UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-08879

SUN CAPITAL ADVISERS TRUST

(Exact name of registrant as specified in charter)

One Sun Life Executive Park, Wellesley Hills, Massachusetts 02481

(Address of principal executive offices) (Zip code)

John T. Donnelly

Sun Capital Advisers Trust

One Sun Life Executive Park

Wellesley Hills, Massachusetts 02481

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 432-1102 x 3330

Date of fiscal year end: December 31

Date of reporting period: December 31, 2011

Item 1. Reports to Stockholders.

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended:

SUN CAPITAL ADVISERS TRUST^®

Annual Report December 31, 2011

SC^SM AllianceBernstein International Value Fund

SC^SM BlackRock International Index Fund

SC^SM BlackRock Large Cap Index Fund

SC^SM BlackRock Small Cap Index Fund

SC^SM Goldman Sachs Mid Cap Value Fund

SC^SM Columbia Small Cap Value Fund

SC^SM Davis Venture Value Fund

SC^SM Invesco Small Cap Growth Fund

SC^SM Lord Abbett Growth & Income Fund

SC^SM WMC Blue Chip Mid Cap Fund

SC^SM WMC Large Cap Growth Fund

Sun Capital Global Real Estate Fund

SC^SM Ibbotson Tactical Opportunities Fund

Sun Capital Investment Grade Bond Fund^®

Sun Capital Money Market Fund^®

SC^SM BlackRock Inflation Protected Bond Fund

SC^SM Goldman Sachs Short Duration Fund

SC^SM PIMCO High Yield Fund

SC^SM PIMCO Total Return Fund

SC^SM Ibbotson Balanced Fund

SC^SM Ibbotson Conservative Fund

SC^SM Ibbotson Growth Fund

Sun Capital Advisers Trust is registered under the Investment Company Act of 1940 as an open-end management investment company. Its investment adviser is Sun Capital Advisers LLC^®, a member of the Sun Life Financial group of companies.

TABLE OF CONTENTS

Important Information about this Report
Management’s Discussion & Analysis
SC AllianceBernstein International Value Fund	1
SC BlackRock International Index Fund	6
SC BlackRock Large Cap Index Fund	10
SC BlackRock Small Cap Index Fund	14
SC Goldman Sachs Mid Cap Value Fund	18
SC Columbia Small Cap Value Fund	23
SC Davis Venture Value Fund	28
SC Invesco Small Cap Growth Fund	32
SC Lord Abbett Growth & Income Fund	37
SC WMC Blue Chip Mid Cap Fund	42
SC WMC Large Cap Growth Fund	46
Sun Capital Global Real Estate Fund	50
SC Ibbotson Tactical Opportunities Fund	55
Sun Capital Investment Grade Bond Fund	59
Sun Capital Money Market Fund	63
SC BlackRock Inflation Protected Bond Fund	67
SC Goldman Sachs Short Duration Fund	72
SC PIMCO High Yield Fund	77
SC PIMCO Total Return Fund	82
SC Ibbotson Balanced Fund	87
SC Ibbotson Conservative Fund	87
SC Ibbotson Growth Fund	87
Expense Information	99
Portfolios of Investments
SC AllianceBernstein International Value Fund	101
SC BlackRock International Index Fund	109
SC BlackRock Large Cap Index Fund	126
SC BlackRock Small Cap Index Fund	137
SC Goldman Sachs Mid Cap Value Fund	174
SC Columbia Small Cap Value Fund	180
SC Davis Venture Value Fund	186
SC Invesco Small Cap Growth Fund	191
SC Lord Abbett Growth & Income Fund	195
SC WMC Blue Chip Mid Cap Fund	198
SC WMC Large Cap Growth Fund	202
Sun Capital Global Real Estate Fund	205
SC Ibbotson Tactical Opportunities Fund	208
Sun Capital Investment Grade Bond Fund	210
Sun Capital Money Market Fund	217
SC BlackRock Inflation Protected Bond Fund	220
SC Goldman Sachs Short Duration Fund	225
SC PIMCO High Yield Fund	234
SC PIMCO Total Return Fund	251
SC Ibbotson Balanced Fund	277
SC Ibbotson Conservative Fund	278
SC Ibbotson Growth Fund	279
Financial Statements
Statements of Assets and Liabilities	280
Statements of Operations	285
Statements of Changes in Net Assets	290
Financial Highlights	298
Notes to Financial Statements	320
Report of Independent Registered Public Accounting Firm	357
Other Information	358
Proxy Voting Policies and Procedures and Voting Records	358
Quarterly Filing of Portfolio Holdings	358
Tax Information	358
Advisory Contract Approvals and Renewals	360
Trustees & Officers	364

Important Information about this Report:

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus. Investors should consider the investment objectives, risks, charges and expenses of a Fund before investing. This and other information is contained in a Fund’s prospectus. Please read the prospectus carefully before you invest.

The views and opinions expressed in each Fund’s “Management’s Discussion and Analysis” are those of the portfolio manager(s) of the Fund. The views and opinions expressed, and the portfolio holdings described, are as of December 31, 2011, and are subject to change at any time without notice due to market or other conditions. These should not be construed as investment advice or as a recommendation to buy or sell any security. Any forecasts or other forward looking views may not come to pass.

Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011.

An investment in a Fund is not a bank deposit and is not insured by the Federal Deposit Insurance Corporation. It is possible to lose money on an investment in any of the Funds.

Country codes included within each Fund’s Portfolio of Investments are unaudited.

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND

(subadvised by AllianceBernstein L.P.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC AllianceBernstein International Value Fund (the “Fund”) returned (16.21)% and (16.46)%, respectively, underperforming the benchmark, the MSCI EAFE Index (the “Index”), which returned (12.14)% for the same period.

What economic and market factors most influenced the global equity markets as a whole during the year ended December 31, 2011?

Equity markets were extremely volatile in 2011, as the European sovereign debt crisis cast a shadow over the global economy. After rising early in the year, stocks fell sharply for five straight months through September, then posted a late rally as European leaders stepped up efforts to stem the crisis. But even after the Index rose 3.33% in the fourth quarter, most markets were still down for the year.

Still scarred by the 2008 crisis, market participants reacted to adverse developments by fleeing deemed risky assets, with financial stocks being affected the most. Equity market correlations were very high, as stocks generally traded in tandem based on perceived sensitivity to global macroeconomic issues, with little regard to company-specific strengths or weaknesses. In this environment, active managers struggled to beat their benchmarks.

The market environment in 2011 was particularly unforgiving for value investors. For the majority of the year, equity investors fled from risk, in the process punishing the cheapest stocks in the market, which were viewed as the riskiest of all.

How did the country allocations affect relative Fund performance during the year ended December 31, 2011?

The Fund’s country allocations are primarily a result of the bottom-up stock selection process. For the year, country and currency selection both contributed positively to relative returns. An overweight to the UK, and underweights to Sweden and Greece contributed positively to the Fund’s relative returns, while an underweight to Switzerland and Spain detracted. The Fund’s overweight to the Japanese yen, euro and British pound contributed positively to overall relative Fund performance, while an underweight to the Australian dollar detracted from performance.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

During 2011, the top contributors to the Fund’s performance were Japan Tobacco, Inc., AstraZeneca PLC, Nippon Telegraph & Telephone Corp., BP PLC and Imperial Tobacco Group PLC. Many of the Fund’s contributors were in traditionally defensive sectors, such as Health Care, Consumer Staples and Telecommunications, which performed well during a volatile year as investors rewarded the relative stability of these companies.

Japan Tobacco, Inc. benefited from better-than-expected results and optimism that the company may move to return cash to shareholders through a share buyback program or increased dividend. U.K. based pharmaceutical company AstraZeneca PLC was supported by its high dividend yield and share repurchase program, and as the company increased its 2011 earnings guidance several times throughout the year. Japan based Nippon Telegraph & Telephone Corp. stock was also supported by ongoing stock buybacks, improved cost controls, and as investors became more optimistic about the company’s ability to offset declines in its legacy fixed-line business with growth in areas such as mobile data and fiber optics.

1

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND (Continued)

U.K. Oil and gas company BP PLC benefited as the company continued to move forward after the Macondo oil spill. Additional settlements with business partners in the well, along with findings from investigations, provided comfort to investors that the ultimate cost of the spill to the company would be manageable. Shares of U.K. Imperial Tobacco Group PLC rose as the company was able to successfully raise prices across a number of markets and as shareholders favored the company’s generous dividend yield.

The Fund utilizes currency futures contracts to manage currency exposure resulting from the Fund’s holdings. During 2011, the Fund’s overall currency positioning contributed positively to returns relative to its benchmark. An overweight to the Japanese yen and British pound, along with an underweight to the Swiss franc benefited returns. This was somewhat offset by an underweight to the Australian dollar.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

The stocks that detracted the most during 2011 were Société Générale, The Tokyo Electric Power Co., Inc., Lloyds Banking Group PLC, ING Groep NV-CVA and KBC Groep NV. Shares of The Tokyo Electric Power Co., Inc. collapsed as the company battled to contain a nuclear emergency at its Fukushima Dai-Ichi power plant following the Japanese tsunami. After the tsunami, the Fund continued to hold the stock with the conviction that the substantially depressed stock price more than discounted the uncertainty over how the company would emerge from the crisis. Although the stock detracted for the year, the Fund was able to recoup some losses before exiting the position later in the year.

Investor anxiety has been greatest in Europe. European banks ING Groep NV-CVA, Société Générale of France, Lloyds Banking Group PLC and Belgium’s KBC Groep NV were hurt by fears that the sovereign-debt crisis might eventually undermine their balance sheets. These companies exposure to sovereign debt of the most troubled European countries (Portugal, Ireland, Italy, Greece and Spain) is deemed manageable relative to the overall size of their assets and earnings. These companies have strong core business franchises and trade at substantial discount to tangible book value.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

There were no material changes to the December 31, 2011 top ten holdings list relative to the December 31, 2010 top ten holdings list.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

The Fund is constructed using a bottom-up stock selection process. Relative sector weights are therefore a function of that approach rather than a result of top-down insights.

At the end of the period, the Fund was positioned such that its top three overweight positions compared to the Index were Energy, Consumer Discretionary and Materials sectors. The Fund’s largest underweight positions at the end of the year were in the Consumer Staples, Industrials and Information Technology sectors.

The Fund’s largest overweight country allocation versus the benchmark was to the United Kingdom and was focused mainly on companies in the Energy, Financial, Healthcare and Materials sectors. The Fund also had an overweight position in Canada, which is not part of the benchmark. Underweight positions in Australia and Switzerland were dictated by less attractive value opportunities when compared to other countries. The Fund held overweight positions in a number of individual stocks in both countries, however. In Australia, holdings included a number of financial firms that offer attractive dividend yields. Consumer goods along with pharmaceutical makers accounted for the largest Swiss holdings.

At December 31, 2011, the Fund held 30 companies that were not included in the Index. The majority of these companies were located in either Canada or Emerging Market countries, neither of which are represented in the Index, but are included in the Fund’s universe.

2

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND (Continued)

COUNTRY ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each country reflect the value of investments in that country as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

** Includes 20 countries with an allocation of less than 2% individually.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Royal Dutch Shell PLC, A Shares		2.9	%	Oil, Gas & Consumable Fuels
BP PLC		2.8		Oil, Gas & Consumable Fuels
AstraZeneca PLC		2.1		Pharmaceuticals
Nestle SA		2.1		Food Products
Vodafone Group PLC		1.9		Wireless Telecommunication Services
Novartis AG		1.8		Pharmaceuticals
Roche Holding AG		1.7		Pharmaceuticals
GlaxoSmithKline PLC		1.6		Pharmaceuticals
Total SA		1.4		Oil, Gas & Consumable Fuels
Rio Tinto PLC		1.4		Metals & Mining

3

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC AllianceBernstein International Value Fund – Initial Class and the MSCI EAFE Index

Comparison of Change in Value of a $10,000 Investment in the SC AllianceBernstein International Value Fund – Service Class and the MSCI EAFE Index

4

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC AllianceBernstein International Value Fund–Initial Class Shares		(16.21	)%		4.37	%		(3.11	)%
SC AllianceBernstein International Value Fund–Service Class Shares		(16.46	)%		4.12	%		(3.35	)%
MSCI EAFE Index*		(12.14	)%		7.65	%		(0.04	)%

*The performance data of the indices has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The MSCI EAFE Index (Europe, Australasia, Far East) tracks the performance of large cap international equity securities and is widely regarded as the standard for measuring large cap international stock market performance.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC AllianceBernstein International Value Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

5

SC ^SM BLACKROCK INTERNATIONAL INDEX FUND

(subadvised by BlackRock Investment Management, LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC BlackRock International Index Fund (the “Fund”) returned (12.46)% and (12.70)%, respectively. The Fund’s benchmark, the MSCI EAFE Index (the “Index”), returned (12.14)% for the same period.

What economic and market factors most influenced the global equity markets as a whole during the year ended December 31, 2011?

Early in the year, foreign and domestic stocks advanced at an uneven pace despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters that left Japan with massive infrastructure damage, resulting in global supply chain disruptions. Additionally, inflationary pressures persisted in developing countries; however the global economy continued to expand, albeit at a slower pace. Solid corporate profits, improving labor market conditions and reasonably upbeat leading indicators pushed most of the world’s equity markets forward.

After reaching their peak at the end of April, equities experienced a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading throughout Europe. It also became evident that the pace of economic growth had slowed in the United States and other developed nations. In the U.S., a prolonged debt ceiling debate revealed the ineffectiveness of the nation’s policymakers and ultimately led to Standard & Poor’s decision to downgrade the U.S. government’s credit rating in early August. This announcement was the catalyst that spurred one of the most volatile periods in equity trading history. Stock markets across the world declined as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.

Equities rebounded in October as stronger economic data from the U.S. helped to calm fears of a global double-dip recession and European leaders demonstrated greater unity in their pursuit to curtail the debt crisis. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan raised doubts among investors and thwarted the rally at the end of October. International equities generally declined through the final two months of the year as political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. Market volatility softened in December with the support of global central bank actions and improving economic data.

Of the 22 developed countries in the Index, only Ireland and New Zealand posted gains for the year. While equity markets sold off broadly across Europe, countries participating in the euro currency union saw particularly painful losses. Greece finished well below all other countries in the Index. Asian stocks were dragged down by the world’s debt problems and a weak outlook for consumer demand from Europe and the United States. Japan also suffered the effects of its appreciating yen on its export-driven economy.

How did the country allocations affect Fund performance during the year ended December 31, 2011?

The top contributor to the Fund’s relative performance was Ireland, while the top detractors were Japan, Germany and France.

Which sectors contributed most to the Fund’s performance results during the year ended December 31, 2011?

The top contributors to the Fund’s relative performance were the Health Care, Energy and Consumer Staples sectors.

Which sectors detracted most from the Fund’s performance results during the year ended December 31, 2011?

The top detractors from the Fund’s relative performance were the Financials, Materials and Industrials sectors.

6

SC ^SM BLACKROCK INTERNATIONAL INDEX FUND (Continued)

COUNTRY ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each country reflect the value of investments in that country as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

** Includes 18 countries with an allocation of less than 2% individually.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Nestle SA		1.9	%	Food Products
Vodafone Group PLC		1.4		Wireless Telecommunication Services
HSBC Holdings PLC		1.4		Commercial Banks
BP PLC		1.4		Oil, Gas & Consumable Fuels
Novartis AG		1.4		Pharmaceuticals
Royal Dutch Shell PLC, Class A		1.4		Oil, Gas & Consumable Fuels
Roche Holding AG		1.2		Pharmaceuticals
GlaxoSmithKline PLC		1.2		Pharmaceuticals
BHP Billiton Ltd.		1.2		Metals & Mining
Total SA		1.1		Oil, Gas & Consumable Fuels

7

SC ^SM BLACKROCK INTERNATIONAL INDEX FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock International Index Fund – Initial Class and the MSCI EAFE Index

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock International Index Fund – Service Class and the MSCI EAFE Index

8

SC ^SM BLACKROCK INTERNATIONAL INDEX FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Life of Fund***
SC BlackRock International Index Fund–Initial Class Shares		(12.46	)%		(8.14	)%
SC BlackRock International Index Fund–Service Class Shares		(12.70	)%		(8.43	)%
MSCI EAFE Index*		(12.14	)%		(9.37	)%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The MSCI EAFE Index (Europe, Australasia, Far East) tracks performance of large cap international equity securities and is widely regarded as the standard for measuring large cap international stock market performance.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC BlackRock International Index Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from November 15, 2010 (commencement of operations) to December 31, 2011.

9

SC ^SM BLACKROCK LARGE CAP INDEX FUND

(subadvised by BlackRock Investment Management, LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC BlackRock Large Cap Index Fund (the “Fund”) returned 1.58% and 1.17%, respectively. The Fund’s benchmark, the S&P 500 Index (the “Index”), returned 2.11% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

Early in the year, domestic stocks as correlated to the world markets advanced at an uneven pace, despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters in Japan, resulting in global supply chain disruptions. Equity markets were remarkably resilient as the global economic recovery appeared to be on track and investors were gradually increasing their appetite for risk. After peaking in late April, equities experienced a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading throughout Europe. In the U.S., a prolonged debt ceiling debate revealed the ineffectiveness of the nation’s policymakers and ultimately led to Standard & Poor’s decision to downgrade the U.S. government’s credit rating in early August. This announcement spurred one of the most volatile periods in trading history. Stock markets across the world experienced substantial volatility on hopes and fears driven by media news flow. Equities swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.

U.S. stocks staged a strong rebound in October as the domestic labor market improved and corporate profits continued to beat analyst expectations. Encouraging news from Europe also contributed to the rally. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan soon raised doubts among investors and thwarted the rally at the end of October. In November, political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. In the U.S., wrangling among lawmakers prohibited an agreement on reducing the U.S. budget deficit, further undermining investors’ confidence in policymakers on both sides of the Atlantic. Market volatility softened in December with the support of global central bank actions and continued improvement in economic data.

Which sectors contributed most to the Fund’s performance results during the year ended December 31, 2011?

The Consumer Staples sector was the strongest relative contributor during the year, followed by the Health Care and Consumer Discretionary sectors.

Which sectors detracted most from the Fund’s performance results during the year ended December 31, 2011?

The top detractors from the Fund’s relative performance were the Financials and Materials sectors. The Fund’s exposure to equity index futures contracts that are used as a vehicle to equitize cash in order to maintain the Fund’s overall Index exposure was also a detractor to the Fund’s performance.

10

SC ^SM BLACKROCK LARGE CAP INDEX FUND (Continued)

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using Global Industry Classification Standards (“GICS”). The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Exxon Mobil Corp.		3.5	%	Oil, Gas & Consumable Fuels
Apple, Inc.		3.2		Computers & Peripherals
International Business Machines Corp.		1.9		IT Services
Chevron Corp.		1.8		Oil, Gas & Consumable Fuels
Microsoft Corp.		1.7		Software
General Electric Co.		1.6		Industrial Conglomerates
The Procter & Gamble Co.		1.6		Household Products
AT&T, Inc.		1.5		Diversified Telecommunication Services
Johnson & Johnson		1.5		Pharmaceuticals
Pfizer, Inc.		1.4		Pharmaceuticals

11

SC ^SM BLACKROCK LARGE CAP INDEX FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock Large Cap Index Fund – Initial Class and the S&P 500 Index

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock Large Cap Index Fund – Service Class and the S&P 500 Index

12

SC ^SM BLACKROCK LARGE CAP INDEX FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Life of Fund***
SC BlackRock Large Cap Index Fund		1.58	%		12.82	%		(3.16	)%		3.63	%
S&P 500 Index*		2.11	%		14.11	%		(0.25	)%		3.66	%
Service Class Shares
SC BlackRock Large Cap Index Fund		1.17	%		12.50	%		(3.41	)%		1.54	%
S&P 500 Index*		2.11	%		14.11	%		(0.25	)%		3.43	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The S&P 500 Index is an unmanaged, weighted index of the stock performance of 500 industrial, transportation, utility and financial companies.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC BlackRock Large Cap Index Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from May 1, 2002 (commencement of operations) to December 31, 2011. Service Class Shares for the period from February 1, 2004 (commencement of operations) to December 31, 2011.

13

SC ^SM BLACKROCK SMALL CAP INDEX FUND

(subadvised by BlackRock Investment Management, LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC BlackRock Small Cap Index Fund (the “Fund”) returned (4.87)% and (5.09)%, respectively. The Fund’s benchmark, the Russell 2000 Index (the “Index”), returned (4.18)% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

Early in the year, domestic stocks as correlated to the world markets advanced at an uneven pace, despite political upheaval spreading across the Middle East/North Africa region and a sharp rise in oil and other commodity prices. March brought devastating natural disasters in Japan, resulting in global supply chain disruptions. Equity markets were remarkably resilient as the global economic recovery appeared to be on track and investors were gradually increasing their appetite for risk. After peaking in late April, equities experienced a sharp reversal when the heightened possibility of Greece defaulting on its debt rekindled fears about the potential impact of the sovereign debt crisis spreading throughout Europe. In the U.S., a prolonged debt ceiling debate revealed the ineffectiveness of the nation’s policymakers and ultimately led to Standard & Poor’s decision to downgrade the U.S. government’s credit rating in early August. This announcement spurred one of the most volatile periods in trading history. Stock markets across the world experienced substantial volatility on hopes and fears driven by media news flow. Equities swooned as debt problems in Europe spread to Italy and Spain, and global economic indicators grew increasingly bleak.

U.S. stocks staged a strong rebound in October as the domestic labor market improved and corporate profits continued to beat analyst expectations. Encouraging news from Europe also contributed to the rally. After months of deliberation, European leaders agreed upon a new plan to reduce Greece’s debt burden, recapitalize the region’s banks and increase the size of the euro-zone bailout fund. However, a lack of definitive details about the rescue plan soon raised doubts among investors and thwarted the rally at the end of October. In November, political instability in Greece and Italy fueled uncertainty as to whether Europe’s leaders would be able to contain the crisis. In the U.S., wrangling among lawmakers prohibited agreement on reducing the U.S. budget deficit, further undermining investors’ confidence in policymakers on both sides of the Atlantic. Market volatility softened in December with the support of global central bank actions and continued improvement in economic data.

Which sectors contributed most to the Fund’s performance results during the year ended December 31, 2011?

The Utilities sector was the strongest contributor to the Fund’s relative performance during the year, followed by the Consumer Staples sector. The Fund’s exposure to equity index futures contracts that are used as a vehicle to equitize cash in order to maintain the Fund’s overall Index exposure was also a contributor to the Fund’s performance.

Which sectors detracted most from the Fund’s performance results during the year ended December 31, 2011?

The top detractors from the Fund’s relative performance were the Information Technology, Consumer Discretionary and Energy sectors.

14

SC ^SM BLACKROCK SMALL CAP INDEX FUND (Continued)

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011^

	% of Net Assets			Industry
Healthspring, Inc.		0.3	%	Health Care Providers & Services
Netlogic Microsystems, Inc.		0.3		Semiconductors & Semiconductor Equipment
SuccessFactors, Inc.		0.3		Software
Clean Harbors, Inc.		0.3		Commercial Services & Supplies
World Fuel Services Corp.		0.3		Oil, Gas & Consumable Fuels
Jack Henry & Associates, Inc.		0.3		IT Services
American Campus Communities, Inc.		0.3		Real Estate Investment Trusts
Salix Pharmaceuticals Ltd.		0.3		Pharmaceuticals
Onyx Pharmaceuticals, Inc.		0.2		Biotechnology
BioMed Realty Trust, Inc.		0.2		Real Estate Investment Trusts

^ As a result of the Russell Index reconstitution which took place on June 24, 2011, all of the Fund’s top ten holdings changed when compared to the Fund’s top ten holdings at December 31, 2010.

15

SC ^SM BLACKROCK SMALL CAP INDEX FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock Small Cap Index Fund – Initial Class and the Russell 2000 Index

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock Small Cap Index Fund – Service Class and the Russell 2000 Index

16

SC ^SM BLACKROCK SMALL CAP INDEX FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Ten Years			Life of Fund***
SC BlackRock Small Cap Index Fund		(4.87	)%		17.43	%		(0.21	)%		4.56	%		6.57	%
Russell 2000 Index*		(4.18	)%		15.63	%		0.15	%		5.62	%		4.12	%
Service Class Shares
SC BlackRock Small Cap Index Fund		(5.09	)%		17.14	%		(0.54	)%		—			(0.39	)%
Russell 2000 Index*		(4.18	)%		15.63	%		0.15	%		—			0.81	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Russell 2000 Index measures the performance of the 2,000 companies with the smallest market capitalizations within the Russell 3000 Index (an index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization).

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC BlackRock Small Cap Index Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from July 17, 2000 (commencement of operations) to December 31, 2011. Service Class Shares for the period from May 1, 2006 (commencement of operations) to December 31, 2011.

17

SC ^SM GOLDMAN SACHS MID CAP VALUE FUND

(subadvised by Goldman Sachs Asset Management, L.P.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC Goldman Sachs Mid Cap Value Fund (the “Fund”) returned 2.47% and 2.34%, respectively, outperforming the benchmark, the Russell Midcap Value Index (the “Index”), which returned (1.38)% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

Despite significant volatility during the year, U.S. equity markets ended 2011 close to where they started the year. The S&P 500 Index returned 2.11% for the year, with the help of dividends, while price returns alone were virtually 0%, the smallest percentage change since 1947. Reflecting optimism that the domestic economy was improving, the S&P 500 Index started the year with the best first quarter in more than a decade and ended with a fourth quarter gain of 11.8%, after adding 1.0% in December. However, the sharp decline in the markets during the third quarter mostly offset these gains.

Overall, global stock markets were positive during the first half of the year. The majority of gains were generated during the first calendar quarter of 2011 when economic data remained relatively strong. However, as the quarter progressed, risks to the global economy proliferated. Political unrest emerged in Tunisia, followed by Egypt and the broader Middle East and North African region. Oil prices peaked around $125 per barrel on concerns about potential supply disruptions. In March, Japan was struck by the Tohoku earthquake and tsunami, leading to a nuclear emergency at the Fukushima Daiichi plant. In Europe, as policymakers struggled to avert debt restructures, Ireland and Portugal joined Greece as recipients of European Union bailouts. In April, the European Central Bank delivered its first interest-rate hike since the financial crisis in response to escalating inflation pressures.

The global equity markets experienced a much more volatile second quarter. Investors generally remained defensive, but the economic headwinds had begun to shift. Oil prices started to moderate in April, helped in June, by the International Energy Agency’s agreement to release global strategic reserves. Expectations ran high for strong corporate profit growth. Japanese industrial output improved substantially toward the end of the period, and the subsequent boost in U.S. manufacturing figures suggested that Japan’s recovery, even at these early stages, is repairing significant gaps in the global supply chain.

In August, Standard & Poor’s downgraded U.S. Treasury debt from AAA for the first time in the history of its ratings. Toward the end of September, the financial markets were further shaken when the Federal Reserve Board announced its plan for additional monetary easing due to general weakness in the labor market and lackluster consumer spending growth. Furthermore, the prospect of contagion from Europe’s debt crisis and the lack of agreement on a solution weighed on global equity markets during the period. However, U.S. equities rallied back sharply in October following a preliminary plan for the Eurozone and the announcement of a relatively strong third quarter Gross Domestic Product (GDP) growth number.

Specifically in the U.S. Value segment of the market, 2011 was marked by violent reversals roughly broken out into two periods: January to April, which was largely a continuation of the rally that extended from March 2009, and then May to December, which was a sudden de-risking, down market. During this latter part of the year, traditionally defensive Utilities and Consumer Staples were the only positive performing sectors in the Index, whereas more cyclical sectors experienced steep declines.

18

SC ^SM GOLDMAN SACHS MID CAP VALUE FUND (Continued)

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the year ended December 31, 2011?

Within sectors, stock selection was positive overall during the year. An underweight position in the Financials sector, as well as an overweight position in the Consumer Staples sector, proved to be the Fund’s most successful positions relative to the benchmark, and in contrast, an overweight position in the Energy sector, as well as an underweight in the Materials sector were least successful allocations relative to the benchmark for the year.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

Returns to the investment themes were positive overall. Profitability contributed the most to excess returns, far exceeding Quality, Management, Sentiment and Momentum. Conversely, Valuation detracted from relative performance for the period. Valuation and Profitability summarize results from the balance sheet and income statement, whereas Quality and Management measure the operating, investing, and financing activities from a company’s statement of cash flows. Momentum measures information about a wide variety of investment-relevant events that are sufficiently complex, in many cases, that it takes time for the market to fully appreciate their implications for security values. The sixth theme, Sentiment, is based on the detailed research of stock analysts, research that includes the evaluation of financial statements, discussions with management, and the study of industry trends. Sentiment allows us to incorporate a wide range of qualitative information on companies and their industries into our quantitative evaluation of stocks.

Overweight positions in tobacco company Lorillard, Inc., media company DISH Network Corp., and Real Estate Investment Trust Rayonier, Inc. were the largest positive contributors to the Fund’s relative performance. The Fund was overweight Lorillard, Inc. and Rayonier, Inc. due to our positive views on favorable profit margins and the operating efficiency of these companies. The Fund was overweight DISH Network Corp. and also Rayonier, Inc. as these companies used capital to enhance shareholder value.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

Overweight positions in energy company Exterran Holdings, Inc., manufacturer of semiconductors Vishay Intertechnology, Inc. and chemical company CF Industries Holdings, Inc. were among the greatest detractors from relative performance for the year. The Fund was overweight Exterran Holdings, Inc. as we believe it was inexpensive relative to industry peers. The Fund was overweight Vishay Intertechnology, Inc. based upon perceived value in strong management decisions during the year and the Fund was overweight CF Industries Holdings, Inc. based upon the Fund’s assessment of this company’s sustainable sources of earnings.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

There were no material changes to the December 31, 2011 top ten holdings list relative to the December 31, 2010 top ten holdings list.

How was the Fund positioned relative to its benchmark index at the end of December 31, 2011?

As of December 31, 2011, the Fund was overweight Consumer Staples, Healthcare, Energy, Information Technology and the Financials sectors relative to the Index. In contrast, the Fund was underweight in the Materials, Industrials, Consumer Discretionary and Utilities sectors. The Fund was also in a neutral position in the Telecommunication Services sector.

19

SC ^SM GOLDMAN SACHS MID CAP VALUE FUND (Continued)

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Lorillard, Inc.		4.6	%	Tobacco
Valero Energy Corp.		2.8		Oil, Gas & Consumable Fuels
Rayonier, Inc.		2.6		Real Estate Investment Trusts
AvalonBay Communities, Inc.		2.2		Real Estate Investment Trusts
NiSource, Inc.		2.0		Multi-Utilities
Humana, Inc.		1.9		Health Care Providers & Services
Integrys Energy Group, Inc.		1.8		Multi-Utilities
Tesoro Corp.		1.8		Oil, Gas & Consumable Fuels
Tyson Foods, Inc., Class A		1.6		Food Products
DISH Network Corp., Class A		1.5		Media

20

SC ^SM GOLDMAN SACHS MID CAP VALUE FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Goldman Sachs Mid Cap Value Fund – Initial Class and the Russell Midcap Value Index

Comparison of Change in Value of a $10,000 Investment in the SC Goldman Sachs Mid Cap Value Fund – Service Class and the Russell Midcap Value Index

21

SC ^SM GOLDMAN SACHS MID CAP VALUE FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Goldman Sachs Mid Cap Value Fund–Initial Class Shares		2.47	%		16.30	%		2.52	%
SC Goldman Sachs Mid Cap Value Fund–Service Class Shares		2.34	%		15.99	%		2.26	%
Russell Midcap Value Index*		(1.38	)%		18.19	%		3.26	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Russell Midcap Value Index tracks the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Value Index companies with lower price-to-book ratios and lower forecasted growth values.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges, performance numbers would be lower. The value of an investment in the SC Goldman Sachs Mid Cap Value Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from March 7, 2008 (commencement of operations) to December 31, 2011.

22

SC ^SM COLUMBIA SMALL CAP VALUE FUND

(subadvised by Columbia Management Investment Advisers, LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC Columbia Small Cap Value Fund (the “Fund”) returned (6.32)% and (6.50)%, respectively, underperforming the benchmark, the Russell 2000 Value Index (the “Index”), which returned (5.50)% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

2011 was characterized by surprises and challenges, not limited to, the political unrest in the Middle East, Japan’s violent earthquake, the U.S. and European debt woes and general political gridlock. The impact of natural disasters had a meaningful impact to the global supply chain, slowing the pace of economic growth in the second and third quarters. Lackluster economic data signaled a loss of momentum and affected both consumer and investor confidence leading to a significant market correction in the 3^rd quarter. Housing continued to have structural impediments to a full recovery with foreclosures still creating additional supply, causing prices to weaken in the face of record affordability. Conflicting economic data was reflected in a series of disappointing new jobs reports for the majority of the year, supported by rising unemployment rates, which weighed on consumer confidence; however the most recent ‘average number of jobs added’ report over the prior three-month period showed signs of modest progress; albeit contrary to manufacturing activity that slowed as supply disruptions and adverse weather conditions hit the Midwest, where much of U.S. manufacturing activity is located.

Against this backdrop, the U.S. equity markets reflected significant volatility throughout the year. As commodity prices declined early in April and expectations ran high for strong corporate profit growth, stock prices rose to a three-year high. Economic data weakened in May and June, and concerns about Greece’s debt crisis resurfaced and pressured the U.S. stock market. Economic momentum slowed in the third quarter, raising the odds of recession and making the U.S. economy even more susceptible to financial shocks. Inflation, a continued weak job market, rising energy prices and, to a lesser degree, rising food prices more than offset a modest increase in personal income. China’s manufacturing engine showed signs of slowing, and yet despite these impediments, U.S. corporations reported relatively strong earnings, with many reporting record profits.

The current low interest rate environment has distorted some market dynamics. The extended pledge by the Federal Reserve Bank to hold U.S. Treasury yields low, led investors to place a substantial premium on dividend yield. The low interest rate environment also affects the balance sheet quality spreads of companies as companies with higher levels of debt do not suffer larger interest expenses. As such, there is very little distinction observed between higher or lower quality balance sheets. This appears to be temporary, and eventually higher borrowing costs will once again separate higher quality balance sheet companies from those with poor balance sheets. Overall the major U.S. stock market indices registered virtually flat returns, and small cap value underperformed the major markets as the uncertainty in the markets led investors to disfavor “risk” assets.

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the year ended December 31, 2011?

The Fund’s underweight positions in the Utility sector and the REIT industry contributed to relative underperformance as the Utility sector was the best performing sector within the Index. Investors sought out lower volatility, and the Utility sector often receives benefits during these times of higher volatility. However, the Fund believed that the Utility sector and REITs were overvalued for non-fundamental reasons; their high dividend yields served as a replacement for traditional fixed income investment. Also, fundamental headwinds

23

SC ^SM COLUMBIA SMALL CAP VALUE FUND (Continued)

for the REITs sector included a potential to have the allowed return reduced by regulators given the reduction in long-term interest rates. The Fund’s positioning within REITs has focused on supply and demand imbalances, and in particular, with the lack of new supply of hotels for the next three years, the Fund tilted its exposure toward hotels. Given the macroeconomic uncertainty, the hotel exposure underperformed the more traditional REIT segment.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

Stocks that contributed most to the Fund’s absolute performance during the year were ViroPharma Inc., Rent-A-Center, Inc., HealthSpring, Inc., and International Coal Group, Inc. ViroPharma Inc., a pharmaceutical company, contributed to performance as the company’s new drug Cinryze had a quicker uptake than what was previously expected and another drug Vancocin had a patent potentially extended for another 3 years with a new label. Both of these announcements led to upside cash flow generation when compared to previous expectations, benefiting the stock in 2011. Rent-A-Center, Inc. (RAC), a top ten holding of the Fund in 2010 and 2011, had strong performance, driven by strong execution in the company’s core rent-to-own business as consumers continue to require unconventional credit as well as innovative new offerings such as RAC acceptance, a kiosk that allows consumers previously denied credit during major purchases, such as furniture, to have the ability to apply for credit through Rent-A-Center, Inc.

Two acquisitions also helped the Fund’s absolute performance for the year. One of the Fund’s previous top ten holdings, HealthSpring, Inc., announced its intention to be acquired by Cigna Corp. at a premium for $55 per share in cash, which contributed significantly to the Fund’s absolute performance during the year. International Coal Group, Inc. was also acquired by Arch Coal, Inc. for a premium further adding to the Fund’s absolute performance for the year.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

Economically sensitive positions were the worst performers in the Fund during the year. Two positions exposed to industrial metals, OM Group, Inc. and Thompson Creek Metals Co., Inc. had poor performance for the year as the end of the second round of quantitative easing (U.S. Treasury Bond Purchases Program by the Federal Reserve) and a weakening economy detracted from base metal pricing. The lower prices drove lower valuations. OfficeMax, Inc., a specialty retailer, also had a difficult year as white collar employment growth disappointed and the result was a detractor for this office supply company.

Did the fund experience major changes to its top ten holdings during the year ended December 31, 2011?

Four of the Fund’s top ten holdings as of December 31, 2010 remained among the Fund’s top ten holdings as of December 31, 2011. One of the Fund’s previous top ten holdings, Healthspring, Inc., had announced its intention to be acquired by Cigna Corp. and the Fund exited the position. Thompson Creek Metals Co., Inc., Global Indemnity PLC, First Citizens Bancshares, Inc., Fresh Del Monte Produce, Inc. and Knight Capital Group, Inc. all remained as holdings of the Fund at December 31, 2011, but fell out of the top ten holdings due to market fluctuations and/or a reduction in position size.

New top ten holdings include REITs Sunstone Hotels Investors, Inc. and Starwood Property Trust, Inc., regional banks Hancock Holding Co. and FirstMerit Corp., utility company Southwest Gas Corp. and machinery maker Robbins & Myers, Inc.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At December 31, 2011, the Fund was positioned with an economically-sensitive bias; an overweight in the Technology, Industrials and Materials sectors, and underweight to the Financials and Utilities sectors. The Fund was also underweight in the Consumer Discretionary and Consumer Staples sectors. This is mainly due to limited

24

SC ^SM COLUMBIA SMALL CAP VALUE FUND (Continued)

investment options of consumer companies with strong free cash flow yields and strong balance sheets that meet the Fund’s valuation criteria. The Fund continues to have an overweight exposure to the Health Care sector, with conviction and continued attempt to find attractive health care stocks, both on a valuation and a fundamental basis. At the end of the year, the Fund was weighted toward higher-quality companies, with stable positive earnings, low volatility when compared to their peers, and a consistent value bias.

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Rent-A-Center, Inc.		1.1	%	Specialty Retail
Greif, Inc., Class A		0.9		Containers & Packaging
OM Group, Inc.		0.8		Chemicals
Hancock Holding Co.		0.8		Commercial Banks
Robbins & Myers, Inc.		0.8		Machinery
Starwood Property Trust, Inc.		0.8		Real Estate Investment Trusts
DiamondRock Hospitality Co.		0.7		Real Estate Investment Trusts
FirstMerit Corp.		0.7		Commercial Banks
Southwest Gas Corp.		0.7		Gas Utilities
Sunstone Hotel Investors, Inc.		0.7		Real Estate Investment Trusts

25

SC ^SM COLUMBIA SMALL CAP VALUE FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Columbia Small Cap Value Fund – Initial Class and the Russell 2000 Value Index

Comparison of Change in Value of a $10,000 Investment in the SC Columbia Small Cap Value Fund – Service Class and the Russell 2000 Value Index

26

SC ^SM COLUMBIA SMALL CAP VALUE FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Columbia Small Cap Value Fund–Initial Class Shares		(6.32	)%		14.14	%		5.43	%
SC Columbia Small Cap Value Fund–Service Class Shares		(6.50	)%		13.84	%		5.15	%
Russell 2000 Value Index*		(5.50	)%		12.36	%		1.97	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Russell 2000 Value Index tracks the performance of the small value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Columbia Small Cap Value Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

27

SC ^SM DAVIS VENTURE VALUE FUND

(subadvised by Davis Selected Advisers, L.P.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC Davis Venture Value Fund (the “Fund”) returned (3.77)% and (4.02)%, respectively, underperforming the benchmark, the S&P 500 Index (the “Index”), which returned 2.11% for the same period.

What economic and market factors most influenced the equity markets as a whole during the period ended December 31, 2011?

The unemployment rate in the U.S. began the year at 9.1% and declined to end the year at 8.5%. The 10-Year U.S. Treasury yield began 2011 slightly over 3% and ended the year at about 2%.

While the Index value increased slightly over the year, individual sector performance varied widely throughout the Index. The sectors within the Index that provided the strongest performance during the year were Utilities, Consumer Staples, and Health Care. The sectors that were the weakest performers during the year were Financials, Materials, and Industrials.

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the period ended December 31, 2011?

The Fund’s relative performance benefited the most by being overweight in the strongly performing Consumer Staples sector. Additionally, the Fund’s stock selection within the sector outperformed consumer staples companies included in the Index.

The Fund’s overweight position in the poorly performing Financial sector detracted from relative performance. However, the Fund’s stock selection within the sector significantly outperformed the financial companies included in the Index, largely offsetting the decline in relative performance due to the Fund’s sector overweight.

Other important factors detracting from the Fund’s performance included the Fund’s stock selection within the Materials and Energy sectors, which underperformed their Index peers, and foreign companies’ underperformance in comparison to the domestic companies held by the Fund.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

The Fund’s absolute performance benefitted the most from its allocation to two Consumer Staples companies, CVS Caremark Corp. and Costco Wholesale Corp., Financial company American Express Co., Industrial company Iron Mountain, Inc. and Information Technology company, Google, Inc.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

The companies which detracted most from the Fund’s performance were Financial company Bank of New York Mellon Corp., Materials sector companies Sino-Forest Corp., and Sealed Air Corp., along with two Energy companies, Devon Energy Corp. and Canadian Natural Resources, Ltd.

Sino-Forest Corp. was the single most important detractor from the Fund’s performance as the company’s stock price declined by approximately 98.5% during the year, detracting from overall Fund performance by approximately 1.5%. Listed in Toronto but operating predominantly in mainland China, Sino-Forest Corp. is a commercial timber plantation manager. In August 2011, the Ontario Securities Commission halted trading in Sino-Forest Corp. common stock. Continuing developments, including the failure to release financial information

28

SC ^SM DAVIS VENTURE VALUE FUND (Continued)

on a timely basis and breaches under credit agreements, brought the value of this company now to zero, down from 34 cents per share at December 31, 2011. The Fund’s subadviser, Davis Selected Advisers, L.P., continues to monitor and evaluate the situation.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

There were no material changes to the Fund’s December 31, 2011 top ten holdings list relative to the December 31, 2010 top ten holdings list.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

The Fund’s portfolio is positioned using a bottom-up stock selection process rather than a top down sector biased process and employs an investment strategy to perform extensive research to identify durable companies at a discount to their intrinsic values and to hold them for the long term. At December 31, 2011, the Fund was overweight in Financials, Consumer Staples, Energy, and Materials sectors and underweight in the Industrials, Consumer Discretionary, Information Technology, Telecommunications Services, Health Care and Utilities sectors.

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

29

SC ^SM DAVIS VENTURE VALUE FUND (Continued)

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Costco Wholesale Corp.		5.5	%	Food & Staples Retailing
Wells Fargo & Co.		5.4		Commercial Banks
CVS Caremark Corp.		5.3		Food & Staples Retailing
American Express Co.		5.2		Consumer Finance
EOG Resources, Inc.		4.3		Oil, Gas & Consumable Fuels
Bank of New York Mellon Corp.		4.1		Capital Markets
Google, Inc., Class A		3.2		Internet Software & Services
Loews Corp.		3.1		Insurance
Canadian Natural Resources, Ltd.		3.0		Oil, Gas & Consumable Fuels
The Progressive Corp.		2.9		Insurance

Comparison of Change in Value of a $10,000 Investment in the SC Davis Venture Value Fund – Initial Class and the S&P 500 Index

Comparison of Change in Value of a $10,000 Investment in the SC Davis Venture Value Fund – Service Class and the S&P 500 Index

30

SC ^SM DAVIS VENTURE VALUE FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Ten Years			Life of Fund***
SC Davis Venture Value Fund		(3.77	)%		12.03	%		(1.84	)%		3.50	%		1.92	%
S&P 500 Index*		2.11	%		14.11	%		(0.25	)%		2.92	%		0.28	%
Service Class Shares
SC Davis Venture Value Fund		(4.02	)%		11.74	%		(2.08	)%		—			(0.23	)%
S&P 500 Index*		2.11	%		14.11	%		(0.25	)%		—			1.41	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The S&P 500 Index is a weighted index of the stock performance of 500 industrial, transportation, utility and financial companies.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Davis Venture Value Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from July 17, 2000 (commencement of operations) to December 31, 2011. Service Class Shares for the period from May 1, 2006 (commencement of operations) to December 31, 2011.

31

SC ^SM INVESCO SMALL CAP GROWTH FUND

(subadvised by Invesco Advisers, Inc.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC Invesco Small Cap Growth Fund (the “Fund”) returned (0.92)% and (1.20)%, respectively, outperforming the benchmark, the Russell 2000 Growth Index (the “Index”), which returned (2.91)% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

The U.S Federal Reserve’s second round of quantitative easing or QE2 (U.S. Treasury Bond purchases) fueled the equity markets at the outset of 2011, which continued this upward trend until the spring of 2011 which brought increased volatility and significant macroeconomic distortions due to civil unrest in Egypt and Libya, flooding in Australia and a devastating earthquake and tsunami in Japan. Corporate earnings remained strong with largely positive surprises, but were often overshadowed by investor concerns about continuing high unemployment and weak housing data. Although markets stabilized and were generally in positive territory through the summer, major equity indexes declined precipitously in August as the U.S. government struggled to raise the nation’s debt ceiling. Despite an eventual agreement between the White House and Congress, credit rating agency Standard & Poor’s announced the first-ever downgrade of long-term U.S. government debt. Uncertainty created by the downgrade combined with the continuing saga surrounding the debt crisis in the Eurozone have reignited fears of a global recession. Despite the occasional signs of sustained but muted growth, these macroeconomic factors continued to weigh on markets through the end of 2011.

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the year ended December 31, 2011?

There were no significant sector under/over weights that materially affected Fund performance relative to the Index during the year ended December 31, 2011. Security selection was the primary driver of relative performance during the year. The Fund’s outperformance compared to the Index was driven largely by stock selection in several sectors, including the Consumer Discretionary, Health Care, Materials and Consumer Staples sectors.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

The Fund’s top five contributors to absolute performance were Frontier Oil Corp., Valeant Pharmaceuticals International Inc., TransDigm Group Inc., Nu Skin Enterprises Inc. and RightNow Technologies Inc.

Midwest oil refiner Frontier Oil Corp. made a strong contribution to performance benefitting from a merger with Holly Corp. Valeant Pharmaceuticals International Inc., a maker of pharmaceuticals in the neurology, dermatology and branded generics segments, benefited from strong demand for its products, as well as cost savings achieved from a significant acquisition, resulting in revenue and earnings growth. The Fund’s position was sold during the year as the company reached our price target. Aircraft components maker TransDigm Group Inc. was a key contributor to performance during the year. The company benefited from solid demand for the aircraft components it manufactures for commercial and military customers. Nu Skin Enterprises Inc. is a global direct selling company that develops and distributes personal care products and nutritional supplements that are sold worldwide under the Nu Skin and Pharmanex brands. The company is in the early stages of a multi-year product cycle launch which had resulted in strong results in both the skin care and nutritional segments. In October, Oracle Corp. announced that it had entered into an agreement to acquire RightNow Technologies Inc., a

leading provider of cloud-based customer service which helps organizations deliver exceptional customer

32

SC ^SM INVESCO SMALL CAP GROWTH FUND (Continued)

experiences across call centers, the web and social networks. The announcement of the acquisition resulted in significant share price appreciation for RightNow Technologies, Inc. and as of December 31, 2011 the acquisition was in-process and RightNowTechnologies, Inc. remained as a holding by the Fund.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

The Fund’s top five detractors from absolute performance were James River Coal Co., Meritor Inc., Carrizo Oil & Gas Inc., Terex Corp. and Diamond Foods Inc.

