,582 Media - 10.3% Cablevision Systems Corp. (b) 74 1,738 Comcast Corp. - Class A (b) 52 1,716 Comcast Corp. - Special Class A (b) 212 6,644 Dow Jones & Co. Inc. 74 3,664 Liberty Media Corp. (b) 455 5,412 New York Times Co. 85 4,053 Pearson Plc 174 1,936 Reuters Group Plc 467 1,963 Time Warner Inc. (b) 330 5,942 Viacom Inc. - Class B 85 3,751 Walt Disney Co. 216 5,032 41,851 Mining - 1.0% Alcoa Inc. 102 3,857 Oil & Gas Producers - 5.6% Amerada Hess Corp. 92 4,908 ChevronTexaco Corp. 33 2,850 ConocoPhillips 35 2,296 Exxon Mobil Corp. 115 4,731 Marathon Oil Corp. 53 1,767 Royal Dutch Petroleum Co. - NYS 69 3,625 Total SA - ADR 28 2,609 22,786 Oil & Gas Services - 1.7% Baker Hughes Inc. 135 4,348 Schlumberger Ltd. 48 2,643 6,991 Pharmaceuticals - 4.5% Bristol-Myers Squibb Co. 156 4,462 Merck & Co. Inc. 156 7,207 Schering-Plough Corp. 208 3,622 Wyeth 72 3,052 18,343 Retail - 4.9% CVS Corp. 122 4,406 May Department Stores Co. 130 3,779 McDonald's Corp. 152 3,772 Nordstrom Inc. 55 1,897 RadioShack Corp. 91 2,783 Toys "R" Us Inc. (b) 244 3,088 19,725 Semiconductors - 0.6% Texas Instruments Inc. 83 2,436 Software - 1.4% Microsoft Corp. 212 5,836 Telecommunications - 1.8% Qwest Communications International Inc. (b) 720 3,111 Sprint Corp. - FON Group 264 4,333 7,444 Telecommunications Equipment - 0.1% Lucent Technologies Inc. (b) 171 484 Tobacco - 0.7% Altria Group Inc. 52 2,808 Toys & Hobbies - 0.9% Hasbro Inc. 162 3,454 Transportation - 2.5% CNF Inc. 103 3,502 Norfolk Southern Corp. 122 2,874 Union Pacific Corp. 53 3,689 10,065 Wireless Telecommunications - 1.3% Motorola Inc. 368 5,178 Total Common Stocks (cost $349,759) 387,039 Corporate Bonds - 0.4% Telecommunications - 0.4% WorldCom Inc. 8.25%, 05/15/04 (i) 1,370 459 8.00%, 05/15/06 (i) 325 109 7.75%, 04/01/07 (i) 1,300 436 8.25%, 05/15/10 (i) 285 94 7.50%, 05/15/11 (i) 375 126 6.95%, 08/15/28 (i) 1,275 427 Total Corporate Bonds (cost $1,489) 1,651 Short Term Investments - 3.8% Money Market Funds - 3.8% Dreyfus Cash Management Plus, 0.898% (a) 476 476 T. Rowe Price Reserves Investment Fund, 1.138% (a) 14,742 14,742 Total Short Term Investments (cost $15,218) 15,218 Total Investments - 99.9% (cost $366,466) 403,908 Other Assets and Liabilities, Net - 0.1% 562 Total Net Assets - 100% 404,470
JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS December 31, 2003 --------------------------------------------------------------------------------------------------------------------------- (a) Dividend yield changes daily to reflect current market conditions. Rate is the quoted yield as of December 31, 2003. (b) Non-income producing security. (c) Investment purchased on a when-issued basis. As of December 31, 2003, the total cost of investments purchased on a when-issued basis, in thousands, for the Mellon Capital Management/JNL Bond Index Fund, the PIMCO/JNL Total Return Bond Fund, the Salomon Brothers/JNL Balanced Fund, the Salomon Brothers/JNL Global Bond Fund, and the Salomon Brothers/JNL U.S. Government & Quality Bond Fund are: $5,947; $1,027; $2,161; $57,438 and $117,347, respectively. (d) Deferred interest security that receives no current coupon payments until a predetermined date at which time the stated coupon rate becomes effective. (e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund has deemed these securities to be liquid based on procedures approved by the Board of Trustees. As of December 31, 2003, the market value, in thousands, of 144A or other restricted securities, in JNL/Janus Balanced Fund, JNL/Janus Global Equities Fund, JNL/Janus Growth & Income Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Bond Index Fund, JNL/Oppenheimer Global Growth Fund, JNL/PIMCO Total Return Fund, JNL/PPM America Balanced Fund, JNL/PPM America High Yield Bond Fund, JNL/Putnam International Equity Fund, JNL/Salomon Brothers Balanced Fund, JNL/Salomon Brothers Global Bond Fund, JNL/Salomon Brothers High Yield Bond Fund, and JNL/Salomon Brothers U.S. Government & Quality Bond Fund are: $3,507; $714; $169; $509; $149; $171; $4,630; $2,194; $39,860; $205; $91; $11,077; $2,578 and $13,142, respectively. (f) All or a portion of the security pledged as collateral for an investment purchased on a when-issued basis. (g) Variable rate security. Rate stated is in effect as of December 31, 2003. (h) Coupon payment periodically increases over the life of the security. Rate is in effect as of December 31, 2003. (i) Security is in default. (j) Convertible security. (k) Zero coupon security. Rate stated is the effective yield as of December 31, 2003. (l) All or portion of the security pledged to cover margin requirements on open futures contracts. Currency Abbreviations: AUD - Australian Dollar JPY - Japanese Yen CHF - Swiss Franc KRW - Korean Won DKK - Danish Krone MXN - Mexican Peso EUR - European Currency Unit (Euro) SEK - Swedish Krona GBP - British Pound SGD - Singapore Dollar HKD - Hong Kong Dollar USD - United States Dollar INR - Indian Rupee Schedule of Options Written: --------------------------------------------------------------------------------------------------------------------------- EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000'S) JNL/AIM Small Cap Growth Fund Nvidia Corp. Call Option 01/17/04 $ 22.50 16 $ (2) Pixar Inc. Call Option 01/17/04 75.00 4 - Red Hat Call Option 01/17/04 20.00 9 (1) Sandisk Corp. Call Option 01/17/04 65.00 3 - Sandisk Corp. Call Option 01/17/04 75.00 19 - ------------- $ (3) ============= JNL/PIMCO Total Return Bond Fund U.S. 10-Year Treasury Note Future Call Option 02/21/04 $ 113.00 39 $ (46) U.S. 10-Year Treasury Note Future Put Option 02/21/04 108.00 24 (8) Call Swaption, 3 month LIBOR versus 3.25% fixed 03/03/04 n/a 28 (5) Call Swaption, 3 month LIBOR versus 4.00% fixed 03/03/04 n/a 14 (1) Call Swaption, 3 month LIBOR versus 4.00% fixed 03/03/04 n/a 14 (1) Eurodollar Future Call Option 03/18/04 98.50 2 (1) Eurodollar Future Put Option 03/18/04 97.25 1 - Eurodollar Future Put Option 03/31/04 97.75 12 - Eurodollar Future Put Option 06/14/04 98.00 70 (7) Call Swaption, 3 month LIBOR versus 6.00% fixed 10/19/04 n/a 2 (17) Put Swaption, 3 month LIBOR versus 6.00% fixed 10/19/04 n/a 2 (2) Call Swaption, 3 month LIBOR versus 5.20% fixed 11/02/04 n/a 9 (44) Put Swaption, 3 month LIBOR versus 6.70% fixed 11/02/04 n/a 9 (4) Call Swaption, 3 month LIBOR versus 5.50% fixed 01/07/05 n/a 6 (35) Put Swaption, 3 month LIBOR versus 7.00% fixed 01/07/05 n/a 6 (3) ------------- $ (174) ============= JNL Series Trust Notes to the Schedule of Investments (in thousands) December 31, 2003 Summary of Open Currency Contracts: -------------------------------------------------------------------------------------------------------------------------------- CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/JPMorgan International Value Fund JNL/Oppenheimer Global Growth Fund AUD/USD 02/23/04 1,026 AUD $ 768 $ 42 BRL/USD 01/02/04 122 BRL $ 42 $ - CHF/USD 02/23/04 1,028 CHF 833 25 CAD/USD 01/02/07 194 CAD 150 (1) DKK/USD 02/23/04 208 DKK 35 3 CHF/USD 01/06/04 143 CHF 116 - EUR/JPY 02/23/04 120 EUR 151 4 EUR/USD 01/05/04 525 EUR 662 (2) EUR/USD 02/23/04 3,077 EUR 3,875 156 EUR/USD 01/06/04 176 EUR 222 (1) GBP/USD 02/23/04 130 GBP 232 - EUR/USD 01/07/04 24 EUR 30 - GBP/USD 02/23/04 2,120 GBP 3,780 221 GBP/USD 01/05/04 322 GBP 576 1 HKD/USD 02/23/04 1,684 HKD 217 - MXN/USD 01/02/04 604 MXN 54 - JPY/EUR 02/23/04 (380) JPY (478) (14) NOK/USD 01/06/04 278 NOK 42 - JPY/USD 02/23/04 52,395 JPY 490 - SEK/USD 01/07/04 101 SEK 101 - ----------- ---------- JPY/USD 02/23/04 404,544 JPY 3,782 45 $ 1,995 $ (3) =========== ========== SEK/USD 02/23/04 4,337 SEK 602 45 USD/CHF 02/23/04 (428)CHF (347) (21) USD/EUR 02/23/04 (100)EUR (126) - JNL/PIMCO Total Return Bond Fund USD/EUR 02/23/04 (2,873)EUR (3,618) (196) JPY/USD 01/15/04 70,765 JPY $ 661 $ 4 USD/GBP 02/23/04 (1,083)GBP (1,931) (88) USD/EUR 01/07/04 (854)EUR (1,077) (48) ----------- ---------- USD/JPY 02/23/04 (298,522)JPY (2,791) (29) $ (416) $ (44) =========== ========== USD/SEK 02/23/04 (1,395)SEK (194) (9) USD/SGD 02/23/04 (716)SGD (422) (7) ----------- ---------- $ 4,858 $ 177 JNL/Putnam International Equity Fund =========== ========== AUD/USD 03/17/04 1,884 AUD $ 1,407 $ 69 CHF/USD 01/15/04 132 CHF 106 1 JNL/Janus Global Equities Fund EUR/USD 01/02/04 227 EUR 286 3 EUR/USD 01/02/04 125 EUR $ 158 $ 3 EUR/USD 01/06/04 2 EUR 2 - EUR/USD 01/07/04 6 EUR 8 - EUR/USD 03/17/04 1,154 EUR 1,452 36 USD/GBP 01/02/04 (5)GBP (8) - GBP/USD 03/17/04 780 GBP 1,388 74 USD/GBP 01/05/04 (98)GBP (175) (1) SGD/USD 01/02/04 3 SGD 2 - USD/HKD 01/05/04 (2,001)HKD (258) - USD/CHF 03/17/04 (2,338)CHF (1,895) (37) USD/JPY 01/07/04 (2,312)JPY (22) - USD/EUR 01/05/04 (86)EUR (108) (1) ----------- ---------- $ (297) $ 2 USD/EUR 01/07/04 (1) EUR (1) - =========== ========== USD/EUR 03/17/04 (1,154) EUR (1,452) (69) USD/GBP 01/05/04 (33) GBP (59) - JNL/Janus Growth & Income Fund USD/GBP 01/06/04 (20) GBP (36) - CHF/USD 04/16/04 15 CHF $ 12 $ 2 USD/SEK 01/05/04 (910) SEK (127) (1) EUR/USD 03/26/04 25 EUR 31 1 USD/SGD 01/05/04 (6) SGD (4) - USD/CHF 03/26/04 (100)CHF (81) (7) ZAR/USD 01/08/04 18 ZAR 3 - ----------- ---------- USD/CHF 04/16/04 (50)CHF (40) (3) $ 964 $ 75 =========== ========== USD/EUR 03/26/04 (140)EUR (176) (16) ----------- ---------- $ (254) $ (23) =========== ========== JNL/Salomon Brothers Global Bond Fund EUR/USD 02/25/04 5,620 EUR $ 7,077 $ 337 JNL/Mellon Capital Management International Index Fund USD/EUR 02/25/04 (17,069)EU (21,494) (970) ----------- ---------- EUR/USD 03/18/04 28 EUR $ 35 $ - $(14,417) $ (633) =========== ========== EUR/USD 03/18/04 2,162 EUR 2,721 50 GBP/USD 03/18/04 45 GBP 80 - GBP/USD 03/18/04 1,213 GBP 2,159 38 JNL/T. Rowe Price Established Growth Fund JPY/USD 03/18/04 189,838 JPY 1,776 6 GBP/USD 01/02/04 142 GBP $ 254 $ 2 =========== ========== JPY/USD 03/18/04 10,200 JPY 95 - ----------- ---------- $ 6,866 $ 94 =========== ========== JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS DECEMBER 31, 2003 SUMMARY OF INVESTMENTS BY COUNTRY: ------------------------------------------------------------------------------------------------------------------------------ JNL/Janus JNL/Mellon Capital JNL/ JNL/JPMorgan JNL/Janus JNL/Janus Growth & Management PPM America International Balanced Global Income International High Yield Value Fund Fund Equities Fund Fund Index Fund Bond Fund ------------------------------------------------------------------------------------------------------------------------------ Argentina - % - % - % - % - % - % Australia 1.4 - - - 4.7 - Austria - - - - 0.2 - Bahamas - - - - - - Belgium - - - - 1.0 - Bermuda - - - - - - Brazil 2.5 - 1.8 - - - Bulgaria - - - - - - Canada - 1.5 1.5 4.0 - 7.1 Cayman Islands - - - - - - Chile - - - - - 0.4 China 0.1 - 0.6 - - - Colombia - - - - - - Denmark - - - - 0.7 - Ecuador - - - - - - Finland - 0.4 0.7 1.2 1.5 - France 10.2 1.8 6.5 0.6 9.0 0.7 Germany 5.6 0.3 1.2 0.9 6.6 - Greece 0.1 - - - 0.4 - Hong Kong 1.0 - 2.3 - 1.5 - India 1.8 - 4.6 - - - Ireland 1.6 - 0.4 - 0.7 - Israel - - 1.0 - - - Italy 2.6 - 1.3 - 3.6 - Japan 14.4 - 16.8 - 19.8 - Liberia - - - - - 0.8 Luxembourg - 1.3 - - 0.1 2.1 Malaysia - - - - - - Mexico 1.0 - 1.6 - - - Morocco - - - - - - Netherlands 8.3 0.2 1.0 - 4.8 - New Zealand - - - - 0.2 - Norway - - - - 0.5 - Panama - - - - - - Peru - - - - - - Philippines - - - - - - Portugal - - - - 0.3 - Russia 0.8 - 2.8 - - - Singapore 2.4 - 1.0 - 0.7 - South Africa - - - - - - South Korea 1.4 1.0 5.9 1.1 - - Spain 2.2 - - - 3.4 - Sweden 0.8 - 1.1 - 2.1 - Switzerland 5.4 1.9 8.1 2.7 6.9 - Taiwan - - 3.6 - - - Thailand 1.1 - 0.3 - - - Turkey - - - - - - United Kingdom 15.6 2.1 9.4 0.3 23.9 - United States 19.7 89.5 26.5 89.2 7.4 88.9 Venezuela - - - - - - ----------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% ======================================================================================================================= ------------------------------------------------------------------------------------------------------------------------------------ JNL/Salomon JNL/Salomon JNL/ JNL/Putnam Brothers Brothers T.Rowe Price JNL/ International Global Bond High Yield Established T.Rowe Price Equity Fund Fund Bond Fund Growth Fund Value Fund ------------------------------------------------------------------------------------------------------------------------------------ Argentina - % 10.0 % - % - % - % Australia 2.0 0.2 - - 0.5 Austria - - - - - Bahamas - 0.1 0.6 - - Belgium 0.5 - - - - Bermuda 0.3 - - 0.7 - Brazil 1.8 2.2 - - 2.5 Bulgaria - 0.3 - - - Canada 2.3 0.9 4.6 - 2.3 Cayman Islands - - 1.1 - - Chile - - - China 0.3 - - 0.2 - Colombia - 0.5 - - - Denmark 0.7 - - - - Ecuador - 0.3 - - - Finland 1.5 - - - - France 11.2 2.0 0.3 0.8 8.8 Germany 5.1 3.6 - - 2.9 Greece - - - - - Hong Kong 0.1 - - - 1.7 India - - - - 3.4 Ireland 1.8 - - - - Israel - - - - 0.4 Italy 2.9 0.3 - - 0.4 Japan 17.1 - - 0.1 8.1 Liberia - - - - - Luxembourg - - - - - Malaysia - 0.2 - - - Mexico 0.9 2.1 - 0.5 1.4 Morocco - 0.2 - - - Netherlands 2.1 - 0.2 - 3.1 New Zealand - - - - - Norway 0.1 - - - 0.8 Panama - 0.3 - - - Peru - 0.2 - - - Philippines - 0.5 - - - Portugal 0.2 - - - - Russia 0.4 2.0 - - - Singapore 1.6 - - - 0.6 South Africa - - 0.6 South Korea 5.1 - - 0.6 1.4 Spain 2.0 - - 0.3 0.4 Sweden 1.6 - - - 1.8 Switzerland 13.1 - - 1.5 2.0 Taiwan 1.0 - - - - Thailand - - - - - Turkey - 0.6 - - - United Kingdom 21.6 0.8 2.2 4.8 10.5 United States 2.7 82.3 90.4 90.5 47.0 Venezuela - 0.3 - - - ----------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS 100.0% 100.0% 100.0% 100.0% 100.0% ======================================================================================================================= JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) DECEMBER 31, 2003 SUMMARY OF SWAP AGREEMENTS : ----------------------------------------------------------------------------------------------------------------- UNREALIZED APPRECIATION/ NOTIONAL AMOUNT (DEPRECIATION) JNL/PIMCO Total Return Bond Fund Goldman Sachs Capital Markets, L.P. Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 06/16/09 $ 22,200 $ 89 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 400 (3) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/17 900 15 JPMorgan Chase Bank Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 12/21/07 6,500 (15) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 100 (1) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/17 100 2 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 300 1 Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 600 7 Merrill Lynch Capital Services, Inc. Receive fixed rate equal to 4.00% and pay floating rate based on 6 month EURIBOR, 03/15/07 5,700 3 Morgan Stanley Capital Services Inc. Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 1.07%, 06/02/12 60,000 14 UBS Warburg AG Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 100 (1) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 200 (1) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 300 2 ----------- $ 112 =========== SUMMARY OF SECURITIES SOLD SHORT : ----------------------------------------------------------------------------------------------------------------- PAR MARKET AMOUNT VALUE JNL/PIMCO Total Return Bond Fund Federal National Mortgage Association, 6.00%, TBA $ 1,000 $ (1,048) U.S. Treasury Bond, 6.25%, 08/15/23 900 (1,026) U.S. Treasury Bond, 5.375%, 02/15/31 1,700 (1,773) ----------- Total (proceeds $3,797) $ (3,847) =========== JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS DECEMBER 31, 2003 SUMMARY OF WRITTEN CALL OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2003 (IN THOUSANDS EXCEPT CONTRACTS): --------------------------------------------------------------------------------------------------------------------- NUMBER OF CONTRACTS PREMIUMS JNL/AIM Premier Equity II Fund Options outstanding at December 31, 2002 - $ - Options written during the period 13 2 Options closed during the period (4) (1) Options exercised during the period (4) - Options expired during the period (5) (1) ------------ ------------ Options outstanding at December 31, 2003 - $ - ============ ============ JNL/AIM Small Cap Growth Fund Options outstanding at December 31, 2002 - $ - Options written during the period 239 31 Options closed during the period (30) (5) Options exercised during the period (75) (9) Options expired during the period (83) (10) ------------ ------------ Options outstanding at December 31, 2003 51 $ 7 ============ ============ JNL/PIMCO Total Return Bond Fund Options outstanding at December 31, 2002 348 $ 303 Options written during the period 1,321 940 Options closed during the period (121) (103) Options exercised during the period (148) (104) Options expired during the period (1,162) (729) ------------ ------------ Options outstanding at December 31, 2003 238 $ 307 ============ ============ JNL/Putnam Midcap Growth Fund Options outstanding at December 31, 2002 - $ - Options written during the period 8,619 4 Options closed during the period - - Options exercised during the period (2,236) (1) Options expired during the period (6,383) (3) ------------ ------------ Options outstanding at December 31, 2003 - $ - ============ ============ JNL/Putnam Value Equity Fund Options outstanding at December 31, 2002 - $ - Options written during the period 226,114 57 Options closed during the period (119,465) (29) Options exercised during the period (99,741) (24) Options expired during the period (6,908) (4) ------------ ------------ Options outstanding at December 31, 2003 - $ - ============ ============ JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS DECEMBER 31, 2003 SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS): -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONTRACTS UNREALIZED LONG/ NOTIONAL APPRECIATION/ (SHORT) AMOUNT (DEPRECIATION) JNL/AIM Premier Equity II Fund S&P 500 E-Mini Future Expiration March 2004 10 $ 25 ================= ================= JNL/AIM Small Cap Growth Fund Russell 2000 Index Future Expiration March 2004 2 $ 11 ================= ================= JNL/Curian Enhanced S&P 500 Stock Index Fund S&P 500 Index Future Expiration March 2004 10 $ 68 ================= ================= JNL/Curian S&P 400 MidCap Index Fund S&P MidCap 400 Future Expiration March 2004 5 $ (2) ================= ================= JNL/Curian S&P 500 Index Fund S&P 500 Future Expiration March 2004 9 $ 24 ================= ================= JNL/Curian Small Cap Index Fund Russell 2000 Index Future Expiration March 2004 12 $ 34 Russell 2000 Mini Index Future Expiration March 2004 15 35 ----------------- ----------------- $ 69 ================= ================= JNL/JPMorgan International Value Fund Dow Jones Euro Stoxx 50 Future Expiration March 2004 59 $ 30 FTSE 100 Index Future Expiration March 2004 25 47 Topix Japanese Yen Future Expiration March 2004 11 29 ----------------- ----------------- $ 106 ================= ================= JNL/Mellon Capital Management Bond Index Fund U.S. Treasury Note Future, 2-Year, 6.00%, Expiration March 2004 $800 $ 3 U.S. Treasury Note Future, 5-Year, 6.00%, Expiration March 2004 100 - U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2004 (400) 1 U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration March 2004 400 - ----------------- ----------------- $ 4 ================= ================= JNL/Mellon Capital Management International Index Fund Dow Jones Euro Stoxx 50 Future Expiration March 2004 73 $ 43 FTSE 100 Index Future Expiration March 2004 29 31 MSCI Pan Euro Index Future Expiration March 2004 22 6 Topix Japanese Yen Future Expiration March 2004 22 93 ----------------- ----------------- $ 173 ================= ================= CONTRACTS UNREALIZED LONG/ NOTIONAL APPRECIATION/ (SHORT) AMOUNT (Depreciation) JNL/PIMCO Total Return Fund Euribor Interest Rate Future Expiration December 2004 59,000 EUR $ 66 Euribor Interest Rate Future Expiration March 2005 33,000 EUR 29 Euribor Interest Rate Future Expiration June 2005 7,000 EUR 2 Euribor Interest Rate Future Expiration September 2005 7,000 EUR 1 Euribor Interest Rate Future Expiration December 2005 7,000 EUR 1 Euro BOBL Future, 5-Year, 6.00%, Expiration March 2004 57,000 EUR 7 Eurodollar Future Expiration June 2004 1,000 EUR 2 Eurodollar Future Expiration September 2004 34,000 EUR 57 Eurodollar Future Expiration December 2004 35,000 EUR 32 Eurodollar Future Expiration March 2005 24,000 EUR 19 Eurodollar Future Expiration June 2005 22,000 EUR 15 Eurodollar Future Expiration September 2005 5,000 EUR - Eurodollar Future Expiration December 2005 6,000 EUR - Eurodollar Future Expiration March 2008 4,000 EUR (1) Eurodollar Future Expiration June 2008 4,000 EUR (1) Eurodollar Future Expiration September 2008 4,000 EUR (2) Eurodollar Future Expiration December 2008 4,000 EUR (1) Eurodollar Future Option Expiration March 2004 (13,000)EUR 10 Eurodollar Future Option Expiration December 2004 (12,000)EUR 5 U.S. Treasury Note Future, 5-Year, 6.00%, Expiration September 2004 171 USD 65 U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2004 568 USD 777 ----------------- ----------------- $ 1,083 ================= ================= JNL/Salomon Brothers Global Bond Fund U.S. Treasury Note Future, 5-Year, 6.00%, Expiration March 2004 (2,500) $ (32) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2004 (7,000) (102) ----------------- ----------------- $ (134) ================= ================= JNL/Salomon Brothers U.S. Government & Quality Bond Fund U.S. Treasury Note Future, 5-Year, 6.00%, Expiration March 2004 (10,300) $ (130) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2004 (3,700) (54) U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration March 2004 27,200 468 ----------------- ----------------- $ 284 =================
JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2003 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Premier Equity II Small Cap Growth ASSETS Growth Fund Fund Growth Fund Fund -------------- ---------------- ---------------- ----------------- Investments, at cost $ 33,297 $ 21,509 $ 37,828 $ 205,610 ============== ================ ================ ================= Investments, at value (a) $ 37,470 $ 24,131 $ 44,456 $ 244,564 Cash - - 1 - Foreign currency (c) - - - - Receivables: Dividends and interest 6 16 6 244 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 495 28 587 203 Investment securities sold - - 42 - Variation margin - 1 - - Collateral for securities loaned 2,371 1,015 3,500 38,196 -------------- ---------------- ---------------- ----------------- TOTAL ASSETS 40,342 25,191 48,592 283,207 -------------- ---------------- ---------------- ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 3 2 4 20 Advisory fees 25 16 33 173 Investment securities purchased 1,491 365 1,064 - Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 28 14 37 129 12b-1 service fee (Class A) 3 2 4 22 Variation margin - - 7 - Investment securities sold short, at value - - - - Options written, at value (b) - - 3 - Return of collateral for securities loaned 2,371 1,015 3,500 38,196 -------------- ---------------- ---------------- ----------------- TOTAL LIABILITIES 3,921 1,414 4,652 38,540 -------------- ---------------- ---------------- ----------------- NET ASSETS $ 36,421 $ 23,777 $ 43,940 $ 244,667 ============== ================ ================ ================= NET ASSETS CONSIST OF: Paid-in capital $ 33,473 $ 23,933 $ 39,577 $ 342,260 Undistributed (accumulated) net investment income (loss) - 8 - - Accumulated net realized gain (loss) (1,225) (2,811) (2,280) (136,547) Net unrealized appreciation (depreciation) 4,173 2,647 6,643 38,954 -------------- ---------------- ---------------- ----------------- $ 36,421 $ 23,777 $ 43,940 $ 244,667 ============== ================ ================ ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 3,433 2,455 3,764 16,575 ============== ================ ================ ================= NET ASSET VALUE PER SHARE $ 10.61 $ 9.69 $ 11.67 $ 14.76 ============== ================ ================ ================= (a) Including securities on loan of: $ 2,280 $ 982 $ 3,349 $ 36,876 (b) Premiums from options written - - 7 - (c) Foreign currency cost - - - - JNL/Curian JNL/Alliance Enhanced JNL/Curian JNL/Curian Capital Growth S&P 500 Stock S&P 400 MidCap S&P 500 Index ASSETS Fund Index Fund Index Fund Fund --------------- ---------------- ---------------- --------------- Investments, at cost $ 123,031 $ 82,312 $ 70,315 $ 170,197 =============== ================ ================ =============== Investments, at value (a) $ 130,595 $ 88,762 $ 80,842 $ 189,681 Cash - 10 13 18 Foreign currency (c) - - - - Receivables: Dividends and interest 85 126 55 277 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 153 275 407 754 Investment securities sold 1,176 - - - Variation margin - 7 - 6 Collateral for securities loaned 165 - - - --------------- ---------------- ---------------- --------------- TOTAL ASSETS 132,174 89,180 81,317 190,736 --------------- ---------------- ---------------- --------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 11 7 7 15 Advisory fees 69 46 25 58 Investment securities purchased 3,299 - - - Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 101 51 195 308 12b-1 service fee (Class A) 11 8 7 17 Variation margin - - 6 - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned 165 - - - --------------- ---------------- ---------------- --------------- TOTAL LIABILITIES 3,656 112 240 398 --------------- ---------------- ---------------- --------------- NET ASSETS $ 128,518 $ 89,068 $ 81,077 $ 190,338 =============== ================ ================ =============== NET ASSETS CONSIST OF: Paid-in capital $ 190,123 $ 87,841 $ 70,979 $ 170,609 Undistributed (accumulated) net investment income (loss) 110 486 12 5 Accumulated net realized gain (loss) (69,279) (5,777) (439) 216 Net unrealized appreciation (depreciation) 7,564 6,518 10,525 19,508 --------------- ---------------- ---------------- --------------- $ 128,518 $ 89,068 $ 81,077 $ 190,338 =============== ================ ================ =============== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 12,955 11,234 7,068 19,353 =============== ================ ================ =============== NET ASSET VALUE PER SHARE $ 9.92 $ 7.93 $ 11.47 $ 9.84 =============== ================ ================ =============== (a) Including securities on loan of: $ 160 $ - $ - $ - (b) Premiums from options written - - - - (c) Foreign currency cost - - - - JNL/Curian JNL/Eagle Small Cap Core Equity ASSETS Index Fund Fund ----------------- ---------------- Investments, at cost $ 65,334 $ 214,645 ================= ================ Investments, at value (a) $ 75,737 $ 245,249 Cash 8 - Foreign currency (c) - - Receivables: Dividends and interest 70 268 Forward currency contracts - - Foreign taxes recoverable - - Fund shares sold 467 344 Investment securities sold - 1,470 Variation margin - - Collateral for securities loaned - 7,605 ----------------- ---------------- TOTAL ASSETS 76,282 254,936 ----------------- ---------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 6 20 Advisory fees 23 149 Investment securities purchased - 1,125 Income payable - - Forward currency contracts - - Fund shares redeemed 67 102 12b-1 service fee (Class A) 7 22 Variation margin 49 - Investment securities sold short, at value - - Options written, at value (b) - - Return of collateral for securities loaned - 7,605 ----------------- ---------------- TOTAL LIABILITIES 152 9,023 ----------------- ---------------- NET ASSETS $ 76,130 $ 245,913 ================= ================ NET ASSETS CONSIST OF: Paid-in capital $ 65,446 $ 262,415 Undistributed (accumulated) net investment income (loss) 27 61 Accumulated net realized gain (loss) 185 (47,167) Net unrealized appreciation (depreciation) 10,472 30,604 ----------------- ---------------- $ 76,130 $ 245,913 ================= ================ SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 6,646 17,352 ================= ================ NET ASSET VALUE PER SHARE $ 11.46 $ 14.17 ================= ================ (a) Including securities on loan of: $ - $ 7,288 (b) Premiums from options written - - (c) Foreign currency cost - - JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2003 JNL/Eagle JNL/Janus JNL/Janus JNL/Janus SmallCap Aggressive Balanced Capital ASSETS Equity Fund Growth Fund Fund Growth Fund ----------------- ---------------- ---------------- ------------------ Investments, at cost $ 86,064 $ 206,310 $ 103,414 $ 131,768 ================= ================ ================ ================== Investments, at value (a) $ 111,135 $ 258,434 $ 113,356 $ 158,346 Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest 61 92 745 93 Forward currency contracts - - - - Foreign taxes recoverable - - 3 - Fund shares sold 189 47 363 18 Investment securities sold 301 - 136 - Variation margin - - - - Collateral for securities loaned 3,687 18,818 25,512 11,071 ----------------- ---------------- ---------------- ------------------ TOTAL ASSETS 115,373 277,391 140,115 169,528 ----------------- ---------------- ---------------- ------------------ . LIABILITIES Cash overdraft - - - - Payables: Administrative fees 9 21 9 13 Advisory fees 76 175 79 110 Investment securities purchased 1,569 - 84 71 Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 50 502 159 236 12b-1 service fee (Class A) 10 23 10 14 Variation margin - - - - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned 3,687 18,818 25,512 11,071 ----------------- ---------------- ---------------- ------------------ TOTAL LIABILITIES 5,401 19,539 25,853 11,515 ----------------- ---------------- ---------------- ------------------ NET ASSETS $ 109,972 $ 257,852 $ 114,262 $ 158,013 ================= ================ ================ ================== NET ASSETS CONSIST OF: Paid-in capital $ 104,873 $ 571,107 $ 116,856 $ 503,233 Undistributed (accumulated) net investment income (loss) - - 50 - Accumulated net realized gain (loss) (19,972) (365,379) (12,586) (371,798) Net unrealized appreciation (depreciation) 25,071 52,124 9,942 26,578 ----------------- ---------------- ---------------- ------------------ $ 109,972 $ 257,852 $ 114,262 $ 158,013 ================= ================ ================ ================== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 6,540 14,606 12,332 11,898 ================= ================ ================ ================== NET ASSET VALUE PER SHARE $ 16.81 $ 17.65 $ 9.27 $ 13.28 ================= ================ ================ ================== (a) Including securities on loan of: $ 3,565 $ 18,214 $ 24,903 $ 10,760 (b) Premiums from options written - - - - (c) Foreign currency cost - - - - JNL/Janus JNL/Janus JNL/JPMorgan JNL/Lazard Global Equities Growth & International Mid Cap ASSETS Fund Income Fund Value Fund Value Fund ------------------ ------------------ ------------------- ----------------- Investments, at cost $ 163,134 $ 13,259 $ 25,047 $ 125,642 ================== ================== =================== ================= Investments, at value (a) $ 192,980 $ 15,297 $ 27,940 $ 144,187 Cash 17 - 376 - Foreign currency (c) 1,964 - 395 - Receivables: Dividends and interest 261 16 23 98 Forward currency contracts 3 3 541 - Foreign taxes recoverable 31 1 5 - Fund shares sold 27 1 713 598 Investment securities sold 2,569 256 - - Variation margin - - 8 - Collateral for securities loaned 8,422 1,029 1,501 6,172 ------------------ ------------------ ------------------- ----------------- TOTAL ASSETS 206,274 16,603 31,502 151,055 ------------------ ------------------ ------------------- ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 25 1 3 12 Advisory fees 143 11 18 100 Investment securities purchased 178 12 - 1,842 Income payable - - - - Forward currency contracts 1 26 364 - Fund shares redeemed 199 2 4 118 12b-1 service fee (Class A) 18 2 3 13 Variation margin - - - - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned 8,422 1,029 1,501 6,172 ------------------ ------------------ ------------------- ----------------- TOTAL LIABILITIES 8,986 1,083 1,893 8,257 ------------------ ------------------ ------------------- ----------------- NET ASSETS $ 197,288 $ 15,520 $ 29,609 $ 142,798 ================== ================== =================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 352,752 $ 21,756 $ 29,287 $ 125,149 Undistributed (accumulated) net investment income (loss) (16) 56 (30) 119 Accumulated net realized gain (loss) (185,301) (8,307) (2,828) (1,015) Net unrealized appreciation (depreciation) 29,853 2,015 3,180 18,545 ------------------ ------------------ ------------------- ----------------- $ 197,288 $ 15,520 $ 29,609 $ 142,798 ================== ================== =================== ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 11,321 2,199 3,871 10,854 ================== ================== =================== ================= NET ASSET VALUE PER SHARE $ 17.43 $ 7.06 $ 7.65 $ 13.16 ================== ================== =================== ================= (a) Including securities on loan of: $ 8,029 $ 990 $ 1,426 $ 6,010 (b) Premiums from options written - - - - (c) Foreign currency cost 1,960 - 392 - JNL/Mellon Capital JNL/Lazard Management Small Cap Bond Index ASSETS Value Fund Fund ------------------ ----------------- Investments, at cost $ 132,144 $ 82,825 ================== ================= Investments, at value (a) $ 157,657 $ 83,448 Cash - - Foreign currency (c) - - Receivables: Dividends and interest 149 782 Forward currency contracts - - Foreign taxes recoverable 1 - Fund shares sold 606 405 Investment securities sold 42 3,190 Variation margin - 1 Collateral for securities loaned 7,270 24,738 ------------------ ----------------- TOTAL ASSETS 165,725 112,564 ------------------ ----------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 13 7 Advisory fees 