UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number:    811-04087

Manning & Napier Fund, Inc.

(Exact name of registrant as specified in charter)

290 Woodcliff Drive, Fairport, NY    14450

(Address of principal executive offices) (Zip code)

B. Reuben Auspitz         290 Woodcliff Drive, Fairport, NY    14450

(Name and address of agent for service)

Registrant’s telephone number, including area code:    585-325-6880

Date of fiscal year end:    December 31

Date of reporting period:    March 31, 2015

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

ITEM 1: SCHEDULE OF INVESTMENTS

Investment Portfolio - March 31, 2015

(unaudited)

REAL ESTATE SERIES	SHARES		VALUE
COMMON STOCKS - 98.5%
Consumer Discretionary - 7.7%
Hotels, Restaurants & Leisure - 2.5%
Accor S.A. (France)1		62,170	$	3,241,909
Hyatt Hotels Corp. - Class A*		73,090		4,328,390
				7,570,299
Household Durables - 5.2%
DR Horton, Inc.		126,030		3,589,334
Lennar Corp. - Class A		69,676		3,609,914
Toll Brothers, Inc.*		86,252		3,393,154
TRI Pointe Homes, Inc.*		208,160		3,211,909
WCI Communities, Inc.*		78,220		1,873,369
				15,677,680
Total Consumer Discretionary				23,247,979
Financials - 90.8%
Real Estate Management & Development - 3.3%
First Capital Realty, Inc. (Canada)		178,100		2,774,397
Forest City Enterprises, Inc. - Class A*		178,070		4,544,346
Forestar Group, Inc.*		175,240		2,763,535
				10,082,278
REITS - Apartments - 15.3%
American Campus Communities, Inc.		61,810		2,649,795
Apartment Investment & Management Co. - Class A		124,570		4,903,075
Associated Estates Realty Corp.		152,908		3,773,769
AvalonBay Communities, Inc.		37,750		6,577,938
Camden Property Trust		49,590		3,874,467
Education Realty Trust, Inc.		112,810		3,991,218
Equity Residential		54,850		4,270,621
Essex Property Trust, Inc.		21,080		4,846,292
Home Properties, Inc.		41,220		2,856,134
Mid-America Apartment Communities, Inc.		49,310		3,810,184
UDR, Inc.		135,060		4,596,092
				46,149,585
REITS - Diversified - 18.1%
CatchMark Timber Trust, Inc. - Class A		262,070		3,071,460
CoreSite Realty Corp.		94,730		4,611,456
Crown Castle International Corp.		71,030		5,862,816
Digital Realty Trust, Inc.		62,290		4,108,648
Duke Realty Corp.		207,910		4,526,201
DuPont Fabros Technology, Inc.		88,780		2,901,330
Lamar Advertising Co. - Class A		73,050		4,329,673
Liberty Property Trust		77,310		2,759,967
Outfront Media, Inc.		127,025		3,800,588

1

Investment Portfolio - March 31, 2015

(unaudited)

REAL ESTATE SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Financials (continued)
REITS - Diversified (continued)
Plum Creek Timber Co., Inc.		184,560	$	8,019,132
Washington Real Estate Investment Trust		92,260		2,549,144
Weyerhaeuser Co.		236,670		7,845,611
				54,386,026
REITS - Health Care - 7.2%
Health Care REIT, Inc.		54,010		4,178,214
Healthcare Trust of America, Inc. - Class A		110,025		3,065,297
Physicians Realty Trust		412,610		7,266,062
Sabra Health Care REIT, Inc.		94,540		3,134,001
Ventas, Inc.		55,810		4,075,246
				21,718,820
REITS - Hotels - 6.0%
Chesapeake Lodging Trust		158,160		5,350,553
Host Hotels & Resorts, Inc.		219,170		4,422,851
LaSalle Hotel Properties		138,160		5,368,898
Pebblebrook Hotel Trust		62,774		2,923,385
				18,065,687
REITS - Industrial - 2.0%
DCT Industrial Trust, Inc.		81,770		2,834,148
Terreno Realty Corp., Reit		135,810		3,096,468
				5,930,616
REITS - Manufactured Homes - 1.0%
Equity LifeStyle Properties, Inc.		55,840		3,068,408
REITS - Office Property - 6.7%
Alexandria Real Estate Equities, Inc.		55,220		5,413,769
BioMed Realty Trust, Inc.		135,187		3,063,337
Columbia Property Trust, Inc.		15,790		426,646
Corporate Office Properties Trust		87,500		2,570,750
Mack-Cali Realty Corp.		174,860		3,371,301
Paramount Group, Inc.		274,080		5,289,744
				20,135,547
REITS - Regional Malls - 8.4%
Fibra Shop Portafolios Inmobiliarios SAPI de CV (Mexico)		1,905,315		2,160,943
General Growth Properties, Inc.		148,610		4,391,425
Simon Property Group, Inc.		80,270		15,704,023
Taubman Centers, Inc.		41,250		3,181,613
				25,438,004
REITS - Retail - 0.6%
Scentre Group (Australia)1		593,137		1,685,003

2

Investment Portfolio - March 31, 2015

(unaudited)

REAL ESTATE SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Financials (continued)
REITS - Shopping Centers - 14.6%
Brixmor Property Group, Inc.		310,450	$	8,242,448
DDR Corp.		300,820		5,601,268
Equity One, Inc.		169,000		4,510,610
Excel Trust, Inc.		262,370		3,678,427
Inland Real Estate Corp.		244,480		2,613,491
Kimco Realty Corp.		134,880		3,621,528
Kite Realty Group Trust		96,757		2,725,645
Urban Edge Properties		124,500		2,950,650
Westfield Corp. (Australia)1		996,070		7,218,625
WP GLIMCHER, Inc.		165,520		2,752,598
				43,915,290
REITS - Single Tenant - 1.8%
Agree Realty Corp.		167,960		5,537,641
REITS - Storage - 5.8%
CubeSmart		134,090		3,238,273
Extra Space Storage, Inc.		41,150		2,780,505
Public Storage		26,980		5,318,837
Sovran Self Storage, Inc.		63,901		6,002,860
				17,340,475
Total Financials				273,453,380
Utilities - 0.0%##
Electric Utilities - 0.0%##
Prime AET&D Holdings No.1 Ltd. (Australia)*2		125,000		—
TOTAL COMMON STOCKS (Identified Cost $232,560,969)				296,701,359

3

Investment Portfolio - March 31, 2015

(unaudited)

REAL ESTATE SERIES	SHARES		VALUE
SHORT-TERM INVESTMENT - 0.5%
Dreyfus Cash Management, Inc. - Institutional Shares3, 0.03%
(Identified Cost $1,333,535)		1,333,535	$	1,333,535
TOTAL INVESTMENTS - 99.0%
(Identified Cost $233,894,504)				298,034,894
OTHER ASSETS, LESS LIABILITIES - 1.0%				3,069,006
NET ASSETS - 100%			$	301,103,900

No. - Number

REITS - Real Estate Investment Trusts

*Non-income producing security.

##Less than 0.1%.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Security has been valued at fair value as determined in good faith by the Advisor.

³Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	233,894,507
Unrealized appreciation		67,425,247
Unrealized depreciation		(3,284,860	)
Net unrealized appreciation	$	64,140,387

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

4

Investment Portfolio - March 31, 2015

(unaudited)

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	23,247,979	$	20,006,070	$	3,241,909	$	—
Financials		273,453,380		264,549,752		8,903,628		—
Utilities		—		—		—		—	*
Mutual fund		1,333,535		1,333,535		—		—
Total assets	$	298,034,894	$	285,889,357	$	12,145,537	$	—

*Prime AET&D Holdings No.1 Ltd. is a Level 3 security as of March 31, 2015. However, there is no cost or market value for this security reported in the financial statements. There was no activity in this security for the three months ended March 31, 2015.

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

5

Investment Portfolio - March 31, 2015

(unaudited)

INTERNATIONAL SERIES	SHARES		VALUE
COMMON STOCKS - 93.9%
Consumer Discretionary - 13.4%
Auto Components - 2.5%
F.C.C. Co. Ltd. (Japan)1		158,000	$	2,462,417
Hankook Tire Co. Ltd. (South Korea)1		145,591		5,940,430
Musashi Seimitsu Industry Co. Ltd. (Japan)1		168,000		3,551,052
Nissin Kogyo Co. Ltd. (Japan)1		226,000		3,589,400
				15,543,299
Household Durables - 1.1%
LG Electronics, Inc. (South Korea)1		74,000		3,922,271
Nikon Corp. (Japan)1		224,000		3,003,512
				6,925,783
Internet & Catalog Retail - 4.4%
ASOS plc (United Kingdom)*1		156,760		8,390,822
MakeMyTrip Ltd. (India)*		150,240		3,299,270
Rakuten, Inc. (Japan)1		894,190		15,745,027
				27,435,119
Media - 1.3%
Mediaset Espana Comunicacion S.A. (Spain)1		382,640		4,790,151
Societe Television Francaise 1 (France)1		183,229		3,235,174
				8,025,325
Specialty Retail - 1.5%
Groupe Fnac S.A. (France)*1		3,891		242,328
Komeri Co. Ltd. (Japan)1		188,800		4,446,064
Sa Sa International Holdings Ltd. (Hong Kong)1		10,518,390		5,142,456
				9,830,848
Textiles, Apparel & Luxury Goods - 2.6%
Belle International Holdings Ltd. (Hong Kong)1		4,300,000		5,019,492
Daphne International Holdings Ltd. - Class H (China)1		6,600,000		2,213,437
Kering (France)1		45,740		8,929,276
				16,162,205
Total Consumer Discretionary				83,922,579
Consumer Staples - 23.5%
Beverages - 7.0%
AMBEV S.A. - ADR (Brazil)*		1,350,000		7,776,000
Carlsberg A/S - Class B (Denmark)1		80,000		6,596,509
Diageo plc (United Kingdom)1		431,750		11,931,069
Treasury Wine Estates Ltd. (Australia)1		2,285,660		8,880,721
Tsingtao Brewery Co. Ltd. - Class H (China)1		1,284,000		8,609,806
				43,794,105

1

Investment Portfolio - March 31, 2015

(unaudited)

INTERNATIONAL SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Consumer Staples (continued)
Food & Staples Retailing - 4.3%
Carrefour S.A. (France)1		169,962	$	5,677,889
Casino Guichard-Perrachon S.A. (France)1		34,170		3,025,607
Dairy Farm International Holdings Ltd. (Hong Kong)1		681,300		6,397,407
Tesco plc (United Kingdom)1		1,217,410		4,345,592
Wal-Mart de Mexico S.A.B. de C.V. - Class V (Mexico)		2,946,000		7,341,099
				26,787,594
Food Products - 9.8%
Biostime International Holdings Ltd. - Class H (China)1		1,472,500		6,166,134
Charoen Pokphand Foods PCL (Thailand)1		3,841,800		2,655,452
Danone S.A. (France)1		107,012		7,213,419
Grupo Bimbo S.A.B. de C.V. - Class A (Mexico)*		2,604,000		7,359,520
Nestle S.A. (Switzerland)1		105,220		7,923,323
Sao Martinho S.A. (Brazil)		386,750		4,694,489
Suedzucker AG (Germany)1		625,447		7,636,977
Unilever plc - ADR (United Kingdom)		420,230		17,527,793
				61,177,107
Household Products - 1.1%
Reckitt Benckiser Group plc (United Kingdom)1		81,990		7,043,367
Tobacco - 1.3%
Gudang Garam Tbk PT (Indonesia)1		730,000		2,846,241
Swedish Match AB (Sweden)1		191,000		5,615,913
				8,462,154
Total Consumer Staples				147,264,327
Energy - 3.6%
Energy Equipment & Services - 2.3%
Saipem S.p.A. (Italy)*1		317,000		3,224,507
Spectrum ASA (Norway)1		578,723		2,528,775
TGS Nopec Geophysical Co. ASA (Norway)1		391,280		8,660,359
				14,413,641
Oil, Gas & Consumable Fuels - 1.3%
Royal Dutch Shell plc - Class B (Netherlands)1		88,430		2,754,610
Royal Dutch Shell plc - Class B - ADR (Netherlands)		87,780		5,503,806
				8,258,416
Total Energy				22,672,057
Financials - 6.6%
Banks - 1.3%
Sumitomo Mitsui Trust Holdings, Inc. (Japan)1		1,907,000		7,921,822
Capital Markets - 1.0%
Daiwa Securities Group, Inc. (Japan)1		830,000		6,533,667

2

Investment Portfolio - March 31, 2015

(unaudited)

INTERNATIONAL SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Financials (continued)
Diversified Financial Services - 1.3%
IDFC Ltd. (India)1		3,023,300	$	8,054,920
Insurance - 1.7%
Mapfre S.A. (Spain)1		1,877,000		6,853,131
Zurich Insurance Group AG (Switzerland)1		10,500		3,549,023
				10,402,154
Real Estate Investment Trusts (REITS) - 1.3%
Alstria Office REIT AG (Germany)1		595,480		8,369,736
Total Financials				41,282,299
Health Care - 9.0%
Health Care Equipment & Supplies - 1.0%
Carl Zeiss Meditec AG (Germany)1		232,000		6,075,326
Health Care Providers & Services - 2.4%
Fresenius Medical Care AG & Co. KGaA - ADR (Germany)		200,000		8,290,000
Odontoprev S.A. (Brazil)		2,000,000		6,861,870
				15,151,870
Life Sciences Tools & Services - 1.1%
Gerresheimer AG (Germany)1		118,970		6,547,969
Pharmaceuticals - 4.5%
AstraZeneca plc - ADR (United Kingdom)		154,370		10,563,539
GlaxoSmithKline plc (United Kingdom)1		172,980		3,981,971
Indivior plc (United Kingdom)*1		81,990		231,084
Novartis AG - ADR (Switzerland)		49,000		4,831,890
Teva Pharmaceutical Industries Ltd. - ADR (Israel)		140,000		8,722,000
				28,330,484
Total Health Care				56,105,649
Industrials - 16.1%
Airlines - 0.7%
Gol Linhas Aereas Inteligentes S.A. - ADR (Brazil)		1,893,363		4,600,872
Commercial Services & Supplies - 1.4%
Aggreko plc (United Kingdom)1		381,247		8,623,956
Construction & Engineering - 2.6%
Larsen & Toubro Ltd. (India)1		591,285		16,245,377
Electrical Equipment - 4.1%
Alstom S.A. (France)*1		295,560		9,094,695
Bharat Heavy Electricals Ltd. (India)1		2,049,250		7,717,430
Schneider Electric SE (France)1		66,000		5,136,019
Teco Electric and Machinery Co. Ltd. (Taiwan)1		4,084,000		3,881,390
				25,829,534

3

Investment Portfolio - March 31, 2015

(unaudited)

INTERNATIONAL SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Industrials (continued)
Industrial Conglomerates - 4.1%
Siemens AG (Germany)1		237,600	$	25,697,326
Machinery - 3.2%
ANDRITZ AG (Austria)1		123,000		7,343,944
FANUC Corp. (Japan)1		37,540		8,195,500
Jain Irrigation Systems Ltd. (India)1		4,464,000		4,400,963
Jain Irrigation Systems Ltd. - DVR (India)1		44,872		28,032
				19,968,439
Total Industrials				100,965,504
Information Technology - 17.5%
Communications Equipment - 1.1%
Alcatel-Lucent - ADR (France)*		1,855,000		6,919,150
Electronic Equipment, Instruments & Components - 2.8%
Hitachi Ltd. (Japan)1		1,646,660		11,246,447
Keyence Corp. (Japan)1		10,809		5,898,438
				17,144,885
Internet Software & Services - 1.8%
NetEase, Inc. - ADR (China)		48,145		5,069,669
Qihoo 360 Technology Co. Ltd. - ADR (China)*		125,670		6,434,304
				11,503,973
Semiconductors & Semiconductor Equipment - 1.0%
MediaTek, Inc. (Taiwan)1		460,000		6,212,651
Software - 7.2%
AVEVA Group plc (United Kingdom)1		733,322		16,029,907
SAP SE (Germany)1		284,360		20,552,713
TOTVS S.A. (Brazil)		721,250		8,282,437
				44,865,057
Technology Hardware, Storage & Peripherals - 3.6%
Samsung Electronics Co. Ltd. (South Korea)1		17,490		22,680,216
Total Information Technology				109,325,932
Telecommunication Services - 4.2%
Diversified Telecommunication Services - 3.4%
Telefonica S.A. - ADR (Spain)		727,200		10,435,320
Telenor ASA - ADR (Norway)		184,380		11,136,552
				21,571,872

4

Investment Portfolio - March 31, 2015

(unaudited)

INTERNATIONAL SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Telecommunication Services   (continued)
Wireless Telecommunication Services - 0.8%
Bharti Infratel Ltd. (India)1		826,043	$	5,081,818
Total Telecommunication Services				26,653,690
TOTAL COMMON STOCKS (Identified Cost $577,011,056)				588,192,037
PREFERRED STOCK - 0.2%
Energy - 0.2%
Oil, Gas & Consumable Fuels - 0.2%
Petroleo Brasileiro S.A. - ADR (Brazil)
(Identified Cost $6,276,908)		240,000		1,461,600
SHORT-TERM INVESTMENT - 6.1%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.03%,
(Identified Cost $37,915,152)		37,915,152		37,915,152
TOTAL INVESTMENTS - 100.2%
(Identified Cost $621,203,116)				627,568,789
LIABILITIES, LESS OTHER ASSETS - (0.2%)				(1,400,876	)
NET ASSETS - 100%			$	626,167,913

ADR - American Depositary Receipt

DVR - Differential Voting Rights

*Non-income producing security.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Rate shown is the current yield as of March 31, 2015.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries:

United Kingdom 14.2%; Germany 13.3%; Japan 11.6%.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	621,203,116
Unrealized appreciation		84,294,483
Unrealized depreciation		(77,928,810	)
Net unrealized appreciation	$	6,365,673

5

Investment Portfolio - March 31, 2015

(unaudited)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	83,922,579	$	3,299,270	$	80,623,309	$	—
Consumer Staples		147,264,327		44,698,901		102,565,426		—
Energy		22,672,057		5,503,806		17,168,251		—
Financials		41,282,299		—		41,282,299		—
Health Care		56,105,649		39,269,299		16,836,350		—
Industrials		100,965,504		4,600,872		96,364,632		—
Information Technology		109,325,932		26,705,560		82,620,372		—
Telecommunication Services		26,653,690		21,571,872		5,081,818		—
Preferred Securities:
Energy		1,461,600		1,461,600		—		—
Mutual fund		37,915,152		37,915,152		—		—
Total assets	$	627,568,789	$	185,026,332	$	442,542,457	$	—

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

6

Investment Portfolio - March 31, 2015

(unaudited)

WORLD OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS - 98.7%
Consumer Discretionary - 17.0%
Diversified Consumer Services - 2.5%
Kroton Educacional S.A. (Brazil)		29,695,841	$	96,115,692
Hotels, Restaurants & Leisure - 2.6%
Accor S.A. (France)1		1,878,440		97,952,904
Internet & Catalog Retail - 0.5%
Ocado Group plc (United Kingdom)*1		4,097,575		21,353,543
Media - 5.8%
ITV plc (United Kingdom)1		16,901,112		63,278,279
Liberty Global plc - Class A - ADR (United Kingdom)*		963,930		49,613,477
Modern Times Group AB - Class B (Sweden)1		797,586		24,425,094
Sky plc (United Kingdom)1		5,659,520		83,262,394
				220,579,244
Specialty Retail - 2.3%
Kingfisher plc (United Kingdom)1		15,602,920		88,032,403
Textiles, Apparel & Luxury Goods - 3.3%
Adidas AG (Germany)1		834,930		65,928,571
lululemon athletica, Inc.*		915,430		58,605,829
				124,534,400
Total Consumer Discretionary				648,568,186
Consumer Staples - 24.9%
Beverages - 11.3%
AMBEV S.A. - ADR (Brazil)*		11,616,436		66,910,671
Anheuser-Busch InBev N.V. (Belgium)1		696,680		85,109,845
Carlsberg A/S - Class B (Denmark)1		514,670		42,437,818
Diageo plc (United Kingdom)1		4,268,730		117,962,968
Remy Cointreau S.A. (France)1		283,660		20,891,364
SABMiller plc (United Kingdom)1		1,857,660		97,307,082
				430,619,748
Food & Staples Retailing - 4.3%
Carrefour S.A. (France)1		2,943,585		98,335,806
Tesco plc (United Kingdom)1		18,094,850		64,590,273
				162,926,079
Food Products - 5.4%
Charoen Pokphand Foods PCL (Thailand)1		34,498,360		23,845,269
Danone S.A. (France)1		1,471,320		99,178,110
Nestle S.A. (Switzerland)1		560,710		42,222,832
Unilever plc - ADR (United Kingdom)		992,200		41,384,662
				206,630,873

1

Investment Portfolio - March 31, 2015

(unaudited)

WORLD OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Consumer Staples   (continued)
Personal Products - 1.1%
Beiersdorf AG (Germany)1		484,826	$	42,038,887
Tobacco - 2.8%
Imperial Tobacco Group plc (United Kingdom)1		456,700		20,033,632
Japan Tobacco, Inc. (Japan)1		1,495,000		47,264,223
Swedish Match AB (Sweden)1		1,419,941		41,750,078
				109,047,933
Total Consumer Staples				951,263,520
Energy - 10.1%
Energy Equipment & Services - 4.3%
CGG S.A. (France)*1		2,404,179		13,641,029
Petroleum Geo-Services ASA (Norway)1		4,452,190		22,841,351
Schlumberger Ltd.		1,405,510		117,275,754
Trican Well Service Ltd. (Canada)		4,260,350		11,604,917
				165,363,051
Oil, Gas & Consumable Fuels - 5.8%
Cameco Corp. (Canada)		6,272,260		87,372,582
Encana Corp. (Canada)		10,067,750		112,255,413
Whitehaven Coal Ltd. (Australia)*1		17,802,732		19,222,056
				218,850,051
Total Energy				384,213,102
Financials - 3.5%
Banks - 1.8%
HSBC Holdings plc (United Kingdom)1		8,038,390		68,498,206
Insurance - 1.7%
Admiral Group plc (United Kingdom)1		2,845,620		64,432,087
Total Financials				132,930,293
Health Care - 14.1%
Health Care Equipment & Supplies - 2.0%
BioMerieux (France)1		214,249		20,760,701
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		65,192,000		57,442,766
				78,203,467
Health Care Providers & Services - 4.1%
Fresenius Medical Care AG & Co. KGaA (Germany)1		1,420,390		118,064,847
Life Healthcare Group Holdings Ltd. (South Africa)1		10,801,091		37,619,025
				155,683,872
Life Sciences Tools & Services - 1.1%
QIAGEN N.V.*1		1,717,310		43,094,698

2

Investment Portfolio - March 31, 2015

(unaudited)

WORLD OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS  (continued)
Health Care  (continued)
Pharmaceuticals - 6.9%
Novo Nordisk A/S - Class B (Denmark)1		874,980	$	46,709,743
Otsuka Holdings Co. Ltd. (Japan)1		2,260,729		70,723,885
Roche Holding AG (Switzerland)1		376,690		103,511,436
Sanofi (France)1		431,646		42,628,781
				263,573,845
Total Health Care				540,555,882
Industrials - 8.5%
Airlines - 2.3%
Latam Airlines Group S.A. - ADR (Chile)*		2,131,567		17,180,430
Ryanair Holdings plc - ADR (Ireland)		1,052,306		70,262,472
				87,442,902
Commercial Services & Supplies - 1.4%
Aggreko plc (United Kingdom)1		2,274,803		51,456,935
Electrical Equipment - 1.7%
Nexans S.A. (France)*1		974,965		32,968,174
Schneider Electric SE (France)1		405,233		31,534,615
				64,502,789
Machinery - 1.7%
SKF AB - Class B (Sweden)1		2,539,331		65,568,070
Trading Companies & Distributors - 1.4%
Brenntag AG (Germany)1		914,140		54,614,700
Total Industrials				323,585,396
Information Technology - 7.6%
Internet Software & Services - 6.0%
Alibaba Group Holding Ltd. - ADR (China)*		569,170		47,377,711
Qihoo 360 Technology Co. Ltd. - ADR (China)*		1,672,840		85,649,408
Tencent Holdings Ltd. - Class H (China)1		5,086,795		96,597,817
				229,624,936
IT Services - 1.6%
Amdocs Ltd. - ADR		1,119,276		60,888,614
Total Information Technology				290,513,550
Materials - 10.9%
Chemicals - 4.2%
Potash Corp. of Saskatchewan, Inc. (Canada)		630,620		20,337,495
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile)		1,045,858		19,086,909
Syngenta AG (Switzerland)1		234,400		79,632,385
Umicore S.A. (Belgium)1		1,004,668		41,959,998
				161,016,787

3

Investment Portfolio - March 31, 2015

(unaudited)

WORLD OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS  (continued)
Materials  (continued)
Construction Materials - 1.3%
CRH plc (Ireland)1		1,100,505	$	28,593,331
Holcim Ltd. (Switzerland)1		273,520		20,377,916
				48,971,247
Metals & Mining - 5.4%
Alumina Ltd. (Australia)1		21,420,996		26,067,478
Iluka Resources Ltd. (Australia)1		4,863,145		31,347,447
Norsk Hydro ASA (Norway)1		4,608,436		24,223,480
Teck Resources Ltd. - Class B (Canada)		4,092,550		56,190,712
ThyssenKrupp AG (Germany)1		2,580,480		67,557,209
				205,386,326
Total Materials				415,374,360
Telecommunication Services - 2.1%
Wireless Telecommunication Services - 2.1%
America Movil S.A.B. de C.V. - Class L - ADR (Mexico)		3,944,710		80,708,767
TOTAL COMMON STOCKS
(Identified Cost $3,933,681,325)				3,767,713,056
SHORT-TERM INVESTMENT - 1.4%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.03%,
(Identified Cost $55,690,635)		55,690,635		55,690,635
TOTAL INVESTMENTS - 100.1%
(Identified Cost $3,989,371,960)				3,823,403,691
LIABILITIES, LESS OTHER ASSETS - (0.1%)				(4,993,371	)
NET ASSETS - 100%			$	3,818,410,320

ADR - American Depositary Receipt

*Non-income producing security.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Rate shown is the current yield as of March 31, 2015.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries:

United Kingdom 21.6%; France 12.0%.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

4

Investment Portfolio - March 31, 2015

(unaudited)

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	4,058,090,436
Unrealized appreciation		317,317,169
Unrealized depreciation		(552,003,914	)
Net unrealized depreciation	$	(234,686,745	)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	648,568,186	$	204,334,998	$	444,233,188	$	—
Consumer Staples		951,263,520		108,295,333		842,968,187		—
Energy		384,213,102		328,508,666		55,704,436		—
Financials		132,930,293		—		132,930,293		—
Health Care		540,555,882		—		540,555,882		—
Industrials		323,585,396		87,442,902		236,142,494		—
Information Technology		290,513,550		193,915,733		96,597,817		—
Materials		415,374,360		95,615,116		319,759,244		—
Telecommunication Services		80,708,767		80,708,767		—		—
Mutual fund		55,690,635		55,690,635		—		—
Total assets	$	3,823,403,691	$	1,154,512,150	$	2,668,891,541	$	—

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

5

Investment Portfolio - March 31, 2015

(unaudited)

OHIO TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
OHIO MUNICIPAL SECURITIES - 94.6%
Akron, Recreational Facilities Impt., Refunded, G.O. Bond		6.500	%		11/1/2015		Aa3		$	300,000	$	311,043
Akron, Various Purposes Impt., G.O. Bond		3.000	%		12/1/2017		Aa3			100,000		105,700
Akron, Various Purposes Impt., Series A, G.O. Bond		1.250	%		12/1/2017		AA	2		350,000		353,693
Akron, Various Purposes Impt., Series A, G.O. Bond		5.000	%		12/1/2017		AA	2		100,000		110,964
Akron, Various Purposes Impt., Series C, G.O. Bond		3.000	%		12/1/2017		AA	2		300,000		317,100
American Municipal Power, Inc., Fremont Energy Center Project, Revenue Bond		5.000	%		2/15/2019		A1			720,000		819,691
American Municipal Power, Inc., Prairie State Energy Campus Project, Series A, Revenue Bond, AGC		4.375	%		2/15/2020		A1			100,000		110,682
American Municipal Power, Inc., Prairie State Energy Campus Project, Unrefunded Balance, Series C, Revenue Bond, AGC		4.500	%		2/15/2018		A1			100,000		109,818
Batavia Local School District, G.O. Bond, NATL		5.625	%		12/1/2022		A2			170,000		192,054
Butler County Sewer System, Revenue Bond, AGM		5.000	%		12/1/2017		Aa3			300,000		332,385
Butler County, Prerefunded Balance, G.O. Bond, AMBAC		5.000	%		12/1/2016		Aa2			5,000		5,377
Butler County, Unrefunded Balance, G.O. Bond, AMBAC		5.000	%		12/1/2016		Aa2			95,000		101,904
Canal Winchester Local School District, Prerefunded Balance, Series B, G.O. Bond, NATL		5.000	%		6/1/2015		Aa3			1,355,000		1,365,840
Centerville City School District, School Impt., G.O. Bond		3.000	%		12/1/2016		Aa1			100,000		103,973
Cincinnati City School District, School Impt., G.O. Bond		4.500	%		6/1/2018		Aa2			350,000		388,839
Cincinnati City School District, School Impt., G.O. Bond, AGM		5.000	%		12/1/2018		Aa2			400,000		456,544
Cincinnati Water System, Series A, Revenue Bond		5.000	%		12/1/2016		Aaa			150,000		161,370
Cincinnati Water System, Series A, Revenue Bond		5.000	%		12/1/2017		Aaa			1,000,000		1,111,880
Cincinnati Water System, Series A, Revenue Bond		5.000	%		12/1/2017		Aaa			110,000		117,834
Cincinnati Water System, Series A, Revenue Bond		5.000	%		12/1/2018		Aaa			230,000		262,260
Cincinnati Water System, Series A, Revenue Bond		5.000	%		12/1/2018		Aaa			120,000		136,831
Cincinnati Water System, Series A, Revenue Bond		4.250	%		12/1/2019		Aaa			200,000		226,512
Cincinnati, Public Impt., Series A, G.O. Bond		5.000	%		12/1/2017		Aa2			500,000		554,820
Cincinnati, Public Impt., Series B, G.O. Bond		4.250	%		12/1/2017		Aa2			140,000		148,235
Cincinnati, Various Purposes Impt., Series C, G.O. Bond		5.000	%		12/1/2015		Aa2			300,000		309,630
Cincinnati, Various Purposes Impt., Series C, G.O. Bond		4.250	%		12/1/2017		Aa2			150,000		163,111
Cleveland Department of Public Utilities Division of Public Power, Prerefunded Balance, Series A-1, Revenue Bond, NATL		5.000	%		11/15/2018		A3			1,000,000		1,071,680
Cleveland Department of Public Utilities Division of Water, Series P, Revenue Bond		5.000	%		1/1/2016		Aa1			600,000		621,342
Cleveland Department of Public Utilities Division of Water, Series P, Revenue Bond		5.000	%		1/1/2017		Aa1			365,000		393,313

1

Investment Portfolio - March 31, 2015

(unaudited)

OHIO TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1		PRINCIPAL AMOUNT		VALUE
OHIO MUNICIPAL SECURITIES   (continued)
Cleveland Department of Public Utilities Division of Water, Series T, Revenue Bond		5.000	%		1/1/2019		Aa1	$	370,000	$	423,302
Cleveland Department of Public Utilities Division of Water, Series W, Revenue Bond		5.000	%		1/1/2016		Aa1		150,000		155,427
Cleveland Department of Public Utilities Division of Water, Series W, Revenue Bond		5.000	%		1/1/2017		Aa1		200,000		215,806
Cleveland Department of Public Utilities Division of Water, Water Utility Impt., 2nd Lien, Series A, Revenue Bond		5.000	%		1/1/2019		Aa2		235,000		267,366
Cleveland, Public Impt., Revenue Bond		4.000	%		11/15/2020		A1		220,000		247,320
Columbus City School District, Facilities Construction & Impt., G.O. Bond, AGM		5.000	%		12/1/2017		Aa2		265,000		285,874
Columbus City School District, Facilities Construction & Impt., G.O. Bond, AGM		5.000	%		12/1/2018		Aa2		125,000		134,563
Columbus, Limited Tax, Various Purposes Impt., Series B, G.O. Bond		4.000	%		8/15/2017		Aaa		125,000		134,843
Columbus, Public Impt., Series A, G.O. Bond		4.000	%		6/1/2018		Aaa		500,000		548,060
Columbus, Series 1, G.O. Bond		5.000	%		7/1/2021		Aaa		300,000		361,527
Columbus, Various Purposes Impt., Series 2, G.O. Bond		4.000	%		2/15/2017		Aaa		100,000		106,475
Columbus, Various Purposes Impt., Series A, G.O. Bond		5.000	%		12/15/2016		Aaa		105,000		113,081
Columbus, Various Purposes Impt., Series A, G.O. Bond		5.000	%		9/1/2017		Aaa		250,000		275,815
Columbus, Various Purposes Impt., Series A, G.O. Bond		5.000	%		8/15/2018		Aaa		100,000		113,437
Columbus, Various Purposes Impt., Series A, G.O. Bond		4.000	%		2/15/2021		Aaa		500,000		570,580
Cuyahoga County, G.O. Bond		5.000	%		12/1/2018		Aa1		250,000		285,065
Cuyahoga County, Limited Tax, Various Purposes Impt., Series A, G.O. Bond		4.000	%		12/1/2018		Aa1		400,000		441,768
Cuyahoga County, Public Impt., Revenue Bond		2.000	%		12/1/2017		Aa1		280,000		288,669
Cuyahoga County, Public Impt., Revenue Bond		2.000	%		12/1/2018		Aa1		185,000		191,392
Cuyahoga County, Public Impt., Revenue Bond		2.000	%		12/1/2019		Aa1		85,000		87,834
Cuyahoga County, Public Impt., Series A, G.O. Bond		5.000	%		12/1/2020		Aa1		395,000		469,272
Delaware County Sanitary Sewer System, Revenue Bond, AGM		4.500	%		12/1/2019		Aa2		150,000		161,634
Delaware County Sanitary Sewer System, Sewer Impt., Revenue Bond		1.000	%		12/1/2016		Aa2		255,000		257,716
Delaware County, Public Impt., Series A, G.O. Bond		4.000	%		12/1/2015		Aa1		250,000		256,493
Delaware County, Series B, G.O. Bond		4.000	%		12/1/2015		Aa1		200,000		205,194
Dublin City School District, Various Purposes Impt., Series A, G.O. Bond		5.000	%		12/1/2017		Aa1		400,000		444,752
Fairfield City School District, G.O. Bond		3.000	%		12/1/2016		Aa3		330,000		343,570
Fairfield City School District, G.O. Bond		5.000	%		12/1/2020		Aa3		200,000		237,208
Fairfield County, Public Impt., G.O. Bond		2.000	%		12/1/2018		Aa2		300,000		309,378

2

Investment Portfolio - March 31, 2015

(unaudited)