There were production slowdowns in South Africa and Australia which offered an opportunity for coal miner, James River Coal Co., to gain market share, until the global slowdown for steam coal across all thermal coal markets caught up with the company. Meritor, Inc., a manufacturer of parts for medium and heavy duty trucks, trailers and light vehicles, had weak performance as profit margins narrowed due to rising steel costs during the period. Carrizo Oil & Gas Inc. is an oil and gas exploration and production company with most revenues coming from natural gas. Depressed natural gas prices forced the company to shift its investment focus to crude oil and liquid natural gas projects, but delays in its North Sea project and lower-than-expected results in some newer projects hurt the company and resulted in the Fund selling its position. Terex Corp., a leading global manufacturer of non-residential construction equipment, declined on a combination of fears arising from credit problems in Europe, an unclear outlook for non-residential construction, and an environment of constrained bank lending. Performance of nut and snack products maker Diamond Foods Inc. was hurt by an external communication accusing it of improper accounting issues with respect to walnut stock accounting. This accusation ultimately delayed their acquisition of Pringle from The Proctor & Gamble Co., costing the company potential higher earnings and margins.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

TransDigm Group, Inc. was the Fund’s only top ten holding as of December 31, 2010 that remained among the Fund’s top ten holdings at December 31, 2011. Several top ten holdings as of December 31, 2010 remained as holdings by the Fund at December 31, 2011, but fell out of the top ten holdings due to market fluctuation and/or a reduction in position size. Regal-Beloit Corp. and P.F. Chang’s China Bistro, Inc. were positions among the Fund’s top ten holdings as of December 31, 2010 that were completely sold during the year. There were several holdings that were held by the Fund as of December 31, 2010 that were not in the top ten holdings, however, during the course of the year, their position size expanded due to market fluctuation and/or additional purchases, such that they moved into the top ten holdings as of December 31, 2011.

Salix Pharmaceuticals Ltd. and RightNow Technologies, Inc. are the two holdings in the top ten holdings list as of December 31, 2011 that were newly added to the Fund during the year.

How was the Fund positioned relative to its benchmark index at the end of December 31, 2011?

The Consumer Discretionary sector remained the largest overweight position within the Fund. The Health Care and Financials sectors remained the largest relative underweights due to their economic sensitivity and risk from government policy. The Fund maintains a “barbell” strategy in positioning that provides exposure to cyclical growth opportunities as well as more defensive areas of the market.

33

SC ^SM INVESCO SMALL CAP GROWTH FUND (Continued)

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
TransDigm Group, Inc.		2.0	%	Aerospace & Defense
BioMarin Pharmaceutical, Inc.		1.2		Biotechnology
Nu Skin Enterprises, Inc.		1.2		Personal Products
Costar Group, Inc.		1.2		Professional Services
Zoll Medical Corp.		1.1		Health Care Equipment & Supplies
Wabtec Corp.		1.1		Machinery
Salix Pharmaceuticals Ltd.		1.1		Pharmaceuticals
ProAssurance Corp.		1.0		Insurance
Commvault Systems, Inc.		1.0		Software
RightNow Technologies, Inc.		1.0		Internet Software & Services

34

SC ^SM INVESCO SMALL CAP GROWTH FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Invesco Small Cap Growth Fund – Initial Class and the Russell 2000 Growth Index

Comparison of Change in Value of a $10,000 Investment in the SC Invesco Small Cap Growth Fund – Service Class and the Russell 2000 Growth Index

35

SC ^SM INVESCO SMALL CAP GROWTH FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Invesco Small Cap Growth Fund–Initial Class Shares		(0.92	)%		18.07	%		6.73	%
SC Invesco Small Cap Growth Fund–Service Class Shares		(1.20	)%		17.78	%		6.45	%
Russell 2000 Growth Index*		(2.91	)%		19.00	%		6.38	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Invesco Small Cap Growth Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

36

SC ^SM LORD ABBETT GROWTH & INCOME FUND

(subadvised by Lord, Abbett & Co. LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC Lord Abbett Growth & Income Fund (the “Fund”) returned (6.15)% and (6.40)%, respectively, underperforming the benchmark, the Russell 1000 Value Index (the “Index”), which returned 0.39% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

The overall trend of equity markets reported positive returns during the first half of 2011, before declining in the latter part of 2011. Inconsistent growth in the economy, turmoil due to the sovereign debt crisis in Europe, and concerns about the fiscal condition of the U.S. federal government all weighed on the market’s performance.

The U.S. economy continued to expand, but March’s earthquake and tsunami in Japan, disrupted supply chains for some U.S. manufacturers, hampering economic growth in the first six months of the year. Real gross domestic product rose just 0.4% in the first quarter and 1.3% in the second quarter, while the economy expanded at a 1.8% annualized rate in the third quarter. Among the stronger contributors to this growth were personal consumption expenditures, business investment, and exports. Industrial production increased, but capacity utilization remained below average. The manufacturing sector continued to advance, as indicated by the Institute for Supply Management Manufacturing Index, although the sector weakened somewhat as the year progressed. Banks increased their lending to the business sector, but individual consumers continued to reduce their debt. Personal savings as a percentage of disposable income also declined.

The consumer segment of the economy remained relatively robust, despite high unemployment and continued weakness in the housing market, with retail sales growing approximately 8% year over year. Despite this, the overall weakness of the recovery led the Federal Reserve to suggest that its key interest rate could remain at historically low levels through at least mid-2013.

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the year ended December 31, 2011?

Overall, the residual sector allocation, resulting from the stock selection process, contributed positively to the relative performance of the Fund during the year. The Fund’s underweight position within the poor performing Financials sector was a significant contributor to relative performance. The Fund’s overweight within the Health Care sector also contributed positively to relative performance. Detracting from relative performance was the Fund’s significant underweight within the Utilities sector as this was the best performing sector within the Index. The Fund’s overweight position within the Materials sector also detracted from relative performance.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

Among the most significant contributors to the Fund’s overall absolute performance during the year were UnitedHealth Group within the Health Care sector and El Paso Corp. within the Energy sector. Shares of UnitedHealth Group, Inc., a health care company, rallied after the company announced its plan to acquire XLHealth Corp., a special needs Medicare health plan provider. This acquisition was expected to benefit UnitedHealth Group, Inc. and more broadly diversify the company’s business mix. In addition, shares of El Paso Corp., which owns and operates the largest natural gas pipeline system in North America, rose after the firm agreed to be acquired by Kinder Morgan, Inc.

37

SC ^SM LORD ABBETT GROWTH & INCOME FUND (Continued)

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

The most significant detractors to the Fund’s overall absolute performance during the year were Ford Motor Co. within the Consumer Discretionary sector and Teva Pharmaceuticals Industries, Ltd. within the Healthcare sector. The share price of auto manufacturer Ford Motor Co. suffered as the company reported that higher input costs were expected to dampen margin improvement over the coming quarters. Shares of Teva Pharmaceuticals Industries, Ltd., a global Pharmaceuticals company, declined due to lower-than-expected generic drug sales in North America as a result of a slowdown in new drug launches.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

The Fund experienced significant changes to the top ten holdings during the year ended December 31, 2011. Five of the 2010 top ten holdings remained in the category as of December 31, 2011. Of the five new securities included with the top ten, all were in the Fund’s portfolio at the beginning of the year. Of those that left the top ten holdings list, the Fund sold out of the entire position of two of those stocks, The Goldman Sachs Group, Inc. and Citigroup, Inc. due to investor’s concerns over the financial market turmoil and due to anticipated instability in earnings power.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At December 31, 2011, the Fund was positioned for continued moderate economic growth in the U.S., with emphasis on companies that are believed to be well-positioned financially and competitively to drive future earnings. The Energy sector was the Fund’s largest overweight, given continued expectations for favorable supply and demand dynamics. The second largest overweight in the Fund was the Health Care sector, mainly in the health care providers and services segment. The Fund’s exposure to the Materials sector was reduced, but remained an overweight in the Fund. The Utilities and Financials sectors were the largest underweights in the Fund. The Information Technology sector continued to be underweight as the Fund’s exposure to the IT services and software segments had been reduced.

38

SC ^SM LORD ABBETT GROWTH & INCOME FUND (Continued)

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Chevron Corp.		2.8	%	Oil, Gas & Consumable Fuels
Berkshire Hathaway, Inc., Class B		2.8		Insurance
Exxon Mobil Corp.		2.7		Oil, Gas & Consumable Fuels
Teva Pharmaceutical Industries, Ltd. ADR		2.6		Pharmaceuticals
Anadarko Petroleum Corp.		2.6		Oil, Gas & Consumable Fuels
PNC Financial Services Group, Inc.		2.6		Commercial Banks
Archer-Daniels-Midland Co.		2.5		Food Products
Time Warner, Inc.		2.5		Media
State Street Corp.		2.3		Capital Markets
JP Morgan Chase & Co.		2.3		Diversified Financial Services

39

SC ^SM LORD ABBETT GROWTH & INCOME FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Lord Abbett Growth & Income Fund – Initial Class and the Russell 1000 Value Index

Comparison of Change in Value of a $10,000 Investment in the SC Lord Abbett Growth & Income Fund – Service Class and the Russell 1000 Value Index

40

SC ^SM LORD ABBETT GROWTH & INCOME FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Lord Abbett Growth & Income Fund–Initial Class Shares		(6.15	)%		9.03	%		(1.99	)%
SC Lord Abbett Growth & Income Fund–Service Class Shares		(6.40	)%		8.72	%		(2.26	)%
Russell 1000 Value Index*		0.39	%		11.55	%		(0.57	)%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Russell 1000 Index measures the performance of the 1,000 largest companies in the Russell 3000 Index, which measures the performance of the 3,000 largest U.S. companies based on total market capitalization. The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratio and lower forecasted growth values.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Lord Abbett Growth & Income Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from March 7, 2008 (commencement of operations) to December 31, 2011.

41

SC ^SM WMC BLUE CHIP MID CAP FUND

(subadvised by Wellington Management Company, LLP)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC WMC Blue Chip Mid Cap Fund (the “Fund”) returned (7.78)% and (8.03)%, respectively, underperforming the benchmark, the S&P MidCap 400 Index (the “Index”), which returned (1.73)% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

2011 was yet another extremely volatile year for equity markets. Global equities started the year on a strong note and continued to move higher in the first quarter of 2011, driven by investors’ enthusiasm for additional government debt purchases by the U.S. Federal Reserve, the extension of tax cuts in the U.S., strong earnings growth, and generally improving economic data. This enthusiasm reversed later in the year, however, as concerns surfaced that the global economy could slip back into recession, resulting in a rapid decline in equity markets. Fears about sovereign debt and solvency in the eurozone, slowing economic expansion in China and the U.S., and uncertainty about the sustainability of corporate earnings growth combined to produce an extremely volatile stock market, and return correlations among stocks spiked as investors shed risk and fled to safety. Markets ended the year on a positive note as the final month showed encouraging employment and manufacturing data in the U.S.

Large cap stocks led mid and small cap stocks during the year, as measured by the S&P 500, S&P MidCap 400, and Russell 2000 indices, respectively. Five out of ten sectors within the Index posted positive gains during the year. Consumer Staples and Utilities had the highest gains, while Information Technology and Energy had the greatest declines for the year.

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the year ended December 31, 2011?

Sector positioning, a result of bottom-up security selection, detracted from benchmark-relative returns during the year, primarily due to underweight allocations to the Consumer Staples and Utilities sectors, and an overweight allocation to the Information Technology sector. An underweight to the Financials sector and an overweight to the Health Care sector contributed positively to returns.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

Top relative contributors included overweight positions in Regeneron Pharmaceuticals, Inc. and Tempur-Pedic International Inc. Shares of Regeneron Pharmaceuticals, Inc., a New York state-based biopharmaceuticals company, rose as expectations for the success of Eylea, a drug for macular degeneration treatment, increased. In addition to Eylea, the Company has a compelling antibody platform that positioned it well in drug discovery. Shares of Tempur-Pedic International Inc., a leading manufacturer of premium mattresses and pillows, benefitted as the company’s sales and profits exceeded expectations and the firm made progress in enhancing its product range and consumer marketing efforts.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

Top detractors from relative performance included overweight positions in Alpha Natural Resources, Inc., PACCAR, Inc. and Netflix, Inc. Metallurgical and thermal coal producer Alpha Natural Resources, Inc. shares declined as reduced shipment guidance raised investor concerns after a slowdown in demand from China for coal products. Shares of PACCAR, Inc., a light, medium, and heavy duty truck manufacturer, disappointed based on

42

SC ^SM WMC BLUE CHIP MID CAP FUND (Continued)

investor concern about rising input prices and exposure to European markets. Shares of internet-based subscription digital streaming service provider Netflix, Inc. fell due to a pricing structure change that angered many members.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

Overall, four of the top ten holdings from December 31, 2010 remained in the top ten holdings as of December 31, 2011, including VeriSign, Inc., M&T Bank Corp., Watson Pharmaceuticals, Inc., and Harley-Davidson, Inc. The Fund still holds three more securities that were in the prior year top ten, although the positions are no longer significant enough to classify as top ten holdings. The Fund fully sold out of three other 2010 top ten holdings.

The Fund’s top ten holdings will change as a result of changes in the investment thesis and/or price performance. Additionally, in times of higher volatility it is not unusual to see a shift in the top ten. As a result, the composition of the Fund’s top ten holdings has changed since year end 2010, but these changes were not due to material changes in the implementation of the Fund’s investment strategy, but rather a result of the Fund’s bottom-up investment approach.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

Sector exposure is predominantly a byproduct of stock selection. At the end of the year, the Fund’s largest overweight positions relative to the Index were to the Health Care, Information Technology, and Energy sectors, while the largest underweight positions were to the Financials, Consumer Discretionary, and Materials sectors.

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

43

SC ^SM WMC BLUE CHIP MID CAP FUND (Continued)

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
VeriSign, Inc.		2.2	%	Internet Software & Services
Genpact, Ltd.		2.0		IT Services
M&T Bank Corp.		1.9		Commercial Banks
Mylan, Inc.		1.9		Pharmaceuticals
The Western Union Co.		1.8		IT Services
Robert Half International, Inc.		1.7		Professional Services
Pioneer Natural Resources Co.		1.7		Oil, Gas & Consumable Fuels
NVR, Inc.		1.7		Household Durables
Watson Pharmaceuticals, Inc.		1.7		Pharmaceuticals
Harley-Davidson, Inc.		1.6		Automobiles

Comparison of Change in Value of a $10,000 Investment in the SC WMC Blue Chip Mid Cap Fund – Initial Class and the S&P MidCap 400 Index

Comparison of Change in Value of a $10,000 Investment in the SC WMC Blue Chip Mid Cap Fund – Service Class and the S&P MidCap 400 Index

44

SC ^SM WMC BLUE CHIP MID CAP FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Ten Years			Life of Fund***
SC WMC Blue Chip Mid Cap Fund		(7.78	)%		13.89	%		2.03	%		6.80	%		9.22	%
S&P MidCap 400 Index*		(1.73	)%		19.57	%		3.32	%		7.04	%		8.10	%
Service Class Shares
SC WMC Blue Chip Mid Cap Fund		(8.03	)%		13.64	%		—			—			2.16	%
S&P MidCap 400 Index*		(1.73	)%		19.57	%		—			—			5.50	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The S&P MidCap 400 Index is a market cap weighted mid cap index broadly representing the mid cap market in the United States.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC WMC Blue Chip Mid Cap Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from September 1, 1999 (commencement of operations) to December 31, 2011. Service Class Shares for the period from March 7, 2008 (commencement of operations) to December 31, 2011.

45

SC ^SM WMC LARGE CAP GROWTH FUND

(subadvised by Wellington Management Company, LLP)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC WMC Large Cap Growth Fund (the “Fund”) returned (4.53)% and (4.80)%, respectively, underperforming the benchmark, the Russell 1000 Growth Index (the “Index”), which returned 2.64% for the same period.

What economic and market factors most influenced the equity markets as a whole during the year ended December 31, 2011?

2011 was yet another extremely volatile year for equity markets. Global equities started the year on a strong note and continued to move higher in the first quarter of 2011, driven by investors’ enthusiasm for additional government debt purchases by the U.S. Federal Reserve, the extension of tax cuts in the U.S., strong earnings growth, and generally improving economic data. This enthusiasm reversed later in the year, however, as concerns surfaced that the global economy could slip back into recession, resulting in a rapid decline in U.S. equity markets. Fears about sovereign debt and solvency in the eurozone, slowing economic expansion in China and the U.S., and uncertainty about the sustainability of corporate earnings growth combined to produce an extremely volatile stock market, and return correlations among stocks spiked as investors shed risk and fled to safety. Markets ended the year on a positive note as the final month showed encouraging employment and manufacturing data in the U.S.

In this environment, seven of the ten sectors in the Index posted positive returns during the year. The defensive Utilities and Consumer Staples sectors increased the most. The Materials, Industrials, and Financials sectors in the Index declined during the year.

Were there any significant sector under/over weights that materially affected Fund performance relative to the benchmark during the year ended December 31, 2011?

Sector positioning, a result of bottom-up security selection, detracted from benchmark-relative returns during the year, primarily due to underweight positions in the Consumer Staples and Energy sectors. Underweight exposure to the Financials and Materials sectors and an overweight to the Information Technology sector contributed positively to the Fund’s returns.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

Top relative contributors included overweight positions in UnitedHealth Group, Inc., IAC/InterActiveCorp., and International Business Machines Corp. Shares of UnitedHealth Group, Inc., a diversified health and well-being company, rose due to increases in the company’s health plan enrollment and members’ reduced use of health insurance services. Shares of IAC/InterActiveCorp., an operator of internet businesses such as ask.com and match.com, appreciated due to market share gains in the competitive search function, positive trends in personal advertisements, and shareholder friendly capital redeployment. Shares of technology and consulting corporation International Business Machines Corp. improved as the company continued to generate solid earnings per share and cash flow growth.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

Top detractors from relative performance included an overweight position in NetApp, Inc., an overweight to Teck Resources, Ltd., and an underweight position in Philip Morris International, Inc. Shares of proprietary computer storage and data management company NetApp, Inc. fell after the company reported lower-than-expected first quarter earnings on reduced spending from its U.S. Financials customers. Shares of Teck

46

SC ^SM WMC LARGE CAP GROWTH FUND (Continued)

Resources, Ltd., a Canadian mining company, fell as concerns over decreased demand for coal fueled by a slowdown in China increased. Shares of leading international tobacco company Philip Morris International, Inc. rose as the company reported better-than-expected third quarter results.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

There were no material changes to the December 31, 2011 top ten holdings list relative to the December 31, 2010 top ten holdings list.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

Sector exposure is predominantly a byproduct of stock selection. At December 31, 2011, the Fund’s largest overweight position relative to the Index was to the Information Technology sector, while the largest underweight positions were to the Consumer Staples and Financials sectors.

SECTOR ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The above graph categorizes investments using GICS. The percentages shown for each sector reflect the value of investments in that sector as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

47

SC ^SM WMC LARGE CAP GROWTH FUND (Continued)

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Apple, Inc.		6.0	%	Computers & Peripherals
Cisco Systems, Inc.		4.7		Communications Equipment
International Business Machines Corp.		4.4		IT Services
Microsoft Corp.		3.5		Software
Exxon Mobil Corp.		3.3		Oil, Gas & Consumable Fuels
EMC Corp.		2.8		Computers & Peripherals
Altera Corp.		2.8		Semiconductors & Semiconductor Equipment
Oracle Corp.		2.6		Software
Google, Inc., Class A		2.2		Internet Software & Services
Caterpillar, Inc.		2.0		Machinery

Comparison of Change in Value of a $10,000 Investment in the SC WMC Large Cap Growth Fund – Initial Class and the Russell 1000 Growth Index

Comparison of Change in Value of a $10,000 Investment in the SC WMC Large Cap Growth Fund – Service Class and the Russell 1000 Growth Index

48

SC ^SM WMC LARGE CAP GROWTH FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Life of Fund***
SC WMC Large Cap Growth Fund		(4.53	)%		16.11	%		—			(1.41	)%
Russell 1000 Growth Index*		2.64	%		18.02	%		—			2.31	%
Service Class Shares
SC WMC Large Cap Growth Fund		(4.80	)%		15.87	%		(1.54	)%		(1.40	)%
Russell 1000 Growth Index*		2.64	%		18.02	%		2.50	%		3.25	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Russell 1000 Growth Index measures the performance of those Russell 1000 Index securities with higher price-to-book ratios and higher forecasted growth values, representative of U.S. securities exhibiting growth characteristics. The Russell 1000 Growth Index includes the largest 1,000 securities in the Russell 3000 Index, based on market cap. The Russell 3000 Index consists of the 3,000 largest and most liquid stocks based and traded in the U.S.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC WMC Large Cap Growth Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from April 2, 2007 (commencement of operations) to December 31, 2011. Service Class Shares for the period from May 1, 2006 (commencement of operations) to December 31, 2011.

49

SUN CAPITAL GLOBAL REAL ESTATE FUND

(subadvised by Massachusetts Financial Services Company)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

Effective May 1, 2011, Massachusetts Financial Services Company (“MFS”) was appointed as subadviser to the Sun Capital Global Real Estate Fund (the “Fund”). For the year ended December 31, 2011, the Initial and Service class shares of the Fund returned (7.59%) and (7.74)%, respectively, underperforming the benchmark, the FTSE EPRA/NAREIT Developed Real Estate Index (the “Index”), which returned (5.82%) for the same period.

What economic and market factors most influenced the global real estate equity markets as a whole during the year ended December 31, 2011?

Early in the year, the U.S. Federal Reserve responded to weak economic growth by providing further liquidity to the market through accommodative monetary policy measures. These measures improved market sentiment and drove risk-asset prices markedly higher. The December 2010 agreement on an expansionary U.S. fiscal package also boosted market sentiment, which carried into the early months of 2011 and, coupled with better indications of global macroeconomic activity, pushed many asset valuations to post-crisis highs. At the same time, the yields of the perceived “safest” global sovereign credits rose, indicating a renewed risk-seeking environment.

Toward the middle of the year, a weakening macroeconomic backdrop and renewed concerns over peripheral euro zone sovereign debt caused a flight-to-quality move that pushed high-quality sovereign bond yields lower. In the U.S., concerns about sovereign debt default and the long-term sustainability of the trend in U.S. fiscal policy resulted in the downgrade of the U.S. credit quality by the Standard & Poor’s rating agency. Amidst this turmoil, global equity markets declined sharply, global consumer and producer sentiment indicators fell precipitously and highly-rated sovereign bond yields hit multi-decade lows. Near the end of the year, uncertainty in financial markets spiked higher as markets more seriously contemplated the possible failure of the euro zone.

How did the Fund’s country allocations affect relative performance during the year ended December 31, 2011?

The Fund’s overweight positions in Italian, Austrian, Japanese and Hong Kong real estate investments, and underweights in Canada and Switzerland all detracted from performance relative to the Index. The Fund owns only one position in both Italy and Austria, which results in the overweights, and the underperformance of these two positions was due to the macroeconomic issues in Europe, rather than company specific factors. The Japanese companies underperformed due to the natural disaster in March and persistent economic weakness. Hong Kong has been impacted by continuing efforts by the Chinese government to slow down property value appreciation and to encourage more cautious real estate lending, in both Hong Kong and mainland China. This has had a negative impact on Hong Kong based real estate companies with properties in Hong Kong and China, as well as companies focused on mainland China. Companies in Canada and Switzerland have outperformed as safe haven investments and, due to the Fund’s underweight positions in these countries, its performance was negatively affected.

Overweight positions in Brazil and in the U.S., and an underweight position in mainland Chinese real estate investments contributed to the Fund’s performance. In Brazil, the Fund has one holding that has been growing rapidly and has performed well. Brazil’s real estate stocks have attracted attention as a relatively safe high growth alternative.

Which stocks contributed most to the Fund’s returns during the year ended December 31, 2011?

Security selection in Hong Kong benefited relative performance. Specifically, an overweight position in a retail real estate investment trust (“REIT”) The Link REIT aided relative results.

50

SUN CAPITAL GLOBAL REAL ESTATE FUND (Continued)

Other top relative contributors included U.S.-based REITs, Digital Realty Trust, Inc. (Office), Equity Lifestyle Properties, Inc. (Residential), BioMed Realty Trust, Inc. (Office), Entertainment Properties Trust (Specialized), Mid-America Apartment Communities, Inc. (Residential), and Public Storage (Specialized). The Fund’s overweight positions in wholesale data center operator Dupont Fabros Technology, Inc. (Industrial) and regional shopping centers owner Taubman Centers Inc. positively contributed to relative performance as both stocks outperformed the benchmark during the reporting year. In general, each of the companies has benefitted from relatively strong trends in its specific property type which has resulted in improving fundamentals and earnings growth.

Which stocks detracted from the Fund’s performance results during the year ended December 31, 2011?

An overweight position in both Italian and Austrian listed real estate investments detracted from performance relative to the Index. An overweight position in property investment and management activities company Beni Stabili S.p.A (Italy) and exposure to commercial real estate properties company Atrium European Real Estate Ltd. (founded in Jersey and listed on the Vienna Stock Exchange) held back relative results as both stocks underperformed the benchmark during the year.

Security selection of U.S. REITs also held back relative results. Holdings of Parkway Properties Inc. (Office), and the timing of the Fund’s ownership in Health Care Properties (Specialized), hindered relative returns. Not holding shares of strong-performing REITs, Avalon Bay Communities, Inc. (Residential) and Health & Retire Property (Specialized), also hurt relative results.

Elsewhere, holdings of industrial REIT Segro PLC (United Kingdom) and retail REIT Corio NV (Netherlands), commercial properties developer and manager Capitaland Ltd. (Singapore), and self-storage company Big Yellow Group PLC (United Kingdom) dampened relative performance as all four securities underperformed the benchmark.

Did the Fund experience major changes to its top ten holdings during the year ended December 31, 2011?

Yes. The Fund experienced significant changes to the top ten holdings. Five of the Fund’s 2010 top holdings remained in the category as of December 31, 2011. The Link REIT (Hong Kong), Unibail-Rodamco (France), BioMed Realty Trust (U.S.), Public Storage (U.S.) and Vornado Realty Trust (U.S.) are new additions to the top 10 holdings, replacing BR Malls Participacoes SA (Brazil), Segro (United Kingdom), Atrium European Real Estate Ltd. (Austria), Mitsubishi Estate (Japan) and Capitaland (Singapore). The Fund still holds the five securities that are no longer in the top ten holdings list as of December 31, 2011, and continues to view each as a core holding. The changes are mostly due to volatility in share prices, and not fundamentally different viewpoints.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At December 31, 2011, as compared to positions during the year, the Fund was positioned less underweight North America, more overweight Asia ex-Japan and Japan, more underweight Europe ex-UK, and less overweight UK.

The Fund was closely aligned to the benchmark at the regional level. At the end of the year there were six non-index holdings accounting for approximately 9.0% of the Fund’s assets: BR Malls Participacoes SA, AtriumEuropean Real Estate Ltd., Plum Creek Timber Co., Inc., Weyerhaeuser Co., Starwood Property Trust, and Advance Residence Investment Corp.

51

SUN CAPITAL GLOBAL REAL ESTATE FUND (Continued)

COUNTRY ALLOCATIONS AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each country reflect the value of investments in that country as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

** Includes 5 countries with an allocation of less than 2% individually.

TOP TEN EQUITY HOLDINGS AT DECEMBER 31, 2011

	% of Net Assets			Industry
Simon Property Group, Inc.		5.1	%	Retail
Sun Hung Kai Properties Ltd.		4.2		Diversified Real Estate Activities
The Link REIT		3.4		Retail
Unibail-Rodamco		3.2		Retail
BioMed Realty Trust, Inc.		3.1		Office
Westfield Group		2.9		Retail
Mitsui Fudosan Co., Ltd.		2.8		Diversified Real Estate Activities
Public Storage		2.7		Specialized
Stockland		2.6		Diversified
Vornado Realty Trust		2.5		Diversified

52

SUN CAPITAL GLOBAL REAL ESTATE FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the Sun Capital Global Real Estate Fund – Initial Class and the FTSE/EPRA NAREIT Developed Real Estate Index

Comparison of Change in Value of a $10,000 Investment in the Sun Capital Global Real Estate Fund – Service Class and the FTSE/EPRA NAREIT Developed Real Estate Index

53

SUN CAPITAL GLOBAL REAL ESTATE FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Ten Years			Life of Fund***
Sun Capital Global Real Estate Fund		(7.59	)%		11.49	%		(7.82	)%		6.70	%		7.88	%
FTSE EPRA/NAREIT Developed Real Estate Index*		(5.82	)%		16.17	%		(5.28	)%		9.59	%		8.68	%
Service Class Shares
Sun Capital Global Real Estate Fund		(7.74	)%		11.25	%		(8.04	)%		—			3.10	%
FTSE EPRA/NAREIT Developed Real Estate Index*		(5.82	)%		16.17	%		(5.28	)%		—			6.55	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The FTSE EPRA/NAREIT Developed Real Estate Index is a total-return index comprising eight index families covering the world’s largest investment markets in various currencies, and is designed to track the performance of listed real estate companies and REITs worldwide.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the Sun Capital Global Real Estate Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from December 7, 1998 (commencement of operations) to December 31, 2011. Service Class Shares for the period from February 1, 2004 (commencement of operations) to December 31, 2011.

54

SC ^SM IBBOTSON TACTICAL OPPORTUNITIES FUND

(subadvised by Ibbotson Associates, Inc.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial Class shares of the SC Ibbotson Tactical Opportunities Fund (the “Fund”) returned (5.75)%, underperforming the benchmark, the S&P 500 Index (the “Index”), which returned 2.11% for the same period.

What key factors influenced management’s tactical opportunities allocation strategy during the year ended December 31, 2011?

The Fund is not available for investment by contract holders but serves exclusively as an investment option designed to implement a tactical strategy for SC Ibbotson Balanced Fund, SC Ibbotson Conservative Fund and SC Ibbotson Growth Fund. The Tactical Opportunities strategy (“the Model”) employs a rules based approach to tactically shift allocations among twelve defined asset classes. As such, a major influence on the Model is price momentum of the market. In general, the strategy overweights the asset classes that display positive momentum and conversely, underweights those with negative momentum. At the same time, the Model incorporates the mathematical concept of mean reversion, which argues that all prices eventually move back to their historical averages. The combination of these two factors will determine the monthly weighting scheme applied to the twelve defined asset classes within the Model.

Weighting decisions within the Model are relative to the Strategic Asset Allocation Model (“SAA Model”), a blend of 90% equity and 10% fixed income, which represents the neutral position of the Model without any over or under weights. During the year ended December 31, 2011, the Model underweighted equity by approximately 4% relative to the SAA Model. Within equity, the Model’s greatest over-weights were Mid Cap Growth, Real Estate, and Small Cap Growth, due to positive momentum signals within each asset class. Conversely, the Model’s greatest underweights were Large Cap Value, International, and Large Cap Growth, due to negative momentum signals in 2011. During the year, the Model overweighted fixed income by approximately 4% relative to the SAA Model. However, the Model maintained a 0% allocation to fixed income in the first eight months of the year. The Model’s 0% fixed income weight reversed in September to end at a 57% overweight relative to the SAA Model which reflects a reversal in momentum signals away from equity towards fixed income.

What tactical asset allocation decisions were most responsible for the Fund’s performance during the year ended December 31, 2011?

The performance of the Fund’s tactical asset allocation decisions are measured against the SAA Model, which represents the neutral position of the Model without any over or under weights, and the S&P 500 Index, the Fund’s benchmark. Relative to the SAA Model, the U.S. value equity style of investing detracted the most from performance during the year. The greatest contributors during the year, due to the over/under weight positions, were Emerging Markets, International, and equity REITS, and the SAA Model’s fixed income exposure compared to the Index contributed to performance as well. Within the SAA’s equity exposures, only U.S. Large Cap Growth and equity REITS outperformed the Index during the year.

An absolute return refers to the appreciation or depreciation of asset classes over the stated period and does not compare it to the SAA Model or any other measure. From an absolute return standpoint, most equity exposure, except for Large Cap and equity REITS, detracted from the Model’s performance during the year. The greatest positive contributors during the year were TIPS, equity REITs and U.S. aggregate bonds.

55

SC ^SM IBBOTSON TACTICAL OPPORTUNITIES FUND (Continued)

Which Exchange Traded Fund (“ETF”) investments contributed most to the Fund’s returns during the year ended December 31, 2011?

The ETFs within the Fund consist of passively managed baskets of stocks and bonds that are designed to deliver the performance of a stated index. Therefore, from an absolute return standpoint, we expect the individual ETF manager’s performance to closely track the Model’s corresponding asset class returns less manager fees and any trade-related impact. The Fund’s holdings may be bought and sold throughout the year due to changes in the Model weights. Therefore, some of the Fund’s listed contributors may not have been held at the end of the year. Based on that, the greatest contributors to the Fund’s absolute performance during the year were Vanguard Emerging Markets Stock ETF, iShares Russell 2000 Growth Index, and Vanguard REIT ETF.

There are two driving factors that are reflected in ETFs with the highest contribution to the Fund’s return. The first factor is determined by the performance of the index that the ETF is tracking. The second factor is the ETF’s weight within the Fund. The highest contributors relative to the Index during the year were iShares Barclays TIPS Bond, Vanguard REIT ETF, and Vanguard Total Bond Market ETF.

Which ETF investments detracted from the Fund’s performance results during the year ended December 31, 2011?

As noted above, the Fund’s holdings may be bought and sold throughout the year and some of the Fund’s listed detractors may not have been held at the end of the year. Within the Fund, the greatest detractors from performance during the year were iShares S&P MidCap 400 Index, iShares Russell 2000 Value Index, and Vanguard Europe Pacific Index ETF.

The highest detractors relative to the Index were Vanguard Emerging Markets Stock ETF which was a positive contributor to absolute performance, but was a relative detractor due to the weighting within the Model, Vanguard FTSE ALL-World ex-US Index ETF, Vanguard MSCI EAFE ETF, and iShares MSCI EAFE Index.

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

56

SC ^SM IBBOTSON TACTICAL OPPORTUNITIES FUND (Continued)

TOP TEN INVESTMENT COMPANIES AT DECEMBER 31, 2011

	% of Net Assets			Category
Vanguard Total Bond Market ETF		25.6	%	Fixed Income
iShares Barclays U.S. TIPS Bond Fund		22.3		Fixed Income
Vanguard Short-Term Bond ETF		19.1		Fixed Income
iShares S&P 500 Index Fund		9.6		Domestic Equity
Vanguard REIT ETF		8.2		Specialty Equity
iShares Russell 1000 Growth Index Fund		5.5		Domestic Equity
iShares Russell 2000 Growth Index Fund		4.7		Domestic Equity
iShares Russell MidCap Growth Index Fund		2.4		Domestic Equity
iShares S&P MidCap 400 Index Fund		1.6		Domestic Equity
Vanguard Europe Pacific ETF		0.8		International Equity

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Tactical Opportunities Fund – Initial Class and the S&P 500 Index

57

SC ^SM IBBOTSON TACTICAL OPPORTUNITIES FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Life of Fund***
SC Ibbotson Tactical Opportunities Fund–Initial Class Shares		(5.75	)%		(0.75	)%
S&P 500 Index*		2.11	%		6.63	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The S&P 500 Index is a weighted index of the stock performance of 500 industrial, transportation, utility and financial companies.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Ibbotson Tactical Opportunities Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from November 15, 2010 (commencement of operations) to December 31, 2011.

58

SUN CAPITAL INVESTMENT GRADE BOND FUND^®

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of Sun Capital Investment Grade Bond Fund (the “Fund”) returned 7.06% and 6.77%, respectively, underperforming the benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Index”), which returned 7.84% for the same period.

What economic and market factors most influenced the fixed income markets as a whole during the year ended December 31, 2011?

The sovereign debt crisis in Europe was the largest driver of market sentiment throughout the year. In November, the Federal Reserve Board (the “Fed”) and other central banks, cut the cost for borrowing dollars for commercial banks in international markets by 25 basis points, in an effort to make U.S. dollars easier to obtain. More recently, the European Central Bank enhanced its Long Term Refinancing Operation (LTRO) program by offering loans for up to three years and accepting a wider array of collateral. These actions, along with recent successful government debt auctions led to a rally in risk assets across the globe.

Economic data domestically showed signs of modest improvement. Payroll growth, though still below levels that are likely to spur strong economic growth, was positive during the year and the unemployment rate declined slightly to 8.5%. The Institute for Supply Management (ISM) manufacturing Index showed signs of strength, as it increased each of the last three months of 2011. Consumer confidence was up, as indicated by The University of Michigan Consumer Sentiment Index which rose in each of the last four months of 2011, climbing over 14 points to 69.9. The real estate market continued to be a concern with existing home and new home sales experiencing pockets of strength, but remaining weak overall despite depressed valuations and very low interest rates. Commercial real estate continued to struggle though the apartment sector was a pocket of strength. In the U.S., corporate earnings were supportive for the markets and the economy. Much like the prior three periods, third quarter 2011 earnings were very strong as 75% of the companies within the S&P 500 Index reported positive earnings per share (EPS) growth and 81% had positive sales growth; figures that have consistently beat market expectations.

What key strategies were most responsible for the Fund’s performance during the year ended December 31, 2011?

The strategy that negatively affected the Fund’s relative performance for the year was the Fund’s underweight allocation to U.S. Treasuries, which substantially outperformed all other sectors within the Index. The strategy that contributed most to the Fund performance was the Fund’s yield curve positioning, which provided a higher incremental return when contrasted to the Index’s curve positioning.

What changes did you make to the Fund’s sector allocations during the year ended December 31, 2011 and how did these affect performance during the reporting period?

The most significant change was the Fund’s allocation to the credit sector, which was reduced during the year by almost 20 percentage points to 37.8%. The allocation to high yield credit was reduced 1.3% to 10.4%. These changes in allocation had a positive impact on the Fund’s relative performance compared to the Index. An increase in the allocation to long term U.S. Treasuries of over 12 percentage points to 19.4% also aided relative performance, though this increased allocation still represents a significant underweight when compared to the Index.

59

SUN CAPITAL INVESTMENT GRADE BOND FUND^® (Continued)

Did the Fund experience major changes to its top ten issuers during the year ended December 31, 2011?

There were no material changes to the December 31, 2011 top ten issuers list relative to the December 31, 2010 top ten issuers list. Although U.S. Treasury remained on the top ten issuers list at December 31, 2011, the position was significantly increased during the year to more closely align the Fund’s allocation with the Index allocation to U.S. Treasuries.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At December 31, 2011, the Fund was overweight compared to the Index in Credit, Commercial Mortgage Backed Securities (CMBS), mortgage backed securities (MBS) and short term securities, while underweight in U.S. Treasuries, U.S. Government Agencies and Asset Backed Securities. Not withstanding the challenges facing the markets, we believed that risk premiums appeared relatively attractive and were good alternatives to risk-free assets and justified overweight positions in Credit, MBS and CMBS relative to the Index. The Fund’s exposure to the high yield corporate sector was a non-Index asset allocation. With a still positive outlook for earnings, solid balance sheets and low expectations for defaults, we believed that some allocation to high yield remained attractive with security selection being of paramount importance. Given the still fragile state of the economy and financial markets, we believed that prudent portfolio construction was essential. The Fund remained neutral to modestly short when compared to the benchmark duration.

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

60

SUN CAPITAL INVESTMENT GRADE BOND FUND^® (Continued)

TOP TEN ISSUERS AT DECEMBER 31, 2011

	% of Net Assets			Category
Federal National Mortgage Association		22.3	%	U.S. Government Agency
U.S. Treasury		20.4		U.S. Treasury
Federal Home Loan Mortgage Corp.		9.0		U.S. Government Agency
Morgan Stanley Capital I		2.0		Commercial Mortgage Backed Securities
International Paper Co.		1.5		Corporate Debt – Paper Products
ING Bank NV		1.4		Corporate Debt – Banks
Teck Resources, Ltd.		1.3		Corporate Debt – Metals & Mining
Ford Motor Credit Co. LLC		1.3		Corporate Debt – Automotive
Bear Stearns Commercial Mortgage Securities		1.3		Commercial Mortgage Backed Securities
LB-UBS Commercial Mortgage Trust		1.1		Commercial Mortgage Backed Securities

Comparison of Change in Value of a $10,000 Investment in the Sun Capital Investment Grade Bond Fund – Initial Class and the Barclays Capital U.S. Aggregate Bond Index

Comparison of Change in Value of a $10,000 Investment in the Sun Capital Investment Grade Bond Fund – Service Class and the Barclays Capital U.S. Aggregate Bond Index

61

SUN CAPITAL INVESTMENT GRADE BOND FUND^® (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Ten Years			Life of Fund***
Sun Capital Investment Grade Bond Fund		7.06	%		11.73	%		4.84	%		5.27	%		5.28	%
Barclays Capital U.S. Aggregate Bond Index*		7.84	%		6.77	%		6.50	%		5.78	%		5.86	%
Service Class Shares
Sun Capital Investment Grade Bond Fund		6.77	%		11.44	%		4.58	%		—			4.39	%
Barclays Capital U.S. Aggregate Bond Index*		7.84	%		6.77	%		6.50	%		—			5.39	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Barclays Capital U.S. Aggregate Bond Index is a widely recognized market value-weighted index composed of U.S. Treasuries, agencies, credit, asset-backed securities, commercial mortgage-backed securities and mortgage-backed securities.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the Sun Capital Investment Grade Bond Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from December 7, 1998 (commencement of operations) to December 31, 2011. Service Class Shares for the period from February 1, 2004 (commencement of operations) to December 31, 2011.

62

SUN CAPITAL MONEY MARKET FUND^®

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of Sun Capital Money Market Fund (the “Fund”) returned 0.15% and 0.00%, respectively, with the Initial Class outperforming and the Service Class underperforming the benchmark, the BofA Merrill Lynch U.S. 3-Month Treasury Bill Index (the “Index”), which returned 0.10% for the same period.

What economic and market factors most influenced the money markets as a whole during the year ended December 31, 2011?

Economic data was mixed during the year, with signs pointing toward modest improvement. Nonfarm and private payrolls posted gains in each of the last 12 months, with more robust figures in the latter half of the year. The unemployment rate, which had moved up to 9.1% in June, declined gradually over the last five months to close the year at 8.5%. The manufacturing sector showed positive signs early in the year, and fourth quarter data showed an upswing following some weakness in the third quarter. The housing sector, though still depressed, experienced some areas of strength in existing and new home sales, housing starts and permits, and although business fixed investment appeared to slow, household spending continued to advance as did consumer confidence.

The zero interest rate policy of the Federal Reserve (the “Fed”), which has been in place for three years, has left the Fed Funds Rate at historically low levels, in the 0.00% to 0.25% range. The 0.75% discount rate put in place in February of 2010 remained in effect throughout 2011, and U.S. Treasury Bills and commercial paper yields remained near all-time lows. Three-month Treasury Bills traded in a very tight range, beginning the year at 0.13%, reaching a high of 0.16% in late January, and then closing the year at 0.01% which was 2.3 basis points higher than the 2011 low of -0.013%. The Federal Funds effective rate declined over the course of the year, beginning January at 0.19%, ticking up briefly in late July and early August on concerns of a possible U.S. Government technical default, then declining to close the year at the low of 0.04%. The London Inter-Bank Offering Rate (LIBOR) started the year at 0.30%, declined to a low of 0.24% in mid June, and then rose steadily for the remainder of the year in reaction to the unresolved fiscal crisis in Europe, to close December at the high of 0.58%. Despite dislocation in Europe and the heated debate on the U.S. budget deficit and subsequent downgrade of U.S. Government debt by Standard & Poor’s dominating sentiment in the financial markets as a whole, there has been little change in money market yields and spreads.

At the four Federal Open Market Committee (the “Committee”) meetings held in the first half of the year, the Fed reiterated its policy of reinvesting principal U.S. Treasury and Mortgage Backed Securities (MBS) payments, while also expanding its holdings of securities by purchasing $600 billion of longer-term U.S. Treasury Bonds (quantitative easing) by the end of the second quarter of 2011. In the second half of the year, the Fed solidified its language regarding the Federal Funds rate, stating that conditions are likely to warrant exceptionally low levels through at least mid-2013, and announced “Operation Twist”, a program to extend the average maturity of the Fed’s holdings by purchasing $400 billion of Treasury securities with remaining maturities between 6 and 30 years, funded by maturities and sales of securities with remaining maturities inside of 3 years. This new program would be completed by the end of June 2012. The Committee discussed changes to their communication strategy at the December 13^th meeting, whereby participants would begin providing more information about “their projections of appropriate monetary policy” into the Summary of Economic Projections, including their forecast of the federal funds rate over time, as well as the likely timing of an increase in the target rate. The Fed consistently noted that it would “continue to assess the economic outlook in light of incoming information and is prepared to employ (its range of policy) tools to promote a stronger economic recovery in a context of price stability”, leaving the door open for further action if necessary.

Commercial paper issuance, which had increased $66 billion over the first half of 2011, declined over the second half of the year. At December 31^st, commercial paper supply had fallen 10.5% on the year to approximately $970 billion. Tier-1 securities and domestic financial commercial paper posted the greatest declines, falling 20.0% to $701.3 billion and 17.3% to $291.7 billion, respectively. Tier-2 securities increased 66.7% to $67.2 billion, due in part to the downgrades of several financial names which fell out of the Tier-1 classification.

63

SUN CAPITAL MONEY MARKET FUND^® (Continued)

Investors continue to show a somewhat greater tolerance for risk, and the shift away from money market funds in favor of fixed income funds has been persistent. AMG Data Services reported that $150 billion was withdrawn from money market funds during 2011. This shift has had little impact on yields.

What key factors were most responsible for the Fund’s performance during the year ended December 31, 2011?

The Fed’s zero interest rate policy and the market’s persistent demand for quality were the most influential factors on the performance of the Fund. Market conditions forced the Fund’s gross portfolio yield below its net operating expenses, causing the adviser to further subsidize the Fund.

How did you manage the Fund’s weighted average maturity during the year ended December 31, 2011?

The Fund’s average maturity ranged from 24 to 41 days during the year, slightly shorter than the market average. On December 31, 2011, the Fund had a weighted average maturity of 30 days, 12 days shorter than the average taxable money market fund maturity of 42 days as reported in the Money Fund Report, published by iMoneyNet Inc. The credit curve between 30 day and 90 day commercial paper has remained consistently narrow, averaging 9 basis points for the period; offering little compensation to invest in longer dated securities.

How was the Fund invested during the year ended December 31, 2011?

Holdings in U.S. Government Guaranteed Temporary Liquidity Guarantee Program paper matured during the first quarter, while U.S. Government Agency obligations were reduced by 7.4%, as they ceased to provide competitive yields. Corporate floating rate notes increased 2.6% during the period as a way to add yield to the Fund.

At December 31, 2011, the Fund was invested in commercial paper, U.S. Treasury Bills, mutual funds, corporate floating rate notes, and U.S. agency discount paper. The Fund had no exposure to Portugal, Ireland, Italy, Greece, Spain or France.

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

64

SUN CAPITAL MONEY MARKET FUND^® (Continued)

TOP TEN ISSUERS AT DECEMBER 31, 2011

	% of Net Assets			Category
U.S. Treasury		12.6	%	U.S. Treasury
Province of Ontario		3.2		Foreign Government
Pfizer, Inc.		3.1		Commercial Paper
PepsiCo, Inc.		3.1		Commercial Paper
International Business Machines Corp.		3.1		Commercial Paper
Philip Morris International, Inc.		3.1		Commercial Paper
E.I. du Pont de Nemours and Co.		3.1		Commercial Paper
Province of British Columbia		3.1		Foreign Government
Procter & Gamble Co.		3.1		Commercial Paper
Coca-Cola Co.		3.1		Commercial Paper

Comparison of Change in Value of a $10,000 Investment in the Sun Capital Money Market Fund – Initial Class and the BofA Merrill Lynch U.S. 3-Month Treasury Bill Index

Comparison of Change in Value of a $10,000 Investment in the Sun Capital Money Market Fund – Service Class and the BofA Merrill Lynch U.S. 3-Month Treasury Bill Index

65

SUN CAPITAL MONEY MARKET FUND^® (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

Initial Class Shares	One Year			Three Years			Five Years			Ten Years			Life of Fund***
Sun Capital Money Market Fund		0.15	%		0.19	%		1.52	%		1.73	%		2.42	%
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index*		0.10	%		0.15	%		1.49	%		1.95	%		2.69	%
Service Class Shares
Sun Capital Money Market Fund		0.00	%		0.01	%		1.31	%		—			1.91	%
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index*		0.10	%		0.15	%		1.49	%		—			2.17	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is a measure of the performance of the 3-month U.S. Treasury bill.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. Although the Fund seeks to maintain a stable net asset value of $1 per share there can be no assurance that it will do so. The value of an investment in the Sun Capital Money Market Fund and the return on the investment may fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***Initial Class Shares for the period from December 7, 1998 (commencement of operations) to December 31, 2011. Service Class Shares for the period from April 25, 2005 (commencement of operations) to December 31, 2011.

66

SC ^SM BLACKROCK INFLATION PROTECTED BOND FUND

(subadvised by BlackRock Financial Management, Inc.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of the SC BlackRock Inflation Protected Bond Fund (the “Fund”) returned 11.90% and 11.70%, respectively, underperforming the benchmark, the Barclays Capital Global Real Index: U.S. TIPS (the “Index”), which returned 12.56% for the same period.

What economic and market factors most influenced the fixed income markets as a whole during the year ended December 31, 2011?

