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: 811-8399

PIMCO Variable Insurance Trust

(Exact name of registrant as specified in charter)

840 Newport Center Drive, Newport Beach, CA 92660

(Address of principal executive offices)

John P. Hardaway

Treasurer

PIMCO Funds

840 Newport Center Drive

Newport Beach, CA 92660

(Name and address of agent for service)

Copies to:

Brendan Fox

Dechert LLP

1775 1 Street, N.W.

Washington, D.C. 20006

Registrant’s telephone number, including area code: (949) 720-4761

Date of fiscal year end: December 31

Date of reporting period: July 1, 2004 – September 30, 2004

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5(§§ 239.24 and 274.9 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policy making rules.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

Table of Contents

- All Asset Portfolio

- CommodityRealReturn Strategy Portfolio

- Emerging Markets Bond Portfolio

- Foreign Bond Portfolio

- Global Bond Portfolio

- High Yield Portfolio

- Long-Term U.S. Government Portfolio

- Low Duration Portfolio

- Money Market Portfolio

- Real Return Portfolio

- Short-Term Portfolio

- StocksPLUS Growth & Income Portfolio

- Total Return Portfolio

- Total Return Portfolio II

Schedule of Investments

All Asset Portfolio (a)

September 30, 2004 (Unaudited)

	Shares		Value (000s)
PIMCO FUNDS (b) 98.9%
CommodityRealReturn Strategy	685,609		$	10,819
Convertible	97,819			1,152
Emerging Markets Bond	590,554			6,360
European Convertible	174,653			2,159
Foreign Bond (Unhedged)	962			10
GNMA	405,632			4,515
High Yield	658,319			6,405
International StocksPLUS TR Strategy	357,414			3,878
Low Duration	238,244			2,447
Real Return	420,260			4,867
Real Return Asset	428,261			5,173
RealEstateRealReturn Strategy	245,984			2,922
Short-Term	2,034			20
StocksPLUS	920,936			8,602
StocksPLUS Total Return	581,098			7,066
Total Investments	98.9	%	$	66,395
(Cost $64,482)
Other Assets and Liabilities (Net)	1.1	%		743
Net Assets	100.0	%	$	67,138

Notes to Schedule of Investments:

(a) The Portfolio is investing in Affiliates.

(b) Institutional Class of each PIMCO Fund.

1

Schedule of Investments

CommodityRealReturn Strategy Portfolio

September 30, 2004 (Unaudited)

		Principal Amount (000s	)		Value (000s	)
U.S. TREASURY OBLIGATIONS 94.4%
Treasury Inflation Protected Securities (a)
3.375% due 01/15/2007	$	239		$	256
4.250% due 01/15/2010		113			131
3.000% due 07/15/2012		1,917			2,123
2.375% due 01/15/2025		603			628
Total U.S. Treasury Obligations (Cost $3,148)					3,138
PURCHASED PUT OPTION 0.0%
		Notional Amount (000s	)
Treasury Inflation Protected Securities (OTC)
3.000% due 07/15/2012
Strike @ 75.000 Exp. 11/16/2004		500			0
Total Purchased Put Options (Cost $0)					0
SHORT-TERM INSTRUMENTS 93.9%
		Principal Amount (000s	)
Commercial Paper 72.1%
CBA (de) Finance
1.840% due 12/23/2004		100			99
Danske Corp.
1.840% due 12/09/2004		100			100
Fannie Mae
1.446% due 10/06/2004		300			300
1.730% due 10/08/2004		300			300
1.731% due 12/08/2004		300			299
Federal Home Loan Bank
1.550% due 10/01/2004		600			600
1.650% due 10/07/2004		100			100
1.805% due 12/07/2004		300			299
General Electric Capital Corp.
1.750% due 11/08/2004		100			100
HBOS Treasury Services PLC
1.800% due 11/22/2004		100			100
UBS Finance, Inc.
1.780% due 11/29/2004		100			100
					2,397
Repurchase Agreements 18.2%
Lehman Brothers, Inc.
1.660% due 10/01/2004		500			500
(Dated 09/30/2004. Collateralized by U.S. Treasury Bond 11.250% due 02/15/2015 valued at $516. Repurchase proceeds are $500.)
State Street Bank
1.400% due 10/01/2004		106			106
(Dated 09/30/2004. Collateralized by Federal Home Loan Bank 2.490% due 04/02/2018 valued at $110. Repurchase proceeds are $106.)
					606
U.S. Treasury Bills 3.6%
1.625% due 12/16/2004 (b)		120			119
Total Short-Term Instruments (Cost $3,122)					3,122
Total Investments 188.3%				$	6,260
(Cost $6,270)
Other Assets and Liabilities (Net) (88.3%)					(2,935	)
Net Assets 100.0%				$	3,325

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Principal amount of security is adjusted for inflation.

(b) Securities with an aggregate market value of $120 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
Euro-Bund 10-Year Note Long Futures	12/2004	1	$	1

(c) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000	%	06/15/2008	BP	100	$	0
Goldman Sachs & Co.	3-month LIBOR	Pay	5.000	%	12/15/2014	$	150		7
Goldman Sachs & Co.	3-month LIBOR	Receive	6.000	%	12/18/2033		300		(7	)
								$	0
Total Return Swaps
Counterparty	Receive total return	Pay			Expiration Date		Notional Amount		Unrealized Appreciation
J.P. Morgan Chase & Co.	Dow Jones - AIG Commodity Index	3-month Treasury Bill rate plus a spread			10/29/2004	$	3,100	$	0

(d) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation
Sell	EC	4	10/2004	$	0	$	0		$	0

Schedule of Investments

Emerging Markets Bond Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)		Value (000s)
BRAZIL 29.3%
Republic of Brazil
11.500% due 03/12/2008	$	400	$	463
2.130% due 04/15/2009 (a)		918		901
14.500% due 10/15/2009		540		699
12.000% due 04/15/2010		460		550
10.000% due 08/07/2011		1,250		1,386
2.130% due 04/15/2012 (a)		2,361		2,203
11.000% due 01/11/2012		1,160		1,337
10.500% due 07/14/2014		450		502
2.060% due 04/15/2024 (a)		100		89
6.000% due 04/15/2024 (a)		120		108
8.000% due 04/15/2014		4,451		4,430
8.875% due 04/15/2024		1,150		1,108
10.125% due 05/15/2027		1,540		1,640
12.250% due 03/06/2030		220		273
8.250% due 01/20/2034		540		483
11.000% due 08/17/2040		1,146		1,286
Total Brazil (Cost $16,331)				17,458
BULGARIA 0.7%
Republic of Bulgaria
2.750% due 07/28/2011 (a)		328		327
2.750% due 07/28/2012 (a)		76		76
Total Bulgaria (Cost $384)				403
CAYMAN ISLANDS 0.4%
Petrobras International Finance Co.
7.750% due 09/15/2014		250		249
Total Cayman Islands (Cost $247)				249
CHILE 1.6%
Republic of Chile
5.625% due 07/23/2007		915		966
Total Chile (Cost $962)				966
CHINA 1.3%
Export-Import Bank of China
5.250% due 07/29/2014		800		805
Total China (Cost $792)				805
COLOMBIA 1.0%
Republic of Colombia
9.750% due 04/23/2009		220		249
9.750% due 04/09/2011		87		99
10.750% due 01/15/2013		220		253
Total Colombia (Cost $575)				601
ECUADOR 4.4%
Republic of Ecuador
8.000% due 08/15/2030		3,219		2,624
Total Ecuador (Cost $1,889)				2,624
EL SALVADOR 0.3%
Republic of El Salvador
8.500% due 07/25/2011		150		169
Total El Salvador (Cost $164)				169
GUATEMALA 1.1%
Republic of Guatemala
9.250% due 08/01/2013		570		641
Total Guatemala (Cost $570)				641
MALAYSIA 1.5%
Petronas Capital Ltd.
7.000% due 05/22/2012		325		371
Republic of Malaysia
8.750% due 06/01/2009		120		144
7.500% due 07/15/2011		325		381
Total Malaysia (Cost $883)				896
MEXICO 13.0%
Banco Mercantil del Norte S.A.
5.875% due 02/17/2014		145		146
Pemex Project Funding Master Trust
8.000% due 11/15/2011		250		283
7.375% due 12/15/2014		315		344
Petroleos Mexicanos
9.250% due 03/30/2018		127		155
United Mexican States
10.375% due 02/17/2009		375		462
8.375% due 01/14/2011		860		1,011
7.500% due 01/14/2012		485		548
6.375% due 01/16/2013		2,670		2,818
11.375% due 09/15/2016		25		37
8.125% due 12/30/2019		574		660
8.300% due 08/15/2031		1,165		1,328
Total Mexico (Cost $7,620)				7,792
MOROCCO 0.4%
Kingdom of Morocco
2.000% due 01/05/2009		225		221
Total Morocco (Cost $207)				221
PANAMA 1.5%
Republic of Panama
8.250% due 04/22/2008		15		17
9.625% due 02/08/2011		210		242
9.375% due 07/23/2012		310		353
8.875% due 09/30/2027		80		84
9.375% due 04/01/2029		200		225
Total Panama (Cost $885)				921
PERU 3.5%
Republic of Peru
9.125% due 01/15/2008		750		850
9.125% due 02/21/2012		920		1,035
4.500% due 03/07/2017		240		215
Total Peru (Cost $2,061)				2,100
RUSSIA 15.8%
Gazprom International S.A.
9.625% due 03/01/2013		150		167
Russian Federation
8.750% due 07/24/2005		800		835
5.000% due 03/31/2030		8,725		8,415
Total Russia (Cost $9,372)				9,417
SOUTH AFRICA (e) 2.8%
Republic of South Africa
7.375% due 04/25/2012	$	310		350
5.250% due 05/16/2013	EC	400		504
6.500% due 06/02/2014	$	750		801
Total South Africa (Cost $1,548)				1,655
SOUTH KOREA 1.1%
Hyundai Motor Manufacturing Alabama LLC
5.300% due 12/19/2008		500		514
Industrial Bank of Korea
4.000% due 05/19/2014		110		108
Korea Development Bank
5.750% due 09/10/2013		15		16
Total South Korea (Cost $624)				638
TUNISIA (e) 2.8%
Banque Centrale De Tunisie
4.750% due 04/07/2011	EC	500		629
7.375% due 04/25/2012	$	900		1,027
Total Tunisia (Cost $1,626)				1,656
UKRAINE 4.0%
Republic of Ukraine
11.000% due 03/15/2007		334		365
5.330% due 08/05/2009 (a)		600		609
6.875% due 03/04/2011		900		889
7.650% due 06/11/2013		500		503
Total Ukraine (Cost $2,357)				2,366
UNITED STATES 0.7%
First Franklin Mortgage Loan Trust Asset-Backed Certificates
1.890% due 10/25/2034 (a)		400		399
Total United States (Cost $400)				399
VENEZUELA 1.2%
Republic of Venezuela
5.375% due 08/07/2010		600		545
9.375% due 01/13/2034		200		198
Total Venezuela (Cost $691)				743
SHORT-TERM INSTRUMENTS 38.2%
Commercial Paper 38.0%
ABN AMRO North America
1.480% due 10/06/2004		700		700
Anz (Delaware), Inc.
1.635% due 11/18/2004		1,600		1,596
1.845% due 12/17/2004		200		199
ASB Bank Ltd.
1.725% due 12/03/2004		500		498
1.730% due 12/03/2004		300		299
Barclays U.S. Funding Corp.
1.770% due 10/21/2004		1,100		1,099
1.750% due 11/15/2004		700		698
CBA (de) Finance
1.850% due 12/20/2004		1,000		996
Danske Corp.
1.520% due 10/18/2004		1,600		1,599
1.785% due 12/16/2004		100		100
Den Norske Bank ASA
1.810% due 12/20/2004		400		398
1.840% due 12/23/2004		700		697
1.850% due 12/27/2004		700		697
Dexia Delaware LLC
1.505% due 10/01/2004		1,100		1,100
1.540% due 10/04/2004		600		600
1.830% due 12/20/2004		100		100
Fannie Mae
1.693% due 11/08/2004		100		100
1.800% due 11/29/2004		400		399
Federal Home Loan Bank
1.505% due 10/06/2004		400		400
General Electric Capital Corp.
1.590% due 11/05/2004		1,000		998
1.600% due 11/09/2004		500		499
1.610% due 11/16/2004		200		200
HBOS Treasury Services PLC
1.560% due 10/19/2004		1,300		1,299
1.655% due 11/18/2004		200		199
1.730% due 12/02/2004		300		299
ING U.S. Funding LLC
1.730% due 12/01/2004		200		199
1.820% due 12/16/2004		1,500		1,494
Lloyds Bank PLC
1.530% due 10/22/2004		200		200
Spintab AB
1.590% due 11/10/2004		800		799
1.740% due 12/02/2004		1,000		997
Stadshypoket Delaware, Inc.
1.625% due 11/10/2004		700		699
Svenska Handelsbanken, Inc.
1.625% due 11/04/2004		1,600		1,597
1.610% due 11/10/2004		200		200
UBS Finance, Inc.
1.785% due 12/14/2004		400		398
UniCredit Delaware
1.570% due 10/22/2004		200		200
Westpac Trust Securities NZ Ltd.
1.520% due 10/15/2004		100		100
				22,652
Repurchase Agreement 0.2%
State Street Bank
1.400% due 10/01/2004		142		142
(Dated 09/30/2004. Collateralized by Federal Home Loan Bank 2.500% due 12/15/2005 valued at $146. Repurchase proceeds are $142.)
U.S. Treasury Bills 0.0%
1.630% due 12/16/2004 (b)		20		20
Total Short-Term Instruments (Cost $22,815)				22,814
Total Investments 126.6%			$	75,534
(Cost $73,003)
Written Options (d) (0.0%)				(3	)
(Premiums $4)
Other Assets and Liabilities (Net) (26.6%)				(15,856	)
Net Assets 100.0%			$	59,675

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Securities with an aggregate market value of $20 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
U.S. Treasury 10-Year Note Long Futures	12/2004	2	$	2

(c) Swap agreements outstanding at September 30, 2004:

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	United Mexican States 7.500% due 04/08/2033	Sell	0.650	%	05/20/2005	$	33	$	0
Goldman Sachs & Co.	United Mexican States 11.500% due 05/15/2026	Sell	1.310	%	01/29/2005		300		1
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.060	%	03/06/2005		300		1
J.P. Morgan Chase & Co.	United Mexican States 9.750% due 04/06/2005	Sell	2.840	%	01/04/2013		1,600		148
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.550	%	03/20/2014		350		(6	)
Merrill Lynch & Co., Inc.	United Mexican States 9.750% due 04/06/2005	Sell	1.250	%	01/22/2005		100		0
Merrill Lynch & Co., Inc.	Republic of Kazakhstan 11.125% due 05/11/2007	Sell	0.700	%	03/11/2005		100		0
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.280	%	05/01/2005		1,000		3
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.350	%	07/10/2005		250		1
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	3.160	%	10/02/2013		450		12
Merrill Lynch & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	2.310	%	01/21/2014		525		(17	)
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.950	%	12/09/2004		1,000		1
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	0.625	%	05/20/2005		100		0
Morgan Stanley Dean Witter & Co.	Dow Jones CDX EM2 Index	Sell	2.600	%	12/20/2009		1,950		(6	)
								$	138

(d) Premiums received on written options:

Name of Issuer	Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note December Futures	115.000	11/26/2004	10	$	4	$	3

(e) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	163	10/2004	$	5	$	0		$	5
Buy		149	11/2004		3		0			3
Buy		90	12/2004		1		0			1
Buy	CP	27,622	11/2004		2		0			2
Buy		18,181	12/2004		0		0			0
Buy	CY	896	09/2004		0		0			0
Sell	EC	896	10/2004		0		(26	)		(26	)
Buy	H$	350	10/2004		0		0			0
Buy		389	11/2004		0		0			0
Buy		233	12/2004		0		0			0
Buy	KW	52,245	10/2004		1		0			1
Buy		514,747	11/2004		10		0			10
Sell		327,408	11/2004		1		0			1
Buy		35,400	12/2004		0		0			0
Buy	MP	555	11/2004		0		0			0
Buy		818	12/2004		1		0			1
Buy	PN	174	11/2004		0		0			0
Buy		104	12/2004		0		0			0
Buy	PZ	160	11/2004		1		0			1
Buy		162	12/2004		1		0			1
Buy	RP	2,035	12/2004		0		0			0
Buy	RR	1,281	10/2004		0		0			0
Buy		1,426	11/2004		0		0			0
Buy		914	12/2004		0		0			0
Buy	S$	76	10/2004		1		0			1
Buy		85	11/2004		1		0			1
Buy		51	12/2004		0		0			0
Buy	SV	9,346	11/2004		5		0			5
Buy		1,003	12/2004		0		0			0
Buy	T$	1,656	11/2004		0		0			0
Buy		996	12/2004		0		0			0
				$	33	$	(26	)	$	7

Schedule of Investments

Foreign Bond Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)		Value (000s)
AUSTRALIA 0.2%
Crusade Global Trust
1.580% due 02/15/2030 (a)	$	11	$	11
Medallion Trust
1.370% due 07/12/2031 (a)		25		25
National Australia Bank Ltd.
1.883% due 05/19/2010 (a)		50		50
Total Australia (Cost $86)				86
AUSTRIA (h) 1.5%
Republic of Austria
5.250% due 01/04/2011	EC	300		408
3.800% due 10/20/2013		100		123
Total Austria (Cost $447)				531
BRAZIL 0.3%
Republic of Brazil
2.062% due 04/15/2006 (a)	$	32		32
2.125% due 04/15/2009 (a)		17		17
2.125% due 04/15/2012 (a)		67		62
Total Brazil (Cost $106)				111
CANADA (h) 3.7%
Commonwealth of Canada
6.000% due 06/01/2008	C$	500		427
5.500% due 06/01/2009		400		337
5.500% due 06/01/2010		300		254
6.000% due 06/01/2011		300		261
Total Canada (Cost $1,127)				1,279
CAYMAN ISLANDS (h) 1.7%
Pylon Ltd.
3.553% due 12/18/2008 (a)	EC	250		321
Vita Capital Ltd.
2.460% due 01/01/2007 (a)	$	250		252
Total Cayman Islands (Cost $554)				573
DENMARK (h) 0.2%
Nykredit Konvertible
6.000% due 10/01/2029	DK	326		57
Total Denmark (Cost $36)				57
FRANCE (h) 0.8%
Republic of France
4.000% due 04/25/2009	EC	80		103
4.000% due 10/25/2009		30		38
5.500% due 04/25/2010		110		151
Total France (Cost $200)				292
GERMANY (h) 22.9%
KFW International Finance, Inc.
3.500% due 11/15/2005	EC	100		126
Landesbank Baden-Wuerttemberg AG
5.500% due 04/02/2007		30		40
Republic of Germany
4.500% due 07/04/2009		10		13
5.250% due 07/04/2010		300		407
5.250% due 01/04/2011		300		408
5.000% due 01/04/2012		100		134
5.000% due 07/04/2012		900		1,208
4.500% due 01/04/2013		80		104
4.250% due 01/04/2014		700		890
6.250% due 01/04/2024		600		913
5.000% due 07/04/2027		590		929
4.750% due 07/04/2028		30		38
5.625% due 01/04/2028		1,800		2,552
5.500% due 01/04/2031		100		141
Total Germany (Cost $7,230)				7,903
ITALY (h) 14.3%
First Italian Auto Transaction
2.240% due 07/12/2008 (a)	EC	18		22
Republic of Italy
2.125% due 02/01/2006		400		543
3.500% due 01/15/2008		2,700		3,408
4.250% due 11/01/2009		60		78
4.500% due 05/01/2009		360		471
5.500% due 11/01/2010		110		151
Seashell Securities PLC
2.359% due 10/25/2028 (a)		141		175
Telecom Italia SpA
5.625% due 02/01/2007 (a)		70		92
Total Italy (Cost $4,779)				4,940
JAPAN (h) 8.2%
Government of Japan
0.300% due 12/20/2007	JY	50,000		454
0.700% due 09/20/2008		10,000		92
1.500% due 12/20/2011		167,000		1,566
1.600% due 09/20/2013		30,000		279
2.400% due 06/20/2024		34,000		327
Japan Financial Corp.
5.875% due 03/14/2011	$	80		88
Total Japan (Cost $2,724)				2,806
LUXEMBOURG 0.3%
Tyco International Group S.A.
5.875% due 11/01/2004	$	100		100
Total Luxembourg (Cost $100)				100
MEXICO 0.2%
Pemex Project Funding Master Trust
8.625% due 02/01/2022	$	20		23
Petroleos Mexicanos
8.850% due 09/15/2007		20		23
9.375% due 12/02/2008		30		35
Total Mexico (Cost $70)				81
NETHERLANDS (h) 0.8%
Kingdom of Netherlands
6.000% due 01/15/2006	EC	200		260
Total Netherlands (Cost $191)				260
NEW ZEALAND (h) 0.2%
Commonwealth of New Zealand
4.500% due 02/15/2016 (b)	N$	86		74
Total New Zealand (Cost $47)				74
RUSSIA 0.5%
Russian Federation
8.750% due 07/24/2005	$	90		94
10.000% due 06/26/2007		60		68
Total Russia (Cost $163)				162
SOUTH AFRICA 0.3%
Republic of South Africa
8.375% due 10/17/2006	$	105		116
Total South Africa (Cost $117)				116
SPAIN (h) 5.2%
Kingdom of Spain
4.950% due 07/30/2005	EC	30		38
5.150% due 07/30/2009		1,210		1,630
4.000% due 01/31/2010		100		128
Total Spain (Cost $1,602)				1,796
UNITED KINGDOM (h) 13.4%
Haus Ltd.
2.347% due 12/14/2037 (a)	EC	69		86
Lloyds TSB Bank PLC
5.625% due 07/15/2049		40		54
1.500% due 11/29/2049 (a)	$	100		88
United Kingdom Gilt
5.000% due 03/07/2008	BP	1,100		2,011
4.000% due 03/07/2009		200		352
5.000% due 03/07/2012		600		1,100
5.000% due 09/07/2014		500		919
Total United Kingdom (Cost $4,545)				4,610
UNITED STATES (h) 26.1%
Asset-Backed Securities 2.6%
Ameriquest Mortgage Securities, Inc.
1.710% due 03/25/2033 (a)	$	33		33
Amortizing Residential Collateral Trust
1.650% due 10/25/2031 (a)		10		10
1.590% due 07/25/2032 (a)		17		17
AMRESCO Residential Securities Corp. Mortgage Loan Trust
1.770% due 06/25/2029 (a)		3		3
Countrywide Asset-Backed Certificates
1.620% due 12/25/2018 (a)		39		39
Credit-Based Asset Servicing and Securitization
1.620% due 06/25/2032 (a)		29		29
CS First Boston Mortgage Securities Corp.
1.610% due 01/25/2032 (a)		7		7
Fieldstone Mortgage Investment Corp.
1.590% due 01/25/2035 (a)		78		78
First Alliance Mortgage Loan Trust
1.830% due 12/20/2027 (a)		6		6
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 02/25/2034 (a)		169		170
Home Equity Asset Trust
1.710% due 03/25/2033 (a)		12		12
1.450% due 08/25/2034 (a)		84		84
Household Mortgage Loan Trust
2.111% due 05/20/2032 (a)		26		26
Irwin Home Equity Loan Trust
1.820% due 06/25/2028 (a)		27		27
Long Beach Mortgage Loan Trust
1.620% due 06/25/2033 (a)		38		38
1.620% due 07/25/2033 (a)		23		23
MLCC Mortgage Investors, Inc.
2.140% due 03/15/2025 (a)		36		36
Morgan Stanley Dean Witter Capital I, Inc.
1.670% due 07/25/2030 (a)		2		2
1.630% due 07/25/2032 (a)		13		13
Novastar Home Equity Loan
1.575% due 04/25/2028 (a)		9		9
1.580% due 01/25/2031 (a)		7		7
Providian Home Equity Loan Trust
1.590% due 06/25/2025 (a)		7		7
Quest Trust
2.010% due 06/25/2034 (a)		171		171
Residential Asset Securities Corp.
1.550% due 07/25/2032 (a)		52		52
				899
Corporate Bonds & Notes 2.8%
Comcast Corp.
7.050% due 03/15/2033		100		110
Entergy Gulf States, Inc.
2.433% due 06/18/2007 (a)		100		100
Ford Motor Credit Co.
7.500% due 03/15/2005		200		204
General Motors Acceptance Corp.
2.135% due 05/18/2006 (a)		100		100
J.P. Morgan Chase & Co., Inc.
6.772% due 02/15/2012 (a)		10		11
KFW International Finance, Inc.
1.750% due 03/23/2010	JY	11,000		105
Morgan Stanley Dean Witter Capital I, Inc.
1.900% due 04/15/2016 (a)	$	190		190
Pacific Gas & Electric Co.
1.810% due 04/03/2006 (a)		110		110
UFJ Finance Aruba AEC
6.750% due 07/15/2013		40		44
				974
Mortgage-Backed Securities 5.1%
Bear Stearns Commercial Mortgage Securities, Inc.
1.977% due 05/14/2016 (a)		200		200
Commercial Mortgage Asset Trust
6.975% due 01/17/2032		100		116
Commercial Mortgage Pass-Through Certificates
1.930% due 07/15/2015 (a)		155		155
1.970% due 11/15/2015 (a)		198		198
CS First Boston Mortgage Securities Corp.
6.500% due 04/25/2033		39		39
1.082% due 08/25/2033 (a)		50		50
First Horizon Asset Securities, Inc.
7.000% due 05/25/2030		5		5
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		100		109
Impac Secured Assets CMN Owner Trust
1.490% due 08/25/2034 (a)		181		181
Mellon Residential Funding Corp.
1.820% due 12/15/2030 (a)		104		104
Sequoia Mortgage Trust
1.900% due 08/20/2032 (a)		71		70
Structured Asset Mortgage Investments, Inc.
1.421% due 09/19/2032 (a)		76		75
2.101% due 09/19/2032 (a)		190		190
1.950% due 03/19/2034 (a)		185		185
Structured Asset Securities Corp.
1.590% due 01/25/2033 (a)		20		20
Washington Mutual Mortgage Securities Corp.
6.000% due 03/25/2017		8		8
3.065% due 02/27/2034 (a)		48		48
Washington Mutual, Inc.
5.159% due 10/25/2032 (a)		13		13
				1,766
Municipal Bonds & Notes 1.2%
Connecticut State General Obligation Bonds, Series 2001
5.500% due 12/15/2013		100		116
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		100		101
Lower Colorado River Authority Revenue Bonds, (FSA Insured), Series 2003
5.000% due 05/15/2023		100		104
Seattle, Washington Water System Revenue Bonds, (MBIA Insured), Series 2003
5.000% due 09/01/2033		100		102
				423
U.S. Government Agencies 7.9%
Fannie Mae
1.420% due 03/25/2034 (a)		187		186
1.570% due 08/25/2034 (a)		195		195
1.650% due 01/25/2016 (a)		12		12
5.000% due 09/01/2018		171		174
5.213% due 04/01/2033 (a)		43		44
5.500% due 11/01/2016 - 10/14/2034 (c)		1,244		1,286
Freddie Mac
3.456% due 02/01/2029 (a)		56		58
5.000% due 09/15/2016		41		42
6.530% due 11/26/2012		300		325
Government National Mortgage Association
3.250% due 06/20/2030 (a)		35		36
3.375% due 04/20/2030 (a)		13		13
4.000% due 05/20/2030 (a)		15		16
4.375% due 04/20/2028 (a)		4		4
Tennessee Valley Authority
4.875% due 12/15/2016		300		319
				2,710
U.S. Treasury Obligations 5.9%
Treasury Inflation Protected Securities (b)
3.500% due 01/15/2011		544		616
1.875% due 07/15/2013		103		105
3.625% due 04/15/2028		117		149
U.S. Treasury Bond
7.875% due 02/15/2021		100		135
U.S. Treasury Note
4.250% due 08/15/2013		1,000		1,015
				2,020
		Shares
Preferred Security 0.6%
DG Funding Trust
4.225% due 12/29/2049 (a)		20		215
Total United States (Cost $8,916)				9,007
PURCHASED CALL OPTIONS 0.0%
	Notional Amount (000s)
30-Year Interest Rate Swap (OTC)
Strike @ 5.750%** Exp. 04/27/2009	$	200		16
Total Purchased Call Options (Cost $10)				16
PURCHASED PUT OPTIONS 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 6.250%* Exp. 04/27/2009	$	200		12
		# of
		Contracts
Euribor June Futures (CME)
Strike @ 95.000 Exp. 06/12/2005		8		0
Euro-Bund December Futures (CME)
Strike @ 105.750 Exp. 11/23/2004		18		0
Eurodollar June Futures (CME)
Strike @ 94.750 Exp. 06/13/2005		4		0
Total Purchased Put Options (Cost $15)				12
SHORT-TERM INSTRUMENTS 23.1%
	Principal Amount (000s)
Commercial Paper 21.1%
ABN AMRO North America
1.480% due 10/06/2004	$	900		900
ASB Bank Ltd.
1.725% due 12/03/2004		300		299
CBA (de) Finance
1.520% due 10/15/2004		200		200
1.650% due 11/19/2004		300		299
1.850% due 12/20/2004		200		199
Danske Corp.
1.725% due 12/03/2004		500		498
1.785% due 12/16/2004		400		398
Den Norske Bank ASA
1.500% due 10/06/2004		100		100
1.770% due 12/07/2004		600		598
1.810% due 12/20/2004		300		299
Dexia Delaware LLC
1.830% due 12/20/2004		900		896
Fannie Mae
1.010% due 10/01/2004		200		200
ForeningsSparbanken AB
1.535% due 10/04/2004		200		200
General Electric Capital Corp.
1.580% due 11/01/2004		500		499
General Motors Acceptance Corp.
2.362% due 03/21/2005		100		99
HBOS Treasury Services PLC
1.560% due 10/19/2004		300		300
1.585% due 10/26/2004		100		100
1.715% due 11/26/2004		200		200
Rabobank USA Financial Corp.
1.860% due 10/01/2004		200		200
Royal Bank of Scotland PLC
1.540% due 10/19/2004		100		100
1.630% due 11/03/2004		500		499
UBS Finance, Inc.
1.940% due 01/25/2005		200		199
				7,282
Repurchase Agreement 0.8%
State Street Bank
1.400% due 10/01/2004		265		265
(Dated 09/30/2004. Collateralized by Freddie Mac 1.875% due 02/15/2006 valued at $273. Repurchase proceeds are $265.)
U.S. Treasury Bills 1.2%
1.614% due 12/02/2004-12/16/2004 (c)(d)		415		414
Total Short-Term Instruments (Cost $7,961)				7,961
Total Investments 123.9%			$	42,773
(Cost $41,026)
Written Options (e) (0.3%)				(88	)
(Premiums $125)
Other Assets and Liabilities (Net) (23.6%)				(8,164	)
Net Assets 100.0%			$	34,521