OHIO TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
OHIO MUNICIPAL SECURITIES   (continued)
Fairfield Township, Public Impt., Prerefunded Balance, G.O. Bond, AGM		5.000	%		12/1/2017		Aa2		$	290,000	$	299,355
Fairview Park City School District, School Impt., Prerefunded Balance, G.O. Bond, NATL		5.000	%		6/1/2015		Aa2			130,000		131,047
Fairview Park City School District, School Impt., Prerefunded Balance, G.O. Bond, NATL		5.000	%		12/1/2029		Aa2			185,000		186,487
Franklin County, G.O. Bond		4.000	%		6/1/2017		Aaa			1,145,000		1,229,444
Franklin County, Various Purposes Impt., G.O. Bond		5.000	%		12/1/2018		Aaa			275,000		306,573
Franklin County, Various Purposes Impt., G.O. Bond		5.000	%		12/1/2020		Aaa			100,000		113,783
Franklin County, Various Purposes Impt., G.O. Bond		5.000	%		12/1/2027		Aaa			500,000		550,125
Greater Cleveland Regional Transit Authority, Transit Impt., Revenue Bond		4.000	%		12/1/2017		Aa1			350,000		378,581
Greater Cleveland Regional Transit Authority, Transit Impt., Revenue Bond		5.000	%		12/1/2018		Aa1			350,000		397,873
Greene County Water System, Series A, Revenue Bond, NATL		5.250	%		12/1/2020		Aa2			100,000		118,306
Hamilton City School District, Various Purposes Impt., G.O. Bond		4.000	%		12/1/2018		AA	2		200,000		219,722
Hamilton County Sewer System, Prerefunded Balance, Series A, Revenue Bond, NATL		5.000	%		12/1/2019		Aa2			500,000		503,950
Hamilton County Sewer System, Sewer Impt., Series A, Revenue Bond		3.750	%		12/1/2015		Aa2			200,000		204,822
Hamilton County Sewer System, Sewer Impt., Series A, Revenue Bond		4.000	%		12/1/2018		Aa2			150,000		165,435
Hamilton County Sewer System, Sewer Impt., Series A, Revenue Bond		5.000	%		12/1/2020		Aa2			500,000		592,225
Hamilton County Sewer System, Sewer Impt., Series A, Revenue Bond		5.000	%		12/1/2020		Aa2			500,000		592,225
Hamilton County, Limited Tax, Riverfront Infrastructure, Parking Facility Impt., G.O. Bond		2.000	%		12/1/2016		Aa2			200,000		205,106
Hamilton Local School District, School Impt., Prerefunded Balance, G.O. Bond, AGM		4.500	%		6/1/2016		A2			200,000		209,810
Hancock County, Various Purposes Impt., G.O. Bond, NATL		4.000	%		12/1/2016		Aa2			200,000		204,652
Hilliard School District, School Construction, Prerefunded Balance, G.O. Bond, NATL		5.000	%		12/1/2015		Aa1			325,000		335,371
Hilliard School District, School Impt., Series A, G.O. Bond		5.000	%		12/1/2018		Aa1			500,000		570,520
Hilliard, Limited Tax, Various Purposes Impt., G.O. Bond		3.000	%		12/1/2018		Aa1			100,000		106,337
Huber Heights City School District, School Impt., G.O. Bond		5.000	%		12/1/2019		A1			300,000		347,853
Huber Heights, Various Purposes Impt., G.O. Bond, AGM		5.000	%		6/1/2017		Aa2			115,000		125,783
Independence, Various Purposes Impt., G.O. Bond		3.000	%		12/1/2017		Aa1			100,000		105,293

3

Investment Portfolio - March 31, 2015

(unaudited)

OHIO TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
OHIO MUNICIPAL SECURITIES   (continued)
Ironton City School District, School Impt., Prerefunded Balance, G.O. Bond, NATL		4.250	%		12/1/2016		A3		$	200,000	$	212,498
Kenston Local School District, School Impt., G.O. Bond		2.000	%		12/1/2017		Aa1			100,000		102,668
Lakota Local School District, Butler County, G.O. Bond		5.000	%		12/1/2019		Aa1			175,000		203,257
Loveland City School District, School Impt., G.O. Bond, AGM		5.000	%		12/1/2015		Aa2			300,000		309,486
Mahoning Valley Sanitary District, Revenue Bond, AGC		2.125	%		12/1/2015		A3			100,000		101,277
Middleburg Heights, G.O. Bond		3.750	%		12/1/2017		Aa1			100,000		107,702
Middletown, Various Purposes Impt., G.O. Bond, AGM		4.500	%		12/1/2018		Aa3			100,000		110,495
Middletown, Various Purposes Impt., G.O. Bond, AGM		5.000	%		12/1/2021		Aa3			230,000		257,646
New Albany Plain Local School District, G.O. Bond, AGM		5.000	%		12/1/2015		Aa1			150,000		154,705
New Albany, Limited Tax, Recreational Facility Impt., G.O. Bond		3.000	%		12/1/2020		Aa1			340,000		367,183
North Ridgeville, Water Utility Impt., G.O. Bond, AGC		4.750	%		12/1/2018		Aa2			200,000		226,016
Northeast Ohio Regional Sewer District, Sewer Impt., Revenue Bond		5.000	%		11/15/2021		Aa1			750,000		904,455
Ohio State Turnpike Commission, Highway Impt., Series A, Revenue Bond		5.000	%		2/15/2018		Aa3			275,000		307,167
Ohio State Turnpike Commission, Highway Impt., Series A, Revenue Bond		5.000	%		2/15/2019		Aa3			375,000		429,675
Ohio State Turnpike Commission, Series A, Revenue Bond		3.250	%		2/15/2016		Aa3			100,000		102,570
Ohio State Turnpike Commission, Series A, Revenue Bond, NATL		5.500	%		2/15/2019		Aa3			260,000		302,819
The Ohio State University, Series A, Prerefunded Balance, Revenue Bond		5.000	%		12/1/2016		WR	3		400,000		430,180
The Ohio State University, Series A, Prerefunded Balance, Revenue Bond		5.000	%		12/1/2018		WR	3		715,000		817,331
Ohio State Water Development Authority, Drinking Water, Prerefunded Balance, Series B, Revenue Bond		5.000	%		12/1/2015		WR	3		500,000		515,955
Ohio State Water Development Authority, Fresh Water, Revenue Bond		5.500	%		12/1/2018		Aaa			100,000		116,172
Ohio State Water Development Authority, Fresh Water, Revenue Bond		5.500	%		12/1/2021		Aaa			125,000		155,029
Ohio State Water Development Authority, Pollution Control, Series C, Revenue Bond		3.000	%		12/1/2021		Aaa			300,000		324,951

4

Investment Portfolio - March 31, 2015

(unaudited)

OHIO TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
OHIO MUNICIPAL SECURITIES   (continued)
Ohio State Water Development Authority, Pure Water, Prerefunded Balance, Series I, Revenue Bond, AMBAC		6.000	%		12/1/2016		Aaa		$	15,000	$	15,591
Ohio State Water Development Authority, Revenue Bond		5.250	%		12/1/2015		Aaa			200,000		206,876
Ohio State Water Development Authority, Revenue Bond		5.000	%		6/1/2018		Aaa			350,000		395,147
Ohio State Water Development Authority, Revenue Bond		5.000	%		12/1/2018		Aaa			100,000		114,376
Ohio State Water Development Authority, Series A, Revenue Bond		5.000	%		12/1/2017		Aaa			150,000		167,035
Ohio State Water Development Authority, Series B-1, Revenue Bond		5.000	%		12/1/2017		Aaa			125,000		139,196
Ohio State Water Development Authority, Series B-1, Revenue Bond		5.000	%		6/1/2018		Aaa			100,000		112,899
Ohio State Water Development Authority, Sewer Impt., Series A, Revenue Bond		5.000	%		6/1/2020		Aaa			450,000		531,121
Ohio State Water Development Authority, Water Utility Impt., Prerefunded Balance, Revenue Bond		5.000	%		6/1/2015		AAA	2		575,000		579,629
Ohio State, Economic Impt., Prerefunded Balance, Series A, Revenue Bond		5.000	%		10/1/2019		AA	2		250,000		280,550
Ohio State, Public Impt., Series A, G.O. Bond		4.000	%		5/1/2017		Aa1			120,000		128,383
Ohio State, Public Impt., Series A, G.O. Bond		3.000	%		5/1/2018		Aa1			100,000		106,205
Ohio State, Public Impt., Series A, G.O. Bond		3.000	%		11/1/2019		Aa1			400,000		430,640
Ohio State, School Impt., Series A, Prerefunded Balance, G.O. Bond		5.000	%		6/15/2016		Aa1			410,000		433,263
Ohio State, Series A, G.O. Bond		5.000	%		9/15/2018		Aa1			225,000		255,672
Ohio State, Series A, G.O. Bond		5.000	%		9/15/2021		Aa1			500,000		601,490
Ohio State, Series B, G.O. Bond		5.000	%		8/1/2019		Aa1			175,000		202,846
Ohio State, Series B, Revenue Bond		5.000	%		12/15/2018		Aa2			650,000		742,586
Ohio State, Series B, Revenue Bond		5.000	%		12/15/2019		Aa2			350,000		409,069
Ohio State, Series C, G.O. Bond		5.000	%		9/15/2016		Aa1			305,000		325,551
Ohio State, University & College Impt., Series A, G.O. Bond		5.000	%		2/1/2019		Aa1			150,000		171,471
Olentangy Local School District, Public Impt., Prerefunded Balance, G.O. Bond, AGM		5.000	%		6/1/2016		Aa1			100,000		105,487
Olentangy Local School District, School Impt., G.O. Bond		5.000	%		12/1/2019		Aa1			100,000		116,541
Olentangy Local School District, School Impt., Series A, G.O. Bond		4.300	%		12/1/2016		Aa1			150,000		159,111
Olentangy Local School District, Series B, G.O. Bond		5.000	%		12/1/2018		Aa1			150,000		170,808
Olentangy Local School District, Series B, G.O. Bond		3.000	%		12/1/2020		Aa1			115,000		124,769
Oregon City School District, School Impt., G.O. Bond		4.000	%		12/1/2017		Aa3			100,000		108,166

5

Investment Portfolio - March 31, 2015

(unaudited)

OHIO TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT/ SHARES		VALUE
OHIO MUNICIPAL SECURITIES   (continued)
Portage County, Limited Tax, Various Purposes Impt., G.O. Bond		4.000	%		12/1/2017		AA	2	$	250,000	$	270,647
Sandy Valley Local School District, School Impt., Prerefunded Balance, G.O. Bond, XLCA		4.500	%		6/1/2016		A	2		100,000		104,905
Sheffield, Limited Tax, Various Purposes Impt., G.O. Bond		2.000	%		12/1/2018		AA	2		140,000		143,944
Springboro Community City School District, G.O. Bond, AGM		5.250	%		12/1/2018		Aa3			200,000		228,282
Springboro Sewer System, Revenue Bond		4.000	%		6/1/2018		Aa3			100,000		108,548
Springboro, Limited Tax, Public Impt., G.O. Bond		5.000	%		12/1/2019		Aa1			100,000		113,205
Summit County, Series A, G.O. Bond, NATL		4.750	%		12/1/2019		Aa1			120,000		128,619
Summit County, Various Purposes Impt., Series R, G.O. Bond, NATL		5.500	%		12/1/2019		Aa1			100,000		119,120
Sylvania City School District, School Impt., G.O. Bond, AGC		5.000	%		12/1/2020		A1			150,000		163,647
Sylvania City School District, School Impt., G.O. Bond, AGC		5.000	%		12/1/2025		A1			270,000		293,471
Toledo Water System, Water Utility Impt., Revenue Bond		5.000	%		11/15/2018		Aa3			500,000		568,385
Toledo Water System, Water Utility Impt., Revenue Bond		5.000	%		11/15/2019		Aa3			500,000		580,895
Toledo, Limited Tax, Capital Impt., G.O. Bond		5.000	%		12/1/2019		A2			275,000		315,805
Troy, Limited Tax, Water & Sewer Impt., G.O. Bond		2.000	%		12/1/2020		Aa1			100,000		102,100
Westerville, Various Purposes Impt., G.O. Bond		5.000	%		12/1/2020		Aaa			100,000		118,813
Worthington City School District, G.O. Bond		4.000	%		12/1/2018		Aa1			400,000		440,328
TOTAL MUNICIPAL BONDS (Identified Cost $43,825,849)												44,092,953
SHORT-TERM INVESTMENT - 4.3%
Dreyfus AMT - Free Municipal Reserves - Class R (Identified Cost $1,993,164)		0.00	%4							1,993,164		1,993,164
TOTAL INVESTMENTS - 98.9% (Identified Cost $45,819,013)												46,086,117
OTHER ASSETS, LESS LIABILITIES - 1.1%												522,480
NET ASSETS - 100%											$	46,608,597

KEY:

G.O. Bond - General Obligation Bond

Impt. - Improvement

Scheduled principal and interest payments are guaranteed by:

AGC (Assured Guaranty Corp.)

AGM (Assurance Guaranty Municipal Corp.)

AMBAC (AMBAC Assurance Corp.)

NATL (National Public Finance Guarantee Corp.)

6

Investment Portfolio - March 31, 2015

(unaudited)

XLCA (XL Capital Assurance)

The insurance does not guarantee the market value of the municipal bonds.

¹Credit ratings from Moody’s (unaudited).

²Credit ratings from S&P (unaudited).

³Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁴Rate shown is the current yield as of March 31, 2015. Rate is less than 0.01%.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in bonds insured by the following companies: NATL - 10.5%.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	45,819,013
Unrealized appreciation		324,862
Unrealized depreciation		(57,758	)
Net unrealized appreciation	$	267,104

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at market value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL  3
Assets:
Debt securities:
States and political subdivisions (municipals)	$	44,092,953	$	—	$	44,092,953	$	—
Mutual fund		1,993,164		1,993,164		—		—
Total assets	$	46,086,117	$	1,993,164	$	44,092,953	$	—

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

7

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS - 96.3%
ALASKA - 0.2%
Alaska Municipal Bond Bank Authority, Series 2, Revenue Bond		5.000	%		9/1/2022		Aa2		$	500,000	$	595,840
ARIZONA - 3.2%
Arizona Health Facilities Authority, Banner Health, Series A, Revenue Bond		5.000	%		1/1/2019		AA	2		795,000		854,490
Mesa, Utility System, Revenue Bond, NATL		5.000	%		7/1/2019		Aa2			2,000,000		2,309,460
Pima County Sewer System, Series A, Revenue Bond		5.000	%		7/1/2019		AA	2		1,000,000		1,154,730
Pima County Sewer System, Series B, Revenue Bond		5.000	%		7/1/2020		AA	2		1,400,000		1,648,038
Salt River Project Agricultural Impt. & Power District, Series A, Revenue Bond		5.000	%		12/1/2018		Aa1			1,340,000		1,530,548
Salt River Project Agricultural Impt. & Power District, Series B, Revenue Bond		4.000	%		1/1/2018		Aa1			1,715,000		1,863,468
Salt River Project Agricultural Impt. & Power District, Series B, Revenue Bond		5.000	%		12/1/2020		Aa1			400,000		475,212
Tucson Water System, Revenue Bond, NATL		4.000	%		7/1/2016		Aa2			1,000,000		1,046,250
Tucson Water System, Series A, Revenue Bond		5.000	%		7/1/2018		Aa2			1,400,000		1,582,462
Yavapai County Industrial Development Authority, Northern Arizona Healthcare System, Revenue Bond		5.000	%		10/1/2020		AA	2		460,000		541,098
												13,005,756
COLORADO - 1.9%
Boulder Water & Sewer, Revenue Bond		5.000	%		12/1/2019		Aa1			1,500,000		1,754,550
Colorado Springs Utilities System, Series C-1, Revenue Bond		5.000	%		11/15/2019		Aa2			2,435,000		2,841,158
Denver Wastewater Management Division Department of Public Works, Revenue Bond		4.000	%		11/1/2020		Aa2			1,500,000		1,708,125
Platte River Power Authority, Series GG, Revenue Bond, AGM		5.000	%		6/1/2018		Aa2			1,210,000		1,361,214
												7,665,047
CONNECTICUT - 0.1%
Connecticut Municipal Electric Energy Cooperative, Series A, Revenue Bond		4.000	%		1/1/2017		Aa3			420,000		444,818
DELAWARE - 0.9%
Delaware River & Bay Authority, Series C, Revenue Bond		5.000	%		1/1/2019		A1			2,000,000		2,270,740

1

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1		PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
DELAWARE   (continued)
New Castle County, Public Impt., Prerefunded Balance, Series A, G.O. Bond		4.250	%		7/15/2026		Aaa	$	1,265,000	$	1,279,851
											3,550,591
DISTRICT OF COLUMBIA - 1.2%
District of Columbia Water & Sewer Authority, Series A, Revenue Bond, AGC		5.000	%		10/1/2017		Aa3		400,000		442,232
District of Columbia Water & Sewer Authority, Series A, Revenue Bond, AGC		5.000	%		10/1/2019		Aa3		1,000,000		1,136,070
District of Columbia Water & Sewer Authority, Water Utility Impt., Series A, Revenue Bond		5.000	%		10/1/2018		Aa3		1,000,000		1,135,750
District of Columbia, Public Impt., Prerefunded Balance, Series A, G.O. Bond, AMBAC		5.000	%		6/1/2015		Aa1		2,000,000		2,015,940
											4,729,992
FLORIDA - 7.3%
Cape Coral, Water Utility Impt., Special Assessment, NATL		4.500	%		7/1/2021		A2		1,780,000		1,861,168
Charlotte County Utility System Revenue, Revenue Bond, AGM		4.100	%		10/1/2021		Aa3		900,000		945,477
Daytona Beach Utility System, Water Utility Impt., Revenue Bond, AGM		5.000	%		11/1/2019		A2		1,010,000		1,165,005
Florida Municipal Power Agency, St. Lucie Project, Series A, Revenue Bond		5.000	%		10/1/2018		A2		1,065,000		1,200,756
Florida Municipal Power Agency, Stanton II Project, Swap Termination, Series A, Revenue Bond		4.000	%		10/1/2017		A1		635,000		682,809
Florida’s Turnpike Enterprise, Series A, Revenue Bond		5.000	%		7/1/2017		Aa3		1,000,000		1,096,290
Florida’s Turnpike Enterprise, Series C, Revenue Bond		5.000	%		7/1/2019		Aa3		920,000		1,062,352
Fort Lauderdale, Water & Sewer, Revenue Bond		5.000	%		9/1/2020		Aa1		1,545,000		1,822,327
Fort Myers Utility System, Utility Impt., Revenue Bond		5.000	%		10/1/2019		Aa3		785,000		910,427
JEA Electric System, Series B, Revenue Bond		5.000	%		10/1/2019		Aa3		2,000,000		2,325,260
JEA Electric System, Series C, Revenue Bond		3.000	%		10/1/2017		Aa3		1,085,000		1,146,172
JEA Electric System, Swap Termination, Series B, Revenue Bond		5.000	%		10/1/2015		Aa3		1,000,000		1,024,310
JEA Electric System, Swap Termination, Series B, Revenue Bond		5.000	%		10/1/2019		Aa3		1,500,000		1,743,945
Miami-Dade County Expressway Authority, Swap Termination, Series A, Revenue Bond, AGM		4.000	%		7/1/2018		A2		1,000,000		1,087,970

2

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
FLORIDA   (continued)
Miami-Dade County, Water & Sewer System, Series B, Revenue Bond, AGM		5.250	%		10/1/2019		Aa3		$	500,000	$	585,330
Miami-Dade County, Water & Sewer System, Series C, Revenue Bond, BHAC		5.000	%		10/1/2015		Aa1			700,000		716,604
Orlando Utilities Commission, Revenue Bond		5.000	%		10/1/2019		Aa2			740,000		792,666
Orlando Utilities Commission, Series A, Revenue Bond		4.000	%		10/1/2017		Aa2			400,000		432,340
Orlando Utilities Commission, Series B, Revenue Bond		5.000	%		10/1/2018		Aa2			1,175,000		1,334,506
Orlando Utilities Commission, Series C, Revenue Bond		5.000	%		10/1/2016		Aa2			1,000,000		1,068,720
Orlando-Orange County Expressway Authority, Revenue Bond		5.000	%		7/1/2018		A2			675,000		760,421
Orlando-Orange County Expressway Authority, Revenue Bond		5.000	%		7/1/2019		A2			500,000		576,240
Orlando-Orange County Expressway Authority, Swap Termination, Series B, Revenue Bond		5.000	%		7/1/2020		A2			1,165,000		1,368,502
Port St. Lucie Utility System, Revenue Bond, AGC		5.000	%		9/1/2017		A1			1,730,000		1,901,616
Port St. Lucie Utility System, Revenue Bond, AGC		5.000	%		9/1/2018		A1			400,000		451,196
South Miami Health Facilities Authority, Baptist Health South Florida Group, Revenue Bond		5.000	%		8/15/2018		Aa2			500,000		550,260
Tampa, BayCare Health System, Revenue Bond		5.000	%		11/15/2018		Aa2			500,000		567,145
												29,179,814
GEORGIA - 4.3%
Atlanta, Water & Wastewater, Series B, Revenue Bond		5.000	%		11/1/2017		Aa3			1,000,000		1,107,510
Atlanta, Water & Wastewater, Series B, Revenue Bond		5.000	%		11/1/2019		Aa3			1,160,000		1,347,711
Augusta Water & Sewerage, Revenue Bond, AGM		5.000	%		10/1/2016		Aa3			1,050,000		1,121,495
DeKalb County, Water & Sewerage, Revenue Bond		5.000	%		10/1/2019		Aa3			500,000		578,940
DeKalb County, Water & Sewerage, Series A, Revenue Bond		5.000	%		10/1/2018		Aa3			1,585,000		1,795,773
Fulton County Water & Sewerage, Revenue Bond		5.000	%		1/1/2017		Aa3			1,000,000		1,076,840
Fulton County Water & Sewerage, Revenue Bond		5.000	%		1/1/2019		Aa3			1,200,000		1,367,652
Georgia State, Series E-2, G.O. Bond		4.000	%		9/1/2017		Aaa			1,500,000		1,619,760
Madison, Water & Sewer, Prerefunded Balance, Revenue Bond, AMBAC		4.625	%		7/1/2030		WR	3		1,000,000		1,033,070
Municipal Electric Authority of Georgia, Series A, Revenue Bond		5.000	%		11/1/2018		A1			1,115,000		1,267,755
Municipal Electric Authority of Georgia, Series A, Revenue Bond		5.250	%		1/1/2019		A2			2,250,000		2,578,658

3

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
GEORGIA   (continued)
Municipal Electric Authority of Georgia, Series A, Revenue Bond		5.250	%		1/1/2019		A2		$	500,000	$	573,035
Municipal Electric Authority of Georgia, Series A, Revenue Bond		5.000	%		11/1/2019		A1			485,000		562,309
Municipal Electric Authority of Georgia, Series A, Revenue Bond		5.000	%		11/1/2020		A1			1,000,000		1,176,870
												17,207,378
HAWAII - 1.0%
Honolulu County Wastewater System, Sewer Impt., Series A, Revenue Bond		5.000	%		7/1/2020		Aa3			1,000,000		1,151,600
Honolulu County Wastewater System, Sewer Impt., Series B, Revenue Bond		5.000	%		7/1/2020		Aa2			2,320,000		2,736,162
												3,887,762
ILLINOIS - 2.9%
Central Lake County Joint Action Water Agency, Revenue Bond		4.000	%		5/1/2018		Aa2			750,000		817,357
Central Lake County Joint Action Water Agency, Revenue Bond		4.000	%		5/1/2019		Aa2			760,000		841,031
Central Lake County Joint Action Water Agency, Series A, G.O. Bond		2.000	%		5/1/2017		Aa2			575,000		588,110
Chicago Waterworks, Water Utility Impt., Revenue Bond		3.000	%		11/1/2016		A3			875,000		905,537
Chicago Waterworks, Water Utility Impt., Revenue Bond		5.000	%		11/1/2017		A3			600,000		658,446
Du Page & Will Counties Community School District No. 204 Indian Prairie, Series A, G.O. Bond		5.000	%		12/30/2018		Aa1			820,000		934,259
Illinois Municipal Electric Agency, Series A, Revenue Bond, NATL		5.250	%		2/1/2019		A1			2,790,000		3,025,755
Illinois State Toll Highway Authority, Series A, Revenue Bond		5.000	%		12/1/2019		Aa3			1,000,000		1,162,380
Illinois State, Public Impt., G.O. Bond		4.000	%		7/1/2016		A3			2,000,000		2,079,420
Sangamon & Morgan Counties Community Unit School District No. 16 New Berlin, School Impt., G.O. Bond, NATL		5.500	%		2/1/2019		A3			725,000		829,552
												11,841,847
INDIANA - 2.8%
Avon Community School Building Corp., Revenue Bond, AMBAC		4.250	%		7/15/2018		A	2		1,450,000		1,545,801

4

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
INDIANA   (continued)
Fort Wayne Waterworks, Water Utility Impt., Revenue Bond		2.000	%		12/1/2020		Aa3		$	745,000	$	761,241
Indiana Finance Authority, Beacon Health System, Series A, Revenue Bond		5.000	%		8/15/2017		AA	2		500,000		549,470
Indiana Municipal Power Agency, Series A, Revenue Bond		5.000	%		1/1/2019		A1			2,540,000		2,885,846
Indiana Municipal Power Agency, Series A, Revenue Bond		4.000	%		1/1/2020		A1			750,000		836,003
Lafayette, Sewage Works, Revenue Bond		4.000	%		7/1/2017		AA	2		500,000		536,650
Lafayette, Sewage Works, Sewer Impt., Revenue Bond		3.000	%		1/1/2017		AA	2		470,000		489,688
Lafayette, Sewage Works, Sewer Impt., Revenue Bond		3.000	%		7/1/2018		AA	2		475,000		504,203
Shelbyville Central Renovation School Building Corp., Prerefunded Balance, School Impt., Revenue Bond, NATL		5.000	%		7/15/2018		A3			3,000,000		3,041,370
												11,150,272
KANSAS - 3.2%
Kansas Development Finance Authority, Series D, Revenue Bond		5.000	%		11/15/2020		Aa2			500,000		580,655
Kansas Turnpike Authority, Series A, Revenue Bond		5.000	%		9/1/2019		AA	2		2,965,000		3,431,988
Topeka Combined Utility, Series A, Revenue Bond		4.000	%		8/1/2019		Aa3			845,000		936,345
Wichita, Water & Sewer Utility, Series A, Revenue Bond		5.000	%		10/1/2017		AA	2		2,000,000		2,209,580
Wichita, Water & Sewer Utility, Series A, Revenue Bond		5.000	%		10/1/2018		AA	2		1,000,000		1,134,640
Wichita, Water & Sewer Utility, Series B, Revenue Bond		5.000	%		10/1/2019		AA	2		2,000,000		2,317,180
Wyandotte County-Kansas City Unified Government Utility System, Water Utility Impt., Series A, Revenue Bond		4.000	%		9/1/2018		A3			450,000		491,040
Wyandotte County-Kansas City Unified Government Utility System, Water Utility Impt., Series A, Revenue Bond		5.000	%		9/1/2020		A3			1,495,000		1,750,062
												12,851,490
KENTUCKY - 0.1%
Kentucky Turnpike Authority, Series A, Revenue Bond		5.000	%		7/1/2019		Aa2			500,000		578,035

5

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL      AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
LOUISIANA - 1.3%
Lafayette Utilities, Sewer Impt., Revenue Bond		4.000	%		11/1/2018		A1		$	1,135,000	$	1,246,945
Lafayette Utilities, Water & Sewer Impt., Revenue Bond		5.000	%		11/1/2019		A1			990,000		1,146,371
New Orleans, Water Utility Impt., Revenue Bond		5.000	%		12/1/2020		BBB	2		1,700,000		1,969,399
St. Charles Parish Waterworks & Wastewater District No. 1, Revenue Bond		2.000	%		7/1/2017		A	2		750,000		768,840
												5,131,555
MAINE - 0.6%
Maine Municipal Bond Bank, Various Purposes Impt., Series E, Revenue Bond		4.000	%		11/1/2021		Aa2			570,000		648,198
Maine Turnpike Authority, Revenue Bond		5.000	%		7/1/2017		Aa3			1,500,000		1,645,845
												2,294,043
MARYLAND - 1.4%
Baltimore, Water Utility Impt., Series A, Revenue Bond		4.000	%		7/1/2018		Aa3			500,000		547,000
Maryland Health & Higher Educational Facilities Authority, Revenue Bond		5.000	%		7/1/2019		A2			500,000		571,115
Maryland State, Public Impt., Series A, G.O. Bond		5.250	%		3/1/2017		Aaa			1,000,000		1,089,900
Maryland State, Public Impt., Series A, G.O. Bond		5.000	%		8/1/2017		Aaa			2,990,000		3,291,631
												5,499,646
MASSACHUSETTS - 1.8%
Commonwealth of Massachusetts, Public Impt., Series D-2, G.O. Bond4		0.320	%		8/1/2043		Aa1			1,225,000		1,228,332
Commonwealth of Massachusetts, Public Impt., Series E, G.O. Bond		5.000	%		12/1/2016		Aa1			500,000		537,725
Hanover, Public Impt., G.O. Bond		3.000	%		5/15/2015		Aa2			910,000		913,240
Lynn Water & Sewer Commission, Revenue Bond		5.000	%		6/1/2017		A1			1,500,000		1,639,800
Massachusetts Health & Educational Facilities Authority, Series G, Revenue Bond		5.000	%		7/1/2018		Aa3			600,000		657,870
Massachusetts Municipal Wholesale Electric Co., Project No. 5, Series A, Revenue Bond		5.000	%		7/1/2015		A	2		500,000		506,045
Massachusetts Municipal Wholesale Electric Co., Project No. 6, Revenue Bond		5.000	%		7/1/2017		A3			590,000		645,838
Massachusetts Municipal Wholesale Electric Co., Revenue Bond		5.000	%		7/1/2016		A3			1,000,000		1,057,810
												7,186,660

6

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
MICHIGAN - 1.2%
Ann Arbor Sewage Disposal System, Revenue Bond		3.000	%		7/1/2020		AA	2	$	1,000,000	$	1,082,300
Bay City School District, G.O. Bond		3.000	%		11/1/2016		AA	2		500,000		518,790
Emmet County, Public Impt., G.O. Bond		2.250	%		5/1/2018		Aa3			910,000		939,784
Grand Rapids, Water Supply System, Revenue Bond		5.000	%		1/1/2018		Aa2			550,000		610,951
Walled Lake Consolidated School District, G.O. Bond		5.000	%		5/1/2019		Aa2			1,000,000		1,137,550
West Ottawa Public Schools, Series I, G.O. Bond		5.000	%		5/1/2019		Aa2			400,000		455,020
												4,744,395
MINNESOTA - 0.7%
Minnesota Agricultural & Economic Development Board, Series C-1, Revenue Bond, AGC		5.000	%		2/15/2016		AA	2		540,000		560,358
Minnesota Municipal Power Agency, Series A, Revenue Bond		5.000	%		10/1/2018		A2			2,130,000		2,406,197
Western Minnesota Municipal Power Agency, Prerefunded Balance, Revenue Bond		6.625	%		1/1/2016		Aaa			35,000		36,682
												3,003,237
MISSOURI - 2.9%
Kansas City, Sanitary Sewer System, Revenue Bond		4.000	%		1/1/2017		Aa2			2,155,000		2,283,115
Kansas City, Sanitary Sewer System, Series A, Revenue Bond		2.000	%		1/1/2018		Aa2			2,425,000		2,498,623
Kansas City, Sanitary Sewer System, Series A, Revenue Bond		4.000	%		1/1/2019		Aa2			2,465,000		2,718,254
Missouri Housing Development Commission, Series A, Revenue Bond		1.600	%		11/1/2019		AA	2		300,000		301,695
Missouri Joint Municipal Electric Utility Commission, Prerefunded Balance, Series A, Revenue Bond, AMBAC		5.000	%		1/1/2021		A2			1,535,000		1,652,673
Missouri Joint Municipal Electric Utility Commission, Revenue Bond		5.000	%		1/1/2018		A3			500,000		553,535
Missouri Joint Municipal Electric Utility Commission, Series A, Revenue Bond		4.000	%		1/1/2018		A2			750,000		810,450
Missouri State Health & Educational Facilities Authority, Revenue Bond		5.000	%		1/1/2020		Aa2			725,000		843,436
												11,661,781
NEBRASKA - 3.6%
Lincoln Electric System, Revenue Bond		5.000	%		9/1/2021		AA	2		2,000,000		2,404,500

7

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
NEBRASKA   (continued)
Municipal Energy Agency of Nebraska, Series A, Revenue Bond		5.000	%		4/1/2018		A2		$	630,000	$	702,419
Municipal Energy Agency of Nebraska, Series A, Revenue Bond		5.000	%		4/1/2018		A	2		500,000		557,475
Nebraska Public Power District, Prerefunded Balance, Series B, Revenue Bond		5.000	%		1/1/2019		A1			600,000		667,008
Nebraska Public Power District, Revenue Bond		5.000	%		1/1/2019		A1			1,000,000		1,139,710
Nebraska Public Power District, Series A, Revenue Bond		5.000	%		1/1/2019		A1			500,000		569,855
Nebraska Public Power District, Series B, Revenue Bond		3.000	%		1/1/2016		A1			905,000		923,770
Nebraska Public Power District, Series B, Revenue Bond		5.000	%		1/1/2020		A1			1,000,000		1,164,360
Nebraska Public Power District, Series C, Revenue Bond		5.000	%		1/1/2018		A1			2,160,000		2,401,229
Omaha Public Power District, Series A, Revenue Bond		4.000	%		2/1/2018		A1			1,120,000		1,214,853
Omaha Public Power District, Series B, Revenue Bond		3.000	%		2/1/2018		Aa2			600,000		636,228
Omaha Public Power District, Series C, Revenue Bond		5.000	%		2/1/2018		Aa2			675,000		752,665
Omaha Public Power District, Series C, Revenue Bond		5.000	%		2/1/2019		Aa2			1,265,000		1,445,553
												14,579,625
NEW HAMPSHIRE - 1.0%
New Hampshire State Turnpike System, Series B, Revenue Bond		5.000	%		2/1/2020		A1			2,575,000		2,992,820
Portsmouth, Public Impt., G.O. Bond		2.500	%		5/15/2015		Aa1			820,000		822,271
												3,815,091
NEW JERSEY - 1.4%
Hudson County, G.O. Bond		2.000	%		12/1/2017		AA	2		1,000,000		1,025,440
New Jersey Health Care Facilities Financing Authority, Kennedy Health System, Revenue Bond		2.000	%		7/1/2018		A3			455,000		466,857
New Jersey State Turnpike Authority, Series A, Revenue Bond		3.000	%		1/1/2016		A3			1,100,000		1,122,319
New Jersey State Turnpike Authority, Series B, Revenue Bond		5.000	%		1/1/2019		A3			1,625,000		1,844,976
New Jersey State Turnpike Authority, Series H, Revenue Bond		5.000	%		1/1/2020		A3			915,000		1,038,498
												5,498,090

8

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
NEW YORK - 6.1%
Metropolitan Transportation Authority, Series F, Revenue Bond		5.000	%		11/15/2018		A2		$	725,000	$	823,745
Metropolitan Transportation Authority, Transit Impt., Series F, Revenue Bond		5.000	%		11/15/2017		A2			1,145,000		1,269,221
Metropolitan Transportation Authority, Transit Impt., Series F, Revenue Bond		5.000	%		11/15/2019		A2			1,315,000		1,525,834
Metropolitan Transportation Authority, Transit Impt., Subseries D-2, Revenue Bond4		0.380	%		11/15/2044		A2			1,600,000		1,600,736
Nassau County, Public Impt., Series A, G.O. Bond		5.000	%		4/1/2019		A2			1,000,000		1,140,210
New York City Transitional Finance Authority, Future Tax Secured, Prerefunded Balance, Subseries F-1, Revenue Bond		5.000	%		5/1/2019		Aa1			2,565,000		2,948,955
New York City Transitional Finance Authority, Future Tax Secured, Subseries C, Revenue Bond		5.000	%		11/1/2018		Aa1			1,000,000		1,137,010
New York City Water & Sewer System, Prerefunded Balance, Series EE, Revenue Bond		5.000	%		6/15/2017		Aa2			2,530,000		2,772,273
New York City, Series B, G.O. Bond		5.000	%		8/1/2017		Aa2			2,000,000		2,198,100
New York State Dormitory Authority, Series 1, Revenue Bond		4.000	%		7/1/2020		Aa3			420,000		472,819
New York State Thruway Authority Highway & Bridge Trust Fund, Series B, Revenue Bond		5.000	%		4/1/2019		AA	2		2,135,000		2,419,211
New York State Thruway Authority, Highway Impt., Series H, Revenue Bond, NATL		5.000	%		1/1/2017		A2			600,000		646,320
New York State Thruway Authority, Highway Impt., Series I, Revenue Bond		4.000	%		1/1/2019		A2			1,000,000		1,093,110
Triborough Bridge & Tunnel Authority, Highway Impt., Series A, Revenue Bond		4.000	%		11/15/2018		Aa3			500,000		551,395
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		5.000	%		11/15/2017		Aa3			575,000		638,175
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		4.000	%		11/15/2019		Aa3			725,000		812,449
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		5.000	%		11/15/2020		Aa3			920,000		1,095,582
Triborough Bridge & Tunnel Authority, Series D, Revenue Bond		5.000	%		11/15/2017		A1			1,250,000		1,387,337
												24,532,482
NORTH CAROLINA - 5.6%
Cape Fear Public Utility Authority, Sewer Impt., Revenue Bond		5.000	%		8/1/2019		Aa2			1,240,000		1,399,154
Charlotte, Water & Sewer System, Revenue Bond		5.000	%		12/1/2020		Aaa			1,400,000		1,671,292
The Charlotte-Mecklenburg Hospital Authority, Series A, Revenue Bond		5.000	%		1/15/2017		Aa3			415,000		447,607

