UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07674

The Diversified Investors Funds Group

(Exact name of registrant as specified in charter)

Investment Company Act file number 811-07495

The Diversified Investors Funds Group II

(Exact name of registrant as specified in charter)

4 Manhattanville Road, Purchase NY	10577
(Address of principal executive offices)	(Zip code)

Joseph Carusone
4 Manhattanville Road, Purchase NY 10577
(Name and address of agent for service)

Registrant’s telephone number, including area code: (914) 697-8586

Date of fiscal year end: December 31, 2006

Date of reporting period: September 30, 2006

Item 1. Schedule of Investments.

The registrant’s schedule of investments as set forth by Rule 12-12 of Regulation S-X follows.

Diversified Investors Funds Group
Diversified Investors Strategic Allocation Funds

Quarterly Portfolios
September 30, 2006

Diversified Investors Money Market Fund
Diversified Investors High Quality Bond Fund
Diversified Investors Intermediate Government Bond Fund
Diversified Investors Core Bond Fund
Diversified Investors Total Return Bond Fund
Diversified Investors High Yield Bond Fund
Diversified Investors Balanced Fund
Diversified Investors Value & Income Fund
Diversified Investors Value Fund
Diversified Investors Stock Index Fund
Diversified Investors Growth & Income Fund
Diversified Investors Equity Growth Fund
Diversified Investors Aggressive Equity Fund
Diversified Investors Mid-Cap Value Fund
Diversified Investors Mid-Cap Growth Fund
Diversified Investors Small-Cap Value Fund
Diversified Investors Special Equity Fund
Diversified Investors Small-Cap Growth Fund
Diversified Investors International Equity Fund

The above funds, except for Diversified Investors Stock Index Fund, are fully invested in a corresponding series of Diversified Investors Portfolios which are located in this report.

Diversified Investors Stock Index Fund is fully invested in Master Index Portfolio — S&P 500 Index Master Portfolio which is located in this report.

Short Horizon Strategic Allocation Fund
Short Intermediate Horizon Strategic Allocation Fund
Intermediate Horizon Strategic Allocation Fund
Intermediate Long Horizon Strategic Allocation Fund
Long Horizon Strategic Allocation Fund

The above funds are “fund of funds” fully invested in various funds of the Diversified Investors Funds Group.

SHORT HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
September 30, 2006
(Unaudited)

Shares				Value
			Investments
	6,833,372		Diversified Investors Funds Group — Core Bond Fund	$	84,118,815
	210,468		Diversified Investors Funds Group — Equity Growth Fund		4,251,455
	78,502		Diversified Investors Funds Group — Growth & Income Fund		1,682,293
	3,649,075		Diversified Investors Funds Group — High Quality Bond Fund		41,489,982
	1,467,209		Diversified Investors Funds Group — High Yield Bond Fund		13,923,814
	128,006		Diversified Investors Funds Group — International Equity Fund		2,242,669
	48,564		Diversified Investors Funds Group — Mid-Cap Growth Fund		520,116
	56,715		Diversified Investors Funds Group — Mid-Cap Value Fund		834,845
	298,756		Diversified Investors Funds Group — Money Market Fund		3,181,662
	27,646		Diversified Investors Funds Group — Small-Cap Growth Fund		350,552
	29,633		Diversified Investors Funds Group — Small-Cap Value Fund		371,900
	14,916		Diversified Investors Funds Group — Special Equity Fund		369,466
	172,796		Diversified Investors Funds Group — Value & Income Fund		4,487,504
			Total Investments — 100.0% (Cost $157,822,616)		157,825,073
			Liabilities less other assets — (0.0%)		(12,514	)
			Net Assets — 100.0%	$	157,812,559
		The aggregate cost of investments for federal income tax purposes at September 30, 2006 is $157,822,616.
		The following amounts are based on cost for federal income tax purposes:
			Gross unrealized appreciation	$	3,331,423
			Gross unrealized depreciation		(3,328,966	)
			Net unrealized appreciation	$	2,457

See notes to portfolios of investments.

SHORT INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
September 30, 2006
(Unaudited)

Shares				Value
			Investments
	5,533,862		Diversified Investors Funds Group — Core Bond Fund	$	68,121,844
	660,466		Diversified Investors Funds Group — Equity Growth Fund		13,341,404
	246,402		Diversified Investors Funds Group — Growth & Income Fund		5,280,389
	2,955,126		Diversified Investors Funds Group — High Quality Bond Fund		33,599,786
	1,187,871		Diversified Investors Funds Group — High Yield Bond Fund		11,272,898
	401,249		Diversified Investors Funds Group — International Equity Fund		7,029,882
	152,095		Diversified Investors Funds Group — Mid-Cap Growth Fund		1,628,934
	178,007		Diversified Investors Funds Group — Mid-Cap Value Fund		2,620,259
	305,987		Diversified Investors Funds Group — Money Market Fund		3,258,668
	86,574		Diversified Investors Funds Group — Small-Cap Growth Fund		1,097,761
	92,914		Diversified Investors Funds Group — Small-Cap Value Fund		1,166,072
	46,750		Diversified Investors Funds Group — Special Equity Fund		1,158,008
	542,486		Diversified Investors Funds Group — Value & Income Fund		14,088,353
			Total Investments — 100.0% (Cost $158,166,587)		163,664,258
			Liabilities less other assets — (0.0%)		(12,868	)
			Net Assets — 100.0%	$	163,651,390
		The aggregate cost of investments for federal income tax purposes at September 30, 2006 is $158,166,587.
		The following amounts are based on cost for federal income tax purposes:
			Gross unrealized appreciation	$	7,462,860
			Gross unrealized depreciation		(1,965,189	)
			Net unrealized appreciation	$	5,497,671

See notes to portfolios of investments.

INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
September 30, 2006
(Unaudited)

Shares				Value
			Investments
	16,378,440		Diversified Investors Funds Group — Core Bond Fund	$	201,618,593
	4,619,172		Diversified Investors Funds Group — Equity Growth Fund		93,307,268
	1,724,345		Diversified Investors Funds Group — Growth & Income Fund		36,952,714
	8,456,957		Diversified Investors Funds Group — High Quality Bond Fund		96,155,603
	3,516,200		Diversified Investors Funds Group — High Yield Bond Fund		33,368,736
	2,811,110		Diversified Investors Funds Group — International Equity Fund		49,250,647
	1,064,518		Diversified Investors Funds Group — Mid-Cap Growth Fund		11,400,992
	1,245,142		Diversified Investors Funds Group — Mid-Cap Value Fund		18,328,493
	211,847		Diversified Investors Funds Group — Money Market Fund		2,256,106
	605,431		Diversified Investors Funds Group — Small-Cap Growth Fund		7,676,861
	649,900		Diversified Investors Funds Group — Small-Cap Value Fund		8,156,249
	327,039		Diversified Investors Funds Group — Special Equity Fund		8,100,764
	3,797,303		Diversified Investors Funds Group — Value & Income Fund		98,615,950
			Total Investments — 100.0% (Cost $628,068,310)		665,188,976
			Liabilities less other assets — (0.0%)		(54,092	)
			Net Assets – 100.0%	$	665,134,884
		The aggregate cost of investments for federal income tax purposes at September 30, 2006 is $628,068,310.
		The following amounts are based on cost for federal income tax purposes:
			Gross unrealized appreciation	$	42,438,954
			Gross unrealized depreciation		(5,318,288	)
			Net unrealized appreciation	$	37,120,666

See notes to portfolios of investments.

INTERMEDIATE LONG HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
September 30, 2006
(Unaudited)

Shares				Value
			Investments
	9,226,564		Diversified Investors Funds Group — Core Bond Fund	$	113,579,002
	6,241,657		Diversified Investors Funds Group — Equity Growth Fund		126,081,479
	2,329,028		Diversified Investors Funds Group — Growth & Income Fund		49,911,073
	4,927,560		Diversified Investors Funds Group — High Quality Bond Fund		56,026,352
	1,980,791		Diversified Investors Funds Group — High Yield Bond Fund		18,797,708
	3,792,195		Diversified Investors Funds Group — International Equity Fund		66,439,262
	1,437,693		Diversified Investors Funds Group — Mid-Cap Growth Fund		15,397,692
	1,682,430		Diversified Investors Funds Group — Mid-Cap Value Fund		24,765,371
	803,887		Diversified Investors Funds Group — Money Market Fund		8,561,158
	818,150		Diversified Investors Funds Group — Small-Cap Growth Fund		10,374,148
	878,157		Diversified Investors Funds Group — Small-Cap Value Fund		11,020,869
	441,881		Diversified Investors Funds Group — Special Equity Fund		10,945,389
	5,127,916		Diversified Investors Funds Group — Value & Income Fund		133,171,975
			Total Investments — 100.0% (Cost $568,865,066)		645,071,478
			Liabilities less other assets — (0.0%)		(50,846	)
			Net Assets — 100.0%	$	645,020,632
		The aggregate cost of investments for federal income tax purposes at September 30, 2006 is $568,865,066.
		The following amounts are based on cost for federal income tax purposes:
			Gross unrealized appreciation	$	80,054,804
			Gross unrealized depreciation		(3,848,392	)
			Net unrealized appreciation	$	76,206,412

See notes to portfolios of investments.

LONG HORIZON STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
September 30, 2006
(Unaudited)

Shares				Value
			Investments
	1,454,827		Diversified Investors Funds Group — Core Bond Fund	$	17,908,925
	4,857,038		Diversified Investors Funds Group — Equity Growth Fund		98,112,177
	1,760,657		Diversified Investors Funds Group — Growth & Income Fund		37,730,890
	778,376		Diversified Investors Funds Group — High Quality Bond Fund		8,850,140
	314,649		Diversified Investors Funds Group — High Yield Bond Fund		2,986,016
	3,023,060		Diversified Investors Funds Group — International Equity Fund		52,964,003
	1,190,434		Diversified Investors Funds Group — Mid-Cap Growth Fund		12,749,546
	1,271,908		Diversified Investors Funds Group — Mid-Cap Value Fund		18,722,486
	740,200		Diversified Investors Funds Group — Money Market Fund		7,882,910
	691,370		Diversified Investors Funds Group — Small-Cap Growth Fund		8,766,565
	691,882		Diversified Investors Funds Group — Small-Cap Value Fund		8,683,120
	353,847		Diversified Investors Funds Group — Special Equity Fund		8,764,800
	3,844,885		Diversified Investors Funds Group — Value & Income Fund		99,851,660
			Total Investments — 100.0% (Cost $332,466,598)		383,973,238
			Liabilities less other assets — (0.0%)		(30,033	)
			Net Assets — 100.0%	$	383,943,205
		The aggregate cost of investments for federal income tax purposes at September 30, 2006 is $332,466,598.
		The following amounts are based on cost for federal income tax purposes:
			Gross unrealized appreciation	$	52,561,350
			Gross unrealized depreciation		(1,054,710	)
			Net unrealized appreciation	$	51,506,640

See notes to portfolios of investments.

DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO PORTFOLIOS OF INVESTMENTS
(Unaudited)

1. Organization

The Diversified Investors Funds Group II (the “Trust”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is composed of twenty-four different series that are, in effect, separate investment funds. Five of the series are doing business as the Diversified Investors Strategic Allocation Funds, which are non-diversified open-end management investment companies as defined by the 1940 Act, and are presented herein: Short Horizon Strategic Allocation Fund (“Short Horizon”), Short Intermediate Horizon Strategic Allocation Fund (“Short Intermediate Horizon”), Intermediate Horizon Strategic Allocation Fund (“Intermediate Horizon”), Intermediate Long Horizon Strategic Allocation Fund (“Intermediate Long Horizon”), and Long Horizon Strategic Allocation Fund (“Long Horizon”) (individually a “Fund” and collectively, the “Funds”). The Trust established and designated Short Horizon, Intermediate Horizon, and Intermediate Long Horizon as separate series on April 15, 1996. Short Intermediate Horizon and Long Horizon were established and designated as separate series on May 1, 1998. Each Fund seeks to achieve its investment objective by investing all of its investable assets among the Diversified Investors Funds Group (the “Funds Group”). The Funds Group is an open-end management investment company registered under the 1940 Act (that has the same investment advisor as the Funds).

2. Investment Valuation

The value of any Fund’s investment in a corresponding fund of the Funds Group is valued at the net asset value per share of each Fund determined as of the close of business of the New York Stock Exchange (typically, 4:00 P.M. Eastern time) on the valuation date.

MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Principal			Value
		Commercial Paper - 47.2%
$	35,160,000	Bank of America Corp., 5.26%, 10/20/06	$	35,057,196
	35,000,000	Bank of Nova Scotia, 5.26%, 12/15/06		34,611,344
	34,580,000	Barclays US Funding LLC, 5.28%, 11/10/06		34,372,059
	23,000,000	Chariot Funding LLC - 144A, 5.27%, 10/17/06		22,942,762
	36,910,000	Citigroup Funding, Inc., 5.27%, 11/15/06		36,661,688
	34,780,000	Credit Suisse First Boston New York, 5.26%, 12/05/06		34,444,605
	35,180,000	Deutsche Bank Financial LLC, 5.26%, 10/27/06		35,041,215
	10,000,000	HBOS Treasury Service PLC, 5.39%, 11/22/06		9,920,647
	15,930,000	HSBC Americas, Inc., 5.29%, 10/13/06		15,899,598
	13,220,000	ING (US) Funding LLC, 5.25%, 12/15/06		13,073,478
	8,200,000	Jupiter Securities Corp.- 144A, 5.27%, 10/05/06		8,194,004
	26,967,000	Jupiter Securities Corp.- 144A, 5.27%, 10/11/06		26,923,617
	8,000,000	Old Line Funding LLC - 144A, 5.26%, 11/02/06		7,961,427
	26,200,000	The Bear Stearns Companies, Inc., 5.09%, 11/07/06		26,059,233
	11,540,000	The Bear Stearns Companies, Inc., 5.10%, 11/14/06		11,466,432
	35,020,000	UBS Finance Delaware, 5.26%, 10/02/06		35,009,786
	34,810,000	Windmill Funding Corp. - 144A, 5.26%, 10/27/06		34,672,805
		Total Commercial Paper (Cost $422,311,896)		422,311,896
		Yankee Certificates of Deposit - 11.9%
	34,670,000	Caylon NY Branch, 5.34%, 05/04/07		34,670,000
	36,600,000	Fortis Bank New York, 5.28%, 10/19/06		36,600,000
	35,030,000	Royal Bank of Canada, 5.35%, 10/03/06		35,030,000
		Total Yankee Certificates of Deposit (Cost $106,300,000)		106,300,000
		Domestic Certificate of Deposit - 3.9%
	34,950,000	First Tennessee Bank NA, 5.36%, 10/10/06 (Cost $34,950,000)		34,950,000
		Medium Term Corporate Notes - 1.5%
	13,660,000	Greenwich Capital Holdings Funding, Variable Rate, 5.29%, 02/13/07 (1) (Cost $13,660,000)		13,660,000
		Short Term US Government Agency Securities - 6.5%
		Federal Home Loan Bank - 2.8%
	25,050,000	5.48%, 10/12/07		25,050,000
		Freddie Mac - 3.7%
	33,900,000	4.93%, 01/18/07		33,389,335
		Total Short Term US Government Agency Securities (Cost $58,439,335)		58,439,335
		Short Term Corporate Notes - 11.7%
	16,900,000	American Express Credit, Series MTNB, Variable Rate, 4.93%, 04/05/07 (1)		16,900,000
	10,440,000	Canadian Imperial Bank of Commerce NY, Variable Rate, 5.31%, 12/22/06 (1)		10,440,000
	14,000,000	Merrill Lynch & Company, Series MNT5, Variable Rate, 5.58%, 02/07/07 (1)		14,000,000
	33,850,000	Morgan Stanley, Variable Rate, 5.36%, 02/02/07 (1)		33,850,000
	28,870,000	Societe Generale NY, Variable Rate, 5.26%, 10/31/06 (1)		28,869,640
		Total Short Term Corporate Notes (Cost $104,059,640)		104,059,640
		Total Securities (Cost $739,720,871)		739,720,871

See notes to portfolios of investments.

MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Repurchase Agreements - 17.1%
$	65,220,000	With Barclays Bank PLC, dated 09/29/06, 5.37%, due 10/02/06, repurchase proceeds at maturity $65,249,186 (Collateralized by Federal Home Loan Bank, 5.17%, due 03/14/08, with a value of $66,525,187)	$	65,220,000
	8,213	With Investors Bank & Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $8,216 (Collateralized by Small Business Administration, 8.13%, due 05/25/27, with a value of $8,624)		8,213
	88,000,000	With Warburg Dillon Reed, dated 09/29/06, 5.35%, due 10/02/06, repurchase proceeds at maturity $88,039,233 (Collateralized by various Fannie Maes, 6.00% - 6.50%, due 07/01/36-09/01/36, with a total value of $89,673,179 and Freddie Mac Gold, 7.50%, due 09/01/30, with a value of $89,911)		88,000,000
		Total Repurchase Agreements (Cost $153,228,213)		153,228,213
		Total Investments - 99.8% (Cost $892,949,084)		892,949,084
		Other assets less liabilities - 0.2%		1,665,647
		Net Assets - 100.0%	$	894,614,731

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $892,949,084.

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes—73.3%
		Aerospace and Defense—0.5%
$	4,375,000	The Boeing Company, 8.10%, 11/15/06	$	4,387,324
		Banks—8.4%
	5,000,000	American Express Bank FSB, Series BKNT, Floating Rate, 5.39%, 06/22/09(3)		5,003,555
	3,000,000	American Express Centurion Bank, Series BKNT, 4.38%, 07/30/09		2,946,765
	4,330,000	Bank of America Corp., 7.13%, 03/01/09		4,516,978
	1,375,000	Bank of America Corp., 7.80%, 02/15/10		1,485,605
	6,000,000	Bank of Montreal-Chicago, 7.80%, 04/01/07		6,068,052
	4,600,000	Bank of Scotland - 144A (United Kingdom), 3.50%, 11/30/07		4,512,609
	13,100,000	Bank One Corp., 2.63%, 06/30/08		12,547,612
	2,650,000	BankBoston NA, Series BKNT, 6.38%, 04/15/08		2,696,757
	2,000,000	HBOS Treasury Services PLC - 144A (United Kingdom), 3.75%, 09/30/08		1,947,254
	3,181,818	National City Bank, Series BKNT, 2.70%, 08/24/09		2,973,619
	3,630,000	US Bank NA, Series BKNT, 4.13%, 03/17/08		3,576,969
	3,125,000	Wachovia Corp., 5.63%, 12/15/08		3,153,034
	7,000,000	Wachovia Corp., Floating Rate, 5.42%, 07/20/07(3)		7,008,582
	3,000,000	Wells Fargo & Company, 4.20%, 01/15/10		2,916,753
	8,500,000	Wells Fargo & Company, Floating Rate, 5.45%, 03/23/10(2)		8,512,096
				69,866,240
		Equipment Rental and Leasing—1.3%
	6,675,000	International Lease Finance Corp., 6.38%, 03/15/09		6,844,458
	4,000,000	International Lease Finance Corp., 4.75%, 07/01/09		3,949,280
				10,793,738
		Financial Services—8.7%
	10,720,000	Capital One Financial Corp., Series MTN, 5.70%, 09/15/11		10,807,035
	2,050,000	Caterpillar Financial Services Corp., Series MTND, 9.50%, 02/06/07		2,067,236
	2,900,000	Caterpillar Financial Services Corp., Series MTNF, 3.10%, 05/15/07		2,860,401
	5,000,000	Citigroup, Inc., 3.50%, 02/01/08		4,894,685
	7,200,000	Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09		7,126,805
	1,000,000	General Electric Capital Corp., Series MTNA, 8.70%, 03/01/07		1,012,950
	2,500,000	General Electric Capital Corp., Series MTNA, 4.00%, 06/15/09		2,435,283
	1,500,000	Goldman Sachs Group, Inc., 4.50%, 06/15/10		1,466,919
	8,000,000	Goldman Sachs Group, Inc., Series MTN, Floating Rate, 5.89%, 10/07/11(2)		8,065,856
	8,060,000	Lehman Brothers Holdings, Inc., 7.00%, 02/01/08		8,230,081
	2,750,000	Lehman Brothers Holdings, Inc., Series MTNG, 3.95%, 11/10/09		2,657,234
	7,775,000	Merrill Lynch & Company, Series MTNC, 4.83%, 10/27/08		7,722,348
	6,000,000	Merrill Lynch & Company, Series MTNC, 4.13%, 01/15/09		5,866,902
	2,000,000	Morgan Stanley, 3.63%, 04/01/08		1,954,380
	2,354,000	Morgan Stanley, 3.88%, 01/15/09		2,292,123
	2,750,000	The Bear Stearns Companies, Inc., 2.88%, 07/02/08		2,645,814
				72,106,052
		Insurance—1.6%
	10,000,000	Met Life Global Funding I - 144A, Series MTN, 5.75%, 07/25/11		10,226,010
	2,785,000	Prudential Financial, Inc., Series MTN, 3.75%, 05/01/08		2,722,658
				12,948,668

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Machinery—0.3%
$	2,000,000	Caterpillar, Inc., 7.25%, 09/15/09	$	2,118,916
		Manufacturing—0.6%
	4,700,000	Siemens Financiering NV - 144A, (the Netherlands), Floating Rate, 5.47%, 08/14/09(2)		4,700,508
		Pharmaceuticals/Research and Development—0.6%
	2,525,000	Abbott Laboratories, 3.50%, 02/17/09		2,437,506
	2,500,000	Abbott Laboratories, 5.38%, 05/15/09		2,523,018
				4,960,524
		Private Asset Backed: Automobiles/Motor Vehicles and Automotive Equipment—15.0%
	4,500,000	Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12		4,409,676
	2,500,000	BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11(14)		2,499,370
	3,000,000	Capital Auto Receivables Asset Trust, Series 2005-1, Class A4, 4.05%, 07/15/09		2,973,785
	3,547,967	Capital One Auto Finance Trust, Series 2005-A, Class A3, 4.28%, 07/15/09		3,530,545
	2,000,000	Capital One Auto Finance Trust, Series 2005-BSS, Class A3, 4.08%, 11/15/09		1,985,320
	2,000,000	Capital One Auto Finance Trust, Series 2005-C, Class A3, 4.61%, 07/15/10		1,987,876
	3,500,000	Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10		3,424,215
	4,000,000	Capital One Prime Auto Receivables Trust, Series 2006-1, Class A2, 5.04%, 11/15/08		3,997,688
	4,500,000	Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11		4,394,325
	3,100,000	Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10		3,052,291
	815,550	Chase Manhattan Auto Owner Trust, Series 2004-A, Class CTFS, 2.58%, 09/15/10		798,623
	3,000,000	Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11		2,955,000
	2,000,000	Chase Manhattan Auto Owner Trust, Series 2006-A, Class A4, 5.36%, 01/15/13		2,017,639
	2,500,000	Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13		2,514,228
	3,200,000	Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14		3,214,740
	7,500,000	Fifth Third Auto Trust, Series 2004-A, Class A4, 3.70%, 10/20/11		7,379,862
	2,250,000	Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10		2,227,720
	1,000,000	Ford Credit Auto Owner Trust, Series 2005-B, Class C, 4.83%, 08/15/10		992,545
	2,400,000	Ford Credit Auto Owner Trust, Series 2005-C, Class A3, 4.30%, 08/15/09		2,376,417
	3,600,000	Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10		3,543,088
	6,311,786	Ford Credit Auto Owner Trust, Series 2006-A, Class A2A, 5.04%, 09/15/08		6,307,497
	2,089,707	Franklin Auto Trust, Series 2003-1, Class A4, 2.27%, 05/20/11		2,056,539
	1,036,444	Franklin Auto Trust, Series 2004-1, Class A2, 3.57%, 03/16/09		1,032,256
	2,747,025	Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11		2,674,404
	5,000,000	Hertz Vehicle Financing LLC - 144A, Series 2005-2A, Class A2, 4.93%, 02/25/10		4,977,144
	4,500,000	Honda Auto Receivables Owner Trust, Series 2006-1, Class A3, 5.07%, 02/18/10		4,500,389
	3,500,000	Long Beach Auto Receivables Trust, Series 2005-B, Class A3, 4.41%, 05/15/10		3,469,282
	2,000,000	Long Beach Auto Receivables Trust, Series 2006-A, Class A2, 5.36%, 11/15/09		2,001,294
	667,199	National City Auto Receivables Trust, Series 2004-A, Class A3, 2.11%, 07/15/08		664,791
	4,000,000	Nissan Auto Receivables Owner Trust, Series 2006-B, Class A2, 5.18%, 08/15/08		3,999,426
	3,250,000	Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11		3,190,366
	142,194	Ryder Vehicle Lease Trust, Series 2001-A, Class A5, 6.17%, 11/15/07		141,948
	9,600,000	Susquehanna Auto Lease Trust - 144A, Series 2005-1, Class A3, 4.43%, 06/16/08		9,539,999
	2,000,000	Susquehanna Auto Lease Trust - 144A, Series 2005-1, Class B, 4.71%, 07/14/08		1,982,818
	3,000,000	Susquehanna Auto Lease Trust - 144A, Series 2005-1, Class C, 5.09%, 11/14/08		2,969,576
	4,123,462	WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11		4,041,427
	6,929,824	World Omni Auto Receivables Trust, Series 2006-A, Class A2, 5.05%, 10/15/08		6,927,866
	4,550,000	World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12		4,563,508
				125,315,483

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Credit Cards—4.0%
$	7,000,000	Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14	$	7,092,735
	6,435,000	Citibank Credit Card Issuance Trust, Series 2004-A1, Class A1, 2.55%, 01/20/09		6,386,072
	8,000,000	Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13		8,127,375
	1,925,000	Citibank Credit Card Issuance Trust, Series 2006-B2, Class B2, 5.15%, 03/07/11		1,925,141
	1,550,000	Discover Card Master Trust I, Series 2002-2, Class B, 5.45%, 10/15/09		1,550,406
	8,000,000	GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12		8,015,000
				33,096,729
		Private Asset Backed: Financial Services—5.4%
	1,927,153	Caterpillar Financial Asset Trust, Series 2004-A, Class A3, 3.13%, 01/26/09		1,904,931
	5,000,000	Caterpillar Financial Asset Trust, Series 2005-A, Class A4, 4.10%, 06/25/10		4,923,676
	3,000,000	Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12		3,049,541
	2,718,822	Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18		2,680,248
	6,689,896	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37		6,645,154
	6,935,164	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 12/10/10		7,059,344
	1,286,233	Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41		1,254,231
	1,272,999	Morgan Stanley Capital I, Series 2004-T13, Class A1, 2.85%, 09/13/45		1,232,770
	6,615,488	Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42		6,541,182
	2,557,729	Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42		2,530,412
	4,497,875	Morgan Stanley Capital I, Series 2006-IQ11, Class A1, 5.55%, 10/15/42		4,543,851
	2,253,052	Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10		2,268,122
				44,633,462
		Private Asset Backed: Mortgage and Home Equity—13.5%
	2,560,343	American General Mortgage Loan Trust, Series 2006-1, Class A1, 5.75%, 12/25/35		2,559,016
	1,188,521	Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A1, 3.37%, 07/11/43		1,178,004
	1,765,626	Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41		1,723,372
	5,000,000	Banc of America Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.52%, 07/10/46		5,069,145
	927,856	Bear Stearns Commercial Mortgage Securities, Inc., Series 1998-C1, Class A1, 6.34%, 06/16/30		931,751
	328,183	Bear Stearns Commercial Mortgage Securities, Inc., Series 1999-C1, Class A1, 5.91%, 02/14/31		328,839
	893,246	Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16		890,744
	827,794	Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35		808,767
	1,473,446	Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42		1,438,570
	1,763,730	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42		1,739,500
	3,802,572	Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38		3,831,792
	3,674,691	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44		3,668,329
	1,576,205	Commercial Mortgage Pass-Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39		1,529,916
	4,687,625	Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CP4, Class A2, 5.87%, 12/15/35		4,708,613

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	2,112,879	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A1, 2.08%, 05/15/38	$	2,051,817
	1,698,820	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C1, Class A1, 2.25%, 01/15/37		1,666,582
	511,840	GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38		516,010
	6,385,348	GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35		6,492,528
	3,440,564	GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A1, 4.23%, 12/10/37		3,373,340
	1,838,984	GE Capital Commercial Mortgage Corp., Series 2004-C3, Class A1, 3.75%, 07/10/39		1,801,440
	1,914,664	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48		1,877,109
	2,200,000	GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25		2,179,829
	849,933	Interstar Millennium Trust, Series 2003-3G, Class A2 (Australia), Floating Rate, 5.62%, 09/27/35(2)		852,923
	1,430,090	Interstar Millennium Trust, Series 2004-2G, Class A (Australia), Floating Rate, 5.59%, 03/14/36(2)		1,433,807
	731,615	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34		716,695
	4,646,776	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A1, 4.61%, 10/15/42		4,599,865
	3,085,971	JPMorgan Mortgage Trust, Series 2005-A1, Class 5A1, 4.48%, 02/25/35		2,996,015
	1,275,448	LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A1, 2.72%, 03/15/27		1,243,575
	1,850,000	LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27		1,802,835
	2,200,732	LB-UBS Commercial Mortgage Trust, Series 2003-C3, Class A1, 2.60%, 05/15/27		2,134,660
	3,000,000	LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27		2,915,421
	1,619,887	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29		1,588,815
	873,643	LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A1, 4.74%, 09/15/40		867,506
	4,443,116	LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class A1, 4.99%, 11/15/30		4,433,164
	2,300,000	Permanent Financing PLC, Series 7, Class 2A (United Kingdom), Floating Rate, 5.43%, 09/10/14(2)		2,300,574
	3,000,000	Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35		2,958,476
	6,643,102	Structured Adjustable Rate Mortgage Loan, Series 2005-23, Class 1A3, 5.45%, 01/25/36		6,640,250
	7,072,619	Structured Adjustable Rate Mortgage Loan, Series 2006-1, Class 5A1, 5.25%, 02/25/36		7,032,693
	3,131,324	Wachovia Bank Commercial Mortgage Trust, Series 2003-4, Class A1, 3.00%, 04/15/35		3,055,884
	8,000,000	Washington Mutual Mortgage Pass-Through Certificates, WMALT Series 2005-8, Class 1A8, 5.50%, 10/25/35		8,004,380
	1,988,657	Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A1, 3.50%, 10/25/18		1,951,354
	5,317,707	Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35		5,243,901
				113,137,806
		Private Asset Backed: Other—5.9%
	5,000,000	ALG Student Loan Trust - 144A, Series 2006-1A, Class A1, Floating Rate, 5.51%, 10/28/18(2)		5,003,624
	1,134,801	Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33		1,110,783
	4,277,107	California Infrastructure PG&E Corp., Series 1997-1, Class A8, 6.48%, 12/26/09		4,319,865
	384,985	CIT Equipment Collateral, Series 2004-VT1, Class A3, 2.20%, 03/20/08		381,800
	3,000,000	CIT Equipment Collateral, Series 2006-VT1, Class A3, 5.13%, 12/21/09		3,001,637
	949,794	CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13		950,578
	2,837,903	CNH Equipment Trust, Series 2004-A, Class A3B, 2.94%, 10/15/08		2,810,001
	3,000,000	CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13		2,999,822
	2,404,236	Connecticut RRB Special Purpose Trust CL&P1, Series 2001-1, Class A3, 5.73%, 03/30/09		2,407,140

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Other (continued)
$	1,714,448	Crusade Global Trust, Series 2004-2, Class A1 (Australia), Floating Rate, 5.52%, 11/19/37(2)	$	1,717,426
	3,528,356	Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 5.40%, 08/25/20(2)		3,530,690
	7,000,000	John Deere Owner Trust, Series 2006-A, Class A3, 5.38%, 07/15/10		7,036,709
	4,152,771	Marlin Leasing Receivables LLC - 144A, Series 2005-1A, Class A2, 4.49%, 01/15/08		4,140,441
	3,501,000	Marlin Leasing Receivables LLC - 144A, Series 2006-1A, Class A4, 5.33%, 09/16/13		3,479,119
	2,758,437	Nelnet Student Loan Corp., Series 2001-A, Class A1, 5.76%, 07/01/12		2,777,616
	896,822	PBG Equipment Trust, Series 1A, Class A, 6.27%, 01/20/12		897,928
	2,400,000	Providian Gateway Master Trust - 144A, Series 2004-FA, Class A, 3.65%, 11/15/11		2,358,374
				48,923,553
		Private Asset Backed: Transportation—0.9%
	2,150,000	E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18		2,069,258
	4,900,723	Railcar Leasing LLC, Series 1, Class A2, 7.13%, 01/15/13		5,123,633
				7,192,891
		Private Asset Backed: Utilities—0.2%
	1,601,700	PECO Energy Transition Trust, Series 1999-A, Class A6, 6.05%, 03/01/09		1,607,095
		Special Purpose Entity—0.9%
	2,500,000	New York Life Global Funding - 144A, 3.88%, 01/15/09		2,430,660
	5,000,000	New York Life Global Funding - 144A, Floating Rate, 5.46%, 02/26/07(2)		5,003,340
				7,434,000
		Telecommunications Equipment and Services—2.0%
	3,500,000	AT&T, Inc., 5.30%, 11/15/10		3,492,888
	5,455,000	SBC Communications, Inc., 4.13%, 09/15/09		5,286,119
	7,350,000	Sprint Capital Corp., 7.63%, 01/30/11		7,921,124
				16,700,131
		Utilities—3.5%
	6,725,000	Alabama Power Company, Series G, 5.38%, 10/01/08		6,745,444
	3,000,000	Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09		2,967,525
	3,160,000	Exelon Corp., 4.45%, 06/15/10		3,065,099
	1,625,000	FirstEnergy Corp., Series B, 6.45%, 11/15/11		1,696,999
	3,195,000	Northern States Power Company — Minnesota, 6.88%, 08/01/09		3,330,037
	5,200,000	Northern States Power Company — Wisconsin, 7.64%, 10/01/08		5,422,721
	5,534,000	Ohio Edison, 4.00%, 05/01/08		5,419,623
	450,000	Xcel Energy, Inc., 3.40%, 07/01/08		435,247
				29,082,695
		Total Corporate Bonds and Notes (Cost $613,844,858)		609,005,815

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Treasury Securities—4.7%
		US Treasury Notes
$	7,250,000	4.25%, 11/30/07(8)	$	7,200,446
	14,000,000	4.88%, 05/31/08(8)		14,030,632
	18,000,000	5.00%, 07/31/08		18,090,018
		Total US Treasury Securities (Cost $39,244,843)		39,321,096
		US Government Agency Securities—20.1%
		Asset Backed: Mortgage and Home Equity—11.6%
	171,638	Fannie Mae, Series 1993-234, Class PC, 5.50%, 12/25/08		171,248
	5,400,000	Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26		5,256,594
	1,888,405	Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27		1,855,252
	2,769,457	Fannie Mae, Series 2003-46, Class PQ, 3.00%, 06/25/19		2,749,101
	2,550,000	Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26		2,447,741
	1,857,892	Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33		1,824,501
	1,173,239	Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25		1,142,831
	5,538,546	Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31		5,247,666
	4,287,553	Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23		4,196,923
	1,552,398	Fannie Mae, Series 2004-21, Class QA, 4.00%, 11/25/17		1,540,380
	3,083,773	Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29		2,960,042
	5,877,410	Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16		5,738,366
	6,841,700	Federal Home Loan Bank, Series 00-0582, Class H, 4.75%, 10/25/10		6,755,767
	4,867,474	Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09		4,733,876
	2,524,001	Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09		2,451,272
	1,361,449	Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31		1,375,032
	2,315,011	Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29		2,215,184
	6,117,025	Freddie Mac, Series 2625, Class JD, 3.25%, 07/15/17		5,766,634
	5,466,972	Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16		5,149,827
	6,309,224	Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17		6,107,889
	5,800,000	Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26		5,617,723
	6,291,018	Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18		5,911,910
	4,809,614	Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16		4,654,579
	2,829,808	Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13		2,806,811
	2,132,767	Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17		2,052,942
	4,960,120	Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27		4,972,039
				95,702,130
		Asset Backed: US Government Agencies—0.6%
	5,000,000	Student Loan Marketing Association Student Loan Trust - 144A, Series 2003-4, Class A5B, 3.39%, 03/15/33		4,847,325
		Fannie Mae—3.1%
	7,000,000	3.00%, 03/02/07		6,934,684
	3,800,000	5.00%, 09/15/08		3,802,946
	767,713	PL# 254062, 6.00%, 10/01/11		775,879
	1,760,414	PL# 254754, 4.50%, 05/01/10		1,724,751
	2,599,615	PL# 254758, 4.50%, 06/01/13		2,544,403
	1,296,132	PL# 254805, 5.00%, 06/01/13		1,286,785
	2,509,302	PL# 254807, 5.00%, 07/01/13		2,491,206
	650,209	PL# 323743, 5.00%, 04/01/14		642,977
	374,573	PL# 429168, 6.00%, 05/01/13		378,920
	224,689	PL# 50903, 6.00%, 09/01/08		224,834

See notes to portfolios of investments.

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	305,385	PL# 50973, 6.00%, 01/01/09	$	305,582
	398,172	PL# 517699, 6.00%, 07/01/14		404,409
	1,225,144	PL# 545038, 6.00%, 09/01/14		1,240,312
	2,714,611	PL# 555154, 5.50%, 12/01/22		2,704,184
	167,116	PL# 609771, 6.00%, 09/01/08		167,666
				25,629,538
		Federal Home Loan Bank—2.7%
	7,500,000	4.00%, 04/25/07		7,445,970
	10,000,000	Series 623, 4.63%, 07/18/07		9,956,070
	5,103,751	Series 6T-9009, 3.84%, 11/25/09		4,930,022
				22,332,062
		Freddie Mac—1.1%
	4,555,000	4.25%, 02/28/07		4,535,887
	5,000,000	4.50%, 04/18/07		4,976,235
				9,512,122
		Freddie Mac Gold—0.8%
	146,227	PL# E00532, 6.50%, 02/01/13		148,830
	254,692	PL# E00542, 6.50%, 04/01/13		259,309
	688,682	PL# E00676, 5.50%, 06/01/14		691,600
	1,031,429	PL# E89557, 5.50%, 04/01/17		1,033,759
	3,671,204	PL# G40426, 5.50%, 03/01/11		3,673,526
	877,250	PL# M90802, 4.00%, 03/01/08		865,239
				6,672,263
		Government National Mortgage Association—0.2%
	1,977,613	PL# 436708, 5.75%, 12/15/22		1,992,172
		Total US Government Agency Securities (Cost $169,491,661)		166,687,612
		Foreign Government Obligations—0.5%
	4,000,000	Province of Ontario (Canada), 5.50%, 10/01/08 (Cost $4,126,925)		4,040,316
		Municipal Bonds—0.8%
		Texas
	6,350,000	Brazos Texas Higher Education Authority, Revenue Bond, Series A-5, 4.91%, 12/01/40 (Cost $6,281,539)		6,320,854

HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Securities Lending Collateral—2.0%
$	16,974,568	Securities Lending Collateral Investment (Note 3) (Cost $16,974,568)	$	16,974,568
		Total Securities (Cost $849,964,394)		842,350,261
		Repurchase Agreements—0.9%
	7,463,809	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $7,466,770 (Collateralized by Government National Mortgage Association, 4.75%, due 02/20/32, with a value of $1,098,176 and Small Business Administration, 8.09%, due 08/25/29, with a value of $6,738,823) (Cost $7,463,809)		7,463,809
		Total Investments — 102.3% (Cost $857,428,203)		849,814,070
		Liabilities less other assets — (2.3)%		(18,902,186	)
		Net Assets — 100.0%	$	830,911,884

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $857,428,203.
The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	1,523,541
Gross unrealized depreciation		(9,137,674	)
Net unrealized depreciation	$	(7,614,133	)

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Principal			Value
		US Treasury Securities—41.2%
		US Treasury Notes
$	7,593,000	4.00%,06/15/09(8)	$	7,476,736
	13,017,000	3.63%, 07/15/09(8)		12,684,975
	13,377,000	4.50%, 02/28/11(8)		13,331,023
	15,194,000	4.88%, 05/31/11(8)		15,373,244
	16,694,000	4.88%, 02/15/12(8)		16,932,023
	2,029,000	4.50%, 11/15/15		2,009,980
		Total US Treasury Securities (Cost $67,181,902)		67,807,981
		US Government Agency Securities—44.4%
		Fannie Mae—40.7%
	10,443,000	3.25%, 01/15/08		10,214,716
	23,373,000	3.88%, 07/15/08		22,941,956
	13,360,000	7.25%, 01/15/10		14,309,656
	13,813,000	6.00%, 05/15/11		14,444,337
	5,021,000	4.38%, 03/15/13		4,868,567
				66,779,232
		Federal Home Loan Bank—3.4%
	5,580,000	4.13%, 04/18/08		5,511,104
		Government National Mortgage Association—0.3%
	530,153	PL# 615244, 6.50%, 06/15/33		544,543
		Total US Government Agency Securities (Cost $72,484,331)		72,834,879
		Corporate Bonds and Notes—9.6%
		Private Asset Backed: Financial Services—0.8%
	1,319,000	Morgan Stanley Capital I, Series 2005-T17, Class A5, 4.78%, 12/13/41		1,273,304
		Private Asset Backed: Mortgage and Home Equity—8.8%
	1,044,000	Ameriquest Mortgage Securities, Inc., Series 2003-IA1, Class A4, 4.97%, 11/25/33		1,033,797
	1,284,000	Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4, Variable Rate, 5.18%, 09/10/47(1)		1,276,976
	1,771,000	Citigroup Commercial Mortgage Trust, Series 2004-C2, Class A5, 4.73%, 10/15/41		1,705,091
	1,269,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A4, 5.55%, 01/15/46(8)		1,276,013
	2,044,000	Citigroup/Deutsche Bank Commerical Mortgage Trust, Series 2006-CD2, Class A2, 5.41%, 01/15/46		2,061,885
	2,588,000	Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A, 5.12%, 06/10/44		2,549,804
	1,306,000	Credit-Based Asset Servicing and Securities, Series 2005-CB3, Class AF2, 4.45%, 12/25/34		1,287,152
	2,627,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class A4A, 4.94%, 08/15/42		2,551,120
	792,000	Renaissance Home Equity Loan Trust, Series 2006-2, Class AF3, 5.80%, 08/25/36		798,689
				14,540,527
		Total Corporate Bonds and Notes (Cost $15,885,079)		15,813,831

See notes to portfolios of investments.

INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Short Term US Government Agency Securities—3.9%
		Fannie Mae—2.2%
$	2,920,000	5.13%, 10/02/06	$	2,919,168
	654,000	5.12%, 10/11/06		652,977
				3,572,145
		Freddie Mac—1.7%
	1,178,000	5.14%, 10/19/06		1,174,804
	1,708,000	5.15%, 10/24/06		1,702,136
				2,876,940
		Total Short Term US Government Agency Securities (Cost $6,449,085)		6,449,085
		Securities Lending Collateral—22.6%
	37,203,076	Securities Lending Collateral Investment (Note 3) (Cost $37,203,076)		37,203,076
		Total Securities (Cost $199,203,473)		200,108,852
		Repurchase Agreements—0.5%
	892,741	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $893,096 (Collateralized by Small Business Administration, 8.63%, due 10/25/20, with a value of $937,379) (Cost $892,741)		892,741
		Total Investments — 122.2% (Cost $200,096,214)		201,001,593
		Liabilities less other assets — (22.2)%		(36,515,956	)
		Net Assets — 100.0%	$	164,485,637

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $200,096,214.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	1,031,899
Gross unrealized depreciation		(126,520	)
Net unrealized appreciation	$	905,379

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Principal			Value
		US Treasury Securities—4.2%
		US Treasury Bonds—0.3%
$	4,500,000	6.25%, 08/15/23(8)	$	5,225,981
	390,000	4.50%, 02/15/36		373,821
				5,599,802
		US Treasury Inflation Index—1.6%
	10,162,363	2.00%, 07/15/14		9,963,089
	9,193,164	2.50%, 07/15/16		9,379,904
	16,206,831	2.00%, 01/15/26		15,548,445
				34,891,438
		US Treasury Notes—1.3%
	2,740,000	4.63%, 08/31/11		2,743,855
	23,425,000	4.88%, 08/15/16		23,875,205
				26,619,060
		US Treasury Strips—1.0%
	12,125,000	Zero coupon, 11/15/21		5,831,919
	38,580,000	Zero coupon, 11/15/27		13,993,622
				19,825,541
		Total US Treasury Securities (Cost $85,923,097)		86,935,841
		US Government Agency Securities—49.1%
		Asset Backed: Mortgage and Home Equity—6.0%
	2,490,716	Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29		2,509,029
	8,956,387	Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18		8,813,321
	5,179,099	Fannie Mae, Series 2004-101, Class AR, 5.50%, 01/25/35		5,196,973
	6,431,874	Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34		6,331,949
	7,528,642	Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34		7,524,494
	15,824,864	Fannie Mae, Series 2005-47, Class PA, 5.50%, 09/25/24		15,827,898
	6,972,763	Fannie Mae, Series 2005-51, Class TA, 5.50%, 12/25/33		6,968,664
	4,611,785	Fannie Mae, Series 2005-57, Class PA, 5.50%, 05/25/27		4,618,709
	259,584	Fannie Mae, Series 2005-70, Class NA, 5.50%, 08/25/35		260,118
	9,479,500	Fannie Mae, Series 2005-80, Class PB, 5.50%, 04/25/30		9,508,506
	6,182,729	Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15		6,222,853
	4,428,018	Freddie Mac, Series 2877, Class PA, 5.50%, 07/15/33		4,443,352
	8,789,483	Freddie Mac, Series 2927, Class BA, 5.50%, 10/15/33		8,826,654
	14,128,711	Freddie Mac, Series 2984, Class NA, 5.50%, 04/15/26		14,164,460
	6,505,312	Freddie Mac, Series 2996, Class MK, 5.50%, 06/15/35		6,533,539
	16,624,580	Freddie Mac, Series 3138, Class PA, 5.50%, 02/15/27		16,670,322
				124,420,841
		Asset Backed: US Government Agencies—0.2%
	2,294,423	Small Business Administration, Series 2002-P10B, Class I, 5.20%, 08/01/12		2,302,008
	2,451,497	Small Business Administration, Series 2004-P10A, 4.50%, 02/10/14		2,379,019
				4,681,027

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae—36.0%
$	13,850,000	4.00%, 10/16/06	$	13,842,466
	25,850,000	2.71%, 01/30/07		25,634,308
	14,090,000	2.35%, 04/05/07		13,885,441
	25,000,000	4.38%, 12/17/07		24,798,125
	14,550,000	7.25%, 01/15/10		15,584,243
	4,100,000	5.25%, 08/01/12		4,126,560
	10,200,000	4.63%, 05/01/13		9,903,404
	324,744	PL# 252571, 7.00%, 07/01/29		334,957
	5,264	PL# 252716, 7.00%, 09/01/29		5,430
	1,324	PL# 253264, 7.00%, 05/01/30		1,364
	1,064	PL# 253346, 7.50%, 06/01/30		1,102
	14,827	PL# 253479, 7.00%, 10/01/30		15,283
	38,118	PL# 253990, 7.00%, 09/01/16		39,126
	29,114	PL# 254008, 7.00%, 10/01/31		29,983
	393,520	PL# 254346, 6.50%, 06/01/32		402,326
	340,280	PL# 254406, 6.50%, 08/01/32		347,895
	228,434	PL# 255950, 6.00%, 09/01/15		232,226
	678,092	PL# 256137, 6.00%, 02/01/16		689,346
	724,267	PL# 256335, 6.00%, 07/01/16		736,287
	1,006,279	PL# 323842, 5.50%, 07/01/14		1,011,061
	54,465	PL# 323967, 7.00%, 10/01/29		56,177
	2,603,771	PL# 357327, 5.00%, 01/01/18		2,568,164
	5,087	PL# 492742, 7.00%, 05/01/29		5,247
	5,024	PL# 503916, 7.50%, 06/01/29		5,216
	2,235	PL# 508415, 7.00%, 08/01/29		2,305
	12,845	PL# 515946, 7.00%, 10/01/29		13,249
	464	PL# 524164, 7.00%, 11/01/29		478
	114,723	PL# 524657, 7.00%, 01/01/30		118,254
	24,559	PL# 526053, 7.00%, 12/01/29		25,331
	581	PL# 527717, 7.50%, 01/01/30		603
	8,696	PL# 528107, 7.00%, 02/01/30		8,970
	1,317	PL# 531092, 7.50%, 10/01/29		1,368
	13,758	PL# 531497, 7.00%, 02/01/30		14,182
	6,516	PL# 531735, 7.00%, 02/01/30		6,716
	955	PL# 533841, 7.50%, 12/01/30		989
	26,499	PL# 535030, 7.00%, 12/01/29		27,332
	39,830	PL# 535103, 7.00%, 01/01/15		41,057
	10,411	PL# 535159, 7.00%, 02/01/30		10,738
	47,787	PL# 535195, 7.00%, 03/01/30		49,290
	16,027	PL# 535277, 7.00%, 04/01/30		16,531
	496,628	PL# 535675, 7.00%, 01/01/16		509,851
	1,072	PL# 535722, 7.00%, 02/01/31		1,105
	7,105	PL# 535723, 7.00%, 02/01/31		7,324
	1,678	PL# 535811, 6.50%, 04/01/31		1,716
	109,763	PL# 535880, 7.00%, 02/01/31		113,179
	1,528	PL# 540211, 7.50%, 06/01/30		1,582
	6,001	PL# 542999, 7.50%, 08/01/30		6,216
	106,751	PL# 545194, 7.00%, 08/01/31		109,938
	34,695	PL# 545477, 7.00%, 03/01/32		35,720
	267,681	PL# 545759, 6.50%, 07/01/32		273,671
	1,043,498	PL# 545760, 6.50%, 07/01/32		1,066,850
	196,224	PL# 545762, 6.50%, 07/01/32		200,615
	36,923	PL# 545815, 7.00%, 07/01/32		38,025

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	66,958	PL# 548822, 7.00%, 08/01/30	$	69,019
	47,795	PL# 549659, 7.00%, 02/01/16		49,059
	14,865	PL# 549962, 7.00%, 10/01/30		15,323
	48,126	PL# 549975, 7.00%, 10/01/30		49,608
	5,867	PL# 550440, 7.00%, 02/01/16		6,022
	44	PL# 550544, 7.50%, 09/01/30		46
	56,180	PL# 554493, 7.00%, 10/01/30		57,909
	302,489	PL# 555114, 5.50%, 12/01/17		303,256
	35,569	PL# 555144, 7.00%, 10/01/32		36,646
	470,351	PL# 555254, 6.50%, 01/01/33		481,059
	268,862	PL# 555798, 6.50%, 05/01/33		274,984
	1,619	PL# 558362, 7.50%, 11/01/30		1,677
	657	PL# 558519, 7.50%, 11/01/30		681
	8,183	PL# 559277, 7.00%, 10/01/30		8,435
	41,202	PL# 559313, 7.00%, 12/01/30		42,470
	1,285	PL# 559741, 7.50%, 01/01/31		1,330
	26,609	PL# 560384, 7.00%, 11/01/30		27,428
	1,459	PL# 560596, 7.50%, 01/01/31		1,511
	2,869	PL# 561678, 7.50%, 12/01/30		2,971
	1,501	PL# 564080, 7.50%, 12/01/30		1,555
	11,044	PL# 564183, 7.00%, 12/01/30		11,384
	1,748	PL# 564529, 7.50%, 12/01/30		1,810
	16,534	PL# 566658, 7.00%, 02/01/31		17,028
	6,451	PL# 575285, 7.50%, 03/01/31		6,677
	8,280	PL# 579161, 6.50%, 04/01/31		8,469
	14,759	PL# 580179, 7.00%, 10/01/16		15,149
	707	PL# 580377, 7.50%, 04/01/31		732
	9,725	PL# 584811, 7.00%, 05/01/31		10,015
	159,492	PL# 585248, 7.00%, 06/01/31		164,400
	1,136	PL# 589405, 7.50%, 06/01/31		1,176
	10,339	PL# 589893, 7.00%, 06/01/31		10,647
	4,714	PL# 592129, 7.50%, 06/01/31		4,879
	8,393	PL# 596895, 6.50%, 07/01/31		8,584
	12,051	PL# 598125, 7.00%, 09/01/16		12,370
	9,193	PL# 606551, 6.50%, 10/01/31		9,403
	4,114	PL# 606600, 7.00%, 10/01/31		4,237
	56,010	PL# 607386, 5.50%, 11/01/16		56,187
	22,545	PL# 610128, 7.00%, 10/01/31		23,218
	242,225	PL# 610579, 5.50%, 12/01/16		242,991
	20,544	PL# 611323, 7.00%, 10/01/16		21,087
	2,096,597	PL# 619054, 5.50%, 02/01/17		2,101,908
	6,372	PL# 622119, 6.50%, 01/01/32		6,517
	277,131	PL# 624035, 6.50%, 01/01/32		284,676
	13,100	PL# 629236, 6.50%, 02/01/32		13,393
	782,787	PL# 631321, 5.50%, 02/01/17		784,770
	62,658	PL# 631606, 5.50%, 03/01/17		62,817
	52,030	PL# 632269, 7.00%, 05/01/32		53,583
	9,266	PL# 634563, 6.50%, 03/01/32		9,473
	91,524	PL# 634949, 7.00%, 05/01/32		94,228
	300,330	PL# 635164, 6.50%, 08/01/32		307,051
	2,530	PL# 644932, 6.50%, 07/01/32		2,587
	5,622	PL# 647556, 7.00%, 01/01/30		5,798
	584,046	PL# 648795, 6.50%, 08/01/32		597,116
	191,527	PL# 650206, 5.50%, 01/01/18		192,012
	71,508	PL# 650291, 6.50%, 07/01/32		73,108