115 26 Investment securities purchased 2,603 4,145 Income payable - - Forward currency contracts - - Fund shares redeemed 519 92 12b-1 service fee (Class A) 14 8 Variation margin - 1 Investment securities sold short, at value - - Options written, at value (b) - - Return of collateral for securities loaned 7,270 24,738 ------------------ ----------------- TOTAL LIABILITIES 10,534 29,017 ------------------ ----------------- NET ASSETS $ 155,191 $ 83,547 ================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 132,307 $ 82,905 Undistributed (accumulated) net investment income (loss) 144 327 Accumulated net realized gain (loss) (2,773) (312) Net unrealized appreciation (depreciation) 25,513 627 ------------------ ----------------- $ 155,191 $ 83,547 ================== ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 11,896 7,976 ================== ================= NET ASSET VALUE PER SHARE $ 13.05 $ 10.47 ================== ================= (a) Including securities on loan of: $ 6,975 $ 24,258 (b) Premiums from options written - - (c) Foreign currency cost - - JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2003 JNL/Mellon Capital JNL/ Management Oppenheimer JNL/ JNL/PIMCO International Global Oppenheimer Total Return ASSETS Index Fund Growth Fund Growth Fund Bond Fund -------------------- ----------------- ---------------- ---------------- Investments, at cost $ 82,030 $ 89,450 $ 29,721 $ 313,008 ==================== ================= ================ ================ Investments, at value (a) $ 96,665 $ 108,160 $ 33,292 $ 316,600 Cash 46 - 1 - Foreign currency (c) 157 1 - 637 Receivables: Dividends and interest 90 78 15 1,300 Forward currency contracts 94 1 - 4 Foreign taxes recoverable 21 11 - - Fund shares sold 189 982 45 477 Investment securities sold - 246 - 3,859 Variation margin 8 - - 122 Collateral for securities loaned 4,349 7,331 3,177 60,797 -------------------- ----------------- ---------------- ---------------- TOTAL ASSETS 101,619 116,810 36,530 383,796 -------------------- ----------------- ---------------- ---------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 11 12 3 26 Advisory fees 30 65 21 156 Investment securities purchased - 4,670 157 1,027 Income payable - - - - Forward currency contracts - 4 - 48 Fund shares redeemed 94 94 176 382 12b-1 service fee (Class A) 9 9 3 29 Swaps agreements, net - - - 9 Investment securities sold short, at value (d) - - - 3,847 Options written, at value (b) - - - 174 Return of collateral for securities loaned 4,349 7,331 3,177 60,797 -------------------- ----------------- ---------------- ---------------- TOTAL LIABILITIES 4,493 12,185 3,537 66,495 -------------------- ----------------- ---------------- ---------------- NET ASSETS $ 97,126 $ 104,625 $ 32,993 $ 317,301 ==================== ================= ================ ================ NET ASSETS CONSIST OF: Paid-in capital $ 83,310 $ 97,210 $ 34,023 $ 303,620 Undistributed (accumulated) net investment income (loss) 115 260 - 5,796 Accumulated net realized gain (loss) (1,205) (11,542) (4,601) 3,048 Net unrealized appreciation (depreciation) 14,906 18,697 3,571 4,837 -------------------- ----------------- ---------------- ---------------- $ 97,126 $ 104,625 $ 32,993 $ 317,301 ==================== ================= ================ ================ SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 8,479 10,338 3,985 26,983 ==================== ================= ================ ================ NET ASSET VALUE PER SHARE $ 11.45 $ 10.12 $ 8.28 $ 11.76 ==================== ================= ================ ================ (a) Including securities on loan of: $ 4,081 $ 6,653 $ 3,068 $ 59,638 (b) Premiums from options written - - - 307 (c) Foreign currency cost 158 1 - 628 (d) Proceeds from securities sold short - - - 3,797 JNL/PPM JNL/PPM JNL/PPM America America JNL/PPM America High Yield Money America ASSETS Balanced Fund Bond Fund Market Fund Value Fund ---------------- ------------------- ------------------ ----------------- Investments, at cost $ 264,698 $ 241,859 $ 185,653 $ 45,813 ================ =================== ================== ================= Investments, at value (a) $ 302,275 $ 260,776 $ 185,653 $ 55,359 Cash - 20 - - Foreign currency (c) - - - - Receivables: Dividends and interest 1,486 5,103 4 77 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 502 603 841 115 Investment securities sold - - - - Variation margin - - - - Collateral for securities loaned 39,165 62,165 - 1,665 ---------------- ------------------- ------------------ ----------------- TOTAL ASSETS 343,428 328,667 186,498 57,216 ---------------- ------------------- ------------------ ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 25 22 16 4 Advisory fees 146 130 67 27 Investment securities purchased - - - 891 Income payable - - 64 - Forward currency contracts - - - - Fund shares redeemed 172 145 1,894 92 12b-1 service fee (Class A) 28 24 17 5 Swaps agreements, net - - - - Investment securities sold short, at value (d) - - - - Options written, at value (b) - - - - Return of collateral for securities loaned 39,165 62,165 - 1,665 ---------------- ------------------- ------------------ ----------------- TOTAL LIABILITIES 39,536 62,486 2,058 2,684 ---------------- ------------------- ------------------ ----------------- NET ASSETS $ 303,892 $ 266,181 $ 184,440 $ 54,532 ================ =================== ================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 266,732 $ 300,363 $ 184,440 $ 43,592 Undistributed (accumulated) net investment income (loss) 376 184 - 523 Accumulated net realized gain (loss) (793) (53,283) - 871 Net unrealized appreciation (depreciation) 37,577 18,917 - 9,546 ---------------- ------------------- ------------------ ----------------- $ 303,892 $ 266,181 $ 184,440 $ 54,532 ================ =================== ================== ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 19,538 30,601 184,440 3,710 ================ =================== ================== ================= NET ASSET VALUE PER SHARE $ 15.55 $ 8.70 $ 1.00 $ 14.70 ================ =================== ================== ================= (a) Including securities on loan of: $ 38,214 $ 60,705 $ - $ 1,618 (b) Premiums from options written - - - - (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - JNL/Putnam JNL/Putnam Equity International ASSETS Fund Equity Fund ----------------- ------------------ Investments, at cost $ 145,828 $ 80,186 ================= ================== Investments, at value (a) $ 164,348 $ 96,900 Cash - - Foreign currency (c) 5 16 Receivables: Dividends and interest 142 165 Forward currency contracts - 183 Foreign taxes recoverable 13 45 Fund shares sold 22 204 Investment securities sold 1,064 515 Variation margin - - Collateral for securities loaned 10,644 6,687 ----------------- ------------------ TOTAL ASSETS 176,238 104,715 ----------------- ------------------ LIABILITIES Cash overdraft - 348 Payables: Administrative fees 14 12 Advisory fees 107 77 Investment securities purchased 454 587 Income payable - - Forward currency contracts - 108 Fund shares redeemed 77 76 12b-1 service fee (Class A) 15 9 Swaps agreements, net - - Investment securities sold short, at value (d) - - Options written, at value (b) - - Return of collateral for securities loaned 10,644 6,687 ----------------- ------------------ TOTAL LIABILITIES 11,311 7,904 ----------------- ------------------ NET ASSETS $ 164,927 $ 96,811 ================= ================== NET ASSETS CONSIST OF: Paid-in capital $ 287,456 $ 122,214 Undistributed (accumulated) net investment income (loss) 695 (13) Accumulated net realized gain (loss) (141,744) (42,185) Net unrealized appreciation (depreciation) 18,520 16,795 ----------------- ------------------ $ 164,927 $ 96,811 ================= ================== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 9,970 10,075 ================= ================== NET ASSET VALUE PER SHARE $ 16.54 $ 9.61 ================= ================== (a) Including securities on loan of: $ 10,312 $ 6,372 (b) Premiums from options written - - (c) Foreign currency cost 5 16 (d) Proceeds from securities sold short - - JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2003 JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P Midcap Value Aggressive Aggressive ASSETS Growth Fund Equity Fund Growth Fund Growth Fund I ----------------- ------------------ ------------------ ------------------ Investments, at cost $ 24,469 $ 276,226 $ 12,657 $ 152,951 ================= ================== ================== ================== Investments, at value (a) $ 28,646 $ 309,752 $ 12,457 $ 163,523 Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest 8 405 - - Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 38 316 - 668 Investment securities sold 679 147 - - Variation margin - - - - Collateral for securities loaned 2,505 9,262 - - ----------------- ------------------ ------------------ ------------------ TOTAL ASSETS 31,876 319,882 12,457 164,191 ----------------- ------------------ ------------------ ------------------ LIABILITIES Cash overdraft - - - - Payables: Administrative fees 2 26 1 7 Advisory fees 20 195 2 20 Investment securities purchased 410 521 - - Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 27 118 1 148 12b-1 service fee (Class A) 3 28 - - Variation margin - - - - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned 2,505 9,262 - - ----------------- ------------------ ------------------ ------------------ TOTAL LIABILITIES 2,967 10,150 4 175 ----------------- ------------------ ------------------ ------------------ NET ASSETS $ 28,909 $ 309,732 $ 12,453 $ 164,016 ================= ================== ================== ================== NET ASSETS CONSIST OF: Paid-in capital $ 49,796 $ 344,005 $ 20,597 $ 184,738 Undistributed (accumulated) net investment income (loss) - - 41 11 Accumulated net realized gain (loss) (25,064) (67,799) (7,985) (31,305) Net unrealized appreciation (depreciation) 4,177 33,526 (200) 10,572 ----------------- ------------------ ------------------ ------------------ $ 28,909 $ 309,732 $ 12,453 $ 164,016 ================= ================== ================== ================== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 4,240 19,253 1,705 15,519 ================= ================== ================== ================== NET ASSET VALUE PER SHARE $ 6.82 $ 16.09 $ 7.30 $ 10.57 ================= ================== ================== ================== (a) Including securities on loan of: $ 2,350 $ 8,955 $ - $ - (b) Premiums from options written - - - - (c) Foreign currency cost - - - - JNL/S&P JNL/S&P JNL/S&P JNL/S&P Aggressive Conservative Conservative Conservative ASSETS Growth Fund II Growth Fund Growth Fund I Growth Fund II -------------------- ------------------ ------------------ ------------------ Investments, at cost $ 3,894 $ 15,087 $ 381,207 $ 13,100 ==================== ================== ================== ================== Investments, at value (a) $ 4,096 $ 15,683 $ 401,852 $ 14,030 Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest - 1 13 - Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold - - 633 - Investment securities sold - - - - Variation margin - - - - Collateral for securities loaned - - - - -------------------- ------------------ ------------------ ------------------ TOTAL ASSETS 4,096 15,684 402,498 14,030 -------------------- ------------------ ------------------ ------------------ LIABILITIES Cash overdraft - - - - Payables: Administrative fees - 1 16 1 Advisory fees 1 2 49 2 Investment securities purchased - - - - Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 203 2 111 8 12b-1 service fee (Class A) - - - - Variation margin - - - - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned - - - - -------------------- ------------------ ------------------ ------------------ TOTAL LIABILITIES 204 5 176 11 -------------------- ------------------ ------------------ ------------------ NET ASSETS $ 3,892 $ 15,679 $ 402,322 $ 14,019 ==================== ================== ================== ================== NET ASSETS CONSIST OF: Paid-in capital $ 5,991 $ 17,248 $ 400,416 $ 15,691 Undistributed (accumulated) net investment income (loss) 32 186 75 265 Accumulated net realized gain (loss) (2,333) (2,351) (18,814) (2,867) Net unrealized appreciation (depreciation) 202 596 20,645 930 -------------------- ------------------ ------------------ ------------------ $ 3,892 $ 15,679 $ 402,322 $ 14,019 ==================== ================== ================== ================== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 447 1,774 36,891 1,506 ==================== ================== ================== ================== NET ASSET VALUE PER SHARE $ 8.70 $ 8.84 $ 10.91 $ 9.31 ==================== ================== ================== ================== (a) Including securities on loan of: $ - $ - $ - $ - (b) Premiums from options written - - - - (c) Foreign currency cost - - - - JNL/S&P JNL/S&P Core Index 100 Core Index 50 ASSETS Fund Fund ------------------ ------------------ Investments, at cost $ 32,039 $ 6,651 ================== ================== Investments, at value (a) $ 36,295 $ 7,634 Cash - - Foreign currency (c) - - Receivables: Dividends and interest - - Forward currency contracts - - Foreign taxes recoverable - - Fund shares sold 143 1 Investment securities sold - - Variation margin - - Collateral for securities loaned - - ------------------ ------------------ TOTAL ASSETS 36,438 7,635 ------------------ ------------------ LIABILITIES Cash overdraft - - Payables: Administrative fees 1 - Advisory fees 4 1 Investment securities purchased - - Income payable - - Forward currency contracts - - Fund shares redeemed 12 5 12b-1 service fee (Class A) - - Variation margin - - Investment securities sold short, at value - - Options written, at value (b) - - Return of collateral for securities loaned - - ------------------ ------------------ TOTAL LIABILITIES 17 6 ------------------ ------------------ NET ASSETS $ 36,421 $ 7,629 ================== ================== NET ASSETS CONSIST OF: Paid-in capital $ 32,103 $ 6,844 Undistributed (accumulated) net investment income (loss) 213 25 Accumulated net realized gain (loss) (151) (223) Net unrealized appreciation (depreciation) 4,256 983 ------------------ ------------------ $ 36,421 $ 7,629 ================== ================== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 3,461 744 ================== ================== NET ASSET VALUE PER SHARE $ 10.52 $ 10.26 ================== ================== (a) Including securities on loan of: $ - $ - (b) Premiums from options written - - (c) Foreign currency cost - - JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2003 JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P Core Index 75 Aggressive Aggressive Equity ASSETS Fund Growth Fund I Growth Fund II Growth Fund I ------------------- ---------------- ------------------ ----------------- Investments, at cost $ 8,706 $ 47,090 $ 1,508 $ 163,898 =================== ================ ================== ================= Investments, at value (a) $ 10,018 $ 50,981 $ 1,515 $ 175,497 Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest - - - - Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 3 388 45 179 Investment securities sold - - - - Variation margin - - - - Collateral for securities loaned - - - - ------------------- ---------------- ------------------ ----------------- TOTAL ASSETS 10,021 51,369 1,560 175,676 ------------------- ---------------- ------------------ ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees - 2 - 7 Advisory fees 1 6 - 21 Investment securities purchased - - - - Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 3 17 - 30 12b-1 service fee (Class A) - - - - Variation margin - - - - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned - - - - ------------------- ---------------- ------------------ ----------------- TOTAL LIABILITIES 4 25 - 58 ------------------- ---------------- ------------------ ----------------- NET ASSETS $ 10,017 $ 51,344 $ 1,560 $ 175,618 =================== ================ ================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 8,773 $ 66,364 $ 3,046 $ 227,203 Undistributed (accumulated) net investment income (loss) 49 35 1 220 Accumulated net realized gain (loss) (117) (18,946) (1,494) (63,404) Net unrealized appreciation (depreciation) 1,312 3,891 7 11,599 ------------------- ---------------- ------------------ ----------------- $ 10,017 $ 51,344 $ 1,560 $ 175,618 =================== ================ ================== ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 964 5,377 174 18,199 =================== ================ ================== ================= NET ASSET VALUE PER SHARE $ 10.39 $ 9.55 $ 8.95 $ 9.65 =================== ================ ================== ================= (a) Including securities on loan of: $ - $ - $ - $ - (b) Premiums from options written - - - - (c) Foreign currency cost - - - - JNL/S&P JNL/S&P JNL/S&P JNL/S&P Equity Moderate Moderate Moderate ASSETS Growth Fund II Growth Fund Growth Fund I Growth Fund II ----------------- ----------------- ----------------- ----------------- Investments, at cost $ 6,151 $ 27,261 $ 571,181 $ 18,094 ================= ================= ================= ================= Investments, at value (a) $ 6,433 $ 28,796 $ 609,418 $ 19,354 Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest - - 10 - Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 11 11 984 - Investment securities sold - - - - Variation margin - - - - Collateral for securities loaned - - - - ----------------- ----------------- ----------------- ----------------- TOTAL ASSETS 6,444 28,807 610,412 19,354 ----------------- ----------------- ----------------- ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees - 1 25 1 Advisory fees 1 3 71 2 Investment securities purchased - - - - Income payable - - - - Forward currency contracts - - - - Fund shares redeemed 4 3 429 19 12b-1 service fee (Class A) - - - - Variation margin - - - - Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned - - - - ----------------- ----------------- ----------------- ----------------- TOTAL LIABILITIES 5 7 525 22 ----------------- ----------------- ----------------- ----------------- NET ASSETS $ 6,439 $ 28,800 $ 609,887 $ 19,332 ================= ================= ================= ================= NET ASSETS CONSIST OF: Paid-in capital $ 10,925 $ 35,664 $ 620,277 $ 22,847 Undistributed (accumulated) net investment income (loss) 9 257 84 271 Accumulated net realized gain (loss) (4,777) (8,656) (48,711) (5,046) Net unrealized appreciation (depreciation) 282 1,535 38,237 1,260 ----------------- ----------------- ----------------- ----------------- $ 6,439 $ 28,800 $ 609,887 $ 19,332 ================= ================= ================= ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 764 3,533 55,101 2,026 ================= ================= ================= ================= NET ASSET VALUE PER SHARE $ 8.42 $ 8.15 $ 11.07 $ 9.54 ================= ================= ================= ================= (a) Including securities on loan of: $ - $ - $ - $ - (b) Premiums from options written - - - - (c) Foreign currency cost - - - - JNL/S&P Very JNL/S&P Very Aggressive Aggressive ASSETS Growth Fund I Growth Fund II ------------------ ----------------- Investments, at cost $ 56,005 $ 2,261 ================== ================= Investments, at value (a) $ 60,176 $ 2,122 Cash - - Foreign currency (c) - - Receivables: Dividends and interest - - Forward currency contracts - - Foreign taxes recoverable - - Fund shares sold 45 - Investment securities sold - - Variation margin - - Collateral for securities loaned - - ------------------ ----------------- TOTAL ASSETS 60,221 2,122 ------------------ ----------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 2 - Advisory fees 7 - Investment securities purchased - - Income payable - - Forward currency contracts - - Fund shares redeemed 19 3 12b-1 service fee (Class A) - - Variation margin - - Investment securities sold short, at value - - Options written, at value (b) - - Return of collateral for securities loaned - - ------------------ ----------------- TOTAL LIABILITIES 28 3 ------------------ ----------------- NET ASSETS $ 60,193 $ 2,119 ================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 85,629 $ 3,698 Undistributed (accumulated) net investment income (loss) 16 - Accumulated net realized gain (loss) (29,623) (1,440) Net unrealized appreciation (depreciation) 4,171 (139) ------------------ ----------------- $ 60,193 $ 2,119 ================== ================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 6,050 233 ================== ================= NET ASSET VALUE PER SHARE $ 9.95 $ 9.09 ================== ================= (a) Including securities on loan of: $ - $ - (b) Premiums from options written - - (c) Foreign currency cost - - JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2003 JNL/Salomon JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers Brothers U.S. Government Balanced Global Bond High Yield & Quality ASSETS Fund Fund Bond Fund Bond Fund --------------------- ------------------ ----------------- ----------------------- Investments, at cost $ 20,514 $ 245,477 $ 18,677 $ 368,925 ===================== ================== ================= ======================= Investments, at value (a) $ 20,735 $ 253,101 $ 19,091 $ 374,036 Cash - 10 1 2 Foreign currency (c) - 116 - - Receivables: Dividends and interest 78 2,598 427 1,415 Forward currency contracts - 337 - - Foreign taxes recoverable - - - - Fund shares sold 23 524 1 278 Investment securities sold 521 - - 4 Variation margin - - - 34 Collateral for securities loaned 2,321 31,238 4,020 21,711 --------------------- ------------------ ----------------- ----------------------- TOTAL ASSETS 23,678 287,924 23,540 397,480 --------------------- ------------------ ----------------- ----------------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 1 16 2 22 Advisory fees 11 119 11 124 Investment securities purchased 2,695 57,539 - 117,831 Income payable - - - - Forward currency contracts - 970 - - Fund shares redeemed 8 87 41 476 12b-1 service fee (Class A) 2 18 2 24 Variation margin - 14 - 18 Investment securities sold short, at value - - - - Options written, at value (b) - - - - Return of collateral for securities loaned 2,321 31,238 4,020 21,711 --------------------- ------------------ ----------------- ----------------------- TOTAL LIABILITIES 5,038 90,001 4,076 140,206 --------------------- ------------------ ----------------- ----------------------- NET ASSETS $ 18,640 $ 197,923 $ 19,464 $ 257,274 ===================== ================== ================= ======================= NET ASSETS CONSIST OF: Paid-in capital $ 17,925 $ 190,264 $ 21,367 $ 251,848 Undistributed (accumulated) net investment income (loss) 274 (85) 27 603 Accumulated net realized gain (loss) 220 839 (2,344) (572) Net unrealized appreciation (depreciation) 221 6,905 414 5,395 --------------------- ------------------ ----------------- ----------------------- $ 18,640 $ 197,923 $ 19,464 $ 257,274 ===================== ================== ================= ======================= SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 1,701 17,363 2,424 22,422 ===================== ================== ================= ======================= NET ASSET VALUE PER SHARE $ 10.96 $ 11.40 $ 8.03 $ 11.47 ===================== ================== ================= ======================= (a) Including securities on loan of: $ 2,277 $ 30,444 $ 3,907 $ 21,337 (b) Premiums from options written - - - - (c) Foreign currency cost - 114 - - JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price Established Mid-Cap Value ASSETS Growth Fund Growth Fund Fund ----------------- ------------------ -------------------- Investments, at cost $ 413,407 $ 302,229 $ 366,466 ================= ================== ==================== Investments, at value (a) $ 473,574 $ 383,112 $ 403,908 Cash - - - Foreign currency (c) 21 - - Receivables: Dividends and interest 423 126 714 Forward currency contracts 2 - - Foreign taxes recoverable 6 - - Fund shares sold 693 1,454 1,120 Investment securities sold 1,577 473 3,609 Variation margin - - - Collateral for securities loaned 17,143 20,916 20,055 ----------------- ------------------ -------------------- TOTAL ASSETS 493,439 406,081 429,406 ----------------- ------------------ -------------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 39 31 32 Advisory fees 272 253 252 Investment securities purchased 1,628 5,066 4,362 Income payable - - - Forward currency contracts - - - Fund shares redeemed 268 240 199 12b-1 service fee (Class A) 43 34 36 Variation margin - - - Investment securities sold short, at value - - - Options written, at value (b) - - - Return of collateral for securities loaned 17,143 20,916 20,055 ----------------- ------------------ -------------------- TOTAL LIABILITIES 19,393 26,540 24,936 ----------------- ------------------ -------------------- NET ASSETS $ 474,046 $ 379,541 $ 404,470 ================= ================== ==================== NET ASSETS CONSIST OF: Paid-in capital $ 514,564 $ 296,736 $ 368,147 Undistributed (accumulated) net investment income (loss) 368 (6) 2,909 Accumulated net realized gain (loss) (101,055) 1,928 (4,028) Net unrealized appreciation (depreciation) 60,169 80,883 37,442 ----------------- ------------------ -------------------- $ 474,046 $ 379,541 $ 404,470 ================= ================== ==================== SHARES OUTSTANDING (NO PAR VALUE), UNLIMITED SHARES AUTHORIZED 28,265 15,251 33,946 ================= ================== ==================== NET ASSET VALUE PER SHARE $ 16.77 $ 24.89 $ 11.92 ================= ================== ==================== (a) Including securities on loan of: $ 16,565 $ 20,174 $ 19,255 (b) Premiums from options written - - - (c) Foreign currency cost 21 - - JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Premier Equity II Small Cap Growth Growth Fund Fund Growth Fund Fund -------------- ----------------- ---------------- --------------- INVESTMENT INCOME Dividends $ 113 $ 167 $ 22 $ 1,576 Interest 10 16 25 51 Foreign taxes withheld (1) - - (25) Securities lending 1 - 14 31 -------------- ----------------- ---------------- --------------- TOTAL INVESTMENT INCOME 123 183 61 1,633 -------------- ----------------- ---------------- --------------- EXPENSES Administrative fees 18 17 23 201 Advisory fees 175 156 236 1,935 Trustees fees - - - 3 Interest expense - - - - Legal fees - - 1 5 Distribution (12b-1) fee 14 7 9 151 12b-1 service fee (Class A) 3 2 4 22 -------------- ----------------- ---------------- --------------- TOTAL EXPENSES 210 182 273 2,317 -------------- ----------------- ---------------- --------------- -------------- ----------------- ---------------- --------------- Fees paid indirectly (14) (7) (9) (151) -------------- ----------------- ---------------- --------------- NET EXPENSES 196 175 264 2,166 -------------- ----------------- ---------------- --------------- -------------- ----------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS) (73) 8 (203) (533) -------------- ----------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 557 (415) (403) 21,391 Foreign currency related items - - - - Futures contracts and options written (1) 125 111 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 4,253 3,945 7,948 39,835 Foreign currency related items - - - - Futures contracts and options written - 33 15 - Investment securities sold short - - - - -------------- ----------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 4,809 3,688 7,671 61,226 -------------- ----------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 4,736 $ 3,696 $ 7,468 $ 60,693 ============== ================= ================ =============== JNL/Curian JNL/Alliance Enhanced JNL/Curian JNL/Curian Capital Growth S&P 500 Stock S&P 400 MidCap S&P 500 Index Fund Index Fund Index Fund Fund -------------- ----------------- ---------------- -------------- INVESTMENT INCOME Dividends $ 1,010 $ 959 $ 428 $ 1,738 Interest 17 14 32 72 Foreign taxes withheld (10) - - - Securities lending 6 1 3 4 -------------- ----------------- ---------------- -------------- TOTAL INVESTMENT INCOME 1,023 974 463 1,814 -------------- ----------------- ---------------- -------------- EXPENSES Administrative fees 104 56 37 100 Advisory fees 794 421 177 481 Trustees fees 2 1 - 1 Interest expense - - - - Legal fees 2 1 1 2 Distribution (12b-1) fee 28 8 3 3 12b-1 service fee (Class A) 11 8 7 17 -------------- ----------------- ---------------- -------------- TOTAL EXPENSES 941 495 225 604 -------------- ----------------- ---------------- -------------- -------------- ----------------- ---------------- -------------- Fees paid indirectly (28) (8) (3) (3) -------------- ----------------- ---------------- -------------- NET EXPENSES 913 487 222 601 -------------- ----------------- ---------------- -------------- -------------- ----------------- ---------------- -------------- NET INVESTMENT INCOME (LOSS) 110 487 241 1,213 -------------- ----------------- ---------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (5,581) 3,413 18 (161) Foreign currency related items - - - - Futures contracts and options written - 206 836 1,480 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 28,034 11,269 11,704 25,439 Foreign currency related items - - - - Futures contracts and options written - 86 6 116 Investment securities sold short - - - - -------------- ----------------- ---------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 22,453 14,974 12,564 26,874 -------------- ----------------- ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 22,563 $ 15,461 $ 12,805 $ 28,087 ============== ================= ================ ============== JNL/Curian JNL/Eagle Small Cap Core Equity Index Fund Fund --------------- -------------- INVESTMENT INCOME Dividends $ 485 $ 3,089 Interest 43 212 Foreign taxes withheld - (16) Securities lending 17 9 --------------- -------------- TOTAL INVESTMENT INCOME 545 3,294 --------------- -------------- EXPENSES Administrative fees 40 183 Advisory fees 194 1,561 Trustees fees - 3 Interest expense - - Legal fees 1 5 Distribution (12b-1) fee 5 73 12b-1 service fee (Class A) 7 22 --------------- -------------- TOTAL EXPENSES 247 1,847 --------------- -------------- --------------- -------------- Fees paid indirectly (5) (73) --------------- -------------- NET EXPENSES 242 1,774 --------------- -------------- --------------- -------------- NET INVESTMENT INCOME (LOSS) 303 1,520 --------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - Investments 701 2,033 Foreign currency related items - - Futures contracts and options written 1,614 - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 13,829 38,762 Foreign currency related items - - Futures contracts and options written 82 - Investment securities sold short - - --------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 16,226 40,795 --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 16,529 $ 42,315 =============== ============== JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Eagle JNL/Janus JNL/Janus JNL/Janus SmallCap Aggressive Balanced Capital Equity Fund Growth Fund Fund Growth Fund --------------- --------------- ----------------- ---------------- INVESTMENT INCOME Dividends $ 218 $ 1,715 $ 640 $ 697 Interest 39 73 1,811 64 Foreign taxes withheld - (50) (13) (2) Securities lending 21 32 29 23 --------------- --------------- ----------------- ---------------- TOTAL INVESTMENT INCOME 278 1,770 2,467 782 --------------- --------------- ----------------- ---------------- EXPENSES Administrative fees 90 235 91 145 Advisory fees 848 2,163 860 1,360 Trustees fees 2 4 2 2 Interest expense - - - - Legal fees 2 6 2 4 Distribution (12b-1) fee 38 91 11 29 12b-1 service fee (Class A) 10 23 10 14 --------------- --------------- ----------------- ---------------- TOTAL EXPENSES 990 2,522 976 1,554 --------------- --------------- ----------------- ---------------- --------------- --------------- ----------------- ---------------- Fees paid indirectly (38) (91) (11) (29) --------------- --------------- ----------------- ---------------- NET EXPENSES 952 2,431 965 1,525 --------------- --------------- ----------------- ---------------- --------------- --------------- ----------------- ---------------- NET INVESTMENT INCOME (LOSS) (674) (661) 1,502 (743) --------------- --------------- ----------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (1,796) 3,046 (342) 443 Foreign currency related items - (951) (1) - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 33,573 68,639 11,100 44,287 Foreign currency related items - 706 - - Futures contracts and options written - - - - Investment securities sold short - - - - --------------- --------------- ----------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 31,777 71,440 10,757 44,730 --------------- --------------- ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 31,103 $ 70,779 $ 12,259 $ 43,987 =============== =============== ================= ================ JNL/Janus JNL/Janus JNL/JPMorgan JNL/Lazard Global Equities Growth & International Mid Cap Fund Income Fund Value Fund Value Fund ------------------ ---------------- ---------------- -------------- INVESTMENT INCOME Dividends $ 3,762 $ 191 $ 210 $ 1,423 Interest 59 34 17 42 Foreign taxes withheld (338) (2) (26) - Securities lending 85 1 4 7 ------------------ ---------------- ---------------- -------------- TOTAL INVESTMENT INCOME 3,568 224 205 1,472 ------------------ ---------------- ---------------- -------------- EXPENSES Administrative fees 276 15 16 99 Advisory fees 1,908 137 104 956 Trustees fees 3 - - 2 Interest