9

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL      AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
NORTH CAROLINA   (continued)
The Charlotte-Mecklenburg Hospital Authority, Series A, Revenue Bond		3.000	%		1/15/2018		Aa3		$	500,000	$	526,420
Concord, Utilities Systems, Revenue Bond, AGC		4.000	%		12/1/2017		Aa2			880,000		956,982
Mecklenburg County, Public Impt., Prerefunded Balance, Series A, G.O. Bond		5.000	%		2/1/2018		Aaa			5,855,000		6,328,787
North Carolina Eastern Municipal Power Agency, Series A, Revenue Bond, AGC		5.250	%		1/1/2019		A3			1,265,000		1,411,917
North Carolina Medical Care Commission, Moses Cone Health System, Revenue Bond		5.000	%		10/1/2020		AA	2		580,000		670,196
North Carolina Municipal Power Agency No. 1, Series A, Revenue Bond		5.250	%		1/1/2017		A2			2,000,000		2,162,000
North Carolina Municipal Power Agency No. 1, Series A, Revenue Bond		5.000	%		1/1/2018		A2			3,000,000		3,327,240
North Carolina Municipal Power Agency No. 1, Series A, Revenue Bond		5.000	%		1/1/2020		A2			400,000		463,348
North Carolina State, Series B, G.O. Bond		5.000	%		6/1/2017		Aaa			3,000,000		3,284,370
												22,649,313
NORTH DAKOTA - 0.3%
Fargo, Health System, Revenue Bond		5.500	%		11/1/2016		A1			450,000		484,839
North Dakota Public Finance Authority, Series A, Revenue Bond		4.000	%		6/1/2018		AA	2		800,000		872,824
												1,357,663
OHIO - 3.7%
American Municipal Power, Inc., Fremont Energy Center Project, Series B, Revenue Bond		5.000	%		2/15/2018		A1			425,000		472,468
American Municipal Power, Inc., Prairie State Energy Campus Project, Prerefunded Balance, Revenue Bond		5.000	%		2/15/2016		WR	3		820,000		853,874
American Municipal Power, Inc., Prairie State Energy Campus Project, Prerefunded Balance, Revenue Bond		5.250	%		2/15/2023		WR	3		425,000		477,267
American Municipal Power, Inc., Prairie State Energy Campus Project, Unrefunded Balance, Revenue Bond		5.000	%		2/15/2016		A1			330,000		343,365
American Municipal Power, Inc., Prairie State Energy Campus Project, Unrefunded Balance, Revenue Bond		5.250	%		2/15/2023		A1			25,000		27,957
Franklin County, Ohio Health Corp., Revenue Bond		5.000	%		5/15/2018		Aa2			640,000		715,117
Northeast Ohio Regional Sewer District, Sewer Impt., Prerefunded Balance, Revenue Bond, NATL		5.000	%		11/15/2018		Aa1			1,000,000		1,092,330

10

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
OHIO   (continued)
Ohio State Turnpike Commission, Series A, Revenue Bond, NATL		5.500	%		2/15/2018		Aa3		$	1,000,000	$	1,131,120
Ohio State Turnpike Commission, Series A, Revenue Bond, NATL		5.500	%		2/15/2019		Aa3			3,735,000		4,350,117
Ohio State, Highway Impt., Revenue Bond		4.000	%		12/15/2017		Aa2			1,000,000		1,086,140
Toledo Water System, Revenue Bond		3.000	%		11/15/2017		Aa3			1,000,000		1,055,640
Toledo Water System, Water Utility Impt., Revenue Bond		5.000	%		11/15/2018		Aa3			1,175,000		1,335,705
Toledo Water System, Water Utility Impt., Revenue Bond		5.000	%		11/15/2019		Aa3			1,010,000		1,173,408
Toledo, Capital Impt., G.O. Bond		5.000	%		12/1/2020		A2			610,000		710,162
												14,824,670
OKLAHOMA - 1.3%
Oklahoma City Water Utilities Trust, Series B, Revenue Bond		5.000	%		7/1/2017		Aa1			655,000		717,756
Oklahoma Development Finance Authority, Prerefunded Balance, Series C, Revenue Bond		5.000	%		8/15/2018		Aa3			500,000		566,870
Oklahoma Turnpike Authority, Series A, Revenue Bond		5.000	%		1/1/2017		Aa3			855,000		921,168
Oklahoma Turnpike Authority, Series A, Revenue Bond		5.000	%		1/1/2020		Aa3			2,750,000		3,210,268
												5,416,062
OREGON - 1.5%
Medford Hospital Facilities Authority, Asante Health System, Revenue Bond, AGM		5.000	%		8/15/2019		AA	2		440,000		504,130
Oregon State Housing & Community Services Department, Series A, Revenue Bond		1.950	%		7/1/2020		Aa2			230,000		234,798
Portland Sewer System, Series A, Revenue Bond		5.000	%		6/15/2018		Aa2			1,395,000		1,577,187
Portland Sewer System, Series A, Revenue Bond		5.000	%		8/1/2019		Aa3			1,285,000		1,491,834
Portland Sewer System, Sewer Impt., Series B, Revenue Bond, AGM		5.000	%		6/15/2018		Aa3			500,000		564,620
Portland Water System, Water Utility Impt., Prerefunded Balance, Series A, Revenue Bond, NATL		4.500	%		10/1/2031		Aa1			550,000		583,726
Washington County Clean Water Services, Sewer Impt., Series B, Revenue Bond		5.000	%		10/1/2021		Aa2			1,015,000		1,217,015
												6,173,310

11

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
PENNSYLVANIA - 6.2%
Allegheny County Hospital Development Authority, University of Pittsburgh Medical Center, Revenue Bond		5.000	%		8/15/2019		Aa3		$	640,000	$	735,398
Allegheny County Hospital Development Authority, University of Pittsburgh Medical Center, Series A, Revenue Bond		5.000	%		5/15/2018		Aa3			500,000		558,960
Allegheny County Sanitary Authority, Revenue Bond, AGM		5.000	%		6/1/2018		A1			1,465,000		1,642,880
Allegheny County Sanitary Authority, Revenue Bond, AGM		5.000	%		12/1/2019		A1			1,500,000		1,739,145
Central Bradford Progress Authority, Guthrie Healthcare System, Revenue Bond		5.250	%		12/1/2018		AA	2		600,000		683,496
Lancaster County Hospital Authority, Lancaster General, Revenue Bond		4.000	%		7/1/2017		Aa3			460,000		492,007
North Wales Water Authority, Series A, Revenue Bond		5.000	%		11/1/2020		AA	2		1,000,000		1,177,460
Pennsylvania Turnpike Commission, Series A, Revenue Bond, AGM		5.250	%		7/15/2018		Aa3			615,000		695,928
Pennsylvania Turnpike Commission, Series A, Revenue Bond, AGM		5.250	%		7/15/2019		Aa3			1,050,000		1,216,373
Pennsylvania Turnpike Commission, Series B, Revenue Bond		5.000	%		12/1/2017		A1			2,440,000		2,704,081
Pennsylvania Turnpike Commission, Series B, Revenue Bond		5.000	%		12/1/2020		A1			1,000,000		1,160,660
Pennsylvania Turnpike Commission, Subseries B, Revenue Bond		5.000	%		6/1/2017		A3			1,000,000		1,089,340
Philadelphia, Water & Wastewater, Prerefunded Balance, Revenue Bond, NATL		5.600	%		8/1/2018		AA	2		20,000		22,570
Philadelphia, Water & Wastewater, Series A, Revenue Bond		5.000	%		1/1/2018		A1			385,000		427,331
Philadelphia, Water & Wastewater, Series A, Revenue Bond		5.000	%		7/1/2018		A1			500,000		562,590
Philadelphia, Water & Wastewater, Series B, Revenue Bond		5.000	%		11/1/2017		A1			750,000		830,017
Philadelphia, Water & Wastewater, Series B, Revenue Bond		5.000	%		11/1/2018		A1			1,370,000		1,554,594
Philadelphia, Water & Wastewater, Series B, Revenue Bond		5.000	%		11/1/2022		A1			1,115,000		1,316,692
Philadelphia, Water & Wastewater, Series C, Revenue Bond, AGM		5.000	%		8/1/2017		A1			1,000,000		1,098,670
Philadelphia, Water & Wastewater, Swap Termination, Series A, Revenue Bond, AGM		5.000	%		6/15/2019		A1			1,000,000		1,150,800
Pittsburgh Water & Sewer Authority, Series B, Revenue Bond, AGM		5.000	%		9/1/2019		A2			1,000,000		1,156,720

12

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL      AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
PENNSYLVANIA   (continued)
Pittsburgh Water & Sewer Authority, Swap Termination, Series A, Revenue Bond, AGM		5.000	%		9/1/2018		A2		$	1,000,000	$	1,131,230
Pittsburgh, Series B, G.O. Bond		5.000	%		9/1/2018		A1			1,000,000		1,127,640
Southcentral General Authority, Wellspan Health Obligated Group, Prerefunded Balance, Revenue Bond		5.625	%		6/1/2018		WR	3		465,000		532,099
Southcentral General Authority, Wellspan Health Obligated Group, Unrefunded Balance, Revenue Bond		5.625	%		6/1/2018		Aa3			190,000		215,186
												25,021,867
RHODE ISLAND - 0.3%
Rhode Island Clean Water Finance Agency, Series A, Revenue Bond, NATL		5.000	%		10/1/2035		A3			1,000,000		1,001,130
SOUTH CAROLINA - 4.0%
Charleston, Waterworks & Sewer System, Revenue Bond		5.000	%		1/1/2022		Aa1			530,000		634,076
Columbia, Waterworks & Sewer System, Revenue Bond		5.000	%		2/1/2019		Aa1			475,000		542,991
Piedmont Municipal Power Agency, Revenue Bond, AGC		5.000	%		1/1/2018		A3			1,690,000		1,871,422
Piedmont Municipal Power Agency, Revenue Bond, NATL		6.250	%		1/1/2021		A3			1,000,000		1,239,390
South Carolina State Public Service Authority, Prerefunded Balance, Series A, Revenue Bond, AMBAC		4.250	%		1/1/2017		A1			1,550,000		1,647,495
South Carolina State Public Service Authority, Prerefunded Balance, Series B, Revenue Bond, NATL		5.000	%		1/1/2019		A1			85,000		96,909
South Carolina State Public Service Authority, Series A, Revenue Bond		4.000	%		12/1/2017		A1			1,860,000		2,011,888
South Carolina State Public Service Authority, Series A, Revenue Bond		5.000	%		12/1/2019		A1			2,500,000		2,896,325
South Carolina State Public Service Authority, Series C, Revenue Bond		5.000	%		12/1/2020		A1			1,000,000		1,178,510
South Carolina State Public Service Authority, Unrefunded Balance, Series B, Revenue Bond, NATL		5.000	%		1/1/2019		A1			915,000		1,037,784
South Carolina Transportation Infrastructure Bank, Series A, Revenue Bond		5.000	%		10/1/2018		A1			685,000		772,564
South Carolina Transportation Infrastructure Bank, Series A, Revenue Bond, AMBAC		5.250	%		10/1/2018		A1			700,000		795,459

13

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
SOUTH CAROLINA   (continued)
Spartanburg County School District No. 7, School Impt., Prerefunded Balance, G.O. Bond		5.000	%		3/1/2018		Aa1		$	1,400,000	$	1,517,978
												16,242,791
TENNESSEE - 3.6%
Clarksville City Water, Sewer & Gas, Revenue Bond		5.000	%		2/1/2019		Aa3			2,740,000		3,126,285
Knoxville Wastewater System, Series A, Revenue Bond		4.000	%		4/1/2018		Aa2			410,000		447,859
Knoxville Wastewater System, Series A, Revenue Bond		4.000	%		4/1/2019		Aa2			660,000		735,253
Knoxville Wastewater System, Series A, Revenue Bond		4.000	%		4/1/2020		Aa2			685,000		773,550
Madison Suburban Utility District, Revenue Bond, AGM		5.000	%		2/1/2019		A1			655,000		744,309
Memphis Electric System, Revenue Bond		5.000	%		12/1/2018		Aa2			2,000,000		2,278,980
Memphis Electric System, Revenue Bond		5.000	%		12/1/2018		Aa2			1,000,000		1,139,490
Metropolitan Government of Nashville & Davidson County, Revenue Bond		5.000	%		7/1/2018		A1			750,000		846,203
Metropolitan Government of Nashville & Davidson County, Series A, Revenue Bond		5.000	%		7/1/2016		Aa3			750,000		792,967
Metropolitan Government of Nashville & Davidson County, Series A, Revenue Bond, AGM		4.000	%		1/1/2018		Aa2			445,000		483,145
Metropolitan Government of Nashville & Davidson County, Series A, Revenue Bond, AGM		5.250	%		1/1/2019		Aa2			1,505,000		1,731,412
Metropolitan Government of Nashville & Davidson County, Series B, Revenue Bond		5.000	%		5/15/2016		AA	2		400,000		421,236
Montgomery County, G.O. Bond		4.000	%		4/1/2015		AA	2		1,000,000		1,000,000
												14,520,689
TEXAS - 6.3%
Austin Electric Utility, Revenue Bond		5.000	%		11/15/2018		A1			750,000		852,870
Austin Electric Utility, Revenue Bond		5.000	%		11/15/2020		A1			1,600,000		1,886,064
Austin Electric Utility, Revenue Bond, AGM		5.000	%		11/15/2018		A1			500,000		554,485
Austin Electric Utility, Series A, Revenue Bond, AMBAC		5.000	%		11/15/2016		A1			600,000		643,896
Austin Electric Utility, Series A, Revenue Bond, AMBAC		5.500	%		11/15/2016		A1			1,000,000		1,081,230
Corpus Christi Utility System, Multiple Utility Impt., Revenue Bond		5.000	%		7/15/2018		A1			1,000,000		1,124,960
Corpus Christi Utility System, Multiple Utility Impt., Revenue Bond		5.000	%		7/15/2019		A1			2,400,000		2,757,480
Fort Worth Water & Sewer System, Revenue Bond		5.000	%		2/15/2020		Aa1			550,000		643,929

14

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
TEXAS   (continued)
Harris County Cultural Education Facilities Finance Corp., Revenue Bond		4.000	%		12/1/2019		A1		$	500,000	$	555,725
Houston Combined Utility System, Series A, Revenue Bond, AGM		5.250	%		11/15/2017		Aa2			1,000,000		1,115,240
Houston Combined Utility System, Series C, Revenue Bond		5.000	%		11/15/2018		Aa2			1,000,000		1,137,920
Houston Combined Utility System, Series D, Revenue Bond		4.000	%		11/15/2017		AA	2		525,000		568,507
Irving Waterworks & Sewer System, Water Utility Impt., Revenue Bond		4.000	%		8/15/2018		Aa1			1,110,000		1,219,191
Lower Colorado River Authority, Series B, Revenue Bond		4.000	%		5/15/2018		A2			1,250,000		1,361,500
Metropolitan Transit Authority of Harris County, Transit Impt., Revenue Bond		5.000	%		11/1/2019		Aa2			845,000		981,865
North Texas Municipal Water District, Revenue Bond		5.250	%		9/1/2020		Aa2			2,000,000		2,405,640
San Antonio Water System, Revenue Bond		5.000	%		5/15/2020		Aa1			1,000,000		1,176,570
San Antonio Water System, Series A, Revenue Bond		4.000	%		5/15/2019		Aa1			1,675,000		1,862,751
Tarrant Regional Water District, Revenue Bond		5.000	%		3/1/2017		AAA	2		900,000		975,537
Texas State, Highway Impt., Series B, G.O. Bond		5.000	%		4/1/2017		Aaa			1,575,000		1,714,387
Trinity River Authority LLC, Tarrant County Water Project, Revenue Bond		5.000	%		2/1/2019		AA	2		500,000		569,680
												25,189,427
UTAH - 0.9%
Intermountain Power Agency, Series A, Revenue Bond		5.000	%		7/1/2020		A1			2,000,000		2,251,800
Utah State, Highway Impt., Series A, G.O. Bond		3.000	%		7/1/2015		Aaa			500,000		503,625
Utah Transit Authority, Subseries B, Revenue Bond		1.600	%		6/15/2018		A1			1,025,000		1,040,426
												3,795,851
VIRGINIA - 1.9%
Fairfax County Industrial Development Authority, Inova Health, Series C, Revenue Bond		5.000	%		5/15/2018		Aa2			500,000		560,315
Fairfax County, Public Impt., Prerefunded Balance, Series A, G.O. Bond		4.000	%		4/1/2017		Aaa			2,000,000		2,000,000
Norfolk Economic Development Authority, Sentara Healthcare, Series B, Revenue Bond		4.000	%		11/1/2018		Aa2			400,000		438,224
Norfolk, Water Revenue, Revenue Bond		5.000	%		11/1/2016		Aa2			1,075,000		1,152,421
Norfolk, Water Revenue, Revenue Bond		5.000	%		11/1/2018		Aa2			725,000		825,333
Richmond, Multiple Utility Impt., Series A, Revenue Bond		5.000	%		1/15/2019		Aa2			1,000,000		1,143,740

15

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL     AMOUNT		VALUE
MUNICIPAL BONDS   (continued)
VIRGINIA   (continued)
Virginia Resources Authority, Sewer Impt., Series B, Revenue Bond		5.000	%		10/1/2019		Aaa		$	1,290,000	$	1,503,173
												7,623,206
WASHINGTON - 6.9%
Benton County Public Utility District No. 1, Revenue Bond		5.000	%		11/1/2018		Aa3			400,000		452,288
Everett Water & Sewer, Revenue Bond		5.000	%		12/1/2018		AA	2		1,730,000		1,971,318
Everett Water & Sewer, Revenue Bond		5.000	%		12/1/2020		AA	2		1,330,000		1,577,699
Everett, G.O. Bond4		0.420	%		12/1/2034		AA	2		1,000,000		1,000,760
King County Sewer Revenue, Series B, Revenue Bond		5.000	%		1/1/2020		Aa2			750,000		875,903
King County, G.O. Bond		5.000	%		1/1/2017		Aa1			2,000,000		2,155,500
Seattle Municipal Light & Power, Series A, Revenue Bond		5.000	%		6/1/2019		Aa2			1,675,000		1,932,163
Seattle Municipal Light & Power, Series B, Revenue Bond		4.000	%		2/1/2016		Aa2			550,000		567,341
Seattle Municipal Light & Power, Series B, Revenue Bond		5.000	%		2/1/2017		Aa2			1,585,000		1,712,703
Seattle, Drainage & Wastewater, Sewer Impt., Revenue Bond		5.000	%		9/1/2021		Aa1			2,000,000		2,404,500
Snohomish County Public Utility District No. 1, Revenue Bond		5.000	%		12/1/2016		Aa3			740,000		795,426
Tacoma, Sewer Impt., Revenue Bond		5.000	%		12/1/2018		Aa2			1,060,000		1,206,216
Tacoma, Sewer Impt., Revenue Bond		4.000	%		12/1/2019		Aa2			1,095,000		1,224,024
Tacoma, Water Revenue, Series A, Revenue Bond		4.000	%		12/1/2018		Aa2			1,000,000		1,101,760
Washington Health Care Facilities Authority, Multicare Health System, Series A, Revenue Bond, AGC		4.000	%		8/15/2016		Aa3			525,000		548,877
Washington Health Care Facilities Authority, Providence Health & Services, Series A, Revenue Bond		5.000	%		10/1/2018		Aa3			475,000		534,593
Washington State, Correctional Facilities Impt., Series C, Prerefunded Balance, G.O. Bond, NATL		5.000	%		1/1/2027		Aa1			4,905,000		5,281,017
Washington State, Series 2011-A, G.O. Bond		5.000	%		1/1/2020		Aa1			2,000,000		2,335,740
												27,677,828
WEST VIRGINIA - 0.3%
Fairmont, Series D, Revenue Bond, AGM		3.000	%		7/1/2018		A2			1,210,000		1,284,391
WISCONSIN - 2.3%
Milwaukee Sewerage System, Sewer Impt., Series S1, Revenue Bond		5.000	%		6/1/2021		Aa2			470,000		560,108

16

Investment Portfolio - March 31, 2015

(unaudited)

DIVERSIFIED TAX EXEMPT SERIES	COUPON     RATE			MATURITY     DATE		CREDIT     RATING1			PRINCIPAL      AMOUNT/ SHARES		VALUE
MUNICIPAL BONDS   (continued)
WISCONSIN   (continued)
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit, Series A, Revenue Bond		5.000	%		11/15/2018		Aa2		$	600,000	$	679,206
Wisconsin Health & Educational Facilities Authority, Froedtert Health, Series A, Revenue Bond		4.000	%		4/1/2017		AA	2		565,000		600,397
Wisconsin Health & Educational Facilities Authority, ProHealth Care, Inc., Revenue Bond		3.000	%		8/15/2019		A1			510,000		542,931
Wisconsin Public Power, Inc., Series A, Revenue Bond, AGM		5.000	%		7/1/2016		A1			515,000		544,303
Wisconsin Public Power, Inc., Series A, Revenue Bond, AGM		5.250	%		7/1/2020		A1			1,100,000		1,244,804
Wisconsin State, Public Impt., Prerefunded Balance, Series E, G.O. Bond, FGIC		5.000	%		5/1/2015		Aa2			1,000,000		1,003,990
Wisconsin State, Public Impt., Series D, Prerefunded Balance, G.O. Bond		5.000	%		5/1/2018		Aa2			400,000		420,332
WPPI Energy, Series A, Revenue Bond		4.000	%		7/1/2017		A1			1,120,000		1,202,096
WPPI Energy, Series A, Revenue Bond		5.000	%		7/1/2020		A1			2,000,000		2,346,040
												9,144,207
WYOMING - 0.1%
Wyoming Municipal Power Agency, Inc., Series A, Revenue Bond		5.000	%		1/1/2018		A2			500,000		552,240
TOTAL MUNICIPAL BONDS (Identified Cost $385,104,241)												387,109,892
SHORT-TERM INVESTMENT - 3.3%
Dreyfus AMT - Free Municipal Reserves - Class R (Identified Cost $13,518,475)		0.00	%5							13,518,475		13,518,475
TOTAL INVESTMENTS - 99.6% (Identified Cost $398,622,716)												400,628,367
OTHER ASSETS, LESS LIABILITIES - 0.4%												1,453,157
NET ASSETS - 100%											$	402,081,524

KEY:

G.O. Bond - General Obligation Bond

Impt. - Improvement

No. - Number

Scheduled principal and interest payments are guaranteed by:

AGC (Assurance Guaranty Corp.)

AGM (Assurance Guaranty Municipal Corp.)

AMBAC (AMBAC Assurance Corp.)

BHAC (Berkshire Hathaway Assurance Corp.)

FGIC (Financial Guaranty Insurance Co.)

17

Investment Portfolio - March 31, 2015

(unaudited)

NATL (National Public Finance Guarantee Corp.)

The insurance does not guarantee the market value of the municipal bonds.

¹Credit ratings from Moody’s (unaudited).

²Credit ratings from S&P (unaudited).

³Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁴The coupon rate is floating and is the effective rate as of March 31, 2015.

⁵Rate shown is the current yield as of March 31, 2015. Rate is less than 0.01%.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	398,622,716
Unrealized appreciation		2,401,706
Unrealized depreciation		(396,055	)
Net unrealized appreciation	$	2,005,651

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Debt securities:
States and political subdivisions (municipals)	$	387,109,892	$	—	$	387,109,892	$	—
Mutual fund		13,518,475		13,518,475		—		—
Total assets	$	400,628,367	$	13,518,475	$	387,109,892	$	—

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

18

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS - 94.9%
Albany City School District, G.O. Bond, BAM		4.000	%		6/15/2017		AA	2	$	200,000	$	214,420
Albany Municipal Water Finance Authority, Series A, Revenue Bond		5.000	%		12/1/2016		AA	2		505,000		542,415
Albany Municipal Water Finance Authority, Series A, Revenue Bond		5.000	%		12/1/2018		AA	2		1,295,000		1,466,238
Albany Municipal Water Finance Authority, Series A, Revenue Bond		5.000	%		12/1/2019		AA	2		1,125,000		1,301,884
Amherst, Public Impt., G.O. Bond		5.000	%		9/15/2018		Aa2			365,000		413,038
Arlington Central School District, G.O. Bond		4.000	%		12/15/2020		Aa2			400,000		454,156
Arlington Central School District, G.O. Bond		4.000	%		12/15/2021		Aa2			300,000		343,479
Auburn City School District, G.O. Bond, BAM		2.000	%		6/15/2018		AA	2		225,000		231,077
Bay Shore Union Free School District, G.O. Bond		4.000	%		1/15/2018		Aa3			1,175,000		1,272,455
Beacon, Public Impt., Series A, G.O. Bond		3.000	%		10/1/2018		Aa3			675,000		718,551
Bedford Central School District, G.O. Bond		2.000	%		10/15/2021		Aa1			500,000		512,325
Bedford, Public Impt., G.O. Bond		2.000	%		6/15/2015		AAA	2		275,000		276,083
Binghamton, G.O. Bond, AGM		5.000	%		8/15/2017		A2			200,000		203,570
Binghamton, Public Impt., G.O. Bond, MAC		3.125	%		1/15/2017		A2			400,000		417,212
Briarcliff Manor, Public Impt., Series A, G.O. Bond		3.000	%		2/1/2020		Aa2			265,000		286,012
Brookhaven, Public Impt., Series A, G.O. Bond		2.000	%		3/15/2017		Aa2			500,000		514,195
Brookhaven, Public Impt., Series A, G.O. Bond		3.000	%		2/1/2019		Aa2			1,385,000		1,480,343
Buffalo Fiscal Stability Authority, Sales Tax & State Aid, Series B, Revenue Bond, NATL		5.000	%		9/1/2016		Aa1			525,000		535,390
Cattaraugus County, Highway Impt., G.O. Bond		2.000	%		4/15/2019		Aa3			405,000		410,873
Chenango Valley Central School District, G.O. Bond, AGM		2.125	%		6/15/2021		A2			500,000		496,645
Clarence Central School District, G.O. Bond		4.000	%		5/15/2021		Aa2			250,000		285,400
Clarkstown Central School District, G.O. Bond		4.000	%		10/15/2021		Aa2			500,000		560,590
Clarkstown, G.O. Bond		4.000	%		5/15/2019		AAA	2		375,000		417,555
Copiague Union Free School District, G.O. Bond		2.000	%		5/1/2015		A1			500,000		500,730
Cortland County, Public Impt., G.O. Bond, BAM		2.750	%		9/1/2017		AA	2		265,000		277,185
Cortland County, Public Impt., G.O. Bond, BAM		2.750	%		9/1/2019		AA	2		305,000		323,465
DeWitt, Public Impt., G.O. Bond		3.000	%		5/15/2017		AA	2		315,000		330,019
Dutchess County, Public Impt., G.O. Bond		5.000	%		10/1/2015		Aa2			250,000		256,083
Dutchess County, Public Impt., G.O. Bond		5.000	%		10/1/2018		Aa2			640,000		703,968
Dutchess County, Public Impt., Unrefunded Balance, G.O. Bond, NATL		4.000	%		12/15/2016		Aa2			360,000		361,094
East Irondequoit Central School District, G.O. Bond		3.000	%		6/15/2018		Aa2			310,000		329,009
East Islip Union Free School District, G.O. Bond		5.000	%		6/15/2018		AA	2		305,000		342,759
East Islip Union Free School District, Series A, G.O. Bond		4.000	%		6/15/2015		AA	2		345,000		347,653
Erie County Fiscal Stability Authority, Public Impt., Series A, Revenue Bond		4.000	%		3/15/2019		Aa1			600,000		662,160
Erie County Fiscal Stability Authority, Series A, Revenue Bond		4.125	%		5/15/2018		Aa1			450,000		491,603

1

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
Erie County Fiscal Stability Authority, Series C, Revenue Bond		5.000	%		3/15/2018		Aa1		$	1,025,000	$	1,142,506
Erie County Water Authority, Revenue Bond		5.000	%		12/1/2017		Aa2			300,000		331,827
Essex County, Public Impt., G.O. Bond		5.000	%		5/1/2020		AA	2		500,000		581,970
Fairport Central School District, School Impt., G.O. Bond		2.000	%		6/15/2018		AA	2		305,000		314,601
Gananda Central School District, G.O. Bond		3.000	%		6/15/2019		AA	2		250,000		264,680
Gates Chili Central School District, School Impt., G.O. Bond		2.000	%		6/15/2019		Aa3			215,000		220,829
Geneva, Public Impt., G.O. Bond		2.500	%		2/1/2017		A	2		870,000		898,971
Greece Central School District, G.O. Bond, AGM		5.000	%		6/15/2015		Aa3			500,000		504,995
Greece Central School District, G.O. Bond, AGM		4.000	%		6/15/2019		Aa3			2,675,000		2,832,424
Herricks Union Free School District, G.O. Bond		2.000	%		11/1/2017		Aa2			420,000		433,398
Horseheads Central School District, G.O. Bond		2.000	%		6/15/2015		Aa3			540,000		541,890
Huntington, Public Impt., G.O. Bond		3.000	%		7/15/2015		Aaa			925,000		932,363
Hyde Park Central School District, G.O. Bond		2.000	%		6/15/2018		AA	2		355,000		367,524
Iroquois Central School District, School Impt., G.O. Bond		2.000	%		6/15/2021		Aa2			500,000		509,010
Islip Union Free School District, School Impt., G.O. Bond		2.250	%		3/1/2019		Aa3			475,000		492,181
Jamestown City School District, G.O. Bond		3.000	%		4/1/2019		A1			200,000		208,988
Kings Park Central School District, G.O. Bond		2.000	%		8/1/2020		Aa2			500,000		512,720
Lockport City School District, G.O. Bond, AGM		2.000	%		8/1/2019		A1			450,000		458,987
Long Island Power Authority, Prerefunded Balance, Series A, Revenue Bond, NATL		5.250	%		6/1/2016		A3			750,000		793,230
Longwood Central School District, Suffolk County, School Impt., G.O. Bond		2.250	%		6/15/2018		AA	2		590,000		612,803
Mamaroneck, Various Purposes, Public Impt., G.O. Bond		2.000	%		7/15/2020		Aa1			335,000		346,440
Metropolitan Transportation Authority, Transit Impt., Prerefunded Balance, Series A, Revenue Bond, NATL		5.000	%		11/15/2016		A3			1,545,000		1,659,407
Metropolitan Transportation Authority, Transit Impt., Prerefunded Balance, Series B, Revenue Bond, NATL		5.000	%		11/15/2016		A3			2,590,000		2,781,789
Metropolitan Transportation Authority, Transit Impt., Series 2008C, Revenue Bond		6.500	%		11/15/2028		A2			1,000,000		1,192,820
Metropolitan Transportation Authority, Transit Impt., Series A, Revenue Bond, NATL		5.250	%		11/15/2017		Aa2			1,000,000		1,115,520
Metropolitan Transportation Authority, Transit Impt., Series A, Revenue Bond, NATL		5.250	%		11/15/2018		Aa2			200,000		229,354
Metropolitan Transportation Authority, Transit Impt., Series A-2, Revenue Bond		5.000	%		11/15/2017		A2			340,000		376,887
Metropolitan Transportation Authority, Transit Impt., Series C, Revenue Bond		5.000	%		11/15/2018		A2			650,000		738,530

2

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
Metropolitan Transportation Authority, Transit Impt., Series C, Revenue Bond		5.000	%		11/15/2019		A2		$	500,000	$	580,165
Metropolitan Transportation Authority, Transit Impt., Series F, Revenue Bond		5.000	%		11/15/2017		A2			835,000		925,589
Metropolitan Transportation Authority, Transit Impt., Series F, Revenue Bond		5.000	%		11/15/2019		A2			1,000,000		1,160,330
Metropolitan Transportation Authority, Transit Impt., Subseries D-2, Revenue Bond3		0.380	%		11/15/2044		A2			600,000		600,276
Minisink Valley Central School District, G.O. Bond		2.500	%		4/15/2015		AA	2		200,000		200,174
Monroe County Water Authority, Revenue Bond		4.500	%		8/1/2016		Aa2			310,000		326,532
Monroe County Water Authority, Revenue Bond		5.000	%		8/1/2019		Aa2			455,000		522,554
Monroe County, Public Impt., G.O. Bond, BAM		5.000	%		6/1/2018		AA	2		500,000		558,880
Naples Central School District, G.O. Bond, BAM		2.500	%		6/15/2020		AA	2		710,000		747,673
Nassau County Interim Finance Authority, Sales Tax Secured, Series A, Revenue Bond		4.000	%		11/15/2016		Aa1			400,000		423,444
Nassau County Sewer & Storm Water Finance Authority, Prerefunded Balance, Series A, Revenue Bond, BHAC		5.000	%		11/1/2018		AA	2		350,000		399,371
Nassau County Sewer & Storm Water Finance Authority, Sewer Impt., Series A, Revenue Bond		5.000	%		10/1/2017		Aa3			500,000		553,185
Nassau County Sewer & Storm Water Finance Authority, Sewer Impt., Series A, Revenue Bond		5.000	%		10/1/2018		Aa3			500,000		568,800
Nassau County, Public Impt., Series A, G.O. Bond		5.000	%		4/1/2018		A2			500,000		557,160
Nassau County, Public Impt., Series A, G.O. Bond		5.000	%		4/1/2019		A2			2,425,000		2,765,009
New Rochelle City School District, G.O. Bond		5.000	%		12/15/2017		Aa2			365,000		406,157
New York City Transitional Finance Authority, Building Aid, Public Impt., Series S-1, Revenue Bond		5.000	%		7/15/2018		Aa2			1,000,000		1,127,110
New York City Transitional Finance Authority, Building Aid, Public Impt., Series S-1, Revenue Bond		5.000	%		7/15/2019		Aa2			1,000,000		1,151,790
New York City Transitional Finance Authority, Future Tax Secured, Prerefunded Balance, Revenue Bond		5.000	%		8/1/2016		WR	4		770,000		817,062
New York City Transitional Finance Authority, Future Tax Secured, Prerefunded Balance, Series B, Revenue Bond		5.000	%		5/1/2017		WR	4		285,000		310,884
New York City Transitional Finance Authority, Future Tax Secured, Prerefunded Balance, Series B, Revenue Bond		5.000	%		5/1/2017		WR	4		275,000		299,915
New York City Transitional Finance Authority, Future Tax Secured, Prerefunded Balance, Subseries A-1, Revenue Bond		5.000	%		8/1/2016		WR	4		255,000		270,586
New York City Transitional Finance Authority, Future Tax Secured, Prerefunded Balance, Subseries A-1, Revenue Bond		5.000	%		11/1/2017		Aa1			1,000,000		1,109,330