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $414 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Eurodollar June Long Futures	06/2005	8	$	0
Euribor June Long Futures	06/2005	8		4
Euro-Bund 10-Year Note Long Futures	12/2004	51		72
Government of Japan 10-Year Note Long Futures	12/2004	4		68
U.S. Treasury 10-Year Note Long Futures	12/2004	39		29
U.S. Treasury 30-Year Bond Long Futures	12/2004	5		(3	)
U.S. Treasury 5-Year Note Long Futures	12/2004	4		1
			$	171

(e) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000	%**	10/07/2004	$	300	$	3	$	0
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	3.800	%**	10/07/2004		800		8		0
Put - OTC 10-Year Interest Rate Swap	J.P. Morgan Chase & Co.	6.000	%*	10/07/2004		300		2		0
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	6.000	%*	10/07/2004		800		7		0
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%**	08/04/2005		1,000		43		76
Put - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%*	08/04/2005		1,000		43		6
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	4.000	%**	09/23/2005		300		8		4
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	6.000	%*	09/23/2005		300		11		2
							$	125	$	88

* The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(f) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	6-month BP-LIBOR	Receive	5.000	%	03/20/2018	BP	800	$	3
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	03/20/2018		600		(1	)
Merrill Lynch & Co., Inc.	6-month BP-LIBOR	Receive	5.000	%	03/15/2017		200		1
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	03/20/2018		500		1
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/20/2018		300		(3	)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000	%	03/15/2007	EC	200		2
Citibank N.A.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		200		(22	)
Citibank N.A.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		1,080		(52	)
Goldman Sachs & Co.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010		200		1
Goldman Sachs & Co.	6-month EC-LIBOR	Pay	6.000	%	03/20/2018		1,000		13
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		100		(13	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/20/2018		200		4
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Receive	6.000	%	03/15/2031		100		(25	)
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	6.000	%	03/15/2031		100		(24	)
UBS Warburg LLC	6-month EC-LIBOR	Receive	5.000	%	12/15/2014		2,500		(136	)
UBS Warburg LLC	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		200		(10	)
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	03/20/2018		1,600		7
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.753	%	02/08/2006	H$	3,000		(20	)
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	4.235	%	12/17/2008		7,100		(37	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.020	%	05/18/2010	JY	17,000		(10	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	1.300	%	09/21/2011		40,000		(5	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	0.800	%	03/20/2012		50,000		(6	)
Barclays Bank PLC	3-month SK-STIBOR	Pay	4.500	%	06/17/2008	SK	2,500		6
J.P. Morgan Chase & Co.	3-month SK-STIBOR	Pay	4.500	%	06/17/2008		4,100		10
Merrill Lynch & Co., Inc.	3-month SK-STIBOR	Pay	4.500	%	06/17/2008		2,600		6
Bank of America	3-month LIBOR	Receive	5.000	%	12/15/2014	$	600		(42	)
Bank of America	3-month LIBOR	Receive	6.000	%	12/15/2024		500		(51	)
Goldman Sachs & Co.	3-month LIBOR	Receive	5.000	%	12/15/2014		600		(42	)
Goldman Sachs & Co.	3-month LIBOR	Receive	6.000	%	12/15/2024		1,000		(58	)
J.P. Morgan Chase & Co.	3-month LIBOR	Receive	4.000	%	12/15/2009		1,900		(80	)
Lehman Brothers, Inc.	3-month LIBOR	Receive	4.000	%	12/15/2009		100		(4	)
UBS Warburg LLC	3-month LIBOR	Receive	5.000	%	12/15/2014		800		(56	)
								$	(643	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.960	%	01/28/2005	$	100	$	0

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Citibank N.A.	Lehman Commercial Mortgage-Backed Securities Index	1-month LIBOR less 0.350%	04/01/2005	$	100	$	0

(g) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	3.000	02/15/2009	$	800	$	792	$	791
U.S. Treasury Note	5.500	05/15/2009		400		438		437
U.S. Treasury Note	4.375	08/15/2012		500		516		516
U.S. Treasury Note	3.875	02/15/2013		900		895		883
U.S. Treasury Note	3.625	05/15/2013		2,400		2,342		2,308
U.S. Treasury Note	4.250	08/15/2013		1,100		1,117		1,106
					$	6,100	$	6,041

(h) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BP	557	10/2004	$	11	$	0		$	11
Sell		1,343	10/2004		0		(47	)		(47	)
Buy	BR	36	10/2004		1		0			1
Sell	C$	1,614	10/2004		0		(35	)		(35	)
Buy	CP	1,246	11/2004		0		0			0
Sell	DK	679	12/2004		0		(3	)		(3	)
Buy	EC	35	10/2004		1		0			1
Sell		9,328	10/2004		0		(262	)		(262	)
Buy	H$	47	10/2004		0		0			0
Buy		420	12/2004		0		0			0
Sell	JY	241,125	10/2004		0		(10	)		(10	)
Buy	KW	6,966	10/2004		0		0			0
Buy		27,912	12/2004		0		0			0
Buy	MP	89	11/2004		0		0			0
Buy		67	12/2004		0		0			0
Sell	N$	87	10/2004		0		(1	)		(1	)
Buy	PN	25	11/2004		0		0			0
Buy	PZ	14	11/2004		0		0			0
Buy		14	12/2004		0		0			0
Buy	RR	199	10/2004		0		0			0
Buy	S$	10	10/2004		0		0			0
Buy	SV	364	11/2004		0		0			0
				$	13	$	(358	)	$	(345	)

Schedule of Investments

Global Bond Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)			Value (000s)
BRAZIL 0.4%
Republic of Brazil
2.125% due 04/15/2009 (a)	$	76		$	74
2.125% due 04/15/2012 (a)		67			62
Total Brazil (Cost $129)					136
CANADA (i) 3.7%
Commonwealth of Canada
6.000% due 06/01/2008	C$	800			683
5.500% due 06/01/2009		400			337
5.500% due 06/01/2010		100			85
5.250% due 06/01/2013		300			250
Total Canada (Cost $1,242)					1,355
CAYMAN ISLANDS 0.7%
Vita Capital Ltd.
2.460% due 01/01/2007 (a)	$	250			252
Total Cayman Islands (Cost $250)					252
FRANCE (i) 4.0%
Republic of France
6.500% due 04/25/2011	EC	1,000			1,450
Total France (Cost $1,410)					1,450
GERMANY (i) 8.2%
Republic of Germany
5.000% due 08/19/2005	EC	100			127
5.250% due 01/04/2011		900			1,224
6.250% due 01/04/2024		200			304
6.500% due 07/04/2027		200			315
6.250% due 01/04/2030		300			461
5.500% due 01/04/2031		400			563
Total Germany (Cost $2,595)					2,994
ITALY (i) 3.9%
Republic of Italy
9.500% due 02/01/2006	EC	650			882
Seashell Securities PLC
2.359% due 10/25/2028 (a)		71			87
Siena Mortgage SpA
2.346% due 12/16/2038 (a)		300			373
Telecom Italia SpA
5.625% due 02/01/2007 (a)		60			79
Total Italy (Cost $1,102)					1,421
JAPAN (i) 7.1%
Government of Japan
0.300% due 12/20/2007	JY	80,000			727
0.700% due 09/20/2008		20,000			184
1.500% due 12/20/2011		150,000			1,407
1.600% due 09/20/2013		20,000			186
2.400% due 06/20/2024		10,000			96
Total Japan (Cost $2,541)					2,600
LUXEMBOURG 0.3%
Tyco International Group S.A.
5.875% due 11/01/2004	$	100			100
Total Luxembourg (Cost $100)					100
MEXICO (i) 0.5%
Pemex Project Funding Master Trust
8.625% due 02/01/2022	$	100			114
United Mexican States
6.750% due 06/06/2006	JY	7,000			70
Total Mexico (Cost $177)					184
NETHERLANDS (i) 2.5%
Kingdom of Netherlands
6.000% due 01/15/2006	EC	700			909
Total Netherlands (Cost $669)					909
RUSSIA 0.7%
Russian Federation
8.750% due 07/24/2005	$	100			104
10.000% due 06/26/2007		50			57
5.000% due 03/31/2030 (a)		120			116
Total Russia (Cost $278)					277
SOUTH AFRICA 0.1%
Republic of South Africa
8.375% due 10/17/2006	$	53			58
Total South Africa (Cost $59)					58
SPAIN (i) 3.3%
Kingdom of Spain
5.150% due 07/30/2009	EC	900			1,212
Total Spain (Cost $1,131)					1,212
UNITED KINGDOM (i) 10.2%
Holmes Financing PLC
2.278% due 10/15/2009 (a)	EC	100			125
2.298% due 07/25/2010 (a)		100			125
United Kingdom Gilt
5.000% due 03/07/2008	BP	1,200			2,194
4.000% due 03/07/2009		100			176
5.000% due 03/07/2012		400			733
5.000% due 09/07/2014		200			368
Total United Kingdom (Cost $3,615)					3,721
UNITED STATES 30.0%
Asset-Backed Securities 5.7%
Ameriquest Mortgage Securities, Inc.
2.025% due 03/25/2033 (a)	$	58			58
1.745% due 08/25/2034 (a)		180			180
Amortizing Residential Collateral Trust
1.800% due 10/25/2031 (a)		10			10
1.740% due 07/25/2032 (a)		17			17
Bank One Issuance Trust
1.810% due 10/15/2008		300			300
Centex Home Equity
1.895% due 01/25/2034 (a)		68			69
Countrywide Asset-Backed Certificates
1.785% due 12/25/2018 (a)		78			78
CS First Boston Mortgage Securities Corp.
1.925% due 01/25/2032 (a)		4			4
1.780% due 05/25/2043 (a)		105			105
Fieldstone Mortgage Investment Corp.
1.905% due 01/25/2035 (a)		78			78
First Franklin Mortgage Loan Trust Asset-Backed Certificates
2.820% due 02/25/2034 (a)		85			85
GSAMP Trust
2.130% due 03/25/2034 (a)		176			176
Home Equity Asset Trust
1.860% due 03/25/2033 (a)		12			12
1.700% due 04/25/2034 (a)		39			39
1.765% due 08/25/2034 (a)		84			84
Irwin Home Equity Loan Trust
2.135% due 06/25/2028 (a)		27			27
Long Beach Mortgage Loan Trust
1.935% due 06/25/2033 (a)		38			38
1.770% due 07/25/2033 (a)		92			92
Morgan Stanley Dean Witter Capital I, Inc.
1.820% due 07/25/2030 (a)		2			2
Residential Asset Mortgage Products, Inc.
1.550% due 04/25/2025 (a)		179			179
1.780% due 12/25/2033 (a)		78			78
Residential Asset Securities Corp.
1.530% due 09/25/2031 (a)		15			15
Saxon Asset Securities Trust
1.885% due 01/25/2032 (a)		13			13
2.015% due 12/25/2032 (a)		7			7
Structured Asset Securities Corp.
2.015% due 05/25/2034 (a)		175			175
Truman Capital Mortgage Loan Trust
1.790% due 01/25/2034 (a)		153			153
					2,074
Corporate Bonds & Notes 2.1%
Entergy Gulf States, Inc.
2.810% due 06/18/2007 (a)		50			50
Ford Motor Credit Co.
7.500% due 03/15/2005		200			204
General Motors Acceptance Corp.
2.135% due 05/18/2006 (a)		200			201
Morgan Stanley Dean Witter Capital I, Inc.
1.900% due 04/15/2016 (a)		190			190
Pacific Gas & Electric Co.
1.810% due 04/03/2006 (a)		110			110
UFJ Finance Aruba AEC
6.750% due 07/15/2013		30			33
					788
Mortgage-Backed Securities 5.0%
Bear Stearns Commercial Mortgage Securities, Inc.
1.977% due 05/14/2016 (a)		200			200
Countrywide Home Loan Mortgage Pass Through Trust
1.995% due 09/25/2034 (a)		192			192
Countrywide Home Loans, Inc.
5.700% due 03/19/2032 (a)		2			2
4.945% due 09/19/2032 (a)		7			7
1.895% due 08/25/2034 (a)		195			195
CS First Boston Mortgage Securities Corp.
1.880% due 02/15/2014 (a)		200			200
6.500% due 04/25/2033		39			39
GMAC Commercial Mortgage Securities, Inc.
6.420% due 05/15/2035		100			109
GSR Mortgage Loan Trust
3.474% due 06/01/2034 (a)		185			184
Harborview Mortgage Loan Trust
2.181% due 02/25/2034 (a)		74			74
Mellon Residential Funding Corp.
2.200% due 12/15/2030 (a)		104			104
Sequoia Mortgage Trust
2.111% due 08/20/2032 (a)		57			56
Structured Asset Mortgage Investments, Inc.
2.161% due 03/19/2034 (a)		185			185
2.101% due 07/19/2034 (a)		190			190
Structured Asset Securities Corp.
1.900% due 06/25/2017 (a)		7			7
1.950% due 07/25/2032 (a)		23			23
Washington Mutual Mortgage Securities Corp.
6.000% due 03/25/2017		8			8
5.149% due 10/25/2032 (a)		13			13
3.008% due 02/27/2034 (a)		32			32
					1,820
Municipal Bonds & Notes 0.8%
Connecticut State General Obligation Bonds, Series 2001
5.500% due 12/15/2013		100			116
New York City Transitional Finance Authority Revenue Bonds, Series 2004
5.000% due 02/01/2028		25			26
5.000% due 02/01/2033		25			25
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2002
5.250% due 08/01/2011		100			113
					280
U.S. Government Agencies 6.5%
Fannie Mae
1.865% due 08/25/2030 (a)		179			179
1.960% due 03/25/2034 (a)		187			186
1.990% due 08/25/2034 (a)		195			195
5.000% due 11/01/2018		576			586
5.183% due 04/01/2033 (a)		43			44
5.500% due 10/01/2016 - 04/01/2018 (d)		1,019			1,056
Freddie Mac
3.543% due 02/01/2029 (a)		56			58
5.000% due 09/15/2016		41			42
Government National Mortgage Association
4.625% due 11/20/2024 (a)		15			15
					2,361
U.S. Treasury Obligations 9.9%
Treasury Inflation Protected Securities (c)
2.000% due 01/15/2014		103			105
3.000% due 07/15/2012		316			350
3.500% due 01/15/2011		762			862
U.S. Treasury Bond
7.125% due 02/15/2023		600			765
U.S. Treasury Notes
4.875% due 02/15/2012		1,000			1,066
6.500% due 02/15/2010		100			115
U.S. Treasury Strips
0.000% due 05/15/2017 (b)		430			238
0.000% due 08/15/2020 (b)		300			135
					3,636
Total United States (Cost $10,941)					10,959
PURCHASED CALL OPTIONS 0.0%
		Notional Amount (000s	)
30-Year Interest Rate Swap (OTC)
Strike @ 5.750%** Exp. 04/27/2009	$	100			8
Total Purchased Call Options (Cost $5)					8
PURCHASE PUT OPTIONS (i) 0.0%
30-Year Interest Rate Swap (OTC)
Strike @ 6.250%* Exp. 04/27/2007	$	100			6
		# of Contracts
Euribor June Futures (OTC)
Strike @ 95.500 Exp. 03/11/2005		4			0
Euro-Bund 10-Year Note December Futures (OTC)
Strike @ 105.750 Exp. 11/23/2004		84			0
Eurodollar June Futures (CME)
Strike @ 93.750 Exp. 06/13/2005		6			0
U.S. Treasury 10-Year Notes December Futures (CBOT)
Strike @ 97.000 Exp. 11/26/2004		3			0
Total Purchased Put Options (Cost $9)					6
SHORT-TERM INSTRUMENTS 25.0%
		Principal Amount (000s	)
Commercial Paper 22.7%
Altria Group, Inc.
1.800% due 10/29/2004	$	100			100
Anz (Delaware), Inc.
1.640% due 11/18/2004		100			100
Barclays U.S. Funding Corp.
1.750% due 11/15/2004		600			599
1.800% due 12/08/2004		400			399
CBA (de) Finance
1.660% due 11/22/2004		200			199
1.890% due 12/29/2004		200			199
Danske Corp.
1.725% due 12/03/2004		200			199
1.790% due 12/20/2004		800			797
Den Norske Bank ASA
1.730% due 12/02/2004		200			199
1.810% due 12/15/2004		700			697
1.810% due 12/20/2004		100			99
Dexia Delaware LLC
1.540% due 10/04/2004		400			400
1.810% due 12/13/2004		600			598
Fannie Mae
1.010% due 10/01/2004		200			200
ForeningsSparbanken AB
1.535% due 10/04/2004		400			400
General Electric Capital Corp.
1.800% due 12/16/2004		300			299
General Motors Acceptance Corp.
2.362% due 03/21/2005		100			99
HBOS Treasury Services PLC
1.715% due 11/26/2004		500			499
Royal Bank of Scotland PLC
1.810% due 12/22/2004		300			299
Stadshypoket Delaware, Inc.
1.625% due 11/10/2004		600			599
UBS Finance, Inc.
1.690% due 11/29/2004		600			598
1.735% due 12/03/2004		300			299
1.940% due 01/25/2005		200			199
Westpac Capital Corp.
1.690% due 11/26/2004		200			199
					8,275
Repurchase Agreement 1.2%
State Street Bank
1.400% due 10/01/2004		432			432
(Dated 09/30/2004. Collateralized by U.S. Treasury Note 7.875% due 11/15/2004 valued at $441. Repurchase proceeds are $432.)
U.S. Treasury Bills 1.1%
1.597% due 12/02/2004-12/16/2004 (d)(e)		400			399
Total Short-Term Instruments (Cost $9,107)					9,106
Total Investments 100.6%				$	36,748
(Cost $35,360)
Written Options (f) (0.2%)					(59	)
(Premiums $89)
Other Assets and Liabilities (Net) (0.4%)					(154	)
Net Assets 100.0%				$	36,535

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal only security.