When the year opened, there was a widespread sense that the economic recovery that began in 2009 would persevere. While Europe’s debt problems were a significant issue, they appeared to be relatively well contained. However, it was only a few months before the world encountered a renewed recession scare sparked largely by deteriorating debt conditions in the euro zone as well as some weaker-than-expected U.S. economic data. This Europe-induced uncertainty combined with political unrest in the Middle East and the rating downgrade of U.S. Treasury debt, resulted in a dramatic rally in U.S. Treasury Inflation-Protected Securities (TIPS) led by the shorter maturity portion of the yield curve. At year end, positive forces reemerged as the U.S. economic growth picture had brightened and signs of progress regarding Europe’s debt crisis began to take hold.

What key strategies were most responsible for the Fund’s performance during the year ended December 31, 2011?

As the Fund’s investment mandate requires that 80% of its assets be invested in inflation-protected bonds, there are limited opportunities to add value through sector rotation. The Fund’s portfolio management team uses the limited ability it has to own nominal U.S. Treasuries during times when U.S. TIPS appear to be overvalued. Investment value is determined in many ways; however, a commonly used metric looks at the difference between the yield on a nominal U.S. Treasury bond and a TIP bond with a similar maturity, known as the breakeven level. Breakeven levels reflect broad expectations of the level of inflation. When the portfolio management team was of the opinion that TIPS had priced in too high a level of inflation expectations, the Fund sold TIPS and bought nominal U.S. Treasuries and vice versa. Key strategies include active positioning along the real yield curve and duration management.

For the year, the Fund maintained a real yield curve-flattening bias by holding an underweight position in TIPS on the 10-year portion of the yield curve and an overweight position in TIPS on the 30-year portion of the curve based on the view that improving economic data would pressure the intermediate portion of the curve to move higher. This positioning detracted from relative performance for a majority of the year as the real yield curve steepened due to a confluence of factors including weakening U.S. economic data, political tensions in the Arab states, the U.S. Treasury debt rating downgrade and escalating fears about the sovereign debt crisis in Europe. In addition, the Fund’s short duration compared to the benchmark Index detracted from performance. Toward the end of the year, the Fund’s positioning was beneficial as U.S. economic data began to show signs of resilience and fears of a euro-zone collapse abated.

The Fund used interest rate derivatives such as futures, options, swaps and swaptions to manage duration and convexity risk in the Fund during the period. Finally, derivatives enabled the Fund to be positioned based on the views on inflation expectations.

What changes did you make to the Fund’s sector allocations during the year ended December 31, 2011 and how did these affect performance during the reporting period?

As discussed above, single sector funds have limited flexibility to rotate between sectors. While some peer funds may use this limited flexibility to buy higher risk assets such as mortgage-backed securities or corporate bonds

67

SC ^SM BLACKROCK INFLATION PROTECTED BOND FUND (Continued)

that is not a central tenet of the portfolio management team’s management style. The Fund is mainly limited to TIPS, nominal Treasury and Treasury alternatives such as Treasury futures and options. In some instances the Fund does make use of higher risk assets, but exposure is minimal.

Over the course of the year, the Fund actively traded exposure across the yield curve to take advantage of Treasury auctions and buybacks, including those under the Federal Reserve’s operation “twist” program. During the second half of the year, the Fund added to its nominal yield curve steepening position to take advantage of rising inflation expectations.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

Our fundamental view continues to be that inflation expectations priced into the market make valuations more attractive on the longer maturity portion of the real yield curve. The Fund maintains a real yield curve-flattening bias and a nominal yield curve-steepening position between the 10-year and 30-year points on the curve given our view that improving economic data should pressure the intermediate portion of the curve to move higher and cause inflation expectations to rise. The Fund ended the year with a shorter duration compared to the Index as economic data in the U.S. has proven to be resilient in the near term.

68

SC ^SM BLACKROCK INFLATION PROTECTED BOND FUND (Continued)

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP ISSUERS AT DECEMBER 31, 2011

	% of Net Assets			Category
U.S. Treasury		53.7	%	U.S. Treasury
Government of Germany		9.4		Foreign Government
Government National Mortgage Association		8.0		U.S. Government Agency
Federal Home Loan Mortgage Corp.		7.9		U.S. Government Agency
Federal National Mortgage Association		7.7		U.S. Government Agency
Government of France		6.8		Foreign Government
Government of Italy		0.2		Foreign Government
Government of Greece		0.0	*	Foreign Government

* Amount is less than 0.05%.

69

SC ^SM BLACKROCK INFLATION PROTECTED BOND FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock Inflation Protected Bond Fund – Initial Class and the Barclays Capital Global Real Index: U.S. TIPS

Comparison of Change in Value of a $10,000 Investment in the SC BlackRock Inflation Protected Bond Fund – Service Class and the Barclays Capital Global Real Index: U.S. TIPS

70

SC ^SM BLACKROCK INFLATION PROTECTED BOND FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC BlackRock Inflation Protected Bond Fund–Initial Class Shares		11.90	%		8.59	%		7.58	%
SC BlackRock Inflation Protected Bond Fund–Service Class Shares		11.70	%		8.28	%		7.30	%
Barclays Capital Global Real Index: U.S. TIPS*		12.56	%		10.06	%		8.07	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. Barclays Capital Global Real Index: U.S. TIPS is comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3 or better) that have at least one year to final maturity and at least $250 million par amount outstanding.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC BlackRock Inflation Protected Bond Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

71

SC ^SM GOLDMAN SACHS SHORT DURATION FUND

(Subadvised by Goldman Sachs Asset Management, L.P.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

Effective May 1, 2011, the SC Goldman Sachs Short Duration Fund (the “Fund”) changed its benchmark from the BofA Merrill Lynch 1-3 Year U.S. Treasury Index to the Barclays Capital 1-3 Year U.S. Government/Credit Index (the “Index”). For the year ended December 31, 2011, the Initial and Service Class shares of the Fund returned 0.53% and 0.17%, respectively, underperforming both the former benchmark, the BofA Merrill Lynch 1-3 Year U.S. Treasury Index and the Index, which returned 1.55% and 1.59%, respectively for the same period.

What economic and market factors most influenced the fixed income markets as a whole during the year ended December 31, 2011?

At the beginning of 2011, the global economic data supported a theme of robust and broadening growth. However, as the first quarter ended, this positive momentum gave way to softer economic data, as well as concern over the effects of exogenous shocks, including significant unrest and political upheaval in the Middle East and the Japanese earthquake and tsunami. These developments were exacerbated by a weakening of growth indicators across major economies, deepening of economic problems in peripheral Europe, and in May, the failure of the Greek government to meet its fiscal targets as well as European Union approval of a €78 billion bailout package for Portugal. In the U.S., the second quarter saw a broad weakening of economic data, including slowed U.S. Gross Domestic Product (GDP) growth, low consumer confidence which hit a six-month bottom and payroll data that came in weaker than expected. As a result, risk assets underperformed after beginning the year strongly. The third quarter saw a continuation of this risk aversion theme, as the U.S. debt ceiling debate dragged on until the end of July deadline, when a last second deal averted a technical default on U.S. debt. This was followed by Standard & Poor’s first ever downgrade of the U.S. sovereign credit rating in early August, with both developments putting upward pressure on risk asset spreads.

Weak U.S. economic data prompted the Federal Reserve Board (the “Fed”) to announce that it expected to hold short-term interest rates at very low levels through at least mid-2013, as well as announce “Operation Twist,” an extension of the average maturity of the Fed’s securities holdings. In addition to a deteriorating macroeconomic environment in the U.S., late spring and summer also saw an intensification of the Eurozone sovereign debt crisis and incremental policy responses, including an expansion of the European Central Bank’s (ECB) Securities Market Program to include the bonds of Italy and Spain. A July European Union summit resulted in an expansion of the European Financial Stability Fund (EFSF). However, economic data suggested that weakness in the peripheral economies was beginning to spread to core Eurozone countries, including Germany, and peripheral yields remained elevated. The European sovereign debt crisis was the primary driver of markets in the fourth quarter, as developments included consensus agreements on a voluntary debt restructuring for Greece, a short-lived plan for a Greek referendum on the country’s bailout, a continuation of bond purchases by the ECB, and sovereign credit rating downgrades in Belgium and Portugal. Coordinated central bank action to reduce the cost of dollar funding boosted risk assets in early December, and the ECB cut its policy rate to 1%. At year-end, significant uncertainty remained around the Eurozone, including the potential for greater fiscal union in exchange for strict, enforceable budgetary rules.

U.S. Treasury yields ended 2011 lower on the year, driven by a number of factors, including geopolitical uncertainty, a weakening global economy, and an intensification of the Eurozone sovereign debt crisis. After rising over the first three months of the year, Treasury yields fell in April, as concerns about the potential market impact of political upheaval in the Middle East and North Africa decreased investors’ appetite for risk. Yields fell sharply in the summer months, as a combination of weak U.S. economic data and concerns around Eurozone sovereign debt drove risk aversion higher. In September, the Fed announcement of Operation Twist narrowed the spreads between long and short-term U.S. Treasury yields. The beginning of fourth quarter saw corporate yields

72

SC ^SM GOLDMAN SACHS SHORT DURATION FUND (Continued)

advance from their lows, as U.S. economic data began to show improvement. Additionally, year-end buying within the corporate credit sector propelled an end of December rally in U.S. Treasury yields

What key strategies were most responsible for the Fund’s performance during the year ended December 31, 2011?

A combination of top-down and bottom-up strategies influenced the Fund’s performance during the year. Top-down strategies included a duration strategy and cross-sector exposures. Duration is a measure of the Fund’s sensitivity to changes in interest rates. The cross-sector strategy is one in which the Fund invests assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. The Fund’s interest rate and yield curve positioning detracted from relative returns during the year, particularly from an underweight position in the two and three-year nodes of the yield curve, as yields fell during the spring and summer months. This more than offset the positive impact of an overweight position in the intermediate portion of the yield curve during the summer. The Fund’s cross-sector positioning also negatively affected relative performance, largely due to the overweight risk exposure to Agency Mortgage-Backed Securities (MBS) over the summer. These securities underperformed as a result of broad risk aversion due to the Eurozone sovereign debt crisis and heightened prepayment risk from continual discourse about government measures concerning potential homeowner relief. In addition, a short position in U.S. government securities which were established through the use of futures contracts, had a negative influence on relative performance, as swap spreads widened modestly. Security selection strategies were additive to relative performance, particularly through the selection of corporate bonds, as well as government and agency issues. The Fund’s selection of government and agency issues and its exposure to short-maturity Treasury Inflation-Protected Securities (TIPS) earlier in the year benefited as breakeven spreads widened.

What changes did you make to the Fund’s sector allocations during the year ended December 31, 2011 and how did these affect performance during the reporting period?

The most significant change in the Fund’s allocation between December 2010 and December 2011 was a decrease in allocation to Agency MBS. The decrease in Agency MBS weighting was reallocated across agency debentures and corporate bonds. The Fund’s decreased allocation to Agency MBS mitigated the negative impact from the Fund’s exposure to the sector, while the Fund’s increased allocation to corporate bonds negatively impacted performance, however, the Fund’s selection of corporate bonds added to performance. Additionally, the increased exposure to agency debentures added to performance.

Did the Fund experience major changes to its top ten issuers during the year ended December 31, 2011?

There were five issuers on the top ten issuers list as of December 31, 2010 that were still on the Fund’s top ten issuers list as of December 31, 2011. Four of those five issuers that are no longer on the Fund’s top ten issuers list remained as holdings by the Fund with the exception of The Bear Stearns Cos., LLC. In addition, all five new issuers in the top ten issuers list as of December 31, 2011 were owned by the Fund at the end of 2010.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At December, 2011, the Fund continued to hold a short duration position relative to the benchmark. The Fund was overweight in the Investment Grade corporate, Agency MBS, covered bonds (securities formed from the public sector or through the use of mortgage loans where the security is backed by a separate pool of loans), and Asset Backed Securities (ABS). The Fund targeted a modest underweight position in duration as bond yields in the earlier maturity portion of the curve are at very low levels as a result of Fed policy, with limited room for any further decrease. In addition, recent U.S. economic data releases have continued the trend of coming in above consensus. The Fund continued to favor covered bonds as a high-quality spread sector, but is cautious in the short run due to European sovereign debt concerns and their potential effect on overall market liquidity. In ABS, the

73

SC ^SM GOLDMAN SACHS SHORT DURATION FUND (Continued)

Fund remains positive on student loan ABS backed by the Federal Family Education Loan Program (FFELP). Investment Grade credit fundamentals are strong and improving in many sectors, with profit margins near all-time highs, and companies holding healthy cash balances.

At the end of the period, roughly 42% of the Fund’s assets were in government/agency securities, versus approximately 81% for the benchmark. Though the sector allocations differ, the benchmark continues to maintain a relatively short duration (1.88 years), with the Fund just short of this at 1.78 years. With respect to spread duration, the Fund was longer than the benchmark, at 2.06 years versus 1.88 years for the Index.

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN ISSUERS AT DECEMBER 31, 2011

	% of Net Assets			Category
U.S. Treasury		20.7	%	U.S. Treasury
Federal National Mortgage Association		9.6		U.S. Government Agency
Federal Home Loan Mortgage Corp.		4.0		U.S. Government Agency
Citigroup, Inc.		2.8		Corporate Debt – Banks & TLGP
Landwirtschaftliche Rentenbank		2.3		Corporate Debt – Special Purpose Banks
National Credit Union Administration		2.2		U.S. Government Guaranteed Notes
Brazos Higher Education Authority		2.0		Asset Backed Securities
Kreditanstalt fuer Wiederaufbau		1.5		Corporate Debt – Special Purpose Banks
SpareBank 1 Boligkreditt		1.5		Corporate Debt – Banks
Canadian Imperial Bank of Commerce		1.4		Corporate Debt – Banks

74

SC ^SM GOLDMAN SACHS SHORT DURATION FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Goldman Sachs Short Duration Fund – Initial Class, BofA Merrill Lynch 1-3 Year U.S. Treasury Index, and the Barclays Capital 1-3 Year U.S. Government/Credit Index

Comparison of Change in Value of a $10,000 Investment in the SC Goldman Sachs Short Duration Fund – Service Class, BofA Merrill Lynch 1-3 Year U.S. Treasury Index, and the Barclays Capital 1-3 Year U.S. Government/Credit Index

75

SC ^SM GOLDMAN SACHS SHORT DURATION FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011***

	One Year			Three Years			Life of Fund****
SC Goldman Sachs Short Duration Fund–Initial Class Shares		0.53	%		2.23	%		2.59	%
SC Goldman Sachs Short Duration Fund–Service Class Shares		0.17	%		1.94	%		2.31	%
BofA Merrill Lynch 1-3 Year U.S. Treasury Index*		1.55	%		1.56	%		2.17	%
Barclays Capital 1-3 Year U.S. Government/Credit Index**		1.59	%		2.74	%		2.36	%

*The performance data of the indices has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The indices are unmanaged and cannot be invested in directly. The BofA Merrill Lynch 1-3 Year U.S. Treasury Index tracks the performance of the direct Sovereign debt of the U.S. Government and includes all U.S. dollar-denominated U.S. Treasury Notes and Bonds having at least one year remaining to maturity.

**The Barclays Capital 1-3 Year U.S. Government/Credit Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between one and three years and are publicly issued.

***Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Goldman Sachs Short Duration Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

****For the period from March 7, 2008 (commencement of operations) to December 31, 2011.

76

SC ^SM PIMCO HIGH YIELD FUND

(subadvised by Pacific Investment Management Company LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC PIMCO High Yield Fund (the “Fund”) returned 4.26% and 4.01%, respectively, underperforming the benchmark, the BofA Merrill Lynch BB-B U.S. High Yield Constrained Index (the “Index”), which returned 5.40% for the same period.

What economic and market factors most influenced the fixed income markets as a whole during the year ended December 31, 2011?

In 2011, the global financial markets consistently made headlines for their persistent volatility resulting from a variety of forces on both Main Street and Wall Street. At the start of 2011, fixed income sectors including Agency Fixed Rate Mortgages, Investment Grade Credit, and High Yield Credit generated positive returns, as measured by the excess return of these sectors relative to U.S. Treasuries as global markets struggled to absorb implications of intensified political unrest across the Middle East and North Africa, rising commodity prices and the earthquake and nuclear accidents in Japan. Yields on U.S. Treasuries rose overall amid signs of economic recovery in the U.S. and concerns the Federal Reserve’s (Fed’s) second round of U.S. Treasury bond purchases known as quantitative easing (QE2) might spark inflation. At the end of the first quarter of 2011, a confluence of events prompted a move toward the perceived safety of U.S. Treasuries.

With this flight to quality, U.S. Treasury yields fell in the second quarter as higher gasoline prices and lingering effects from Japan’s earthquake on the global supply chains curtailed U.S. growth. Concern about the sovereign debt crisis in the Eurozone further boosted demand for U.S. Treasuries. On June 30, the Fed ended its $600 billion QE2 program and indicated its intention to continue buying Treasuries with proceeds from maturing debt on its $2.9 trillion balance sheet. The Fed also reiterated its “extended period” language for a near-zero federal funds rate.

With the Fed’s continued participation in the financial markets, U.S. Treasury yields continued to fall in the third quarter as the U.S. debt ceiling debate, Standard & Poor’s downgrade of the U.S. long-term credit rating and concern about the sovereign debt crisis in Europe sparked a flight to safety and boosted demand for U.S. Treasuries. Additionally, the Eurozone sovereign debt crisis intensified as the likelihood of a Greek debt restructuring increased. Other European countries, including Ireland, Italy, and Spain continued to struggle with sovereign debt levels, increasing pressure on European leaders to develop a comprehensive policy response. In an effort to reinvigorate the faltering economy, the Fed launched “Operation Twist,” signaling its intent to buy $400 billion of long-dated U.S. Treasuries by the end of June 2012. To finance this program, the Fed agreed to sell Treasury securities with remaining maturities of 3 years or less to make financial conditions more accommodative by putting downward pressure on longer-term interest rates.

Following the Fed’s announcement of “Operation Twist”, most bonds gained during the fourth quarter, as global financial markets digested improving U.S. economic data and uncertainty surrounding the Eurozone sovereign debt crisis. A rebound in U.S. consumption towards the end of the year improved investor risk appetites and helped most fixed income sectors outperform U.S. Treasuries. Despite improving consumer confidence in the U.S., the Eurozone sovereign debt crisis continued to fuel volatility in the global financial markets. In response to these pressures, the International Monetary Fund (IMF) announced a liquidity program designed to provide more favorable financing conditions for countries struggling with escalating borrowing costs. Despite the IMF’s efforts and the growth of the European Financial Stability Fund (EFSF), many Eurozone countries still faced increasing unemployment and worsening debt-to-Gross Domestic Product (GDP) ratios into the year end.

77

SC ^SM PIMCO HIGH YIELD FUND (Continued)

What key strategies were most responsible for the Fund’s performance during the year ended December 31, 2011?

The following strategies contributed to relative performance for the year:

• An overweight allocation to the Cable sector as select issuers benefited from merger and acquisition transactions in the sector.

• An underweight to the Building Products sector as positive U.S. economic data negatively affected sectors that are more correlated to future economic growth.

• Security selection within the Industrial sector as select issuers reported strong operating results.

The following strategies detracted from relative performance for the year:

• An underweight allocation to the Energy sector as the sector outperformed given its defensive nature, in particular gas distributors and oil refiners.

• Security selection within the Telecommunications sector as fixed-line and integrated providers outperformed their wireless provider counterparts.

• An overweight allocation to the Transportation sector as a large default in the airline industry caused pressure on the sector, in addition to elevated fuel prices.

What changes did you make to the Fund’s sector allocations during the year ended December 31, 2011 and how did these affect performance during the reporting period?

During the year, while maintaining an underweight to the Index, the Fund slightly increased its exposure to the Building Products sector and increased its overweight allocation to the Cable sector, which were positive contributors for performance. The Fund also reduced exposure to investment grade credit over the year. The reduction was positive in the latter part of the year as the market’s appetite for risk increased.

Did the Fund experience major changes to its top ten issuers during the year ended December 31, 2011?

There were no material changes to the December 31, 2011 top ten issuers list relative to the December 31, 2010 top ten issuers list.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At the end of the year, the Fund was positioned with an underweight to duration relative to the benchmark, as well as a slight curve flattening bias. From a sector perspective, the Fund was most overweight (ex-U.S. Treasuries) in developed Sovereigns, Chemicals, and Wireless. The three largest sector underweights in the Fund were to the Wirelines, Real Estate, and Home Construction credit sectors.

78

SC ^SM PIMCO HIGH YIELD FUND (Continued)

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

** Amount is less than 0.05%.

TOP TEN ISSUERS AT DECEMBER 31, 2011

	% of Net Assets			Category
U.S. Treasury		4.8	%	U.S. Treasury
Ford Motor Credit Co. LLC		2.1		Corporate Debt – Automotive
Intelsat Jackson SA		2.1		Corporate Debt – Telecommunications
Ally Financial, Inc.		1.7		Corporate Debt – Banks
CIT Group, Inc.		1.7		Corporate Debt – Financials
HCA, Inc.		1.7		Corporate Debt – Health Care
Reynolds Group Issuer, Inc.		1.6		Corporate Debt – Holding Companies
MGM Resorts International		1.5		Corporate Debt – Gaming
International Lease Finance Corp.		1.5		Corporate Debt – Financials
Sprint Nextel Corp.		1.5		Corporate Debt – Telecommunications

79

SC ^SM PIMCO HIGH YIELD FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC PIMCO High Yield Fund – Initial Class and the BofA Merrill Lynch BB-B U.S. High Yield Constrained Index

Comparison of Change in Value of a $10,000 Investment in the SC PIMCO High Yield Fund – Service Class and the BofA Merrill Lynch BB-B U.S. High Yield Constrained Index

80

SC ^SM PIMCO HIGH YIELD FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC PIMCO High Yield Fund–Initial Class Shares		4.26	%		15.36	%		7.62	%
SC PIMCO High Yield Fund–Service Class Shares		4.01	%		15.07	%		7.36	%
BofA Merrill Lynch BB-B U.S. High Yield Constrained Index*		5.40	%		20.71	%		8.75	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The BofA Merrill Lynch BB-B U.S. High Yield Constrained Index contains all securities in the BofA Merrill Lynch U.S. High Yield Index rated BB1 through B3, based on an average of Moody’s, S&P and Fitch, but caps issuer exposure at 2%.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC PIMCO High Yield Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from March 7, 2008 (commencement of operations) to December 31, 2011.

81

SC ^SM PIMCO TOTAL RETURN FUND

(subadvised by Pacific Investment Management Company LLC)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Fund perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC PIMCO Total Return Fund (the “Fund”) returned 3.70% and 3.35%, respectively, underperforming the benchmark, the Barclays Capital U.S. Aggregate Bond Index (the “Index”), which returned 7.84% for the same period.

What economic and market factors most influenced the fixed income markets as a whole during the year ended December 31, 2011?

In 2011, the global financial markets consistently made headlines for their persistent volatility resulting from a variety of forces on both Main Street and Wall Street. At the start of 2011, fixed income sectors including Agency Fixed Rate Mortgages, Investment Grade Credit, and High Yield Credit generated positive returns, as measured by the excess return of these sectors relative to U.S. Treasuries as global markets struggled to absorb implications of intensified political unrest across the Middle East and North Africa, rising commodity prices and the earthquake and nuclear accidents in Japan. Yields on U.S. Treasuries rose overall amid signs of economic recovery in the U.S. and concerns the Federal Reserve’s (Fed’s) second round of U.S. Treasury bond purchases known as quantitative easing (QE2) might spark inflation. At the end of the first quarter of 2011, a confluence of events prompted a move toward the perceived safety of U.S. Treasuries.

With this flight to quality, U.S. Treasury yields fell in the second quarter as higher gasoline prices and lingering effects from Japan’s earthquake on the global supply chains curtailed U.S. growth. Concern about the sovereign debt crisis in the Eurozone further boosted demand for U.S. Treasuries. On June 30, the Fed ended its $600 billion QE2 program and indicated its intention to continue buying Treasuries with proceeds from maturing debt on its $2.9 trillion balance sheet. The Fed also reiterated its “extended period” language for a near-zero federal funds rate.

With the Fed’s continued participation in the financial markets, U.S. Treasury yields continued to fall in the third quarter as the U.S. debt ceiling debate, Standard & Poor’s downgrade of the U.S. long-term credit rating and concern about the sovereign debt crisis in Europe sparked a flight to safety and boosted demand for U.S. Treasuries. Additionally, the Eurozone sovereign debt crisis intensified as the likelihood of a Greek debt restructuring increased. Other European countries, including Ireland, Italy, and Spain continued to struggle with sovereign debt levels, increasing pressure on European leaders to develop a comprehensive policy response. In an effort to reinvigorate the faltering economy, the Fed launched “Operation Twist,” signaling its intent to buy $400 billion of long-dated U.S. Treasuries by the end of June 2012. To finance this program, the Fed agreed to sell Treasury securities with remaining maturities of 3 years or less to make financial conditions more accommodative by putting downward pressure on longer-term interest rates.

Following the Fed’s announcement of “Operation Twist”, most bonds gained during the fourth quarter, as global financial markets digested improving U.S. economic data and uncertainty surrounding the Eurozone sovereign debt crisis. A rebound in U.S. consumption towards the end of the year improved investor risk appetites and helped most fixed income sectors outperform U.S. Treasuries. Despite improving consumer confidence in the U.S., the Eurozone sovereign debt crisis continued to fuel volatility in the global financial markets. In response to these pressures, the International Monetary Fund (IMF) announced a liquidity program designed to provide more favorable financing conditions for countries struggling with escalating borrowing costs. Despite the IMF’s efforts and the growth of the European Financial Stability Fund (EFSF), many Eurozone countries still faced increasing unemployment and worsening debt-to-Gross Domestic Product (GDP) ratios into the year end.

82

SC ^SM PIMCO TOTAL RETURN FUND (Continued)

What key strategies were most responsible for the Fund’s performance during the year ended December 31, 2011?

The following strategies contributed to relative performance for the year:

• Exposure to non-U.S. interest rates in developed countries, particularly core Europe; where rates declined as investors searched for bonds of nations with stronger balance sheets and top credit ratings.

• Exposure to money market futures, including Eurodollar and Euribor futures, as these contracts increased in price over the year.

The following strategies detracted from relative performance for the year:

• U.S. duration and curve positioning during the year as rates fell as sequential balance sheet contamination reached European sovereign debt, and U.S. political dysfunction fed economic weakness and resulted in an historic sovereign debt downgrade.

• An overweight to Financials which lagged the broader corporate market amid fears of a slowdown in global growth and uncertainty surrounding contagion related to European sovereign risk.

• Exposure to emerging market currencies, as the U.S. Dollar strengthened as investors sought safety.

• Mortgage positioning during the year as this sector underperformed U.S. Treasuries.

• An underweight to longer dated U.S. Treasuries on the Treasury yield curve via interest rate swaps was a detractor to performance as the 30-year yield fell 144 basis points over the year.

• An overweight to investment grade corporate debt, partially implemented via credit default swaps, was negative for performance as this sector underperformed U.S. Treasuries for the year.

What changes did you make to the Fund’s sector allocations during the year ended December 31, 2011 and how did these affect performance during the reporting period?

Agency Mortgage Backed Securities (MBS) was an active component within the Fund, and the position relative to the benchmark moved meaningfully during the year. At the beginning of the year, the Fund was overweight Agency MBS before tactically moving to an underweight position during the summer and mid-year. This position was reversed and moved to an overweight position at the end of the third quarter, and the overweight was maintained at year-end. Agency MBS positioning was a detractor to performance as this sector underperformed like-duration U.S. Treasuries for the year. Additionally, the Fund decreased its exposure to high yield debt. High yield underperformed like-duration U.S. Treasuries over the year, a casualty of the risk averse environment. Finally, the Fund increased exposure to non-U.S. developed countries throughout the year. This exposure to non-U.S. interest rates, particularly in core Europe, added to returns as investors searched for bonds of nations with stronger balance sheets and top credit ratings.

Did the Fund experience major changes to its top ten issuers during the year ended December 31, 2011?

The Fund experienced material changes to its top ten issuers in 2011 as six new issuers joined the top ten issuers list at the end of 2011. Except for Government National Mortgage Association (GNMA) and Arkle Master Issuer PLC., the four issuers which were no longer on the Fund’s top ten issuers list when compared to the December 31, 2010 issuers list were still held by the Fund, but in reduced positions. The Fund’s positions in GNMA and Arkle Master Issuer PLC were eliminated during the year. Kells Funding LLC, Barclays Bank PLC and

83

SC ^SM PIMCO TOTAL RETURN FUND (Continued)

American International Group, Inc. were three new issuers on the Fund’s top ten issuers list at December 31, 2011 that were held by the Fund at December 31, 2010, but during the year, their position size expanded due to market fluctuations and/or additional purchases by the Fund such that they moved into the top ten issuers list. HBOS PLC, Springleaf Finance Corp. and BellSouth Corp. were three new issuers on the Fund’s top ten issuers list as of December 31, 2011 that the Fund invested during the year. Although FNMA and U.S. Treasury remained on the top ten issuers list at December 31, 2011, their positions were materially altered during the year as the Fund increased exposure to agency mortgages, as they are a source of high quality yield and offer favorable risk-adjusted returns relative to other sectors, and decreased the market value weight to U.S. Government debt. However, the Fund increased exposure to U.S. duration moving to an overweight relative to the benchmark, as the Fund concentrated on intermediate maturities that offer the best potential for price appreciation and “roll down” given the suppression of yields on shorter maturities.

How was the Fund positioned relative to its benchmark index at December 31, 2011?

At the end of the year, the Fund was positioned with a moderate overweight to duration relative to the benchmark, and a bias towards a steepening yield curve. From a sector perspective, the Fund is overweight mortgages and underweight investment grade credit. However, within the Fund’s investment grade credit allocation, the Fund was overweight in the Banks and Financials sectors. The Fund’s emerging markets allocation was also an overweight position relative to the Index.

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

** Amount is less than 0.05%.

84

SC ^SM PIMCO TOTAL RETURN FUND (Continued)

TOP TEN ISSUERS AT DECEMBER 31, 2011

	% of Net Assets			Category
Federal National Mortgage Association		44.6	%	U.S. Government Agency
U.S. Treasury		28.3		U.S. Treasury
Province of Ontario		3.8		Foreign Government
Kells Funding LLC		3.4		Short Term Investments – Commercial Paper
Citigroup, Inc.		1.9		Corporate Debt & Preferred Stocks – Banks
Barclays Bank PLC		1.5		Corporate Debt – Banks
HBOS PLC		1.4		Corporate Debt – Banks
Springleaf Finance Corp.		1.3		Corporate Debt – Financials
American International Group, Inc.		1.0		Corporate Debt – Insurance
BellSouth Corp.		1.0		Corporate Debt – Telecommunications

Comparison of Change in Value of a $10,000 Investment in the SC PIMCO Total Return Fund – Initial Class and the Barclays Capital U.S. Aggregate Bond Index

Comparison of Change in Value of a $10,000 Investment in the SC PIMCO Total Return Fund – Service Class and the Barclays Capital U.S. Aggregate Bond Index

85

SC ^SM PIMCO TOTAL RETURN FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC PIMCO Total Return Fund–Initial Class Shares		3.70	%		6.68	%		8.01	%
SC PIMCO Total Return Fund–Service Class Shares		3.35	%		6.39	%		7.72	%
Barclays Capital U.S. Aggregate Bond Index*		7.84	%		6.77	%		7.71	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Barclays Capital U.S. Aggregate Bond Index is a widely recognized market value-weighted index composed of U.S. Treasuries, agencies, credit, asset-backed securities, commercial mortgage-backed securities and mortgage-backed securities.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC PIMCO Total Return Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

86

SC ^SM IBBOTSON BALANCED, CONSERVATIVE AND GROWTH FUNDS

(subadvised by Ibbotson Associates, Inc.)

MANAGEMENT’S DISCUSSION & ANALYSIS:

How did the Funds perform during the year ended December 31, 2011?

For the year ended December 31, 2011, the Initial and Service Class shares of SC Ibbotson Balanced Fund (the “Balanced Fund”) returned (1.56)% and (1.81)%, respectively, underperforming the benchmark, the Dow Jones Moderate U.S. Relative Risk Portfolio Index, which returned 3.32% for the same period.

For the year ended December 31, 2011, the Initial and Service Class shares of SC Ibbotson Conservative Fund (the “Conservative Fund”) returned 0.97% and 0.63%, respectively, underperforming the benchmark, the Dow Jones Moderately Conservative U.S. Relative Risk Portfolio Index, which returned 5.07% for the same period.

For the year ended December 31, 2011, the Initial and Service Class shares of SC Ibbotson Growth Fund (the “Growth Fund”) returned (3.66)% and (3.90)%, respectively, underperforming the benchmark, the Dow Jones Moderately Aggressive U.S. Relative Risk Portfolio Index, which returned 1.45% for the same period.

What key economic and market factors most influenced management’s tactical asset allocation strategy for the Balanced, Conservative and Growth Funds (the “Funds”) during the year ended December 31, 2011?

2011 was dominated by sovereign debt issues. The year was a turbulent period with bond asset classes ending with positive returns, U.S. large cap equities ending with muted but positive returns, and U.S. small- and mid-cap equities and international equities performing poorly. To counteract the high volatility and uncertainty in the markets, the Funds aimed to balance diversification and de-risking throughout the year.

Stock prices in the U.S. increased in January and February on the back of positive economic data, positive earnings announcements, and a continued appetite for risk. It was not until the earthquake in Japan that the market saw large losses as evidenced by the S&P 500 Index, which lost approximately 5% of its value between March 10 and March 16. Over the following two weeks the index recovered all of the losses, closing the first quarter with a 4.6% gain. Emerging market equities underperformed developed market equities in January and February and strong growth and rising commodity prices forced policymakers to put in place inflation-fighting policies.

In the second quarter of 2011, risky assets reversed course and performed poorly as the global economy slowed down and markets feared the consequences of possible sovereign debt defaults in the Eurozone. Consequently, AAA-rated sovereign debt appreciated, credit spreads widened, developed market equities ended the quarter either flat or with small losses, and emerging market asset classes underperformed their developed market counterparts once again. Commodity prices fell, with the exception of oil, which suffered from the loss of Libyan output and OPEC’s decision to maintain current production levels. Real Estate Investment Trusts (REITs) outperformed equities, in a rally that left their valuations stretched.

For most of the first half of 2011, the Funds were positioned neutrally relative to strategic targets due to the Ibbotson Policy Committee’s (IPC) expectations that stocks and bonds would perform in-line with forecasts. At the end of June, Ibbotson’s IPC deemed the recent outperformance of U.S. property stocks left them with stretched valuation ratios that were hard to justify by fundamentals. Large-cap stocks exhibited the cheapest valuation within the U.S. equity space. As a result, the IPC recommended to underweight U.S. REITs and overweight U.S. large cap equities.

During the second half of the year, the world economy took a turn for the worse on concerns about looming sovereign debt defaults and the solvency of European banks, which in turn, triggered a large increase in financial volatility. Volatility rose initially after the downgrade of the U.S. credit rating by Standard and Poor’s. Continued

87

SC ^SM IBBOTSON BALANCED, CONSERVATIVE AND GROWTH FUNDS (Continued)

bad news from the Eurozone, and weaker-than-expected macroeconomic data continued the economic uncertainty. Along with higher volatility came higher correlation across asset classes. Overall, equity markets moved in unison, and sovereign yields in developed countries dropped. Broadly speaking, investors shunned equities in favor of fixed income; corporate debt in favor of sovereign debt; high-yield debt in favor of investment grade debt; and international equities in favor of U.S. equities. Sharp losses in the U.S. equity market and the widening of credit spreads combined with the downward revision of the economic outlook in the third quarter, increased the probability of another economic recession within the next six months in the U.S. Nearing the end of the year, better than-expected economic news in the U.S. and distance from the sovereign debt issues plaguing other parts of the world buoyed U.S. equities, with the S&P 500 Index making gains on earlier loses.

What changes did you make to the Funds’ allocations during the reporting year and how did it affect performance during the year ended December 31, 2011?

With the exception of the REIT underweight which contributed positively to performance, the tactical asset allocations slightly detracted from the Funds’ performance for the year.

The first half of the year was quiet in terms of tactical changes to the Funds’ allocations. At the beginning of June, the IPC conducted its annual review of the strategic asset allocations, which serve as long-term, neutral targets, and adjusted the underlying fund exposures accordingly. The Balanced and Conservative Funds initiated allocations to the SC BlackRock Small Cap Index Fund by reducing their exposure to the SC Goldman Sachs Mid Cap Value Fund. In the Growth Fund, the strategic exposure to small- and mid-cap equities was raised at the expense of large cap equities. The Funds slightly increased their allocations in SC BlackRock Small Cap Index, SC Invesco Small Cap Growth and SC WMC Blue Chip Mid Cap Funds, whereas the allocations to the SC Lord Abbett Growth & Income and MFS Value Funds were slightly reduced. The strategic adjustments detracted from performance in the Funds since large cap equities outperformed mid cap which, in turn, outperformed small cap equities for the year.

At the end of June, the IPC recommended an underweight in REITs and an overweight in U.S. large cap equities. In August, the IPC recommended to underweight U.S. small cap equities and high yield debt as well as to overweight U.S. large cap equities and investment grade corporate debt. As a result of these changes, the exposure to small cap equities was reduced in the Balanced and Conservative Funds by reducing the allocation to the SC Columbia Small Cap Value Fund and increasing the allocations to the MFS Value and SC BlackRock Large Cap Index Funds. The Balanced and Conservative Funds also reduced their exposure in the SC PIMCO High Yield Fund and reallocated assets to SC PIMCO Total Return and Sun Capital Investment Grade Bond Funds. In the Growth Fund, reduced positions in the SC Invesco Small Cap Growth, SC BlackRock Small Cap Index and SC Columbia Small Cap Value Funds were reallocated to the MFS Value and SC BlackRock Large Cap Index Funds.

In late September, the IPC recommended to further reduce risk in the Funds and overweight cash equivalents or short-term bonds at the expense of equities. This resulted in reduced exposures to the SC Davis Venture Value, SC Goldman Sachs Mid Cap Value, SC AllianceBernstein International Value and MFS International Growth Funds and reallocations to the SC Goldman Sachs Short Duration Fund.

In December, the IPC recommended to remove the underweight in high yield debt. However, no changes were made at the fund level since the asset class targets were effectively achieved due to increases in the underlying high yield exposures of the SC PIMCO Total Return and Sun Capital Investment Grade Bond Funds.

What key factors were responsible for the Funds’ performance during the year ended December 31, 2011?

In the volatile year of 2011, fixed income assets outperformed equities and among equity asset classes, U.S. equities outperformed non-U.S. developed and emerging market equities, growth stocks outperformed value

88

SC ^SM IBBOTSON BALANCED, CONSERVATIVE AND GROWTH FUNDS (Continued)

stocks, and large-cap equities outperformed mid-cap and small-cap equities. Among the fixed income asset classes, Treasury Inflation Protected Securities (TIPS) significantly outperformed all other bonds, and investment-grade bonds outperformed high yield and short-term bonds. Relative to basic, blended benchmarks of the S&P 500 and Barclays Capital U.S. Aggregate Bond indices, the SC Funds’ asset allocations and asset class diversification detracted from relative performance mainly due to strategic exposure to non-U.S. equities and short-term bonds.

The dynamic asset allocation weightings, discussed earlier, took an increasingly defensive posturing over the last half of the year which, in the third quarter contributed positively to performance relative to strategic targets but wound up slightly detracting from relative performance due to the strong outperformance of equities relative to bonds in the fourth quarter. Additionally, the underweight in REITs contributed positively to performance.

In the Balanced, Conservative, and Growth Funds, underlying fund-level performance detracted from overall performance relative to a weighted-average of indices representing our targeted asset class exposure across all Funds. The SC Lord Abbett Growth & Income, SC WMC Large Cap Growth, SC WMC Blue Chip Mid Cap, SC Ibbotson Tactical Opportunities and SC Davis Venture Value Funds experienced the largest underperformance relative to their respective benchmarks during the year.

Which underlying funds were the most significant contributors/detractors to the Funds’ performance for the year ended December 31, 2011?

Balanced Fund

The SC BlackRock Inflation Protected Bond, Sun Capital Investment Grade Bond, SC PIMCO Total Return, SC Goldman Sachs Mid Cap Value and SC PIMCO High Yield Funds were the top positive contributors to the Balanced Fund’s absolute performance. The SC Ibbotson Tactical Opportunities, MFS International Growth, SC AllianceBernstein International Value, MFS Emerging Markets Equity and SC BlackRock International Index Funds were the most significant detractors to the Balanced Fund’s absolute performance for the year.

Conservative Fund

The SC BlackRock Inflation Protected Bond, Sun Capital Investment Grade Bond, SC PIMCO Total Return, SC PIMCO High Yield, and SC Goldman Sachs Mid Cap Value Funds were the top positive contributors to the Conservative Fund’s absolute performance. The SC Ibbotson Tactical Opportunities, SC AllianceBernstein International Value, MFS International Growth, SC WMC Blue Chip Mid Cap and SC BlackRock International Index Funds were the most significant detractors to the Conservative Fund’s absolute performance for the year.

Growth Fund

The SC BlackRock Inflation Protected Bond, SC PIMCO Total Return, Sun Capital Investment Grade Bond, MFS Value and SC Goldman Sachs Mid Cap Value Funds were the top positive contributors to the Growth Fund’s absolute performance. The SC Ibbotson Tactical Opportunities, MFS International Growth, SC AllianceBernstein International Value, SC WMC Blue Chip Mid Cap and MFS Emerging Markets Equity Funds were the most significant detractors to the Growth Fund’s absolute performance for the year.

89

SC ^SM IBBOTSON BALANCED FUND

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN INVESTMENT COMPANIES AT DECEMBER 31, 2011

	% of Net Assets			Category
SC Ibbotson Tactical Opportunities Fund		19.9	%	Fund of ETFs
SC Goldman Sachs Short Duration Fund		11.9		Fixed Income
SC PIMCO Total Return Fund		10.0		Fixed Income
Sun Capital Investment Grade Bond Fund		8.0		Fixed Income
SC BlackRock Inflation Protected Bond Fund		6.9		Fixed Income
MFS Value Portfolio		5.5		Domestic Equity
SC WMC Large Cap Growth Fund		4.5		Domestic Equity
SC BlackRock Large Cap Index Fund		3.8		Domestic Equity
SC Davis Venture Value Fund		3.6		Domestic Equity
MFS International Growth Portfolio		3.5		International Equity

90

SC ^SM IBBOTSON BALANCED FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Balanced Fund – Initial Class and the Dow Jones Moderate U.S. Relative Risk Portfolio Index

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Balanced Fund – Service Class and the Dow Jones Moderate U.S. Relative Risk Portfolio Index

91

SC ^SM IBBOTSON BALANCED FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Ibbotson Balanced Fund–Initial Class Shares		(1.56	)%		11.02	%		6.87	%
SC Ibbotson Balanced Fund–Service Class Shares		(1.81	)%		10.73	%		6.57	%
Dow Jones Moderate U.S. Relative Risk Portfolio Index*		3.32	%		13.43	%		7.54	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Dow Jones Relative Risk Indices measure the performance of conservative, moderate and aggressive portfolios based on incremental levels of potential risk. The indices are designed to systematically measure various levels of risk relative to the risk of a U.S. all-stock index. The Dow Jones Moderate U.S. Relative Risk Portfolio Index consists of 60% equities and 40% fixed income.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Ibbotson Balanced Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

92

SC ^SM IBBOTSON CONSERVATIVE FUND

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN INVESTMENT COMPANIES AT DECEMBER 31, 2011

	% of Net Assets			Category
SC Goldman Sachs Short Duration Fund		19.3	%	Fixed Income
SC PIMCO Total Return Fund		12.7		Fixed Income
SC BlackRock Inflation Protected Bond Fund		11.8		Fixed Income
Sun Capital Investment Grade Bond Fund		11.7		Fixed Income
SC Ibbotson Tactical Opportunities Fund		9.9		Fund of ETFs
MFS Value Portfolio		4.8		Domestic Equity
SC PIMCO High Yield Fund		4.0		Fixed Income
SC WMC Large Cap Growth Fund		4.0		Domestic Equity
SC BlackRock Large Cap Index Fund		3.3		Domestic Equity
SC WMC Blue Chip Mid Cap Fund		3.0		Domestic Equity

93

SC ^SM IBBOTSON CONSERVATIVE FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Conservative Fund – Initial Class and the Dow Jones Moderately Conservative U.S. Relative Risk Portfolio Index

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Conservative Fund – Service Class and the Dow Jones Moderately Conservative U.S. Relative Risk Portfolio Index

94

SC ^SM IBBOTSON CONSERVATIVE FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Ibbotson Conservative Fund–Initial Class Shares		0.97	%		9.83	%		6.24	%
SC Ibbotson Conservative Fund–Service Class Shares		0.63	%		9.57	%		5.97	%
Dow Jones Moderately Conservative U.S. Relative Risk Portfolio Index*		5.07	%		11.09	%		7.76	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Dow Jones Relative Risk Indices measure the performance of conservative, moderate and aggressive portfolios based on incremental levels of potential risk. The indices are designed to systematically measure various levels of risk relative to the risk of a U.S. all-stock index. The Dow Jones Moderately Conservative U.S. Relative Risk Portfolio Index consists of 40% equities and 60% fixed income.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Ibbotson Conservative Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

95

SC ^SM IBBOTSON GROWTH FUND

PORTFOLIO COMPOSITION AT DECEMBER 31, 2011*

Percentage of Net Assets

* The percentages shown for each investment category reflect the value of investments in that category as a percentage of net assets. Figures in the above graph may not total to 100% due to the exclusion of the Fund’s other assets and liabilities.

TOP TEN INVESTMENT COMPANIES AT DECEMBER 31, 2011

	% of Net Assets			Category
SC Ibbotson Tactical Opportunities Fund		20.1	%	Fund of ETFs
SC PIMCO Total Return Fund		8.3		Fixed Income
SC Davis Venture Value Fund		7.7		Domestic Equity
SC WMC Large Cap Growth Fund		7.3		Domestic Equity
MFS Value Portfolio		6.7		Domestic Equity
SC BlackRock Large Cap Index Fund		5.6		Domestic Equity
MFS International Growth Portfolio		5.5		International Equity
SC WMC Blue Chip Mid Cap Fund		5.1		Domestic Equity
SC Goldman Sachs Mid Cap Value Fund		4.7		Domestic Equity
Sun Capital Investment Grade Bond Fund		4.4		Fixed Income

96

SC ^SM IBBOTSON GROWTH FUND (Continued)

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Growth Fund – Initial Class and the Dow Jones Moderately Aggressive U.S. Relative Risk Portfolio Index

Comparison of Change in Value of a $10,000 Investment in the SC Ibbotson Growth Fund – Service Class and the Dow Jones Moderately Aggressive U.S. Relative Risk Portfolio Index

97

SC ^SM IBBOTSON GROWTH FUND (Continued)

Average Annual Total Returns for Periods Ended December 31, 2011**

	One Year			Three Years			Life of Fund***
SC Ibbotson Growth Fund–Initial Class Shares		(3.66	)%		11.71	%		6.75	%
SC Ibbotson Growth Fund–Service Class Shares		(3.90	)%		11.44	%		6.51	%
Dow Jones Moderately Aggressive U.S. Relative Risk Portfolio Index*		1.45	%		15.64	%		7.04	%

*The performance data of the index has been prepared from sources and data that the investment adviser believes to be reliable, but no representation is made as to their accuracy. The index is unmanaged and cannot be invested in directly. The Dow Jones Relative Risk Indices measure the performance of conservative, moderate and aggressive portfolios based on incremental levels of potential risk. The indices are designed to systematically measure various levels of risk relative to the risk of a U.S. all-stock index. The Dow Jones Moderately Aggressive U.S. Relative Risk Portfolio Index consists of 80% equities and 20% fixed income.

**Performance data is historical and includes changes in share price and reinvestment of income dividends and capital gains distributions. Past performance is no guarantee of future results. Performance may have changed materially since December 31, 2011. All Fund returns are net of fees and expenses, but do not include any insurance charges imposed in connection with your variable insurance contract. If this performance information included the effect of the insurance charges and the fees and expenses assumed by the investment adviser, performance numbers would be lower. The value of an investment in the SC Ibbotson Growth Fund and the return on the investment will fluctuate and redemption proceeds may be higher or lower than an investor’s original cost.

***For the period from October 1, 2008 (commencement of operations) to December 31, 2011.

98

EXPENSE INFORMATION

December 31, 2011 (Unaudited)

Information About Your Fund’s Expenses

All mutual funds incur ongoing operating expenses, including management fees and administrative services, among others. The following table is intended to increase your understanding of the ongoing costs of investing in each Fund. The following example is based on the investment of $1,000 at the beginning of the period and held for the entire period, July 1, 2011 to December 31, 2011. Expense information does not include any insurance charges imposed in connection with your variable insurance contract.