3

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
New York City Transitional Finance Authority, Future Tax Secured, Public Impt., Subseries F-1, Revenue Bond		5.000	%		2/1/2019		Aa1		$	1,500,000	$	1,711,065
New York City Transitional Finance Authority, Future Tax Secured, Series D, Revenue Bond		5.000	%		11/1/2017		Aa1			1,165,000		1,291,414
New York City Transitional Finance Authority, Future Tax Secured, Unrefunded Balance, Series D, Revenue Bond		5.000	%		11/1/2015		Aa1			1,650,000		1,696,943
New York City Water & Sewer System, Prerefunded Balance, Series BB, Revenue Bond		5.000	%		6/15/2017		Aa2			200,000		211,322
New York City Water & Sewer System, Prerefunded Balance, Series EE, Revenue Bond		5.000	%		6/15/2017		Aa2			450,000		493,092
New York City Water & Sewer System, Prerefunded Balance, Series EE, Revenue Bond		5.000	%		6/15/2018		Aa2			175,000		197,607
New York City Water & Sewer System, Series AA, Revenue Bond		5.000	%		6/15/2020		Aa2			950,000		1,074,925
New York City Water & Sewer System, Series AA, Revenue Bond		5.000	%		6/15/2021		Aa2			1,905,000		2,155,507
New York City Water & Sewer System, Series BB, Revenue Bond		5.000	%		6/15/2020		Aa2			500,000		579,260
New York City Water & Sewer System, Series EE, Revenue Bond		5.000	%		6/15/2019		Aa2			1,425,000		1,642,313
New York City Water & Sewer System, Series FF-1, Revenue Bond		5.000	%		6/15/2018		Aa2			750,000		843,353
New York City Water & Sewer System, Series GG, Revenue Bond		5.000	%		6/15/2017		Aa2			465,000		479,833
New York City Water & Sewer System, Series GG, Revenue Bond		4.000	%		6/15/2020		Aa2			700,000		786,044
New York City, Public Impt., Prerefunded Balance, Series A, G.O. Bond		5.000	%		8/1/2015		WR	4		2,765,000		2,809,074
New York City, Public Impt., Prerefunded Balance, Subseries F-1, G.O. Bond, XLCA		5.000	%		9/1/2015		Aa2			490,000		499,756
New York City, Public Impt., Subseries D-1, G.O. Bond		5.000	%		10/1/2018		Aa2			915,000		1,035,496
New York City, Public Impt., Unrefunded Balance, Subseries F-1, G.O. Bond, XLCA		5.000	%		9/1/2019		Aa2			10,000		10,201
New York City, Series A, G.O. Bond, AGM		5.000	%		8/1/2015		Aa2			205,000		208,344
New York City, Series B, G.O. Bond		5.000	%		8/1/2017		Aa2			1,000,000		1,099,050
New York City, Series B, G.O. Bond		5.000	%		8/1/2018		Aa2			1,000,000		1,126,690
New York City, Series E, G.O. Bond		5.000	%		8/1/2017		Aa2			2,000,000		2,198,100
New York City, Series F, G.O. Bond		5.000	%		8/1/2018		Aa2			450,000		507,011
New York City, Series H, G.O. Bond		4.000	%		8/1/2017		Aa2			1,800,000		1,936,710
New York City, Series H, G.O. Bond		4.000	%		8/1/2018		Aa2			250,000		273,517
New York City, Series H, G.O. Bond		5.000	%		8/1/2019		Aa2			680,000		782,558
New York Local Government Assistance Corp., Sub Lien, Series A, Revenue Bond		5.000	%		4/1/2015		AAA	2		1,000,000		1,000,000

4

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
New York Local Government Assistance Corp., Subseries A-5/6, Revenue Bond		5.500	%		4/1/2019		Aa1		$	445,000	$	521,611
New York Municipal Bond Bank Agency, Revenue Bond		4.000	%		12/1/2017		AA	2		2,000,000		2,167,200
The New York Power Authority, Series A, Revenue Bond		4.000	%		11/15/2018		Aa1			220,000		242,202
The New York Power Authority, Series A, Revenue Bond, FGIC		5.000	%		11/15/2016		Aa1			900,000		927,000
The New York Power Authority, Series C, Revenue Bond, NATL		5.000	%		11/15/2017		Aa1			500,000		554,385
New York State Dormitory Authority, Consolidated Service Contract, Revenue Bond		5.000	%		7/1/2019		Aa2			750,000		861,345
New York State Dormitory Authority, Public Impt., Series B, Revenue Bond		5.000	%		3/15/2019		Aa1			1,000,000		1,143,690
New York State Dormitory Authority, Public Impt., Series D, Revenue Bond		5.000	%		6/15/2018		Aa1			2,500,000		2,811,175
New York State Dormitory Authority, Public Impt., Series E, Revenue Bond		5.000	%		8/15/2017		Aa1			3,000,000		3,302,970
New York State Dormitory Authority, Rochester Institute of Technology, Prerefunded Balance, Series A, Revenue Bond		5.750	%		7/1/2018		A1			500,000		575,750
New York State Dormitory Authority, Rochester Institute of Technology, Revenue Bond		4.000	%		7/1/2017		A1			300,000		321,780
New York State Dormitory Authority, School Impt., Series A, Revenue Bond, AGM		3.000	%		10/1/2017		A2			750,000		789,413
New York State Dormitory Authority, Series F, Revenue Bond, AGM		5.000	%		10/1/2017		A2			2,750,000		3,038,887
New York State Dormitory Authority, Series F, Revenue Bond, AGM		5.000	%		10/1/2018		A2			500,000		567,320
New York State Dormitory Authority, University & College Impt., Series A, Revenue Bond		5.000	%		3/15/2017		Aa1			500,000		543,435
New York State Dormitory Authority, University & College Impt., Series A, Revenue Bond		5.000	%		7/1/2020		Aa3			225,000		260,118
New York State Environmental Facilities Corp., Public Impt., Series A, Revenue Bond		5.000	%		12/15/2017		Aa1			1,300,000		1,446,588
New York State Environmental Facilities Corp., Revenue Bond		5.000	%		6/15/2017		Aaa			1,000,000		1,095,910
New York State Environmental Facilities Corp., Revenue Bond		5.000	%		6/15/2019		Aaa			1,500,000		1,734,075
New York State Environmental Facilities Corp., Subseries A, Revenue Bond		5.000	%		6/15/2019		Aaa			2,220,000		2,566,431
New York State Environmental Facilities Corp., Subseries A, Revenue Bond		5.000	%		6/15/2020		Aaa			1,250,000		1,480,400
New York State Environmental Facilities Corp., Water Utility Impt., Series E, Revenue Bond		4.000	%		11/15/2018		Aaa			500,000		550,270

5

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
New York State Thruway Authority Highway & Bridge Trust Fund, Series B, Revenue Bond		5.000	%		4/1/2018		AA	2	$	225,000	$	251,537
New York State Thruway Authority Highway & Bridge Trust Fund, Series B, Revenue Bond		5.000	%		4/1/2019		AA	2		350,000		396,592
New York State Thruway Authority, Highway Impt., Series A, Revenue Bond		5.000	%		3/15/2017		Aa1			470,000		510,443
New York State Thruway Authority, Highway Impt., Series A, Revenue Bond		5.000	%		3/15/2020		Aa1			550,000		644,231
New York State Thruway Authority, Highway Impt., Series I, Revenue Bond		5.000	%		1/1/2018		A2			590,000		652,658
New York State Thruway Authority, Highway Impt., Series I, Revenue Bond		4.000	%		1/1/2019		A2			525,000		573,883
New York State Thruway Authority, Prerefunded Balance, Series B, Revenue Bond AMBAC		5.000	%		10/1/2015		WR	4		335,000		343,050
New York State Thruway Authority, Revenue Bond		5.000	%		4/1/2018		AA	2		2,025,000		2,263,829
New York State Thruway Authority, Unrefunded Balance, Series B, Revenue Bond AMBAC		5.000	%		4/1/2019		AA	2		2,165,000		2,216,549
New York State Urban Development Corp., Public Impt., Series A-2, Revenue Bond, AMBAC		5.500	%		3/15/2017		Aa1			505,000		553,359
New York State Urban Development Corp., Public Impt., Series B, Revenue Bond		5.000	%		3/15/2017		Aa1			675,000		733,084
New York State Urban Development Corp., Service Contract, Series D, Revenue Bond		5.250	%		1/1/2017		AA	2		1,500,000		1,622,055
New York State, Water Utility Impt., Series A, G.O. Bond		5.000	%		3/1/2018		Aa1			3,440,000		3,852,215
New York State, Water Utility Impt., Series A, G.O. Bond		5.000	%		3/1/2021		Aa1			1,000,000		1,200,930
New York State, Water Utility Impt., Series E, G.O. Bond		5.000	%		12/15/2019		Aa1			565,000		663,389
Niagara County, Water Utility Impt., G.O. Bond		2.000	%		2/1/2020		Aa3			500,000		513,215
Niagara-Wheatfield Central School District, Prerefunded Balance, G.O. Bond, NATL		4.125	%		2/15/2019		A2			610,000		650,443
Niagara-Wheatfield Central School District, Prerefunded Balance, G.O. Bond, NATL		4.125	%		2/15/2020		A2			850,000		906,355
Niskayuna Central School District, G.O. Bond		3.000	%		4/15/2018		AA	2		360,000		381,193
North Colonie Central School District, G.O. Bond		4.000	%		7/15/2020		AA	2		400,000		450,760
North Hempstead, G.O. Bond		3.000	%		5/1/2015		Aa1			375,000		375,896
Oneida County, Public Impt., G.O. Bond, AGM		2.500	%		5/15/2019		A1			500,000		525,665
Oneida County, Public Impt., G.O. Bond, AGM		3.000	%		5/1/2020		A1			400,000		419,624
Onondaga County, Public Impt., G.O. Bond		4.000	%		5/1/2017		Aa2			500,000		535,005
Onondaga County, Public Impt., G.O. Bond		4.000	%		5/1/2018		Aa2			1,400,000		1,525,580
Onondaga County, Public Impt., G.O. Bond		5.000	%		5/1/2020		Aa2			250,000		294,325
Onondaga County, Public Impt., Series A, G.O. Bond		5.000	%		3/1/2017		Aa2			220,000		238,614
Ontario County, Public Impt., G.O. Bond		3.000	%		4/15/2015		Aa1			200,000		200,216
Orange County, Public Impt., G.O. Bond, AGM		2.000	%		8/15/2017		Aa3			260,000		267,940

6

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
Orange County, Series A, G.O. Bond		5.000	%		7/15/2015		Aa3		$	500,000	$	507,015
Orange County, Series A, G.O. Bond		5.000	%		7/15/2017		Aa3			550,000		603,878
Ossining Union Free School District, School Impt., G.O. Bond		2.250	%		9/1/2016		Aa2			730,000		750,068
Pittsford Central School District, G.O. Bond		4.000	%		10/1/2021		Aa1			350,000		399,515
Pleasantville Union Free School District, School Impt., G.O. Bond		4.000	%		5/1/2015		Aa2			530,000		531,648
Port Authority of New York & New Jersey, Airport & Marina Impt., Series 173, Revenue Bond		5.000	%		12/1/2018		Aa3			1,665,000		1,898,649
Port Authority of New York & New Jersey, Airport & Marina Impt., Series 179, Revenue Bond		5.000	%		12/1/2016		Aa3			460,000		494,988
Port Authority of New York & New Jersey, Airport & Marina Impt., Series 179, Revenue Bond		5.000	%		12/1/2018		Aa3			400,000		456,132
Port Authority of New York & New Jersey, Series 180, Revenue Bond		4.000	%		6/1/2016		Aa3			400,000		417,036
Port Authority of New York & New Jersey, Series 180, Revenue Bond		4.000	%		6/1/2019		Aa3			200,000		222,330
Port Washington Union Free School District, G.O. Bond		4.000	%		7/1/2017		Aa1			300,000		322,269
Putnam County, Parking Facility Impt., G.O. Bond		2.000	%		11/15/2018		Aa2			300,000		309,588
Rensselaer County, Nursing Homes, Public Impt., G.O. Bond		2.000	%		7/15/2020		AA	2		930,000		946,312
Rochester, School Impt., Series A, G.O. Bond, AMBAC		5.000	%		8/15/2022		Aa3			95,000		114,105
Rochester, School Impt., Series II, G.O. Bond		5.000	%		2/1/2019		Aa3			1,625,000		1,854,093
Roslyn Union Free School District, G.O. Bond		5.000	%		10/15/2020		Aa1			215,000		254,237
Sachem Central School District, G.O. Bond		3.000	%		7/15/2016		AA	2		1,005,000		1,038,215
Sachem Central School District, G.O. Bond, NATL		5.250	%		10/15/2017		A3			225,000		249,635
Saratoga Springs City School District, G.O. Bond		4.000	%		6/15/2015		AA	2		500,000		503,970
Scarsdale Union Free School District, G.O. Bond		4.000	%		6/1/2015		Aaa			270,000		271,723
Scarsdale Union Free School District, G.O. Bond		5.000	%		2/1/2017		Aaa			320,000		345,690
Shenendehowa Central School District, G.O. Bond		4.000	%		7/15/2020		AA	2		475,000		538,641
Skaneateles Central School District, G.O. Bond		2.000	%		6/15/2015		AA	2		660,000		662,356
Skaneateles Central School District, G.O. Bond		4.000	%		6/15/2015		AA	2		280,000		282,148
South Glens Falls Central School District, Unrefunded Balance, G.O. Bond, NATL		5.375	%		6/15/2018		A1			95,000		96,004
South Jefferson Central School District, G.O. Bond, BAM		2.000	%		6/15/2019		AA	2		710,000		725,151
South Orangetown Central School District, G.O. Bond		3.000	%		8/1/2015		Aa2			230,000		232,072
Southampton Union Free School District, G.O. Bond		2.500	%		6/1/2015		Aaa			950,000		953,733
Suffolk County Water Authority, Revenue Bond		5.000	%		6/1/2021		AA	2		1,225,000		1,467,648
Suffolk County Water Authority, Revenue Bond		4.000	%		6/1/2022		AA	2		200,000		227,278
Suffolk County Water Authority, Water Utility Impt., Prerefunded Balance, Revenue Bond, NATL		4.500	%		6/1/2027		A3			1,160,000		1,168,352

7

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
Suffolk County Water Authority, Water Utility Impt., Revenue Bond		5.000	%		6/1/2018		AA	2	$	2,000,000	$	2,245,160
Suffolk County Water Authority, Water Utility Impt., Revenue Bond		5.000	%		6/1/2019		AA	2		775,000		891,599
Suffolk County Water Authority, Water Utility Impt., Series A, Revenue Bond		5.000	%		6/1/2018		AA	2		200,000		224,516
Suffolk County, G.O. Bond, AGM		5.000	%		2/1/2018		A2			500,000		556,585
Suffolk County, Series B, G.O. Bond, AGM		5.000	%		10/1/2019		AA	2		1,000,000		1,156,220
Sullivan County, Public Impt., G.O. Bond		2.000	%		6/1/2019		AA	2		1,015,000		1,046,638
Syracuse, Public Impt., Series A, G.O. Bond, AGM		4.000	%		6/1/2018		A1			545,000		594,044
Three Village Central School District Brookhaven & Smithtown, G.O. Bond		3.500	%		5/1/2015		Aa2			1,000,000		1,002,810
Tonawanda, Public Impt., G.O. Bond		2.000	%		6/1/2017		AA	2		260,000		266,677
Tonawanda, Public Impt., G.O. Bond		2.000	%		6/1/2018		AA	2		365,000		375,191
Tonawanda, Public Impt., G.O. Bond		2.000	%		6/1/2019		AA	2		355,000		363,371
Triborough Bridge & Tunnel Authority, General Purpose, Prerefunded Balance, Series A, Revenue Bond, NATL		4.750	%		1/1/2016		AA	2		245,000		253,330
Triborough Bridge & Tunnel Authority, Highway Impt., Prerefunded Balance, Series A, Revenue Bond		5.000	%		5/15/2018		Aa3			530,000		596,764
Triborough Bridge & Tunnel Authority, Highway Impt., Series A, Revenue Bond		5.000	%		11/15/2018		Aa3			890,000		1,013,007
Triborough Bridge & Tunnel Authority, Highway Impt., Series A, Revenue Bond		5.000	%		11/15/2019		Aa3			1,075,000		1,252,730
Triborough Bridge & Tunnel Authority, Prerefunded Balance, Series C, Revenue Bond		5.000	%		11/15/2018		WR	4		305,000		348,526
Triborough Bridge & Tunnel Authority, Prerefunded Balance, Subseries D, Revenue Bond		5.000	%		11/15/2018		WR	4		310,000		354,479
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		4.000	%		11/15/2017		Aa3			1,325,000		1,436,247
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		5.000	%		11/15/2017		Aa3			350,000		388,455
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		4.000	%		11/15/2018		Aa3			250,000		275,697
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		5.000	%		11/15/2019		Aa3			820,000		955,571
Triborough Bridge & Tunnel Authority, Series B, Revenue Bond		5.000	%		11/15/2022		Aa3			1,000,000		1,227,560
Triborough Bridge & Tunnel Authority, Series C, Revenue Bond		5.000	%		11/15/2018		Aa3			500,000		569,105
Ulster County, Public Impt., G.O. Bond		4.000	%		11/15/2019		AA	2		510,000		569,328
Union Endicott Central School District, G.O. Bond, BAM		2.125	%		6/15/2019		AA	2		580,000		598,264
Union Endicott Central School District, G.O. Bond, NATL		4.125	%		6/15/2015		A3			865,000		871,894
Voorheesville Central School District, G.O. Bond		5.000	%		6/15/2021		AA	2		500,000		593,275

8

Investment Portfolio - March 31, 2015

(unaudited)

NEW YORK TAX EXEMPT SERIES	COUPON RATE			MATURITY DATE		CREDIT RATING1			PRINCIPAL AMOUNT/SHARES		VALUE
NEW YORK MUNICIPAL BONDS  (continued)
Warren County, Public Impt., G.O. Bond, AGM		4.000	%		7/15/2020		AA	2	$	500,000	$	552,550
Wayne County, Public Impt., G.O. Bond		3.000	%		6/1/2021		Aa2			295,000		318,036
Webster Central School District, G.O. Bond		4.000	%		10/1/2018		AA	2		375,000		411,353
Wellsville Central School District, G.O. Bond, AGM		4.000	%		6/15/2016		A2			950,000		988,503
Westchester County, Prerefunded Balance, Series A, G.O. Bond		3.000	%		10/15/2017		WR	4		5,000		5,286
Westchester County, Unrefunded Balance, Series A, G.O. Bond		3.000	%		10/15/2017		Aa1			410,000		433,768
Westchester County, Unrefunded Balance, Series C, G.O. Bond		5.000	%		11/1/2017		Aa1			495,000		549,292
Wilson Central School District, G.O. Bond		3.000	%		6/15/2018		Aa3			420,000		444,935
Yonkers, Series C, G.O. Bond, AGM		2.000	%		10/15/2017		A2			500,000		512,375
TOTAL MUNICIPAL BONDS (Identified Cost $176,080,395)												177,059,649
SHORT-TERM INVESTMENT - 4.5%
Dreyfus BASIC New York Municipal Money Market Fund (Identified Cost $8,460,617)		0.00	%5							8,460,617		8,460,617
TOTAL INVESTMENTS - 99.4% (Identified Cost $184,541,012)												185,520,266
OTHER ASSETS, LESS LIABILITIES - 0.6%												1,181,436
NET ASSETS - 100%											$	186,701,702

KEY:

G.O. Bond—General Obligation Bond

Impt.—Improvement

Scheduled principal and interest payments are guaranteed by:

AGM (Assurance Guaranty Municipal Corp.)

AMBAC (AMBAC Assurance Corp.)

BAM (Build America Mutual Assurance Co.)

BHAC (Berkshire Hathaway Assurance Corp.)

FGIC (Financial Guaranty Insurance Co.)

MAC (Municipal Assurance Corp.)

NATL (National Public Finance Guarantee Corp.)

XLCA (XL Capital Assurance)

The insurance does not guarantee the market value of the municipal bonds.

¹Credit ratings from Moody’s (unaudited).

²Credit ratings from S&P (unaudited).

³The coupon rate is floating and is the effective rate as of March 31, 2015.

⁴Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁵Rate shown is the current yield as of March 31, 2015. Rate is less than 0.01%.

9

Investment Portfolio - March 31, 2015

(unaudited)

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	184,541,012
Unrealized appreciation		1,127,858
Unrealized depreciation		(148,604	)
Net unrealized appreciation	$	979,254

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Debt securities:
States and political subdivisions (municipals)	$	177,059,649	$	—	$	177,059,649	$	—
Mutual fund		8,460,617		8,460,617		—		—
Total assets	$	185,520,266	$	8,460,617	$	177,059,649	$	—

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

10

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS - 65.3%
Convertible Corporate Bonds - 0.5%
Consumer Discretionary - 0.5%
Internet & Catalog Retail - 0.5%
The Priceline Group, Inc., 0.35%, 6/15/2020 (Identified Cost $800,738)		BBB	2	$	655,000	$	747,519
Non-Convertible Corporate Bonds - 64.8%
Consumer Discretionary - 7.2%
Automobiles - 0.8%
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		Baa3			1,000,000		1,249,505
Diversified Consumer Services - 1.0%
Block Financial LLC, 5.50%, 11/1/2022		Baa2			1,470,000		1,627,046
Household Durables - 2.5%
NVR, Inc., 3.95%, 9/15/2022		Baa2			1,775,000		1,857,712
Tupperware Brands Corp., 4.75%, 6/1/2021		Baa3			1,512,000		1,635,428
Whirlpool Corp., 2.40%, 3/1/2019		Baa2			385,000		390,004
							3,883,144
Media - 1.8%
21st Century Fox America, Inc., 6.90%, 3/1/2019		Baa1			615,000		727,760
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		Baa2			1,280,000		1,444,668
Discovery Communications LLC, 5.05%, 6/1/2020		Baa2			635,000		706,801
							2,879,229
Multiline Retail - 0.6%
Macy’s Retail Holdings, Inc., 2.875%, 2/15/2023		Baa2			945,000		939,436
Textiles, Apparel & Luxury Goods - 0.5%
Coach, Inc., 4.25%, 4/1/2025		Baa2			735,000		744,977
Total Consumer Discretionary							11,323,337
Consumer Staples - 1.1%
Beverages - 1.1%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019		A2			350,000		423,565
Pernod-Ricard S.A. (France)3, 5.75%, 4/7/2021		Baa3			755,000		876,156
SABMiller plc (United Kingdom)3, 6.50%, 7/15/2018		Baa1			350,000		400,708
Total Consumer Staples							1,700,429
Energy - 9.1%
Energy Equipment & Services - 1.7%
Baker Hughes, Inc., 7.50%, 11/15/2018		A2			885,000		1,054,502
Ensco plc, 5.20%, 3/15/2025		Baa1			775,000		776,205
Schlumberger Oilfield plc3, 4.20%, 1/15/2021		Aa3			730,000		802,711
							2,633,418
Oil, Gas & Consumable Fuels - 7.4%
BP Capital Markets plc (United Kingdom), 1.674%, 2/13/2018		A2			750,000		753,547

1

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
BP Capital Markets plc (United Kingdom), 3.535%, 11/4/2024		A2		$	750,000	$	763,789
CNOOC Nexen Finance 2014 ULC (China), 1.625%, 4/30/2017		Aa3			790,000		788,175
El Paso Natural Gas Co. LLC, 8.625%, 1/15/2022		Baa3			180,000		224,845
EOG Resources, Inc., 3.15%, 4/1/2025		A3			325,000		331,450
Hess Corp., 8.125%, 2/15/2019		Baa2			630,000		756,407
Hiland Partners LP - Hiland Partners Finance Corp.3, 7.25%, 10/1/2020		Baa3			500,000		538,750
Kinder Morgan, Inc.3, 5.625%, 11/15/2023		Baa3			1,650,000		1,814,399
Petrobras Global Finance B.V. (Brazil), 3.875%, 1/27/2016		Ba2			1,540,000		1,510,555
Petrobras Global Finance B.V. (Brazil)4, 1.881%, 5/20/2016		Ba2			1,200,000		1,134,120
Petroleos Mexicanos (Mexico), 5.75%, 3/1/2018		A3			680,000		746,980
Petroleos Mexicanos (Mexico)3, 4.50%, 1/23/2026		A3			1,150,000		1,171,850
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021		Baa3			780,000		767,476
Woodside Finance Ltd. (Australia)3, 3.65%, 3/5/2025		Baa1			400,000		396,402
							11,698,745
Total Energy							14,332,163
Financials - 32.2%
Banks - 10.0%
Bank of America Corp., 5.42%, 3/15/2017		Baa3			1,193,000		1,274,233
Bank of America Corp., 4.00%, 1/22/2025		Baa3			625,000		630,058
Barclays Bank plc (United Kingdom), 5.14%, 10/14/2020		Baa3			580,000		644,389
Barclays Bank plc (United Kingdom)3, 10.179%, 6/12/2021		Baa3			610,000		834,462
BBVA Bancomer S.A. (Mexico)3, 6.75%, 9/30/2022		Baa2			1,185,000		1,339,879
Citigroup, Inc., 1.80%, 2/5/2018		Baa2			1,000,000		1,002,088
Citigroup, Inc., 3.875%, 3/26/2025		Baa3			765,000		767,873
HSBC USA Capital Trust I (United Kingdom)3, 7.808%, 12/15/2026		Baa1			400,000		403,251
ING Bank N.V. (Netherlands)3, 1.80%, 3/16/2018		A2			450,000		452,787
Intesa Sanpaolo S.p.A. (Italy), 2.375%, 1/13/2017		Baa2			770,000		779,181
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019		Baa2			800,000		843,751
Intesa Sanpaolo S.p.A. (Italy)3, 6.50%, 2/24/2021		Baa2			800,000		950,210
JPMorgan Chase & Co., 4.95%, 3/25/2020		A3			500,000		562,589
Lloyds Bank plc (United Kingdom)3, 6.50%, 9/14/2020		Baa2			2,445,000		2,872,550
National Australia Bank Ltd. (Australia)3, 2.00%, 2/22/2019		Aaa			775,000		787,726
Santander Bank N.A., 8.75%, 5/30/2018		Baa2			650,000		767,358
Santander Issuances S.A.U. (Spain)3, 5.911%, 6/20/2016		Baa2			750,000		783,636
							15,696,021
Capital Markets - 4.8%
Drawbridge Special Opportunities Fund LP - Drawbridge Special Opportunities Finance3, 5.00%, 8/1/2021		BBB	2		400,000		398,000
The Goldman Sachs Group, Inc., 7.50%, 2/15/2019		Baa1			1,100,000		1,312,829
The Goldman Sachs Group, Inc.4, 1.861%, 11/29/2023		Baa1			755,000		778,192

2

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Capital Markets (continued)
Morgan Stanley, 2.125%, 4/25/2018		Baa2		$	1,400,000	$	1,415,376
Morgan Stanley, 5.00%, 11/24/2025		Baa3			950,000		1,049,422
TD Ameritrade Holding Corp., 2.95%, 4/1/2022		A3			1,000,000		1,016,737
UBS AG (Switzerland)4, 7.25%, 2/22/2022		BBB	2		475,000		511,175
UBS AG (Switzerland), 7.625%, 8/17/2022		BBB	2		435,000		527,601
UBS AG (Switzerland)4, 4.75%, 5/22/2023		BBB	2		510,000		527,414
							7,536,746
Consumer Finance - 0.6%
Discover Bank, 4.20%, 8/8/2023		Baa3			865,000		914,898
Diversified Financial Services - 3.5%
CME Group, Inc., 3.00%, 3/15/2025		Aa3			500,000		505,077
General Electric Capital Corp.4, 0.635%, 5/5/2026		A1			1,270,000		1,191,275
General Electric Capital Corp.5,6, 7.125%		Baa1			850,000		997,688
ING Bank N.V. (Netherlands)3, 5.80%, 9/25/2023		Baa2			735,000		832,107
ING Bank N.V. (Netherlands)4, 4.125%, 11/21/2023		Baa2			790,000		817,531
Jefferies Group LLC, 8.50%, 7/15/2019		Baa3			650,000		777,407
Peachtree Corners Funding Trust3, 3.976%, 2/15/2025		Baa2			350,000		355,052
							5,476,137
Insurance - 8.2%
Aegon N.V. (Netherlands)4,5, 2.138%		Baa1			875,000		750,313
American International Group, Inc., 4.875%, 6/1/2022		Baa1			2,450,000		2,784,312
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024		Baa2			2,950,000		3,157,117
AXA S.A. (France)4,5, 2.007%		A3			1,725,000		1,500,750
First American Financial Corp., 4.30%, 2/1/2023		Baa3			915,000		916,204
First American Financial Corp., 4.60%, 11/15/2024		Baa3			250,000		261,265
The Hartford Financial Services Group, Inc., 5.125%, 4/15/2022		Baa3			1,980,000		2,256,248
Prudential Financial, Inc.4, 5.875%, 9/15/2042		Baa2			1,130,000		1,227,463
							12,853,672
Real Estate Investment Trusts (REITS) - 5.1%
American Campus Communities Operating Partnership LP, 3.75%, 4/15/2023		Baa3			730,000		739,900
Brixmor Operating Partnership LP, 3.85%, 2/1/2025		Baa3			750,000		750,615
Digital Realty Trust LP, 5.875%, 2/1/2020		Baa2			1,305,000		1,479,993
Digital Realty Trust LP, 5.25%, 3/15/2021		Baa2			45,000		50,083
Duke Realty LP, 3.75%, 12/1/2024		Baa2			750,000		769,796
Health Care REIT, Inc., 4.95%, 1/15/2021		Baa2			990,000		1,099,655
Hospitality Properties Trust, 6.70%, 1/15/2018		Baa2			665,000		731,795
Hospitality Properties Trust, 4.50%, 3/15/2025		Baa2			700,000		716,256
Simon Property Group LP, 10.35%, 4/1/2019		A2			990,000		1,283,238

3

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Real Estate Investment Trusts (REITS)   (continued)
Ventas Realty LP - Ventas Capital Corp., 4.75%, 6/1/2021		Baa1		$	300,000	$	331,193
							7,952,524
Total Financials							50,429,998
Health Care - 2.4%
Biotechnology - 0.5%
Amgen, Inc., 2.20%, 5/22/2019		Baa1			765,000		774,885
Health Care Equipment & Supplies - 0.2%
Zimmer Holdings, Inc., 1.45%, 4/1/2017		Baa3			350,000		350,694
Health Care Providers & Services - 1.3%
Aetna, Inc., 3.50%, 11/15/2024		Baa2			765,000		797,966
Express Scripts Holding Co., 4.75%, 11/15/2021		Baa3			1,165,000		1,310,750
							2,108,716
Pharmaceuticals - 0.4%
Roche Holdings, Inc. (Switzerland)3, 6.00%, 3/1/2019		A1			500,000		578,930
Total Health Care							3,813,225
Industrials - 3.7%
Aerospace & Defense - 1.3%
The Boeing Co., 2.50%, 3/1/2025		A2			500,000		498,066
Textron, Inc., 7.25%, 10/1/2019		Baa3			1,245,000		1,479,140
							1,977,206
Airlines - 1.0%
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/2023		A	2		792,201		867,460
Southwest Airlines Co., 2.75%, 11/6/2019		Baa2			765,000		782,415
							1,649,875
Commercial Services & Supplies - 0.5%
Waste Management, Inc., 3.125%, 3/1/2025		Baa2			750,000		757,227
Construction & Engineering - 0.5%
Fluor Corp., 3.50%, 12/15/2024		A3			800,000		824,764
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC, 3.00%, 4/1/2025		A3			400,000		403,395
Trading Companies & Distributors - 0.1%
Air Lease Corp., 3.375%, 1/15/2019		BBB	2		185,000		188,700
Total Industrials							5,801,167
Information Technology - 3.1%
Internet Software & Services - 1.0%
Alibaba Group Holding Ltd. (China)3, 2.50%, 11/28/2019		A1			750,000		750,258

4

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1		PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Information Technology   (continued)
Internet Software & Services   (continued)
Tencent Holdings Ltd. (China)3, 3.375%, 5/2/2019		A2	$	825,000	$	854,806
						1,605,064
IT Services - 0.5%
Xerox Corp., 2.80%, 5/15/2020		Baa2		825,000		832,404
Semiconductors & Semiconductor Equipment - 0.6%
KLA-Tencor Corp., 4.125%, 11/1/2021		Baa2		800,000		842,226
Technology Hardware, Storage & Peripherals - 1.0%
Apple, Inc., 2.40%, 5/3/2023		Aa1		465,000		459,290
EMC Corp., 2.65%, 6/1/2020		A1		1,020,000		1,047,464
						1,506,754
Total Information Technology						4,786,448
Materials - 4.2%
Chemicals - 2.1%
The Dow Chemical Co., 8.55%, 5/15/2019		Baa2		965,000		1,208,197
Eastman Chemical Co., 5.50%, 11/15/2019		Baa2		200,000		226,196
Eastman Chemical Co., 2.70%, 1/15/2020		Baa2		550,000		557,951
LyondellBasell Industries N.V., 5.00%, 4/15/2019		Baa1		400,000		441,106
The Mosaic Co., 4.25%, 11/15/2023		Baa1		780,000		831,845
						3,265,295
Metals & Mining - 1.4%
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021		A3		1,250,000		1,318,406
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		Baa3		845,000		840,463
						2,158,869
Paper & Forest Products - 0.7%
Domtar Corp., 4.40%, 4/1/2022		Baa3		735,000		759,728
Georgia-Pacific LLC3, 3.163%, 11/15/2021		Baa1		380,000		389,527
						1,149,255
Total Materials						6,573,419
Telecommunication Services - 1.0%
Wireless Telecommunication Services - 1.0%
Crown Castle Towers LLC3, 6.113%, 1/15/2020		A2		745,000		849,881
Crown Castle Towers LLC3, 4.883%, 8/15/2020		A2		250,000		274,504
SBA Tower Trust3, 3.598%, 4/15/2018		Baa3		465,000		464,938
Total Telecommunication Services						1,589,323
Utilities - 0.8%
Gas Utilities - 0.3%
National Fuel Gas Co., 3.75%, 3/1/2023		Baa2		500,000		500,689

5

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT/ SHARES		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Utilities   (continued)
Independent Power and Renewable Electricity Producers - 0.5%
Exelon Generation Co. LLC, 5.20%, 10/1/2019		Baa2		$	675,000	$	756,823
Total Utilities							1,257,512
Total Non-Convertible Corporate Bonds (Identified Cost $98,486,042)							101,607,021
TOTAL CORPORATE BONDS (Identified Cost $99,286,780)							102,354,540
PREFERRED STOCKS - 1.1%
Financials - 1.1%
Banks - 0.6%
U.S. Bancorp., Series F (non-cumulative), 6.50%7		Baa1			32,800		974,488
Real Estate Investment Trusts (REITS) - 0.5%
Public Storage, Series Q, 6.50%		A3			29,910		787,231
TOTAL PREFERRED STOCKS (Identified Cost $1,567,750)							1,761,719
ASSET-BACKED SECURITIES - 1.5%
Alterna Funding I LLC, Series 2014-1A, Class NOTE3, 1.639%, 2/15/2021		WR	8	$	281,074		281,426
FDIC Trust, Series 2011-R1, Class A3, 2.672%, 7/25/2026		WR	8		108,636		111,260
FNA Trust, Series 2014-1A, Class A3, 1.296%, 12/10/2022		WR	8		256,803		256,723
Hertz Vehicle Financing LLC, Series 2010-1A, Class A23, 3.74%, 2/25/2017		Aaa			595,000		606,602
NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A3, 1.92%, 10/15/2019		Aaa			390,000		391,663
SpringCastle America Funding LLC, Series 2014-AA, Class A3, 2.70%, 5/25/2023		WR	8		306,111		306,899
Starwood Retail Property Trust, Series 2014-STAR, Class A3,4, 1.402%, 11/15/2027		AAA	2		410,000		412,193
TOTAL ASSET-BACKED SECURITIES (Identified Cost $2,347,546)							2,366,766
COMMERCIAL MORTGAGE-BACKED SECURITIES - 13.6%
Americold LLC Trust, Series 2010-ARTA, Class A13, 3.847%, 1/14/2029		AAA	2		64,236		67,374
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046		Aaa			91,984		95,382
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		Aaa			115,266		115,817
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		AAA	2		772,212		805,929