(c) Principal amount of security is adjusted for inflation.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Securities with an aggregate market value of $399 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Euribor Purchased Put Options Strike @ 95.250	12/2004	4	$	0
Euro-Bund 10-Year Note Long Futures	12/2004	96		122
Government of Japan 10-Year Note Long Futures	12/2004	3		41
U.S. Treasury 10-Year Note Long Futures	12/2004	46		25
U.S. Treasury 30-Year Bond Long Futures	12/2004	2		(1	)
Euribor June Long Futures	06/2005	8		4
Eurodollar June Long Futures	06/2005	9		(1	)
			$	190

(f) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	3.800	%**	10/07/2004	$	1,200	$	13	$	0
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	6.000	%*	10/07/2004		1,200		10		0
Call - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%**	08/04/2005		700		31		53
Put - OTC 7-Year Interest Rate Swap	Lehman Brothers, Inc.	5.750	%*	08/04/2005		700		30		4
Call - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	4.000	%**	09/23/2005		100		2		1
Put - OTC 7-Year Interest Rate Swap	Merrill Lynch & Co., Inc.	6.000	%*	09/23/2005		100		3		1
							$	89	$	59

*   The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(g) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	03/20/2018	BP	600	$	(1	)
Merrill Lynch & Co., Inc.	6-month BP-LIBOR	Receive	5.000	%	03/15/2017		400		3
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2017		600		0
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	03/20/2018		400		(1	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/20/2018		400		(4	)
Barclays Bank PLC	6-month EC-LIBOR	Receive	4.000	%	06/17/2010	EC	410		(11	)
Citibank N.A.	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		460		(22	)
Goldman Sachs & Co.	6-month EC-LIBOR	Receive	5.000	%	06/17/2012		100		(9	)
Goldman Sachs & Co.	6-month EC-LIBOR	Receive	3.750	%	06/17/2012		800		(21	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/20/2018		1,800		26
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2017		1,200		27
Morgan Stanley Dean Witter & Co.	6-month EC-LIBOR	Receive	5.500	%	12/15/2031		100		(16	)
UBS Warburg LLC	6-month EC-LIBOR	Receive	5.000	%	12/15/2014		1,700		(93	)
UBS Warburg LLC	6-month EC-LIBOR	Receive	4.000	%	12/15/2014		1,600		(76	)
UBS Warburg LLC	6-month EC-LIBOR	Pay	5.000	%	06/17/2015		400		17
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	03/20/2018		500		9
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	5.753	%	02/08/2006	H$	1,200		2
Goldman Sachs & Co.	3-month H$-HIBOR	Receive	4.235	%	12/17/2008		5,800		(31	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	0.800	%	03/20/2012	JY	50,000		(6	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		45,000		(1	)
Barclays Bank PLC	3-month SK-STIBOR	Pay	4.500	%	06/17/2008	SK	1,200		3
J.P. Morgan Chase & Co.	3-month SK-STIBOR	Pay	4.500	%	06/17/2008		5,500		13
Merrill Lynch & Co., Inc.	3-month SK-STIBOR	Pay	4.500	%	06/17/2008		2,400		6
Bank of America	3-month LIBOR	Receive	5.000	%	12/15/2014	$	200		(14	)
Goldman Sachs & Co.	3-month LIBOR	Receive	5.000	%	12/15/2014		1,000		(67	)
J.P. Morgan Chase & Co.	3-month LIBOR	Pay	4.000	%	12/15/2009		3,200		135
J.P. Morgan Chase & Co.	3-month LIBOR	Receive	5.000	%	12/15/2014		2,600		(185	)
Lehman Brothers, Inc.	3-month LIBOR	Receive	5.000	%	12/15/2014		1,300		(41	)
UBS Warburg LLC	3-month LIBOR	Receive	5.000	%	12/15/2014		200		(8	)
								$	(366	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.960	%	01/28/2005	$	100	$	0

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	Lehman Commercial Mortgage-Backed Securities Index	1-month LIBOR less 0.390%	11/01/2004	$	200	$	0

(h) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	3.000	02/15/2009	$	5,200	$	5,150	$	5,142
U.S. Treasury Note	5.500	05/15/2009		200		219		218
					$	5,369	$	5,360

(i) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	A$	183	10/2004	$	3	$	0		$	3
Buy	BP	67	10/2004		2		0			2
Sell		328	10/2004		0		(12	)		(12	)
Buy	BR	33	10/2004		1		0			1
Sell	C$	823	10/2004		0		(11	)		(11	)
Buy	CP	1,246	11/2004		0		0			0
Buy	DK	2,200	12/2004		11		0			11
Buy	EC	4,227	10/2004		123		0			123
Sell		355	10/2004		0		(6	)		(6	)
Buy	H$	47	10/2004		0		0			0
Buy		560	12/2004		0		0			0
Buy	JY	894,235	10/2004		38		0			38
Buy	KW	6,966	10/2004		0		0			0
Buy		26,749	12/2004		0		0			0
Buy	MP	89	11/2004		0		0			0
Buy		67	12/2004		0		0			0
Buy	PN	21	11/2004		0		0			0
Buy	PZ	13	11/2004		0		0			0
Buy		14	12/2004		0		0			0
Buy	RR	171	10/2004		0		0			0
Buy	S$	10	10/2004		0		0			0
Buy	SK	2,122	12/2004		10		0			10
Buy	SV	364	11/2004		0		0			0
				$	188	$	(29	)	$	159

Schedule of Investments

High Yield Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)			Value (000s)
CORPORATE BONDS & NOTES 77.4%
Banking & Finance 8.2%
BCP Caylux Holdings Luxembourg S.A.
9.625% due 06/15/2014	$	1,675		$	1,817
Bluewater Finance Ltd.
10.250% due 02/15/2012		1,675			1,826
Bombardier Capital, Inc.
7.090% due 03/30/2007 (h)		1,000			1,002
Borden US Finance Corp.
9.000% due 07/15/2014		200			211
Cedar Brakes II LLC
9.875% due 09/01/2013		555			616
Choctaw Resort Development Enterprise
9.250% due 04/01/2009		1,050			1,126
Eircom Funding
8.250% due 08/15/2013		800			880
Ferrellgas Escrow LLC
6.750% due 05/01/2014		400			410
Forest City Enterprises, Inc.
7.625% due 06/01/2015		425			448
Host Marriott LP
7.000% due 08/15/2012		600			634
JET Equipment Trust
10.000% due 06/15/2012 (a)		800			532
7.630% due 08/15/2012 (a)		403			253
JSG Funding PLC
9.625% due 10/01/2012		1,840			2,088
Kraton Polymers LLC
8.125% due 01/15/2014		1,000			985
Mizuho Preferred Capital Co.
9.870% due 06/30/2008 (b)		1,575			1,850
8.790% due 12/29/2049 (b)		700			804
Pemex Project Funding Master Trust
7.375% due 12/15/2014		350			382
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		2,600			2,333
7.750% due 02/15/2031		140			108
Refco Finance Holdings LLC
9.000% due 08/01/2012		775			831
Riggs Capital Trust
8.625% due 12/31/2026		150			165
Riggs Capital Trust II
8.875% due 03/15/2027		550			608
8.875% due 03/15/2027		950			1,050
Rotech Healthcare, Inc.
9.500% due 04/01/2012		2,325			2,499
Standard Aero Holdings, Inc.
8.250% due 09/01/2014		350			364
Targeted Return Index Securities Trust
8.010% due 08/01/2015 (b)		2,940			3,168
UGS Corp.
10.000% due 06/01/2012		375			411
Universal City Development Partners
11.750% due 04/01/2010		1,100			1,287
Ventas Capital Corp.
8.750% due 05/01/2009		825			924
					29,612
Industrials 54.9%
Abitibi-Consolidated, Inc.
6.950% due 12/15/2006		700			726
6.950% due 04/01/2008		250			256
5.250% due 06/20/2008		375			365
8.550% due 08/01/2010		350			377
6.000% due 06/20/2013		400			370
8.850% due 08/01/2030		1,453			1,446
AES Ironwood LLC
8.857% due 11/30/2025		1,637			1,833
Ahold Finance USA, Inc.
8.250% due 07/15/2010		1,000			1,132
Alderwoods Group, Inc.
7.750% due 09/15/2012		350			372
Allied Waste North America, Inc.
8.875% due 04/01/2008		600			654
6.375% due 04/15/2011		700			684
9.250% due 09/01/2012		1,200			1,341
7.875% due 04/15/2013		800			848
6.125% due 02/15/2014		750			703
American Media Operations, Inc.
10.250% due 05/01/2009		1,900			2,009
American Tower Escrow Corp.
0.000% due 08/01/2008		2,050			1,537
AmeriGas Partners LP
10.000% due 04/15/2006		120			132
8.830% due 04/19/2010		488			554
8.875% due 05/20/2011		200			221
Arco Chemical Co.
10.250% due 11/01/2010		50			55
ArvinMeritor, Inc.
6.625% due 06/15/2007		250			262
8.750% due 03/01/2012		1,175			1,307
Aviall, Inc.
7.625% due 07/01/2011		650			705
Boise Cascade Corp.
7.000% due 11/01/2013		900			1,051
Boyd Gaming Corp.
7.750% due 12/15/2012		900			970
Cablevision Systems Corp.
8.000% due 04/15/2012		1,000			1,050
Caesars Entertainment, Inc.
8.125% due 05/15/2011		2,000			2,320
Canwest Media, Inc.
10.625% due 05/15/2011		1,645			1,879
CCO Holdings LLC
8.750% due 11/15/2013		2,500			2,466
CF Cable TV, Inc.
9.125% due 07/15/2007		500			524
Chesapeake Energy Corp.
8.375% due 11/01/2008		650			712
7.500% due 06/15/2014		1,000			1,097
Colorado Interstate Gas Co.
6.850% due 06/15/2037		200			209
Commonwealth Brands, Inc.
9.750% due 04/15/2008		650			679
10.625% due 09/01/2008		850			888
Continental Airlines, Inc.
6.920% due 04/02/2013 (l)		828			820
7.461% due 04/01/2015		81			76
7.373% due 12/15/2015		342			268
6.545% due 02/02/2019		169			163
Crown Castle International Corp.
9.375% due 08/01/2011		380			439
10.750% due 08/01/2011		950			1,062
Crown European Holdings S.A.
9.500% due 03/01/2011		2,025			2,268
10.875% due 03/01/2013		450			525
CSC Holdings, Inc.
8.125% due 07/15/2009		250			267
8.125% due 08/15/2009		2,305			2,461
7.625% due 04/01/2011		1,000			1,059
6.750% due 04/15/2012		1,250			1,259
Delhaize America, Inc.
8.125% due 04/15/2011		2,000			2,294
Delta Air Lines, Inc.
7.379% due 05/18/2010		133			123
7.570% due 11/18/2010		450			404
Dex Media West LLC
8.500% due 08/15/2010		2,400			2,736
9.875% due 08/15/2013		1,862			2,197
Dimon, Inc.
7.750% due 06/01/2013		150			147
DirecTV Holdings LLC
8.375% due 03/15/2013		1,375			1,571
Dobson Communications Corp.
8.875% due 10/01/2013		650			422
Dresser, Inc.
9.375% due 04/15/2011		1,650			1,823
Dura Operating Corp.
8.625% due 04/15/2012		1,525			1,517
Dynegy Danskammer & Roseton LLC
7.270% due 11/08/2010		1,775			1,802
7.670% due 11/08/2016		1,400			1,340
Dynegy Holdings, Inc.
9.875% due 07/15/2010		300			340
10.125% due 07/15/2013		375			433
EchoStar DBS Corp.
10.375% due 10/01/2007		550			580
EI Paso CGP Co.
7.500% due 08/15/2006		1,200			1,243
6.500% due 06/01/2008		250			245
7.625% due 09/01/2008		750			759
7.750% due 06/15/2010		250			251
9.625% due 05/15/2012		200			210
7.750% due 10/15/2035		400			346
EI Paso Corp.
7.000% due 05/15/2011		100			97
7.875% due 06/15/2012		2,155			2,150
7.375% due 12/15/2012		300			291
7.800% due 08/01/2031		700			618
EI Paso Production Holding Co.
7.750% due 06/01/2013		1,250			1,259
Encore Acquisition Co.
6.250% due 04/15/2014		550			553
Equistar Chemicals LP
10.125% due 09/01/2008		545			617
8.750% due 02/15/2009		1,535			1,662
10.625% due 05/01/2011		400			458
Evergreen Resources, Inc.
5.875% due 03/15/2012		700			724
Exco Resources, Inc.
7.250% due 01/15/2011		500			532
Extendicare Health Services
9.500% due 07/01/2010		800			902
Ferrellgas Partners LP
6.990% due 08/01/2005 (h)		1,000			1,021
8.870% due 08/01/2009 (h)(l)		1,200			1,368
Fimep S.A.
10.500% due 02/15/2013		385			452
Fisher Scientific International, Inc.
8.000% due 09/01/2013		650			731
Foundation PA Coal Co.
7.250% due 08/01/2014		175			187
Freescale Semiconductor, Inc.
4.380% due 07/15/2009 (b)		375			386
7.125% due 07/15/2014		250			261
Fresenius Medical Care
7.875% due 06/15/2011		2,250			2,509
General Motors Corp.
8.250% due 07/15/2023		125			132
Georgia-Pacific Corp.
8.125% due 06/15/2023		600			619
8.000% due 01/15/2024		2,750			3,142
8.875% due 05/15/2031		650			791
Grief Brothers Corp.
8.875% due 08/01/2012		400			448
GulfTerra Energy Partners LP
8.500% due 06/01/2010		649			759
Hanover Compressor Co.
9.000% due 06/01/2014		500			551
Hanover Equipment Trust
8.500% due 09/01/2008		2,300			2,484
HCA, Inc.
7.875% due 02/01/2011		950			1,076
6.300% due 10/01/2012		350			363
6.250% due 02/15/2013		1,350			1,394
6.750% due 07/15/2013		1,075			1,145
Hilton Hotels Corp.
7.625% due 12/01/2012		1,500			1,751
HMH Properties, Inc.
7.875% due 08/01/2008		262			271
Hollinger Participation Trust
12.125% due 11/15/2010 (c)		413			466
Horizon Lines LLC
9.000% due 11/01/2012		275			291
Host Marriott LP
9.500% due 01/15/2007		250			278
9.250% due 10/01/2007		1,200			1,350
7.125% due 11/01/2013		185			195
Ingles Markets, Inc.
8.875% due 12/01/2011		1,000			1,082
Insight Midwest LP
9.750% due 10/01/2009		695			730
9.750% due 10/01/2009		900			945
10.500% due 11/01/2010		915			1,006
Invensys PLC
9.875% due 03/15/2011		650			670
ISP Chemco, Inc.
10.250% due 07/01/2011		1,465			1,641
Jefferson Smurfit Corp.
8.250% due 10/01/2012		500			554
7.500% due 06/01/2013		500			530
Johnsondiversey, Inc.
9.625% due 05/15/2012		390			439
K&F Industries, Inc.
9.625% due 12/15/2010		350			391
K2, Inc.
7.375% due 07/01/2014		1,150			1,225
Legrand S.A.
8.500% due 02/15/2025		550			633
Lyondell Chemical, Co.
9.875% due 05/01/2007		180			191
Mail Well I Corp.
9.625% due 03/15/2012		1,000			1,105
Mandalay Resort Group
6.500% due 07/31/2009		750			782
9.375% due 02/15/2010		1,900			2,195
7.625% due 07/15/2013		200			213
MCI, Inc.
5.908% due 05/01/2007		800			795
6.688% due 05/01/2009		3,020			2,918
Mediacom Broadband LLC
11.000% due 07/15/2013		1,515			1,621
Merisant Co.
9.500% due 07/15/2013		225			215
Meritor Automotive, Inc.
6.800% due 02/15/2009		250			258
MGM Mirage, Inc.
6.000% due 10/01/2009		350			357
8.375% due 02/01/2011		2,050			2,273
Midwest Generation LLC
8.560% due 01/02/2016		5,375			5,738
Nalco Co.
7.750% due 11/15/2011		1,550			1,651
Newpark Resources, Inc.
8.625% due 12/15/2007		890			912
Norampac, Inc.
6.750% due 06/01/2013		1,650			1,728
Northwest Airlines, Inc.
6.810% due 02/01/2020		595			527
Owens-Brockway Glass Container, Inc.
8.875% due 02/15/2009		400			437
7.750% due 05/15/2011		150			161
8.750% due 11/15/2012		1,775			1,979
8.250% due 05/15/2013		850			910
PacifiCare Health Systems, Inc.
10.750% due 06/01/2009		417			483
Park Place Entertainment Corp.
9.375% due 02/15/2007		1,475			1,648
7.875% due 03/15/2010		600			681
7.000% due 04/15/2013		1,400			1,565
Peabody Energy Corp.
6.875% due 03/15/2013		2,350			2,550
Plains Exploration & Production Co.
7.125% due 06/15/2014		1,625			1,751
Premcor Refining Group, Inc.
6.750% due 02/01/2011		1,000			1,070
6.750% due 05/01/2014		300			312
Premier Entertainment Biloxi LLC
10.750% due 02/01/2012		750			795
Primedia, Inc.
7.625% due 04/01/2008		350			347
7.086% due 05/15/2010 (b)		150			152
8.875% due 05/15/2011		125			126
8.000% due 05/15/2013		1,945			1,860
Quebecor Media, Inc.
11.125% due 07/15/2011		1,400			1,624
Qwest Communications International, Inc.
7.250% due 02/15/2011		2,400			2,286
7.500% due 02/15/2014		1,800			1,661
Qwest Corp.
8.875% due 03/15/2012		1,650			1,823
Rayovac Corp.
8.500% due 10/01/2013		850			927
Rogers Cablesystems, Inc.
10.000% due 03/15/2005		235			243
Roundy’s, Inc.
8.875% due 06/15/2012		1,900			2,057
Royal Caribbean Cruises Ltd.
6.875% due 12/01/2013		1,000			1,070
Safety-Kleen Corp.
9.250% due 06/01/2008 (a)		1,450			4
9.250% due 05/15/2009 (a)		250			14
Saks, Inc.
8.250% due 11/15/2008		1			1
Sinclair Broadcast Group, Inc.
8.750% due 12/15/2011		800			872
8.000% due 03/15/2012		915			954
Six Flags, Inc.
9.750% due 04/15/2013		1,350			1,283
Sonat, Inc.
7.625% due 07/15/2011		2,650			2,624
SPX Corp.
6.250% due 06/15/2011		700			686
7.500% due 01/01/2013		1,875			1,915
Starwood Hotels & Resorts Worldwide, Inc.
7.375% due 05/01/2007		550			595
7.875% due 05/01/2012		1,900			2,159
Station Casinos, Inc.
6.000% due 04/01/2012		925			953
6.500% due 02/01/2014		300			307
Stone Container Corp.
9.750% due 02/01/2011		525			584
8.375% due 07/01/2012		650			720
Stone Container Finance
7.375% due 07/15/2014		625			658
Tenet Healthcare Corp.
6.375% due 12/01/2011		975			880
7.375% due 02/01/2013		3,225			3,048
9.875% due 07/01/2014		700			735
Tenneco Automotive, Inc.
10.250% due 07/15/2013		1,600			1,832
Time Warner Telecom, Inc.
9.750% due 07/15/2008		950			945
10.125% due 02/01/2011		500			483
Toys “R” Us, Inc.
7.625% due 08/01/2011		900			905
7.875% due 04/15/2013		550			551
Triad Hospitals, Inc.
7.000% due 05/15/2012		500			525
7.000% due 11/15/2013		1,050			1,074
Trinity Industries, Inc.
6.500% due 03/15/2014		900			891
TRW Automotive, Inc.
9.375% due 02/15/2013		1,220			1,400
United Airlines, Inc.
6.201% due 09/01/2008		225			187
7.730% due 07/01/2010 (a)		800			651
7.186% due 04/01/2011 (a)		196			165
6.602% due 09/01/2013		500			422
US Airways Group, Inc.
9.625% due 09/01/2024 (a)(l)		9			0
Valero Energy Corp.
7.800% due 06/14/2010		400			389
Vintage Petroleum, Inc.
7.875% due 05/15/2011		1,125			1,209
8.250% due 05/01/2012		790			883
Westlake Chemical Corp.
8.750% due 07/15/2011		260			293
Williams Cos., Inc.
7.625% due 07/15/2019		3,200			3,520
7.875% due 09/01/2021		1,800			2,007
8.750% due 03/15/2032		1,000			1,123
Young Broadcasting, Inc.
8.500% due 12/15/2008		924			986
10.000% due 03/01/2011		580			600
					199,344
Utilities 14.3%
AES Corp.
9.375% due 09/15/2010		300			339
8.875% due 02/15/2011		1,275			1,425
8.750% due 05/15/2013		2,850			3,228
8.540% due 11/30/2019		332			368
American Cellular
10.000% due 08/01/2011		1,600			1,304
AT&T Corp.
8.050% due 11/15/2011		3,325			3,736
Centerpoint Energy, Inc.
7.250% due 09/01/2010		1,000			1,106
Cincinnati Bell, Inc.
7.250% due 07/15/2013		1,475			1,427
8.375% due 01/15/2014		900			826
CMS Energy Corp.
7.000% due 01/15/2005		1,950			1,971
8.900% due 07/15/2008		100			110
7.500% due 01/15/2009		2,200			2,316
7.750% due 08/01/2010		2,200			2,338
DPL, Inc.
6.875% due 09/01/2011		1,100			1,172
EI Paso Energy Partners
8.500% due 06/01/2011		321			362
Gaz Capital S.A.
8.625% due 04/28/2034		175			187
Homer City Funding LLC
8.734% due 10/01/2026		999			1,124
IPALCO Enterprises, Inc.
8.375% due 11/14/2008		1,050			1,176
8.625% due 11/14/2011		490			556
Midwest Generation LLC
8.750% due 05/01/2034		1,550			1,697
MSW Energy Holdings LLC
7.375% due 09/01/2010		650			686
Nextel Communications, Inc.
9.500% due 02/01/2011		1			1
6.875% due 10/31/2013		2,550			2,665
7.375% due 08/01/2015		1,875			2,025
Northwestern Bell Telephone
7.750% due 05/01/2030		1,208			1,099
Northwestern Corp.
7.250% due 03/03/2008		650			621
NRG Energy, Inc.
8.000% due 12/15/2013		2,550			2,744
PSEG Energy Holdings, Inc.
7.750% due 04/16/2007		700			751
8.625% due 02/15/2008		350			388
10.000% due 10/01/2009		690			819
8.500% due 06/15/2011		2,050			2,322
Qwest Capital Funding, Inc.
7.900% due 08/15/2010		1,200			1,113
Reliant Resources, Inc.
9.250% due 07/15/2010		1,975			2,131
9.500% due 07/15/2013		350			382
Rogers Wireless Communications, Inc.
6.375% due 03/01/2014		350			324
Rural Cellular Corp.
8.250% due 03/15/2012		950			971
SESI LLC
8.875% due 05/15/2011		1,115			1,224
South Point Energy Corp.
8.400% due 05/30/2012		1,659			1,435
TECO Energy, Inc.
10.500% due 12/01/2007		400			466
7.500% due 06/15/2010		1,650			1,790
Time Warner Telecom Holdings, Inc.
9.250% due 02/15/2014		500			500
Triton PCS, Inc.
8.500% due 06/01/2013		575			525
					51,750
Total Corporate Bonds & Notes (Cost $271,156)					280,706
MUNICIPAL BONDS & NOTES 0.2%
New Jersey State Tobacco Securitization Agency Revenue Bonds, Series 2003
6.375% due 06/01/2032		650			604
Total Municipal Bonds & Notes (Cost $623)					604
U.S. TREASURY OBLIGATIONS 1.4%
U.S. Treasury Note
2.500% due 09/30/2006		5,000			4,991
Total U.S. Treasury Obligations (Cost $4,988)					4,991
ASSET-BACKED SECURITIES 3.3%
Allegheny Energy, Inc.
5.640% due 06/08/2011 (b)		1,584			1,612
6.190% due 06/08/2011 (b)		180			183
6.220% due 06/08/2011 (b)		27			28
Brenntag
4.730% due 02/28/2012 (b)		1,250			1,272
Centennial Communications
3.875% due 01/20/2011 (b)		38			38
4.531% due 01/20/2011 (b)		33			33
4.920% due 01/20/2011 (b)		754			761
4.920% due 01/20/2011 (b)		71			71
Inmarsat Ventures PLC
5.328% due 10/10/2010 (b)		51			51
5.389% due 10/10/2010 (b)		549			552
5.328% due 10/10/2011 (b)		51			52
5.389% due 10/10/2011 (b)		549			554
Invensys PLC
5.477% due 09/30/2009 (b)		30			30
5.477% due 09/30/2009 (b)		366			370
6.366% due 12/30/2009 (b)		900			930
Midwest Generation LLC
4.570% due 04/27/2011 (b)		1,000			1,016
4.850% due 04/27/2011 (b)		495			503
4.890% due 04/27/2011 (b)		500			508
NRG Energy, Inc.
5.559% due 05/08/2010 (b)		376			387
1.870% due 12/23/2010 (b)		213			220
Qwest Corp.
6.500% due 06/30/2007 (b)		1,850			1,919
Tucson Electric Power Co.
1.010% due 03/30/2009 (b)		1,000			1,009
Total Asset-Backed Securities (Cost $11,948)					12,099
SOVEREIGN ISSUES 6.2%
Republic of Brazil
2.062% due 04/15/2006 (b)		1,056			1,055
11.000% due 01/11/2012		800			922
2.062% due 04/15/2012 (b)		94			88
10.250% due 06/17/2013		200			222
8.000% due 04/15/2014		7,506			7,471
8.250% due 01/20/2034		1,100			983
Republic of Guatemala
9.250% due 08/01/2013		225			253
Republic of Panama
9.625% due 02/08/2011		850			980
9.375% due 07/23/2012		375			427
8.875% due 09/30/2027		1,050			1,108
Republic of Peru
9.125% due 01/15/2008		600			680
9.125% due 02/21/2012		2,050			2,306
9.875% due 02/06/2015		350			404
4.500% due 03/07/2017 (b)		600			537
5.000% due 03/07/2017 (b)		220			204
Republic of Ukraine
11.000% due 03/15/2007		285			311
6.875% due 03/04/2011		500			494
7.650% due 06/11/2013		300			301
Russian Federation
5.000% due 03/31/2030 (b)		3,885			3,747
Total Sovereign Issues (Cost $21,885)					22,493
FOREIGN CURRENCY-DENOMINATED ISSUES (k) 1.9%
Aspropulsion Capital BV
9.625% due 10/01/2013	EC	200			267
BCP Caylux Holdings Luxembourg S.A.
10.375% due 06/15/2014		300			409
Cirsa Finance Luxembourg S.A.
8.000% due 05/15/2014 (b)		50			64
8.750% due 05/15/2014		100			128
EI Paso Corp.
5.750% due 03/14/2006		700			869
Johnsondiversey, Inc.
9.625% due 05/15/2012		350			490
JSG Funding PLC
10.125% due 10/01/2012		650			917
Koninklijke Hoogovens NV
5.625% due 06/24/2008	NG	1,800			1,067
Kronos International, Inc.
8.875% due 06/30/2009	EC	300			407
Lighthouse International Co. S.A.
8.000% due 04/30/2014		1,770			2,160
Total Foreign Currency-Denominated Issues (Cost $5,993)					6,778
COMMON STOCKS 0.0%
		Shares
Dobson Communications Corp. (d)		85,601			114
Total Common Stocks (Cost $564)					114
CONVERTIBLE PREFERRED STOCK 0.0%
Dobson Communications Corp.
6.000% due 08/19/2016		650			29
Total Convertible Preferred Stock (Cost $109)					29
CONVERTIBLE BONDS & NOTES 0.8%
		Principal Amount (000s	)
Industrials 0.2%
Dimon, Inc.
6.250% due 03/31/2007	$	850			795
Utilities 0.6%
AES Corp.
4.500% due 08/15/2005		1,500			1,509
Rogers Communication, Inc.
2.000% due 11/26/2005		665			643
					2,152
Total Convertible Bonds & Notes (Cost $2,854)					2,947
PREFERRED SECURITY 0.3%
		Shares
Fresenius Medical Care
7.875% due 02/01/2008		1,050			1,150
Total Preferred Security (Cost $1,082)					1,150
SHORT-TERM INSTRUMENTS 7.1%
		Principal Amount (000s	)
Commercial Paper 6.1%
Bank of Ireland
1.785% due 12/08/2004	$	2,300			2,292
Barclays U.S. Funding Corp.
1.750% due 11/15/2004		4,000			3,991
CBA (de) Finance
1.635% due 11/16/2004		600			599
CDC Commercial Corp.
1.670% due 12/10/2004		2,100			2,092
Danske Corp.
1.645% due 11/19/2004		400			399
General Electric Capital Corp.
1.600% due 11/09/2004		800			799
1.800% due 12/14/2004		3,400			3,387
HBOS Treasury Services PLC
1.610% due 11/10/2004		300			299
Royal Bank of Scotland PLC
1.630% due 11/03/2004		2,400			2,396
Spintab AB
1.615% due 11/01/2004		700			699
Svenska Handelsbanken, Inc.
1.625% due 11/04/2004		300			300
UBS Finance, Inc.
1.930% due 01/24/2005		900			894
1.940% due 01/25/2005		4,000			3,975
					22,122
Repurchase Agreement 0.5%
State Street Bank
1.400% due 10/01/2004		1,747			1,747
(Dated 09/30/2004. Collateralized by Fannie Mae 1.500% due 08/15/2005 valued at $1,787. Repurchase proceeds are $1,747.)
U.S. Treasury Bills 0.5%
1.619% due 12/02/2004-12/16/2004 (e)(f)(g)		1,780			1,773
Total Short-Term Instruments (Cost $25,646)					25,642
Total Investments 98.6%				$	357,553
(Cost $346,848)
Written Options (l) (0.2%)					(836	)
(Premiums $1,902)
Other Assets and Liabilities (Net) 1.6%					5,923
Net Assets 100.0%				$	362,640

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Security is in default.