expense - - - - Legal fees 5 - - 2 Distribution (12b-1) fee 86 3 - 91 12b-1 service fee (Class A) 18 2 3 13 ------------------ ---------------- ---------------- -------------- TOTAL EXPENSES 2,296 157 123 1,163 ------------------ ---------------- ---------------- -------------- ------------------ ---------------- ---------------- -------------- Fees paid indirectly (86) (3) - (91) ------------------ ---------------- ---------------- -------------- NET EXPENSES 2,210 154 123 1,072 ------------------ ---------------- ---------------- -------------- ------------------ ---------------- ---------------- -------------- NET INVESTMENT INCOME (LOSS) 1,358 70 82 400 ------------------ ---------------- ---------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (17,821) (787) 1,098 5,696 Foreign currency related items (2,706) (27) 192 - Futures contracts and options written - - 185 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 58,340 3,982 2,905 20,555 Foreign currency related items 2,057 (11) 180 - Futures contracts and options written - - 119 - Investment securities sold short - - - - ------------------ ---------------- ---------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 39,870 3,157 4,679 26,251 ------------------ ---------------- ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 41,228 $ 3,227 $ 4,761 $ 26,651 ================== ================ ================ ============== JNL/Mellon Capital JNL/Lazard Management Small Cap Bond Index Value Fund Fund ---------------- ---------------- INVESTMENT INCOME Dividends $ 1,225 $ - Interest 52 2,100 Foreign taxes withheld (2) - Securities lending 27 18 ---------------- ---------------- TOTAL INVESTMENT INCOME 1,302 2,118 ---------------- ---------------- EXPENSES Administrative fees 100 54 Advisory fees 1,009 264 Trustees fees 2 1 Interest expense - - Legal fees 3 1 Distribution (12b-1) fee 74 - 12b-1 service fee (Class A) 14 8 ---------------- ---------------- TOTAL EXPENSES 1,202 328 ---------------- ---------------- ---------------- ---------------- Fees paid indirectly (74) - ---------------- ---------------- NET EXPENSES 1,128 328 ---------------- ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 174 1,790 ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - Investments 2,297 420 Foreign currency related items - - Futures contracts and options written - (30) Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 32,326 (647) Foreign currency related items - - Futures contracts and options written - 17 Investment securities sold short - - ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 34,623 (240) ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 34,797 $ 1,550 ================ ================ JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Mellon Capital JNL/ JNL/ Management Oppenheimer Oppenheimer JNL/PIMCO International Global Growth Total Return Index Fund Growth Fund Fund Bond Fund ----------------- --------------- ---------------- ------------- INVESTMENT INCOME Dividends $ 1,189 $ 1,143 $ 102 $ - Interest 33 39 20 7,562 Foreign taxes withheld (119) (98) - - Securities lending 27 23 2 54 ----------------- --------------- ---------------- ------------- TOTAL INVESTMENT INCOME 1,130 1,107 124 7,616 ----------------- --------------- ---------------- ------------- EXPENSES Administrative fees 75 102 24 270 Advisory fees 243 603 214 1,860 Trustees fees 1 1 - 4 Interest expense - - - - Legal fees 1 2 1 7 Distribution (12b-1) fee - - - - 12b-1 service fee (Class A) 9 9 3 29 ----------------- --------------- ---------------- ------------- TOTAL EXPENSES 329 717 242 2,170 ----------------- --------------- ---------------- ------------- ----------------- --------------- ---------------- ------------- Fees paid indirectly - - - - ----------------- --------------- ---------------- ------------- NET EXPENSES 329 717 242 2,170 ----------------- --------------- ---------------- ------------- ----------------- --------------- ---------------- ------------- NET INVESTMENT INCOME (LOSS) 801 390 (118) 5,446 ----------------- --------------- ---------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (64) (1,086) (447) 1,389 Foreign currency related items 399 (224) - 167 Futures contracts and options written 478 - - 3,030 Investment securities sold short - - - (778) Net change in unrealized appreciation (depreciation) on: Investments 18,275 26,836 4,371 2,052 Foreign currency related items 88 77 - 331 Futures contracts and options written 173 - - 211 Investment securities sold short - - - (50) ----------------- --------------- ---------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 19,349 25,603 3,924 6,352 ----------------- --------------- ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 20,150 $ 25,993 $ 3,806 $ 11,798 ================= =============== ================ ============= JNL/PPM JNL/PPM JNL/PPM America America America JNL/PPM Balanced High Yield Money America Fund Bond Fund Market Fund Value Fund --------------- --------------- ------------- -------------- INVESTMENT INCOME Dividends $ 3,999 $ - $ - $ 765 Interest 4,014 17,184 2,285 4 Foreign taxes withheld - - - - Securities lending 60 130 - 1 --------------- --------------- ------------- -------------- TOTAL INVESTMENT INCOME 8,073 17,314 2,285 770 --------------- --------------- ------------- -------------- EXPENSES Administrative fees 245 209 197 29 Advisory fees 1,691 1,449 1,139 212 Trustees fees 4 4 3 - Interest expense - - - - Legal fees 6 5 5 1 Distribution (12b-1) fee 15 - - 8 12b-1 service fee (Class A) 28 24 17 5 --------------- --------------- ------------- -------------- TOTAL EXPENSES 1,989 1,691 1,361 255 --------------- --------------- ------------- -------------- --------------- --------------- ------------- -------------- Fees paid indirectly (15) - - (8) --------------- --------------- ------------- -------------- NET EXPENSES 1,974 1,691 1,361 247 --------------- --------------- ------------- -------------- --------------- --------------- ------------- -------------- NET INVESTMENT INCOME (LOSS) 6,099 15,623 924 523 --------------- --------------- ------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 5,162 87 - 871 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 38,651 19,401 - 8,332 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - --------------- --------------- ------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 43,813 19,488 - 9,203 --------------- --------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 49,912 $ 35,111 $ 924 $ 9,726 =============== =============== ============= ============== JNL/Putnam JNL/Putnam Equity International Fund Equity Fund ---------------- --------------- INVESTMENT INCOME Dividends $ 2,232 $ 2,206 Interest 10 16 Foreign taxes withheld (9) (258) Securities lending 8 40 ---------------- --------------- TOTAL INVESTMENT INCOME 2,241 2,004 ---------------- --------------- EXPENSES Administrative fees 154 119 Advisory fees 1,371 895 Trustees fees 3 2 Interest expense - - Legal fees 4 2 Distribution (12b-1) fee 105 24 12b-1 service fee (Class A) 15 9 ---------------- --------------- TOTAL EXPENSES 1,652 1,051 ---------------- --------------- ---------------- --------------- Fees paid indirectly (105) (24) ---------------- --------------- NET EXPENSES 1,547 1,027 ---------------- --------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS) 694 977 ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - Investments 1,011 (6,824) Foreign currency related items 4 319 Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 35,302 27,809 Foreign currency related items - 67 Futures contracts and options written - - Investment securities sold short - - ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 36,317 21,371 ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 37,011 $ 22,348 ================ =============== JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P Midcap Value Aggressive Aggressive Growth Fund Equity Fund Growth Fund Growth Fund I ----------------- ----------------- ---------------- ------------------ INVESTMENT INCOME Dividends $ 112 $ 5,705 $ 64 $ 1,420 Interest 7 79 - - Foreign taxes withheld - (14) - - Securities lending 3 9 - - ----------------- ----------------- ---------------- ------------------ TOTAL INVESTMENT INCOME 122 5,779 64 1,420 ----------------- ----------------- ---------------- ------------------ EXPENSES Administrative fees 23 269 6 61 Advisory fees 214 2,335 17 182 Trustees fees - 5 - 2 Interest expense - - - - Legal fees - 7 - 3 Distribution (12b-1) fee 12 131 - - 12b-1 service fee (Class A) 3 28 - - ----------------- ----------------- ---------------- ------------------ TOTAL EXPENSES 252 2,775 23 248 ----------------- ----------------- ---------------- ------------------ ----------------- ----------------- ---------------- ------------------ Fees paid indirectly (12) (131) - - ----------------- ----------------- ---------------- ------------------ NET EXPENSES 240 2,644 23 248 ----------------- ----------------- ---------------- ------------------ ----------------- ----------------- ---------------- ------------------ NET INVESTMENT INCOME (LOSS) (118) 3,135 41 1,172 ----------------- ----------------- ---------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - 11 243 Investments 49 (13,318) (1,613) (1,249) Foreign currency related items - 1 - - Futures contracts and options written 4 - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 6,535 70,396 4,482 29,976 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ----------------- ---------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 6,588 57,079 2,880 28,970 ----------------- ----------------- ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,470 $ 60,214 $ 2,921 $ 30,142 ================= ================= ================ ================== JNL/S&P JNL/S&P JNL/S&P JNL/S&P Aggressive Conservative Conservative Conservative Growth Fund II Growth Fund Growth Fund I Growth Fund II ------------------ --------------- ---------------- --------------- INVESTMENT INCOME Dividends $ 40 $ 215 $ 5,965 $ 293 Interest - - - - Foreign taxes withheld - - - - Securities lending - - - - ------------------ --------------- ---------------- --------------- TOTAL INVESTMENT INCOME 40 215 5,965 293 ------------------ --------------- ---------------- --------------- EXPENSES Administrative fees 2 7 149 7 Advisory fees 6 22 448 20 Trustees fees - - 5 - Interest expense - - - - Legal fees - - 7 - Distribution (12b-1) fee - - - - 12b-1 service fee (Class A) - - - - ------------------ --------------- ---------------- --------------- TOTAL EXPENSES 8 29 609 27 ------------------ --------------- ---------------- --------------- ------------------ --------------- ---------------- --------------- Fees paid indirectly - - - - ------------------ --------------- ---------------- --------------- NET EXPENSES 8 29 609 27 ------------------ --------------- ---------------- --------------- ------------------ --------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS) 32 186 5,356 266 ------------------ --------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies 5 44 1,653 46 Investments (450) (775) (823) (438) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 1,279 3,119 45,400 2,596 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ --------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 834 2,388 46,230 2,204 ------------------ --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 866 $ 2,574 $ 51,586 $ 2,470 ================== =============== ================ =============== JNL/S&P JNL/S&P Core Index 100 Core Index 50 Fund Fund --------------- ------------ INVESTMENT INCOME Dividends $ 261 $ 33 Interest - - Foreign taxes withheld - - Securities lending - - --------------- ------------ TOTAL INVESTMENT INCOME 261 33 --------------- ------------ EXPENSES Administrative fees 12 2 Advisory fees 35 6 Trustees fees - - Interest expense - - Legal fees 1 - Distribution (12b-1) fee - - 12b-1 service fee (Class A) - - --------------- ------------ TOTAL EXPENSES 48 8 --------------- ------------ --------------- ------------ Fees paid indirectly - - --------------- ------------ NET EXPENSES 48 8 --------------- ------------ --------------- ------------ NET INVESTMENT INCOME (LOSS) 213 25 --------------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies 118 11 Investments (122) (98) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 5,077 1,243 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - --------------- ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 5,073 1,156 --------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,286 $ 1,181 =============== ============ JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P Core Index 75 Aggressive Aggressive Equity Fund Growth Fund I Growth Fund II Growth Fund I ------------------ ---------------- ---------------- ---------------- INVESTMENT INCOME Dividends $ 61 $ 114 $ 4 $ 475 Interest - - - - Foreign taxes withheld - - - - Securities lending - - - - ------------------ ---------------- ---------------- ---------------- TOTAL INVESTMENT INCOME 61 114 4 475 ------------------ ---------------- ---------------- ---------------- EXPENSES Administrative fees 3 19 1 62 Advisory fees 10 58 2 187 Trustees fees - 1 - 2 Interest expense - - - - Legal fees - 1 - 3 Distribution (12b-1) fee - - - - 12b-1 service fee (Class A) - - - - ------------------ ---------------- ---------------- ---------------- TOTAL EXPENSES 13 79 3 254 ------------------ ---------------- ---------------- ---------------- ------------------ ---------------- ---------------- ---------------- Fees paid indirectly - - - - ------------------ ---------------- ---------------- ---------------- NET EXPENSES 13 79 3 254 ------------------ ---------------- ---------------- ---------------- ------------------ ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS) 48 35 1 221 ------------------ ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies 27 23 - 70 Investments (102) (821) (281) (3,503) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 1,666 11,363 621 36,661 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 1,591 10,565 340 33,228 ------------------ ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,639 $ 10,600 $ 341 $ 33,449 ================== ================ ================ ================ JNL/S&P JNL/S&P JNL/S&P JNL/S&P Equity Moderate Moderate Moderate Growth Fund II Growth Fund Growth Fund I Growth Fund II ------------------ ------------------ ---------------- -------------- INVESTMENT INCOME Dividends $ 20 $ 310 $ 6,916 $ 306 Interest - - - - Foreign taxes withheld - - - - Securities lending - - - - ------------------ ------------------ ---------------- -------------- TOTAL INVESTMENT INCOME 20 310 6,916 306 ------------------ ------------------ ---------------- -------------- EXPENSES Administrative fees 3 13 216 9 Advisory fees 8 39 641 26 Trustees fees - - 7 - Interest expense - - - - Legal fees - 1 11 - Distribution (12b-1) fee - - - - 12b-1 service fee (Class A) - - - ------------------ ------------------ ---------------- -------------- TOTAL EXPENSES 11 53 875 35 ------------------ ------------------ ---------------- -------------- ------------------ ------------------ ---------------- -------------- Fees paid indirectly - - - - ------------------ ------------------ ---------------- -------------- NET EXPENSES 11 53 875 35 ------------------ ------------------ ---------------- -------------- ------------------ ------------------ ---------------- -------------- NET INVESTMENT INCOME (LOSS) 9 257 6,041 271 ------------------ ------------------ ---------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies 2 66 1,941 47 Investments (478) (1,524) (2,635) (1,023) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 1,809 7,117 84,087 4,258 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ ------------------ ---------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 1,333 5,659 83,393 3,282 ------------------ ------------------ ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,342 $ 5,916 $ 89,434 $ 3,553 ================== ================== ================ ============== JNL/S&P Very JNL/S&P Very Aggressive Aggressive Growth Fund I Growth Fund II ---------------- -------------- INVESTMENT INCOME Dividends $ 110 $ 4 Interest - - Foreign taxes withheld - - Securities lending - - ---------------- -------------- TOTAL INVESTMENT INCOME 110 4 ---------------- -------------- EXPENSES Administrative fees 23 1 Advisory fees 70 3 Trustees fees - - Interest expense - - Legal fees 1 - Distribution (12b-1) fee - - 12b-1 service fee (Class A) - - ---------------- -------------- TOTAL EXPENSES 94 4 ---------------- -------------- ---------------- -------------- Fees paid indirectly - - ---------------- -------------- NET EXPENSES 94 4 ---------------- -------------- ---------------- -------------- NET INVESTMENT INCOME (LOSS) 16 - ---------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies 37 1 Investments (1,736) (205) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 14,557 701 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ---------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 12,858 497 ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 12,874 $ 497 ================ ============== JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Salomon JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers Brothers U.S. Government Balanced Global Bond High Yield & Quality Fund Fund Bond Fund Bond Fund ----------------- ---------------- ----------------- ----------------- INVESTMENT INCOME Dividends $ 178 $ 57 $ 23 $ - Interest 242 9,435 1,822 11,748 Foreign taxes withheld (2) - - - Securities lending 3 67 12 129 ----------------- ---------------- ----------------- ----------------- TOTAL INVESTMENT INCOME 421 9,559 1,857 11,877 ----------------- ---------------- ----------------- ----------------- EXPENSES Administrative fees 17 160 20 294 Advisory fees 131 1,334 157 1,960 Trustees fees - 3 - 5 Interest expense - - - - Legal fees - 4 - 8 Distribution (12b-1) fee - - - - 12b-1 service fee (Class A) 2 18 2 24 ----------------- ---------------- ----------------- ----------------- TOTAL EXPENSES 150 1,519 179 2,291 ----------------- ---------------- ----------------- ----------------- ----------------- ---------------- ----------------- ----------------- Fees paid indirectly - - - - ----------------- ---------------- ----------------- ----------------- NET EXPENSES 150 1,519 179 2,291 ----------------- ---------------- ----------------- ----------------- ----------------- ---------------- ----------------- ----------------- NET INVESTMENT INCOME (LOSS) 271 8,040 1,678 9,586 ----------------- ---------------- ----------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 236 5,683 282 1,988 Foreign currency related items - 65 - - Futures contracts and options written - (196) - (891) Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 2,116 6,751 2,578 (6,247) Foreign currency related items - (585) - - Futures contracts and options written - (134) - (1,305) Investment securities sold short - - - - ----------------- ---------------- ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 2,352 11,584 2,860 (6,455) ----------------- ---------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,623 $ 19,624 $ 4,538 $ 3,131 ================= ================ ================= ================= JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price Established Mid-Cap Value Growth Fund Growth Fund Fund ----------------- ---------------- --------------- INVESTMENT INCOME Dividends $ 3,837 $ 1,094 $ 5,576 Interest 123 165 110 Foreign taxes withheld (48) (12) (30) Securities lending 20 14 37 ----------------- ---------------- --------------- TOTAL INVESTMENT INCOME 3,932 1,261 5,693 ----------------- ---------------- --------------- EXPENSES Administrative fees 369 293 277 Advisory fees 2,981 2,679 2,448 Trustees fees 6 5 5 Interest expense - - - Legal fees 9 7 7 Distribution (12b-1) fee 76 43 60 12b-1 service fee (Class A) 43 34 36 ----------------- ---------------- --------------- TOTAL EXPENSES 3,484 3,061 2,833 ----------------- ---------------- --------------- ----------------- ---------------- --------------- Fees paid indirectly (76) (43) (60) ----------------- ---------------- --------------- NET EXPENSES 3,408 3,018 2,773 ----------------- ---------------- --------------- ----------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS) 524 (1,757) 2,920 ----------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from investment companies - - - Investments (9,452) 16,865 806 Foreign currency related items (130) (7) (12) Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 109,404 80,745 76,421 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ----------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 99,822 97,603 77,215 ----------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 100,346 $ 95,846 $ 80,135 ================= ================ =============== JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Premier Equity II Small Cap Growth OPERATIONS Growth Fund Fund Growth Fund Fund ----------------- ---------------- ----------------- ----------------- Net investment income (loss) $ (73) $ 8 $ (203) $ (533) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 557 (415) (403) 21,391 Foreign currency related items - - - - Futures contracts and options written (1) 125 111 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 4,253 3,945 7,948 39,835 Foreign currency related items - - - - Futures contracts and options written - 33 15 - Investment securities sold short - - - - ----------------- ---------------- ----------------- ----------------- ----------------- ---------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 4,736 3,696 7,468 60,693 ----------------- ---------------- ----------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - - - From net realized gains on investment transactions - - - - ----------------- ---------------- ----------------- ----------------- ----------------- ---------------- ----------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - - ----------------- ---------------- ----------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 36,498 12,313 37,760 63,061 Reinvestment of distributions - - - - Cost of shares redeemed (11,670) (4,879) (14,203) (54,526) ----------------- ---------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 24,828 7,434 23,557 8,535 ----------------- ---------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 29,564 11,130 31,025 69,228 NET ASSETS BEGINNING OF PERIOD 6,857 12,647 12,915 175,439 ----------------- ---------------- ----------------- ----------------- NET ASSETS END OF PERIOD $ 36,421 $ 23,777 $ 43,940 $ 244,667 ================= ================ ================= ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ 8 $ - $ - ================= ================ ================= ================= (1)SHARE TRANSACTIONS Shares sold 3,870 1,430 3,751 4,871 Reinvestment of distributions - - - - Shares redeemed (1,277) (577) (1,519) (4,374) ----------------- ---------------- ----------------- ----------------- Net increase (decrease) 2,593 853 2,232 497 ================= ================ ================= ================= JNL/Curian JNL/Alliance Enhanced JNL/Curian JNL/Curian Capital Growth S&P 500 Stock S&P 400 MidCap S&P 500 Index OPERATIONS Fund Index Fund Index Fund Fund ------------------ ------------------ ----------------- ---------------- Net investment income (loss) $ 110 $ 487 $ 241 $ 1,213 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (5,581) 3,413 18 (161) Foreign currency related items - - - - Futures contracts and options written - 206 836 1,480 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 28,034 11,269 11,704 25,439 Foreign currency related items - - - - Futures contracts and options written - 86 6 116 Investment securities sold short - - - - ------------------ ------------------ ----------------- ---------------- ------------------ ------------------ ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 22,563 15,461 12,805 28,087 ------------------ ------------------ ----------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (236) (230) (1,511) From net realized gains on investment transactions - - - (588) ------------------ ------------------ ----------------- ---------------- ------------------ ------------------ ----------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (236) (230) (2,099) ------------------ ------------------ ----------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 60,050 57,742 63,260 144,444 Reinvestment of distributions - 236 230 2,099 Cost of shares redeemed (40,986) (26,206) (7,716) (28,969) ------------------ ------------------ ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 19,064 31,772 55,774 117,574 ------------------ ------------------ ----------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 41,627 46,997 68,349 143,562 NET ASSETS BEGINNING OF PERIOD 86,891 42,071 12,728 46,776 ------------------ ------------------ ----------------- ---------------- NET ASSETS END OF PERIOD $ 128,518 $ 89,068 $ 81,077 $ 190,338 ================== ================== ================= ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 110 $ 486 $ 12 $ 5 ================== ================== ================= ================ (1)SHARE TRANSACTIONS Shares sold 6,822 8,328 6,347 16,481 Reinvestment of distributions - 30 20 218 Shares redeemed (4,753) (3,957) (788) (3,351) ------------------ ------------------ ----------------- ---------------- Net increase (decrease) 2,069 4,401 5,579 13,348 ================== ================== ================= ================ JNL/Curian JNL/Eagle Small Cap Core Equity OPERATIONS Index Fund Fund ----------------- ------------ Net investment income (loss) $ 303 $ 1,520 Net realized gain (loss) on: Distributions from investment companies - - Investments 701 2,033 Foreign currency related items - - Futures contracts and options written 1,614 - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 13,829 38,762 Foreign currency related items - - Futures contracts and options written 82 - Investment securities sold short - - ----------------- ------------ ----------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 16,529 42,315 ----------------- ------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income (269) (1,494) From net realized gains on investment transactions (498) - ----------------- ------------ ----------------- ------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (767) (1,494) ----------------- ------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 62,400 95,642 Reinvestment of distributions 767 1,494 Cost of shares redeemed (22,826) (41,286) ----------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 40,341 55,850 ----------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS 56,103 96,671 NET ASSETS BEGINNING OF PERIOD 20,027 149,242 ----------------- ------------ NET ASSETS END OF PERIOD $ 76,130 $ 245,913 ================= ============ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 27 $ 61 ================= ============ (1)SHARE TRANSACTIONS Shares sold 6,319 7,545 Reinvestment of distributions 68 107 Shares redeemed (2,263) (3,336) ----------------- ------------ Net increase (decrease) 4,124 4,316 ================= ============ JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Eagle JNL/Janus JNL/Janus JNL/Janus SmallCap Aggressive Balanced Capital OPERATIONS Equity Fund Growth Fund Fund Growth Fund ------------------- ----------------- ---------------- ---------------- Net investment income (loss) $ (674) $ (661) $ 1,502 $ (743) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (1,796) 3,046 (342) 443 Foreign currency related items - (951) (1) - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 33,573 68,639 11,100 44,287 Foreign currency related items - 706 - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------- ----------------- ---------------- ---------------- ------------------- ----------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 31,103 70,779 12,259 43,987 ------------------- ----------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - (1,480) - From net realized gains on investment transactions - - - - ------------------- ----------------- ---------------- ---------------- ------------------- ----------------- ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (1,480) - ------------------- ----------------- ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 39,769 150,530 50,666 54,295 Reinvestment of distributions - - 1,480 - Cost of shares redeemed (37,098) (179,341) (24,254) (75,938) ------------------- ----------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 2,671 (28,811) 27,892 (21,643) ------------------- ----------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 33,774 41,968 38,671 22,344 NET ASSETS BEGINNING OF PERIOD 76,198 215,884 75,591 135,669 ------------------- ----------------- ---------------- ---------------- NET ASSETS END OF PERIOD $ 109,972 $ 257,852 $ 114,262 $ 158,013 =================== ================= ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ - $ 50 $ - =================== ================= ================ ================ (1)SHARE TRANSACTIONS Shares sold 2,814 10,677 5,812 5,213 Reinvestment of distributions - - 162 - Shares redeemed (2,621) (12,638) (2,792) (7,180) ------------------- ----------------- ---------------- ---------------- Net increase (decrease) 193 (1,961) 3,182 (1,967) =================== ================= ================ ================ JNL/Janus JNL/Janus JNL/JPMorgan JNL/Lazard Global Equities Growth & International Mid Cap OPERATIONS Fund Income Fund Value Fund Value Fund ------------------- ----------------- ---------------- ------------- Net investment income (loss) $ 1,358 $ 70 $ 82 $ 400 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (17,821) (787) 1,098 5,696 Foreign currency related items (2,706) (27) 192 - Futures contracts and options written - - 185 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 58,340 3,982 2,905 20,555 Foreign currency related items 2,057 (11) 180 - Futures contracts and options written - - 119 - Investment securities sold short - - - - ------------------- ----------------- ---------------- ------------- ------------------- ----------------- ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 41,228 3,227 4,761 26,651 ------------------- ----------------- ---------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (75) (346) (266) From net realized gains on investment transactions - - - - ----------------- ---------------- ------------- ------------------- ----------------- ---------------- ------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (75) (346) (266) ------------------- ----------------- ---------------- ------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 122,022 4,520 42,706 83,646 Reinvestment of distributions - 75 346 266 Cost of shares redeemed (172,032) (6,067) (23,500) (44,389) ------------------- ----------------- ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (50,010) (1,472) 19,552 39,523 ------------------- ----------------- ---------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS (8,782) 1,680 23,967 65,908 NET ASSETS BEGINNING OF PERIOD 206,070 13,840 5,642 76,890 ------------------- ----------------- ---------------- ------------- NET ASSETS END OF PERIOD $ 197,288 $ 15,520 $ 29,609 $ 142,798 =================== ================= ================ ============= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (16) $ 56 $ (30) $ 119 =================== ================= ================ ============= (1)SHARE TRANSACTIONS Shares sold 8,741 744 6,603 7,350 Reinvestment of distributions - 11 47 20 Shares redeemed (12,071) (990) (3,793) (4,029) ------------------- ----------------- ---------------- ------------- Net increase (decrease) (3,330) (235) 2,857 3,341 =================== ================= ================ ============= JNL/Mellon Capital JNL/Lazard Management Small Cap Bond Index OPERATIONS Value Fund Fund --------------- --------------- Net investment income (loss) $ 174 $ 1,790 Net realized gain (loss) on: Distributions from investment companies - - Investments 2,297 420 Foreign currency related items - - Futures contracts and options written - (30) Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 32,326 (647) Foreign currency related items - - Futures contracts and options written - 17 Investment securities sold short - - --------------- --------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 34,797 1,550 --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (1,412) From net realized gains on investment transactions - (925) --------------- --------------- --------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,337) --------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 89,529 61,738 Reinvestment of distributions - 2,337 Cost of shares redeemed (43,694) (14,027) --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 45,835 50,048 --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 80,632 49,261 NET ASSETS BEGINNING OF PERIOD 74,559 34,286 --------------- --------------- NET ASSETS END OF PERIOD $ 155,191 $ 83,547 =============== =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 144 $ 327 =============== =============== (1)SHARE TRANSACTIONS Shares sold 8,192 5,803 Reinvestment of distributions - 222 Shares redeemed (4,225) (1,320) --------------- --------------- Net increase (decrease) 3,967 4,705 =============== =============== JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Mellon Capital JNL/ JNL/ Management Oppenheimer Oppenheimer JNL/PIMCO International Global