6

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
COMMERCIAL MORTGAGE-BACKED SECURITIES   (continued)
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Class AM4, 5.568%, 10/12/2041		A3		$	200,000	$	211,481
BWAY Mortgage Trust, Series 2015-1740, Class A3, 2.917%, 1/13/2035		AAA	2		400,000		398,654
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A23, 3.759%, 4/15/2044		Aaa			55,897		56,838
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A34, 5.963%, 3/15/2049		Aaa			347,264		358,912
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.223%, 8/15/2048		AA	2		329,666		345,904
Commercial Mortgage Pass-Through Certificates, Series 2006-GG7, Class A44, 6.014%, 7/10/2038		Aaa			397,813		412,310
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A13, 3.156%, 7/10/2046		Aaa			144,594		145,373
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class A3, 3.178%, 2/10/2035		WR	8		400,000		409,417
Commercial Mortgage Pass-Through Certificates, Series 2015-LC19, Class A4, 3.183%, 2/10/2048		Aaa			1,100,000		1,136,215
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A13,4, 2.50%, 5/25/2043		AAA	2		404,114		394,153
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,4, 2.13%, 2/25/2043		AAA	2		362,657		346,431
Extended Stay America Trust, Series 2013-ESH7, Class A273, 2.958%, 12/5/2031		Aaa			455,000		465,243
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017		WR	8		322,979		324,635
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)4, 1.413%, 4/25/2021		WR	8		7,873,773		496,473
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)4, 1.717%, 10/25/2021		WR	8		1,206,988		100,690
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)4, 1.633%, 6/25/2022		WR	8		9,779,120		850,069
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)4, 0.336%, 4/25/2023		Aaa			14,525,260		223,108
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)4, 0.236%, 5/25/2023		WR	8		8,588,807		77,428
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, Class X1 (IO)4, 1.714%, 10/25/2018		Aaa			1,666,957		82,314
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019		WR	8		420,000		422,383
FREMF Mortgage Trust, Series 2011-K15, Class B3,4, 5.098%, 8/25/2044		WR	8		170,000		189,053
FREMF Mortgage Trust, Series 2011-K701, Class B3,4, 4.436%, 7/25/2048		A	2		160,000		169,168
FREMF Mortgage Trust, Series 2013-K712, Class B3,4, 3.484%, 5/25/2045		A	2		360,000		370,412

7

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
COMMERCIAL MORTGAGE-BACKED SECURITIES   (continued)
FREMF Mortgage Trust, Series 2015-K42, Class B3,4, 3.985%, 12/25/2024		A3		$	380,000	$	389,882
FREMF Mortgage Trust, Series 2015-K43, Class B3,4, 3.863%, 2/25/2048		WR	8		400,000		408,767
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class BFX3, 3.382%, 12/15/2019		AA	2		400,000		407,444
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX3, 3.382%, 12/15/2019		BBB	2		220,000		217,633
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class A44, 5.423%, 1/12/2043		Aaa			650,000		657,546
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class AM4, 5.464%, 1/12/2043		Baa1			130,000		132,959
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP5, Class A44, 5.413%, 12/15/2044		Aaa			218,826		221,218
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class A44, 6.057%, 4/15/2045		Aaa			435,000		449,485
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A33, 4.07%, 11/15/2043		AAA	2		200,000		218,272
JP Morgan Mortgage Trust, Series 2013-1, Class 1A23,4, 3.00%, 3/25/2043		WR	8		299,220		298,425
JP Morgan Mortgage Trust, Series 2013-2, Class A23,4, 3.50%, 5/25/2043		AAA	2		332,185		340,490
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,4, 3.00%, 6/25/2029		AAA	2		359,197		368,637
LSTAR Commercial Mortgage Trust, Series 2014-2, Class A23, 2.767%, 1/20/2041		Aaa			330,000		336,654
Motel 6 Trust, Series 2015-MTL6, Class B3, 3.298%, 2/5/2030		WR	8		350,000		353,238
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,4, 3.75%, 11/25/2054		AAA	2		406,811		419,315
OBP Depositor LLC Trust, Series 2010-OBP, Class A3, 4.646%, 7/15/2045		AAA	2		100,000		112,259
Resource Capital Corp., Series 2013-CRE1, Class A (Cayman Islands)3,4, 1.482%, 12/15/2028		AAA	2		93,413		93,393
SCG Trust, Series 2013-SRP1, Class AJ3,4, 2.132%, 11/15/2026		AAA	2		450,000		451,393
Sequoia Mortgage Trust, Series 2011-2, Class A14, 3.90%, 9/25/2041		WR	8		206,763		214,819
Sequoia Mortgage Trust, Series 2012-2, Class A24, 3.50%, 4/25/2042		WR	8		275,797		279,633
Sequoia Mortgage Trust, Series 2013-7, Class A24, 3.00%, 6/25/2043		AAA	2		246,989		244,481
Sequoia Mortgage Trust, Series 2013-8, Class A14, 3.00%, 6/25/2043		Aaa			340,458		337,213
U.S. Small Business Administration, Series 2015-10A, Class 1, 2.517%, 3/10/2025		WR	8		630,000		632,442
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX3, 4.004%, 9/13/2028		AAA	2		245,000		267,745
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A44, 5.43%, 10/15/2044		Aaa			105,169		105,928
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM4, 5.489%, 12/15/2044		Baa3			300,000		305,429

8

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
COMMERCIAL MORTGAGE-BACKED SECURITIES  (continued)
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A34, 6.011%, 6/15/2045		Aaa		$	280,000	$	292,080
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A23, 4.393%, 11/15/2043		Aaa			275,000		304,258
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A43,4, 4.869%, 2/15/2044		Aaa			410,000		466,580
WF-RBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		Aaa			700,000		776,090
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class A5, 3.995%, 5/15/2047		Aaa			1,100,000		1,209,230
WinWater Mortgage Loan Trust, Series 2015-03, Class A53,4, 3.50%, 3/20/2045		Aaa			475,000		489,027
WinWater Mortgage Loan Trust, Series 2015-1, Class A13,4, 3.50%, 1/20/2045		WR	8		394,532		404,283
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $21,259,011)							21,277,414
FOREIGN GOVERNMENT BOND - 0.2%
Brazilian Government International Bond (Brazil), 8.875%, 10/14/2019 (Identified Cost $370,972)		Baa2			300,000		370,500
U.S. GOVERNMENT AGENCIES - 14.3%
Mortgage-Backed Securities - 4.0%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021					409,384		444,978
Fannie Mae, Pool #995233, 5.50%, 10/1/2021					31,737		34,321
Fannie Mae, Pool #888017, 6.00%, 11/1/2021					40,096		43,880
Fannie Mae, Pool #995329, 5.50%, 12/1/2021					282,537		308,131
Fannie Mae, Pool #888136, 6.00%, 12/1/2021					50,232		54,805
Fannie Mae, Pool #888810, 5.50%, 11/1/2022					494,692		540,919
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024					30,908		34,383
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034					167,061		183,890
Fannie Mae, Pool #MA1890, 4.00%, 5/1/2034					319,793		345,498
Fannie Mae, Pool #MA2177, 4.00%, 2/1/2035					300,265		324,109
Fannie Mae, Pool #933731, 5.50%, 4/1/2038					110,271		124,092
Fannie Mae, Pool #889624, 5.50%, 5/1/2038					130,634		146,999
Fannie Mae, Pool #995876, 6.00%, 11/1/2038					357,220		407,300
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039					131,609		148,095
Fannie Mae, Pool #AB4300, 3.50%, 1/1/2042					345,035		362,874
Fannie Mae, Pool #AQ7871, 3.50%, 12/1/2042					363,674		382,505
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020					156,122		167,010
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022					49,029		53,836
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022					35,583		39,024
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023					27,041		29,866

9

Investment Portfolio - March 31, 2015

(unaudited)

CORE BOND SERIES	PRINCIPAL AMOUNT/ SHARES		VALUE
U.S. GOVERNMENT AGENCIES   (continued)
Mortgage-Backed Securities   (continued)
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023	$	48,414	$	53,472
Freddie Mac, Pool #D98711, 4.50%, 7/1/2031		250,036		273,766
Freddie Mac, Pool #C91746, 4.50%, 12/1/2033		263,421		288,914
Freddie Mac, Pool #C91754, 4.50%, 3/1/2034		242,456		265,994
Freddie Mac, Pool #G07655, 5.50%, 12/1/2035		246,642		277,716
Freddie Mac, Pool #G05956, 5.50%, 7/1/2038		118,095		132,521
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		29,989		33,664
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		212,507		241,197
Freddie Mac, Pool #Q17513, 3.50%, 4/1/2043		287,778		302,237
Freddie Mac, Pool #C09068, 3.50%, 11/1/2044		218,851		229,595
Total Mortgage-Backed Securities (Identified Cost $6,095,659)				6,275,591
Other Agencies - 10.3%
Fannie Mae, 0.875%, 5/21/2018		6,290,000		6,275,055
Fannie Mae, 2.625%, 9/6/2024		3,150,000		3,263,683
Freddie Mac, 1.00%, 6/29/2017		4,675,000		4,701,021
Freddie Mac, 2.375%, 1/13/2022		1,925,000		1,990,637
Total Other Agencies (Identified Cost $16,166,423)				16,230,396
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $22,262,082)				22,505,987
SHORT-TERM INVESTMENT - 4.1%
Dreyfus Cash Management, Inc. - Institutional Shares9, 0.03%, (Identified Cost $6,351,955)		6,351,955		6,351,955
TOTAL INVESTMENTS - 100.1% (Identified Cost $153,446,096)				156,988,881
LIABILITIES, LESS OTHER ASSETS - (0.1%)				(125,981	)
NET ASSETS - 100%			$	156,862,900

IO - Interest only

¹Credit ratings from Moody’s (unaudited).

²Credit ratings from S&P (unaudited).

³Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under rule 144A and have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $31,900,057 or 20.3%, of the Series’ net assets as of March 31, 2015.

⁴The coupon rate is floating and is the effective rate as of March 31, 2015.

⁵Security is perpetual in nature and has no stated maturity date.

⁶The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2022.

⁷The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in January 2022.

⁸Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁹Rate shown is the current yield as of March 31, 2015.

10

Investment Portfolio - March 31, 2015

(unaudited)

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	153,446,096
Unrealized appreciation		4,372,910
Unrealized depreciation		(830,125	)
Net unrealized appreciation	$	3,542,785

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Preferred securities:
Financials	$	1,761,719	$	1,761,719	$	—	$	—
Debt securities:
U.S. Treasury and other U.S. Government agencies		22,505,987		—		22,505,987		—
Corporate debt:
Consumer Discretionary		11,323,337		—		11,323,337		—
Consumer Staples		1,700,429		—		1,700,429		—
Energy		14,332,163		—		14,332,163		—
Financials		50,429,998		—		50,429,998		—
Health Care		3,813,225		—		3,813,225		—
Industrials		5,801,167		—		5,801,167		—
Information Technology		4,786,448		—		4,786,448		—
Materials		6,573,419		—		6,573,419		—
Telecommunication Services		1,589,323		—		1,589,323		—
Utilities		1,257,512		—		1,257,512		—
Convertible corporate debt:
Consumer Discretionary		747,519		—		747,519		—
Asset-backed securities		2,366,766		—		2,366,766		—
Commercial mortgage-backed securities		21,277,414		—		21,277,414		—
Foreign government bond		370,500		—		370,500		—
Mutual fund		6,351,955		6,351,955		—		—
Total assets	$	156,988,881	$	8,113,674	$	148,875,207	$	—

11

Investment Portfolio - March 31, 2015

(unaudited)

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

12

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
LOAN ASSIGNMENTS - 0.5%
Alere, Inc., Term B3, 4.25%, 6/30/2017		WR	4		1,572,875	$	1,574,275
Valeant Pharmaceuticals International, Inc., Term Loan D23, 3.50%, 2/13/2019		Ba1			2,000,000		2,003,440
TOTAL LOAN ASSIGNMENTS (Identified Cost $3,563,579)							3,577,715
CORPORATE BONDS - 71.9%
Convertible Corporate Bonds - 0.4%
Consumer Discretionary - 0.4%
Internet & Catalog Retail - 0.4%
The Priceline Group, Inc., 0.35%, 6/15/2020 (Identified Cost $3,575,812)		BBB	5		2,925,000		3,338,156
Non-Convertible Corporate Bonds - 71.5%
Consumer Discretionary - 7.6%
Auto Components - 0.1%
Icahn Enterprises LP - Icahn Enterprises Finance Corp., 5.875%, 2/1/2022		Ba3			655,000		674,650
Automobiles - 1.2%
Ford Motor Credit Co. LLC, 5.00%, 5/15/2018		Baa3			6,030,000		6,575,516
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		Baa3			2,565,000		3,204,980
							9,780,496
Diversified Consumer Services - 0.5%
Block Financial LLC, 5.50%, 11/1/2022		Baa2			3,180,000		3,519,732
Hotels, Restaurants & Leisure - 0.7%
Cleopatra Finance Ltd. (Italy)6, 6.25%, 2/15/2022		Ba2			805,000		786,887
MGM Resorts International, 10.00%, 11/1/2016		B3			3,500,000		3,876,250
Wynn Las Vegas LLC - Wynn Las Vegas Capital Corp.6, 5.50%, 3/1/2025		Ba2			1,155,000		1,169,437
							5,832,574
Household Durables - 2.4%
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)6, 6.125%, 7/1/2022		B2			455,000		470,925
Meritage Homes Corp., 7.15%, 4/15/2020		Ba3			450,000		484,875
Meritage Homes Corp., 7.00%, 4/1/2022		Ba3			690,000		740,025
Newell Rubbermaid, Inc., 2.875%, 12/1/2019		Baa3			3,800,000		3,872,424
NVR, Inc., 3.95%, 9/15/2022		Baa2			6,225,000		6,515,073
TRI Pointe Holdings, Inc.6, 4.375%, 6/15/2019		B1			815,000		795,644
Tupperware Brands Corp., 4.75%, 6/1/2021		Baa3			3,125,000		3,380,100
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023		B2			1,010,000		967,075
Whirlpool Corp., 2.40%, 3/1/2019		Baa2			1,615,000		1,635,989
							18,862,130

1

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Consumer Discretionary   (continued)
Media - 1.3%
21st Century Fox America, Inc., 6.90%, 3/1/2019		Baa1			3,130,000	$	3,703,882
Cogeco Cable, Inc. (Canada)6, 4.875%, 5/1/2020		BB	5		705,000		713,813
Columbus International, Inc. (Barbados)6, 7.375%, 3/30/2021		B2			1,085,000		1,140,606
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 4.45%, 4/1/2024		Baa2			3,620,000		3,866,127
Sirius XM Radio, Inc.6, 5.375%, 4/15/2025		Ba3			795,000		798,975
							10,223,403
Multiline Retail - 0.4%
Macy’s Retail Holdings, Inc., 2.875%, 2/15/2023		Baa2			3,420,000		3,399,863
Specialty Retail - 0.5%
The TJX Companies, Inc., 2.75%, 6/15/2021		A3			3,545,000		3,625,801
Textiles, Apparel & Luxury Goods - 0.5%
Coach, Inc., 4.25%, 4/1/2025		Baa2			3,905,000		3,958,006
Total Consumer Discretionary							59,876,655
Consumer Staples - 1.9%
Beverages - 1.1%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019		A2			1,600,000		1,936,298
DS Services of America, Inc.6, 10.00%, 9/1/2021		Ba3			635,000		746,125
Pernod-Ricard S.A. (France)6, 5.75%, 4/7/2021		Baa3			3,290,000		3,817,950
SABMiller plc (United Kingdom)6, 6.50%, 7/15/2018		Baa1			1,700,000		1,946,296
							8,446,669
Food & Staples Retailing - 0.2%
C&S Group Enterprises LLC6, 5.375%, 7/15/2022		B1			645,000		630,487
KeHE Distributors LLC - KeHE Finance Corp.6, 7.625%, 8/15/2021		B3			430,000		456,337
Shearer’s Foods LLC - Chip Finance Corp.6, 9.00%, 11/1/2019		B1			455,000		495,950
							1,582,774
Food Products - 0.1%
Pinnacle Operating Corp.6, 9.00%, 11/15/2020		Caa1			1,095,000		1,105,950
Household Products - 0.4%
Energizer Holdings, Inc., 4.70%, 5/19/2021		Baa3			1,600,000		1,691,728
HRG Group, Inc., 7.875%, 7/15/2019		Ba3			1,050,000		1,105,125
HRG Group, Inc., 7.75%, 1/15/2022		Caa1			560,000		557,200
							3,354,053
Tobacco - 0.1%
Vector Group Ltd., 7.75%, 2/15/2021		Ba3			885,000		941,419
Total Consumer Staples							15,430,865

2

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Energy - 9.3%
Energy Equipment & Services - 1.7%
Baker Hughes, Inc., 7.50%, 11/15/2018		A2			3,155,000	$	3,759,271
Calfrac Holdings LP (Canada)6, 7.50%, 12/1/2020		B1			670,000		594,625
Cameron International Corp., 3.70%, 6/15/2024		Baa1			1,000,000		982,416
Ensco plc, 5.20%, 3/15/2025		Baa1			3,900,000		3,906,065
Parker Drilling Co., 6.75%, 7/15/2022		B1			800,000		634,000
Schlumberger Oilfield plc6, 4.20%, 1/15/2021		Aa3			2,630,000		2,891,959
Seventy Seven Operating LLC, 6.625%, 11/15/2019		Ba3			430,000		321,425
Shelf Drilling Holdings Ltd. (United Arab Emirates)6, 8.625%, 11/1/2018		Ba3			600,000		490,500
							13,580,261
Oil, Gas & Consumable Fuels - 7.6%
BP Capital Markets plc (United Kingdom), 3.535%, 11/4/2024		A2			3,900,000		3,971,701
Buckeye Partners LP, 4.15%, 7/1/2023		Baa3			3,380,000		3,342,834
CNOOC Nexen Finance 2014 ULC (China), 1.625%, 4/30/2017		Aa3			3,465,000		3,456,996
El Paso Natural Gas Co. LLC, 8.625%, 1/15/2022		Baa3			950,000		1,186,684
Energy XXI Gulf Coast, Inc., 7.50%, 12/15/2021		Caa3			1,075,000		387,000
EOG Resources, Inc., 3.15%, 4/1/2025		A3			2,350,000		2,396,638
FTS International, Inc.6, 6.25%, 5/1/2022		B2			425,000		312,375
Hess Corp., 8.125%, 2/15/2019		Baa2			705,000		846,455
Hiland Partners LP - Hiland Partners Finance Corp.6, 7.25%, 10/1/2020		Baa3			3,400,000		3,663,500
Ithaca Energy, Inc. (United Kingdom)6, 8.125%, 7/1/2019		Caa2			395,000		313,037
Kinder Morgan, Inc.6, 5.625%, 11/15/2023		Baa3			6,500,000		7,147,634
PBF Holding Co. LLC - PBF Finance Corp., 8.25%, 2/15/2020		Ba3			760,000		802,750
Peabody Energy Corp.6, 10.00%, 3/15/2022		B2			795,000		707,550
Petrobras Global Finance B.V. (Brazil), 3.875%, 1/27/2016		Ba2			12,330,000		12,094,250
Petrobras Global Finance B.V. (Brazil)3, 1.881%, 5/20/2016		Ba2			5,225,000		4,938,148
Petroleos Mexicanos (Mexico), 5.75%, 3/1/2018		A3			3,330,000		3,658,005
Petroleos Mexicanos (Mexico)6, 4.50%, 1/23/2026		A3			4,500,000		4,585,500
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021		Ba3			615,000		619,034
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021		Baa3			3,785,000		3,724,224
Woodside Finance Ltd. (Australia)6, 3.65%, 3/5/2025		Baa1			1,600,000		1,585,610
							59,739,925
Total Energy							73,320,186
Financials - 33.6%
Banks - 9.8%
Banco Bilbao Vizcaya Argentaria S.A. (Spain)7,8, 9.00%		WR	4		3,200,000		3,480,000
Banco Santander S.A. (Spain)7,9, 6.375%		Ba1			3,600,000		3,554,107
Bank of America Corp., 5.70%, 5/2/2017		Baa3			2,975,000		3,205,259
Bank of America Corp., 6.875%, 4/25/2018		Baa2			2,295,000		2,625,154
Bank of America Corp., 4.00%, 1/22/2025		Baa3			4,000,000		4,032,372
Barclays Bank plc (United Kingdom)6, 10.179%, 6/12/2021		Baa3			2,540,000		3,474,644

3

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Banks   (continued)
Barclays plc (United Kingdom), 2.00%, 3/16/2018		A3			1,500,000	$	1,508,123
Barclays plc (United Kingdom)7,10, 6.625%		B	5		2,000,000		1,983,134
BBVA Bancomer S.A. (Mexico)6, 6.75%, 9/30/2022		Baa2			4,300,000		4,862,010
CIT Group, Inc., 5.25%, 3/15/2018		B1			750,000		776,250
Citigroup, Inc., 1.80%, 2/5/2018		Baa2			4,300,000		4,308,978
Citigroup, Inc., 3.875%, 3/26/2025		Baa3			4,025,000		4,040,118
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. (Netherlands)7,11, 8.40%		WR	4		2,980,000		3,300,916
HSBC USA Capital Trust I (United Kingdom)6, 7.808%, 12/15/2026		Baa1			1,500,000		1,512,191
ING Bank N.V. (Netherlands)6, 1.80%, 3/16/2018		A2			2,300,000		2,314,244
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019		Baa2			3,200,000		3,375,005
Intesa Sanpaolo S.p.A. (Italy)6, 6.50%, 2/24/2021		Baa2			2,800,000		3,325,736
JPMorgan Chase & Co., 4.95%, 3/25/2020		A3			4,000,000		4,500,712
Lloyds Bank plc (United Kingdom)6, 6.50%, 9/14/2020		Baa2			9,645,000		11,331,592
Popular, Inc., 7.00%, 7/1/2019		B2			1,520,000		1,527,600
Royal Bank of Scotland Group plc (United Kingdom), 5.125%, 5/28/2024		Ba3			3,730,000		3,913,184
Santander Bank N.A., 8.75%, 5/30/2018		Baa2			888,000		1,048,329
Santander Issuances S.A.U. (Spain)6, 5.911%, 6/20/2016		Baa2			3,290,000		3,437,550
							77,437,208
Capital Markets - 4.1%
Goldman Sachs Capital II3,7, 4.00%		Ba2			4,205,000		3,258,875
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		Baa1			3,000,000		3,404,268
The Goldman Sachs Group, Inc.3, 1.861%, 11/29/2023		Baa1			3,305,000		3,406,523
Morgan Stanley, 2.125%, 4/25/2018		Baa2			3,070,000		3,103,718
Morgan Stanley, 5.75%, 1/25/2021		Baa2			3,940,000		4,599,292
Morgan Stanley, 5.00%, 11/24/2025		Baa3			4,500,000		4,970,948
Scottrade Financial Services, Inc.6, 6.125%, 7/11/2021		Baa3			1,700,000		1,860,320
UBS AG (Switzerland)3, 7.25%, 2/22/2022		BBB	5		3,320,000		3,572,841
UBS AG (Switzerland), 7.625%, 8/17/2022		BBB	5		1,940,000		2,352,981
UBS AG (Switzerland)3, 4.75%, 5/22/2023		BBB	5		2,270,000		2,347,509
							32,877,275
Consumer Finance - 1.9%
Ally Financial, Inc., 3.50%, 7/18/2016		B1			1,277,000		1,292,962
Capital One Bank USA National Association, 2.15%, 11/21/2018		A3			4,700,000		4,736,420
CNG Holdings, Inc.6, 9.375%, 5/15/2020		Caa1			775,000		556,063
Discover Bank, 4.20%, 8/8/2023		Baa3			3,210,000		3,395,169
Navient Corp., 3.875%, 9/10/2015		Ba3			3,450,000		3,474,736
Navient Corp., 6.125%, 3/25/2024		Ba3			1,610,000		1,545,600
							15,000,950

4

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1		PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Diversified Financial Services - 4.3%
The Bear Stearns Companies LLC, 7.25%, 2/1/2018		A3		2,195,000	$	2,527,020
CME Group, Inc., 3.00%, 9/15/2022		Aa3		3,005,000		3,114,869
General Electric Capital Corp.3, 0.635%, 5/5/2026		A1		7,600,000		7,128,891
General Electric Capital Corp.7,12, 7.125%		Baa1		3,105,000		3,644,494
ING Bank N.V. (Netherlands)6, 5.80%, 9/25/2023		Baa2		3,195,000		3,617,120
ING Bank N.V. (Netherlands)3, 4.125%, 11/21/2023		Baa2		3,465,000		3,585,755
Jefferies Finance LLC - JFIN Co-Issuer Corp.6, 7.375%, 4/1/2020		B1		575,000		557,750
Jefferies Finance LLC - JFIN Co-Issuer Corp.6, 6.875%, 4/15/2022		B1		410,000		381,300
Jefferies Group LLC, 5.125%, 4/13/2018		Baa3		4,000,000		4,205,224
Peachtree Corners Funding Trust6, 3.976%, 2/15/2025		Baa2		1,750,000		1,775,258
Voya Financial, Inc., 2.90%, 2/15/2018		Baa2		2,050,000		2,115,204
Voya Financial, Inc., 5.50%, 7/15/2022		Baa2		1,100,000		1,271,157
						33,924,042
Insurance - 7.1%
Aegon N.V. (Netherlands)3,7, 2.138%		Baa1		3,866,000		3,315,095
American International Group, Inc., 4.875%, 6/1/2022		Baa1		8,525,000		9,688,270
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024		Baa2		10,700,000		11,451,236
AXA S.A. (France)3,7, 2.19%		A3		1,239,000		1,092,984
AXA S.A. (France)3,7, 2.007%		A3		7,199,000		6,263,130
Fidelity National Financial, Inc., 6.60%, 5/15/2017		Baa3		5,495,000		6,003,837
First American Financial Corp., 4.30%, 2/1/2023		Baa3		3,160,000		3,164,159
First American Financial Corp., 4.60%, 11/15/2024		Baa3		1,750,000		1,828,857
The Hartford Financial Services Group, Inc., 5.125%, 4/15/2022		Baa3		6,915,000		7,879,774
Prudential Financial, Inc.3, 5.875%, 9/15/2042		Baa2		4,960,000		5,387,800
						56,075,142
Real Estate Investment Trusts (REITS) - 6.0%
American Campus Communities Operating Partnership LP, 3.75%, 4/15/2023		Baa3		3,865,000		3,917,417
American Tower Trust I6, 1.551%, 3/15/2018		Aaa		1,625,000		1,621,766
Brixmor Operating Partnership LP, 3.85%, 2/1/2025		Baa3		3,750,000		3,753,075
Digital Realty Trust LP, 5.875%, 2/1/2020		Baa2		1,000,000		1,134,094
Digital Realty Trust LP, 5.25%, 3/15/2021		Baa2		4,180,000		4,652,169
Duke Realty LP, 3.75%, 12/1/2024		Baa2		3,800,000		3,900,301
DuPont Fabros Technology LP, 5.875%, 9/15/2021		Ba1		1,025,000		1,058,313
HCP, Inc., 6.70%, 1/30/2018		Baa1		1,900,000		2,147,578
HCP, Inc., 3.40%, 2/1/2025		Baa1		3,000,000		2,926,509
Health Care REIT, Inc., 4.95%, 1/15/2021		Baa2		3,450,000		3,832,132
Hospitality Properties Trust, 6.70%, 1/15/2018		Baa2		3,330,000		3,664,479
Hospitality Properties Trust, 4.50%, 3/15/2025		Baa2		3,300,000		3,376,636
Qualitytech LP - QTS Finance Corp.6, 5.875%, 8/1/2022		B2		450,000		462,375

5

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1		PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Real Estate Investment Trusts (REITS)   (continued)
Rialto Holdings LLC - Rialto Corp.6, 7.00%, 12/1/2018		B2		1,080,000	$	1,123,200
Simon Property Group LP, 6.125%, 5/30/2018		A2		3,000,000		3,417,927
Simon Property Group LP, 10.35%, 4/1/2019		A2		3,670,000		4,757,054
Ventas Realty LP - Ventas Capital Corp., 4.75%, 6/1/2021		Baa1		1,400,000		1,545,565
						47,290,590
Real Estate Management & Development - 0.1%
Forestar USA Real Estate Group, Inc.6, 8.50%, 6/1/2022		B2		735,000		709,275
Greystar Real Estate Partners LLC6, 8.25%, 12/1/2022		B2		430,000		450,425
						1,159,700
Thrifts & Mortgage Finance - 0.3%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017		Ba3		1,255,000		1,289,513
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.6, 5.875%, 8/1/2021		Ba3		690,000		652,050
Prospect Holding Co. LLC - Prospect Holding Finance Co.6, 10.25%, 10/1/2018		B2		425,000		314,500
						2,256,063
Total Financials						266,020,970
Health Care - 2.3%
Biotechnology - 0.5%
Amgen, Inc., 2.20%, 5/22/2019		Baa1		3,705,000		3,752,872
Health Care Equipment & Supplies - 0.3%
Halyard Health, Inc.6, 6.25%, 10/15/2022		B2		440,000		460,900
Zimmer Holdings, Inc., 1.45%, 4/1/2017		Baa3		1,750,000		1,753,469
						2,214,369
Health Care Providers & Services - 1.1%
Aetna, Inc., 3.50%, 11/15/2024		Baa2		3,715,000		3,875,091
Express Scripts Holding Co., 4.75%, 11/15/2021		Baa3		2,885,000		3,245,934
Fresenius US Finance II, Inc. (Germany)6, 9.00%, 7/15/2015		Ba1		1,900,000		1,938,000
						9,059,025
Pharmaceuticals - 0.4%
Roche Holdings, Inc. (Switzerland)6, 6.00%, 3/1/2019		A1		2,425,000		2,807,811
Total Health Care						17,834,077
Industrials - 5.7%
Aerospace & Defense - 0.6%
DigitalGlobe, Inc.6, 5.25%, 2/1/2021		B1		693,000		693,000
Textron, Inc., 7.25%, 10/1/2019		Baa3		3,790,000		4,502,763
						5,195,763

6

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Industrials   (continued)
Air Freight & Logistics - 0.1%
Neovia Logistics Intermediate Holdings LLC - Logistics Intermediate Finance Corp.6,13, 10.00%, 2/15/2018		Caa2			915,000	$	919,575
Airlines - 1.4%
Allegiant Travel Co., 5.50%, 7/15/2019		B1			1,095,000		1,122,375
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 1/15/2023		A	5		2,930,686		3,209,101
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B6, 6.375%, 1/2/2016		Ba1			1,220,000		1,257,332
Delta Air Lines Pass-Through Trust, Series 2010-2, Class B, 6.75%, 11/23/2015		Ba2			395,000		406,969
Gol LuxCo S.A. (Brazil)6, 8.875%, 1/24/2022		B	5		670,000		485,750
Southwest Airlines Co., 2.75%, 11/6/2019		Baa2			3,715,000		3,799,568
United Continental Holdings, Inc., 6.375%, 6/1/2018		B3			495,000		524,081
							10,805,176
Building Products - 0.1%
Griffon Corp., 5.25%, 3/1/2022		B1			805,000		794,213
Commercial Services & Supplies - 0.1%
Modular Space Corp.6, 10.25%, 1/31/2019		B3			620,000		492,900
Construction & Engineering - 0.7%
Abengoa Finance S.A.U. (Spain)6, 7.75%, 2/1/2020		B2			990,000		950,400
Fluor Corp., 3.50%, 12/15/2024		A3			4,200,000		4,330,011
							5,280,411
Machinery - 0.7%
CNH Industrial Capital LLC, 3.875%, 11/1/2015		Ba1			4,250,000		4,281,875
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.6, 8.875%, 8/1/2020		B2			715,000		752,537
Waterjet Holdings, Inc.6, 7.625%, 2/1/2020		B2			530,000		557,825
							5,592,237
Road & Rail - 0.2%
Burlington Northern Santa Fe LLC, 3.00%, 4/1/2025		A3			2,000,000		2,016,976
Trading Companies & Distributors - 1.8%
Air Lease Corp., 5.625%, 4/1/2017		BBB	5		4,000,000		4,275,000
Air Lease Corp., 3.75%, 2/1/2022		BBB	5		1,000,000		1,016,214
Aircastle Ltd., 5.50%, 2/15/2022		Ba2			940,000		999,925
Aviation Capital Group Corp.6, 3.875%, 9/27/2016		BBB	5		3,795,000		3,875,864
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020		B2			605,000		617,856
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021		B2			950,000		940,500
International Lease Finance Corp., 8.625%, 9/15/2015		Ba2			335,000		344,631
International Lease Finance Corp., 5.75%, 5/15/2016		Ba2			540,000		561,330

7

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1		PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Industrials   (continued)
Trading Companies & Distributors   (continued)
International Lease Finance Corp.3, 2.221%, 6/15/2016		Ba2		693,000	$	693,000
International Lease Finance Corp., 8.75%, 3/15/2017		Ba2		830,000		917,150
						14,241,470
Total Industrials						45,338,721
Information Technology - 3.3%
Internet Software & Services - 0.9%
Alibaba Group Holding Ltd. (China)6, 2.50%, 11/28/2019		A1		3,900,000		3,901,342
Tencent Holdings Ltd. (China)6, 3.375%, 5/2/2019		A2		3,455,000		3,579,826
						7,481,168
IT Services - 0.5%
Xerox Corp., 2.80%, 5/15/2020		Baa2		3,500,000		3,531,409
Semiconductors & Semiconductor Equipment - 1.2%
KLA-Tencor Corp., 4.125%, 11/1/2021		Baa2		4,200,000		4,421,684
Xilinx, Inc., 3.00%, 3/15/2021		A3		5,180,000		5,343,631
						9,765,315
Technology Hardware, Storage & Peripherals - 0.7%
Apple, Inc., 2.40%, 5/3/2023		Aa1		1,690,000		1,669,248
EMC Corp., 2.65%, 6/1/2020		A1		3,715,000		3,815,026
						5,484,274
Total Information Technology						26,262,166
Materials - 4.9%
Chemicals - 2.3%
Ashland, Inc., 3.00%, 3/15/2016		Ba1		1,000,000		1,010,000
Consolidated Energy Finance S.A. (Trinidad-Tobago)6, 6.75%, 10/15/2019		B2		1,075,000		1,083,063
The Dow Chemical Co., 5.70%, 5/15/2018		Baa2		1,360,000		1,529,335
The Dow Chemical Co., 8.55%, 5/15/2019		Baa2		4,760,000		5,959,606
Eastman Chemical Co., 5.50%, 11/15/2019		Baa2		800,000		904,786
Eastman Chemical Co., 2.70%, 1/15/2020		Baa2		2,900,000		2,941,925
LyondellBasell Industries N.V., 5.00%, 4/15/2019		Baa1		1,400,000		1,543,871
The Mosaic Co., 4.25%, 11/15/2023		Baa1		3,180,000		3,391,368
						18,363,954
Containers & Packaging - 0.2%
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)3,6, 3.271%, 12/15/2019		Ba3		1,375,000		1,340,625
Metals & Mining - 1.7%
ArcelorMittal (Luxembourg), 10.60%, 6/1/2019		Ba1		640,000		782,800
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		A1		3,230,000		3,802,792

8

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Materials   (continued)
Metals & Mining   (continued)
Essar Steel Algoma, Inc. (Canada)6, 9.50%, 11/15/2019		Ba3			765,000	$	663,637
Lundin Mining Corp. (Canada)6, 7.875%, 11/1/2022		Ba2			690,000		719,325
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021		A3			4,000,000		4,218,900
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.6, 7.375%, 2/1/2020		B1			595,000		609,875
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		Baa3			3,010,000		2,993,839
							13,791,168
Paper & Forest Products - 0.7%
Domtar Corp., 4.40%, 4/1/2022		Baa3			3,565,000		3,684,941
Georgia-Pacific LLC6, 3.163%, 11/15/2021		Baa1			1,855,000		1,901,509
							5,586,450
Total Materials							39,082,197
Telecommunication Services - 1.7%
Diversified Telecommunication Services - 0.1%
Windstream Corp., 7.875%, 11/1/2017		B1			685,000		742,369
Wireless Telecommunication Services - 1.6%
Altice Financing S.A. (Luxembourg)6, 6.50%, 1/15/2022		B1			1,550,000		1,590,687
Crown Castle Towers LLC6, 6.113%, 1/15/2020		A2			4,070,000		4,642,975
Crown Castle Towers LLC6, 4.883%, 8/15/2020		A2			610,000		669,789
SBA Tower Trust6, 5.101%, 4/17/2017		A2			2,095,000		2,191,129
SBA Tower Trust6, 2.933%, 12/15/2017		A2			1,515,000		1,533,027
SBA Tower Trust6, 3.598%, 4/15/2018		Baa3			1,640,000		1,639,780
Sixsigma Networks Mexico S.A. de C.V. (Mexico)6, 8.25%, 11/7/2021		B1			740,000		773,522
							13,040,909
Total Telecommunication Services							13,783,278
Utilities - 1.2%
Gas Utilities - 0.2%
National Fuel Gas Co., 3.75%, 3/1/2023		Baa2			2,000,000		2,002,756
Independent Power and Renewable Electricity Producers - 1.0%
Abengoa Yield plc (Spain)6, 7.00%, 11/15/2019		WR	4		1,140,000		1,174,200
ContourGlobal Power Holdings S.A. (France)6, 7.125%, 6/1/2019		B3			1,095,000		1,116,900
Exelon Generation Co. LLC, 2.95%, 1/15/2020		Baa2			3,000,000		3,050,610
NRG Energy, Inc., 6.25%, 7/15/2022		B1			435,000		446,963
RJS Power Holdings LLC6, 5.125%, 7/15/2019		B1			1,190,000		1,172,150