(b) Variable rate security.

(c) Payment in-kind bond security.

(d) Non-income producing security.

(e) Securities with an aggregate market value of $1,495 have been pledged as collateral for swap and swaption contracts at September 30, 2004.

(f) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(g) Securities with an aggregate market value of $279 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Eurodollar June Long Futures	06/2005	68	$	(54	)
Eurodollar September Long Futures	09/2005	88		(58	)
Euribor Purchased Put Options Strike @ 89.000	03/2005	310		(4	)
Euro-Bobl 5-Year Note Long Futures	12/2004	99		61
			$	(55	)

(h) Restricted security as of September 30, 2004:

Issuer Description	Acquisition Date		Cost as of September 30, 2004		Market Value as of September 30, 2004	Market Value as Percentage of Net Assets
Bombardier Capital, Inc.	08/11/2003	$	1,007	$	1,002	0.28	%
Continental Airlines, Inc.	07/01/2003		743		819	0.23	%
Ferrellgas Partners LP	06/30/2003		992		1,021	0.28	%
Ferrellgas Partners LP	06/30/2003		1,328		1,368	0.38	%
		$	4,070	$	4,210	1.16	%

(i) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	4.000	%**	10/07/2004	$	27,000	$	416	$	0
Put - OTC 10-Year Interest Rate Swap	Bear Stearns & Co., Inc.	6.500	%*	10/07/2004		27,000		796		0
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	5.000	%**	01/07/2005		9,100		215		406
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	7.000	%*	01/07/2005		9,100		190		0
Call - OTC 7-Year Interest Rate Swap	Wachovia Bank N.A.	5.500	%**	01/07/2005		5,900		285		430
							$	1,902	$	836

* The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(j) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Barclays Bank PLC	3-month LIBOR	Pay	4.000	%	12/15/2006	$	17,900	$	175
Goldman Sachs & Co.	3-month LIBOR	Receive	6.000	%	12/15/2024		5,400		(129	)
Lehman Brothers, Inc.	3-month LIBOR	Receive	6.000	%	12/15/2024		2,800		(155	)
								$	(109	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Bear Stearns & Co., Inc.	MCI, Inc. 6.688% due 05/01/2009	Sell	1.750	%	09/20/2005	$	2,000	$	10
Bear Stearns & Co., Inc.	AT&T Corp. 8.050% due 11/15/2011	Sell	1.520	%	12/20/2007		1,000		(3	)
Bear Stearns & Co., Inc.	CenterPoint Energy Resources Corp. 3.750% due 05/15/2023	Sell	1.140	%	09/20/2009		1,000		(1	)
Credit Suisse First Boston	MCI, Inc. 7.735% due 05/01/2014	Sell	1.150	%	12/20/2005		1,000		0
Credit Suisse First Boston	Nextel Communications, Inc. 7.375% due 08/01/2015	Sell	1.320	%	12/20/2007		1,000		8
Goldman Sachs & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.710	%	10/21/2004		4,000		0
Goldman Sachs & Co.	AOL Time Warner, Inc. 6.875% due 05/01/2012	Sell	2.600	%	12/20/2004		1,286		(1	)
Goldman Sachs & Co.	Bombardier, Inc. 6.750% due 05/01/2012	Sell	2.600	%	12/20/2004		1,286		(1	)
Goldman Sachs & Co.	Clear Channel Communications, Inc. 7.650% 09/15/2010	Sell	2.600	%	12/20/2004		1,286		(1	)
Goldman Sachs & Co.	Comcast Cable Communications, Inc. 6.750% 01/30/2011	Sell	2.600	%	12/20/2004		1,286		(2	)
Goldman Sachs & Co.	Cox Communications, Inc. 7.750% due 11/01/2010	Sell	2.600	%	12/20/2004		1,286		(2	)
Goldman Sachs & Co.	Harrah’s Entertainment, Inc. 8.000% due 02/01/2011	Sell	2.600	%	12/20/2004		1,286		(2	)
Goldman Sachs & Co.	Sprint Corp. 6.875% due 11/15/2028	Sell	2.600	%	12/20/2004		1,286		(2	)
Merrill Lynch & Co., Inc.	TECO Energy, Inc. 7.500% due 06/15/2010	Sell	1.680	%	12/20/2009		1,000		(3	)
								$	0

(k) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Sell	EC	6,467	10/2004	$	0	$	(187	)	$	(187	)
Buy	JY	167,529	10/2004		7		0			7
				$	7	$	(187	)	$	(180	)

(l) The aggregate value of fair valued securities is $2,188, which is 0.60% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

Schedule of Investments

Long-Term U.S. Government Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 12.6%
Banking & Finance 12.6%
Ford Motor Credit Co.
2.060% due 07/18/2005 (a)	$	100	$	100
7.600% due 08/01/2005		100		104
General Electric Capital Corp.
2.005% due 03/15/2005 (a)		900		901
General Motors Acceptance Corp.
6.750% due 01/15/2006		3,000		3,130
International Bank for Reconstruction & Development
3.500% due 10/22/2004		1,000		1,001
7.625% due 01/19/2023		2,700		3,536
Travelers Property Casualty Corp.
6.375% due 03/15/2033		1,000		1,028
U.S. Trade Funding Corp.
4.260% due 11/15/2014		909		921
Verizon Wireless Capital LLC
1.810% due 05/23/2005 (a)		500		500
Total Corporate Bonds & Notes (Cost $11,043)				11,221
MUNICIPAL BONDS & NOTES 3.4%
Chicago, Illinois Motor Fuel Tax Revenue Bonds, (AMBAC Insured), Series 2003
5.000% due 01/01/2033		200		203
Chicago, Illinois Water Revenue Bonds, (AMBAC Insured), Series 2001
5.000% due 11/01/2031		200		223
Dawson Ridge Metropolitan District No. 1 General Obligation Bonds, Series 1992
0.000% due 10/01/2022		800		329
Detroit City School District General Obligation Bonds, (FGID Q-SBLF Insured), Series 2003
5.000% due 05/01/2033		100		102
Florida State Board of Education General Obligation Bonds, (FGIC Insured), Series 2002
5.000% due 06/01/2031		500		513
Illinois Educational Facilities Authority Revenue Bonds, Series 2003
5.000% due 07/01/2033		400		406
Irving Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2003
5.000% due 02/15/2031		200		202
Metropolitan Transportation Authority Revenue Bonds, (FSA Insured), Series 2002
5.000% due 11/15/2032		300		306
New York City Municipal Water Finance Authority Revenue Bonds, Series 2002
5.125% due 06/15/2034		200		206
New York State Triborough Bridge & Tunnels Authority Revenue Bonds, Series 2002
5.000% due 11/15/2032		200		203
San Antonio, Texas Water Revenue Bonds, (FSA Insured), Series 2002
5.000% due 05/15/2032		250		254
South Putnam School Building Corp. Revenue Bonds, (FSA insured), Series 2003
5.000% due 01/15/2022		100		106
Total Municipal Bonds & Notes (Cost $2,940)				3,053
U.S. GOVERNMENT AGENCIES 31.1%
Aid-Israel
5.500% due 09/18/2023		1,000		1,036
Fannie Mae
2.125% due 02/10/2006 (a)		1,000		995
2.293% due 08/25/2021 (a)		43		43
2.443% due 08/25/2022 (a)		25		25
2.740% due 04/25/2032 (a)		67		68
2.743% due 04/25/2021 (a)		42		43
4.500% due 08/25/2034 - 10/25/2034 (b)		1,504		1,184
5.000% due 07/29/2019 - 01/01/2034 (b)		2,807		2,808
5.500% due 05/01/2034		386		392
Federal Home Loan Bank
4.000% due 07/14/2008		1,000		1,006
5.120% due 01/10/2013 (a)		5,000		5,026
5.125% due 08/15/2019		1,000		1,008
Federal Housing Administration
6.896% due 07/01/2020 (a)		530		529
Financing Corp.
0.000% due 11/30/2017 (d)		2,700		1,382
10.700% due 10/06/2017		650		1,012
Freddie Mac
1.863% due 10/25/2030		29		29
2.512% due 02/15/2027 (a)		39		40
2.812% due 02/15/2021 (a)		50		50
5.200% due 03/05/2019		1,500		1,475
5.500% due 08/15/2030		27		27
6.000% due 02/15/2015		73		73
7.000% due 07/15/2023 - 12/01/2031 (b)		198		210
Government National Mortgage Association
5.000% due 08/20/2033 - 08/16/2034 (b)		4,912		4,200
6.000% due 08/20/2033		1,062		1,071
Overseas Private Investment Corp.
3.800% due 08/15/2007		1,000		1,082
5.140% due 08/15/2007		1,000		1,053
5.590% due 11/30/2010		700		831
Small Business Administration
5.240% due 08/01/2023 (a)		956		987
Total U.S. Government Agencies (Cost $26,819)				27,685
U.S. TREASURY OBLIGATIONS 11.4%
Treasury Inflation Protected Securities (c)
3.375% due 01/15/2007		179		192
2.375% due 01/15/2025		4,854		5,058
U.S. Treasury Bond
5.500% due 08/15/2028		800		860
U.S. Treasury Note
1.750% due 12/31/2004		4,000		4,001
Total U.S. Treasury Obligations (Cost $9,800)				10,111
MORTGAGE-BACKED SECURITIES 15.8%
Bear Stearns Adjustable Rate Mortgage Trust
5.120% due 03/25/2033 (a)		1,131		1,139
5.439% due 03/25/2033 (a)		440		444
4.924% due 01/25/2034 (a)		208		210
2.120% due 02/25/2034 (a)		177		178
Countrywide Alternative Loan Trust
5.500% due 10/25/2033		1,056		977
Countrywide Home Loans, Inc.
6.000% due 02/25/2033		227		229
5.250% due 01/25/2034		905		910
CS First Boston Mortgage Securities Corp.
4.947% due 11/25/2032 (a)		190		192
2.390% due 04/25/2033 (a)		272		273
Federal Agricultural Mortgage Corp.
7.238% due 07/25/2011		180		189
First Republic Mortgage Loan Trust
2.110% due 11/15/2031 (a)		721		720
GMAC Mortgage Corp. Loan Trust
2.040% due 10/25/2033 (a)		195		195
Impac CMB Trust
5.249% due 09/25/2034		1,445		1,454
MASTR Asset Securitization Trust
5.500% due 09/25/2033		673		670
Residential Accredit Loans, Inc.
2.240% due 01/25/2033 (a)		133		133
2.240% due 03/25/2033 (a)		234		234
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		212		216
Sequoia Mortgage Trust
2.151% due 06/20/2032 (a)		254		254
2.161% due 07/20/2033 (a)		880		876
Structured Asset Mortgage Investments, Inc.
7.190% due 02/25/2030 (a)		65		66
6.513% due 03/25/2032 (a)		50		51
2.141% due 09/19/2032 (a)		1,892		1,885
2.231% due 06/18/2033 (a)		476		477
Structured Asset Securities Corp.
2.340% due 07/25/2032 (a)		1,060		1,063
2.130% due 01/25/2033 (a)		98		98
Washington Mutual Mortgage Securities Corp.
6.000% due 03/25/2017		117		118
5.390% due 02/25/2031 (a)		207		211
2.390% due 01/25/2033 (a)		9		9
5.120% due 02/25/2033 (a)		147		149
5.410% due 02/25/2033 (a)		138		140
5.040% due 05/25/2033 (a)		289		291
3.550% due 01/25/2041 (a)		11		11
Total Mortgage-Backed Securities (Cost $14,103)				14,062
ASSET-BACKED SECURITIES 5.1%
ACE Securities Corp.
2.180% due 06/25/2032 (a)		57		57
AmeriCredit Automobile Receivables Trust
1.886% due 10/12/2006 (a)		97		97
Ameriquest Mortgage Securities, Inc.
2.250% due 03/25/2033 (a)		133		133
Argent Securities, Inc.
2.090% due 03/25/2034 (a)		1,005		1,006
Bayview Financial Acquisition Trust
2.290% due 08/28/2034 (a)		547		549
Bear Stearns Asset-Backed Securities, Inc.
2.340% due 11/25/2042 (a)		713		714
Countrywide Asset-Backed Certificates
2.100% due 05/25/2032 (a)		18		18
CS First Boston Mortgage Securities Corp.
2.280% due 08/25/2032 (a)		105		105
Home Equity Asset Trust
2.240% due 09/25/2033 (a)		38		38
Household Mortgage Loan Trust
2.111% due 05/20/2032 (a)		261		262
Long Beach Mortgage Loan Trust
2.240% due 03/25/2033 (a)		285		286
Los Angeles Arena Funding LLC
7.656% due 12/15/2026		94		101
Novastar Home Equity Loan
2.120% due 01/25/2031 (a)		47		47
Renaissance Home Equity Loan Trust
2.280% due 08/25/2033 (a)		64		65
2.340% due 12/25/2033 (a)		240		241
SMS Student Loan Trust
2.340% due 10/27/2025 (a)		127		128
Specialty Underwriting & Residential Finance
2.170% due 06/25/2034 (a)		537		538
Terwin Mortgage Trust
2.420% due 06/25/2033 (a)		163		163
Total Asset-Backed Securities (Cost $4,545)				4,548
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar December Futures (CME)
Strike @ 97.500 Exp. 12/13/2004		100		1
Eurodollar March Futures (CME)
Strike @ 96.000 Exp. 03/14/2005		43		0
Total Purchased Put Options (Cost $6)				1
SHORT-TERM INSTRUMENTS 21.1%
Certificates of Deposit 3.8%
Citibank New York N.A.
1.750% due 12/07/2004	$	1,700		1,700
Wells Fargo Bank N.A.
1.620% due 10/06/2004		1,700		1,700
				3,400
Commercial Paper 12.7%
Fannie Mae
1.682% due 11/08/2004		900		898
1.690% due 11/08/2004		700		699
1.734% due 11/15/2004		600		599
1.660% due 11/24/2004		1,800		1,795
1.594% due 12/01/2004		900		897
1.687% due 12/01/2004		1,700		1,695
1.760% due 12/08/2004		900		897
1.774% due 12/15/2004		1,500		1,494
Federal Home Loan Bank
1.650% due 10/07/2004		900		900
Freddie Mac
1.571% due 11/22/2004		900		898
1.575% due 11/24/2004		500		499
				11,271
Repurchase Agreement 3.0%
State Street Bank
1.400% due 10/01/2004		2,668		2,668
(Dated 09/30/2004. Collateralized by U.S. Treasury Note 2.750% due 07/31/2006 valued at $2,725. Repurchase proceeds are $2,668.)
U.S. Treasury Bills 1.6%
1.628% due 12/02/2004-12/16/2004 (b)(e)		1,485		1,479
Total Short-Term Instruments (Cost $18,819)				18,818
Total Investments 100.5%			$	89,499
(Cost $88,075)
Written Options (f) (0.0%)				(34	)
(Premiums $79)
Other Assets and Liabilities (Net) (0.5%)				(455	)
Net Assets 100.0%			$	89,010

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(c) Principal amount of security is adjusted for inflation.

(d) Principal only security.

(e) Securities with an aggregate market value of $1,672 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
U.S. Treasury 10-Year Note Long Futures	12/2004	350	$	309
U.S. Treasury 30-Year Bond Long Futures	12/2004	3		5
U.S. Treasury 30-Year Bond Long Futures	12/2004	261		459
U.S. Treasury 5-Year Note Long Futures	12/2004	9		5
U.S. Treasury 5-Year Note Short Futures	12/2004	149		(26	)
Eurodollar March Long Futures	03/2005	60		51
Eurodollar September Long Futures	09/2005	69		25
			$	828

(f) Premiums received on written options:

Name of Issuer	Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CME Eurodollar December Futures	116.000	11/24/2004	36	$	17	$	14
Call - CME Eurodollar December Futures	98.250	12/13/2004	100		12		1
Call - CME Eurodollar March Futures	97.500	03/14/2005	14		6		4
Put - CME Eurodollar March Futures	97.000	03/14/2005	43		23		3
				$	58	$	22

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Wachovia Bank N.A.	4.000	%**	11/02/2004	$	5,000	$	21	$	12

** The Portfolio will receive a floating rate based on 3-month LIBOR.

Schedule of Investments

Low Duration Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 5.8%
Banking & Finance 3.4%
Ford Motor Credit Co.
3.535% due 10/25/2004 (a)	$	1,200	$	1,201
7.600% due 08/01/2005		1,000		1,039
General Motors Acceptance Corp.
2.880% due 10/20/2005 (a)		1,700		1,714
2.530% due 04/13/2006 (a)		2,300		2,310
Goldman Sachs Group, Inc.
1.980% due 07/23/2009 (a)		1,300		1,304
Pemex Project Funding Master Trust
3.077% due 01/07/2005 (a)		100		100
Prudential Financial, Inc.
4.104% due 11/15/2006		400		407
Verizon Wireless Capital LLC
1.810% due 05/23/2005 (a)		500		500
				8,575
Industrials 1.7%
Altria Group, Inc.
7.650% due 07/01/2008		200		218
AOL Time Warner, Inc.
6.125% due 04/15/2006		250		261
Clear Channel Communications, Inc.
6.000% due 11/01/2006		250		263
DaimlerChrysler North America Holding Corp.
7.400% due 01/20/2005		200		203
7.750% due 06/15/2005		1,700		1,761
2.340% due 05/24/2006 (a)		100		100
Harrah’s Operating Co., Inc.
7.500% due 01/15/2009		200		224
International Paper Co.
7.625% due 01/15/2007		250		272
Tyco International Group S.A.
6.375% due 06/15/2005		1,100		1,128
				4,430
Utilities 0.7%
Appalachian Power Co.
4.800% due 06/15/2005		40		41
Entergy Mississippi, Inc.
4.350% due 04/01/2008		100		101
France Telecom S.A.
7.950% due 03/01/2006		100		107
Pacific Gas & Electric Co.
2.705% due 04/03/2006 (a)		1,300		1,301
Progress Energy, Inc.
6.750% due 03/01/2006		250		263
				1,813
Total Corporate Bonds & Notes (Cost $14,797)				14,818
U.S. GOVERNMENT AGENCIES 27.3%
Fannie Mae
1.960% due 03/25/2034 (a)		749		746
2.190% due 03/25/2044 (a)		1,099		1,101
2.240% due 11/25/2032 (a)		220		220
2.781% due 09/01/2040 (a)		32		32
4.766% due 12/01/2036 (a)		155		160
5.000% due 10/19/2019 - 04/25/2033 (b)		15,224		15,465
5.039% due 09/01/2034 (a)		159		161
5.500% due 10/01/2017 - 10/14/2034 (b)		45,037		45,655
6.000% due 06/01/2016 - 03/01/2033 (b)		1,541		1,577
6.500% due 08/01/2032 - 01/01/2033 (b)		84		88
Federal Home Loan Bank
5.500% due 04/17/2006		1,000		1,043
Federal Housing Administration
7.430% due 10/01/2020		56		57
Freddie Mac
2.010% due 07/15/2016 (a)		1,555		1,556
5.000% due 10/01/2018		78		80
5.500% due 08/15/2030		119		120
6.000% due 09/01/2016 - 02/01/2033 (b)		1,191		1,214
6.500% due 07/25/2043		384		406
Total U.S. Government Agencies (Cost $69,830)				69,681
U.S. TREASURY OBLIGATIONS 2.0%
Treasury Inflation Protected Securities (c)
3.625% due 01/15/2008		1,759		1,929
3.875% due 01/15/2009		2,010		2,263
4.250% due 01/15/2010		338		392
3.375% due 01/15/2012		213		242
3.000% due 07/15/2012		316		350
Total U.S. Treasury Obligations (Cost $5,097)				5,176
MORTGAGE-BACKED SECURITIES 3.8%
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2031		281		291
5.637% due 10/20/2032 (a)		12		12
Bear Stearns Adjustable Rate Mortgage Trust
5.974% due 06/25/2032 (a)		23		23
5.288% due 10/25/2032 (a)		4		4
5.557% due 01/25/2033 (a)		46		46
5.562% due 03/25/2033 (a)		82		84
5.194% due 04/25/2033 (a)		65		65
5.069% due 01/25/2034 (a)		347		350
Countrywide Alternative Loan Trust
6.500% due 06/25/2033		116		119
6.000% due 10/25/2033		351		359
Countrywide Home Loans, Inc.
1.885% due 04/25/2034 (a)		620		617
Credit-Based Asset Servicing & Securitization LLC
2.340% due 01/25/2033 (a)		220		220
CS First Boston Mortgage Securities Corp.
2.478% due 03/25/2032 (a)		45		45
7.222% due 06/25/2032 (a)		4		4
5.720% due 10/25/2032 (a)		16		17
1.429% due 08/25/2033 (a)		50		50
GSR Mortgage Loan Trust
6.000% due 03/25/2032		17		17
Impac CMB Trust
2.240% due 07/25/2033 (a)		157		157
2.090% due 01/25/2034 (a)		433		434
MASTR Asset Securitization Trust
5.500% due 09/25/2033		122		122
Mellon Residential Funding Corp.
2.000% due 06/15/2030 (a)		1,090		1,085
Merrill Lynch Mortgage Investors, Inc.
2.851% due 01/25/2029 (a)		536		565
Prime Mortgage Trust
2.240% due 02/25/2034 (a)		238		238
Residential Funding Mortgage Securities I, Inc.
5.603% due 09/25/2032 (a)		4		4
Salomon Brothers Mortgage Securities VII, Inc.
4.000% due 12/25/2018		687		683
Sequoia Mortgage Trust
2.151% due 05/20/2032 (a)		64		64
2.111% due 08/20/2032 (a)		35		35
Structured Asset Mortgage Investments, Inc.
2.141% due 09/19/2032 (a)		91		91
Structured Asset Securities Corp.
2.140% due 10/25/2027 (a)		46		46
6.150% due 07/25/2032 (a)		4		4
2.000% due 08/25/2033 (a)		91		91
2.340% due 11/25/2033 (a)		164		160
Washington Mutual Mortgage Securities Corp.
6.230% due 07/25/2032 (a)		11		11
4.816% due 10/25/2032 (a)		719		724
3.066% due 02/27/2034 (a)		128		128
3.565% due 01/25/2041 (a)		11		11
2.780% due 08/25/2042 (a)		433		441
Washington Mutual, Inc.
5.497% due 04/26/2032 (a)		90		91
Wells Fargo Mortgage-Backed Securities Trust
3.542% due 09/25/2034 (a)		2,039		2,044
Total Mortgage-Backed Securities (Cost $9,571)				9,552
ASSET-BACKED SECURITIES 17.9%
ACE Securities Corp.
2.180% due 06/25/2032 (a)		2		2
Ameriquest Mortgage Securities, Inc.
2.150% due 04/25/2032 (a)		51		51
1.930% due 04/25/2034 (a)		1,419		1,419
Amortizing Residential Collateral Trust
2.130% due 07/25/2032 (a)		165		165
2.160% due 07/25/2032 (a)		106		106
Argent Securities, Inc.
2.020% due 09/25/2034 (a)		800		800
Asset Backed Securities Corp. Home Equity
2.860% due 03/15/2032 (a)		600		604
Centex Home Equity
1.940% due 03/25/2034 (a)		876		876
Chase Funding Mortgage Loan Asset-Backed Certificates
2.120% due 05/25/2030 (a)		1,320		1,321
CIT Group Home Equity Loan Trust
2.110% due 06/25/2033 (a)		26		27
Countrywide Asset-Backed Certificates
2.090% due 07/25/2018 (a)		131		131
2.080% due 12/25/2031 (a)		312		313
1.775% due 12/25/2034 (a)		1,700		1,699
2.030% due 12/25/2034 (a)		1,309		1,310
Credit-Based Asset Servicing & Securitization LLC
1.865% due 09/25/2033 (a)		297		297
Credit-Based Asset Servicing and Securitization
2.160% due 06/25/2032 (a)		7		7
1.950% due 03/25/2034 (a)		1,147		1,148
1.970% due 08/25/2034 (a)		1,779		1,780
CS First Boston Mortgage Securities Corp.
2.150% due 01/25/2032 (a)		44		44
Equity One ABS, Inc.
2.120% due 11/25/2032 (a)		26		26
1.950% due 07/25/2034 (a)		1,923		1,924
First Franklin Mortgage Loan Trust Asset-Backed Certificates
1.960% due 07/25/2033 (a)		900		901
Fremont Home Loan Trust
1.890% due 07/25/2034 (a)		600		600
GSAMP Trust
1.640% due 10/25/2033 (a)		905		905
2.130% due 03/25/2034 (a)		968		969
2.020% due 10/01/2034 (a)(h)		2,300		2,300
HFC Home Equity Loan Asset-Backed Certificates
2.161% due 10/20/2032 (a)		496		497
Home Equity Asset Trust
1.780% due 12/25/2034 (a)		1,274		1,274
Household Mortgage Loan Trust
2.111% due 05/20/2032 (a)		5		6
Irwin Home Equity Loan Trust
2.130% due 06/25/2029 (a)		4		4
Long Beach Mortgage Loan Trust
1.990% due 02/25/2024 (a)		1,387		1,389
2.290% due 11/25/2032 (a)		579		581
Merrill Lynch CLO Pilgrim-3
2.260% due 06/23/2010 (a)		444		441
MMCA Automobile Trust
2.550% due 02/15/2007		482		483
Morgan Stanley Dean Witter Capital I, Inc.
2.170% due 07/25/2032 (a)		6		6
Nelnet Student Loan Trust
2.017% due 04/25/2011 (a)		800		800
Park Place Securities, Inc.
1.940% due 08/25/2034 (a)		1,200		1,200
1.820% due 10/25/2034 (a)		1,900		1,900
Residential Asset Mortgage Products, Inc.
1.780% due 04/25/2026 (a)		1,380		1,381
2.180% due 09/25/2033 (a)		936		937
2.090% due 02/25/2034 (a)		1,003		1,003
Residential Asset Securities Corp.
1.990% due 06/25/2023 (a)		564		564
1.960% due 06/25/2025 (a)		288		288
SACO I, Inc.
2.030% due 11/01/2034 (a)		1,600		1,600
Sears Credit Account Master Trust
1.920% due 10/16/2008 (a)		2,300		2,301
1.890% due 08/18/2009 (a)		2,500		2,504
2.140% due 11/17/2009 (a)		2,300		2,303
SLM Student Loan Trust
1.900% due 03/15/2011 (a)		1,502		1,503
Specialty Underwriting & Residential Finance
2.170% due 11/25/2034 (a)		1,788		1,789
Structured Asset Investment Loan Trust
1.940% due 04/25/2033 (a)		80		80
1.960% due 06/25/2033 (a)		38		38
Truman Capital Mortgage Loan Trust
2.180% due 01/25/2034 (a)		767		766
Vanderbilt Acquisition Loan Trust
3.280% due 01/07/2013		6		6
Wells Fargo Home Equity Trust
2.000% due 09/25/2034 (a)		300		300
Total Asset-Backed Securities (Cost $45,665)				45,669
SOVEREIGN ISSUES 0.9%
Republic of Brazil
2.062% due 04/15/2006 (a)		374		374
2.125% due 04/15/2009 (a)		353		347
Russian Federation
8.750% due 07/24/2005		1,600		1,670
Total Sovereign Issues (Cost $2,378)				2,391
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar March Futures (CME)
Strike @ 94.750 Exp. 03/14/2005		90		0
Total Purchased Put Options (Cost $1)				0
PREFERRED SECURITY 0.3%
		Shares
DG Funding Trust
4.225% due 12/29/2049 (a)		60		645
Total Preferred Security (Cost $632)				645
SHORT-TERM INSTRUMENTS 66.2%
Certificates of Deposit 1.9%
Citibank New York N.A.
1.660% due 11/23/2004	$	4,600		4,600
1.750% due 12/07/2004		200		199
				4,799
Commercial Paper 62.1%
ABN AMRO North America
1.925% due 01/24/2005		2,200		2,186
Altria Group, Inc.
1.800% due 10/29/2004		200		200
ASB Bank Ltd.
1.725% due 12/03/2004		500		498
Bank of Ireland
1.785% due 12/08/2004		6,500		6,477
1.840% due 12/17/2004		900		896
Barclays U.S. Funding Corp.
1.770% due 10/21/2004		100		100
1.610% due 11/03/2004		500		499
1.750% due 11/15/2004		300		299
1.800% due 12/08/2004		6,600		6,577
CBA (de) Finance
1.485% due 10/08/2004		6,100		6,098
1.850% due 12/15/2004		300		299
CDC Commercial Corp.
1.480% due 10/05/2004		5,600		5,599
1.670% due 11/23/2004		1,400		1,396
Danske Corp.
1.480% due 10/06/2004		2,700		2,699
1.630% due 10/25/2004		100		100
1.645% due 11/22/2004		1,300		1,297
1.725% due 12/03/2004		100		100
1.765% due 12/09/2004		100		100
1.785% due 12/16/2004		100		100
1.845% due 12/20/2004		1,800		1,792
1.845% due 12/21/2004		1,300		1,294
Den Norske Bank ASA
1.830% due 12/15/2004		1,300		1,295
1.840% due 12/23/2004		5,000		4,978
1.850% due 12/27/2004		1,200		1,194
Dexia Delaware LLC
1.855% due 12/23/2004		4,100		4,082
Fannie Mae
1.600% due 10/01/2004		1,300		1,300
1.550% due 10/27/2004		2,200		2,197
1.596% due 11/03/2004		4,900		4,893
1.605% due 11/10/2004		2,300		2,296
1.660% due 11/24/2004		6,300		6,284
1.687% due 12/01/2004		4,400		4,386
1.774% due 12/15/2004		600		598
1.819% due 12/22/2004		3,900		3,883
Federal Home Loan Bank
1.475% due 10/15/2004		2,200		2,199
1.740% due 10/20/2004		300		300
1.749% due 12/10/2004		700		697
ForeningsSparbanken AB
1.785% due 12/07/2004		1,300		1,395
1.800% due 12/20/2004		100		0
Freddie Mac
1.500% due 10/19/2004		100		100
1.560% due 10/20/2004		2,200		2,198
1.570% due 11/15/2004		2,300		2,295
1.571% due 11/22/2004		2,300		2,295
1.579% due 11/22/2004		300		299
General Electric Capital Corp.
1.580% due 11/01/2004		600		599
1.590% due 11/05/2004		500		499
1.610% due 11/16/2004		200		200
1.800% due 12/14/2004		2,200		2,191
1.800% due 12/16/2004		2,300		2,291
HBOS Treasury Services PLC
1.495% due 10/05/2004		300		300
1.535% due 10/15/2004		200		200
1.580% due 10/21/2004		300		300
1.585% due 10/26/2004		200		200
1.625% due 11/02/2004		400		399
1.655% due 11/18/2004		800		798
1.655% due 11/19/2004		2,400		2,395
1.715% due 11/26/2004		700		698
1.715% due 11/29/2004		100		100
1.730% due 12/02/2004		100		100
1.735% due 12/03/2004		100		100
1.780% due 12/07/2004		500		498
1.780% due 12/08/2004		900		897
1.820% due 12/14/2004		100		100
ING U.S. Funding LLC
1.470% due 10/04/2004		500		500
1.730% due 12/02/2004		5,900		5,881
1.790% due 12/10/2004		1,000		996
Nordea North America, Inc.
1.730% due 11/29/2004		4,600		4,587
1.720% due 11/30/2004		2,600		2,592
1.865% due 12/21/2004		300		299
Rabobank USA Financial Corp.
1.860% due 10/01/2004		4,100		4,100
Royal Bank of Scotland PLC
1.540% due 10/19/2004		5,200		5,196
1.630% due 10/25/2004		200		200
1.600% due 10/29/2004		100		100
1.630% due 11/03/2004		100		100
1.835% due 12/20/2004		1,800		1,792
1.810% due 12/22/2004		4,800		4,779
Shell Finance (UK) PLC
1.685% due 11/24/2004		1,000		997
Spintab AB
1.615% due 11/01/2004		1,600		1,598
1.740% due 12/02/2004		2,300		2,293
Svenska Handelsbanken, Inc.
1.615% due 10/29/2004		400		399
1.625% due 11/04/2004		400		399
1.730% due 12/02/2004		3,200		3,190
1.790% due 12/08/2004		400		399
1.800% due 12/15/2004		2,900		2,889
UBS Finance, Inc.
1.675% due 11/24/2004		1,600		1,596
1.690% due 11/29/2004		100		100
1.765% due 12/07/2004		3,900		3,886
1.850% due 12/21/2004		100		100
1.835% due 12/22/2004		1,800		1,792
Westpac Capital Corp.
1.690% due 11/26/2004		3,200		3,192
Westpac Trust Securities NZ Ltd.
1.460% due 10/04/2004		2,900		2,900
1.485% due 10/08/2004		400		400
1.520% due 10/15/2004		500		500
				158,387
Repurchase Agreement 1.9%
State Street Bank
1.400% due 10/01/2004		4,827		4,827
(Dated 09/30/2004. Collateralized by U.S. Treasury Note 2.750% due 07/31/2006 valued at $4,927. Repurchase proceeds are $4,827.)
U.S. Treasury Bills 0.3%
1.625% due 12/02/2004-12/16/2004 (b)(d)		835		832
Total Short-Term Instruments (Cost $168,860)				168,845
Total Investments 124.2%			$	316,777
(Cost $316,831)
Written Options (e) (0.0%)				(0	)
(Premiums $3)
Other Assets and Liabilities (Net) (24.2%)				(61,717	)
Net Assets 100.0%			$	255,060