Growth Total Return OPERATIONS Index Fund Growth Fund Fund Bond Fund ----------------- ---------------- --------------- -------------- Net investment income (loss) 801 390 (118) 5,446 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (64) (1,086) (447) 1,389 Foreign currency related items 399 (224) - 167 Futures contracts and options written 478 - - 3,030 Investment securities sold short - - - (778) Net change in unrealized appreciation (depreciation) on: Investments 18,275 26,836 4,371 2,052 Foreign currency related items 88 77 - 331 Futures contracts and options written 173 - - 211 Investment securities sold short - - - (50) ----------------- ---------------- --------------- -------------- ----------------- ---------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 20,150 25,993 3,806 11,798 ----------------- ---------------- --------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,094) - - (4,512) From net realized gains on investment transactions - - - (5,677) ----------------- ---------------- --------------- -------------- ----------------- ---------------- --------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,094) - - (10,189) ----------------- ---------------- --------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 59,966 105,186 22,341 217,280 Reinvestment of distributions 1,094 - - 10,189 Cost of shares redeemed (9,508) (77,076) (11,000) (123,139) ----------------- ---------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 51,552 28,110 11,341 104,330 ----------------- ---------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 70,608 54,103 15,147 105,939 NET ASSETS BEGINNING OF PERIOD 26,518 50,522 17,846 211,362 ----------------- ---------------- --------------- -------------- NET ASSETS END OF PERIOD $ 97,126 $ 104,625 $ 32,993 $ 317,301 ================= ================ =============== ============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 115 $ 260 $ - $ 5,796 ================= ================ =============== ============== (1)SHARE TRANSACTIONS Shares sold 6,248 13,324 2,913 18,220 Reinvestment of distributions 98 - - 865 Shares redeemed (1,008) (10,002) (1,468) (10,317) ----------------- ---------------- --------------- -------------- Net increase (decrease) 5,338 3,322 1,445 8,768 ================= ================ =============== ============== JNL/PPM JNL/PPM JNL/PPM America America JNL/PPM America High Yield Money America OPERATIONS Balanced Fund Bond Fund Market Fund Value Fund --------------- --------------- ---------------- -------------- Net investment income (loss) 6,099 15,623 924 523 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 5,162 87 - 871 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 38,651 19,401 - 8,332 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - --------------- --------------- ---------------- -------------- --------------- --------------- ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 49,912 35,111 924 9,726 --------------- --------------- ---------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (5,687) (15,485) (924) (96) From net realized gains on investment transactions (2,244) - - (207) --------------- --------------- ---------------- -------------- --------------- --------------- ---------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,931) (15,485) (924) (303) --------------- --------------- ---------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 91,878 140,642 591,660 34,874 Reinvestment of distributions 7,931 15,485 924 303 Cost of shares redeemed (54,911) (70,666) (622,664) (8,072) --------------- --------------- ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 44,898 85,461 (30,080) 27,105 --------------- --------------- ---------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 86,879 105,087 (30,080) 36,528 NET ASSETS BEGINNING OF PERIOD 217,013 161,094 214,520 18,004 --------------- --------------- ---------------- -------------- NET ASSETS END OF PERIOD $ 303,892 $ 266,181 $ 184,440 $ 54,532 =============== =============== ================ ============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 376 $ 184 $ - $ 523 =============== =============== ================ ============== (1)SHARE TRANSACTIONS Shares sold 6,381 16,425 591,660 2,693 Reinvestment of distributions 517 1,786 924 21 Shares redeemed (3,878) (8,294) (622,664) (645) --------------- --------------- ---------------- -------------- Net increase (decrease) 3,020 9,917 (30,080) 2,069 =============== =============== ================ ============== JNL/Putnam JNL/Putnam Equity International OPERATIONS Fund Equity Fund --------------- -------------- Net investment income (loss) 694 977 Net realized gain (loss) on: Distributions from investment companies - - Investments 1,011 (6,824) Foreign currency related items 4 319 Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 35,302 27,809 Foreign currency related items - 67 Futures contracts and options written - - Investment securities sold short - - --------------- -------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 37,011 22,348 --------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (486) (1,395) From net realized gains on investment transactions - - --------------- -------------- --------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (486) (1,395) --------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 49,306 137,550 Reinvestment of distributions 486 1,395 Cost of shares redeemed (74,693) (141,359) --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (24,901) (2,414) --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 11,624 18,539 NET ASSETS BEGINNING OF PERIOD 153,303 78,272 --------------- -------------- NET ASSETS END OF PERIOD $ 164,927 $ 96,811 =============== ============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 695 $ (13) =============== ============== (1)SHARE TRANSACTIONS Shares sold 3,591 17,928 Reinvestment of distributions 30 150 Shares redeemed (5,406) (18,310) --------------- -------------- Net increase (decrease) (1,785) (232) =============== ============== JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P Midcap Value Aggressive Aggressive OPERATIONS Growth Fund Equity Fund Growth Fund Growth Fund I ---------------- ------------- ------------- -------------- Net investment income (loss) (118) 3,135 41 1,172 Net realized gain (loss) on: Distributions from investment companies - - 11 243 Investments 49 (13,318) (1,613) (1,249) Foreign currency related items - 1 - - Futures contracts and options written 4 - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 6,535 70,396 4,482 29,976 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ---------------- ------------- ------------- -------------- ---------------- ------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 6,470 60,214 2,921 30,142 ---------------- ------------- ------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (3,298) (32) (1,956) From net realized gains on investment transactions - - - - ---------------- ------------- ------------- -------------- ---------------- ------------- ------------- -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (3,298) (32) (1,956) ---------------- ------------- ------------- -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 23,901 66,850 1,334 59,755 Reinvestment of distributions - 3,298 32 1,956 Cost of shares redeemed (20,109) (73,432) (3,522) (22,991) ---------------- ------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 3,792 (3,284) (2,156) 38,720 ---------------- ------------- ------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS 10,262 53,632 733 66,906 NET ASSETS BEGINNING OF PERIOD 18,647 256,100 11,720 97,110 ---------------- ------------- ------------- -------------- NET ASSETS END OF PERIOD $ 28,909 $ 309,732 $ 12,453 $ 164,016 ================ ============= ============= ============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ - $ 41 $ 11 ================ ============= ============= ============== (1)SHARE TRANSACTIONS Shares sold 4,195 4,659 212 6,325 Reinvestment of distributions - 210 4 189 Shares redeemed (3,601) (5,230) (579) (2,495) ---------------- ------------- ------------- -------------- Net increase (decrease) 594 (361) (363) 4,019 ================ ============= ============= ============== JNL/S&P JNL/S&P JNL/S&P JNL/S&P Aggressive Conservative Conservative Conservative OPERATIONS Growth Fund II Growth Fund Growth Fund I Growth Fund II ---------------- -------------- -------------- --------------- Net investment income (loss) 32 186 5,356 266 Net realized gain (loss) on: Distributions from investment companies 5 44 1,653 46 Investments (450) (775) (823) (438) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 1,279 3,119 45,400 2,596 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ---------------- -------------- -------------- --------------- ---------------- -------------- -------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 866 2,574 51,586 2,470 ---------------- -------------- -------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (35) (158) (8,874) (259) From net realized gains on investment transactions - - - - ---------------- -------------- -------------- --------------- ---------------- -------------- -------------- --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (35) (158) (8,874) (259) ---------------- -------------- -------------- --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 660 2,114 185,638 3,259 Reinvestment of distributions 35 158 8,874 259 Cost of shares redeemed (1,607) (3,166) (62,735) (4,306) ---------------- -------------- -------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (912) (894) 131,777 (788) ---------------- -------------- -------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS (81) 1,522 174,489 1,423 NET ASSETS BEGINNING OF PERIOD 3,973 14,157 227,833 12,596 ---------------- -------------- -------------- --------------- NET ASSETS END OF PERIOD $ 3,892 $ 15,679 $ 402,322 $ 14,019 ================ ============== ============== =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 32 $ 186 $ 75 $ 265 ================ ============== ============== =============== (1)SHARE TRANSACTIONS Shares sold 82 260 18,230 381 Reinvestment of distributions 4 18 824 28 Shares redeemed (210) (397) (6,190) (506) ---------------- -------------- -------------- --------------- Net increase (decrease) (124) (119) 12,864 (97) ================ ============== ============== =============== JNL/S&P JNL/S&P Core Index 100 Core Index 50 Fund Fund OPERATIONS --------------- ------------- 213 25 Net investment income (loss) Net realized gain (loss) on: 118 11 Distributions from investment companies (122) (98) Investments - - Foreign currency related items - - Futures contracts and options written - - Investment securities sold short Net change in unrealized appreciation (depreciation) on: 5,077 1,243 Investments - - Foreign currency related items - - Futures contracts and options written - - Investment securities sold short --------------- ------------- --------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS 5,286 1,181 FROM OPERATIONS --------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS (116) (3) From net investment income From net realized gains on (54) - investment transactions --------------- ------------- --------------- ------------- (170) (3) TOTAL DISTRIBUTIONS TO SHAREHOLDERS --------------- ------------- SHARE TRANSACTIONS(1) 21,978 5,239 Proceeds from the sale of shares 170 3 Reinvestment of distributions (5,056) (760) Cost of shares redeemed --------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM 17,092 4,482 SHARE TRANSACTIONS --------------- ------------- 22,208 5,660 NET INCREASE (DECREASE) IN NET ASSETS 14,213 1,969 NET ASSETS BEGINNING OF PERIOD --------------- ------------- $ 36,421 $ 7,629 NET ASSETS END OF PERIOD =============== ============= UNDISTRIBUTED (ACCUMULATED) NET $ 213 $ 25 INVESTMENT INCOME (LOSS) =============== ============= (1)SHARE TRANSACTIONS Shares sold 2,336 583 Reinvestment of distributions 16 - Shares redeemed (533) (90) --------------- ------------- Net increase (decrease) 1,819 493 =============== ============= JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P Core Index 75 Aggressive Aggressive Equity Fund Growth Fund I Growth Fund II Growth Fund I OPERATIONS --------------- -------------- --------------- --------------- 48 35 1 221 Net investment income (loss) Net realized gain (loss) on: 27 23 - 70 Distributions from investment companies (102) (821) (281) (3,503) Investments - - - - Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short Net change in unrealized appreciation (depreciation) on: 1,666 11,363 621 36,661 Investments - - - - Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short --------------- -------------- --------------- --------------- --------------- -------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 1,639 10,600 341 33,449 FROM OPERATIONS --------------- -------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS (26) (2) (1) (20) From net investment income From net realized gains on (14) - - - investment transactions --------------- -------------- --------------- --------------- --------------- -------------- --------------- --------------- (40) (2) (1) (20) TOTAL DISTRIBUTIONS TO SHAREHOLDERS --------------- -------------- --------------- --------------- SHARE TRANSACTIONS(1) 6,042 16,939 289 63,227 Proceeds from the sale of shares 40 2 1 20 Reinvestment of distributions (2,124) (7,567) (580) (26,188) Cost of shares redeemed --------------- -------------- --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM 3,958 9,374 (290) 37,059 SHARE TRANSACTIONS --------------- -------------- --------------- --------------- 5,557 19,972 50 70,488 NET INCREASE (DECREASE) IN NET ASSETS 4,460 31,372 1,510 105,130 NET ASSETS BEGINNING OF PERIOD --------------- -------------- --------------- --------------- $ 10,017 $ 51,344 $ 1,560 $ 175,618 NET ASSETS END OF PERIOD =============== ============== =============== =============== UNDISTRIBUTED (ACCUMULATED) NET $ 49 $ 35 $ 1 $ 220 INVESTMENT INCOME (LOSS) =============== ============== =============== =============== (1)SHARE TRANSACTIONS Shares sold 654 2,047 36 7,379 Reinvestment of distributions 4 - - 2 Shares redeemed (235) (939) (78) (3,285) --------------- -------------- --------------- --------------- Net increase (decrease) 423 1,108 (42) 4,096 =============== ============== =============== =============== JNL/S&P JNL/S&P JNL/S&P JNL/S&P Equity Moderate Moderate Moderate Growth Fund II Growth Fund Growth Fund I Growth Fund II OPERATIONS ---------------- --------------- ---------------- ---------------- 9 257 6,041 271 Net investment income (loss) Net realized gain (loss) on: 2 66 1,941 47 Distributions from investment companies (478) (1,524) (2,635) (1,023) Investments - - - - Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short Net change in unrealized appreciation (depreciation) on: 1,809 7,117 84,087 4,258 Investments - - - - Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short ---------------- --------------- ---------------- ---------------- ---------------- --------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 1,342 5,916 89,434 3,553 FROM OPERATIONS ---------------- --------------- ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS (8) (189) (9,969) (243) From net investment income From net realized gains on - - - - investment transactions ---------------- --------------- ---------------- ---------------- ---------------- --------------- ---------------- ---------------- (8) (189) (9,969) (243) TOTAL DISTRIBUTIONS TO SHAREHOLDERS ---------------- --------------- ---------------- ---------------- SHARE TRANSACTIONS(1) 1,094 3,589 280,481 3,947 Proceeds from the sale of shares 8 189 9,969 243 Reinvestment of distributions (1,444) (6,209) (91,571) (4,641) Cost of shares redeemed ---------------- --------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM (342) (2,431) 198,879 (451) SHARE TRANSACTIONS ---------------- --------------- ---------------- ---------------- 992 3,296 278,344 2,859 NET INCREASE (DECREASE) IN NET ASSETS 5,447 25,504 331,543 16,473 NET ASSETS BEGINNING OF PERIOD ---------------- --------------- ---------------- ---------------- $ 6,439 $ 28,800 $ 609,887 $ 19,332 NET ASSETS END OF PERIOD ================ =============== ================ ================ UNDISTRIBUTED (ACCUMULATED) NET $ 9 $ 257 $ 84 $ 271 INVESTMENT INCOME (LOSS) ================ =============== ================ ================ (1)SHARE TRANSACTIONS Shares sold 143 494 27,588 455 Reinvestment of distributions - 23 915 26 Shares redeemed (201) (885) (9,227) (554) ---------------- --------------- ---------------- ---------------- Net increase (decrease) (58) (368) 19,276 (73) ================ =============== ================ ================ JNL/S&P Very JNL/S&P Very Aggressive Aggressive Growth Fund I Growth Fund II OPERATIONS ----------------- ----------------- 16 - Net investment income (loss) Net realized gain (loss) on: 37 1 Distributions from investment companies (1,736) (205) Investments - - Foreign currency related items - - Futures contracts and options written - - Investment securities sold short Net change in unrealized appreciation (depreciation) on: 14,557 701 Investments - - Foreign currency related items - - Futures contracts and options written - - Investment securities sold short ----------------- ----------------- ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 12,874 497 FROM OPERATIONS ----------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS - - From net investment income From net realized gains on - - investment transactions ----------------- ----------------- ----------------- ----------------- - - TOTAL DISTRIBUTIONS TO SHAREHOLDERS ----------------- ----------------- SHARE TRANSACTIONS(1) 15,980 170 Proceeds from the sale of shares - - Reinvestment of distributions (10,789) (446) Cost of shares redeemed ----------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM 5,191 (276) SHARE TRANSACTIONS ----------------- ----------------- 18,065 221 NET INCREASE (DECREASE) IN NET ASSETS 42,128 1,898 NET ASSETS BEGINNING OF PERIOD ----------------- ----------------- $ 60,193 $ 2,119 NET ASSETS END OF PERIOD ================= ================= UNDISTRIBUTED (ACCUMULATED) NET $ 16 $ - INVESTMENT INCOME (LOSS) ================= ================= (1)SHARE TRANSACTIONS Shares sold 1,814 21 Reinvestment of distributions - - Shares redeemed (1,296) (56) ----------------- ----------------- Net increase (decrease) 518 (35) ================= ================= JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Salomon JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers Brothers U.S. Government Balanced Global Bond High Yield & Quality OPERATIONS Fund Fund Bond Fund Bond Fund ----------------- ----------------- ---------------- ----------------- Net investment income (loss) 271 8,040 1,678 9,586 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 236 5,683 282 1,988 Foreign currency related items - 65 - - Futures contracts and options written - (196) - (891) Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 2,116 6,751 2,578 (6,247) Foreign currency related items - (585) - - Futures contracts and options written - (134) - (1,305) Investment securities sold short - - - - ----------------- ----------------- ---------------- ----------------- ----------------- ----------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 2,623 19,624 4,538 3,131 ----------------- ----------------- ---------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (359) (8,348) (1,671) (8,985) From net realized gains on investment transactions - (2,473) - (3,071) ----------------- ----------------- ---------------- ----------------- ----------------- ----------------- ---------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (359) (10,821) (1,671) (12,056) ----------------- ----------------- ---------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 5,071 103,967 14,252 116,258 Reinvestment of distributions 359 10,821 1,671 12,056 Cost of shares redeemed (4,507) (51,549) (16,405) (166,380) ----------------- ----------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 923 63,239 (482) (38,066) ----------------- ----------------- ---------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 3,187 72,042 2,385 (46,991) NET ASSETS BEGINNING OF PERIOD 15,453 125,881 17,079 304,265 ----------------- ----------------- ---------------- ----------------- NET ASSETS END OF PERIOD $ 18,640 $ 197,923 $ 19,464 $ 257,274 ================= ================= ================ ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 274 $ (85) $ 27 $ 603 ================= ================= ================ ================= (1)SHARE TRANSACTIONS Shares sold 494 9,069 1,863 9,701 Reinvestment of distributions 34 949 209 1,046 Shares redeemed (445) (4,502) (2,095) (13,912) ----------------- ----------------- ---------------- ----------------- Net increase (decrease) 83 5,516 (23) (3,165) ================= ================= ================ ================= JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price Established Mid-Cap Value OPERATIONS Growth Fund Growth Fund Fund --------------- ------------ --------------- Net investment income (loss) 524 (1,757) 2,920 Net realized gain (loss) on: Distributions from investment companies - - - Investments (9,452) 16,865 806 Foreign currency related items (130) (7) (12) Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 109,404 80,745 76,421 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - --------------- ------------ --------------- --------------- ------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 100,346 95,846 80,135 --------------- ------------ --------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (118) - (2,064) From net realized gains on investment transactions - (1,870) - --------------- ------------ --------------- --------------- ------------ --------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (118) (1,870) (2,064) --------------- ------------ --------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 151,073 186,200 176,771 Reinvestment of distributions 118 1,870 2,064 Cost of shares redeemed (93,740) (150,832) (72,542) --------------- ------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 57,451 37,238 106,293 --------------- ------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS 157,679 131,214 184,364 NET ASSETS BEGINNING OF PERIOD 316,367 248,327 220,106 --------------- ------------ --------------- NET ASSETS END OF PERIOD $ 474,046 $ 379,541 $ 404,470 =============== ============ =============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 368 $ (6) $ 2,909 =============== ============ =============== (1)SHARE TRANSACTIONS Shares sold 10,368 9,080 17,188 Reinvestment of distributions 7 77 178 Shares redeemed (6,729) (7,666) (7,283) --------------- ------------ --------------- Net increase (decrease) 3,646 1,491 10,083 =============== ============ =============== JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED DECEMBER 31, 2002 JNL/AIM JNL/AIM JNL/AIM JNL/Alger Large Cap Premier Equity II Small Cap Growth OPERATIONS Growth Fund Fund Growth Fund Fund -------------------- ------------------- ----------------------- ------------------- Net investment income (loss) $ (27) $ (53) $ (109) $ (616) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (1,780) (2,475) (2,006) (87,623) Foreign currency related items (3) - - - Futures contracts and options written - (43) 18 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (557) (2,527) (2,207) (14,976) Foreign currency related items - - - - Futures contracts and options written - (11) - - Investment securities sold short - - - - -------------------- ------------------- ----------------------- ------------------- -------------------- ------------------- ----------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (2,367) (5,109) (4,304) (103,215) -------------------- ------------------- ----------------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - - - From net realized gains on investment transactions (13) (48) (1) - -------------------- ------------------- ----------------------- ------------------- -------------------- ------------------- ----------------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (13) (48) (1) - -------------------- ------------------- ----------------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 12,961 23,625 38,031 41,477 Reinvestment of distributions 13 48 1 - Cost of shares redeemed (9,795) (19,970) (28,477) (103,985) -------------------- ------------------- ----------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 3,179 3,703 9,555 (62,508) -------------------- ------------------- ----------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 799 (1,454) 5,250 (165,723) NET ASSETS BEGINNING OF PERIOD 6,058 14,101 7,665 341,162 -------------------- ------------------- ----------------------- ------------------- NET ASSETS END OF PERIOD $ 6,857 $ 12,647 $ 12,915 $ 175,439 ==================== =================== ======================= =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ - $ - $ - ==================== =================== ======================= =================== (1)SHARE TRANSACTIONS Shares sold 1,428 2,537 3,932 3,116 Reinvestment of distributions 2 6 - - Shares redeemed (1,142) (2,217) (3,061) (7,924) -------------------- ------------------- ----------------------- ------------------- Net increase (decrease) 288 326 871 (4,808) --------------------------------------------- ==================== =================== ======================= =================== JNL/Alliance JNL/Eagle JNL/Eagle JNL/Janus Capital Growth Core Equity SmallCap Aggressive OPERATIONS Fund Fund Equity Fund Growth Fund --------------------- -------------------- --------------------- -------------------- Net investment income (loss) $ (110) $ 1,243 $ (514) $ (561) Net realized gain (loss) on: Distributions from investment companies - - - - Investments (30,265) (25,946) (13,677) (139,117) Foreign currency related items - - - (270) Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (11,902) (12,912) (17,086) 22,621 Foreign currency related items - - - (899) Futures contracts and options written - - - - Investment securities sold short - - - - --------------------- -------------------- --------------------- -------------------- --------------------- -------------------- --------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (42,277) (37,615) (31,277) (118,226) --------------------- -------------------- --------------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (1,248) - - From net realized gains on investment transactions - - - - --------------------- -------------------- --------------------- -------------------- --------------------- -------------------- --------------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (1,248) - - --------------------- -------------------- --------------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 125,218 72,061 79,005 416,638 Reinvestment of distributions - 1,248 - - Cost of shares redeemed (136,561) (60,017) (84,497) (519,474) --------------------- -------------------- --------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (11,343) 13,292 (5,492) (102,836) --------------------- -------------------- --------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS (53,620) (25,571) (36,769) (221,062) NET ASSETS BEGINNING OF PERIOD 140,511 174,813 112,967 436,946 --------------------- -------------------- --------------------- -------------------- NET ASSETS END OF PERIOD $ 86,891 $ 149,242 $ 76,198 $ 215,884 ===================== ==================== ===================== ==================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ 39 $ - $ 173 ===================== ==================== ===================== ==================== (1)SHARE TRANSACTIONS Shares sold 13,255 5,600 5,794 27,211 Reinvestment of distributions - 109 - - Shares redeemed (14,516) (4,706) (6,712) (34,198) --------------------- -------------------- --------------------- -------------------- Net increase (decrease) (1,261) 1,003 (918) (6,987) ---------------------------------------------===================== ==================== ===================== ==================== JNL/Janus JNL/Janus Balanced Capital OPERATIONS Fund Growth Fund ---------------------- ------------------- Net investment income (loss) $ 1,741 $ (952) Net realized gain (loss) on: Distributions from investment companies - - Investments (6,500) (92,551) Foreign currency related items 1 - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments (1,199) 22,172 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ---------------------- ------------------- ---------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (5,957) (71,331) ---------------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,740) - From net realized gains on investment transactions - - ---------------------- ------------------- ---------------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,740) - ---------------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 42,983 152,380 Reinvestment of distributions 1,740 - Cost of shares redeemed (33,716) (206,106) ---------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 11,007 (53,726) ---------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 3,310 (125,057) NET ASSETS BEGINNING OF PERIOD 72,281 260,726 ---------------------- ------------------- NET ASSETS END OF PERIOD $ 75,591 $ 135,669 ====================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 20 $ - ====================== =================== (1)SHARE TRANSACTIONS Shares sold 4,853 13,362 Reinvestment of distributions 211 - Shares redeemed (3,905) (18,349) ---------------------- ------------------- Net increase (decrease) 1,159 (4,987) ---------------------------------------------====================== =================== (a) Period from January 15, 2002 (commencement of operations). JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED DECEMBER 31, 2002 JNL/Curian JNL/Janus JNL/Janus Enhanced JNL/JPMorgan Global Equities Growth & S&P 500 Stock International OPERATIONS Fund Income Fund Index Fund Value Fund ------------------- ----------------- ---------------- ------------------ Net investment income (loss) $ 1,325 $ 88 $ 236 $ 65 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (79,115) (2,675) (5,274) (1,675) Foreign currency related items (1,088) - - 97 Futures contracts and options written - - (131) (391) Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (10,380) (1,665) (4,073) 583 Foreign currency related items (3,352) (12) - (17) Futures contracts and options written - - (22) (23) Investment securities sold short - - - - ------------------- ----------------- ---------------- ------------------ ------------------- ----------------- ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (92,610) (4,264) (9,264) (1,361) ------------------- ----------------- ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,992) - (15) (127) From net realized gains on investment transactions - - - - ------------------- ----------------- ---------------- ------------------ ------------------- ----------------- ---------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,992) - (15) (127) ------------------- ----------------- ---------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 471,991 14,473 37,672 61,382 Reinvestment of distributions 1,992 - 15 127 Cost of shares redeemed (563,107) (16,715) (17,752) (61,683) ------------------- ----------------- ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (89,124) (2,242) 19,935 (174) ------------------- ----------------- ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS (183,726) (6,506) 10,656 (1,662) NET ASSETS BEGINNING OF PERIOD 389,796 20,346 31,415 7,304 ------------------- ----------------- ---------------- ------------------ NET ASSETS END OF PERIOD $ 206,070 $ 13,840 $ 42,071 $ 5,642 =================== ================= ================ ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 358 $ 88 $ 236 $ 42 =================== ================= ================ ================== (1)SHARE TRANSACTIONS Shares sold 27,980 2,255 5,496 9,102 Reinvestment of distributions 142 - 2 23 Shares redeemed (33,480) (2,621) (2,493) (9,053) ------------------- ----------------- ---------------- ------------------ Net increase (decrease) (5,358) (366) 3,005 72 ---------------------------------------------=================== ================= ================ ================== JNL/Mellon JNL/Mellon Capital Capital JNL/Lazard JNL/Lazard Management Management Mid Cap Small Cap Bond Index International OPERATIONS Value Fund Value Fund Fund (a) Index Fund (a) -------------------- ------------------ ------------------- ----------------- Net investment income (loss) $ 249 $ (21) $ 1,129 $ 440 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (6,532) (5,040) 284 (1,619) Foreign currency related items - - - 175 Futures contracts and options written - - (58) - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (4,083) (10,153) 1,270 (3,640) Foreign currency related items - - - 10 Futures contracts and options written - - (13) - Investment securities sold short - - - - -------------------- ------------------ ------------------- ----------------- -------------------- ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (10,366) (15,214) 2,612 (4,634) -------------------- ------------------ ------------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (240) - (1,117) (606) From net realized gains on investment transactions (163) (289) (66) - -------------------- ------------------ ------------------- ----------------- -------------------- ------------------ ------------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (403) (289) (1,183) (606) -------------------- ------------------ ------------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 109,674 120,099 49,888 46,300 Reinvestment of distributions 403 289 1,183 606 Cost of shares redeemed (49,304) (65,490) (18,214) (15,148) -------------------- ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 60,773 54,898 32,857 31,758 -------------------- ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 50,004 39,395 34,286 26,518 NET ASSETS BEGINNING OF PERIOD 26,886 35,164 - - -------------------- ------------------ ------------------- ----------------- NET ASSETS END OF PERIOD $ 76,890 $ 74,559 $ 34,286 $ 26,518 ==================== ================== =================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 5 $ 17 $ 12 $ 9 ==================== ================== =================== ================= (1)SHARE TRANSACTIONS Shares sold 9,806 11,142 4,890 4,778 Reinvestment of distributions 39 31 113 72 Shares redeemed (4,579) (6,328) (1,732) (1,709) -------------------- ------------------ ------------------- ----------------- Net increase (decrease) 5,266 4,845 3,271 3,141 ---------------------------------------------==================== ================== =================== ================= JNL/Curian JNL/Curian S&P 400 MidCap S&P 500 Index OPERATIONS Index Fund (a) Fund (a) ------------------------ ------------------- Net investment income (loss) $ 83 $ 304 Net realized gain (loss) on: Distributions from investment companies - - Investments (1,034) (211) Foreign currency related items - - Futures contracts and options written (259) (305) Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments (1,177) (5,955) Foreign currency related items - - Futures contracts and options written (8) (92) Investment securities sold short - - ------------------------ ------------------- ------------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (2,395) (6,259) ------------------------ ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (82) - From net realized gains on investment transactions - - ------------------------ ------------------- ------------------------ ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (82) - ------------------------ ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 27,193 65,486 Reinvestment of distributions 82 - Cost of shares redeemed (12,070) (12,451) ------------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 15,205 53,035 ------------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS 12,728 46,776 NET ASSETS BEGINNING OF PERIOD - - ------------------------ ------------------- NET ASSETS END OF PERIOD $ 12,728 $ 46,776 ======================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1 $ 304 ======================== =================== (1)SHARE TRANSACTIONS Shares sold 2,856 7,473 Reinvestment of distributions 9 - Shares redeemed (1,376) (1,468) ------------------------ ------------------- Net increase (decrease) 1,489 6,005 ---------------------------------------------======================== =================== (a) Period from January 15, 2002 (commencement of operations). JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED DECEMBER 31, 2002 JNL/ JNL/ JNL/Curian Oppenheimer Oppenheimer JNL/PIMCO Small Cap Global Growth Total Return OPERATIONS Index Fund (a) Growth Fund Fund Bond Fund ---------------------- --------------------- ------------------ --------------------- Net investment income (loss) $ 204 $ 227 $ (74) $ 4,516 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (1,098) (6,274) (3,254) 2,666 Foreign currency related items - (166) - (620) Futures contracts and options written (542) - - 3,578 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (3,426) (6,973) (1,111) 1,720 Foreign currency related items - (93) - (345) Futures contracts and options written (13) - - 823 Investment securities sold short - - - - ---------------------- --------------------- ------------------ --------------------- ---------------------- --------------------- ------------------ --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (4,875) (13,279) (4,439) 12,338 ---------------------- --------------------- ------------------ --------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (203) - - (36) From net realized gains on investment transactions - - - (16) ---------------------- --------------------- ------------------ --------------------- ---------------------- --------------------- ------------------ --------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (203) - - (52) ---------------------- --------------------- ------------------ --------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 34,410 191,463 25,437 208,026 Reinvestment of distributions 203 - - 52 Cost of shares redeemed (9,508) (187,503) (16,709) (63,853) ---------------------- --------------------- ------------------ --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 25,105 3,960 8,728 144,225 ---------------------- --------------------- ------------------ --------------------- NET INCREASE (DECREASE) IN NET ASSETS 20,027 (9,319) 4,289 156,511 NET ASSETS BEGINNING OF PERIOD - 59,841 13,557 54,851 ---------------------- --------------------- ------------------ --------------------- NET ASSETS END OF PERIOD $ 20,027 $ 50,522 $ 17,846 $ 211,362 ====================== ===================== ================== ===================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1 $ 94 $ - $ 4,543 ====================== ===================== ================== ===================== (1)SHARE TRANSACTIONS Shares sold 3,651 23,066 3,240 18,825 Reinvestment of distributions 26 - - 4 Shares redeemed (1,155) (22,504) (2,141) (5,759) ---------------------- --------------------- ------------------ --------------------- Net increase (decrease) 2,522 562 1,099 13,070 ---------------------------------------------====================== ===================== ================== ===================== JNL/PPM JNL/PPM JNL/PPM America America JNL/PPM America High Yield Money America OPERATIONS Balanced Fund Bond Fund Market Fund Value Fund (b) ---------------------- --------------------- ------------------- ------------------- Net investment income (loss) $ 6,672 $ 12,634 $ 2,441 $ 96 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 1,058 (13,057) - 207 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (14,059) 3,129 - 1,214 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ---------------------- --------------------- ------------------- ------------------- ---------------------- --------------------- ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (6,329) 2,706 2,441 1,517 ---------------------- --------------------- ------------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (6,609) (12,768) (2,441) - From net realized gains on investment transactions (2,701) - - - ---------------------- --------------------- ------------------- ------------------- ---------------------- --------------------- ------------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,310) (12,768) (2,441) - ---------------------- --------------------- ------------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 79,472 63,980 1,460,895 17,737 Reinvestment of distributions 9,310 12,768 2,441 - Cost of shares redeemed (68,326) (66,373) (1,491,334) (1,250) ---------------------- --------------------- ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 20,456 10,375 (27,998) 16,487 ---------------------- --------------------- ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 4,817 313 (27,998) 18,004 NET ASSETS BEGINNING OF PERIOD 212,196 160,781 242,518 - ---------------------- --------------------- ------------------- ------------------- NET ASSETS END OF PERIOD $ 217,013 $ 161,094 $ 214,520 $ 18,004 ====================== ===================== =================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ 46 $ - $ 96 ====================== ===================== =================== =================== (1)SHARE TRANSACTIONS Shares sold 5,623 7,741 1,460,895 1,759 Reinvestment of distributions 709 1,639 2,441 - Shares redeemed (4,973) (8,084) (1,491,334) (118) ---------------------- --------------------- ------------------- ------------------- Net increase (decrease) 1,359 1,296 (27,998) 1,641 ---------------------------------------------====================== ===================== =================== =================== JNL/Putnam JNL/Putnam Equity International OPERATIONS Fund Equity Fund -------------------- --------------------- Net investment income (loss) $ 485 $ 772 Net realized gain (loss) on: Distributions from investment companies - - Investments (44,143) (15,693) Foreign currency related items - 85 Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments (18,627) (1,985) Foreign currency related items - 14 Futures contracts and options written - - Investment securities sold short - - -------------------- --------------------- -------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (62,285) (16,807) -------------------- --------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (828) From net realized gains on investment transactions - - -------------------- --------------------- -------------------- --------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (828) -------------------- --------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 180,932 417,457 Reinvestment of distributions - 828 Cost of shares redeemed (247,393) (426,350) -------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (66,461) (8,065) -------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS (128,746) (25,700) NET ASSETS BEGINNING OF PERIOD 282,049 103,972 -------------------- --------------------- NET ASSETS END OF PERIOD $ 153,303 $ 78,272 ==================== ===================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 485 $ 86 ==================== ===================== (1)SHARE TRANSACTIONS Shares sold 12,231 48,742 Reinvestment of distributions - 110 Shares redeemed (16,889) (49,309) -------------------- --------------------- Net increase (decrease) (4,658) (457) ---------------------------------------------==================== ===================== (a) Period from January 15, 2002 (commencement of operations). (b) Period from September 30, 2002 (commencement of operations). JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED DECEMBER 31, 2002 JNL/Putnam JNL/Putnam JNL/S&P JNL/S&P Midcap Value Aggressive Aggressive OPERATIONS Growth Fund Equity Fund Growth Fund Growth Fund I ------------------- -------------------- ---------------------- -------------------- Net investment income (loss) $ (156) $ 3,136 $ 32 $ 795 Net realized gain (loss) on: Distributions from investment companies - - 3 78 Investments (6,055) (44,166) (2,977) (12,276) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (3,441) (26,138) (1,178) (10,299) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------- -------------------- ---------------------- -------------------- ------------------- -------------------- ---------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (9,652) (67,168) (4,120) (21,702) ------------------- -------------------- ---------------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (3,129) (77) (1,155) From net realized gains on investment transactions - - - - ------------------- -------------------- ---------------------- -------------------- ------------------- -------------------- ---------------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (3,129) (77) (1,155) ------------------- -------------------- ---------------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 55,471 81,235 1,163 40,686 Reinvestment of distributions - 3,129 77 1,155 Cost of shares redeemed (56,713) (105,213) (3,710) (29,393) ------------------- -------------------- ---------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,242) (20,849) (2,470) 12,448 ------------------- -------------------- ---------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS (10,894) (91,146) (6,667) (10,409) NET ASSETS BEGINNING OF PERIOD 29,541 347,246 18,387 107,519 ------------------- -------------------- ---------------------- -------------------- NET ASSETS END OF PERIOD $ 18,647 $ 256,100 $ 11,720 $ 97,110 =================== ==================== ====================== ==================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ 36 $ 32 $ 795 =================== ==================== ====================== ==================== (1)SHARE TRANSACTIONS Shares sold 9,262 5,706 175 4,282 Reinvestment of distributions - 241 13 137 Shares redeemed (9,701) (7,384) (586) (3,204) ------------------- -------------------- ---------------------- -------------------- Net increase (decrease) (439) (1,437) (398) 1,215 ---------------------------------------------=================== ==================== ====================== ==================== JNL/S&P JNL/S&P JNL/S&P JNL/S&P Aggressive Conservative Conservative Conservative OPERATIONS Growth Fund II Growth Fund Growth Fund I Growth Fund II --------------------- -------------------- ------------------- ------------------- Net investment income (loss) $ 35 $ 158 $ 3,593 $ 258 Net realized gain (loss) on: Distributions from investment companies 2 - 315 2 Investments (1,106) (944) (8,243) (1,177) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (127) (1,229) (14,009) (972) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - --------------------- -------------------- ------------------- ------------------- --------------------- -------------------- ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (1,196) (2,015) (18,344) (1,889) --------------------- -------------------- ------------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (60) (221) (3,919) (276) From net realized gains on investment transactions - - - - --------------------- -------------------- ------------------- ------------------- --------------------- -------------------- ------------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (60) (221) (3,919) (276) --------------------- -------------------- ------------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 900 3,437 115,395 5,456 Reinvestment of distributions 60 221 3,919 276 Cost of shares redeemed (1,709) (2,760) (56,713) (4,173) --------------------- -------------------- ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (749) 898 62,601 1,559 --------------------- -------------------- ------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS (2,005) (1,338) 40,338 (606) NET ASSETS BEGINNING OF PERIOD 5,978 15,495 187,495 13,202 --------------------- -------------------- ------------------- ------------------- NET ASSETS END OF PERIOD $ 3,973 $ 14,157 $ 227,833 $ 12,596 ===================== ==================== =================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 35 $ 158 $ 3,593 $ 258 ===================== ==================== =================== =================== (1)SHARE TRANSACTIONS Shares sold 114 424 11,553 638 Reinvestment of distributions 9 29 414 35 Shares redeemed (217) (352) (5,736) (503) --------------------- -------------------- ------------------- ------------------- Net increase (decrease) (94) 101 6,231 170 ---------------------------------------------===================== ==================== =================== =================== JNL/S&P JNL/S&P Core Index 100 Core Index 50 OPERATIONS Fund (a) Fund (a) ------------------- ---------------- Net investment income (loss) $ 116 $ 3 Net realized gain (loss) on: Distributions from investment companies 5 1 Investments (98) (137) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments (821) (260) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ------------------- ---------------- ------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (798) (393) ------------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - From net realized gains on investment transactions - - ------------------- ---------------- ------------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - ------------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 19,087 3,586 Reinvestment of distributions - - Cost of shares redeemed (4,076) (1,224) ------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 15,011 2,362 ------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 14,213 1,969 NET ASSETS BEGINNING OF PERIOD - - ------------------- ---------------- NET ASSETS END OF PERIOD $ 14,213 $ 1,969 =================== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 116 $ 3 =================== ================ (1)SHARE TRANSACTIONS Shares sold 2,071 392 Reinvestment of distributions - - Shares redeemed (429) (141) ------------------- ---------------- Net increase (decrease) 1,642 251 ---------------------------------------------=================== ================ (a) Period from January 15, 2002 (commencement of operations). JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED DECEMBER 31, 2002 JNL/S&P JNL/S&P Equity JNL/S&P Equity JNL/S&P Core Index 75 Aggressive Aggressive Equity OPERATIONS Fund (a) Growth Fund I Growth Fund II Growth Fund I ------------------- ------------------- --------------------- ------------------ Net investment income (loss) $ 27 $ 2 $ 1 $ 19 Net realized gain (loss) on: Distributions from investment companies 2 24 1 80 Investments (30) (6,269) (614) (25,271) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (354) (3,433) (59) (9,343) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------- ------------------- --------------------- ------------------ ------------------- ------------------- --------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (355) (9,676) (671) (34,515) ------------------- ------------------- --------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (26) (2) (130) From net realized gains on investment transactions - - (77) - ------------------- ------------------- --------------------- ------------------ ------------------- ------------------- --------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (26) (79) (130) ------------------- ------------------- --------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 5,691 10,979 231 39,071 Reinvestment of distributions - 26 79 130 Cost of shares redeemed (876) (10,969) (875) (44,839) ------------------- ------------------- --------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 4,815 36 (565) (5,638) ------------------- ------------------- --------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 4,460 (9,666) (1,315) (40,283) NET ASSETS BEGINNING OF PERIOD - 41,038 2,825 145,413 ------------------- ------------------- --------------------- ------------------ NET ASSETS END OF PERIOD $ 4,460 $ 31,372 $ 1,510 $ 105,130 =================== =================== ===================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 27 $ 2 $ 1 $ 19 =================== =================== ===================== ================== (1)SHARE TRANSACTIONS Shares sold 643 1,298 28 4,530 Reinvestment of distributions - 4 11 17 Shares redeemed (102) (1,317) (110) (5,385) ------------------- ------------------- --------------------- ------------------ Net increase (decrease) 541 (15) (71) (838) ---------------------------------------------=================== =================== ===================== ================== JNL/S&P JNL/S&P JNL/S&P JNL/S&P Equity Moderate Moderate Moderate OPERATIONS Growth Fund II Growth Fund Growth Fund I Growth Fund II -------------------- --------------------- ---------------------- ------------------ Net investment income (loss) $ 8 $ 189 $ 4,012 $ 243 Net realized gain (loss) on: Distributions from investment companies 3 6 463 5 Investments (2,301) (4,427) (15,872) (2,225) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (20) (2,046) (32,917) (1,063) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - -------------------- --------------------- ---------------------- ------------------ -------------------- --------------------- ---------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (2,310) (6,278) (44,314) (3,040) -------------------- --------------------- ---------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income (13) (364) (4,348) (258) From net realized gains on investment transactions (195) - - - -------------------- --------------------- ---------------------- ------------------ -------------------- --------------------- ---------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (208) (364) (4,348) (258) -------------------- --------------------- ---------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 1,109 6,113 174,552 6,211 Reinvestment of distributions 208 364 4,348 258 Cost of shares redeemed (2,824) (8,648) (97,436) (4,598) -------------------- --------------------- ---------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,507) (2,171) 81,464 1,871 -------------------- --------------------- ---------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS (4,025) (8,813) 32,802 (1,427) NET ASSETS BEGINNING OF PERIOD 9,472 34,317 298,741 17,900 -------------------- --------------------- ---------------------- ------------------ NET ASSETS END OF PERIOD $ 5,447 $ 25,504 $ 331,543 $ 16,473 ==================== ===================== ====================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 8 $ 189 $ 4,012 $ 243 ==================== ===================== ====================== ================== (1)SHARE TRANSACTIONS Shares sold 143 823 17,377 716 Reinvestment of distributions 31 55 471 33 Shares redeemed (367) (1,249) (9,946) (546) -------------------- --------------------- ---------------------- ------------------ Net increase (decrease) (193) (371) 7,902 203 ---------------------------------------------==================== ===================== ====================== ================== JNL/S&P Very JNL/S&P Very Aggressive Aggressive OPERATIONS Growth Fund I Growth Fund II --------------------- ----------------- Net investment income (loss) $ (22) $ - Net realized gain (loss) on: Distributions from investment companies 32 1 Investments (7,349) (465) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments (6,436) (280) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - --------------------- ----------------- --------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (13,775) (744) --------------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (37) (2) From net realized gains on investment transactions - - --------------------- ----------------- --------------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (37) (2) --------------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 11,804 303 Reinvestment of distributions 37 2 Cost of shares redeemed (14,259) (820) --------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (2,418) (515) --------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS (16,230) (1,261) NET ASSETS BEGINNING OF PERIOD 58,358 3,159 --------------------- ----------------- NET ASSETS END OF PERIOD $ 42,128 $ 1,898 ===================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ - ===================== ================= (1)SHARE TRANSACTIONS Shares sold 1,328 38 Reinvestment of distributions 5 - Shares redeemed (1,678) (103) --------------------- ----------------- Net increase (decrease) (345) (65) ---------------------------------------------===================== ================= (a) Period from January 15, 2002 (commencement of operations). JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE PERIOD ENDED DECEMBER 31, 2002 JNL/Salomon JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers Brothers U.S. Government Balanced Global Bond High Yield & Quality OPERATIONS Fund Fund Bond Fund Bond Fund -------------------- ------------------- -------------------- -------------------- Net investment income (loss) $ 363 $ 7,263 $ 1,896 $ 10,347 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 215 (266) (939) 3,396 Foreign currency related items - (7) - - Futures contracts and options written - - - 3,312 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (1,993) 2,601 80 8,281 Foreign currency related items - 8 - - Futures contracts and options written - - - 1,133 Investment securities sold short - - - - -------------------- ------------------- -------------------- -------------------- -------------------- ------------------- -------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (1,415) 9,599 1,037 26,469 -------------------- ------------------- -------------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (7,268) (1,885) (10,373) From net realized gains on investment transactions - - - (3,322) -------------------- ------------------- -------------------- -------------------- -------------------- ------------------- -------------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (7,268) (1,885) (13,695) -------------------- ------------------- -------------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 6,543 48,804 11,000 166,665 Reinvestment of distributions - 7,268 1,885 13,695 Cost of shares redeemed (7,772) (55,832) (15,178) (115,144) -------------------- ------------------- -------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,229) 240 (2,293) 65,216 -------------------- ------------------- -------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS (2,644) 2,571 (3,141) 77,990 NET ASSETS BEGINNING OF PERIOD 18,097 123,310 20,220 226,275 -------------------- ------------------- -------------------- -------------------- NET ASSETS END OF PERIOD $ 15,453 $ 125,881 $ 17,079 $ 304,265 ==================== =================== ==================== ==================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 362 $ 164 $ 20 $ 70 ==================== =================== ==================== ==================== (1)SHARE TRANSACTIONS Shares sold 657 4,555 1,465 14,057 Reinvestment of distributions - 684 270 1,150 Shares redeemed (796) (5,239) (2,013) (9,870) -------------------- ------------------- -------------------- -------------------- Net increase (decrease) (139) - (278) 5,337 ---------------------------------------------==================== =================== ==================== ==================== JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price Established Mid-Cap Value OPERATIONS Growth Fund Growth Fund Fund --------------------- -------------------- ---------------------- Net investment income (loss) $ 229 $ (2,076) $ 2,070 Net realized gain (loss) on: Distributions from investment companie - - - Investments (37,805) (4,041) (3,825) Foreign currency related items (104) - (5) Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (71,901) (74,681) (38,779) Foreign currency related items 2 - - Futures contracts and options writte - - - Investment securities sold short - - - --------------------- -------------------- ---------------------- --------------------- -------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (109,579) (80,798) (40,539) --------------------- -------------------- ---------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (379) - (13) From net realized gains on investment transactions - - (449) --------------------- -------------------- ---------------------- --------------------- -------------------- ---------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (379) - (462) --------------------- -------------------- ---------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 108,096 405,189 133,579 Reinvestment of distributions 379 - 462 Cost of shares redeemed (156,255) (442,092) (89,342) --------------------- -------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (47,780) (36,903) 44,699 --------------------- -------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS (157,738) (117,701) 3,698 NET ASSETS BEGINNING OF PERIOD 474,105 366,028 216,408 --------------------- -------------------- ---------------------- NET ASSETS END OF PERIOD $ 316,367 $ 248,327 $ 220,106 ===================== ==================== ====================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 92 $ - $ 2,065 ===================== ==================== ====================== (1)SHARE TRANSACTIONS Shares sold 7,455 19,747 13,297 Reinvestment of distributions 30 - 50 Shares redeemed (11,115) (21,821) (8,956) --------------------- -------------------- ---------------------- Net increase (decrease) (3,630) (2,074) 4,391 --------------------------------------------===================== ==================== ====================== JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND 12/31/03 $ 8.16 $(0.02) $ 2.47 $ 2.45 $ - $ - 12/31/02 10.97 (0.03) (2.76) (2.79) - (0.02) 10/29(a)-12/31/01 10.00 - 0.97 0.97 - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/AIM PREMIER EQUITY II FUND 12/31/03 7.90 - 1.79 1.79 - - 12/31/02 11.05 (0.03) (3.09) (3.12) - (0.03) 10/29(a)-12/31/01 10.00 - 1.05 1.05 - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND 12/31/03 8.43 (0.05) 3.29 3.24 - - 12/31/02 11.60 (0.07) (3.10) (3.17) - - 10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/ALGER GROWTH FUND 12/31/03 10.91 (0.03) 3.88 3.85 - - 12/31/02 16.33 (0.04) (5.38) (5.42) - - 12/31/01 18.58 (0.04) (2.18) (2.22) - (0.03) 12/31/00 22.91 (0.01) (3.08) (3.09) - (1.24) 12/31/99 18.95 (0.03) 6.42 6.39 - (2.43) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND 12/31/03 7.98 0.01 1.93 1.94 - - 12/31/02 11.57 (0.01) (3.58) (3.59) - - 12/31/01 13.55 - (1.97) (1.97) (0.01) - 12/31/00 16.64 - (2.93) (2.93) - (0.16) 12/31/99 13.28 (0.01) 3.76 3.75 - (0.39) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND 12/31/03 6.16 0.03 1.76 1.79 (0.02) - 12/31/02 8.21 0.04 (2.09) (2.05) - - 12/31/01 9.34 0.03 (1.13) (1.10) (0.03) - 12/31/00 10.58 0.04 (1.24) (1.20) (0.03) (0.01) 05/16(a)-12/31/99 10.00 0.03 0.65 0.68 (0.03) (0.07) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/CURIAN S&P 400 MIDCAP INDEX FUND 12/31/03 8.55 0.03 2.92 2.95 (0.03) - 01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND 12/31/03 $ - $ 10.61 30.02 % $ 36,421 140.00% 1.10% 12/31/02 - 8.16 (25.47) 6,857 180.06 1.10 10/29(a)-12/31/01 - 10.97 9.70 6,058 14.935 1.10 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/AIM PREMIER EQUITY II FUND 12/31/03 - 22.66 63.5677 1.05 12/31/02 - (28.23) 90.1447 1.05 10/29(a)-12/31/01 - 110.50 5.8101 1.05 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND 12/31/03 - 138.43 30.1740 1.15 12/31/02 - (27.32) 46.2215 1.15 10/29(a)-12/31/01 - 116.00 3.8665 1.15 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/ALGER GROWTH FUND 12/31/03 - 135.29 168.097 1.08 12/31/02 - (33.19) 236.639 1.08 12/31/01 - (11.97) 386.802 1.07 12/31/00 - (13.44) 488.347 1.07 12/31/99 - 233.80 122.589 1.07 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND 12/31/03 - 24.31 149.698 0.88 12/31/02 - (31.03) 54.1391 0.88 12/31/01 - (14.57) 165.211 0.87 12/31/00 - (17.59) 47.0181 0.87 12/31/99 - 128.23 51.1556 0.88 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND 12/31/03 - 29.09 123.9468 0.87 12/31/02 - (24.94) 63.0871 0.89 12/31/01 - (11.78) 55.9715 0.90 12/31/00 - (11.38) 57.1422 0.90 05/16(a)-12/31/99 - 106.85 34.3941 0.90 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/CURIAN S&P 400 MIDCAP INDEX FUND 12/31/03 - 134.55 18.3477 0.60 01/15(a)-12/31/02 - (13.94) 60.0028 0.60 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND 12/31/03 (0.41)% 1.18 % (0.49)% 12/31/02 (0.33) 1.15 (0.38) 10/29(a)-12/31/01 (0.26) 1.32 (0.48) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/AIM PREMIER EQUITY II FUND 12/31/03 0.05 1.09 0.01 12/31/02 (0.38) 1.09 (0.42) 10/29(a)-12/31/01 (0.04) 1.26 (0.25) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND 12/31/03 (0.89) 1.19 (0.93) 12/31/02 (0.83) 1.17 (0.85) 10/29(a)-12/31/01 (0.74) 1.24 (0.83) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/ALGER GROWTH FUND 12/31/03 (0.27) 1.15 (0.34) 12/31/02 (0.25) n/a n/a 12/31/01 (0.23) n/a n/a 12/31/00 (0.03) n/a n/a 12/31/99 (0.22) n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND 12/31/03 0.11 0.91 0.08 12/31/02 (0.10) 0.89 (0.11) 12/31/01 0.05 0.90 0.02 12/31/00 0.01 n/a n/a 12/31/99 (0.07) n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND 12/31/03 0.87 0.89 0.85 12/31/02 0.69 0.90 0.68 12/31/01 0.44 n/a n/a 12/31/00 0.56 n/a n/a 05/16(a)-12/31/99 0.56 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/CURIAN S&P 400 MIDCAP INDEX FUND 12/31/03 0.65 0.61 0.64 01/15(a)-12/31/02 0.60 0.61 0.59 ------------------------------------------------------------------------- ------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/CURIAN S&P 500 INDEX FUND 12/31/03 $ 7.79 $ 0.03 $ 2.13 $ 2.16 $ (0.08) $ (0.03) 01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/CURIAN SMALL CAP INDEX FUND 12/31/03 7.94 0.05 3.59 3.64 (0.04) (0.08) 01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND 12/31/03 11.45 0.09 2.72 2.81 (0.09) - 12/31/02 14.53 0.10 (3.08) (2.98) (0.10) - 12/31/01 16.21 0.07 (1.67) (1.60) (0.07) (0.01) 12/31/00 18.47 0.08 (0.08) - (0.09) (2.17) 12/31/99 15.91 0.11 3.63 3.74 (0.11) (1.07) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND 12/31/03 12.01 (0.10) 4.90 4.80 - - 12/31/02 15.55 (0.08) (3.46) (3.54) - - 12/31/01 14.20 (0.41) 1.97 1.56 - (0.21) 12/31/00 16.97 (0.04) (2.23) (2.27) - (0.50) 12/31/99 14.82 (0.04) 2.88 2.84 - (0.69) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/JANUS AGGRESSIVE GROWTH FUND 12/31/03 13.03 (0.04) 4.66 4.62 - - 12/31/02 18.55 (0.04) (5.48) (5.52) - - 12/31/01 26.65 - (8.04) (8.04) (0.01) (0.05) 12/31/00 39.97 0.16 (8.45) (8.29) (0.51) (4.52) 12/31/99 22.09 (0.06) 20.87 20.81 - (2.93) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/JANUS BALANCED FUND 12/31/03 8.26 0.12 1.01 1.13 (0.12) - 12/31/02 9.05 0.20 (0.80) (0.60) (0.19) - 