9

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2/ SHARES		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Utilities   (continued)
Independent Power and Renewable Electricity Producers   (continued)
TerraForm Power Operating LLC6, 5.875%, 2/1/2023		B1			760,000	$	788,500
							7,749,323
Total Utilities							9,752,079
Total Non-Convertible Corporate Bonds (Identified Cost $553,396,731)							566,701,194
TOTAL CORPORATE BONDS (Identified Cost $556,972,543)							570,039,350
PREFERRED STOCKS - 1.2%
Financials - 1.2%
Banks - 0.4%
U.S. Bancorp., Series F (non-cumulative), 6.50%14		Baa1			114,010		3,387,237
Insurance - 0.4%
Principal Financial Group, Inc., Series A (non-cumulative), 5.563%15		Ba1			35,600		3,551,100
Real Estate Investment Trusts (REITS) - 0.4%
Public Storage, Series Q, 6.50%		A3			109,100		2,871,512
TOTAL PREFERRED STOCKS (Identified Cost $9,198,800)							9,809,849
ASSET-BACKED SECURITIES - 1.4%
Alterna Funding I LLC, Series 2014-1A, Class NOTE6, 1.639%, 2/15/2021		WR	4		1,405,372		1,407,128
FDIC Trust, Series 2011-R1, Class A6, 2.672%, 7/25/2026		WR	4		545,176		558,347
FNA Trust, Series 2014-1A, Class A6, 1.296%, 12/10/2022		WR	4		1,284,015		1,283,614
Hertz Vehicle Financing LLC, Series 2010-1A, Class A26, 3.74%, 2/25/2017		Aaa			2,360,000		2,406,020
NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A6, 1.92%, 10/15/2019		Aaa			1,900,000		1,908,102
SpringCastle America Funding LLC, Series 2014-AA, Class A6, 2.70%, 5/25/2023		WR	4		1,530,554		1,534,494
Starwood Retail Property Trust, Series 2014-STAR, Class A3,6, 1.402%, 11/15/2027		AAA	5		2,005,000		2,015,725
TOTAL ASSET-BACKED SECURITIES (Identified Cost $11,029,660)							11,113,430
COMMERCIAL MORTGAGE-BACKED SECURITIES - 13.8%
Americold LLC Trust, Series 2010-ARTA, Class A16, 3.847%, 1/14/2029		AAA	5		279,425		293,077
Banc of America Commercial Mortgage Trust, Series 2006-2, Class A43, 5.917%, 5/10/2045		AAA	5		1,550,000		1,595,181

10

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
COMMERCIAL MORTGAGE-BACKED SECURITIES   (continued)
Banc of America Commercial Mortgage Trust, Series 2006-4, Class A4, 5.634%, 7/10/2046		Aaa			2,055,833	$	2,131,794
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A4A, 4.871%, 9/11/2042		Aaa			515,094		517,556
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW13, Class A4, 5.54%, 9/11/2041		AAA	5		3,112,469		3,248,366
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Class AM3, 5.568%, 10/12/2041		A3			800,000		845,925
BWAY Mortgage Trust, Series 2015-1740, Class A6, 2.917%, 1/13/2035		AAA	5		2,000,000		1,993,268
CFCRE Commercial Mortgage Trust, Series 2011-C1, Class A26, 3.759%, 4/15/2044		Aaa			223,589		227,353
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.223%, 8/15/2048		AA	5		3,036,399		3,185,953
Commercial Mortgage Pass-Through Certificates, Series 2006-GG7, Class A43, 6.014%, 7/10/2038		Aaa			1,624,803		1,684,013
Commercial Mortgage Pass-Through Certificates, Series 2010-C1, Class A16, 3.156%, 7/10/2046		Aaa			712,056		715,895
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class A6, 3.178%, 2/10/2035		WR	4		2,000,000		2,047,084
Commercial Mortgage Pass-Through Certificates, Series 2015-LC19, Class A4, 3.183%, 2/10/2048		Aaa			3,800,000		3,925,107
Credit Suisse Commercial Mortgage Trust, Series 2006-C3, Class A33, 6.00%, 6/15/2038		Aaa			3,259,449		3,366,496
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A13,6, 2.50%, 5/25/2043		AAA	5		1,477,105		1,440,697
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A13,6, 2.13%, 2/25/2043		AAA	5		1,263,322		1,206,797
Extended Stay America Trust, Series 2013-ESH7, Class A276, 2.958%, 12/5/2031		Aaa			1,500,000		1,533,769
Fannie Mae Multifamily REMIC Trust, Series 2012-M13, Class ASQ2, 1.246%, 8/25/2017		WR	4		1,126,176		1,131,951
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class AX (IO)3, 1.558%, 11/25/2019		WR	4		7,609,731		425,369
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)3, 1.628%, 8/25/2020		WR	4		11,057,298		652,613
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)3, 1.413%, 4/25/2021		WR	4		7,965,827		502,277
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)3, 1.717%, 10/25/2021		WR	4		5,087,608		424,424
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)3, 1.576%, 12/25/2021		WR	4		6,742,966		517,739
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)3, 1.633%, 6/25/2022		WR	4		18,268,029		1,587,985
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)3, 0.336%, 4/25/2023		Aaa			61,225,828		940,429

11

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
COMMERCIAL MORTGAGE-BACKED SECURITIES   (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)3, 0.236%, 5/25/2023		WR	4		36,202,919	$	326,369
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, Class X1 (IO)3, 1.714%, 10/25/2018		Aaa			8,186,291		404,239
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K-P01, Class A2, 1.72%, 1/25/2019		WR	4		1,480,000		1,488,396
FREMF Mortgage Trust, Series 2011-K701, Class B3,6, 4.436%, 7/25/2048		A	5		950,000		1,004,436
FREMF Mortgage Trust, Series 2011-K702, Class B3,6, 4.936%, 4/25/2044		A3			230,000		247,070
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)6, 0.10%, 6/25/2046		WR	4		95,459,454		594,903
FREMF Mortgage Trust, Series 2013-K712, Class B3,6, 3.484%, 5/25/2045		A	5		1,300,000		1,337,599
FREMF Mortgage Trust, Series 2014-K716, Class B3,6, 4.086%, 8/25/2047		A2			2,550,000		2,654,677
FREMF Mortgage Trust, Series 2015-K42, Class B3,6, 3.985%, 12/25/2024		A3			1,900,000		1,949,408
FREMF Mortgage Trust, Series 2015-K43, Class B3,6, 3.863%, 2/25/2048		WR	4		1,500,000		1,532,875
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class BFX6, 3.382%, 12/15/2019		AA	5		2,000,000		2,037,222
GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX6, 3.382%, 12/15/2019		BBB	5		1,150,000		1,137,626
GS Mortgage Securities Trust, Series 2013-GC14, Class A5, 4.243%, 8/10/2046		Aaa			1,500,000		1,679,720
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class A43, 5.423%, 1/12/2043		Aaa			850,000		859,869
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-CB13, Class AM3, 5.464%, 1/12/2043		Baa1			460,000		470,471
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP5, Class A43, 5.413%, 12/15/2044		Aaa			1,124,430		1,136,721
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class A4, 5.552%, 5/12/2045		Aaa			2,909,862		3,016,456
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class A43, 6.057%, 4/15/2045		Aaa			1,075,000		1,110,796
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A36, 4.07%, 11/15/2043		AAA	5		750,000		818,521
JP Morgan Mortgage Trust, Series 2013-1, Class 1A23,6, 3.00%, 3/25/2043		WR	4		1,042,338		1,039,569
JP Morgan Mortgage Trust, Series 2013-2, Class A23,6, 3.50%, 5/25/2043		AAA	5		1,222,624		1,253,191
JP Morgan Mortgage Trust, Series 2014-2, Class 1A13,6, 3.00%, 6/25/2029		AAA	5		1,616,385		1,658,865
LSTAR Commercial Mortgage Trust, Series 2014-2, Class A26, 2.767%, 1/20/2041		Aaa			1,425,000		1,453,735

12

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1			PRINCIPAL AMOUNT2		VALUE
COMMERCIAL MORTGAGE-BACKED SECURITIES   (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A43, 4.363%, 8/15/2046		Aaa			3,725,000	$	4,170,368
Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4A3, 5.23%, 9/15/2042		Aaa			143,688		144,115
Morgan Stanley Capital I Trust, Series 2006-HQ10, Class A4, 5.328%, 11/12/2041		Aaa			1,677,677		1,758,176
Morgan Stanley Capital I Trust, Series 2011-C1, Class A26, 3.884%, 9/15/2047		AAA	5		200,000		203,020
Motel 6 Trust, Series 2015-MTL6, Class B6, 3.298%, 2/5/2030		WR	4		1,900,000		1,917,577
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX33,6, 3.75%, 11/25/2054		AAA	5		2,022,779		2,084,953
OBP Depositor LLC Trust, Series 2010-OBP, Class A6, 4.646%, 7/15/2045		AAA	5		420,000		471,487
Resource Capital Corp., Series 2013-CRE1, Class A (Cayman Islands)3,6, 1.482%, 12/15/2028		AAA	5		403,373		403,286
SCG Trust, Series 2013-SRP1, Class AJ3,6, 2.132%, 11/15/2026		AAA	5		2,000,000		2,006,190
Sequoia Mortgage Trust, Series 2011-2, Class A13, 3.90%, 9/25/2041		WR	4		658,354		684,004
Sequoia Mortgage Trust, Series 2012-2, Class A23, 3.50%, 4/25/2042		WR	4		1,211,904		1,228,763
Sequoia Mortgage Trust, Series 2013-2, Class A13, 1.874%, 2/25/2043		AAA	5		1,178,006		1,103,692
Sequoia Mortgage Trust, Series 2013-7, Class A23, 3.00%, 6/25/2043		AAA	5		908,567		899,339
Sequoia Mortgage Trust, Series 2013-8, Class A13, 3.00%, 6/25/2043		Aaa			1,259,252		1,247,251
U.S. Small Business Administration, Series 2015-10A, Class 1, 2.517%, 3/10/2025		WR	4		3,300,000		3,312,791
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX6, 4.004%, 9/13/2028		AAA	5		1,195,000		1,305,939
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A43, 5.43%, 10/15/2044		Aaa			855,371		861,548
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class AM3, 5.489%, 12/15/2044		Baa3			1,060,000		1,079,181
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class A33, 6.011%, 6/15/2045		Aaa			1,220,000		1,272,635
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A26, 4.393%, 11/15/2043		Aaa			1,350,000		1,493,632
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A43,6, 4.869%, 2/15/2044		Aaa			1,550,000		1,763,902
WF-RBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		Aaa			3,850,000		4,268,495
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class A5, 3.995%, 5/15/2047		Aaa			5,556,000		6,107,711
WinWater Mortgage Loan Trust, Series 2015-03, Class A53,6, 3.50%, 3/20/2045		Aaa			2,375,000		2,445,137
WinWater Mortgage Loan Trust, Series 2015-1, Class A13,6, 3.50%, 1/20/2045		WR	4		1,972,660		2,021,413
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $109,440,752)							109,608,457

13

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	CREDIT RATING1		PRINCIPAL       AMOUNT2/       SHARES		VALUE
FOREIGN GOVERNMENT BONDS - 3.5%
Brazilian Government International Bond (Brazil), 8.875%, 10/14/2019		Baa2		1,300,000	$	1,605,500
Chile Government International Bond (Chile), 5.50%, 8/5/2020		Aa3	CLP	1,800,000,000		3,071,212
Malaysia Government Bond (Malaysia), 4.262%, 9/15/2016		A3	MYR	8,905,000		2,440,145
Mexican Government Bond (Mexico), 8.00%, 12/17/2015		A3	MXN	55,455,000		3,754,569
Mexican Government Bond (Mexico), 5.00%, 6/15/2017		A3	MXN	64,000,000		4,277,618
Mexican Government Bond (Mexico), 8.00%, 6/11/2020		A3	MXN	35,000,000		2,566,504
Mexican Government Bond (Mexico), 6.50%, 6/9/2022		A3	MXN	126,000,000		8,634,620
Russian Foreign Bond - Eurobond (Russia)6, 5.00%, 4/29/2020		Ba1		1,200,000		1,201,500
TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $30,978,795)						27,551,668
MUNICIPAL BONDS - 0.7%
Puerto Rico Sales Tax Financing Corp., Public Impt., Series A, Revenue Bond, 5.50%, 8/1/2021		Caa1		3,625,000		2,740,971
Puerto Rico Sales Tax Financing Corp., Public Impt., Series A, Revenue Bond, 5.50%, 8/1/2022		Caa1		3,750,000		2,643,000
TOTAL MUNICIPAL BONDS (Identified Cost $6,931,708)						5,383,971
MUTUAL FUND - 0.0%*
John Hancock Preferred Income Fund (Identified Cost $139,390)				10,500		222,285
U.S. GOVERNMENT AGENCIES - 3.9%
Mortgage-Backed Securities - 3.9%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021				992,936		1,079,266
Fannie Mae, Pool #995233, 5.50%, 10/1/2021				83,057		89,819
Fannie Mae, Pool #888017, 6.00%, 11/1/2021				97,451		106,647
Fannie Mae, Pool #995329, 5.50%, 12/1/2021				686,919		749,146
Fannie Mae, Pool #888136, 6.00%, 12/1/2021				121,655		132,731
Fannie Mae, Pool #888810, 5.50%, 11/1/2022				1,200,175		1,312,326
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024				75,071		83,511
Fannie Mae, Pool #MA0115, 4.50%, 7/1/2029				215,281		235,936
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034				647,015		712,192
Fannie Mae, Pool #MA1890, 4.00%, 5/1/2034				1,382,890		1,494,045
Fannie Mae, Pool #918516, 5.50%, 6/1/2037				371,989		418,589
Fannie Mae, Pool #933731, 5.50%, 4/1/2038				427,069		480,595
Fannie Mae, Pool #889624, 5.50%, 5/1/2038				505,934		569,313
Fannie Mae, Pool #995876, 6.00%, 11/1/2038				1,258,082		1,434,458
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039				509,707		573,559
Fannie Mae, Pool #AB4300, 3.50%, 1/1/2042				1,916,858		2,015,961
Fannie Mae, Pool #AQ7871, 3.50%, 12/1/2042				1,818,370		1,912,526
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020				379,526		405,995

14

Investment Portfolio - March 31, 2015

(unaudited)

UNCONSTRAINED BOND SERIES (FORMERLY KNOWN AS CORE PLUS BOND SERIES)	PRINCIPAL       AMOUNT2/       SHARES		VALUE
U.S. GOVERNMENT AGENCIES   (continued)
Mortgage-Backed Securities   (continued)
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		118,980	$	130,644
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		86,431		94,789
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		65,741		72,607
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		117,353		129,614
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		51,851		57,168
Freddie Mac, Pool #C91359, 4.50%, 2/1/2031		477,782		522,975
Freddie Mac, Pool #D98711, 4.50%, 7/1/2031		1,139,051		1,247,155
Freddie Mac, Pool #C91746, 4.50%, 12/1/2033		1,165,949		1,278,786
Freddie Mac, Pool #C91754, 4.50%, 3/1/2034		329,048		360,992
Freddie Mac, Pool #K92054, 4.00%, 10/1/2034		1,366,108		1,474,798
Freddie Mac, Pool #C91811, 4.00%, 1/1/2035		2,095,454		2,259,598
Freddie Mac, Pool #G07655, 5.50%, 12/1/2035		1,248,530		1,405,829
Freddie Mac, Pool #G04176, 5.50%, 5/1/2038		578,693		649,521
Freddie Mac, Pool #A78227, 5.50%, 6/1/2038		623,519		699,392
Freddie Mac, Pool #G05956, 5.50%, 7/1/2038		457,369		513,242
Freddie Mac, Pool #G05671, 5.50%, 8/1/2038		50,043		56,175
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		408,613		463,778
Freddie Mac, Pool #G07589, 5.50%, 6/1/2041		1,529,403		1,715,056
Freddie Mac, Pool #Q17513, 3.50%, 4/1/2043		1,918,522		2,014,917
Freddie Mac, Pool #C09068, 3.50%, 11/1/2044		1,420,801		1,490,553
TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $29,734,475)				30,444,204
SHORT-TERM INVESTMENT - 2.5%
Dreyfus Cash Management, Inc. - Institutional Shares16, 0.03%, (Identified Cost $20,098,146)		20,098,146		20,098,146
TOTAL INVESTMENTS - 99.4% (Identified Cost $778,087,848)				787,849,075
OTHER ASSETS, LESS LIABILITIES - 0.6%				4,867,238
NET ASSETS - 100%			$	792,716,313

CLP - Chilean Peso

Impt. - Improvement

IO - Interest only

MXN - Mexican Peso

MYR - Malaysian Ringgit

*Less than 0.1%.

¹Credit ratings from Moody’s (unaudited).

²Amount is stated in USD unless otherwise noted.

³The coupon rate is floating and is the effective rate as of March 31, 2015.

⁴Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁵Credit ratings from S&P (unaudited).

15

Investment Portfolio - March 31, 2015

(unaudited)

⁶Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under rule 144A and have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $184,599,899 or 23.3%, of the Series’ net assets as of March 31, 2015.

⁷Security is perpetual in nature and has no stated maturity date.

⁸The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on USD Swap Semi 30/360 5-Year plus a spread, in May 2018.

⁹The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on USD Swap Semi 30/360 5-Year plus a spread, in May 2019.

¹⁰The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on USD Swap Semi 30/360 5-Year plus a spread, in September 2019.

¹¹The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on U.S. Treasury Yield Curve Rate Treasury Note Constant Maturity 5 Year in June 2017.

¹²The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2022.

¹³Represents a Payment-In-Kind bond.

¹⁴The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in January 2022.

¹⁵The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2015.

¹⁶Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	778,087,848
Unrealized appreciation		20,455,901
Unrealized depreciation		(10,694,674	)
Net unrealized appreciation	$	9,761,227

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Preferred securities:
Financials	$	9,809,849	$	9,809,849	$	—	$	—
Debt securities:
Loan assignments		3,577,715		—		3,577,715		—
U.S. Treasury and other U.S. Government agencies		30,444,204		—		30,444,204		—
States and political subdivisions (municipals)		5,383,971		—		5,383,971		—
Corporate debt:
Consumer Discretionary		59,876,655		—		59,876,655		—
Consumer Staples		15,430,865		—		15,430,865		—
Energy		73,320,186		—		73,320,186		—

16

Investment Portfolio - March 31, 2015

(unaudited)

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Financials	$	266,020,970	$	—	$	266,020,970	$	—
Health Care		17,834,077		—		17,834,077		—
Industrials		45,338,721		—		45,338,721		—
Information Technology		26,262,166		—		26,262,166		—
Materials		39,082,197		—		39,082,197		—
Telecommunication Services		13,783,278		—		13,783,278		—
Utilities		9,752,079		—		9,752,079		—
Convertible corporate debt:
Consumer Discretionary		3,338,156		—		3,338,156		—
Asset-backed securities		11,113,430		—		11,113,430		—
Commercial mortgage-backed securities		109,608,457		—		109,608,457		—
Foreign government bonds		27,551,668		—		27,551,668		—
Mutual funds		20,320,431		20,320,431		—		—
Total assets	$	787,849,075	$	30,130,280	$	757,718,795	$	—

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

17

Investment Portfolio - March 31, 2015

(unaudited)

HIGH YIELD BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
LOAN ASSIGNMENTS - 6.9%
Alere, Inc., Term B2, 4.25%, 6/30/2017		WR	3	$	3,145,750	$	3,148,550
CPI International, Inc., 1st Lien Term Loan B2, 4.25%, 11/17/2017		Ba3			2,984,925		2,971,881
Crown Castle Operating Co., 1st Lien Term Loan B22, 3.00%, 1/31/2021		Ba2			3,949,992		3,937,470
NRG Energy, Inc. Term B2, 2.75%, 7/1/2018		Baa3			3,954,609		3,940,610
Valeant Pharmaceuticals International, Inc., Term Loan D22, 3.50%, 2/13/2019		Ba1			4,000,000		4,006,880
TOTAL LOAN ASSIGNMENTS (Identified Cost $17,998,834)							18,005,391
CORPORATE BONDS - 84.4%
Non-Convertible Corporate Bonds - 84.4%
Consumer Discretionary - 12.1%
Auto Components - 1.0%
Icahn Enterprises LP - Icahn Enterprises Finance Corp., 5.875%, 2/1/2022		Ba3			2,455,000		2,528,650
Hotels, Restaurants & Leisure - 2.5%
Cleopatra Finance Ltd. (Italy)4, 6.25%, 2/15/2022		Ba2			2,635,000		2,575,712
Wynn Las Vegas LLC - Wynn Las Vegas Capital Corp.4, 5.50%, 3/1/2025		Ba2			3,790,000		3,837,375
							6,413,087
Household Durables - 4.7%
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)4, 6.125%, 7/1/2022		B2			2,545,000		2,634,075
Meritage Homes Corp., 7.15%, 4/15/2020		Ba3			1,460,000		1,573,150
Meritage Homes Corp., 7.00%, 4/1/2022		Ba3			2,250,000		2,413,125
TRI Pointe Holdings, Inc.4, 4.375%, 6/15/2019		B1			2,535,000		2,474,794
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023		B2			3,180,000		3,044,850
							12,139,994
Media - 3.9%
Cogeco Cable, Inc. (Canada)4, 4.875%, 5/1/2020		BB	5		3,830,000		3,877,875
Columbus International, Inc. (Barbados)4, 7.375%, 3/30/2021		B2			3,440,000		3,616,300
Sirius XM Radio, Inc.4, 5.375%, 4/15/2025		Ba3			2,650,000		2,663,250
							10,157,425
Total Consumer Discretionary							31,239,156
Consumer Staples - 9.4%
Beverages - 1.0%
DS Services of America, Inc.4, 10.00%, 9/1/2021		Ba3			2,115,000		2,485,125
Food & Staples Retailing - 3.3%
C&S Group Enterprises LLC4, 5.375%, 7/15/2022		B1			3,720,000		3,636,300
KeHE Distributors LLC - KeHE Finance Corp.4, 7.625%, 8/15/2021		B3			2,305,000		2,446,181

1

Investment Portfolio - March 31, 2015

(unaudited)

HIGH YIELD BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Consumer Staples   (continued)
Food & Staples Retailing   (continued)
Shearer’s Foods LLC - Chip Finance Corp.4, 9.00%, 11/1/2019		B1		$	2,390,000	$	2,605,100
							8,687,581
Food Products - 1.3%
Pinnacle Operating Corp.4, 9.00%, 11/15/2020		Caa1			3,435,000		3,469,350
Household Products - 2.6%
HRG Group, Inc., 7.875%, 7/15/2019		Ba3			3,385,000		3,562,713
HRG Group, Inc., 7.75%, 1/15/2022		Caa1			3,100,000		3,084,500
							6,647,213
Tobacco - 1.2%
Vector Group Ltd., 7.75%, 2/15/2021		Ba3			2,970,000		3,159,337
Total Consumer Staples							24,448,606
Energy - 8.9%
Energy Equipment & Services - 3.4%
Calfrac Holdings LP (Canada)4, 7.50%, 12/1/2020		B1			2,470,000		2,192,125
Parker Drilling Co., 6.75%, 7/15/2022		B1			3,435,000		2,722,237
Seventy Seven Operating LLC, 6.625%, 11/15/2019		Ba3			2,395,000		1,790,263
Shelf Drilling Holdings Ltd. (United Arab Emirates)4, 8.625%, 11/1/2018		Ba3			2,590,000		2,117,325
							8,821,950
Oil, Gas & Consumable Fuels - 5.5%
Energy XXI Gulf Coast, Inc., 7.50%, 12/15/2021		Caa3			2,445,000		880,200
FTS International, Inc.4, 6.25%, 5/1/2022		B2			2,470,000		1,815,450
Ithaca Energy, Inc. (United Kingdom)4, 8.125%, 7/1/2019		Caa2			1,350,000		1,069,875
PBF Holding Co. LLC - PBF Finance Corp., 8.25%, 2/15/2020		Ba3			3,600,000		3,802,500
Peabody Energy Corp.4, 10.00%, 3/15/2022		B2			2,650,000		2,358,500
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021		Ba3			4,155,000		4,182,257
							14,108,782
Total Energy							22,930,732
Financials - 17.7%
Banks - 2.9%
CIT Group, Inc., 5.25%, 3/15/2018		B1			2,535,000		2,623,725
Popular, Inc., 7.00%, 7/1/2019		B2			4,840,000		4,864,200
							7,487,925
Capital Markets - 1.4%
Drawbridge Special Opportunities Fund LP - Drawbridge Special Opportunities Finance4, 5.00%, 8/1/2021		BBB	5		3,725,000		3,706,375
Consumer Finance - 2.7%
CNG Holdings, Inc.4, 9.375%, 5/15/2020		Caa1			2,600,000		1,865,500

2

Investment Portfolio - March 31, 2015

(unaudited)

HIGH YIELD BOND SERIES	CREDIT RATING1		PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Consumer Finance   (continued)
Navient Corp., 6.125%, 3/25/2024		Ba3	$	5,365,000	$	5,150,400
						7,015,900
Diversified Financial Services - 2.0%
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 7.375%, 4/1/2020		B1		2,970,000		2,880,900
Jefferies Finance LLC - JFIN Co-Issuer Corp.4, 6.875%, 4/15/2022		B1		2,400,000		2,232,000
						5,112,900
Real Estate Investment Trusts (REITS) - 3.6%
DuPont Fabros Technology LP, 5.875%, 9/15/2021		Ba1		3,525,000		3,639,563
Qualitytech LP - QTS Finance Corp.4, 5.875%, 8/1/2022		B2		2,437,000		2,504,017
Rialto Holdings LLC - Rialto Corp.4, 7.00%, 12/1/2018		B2		3,085,000		3,208,400
						9,351,980
Real Estate Management & Development - 1.9%
Forestar USA Real Estate Group, Inc.4, 8.50%, 6/1/2022		B2		2,350,000		2,267,750
Greystar Real Estate Partners LLC4, 8.25%, 12/1/2022		B2		2,500,000		2,618,750
						4,886,500
Thrifts & Mortgage Finance - 3.2%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017		Ba3		3,125,000		3,210,938
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.4, 5.875%, 8/1/2021		Ba3		3,335,000		3,151,575
Prospect Holding Co. LLC - Prospect Holding Finance Co.4, 10.25%, 10/1/2018		B2		2,470,000		1,827,800
						8,190,313
Total Financials						45,751,893
Health Care - 2.1%
Health Care Equipment & Supplies - 1.0%
Halyard Health, Inc.4, 6.25%, 10/15/2022		B2		2,380,000		2,493,050
Health Care Providers & Services - 1.1%
Fresenius US Finance II, Inc. (Germany)4, 9.00%, 7/15/2015		Ba1		2,925,000		2,983,500
Total Health Care						5,476,550
Industrials - 16.9%
Aerospace & Defense - 1.5%
DigitalGlobe, Inc.4, 5.25%, 2/1/2021		B1		3,779,000		3,779,000
Air Freight & Logistics - 1.0%
Neovia Logistics Intermediate Holdings LLC - Logistics Intermediate Finance Corp.4,6, 10.00%, 2/15/2018		Caa2		2,485,000		2,497,425
Airlines - 4.3%
Allegiant Travel Co., 5.50%, 7/15/2019		B1		3,645,000		3,736,125

3

Investment Portfolio - March 31, 2015

(unaudited)

HIGH YIELD BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Industrials   (continued)
Airlines   (continued)
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B4, 6.375%, 1/2/2016		Ba1		$	2,290,000	$	2,360,074
Gol LuxCo S.A. (Brazil)4, 8.875%, 1/24/2022		B	5		3,710,000		2,689,750
United Continental Holdings, Inc., 6.375%, 6/1/2018		B3			2,295,000		2,429,831
							11,215,780
Building Products - 1.0%
Griffon Corp., 5.25%, 3/1/2022		B1			2,550,000		2,515,830
Commercial Services & Supplies - 0.7%
Modular Space Corp.4, 10.25%, 1/31/2019		B3			2,390,000		1,900,050
Construction & Engineering - 1.2%
Abengoa Finance S.A.U. (Spain)4, 7.75%, 2/1/2020		B2			3,295,000		3,163,200
Machinery - 3.4%
CNH Industrial Capital LLC, 3.875%, 11/1/2015		Ba1			2,720,000		2,740,400
SPL Logistics Escrow LLC - SPL Logistics Finance Corp.4, 8.875%, 8/1/2020		B2			2,760,000		2,904,900
Waterjet Holdings, Inc.4, 7.625%, 2/1/2020		B2			2,925,000		3,078,563
							8,723,863
Trading Companies & Distributors - 3.8%
Aircastle Ltd., 5.50%, 2/15/2022		Ba2			2,446,000		2,601,933
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020		B2			3,485,000		3,559,056
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021		B2			1,600,000		1,584,000
International Lease Finance Corp., 8.75%, 3/15/2017		Ba2			2,000,000		2,210,000
							9,954,989
Total Industrials							43,750,137
Materials - 7.0%
Chemicals - 1.4%
Consolidated Energy Finance S.A. (Trinidad-Tobago)4, 6.75%, 10/15/2019		B2			3,610,000		3,637,075
Containers & Packaging - 1.7%
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)2,4, 3.271%, 12/15/2019		Ba3			4,365,000		4,255,875
Metals & Mining - 3.9%
ArcelorMittal (Luxembourg), 10.60%, 6/1/2019		Ba1			2,130,000		2,605,256
Essar Steel Algoma, Inc. (Canada)4, 9.50%, 11/15/2019		Ba3			2,405,000		2,086,337
Lundin Mining Corp. (Canada)4, 7.875%, 11/1/2022		Ba2			2,450,000		2,554,125

4

Investment Portfolio - March 31, 2015

(unaudited)

HIGH YIELD BOND SERIES	CREDIT RATING1			PRINCIPAL AMOUNT/ SHARES		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Materials   (continued)
Metals & Mining   (continued)
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.4, 7.375%, 2/1/2020		B1		$	2,890,000	$	2,962,250
							10,207,968
Total Materials							18,100,918
Telecommunication Services - 4.9%
Diversified Telecommunication Services - 1.0%
Windstream Corp., 7.875%, 11/1/2017		B1			2,525,000		2,736,469
Wireless Telecommunication Services - 3.9%
Altice Financing S.A. (Luxembourg)4, 6.50%, 1/15/2022		B1			4,960,000		5,090,200
Sixsigma Networks Mexico S.A. de C.V. (Mexico)4, 8.25%, 11/7/2021		B1			2,435,000		2,545,305
T-Mobile USA, Inc., 6.836%, 4/28/2023		Ba3			2,250,000		2,368,125
							10,003,630
Total Telecommunication Services							12,740,099
Utilities - 5.4%
Independent Power and Renewable Electricity Producers - 5.4%
Abengoa Yield plc (Spain)4, 7.00%, 11/15/2019		WR	3		3,845,000		3,960,350
ContourGlobal Power Holdings S.A. (France)4, 7.125%, 6/1/2019		B3			3,560,000		3,631,200
NRG Energy, Inc., 6.25%, 7/15/2022		B1			2,400,000		2,466,000
RJS Power Holdings LLC4, 5.125%, 7/15/2019		B1			3,980,000		3,920,300
Total Utilities							13,977,850
Total Non-Convertible Corporate Bonds (Identified Cost $224,608,911)							218,415,941
MUTUAL FUNDS - 3.7%
BlackRock Corporate High Yield Fund, Inc.					103,000		1,149,480
BlackRock Debt Strategies Fund, Inc.					389,950		1,454,514
iShares iBoxx $ High Yield Corporate Bond ETF					55,510		5,029,761
SPDR Barclays High Yield Bond ETF					47,100		1,847,262
TOTAL MUTUAL FUNDS (Identified Cost $9,434,401)							9,481,017
SHORT-TERM INVESTMENT - 3.6%
Dreyfus Cash Management, Inc. - Institutional Shares7, 0.03%, (Identified Cost $9,324,252)					9,324,252		9,324,252

5

Investment Portfolio - March 31, 2015

(unaudited)

HIGH YIELD BOND SERIES	VALUE
TOTAL INVESTMENTS - 98.6% (Identified Cost $261,366,398)	$	255,226,601
OTHER ASSETS, LESS LIABILITIES - 1.4%		3,646,706
NET ASSETS - 100%	$	258,873,307

ETF - Exchange-Traded Fund

¹Credit ratings from Moody’s (unaudited).

²The coupon rate is floating and is the effective rate as of March 31, 2015.

³Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁴Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under rule 144A and have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $134,630,308 or 52.0% of the Series’ net assets as of March 31, 2015.

⁵Credit ratings from S&P (unaudited).

⁶Represents a Payment-In-Kind bond.