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	4,946	PL# 650872, 7.00%, 07/01/32	$	5,092
	37,124	PL# 650891, 6.50%, 07/01/32		37,955
	274,477	PL# 651649, 6.50%, 08/01/32		280,620
	1,162,148	PL# 652127, 6.50%, 06/01/32		1,188,155
	3,675	PL# 663353, 6.50%, 09/01/32		3,757
	42,066	PL# 664188, 5.50%, 09/01/17		42,173
	77,008	PL# 664194, 5.50%, 09/01/17		77,203
	496,749	PL# 670402, 6.50%, 06/01/32		507,866
	226,146	PL# 675314, 5.50%, 12/01/17		226,719
	341,478	PL# 676800, 5.50%, 01/01/18		342,343
	507,877	PL# 679631, 5.50%, 02/01/18		508,915
	452,738	PL# 683199, 5.50%, 02/01/18		453,663
	1,000,000	PL# 691189, 6.50%, 09/01/36		1,018,675
	966,023	PL# 694200, 4.50%, 05/01/18		935,498
	5,651	PL# 694372, 6.50%, 11/01/32		5,777
	88,733	PL# 695925, 5.50%, 05/01/18		88,915
	1,611,977	PL# 701161, 4.50%, 04/01/18		1,560,584
	614,318	PL# 711636, 4.50%, 05/01/18		594,732
	2,510,636	PL# 720317, 5.00%, 07/01/18		2,474,671
	9,997,241	PL# 725162, 6.00%, 02/01/34		10,068,432
	19,886,229	PL# 725206, 5.50%, 02/01/34		19,653,388
	14,246	PL# 725269, 5.50%, 03/01/19		14,282
	264,238	PL# 725407, 6.50%, 01/01/34		270,253
	369,803	PL# 725418, 6.50%, 05/01/34		378,222
	5,880,296	PL# 725704, 6.00%, 08/01/34		5,922,169
	13,533,889	PL# 725717, 4.00%, 08/01/19		12,812,772
	12,710,826	PL# 725946, 5.50%, 11/01/34		12,550,794
	5,145,572	PL# 735454, 5.50%, 11/01/18		5,158,607
	30,669,543	PL# 735504, 6.00%, 04/01/35		30,905,382
	1,385,442	PL# 735611, 5.50%, 03/01/20		1,388,952
	32,303,527	PL# 735989, 5.50%, 02/01/35		31,945,667
	188,401	PL# 738632, 5.00%, 11/01/18		185,703
	6,043,089	PL# 743575, 5.00%, 11/01/18		5,956,523
	11,166,672	PL# 745140, 5.00%, 11/01/35		10,740,433
	26,489,400	PL# 745412, 5.50%, 12/01/35		26,155,892
	24,336,942	PL# 745832, 6.00%, 04/01/21		24,725,316
	6,958,488	PL# 745833, 6.00%, 01/01/21		7,039,243
	626,833	PL# 748257, 4.50%, 10/01/18		606,848
	7,142	PL# 748655, 6.50%, 09/01/33		7,291
	153,800	PL# 757687, 5.50%, 07/01/34		151,863
	37,284	PL# 761808, 5.50%, 05/01/18		37,379
	555,319	PL# 766312, 5.50%, 03/01/19		555,946
	270,856	PL# 768313, 5.50%, 01/01/19		271,409
	6,888,549	PL# 806549, Variable Rate, 4.57%, 01/01/35(1)		6,809,393
	1,612,867	PL# 826273, 6.00%, 07/01/20		1,638,717
	1,860,863	PL# 831361, 5.50%, 03/01/21		1,860,603
	92,085	PL# 831500, 6.00%, 05/01/16		93,613
	5,856,033	PL# 831511, 6.00%, 06/01/16		5,953,228
	967,575	PL# 849239, 5.50%, 01/01/21		967,787
	9,680,440	PL# 850867, Variable Rate, 5.64%, 01/01/36(1)		9,610,280
	1,000,000	PL# 870770, 6.50%, 07/01/36		1,018,675
	940,052	PL# 880770, 5.50%, 05/01/21		939,920
	130,154	PL# 881578, 5.50%, 05/01/21		130,136
	976,784	PL# 885071, 5.50%, 05/01/21		976,647

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	1,000,000	PL# 887841, 6.50%, 09/01/36	$	1,018,675
	7,897,990	PL# 891814, 6.50%, 07/01/36		8,045,482
	3,000,000	PL# 892817, 6.50%, 08/01/36		3,056,024
	1,000,000	PL# 892970, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 892975, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 893596, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 893628, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 893833, 6.50%, 10/01/36		1,018,675
	1,000,000	PL# 894979, 6.50%, 09/01/36		1,018,675
	2,000,000	PL# 894985, 6.50%, 09/01/36		2,037,349
	1,000,000	PL# 895303, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 900290, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 900340, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 900961, 6.50%, 09/01/36		1,018,675
	1,000,000	PL# 901110, 6.50%, 09/01/36		1,018,675
	9,000,000	TBA, 4.50%, 10/01/21		8,685,000
	49,100,000	TBA, 5.00%, 10/01/21		48,256,068
	120,400,000	TBA, 5.50%, 10/01/21		120,362,434
	72,000,000	TBA, 5.00%, 10/01/36		69,209,999
	22,000,000	TBA, 6.00%, 10/01/36		22,103,136
	77,000,000	TBA, 6.50%, 10/01/36		78,419,725
				743,863,786
		Federal Home Loan Bank—0.9%
	18,840,000	4.00%, 02/01/08		18,590,106
		Freddie Mac—1.7%
	16,800,000	4.75%, 06/28/12		16,665,818
	5,779,813	PL# 1B2853, Variable Rate, 4.29%, 04/01/35(1)		5,623,258
	12,114,267	PL# 1G1119, Variable Rate, 4.77%, 09/01/35(1)		11,823,509
				34,112,585
		Freddie Mac Gold—3.6%
	261,902	PL# A32037, 5.00%, 03/01/35		252,108
	27,860	PL# A38585, 5.50%, 10/01/35		27,498
	435,313	PL# B10307, 4.50%, 10/01/18		420,720
	541,742	PL# B11431, 4.50%, 12/01/18		523,581
	3,874,254	PL# B11446, 5.00%, 12/01/18		3,818,086
	53,618	PL# B13285, 4.50%, 04/01/19		51,747
	746,022	PL# B14218, 4.50%, 05/01/19		719,992
	1,100,441	PL# B14518, 4.50%, 01/01/20		1,062,043
	1,675,681	PL# B17118, 4.50%, 11/01/19		1,617,212
	27,650	PL# B17892, 4.50%, 10/01/19		26,723
	827,074	PL# B19028, 4.50%, 03/01/20		797,308
	5,034,617	PL# B19043, 4.50%, 03/01/20		4,853,421
	25,257	PL# B19177, 4.50%, 05/01/20		24,348
	993,721	PL# B19187, 4.50%, 04/01/20		957,957
	197,510	PL# B19188, 4.50%, 05/01/20		190,401
	217,647	PL# B19272, 4.50%, 05/01/20		209,814
	552,703	PL# B19621, 5.00%, 07/01/20		543,309
	1,103,047	PL# C01271, 6.50%, 12/01/31		1,128,472

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Freddie Mac Gold (continued)
$	3,253,379	PL# C57150, 6.00%, 05/01/31	$	3,283,527
	4,306	PL# C67653, 7.00%, 06/01/32		4,433
	56,646	PL# C67868, 7.00%, 06/01/32		58,322
	15,101	PL# C67999, 7.00%, 06/01/32		15,548
	115,245	PL# C68001, 7.00%, 06/01/32		118,656
	152,218	PL# C90229, 7.00%, 08/01/18		157,674
	23,255	PL# E00570, 6.00%, 09/01/13		23,459
	487,663	PL# E00592, 6.00%, 12/01/13		491,933
	23,331	PL# E00720, 6.00%, 07/01/14		23,569
	22,725	PL# E01007, 6.00%, 08/01/16		23,061
	74,039	PL# E01095, 6.00%, 01/01/17		75,133
	460,667	PL# E01490, 5.00%, 11/01/18		454,010
	889,007	PL# E01538, 5.00%, 12/01/18		876,131
	33,340	PL# E01638, 4.00%, 04/01/19		31,554
	30,149	PL# E69171, 6.00%, 02/01/13		30,412
	25,561	PL# E73319, 6.00%, 11/01/13		25,785
	36,554	PL# E73769, 6.00%, 12/01/13		36,874
	20,782	PL# E75990, 6.00%, 04/01/14		20,963
	31,608	PL# E76341, 6.00%, 04/01/14		32,066
	52,586	PL# E76730, 6.00%, 05/01/14		53,348
	40,236	PL# E76731, 6.00%, 05/01/14		40,819
	30,307	PL# E78995, 6.00%, 11/01/14		30,746
	265,213	PL# E84191, 6.00%, 07/01/16		269,129
	4,795	PL# E84758, 5.50%, 07/01/16		4,810
	21,118	PL# E85885, 6.00%, 11/01/16		21,429
	296,642	PL# E86502, 5.50%, 12/01/16		297,551
	5,172	PL# E86565, 5.50%, 12/01/16		5,188
	254,690	PL# E87961, 6.00%, 02/01/17		258,450
	414,786	PL# E88001, 6.00%, 02/01/17		420,896
	44,686	PL# E88452, 6.00%, 03/01/17		45,344
	313,610	PL# E88749, 6.00%, 03/01/17		318,240
	569,648	PL# E88789, 6.00%, 04/01/17		578,039
	154,439	PL# E88979, 5.50%, 04/01/17		154,788
	341,253	PL# E89282, 6.00%, 04/01/17		346,280
	683,675	PL# E89336, 6.00%, 05/01/17		693,746
	28,118	PL# E89653, 6.00%, 04/01/17		28,533
	509,748	PL# E89913, 6.00%, 05/01/17		517,257
	904,699	PL# E91644, 5.50%, 10/01/17		906,744
	274,335	PL# E91754, 5.50%, 10/01/17		274,955
	376,702	PL# E91774, 5.50%, 10/01/17		377,553
	179,459	PL# E91968, 5.50%, 10/01/17		179,865
	351,957	PL# E92113, 5.50%, 10/01/17		352,752
	25,918	PL# E95352, 4.50%, 04/01/18		25,049
	54,027	PL# E98821, 4.50%, 09/01/18		52,216
	1,488,176	PL# G01391, 7.00%, 04/01/32		1,533,647
	18,301	PL# G11111, 6.00%, 04/01/16		18,571
	121,759	PL# G11394, 4.50%, 05/01/18		117,677
	7,580,412	PL# G11618, 4.50%, 05/01/18		7,329,701
	464,576	PL# G11639, 4.50%, 12/01/19		448,366
	3,344,551	PL# G11681, 5.00%, 04/01/20		3,291,082
	9,372,753	PL# G11720, 4.50%, 08/01/20		9,045,711
	14,617,150	PL# G11769, 5.00%, 10/01/20		14,368,696
	215,976	PL# G18052, 4.50%, 05/01/20		208,203
	2,806,030	PL# J00156, 5.00%, 10/01/20		2,758,334

See notes to portfolios of investments.

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Freddie Mac Gold (continued)
$	698,705	PL# J00726, 5.00%, 12/01/20	$	686,829
	3,415,930	PL# M80813, 4.00%, 04/01/10		3,291,161
	3,000,000	TBA, 5.50%, 10/01/21		2,998,125
				75,357,680
		Government National Mortgage Association-0.6%
	130,961	PL# 3173, 6.50%, 12/20/31		134,272
	1,079	PL# 434615, 7.00%, 11/15/29		1,115
	187,823	PL# 435071, 7.00%, 03/15/31		194,053
	23,948	PL# 493966, 7.00%, 06/15/29		24,748
	64,521	PL# 494742, 7.00%, 04/15/29		66,675
	1,507	PL# 530260, 7.00%, 02/15/31		1,557
	231,881	PL# 531025, 6.00%, 04/15/32		235,163
	813	PL# 538271, 7.00%, 11/15/31		840
	90,925	PL# 538312, 6.00%, 02/15/32		92,212
	152,498	PL# 543989, 7.00%, 03/15/31		157,556
	801	PL# 547545, 7.00%, 04/15/31		827
	347,964	PL# 550985, 7.00%, 10/15/31		359,505
	251	PL# 551549, 7.00%, 07/15/31		259
	24,262	PL# 552413, 7.00%, 02/15/32		25,063
	101,438	PL# 554808, 6.00%, 05/15/31		102,861
	80,655	PL# 555360, 6.00%, 06/15/31		81,786
	83,619	PL# 555733, 6.00%, 03/15/32		84,802
	850	PL# 557664, 7.00%, 08/15/31		878
	55,421	PL# 557678, 7.00%, 08/15/31		57,260
	3,859	PL# 561050, 7.00%, 05/15/31		3,987
	821	PL# 561996, 7.00%, 07/15/31		848
	12,417	PL# 563346, 7.00%, 09/15/31		12,828
	56,499	PL# 563599, 7.00%, 06/15/32		58,365
	156,962	PL# 564086, 7.00%, 07/15/31		162,168
	44,351	PL# 564300, 6.00%, 08/15/31		44,972
	8,582	PL# 564706, 7.00%, 07/15/31		8,866
	83,971	PL# 565808, 6.00%, 11/15/31		85,148
	203,641	PL# 567622, 6.00%, 04/15/32		206,524
	90,824	PL# 569567, 7.00%, 01/15/32		93,823
	69,715	PL# 570517, 6.00%, 01/15/32		70,702
	39,946	PL# 572821, 6.00%, 12/15/31		40,506
	88,810	PL# 574873, 6.00%, 12/15/31		90,055
	84,486	PL# 575906, 6.00%, 01/15/32		85,682
	35,288	PL# 576323, 6.00%, 12/15/31		35,783
	1,296	PL# 579377, 7.00%, 04/15/32		1,339
	236,511	PL# 581015, 7.00%, 02/15/32		244,323
	93,748	PL# 581070, 6.00%, 02/15/32		95,075
	83,865	PL# 582956, 7.00%, 02/15/32		86,635
	270,285	PL# 587122, 7.00%, 06/15/32		279,211
	5,016	PL# 587494, 7.00%, 06/15/32		5,182
	953	PL# 589696, 7.00%, 05/15/32		985
	77,093	PL# 592030, 6.00%, 02/15/32		78,185
	18,992	PL# 780802, 6.50%, 05/15/28		19,540
	32,432	PL# 781113, 7.00%, 11/15/29		33,515
	193,165	PL# 781148, 6.00%, 07/15/29		196,123
	99,909	PL# 781276, 6.50%, 04/15/31		102,789
	29,267	PL# 781287, 7.00%, 05/15/31		30,245

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Government National Mortgage Association (continued)
$	46,398	PL# 781324, 7.00%, 07/15/31	$	47,942
	252,617	PL# 781328, 7.00%, 09/15/31		261,055
	184,862	PL# 781330, 6.00%, 09/15/31		187,631
	51,462	PL# 781496, 6.50%, 09/15/32		52,900
	68,886	PL# 781548, 7.00%, 11/15/32		71,176
	40,302	PL# 781584, 7.00%, 05/15/32		41,645
	7,365,248	PL# 80916, 3.75%, 05/20/34		7,209,540
				11,666,725
		Resolution Funding Strips-0.1%
	1,200,000	Zero coupon, 07/15/18		675,400
	1,200,000	Zero coupon, 10/15/18		666,432
				1,341,832
		Total US Government Agency Securities (Cost $1,016,156,174)		1,014,034,582
		Corporate Bonds and Notes-53.7%
		Aerospace and Defense-0.2%
	2,390,000	Northrop Grumman Corp., 4.08%, 11/16/06		2,386,113
	675,000	United Technologies Corp., 8.88%, 11/15/19		880,762
				3,266,875
		Automobiles/Motor Vehicles and Automotive Equipment-0.0%
	280,000	Daimler Chrysler NA Holding, 4.05%, 06/04/08		273,531
		Banks-7.6%
	85,000	BAC Capital Trust XI, 6.63%, 05/23/36		89,972
	404,000	Bank of America Corp., 4.50%, 08/01/10		395,639
	15,675,000	Bank of America Corp., Floating Rate, 5.40%, 03/24/09(2)		15,696,804
	1,250,000	Bank of Scotland - 144A (United Kingdom), 3.50%, 11/30/07		1,226,253
	2,000,000	BankBoston NA, Series BKNT, 6.38%, 03/25/08		2,033,376
	26,675,000	Barclays Bank PLC New York Series YCD, Floating Rate, 5.40%, 03/13/09(2)		26,695,433
	6,250,000	Depfa ACS Bank - 144A (Ireland), 4.25%, 08/16/10		6,093,781
	3,850,000	Deutsche Bank AG New York, Series YCD, Variable Rate, 5.37%, 03/15/07(1)		3,850,604
	2,850,000	HBOS Treasury Services PLC - 144A (United Kingdom), 3.75%, 09/30/08		2,774,837
	11,200,000	HSBC Bank USA NA, Series CD, 3.87%, 06/07/07		11,089,221
	1,155,000	Huntington National Bank, Series BKNT, 2.75%, 10/16/06		1,153,978
	2,600,000	JPMorgan Chase & Company, 5.35%, 03/01/07		2,599,363
	1,495,000	JPMorgan Chase & Company, 3.63%, 05/01/08		1,460,089
	2,100,000	JPMorgan Chase & Company, 5.75%, 10/15/08		2,118,486
	1,100,000	JPMorgan Chase & Company, 7.00%, 11/15/09		1,154,476
	36,375,000	Rabobank Nederland - 144A, (the Netherlands), Floating Rate, 5.49%, 04/06/09(2)		36,404,355
	2,990,000	SunTrust Banks, Inc., 3.63%, 10/15/07		2,939,520
	2,000,000	SunTrust Banks, Inc., 4.00%, 10/15/08		1,955,492
	1,535,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		1,505,836
	2,275,000	Swedish Export Credit (Sweden), 2.88%, 01/26/07		2,258,638
	2,150,000	The Bank of New York Company, Inc., Series BKNT, 3.80%, 02/01/08		2,112,156
	980,000	UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual (1)		1,091,502

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Banks (continued)
$	490,000	US Bancorp, Series MTNN, 3.95%, 08/23/07	$	484,378
	3,040,000	US Bank NA, 2.40%, 03/12/07		2,997,516
	4,315,000	US Bank NA, Series BKNT, 4.40%, 08/15/08		4,268,691
	540,000	Wachovia Bank NA, Series BKNT, 4.38%, 08/15/08		532,649
	9,125,000	Wachovia Bank NA, Series DPNT, Floating Rate, 5.43%, 03/23/09(2)		9,129,334
	2,340,000	Wachovia Corp., 6.30%, 04/15/08		2,375,837
	2,760,000	Wells Fargo & Company, 4.20%, 01/15/10		2,683,413
	4,090,000	Wells Fargo & Company, 4.63%, 08/09/10		4,029,411
	4,525,000	Wells Fargo & Company, 4.88%, 01/12/11		4,486,289
				157,687,329
		Broadcast Services/Media-0.9%
	320,000	British Sky Broadcasting Group Financing PLC - 144A (United Kingdom), 6.50%, 10/15/35		314,216
	5,374,000	Comcast Cable Communications Holdings, 8.38%, 03/15/13		6,137,813
	1,800,000	Comcast Cable Communications, Inc., 6.75%, 01/30/11		1,892,808
	965,000	Comcast Corp., 7.05%, 03/15/33		1,036,554
	465,000	Cox Communications, Inc., 7.75%, 11/01/10		502,263
	200,000	Echostar DBS Corp., 6.38%, 10/01/11		195,250
	200,000	Echostar DBS Corp. - 144A, 7.13%, 02/01/16		194,250
	1,070,000	News America Holdings, 7.63%, 11/30/28		1,183,364
	260,000	News America, Inc., 7.28%, 06/30/28		277,545
	1,675,000	TCI Communications, Inc., 7.13%, 02/15/28		1,763,142
	725,000	Time Warner Entertainment, 8.38%, 07/15/33		857,578
	1,910,000	Time Warner, Inc., 7.57%, 02/01/24		2,072,191
	2,760,000	Time Warner, Inc., 6.95%, 01/15/28		2,852,860
				19,279,834
		Chemicals-0.1%
	590,000	Lyondell Chemical Company, 8.00%, 09/15/14		600,325
	980,000	Lyondell Chemical Company, 8.25%, 09/15/16		999,600
				1,599,925
		Computer Equipment, Software and Services-0.1%
	1,260,000	Oracle Corp., 5.25%, 01/15/16		1,242,175
	345,000	Seagate Technology HDD Holdings (Cayman Islands), 6.80%, 10/01/16		345,000
				1,587,175
		Construction Services and Supplies-0.1%
	1,805,000	DR Horton, Inc., 6.13%, 01/15/14		1,763,878
		Electronics-0.0%
	155,000	L-3 Communications Corp., Series B, 6.38%, 10/15/15		151,513
		Equipment Rental and Leasing-0.0%
	225,000	United Rentals North America, Inc., 6.50%, 02/15/12		218,250
		Financial Services-6.5%
	390,000	American Real Estate Partners, LP/American Real Estate Finance Corp., 8.13%, 06/01/12		401,700
	225,000	American Real Estate Partners, LP/American Real Estate Finance Corp., 7.13%, 02/15/13		225,000
	9,050,000	Citigroup, Inc., 3.50%, 02/01/08		8,859,380

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Financial Services (continued)
$	14,330,000	Citigroup, Inc., 3.63%, 02/09/09(4) (5) (6)	$	13,876,112
	820,000	Citigroup, Inc., 6.20%, 03/15/09		840,857
	8,000,000	Citigroup, Inc., 4.13%, 02/22/10		7,766,064
	2,300,000	Citigroup, Inc., 6.13%, 08/25/36		2,373,756
	8,225,000	Eksportfinans ASA, Series MTN (Norway), 3.38%, 01/15/08		8,044,971
	14,675,000	General Electric Capital Corp., 5.00%, 11/15/11		14,576,237
	2,000,000	General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07		2,028,252
	11,925,000	General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09		11,639,873
	22,250,000	General Electric Capital Corp., Series MTNA, Variable Rate, 5.55%, 01/15/08(1)		22,278,813
	2,925,000	HSBC Finance Corp., 6.50%, 11/15/08		2,999,892
	7,310,000	Morgan Stanley, 5.05%, 01/21/11		7,250,555
	425,000	Morgan Stanley, 6.75%, 04/15/11		449,763
	2,545,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		2,580,887
	17,410,000	Morgan Stanley, Series MTNF, Floating Rate, 5.44%, 03/07/08(2)		17,431,014
	350,000	Nationwide Building Society - 144A (United Kingdom), 2.63%, 01/30/07		346,967
	4,000,000	Nationwide Building Society - 144A (United Kingdom), 3.50%, 07/31/07		3,941,532
	355,000	Nationwide Building Society - 144A (United Kingdom), 4.25%, 02/01/10		344,610
	1,000,000	The Bear Stearns Companies, Inc., Series MTNB, 4.55%, 06/23/10		978,744
	2,475,000	TIAA Global Markets - 144A, 3.88%, 01/22/08		2,434,192
	1,955,000	USAA Capital Corp., Series MTNB, 4.00%, 12/10/07		1,920,891
				133,590,062
		Insurance-0.4%
	1,775,000	ASIF Global Financial XXIII - 144A, 3.90%, 10/22/08		1,731,637
	2,000,000	Berkshire Hathaway Finance Corp., 3.40%, 07/02/07		1,973,870
	2,850,000	Berkshire Hathaway Finance Corp., 3.38%, 10/15/08		2,754,305
	2,815,000	Berkshire Hathaway Finance Corp., 4.13%, 01/15/10		2,736,923
				9,196,735
		Leisure and Recreation-0.1%
	910,000	MGM MIRAGE, 6.00%, 10/01/09		903,175
	325,000	Mohegan Tribal Gaming Authority, 6.13%, 02/15/13		319,313
	655,000	TDS Investor Corp. - 144A, 9.88%, 09/01/14		635,350
				1,857,838
		Manufacturing-0.1%
	395,000	Briggs & Stratton Corp., 8.88%, 03/15/11		436,493
	1,575,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		1,652,830
				2,089,323
		Medical Equipment, Supplies, and Services-0.3%
	450,000	HCA, Inc., 5.50%, 12/01/09		451,688
	3,600,000	WellPoint, Inc., 5.95%, 12/15/34		3,544,020
	1,295,000	WellPoint, Inc., 5.85%, 01/15/36		1,260,391
				5,256,099

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Metals and Mining-0.1%
$	85,000	International Steel Group, 6.50%, 04/15/14	$	84,363
	1,999,000	Ispat Inland ULC (Canada), 9.75%, 04/01/14		2,254,422
				2,338,785
		Oil, Coal and Gas-0.5%
	50,000	ANR Pipeline Company, 9.63%, 11/01/21		61,836
	10,000	ANR Pipeline Company, 7.38%, 02/15/24		10,355
	210,000	Chesapeake Energy Corp., 6.38%, 06/15/15		201,600
	90,000	Chesapeake Energy Corp., 6.25%, 01/15/18		83,925
	275,000	Chesapeake Energy Corp., 6.88%, 11/15/20		261,250
	270,000	Colorado Interstate Gas, 6.80%, 11/15/15		273,454
	270,000	Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13		261,900
	1,425,000	Consolidated Natural Gas, Series A, 5.00%, 03/01/14		1,360,522
	365,000	El Paso Natural Gas, 8.63%, 01/15/22		419,419
	15,000	El Paso Natural Gas, 8.38%, 06/15/32		17,247
	2,600,000	Enterprise Products Operating LP, 4.95%, 06/01/10		2,545,303
	1,225,000	Enterprise Products Operating LP, Series B, 4.00%, 10/15/07		1,206,670
	190,000	KCS Energy, Inc., 7.13%, 04/01/12		183,350
	725,000	Northwest Pipeline Corp., 8.13%, 03/01/10		757,625
	200,000	Suncor Energy, Inc. (Canada), 5.95%, 12/01/34		204,372
	35,000	Targa Resources, Inc. - 144A, 8.50%, 11/01/13		35,088
	935,000	Transcontinental Gas Pipe Line Corp., Series B, 8.88%, 07/15/12		1,039,019
	480,000	Williams Companies, Inc., 7.63%, 07/15/19		501,600
	225,000	Williams Companies, Inc., 7.75%, 06/15/31		226,125
				9,650,660
		Paper and Forest Products-0.0%
	400,000	Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11		395,000
		Pharmaceuticals/Research and Development-0.1%
	170,000	Bio-Rad Laboratories, Inc., 7.50%, 08/15/13		174,675
	530,000	Bio-Rad Laboratories, Inc., 6.13%, 12/15/14		503,500
	600,000	Bristol-Myers Squibb, 6.88%, 08/01/97		646,828
	1,580,000	Wyeth, 6.00%, 02/15/36		1,602,895
				2,927,898
		Private Asset Backed: Automobiles/Motor Vehicles and Automotive Equipment-4.3%
	16,200,000	Daimler Chrysler Auto Trust, Series 2005-B, Class A3, 4.04%, 09/08/09		16,073,394
	14,770,000	Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10		14,840,993
	15,519,878	Ford Credit Auto Owner Trust, Series 2005-A, Class A3, 3.48%, 11/15/08		15,405,810
	12,212,756	Ford Credit Auto Owner Trust, Series 2005-B, Class A3, 4.17%, 01/15/09		12,143,591
	18,911,000	Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11		19,039,955
	10,480,096	Wachovia Auto Owner Trust, Series 2004-A, Class A3, 3.19%, 06/20/08		10,421,678
				87,925,421
		Private Asset Backed: Banks-0.2%
	4,109,892	Bank of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19		4,019,988

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Credit Cards-3.9%
$	14,000,000	American Express Credit Account Master Trust, Series 2005-3, Class A, Floating Rate, 5.33%, 01/18/11(3)	$	13,991,243
	12,075,000	Chase Issuance Trust, Series 2004-A9, Class A9, 3.22%, 06/15/10		11,843,188
	14,950,000	Citibank Credit Card Issuance Trust, Series 2004-A1, Class A1, 2.55%, 01/20/09		14,836,329
	14,850,000	Citibank Credit Card Issuance Trust, Series 2004-A4, Class A4, 3.20%, 08/24/09		14,590,107
	15,125,000	Citibank Credit Card Issuance Trust, Series 2006-A2, Class A2, 4.85%, 02/10/11		15,061,214
	11,500,000	MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10		11,094,067
				81,416,148
		Private Asset Backed: Financial Services-3.2%
	2,805,000	Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36		2,775,369
	11,200,000	Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42		10,884,582
	1,453,126	Morgan Stanley Capital I, Series 1998-WF1, Class A2, 6.55%, 03/15/30		1,465,735
	2,937,842	Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31		3,003,597
	8,428,102	SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 5.49%, 01/25/18(2)		8,436,254
	14,200,000	SLM Student Loan Trust, Series 2005-6, Class A5B, Floating Rate, 5.49%, 07/27/26(2)		14,221,812
	10,696,612	SLM Student Loan Trust, Series 2006-3, Class A1, Floating Rate, 5.47%, 01/25/13(2)		10,703,939
	14,030,000	Washington Mutual Asset Securities Corp. - 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36		14,031,330
				65,522,618
		Private Asset Backed: Mortgage and Home Equity-20.7%
	9,511,012	ACE Securities Corp., Series 2006-HE1, Class A2A, Floating Rate, 5.41%, 02/25/36(3)		9,519,202
	11,960,000	Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31		12,620,565
	8,901,600	Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36		9,284,047
	16,715,000	Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43		16,665,540
	11,170,000	Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35		11,663,646
	743,436	Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35		754,854
	2,545,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41		2,432,980
	9,484,831	Carrington Mortgage Loan Trust, Series 2006-OPT1, Class A1, Floating Rate, 5.39%, 02/25/36(3)		9,492,980
	3,475,000	Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32		3,708,935
	6,066,716	Commercial Mortgage Acceptance Corp., Series 1998-C2, Class A2, 6.03%, 09/15/30		6,111,271
	3,419,245	Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 5.62%, 06/25/35(3)		3,423,251
	4,423,368	Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A1, Floating Rate, 5.44%, 02/25/36(3)		4,426,622
	5,283,430	Countrywide Asset-Backed Certificates, Series 2005-BC5, Class 3A1, Floating Rate, 5.43%, 01/25/36(3)		5,287,391
	10,306,896	Countrywide Asset-Backed Certificates, Series 2005-IM3, Class A1, Floating Rate, 5.45%, 03/25/36(3)		10,314,823
	8,610,114	Countrywide Asset-Backed Certificates, Series 2006-IM1, Class A1, Floating Rate, 5.42%, 04/25/36(3)		8,616,863
	22,936,952	Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C2, Class A2, 6.30%, 11/11/30		23,372,792
	14,955,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36		14,947,208
	13,110,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38		12,173,875

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	10,405,371	Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 1A1A, Floating Rate, 5.42%, 04/25/36(3)	$	10,414,773
	4,840,013	DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33		5,139,620
	12,270,676	Fieldstone Mortgage Investment Corp., Series 2006-1, Class A1, Floating Rate, 5.41%, 05/25/36(3)		12,279,987
	11,745,150	First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A1, Floating Rate, 5.40%, 03/25/36(3)		11,755,549
	12,570,000	First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43		13,256,984
	10,380,000	GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35		10,886,795
	11,875,000	GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36		11,953,921
	6,125,878	GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33		6,359,269
	6,165,641	GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36		6,433,121
	3,175,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39		3,053,586
	10,490,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35		10,776,009
	6,650,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35		6,978,114
	9,475,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33		9,822,715
	9,350,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37		9,063,621
	19,286,533	JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, 3.89%, 08/25/34		18,842,695
	7,304,007	LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35		7,422,775
	6,900,000	LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25		7,458,162
	6,830,000	LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26		7,290,693
	7,395,000	LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27		7,227,696
	9,100,000	LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29		8,827,626
	15,080,840	New Century Home Equity Loan Trust, Series 2006-1, Class A2A, Floating Rate, 5.39%, 05/25/36(3)		15,092,082
	13,574,000	Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 5.38%, 11/25/36(3)		13,571,879
	10,355,221	Residential Asset Mortgage Products, Inc., Series 2006-RS2, Class A1, Floating Rate, 5.41%, 03/25/36(3)		10,364,093
	13,403,868	Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35		13,435,690
	9,665,241	Salomon Brothers Mortgage Securities VII, Series 1999-C1, Class A2, Floating Rate, 7.08%, 05/18/32(3)		9,970,186
	9,099,504	Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11		9,587,253
	6,174,526	Structured Asset Investment Loan Trust, Series 2006-2, Class A1, Floating Rate, 5.39%, 04/25/36(3)		6,178,778
				428,260,517
		Private Asset Backed: Other-0.7%
	4,824,598	Structured Asset Securities Corp. - 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31		4,508,970
	10,463,992	Terra LNR, Ltd. - 144A, Series 2006-1A, Class A1, Floating Rate (Cayman Islands), 5.46%, 06/15/17(3)		10,463,992
				14,972,962

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Utilities-0.4%
$	8,000,000	Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10	$	8,553,108
		Real Estate Investment Trusts-0.6%
	910,000	AvalonBay Communities, Series MTN, 6.63%, 09/15/11		959,246
	4,100,000	Prologis 2006, 5.50%, 04/01/12		4,095,971
	725,000	The Rouse Company, 3.63%, 03/15/09		688,113
	4,135,000	The Rouse Company, 5.38%, 11/26/13		3,843,135
	2,200,000	The Rouse Company/TRC Co-issuer, Inc. -144A, 6.75%, 05/01/13		2,209,574
				11,796,039
		Retail-0.1%
	430,000	Federated Department Stores, Inc., 6.79%, 07/15/27		434,008
	850,000	May Department Stores Company, 8.50%, 06/01/19		1,003,549
	395,000	May Department Stores Company, 6.65%, 07/15/24		396,380
	495,000	May Department Stores Company, 7.88%, 03/01/30		560,965
	295,000	May Department Stores Company, 6.70%, 07/15/34		294,406
				2,689,308
		Special Purpose Entity-0.3%
	348,611	AES Ironwood LLC, 8.86%, 11/30/25		386,958
	235,000	AES Red Oak LLC, Series B, 9.20%, 11/30/29		260,850
	2,150,000	Atlantic Marine, Inc. - 144A, 5.34%, 12/01/50		2,045,940
	2,875,000	Belvoir Land LLC - 144A, 5.40%, 12/15/47		2,649,112
	1,600,000	New York Life Global Funding - 144A, 3.88%, 01/15/09		1,555,622
				6,898,482
		Telecommunications Equipment and Services-1.6%
	625,000	America Movil SA de CV (Mexico), 6.38%, 03/01/35		600,440
	810,000	Cincinnati Bell, Inc., 7.25%, 07/15/13		832,275
	550,000	Intelsat Bermuda, Ltd. - 144A (Bermuda), 9.25%, 06/15/16		580,938
	2,350,000	New England Telephone & Telegraph, 7.88%, 11/15/29		2,557,634
	970,000	New Jersey Bell Telephone, 7.85%, 11/15/29		1,067,099
	545,000	PanAmSat Corp. - 144A, 9.00%, 06/15/16		564,075
	860,000	Qwest Corp., 7.88%, 09/01/11		907,300
	675,000	Qwest Corp., Floating Rate, 8.64%, 06/15/13(2)		725,625
	50,000	Rogers Wireless, Inc. (Canada), 7.25%, 12/15/12		52,563
	990,000	Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15		1,061,775
	1,115,000	Sprint Capital Corp., 8.75%, 03/15/32		1,363,631
	1,725,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		1,601,188
	1,105,000	Telecom Italia Capital (Luxembourg), 6.00%, 09/30/34		991,076
	1,825,000	Telecom Italia Capital (Luxembourg), 7.20%, 07/18/36		1,881,562
	75,000	Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16		77,301
	2,950,000	Telefonica Emisiones SAU (Spain), 7.05%, 06/20/36		3,123,196
	850,000	Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10		918,432
	215,000	Verizon Maryland, Inc., Series B, 5.13%, 06/15/33		174,935
	1,470,000	Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13		1,412,480
	500,000	Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15		472,434
	7,910,000	Vodafone Group PLC, Floating Rate (United Kingdom), 5.46%, 12/28/07(2)		7,914,365
	890,000	Wind Acquisition Finance SA - 144A (Luxembourg), 10.75%, 12/01/15		986,788

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Telecommunications Equipment and Services (continued)
$	1,375,000	Windstream Corp. - 144A, 8.13%, 08/01/13	$	1,466,094
	945,000	Windstream Corp. - 144A, 8.63%, 08/01/16		1,015,875
				32,349,081
		Transportation-0.0%
	560,000	Overseas Shipholding Group, 7.50%, 02/15/24		548,800
		Utilities-0.6%
	2,735,000	Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10		2,893,805
	306,358	Elwood Energy LLC, 8.16%, 07/05/26		324,010
	1,000,000	Florida Power & Light, 5.63%, 04/01/34		990,876
	128,800	Homer City Funding LLC, 8.14%, 10/01/19		136,850
	83,589	Homer City Funding LLC, 8.73%, 10/01/26		92,993
	195,000	Midwest Generation LLC, 8.75%, 05/01/34		209,138
	438,270	Midwest Generation LLC, Series B, 8.56%, 01/02/16		465,936
	560,000	NRG Energy, Inc., 7.38%, 02/01/16		557,900
	445,000	Orion Power Holdings, Inc., 12.00%, 05/01/10		506,188
	545,000	Reliant Energy, Inc., 6.75%, 12/15/14		521,156
	5,325,000	TXU Corp., Series O, 4.80%, 11/15/09		5,216,763
				11,915,615
		Total Corporate Bonds and Notes (Cost $1,123,362,014)		1,109,998,797
		Foreign Government Obligations-1.7%
	9,700,000	AID-Israel (Israel), 5.50%, 09/18/23		10,124,249
	16,319,000	France Discount Treasury Bill (France), 2.61%, 10/05/06(18)		20,688,134
	2,930,000	Province of Manitoba (Canada), 6.38%, 09/01/15(21)		1,884,023
	3,365,000	Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15(21)		2,145,834
	510,000	United Mexican States, (Mexico), Series MTN, 8.30%, 08/15/31		637,245
	260,000	United Mexican States, (Mexico), Series MTNA, 7.50%, 04/08/33		300,560
		Total Foreign Government Obligations (Cost $35,933,866)		35,780,045
		Short Term US Government Agency Securities-6.0%
		Federal Home Loan Bank
	124,300,000	4.75%, 10/02/06 (Cost $124,267,199)		124,267,199
		Short Term Corporate Notes-0.4%
	7,750,000	AT&T, Inc. - 144A, 4.21%, 06/05/07 (Cost $7,686,316)		7,686,316

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal				Value
			Securities Lending Collateral-0.3%
$	5,397,060		Securities Lending Collateral Investment (Note 3) (Cost $5,397,060)	$	5,397,060
			Total Securities (Cost $2,398,725,726)		2,384,099,840
			Repurchase Agreements-1.0%
	20,056,437		With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $20,064,392 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.16% - 4.69%, due 11/01/34 - 05/01/35, with a total value of $21,059,259) (Cost $20,056,437)		20,056,437
			Total Investments before Put Options Written and Securities Sold Short - 116.4% (Cost $2,418,782,163)		2,404,156,277
Contracts
			Put Options Written-(0.0)%
	(206	)	US Treasury Note (10 Year) December Future, Expiring December 2006 @ 107 (Premium $48,158)		(51,500	)
Principal
			Securities Sold Short-(7.5)%
$	(19,000,000	)	Fannie Mae, TBA, 5.00%, 10/12/06		(18,263,750	)
	(91,000,000	)	Fannie Mae, TBA, 5.50%, 10/12/06		(89,663,392	)
	(31,000,000	)	Fannie Mae, TBA, 6.00%, 10/15/06		(31,145,328	)
	(3,000,000	)	Freddie Mac Gold, TBA, 6.00%, 10/12/06		(3,015,936	)
	(6,500,000	)	Freddie Mac Gold, TBA, 4.50%, 10/17/06		(6,262,347	)
	(6,400,000	)	Freddie Mac Gold, TBA, 5.00%, 10/17/06		(6,288,000	)
			Total Securities Sold Short (Proceeds $154,408,519)		(154,638,753	)
			Total Investments net of Put Options Written and Securities Sold Short - 108.9% (Cost $2,264,325,486)		2,249,466,024
			Liabilities less other assets — (8.9)%		(183,883,711	)
			Net Assets - 100.0%	$	2,065,582,313

See notes to portfolios of investments.

 

CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $2,264,325,486.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	8,758,911
Gross unrealized depreciation		(23,618,373	)
Net unrealized depreciation	$	(14,859,462	)

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Principal			Value
		US Treasury Securities—22.9%
		US Treasury Bonds—3.6%
$	200,000	8.00%, 11/15/21	$	267,625
	550,000	6.13%, 11/15/27		643,457
	2,632,000	4.50%, 02/15/36		2,522,814
				3,433,896
		US Treasury Inflation Index—1.6%
	471,528	2.38%, 04/15/11		472,172
	458,182	1.63%, 01/15/15		435,953
	135,981	1.88%, 07/15/15		131,711
	215,271	2.00%, 01/15/16		210,394
	194,288	2.38%, 01/15/25		197,476
	82,008	2.00%, 01/15/26		78,677
				1,526,383
		US Treasury Notes—17.0%
	3,380,000	3.38%, 02/15/08(8)		3,317,287
	3,940,000	3.75%, 05/15/08		3,879,825
	100,000	5.00%, 07/31/08		100,500
	1,310,000	4.50%, 02/15/09(8)		1,305,753
	2,000,000	4.88%, 08/15/09		2,014,220
	210,000	3.88%, 09/15/10		204,693
	220,000	4.50%, 02/28/11(8)		219,244
	760,000	5.13%, 06/30/11		777,011
	1,050,000	4.88%, 07/31/11		1,062,511
	1,280,000	4.63%, 08/31/11		1,281,801
	10,000	4.25%, 11/15/14		9,755
	290,000	4.50%, 11/15/15		287,282
	1,530,000	4.50%, 02/15/16		1,515,119
				15,975,001
		US Treasury Strips—0.7%
	1,495,000	Zero coupon, 11/15/24		621,869
		Total US Treasury Securities (Cost $21,419,843)		21,557,149
		US Government Agency Securities—46.4%
		Fannie Mae—37.2%
	330,000	5.00%, 09/15/08		330,256
	509,251	PL# 735809, Variable Rate, 4.48%, 08/01/35(1)		504,403
	37,244	PL# 759626, 6.00%, 02/01/34		37,524
	47,100	PL# 795774, 6.00%, 10/01/34		47,404
	189,679	PL# 796050, 6.00%, 08/01/34		190,904
	1,727,742	PL# 796278, 6.00%, 12/01/34		1,738,901
	59,402	PL# 801516, Variable Rate, 4.73%, 08/01/34(1)		58,903
	636,430	PL# 809169, 6.00%, 01/01/35		640,541
	125,984	PL# 810896, Variable Rate, 4.85%, 01/01/35(1)		124,256
	24,131	PL# 820426, 6.00%, 03/01/35		24,256
	500,000	PL# 893681, 6.00%, 10/01/36		502,462
	900,000	PL# 893923, 6.00%, 10/01/36		904,432

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	1,200,000	PL# 894005, 6.00%, 10/01/36	$	1,205,909
	1,500,000	TBA, 5.00%, 10/01/21		1,474,218
	2,500,000	TBA, 5.50%, 10/01/21		2,499,220
	4,750,000	TBA, 5.00%, 10/01/36		4,565,938
	5,700,000	TBA, 5.50%, 10/01/36		5,616,278
	10,550,000	TBA, 6.00%, 10/01/36		10,599,458
	4,200,000	TBA, 5.00%, 11/01/36		4,035,940
				35,101,203
		Federal Agricultural Mortgage Corp.—0.1%
	80,000	4.25%, 07/29/08		78,963
		Federal Home Loan Bank—0.8%
	680,000	5.50%, 07/15/36		717,605
		Freddie Mac—1.4%
	430,000	4.38%, 11/16/07		426,719
	720,000	4.75%, 01/18/11		716,333
	139,064	PL# 1B2694, Variable Rate, 4.35%, 12/01/34(1)		136,176
				1,279,228
		Freddie Mac Gold—0.6%
	300,000	TBA, 5.00%, 10/01/21		294,750
	300,000	TBA, 5.00%, 10/01/36		288,563
				583,313
		Government National Mortgage Association—6.3%
	736,251	PL# 605617, 5.00%, 07/15/34		716,143
	1,574,868	PL# 612902, 5.00%, 07/15/33		1,533,568
	685,106	PL# 636084, 5.00%, 01/15/35		665,981
	1,938,467	PL# 644631, 5.00%, 09/15/35		1,884,355
	340,000	TBA, 5.00%, 10/01/36		330,331
	800,000	TBA, 6.00%, 10/01/36		809,750
				5,940,128
		Total US Government Agency Securities (Cost $43,632,780)		43,700,440
		Corporate Bonds and Notes—45.7%
		Advertising—0.1%
	90,000	Lamar Media Corp. - 144A, 6.63%, 08/15/15		86,738
		Aerospace and Defense—0.0%
	45,000	DRS Technologies, Inc., 6.63%, 02/01/16		44,438
		Automobile: Rental—0.0%
	15,000	Hertz Corp. - 144A, 8.88%, 01/01/14		15,788

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Automobiles/Motor Vehicles and Automotive Equipment—0.8%
$	60,000	Daimler Chrysler NA Holding, 4.05%, 06/04/08	$	58,614
	100,000	Daimler Chrysler NA Holding, 5.88%, 03/15/11		100,228
	200,000	Ford Motor Company, 7.45%, 07/16/31(8)		155,500
	440,000	General Motors Corp., 8.25%, 07/15/23		383,350
	60,000	Visteon Corp., 8.25%, 08/01/10		58,800
				756,492
		Banks—2.3%
	180,000	Bank of America Corp., 5.38%, 08/15/11(4)		181,766
	160,000	Glitnir Banki HF - 144A (Iceland), 6.33%, 07/28/11		163,476
	130,000	Glitnir Banki HF - 144A, (Iceland), Variable Rate, 6.69%, 06/15/16(1)		133,071
	200,000	Kaupthing Bank - 144A (Iceland), 7.13%, 05/19/16		210,603
	280,000	Kaupthing Bank - 144A, (Iceland), Floating Rate, 6.19%, 04/12/11(2)		280,372
	280,000	Landisbanki Islands HF - 144A (Iceland), 6.10%, 08/25/11		283,227
	10,000	Rabobank Capital Funding Trust II - 144A, Variable Rate, 5.26%, perpetual (1)		9,801
	20,000	Rabobank Capital Funding Trust III - 144A, Variable Rate, 5.25%, perpetual (1)		19,342
	300,000	Shinsei Financial, Ltd. - 144A, (Cayman Islands), Variable Rate, 6.42%, perpetual (1)		298,482
	90,000	Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1)		90,332
	240,000	Wachovia Corp., 5.25%, 08/01/14		237,730
	220,000	Wells Fargo & Company, 5.30%, 08/26/11		221,706
				2,129,908
		Broadcast Services/Media—1.8%
	10,000	Clear Channel Communications, Inc., 4.63%, 01/15/08(4)		9,874
	20,000	Clear Channel Communications, Inc., 6.25%, 03/15/11(4)		20,081
	90,000	Clear Channel Communications, Inc., 5.50%, 09/15/14(4)		83,749
	50,000	Clear Channel Communications, Inc., 4.90%, 05/15/15(4)		44,244
	80,000	Comcast Cable Communications, 8.88%, 05/01/17(4)		96,843
	110,000	Comcast Corp., 6.50%, 01/15/15(4)		115,009
	210,000	Comcast Corp., 6.50%, 01/15/17(4)		219,618
	80,000	Cox Communications, Inc., 3.88%, 10/01/08		77,572
	85,000	Echostar DBS Corp. - 144A, 7.00%, 10/01/13		83,513
	40,000	Echostar DBS Corp. - 144A, 7.13%, 02/01/16		38,850
	40,000	Kabel Deutschland GMBH - 144A (Germany), 10.63%, 07/01/14		43,100
	100,000	Liberty Media Corp., 7.88%, 07/15/09		105,191
	40,000	Quebecor Media, Inc., (Canada), 7.75%, 03/15/16		40,250
	60,000	Rogers Cable, Inc. (Canada), 6.75%, 03/15/15		60,900
	20,000	Sinclair Broadcast Group, 8.00%, 03/15/12		20,375
	50,000	Time Warner Entertainment, 8.38%, 07/15/33		59,143
	210,000	Time Warner, Inc., 6.88%, 05/01/12		222,309
	190,000	Time Warner, Inc., 7.70%, 05/01/32		212,809
	110,000	Viacom, Inc. - 144A, 5.75%, 04/30/11		109,890
				1,663,320
		Chemicals—0.1%
	30,000	Georgia Gulf Corp. - 144A, 9.50%, 10/15/14		29,888
	30,000	Lyondell Chemical Company, 8.00%, 09/15/14		30,525
	15,000	Lyondell Chemical Company, 8.25%, 09/15/16		15,300
	44,000	Westlake Chemical Corp., 6.63%, 01/15/16		42,020
				117,733

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Computer Equipment, Software and Services—0.1%
$	10,000	Electronic Data Systems, 7.13%, 10/15/09	$	10,466
	40,000	Sungard Data Systems, Inc., 10.25%, 08/15/15		41,400
				51,866
		Construction Services and Supplies—0.1%
	30,000	Beazer Homes USA, Inc., 8.63%, 05/15/11		30,413
	40,000	Jacuzzi Brands, Inc., 9.63%, 07/01/10		42,600
				73,013
		Consumer Goods and Services—0.4%
	380,000	Altria Group, Inc., 7.00%, 11/04/13		414,906
		Containers and Packaging—0.0%
	40,000	Graham Packaging Company, 9.88%, 10/15/14(8)		39,500
		Environmental Waste Management and Recycling Services—0.4%
	320,000	Waste Management, Inc., 6.38%, 11/15/12		334,704
		Equipment Rental and Leasing—0.3%
	100,000	International Lease Finance Corp. E-Capital Trust I - 144A, Variable Rate, 5.90%, 12/21/65(1)		100,827
	210,000	International Lease Finance Corp. E-Capital Trust II - 144A, Variable Rate, 6.25%, 12/21/65(1) (8)		210,295
				311,122
		Financial Services—5.4%
	90,000	Aiful Corp. - 144A (Japan), 5.00%, 08/10/10		87,589
	250,000	Citigroup, Inc., 5.10%, 09/29/11(4)		249,510
	340,000	Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10		330,821
	120,000	Countrywide Home Loans, Series MTNB, Floating Rate, 5.56%, 02/27/08(2)		120,145
	50,000	Credit Suisse USA, Inc., 5.50%, 08/16/11		50,502
	1,290,000	Ford Motor Credit Company, 5.80%, 01/12/09		1,228,737
	120,000	Ford Motor Credit Company, 7.38%, 10/28/09		116,695
	90,000	General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08		89,025
	140,000	General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09		136,653
	120,000	General Motors Acceptance Corp., 6.13%, 08/28/07		119,855
	400,000	General Motors Acceptance Corp., 5.85%, 01/14/09		392,387
	30,000	General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07		29,675
	60,000	General Motors Acceptance Corp., Series MTN, 4.38%, 12/10/07		58,593
	40,000	GMAC LLC, 5.13%, 05/09/08		39,212
	600,000	GMAC LLC, Series MTN, Floating Rate, 6.41%, 01/16/07(2)		599,568
	250,000	HSBC Finance Corp., 4.63%, 01/15/08		248,354
	220,000	JPMorgan Chase & Company, 5.13%, 09/15/14		216,077
	130,000	JPMorgan Chase & Company, 5.15%, 10/01/15		127,030
	380,000	Lehman Brothers E-Capital Trust I, Floating Rate, 6.17%, 08/19/65(2)		383,611
	130,000	Lehman Brothers Holdings, Inc., 4.00%, 01/22/08		127,968
	80,000	Lehman Brothers Holdings, Inc., 4.50%, 07/26/10		77,874
	30,000	Morgan Stanley, 3.63%, 04/01/08		29,316
	120,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		121,692

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Financial Services (continued)
$	80,000	The Goldman Sachs Group, Inc., 4.50%, 06/15/10	$	78,236
	50,000	The Goldman Sachs Group, Inc., 5.00%, 01/15/11		49,493
				5,108,618
		Food and Beverage—0.2%
	140,000	Anheuser-Busch Companies, Inc., 4.95%, 01/15/14		137,799
	60,000	Kraft Foods, Inc., 5.63%, 11/01/11		60,687
				198,486
		Funeral Services—0.1%
	20,000	Service Corp. International - 144A, 7.38%, 10/01/14		20,225
	30,000	Service Corp. International - 144A, 7.63%, 10/01/18		30,338
				50,563
		Insurance—0.0%
	20,000	ASIF Global Financing XIX - 144A, 4.90%, 01/17/13		19,571
		Leisure and Recreation—0.4%
	35,000	AMC Entertainment, Inc., 11.00%, 02/01/16		38,325
	15,000	Boyd Gaming Corp., 6.75%, 04/15/14		14,738
	40,000	Boyd Gaming Corp., 7.13%, 02/01/16		38,900
	60,000	Inn of The Mountain Gods, 12.00%, 11/15/10		63,150
	60,000	Mandalay Resort Group, 9.50%, 08/01/08		63,899
	30,000	River Rock Entertainment Authority, 9.75%, 11/01/11		32,025
	25,000	Station Casinos, Inc., 7.75%, 08/15/16		26,063
	65,000	Station Casinos, Inc., 6.63%, 03/15/18		58,988
				336,088
		Manufacturing—0.6%
	120,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		125,930
	440,000	Tyco International Group SA (Luxembourg), 6.00%, 11/15/13		455,982
				581,912
		Medical Equipment, Supplies, and Services—0.4%
	75,000	DaVita, Inc., 7.25%, 03/15/15		74,063
	6,000	HCA, Inc., 6.30%, 10/01/12		5,093
	70,000	HCA, Inc., 6.25%, 02/15/13		58,625
	110,000	HCA, Inc., 6.75%, 07/15/13		93,363
	34,000	HCA, Inc., 6.50%, 02/15/16		27,370
	125,000	Tenet Healthcare Corp., 9.88%, 07/01/14		125,155
				383,669
		Office Equipment and Services—0.0%
	40,000	Xerox Corp., 6.75%, 02/01/17		40,800

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas—3.7%
$	110,000	Amerada Hess Corp., 7.30%, 08/15/31	$	124,240
	15,000	AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.13%, 05/20/16		14,850
	100,000	Anadarko Finance Company, Series B, 7.50%, 05/01/31		114,686
	320,000	Anadarko Petroleum Corp., 6.45%, 09/15/36		327,951
	150,000	Apache Finance Canada (Canada), 4.38%, 05/15/15		139,170
	55,000	Chesapeake Energy Corp., 6.38%, 06/15/15		52,800
	150,000	ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07		147,704
	230,000	Conoco, Inc., 6.95%, 04/15/29(4)		266,054
	50,000	Devon Energy Corp., 7.95%, 04/15/32		61,930
	50,000	El Paso Corp., Series MTN, 7.80%, 08/01/31		51,500
	130,000	El Paso Corp., Series MTN, 7.75%, 01/15/32		133,900
	110,000	El Paso Natural Gas, 8.38%, 06/15/32		126,478
	330,000	Kerr-McGee Corp., 7.88%, 09/15/31		400,578
	30,000	Kinder Morgan Energy Partners, LP, 6.30%, 02/01/09		30,499
	120,000	Kinder Morgan Energy Partners, LP, 6.75%, 03/15/11		125,146
	120,000	Pemex Project Funding Master Trust, 7.38%, 12/15/14		130,020
	40,000	Pemex Project Funding Master Trust - 144A, 6.63%, 06/15/35		39,350
	130,000	Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16		129,587
	70,000	Pogo Producing Company, 6.88%, 10/01/17		67,113
	65,000	Suburban Propane Partners, 6.88%, 12/15/13		63,050
	20,000	Vintage Petroleum, 8.25%, 05/01/12		21,116
	50,000	Western Oil Sands, Inc. (Canada), 8.38%, 05/01/12		53,875
	80,000	Williams Companies, Inc., 8.75%, 03/15/32		88,000
	370,000	Williams Companies, Inc., Series A, 7.50%, 01/15/31		367,224
	100,000	XTO Energy, Inc., 7.50%, 04/15/12		109,155
	320,000	XTO Energy, Inc., 6.25%, 04/15/13		330,509
				3,516,485
		Paper and Forest Products—0.5%
	410,000	Weyerhaeuser Company, 6.75%, 03/15/12		428,991
		Printing and Publishing—0.0%
	40,000	Reader’s Digest Association, Inc., 6.50%, 03/01/11		38,200
		Private Asset Backed: Banks—1.4%
	442,155	Washington Mutual Bank, Series 2005-AR13, Class A1A1, Floating Rate, 5.62%, 10/25/45(3)		445,260
	534,010	Washington Mutual Bank, Series 2005-AR15, Class A1A2, Floating Rate, 5.61%, 11/25/45(3)		536,442
	369,318	Washington Mutual Bank, Series 2005-AR8, Class 2A1A, Floating Rate, 5.62%, 07/25/45(3)		370,832
				1,352,534
		Private Asset Backed: Financial Services—1.8%
	430,643	Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.63%, 11/25/35(3)		432,089
	301,610	Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 5.63%, 12/25/35(3)		303,116
	790,180	Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 5.40%, 08/25/46(3)		790,527
	140,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42		136,657
				1,662,389