Actual Expenses: The table below provides information about actual account values and actual expenses. You may use the actual account values and actual expense information below, together with the amount you invested, to estimate the expenses you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund under the heading “Actual Expenses Paid During Period”. In addition, SC Ibbotson Tactical Opportunities Fund, SC Ibbotson Balanced Fund, SC Ibbotson Conservative Fund and SC Ibbotson Growth Fund, as shareholders in underlying funds, indirectly bear a pro rata share of the fees and expenses incurred by the underlying funds. These fees and expenses are not included in the annualized expense ratios used to calculate the “Net Expense Ratio During Period” for the Funds.

Hypothetical (5% annual return before expenses): The table below also provides information about hypothetical account values and hypothetical expenses for comparison purposes. The hypothetical account values and hypothetical expenses are based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. However, you may use this information to compare the ongoing costs of investing in the Funds with the hypothetical examples that appear in the shareholder reports of other mutual funds. In addition, SC Ibbotson Tactical Opportunities Fund, SC Ibbotson Balanced Fund, SC Ibbotson Conservative Fund and SC Ibbotson Growth Fund, as shareholders in underlying funds, indirectly bear a pro rata share of the fees and expenses incurred by the underlying funds. These fees and expenses are not included in the annualized expense ratios used to calculate the “Net Expense Ratio During Period” for the Funds.

Expense Information

	Beginning Account Value 7/1/11		Actual Ending Account Value 12/31/11		Hypothetical Ending Account Value 12/31/11		Actual Expenses Paid During Period*		Hypothetical Expenses Paid During Period*		Net Expense Ratio During Period
SC AllianceBernstein International Value Fund
Initial Class	$	1,000.00	$	807.50	$	1,021.37	$	3.46	$	3.87		0.76	%
Service Class		1,000.00		807.40		1,020.11		4.60		5.14		1.01
SC BlackRock International Index Fund
Initial Class		1,000.00		832.10		1,022.13		2.82		3.11		0.61
Service Class		1,000.00		830.60		1,020.87		3.97		4.38		0.86
SC BlackRock Large Cap Index Fund
Initial Class		1,000.00		960.50		1,022.63		2.52		2.60		0.51
Service Class		1,000.00		958.80		1,021.37		3.75		3.87		0.76
SC BlackRock Small Cap Index Fund
Initial Class		1,000.00		899.20		1,022.13		2.92		3.11		0.61
Service Class		1,000.00		897.80		1,020.87		4.11		4.38		0.86
SC Goldman Sachs Mid Cap Value Fund
Initial Class		1,000.00		937.40		1,019.86		5.18		5.40		1.06
Service Class		1,000.00		936.80		1,018.60		6.40		6.67		1.31
SC Columbia Small Cap Value Fund
Initial Class		1,000.00		908.40		1,019.36		5.58		5.90		1.16
Service Class		1,000.00		907.30		1,018.10		6.78		7.17		1.41

* For each class of the Fund, expenses are equal to the six-month annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent six-month period.

99

EXPENSE INFORMATION (Continued)

December 31, 2011 (Unaudited)

	Beginning Account Value 7/1/11		Actual Ending Account Value 12/31/11		Hypothetical Ending Account Value 12/31/11		Actual Expenses Paid During Period*		Hypothetical Expenses Paid During Period*		Net Expense Ratio During Period
SC Davis Venture Value Fund
Initial Class	$	1,000.00	$	936.00	$	1,020.92	$	4.15	$	4.33		0.85	%
Service Class		1,000.00		935.00		1,019.66		5.36		5.60		1.10
SC Invesco Small Cap Growth Fund
Initial Class		1,000.00		885.90		1,019.36		5.51		5.90		1.16
Service Class		1,000.00		884.90		1,018.10		6.70		7.17		1.41
SC Lord Abbett Growth & Income Fund
Initial Class		1,000.00		914.70		1,020.77		4.25		4.48		0.88
Service Class		1,000.00		913.20		1,019.51		5.45		5.75		1.13
SC WMC Blue Chip Mid Cap Fund
Initial Class		1,000.00		864.20		1,020.37		4.51		4.89		0.96
Service Class		1,000.00		862.70		1,019.11		5.68		6.16		1.21
SC WMC Large Cap Growth Fund
Initial Class		1,000.00		908.80		1,020.62		4.38		4.63		0.91
Service Class		1,000.00		907.80		1,019.36		5.58		5.90		1.16
Sun Capital Global Real Estate Fund
Initial Class		1,000.00		874.40		1,019.71		5.15		5.55		1.09
Service Class		1,000.00		874.10		1,018.45		6.33		6.82		1.34
SC Ibbotson Tactical Opportunities Fund
Initial Class		1,000.00		891.60		1,022.99		2.10		2.24		0.44
Sun Capital Investment Grade Bond Fund
Initial Class		1,000.00		1,030.80		1,021.68		3.58		3.57		0.70
Service Class		1,000.00		1,029.50		1,020.42		4.86		4.84		0.95
Sun Capital Money Market Fund
Initial Class		1,000.00		1,000.60		1,025.21		0.00		0.00		0.00
Service Class		1,000.00		1,000.00		1,024.60		0.60		0.61		0.12
SC BlackRock Inflation Protected Bond Fund
Initial Class		1,000.00		1,062.90		1,021.88		3.43		3.36		0.66
Service Class		1,000.00		1,062.10		1,020.62		4.73		4.63		0.91
SC Goldman Sachs Short Duration Fund
Initial Class		1,000.00		997.60		1,021.93		3.27		3.31		0.65
Service Class		1,000.00		995.30		1,020.67		4.53		4.58		0.90
SC PIMCO High Yield Fund
Initial Class		1,000.00		1,000.50		1,021.42		3.78		3.82		0.75
Service Class		1,000.00		999.30		1,020.16		5.04		5.09		1.00
SC PIMCO Total Return Fund
Initial Class		1,000.00		1,010.40		1,021.88		3.34		3.36		0.66
Service Class		1,000.00		1,008.20		1,020.62		4.61		4.63		0.91
SC Ibbotson Balanced Fund
Initial Class		1,000.00		942.50		1,024.30		0.88		0.92		0.18
Service Class		1,000.00		940.80		1,023.04		2.10		2.19		0.43
SC Ibbotson Conservative Fund
Initial Class		1,000.00		971.00		1,024.20		0.99		1.02		0.20
Service Class		1,000.00		969.30		1,022.94		2.23		2.29		0.45
SC Ibbotson Growth Fund
Initial Class		1,000.00		919.10		1,024.15		1.02		1.07		0.21
Service Class		1,000.00		918.30		1,022.89		2.22		2.35		0.46

* For each class of the Fund, expenses are equal to the six-month annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent six-month period.

100

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND

PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 96.5%
AEROSPACE & DEFENSE – 0.6%
BAE Systems PLC		GB		48,700	$	215,624
Saab AB, Class B		SE		12,100		250,367
						465,991
AIRLINES – 0.6%
Cathay Pacific Airways Ltd.		HK		137,000		234,960
Deutsche Luftansa AG		DE		17,400		206,846
						441,806
AUTO COMPONENTS – 2.3%
Bridgestone Corp.		JP		22,400		507,834
Compagnie Generale Des Etablissements Michelin, Class B		FR		2,400		141,876
Faurecia		FR		7,400		140,310
GKN PLC		GB		112,200		318,871
Magna International, Inc.		CA		10,900		363,779
Sumitomo Rubber Industries Ltd.		JP		16,700		200,478
						1,673,148
AUTOMOBILES – 3.8%
Bayerische Motoren Werke AG		DE		5,500		368,447
Daimler AG		DE		5,800		254,626
Mazda Motor Corp.*		JP		190,000		335,715
Nissan Motor Co., Ltd.		JP		75,900		682,380
Renault SA		FR		15,050		522,023
Toyota Motor Corp.		JP		18,500		616,507
						2,779,698
BEVERAGES – 0.6%
Asahi Breweries Ltd.		JP		20,400		447,915
BUILDING PRODUCTS – 0.8%
Asahi Glass Co., Ltd.		JP		53,000		444,823
Compagnie de Saint-Gobain		FR		2,660		102,128
						546,951
CAPITAL MARKETS – 1.1%
Deutsche Bank AG		DE		13,880		528,776
Macquarie Group Ltd.		AU		10,600		257,924
						786,700

	Country Code**		Shares		Value
CHEMICALS – 3.7%
Agrium, Inc.		CA		2,200	$	147,667
BASF SE		DE		6,600		460,331
DIC Corp.		JP		80,000		145,511
Incitec Pivot Ltd.		AU		87,000		276,739
JSR Corp.		JP		15,400		284,111
Koninklijke DSM NV		NL		13,010		603,649
Linde AG		DE		1,100		163,651
Mitsubishi Gas Chemical Co., Inc.		JP		22,000		122,048
Syngenta AG*		CH		727		212,845
Tosoh Corp.		JP		32,000		85,644
Ube Industries Ltd.		JP		73,000		200,117
						2,702,313
COMMERCIAL BANKS – 9.4%
Australia & New Zealand Banking Group Ltd.		AU		31,300		657,240
Banco Bilbao Vizcaya Argentaria SA		ES		29,000		250,722
Banco do Brasil SA		BR		8,100		102,919
Banco Santander SA		ES		18,100		137,510
Barclays PLC		GB		98,700		269,851
BNP Paribas		FR		10,519		413,192
BOC Hong Kong Holdings Ltd.		HK		104,000		246,388
HSBC Holdings PLC		GB		109,225		832,951
KB Financial Group, Inc. ADR*		KR		2,247		70,421
KBC GROEP NV		BE		14,400		181,359
Lloyds Banking Group PLC*		GB		810,700		326,148
Mitsubishi UFJ Financial Group, Inc.		JP		158,800		674,647
Mizuho Financial Group, Inc.		JP		175,200		236,726
National Australia Bank Ltd.		AU		35,900		857,745
National Bank of Canada		CA		3,700		262,005
Societe Generale		FR		25,064		558,115
Sumitomo Mitsui Financial Group, Inc.		JP		18,900		526,460
The Bank of Yokohama Ltd.		JP		31,000		146,603
Turkiye Is Bankasi, C Shares		TR		30,700		53,659
						6,804,661

See Notes to Financial Statements.

101

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND

PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMUNICATIONS EQUIPMENT – 0.3%
Telefonaktiebolaget LM Ericsson		SE		22,309	$	228,210
COMPUTERS & PERIPHERALS – 1.3%
Fujitsu Ltd.		JP		86,000		446,928
NEC Corp.*		JP		59,000		119,579
Toshiba Corp.		JP		98,000		401,065
						967,572
CONSTRUCTION & ENGINEERING – 0.9%
Balfour Beatty PLC		GB		53,500		220,010
Bouygues SA		FR		13,045		411,029
						631,039
DISTRIBUTORS – 0.4%
Imperial Holdings Ltd.		ZA		7,450		113,976
Inchcape PLC		GB		43,900		200,030
						314,006
DIVERSIFIED FINANCIAL SERVICES – 1.4%
ING Groep NV -  CVA*		NL		95,378		686,343
Orix Corp.		JP		4,060		335,476
						1,021,819
DIVERSIFIED TELECOMMUNICATION SERVICES – 5.7%
BT Group PLC		GB		56,850		168,542
France Telecom SA		FR		13,900		218,310
Koninklijke KPN NV		NL		12,800		153,156
Nippon Telegraph & Telephone Corp.		JP		19,600		1,002,027
Tele2 AB, B Shares		SE		11,700		227,640
Telecom Italia SpA		IT		512,400		551,097
Telecom Italia SpA RSP		IT		163,600		146,524
Telefonica SA		ES		11,470		198,701
Telenor ASA		NO		16,500		270,639
TeliaSonera AB		SE		46,500		316,011
Telstra Corp., Ltd.		AU		115,790		394,372
Vivendi		FR		23,690		518,781
						4,165,800
ELECTRIC UTILITIES – 2.0%
E.ON AG		DE		38,200		824,171
EDP - Energias de Portugal SA		PT		102,000		315,644

	Country Code**		Shares		Value
Enel SpA		IT		47,928	$	195,025
Scottish & Southern Energy PLC		GB		7,000		140,345
						1,475,185
ELECTRICAL EQUIPMENT – 1.2%
Furukawa Electric Co., Ltd.		JP		54,000		124,178
Mitsubishi Electric Corp.		JP		38,000		364,350
Sumitomo Electric Industries Ltd.		JP		37,800		411,542
						900,070
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 0.7%
AU Optronics Corp. ADR		TW		25,934		112,035
Celestica, Inc.*		CA		14,300		105,135
Hitachi Ltd.		JP		41,000		215,201
LG Display Co., Ltd. ADR*		KR		7,700		81,081
						513,452
ENERGY EQUIPMENT & SERVICES –1.0%
Aker Solutions ASA		NO		19,100		201,033
Seadrill Ltd.		BM		12,290		410,978
Transocean Ltd.		CH		3,100		119,703
						731,714
FOOD & STAPLES RETAILING – 1.7%
Aeon Co., Ltd.		JP		9,200		126,340
Delhaize Group		BE		4,835		271,615
Empire Co., Ltd., Class A		CA		3,600		208,880
Koninklijke Ahold NV		NL		29,890		402,519
Metro, Inc., Class A		CA		2,400		127,215
Tesco PLC		GB		19,500		122,179
						1,258,748
FOOD PRODUCTS – 3.2%
Danone SA		FR		4,400		276,592
Goodman Fielder Ltd.		AU		273,842		121,837
Nestle SA		CH		25,988		1,494,040
Unilever NV		NL		11,800		405,781
						2,298,250

See Notes to Financial Statements.

102

SC ^SM ALLIANCEBERNSTEIN INTERNATIONAL VALUE FUND

PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
GAS UTILITIES – 1.0%
Gas Natural SDG SA		ES		26,200	$	449,807
Tokyo Gas Co., Ltd.		JP		61,000		280,551
						730,358
HEALTH CARE PROVIDERS & SERVICES – 0.4%
Medipal Holdings Corp.		JP		25,100		262,185
HOTELS, RESTAURANTS & LEISURE – 0.8%
Compass Group PLC		GB		14,080		133,603
Tui Travel PLC		GB		81,600		210,110
William Hill PLC		GB		84,220		265,249
						608,962
HOUSEHOLD DURABLES – 1.5%
Sharp Corp.		JP		52,000		454,671
Sony Corp.		JP		22,500		403,989
Taylor Wimpey PLC*		GB		332,800		193,814
						1,052,474
INDUSTRIAL CONGLOMERATES – 1.2%
Cookson Group PLC		GB		24,900		196,829
Hutchison Whampoa Ltd.		HK		16,000		134,525
Siemens AG		DE		5,700		545,472
						876,826
INSURANCE – 6.0%
Aegon NV*		NL		97,510		391,354
Allianz SE		DE		8,760		837,965
Assicurazioni Generali SpA		IT		9,600		144,500
Aviva PLC		GB		79,300		370,444
Catlin Group Ltd.		BM		43,500		269,344
Hannover Rueckversicherung AG		DE		3,900		193,448
Insurance Australia Group Ltd.		AU		44,800		136,548
Legal & General Group PLC		GB		296,230		472,926
Muenchener Rueckversicherungs AG		DE		3,660		448,969
Prudential PLC		GB		19,000		188,402
Resolution Ltd.		GG		78,740		307,420
Suncorp Group Ltd.		AU		42,500		364,270

	Country Code**		Shares		Value
Zurich Financial Services AG*		CH		1,070	$	242,069
						4,367,659
IT SERVICES – 0.2%
Nomura Research Institute Ltd.		JP		6,500		146,940
LEISURE EQUIPMENT & PRODUCTS – 0.2%
Namco Bandai Holdings, Inc.		JP		10,600		150,937
MACHINERY – 0.5%
IHI Corp.		JP		95,000		230,804
Volvo AB, B Shares		SE		12,850		140,599
						371,403
MARINE – 0.4%
AP Moller – Maersk A/S, Class B		DK		47		310,316
MEDIA – 1.1%
Fairfax Media Ltd.		AU		228,700		168,419
Groupe Aeroplan, Inc.		CA		9,700		113,686
ITV PLC		GB		324,500		343,441
Lagardere SCA		FR		6,600		174,258
						799,804
METALS & MINING – 6.6%
Anglo American PLC		GB		18,990		701,602
ArcelorMittal		LU		7,800		142,645
BHP Billiton Ltd.		AU		5,000		176,024
BHP Billiton PLC		GB		28,800		839,738
Dowa Holdings Co., Ltd.		JP		35,000		221,450
Exxaro Resources Ltd.		ZA		5,240		109,051
Fortescue Metals Group Ltd.		AU		19,300		84,290
IAMGOLD Corp.		CA		12,400		196,939
JFE Holdings, Inc.		JP		18,700		338,675
KGHM Polska Miedz SA		PL		3,000		96,152
Mitsubishi Materials Corp.		JP		79,000		214,512
Rio Tinto PLC		GB		21,310		1,034,201
ThyssenKrupp AG		DE		16,600		380,814
Vale SA ADR		BR		4,100		84,460
Xstrata PLC		GB		9,957		151,230
						4,771,783

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
MULTI-UTILITIES – 0.5%
GDF Suez		FR		8,300	$	226,877
RWE AG		DE		3,250		114,201
						341,078
OFFICE ELECTRONICS – 0.3%
Konica Minolta Holdings, Inc.		JP		29,500		219,995
OIL, GAS & CONSUMABLE FUELS – 10.8%
Banpu Public Co., Ltd.		TH		5,950		102,970
BG Group PLC		GB		6,000		128,262
BP PLC		GB		285,340		2,040,628
China Petroleum & Chemical Corp.		CN		142,000		149,741
Eni SpA		IT		29,500		611,268
Gazprom OAO ADR		RU		16,080		171,751
Inpex Corp.		JP		22		138,626
JX Holdings, Inc.		JP		51,400		310,524
Lukoil ADR		RU		2,100		111,676
Nexen, Inc.		CA		27,404		436,043
Petroleo Brasileiro SA ADR		BR		4,200		98,658
Repsol YPF SA		ES		5,800		178,170
Royal Dutch Shell PLC, A Shares		GB		56,877		2,072,208
Statoil ASA		NO		8,650		222,004
Total SA		FR		20,500		1,048,019
						7,820,548
PAPER & FOREST PRODUCTS – 0.4%
Oji Paper Co., Ltd.		JP		55,000		282,253
PERSONAL PRODUCTS – 0.6%
Kao Corp.		JP		8,700		237,704
L’oreal SA		FR		2,000		208,892
						446,596
PHARMACEUTICALS – 9.7%
AstraZeneca PLC		GB		33,000		1,524,658
Bayer AG		DE		9,600		613,785
GlaxoSmithKline PLC		GB		52,300		1,195,180
Novartis AG		CH		23,290		1,331,495
Otsuka Holdings Co., Ltd.		JP		13,300		373,927
Roche Holding AG		CH		7,200		1,220,313
Sanofi-Aventis SA		FR		10,949		804,190
						7,063,548

	Country Code**		Shares		Value
PROFESSIONAL SERVICES – 0.3%
Randstad Holding NV		NL		7,700	$	227,817
REAL ESTATE INVESTMENT TRUSTS – 0.7%
Land Securities Group PLC		GB		9,402		92,791
The Link REIT		HK		63,000		231,993
Unibail-Rodamco		FR		960		172,581
						497,365
REAL ESTATE MANAGEMENT & DEVELOPMENT – 1.2%
Cheung Kong Holdings Ltd.		HK		27,000		321,743
Mitsui Fudosan Co., Ltd.		JP		15,000		218,657
New World Development Ltd.		HK		297,908		240,118
Sumitomo Realty & Development Co., Ltd.		JP		7,000		122,593
						903,111
ROAD & RAIL – 1.7%
Central Japan Railway Co.		JP		16		135,118
East Japan Railway Co.		JP		4,300		273,743
FirstGroup PLC		GB		43,700		229,387
Nippon Express Co., Ltd.		JP		79,000		307,912
West Japan Railway Co.		JP		6,300		273,789
						1,219,949
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 0.6%
Advanced Semiconductor Engineering, Inc. ADR		TW		24,416		105,965
GCL-Poly Energy Holdings Ltd.		KY		637,000		177,979
Samsung Electronics Co., Ltd. GDR		KR		300		138,210
						422,154
SPECIALTY RETAIL – 0.5%
Kingfisher PLC		GB		90,500		352,350

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
TEXTILES, APPAREL & LUXURY GOODS – 0.3%
Adidas AG		DE		1,570	$	102,127
Compagnie Financiere Richemont SA		CH		2,200		111,276
						213,403
TOBACCO – 2.8%
British American Tobacco PLC		GB		12,600		597,894
Imperial Tobacco Group PLC		GB		16,700		631,520
Japan Tobacco, Inc.		JP		163		766,610
						1,996,024
TRADING COMPANIES & DISTRIBUTORS – 1.4%
Marubeni Corp.		JP		18,000		109,679
Mitsubishi Corp.		JP		24,500		494,966
Mitsui & Co., Ltd.		JP		21,100		328,137
Sumitomo Corp.		JP		8,400		113,717
						1,046,499
WIRELESS TELECOMMUNICATION SERVICES – 2.1%
KDDI Corp.		JP		21		135,053
Vodafone Group PLC		GB		497,800		1,383,046
						1,518,099
Total Common Stocks (Cost $77,012,656)						70,175,484
EQUITY LINKED SECURITIES – 0.2%
COMMERCIAL BANKS – 0.1% +
Hana Financial Group, Inc. (Deutsche Bank AG), expires 11/18/19* (1)		DE		3,400		104,815
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 0.0% ^+
AU Optronics Corp., (Credit Suisse Group AG), expires 2/17/12* (1)		CH		19,947		8,597
METALS & MINING – 0.1%
Tata Steel Ltd., (Merrill Lynch & Co., Inc.), expires 12/23/14* (1)				7,300		46,098
Total Equity Linked Securities (Cost $210,047)						159,510

	Country Code**		Shares		Value
PREFERRED STOCKS – 0.9%
AUTOMOBILES – 0.9%
Volkswagen AG (Cost $733,945)		DE		4,390	$	657,664
SHORT TERM INVESTMENTS – 2.0%
MUTUAL FUNDS – 2.0%
AllianceBernstein Government Short Term Investment Fund, 0.08% (Cost $1,451,445)				1,451,445		1,451,445
TOTAL INVESTMENTS – 99.6%
(Cost $79,408,093)						72,444,103
Other assets less liabilities – 0.4%						315,906
NET ASSETS – 100.0%					$	72,760,009

ADR	American Depositary Receipt
GDR	Global Depositary Receipt
REIT	Real Estate Investment Trust
AU	Australia
BE	Belgium
BM	Bermuda
BR	Brazil
CA	Canada
CH	Switzerland
CN	China
DE	Germany
DK	Denmark
ES	Spain
FR	France
GB	Great Britain
GG	Guernsey
HK	Hong Kong
IT	Italy
JP	Japan
KR	Korea, Republic of
KY	Cayman Islands
LU	Luxembourg
NL	Netherlands
NO	Norway
PL	Poland
PT	Portugal
RU	Russia
SE	Sweden
TH	Thailand
TR	Turkey
TW	Taiwan, Province of China
ZA	South Africa

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

^ Amount is less than 0.05%.

+ Country listed is the country in which the broker is domiciled.

(1) Eligible for resale under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $159,510, representing 0.2% of net assets.

Distribution of investments by country of issuer, as a percentage of net assets, is as follows. Figures may not total to 100% due to the exclusion of the Fund’s other assets and liabilities. (Unaudited)

Great Britain	25.0	%
Japan	23.0
Germany	9.4
France	8.2
Switzerland	6.5
Australia	4.8
Netherlands	4.0
Canada	2.7
Italy	2.3
United States	2.0
Other (individually less than 2%)	11.7

(2) At the period end, cash of $19,934 has been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts		Unrealized Appreciation ($)
Long	DJ Euro Stoxx 50 Index March Futures	3/16/12		9		3,275

(3) At the period end, open forward foreign currency exchange contracts were as follows:

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date		Unrealized Appreciation/ (Depreciation) ($)
Deutsche Bank AG (London)	CAD	189,000	USD	185,392		2/15/12		38
Standard Chartered Bank	JPY	52,640,000	USD	678,989		2/15/12		(5,393	)
UBS AG	CAD	2,072,000	USD	2,037,245		2/15/12		5,207
UBS AG	USD	287,720	CAD	302,000		2/15/12		8,455
Net unrealized appreciation								8,307

CAD	Canadian Dollar
JPY	Japanese Yen
USD	United States Dollar

See Notes to Financial Statements.

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December 31, 2011	Sun Capital Advisers Trust

(4) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Aerospace & Defense	$	—	$	465,991	$	—	$	465,991
Airlines		—		441,806		—		441,806
Auto Components		363,779		1,309,369		—		1,673,148
Automobiles		—		2,779,698		—		2,779,698
Beverages		—		447,915		—		447,915
Building Products		—		546,951		—		546,951
Capital Markets		—		786,700		—		786,700
Chemicals		147,667		2,554,646		—		2,702,313
Commercial Banks		332,426		6,472,235		—		6,804,661
Communications Equipment		—		228,210		—		228,210
Computers & Peripherals		—		967,572		—		967,572
Construction & Engineering		—		631,039		—		631,039
Distributors		—		314,006		—		314,006
Diversified Financial Services		—		1,021,819		—		1,021,819
Diversified Telecommunication Services		—		4,165,800		—		4,165,800
Electric Utilities		—		1,475,185		—		1,475,185
Electrical Equipment		—		900,070		—		900,070
Electronic Equipment, Instruments & Components		298,251		215,201		—		513,452
Energy Equipment & Services		—		731,714		—		731,714
Food & Staples Retailing		336,095		922,653		—		1,258,748
Food Products		—		2,298,250		—		2,298,250
Gas Utilities		—		730,358		—		730,358
Health Care Providers & Services		—		262,185		—		262,185
Hotels, Restaurants & Leisure		—		608,962		—		608,962
Household Durables		—		1,052,474		—		1,052,474
Industrial Conglomerates		—		876,826		—		876,826
Insurance		—		4,367,659		—		4,367,659
IT Services		—		146,940		—		146,940
Leisure Equipment & Products		—		150,937		—		150,937
Machinery		—		371,403		—		371,403
Marine		—		310,316		—		310,316
Media		113,686		686,118		—		799,804
Metals & Mining		281,399		4,490,384		—		4,771,783
Multi-Utilities		—		341,078		—		341,078
Office Electronics		—		219,995		—		219,995
Oil, Gas & Consumable Fuels		706,452		7,114,096		—		7,820,548
Paper & Forest Products		—		282,253		—		282,253
Personal Products		—		446,596		—		446,596

See Notes to Financial Statements.

107

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December 31, 2011	Sun Capital Advisers Trust

Assets (Continued)	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Pharmaceuticals	$	—	$	7,063,548		$	—	$	7,063,548
Professional Services		—		227,817			—		227,817
Real Estate Investment Trusts		—		497,365			—		497,365
Real Estate Management & Development		—		903,111			—		903,111
Road & Rail		—		1,219,949			—		1,219,949
Semiconductors & Semiconductor Equipment		105,965		316,189			—		422,154
Specialty Retail		—		352,350			—		352,350
Textiles, Apparel & Luxury Goods		—		213,403			—		213,403
Tobacco		—		1,996,024			—		1,996,024
Trading Companies & Distributors		—		1,046,499			—		1,046,499
Wireless Telecommunication Services		—		1,518,099			—		1,518,099
Total Common Stocks		2,685,720		67,489,764			—		70,175,484
Equity Linked Securities (a)		—		159,510			—		159,510
Preferred Stocks (a)		—		657,664			—		657,664
Short Term Investments
Mutual Funds		1,451,445		—			—		1,451,445
Total Investments		4,137,165		68,306,938			—		72,444,103
Financial Derivative Instruments
Futures Contracts		—		3,275			—		3,275
Forward Foreign Currency Exchange Contracts		—		13,700			—		13,700
Total Financial Derivative Instruments	$	—	$	16,975		$	—	$	16,975
Liabilities
Financial Derivative Instruments
Forward Foreign Currency Exchange Contracts	$	—	$	(5,393	)	$	—	$	(5,393	)
Total Financial Derivative Instruments	$	—	$	(5,393	)	$	—	$	(5,393	)

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 96.1%
AEROSPACE & DEFENSE – 0.7%
BAE Systems PLC		GB		24,694	$	109,335
Cobham PLC		GB		8,528		24,289
Elbit Systems Ltd.		IL		153		6,283
European Aeronautic Defense and Space Co., NV		NL		3,024		94,519
Finmeccanica SpA		IT		3,136		11,600
Meggitt PLC		GB		5,538		30,343
Rolls-Royce Holdings PLC*		GB		13,811		160,113
Safran SA		FR		1,252		37,601
Singapore Technologies Engineering Ltd.		SG		12,000		24,887
Thales SA		FR		743		23,464
						522,434
AIR FREIGHT & LOGISTICS – 0.3%
Deutsche Post AG		DE		6,248		96,067
TNT Express NV		NL		2,509		18,750
Toll Holdings Ltd.		AU		5,123		22,112
Yamato Holdings Co., Ltd.		JP		2,800		47,182
						184,111
AIRLINES – 0.2%
All Nippon Airways Co., Ltd.		JP		6,000		16,760
Cathay Pacific Airways Ltd.		HK		10,000		17,150
Deutsche Luftansa AG		DE		1,656		19,686
International Consolidated Airlines Group SA*		ES		7,730		17,408
Qantas Airways Ltd.*		AU		9,427		14,077
Ryanair Holdings PLC ADR*		IE		303		8,442
Singapore Airlines Ltd.		SG		4,000		31,302
						124,825
AUTO COMPONENTS – 0.8%
Aisin Seiki Co., Ltd.		JP		1,400		39,906
Bridgestone Corp.		JP		4,800		108,822
Compagnie Generale Des Etablissements Michelin, Class B		FR		1,330		78,623
Continental AG*		DE		591		36,788
Denso Corp.		JP		3,600		99,436
GKN PLC		GB		11,050		31,404

	Country Code**		Shares		Value
Koito Manufacturing Co., Ltd.		JP		1,000	$	14,031
NGK Spark Plug Co., Ltd.		JP		1,000		12,407
NHK Spring Co., Ltd.		JP		1,000		8,861
NOK Corp.		JP		800		13,751
Nokian Renkaat OYJ		FI		779		25,084
Pirelli & C. SpA		IT		1,663		14,001
Stanley Electric Co., Ltd.		JP		1,000		14,694
Sumitomo Rubber Industries Ltd.		JP		1,200		14,406
Toyoda Gosei Co., Ltd.		JP		400		6,376
Toyota Boshoku Corp.		JP		600		6,260
Toyota Industries Corp.		JP		1,300		35,384
						560,234
AUTOMOBILES – 2.8%
Bayerische Motoren Werke AG		DE		2,437		163,256
Daihatsu Motor Co., Ltd.		JP		2,000		35,702
Daimler AG		DE		6,658		292,293
Fiat SpA		IT		5,540		25,454
Fuji Heavy Industries Ltd.		JP		4,000		24,165
Honda Motor Co., Ltd.		JP		12,000		366,065
Isuzu Motors Ltd.		JP		9,000		41,627
Mazda Motor Corp.*		JP		12,000		21,203
Mitsubishi Motors Corp.*		JP		29,000		34,286
Nissan Motor Co., Ltd.		JP		18,200		163,627
Peugeot SA		FR		1,139		17,852
Renault SA		FR		1,390		48,213
Suzuki Motor Corp.		JP		2,400		49,640
Toyota Motor Corp.		JP		20,300		676,491
Volkswagen AG		DE		228		30,586
Yamaha Motor Co., Ltd.		JP		2,000		25,309
						2,015,769
BEVERAGES – 2.1%
Anheuser-Busch Inbev NV		BE		5,916		362,204
Asahi Breweries Ltd.		JP		2,900		63,674
Carlsberg A/S, Class B		DK		776		54,721
Coca-Cola Amatil Ltd.		AU		4,110		48,385
Coca-Cola Hellenic Bottling Co. SA*		GR		1,393		23,528
Coca-Cola West Co., Ltd.		JP		400		6,938
Diageo PLC		GB		18,421		402,369
Heineken Holding NV		NL		819		33,517

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Heineken NV		NL		1,908	$	88,331
Kirin Holdings Co., Ltd.		JP		6,000		72,963
Pernod-Ricard SA		FR		1,460		135,409
SABMiller PLC		GB		7,002		246,462
						1,538,501
BIOTECHNOLOGY – 0.2%
Actelion Ltd.*		CH		800		27,467
CSL Ltd.		AU		3,867		126,566
Grifols SA*		ES		1,019		17,145
						171,178
BUILDING PRODUCTS – 0.5%
Asahi Glass Co., Ltd.		JP		7,000		58,750
Assa Abloy AB		SE		2,291		57,458
Compagnie de Saint-Gobain		FR		2,944		113,032
Daikin Industries Ltd.		JP		1,700		46,558
Geberit AG*		CH		282		54,340
JS Group Corp.		JP		1,900		36,410
Nippon Sheet Glass Co., Ltd.		JP		6,000		11,225
TOTO Ltd.		JP		2,000		15,435
						393,208
CAPITAL MARKETS – 1.7%
3i Group PLC		GB		7,061		19,848
Credit Suisse Group AG*		CH		8,376		196,804
Daiwa Securities Group, Inc.		JP		12,000		37,417
Deutsche Bank AG		DE		6,831		260,236
GAM Holding AG*		CH		1,424		15,463
ICAP PLC		GB		4,033		21,727
Investec PLC		GB		3,773		19,864
Julius Baer Group Ltd.*		CH		1,521		59,493
Macquarie Group Ltd.		AU		2,559		62,267
Man Group PLC		GB		13,964		27,259
Mediobanca SpA		IT		3,819		21,976
Nomura Holdings, Inc.		JP		26,600		80,522
Partners Group Holding AG		CH		94		16,402
Ratos AB		SE		1,442		16,920
SBI Holdings, Inc.		JP		171		12,530
Schroders PLC		GB		842		17,182
UBS AG*		CH		26,756		318,463
						1,204,373

	Country Code**		Shares		Value
CHEMICALS – 3.5%
Air Liquide SA		FR		2,086	$	258,074
Air Water, Inc.		JP		1,000		12,732
Akzo Nobel NV		NL		1,697		82,055
Arkema SA		FR		413		29,239
Asahi Kasei Corp.		JP		9,000		54,255
BASF SE		DE		6,750		470,793
Daicel Chemical Industries Ltd.		JP		2,000		12,187
Denki Kagaku Kogyo KK		JP		4,000		14,811
Givaudan SA*		CH		60		57,170
Hitachi Chemical Co., Ltd.		JP		800		14,094
Incitec Pivot Ltd.		AU		11,834		37,643
Israel Chemicals Ltd.		IL		3,429		35,541
Johnson Matthey PLC		GB		1,524		43,454
JSR Corp.		JP		1,400		25,828
K+S AG		DE		1,271		57,443
Kaneka Corp.		JP		2,000		10,654
Kansai Paint Co., Ltd.		JP		2,000		17,851
Koninklijke DSM NV		NL		1,118		51,874
Kuraray Co., Ltd.		JP		2,500		35,566
Lanxess AG		DE		605		31,321
Linde AG		DE		1,254		186,563
Mitsubishi Chemical Holdings Corp.		JP		10,000		55,086
Mitsubishi Gas Chemical Co., Inc.		JP		3,000		16,643
Mitsui Chemicals, Inc.		JP		6,000		18,319
Nitto Denko Corp.		JP		1,200		42,936
Novozymes A/S, B Shares		DK		1,678		51,801
Orica Ltd.		AU		2,612		64,758
Shin-Etsu Chemical Co., Ltd.		JP		3,000		147,720
Showa Denko KK		JP		12,000		24,321
Sika AG		CH		16		30,150
Solvay SA		BE		423		34,852
Sumitomo Chemical Co., Ltd.		JP		12,000		43,809
Syngenta AG*		CH		693		202,890
Taiyo Nippon Sanso Corp.		JP		2,000		13,953
Teijin Ltd.		JP		7,000		21,554
The Israel Corporation Ltd.		IL		15		9,368
Toray Industries, Inc.		JP		11,000		78,745
Tosoh Corp.		JP		4,000		10,705
Ube Industries Ltd.		JP		8,000		21,931

See Notes to Financial Statements.

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	Country Code**		Shares		Value
Umicore		BE		811	$	33,452
Wacker Chemie AG		DE		117		9,411
Yara International ASA		NO		1,386		55,618
						2,527,170
COMMERCIAL BANKS – 10.9%
Aozora Bank Ltd.		JP		4,000		11,017
Australia & New Zealand Banking Group Ltd.		AU		19,384		407,027
Banca Carige SpA		IT		4,663		8,932
Banca Monte dei Paschi di Siena SpA		IT		34,961		11,398
Banco Bilbao Vizcaya Argentaria SA		ES		33,793		292,160
Banco De Sabadell SA		ES		8,297		31,506
Banco Espirito Santo SA		PT		3,060		5,347
Banco Popolare SC		IT		13,882		17,967
Banco Popular Espanol SA		ES		6,964		31,726
Banco Santander SA		ES		62,218		472,686
Bank Hapoalim BM		IL		7,964		25,955
Bank Leumi Le-Israel		IL		8,877		25,413
Bankia SAU*		ES		6,264		29,145
Bankinter SA		ES		1,360		8,361
Barclays PLC		GB		83,786		229,076
Bendigo and Adelaide Bank Ltd.		AU		2,761		22,676
BNP Paribas		FR		7,100		278,892
BOC Hong Kong Holdings Ltd.		HK		27,500		65,151
CaixaBank		ES		5,465		26,842
Chuo Mitsui Trust Holdings, Inc.		JP		23,000		67,533
Commerzbank AG*		DE		26,392		44,508
Commonwealth Bank of Australia		AU		11,495		578,684
Credit Agricole SA		FR		7,424		41,893
Danske Bank A/S*		DK		4,802		60,994
DBS Group Holdings Ltd.		SG		13,000		115,462
DnB NOR ASA		NO		7,233		70,808
Erste Group Bank AG		AT		1,344		23,631
Fukuoka Financial Group, Inc.		JP		6,000		25,179
Hang Seng Bank Ltd.		HK		5,500		65,257
Hokuhoku Financial Group, Inc.		JP		10,000		19,488
HSBC Holdings PLC		GB		131,433		1,002,309
Intesa Sanpaolo		IT		72,549		121,502

	Country Code**		Shares		Value
Intesa Sanpaolo RSP		IT		9,099	$	11,347
Israel Discount Bank, Class A*		IL		7,807		10,447
KBC GROEP NV		BE		1,245		15,680
Lloyds Banking Group PLC*		GB		302,603		121,739
Mitsubishi UFJ Financial Group, Inc.		JP		93,500		397,226
Mizrahi Tefahot Bank Ltd.		IL		788		6,230
Mizuho Financial Group, Inc.		JP		167,400		226,187
National Australia Bank Ltd.		AU		16,217		387,466
National Bank of Greece SA*		GR		6,898		14,463
Natixis		FR		6,818		17,154
Nordea Bank AB		SE		19,386		150,000
Oversea-Chinese Banking Corp., Ltd.		SG		18,000		108,662
Raiffeisen Bank International AG		AT		441		11,452
Resona Holdings, Inc.		JP		14,000		61,660
Royal Bank of Scotland Group PLC*		GB		129,791		40,676
Seven Bank Ltd.		JP		3,000		5,885
Shinsei Bank Ltd.		JP		11,000		11,433
Skandinaviska Enskilda Banken AB, Class A		SE		10,339		60,228
Societe Generale		FR		4,831		107,575
Standard Chartered PLC		GB		17,530		383,587
Sumitomo Mitsui Financial Group, Inc.		JP		9,900		275,765
Suruga Bank Ltd.		JP		1,000		8,951
Svenska Handelsbanken AB		SE		3,627		95,391
Swedbank AB, Class A		SE		5,941		76,960
The Bank of East Asia Ltd.		HK		11,600		43,986
The Bank of Kyoto Ltd.		JP		2,000		17,227
The Bank of Yokohama Ltd.		JP		9,000		42,562
The Chiba Bank Ltd.		JP		5,000		32,220
The Chugoku Bank Ltd.		JP		2,000		27,881
The Gunma Bank Ltd.		JP		3,000		16,487
The Hachijuni Bank Ltd.		JP		3,000		17,111
The Hiroshima Bank Ltd.		JP		4,000		18,605
The Iyo Bank Ltd.		JP		2,000		19,748

See Notes to Financial Statements.

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	Country Code**		Shares		Value
The Joyo Bank Ltd.		JP		5,000	$	22,086
The Nishi-Nippon City Bank Ltd.		JP		5,000		14,356
The Shizuoka Bank Ltd.		JP		4,000		42,146
UniCredit SpA		IT		9,912		82,360
Unione Di Banche Italiane SCPA		IT		6,118		25,069
United Overseas Bank Ltd.		SG		9,000		105,956
Westpac Banking Corp.		AU		22,328		456,742
Wing Hang Bank Ltd.		HK		1,500		12,303
Yamaguchi Financial Group, Inc.		JP		2,000		19,098
						7,860,632
COMMERCIAL SERVICES & SUPPLIES – 0.6%
Aggreko PLC		GB		1,917		60,048
Babcock International Group PLC		GB		2,664		30,429
Brambles Ltd.		AU		10,874		79,633
Dai Nippon Printing Co., Ltd.		JP		4,000		38,457
Edenred		FR		1,190		29,294
G4S PLC		GB		10,278		43,384
Secom Co., Ltd.		JP		1,500		69,183
Securitas AB		SE		2,211		19,083
Serco Group PLC		GB		3,701		27,244
Societe BIC SA		FR		209		18,529
Toppan Printing Co., Ltd.		JP		4,000		29,414
						444,698
COMMUNICATIONS EQUIPMENT – 0.5%
Alcatel-lucent*		FR		17,000		26,557
Nokia OYJ		FI		27,589		134,687
Telefonaktiebolaget LM Ericsson		SE		22,159		226,676
						387,920
COMPUTERS & PERIPHERALS – 0.3%
Fujitsu Ltd.		JP		14,000		72,756
NEC Corp.*		JP		19,000		38,508
Seiko Epson Corp.		JP		1,000		13,291
Toshiba Corp.		JP		29,000		118,683
						243,238

	Country Code**		Shares		Value
CONSTRUCTION & ENGINEERING – 0.8%
Acs Actividades De Construccion Y Servicios SA		ES		1,030	$	30,527
Balfour Beatty PLC		GB		5,290		21,754
Bouygues SA		FR		1,382		43,545
Chiyoda Corp.		JP		1,000		10,173
Eiffage SA		FR		236		5,713
Ferrovial SA		ES		2,695		32,526
Fomento de Construcciones y Contratas SA		ES		313		8,118
Hochtief AG		DE		318		18,395
JGC Corp.		JP		2,000		48,019
Kajima Corp.		JP		7,000		21,463
Kinden Corp.		JP		1,000		8,445
Koninklijke Boskalis Westminster NV		NL		514		18,886
Leighton Holdings Ltd.		AU		1,147		22,337
Obayashi Corp.		JP		5,000		22,216
Shimizu Corp.		JP		4,000		16,786
Skanska AB, Class B		SE		2,995		49,612
Taisei Corp.		JP		8,000		20,268
Vinci SA		FR		3,323		145,195
						543,978
CONSTRUCTION MATERIALS – 0.5%
Boral Ltd.		AU		5,722		21,069
Cimpor Cimentos de Portugal SGPS SA		PT		1,464		10,075
CRH PLC		IE		5,160		102,579
Fletcher Building Ltd.		NZ		5,030		24,040
HeidelbergCement AG		DE		1,023		43,414
Holcim Ltd.*		CH		1,812		96,937
Imerys SA		FR		210		9,673
James Hardie Industries SE CDI		IE		3,315		23,124
Lafarge SA		FR		1,468		51,603
						382,514
CONSUMER FINANCE – 0.1%
Aeon Credit Service Co., Ltd.		JP		600		9,479
Credit Saison Co., Ltd.		JP		1,200		24,056
						33,535

See Notes to Financial Statements.

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	Country Code**		Shares		Value
CONTAINERS & PACKAGING – 0.2%
Amcor Ltd.		AU		9,021	$	66,524
Rexam PLC		GB		6,473		35,466
Toyo Seikan Kaisha Ltd.		JP		1,100		15,006
						116,996
DISTRIBUTORS – 0.2%
Jardine Cycle & Carriage Ltd.		SG		1,000		37,099
Li & Fung Ltd.		BM		42,000		77,656
						114,755
DIVERSIFIED CONSUMER SERVICES – 0.0% +
Benesse Holdings, Inc.		JP		500		24,198
DIVERSIFIED FINANCIAL SERVICES – 1.1%
ASX Ltd.		AU		1,274		39,847
Deutsche Boerse AG*		DE		1,402		73,507
Eurazeo		FR		236		8,398
Exor SpA		IT		399		8,030
First Pacific Co., Ltd.		BM		14,000		14,601
Groupe Bruxelles Lambert SA		BE		596		39,733
Hong Kong Exchanges and Clearing Ltd.		HK		7,500		120,420
Industrivarden AB		SE		894		10,665
ING Groep NV – CVA*		NL		28,096		202,180
Investor AB		SE		3,378		63,024
Kinnevik Investment AB, Class B		SE		1,603		31,235
London Stock Exchange Group PLC		GB		1,207		14,902
Mitsubishi UFJ Lease & Finance Co., Ltd.		JP		410		16,247
Orix Corp.		JP		750		61,972
Pargesa Holding SA		CH		191		12,506
Pohjola Bank PLC		FI		1,063		10,332
Singapore Exchange Ltd.		SG		7,000		33,083
						760,682
DIVERSIFIED TELECOMMUNICATION SERVICES – 3.6%
Belgacom SA		BE		1,097		34,416
Bezeq Israeli Telecommunication Corp Ltd.		IL		12,469		22,844
BT Group PLC		GB		57,156		169,449
Deutsche Telekom AG		DE		20,718		237,709

	Country Code**		Shares		Value
Elisa OYJ		FI		1,078	$	22,505
France Telecom SA		FR		13,704		215,231
Hellenic Telecommunications Organization SA		GR		1,822		6,579
HKT Trust and HKT Ltd.* MULT				673		389
Iliad SA		FR		149		18,388
Inmarsat PLC		GB		3,451		21,689
Koninklijke KPN NV		NL		10,928		130,757
Nippon Telegraph & Telephone Corp.		JP		3,500		178,933
PCCW Ltd.		HK		31,000		10,657
Portugal Telecom SGPS SA		PT		4,978		28,670
Singapore Telecommunications Ltd.		SG		58,000		138,175
Swisscom AG		CH		173		65,550
TDC A/S		DK		2,678		21,477
Tele2 AB, B Shares		SE		2,366		46,034
Telecom Corp. of New Zealand Ltd.		NZ		14,020		22,590
Telecom Italia SpA		IT		70,368		75,682
Telecom Italia SpA RSP		IT		42,939		38,457
Telefonica SA		ES		30,332		525,458
Telekom Austria AG		AT		2,359		28,205
Telenor ASA		NO		5,298		86,900
TeliaSonera AB		SE		15,981		108,606
Telstra Corp., Ltd.		AU		32,164		109,548
Vivendi		FR		9,174		200,899
						2,565,797
ELECTRIC UTILITIES – 2.3%
Acciona S.A		ES		198		17,100
Cheung Kong Infrastructure Holdings Ltd.		BM		3,000		17,479
Chubu Electric Power Co., Inc.		JP		5,000		93,348
CLP Holdings Ltd.		HK		14,000		119,151
Contact Energy Ltd.*		NZ		2,626		10,772
E.ON AG		DE		13,252		285,914
EDP – Energias de Portugal SA		PT		14,148		43,782
Electricite de France		FR		1,793		43,627
Enel SpA		IT		48,512		197,401
Fortum OYJ		FI		3,285		70,109
Hokkaido Electric Power Co.		JP		1,500		21,359

See Notes to Financial Statements.