⁷Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	261,589,668
Unrealized appreciation		3,103,521
Unrealized depreciation		(9,466,588	)
Net unrealized depreciation	$	(6,363,067	)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

6

Investment Portfolio - March 31, 2015

(unaudited)

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Debt securities:
Loan assignments	$	18,005,391	$	—	$	18,005,391	$	—
Corporate debt:
Consumer Discretionary		31,239,156		—		31,239,156		—
Consumer Staples		24,448,606		—		24,448,606		—
Energy		22,930,732		—		22,930,732		—
Financials		45,751,893		—		45,751,893		—
Health Care		5,476,550		—		5,476,550		—
Industrials		43,750,137		—		43,750,137		—
Materials		18,100,918		—		18,100,918		—
Telecommunication Services		12,740,099		—		12,740,099		—
Utilities		13,977,850		—		13,977,850		—
Mutual funds		18,805,269		18,805,269		—		—
Total assets	$	255,226,601	$	18,805,269	$	236,421,332	$	—

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

7

Investment Portfolio - March 31, 2015

(unaudited)

INFLATION FOCUS EQUITY SERIES	SHARES		VALUE
COMMON STOCKS - 93.4%
Consumer Discretionary - 3.7%
Media - 3.7%
Sinclair Broadcast Group, Inc. - Class A		34,970	$	1,098,408
Tribune Media Co. - Class A		8,250		501,683
Twenty-First Century Fox, Inc. - Class A		57,210		1,935,986
Total Consumer Discretionary				3,536,077
Consumer Staples - 4.0%
Beverages - 1.9%
SABMiller plc (United Kingdom)1		34,730		1,819,211
Food Products - 2.1%
Ingredion, Inc.		25,080		1,951,726
Total Consumer Staples				3,770,937
Energy - 19.2%
Energy Equipment & Services - 4.3%
Cameron International Corp.*		24,690		1,114,013
Core Laboratories N.V. - ADR		15,330		1,601,832
Schlumberger Ltd.		10,610		885,298
TGS Nopec Geophysical Co. ASA (Norway)1		22,110		489,370
				4,090,513
Oil, Gas & Consumable Fuels - 14.9%
Cameco Corp. (Canada)		60,760		846,721
Cloud Peak Energy, Inc.*		214,570		1,248,797
Concho Resources, Inc.*		6,620		767,390
Continental Resources, Inc.*		17,220		751,997
Denbury Resources, Inc.		83,070		605,580
Diamondback Energy, Inc.*		10,480		805,283
Encana Corp. (Canada)		50,250		560,287
Energen Corp.		10,940		722,040
EOG Resources, Inc.		13,900		1,274,491
Hess Corp.		19,330		1,311,927
Koninklijke Vopak N.V. (Netherlands)1		33,870		1,869,173
Parsley Energy, Inc. - Class A*		43,240		690,975
Peabody Energy Corp.		253,840		1,248,893
Pioneer Natural Resources Co.		4,700		768,497
RSP Permian, Inc.*		25,480		641,841
				14,113,892
Total Energy				18,204,405
Financials - 7.5%
Diversified Financial Services - 1.1%
Berkshire Hathaway, Inc. - Class B*		6,830		985,706
Real Estate Investment Trusts (REITS) - 4.2%
Plum Creek Timber Co., Inc.		47,640		2,069,958

1

Investment Portfolio - March 31, 2015

(unaudited)

INFLATION FOCUS EQUITY SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Financials   (continued)
Real Estate Investment Trusts (REITS)   (continued)
Weyerhaeuser Co.		58,580	$	1,941,927
				4,011,885
Real Estate Management & Development - 2.2%
Realogy Holdings Corp.*		46,450		2,112,546
Total Financials				7,110,137
Health Care - 2.1%
Health Care Equipment & Supplies - 1.1%
Neogen Corp.*		22,460		1,049,556
Health Care Providers & Services - 1.0%
Air Methods Corp.*		19,810		922,948
Total Health Care				1,972,504
Industrials - 25.1%
Commercial Services & Supplies - 2.3%
Rollins, Inc.		45,495		1,125,091
Stericycle, Inc.*		7,470		1,049,012
				2,174,103
Electrical Equipment - 1.1%
Franklin Electric Co., Inc.		26,080		994,691
Machinery - 14.6%
AGCO Corp.		39,220		1,868,441
Deere & Co.		9,170		804,117
FANUC Corp. (Japan)1		8,510		1,857,850
Flowserve Corp.		16,330		922,482
Joy Global, Inc.		27,920		1,093,906
Pall Corp.		14,700		1,475,733
Pentair plc (United Kingdom)		46,020		2,894,198
Xylem, Inc.		83,410		2,921,018
				13,837,745
Road & Rail - 2.7%
Kansas City Southern		12,080		1,233,126
Union Pacific Corp.		12,390		1,341,961
				2,575,087
Trading Companies & Distributors - 4.4%
Brenntag AG (Germany)1		38,020		2,271,480
Fastenal Co.		45,220		1,873,691
				4,145,171
Total Industrials				23,726,797

2

Investment Portfolio - March 31, 2015

(unaudited)

INFLATION FOCUS EQUITY SERIES	SHARES		VALUE
COMMON STOCKS   (continued)
Information Technology - 12.8%
Electronic Equipment, Instruments & Components - 1.3%
Cognex Corp.*		24,140	$	1,197,103
IT Services - 5.6%
MasterCard, Inc. - Class A		31,740		2,742,019
Visa, Inc. - Class A		39,880		2,608,551
				5,350,570
Semiconductors & Semiconductor Equipment - 0.8%
GCL-Poly Energy Holdings Ltd. (Hong Kong)*1		2,781,410		736,381
Software - 4.6%
Aspen Technology, Inc.*		14,350		552,331
AVEVA Group plc (United Kingdom)1		83,630		1,828,093
Computer Modelling Group Ltd. (Canada)		106,080		1,065,365
Nuance Communications, Inc.*		63,790		915,386
				4,361,175
Technology Hardware, Storage & Peripherals - 0.5%
Stratasys Ltd.*		9,800		517,244
Total Information Technology				12,162,473
Materials - 19.0%
Chemicals - 12.2%
Monsanto Co.		22,940		2,581,668
The Mosaic Co.		38,940		1,793,576
Novozymes A/S - Class B (Denmark)1		21,740		992,409
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile)		53,210		971,083
Syngenta AG (Switzerland)1		5,490		1,865,110
Tronox Ltd. - Class A		44,020		894,927
Umicore S.A. (Belgium)1		36,650		1,530,689
Wacker Chemie AG (Germany)1		8,400		969,598
				11,599,060
Metals & Mining - 6.8%
Alcoa, Inc.		44,650		576,878
Alumina Ltd. (Australia)1		1,002,880		1,220,417
Iluka Resources Ltd. (Australia)1		166,780		1,075,051
Norsk Hydro ASA (Norway)1		131,070		688,948
Stillwater Mining Co.*		155,020		2,002,858
Teck Resources Ltd. - Class B (Canada)		62,980		864,715
				6,428,867
Total Materials				18,027,927
TOTAL COMMON STOCKS (Identified Cost $86,497,551)				88,511,257

3

Investment Portfolio - March 31, 2015

(unaudited)

INFLATION FOCUS EQUITY SERIES	SHARES		VALUE
SHORT-TERM INVESTMENT - 6.7%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.03%, (Identified Cost $6,317,122)		6,317,122	$	6,317,122
TOTAL INVESTMENTS - 100.1% (Identified Cost $92,814,673)				94,828,379
LIABILITIES, LESS OTHER ASSETS - (0.1%)				(64,257	)
NET ASSETS - 100%			$	94,764,122

ADR - American Depositary Receipt

*Non-income producing security.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	93,088,005
Unrealized appreciation		10,611,413
Unrealized depreciation		(8,871,039	)
Net unrealized appreciation	$	1,740,374

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

4

Investment Portfolio - March 31, 2015

(unaudited)

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	3,536,077	$	3,536,077	$	—	$	—
Consumer Staples		3,770,937		1,951,726		1,819,211		—
Energy		18,204,405		15,845,862		2,358,543		—
Financials		7,110,137		7,110,137		—		—
Health Care		1,972,504		1,972,504		—		—
Industrials		23,726,797		19,597,467		4,129,330		—
Information Technology		12,162,473		9,597,999		2,564,474		—
Materials		18,027,927		9,685,705		8,342,222		—
Mutual fund		6,317,122		6,317,122		—		—
Total assets	$	94,828,379	$	75,614,599	$	19,213,780	$	—

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

5

Investment Portfolio - March 31, 2015

(unaudited)

EMERGING MARKETS SERIES	SHARES		VALUE
COMMON STOCKS - 94.8%
Consumer Discretionary - 15.3%
Auto Components - 2.3%
Halla Holdings Corp. (South Korea)1		11,243	$	716,554
Mando Corp. (South Korea)1		12,266		1,765,308
				2,481,862
Automobiles - 1.9%
Hyundai Motor Co. (South Korea)1		13,780		2,086,866
Diversified Consumer Services - 3.6%
Kroton Educacional S.A. (Brazil)		1,223,050		3,958,611
Hotels, Restaurants & Leisure - 0.7%
Arcos Dorados Holdings, Inc. - Class A (Argentina)		168,460		830,508
Household Durables - 0.8%
LG Electronics, Inc. (South Korea)1		15,900		842,758
Media - 1.0%
Global Mediacom Tbk PT (Indonesia)1		7,866,550		1,051,328
Specialty Retail - 2.6%
China ZhengTong Auto Services Holdings Ltd. (China)1		4,319,210		2,047,973
Sa Sa International Holdings Ltd. (Hong Kong)1		1,747,610		854,409
				2,902,382
Textiles, Apparel & Luxury Goods - 2.4%
Belle International Holdings Ltd. (Hong Kong)1		2,278,000		2,659,163
Total Consumer Discretionary				16,813,478
Consumer Staples - 10.7%
Beverages - 4.1%
AMBEV S.A. - ADR (Brazil)*		272,830		1,571,501
Cia Cervecerias Unidas S.A. - ADR (Chile)		143,960		2,988,610
				4,560,111
Food & Staples Retailing - 1.2%
Raia Drogasil S.A. (Brazil)		150,000		1,341,825
Food Products - 4.8%
Charoen Pokphand Foods PCL (Thailand)1		2,674,000		1,848,269
M Dias Branco S.A. (Brazil)		46,000		1,247,162
Tiger Brands Ltd. (South Africa)1		84,740		2,132,268
				5,227,699
Personal Products - 0.6%
Natura Cosmeticos S.A. (Brazil)		79,000		671,545
Total Consumer Staples				11,801,180
Energy - 2.1%
Energy Equipment & Services - 0.5%
SPT Energy Group, Inc. - Class H (China)1		3,126,000		527,677

1

Investment Portfolio - March 31, 2015

(unaudited)

EMERGING MARKETS SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Energy (continued)
Oil, Gas & Consumable Fuels - 1.6%
Cosan S.A. Industria e Comercio (Brazil)		139,190	$	1,208,926
Pacific Rubiales Energy Corp. (Colombia)		221,420		527,960
				1,736,886
Total Energy				2,264,563
Financials - 5.7%
Banks - 1.5%
ICICI Bank Ltd. - ADR (India)		161,450		1,672,622
Diversified Financial Services - 2.5%
JSE Ltd. (South Africa)1		271,000		2,751,335
Insurance - 0.2%
Brasil Insurance Participacoes e Administracao S.A. (Brazil)		422,360		255,410
Real Estate Management & Development - 1.5%
BR Malls Participacoes S.A. (Brazil)		111,000		590,553
General Shopping Brasil S.A. (Brazil)*		518,000		990,052
				1,580,605
Total Financials				6,259,972
Health Care - 31.6%
Biotechnology - 5.8%
Green Cross Corp. (South Korea)1		40,080		6,348,665
Health Care Equipment & Supplies - 5.6%
Ginko International Co. Ltd. (Taiwan)1		59,620		684,940
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)1		5,178,000		4,562,502
St. Shine Optical Co. Ltd. (Taiwan)1		55,890		899,672
				6,147,114
Health Care Providers & Services - 11.4%
Apollo Hospitals Enterprise Ltd. (India)1		105,674		2,309,923
Fortis Healthcare Ltd. (India)*1		1,354,220		3,561,843
KPJ Healthcare Berhad (Malaysia)1		1,955,660		2,247,895
Life Healthcare Group Holdings Ltd. (South Africa)1		980,380		3,414,557
Siloam International Hospitals Tbk PT (Indonesia)*1		1,026,800		1,052,323
				12,586,541
Pharmaceuticals - 8.8%
Glenmark Pharmaceuticals Ltd. (India)1		410,383		5,155,260
Lupin Ltd. (India)1		140,242		4,505,243
				9,660,503
Total Health Care				34,742,823

2

Investment Portfolio - March 31, 2015

(unaudited)

EMERGING MARKETS SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Industrials - 7.2%
Airlines - 2.2%
Gol Linhas Aereas Inteligentes S.A. - ADR (Brazil)		444,100	$	1,079,163
Latam Airlines Group S.A. - ADR (Chile)*		162,400		1,308,944
				2,388,107
Commercial Services & Supplies - 1.6%
MiX Telematics Ltd. - ADR (South Africa)*		254,040		1,773,199
Electrical Equipment - 1.8%
Teco Electric and Machinery Co. Ltd. (Taiwan)1		2,052,000		1,950,199
Machinery - 1.1%
Sany Heavy Equipment International Holdings Co. Ltd. - Class H (China)*1		5,234,700		1,193,482
Marine - 0.5%
Sinotrans Shipping Ltd. - Class H (China)*1		2,604,000		604,398
Total Industrials				7,909,385
Information Technology - 10.0%
Internet Software & Services - 5.0%
Alibaba Group Holding Ltd. - ADR (China)*		7,490		623,468
Qihoo 360 Technology Co. Ltd. - ADR (China)*		26,960		1,380,352
Tencent Holdings Ltd. - Class H (China)1		144,900		2,751,639
Youku Tudou, Inc. - ADR (China)*		59,700		746,250
				5,501,709
Semiconductors & Semiconductor Equipment - 1.0%
MediaTek, Inc. (Taiwan)1		80,000		1,080,461
Software - 1.0%
TOTVS S.A. (Brazil)		92,930		1,067,157
Technology Hardware, Storage & Peripherals - 3.0%
Samsung Electronics Co. Ltd. (South Korea)1		2,550		3,306,721
Total Information Technology				10,956,048
Materials - 4.4%
Chemicals - 2.5%
Sociedad Quimica y Minera de Chile S.A. - ADR (Chile)		89,010		1,624,433
Yingde Gases Group Co. Ltd. - Class H (China)1		1,604,000		1,195,947
				2,820,380
Metals & Mining - 1.9%
Impala Platinum Holdings Ltd. (South Africa)*1		233,080		1,127,068
Jastrzebska Spolka Weglowa S.A. (Poland)*1		204,450		931,383
				2,058,451
Total Materials				4,878,831

3

Investment Portfolio - March 31, 2015

(unaudited)

EMERGING MARKETS SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Telecommunication Services - 7.8%
Wireless Telecommunication Services - 7.8%
America Movil S.A.B. de C.V. - Class L - ADR (Mexico)		184,820	$	3,781,417
China Mobile Ltd. - Class H (China)1		372,920		4,860,040
Total Telecommunication Services				8,641,457
TOTAL COMMON STOCKS (Identified Cost $119,284,476)				104,267,737
SHORT-TERM INVESTMENT - 6.9%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.03%, (Identified Cost $7,609,699)		7,609,699		7,609,699
TOTAL INVESTMENTS - 101.7% (Identified Cost $126,894,175)				111,877,436
LIABILITIES, LESS OTHER ASSETS - (1.7%)				(1,840,221	)
NET ASSETS - 100%			$	110,037,215

ADR - American Depositary Receipt

*Non-income producing security.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Rate shown is the current yield as of March 31, 2015.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries:

China 18.6%; India 15.6%; South Korea 13.7%; Brazil 12.7%; South Africa 10.2%.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	126,894,175
Unrealized appreciation		14,418,504
Unrealized depreciation		(29,435,243	)
Net unrealized depreciation	$	(15,016,739	)

4

Investment Portfolio - March 31, 2015

(unaudited)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	16,813,478	$	4,789,119	$	12,024,359	$	—
Consumer Staples		11,801,180		7,820,643		3,980,537		—
Energy		2,264,563		1,736,886		527,677		—
Financials		6,259,972		3,508,637		2,751,335		—
Health Care		34,742,823		—		34,742,823		—
Industrials		7,909,385		4,161,306		3,748,079		—
Information Technology		10,956,048		3,817,227		7,138,821		—
Materials		4,878,831		1,624,433		3,254,398		—
Telecommunication Services		8,641,457		3,781,417		4,860,040		—
Mutual fund		7,609,699		7,609,699		—		—
Total assets	$	111,877,436	$	38,849,367	$	73,028,069	$	—

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

5

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS - 44.4%
Non-Convertible Corporate Bonds - 44.4%
Consumer Discretionary - 5.1%
Auto Components - 0.1%
Icahn Enterprises LP - Icahn Enterprises Finance Corp., 5.875%, 2/1/2022		Ba3			250,000	$	257,500
Automobiles - 0.8%
Ford Motor Credit Co. LLC, 5.00%, 5/15/2018		Baa3			1,615,000		1,761,104
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		Baa3			275,000		343,614
							2,104,718
Diversified Consumer Services - 0.5%
Block Financial LLC, 5.50%, 11/1/2022		Baa2			1,165,000		1,289,462
Hotels, Restaurants & Leisure - 0.2%
Cleopatra Finance Ltd. (Italy)3, 6.25%, 2/15/2022		Ba2			265,000		259,037
Wynn Las Vegas LLC - Wynn Las Vegas Capital Corp.3, 5.50%, 3/1/2025		Ba2			380,000		384,750
							643,787
Household Durables - 1.4%
Brookfield Residential Properties, Inc. - Brookfield Residential US Corp. (Canada)3, 6.125%, 7/1/2022		B2			160,000		165,600
Meritage Homes Corp., 7.15%, 4/15/2020		Ba3			150,000		161,625
Meritage Homes Corp., 7.00%, 4/1/2022		Ba3			225,000		241,313
Newell Rubbermaid, Inc., 2.875%, 12/1/2019		Baa3			400,000		407,624
NVR, Inc., 3.95%, 9/15/2022		Baa2			1,280,000		1,339,645
TRI Pointe Holdings, Inc.3, 4.375%, 6/15/2019		B1			270,000		263,587
Tupperware Brands Corp., 4.75%, 6/1/2021		Baa3			590,000		638,163
Weekley Homes LLC - Weekley Finance Corp., 6.00%, 2/1/2023		B2			345,000		330,337
							3,547,894
Media - 1.4%
21st Century Fox America, Inc., 6.90%, 3/1/2019		Baa1			325,000		384,589
Cogeco Cable, Inc. (Canada)3, 4.875%, 5/1/2020		BB	4		330,000		334,125
Columbus International, Inc. (Barbados)3, 7.375%, 3/30/2021		B2			250,000		262,813
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 5.20%, 3/15/2020		Baa2			835,000		942,420
DIRECTV Holdings LLC - DIRECTV Financing Co., Inc., 4.45%, 4/1/2024		Baa2			320,000		341,757
Discovery Communications LLC, 5.05%, 6/1/2020		Baa2			320,000		356,183
Sirius XM Radio, Inc.3, 5.375%, 4/15/2025		Ba3			265,000		266,325
Time Warner, Inc., 4.75%, 3/29/2021		Baa2			770,000		859,709
							3,747,921
Multiline Retail - 0.1%
Macy’s Retail Holdings, Inc., 2.875%, 2/15/2023		Baa2			350,000		347,939

1

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1		PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Consumer Discretionary   (continued)
Specialty Retail - 0.2%
The TJX Companies, Inc., 2.75%, 6/15/2021		A3		400,000	$	409,117
Textiles, Apparel & Luxury Goods - 0.4%
Coach, Inc., 4.25%, 4/1/2025		Baa2		285,000		288,869
VF Corp., 5.95%, 11/1/2017		A3		625,000		699,740
						988,609
Total Consumer Discretionary						13,336,947
Consumer Staples - 1.4%
Beverages - 0.4%
Anheuser-Busch InBev Worldwide, Inc. (Belgium), 7.75%, 1/15/2019		A2		350,000		423,565
Pernod-Ricard S.A. (France)3, 5.75%, 4/7/2021		Baa3		350,000		406,165
SABMiller plc (United Kingdom)3, 6.50%, 7/15/2018		Baa1		200,000		228,976
						1,058,706
Food & Staples Retailing - 0.4%
C&S Group Enterprises LLC3, 5.375%, 7/15/2022		B1		250,000		244,375
KeHE Distributors LLC - KeHE Finance Corp.3, 7.625%, 8/15/2021		B3		500,000		530,625
Shearer’s Foods LLC - Chip Finance Corp.3, 9.00%, 11/1/2019		B1		250,000		272,500
						1,047,500
Food Products - 0.2%
Pinnacle Operating Corp.3, 9.00%, 11/15/2020		Caa1		380,000		383,800
Household Products - 0.3%
Energizer Holdings, Inc., 4.70%, 5/19/2021		Baa3		375,000		396,499
HRG Group, Inc., 7.875%, 7/15/2019		Ba3		355,000		373,637
						770,136
Tobacco - 0.1%
Vector Group Ltd., 7.75%, 2/15/2021		Ba3		280,000		297,850
Total Consumer Staples						3,557,992
Energy - 4.2%
Energy Equipment & Services - 1.0%
Baker Hughes, Inc., 7.50%, 11/15/2018		A2		575,000		685,129
Calfrac Holdings LP (Canada)3, 7.50%, 12/1/2020		B1		240,000		213,000
Ensco plc, 5.20%, 3/15/2025		Baa1		750,000		751,166
Parker Drilling Co., 6.75%, 7/15/2022		B1		250,000		198,125
Schlumberger Oilfield plc3, 4.20%, 1/15/2021		Aa3		560,000		615,778
Seventy Seven Operating LLC, 6.625%, 11/15/2019		Ba3		155,000		115,863
						2,579,061
Oil, Gas & Consumable Fuels - 3.2%
CNOOC Nexen Finance 2014 ULC (China), 1.625%, 4/30/2017		Aa3		400,000		399,076

2

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Energy   (continued)
Oil, Gas & Consumable Fuels   (continued)
El Paso Natural Gas Co. LLC, 8.625%, 1/15/2022		Baa3			100,000	$	124,914
Energy XXI Gulf Coast, Inc., 7.50%, 12/15/2021		Caa3			375,000		135,000
EOG Resources, Inc., 2.625%, 3/15/2023		A3			490,000		489,500
EOG Resources, Inc., 3.15%, 4/1/2025		A3			325,000		331,450
Hiland Partners LP - Hiland Partners Finance Corp.3, 7.25%, 10/1/2020		Baa3			600,000		646,500
Ithaca Energy, Inc. (United Kingdom)3, 8.125%, 7/1/2019		Caa2			250,000		198,125
Kinder Morgan, Inc.3, 5.625%, 11/15/2023		Baa3			700,000		769,745
Peabody Energy Corp.3, 10.00%, 3/15/2022		B2			265,000		235,850
Petrobras Global Finance B.V. (Brazil), 3.875%, 1/27/2016		Ba2			1,700,000		1,667,496
Petrobras Global Finance B.V. (Brazil)5, 1.881%, 5/20/2016		Ba2			1,400,000		1,323,140
Petroleos Mexicanos (Mexico), 5.75%, 3/1/2018		A3			350,000		384,475
Petroleos Mexicanos (Mexico)3, 4.50%, 1/23/2026		A3			950,000		968,050
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021		Ba3			250,000		251,640
Talisman Energy, Inc. (Canada), 3.75%, 2/1/2021		Baa3			600,000		590,366
							8,515,327
Total Energy							11,094,388
Financials - 23.8%
Banks - 9.5%
Banco Bilbao Vizcaya Argentaria S.A. (Spain)6,7, 9.00%		WR	8		400,000		435,000
Banco Santander S.A. (Spain), 4.00%, 4/7/2020		Aa2		EUR	100,000		127,660
Banco Santander S.A. (Spain)6,9, 6.375%		Ba1			400,000		394,901
Bank of America Corp., 5.75%, 8/15/2016		Baa3			680,000		719,505
Bank of America Corp., 5.42%, 3/15/2017		Baa3			1,500,000		1,602,137
Bank of America Corp., 5.70%, 5/2/2017		Baa3			250,000		269,349
Bank of America Corp., 6.875%, 4/25/2018		Baa2			480,000		549,052
Bank of America Corp., 4.00%, 1/22/2025		Baa3			375,000		378,035
Barclays Bank plc (United Kingdom), 5.14%, 10/14/2020		Baa3			200,000		222,203
Barclays Bank plc (United Kingdom)3, 10.179%, 6/12/2021		Baa3			300,000		410,391
Barclays plc (United Kingdom)6,10, 6.625%		B	4		400,000		396,627
BBVA Bancomer S.A. (Mexico)3, 6.75%, 9/30/2022		Baa2			845,000		955,441
BBVA US Senior S.A.U. (Spain), 4.664%, 10/9/2015		Baa2			1,455,000		1,482,965
BNP Paribas - BNP Paribas US Medium-Term Note Program LLC (France)3, 4.80%, 6/24/2015		Baa2			500,000		504,745
BNP Paribas Home Loan Covered Bonds S.A. (France), 3.75%, 4/20/2020		AAA	4	EUR	50,000		63,624
CIT Group, Inc., 5.25%, 3/15/2018		B1			245,000		253,575
Citigroup, Inc., 1.80%, 2/5/2018		Baa2			500,000		501,044
Citigroup, Inc., 8.50%, 5/22/2019		Baa2			2,710,000		3,374,977
Citigroup, Inc., 3.875%, 3/26/2025		Baa3			500,000		501,878
Commonwealth Bank of Australia (Australia), 5.75%, 1/25/2017		Aaa		AUD	1,680,000		1,357,041

3

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Banks   (continued)
Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. (Netherlands)6,11, 8.40%		WR	8		100,000	$	110,769
HSBC Bank plc (United Kingdom)3, 1.50%, 5/15/2018		Aa3			500,000		499,789
HSBC USA Capital Trust I (United Kingdom)3, 7.808%, 12/15/2026		Baa1			100,000		100,813
ING Bank N.V. (Netherlands)3, 1.80%, 3/16/2018		A2			150,000		150,929
Intesa Sanpaolo S.p.A. (Italy), 3.875%, 1/15/2019		Baa2			790,000		833,204
Intesa Sanpaolo S.p.A. (Italy)3, 6.50%, 2/24/2021		Baa2			350,000		415,717
JPMorgan Chase & Co., 6.30%, 4/23/2019		A3			820,000		952,541
Lloyds Bank plc (United Kingdom)3, 6.50%, 9/14/2020		Baa2			1,580,000		1,856,290
Lloyds Bank plc (United Kingdom)5, 9.875%, 12/16/2021		Baa3			250,000		283,250
Popular, Inc., 7.00%, 7/1/2019		B2			520,000		522,600
Royal Bank of Canada (Canada), 3.77%, 3/30/2018		Aaa		CAD	1,995,000		1,695,770
Royal Bank of Scotland Group plc (United Kingdom), 5.125%, 5/28/2024		Ba3			500,000		524,555
Santander Bank N.A., 8.75%, 5/30/2018		Baa2			300,000		354,165
Santander Holdings USA, Inc., 4.625%, 4/19/2016		Baa2			470,000		486,772
Westpac Banking Corp. (Australia), 5.75%, 2/6/2017		Aaa		AUD	2,100,000		1,697,604
							24,984,918
Capital Markets - 4.3%
Goldman Sachs Capital II5,6, 4.00%		Ba2			400,000		310,000
The Goldman Sachs Group, Inc., 2.375%, 1/22/2018		Baa1			330,000		336,742
The Goldman Sachs Group, Inc., 6.15%, 4/1/2018		Baa1			1,790,000		2,012,391
The Goldman Sachs Group, Inc.5, 1.357%, 11/15/2018		Baa1			1,680,000		1,698,349
The Goldman Sachs Group, Inc., 5.375%, 3/15/2020		Baa1			615,000		697,875
The Goldman Sachs Group, Inc., 5.25%, 7/27/2021		Baa1			550,000		625,468
The Goldman Sachs Group, Inc.5, 1.861%, 11/29/2023		Baa1			350,000		360,751
Morgan Stanley, 2.125%, 4/25/2018		Baa2			740,000		748,127
Morgan Stanley, 5.75%, 1/25/2021		Baa2			2,015,000		2,352,176
Morgan Stanley, 5.00%, 11/24/2025		Baa3			400,000		441,862
Scottrade Financial Services, Inc.3, 6.125%, 7/11/2021		Baa3			375,000		410,365
UBS AG (Switzerland)5, 7.25%, 2/22/2022		BBB	4		400,000		430,463
UBS AG (Switzerland), 7.625%, 8/17/2022		BBB	4		250,000		303,219
UBS AG (Switzerland)5, 4.75%, 5/22/2023		BBB	4		400,000		413,658
							11,141,446
Consumer Finance - 1.1%
Capital One Bank USA National Association, 2.15%, 11/21/2018		A3			950,000		957,362
Caterpillar Financial Services Corp., 7.05%, 10/1/2018		A2			675,000		794,344
CNG Holdings, Inc.3, 9.375%, 5/15/2020		Caa1			255,000		182,963
Discover Bank, 4.20%, 8/8/2023		Baa3			320,000		338,459

4

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1		PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Consumer Finance   (continued)
Navient Corp., 6.125%, 3/25/2024		Ba3		530,000	$	508,800
						2,781,928
Diversified Financial Services - 2.4%
The Bear Stearns Companies LLC, 7.25%, 2/1/2018		A3		380,000		437,480
CME Group, Inc., 3.00%, 9/15/2022		Aa3		660,000		684,131
General Electric Capital Corp., 5.30%, 2/11/2021		A2		500,000		577,564
General Electric Capital Corp.5, 0.635%, 5/5/2026		A1		855,000		802,000
General Electric Capital Corp.6,12, 7.125%		Baa1		585,000		686,644
ING Bank N.V. (Netherlands)3, 5.80%, 9/25/2023		Baa2		350,000		396,242
ING Bank N.V. (Netherlands)5, 4.125%, 11/21/2023		Baa2		400,000		413,940
Jefferies Finance LLC - JFIN Co-Issuer Corp.3, 7.375%, 4/1/2020		B1		500,000		485,000
Jefferies Group LLC, 8.50%, 7/15/2019		Baa3		900,000		1,076,409
Peachtree Corners Funding Trust3, 3.976%, 2/15/2025		Baa2		100,000		101,443
Voya Financial, Inc., 2.90%, 2/15/2018		Baa2		370,000		381,769
Voya Financial, Inc., 5.50%, 7/15/2022		Baa2		270,000		312,011
						6,354,633
Insurance - 3.1%
Aegon N.V. (Netherlands)5,6, 2.138%		Baa1		435,000		373,013
American International Group, Inc., 6.40%, 12/15/2020		Baa1		400,000		484,526
American International Group, Inc., 4.875%, 6/1/2022		Baa1		1,875,000		2,130,851
Assured Guaranty US Holdings, Inc., 5.00%, 7/1/2024		Baa2		1,800,000		1,926,376
AXA S.A. (France)5,6, 2.007%		A3		425,000		369,750
First American Financial Corp., 4.30%, 2/1/2023		Baa3		565,000		565,744
The Hartford Financial Services Group, Inc., 5.125%, 4/15/2022		Baa3		1,320,000		1,504,165
Prudential Financial, Inc.5, 5.875%, 9/15/2042		Baa2		800,000		869,000
						8,223,425
Real Estate Investment Trusts (REITS) - 3.0%
American Campus Communities Operating Partnership LP, 3.75%, 4/15/2023		Baa3		500,000		506,781
BioMed Realty LP, 3.85%, 4/15/2016		Baa3		140,000		143,422
Brixmor Operating Partnership LP, 3.85%, 2/1/2025		Baa3		500,000		500,410
Digital Realty Trust LP, 5.875%, 2/1/2020		Baa2		1,110,000		1,258,844
Duke Realty LP, 3.75%, 12/1/2024		Baa2		500,000		513,197
DuPont Fabros Technology LP, 5.875%, 9/15/2021		Ba1		330,000		340,725
HCP, Inc., 6.70%, 1/30/2018		Baa1		865,000		977,713
Health Care REIT, Inc., 4.95%, 1/15/2021		Baa2		635,000		705,334
Hospitality Properties Trust, 6.70%, 1/15/2018		Baa2		350,000		385,155
Rialto Holdings LLC - Rialto Corp.3, 7.00%, 12/1/2018		B2		360,000		374,400
Simon Property Group LP, 6.125%, 5/30/2018		A2		285,000		324,703
Simon Property Group LP, 10.35%, 4/1/2019		A2		1,125,000		1,458,225

5

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Financials   (continued)
Real Estate Investment Trusts (REITS)   (continued)
UDR, Inc., 4.625%, 1/10/2022		Baa1			460,000	$	502,659
							7,991,568
Real Estate Management & Development - 0.2%
Forestar USA Real Estate Group, Inc.3, 8.50%, 6/1/2022		B2			250,000		241,250
Greystar Real Estate Partners LLC3, 8.25%, 12/1/2022		B2			155,000		162,363
							403,613
Thrifts & Mortgage Finance - 0.2%
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp., 7.375%, 10/1/2017		Ba3			575,000		590,813
Ladder Capital Finance Holdings LLLP - Ladder Capital Finance Corp.3, 5.875%, 8/1/2021		Ba3			50,000		47,250
							638,063
Total Financials							62,519,594
Health Care - 1.6%
Biotechnology - 0.2%
Amgen, Inc., 2.20%, 5/22/2019		Baa1			400,000		405,168
Health Care Equipment & Supplies - 0.0%*
Zimmer Holdings, Inc., 1.45%, 4/1/2017		Baa3			100,000		100,198
Health Care Providers & Services - 1.1%
Aetna, Inc., 3.50%, 11/15/2024		Baa2			400,000		417,237
Express Scripts Holding Co., 4.75%, 11/15/2021		Baa3			500,000		562,553
FMC Finance VIII S.A. (Germany)3, 6.50%, 9/15/2018		Ba2		EUR	1,540,000		1,948,141
							2,927,931
Pharmaceuticals - 0.3%
Roche Holdings, Inc. (Switzerland)3, 6.00%, 3/1/2019		A1			559,000		647,244
Total Health Care							4,080,541
Industrials - 2.8%
Aerospace & Defense - 0.2%
DigitalGlobe, Inc.3, 5.25%, 2/1/2021		B1			500,000		500,000
Airlines - 0.6%
Allegiant Travel Co., 5.50%, 7/15/2019		B1			370,000		379,250
Delta Air Lines Pass-Through Trust, Series 2010-1, Class B3, 6.375%, 1/2/2016		Ba1			625,000		644,125
Gol LuxCo S.A. (Brazil)3, 8.875%, 1/24/2022		B	4		230,000		166,750
Southwest Airlines Co., 2.75%, 11/6/2019		Baa2			400,000		409,106
							1,599,231

6

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Industrials   (continued)
Building Products - 0.1%
Griffon Corp., 5.25%, 3/1/2022		B1			275,000	$	271,315
Commercial Services & Supplies - 0.1%
Modular Space Corp.3, 10.25%, 1/31/2019		B3			250,000		198,750
Construction & Engineering - 0.1%
Abengoa Finance S.A.U. (Spain)3, 7.75%, 2/1/2020		B2			300,000		288,000
Machinery - 0.2%
CNH Industrial Capital LLC, 3.875%, 11/1/2015		Ba1			660,000		664,950
Road & Rail - 0.1%
Burlington Northern Santa Fe LLC, 3.00%, 4/1/2025		A3			200,000		201,698
Trading Companies & Distributors - 1.4%
Air Lease Corp., 3.375%, 1/15/2019		BBB	4		1,150,000		1,173,000
Aircastle Ltd., 5.50%, 2/15/2022		Ba2			510,000		542,513
Fly Leasing Ltd. (Ireland), 6.75%, 12/15/2020		B2			250,000		255,313
Fly Leasing Ltd. (Ireland), 6.375%, 10/15/2021		B2			240,000		237,600
International Lease Finance Corp., 5.75%, 5/15/2016		Ba2			250,000		259,875
International Lease Finance Corp.5, 2.221%, 6/15/2016		Ba2			750,000		750,000
International Lease Finance Corp., 8.75%, 3/15/2017		Ba2			380,000		419,900
							3,638,201
Total Industrials							7,362,145
Information Technology - 1.4%
Internet Software & Services - 0.2%
Alibaba Group Holding Ltd. (China)3, 2.50%, 11/28/2019		A1			250,000		250,086
Tencent Holdings Ltd. (China)3, 3.375%, 5/2/2019		A2			400,000		414,452
							664,538
IT Services - 0.2%
Xerox Corp., 2.80%, 5/15/2020		Baa2			400,000		403,590
Semiconductors & Semiconductor Equipment - 0.7%
KLA-Tencor Corp., 4.125%, 11/1/2021		Baa2			885,000		931,712
Xilinx, Inc., 3.00%, 3/15/2021		A3			850,000		876,851
							1,808,563
Technology Hardware, Storage & Peripherals - 0.3%
Apple, Inc., 2.40%, 5/3/2023		Aa1			100,000		98,772
EMC Corp., 2.65%, 6/1/2020		A1			795,000		816,405
							915,177
Total Information Technology							3,791,868

7

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1		PRINCIPAL              AMOUNT2		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Materials - 2.4%
Chemicals - 0.7%
Consolidated Energy Finance S.A. (Trinidad-Tobago)3, 6.75%, 10/15/2019		B2		235,000	$	236,763
The Dow Chemical Co., 8.55%, 5/15/2019		Baa2		700,000		876,413
Eastman Chemical Co., 2.70%, 1/15/2020		Baa2		550,000		557,951
LyondellBasell Industries N.V., 5.00%, 4/15/2019		Baa1		200,000		220,553
The Mosaic Co., 4.25%, 11/15/2023		Baa1		100,000		106,647
						1,998,327
Containers & Packaging - 0.2%
Ardagh Packaging Finance plc - Ardagh Holdings USA, Inc. (Ireland)3,5, 3.271%, 12/15/2019		Ba3		500,000		487,500
Metals & Mining - 1.2%
ArcelorMittal (Luxembourg), 10.60%, 6/1/2019		Ba1		210,000		256,856
BHP Billiton Finance (USA) Ltd. (Australia), 6.50%, 4/1/2019		A1		580,000		682,854
Essar Steel Algoma, Inc. (Canada)3, 9.50%, 11/15/2019		Ba3		260,000		225,550
Freeport-McMoRan, Inc., 3.10%, 3/15/2020		Baa3		470,000		457,949
Lundin Mining Corp. (Canada)3, 7.875%, 11/1/2022		Ba2		245,000		255,413
Rio Tinto Finance USA Ltd. (United Kingdom), 3.75%, 9/20/2021		A3		360,000		379,701
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.3, 7.375%, 2/1/2020		B1		250,000		256,250
Teck Resources Ltd. (Canada), 3.00%, 3/1/2019		Baa3		645,000		641,537
						3,156,110
Paper & Forest Products - 0.3%
Domtar Corp., 4.40%, 4/1/2022		Baa3		500,000		516,822
Georgia-Pacific LLC3, 3.163%, 11/15/2021		Baa1		200,000		205,014
						721,836
Total Materials						6,363,773
Telecommunication Services - 1.1%
Diversified Telecommunication Services - 0.6%
Telefonica Emisiones S.A.U. (Spain), 6.221%, 7/3/2017		Baa2		1,200,000		1,324,978
Windstream Corp., 7.875%, 11/1/2017		B1		235,000		254,681
						1,579,659
Wireless Telecommunication Services - 0.5%
Altice Financing S.A. (Luxembourg)3, 6.50%, 1/15/2022		B1		535,000		549,044
SBA Tower Trust3, 3.598%, 4/15/2018		Baa3		500,000		499,933
Sixsigma Networks Mexico S.A. de C.V. (Mexico)3, 8.25%, 11/7/2021		B1		200,000		209,060
						1,258,037
Total Telecommunication Services						2,837,696