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity—20.4%
$	413,986	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.57%, 09/25/35(3)	$	414,612
	227,609	Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.75%, 02/25/35(3)		228,702
	239,784	Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.71%, 04/25/35(3)		241,058
	502,405	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 5.62%, 11/25/45(3)		504,910
	400,000	Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43(4)		381,992
	365,300	Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.46%, 02/25/35(3) (4)		358,559
	727,611	Bear Stearns Alt-A Trust, Series 2004-11, Class 2A2, Floating Rate, 4.95%, 11/25/34(3)		737,343
	61,864	Chevy Chase Mortgage Funding Corp. - 144A, Series 2003-2AT, Class A1, Floating Rate, 5.71%, 05/25/34(3)		62,086
	464,639	Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.97%, 08/25/35(3) (4)		460,589
	347,574	Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 5.66%, 10/25/35(3)		348,555
	549,146	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.66%, 11/20/35(3)		551,315
	491,238	Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 5.60%, 08/25/35(3)		492,642
	657,061	Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 5.54%, 07/25/46(3)		657,081
	303,435	Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.51%, 02/25/36(3)		303,720
	130,000	Countrywide Asset -Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35(4)		128,493
	982,636	Countrywide Home Equity Loan Trust - 144A, Series 2006-RES, Class 4Q1B, 5.63%, 12/15/33(3)		984,631
	340,296	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.56%, 12/15/35(3)		340,987
	346,950	Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 7.41%, 11/25/34(3)		352,474
	934,164	Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 5.62%, 04/25/35(3)		937,970
	362,643	Countrywide Home Loans, Series 2005-R3, Class AF, Floating Rate, 5.73%, 09/25/35(3)		364,914
	666,977	Credit Suisse Mortgage Capital Certificates - 144A, Series 2006-CF2, Class A1, Floating Rate, 5.59%, 05/25/36(3)		667,184
	310,866	First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.73%, 12/25/32(3)		311,769
	210,000	GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.33%, 11/10/45(3)		210,854
	482,806	GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 4.84%, 12/19/33(3)		483,723
	370,738	GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.67%, 03/18/35(3)		365,413
	799,611	Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 5.43%, 09/25/46(3)		799,611
	200,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39		194,321
	186,851	Impac CMB Trust, Series 2003-10, Class 1A1, Floating Rate, 6.03%, 10/25/33(3)		187,050
	208,793	Impac CMB Trust, Series 2004-2, Class A1, Floating Rate, 5.85%, 04/25/34(3)		208,981
	278,480	Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.73%, 10/25/34(3)		280,205
	133,627	IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35		129,786

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	430,354	IXIS Real Estate Capital Trust, Series 2006-HE1, Class A1, Floating Rate, 5.42%, 03/25/36(3)	$	430,647
	380,159	JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.30%, 07/25/34(3)		376,454
	100,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30		96,006
	100,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30		97,093
	200,000	LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40		194,875
	500,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35		483,475
	400,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35		390,755
	220,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3)		226,416
	338,515	MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.65%, 10/25/28(3)		338,574
	378,020	Structured Adjustable Rate Mortgage Loan, Series 2005-15, Class 1A1, 5.06%, 07/25/35		374,821
	266,567	Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.68%, 01/19/34(3)		267,285
	694,802	Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 5.52%, 07/25/36(3)		695,804
	766,838	Thornburg Mortgage Securities Trust, Series 2005-4, Class A4, Floating Rate, 5.53%, 12/25/35(3)		766,333
	962,036	Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.50%, 01/25/36(3)		960,986
	99,129	Wachovia Mortgage Loan Trust LLC, Series 2005-WMC1, Class A1, Floating Rate, 5.44%, 10/25/35(3)		99,198
	641,934	Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 5.46%, 08/25/36(3)		641,459
				19,131,711
		Private Asset Backed: Other—0.7%
	700,000	SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 5.43%, 07/25/17(2)		699,498
		Real Estate Development and Services—0.1%
	35,000	Forest City Enterprises, Inc., 7.63%, 06/01/15		35,875
	30,000	Forest City Enterprises, Inc., 6.50%, 02/01/17		28,350
				64,225
		Real Estate Investment Trusts—0.1%
	40,000	Host Marriott, LP, Series Q, 6.75%, 06/01/16		39,650
	10,000	Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12		11,200
	30,000	Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16		29,963
				80,813
		Scientific and Technical Instruments—0.0%
	10,000	Cie Generale de Geophysique (France), 7.50%, 05/15/15		9,950
		Special Purpose Entity—0.5%
	10,000	Hexion US Finance Corp./Hexion Nova Scotia Finance, ULC, 9.00%, 07/15/14		10,250
	100,000	Mitsubishi UFJ Financial Group Capital Financial I, Ltd., (Cayman Islands), Variable Rate, 6.35%, perpetual (1)		100,994
	230,000	Resona Preferred Global Securities - 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1)		238,433
	160,000	TNK-BP Finance SA - 144A (Luxembourg), 7.50%, 07/18/16		167,445
				517,122

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Telecommunications Equipment and Services—1.4%
$	90,000	AT&T, Inc., 5.10%, 09/15/14	$	87,097
	10,000	BellSouth Corp., 4.75%, 11/15/12(4)		9,552
	55,000	Cincinnati Bell, Inc., 7.00%, 02/15/15		54,175
	75,000	Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16		73,510
	40,000	Intelsat Bermuda, Ltd. - 144A (Bermuda), 9.25%, 06/15/16		42,250
	55,000	Intelsat, Ltd. (Bermuda), 7.63%, 04/15/12		48,400
	115,000	Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30		132,203
	190,000	Qwest Communications International, Inc., Floating Rate, 8.91%, 02/15/09(2)		194,514
	320,000	Sprint Capital Corp., 6.00%, 01/15/07		320,366
	150,000	Sprint Capital Corp., 8.38%, 03/15/12		168,303
	90,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		83,540
	40,000	Verizon Global Funding Corp., 7.38%, 09/01/12		43,804
	20,000	Windstream Corp. - 144A, 8.63%, 08/01/16		21,500
				1,279,214
		Transportation—0.4%
	40,000	Gulfmark Offshore, Inc., 7.75%, 07/15/14		40,400
	70,000	Horizon Lines LLC, 9.00%, 11/01/12		72,450
	90,000	OMI Corp. (Marshall Islands), 7.63%, 12/01/13		91,350
	130,000	Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11		137,800
	50,000	Union Pacific Corp., 5.38%, 05/01/14		49,962
				391,962
		Utilities—1.2%
	85,000	AES Corp., 7.75%, 03/01/14		88,825
	30,000	Dominion Resources, Inc., 4.75%, 12/15/10		29,281
	100,000	Dominion Resources, Inc., 5.70%, 09/17/12		100,728
	70,000	FirstEnergy Corp., Series B, 6.45%, 11/15/11		73,101
	440,000	FirstEnergy Corp., Series C, 7.38%, 11/15/31		510,269
	30,000	NRG Energy, Inc., 7.25%, 02/01/14		29,850
	30,000	NRG Energy, Inc., 7.38%, 02/01/16		29,888
	20,000	Oncor Electric Delivery Company, 6.38%, 01/15/15		20,682
	70,000	Pacific Gas & Electric Company, 6.05%, 03/01/34		70,642
	90,000	TXU Corp., Series P, 5.55%, 11/15/14		85,480
	60,000	TXU Corp., Series R, 6.55%, 11/15/34		56,812
				1,095,558
		Total Corporate Bonds and Notes (Cost $42,996,574)		43,027,887

Shares
		Convertible Preferred Stocks—0.2%
		Automobiles/Motor Vehicles and Automotive Equipment
	9,300	General Motors Corp., Series A, 4.50% (Cost $217,415)	230,082

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Municipal Bonds—0.8%
		Virginia
$	755,625	Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $743,162)	$	755,670
		Foreign Government Obligations—3.2%
	320,000	Bundesrepublic Deutschland (Germany), Series 04, 3.75%, 01/04/15(18)		407,903
	500,000	Canada Treasury Bill (Canada), 5.08%, 12/15/06		494,637
	10,000	Federal Republic of Brazil (Brazil), 8.88%, 04/15/24		12,050
	35,000	Federal Republic of Brazil (Brazil), 10.13%, 05/15/27		47,058
	196,000	Federal Republic of Brazil (Brazil), 11.00%, 08/17/40(8)		255,535
	203,998	Government of Canada Real Return Bonds (Canada), 4.00%, 12/01/31(4) (16)		269,382
	25,000	Republic of Colombia (Colombia), 11.75%, 02/25/20		35,125
	100,000	Republic of Colombia (Colombia), Series MTN, 7.38%, 09/18/37		101,500
	94,000	Republic of Panama (Panama), 7.13%, 01/29/26		98,935
	690,000	Russian Federation (Russia) - 144A, 5.00%, 03/31/30		771,763
	8,000	United Mexican States (Mexico), 5.63%, 01/15/17		7,924
	90,000	United Mexican States (Mexico), Series MTN, 8.30%, 08/15/31		112,455
	342,000	United Mexican States (Mexico), Series MTNA, 7.50%, 04/08/33		395,352
		Total Foreign Government Obligations (Cost $2,917,329)		3,009,619
		Short Term US Government Agency Securities—0.3%
		Federal Home Loan Bank
	310,000	Series 633, 4.80%, 02/15/07 (Cost $310,000)		310,000
		Securities Lending Collateral—4.7%
	4,418,263	Securities Lending Collateral Investment (Note 3) (Cost $4,418,263)		4,418,263
		Total Securities (Cost $116,655,366)		117,009,110
		Repurchase Agreements—17.6%
	16,578,158	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $16,584,734 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.15%, due 05/01/34 with a value of $12,891,176 and Small Business Administration, 8.63%, due 03/25/23, with a value of $4,515,890) (Cost $16,578,158)		16,578,158
		Total Investments before Call and Put Options Written — 141.8% (Cost $133,233,524)		133,587,268

See notes to portfolios of investments.

TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Contracts				Value
			Call Options Written—(0.0)%
	(10	)	US Treasury Note (10 Year) March Future, Expiring February 2007 @ 110	$	(4,687	)
	(13	)	US Treasury Note (10 Year) March Future, Expiring February 2007 @ 111		(3,657	)
			Total Call Options Written (Premium $10,744)		(8,344	)
			Put Options Written—(0.0)%
	(13	)	US Treasury Note (10 Year) March Future, Expiring February 2007 @ 106 (Premium $4,826)		(5,078	)
			Total Investments net of Call and Put Options Written — 141.8% (Cost $133,217,954)		133,573,846
			Liabilities less other assets — (41.8)%		(39,394,342	)
			Net Assets — 100.0%	$	94,179,504

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $133,217,954.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	888,088
Gross unrealized depreciation		(532,196	)
Net unrealized appreciation	$	355,892

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes—87.8%
		Advertising—2.3%
$	3,745,000	Advanstar Communications, Inc., 10.75%, 08/15/10	$	4,053,962
	470,000	Affinion Group, Inc., 10.13%, 10/15/13		495,850
	945,000	Affinion Group, Inc., 11.50%, 10/15/15		973,350
	645,000	Lamar Media Corp. - 144A, 6.63%, 08/15/15		621,619
	1,305,000	RH Donnelley Corp., 6.88%, 01/15/13		1,197,338
	955,000	RH Donnelley Corp., Series A-1, 6.88%, 01/15/13		876,213
	1,725,000	RH Donnelley Corp., Series A-2, 6.88%, 01/15/13		1,582,687
	1,080,000	RH Donnelley Corp., Series A-3, 8.88%, 01/15/16		1,088,100
				10,889,119
		Aerospace and Defense—0.4%
	575,000	Argo-Tech Corp., 9.25%, 06/01/11		600,875
	415,000	Armor Holdings, Inc., 8.25%, 08/15/13		431,600
	980,000	DRS Technologies, Inc., 7.63%, 02/01/18		999,600
				2,032,075
		Agricultural Equipment—1.3%
	3,035,000	Case New Holland, Inc., 9.25%, 08/01/11		3,232,275
	2,780,000	Case New Holland, Inc., 7.13%, 03/01/14		2,804,325
				6,036,600
		Airlines—0.6%
	1,700,000	American Airlines, Inc., Series 2001-2, 7.80%, 10/01/06		1,701,062
	831,490	Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11		813,302
	500,000	Delta Air Lines, Inc., 7.90%, 12/15/09(9)		145,000
				2,659,364
		Apparel: Manufacturing and Retail—3.7%
	4,035,000	Levi Strauss & Company, 12.25%, 12/15/12		4,519,200
	450,000	Levi Strauss & Company, 9.75%, 01/15/15		469,125
	930,000	Levi Strauss & Company, 8.88%, 04/01/16		930,000
	2,940,000	Levi Strauss & Company, Floating Rate, 10.26%, 04/01/12(2)		3,042,900
	2,695,000	Oxford Industries, Inc., 8.88%, 06/01/11		2,762,375
	2,780,000	Perry Ellis International, Inc., Series B, 8.88%, 09/15/13		2,752,200
	1,830,000	Phillips Van-Heusen Corp., 7.25%, 02/15/11		1,857,450
	685,000	Phillips Van-Heusen Corp., 8.13%, 05/01/13		717,538
				17,050,788
		Automobile: Rental—1.2%
	4,590,000	Hertz Corp. - 144A, 8.88%, 01/01/14		4,830,975
	490,000	Hertz Corp. - 144A, 10.50%, 01/01/16		541,450
				5,372,425
		Automobile: Retail—0.1%
	660,000	AutoNation, Inc. - 144A, Floating Rate, 7.51%, 04/15/13(2)		671,550
		Automobiles/Motor Vehicles and Automotive Equipment—1.7%
	2,610,000	Collins & Aikman Products Company, Series B, 9.75%, 02/15/10		2,610,000
	395,000	Commercial Vehicle Group, 8.00%, 07/01/13		380,188

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Automobiles/Motor Vehicles and Automotive Equipment (continued)
$	1,000,000	Tenneco Automotive, Inc., 8.63%, 11/15/14	$	992,500
	2,195,000	Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13		2,392,550
	354,000	TRW Automotive, Inc., 11.00%, 02/15/13		387,630
	680,000	Visteon Corp., 8.25%, 08/01/10		666,400
	370,000	Visteon Corp., 7.00%, 03/10/14		333,000
				7,762,268
		Broadcast Services/Media—4.6%
	620,000	Adelphia Communications, 10.25%, 11/01/06(9)		382,850
	840,000	Adelphia Communications, 10.25%, 06/15/11(9)		548,100
	305,000	Adelphia Communications, Series B, 9.25%, 10/01/02(9) (13)		189,100
	1,025,000	Cablevision Systems Corp., Class B, Floating Rate, 9.62%, 04/01/09(11)		1,095,469
	5,970,000	CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13		6,037,162
	980,000	CSC Holdings, Inc., 7.25%, 07/15/08		994,700
	455,000	CSC Holdings, Inc., Series B, 8.13%, 08/15/09		473,769
	135,000	CSC Holdings, Inc., Series B, 7.63%, 04/01/11		139,219
	4,700,000	Insight Communications Company, Inc., 12.25%, 02/15/11		4,993,749
	1,235,000	Kabel Deutschland GMBH - 144A (Germany), 10.63%, 07/01/14		1,330,713
	715,000	LBI Media, Inc., 10.13%, 07/15/12		756,113
	570,000	LBI Media, Inc., zero coupon, 10/15/13(7)		484,500
	1,215,000	Mediacom Broadband LLC/Mediacom Broadband Corp. - 144A, 8.50%, 10/15/15		1,213,481
	2,885,000	Sirius Satellite Radio, Inc., 9.63%, 08/01/13		2,834,513
	185,000	XM Satellite Radio, Inc., 9.75%, 05/01/14		177,600
				21,651,038
		Business Services and Supplies—0.1%
	655,000	FTI Consulting, Inc. - 144A, 7.75%, 10/01/16		664,825
		Chemicals—4.4%
	1,210,000	Equistar Chemical/Funding, 10.63%, 05/01/11		1,303,775
	1,086,000	Huntsman LLC, 11.63%, 10/15/10		1,205,460
	760,000	IMC Global, Inc., 10.88%, 08/01/13		851,200
	1,675,000	IMC Global, Inc., Series B, 11.25%, 06/01/11		1,777,594
	3,400,000	Ineos Group Holdings PLC - 144A (United Kingdom), 8.50%, 02/15/16		3,255,499
	320,000	Lyondell Chemical Company, 11.13%, 07/15/12		350,400
	1,301,000	Lyondell Chemical Company, 10.50%, 06/01/13		1,437,605
	1,865,000	Lyondell Chemical Company, 8.00%, 09/15/14		1,897,638
	930,000	Lyondell Chemical Company, 8.25%, 09/15/16		948,600
	830,000	Nova Chemicals Corp. (Canada), Floating Rate, 8.41%, 11/15/13(11)		850,750
	2,900,000	OM Group, Inc., 9.25%, 12/15/11		3,030,500
	1,100,000	PolyOne Corp., 10.63%, 05/15/10		1,188,000
	365,000	PolyOne Corp., 8.88%, 05/01/12		370,475
	645,000	Reichhold Industries, Inc. - 144A, 9.00%, 08/15/14		638,550
	1,148,000	Rockwood Specialties Corp., 10.63%, 05/15/11		1,234,100
				20,340,146
		Computer Equipment, Software and Services—1.4%
	475,000	Activant Solutions, Inc. - 144A, 9.50%, 05/01/16		441,750
	1,800,000	Interface, Inc., 10.38%, 02/01/10		1,971,000
	170,000	Interface, Inc., 9.50%, 02/01/14		175,950
	1,685,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		1,752,400
	1,414,000	Sungard Data Systems, Inc., 10.25%, 08/15/15		1,463,490

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Computer Equipment, Software and Services (continued)
$	840,000	Sungard Data Systems, Inc., Floating Rate, 9.97%, 08/15/13(11)	$	875,700
				6,680,290
		Construction Services and Supplies—2.6%
	2,025,000	Dayton Superior Corp., 10.75%, 09/15/08		2,095,875
	1,306,000	Goodman Global Holdings, Series B, Floating Rate, 8.33%, 06/15/12(11)		1,327,223
	650,000	Interline Brands, Inc., 8.13%, 06/15/14		661,375
	3,660,000	Nortek, Inc., 8.50%, 09/01/14		3,477,000
	1,375,000	Panolam Industries International - 144A, 10.75%, 10/01/13		1,395,625
	3,000,000	RMCC Acquisition Company - 144A, 9.50%, 11/01/12		3,120,000
	330,000	Stanley-Martin Communities LLC, 9.75%, 08/15/15		263,175
				12,340,273
		Consumer Goods and Services—0.2%
	755,000	Steinway Musical Instruments - 144A, 7.00%, 03/01/14		743,675
		Containers and Packaging—0.9%
	745,000	BPC Holding Corp./Berry Plastic Corp. - 144A, 8.88%, 09/15/14		752,450
	555,000	BPC Holding Corp./Berry Plastic Corp. - 144A, Floating Rate, 9.27%, 09/15/14(2)		560,550
	865,000	Intertape Polymer US, Inc., 8.50%, 08/01/14		817,425
	935,000	Pliant Corp., 11.63%, 06/15/09		1,014,885
	1,210,000	Stone Container Finance Company of Canada (Canada), 7.38%, 07/15/14		1,107,150
				4,252,460
		Distribution—0.2%
	916,000	Jafra Cosmetics International, 10.75%, 05/15/11		986,990
		Education—1.0%
	1,700,000	Education Management LLC - 144A, 8.75%, 06/01/14		1,725,500
	2,335,000	Education Management LLC - 144A, 10.25%, 06/01/16		2,399,213
	740,000	Knowledge Learning Center - 144A, 7.75%, 02/01/15		695,600
				4,820,313
		Electronics—0.1%
	550,000	Muzak LLC, 10.00%, 02/15/09		488,813
		Energy Services—0.3%
	1,360,000	Verasun Energy Corp., 9.88%, 12/15/12		1,428,000
		Environmental Waste Management and Recycling Services—0.6%
	1,150,000	Allied Waste North America, Inc., 7.25%, 03/15/15		1,147,125
	1,800,000	Waste Services, Inc., 9.50%, 04/15/14		1,854,000
				3,001,125
		Equipment Rental and Leasing—0.4%
	1,730,000	United Rentals North America, Inc., 6.50%, 02/15/12		1,678,100

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Equipment Rental and Leasing (continued)
$	365,000	United Rentals North America, Inc., 7.75%, 11/15/13	$	361,350
				2,039,450
		Financial Services—6.2%
	2,050,000	Alamosa Delaware, Inc., 11.00%, 07/31/10		2,249,875
	1,335,000	BCP US Crystal Holdings Corp., 9.63%, 06/15/14		1,455,150
	315,000	E*TRADE Financial Corp., 8.00%, 06/15/11		327,600
	1,765,000	Ford Motor Credit Company, 6.63%, 06/16/08		1,739,000
	3,090,000	Ford Motor Credit Company, 7.38%, 10/28/09		3,004,889
	1,465,000	Ford Motor Credit Company, 7.88%, 06/15/10		1,427,851
	4,505,000	Ford Motor Credit Company, 9.88%, 08/10/11		4,666,278
	5,220,000	Ford Motor Credit Company, Floating Rate, 8.47%, 11/02/07(2)		5,267,585
	470,000	General Motors Acceptance Corp., 5.85%, 01/14/09		461,056
	170,000	General Motors Acceptance Corp., 7.00%, 02/01/12		169,626
	4,410,000	General Motors Acceptance Corp., 8.00%, 11/01/31		4,623,761
	935,000	GMAC LLC, 5.13%, 05/09/08		916,581
	2,380,000	Residential Capital Corp. - 144A, Floating Rate, 7.34%, 04/17/09(2)		2,392,362
				28,701,614
		Food and Beverage—2.7%
	3,725,000	ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11(7)		3,259,375
	2,475,000	Dean Foods Company, 7.00%, 06/01/16		2,487,375
	2,000,000	Dole Foods Company, 8.63%, 05/01/09		1,965,000
	1,415,000	Pierre Foods, Inc., 9.88%, 07/15/12		1,443,300
	3,240,000	Pinnacle Foods Holding Corp., 8.25%, 12/01/13		3,260,250
				12,415,300
		Funeral Services—0.6%
	1,090,000	Service Corp. International - 144A, 7.75%, 06/15/17		1,049,125
	1,715,000	Service Corp. International - 144A, 7.63%, 10/01/18		1,734,294
				2,783,419
		Insurance—0.4%
	2,045,000	Multiplan, Inc. - 144A, 10.38%, 04/15/16		2,065,450
		Leisure and Recreation—7.9%
	2,365,000	AMC Entertainment, Inc., 9.88%, 02/01/12		2,441,863
	820,000	AMC Entertainment, Inc., 11.00%, 02/01/16		897,900
	270,000	AMC Entertainment, Inc., Floating Rate, 9.66%, 08/15/10(2)		280,125
	181,058	Eldorado Casino Shreveport, 10.00%, 08/01/12		172,005
	3,025,000	GreekTown Holdings - 144A, 10.75%, 12/01/13		3,206,499
	1,005,553	HRP Myrtle Beach Holdings/CA - 144A, 14.50%, 04/01/14(12)		1,055,831
	945,000	HRP Myrtle Beach Operations - 144A, 12.50%, 04/01/13		946,181
	1,730,000	HRP Myrtle Beach Operations - 144A, Floating Rate, 9.82%, 04/01/12(11)		1,734,325
	1,870,000	Inn of The Mountain Gods, 12.00%, 11/15/10		1,968,175
	1,410,000	Las Vegas Sands Corp., 6.38%, 02/15/15		1,330,688
	890,000	Majestic Holdco LLC - 144A, zero coupon, 10/15/11(7)		654,150
	1,500,000	MGM MIRAGE, 6.63%, 07/15/15		1,447,500
	460,000	Mohegan Tribal Gaming Authority, 8.00%, 04/01/12		478,400
	2,275,000	OED Corp./Diamond JO, 8.75%, 04/15/12		2,286,375

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Leisure and Recreation (continued)
$	1,330,000	San Pasqual Casino - 144A, 8.00%, 09/15/13	$	1,359,925
	1,625,000	Six Flags, Inc., 9.63%, 06/01/14		1,454,375
	455,000	Station Casinos, Inc., 6.00%, 04/01/12		441,350
	495,000	Station Casinos, Inc., 7.75%, 08/15/16		516,038
	695,000	The Majestic Star Casino LLC, 9.50%, 10/15/10		714,113
	905,000	The Majestic Star Casino LLC / Majestic Star Casino Capital Corp. II, 9.75%, 01/15/11		885,769
	5,965,000	Trump Entertainment Resorts, Inc., 8.50%, 06/01/15		5,733,855
	1,550,000	Tunica-Biloxi Gaming Authority - 144A, 9.00%, 11/15/15		1,619,750
	375,000	Turning Stone Resort Casino - 144A, 9.13%, 09/15/14		380,625
	1,897,000	Waterford Gaming LLC - 144A, 8.63%, 09/15/12		2,015,563
	2,585,000	Wynn Las Vegas LLC/Capital Corp., 6.63%, 12/01/14		2,520,374
				36,541,754
		Machinery—0.9%
	2,075,000	Allis Chalmers Energy, Inc. - 144A, 9.00%, 01/15/14		2,090,562
	830,000	Chart Industries, Inc. - 144A, 9.13%, 10/15/15		863,200
	905,000	Stewart & Stevenson LLC - 144A, 10.00%, 07/15/14		920,838
	305,000	The Manitowoc Company, Inc., 10.50%, 08/01/12		329,400
				4,204,000
		Manufacturing—1.4%
	2,105,000	Amsted Industries, Inc. - 144A, 10.25%, 10/15/11		2,262,875
	3,585,000	Dresser, Inc., 9.38%, 04/15/11		3,768,731
	10,000	Koppers, Inc., 9.88%, 10/15/13		10,875
	380,000	Nutro Products, Inc. - 144A, Floating Rate, 9.23%, 10/15/13(11)		392,825
	305,000	Samsonite Corp., 8.88%, 06/01/11		321,013
	720,000	Venture Holdings Trust, Series B, 9.50%, 07/01/05(9)(13)		3,600
				6,759,919
		Medical Equipment, Supplies, and Services—4.4%
	2,625,000	Accellent, Inc., 10.50%, 12/01/13		2,743,124
	1,485,000	CDRV Investors, Inc., zero coupon, 01/01/15(7)		1,106,325
	270,000	Concentra Operating Corp., 9.50%, 08/15/10		282,150
	220,000	Concentra Operating Corp., 9.13%, 06/01/12		229,900
	1,335,000	Encore Medical IHC, Inc., 9.75%, 10/01/12		1,475,175
	205,000	HCA, Inc., 8.75%, 09/01/10		207,563
	870,000	Inverness Medical Innovations, 8.75%, 02/15/12		861,300
	910,000	National Mentor Holdings - 144A, 11.25%, 07/01/14		950,950
	1,170,000	Norcross Safety Products LLC — Series B, 9.88%, 08/15/11		1,234,350
	985,000	Res-Care, Inc., 7.75%, 10/15/13		987,463
	2,192,207	Safety Products Holdings, Series B, 11.75%, 01/01/12(12)(14)		2,249,096
	945,000	Triad Hospitals, Inc., 7.00%, 05/15/12		940,275
	1,115,000	Triad Hospitals, Inc., 7.00%, 11/15/13		1,088,519
	575,000	US Oncology Holdings, Inc., Floating Rate, 10.68%, 03/15/15(11)		589,375
	1,570,000	US Oncology, Inc., 9.00%, 08/15/12		1,632,800
	1,775,000	US Oncology, Inc., 10.75%, 08/15/14		1,952,500
	1,985,000	VWR International, Inc., 8.00%, 04/15/14		2,012,294
				20,543,159

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Metals and Mining—1.9%
$	1,115,000	AK Steel Corp., 7.88%, 02/15/09	$	1,116,394
	920,000	FMG Finance Property, Ltd. - 144A (Australia), 10.63%, 09/01/16		887,800
	1,349,000	Ispat Inland ULC (Canada), 9.75%, 04/01/14		1,521,368
	1,063,000	Mueller Group, Inc., 10.00%, 05/01/12		1,159,999
	831,000	Mueller Holdings (NA), Inc., zero coupon, 04/15/14(7)		735,435
	1,580,000	Novelis, Inc. - 144A (Canada), 7.25%, 02/15/15		1,508,900
	2,050,000	Rathgibson, Inc. - 144A, 11.25%, 02/15/14		2,121,750
				9,051,646
		Oil, Coal and Gas—4.2%
	415,000	Alpha Natural Resources, 10.00%, 06/01/12		448,200
	490,000	Clayton William Energy, 7.75%, 08/01/13		443,450
	320,000	Copano Energy LLC, 8.13%, 03/01/16		325,600
	1,895,000	Dynegy Holdings, Inc., 8.38%, 05/01/16		1,937,637
	1,550,000	Dynegy Holdings, Inc., 7.63%, 10/15/26		1,422,125
	740,000	El Paso Corp., 9.63%, 05/15/12		823,250
	160,000	El Paso Production Holding Company, 7.75%, 06/01/13		164,400
	685,000	Encore Acquisition Corp., 7.25%, 12/01/17		662,738
	695,000	Giant Industries, Inc., 8.00%, 05/15/14		755,813
	1,305,000	Inergy LP/Inergy Finance Corp., 6.88%, 12/15/14		1,256,063
	135,000	Inergy, LP/Inergy Finance Corp., 8.25%, 03/01/16		140,400
	1,365,000	Kinder Morgan Finance (Canada), 5.35%, 01/05/11		1,328,806
	380,000	Northwest Pipeline Corp., 8.13%, 03/01/10		397,100
	575,000	Ocean Rig Norway AS - 144A (Norway), 8.38%, 07/01/13		612,375
	525,000	Parker Drilling Company, 9.63%, 10/01/13		574,875
	175,000	Petrobras International Finance (Cayman Islands), 7.75%, 09/15/14		194,513
	2,715,000	Petrohawk Energy Corp. - 144A, 9.13%, 07/15/13		2,742,149
	1,015,000	Quicksilver Resources, Inc., 7.13%, 04/01/16		966,788
	440,000	Ram Energy, Inc., 11.50%, 02/15/08		457,600
	1,120,000	Semgroup LP - 144A, 8.75%, 11/15/15		1,135,400
	290,000	SESI LLC - 144A, 6.88%, 06/01/14		288,550
	2,360,000	United Refining Company, 10.50%, 08/15/12		2,489,799
				19,567,631
		Paper and Forest Products—1.6%
	820,000	Abitibi Consolidated, Inc. (Canada), 6.95%, 04/01/08		817,950
	1,665,000	Domtar, Inc. (Canada), 7.13%, 08/01/15		1,556,775
	1,185,000	Georgia-Pacific Corp., 9.50%, 12/01/11		1,282,763
	2,925,000	NewPage Corp., 10.00%, 05/01/12		3,034,687
	665,000	NewPage Corp., Floating Rate, 11.74%, 05/01/12(2)		721,525
				7,413,700
		Printing and Publishing—3.5%
	3,300,000	American Media Operations, Inc., Series B, 10.25%, 05/01/09		3,085,500
	2,281,634	CanWest Media, Inc. (Canada), 8.00%, 09/15/12		2,264,522
	410,000	CBD Media LLC/CBD Finance, Inc., 8.63%, 06/01/11		405,900
	1,241,000	Dex Media West Finance Company, Series B, 9.88%, 08/15/13		1,346,485
	6,010,000	Houghton Mifflin Company, 9.88%, 02/01/13		6,385,625
	1,500,000	Houghton Mifflin Company, zero coupon, 10/15/13(7)		1,316,250
	475,000	MediaNews Group, Inc., 6.88%, 10/01/13		441,750

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Printing and Publishing (continued)
$	1,000,000	Primedia, Inc., Floating Rate, 10.78%, 05/15/10(2)	$	1,027,500
				16,273,532
		Real Estate Development and Services—0.2%
	915,000	HydroChem Industrial Services, Inc. - 144A, 9.25%, 02/15/13		910,425
		Real Estate Investment Trusts—0.2%
	350,000	FelCor Lodging LP, Floating Rate, 9.57%, 06/01/11(11)		357,875
	485,000	Ventas Realty LP/Ventas Capital Corp., 7.13%, 06/01/15		501,369
				859,244
		Retail—5.3%
	465,000	Bon-Ton Department Stores, Inc., 10.25%, 03/15/14		454,538
	515,000	General Nutrition Centers, Inc., 8.63%, 01/15/11		529,163
	4,540,000	GSC Holdings Corp., 8.00%, 10/01/12		4,698,899
	4,090,000	GSC Holdings Corp., Floating Rate, 9.38%, 10/01/11(2)		4,274,049
	3,400,000	Hanesbrands, Inc., 9.65%, 10/15/07		3,404,250
	3,175,000	Neiman Marcus Group, Inc., 9.00%, 10/15/15		3,389,313
	1,405,000	Neiman Marcus Group, Inc., 10.38%, 10/15/15		1,524,425
	2,440,000	Rite Aid Corp., 8.13%, 05/01/10		2,458,300
	4,190,000	Rite Aid Corp. - 144A, 6.13%, 12/15/08		4,121,912
				24,854,849
		Retail: Restaurants—0.5%
	1,140,000	EPL Finance Corp. - 144A, 11.75%, 11/15/13		1,271,100
	1,050,000	NPC International, Inc. - 144A, 9.50%, 05/01/14		1,039,500
				2,310,600
		Semiconductors—0.6%
	2,045,000	Amkor Technology, Inc., 7.13%, 03/15/11		1,889,069
	465,000	Amkor Technology, Inc., 7.75%, 05/15/13		428,381
	635,000	Avago Technologies Finance Pte., Ltd. - 144A (Singapore), 10.13%, 12/01/13		676,275
				2,993,725
		Special Purpose Entity—7.5%
	1,010,000	Altra Industrial Motion, 9.00%, 12/01/11		1,035,250
	2,235,000	AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15		2,391,450
	1,105,000	CCM Merger, Inc. - 144A, 8.00%, 08/01/13		1,066,325
	1,200,000	Chukchansi Economic Development Authority - 144A, Floating Rate, 8.78%, 11/15/12(11)		1,242,000
	450,000	CPI Holdco, Inc., Floating Rate, 11.30%, 02/01/15(11)		468,000
	1,381,000	Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp. — Series B, zero coupon, 10/01/14(7)		1,127,241
	2,025,000	Digicel, Ltd. - 144A (Bermuda), 9.25%, 09/01/12		2,111,063
	2,240,000	Galaxy Entertainment Finance - 144A (British Virgin Islands), 9.88%, 12/15/12		2,354,800
	1,000,000	Galaxy Entertainment Finance - 144A (British Virgin Islands), Floating Rate, 10.42%, 12/15/10(11)		1,050,000
	535,000	Hexion US Finance Corp./Hexion Nova Scotia Finance, ULC, 9.00%, 07/15/14		548,375
	2,280,000	Marquee Holdings, Inc., zero coupon, 08/15/14(7)		1,755,600
	2,625,000	MDP Acquisitions PLC (Ireland), 9.63%, 10/01/12		2,782,500
	1,880,000	Rainbow National Services LLC - 144A, 8.75%, 09/01/12		2,021,000

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Special Purpose Entity (continued)
$	2,670,000	Rainbow National Services LLC - 144A, 10.38%, 09/01/14	$	3,030,450
	4,325,000	UGS Corp., 10.00%, 06/01/12		4,692,624
	2,915,000	Universal City Development Partners, Ltd., 11.75%, 04/01/10		3,155,488
	3,340,000	Universal City Florida, Floating Rate, 10.24%, 05/01/10(2)		3,448,549
				34,280,715
		Telecommunications Equipment and Services—6.7%
	345,000	Airgate PCS, Inc., Floating Rate, 9.26%, 10/15/11(2)		354,488
	1,460,000	Centennial Cellular/Communications, 10.13%, 06/15/13		1,558,550
	755,000	General Cable Corp., 9.50%, 11/15/10		811,625
	3,600,000	Intelsat Bermuda, Ltd. - 144A (Bermuda), 9.25%, 06/15/16		3,802,499
	5,000,000	Intelsat Bermuda, Ltd. (Bermuda), 5.25%, 11/01/08		4,824,999
	2,520,000	Intelsat Subsidiary Holding Company, Ltd. (Bermuda), Floating Rate, 10.48%, 01/15/12(11)		2,567,250
	1,000,000	IWO Holdings, Inc., 14.00%, 01/15/11(9)(14)		—
	185,000	IWO Holdings, Inc., Floating Rate, 9.26%, 01/15/12(2)		191,013
	1,195,000	LCI International, Inc., 7.25%, 06/15/07		1,203,963
	1,790,000	NTL Cable PLC (United Kingdom), 8.75%, 04/15/14		1,866,075
	460,000	Qwest Capital Funding, Inc., 7.00%, 08/03/09		464,600
	290,000	Qwest Communications International, Series B, 7.50%, 11/01/08		295,800
	1,745,000	Qwest Communications International, Series B, 7.50%, 02/15/14		1,758,088
	515,000	Qwest Corp., 7.88%, 09/01/11		543,325
	470,000	Qwest Corp., 7.63%, 06/15/15		489,975
	110,000	Qwest Corp., 7.20%, 11/10/26		106,150
	2,430,000	Qwest Corp., Floating Rate, 8.64%, 06/15/13(2)		2,612,250
	140,000	Rogers Wireless, Inc. (Canada), 8.00%, 12/15/12		149,450
	1,065,000	Rogers Wireless, Inc. (Canada), Floating Rate, 8.52%, 12/15/10(2)		1,086,300
	450,000	Telemig Celular Participacoes SA/Amazonia Cel - 144A (Brazil), 8.75%, 01/20/09		473,625
	1,590,000	Ubiquitel Operating Company, 9.88%, 03/01/11		1,733,100
	1,360,000	Windstream Corp. - 144A, 8.13%, 08/01/13		1,450,100
	2,720,000	Windstream Corp. - 144A, 8.63%, 08/01/16		2,923,999
				31,267,224
		Transportation—1.2%
	497,000	H-Lines Finance Holding, zero coupon, 04/01/13(7)		439,845
	1,277,000	Horizon Lines LLC, 9.00%, 11/01/12		1,321,695
	705,000	Kansas City Southern, 9.50%, 10/01/08		736,725
	2,325,000	TFM, SA de CV (Mexico), 9.38%, 05/01/12		2,476,125
	610,000	TFM, SA de CV (Mexico), 12.50%, 06/15/12		674,050
				5,648,440
		Utilities—1.8%
	400,000	AES Corp. - 144A, 8.75%, 05/15/13		431,000
	310,000	AES Corp. - 144A, 9.00%, 05/15/15		335,575
	466,190	AES Eastern Energy, Series 99-A, 9.00%, 01/02/17		513,101
	2,750,000	Mission Energy Holding Company, 13.50%, 07/15/08		3,083,437
	660,000	NRG Energy, Inc., 7.25%, 02/01/14		656,700
	995,000	NRG Energy, Inc., 7.38%, 02/01/16		991,269
	2,015,000	Orion Power Holdings, Inc., 12.00%, 05/01/10		2,292,062
				8,303,144

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Total Corporate Bonds and Notes (Cost $403,635,740)	$	409,661,077
		Loan Participations—4.3%
$	2,010,000	BLB Worldwide Holdings, 9.70%, 06/30/12		2,031,356
	6,700,000	Georgia-Pacific Corp., 8.39%, 12/23/13		6,769,794
	3,260,000	Hit Entertainment, Inc., Tranche LN227528, 10.83%, 02/05/13		3,290,563
	1,150,000	Masonite International Corp., 11.00%, 10/06/06		1,086,750
	7,000,000	Nielsen Finance LLC, 8.19%, 08/09/13		6,984,446
		Total Loan Participations (Cost $20,149,278)		20,162,909

Shares
		Common Stocks—0.4%
		Food and Beverage—0.0%
	81	New World Restaurant Group, Inc.*	365
		Leisure and Recreation—0.4%
	970	HRP — Class B*(14)	10
	1,100	Shreveport Gaming Holdings, Inc.*(14)	19,635
	104,876	Trump Entertainment Resorts, Inc.*	1,778,696
			1,798,341
		Utilities—0.0%
	550,000	Mirant Corp. (Escrow Certificates)*	8,250
	1,220,000	Mirant Corp. (Escrow Certificates)*	18,300
			26,550
		Total Common Stocks (Cost $1,393,680)	1,825,256
		Convertible Preferred Stocks—1.0%
		Oil, Coal and Gas—0.5%
	5,273	Chesapeake Energy Corp. - 144A, 5.00%	543,778
	21,865	Chesapeake Energy Corp., 4.50%	2,033,445
			2,577,223
		Telecommunications Equipment and Services—0.5%
	38,375	Crown Castle International Corp., 6.25%	2,153,797
		Total Convertible Preferred Stocks (Cost $4,427,021)	4,731,020

See notes to portfolios of investments.

HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Warrants—0.1%
	1,125	American Tower Corp., Expires 08/01/08*	$	579,423
	1,000	IPCS, Inc. - 144A, Expires 07/15/10*(14)		—
	1,000	IWO Holdings, Inc., Expires 01/15/11*(14)		—
	1,000	ONO Finance PLC (United Kingdom), Expires 03/16/11*(14)		69,000
	250	Ubiquitel, Inc. - 144A, Expires 04/15/10*(14)		—
		Total Warrants (Cost $75,402)		648,423

Principal
		Convertible Bonds—0.5%
		Aerospace and Defense—0.3%
$	1,305,000	L-3 Communications Corp. - 144A, 3.00%, 08/01/35		1,334,363
		Broadcast Services/Media—0.2%
	1,000,000	XM Satellite Radio Holdings, Inc., 1.75%, 12/01/09		807,500
		Total Convertible Bonds (Cost $2,285,790)		2,141,863
		Total Securities (Cost $431,966,911)		439,170,548
		Repurchase Agreements—5.8%
	26,958,812	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $26,969,506 (Collateralized by various Fannie Mae adjustable rate mortgages, 4.26%-4.80%, due 05/01/34-09/01/35, with a total value of $28,306,753) (Cost $26,958,812)		26,958,812
		Total Investments — 99.9% (Cost $458,925,723)		466,129,360
		Other assets less liabilities — 0.1%		243,242
		Net Assets — 100.0%	$	466,372,602

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $458,925,723.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	11,068,115
Gross unrealized depreciation		(3,864,478	)
Net unrealized appreciation	$	7,203,637

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks - 59.3%
		Aerospace and Defense - 1.9%
	20,950	Lockheed Martin Corp.	$	1,802,957
	26,471	Northrop Grumman Corp.		1,801,881
	36,650	Raytheon Company		1,759,567
	25,300	The Boeing Company		1,994,904
				7,359,309
		Agriculture - 0.5%
	39,200	Monsanto Company		1,842,792
		Automobile: Retail - 0.4%
	69,100	AutoNation, Inc.*(8)		1,444,190
		Automobiles/Motor Vehicles and Automotive Equipment - 0.2%
	12,400	Autoliv, Inc.		683,364
		Banks - 4.0%
	99,312	Bank of America Corp.		5,320,144
	11,600	Golden West Financial Corp.		896,100
	16,500	Hudson City Bancorp, Inc.		218,625
	8,000	North Fork Bancorp, Inc.		229,120
	19,700	UnionBanCal Corp.		1,199,730
	74,682	US Bancorp		2,480,936
	50,853	Wachovia Corp.(8)		2,837,597
	60,100	Wells Fargo & Company		2,174,418
				15,356,670
		Broadcast Services/Media - 3.1%
	57,650	CBS Corp. — Class B		1,624,001
	50,600	Clear Channel Communications, Inc.		1,459,810
	28,800	Comcast Corp. — Class A*(8)		1,061,280
	7,230	Liberty Media Holding Corp. — Capital — Series A*		604,211
	30,300	The McGraw-Hill Companies, Inc.		1,758,309
	83,200	The Walt Disney Company		2,571,712
	154,190	Time Warner, Inc.		2,810,883
				11,890,206
		Business Services and Supplies - 0.9%
	9,000	CSG Systems International, Inc.*		237,870
	8,200	Fair Isaac Corp.		299,874
	44,100	First Data Corp.		1,852,200
	19,000	Moody’s Corp.		1,242,220
				3,632,164
		Chemicals - 0.5%
	8,500	Air Products and Chemicals, Inc.		564,145
	18,400	Ashland, Inc.		1,173,552
				1,737,697

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services—3.6%
	37,600	Cadence Design Systems, Inc.*	$	637,696
	30,400	Computer Sciences Corp.*		1,493,248
	16,500	Electronic Data Systems Corp.		404,580
	88,887	Hewlett-Packard Company		3,261,264
	18,350	International Business Machines Corp.		1,503,599
	16,100	Intuit, Inc.*		516,649
	3,800	Lexmark International, Inc. — Class A*		219,108
	154,050	Microsoft Corp.		4,210,187
	12,600	Oracle Corp.*		223,524
	9,300	Red Hat, Inc.*(8)		196,044
	54,600	Sun Microsystems, Inc.*		271,362
	58,900	Western Digital Corp.*		1,066,090
				14,003,351
		Consumer Goods and Services—3.1%
	37,950	Altria Group, Inc.		2,905,073
	17,600	American Greetings Corp. — Class A		406,912
	30,750	Colgate-Palmolive Company		1,909,575
	82,298	Procter & Gamble Company		5,100,830
	9,200	Reynolds American, Inc.(8)		570,124
	3,100	United Parcel Service, Inc. — Class B		223,014
	15,500	UST, Inc.(8)		849,865
				11,965,393
		Distribution—0.1%
	8,200	Tech Data Corp.*		299,546
		Diversified Operations and Services—1.9%
	208,500	General Electric Company		7,360,050
		Electronics—0.8%
	12,500	Arrow Electronics, Inc.*		342,875
	23,700	Emerson Electric Company		1,987,482
	21,800	Synopsys, Inc.*		429,896
	7,400	Tektronix, Inc.		214,082
				2,974,335
		Financial Services—4.6%
	920	Ameriprise Financial, Inc.		43,148
	4,700	Capital One Financial Corp.(8)		369,702
	83,599	Citigroup, Inc.		4,152,362
	47,900	Countrywide Financial Corp.		1,678,416
	30,000	E*TRADE Financial Corp.*		717,600
	91,000	JPMorgan Chase & Company		4,273,360
	34,300	Merrill Lynch & Company, Inc.(8)		2,682,946
	39,100	Morgan Stanley		2,850,781
	4,900	T Rowe Price Group, Inc.		234,465
	25,750	Washington Mutual, Inc.		1,119,353
				18,122,133

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Food and Beverage — 1.7%
	47,550	Archer-Daniels-Midland Company	$	1,801,194
	26,900	General Mills, Inc.		1,522,540
	9,700	PepsiAmericas, Inc.		206,998
	10,800	PepsiCo, Inc.		704,808
	23,050	The Coca-Cola Company		1,029,874
	70,100	Tyson Foods, Inc. — Class A(8)		1,113,188
				6,378,602
		Insurance — 3.9%
	16,100	Ambac Financial Group, Inc.		1,332,275
	28,603	American International Group, Inc.		1,895,235
	4,100	CIGNA Corp.		476,912
	46,900	Genworth Financial, Inc. — Class A		1,641,969
	44,100	Loews Corp.		1,671,390
	24,602	MBIA, Inc.		1,511,547
	38,600	MetLife, Inc.		2,187,848
	14,400	Principal Financial Group, Inc.		781,632
	14,800	Radian Group, Inc.		888,000
	35,100	The St. Paul Travelers Companies, Inc.		1,645,839
	28,400	WR Berkley Corp.		1,005,076
				15,037,723
		Internet Services — 1.6%
	174,150	Cisco Systems, Inc.*		4,005,450
	5,200	Google, Inc. — Class A*		2,089,880
				6,095,330
		Leisure and Recreation — 0.7%
	22,700	Carnival Corp. (Panama)		1,067,581
	9,700	Choice Hotels International, Inc.		396,730
	30,900	Marriott International, Inc. — Class A		1,193,976
				2,658,287
		Machinery — 0.4%
	24,000	Caterpillar, Inc.		1,579,200
		Manufacturing — 0.4%
	20,400	Illinois Tool Works, Inc.		915,960
	7,400	SPX Corp.		395,456
	9,200	Tyco International, Ltd. (Bermuda)		257,508
				1,568,924
		Medical Equipment, Supplies, and Services — 2.8%
	6,400	Cardinal Health, Inc.		420,736
	23,100	Humana, Inc.*		1,526,679
	76,650	Johnson & Johnson		4,977,651
	30,800	McKesson Corp.		1,623,776

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Medical Equipment, Supplies, and Services (continued)
	48,450	Medtronic, Inc.(8)	$	2,250,018
				10,798,860
		Metals and Mining — 0.4%
	4,300	Newmont Mining Corp.		183,825
	29,100	Nucor Corp.		1,440,159
				1,623,984
		Office Equipment, Supplies, and Services — 0.1%
	26,300	Xerox Corp.*		409,228
		Oil, Coal and Gas — 5.6%
	8,700	Anadarko Petroleum Corp.		381,321
	26,814	Apache Corp.		1,694,645
	22,900	ChevronTexaco Corp.		1,485,294
	44,662	ConocoPhillips		2,658,728
	30,250	Devon Energy Corp.		1,910,288
	22,400	EOG Resources, Inc.		1,457,120
	104,250	Exxon Mobil Corp.		6,995,174
	15,900	Marathon Oil Corp.		1,222,710
	7,000	Pioneer Natural Resources Company		273,840
	41,200	Schlumberger, Ltd. (The Netherlands)		2,555,636
	9,300	Sunoco, Inc.		578,367
	14,700	XTO Energy, Inc.		619,311
				21,832,434
		Pharmaceuticals/Research and Development — 4.7%
	34,700	Abbott Laboratories		1,685,032
	33,200	AmerisourceBergen Corp.		1,500,640
	41,334	Amgen, Inc.*		2,956,621
	15,700	Biogen Idec, Inc.*		701,476
	17,900	Express Scripts, Inc.*		1,351,271
	10,800	Forest Laboratories, Inc.*		546,588
	37,400	King Pharmaceuticals, Inc.*		636,922
	65,600	Merck & Company, Inc.		2,748,640
	185,960	Pfizer, Inc.		5,273,826
	9,700	Wyeth		493,148
				17,894,164
		Real Estate Investment Trusts — 0.6%
	4,700	New Century Financial Corp.(8)		184,757
	28,200	ProLogis		1,609,092
	5,000	Public Storage, Inc.		429,950
				2,223,799
		Retail — 1.7%
	49,400	Circuit City Stores, Inc.		1,240,434
	14,800	Costco Wholesale Corp.(8)		735,264
	41,700	Dillard’s, Inc. — Class A(8)		1,364,841
	37,000	Office Depot, Inc.*		1,468,901

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Retail (continued)
	6,072	The Home Depot, Inc.	$	220,231
	12,900	Walgreen Company		572,631
	18,870	Wal-Mart Stores, Inc.		930,668
				6,532,970
		Retail: Restaurants — 0.8%
	35,450	Darden Restaurants, Inc.		1,505,562
	32,100	Starbucks Corp.*(8)		1,093,005
	7,900	YUM! Brands, Inc.		411,195
				3,009,762
		Retail: Supermarkets — 0.4%
	52,300	Safeway, Inc.		1,587,305
		Scientific and Technical Instruments—0.7%
	45,600	Agilent Technologies, Inc.*		1,490,664
	30,500	Applera Corp.-Applied Biosystems Group		1,009,855
				2,500,519
		Semiconductors — 1.7%
	8,600	Advanced Micro Devices, Inc.*		213,710
	43,239	Freescale Semiconductor, Inc. — Class B*		1,643,514
	39,750	Intel Corp.		817,658
	90,800	Micron Technology, Inc.*		1,579,920
	71,050	Texas Instruments, Inc.		2,362,412
				6,617,214
		Telecommunications Equipment and Services — 2.7%
	114,700	AT&T, Inc.(8)		3,734,631
	8,900	BellSouth Corp.		380,475
	36,250	CenturyTel, Inc.		1,438,038
	15,207	Embarq Corp.		735,563
	34,550	Motorola, Inc.(8)		863,750
	11,800	Polycom, Inc.*		289,454
	57,750	Sprint Nextel Corp.		990,413
	47,700	Verizon Communications, Inc.		1,771,101
				10,203,425
		Transportation — 1.1%
	24,000	Burlington Northern Santa Fe Corp.		1,762,560
	47,000	CSX Corp.		1,543,010
	9,950	Norfolk Southern Corp.		438,298
	3,300	Union Pacific Corp.		290,400
				4,034,268
		Utilities — 1.7%
	6,600	American Electric Power Company, Inc.		240,042
	4,900	Consolidated Edison, Inc.		226,380

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Utilities (continued)
	9,200	Duke Energy Corp.	$	277,840
	37,700	Edison International		1,569,828
	4,250	Entergy Corp.		332,478
	5,700	FirstEnergy Corp.		318,402
	39,450	PG&E Corp.		1,643,093
	31,300	TXU Corp.		1,956,875
				6,564,938
		Total Common Stocks
		(Cost $200,132,048)		227,822,136
		Convertible Preferred Stocks — 0.1%
		Automobiles/Motor Vehicles and Automotive Equipment
	20,200	General Motors Corp., Series A, 4.50% (Cost $472,230)		499,748
		Warrants — 0.0%
	789	Raytheon Company, Expires 06/16/11 (Cost $0)		11,259

Principal
		US Treasury Securities — 7.4%
		US Treasury Bonds — 1.0%
$	500,000	8.00%, 11/15/21(8)	669,063
	3,368,000	4.50%, 02/15/36(8)	3,228,281
			3,897,344
		US Treasury Inflation Index — 0.8%
	768,795	2.38%, 04/15/11	769,847
	927,020	1.63%, 01/15/15	882,045
	261,503	1.88%, 07/15/15	253,290
	440,793	2.00%, 01/15/16	430,806
	313,020	2.38%, 01/15/25	318,156
	184,518	2.00%, 01/15/26	177,022
	272,281	3.88%, 04/15/29	351,902
			3,183,068
		US Treasury Notes — 5.2%
	5,000,000	3.00%, 12/31/06	4,975,980
	1,185,000	3.38%, 02/28/07	1,177,455
	730,000	3.00%, 02/15/08	712,919
	865,000	3.38%, 02/15/08(8)	848,951
	1,060,000	3.75%, 05/15/08(8)	1,043,811
	1,800,000	3.88%, 09/15/10	1,754,509
	6,350,000	4.25%, 01/15/11(8)	6,265,418
	380,000	4.50%, 02/28/11(8)	378,694
	830,000	4.25%, 08/15/13(8)	812,752
	50,000	4.25%, 11/15/14	48,777