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	Country Code**		Shares		Value
Hokuriku Electric Power Co.		JP		1,200	$	22,403
Hongkong Electric Holdings Ltd.		HK		10,000		73,971
Iberdrola SA		ES		28,274		177,077
Kyushu Electric Power Co., Inc.		JP		3,000		42,952
Red Electrica Corp. SA		ES		787		33,679
Scottish & Southern Energy PLC		GB		6,915		138,640
Shikoku Electric Power Co., Inc.		JP		1,300		37,259
SP Ausnet		AU		8,617		8,285
Terna Rete Elettrica Nazionale SpA		IT		8,655		29,169
The Chugoku Electric Power Co., Inc.		JP		2,200		38,558
The Kansai Electric Power Co., Inc.		JP		5,500		84,390
The Tokyo Electric Power Co., Inc.*		JP		10,700		25,440
Tohoku Electric Power Co., Inc.		JP		3,400		32,644
Verbund AG		AT		561		15,055
						1,679,564
ELECTRICAL EQUIPMENT – 1.3%
ABB Ltd.*		CH		16,103		303,099
Alstom SA		FR		1,507		45,699
Bekaert NV		BE		289		9,270
Fuji Electric Holdings Co., Ltd.		JP		4,000		10,965
Furukawa Electric Co., Ltd.		JP		4,000		9,198
GS Yuasa Corp.		JP		2,000		10,757
Legrand SA		FR		1,640		52,746
Mabuchi Motor Co., Ltd.		JP		200		8,328
Mitsubishi Electric Corp.		JP		14,000		134,234
Nidec Corp.		JP		800		69,534
Prysmian SpA		IT		1,478		18,354
Schneider Electric SA		FR		3,599		189,488
Sumitomo Electric Industries Ltd.		JP		5,400		58,792
Ushio, Inc.		JP		800		11,558
Vestas Wind Systems A/S*		DK		1,568		16,927
						948,949

	Country Code**		Shares		Value
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 1.1%
Citizen Holdings Co., Ltd.		JP		1,900	$	11,034
Foxconn International Holdings Ltd.*		KY		14,000		9,031
FUJIFILM Holdings Corp.		JP		3,400		80,527
Hamamatsu Photonics KK		JP		500		17,494
Hexagon AB, Class B		SE		1,937		28,962
Hirose Electric Co., Ltd.		JP		200		17,539
Hitachi High-Technologies Corp.		JP		400		8,679
Hitachi Ltd.		JP		33,000		173,210
Hoya Corp.		JP		3,200		68,931
Ibiden Co., Ltd.		JP		900		17,797
Keyence Corp.		JP		300		72,340
Kyocera Corp.		JP		1,100		88,463
Murata Manufacturing Co., Ltd.		JP		1,500		77,075
Nippon Electric Glass Co., Ltd.		JP		3,000		29,700
Omron Corp.		JP		1,500		30,148
Shimadzu Corp.		JP		2,000		16,942
TDK Corp.		JP		900		39,873
Yaskawa Electric Corp.		JP		2,000		17,020
Yokogawa Electric Corp.*		JP		1,600		14,447
						819,212
ENERGY EQUIPMENT & SERVICES – 0.9%
Aker Solutions ASA		NO		1,192		12,546
Amec PLC		GB		2,468		34,783
Compagnie Generale de Geophysique-Veritas*		FR		1,111		26,069
Fugro NV		NL		513		29,808
Petrofac Ltd.		JE		1,924		43,057
Saipem SpA		IT		1,966		83,587
SBM Offshore NV		NL		1,217		25,076
Seadrill Ltd.		BM		2,419		80,891
Subsea 7 SA*		LU		2,048		38,009
Technip SA		FR		730		68,612
Tenaris SA		LU		3,516		64,982
Transocean Ltd.		CH		2,532		97,770
Worleyparsons Ltd.		AU		1,409		36,994
						642,184

See Notes to Financial Statements.

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	Country Code**		Shares		Value
FOOD & STAPLES RETAILING – 2.3%
Aeon Co., Ltd.		JP		4,400	$	60,423
Carrefour SA		FR		4,253		96,961
Casino Guichard-Perrachon SA		FR		396		33,355
Colruyt SA		BE		591		22,373
Delhaize Group		BE		724		40,672
Distribuidora Internacional de Alimentacion SA*		ES		4,054		18,338
FamilyMart Co., Ltd.		JP		500		20,203
J Sainsbury PLC		GB		9,008		42,374
Jeronimo Martins SGPS SA*		PT		1,636		27,081
Kesko OYJ, Class B		FI		494		16,598
Koninklijke Ahold NV		NL		8,579		115,531
Lawson, Inc.		JP		400		24,971
Metcash Ltd.		AU		5,440		22,479
Metro AG		DE		942		34,381
Olam International Ltd.		SG		11,000		18,064
Seven & I Holdings Co., Ltd.		JP		5,500		153,274
Tesco PLC		GB		59,052		369,995
Wesfarmers Ltd.		AU		7,395		223,126
William Morrison Supermarkets PLC		GB		16,099		81,556
Woolworths Ltd.		AU		8,960		230,024
						1,651,779
FOOD PRODUCTS – 4.0%
Ajinomoto Co., Inc.		JP		5,000		60,023
Aryzta AG		CH		617		29,822
Associated British Foods PLC		GB		2,605		44,784
Barry Callebaut AG*		CH		13		12,809
Danone SA		FR		4,300		270,306
Golden Agri-resources Ltd.		MU		51,000		28,114
Kerry Group PLC, Class A		IE		1,001		36,729
Kikkoman Corp.		JP		1,000		11,485
Lindt & Spruengli AG		CH		7		51,266
MEIJI Holdings Co., Ltd.		JP		500		20,755
Nestle SA		CH		24,287		1,396,250
Nippon Meat Packers, Inc.		JP		2,000		24,841
Nisshin Seifun Group, Inc.		JP		1,500		18,182

	Country Code**		Shares		Value
Nissin Foods Holdings Co., Ltd.		JP		400	$	15,668
Suedzucker AG		DE		464		14,803
Tate & Lyle PLC		GB		3,335		36,488
Toyo Suisan Kaisha Ltd.		JP		1,000		24,230
Unilever NV		NL		12,003		412,762
Unilever PLC		GB		9,444		317,237
Wilmar International Ltd.		SG		14,000		53,969
Yakult Honsha Co., Ltd.		JP		700		22,054
Yamazaki Baking Co., Ltd.		JP		1,000		13,135
						2,915,712
GAS UTILITIES – 0.5%
Enagas		ES		1,330		24,598
Gas Natural SDG SA		ES		2,581		44,311
Hong Kong & China Gas Co., Ltd.		HK		34,500		80,047
Osaka Gas Co., Ltd.		JP		14,000		55,294
Snam Rete Gas SpA		IT		11,718		51,656
Toho Gas Co., Ltd.		JP		3,000		19,098
Tokyo Gas Co., Ltd.		JP		18,000		82,786
						357,790
HEALTH CARE EQUIPMENT & SUPPLIES – 0.7%
Cochlear Ltd.		AU		405		25,683
Coloplast A/S, Class B		DK		175		25,168
Essilor International SA		FR		1,488		105,055
Getinge AB, Class B		SE		1,437		36,415
Olympus Corp.		JP		1,600		21,037
Smith & Nephew PLC		GB		6,603		64,142
Sonova Holding AG*		CH		358		37,446
Straumann Holding AG		CH		61		10,527
Synthes, Inc. (1)				481		80,653
Sysmex Corp.		JP		500		16,292
Terumo Corp.		JP		1,200		56,516
William Demant Holding A/S*		DK		197		16,382
						495,316
HEALTH CARE PROVIDERS & SERVICES – 0.4%
Alfresa Holdings Corp.		JP		300		12,648
Celesio AG		DE		652		10,329
Fresenius Medical Care AG & Co.		DE		1,545		104,980
Fresenius SE		DE		841		77,803

See Notes to Financial Statements.

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	Country Code**		Shares		Value
Medipal Holdings Corp.		JP		900	$	9,401
Miraca Holdings, Inc.		JP		400		15,928
Ramsay Health Care Ltd.		AU		1,013		19,976
Sonic Healthcare Ltd.		AU		2,720		31,381
Suzuken Co., Ltd.		JP		500		13,863
						296,309
HOTELS, RESTAURANTS & LEISURE – 1.0%
Accor SA		FR		1,060		26,869
Autogrill SpA		IT		707		6,899
Carnival PLC		GB		1,336		44,111
Compass Group PLC		GB		13,944		132,312
Crown Ltd.		AU		3,323		27,496
Echo Entertainment Group Ltd.*		AU		5,038		18,499
Galaxy Entertainment Group Ltd.*		HK		10,000		18,283
Genting Singapore PLC*		IM		45,000		52,388
Intercontinental Hotels Group PLC		GB		2,141		38,470
McDonald’s Holdings Co. Japan Ltd.		JP		600		16,191
OPAP SA		GR		1,624		14,356
Oriental Land Co., Ltd.		JP		400		42,250
Sands China Ltd.*		KY		17,600		49,741
Shangri-La Asia Ltd.		BM		10,500		18,116
SJM Holdings Ltd.		HK		13,000		21,090
Sky City Entertainment Group Ltd.		NZ		4,326		11,584
Sodexo		FR		691		49,608
Tabcorp Holdings Ltd.		AU		4,525		12,635
Tatts Group Ltd.		AU		9,318		23,254
Tui Travel PLC		GB		3,336		8,590
Whitbread PLC		GB		1,289		31,308
Wynn Macau Ltd.		KY		11,200		28,092
						692,142
HOUSEHOLD DURABLES – 0.6%
Casio Computer Co., Ltd.		JP		1,800		10,921
Electrolux AB, Series B		SE		1,820		29,011
Husqvarna AB		SE		3,229		14,878
Panosonic Corp.		JP		16,200		137,649
Rinnai Corp.		JP		200		14,317
Sekisui Chemical Co., Ltd.		JP		3,000		24,750
Sekisui House Ltd.		JP		4,000		35,494

	Country Code**		Shares		Value
Sharp Corp.		JP		7,000	$	61,206
Sony Corp.		JP		7,400		132,867
						461,093
HOUSEHOLD PRODUCTS – 0.4%
Henkel AG & Co. KgaA		DE		981		47,485
Reckitt Benckiser Group PLC		GB		4,561		225,247
Unicharm Corp.		JP		800		39,444
						312,176
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS – 0.2%
EDP Renovaveis SA*		ES		1,604		9,815
Electric Power Development Co., Ltd.		JP		900		23,935
Enel Green Power SPA		IT		12,427		25,959
International Power PLC		GB		11,092		58,086
						117,795
INDUSTRIAL CONGLOMERATES – 1.6%
Delek Group Ltd.		IL		28		5,269
Fraser and Neave Ltd.		SG		7,000		33,461
Hutchison Whampoa Ltd.		HK		16,000		134,525
Keppel Corp Ltd.		SG		10,700		76,720
Koninklijke Philips Electronics NV		NL		7,430		156,553
NWS Holdings Ltd.		BM		10,000		14,730
Orkla ASA		NO		5,495		41,023
SembCorp Industries Ltd.		SG		8,000		24,980
Siemens AG		DE		6,059		579,827
Smiths Group PLC		GB		2,821		40,086
Wendel		FR		249		16,597
						1,123,771
INSURANCE – 4.1%
Admiral Group PLC		GB		1,458		19,292
Aegon NV*		NL		13,144		52,753
Ageas		BE		17,420		27,055
AIA Group Ltd.		HK		61,800		192,961
Allianz SE		DE		3,342		319,689
AMP Ltd.		AU		20,827		86,699
Assicurazioni Generali SpA		IT		8,622		129,780
Aviva PLC		GB		20,950		97,866

See Notes to Financial Statements.

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	Country Code**		Shares		Value
AXA SA		FR		12,769	$	166,007
Baloise Holding AG		CH		343		23,517
CNP Assurances		FR		1,113		13,797
Delta Lloyd NV		NL		880		14,806
Gjensidige Forsikring ASA		NO		1,584		18,354
Hannover Rueckversicherung AG		DE		426		21,131
Insurance Australia Group Ltd.		AU		15,162		46,213
Legal & General Group PLC		GB		43,110		68,824
Mapfre SA		ES		5,662		17,990
MS&AD Insurance Group Holdings, Inc.		JP		4,200		77,812
Muenchener Rueckversicherungs AG		DE		1,325		162,537
NKSJ Holdings, Inc.		JP		2,700		52,969
Old Mutual PLC		GB		40,554		85,338
Prudential PLC		GB		18,724		185,665
QBE Insurance Group Ltd.		AU		8,015		106,161
Resolution Ltd.		GG		10,815		42,224
Rsa Insurance Group PLC		GB		25,752		42,072
Sampo OYJ, Class A		FI		3,101		76,938
SCOR SE		FR		1,227		28,680
Sony Financial Holdings, Inc.		JP		1,300		19,153
Standard Life PLC		GB		16,863		54,026
Suncorp Group Ltd.		AU		9,426		80,791
Swiss Life Holding AG*		CH		231		21,248
Swiss Re Ltd.*		CH		2,523		128,581
T&D Holdings, Inc.		JP		4,200		39,124
The Dai-ichi Life Insurance Co., Ltd.		JP		67		65,895
Tokio Marine Holdings, Inc.		JP		5,300		117,403
Tryg A/S		DK		157		8,720
Vienna Insurance Group AG Wiener Versicherung Gruppe		AT		291		11,532
Zurich Financial Services AG*		CH		1,068		241,616
						2,965,219

	Country Code**		Shares		Value
INTERNET & CATALOG RETAIL – 0.1%
Rakuten, Inc.		JP		53	$	57,014
INTERNET SOFTWARE & SERVICES – 0.1%
Dena Co., Ltd.		JP		700		20,999
Gree, Inc.		JP		700		24,118
United Internet AG		DE		806		14,396
Yahoo Japan Corp.		JP		104		33,496
						93,009
IT SERVICES – 0.3%
Amadeus IT Holding SA, Class A		ES		2,294		37,217
Atos Origin SA		FR		392		17,204
Cap Gemini SA		FR		1,073		33,531
Computershare Ltd.		AU		3,284		26,905
Indra Sistemas SA		ES		745		9,485
Itochu Techno-Solutions Corp.		JP		200		8,977
Nomura Research Institute Ltd.		JP		800		18,085
NTT Data Corp.		JP		10		31,934
Otsuka Corp.		JP		100		6,886
						190,224
LEISURE EQUIPMENT & PRODUCTS – 0.2%
Namco Bandai Holdings, Inc.		JP		1,400		19,935
Nikon Corp.		JP		2,500		55,671
Sankyo Co., Ltd.		JP		400		20,242
Sega Sammy Holdings, Inc.		JP		1,500		32,409
Shimano, Inc.		JP		500		24,295
Yamaha Corp.		JP		1,000		9,172
						161,724
LIFE SCIENCES TOOLS & SERVICES – 0.1%
Lonza Group AG*		CH		356		21,035
QIAGEN NV*		NL		1,650		22,743
						43,778
MACHINERY – 2.6%
Alfa Laval AB		SE		2,464		46,687
Amada Co., Ltd.		JP		3,000		19,020
Atlas Copco AB, Shares A		SE		4,992		107,354
Atlas Copco AB, Shares B		SE		2,848		54,129
Cosco Corp. Singapore Ltd.		SG		6,000		4,048

See Notes to Financial Statements.

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	Country Code**		Shares		Value
FANUC Corp.		JP		1,400	$	214,265
Fiat Industrial SPA*		IT		5,545		47,545
GEA Group AG		DE		1,242		35,123
Hino Motors Ltd.		JP		2,000		12,135
Hitachi Construction Machinery Co., Ltd.		JP		700		11,786
IHI Corp.		JP		10,000		24,295
Invensys PLC		GB		6,047		19,815
JTEKT Corp.		JP		1,500		14,753
Kawasaki Heavy Industries Ltd.		JP		10,000		24,945
Komatsu Ltd.		JP		7,000		163,609
Kone OYJ, Class B		FI		1,153		59,840
Kubota Corp.		JP		8,000		67,039
Kurita Water Industries Ltd.		JP		800		20,787
Makita Corp.		JP		900		29,127
Man AG		DE		456		40,545
Metso Corp.		FI		953		35,338
Mitsubishi Heavy Industries Ltd.		JP		22,000		93,751
Nabtesco Corp.		JP		800		14,582
NGK Insulators Ltd.		JP		2,000		23,750
NSK Ltd.		JP		3,000		19,488
NTN Corp.		JP		4,000		16,110
Sandvik AB		SE		7,398		90,781
Scania AB, Class A		SE		2,304		34,148
Schindler Holding AG		CH		509		59,238
Sembcorp Marine Ltd.		SG		6,000		17,671
SKF AB, Class B		SE		2,882		60,973
SMC Corp.		JP		400		64,545
Sulzer AG		CH		177		18,919
Sumitomo Heavy Industries Ltd.		JP		4,000		23,334
The Japan Steel Works Ltd.		JP		2,000		13,902
The Weir Group PLC		GB		1,536		48,471
THK Co., Ltd.		JP		900		17,738
Vallourec SA		FR		836		54,273
Volvo AB, B Shares		SE		10,181		111,395
Wartsila OYJ		FI		1,218		35,185
Yangzijiang Shipbuilding Holdings Ltd.		SG		15,000		10,524
Zardoya Otis SA		ES		1,030		14,131
						1,895,094
MARINE – 0.3%
AP Moller – Maersk A/S, Class A		DK		4		24,961

	Country Code**		Shares		Value
AP Moller – Maersk A/S, Class B		DK		10	$	66,025
Kawasaki Kisen Kaisha Ltd.		JP		5,000		9,029
Kuehne & Nagel International AG		CH		391		43,916
Mitsui Osk Lines Ltd.		JP		9,000		34,845
Neptune Orient Lines Ltd.		SG		5,000		4,337
Nippon Yusen KK		JP		12,000		30,713
Orient Overseas International Ltd.		BM		1,500		8,759
						222,585
MEDIA – 1.2%
Axel Springer AG		DE		260		11,174
British Sky Broadcasting Group PLC		GB		8,476		96,421
Dentsu, Inc.		JP		1,300		39,674
Eutelsat Communications		FR		716		27,939
Fairfax Media Ltd.		AU		18,433		13,574
Hakuhodo Dy Holdings, Inc.		JP		150		8,614
ITV PLC		GB		27,887		29,515
JC Decaux SA*		FR		562		12,944
Jupiter Telecommunications Co., Ltd.		JP		13		13,174
Kabel Deutschland Holding AG*		DE		642		32,584
Lagardere SCA		FR		899		23,736
Mediaset SpA		IT		5,569		15,410
Modern Times Group, Class B		SE		348		16,626
Pearson PLC		GB		5,995		112,654
Publicis Groupe SA		FR		1,063		48,902
Reed Elsevier NV		NL		4,949		57,692
Reed Elsevier PLC		GB		8,957		72,194
Sanoma OYJ		FI		494		5,668
SES SA		LU		2,194		52,660
Singapore Press Holdings Ltd.		SG		11,000		31,294
Societe Television Francaise 1		FR		911		8,892
Toho Co., Ltd.		JP		900		16,043
Wolters Kluwer NV		NL		2,162		37,370
WPP PLC		JE		9,248		97,016
						881,770

See Notes to Financial Statements.

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	Country Code**		Shares		Value
METALS & MINING – 5.3%
Acerinox SA		ES		765	$	9,812
Alumina Ltd.		AU		17,422		19,868
Anglo American PLC		GB		9,723		359,225
Antofagasta PLC		GB		2,851		53,795
ArcelorMittal		LU		6,299		115,195
BHP Billiton Ltd.		AU		23,635		832,065
BHP Billiton PLC		GB		15,528		452,759
Boliden AB		SE		1,938		28,301
Daido Steel Co., Ltd.		JP		2,000		12,550
Eurasian Natural Resources Corp.		GB		2,037		20,104
Fortescue Metals Group Ltd.		AU		9,158		39,996
Fresnillo PLC		GB		1,313		31,137
Glencore International PLC		JE		6,180		37,622
Hitachi Metals Ltd.		JP		1,000		10,874
Iluka Resources Ltd.		AU		3,043		48,242
JFE Holdings, Inc.		JP		3,400		61,577
Kazakhmys PLC		GB		1,557		22,415
Kobe Steel Ltd.		JP		18,000		27,829
Lonmin PLC		GB		1,214		18,476
Lynas Corp., Ltd.*		AU		12,774		13,653
Maruichi Steel Tube Ltd.		JP		300		6,692
Mitsubishi Materials Corp.		JP		8,000		21,723
Newcrest Mining Ltd.		AU		5,639		170,720
Nippon Steel Corp.		JP		38,000		94,790
Nisshin Steel Co., Ltd.		JP		4,000		6,132
Norsk Hydro ASA		NO		6,691		31,034
OneSteel Ltd.		AU		8,260		5,914
OZ Minerals Ltd.		AU		2,465		25,237
Randgold Resources Ltd.		JE		666		68,109
Rio Tinto Ltd.		AU		3,200		197,360
Rio Tinto PLC		GB		10,279		498,853
Salzgitter AG		DE		290		14,499
Sims Metal Management Ltd.		AU		1,227		15,875
SSAB AB, Class A		SE		1,208		10,646
Sumitomo Metal Industries Ltd.		JP		25,000		45,472
Sumitomo Metal Mining Co., Ltd.		JP		4,000		51,397
ThyssenKrupp AG		DE		2,847		65,312
Vedanta Resources PLC		GB		971		15,306
Voestalpine AG		AT		819		22,970

	Country Code**		Shares		Value
Xstrata PLC		GB		15,225	$	231,243
Yamato Kogyo Co., Ltd.		JP		300		8,614
						3,823,393
MULTI-LINE RETAIL – 0.4%
Harvey Norman Holdings Ltd.		AU		5,391		10,118
Isetan Mitsukoshi Holdings Ltd.		JP		2,800		29,357
J Front Retailing Co., Ltd.		JP		4,000		19,332
Lifestyle International Holdings Ltd.		KY		4,500		9,896
Marks & Spencer Group PLC		GB		11,422		55,166
Marui Group Co., Ltd.		JP		1,400		10,914
Next PLC		GB		1,232		52,367
PPR		FR		548		78,479
Takashimaya Co., Ltd.		JP		2,000		14,473
						280,102
MULTI-UTILITIES – 1.3%
A2A SpA		IT		6,481		6,094
AGL Energy Ltd.		AU		3,323		48,704
Centrica PLC		GB		38,124		171,285
GDF Suez		FR		9,115		249,155
National Grid PLC		GB		26,290		255,177
RWE AG		DE		3,543		124,497
Suez Environnement Co.		FR		1,983		22,844
Veolia Environnement		FR		2,670		29,266
						907,022
OFFICE ELECTRONICS – 0.7%
Brother Industries Ltd.		JP		1,800		22,099
Canon, Inc.		JP		8,300		367,715
Konica Minolta Holdings, Inc.		JP		3,500		26,101
Neopost SA		FR		245		16,508
Ricoh Co., Ltd.		JP		5,000		43,588
						476,011
OIL, GAS & CONSUMABLE FUELS – 8.0%
BG Group PLC		GB		24,936		533,058
BP PLC		GB		139,361		996,649
Cairn Energy PLC*		GB		10,275		42,334
Caltex Australia Ltd.		AU		980		11,798
Cosmo Oil Co., Ltd.		JP		5,000		13,966
Eni SpA		IT		17,703		366,823

See Notes to Financial Statements.

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	Country Code**		Shares		Value
Essar Energy Ltd.*		GB		2,399	$	6,386
Galp Energia SGPS SA		PT		1,666		24,538
Idemitsu Kosan Co., Ltd.		JP		200		20,631
Inpex Corp.		JP		16		100,819
Japan Petroleum Exploration Co., Ltd.		JP		200		7,821
JX Holdings, Inc.		JP		16,300		98,473
Lundin Petroleum AB*		SE		1,656		40,714
Neste Oil OYJ		FI		951		9,607
OMV AG		AT		1,168		35,434
Origin Energy Ltd.		AU		7,810		106,561
Repsol YPF SA		ES		5,851		179,737
Royal Dutch Shell PLC, Class A		GB		26,624		980,339
Royal Dutch Shell PLC, Class B		GB		19,750		752,685
Santos Ltd.		AU		6,900		86,382
Showa Shell Sekiyu KK		JP		1,500		10,114
Statoil ASA		NO		8,241		211,507
Tonengeneral Sekiyu KK		JP		2,000		21,853
Total SA		FR		15,625		798,795
Tullow Oil PLC		GB		6,641		144,595
Woodside Petroleum Ltd.		AU		4,658		145,880
						5,747,499
PAPER & FOREST PRODUCTS – 0.3%
Holmen AB, Class B		SE		402		11,548
Nippon Paper Group, Inc.		JP		800		17,461
Oji Paper Co., Ltd.		JP		7,000		35,923
Stora Enso OYJ		FI		4,511		27,020
Svenska Cellulosa AB, Class A		SE		4,158		61,627
UPM-Kymmene OYJ		FI		3,711		40,873
						194,452
PERSONAL PRODUCTS – 0.5%
Beiersdorf AG		DE		750		42,535
Kao Corp.		JP		3,900		106,557
L’oreal SA		FR		1,775		185,392
Shiseido Co., Ltd.		JP		2,600		47,798
						382,282
PHARMACEUTICALS – 8.2%
Astellas Pharma, Inc.		JP		3,200		130,129
AstraZeneca PLC		GB		9,898		457,305
Bayer AG		DE		6,085		389,050

	Country Code**		Shares		Value
Chugai Pharmaceutical Co., Ltd.		JP		1,700	$	28,028
Daiichi Sankyo Co., Ltd.		JP		4,900		97,147
Dainippon Sumitomo Pharma Co., Ltd.		JP		1,000		11,394
Eisai Co., Ltd.		JP		1,800		74,484
Elan Corp. PLC*		IE		3,547		49,212
GlaxoSmithKline PLC		GB		37,370		853,994
Hisamitsu Pharmaceutical Co., Inc.		JP		500		21,177
Kyowa Hakko Kirin Co., Ltd.		JP		2,000		24,477
Merck KgaA		DE		478		47,655
Mitsubishi Tanabe Pharma Corp.		JP		1,700		26,901
Novartis AG		CH		17,176		981,956
Novo Nordisk AS		DK		3,131		359,804
Ono Pharmaceutical Co., Ltd.		JP		600		33,675
Orion OYJ, Class B		FI		767		14,940
Otsuka Holdings Co., Ltd.		JP		1,800		50,607
Roche Holding AG		CH		5,173		876,761
Sanofi-Aventis SA		FR		8,441		619,981
Santen Pharmaceutical Co., Ltd.		JP		500		20,592
Shionogi & Co.		JP		2,300		29,553
Shire PLC		JE		4,139		144,177
Taisho Pharmaceutical Holdings Co., Ltd.*		JP		300		23,152
Takeda Pharmaceutical Co., Ltd.		JP		5,800		254,697
Teva Pharmaceutical Industries Ltd.		IL		6,929		278,905
Tsumura & Co.		JP		400		11,797
UCB SA		BE		728		30,631
						5,942,181
PROFESSIONAL SERVICES – 0.5%
Adecco SA*		CH		961		40,259
Bureau Veritas SA		FR		388		28,272
Campbell Brothers Ltd.		AU		478		23,951
Capita Group PLC		GB		4,537		44,284
Experian PLC		JE		7,411		100,764
Intertek Group PLC		GB		1,186		37,482
Randstad Holding NV		NL		878		25,977
SGS SA		CH		40		66,219
						367,208

See Notes to Financial Statements.

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	Country Code**		Shares		Value
REAL ESTATE INVESTMENT TRUSTS – 1.3%
Ascendas Real Estate Investment Trust		SG		12,000	$	16,931
British Land Co. PLC		GB		6,192		44,475
Capital Shopping Centres Group PLC		GB		4,101		19,890
CapitaMall Trust		SG		15,000		19,660
CFS Retail Property Trust		AU		13,075		22,534
Corio NV		NL		454		19,746
Dexus Property Group		AU		35,555		30,183
Fonciere Des Regions		FR		209		13,417
Gecina SA		FR		159		13,376
Goodman Group		AU		51,175		29,835
GPT Group		AU		12,931		40,603
Hammerson PLC		GB		5,255		29,380
ICADE		FR		168		13,218
Japan Prime Realty Investment Corp.		JP		5		11,777
Japan Real Estate Investment Corp.		JP		3		23,386
Japan Retail Fund Investment Corp.		JP		13		19,254
Klepierre		FR		748		21,337
Land Securities Group PLC		GB		5,739		56,640
Mirvac Group		AU		26,477		31,955
Nippon Building Fund, Inc.		JP		4		32,740
Nomura Real Estate Office Fund, Inc.		JP		2		10,277
Segro PLC		GB		5,234		16,948
Stockland		AU		17,442		56,909
The Link REIT		HK		17,000		62,601
Unibail-Rodamco		FR		683		122,784
Westfield Group		AU		16,300		130,205
Westfield Retail Trust		AU		21,300		54,246
						964,307
REAL ESTATE MANAGEMENT & DEVELOPMENT – 1.6%
Aeon Mall Co., Ltd.		JP		600		12,737
Capitaland Ltd.		SG		19,000		32,373
CapitaMalls Asia Ltd.		SG		9,000		7,841
Cheung Kong Holdings Ltd.		HK		10,000		119,164
City Developments Ltd.		SG		4,000		27,447
Daito Trust Construction Co., Ltd.		JP		600		51,449

	Country Code**		Shares		Value
Daiwa House Industry Co., Ltd.		JP		3,000	$	35,780
Global Logistic Properties Ltd.*		SG		13,000		17,590
Hang Lung Group, Ltd.		HK		7,000		38,125
Hang Lung Properties Ltd.		HK		18,000		51,219
Henderson Land Development Co., Ltd.		HK		7,000		34,790
Hopewell Holdings Ltd.		HK		3,500		8,950
Hysan Development Co., Ltd.		HK		5,000		16,416
Immofinanz AG*		AT		6,797		20,409
Keppel Land Ltd.		SG		5,000		8,558
Kerry Properties Ltd.		BM		5,500		18,200
Lend Lease Group		AU		3,998		29,278
Mitsubishi Estate Co., Ltd.		JP		9,000		134,468
Mitsui Fudosan Co., Ltd.		JP		6,000		87,463
New World Development Ltd.		HK		27,000		21,762
Nomura Real Estate Holdings, Inc.		JP		800		11,911
NTT Urban Development Corp.		JP		6		4,093
Sino Land Co., Ltd.		HK		22,000		31,329
Sumitomo Realty & Development Co., Ltd.		JP		3,000		52,540
Sun Hung Kai Properties Ltd.		HK		11,000		137,879
Swire Pacific Ltd., Class A		HK		5,500		66,425
Tokyu Land Corp.		JP		3,000		11,342
UOL Group Ltd.		SG		3,000		9,252
Wharf Holdings Ltd.		HK		10,700		48,495
Wheelock & Co., Ltd.		HK		6,000		14,864
						1,162,149
ROAD & RAIL – 1.0%
Asciano Group		AU		6,944		31,961
Central Japan Railway Co.		JP		11		92,893
ComfortDelGro Corp., Ltd.		SG		14,000		15,273
DSV A/S		DK		1,448		25,968
East Japan Railway Co.		JP		2,500		159,153

See Notes to Financial Statements.

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	Country Code**		Shares		Value
Keikyu Corp.		JP		3,000	$	26,933
Keio Corp.		JP		4,000		28,219
Keisei Electric Railway Co., Ltd.		JP		2,000		14,707
Kintetsu Corp.		JP		12,000		46,927
MTR Corp.		HK		10,500		34,069
Nippon Express Co., Ltd.		JP		7,000		27,283
Odakyu Electric Railway Co., Ltd.		JP		4,000		38,664
QR National Ltd.		AU		12,391		43,344
Tobu Railway Co., Ltd.		JP		8,000		40,847
Tokyu Corp.		JP		8,000		39,392
West Japan Railway Co.		JP		1,200		52,150
						717,783
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 0.6%
Advantest Corp.		JP		1,100		10,476
ARM Holdings PLC		GB		9,952		91,496
Asm Pacific Technology Ltd.		KY		1,500		16,832
Asml Holding NV		NL		3,172		133,322
Elpida Memory, Inc.*		JP		1,900		8,837
Infineon Technologies AG		DE		7,967		59,970
Rohm Co., Ltd.		JP		700		32,649
STMicroelectronics NV		NL		4,708		27,975
Sumco Corp.*		JP		1,000		7,392
Tokyo Electron Ltd.		JP		1,200		61,037
						449,986
SOFTWARE – 0.9%
Dassault Systemes SA		FR		442		35,428
Konami Corp.		JP		700		20,963
NICE Systems Ltd.*		IL		428		14,555
Nintendo Co., Ltd.		JP		700		96,401
Oracle Corp.		JP		300		9,927
SAP AG		DE		6,782		358,565
Square Enix Holdings Co., Ltd.		JP		500		9,815
The Sage Group PLC		GB		9,666		44,163
Trend Micro, Inc.		JP		800		23,916
						613,733
SPECIALTY RETAIL – 0.9%
ABC-Mart, Inc.		JP		200		7,606
Fast Retailing Co., Ltd.		JP		400		72,756
Hennes & Mauritz AB		SE		7,532		242,200

	Country Code**		Shares		Value
Industria de Diseno Textil SA		ES		1,592	$	130,385
Kingfisher PLC		GB		16,975		66,090
Nitori Holdings Co., Ltd.		JP		250		23,451
Sanrio Co., Ltd.		JP		300		15,415
Shimamura Co., Ltd.		JP		200		20,449
USS Co., Ltd.		JP		160		14,468
Yamada Denki Co., Ltd.		JP		590		40,166
						632,986
TEXTILES, APPAREL & LUXURY GOODS – 1.1%
Adidas AG		DE		1,546		100,566
Asics Corp.		JP		1,000		11,277
Burberry Group PLC		GB		3,198		58,853
Christian Dior SA		FR		397		47,071
Compagnie Financiere Richemont SA		CH		3,839		194,177
Luxottica Group SpA		IT		883		24,799
LVMH Moet Hennessy Louis Vuitton SA		FR		1,876		265,625
Swatch Group AG		CH		562		106,658
Yue Yuen Industrial Holdings Ltd.		BM		5,500		17,385
						826,411
TOBACCO – 1.6%
British American Tobacco PLC		GB		14,546		690,236
Imperial Tobacco Group PLC		GB		7,454		281,877
Japan Tobacco, Inc.		JP		33		155,203
Swedish Match AB		SE		1,526		54,170
						1,181,486
TRADING COMPANIES & DISTRIBUTORS – 1.2%
Brenntag AG		DE		247		23,001
Bunzl PLC		GB		2,351		32,276
ITOCHU Corp.		JP		11,000		111,758
Marubeni Corp.		JP		12,000		73,119
Mitsubishi Corp.		JP		10,300		208,088
Mitsui & Co., Ltd.		JP		12,700		197,504
Noble Group Ltd.		BM		28,000		24,394
Sojitz Corp.		JP		8,800		13,605
Sumitomo Corp.		JP		8,300		112,363
Toyota Tsusho Corp.		JP		1,600		28,291
Wolseley PLC		JE		2,080		68,869
						893,268

See Notes to Financial Statements.

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	Country Code**		Shares		Value
TRANSPORTATION INFRASTRUCTURE – 0.4%
Abertis Infraestructuras SA		ES		2,869	$	45,821
Aeroports de Paris		FR		253		17,355
Atlantia SpA		IT		2,290		36,663
Auckland International Airport Ltd.		NZ		6,793		13,325
Fraport AG		DE		272		13,377
Groupe Eurotunnel SA		FR		3,993		27,183
Hutchison Port Holdings Trust		SG		38,000		23,560
Kamigumi Co., Ltd.		JP		2,000		17,254
Koninklijke Vopak NV		NL		528		27,898
Mitsubishi Logistics Corp.		JP		1,000		11,108
Sydney Airport		AU		2,431		6,614
Transurban Group		AU		9,557		54,935
						295,093
WATER UTILITIES – 0.1%
Severn Trent PLC		GB		1,698		39,449
United Utilities Group PLC		GB		5,038		47,414
						86,863
WIRELESS TELECOMMUNICATION SERVICES – 2.3%
Cellcom Israel Ltd.		IL		319		5,335
KDDI Corp.		JP		21		135,053
Millicom International Cellular SA		LU		556		55,705
Mobistar SA		BE		219		11,476
NTT DOCOMO, Inc.		JP		112		205,898
Partner Communications Co., Ltd.		IL		525		4,637
Softbank Corp.		JP		6,500		191,445
StarHub Ltd.		SG		4,000		8,974
Vodafone Group PLC		GB		374,308		1,039,946
						1,658,469
Total Common Stocks (Cost $77,794,102)						69,347,639
PREFERRED STOCKS – 0.5%
AUTOMOBILES – 0.4%
Bayerische Motoren Werke AG		DE		379		17,928
Porsche Automobil Holding SE		DE		1,127		60,314
Volkswagen AG		DE		1,057		158,349
						236,591

	Country Code**		Shares		Value
HOUSEHOLD PRODUCTS – 0.1%
Henkel AG & Co. KgaA		DE		1,307	$	75,428
MEDIA – 0.0% +
ProSiebenSat.1 Media AG		DE		582		10,632
MULTI-UTILITIES – 0.0% +
RWE AG		DE		366		12,049
Total Preferred Stocks (Cost $369,649)						334,700
SHORT TERM INVESTMENTS – 1.4%
MUTUAL FUNDS – 1.4%
State Street Institutional U.S. Government Money Market Fund, 0.00% (Cost $1,015,198)				1,015,198		1,015,198
TOTAL INVESTMENTS – 98.0%
(Cost $79,178,949)						70,697,537
Other assets less liabilities – 2.0%						1,433,181
NET ASSETS – 100.0%					$	72,130,718

ADR	American Depositary Receipt
CDI	Chess Depositary Receipt
MULT	Multi-National
REIT	Real Estate Investment Trust
AT	Austria
AU	Australia
BE	Belgium
BM	Bermuda
CH	Switzerland
DE	Germany
DK	Denmark
ES	Spain
FI	Finland
FR	France
GB	Great Britain
GG	Guernsey
GR	Greece
HK	Hong Kong
IE	Ireland
IL	Israel
IM	Isle of Man
IT	Italy
JE	Jersey
JP	Japan

See Notes to Financial Statements.

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KY	Cayman Islands
LU	Luxembourg
MU	Mauritius
NL	Netherlands
NO	Norway
NZ	New Zealand
PT	Portugal
SE	Sweden
SG	Singapore

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

+ Amount is less than 0.05%.

(1) Eligible for resale under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $80,653, representing 0.1% of net assets.

Distribution of investments by country of issuer, as a percentage of net assets, is as follows. Figures may not total to 100% due to the exclusion of the Fund’s other assets and liabilities. (Unaudited)

Great Britain	21.7	%
Japan	20.9
France	8.4
Australia	8.3
Switzerland	8.2
Germany	7.5
Spain	3.2
Sweden	2.9
Netherlands	2.6
Hong Kong	2.3
Italy	2.1
Other (individually less than 2%)	9.9

(2) At the period end, cash of $202,000 has been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts		Unrealized Appreciation / (Depreciation) ($)
Long	ASX SPI 200 Index March Futures	3/15/12		2		(4,607	)
Long	DJ Euro Stoxx 50 Index March Futures	3/16/12		15		17,481
Long	FTSE 100 Index March Futures	3/16/12		5		9,867
Long	MSCI EAFE E-Mini Index March Futures	3/16/12		14		5,446
Long	NIKKEI 225 Index March Futures	3/8/12		6		1,039
Net unrealized appreciation						29,226

See Notes to Financial Statements.

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(3) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Common Stocks (a)	$	8,442	$	69,339,197		$	—	$	69,347,639
Preferred Stocks (b)		—		334,700			—		334,700
Short Term Investments
Mutual Funds		1,015,198		—			—		1,015,198
Total Investments		1,023,640		69,673,897			—		70,697,537
Financial Derivative Instruments
Futures Contracts		5,446		28,387			—		33,833
Total Financial Derivative Instruments	$	5,446	$	28,387		$	—	$	33,833
Liabilities
Financial Derivative Instruments
Futures Contracts	$	—	$	(4,607	)	$	—	$	(4,607	)
Total Financial Derivative Instruments	$	—	$	(4,607	)	$	—	$	(4,607	)

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorization of Level 2 securities. The Level 1 security is within the Airlines industry in the Portfolio of Investments.

(b) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

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	Country Code**	Shares		Value
COMMON STOCKS – 97.7%
AEROSPACE & DEFENSE – 2.6%
General Dynamics Corp.			4,946	$	328,464
Goodrich Corp.			1,739		215,114
Honeywell International, Inc.			10,742		583,828
L-3 Communications Holdings, Inc.			1,387		92,485
Lockheed Martin Corp.			3,685		298,117
Northrop Grumman Corp.			3,629		212,224
Precision Castparts Corp.			2,002		329,910
Raytheon Co.			4,807		232,563
Rockwell Collins, Inc.			2,101		116,332
Textron, Inc.			3,860		71,371
The Boeing Co.			10,321		757,045
United Technologies Corp.			12,583		919,691
					4,157,144
AIR FREIGHT & LOGISTICS – 1.0%
C.H. Robinson Worldwide, Inc.			2,279		159,029
Expeditors International of Washington, Inc.			2,943		120,545
FedEx Corp.			4,405		367,862
United Parcel Services, Inc., Class B			13,402		980,892
					1,628,328
AIRLINES – 0.1%
Southwest Airlines Co.			10,812		92,551
AUTO COMPONENTS – 0.3%
BorgWarner, Inc.*			1,523		97,076
Johnson Controls, Inc.			9,447		295,313
The Goodyear Tire & Rubber Co.*			3,357		47,569
					439,958
AUTOMOBILES – 0.4%
Ford Motor Co.*			52,771		567,816
Harley-Davidson, Inc.			3,227		125,433
					693,249

	Country Code**		Shares		Value
BEVERAGES – 2.6%
Beam, Inc.				2,158	$	110,554
Brown-Forman Corp., Class B				1,400		112,714
Coca-Cola Enterprises, Inc.				4,333		111,705
Constellation Brands, Inc., Class A*				2,418		49,980
Dr Pepper Snapple Group, Inc.				2,977		117,532
Molson Coors Brewing Co., Class B				2,188		95,265
PepsiCo, Inc.				21,713		1,440,658
The Coca-Cola Co.				31,543		2,207,064
						4,245,472
BIOTECHNOLOGY – 1.2%
Amgen, Inc.				11,016		707,337
Biogen Idec, Inc.*				3,373		371,199
Celgene Corp.*				6,165		416,754
Gilead Sciences, Inc.*				10,432		426,982
						1,922,272
BUILDING PRODUCTS – 0.0% +
Masco Corp.				4,894		51,289
CAPITAL MARKETS – 1.8%
Ameriprise Financial, Inc.				3,142		155,969
Bank of New York Mellon Corp.				16,841		335,304
BlackRock, Inc.				1,391		247,932
E*TRADE Financial Corp.*				3,524		28,051
Federated Investors, Inc., Class B				1,339		20,286
Franklin Resources, Inc.				2,021		194,137
Invesco Ltd.		BM		6,261		125,783
Legg Mason, Inc.				1,735		41,727
Morgan Stanley				20,608		311,799
Northern Trust Corp.				3,346		132,702
State Street Corp.				6,832		275,398
T. Rowe Price Group, Inc.				3,509		199,838

See Notes to Financial Statements.

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	Country Code**	Shares		Value
The Charles Schwab Corp.			14,987	$	168,754
The Goldman Sachs Group, Inc.			6,837		618,270
					2,855,950
CHEMICALS – 2.2%
Air Products & Chemicals, Inc.			2,923		249,010
Airgas, Inc.			948		74,020
CF Industries Holdings, Inc.			908		131,642
E.I. du Pont de Nemours & Co.			12,832		587,449
Eastman Chemical Co.			1,910		74,605
Ecolab, Inc.			4,168		240,952
FMC Corp.			967		83,201
International Flavors & Fragrances, Inc.			1,123		58,868
Monsanto Co.			7,435		520,970
PPG Industries, Inc.			2,145		179,086
Praxair, Inc.			4,163		445,025
Sigma-Aldrich Corp.			1,673		104,495
The Dow Chemical Co.			16,411		471,980
The Mosaic Co.			4,134		208,478
The Sherwin-Williams Co.			1,196		106,767
					3,536,548
COMMERCIAL BANKS – 2.6%
BB&T Corp.			9,679		243,621
Comerica, Inc.			2,793		72,059
Fifth Third Bancorp			12,770		162,434
First Horizon National Corp.			3,674		29,392
Huntington Bancshares, Inc.			12,123		66,555
KeyCorp			13,227		101,716
M&T Bank Corp.			1,744		133,137
PNC Financial Services Group, Inc.			7,306		421,337
Regions Financial Corp.			17,561		75,512
SunTrust Banks, Inc.			7,455		131,954
U.S. Bancorp			26,502		716,879

	Country Code**	Shares		Value
Wells Fargo & Co.			73,237	$	2,018,412
Zions Bancorporation			2,605		42,409
					4,215,417
COMMERCIAL SERVICES & SUPPLIES – 0.4%
Avery Dennison Corp.			1,462		41,930
Cintas Corp.			1,536		53,468
Iron Mountain, Inc.			2,578		79,402
Pitney Bowes, Inc.			2,778		51,504
R.R. Donnelley & Sons Co.			2,598		37,489
Republic Services, Inc.			4,381		120,697
Stericycle, Inc.*			1,181		92,024
Waste Management, Inc.			6,393		209,115
					685,629
COMMUNICATIONS EQUIPMENT – 2.1%
Cisco Systems, Inc.			74,661		1,349,871
F5 Networks, Inc.*			1,107		117,475
Harris Corp.			1,600		57,664
JDS Uniphase Corp.*			3,222		33,638
Juniper Networks, Inc.*			7,303		149,054
Motorola Mobility Holdings, Inc.*			3,659		141,969
Motorola Solutions, Inc.			3,979		184,188
QUALCOMM, Inc.			23,344		1,276,917
					3,310,776
COMPUTERS & PERIPHERALS – 4.5%
Apple, Inc.*			12,908		5,227,740
Dell, Inc.*			21,208		310,273
EMC Corp.*			28,331		610,250
Hewlett-Packard Co.			27,595		710,847
Lexmark International, Inc., Class A			997		32,971
NetApp, Inc.*			4,980		180,625
SanDisk Corp.*			3,336		164,164
Western Digital Corp.*			3,245		100,433
					7,337,303

See Notes to Financial Statements.

127

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	Country Code**	Shares		Value
CONSTRUCTION & ENGINEERING – 0.2%
Fluor Corp.			2,356	$	118,389
Jacobs Engineering Group, Inc.*			1,778		72,151
Quanta Services, Inc.*			2,937		63,263
					253,803
CONSTRUCTION MATERIALS – 0.0% +
Vulcan Materials Co.			1,815		71,420
CONSUMER FINANCE – 0.8%
American Express Co.			14,034		661,984
Capital One Financial Corp.			6,383		269,937
Discover Financial Services			7,631		183,144
SLM Corp.			7,061		94,617
					1,209,682
CONTAINERS & PACKAGING – 0.1%
Ball Corp.			2,257		80,597
Bemis Co.			1,420		42,714
Owens- Ilinois, Inc.*			2,330		45,155
Sealed Air Corp.			2,237		38,499
					206,965
DISTRIBUTORS – 0.1%
Genuine Parts Co.			2,161		132,253
DIVERSIFIED CONSUMER SERVICES – 0.1%
Apollo Group, Inc., Class A*			1,614		86,946
DeVry, Inc.			849		32,653
H&R Block, Inc.			4,068		66,430
					186,029
DIVERSIFIED FINANCIAL SERVICES – 2.6%
Bank of America Corp.			140,758		782,614
Citigroup, Inc.			40,603		1,068,265
CME Group, Inc.			922		224,664
IntercontinentalExchange, Inc.*			1,011		121,876
JP Morgan Chase & Co.			52,772		1,754,669
Leucadia National Corp.			2,771		63,013

	Country Code**		Shares		Value
Moody’s Corp.				2,713	$	91,374
NASDAQ OMX Group, Inc.*				1,771		43,407
NYSE Euronext				3,637		94,926
						4,244,808
DIVERSIFIED TELECOMMUNICATION SERVICES – 2.8%
AT&T, Inc.				82,299		2,488,722
CenturyLink, Inc.				8,576		319,027
Frontier Communications Corp.				13,810		71,121
Verizon Communications, Inc.				39,317		1,577,398
Windstream Corp.				8,089		94,965
						4,551,233
ELECTRIC UTILITIES – 2.0%
American Electric Power Co., Inc.				6,705		276,983
Duke Energy Corp.				18,507		407,154
Edison International				4,524		187,294
Entergy Corp.				2,445		178,607
Exelon Corp.				9,207		399,307
FirstEnergy Corp.				5,807		257,250
NextEra Energy, Inc.				5,867		357,183
Northeast Utilities				2,457		88,624
Pepco Holdings, Inc.				3,160		64,148
Pinnacle West Capital Corp.				1,516		73,041
PPL Corp.				8,030		236,243
Progress Energy, Inc.				4,096		229,458
Southern Co.				11,969		554,045
						3,309,337
ELECTRICAL EQUIPMENT – 0.5%
Cooper Industries PLC		IE		2,196		118,913
Emerson Electric Co.				10,218		476,057
Rockwell Automation, Inc.				1,970		144,539
Roper Industries, Inc.				1,339		116,319
						855,828

See Notes to Financial Statements.