12/31/01 9.69 0.21 (0.65) (0.44) (0.20) - 05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/JANUS CAPITAL GROWTH FUND 12/31/03 9.79 (0.06) 3.55 3.49 - - 12/31/02 13.83 (0.07) (3.97) (4.04) - - 12/31/01 23.55 (0.11) (9.35) (9.46) - - 12/31/00 43.62 (0.20) (14.90) (15.10) - - 12/31/99 20.73 (0.13) 25.85 25.72 - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/CURIAN S&P 500 INDEX FUND 12/31/03 $ - $ 9.84 27.79 % $ 190,338 8.90% 0.60% 01/15(a)-12/31/02 - 7.79 (22.10) 46,776 1.89 0.60 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/CURIAN SMALL CAP INDEX FUND 12/31/03 - 11.46 45.88 76,130 38.17 0.60 01/15(a)-12/31/02 - 7.94 (19.79) 20,027 49.44 0.60 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND 12/31/03 - 14.17 24.54 245,913 80.50 0.97 12/31/02 - 11.45 (20.53) 149,242 94.37 0.97 12/31/01 - 14.53 (9.83) 174,813 102.56 0.97 12/31/00 - 16.21 0.28 146,888 192.40 0.97 12/31/99 - 18.47 23.55 95,329 124.71 0.99 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND 12/31/03 - 16.81 39.97 109,972 70.06 1.05 12/31/02 - 12.01 (22.77) 76,198 71.45 1.05 12/31/01 - 15.55 11.00 112,967 65.36 1.05 12/31/00 - 14.20 (13.25) 77,200 89.43 1.05 12/31/99 - 16.97 19.27 61,504 61.69 1.05 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/JANUS AGGRESSIVE GROWTH FUND 12/31/03 - 17.65 35.46 257,852 78.47 1.04 12/31/02 - 13.03 (29.76) 215,884 117.19 1.02 12/31/01 - 18.55 (30.18) 436,946 100.02 0.99 12/31/00 - 26.65 (20.97) 744,972 61.65 0.98 12/31/99 - 39.97 94.43 654,546 95.06 1.01 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/JANUS BALANCED FUND 12/31/03 - 9.27 13.73 114,262 60.48 1.05 12/31/02 - 8.26 (6.57) 75,591 90.71 1.05 12/31/01 - 9.05 (4.49) 72,281 105.66 1.05 05/01(a)-12/31/00 - 9.69 (2.00) 44,294 41.10 1.05 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/JANUS CAPITAL GROWTH FUND 12/31/03 - 13.28 35.65 158,013 31.95 1.05 12/31/02 - 9.79 (29.21) 135,669 56.03 1.04 12/31/01 - 13.83 (40.19) 260,726 96.69 1.01 12/31/00 - 23.55 (34.74) 496,830 110.81 0.99 12/31/99 - 43.62 124.19 509,086 102.26 1.03 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/CURIAN S&P 500 INDEX FUND 12/31/03 1.22 % 0.61 % 1.21 % 01/15(a)-12/31/02 1.15 0.61 1.14 ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- JNL/CURIAN SMALL CAP INDEX FUND 12/31/03 0.75 0.61 0.74 01/15(a)-12/31/02 0.96 0.62 0.94 ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND 12/31/03 0.83 1.01 0.79 12/31/02 0.78 1.00 0.75 12/31/01 0.58 0.99 0.56 12/31/00 0.57 n/a n/a 12/31/99 0.97 n/a n/a ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND 12/31/03 (0.75) 1.10 (0.80) 12/31/02 (0.49) 1.08 (0.52) 12/31/01 (0.31) 1.07 (0.33) 12/31/00 (0.30) n/a n/a 12/31/99 (0.35) n/a n/a ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- JNL/JANUS AGGRESSIVE GROWTH FUND 12/31/03 (0.28) 1.08 (0.32) 12/31/02 (0.18) 1.10 (0.26) 12/31/01 0.05 1.02 0.02 12/31/00 0.25 n/a n/a 12/31/99 (0.40) n/a n/a ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- JNL/JANUS BALANCED FUND 12/31/03 1.64 1.07 1.62 12/31/02 2.11 1.07 2.09 12/31/01 2.48 1.06 2.47 05/01(a)-12/31/00 2.42 n/a n/a ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- JNL/JANUS CAPITAL GROWTH FUND 12/31/03 (0.51) 1.07 (0.53) 12/31/02 (0.51) 1.09 (0.56) 12/31/01 (0.61) 1.03 (0.63) 12/31/00 (0.67) n/a n/a 12/31/99 (0.75) n/a n/a ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/JANUS GLOBAL EQUITIES FUND 12/31/03 $ 14.06 $ 0.13 $ 3.24 $ 3.37 $ - $ - 12/31/02 19.48 0.10 (5.38) (5.28) (0.14) - 12/31/01 25.97 0.08 (6.19) (6.11) (0.35) (0.03) 12/31/00 35.69 0.07 (6.55) (6.48) (0.59) (2.65) 12/31/99 22.11 - 14.27 14.27 - (0.69) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/JANUS GROWTH & INCOME FUND 12/31/03 5.69 0.04 1.36 1.40 (0.03) - 12/31/02 7.27 0.04 (1.62) (1.58) - - 12/31/01 8.47 0.05 (1.19) (1.14) (0.06) - 12/31/00 9.36 0.09 (0.89) (0.80) (0.09) - 12/31/99 9.00 0.09 0.36 0.45 (0.09) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND 12/31/03 5.56 - 2.19 2.19 (0.10) - 12/31/02 7.75 0.07 (2.13) (2.06) (0.13) - 12/31/01 9.79 0.09 (2.08) (1.99) (0.04) (0.01) 12/31/00 13.15 0.04 (2.10) (2.06) (0.06) (1.24) 12/31/99 9.82 0.06 3.67 3.73 (0.21) (0.19) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND 12/31/03 10.23 0.04 2.92 2.96 (0.03) - 12/31/02 11.97 0.03 (1.72) (1.69) (0.03) (0.02) 12/31/01 11.75 0.06 1.50 1.56 (0.06) (1.28) 12/31/00 9.63 0.03 2.40 2.43 (0.03) (0.28) 12/31/99 9.21 0.02 0.42 0.44 (0.02) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND 12/31/03 9.40 0.01 3.64 3.65 - - 12/31/02 11.40 - (1.96) (1.96) - (0.04) 12/31/01 10.28 0.02 1.77 1.79 (0.02) (0.65) 12/31/00 8.84 0.02 1.45 1.47 (0.03) - 12/31/99 8.70 0.03 0.14 0.17 (0.03) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND 12/31/03 10.48 0.23 0.07 0.30 (0.19) (0.12) 01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36) (0.02) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND 12/31/03 8.44 0.10 3.04 3.14 (0.13) - 01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20) - --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/JANUS GLOBAL EQUITIES FUND 12/31/03 $ - $ 17.43 23.97 % $ 197,288 120.39% 1.13% 12/31/02 - 14.06 (27.12) 206,070 65.19 1.07 12/31/01 - 19.48 (23.50) 389,796 93.37 1.05 12/31/00 - 25.97 (18.28) 665,187 65.56 1.03 12/31/99 - 35.69 64.58 597,241 61.60 1.06 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/JANUS GROWTH & INCOME FUND 12/31/03 - 7.06 24.68 15,520 46.15 1.05 12/31/02 - 5.69 (21.73) 13,840 52.16 1.05 12/31/01 - 7.27 (13.51) 20,346 50.42 1.05 12/31/00 - 8.47 (8.56) 23,212 160.19 1.04 12/31/99 - 9.36 4.98 7,677 120.54 1.03 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/JPMORGAN INTERNATIONAL VALUE FUND 12/31/03 - 7.65 39.43 29,609 131.90 1.12 12/31/02 - 5.56 (26.59) 5,642 146.48 1.08 12/31/01 - 7.75 (20.33) 7,304 82.18 1.07 12/31/00 - 9.79 (15.45) 9,264 120.75 1.07 12/31/99 - 13.15 38.02 7,777 66.82 1.08 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/LAZARD MID CAP VALUE FUND 12/31/03 - 13.16 28.89 142,798 88.62 1.08 12/31/02 - 10.23 (14.08) 76,890 98.18 1.08 12/31/01 - 11.97 13.24 26,886 143.12 1.07 12/31/00 - 11.75 25.37 15,478 134.53 1.07 12/31/99 - 9.63 4.77 6,394 118.56 1.08 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/LAZARD SMALL CAP VALUE FUND 12/31/03 - 13.05 38.83 155,191 70.95 1.13 12/31/02 - 9.40 (17.22) 74,559 94.87 1.14 12/31/01 - 11.40 17.34 35,164 78.01 1.15 12/31/00 - 10.28 16.60 14,614 58.07 1.15 12/31/99 - 8.84 1.96 6,313 53.35 1.15 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND 12/31/03 - 10.47 2.87 83,547 70.57 0.60 01/15(a)-12/31/02 - 10.48 8.55 34,286 77.16 0.60 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND 12/31/03 - 11.45 37.31 97,126 1.66 0.65 01/15(a)-12/31/02 - 8.44 (13.60) 26,518 32.40 0.65 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/JANUS GLOBAL EQUITIES FUND 12/31/03 0.70 % 1.18 % 0.65 % 12/31/02 0.45 1.10 0.42 12/31/01 0.42 1.06 0.41 12/31/00 0.03 n/a n/a 12/31/99 0.01 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- JNL/JANUS GROWTH & INCOME FUND 12/31/03 0.48 1.07 0.46 12/31/02 0.52 1.07 0.50 12/31/01 0.73 1.06 0.72 12/31/00 1.61 n/a n/a 12/31/99 1.17 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND 12/31/03 0.75 n/a n/a 12/31/02 0.95 n/a n/a 12/31/01 1.07 n/a n/a 12/31/00 0.40 n/a n/a 12/31/99 0.53 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND 12/31/03 0.40 1.17 0.31 12/31/02 0.41 1.12 0.37 12/31/01 0.65 1.20 0.52 12/31/00 0.37 n/a n/a 12/31/99 0.25 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND 12/31/03 0.17 1.20 0.10 12/31/02 (0.03) 1.17 (0.06) 12/31/01 0.32 1.21 0.26 12/31/00 0.36 n/a n/a 12/31/99 0.43 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND 12/31/03 3.29 n/a n/a 01/15(a)-12/31/02 4.12 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND 12/31/03 1.59 n/a n/a 01/15(a)-12/31/02 1.56 n/a n/a --------------------------------------------------------------------------- --------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND 12/31/03 $ 7.20 $ 0.03 $ 2.89 $ 2.92 $ - $ - 12/31/02 9.27 0.03 (2.10) (2.07) - - 05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND 12/31/03 7.03 (0.03) 1.28 1.25 - - 12/31/02 9.41 (0.03) (2.35) (2.38) - - 05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND 12/31/03 11.60 0.13 0.42 0.55 (0.17) (0.22) 12/31/02 10.66 0.24 0.70 0.94 - - 12/31/01 10.29 0.30 0.68 0.98 (0.28) (0.33) 12/31/00 9.64 0.45 0.68 1.13 (0.47) (0.01) 12/31/99 10.16 0.49 (0.52) (0.03) (0.49) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA BALANCED FUND 12/31/03 13.14 0.32 2.51 2.83 (0.30) (0.12) 12/31/02 14.00 0.42 (0.69) (0.27) (0.42) (0.17) 12/31/01 13.13 0.41 0.98 1.39 (0.44) (0.08) 12/31/00 12.60 0.50 0.52 1.02 (0.46) (0.03) 12/31/99 13.48 0.44 (0.45) (0.01) (0.44) (0.43) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA HIGH YIELD BOND FUND 12/31/03 7.79 0.55 0.90 1.45 (0.54) - 12/31/02 8.29 0.66 (0.49) 0.17 (0.67) - 12/31/01 8.60 0.79 (0.30) 0.49 (0.80) - 12/31/00 10.13 0.98 (1.55) (0.57) (0.96) - 12/31/99 10.89 0.88 (0.76) 0.12 (0.88) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA MONEY MARKET FUND 12/31/03 1.00 0.01 - 0.01 (0.01) - 12/31/02 1.00 0.01 - 0.01 (0.01) - 12/31/01 1.00 0.03 - 0.03 (0.03) - 12/31/00 1.00 0.06 - 0.06 (0.06) - 12/31/99 1.00 0.05 - 0.05 (0.05) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PPM AMERICA VALUE FUND 12/31/03 10.97 0.11 3.71 3.82 (0.03) (0.06) 09/30(a)-12/31/02 10.00 0.06 0.91 0.97 - - --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND 12/31/03 $ - $ 10.12 40.56 % $ 104,625 38.02% 1.05 % 12/31/02 - 7.20 (22.33) 50,522 64.05 1.05 05/01(a)-12/31/01 - 9.27 (7.30) 59,841 44.80 1.05 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GROWTH FUND 12/31/03 - 8.28 17.78 32,993 94.02 1.00 12/31/02 - 7.03 (25.29) 17,846 55.58 1.00 05/01(a)-12/31/01 - 9.41 (5.82) 13,557 58.88 1.00 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/PIMCO TOTAL RETURN BOND FUND 12/31/03 - 11.76 4.78 317,301 146.76 0.80 12/31/02 - 11.60 8.85 211,362 116.05 0.80 12/31/01 - 10.66 9.52 54,851 112.25 0.80 12/31/00 - 10.29 11.75 21,715 221.61 0.93(e) 12/31/99 - 9.64 (0.26) 9,451 91.12 0.80 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/PPM AMERICA BALANCED FUND 12/31/03 - 15.55 21.57 303,892 54.21 0.80 12/31/02 - 13.14 (1.93) 217,013 68.30 0.81 12/31/01 - 14.00 10.57 212,196 42.38 0.81 12/31/00 - 13.13 8.25 155,270 25.76 0.82 12/31/99 - 12.60 (0.11) 143,012 35.02 0.82 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/PPM AMERICA HIGH YIELD FUND 12/31/03 - 8.70 18.67 266,181 37.45 0.81 12/31/02 - 7.79 2.05 161,094 61.00 0.82 12/31/01 - 8.29 5.67 160,781 41.24 0.81 12/31/00 - 8.60 (5.62) 144,516 62.41 0.82 12/31/99 - 10.13 1.09 147,023 61.03 0.82 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/PPM AMERICA MONEY MARKET FUND 12/31/03 - 1.00 0.46 184,440 n/a 0.69 12/31/02 - 1.00 1.07 214,520 n/a 0.69 12/31/01 - 1.00 3.45 242,518 n/a 0.69 12/31/00 - 1.00 5.83 185,012 n/a 0.70 12/31/99 - 1.00 4.67 164,446 n/a 0.70 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/PPM AMERICA VALUE FUND 12/31/03 - 14.70 34.80 54,532 16.19 0.85 09/30(a)-12/31/02 - 10.97 9.70 18,004 8.64 0.85 ------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND 12/31/03 0.57 % n/a n/a 12/31/02 0.44 n/a n/a 05/01(a)-12/31/01 0.54 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND 12/31/03 (0.49) n/a n/a 12/31/02 (0.49) n/a n/a 05/01(a)-12/31/01 0.17 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND 12/31/03 2.02 n/a n/a 12/31/02 3.23 n/a n/a 12/31/01 4.35 n/a n/a 12/31/00 5.98 n/a n/a 12/31/99 5.41 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PPM AMERICA BALANCED FUND 12/31/03 2.49 0.81 2.48 12/31/02 2.98 0.81 2.98 12/31/01 3.28 n/a n/a 12/31/00 4.02 n/a n/a 12/31/99 3.71 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PPM AMERICA HIGH YIELD FUND 12/31/03 7.47 n/a n/a 12/31/02 7.89 n/a n/a 12/31/01 8.68 n/a n/a 12/31/00 10.06 n/a n/a 12/31/99 9.22 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PPM AMERICA MONEY MARKET FUND 12/31/03 0.47 n/a n/a 12/31/02 1.07 n/a n/a 12/31/01 3.28 n/a n/a 12/31/00 5.73 n/a n/a 12/31/99 4.63 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PPM AMERICA VALUE FUND 12/31/03 1.81 0.88 1.78 09/30(a)-12/31/02 2.24 0.98 2.11 -------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. (e) The ratio of net operating expenses was 0.80%. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND 12/31/03 $ 13.04 $ 0.08 $ 3.47 $ 3.55 $ (0.05) $ - 12/31/02 17.18 - (4.14) (4.14) - - 12/31/01 22.91 (0.01) (5.72) (5.73) - - 12/31/00 28.45 (0.05) (5.03) (5.08) - (0.46) 12/31/99 22.88 (0.04) 6.76 6.72 - (1.15) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND 12/31/03 7.59 0.10 2.06 2.16 (0.14) - 12/31/02 9.66 0.08 (2.07) (1.99) (0.08) - 12/31/01 12.23 0.08 (2.56) (2.48) (0.07) (0.02) 12/31/00 16.79 0.08 (2.49) (2.41) (0.01) (2.14) 12/31/99 13.62 0.09 4.28 4.37 (0.16) (1.04) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND 12/31/03 5.11 (0.03) 1.74 1.71 - - 12/31/02 7.23 (0.04) (2.08) (2.12) - - 12/31/01 9.90 (0.05) (2.62) (2.67) - - 05/01(a)-12/31/00 10.00 - (0.10) (0.10) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND 12/31/03 13.06 0.16 3.04 3.20 (0.17) - 12/31/02 16.50 0.16 (3.44) (3.28) (0.16) - 12/31/01 17.78 0.15 (1.27) (1.12) (0.16) - 12/31/00 16.78 0.16 1.00 1.16 (0.16) - 12/31/99 18.24 0.19 (0.38) (0.19) (0.20) (1.07) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND 12/31/03 5.67 0.03 1.62 1.65 (0.02) - 12/31/02 7.46 0.05 (1.80) (1.75) (0.04) - 12/31/01 9.47 0.19 (1.69) (1.50) (0.16) (0.35) 01/06(a)-12/31/00 10.00 0.05 (0.58) (0.53) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND I 12/31/03 8.44 0.06 2.20 2.26 (0.13) - 12/31/02 10.45 0.06 (1.97) (1.91) (0.10) - 12/31/01 12.86 0.02 (1.38) (1.36) (0.35) (0.70) 12/31/00 14.69 (0.10) (1.28) (1.38) (0.17) (0.28) 12/31/99 10.88 (0.15) 4.00 3.85 (0.04) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND II 12/31/03 6.96 0.09 1.73 1.82 (0.08) - 12/31/02 8.99 0.08 (2.00) (1.92) (0.11) - 12/31/01 11.36 0.07 (1.51) (1.44) (0.25) (0.68) 12/31/00 12.92 (0.01) (1.16) (1.17) (0.14) (0.25) 12/31/99 10.05 (0.01) 2.89 2.88 (0.01) - --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND 12/31/03 $ - $ 16.54 27.23 % $ 164,927 74.82% 1.00 % 12/31/02 - 13.04 (24.10) 153,303 123.47 0.99 12/31/01 - 17.18 (25.01) 282,049 91.77 0.96 12/31/00 - 22.91 (17.85) 497,299 77.67 0.94 12/31/99 - 28.45 29.41 454,393 74.67 0.97 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND 12/31/03 - 9.61 28.53 96,811 113.94 1.23 12/31/02 - 7.59 (20.58) 78,272 134.52 1.18 12/31/01 - 9.66 (20.29) 103,972 66.42 1.17 12/31/00 - 12.23 (13.99) 126,812 138.12 1.17 12/31/99 - 16.79 132.11 105,034 26.19 1.18 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND 12/31/03 - 6.82 33.46 28,909 116.81 1.05 12/31/02 - 5.11 (29.32) 18,647 116.70 1.05 12/31/01 - 7.23 (26.97) 29,541 211.61 1.05 05/01(a)-12/31/00 - 9.90 (1.00) 46,122 58.67 1.05 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND 12/31/03 - 16.09 24.55 309,732 67.86 0.98 12/31/02 - 13.06 (19.87) 256,100 62.19 0.98 12/31/01 - 16.50 (6.32) 347,246 82.54 0.96 12/31/00 - 17.78 6.96 422,750 86.43 0.96 12/31/99 - 16.78 (1.04) 319,454 72.23 0.98 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND 12/31/03 - 7.30 29.09 12,453 8.59 0.20 12/31/02 - 5.67 (23.49) 11,720 22.34 0.20 12/31/01 - 7.46 (15.86) 18,387 56.62 0.20 01/06(a)-12/31/00 - 9.47 (5.30) 18,897 12.75 0.20 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND I 12/31/03 - 10.57 26.80 164,016 3.87 0.20 12/31/02 - 8.44 (18.26) 97,110 37.53 0.20 12/31/01 - 10.45 (10.58) 107,519 67.65 0.20 12/31/00 - 12.86 (9.37) 95,075 24.94 0.20 12/31/99 - 14.69 35.38 41,329 26.50 0.20 ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND II 12/31/03 - 8.70 26.11 3,892 17.66 0.20 12/31/02 - 6.96 (21.37) 3,973 47.43 0.20 12/31/01 - 8.99 (12.75) 5,978 57.39 0.20 12/31/00 - 11.36 (9.04) 6,257 42.75 0.20 12/31/99 - 12.92 28.66 3,379 72.67 0.20 ---------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND 12/31/03 0.45 % 1.07 % 0.38 % 12/31/02 0.23 1.05 0.17 12/31/01 (0.07) 0.99 (0.10) 12/31/00 (0.22) 0.95 (0.23) 12/31/99 (0.21) n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND 12/31/03 1.17 1.26 1.14 12/31/02 0.83 1.21 0.80 12/31/01 0.76 1.18 0.75 12/31/00 0.44 n/a n/a 12/31/99 0.63 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND 12/31/03 (0.52) 1.11 (0.58) 12/31/02 (0.62) 1.10 (0.67) 12/31/01 (0.46) 1.09 (0.50) 05/01(a)-12/31/00 (0.09) 1.06 (0.10) -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND 12/31/03 1.16 1.03 1.11 12/31/02 1.06 1.01 1.03 12/31/01 0.89 0.99 0.86 12/31/00 1.05 0.97 1.04 12/31/99 1.19 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND 12/31/03 0.35 n/a n/a 12/31/02 0.22 n/a n/a 12/31/01 0.42 n/a n/a 01/06(a)-12/31/00 0.99 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND I 12/31/03 0.97 n/a n/a 12/31/02 0.77 n/a n/a 12/31/01 1.16 n/a n/a 12/31/00 1.62 n/a n/a 12/31/99 1.22 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/S&P AGGRESSIVE GROWTH FUND II 12/31/03 0.85 n/a n/a 12/31/02 0.74 n/a n/a 12/31/01 1.04 n/a n/a 12/31/00 1.53 n/a n/a 12/31/99 1.26 n/a n/a -------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND 12/31/03 $ 7.48 $ 0.11 $ 1.34 $ 1.45 $ 1.34 $ - 12/31/02 8.65 0.20 (1.25) (1.05) (0.12) - 12/31/01 9.54 0.29 (0.92) (0.63) (0.17) (0.09) 01/26(a)-12/31/00 10.00 0.27 (0.73) (0.46) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND I 12/31/03 9.48 0.10 1.58 1.68 (0.25) - 12/31/02 10.54 0.10 (0.99) (0.89) (0.17) - 12/31/01 11.83 0.08 (0.65) (0.57) (0.34) (0.38) 12/31/00 12.45 0.11 (0.31) (0.20) (0.23) (0.19) 12/31/99 10.47 (0.06) 2.10 2.04 (0.06) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND II 12/31/03 7.86 0.19 1.44 1.63 (0.18) - 12/31/02 9.21 0.15 (1.32) (1.17) (0.18) - 12/31/01 10.07 0.12 (0.83) (0.71) (0.15) - 12/31/00 11.01 0.16 (0.80) (0.64) (0.30) - 12/31/99 9.54 0.06 1.48 1.54 (0.07) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 100 FUND 12/31/03 8.66 0.03 1.88 1.91 (0.03) (0.02) 01/15(a)-12/31/02 10.00 0.07 (1.41) (1.34) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 50 FUND 12/31/03 7.84 0.03 2.39 2.42 - - 01/15(a)-12/31/02 10.00 0.01 (2.17) (2.16) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P CORE INDEX 75 FUND 12/31/03 8.25 0.03 2.15 2.18 (0.02) (0.02) 01/15(a)-12/31/02 10.00 0.05 (1.80) (1.75) - - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I 12/31/03 7.35 0.01 2.19 2.20 - - 12/31/02 9.58 - (2.22) (2.22) (0.01) - 12/31/01 12.59 (0.05) (1.67) (1.72) (0.31) (0.98) 12/31/00 15.56 (0.21) (2.17) (2.38) (0.17) (0.42) 12/31/99 10.75 (0.16) 5.02 4.86 (0.05) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II 12/31/03 6.99 0.01 1.96 1.97 (0.01) - 12/31/02 9.86 0.01 (2.50) (2.49) (0.01) (0.37) 12/31/01 12.46 0.02 (1.62) (1.60) (0.28) (0.72) 12/31/00 14.44 (0.17) (1.45) (1.62) (0.07) (0.29) 12/31/99 10.36 (0.05) 4.15 4.10 (0.02) - --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND 12/31/03 $ - $ 8.84 19.40 % $ 15,679 13.17 % 0.20 % 12/31/02 - 7.48 (12.16) 14,157 26.25 0.20 12/31/01 - 8.65 (6.60) 15,495 49.04 0.20 01/26(a)-12/31/00 - 9.54 (4.60) 8,737 18.17 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P CONSERVATIVE GROWTH FUND I 12/31/03 - 10.91 17.75 402,322 2.24 0.20 12/31/02 - 9.48 (8.48) 227,833 31.43 0.20 12/31/01 - 10.54 (4.78) 187,495 49.46 0.20 12/31/00 - 11.83 (1.55) 139,701 25.30 0.20 12/31/99 - 12.45 19.52 72,998 12.96 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P CONSERVATIVE GROWTH FUND II 12/31/03 - 9.31 20.72 14,019 21.86 0.20 12/31/02 - 7.86 (12.74) 12,596 38.86 0.20 12/31/01 - 9.21 (7.00) 13,202 66.63 0.20 12/31/00 - 10.07 (5.77) 9,867 25.52 0.20 12/31/99 - 11.01 16.14 6,513 55.32 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P CORE INDEX 100 FUND 12/31/03 - 10.52 22.08 36,421 6.64 0.20 01/15(a)-12/31/02 - 8.66 (13.40) 14,213 26.04 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P CORE INDEX 50 FUND 12/31/03 - 10.26 30.93 7,629 11.61 0.20 01/15(a)-12/31/02 - 7.84 (21.60) 1,969 46.56 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P CORE INDEX 75 FUND 12/31/03 - 10.39 26.48 10,017 22.32 0.20 01/15(a)-12/31/02 - 8.25 (17.50) 4,460 18.99 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I 12/31/03 - 9.55 29.94 51,344 9.22 0.20 12/31/02 - 7.35 (23.21) 31,372 41.22 0.20 12/31/01 - 9.58 (13.69) 41,038 75.09 0.20 12/31/00 - 12.59 (15.27) 40,471 28.62 0.20 12/31/99 - 15.56 145.25 18,680 41.60 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II 12/31/03 - 8.95 28.12 1,560 16.30 0.20 12/31/02 - 6.99 (25.19) 1,510 22.62 0.20 12/31/01 - 9.86 (12.85) 2,825 53.36 0.20 12/31/00 - 12.46 (11.18) 3,475 17.61 0.20 12/31/99 - 14.44 139.61 946 202.45 0.20 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND 12/31/03 1.27 % n/a % n/a % 12/31/02 1.04 n/a n/a 12/31/01 1.78 n/a n/a 01/26(a)-12/31/00 4.79 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND I 12/31/03 1.79 n/a n/a 12/31/02 1.75 n/a n/a 12/31/01 2.42 n/a n/a 12/31/00 3.53 n/a n/a 12/31/99 3.97 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P CONSERVATIVE GROWTH FUND II 12/31/03 2.04 n/a n/a 12/31/02 2.02 n/a n/a 12/31/01 2.47 n/a n/a 12/31/00 3.03 n/a n/a 12/31/99 3.31 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P CORE INDEX 100 FUND 12/31/03 0.90 n/a n/a 01/15(a)-12/31/02 1.87 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P CORE INDEX 50 FUND 12/31/03 0.65 n/a n/a 01/15(a)-12/31/02 0.25 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P CORE INDEX 75 FUND 12/31/03 0.76 n/a n/a 01/15(a)-12/31/02 1.30 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND I 12/31/03 0.09 n/a n/a 12/31/02 0.00 n/a n/a 12/31/01 0.06 n/a n/a 12/31/00 0.56 n/a n/a 12/31/99 (0.09) n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P EQUITY AGGRESSIVE GROWTH FUND II 12/31/03 0.07 n/a n/a 12/31/02 0.04 n/a n/a 12/31/01 0.08 n/a n/a 12/31/00 0.71 n/a n/a 12/31/99 0.00 n/a n/a ------------------------------------------------------------------------- ------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND I 12/31/03 $ 7.45 $ 0.01 $ 2.19 $ 2.20 $ - $ - 12/31/02 9.73 - (2.27) (2.27) (0.01) - 12/31/01 12.59 (0.06) (1.73) (1.79) (0.26) (0.81) 12/31/00 15.21 (0.18) (1.96) (2.14) (0.15) (0.33) 12/31/99 10.64 (0.18) 4.77 4.59 (0.02) - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND II 12/31/03 6.63 0.01 1.79 1.80 (0.01) - 12/31/02 9.33 0.01 (2.44) (2.43) (0.02) (0.25) 12/31/01 11.89 0.02 (1.72) (1.70) (0.24) (0.62) 12/31/00 13.67 (0.11) (1.31) (1.42) (0.10) (0.26) 12/31/99 10.04 (0.05) 3.69 3.64 (0.01) - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND 12/31/03 6.54 0.08 1.58 1.66 (0.05) - 12/31/02 8.03 0.14 (1.54) (1.40) (0.09) - 12/31/01 9.19 0.27 (1.12) (0.85) (0.16) (0.15) 01/13(a)-12/31/00 10.00 0.17 (0.98) (0.81) - - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND I 12/31/03 9.25 0.08 1.93 2.01 (0.19) - 12/31/02 10.70 0.08 (1.41) (1.33) (0.12) - 12/31/01 12.37 0.01 (0.92) (0.91) (0.32) (0.44) 12/31/00 13.42 0.03 (0.62) (0.59) (0.21) (0.25) 12/31/99 10.63 (0.11) 2.95 2.84 (0.05) - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND II 12/31/03 7.85 0.14 1.67 1.81 (0.12) - 12/31/02 9.44 0.11 (1.57) (1.46) (0.13) - 12/31/01 11.22 0.11 (1.18) (1.07) (0.28) (0.43) 12/31/00 12.49 0.06 (0.88) (0.82) (0.17) (0.28) 12/31/99 10.22 0.05 2.28 2.33 (0.06) - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P VERY AGGRESSIVE GROWTH FUND I 12/31/03 7.62 - 2.33 2.33 - - 12/31/02 9.93 - (2.30) (2.30) (0.01) - 12/31/01 13.08 (0.04) (1.76) (1.80) (0.28) (1.07) 12/31/00 16.61 (0.29) (2.56) (2.85) (0.18) (0.50) 12/31/99 11.19 (0.21) 5.68 5.47 (0.04) (0.01) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P VERY AGGRESSIVE GROWTH FUND II 12/31/03 7.08 - 2.01 2.01 - - 12/31/02 9.49 - (2.40) (2.40) (0.01) - 12/31/01 12.45 0.07 (1.56) (1.49) (0.36) (1.11) 12/31/00 15.37 (0.07) (1.91) (1.98) (0.22) (0.72) 12/31/99 10.80 (0.07) 4.65 4.58 - (0.01) ----------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND I 12/31/03 $ - $ 9.65 29.55 % $ 175,618 7.74 % 0.20 % 12/31/02 - 7.45 (23.34) 105,130 36.47 0.20 12/31/01 - 9.73 (14.31) 145,413 76.59 0.20 12/31/00 - 12.59 (14.06) 135,523 28.83 0.20 12/31/99 - 15.21 43.19 60,879 34.62 0.20 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND II 12/31/03 - 8.42 27.15 6,439 17.51 0.20 12/31/02 - 6.63 (26.08) 5,447 36.35 0.20 12/31/01 - 9.33 (14.38) 9,472 74.49 0.20 12/31/00 - 11.89 (10.35) 11,243 18.49 0.20 12/31/99 - 13.67 136.29 4,733 59.07 0.20 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND 12/31/03 - 8.15 25.45 28,800 12.31 0.20 12/31/02 - 6.54 (17.37) 25,504 33.35 0.20 12/31/01 - 8.03 (9.32) 34,317 40.65 0.20 01/13(a)-12/31/00 - 9.19 (8.10) 21,489 14.96 0.20 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND I 12/31/03 - 11.07 21.73 609,887 3.33 0.20 12/31/02 - 9.25 (12.40) 331,543 32.67 0.20 12/31/01 - 10.70 (7.34) 298,741 59.64 0.20 12/31/00 - 12.37 (4.35) 222,052 19.23 0.20 12/31/99 - 13.42 26.74 110,608 17.15 0.20 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P MODERATE GROWTH FUND II 12/31/03 - 9.54 23.12 19,332 21.87 0.20 12/31/02 - 7.85 (15.51) 16,473 41.52 0.20 12/31/01 - 9.44 (9.48) 17,900 62.10 0.20 12/31/00 - 11.22 (6.57) 17,884 18.92 0.20 12/31/99 - 12.49 22.77 10,450 38.38 0.20 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P VERY AGGRESSIVE GROWTH FUND I 12/31/03 - 9.95 30.58 60,193 13.41 0.20 12/31/02 - 7.62 (23.20) 42,128 39.74 0.20 12/31/01 - 9.93 (13.73) 58,358 92.20 0.20 12/31/00 - 13.08 (17.16) 57,841 29.95 0.20 12/31/99 - 16.61 148.86 23,588 141.89 0.20 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P VERY AGGRESSIVE GROWTH FUND II 12/31/03 - 9.09 28.41 2,119 7.56 0.20 12/31/02 - 7.08 (25.32) 1,898 26.06 0.20 12/31/01 - 9.49 (11.97) 1,159 57.87 0.20 12/31/00 - 12.45 (12.86) 4,395 21.22 0.20 12/31/99 - 15.37 142.42 3,122 145.99 0.20 ------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/S&P EQUITY GROWTH FUND I 12/31/03 0.18 % n/a % n/a % 12/31/02 0.02 n/a n/a 12/31/01 0.09 n/a n/a 12/31/00 0.52 n/a n/a 12/31/99 (0.01) n/a n/a ------------------------------------------------------------------------ ------------------------------------------------------------------------ JNL/S&P EQUITY GROWTH FUND II 12/31/03 0.17 n/a n/a 12/31/02 0.11 n/a n/a 12/31/01 0.13 n/a n/a 12/31/00 0.62 n/a n/a 12/31/99 0.20 n/a n/a ------------------------------------------------------------------------ ------------------------------------------------------------------------ JNL/S&P MODERATE GROWTH FUND 12/31/03 0.99 n/a n/a 12/31/02 0.62 n/a n/a 12/31/01 1.29 n/a n/a 01/13(a)-12/31/00 3.68 n/a n/a ------------------------------------------------------------------------ ------------------------------------------------------------------------ JNL/S&P MODERATE GROWTH FUND I 12/31/03 1.40 n/a n/a 12/31/02 1.26 n/a n/a 12/31/01 1.66 n/a n/a 12/31/00 2.61 n/a n/a 12/31/99 2.99 n/a n/a ------------------------------------------------------------------------ ------------------------------------------------------------------------ JNL/S&P MODERATE GROWTH FUND II 12/31/03 1.59 n/a n/a 12/31/02 1.38 n/a n/a 12/31/01 1.46 n/a n/a 12/31/00 2.15 n/a n/a 12/31/99 2.15 n/a n/a ------------------------------------------------------------------------ ------------------------------------------------------------------------ JNL/S&P VERY AGGRESSIVE GROWTH I 12/31/03 0.03 n/a n/a 12/31/02 (0.04) n/a n/a 12/31/01 0.07 n/a n/a 12/31/00 0.54 n/a n/a 12/31/99 (0.13) n/a n/a ------------------------------------------------------------------------ ------------------------------------------------------------------------ JNL/S&P VERY AGGRESSIVE GROWTH II 12/31/03 0.00 n/a n/a 12/31/02 0.02 n/a n/a 12/31/01 0.05 n/a n/a 12/31/00 0.59 n/a n/a 12/31/99 (0.07) n/a n/a ------------------------------------------------------------------------ ------------------------ (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. JNL SERIES TRUST FINANCIAL HIGHLIGHTS Increase (Decrease) from Investment Operations --------------------------------------------- Distributions from Net Asset --------------------------------------------- Net Realized Value Net Net Realized Total from Distributions from Gains on Beginning Investment & Unrealized Investment Net Investment Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income Transactions --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS BALANCED FUND 12/31/03 $ 9.55 $ 0.15 $ 1.48 $ 1.63 $ (0.22) $ - 12/31/02 10.30 0.02 (0.77) (0.75) - - 12/31/01 10.58 0.21 (0.26) (0.05) (0.19) (0.04) 12/31/00 10.11 0.36 0.46 0.82 (0.35) - 12/31/99 10.38 0.28 (0.27) 0.01 (0.28) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS GLOBAL BOND FUND 12/31/03 10.63 0.49 0.95 1.44 (0.52) (0.15) 12/31/02 10.41 0.65 0.22 0.87 (0.65) - 12/31/01 10.37 0.68 0.01 0.69 (0.65) - 12/31/00 10.25 0.68 0.06 0.74 (0.62) - 12/31/99 10.67 0.62 (0.42) 0.20 (0.62) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND 12/31/03 6.98 0.75 1.05 1.80 (0.75) - 12/31/02 7.42 0.87 (0.44) 0.43 (0.87) - 12/31/01 7.67 0.65 (0.24) 0.41 (0.66) - 12/31/00 8.71 0.64 (1.05) (0.41) (0.63) - 12/31/99 9.59 0.71 (0.88) (0.17) (0.71) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND 12/31/03 11.89 0.45 (0.31) 0.14 (0.42) (0.14) 12/31/02 11.17 0.42 0.86 1.28 (0.42) (0.14) 12/31/01 10.96 0.50 0.25 0.75 (0.49) (0.05) 12/31/00 10.36 0.60 0.59 1.19 (0.59) - 12/31/99 11.15 0.51 (0.79) (0.28) (0.51) - --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND 12/31/03 12.85 0.02 3.90 3.92 - - 12/31/02 16.78 0.01 (3.92) (3.91) (0.02) - 12/31/01 18.74 0.02 (1.94) (1.92) - (0.04) 12/31/00 21.70 - (0.11) (0.11) (0.01) (2.84) 12/31/99 19.06 0.03 4.12 4.15 (0.03) (1.48) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND 12/31/03 18.05 (0.12) 7.08 6.96 - (0.12) 12/31/02 23.12 (0.15) (4.92) (5.07) - - 12/31/01 23.47 (0.13) (0.22) (0.35) - - 12/31/00 23.71 (0.04) 1.67 1.63 - (1.87) 12/31/99 20.43 (0.05) 4.93 4.88 - (1.60) --------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND 12/31/03 9.22 0.06 2.70 2.76 (0.06) - 12/31/02 11.11 0.09 (1.96) (1.87) - (0.02) 12/31/01 11.14 0.08 0.01 0.09 (0.08) (0.04) 05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09) (0.02) --------------------------------------------------------------------------------------------------------------------- Supplemental Data ---------------------------------------- ---------------------------------------- Ratio of Net Asset Net Assets, Expenses to Return of Value, End Total End of Period Portfolio Average Net Period Ended Capital of Period Return(b) (in thousands) Turnover (d) Assets (c) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS BALANCED FUND 12/31/03 $ - $ 10.96 17.05 % $ 18,640 24.48 % 0.90 % 12/31/02 - 9.55 (7.28) 15,453 29.32 0.90 12/31/01 - 10.30 (0.52) 18,097 46.03 0.93 (e) 12/31/00 - 10.58 8.20 12,597 26.67 0.90 12/31/99 - 10.11 0.09 7,517 59.53 0.90 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS GLOBAL BOND FUND 12/31/03 - 11.40 13.53 197,923 61.03 0.95 12/31/02 - 10.63 8.38 125,881 83.34 0.95 12/31/01 - 10.41 6.71 123,310 86.36 0.98 (f) 12/31/00 - 10.37 7.28 116,654 93.13 0.95 12/31/99 - 10.25 1.87 81,061 98.01 0.95 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND 12/31/03 - 8.03 25.79 19,464 71.74 0.90 12/31/02 - 6.98 5.76 17,079 77.04 0.90 12/31/01 - 7.42 5.33 20,220 48.73 0.90 12/31/00 - 7.67 (4.67) 16,437 35.52 0.90 12/31/99 - 8.71 (1.76) 10,690 31.39 0.90 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND 12/31/03 - 11.47 1.18 257,274 43.56 0.78 12/31/02 - 11.89 11.47 304,265 35.72 0.78 12/31/01 - 11.17 6.92 226,275 69.10 0.82 (g) 12/31/00 - 10.96 11.50 138,122 49.09 0.80 12/31/99 - 10.36 (2.50) 106,329 122.72 0.80 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND 12/31/03 - 16.77 30.54 474,046 36.37 0.92 12/31/02 - 12.85 (23.33) 316,367 46.16 0.92 12/31/01 - 16.78 (10.23) 474,105 63.38 0.92 12/31/00 - 18.74 (0.34) 411,855 77.19 0.92 12/31/99 - 21.70 21.77 351,338 61.45 0.93 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND 12/31/03 - 24.89 38.60 379,541 42.89 1.03 12/31/02 - 18.05 (21.93) 248,327 42.22 1.03 12/31/01 - 23.12 (1.49) 366,028 44.26 1.02 12/31/00 - 23.47 7.16 419,796 47.90 1.02 12/31/99 - 23.71 24.01 286,502 56.68 1.03 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND 12/31/03 - 11.92 129.97 404,470 28.06 1.00 12/31/02 - 9.22 (16.84) 220,106 38.21 1.00 12/31/01 - 11.11 110.78 216,408 42.29 1.00 05/01(a)-12/31/00 - 11.14 112.54 26,446 44.84 1.00 ----------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------- -------------------------------- Ratio of Net Ratio of Net Investment Ratio of Investment Income (Loss) Expenses to Income (Loss) to Average Average Net to Average Period Ended Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------- ------------------------------------------------------------------------- JNL/SALOMON BROTHERS BALANCED FUND 12/31/03 1.64 % n/a % n/a % 12/31/02 2.05 n/a n/a 12/31/01 2.46 n/a n/a 12/31/00 3.91 n/a n/a 12/31/99 3.54 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/SALOMON BROTHERS GLOBAL BOND FUND 12/31/03 5.03 n/a n/a 12/31/02 6.22 n/a n/a 12/31/01 6.46 n/a n/a 12/31/00 7.42 n/a n/a 12/31/99 7.22 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND 12/31/03 8.47 n/a n/a 12/31/02 8.88 n/a n/a 12/31/01 8.54 n/a n/a 12/31/00 9.17 n/a n/a 12/31/99 8.74 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND 12/31/03 3.26 n/a n/a 12/31/02 4.26 n/a n/a 12/31/01 5.09 n/a n/a 12/31/00 6.06 n/a n/a 12/31/99 5.45 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND 12/31/03 0.14 0.95 0.11 12/31/02 0.06 0.94 0.04 12/31/01 0.12 0.92 0.12 12/31/00 0.03 0.92 0.02 12/31/99 0.16 n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND 12/31/03 (0.60) 1.04 (0.61) 12/31/02 (0.67) 1.04 (0.68) 12/31/01 (0.56) 1.03 (0.57) 12/31/00 (0.20) n/a n/a 12/31/99 (0.28) n/a n/a -------------------------------------------------------------------------- -------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND 12/31/03 1.05 1.02 1.03 12/31/02 0.97 1.02 0.95 12/31/01 0.93 1.02 0.91 05/01(a)-12/31/00 1.47 1.01 1.46 -------------------------------------------------------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. (e) The ratio of net operating expenses was 0.90% (f) The ratio of net operating expenses was 0.95% (g) The ratio of net operating expenses was 0.79%