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(c) Principal amount of security is adjusted for inflation.

(d) Securities with an aggregate market value of $842 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Eurodollar June Long Futures	06/2005	43	$	0
Eurodollar September Long Futures	09/2005	386		90
Eurodollar December Long Futures	12/2004	36		(1	)
Euribor December Long Futures	12/2005	37		21
Euribor June Long Futures	06/2005	22		30
Euribor September Long Futures	09/2005	20		23
Euribor Written Put Options Strike @ 97.000	12/2004	2		2
Euro-Bund 10-Year Note Long Futures	12/2004	1		0
U.S. Treasury 10-Year Note Long Futures	12/2004	15		(7	)
United Kingdom 90-Day LIBOR Purchased Put Options Strike @ 94.250	06/2005	6		3
			$	161

(e) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3.800	%**	10/07/2004	$	700	$	3	$	0

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(f) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
Morgan Stanley Dean Witter & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2032	BP	100	$	(4	)
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2032	EC	200		7
Barclays Bank PLC	3-month LIBOR	Pay	4.000	%	12/15/2006	$	400		3
Goldman Sachs & Co.	3-month LIBOR	Pay	5.000	%	12/15/2014		2,400		(29	)
Morgan Stanley Dean Witter & Co.	3-month LIBOR	Pay	5.000	%	12/15/2014		1,600		(20	)
								$	(43	)

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Citibank N.A.	Republic of Panama 8.875% due 09/30/2027	Sell	1.650	%	05/30/2005	$	10	$	0
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/24/2005		200		0
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.970	%	07/31/2005		200		0
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/22/2005		300		1
								$	1

(g) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized Appreciation/ (Depreciation	)
Buy	BR	95	11/2004	$	2	$	0		$	2
Buy		300	12/2004		2		0			2
Buy	CP	24,364	11/2004		1		0			1
Buy		60,602	12/2004		1		0			1
Buy	EC	5,000	10/2004		60		0			60
Sell		5,224	10/2004		0		(151	)		(151	)
Buy	H$	250	11/2004		0		0			0
Buy		777	12/2004		0		0			0
Buy	KW	37,380	11/2004		0		0			0
Buy		118,000	12/2004		0		0			0
Buy	MP	1,121	12/2004		1		0			1
Buy	PN	112	11/2004		0		0			0
Buy		139	12/2004		0		0			0
Buy	PZ	158	11/2004		1		0			1
Buy		158	12/2004		1		0			1
Buy	RP	2,578	12/2004		0		(1	)		(1	)
Buy	RR	915	11/2004		0		0			0
Buy		3,048	12/2004		0		0			0
Buy	S$	54	11/2004		1		0			1
Buy		170	12/2004		0		0			0
Buy	SV	1,061	11/2004		1		0			1
Buy		1,337	12/2004		0		0			0
Buy	T$	1,063	11/2004		0		0			0
Buy		3,321	12/2004		0		0			0
				$	71	$	(152	)	$	(81	)

(h) The aggregate value of fair valued securities is $2,300, which is 0.90% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

Schedule of Investments

Money Market Portfolio

September 30, 2004 (Unaudited)

		Principal Amount (000s)		Value (000s)
SHORT-TERM INSTRUMENTS 100.2%
Certificates of Deposit 8.3%
Bank of America N.A.
1.620% due 11/02/2004	$	600	$	600
Citibank New York N.A.
1.540% due 10/22/2004		100		100
1.805% due 12/10/2004		500		500
1.880% due 12/22/2004		100		100
1.920% due 12/29/2004		300		300
Dexia Bank New York N.A.
1.780% due 12/10/2004		300		300
Wells Fargo Bank N.A.
1.600% due 10/04/2004		600		600
1.650% due 10/07/2004		400		400
				2,900
Commercial Paper 83.8%
ABN AMRO North America
1.945% due 01/31/2005		1,000		993
Bank of Ireland
1.960% due 01/27/2005		800		795
Barclays U.S. Funding Corp.
1.855% due 12/16/2004		1,000		996
CBA (de) Finance
1.660% due 11/22/2004		1,000		998
CDC Commercial Corp.
1.670% due 11/23/2004		1,000		998
Danske Corp.
1.665% due 11/22/2004		1,000		998
Den Norske Bank ASA
1.500% due 10/06/2004		300		300
1.770% due 12/07/2004		1,000		997
Dexia Delaware LLC
1.830% due 12/20/2004		1,000		996
Fannie Mae
1.455% due 10/06/2004		1,000		1,000
1.520% due 10/15/2004		1,000		999
1.567% due 10/27/2004		200		200
1.605% due 11/10/2004		500		499
1.578% due 11/17/2004		1,000		998
1.625% due 11/17/2004		2,000		1,996
Federal Home Loan Bank
1.464% due 10/15/2004		1,300		1,299
1.475% due 10/15/2004		1,100		1,099
1.655% due 11/26/2004		800		798
1.650% due 12/08/2004		1,200		1,196
ForeningsSparbanken AB
1.560% due 10/21/2004		500		500
1.785% due 12/07/2004		500		498
Freddie Mac
1.585% due 11/09/2004		1,600		1,597
1.618% due 11/16/2004		1,000		998
1.620% due 11/16/2004		1,000		998
1.780% due 12/14/2004		1,000		996
General Electric Capital Corp.
1.600% due 11/09/2004		500		499
HBOS Treasury Services PLC
1.620% due 10/29/2004		500		499
ING U.S. Funding LLC
1.790% due 12/09/2004		1,000		997
Nordea North America, Inc.
1.920% due 01/25/2005		1,000		994
Royal Bank of Scotland PLC
1.780% due 12/10/2004		1,000		996
UBS Finance, Inc.
1.675% due 11/24/2004		600		598
Westpac Capital Corp.
1.665% due 11/23/2004		1,000		998
				29,323
Repurchase Agreements 3.8%
Credit Suisse First Boston
1.700% due 10/01/2004		1,200		1,200
(Dated 09/30/2004. Collateralized by U.S. Treasury Note 3.125% due 04/15/2009 valued at $1,231. Repurchase proceeds are $1,200.)
State Street Bank
1.400% due 10/01/2004		148		148
(Dated 09/30/2004. Collateralized by Fannie Mae 2.625% due 01/19/2007 valued at $155. Repurchase proceeds are $148.)
				1,348
U.S. Treasury Bills 4.3%
1.465% due 11/04/2004		1,500		1,498
Total Short-Term Instruments (Cost $35,069)				35,069
Total Investments 100.2%			$	35,069
(Cost $35,069)
Other Assets and Liabilities (Net) (0.2%)				(82	)
Net Assets 100.0%			$	34,987

Schedule of Investments

Real Return Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 3.9%
Banking & Finance 2.3%
Countrywide Home Loans, Inc.
1.820% due 02/23/2005 (a)	$	3,600	$	3,599
Ford Motor Credit Co.
3.035% due 10/25/2004 (a)		200		200
2.060% due 07/18/2005 (a)		300		300
General Motors Acceptance Corp.
2.595% due 05/18/2006 (a)		1,500		1,504
Pemex Project Funding Master Trust
7.375% due 12/15/2014		500		546
8.625% due 02/01/2022		200		228
Phoenix Quake Wind Ltd.
4.050% due 07/03/2008 (a)		500		519
4.050% due 07/03/2008 (a)		2,000		2,074
Residential Reinsurance Ltd.
6.740% due 06/08/2006 (a)		1,000		780
Travelers Property Casualty Corp.
3.750% due 03/15/2008		100		101
Verizon Wireless Capital LLC
1.810% due 05/23/2005 (a)		2,800		2,799
Vita Capital Ltd.
2.460% due 01/01/2007 (a)		700		704
				13,354
Industrials 0.9%
Alcan, Inc.
2.100% due 12/08/2004 (a)		1,100		1,100
DaimlerChrysler North America Holding Corp.
7.750% due 06/15/2005		100		104
Halliburton Co.
3.120% due 10/17/2005 (a)		1,700		1,715
2.410% due 01/26/2007 (a)		2,000		2,002
				4,921
Utilities 0.7%
Cleveland Electric Illuminating Co.
6.860% due 10/01/2008		100		111
Entergy Gulf States, Inc.
2.810% due 06/18/2007 (a)		1,500		1,508
Sprint Capital Corp.
7.900% due 03/15/2005		2,200		2,254
				3,873
Total Corporate Bonds & Notes (Cost $22,213)				22,148
MUNICIPAL BONDS & NOTES 0.2%
Badger Asset Securitization Corporate Revenue Bonds, Series 2002
6.000% due 06/01/2017		475		460
Rhode Island Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2023		500		471
Total Municipal Bonds & Notes (Cost $872)				931
U.S. GOVERNMENT AGENCIES 1.0%
Fannie Mae
1.990% due 08/25/2034 (a)		3,218		3,217
3.320% due 11/01/2024 (a)		25		25
Small Business Administration
4.504% due 02/01/2014		2,255		2,245
Total U.S. Government Agencies (Cost $5,497)				5,487
U.S. TREASURY OBLIGATIONS 102.3%
Treasury Inflation Protected Securities (b)
3.375% due 01/15/2007		13,993		14,954
3.625% due 01/15/2008		75,533		82,860
3.875% due 01/15/2009		59,156		66,613
4.250% due 01/15/2010		51,863		60,208
3.500% due 01/15/2011		23,952		27,117
3.375% due 01/15/2012		17,608		19,957
3.000% due 07/15/2012		47,319		52,412
1.875% due 07/15/2013		16,507		16,793
2.000% due 01/15/2014		64,505		66,069
2.000% due 07/15/2014		16,788		17,165
2.375% due 01/15/2025		14,677		15,294
3.625% due 04/15/2028		45,878		58,225
3.875% due 04/15/2029		62,819		83,343
3.375% due 04/15/2032		2,135		2,708
Total U.S. Treasury Obligations (Cost $584,593)				583,718
MORTGAGE-BACKED SECURITIES 1.6%
Bank of America Mortgage Securities, Inc.
6.500% due 02/25/2033		530		538
Bear Stearns Adjustable Rate Mortgage Trust
4.338% due 01/25/2034 (a)		7,030		7,073
Sequoia Mortgage Trust
2.161% due 10/19/2026 (a)		1,347		1,347
Total Mortgage-Backed Securities (Cost $9,029)				8,958
ASSET-BACKED SECURITIES 4.2%
Ameriquest Mortgage Securities, Inc.
2.025% due 02/25/2033 (a)		450		452
Asset-Backed Securities Corp. Home Equity
2.260% due 01/15/2033 (a)		1,651		1,660
Bayview Financial Acquisition Trust
2.090% due 08/28/2034 (a)		3,280		3,292
Bear Stearns Asset-Backed Securities, Inc.
2.065% due 03/25/2043 (a)		957		959
Equity One ABS, Inc.
1.915% due 04/25/2034 (a)		2,076		2,073
GSAMP Trust
2.130% due 03/25/2034 (a)		880		880
Mastr Asset Backed Securities Trust
1.715% due 02/25/2034 (a)		611		611
Merrill Lynch Mortgage Investors, Inc.
1.715% due 12/25/2034 (a)		487		487
Morgan Stanley Warehouse Facilities
1.920% due 07/06/2005 (a)		6,200		6,196
Redwood Capital Ltd.
3.410% due 01/01/2006 (a)		1,000		1,008
4.960% due 01/01/2006 (a)		1,000		1,010
Renaissance Home Equity Loan Trust
1.995% due 12/25/2032 (a)		1,001		999
Residential Asset Mortgage Products, Inc.
1.987% due 09/25/2013 (a)		3,400		3,399
Residential Asset Securities Corp.
1.915% due 01/25/2034 (a)		77		77
Structured Asset Investment Loan Trust
1.735% due 06/25/2033 (a)		24		24
Truman Capital Mortgage Loan Trust
1.955% due 01/25/2034 (a)		384		383
Wells Fargo Home Equity Trust
2.000% due 09/25/2034 (a)		400		400
Total Asset-Backed Securities (Cost $23,882)				23,910
SOVEREIGN ISSUES 1.0%
Republic of Brazil
2.062% due 04/15/2006 (a)		128		128
2.125% due 04/15/2009 (a)		118		115
8.000% due 04/15/2014		4,457		4,436
11.000% due 08/17/2040		200		224
Republic of Colombia
10.000% due 01/23/2012		350		390
United Mexican States
6.375% due 01/16/2013		700		739
Total Sovereign Issues (Cost $5,815)				6,032
FOREIGN CURRENCY-DENOMINATED ISSUES (h) 0.9%
Pylon Ltd.
3.619% due 12/18/2008 (a)	EC	700		899
6.016% due 12/22/2008 (a)		1,100		1,419
Republic of France
3.000% due 07/25/2012 (b)		1,585		2,184
Republic of Italy
2.150% due 09/15/2014 (b)		512		654
Total Foreign Currency-Denominated Issues (Cost $4,925)				5,156
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar June Futures (CME)
Strike @ 94.000 Exp. 06/13/2005		195		1
		Notional Amount (000s)
Treasury Inflation Protected Securities (OTC)
3.625% due 01/15/2008
Strike @ 90.000 Exp. 11/30/2004	$	75,000		0
Total Purchased Put Options (Cost $14)				1
SHORT-TERM INSTRUMENTS 87.4%
		Principal Amount (000s)
Certificates of Deposit 7.4%
Bank of America N.A.
1.620% due 11/02/2004		10,100		10,100
Citibank New York N.A.
1.540% due 10/22/2004		7,300		7,300
1.750% due 12/07/2004		3,400		3,400
1.805% due 12/10/2004		5,400		5,400
Dexia Bank New York
1.675% due 11/23/2004		100		100
Wells Fargo Bank N.A.
1.600% due 10/04/2004		9,800		9,800
1.610% due 10/05/2004		200		200
1.620% due 10/06/2004		100		100
1.650% due 10/07/2004		5,300		5,300
1.700% due 10/18/2004		400		400
1.780% due 11/12/2004		300		300
				42,400
Commercial Paper 78.9%
ASB Bank Ltd.
1.850% due 12/15/2004		9,400		9,363
Bank of Ireland
1.590% due 10/18/2004		2,300		2,298
1.785% due 12/08/2004		13,800		13,751
Barclays U.S. Funding Corp.
1.855% due 12/21/2004		7,600		7,567
CBA (de) Finance
1.635% due 11/16/2004		900		898
CDC Commercial Corp.
1.480% due 10/05/2004		900		900
1.670% due 11/23/2004		7,100		7,083
Danske Corp.
1.510% due 10/12/2004		3,200		3,199
1.570% due 10/25/2004		100		100
1.645% due 11/19/2004		900		898
1.655% due 11/22/2004		100		100
1.725% due 12/03/2004		300		299
1.785% due 12/16/2004		3,400		3,386
1.845% due 12/20/2004		8,600		8,564
1.850% due 12/27/2004		100		100
Den Norske Bank ASA
1.850% due 12/27/2004		9,100		9,058
Fannie Mae
1.455% due 10/06/2004		9,600		9,598
1.530% due 10/18/2004		4,600		4,597
1.530% due 10/20/2004		4,700		4,696
1.180% due 11/01/2004		9,400		9,387
1.596% due 11/03/2004		200		200
1.690% due 11/08/2004		5,400		5,390
1.625% due 11/17/2004		3,600		3,592
1.635% due 11/24/2004		11,600		11,570
1.660% due 11/24/2004		10,600		10,573
1.594% due 12/01/2004		5,300		5,283
1.687% due 12/01/2004		21,600		21,531
1.760% due 12/08/2004		10,800		10,762
1.780% due 12/15/2004		10,900		10,857
Federal Home Loan Bank
1.505% due 10/06/2004		5,000		4,999
1.740% due 10/20/2004		12,500		12,489
1.595% due 11/12/2004		3,700		3,693
1.650% due 12/08/2004		5,400		5,381
ForeningsSparbanken AB
1.780% due 12/10/2004		5,400		5,380
1.800% due 12/20/2004		100		100
Fortis Funding LLC
1.930% due 01/25/2005		1,500		1,490
Freddie Mac
1.450% due 10/05/2004		4,700		4,699
1.500% due 10/19/2004		14,700		14,689
1.560% due 10/20/2004		4,700		4,696
1.545% due 10/25/2004		12,800		12,787
1.530% due 11/01/2004		2,700		2,696
1.537% due 11/12/2004		3,700		3,693
1.545% due 11/12/2004		6,400		6,388
1.570% due 11/15/2004		4,600		4,591
1.575% due 11/24/2004		900		898
1.777% due 12/14/2004		10,900		10,858
General Electric Capital Corp.
1.580% due 11/01/2004		4,200		4,194
1.590% due 11/08/2004		5,800		5,790
1.590% due 11/10/2004		100		100
1.610% due 11/16/2004		1,000		998
1.800% due 12/14/2004		5,100		5,080
HBOS Treasury Services PLC
1.530% due 10/13/2004		2,900		2,899
1.580% due 10/26/2004		700		699
1.640% due 10/26/2004		1,000		999
1.575% due 11/09/2004		1,900		1,897
1.655% due 11/19/2004		6,800		6,785
1.720% due 11/30/2004		400		399
1.725% due 12/01/2004		200		199
1.730% due 12/02/2004		200		199
1.780% due 12/08/2004		1,900		1,893
ING U.S. Funding LLC
1.570% due 10/20/2004		3,900		3,897
1.790% due 12/09/2004		3,100		3,089
National Australia Funding, Inc.
1.590% due 10/19/2004		4,800		4,796
Nordea North America, Inc.
1.865% due 12/21/2004		15,200		15,135
1.920% due 01/25/2005		1,500		1,490
Rabobank USA Financial Corp.
1.860% due 10/01/2004		4,400		4,400
1.960% due 01/28/2005		12,600		12,518
Royal Bank of Scotland PLC
1.595% due 10/18/2004		1,300		1,299
1.555% due 10/25/2004		900		899
1.630% due 10/25/2004		9,100		9,090
1.600% due 10/29/2004		900		899
1.630% due 11/03/2004		2,000		1,997
1.690% due 11/29/2004		100		100
1.835% due 12/20/2004		2,200		2,191
Shell Finance (UK) PLC
1.685% due 11/24/2004		6,600		6,583
Spintab AB
1.615% due 11/01/2004		10,800		10,785
Stadshypoket Delaware, Inc.
1.820% due 12/14/2004		15,000		14,942
Svenska Handelsbanken, Inc.
1.650% due 11/22/2004		2,000		1,995
1.730% due 12/02/2004		13,300		13,257
1.740% due 12/03/2004		100		100
1.790% due 12/08/2004		600		598
1.800% due 12/15/2004		300		299
TotalFinaElf Capital S.A.
1.880% due 10/01/2004		5,400		5,400
UBS Finance, Inc.
1.630% due 11/16/2004		8,200		8,183
1.690% due 11/29/2004		100		100
1.765% due 12/07/2004		6,900		6,876
1.785% due 12/14/2004		900		896
1.850% due 12/21/2004		200		199
1.835% due 12/22/2004		400		398
1.930% due 01/24/2005		100		99
1.955% due 01/31/2005		200		199
Westpac Capital Corp.
1.690% due 11/26/2004		10,200		10,173
				450,140
Repurchase Agreement 0.7%
State Street Bank
1.400% due 10/01/2004		4,102		4,102
(Dated 09/30/2004. Collateralized by U.S. Treasury Note 2.750% due 07/31/2006 valued at $4,186. Repurchase proceeds are $4,102.)
U.S. Treasury Bills 0.4%
1.649% due 12/16/2004 (c)(d)		2,385		2,376
Total Short-Term Instruments (Cost $499,056)				499,018
Total Investments 202.5%			$	1,155,359
(Cost $1,155,896)
Written Options (f) (0.0%)				(2	)
(Premiums $558)
Other Assets and Liabilities (Net) (102.5%)				(584,777	)
Net Assets 100.0%			$	570,580

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities with an aggregate market value of $1,744 have been pledged as collateral for swap and swaption contracts at September 30, 2004.