128

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	Country Code**		Shares		Value
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 0.4%
Amphenol Corp., Class A				2,302	$	104,488
Corning, Inc.				21,822		283,249
Flir Systems, Inc.				2,166		54,302
Jabil Circuit, Inc.				2,523		49,602
Molex, Inc.				1,902		45,382
TE Connectivity Ltd.		CH		5,895		181,625
						718,648
ENERGY EQUIPMENT & SERVICES – 1.9%
Baker Hughes, Inc.				6,061		294,807
Cameron International Corp.*				3,404		167,443
Diamond Offshore Drilling, Inc.				981		54,210
FMC Technologies, Inc.*				3,308		172,777
Halliburton Co.				12,778		440,969
Helmerich & Payne, Inc.				1,487		86,781
Nabors Industries Ltd.*		BM		4,043		70,106
National-Oilwell Varco, Inc.				5,886		400,189
Noble Corp.*		CH		3,504		105,891
Rowan Cos., Inc.*				1,732		52,531
Schlumberger Ltd.		AN		18,639		1,273,230
						3,118,934
FOOD & STAPLES RETAILING – 2.4%
Costco Wholesale Corp.				6,019		501,503
CVS Caremark Corp.				18,077		737,180
Kroger Co.				8,291		200,808
Safeway, Inc.				4,721		99,330
SUPERVALU, Inc.				3,001		24,368
Sysco Corp.				8,191		240,242
Wal-Mart Stores, Inc.				24,256		1,449,539
Walgreen Co.				12,351		408,324
Whole Foods Market, Inc.				2,218		154,328
						3,815,622

	Country Code**		Shares		Value
FOOD PRODUCTS – 1.9%
Archer-Daniels-Midland Co.				9,275	$	265,265
Campbell Soup Co.				2,506		83,299
ConAgra Foods, Inc.				5,755		151,932
Dean Foods Co.*				2,546		28,515
General Mills, Inc.				8,935		361,063
HJ Heinz Co.				4,446		240,262
Hormel Foods Corp.				1,903		55,739
Kellogg Co.				3,441		174,011
Kraft Foods, Inc., Class A				24,535		916,628
McCormick & Co., Inc.				1,841		92,823
Mead Johnson Nutrition Co., Class A				2,826		194,231
Sara Lee Corp.				8,201		155,163
The Hershey Co.				2,125		131,283
The J. M. Smucker Co.				1,580		123,509
Tyson Foods, Inc., Class A				4,057		83,736
						3,057,459
GAS UTILITIES – 0.1%
AGL Resources, Inc.				1,620		68,461
ONEOK, Inc.				1,430		123,967
						192,428
HEALTH CARE EQUIPMENT & SUPPLIES – 1.7%
Bard (C.R.), Inc.				1,193		102,002
Baxter International, Inc.				7,830		387,428
Becton, Dickinson & Co.				2,984		222,964
Boston Scientific Corp.*				20,575		109,871
CareFusion Corp.*				3,117		79,203
Covidien PLC		IE		6,700		301,567
Dentsply International, Inc.				1,964		68,720
Edwards Lifesciences Corp.*				1,585		112,060
Intuitive Surgical, Inc.*				541		250,488
Medtronic, Inc.				14,655		560,554
St. Jude Medical, Inc.				4,430		151,949
Stryker Corp.				4,517		224,540

See Notes to Financial Statements.

129

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	Country Code**		Shares		Value
Varian Medical Systems, Inc.*				1,563	$	104,924
Zimmer Holdings, Inc.*				2,488		132,909
						2,809,179
HEALTH CARE PROVIDERS & SERVICES – 2.1%
Aetna, Inc.				5,032		212,300
AmerisourceBergen Corp.				3,588		133,438
Cardinal Health, Inc.				4,797		194,806
CIGNA Corp.				3,963		166,446
Coventry Health Care, Inc.*				2,004		60,862
DaVita, Inc.*				1,298		98,401
Express Scripts, Inc.*				6,755		301,881
Humana, Inc.				2,271		198,962
Laboratory Corp. of America Holdings*				1,376		118,295
McKesson Corp.				3,410		265,673
Medco Health Solutions, Inc.*				5,376		300,518
Patterson Cos., Inc.				1,323		39,055
Quest Diagnostics, Inc.				2,190		127,151
Tenet Healthcare Corp.*				6,032		30,944
UnitedHealth Group, Inc.				14,805		750,318
WellPoint, Inc.				4,831		320,054
						3,319,104
HEALTH CARE TECHNOLOGY – 0.1%
Cerner Corp.*				2,022		123,848
HOTELS, RESTAURANTS & LEISURE – 2.0%
Carnival Corp.		PA		6,285		205,142
Chipotle Mexican Grill, Inc.*				434		146,579
Darden Restaurants, Inc.				1,831		83,457
International Game Technology				4,187		72,016
Marriott International, Inc., Class A				3,723		108,600
McDonald’s Corp.				14,211		1,425,790
Starbucks Corp.				10,351		476,249

	Country Code**		Shares		Value
Starwood Hotels & Resorts Worldwide, Inc.				2,668	$	127,984
Wyndham Worldwide Corp.				2,120		80,200
Wynn Resorts, Ltd.				1,099		121,429
Yum! Brands, Inc.				6,395		377,369
						3,224,815
HOUSEHOLD DURABLES – 0.2%
D.R. Horton, Inc.				3,858		48,649
Harman International Industries, Inc.				998		37,964
Leggett & Platt, Inc.				1,958		45,112
Lennar Corp., Class A				2,276		44,724
Newell Rubbermaid, Inc.				4,017		64,875
Pulte Homes, Inc.*				4,684		29,556
Whirlpool Corp.				1,080		51,246
						322,126
HOUSEHOLD PRODUCTS – 2.3%
Clorox Co.				1,831		121,872
Colgate-Palmolive Co.				6,721		620,953
Kimberly-Clark Corp.				5,473		402,594
The Procter & Gamble Co.				38,210		2,548,989
						3,694,408
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS – 0.2%
AES Corp.*				8,950		105,968
Constellation Energy Group				2,798		110,997
NRG Energy, Inc.*				3,194		57,875
						274,840
INDUSTRIAL CONGLOMERATES – 2.5%
3M Co.				9,733		795,478
Danaher Corp.				7,910		372,086
General Electric Co.				146,619		2,625,946
Tyco International Ltd.		CH		6,415		299,645
						4,093,155

See Notes to Financial Statements.

130

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	Country Code**		Shares		Value
INSURANCE – 3.5%
ACE Ltd.		CH		4,677	$	327,951
Aflac, Inc.				6,482		280,411
American International Group, Inc.*				6,064		140,685
Aon Corp.				4,489		210,085
Assurant, Inc.				1,279		52,516
Berkshire Hathaway, Inc., Class B*				24,415		1,862,864
Cincinnati Financial Corp.				2,275		69,297
Genworth Financial Inc., Class A*				6,924		45,352
Lincoln National Corp.				4,199		81,545
Loews Corp.				4,241		159,674
Marsh & McLennan Cos., Inc.				7,470		236,201
MetLife, Inc.				14,687		457,941
Prudential Financial, Inc.				6,555		328,537
The Allstate Corp.				7,018		192,363
The Chubb Corp.				3,862		267,328
The Hartford Financial Services Group, Inc.				6,187		100,539
The Principal Financial Group, Inc.				4,238		104,255
The Progressive Corp.				8,565		167,103
Torchmark Corp.				1,416		61,440
Travelers Cos., Inc.				5,733		339,222
Unum Group				4,061		85,565
XL Group PLC		IE		4,490		88,767
						5,659,641
INTERNET & CATALOG RETAIL – 0.8%
Amazon.com, Inc.*				5,052		874,501
Expedia, Inc.				1,302		37,784
Netflix, Inc.*				768		53,215
Priceline.com, Inc.*				691		323,188
TripAdvisor, Inc.*				1,302		32,823
						1,321,511
INTERNET SOFTWARE & SERVICES – 2.0%
Akamai Technologies, Inc.*				2,523		81,443
eBay, Inc.*				15,955		483,915
Google, Inc., Class A*				3,508		2,265,817

	Country Code**		Shares		Value
VeriSign, Inc.				2,209	$	78,906
Yahoo!, Inc.*				17,225		277,839
						3,187,920
IT SERVICES – 3.8%
Accenture PLC, Class A		IE		8,900		473,747
Automatic Data Processing, Inc.				6,786		366,512
Cognizant Technology Solutions Corp., Class A*				4,195		269,780
Computer Sciences Corp.				2,181		51,690
Fidelity National Information Services, Inc.				3,369		89,582
Fiserv, Inc.*				1,955		114,837
International Business Machines Corp.				16,369		3,009,932
MasterCard, Inc., Class A				1,480		551,774
Paychex, Inc.				4,477		134,802
SAIC, Inc.*				3,832		47,095
Teradata Corp.*				2,324		112,737
The Western Union Co.				8,596		156,963
Total System Services, Inc.				2,229		43,599
Visa, Inc., Class A				7,063		717,106
						6,140,156
LEISURE EQUIPMENT & PRODUCTS – 0.1%
Hasbro, Inc.				1,600		51,024
Mattel, Inc.				4,701		130,500
						181,524
LIFE SCIENCES TOOLS & SERVICES – 0.4%
Agilent Technologies, Inc.*				4,821		168,397
Life Technologies Corp.*				2,492		96,964
PerkinElmer, Inc.				1,599		31,980
Thermo Fisher Scientific, Inc.*				5,252		236,182
Waters Corp.*				1,256		93,007
						626,530

See Notes to Financial Statements.

131

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	Country Code**		Shares		Value
MACHINERY – 2.0%
Caterpillar, Inc.				8,980	$	813,588
Cummins, Inc.				2,678		235,717
Deere & Co.				5,748		444,608
Dover Corp.				2,574		149,421
Eaton Corp.				4,641		202,023
Flowserve Corp.				778		77,271
Illinois Tool Works, Inc.				6,711		313,471
Ingersoll-Rand PLC		IE		4,336		132,118
Joy Global, Inc.				1,459		109,381
PACCAR, Inc.				4,975		186,413
Pall Corp.				1,600		91,440
Parker Hannifin Corp.				2,098		159,972
Snap-On, Inc.				807		40,850
Stanley Black & Decker, Inc.				2,345		158,522
Xylem, Inc.				2,585		66,409
						3,181,204
MEDIA – 3.0%
Cablevision Systems Corp., Class A				3,015		42,873
CBS Corp., Class B				9,089		246,675
Comcast Corp., Class A				37,843		897,258
DIRECTV, Class A*				9,799		419,005
Discovery Communications, Inc., Class A*				3,670		150,360
Gannett Co., Inc.				3,329		44,509
News Corp., Class A				30,456		543,335
Omnicom Group, Inc.				3,831		170,786
Scripps Networks Interactive, Inc., Class A				1,352		57,352
The Interpublic Group of Cos., Inc.				6,405		62,321
The McGraw-Hill Cos., Inc.				4,075		183,253
The Walt Disney Co.				24,950		935,625
The Washington Post Co., Class B				66		24,869
Time Warner Cable, Inc.				4,432		281,742
Time Warner, Inc.				13,900		502,346
Viacom, Inc.				7,669		348,249
						4,910,558

	Country Code**	Shares		Value
METALS & MINING – 0.9%
Alcoa, Inc.			14,775	$	127,804
Allegheny Technologies, Inc.			1,491		71,270
Cliffs Natural Resources, Inc.			1,986		123,827
Freeport-McMoRan Copper & Gold, Inc.			13,163		484,267
Newmont Mining Corp.			6,871		412,329
Nucor Corp.			4,397		173,989
Titanium Metals Corp.			1,173		17,571
United States Steel Corp.			1,982		52,444
					1,463,501
MULTI-LINE RETAIL – 0.8%
Big Lots, Inc.*			922		34,815
Dollar Tree, Inc.*			1,652		137,298
Family Dollar Stores, Inc.			1,632		94,101
J.C. Penney Co., Inc.			1,983		69,702
Kohl’s Corp.			3,520		173,712
Macy’s, Inc.			5,831		187,641
Nordstrom, Inc.			2,246		111,649
Sears Holdings Corp.*			549		17,447
Target Corp.			9,326		477,678
					1,304,043
MULTI-UTILITIES – 1.4%
Ameren Corp.			3,363		111,416
Centerpoint Energy, Inc.			5,913		118,792
CMS Energy Corp.			3,497		77,214
Consolidated Edison, Inc.			4,067		252,276
Dominion Resources, Inc.			7,910		419,863
DTE Energy Co.			2,350		127,957
Integrys Energy Group, Inc.			1,081		58,568
NiSource, Inc.			3,902		92,907
PG&E Corp.			5,636		232,316

See Notes to Financial Statements.

132

SC ^SM BLACKROCK LARGE CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Public Service Enterprise Group, Inc.			7,024	$	231,862
SCANA Corp.			1,601		72,141
Sempra Energy			3,327		182,985
TECO Energy, Inc.			2,947		56,406
Wisconsin Energy Corp.			3,210		112,222
Xcel Energy, Inc.			6,733		186,100
					2,333,025
OFFICE ELECTRONICS – 0.1%
Xerox Corp.			19,257		153,286
OIL, GAS & CONSUMABLE FUELS – 10.1%
Alpha Natural Resources, Inc.*			3,024		61,780
Anadarko Petroleum Corp.			6,915		527,822
Apache Corp.			5,333		483,063
Cabot Oil & Gas Corp.			1,451		110,131
Chesapeake Energy Corp.			9,154		204,043
Chevron Corp.			27,657		2,942,705
ConocoPhillips			18,440		1,343,723
Consol Energy, Inc.			3,149		115,568
Denbury Resources, Inc.*			5,514		83,261
Devon Energy Corp.			5,609		347,758
El Paso Corp.			10,708		284,512
EOG Resources, Inc.			3,733		367,738
EQT Corp.			2,074		113,634
Exxon Mobil Corp.			66,569		5,642,388
Hess Corp.			4,139		235,095
Marathon Oil Corp.			9,773		286,056
Marathon Petroleum Corp.			4,950		164,785
Murphy Oil Corp.			2,687		149,773
Newfield Exploration Co.*			1,839		69,385
Noble Energy, Inc.			2,438		230,123
Occidental Petroleum Corp.			11,274		1,056,374
Peabody Energy Corp.			3,760		124,494
Pioneer Natural Resources Co.			1,700		152,116
QEP Resources, Inc.			2,456		71,961

	Country Code**	Shares		Value
Range Resources Corp.			2,172	$	134,534
Southwestern Energy Co.*			4,823		154,047
Spectra Energy Corp.			9,030		277,672
Sunoco, Inc.			1,483		60,833
Tesoro Corp.*			1,937		45,248
The Williams Cos., Inc.			8,184		270,236
Valero Energy Corp.			7,774		163,643
					16,274,501
PAPER & FOREST PRODUCTS – 0.2%
International Paper Co.			6,068		179,613
MeadWestvaco Corp.			2,369		70,951
					250,564
PERSONAL PRODUCTS – 0.2%
Avon Products, Inc.			5,980		104,471
The Estee Lauder Cos., Inc., Class A			1,551		174,208
					278,679
PHARMACEUTICALS – 6.1%
Abbott Laboratories			21,634		1,216,480
Allergan, Inc.			4,236		371,667
Bristol-Myers Squibb Co.			23,532		829,268
Eli Lilly & Co.			14,148		587,991
Forest Laboratories, Inc.*			3,710		112,264
Hospira, Inc.*			2,286		69,426
Johnson & Johnson			37,926		2,487,187
Merck & Co., Inc.			42,330		1,595,841
Mylan, Inc.*			5,921		127,065
Perrigo Co.			1,294		125,906
Pfizer, Inc.			106,758		2,310,243
Watson Pharmaceuticals, Inc.*			1,765		106,500
					9,939,838
PROFESSIONAL SERVICES – 0.1%
Equifax, Inc.			1,680		65,083
Robert Half International, Inc.			1,960		55,782
The Dun & Bradstreet Corp.			663		49,612
					170,477

See Notes to Financial Statements.

133

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	Country Code**	Shares		Value
REAL ESTATE INVESTMENT TRUSTS – 1.8%
Apartment Investment & Management Co., Class A			1,656	$	37,939
AvalonBay Communities, Inc.			1,320		172,392
Boston Properties, Inc.			2,050		204,180
Equity Residential			4,119		234,907
HCP, Inc.			5,662		234,577
Health Care REIT, Inc.			2,635		143,687
Host Hotels & Resorts, Inc.			9,804		144,805
Kimco Realty Corp.			5,648		91,723
Plum Creek Timber Co., Inc.			2,238		81,821
ProLogis, Inc.			6,362		181,890
Public Storage			1,971		265,021
Simon Property Group, Inc.			4,080		526,075
Ventas, Inc.			3,998		220,410
Vornado Realty Trust			2,562		196,915
Weyerhaeuser Co.			7,447		139,035
					2,875,377
REAL ESTATE MANAGEMENT & DEVELOPMENT – 0.0% +
CBRE Group, Inc.*			4,500		68,490
ROAD & RAIL – 0.9%
CSX Corp.			14,582		307,097
Norfolk Southern Corp.			4,668		340,111
Ryder System, Inc.			692		36,773
Union Pacific Corp.			6,709		710,751
					1,394,732
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 2.3%
Advanced Micro Devices, Inc.*			8,120		43,848
Altera Corp.			4,455		165,280
Analog Devices, Inc.			4,137		148,022
Applied Materials, Inc.			18,128		194,151

	Country Code**	Shares		Value
Broadcom Corp., Class A*			6,735	$	197,740
First Solar, Inc.*			835		28,190
Intel Corp.			70,718		1,714,911
Kla-Tencor Corp.			2,314		111,650
Linear Technology Corp.			3,161		94,925
LSI Corp.*			7,987		47,523
Microchip Technology, Inc.			2,653		97,179
Micron Technology, Inc.*			13,706		86,211
Novellus Systems, Inc.*			921		38,028
NVIDIA Corp.*			8,477		117,491
Teradyne, Inc.*			2,490		33,939
Texas Instruments, Inc.			15,869		461,947
Xilinx, Inc.			3,643		116,794
					3,697,829
SOFTWARE – 3.4%
Adobe Systems, Inc.*			6,816		192,688
Autodesk, Inc.*			3,157		95,752
BMC Software, Inc.*			2,364		77,492
CA, Inc.			5,149		104,087
Citrix Systems, Inc.*			2,589		157,204
Electronic Arts, Inc.*			4,628		95,337
Intuit, Inc.			4,128		217,092
Microsoft Corp.			103,976		2,699,217
Oracle Corp.			54,645		1,401,644
Red Hat, Inc.*			2,677		110,533
Salesforce.com, Inc.*			1,888		191,556
Symantec Corp.*			10,238		160,225
					5,502,827
SPECIALTY RETAIL – 1.9%
Abercrombie & Fitch Co., Class A			1,178		57,534
AutoNation, Inc.*			656		24,187
AutoZone, Inc.*			388		126,088
Bed Bath & Beyond, Inc.*			3,334		193,272
Best Buy Co., Inc.			4,076		95,256
CarMax, Inc.*			3,143		95,799
GameStop Corp., Class A*			1,903		45,919
Limited Brands, Inc.			3,415		137,795

See Notes to Financial Statements.

134

SC ^SM BLACKROCK LARGE CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Lowe’s Cos., Inc.			17,394	$	441,460
O’Reilly Automotive, Inc.*			1,782		142,471
Orchard Supply Hardware Stores Corp., Class A*			22		83
Ross Stores, Inc.			3,108		147,723
Staples, Inc.			9,710		134,872
The Gap, Inc.			4,826		89,522
The Home Depot, Inc.			21,409		900,034
Tiffany & Co.			1,762		116,750
TJX Cos., Inc.			5,237		338,048
Urban Outfitters, Inc.*			1,542		42,498
					3,129,311
TEXTILES, APPAREL & LUXURY GOODS – 0.6%
Coach, Inc.			4,052		247,334
Nike, Inc., Class B			5,152		496,498
Ralph Lauren Corp.			895		123,582
VF Corp.			1,210		153,658
					1,021,072
THRIFT & MORTGAGE FINANCE – 0.1%
Hudson City Bancorp, Inc.			7,383		46,144
People’s United Financial, Inc.			5,009		64,365
					110,509
TOBACCO – 1.9%
Altria Group, Inc.			28,558		846,745
Lorillard, Inc.			1,875		213,750
Philip Morris International, Inc.			24,123		1,893,173
Reynolds American, Inc.			4,694		194,425
					3,148,093
TRADING COMPANIES & DISTRIBUTORS – 0.2%
Fastenal Co.			4,099		178,757
W.W. Grainger, Inc.			842		157,614
					336,371

	Country Code**	Shares		Value
WIRELESS TELECOMMUNICATION SERVICES – 0.3%
American Tower Corp., Class A			5,457	$	327,475
MetroPCS Communications, Inc.*			4,113		35,701
Sprint Nextel Corp.*			41,583		97,304
					460,480
Total Common Stocks
(Cost $151,929,337)					158,079,859
PREFERRED STOCKS – 0.0% +
SPECIALTY RETAIL – 0.0% +
Orchard Supply Hardware Stores Corp., Series A* (Cost $130)			22		83
SHORT TERM INVESTMENTS – 2.0%
MUTUAL FUNDS – 2.0%
State Street Institutional Treasury Plus Money Market Fund, 0.00% (Cost $3,178,449)			3,178,449		3,178,449
TOTAL INVESTMENTS – 99.7%
(Cost $155,107,916)				$	161,258,391
Other assets less liabilities – 0.3%					454,590
NET ASSETS – 100.0%				$	161,712,981

REIT	Real Estate Investment Trust
AN	Netherlands Antilles
BM	Bermuda
CH	Switzerland
IE	Ireland
PA	Panama

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

+ Amount is less than 0.05%.

See Notes to Financial Statements.

135

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(1) At the period end, cash of $264,000 has been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts		Unrealized Depreciation ($)
Long	S&P 500 E-Mini Index March Futures	3/16/12		58		(3,190	)

(2) Fair Value Measurements

All investments and financial derivative instruments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

136

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
COMMON STOCKS – 99.1%
AEROSPACE & DEFENSE – 1.9%
AAR Corp.			6,709	$	128,612
AeroVironment, Inc.*			2,829		89,029
American Science & Engineering, Inc.			1,526		103,936
Astronics Corp.*			1,760		63,026
Ceradyne, Inc.*			4,203		112,556
Cubic Corp.			2,666		116,211
Curtiss-Wright Corp.			7,846		277,199
DigitalGlobe, Inc.*			5,954		101,873
Ducommun, Inc.			1,718		21,904
Esterline Technologies Corp.*			5,152		288,357
GenCorp, Inc.*			10,157		54,035
Geoeye, Inc.*			3,726		82,792
Heico Corp.			7,059		412,810
Hexcel Corp.*			16,597		401,813
Kratos Defense & Security Solutions, Inc.*			5,517		32,936
LMI Aerospace, Inc.*			1,563		27,431
Moog, Inc.*			7,658		336,416
National Presto Industries, Inc.			801		74,974
Orbital Sciences Corp.*			9,874		143,469
Taser International, Inc.*			9,387		48,061
Teledyne Technologies, Inc.*			6,208		340,509
The Keyw Holding Corp.*			3,077		22,770
Triumph Group, Inc.			6,368		372,210
					3,652,929
AIR FREIGHT & LOGISTICS – 0.3%
Air Transport Services Group, Inc.*			9,282		43,811
Atlas Air Worldwide Holdings, Inc.*			4,436		170,476
Forward Air Corp.			4,959		158,936
HUB Group, Inc.*			6,203		201,163

	Country Code**	Shares		Value
Pacer International, Inc.*			5,894	$	31,533
Park-Ohio Holdings Corp.*			1,413		25,208
					631,127
AIRLINES – 0.6%
Alaska Air Group, Inc.*			6,089		457,223
Allegiant Travel Co.*			2,514		134,097
Hawaiian Holdings, Inc.*			8,660		50,228
JetBlue Airways Corp.*			41,694		216,809
Republic Airways Holdings, Inc.*			8,170		28,023
SkyWest, Inc.			8,942		112,580
Spirit Airlines, Inc.*			2,635		41,106
US Airways Group, Inc.*			27,425		139,044
					1,179,110
AUTO COMPONENTS – 0.8%
American Axle & Manufacturing Holdings, Inc.*			11,266		111,421
Amerigon, Inc.*			3,821		54,488
Cooper Tire & Rubber Co.			10,524		147,441
Dana Holding Corp.*			24,782		301,101
Dorman Products, Inc.*			1,805		66,659
Drew Industries, Inc.*			3,210		78,741
Exide Technologies*			12,909		33,951
Fuel Systems Solutions, Inc.*			2,838		46,799
Modine Manufacturing Co.*			7,809		73,873
Motorcar Parts of America, Inc.*			2,016		15,120
Shiloh Industries, Inc.*			884		7,408
Spartan Motors, Inc.			5,562		26,753
Standard Motor Products, Inc.			3,383		67,829
Stoneridge, Inc.*			4,580		38,609
Superior Industries International, Inc.			4,017		66,441

See Notes to Financial Statements.

137

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Tenneco, Inc.*				10,240	$	304,947
Tower International, Inc.*				1,080		11,599
						1,453,180
AUTOMOBILES – 0.0%+
Winnebago Industries, Inc.*				5,102		37,653
BEVERAGES – 0.2%
Boston Beer Co., Inc.*				1,381		149,921
Central European Distribution Corp.*				12,519		54,771
Coca-Cola Bottling Co. Consolidated				765		44,791
Craft Brewers Alliance, Inc.*				1,678		10,102
Heckmann Corp.*				16,794		111,680
MGP Ingredients, Inc.				2,271		11,446
National Beverage Corp.*				1,856		29,826
Primo Water Corp.*				2,683		8,156
						420,693
BIOTECHNOLOGY – 3.7%
Achillion Pharmaceuticals, Inc.*				8,112		61,813
Acorda Therapeutics, Inc.*				6,641		158,321
Aegerion Pharmaceuticals, Inc.*				1,522		25,478
Affymax, Inc.*				5,965		39,429
Alkermes PLC*		IE		16,158		280,503
Allos Therapeutics, Inc.*				12,904		18,324
Alnylam Pharmaceuticals, Inc.*				6,388		52,062
AMAG Pharmaceuticals, Inc.*				3,623		68,511
Amicus Therapeutics, Inc.*				2,611		8,982

	Country Code**	Shares		Value
Anacor Pharmaceuticals, Inc.*			1,785	$	11,067
Anthera Pharmaceuticals, Inc.*			3,598		22,092
Ardea Biosciences, Inc.*			2,885		48,497
Arena Pharmaceuticals, Inc.*			24,879		46,524
Ariad Pharmaceuticals, Inc.*			22,311		273,310
ArQule, Inc.*			9,250		52,170
Array Biopharma, Inc.*			9,628		20,797
Astex Pharmaceuticals, Inc.*			10,367		19,594
Aveo Pharmaceuticals, Inc.*			5,235		90,042
AVI Biopharma, Inc.*			23,878		17,789
BioCryst Pharmaceuticals, Inc.*			4,755		11,745
BioMimetic Therapeutics, Inc.*			3,227		9,197
BioSante Pharmaceuticals, Inc.*			18,565		9,322
BioSpecifics Technologies Corp.*			800		13,296
BioTime, Inc.*			4,237		24,617
Cell Therapeutics, Inc.*			33,000		38,280
Celldex Therapeutics, Inc.*			7,367		19,154
Cepheid, Inc.*			10,457		359,825
Chelsea Therapeutics International Ltd.*			8,869		45,498
Cleveland Biolabs, Inc.*			4,729		13,525
Clovis Oncology, Inc.*			1,831		25,799
Codexis, Inc.*			4,306		22,822
Cubist Pharmaceuticals, Inc.*			10,151		402,183
Curis, Inc.*			12,909		60,414

See Notes to Financial Statements.

138

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Cytori Therapeutics, Inc.*			8,469	$	18,632
DUSA Pharmaceuticals, Inc.*			4,259		18,654
Dyax Corp.*			16,286		22,149
Dynavax Technologies Corp.*			25,681		85,261
Emergent Biosolutions, Inc.*			4,182		70,425
Enzon Pharmaceuticals, Inc.*			6,339		42,471
Exact Sciences Corp.*			9,439		76,645
Exelixis, Inc.*			21,521		101,902
Genomic Health, Inc.*			2,914		73,986
Geron Corp.*			21,735		32,168
GTx, Inc.*			4,164		13,991
Halozyme Therapeutics, Inc.*			13,839		131,609
Horizon Pharma, Inc.*			766		3,064
Idenix Pharmaceuticals, Inc.*			10,022		74,614
ImmunoGen, Inc.*			12,681		146,846
Immunomedics, Inc.*			11,492		38,268
Incyte Corp.*			14,915		223,874
Infinity Pharmaceuticals, Inc.*			3,219		28,456
Inhibitex, Inc.*			10,676		116,795
Insmed, Inc.*			4,280		13,054
InterMune, Inc.*			9,099		114,647
Ironwood Pharmaceuticals, Inc.*			8,477		101,470
Isis Pharmaceuticals, Inc.*			16,717		120,530
Keryx Biopharmaceuticals, Inc.*			11,729		29,674
Lexicon Genetics, Inc.*			29,660		38,261
Ligand Pharmaceuticals, Inc.*			3,312		39,313
Mannkind Corp.*			12,870		32,175
Maxygen, Inc.*			4,694		26,427
Medivation, Inc.*			5,285		243,691
Metabolix, Inc.*			6,023		27,405

	Country Code**		Shares		Value
Micromet, Inc.*				15,369	$	110,503
Momenta Pharmaceuticals, Inc.*				7,781		135,312
Nabi Biopharmaceuticals*				7,155		13,451
Neurocrine Biosciences, Inc.*				8,514		72,369
NewLink Genetics Corp.*				1,190		8,378
Novavax, Inc.*				17,183		21,651
NPS Pharmaceuticals, Inc.*				14,426		95,067
Nymox Pharmaceutical Corp.*		CA		3,272		26,896
OncoGenex Pharmaceutical, Inc.*				1,684		19,770
Oncothyreon, Inc.*				7,139		54,114
Onyx Pharmaceuticals, Inc.*				10,718		471,056
Opko Health, Inc.*				18,247		89,410
Orexigen Therapeutics, Inc.*				6,093		9,810
Osiris Therapeutics, Inc.*				3,088		16,521
PDL BioPharma, Inc.				23,787		147,479
Peregrine Pharmaceuticals, Inc.*				13,444		13,847
Pharmacyclics, Inc.*				7,726		114,499
PharmAthene, Inc.*				6,236		7,920
Progenics Pharmaceuticals, Inc.*				5,086		43,434
Raptor Pharmaceutical Corp.*				8,052		50,406
Rigel Pharmaceuticals, Inc.*				11,510		90,814
Sangamo BioSciences, Inc.*				8,631		24,512
Savient Pharmaceuticals, Inc.*				11,678		26,042
SciClone Pharmaceuticals, Inc.*				6,016		25,809
Seattle Genetics, Inc.*				16,308		272,588

See Notes to Financial Statements.

139

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Siga Technologies, Inc.*			5,942	$	14,974
Spectrum Pharmaceuticals, Inc.*			9,660		141,326
Sunesis Pharmaceuticals, Inc.*			4,968		5,813
Synta Pharmaceuticals Corp.*			3,935		18,376
Targacept, Inc.*			4,620		25,733
Theravance, Inc.*			11,636		257,156
Trius Therapeutics, Inc.*			1,342		9,595
Vanda Pharmaceuticals, Inc.*			5,037		23,976
Vical, Inc.*			11,923		52,580
Zalicus, Inc.*			13,134		15,892
Ziopharm Oncology, Inc.*			10,057		44,351
Zogenix, Inc.*			4,129		9,249
					7,058,118
BUILDING PRODUCTS – 0.7%
A.O. Smith Corp.			6,452		258,854
Aaon, Inc.			3,240		66,388
Ameresco, Inc., Class A*			3,076		42,203
American Woodmark Corp.			1,630		22,266
Apogee Enterprises, Inc.			4,874		59,755
Builders FirstSource, Inc.*			7,550		15,402
Gibraltar Industries, Inc.*			5,218		72,843
Griffon Corp.			8,217		75,021
Insteel Industries, Inc.			2,985		32,805
NCI Building Systems, Inc.*			3,320		36,089
Quanex Building Products Corp.			6,377		95,783
Simpson Manufacturing Co., Inc.			7,049		237,269
Trex Co., Inc.*			2,680		61,399

	Country Code**	Shares		Value
Universal Forest Products, Inc.			3,276	$	101,130
USG Corp.*			11,989		121,808
					1,299,015
CAPITAL MARKETS – 1.9%
Apollo Investment Corp.			33,046		212,816
Arlington Asset Investment Corp., Class A			1,127		24,039
Artio Global Investors, Inc.			5,524		26,957
BGC Partners, Inc.			12,764		75,818
BlackRock Kelso Capital Corp.			12,262		100,058
Calamos Asset Management, Inc.			3,332		41,683
Capital Southwest Corp.			476		38,818
CIFC Corp.*			2,230		12,042
Cohen & Steers, Inc.			2,996		86,584
Cowen Group, Inc., Class A*			11,677		30,243
Diamond Hill Investment Group			432		31,959
Duff & Phelps Corp., Class A			5,142		74,559
Edelman Financial Group, Inc.			3,483		22,883
Epoch Holding Corp.			2,547		56,620
Evercore Partners, Inc.			3,555		94,634
FBR Capital Markets Corp.*			7,363		15,094
Fidus Investment Corp.			833		10,804
Fifth Street Finance Corp.			12,281		117,529
Financial Engines, Inc.*			6,470		144,475
FXCM, Inc., Class A			3,010		29,348
GAMCO Investors, Inc.			1,158		50,361
GFI Group, Inc.			11,884		48,962
Gladstone Capital Corp.			3,579		27,308
Gladstone Investment Corp.			3,753		27,284

See Notes to Financial Statements.

140

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Gleacher & Co., Inc.*			11,830	$	19,874
Golub Capital BDC, Inc.			1,773		27,482
Harris & Harris Group, Inc.*			5,219		18,058
Hercules Technology Growth Capital, Inc.			7,369		69,563
HFF, Inc., Class A*			5,053		52,198
ICG Group, Inc.*			6,328		48,852
INTL FCStone, Inc.*			2,271		53,528
Investment Technology Group, Inc.*			6,909		74,686
JMP Group, Inc.			2,668		19,076
KBW, Inc.			5,581		84,720
Knight Capital Group, Inc.*			17,012		201,082
Kohlberg Capital Corp.			3,198		20,179
Ladenburg Thalmann Financial Services, Inc.*			18,402		45,637
Main Street Capital Corp.			3,844		81,647
Manning & Napier, Inc.*			2,138		26,704
MCG Capital Corp.			13,345		53,247
Medallion Financial Corp.			2,612		29,725
Medley Capital Corp.			1,827		19,001
MVC Capital, Inc.			4,089		47,392
New Mountain Finance Corp.			1,303		17,473
NGP Capital Resources Co.			3,660		26,315
Oppenheimer Holdings, Inc., Class A			1,693		27,257
PennantPark Investment Corp.			7,659		77,279
Piper Jaffray Cos., Inc.*			2,718		54,904
Prospect Capital Corp.			18,556		172,385
Pzena Investment Management, Inc., Class A			1,359		5,884
Safeguard Scientifics, Inc.*			3,558		56,181

	Country Code**	Shares		Value
Solar Capital Ltd.			6,214	$	137,267
Solar Senior Capital Ltd.			1,293		20,365
Stifel Financial Corp.*			9,101		291,687
SWS Group, Inc.			5,034		34,584
ThL Credit, Inc.			1,588		19,390
TICC Capital Corp.			5,392		46,641
Triangle Capital Corp.			3,686		70,476
Virtus Investment Partners, Inc.*			941		71,525
Walter Investment Management Corp.			4,404		90,326
Westwood Holdings Group, Inc.			1,025		37,464
					3,650,932
CHEMICALS – 2.0%
American Vanguard Corp.			3,734		49,812
Balchem Corp.			4,872		197,511
Calgon Carbon Corp.*			9,550		150,031
Chase Corp.			1,059		14,720
Chemtura Corp.*			16,233		184,082
Ferro Corp.*			14,940		73,057
Flotek Industries, Inc.*			8,558		85,238
FutureFuel Corp.			3,133		38,912
Georgia Gulf Corp.*			5,717		111,424
H.B. Fuller Co.			8,375		193,546
Hawkins, Inc.			1,453		53,558
Innophos Holdings, Inc.			3,677		178,555
Innospec, Inc.*			4,004		112,392
KMG Chemicals, Inc.			1,194		20,620
Koppers Holdings, Inc.			3,481		119,607
Kraton Performance Polymers, Inc.*			5,388		109,376
Landec Corp.*			4,379		24,172
LSB Industries, Inc.*			3,078		86,276
Minerals Technologies, Inc.			3,077		173,943
NewMarket Corp.			1,534		303,901
Olin Corp.			13,435		263,998
OM Group, Inc.*			5,236		117,234

See Notes to Financial Statements.

141

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Omnova Solutions, Inc.*				7,853	$	36,202
PolyOne Corp.				15,818		182,698
Quaker Chemical Corp.				2,158		83,925
Schulman A, Inc.				5,193		109,988
Senomyx, Inc.*				6,631		23,076
Sensient Technologies Corp.				8,448		320,179
Spartech Corp.*				5,114		24,189
Stepan Co.				1,364		109,338
TPC Group, Inc.*				2,255		52,609
Tredegar Corp.				4,027		89,480
Zep, Inc.				3,766		52,649
Zoltek Cos., Inc.*				4,691		35,745
						3,782,043
COMMERCIAL BANKS – 6.2%
1st Source Corp.				2,610		66,111
1st United Bancorp, Inc.*				4,661		25,869
Alliance Financial Corp.				850		26,248
Ameris Bancorp*				4,113		42,282
Ames National Corp.				1,489		29,035
Arrow Financial Corp.				1,716		40,223
Bancfirst Corp.				1,127		42,308
Banco Latinoamericano de Comercio Exterior SA, Class E		PA		4,763		76,446
Bancorp Rhode Island, Inc.				647		25,686
BancorpSouth, Inc.				14,126		155,669
Bank of Kentucky Financial Corp.				1,030		20,651
Bank of Marin Bancorp				915		34,395
Bank of The Ozarks, Inc.				4,799		142,194
Banner Corp.				2,722		46,682
BBCN Bancorp, Inc.*				12,616		119,221
Boston Private Financial Holdings, Inc.				13,095		103,974
Bridge Bancorp, Inc.				1,053		20,955
Bridge Capital Holdings*				1,593		16,567

	Country Code**	Shares		Value
Bryn Mawr Bank Corp.			1,887	$	36,778
Camden National Corp.			1,250		40,750
Capital Bank Corp.*			2,292		4,607
Capital City Bank Group, Inc.			2,070		19,768
Cardinal Financial Corp.			5,062		54,366
Cascade Bancorp*			1,260		5,519
Cathay General Bancorp			13,271		198,136
Center Bancorp, Inc.			2,125		20,761
Centerstate Banks, Inc.			5,224		34,583
Central Pacific Financial Corp.*			2,582		33,359
Century Bancorp, Inc., Class A			642		18,130
Chemical Financial Corp.			4,627		98,648
Citizens & Northern Corp.			2,137		39,470
City Holding Co.			2,567		86,996
CNB Financial Corp.			2,189		34,542
Cobiz Financial, Inc.			5,762		33,247
Columbia Banking System, Inc.			6,735		129,783
Community Banking Systems, Inc.			6,238		173,416
Community Trust Bancorp, Inc.			2,317		68,166
CVB Financial Corp.			15,274		153,198
Eagle Bancorp, Inc.*			2,763		40,174
Encore Bancshares, Inc.*			1,501		20,294
Enterprise Bancorp, Inc.			1,044		14,929
Enterprise Financial Services Corp.			2,726		40,345
F.N.B. Corp.			21,552		243,753
Financial Institutions, Inc.			2,378		38,381
First Bancorp			2,673		29,804
First Bancorp, Inc.			1,561		23,993
First Busey Corp.			13,276		66,380
First Commonwealth Financial Corp.			17,983		94,591

See Notes to Financial Statements.

142

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
First Community Bancshares, Inc.			2,778	$	34,669
First Connecticut Bancorp, Inc.			3,068		39,915
First Financial Bancorp			9,860		164,070
First Financial Bankshares, Inc.			5,327		178,082
First Financial Corp.			1,928		64,164
First Interstate BancSystem, Inc.			2,709		35,298
First Merchants Corp.			4,393		37,209
First Midwest Bancorp, Inc.			12,728		128,935
FirstMerit Corp.			18,540		280,510
German American Bancorp, Inc.			2,153		39,163
Glacier Bancorp, Inc.			12,157		146,249
Great Southern Bancorp, Inc.			1,725		40,693
Hampton Roads Bankshares, Inc.*			1,759		4,820
Hancock Holding Co.			12,961		414,363
Hanmi Financial Corp.*			5,282		39,087
Heartland Financial USA, Inc.			2,272		34,852
Heritage Commerce Corp.*			3,565		16,898
Heritage Financial Corp.			2,661		33,422
Home Bancshares, Inc.			3,841		99,520
Hudson Valley Holding Corp.			2,623		55,660
IBERIABANK Corp.			4,998		246,401
Independent Bank Corp. Massachusetts			3,608		98,462
International Bancshares Corp.			8,961		164,300
Investors Bancorp, Inc.*			7,837		105,643
Lakeland Bancorp, Inc.			3,837		33,075
Lakeland Financial Corp.			2,766		71,556

	Country Code**		Shares		Value
MainSource Financial Group, Inc.				3,438	$	30,358
MB Financial, Inc.				9,283		158,739
Merchants Bancshares, Inc.				808		23,594
Metro Bancorp, Inc.*				2,309		19,349
MidSouth Bancorp, Inc.				1,373		17,863
National Bankshares, Inc.				1,195		33,364
National Penn Bancshares, Inc.				20,875		176,185
NBT Bancorp, Inc.				5,829		128,996
Old National Bancorp				16,024		186,680
OmniAmerican Bancorp, Inc.*				1,987		31,196
Oriental Financial Group		PR		7,699		93,235
Orrstown Financial Services, Inc.				1,291		10,651
Pacific Capital Bancorp*				643		18,158
Pacific Continental Corp.				3,275		28,984
PacWest Bancorp				5,144		97,479
Park National Corp.				2,180		141,831
Park Sterling Corp.*				5,420		22,114
Penns Woods Bancorp, Inc.				643		24,936
Peoples Bancorp, Inc.				1,854		27,458
Pinnacle Financial Partners, Inc.*				5,793		93,557
PrivateBancorp, Inc.				10,132		111,249
Prosperity Bancshares, Inc.				7,959		321,146
Renasant Corp.				4,321		64,815
Republic Bancorp, Inc.				1,736		39,754
S&T Bancorp, Inc.				4,728		92,432
S.Y. Bancorp, Inc.				2,093		42,969
Sandy Spring Bancorp, Inc.				4,104		72,025
SCBT Financial Corp.				2,414		70,030
Seacoast Banking Corp. of Florida*				12,514		19,021
Sierra Bancorp				2,135		18,788
Signature Bank*				7,813		468,702

See Notes to Financial Statements.

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	Country Code**	Shares		Value
Simmons First National Corp., Class A			2,903	$	78,933
Southside Bancshares, Inc.			2,841		61,536
Southwest Bancorp, Inc.*			3,368		20,073
State Bancorp, Inc.			2,611		31,854
State Bank Financial Corp.*			5,399		81,579
Stellarone Corp.			3,979		45,281
Sterling Bancorp			5,143		44,436
Sterling Financial Corp.*			4,543		75,868
Suffolk Bancorp*			1,766		19,055
Sun Bancorp, Inc.*			7,214		17,458
Susquehanna Bancshares, Inc.			26,457		221,710
SVB Financial Group*			7,269		346,659
Taylor Capital Group, Inc.*			2,014		19,576
Texas Capital Bancshares, Inc*			6,324		193,578
The Bancorp, Inc.*			4,995		36,114
The First of Long Island Corp.			1,321		34,769
Tompkins Financial Corp.			1,343		51,719
Tower Bancorp, Inc.			1,785		50,944
TowneBank			4,241		51,910
Trico Bancshares			2,404		34,185
Trustmark Corp.			10,863		263,862
UMB Financial Corp.			5,424		202,044
Umpqua Holdings Corp.			19,383		240,155
Union First Market Bankshares Corp.			3,536		46,993
United Bankshares, Inc.			5,778		163,344
United Community Banks, Inc.*			7,160		50,048
Univest Corp. of Pennsylvania			2,768		40,524
Virginia Commerce Bancorp, Inc.*			4,131		31,933
Washington Banking Co.			2,748		32,729
Washington Trust Bancorp, Inc.			2,433		58,051

	Country Code**	Shares		Value
Webster Financial Corp.			12,178	$	248,309
WesBanco, Inc.			3,983		77,549
West Bancorporation			2,725		26,105
West Coast Bancorp*			3,057		47,689
Westamerica Bancorporation			4,904		215,286
Western Alliance Bancorp*			11,775		73,358
Wilshire Bancorp, Inc.*			10,133		36,783
Wintrust Financial Corp.			5,903		165,579
					11,761,635
COMMERCIAL SERVICES & SUPPLIES – 2.6%
ABM Industries, Inc.			8,950		184,549
Acco Brands Corp.*			9,285		89,600
American Reprographics Co.*			6,484		29,762
AT Cross Co., Class A*			1,538		17,349
Casella Waste Systems, Inc., Class A*			4,310		27,584
Cenveo, Inc.*			9,378		31,885
Clean Harbors, Inc.*			7,947		506,462
CompX International, Inc.			143		2,106
Consolidated Graphics, Inc.*			1,413		68,220
Courier Corp.			1,737		20,375
Deluxe Corp.			8,736		198,831
Encore Capital Group, Inc.*			2,796		59,443
EnergySolutions, Inc.*			13,761		42,521
Enernoc, Inc.*			3,993		43,404
Ennis, Inc.			4,472		59,612
Fuel Tech, Inc.*			3,120		20,530
G&K Services, Inc.			3,205		93,298
Geo Group, Inc.*			10,946		183,346
Healthcare Services Group, Inc.			11,221		198,499
Heritage-Crystal Clean, Inc.*			778		12,884
Herman Miller, Inc.			9,692		178,817
HNI Corp.			7,572		197,629

See Notes to Financial Statements.

144

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Innerworkings, Inc.*			4,355	$	40,545
Interface, Inc.			8,875		102,418
Intersections, Inc.			1,565		17,356
Kimball International, Inc.			5,256		26,648
Knoll, Inc.			8,083		120,033
McGrath Rentcorp.			4,102		118,917
Metalico, Inc.*			6,555		21,566
Mine Safety Appliances Co.			4,607		152,584
Mobile Mini, Inc.*			6,187		107,963
Multi-Color Corp.			1,921		49,427
NL Industries, Inc.			1,107		14,358
Portfolio Recovery Associates, Inc.*			2,916		196,888
Quad Graphics, Inc.			4,345		62,307
Rollins, Inc.			10,802		240,020
Schawk, Inc.			1,994		22,353
Standard Parking Corp.*			2,634		47,070
Steelcase, Inc., Class A			13,382		99,830
Swisher Hygiene, Inc.*			14,505		54,249
SYKES Enterprises, Inc.*			6,685		104,687
Team, Inc.*			3,268		97,223
Tetra Tech, Inc.*			10,560		227,990
The Brink’s Co.			7,908		212,567
TMS International Corp., Class A*			2,201		21,746
TRC Companies, Inc.*			3,039		18,264
UniFirst Corp.			2,387		135,438
United Stationers, Inc.			7,210		234,758
US Ecology, Inc.			3,116		58,518
Viad Corp.			3,497		61,128
WCA Waste Corp.*			3,034		19,751
					4,953,308
COMMUNICATIONS EQUIPMENT – 2.1%
ADTRAN, Inc.			10,969		330,825
Anaren, Inc.*			2,587		42,996
Arris Group, Inc.*			20,952		226,701
Aruba Networks, Inc.*			14,436		267,355
Aviat Networks, Inc.*			10,585		19,370

	Country Code**	Shares		Value
Bel Fuse, Inc., Class B			1,768	$	33,150
Black Box Corp.			3,007		84,316
Blue Coat Systems, Inc.*			7,342		186,854
Calix, Inc.*			6,387		41,324
Communications Systems, Inc.			1,163		16,352
Comtech Telecommunications Corp.			3,374		96,564
Dialogic, Inc.*			2,474		2,969
Digi International, Inc.*			4,349		48,535
Emcore Corp.*			15,315		13,206
Emulex Corp.*			14,793		101,480
Extreme Networks, Inc.*			16,037		46,828
Finisar Corp.*			15,174		254,089
Globecomm Systems, Inc.*			3,838		52,504
Harmonic, Inc.*			19,369		97,620
Infinera Corp.*			17,614		110,616
Interdigital, Inc.			7,684		334,792
Ixia*			6,473		68,031
KVH Industries, Inc.*			2,472		19,232
Loral Space & Communications, Inc.*			1,840		119,379
Meru Networks, Inc.*			1,862		7,690
NETGEAR, Inc.*			6,192		207,865
NumereX Corp.*			1,785		14,690
Oclaro, Inc.*			8,491		23,945
Oplink Communications, Inc.*			3,362		55,372
Opnext, Inc.*			7,628		6,162
Orbcomm, Inc.*			5,631		16,837
Plantronics, Inc.			7,317		260,778
Powerwave Technologies, Inc.*			5,639		11,729
Procera Networks, Inc.*			2,458		38,296
Shoretel, Inc.*			8,013		51,123
Sonus Networks, Inc.*			35,418		85,003

See Notes to Financial Statements.