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Treasury Securities (continued)
		US Treasury Notes (continued)
$	850,000	4.13%, 05/15/15(8)	$	820,549
	390,000	4.50%, 11/15/15		386,344
	570,000	4.50%, 02/15/16		564,456
				19,790,615
		US Treasury Strips - 0.4%
	3,270,000	Zero coupon, 11/15/24		1,360,209
		Total US Treasury Securities
		(Cost $28,020,144)		28,231,236
		US Government Agency Securities - 20.5%
		Asset Backed: Mortgage and Home Equity—0.7%
	600,000	Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10		621,762
	240,069	Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29		241,834
	760,000	Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18		747,860
	492,316	Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34		484,668
	620,306	Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34		619,964
				2,716,088
		Fannie Mae - 15.8%
	550,000	5.00%, 09/15/08		550,426
	149,336	PL# 535675, 7.00%, 01/01/16		153,312
	960	PL# 549906, 7.50%, 09/01/30		994
	2,782	PL# 552549, 7.50%, 09/01/30		2,881
	593	PL# 558384, 7.50%, 01/01/31		614
	2,501	PL# 568677, 7.50%, 01/01/31		2,590
	896	PL# 572762, 7.50%, 03/01/31		928
	16,009	PL# 582178, 7.50%, 06/01/31		16,569
	13,289	PL# 594316, 6.50%, 07/01/31		13,592
	2,571	PL# 602859, 6.50%, 10/01/31		2,629
	15,042	PL# 614924, 7.00%, 12/01/16		15,440
	1,236,752	PL# 735809, Variable Rate, 4.48%, 08/01/35(1)		1,224,978
	90,039	PL# 745000, 6.00%, 10/01/35		90,505
	58,161	PL# 779545, 6.00%, 06/01/34		58,536
	45,026	PL# 785183, 6.00%, 07/01/34		45,317
	355,355	PL# 787311, 6.00%, 06/01/34		357,650
	2,889,812	PL# 790915, 6.00%, 09/01/34		2,908,475
	1,783,018	PL# 792113, 6.00%, 09/01/34		1,794,534
	62,143	PL# 793193, 5.50%, 07/01/19		62,213
	395,613	PL# 793693, 6.00%, 08/01/34		398,168
	118,804	PL# 801516, Variable Rate, 4.72%, 08/01/34(1)		117,806
	503,937	PL# 810896, Variable Rate, 4.85%, 01/01/35(1)		497,023
	1,073,699	PL# 835136, 6.00%, 09/01/35		1,079,259
	1,409,104	PL# 844183, 6.00%, 11/01/35		1,416,401
	800,000	PL# 893681, 6.00%, 10/01/36		803,940
	1,600,000	PL# 893923, 6.00%, 10/01/36		1,607,879
	1,900,000	PL# 894005, 6.00%, 10/01/36		1,909,357
	1,100,000	TBA, 5.00%, 10/01/21		1,081,093
	1,300,000	TBA, 5.50%, 10/01/21		1,299,594
	7,450,000	TBA, 5.00%, 10/01/36		7,161,313

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		US Government Agency Securities (continued)
		Fannie Mae (continued)
$	11,100,000	TBA, 5.50%, 10/01/36	$	10,936,963
	20,350,000	TBA, 6.00%, 10/01/36		20,445,400
	5,000,000	TBA, 5.00%, 11/01/36		4,804,690
				60,861,069
		Federal Agricultural Mortgage Corp. — 0.1%
	220,000	4.25%, 07/29/08		217,149
		Federal Home Loan Bank — 0.5%
	1,790,000	5.50%, 07/15/36		1,888,989
		Freddie Mac - 0.8%
	1,060,000	4.38%, 11/16/07		1,051,911
	1,460,000	4.75%, 01/18/11		1,452,564
	430,000	5.63%, 11/23/35		421,898
				2,926,373
		Freddie Mac Gold — 0.5%
	900,000	TBA, 5.00%, 10/01/21		884,250
	1,000,000	TBA, 5.00%, 10/01/36		961,875
				1,846,125
		Government National Mortgage Association — 2.0%
	4,862	PL# 461836, 7.00%, 01/15/28		5,024
	1,524	PL# 596647, 7.00%, 09/15/32		1,575
	246,090	PL# 604404, 5.00%, 06/15/33		239,636
	770,744	PL# 604845, 5.00%, 12/15/33		750,532
	880,541	PL# 608280, 5.00%, 09/15/33		857,449
	857,815	PL# 615892, 5.00%, 08/15/33		835,319
	899,380	PL# 616832, 5.00%, 01/15/35		874,274
	826,224	PL# 620521, 5.00%, 08/15/33		804,556
	837,163	PL# 637934, 5.00%, 01/15/35		813,793
	890,540	PL# 639093, 5.00%, 01/15/35		865,680
	486,357	PL# 639865, 5.00%, 06/15/35		472,781
	115,278	PL# 781881, 5.00%, 03/15/35		112,103
	1,390,000	TBA, 5.00%, 10/01/36		1,350,470
				7,983,192
		Resolution Funding Strips — 0.1%
	250,000	Zero coupon, 07/15/18		140,708
	250,000	Zero coupon, 10/15/18		138,840
				279,548
		Total US Government Agency Securities
		(Cost $78,642,546)		78,718,533

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes — 20.5%
		Advertising — 0.0%
$	40,000	Lamar Media Corp., 7.25%, 01/01/13	$	40,450
	60,000	Lamar Media Corp. - 144A, 6.63%, 08/15/15		57,825
				98,275
		Aerospace and Defense — 0.0%
	25,000	DRS Technologies, Inc., 6.63%, 02/01/16		24,688
		Automobile: Rental — 0.0%
	35,000	Hertz Corp. - 144A, 8.88%, 01/01/14		36,838
		Automobiles/Motor Vehicles and Automotive Equipment — 0.4%
	45,000	Daimler Chrysler NA Holding, 4.05%, 06/04/08		43,960
	300,000	Daimler Chrysler NA Holding, 5.88%, 03/15/11		300,685
	580,000	Ford Motor Company, 7.45%, 07/16/31(8)		450,950
	970,000	General Motors Corp., 8.25%, 07/15/23(8)		845,112
	50,000	Visteon Corp., 8.25%, 08/01/10(8)		49,000
				1,689,707
		Banks — 1.3%
	450,000	Bank of America Corp., 5.38%, 08/15/11(4)		454,415
	325,000	Deutsche Bank AG New York, Series YCD, Variable Rate, 3.84%, 03/15/07(1)		325,051
	270,000	First Union National Bank, Series BKNT, 5.80%, 12/01/08		274,101
	160,000	Glitnir Banki HF - 144A (Iceland), 6.33%, 07/28/11		163,476
	380,000	Glitnir Banki HF - 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)		388,976
	130,000	Kaupthing Bank - 144A (Iceland), 7.13%, 05/19/16		136,892
	600,000	Kaupthing Bank - 144A (Iceland), Floating Rate, 6.19%, 04/12/11(2)		600,797
	510,000	Landisbanki Islands HF - 144A (Iceland), 6.10%, 08/25/11		515,880
	20,000	Rabobank Capital Funding Trust II - 144A, Variable Rate, 5.26%, perpetual (1)		19,602
	40,000	Rabobank Capital Funding Trust III - 144A, Variable Rate, 5.25%, perpetual (1)		38,684
	300,000	Shinsei Financial, Ltd. - 144A, (Cayman Islands), Variable Rate, 6.42%, 07/20/49(1)		298,483
	215,000	SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09		210,915
	220,000	Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual (1)		220,811
	540,000	Wachovia Corp., 5.25%, 08/01/14		534,893
	490,000	Wells Fargo & Company, 5.30%, 08/26/11		493,799
				4,676,775
		Broadcast Services/Media — 0.7%
	20,000	Clear Channel Communications, Inc., 4.63%, 01/15/08(4)		19,748
	100,000	Clear Channel Communications, Inc., 4.25%, 05/15/09		96,702
	170,000	Clear Channel Communications, Inc., 5.50%, 09/15/14(4)		158,193
	60,000	Clear Channel Communications, Inc., 4.90%, 05/15/15(4)		53,093
	150,000	Comcast Cable Communications, 8.88%, 05/01/17(4)		181,581
	240,000	Comcast Corp., 6.50%, 01/15/15(4)		250,929
	20,000	Comcast Corp., 6.50%, 01/15/17(4)		20,916
	180,000	Cox Communications, Inc., 3.88%, 10/01/08		174,538
	40,000	CSC Holdings, Inc., 7.88%, 02/15/18		41,700
	15,000	CSC Holdings, Inc., 7.63%, 07/15/18		15,431
	10,000	CSC Holdings, Inc., Series B, 7.63%, 04/01/11		10,313
	70,000	DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 8.38%, 03/15/13		72,888
	30,000	Echostar DBS Corp. - 144A, 7.00%, 10/01/13		29,348
	90,000	Echostar DBS Corp. - 144A, 7.13%, 02/01/16		87,413

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Broadcast Services/Media (continued)
$	75,000	Kabel Deutschland GMBH - 144A (Germany), 10.63%, 07/01/14	$	80,813
	280,000	Liberty Media Corp., 7.88%, 07/15/09		294,536
	10,000	Liberty Media Corp., 5.70%, 05/15/13		9,486
	35,000	News America, Inc., 6.20%, 12/15/34		33,538
	30,000	Quebecor Media, Inc., (Canada), 7.75%, 03/15/16		30,188
	10,000	Rogers Cable, Inc. (Canada), 5.50%, 03/15/14		9,450
	35,000	Rogers Cable, Inc. (Canada), 6.75%, 03/15/15		35,525
	10,000	Sinclair Broadcast Group, 8.00%, 03/15/12		10,188
	110,000	Time Warner Entertainment, 8.38%, 07/15/33		130,115
	350,000	Time Warner, Inc., 6.88%, 05/01/12		370,514
	315,000	Time Warner, Inc., 7.70%, 05/01/32		352,813
	180,000	Viacom, Inc. - 144A, 5.75%, 04/30/11		179,819
				2,749,778
		Chemicals — 0.0%
	30,000	Georgia Gulf Corp. - 144A, 9.50%, 10/15/14		29,888
	40,000	IMC Global, Inc., Series B, 10.88%, 06/01/08		42,850
	30,000	Lyondell Chemical Company, 8.00%, 09/15/14		30,525
	15,000	Lyondell Chemical Company, 8.25%, 09/15/16		15,300
	6,000	Rhodia SA (France), 10.25%, 06/01/10		6,750
	27,000	Westlake Chemical Corp., 6.63%, 01/15/16		25,785
				151,098
		Computer Equipment, Software and Services — 0.0%
	20,000	Electronic Data Systems, 7.13%, 10/15/09		20,933
	40,000	Sungard Data Systems, Inc., 9.13%, 08/15/13		41,600
				62,533
		Construction Services and Supplies — 0.0%
	65,000	K Hovnanian Enterprises, Inc., 6.25%, 01/15/15		57,931
		Consumer Goods and Services — 0.1%
	400,000	Altria Group, Inc., 7.00%, 11/04/13		436,743
		Environmental Waste Management and Recycling Services — 0.1%
	160,000	Waste Management, Inc., 6.50%, 11/15/08		163,911
	270,000	Waste Management, Inc., 6.38%, 11/15/12		282,406
				446,317
		Equipment Rental and Leasing — 0.1%
	210,000	International Lease Finance Corp. E-Capital Trust I - 144A, Variable Rate, 5.90%, 12/21/65(1)		211,736
	40,000	International Lease Finance Corp. E-Capital Trust II - 144A, Variable Rate, 6.25%, 12/21/65(1)(8)		40,056
				251,792

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Financial Services — 2.9%
$	200,000	Aiful Corp. - 144A (Japan), 5.00%, 08/10/10	$	194,642
	560,000	Citigroup, Inc., 5.10%, 09/29/11(4)		556,920
	760,000	Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10		739,482
	280,000	Countrywide Home Loans, Series MTNB, Floating Rate, 5.56%, 02/27/08(2)		280,338
	100,000	Credit Suisse (USA), Inc., 5.50%, 08/16/11		101,003
	10,000	E*TRADE Financial Corp., 7.38%, 09/15/13		10,275
	2,645,000	Ford Motor Credit Company, 5.80%, 01/12/09		2,519,388
	220,000	Ford Motor Credit Company, 7.38%, 10/28/09		213,940
	129,000	Ford Motor Credit Company - 144A, Floating Rate, 10.64%, 06/15/11(2)		134,942
	210,000	General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08		207,725
	300,000	General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09		292,827
	800,000	General Motors Acceptance Corp., 6.13%, 08/28/07		799,034
	1,130,000	General Motors Acceptance Corp., 5.85%, 01/14/09		1,108,497
	110,000	General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07		108,810
	120,000	General Motors Acceptance Corp., Series MTN, 4.38%, 12/10/07		117,186
	160,000	General Motors Acceptance Corp., Series MTN, Floating Rate, 6.54%, 09/23/08(2)		159,068
	80,000	GMAC LLC, 5.13%, 05/09/08		78,424
	560,000	HSBC Finance Corp., 4.63%, 01/15/08		556,313
	490,000	JPMorgan Chase & Company, 5.13%, 09/15/14		481,262
	290,000	JPMorgan Chase & Company, 5.15%, 10/01/15		283,375
	810,000	Lehman Brothers E-Capital Trust I, Floating Rate, 6.17%, 08/19/65(2)		817,697
	290,000	Lehman Brothers Holdings, Inc., 4.00%, 01/22/08		285,466
	180,000	Lehman Brothers Holdings, Inc., 4.50%, 07/26/10		175,217
	70,000	Morgan Stanley, 3.63%, 04/01/08		68,403
	260,000	Morgan Stanley, Series MTN, 5.63%, 01/09/12		263,666
	170,000	The Goldman Sachs Group, Inc., 4.50%, 06/15/10		166,251
	120,000	The Goldman Sachs Group, Inc., 5.00%, 01/15/11(8)		118,783
				10,838,934
		Food and Beverage — 0.1%
	320,000	Anheuser-Busch Companies, Inc., 4.95%, 01/15/14		314,969
	130,000	Kraft Foods, Inc., 5.63%, 11/01/11		131,489
				446,458
		Funeral Services — 0.0%
	15,000	Service Corp. International - 144A, 7.38%, 10/01/14		15,169
	10,000	Service Corp. International - 144A, 8.00%, 06/15/17		9,625
	25,000	Service Corp. International - 144A, 7.63%, 10/01/18		25,281
				50,075
		Insurance — 0.0%
	40,000	ASIF Global Financing XIX - 144A, 4.90%, 01/17/13		39,142
		Leisure and Recreation — 0.1%
	20,000	AMC Entertainment, Inc., 11.00%, 02/01/16(8)		21,900
	25,000	Boyd Gaming Corp., 6.75%, 04/15/14		24,563
	80,000	Boyd Gaming Corp., 7.13%, 02/01/16		77,799
	30,000	Inn of The Mountain Gods, 12.00%, 11/15/10		31,575
	25,000	MGM MIRAGE, 6.00%, 10/01/09		24,813
	50,000	MGM MIRAGE, 8.50%, 09/15/10		53,438

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Leisure and Recreation (continued)
$	40,000	MGM MIRAGE, 6.63%, 07/15/15	$	38,600
	15,000	Mohegan Tribal Gaming Authority, 6.13%, 02/15/13		14,738
	30,000	Station Casinos, Inc., 7.75%, 08/15/16		31,275
	10,000	Station Casinos, Inc., 6.63%, 03/15/18		9,075
	60,000	Station Casinos, Inc. - 144A, 6.88%, 03/01/16		56,549
				384,325
		Machinery — 0.0%
	40,000	Terex Corp., 7.38%, 01/15/14		40,400
		Manufacturing — 0.2%
	270,000	Tyco International Group SA (Luxembourg), 6.38%, 10/15/11		283,342
	530,000	Tyco International Group SA (Luxembourg), 6.00%, 11/15/13		549,251
				832,593
		Medical Equipment, Supplies, and Services — 0.1%
	30,000	DaVita, Inc., 7.25%, 03/15/15		29,625
	10,000	Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08		10,175
	40,000	HCA, Inc., 5.50%, 12/01/09		40,150
	11,000	HCA, Inc., 6.30%, 10/01/12		9,336
	130,000	HCA, Inc., 6.25%, 02/15/13		108,875
	160,000	HCA, Inc., 6.75%, 07/15/13		135,800
	40,000	HCA, Inc., 5.75%, 03/15/14		31,500
	66,000	HCA, Inc., 6.50%, 02/15/16		53,130
	60,000	Tenet Healthcare Corp., 6.38%, 12/01/11		53,025
	30,000	Tenet Healthcare Corp., 6.50%, 06/01/12		26,363
				497,979
		Office Equipment, Supplies, and Services — 0.0%
	50,000	Xerox Corp., 6.75%, 02/01/17		51,000
		Oil, Coal and Gas — 1.6%
	250,000	Amerada Hess Corp., 7.30%, 08/15/31		282,364
	30,000	AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.13%, 05/20/16		29,700
	210,000	Anadarko Finance Company, Series B, 7.50%, 05/01/31		240,840
	40,000	Anadarko Petroleum Corp., 6.45%, 09/15/36		40,994
	330,000	Apache Finance Canada (Canada), 4.38%, 05/15/15		306,174
	45,000	Chesapeake Energy Corp., 7.75%, 01/15/15		46,125
	5,000	Chesapeake Energy Corp., 6.38%, 06/15/15		4,800
	20,000	Chesapeake Energy Corp., 6.25%, 01/15/18		18,650
	340,000	ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07		334,796
	390,000	Conoco, Inc., 6.95%, 04/15/29(4)		451,134
	110,000	Devon Energy Corp., 7.95%, 04/15/32		136,246
	200,000	El Paso Corp., Series MTN, 7.80%, 08/01/31		206,000
	130,000	El Paso Corp., Series MTN, 7.75%, 01/15/32		133,900
	330,000	El Paso Natural Gas, 8.38%, 06/15/32		379,435
	920,000	Kerr-McGee Corp., 7.88%, 09/15/31		1,116,766
	50,000	Kinder Morgan Energy Partners, LP, 6.30%, 02/01/09		50,831
	240,000	Kinder Morgan Energy Partners, LP, 6.75%, 03/15/11		250,292
	310,000	Pemex Project Funding Master Trust, 7.38%, 12/15/14		335,885
	220,000	Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16		219,300

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Oil, Coal and Gas (continued)
$	45,000	Pogo Producing Company, 6.88%, 10/01/17	$	43,144
	30,000	Pride International, Inc., 7.38%, 07/15/14		31,050
	95,000	Suburban Propane Partners, 6.88%, 12/15/13		92,150
	80,000	Western Oil Sands, Inc. (Canada), 8.38%, 05/01/12		86,200
	20,000	Williams Companies, Inc., 7.75%, 06/15/31		20,100
	510,000	Williams Companies, Inc., Series A, 7.50%, 01/15/31		506,175
	190,000	XTO Energy, Inc., 7.50%, 04/15/12		207,394
	270,000	XTO Energy, Inc., 6.25%, 04/15/13		278,868
				5,849,313
		Paper and Forest Products — 0.1%
	470,000	Weyerhaeuser Company, 6.75%, 03/15/12		491,770
		Pharmaceuticals/Research and Development — 0.0%
	40,000	AmerisourceBergen Corp., 5.88%, 09/15/15		39,415
		Printing and Publishing — 0.0%
	20,000	Reader’s Digest Association, Inc., 6.50%, 03/01/11		19,100
		Private Asset Backed: Banks — 1.2%
	674,787	Washington Mutual Bank, Series 2005-AR1, Class A1A, Floating Rate, 5.65%, 01/25/45(3)		677,360
	1,031,696	Washington Mutual Bank, Series 2005-AR13, Class A1A1, Floating Rate, 5.62%, 10/25/45(3)		1,038,939
	1,105,388	Washington Mutual Bank, Series 2005-AR13, Class A1B3, Floating Rate, 5.69%, 10/25/45(3)		1,112,098
	1,246,022	Washington Mutual Bank, Series 2005-AR15, Class A1A2, Floating Rate, 5.61%, 11/25/45(3)		1,251,700
				4,080,097
		Private Asset Backed: Financial Services — 0.8%
	1,004,833	Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 5.63%, 11/25/35(3)		1,008,208
	658,058	Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 5.63%, 12/25/35(3)		661,343
	1,189,077	Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 5.40%, 08/25/46(3)		1,189,600
	300,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42		292,836
				3,151,987
		Private Asset Backed: Mortgage and Home Equity — 8.7%
	1,034,965	Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 5.57%, 09/25/35(3)		1,036,531
	569,023	Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 5.75%, 02/25/35(3)		571,756
	599,459	Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 5.71%, 04/25/35(3)		602,644
	280,000	Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.12%, 09/10/15		275,571
	1,111,782	Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.46%, 02/25/35(3)(4)		1,091,268
	250,021	Chevy Chase Mortgage Funding Corp - 144A., Series 2003-3A, Class A1, Floating Rate, 5.68%, 07/25/34(3)		250,821
	464,639	Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.97%, 08/25/35(3)(4)		460,589

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Private Asset Backed: Mortgage and Home Equity (continued)
$	1,334,880	Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 5.64%, 11/25/35(3)	$	1,339,635
	1,372,866	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 5.66%, 11/20/35(3)		1,378,286
	788,930	Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 5.51%, 02/25/36(3)		789,671
	390,000	Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35(4)		385,480
	794,024	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 5.56%, 12/15/35(3)		795,636
	846,166	Countrywide Home Loans, Series 2005-R3, Class AF, Floating Rate, 5.73%, 09/25/35(3)		851,466
	725,354	First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 5.73%, 12/25/32(3)		727,461
	896,470	GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33		930,625
	1,112,213	GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.67%, 03/18/35(3)		1,096,240
	1,500,000	GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 5.54%, 11/25/36(3)		1,501,612
	2,320,816	GSAMP Trust - 144A, Series 2006-SD2, Class A1, Floating Rate, 5.44%, 05/25/46(3)		2,321,187
	467,127	Impac CMB Trust, Series 2003-10, Class 1A1, Floating Rate, 6.03%, 10/25/33(3)		467,626
	521,982	Impac CMB Trust, Series 2004-2, Class A1, Floating Rate, 5.85%, 04/25/34(3)		522,453
	649,786	Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 5.73%, 10/25/34(3)		653,812
	258,902	IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35		251,460
	1,080,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37		1,046,921
	950,397	JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.30%, 07/25/34(3)		941,135
	870,000	LB-UBS Commercial Mortgage Trust, Series 2005-C1, Class A3, 4.55%, 02/15/30		844,201
	1,098,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35		1,061,711
	1,300,000	Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35		1,269,954
	500,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3)		514,582
	461,611	MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 5.65%, 10/25/28(3)		461,692
	572,147	Opteum Mortgage Acceptance Corp., Series 2005-4, Class 1A1A, Floating Rate, 5.50%, 11/25/35(3)		572,639
	2,486,366	Residential Accredit Loans, Inc., Series 2005-Q03, Class A1, Floating Rate, 5.73%, 10/25/45(3)		2,495,205
	1,134,060	Structured Adjustable Rate Mortgage Loan, Series 2005-15, Class 1A1, 5.06%, 07/25/35		1,124,464
	630,068	Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 5.68%, 01/19/34(3)		631,765
	2,308,887	Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 5.50%, 01/25/36(3)		2,306,366
	231,300	Wachovia Mortgage Loan Trust LLC, Series 2005-WMC1, Class A1, Floating Rate, 5.44%, 10/25/35(3)		231,463
	1,375,572	Zuni Mortgage Loan Trust, Series 2006-0A1, Class A1, Floating Rate, 5.62%, 08/25/36(3)		1,374,555
				33,178,483
		Real Estate Investment Trusts — 0.0%
	50,000	Host Marriott LP, Series Q, 6.75%, 06/01/16		49,563
	50,000	Ventas Realty LP/Ventas Capital Corp., 6.75%, 06/01/10		51,125

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Real Estate Investment Trusts (continued)
$	40,000	Ventas Realty LP/Ventas Capital Corp., 7.13%, 06/01/15	$	41,350
				142,038
		Retail — 0.0%
	20,000	JC Penney & Company, Inc., 7.40%, 04/01/37		21,740
		Retail: Supermarkets - 0.0%
	100,000	Delhaize America, Inc., 9.00%, 04/15/31		117,639
		Scientific and Technical Instruments — 0.0%
	25,000	Cie Generale de Geophysique (France), 7.50%, 05/15/15		24,875
		Semiconductors — 0.0%
	40,000	MagnaChip Semiconductor, Ltd., Floating Rate, 8.64%, 12/15/11(2)		34,000
		Special Purpose Entity — 0.5%
	500,000	El Paso Performance-Link - 144A, 7.75%, 07/15/11		516,250
	10,000	Hexion US Finance Corp./Hexion Nova Scotia Finance, ULC, 9.00%, 07/15/14		10,250
	170,000	Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual (1)		171,689
	235,000	Resona Preferred Global Securities - 144A (Cayman Islands), Variable Rate, 7.19%, perpetual (1)		243,617
	520,000	Sigma Finance, Inc., Series MTN1, Variable Rate, 8.50%, 08/11/16(1)		521,077
	310,000	TNK-BP Finance SA - 144A (Luxembourg), 7.50%, 07/18/16		324,424
				1,787,307
		Telecommunications Equipment and Services — 0.8%
	190,000	AT&T, Inc., 5.10%, 09/15/14		183,872
	55,000	Cincinnati Bell, Inc., 7.00%, 02/15/15		54,175
	15,000	Citizens Communications Company, 9.25%, 05/15/11		16,613
	10,000	Citizens Communications Company, 9.00%, 08/15/31(8)		10,775
	180,000	Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16		176,425
	45,000	Intelsat Bermuda, Ltd. - 144A (Bermuda), 9.25%, 06/15/16		47,531
	220,000	Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30		252,910
	10,000	Nextel Communications, Inc., Series D, 7.38%, 08/01/15		10,328
	60,000	Nextel Communications, Inc., Series F, 5.95%, 03/15/14		58,771
	780,000	Qwest Communications International, Inc., Floating Rate, 8.91%, 02/15/09(2)		798,524
	105,000	Qwest Corp., 7.88%, 09/01/11		110,775
	40,000	Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14		40,050
	710,000	Sprint Capital Corp., 6.00%, 01/15/07		710,811
	270,000	Sprint Capital Corp., 8.38%, 03/15/12		302,946
	200,000	Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15		185,645
	50,000	Verizon Global Funding Corp., 7.38%, 09/01/12		54,756
	25,000	Windstream Corp. - 144A, 8.63%, 08/01/16		26,875
				3,041,782
		Transportation — 0.1%
	85,000	OMI Corp. (Marshall Islands), 7.63%, 12/01/13		86,275

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Corporate Bonds and Notes (continued)
		Transportation (continued)
$	20,000	Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11	$	21,200
	110,000	Union Pacific Corp., 5.38%, 05/01/14		109,916
				217,391
		Utilities — 0.6%
	760,000	AES Corp., 7.75%, 03/01/14		794,200
	70,000	Dominion Resources, Inc., 4.75%, 12/15/10		68,322
	220,000	Dominion Resources, Inc., 5.70%, 09/17/12		221,602
	40,000	Exelon Corp., 5.63%, 06/15/35		37,897
	160,000	FirstEnergy Corp., Series B, 6.45%, 11/15/11		167,089
	470,000	FirstEnergy Corp., Series C, 7.38%, 11/15/31		545,059
	50,000	Midwest Generation LLC, 8.75%, 05/01/34		53,625
	37,566	Midwest Generation LLC, Series B, 8.56%, 01/02/16		39,937
	80,000	NRG Energy, Inc., 7.25%, 02/01/14		79,600
	40,000	Oncor Electric Delivery Company, 6.38%, 01/15/15		41,364
	130,000	Pacific Gas & Electric Company, 6.05%, 03/01/34		131,193
	210,000	TXU Corp., Series P, 5.55%, 11/15/14		199,453
	120,000	TXU Corp., Series R, 6.55%, 11/15/34		113,625
				2,492,966
		Total Corporate Bonds and Notes
		(Cost $78,633,116)		78,553,284
		Municipal Bonds — 0.4%
		Virginia
	1,666,742	Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $1,639,253)		1,666,842
		Foreign Government Obligations — 1.7%
	450,000	AID-Israel (Israel), 5.50%, 04/26/24		470,115
	315,000	AID-Israel (Israel), 5.50%, 09/18/33		330,915
	510,000	Bundesrepublic Deutschland (Germany), Series 04, 3.75%, 01/04/15(18)		650,095
	1,000,000	Canada Treasury Bill (Canada), 5.08%, 12/15/06		989,276
	97,000	Federal Republic of Brazil (Brazil), 10.13%, 05/15/27		130,417
	342,000	Federal Republic of Brazil (Brazil), 11.00%, 08/17/40(8)(8)		445,883
	347,997	Government of Canada Real Return Bonds (Canada), 4.00%, 12/01/31(4) (16)		459,534
	62,000	Republic of Colombia (Colombia), 11.75%, 02/25/20		87,110
	130,000	Republic of Colombia (Colombia), Series MTN, 7.38%, 09/18/37		131,950
	206,000	Republic of Panama (Panama), 7.13%, 01/29/26		216,815
	1,510,000	Russian Federation (Russia) - 144A, 5.00%, 03/31/30		1,688,931
	16,000	United Mexican States (Mexico), 5.63%, 01/15/17		15,848
	270,000	United Mexican States, (Mexico), Series MTN, 8.30%, 08/15/31		337,365
	494,000	United Mexican States, (Mexico), Series MTNA, 7.50%, 04/08/33		571,064
		Total Foreign Government Obligations
		(Cost $6,213,480)		6,525,318

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Short Term US Government Agency Securities—0.2%
		Federal Home Loan Bank
$	710,000	Series 633, 4.80%, 02/15/07 (Cost $710,000)	$	710,000
		Securities Lending Collateral — 9.3%
	35,615,949	Securities Lending Collateral Investment (Note 3) (Cost $35,615,949)		35,615,949
		Total Securities
		(Cost $430,078,766)		458,354,305
		Repurchase Agreements — 3.4%
	13,170,095	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $13,175,319 (Collateralized by Freddie Mac, 5.68%, due 12/15/34, with a value of $10,720,921 and Small Business Administration, 8.38%, due 01/25/28, with a value of $3,107,679) (Cost $13,170,095)		13,170,095
		Total Investments before Call and Put Options Written — 122.8% (Cost $443,248,861)		471,524,400

Contracts
			Call Options Written — (0.0)%
	(17	)	US Treasury Note (10 Year) March Future, Expiring February 2007 @ 110		(7,969	)
	(22	)	US Treasury Note (10 Year) March Future, Expiring February 2007 @ 111		(6,187	)
			Total Call Options Written
			(Premium $18,227)		(14,156	)
			Put Options Written — (0.0)%
	(21	)	US Treasury Note (10 Year) March Future, Expiring February 2007 @ 106 (Premium $7,786)		(8,203	)
			Total Investments net of Call and Put Options Written — 122.8% (Cost $443,222,848)		471,502,041
			Liabilities less other assets — (22.8)%		(87,649,227	)
			Net Assets — 100.0%	$	383,852,814

See notes to portfolios of investments.

BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $443,222,848.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	32,000,057
Gross unrealized depreciation		(3,720,864	)
Net unrealized appreciation	$	28,279,193

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—97.4%
		Advertising—0.4%
	1,313,500	The Interpublic Group of Companies, Inc.*(8)	$	13,003,650
		Aerospace and Defense—1.1%
	215,000	Northrop Grumman Corp.		14,635,050
	274,000	The Boeing Company		21,604,900
				36,239,950
		Apparel: Manufacturing and Retail—0.5%
	236,400	Jones Apparel Group, Inc.		7,668,816
	320,000	Limited Brands, Inc.		8,476,800
				16,145,616
		Automobiles/Motor Vehicles and Automotive Equipment—1.7%
	104,000	BorgWarner, Inc.		5,945,680
	146,600	DaimlerChrysler AG (Germany)(8)		7,324,136
	793,100	General Motors Corp.(8)		26,378,506
	150,000	Toyota Motor Corp. (ADR) (Japan)(8)		16,335,000
				55,983,322
		Banks—4.2%
	1,126,082	Bank of America Corp.		60,324,213
	587,200	National City Corp.		21,491,520
	215,800	SunTrust Banks, Inc.		16,677,024
	530,000	Wachovia Corp.(8)		29,574,000
	265,600	Wells Fargo & Company		9,609,408
				137,676,165
		Broadcast Services/Media—5.1%
	813,500	CBS Corp. — Class B		22,916,295
	1,031,900	Clear Channel Communications, Inc.		29,770,315
	732,965	Comcast Corp. — Class A*(8)		27,009,760
	645,000	Comcast Corp. — Special Class A*		23,742,450
	3,470,200	Time Warner, Inc.		63,261,746
				166,700,566
		Chemicals—0.2%
	200,000	The Dow Chemical Company		7,796,000
		Computer Equipment, Software and Services—6.7%
	1,972,200	Electronic Data Systems Corp.		48,358,344
	1,685,700	Hewlett-Packard Company		61,848,333
	659,300	International Business Machines Corp.		54,023,042
	680,000	Microsoft Corp.		18,584,400
	7,530,300	Sun Microsystems, Inc.*		37,425,591
				220,239,710

See notes to portfolios of investments.

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Consumer Goods and Services—4.8%
	525,000	Altria Group, Inc.	$	40,188,749
	883,100	Avon Products, Inc.		27,075,846
	600,938	Kimberly-Clark Corp.		39,277,308
	428,000	Procter & Gamble Company		26,527,440
	55,205	The Black & Decker Corp.(8)		4,380,517
	320,000	The Clorox Company		20,160,000
				157,609,860
		Containers and Packaging—0.2%
	440,000	Owens-Illinois, Inc.*		6,784,800
		Diversified Operations and Services—2.3%
	1,820,800	General Electric Company		64,274,240
	139,200	Textron, Inc.		12,180,000
				76,454,240
		Electronics—2.6%
	125,116	Arrow Electronics, Inc.*		3,431,932
	1,121,400	Flextronics International, Ltd. (Singapore)*(8)		14,174,496
	1,939,177	Sanmina-SCI Corp.*		7,252,522
	8,424,205	Solectron Corp.*		27,462,908
	841,900	Sony Corp. (ADR) (Japan)(8)		33,979,084
				86,300,942
		Environmental Waste Management and Recycling Services—0.6%
	504,200	Waste Management, Inc.		18,494,056
		Financial Services—13.4%
	410,600	American Express Company		23,026,448
	299,900	Capital One Financial Corp.		23,590,134
	1,564,500	Citigroup, Inc.		77,708,715
	1,235,100	Fannie Mae		69,054,441
	399,900	Freddie Mac		26,525,367
	2,471,640	JPMorgan Chase & Company		116,068,214
	1,099,600	Merrill Lynch & Company, Inc.(8)		86,010,712
	84,000	The Goldman Sachs Group, Inc.		14,210,280
				436,194,311
		Food and Beverage—3.1%
	265,000	Kellogg Company		13,122,800
	1,239,500	Kraft Foods, Inc. — Class A(8)		44,200,570
	255,000	PepsiCo, Inc.		16,641,300
	381,700	Sara Lee Corp.		6,133,919
	490,000	The Coca-Cola Company		21,893,200
				101,991,789

See notes to portfolios of investments.

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Insurance—9.1%
	603,600	Aetna, Inc.	$	23,872,380
	1,211,500	American International Group, Inc.		80,273,989
	460,000	Genworth Financial, Inc. — Class A		16,104,600
	450,200	MetLife, Inc.		25,517,336
	61,566	PartnerRE, Ltd. (Bermuda)(8)		4,160,015
	170,000	RenaissanceRe Holdings, Ltd. (Bermuda)		9,452,000
	986,900	The Chubb Corp.		51,279,324
	145,000	The Hartford Financial Services Group, Inc.		12,578,750
	1,168,338	The St. Paul Travelers Companies, Inc.		54,783,369
	238,000	XL Capital, Ltd. — Class A (Cayman Islands)		16,350,600
				294,372,363
		Internet Services—0.4%
	580,000	Cisco Systems, Inc.*		13,340,000
		Manufacturing—1.7%
	48,000	Cooper Industries, Ltd. — Class A (Bermuda)		4,090,560
	100,000	Eaton Corp.		6,885,000
	758,600	Honeywell International, Inc.		31,026,740
	592,950	Smurfit-Stone Container Corp.*		6,641,040
	147,700	SPX Corp.		7,893,088
				56,536,428
		Medical Equipment, Supplies, and Services—2.2%
	959,600	Boston Scientific Corp.*		14,192,484
	465,900	Medco Health Solutions, Inc.*		28,005,249
	3,682,500	Tenet Healthcare Corp.*(8)		29,975,550
				72,173,283
		Metals and Mining—0.5%
	280,200	United States Steel Corp.(8)		16,161,936
		Oil, Coal and Gas—7.8%
	1,218,900	ChevronTexaco Corp.		79,057,854
	877,602	ConocoPhillips		52,243,647
	138,950	ENSCO International, Inc.		6,090,179
	1,354,800	Exxon Mobil Corp.		90,907,080
	108,000	Noble Corp. (Cayman Islands)		6,931,440
	78,000	Occidental Petroleum Corp.		3,752,580
	234,600	Total SA (ADR) (France)(8)		15,469,524
				254,452,304
		Paper and Forest Products—0.9%
	1,110,600	MeadWestvaco Corp.		29,442,006
		Pharmaceuticals/Research and Development—6.5%
	4,700	AmerisourceBergen Corp.		212,440
	294,600	Eli Lilly and Company		16,792,200
	363,800	Merck & Company, Inc.		15,243,220
	2,479,100	Millennium Pharmaceuticals, Inc.*(8)		24,667,045

See notes to portfolios of investments.

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	2,718,000	Pfizer, Inc.	$	77,082,480
	1,076,000	Watson Pharmaceuticals, Inc.*		28,158,920
	991,000	Wyeth		50,382,440
				212,538,745
		Printing and Publishing—0.2%
	500,000	The Reader’s Digest Association, Inc.		6,480,000
		Retail—2.3%
	454,662	Federated Department Stores, Inc.		19,645,945
	964,300	Office Depot, Inc.*		38,282,710
	304,000	Target Corp.		16,796,000
				74,724,655
		Retail: Restaurants—0.8%
	705,000	McDonald’s Corp.(8)		27,579,600
		Retail: Supermarkets—1.3%
	819,925	Safeway, Inc.		24,884,724
	779,350	The Kroger Company		18,034,159
				42,918,883
		Semiconductors—2.0%
	1,977,900	Intel Corp.		40,685,403
	994,900	Intersil Corp. — Class A		24,424,795
				65,110,198
		Telecommunications Equipment and Services—7.9%
	234,500	American Tower Corp. — Class A*		8,559,250
	2,306,900	AT&T, Inc.		75,112,664
	109,400	BellSouth Corp.		4,676,850
	214,500	Crown Castle International Corp.*		7,558,980
	53,540	Embarq Corp.		2,589,730
	11,430,300	Lucent Technologies, Inc.*		26,746,902
	1,529,200	Nokia Oyj (ADR) (Finland)(8)		30,109,948
	6,743,300	Qwest Communications International, Inc.*(8)		58,801,576
	1,178,800	Sprint Nextel Corp.		20,216,420
	709,500	Tellabs, Inc.*		7,776,120
	434,352	Verizon Communications, Inc.		16,127,490
				258,275,930
		Toys—0.9%
	1,563,600	Mattel, Inc.		30,802,920
		Transportation—3.2%
	386,200	Con-way, Inc.		17,309,484
	2,389,000	CSX Corp.		78,430,870

See notes to portfolios of investments.

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Transportation (continued)
	191,380	Norfolk Southern Corp.	$	8,430,289
				104,170,643
		Utilities—2.8%
	200,000	Allegheny Energy, Inc.*		8,034,000
	1,060,180	American Electric Power Company, Inc.		38,558,747
	224,800	Constellation Energy Group		13,308,160
	225,000	Entergy Corp.		17,601,750
	305,800	Wisconsin Energy Corp.		13,192,212
				90,694,869
		Total Common Stocks
		(Cost $2,704,468,660)		3,187,389,740
		Total Securities
		(Cost $3,025,830,862)		3,508,751,942

Principal
		Securities Lending Collateral—9.8%
$	321,362,202	Securities Lending Collateral Investment (Note 3) (Cost $321,362,202)		321,362,202
		Total Securities
		(Cost $3,025,830,862)		3,508,751,942
		Repurchase Agreements—2.6%
	86,585,217	With Investors Bank & Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $86,619,562 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.57%-5.88%, due 01/25/33-09/01/34, with a total value of $42,744,765, and Freddie Mac, 5.68%, due 01/15/36, with a value of $48,169,713) (Cost $86,585,217)		86,585,217
		Total Investments — 109.8%
		(Cost $3,112,416,079)		3,595,337,159
		Liabilities less other assets — (9.8)%		(319,732,796	)
		Net Assets — 100.0%	$	3,275,604,363

See notes to portfolios of investments.

VALUE & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $3,112,416,079.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	561,452,911
Gross unrealized depreciation		(78,531,831	)
Net unrealized appreciation	$	482,921,080

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—99.0%
		Advertising—1.9%
	129,100	The Interpublic Group of Companies, Inc.*(8)	$	1,278,090
		Aerospace and Defense—5.0%
	22,900	Lockheed Martin Corp.		1,970,774
	9,700	Northrop Grumman Corp.		660,279
	13,600	Raytheon Company		652,936
				3,283,989
		Agriculture—2.3%
	90,700	The Mosaic Company*		1,532,830
		Automobile: Rental—0.2%
	8,410	Avis Budget Group, Inc.		153,819
		Automobiles/Motor Vehicles and Automotive Equipment—1.0%
	9,000	Magna International, Inc. — Class A (Canada)(8)		657,270
		Banks—3.7%
	21,655	Bank of America Corp.		1,160,058
	11,200	Comerica, Inc.		637,504
	8,700	KeyCorp		325,728
	5,300	UnionBanCal Corp.		322,770
				2,446,060
		Computer Equipment, Software and Services—14.4%
	23,800	BMC Software, Inc.*		647,836
	139,366	CA, Inc.		3,301,580
	132,300	Electronic Data Systems Corp.		3,243,996
	86,900	Microsoft Corp.		2,374,977
				9,568,389
		Construction Services and Supplies—6.2%
	51,100	Centex Corp.(8)		2,688,882
	43,600	Pulte Homes, Inc.		1,389,096
				4,077,978
		Consumer Goods and Services—2.9%
	7,500	Altria Group, Inc.		574,125
	53,660	Unilever PLC (ADR) (United Kingdom)		1,331,305
				1,905,430
		Environmental Waste Management and Recycling Services—1.6%
	28,700	Waste Management, Inc.		1,052,716
		Financial Services—10.9%
	31,600	Freddie Mac		2,096,028
	48,800	JPMorgan Chase & Company		2,291,648
	21,400	MasterCard, Inc. — Class A*(8)		1,505,490
	6,500	Prudential Financial, Inc.		495,625

See notes to portfolios of investments.

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Financial Services (continued)
	18,500	Washington Mutual, Inc.	$	804,195
				7,192,986
		Food and Beverage—0.9%
	38,100	Sara Lee Corp.		612,267
		Insurance—13.8%
	12,200	Assurant, Inc.		651,602
	30,700	Conseco, Inc.*		644,393
	54,000	Genworth Financial, Inc. — Class A		1,890,540
	32,600	MetLife, Inc.		1,847,768
	3,800	The Hartford Financial Services Group, Inc.		329,650
	49,000	The St. Paul Travelers Companies, Inc.		2,297,610
	40,500	UnumProvident Corp.		785,295
	10,100	XL Capital, Ltd. — Class A (Cayman Islands)		693,870
				9,140,728
		Leisure and Recreation—3.0%
	20,700	Harrah’s Entertainment, Inc.		1,375,101
	22,020	Wyndham Worldwide Corp.*		615,899
				1,991,000
		Manufacturing—6.3%
	25,600	Flowserve Corp.*		1,295,104
	102,500	Tyco International, Ltd. (Bermuda)		2,868,975
				4,164,079
		Medical Equipment, Supplies, and Services—1.1%
	91,400	Tenet Healthcare Corp.*(8)		743,996
		Metals and Mining—3.2%
	74,900	Alcoa, Inc.		2,100,196
		Oil, Coal and Gas—0.9%
	14,400	Petro-Canada (Canada)		580,752
		Paper and Forest Products—1.2%
	13,100	Weyerhaeuser Company		806,043
		Pharmaceuticals/Research and Development—2.0%
	61,400	Schering-Plough Corp.		1,356,326
		Real Estate Development and Services—2.1%
	20,225	Realogy Corp.*		458,703
	16,700	The St. Joe Company(8)		916,329
				1,375,032
		Retail—3.5%
	45,100	The Home Depot, Inc.		1,635,777

See notes to portfolios of investments.

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Retail (continued)
	14,100	Wal-Mart Stores, Inc.	$	695,412
				2,331,189
		Retail: Restaurants—1.6%
	9,000	McDonald’s Corp.		352,080
	13,400	YUM! Brands, Inc.		697,470
				1,049,550
		Retail: Supermarkets—1.5%
	32,400	Safeway, Inc.		983,340
		Telecommunications Equipment and Services—0.5%
	5,800	ALLTEL Corp.		321,900
		Utilities—7.3%
	36,500	Exelon Corp.		2,209,710
	47,600	FPL Group, Inc.(8)		2,142,000
	7,400	Public Service Enterprise Group, Inc.		452,806
				4,804,516
		Total Common Stocks
		(Cost $62,835,719)		65,510,471

Principal
		Securities Lending Collateral—12.8%
$	8,473,900	Securities Lending Collateral Investment (Note 3)
		(Cost $8,473,900)		8,473,900
		Total Securities
		(Cost $71,309,619)		73,984,371
	1,232,012	Repurchase Agreements—1.9%
		With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $1,232,500 (Collateralized by Fannie Mae, 5.83%, due 12/25/33, with a value of $1,293,612) (Cost $1,232,012)		1,232,012
		Total Investments — 113.7%
		(Cost $72,541,631)		75,216,383
		Liabilities less other assets — (13.7)%		(9,052,147	)
		Net Assets — 100.0%	$	66,164,236

See notes to portfolios of investments.

VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $72,541,631.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	3,892,140
Gross unrealized depreciation		(1,217,388	)
Net unrealized appreciation	$	2,674,752

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—98.4%
		Aerospace and Defense—2.9%
	43,300	Goodrich Corp.	$	1,754,516
	75,500	Lockheed Martin Corp.		6,497,530
	125,700	Northrop Grumman Corp.		8,556,399
	124,200	Raytheon Company		5,962,842
	108,500	The Boeing Company		8,555,225
	31,700	United Technologies Corp.		2,008,195
				33,334,707
		Agriculture—0.7%
	165,500	Monsanto Company		7,780,155
		Airlines—0.4%
	95,900	Southwest Airlines Company		1,597,694
	79,100	US Airways Group, Inc.*		3,506,503
				5,104,197
		Apparel: Manufacturing and Retail—1.2%
	61,400	AnnTaylor Stores Corp.*(8)		2,570,204
	142,000	Jones Apparel Group, Inc.		4,606,480
	51,900	Nordstrom, Inc.		2,195,370
	225,500	Urban Outfitters, Inc.*(8)		3,989,095
				13,361,149
		Automobile: Retail—0.2%
	108,000	AutoNation, Inc.*		2,257,200
		Automobiles/Motor Vehicles and Automotive Equipment—0.3%
	60,700	Autoliv, Inc.		3,345,177
	27,200	TRW Automotive Holdings Corp.*		654,704
				3,999,881
		Banks—6.1%
	183,400	Bank of America Corp.		9,824,738
	65,200	Comerica, Inc.		3,711,184
	92,100	Commerce Bancorp, Inc. — New Jersey(8)		3,380,991
	12,400	Credicorp, Ltd. (Bermuda)		520,552
	5,600	Golden West Financial Corp.		432,600
	70,700	IndyMac Bancorp, Inc.(8)		2,910,012
	136,300	KeyCorp		5,103,072
	8,800	M&T Bank Corp.(8)		1,055,648
	80,400	National City Corp.		2,942,640
	37,400	Regions Financial Corp.(8)		1,375,946
	20,900	SunTrust Banks, Inc.		1,615,152
	30,200	UnionBanCal Corp.		1,839,180
	286,200	US Bancorp		9,507,564
	179,500	Wachovia Corp.		10,016,100
	448,600	Wells Fargo & Company		16,230,348
				70,465,727

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Broadcast Services/Media—3.8%
	102,082	CBS Corp. — Class B	$	2,875,650
	89,900	Clear Channel Communications, Inc.		2,593,615
	38,200	Comcast Corp. — Class A*(8)		1,407,670
	15,705	Liberty Media Holding Corp. — Capital — Series A*		1,312,467
	18,200	News Corp. — Class B		375,648
	33,100	Rogers Communications, Inc. — Class B (Canada)		1,816,197
	120,100	Shaw Communications, Inc. — Class B (Canada)(8)		3,605,402
	194,900	The DIRECTV Group, Inc.*		3,835,632
	44,300	The McGraw-Hill Companies, Inc.		2,570,729
	138,000	The Walt Disney Company		4,265,580
	690,400	Time Warner, Inc.		12,585,992
	120,200	Viacom, Inc. — Class B*		4,469,036
	122,900	XM Satellite Radio Holdings, Inc. — Class A*(8)		1,584,181
				43,297,799
		Business Services and Supplies—1.1%
	22,100	Dun & Bradstreet Corp.*		1,657,279
	153,600	First Data Corp.		6,451,200
	47,400	Fiserv, Inc.*		2,232,066
	13,600	Global Payments, Inc.		598,536
	19,400	Moody’s Corp.		1,268,372
				12,207,453
		Chemicals—0.4%
	30,800	Ashland, Inc.		1,964,424
	95,500	Methanex Corp. (Canada)(8)		2,324,470
				4,288,894
		Computer Equipment, Software and Services—8.2%
	136,200	Apple Computer, Inc.*		10,491,486
	107,700	Cadence Design Systems, Inc.*		1,826,592
	50,500	Computer Sciences Corp.*		2,480,560
	293,300	Electronic Arts, Inc.*(8)		16,330,944
	20,500	Electronic Data Systems Corp.		502,660
	289,800	Hewlett-Packard Company		10,632,762
	91,700	Ingram Micro, Inc. — Class A*		1,756,972
	68,100	International Business Machines Corp.		5,580,114
	52,300	Intuit, Inc.*		1,678,307
	48,700	Lexmark International, Inc. — Class A*(8)		2,808,042
	1,175,900	Microsoft Corp.		32,137,347
	21,000	Oracle Corp.*		372,540
	13,300	Red Hat, Inc.*(8)		280,364
	146,500	SanDisk Corp.*(8)		7,843,610
				94,722,300
		Construction Services and Supplies—0.1%
	13,500	Martin Marietta Materials, Inc.		1,142,370
		Consumer Goods and Services—4.2%
	168,300	Altria Group, Inc.		12,883,365
	21,700	American Greetings Corp. — Class A		501,704

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Consumer Goods and Services (continued)
	92,500	Colgate-Palmolive Company	$	5,744,250
	37,300	Energizer Holdings, Inc.*		2,685,227
	32,300	FedEx Corp.		3,510,364
	31,700	Herbalife, Ltd. (Cayman Islands)*		1,200,796
	200,605	Procter & Gamble Company		12,433,498
	98,600	Reynolds American, Inc.(8)		6,110,242
	28,700	The Clorox Company		1,808,100
	5,200	United Parcel Service, Inc. — Class B		374,088
	27,300	UST, Inc.(8)		1,496,859
				48,748,493
		Containers and Packaging—0.5%
	52,300	Bemis Company, Inc.		1,718,578
	143,300	Pactiv Corp.*		4,072,586
				5,791,164
		Distribution—0.0%
	7,500	CDW Corp.		462,600
		Diversified Operations and Services—2.0%
	566,800	General Electric Company		20,008,040
	29,200	Textron, Inc.		2,555,000
				22,563,040
		Education—0.2%
	34,600	Apollo Group, Inc. — Class A*		1,703,704
	12,700	ITT Educational Services, Inc.*		842,010
				2,545,714
		Electronics—0.3%
	39,600	Emerson Electric Company		3,320,856
	25,000	Synopsys, Inc.*		493,000
				3,813,856
		Environmental Waste Management and Recycling Services—0.1%
	14,600	Republic Services, Inc.		587,066
		Financial Services—10.4%
	158,000	American Express Company		8,860,640
	77,300	AmeriCredit Corp.*		1,931,727
	42,700	Ameriprise Financial, Inc.		2,002,630
	535,300	Citigroup, Inc.		26,588,351
	177,800	Countrywide Financial Corp.		6,230,112
	74,700	E*TRADE Financial Corp.*		1,786,824
	20,400	Janus Capital Group, Inc.		402,288
	473,900	JPMorgan Chase & Company		22,254,344
	109,400	Lehman Brothers Holdings, Inc.		8,080,284
	213,700	Merrill Lynch & Company, Inc.(8)		16,715,614
	178,100	Morgan Stanley(8)		12,985,271
	57,300	The First Marblehead Corp.(8)		3,968,598

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Financial Services (continued)
	33,600	The Goldman Sachs Group, Inc.	$	5,684,112
	77,200	Washington Mutual, Inc.		3,355,884
				120,846,679
		Food and Beverage—2.7%
	79,100	Archer-Daniels-Midland Company		2,996,308
	61,500	Dean Foods Company*		2,584,230
	55,300	General Mills, Inc.		3,129,980
	47,000	HJ Heinz Company		1,970,710
	61,500	Kraft Foods, Inc. — Class A(8)		2,193,090
	129,400	PepsiCo, Inc.		8,444,644
	122,500	The Coca-Cola Company		5,473,300
	101,100	The Pepsi Bottling Group, Inc.(8)		3,589,050
	54,400	Tyson Foods, Inc. — Class A(8)		863,872
				31,245,184
		Insurance—5.2%
	56,000	Aetna, Inc.		2,214,800
	69,300	Ambac Financial Group, Inc.		5,734,575
	47,600	American International Group, Inc.		3,153,976
	18,900	Assurant, Inc.		1,009,449
	20,600	CIGNA Corp.		2,396,192
	29,700	First American Corp.		1,257,498
	78,000	Genworth Financial, Inc. — Class A		2,730,780
	166,400	Loews Corp.		6,306,560
	40,852	MBIA, Inc.		2,509,947
	64,200	MetLife, Inc.		3,638,856
	13,400	Nationwide Financial Services, Inc. — Class A		644,540
	50,800	Principal Financial Group, Inc.		2,757,424
	77,400	Radian Group, Inc.		4,644,000
	70,400	SAFECO Corp.		4,148,672
	110,700	The Allstate Corp.		6,944,210
	17,700	The Chubb Corp.		919,692
	23,400	The Hartford Financial Services Group, Inc.		2,029,950
	77,200	The PMI Group, Inc.(8)		3,382,132
	15,400	The St. Paul Travelers Companies, Inc.		722,106
	87,150	WR Berkley Corp.(8)		3,084,239
				60,229,598
		Internet Services—2.9%
	107,900	Akamai Technologies, Inc.*		5,393,921
	471,300	Cisco Systems, Inc.*		10,839,900
	69,300	eBay, Inc.*		1,965,348
	31,538	Google, Inc. — Class A*		12,675,122
	25,600	IAC/InterActive Corp.*		736,256
	117,800	Juniper Networks, Inc.*		2,035,584
				33,646,131
		Leisure and Recreation—0.8%
	50,500	Carnival Corp. (Panama)		2,375,015
	15,000	Choice Hotels International, Inc.		613,500

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Leisure and Recreation (continued)
	103,500	Starwood Hotels & Resorts Worldwide, Inc.	$	5,919,165
				8,907,680
		Machinery—0.8%
	81,100	Caterpillar, Inc.		5,336,380
	34,500	Cummins, Inc.(8)		4,113,435
				9,449,815
		Manufacturing—0.9%
	20,900	3M Company		1,555,378
	27,700	Furniture Brands International, Inc.(8)		527,408
	90,100	Honeywell International, Inc.		3,685,090
	5,100	Parker Hannifin Corp.		396,423
	9,400	SPX Corp.		502,336
	69,500	The Timken Company		2,069,710
	55,600	Tyco International, Ltd. (Bermuda)		1,556,244
				10,292,589
		Medical Equipment, Supplies, and Services—5.6%
	23,700	Becton, Dickinson and Company		1,674,879
	37,200	Boston Scientific Corp.*		550,188
	133,500	Cardinal Health, Inc.		8,776,290
	9,600	Dade Behring Holdings, Inc.		385,536
	29,800	DaVita, Inc.*		1,724,526
	34,100	Humana, Inc.*		2,253,669
	212,600	Johnson & Johnson		13,806,244
	23,700	Manor Care, Inc.(8)		1,239,036
	177,100	McKesson Corp.		9,336,712
	115,900	Medco Health Solutions, Inc.*		6,966,749
	16,800	Medtronic, Inc.(8)		780,192
	305,400	St Jude Medical, Inc.*		10,777,566
	75,300	UnitedHealth Group, Inc.		3,704,760
	27,900	WellPoint, Inc.*		2,149,695
				64,126,042
		Metals and Mining—1.1%
	54,300	Alcoa, Inc.		1,522,572
	15,100	IPSCO, Inc. (Canada)		1,308,717
	7,100	Newmont Mining Corp.		303,525
	93,500	Nucor Corp.		4,627,315
	39,700	Steel Dynamics, Inc.		2,002,865
	41,700	United States Steel Corp.		2,405,256
				12,170,250
		Oil, Coal and Gas—8.8%
	14,500	Anadarko Petroleum Corp.		635,535
	43,200	Apache Corp.		2,730,240
	44,700	Baker Hughes, Inc.		3,048,540
	32,800	Cameron International Corp.*		1,584,568

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas (continued)
	104,200	ChevronTexaco Corp.	$	6,758,412
	193,486	ConocoPhillips		11,518,222
	75,800	Devon Energy Corp.		4,786,770
	72,000	EnCana Corp. (Canada)(8)		3,361,680
	37,200	EOG Resources, Inc.		2,419,860
	583,000	Exxon Mobil Corp.		39,119,300
	70,200	Holly Corp.		3,041,766
	102,100	Marathon Oil Corp.		7,851,490
	51,400	Petro-Canada (Canada)		2,072,962
	118,700	Schlumberger, Ltd. (the Netherlands)		7,362,961
	42,800	Smith International, Inc.		1,660,640
	32,600	Sunoco, Inc.		2,027,394
	31,300	XTO Energy, Inc.		1,318,669
				101,299,009
		Paper and Forest Products—0.1%
	24,200	International Paper Company		838,046
	13,500	MeadWestvaco Corp.		357,885
				1,195,931
		Pharmaceuticals/Research and Development—6.7%
	80,900	Abbott Laboratories		3,928,504
	32,400	Allergan, Inc.		3,648,564
	133,600	AmerisourceBergen Corp.		6,038,720
	146,200	Amgen, Inc.*		10,457,686
	24,800	Biogen Idec, Inc.*		1,108,064
	89,400	Caremark Rx, Inc.		5,066,298
	43,800	Celgene Corp.*		1,896,540
	38,500	Eli Lilly and Company		2,194,500
	31,100	Express Scripts, Inc.*		2,347,739
	59,800	Forest Laboratories, Inc.*		3,026,478
	47,600	Genentech, Inc.*		3,936,520
	27,100	Gilead Sciences, Inc.*		1,861,770
	109,100	Merck & Company, Inc.		4,571,290
	907,200	Pfizer, Inc.		25,728,192
	25,400	Wyeth		1,291,336
				77,102,201
		Real Estate Development and Services—0.7%
	39,600	Brookfield Asset Management, Inc. — Class A (Canada)(8)		1,755,864
	136,200	CB Richard Ellis Group, Inc. — Class A*		3,350,520
	40,600	Jones Lang LaSalle, Inc.		3,470,488
				8,576,872
		Real Estate Investment Trusts—0.3%
	39,300	Equity Office Properties Trust(8)		1,562,568
	11,800	Kimco Realty Corp.		505,866
	32,200	New Century Financial Corp.(8)		1,265,782
	6,600	ProLogis		376,596
				3,710,812

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Retail—3.3%
	35,300	Best Buy Company, Inc.	$	1,890,668
	81,303	Circuit City Stores, Inc.		2,041,518
	51,900	Costco Wholesale Corp.(8)		2,578,392
	74,900	CVS Corp.		2,405,788
	108,300	Dillard’s, Inc. — Class A(8)		3,544,659
	59,700	JC Penney Company, Inc.		4,082,883
	89,300	Kohl’s Corp.*		5,797,356
	65,000	Office Depot, Inc.*		2,580,500
	45,000	Sears Holdings Corp.*		7,114,050
	140,900	Staples, Inc.		3,428,097
	10,400	The Home Depot, Inc.		377,208
	31,400	Wal-Mart Stores, Inc.		1,548,648
				37,389,767
		Retail: Restaurants—0.9%
	83,000	Brinker International, Inc.		3,327,470
	91,600	Darden Restaurants, Inc.		3,890,252
	10,900	McDonald’s Corp.		426,408
	69,600	Starbucks Corp.*		2,369,880
				10,014,010
		Retail: Supermarkets—1.2%
	246,200	Safeway, Inc.		7,472,170
	259,100	The Kroger Company		5,995,574
				13,467,744
		Scientific and Technical Instruments—0.2%
	55,600	Agilent Technologies, Inc.*		1,817,564
	8,500	Waters Corp.*		384,880
				2,202,444
		Semiconductors—3.4%
	15,300	Advanced Micro Devices, Inc.*		380,205
	114,300	Broadcom Corp. — Class A*		3,467,862
	63,999	Freescale Semiconductor, Inc. — Class B*		2,432,602
	356,700	Intel Corp.		7,337,319
	151,200	Micron Technology, Inc.*		2,630,880
	268,900	National Semiconductor Corp.		6,327,217
	178,900	Teradyne, Inc.*(8)		2,354,324
	417,400	Texas Instruments, Inc.		13,878,550
				38,808,959
		Telecommunications Equipment and Services—5.6%
	20,900	Anixter International, Inc.		1,180,223
	150,500	AT&T, Inc.(8)		4,900,280
	136,975	BCE, Inc. (Canada)(8)		3,710,653
	37,800	BellSouth Corp.		1,615,950
	160,000	CenturyTel, Inc.		6,347,200
	123,000	Citizens Communications Company		1,726,920
	397,100	Corning, Inc.*		9,693,211

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Telecommunications Equipment and Services (continued)
	15,605	Embarq Corp.	$	754,814
	635,200	JDS Uniphase Corp.*(8)		1,391,088
	377,300	Level 3 Communications, Inc.*(8)		2,018,555
	48,600	Motorola, Inc.(8)		1,215,000
	336,100	QUALCOMM, Inc.		12,217,235
	96,300	Sprint Nextel Corp.		1,651,545
	10,400	Telephone and Data Systems, Inc. — Special Common Shares		424,840
	405,900	Verizon Communications, Inc.		15,071,067
				63,918,581
		Transportation—1.1%
	5,600	Burlington Northern Santa Fe Corp.		411,264
	86,200	CSX Corp.		2,829,946
	54,200	Norfolk Southern Corp.		2,387,510
	13,700	Overseas Shipholding Group, Inc.		846,249
	35,800	Ryder System, Inc.		1,850,144
	52,600	Union Pacific Corp.		4,628,800
				12,953,913
		Utilities—3.0%
	85,700	Alliant Energy Corp.		3,062,061
	92,000	American Electric Power Company, Inc.		3,346,040
	12,100	DTE Energy Company		502,271
	166,200	Edison International		6,920,568
	38,700	Energen Corp.		1,620,369
	63,500	Entergy Corp.		4,967,605
	44,000	FirstEnergy Corp.		2,457,840
	118,100	PG&E Corp.		4,918,865
	38,200	Pinnacle West Capital Corp.		1,720,910
	77,300	TXU Corp.		4,832,796
				34,349,325
		Total Common Stocks (Cost $1,003,872,745)		1,132,377,301
Principal
		Securities Lending Collateral—8.9%
$	102,317,037	Securities Lending Collateral Investment (Note 3) (Cost $102,317,037)		102,317,037
		Total Securities (Cost $1,106,189,782)		1,234,694,338
		Repurchase Agreements—1.4%
	15,526,156	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $15,532,315 (Collateralized by various Fannie Maes, 4.20%-4.44% due 07/01/33, with a total value of $7,173,880 and various Small Business Administrations, 8.13%-8.29% due 03/25/26-01/25/29, with a total value of $9,128,584) (Cost $15,526,156)		15,526,156

See notes to portfolios of investments.

GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

		Value
	Total Investments — 108.7% (Cost $1,121,715,938)	$	1,250,220,494
	Liabilities less other assets — (8.7)%		(100,397,999	)
	Net Assets — 100.0%	$	1,149,822,495
The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $1,121,715,938.
The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation		$	145,491,044
Gross unrealized depreciation			(16,986,488	)
Net unrealized appreciation		$	128,504,556

     See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—97.2%
		Aerospace and Defense—3.9%
	322,244	General Dynamics Corp.	$	23,095,227
	188,797	Goodrich Corp.		7,650,054
	339,056	Lockheed Martin Corp.		29,179,160
	255,100	The Boeing Company		20,114,635
	271,080	United Technologies Corp.		17,172,918
				97,211,994
		Agriculture—0.8%
	435,830	Monsanto Company		20,488,368
		Airlines—0.9%
	417,935	Southwest Airlines Company		6,962,797
	344,929	US Airways Group, Inc.*(8)		15,290,703
				22,253,500
		Apparel: Manufacturing and Retail—1.1%
	225,660	Nordstrom, Inc.		9,545,418
	981,260	Urban Outfitters, Inc.*(8)		17,358,489
				26,903,907
		Automobiles/Motor Vehicles and Automotive Equipment—1.4%
	312,753	Toyota Motor Corp. (ADR) (Japan)(8)		34,058,802
		Banks—3.7%
	400,665	Commerce Bancorp, Inc. — New Jersey(8)		14,708,412
	832,272	UBS AG (Switzerland)		49,362,053
	808,290	Wells Fargo & Company		29,243,932
				93,314,397
		Broadcast Services/Media—2.7%
	1,085,562	Comcast Corp. — Class A*(8)		40,002,959
	523,600	Viacom, Inc. — Class B*		19,467,448
	535,885	XM Satellite Radio Holdings, Inc. — Class A*(8)		6,907,558
				66,377,965
		Business Services and Supplies—0.7%
	386,050	First Data Corp.		16,214,100
		Computer Equipment, Software and Services—9.6%
	592,125	Apple Computer, Inc.*		45,611,389
	1,278,563	Electronic Arts, Inc.*(8)		71,190,388
	3,264,490	Microsoft Corp.		89,218,512
	637,450	SanDisk Corp.*		34,129,073
				240,149,362
		Construction Services and Supplies—0.7%
	408,213	Lennar Corp. — Class A		18,471,638

See notes to portfolios of investments.

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Consumer Goods and Services—6.9%
	416,630	Altria Group, Inc.	$	31,893,027
	180,005	Colgate-Palmolive Company		11,178,311
	490,803	FedEx Corp.		53,340,470
	1,079,901	Procter & Gamble Company		66,932,263
	124,900	The Clorox Company		7,868,700
				171,212,771
		Diversified Operations and Services—2.3%
	1,308,695	General Electric Company		46,196,933
	127,225	Textron, Inc.		11,132,188
				57,329,121
		Education—0.3%
	150,805	Apollo Group, Inc. — Class A*		7,425,638
		Financial Services—6.2%
	687,370	American Express Company		38,547,710
	442,391	Lehman Brothers Holdings, Inc.		32,674,999
	209,105	Merrill Lynch & Company, Inc.		16,356,193
	215,190	Morgan Stanley(8)		15,689,503
	307,874	The Goldman Sachs Group, Inc.		52,083,044
				155,351,449
		Food and Beverage—2.7%
	705,685	PepsiCo, Inc.		46,053,003
	469,415	The Coca-Cola Company		20,973,462
				67,026,465
		Insurance—1.3%
	687,163	Genworth Financial, Inc. — Class A		24,057,577
	102,315	The Hartford Financial Services Group, Inc.		8,875,826
				32,933,403
		Internet Services—5.0%
	469,493	Akamai Technologies, Inc.*		23,469,955
	1,846,287	Cisco Systems, Inc.*		42,464,600
	301,353	eBay, Inc.*(8)		8,546,371
	101,573	Google, Inc. — Class A*		40,822,189
	513,145	Juniper Networks, Inc.*		8,867,146
				124,170,261
		Leisure and Recreation—4.6%
	142,558	Four Seasons Hotels, Inc. (Canada)(8)		9,102,328
	403,347	Las Vegas Sands Corp.*		27,568,767
	645,163	MGM MIRAGE*(8)		25,477,487
	450,440	Starwood Hotels & Resorts Worldwide, Inc.		25,760,664

See notes to portfolios of investments.

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Leisure and Recreation (continued)
	377,502	Wynn Resorts, Ltd.*(8)	$	25,673,911
				113,583,157
		Machinery—1.2%
	454,655	Caterpillar, Inc.		29,916,299
		Medical Equipment, Supplies, and Services—9.2%
	130,000	DaVita, Inc.*		7,523,100
	387,820	Johnson & Johnson		25,185,031
	276,375	McKesson Corp.		14,570,490
	505,095	Medco Health Solutions, Inc.*		30,361,260
	1,331,201	St Jude Medical, Inc.*		46,978,083
	1,912,927	UnitedHealth Group, Inc.		94,116,009
	121,490	WellPoint, Inc.*		9,360,805
				228,094,778
		Oil, Coal and Gas—2.8%
	194,515	Baker Hughes, Inc.		13,265,923
	142,540	Cameron International Corp.*		6,886,107
	106,911	Halliburton Company		3,041,618
	635,277	Schlumberger, Ltd. (Netherland Antilles)		39,406,233
	186,118	Smith International, Inc.		7,221,378
				69,821,259
		Pharmaceuticals/Research and Development—8.1%
	259,592	Abbott Laboratories		12,605,788
	141,820	Allergan, Inc.		15,970,350
	337,114	Amgen, Inc.*		24,113,764
	220,620	Cardinal Health, Inc.		14,503,559
	390,255	Caremark Rx, Inc.		22,115,751
	190,815	Celgene Corp.*		8,262,290
	167,816	Eli Lilly and Company		9,565,512
	819,670	Genentech, Inc.*		67,786,710
	267,137	Genzyme Corp.*		18,023,733
	117,900	Gilead Sciences, Inc.*		8,099,730
				201,047,187
		Retail—5.5%
	153,655	Best Buy Company, Inc.		8,229,762
	326,289	CVS Corp.		10,480,403
	388,980	Kohl’s Corp.*		25,252,582
	1,032,385	Lowe’s Companies, Inc.		28,968,723
	195,940	Sears Holdings Corp.*		30,976,154
	614,045	Staples, Inc.		14,939,715
	325,412	Target Corp.(8)		17,979,013
				136,826,352

See notes to portfolios of investments.

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Retail: Restaurants—1.0%
	708,985	Starbucks Corp.*	$	24,140,939
		Semiconductors—6.6%
	550,440	Advanced Micro Devices, Inc.*		13,678,434
	497,210	Broadcom Corp. — Class A*(8)		15,085,351
	1,266,215	Intel Corp.		26,046,043
	1,170,000	National Semiconductor Corp.		27,530,100
	778,695	Teradyne, Inc.*(8)		10,247,626
	2,181,472	Texas Instruments, Inc.		72,533,944
				165,121,498
		Telecommunications Equipment and Services—5.1%
	1,728,753	Corning, Inc.*		42,198,861
	2,764,000	JDS Uniphase Corp.*		6,053,160
	1,641,300	Level 3 Communications, Inc.*(8)		8,780,955
	673,741	Motorola, Inc.		16,843,525
	1,462,395	QUALCOMM, Inc.		53,158,058
				127,034,559
		Transportation—2.9%
	468,154	Burlington Northern Santa Fe Corp.(8)		34,381,230
	428,679	Union Pacific Corp.		37,723,752
				72,104,982
		Total Common Stocks (Cost $2,141,815,101)		2,418,584,151
Principal
		Securities Lending Collateral—7.3%
$	182,931,883	Securities Lending Collateral Investment (Note 3) (Cost $182,931,883)		182,931,883
		Total Securities (Cost $2,324,746,984)		2,601,516,034
		Repurchase Agreements—2.8%
	70,470,055	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $70,498,008 (Collateralized by various Fannie Maes, 4.09%-5.88%, due 01/25/33-05/01/35, with a total value of $73,112,959, and Small Business Administration, 9.13%, due 09/25/14, with a value of $880,599) (Cost $70,470,055)		70,470,055

See notes to portfolios of investments.

EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

		Value
	Total Investments — 107.3%
	(Cost $2,395,217,039)	$	2,671,986,089
	Liabilities less other assets — (7.3)%		(181,432,197	)
	Net Assets — 100.0%	$	2,490,553,892
The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $2,395,217,039.
The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation		$	326,022,744
Gross unrealized depreciation			(49,253,694	)
Net unrealized appreciation		$	276,769,050

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—98.5%
		Advertising—2.1%
	64,570	Focus Media Holding, Ltd. (ADR) (China)*	$	3,739,894
	41,000	Omnicom Group, Inc.		3,837,600
				7,577,494
		Agriculture—1.9%
	142,140	Monsanto Company		6,682,001
		Airlines—0.7%
	55,000	US Airways Group, Inc.*(8)		2,438,150
		Apparel: Manufacturing and Retail—2.6%
	46,900	Abercrombie & Fitch Company — Class A		3,258,612
	178,020	Coach, Inc.*		6,123,888
				9,382,500
		Automobiles/Motor Vehicles and Automotive Equipment—1.3%
	42,640	Toyota Motor Corp. (ADR) (Japan)(8)		4,643,496
		Banks—2.9%
	87,920	UBS AG (Switzerland)		5,214,535
	140,000	Wells Fargo & Company		5,065,200
				10,279,735
		Broadcast Services/Media—2.3%
	114,700	Comcast Corp. — Class A*(8)		4,226,695
	198,720	News Corp. — Class A		3,904,848
				8,131,543
		Business Services and Supplies—1.9%
	325,800	ABB, Ltd. (ADR) (Switzerland)		4,294,044
	56,840	Global Payments, Inc.		2,501,528
				6,795,572
		Commercial Services—0.8%
	70,500	Ecolab, Inc.(8)		3,018,810
		Computer Equipment, Software and Services—8.5%
	107,810	Apple Computer, Inc.*		8,304,605
	91,400	Citrix Systems, Inc.*		3,309,594
	35,950	Cognizant Technology Solutions Corp. — Class A*		2,662,457
	57,200	Electronic Arts, Inc.*		3,184,896
	258,730	Oracle Corp.*		4,589,870
	79,730	SanDisk Corp.*		4,268,744
	891,000	Sun Microsystems, Inc.*		4,428,270
				30,748,436
		Diversified Operations and Services—4.8%
	489,200	General Electric Company		17,268,760

See notes to portfolios of investments.

AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Electronics—1.3%
	370,030	Flextronics International, Ltd. (Singapore)*	$	4,677,179
		Financial Services—6.4%
	12,000	Chicago Mercantile Exchange Holdings, Inc.		5,739,000
	127,000	Nasdaq Stock Market, Inc.*		3,840,480
	362,140	The Charles Schwab Corp.		6,482,306
	41,110	The Goldman Sachs Group, Inc.		6,954,579
				23,016,365
		Food and Beverage—1.2%
	115,430	Archer-Daniels-Midland Company		4,372,488
		Internet Services—10.6%
	140,000	Akamai Technologies, Inc.*		6,998,600
	650,490	Cisco Systems, Inc.*		14,961,271
	29,400	Google, Inc. — Class A*		11,815,860
	73,490	Nutri/System, Inc.*(8)		4,577,692
				38,353,423
		Leisure and Recreation—4.9%
	140,200	International Game Technology		5,818,300
	58,900	Las Vegas Sands Corp.*		4,025,815
	101,610	Scientific Games Corp. — Class A*		3,231,198
	82,000	Starwood Hotels & Resorts Worldwide, Inc.		4,689,580
				17,764,893
		Machinery—1.2%
	67,900	Caterpillar, Inc.		4,467,820
		Manufacturing—2.1%
	55,300	Precision Castparts Corp.(8)		3,492,748
	93,400	Roper Industries, Inc.		4,178,716
				7,671,464
		Medical Equipment, Supplies, and Services—6.5%
	157,200	Baxter International, Inc.		7,146,312
	56,100	Covance, Inc.*		3,723,918
	74,960	Henry Schein, Inc.*(8)		3,758,494
	45,200	Intuitive Surgical, Inc.*(8)		4,766,340
	63,200	Quest Diagnostics, Inc.(8)		3,865,312
				23,260,376
		Oil, Coal and Gas—2.1%
	57,000	National-Oilwell Varco, Inc.*		3,337,350
	96,100	XTO Energy, Inc.		4,048,693
				7,386,043

See notes to portfolios of investments.

AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development—10.1%
	42,070	Allergan, Inc.	$	4,737,503
	69,060	Express Scripts, Inc.*		5,213,339
	151,250	Gilead Sciences, Inc.*		10,390,876
	67,000	Novartis AG (ADR) (Switzerland)		3,915,480
	91,000	Pharmaceutical Product Development, Inc.		3,247,790
	47,950	Roche Holding AG (ADR) (Switzerland)		4,217,203
	91,100	Shire PLC (ADR) (United Kingdom)		4,499,429
				36,221,620
		Real Estate Development and Services—1.3%
	191,950	CB Richard Ellis Group, Inc. — Class A*		4,721,970
		Retail—0.9%
	121,610	The TJX Companies, Inc.		3,408,728
		Retail: Restaurants—1.0%
	105,210	Starbucks Corp.*		3,582,401
		Scientific and Technical Instruments—1.5%
	137,110	Thermo Electron Corp.*(8)		5,392,536
		Semiconductors—9.1%
	339,000	Applied Materials, Inc.(8)		6,010,470
	108,670	KLA-Tencor Corp.		4,832,555
	118,600	MEMC Electronic Materials, Inc.*		4,344,318
	388,980	Micron Technology, Inc.*		6,768,252
	107,000	NVIDIA Corp.*		3,166,130
	227,100	Texas Instruments, Inc.		7,551,075
				32,672,800
		Telecommunications Equipment and Services—7.6%
	139,570	Crown Castle International Corp.*		4,918,447
	1,730,290	JDS Uniphase Corp.*		3,789,335
	356,530	Motorola, Inc.		8,913,250
	83,490	NII Holdings, Inc.*		5,189,738
	126,110	QUALCOMM, Inc.		4,584,099
				27,394,869
		Transportation—0.9%
	73,230	CH Robinson Worldwide, Inc.		3,264,593
		Total Common Stocks
		(Cost $316,823,836)		354,596,065
Principal
		Securities Lending Collateral—9.5%
$	34,278,102	Securities Lending Collateral Investment (Note 3) (Cost $34,278,102)		34,278,102

See notes to portfolios of investments.

AGGRESSIVE EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Total Securities (Cost $351,101,938)	$	388,874,167
		Repurchase Agreements—1.1%
$	3,811,929	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $3,813,441 (Collateralized by Small Business Administration, 8.88%, due 01/25/17, with a value of $4,002,526) (Cost $3,811,929)		3,811,929
		Total Investments — 109.1% (Cost $354,913,867)		392,686,096
		Liabilities less other assets — (9.1)%		(32,862,100	)
		Net Assets — 100.0%	$	359,823,996
The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $354,913,867.
The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation			$	43,398,065
Gross unrealized depreciation				(5,625,836	)
Net unrealized appreciation			$	37,772,229

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—96.7%
		Advertising—0.2%
	14,600	RH Donnelley Corp.	$	772,340
	47,800	The Interpublic Group of Companies, Inc.*		473,220
				1,245,560
		Aerospace and Defense—1.9%
	392,000	Goodrich Corp.		15,883,840
		Agricultural Equipment—0.3%
	109,400	AGCO Corp.*		2,773,290
		Agriculture—0.0%
	1,800	Monsanto Company		84,618
	14,800	The Mosaic Company*		250,120
				334,738
		Airlines—0.3%
	35,700	Alaska Air Group, Inc.*		1,358,028
	8,000	AMR Corp.*		185,120
	10,200	Continental Airlines, Inc. — Class B*		288,762
	121,900	ExpressJet Holdings, Inc.*		805,759
	3,600	US Airways Group, Inc.*		159,588
				2,797,257
		Apparel: Manufacturing and Retail—1.2%
	114,000	Jones Apparel Group, Inc.		3,698,160
	46,400	Kellwood Company		1,337,712
	21,600	Liz Claiborne, Inc.		853,416
	60,100	The Cato Corp. — Class A		1,316,791
	39,200	VF Corp.		2,859,640
				10,065,719
		Automobiles/Motor Vehicles and Automotive Equipment—2.3%
	97,600	ArvinMeritor, Inc.		1,389,824
	52,900	Autoliv, Inc.		2,915,319
	83,800	Ford Motor Company		677,942
	291,700	Genuine Parts Company		12,581,021
	3,700	Johnson Controls, Inc.		265,438
	53,100	Navistar International Corp.*		1,371,042
				19,200,586
		Banks—7.9%
	111,600	AmSouth Bancorp		3,240,864
	93,000	Comerica, Inc.		5,293,560
	21,300	Downey Financial Corp.		1,417,302
	197,200	Huntington Bancshares, Inc.		4,718,996
	125,100	KeyCorp		4,683,744
	255,200	Marshall & Ilsley Corp.		12,295,536
	276,500	Mellon Financial Corp.		10,811,150
	178,900	PNC Financial Services Group, Inc.		12,959,516
	120,700	State Street Corp.		7,531,680

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Banks (continued)
	22,100	UnionBanCal Corp.	$	1,345,890
	35,800	United Bankshares, Inc.		1,332,476
				65,630,714
		Broadcast Services/Media—0.6%
	103,200	Tribune Company		3,376,704
	166,400	Westwood One, Inc.		1,178,112
				4,554,816
		Business Services and Supplies—3.1%
	169,800	Convergys Corp.*		3,506,370
	4,800	Diebold, Inc.		208,944
	148,100	Dun & Bradstreet Corp.*		11,106,019
	6,500	Fluor Corp.		499,785
	48,800	John H Harland Company		1,778,760
	131,400	Manpower, Inc.		8,050,878
	5,400	Ritchie Brothers Auctioneers, Inc. (Canada)		289,494
				25,440,250
		Chemicals—4.2%
	21,500	Ashland, Inc.		1,371,270
	5,800	Cabot Corp.		215,760
	42,300	Eastman Chemical Company		2,285,046
	8,600	Imperial Chemical Industries PLC (ADR) (United Kingdom)		257,398
	146,500	PolyOne Corp.*		1,220,345
	81,100	PPG Industries, Inc.		5,440,188
	147,900	Rohm and Haas Company		7,003,065
	92,600	Sensient Technologies Corp.		1,812,182
	57,100	Spartech Corp.		1,528,567
	284,600	Syngenta AG (ADR) (Switzerland)		8,589,228
	65,300	The Lubrizol Corp.		2,986,169
	63,400	The Valspar Corp.		1,686,440
	2,036	Tronox, Inc. — Class B		26,000
				34,421,658
		Computer Equipment, Software and Services—3.0%
	294,100	Activision, Inc.*		4,440,910
	28,800	BMC Software, Inc.*		783,936
	38,200	Computer Sciences Corp.*		1,876,384
	38,100	Electronic Data Systems Corp.		934,212
	70,900	Lexmark International, Inc. — Class A*		4,088,094
	287,000	NCR Corp.*		11,330,760
	76,600	Western Digital Corp.*		1,386,460
				24,840,756
		Construction Services and Supplies—2.5%
	344,000	American Standard Companies, Inc.		14,437,680
	34,700	Beazer Homes USA, Inc.		1,354,688
	13,400	Chicago Bridge & Iron Company NV (the Netherlands)		322,404
	3,800	Insituform Technologies, Inc. — Class A*		92,264

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Construction Services and Supplies (continued)
	15,200	KB Home	$	665,760
	118,600	Masco Corp.		3,252,012
	8,000	USG Corp.*		376,320
				20,501,128
		Consumer Goods and Services—2.2%
	55,900	Blyth, Inc.		1,360,047
	82,900	Eastman Kodak Company		1,856,960
	98,700	Fortune Brands, Inc.		7,413,357
	16,700	Loews Corp.-Carolina Group		925,013
	2,900	Mohawk Industries, Inc.*		215,905
	46,900	Newell Rubbermaid, Inc.		1,328,208
	8,500	Reynolds American, Inc.		526,745
	17,300	The Black & Decker Corp.		1,372,755
	63,800	Tupperware Corp.		1,241,548
	23,900	Whirlpool Corp.		2,010,229
				18,250,767
		Containers and Packaging—1.9%
	327,800	Ball Corp.		13,259,510
	77,700	Sonoco Products Company		2,613,828
				15,873,338
		Diversified Operations and Services—1.9%
	36,600	LandAmerica Financial Group, Inc.		2,407,914
	148,700	Textron, Inc.		13,011,250
				15,419,164
		Education—0.8%
	126,800	Apollo Group, Inc. — Class A*		6,243,632
		Electronics—2.0%
	107,800	Amphenol Corp. — Class A		6,676,054
	289,800	Avnet, Inc.*		5,685,876
	335,200	Sanmina-SCI Corp.*		1,253,648
	435,000	Solectron Corp.*		1,418,100
	99,500	Vishay Intertechnology, Inc.*		1,396,980
				16,430,658
		Energy Services—0.1%
	11,800	Ballard Power Systems, Inc. (Canada)*		67,142
	2,200	Energy Conversion Devices, Inc.*		81,488
	6,100	FuelCell Energy, Inc.*		46,421
	23,400	McDermott International, Inc. (Panama)*		978,120
	8,100	Plug Power, Inc.*		32,967
				1,206,138

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Equipment Rental and Leasing—0.2%
	60,300	United Rentals North America, Inc.*	$	1,401,975
		Financial Services—3.1%
	36,400	Advanta Corp. — Class B		1,343,160
	25,200	AG Edwards, Inc.		1,342,656
	44,900	AmeriCredit Corp.*		1,122,051
	417,100	Amvescap PLC (ADR) (United Kingdom)		9,142,832
	48,500	CIT Group, Inc.		2,358,555
	363,400	E*TRADE Financial Corp.*		8,692,528
	80,500	Friedman, Billings, Ramsey Group, Inc. — Class A		646,415
	54,800	H&R Block, Inc.		1,191,352
				25,839,549
		Food and Beverage—1.9%
	7,700	Archer-Daniels—Midland Company		291,676
	161,700	Del Monte Foods Company		1,689,765
	99,000	McCormick & Company, Inc.		3,760,020
	10,600	Reddy Ice Holdings, Inc.		256,520
	169,100	Sysco Corp.		5,656,395
	53,200	The Pepsi Bottling Group, Inc.		1,888,600
	116,300	Tyson Foods, Inc. — Class A		1,846,844
				15,389,820
		Insurance —7.9%
	27,800	Ace, Ltd. (Cayman Islands)		1,521,494
	265,900	Aon Corp.		9,006,033
	19,600	Axis Capital Holdings, Ltd. (Bermuda)		679,924
	14,800	CIGNA Corp.		1,721,536
	64,680	Cincinnati Financial Corp.		3,108,521
	7,900	Conseco, Inc.*		165,821
	19,000	Everest Re Group, Ltd. (Bermuda)		1,853,070
	143,600	Genworth Financial, Inc. — Class A		5,027,436
	70,100	Horace Mann Educators Corp.		1,348,023
	40,699	Lincoln National Corp.		2,526,594
	29,000	Loews Corp.		1,099,100
	225,100	MBIA, Inc.		13,830,144
	56,300	MGIC Investment Corp.		3,376,311
	92,000	Nationwide Financial Services, Inc. — Class A		4,425,200
	18,800	PartnerRE, Ltd. (Bermuda)		1,270,316
	25,100	Principal Financial Group, Inc.		1,362,428
	71,500	Radian Group, Inc.		4,290,000
	78,200	SAFECO Corp.		4,608,326
	8,800	Torchmark Corp.		555,368
	30,100	Unitrin, Inc.		1,329,517
	13,700	Willis Group Holdings, Ltd. (Bermuda)		520,600
	31,900	XL Capital, Ltd. — Class A (Cayman Islands)		2,191,530
				65,817,292

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Internet Services—0.0%
	16,200	McAfee, Inc.*	$	396,252
		Leisure and Recreation—1.6%
	170,900	Harrah’s Entertainment, Inc.		11,352,887
	23,000	Hilton Hotels Corp.		640,550
	35,500	Regal Entertainment Group — Class A		703,610
	21,800	Royal Caribbean Cruises, Ltd. (Liberia)		846,058
				13,543,105
		Machinery—0.2%
	8,100	Dover Corp.		384,264
	9,400	Rockwell Automation, Inc.		546,140
	6,500	Terex Corp.*		293,930
	5,500	The Manitowoc Company, Inc.		246,345
				1,470,679
		Manufacturing—4.2%
	110,000	Carlisle Companies, Inc.		9,251,000
	5,600	Cooper Industries, Ltd. — Class A (Bermuda)		477,232
	32,900	Crane Company		1,375,220
	11,700	Eaton Corp.		805,545
	42,200	EnPro Industries, Inc.*		1,268,532
	70,600	Furniture Brands International, Inc.		1,344,224
	217,400	Ingersoll-Rand Company, Ltd. — Class A (Bermuda)		8,256,852
	60,600	Leggett & Platt, Inc.		1,516,818
	113,300	Precision Castparts Corp.		7,156,028
	28,800	SPX Corp.		1,539,072
	83,400	Tredegar Corp.		1,396,116
				34,386,639
		Medical Equipment, Supplies, and Services—4.3%
	339,901	Boston Scientific Corp.*		5,027,136
	191,200	CR Bard, Inc.		14,340,000
	18,200	Health Management Associates, Inc. — Class A		380,380
	10,900	Health Net, Inc.*		474,368
	19,400	Humana, Inc.*		1,282,146
	60,700	Invacare Corp.		1,427,664
	31,400	Kindred Healthcare, Inc.*		933,522
	3,700	McKesson Corp.		195,064
	227,500	Omnicare, Inc.		9,802,975
	23,000	Universal Health Services, Inc. — Class B		1,378,390
				35,241,645
		Metals and Mining—0.5%
	7,700	Freeport-McMoRan Copper & Gold, Inc. — Class B		410,102
	36,700	Nucor Corp.		1,816,283
	4,500	Phelps Dodge Corp.		381,150

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Metals and Mining (continued)
	20,700	United States Steel Corp.	$	1,193,976
				3,801,511
		Office Equipment and Services—0.3%
	145,100	IKON Office Solutions, Inc.		1,950,144
	5,100	Pitney Bowes, Inc.		226,287
	900	Xerox Corp.*		14,004
				2,190,435
		Oil, Coal and Gas—7.7%
	16,400	BJ Services Company		494,132
	12,500	Cameron International Corp.*		603,875
	41,200	El Paso Corp.		561,968
	19,700	Enbridge, Inc. (Canada)		635,916
	192,900	ENSCO International, Inc.		8,454,807
	18,400	GlobalSantaFe Corp. (Cayman Islands)		919,816
	50,400	Hess Corp.		2,087,568
	54,599	Marathon Oil Corp.		4,198,663
	11,800	Nabors Industries, Ltd. (Bermuda)*		351,050
	57,100	National Fuel Gas Company		2,075,585
	4,300	National—Oilwell Varco, Inc.*		251,765
	7,700	Newfield Exploration Company*		296,758
	185,200	ONEOK, Inc.		6,998,708
	18,100	Pioneer Natural Resources Company		708,072
	249,800	Questar Corp.		20,426,146
	10,500	Smith International, Inc.		407,400
	6,900	Southwestern Energy Company*		206,103
	3,400	Suncor Energy, Inc. (Canada)		244,970
	49,700	Sunoco, Inc.		3,090,843
	33,000	Swift Energy Company*		1,380,060
	376,700	The Williams Companies, Inc.		8,991,829
	10,700	Weatherford International, Ltd. (Bermuda)*		446,404
				63,832,438
		Paper and Forest Products—0.3%
	9,700	Bowater, Inc.		199,529
	62,900	MeadWestvaco Corp.		1,667,479
	16,300	Rayonier, Inc.		616,140
	4,700	Temple-Inland, Inc.		188,470
				2,671,618
		Pharmaceuticals/Research and Development—3.8%
	14,200	AmerisourceBergen Corp.		641,840
	334,500	Endo Pharmaceuticals Holdings, Inc.*		10,887,975
	4,800	Hospira, Inc.*		183,696
	186,300	King Pharmaceuticals, Inc.*		3,172,689
	166,400	Millipore Corp.*		10,200,320
	26,400	Mylan Laboratories, Inc.		531,432
	72,500	Novo Nordisk A/S (ADR) (Denmark)		5,402,700

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	6,600	Watson Pharmaceuticals, Inc.*	$	172,722
				31,193,374
		Printing and Publishing—0.5%
	80,000	Gannett Company, Inc.		4,546,400
		Real Estate Development and Services—1.0%
	182,050	Brookfield Asset Management, Inc. — Class A (Canada)		8,072,097
		Real Estate Investment Trusts—2.2%
	39,800	American Home Mortgage Investment Corp.		1,387,826
	210,000	Anthracite Capital, Inc.		2,700,600
	2,200	Boston Properties, Inc.		227,348
	17,900	Crescent Real Estate Equities Company		390,399
	60,000	Entertainment Properties Trust		2,959,200
	15,800	Equity Residential		799,164
	84,700	Hospitality Properties Trust		3,997,840
	114,600	HRPT Properties Trust		1,369,470
	113,900	Innkeepers USA Trust		1,855,431
	27,700	PS Business Parks, Inc.		1,670,310
	38,998	RAIT Investment Trust		1,125,092
				18,482,680
		Retail—2.1%
	61,000	Borders Group, Inc.		1,244,400
	428,600	Dollar Tree Stores, Inc.*		13,269,456
	22,600	Family Dollar Stores, Inc.		660,824
	18,400	Federated Department Stores, Inc.		795,064
	20,000	JC Penney Company, Inc.		1,367,800
				17,337,544
		Retail: Restaurants—1.4%
	221,900	YUM! Brands, Inc.		11,549,895
		Retail: Supermarkets—0.2%
	45,500	SUPERVALU, Inc.		1,349,075
		Rubber Products—0.2%
	94,600	The Goodyear Tire & Rubber Company*		1,371,700
		Scientific and Technical Instruments—1.0%
	442,200	PerkinElmer, Inc.		8,370,846
		Semiconductors—1.0%
	26,900	Intersil Corp. — Class A		660,395
	726,900	LSI Logic Corp.*		5,975,118
	12,000	Microchip Technology, Inc.		389,040

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Semiconductors (continued)
	37,000	National Semiconductor Corp.	$	870,610
				7,895,163
		Telecommunications Equipment and Services—2.0%
	106,700	CenturyTel, Inc.		4,232,789
	29,300	Citizens Communications Company		411,372
	471,000	Comverse Technology, Inc.*		10,098,240
	3,200	Embarq Corp.		154,784
	68,800	Qwest Communications International, Inc.*		599,936
	66,100	Tellabs, Inc.*		724,456
	48,900	Windstream Corp.		644,991
				16,866,568
		Tools—0.1%
	14,400	The Stanley Works		717,840
		Toys—0.6%
	11,500	Hasbro, Inc.		261,625
	222,600	Mattel, Inc.		4,385,220
				4,646,845
		Transportation—1.2%
	31,300	Arkansas Best Corp.		1,346,839
	106,600	CSX Corp.		3,499,678
	73,700	Sabre Holdings Corp. — Class A		1,723,843
	57,200	Swift Transportation Company, Inc.*		1,356,784
	57,500	YRC Worldwide, Inc.*		2,129,800
				10,056,944
		Utilities—10.8%
	173,100	AGL Resources, Inc.		6,318,150
	73,100	Alliant Energy Corp.		2,611,863
	148,400	American Electric Power Company, Inc.		5,397,308
	53,400	Cleco Corp.		1,347,816
	683,300	CMS Energy Corp.*		9,866,852
	12,700	Consolidated Edison, Inc.		586,740
	7,600	Constellation Energy Group		449,920
	17,400	DPL, Inc.		471,888
	66,700	DTE Energy Company		2,768,717
	21,200	Edison International		882,768
	30,500	Energy East Corp.		723,460
	167,100	FPL Group, Inc.		7,519,500
	15,200	MDU Resources Group, Inc.		339,568
	11,200	Mirant Corp.*		305,872
	168,300	NiSource, Inc.		3,658,842
	317,400	Northeast Utilities		7,385,898
	52,100	OGE Energy Corp.		1,881,331
	180,400	PG&E Corp.		7,513,660

See notes to portfolios of investments.

MID-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Utilities (continued)
	117,300	Pinnacle West Capital Corp.	$	5,284,365
	354,500	PPL Corp.		11,663,050
	24,800	Progress Energy, Inc.		1,125,424
	135,900	Puget Energy, Inc.		3,089,007
	20,800	Reliant Energy, Inc.*		256,048
	9,500	SCANA Corp.		382,565
	11,900	Sempra Energy		597,975
	235,300	TECO Energy, Inc.		3,682,445
	194,800	Xcel Energy, Inc.		4,022,620
				90,133,652
		Total Common Stocks (Cost $754,286,152)		799,687,590

Principal
		Repurchase Agreements—3.4%
$	28,262,260	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $28,273,471 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 3.91%, due 09/01/33, with a value of $14,064,604 and various Small Business Administrations, 8.13%-9.08%, due 10/25/22-02/25/29, with a total value of $15,610,770) (Cost $28,262,260)		28,262,260
		Total Investments — 100.1% (Cost $782,548,412)		827,949,850
		Liabilities less other assets — (0.1)%		(1,114,806	)
		Net Assets — 100.0%	$	826,835,044

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $782,548,412.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	63,867,218
Gross unrealized depreciation		(18,465,780	)
Net unrealized appreciation	$	45,401,438

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks— 98.5%
		Advertising — 2.1 %
	120,000	Lamar Advertising Company — Class A*	$	6,409,200
		Aerospace and Defense — 0.5%
	67,115	BE Aerospace, Inc.*		1,415,455
		Automobiles/Motor Vehicles and Automotive Equipment — 1.1 %
	66,500	Oshkosh Track Corp.		3,356,255
		Banks— 1.0%
	50,775	Compass Bancshares, Inc.		2,893,160
		Business Services and Supplies— 5.7%
	124,000	Fiserv, Inc.*		5,839,160
	71,245	Fluor Corp.		5,478,028
	98,340	Manpower, Inc.		6,025,292
				17,342,480
		Computer Equipment, Software and Services — 10.4%
	191,000	Activision, Inc.*		2,884,100
	441,000	BEA Systems. Inc.*		6,703,200
	233,835	Citrix Systems, Inc.*		8,467,165
	82,000	Cognizant Technology Solutions Corp. — Class A*		6,072,920
	155,961	FactSet Research Systems, Inc.		7,575,026
				31,702,411
		Construction Services and Supplies— 3.8%
	196,000	Chicago Bridge & Iron Company NV (the Netherlands)		4,715,760
	117,480	Washington Group International, Inc.		6,914,873
				11,630,633
		Consumer Goods and Services — 1.5%
	120,620	Herbalife, Ltd. (Cayman Islands)*		4,569,086
		Correctional Facilities — 1.2%
	83,000	Corrections Corp. of America*		3,589,750
		Energy Services — 1.7%
	123,800	McDermott International, Inc. (Panama)*		5,174,840
		Financial Services— 7.0%
	197,255	Lazard, Ltd. — Class A (Bermuda)(8)		7,886,255
	71,000	MasterCard, Inc. — Class A*(8)		4,994,850
	177,470	T Rowe Price Group, Inc.		8,491,939
				21,373,044
		Internet Services — 3.6%
	138,185	Akamai Technologies, Inc.*		6,907,868
	99,250	CheckFree Corp.*		4,101,010
				11,008,878

See notes to portfolios of investments.

MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Leisure and Recreation — 2.1 %
	230,015	Hilton Hotels Corp.	$	6,405,918
		Manufacturing — 2.1 %
	141,368	Roper Industries, Inc.		6,324,804
		Medical Equipment, Supplies, and Services — 9.7%
	146,280	Hologic, Inc.*(8)		6,366,106
	37,000	Intuitive Surgical, lnc.*(8)		3,901,650
	132,790	Psychiatric Solutions, Inc.*		4,526,811
	134,110	Varian Medical Systems, Inc.*		7,160,133
	211,445	VCA Antech, Inc.*		7,624,706
				29,579,406
		Metals and Mining — 1.6%
	79,000	Precision Castparts Corp.		4,989,640
		Oil, Coal and Gas— 4.4%
	129,075	Cameron International Corp.*		6,235,613
	236,715	Southwestern Energy Company*		7,070,677
				13,306,290
		Pharmaceuticals/Research and Development — 6.9%
	186,255	Celgene Corp.*		8,064,842
	228,200	Pharmaceutical Product Development, Inc.		8,144,458
	93,000	Shire PLC (ADR) (United Kingdom)		4,593,270
				20,802,570
		Real Estate Development and Services — 1.1 %
	139,715	CB Richard Ellis Group, Inc. — Class A*		3,436,989
		Retail—6.7 %
	146,000	Circuit City Stores, Inc.		3,666,060
	226,245	Coldwater Creek, Inc.*		6,506,807
	95,862	Game Stop Corp. — Class A*(8)		4,436,493
	207,000	The TJX Companies, Inc.		5,802,210
				20,411,570
		Retail: Restaurants— 2.2%
	112,954	Panera Bread Company — Class A*		6,579,571
		Scientific and Technical Instruments — 5.0%
	160,000	Applera Corp.-Applied Biosystems Group		5,297,600
	112,000	Garmin Ltd. (Cayman Islands)(8)		5,463,360
	91,000	Trimble Navigation, Ltd.*		4,284,280
				15,045,240

See notes to portfolios of investments.

MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Semiconductors — 6.2 %
	142,995	Broadcom Corp. — Class A*	$	4,338,468
	215,035	Intersil Corp. — Class A		5,279,109
	186,000	Marvell Technology Group, Ltd. (Bermuda)*		3,602,820
	323,000	Micron Technology, Inc.*		5,620,201
				18,840,598
		Telecommunications Equipment and Services — 10.9%
	259,921	American Tower Corp. — Class A*		9,487,116
	230,320	Crown Castle International Corp.*		8,116,476
	172,742	Harris Corp.		7,685,292
	121,415	Nil Holdings, Inc.*		7,547,156
				32,836,040
		Total Common Stocks (Cost $270,235, 714)		299,023,828

Principal
		Securities Lending Collateral — 8.7%
$	26,465,688	Securities Lending Collateral investment (Note 3) (Cost $26,465,688)		26,465,688
		Total Securities (Cost $296,701,402)		325,489,516
		Repurchase Agreements — 2.0%
	6,105,040	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $6,107,462 (Collateralized by Small Business Administration, 8.88%, due 08/25/27, with a value of $6,410,293 (Cost $6,105,040)		6,105,040
		Total Investments — 109.2% (Cost $302,806,442)		331,594,556
		Liabilities less other assets — (9.2)%		(27,992,798	)
		Net Assets — 100.0%	$	303,601,758

See notes to portfolios of investments.

MID-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $302,806,442.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	34,159,262
Gross unrealized depreciation		(5,371,148	)
Net unrealized appreciation	$	28,788,114

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks—92.5%
		Aerospace and Defense—2.7%
	72,157	Moog, Inc. — Class A*	$	2,500,962
	72,700	United Industrial Corp.		3,889,450
				6,390,412
		Apparel: Manufacturing and Retail—2.8%
	103,600	K-Swiss, Inc. — Class A		3,114,216
	52,672	Phillips-Van Heusen Corp.		2,200,109
	89,214	Stein Mart, Inc.		1,356,945
				6,671,270
		Automobile: Retail—1.0%
	102,300	Sonic Automotive, Inc.		2,362,107
		Automobiles/Motor Vehicles and Automotive Equipment—3.3%
	44,300	BorgWarner, Inc.		2,532,631
	67,400	Oshkosh Truck Corp.		3,401,678
	55,900	Winnebago Industries, Inc.		1,754,142
				7,688,451
		Banks—10.9%
	77,800	BankUnited Financial Corp. — Class A		2,028,246
	203,200	Brookline Bancorp, Inc.		2,794,000
	105,500	Citizens Banking Corp. — Michigan		2,770,430
	128,300	Corus Bankshares, Inc.		2,868,788
	60,100	Digital Insight Corp.*		1,762,132
	149,036	First Commonwealth Financial Corp.		1,941,939
	40,500	Franklin Bank Corp. — Houston, Texas		805,140
	76,373	Oriental Financial Group, Inc. — Puerto Rico		910,366
	56,100	Pacific Capital Bancorp		1,513,017
	40,100	PFF Bancorp, Inc.		1,485,304
	54,000	Sterling Financial Corp. —Spokane		1,751,220
	118,500	Washington Federal, Inc.		2,659,140
	65,391	Whitney Holding Corp.		2,339,036
				25,628,758
		Broadcast Services/Media—0.6%
	127,040	Journal Communications, Inc. — Class A		1,431,741
		Business Services and Supplies—1.7%
	39,700	Administaff, Inc.		1,337,890
	101,700	NCO Group, Inc.*		2,666,574
				4,004,464
		Collectibles—0.8%
	59,500	Sotheby’s		1,918,280
		Computer Equipment, Software and Services—2.0%
	66,600	Checkpoint Systems, Inc.*		1,099,566
	48,952	MTS Systems Corp.		1,583,108

See notes to portfolios of investments.

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)
	67,817	Verint Systems, Inc.*	$	2,037,901
				4,720,575
		Construction Services and Supplies—3.9%
	60,100	Granite Construction, Inc.		3,206,335
	44,400	Hovnanian Enterprises, Inc. — Class A*		1,302,696
	28,900	Meritage Homes Corp.*		1,202,529
	50,400	Standard Pacific Corp.		1,184,400
	46,900	Universal Forest Products, Inc.		2,300,445
				9,196,405
		Consumer Goods and Services—0.8%
	69,300	Elizabeth Arden, Inc.*		1,119,888
	19,600	The Scotts Miracle—Gro Company — Class A		872,004
				1,991,892
		Distribution—1.1%
	55,853	Watsco, Inc.		2,569,797
		Diversified Operations and Services—0.8%
	40,300	ESCO Technologies, Inc.*		1,855,412
		Education—0.9%
	60,762	School Specialty, Inc.*		2,144,291
		Electronics—1.3%
	208,555	Sonic Solutions*		3,178,378
		Engineering—0.6%
	34,400	URS Corp.*		1,337,816
		Equipment Rental and Leasing—0.2%
	23,900	Aaron Rents, Inc.		549,222
		Financial Services—3.2%
	29,570	Accredited Home Lenders Holding Company*		1,062,746
	45,200	Asset Acceptance Capital Corp.*		734,500
	56,000	Calamos Asset Management, Inc. —Class A		1,641,920
	46,600	Eaton Vance Corp.		1,344,876
	49,500	Jefferies Group, Inc.		1,410,750
	48,993	Raymond James Financial, Inc.		1,432,555
				7,627,347
		Food and Beverage—0.9%
	72,200	United Natural Foods, Inc.*		2,237,478
		Funeral Services—1.2%
	293,800	Service Corp. International		2,744,092

See notes to portfolios of investments.

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Insurance—6.8%
	42,600	American Physicians Capital, Inc.*	$	2,060,988
	178,250	Delphi Financial Group, Inc. — Class A		7,108,610
	24,400	Philadelphia Consolidated Holding Corp.*		970,632
	14,600	Protective Life Corp.		667,950
	47,600	State Auto Financial Corp.		1,454,180
	90,600	The Commerce Group, Inc.		2,722,530
	31,600	United Fire & Casualty Company		989,080
				15,973,970
		Internet Services—0.7%
	31,900	Digital River, Inc.*		1,630,728
		Leisure and Recreation—0.8%
	64,100	WMS Industries, Inc.*		1,872,361
		Machinery—2.2%
	112,200	Applied Industrial Technologies, Inc.		2,737,680
	55,800	Bucyrus International, Inc. — Class A		2,367,036
				5,104,716
		Manufacturing—1.2%
	66,300	FLIR Systems, Inc.*		1,800,708
	69,500	Hexcel Corp.*		983,425
				2,784,133
		Medical Equipment, Supplies, and Services—10.4%
	44,800	AMERIGROUP Corp.*		1,323,840
	49,900	Centene Corp.*		820,356
	19,400	Covance, Inc.*		1,287,772
	41,500	Healthways, Inc.*		1,850,900
	96,600	Immucor, Inc.*		2,164,806
	73,300	Magellan Health Services, Inc.*		3,122,580
	63,200	Matria Healthcare, Inc.*		1,756,328
	75,800	Owens & Minor, Inc.		2,493,062
	82,500	Sunrise Senior Living, Inc.*		2,464,275
	120,500	Syneron Medical, Ltd. (Israel)*		2,783,550
	57,850	United Surgical Partners International, Inc.*		1,436,416
	78,200	West Pharmaceutical Services, Inc.		3,070,914
				24,574,799
		Office Equipment and Supplies—1.2%
	127,644	Global Imaging Systems, Inc.*		2,817,103
		Oil, Coal and Gas—11.6%
	38,100	Cabot Oil & Gas Corp.		1,826,133
	39,600	Energy Partners, Ltd.*		976,140
	79,900	Frontier Oil Corp.		2,123,742
	47,939	Headwaters, Inc.*		1,119,376

See notes to portfolios of investments.

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas (continued)
	53,100	Holly Corp.	$	2,300,823
	78,900	National Fuel Gas Company		2,868,015
	44,600	Oceaneering International, Inc.*		1,373,680
	26,900	ONEOK, Inc.		1,016,551
	41,100	Penn Virginia Corp.		2,606,151
	95,400	Swift Energy Company*		3,989,627
	27,200	The Houston Exploration Company*		1,500,080
	57,000	Tidewater, Inc.		2,518,830
	81,100	World Fuel Services Corp.		3,280,495
				27,499,643
		Paper and Forest Products—1.0%
	63,100	Rayonier, Inc.		2,385,180
		Pharmaceuticals/Research and Development—2.7%
	132,993	Mannatech, Inc.		2,356,635
	87,700	Perrigo Company		1,488,269
	57,400	PRA International(*)		1,532,006
	46,100	Salix Pharmaceuticals, Ltd.*		625,116
	72,900	VaxGen, Inc.*(8)		331,331
				6,333,357
		Real Estate Investment Trusts—3.1%
	57,600	Healthcare Realty Trust, Inc.		2,212,416
	109,700	National Retail Properties, Inc.		2,369,520
	47,900	Sovran Self Storage, Inc.		2,660,845
				7,242,781
		Retail—2.7%
	72,000	EZCORP, Inc. — Class A*		2,784,960
	22,000	Guitar Center, Inc.*		982,960
	44,800	The Pantry, Inc.*		2,525,376
				6,293,296
		Retail: Restaurants—2.1%
	23,900	Brinker International, Inc.		958,151
	96,393	Lone Star Steakhouse & Saloon, Inc.		2,676,834
	62,500	Sonic Corp.*		1,413,125
				5,048,110
		Semiconductors—1.1%
	173,700	OmniVision Technologies, Inc.*		2,478,699
		Tools—0.5%
	24,900	Snap-on, Inc.		1,109,295
		Transportation—1.3%
	71,900	Arkansas Best Corp.		3,093,857

See notes to portfolios of investments.