(d) Securities with an aggregate market value of $633 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
Eurodollar June Long Futures	06/2005	195	$	8
Euro-Bund 10-Year Note Long Futures	12/2004	90		38
Euro-Bund Purchased Put Options Strike @101.000	03/2005	100		0
U.S. Treasury 10-Year Note Long Futures	12/2004	146		46
			$	92

(e) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate	Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Pay	5.000%	06/15/2008	BP	5,000	$	(1	)
Barclays Bank PLC	6-month EC-LIBOR	Pay	4.000%	06/17/2010	EC	9,400		206
Barclays Bank PLC	6-month EC-LIBOR	Pay	5.000%	06/17/2015		2,600		101
UBS Warburg LLC	6-month EC-LIBOR	Pay	5.000%	06/17/2015		8,000		326
Bank of America	3-month LIBOR	Receive	5.000%	12/15/2014	$	12,800		(272	)
Bank of America	3-month LIBOR	Receive	6.000%	12/18/2033		7,200		(86	)
Goldman Sachs & Co.	3-month LIBOR	Receive	5.000%	12/15/2014		27,000		(1,028	)
Goldman Sachs & Co.	3-month LIBOR	Receive	6.000%	12/18/2033		13,200		(256	)
UBS Warburg LLC	3-month LIBOR	Receive	5.000%	12/15/2014		6,000		(421	)
							$	(1,431	)

(f) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate	Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000%**	10/07/2004	$	6,400	$	70	$	0
Call - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	3.800%**	10/07/2004		9,300		81		0
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	6.500%*	10/07/2004		6,400		39		0
Put - OTC 7-Year Interest Rate Swap	J.P. Morgan Chase & Co.	6.000%*	10/07/2004		9,300		91		0
Call - OTC 10-Year Interest Rate Swap	J.P. Morgan Chase & Co.	4.000%**	11/02/2004		16,300		144		2
Put - OTC 10-Year Interest Rate Swap	J.P. Morgan Chase & Co.	7.000%*	11/02/2004		16,300		133		0
						$	558	$	2

* The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(g) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
Republic of Italy	4.250	08/01/2014	EC	2,000	$	2,515	$	2,446
U.S. Treasury Note	3.625	05/15/2013	$	300		293		290
U.S. Treasury Note	4.250	08/15/2013		4,400		4,467		4,453
U.S. Treasury Note	4.000	02/15/2014		3,000		2,978		2,932
					$	10,253	$	10,121

(h) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized (Depreciation	)
Sell	EC	2,141	10/2004	$	0	$	(62	)	$	(62	)

Schedule of Investments

Short-Term Portfolio

September 30, 2004 (Unaudited)

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 10.2%
Banking & Finance 1.9%
Deutsche Telekom International Finance BV
8.250% due 06/15/2005	$	80	$	83
Ford Motor Credit Co.
7.600% due 08/01/2005		300		312
General Motors Acceptance Corp.
5.750% due 11/05/2004		50		50
2.400% due 10/20/2005 (a)		100		101
Household Finance Corp.
6.700% due 11/15/2005		40		42
Verizon Wireless Capital LLC
1.810% due 05/23/2005 (a)		100		100
				688
Industrials 4.8%
Abitibi-Consolidated, Inc.
8.300% due 08/01/2005		30		31
Alcan, Inc.
1.623% due 12/08/2004 (a)		40		40
Constellation Brands, Inc.
8.625% due 08/01/2006		60		65
Continental Cablevision, Inc.
8.875% due 09/15/2005		100		106
DaimlerChrysler North America Holding Corp.
3.400% due 12/15/2004		220		220
7.400% due 01/20/2005		110		112
Delhaize America, Inc.
7.375% due 04/15/2006		30		32
Enterprise Products Operating LP
4.000% due 10/15/2007		30		30
General Motors Corp.
7.500% due 05/15/2006		30		32
Halliburton Co.
2.650% due 10/17/2005 (a)		50		50
Harrah’s Operating Co., Inc.
7.875% due 12/15/2005		30		32
HCA, Inc.
6.910% due 06/15/2005		80		82
La Quinta Inns
7.400% due 09/15/2005		30		31
Lear Corp.
7.960% due 05/15/2005		50		52
MGM Mirage, Inc.
6.950% due 02/01/2005		40		41
Mirage Resorts, Inc.
6.625% due 02/01/2005		20		20
Park Place Entertainment Corp.
7.875% due 12/15/2005		150		158
Petroleos Mexicanos
6.500% due 02/01/2005		150		152
Pioneer Natural Resources Co
8.875% due 04/15/2005		50		52
Rogers Cablesystems, Inc.
10.000% due 03/15/2005		30		31
Smurfit Capital Funding PLC
6.750% due 11/20/2005		30		31
Tyco International Group S.A.
5.875% due 11/01/2004		100		100
Waste Management, Inc.
7.000% due 10/01/2004		150		150
Weyerhaeuser Co.
5.500% due 03/15/2005		15		15
Yum! Brands, Inc.
7.450% due 05/15/2005		100		103
				1,768
Utilities 3.5%
Carolina Telephone & Telegraph Co.
7.250% due 12/15/2004		200		202
Dominion Resources, Inc.
2.800% due 02/15/2005		100		100
Entergy Gulf States, Inc.
3.600% due 06/01/2008		100		99
Ohio Edison Co.
4.000% due 05/01/2008		30		30
Pacific Gas & Electric Co.
2.300% due 04/03/2006 (a)		100		100
PPL Capital Funding Trust I
7.290% due 05/18/2006		80		84
Progress Energy, Inc.
6.750% due 03/01/2006		100		105
Qwest Corp.
6.625% due 09/15/2005		30		31
Reliant Energy Resources Corp.
8.125% due 07/15/2005		100		104
SBC Communications, Inc.
4.250% due 06/05/2005		110		111
Southwestern Electric Power
4.500% due 07/01/2005		150		152
Sprint Capital Corp.
7.900% due 03/15/2005		120		123
TXU Energy Co. LLC
2.370% due 01/17/2006 (a)		50		50
				1,291
Total Corporate Bonds & Notes (Cost $3,745)				3,747
U.S. GOVERNMENT AGENCIES 3.2%
Fannie Mae
1.735% due 03/25/2034 (a)		206		205
1.765% due 08/25/2034 (a)		98		97
1.880% due 08/25/2043		14		14
4.500% due 02/25/2008		95		96
5.337% due 10/01/2031 (a)		51		51
5.500% due 11/01/2016 - 09/01/2017 (d)		329		341
6.000% due 06/01/2017		55		58
Freddie Mac
5.500% due 08/15/2030		25		25
6.000% due 12/15/2031		50		50
9.500% due 12/01/2019		83		93
Government National Mortgage Association
3.000% due 02/20/2032 (a)		113		114
6.000% due 03/15/2032		23		24
Total U.S. Government Agencies (Cost $1,167)				1,168
U.S. TREASURY OBLIGATIONS 4.4%
Treasury Inflation Protected Securities (c)
3.375% due 01/15/2007		155		166
3.625% due 01/15/2008		399		437
U.S. Treasury Notes
1.875% due 12/31/2005		390		388
11.750% due 02/15/2010		600		622
Total U.S. Treasury Obligations (Cost $1,612)				1,613
MORTGAGE-BACKED SECURITIES 2.3%
Bank of America Mortgage Securities, Inc.
6.332% due 07/25/2032 (a)		13		13
5.606% due 10/20/2032 (a)		12		12
Bear Stearns Adjustable Rate Mortgage Trust
4.784% due 12/25/2033 (a)		35		35
4.357% due 01/25/2034 (a)		35		35
1.895% due 02/25/2034 (a)		44		45
Bear Stearns Commercial Mortgage Securities, Inc.
1.600% due 05/14/2016 (a)		100		100
Countrywide Home Loans, Inc.
4.945% due 09/19/2032 (a)		7		7
CS First Boston Mortgage Securities Corp.
1.749% due 03/25/2032 (a)		135		135
5.738% due 05/25/2032 (a)		9		9
First Republic Mortgage Loan Trust
2.060% due 08/15/2032 (a)		159		159
Mellon Residential Funding Corp.
2.200% due 12/15/2030 (a)		52		52
Sequoia Mortgage Funding Co.
0.800% due 10/21/2007 (b)		1,609		16
Structured Asset Mortgage Investments, Inc.
1.610% due 09/19/2032 (a)		76		75
Structured Asset Securities Corp.
2.115% due 07/25/2032 (a)		43		43
1.905% due 01/25/2033 (a)		20		20
2.115% due 11/25/2033 (a)		11		11
Washington Mutual Mortgage Securities Corp.
5.149% due 10/25/2032 (a)		10		11
2.688% due 06/25/2042 (a)		72		73
Total Mortgage-Backed Securities (Cost $852)				851
ASSET-BACKED SECURITIES 8.2%
Ameriquest Mortgage Securities, Inc.
1.460% due 06/25/2005 (a)		59		59
1.450% due 11/25/2033 (a)		20		20
Argent Securities, Inc.
2.020% due 09/25/2034 (a)		100		100
Bear Stearns Asset-Backed Securities, Inc.
1.600% due 11/25/2029 (a)		97		97
1.945% due 10/25/2032 (a)		9		9
1.815% due 06/15/2043 (a)		55		55
CDC Mortgage Capital Trust
1.955% due 01/25/2032 (a)		3		3
1.985% due 08/25/2033 (a)		14		14
Centex Home Equity
1.915% due 09/25/2033 (a)		25		25
1.715% due 03/25/2034 (a)		73		73
Chase Credit Card Master Trust
1.810% due 07/16/2007 (a)		100		100
Chase Funding Loan Acquisition Trust
1.690% due 07/25/2030 (a)		7		7
1.965% due 07/25/2031 (a)		1		1
Citifinancial Mortgage Securities, Inc.
1.750% due 09/25/2032 (a)		3		3
1.915% due 01/25/2033 (a)		20		20
ContiMortgage Home Equity Loan Trust
1.940% due 04/15/2029 (a)		52		52
Countrywide Asset-Backed Certificates
3.644% due 10/25/2017		73		73
1.855% due 12/25/2031 (a)		16		16
1.985% due 05/25/2032 (a)		10		10
1.800% due 12/25/2034 (a)		100		100
Credit-Based Asset Servicing and Securitization
1.725% due 03/25/2034 (a)		57		57
CS First Boston Mortgage Securities Corp.
1.965% due 07/25/2032 (a)		18		18
1.985% due 08/25/2032 (a)		17		17
2.055% due 08/25/2032 (a)		4		4
Equifirst Mortgage Loan Trust
1.715% due 01/25/2034 (a)		86		86
First Franklin Mortgage Loan Trust Asset-Backed Certificates
1.735% due 07/25/2033 (a)		35		35
2.820% due 02/25/2034 (a)		25		25
1.730% due 10/25/2034 (a)		100		100
Fremont Home Loan Trust
1.664% due 07/25/2034 (a)		100		100
HFC Home Equity Loan Asset-Backed Certificates
2.161% due 10/20/2032 (a)		41		41
Home Equity Asset Trust
2.075% due 02/25/2033 (a)		21		21
2.025% due 03/25/2033 (a)		12		12
1.865% due 04/25/2034 (a)		19		19
1.800% due 12/25/2034 (a)		98		98
Irwin Home Equity Loan Trust
1.885% due 07/25/2032 (a)		25		25
Long Beach Mortgage Loan Trust
2.015% due 03/25/2033 (a)		86		86
1.935% due 06/25/2033 (a)		38		39
Mastr Asset Backed Securities Trust
1.715% due 02/25/2034 (a)		47		47
Merrill Lynch Mortgage Investors, Inc.
1.790% due 02/25/2034 (a)		115		116
Morgan Stanley Asset-Backed Securities Capital I, Inc.
1.955% due 08/25/2033 (a)		32		32
1.610% due 08/25/2034 (a)		96		96
Morgan Stanley Dean Witter Capital I, Inc.
1.985% due 07/25/2030 (a)		1		1
Novastar Home Equity Loan
1.780% due 09/25/2031 (a)		8		8
Option One Mortgage Loan Trust
1.735% due 06/25/2033 (a)		23		23
Quest Trust
2.010% due 06/25/2034 (a)		86		86
Renaissance Home Equity Loan Trust
2.055% due 08/25/2033 (a)		77		77
2.117% due 11/25/2034 (a)		100		100
Residential Asset Mortgage Products, Inc.
1.987% due 09/25/2013 (a)		100		100
1.580% due 06/25/2018 (a)		16		16
1.715% due 08/25/2022 (a)		11		11
1.740% due 04/25/2026 (a)		99		99
1.945% due 12/25/2033 (a)		39		39
Residential Asset Securities Corp.
1.735% due 06/25/2025 (a)		72		72
SACO I, Inc.
2.030% due 11/01/2034 (a)		100		100
Saxon Asset Securities Trust
1.885% due 01/25/2032 (a)		5		5
2.015% due 12/25/2032 (a)		8		8
1.915% due 06/25/2033 (a)		43		43
Sears Credit Account Master Trust
5.250% due 10/16/2008		2		2
2.140% due 11/17/2009 (a)		100		100
SLM Student Loan Trust
1.880% due 09/15/2009 (a)		55		56
1.900% due 03/15/2011 (a)		19		19
Structured Asset Investment Loan Trust
1.715% due 04/25/2033 (a)		4		4
Terwin Mortgage Trust
2.195% due 09/25/2033 (a)		4		4
Wells Fargo Home Equity Trust
2.010% due 09/25/2034 (a)		100		100
Total Asset-Backed Securities (Cost $2,983)				2,984
SOVEREIGN ISSUES 0.9%
Republic of Brazil
2.062% due 04/15/2006 (a)		93		93
10.000% due 01/16/2007		10		11
2.125% due 04/15/2009 (a)		145		142
2.125% due 04/15/2012 (a)		29		27
Russian Federation
8.750% due 07/24/2005		60		63
Total Sovereign Issues (Cost $320)				336
FOREIGN CURRENCY-DENOMINATED ISSUES (i) 0.1%
Tyco International Group S.A.
4.375% due 11/19/2004	EC	20		25
Total Foreign Currency-Denominated Issues (Cost $24)				25
SHORT-TERM INSTRUMENTS 71.4%
Certificates of Deposit 1.6%
Citibank New York N.A.
1.660% due 11/23/2004	$	600		600
Commercial Paper 69.1%
ABN AMRO North America
1.480% due 10/06/2004		500		500
1.925% due 01/24/2005		500		497
1.945% due 01/31/2005		100		99
Anz (Delaware), Inc.
1.485% due 10/08/2004		800		800
1.845% due 12/17/2004		200		199
ASB Bank Ltd.
1.730% due 12/03/2004		400		399
Bank of Ireland
1.750% due 12/06/2004		800		797
Barclays U.S. Funding Corp.
1.770% due 10/21/2004		100		100
CBA (de) Finance
1.505% due 10/12/2004		200		200
1.850% due 12/20/2004		400		398
1.890% due 12/29/2004		100		99
CDC Commercial Corp.
1.670% due 11/23/2004		900		898
Danske Corp.
1.490% due 10/12/2004		400		400
1.520% due 10/18/2004		400		400
1.570% due 10/25/2004		200		200
Den Norske Bank ASA
1.770% due 12/07/2004		300		299
1.810% due 12/20/2004		200		199
1.950% due 01/27/2005		100		99
Dexia Delaware LLC
1.505% due 10/01/2004		600		600
1.810% due 12/13/2004		400		398
1.840% due 12/23/2004		500		498
European Investment Bank
1.785% due 12/13/2004		500		498
Fannie Mae
1.010% due 10/01/2004		300		300
1.596% due 11/03/2004		400		399
1.734% due 11/15/2004		100		100
1.579% due 11/17/2004		200		199
1.660% due 11/24/2004		1,200		1,197
1.010% due 12/01/2004		300		299
1.010% due 12/01/2004		300		299
1.010% due 12/01/2004		600		598
1.760% due 12/08/2004		300		299
1.819% due 12/22/2004		1,000		996
Federal Home Loan Bank
1.475% due 10/15/2004		300		300
1.740% due 10/20/2004		200		200
1.655% due 11/26/2004		300		299
1.650% due 12/08/2004		300		299
ForeningsSparbanken AB
1.720% due 11/30/2004		100		100
1.800% due 12/20/2004		300		299
Freddie Mac
1.470% due 10/12/2004		400		400
1.500% due 10/19/2004		300		300
1.560% due 10/20/2004		300		300
1.571% due 11/22/2004		300		299
1.930% due 01/24/2005		300		298
General Electric Capital Corp.
1.580% due 11/01/2004		100		100
1.590% due 11/05/2004		600		599
1.610% due 11/16/2004		100		100
1.800% due 12/14/2004		100		100
1.800% due 12/16/2004		100		100
General Motors Acceptance Corp.
2.362% due 03/21/2005		180		178
HBOS Treasury Services PLC
1.560% due 10/19/2004		200		200
1.580% due 10/21/2004		500		499
1.585% due 10/26/2004		100		100
ING U.S. Funding LLC
1.790% due 12/10/2004		900		897
Lloyds Bank PLC
1.530% due 10/22/2004		300		300
National Australia Funding, Inc.
1.620% due 10/01/2004		600		600
1.590% due 10/19/2004		300		300
Nordea North America, Inc.
1.865% due 12/21/2004		1,000		996
Rabobank USA Financial Corp.
1.860% due 10/01/2004		300		300
Royal Bank of Scotland PLC
1.540% due 10/19/2004		200		200
1.630% due 10/25/2004		300		300
1.600% due 10/29/2004		400		399
1.810% due 12/22/2004		100		99
Spintab AB
1.620% due 11/10/2004		300		299
Svenska Handelsbanken, Inc.
1.625% due 11/04/2004		600		599
1.610% due 11/10/2004		100		100
1.790% due 12/08/2004		100		100
UBS Finance, Inc.
1.665% due 11/23/2004		800		798
1.735% due 12/03/2004		200		199
1.850% due 12/21/2004		100		99
Westpac Capital Corp.
1.520% due 10/15/2004		100		100
Westpac Trust Securities NZ Ltd. London
1.460% due 10/04/2004		200		200
1.680% due 11/26/2004		700		698
				25,318
Repurchase Agreement 0.5%
State Street Bank
1.400% due 10/01/2004		170		170
(Dated 09/30/2004. Collateralized by Fannie Mae 1.875% due 02/15/2005 valued at $175. Repurchase proceeds are $170.)
U.S. Treasury Bill 0.2%
1.575% due 12/02/2004 (e)		75		75
Total Short-Term Instruments (Cost $26,164)				26,163
Total Investments 100.7%			$	36,887
(Cost $36,867)
Written Options (g) (0.0%)				(6	)
(Premiums $6)
Other Assets and Liabilities (Net) (0.7%)				(261	)
Net Assets 100.0%			$	36,620

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Interest only security.

(c) Principal amount of security is adjusted for inflation.

(d) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(e) Securities with an aggregate market value of $75 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation
Eurodollar June Long Futures	06/2005	8	$	12
Euro-Bobl 5-Year Note Long Futures	12/2004	7		3
U.S. Treasury 10-Year Note Long Futures	12/2004	8		11
			$	26

(f) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	06/17/2010	EC	400	$	2
UBS Warburg LLC	3-month LIBOR	Pay	4.000	%	12/15/2006	$	200		3
								$	5

Credit Default Swaps

Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Bear Stearns & Co., Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	03/17/2005	$	25	$	0
Bear Stearns & Co., Inc.	United Mexican States 11.500% due 05/15/2026	Sell	0.730	%	06/20/2005		80		0
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	03/11/2005		40		0
Lehman Brothers, Inc.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/28/2005		100		0
Merrill Lynch & Co., Inc.	Federative Republic of Brazil floating rate based on 6-month LIBOR plus 0.813% due 04/15/2006	Sell	16.500	%	01/16/2005		75		4
								$	4

(g) Premiums received on written options:

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	5.000	%**	01/07/2005	$	140	$	3	$	6
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	7.000	%*	01/07/2005		140		3		0
							$	6	$	6

* The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(h) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	5.000	02/15/2011	$	200	$	215	$	213
U.S. Treasury Note	4.250	08/15/2013		610		619		616
					$	834	$	829

(i) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation	)		Net Unrealized (Depreciation	)
Sell	EC	48	10/2004	$	0	$	(1	)	$	(1	)