145

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Sycamore Networks, Inc.*				3,316	$	59,356
Symmetricom, Inc.*				7,271		39,191
Tekelec, Inc.*				10,415		113,836
Ubiquiti Networks, Inc.*				1,359		24,774
Viasat, Inc.*				6,136		282,992
Westell Technologies, Inc., Class A*				9,128		20,264
						3,934,991
COMPUTERS & PERIPHERALS – 0.6%
3d Systems Corp.*				7,062		101,693
Avid Technology, Inc.*				5,046		43,042
Cray, Inc.*				6,083		39,357
Dot Hill Systems Corp.*				9,598		12,765
Eletronics for Imaging, Inc.*				7,831		111,592
Imation Corp.*				5,188		29,727
Immersion Corp.*				5,061		26,216
Intermec, Inc.*				9,964		68,353
Intevac, Inc.*				3,831		28,349
Novatel Wireless, Inc.*				5,229		16,367
OCZ Technology Group, Inc.*				8,832		58,380
Quantum Corp.*				38,007		91,217
Rimage Corp.				1,658		18,652
Silicon Graphics International Corp.*				5,328		61,059
STEC, Inc.*				6,123		52,597
Stratasys, Inc.*				3,567		108,472
Super Micro Computer, Inc.*				4,621		72,457
Synaptics, Inc.*				5,438		163,956
Xyratex Ltd.		BM		4,884		65,055
						1,169,306
CONSTRUCTION & ENGINEERING – 0.8%
Aegion Corp.*				6,663		102,210
Argan, Inc.				1,330		20,229
Comfort Systems USA, Inc.				6,561		70,334
Dycom Industries, Inc.*				5,947		124,411
EMCOR Group, Inc.				11,318		303,436
Furmanite Corp.*				6,244		39,400

	Country Code**	Shares		Value
Granite Construction, Inc.			6,526	$	154,797
Great Lakes Dredge & Dock Co.			10,194		56,679
Layne Christensen Co.*			3,284		79,473
Mastec, Inc.*			9,592		166,613
Michael Baker Corp.*			1,385		27,160
Myr Group, Inc.*			3,435		65,746
Northwest Pipe Co.*			1,619		37,010
Orion Marine Group, Inc.*			4,514		30,018
Pike Electric Corp.*			2,676		19,240
Primoris Services Corp.			4,593		68,574
Sterling Construction Co., Inc.*			2,737		29,477
Tutor Perini Corp.*			5,377		66,352
UniTek Global Services, Inc.*			1,703		7,715
					1,468,874
CONSTRUCTION MATERIALS – 0.2%
Eagle Materials, Inc.			7,534		193,323
Headwaters, Inc.*			10,452		23,203
Texas Industries, Inc.			3,832		117,949
United States Lime & Minerals, Inc.*			426		25,607
					360,082
CONSUMER FINANCE – 0.7%
Advance America Cash Advance Centers, Inc.			9,387		84,014
Cash America International, Inc.			5,015		233,849
Credit Acceptance Corp.*			1,144		94,128
DFC Global Corp.*			7,384		133,355
EZCORP, Inc., Class A*			7,995		210,828
First Cash Financial Services, Inc.*			5,337		187,275
Imperial Holdings, Inc.*			3,095		5,819
Nelnet, Inc., Class A			4,419		108,133
Netspend Holdings, Inc.*			4,578		37,128

See Notes to Financial Statements.

146

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Nicholas Financial, Inc.		CA		1,804	$	23,127
The First Marblehead Corp.*				9,399		10,997
World Acceptance Corp.*				2,565		188,528
						1,317,181
CONTAINERS & PACKAGING – 0.2%
AEP Industries, Inc.*				659		18,551
Boise, Inc.				15,574		110,887
Graphic Packaging Holding Co.*				27,025		115,127
Myers Industries, Inc.				4,957		61,169
						305,734
DISTRIBUTORS – 0.2%
Core-Mark Holding Co., Inc.				1,943		76,943
Pool Corp.				8,150		245,315
VOXX International Corp.*				3,114		26,313
Weyco Group, Inc.				1,204		29,558
						378,129
DIVERSIFIED CONSUMER SERVICES – 1.2%
American Public Education, Inc.*				3,001		129,883
Archipelago Learning, Inc.*				2,179		21,071
Ascent Capital Group, Inc., Class A*				2,411		122,286
Bridgepoint Education, Inc.*				3,070		70,610
Cambium Learning Group, Inc.*				2,737		8,266
Capella Education Co.*				2,432		87,674
Coinstar, Inc.*				5,306		242,166
Corinthian Colleges, Inc.*				13,499		29,293
Grand Canyon Education, Inc.*				4,924		78,587
Hillenbrand, Inc.				10,647		237,641
K12, Inc.*				4,350		78,039
Lincoln Educational Services Corp.				3,859		30,486
Mac-Gray Corp.				2,079		28,670

	Country Code**		Shares		Value
Matthews International Corp.				4,998	$	157,087
National American University Holdings, Inc.				1,554		11,779
Regis Corp.				9,748		161,329
School Specialty, Inc.*				2,792		6,980
Sotheby’s				11,459		326,925
Steiner Leisure Ltd.*		BS		2,535		115,064
Stewart Enterprises, Inc., Class A				13,587		78,261
Strayer Education, Inc.				2,070		201,183
Universal Technical Institute, Inc.*				3,687		47,120
						2,270,400
DIVERSIFIED FINANCIAL SERVICES – 0.3%
California First National Bancorp				397		6,383
Compass Diversified Holding				6,818		84,475
Gain Capital Holdings, Inc.				1,314		8,804
Marketaxess Holdings, Inc.				4,858		146,274
Marlin Business Services Corp.				1,534		19,482
Newstar Financial, Inc.*				4,681		47,606
PHH Corp.*				9,514		101,800
Pico Holdings, Inc.*				3,824		78,698
						493,522
DIVERSIFIED TELECOMMUNICATION SERVICES – 0.7%
8x8, Inc.*				10,657		33,783
AboveNet, Inc.*				3,928		255,359
Alaska Communications Systems, Inc.				7,677		23,108
Atlantic Tele-network, Inc.				1,570		61,308
Boingo Wireless, Inc.*				981		8,437
Cbeyond, Inc.*				4,784		38,320
Cincinnati Bell, Inc.*				33,599		101,805
Cogent Communications Group, Inc.*				7,756		130,999

See Notes to Financial Statements.

147

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Consolidated Communications Holdings, Inc.			4,368	$	83,210
FairPoint Communications, Inc.*			3,900		16,887
General Communication, Inc., Class A*			7,132		69,822
Globalstar, Inc.*			17,284		9,333
HickoryTech Corp.			2,361		26,160
IDT Corp., Class B			2,329		21,846
inContact, Inc.*			5,248		23,249
Iridium Communications, Inc.*			7,499		57,817
Lumos Networks Corp.			2,556		39,209
Neutral Tandem, Inc.*			5,408		57,812
Premiere Global Services, Inc.*			8,994		76,179
SureWest Communications			2,366		28,463
Towerstream Corp.*			7,631		16,025
Vonage Holdings Corp.*			23,811		58,337
					1,237,468
ELECTRIC UTILITIES – 1.6%
ALLETE, Inc.			5,400		226,692
Central Vermont Public Service Corp.			2,273		79,782
Cleco Corp.			10,382		395,554
El Paso Electric Co.			7,128		246,914
IDACORP, Inc.			8,415		356,880
MGE Energy, Inc.			3,911		182,918
Otter Tail Corp.			6,048		133,177
PNM Resources, Inc.			13,474		245,631
Portland General Electric Co.			12,796		323,611
The Empire District Electric Co.			7,046		148,600
UIL Holdings Corp.			8,564		302,909
Unisource Energy Corp.			6,213		229,384
Unitil Corp.			1,822		51,708
					2,923,760

	Country Code**	Shares		Value
ELECTRICAL EQUIPMENT – 1.1%
A123 Systems, Inc.*			14,414	$	23,206
Active Power, Inc.*			13,697		9,040
Acuity Brands, Inc.			7,334		388,702
American Superconductor Corp.*			7,541		27,826
AZZ, Inc.			2,103		95,560
Belden, Inc.			8,012		266,639
Brady Corp., Class A			7,974		251,739
Broadwind Energy, Inc.*			23,142		15,737
Capstone Turbine Corp.*			42,218		48,973
Coleman Cable, Inc.*			1,408		12,250
Encore Wire Corp.			3,176		82,258
EnerSys*			8,070		209,578
Franklin Electric Co., Inc.			3,929		171,147
FuelCell Energy, Inc.*			19,681		17,162
Generac Holdings, Inc.*			4,188		117,390
Global Power Equipment Group, Inc.*			2,681		63,674
II-VI, Inc.*			8,758		160,797
LSI Industries, Inc.			3,267		19,602
Powell Industries, Inc.*			1,504		47,045
Powersecure International, Inc.*			3,149		15,588
Preformed Line Products Co.			411		24,520
Satcon Technology Corp.*			15,129		9,079
Thermon Group Holdings, Inc.*			1,672		29,461
Valence Technology, Inc.*			13,432		13,163
Vicor Corp.			3,427		27,279
					2,147,415
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 2.5%
Aeroflex Holding Corp.*			3,435		35,174
Agilysys, Inc.*			3,093		24,589

See Notes to Financial Statements.

148

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Anixter International, Inc.*				4,915	$	293,131
Badger Meter, Inc.				2,526		74,340
Benchmark Electronics, Inc.*				10,229		137,785
Brightpoint, Inc.*				11,493		123,665
Checkpoint Systems, Inc.*				6,731		73,637
Cognex Corp.				7,024		251,389
Coherent, Inc.*				3,955		206,728
CTS Corp.				5,829		53,627
Daktronics, Inc.				6,011		57,525
DDI Corp.				2,550		23,791
DTS, Inc.*				2,923		79,623
Echelon Corp.*				5,923		28,845
Electro Rent Corp.				3,196		54,811
Electro Scientific Industries, Inc.*				3,847		55,705
eMagin Corp.*				2,987		11,052
Fabrinet*		KY		3,477		47,565
FARO Technologies, Inc.*				2,756		126,776
FEI Co.*				6,556		267,354
Gerber Scientific, Inc.				4,364		44
GSI Group, Inc.*		CA		4,465		45,677
Identive Group, Inc.*				6,740		15,030
Insight Enterprises, Inc.*				7,415		113,375
InvenSense, Inc.*				1,711		17,042
KEMET Corp.*				7,586		53,481
LeCroy Corp.*				2,834		23,834
Littelfuse, Inc.				3,845		165,258
Maxwell Technologies, Inc.*				4,792		77,822
Measurement Specialties, Inc.*				2,567		71,773
Mercury Computer Systems, Inc.*				5,203		69,148
Methode Electronics, Inc.				6,389		52,965
Microvision, Inc.*				23,294		8,388
MTS Systems Corp.				2,629		107,132
Multi Fineline Electronix, Inc.*				1,507		30,969
NeoPhotonics Corp.*				1,460		6,687
Newport Corp.*				6,297		85,702
OSI Systems, Inc.*				3,221		157,120
Park Electrochemical Corp.				3,496		89,568

	Country Code**	Shares		Value
PC Connection, Inc.			1,601	$	17,755
Plexus Corp.*			6,005		164,417
Power-One, Inc.*			11,590		45,317
Pulse Electronics Corp.			6,943		19,440
RadiSys Corp.*			3,058		15,473
Reald, Inc.*			7,075		56,175
Richardson Electronics Ltd.			2,436		29,938
Rofin-Sinar Technologies, Inc.*			4,803		109,749
Rogers Corp.*			2,690		99,153
Sanmina-SCI Corp.*			13,558		126,225
ScanSource, Inc.*			4,551		163,836
SYNNEX Corp.*			4,223		128,633
TTM Technologies, Inc.*			8,752		95,922
Universal Display Corp.*			6,508		238,779
Viasystems Group, Inc.*			458		7,749
Vishay Precision Group, Inc.*			2,111		33,734
X-Rite, Inc.*			4,431		20,560
Zygo Corp.*			2,715		47,920
					4,638,902
ENERGY EQUIPMENT & SERVICES – 2.1%
Basic Energy Services, Inc.*			4,135		81,459
Bristow Group, Inc.			6,138		290,880
C&J Energy Services, Inc.*			2,068		43,283
Cal Dive International, Inc.*			16,372		36,837
Complete Production Services, Inc.*			13,367		448,597
Dawson Geophysical Co.*			1,306		51,626
Dril-Quip, Inc.*			5,817		382,875
Exterran Holdings, Inc.*			10,623		96,669
Geokinetics, Inc.*			1,786		3,840
Global Geophysical Services, Inc.*			3,129		21,027
Gulf Island Fabrication, Inc.			2,465		72,003
Gulfmark Offshore, Inc., Class A*			4,001		168,082

See Notes to Financial Statements.

149

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Helix Energy Solutions Group, Inc.*				17,933	$	283,341
Hercules Offshore, Inc.*				19,735		87,623
Hornbeck Offshore Services, Inc.*				5,130		159,133
Ion Geophysical Corp.*				22,234		136,294
Key Energy Services, Inc.*				21,129		326,866
Lufkin Industries, Inc.				5,155		346,983
Matrix Service Co.*				4,540		42,858
Mitcham Industries, Inc.*				2,011		43,920
Natural Gas Services Group, Inc.*				2,063		29,831
Newpark Resources*				15,274		145,103
OYO Geospace Corp.*				747		57,766
Parker Drilling Co.*				19,691		141,184
Phi, Inc.*				2,193		54,496
Pioneer Drilling Co.*				10,360		100,285
RigNet, Inc.*				964		16,137
Tesco Corp.*		CA		5,191		65,614
TETRA Technologies, Inc.*				12,958		121,028
Union Drilling, Inc.*				2,598		16,212
Vantage Drilling Co.*		KY		29,988		34,786
Willbros Group, Inc.*				6,493		23,829
						3,930,467
FOOD & STAPLES RETAILING – 1.2%
Arden Group, Inc., Class A				206		18,542
Casey’s General Stores, Inc.				6,419		330,643
Chefs’ Warehouse Holdings, LLC*				1,725		30,808
Ingles Markets, Inc.				2,208		33,252
Nash Finch Co.				2,064		60,434
PriceSmart, Inc.				3,013		209,675
Rite Aid Corp.*				99,233		125,034
Ruddick Corp.				8,298		353,827
Spartan Stores, Inc.				3,881		71,798
Susser Holdings Corp.*				1,558		35,242
The Andersons, Inc.				3,130		136,656

	Country Code**		Shares		Value
The Fresh Market, Inc.*				4,777	$	190,602
The Pantry, Inc.*				3,930		47,042
United Natural Foods, Inc.*				8,169		326,842
Village Super Market, Inc.				1,036		29,474
Weis Markets, Inc.				1,850		73,889
Winn-Dixie Stores, Inc.*				9,536		89,448
						2,163,208
FOOD PRODUCTS – 1.4%
Alico, Inc.				606		11,738
B&G Foods, Inc.				8,098		194,919
Cal-Maine Foods, Inc.				2,377		86,927
Calavo Growers, Inc.				2,025		52,002
Chiquita Brands International, Inc.*				7,794		65,002
Darling International, Inc.*				19,817		263,368
Diamond Foods, Inc.				3,692		119,141
Dole Food Co., Inc.*				6,122		52,955
Farmer Brothers Co.				1,238		9,458
Fresh Del Monte Produce, Inc.		KY		6,160		154,062
Griffin Land & Nurseries, Inc.				414		10,955
Hain Celestial Group, Inc.*				6,055		221,976
Imperial Sugar Co.				2,291		8,179
J & J Snack Foods Corp.				2,411		128,458
Lancaster Colony Corp.				3,182		220,640
Lifeway Foods, Inc.*				802		7,731
Limoneira Co.				1,322		22,355
Omega Protein Corp.*				3,423		24,406
Pilgrim’s Pride Corp.*				8,514		49,041
Sanderson Farms, Inc.				3,734		187,185
Seneca Foods Corp.*				1,554		40,124
Smart Balance, Inc.*				10,092		54,093
Snyders-Lance, Inc.				7,980		179,550

See Notes to Financial Statements.

150

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Tootsie Roll Industries, Inc.			4,034	$	95,485
TreeHouse Foods, Inc.*			6,009		392,868
					2,652,618
GAS UTILITIES – 1.2%
Chesapeake Utilities Corp.			1,603		69,490
New Jersey Resources Corp.			7,015		345,138
Northwest Natural Gas Co.			4,493		215,349
Piedmont Natural Gas Co.			12,121		411,872
South Jersey Industries, Inc.			5,112		290,413
Southwest Gas Corp.			7,779		330,530
The Laclede Group, Inc.			3,795		153,584
WGL Holdings, Inc.			8,648		382,414
					2,198,790
HEALTH CARE EQUIPMENT & SUPPLIES – 3.0%
Abaxis, Inc.*			3,797		105,063
ABIOMED, Inc.*			5,334		98,519
Accuray, Inc.*			11,678		49,398
Align Technology, Inc.*			10,392		246,550
Alphatec Holdings, Inc.*			9,306		16,006
Analogic Corp.			2,114		121,175
Angiodynamics, Inc.*			4,287		63,491
Antares Pharma, Inc.*			15,074		33,163
Arthrocare Corp.*			4,608		145,981
AtriCure, Inc.*			2,389		26,518
Atrion Corp.			267		64,141
Bacterin International Holdings, Inc.*			4,415		12,627
BioLase Technology, Inc.*			5,142		13,215
Cantel Medical Corp.			2,265		63,261
Cardiovascular Systems, Inc.*			2,480		24,428
Cerus Corp.*			8,163		22,856
Conceptus, Inc.*			5,216		65,930

	Country Code**		Shares		Value
Conmed Corp.*				4,771	$	122,472
Cryolife, Inc.*				4,621		22,181
Cyberonics, Inc.*				4,779		160,097
Cynosure, Inc., Class A*				1,571		18,475
Delcath Systems, Inc.*				8,580		26,169
Dexcom, Inc.*				11,276		104,980
Dynavox, Inc., Class A*				1,495		5,442
Endologix, Inc.*				8,213		94,285
Exactech, Inc.*				1,457		23,997
Greatbatch, Inc.*				4,000		88,400
Haemonetics Corp.*				4,353		266,491
Hansen Medical, Inc.*				8,088		20,867
Heartware International, Inc.*				2,012		138,828
ICU Medical, Inc.*				2,038		91,710
Insulet Corp.*				7,726		145,481
Integra Lifesciences Holdings Corp.*				3,302		101,801
Invacare Corp.				4,924		75,288
Iris International, Inc.*				3,021		28,246
Kensey Nash Corp.*				1,422		27,288
Mako Surgical Corp.*				5,389		135,857
Masimo Corp.*				8,881		165,942
Medical Action Industries, Inc.*				2,689		14,063
Meridian Bioscience, Inc.				6,927		130,505
Merit Medical Systems, Inc.*				7,059		94,449
Natus Med, Inc.*				4,938		46,565
Neogen Corp.*				3,914		119,925
Neoprobe Corp.*				16,007		41,938
NuVasive, Inc.*				7,149		90,006
Nxstage Medical, Inc.*				7,531		133,901
OraSure Technologies, Inc.*				8,024		73,099
Orthofix International NV*		AN		3,030		106,747
Palomar Medical Technologies, Inc.*				3,170		29,481
Quidel Corp.*				4,888		73,955

See Notes to Financial Statements.

151

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Rockwell Medical Technologies, Inc.*				2,623	$	22,217
RTI Biologics, Inc.*				9,435		41,891
Solta Medical, Inc.*				10,342		32,474
Sonosite, Inc.*				2,351		126,625
Spectranetics Corp.*				5,635		40,685
Staar Surgical Co.*				6,112		64,115
Stereotaxis, Inc.*				7,572		6,236
STERIS Corp.				10,057		299,900
Surmodics, Inc.*				2,602		38,145
Symmetry Medical, Inc.*				6,164		49,250
Synergetics USA, Inc.*				3,723		27,476
Synovis Life Technologies, Inc.*				1,923		53,517
Tornier NV*		NL		1,830		32,940
Unilife Corp.*				10,586		33,028
Uroplasty, Inc.*				3,560		15,130
Vascular Solutions, Inc.*				2,822		31,409
Volcano Corp.*				8,800		209,352
West Pharmaceutical Services, Inc.				5,678		215,480
Wright Medical Group, Inc.*				6,560		108,240
Young Innovations, Inc.				957		28,356
Zeltiq Aesthetics, Inc.*				1,126		12,791
Zoll Medical Corp.*				3,706		234,145
						5,714,655
HEALTH CARE PROVIDERS & SERVICES – 3.0%
Accretive Health, Inc.*				6,761		155,368
Air Methods Corp.*				1,914		161,637
Alliance Healthcare Services, Inc.*				3,866		4,871
Almost Family, Inc.*				1,446		23,975
Amedisys, Inc.*				5,040		54,986
American Dental Partners, Inc.*				2,631		49,542
AMN Healthcare Services, Inc.*				6,858		30,381
AmSurg Corp.*				5,273		137,309

	Country Code**	Shares		Value
Assisted Living Concepts, Inc., Class A			3,311	$	49,301
Bio-Reference Labs, Inc.*			4,198		68,301
Bioscrip, Inc.*			6,728		36,735
Capital Senior Living Corp.*			4,641		36,850
CardioNet, Inc.*			4,021		9,530
Centene Corp.*			8,475		335,525
Chemed Corp.			3,361		172,117
Chindex International, Inc.*			1,854		15,796
Corvel Corp.*			1,102		56,984
Cross Country Healthcare, Inc.*			4,693		26,046
Emeritus Corp.*			5,117		89,599
ExamWorks Group, Inc.*			4,553		43,162
Five Star Quality Care, Inc.*			7,507		22,521
Gentiva Health Services, Inc.*			5,189		35,026
Hanger Orthopedic Group, Inc.*			5,631		105,243
HEALTHSOUTH Corp.*			16,127		284,964
Healthspring, Inc.*			11,481		626,174
Healthways, Inc.*			5,736		39,349
HMS Holdings Corp.*			14,348		458,849
IPC The Hospitalist Co.*			2,749		125,684
Kindred Healthcare, Inc.*			8,749		102,976
Landauer, Inc.			1,575		81,113
LHC Group, Inc.*			2,676		34,333
Magellan Health Services, Inc.*			4,801		237,505
MedQuist Holdings, Inc.*			5,654		54,391
Metropolitan Health Networks, Inc.*			7,291		54,464
Molina Healthcare, Inc.*			4,722		105,442
MWI Veterinary Supply, Inc.*			2,117		140,654
National Healthcare Corp.			1,714		71,817

See Notes to Financial Statements.

152

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
National Research Corp.				328	$	12,730
Owens & Minor, Inc.				10,801		300,160
Pharmerica Corp.*				5,021		76,219
Providence Service Corp.*				2,200		30,272
PSS World Medical, Inc.*				9,386		227,047
RadNet, Inc.*				5,201		11,078
Select Medical Holdings Corp.*				7,492		63,532
Skilled Healthcare Group, Inc., Class A*				3,357		18,329
Sun Healthcare Group, Inc.*				4,098		15,900
Sunrise Senior Living, Inc.*				9,807		63,549
Team Health Holdings, Inc.*				4,475		98,763
The Ensign Group, Inc.				2,796		68,502
Triple-S Management Corp., Class B*		PR		3,369		67,447
U.S. Physical Therapy, Inc.				1,979		38,947
Universal American Corp.				5,548		70,515
Vanguard Health Systems, Inc.*				5,100		52,122
WellCare Health Plans, Inc.*				7,209		378,473
						5,732,105
HEALTH CARE TECHNOLOGY – 0.5%
athenahealth, Inc.*				5,894		289,513
Computer Programs and Systems, Inc.				1,858		94,962
ePocrates, Inc.*				1,095		8,541
HealthStream, Inc.*				2,941		54,262
MedAssets, Inc.*				7,955		73,584
Medidata Solutions, Inc.*				3,606		78,431
Merge Healthcare, Inc.*				9,345		45,323
Omnicell, Inc.*				5,557		91,802

	Country Code**	Shares		Value
Quality Systems, Inc.			6,566	$	242,876
Transcend Services, Inc.*			1,466		34,788
					1,014,082
HOTELS, RESTAURANTS & LEISURE – 2.8%
AFC Enterprises, Inc.*			4,279		62,901
Ambassadors Group, Inc.			3,004		13,548
Ameristar Casinos, Inc.			5,506		95,199
Benihana, Inc.*			2,376		24,306
Biglari Holdings, Inc.*			203		74,753
BJ’s Restaurants, Inc.*			4,070		184,452
Bob Evans Farms, Inc.			5,119		171,691
Boyd Gaming Corp.*			9,325		69,565
Bravo Brio Restaurant Group, Inc.*			3,300		56,595
Buffalo Wild Wings, Inc.*			3,099		209,214
Caribou Coffee Co., Inc.*			2,220		30,969
Carrols Restaurant Group, Inc.*			2,094		24,228
CEC Entertainment, Inc.			3,348		115,339
Churchill Downs, Inc.			2,110		109,994
Cracker Barrel Old Country Store, Inc.			3,874		195,288
Dennys Corp.*			17,087		64,247
DineEquity, Inc.*			2,607		110,041
Domino’s Pizza, Inc.*			9,860		334,747
Einstein Noah Restaurant Group, Inc.			981		15,519
Gaylord Entertainment Co.*			6,064		146,385
International Speedway Corp., Class A			4,971		126,015
Interval Leisure Group, Inc.*			6,773		92,181

See Notes to Financial Statements.

153

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Isle of Capri Casinos, Inc.*				3,481	$	16,256
Jack In The Box, Inc.*				7,446		155,621
Jamba, Inc.*				10,638		13,936
Krispy Kreme Doughnuts, Inc.*				10,069		65,851
Life Time Fitness, Inc.*				7,161		334,777
Luby’s, Inc.*				3,182		14,351
Marcus Corp.				3,428		43,227
McCormick & Schmicks Seafood Restaurants, Inc.*				2,247		19,639
Monarch Casino & Resort, Inc.*				1,544		15,733
Morgans Hotel Group*				3,567		21,045
Multimedia Games Holding Company, Inc.*				4,470		35,492
O’Charley’s, Inc.*				3,044		16,712
Orient-Express Hotels Ltd.*		BM		16,228		121,223
P.F. Chang’s China Bistro, Inc.				3,609		111,554
Papa John’s International, Inc.*				3,136		118,164
Peet’s Coffee & Tea, Inc.*				2,162		135,514
Pinnacle Entertainment, Inc.*				10,545		107,137
Red Lion Hotels Corp.*				2,528		17,519
Red Robin Gourmet Burgers, Inc.*				2,225		61,633
Ruby Tuesday, Inc.*				10,954		75,583
Ruth’s Chris Steak House, Inc.*				5,877		29,209
Scientific Games Corp., Class A*				9,750		94,575
Shuffle Master, Inc.*				9,110		106,769
Six Flags Entertainment Corp.				7,050		290,742
Sonic Corp.*				10,370		69,790
Speedway Motorsports, Inc.				1,995		30,583
Texas Roadhouse, Inc., Class A				10,645		158,611

	Country Code**		Shares		Value
The Cheesecake Factory, Inc.*				9,801	$	287,659
Town Sports International Holdings, Inc.*				3,513		25,821
Vail Resorts, Inc.				6,099		258,354
						5,180,257
HOUSEHOLD DURABLES – 0.8%
American Greetings Corp.				6,823		85,356
Beazer Homes USA, Inc.*				13,306		32,999
Blyth, Inc.				891		50,609
Cavco Industries, Inc.*				1,182		47,351
CSS Industries, Inc.				1,398		27,848
Ethan Allen Interiors, Inc.				4,062		96,310
Furniture Brands International, Inc.*				7,819		9,617
Helen of Troy Ltd.*		BM		5,230		160,561
Hovnanian Enterprises, Inc., Class A*				10,213		14,809
Irobot Corp.*				4,004		119,519
KB Home				12,908		86,742
La-Z-Boy, Inc.*				8,722		103,792
Libbey, Inc.*				3,335		42,488
Lifetime Brands, Inc.				1,533		18,611
M.D.C. Holdings, Inc.				6,309		111,228
M/I Homes, Inc.*				3,200		30,720
Meritage Homes Corp.*				4,689		108,738
Ryland Group, Inc.				7,466		117,664
Sealy Corp.*				8,359		14,377
Skullcandy, Inc.*				1,636		20,483
Skyline Corp.				1,211		5,268
Standard Pacific Corp.*				18,324		58,270
Universal Electronics, Inc.*				2,561		43,204
Zagg, Inc.*				3,746		26,484
						1,433,048

See Notes to Financial Statements.

154

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
HOUSEHOLD PRODUCTS – 0.1%
Central Garden and Pet Co., Class A*				7,066	$	58,789
Harbinger Group, Inc.*				1,410		5,654
Oil-Dri Corp. of America				795		16,091
Spectrum Brands Holdings, Inc.*				2,787		76,364
WD-40 Co.				2,698		109,026
						265,924
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS – 0.2%
Atlantic Power Corp.		CA		19,165		274,059
Dynegy, Inc.*				17,481		48,422
Genie Energy Ltd., Class B				2,488		19,730
Ormat Technologies, Inc.				3,118		56,218
						398,429
INDUSTRIAL CONGLOMERATES – 0.2%
Raven Industries, Inc.				3,058		189,290
Seaboard Corp.*				53		107,908
Standex International Corp.				2,145		73,295
						370,493
INSURANCE – 2.7%
Alterra Capital Holdings Ltd.		BM		15,431		364,634
American Equity Investment Life Holding Co.				10,048		104,499
American Safety Insurance Holdings Ltd.*		BM		1,829		39,781
AMERISAFE, Inc.*				3,168		73,656
Amtrust Financial Services, Inc.				4,148		98,515
Argo Group International Holdings, Inc.		BM		4,746		137,444
Baldwin & Lyons, Inc., Class B				1,557		33,943
Citizens, Inc.*				6,473		62,723

	Country Code**		Shares		Value
CNO Financial Group, Inc.*				37,580	$	237,130
Crawford & Co., Class B				4,423		27,246
Delphi Financial Group, Inc.				8,225		364,367
Donegal Group, Inc.				1,460		20,674
eHealth, Inc.*				3,448		50,686
EMC Insurance Group, Inc.				900		18,513
Enstar Group Ltd.*		BM		1,171		114,992
FBL Financial Group, Inc.				2,153		73,245
First American Financial Corp.				17,946		227,376
Flagstone Reinsurance Holdings SA		LU		9,225		76,475
Fortegra Financial Corp.*				1,295		8,651
Global Indemnity PLC*		IE		2,424		48,068
Greenlight Capital Re, Ltd., Class A*		KY		4,800		113,616
Hallmark Financial Services, Inc.*				2,311		16,154
Harleysville Group, Inc.				2,094		118,458
Hilltop Holdings, Inc.*				6,947		58,702
Horace Mann Educators Corp.				6,830		93,639
Independence Holding Co.				1,346		10,943
Infinity Property & Casualty Corp.				2,146		121,764
Kansas City Life Insurance Co.				713		23,401
Maiden Holdings Ltd.		BM		8,856		77,579
Meadowbrook Insurance Group, Inc.				9,197		98,224
Montpelier Re Holdings Ltd.		BM		10,764		191,061
National Financial Partners Corp.*				6,981		94,383
National Interstate Corp.				1,295		31,948
National Western Life Insurance Co.				363		49,426

See Notes to Financial Statements.

155

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Navigators Group, Inc.*				2,019	$	96,266
OneBeacon Insurance Group Ltd., Class A		BM		3,849		59,236
Phoenix Cos., Inc.*				19,283		32,395
Platinum Underwriters Holdings Ltd.		BM		6,414		218,782
Presidential Life Corp.				3,673		36,693
Primerica, Inc.				5,748		133,583
ProAssurance Corp.				5,201		415,144
RLI Corp.				3,134		228,343
Safety Insurance Group, Inc.				2,219		89,825
SeaBright Insurance Holdings, Inc.				3,549		27,150
Selective Insurance Group, Inc.				9,306		164,995
State Auto Financial Corp.				2,568		34,899
Stewart Information Services Corp.				3,130		36,151
Symetra Financial Corp.				11,468		104,015
Tower Group, Inc.				6,376		128,604
United Fire & Casualty Co.				3,699		74,646
Universal Insurance Holdings, Inc.				3,334		11,936
						5,174,579
INTERNET & CATALOG RETAIL – 0.3%
1-800-Flowers.com, Inc., Class A*				4,057		8,925
Blue Nile, Inc.*				1,991		81,392
Geeknet, Inc.*				748		12,753
HSN, Inc.				6,761		245,154
NutriSystem, Inc.				4,533		58,612
Orbitz Worldwide, Inc.*				3,552		13,355
Overstock.com, Inc.*				1,896		14,865
PetMed Express Common, Inc.				3,424		35,541
Shutterfly, Inc.*				5,019		114,232

	Country Code**	Shares		Value
US Auto Parts Network, Inc.*			2,453	$	10,720
ValueVision Media, Inc., Class A*			7,079		13,309
					608,858
INTERNET SOFTWARE & SERVICES – 1.8%
Active Network, Inc.*			2,147		29,199
Ancestry.com, Inc.*			5,347		122,767
Angie’s List, Inc.*			1,739		27,998
Bankrate, Inc.*			3,853		82,840
Carbonite, Inc.*			1,239		13,753
ComScore, Inc.*			5,375		113,950
Constant Contact, Inc.*			4,959		115,098
Cornerstone OnDemand, Inc.*			1,976		36,042
DealerTrack Holdings, Inc.*			6,943		189,266
Demand Media, Inc.*			1,402		9,323
Dice Holdings, Inc.*			8,352		69,238
Digital River, Inc.*			6,305		94,701
Earthlink, Inc.			18,612		119,861
Envestnet, Inc.*			3,381		40,437
FriendFinder Networks, Inc.*			807		605
InfoSpace, Inc.*			6,541		71,886
Internap Network Services Corp.*			9,004		53,484
Intralinks Holdings, Inc.*			5,324		33,222
j2 Global, Inc.			7,729		217,494
Keynote Systems, Inc.			2,488		51,104
Kit Digital, Inc.*			6,545		55,305
Limelight Networks, Inc.*			11,789		34,895
Liquidity Services, Inc.*			3,196		117,932
LivePerson, Inc.*			8,878		111,419
Logmein, Inc.*			3,428		132,149
Loopnet, Inc.*			2,824		51,623
Marchex, Inc., Class B			3,692		23,075
Move, Inc.*			6,786		42,888
NIC, Inc.			10,808		143,855
Opentable, Inc.*			3,979		155,698

See Notes to Financial Statements.

156

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Openwave Systems, Inc.*			14,292	$	22,581
Perficient, Inc.*			4,180		41,842
Quepasa Corp.*			1,202		3,991
Quinstreet, Inc.*			4,707		44,058
RealNetworks, Inc.			3,641		27,308
Responsys, Inc.*			1,651		14,677
RightNow Technologies, Inc.*			4,165		177,970
Saba Software, Inc.*			4,754		37,509
SciQuest, Inc.*			2,135		30,466
SPS Commerce, Inc.*			1,418		36,797
Stamps.com, Inc.*			1,800		47,034
Support.com, Inc.*			8,074		18,167
TechTarget, Inc.*			2,386		13,934
Travelzoo, Inc.*			929		22,835
United Online, Inc.			14,938		81,263
ValueClick, Inc.*			13,329		217,129
Vocus, Inc.*			3,023		66,778
Web.com Group, Inc.*			4,987		57,101
XO Group, Inc.*			4,642		38,714
Zillow, Inc.*			666		14,972
Zix Corp.*			11,711		33,025
					3,409,258
IT SERVICES – 2.0%
Acxiom Corp.*			13,729		167,631
CACI International, Inc., Class A*			4,463		249,571
Cardtronics, Inc.*			7,270		196,726
Cass Information Systems, Inc.			1,555		56,586
Ciber, Inc.*			10,734		41,433
Computer Task Group, Inc.*			2,596		36,552
Convergys Corp.*			17,796		227,255
CSG Systems International, Inc.*			5,815		85,539
Dynamics Research Corp.*			1,440		16,330
Echo Global Logistics, Inc.*			1,903		30,733
Euronet Worldwide, Inc.*			8,635		159,575
Exlservice Holdings, Inc.*			2,769		61,942
Forrester Research, Inc.*			2,520		85,529

	Country Code**	Shares		Value
Heartland Payment Systems, Inc.			6,508	$	158,535
Higher One Holdings, Inc.*			5,142		94,818
iGATE Corp.*			5,217		82,063
Jack Henry & Associates, Inc.			14,596		490,572
Lionbridge Technologies, Inc.*			10,042		22,996
Mantech International Corp., Class A			3,931		122,804
MAXIMUS, Inc.			5,878		243,055
ModusLink Global Solutions, Inc.			7,294		39,388
MoneyGram International, Inc.*			1,856		32,944
NCI, Inc., Class A*			1,215		14,155
PRGX Global, Inc.*			3,289		19,569
Sapient Corp.			18,521		233,365
ServiceSource International, Inc.*			1,762		27,646
Stream Global Services, Inc.*			1,186		3,926
Syntel, Inc.			2,601		121,649
Teletech Holdings, Inc.*			4,363		70,681
The Hackett Group, Inc.*			5,134		19,201
TNS, Inc.*			4,366		77,365
Unisys Corp.*			7,293		143,745
Virtusa Corp.*			2,608		37,764
Wright Express Corp.*			6,549		355,480
					3,827,123
LEISURE EQUIPMENT & PRODUCTS – 0.4%
Arctic Cat, Inc.*			2,062		46,498
Black Diamond, Inc.*			2,356		17,599
Brunswick Corp.			15,065		272,074
Callaway Golf Co.			11,095		61,355
Eastman Kodak Co.*			46,318		30,084
Jakks Pacific, Inc.			4,542		64,088
Johnson Outdoors, Inc., Class A*			804		12,341
Leapfrog Enterprises, Inc.*			7,176		40,114
Marine Products Corp.*			1,819		9,022

See Notes to Financial Statements.

157

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Smith & Wesson Holding Corp.*			9,846	$	42,929
Steinway Musical Instruments, Inc.*			1,103		27,619
Sturm Ruger & Co., Inc.			3,176		106,269
Summer Infant, Inc.*			2,146		15,108
					745,100
LIFE SCIENCES TOOLS & SERVICES – 0.4%
Affymetrix, Inc.*			12,032		49,211
Albany Molecular Research, Inc.*			3,625		10,621
BG Medicine, Inc.*			1,343		6,339
Cambrex Corp.*			4,995		35,864
Complete Genomics, Inc.*			1,746		5,116
Enzo Biochem, Inc.*			6,426		14,394
eResearchTechnology, Inc.*			8,547		40,086
Fluidigm Corp.*			1,100		14,476
Furiex Pharmaceuticals, Inc.*			1,714		28,641
Harvard Bioscience, Inc.*			3,691		14,284
Luminex Corp.*			6,375		135,341
MEDTOX Scientific, Inc.*			1,326		18,630
Pacific Biosciences of California, Inc.*			6,155		17,234
Parexel International Corp.*			9,960		206,570
Sequenom, Inc.*			16,986		75,588
					672,395
MACHINERY – 3.2%
Accuride Corp.*			6,885		49,021
Actuant Corp., Class A			11,628		263,839
Alamo Group, Inc.			1,139		30,673
Albany International Corp.			4,650		107,508
Altra Holdings, Inc.*			4,517		85,055
American Railcar Industries, Inc.*			1,682		40,250
Ampco-Pittsburgh Corp.			1,428		27,618
Astec Industries, Inc.*			3,359		108,193
Barnes Group, Inc.			9,236		222,680

	Country Code**	Shares		Value
Blount International, Inc.*			8,207	$	119,166
Briggs & Stratton Corp.			8,514		131,882
Cascade Corp.			1,535		72,406
Chart Industries, Inc.*			4,982		269,377
CIRCOR International, Inc.			2,898		102,328
Clarcor, Inc.			8,535		426,665
Colfax Corp.*			4,149		118,164
Columbus McKinnon Corp.*			3,324		42,182
Commercial Vehicle Group, Inc.*			4,971		44,938
Douglas Dynamics, Inc.			3,029		44,284
Dynamic Materials Corp.			2,317		45,830
Energy Recovery, Inc.*			7,678		19,809
EnPro Industries, Inc.*			3,477		114,671
Esco Technologies, Inc.			4,493		129,309
Federal Signal Corp.*			10,683		44,334
Flow International Corp.*			7,938		27,783
FreightCar America, Inc.*			2,083		43,639
Gorman-Rupp Co.			2,622		71,187
Graham Corp.			1,679		37,677
Hurco Cos., Inc.*			1,095		22,995
John Bean Technologies Corp.			4,808		73,899
Kadant, Inc.*			2,120		47,933
Kaydon Corp.			5,519		168,329
LB Foster Co.			1,504		42,548
Lindsay Corp.			2,119		116,312
Lydall, Inc.*			2,860		27,141
Meritor, Inc.*			15,936		84,780
Met-Pro Corp.			2,554		23,088
Middleby Corp.*			3,172		298,295
Miller Industries, Inc.			1,849		29,085
Mueller Industries, Inc.			6,410		246,272
Mueller Water Products, Inc., Class A			26,728		65,216

See Notes to Financial Statements.

158

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**		Shares		Value
NACCO Industries, Inc., Class A				979	$	87,346
NN, Inc.*				2,758		16,548
Omega Flex, Inc.*				437		6,175
PMFG, Inc.*				3,001		58,550
RBC Bearings, Inc.*				3,705		154,499
Robbins & Myers, Inc.				6,686		324,605
Sauer-Danfoss, Inc.*				1,933		69,994
Sun Hydraulics, Inc.				3,368		78,912
Tecumseh Products Co., Class A*				3,305		15,534
Tennant Co.				3,237		125,822
The Greenbrier Cos., Inc.*				3,318		80,561
Titan International, Inc.				7,115		138,458
Trimas Corp.*				4,387		78,747
Twin Disc, Inc.				1,455		52,846
Wabash National Corp.*				11,504		90,191
Watts Water Technologies, Inc., Class A				5,090		174,129
Woodward Governor Co.				10,424		426,654
Xerium Technologies, Inc.*				1,933		12,642
						6,078,574
MARINE – 0.1%
Baltic Trading Ltd.		MH		2,666		12,664
Eagle Bulk Shipping, Inc.*		MH		11,410		10,749
Excel Maritime Carriers Ltd.*		LR		7,471		10,833
Genco Shipping & Trading Ltd.*		MH		4,980		33,665
International Shipholding Corp.				884		16,522
Ultrapetrol Bahamas Ltd.*		BS		3,395		10,117
						94,550
MEDIA – 1.3%
AH Belo Corp.				3,091		14,682
Arbitron, Inc.				4,593		158,045
Belo Corp., Class A				15,606		98,318

	Country Code**		Shares		Value
Central European Media Enterprises Ltd., Class A*		BM		6,265	$	40,848
Cinemark Holdings, Inc.				15,693		290,164
Crown Media Holdings, Inc., Class A*				5,611		6,789
Cumulus Media, Inc., Class A*				5,852		19,546
Dial Global, Inc.*				687		2,192
Digital Domain Media Group, Inc.*				630		3,830
Digital Generation, Inc.*				4,695		55,964
Entercom Communications Corp., Class A*				4,088		25,141
Entravision Communications Corp., Class A				8,397		13,099
Fisher Communications, Inc.*				1,517		43,735
Global Sources Ltd.*		BM		1,885		9,142
Gray Television, Inc.*				8,430		13,657
Harte-Hanks, Inc.				7,456		67,775
Journal Communications, Inc., Class A*				7,426		32,674
Knology, Inc.*				5,155		73,201
LIN TV Corp., Class A*				5,124		21,675
Lions Gate Entertainment Corp.*		CA		7,721		64,239
Live Nation, Inc.*				23,741		197,288
Martha Stewart Living Omnimedia, Inc., Class A				4,718		20,759
McClatchy Co., Class A*				9,575		22,884
MDC Partners, Inc., Class A		CA		4,304		58,190
Meredith Corp.				6,175		201,614
National CineMedia, Inc.				9,292		115,221
Nexstar Broadcasting Group, Inc., Class A*				1,888		14,802

See Notes to Financial Statements.

159

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**		Shares		Value
Outdoor Channel Holdings, Inc.				2,577	$	19,225
ReachLocal, Inc.*				1,734		10,716
Rentrak Corp.*				1,599		22,834
Saga Communications, Inc., Class A*				603		22,540
Scholastic Corp.				4,476		134,146
Sinclair Broadcast Group, Inc.				8,506		96,373
The E.W. Scripps Co., Class A*				5,169		41,404
The New York Times Co., Class A*				23,203		179,359
Valassis Communications, Inc.*				7,614		146,417
Value Line, Inc.				144		1,480
World Wrestling Entertainment, Inc.				4,607		42,937
						2,402,905
METALS & MINING – 1.4%
AMCOL International Corp.				4,109		110,327
Castle AM Co.*				2,797		26,460
Century Aluminum Co.*				8,656		73,663
Coeur D’Alene Mines Corp.*				15,134		365,335
General Moly Inc.*				11,717		36,205
Globe Specialty Metals, Inc.				10,651		142,617
Gold Resource Corp.				4,739		100,704
Golden Minerals Co.*				4,941		28,707
Golden Star Resources Ltd.*		CA		44,499		73,423
Handy & Harman Ltd.*				923		9,138
Haynes International, Inc.				2,057		112,312
Hecla Mining Co.				47,198		246,846
Horsehead Holding Corp.*				7,499		67,566
Jaguar Mining, Inc.*		CA		14,069		89,760
Kaiser Aluminum Corp.				2,750		126,170
Materion Corp.*				3,430		83,280

	Country Code**		Shares		Value
Metals USA Holdings Corp.*				1,944	$	21,870
Midway Gold Corp.*		CA		14,932		31,506
Noranda Aluminum Holding Corp.				3,864		31,878
Olympic Steel, Inc.				1,537		35,843
Paramount Gold and Silver Corp.*				20,082		42,975
Redcorp Ventures Ltd.*(1)		CA		91,400		—
Revett Minerals, Inc.*		CA		4,209		19,866
RTI International Metals, Inc.*				5,091		118,162
Stillwater Mining Co.*				19,570		204,702
SunCoke Energy, Inc.*				2,228		24,954
Thompson Creek Metals Co., Inc.*		CA		25,817		179,686
Universal Stainless & Alloy*				1,227		45,841
US Energy Corp.*				4,016		11,687
US Gold Corp.*				17,988		60,440
Vista Gold Corp.*		CA		11,938		36,650
Worthington Industries, Inc.				9,740		159,541
						2,718,114
MULTI-LINE RETAIL – 0.3%
99 Cents Only Stores*				7,940		174,283
Bon-Ton Stores, Inc.				2,007		6,764
Fred’s, Inc.				6,221		90,702
Gordmans Stores, Inc.*				924		11,615
Saks, Inc.*				19,539		190,505
Tuesday Morning Corp.*				7,652		26,399
						500,268
MULTI-UTILITIES – 0.5%
Avista Corp.				9,765		251,449
Black Hills Corp.				6,652		223,374
CH Energy Group, Inc.				2,613		152,547
NorthWestern Corp.				6,159		220,430
						847,800

See Notes to Financial Statements.