SMALL-CAP VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Utilities—2.4%
	76,900	American States Water Company	$	2,941,425
	37,500	PNM Resources, Inc.		1,033,875
	46,830	UIL Holdings Corp.		1,756,125
				5,731,425
		Total Common Stocks (Cost $216,252,787)		218,221,641
Principal
		Securities Lending Collateral—0.1%
$	340,000	Securities Lending Collateral Investment (Note 3) (Cost $340,000)		340,000
		Total Securities (Cost $216,592,787)		218,561,641
		Repurchase Agreements—6.3%
	14,814,666	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $14,820,543 (Collateralized by various Small Business Administrations, 8.13%—8.63%, due 01/25/16—10/25/28, with a total value of $15,555,400) (Cost $14,814,666)		14,814,666
		Total Investments — 98.9% (Cost $231,407,453)		233,376,307
		Other assets less liabilities — 1.1%		2,521,399
		Net Assets — 100.0%	$	235,897,706
The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $231,407,453. The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation			$	9,780,967
Gross unrealized depreciation				(7,812,113	)
Net unrealized appreciation			$	1,968,854

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks— 97.1%
		Advertising — 0.1 %
	32,100	Catalina Marketing Corp.	$	882,750
		Aerospace and Defense — 0.8%
	91,000	BE Aerospace, Inc.*		1,919,190
	49,700	HEICO Corp.(8)		1,704,710
	7,200	Innovative Solutions and Support, Inc.*		104,616
	3,300	K&F Industries Holdings, Inc.*		61,974
	89,650	Moog, Inc. — Class A*		3,107,269
	112,800	Orbital Sciences Corp.*		2,117,256
	11,800	Teledyne Technologies, Inc.*		467,280
	4,500	United Industrial Corp.		240,750
				9,723,045
		Airlines — 0.6%
	281,750	AirTran Holdings, Inc.*(8)		2,794,960
	115,900	Continental Airlines, Inc. — Class B*(8)		3,281,129
	160,600	ExpressJet Holdings, Inc.*		1,061,566
				7,137,655
		Apparel: Manufacturing and Retail — 4.7%
	18,800	AnnTaylor Stores Corp.*		786,968
	191,960	Cache, Inc.*		3,434,164
	96,460	Carter’s, Inc.*		2,545,579
	48,000	Charlotte Russe Holding, Inc.*		1,321,920
	2,200	Citi Trends, Inc.*(8)		75,922
	4,650	Columbia Sportswear Company* (8)		259,610
	103,400	Crocs, Inc.*(8)		3,510,430
	62,000	Deckers Outdoor Corp. *(8)		2,933,840
	7,400	Guess?, Inc.*(8)		359,122
	192,420	Iconix Brand Group, Inc.*(8)		3,097,962
	77,273	Jos A Bank Clothiers, Inc.*(8)		2,315,099
	100,000	Kellwood Company		2,883,000
	12,300	Mothers Work, Inc.*		591,876
	129,500	Payless ShoeSource, Inc.*		3,224,550
	111,450	Phillips-Van Heusen Corp.(8)		4,655,267
	362,850	Quiksilver, Inc.*(8)		4,408,628
	10,500	Skechcrs USA, Inc. — Class A*		246,855
	182,300	Slage Stores, Inc.		5,348,681
	118,200	Stein Mart, Inc.		1,797,822
	9,100	Steven Madden, Ltd.		357,084
	169,400	The Cato Corp. — Class A		3,711,554
	8,500	The Dress Barn, Inc.*		185,470
	56,800	The Gymboree Corp.*		2,395,824
	70,300	The Talbots, Inc.		1,915,675
	113,100	The Wet Seal, Inc. — Class A*		694,434
	7,300	Tween Brands, Inc.*		274,480
	90,800	Wolverine World Wide, Inc.		2,570,548
				55,902,364
		Automobile: Retail—0.1%
	29,600	Group 1 Automotive, Inc.		1,477,040

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Automobiles/Motor Vehicles and Automotive Equipment — 0.4%
	16,200	Accuride Corp.*	$	178,362
	66,800	Aftermarket Technology Corp.*		1,186,368
	6,300	Commercial Vehicle Group, Inc.*		121,338
	19,600	CSK Auto Corp.*		276,360
	9,900	Keystone Automotive Industries, Inc.*		376,398
	64,550	Modine Manufacturing Company		1,570,502
	2,900	Standard Motor Products, Inc.		34,771
	35,800	Winnebago Industries, Inc.(8)		1,123,404
				4,867,503
		Banks— 6.5%
	10,310	1st Source Corp.		304,351
	88,100	AMCORE Financial, Inc.		2,668,549
	12,800	Ameris Bancorp		348,288
	1,400	Anchor BanCorp Wisconsin, Inc.		39,984
	1,545	Arrow Financial Corp.		39,181
	149,100	Astoria Financial Corp.		4,595,261
	18,800	BancFirst Corp.		878,336
	18,200	BancorpSouth, Inc.		505,232
	2,900	Bank Mutual Corp.		35,177
	12,875	Bank of Granite Corp.		225,699
	8,400	BankFinancial Corp.		146,916
	58,373	BankUnited Financial Corp. — Class A(8)		1,521,784
	53,603	Boston Private Financial Holdings, Inc.		1,494,452
	7,000	Cadence Financial Corp.		141,890
	7,300	Camden National Corp.		293,460
	1,800	Capital Corp of the West		55,836
	5,200	Center Financial Corp.		123,656
	10,100	Chittenden Corp.		289,769
	6,300	Citizens Banking Corp. — Michigan(8)		165,438
	1,400	Citizens First Bancorp, Inc.		35,644
	13,300	City Bank — Lynwood, Washington		625,499
	19,900	City Holding Company		793,413
	2,900	Coastal Financial Corp.		36,540
	19,800	Columbia Banking System, Inc.		633,798
	4,400	Community Bancorp*(8)		134,244
	8,200	Community Bank System, Inc.		181,712
	10,300	Community Trust Bancorp, Inc.		387,795
	82,000	Corus Bankshares, Inc. (8)		1,833,520
	27,800	Dime Community Bancshares		409,494
	43,500	East West Bancorp, Inc.		1,723,035
	3,400	Financial Institutions, Inc.		79,424
	13,600	First Charter Corp.		327,216
	5,350	First Citizens Bancshares, Inc. — Class A		1,022,385
	1,100	First Community Bancorp		61,545
	1,500	First Community Bancshares, Inc.		50,055
	70,600	First Financial Bancorp(8)		1,123,246
	20,500	First Financial Bankshares, Inc.		782,075
	2,200	First Financial Corp.		70,202
	11,900	First Financial Holdings, Inc.		407,218
	29,600	First Indiana Corp.		769,896
	80,050	First Midwest Bancorp, Inc.		3,033,094
	2,900	First Place Financial Corp.		65,714

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Banks (continued)
	1,200	First Regional Bancorp*	$	40,884
	4,100	First State Bancorp		106,477
	57,600	Flagstar Bancorp, Inc.		838,080
	135,100	Fremont General Corp.(8)		1,890,049
	40,650	Frontier Financial Corp. (8)		1,054,461
	4,000	Great Southern Bancorp, Inc.		112,400
	40,600	Greater Bay Bancorp		1,145,326
	38,400	Hancock Holding Company		2,056,320
	10,200	Horizon Financial Corp.		304,572
	12,700	Independent Bank Corp. — Massachusetts		413,004
	5,775	Independent Bank Corp. — Michigan		140,217
	11,400	Integra Bank Corp.		288,192
	92,000	International Bancshares Corp.		2,730,560
	9,500	ITLA Capital Corp.		510,720
	7,000	Keamy Financial Corp.		106,260
	16,400	KNBT Bancorp, Inc.		263,712
	8,800	Lakeland Financial Corp.		206,888
	1,650	Macatawa Bank Corp.		37,769
	2,400	MAF Bancorp, Inc.		99,096
	7,700	MainSource Financial Group, Inc.		130,669
	65,150	MB Financial, Inc.		2,402,081
	27,000	Mid-State Bancshares		738,720
	2,400	Nara Bancorp, Inc.		43,896
	3,399	National Penn Bancshares, Inc.		66,688
	3,000	NBT Bancorp, Inc.		69,780
	175,350	NewAlliance Bancshares, Inc.		2,568,878
	13,200	OceanFirst Financial Corp.		283,140
	6,600	Old National Bancorp		126,060
	12,600	Old Second Bancorp, Inc.		377,496
	45,900	Oriental Financial Group, Inc. — Puerto Rico(8)		547,128
	75,300	Pacific Capital Bancorp		2,030,841
	1,400	Park National Corp.		140,126
	3,400	Partners Trust Financial Group, Inc.		36,414
	2,900	PennFed Financial Services, Inc.		48,633
	3,400	People’s Bancorp, Inc.		99,382
	44,900	PFF Bancorp, Inc.		1,663,096
	1,400	Placer Sierra Bancshares		31,094
	1,500	Preferred Bank — Los Angeles, California		89,955
	42,470	PrivateBancorp, Inc.(8)		1,941,728
	4,400	Provident Bankshares Corp.		163,020
	1,400	Provident Financial Holdings, Inc.		42,196
	27,900	S&T Bancorp, Inc.		906,750
	5,000	Sandy Spring Bancorp, Inc.		176,800
	17,600	Santander BanCorp — Puerto Rico		332,464
	3,700	SCBT Financial Corp.		138,380
	7,400	Simmons First National Corp. — Class A		214,674
	4,400	Smithtown Bancorp, Inc.		118,756
	4,300	Sterling Bancshares, Inc. — Texas		87,075
	7,500	Sterling Financial Corp. — Pennsylvania		164,925
	88,050	Sterling Financial Corp. — Spokane(8)		2,855,461
	8,800	Suffolk Bancorp		280,896
	100,500	SVB Financial Group*(8)		4,486,319
	10,800	SY Bancorp, Inc.		320,436

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Banks (continued)
	7,100	Taylor Capital Group, Inc.		$209,805
	36,300	TierOne Corp.		1,231,659
	10,400	TrustCo Bank Corp. NY		112,736
	33,800	Trustmark Corp.		1,062,334
	2,500	Uninvest Corp. of Pennsylvania		72,225
	8,600	Union Bankshares Corp.		381,152
	40,900	United Bankshares. Inc.		1,522,298
	24,200	United Community Financial Corp.		298,144
	12,300	USB Holding Company, Inc.		271,338
	99,350	Virginia Commerce Bancorp, Inc.*(8)		2,205,570
	13,000	Washington Trust Bancorp, Inc.		344,630
	1,900	Wauwatosa Holdings, Inc.*		33,535
	9,800	WesBanco, Inc.		286,356
	3,000	West Bancorp		51,330
	11,300	West Coast Bancorp		345,102
	50,350	Westamerica Bancorp		2,543,179
	6,700	Western Alliance Bancorp*(8)		220,430
	20,750	Wintrust Financial Corp.		1,040,613
	16,200	WSFS Financial Corp.		1,007,478
				77,768,881
		Broadcast Services/Media — 0.5 %
	88,700	Citadel Broadcasting Company		833,780
	84,150	CKX, Inc.*		1,047,668
	22,800	Cumulus Media, Inc. — Class A*		217,968
	48,700	Entercom Communications Corp.		1,227,240
	12,200	Gray Television, Inc.		78,202
	46,800	Martha Stewart Living Omnimedia, Inc. — Class A(8)		831,168
	99,000	Sinclair Broadcast Group, Inc. — Class A		777,150
	79,400	Westwood One, Inc.		562,152
				5,575,328
		Business Services and Supplies — 3.5 %
	50,600	Acxiom Corp.		1,247,796
	62,250	Administaff, Inc.		2,097,825
	17,400	Ambassadors Group, Inc.(8)		492,072
	129,228	Barrett Business Services, Inc.*		2,774,525
	143,300	CSG Systems International, Inc.*		3,787,419
	7,500	Diamond Management & Technology Consultants, Inc.*		83,550
	32,500	First Consulting Group, Inc.*		316,875
	140,500	FirstService Corp. (Canada)*		3,346,710
	13,800	Forrester Research, Inc.*		363,078
	100,000	Global Payments, Inc.		4,401,000
	10,400	Huron Consulting Group, Inc.*		407,680
	63,700	John H Hariand Company		2,321,865
	106,500	LightBridge, Inc.*		1,248,180
	75,450	MAXIMUS, Inc.		1,969,245
	104,000	Money Gram International, Inc.		3,022,240
	193,590	Optimal Group, Inc.— Class A (Canada)*(8)		2,276,618
	70,710	Portfolio Recovery Associates, Inc.* (8)		3,102,048
	111,000	Spherion Corp.*		793,650
	91,700	Symyx Technologies, Inc.*		1,943,123

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Business Services and Supplies (continued)
	87,900	TeleTech Holdings, Inc.*	$	1,373,877
	1,900	The Corporate Executive Board Company		170,829
	106,500	UniFirst Corp.		3,327,060
	23,400	Vertrue, Inc.*		920,088
				41,787,353
		Chemicals — 1.3%
	124,300	Compass Minerals International, Inc.		3,518,933
	15,600	HB Fuller Company		365,664
	6,100	Innospec, Inc.		181,170
	95,500	OM Group, Inc.*		4,196,270
	16,200	Pioneer Companies, Inc.*		397,062
	80,000	PolyOne Corp.*		666,400
	36,400	Spartech Corp.		974,428
	125,300	Tetra Tech, Inc.*		2,182,726
	54,500	The Valspar Corp.		1,449,700
	32,100	Westlake Chemical Corp.		1,027,521
				14,959,874
		Commercial Services — 0.3%
	3,000	Central Parking Corp.		49,500
	7,800	Coinmach Service Corp. — Class A		77,454
	3,700	ICT Group, Inc.*		116,439
	27,700	Jackson Hewitt Tax Service, Inc.		831,277
	6,400	Standard Parking Corp.*		200,832
	65,890	Steiner Leisure, Ltd. (Bahama Islands)*		2,770,675
				4,046,177
		Computer Equipment, Software and Services — 5.3%
	65,900	Activision, Inc.*		995,090
	104,700	Advent Software, Inc.*		3,791,187
	113,700	Agilysys, Inc.		1,596,348
	79,500	Altiris, Inc.*		1,676,655
	20,100	Ansoft Corp.*		500,691
	22,600	Aspen Technology, Inc.*(8)		246,792
	28,800	Avocent Corp.*		867,456
	28,900	Black Box Corp.		1,124,788
	9,200	Blackbaud, Inc.		202,308
	71,600	Brocade Communications Systems, Inc.*		505,496
	137,650	Checkpoint Systems, Inc.*		2,272,602
	162,490	Concur Technologies, Inc.*(8)		2,364,230
	61,400	Digimarc Corp.*		475,850
	90,500	Electronics For Imaging, Inc.*		2,070,640
	13,050	FactSet Research Systems, Inc.		633,839
	70,300	Imation Corp.		2,822,545
	5,700	Infocrossing, Inc.*(8)		76,437
	62,800	Intergraph Corp.*		2,692,864
	46,400	Jack Henry & Associates, Inc.		1,010,128
	6,800	JDA Software Group, Inc.*		104,856

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Computer Equipment, Software and Services (continued)
	73,500	Keane, Inc.*	$	1,059,135
	49,577	L-l Identity Solutions, Inc.*(8)		646,980
	51,100	Manhattan Associates, Inc.*		1,233,554
	38,400	Mentor Graphics Corp.*		540,672
	32,400	MicroStrategy, Inc. — Class A*(8)		3,299,292
	43,400	MTS Systems Corp.		1,403,556
	215,800	Omniture, Inc.*		1,702,662
	20,600	Open Solutions, Inc.*		593,486
	25,690	Parametric Technology Corp.*		448,547
	96,200	Red Hat, Inc.*(8)		2,027,896
	4,400	Riverbed Technology, Inc.*		85,800
	6,100	Salesforce.com, Inc.*		218,868
	3,700	SPSS, Inc.*		92,241
	146,900	Sybase, Inc.*		3,560,856
	122,300	Sykes Enterprises, Inc.*		2,488,805
	66,500	Synaptics, Inc.*(8)		1,620,605
	113,600	The Reynolds and Reynolds Company — Class A		4,488,336
	119,700	THQ, Inc.*		3,491,649
	31,200	Transaction Systems Architects, Inc. — Class A*		1,070,784
	55,700	Trident Microsystems, Inc.*(8)		1,295,582
	10,600	Tyler Technologies, Inc.*		137,058
	13,100	Western Digital Corp.*		237,110
	460,000	Wind River Systems, Inc.*(8)		4,926,599
				62,700,875
		Construction Services and Supplies — 2.3%
	36,600	BlueLinx Holdings, Inc.		348,432
	15,700	Brookfield Homes Corp.(8)		442,112
	18,200	Building Materials Holding Corp.(8)		473,564
	43,500	Eagle Materials, Inc.		1,465,080
	34,900	Granite Construction, Inc. (8)		1,861,915
	88,050	Hovnanian Enterprises, Inc. — Class A*(8)		2,583,387
	21,200	Matrix Service Company*(8)		277,508
	137,450	Meritage Homes Corp.*		5,719,294
	102,950	Simpson Manufacturing Company, Inc. (8)		2,782,739
	130,300	Standard Pacific Corp.(8)		3,062,050
	118,980	Team, Inc.*(8)		2,981,639
	25,225	Technical Olympic USA, Inc.		247,962
	118,750	Trex Company, Inc.*(8)		2,869,000
	3,300	Washington Group International, Inc. *		194,238
	121,150	WCI Communities, Inc.*(8)		2,112,856
				27,421,776
		Consumer Goods and Services — 2.8%
	4,430	Bare Escentuals, Inc.*		120,275
	67,180	Central Garden & Pet Company*		3,242,107
	40,600	Chattem, Inc.*(8)		1,425,872
	4,900	CNS, Inc.		138,327
	96,100	Elizabeth Arden, Inc.*		1,552,976
	17,300	FTD Group, Inc.*		267,285
	197,550	Helen Of Troy, Ltd. (Bermuda)*(8)		3,468,977
	68,350	Herbalife, Ltd. (Cayman Islands)*		2,589,098

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Consumer Goods and Services (continued)
	59,150	NBTY, Inc.*	$	1,731,321
	37,900	Playtex Products, Inc.*		507,860
	143,980	Rollins, Inc.		3,039,418
	140,550	Tempur-Pedic International, Inc.* (8)		2,413,244
	58,400	The Scotts Miracle-Gro Company — Class A (8)		2,598,216
	177,650	The Yankee Candle Company, Inc.		5,199,815
	79,275	Vector Group, Ltd, (8)		1,285,841
	1,900	WD-40 Company		67,773
	92,050	Weight Watchers International, Inc.		4,081,496
				33,729,901
		Containers and Packaging — 0.0%
	3,500	Greif, Inc. — Class A		280,385
	4,900	Silgan Holdings, Inc.		184,044
				464,429
		Correctional Facilities — 0.0%
	10,500	The Geo Group, Inc.*		443,625
		Distribution — 1.0 %
	60,510	MWI Veterinary Supply, Inc.*		2,028,900
	69,850	United Stationers, Inc.*		3,248,724
	132,850	Universal Corp.		4,853,010
	49,400	Watsco, Inc.		2,272,894
				12,403,528
		Diversified Operations and Services — 0.4%
	16,400	Compass Diversified Trust		250,920
	71,300	LandAmerica Financial Group, Inc. (8)		4,690,827
	15,500	Resource America, Inc. — Class A		322,400
				5,264,147
		Education — 0.2%
	11,200	Corinthian Colleges, Inc.*		121,072
	62,000	School Specialty, Inc.*(8)		2,187,980
				2,309,052
		Electrical Components and Equipment — 0.1%
	37,900	The Lamson & Sessions Company*(8)		902,778
		Electronics — 2.5 %
	126,799	Belden CDT, Inc.		4,847,526
	15,700	Benchmark Electronics, Inc.*		422,016
	17,300	Cirrus Logic, Inc.*		126,117
	396,550	Flextronics International, Ltd. (Singapore)*		5,012,392
	46,450	Harman International Industries, Inc.		3,875,788
	20,900	Merix Corp. *(8)		200,849

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Electronics (continued)
	168,400	Micrel, Inc.*	$	1,614,956
	176,700	Nam Tai Electronics, Inc. (British Virgin Islands)		2,171,643
	42,600	Park Electrochemical Corp.		1,349,568
	631,650	Sanmina-SCI Corp.*		2,362,371
	58,850	Sonic Solutions*(8)		896,874
	372,730	SRS Labs, Inc.*		2,310,926
	139,050	Synopsys, Inc.*		2,742,066
	151,500	TTM Technologies, Inc.*		1,772,550
				29,705,642
		Energy Services — 0.0%
	5,150	Energy Conversion Devices, Inc.*		190,756
		Engineering — 0.3%
	11,700	EMCOR Group, Inc.*		641,628
	76,850	URS Corp.*		2,988,697
				3,630,325
		Environmental Waste Management and Recycling Services — 0.4%
	276,500	Allied Waste Industries, Inc.*(8)		3,116,155
	55,300	Metal Management, Inc.		1,539,552
				4,655,707
		Equipment Rental and Leasing — 0.3%
	75,300	Aaron Rents, Inc.(8)		1,730,394
	76,900	Rent-A-Center, Inc.*		2,252,401
				3,982,795
		Financial Services — 5.7%
	98,550	Accredited Home Lenders Molding Company*(8)		3,541,887
	21,850	Affiliated Managers Group, Inc.*(8)		2,187,404
	127,800	Asset Acceptance Capital Corp.*		2,076,750
	70,100	ASTA Funding, Inc.(8)		2,628,049
	22,400	Calamos Asset Management, Inc. — Class A		656,768
	84,100	CapitalSource, Inc.		2,171,462
	274,650	E*TRADE Financial Corp.*		6,569,627
	137,150	Eaton Vance Corp.		3,958,149
	33,700	Federal Agricultural Mortgage Corp. — Class C		892,039
	22,230	GFI Group, Inc.*		1,229,097
	76,410	Greenhill & Company, Inc.(8)		5,120,998
	36,800	International Securities Exchange Holdings, Inc.(8)		1,725,552
	69,840	Investment Technology Group. Inc.*		3,125,340
	287,800	Jefferies Group, Inc.		8,202,299
	291,700	Knight Capital Group, Inc. — Class A*		5,308,940
	57,500	LaBranche & Company, Inc.*(8)		596,275
	14,800	Morningstar, Inc.*		546,120
	2,700	Nelnet, Inc. — Class A*		82,998
	26,650	Nuveen Investments — Class A		1,365,280
	47,200	Ocwen Financial Corp.*		703,280
	71,300	optionsXpress Holdings, Inc.		1,987,844

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Financial Services (continued)
	11,400	Piper Jaffray Companies, Inc.*	$	691,068
	156,350	Raymond James Financial, Inc.		4,571,674
	35,650	SEI Investments Company		2,003,174
	19,500	Susquehanna Bancshares, Inc.		476,580
	16,350	The Student Loan Corp.		3,142,143
	97,200	TradeStation Group, Inc.*		1,464,804
	41,100	W Holding Company, Inc. — Puerto Rico(8)		242,901
				67,268,502
		Food and Beverage — 0.6%
	36,200	Boston Beer Company, Inc. — Class A*		1,189,170
	1,500	Coca-Cola Bottling Company		92,970
	1,900	Farmer Brothers Company		39,026
	41,560	Hansen Natural Corp.*		1,349,869
	42,400	Nash Finch Company(8)		997,672
	43,100	Premium Standard Farms, Inc.		821,055
	210,490	SunOpta, Inc. (Canada)*(8)		2,224,879
				6,714,641
		Insurance — 3.8%
	19,000	American Physicians Capital, Inc.*		919,220
	260,974	Amerisafe, Inc.*		2,557,545
	147,500	Assured Guaranty, Ltd. (Bermuda)		3,824,675
	167,225	Delphi Financial Group, Inc. — Class A		6,668,932
	5,500	Direct General Corp.		74,030
	3,400	FBL Financial Group, Inc. — Class A		113,798
	10,000	FPIC Insurance Group, Inc.*(8)		396,100
	24,500	Infinity Property & Casualty Corp.		1,007,685
	47,000	IPC Holdings, Ltd. (Bermuda)		1,429,740
	1,800	James River Group, Inc.*		52,830
	550	National Western Life Insurance Company — Class A		126,440
	8,900	Ohio Casualty Corp.		230,243
	140,208	Philadelphia Consolidated Holding Corp,*		5,577,474
	123,050	Platinum Underwriters Holdings, Ltd. (Bermuda)		3,793,632
	25,900	Presidential Life Corp.		579,383
	54,450	Protective Life Corp.		2,491,088
	48,100	Safety Insurance Group, Inc.		2,340,546
	94,900	State Auto Financial Corp.		2,899,195
	11,400	Stewart Information Services Corp.		396,378
	59,804	The Commerce Group, Inc.		1,797,110
	55,200	The Navigators Group, Inc.*		2,650,152
	53,400	United Fire & Casualty Company		1,671,420
	193,000	Universal American Financial Corp.*		3,101,510
	7,400	Zenith National Insurance Corp.		295,186
				44,994,312
		Internet Services — 3.6%
	146,750	aQuantive, lnc.*(8)		3,466,235
	63,850	CheckFree Corp.*		2,638,282

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Internet Services (continued)
	302,830	CNET Networks, Inc.*(8)	$	2,901,111
	24,670	Ctrip.com International, Ltd, (ADR) (Cayman Islands)(8)		1,108,917
	38,100	Digital River, Inc.*		1,947,672
	227,100	EarthLink, Inc.*		1,651,017
	42,634	Equinix, Inc.*(8)		2,562,303
	199,300	eResearch Technology, Inc.*(8)		1,616,323
	101,550	j2 Global Communications, lnc.*(8)		2,759,114
	113,349	Marchex, Inc. — Class B*(8)		1,738,774
	383,700	Move, Inc.*		1,883,967
	74,720	Nutri/System, Inc.*(8)		4,654,308
	287,610	Online Resources Corp.*		3,523,222
	40,800	Priceline.com, Inc.*(8)		1,501,032
	178,550	RADVision, Ltd. (Israel)*		2,946,075
	12,710	Shutterfly, Inc.*		197,641
	214,600	SonicWALL, Inc.*		2,343,432
	12,000	Stamps.com, Inc.*		228,720
	52,500	The TriZetto Group, Inc.*		794,850
	8,400	TheStreet.com, Inc.		89,376
	199,300	United Online, Inc.		2,427,474
				42,979,845
		Leisure and Recreation — 1.4%
	259,980	Century Casinos, Inc.*(8)		2,584,201
	128,400	Dover Downs Gaming & Entertainment, Inc.		1,560,060
	23,600	Four Seasons Hotels, Inc. (Canada)(8)		1,506,860
	11,800	Interstate Hotels & Resorts, Inc.*		127,204
	31,350	Life Time Fitness, Inc.*		1,451,192
	47,700	Live Nation, Inc.*		974,034
	73,000	Monarch Casino & Resort, Inc.*		1,415,470
	130,360	Scientific Games Corp. — Class A*		4,145,448
	110,430	The9, Ltd. (ADR) (Cayman Islands)*(8)		2,363,202
				16,127,671
		Machinery — 1.5 %
	10,500	Applied Industrial Technologies, Inc.		256,200
	132,325	Bucyrus International, Inc. — Class A(8)		5,613,226
	13,000	Columbus McKinnon Corp.*		234,390
	199,934	Flow International Corp.*(8)		2,593,144
	43,380	Gardner Denver, Inc.*		1,435,010
	110,750	Joy Global, Inc.		4,165,308
	12,100	Middleby Corp.*(8)		932,426
	6,700	Nordson Corp.		267,062
	43,040	Regal-Beloit Corp.		1,872,240
				17,369,006
		Manufacturing — 4.2 %
	149,050	Acuity Brands, Inc.		6,766,870
	4,600	AEP Industries, Inc.*		192,970
	33,100	Albany International Corp. — Class A(8)		1,053,242
	68,700	AO Smith Corp.		2,708,841
	61,650	AptarGroup, Inc.		3,136,752

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Manufacturing (continued)
	80,500	Carlisle Companies, Inc.	$	6,770,050
	3,100	Ceradyne, Inc.*(8)		127,379
	7,800	CIRCOR International, Inc.		238,290
	5,200	Coherent, Inc.*		180,232
	137,650	Deswell Industries, Inc. (British Virgin Islands)		1,461,843
	5,200	EnPro Industries, Inc.*		156,312
	152,750	FLIR Systems, Inc.*(8)		4,148,690
	51,200	Freightcar America, Inc.(8)		2,713,600
	83,200	Furniture Brands International, Inc.(8)		1,584,128
	50,200	Harsco Corp.		3,898,030
	200,000	Hexcel Corp.*(8)		2,830,000
	33,200	Kaydon Corp.		1,229,064
	13,200	LSI Industries, Inc.		214,500
	98,900	Matthews International Corp. — Class A		3,640,509
	15,800	Mueller Water Products, Inc. — Class A*(8)		230,838
	56,300	PW Eagle, Inc.(8)		1,689,563
	19,900	Rofin-Sinar Technologies, Inc.*		1,209,323
	114,800	The Timken Company		3,418,744
				49,599,770
		Medical Equipment, Supplies, and Services — 7.6%
	180,260	American Medical Systems Holdings, Inc.*(8)		3,322,192
	156,800	AMERIGROUP Corp.*(8)		4,633,439
	200,510	AMN Healthcare Services, Inc.*		4,762,112
	91,700	AmSurg Corp.*(8)		2,041,242
	109,216	AngioDynamics, Inc.		2,261,863
	84,700	Apria Healthcare Group, Inc.*		1,671,978
	31,800	ArthroCare Corp.*(8)		1,490,148
	28,300	Bruker BioSdenccs Corp.*		198,383
	209,400	Centene Corp.*		3,442,536
	7,000	Conceptus, Inc.*		123,830
	77,900	CorVel Corp.*		2,732,732
	92,500	Covance, Inc.*		6,140,149
	16,500	DJ Orthopedics, Inc.*		685,245
	325,450	Five Star Quality Care, Inc.*		3,501,842
	1,400	Genesis HealthCare Corp.*(8)		66,682
	58,200	Haemonetics Corp.*		2,723,760
	71,750	HealthExtras, Inc.*		2,031,243
	108,390	Healthspring, Inc.*		2,086,508
	75,850	Healthways, Inc.*(8)		3,382,910
	28,500	ICON PLC (ADR) (Ireland)*		2,011,530
	13,400	ICU Medical, Inc.*		609,432
	54,795	Immucor, Inc.*		1,227,956
	9,500	inVentiv Health, Inc.*		304,285
	58,030	Kyphon, Inc.*		2,171,483
	15,200	Lincare Holdings, Inc.*		526,528
	64,800	Luminex Corp.*		1,181,304
	31,200	Magellan Health Services, Inc.*		1,329,120
	5,800	MedCath Corp.*		174,522
	8,100	Meridian Bioscience, Inc.		190,431
	47,400	Molina Healthcare, Inc.*		1,676,064

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Medical Equipment, Supplies, and Services (continued)
	150,600	NovaMed, Inc.*	$	1,186,728
	113,100	NuVasive, Inc.*(8)		2,274,441
	68,100	Odyssey HealthCare, Inc.*(8)		965,658
	441,910	Orthovita, Inc.*		1,542,266
	10,600	PDI, Inc.*		123,172
	71,241	PolyMedica Corp.(8)		3,049,827
	30,700	PSS World Medical, Inc.*(8)		613,693
	59,460	ResMed, Inc.*(8)		2,393,265
	4,000	Sierra Health Services, Inc.*		151,360
	19,800	STERIS Corp.		476,388
	99,500	Sunrise Senior Living, Inc.*		2,972,065
	56,400	Techne Corp.*		2,868,504
	75,550	The Cooper Companies, Inc.		4,041,925
	281,830	The Spectranetics Corp.*		3,297,411
	46,400	Thoratec Corp.*		724,304
	33,200	Universal Health Services, Inc. — Class B		1,989,676
	51,210	Vital Signs, Inc.		2,898,998
	16,000	Zoll Medical Corp.*		574,240
				90,845,370
		Metals and Mining — 1.8%
	115,200	AK Steel Holding Corp. *(8)		1,398,528
	49,600	Chaparral Steel Company*		1,689,376
	39,830	Dynamic Materials Corp. (8)		1,291,289
	91,800	Mueller Industries, Inc.		3,228,606
	293,150	Novelis, Inc. (Canada)(8)		7,501,708
	63,200	Olympic Steel, Inc.		1,571,152
	47,300	Ryerson Tull, Inc.(8)		1,035,397
	77,200	Steel Dynamics, Inc.		3,894,740
				21,610,796
		Office Equipment and Services — 0.4%
	66,150	Herman Miller, Inc.		2,262,992
	130,050	Knoll, Inc.		2,627,010
				4,890,002
		Office Equipment and Supplies — 0.1%
	57,700	Acco Brands Corp.*		1,284,402
		Oil, Coal and Gas — 5.7%
	70,140	Allis-Chalmers Energy, Inc.*		1,026,850
	45,100	Alon USA Energy, Inc.		1,329,999
	2,900	Basic Energy Services, Inc.*		70,760
	143,250	Cabot Oil & Gas Corp.		6,865,972
	225,750	Encore Acquisition Company*		5,494,755
	121,950	Energy Partners, Ltd.*(8)		3,006,068
	142,300	EXCO Resources, Inc.*		1,765,943
	52,200	Global Industries, Ltd.*		812,232
	228,200	Grey Wolf, Inc.*		1,524,376
	203,500	Harvest Natural Resources, Inc.*(8)		2,106,225
	113,600	Headwaters, lnc.*(8)		2,652,560

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Oil, Coal and Gas (continued)
	51,700	Helix Energy Solutions Group, Inc.*(8)	$	1,726,780
	25,270	Lufkin Industries, Inc.		1,337,288
	52,990	Maverick Tube Corp.*(8)		3,435,342
	125,354	Oceaneering International, Inc.*		3,860,903
	81,680	Oil States International, Inc.*		2,246,200
	79,700	ONEOK, Inc.		3,011,863
	47,550	Patterson- UTI Energy, Inc.		1,129,788
	8,400	Penn Virginia Corp.		532,644
	34,700	Range Resources Corp.		875,828
	17,400	Southwest Gas Corp.		579,768
	77,600	St Mary Land & Exploration Company (8)		2,848,696
	89,220	Superior Energy Services, Inc.*		2,342,917
	141,500	Swift Energy Company*(8)		5,917,530
	51,400	TETRA Technologies, Inc.*		1,241,824
	60,600	The Houston Exploration Company*		3,342,090
	19,800	W&T Offshore, Inc.		578,358
	24,810	W-H Energy Services, Inc.*		1,028,871
	122,000	Whiting Petroleum Corp.*(8)		4,892,200
				67,584,630
		Paper and Forest Products — 0.1%
	1,500	Neenah Paper, Inc.		51,345
	39,900	Rock-Tenn Company — Class A		790,020
				841,365
		Pharmaceuticals/Research and Development — 5.1 %
	6,700	Adams Respiratory Therapeutics, Inc.*		245,153
	136,800	Affymetrix, Inc.*		2,949,408
	127,000	Albany Molecular Research, Inc.*		1,188,720
	161,200	Alkermes, Inc.*		2,555,020
	148,400	Alpharma, Inc. - Class A		3,471,076
	40,850	Barr Pharmaceuticals, Inc.*		2,121,749
	38,900	BioMarin Pharmaceutical, Inc.*		553,547
	11,400	Bradley Pharmaceuticals, Inc.*(8)		181,488
	12,600	Caraco Pharmaceutical Laboratories, Ltd.*		128,016
	115,850	Cephalon, Inc.*(8)		7,153,737
	146,700	Cubist Pharmaceuticals, Inc. *(8)		3,189,258
	143,850	CV Therapeutics, Inc.*(8)		1,602,489
	142,050	Dendreon Corp.*(8)		634,964
	170,850	DepoMed, Inc.*(8)		697,068
	32,300	Digene Corp.*		1,393,745
	93,200	Endo Pharmaceuticals Holdings, Inc.*		3,033,660
	280,200	Enzon Pharmaceuticals, Inc.*		2,311,650
	5,800	Hi-Tech Pharmacal Company, Inc.*		73,312
	39,800	Human Genome Sciences, Inc.*(8)		459,292
	22,000	Kos Pharmaceuticals, Inc.*		1,087,240
	90,220	LifeCell Corp.*(8)		2,906,888
	9,500	Ligand Pharmaceuticals, Inc. — Class B*(8)		95,380
	440,100	Medarex, Inc.*		4,726,674
	20,562	Metabasis Therapeutics, Inc.*		115,558

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	38,700	New River Pharmaceuticals, Inc.*(8)	$	995,751
	17,200	Noven Pharmaceuticals, Inc.*		414,864
	101,000	Pain Therapeutics, Inc.*(8)		870,620
	198,172	Pharmaceutical Product Development, Inc.		7,072,759
	67,700	Regeneron Pharmaceuticals, Inc.*		1,062,213
	40,200	Replidyne, Inc.*		378,282
	11,600	Savient Pharmaceuticals, Inc.*		75,516
	73,400	Sciele Pharma, Inc.*(8)		1,382,856
	221,070	Solexa, Inc.*(8)		1,949,837
	130,750	Telik, Inc.*(8)		2,326,043
	80,300	Trimeris, Inc.*		706,640
				60,110,473
		Printing and Publishing — 0.5%
	226,100	Bowne & Company, Inc.		3,228,708
	1,100	Consolidated Graphics, Inc.*		66,187
	121,150	Valassis Communications, Inc.*(8)		2,138,298
				5,433,193
		Real Estate Development and Services — 0.1%
	21,600	Getty Realty Corp.(8)		632,448
		Real Estate Investment Trusts — 5.5 %
	176,150	Acadia Realty Trust		4,491,825
	1,500	Agree Realty Corp.		49,275
	21,100	Associated Estates Realty Corp.		326,417
	59,150	Cousins Properties, Inc.		2,023,522
	58,300	DiamondRock Hospitality Company		968,363
	271,400	Equity Inns, Inc.		4,320,688
	192,000	FelCor Lodging Trust, Inc.		3,849,600
	51,900	Franklin Street Properties Corp.		1,030,734
	52,100	Gramercy Capital Corp.		1,313,441
	82,600	Innkeepers USA Trust		1,345,554
	118,900	KKR Financial Corp.		2,917,806
	74,000	LTC Properties, Inc.		1,794,500
	73,250	Maguire Properties, Inc.		2,984,205
	62,500	Mid-America Apartment Communities, Inc.		3,826,250
	4,100	Mission West Properties, Inc.		46,781
	13,200	National Health Realty, Inc.		373,956
	84,400	National Retail Properties, Inc. (8)		1,823,040
	110,400	NorthStar Realty Finance Corp.		1,402,080
	164,400	OMEGA Healthcare Investors, Inc.		2,467,644
	41,600	Pennsylvania Real Estate Investment Trust		1,770,912
	79,250	PS Business Parks, Inc.		4,778,774
	65,500	RAIT Investment Trust		1,889,675
	143,250	Realty Income Corp.(8)		3,539,708
	2,900	Resource Capital Corp.		44,805
	13,900	Saul Centers, Inc.		625,500
	38,800	SL Green Realty Corp. (8)		4,333,960
	50,900	Sovran Self Storage, Inc.(8)		2,827,495
	52,600	Spirit Finance Corp.		610,686
	6,300	Tanger Factory Outlet Centers, Inc.		224,406

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Real Estate Investment Trusts (continued)
	25,300	Taubman Centers, Inc.	$	1,123,826
	195,150	U-Store-It Trust		4,187,919
	36,600	Washington Real Estate Investment Trust(8)		1,456,680
				64,770,027
		Registered Investment Companies — 0.5%
	206,100	Ares Capital Corp.		3,590,262
	27,100	iShares Russell 2000 Value Index Fund(8)		1,997,270
	22,100	MCG Capital Corp.		360,893
				5,948,425
		Retail— 1.2%
	204,700	Big Lots, Inc.*(8)		4,055,107
	4,300	Books-A-Million, Inc.		76,755
	200,750	Casey’s General Stores, Inc.		4,470,702
	56,150	Circuit City Stores, Inc.		1,409,927
	13,400	GameStop Corp. — Class A*(8)		620,152
	53,500	Longs Drug Stores Corp.		2,461,535
	17,500	The Pantry, Inc.*(8)		986,475
				14,080,653
		Retail: Restaurants — 1.8%
	71,000	Blinker International, Inc.		2,846,390
	38,800	CEC Entertainment, Inc.*		1,222,588
	78,100	Domino’s Pizza, Inc. (8)		2,003,265
	10,900	IHOP Corp.		505,215
	35,600	Jack in the Box, Inc.*		1,857,608
	26,450	Panera Bread Company — Class A*		1,540,713
	95,300	Papa John’s International, Inc.*		3,441,283
	37,800	PF Chang’s China Bistro, Inc.*(8)		1,312,038
	97,500	RARE Hospitality International, Inc.*		2,979,600
	176,625	Sonic Corp.*		3,993,491
				21,702,191
		Retail: Supermarkets— 0.0%
	23,300	Spartan Stores, Inc.		393,770
		Scientific and Technical Instruments — 0.5 %
	32,530	Cymer, Inc.*		1,428,392
	19,000	FEI Company*		401,090
	6,800	Molecular Devices Corp.*		125,732
	63,900	Varian, Inc.*		2,931,093
	32,600	Woodward Governor Company		1,093,404
				5,979,711
		Semiconductors — 3.3 %
	461,250	AlteraCorp.*		8,477,774
	297,050	Brooks Automation, Inc.*(8)		3,876,503

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Semiconductors (continued)
	101,800	Cree, Inc.*(8)	$	2,047,198
	11,800	Diodes, Inc.*		509,406
	7,000	Eagle Test Systems, Inc.*		115,640
	17,500	Hittite Microwave Corp.*		778,750
	37,700	Intersil Corp. — Class A		925,535
	591,300	Lattice Semiconductor Corp.*		4,032,666
	14,800	Mattson Technology, Inc.*		122,840
	21,200	MKS Instruments, Inc.*		430,572
	61,300	Netlogic Microsystems, Inc.*(8)		1,555,181
	84,150	Novellus Systems, Inc.*		2,327,589
	228,900	Pixelworks, Inc.*		675,255
	47,900	Semtech Corp.*		611,204
	83,400	Silicon Image, Inc.*		1,060,848
	88,300	Silicon Motion Technology Corp. (ADR) (Cayman Islands)*		1,468,429
	373,550	Skyworks Solutions, Inc.*		1,938,725
	211,150	Teradyne, Inc.*		2,778,734
	64,300	Varian Semiconductor Equipment Associates, Inc.*		2,359,810
	10,200	Veeco Instruments, Inc.*		205,530
	128,300	Volterra Semiconductor Corp.*(8)		2,084,875
	20,300	Zoran Corp.*		326,424
				38,709,488
		Telecommunications Equipment and Services — 3.9%
	37,000	Anaren, Inc.*		779,590
	104,300	Atheros Communications*(8)		1,890,959
	93,200	Atlantic Tele-Network, Inc.		1,722,336
	526,550	Avaya, Inc.*		6,023,732
	4,600	Cbeyond, Inc.*(8)		126,270
	96,600	Cincinnati Bell, Inc.*		465,612
	53,800	Commonwealth Telephone Enterprises, Inc.		2,218,174
	155,380	CommScope, Inc.*(8)		5,105,787
	21,500	Consolidated Communications Holdings, Inc.		402,265
	36,000	CT Communications, Inc.		781,920
	16,900	Digi International, Inc.*		228,150
	152,900	Ditech Networks, Inc.*		1,178,859
	115,200	FairPoint Communications, Inc.		2,004,480
	108,300	InterDigital Communications Corp.*(8)		3,693,030
	30,100	Iowa Telecommunications Services, Inc.		595,679
	17,900	North Pittsburgh Systems, Inc.		450,543
	470,850	Polycom, Inc.*		11,549,950
	653,200	RF Micro Devices, Inc.*		4,951,256
	4,000	Shenandoah Telecommunications Company		173,880
	25,000	Syniverse Holdings, Inc.*		375,000
	76,860	Time Warner Telecom, Inc. — Class A*		1,461,109
	14,100	USA Mobility, Inc.		322,044
	16,300	Windstream Corp.		214,997
				46,715,622
		Tools — 0.3%
	72.200	Snap-on, Inc.		3,216,510

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Toys—0.4%
	56,600	JAKKS Pacific, Inc.*{8)	$	1,009,178
	131,400	Marvel Entertainment, Inc.*(8)		3,171,996
				4,181,174
		Transportation — 1.1 %
	28,320	American Commercial Lines, Inc.*		1,683,624
	63,790	American Railcar Industries, Inc. (8)		1,856,927
	14,800	Atlas Air Worldwide Holdings, Inc.*		644,096
	30,300	EGL, Inc.*		1,104,132
	117,500	Genesee & Wyoming, Inc. — Class A*		2,728,350
	4,000	Landstar System, Inc.		170,800
	45,255	Old Dominion Freight Line, Inc.*		1,359,008
	7,900	PAM Transportation Services, Inc.*		197,974
	2,900	Saia, Inc.*		94,540
	5,300	Swift Transportation Company, Inc.*		125,716
	184,010	Vitran Corp., Inc. — Class A (Canada)*		3,404,185
				13,369,352
		Utilities— 2.0%
	51,950	Atrnos Energy Corp.		1,483,173
	35,300	Avista Corp.		835,904
	79,900	Black Hills Corp.		2,685,439
	5,700	Central Vermont Public Service Corp.		126,027
	12,900	Cleco Corp.		325,596
	37,150	New Jersey Resources Corp.		1,831,495
	106,600	Nicor, Inc. (8)		4,558,216
	226,450	PNM Resources, Inc.		6,243,226
	30,700	Unisource Energy Corp.		1,023,231
	74,300	Westar Energy, Inc.		1,746,793
	89,950	WGL Holdings, Inc.		2,819,033
				23,678,133
		Total Common Stocks (Cost $1,053,507,332)		1,152,964,788
Principal
		Short Term US Treasury Security— 0.1 %
		US Treasury Bill
$	750,000	4,76%, 12/14/06(5) (Cost $742,563)		742,563
		Securities Lending Collateral — 20.5%
	243,301,093	Securities Lending Collateral Investment (Note 3) (Cost $243,301,093)		243,301,093
		Total Securities (Cost $1,297,550,988)		1,397,008,444

See notes to portfolios of investments.

SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Repurchase Agreements — 3.0%
	$35,836,356	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $35,850,572 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.40%, due 03/01/33 - 02/01/34, with a total value of $21,804,188, various Government National Mortgage Associations, 4.50%-5.50%, due 08/20/29-03/20/32, with a total value of $7,556,985 and various Small Business Administrations, 8.13% - 8.63%, due 07/25/26 - 11/25/27, with a total value of $8,267,001) (Cost $35,836,356)	$	35,836,356
		Total Investments — 120.7% (Cost $1,333,387,344)		1,432,844,800
		Liabilities less other assets — (20.7)%		(245,488,053	)
		Net Assets— 100.0%	$	1,187,356,747

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $1,333,387,344.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	154,503,343
Gross unrealized depreciation		(55,045,887	)
Net unrealized appreciation	$	99,457,456

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks — 98.7%
		Advertising— 0.7%
	121,300	24/7 Real Media. Inc.*	$	1,035,902
		Aerospace and Defense — 1.4%
	40,000	K&F Industries Holdings, Inc.*		751,200
	18,300	Moog, Inc. — Class A*		634,278
	19,000	Teledyne Technologies, Inc.*		752,400
				2,137,878
		Airlines — 1.6%
	69,400	AirTran Holdings, Inc.*(8)		688,448
	23,800	Alaska Air Group, Inc.*		905,352
	30,800	SkyWest, Inc.		755,216
				2,349,016
		Apparel: Manufacturing and Retail — 4.2%
	49,000	Bebe Stores, Inc. (8)		1,214,220
	14,500	Carter’s, Inc.*		382,655
	16,100	Maidenform Brands, Inc.*		310,730
	29,200	Phillips-Van Heusen Corp.(8)		1,219,684
	11,700	The Children’s Place Retail Stores, Inc.*(8)		749,151
	27,100	The Men’s Wearhouse, Inc.		1,008,391
	21,700	Tween Brands, Inc.*		815,920
	22,300	Wolverine World Wide, Inc.		631,313
				6,332,064
		Automobile: Retail — 1.1%
	33,600	Copart, Inc.*		947,184
	30,700	Sonic Automotive, Inc.		708,863
				1,656,047
		Banks— 2.7%
	25,520	1st Source Corp.		753,350
	12,800	Greene County Bancshares, Inc.		467,968
	30,800	Hanmi Financial Corp.		603,680
	24,400	Prosperity Bancshares, Inc.		830,576
	17,300	TierOne Corp.		586,989
	13,300	Umpqua Holdings Corp.		380,380
	17,200	United Community Banks, Inc. — Georgia		516,860
				4,139,803
		Broadcast Services/Media — 0.3 %
	30,000	Cox Radio, Inc. — Class A*		460,500

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Business Services and Supplies—2.1%
	19,800	CRA International, Inc.*	$	943,668
	23,200	CSG Systems International, Inc.*		613,176
	29,000	Mobile Mini, Inc.*		823,890
	62,800	The Standard Register Company		828,960
				3,209,694
		Chemicals—1.9%
	14,300	Albemarle Corp.		776,919
	20,300	OM Group, Inc.*		891,982
	41,000	Sensient Technologies Corp.		802,370
	15,000	Spartech Corp.		401,550
				2,872,821
		Commercial Services—1.5%
	144,600	CBIZ, Inc.*		1,055,580
	27,600	Steiner Leisure, Ltd. (Bahama Islands)*		1,160,580
				2,216,160
		Computer Equipment, Software and Services—8.3%
	117,576	Actuate Corp.*		519,686
	32,800	Altiris, Inc.*		691,752
	19,400	ANSYS, Inc.*		857,092
	67,532	Aspen Technology, Inc.*(8)		737,449
	26,400	Avocent Corp.*(8)		795,168
	34,187	Blackbaud, Inc.		751,772
	31,000	COMSYS IT Partners, Inc.*		532,890
	41,500	Epicor Software Corp.		544,065
	21,800	Hyperion Solutions Corp.*		751,664
	69,700	Infocrossing, Inc.*(8)		934,677
	75,400	Interwoven, Inc.*		831,662
	64,600	Mentor Graphics Corp.*		909,568
	63,000	Omnicell, Inc.*		1,127,070
	54,900	Quest Software, Inc.*		783,972
	70,000	Radiant Systems, Inc.*		845,600
	63,900	SumTotal Systems, Inc.*		476,055
	26,886	The Ultimate Software Group, Inc.*		632,628
				12,722,770
		Construction Services and Supplies—2.2%
	74,400	Champion Enterprises, Inc.*		513,360
	20,417	Insituform Technologies, Inc. — Class A*(8)		495,725
	15,500	NCI Building Systems, Inc.*		901,635
	20,300	Simpson Manufacturing Company, Inc.(8)		548,709
	13,000	The Genlyte Group, Inc.*		925,600
				3,385,029
		Consumer Goods and Services—3.8%
	25,600	Fossil, Inc.*		551,424

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Consumer Goods and Services (continued)
	31,000	Jarden Corp.*(8)	$	1,022,070
	53,000	Kimball International, Inc. — Class B		1,022,900
	29,700	NBTY, Inc.*		869,319
	54,600	Prestige Brands Holdings, Inc.*		608,244
	37,700	Select Comfort Corp.*(8)		824,876
	18,600	The Toro Company		784,362
				5,683,195
		Correctional Facilities—0.5%
	18,150	Corrections Corp. of America*		784,988
		Distribution—0.4%
	105,500	Bell Microproducts, Inc.*		547,545
		Education—0.5%
	7,600	Strayer Education, Inc.(8)		822,396
		Electronics—3.4%
	76,918	Aeroflex, Inc.*		790,717
	41,100	Benchmark Electronics, Inc.*		1,104,768
	84,000	Cirrus Logic, Inc.*		612,360
	57,000	CTS Corp.		785,460
	25,892	Orbotech, Ltd. (Israel)*		613,640
	27,600	Technitrol, Inc.		823,860
	39,005	TTM Technologies, Inc.*		456,359
				5,187,164
		Energy Services—0.5%
	50,800	EnerSys*		814,832
		Engineering—0.3%
	8,200	EMCOR Group, Inc.*		449,688
		Environmental Waste Management and Recycling Services—0.3%
	13,700	Metal Management, Inc.		381,408
		Food and Beverage—0.5%
	47,400	M&F Worldwide Corp.*		696,780
		Insurance—6.2%
	18,600	Delphi Financial Group, Inc. — Class A		741,768
	17,100	FBL Financial Group, Inc. — Class A		572,337
	21,100	FPIC Insurance Group, Inc.*(8)		835,771
	28,500	Harleysville Group, Inc.		997,215
	31,100	Infinity Property & Casualty Corp.		1,279,143
	12,200	ProAssurance Corp.*		601,216
	20,700	Safety Insurance Group, Inc.		1,007,262
	16,100	Selective Insurance Group, Inc.		847,021
	25,600	The Commerce Group, Inc.		769,280
	19,800	Triad Guaranty, Inc.*		1,013,166

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Insurance (continued)
	20,700	Zenith National Insurance Corp.	$	825,723
				9,489,902
		Internet Services—5.3%
	164,100	Art Technology Group, Inc.*		420,096
	123,800	Harris Interactive, Inc.*		755,180
	86,400	LivePerson, Inc.*		463,968
	44,300	NETGEAR, Inc.*		912,137
	47,000	Packeteer, Inc.*		404,670
	26,800	Priceline.com, Inc.*(8)		985,972
	47,500	RADVision, Ltd. (Israel)*		783,750
	84,000	SonicWALL, Inc.*		917,280
	53,600	The TriZetto Group, Inc.*		811,504
	37,500	Vignette Corp.*		507,750
	26,300	WebEx Communications, Inc.*		1,026,226
				7,988,533
		Machinery—2.6%
	21,000	Columbus McKinnon Corp.*		378,630
	51,800	Flow International Corp.*(8)		671,846
	13,800	Gardner Denver, Inc.*		456,504
	19,100	Regal-Beloit Corp.		830,850
	37,200	Tennant Company		905,448
	27,400	Wabtec Corp.		743,362
				3,986,640
		Manufacturing—4.0%
	37,400	Advanced Energy Industries, Inc.*		637,296
	22,200	American Woodmark Corp.(8)		747,918
	7,100	Ameron International Corp.(8)		471,724
	9,700	AptarGroup, Inc.		493,536
	40,960	Barnes Group, Inc.		719,258
	19,000	CIRCOR International, Inc.		580,450
	17,700	Matthews International Corp. — Class A		651,537
	71,000	Power-One, Inc.*		514,040
	16,100	PW Eagle, Inc.(8)		483,161
	12,721	Rofin-Sinar Technologies, Inc.*		773,055
				6,071,975
		Medical Equipment, Supplies, and Services—9.4%
	40,700	Allscripts Healthcare Solutions, Inc.*(8)		913,715
	39,300	Aspect Medical Systems, Inc.*		670,851
	55,193	Bruker BioSciences Corp.*		386,903
	52,800	Five Star Quality Care, Inc.*		568,128
	15,910	Genesis HealthCare Corp.*		757,793
	33,200	Healthcare Services Group, Inc.		835,312
	29,700	Hologic, Inc.*(8)		1,292,544
	8,900	ICU Medical, Inc.*		404,772
	15,400	Illumina, Inc.*		508,816

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Medical Equipment, Supplies, and Services (continued)
	33,200	inVentiv Health, Inc.*	$	1,063,396
	22,200	LHC Group, Inc.*		495,504
	24,800	LifePoint Hospitals, Inc.*		875,936
	17,100	Matria Healthcare, Inc.*		475,209
	86,800	Natus Medical, Inc.*		1,184,820
	57,894	Phase Forward, Inc.*		691,254
	51,900	Res-Care, Inc.*		1,042,671
	20,130	SurModics, Inc.*(8)		706,966
	54,692	Third Wave Technologies*		245,020
	58,500	TriPath Imaging, Inc.*		528,255
	19,100	West Pharmaceutical Services, Inc.		750,057
				14,397,922
		Metals and Mining—1.6%
	37,500	Brush Engineered Materials, Inc.*		932,625
	8,300	Carpenter Technology Corp.		892,333
	123,700	Coeur d’Alene Mines Corp.*		582,627
				2,407,585
		Oil, Coal and Gas—5.4%
	7,631	Allis-Chalmers Energy, Inc.*(8)		111,718
	21,000	Alon USA Energy, Inc.		619,290
	26,800	Bill Barrett Corp.*(8)		658,208
	48,900	Callon Petroleum Company*		663,084
	9,300	Core Laboratories NV (the Netherlands)*		593,340
	7,300	Giant Industries, Inc.*		592,760
	62,100	Grey Wolf, Inc.*		414,828
	16,000	Helix Energy Solutions Group, Inc.*(8)		534,400
	51,000	Metretek Technologies, Inc.*(8)		608,940
	69,890	Petrohawk Energy Corp.*		725,458
	49,700	PetroQuest Energy, Inc.*		518,371
	21,800	Superior Energy Services, Inc.*		572,468
	15,100	Swift Energy Company*(8)		631,482
	10,400	TETRA Technologies, Inc.*		251,264
	18,900	World Fuel Services Corp.		764,505
				8,260,116
		Pharmaceuticals/Research and Development—4.8%
	68,700	Albany Molecular Research, Inc.*		643,032
	80,800	Arena Pharmaceuticals, Inc.*(8)		967,984
	14,700	Bradley Pharmaceuticals, Inc.*		234,024
	30,400	LifeCell Corp.*(8)		979,488
	19,800	New River Pharmaceuticals, Inc.*(8)		509,454
	11,190	PAREXEL International Corp.*		370,277
	62,000	PDL BioPharma, Inc.*(8)		1,190,400
	33,000	Pharmanet Development Group, Inc.*(8)		641,190
	22,200	Pharmion Corp.*		478,410
	44,800	Sciele Pharma, Inc.*(8)		844,032

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Pharmaceuticals/Research and Development (continued)
	7,800	United Therapeutics Corp.*	$	409,812
				7,268,103
		Printing and Business Products—0.4%
	29,900	Ennis, Inc.		647,335
		Retail—1.6%
	34,000	Haverty Furniture Companies, Inc.		542,300
	19,800	Longs Drug Stores Corp.		910,998
	35,711	Movado Group, Inc.		907,774
				2,361,072
		Retail: Restaurants—2.8%
	20,700	Bob Evans Farms, Inc.		626,796
	16,100	CBRL Group, Inc.		650,923
	12,900	Jack in the Box, Inc.*		673,122
	26,000	McCormick & Schmick’s Seafood Restaurants, Inc.*		584,740
	32,600	O’Charley’s, Inc.*		618,422
	21,586	RARE Hospitality International, Inc.*		659,668
	15,900	Sonic Corp.*		359,499
				4,173,170
		Retail: Supermarkets—1.2%
	28,700	Ingles Markets, Inc. — Class A		757,106
	60,000	Spartan Stores, Inc.		1,014,000
				1,771,106
		Rubber Products—0.3%
	29,814	Myers Industries, Inc.		506,838
		Scientific and Technical Instruments—0.5%
	16,200	Trimble Navigation, Ltd.*		762,696
		Security Services—0.7%
	41,800	Macrovision Corp.*		990,242
		Semiconductors—5.2%
	112,000	ANADIGICS, Inc.*(8)		801,920
	52,400	Brooks Automation, Inc.*(8)		683,820
	71,000	Genesis Microchip, Inc.*(8)		835,670
	137,500	Kopin Corp.*		460,625
	90,836	MIPS Technologies, Inc.*		613,143
	86,800	O2Micro International, Ltd. (ADR) (Cayman Islands)*		599,788
	55,500	Photronics, Inc.*		784,215
	60,000	Silicon Image, Inc.*		763,200
	22,600	Standard Microsystems Corp.*		642,292
	27,000	Tessera Technologies, Inc.*		939,060

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value
		Common Stocks (continued)
		Semiconductors (continued)
	146,900	TriQuint Semiconductor, Inc.*	$	763,880
				7,887,613
		Sporting Goods and Equipment—0.3%
	39,900	K2, Inc.*		468,027
		Telecommunications Equipment and Services—4.8%
	27,651	CommScope, Inc.*(8)		908,612
	76,600	Digi International, Inc.*		1,034,100
	67,500	Ditech Networks, Inc.*		520,425
	35,800	General Cable Corp.*		1,367,918
	32,300	NICE Systems, Ltd. (ADR) (Israel)*		893,741
	25,000	Oplink Communications, Inc.*		499,500
	67,068	Radyne Corp.*		820,912
	48,900	Sirenza Microdevices, Inc.*		386,310
	62,200	Symmetricom, Inc.*		501,954
	37,577	Tollgrade Communications, Inc*		336,314
				7,269,786
		Transportation—3.4%
	21,400	Dynamex, Inc.*		444,050
	51,900	Heartland Express, Inc.		813,792
	43,200	Hub Group, Inc. — Class A*		984,096
	33,400	Kansas City Southern*		912,154
	37,100	Knight Transportation, Inc.		628,845
	12,700	Old Dominion Freight Line, Inc.*		381,381
	17,800	OMI Corp. (Marshall Islands)(8)		386,438
	31,500	Werner Enterprises, Inc.		589,365
				5,140,121
		Total Common Stocks
		(Cost $142,774,980)		149,734,462

Principal
		Securities Lending Collateral—17.6%
$	26,634,834	Securities Lending Collateral Investment (Note 3) (Cost $26,634,834)	26,634,834
		Total Securities
		(Cost $169,409,814)	176,369,296

See notes to portfolios of investments.