8

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL              AMOUNT2 /            SHARES		VALUE
CORPORATE BONDS   (continued)
Non-Convertible Corporate Bonds   (continued)
Utilities - 0.6%
Gas Utilities - 0.1%
National Fuel Gas Co., 3.75%, 3/1/2023		Baa2			400,000	$	400,551
Independent Power and Renewable Electricity Producers - 0.5%
Abengoa Yield plc (Spain)3, 7.00%, 11/15/2019		WR	8		400,000		412,000
ContourGlobal Power Holdings S.A. (France)3, 7.125%, 6/1/2019		B3			250,000		255,000
RJS Power Holdings LLC3, 5.125%, 7/15/2019		B1			530,000		522,050
							1,189,050
Total Utilities							1,589,601
TOTAL CORPORATE BONDS (Identified Cost $117,405,065)							116,534,545
PREFERRED STOCKS - 0.0%*
Financials - 0.0%*
Insurance - 0.0%*
Principal Financial Group, Inc., Series A (non-cumulative), 5.563%13 (Identified Cost $99,250)		Ba1			1,000		99,750
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.2%
Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A35, 5.963%, 3/15/2049		Aaa			954,977		987,008
Commercial Mortgage Pass-Through Certificates, Series 2015-LC19, Class A4, 3.183%, 2/10/2048		Aaa			1,250,000		1,291,154
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)5, 1.717%, 10/25/2021		WR	8		4,115,851		343,357
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)5, 0.336%, 4/25/2023		Aaa			23,570,744		362,047
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, Class X1 (IO)5, 1.714%, 10/25/2018		Aaa			6,069,064		299,690
GS Mortgage Securities Trust, Series 2006-GG8, Class A4, 5.56%, 11/10/2039		Aaa			480,810		504,570
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		Aaa			500,000		524,985
U.S. Small Business Administration, Series 2015-10A, Class 1, 2.517%, 3/10/2025		WR	8		250,000		250,969
WF-RBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		Aaa			1,100,000		1,219,570
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $5,773,558)							5,783,350
FOREIGN GOVERNMENT BONDS - 44.0%
Australia Government Bond (Australia), 4.50%, 4/15/2020		Aaa		AUD	600,000		514,853

9

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	CREDIT RATING1			PRINCIPAL             AMOUNT2		VALUE
FOREIGN GOVERNMENT BONDS   (continued)
Brazil Notas do Tesouro Nacional (Brazil), 10.00%, 1/1/2019		Baa2		BRL	10,200,000	$	2,996,091
Brazilian Government International Bond (Brazil), 8.875%, 10/14/2019		Baa2			400,000		494,000
Brazilian Government International Bond (Brazil), 4.875%, 1/22/2021		Baa2			3,960,000		4,158,000
Canada Housing Trust No. 1 (Canada)3, 4.10%, 12/15/2018		Aaa		CAD	2,485,000		2,189,441
Canadian Government Bond (Canada), 1.50%, 9/1/2017		Aaa		CAD	13,000,000		10,511,879
Canadian Government Bond (Canada), 2.75%, 6/1/2022		Aaa		CAD	2,500,000		2,206,881
Chile Government International Bond (Chile), 5.50%, 8/5/2020		Aa3		CLP	700,000,000		1,194,360
Indonesia Treasury Bond (Indonesia), 7.875%, 4/15/2019		Baa3		IDR	105,000,000,000		8,215,296
Ireland Government Bond (Ireland), 5.00%, 10/18/2020		Baa1		EUR	1,340,000		1,812,794
Ireland Government Bond (Ireland), 3.90%, 3/20/2023		Baa1		EUR	400,000		542,104
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 9/1/2022		Baa2		EUR	2,835,000		4,024,004
Italy Buoni Poliennali Del Tesoro (Italy), 5.50%, 11/1/2022		Baa2		EUR	4,410,000		6,287,420
Japan Government Five Year Bond (Japan), 0.30%, 12/20/2016		A1		JPY	530,700,000		4,444,680
Korea Treasury Bond (South Korea), 2.75%, 6/10/2016		Aa3		KRW	2,400,000,000		2,189,463
Korea Treasury Bond (South Korea), 2.00%, 12/10/2017		WR	8	KRW	4,300,000,000		3,902,913
Malaysia Government Bond (Malaysia), 3.172%, 7/15/2016		WR	8	MYR	29,570,000		7,976,003
Mexican Government Bond (Mexico), 6.00%, 6/18/2015		A3		MXN	625,000		41,217
Mexican Government Bond (Mexico), 8.00%, 12/17/2015		A3		MXN	21,454,000		1,452,539
Mexican Government Bond (Mexico), 6.25%, 6/16/2016		A3		MXN	15,000,000		1,012,016
Mexican Government Bond (Mexico), 7.25%, 12/15/2016		A3		MXN	33,570,000		2,322,060
Mexican Government Bond (Mexico), 5.00%, 6/15/2017		A3		MXN	51,500,000		3,442,145
Mexican Government Bond (Mexico), 7.75%, 12/14/2017		A3		MXN	28,000,000		1,983,808
Mexican Government Bond (Mexico), 8.00%, 6/11/2020		A3		MXN	57,500,000		4,216,399
Mexican Government Bond (Mexico), 6.50%, 6/10/2021		A3		MXN	46,000,000		3,155,603
Mexican Government Bond (Mexico), 6.50%, 6/9/2022		A3		MXN	34,000,000		2,329,977
Mexican Government Bond (Mexico), 7.75%, 5/29/2031		A3		MXN	6,500,000		484,402
Norway Government Bond (Norway), 4.25%, 5/19/2017		Aaa		NOK	9,800,000		1,302,782
Russian Foreign Bond - Eurobond (Russia)3, 5.00%, 4/29/2020		Ba1			1,000,000		1,001,250
Singapore Government Bond (Singapore), 2.50%, 6/1/2019		Aaa		SGD	4,515,000		3,388,854
Spain Government Bond (Spain), 4.50%, 1/31/2018		Baa2		EUR	1,415,000		1,704,777
Spain Government Bond (Spain), 4.00%, 4/30/2020		Baa2		EUR	2,740,000		3,447,347
Spain Government Bond (Spain)3, 5.40%, 1/31/2023		Baa2		EUR	3,755,000		5,370,342
United Kingdom Gilt (United Kingdom), 2.00%, 1/22/2016		Aa1		GBP	4,750,000		7,138,752
United Kingdom Gilt (United Kingdom), 1.00%, 9/7/2017		Aa1		GBP	2,435,000		3,650,278
United Kingdom Gilt (United Kingdom), 5.00%, 3/7/2018		Aa1		GBP	2,610,000		4,363,704
TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $126,934,413)							115,468,434
MUNICIPAL BONDS - 0.5%
Puerto Rico Sales Tax Financing Corp., Public Impt., Series A, Revenue Bond, 5.50%, 8/1/2022 (Identified Cost $1,536,718)		Caa1			1,650,000		1,162,920

10

Investment Portfolio - March 31, 2015

(unaudited)

GLOBAL FIXED INCOME SERIES	SHARES/             PRINCIPAL           AMOUNT2		VALUE
MUTUAL FUND - 0.1%
iShares iBoxx $ High Yield Corporate Bond ETF (Identified Cost $299,593)		3,250	$	294,483
U.S. GOVERNMENT AGENCIES - 2.8%
Mortgage-Backed Securities - 2.8%
Fannie Mae, Pool #MA1890, 4.00%, 5/1/2034		950,737		1,027,156
Fannie Mae, Pool #735500, 5.50%, 5/1/2035		1,283,968		1,451,480
Freddie Mac, Pool #Z50018, 3.50%, 7/1/2026		1,718,258		1,826,428
Freddie Mac, Pool #K92054, 4.00%, 10/1/2034		914,015		986,735
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		1,924,755		2,160,091
TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $7,256,988)				7,451,890
SHORT-TERM INVESTMENT - 4.9%
Dreyfus Cash Management, Inc. - Institutional Shares14, 0.03%, (Identified Cost $12,745,975)		12,745,975		12,745,975
TOTAL INVESTMENTS - 98.9% (Identified Cost $272,051,560)				259,541,347
OTHER ASSETS, LESS LIABILITIES - 1.1%				2,914,811
NET ASSETS - 100%			$	262,456,158

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CLP - Chilean Peso

ETF - Exchange Traded Fund

EUR - Euro

GBP - British Pound

IDR - Indonesian Rupiah

Impt. - Improvement

IO - Interest only

JPY - Japanese Yen

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

SGD - Singapore Dollar

*Less than 0.1%.

¹Credit ratings from Moody’s (unaudited).

²Amount is stated in USD unless otherwise noted.

³Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under rule 144A and have been determined to be liquid under guidelines established by the Board of Directors. These securities amount to $32,677,275 or 12.5% of the Series’ net assets as of March 31, 2015.

⁴Credit ratings from S&P (unaudited).

⁵The coupon rate is floating and is the effective rate as of March 31, 2015.

⁶Security is perpetual in nature and has no stated maturity date.

11

Investment Portfolio - March 31, 2015

(unaudited)

⁷The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on USD Swap Semi 30/360 5-Year plus a spread, in May 2018.

⁸Credit rating has been withdrawn. As of March 31, 2015, there is no rating available (unaudited).

⁹The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on USD Swap Semi 30/360 5-Year plus a spread, in May 2019.

¹⁰The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on USD Swap Semi 30/360 5-Year plus a spread, in September 2019.

¹¹The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on U.S. Treasury Yield Curve Rate Treasury Note Constant Maturity 5 Year in June 2017.

¹²The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2022.

¹³The rate shown is a fixed rate as of March 31, 2015; the rate becomes floating, based on LIBOR plus a spread, in June 2015.

¹⁴Rate shown is the current yield as of March 31, 2015.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries: United States 36.6%.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	272,051,560
Unrealized appreciation		2,679,312
Unrealized depreciation		(15,189,525	)
Net unrealized depreciation	$	(12,510,213	)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Preferred securities:
Financials	$	99,750	$	99,750	$	—	$	—
Debt securities:
U.S. Treasury and other U.S. Government agencies		7,451,890		—		7,451,890		—
States and political subdivisions (municipals)		1,162,920		—		1,162,920		—
Corporate debt:
Consumer Discretionary		13,336,947		—		13,336,947		—
Consumer Staples		3,557,992		—		3,557,992		—
Energy		11,094,388		—		11,094,388		—
Financials		62,519,594		—		62,519,594		—
Health Care		4,080,541		—		4,080,541		—
Industrials		7,362,145		—		7,362,145		—

12

Investment Portfolio - March 31, 2015

(unaudited)

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Information Technology	$	3,791,868	$	—	$	3,791,868	$	—
Materials		6,363,773		—		6,363,773		—
Telecommunication Services		2,837,696		—		2,837,696		—
Utilities		1,589,601		—		1,589,601		—
Commercial mortgage-backed securities		5,783,350		—		5,783,350		—
Foreign government bonds		115,468,434		—		115,468,434		—
Mutual funds		13,040,458		13,040,458		—		—
Total assets	$	259,541,347	$	13,140,208	$	246,401,139	$	—

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

13

Investment Portfolio - March 31, 2015

(unaudited)

STRATEGIC INCOME CONSERVATIVE SERIES	SHARES		VALUE
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Fund, Inc. - Core Plus Bond Series, Class I		2,061,212	$	19,787,633
Manning & Napier Fund, Inc. - Disciplined Value Series, Class I		205,408		3,280,372
Manning & Napier Fund, Inc. - Equity Income Series, Class I		262,038		2,827,390
Manning & Napier Fund, Inc. - High Yield Bond Series, Class I		61,447		557,322
Manning & Napier Fund, Inc. - Real Estate Series, Class I		171,951		1,597,424
TOTAL AFFILIATED INVESTMENT COMPANIES - 100.1% (Identified Cost $28,450,693)				28,050,141
LIABILITIES, LESS OTHER ASSETS - (0.1)%				(23,391	)
NET ASSETS - 100%			$	28,026,750

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	28,574,861
Unrealized appreciation		115,017
Unrealized depreciation		(639,737	)
Net unrealized depreciation	$	(524,720	)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Affiliated Investment Companies	$	28,050,141	$	28,050,141	$	—	$	—
Total assets:	$	28,050,141	$	28,050,141	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

1

Investment Portfolio - March 31, 2015

(unaudited)

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

2

Investment Portfolio - March 31, 2015

(unaudited)

STRATEGIC INCOME MODERATE SERIES	SHARES		VALUE
AFFILIATED INVESTMENT COMPANIES - 100.1%
Manning & Napier Fund, Inc. - Core Plus Bond Series, Class I		1,069,914	$	10,271,176
Manning & Napier Fund, Inc. - Disciplined Value Series, Class I		252,140		4,026,680
Manning & Napier Fund, Inc. - Emerging Markets Series, Class I		68,238		606,637
Manning & Napier Fund, Inc. - Equity Income Series, Class I		363,614		3,923,390
Manning & Napier Fund, Inc. - High Yield Bond Series, Class I		119,164		1,080,814
Manning & Napier Fund, Inc. - Inflation Focus Equity Series, Class A		39,961		422,387
Manning & Napier Fund, Inc. - Real Estate Series, Class I		134,739		1,251,725
TOTAL AFFILIATED INVESTMENT COMPANIES - 100.1% (Identified Cost $21,875,254)				21,582,809
LIABILITIES, LESS OTHER ASSETS - (0.1)%				(23,455	)
NET ASSETS - 100%			$	21,559,354

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized depreciation were as follows:

Cost for federal income tax purposes	$	21,933,688
Unrealized appreciation		112,155
Unrealized depreciation		(523,034	)
Net unrealized depreciation	$	(410,879	)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Affiliated Investment Companies	$	21,582,809	$	21,582,809	$	—	$	—
Total assets:	$	21,582,809	$	21,582,809	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

1

Investment Portfolio - March 31, 2015

(unaudited)

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

2

Investment Portfolio - March 31, 2015

(unaudited)

DYNAMIC OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS - 90.8%
Consumer Discretionary - 37.1%
Internet & Catalog Retail - 8.6%
Groupon, Inc.*		1,829,260	$	13,188,965
TripAdvisor, Inc.*		183,940		15,298,290
				28,487,255
Media - 13.8%
AMC Networks, Inc. - Class A*		284,530		21,806,379
Discovery Communications, Inc. - Class A*		496,820		15,282,183
Morningstar, Inc.		112,290		8,411,644
				45,500,206
Specialty Retail - 4.7%
Dick’s Sporting Goods, Inc.		274,040		15,617,540
Textiles, Apparel & Luxury Goods - 10.0%
Gildan Activewear, Inc. (Canada)		299,660		8,845,963
lululemon athletica, Inc.*		375,590		24,045,272
				32,891,235
Total Consumer Discretionary				122,496,236
Consumer Staples - 2.8%
Food Products - 2.8%
Keurig Green Mountain, Inc.		83,310		9,308,226
Energy - 6.1%
Oil, Gas & Consumable Fuels - 6.1%
Concho Resources, Inc.*		58,940		6,832,325
Continental Resources, Inc.*		147,270		6,431,281
Pioneer Natural Resources Co.		41,130		6,725,166
Total Energy				19,988,772
Financials - 9.8%
Capital Markets - 3.4%
Financial Engines, Inc.		267,070		11,171,538
Consumer Finance - 2.9%
SLM Corp.*		1,038,880		9,640,806
Diversified Financial Services - 3.5%
MSCI, Inc.		190,650		11,688,752
Total Financials				32,501,096
Health Care - 10.0%
Biotechnology - 2.8%
Seattle Genetics, Inc.*		256,060		9,051,721
Health Care Equipment & Supplies - 7.2%
HeartWare International, Inc.*		155,300		13,630,681

1

Investment Portfolio - March 31, 2015

(unaudited)

DYNAMIC OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Health Care (continued)
Health Care Equipment & Supplies (continued)
Thoratec Corp.*		242,890	$	10,174,662
				23,805,343
Total Health Care				32,857,064
Industrials - 4.3%
Road & Rail - 1.8%
Genesee & Wyoming, Inc.*		63,690		6,142,264
Trading Companies & Distributors - 2.5%
Fastenal Co.		196,970		8,161,452
Total Industrials				14,303,716
Information Technology - 19.0%
Communications Equipment - 4.3%
Ixia*		1,159,480		14,064,492
Electronic Equipment, Instruments & Components - 6.6%
FLIR Systems, Inc.		268,590		8,401,495
Trimble Navigation Ltd.*		527,660		13,297,032
				21,698,527
Internet Software & Services - 5.5%
Q2 Holdings, Inc.*		148,630		3,142,038
Qihoo 360 Technology Co. Ltd. - ADR (China)*		213,520		10,932,224
Zillow Group, Inc. - Class A*		41,250		4,137,375
				18,211,637
IT Services - 2.6%
EVERTEC, Inc.		394,210		8,617,431
Total Information Technology				62,592,087
Materials - 1.7%
Chemicals - 1.7%
FMC Corp.		99,070		5,671,757
TOTAL COMMON STOCKS (Identified Cost $284,170,914)				299,718,954

2

Investment Portfolio - March 31, 2015

(unaudited)

DYNAMIC OPPORTUNITIES SERIES	SHARES		VALUE
SHORT-TERM INVESTMENT - 3.8%
Dreyfus Cash Management, Inc. - Institutional Shares1, 0.03% (Identified Cost $12,546,620)		12,546,620	$	12,546,620
TOTAL INVESTMENTS - 94.6% (Identified Cost $296,717,534)				312,265,574
OTHER ASSETS, LESS LIABILITIES - 5.4%				17,896,287
NET ASSETS - 100%			$	330,161,861

ADR - American Depositary Receipt

*Non-income producing security.

¹Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and appreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	296,948,784
Unrealized appreciation		30,850,788
Unrealized depreciation		(15,533,998	)
Net unrealized appreciation	$	15,316,790

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

3

Investment Portfolio - March 31, 2015

(unaudited)

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	122,496,236	$	122,496,236	$	—	$	—
Consumer Staples		9,308,226		9,308,226		—		—
Energy		19,988,772		19,988,772		—		—
Financials		32,501,096		32,501,096		—		—
Health Care		32,857,064		32,857,064		—		—
Industrials		14,303,716		14,303,716		—		—
Information Technology		62,592,087		62,592,087		—		—
Materials		5,671,757		5,671,757		—		—
Mutual fund		12,546,620		12,546,620		—		—
Total assets	$	312,265,574	$	312,265,574	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

4

Investment Portfolio - March 31, 2015

(unaudited)

EQUITY INCOME SERIES	SHARES		VALUE
COMMON STOCKS - 95.4%
Consumer Discretionary - 8.8%
Hotels, Restaurants & Leisure - 3.0%
SeaWorld Entertainment, Inc.		42,260	$	814,773
Yum! Brands, Inc.		14,790		1,164,269
				1,979,042
Media - 5.8%
Gannett Co., Inc.		16,280		603,662
Time Warner, Inc.		13,360		1,128,118
Twenty-First Century Fox, Inc. - Class A		31,410		1,062,914
Viacom, Inc. - Class B		13,810		943,223
				3,737,917
Total Consumer Discretionary				5,716,959
Consumer Staples - 11.3%
Beverages - 4.1%
Diageo plc (United Kingdom)1		32,130		887,887
Dr. Pepper Snapple Group, Inc.		3,780		296,654
Molson Coors Brewing Co. - Class B2		12,920		961,894
PepsiCo, Inc.2		5,720		546,946
				2,693,381
Food & Staples Retailing - 1.4%
Wal-Mart Stores, Inc.		10,760		885,010
Food Products - 1.3%
ConAgra Foods, Inc.2		23,050		842,017
Household Products - 2.2%
Energizer Holdings, Inc.2		10,320		1,424,676
Tobacco - 2.3%
Philip Morris International, Inc.2		19,730		1,486,261
Total Consumer Staples				7,331,345
Energy - 7.7%
Oil, Gas & Consumable Fuels - 7.7%
BP plc - ADR (United Kingdom)		15,910		622,240
Chevron Corp.		12,780		1,341,644
ConocoPhillips2		9,330		580,886
Exxon Mobil Corp.2		22,460		1,909,100
TOTAL S.A. (France)1		11,850		589,026
Total Energy				5,042,896
Financials - 25.6%
Banks - 7.7%
BankUnited, Inc.		13,830		452,794
Citigroup, Inc.		34,750		1,790,320
HSBC Holdings plc (United Kingdom)1		64,140		546,562

1

Investment Portfolio - March 31, 2015

(unaudited)

EQUITY INCOME SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Financials (continued)
Banks (continued)
JPMorgan Chase & Co.		10,220	$	619,128
U.S. Bancorp		13,300		580,811
Wells Fargo & Co.		19,130		1,040,672
				5,030,287
Capital Markets - 2.4%
American Capital Ltd.*		20,490		303,047
Apollo Investment Corp.		40,580		311,452
Ares Capital Corp.		19,320		331,724
BlackRock Capital Investment Corp.		37,590		340,565
PennantPark Investment Corp.		32,150		290,957
				1,577,745
Insurance - 5.3%
Admiral Group plc (United Kingdom)1		67,020		1,517,504
Principal Financial Group, Inc.		26,020		1,336,647
The Progressive Corp.		22,760		619,072
				3,473,223
Real Estate Investment Trusts (REITS) - 9.7%
American Campus Communities, Inc.		5,960		255,505
CatchMark Timber Trust, Inc. - Class A		50,680		593,970
Lamar Advertising Co. - Class A		17,160		1,017,073
Mack-Cali Realty Corp.		9,800		188,944
Outfront Media, Inc.		37,904		1,134,088
Physicians Realty Trust		15,810		278,414
Plum Creek Timber Co., Inc.		31,900		1,386,055
Weyerhaeuser Co.		42,920		1,422,798
				6,276,847
Real Estate Management & Development - 0.5%
First Capital Realty, Inc. (Canada)		20,840		324,640
Total Financials				16,682,742
Health Care - 4.0%
Pharmaceuticals - 4.0%
Johnson & Johnson		13,780		1,386,268
Sanofi (France)1		12,370		1,221,645
Total Health Care				2,607,913
Industrials - 14.6%
Air Freight & Logistics - 1.5%
United Parcel Service, Inc. - Class B		9,850		954,859
Commercial Services & Supplies - 3.9%
Pitney Bowes, Inc.		43,180		1,006,958

2

Investment Portfolio - March 31, 2015

(unaudited)

EQUITY INCOME SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Industrials (continued)
Commercial Services & Supplies (continued)
Waste Management, Inc.		28,170	$	1,527,659
				2,534,617
Electrical Equipment - 1.0%
Rockwell Automation, Inc.		5,540		642,585
Industrial Conglomerates - 2.5%
General Electric Co.		65,200		1,617,612
Machinery - 3.0%
Donaldson Co., Inc.		10,710		403,874
Flowserve Corp.		16,630		939,429
Pentair plc (United Kingdom)		9,780		615,064
				1,958,367
Road & Rail - 1.6%
Union Pacific Corp.2		9,710		1,051,690
Trading Companies & Distributors - 1.1%
Fastenal Co.2		17,220		713,511
Total Industrials				9,473,241
Information Technology - 10.3%
Communications Equipment - 3.0%
Cisco Systems, Inc.		21,390		588,760
Juniper Networks, Inc.		59,570		1,345,091
				1,933,851
IT Services - 3.0%
Broadridge Financial Solutions, Inc.		12,540		689,825
Xerox Corp.		98,030		1,259,686
				1,949,511
Software - 1.4%
Microsoft Corp.		22,610		919,210
Technology Hardware, Storage & Peripherals - 2.9%
Apple, Inc.2		10,240		1,274,163
EMC Corp.		23,630		603,983
				1,878,146
Total Information Technology				6,680,718
Materials - 10.7%
Chemicals - 4.3%
Ashland, Inc.		5,060		644,189
The Dow Chemical Co.		33,290		1,597,254
The Mosaic Co.2		6,250		287,875

3

Investment Portfolio - March 31, 2015

(unaudited)

EQUITY INCOME SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Materials (continued)
Chemicals (continued)
Potash Corp. of Saskatchewan, Inc. (Canada)2		8,070	$	260,257
				2,789,575
Containers & Packaging - 5.4%
Avery Dennison Corp.		24,600		1,301,586
Bemis Co., Inc.2		13,750		636,763
Graphic Packaging Holding Co.		44,930		653,282
Sonoco Products Co.		20,600		936,476
				3,528,107
Paper & Forest Products - 1.0%
International Paper Co.2		12,240		679,198
Total Materials				6,996,880
Utilities - 2.4%
Electric Utilities - 1.6%
Eversource Energy		10,060		508,231
Exelon Corp.2		16,030		538,768
				1,046,999
Multi-Utilities - 0.8%
CMS Energy Corp.2		15,140		528,537
Total Utilities				1,575,536
TOTAL COMMON STOCKS (Identified Cost $59,707,710)				62,108,230
MUTUAL FUNDS - 3.0%
Schwab U.S. Dividend Equity ETF		24,790		976,974
Vanguard Dividend Appreciation ETF		12,220		983,343
TOTAL MUTUAL FUNDS (Identified Cost $1,981,372)				1,960,317
SHORT-TERM INVESTMENT - 2.2%
Dreyfus Cash Management, Inc. - Institutional Shares3, 0.03% (Identified Cost $1,399,282)		1,399,282		1,399,282
TOTAL INVESTMENTS - 100.6% (Identified Cost $63,088,364)				65,467,829
LIABILITIES, LESS OTHER ASSETS - (0.6%)				(380,116	)
NET ASSETS - 100%			$	65,087,713

4

Investment Portfolio - March 31, 2015

(unaudited)

EQUITY INCOME SERIES	CONTRACTS		VALUE
CALL OPTIONS WRITTEN - 0.0%**
Bemis Co., Inc., Strike $50.00, Expiring April 17, 2015		45	$	(225	)
CMS Energy Corp., Strike $35.00, Expiring April 17, 2015		50		(2,250	)
ConocoPhillips, Strike $62.50, Expiring April 17, 2015		30		(3,540	)
Exelon Corp., Strike $34.00, Expiring April 17, 2015		50		(3,250	)
Exxon Mobil Corp., Strike $90.00, Expiring April 17, 2015		75		(450	)
Fastenal Co., Strike $43.00, Expiring April 17, 2015		60		(2,700	)
International Paper Co., Strike $57.50, Expiring April 17, 2015		40		(1,240	)
Molson Coors Brewing Co. - Class B, Strike $77.50, Expiring April 17, 2015		40		(4,200	)
The Mosaic Co., Strike $50.00, Expiring April 17, 2015		20		(200	)
PepsiCo, Inc., Strike $100.00, Expiring April 17, 2015		20		(520	)
Philip Morris International, Inc., Strike $82.50, Expiring April 17, 2015		65		(195	)
Potash Corp. of Saskatchewan, Inc., Strike $34.00, Expiring April 17, 2015		25		(175	)
Union Pacific Corp., Strike $120.00, Expiring April 17, 2015		30		(90	)
TOTAL CALL OPTIONS WRITTEN (Premiums Received $34,577)			$	(19,035	)

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

*Non-income producing security.

**Less than 0.1%.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²A portion of this security is deposited with the broker as collateral for options contracts written. As of March 31, 2015, the total value of such securities was $5,568,850.

³Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	63,114,221
Unrealized appreciation		4,061,811
Unrealized depreciation		(1,708,203	)
Net unrealized appreciation	$	2,353,608

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate

5

Investment Portfolio - March 31, 2015

(unaudited)

that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	5,716,959		$	5,716,959		$	—	$	—
Consumer Staples		7,331,345			6,443,458			887,887		—
Energy		5,042,896			4,453,870			589,026		—
Financials		16,682,742			14,618,676			2,064,066		—
Health Care		2,607,913			1,386,268			1,221,645		—
Industrials		9,473,241			9,473,241			—		—
Information Technology		6,680,718			6,680,718			—		—
Materials		6,996,880			6,996,880			—		—
Utilities		1,575,536			1,575,536			—		—
Mutual funds		3,359,599			3,359,599			—		—
Total assets		65,467,829			60,705,205			4,762,624		—
Liabilities:
Other financial instruments*:
Equity contracts		(19,035	)		(19,035	)		—		—
Total liabilities		(19,035	)		(19,035	)		—		—
Total	$	65,448,794		$	60,686,170		$	4,762,624	$	—

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

*Other financial instruments are exchange traded options (Level 1).

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

6

Investment Portfolio - March 31, 2015

(unaudited)

FOCUSED OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS - 97.9%
Consumer Discretionary - 17.7%
Diversified Consumer Services - 2.9%
Apollo Education Group, Inc.*		450,860	$	8,530,271
Hotels, Restaurants & Leisure - 2.4%
Darden Restaurants, Inc.		105,580		7,320,917
Media - 9.1%
Discovery Communications, Inc. - Class A*		195,860		6,024,653
Gannett Co., Inc.		183,100		6,789,348
Sinclair Broadcast Group, Inc. - Class A		158,280		4,971,575
Tribune Media Co. - Class A		154,430		9,390,888
				27,176,464
Specialty Retail - 3.3%
Kingfisher plc (United Kingdom)1		1,748,890		9,867,319
Total Consumer Discretionary				52,894,971
Consumer Staples - 7.0%
Food Products - 7.0%
Dean Foods Co.		522,830		8,642,380
Post Holdings, Inc.*		259,270		12,144,207
Total Consumer Staples				20,786,587
Energy - 2.9%
Oil, Gas & Consumable Fuels - 2.9%
Cameco Corp. (Canada)		387,230		5,394,114
Cloud Peak Energy, Inc.*		557,130		3,242,496
Total Energy				8,636,610
Financials - 20.9%
Banks - 8.3%
Popular, Inc.*		448,500		15,423,915
Synovus Financial Corp.		337,802		9,461,834
				24,885,749
Consumer Finance - 3.2%
SLM Corp.*		1,018,970		9,456,042
Real Estate Investment Trusts (REITS) - 5.3%
CBL & Associates Properties, Inc.		306,400		6,066,720
Outfront Media, Inc.		324,216		9,700,543
				15,767,263
Real Estate Management & Development - 4.1%
Realogy Holdings Corp.*		267,160		12,150,437
Total Financials				62,259,491

1

Investment Portfolio - March 31, 2015

(unaudited)

FOCUSED OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Health Care - 4.9%
Health Care Equipment & Supplies - 2.2%
Halyard Health, Inc.*		131,110	$	6,450,612
Health Care Providers & Services - 2.7%
Quest Diagnostics, Inc.		104,620		8,040,047
Total Health Care				14,490,659
Industrials - 18.6%
Airlines - 5.6%
Latam Airlines Group S.A. - ADR (Chile)*		184,450		1,486,667
Republic Airways Holdings, Inc.*		1,091,850		15,012,937
				16,499,604
Building Products - 3.2%
Masco Corp.		357,730		9,551,391
Machinery - 2.0%
Joy Global, Inc.		151,430		5,933,027
Road & Rail - 7.8%
Heartland Express, Inc.		235,670		5,599,519
Hertz Global Holdings, Inc.*		550,710		11,939,393
Swift Transportation Co.*		222,390		5,786,588
				23,325,500
Total Industrials				55,309,522
Information Technology - 20.3%
Communications Equipment - 10.0%
ARRIS Group, Inc.*		402,190		11,621,280
Juniper Networks, Inc.		420,710		9,499,632
Polycom, Inc.*		646,830		8,667,522
				29,788,434
IT Services - 10.3%
EVERTEC, Inc.		452,020		9,881,157
Sabre Corp.		513,480		12,477,564
VeriFone Systems, Inc.*		242,800		8,471,292
				30,830,013
Total Information Technology				60,618,447
Materials - 5.6%
Containers & Packaging - 2.9%
Owens-Illinois, Inc.*		377,680		8,807,498

2

Investment Portfolio - March 31, 2015

(unaudited)

FOCUSED OPPORTUNITIES SERIES	SHARES		VALUE
COMMON STOCKS (continued)
Materials (continued)
Metals & Mining - 2.7%
Stillwater Mining Co.*		621,652	$	8,031,744
Total Materials				16,839,242
TOTAL COMMON STOCKS (Identified Cost $286,944,689)				291,835,529
SHORT-TERM INVESTMENT - 0.9%
Dreyfus Cash Management, Inc. - Institutional Shares2, 0.03% (Identified Cost $2,712,940)		2,712,940		2,712,940
TOTAL INVESTMENTS - 98.8% (Identified Cost $289,657,629)				294,548,469
OTHER ASSETS, LESS LIABILITIES - 1.2%				3,500,741
NET ASSETS - 100%			$	298,049,210

ADR - American Depositary Receipt

*Non-income producing security.

¹A factor from a third party vendor was applied to determine the security’s fair value following the close of local trading.

²Rate shown is the current yield as of March 31, 2015.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

Federal Tax Information:

On March 31, 2015, the identified cost of investments for federal income tax purposes, the resulting gross unrealized appreciation and depreciation, and the net unrealized appreciation were as follows:

Cost for federal income tax purposes	$	289,657,637
Unrealized appreciation		25,945,286
Unrealized depreciation		(21,054,454	)
Net unrealized appreciation	$	4,890,832

3

Investment Portfolio - March 31, 2015

(unaudited)

Fair Value Information:

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the valuation levels used for major security types as of March 31, 2015 in valuing the Series’ assets or liabilities carried at fair value:

DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity securities:
Consumer Discretionary	$	52,894,971	$	43,027,652	$	9,867,319	$	—
Consumer Staples		20,786,587		20,786,587		—		—
Energy		8,636,610		8,636,610		—		—
Financials		62,259,491		62,259,491		—		—
Health Care		14,490,659		14,490,659		—		—
Industrials		55,309,522		55,309,522		—		—
Information Technology		60,618,447		60,618,447		—		—
Materials		16,839,242		16,839,242		—		—
Mutual fund		2,712,940		2,712,940		—		—
Total assets	$	294,548,469	$	284,681,150	$	9,867,319	$	—

Please see the Investment Portfolio for foreign securities where a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading. Such securities are included in Level 2 in the table above.

There were no Level 3 securities held by the Series as of December 31, 2014 or March 31, 2015.

The Fund’s policy is to recognize transfers in and transfers out of the valuation levels as of the beginning of the reporting period. There were no transfers between Level 1 and Level 2 during the three months ended March 31, 2015.

The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.

4

ITEM 2: CONTROLS AND PROCEDURES

(a) Based on their evaluation of the Funds’ disclosure controls and procedures, as of a date within 90 days of the filing date, the Funds’ Principal Executive Officer and Principal Financial Officer have concluded that the Funds’ disclosure controls and procedures are: (i) reasonably designed to ensure that information required to be disclosed in this report is appropriately communicated to the Funds’ officers to allow timely decisions regarding disclosures required in this report; (ii) reasonably designed to ensure that information required to be disclosed in this report is recorded, processed, summarized and reported in a timely manner; and (iii) are effective in achieving the goals described in (i) and (ii) above.

(b) During the Funds’ last fiscal quarter, there have been no changes in the Funds’ internal control over financial reporting that the above officers believe to have materially affected, or to be reasonably likely to materially affect, the Funds’ internal control over financial reporting.

ITEM 3: EXHIBITS

Separate certifications for the Registrant’s principal executive officer and principal financial officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as EX-99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Manning & Napier Fund, Inc.

/s/ B. Reuben Auspitz

B. Reuben Auspitz

President & Principal Executive Officer of Manning & Napier Fund, Inc.

Date: May 26, 2015

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

/s/ B. Reuben Auspitz

B. Reuben Auspitz

President & Principal Executive Officer of Manning & Napier Fund, Inc.

Date: May 26, 2015

/s/ Christine Glavin

Christine Glavin

Chief Financial Officer & Principal Financial Officer of Manning & Napier Fund, Inc.

Date: May 26, 2015