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- JNL SERIES TRUST NOTES TO THE FINANCIAL STATEMENTS NOTE 1. ORGANIZATION JNL Series Trust ("Trust") is an open-end management investment company organized under the laws of Massachusetts, by a Declaration of Trust, dated June 1, 1994. The Trust, consisting of diversified and non-diversified Funds, is registered with the Securities and Exchange Commission under the Investment Company Act of 1940. The Trust currently offers shares in fifty-seven (57) separate funds (the "Funds"), each with its own investment objective. JNL/AIM Large Cap Growth Fund, JNL/AIM Premier Equity II Fund and JNL/AIM Small Cap Growth Fund for which AIM Capital Management Inc. serves as the sub-adviser; JNL/Alger Growth Fund, for which Fred Alger Management, Inc. serves as the sub-adviser; JNL/Alliance Capital Growth Fund, for which Alliance Capital Management L.P. serves as the sub-adviser; JNL/Curian Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400 Mid Cap Index Fund, JNL/Curian S&P 500 Index Fund, and JNL/Curian Small Cap Index Fund, for which Curian CapitalSM LLC serves as the sub-adviser; JNL/Eagle Core Equity Fund and JNL/Eagle SmallCap Equity Fund, for which Eagle Asset Management, Inc. serves as the sub-adviser; JNL/Janus Aggressive Growth Fund, JNL/Janus Balanced Fund, JNL/Janus Capital Growth Fund, JNL/Janus Global Equities Fund and JNL/Janus Growth & Income Fund, for which Janus Capital Management, LLC serves as the sub-adviser; JNL/JPMorgan International Value Fund, for which JPMorgan Investment Management Inc. serves as the sub-adviser; JNL/Mellon Capital Management Bond Index Fund, JNL/Mellon Capital Management International Index Fund, for which Mellon Capital Management Corp. serves as the sub-adviser; JNL/Oppenheimer Global Growth Fund and JNL/Oppenheimer Growth Fund, for which OppenheimerFunds Inc. serves as the sub-adviser; JNL/PIMCO Total Return Bond Fund, for which Pacific Investment Management Company serves as the sub-adviser; JNL/PPM America Balanced Fund, JNL/PPM America High Yield Bond Fund, JNL/PPM America Money Market Fund and the JNL/PPM America Value Fund, for which PPM America Inc. serves as sub-adviser; JNL/Putnam Equity Fund, JNL/Putnam International Equity Fund, JNL/Putnam Midcap Growth Fund and JNL/Putnam Value Equity Fund, for which Putnam Investment Management LLC serves as the sub-adviser; JNL/Lazard Mid Cap Value Fund and JNL/Lazard Small Cap Value Fund, for which Lazard Asset Management serves as sub-adviser; JNL/S&P Aggressive Growth Fund, JNL/S&P Aggressive Growth Fund I, JNL/S&P Aggressive Growth Fund II, JNL/S&P Conservative Growth Fund, JNL/S&P Conservative Growth Fund I, JNL/S&P Conservative Growth Fund II, JNL/S&P Core Index 100 Fund, JNL/S&P Core Index 50 Fund, JNL/S&P Core Index 75 Fund, JNL/S&P Equity Aggressive Growth Fund I, JNL/S&P Equity Aggressive Growth Fund II, JNL/S&P Equity Growth Fund I, JNL/S&P Equity Growth Fund II, JNL/S&P Moderate Growth Fund, JNL/S&P Moderate Growth Fund I, JNL/S&P Moderate Growth Fund II, JNL/S&P Very Aggressive Growth Fund I, JNL/S&P Very Aggressive Growth Fund II, (collectively the "JNL/S&P Funds") for which Standard & Poor's Investment Advisory Services, Inc. serves as the sub-adviser; JNL/Salomon Brothers Balanced Fund, JNL/Salomon Brothers Global Bond Fund, JNL/Salomon Brothers High Yield Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund, for which Salomon Brothers Asset Management Inc. serves as the sub-adviser, and JNL/T. Rowe Established Growth Fund, JNL/T. Rowe Mid-Cap Growth Fund and JNL/T. Rowe Value Fund, for which T. Rowe Price Associates, Inc. serves as the sub-adviser. The JNL/S&P Funds have a fund of fund structure which invests in other affiliated underlying funds. Effective December 15, 2003, the JNL/JPMorgan Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund, and JNL/Mellon Capital Management Small Cap Index Fund became the JNL/Curian Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400 Mid Cap Index Fund, JNL/Curian S&P 500 Index Fund, and JNL/Curian Small Cap Index Fund, respectively, and are managed by Curian CapitalSM LLC. Effective December 15, 2003, the Trust adopted a Multiple Class Plan which authorizes each Fund to issue from time to time one or more classes of shares. The Multiple Class Plan currently designates two classes of shares: Class A which is subject to the Advisory Fee, the Administration Fee, the 12b-1 Fee and the Brokerage Enhancement Plan fee; and Class B which is subject to the Advisory Fee, the Administration Fee and the Brokerage Enhancement Plan fee. For the year ended December 31, 2003, only Class A shares were offered. Jackson National Asset Management, LLC ("JNAM L.L.C."), a wholly-owned subsidiary of Jackson National Life Insurance Company ("Jackson National"), serves as investment adviser ("Adviser") for all the Funds of the Trust. PPM America, Inc. and Curian Capital LLC are affiliates of the Adviser. Shares are presently offered to Jackson National (Jackson National Life Insurance Company of New York) and its separate accounts to fund the benefits of variable annuity policies. Shares are also sold to qualified plans. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed and consistently applied by the Trust in the preparation of its financial statements. Certain prior year amounts have been reclassified in conformity with the current year's presentation. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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 increase and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Bonds are valued on the basis of prices furnished by pricing services which determine prices for normal institutional size trading units of bonds or based on quotations provided by reputable broker-dealers. Stocks are valued at the last quoted sale price on the New York stock exchange or final bid price in absence of a sale. Stocks not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. If trading or events occurring in other markets after the close of the foreign stock exchange are expected to have a material affect on the value of the investments, or when quotations are not readily available, securities are valued at fair market value determined by procedures approved by the Board of Trustees. Short-term securities maturing within 60 days of purchase, and all securities in the JNL/PPM America Money Market Fund, are valued at amortized cost, which approximates market value. American Depository Receipts ("ADRs") and Global Depository Receipts ("GDRs"), which are certificates representing shares of foreign securities deposited in domestic and foreign banks, are traded and valued in U.S. dollars. The JNL/S&P Funds are valued at the net asset value per share of each underlying Fund determined as of the close of the New York Stock Exchange on the valuation date. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date. Interest income, including level-yield amortization of discounts and premiums, is accrued daily. The Fund may place a debt obligation on non-accrual status and reduce related interest income by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Realized gains and losses are determined on the specific identification basis. FOREIGN CURRENCY TRANSLATIONS -- The accounting records of each Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars using exchange rates in effect as of 11:00 a.m. Eastern Standard Time. Purchases and sales of investment securities, income receipts, and expense payments are translated into U.S. dollars at the exchange rates prevailing on the respective dates of such transactions. Realized gains and losses arising from selling foreign currencies and certain non-dollar denominated fixed income securities, entering into forward foreign currency exchange contracts, and accruing income or settling portfolio purchases and sales denominated in a foreign currency paid or received at a later date are recorded as net realized foreign currency related gains (losses) and are considered ordinary income for tax purposes. Realized and unrealized gains and losses on investments which result from changes in foreign currency exchange rates are primarily included in net realized gains (losses) and net unrealized appreciation (depreciation), respectively. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- A Fund may enter into forward foreign currency exchange contracts ("contracts"), generally to hedge foreign currency exposure between trade date and settlement date on security purchases and sales ("spot hedges") or to minimize foreign currency risk on portfolio securities denominated in foreign currencies ("position hedges"). All contracts are valued at the forward currency exchange rate and are marked-to-market daily. When the contract is open, the change in market value is recorded as net unrealized appreciation (depreciation) on foreign currency related items. When the contract is closed, the difference between the value of the contract at the time it was opened and the value at the time it was closed is recorded as net realized gain (loss) on foreign currency related items. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds' portfolio securities, but it does establish a rate of exchange that can be achieved in the future. These forward foreign currency contracts involve market risk in excess of the unrealized appreciation (depreciation) of forward foreign currency contracts reflected in the Statements of Assets and Liabilities. Although contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Additionally, the Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparties to the contracts are unable to meet the terms of the contracts. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- A Fund may purchase securities on a when-issued or delayed delivery basis. On the trade date, the Fund records purchases of when-issued securities and reflect the values of such securities in determining net asset value in the same manner as other portfolio securities. Income is not accrued until settlement date. The Fund will segregate and maintain, until the settlement date, liquid assets in an amount sufficient to meet the purchase price. UNREGISTERED SECURITIES -- A Fund may own certain investment securities which are unregistered and thus restricted to resale. These securities are valued by the Fund after giving due consideration to pertinent factors including recent private sales, market conditions and the issuer's financial performance. Where future dispositions of the securities require registration under the Securities Act of 1933, the Funds have the right to include their securities in such registration generally without cost to the Funds. The Funds have no right to require registration of unregistered securities. OPTIONS TRANSACTIONS -- A Fund may write covered call options on portfolio securities. A Fund may buy and sell options contracts to manage its exposure to changes in securities prices and foreign currencies and as an efficient means of adjusting overall exposure to certain markets. Written options involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. Option contracts are valued at the closing prices on their exchanges and the Fund will realize a gain or loss upon expiration or closing of the option transaction. When a written call option is exercised, the proceeds on the sale of the underlying security are adjusted by the amount of premium received. FUTURES CONTRACTS -- A Fund may utilize futures contracts to a limited extent. A Fund may buy and sell futures contracts to manage its exposure to changes in securities prices and foreign currencies and as an efficient means of adjusting overall exposure to certain markets. The risks associated with the use of futures contracts include the possibility that the value may not correlate with the change in the value of the hedged instruments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid market. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin". Futures contracts are valued based upon their quoted daily settlement prices. The Fund receives from or pays to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the "variation margin," are recorded by the Fund as unrealized appreciation (depreciation) until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Assets and Liabilities. DOLLAR ROLL TRANSACTIONS -- A Fund may enter into dollar roll transactions with respect to mortgage securities in which the Fund sells mortgage securities and simultaneously agrees to repurchase similar (same type, coupon and maturity) securities at a later date at an agreed upon price. The value of the dollar roll transactions are reflected in the Funds' Statements of Assets and Liabilities as investment securities purchased. During the period between the sale and repurchase, the Fund forgoes principal and interest paid on the mortgage securities sold. The Fund is compensated by the interest earned on the cash proceeds of the initial sale and from negotiated fees paid by brokers offered as an inducement to the Fund to "roll over" its purchase commitments. These fees are accrued as income over the life of the dollar roll contract. Dollar roll transactions involve the risk that the market value of the securities sold by the Fund may decline below the repurchase price of those similar securities which the Fund is obligated to purchase or that the return earned by the Fund with the proceeds of a dollar roll may not exceed transaction costs. REPURCHASE AGREEMENTS -- A Fund may invest in repurchase agreements. A repurchase agreement involves the purchase of a security by a Fund and a simultaneous agreement (generally by a bank or broker-dealer) to repurchase that security back from the Fund at a specified price and date or upon demand. Securities pledged as collateral for repurchase agreements are held by the Fund's custodian bank until the maturity of the repurchase agreement. Procedures for all repurchase agreements have been designed to assure that the daily market value of the collateral is in excess of the repurchase agreement in the event of default. REVERSE REPURCHASE AGREEMENTS -- A Fund may engage in reverse repurchase agreements to borrow short term funds. The value of the reverse repurchase agreements that the Fund has committed to sell is reflected in the Statements of Assets and Liabilities. A Fund pays interest on amounts borrowed which is reflected in the Statements of Operations. The Fund will maintain securities in segregated accounts with its custodian that at all times are in an amount equal to their obligations under the reverse repurchase agreements. Reverse repurchase agreements involve the risks that the market value of the securities sold by the Fund may decline below the repurchase price and, if the proceeds from the reverse repurchase agreement are invested in securities, that the market value of the securities bought may decline below the repurchase price of the securities sold. SECURITIES LOANED -- The Trust has entered into a securities lending arrangement with the custodian. Under the terms of the agreement, the Funds receive a fee equal to a percentage of the net income from lending transactions. In exchange for such fees, the custodian is authorized to loan securities on behalf of the Funds and is required to maintain collateral at least equal in value to the value of the securities loaned. Cash collateral is invested by the custodian in the Mellon GSL DBT II (a pooled money market instrument approved by the Advisor). The Funds bear the risk of any deficiency in the amount of collateral available for return to a borrower due to a loss in an approved investment. SECURITIES SOLD SHORT -- A Fund may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. The Fund is obligated to deliver securities at the market price at the time the short position is closed. Potential losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. SWAPS -- A Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund may enter into interest rate, total return, forward swap spread lock and credit default swap agreements to manage its exposure to interest rates and credit risk. Interest rate swap agreements involve the exchange by the Fund with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap. The swap spread is the difference between the benchmark swap rate (market rate) and the specific Treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party. The Fund may use credit default swaps to provide a measure of protection against defaults of sovereign issuers (i.e., to reduce risk where the Fund owns or has exposure to the sovereign issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Swaps are marked to market daily based upon quotations from market makers and vendors and the change in value, if any, is recorded as unrealized gain or loss in the Statement of Operations. Net periodic payments or any payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements, and that there may be unfavorable changes in interest rates. INFLATION-INDEXED BONDS -- A Fund may invest in inflation-indexed bonds which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive their principal until maturity. DISTRIBUTIONS TO SHAREHOLDERS -- The JNL/PPM America Money Market Fund declares dividends daily and pays dividends monthly. For all other Funds, dividends from net investment income are declared and paid annually, but may be done more frequently to avoid excise tax. Distributions of net realized capital gains, if any, will be distributed at least annually. FEDERAL INCOME TAXES -- The Trust's policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute income in amounts that will avoid federal income or excise taxes for each Fund. The Trust periodically makes reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. -------------------------------------------------------------------------------- JNL SERIES TRUST NOTES TO FINANACIAL STATEMENTS -------------------------------------------------------------------------------- NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES The Trust has an investment advisory agreement with JNAM L.L.C. whereby JNAM L.L.C. provides investment management and transfer agency services. Each Fund paid JNAM L.L.C. an annual fee, computed daily and payable monthly, based on a specified percentage of the average daily net assets of each Fund. A portion of this fee is paid to sub-advisers as compensation for their services. Effective December 15, 2003, the following is a schedule of the fees each Fund is currently obligated to pay JNAM L.L.C. which have been revised to reflect the 0.20% reduction in the advisory fee in conjunction with the Fund's adoption of the 12b-1 Service Fee (described below):
$0 $25 $50 $100 $150 $200 $250 $300 $350 $500 $750 TO TO TO TO TO TO TO TO TO TO TO OVER (M - MILLIONS; B - BILLIONS) $25 M $50M M $100 M $150 M $200 M $250 M $300 M $350 M $500 M $750 M $1.5 B $1.5 B ---------------------------- ----- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---- JNL/AIM Large Cap Growth Fund .80% .80% .80% .80% .80% .80% .80% .75% .75% .75% .75% .75% JNL/AIM Premier Equity II Fund .75 .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .70 JNL/AIM Small Cap Growth Fund .85 .85 .85 .85 .85 .85 .85 .80 .80 .80 .80 .80 JNL/Alger Growth Fund .775 .775 .775 .775 .775 .775 .775 .75 .75 .70 .70 .70 JNL/Alliance Capital Growth Fund .575 .575 .575 .575 .575 .575 .50 .50 .50 .50 .50 .50 JNL/Curian Enhanced S&P 500 Stock Index Fund (a) .57 .52 .52 .52 .52 .52 .52 .52 .52 .52 .52 .52 JNL/Curian S&P 400 MidCap Index Fund (b) .29 .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24 JNL/Curian S&P 500 Index Fund (b) .29 .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24 JNL/Curian Small Cap Index Fund (b) .29 .29 .29 .29 .29 .29 .29 .29 .29 .24 .24 .24 JNL/Eagle Core Equity Fund .70 .70 .65 .65 .65 .65 .65 .55 .55 .55 .55 .55 JNL/Eagle SmallCap Equity Fund .75 .75 .75 .75 .70 .70 .70 .70 .70 .65 .65 .65 JNL/Janus Aggressive Growth Fund .75 .75 .75 .75 .70 .70 .65 .65 .65 .65 .60 .55 JNL/Janus Balanced Fund .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .65 .60 JNL/Janus Capital Growth Fund .75 .75 .75 .75 .70 .70 .65 .65 .65 .65 .60 .55 JNL/Janus Global Equities Fund .80 .80 .80 .80 .75 .75 .75 .70 .70 .70 .70 .70 JNL/Janus Growth & Income Fund .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .65 .60 JNL/JPMorgan International Value Fund .775 .775 .75 .75 .75 .70 .70 .70 .65 .65 .65 .65 JNL/Lazard Mid Cap Value Fund .775 .775 .775 .775 .725 .725 .725 .70 .70 .70 .70 .70 JNL/Lazard Small Cap Value Fund .85 .85 .80 .80 .775 .775 .775 .725 .725 .725 .725 .725 JNL/Mellon Capital Management Bond Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25 JNL/Mellon Capital Management International Index Fund .30 .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25 JNL/Oppenheimer Global Growth Fund .70 .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60 JNL/Oppenheimer Growth Fund .70 .70 .70 .70 .70 .70 .70 .60 .60 .60 .60 .60 JNL/PIMCO Total Return Bond Fund .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 .50 JNL/PPM America Balanced Fund .55 .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425 JNL/PPM America High Yield Bond Fund .55 .55 .50 .50 .475 .475 .475 .45 .45 .425 .425 .425 JNL/PPM America Money Market Fund (c) .30 .30 .30 .30 .30 .30 .30 .30 .30 .25 .25 .25 JNL/PPM America Value Fund .55 .55 .55 .55 .55 .55 .55 .50 .50 .45 .45 .45 JNL/Putnam Equity Fund .70 .70 .70 .70 .65 .65 .65 .60 .60 .60 .60 .60 JNL/Putnam International Equity Fund .90 .90 .85 .85 .80 .80 .80 .75 .75 .70 .70 .70 JNL/Putnam Midcap Growth Fund .75 .75 .75 .75 .75 .75 .75 .70 .70 .70 .70 .70 JNL/Putnam Value Equity Fund .70 .70 .70 .70 .65 .65 .65 .60 .60 .60 .60 .60 JNL/S&P Funds .15 .15 .15 .15 .15 .15 .15 .15 .15 .10 .10 .10 JNL/Salomon Brothers Balanced Fund .60 .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50 JNL/Salomon Brothers Global Bond Fund .65 .65 .65 .65 .60 .60 .60 .60 .60 .55 .55 .55 JNL/Salomon Brothers High Yield Bond Fund .60 .60 .55 .50 .50 .50 .50 .50 .50 .50 .50 .50 JNL/Salomon Brothers U.S. Government & Quality Bond Fund .50 .50 .50 .50 .45 .45 .45 .40 .40 .35 .35 .35 JNL/T.Rowe Price Established Growth Fund .65 .65 .65 .65 .60 .60 .60 .60 .60 .60 .60 .60 JNL/T.Rowe Price Mid-Cap Growth Fund .75 .75 .75 .75 .70 .70 .70 .70 .70 .70 .70 .70 JNL/T.Rowe Price Value Fund .70 .70 .70 .70 .70 .70 .70 .65 .65 .65 .65 .65
(a) Prior to December 15, 2003, the advisory fees were 0.60% up to $25 million, and 0.55% thereafter. (b) Prior to December 15, 2003, the advisory fees were 0.30% up to $500 million, and 0.25% thereafter. (c) Prior to December 15, 2003, the advisory fees were 0.40% up to $150 million, 0.375% between $150 million and $300 million, 0.35% between $300 million and $500 million, and 0.325% thereafter. -------------------------------------------------------------------------------- JNL SERIES TRUST (UNAUDITED) NOTES TO THE FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- ADMINISTRATIVE FEE - The JNL/S&P Funds pay an annual Administrative Fee of 0.05% of the average daily net assets of each Fund. All other Funds, except the JNL/Mellon Capital Management International Index Fund and the JNL/Oppenheimer Global Growth Fund, pay JNAM L.L.C. an annual Administrative Fee of 0.10% of the average daily net assets of the Fund. The JNL/Mellon Capital Management International Index Fund and the JNL/Oppenheimer Global Growth Fund pay JNAM L.L.C. an annual Administrative Fee of 0.15% of the average daily net assets of the Fund. Effective March 1, 2003, the JNL/Janus Global Equities Fund, the JNL/JPMorgan International Value Fund, and the JNL/Putnam International Equity Fund pay JNAM L.L.C. an annual Administration Fee of 0.15% of the average daily net assets of the Funds. In return for the Administrative Fee, JNAM L.L.C. provides or procures all necessary administrative functions and services for the operation of the Funds. In addition, JNAM L.L.C., at its own expense, arranges for legal, audit, fund accounting, custody, printing and mailing, and all other services necessary for the operation of each Fund. Each Fund is responsible for trading expenses including brokerage commissions, interest and taxes, other non-operating expenses, and the fees and expenses of the disinterested Trustees and of independent legal counsel to the disinterested Trustees. During the period ended December 31, 2003, JNL/Alger Growth Fund, JNL/Curian Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400 MidCap Index Fund, JNL/Curian S&P 500 Index Fund, JNL/Curian Small Cap Index Fund and JNL/Oppenheimer Growth Fund paid $852, $35, $8, $13, $12 and $1, in thousands respectively, to affiliates of the Fund for brokerage fees on the execution of purchases and sales of portfolio investments. 12B-1 SERVICE FEE - Effective December 15, 2003, certain Funds have adopted a Distribution Plan under the provisions of Rule 12b-1 for the purpose of reimbursement of certain distribution and related service expenses from the sale and distribution of the Trust's Class A shares (through the sale of variable insurance products funded by the Trust). Jackson National Life Distributors, Inc. ("JNLD") is the principal underwriter of the Funds, with responsibility for promoting sales of their shares. JNLD also is the principal underwriter of the variable insurance products issued by Jackson National and its subsidiaries. JNLD is a wholly-owned subsidiary of Jackson National. The maximum 12b-1 fee allowed shall be 0.20% as a percentage of the average daily net assets attributable to the Class A shares. Amounts charged pursuant to the Distribution Plan are reflected in the Statement of Operations as "12b-1 service fees (Class A)". DISTRIBUTION (12B-1) FEE - Certain Funds have adopted a Brokerage Enhancement Plan (the "Plan") under the provisions of Rule 12b-1 for the purpose of utilizing the Trust's brokerage commissions to the extent available, to promote the sale and distribution of the Trust's shares by JNLD (through the sale of variable insurance products funded by the Trust). Commissions are reflected in the Statements of Operations as "Distribution (12b-1) fee" and a corresponding reduction "Fees paid indirectly". Net expenses of the Fund are unaffected by participating in the Plan. NOTE 4. PURCHASES AND SALES OF SECURITIES Information with respect to purchases and proceeds from sales of long-term securities for the period ended December 31, 2003 is as follows (in thousands):
INVESTMENT SECURITIES U.S. GOVERNMENT OBLIGATIONS PURCHASES SALES PURCHASES SALES ---------------- --------------- ---------------- ---------------- JNL/AIM Large Cap Growth Fund $ 47,889 24,142 $ - $ - JNL/AIM Premier Equity II Fund 17,312 9,661 - - JNL/AIM Small Cap Growth Fund 26,994 6,305 - - JNL/Alger Growth Fund 332,590 328,812 - - JNL/Alliance Capital Growth Fund 70,037 50,779 - - JNL/Curian Enhanced S&P 500 Stock Index Fund 98,110 68,566 167 - JNL/Curian S&P 400 MidCap Index Fund 62,100 6,436 - - JNL/Curian S&P 500 Index Fund 127,168 8,359 - - JNL/Curian Small Cap Index Fund 51,536 13,633 - - JNL/Eagle Core Equity Fund 185,636 138,113 - - JNL/Eagle SmallCap Equity Fund 61,270 62,208 - - JNL/Janus Aggressive Growth Fund 177,888 210,894 - - JNL/Janus Balanced Fund 68,204 44,635 11,973 8,506 JNL/Janus Capital Growth Fund 44,383 64,670 - - JNL/Janus Global Equities Fund 226,972 280,661 - - JNL/Janus Growth & Income Fund 6,532 7,723 - 495 JNL/JPMorgan International Value Fund 26,153 12,401 - - JNL/Lazard Mid Cap Value Fund 125,083 85,738 - - JNL/Lazard Small Cap Value Fund 112,502 68,793 - - JNL/Mellon Capital Management Bond Index Fund 18,501 3,366 83,088 36,006 JNL/Mellon Capital Management International Index 46,531 789 - - Fund JNL/Oppenheimer Global Growth Fund 50,893 24,864 - - JNL/Oppenheimer Growth Fund 31,499 20,392 - - JNL/PIMCO Total Return Bond Fund 267,239 291,726 221,194 193,472 JNL/PPM America Balanced Fund 112,310 65,860 82,078 67,733 JNL/PPM America High Yield Bond Fund 156,768 72,623 - - JNL/PPM America Value Fund 32,043 4,730 - - JNL/Putnam Equity Fund 114,499 141,422 - - JNL/Putnam International Equity Fund 93,713 97,442 - - JNL/Putnam Midcap Growth Fund 29,880 26,135 - - JNL/Putnam Value Equity Fund 177,221 180,258 - - JNL/S&P Aggressive Growth Fund 982 3,118 - - JNL/S&P Aggressive Growth Fund I 42,438 4,692 - - JNL/S&P Aggressive Growth Fund II 670 1,377 - - JNL/S&P Conservative Growth Fund 1,961 2,806 - - JNL/S&P Conservative Growth Fund I 136,192 6,683 - - JNL/S&P Conservative Growth Fund II 2,854 3,581 - - JNL/S&P Core Index 100 Fund 18,699 1,567 - - JNL/S&P Core Index 50 Fund 4,975 456 - - JNL/S&P Core Index 75 Fund 5,491 1,423 - - JNL/S&P Equity Aggressive Growth Fund I 12,619 3,558 - - JNL/S&P Equity Aggressive Growth Fund II 232 567 - - JNL/S&P Equity Growth Fund I 46,829 9,709 - - JNL/S&P Equity Growth Fund II 972 1,319 - - JNL/S&P Moderate Growth Fund 3,202 5,410 - - JNL/S&P Moderate Growth Fund I 210,696 14,418 - - JNL/S&P Moderate Growth Fund II 3,726 4,082 - - JNL/S&P Very Aggressive Growth Fund I 11,397 6,323 - - JNL/S&P Very Aggressive Growth Fund II 148 419 - - JNL/Salomon Brothers Balanced Fund 26,741 24,777 1,290 1,581 JNL/Salomon Brothers Global Bond Fund 537,093 481,241 11,100 5,150 JNL/Salomon Brothers High Yield Bond Fund 13,586 13,972 - - JNL/Salomon Brothers U.S. Government & Quality Bond Fund 1,331,147 1,302,557 55,513 96,906 JNL/T.Rowe Price Established Growth Fund 178,614 130,149 - - JNL/T.Rowe Price Mid-Cap Growth Fund 137,578 120,438 - - JNL/T.Rowe Price Value Fund 173,588 75,496 - -
NOTE 5. FOREIGN SECURITIES Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. Government. -------------------------------------------------------------------------------- JNL SERIES TRUST NOTES TO THE FINANCIAL STATEMENTS -------------------------------------------------------------------------------- NOTE 6. FEDERAL INCOME TAX MATTERS At December 31, 2003, the following Funds had accumulated net realized capital loss carryovers, in thousands, for U.S. federal income tax purposes, which may be used to offset future, realized capital gains (in thousands). It is the intent of the Board of Trustees to not distribute any realized capital gains until the accumulated net realized capital loss carryovers have been offset or have expired. YEAR(S) OF AMOUNT EXPIRATION ------------------------------------------------------------ ------------------------------------------------------------ JNL/AIM Large Cap Growth Fund $ 1,138 2010 JNL/AIM Premier Equity II Fund 2,596 2010-2011 JNL/AIM Small Cap Growth Fund 2,129 2010-2011 JNL/Alger Growth Fund 135,067 2009-2011 JNL/Alliance Capital Growth Fund 67,051 2009-2011 JNL/Curian Enhanced S&P 500 Stock Index Fund 3,629 2010 JNL/Curian S&P 400 MidCap Index Fund 250 2010-2011 JNL/Eagle Core Equity Fund 41,816 2009-2011 JNL/Eagle SmallCap Equity Fund 19,443 2009-2011 JNL/Janus Aggressive Growth Fund 360,968 2009-2011 JNL/Janus Balanced Fund 12,339 2008-2011 JNL/Janus Capital Growth Fund 371,570 2009-2011 JNL/Janus Global Equities Fund 182,435 2009-2011 JNL/Janus Growth & Income Fund 8,160 2006-2011 JNL/JPMorgan International Value Fund 2,827 2009-2010 JNL/Lazard Mid Cap Value Fund 782 2010 JNL/Lazard Small Cap Value Fund 2,393 2010 JNL/Mellon Capital Management International Index Fund 827 2010-2011 JNL/Oppenheimer Global Growth Fund 10,140 2009-2011 JNL/Oppenheimer Growth Fund 4,494 2009-2011 JNL/PPM America High Yield Bond Fund 53,239 2007-2010 JNL/Putnam Equity Fund 137,173 2008-2011 JNL/Putnam International Equity Fund 38,714 2009-2011 JNL/Putnam Midcap Growth Fund 24,667 2008-2011 JNL/Putnam Value Equity Fund 61,349 2008-2011 JNL/S&P Aggressive Growth Fund 550 2009 JNL/S&P Aggressive Growth Fund I 17,885 2009-2010 JNL/S&P Aggressive Growth Fund II 632 2009-2010 JNL/S&P Conservative Growth Fund I 6,847 2010 JNL/S&P Conservative Growth Fund II 302 2010 JNL/S&P Equity Aggressive Growth Fund I 9,304 2009-2010 JNL/S&P Equity Aggressive Growth Fund II 206 2010 JNL/S&P Equity Growth Fund I 26,964 2009-2010 JNL/S&P Equity Growth Fund II $ 1,013 2010 JNL/S&P Moderate Growth Fund 34 2009 JNL/S&P Moderate Growth Fund I 18,135 2009-2010 JNL/S&P Moderate Growth Fund II 1,546 2009-2010 JNL/S&P Very Aggressive Growth Fund I 14,798 2009-2010 JNL/S&P Very Aggressive Growth Fund II 113 2009-2010 JNL/Salomon Brothers High Yield Bond Fund 2,332 2008-2010 JNL/T.Rowe Price Established Growth Fund 94,691 2009-2011 JNL/T.Rowe Price Value Fund 1,711 2010 The following represents capital and/or currency losses (in thousands) realized after October 31, 2003, which were deferred for tax purposes to the first of the following fiscal year. AMOUNT ------------------------------------------------------------- ------------------------------------------------------------- JNL/Eagle SmallCap Equity Fund $ 88 JNL/Janus Balanced Fund 2 JNL/Janus Global Equities Fund 1,430 JNL/Mellon Capital Management International Index Fund 2 JNL/Mellon Capital Management Bond Index Fund 303 JNL/Putnam Equity Fund 224 JNL/Putnam International Equity Fund 187 JNL/Salomon Brothers Global Bond Fund 965 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 269 JNL/T.Rowe Price Established Growth Fund 9 JNL/T.Rowe Price Mid-Cap Growth Fund 7 Permanent differences between book and tax basis reporting for the 2003 fiscal year have been identified and appropriately reclassified as indicated below (in thousands). These reclassifications have no impact on net assets.