SMALL-CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value
		Repurchase Agreements—1.9%
$	2,834,869	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $2,835,994 (Collateralized by Small Business Administration, 8.75%, due 01/25/17, with a value of $2,976,613) (Cost $2,834,869)	$	2,834,869
		Total Investments — 118.2% (Cost $172,244,683)		179,204,165
		Liabilities less other assets — (18.2)%		(27,654,517	)
		Net Assets — 100.0%	$	151,549,648

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $172,244,683.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	12,166,151
Gross unrealized depreciation		(5,206,669	)
Net unrealized appreciation	$	6,959,482

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks—98.1%
		Agriculture—0.6%
	11,951,000	Chaoda Modern Agriculture (Holdings), Ltd.	$	7,317,267	CAY
	26,800	Syngenta AG*		4,042,129	SWI
				11,359,396
		Airlines—1.5%
	1,040,905	British Airways PLC*		8,321,967	BRI
	3,537,400	Qantas Airways, Ltd.		10,308,419	AUS
	151,500	Ryanair Holdings PLC (ADR)*(8)		9,588,435	IRE
				28,218,821
		Apparel: Manufacturing and Retail—0.5%
	318,800	Benetton Group SpA		5,485,731	ITA
	96,661	Next PLC		3,431,442	BRI
				8,917,173
		Automobiles/Motor Vehicles and Automotive Equipment—6.0%
	127,500	Alpine Electronics, Inc.		1,787,429	JPN
	95,000	Calsonic Kansei Corp.		597,545	JPN
	244,600	DaimlerChrysler AG		12,223,604	GER
	1,550,000	Fuji Heavy Industries, Ltd.(8)		8,817,778	JPN
	10,200	Georg Fischer AG		4,780,039	SWI
	1,726,700	GKN PLC		9,286,754	BRI
	351,600	Honda Motor Company, Ltd.		11,816,737	JPN
	878,800	Nissan Motor Company, Ltd.		9,842,560	JPN
	290,500	Suzuki Motor Corp.(8)		7,377,778	JPN
	711,200	Toyota Motor Corp.		38,653,155	JPN
	104,788	Valeo SA(8)		3,737,814	FRA
	51,600	Volkswagen AG		4,395,680	GER
				113,316,873
		Banks—20.7%
	369,060	ABN AMRO Holding NV		10,763,690	NET
	610,144	Banco Bilbao Vizcaya Argentaria SA		14,119,899	SPA
	927,600	Banco Comercial Portugues SA — Class R		2,881,796	POR
	1,009,800	Banco Santander Central Hispano SA		15,967,547	SPA
	2,469,900	Barclays PLC		31,169,246	BRI
	395,851	BNP Paribas SA		42,591,209	FRA
	3,798,500	BOC Hong Kong (Holdings), Ltd.		8,532,504	HNG
	266,800	Canadian Imperial Bank of Commerce(8)		20,109,953	CDA
	571,500	Commonwealth Bank of Australia		19,486,707	AUS
	357,700	Credit Suisse Group		20,696,225	SWI
	169,200	Danske Bank A/S		6,654,507	DEN
	19,400	Deutsche Bank AG		2,340,952	GER
	83,901	Dexia		2,173,561	BEL
	250,800	DNB NOR ASA		3,070,346	NOR
	142,386	Erste Bank der oesterreichischen Sparkassen AG		8,865,131	AST
	89,200	ForeningsSparbanken AB		2,647,462	SWE
	367,000	Fortis		14,896,633	BEL
	1,107,700	HBOS PLC		21,922,202	BRI
	253,800	Laurentian Bank of Canada(8)		6,528,070	CDA
	2,574,600	Lloyds TSB Group PLC		26,006,880	BRI

See notes to portfolios of investments.

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Banks (continued)
	231,600	National Bank of Canada(8)	$	12,639,320	CDA
	1,472,300	Nordea Bank AB		19,287,378	SWE
	462,300	SanPaolo IMI SpA		9,760,555	ITA
	794,000	Shinsei Bank, Ltd.		4,839,619	JPN
	153,700	Societe Generale(8)		24,459,860	FRA
	388,346	Standard Chartered PLC		9,946,997	BRI
	511,361	UBS AG		30,588,830	SWI
				392,947,079
		Broadcast Services/Media—0.8%
	170,500	Rogers Communications, Inc. — Class B		9,335,361	CDA
	143,800	Vivendi Universal SA		5,184,085	FRA
				14,519,446
		Business Services and Supplies—0.3%
	1,220,000	Marubeni Corp.		6,072,889	JPN
		Chemicals—1.6%
	45,100	Akzo Nobel NV		2,778,244	NET
	6,140	Arkema*		289,711	FRA
	56,300	Ciba Specialty Chemicals AG		3,399,296	SWI
	264,800	Methanex Corp.(8)		6,417,743	CDA
	1,102,800	Mitsubishi Chemical Holdings Corp.		6,908,546	JPN
	171,800	Nova Chemicals Corp.(8)		5,264,281	CDA
	597,500	Sumitomo Bakelite Company, Ltd.(8)		4,511,915	JPN
				29,569,736
		Computer Equipment, Software and Services—1.4%
	1,137,600	CGI Group, Inc.*		7,449,995	CDA
	120,000	High Tech Computer Corp.		3,176,071	TWN
	656,248	Logitech International SA		14,248,577	SWI
	66,900	Open Text Corp.*		1,197,048	CDA
				26,071,691
		Construction Services and Supplies—2.2%
	353,700	Barratt Developments PLC		7,059,587	BRI
	8,800	Cementos Portland Valderrivas SA		942,922	SPA
	15,600	Ciments Francais SA		2,474,676	FRA
	139,900	Compagnie de Saint-Gobain		10,147,291	FRA
	644,700	George Wimpey PLC		6,252,799	BRI
	543,700	Hanson PLC		7,874,204	BRI
	43,500	Lafarge SA		5,615,306	FRA
	91,000	Maeda Road Construction Company, Ltd.		659,437	JPN
				41,026,222
		Consumer Goods and Services—2.7%
	302,100	Electrolux AB — Series B(8)		4,905,727	SWE
	129,600	Husqvarna AB — Class B*		1,525,351	SWE
	3,379	Japan Tobacco, Inc.		13,129,828	JPN
	279,245	Reckitt Benckiser PLC		11,575,774	BRI

See notes to portfolios of investments.

 

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Consumer Goods and Services (continued)
	246,509	Swatch Group AG	$	9,561,107	SWI
	593,800	Swedish Match AB		9,662,828	SWE
				50,360,615
		Diversified Operations and Services—1.0%
	189,300	BASF AG		15,158,644	GER
	334,000	Sumitomo Corp.		4,164,927	JPN
				19,323,571
		Electronics—2.9%
	2,061,800	Hon Hai Precision Industry Company, Ltd.		12,552,389	TWN
	209,000	Hosiden Corp.(8)		2,432,804	JPN
	497,957	Koninklijke (Royal) Philips Electronics NV		17,471,789	NET
	21,515	Samsung Electronics Company, Ltd.		15,097,448	KOR
	623,000	Toshiba Corp.(8)		4,039,941	JPN
	810,100	Toshiba Tec Corp.		3,785,610	JPN
				55,379,981
		Engineering—0.3%
	246,013	SNC-Lavalin Group, Inc.		6,329,979	CDA
		Financial Services—5.9%
	535,600	Alliance & Leicester PLC		10,890,741	BRI
	983,100	Bradford & Bingley PLC		8,706,545	BRI
	1,204,000	Daiwa Securities Group, Inc.		14,045,392	JPN
	35,047	Deutsche Boerse AG		5,270,744	GER
	61,110	Euronext NV		5,939,650	NET
	226,900	Hitachi Capital Corp.		4,321,905	JPN
	319,800	Irish Life & Permanent PLC		8,013,122	IRE
	1,187,226	Man Group PLC		9,958,604	BRI
	51,800	Muenchener Rueckversicherungs-Gesellschaft AG		8,191,575	GER
	178,000	Namco Bandhai Holdings, Inc.		2,798,273	JPN
	521,600	Nomura Holdings, Inc.		9,184,576	JPN
	31,100	Orix Corp.		8,596,106	JPN
	132,700	Promise Company, Ltd.		5,279,915	JPN
	38,300	Sanyo Shinpan Finance Company, Ltd.		1,530,379	JPN
	119,100	Sun Life Financial, Inc.(8)		4,885,471	CDA
	98,300	Takefuji Corp.		4,510,358	JPN
				112,123,356
		Food and Beverage—3.0%
	585,700	Asahi Breweries, Ltd.		8,538,204	JPN
	55,500	Fomento Economico Mexicano, SA de CV (ADR)		5,380,170	MEX
	130,064	Groupe Danone		18,257,491	FRA
	50,050	Nestle SA		17,451,158	SWI
	1,537,300	Northern Foods PLC		2,590,527	BRI
	389,900	Tate & Lyle PLC		5,252,561	BRI
				57,470,111

See notes to portfolios of investments.

 

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Insurance—5.9%
	122,213	Admiral Group PLC	$	1,896,963	BRI
	51,231	Allianz AG		8,866,214	GER
	874,200	Aviva PLC		12,816,210	BRI
	91,100	CNP Assurances		8,837,231	FRA
	1,939,300	Friends Provident PLC		7,026,079	BRI
	516,000	ING Groep NV(8)		22,698,146	NET
	1,003,300	Milano Assicurazioni SpA		7,423,489	ITA
	1,472,000	Old Mutual PLC		4,616,466	BRI
	1,467,700	Promina Group, Ltd.		6,486,689	AUS
	5,458,900	Royal & Sun Alliance Insurance Group PLC		15,229,247	BRI
	94,700	Swiss Re		7,247,623	SWI
	36,300	Zurich Financial Services AG		8,919,329	SWI
				112,063,686
		Internet Services—0.3%
	31,800	Baidu.com, Inc. (ADR)*(8)		2,783,772	CAY
	9,258	Rakuten, Inc.		3,628,744	JPN
				6,412,516
		Leisure and Recreation—1.4%
	328,534	Aristocrat Leisure, Ltd.		3,452,475	AUS
	2,636,195	EMI Group PLC		13,129,440	BRI
	128,685	Greek Organisation of Football Prognostics SA		4,324,244	GRC
	255,300	TUI AG(8)		5,270,376	GER
				26,176,535
		Machinery—1.2%
	148,400	MAN AG		12,559,041	GER
	150,000	Mori Seiki Company, Ltd.(8)		2,863,492	JPN
	15,900	Rieter Holding AG		6,847,255	SWI
				22,269,788
		Manufacturing—0.6%
	704,000	Kurabo Industries, Ltd.		1,913,092	JPN
	725,000	Nippon Paint Company, Ltd.		3,774,603	JPN
	1,155,936	Tomkins PLC		5,124,020	BRI
				10,811,715
		Medical Equipment, Supplies, and Services—0.4%
	72,985	Essilor International SA CIE Generale D’Optique		7,473,302	FRA
		Metals and Mining—4.1%
	1,257,100	BlueScope Steel, Ltd.		6,071,220	AUS
	200,900	Cameco Corp.(8)		7,346,913	CDA
	37,300	Norddeutsche Affinerie AG		898,667	GER
	331,500	Rautaruukki Oyj		9,521,122	FIN
	76,700	Russel Metals, Inc.		1,852,740	CDA
	82,845	Salzgitter AG		7,785,374	GER

See notes to portfolios of investments.

 

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Metals and Mining (continued)
	308,300	Sims Group, Ltd.	$	4,756,363	AUS
	341,100	ThyssenKrupp AG		11,492,371	GER
	86,171	Vallourec SA(8)		20,094,595	FRA
	165,600	voestalpine AG		6,839,344	AST
				76,658,709
		Office Equipment and Services—0.5%
	45,000	Brother Industries, Ltd.		565,714	JPN
	315,000	Ricoh Company, Ltd.		6,266,667	JPN
	3,314,500	TPV Technology, Ltd.		3,148,300	HNG
				9,980,681
		Oil, Coal and Gas—6.3%
	1,176,600	BP PLC		12,821,501	BRI
	988,200	Cosmo Oil Company, Ltd.(8)		4,074,103	JPN
	635,400	Eni SpA		18,829,652	ITA
	1,702,000	Nippon Oil Corp.		12,535,365	JPN
	227,500	Norsk Hydro ASA		5,080,459	NOR
	2,114,000	Osaka Gas Company, Ltd.		7,373,274	JPN
	287,000	Repsol YPF SA		8,541,445	SPA
	1,009,100	Royal Dutch Shell PLC — Class B		34,254,612	BRI
	57,850	Statoil ASA		1,367,230	NOR
	245,600	Total SA		16,116,662	FRA
				120,994,303
		Paper and Forest Products—0.7%
	564,000	Hokuetsu Paper Mills, Ltd.(8)		3,423,391	JPN
	301,800	Norbord, Inc.		2,176,254	CDA
	1,263,000	Oji Paper Company, Ltd.(8)		6,917,765	JPN
				12,517,410
		Pharmaceuticals/Research and Development—3.8%
	257,337	AstraZeneca PLC		16,083,315	BRI
	275,600	Biovail Corp.		4,191,635	CDA
	318,100	Daiichi Sanyko Company, Ltd.		9,021,249	JPN
	220,500	Eisai Company, Ltd.		10,658,667	JPN
	455,400	Elan Corp. PLC (ADR)*(8)		7,004,052	IRE
	173,800	GlaxoSmithKline PLC		4,627,393	BRI
	35,512	Roche Holding AG		6,139,945	SWI
	90,519	Sanofi-Aventis		8,057,740	FRA
	476,000	Tanabe Seiyaku Company, Ltd.		5,963,852	JPN
	5,228	UCB SA		332,463	BEL
				72,080,311
		Printing and Publishing—1.0%
	474,200	Quebecor World, Inc.(8)		4,942,456	CDA
	739,613	Reed Elsevier PLC		8,205,025	BRI

See notes to portfolios of investments.

 

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Printing and Publishing (continued)
	439,000	Toppan Printing Company, Ltd.	$	4,868,487	JPN
				18,015,968
		Real Estate Development and Services—2.1%
	417,181	British Land Company PLC		10,654,325	BRI
	5,964,000	Shun Tak Holdings, Ltd.		7,027,593	HNG
	388,000	Sumitomo Realty & Development Company, Ltd.		11,397,756	JPN
	50,453	Unibail(8)		10,600,977	FRA
				39,680,651
		Retail—3.9%
	766,184	Boots Group PLC		11,117,876	BRI
	3,160,932	Carphone Warehouse PLC		18,184,195	BRI
	1,957,355	Debenhams PLC*		6,660,872	BRI
	1,912,500	Dixons Group PLC		7,842,104	BRI
	590,900	JJB Sports PLC		2,068,915	BRI
	90,433	KarstadtQuelle AG(8)		2,150,129	GER
	1,539,077	Kesa Electricals PLC		9,387,108	BRI
	96,311	PPR		14,276,665	FRA
	10,300	Valora Holding AG		2,396,977	SWI
				74,084,841
		Retail: Restaurants—0.2%
	112,200	Plenus Company, Ltd.		3,029,994	JPN
		Retail: Supermarkets—0.9%
	2,644,582	Tesco PLC		17,825,699	BRI
		Semiconductors—1.7%
	6,202,155	ARM Holdings PLC		13,644,811	BRI
	443,950	ASML Holding NV*		10,380,813	NET
	194,900	Elpida Memory, Inc.*		8,843,716	JPN
				32,869,340
		Telecommunications Equipment and Services—5.6%
	336,400	America Movil SA de CV — Series L (ADR)		13,244,068	MEX
	4,593,000	BT Group PLC		23,047,206	BRI
	487,500	China Mobile, Ltd.		3,444,754	HNG
	277,800	Deutsche Telekom AG		4,417,394	GER
	159,600	Elcoteq Network Corp. — Class A		2,224,165	FIN
	1,765,000	MobileOne, Ltd.		2,344,813	SIN
	2,600	Nippon Telegraph and Telephone Corp.		12,766,138	JPN
	8,407	NTT DoCoMo, Inc.		12,953,007	JPN
	180,300	Research In Motion, Ltd.		18,509,598	CDA
	20,800	Swisscom AG		6,923,907	SWI
	1,646,500	Vodafone Group PLC		3,768,753	BRI

See notes to portfolios of investments.

 

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Shares			Value		Country
		Common Stocks (continued)
		Telecommunications Equipment and Services (continued)
	395,600	VTech Holdings, Ltd.	$	2,031,153	BER
				105,674,956
		Toys—0.9%
	79,900	Nintendo Company, Ltd.		16,463,628	JPN
		Transportation—0.5%
	2,535,000	Neptune Orient Lines, Ltd.		3,240,076	SIN
	1,367,100	Orient Overseas International, Ltd.		5,562,702	BER
				8,802,778
		Utilities—4.7%
	95,900	ATCO, Ltd. — Class I		3,631,802	CDA
	118,900	Chubu Electric Power Company, Inc.		3,090,142	JPN
	500,900	Endesa SA		21,309,827	SPA
	1,130,300	Energias de Portugal SA		4,901,807	POR
	314,200	Hokkaido Electric Power Company, Inc.		7,620,597	JPN
	248,000	Kyushu Electric Power Company, Inc.		5,857,524	JPN
	288,892	Scottish Power PLC		3,524,009	BRI
	222,700	Shikoku Electric Power Company, Inc.		4,854,624	JPN
	604,300	The Kansai Electric Power Company, Inc.		13,940,466	JPN
	600	Toho Gas Company, Ltd.		2,580	JPN
	332,610	Veolia Environment		20,080,285	FRA
				88,813,663
		Total Common Stocks (Cost $1,515,537,327)		1,855,707,413
		Rights—0.0%
		Automobiles/Motor Vehicles and Automotive Equipment
	390,900	TI Automotive, Ltd. — Class A*(14) (Cost $0)		—	BRI
Principal
		Securities Lending Collateral—9.2%
$	174,507,456	Securities Lending Collateral Investment (Note 3) (Cost $174,507,456)		174,507,456	USA
		Total Securities (Cost $1,690,044,783)		2,030,214,869

See notes to portfolios of investments.

 

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

Principal			Value			Country
		Repurchase Agreements—1.1%
$	20,484,715	With Investors Bank and Trust, dated 09/29/06, 4.76%, due 10/02/06, repurchase proceeds at maturity $20,492,841 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 3.80%, due 10/01/33, with a value of $13,059,415 and various Small Business Administrations, 8.38%-8.88%, due 10/25/22-09/25/23, with a total value of $8,449,537) (Cost $20,484,715)	$	20,484,715		USA
		Total Investments — 108.4% (Cost $1,710,529,498)		2,050,699,584
		Liabilities less other assets — (8.4)%		(158,912,328	)
		Net Assets — 100.0%	$	1,891,787,256

The aggregate cost of securities for federal income tax purposes at September 30, 2006 is $1,710,529,498.

The following amounts are based on cost for federal income tax purposes:

Gross unrealized appreciation	$	373,651,298
Gross unrealized depreciation		(33,481,212	)
Net unrealized appreciation	$	340,170,086

See summary of footnotes and abbreviations to portfolios.

See notes to portfolios of investments.

INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)

September 30, 2006
(Unaudited)

	Percent of Total
Country Composition	Investments at Value
Australia (AUS)		2.46	%
Austria (AST)		0.77
Belgium (BEL)		0.85
Bermuda (BER)		0.52
Canada (CDA)		5.98
Cayman Islands (CAY)		0.49
Denmark (DEN)		0.32
Finland (FIN)		0.64
France (FRA)		10.64
Germany (GER)		4.92
Greece (GRC)		0.21
Hong Kong (HNG)		0.93
Ireland (IRE)		1.20
Italy (ITA)		2.02
Japan (JPN)		18.17
Mexico (MEX)		0.91
Norway (NOR)		0.46
Portugal (POR)		0.38
Singapore (SIN)		0.27
South Korea (KOR)		0.74
Spain (SPA)		2.97
Sweden (SWE)		1.85
Switzerland (SWI)		6.98
Taiwan (TWN)		0.77
The Netherlands (NET)		3.41
United Kingdom (BRI)		21.63
United States (USA)		9.51
Total Percentage		100.00	%

See notes to portfolios of investments.

DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO OF INVESTMENTS

SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS

September 30, 2006
(Unaudited)

Footnotes:

*	Non-income producing security.
144A	Security is exempt from registration under Rule 144A of the Securities Act of 1933. It may be resold in a transaction exempt from registration, normally to qualified institutional buyers.

1)	Variable rate security. The rate shown was in effect at September 30, 2006.
2)	Quarterly reset provision. The rate shown was in effect at September 30, 2006.
3)	Monthly reset provision. The rate shown was in effect at September 30, 2006.
4)	Security is segregated as collateral for written options.
5)	Security is segregated as initial margin for futures contracts.
6)	Security is segregated as collateral for swap contracts.
7)	Represents a zero coupon bond which will convert to an interest bearing security at a later date.
8)	All or part of this security is on loan.
9)	Bond is in default.
10)	Variable rate security. Interest rate is based on the credit rating of the issuer. The rate shown was in effect at September 30, 2006.
11)	Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate (“LIBOR”). The rate shown was in effect at September 30, 2006.
12)	PIK (“Payment-In-Kind”) bond. These bonds pay interest in the form of additional bonds.
13)	Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy.
14)	Fair valued at September 30, 2006.
	Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at September 30, 2006.

Series	Market Value		Percentage
High Quality Bond	$	2,499,370		0.30	%
High Yield Bond		3,352,626		0.72

15)	Principal amount for this security is denominated in Australian Dollars.
16)	Principal amount for this security is denominated in Canadian Dollars.
17)	Principal amount for this security is denominated in Danish Krone.
18)	Principal amount for this security is denominated in Euros.
19)	Principal amount for this security is denominated in Japanese Yen.
20)	Principal amount for this security is denominated in Mexican Pesos.
21)	Principal amount for this security is denominated in New Zealand Dollars.
22)	Principal amount for this security is denominated in Swedish Krona.
23)	Principal amount for this security is denominated in Swiss Francs.
24)	Principal amount for this security is denominated in Taiwan Dollars.

DIVERSIFIED INVESTORS PORTFOLIOS
PORTFOLIO OF INVESTMENTS

SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS (Continued)

September 30, 2006
(Unaudited)

Abbreviations:

ADR American Depository Receipt.

FDR Foreign Depository Receipt.

GDR Global Depository Receipt.

TBA To be assigned. Securities are purchased on a forward commitment basis with approximate principal amount (generally +/- 1.0%) and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned.

• Securities issued by companies registered outside the United States are denoted with their domestic country in parenthesis.

• Fixed income securities designated as “perpetual” are securities that make (or are scheduled to make) a steady payment of interest. They do not have a maturity date, and the interest payments are indefinite.

• Footnotes and abbreviations may or may not appear in each portfolio of investments.

See notes to portfolios of investments.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS
(Unaudited)

1. Organization and Business

Diversified Investors Portfolios (the “Series Portfolio”), a series trust organized on September 1, 1993, under the laws of the State of New York, is composed of eighteen different series that are, in effect, separate investment funds: the Money Market Portfolio, the High Quality Bond Portfolio, the Intermediate Government Bond Portfolio, the Core Bond Portfolio, the Total Return Bond Portfolio, the High Yield Bond Portfolio, the Balanced Portfolio, the Value & Income Portfolio, the Value Portfolio, the Growth & Income Portfolio, the Equity Growth Portfolio, the Aggressive Equity Portfolio, the Mid-Cap Value Portfolio, the Mid-Cap Growth Portfolio, the Small-Cap Value Portfolio, the Special Equity Portfolio, the Small-Cap Growth Portfolio, and the International Equity Portfolio (each a “Series”). The Declaration of Trust permits the Board of Trustees to issue an unlimited number of beneficial interests in each Series. Investors in a Series (e.g., investment companies, insurance company separate accounts and common and commingled trust funds) will each be liable for all obligations of that Series (and of no other Series).

The investment objectives of each Series are as follows:

Money Market – The Series’ goal is to provide liquidity and as high a level of income as is consistent with the preservation of capital.

High Quality Bond – The Series’ goal is to provide a high risk-adjusted return while focusing on the preservation of capital.

Intermediate Government Bond – The Series’ goal is to provide as high a level of current income as is consistent with the preservation of capital.

Core Bond – The Series’ goal is to achieve maximum total return.

Total Return Bond – The Series’ goal is to maximize long-term total return.

High Yield Bond – The Series’ goal is to provide a high level of current income.

Balanced – The Series’ goal is to provide a high total investment return through investment in a broadly diversified portfolio of stocks, bonds and money market instruments.

Value & Income – The Series’ goal is to provide a high level of current income through investment in a broadly diversified portfolio of common stocks with relatively high current yield. Capital appreciation is a secondary goal.

Value – The Series’ goal is to provide capital appreciation. Dividend income is a secondary goal.

Growth & Income – The Series’ goal is to provide capital appreciation and current income.

Equity Growth – The Series’ goal is to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks with a potential for above-average growth in earnings. Current income is a secondary goal.

Aggressive Equity – The Series’ goal is to provide a high level of capital appreciation primarily through investing in a diversified portfolio of common stocks.

Mid-Cap Value – The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

Mid-Cap Growth – The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

Small-Cap Value – The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

Special Equity – The Series’ goal is to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks of small to medium size companies.

Small-Cap Growth – The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

1. Organization and Business (continued)

International Equity – The Series’ goal is to provide a high level of long –term capital appreciation through investment in a diversified portfolio of securities of foreign issuers.

2. Significant Accounting Policies

A. Security Valuation:

Short-term securities having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value. The amortized cost of a security is determined by valuing it at original cost and thereafter amortizing any discount or premium at a constant rate until maturity. Equity securities are valued at the last sale price on the exchange on which they are primarily traded or at the last quoted bid price for securities in which there were no sales during the day or for unlisted securities. Portfolio securities listed on the NASDAQ National Market and NASDAQ Small Cap Market for which reliable market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price. Bonds are valued at the mean of the last available bid and asked prices by an independent pricing service. Futures and option contracts that are traded on commodities or securities exchanges are normally valued at the last settlement price on the exchange on which they are traded. When valuations are not readily available, securities will be valued at, their fair value as determined by the Board of Trustees. Unlisted securities are valued at the last sales price provided by an independent pricing agent or the principal market maker.

Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. Events or circumstances affecting the values of portfolio securities that occur between the closing of their principal markets and the time the net asset value is determined may be reflected in the calculation of net asset value when the investment advisor deems that the particular event or circumstance would materially affect its asset value. In accordance with procedures adopted by the Board of Trustees, the International Equity Series applies fair value pricing on a daily basis for all non-US and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Series’ investment advisor determines that use of another valuation methodology is appropriate.

B. Repurchase Agreements:

Each Series, along with other affiliated entities of the investment advisor, may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Series’ investment advisor, subject to the seller’s agreement to repurchase and the Series agreement to resell such securities at a mutually agreed upon price. Securities purchased subject to repurchase agreements are segregated at the custodian and, pursuant to the terms of the repurchase agreements, must have an aggregate market value greater than or equal to 102% for domestic securities and 105% for international securities of the repurchase price at all times. If the value of the underlying securities falls below the value of the repurchase price, the Series will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met or the seller defaults on its repurchase obligation, the Series maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller. However, in the event of default or bankruptcy by the seller, realization and/or retention of the collateral may be subject to legal proceedings.

C. Foreign Currency Translation:

The accounting records of each Series are maintained in US dollars. The market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated to US dollars based on the prevailing exchange rates each business day. Income, expenses, purchases, and sales of investment securities denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred.

Each Series does not isolate realized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

gains or losses on securities. Net realized gains and losses on foreign currency transactions represent net foreign exchange gains and losses on disposition of foreign currencies and foreign currency forward and spot contracts, and the difference between the amount of investment income receivable and foreign withholding taxes payable recorded on each Series’ books and the US dollar equivalent of amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities (other than investments in securities) and foreign currency forward and spot contracts, resulting from changes in the prevailing exchange rates.

D. Foreign Currency Forward, Spot, and Cross Currency Contracts:

Each Series, with the exception of the Money Market Series, may enter into foreign currency forward contracts, spot, and cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with those series that participate in such contracts. A foreign currency forward contract is an agreement between two parties to buy and sell a currency at a set price on a future date. A spot contract is also an agreement to buy and sell a currency, but will settle within a week or less from the date it is entered into. The market value of a foreign currency forward, spot, or cross currency contract fluctuates with changes in forward currency exchange rates. Foreign currency forward, spot, and cross currency contracts are marked to market daily and the change in value is recorded by the Series as an unrealized foreign exchange gain or loss. When a foreign currency forward, spot, or cross currency contract is extinguished, through delivery or by entering into another offsetting foreign currency forward, spot, or cross currency contract, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. In addition, the Series could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.

As of September 30, 2006, the Core Bond Series, Total Return Bond Series, Balanced Series, and International Equity Series each had outstanding foreign currency forward or cross currency contracts as listed in Note 4.

E. Written Options:

Each Series, with the exception of the Money Market Series, may write or purchase options for the purpose of either hedging its exposure to the market fluctuations of the portfolio, or an individual security position. When a Series writes an option, an amount equal to the premium received by the Series is recorded as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. These options are settled for cash and subject the Series to unlimited risk of loss. The Series, however, is not subject to credit risk on written options, as the counterparty has already performed its obligation by paying the premium at the inception of the contract. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Series realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

Transactions in options written for the period ended September 30, 2006 were as follows:

							Total Return
	Core Bond						Bond
	Number of						Number of
	Contracts			Premiums			Contracts			Premiums
Written call options outstanding at December 31, 2005		172		$	98,503			—		$	—
Call options written		364			176,543			232			72,160
Call options terminated in closing purchase transactions		(536	)		(275,046	)		(209	)		(61,416	)
Call options expired		—			—			—			—
Written call options outstanding at September 30, 2006		—			—			23		$	10,744
Written put options outstanding at December 31, 2005		172		$	87,812			—		$	—
Put options written		570			236,920			144			37,890
Put options terminated in closing purchase transactions		(536	)		(276,574	)		(131	)		(33,064	)
Put options expired		—			—			—			—
Written put options outstanding at September 30, 2006		206		$	48,158			13		$	4,826

	Balanced
	Number of
	Contracts			Premiums
Written call options outstanding at December 31, 2005		—		$	—
Call options written		429			141,098
Call options terminated in closing purchase transactions		(390	)		(122,871	)
Call options expired		—			—
Written call options outstanding at September 30, 2006		39		$	18,227
Written put options outstanding at December 31, 2005		—		$	—
Put options written		320			82,057
Put options terminated in closing purchase transactions		(299	)		(74,271	)
Put options expired		—			—
Written put options outstanding at September 30, 2006		21		$	7,786

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

F. Futures Contracts:

Each Series, with the exception of the Money Market Series, may enter into futures contracts for the purpose of hedging its existing portfolio securities, or securities that the Series intends to purchase, against fluctuations in market value caused by changes in prevailing market or interest rates. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the daily market value of the contract.

Variation margin payments are received or made by each Series each day, depending upon the daily fluctuations in the market value of the underlying instrument. Each Series recognizes an unrealized gain or loss equal to the daily variation margin. When the contract is closed, the Series records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the basis in the contract.

Should market conditions move unexpectedly, the Series may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets.

Use of short futures contracts subjects the Series to unlimited risk of loss. The Series may enter into futures contracts on exchanges or boards of trade. In that case, the exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Series’ credit risk is limited to failure of the exchange or board of trade.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

2.  Significant Accounting Policies (continued)

Open futures contracts as of September 30, 2006:

				Value as of		Net Unrealized
	Number of		Expiration	September 30,		Appreciation/
Series	Contracts	Description	Date	2006		(Depreciation)
Core Bond	1,354 Long	US Treasury Note 10 Year Future	December 2006	$	146,316,625	$	1,418,627
	1,333 Long	US Long Bond Future	December 2006		149,837,531		2,364,368
	442 Short	90 Day Euro Future	June 2007		104,958,425		(82,426	)
	3,384 Short	US Treasury Note 5 Year Future	December 2006		357,064,875		(1,310,356	)
						$	2,390,213
Total Return Bond	8 Long	90 Day Euro Future	June 2007	$	1,899,700	$	3,860
	35 Long	US Treasury Note 2 Year Future	December 2006		7,157,500		14,840
	108 Long	US Treasury Note 5 Year Future	December 2006		11,395,688		83,525
	103 Short	US Treasury Note 10 Year Future	December 2006		11,130,438		(47,618	)
	9 Short	US Long Bond Future	December 2006		1,011,656		(14,272	)
						$	40,335
Balanced	15 Long	90 Day Euro Future	June 2007	$	3,561,938	$	7,238
	4 Long	S&P 500 Future	December 2006		269,100		3,842
	68 Long	US Treasury Note 2 Year Future	December 2006		13,906,000		29,332
	73 Long	US Treasury Note 5 Year Future	December 2006		7,702,641		56,791
	131 Short	US Treasury Note 10 Year Future	December 2006		14,156,188		(118,819	)
	17 Short	US Long Bond Future	December 2006		1,910,906		(27,132	)
						$	(48,748	)
Growth & Income	32 Long	S&P 500 Future	December 2006	$	2,152,800	$	18,786
Special Equity	14 Long	Russell 2000 Future	December 2006	$	5,124,700	$	84,130

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

The Core Bond Series and Special Equity Series have segregated securities as collateral for their respective open futures contracts. The segregated securities are identified within each Series’ portfolio of investments. The Total Return Bond Series has segregated $150,000 of cash, the Balanced Series has segregated $430,600 of cash and the Growth & Income Series has segregated $560,000 of cash as collateral for their respective open futures contracts.

G. Swaps

The Series, with the exception of the Money Market Series, may engage in various swap transactions, including forward rate agreements, interest rate, currency, fixed income, index and total return swaps, primarily to manage duration and yield curve risk, or as alternatives to direct investments. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of the swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller.

The Series, with the exception of the Money Market Series, may also engage in credit default contracts which involve the exchange of a periodic premium for protection against a defined credit event (such as payment default or bankruptcy). Under the terms of the contract, one party acts as a guarantor receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the contract. The Series may enter into credit default contracts in which they or their counterparties act as guarantors. By acting as the guarantor of the contract, the Series assume the market and credit risk of the underlying instrument.

The contracts are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the contract. Risks of entering into various swap transactions include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms and the possible lack of liquidity with respect to the contracts.

Outstanding swap agreements as of September 30, 2006:

Interest Rate Swaps:

Core Bond

	Payments made by	Payments Received	Termination	Notional
Swap Counterparty	the Series	by the Series	Date	Amount (USD)		Value (USD)
Citigroup Global Markets	3 month LIBOR	5.18% semi-annual	09/18/2010	$	100,000,000	$	403,167
Wachovia Securities	3 month LIBOR	5.20% semi-annual	09/07/2011	$	100,000,000	$	631,885

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

2. Significant Accounting Policies (continued)

H. Short Sales:

Each Series, with the exception of the Money Market Series, may sell securities short. A short sale is a transaction in which a Series sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Series is obligated to replace the borrowed securities at the market price at the time of replacement. The Series’ obligation to replace the securities borrowed in connection with a short sale will be fully secured by collateral deposited with the custodian. In addition, the Series will consider the short sale to be a borrowing by the Series that is subject to the asset coverage requirements of the Investment Company Act of 1940, as amended. Short sales by the Series involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases can not exceed the total amount invested.

I. Dollar Rolls:

Each Series, with the exception of the Money Market Series, may enter into dollar rolls (principally using TBA’s) in which the Series sells mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Series account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Series maintains liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Series is required to purchase may decline below the agreed upon repurchase price of those securities.

J. Security Transactions:

Security transactions are accounted for on a trade date basis (the date the order to buy or sell is executed). Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date. Interest income is not accrued until settlement date.

K. Restricted and Illiquid Securities:

Each Series is permitted to invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. At September 30, 2006, there were no securities held in any Series that were considered illiquid or restricted with the exception of securities registered under Rule 144A of the Securities Act of 1933.

3. Securities Lending

Each Series may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least 102% for domestic securities and 105% for international securities of the market value of the securities on loan. Any deficiencies or excess of collateral must be delivered or transferred by the member firms no later than the close of business on the next business day. As with other extensions of credit, the Series may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially.

During the term of the loan, a Series receives payments from borrowers equivalent to the dividends, interest, and any other distributions that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral in accordance with investment guidelines contained in the Securities Lending Agreement. For loans secured by cash, each Series retains the interest on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

3. Securities Lending (continued)

For loans secured by cash, each Series retains the interest on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. For loans secured by collateral other than cash, the borrower pays a securities loan fee to the lending agent. At September 30, 2006, the Series loaned securities having market values as follows:

			Cash Collateral
Series	Market Value		Received
High Quality Bond	$	16,625,041	$	16,974,568
Intermediate Government Bond		36,375,413		37,203,076
Core Bond		5,256,101		5,397,060
Total Return Bond		4,323,621		4,418,263
Balanced		34,538,428		35,615,949
Value & Income		308,710,905		321,362,202
Value		8,039,985		8,473,900
Growth & Income		98,926,446		102,317,037
Equity Growth		176,146,543		182,931,883
Aggressive Equity		32,931,926		34,278,102
Mid-Cap Growth		25,640,708		26,465,688
Small-Cap Value		300,560		340,000
Special Equity		233,299,077		243,301,093
Small-Cap Growth		25,441,456		26,634,834
International Equity		165,786,650		174,507,456

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

3. Securities Lending (continued)

Each Series has invested the cash collateral received from securities loaned in the following short term securities:

	High		Intermediate		Core		Total Return				Value &				Growth &
	Quality Bond		Government Bond		Bond		Bond		Balanced		Income		Value		Income
Abbey National PLC, Time Deposit, 5.27%, 10/03/06	$	475,316	$	1,041,747	$	151,126	$	123,719	$	997,305	$	8,998,665	$	237,283	$	2,865,044
Abbey National PLC, Time Deposit, 5.27%, 10/04/06		339,511		744,105		107,948		88,370		712,360		6,427,618		169,488		2,046,460
ABN Amro Bank NV, Floating Rate CD, 5.31% (1), 11/21/06		339,511		744,105		107,948		88,370		712,360		6,427,618		169,488		2,046,460
Bank of America NA, Floating Rate Note, 5.31% (1), 03/08/07		679,022		1,488,210		215,895		176,741		1,424,721		12,855,236		338,975		4,092,919
Bank of America NA, Floating Rate Note, 5.31% (1), 07/10/07		814,827		1,785,852		259,074		212,089		1,709,665		15,426,283		406,771		4,911,504
Bank of Montreal, Time Deposit, 5.28%, 10/16/06		339,511		744,105		107,947		88,371		712,360		6,427,618		169,488		2,046,460
Bank of Nova Scotia, Time Deposit, 5.28%, 10/11/06		679,022		1,488,210		215,895		176,741		1,424,721		12,855,236		338,975		4,092,920
Barclays, Time Deposit, 5.30%, 11/03/06		339,511		744,105		107,948		88,370		712,360		6,427,618		169,488		2,046,460
Barclays, Time Deposit, 5.28%, 10/20/06		135,804		297,642		43,179		35,348		284,944		2,571,047		67,795		818,584
BNP Paribas, Time Deposit, 5.26%, 10/05/06		339,511		744,105		107,948		88,370		712,360		6,427,618		169,488		2,046,460
Branch Banker & Trust, Time Deposit, 5.27%, 10/10/06		679,022		1,488,210		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Canadian Imperial Bank of Commerce, Time Deposit, 5.28%, 10/30/06		543,218		1,190,568		172,716		141,393		1,139,777		10,284,189		271,180		3,274,336
Credit Suisse First Boston Corp., Time Deposit, 5.31%, 11/13/06		339,511		744,105		107,948		88,370		712,360		6,427,618		169,488		2,046,460
Credit Suisse First Boston Corp., Time Deposit, 5.31%, 11/14/06		407,414		892,926		129,537		106,044		854,833		7,713,142		203,385		2,455,752
First Tennessee National Corp., Time Deposit, 5.30%, 10/20/06		339,511		744,105		107,948		88,370		712,360		6,427,618		169,488		2,046,460
Fortis Bank, Time Deposit, 5.28%, 10/19/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Fortis Bank, Time Deposit, 5.30%, 11/20/06		203,707		446,463		64,768		53,022		427,416		3,856,571		101,693		1,227,876
General Electric Capital Corp., 5.28%, 11/03/06		339,511		744,105		107,947		88,371		712,360		6,427,618		169,488		2,046,460
Harris NA, Time Deposit, 5.28%, 11/22/06		339,511		744,105		107,947		88,370		712,360		6,427,618		169,488		2,046,460
HBOS Halifax Bank of Scotland, Time Deposit, 5.28%, 10/31/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Lloyds TSB Bank, Time Deposit, 5.28%, 10/02/06		271,609		595,284		86,358		70,696		569,888		5,142,094		135,590		1,637,168
National Australia Bank, Time Deposit, 5.36%, 10/02/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,920
Royal Bank of Canada, Time Deposit, 5.30%, 10/27/06		475,316		1,041,747		151,126		123,719		997,305		8,998,665		237,283		2,865,044
Skandinaviska Enskilda Banken AB, Time Deposit, 5.30%, 11/20/06		407,414		892,926		129,537		106,044		854,833		7,713,142		203,385		2,455,752
Societe Generale, Time Deposit, 5.29%, 10/04/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Societe Generale, Time Deposit, 5.30%, 10/23/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Societe Generale, Time Deposit, 5.28%, 11/01/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Standard Chartered Bank, Time Deposit, 5.28%, 10/30/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
Sun Trust Bank, Time Deposit, 5.38%, 10/02/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,920
Svenska Handlesbanken, Time Deposit, 5.35%, 10/02/06		745,937		1,634,866		237,170		194,158		1,565,121		14,122,061		372,380		4,496,258
Toronto Dominion Bank, Time Deposit, 5.27%, 10/05/06		339,511		744,105		107,947		88,370		712,360		6,427,618		169,488		2,046,460
UBS AG, Time Deposit, 5.30%, 10/27/06		543,218		1,190,568		172,716		141,393		1,139,777		10,284,189		271,180		3,274,336
UBS AG, Time Deposit, 5.31%, 10/02/06		407,414		892,926		129,537		106,044		854,833		7,713,142		203,385		2,455,752
Wells Fargo, Time Deposit, 5.27%, 10/17/06		679,022		1,488,209		215,895		176,741		1,424,721		12,855,236		338,976		4,092,919
	$	16,974,568	$	37,203,076	$	5,397,060	$	4,418,263	$	35,615,949	$	321,362,202	$	8,473,900	$	102,317,037

Information pertaining to the investment of the cash collateral is shown on each Series’ Portfolio of Investments.

(1) Variable rate security. The rate shown was in effect at September 30, 2006.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

3. Securities Lending (continued)

Each Series has invested the cash collateral received from securities loaned in the following short term securities:

	Equity		Aggressive		Mid-Cap		Small -Cap		Special		Small-Cap		International
	Growth		Equity		Growth		Value		Equity		Growth		Equity
Abbey National PLC, Time Deposit, 5.27%, 10/03/06	$	5,122,391	$	959,843	$	741,082	$	9,521	$	6,812,827	$	745,819	$	4,886,493
Abbey National PLC, Time Deposit, 5.27%, 10/04/06		3,658,852		685,602		529,345		6,800		4,866,305		532,728		3,490,352
ABN Amro Bank NV, Floating Rate CD, 5.31% (1), 11/21/06		3,658,850		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Bank of America NA, Floating Rate Note, 5.31% (1), 03/08/07		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,705
Bank of America NA, Floating Rate Note, 5.31% (1), 07/10/07		8,781,241		1,645,445		1,270,427		16,321		11,679,132		1,278,546		8,376,845
Bank of Montreal, Time Deposit, 5.28%, 10/16/06		3,658,852		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Bank of Nova Scotia, Time Deposit, 5.28%, 10/11/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,704
Barclays, Time Deposit, 5.30%, 11/03/06		3,658,850		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Barclays, Time Deposit, 5.28%, 10/20/06		1,463,540		274,241		211,737		2,720		1,946,522		213,091		1,396,141
BNP Paribas, Time Deposit, 5.26%, 10/05/06		3,658,851		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Branch Banker & Trust, Time Deposit, 5.27%, 10/10/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,705
Canadian Imperial Bank of Commerce, Time Deposit, 5.28%, 10/30/06		5,854,161		1,096,963		846,951		10,881		7,786,088		852,365		5,584,564
Credit Suisse First Boston Corp., Time Deposit, 5.31%, 11/13/06		3,658,850		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Credit Suisse First Boston Corp., Time Deposit, 5.31%, 11/14/06		4,390,621		822,722		635,214		8,161		5,839,566		639,273		4,188,423
First Tennessee National Corp., Time Deposit, 5.30%, 10/20/06		3,658,850		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Fortis Bank, Time Deposit, 5.28%, 10/19/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,705
Fortis Bank, Time Deposit, 5.30%, 11/20/06		2,195,310		411,361		317,607		4,080		2,919,783		319,637		2,094,211
General Electric Capital Corp., 5.28%, 11/03/06		3,658,851		685,602		529,345		6,800		4,866,305		532,728		3,490,352
Harris NA, Time Deposit, 5.28%, 11/22/06		3,658,850		685,602		529,345		6,800		4,866,305		532,728		3,490,352
HBOS Halifax Bank of Scotland, Time Deposit, 5.28%, 10/31/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,705
Lloyds TSB Bank, Time Deposit, 5.28%, 10/02/06		2,927,080		548,482		423,476		5,440		3,893,044		426,182		2,792,282
National Australia Bank, Time Deposit, 5.36%, 10/02/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,704
Royal Bank of Canada, Time Deposit, 5.30%, 10/27/06		5,122,391		959,843		741,082		9,521		6,812,827		745,819		4,886,493
Skandinaviska Enskilda Banken AB, Time Deposit, 5.30%, 11/20/06		4,390,621		822,722		635,213		8,161		5,839,566		639,273		4,188,423
Societe Generale, Time Deposit, 5.29%, 10/04/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,705
Societe Generale, Time Deposit, 5.30%, 10/23/06		7,317,701		1,371,203		1,058,689		13,601		9,732,610		1,065,455		6,980,705
Societe Generale, Time Deposit, 5.28%, 11/01/06		7,317,701		1,371,203		1,058,689		13,601		9,732,610		1,065,455		6,980,704
Standard Chartered Bank, Time Deposit, 5.28%, 10/30/06		7,317,701		1,371,203		1,058,689		13,601		9,732,610		1,065,455		6,980,704
Sun Trust Bank, Time Deposit, 5.38%, 10/02/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,704
Svenska Handlesbanken, Time Deposit, 5.35%, 10/02/06		8,038,827		1,506,330		1,163,017		14,941		10,691,714		1,170,451		7,668,620
Toronto Dominion Bank, Time Deposit, 5.27%, 10/05/06		3,658,850		685,602		529,345		6,800		4,866,305		532,728		3,490,352
UBS AG, Time Deposit, 5.30%, 10/27/06		5,854,161		1,096,963		846,951		10,881		7,786,088		852,365		5,584,564
UBS AG, Time Deposit, 5.31%, 10/02/06		4,390,621		822,722		635,213		8,160		5,839,566		639,273		4,188,423
Wells Fargo, Time Deposit, 5.27%, 10/17/06		7,317,701		1,371,204		1,058,689		13,601		9,732,610		1,065,455		6,980,704
	$	182,931,883	$	34,278,102	$	26,465,688	$	340,000	$	243,301,093	$	26,634,834	$	174,507,456

Information pertaining to the investment of the cash collateral is shown on each Series’ Portfolio of Investments.

(1) Variable rate security. The rate shown was in effect at September 30, 2006.