Schedule of Investments

StocksPLUS Growth and Income Portfolio

September 30, 2004

	Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 10.2%
Banking & Finance 4.0%
Ford Motor Credit Co.
3.535% due 10/25/2004 (a)	$	800	$	801
7.500% due 03/15/2005		1,100		1,124
7.750% due 03/15/2005		100		102
7.600% due 08/01/2005		500		519
General Motors Acceptance Corp.
3.820% due 03/04/2005 (a)		900		906
5.250% due 05/16/2005		400		407
2.880% due 10/20/2005 (a)		1,500		1,512
Pemex Project Funding Master Trust
3.077% due 01/07/2005 (a)		3,900		3,902
Verizon Wireless Capital LLC
1.810% due 05/23/2005 (a)		1,100		1,100
				10,373
Industrials 3.2%
Alcan, Inc.
2.100% due 12/08/2004 (a)		1,200		1,200
AOL Time Warner, Inc.
5.625% due 05/01/2005		400		407
DaimlerChrysler North America Holding Corp.
7.400% due 01/20/2005		2,400		2,436
2.750% due 09/26/2005 (a)		200		201
Delhaize America, Inc.
7.375% due 04/15/2006		2,200		2,343
Enron Corp.
8.000% due 08/15/2005 (b)		1,700		731
Kraft Foods, Inc.
1.960% due 11/26/2004 (a)		500		500
Waste Management, Inc.
7.000% due 10/01/2004		300		300
				8,118
Utilities 3.0%
Entergy Gulf States, Inc.
2.810% due 06/18/2007 (a)		2,500		2,513
Pacific Gas & Electric Co.
2.705% due 04/03/2006 (a)		2,400		2,402
TXU Energy Co. LLC
2.370% due 01/17/2006 (a)		2,700		2,707
				7,622
Total Corporate Bonds & Notes (Cost $27,011)				26,113
MUNICIPAL BONDS & NOTES 0.7%
Golden State Tobacco Securitization Corp. Revenue Bonds, Series 2003
5.000% due 06/01/2021		915		916
North Carolina State Educational Assistance Authority Revenue Bonds, (GTD Insured), Series 2000
1.950% due 06/01/2009 (a)		896		896
Total Municipal Bonds & Notes (Cost $1,806)				1,812
U.S. GOVERNMENT AGENCIES 4.7%
Fannie Mae
4.766% due 12/01/2036 (a)		777		798
5.000% due 12/01/2017 - 09/01/2018 (c)		1,533		1,561
5.039% due 09/01/2034 (a)		821		832
5.213% due 04/01/2033 (a)		515		528
6.000% due 04/01/2013 - 11/01/2033 (c)		806		846
6.500% due 09/01/2005		11		11
8.000% due 05/01/2030 - 09/01/2031 (c)		112		122
Freddie Mac
5.500% due 11/15/2015 - 08/15/2030 (c)		494		497
6.000% due 07/01/2016 - 05/01/2033 (c)		2,099		2,174
6.500% due 10/25/2043		1,019		1,078
Government National Mortgage Association
3.375% due 04/20/2024 - 05/20/2028 (a)(c)		2,350		2,373
4.000% due 11/20/2029 (a)		386		390
4.750% due 08/20/2024 (a)		36		36
8.000% due 04/15/2027 - 02/15/2031 (c)		721		786
8.500% due 04/20/2030		9		10
Total U.S. Government Agencies (Cost $12,026)				12,042
U.S. TREASURY OBLIGATIONS 11.8%
Treasury Inflation Protected Securities (d)
3.375% due 01/15/2007		11,118		11,882
3.625% due 01/15/2008		14,304		15,691
3.875% due 01/15/2009		115		130
4.250% due 01/15/2010		225		261
3.500% due 01/15/2011		326		370
3.000% due 07/15/2012		527		583
U.S. Treasury Bond
6.250% due 05/15/2030		1,200		1,425
Total U.S. Treasury Obligations (Cost $29,292)				30,342
MORTGAGE-BACKED SECURITIES 6.4%
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2031		563		581
Bear Stearns Adjustable Rate Mortgage Trust
5.974% due 06/25/2032 (a)		194		194
5.380% due 01/25/2033 (a)		527		533
4.357% due 01/25/2034 (a)		633		637
4.802% due 01/25/2034 (a)		1,191		1,202
Countrywide Alternative Loan Trust
6.000% due 10/25/2033		1,053		1,077
CS First Boston Mortgage Securities Corp.
2.240% due 02/25/2032 (a)		99		99
1.430% due 03/25/2032 (a)		566		560
1.727% due 03/25/2032 (a)		1,305		1,306
5.738% due 05/25/2032 (a)		276		279
5.134% due 06/25/2032 (a)		92		94
6.212% due 06/25/2032 (a)		132		134
DLJ Mortgage Acceptance Corp.
2.340% due 06/25/2026 (a)		92		92
GSR Mortgage Loan Trust
2.190% due 01/25/2034 (a)		241		242
Impac CMB Trust
2.220% due 10/25/2033 (a)		158		158
2.090% due 01/25/2034 (a)		866		867
Mellon Residential Funding Corp.
2.000% due 06/15/2030 (a)		1,417		1,411
Merrill Lynch Mortgage Investors, Inc.
4.910% due 12/25/2032 (a)		245		244
Morgan Stanley Dean Witter Capital I, Inc.
5.500% due 04/25/2017		203		206
Prime Mortgage Trust
2.240% due 02/25/2034 (a)		476		477
Resecuritization Mortgage Trust
2.090% due 04/26/2021 (a)		18		17
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		508		518
Salomon Brothers Mortgage Securities VII, Inc.
4.551% due 12/25/2030 (a)		462		470
Structured Asset Securities Corp.
2.140% due 10/25/2027 (a)		599		600
Washington Mutual Mortgage Securities Corp.
6.000% due 03/25/2017		109		110
5.420% due 02/25/2033 (a)		1,299		1,312
3.066% due 02/27/2034 (a)		798		801
2.780% due 08/25/2042 (a)		2,166		2,206
Total Mortgage-Backed Securities (Cost $16,436)				16,427
ASSET-BACKED SECURITIES 2.8%
Ameriquest Mortgage Securities, Inc.
2.150% due 06/25/2032 (a)		46		46
Amortizing Residential Collateral Trust
2.160% due 07/25/2032 (a)		225		226
Chase Funding Mortgage Loan Asset-Backed Certificates
1.950% due 09/25/2021 (a)		1,498		1,499
2.210% due 10/25/2032 (a)		398		400
Countrywide Asset-Backed Certificates
1.980% due 11/25/2020 (a)		8		8
1.930% due 06/25/2022 (a)		1,789		1,790
2.100% due 05/25/2032 (a)		502		503
CS First Boston Mortgage Securities Corp.
2.150% due 01/25/2032 (a)		249		249
2.170% due 03/25/2034 (a)		262		262
First Franklin Mortgage Loan Trust Asset-Backed Certificates
1.890% due 10/25/2034 (a)		600		599
Home Equity Asset Trust
2.090% due 04/25/2034 (a)		309		309
Merrill Lynch CLO Pilgrim-3
2.260% due 06/23/2010 (a)		514		510
Residential Asset Securities Corp.
1.960% due 06/25/2025 (a)		575		576
Structured Asset Investment Loan Trust
1.980% due 08/25/2010 (a)		170		170
Total Asset-Backed Securities (Cost $7,146)				7,147
SOVEREIGN ISSUES 1.8%
Republic of Brazil
2.062% due 04/15/2006 (a)		832		831
2.125% due 04/15/2009 (a)		1,118		1,097
2.125% due 04/15/2009 (a)		118		115
Russian Federation
8.750% due 07/24/2005		1,700		1,775
United Mexican States
2.290% due 01/13/2009 (a)		900		910
Total Sovereign Issues (Cost $4,659)				4,728
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar June Futures (CME)
Strike @ 94.500 Exp. 06/13/2005		110		1
Eurodollar March Futures (CME)
Strike @ 93.250 Exp. 03/14/2005		36		0
Eurodollar September Futures (CME)
Strike @ 93.250 Exp. 09/19/2005		259		3
S&P 500 Index December Futures (CME)
Strike @ 750.000 Exp. 12/17/2004		75		4
S&P 500 Index December Futures (OTC)
Strike @ 700.000 Exp. 12/31/2004		47		0
U.S. Treasury 10-Year Note Futures (CBOT)
6.000% due 12/31/2004
Strike @ 100.000 Exp. 11/26/2004		100		1
Total Purchased Put Options (Cost $17)				9
PREFERRED SECURITY 0.7%
		Shares
DG Funding Trust
4.225% due 12/29/2049 (a)		173		1,860
Total Preferred Security (Cost $1,823)				1,860
SHORT-TERM INSTRUMENTS 60.1%
		Principal Amount (000s)
Certificates of Deposit 2.0%
Citibank New York N.A.
1.670% due 11/23/2004	$	5,100		5,100
Wells Fargo Bank N.A.
1.620% due 10/06/2004		100		100
				5,200
Commercial Paper 52.7%
Altria Group, Inc.
1.800% due 10/29/2004		400		400
ASB Bank Ltd.
1.725% due 12/03/2004		4,700		4,685
Bank of Ireland
1.785% due 12/09/2004		3,700		3,687
Barclays U.S. Funding Corp.
1.770% due 10/21/2004		1,000		999
1.610% due 11/03/2004		500		499
1.750% due 11/15/2004		400		399
1.800% due 12/08/2004		5,500		5,480
1.855% due 12/21/2004		400		398
CBA (de) Finance
1.890% due 12/29/2004		900		896
CDC Commercial Corp.
1.480% due 10/05/2004		700		700
1.670% due 11/23/2004		1,000		998
Comcast Corp.
2.090% due 10/22/2004		1,700		1,698
Danske Corp.
1.480% due 10/06/2004		3,100		3,099
1.630% due 10/25/2004		100		100
1.580% due 10/29/2004		300		300
1.785% due 12/16/2004		2,600		2,590
1.845% due 12/20/2004		1,400		1,394
Delphi Corp.
2.090% due 04/11/2005		1,200		1,186
Fannie Mae
1.537% due 10/20/2004		7,200		7,194
1.596% due 11/03/2004		4,400		4,394
1.605% due 11/10/2004		2,500		2,496
1.625% due 11/17/2004		300		299
1.660% due 11/24/2004		2,000		1,995
1.687% due 12/01/2004		2,600		2,592
1.819% due 12/22/2004		1,600		1,593
Federal Home Loan Bank
1.580% due 10/04/2004		5,000		4,999
1.475% due 10/15/2004		400		400
1.749% due 12/10/2004		1,700		1,694
ForeningsSparbanken AB
1.785% due 12/07/2004		5,900		5,879
1.780% due 12/10/2004		1,600		1,594
1.800% due 12/20/2004		300		299
Freddie Mac
1.474% due 10/19/2004		1,300		1,299
1.560% due 10/20/2004		2,700		2,698
1.550% due 10/26/2004		2,700		2,697
General Electric Capital Corp.
1.590% due 11/05/2004		200		200
1.600% due 11/09/2004		300		299
1.610% due 11/16/2004		7,100		7,085
1.800% due 12/14/2004		200		199
HBOS Treasury Services PLC
1.495% due 10/05/2004		700		700
1.580% due 10/26/2004		1,300		1,299
1.640% due 10/26/2004		500		499
1.655% due 11/18/2004		3,200		3,193
1.655% due 11/19/2004		1,900		1,896
1.715% due 11/26/2004		100		100
1.780% due 12/08/2004		100		100
ING U.S. Funding LLC
1.790% due 12/10/2004		700		697
1.790% due 12/13/2004		7,100		7,073
National Australia Funding, Inc.
1.590% due 10/19/2004		300		300
Nordea North America, Inc.
1.730% due 11/29/2004		1,400		1,396
1.720% due 11/30/2004		6,300		6,280
Rabobank USA Financial Corp.
1.860% due 10/01/2004		1,300		1,300
Royal Bank of Scotland PLC
1.540% due 10/19/2004		2,200		2,198
1.630% due 10/25/2004		800		799
Shell Finance (UK) PLC
1.685% due 11/24/2004		1,100		1,097
Stadshypoket Delaware, Inc.
1.500% due 10/04/2004		4,100		4,100
1.610% due 11/09/2004		2,900		2,895
Svenska Handelsbanken, Inc.
1.615% due 10/29/2004		3,200		3,196
1.625% due 11/04/2004		1,300		1,298
1.685% due 11/22/2004		3,100		3,092
1.740% due 12/03/2004		100		100
1.800% due 12/15/2004		100		100
UBS Finance, Inc.
1.630% due 11/16/2004		2,400		2,395
1.690% due 11/29/2004		1,900		1,895
1.735% due 12/03/2004		1,100		1,096
1.785% due 12/14/2004		1,700		1,693
1.850% due 12/21/2004		700		697
Westpac Capital Corp.
1.690% due 11/26/2004		4,400		4,388
				135,285
Repurchase Agreement 1.1%
State Street Bank
1.400% due 10/01/2004		2,897		2,897
(Dated 09/30/2004. Collateralized by U.S. Treasury Note 2.750% due 07/31/2006 valued at $2,957. Repurchase proceeds are $2,897.)
U.S. Treasury Bills 4.3%
1.583% due 12/02/2004-12/16/2004 (c)(e)		11,135		11,097
Total Short-Term Instruments (Cost $154,508)				154,479
Total Investments 99.2%			$	254,959
(Cost $254,724)
Other Assets and Liabilities (Net) 0.8%				2,011
Net Assets 100.0%			$	256,970

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Principal amount of security is adjusted for inflation

(e) Securities with an aggregate market value of $22,678 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation)
Euribor Purchased Put Options Strike @ 93.000	12/2004	55	$	(1	)
Euribor Written Put Options Strike @ 97.000	12/2004	10		10
Euro-Bobl 5-Year Note Long Futures	12/2004	3		3
Euro-Bund 10-Year Note Long Futures	12/2004	6		(3	)
Government of Japan 10-Year Note Long Futures	12/2004	3		47
Eurodollar December Long Futures	12/2004	16		(1	)
S & P 500 Index December Long Futures	12/2004	873		574
U.S. Treasury 10-Year Note Long Futures	12/2004	294		155
Euribor Purchased Put Options Strike @ 95.000	03/2005	47		(1	)
Euribor Purchase Put Options Strike @ 94.500	06/2005	90		(1	)
United Kingdom 90-Day LIBOR Purchased Put Options Strike @ 93.500	06/2005	234		(3	)
United Kingdom 90-Day LIBOR Purchased Put Options Strike @ 94.250	06/2005	234		69
Euribor June Long Futures	06/2005	76		66
Eurodollar June Long Futures	06/2005	135		(41	)
Euribor September Long Futures	09/2005	62		56
Eurodollar September Long Futures	09/2005	270		(16	)
Euribor Purchased Put Options Strike @ 93.250	12/2005	56		(1	)
Euribor December Long Futures	12/2005	90		56
			$	968

(f) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized Appreciation/ (Depreciation)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012	JY	130,000	$	(41	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		260,000		(62	)
Barclays Bank PLC	3-month LIBOR	Pay	4.000	%	12/15/2009	$	700		18
UBS Warburg LLC	3-month LIBOR	Pay	4.000	%	12/15/2009		1,900		48
								$	(37	)
Credit Default Swaps
Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date		Notional Amount		Unrealized Appreciation
Morgan Stanley Dean Witter & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	1.000	%	07/20/2005	$	700	$	1

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Credit Suisse First Boston	S&P 500 Index	1-month LIBOR plus 0.000%	04/29/2005	$	4	$	0
Credit Suisse First Boston	S&P 500 Index	1-month LIBOR plus 0.000%	06/17/2005		5		0
						$	0

(g) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Bond	6.250	05/15/2030	$	4,000	$	4,749	$	4,740
U.S. Treasury Note	3.625	05/15/2013		5,000		4,879		4,921
U.S. Treasury Note	4.250	11/15/2013		4,400		4,458		4,494
U.S. Treasury Note	4.000	02/15/2014		18,800		18,660		18,818
					$	32,746	$	32,973

(h) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized (Depreciation)
Sell	EC	931	10/2004	$	0	$	(27	)	$	(27	)

Schedule of Investments

Total Return Portfolio

September 30, 2004 (Unaudited)

		Principal Amount		Value
		(000s)		(000s)
CORPORATE BONDS & NOTES 4.0%
Banking & Finance 1.6%
Atlas Reinsurance II PLC
3.515% due 01/07/2005 (a)	$	1,250	$	1,256
Gemstone Investors Ltd.
7.710% due 10/31/2004		700		701
General Motors Acceptance Corp.
2.400% due 10/20/2005 (a)		900		907
2.061% due 04/13/2006 (a)		19,900		19,989
Pemex Project Funding Master Trust
8.000% due 11/15/2011		100		113
8.625% due 02/01/2022		1,200		1,367
Phoenix Quake Wind Ltd.
4.050% due 07/03/2008 (a)		800		829
4.050% due 07/03/2008 (a)		800		829
5.100% due 07/03/2008 (a)		400		411
Premium Asset Trust
1.465% due 11/27/2004 (a)		100		100
2.225% due 09/08/2007 (a)(k)		100		96
Qwest Capital Funding, Inc.
7.250% due 02/15/2011		657		590
Residential Reinsurance Ltd.
6.740% due 06/08/2006 (a)		8,100		6,317
UFJ Finance Aruba AEC
6.750% due 07/15/2013		2,300		2,554
Vita Capital Ltd.
2.460% due 01/01/2007 (a)		500		503
				36,562
Industrials 1.3%
DaimlerChrysler North America Holding Corp.
1.880% due 05/24/2006 (a)		6,050		6,075
El Paso Corp.
6.750% due 05/15/2009		6,000		6,000
7.875% due 06/15/2012		8,600		8,579
7.800% due 08/01/2031		1,500		1,324
ITT Corp.
6.750% due 11/15/2005		250		260
United Airlines, Inc.
8.030% due 07/01/2011 (b)		465		86
6.071% due 03/01/2013 (b)		6,902		5,736
2.020% due 03/02/2049 (a)(b)		1,511		1,240
				29,300
Utilities 1.1%
AEP Texas Central Co.
2.500% due 02/15/2005 (a)		900		901
Entergy Gulf States, Inc.
6.000% due 12/01/2012		6,500		6,783
Pacific Gas & Electric Co.
2.300% due 04/03/2006 (a)		18,500		18,518
				26,202
Total Corporate Bonds & Notes (Cost $91,320)				92,064
MUNICIPAL BONDS & NOTES 2.3%
Badger Asset Securitization Corporate Revenue Bonds, Series 2002
6.000% due 06/01/2017		3,700		3,585
California State Polytechnic University Revenue Bonds, Series 1972
5.000% due 07/01/2012		4,700		5,241
California State Tobacco Securitization Corp. Revenue Bonds, Series 2003-A1
6.250% due 06/01/2033		2,900		2,745
Durham County, North Carolina General Obligation Bonds, Series 2002
5.000% due 04/01/2017		5,465		5,952
Massachusetts Bay Transportation Authority Sales Tax Revenue Bonds, Series 2004
5.000% due 07/01/2011		2,800		3,112
New Jersery State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
4.375% due 06/01/2019		4,870		4,840
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		5,450		5,232
New Jersey Tobacco Settlement Financing Corp. Revenue Bonds, Series 2002
6.000% due 06/01/2037		1,530		1,336
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FGIC Insured), Series 2003-E
5.000% due 06/15/2034		1,400		1,423
New York City, New York Municipal Water Finance Authority Revenue Bonds, (FSA-CR Insured), Series 2002
5.125% due 06/15/2034		10,460		10,771
New York City, New York Transitional Finance Authority Revenue Bonds, Series 2004
5.000% due 11/01/2013		700		781
New York State Environmental Facilities Corporate Revenue Bonds, Series 2002
8.860% due 06/15/2023 (a)		850		958
South Carolina State Public Service Authority Revenue Bonds, (FSA Insured), Series 2004
5.000% due 01/01/2009		700		768
South San Antonio, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2004
5.000% due 08/15/2029		3,150		3,283
State of Wisconsin General Obligation Bonds, (MBIA Insured), Series 2004
5.000% due 05/01/2011		2,300		2,549
University of Texas Revenue Bonds, Series 2003
5.000% due 08/15/2033		1,200		1,220
Total Municipal Bonds & Notes (Cost $53,408)				53,796
U.S. GOVERNMENT AGENCIES 23.4%
Fannie Mae
2.190% due 03/25/2044 (a)		15,679		15,704
2.625% due 09/01/2040 (a)		174		176
3.342% due 11/01/2025 (a)		4		4
4.100% due 10/01/2032 (a)		2,656		2,719
4.294% due 11/01/2035 (a)		527		541
4.766% due 12/01/2036 (a)		4,701		4,828
5.000% due 01/01/2018 - 10/14/2034 (c)		304,662		304,236
5.039% due 09/01/2034 (a)		5,024		5,087
5.500% due 04/01/2014 - 10/14/2034 (c)		132,374		135,968
5.586% due 09/01/2039 (a)		253		265
6.000% due 04/01/2013 - 05/01/2033 (c)		16,810		17,644
6.500% due 06/01/2029 - 07/01/2032 (c)		614		645
7.000% due 04/25/2023		5,810		6,201
Federal Home Loan Bank
5.500% due 03/15/2015		76		77
Federal Housing Administration
7.430% due 01/25/2023		281		284
Freddie Mac
2.158% due 11/15/2030 (a)		106		107
2.208% due 09/15/2030 (a)		77		78
3.537% due 01/01/2028 (a)		7		7
3.618% due 07/01/2027 (a)		7		7
5.000% due 09/15/2016 - 11/01/2018 (c)		6,734		6,860
6.000% due 07/01/2016 - 04/01/2033 (c)		9,393		9,739
6.250% due 08/25/2022		924		929
6.500% due 04/15/2029		707		749
7.000% due 06/15/2023		3,965		4,229
7.500% due 07/15/2030		109		113
7.825% due 07/01/2030 (a)		5		5
8.500% due 08/01/2024		36		40
Government National Mortgage Association
2.211% due 06/20/2030 (a)		7		7
2.311% due 09/20/2030 (a)		79		79
2.750% due 02/20/2032 (a)		2,925		2,930
3.000% due 05/20/2034 (a)		1,126		1,122
3.375% due 04/20/2026 - 02/20/2027 (a)(c)		262		265
3.500% due 05/20/2030 (a)		36		36
4.000% due 10/20/2029 - 07/20/2030 (a)(c)		916		925
7.500% due 11/20/2029		497		537
Small Business Administration
5.130% due 09/01/2023		95		98
6.030% due 02/10/2012		12,192		12,959
6.290% due 01/01/2021		290		313
6.344% due 08/01/2011		1,922		2,065
7.449% due 08/01/2010		49		54
7.500% due 04/01/2017		2,246		2,463
8.017% due 02/10/2010		310		348
Total U.S. Government Agencies (Cost $538,053)				541,443
U.S. TREASURY OBLIGATIONS 13.7%
Treasury Inflation Protected Securities (d)
3.375% due 01/15/2007		3,587		3,833
3.625% due 01/15/2008		20,283		22,250
3.875% due 01/15/2009		38,921		43,828
4.250% due 01/15/2010		12,384		14,377
3.500% due 01/15/2011		18,392		20,822
3.375% due 01/15/2012		1,387		1,572
3.000% due 07/15/2012		9,166		10,152
2.000% due 07/15/2014		31,150		31,851
U.S. Treasury Bonds
6.250% due 05/15/2030		6,000		7,123
5.375% due 02/15/2031		6,800		7,287
U.S. Treasury Note
2.500% due 09/30/2006		153,500		153,218
Total U.S. Treasury Obligations (Cost $313,404)				316,313
MORTGAGE-BACKED SECURITIES 2.9%
Collateralized Mortgage Obligations 2.9%
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2019		4,165		4,303
5.606% due 10/20/2032 (a)		630		639
6.500% due 02/25/2033		1,446		1,468
Bear Stearns Adjustable Rate Mortgage Trust
3.730% due 11/25/2030 (a)		22		22
6.057% due 08/25/2032 (a)		0		0
5.288% due 10/25/2032 (a)		179		180
5.377% due 01/25/2033 (a)		1,444		1,460
5.642% due 01/25/2033 (a)		543		544
5.124% due 03/25/2033 (a)		2,973		2,994
4.918% due 01/25/2034 (a)		8,118		8,201
Countrywide Home Loans, Inc.
2.110% due 04/25/2034 (a)		5,877		5,848
Credit-Based Asset Servicing & Securitization LLC
2.250% due 09/25/2029 (a)		17		17
CS First Boston Mortgage Securities Corp.
6.615% due 04/25/2032 (a)		85		88
6.237% due 06/25/2032 (a)		1,110		1,121
5.682% due 10/25/2032 (a)		690		698
First Nationwide Trust
6.750% due 08/21/2031		188		191
Impac CMB Trust
2.090% due 01/25/2034 (a)		6,496		6,504
Indymac Adjustable Rate Mortgage Trust
6.571% due 01/25/2032 (a)		40		40
Prime Mortgage Trust
2.015% due 02/25/2034 (a)		2,939		2,940
2.240% due 02/25/2034 (a)		740		741
Residential Asset Securitization Trust
7.130% due 07/25/2031		708		707
Residential Funding Mortgage Securities I, Inc.
6.500% due 03/25/2032		3,326		3,389
5.603% due 09/25/2032 (a)		240		240
Structured Asset Mortgage Investments, Inc.
1.930% due 09/19/2032 (a)		1,060		1,056
Structured Asset Securities Corp.
7.000% due 02/25/2016		8		8
2.065% due 06/25/2017 (a)		1,073		1,075
6.111% due 02/25/2032 (a)		77		78
6.150% due 07/25/2032 (a)		256		260
2.130% due 01/25/2033 (a)		333		332
2.000% due 08/25/2033 (a)		1,260		1,261
Superannuation Members Home Loans Global Fund
2.135% due 06/15/2026 (a)		156		156
Torrens Trust
2.020% due 07/15/2031 (a)		749		749
Washington Mutual Mortgage Securities Corp.
5.149% due 10/25/2032 (a)		1,017		1,032
3.565% due 01/25/2041 (a)		22		22
2.780% due 08/25/2042 (a)		17,021		17,342
Total Mortgage-Backed Securities (Cost $65,539)				65,706
ASSET-BACKED SECURITIES 10.7%
ACE Securities Corp.
2.180% due 06/25/2032 (a)		160		160
Ameriquest Mortgage Securities, Inc.
2.010% due 11/25/2034 (a)		13,830		13,831
Amortizing Residential Collateral Trust
2.110% due 06/25/2032 (a)		1,506		1,507
2.160% due 07/25/2032 (a)		1,631		1,633
Argent Securities, Inc.
2.020% due 09/25/2034 (a)		7,400		7,400
CDC Mortgage Capital Trust
2.130% due 01/25/2033 (a)		949		950
Centex Home Equity
1.940% due 03/25/2034 (a)		7,807		7,812
Conseco Finance Securitizations Corp.
2.130% due 10/15/2031 (a)		235		235
Countrywide Asset-Backed Certificates
1.775% due 12/25/2034 (a)		15,900		15,895
Credit-Based Asset Servicing & Securitization LLC
2.090% due 09/25/2033 (a)		4,308		4,311
Credit-Based Asset Servicing and Securitization
1.970% due 08/25/2034 (a)		17,050		17,057
EMC Mortgage Loan Trust
2.210% due 05/25/2040 (a)		1,633		1,636
Equity One ABS, Inc.
1.950% due 07/25/2034 (a)		17,946		17,955
Fremont Home Loan Trust
1.664% due 07/25/2034 (a)		6,100		6,097
GRMT II Mortgage Loan Trust
2.061% due 06/20/2032 (a)		44		44
GSAMP Trust
2.030% due 10/25/2033 (a)		10,652		10,655
HFC Home Equity Loan Asset-Backed Certificates
2.161% due 10/20/2032 (a)		6,531		6,541
Home Equity Asset Trust
1.780% due 12/25/2034 (a)		12,546		12,544
Household Mortgage Loan Trust
2.111% due 05/20/2032 (a)		392		393
Irwin Home Equity Loan Trust
2.130% due 06/25/2029 (a)		226		226
Irwin Low Balance Home Equity Loan Trust
2.215% due 06/25/2021 (a)		9		9
Long Beach Mortgage Loan Trust
1.765% due 02/25/2024 (a)		12,865		12,876
2.240% due 03/25/2033 (a)		6,047		6,058
Morgan Stanley Dean Witter Capital I, Inc.
2.170% due 07/25/2032 (a)		389		390
Nelnet Student Loan Trust
1.920% due 04/25/2011 (a)		6,800		6,800
Park Place Securities, Inc.
1.940% due 08/25/2034 (a)		10,600		10,598
SACO I, Inc.
2.030% due 11/01/2034 (a)		14,525		14,525
Sears Credit Account Master Trust
1.860% due 02/18/2009 (a)		20,800		20,807
1.890% due 08/18/2009 (a)		23,100		23,138
2.140% due 11/17/2009 (a)		21,465		21,497
Structured Asset Investment Loan Trust
1.960% due 06/25/2033 (a)		320		321
Vanderbilt Acquisition Loan Trust
3.280% due 01/07/2013		290		290
Wells Fargo Home Equity Trust
2.000% due 09/25/2034 (a)		2,600		2,600
Total Asset-Backed Securities (Cost $246,796)				246,791
SOVEREIGN ISSUES 2.0%
Republic of Brazil
2.062% due 04/15/2006 (a)		1,824		1,822
11.500% due 03/12/2008		2,300		2,662
2.125% due 04/15/2009 (a)		747		734
11.000% due 01/11/2012		2,840		3,273
8.000% due 04/15/2014		2,815		2,801
Republic of Panama
9.625% due 02/08/2011		800		922
9.375% due 01/16/2023		330		361
8.875% due 09/30/2027		5,200		5,486
Republic of Peru
9.125% due 02/21/2012		1,400		1,575
9.875% due 02/06/2015		5,100		5,890
Republic of South Africa
9.125% due 05/19/2009		500		595
Russian Federation
5.000% due 03/31/2030 (a)		700		675
United Mexican States
9.875% due 02/01/2010		100		124
8.375% due 01/14/2011		300		352
6.375% due 01/16/2013		930		982
11.375% due 09/15/2016		900		1,328
8.125% due 12/30/2019		4,200		4,830
8.300% due 08/15/2031		10,300		11,742
Total Sovereign Issues (Cost $42,388)				46,154
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar March Futures (CME)
Strike @ 94.750 Exp. 03/14/2005		1,100		7
Total Purchased Put Options (Cost $11)				7
PREFERRED SECURITY 0.6%
		Shares
DG Funding Trust
4.225% due 12/29/2049 (a)		1,239		13,319
Total Preferred Security (Cost $13,056)				13,319
SHORT-TERM INSTRUMENTS 58.6%
		Principal Amount (000s)
Certificates of Deposit 7.8%
Bank of America N.A.
1.620% due 11/02/2004	$	44,800		44,800
Citibank New York N.A.
1.640% due 11/08/2004		20,000		20,000
1.750% due 12/07/2004		25,700		25,700
1.805% due 12/10/2004		22,400		22,400
Wells Fargo Bank N.A.
1.600% due 10/04/2004		44,600		44,600
1.610% due 10/05/2004		300		300
1.650% due 10/07/2004		22,200		22,200
1.700% due 10/18/2004		800		800
1.780% due 11/12/2004		400		400
				181,200
Commercial Paper 39.6%
Altria Group, Inc.
1.800% due 10/29/2004		2,800		2,800
Bank of Ireland
1.960% due 01/27/2005		63,500		63,089
Danske Corp.
1.680% due 11/24/2004		41,300		41,196
1.685% due 11/29/2004		21,100		21,042
1.785% due 12/16/2004		6,500		6,474
1.845% due 12/20/2004		500		498
1.850% due 12/27/2004		100		100
Fannie Mae
1.010% due 10/01/2004		13,300		13,300
1.455% due 10/06/2004		21,800		21,796
1.526% due 10/20/2004		16,400		16,386
1.530% due 10/20/2004		21,700		21,682
1.537% due 10/20/2004		22,200		22,182
1.559% due 10/27/2004		11,300		11,287
1.180% due 11/01/2004		43,600		43,541
1.690% due 11/08/2004		22,800		22,759
1.578% due 11/17/2004		22,700		22,652
1.579% due 11/17/2004		22,700		22,652
1.635% due 11/24/2004		40,100		39,996
1.594% due 12/01/2004		22,800		22,728
1.731% due 12/08/2004		22,700		22,619
1.739% due 12/08/2004		22,800		22,719
1.760% due 12/08/2004		45,500		45,338
1.780% due 12/15/2004		45,900		45,719
Federal Home Loan Bank
1.580% due 10/04/2004		25,000		24,997
1.439% due 10/08/2004		12,700		12,696
1.740% due 10/20/2004		63,400		63,342
Ford Motor Credit Co.
2.520% due 04/07/2005		12,300		12,165
Freddie Mac
1.545% due 11/12/2004		700		699
1.570% due 11/15/2004		8,200		8,184
1.579% due 11/22/2004		10,800		10,775
1.575% due 11/24/2004		22,300		22,247
1.930% due 01/24/2005		6,200		6,161
General Motors Acceptance Corp.
2.404% due 03/22/2005		400		396
HBOS Treasury Services PLC
1.960% due 01/25/2005		63,500		63,097
Royal Bank of Scotland PLC
1.630% due 10/25/2004		59,200		59,136
1.690% due 11/29/2004		9,000		8,975
1.780% due 12/10/2004		400		399
1.835% due 12/20/2004		500		498
UBS Finance, Inc.
1.570% due 10/25/2004		19,500		19,480
1.630% due 11/16/2004		45,200		45,106
1.690% due 11/29/2004		3,700		3,690
1.700% due 11/30/2004		100		100
1.850% due 12/21/2004		300		299
1.835% due 12/22/2004		600		597
				915,594
Repurchase Agreement 0.3%
State Street Bank
1.400% due 10/01/2004		7,079		7,079
(Dated 09/30/2004. Collateralized by U.S. Treasury Bond 10.375% due 11/15/2012 valued at $7,224. Repurchase proceeds are $7,079.)
U.S. Treasury Bills 10.9%
1.512% due 11/04/2004-12/16/2004 (c)(e)(f)		252,010		251,300
Total Short-Term Instruments (Cost $1,355,291)				1,355,173
Total Investments 118.2%			$	2,730,766
(Cost $2,719,266)
Written Options (h) (0.1%)				(2,401	)
(Premiums $2,551)
Other Assets and Liabilities (Net) (18.1%)				(417,271	)
Net Assets 100.0%			$	2,311,094

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Security is in default.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Principal amount of security is adjusted for inflation.