NET INCREASE (DECREASE) ------------------------------------------------------- ACCUMULATED ACCUMULATED UNDISTRIBUTED NET NET INVESTMENT REALIZED INCOME GAIN/LOSS PAID IN CAPITAL ---------------- --------------- ---------------- JNL/AIM Large Cap Growth Fund $ 73 $ 1 $ (74) JNL/AIM Small Cap Growth Fund 203 - (203) JNL/Alger Growth Fund 533 - (533) JNL/Curian Enhanced S&P 500 Stock Index Fund (1) - 1 JNL/Curian S&P 500 Index Fund (2) 2 - JNL/Curian Small Cap Index Fund (8) 8 - JNL/Eagle Core Equity Fund (4) 4 - JNL/Eagle SmallCap Equity Fund 674 - (674) JNL/Janus Aggressive Growth Fund 488 951 (1,439) JNL/Janus Balanced Fund 8 (8) - JNL/Janus Capital Growth Fund 743 - (743) JNL/Janus Global Equities Fund (1,732) 2,706 (974) JNL/Janus Growth & Income Fund (27) 27 - JNL/JPMorgan International Value Fund 192 (192) - JNL/Lazard Mid Cap Value Fund (20) 20 - JNL/Lazard Small Cap Value Fund (47) 47 - JNL/Mellon Capital Management Bond Index Fund (63) 63 - JNL/Mellon Capital Management International Index Fund 399 (399) - JNL/Oppenheimer Global Growth Fund (224) 224 - JNL/Oppenheimer Growth Fund 118 - (118) JNL/PIMCO Total Return Bond Fund 319 (319) - JNL/PPM America Balanced Fund (36) 36 - JNL/Putnam Equity Fund 1 (1) - JNL/Putnam International Equity Fund 319 (319) - JNL/Putnam Midcap Growth Fund 118 - (118) JNL/Putnam Value Equity Fund 127 2 (129) JNL/Salomon Brothers Global Bond Fund 59 (59) - JNL/Salomon Brothers U.S. Government & Quality Bond Fund (68) 68 - JNL/T.Rowe Price Established Growth Fund (130) 130 - JNL/T.Rowe Price Mid-Cap Growth Fund 1,751 7 (1,758) JNL/T.Rowe Price Value Fund (12) 12 -
As of December 31, 2003, the components of distributable earnings on a tax-basis and the federal tax cost of investments are listed in the following table (in thousands). Net investment income, net realized gains, and unrealized appreciation may differ for financial statement and tax purposes primarily because of the recognition of certain foreign currency gains as ordinary income for tax purposes; the realization for tax purposes of unrealized gains on certain forward foreign currency or futures contracts and unrealized gains or losses on investments in passive foreign investment companies; the difference in accounting for investments in Real Estate Investment Trusts; and the tax deferral of losses on wash sale transactions.
TAX COMPONENTS OF DISTRIBUTABLE EARNINGS --------------------------- NET UNDISTRIBUTED ACCUMULATED GROSS GROSS UNREALIZED NET NET COST OF UNREALIZED UNREALIZED APPRECIATION/ INVESTMENT REALIZED INVESTMENTS APPRECIATION DEPRECIATION DEPRECIATION INCOME GAIN/LOSS -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- JNL/AIM Large Cap Growth Fund $ 33,385 $ 4,289 $ (204) 4,085 - - JNL/AIM Premier Equity II Fund 21,698 2,766 (333) 2,433 8 - JNL/AIM Small Cap Growth Fund 37,968 7,536 (1,048) 6,488 - - JNL/Alger Growth Fund 207,089 40,331 (2,856) 37,475 - - JNL/Alliance Capital Growth Fund 125,258 13,572 (8,235) 5,337 110 - JNL/Curian Enhanced S&P 500 Stock Index Fund 84,391 6,509 (2,138) 4,371 485 - JNL/Curian S&P 400 MidCap Index Fund 70,500 11,765 (1,424) 10,341 10 - JNL/Curian S&P 500 Index Fund 170,248 23,270 (3,837) 19,433 5 291 JNL/Curian Small Cap Index Fund 65,392 12,955 (2,610) 10,345 6 333 JNL/Eagle Core Equity Fund 219,970 31,100 (5,821) 25,279 35 - JNL/Eagle SmallCap Equity Fund 86,504 29,291 (4,660) 24,631 - - JNL/Janus Aggressive Growth Fund 210,721 52,448 (4,735) 47,713 - - JNL/Janus Balanced Fund 103,661 10,706 (1,011) 9,695 51 - JNL/Janus Capital Growth Fund 131,995 31,606 (5,255) 26,351 - - JNL/Janus Global Equities Fund 164,583 32,394 (3,997) 28,397 - - JNL/Janus Growth & Income Fund 13,406 2,405 (514) 1,891 32 - JNL/JPMorgan International Value Fund 25,107 2,897 (64) 2,833 214 - JNL/Lazard Mid Cap Value Fund 125,851 19,306 (970) 18,336 94 - JNL/Lazard Small Cap Value Fund 132,470 27,372 (2,185) 25,187 90 - JNL/Mellon Capital Management Bond Index Fund 82,839 1,079 (470) 609 326 9 JNL/Mellon Capital Management International Index Fund 82,442 15,967 (1,744) 14,223 245 - JNL/Oppenheimer Global Growth Fund 90,882 20,057 (2,779) 17,278 289 - JNL/Oppenheimer Growth Fund 29,827 3,809 (344) 3,465 - - JNL/PIMCO Total Return Bond Fund 313,008 4,254 (662) 3,592 5,763 4,007 JNL/PPM America Balanced Fund 267,780 40,999 (6,504) 34,495 375 2,289 JNL/PPM America Money Market Fund 185,653 - - - - - JNL/PPM America High Yield Bond Fund 241,903 19,312 (439) 18,873 184 - JNL/PPM America Value Fund 45,887 9,804 (332) 9,472 523 945 JNL/Putnam Equity Fund 150,175 19,797 (5,624) 14,173 696 - JNL/Putnam International Equity Fund 83,558 16,862 (3,520) 13,342 152 - JNL/Putnam Midcap Growth Fund 24,866 4,366 (586) 3,780 - - JNL/Putnam Value Equity Fund 282,676 38,136 (11,060) 27,076 - - JNL/S&P Aggressive Growth Fund 20,091 761 (8,395) (7,634) 40 - JNL/S&P Aggressive Growth Fund I 166,371 15,096 (17,944) (2,848) 12 - JNL/S&P Aggressive Growth Fund II 5,596 400 (1,900) (1,500) 32 - JNL/S&P Conservative Growth Fund 17,514 1,093 (2,924) (1,831) 185 78 JNL/S&P Conservative Growth Fund I 393,173 27,209 (18,530) 8,679 75 - JNL/S&P Conservative Growth Fund II 15,665 1,124 (2,759) (1,635) 267 - JNL/S&P Core Index 100 Fund 32,330 4,326 (361) 3,965 213 139 JNL/S&P Core Index 50 Fund 6,886 984 (236) 748 25 12 JNL/S&P Core Index 75 Fund 8,881 1,329 (192) 1,137 48 58 JNL/S&P Equity Aggressive Growth Fund I 56,732 5,766 (11,517) (5,751) 35 - JNL/S&P Equity Aggressive Growth Fund II 2,797 146 (1,428) (1,282) 1 - JNL/S&P Equity Growth Fund I 200,339 18,502 (43,344) (24,842) 220 - JNL/S&P Equity Growth Fund II 9,913 625 (4,105) (3,480) 9 - JNL/S&P Moderate Growth Fund 35,884 2,319 (9,407) (7,088) 257 - JNL/S&P Moderate Growth Fund I 601,757 48,198 (40,537) 7,661 85 - JNL/S&P Moderate Growth Fund II 21,594 1,783 (4,023) (2,240) 271 - JNL/S&P Very Aggressive Growth Fund I 70,830 6,600 (17,254) (10,654) 14 - JNL/S&P Very Aggressive Growth Fund II 3,588 156 (1,622) (1,466) - - JNL/Salomon Brothers Balanced Fund 20,513 1,771 (1,549) 222 272 221 JNL/Salomon Brothers Global Bond Fund 245,517 10,478 (2,894) 7,584 249 745 JNL/Salomon Brothers High Yield Bond Fund 18,689 1,641 (1,239) 402 27 - JNL/Salomon Brothers U.S. Government & Quality Bond Fund 369,074 5,723 (761) 4,962 603 129 T. Rowe Price/JNL Established Growth Fund 419,772 73,558 (19,756) 53,802 379 - T. Rowe Price/JNL Mid-Cap Growth Fund 305,124 92,675 (14,687) 77,988 - 4,824 T. Rowe Price/JNL Value Fund 368,782 57,171 (22,045) 35,126 2,908 -
-------------------------------------------------------------------------------- JNL SERIES TRUST NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- The tax character of distributions paid during the period ended December 31, 2003, were as follows (in thousands): LONG-TERM ORDINARY CAPITAL INCOME GAIN ------------------------- JNL/Curian Enhanced S&P 500 Stock Index Fund $ 236 - JNL/Curian S&P 400 MidCap Index Fund 230 - JNL/Curian S&P 500 Index Fund 1,511 588 JNL/Curian Small Cap Index Fund 269 498 JNL/Eagle Core Equity Fund 1,494 - JNL/Janus Balanced Fund 1,480 - JNL/Janus Growth & Income Fund 75 - JNL/JPMorgan International Value Fund 346 - JNL/Lazard Mid Cap Value Fund 266 - JNL/Mellon Capital Management Bond Index Fund 2,128 209 JNL/Mellon Capital Management International Index Fund 1,094 - JNL/PIMCO Total Return Bond Fund 8,768 1,422 JNL/PPM America Balanced Fund 7,530 401 JNL/PPM America High Yield Bond Fund 15,485 - JNL/PPM America Money Market Fund 924 - JNL/PPM America Value Equity Fund 303 - JNL/Putnam Equity Fund 486 - JNL/Putnam International Equity Fund 1,395 - JNL/Putnam Value Equity Fund 3,168 - JNL/S&P Aggressive Growth Fund 32 - JNL/S&P Aggressive Growth Fund I 1,956 - JNL/S&P Aggressive Growth Fund II 35 - JNL/S&P Conservative Growth Fund 158 - JNL/S&P Conservative Growth Fund I 8,874 - JNL/S&P Conservative Growth Fund II 259 - JNL/S&P Core Index 100 Fund 170 - JNL/S&P Core Index 50 Fund 3 - JNL/S&P Core Index 75 Fund 40 - JNL/S&P Equity Aggressive Growth Fund I 2 - JNL/S&P Equity Aggressive Growth Fund II 1 - JNL/S&P Equity Growth Fund I 20 - JNL/S&P Equity Growth Fund II 8 - JNL/S&P Moderate Growth Fund 189 - JNL/S&P Moderate Growth Fund I 9,969 - JNL/S&P Moderate Growth Fund II 243 - JNL/Salomon Brothers Balanced Fund 359 - JNL/Salomon Brothers Global Bond Fund 9,699 1,122 JNL/Salomon Brothers High Yield Bond Fund 1,671 - JNL/Salomon Brothers U.S. Government & Quality Bond Fund 9,416 2,639 JNL/T.Rowe Price Established Growth Fund 118 - JNL/T.Rowe Price Mid-Cap Growth Fund - 1,870 JNL/T.Rowe Price Value Fund 2,064 - -------------------------------------------------------------------------------- Independent Auditors' Report -------------------------------------------------------------------------------- To the Shareholders and Board of Trustees of JNL Series Trust We have audited the accompanying statements of assets and liabilities of each Fund within the JNL Series Trust (the "Funds"), including the schedules of investments, as listed in Note 1 of the financial statements as of December 31, 2003, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights presented for each of the periods prior to 2001 were audited by other auditors, whose report dated February 2, 2001, expressed an unqualified opinion. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2003, by correspondence with the custodian or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each Fund within the JNL Series Trust as of December 31, 2003, the results of their operations for the year then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended, in conformity with accounting principles generally accepted in the United States of America. /s/ KPMG LLP Chicago, IL February 20, 2004
TRUSTEES OF JNL SERIES TRUST ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- NUMBER OF PORTFOLIOS IN CURRENT THE FUND COMPLEX POSITION WITH LENGTH OF PRINCIPAL OCCUPATION FOR OVERSEEN BY THE OTHER TRUSTEESHIPS TRUSTEE (AGE) & ADDRESS THE TRUST TIME SERVED THE PAST 5 YEARS TRUSTEE HELD BY THE TRUSTEE ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Interested Trustees ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Andrew B. Hopping* (45) Trustee and 8/96 to Executive Vice President, 85 None 1 Corporate Way Chair of present Chief Financial Officer Lansing, MI 48951 Board of and Treasurer of Jackson Trustees National Life Insurance Company; Trustee or Manager, and Chairman of each other investment company in the Fund Complex. ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Robert A. Fritts* (55) Trustee, 8/97 to Senior Vice President and 85 None 1 Corporate Way President and present Controller of Jackson Lansing, MI 48951 Chief National Life Insurance Executive Company (9/03 to present); Officer Vice President and Controller of Jackson National Life Insurance Company (8/82 to 8/03); Trustee or Manager, and (since 12/02) President and Chief Executive Officer, of each other investment company in the Fund Complex. ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Disinterested Trustees ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Michael Bouchard (47) Trustee 12/03 to Sheriff, Oakland County, 85 None 1 Corporate Way present Michigan; Senator - State Lansing, MI 48951 of Michigan (1991 - 1999); Chairman - Financial Services Committee (1/95 - 1/99) ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Michelle Engler (45) Trustee 12/03 to Attorney (1983 to present); 85 Director of Federal 1 Corporate Way present First Lady of the State of Home Loan Mortgage Lansing, MI 48951 Michigan (1990 - 2002); Corporation Michigan Community Service Commission Chair (1991 - 2000) ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Joseph Frauenheim (69) Trustee 12/94 to Consultant (Banking) 85 None 1 Corporate Way present Lansing, MI 48951 ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Richard McLellan (61) Trustee 12/94 to Member, Dykema Gossett 85 None 1 Corporate Way present PLLC (law firm) Lansing, MI 48951 ------------------------------ --------------- --------------- ---------------------------- ------------------ -------------------- Dominic D'Annunzio (65) Trustee 2/2002 to Acting Commissioner of 85 None 1 Corporate Way present Insurance for the State of Lansing, MI 48951 Michigan (1/90 to 5/90) (8/97 to 5/98) ------------------------------ --------------- --------------- ---------------------------- ------------------ --------------------
* Messrs. Hopping and Fritts are "interested persons" of the Trust due to their positions with Jackson National Life Insurance Company, which is the parent company of the Advisor and Distributor. The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling (800) 766-4683. TRUSTEES OF JNL SERIES TRUST Trustees and officers that are interested persons of the Trust or the Adviser do not receive any compensation from the Trust for their services as Trustees or officers. The following persons, who are disinterested Trustees of the Trust, received from the Trust the compensation amounts indicated for the services as such.
Pension or Retirement Aggregate Benefits Accrued As Part Estimated Annual Compensation of Benefits Upon Total Compensation from Trustee from Trust Trust Expenses Retirement Trust Joseph Frauenheim $30,000 $0 $0 $30,000 Richard McLellan $30,000 $0 $0 $30,000 Dominic D'Annunzio $30,000 $0 $0 $30,000 Michael Bouchard $7,500 $0 $0 $7,500 Michelle Engler $7,500 $0 $0 $7,500
As of December 11, 2003, the JNL Variable Fund, JNL Series Trust, and JNL Investors Series Trust meet jointly as one Board. JNL SERIES TRUST A Special Meeting of the Shareholders of the JNL Series Trust held December 1, 2003. The meeting involved the election of directors. The following lists the name of each director elected at the meeting and the names of all other directors now in office: Elected: Michael Bouchard Michelle Engler Current: Dominic D'Annunzio Joseph Frauenheim Richard McLellan Andrew B. Hopping Robert A. Fritts The following proposals were voted upon at the meeting: 1. To vote on the election of two additional Trustees to the Board of Trustees, each of whom will serve until his or her successor is elected and qualified:
AFFIRMATIVE AGAINST WITHHOLD Michael Bouchard 731,887,734.540 0 19,139,505.431 Michelle Engler 731,186,337.357 0 19,840,902.614 2. To approve an amendment to the Trust's Brokerage Enhancement Plan pursuant to Rule 12b-1 under the 1940 Act approving a 12b-1 fee for all Funds except the S&P/JNL Funds. FUND AFFIRMATIVE AGAINST WITHHOLD ---- ----------- ------- -------- AIM/JNL Large Cap Growth Fund 2,148,985.215 122,653.112 135,464.335 AIM/JNL Premier Equity II Fund 2,083,032.390 25,444.704 34,098.594 AIM/JNL Small Cap Growth Fund 2,551,069.316 103,961.311 122,536.936 Alger/JNL Growth Fund 14,918,172.929 512,017.097 620,447.747 Alliance Capital/JNL Growth Fund 12,138,567.652 114,367.150 148,111.823 Eagle/JNL Core Equity Fund 15,441,113.506 102,414.153 137,317.221 Eagle/JNL SmallCap Equity Fund 6,299,043.983 188,182.625 210,013.945 Janus/JNL Aggressive Growth Fund 13,951,310.256 749,013.367 635,457.904 Janus/JNL Balanced Fund 10,582,911.550 310,304.215 542,659.189 Janus/JNL Capital Growth Fund 11,222,834.911 767,763.115 537,136.580 Janus/JNL Global Equities Fund 10,995,072.136 617,315.055 721,869.585 Janus/JNL Growth & Income Fund 2,152,763.885 92,830.551 135,588.999 JPMorgan/JNL Enhanced S&P 500 Stock Index Fund 8,237,148.790 133,512.687 70,615.447 JPMorgan/JNL International Value Fund 1,747,349.140 69,899.026 140,013.134 Lazard/JNL Mid Cap Value Fund 9,152,326.267 126,806.282 150,653.748 Lazard/JNL Small Cap Value Fund 9,791,339.376 165,589.926 126,793.429 Mellon Capital Management/JNL S&P 500 Index Fund 13,642,810.261 352,985.341 354,964.443 Mellon Capital Management/JNL S&P 400 Mid Cap Index Fund 4,337,592.073 320,944.543 264,203.486 Mellon Capital Management/JNL Small Cap Index Fund 4,385,363.741 268,478.042 221,622.280 Mellon Capital Management/JNL Bond Index Fund 5,916,692.997 93,003.078 71,427.753 Mellon Capital Management/JNL International Index Fund 6,311,134.160 105,388.295 78,228.874 Oppenheimer/JNL Global Growth Fund 8,919,370.639 110,994.686 150,349.559 Oppenheimer/JNL Growth Fund 3,381,686.034 27,444.437 60,651.302 PIMCO/JNL Total Return Bond Fund 23,309,410.712 362,627.688 720,765.094 PPM America/JNL Balanced Fund 16,428,470.474 719,167.335 887,084.645 PPM America/JNL High Yield Bond Fund 24,856,847.580 439,414.153 1,088,368.017 PPM America/JNL Money Market Fund 185,786,633.257 2,796,053.635 5,727,261.233 PPM America/JNL Value Fund 2,728,261.473 9,718.234 14,880.400 Putnam/JNL Equity Fund 9,074,125.797 636,000.932 789,246.778 Putnam/JNL Value Equity Fund 18,131,434.656 499,066.859 621,184.168 Putnam/JNL International Equity Fund 9,237,333.680 499,865.713 429,644.492 Putnam/JNL Midcap Growth Fund 3,721,239.462 115,149.272 223,619.788 Salomon Brothers/JNL Balanced Fund 1,604,868.601 27,871.450 229,340.059 Salomon Brothers/JNL Global Bond Fund 14,541,542.761 198,474.309 287,419.846 Salomon Brothers/JNL High Yield Bond Fund 2,102,147.240 15,746.328 33,789.220 Salomon Brothers/JNL U.S. Government & Quality Bond Fund 21,551,416.128 573,245.147 1,107,495.819 T. Rowe Price/JNL Established Growth Fund 25,386,208.034 490,075.599 550,898.878 T. Rowe Price/JNL Mid-Cap Growth Fund 13,004,681.863 584,098.364 602,307.724 T. Rowe Price/JNL Value Fund 29,239,073.778 216,709.966 327,053.344 3. To approve a change in sub-adviser and a new Investment Sub-Advisory Agreement between Jackson National Asset Management, LLC ("JNAM"), the Funds' adviser, and Curian Capital, LLC ("Curian"), for Curian to serve as sub-adviser to the following Funds only: Mellon Capital Management/JNL S&P 500 Index Fund; Mellon Capital Management/JNL S&P 400 Mid Cap Index Fund; Mellon Capital Management/JNL Small Cap Index Fund; JPMorgan/JNL Enhanced S&P 500 Stock Index Fund. FUND AFFIRMATIVE AGAINST WITHHOLD JPMorgan/JNL Enhanced S&P 500 Stock Index Fund 8,312,098.685 41,172.077 88,006.162 Mellon Capital Management/JNL S&P 500 Index Fund 13,758,136.910 251,649.101 340,974.034 Mellon Capital Management/JNL S&P 400 Mid Cap Index Fund 4,495,096.771 199,349.486 228,293.845 Mellon Capital Management/JNL Small Cap Index Fund 4,490,289.161 169,424.298 215,750.604
SUPPLEMENT DATED FEBRUARY 12, 2004 TO THE PROSPECTUS DATED DECEMBER 15, 2003 JNL(R) SERIES TRUST On January 29, 2004, Jackson National Asset Management, LLCSM recommended and the Board of Trustees approved a change of sub-adviser for the following funds: JNL/Janus Aggressive Growth Fund JNL/Janus Global Equities Fund JNL/Janus Capital Growth Fund JNL/Janus Balanced Fund The changes will be effective on May 3, 2004. Beginning then, the JNL/Janus Aggressive Growth Fund and the JNL/Janus Global Equities Fund will be sub-advised by Wellington Management Company, llp. The names of the funds will be changed to: JNL/Janus Aggressive Growth Fund to JNL/Select Large Cap Growth Fund JNL/Janus Global Equities Fund to JNL/Select Global Growth Fund The Board also approved the change of the investment objective of the JNL/Select Global Growth Fund to long-term growth of capital. Beginning on May 3, 2004, the JNL/Janus Capital Growth Fund and the JNL/Janus Balanced Fund will be managed by Fidelity Management & Research Company. The names of the funds will be changed to: JNL/Janus Balanced Fund to JNL/FMR Balanced Fund JNL/Janus Capital Growth Fund to JNL/FMR Capital Growth Fund The Board also approved a change in the investment objective of the JNL/FMR Balanced Fund to income and capital growth, consistent with reasonable risk. The Board also approved a change in the investment objective of the JNL/ FMR Capital Growth Fund to long-term growth of capital. We will be sending contract holders an information statement containing additional information on these changes and the new sub-advisers. In addition, on January 29, 2004, Jackson National Asset Management, LLCSM recommended and the Board of Trustees approved the following fund mergers:
-------------------------------------------------- ----------------------------------------------- Acquiring Funds Acquired Funds -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/AIM Large Cap Growth Fund JNL/AIM Premier Equity II Fund -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/Eagle Core Equity Fund JNL/Janus Growth & Income Fund -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/S&P Conservative Growth Fund I JNL/S&P Conservative Growth Fund II JNL/S&P Conservative Growth Fund -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/S&P Moderate Growth Fund I JNL/S&P Moderate Growth Fund II JNL/S&P Moderate Growth Fund -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/S&P Aggressive Growth Fund I JNL/S&P Aggressive Growth Fund II JNL/S&P Aggressive Growth Fund -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/S&P Very Aggressive Growth Fund I JNL/S&P Very Aggressive Growth Fund II -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/S&P Equity Growth Fund I JNL/S&P Equity Growth Fund II -------------------------------------------------- ----------------------------------------------- -------------------------------------------------- ----------------------------------------------- JNL/S&P Equity Aggressive Growth Fund I JNL/S&P Equity Aggressive Growth Fund II -------------------------------------------------- -----------------------------------------------
The Acquired Funds will be merged into the Acquiring Funds effective on May 3, 2004. Shareholder approval is not required for these transactions. On February 12, 2004, Jackson National Asset Management, LLCSM recommended and the Board of Trustees approved a change of sub-adviser for the following funds and the names will be changed to: JNL/Curian Enhanced S&P 500 Stock Index Fund to JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund JNL/Curian S&P 500 Index Fund to JNL/ Mellon Capital Management S&P 500 Index Fund JNL/Curian S&P 400 Mid Cap Index Fund to JNL/ Mellon Capital Management S&P 400 Mid Cap Index Fund JNL/Curian Small Cap Index Fund to JNL/ Mellon Capital Management Small Cap Index Fund
The fees are as follows: MANAGEMENT ESTIMATED AND DISTRIBUTION 12B-1 TOTAL FUND ADMINISTRATIVE (12B-1) SERVICE OTHER ANNUAL FEE* FEES** FEE* EXPENSES EXPENSES ----------------------------------------------------------------- --------------- ------------- ----------- ------------- ---------- JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 0.58% 0.01% 0.20% 0% 0.79% JNL/Mellon Capital Management S&P 500 Index Fund 0.39% 0.01% 0.20% 0% 0.60% JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund 0.39% 0.01% 0.20% 0% 0.60% JNL/Mellon Capital Management Small Cap Index Fund 0.39% 0.02% 0.20% 0% 0.61% ----------------------------------------------------------------- --------------- ------------- ----------- ------------- ----------
*Effective December 15, 2003, the Trust implemented the Rule 12b-1 fee for Class A shares as part of an amendment to the Trust's Brokerage Enhancement Plan. The Adviser reduced the Advisory Fee by 0.20%. Rule 12b-1 Service fees may not exceed 0.20% of average daily net assets attributable to Class A shares. ** As discussed under "Management of the Trust," the Trustees have adopted a Brokerage Enhancement Plan (the "Plan") in accord with the provisions of Rule 12b-1 under the Investment Company Act of 1940. The Plan uses the available brokerage commissions to promote the sale of shares of the Trust. While the brokerage commission rates and amounts paid by the Trust are not expected to increase as a result of the Plan, the staff of the Securities and Exchange Commission has taken the position that commission amounts received under the Plan should be reflected as distribution expenses of the Fund. The distribution expense noted is an estimate in that it is not possible to determine with accuracy actual amounts that will be received by the Distributor or its affiliate under the Plan. The Board also approved a change in the investment objective of the JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund to exceed the performance of the S&P 500 Index by tilting towards stocks having higher expected return while maintaining overall index characteristics. The changes will be effective on February 18, 2004. The new sub-adviser will be Mellon Capital Management Corporation (Mellon Capital). Mellon Capital is located at 595 Market Street, Suite 3000, San Francisco, California 94105. Mellon Capital is a wholly owned subsidiary of Mellon Financial Corporation, a publicly traded financial and bank holding company. Mellon Capital supervises and manages the investment portfolio of the Fund and directs the purchase and sale of the Fund's investment securities. Mellon utilizes teams of investment professionals acting together to manage the assets of the Fund. The team meets regularly to review portfolio holdings and to discuss purchase and sale activity. The teams adjust holdings in the portfolios as they deem appropriate in the pursuit of the Fund's investment objectives. Please contact us at 1-800-766-4683 if you have any questions. This Supplement is dated February 12, 2004. Item 2. Code of Ethics As of the end of the period covered by this report, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were approved or waivers were granted to this code of ethics during the period covered by this report. Item 3. Audit Committee Financial Expert. The Registrant does not have a Financial Expert on its Board. The Registrant has determined that financials do not involve the complexities of public company financials and that the accounting methodologies of investment companies are well established under the Investment Company Act of 1940 and therefore, a financial expert is not necessary. Item 4. Principal Accountant Fees and Services. (a)-(d) KPMG billed the Company aggregate fees for professional services rendered for the fiscal years ending December 31, 2003, and December 31, 2002, as follows:
-------------------------------------------------------------------------------------------------------------------- 2003 -------------------------------------------------------------------------------------------------------------------- Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees -------------------------- ------------------ --------------------- ----------------- ---------------- ------------- JNL Series Trust $411,302 $26,523 $84,460 $0 $522,285 -------------------------- ------------------ --------------------- ----------------- ---------------- ------------- -------------------------------------------------------------------------------------------------------------------- 2002 -------------------------------------------------------------------------------------------------------------------- Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees -------------------------- ------------------ --------------------- ----------------- ---------------- ------------- JNL Series Trust $356,750 $25,750 $82,000 $0 $464,500 -------------------------- ------------------ --------------------- ----------------- ---------------- -------------
(e)(1)The Audit Committee is authorized to pre-approve non-audit services provided by the Trust's auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditors' independence. The Chairman of the Audit Committee is authorized to approve audit and non-audit services for newly established funds of the Trust on the same terms as the full Audit Committee previously had approved for the then existing funds. (e)(2)None (f)0% (g) KPMG was paid $26,523 for 2003 and $25,750 for 2002 to perform an internal control review pursuant to SAS No. 70 related to JNAM's fund accounting procedures. For the fiscal years ended December 31, 2002 and December 31, 2003, KPMG did not provide any other non-audit services to JNAM and its affiliates that provide ongoing services to the Company, other then the SAS 70. (h) The Audit Committee pre-approved the SAS No. 70 review described above when the Audit Committee approved KPMG as Auditors for fiscal years 2003 and 2002, and did not find provision of these services to be incompatible with maintaining the auditors' independence. Item 5. Audit Committee of Listed Registrants. Not applicable as this is not a Listed Issuer as defined in Rule 10A-3 under the Exchange Act. Item 6. [Reserved] Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable as this is an Open-End Management Investment Company. Item 8. [Reserved] Item 9. Controls and Procedures. (a) The Registrant's principal executive officer and principal financial offer 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 half-year that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. Item 10. Exhibits a. (1) The Registrant's code of ethics pursuant to Item 2 of Form N-CSR is attached. (2) Separate certifications by the Registrant's principal executive officer and principal financial officer, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached. b. A certification by the Registrant's principal executive officer and principal financial officer, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached. SIGNATURES Pursuant to the requirements of the Securities Act and the Investment Company Act, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, duly authorized, in the City of Lansing and the State of Michigan on the 8th day of March 2004. JNL SERIES TRUST (Registrant) By: /s/ Robert A. Fritts -------------------------------------------------- Robert A. Fritts President, CEO and Trustee By: /s/ Mark D. Nerud -------------------------------------------------- Mark D. Nerud Chief Financial Officer Pursuant to the requirements of the Securities Act, this Report has been signed below by the following persons in the capacities and on the date indicated. /s/ Robert A. Fritts March 8, 2004 ---------------------- ---------------- Robert A. Fritts President, Chief Executive Officer & Trustee /s/ Mark D. Nerud March 8, 2004 ----------------------- ---------------- Mark D. Nerud Chief Financial Officer