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

4. Foreign Currency Forward, Spot, and Cross Currency Contracts

At September 30, 2006, the Core Bond Series, Total Return Bond Series, Balanced Series, and International Equity Series had entered into foreign currency forward, spot, and cross currency contracts which contractually obligate each Series to deliver/receive currency at specified future dates. The open contracts were as follows:

									Net Unrealized
							Value		Appreciation/
	Foreign Currency		In Exchange For		Settlement Date		At 09/30/06		(Depreciation)
Core Bond
Sale Contracts:
Euro		15,710,000	$	20,212,800		01/10/07	$	20,024,746	$	188,054
New Zealand Dollar		11,358,753		7,463,030		01/10/07		7,371,465		91,565
Total										279,619
Total Return Bond
Purchase Contracts:
Australian Dollar		323,539	$	247,750		11/07/06	$	240,966	$	(6,784	)
Canadian Dollar		153,287		135,044		11/07/06		137,282		2,238
Canadian Dollar		1,060,000		953,267		11/07/06		949,322		(3,945	)
Total									$	(8,491	)
Sale Contracts:
Australian Dollar		323,539	$	243,771		11/07/06	$	240,967	$	2,804
Canadian Dollar		320,464		281,927		11/07/06		287,003		(5,076	)
Canadian Dollar		124,605		111,438		11/07/06		111,594		(156	)
Euro		302,634		384,607		11/07/06		384,507		100
Total									$	(2,328	)
Balanced
Purchase Contracts:
Australian Dollar		940,286	$	720,024		11/07/06	$	700,310	$	(19,714	)
Canadian Dollar		379,780		340,000		11/07/06		340,126		126
Canadian Dollar		1,730,000		1,555,804		11/07/06		1,549,365		(6,439	)
Total									$	(26,027	)
Sale Contracts:
Australian Dollar		940,286	$	708,458		11/07/06	$	700,309	$	8,149
Canadian Dollar		910,497		801,008		11/07/06		815,430		(14,422	)
Euro		514,478		653,832		11/07/06		653,662		170
Total									$	(6,103	)

DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO PORTFOLIOS OF INVESTMENTS (Continued)
(Unaudited)

4. Foreign Currency Forward, Spot, and Cross Currency Contracts (continued)

									Net Unrealized
							Value		Appreciation/
International Equity	Foreign Currency		In Exchange For		Settlement Date		At 09/30/06		(Depreciation)
Purchase Contracts:
Australian Dollar		1,296,574	$	972,106		10/03/06	$	966,336	$	(5,770	)
Euro		566,345		719,258		10/03/06		718,154		(1,104	)
Euro		2,364,905		2,999,835		10/04/06		2,998,987		(848	)
Great British Pound		1,002,255		1,876,122		10/04/06		1,876,597		475
Hong Kong Dollar		8,281,905		1,063,323		10/03/06		1,063,057		(266	)
Japanese Yen		105,446,228		895,633		10/03/06		892,667		(2,966	)
Japanese Yen		152,819,958		1,295,941		10/04/06		1,293,891		(2,050	)
									$	(12,529	)
Sale Contracts:
Euro		437,187	$	555,590		10/02/06	$	554,375	$	1,215
Euro		112,829		124,056		12/29/06		143,738		(19,682	)
Japanese Yen		118,819,224		1,020,109		10/02/06		1,005,877		14,232
Norwegian Krone		12,630,503		1,939,967		10/02/06		1,935,349		4,618
Total									$	383

						Net Unrealized
		Purchase		Sale		Appreciation/
Foreign Cross Currency	Settlement Date	Current Value		Current Value		(Depreciation)
Contracts:
Balanced
Purchase/Sale
Japanese Yen/Canadian Dollar	11/07/06	$	1,527,514	$	1,549,366	$	(21,852	)
Total Return Bond
Purchase/Sale
Japanese Yen/Canadian Dollar	11/07/06	$	935,933	$	949,322	$	(13,389	)
International Equity
Purchase/Sale
Canadian Dollar/Euro	10/04/06	$	209,967	$	210,014	$	(47	)

S&P 500 INDEX MASTER PORTFOLIO
Schedule of Investments
September 30, 2006 (Unaudited)

Security			Shares		Value
COMMON STOCKS—98.82%
ADVERTISING—0.17%
Interpublic Group of Companies Inc.	(1	) (2)		89,559	$	886,634
Omnicom Group Inc.				35,139		3,289,010
						4,175,644
AEROSPACE & DEFENSE—2.10%
Boeing Co. (The)				162,566		12,818,329
General Dynamics Corp.				82,504		5,913,062
Goodrich Corp.	(2	)		25,248		1,023,049
L-3 Communications Holdings Inc.				25,136		1,968,903
Lockheed Martin Corp.				72,818		6,266,717
Northrop Grumman Corp.				70,460		4,796,212
Raytheon Co.	(2	)		91,773		4,406,022
Rockwell Collins Inc.	(2	)		35,239		1,932,507
United Technologies Corp.				206,846		13,103,694
						52,228,495
AGRICULTURE—1.89%
Altria Group Inc.				428,120		32,772,586
Archer-Daniels-Midland Co.				134,107		5,079,973
Monsanto Co.	(2	)		111,013		5,218,721
Reynolds American Inc.	(2	)		34,959		2,166,409
UST Inc.	(2	)		32,861		1,801,769
						47,039,458
AIRLINES—0.11%
Southwest Airlines Co.				160,672		2,676,796
						2,676,796
APPAREL—0.36%
Coach Inc.	(1	) (2)		74,833		2,574,255
Jones Apparel Group Inc.				22,731		737,394
Liz Claiborne Inc.	(2	)		21,110		834,056
Nike Inc. Class B	(2	)		39,177		3,432,689
VF Corp.				18,209		1,328,347
						8,906,741
AUTO MANUFACTURERS—0.41%
Ford Motor Co.	(2	)		384,165		3,107,895
General Motors Corp.	(2	)		115,681		3,847,550
Navistar International Corp.	(1	)		12,553		324,118
PACCAR Inc.	(2	)		50,992		2,907,564
						10,187,127
AUTO PARTS & EQUIPMENT—0.14%
Goodyear Tire & Rubber Co. (The)	(1	) (2)		36,965		535,992
Johnson Controls Inc.	(2	)		39,899		2,862,354
						3,398,346

See accompanying notes to the schedule of investments.

Security			Shares		Value
BANKS—6.85%
AmSouth Bancorp				70,046	$	2,034,136
Bank of America Corp.				925,557		49,582,089
Bank of New York Co. Inc. (The)				156,074		5,503,169
BB&T Corp.	(2	)		109,836		4,808,620
Comerica Inc.				33,101		1,884,109
Commerce Bancorp Inc.	(2	)		38,261		1,404,561
Compass Bancshares Inc.				26,443		1,506,722
Fifth Third Bancorp				114,102		4,345,004
First Horizon National Corp.	(2	)		25,250		959,752
Huntington Bancshares Inc.	(2	)		48,594		1,162,854
KeyCorp	(2	)		82,487		3,088,313
M&T Bank Corp.	(2	)		15,895		1,906,764
Marshall & Ilsley Corp.	(2	)		51,927		2,501,843
Mellon Financial Corp.	(2	)		84,151		3,290,304
National City Corp.	(2	)		123,707		4,527,676
North Fork Bancorp Inc.				96,034		2,750,414
Northern Trust Corp.	(2	)		38,332		2,239,739
PNC Financial Services Group				60,223		4,362,554
Regions Financial Corp.	(2	)		92,989		3,421,065
State Street Corp.				67,726		4,226,102
SunTrust Banks Inc.	(2	)		74,610		5,765,861
Synovus Financial Corp.	(2	)		66,294		1,947,055
U.S. Bancorp				363,451		12,073,842
Wachovia Corp.				333,458		18,606,956
Wells Fargo & Co.				688,614		24,914,055
Zions Bancorporation	(2	)		21,792		1,739,220
						170,552,779
BEVERAGES—2.14%
Anheuser-Busch Companies Inc.				157,213		7,469,190
Brown-Forman Corp. Class B				15,640		1,198,806
Coca-Cola Co. (The)				416,769		18,621,239
Coca-Cola Enterprises Inc.				56,383		1,174,458
Constellation Brands Inc.	(1	) (2)		43,199		1,243,267
Molson Coors Brewing Co. Class B	(2	)		9,342		643,664
Pepsi Bottling Group Inc.				27,765		985,657
PepsiCo Inc.				337,164		22,003,323
						53,339,604
BIOTECHNOLOGY—1.04%
Amgen Inc.	(1	)		239,390		17,123,567
Biogen Idec Inc.	(1	)		70,275		3,139,887
Genzyme Corp.	(1	) (2)		53,458		3,606,811
MedImmune Inc.	(1	)		48,979		1,430,677
Millipore Corp.	(1	)		10,926		669,764
						25,970,706
BUILDING MATERIALS—0.15%
American Standard Companies Inc.	(2	)		35,693		1,498,035
Masco Corp.	(2	)		81,098		2,223,707
						3,721,742

See accompanying notes to the schedule of investments.

Security			Shares		Value
CHEMICALS—1.32%
Air Products & Chemicals Inc.	(2	)		45,066	$	2,991,030
Ashland Inc.				12,948		825,823
Dow Chemical Co. (The)				196,198		7,647,798
Du Pont (E.I.) de Nemours and Co.	(2	)		188,518		8,076,111
Eastman Chemical Co.				16,647		899,271
Ecolab Inc.				36,546		1,564,900
Hercules Inc.	(1	)		23,272		366,999
International Flavors & Fragrances Inc.				16,021		633,470
PPG Industries Inc.				33,785		2,266,298
Praxair Inc.				65,930		3,900,419
Rohm & Haas Co.				29,366		1,390,480
Sherwin-Williams Co. (The)	(2	)		22,974		1,281,490
Sigma-Aldrich Corp.	(2	)		13,565		1,026,464
						32,870,553
COAL—0.05%
CONSOL Energy Inc.				37,790		1,199,077
						1,199,077
COMMERCIAL SERVICES—0.58%
Apollo Group Inc. Class A	(1	)		28,759		1,416,093
Block (H & R) Inc.				65,805		1,430,601
Convergys Corp.	(1	)		28,164		581,587
Donnelley (R.R.) & Sons Co.	(2	)		44,211		1,457,195
Equifax Inc.				25,908		951,083
McKesson Corp.				61,222		3,227,624
Monster Worldwide Inc.	(1	)		26,481		958,347
Moody’s Corp.				48,432		3,166,484
Robert Half International Inc.				35,286		1,198,665
						14,387,679
COMPUTERS—3.73%
Affiliated Computer Services Inc. Class A	(1	)		24,240		1,257,086
Apple Computer Inc.	(1	)		173,936		13,398,290
Computer Sciences Corp.	(1	)		35,126		1,725,389
Dell Inc.	(1	) (2)		464,568		10,610,733
Electronic Data Systems Corp.	(2	)		105,872		2,595,981
EMC Corp.	(1	)		470,082		5,631,582
Hewlett-Packard Co.				560,133		20,551,280
International Business Machines Corp.				311,224		25,501,695
Lexmark International Inc.	(1	) (2)		20,517		1,183,010
NCR Corp.	(1	) (2)		36,863		1,455,351
Network Appliance Inc.	(1	) (2)		76,172		2,819,126
SanDisk Corp.	(1	)		40,082		2,145,990
Sun Microsystems Inc.	(1	) (2)		717,738		3,567,158
Unisys Corp.	(1	)		71,074		402,279
						92,844,950
COSMETICS & PERSONAL CARE—2.07%
Alberto-Culver Co.				15,689		793,707
Avon Products Inc.	(2	)		91,565		2,807,383
Colgate-Palmolive Co.				105,616		6,558,754
Estee Lauder Companies Inc. (The) Class A	(2	)		26,413		1,065,236
Procter & Gamble Co.				649,317		40,244,668
						51,469,748
DISTRIBUTION & WHOLESALE—0.10%
Genuine Parts Co.	(2	)		35,043		1,511,405
Grainger (W.W.) Inc.	(2	)		15,403		1,032,309
						2,543,714

See accompanying notes to the schedule of investments.

Security			Shares		Value
DIVERSIFIED FINANCIAL SERVICES—8.53%
American Express Co.				248,448	$	13,932,964
Ameriprise Financial Inc.				49,858		2,338,340
Bear Stearns Companies Inc. (The)				24,622		3,449,542
Capital One Financial Corp.				62,609		4,924,824
Chicago Mercantile Exchange Holdings Inc.	(2	)		7,276		3,479,747
CIT Group Inc.				40,671		1,977,831
Citigroup Inc.				1,011,053		50,219,002
Countrywide Financial Corp.				125,171		4,385,992
E*TRADE Financial Corp.	(1	)		87,702		2,097,832
Federal Home Loan Mortgage Corp.				141,317		9,373,557
Federal National Mortgage Association				197,946		11,067,161
Federated Investors Inc. Class B				18,352		620,481
Franklin Resources Inc.				34,096		3,605,652
Goldman Sachs Group Inc. (The)				88,286		14,935,343
Janus Capital Group Inc.	(2	)		42,287		833,900
JP Morgan Chase & Co.				709,921		33,337,890
Legg Mason Inc.				26,825		2,705,569
Lehman Brothers Holdings Inc.				109,867		8,114,777
Merrill Lynch & Co. Inc.				181,291		14,180,582
Morgan Stanley				219,223		15,983,549
Rowe (T.) Price Group Inc.				53,523		2,561,076
Schwab (Charles) Corp. (The)				211,505		3,785,939
SLM Corp.	(2	)		83,862		4,359,147
						212,270,697
ELECTRIC—3.13%
AES Corp. (The)	(1	) (2)		134,704		2,746,615
Allegheny Energy Inc.	(1	) (2)		33,567		1,348,386
Ameren Corp.				42,105		2,222,723
American Electric Power Co. Inc.				80,448		2,925,894
CenterPoint Energy Inc.				63,430		908,318
CMS Energy Corp.	(1	) (2)		46,135		666,189
Consolidated Edison Inc.				50,412		2,329,034
Constellation Energy Group Inc.				36,691		2,172,107
Dominion Resources Inc.	(2	)		72,164		5,519,824
DTE Energy Co.	(2	)		36,280		1,505,983
Duke Energy Corp.				256,257		7,738,961
Dynegy Inc. Class A	(1	)		76,604		424,386
Edison International				66,516		2,769,726
Entergy Corp.				42,615		3,333,771
Exelon Corp.	(2	)		136,919		8,289,076
FirstEnergy Corp.				67,460		3,768,316
FPL Group Inc.	(2	)		82,714		3,722,130
PG&E Corp.	(2	)		71,082		2,960,565
Pinnacle West Capital Corp.	(2	)		20,170		908,658
PPL Corp.				78,261		2,574,787
Progress Energy Inc.	(2	)		51,820		2,351,592
Public Service Enterprise Group Inc.				51,485		3,150,367
Southern Co. (The)	(2	)		151,811		5,231,407
TECO Energy Inc.	(2	)		42,104		658,928
TXU Corp.				94,359		5,899,325
Xcel Energy Inc.	(2	)		83,603		1,726,402
						77,853,470
ELECTRICAL COMPONENTS & EQUIPMENT—0.36%
American Power Conversion Corp.	(2	)		34,557		758,872
Emerson Electric Co.				83,380		6,992,247
Molex Inc.	(2	)		28,693		1,118,166
						8,869,285

See accompanying notes to the schedule of investments.

Security			Shares		Value
ELECTRONICS—0.48%
Agilent Technologies Inc.	(1	) (2)		83,589	$	2,732,524
Applera Corp. — Applied Biosystems Group				37,283		1,234,440
Fisher Scientific International Inc.	(1	) (2)		25,527		1,997,232
Jabil Circuit Inc.	(2	)		37,751		1,078,546
PerkinElmer Inc.				26,161		495,228
Sanmina-SCI Corp.	(1	)		109,718		410,345
Solectron Corp.	(1	)		190,093		619,703
Symbol Technologies Inc.				52,579		781,324
Tektronix Inc.				17,304		500,605
Thermo Electron Corp.	(1	) (2)		32,239		1,267,960
Waters Corp.	(1	) (2)		20,961		949,114
						12,067,021
ENGINEERING & CONSTRUCTION—0.06%
Fluor Corp.				18,033		1,386,557
						1,386,557
ENTERTAINMENT—0.12%
International Game Technology Inc.	(2	)		69,402		2,880,183
						2,880,183
ENVIRONMENTAL CONTROL—0.18%
Allied Waste Industries Inc.	(1	) (2)		50,238		566,182
Waste Management Inc.				110,544		4,054,754
						4,620,936
FOOD—1.47%
Campbell Soup Co.				47,434		1,731,341
ConAgra Foods Inc.				104,485		2,557,793
Dean Foods Co.	(1	)		27,307		1,147,440
General Mills Inc.				72,158		4,084,143
Heinz (H.J.) Co.	(2	)		67,799		2,842,812
Hershey Co. (The)	(2	)		35,924		1,920,138
Kellogg Co.	(2	)		51,044		2,527,699
Kroger Co.				147,774		3,419,490
McCormick & Co. Inc. NVS				26,750		1,015,965
Safeway Inc.	(2	)		90,936		2,759,908
Sara Lee Corp.				154,991		2,490,705
SUPERVALU Inc.				43,419		1,287,373
Sysco Corp.	(2	)		126,503		4,231,525
Tyson Foods Inc. Class A	(2	)		51,221		813,389
Whole Foods Market Inc.	(2	)		28,827		1,713,189
Wrigley (William Jr.) Co.	(2	)		44,846		2,065,607
						36,608,517
FOREST PRODUCTS & PAPER—0.39%
International Paper Co.				92,981		3,219,932
Louisiana-Pacific Corp.				21,879		410,669
MeadWestvaco Corp.	(2	)		36,811		975,860
Plum Creek Timber Co. Inc.				36,662		1,247,974
Temple-Inland Inc.				22,251		892,265
Weyerhaeuser Co.	(2	)		50,366		3,099,020
						9,845,720
GAS—0.24%
KeySpan Corp.				35,501		1,460,511
Nicor Inc.	(2	)		9,189		392,922
NiSource Inc.	(2	)		56,244		1,222,745
Peoples Energy Corp.	(2	)		7,893		320,850
Sempra Energy				53,235		2,675,059
						6,072,087
HAND & MACHINE TOOLS—0.10%
Black & Decker Corp.	(2	)		15,149		1,202,073
Snap-On Inc.	(2	)		12,087		538,476
Stanley Works (The)	(2	)		16,483		821,678
						2,562,227

See accompanying notes to the schedule of investments.

Security			Shares		Value
HEALTH CARE — PRODUCTS—3.07%
Bard (C.R.) Inc.	(2	)		21,011	$	1,575,825
Bausch & Lomb Inc.				10,814		542,106
Baxter International Inc.				133,424		6,065,455
Becton, Dickinson & Co.				50,046		3,536,751
Biomet Inc.				50,452		1,624,050
Boston Scientific Corp.	(1	)		240,923		3,563,251
Johnson & Johnson				598,178		38,845,679
Medtronic Inc.	(2	)		235,052		10,915,815
Patterson Companies Inc.	(1	) (2)		28,357		953,079
St. Jude Medical Inc.	(1	)		71,847		2,535,481
Stryker Corp.	(2	)		60,702		3,010,212
Zimmer Holdings Inc.	(1	) (2)		49,632		3,350,160
						76,517,864
HEALTH CARE — SERVICES—1.70%
Aetna Inc.				112,017		4,430,272
Coventry Health Care Inc.	(1	)		32,504		1,674,606
HCA Inc.				86,701		4,325,513
Health Management Associates Inc. Class A				48,813		1,020,192
Humana Inc.	(1	)		33,920		2,241,773
Laboratory Corp. of America Holdings	(1	)		25,652		1,682,002
Manor Care Inc.	(2	)		15,210		795,179
Quest Diagnostics Inc.				33,065		2,022,255
Tenet Healthcare Corp.	(1	) (2)		95,556		777,826
UnitedHealth Group Inc.				275,472		13,553,222
WellPoint Inc.	(1	)		126,755		9,766,473
						42,289,313
HOME BUILDERS—0.24%
Centex Corp.	(2	)		24,247		1,275,877
Horton (D.R.) Inc.				55,763		1,335,524
KB Home	(2	)		15,940		698,172
Lennar Corp. Class A				28,314		1,281,208
Pulte Homes Inc.	(2	)		43,301		1,379,570
						5,970,351
HOME FURNISHINGS—0.10%
Harman International Industries Inc.	(2	)		13,334		1,112,589
Whirlpool Corp.				15,897		1,337,097
						2,449,686
HOUSEHOLD PRODUCTS & WARES—0.46%
Avery Dennison Corp.	(2	)		19,313		1,162,063
Clorox Co. (The)				30,725		1,935,675
Fortune Brands Inc.	(2	)		30,754		2,309,933
Kimberly-Clark Corp.				93,710		6,124,886
						11,532,557
HOUSEWARES—0.06%
Newell Rubbermaid Inc.				56,261		1,593,312
						1,593,312

See accompanying notes to the schedule of investments.

Security			Shares		Value
INSURANCE—4.92%
ACE Ltd.				66,509	$	3,640,038
AFLAC Inc.	(2	)		101,502		4,644,732
Allstate Corp. (The)				128,742		8,075,986
Ambac Financial Group Inc.				21,640		1,790,710
American International Group Inc.				531,457		35,214,341
Aon Corp.	(2	)		64,323		2,178,620
Chubb Corp.				84,020		4,365,679
CIGNA Corp.				22,682		2,638,370
Cincinnati Financial Corp.	(2	)		35,658		1,713,724
Genworth Financial Inc. Class A				93,061		3,258,066
Hartford Financial Services Group Inc. (The)				62,225		5,398,019
Lincoln National Corp.				58,726		3,645,710
Loews Corp.				93,488		3,543,195
Marsh & McLennan Companies Inc.	(2	)		112,542		3,168,057
MBIA Inc.	(2	)		27,460		1,687,142
MetLife Inc.				155,305		8,802,687
MGIC Investment Corp.	(2	)		17,280		1,036,282
Principal Financial Group Inc.	(2	)		54,958		2,983,120
Progressive Corp. (The)	(2	)		157,940		3,875,848
Prudential Financial Inc.				99,189		7,563,161
SAFECO Corp.	(2	)		23,803		1,402,711
St. Paul Travelers Companies Inc.				141,306		6,625,838
Torchmark Corp.				20,140		1,271,035
UnumProvident Corp.	(2	)		69,442		1,346,480
XL Capital Ltd. Class A	(2	)		36,807		2,528,641
						122,398,192
INTERNET—1.53%
Amazon.com Inc.	(1	) (2)		64,167		2,061,044
eBay Inc.	(1	) (2)		240,260		6,813,774
Google Inc. Class A	(1	)		43,571		17,511,185
Symantec Corp.	(1	)		202,312		4,305,199
VeriSign Inc.	(1	)		49,609		1,002,102
Yahoo! Inc.	(1	)		254,225		6,426,808
						38,120,112
IRON & STEEL—0.23%
Allegheny Technologies Inc.	(2	)		20,622		1,282,482
Nucor Corp.				63,061		3,120,889
United States Steel Corp.	(2	)		25,177		1,452,209
						5,855,580
LEISURE TIME—0.36%
Brunswick Corp.				18,874		588,680
Carnival Corp.	(2	)		91,010		4,280,200
Harley-Davidson Inc.	(2	)		53,609		3,363,965
Sabre Holdings Corp.				27,509		643,436
						8,876,281
LODGING—0.45%
Harrah’s Entertainment Inc.				38,141		2,533,707
Hilton Hotels Corp.	(2	)		78,593		2,188,815
Marriott International Inc. Class A	(2	)		70,250		2,714,460
Starwood Hotels & Resorts Worldwide Inc.				44,408		2,539,694
Wyndham Worldwide Corp.	(1	)		41,297		1,155,077
						11,131,753
MACHINERY—0.65%
Caterpillar Inc.	(2	)		134,108		8,824,306
Cummins Inc.				10,848		1,293,407
Deere & Co.	(2	)		47,286		3,967,768
Rockwell Automation Inc.				35,987		2,090,845
						16,176,326

See accompanying notes to the schedule of investments.

Security			Shares		Value
MANUFACTURING—5.18%
Cooper Industries Ltd.	(2	)		18,725	$	1,595,744
Danaher Corp.	(2	)		48,338		3,319,370
Dover Corp.				41,575		1,972,318
Eastman Kodak Co.	(2	)		58,398		1,308,115
Eaton Corp.				30,599		2,106,741
General Electric Co.				2,111,154		74,523,736
Honeywell International Inc.				167,485		6,850,137
Illinois Tool Works Inc.				85,949		3,859,110
Ingersoll-Rand Co. Class A				65,808		2,499,388
ITT Industries Inc.				37,775		1,936,724
Leggett & Platt Inc.	(2	)		37,442		937,173
Pall Corp.				25,319		780,078
Parker Hannifin Corp.				24,577		1,910,370
Textron Inc.	(2	)		25,612		2,241,050
3M Co.				154,044		11,463,954
Tyco International Ltd.				412,028		11,532,664
						128,836,672
MEDIA—3.16%
CBS Corp. Class B				159,657		4,497,538
Clear Channel Communications Inc.				101,509		2,928,535
Comcast Corp. Class A	(1	)		427,992		15,771,505
Dow Jones & Co. Inc.	(2	)		13,038		437,295
Gannett Co. Inc.				48,347		2,747,560
McGraw-Hill Companies Inc. (The)				71,972		4,176,535
Meredith Corp.	(2	)		7,972		393,259
New York Times Co. Class A	(2	)		29,460		676,991
News Corp. Class A				477,879		9,390,322
Scripps (E.W.) Co. Class A				16,933		811,599
Time Warner Inc.	(2	)		831,723		15,162,310
Tribune Co.	(2	)		39,001		1,276,113
Univision Communications Inc. Class A	(1	) (2)		51,618		1,772,562
Viacom Inc. Class B	(1	)		145,098		5,394,744
Walt Disney Co. (The)	(2	)		427,452		13,212,541
						78,649,409
MINING—0.65%
Alcoa Inc.				177,296		4,971,380
Freeport-McMoRan Copper & Gold Inc.				40,017		2,131,305
Newmont Mining Corp.				91,969		3,931,675
Phelps Dodge Corp.				41,720		3,533,684
Vulcan Materials Co.	(2	)		19,396		1,517,737
						16,085,781
OFFICE & BUSINESS EQUIPMENT—0.20%
Pitney Bowes Inc.	(2	)		45,184		2,004,814
Xerox Corp.	(1	) (2)		200,075		3,113,167
						5,117,981
OIL & GAS—7.58%
Anadarko Petroleum Corp.				93,972		4,118,793
Apache Corp.	(2	)		67,337		4,255,698
Chesapeake Energy Corp.	(2	)		77,396		2,242,936
Chevron Corp.				449,499		29,154,505
ConocoPhillips				336,986		20,060,777
Devon Energy Corp.				90,203		5,696,319
EOG Resources Inc.	(2	)		49,621		3,227,846
Exxon Mobil Corp.				1,215,759		81,577,429
Hess Corp.				49,133		2,035,089
Marathon Oil Corp.				73,251		5,633,002
Murphy Oil Corp.	(2	)		38,442		1,827,917
Nabors Industries Ltd.	(1	)		64,222		1,910,604
Noble Corp.				28,055		1,800,570
Occidental Petroleum Corp.				176,194		8,476,693
Rowan Companies Inc.	(2	)		22,973		726,636
Sunoco Inc.	(2	)		26,676		1,658,980
Transocean Inc.	(1	)		64,438		4,718,795
Valero Energy Corp.				125,340		6,451,250
XTO Energy Inc.	(2	)		74,803		3,151,450
						188,725,289

See accompanying notes to the schedule of investments.

Security			Shares		Value
OIL & GAS SERVICES—1.37%
Baker Hughes Inc.	(2	)		67,278	$	4,588,360
BJ Services Co.	(2	)		61,192		1,843,715
Halliburton Co.				210,887		5,999,735
National Oilwell Varco Inc.	(1	) (2)		35,873		2,100,364
Schlumberger Ltd.				242,145		15,020,254
Smith International Inc.				40,966		1,589,481
Weatherford International Ltd.	(1	) (2)		70,770		2,952,524
						34,094,433
PACKAGING & CONTAINERS—0.13%
Ball Corp.				21,110		853,899
Bemis Co. Inc.				21,525		707,311
Pactiv Corp.	(1	)		27,869		792,037
Sealed Air Corp.				16,447		890,112
						3,243,359
PHARMACEUTICALS—6.19%
Abbott Laboratories				312,448		15,172,475
Allergan Inc.	(2	)		30,843		3,473,230
AmerisourceBergen Corp.				40,757		1,842,216
Barr Pharmaceuticals Inc.	(1	)		21,563		1,119,982
Bristol-Myers Squibb Co.				402,178		10,022,276
Cardinal Health Inc.				82,935		5,452,147
Caremark Rx Inc.				87,311		4,947,914
Express Scripts Inc.	(1	)		28,103		2,121,495
Forest Laboratories Inc.	(1	)		64,982		3,288,739
Gilead Sciences Inc.	(1	)		93,431		6,418,710
Hospira Inc.	(1	)		32,048		1,226,477
King Pharmaceuticals Inc.	(1	)		49,298		839,545
Lilly (Eli) & Co.	(2	)		201,124		11,464,068
Medco Health Solutions Inc.	(1	)		60,117		3,613,633
Merck & Co. Inc.				445,032		18,646,841
Mylan Laboratories Inc.	(2	)		42,728		860,115
Pfizer Inc.				1,491,128		42,288,390
Schering-Plough Corp.				302,953		6,692,232
Watson Pharmaceuticals Inc.	(1	)		21,092		551,978
Wyeth				275,198		13,991,066
						154,033,529
PIPELINES—0.29%
El Paso Corp.	(2	)		142,355		1,941,722
Kinder Morgan Inc.				21,842		2,290,134
Williams Companies Inc.	(2	)		121,861		2,908,822
						7,140,678
REAL ESTATE—0.05%
Realogy Corp.	(1	)		51,622		1,170,787
						1,170,787

See accompanying notes to the schedule of investments.

Security			Shares		Value
REAL ESTATE INVESTMENT TRUSTS—1.02%
Apartment Investment & Management Co. Class A				20,092	$	1,093,206
Archstone-Smith Trust	(2	)		43,666		2,377,177
Boston Properties Inc.	(2	)		23,327		2,410,612
Equity Office Properties Trust	(2	)		71,612		2,847,293
Equity Residential				59,510		3,010,016
Kimco Realty Corp.	(2	)		44,576		1,910,973
ProLogis	(2	)		50,128		2,860,304
Public Storage Inc.				24,695		2,123,523
Simon Property Group Inc.				45,235		4,099,196
Vornado Realty Trust	(2	)		24,922		2,716,498
						25,448,798
RETAIL—5.70%
AutoNation Inc.	(1	)		30,834		644,431
AutoZone Inc.	(1	)		10,672		1,102,418
Bed Bath & Beyond Inc.	(1	)		57,449		2,197,999
Best Buy Co. Inc.	(2	)		83,153		4,453,675
Big Lots Inc.	(1	) (2)		22,285		441,466
Circuit City Stores Inc.	(2	)		27,321		686,030
Costco Wholesale Corp.				95,710		4,754,873
CVS Corp.				167,996		5,396,032
Darden Restaurants Inc.				29,919		1,270,660
Dillard’s Inc. Class A	(2	)		12,577		411,645
Dollar General Corp.	(2	)		64,268		875,973
Family Dollar Stores Inc.	(2	)		31,025		907,171
Federated Department Stores Inc.	(2	)		111,022		4,797,261
Gap Inc. (The)	(2	)		110,153		2,087,399
Home Depot Inc.				422,112		15,310,002
Kohl’s Corp.	(1	)		66,960		4,347,043
Limited Brands Inc.	(2	)		69,478		1,840,472
Lowe’s Companies Inc.				312,479		8,768,161
McDonald’s Corp.				250,797		9,811,179
Nordstrom Inc.	(2	)		46,450		1,964,835
Office Depot Inc.	(1	)		57,942		2,300,297
OfficeMax Inc.				14,754		601,078
Penney (J.C.) Co. Inc.				45,857		3,136,160
RadioShack Corp.				28,224		544,723
Sears Holdings Corp.	(1	)		17,014		2,689,743
Staples Inc.	(2	)		148,587		3,615,122
Starbucks Corp.	(1	) (2)		154,630		5,265,152
Target Corp.	(2	)		175,612		9,702,563
Tiffany & Co.	(2	)		28,265		938,398
TJX Companies Inc.	(2	)		91,939		2,577,050
Walgreen Co.				206,148		9,150,910
Wal-Mart Stores Inc.				503,027		24,809,292
Wendy’s International Inc.				23,909		1,601,903
Yum! Brands Inc.	(2	)		55,372		2,882,113
						141,883,229
SAVINGS & LOANS—0.58%
Golden West Financial Corp.				54,946		4,244,579
Sovereign Bancorp Inc.	(2	)		72,017		1,549,086
Washington Mutual Inc.				197,045		8,565,546
						14,359,211
SEMICONDUCTORS—2.72%
Advanced Micro Devices Inc.	(1	) (2)		98,955		2,459,032
Altera Corp.	(1	)		73,171		1,344,883
Analog Devices Inc.	(2	)		72,174		2,121,194
Applied Materials Inc.				284,061		5,036,402
Broadcom Corp. Class A	(1	)		95,911		2,909,940
Freescale Semiconductor Inc. Class B	(1	)		82,972		3,153,766
Intel Corp.				1,179,586		24,264,084
KLA-Tencor Corp.				40,650		1,807,706
Linear Technology Corp.	(2	)		61,619		1,917,583
LSI Logic Corp.	(1	)		82,159		675,347

See accompanying notes to the schedule of investments.

Security			Shares		Value
Maxim Integrated Products Inc.				65,888	$	1,849,476
Micron Technology Inc.	(1	) (2)		149,287		2,597,594
National Semiconductor Corp.				60,894		1,432,836
Novellus Systems Inc.	(1	)		25,570		707,266
NVIDIA Corp.	(1	)		72,197		2,136,309
PMC-Sierra Inc.	(1	) (2)		42,806		254,268
QLogic Corp.	(1	)		32,608		616,291
Teradyne Inc.	(1	)		39,434		518,951
Texas Instruments Inc.				313,429		10,421,514
Xilinx Inc.	(2	)		69,498		1,525,481
						67,749,923
SOFTWARE—3.93%
Adobe Systems Inc.	(1	) (2)		118,455		4,436,140
Autodesk Inc.	(1	)		47,273		1,644,155
Automatic Data Processing Inc.				113,624		5,378,960
BMC Software Inc.	(1	) (2)		41,933		1,141,416
CA Inc.				83,999		1,989,936
Citrix Systems Inc.	(1	)		37,934		1,373,590
Compuware Corp.	(1	)		77,757		605,727
Electronic Arts Inc.	(1	) (2)		62,721		3,492,305
First Data Corp.				156,488		6,572,496
Fiserv Inc.	(1	)		35,640		1,678,288
IMS Health Inc.				41,408		1,103,109
Intuit Inc.	(1	)		69,782		2,239,304
Microsoft Corp.				1,766,334		48,273,908
Novell Inc.	(1	) (2)		70,054		428,730
Oracle Corp.	(1	)		824,884		14,633,442
Parametric Technology Corp.	(1	)		22,648		395,434
Paychex Inc.				69,115		2,546,888
						97,933,828
TELECOMMUNICATIONS—6.27%
ADC Telecommunications Inc.	(1	)		24,377		365,655
Alltel Corp.				79,384		4,405,812
AT&T Inc.				794,331		25,863,417
Avaya Inc.	(1	) (2)		93,443		1,068,988
BellSouth Corp.				371,343		15,874,913
CenturyTel Inc.				23,572		935,101
Ciena Corp.	(1	)		16,968		462,378
Cisco Systems Inc.	(1	)		1,248,423		28,713,729
Citizens Communications Co.	(2	)		65,642		921,614
Comverse Technology Inc.	(1	)		41,291		885,279
Corning Inc.	(1	)		318,995		7,786,668
Embarq Corp.				30,558		1,478,090
JDS Uniphase Corp.	(1	) (2)		346,006		757,753
Juniper Networks Inc.	(1	) (2)		115,722		1,999,676
Lucent Technologies Inc.	(1	)		916,771		2,145,244
Motorola Inc.				501,055		12,526,375
QUALCOMM Inc.				337,826		12,279,975
Qwest Communications International Inc.	(1	) (2)		327,333		2,854,344
Sprint Nextel Corp.				610,959		10,477,947
Tellabs Inc.	(1	) (2)		92,528		1,014,107
Verizon Communications Inc.				592,805		22,010,850
Windstream Corp.				97,344		1,283,967
						156,111,882

See accompanying notes to the schedule of investments.

Security			Shares		Value
TEXTILES—0.05%
Cintas Corp.	(2	)		28,211	$	1,151,855
						1,151,855
TOYS, GAMES & HOBBIES—0.09%
Hasbro Inc.				33,473		761,511
Mattel Inc.				77,325		1,523,303
						2,284,814
TRANSPORTATION—1.62%
Burlington Northern Santa Fe Corp.				74,028		5,436,616
CSX Corp.				90,716		2,978,206
FedEx Corp.				62,666		6,810,541
Norfolk Southern Corp.				84,637		3,728,260
Ryder System Inc.				12,517		646,879
Union Pacific Corp.				55,088		4,847,744
United Parcel Service Inc. Class B				221,076		15,904,207
						40,352,453
TOTAL COMMON STOCKS
(Cost: $2,207,410,662)						2,459,835,097

Security			Principal		Value
SHORT-TERM INVESTMENTS—13.33%
CERTIFICATES OF DEPOSIT (3)—0.52%
Credit Suisse First Boston NY
5.28% - 5.43%, 04/23/07 - 08/21/07			$	1,817,834		1,817,834
Societe Generale
5.33%, 12/08/06				2,596,906		2,596,906
Washington Mutual Bank
5.36%, 11/13/06				6,492,265		6,492,265
Wells Fargo Bank N.A.
4.78%, 12/05/06				2,077,525		2,077,525
						12,984,530
COMMERCIAL PAPER (3)—1.65%
Amstel Funding Corp.
5.20% - 5.27%, 11/21/06 - 02/13/07	(4	)		1,406,952		1,391,868
ASAP Funding Ltd.
5.29%, 11/02/06	(4	)		649,227		646,269
Atlantis One Funding
5.30%, 11/14/06	(4	)		3,563,163		3,540,606
Beta Finance Inc.
5.27%, 01/25/07	(4	)		519,381		510,646
Bryant Park Funding LLC
5.28%, 12/14/06	(4	)		819,843		811,065
Cancara Asset Securitisation Ltd.
5.30%, 11/14/06	(4	)		1,316,424		1,308,090
CC USA Inc.
5.03%, 10/24/06	(4	)		519,381		517,785
Charta LLC
5.27% - 5.30%, 11/06/06 - 12/14/06	(4	)		2,986,442		2,968,902
Concord Minutemen Capital Co. LLC
5.27% - 5.29%, 11/16/06 - 01/11/07	(4	)		1,558,144		1,545,718
Curzon Funding LLC
5.29%, 11/17/06	(4	)		2,596,906		2,579,353
Edison Asset Securitization LLC
5.22%, 12/11/06	(4	)		1,915,790		1,896,344
Falcon Asset Securitization Corp.
5.30%, 11/06/06	(4	)		2,596,906		2,583,525
Five Finance Inc.
5.19%, 12/01/06	(4	)		1,168,608		1,158,499
Galleon Capital Corp.
5.27%, 12/18/06	(4	)		363,099		359,007

See accompanying notes to the schedule of investments.

Security			Shares or Principal		Value
General Electric Capital Services Inc.
5.22%, 12/11/06			$	259,691	$	257,055
Giro Funding US Corp.
5.34%, 10/10/06	(4	)		1,298,453		1,296,914
Grampian Funding LLC
5.03% - 5.30%, 10/17/06 - 11/16/06	(4	)		1,246,515		1,241,749
HBOS Treasury Services PLC
5.27%, 12/15/06				519,381		513,760
KKR Pacific Funding Trust
5.30%, 10/16/06 - 10/24/06	(4	)		5,193,812		5,180,049
Landale Funding LLC
5.31%, 11/15/06	(4	)		2,025,587		2,012,453
Lexington Parker Capital Co. LLC
5.19%, 11/15/06	(4	)		1,418,482		1,409,493
Mont Blanc Capital Corp.
5.29%, 11/15/06	(4	)		1,675,004		1,664,175
Nationwide Building Society
5.27%, 12/15/06				908,917		899,071
Nestle Capital Corp.
5.19%, 08/09/07				1,558,144		1,488,283
Polonius Inc.
5.26% - 5.27%, 12/15/06 - 02/20/07	(4	)		1,383,632		1,361,469
Sydney Capital Corp.
5.27%, 12/08/06	(4	)		61,936		61,329
Tulip Funding Corp.
5.29%, 11/15/06	(4	)		1,369,660		1,360,805
White Pine Finance LLC
5.12%, 10/27/06	(4	)		490,815		489,070
						41,053,352
MEDIUM-TERM NOTES (3)—0.43%
Bank of America N.A.
5.28%, 04/20/07				649,227		649,227
Cullinan Finance Corp.
5.71%, 06/28/07	(4	)		1,947,680		1,947,680
K2 USA LLC
5.39%, 06/04/07	(4	)		1,947,680		1,947,680
Marshall & Ilsley Bank
5.18%, 12/15/06				2,596,906		2,598,718
Sigma Finance Inc.
5.13% - 5.51%, 03/30/07 - 06/18/07	(4	)		3,038,380		3,038,380
US Bank N.A.
2.85%, 11/15/06				519,381		518,229
						10,699,914
MONEY MARKET FUNDS—1.08%
Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 5.30%	(5	) (6)		26,880,872		26,880,872
						26,880,872
REPURCHASE AGREEMENTS (3)—2.60%
Banc of America Securities LLC Repurchase Agreement, 5.43%, due 10/2/06, maturity value $5,196,162 (collateralized by non-U.S. Government debt securities, value $5,352,514, 4.44% to 8.00%, 6/15/07 to 5/1/19).			$	5,193,812		5,193,812
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.35%, due 10/2/06, maturity value $3,897,096 (collateralized by non-U.S. Government debt securities, value $4,287,225, 0.31% to 5.25%, 6/1/35 to 8/25/36).				3,895,359		3,895,359

See accompanying notes to the schedule of investments.

Security			Principal		Value
Bear Stearns Companies Inc. (The) Repurchase Agreement, 5.44%, due 10/2/06, maturity value $3,897,125 (collateralized by non-U.S. Government debt securities, value $4,287,225, 0.31% to 5.25%, 6/1/35 to 8/25/36)			$	3,895,359	$	3,895,359
BNP Securities Corp. Repurchase Agreement, 5.43%, due 10/2/06, maturity value $259,809 (collateralized by non-U.S. Government debt securities, value $267,626, 5.75%, 3/15/16)				259,691		259,691
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.43%, due 10/2/06, maturity value $9,093,284 (collateralized by non-U.S. Government debt securities, value $9,548,781, 5.87%, 6/25/36)				9,089,171		9,089,171
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.49%, due 10/2/06, maturity value $2,857,904 (collateralized by non-U.S. Government debt securities, value $3,174,712, 0.00% to 10.00%, 5/27/33 to 9/29/36)				2,856,597		2,856,597
Citigroup Global Markets Holdings Inc. Repurchase Agreement, 5.53%, due 10/2/06, maturity value $1,558,862 (collateralized by non-U.S. Government debt securities, value $1,709,460, 0.00% to 10.00%, 5/27/33 to 9/29/36)				1,558,144		1,558,144
Goldman Sachs & Co. Repurchase Agreement, 5.42%, due 10/2/06, maturity value $5,196,158 (collateralized by non-U.S. Government debt securities, value $5,456,446, 0.00% to 9.00%, 5/1/17 to 2/25/46)				5,193,812		5,193,812
Goldman Sachs Group Inc. Repurchase Agreement, 5.43%, due 10/2/06, maturity value $3,897,122 (collateralized by non-U.S. Government debt securities, value $5,378,497, 0.00% to 8.33%, 10/27/06 to 3/25/37)				3,895,359		3,895,359
Goldman Sachs Group Inc. Repurchase Agreement, 5.53%, due 10/2/06, maturity value $3,117,723 (collateralized by non-U.S. Government debt securities, value $3,273,868, 0.00% to 10.00%, 10/1/06 to 9/30/36)				3,116,287		3,116,287
JP Morgan Securities Inc. Repurchase Agreement, 5.48%, due 10/2/06, maturity value $649,523 (collateralized by non-U.S. Government debt securities, value $682,147, 6.50% to 7.63%, 2/1/07 to 6/1/16)				649,227		649,227
Lehman Brothers Holdings Inc. Repurchase Agreement, 5.43%, due 10/2/06, maturity value $5,196,162 (collateralized by non-U.S. Government debt securities, value $5,456,567, 0.79% to 9.08%, 8/5/18 to 12/20/54)				5,193,812		5,193,812
Merrill Lynch & Co. Inc. Repurchase Agreement, 5.43%, due 10/2/06, maturity value $5,196,162 (collateralized by non-U.S. Government debt securities, value $5,352,583, 4.85% to 8.60%, 5/1/09 to 12/1/25)				5,193,812		5,193,812
Morgan Stanley Repurchase Agreement, 5.43%, due 10/2/06, maturity value $2,598,081 (collateralized by non-U.S. Government debt securities, value $2,837,662, 4.69% to 6.41%, 12/17/19 to 6/25/45)				2,596,906		2,596,906
Morgan Stanley Repurchase Agreement, 5.53%, due 10/2/06, maturity value $3,507,439 (collateralized by non-U.S. Government debt securities, value $3,691,151, 0.00% to 10.00%, 10/1/06 to 9/30/36)				3,505,823		3,505,823
Morgan Stanley Repurchase Agreement, 5.58%, due 6/4/07, maturity value $1,887,430 (collateralized by non-U.S. Government debt securities, value $1,968,439, 0.00% to 10.00%, 10/1/06 to 9/30/36)	(7	)		1,817,834		1,817,834
Wachovia Capital Repurchase Agreement, 5.45%, due 10/2/06, maturity value $6,755,023 (collateralized by non-U.S. Government debt securities, value $7,093,380, 0.06% to 7.95%, 8/15/13 to 7/15/45)				6,751,956		6,751,956
						64,662,961

See accompanying notes to the schedule of investments.

Security			Principal		Value
TIME DEPOSITS (3)—0.02%
Societe Generale
5.25%, 10/02/06			$	466,690	$	466,690
						466,690
U.S. TREASURY OBLIGATIONS—0.06%
U.S. Treasury Bill
4.70%, 12/21/06	(8	) (9)		1,500,000		1,484,141
						1,484,141
VARIABLE & FLOATING RATE NOTES (3)—6.97%
Allstate Life Global Funding II
5.31% - 5.39%, 05/04/07 - 10/26/07	(4	)		6,648,080		6,648,905
American Express Bank
5.29%, 02/28/07				2,596,906		2,596,898
American Express Centurion Bank
5.42%, 07/19/07				2,856,597		2,859,219
American Express Credit Corp.
5.43%, 07/05/07				779,072		779,463
AmeriCredit Automobile Receivables Trust
5.35%, 10/09/07	(4	)		493,412		493,412
ASIF Global Financing
5.51%, 05/03/07	(4	)		259,691		259,776
Australia & New Zealand Banking Group Ltd.
5.33%, 09/21/07	(4	)		1,687,989		1,687,989
Bank of Ireland
5.30% - 5.31%, 08/14/07 - 08/20/07	(4	)		3,765,514		3,765,655
Beta Finance Inc.
5.30% - 5.48%, 04/25/07 - 07/25/07	(4	)		6,622,111		6,622,414
BMW US Capital LLC
5.33%, 10/15/07	(4	)		2,596,906		2,596,906
BNP Paribas
5.36%, 05/18/07	(4	)		4,804,276		4,804,276
Carlyle Loan Investment Ltd.
5.38%, 04/13/07 - 07/15/07	(4	)		1,895,741		1,895,741
CC USA Inc.
5.48%, 07/30/07	(4	)		1,298,453		1,298,606
Commodore CDO Ltd.
5.47%, 06/12/07	(4	)		649,227		649,227
Credit Agricole SA
5.48%, 07/23/07				2,596,906		2,596,906
Credit Suisse First Boston NY
5.51%, 04/24/07				1,298,453		1,298,502
Cullinan Finance Corp.
5.36%, 04/25/07	(4	)		649,227		649,227
DEPFA Bank PLC
5.43%, 09/14/07				2,596,906		2,596,906
Dorada Finance Inc.
5.47%, 06/27/07 - 07/17/07	(4	)		2,986,442		2,986,611
Eli Lilly Services Inc.
5.32%, 10/01/07	(4	)		2,596,906		2,596,906
Fifth Third Bancorp
5.31%, 09/21/07	(4	)		5,193,812		5,193,812
Five Finance Inc.
5.32% - 5.44%, 12/01/06 - 07/13/07	(4	)		2,596,906		2,596,726

See accompanying notes to the schedule of investments.

Security			Principal		Value
General Electric Capital Corp.
5.29% - 5.46%, 07/09/07 - 10/24/07			$	2,726,751	$	2,727,328
Granite Master Issuer PLC
5.30%, 08/20/07	(4	)		9,089,172		9,089,172
Harrier Finance Funding LLC
5.34% - 5.41%, 07/25/07 - 08/15/07	(4	)		2,077,525		2,077,804
Hartford Life Global Funding Trusts
5.35% - 5.55%, 07/13/07 - 10/15/07				3,895,359		3,895,908
HBOS Treasury Services PLC
5.46%, 07/24/07	(4	)		2,596,906		2,596,906
Holmes Financing PLC
5.30%, 07/16/07	(4	)		4,544,586		4,544,586
JP Morgan Chase & Co.
5.30%, 08/02/07				1,947,680		1,947,680
K2 USA LLC
5.20% - 5.33%, 04/02/07 - 06/28/07	(4	)		1,947,680		1,947,603
Kestrel Funding LLC
5.31%, 07/11/07	(4	)		1,038,762		1,038,677
Kommunalkredit Austria AG
5.33%, 09/09/07	(4	)		1,558,144		1,558,144
Leafs LLC
5.33%, 01/22/07 - 02/20/07	(4	)		2,708,307		2,708,307
Lexington Parker Capital Co. LLC
5.46%, 01/10/07	(4	)		3,246,133		3,245,580
Links Finance LLC
5.29% - 5.42%, 05/10/07 - 05/16/07	(4	)		2,856,597		2,856,420
Lothian Mortgages Master Issuer PLC
5.30%, 04/24/07	(4	)		1,144,269		1,144,269
Marshall & Ilsley Bank
5.31%, 10/15/07				1,428,298		1,428,298
Metropolitan Life Global Funding I
5.34%, 08/06/07	(4	)		3,895,359		3,895,359
Metropolitan Life Insurance Funding Agreement
5.57%, 08/01/07	(4	) (7)		259,691		259,691
Monumental Global Funding II
5.38%, 12/27/06	(4	)		519,381		519,420
Mound Financing PLC
5.30%, 05/08/07	(4	)		2,441,092		2,441,092
Natexis Banques Populaires
5.31% - 5.38%, 02/05/07 - 10/15/07	(4	)		7,790,719		7,790,607
National City Bank of Indiana
5.37%, 05/21/07				1,298,453		1,298,523
Nationwide Building Society
5.36% - 5.62%, 07/20/07 - 10/05/07	(4	)		8,569,790		8,571,600
Newcastle Ltd.
5.35%, 04/24/07	(4	)		915,409		915,258
Northern Rock PLC
5.37%, 08/03/07	(4	)		3,116,287		3,116,354
Northlake CDO I
5.46%, 09/06/07	(4	)		779,072		779,072
Principal Life Global Funding I
5.83%, 02/08/07				1,168,608		1,170,536
Sedna Finance Inc.
5.36% - 5.37%, 05/25/07 - 08/21/07	(4	)		3,765,514		3,765,439
Skandinaviska Enskilda Bank NY
5.33%, 10/18/07	(4	)		2,596,906		2,596,906
Strips III LLC
5.38%, 07/24/07	(4	)		613,670		613,670
SunTrust Bank
5.30%, 05/01/07				2,596,906		2,596,998
Tango Finance Corp.
5.22% - 5.48%, 04/25/07 - 07/16/07	(4	)		6,336,451		6,335,949

See accompanying notes to the schedule of investments.

Security			Principal		Value
Union Hamilton Special Funding LLC
5.36% - 5.39%, 12/21/06 - 03/28/07	(4	)	$	3,635,669	$	3,635,668
Wachovia Asset Securitization Inc.
5.32%, 10/25/06	(4	)		3,616,595		3,616,594
Wachovia Bank N.A.
5.43%, 05/22/07				5,193,812		5,193,812
Wal-Mart Stores Inc.
5.50%, 07/16/07	(4	)		1,947,680		1,948,712
Wells Fargo & Co.
5.34%, 09/14/07	(4	)		1,298,453		1,298,526
WhistleJacket Capital Ltd.
5.29% - 5.35%, 04/18/07 - 06/13/07	(4	)		1,947,680		1,947,672
White Pine Finance LLC
5.29% - 5.35%, 05/22/07 - 08/20/07	(4	)		7,790,718		7,789,272
Wind Master Trust
5.32%, 07/25/07	(4	)		1,038,762		1,038,762
						173,416,257
TOTAL SHORT-TERM INVESTMENTS
(Cost: $331,648,184)						331,648,717
TOTAL INVESTMENTS IN SECURITIES — 112.15%
(Cost: $2,539,058,846)						2,791,483,814
Other Assets, Less Liabilities — (12.15)%						(302,361,778	)
NET ASSETS — 100.00%					$	2,489,122,036

NVS	Non-Voting Shares
(1)	Non-income earning security.
(2)	All or a portion of this security represents a security on loan. See Note 3.
(3)	All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 3.
(4)	This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933.
(5)	Affiliated issuer. See Note 2.
(6)	The rate quoted is the annualized seven-day yield of the fund at period end.
(7)	The investment adviser has determined that this security or a portion of these securities is illiquid.
(8)	The rate quoted is the yield to maturity.
(9)	This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1.

As of September 30, 2006, the open futures contracts held by the Master Portfolio were as follows:

			Notional		Net
Futures Contracts	Number of		Contract		Unrealized
(Expiration Date)	Contracts		Value		Appreciation
S&P 500 Index (12/15/06)		456	$	30,675,120	$	425,676
					$	425,676

See accompanying notes to the schedule of investments.

S&P 500 INDEX MASTER PORTFOLIO
NOTES TO THE SCHEDULE OF INVESTMENTS (Unaudited)

Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company organized as a Delaware statutory trust. As of September 30, 2006, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.

These notes relate only to the schedule of investments for the S&P 500 Index Master Portfolio (the “Master Portfolio”).

1. SIGNIFICANT ACCOUNTING POLICIES

SECURITY VALUATION

The securities and other assets of the Master Portfolio are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equilvalent indication of value supplied by an exchange, a pricing service or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. In the event that the current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP.

FEDERAL INCOME TAXES

As of September 30, 2006, the cost of investments for federal income tax purposes was $2,542,747,065. Net unrealized appreciation aggregated $248,736,749, of which $518,809,959 represented gross unrealized appreciation on securities and $270,073,210 represented gross unrealized depreciation on securities.

FUTURES CONTRACTS

The Master Portfolio may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, the Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin”. Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission (“SEC”), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities.

The Master Portfolio has pledged to a broker a U.S. Treasury Bill with a face amount of $1,500,000 for initial margin requirements.

REPURCHASE AGREEMENTS

The Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio’s custodian or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest.

2. TRANSACTIONS WITH AFFILIATES

The Master Portfolio may invest in the Institutional Shares of certain money market funds managed by Barclays Global Fund Advisors (“BGFA”), the Master Portfolio’s investment adviser, including the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”), Prime Money Market Fund (“PMMF”) and Treasury Money Market Fund (“TMMF”) of Barclays Global Investors Funds. The GMMF, IMMF, PMMF and TMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (collectively, the “Master Portfolios”), respectively, which are also managed by BGFA. While the GMMF, IMMF, PMMF and TMMF do not directly charge an investment advisory fee, the Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF, PMMF and TMMF are declared daily and paid monthly from net investment income.

The following table provides information about the direct investment by the Master Portfolio (exclusive of investments of securities lending collateral) in issuers of which BGFA is an affiliate, for the three quarters ended September 30, 2006.

Number of

Shares Held

Number of

Beginning

Gross

Gross

Shares Held

Value at

of Period

Additions

Reductions

End of Period

End of

Interest

Name of Affiliated Issuer

(in 000s)

(in 000s)

(in 000s)

(in 000s)

Period

Income

IMMF

19,125

4,623,226

4,612,470

26,881

$

26,880,872

$

881,030

3. PORTFOLIO SECURITIES LOANED

The Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolio of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due.

As of September 30, 2006, the Master Portfolio had loaned securities which were collateralized by cash. Pursuant to an exemptive order by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities or non-U.S. Government debt securities.

Item 2. Controls and Procedures.

(a) Based on an evaluation of the Disclosure Controls and Procedures of The Diversified Investors Funds Group (the “Funds”) as of a date within 90 days of the filing date of this report, the Funds’ President & Chief Executive Officer and Principal Financial Officer have concluded that the Funds’ Disclosure Controls and Procedures are effectively designed to ensure that information required to be disclosed in this report is recorded, processed, summarized, and reported within required time periods, and accumulated and communicated to the Funds’ management, including the Funds’ President & Chief Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.

(b) During the quarter ended September 30, 2006, there has been no change in the Funds’ internal control over financial reporting that has materially affected, or that is reasonably likely to materially affect, the Funds’ internal control over financial reporting.

ITEM 3. Exhibits.

The certifications of the President & Chief Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as Form N-Q Certifications.

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.

THE DIVERSIFIED INVESTORS FUNDS GROUP

By:	/s/ Joseph Carusone
	Joseph Carusone
	Principal Financial Officer

Date: November 27, 2006

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

By:	/s/ Mark Mullin
	Mark Mullin
	President & Chief Executive Officer

Date: November 27, 2006

By:	/s/ Joseph Carusone
	Joseph Carusone
	Principal Financial Officer

Date: November 27, 2006