(e) Securities with an aggregate market value of $6,232 have been pledged as collateral for swap and swaption contracts at September 30, 2004.

(f) Securities with an aggregate market value of $20,703 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts	Unrealized Appreciation/ (Depreciation)
Eurodollar June Long Futures	06/2005	121	$	(17	)
Eurodollar September Long Futures	09/2005	3,324		937
Eurodollar December Long Futures	12/2004	334		(7	)
Eurodollar December Long Futures	12/2005	78		109
Euribor Written Put Options Strike @ 97.000	12/2004	75		76
Euro-Bobl 5-Year Note Long Futures	12/2004	305		200
Euro-Bund 10-Year Note Long Futures	12/2004	1,740		(188	)
Government of Japan 10-Year Note Long Futures	12/2004	25		332
U.S. Treasury 10-Year Note Long Futures	12/2004	4,055		2,434
U.S. Treasury 30-Year Bond Long Futures	12/2004	232		(115	)
U.S. Treasury 5-Year Note Long Futures	12/2004	153		6
United Kingdom 90-Day LIBOR Purchased Put Options Strike @ 94.250	06/2005	136		50
			$	3,817

(g) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date	Notional Amount		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	6-month BP-LIBOR	Pay	5.000	%	06/16/2011		BP  1,800	$	(17	)
Barclays Bank PLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		10,600		(279	)
Goldman Sachs & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2017		1,700		(2	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2017		300		(2	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	03/15/2032		900		(13	)
J.P. Morgan Chase & Co.	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		1,500		(19	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/15/2017		700		(4	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	03/15/2032		1,100		(25	)
UBS Warburg LLC	6-month BP-LIBOR	Receive	5.000	%	06/18/2034		4,400		(79	)
Citibank N.A.	6-month EC-LIBOR	Pay	4.000	%	06/17/2008		EC  46,800		193
Goldman Sachs & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2017		4,000		135
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	4.000	%	12/21/2007		88,700		249
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2017		500		17
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		1,500		55
J.P. Morgan Chase & Co.	6-month EC-LIBOR	Pay	6.000	%	06/18/2034		23,600		582
Merrill Lynch & Co., Inc.	6-month EC-LIBOR	Pay	4.000	%	03/15/2007		19,900		379
UBS Warburg LLC	6-month EC-LIBOR	Pay	6.000	%	03/15/2032		1,800		55
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		JY  387,100		(58	)
Goldman Sachs & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		130,000		(41	)
Morgan Stanley Dean Witter & Co.	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		1,050,000		(251	)
UBS Warburg LLC	6-month JY-LIBOR	Receive	2.000	%	06/15/2012		1,625,000		(497	)
Bank of America	3-month LIBOR	Pay	4.000	%	12/15/2009	$	78,600		3,327
Barclays Bank PLC	3-month LIBOR	Pay	4.000	%	12/15/2006		900		7
Barclays Bank PLC	3-month LIBOR	Pay	4.000	%	12/15/2009		102,600		2,505
Goldman Sachs & Co.	3-month LIBOR	Pay	5.000	%	12/15/2014		4,700		(58	)
Lehman Brothers, Inc.	3-month LIBOR	Receive	6.000	%	12/15/2024		34,800		(1,175	)
Morgan Stanley Dean Witter & Co.	3-month LIBOR	Pay	5.000	%	12/15/2014		3,100		(38	)
UBS Warburg LLC	3-month LIBOR	Pay	4.000	%	12/15/2009		32,700		913
								$	5,859
Credit Default Swaps
Counterparty	Reference Entity	Buy/Sell Protection	Pay/Receive Fixed rate		Expiration Date	Notional Amount		Unrealized Appreciation
Barclays Bank PLC	United Mexican States 7.500% due 04/08/2033	Sell	0.650	%	05/20/2005	$	300	$	1
J.P. Morgan Chase & Co.	Russian Federation, 5.000% until 03/31/2007 and 7.500% thereafter, due 03/31/2030	Sell	0.980	%	08/04/2005		3,300		4
Morgan Stanley Dean Witter & Co.	United Mexican States 11.500% due 05/15/2026	Sell	0.625	%	05/20/2005		900		3
Morgan Stanley Dean Witter & Co.	Republic of Panama 9.375% due 04/01/2029	Sell	1.800	%	06/20/2005		300		3
Morgan Stanley Dean Witter & Co.	Republic of Panama 9.375% due 04/01/2029	Sell	1.100	%	06/20/2005		800		3
								$	14
Total Return Swaps
Counterparty	Receive total return	Pay			Expiration Date	Notional Amount		Unrealized Appreciation
Bank of America	Lehman Commercial Mortgage-Backed Securities Index	1-month LIBOR less 0.330%			01/01/2005	$	4,100	$	0

(h) Premiums received on written options:

Name of Issuer	Exercise Price	Expiration Date	# of Contracts	Premium		Value
Call - CBOT U.S. Treasury Note December Futures	114.000	11/26/2004	1,478	$	1,023	$	853
Put - CBOT U.S. Treasury Note December Futures	110.000	11/26/2004	676		489		201
Put - CBOT U.S. Treasury Note December Futures	111.000	11/26/2004	329		116		170
				$	1,628	$	1,224

Name of Issuer	Counterparty	Exercise Rate		Expiration Date	Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	5.970	%**	10/04/2004	$	6,400	$	257	$	705
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	5.970	%*	10/04/2004		6,400		257		0
Call - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3.800	%**	10/07/2004		9,200		44		0
Call - OTC 7-Year Interest Rate Swap	Bank of America	6.000	%**	10/19/2004		1,700		69		188
Put - OTC 7-Year Interest Rate Swap	Bank of America	6.000	%*	10/19/2004		1,700		69		0
Call - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	5.500	%**	01/07/2005		3,900		95		284
Put - OTC 7-Year Interest Rate Swap	Goldman Sachs & Co.	7.000	%*	01/07/2005		3,900		132		0
							$	923	$	1,177

* The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(i) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity	Par		Value		Proceeds
U.S. Treasury Bond	6.250	05/15/2030	$	18,600	$	22,082	$	21,491
U.S. Treasury Bond	5.375	02/15/2031		29,100		31,182		30,896
U.S. Treasury Note	3.875	02/15/2013		4,900		4,871		4,859
U.S. Treasury Note	4.750	05/15/2014		11,300		11,865		11,786
					$	70,000	$	69,032

(j) Forward foreign currency contracts outstanding at September 30, 2004:

Type	Currency	Principal Amount Covered by Contract	Settlement Month	Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation/ (Depreciation)
Buy	BR	636	10/2004	$	19	$	0		$	19
Buy		1,328	11/2004		24		0			24
Buy		1,500	12/2004		13		0			13
Buy	CP	371,861	11/2004		28		0			28
Buy		303,010	12/2004		3		0			3
Sell	EC	9,789	10/2004		0		(197	)		(197	)
Buy		4,878	10/2004		55		0			55
Buy	H$	3,427	10/2004		0		(1	)		(1	)
Buy		3,473	11/2004		0		0			0
Buy		3,887	12/2004		0		0			0
Buy	JY	4,476,719	10/2004		192		0			192
Buy	KW	510,840	10/2004		5		0			5
Buy		520,066	11/2004		3		0			3
Buy		590,000	12/2004		0		(2	)		(2	)
Buy	MP	4,737	11/2004		1		0			1
Buy		5,606	12/2004		3		0			3
Buy	PN	1,530	11/2004		7		0			7
Buy		1,740	12/2004		3		0			3
Buy	PZ	1,380	11/2004		5		0			5
Buy		1,384	12/2004		5		0			5
Buy	RP	33,915	12/2004		0		(7	)		(7	)
Buy	RR	12,522	10/2004		3		0			3
Buy		12,733	11/2004		4		0			4
Buy		15,238	12/2004		1		0			1
Buy	S$	743	10/2004		8		0			8
Buy		755	11/2004		7		0			7
Buy		852	12/2004		2		0			2
Buy	SV	14,486	11/2004		9		0			9
Buy		16,715	12/2004		4		0			4
Buy	T$	14,791	11/2004		1		0			1
Buy		16,605	12/2004		0		(2	)		(2	)
				$	405	$	(209	)	$	196

(k) The aggregate value of fair valued securities is $96, which is 0.00% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

Schedule of Investments

Total Return Portfolio II

September 30, 2004 (Unaudited)

		Principal Amount (000s)		Value (000s)
CORPORATE BONDS & NOTES 6.1%
Banking & Finance 3.1%
CIT Group, Inc.
3.180% due 01/31/2005 (a)	$	100	$	100
Ford Motor Credit Co.
3.535% due 10/25/2004 (a)		200		200
General Motors Acceptance Corp.
3.630% due 05/19/2005 (a)		100		101
UBS Preferred Funding Trust I
8.622% due 10/29/2049 (a)		100		121
Verizon Wireless Capital LLC
1.810% due 05/23/2005 (a)		30		30
				552
Industrials 1.1%
DaimlerChrysler North America Holding Corp.
7.400% due 01/20/2005		100		102
2.340% due 05/24/2006 (a)		50		50
El Paso Corp.
6.750% due 05/15/2009		50		50
				202
Utilities 1.9%
AEP Texas Central Co.
2.961% due 02/15/2005 (a)		10		10
Appalachian Power Co.
4.800% due 06/15/2005		20		20
Entergy Gulf States, Inc.
2.810% due 06/18/2007 (a)		100		101
Pacific Gas & Electric Co.
2.705% due 04/03/2006 (a)		200		200
				331
Total Corporate Bonds & Notes (Cost $1,060)				1,085
MUNICIPAL BONDS & NOTES 2.8%
California State Polytechnic University Revenue Bonds, Series 1972
5.250% due 01/01/2010		100		111
Energy Northwest Washington Electric Revenue Bonds, Series 2003
5.500% due 07/01/2014		100		115
New Jersery State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
4.375% due 06/01/2019		70		70
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2003
6.750% due 06/01/2039		100		96
New Jersey Transportation Trust Fund Revenue Bonds, Series 2003
5.000% due 06/15/2013		50		55
New York State Environmental Facilities Corporate Revenue Bonds, Series 2002
8.440% due 06/15/2023 (a)		25		28
University of Texas Revenue Bonds, Series 2003
5.000% due 08/15/2033		20		20
Total Municipal Bonds & Notes (Cost $486)				495
U.S. GOVERNMENT AGENCIES 26.4%
Fannie Mae
1.960% due 03/25/2034 (a)		94		93
4.766% due 12/01/2036 (a)		52		53
5.000% due 06/01/2018 - 03/01/2034 (c)		2,346		2,370
5.039% due 09/01/2034 (a)		53		54
5.500% due 10/01/2017 - 10/14/2034 (c)		1,657		1,681
6.000% due 06/01/2016 - 07/25/2024 (c)		254		264
6.500% due 08/01/2032		16		17
Federal Home Loan Bank
5.500% due 03/15/2015		1		1
Freddie Mac
3.666% due 07/01/2027 (a)		7		7
3.822% due 01/01/2028 (a)		7		7
5.000% due 10/01/2018		83		84
5.500% due 08/15/2030		23		23
6.000% due 09/01/2016		19		20
Government National Mortgage Association
2.311% due 09/20/2030 (a)		8		8
3.375% due 02/20/2027 - 05/20/2030 (a)(c)		43		43
Total U.S. Government Agencies (Cost $4,729)				4,725
U.S. TREASURY OBLIGATIONS 15.8%
Treasury Inflation Protected Securities (b)(d)
3.375% due 01/15/2007		120		128
3.625% due 01/15/2008		164		180
3.875% due 01/15/2009		462		520
4.250% due 01/15/2010		113		131
3.000% due 07/15/2012		211		233
2.000% due 07/15/2014		201		206
U.S. Treasury Bond
6.250% due 05/15/2030		200		237
U.S. Treasury Note
2.500% due 09/30/2006		1,200		1,198
Total U.S. Treasury Obligations (Cost $2,802)				2,833
MORTGAGE-BACKED SECURITIES 5.0%
Bank of America Mortgage Securities, Inc.
6.500% due 10/25/2031		56		58
6.500% due 02/25/2033		12		12
Bear Stearns Adjustable Rate Mortgage Trust
5.124% due 03/25/2033 (a)		32		33
4.781% due 12/25/2033 (a)		70		71
Countrywide Home Loans, Inc.
5.699% due 03/19/2032 (a)		2		2
CS First Boston Mortgage Securities Corp.
6.202% due 04/25/2032 (a)		1		1
5.057% due 06/25/2032 (a)		13		13
6.237% due 06/25/2032 (a)		8		8
2.360% due 08/25/2033 (a)		15		15
GSR Mortgage Loan Trust
6.000% due 03/25/2032		14		14
7.000% due 07/25/2043		56		59
Impac CMB Trust
2.240% due 07/25/2033 (a)		72		72
2.090% due 01/25/2034 (a)		87		87
MASTR Asset Securitization Trust
5.500% due 09/25/2033		61		61
Merrill Lynch Mortgage Investors, Inc.
2.825% due 01/25/2029 (a)		89		94
Prime Mortgage Trust
2.240% due 02/25/2034 (a)		59		59
Residential Funding Mortgage Securities I, Inc.
5.603% due 09/25/2032 (a)		2		2
Structured Asset Mortgage Investments, Inc.
2.141% due 09/19/2032 (a)		8		8
Structured Asset Securities Corp.
6.150% due 07/25/2032 (a)		2		2
2.000% due 08/25/2033 (a)		10		10
Washington Mutual Mortgage Securities Corp.
3.066% due 02/27/2034 (a)		32		32
2.780% due 08/25/2042 (a)		173		176
Total Mortgage-Backed Securities (Cost $886)				889
ASSET-BACKED SECURITIES 5.6%
Amortizing Residential Collateral Trust
2.110% due 06/25/2032 (a)		11		11
CIT Group Home Equity Loan Trust
2.110% due 06/25/2033 (a)		8		8
Countrywide Asset-Backed Certificates
1.775% due 12/25/2034 (a)		100		100
CS First Boston Mortgage Securities Corp.
2.150% due 01/25/2032 (a)		15		15
Equity One ABS, Inc.
2.120% due 11/25/2032 (a)		13		13
Fremont Home Loan Trust
1.890% due 07/25/2034 (a)		100		100
HFC Home Equity Loan Asset-Backed Certificates
2.161% due 10/20/2032 (a)		41		41
Home Equity Asset Trust
1.800% due 12/25/2034 (a)		98		98
Household Mortgage Loan Trust
2.111% due 05/20/2032 (a)		3		3
Irwin Home Equity Loan Trust
2.130% due 06/25/2029 (a)		2		2
Morgan Stanley Dean Witter Capital I, Inc.
2.170% due 07/25/2032 (a)		3		3
Nelnet Student Loan Trust
2.017% due 04/25/2011 (a)		100		100
Park Place Securities, Inc.
1.957% due 08/25/2034 (a)		100		100
Residential Asset Mortgage Products, Inc.
1.780% due 04/25/2026 (a)		197		197
SLM Student Loan Trust
1.540% due 03/15/2011 (a)		111		111
Terwin Mortgage Trust
1.770% due 09/25/2034 (a)		94		94
Total Asset-Backed Securities (Cost $996)				996
PURCHASED PUT OPTIONS 0.0%
		# of Contracts
Eurodollar December Futures (CME)
Strike @ 95.000 Exp. 12/13/2004		5		0
Eurodollar June Futures (CME)
Strike @ 91.000 Exp. 06/13/2005		16		0
Total Purchased Put Options (Cost $0)				0
PREFERRED SECURITY 0.7%
		Shares
DG Funding Trust
4.225% due 12/29/2049 (a)		11		118
Total Preferred Security (Cost $116)				118
SHORT-TERM INSTRUMENTS 54.3%
		Principal Amount (000s)
Certificates of Deposit 7.3%
Bank of America N.A.
1.620% due 11/02/2004	$	300		300
Citibank New York N.A.
1.540% due 10/22/2004		200		200
1.640% due 11/08/2004		300		300
Wells Fargo Bank N.A.
1.600% due 10/04/2004		300		299
1.650% due 10/07/2004		200		200
				1,299
Commercial Paper 34.1%
Fannie Mae
1.180% due 11/01/2004		300		300
1.690% due 11/08/2004		200		200
1.625% due 11/17/2004		200		199
1.660% due 11/24/2004		1,000		997
1.594% due 12/01/2004		200		199
1.687% due 12/01/2004		800		797
1.739% due 12/08/2004		200		199
1.760% due 12/08/2004		400		399
Federal Home Loan Bank
1.740% due 10/20/2004		600		599
1.655% due 11/26/2004		200		199
1.650% due 12/08/2004		200		199
Freddie Mac
1.545% due 10/25/2004		200		200
1.550% due 10/26/2004		200		200
1.530% due 11/01/2004		200		200
1.580% due 11/02/2004		200		200
1.545% due 11/12/2004		200		200
1.570% due 11/15/2004		200		200
1.579% due 11/22/2004		100		100
General Electric Capital Corp.
1.610% due 11/16/2004		200		200
1.800% due 12/14/2004		300		299
General Motors Acceptance Corp.
2.535% due 04/05/2005		10		10
				6,096
Repurchase Agreement 2.1%
State Street Bank
1.400% due 10/01/2004		375		375
(Dated 09/30/2004. Collateralized by Fannie Mae 1.500% due 08/15/2005 valued at $383. Repurchase proceeds are $375.)
U.S. Treasury Bills 10.8%
1.515% due 11/04/2004-12/16/2004 (c)(d)		1,945		1,939
Total Short-Term Instruments (Cost $9,711)				9,709
Total Investments 116.7%			$	20,850
(Cost $20,786)
Written Options (f) (0.2%)				(29)
(Premiums $31)
Other Assets and Liabilities (Net) (16.5%)				(2,948)
Net Assets 100.0%			$	17,873

Notes to Schedule of Investments

(amounts in thousands, except number of contracts):

(a) Variable rate security.

(b) Principal amount of security is adjusted for inflation.

(c) Securities are grouped by coupon or range of coupons and represent a range of maturities.

(d) Securities with an aggregate market value of $372 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2004:

Type	Expiration Month	# of Contracts		Unrealized Appreciation/ (Depreciation	)
Eurodollar June Long Futures	06/2005	21	$	0
Eurodollar September Long Futures	09/2005	1		0
Eurodollar December Long Futures	12/2004	3		0
U.S. Treasury 10-Year Note Long Futures	12/2004	45		21
U.S. Treasury 30-Year Bond Long Futures	12/2004	3		(2	)
U.S. Treasury 5-Year Note Long Futures	12/2004	9		0
			$	19

(e) Swap agreements outstanding at September 30, 2004:

Interest Rate Swaps

Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Fixed Rate		Expiration Date		Notional Amount		Unrealized (Depreciation	)
Goldman Sachs & Co	3-month LIBOR	Pay	5.000	%	12/15/2014	$	100	$	(1	)

Total Return Swaps

Counterparty	Receive total return	Pay	Expiration Date		Notional Amount		Unrealized Appreciation
Bank of America	Lehman Commercial Mortgage-Backed Securities Index	1-month LIBOR less 0.390%	11/01/2004	$	150		0
Bank of America	Lehman Commercial Mortgage-Backed Securities Index	1-month LIBOR less 0.330%	01/01/2005		100		0
						$	0

(f) Premiums received on written options:

Name of Issuer	Exercise Price	Expiration Date	# of Contracts		Premium		Value
Call - CBOT U.S. Treasury Note December Futures	114.000	11/26/2004	14	$	10	$	8
Put - CBOT U.S. Treasury Note December Futures	110.000	11/26/2004	7		6		2
Put - CBOT U.S. Treasury Note December Futures	111.000	11/26/2004	3		1		2
				$	17	$	12

Name of Issuer	Counterparty	Exercise Rate		Expiration Date		Notional Amount		Premium		Value
Call - OTC 7-Year Interest Rate Swap	UBS Warburg LLC	3.800	%**	10/07/2004	$	100	$	0	$	0
Call - OTC 7-Year Interest Rate Swap	Bank of America	6.000	%**	10/19/2004		100		4		11
Put - OTC 7-Year Interest Rate Swap	Bank of America	6.000	%*	10/19/2004		100		4		0
Call - OTC 7-Year Interest Rate Swap	Bank of America	5.200	%**	11/02/2004		100		3		6
Put - OTC 7-Year Interest Rate Swap	Bank of America	6.700	%*	11/02/2004		100		3		0
							$	14	$	17

* The Portfolio will pay a floating rate based on 3-month LIBOR.

** The Portfolio will receive a floating rate based on 3-month LIBOR.

(g) Short sales open at September 30, 2004 were as follows:

Type	Coupon (%)	Maturity		Par		Value		Proceeds
U.S. Treasury Note	4.750	05/15/2014	$	100	$	105	$	104

Supplementary Notes to Schedule of Investments

September 30, 2004 (Unaudited)

1. Federal Income Tax Matters

At September 30, 2004, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation (depreciation) of investment securities for federal income tax purposes is as follows (amounts in thousands):

	Aggregate Gross Unrealized Appreciation		Aggregate Gross Unrealized (Depreciation)			Net Unrealized Appreciation
All Asset Portfolio	$	2,001	$	(87	)	$	1,913
CommodityRealReturn Strategy Portfolio		1		(11	)		(10	)
Emerging Markets Bond Portfolio		2,579		(48	)		2,531
Foreign Bond Portfolio		1,791		(44	)		1,747
Global Bond Portfolio		1,430		(42	)		1,388
High Yield Portfolio		15,103		(4,390	)		10,713
Long-Term U.S. Government Portfolio		1,535		(111	)		1,424
Low Duration Portfolio		247		(301	)		(54	)
Money Market Portfolio		0		0			0
Real Return Portfolio		1,199		(1,736	)		(537	)
Short-Term Portfolio		34		(14	)		20
StocksPLUS Growth & Income Portfolio		1,351		(1,116	)		235
Total Return Portfolio		16,672		(5,172	)		11,500
Total Return Portfolio II		86		(22	)		64

Item 2. Controls and Procedures.

(a) The registrant’s principal executive officer and principal officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing of this report on Form N-Q, that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant in the reports that it files or submits on Form N-Q is recorded, processed, summarized, and reported within the five periods specified in the Commission’s rules and forms.

(b) There has been no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act is attached as Exhibit 99.CERT.

Signatures

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

PIMCO Variable Insurance Trust
By:	/s/    R. WESLEY BURNS
	R. Wesley Burns
	President, Principal Executive Officer
Date:	November 24, 2004

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/    R. WESLEY BURNS
	R. Wesley Burns
	President, Principal Executive Officer
Date:	November 24, 2004
By:	/s/    JOHN P. HARDAWAY
	John P. Hardaway
	Treasurer, Principal Financial Officer
Date:	November 24, 2004