160

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**		Shares		Value
OIL, GAS & CONSUMABLE FUELS – 4.6%
Abraxas Petroleum Corp.*				14,177	$	46,784
Alon USA Energy, Inc.				1,936		16,863
Amyris, Inc.*				2,964		34,205
Apco Oil and Gas International, Inc.		KY		1,532		125,195
Approach Resources, Inc.*				4,360		128,228
ATP Oil & Gas Corp.*				7,621		56,091
Berry Petroleum Co.				8,734		367,003
Bill Barrett Corp.*				7,996		272,424
BPZ Resources, Inc.*				17,473		49,623
Callon Petroleum Co.*				6,844		34,015
CAMAC Energy, Inc.*				9,876		9,975
Carrizo Oil & Gas, Inc.*				6,573		173,199
Cheniere Energy, Inc.*				13,949		121,217
Clayton Williams Energy, Inc.*				989		75,045
Clean Energy Fuels Corp.*				8,320		103,667
Cloud Peak Energy, Inc.*				10,321		199,402
Comstock Resources, Inc.*				8,044		123,073
Contango Oil & Gas Co.*				2,049		119,211
Crimson Exploration, Inc.*				3,348		9,575
Crosstex Energy, Inc.				6,807		86,040
CVR Energy, Inc.*				14,872		278,553
Delek US Holdings, Inc.				2,399		27,373
DHT Maritime, Inc.		MH		11,640		8,614
Endeavour International Corp.*				6,286		54,625
Energy Partners Ltd.*				4,980		72,708
Energy XXi Bermuda Ltd.*		BM		12,740		406,151
Evolution Petroleum Corp.*				2,675		21,534

	Country Code**		Shares		Value
Frontline Ltd.		BM		8,631	$	37,027
FX Energy, Inc.*				8,889		42,667
Gastar Exploration Ltd.*		CA		9,636		30,642
Georesources, Inc.*				3,366		98,657
Gevo, Inc.*				967		6,082
GMX Resources, Inc.*				10,470		13,087
Golar LNG Ltd.		BM		6,768		300,838
Goodrich Petroleum Corp.*				4,439		60,947
Green Plains Renewable Energy, Inc.*				3,097		30,227
Gulfport Energy Corp.*				7,675		226,029
Hallador Energy Co.				783		7,775
Harvest Natural Resources, Inc.*				5,758		42,494
Houston American Energy Corp.*				2,815		34,315
Hyperdynamics Corp.*				26,660		65,317
Isramco, Inc.*				167		14,957
James River Coal Co.*				6,046		41,838
Kior, Inc., Class A*				1,763		17,947
Knightsbridge Tankers Ltd.		BM		3,786		51,755
Kodiak Oil & Gas Corp.*		CA		43,552		413,744
L&L Energy, Inc.*				3,575		9,259
Magnum Hunter Resources Corp.*				18,723		100,917
McMoRan Exploration Co.*				16,597		241,486
Miller Energy Resources, Inc.*				5,379		15,007
Nordic American Tanker Shipping Ltd.		BM		7,997		95,884
Northern Oil and Gas, Inc.*				10,676		256,010
Oasis Petroleum, Inc.*				10,085		293,373
Overseas Shipholding Group, Inc.				4,536		49,578
Panhandle Oil & Gas, Inc., Class A				1,207		39,602
Patriot Coal Corp.*				15,452		130,878
Penn Virginia Corp.				7,790		41,209

See Notes to Financial Statements.

161

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**		Shares		Value
Petroleum Development Corp.*				3,966	$	139,246
PetroQuest Energy, Inc.*				9,632		63,571
Rentech, Inc.*				37,799		49,517
Resolute Energy Corp.*				7,902		85,342
REX American Resources Corp.*				1,050		23,215
Rex Energy Corp.*				5,981		88,280
Rosetta Resources, Inc.*				8,970		390,195
Scorpio Tankers, Inc.*		MH		4,899		23,956
SemGroup Corp., Class A*				6,973		181,716
Ship Finance International Ltd.		BM		7,589		70,881
Solazyme, Inc.*				1,880		22,372
Stone Energy Corp.*				8,293		218,769
Swift Energy Co.*				7,179		213,360
Syntroleum Corp.*				14,433		13,856
Targa Resources Corp.				2,745		111,694
Teekay Tankers Ltd., Class A		MH		7,135		25,115
Triangle Petroleum Corp.*				7,503		44,793
Ur-Energy, Inc.*		CA		18,035		15,492
Uranerz Energy Corp.*				10,386		18,903
Uranium Energy Corp.*				12,621		38,620
Uranium Resources, Inc.*				16,412		11,915
USEC, Inc.*				19,410		22,127
Vaalco Energy, Inc.*				8,700		52,548
Venoco, Inc.*				5,045		34,155
Voyager Oil & Gas, Inc.*				8,096		20,807
W&T Offshore, Inc.				5,891		124,948
Warren Resources, Inc.*				11,885		38,745
Western Refining, Inc.*				8,882		118,042
Westmoreland Coal Co.*				1,693		21,586

	Country Code**	Shares		Value
World Fuel Services Corp.			11,965	$	502,291
Zion Oil & Gas, Inc.*			4,894		10,816
					8,626,814
PAPER & FOREST PRODUCTS – 0.6%
Buckeye Technologies, Inc.			6,775		226,556
Clearwater Paper Corp.*			3,886		138,380
Deltic Timber Corp.			1,815		109,608
KapStone Paper and Packaging Corp.*			6,580		103,569
Louisiana-Pacific Corp.*			22,298		179,945
Neenah Paper, Inc.			2,489		55,554
P.H. Glatfelter Co.			7,382		104,234
Schweitzer-Mauduit International, Inc.			2,732		181,569
Verso Paper Corp.*			2,417		2,320
Wausau Paper Corp.			8,487		70,103
					1,171,838
PERSONAL PRODUCTS – 0.5%
Elizabeth Arden, Inc.*			4,134		153,123
Inter Parfums, Inc.			2,798		43,537
Medifast, Inc.*			2,406		33,010
Natures Sunshine Products, Inc.*			1,929		29,938
Nu Skin Enterprises, Inc.			9,267		450,098
Nutraceutical International Corp.*			1,577		17,852
Prestige Brands Holdings, Inc.*			8,451		95,243
Revlon, Inc., Class A*			1,886		28,045
Schiff Nutrition International, Inc.*			2,019		21,603
Synutra International, Inc.*			2,938		14,866
The Female Health Co.			3,257		14,689
USANA Health Sciences, Inc.*			1,075		32,648
					934,652

See Notes to Financial Statements.

162

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
PHARMACEUTICALS – 1.8%
Acura Pharmaceuticals, Inc.*			1,789	$	6,244
Akorn, Inc.*			9,443		105,006
Alimera Sciences, Inc.*			1,887		2,359
Ampio Pharmaceuticals, Inc.*			3,339		14,257
Auxilium Pharmaceuticals, Inc.*			8,049		160,416
Avanir Pharmaceuticals, Inc., Class A*			21,219		43,499
Cadence Pharmaceuticals, Inc.*			8,056		31,821
Columbia Laboratories, Inc.*			12,230		30,575
Corcept Therapeutics, Inc.*			7,119		24,347
Cornerstone Therapeutics, Inc.*			1,354		7,582
Depomed, Inc.*			9,109		47,185
Durect Corp.*			13,388		15,798
Endocyte, Inc.*			2,842		10,686
Hi-Tech Pharmacal Co., Inc.*			1,756		68,291
Impax Laboratories, Inc.*			11,065		223,181
ISTA Pharmaceuticals, Inc.*			5,306		37,407
Jazz Pharmaceuticals, Inc.*			3,727		143,974
KV Pharmaceutical Co., Class A*			9,108		12,751
Lannett Co, Inc.*			2,688		11,881
Map Pharmaceuticals, Inc.*			3,757		49,480
Medicis Pharmaceutical Corp., Class A			10,478		348,393
Nektar Therapeutics*			19,086		106,786
NeoStem, Inc.*			8,958		4,542
Obagi Medical Products, Inc.*			3,140		31,902
Optimer Pharmaceuticals, Inc.*			7,782		95,252
Pacira Pharmaceuticals, Inc.*			1,084		9,377

	Country Code**	Shares		Value
Pain Therapeutics, Inc.*			6,079	$	23,100
Par Pharmaceutical Cos., Inc.*			6,123		200,406
Pernix Therapeutics Holdings, Inc.*			718		6,649
Pozen, Inc.*			4,448		17,570
Questcor Pharmaceuticals, Inc.*			8,996		374,054
Sagent Pharmaceuticals, Inc.*			1,173		24,633
Salix Pharmaceuticals Ltd.*			9,875		472,519
Santarus Inc.*			8,889		29,423
Sucampo Pharmaceuticals, Inc., Class A*			2,255		9,990
The Medicines Co.*			9,107		169,754
Transcept Pharmaceuticals, Inc.*			838		6,561
ViroPharma, Inc.*			11,979		328,105
Vivus, Inc.*			14,982		146,074
Xenoport, Inc.*			6,218		23,691
					3,475,521
PROFESSIONAL SERVICES – 1.5%
Acacia Research – Acacia Technologies*			7,227		263,858
Barrett Business Services, Inc.			1,295		25,848
CBIZ, Inc.*			6,556		40,057
CDI Corp.			2,173		30,009
Costar Group, Inc.*			4,276		285,338
CRA International, Inc.*			1,881		37,319
Dolan Co.*			5,124		43,657
Exponent, Inc.*			2,193		100,812
Franklin Covey Co.*			2,231		18,897
FTI Consulting, Inc.*			7,114		301,776
GP Strategies Corp.*			2,501		33,713
Heidrick & Struggles International, Inc.			3,065		66,020
Hill International, Inc.*			4,249		21,840
Hudson Highland Group, Inc.*			5,548		26,575

See Notes to Financial Statements.

163

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Huron Consulting Group, Inc.*			3,742	$	144,965
ICF International, Inc.*			3,294		81,625
Insperity, Inc.			3,855		97,724
Kelly Services, Inc., Class A			4,552		62,271
Kforce, Inc.*			4,951		61,046
Korn / Ferry International*			7,942		135,491
Mistras Group, Inc.*			2,500		63,725
Navigant Consulting, Inc.*			8,669		98,913
Odyssey Marine Exploration, Inc.*			12,479		34,192
On Assignment, Inc.*			6,348		70,971
Pendrell Corp.*			25,511		65,308
Resources Connection, Inc.			7,804		82,644
RPX Corp.*			1,655		20,936
The Advisory Board Co.*			2,676		198,586
The Corporate Executive Board Co.			5,847		222,771
Trueblue, Inc.*			6,725		93,343
VSE Corp.			729		17,700
					2,847,930
REAL ESTATE INVESTMENT TRUSTS – 8.8%
Acadia Realty Trust			7,113		143,256
AG Mortgage Investment Trust, Inc.			1,083		21,801
Agree Realty Corp.			1,684		41,056
Alexander’s, Inc.			345		127,660
American Assets Trust, Inc.			5,337		109,462
American Campus Communities, Inc.			11,512		483,044
American Capital Mortgage Investment Corp.			1,376		25,896
Anworth Mortgage Asset Corp.			22,855		143,529
Apollo Commercial Real Estate Finance, Inc.			3,459		45,417

	Country Code**	Shares		Value
ARMOUR Residential REIT, Inc.			15,621	$	110,128
Ashford Hospitality Trust, Inc.			8,958		71,664
Associated Estates Realty Corp.			7,088		113,054
BioMed Realty Trust, Inc.			26,029		470,604
Campus Crest Communities, Inc.			5,267		52,986
CapLease, Inc.			11,682		47,195
Capstead Mortgage Corp.			14,328		178,240
CBL & Associates Properties, Inc.			25,141		394,714
Cedar Realty Trust, Inc.			9,638		41,540
Chatham Lodging Trust			2,353		25,365
Chesapeake Lodging Trust			5,285		81,706
Cogdell Spencer, Inc.			7,808		33,184
Colonial Properties Trust			14,148		295,127
Colony Financial, Inc.			5,619		88,274
Coresite Realty Corp.			3,411		60,784
Cousins Properties, Inc.			15,258		97,804
CreXus Investment Corp.			9,780		101,516
CubeSmart			20,705		220,301
CYS Investments, Inc.			13,934		183,093
DCT Industrial Trust, Inc.			41,439		212,168
DiamondRock Hospitality Co.			28,279		272,610
DuPont Fabros Technology, Inc.			9,934		240,601
Dynex Capital, Inc.			6,791		62,002
EastGroup Properties, Inc.			4,555		198,051
Education Realty Trust, Inc.			15,435		157,900
Entertainment Properties Trust			7,870		343,998

See Notes to Financial Statements.

164

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Equity Lifestyle Properties, Inc.			5,220	$	348,122
Equity One, Inc.			9,122		154,892
Excel Trust, Inc.			5,231		62,772
Extra Space Storage, Inc.			15,943		386,299
FelCor Lodging Trust, Inc.*			21,477		65,505
First Industrial Realty Trust, Inc.*			14,569		149,041
First Potomac Realty Trust			8,324		108,628
Franklin Street Properties Corp.			11,960		119,002
Getty Realty Corp.			4,475		62,426
Gladstone Commercial Corp.			1,887		33,117
Glimcher Realty Trust			18,117		166,676
Government Properties Income Trust			5,899		133,022
Hatteras Financial Corp.			12,667		334,029
Healthcare Realty Trust, Inc.			13,129		244,068
Hersha Hospitality Trust			23,686		115,588
Highwoods Properties, Inc.			12,321		365,564
Home Properties, Inc.			8,149		469,138
Hudson Pacific Properties, Inc.			3,723		52,718
Inland Real Estate Corp.			12,893		98,116
Invesco Mortgage Capital, Inc.			19,742		277,375
Investors Real Estate Trust			13,240		96,586
iStar Financial, Inc.*			13,724		72,600
Kilroy Realty Corp.			9,913		377,388
Kite Realty Group Trust			8,978		40,491
LaSalle Hotel Properties			14,426		349,253
Lexington Realty Trust			20,206		151,343
LTC Properties, Inc.			5,116		157,880
Medical Properties Trust, Inc.			19,006		187,589

	Country Code**	Shares		Value
MFA Financial, Inc.			60,588	$	407,151
Mid-America Apartment Communities, Inc.			6,219		388,998
Mission West Properties, Inc.			3,093		27,899
Monmouth Real Estate Investment Corp., Class A			6,560		60,024
MPG Office Trust, Inc.*			8,474		16,863
National Health Investors, Inc.			4,126		181,461
National Retail Properties, Inc.			17,672		466,187
Newcastle Investment Corp.			17,787		82,710
Northstar Realty Finance Corp.			16,423		78,338
Omega Healthcare Investors, Inc.			17,215		333,110
One Liberty Properties, Inc.			1,875		30,938
Parkway Properties, Inc.			3,729		36,768
Pebblebrook Hotel Trust			8,533		163,663
Pennsylvania Real Estate Investment			9,342		97,530
PennyMac Mortgage Investment Trust			4,752		78,978
Post Properties, Inc.			8,437		368,866
Potlatch Corp.			6,804		211,672
PS Business Parks, Inc.			3,140		174,050
RAIT Financial Trust			6,998		33,241
Ramco-Gershenson Properties Trust			6,650		65,369
Redwood Trust, Inc.			13,021		132,554
Resource Capital Corp.			13,167		73,867
Retail Opportunity Investments Corp.			8,315		98,450
RLJ Lodging Trust			4,618		77,721
Sabra Health Care REIT, Inc.			6,350		76,771
Saul Centers, Inc.			1,266		44,842

See Notes to Financial Statements.

165

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Sovran Self Storage, Inc.			4,672	$	199,354
STAG Industrial, Inc.			2,702		30,992
Starwood Property Trust, Inc.			15,754		291,607
Strategic Hotels & Resorts, Inc.*			29,473		158,270
Summit Hotel Properties, Inc.			4,637		43,773
Sun Communities, Inc.			3,541		129,353
Sunstone Hotel Investors, Inc.*			19,916		162,315
Tanger Factory Outlet Centers, Inc.			14,584		427,603
Terreno Realty Corp.			1,592		24,103
Two Harbors Investment Corp.			23,836		220,245
UMH Properties, Inc.			1,933		17,996
Universal Health Realty Income Trust			2,033		79,287
Urstadt Biddle Properties, Inc., Class A			3,958		71,561
Washington Real Estate Investment Trust			11,176		305,664
Whitestone REIT, Class B			1,145		13,626
Winthrop Realty Trust			5,043		51,287
					16,510,015
REAL ESTATE MANAGEMENT & DEVELOPMENT – 0.1%
Avatar Holdings, Inc.*			1,349		9,686
Consolidated-Tomoka Land Co.			698		18,895
Forestar Group, Inc.*			5,946		89,963
Kennedy-Wilson Holdings, Inc.			4,384		46,382
Tejon Ranch Co.*			2,437		59,658
					224,584
ROAD & RAIL – 1.2%
Amerco			1,464		129,418
Arkansas Best Corp.			4,375		84,306

	Country Code**		Shares		Value
Avis Budget Group, Inc.*				17,771	$	190,505
Celadon Group, Inc.				3,368		39,776
Covenant Transport Group, Inc., Class A*				1,175		3,490
Dollar Thrifty Automotive Group*				4,899		344,204
Genesee & Wyoming, Inc., Class A*				6,675		404,372
Heartland Express, Inc.				8,532		121,922
Knight Transportation, Inc.				10,332		161,592
Marten Transport Ltd.				2,624		47,206
Old Dominion Freight Line, Inc.*				8,035		325,659
Patriot Transportation Holding, Inc.*				1,062		23,045
Quality Distribution, Inc.*				2,589		29,126
RailAmerica, Inc.*				3,632		54,080
Roadrunner Transportation Systems, Inc.*				1,536		21,704
Saia, Inc.*				2,757		34,407
Swift Transportation Co.*				13,333		109,864
Universal Truckload Services, Inc.				891		16,172
Werner Enterprises, Inc.				7,437		179,232
Zipcar, Inc.*				1,796		24,102
						2,344,182
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 3.6%
Advanced Analogic Technologies, Inc.*				7,148		41,315
Advanced Energy Industries, Inc.*				7,309		78,426
Alpha & Omega Semiconductor Ltd.*		BM		2,452		17,924
Amkor Technology, Inc.*				15,934		69,472

See Notes to Financial Statements.

166

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Amtech Systems, Inc.*			1,667	$	14,186
Anadigics, Inc.*			11,063		24,228
Applied Micro Circuits Corp.*			10,626		71,407
ATMI, Inc.*			5,333		106,820
Axcelis Technologies, Inc.*			17,653		23,479
AXT, Inc.*			5,651		23,565
Brooks Automation, Inc.			11,164		114,654
Cabot Microelectronics Corp.*			3,979		188,008
Cavium, Inc.*			8,188		232,785
Ceva, Inc.*			3,875		117,258
Cirrus Logic, Inc.*			11,224		177,900
Cohu, Inc.			4,041		45,865
Cymer, Inc.*			5,174		257,458
Diodes, Inc.*			5,968		127,118
DSP Group, Inc.*			3,875		20,189
Entegris, Inc.*			22,768		198,651
Entropic Communications, Inc.*			14,358		73,369
Exar Corp.*			6,104		39,676
FormFactor, Inc.*			8,623		43,632
FSI International, Inc.*			6,681		24,452
GSI Technology, Inc.*			3,392		15,875
GT Advanced Technologies, Inc.*			21,352		154,589
Hittite Microwave Corp.*			5,312		262,307
Inphi, Corp.*			3,714		44,419
Integrated Device Technology, Inc.*			25,073		136,899
Integrated Silicon Solution, Inc.*			4,489		41,029
Intermolecular, Inc.*			1,651		14,166
IXYS Corp.*			4,152		44,966
Kopin Corp.*			11,340		43,999
Kulicke & Soffa Industries, Inc.*			12,140		112,295
Lattice Semiconductor Corp.*			19,885		118,117
LTX-Credence Corp.*			8,526		45,614

	Country Code**	Shares		Value
MaxLinear, Inc., Class A*			2,685	$	12,754
Micrel, Inc.			8,486		85,794
Microsemi Corp.*			14,647		245,337
Mindspeed Technologies, Inc.*			5,844		26,766
MIPS Technologies, Inc.*			9,033		40,287
MKS Instruments, Inc.			8,850		246,207
Monolithic Power Systems, Inc.*			5,014		75,561
MoSys, Inc.*			5,241		22,012
Nanometrics, Inc.*			3,458		63,696
Netlogic Microsystems, Inc.*			11,565		573,277
Nve Corp.*			793		44,035
Omnivision Technologies, Inc.*			9,805		119,964
PDF Solutions, Inc.*			3,946		27,504
Pericom Semiconductor Corp.*			4,202		31,977
Photronics, Inc.*			10,100		61,408
PLX Technology, Inc.*			7,393		21,218
Power Integrations, Inc.			4,883		161,920
Rambus, Inc.*			16,577		125,156
RF Micro Devices, Inc.*			46,804		252,742
Rubicon Technology, Inc.*			3,042		28,564
Rudolph Technologies, Inc.*			5,478		50,726
Semtech Corp.*			11,068		274,708
Sigma Designs, Inc.*			5,291		31,746
Silicon Image, Inc.*			13,688		64,334
Spansion, Inc., Class A*			8,687		71,928
Standard Microsystems Corp.*			3,867		99,653
STR Holdings, Inc.*			5,196		42,763
Supertex, Inc.*			1,576		29,755
Tessera Technologies, Inc.*			8,642		144,754
Triquint Semiconductor, Inc.*			27,816		135,464

See Notes to Financial Statements.

167

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Ultra Clean Holdings*			3,893	$	23,786
Ultratech, Inc.*			4,230		103,931
Veeco Instruments, Inc.*			6,902		143,562
Volterra Semiconductor Corp.*			4,130		105,769
					6,755,170
SOFTWARE – 4.4%
Accelrys, Inc.*			9,503		63,860
ACI Worldwide, Inc.*			5,648		161,759
Actuate Corp.*			6,371		37,334
Advent Software, Inc.*			5,550		135,198
American Software, Inc., Class A			3,798		35,891
Aspen Technology, Inc.*			14,312		248,313
Blackbaud, Inc.			7,533		208,664
Bottomline Technologies, Inc.*			6,041		139,970
BroadSoft, Inc.*			3,802		114,820
Callidus Software, Inc.*			5,215		33,480
Commvault Systems, Inc.*			7,453		318,392
Concur Technologies, Inc.*			7,558		383,871
Convio, Inc.*			2,040		22,562
Deltek, Inc.*			3,760		36,923
DemandTec, Inc.*			5,555		73,159
Digimarc Corp.*			1,097		26,207
Ebix, Inc.			4,854		107,273
Ellie Mae, Inc.*			1,306		7,379
Epiq Systems, Inc.			5,371		64,559
ePlus, Inc.*			668		18,891
Fair Issac Corp.			6,048		216,760
FalconStor Software, Inc.*			5,177		13,357
Glu Mobile, Inc.*			8,193		25,726
Guidance Software, Inc.*			2,237		14,496
Imperva, Inc.*			941		32,756
Interactive Intelligence Group*			2,437		55,856
JDA Software Group, Inc.*			7,158		231,848

	Country Code**	Shares		Value
Kenexa Corp.*			4,454	$	118,922
Magma Design Automation, Inc.*			11,199		80,409
Manhattan Associates, Inc.*			3,454		139,818
Mentor Graphics Corp.*			16,275		220,689
Microstrategy, Inc.*			1,351		146,340
Monotype Imaging Holdings, Inc.*			6,009		93,680
Motricity, Inc.*			6,454		5,809
Netscout Systems, Inc.*			6,310		111,056
Netsuite, Inc.*			4,605		186,733
Opnet Technologies, Inc.			2,461		90,245
Parametric Technology Corp.*			20,183		368,542
Pegasystems, Inc.			2,781		81,761
Progress Software Corp.*			11,346		219,545
PROS Holdings, Inc.*			3,696		54,997
QAD, Inc., Class A*			1,182		12,411
Qlik Technologies, Inc.*			11,911		288,246
Quest Software, Inc.*			9,574		178,076
Realpage, Inc.*			5,120		129,382
Rosetta Stone, Inc.*			2,000		15,260
S1 Corp.*			9,452		90,456
Seachange International, Inc.*			4,386		30,834
Smith Micro Software, Inc.*			5,997		6,777
SolarWinds, Inc.*			9,639		269,410
Sourcefire, Inc.*			4,796		155,295
SRS Labs, Inc.*			1,950		11,213
SS&C Technologies Holdings, Inc.*			4,217		76,159
SuccessFactors, Inc.*			14,111		562,606
Synchronoss Technologies, Inc.*			4,464		134,857
Take-Two Interactive Software, Inc.*			12,434		168,481
Taleo Corp.*			6,939		268,470
Tangoe, Inc.*			1,660		25,564
Telecommunication Systems, Inc.*			8,257		19,404
TeleNav, Inc.*			2,837		22,157
THQ, Inc.*			11,947		9,080
Tivo, Inc.*			20,188		181,086
Tyler Technologies, Inc.*			4,961		149,376

See Notes to Financial Statements.

168

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Ultimate Software Group, Inc.*			4,370	$	284,574
Vasco Data Security International*			4,673		30,468
Verint Systems, Inc.*			3,561		98,070
Virnetx Holding Corp.*			6,883		171,869
Wave Systems Corp.*			13,773		29,887
Websense, Inc.*			6,740		126,240
					8,293,558
SPECIALTY RETAIL – 3.5%
Aeropostale, Inc.*			13,666		208,406
America’s Car-Mart, Inc.*			1,440		56,419
Ann, Inc.*			8,805		218,188
Asbury Automotive Group, Inc.*			4,898		105,601
Ascena Retail Group, Inc.*			10,634		316,042
Barnes & Noble, Inc.*			4,868		70,489
Bebe Stores, Inc.			6,597		54,953
Big 5 Sporting Goods Corp.			3,777		39,432
Body Central Corp.*			1,954		48,772
Brown Shoe Co., Inc.			7,115		63,323
Build-A-Bear Workshop, Inc.*			2,431		20,566
Cabela’s, Inc.*			7,344		186,684
Casual Male Retail Group, Inc.*			7,513		25,694
Charming Shoppes, Inc.*			19,532		95,707
Children’s Place Retail Stores, Inc.*			4,410		234,259
Christopher & Banks Corp.			6,494		15,196
Citi Trends, Inc.*			2,629		23,083
Coldwater Creek, Inc.*			12,926		15,253
Collective Brands, Inc.*			10,399		149,434
Conn’s, Inc.*			2,465		27,362
Cost Plus, Inc.*			3,183		31,034
Destination Maternity Corp.			1,793		29,979

	Country Code**	Shares		Value
Express, Inc.*			9,349	$	186,419
Finish Line, Inc., Class A			8,769		169,110
Francesca’s Holdings Corp.*			1,713		29,635
Genesco, Inc.*			4,010		247,577
GNC Acquisition Holdings, Inc., Class A*			3,851		111,486
Group 1 Automotive, Inc.			3,854		199,637
Haverty Furniture Cos., Inc.			3,206		35,202
hhgregg, Inc.*			2,827		40,850
Hibbett Sports, Inc.*			4,638		209,545
Hot Topic, Inc.			6,933		45,827
Jos A Bank Clothiers, Inc.*			4,674		227,904
Kirkland’s, Inc.*			2,864		38,091
Lithia Motors, Inc.			3,694		80,751
Lumber Liquidators Holdings, Inc.*			3,986		70,393
Marinemax, Inc.*			3,858		25,154
Mattress Firm Holding Corp.*			977		22,657
Monro Muffler Brake, Inc.			5,152		199,846
New York & Co., Inc.*			4,696		12,491
Office Depot, Inc.*			46,787		100,592
OfficeMax, Inc.*			14,833		67,342
Pacific Sunwear of California, Inc.*			7,834		13,396
Penske Automotive Group, Inc.			7,547		145,280
Pier 1 Imports, Inc.*			16,629		231,642
Rental-A-Center, Inc.			9,928		367,336
Rue21, Inc.*			2,570		55,512
Select Comfort Corp.*			9,419		204,298
Shoe Carnival, Inc.*			1,581		40,632
Sonic Automotive, Inc., Class A			6,774		100,323
Stage Stores, Inc.			5,293		73,520
Stein Mart, Inc.*			4,570		31,122
Systemax, Inc.*			1,827		29,981
Talbots, Inc.*			11,723		31,183
Teavana Holdings, Inc.*			1,238		23,250

See Notes to Financial Statements.

169

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
The Buckle, Inc.			4,570	$	186,776
The Cato Corp.			4,666		112,917
The Men’s Wearhouse, Inc.			8,717		282,518
The Pep Boys – Manny, Moe & Jack			8,877		97,647
The Wet Seal, Inc., Class A*			15,425		50,285
Vitamin Shoppe, Inc.*			4,195		167,297
West Marine, Inc.*			2,463		28,645
Winmark Corp.			367		21,055
Zale Corp.*			5,304		20,208
Zumiez, Inc.*			3,581		99,409
					6,570,617
TEXTILES, APPAREL & LUXURY GOODS – 1.5%
Carter’s, Inc.*			8,323		331,339
Cherokee, Inc.			1,459		17,026
Columbia Sportswear Co.			2,041		95,009
Crocs, Inc.*			15,341		226,587
Delta Apparel, Inc.*			1,146		21,877
G-III Apparel Group Ltd.*			2,838		70,695
Iconix Brand Group, Inc.*			12,330		200,856
K-Swiss, Inc., Class A*			4,804		14,028
Kenneth Cole Productions, Inc., Class A*			1,155		12,231
Liz Claiborne, Inc.*			15,960		137,735
Maidenform Brands, Inc.*			4,026		73,676
Movado Group, Inc.			2,986		54,256
Oxford Industries, Inc.			2,153		97,143
Perry Ellis International, Inc.*			1,995		28,369
Quiksilver, Inc.*			21,750		78,517
R.G. Barry Corp.			1,456		17,588
Skechers U.S.A., Inc., Class A*			6,433		77,968
Steven Madden Ltd.*			6,398		220,731
The Jones Group, Inc.			13,713		144,672
The Warnaco Group, Inc.*			6,835		342,023

	Country Code**		Shares		Value
True Religion Apparel, Inc.*				4,354	$	150,561
Unifi, Inc.*				2,246		17,070
Vera Bradley, Inc.*				3,329		107,360
Wolverine World Wide, Inc.				8,406		299,590
						2,836,907
THRIFT & MORTGAGE FINANCE – 1.2%
Apollo Residential Mortgage, Inc.				1,771		27,025
Astoria Financial Corp.				14,825		125,864
Bank Mutual Corp.				8,063		25,640
BankFinancial Corp.				3,761		20,761
Beneficial Mutual Bancorp, Inc.*				5,496		45,947
Berkshire Hills Bancorp, Inc.				3,563		79,063
BofI Holding, Inc.*				1,622		26,358
Brookline Bancorp, Inc.				10,065		84,949
Cape Bancorp, Inc.*				1,945		15,268
Charter Financial Corp.				1,253		11,603
Clifton Savings Bancorp, Inc.				1,519		14,096
Dime Community Bancshares				5,226		65,848
Doral Financial Corp.*		PR		22,262		21,282
ESB Financial Corp.				2,185		30,743
ESSA Bancorp, Inc.				1,850		19,370
Federal Agricultural Mortgage Corp., Class C				1,729		31,157
First Defiance Financial Corp.				1,681		24,526
First Financial Holdings, Inc.				2,824		25,218
First PacTrust Bancorp, Inc.				1,848		18,942
Flagstar Bancorp, Inc.*				34,578		17,462
Flushing Financial Corp.				5,402		68,227
Fox Chase Bancorp.				2,301		29,062
Franklin Financial Corp.*				2,399		28,404

See Notes to Financial Statements.

170

SC ^SM BLACKROCK SMALL CAP INDEX FUND

PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Home Federal Bancorp, Inc.			2,916	$	30,326
Kearny Financial Corp.			2,289		21,746
Meridian Interstate Bancorp, Inc.*			1,506		18,750
MGIC Investment Corp.*			31,669		118,125
Northfield Bancorp, Inc.			2,942		41,659
Northwest Bancshares, Inc.			16,444		204,563
Oceanfirst Financial Corp.			2,494		32,597
Ocwen Financial Corp.*			16,312		236,198
Oritani Financial Corp.			7,818		99,836
Provident Financial Services			10,229		136,966
Provident New York Bancorp			6,647		44,136
Radian Group, Inc.			22,968		53,745
Rockville Financial, Inc.			4,886		50,619
Roma Financial Corp.			1,395		13,727
Territorial Bancorp, Inc.			1,890		37,327
TrustCo Bank Corp. NY			16,080		90,209
United Financial Bancorp, Inc.			2,737		44,038
Viewpoint Financial Group			5,807		75,549
Walker & Dunlop, Inc.*			1,896		23,814
Westfield Financial, Inc.			4,443		32,700
WSFS Financial Corp.			1,113		40,023
					2,303,468
TOBACCO – 0.2%
Alliance One International, Inc.*			15,008		40,822
Star Scientific, Inc.*			18,275		39,839

	Country Code**		Shares		Value
Universal Corp.				3,905	$	179,474
Vector Group Ltd.				8,154		144,815
						404,950
TRADING COMPANIES & DISTRIBUTORS – 1.2%
Aceto Corp.				4,565		31,499
Aircastle Ltd.		BM		9,260		117,787
Applied Industrial Technologies, Inc.				7,183		252,626
Beacon Roofing Supply, Inc.*				7,771		157,207
Cai International, Inc.*				2,024		31,291
DXP Enterprises, Inc.*				1,461		47,044
Essex Rental Corp.*				3,128		9,228
H & E Equipment Services, Inc.*				4,933		66,201
Houston Wire & Cable Co.				2,939		40,617
Interline Brands, Inc.*				5,602		87,223
Kaman Corp.				4,439		121,273
Lawson Products, Inc.				592		9,135
RSC Holdings, Inc.*				11,455		211,918
Rush Enterprises, Inc.*				5,460		114,223
SeaCube Container Leasing Ltd.		BM		1,907		28,243
TAL International Group, Inc.				3,712		106,868
Textainer Group Holdings Ltd.		BM		1,894		55,153
Titan Machinery, Inc.*				2,646		57,498
United Rentals, Inc.*				10,579		312,609
Watsco, Inc.				4,744		311,491
						2,169,134
TRANSPORTATION INFRASTRUCTURE – 0.0%+
Wesco Aircraft Holdings, Inc.*				3,488		48,797
WATER UTILITIES – 0.3%
American States Water Co.				3,166		110,493
Artesian Resources Corp.				1,235		23,255

See Notes to Financial Statements.

171

SC SM BLACKROCK SMALL CAP INDEX FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

	Country Code**		Shares		Value
Cadiz, Inc.*				2,002	$	19,279
California Water Service Group				7,123		130,066
Connecticut Water Service, Inc.				1,424		38,633
Consolidated Water Co., Ltd.		KY		2,582		22,154
Middlesex Water Co.				2,733		50,998
Pennichuck Corp.				727		20,959
SJW Corp.				2,389		56,476
York Water Co.				2,162		38,138
						510,451
WIRELESS TELECOMMUNICATION SERVICES – 0.1%
Leap Wireless International, Inc.*				10,475		97,313
NTELOS Holdings Corp.				2,500		50,950
Shenandoah Telecommunications Co.				4,093		42,894
USA Mobility, Inc.				3,861		53,552
						244,709
Total Common Stocks (Cost $189,988,900)						186,932,404
WARRANTS – 0.0% +
OIL, GAS & CONSUMABLE FUELS – 0.0% +
Magnum Hunter Resources Corp., expires 10/14/13* (Cost $0)				1,905		—

	Country Code**	Shares		Value
SHORT TERM INVESTMENTS – 0.7%
MUTUAL FUNDS – 0.7%
State Street Institutional Treasury Plus Money Market Fund, 0.00% (Cost $1,388,718)			1,388,718	$	1,388,718
TOTAL INVESTMENTS – 99.8%
(Cost $191,377,618)					188,321,122
Other assets less liabilities – 0.2%					376,179
NET ASSETS – 100.0%				$	188,697,301

REIT	Real Estate Investment Trust
AN	Netherlands Antilles
BM	Bermuda
BS	Bahamas
CA	Canada
IE	Ireland
KY	Cayman Islands
LR	Liberia
LU	Luxembourg
MH	Marshall Islands
NL	Netherlands
PA	Panama
PR	Puerto Rico

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

+ Amount is less than 0.05%.

(1) Eligible for resale under rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of this security amounted to $0, representing less than 0.05% of net assets.

See Notes to Financial Statements.

172

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December 31, 2011	Sun Capital Advisers Trust

(2) At the period end, cash of $230,000 has been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts		Unrealized Appreciation ($)
Long	Russell 2000 Mini Index March Futures	3/16/12		25		33,904

(3) Fair Value Measurements

All investments and financial derivative instruments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

173

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 98.2%
AEROSPACE & DEFENSE – 1.5%
Alliant Techsystems, Inc.				12,125	$	693,065
BE Aerospace, Inc.*				23,688		916,962
Esterline Technologies Corp.*				4,073		227,966
L-3 Communications Holdings, Inc.				21,195		1,413,283
Textron, Inc.				14,249		263,464
						3,514,740
AIR FREIGHT & LOGISTICS – 0.2%
UTI Worldwide, Inc.		VG		33,849		449,853
AIRLINES – 0.1%
Alaska Air Group, Inc.*				2,755		206,873
AUTO COMPONENTS – 0.2%
Autoliv, Inc.				5,711		305,482
Federal-Mogul Corp.*				10,371		152,972
						458,454
AUTOMOBILES – 0.1%
Thor Industries, Inc.				11,322		310,562
BIOTECHNOLOGY – 0.2%
United Therapeutics Corp.*				8,681		410,177
BUILDING PRODUCTS – 0.5%
Armstrong World Industries, Inc.*				13,208		579,435
Fortune Brands Home & Security, Inc.*				38,658		658,346
						1,237,781
CAPITAL MARKETS – 2.0%
American Capital Ltd.*				21,746		146,351
Ameriprise Financial, Inc.				16,895		838,668
Ares Capital Corp.				27,745		428,660
Federated Investors, Inc., Class B				32,263		488,784
Legg Mason, Inc.				10,995		264,430
Raymond James Financial, Inc.				22,946		710,408
SEI Investments Co.				47,785		829,070
T. Rowe Price Group, Inc.				18,149		1,033,585

	Country Code**		Shares		Value
Waddell & Reed Financial, Inc., Class A				3,061	$	75,821
						4,815,777
CHEMICALS – 1.2%
Airgas, Inc.				8,673		677,188
Ashland, Inc.				5,441		311,008
Cabot Corp.				21,854		702,387
CF Industries Holdings, Inc.				5,870		851,033
Huntsman Corp.				23,546		235,460
						2,777,076
COMMERCIAL BANKS – 4.9%
Bank of Hawaii Corp.				7,055		313,877
CIT Group, Inc.*				9,500		331,265
City National Corp.				12,768		564,090
Comerica, Inc.				34,719		895,750
Cullen/Frost Bankers, Inc.				1,566		82,857
East West Bancorp, Inc.				24,516		484,191
Fifth Third Bancorp				17,780		226,162
First Republic Bank*				8,968		274,510
FirstMerit Corp.				31,740		480,226
Fulton Financial Corp.				130,578		1,280,970
KeyCorp				110,979		853,429
M&T Bank Corp.				29,072		2,219,357
Popular, Inc.*		PR		305,621		424,813
Prosperity Bancshares, Inc.				12,221		493,117
SunTrust Banks, Inc.				71,770		1,270,329
SVB Financial Group*				17,074		814,259
TCF Financial Corp.				69,356		715,754
						11,724,956
COMMERCIAL SERVICES & SUPPLIES – 0.9%
Cintas Corp.				15,645		544,602
Copart, Inc.*				13,649		653,651
R.R. Donnelley & Sons Co.				58,225		840,187
						2,038,440
COMMUNICATIONS EQUIPMENT – 0.7%
EchoStar Corp., Class A*				15,523		325,052
Motorola Mobility Holdings, Inc.*				15,142		587,510

See Notes to Financial Statements.

174

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Riverbed Technology, Inc.*				12,832	$	301,552
Tellabs, Inc.				116,784		471,807
						1,685,921
COMPUTERS & PERIPHERALS – 2.0%
Diebold, Inc.				14,118		424,528
Lexmark International, Inc., Class A				19,711		651,843
QLogic Corp.*				24,897		373,455
Seagate Technology PLC		IE		9,203		150,929
Western Digital Corp.*				98,390		3,045,171
						4,645,926
CONSTRUCTION & ENGINEERING – 0.3%
Fluor Corp.				2,245		112,811
URS Corp.*				18,472		648,737
						761,548
CONSUMER FINANCE – 0.5%
Discover Financial Services				45,018		1,080,432
Green Dot Corp., Class A*				3,782		118,074
						1,198,506
CONTAINERS & PACKAGING – 0.6%
Packaging Corp. of America				4,790		120,899
Rock-Tenn Co., Class A				8,737		504,125
Sealed Air Corp.				21,508		370,153
Sonoco Products Co.				10,603		349,475
						1,344,652
DISTRIBUTORS – 0.2%
Genuine Parts Co.				6,859		419,771
DIVERSIFIED CONSUMER SERVICES – 0.3%
Apollo Group, Inc., Class A*				1,622		87,377
Regis Corp.				13,283		219,834
Weight Watchers International, Inc.				6,613		363,781
						670,992
DIVERSIFIED FINANCIAL SERVICES – 0.4%
CBOE Holdings, Inc.				5,826		150,660

	Country Code**	Shares		Value
Leucadia National Corp.			27,592	$	627,442
Moody’s Corp.			6,830		230,035
					1,008,137
ELECTRIC UTILITIES – 4.3%
Cleco Corp.			8,167		311,163
Entergy Corp.			41,219		3,011,048
Great Plains Energy, Inc.			29,891		651,026
ITC Holdings Corp.			2,702		205,028
Northeast Utilities			29,836		1,076,184
NV Energy, Inc.			5,227		85,461
Pepco Holdings, Inc.			69,860		1,418,158
Pinnacle West Capital Corp.			49,376		2,378,936
PNM Resources, Inc.			35,483		646,855
Progress Energy, Inc.			2,845		159,377
Westar Energy, Inc.			5,601		161,197
					10,104,433
ELECTRICAL EQUIPMENT – 0.7%
General Cable Corp.*			14,738		368,598
Rockwell Automation, Inc.			16,060		1,178,322
Thomas & Betts Corp.*			4,225		230,685
					1,777,605
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 1.5%
Arrow Electronics, Inc.*			10,677		399,426
Ingram Micro, Inc., Class A*			78,835		1,434,009
National Instruments Corp.			11,790		305,950
Vishay Intertechnology, Inc.*			169,825		1,526,727
					3,666,112
ENERGY EQUIPMENT & SERVICES – 0.8%
Exterran Holdings, Inc.*			86,621		788,251
Helix Energy Solutions Group, Inc.*			9,764		154,271

See Notes to Financial Statements.

175

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
SEACOR Holdings, Inc.*				10,082	$	896,895
						1,839,417
FOOD & STAPLES RETAILING – 0.3%
SUPERVALU, Inc.				78,179		634,814
FOOD PRODUCTS – 3.8%
Bunge Ltd.		BM		5,372		307,278
Dean Foods Co.*				42,283		473,570
Flowers Foods, Inc.				6,018		114,222
Hormel Foods Corp.				84,388		2,471,724
Lancaster Colony Corp.				18,786		1,302,621
Smithfield Foods, Inc.*				28,728		697,516
Tyson Foods, Inc., Class A				181,344		3,742,940
						9,109,871
GAS UTILITIES – 0.5%
Atmos Energy Corp.				21,403		713,790
UGI Corp.				11,127		327,134
WGL Holdings, Inc.				1,985		87,777
						1,128,701
HEALTH CARE EQUIPMENT & SUPPLIES – 1.1%
Boston Scientific Corp.*				218,085		1,164,574
Dentsply International, Inc.				9,942		347,870
Hill-Rom Holdings, Inc.				33,013		1,112,208
						2,624,652
HEALTH CARE PROVIDERS & SERVICES – 4.3%
Community Health Systems, Inc.*				7,956		138,832
Coventry Health Care, Inc.*				76,934		2,336,486
Health Net, Inc.*				53,384		1,623,941
Humana, Inc.				52,210		4,574,118
WellCare Health Plans, Inc.*				27,942		1,466,955
						10,140,332
HOTELS, RESTAURANTS & LEISURE – 0.3%
Choice Hotels International, Inc.				4,312		164,072

	Country Code**		Shares		Value
Life Time Fitness, Inc.*				3,347	$	156,472
Marriott Vacations Worldwide Corp.*				7,231		124,084
Royal Caribbean Cruises Ltd.		LR		3,845		95,241
The Wendy’s Co.				26,735		143,300
Wynn Resorts Ltd.				844		93,253
						776,422
HOUSEHOLD DURABLES – 2.3%
Harman International Industries, Inc.				20,359		774,456
Leggett & Platt, Inc.				9,936		228,926
Mohawk Industries, Inc.*				48,643		2,911,284
Tempur-Pedic International, Inc.*				31,808		1,670,874
						5,585,540
HOUSEHOLD PRODUCTS – 0.2%
Clorox Co.				8,387		558,239
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS – 0.3%
Constellation Energy Group				4,584		181,847
NRG Energy, Inc.*				32,489		588,701
						770,548
INSURANCE – 9.7%
Allied World Assurance Co. Holdings Ltd.		CH		33,762		2,124,643
American Financial Group, Inc.				40,821		1,505,887
American National Insurance				2,361		172,424
Aspen Insurance Holdings Ltd.		BM		72,408		1,918,812
Assurant, Inc.				18,800		771,928
Cincinnati Financial Corp.				3,212		97,838
CNA Financial Corp.				31,051		830,614
Everest Re Group Ltd.		BM		25,924		2,179,949
First American Financial Corp.				10,732		135,974
Hanover Insurance Group, Inc.				5,168		180,622
Lincoln National Corp.				49,545		962,164
Mercury General Corp.				17,092		779,737

See Notes to Financial Statements.

176

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
PartnerRe Ltd.		BM		11,054	$	709,777
Protective Life Corp.				5,100		115,056
Reinsurance Group of America, Inc.				11,723		612,527
StanCorp Financial Group, Inc.				4,278		157,216
The Progressive Corp. (1)				49,522		966,174
Unum Group (1)				145,731		3,070,552
Validus Holdings Ltd.		BM		7,834		246,771
W.R. Berkley Corp.				80,019		2,751,853
White Mountains Insurance Group Ltd.		BM		3,915		1,775,296
XL Group PLC		IE		44,588		881,505
						22,947,319
INTERNET SOFTWARE & SERVICES – 0.0%+
VeriSign, Inc.				2,540		90,729
IT SERVICES – 1.5%
Acxiom Corp.*				22,281		272,051
Amdocs Ltd.*		GG		47,578		1,357,401
Computer Sciences Corp.				24,973		591,860
Convergys Corp.*				16,512		210,858
Fidelity National Information Services, Inc.				26,593		707,108
Mantech International Corp., Class A				5,771		180,286
SAIC, Inc.*				15,825		194,489
						3,514,053
LEISURE EQUIPMENT & PRODUCTS – 0.1%
Polaris Industries, Inc.				4,084		228,622
LIFE SCIENCES TOOLS & SERVICES – 0.0%+
Covance, Inc.*				2,280		104,242
MACHINERY – 2.2%
AGCO Corp.*				19,892		854,759
Dover Corp.				6,867		398,629
Graco, Inc.				4,895		200,157
Harsco Corp.				15,485		318,681
Ingersoll-Rand PLC		IE		10,278		313,171
ITT Corp.				11,468		221,676
Lincoln Electric Holdings, Inc.				6,334		247,786
Parker Hannifin Corp.				14,623		1,115,004
The Timken Co.				22,763		881,156

	Country Code**	Shares		Value
Trinity Industries, Inc.			16,999	$	510,990
Wabtec Corp.			1,053		73,657
					5,135,666
MEDIA – 1.7%
Clear Channel Outdoor Holdings, Inc., Class A*			12,827		160,979
DISH Network Corp., Class A			125,893		3,585,432
Regal Entertainment Group, Class A			33,502		400,014
					4,146,425
METALS & MINING – 0.7%
Reliance Steel & Aluminum Co.			34,512		1,680,389
MULTI-LINE RETAIL – 2.5%
99 Cents Only Stores*			34,662		760,831
Big Lots, Inc.*			31,638		1,194,651
Dollar Tree, Inc.*			17,264		1,434,811
Family Dollar Stores, Inc.			29,824		1,719,652
Saks, Inc.*			74,122		722,689
					5,832,634
MULTI-UTILITIES – 8.9%
Ameren Corp.			107,905		3,574,893
Consolidated Edison, Inc.			9,553		592,572
DTE Energy Co.			27,308		1,486,921
Integrys Energy Group, Inc.			77,469		4,197,270
MDU Resources Group, Inc.			80,631		1,730,341
NiSource, Inc.			196,457		4,677,641
NSTAR			1,969		92,464
Sempra Energy			63,825		3,510,375
TECO Energy, Inc.			62,976		1,205,361
Vectren Corp.			2,816		85,128
					21,152,966
OIL, GAS & CONSUMABLE FUELS – 6.1%
Cimarex Energy Co.			21,507		1,331,284
Energen Corp.			13,642		682,100
Forest Oil Corp.*			10,380		140,649
HollyFrontier Corp.			24,630		576,342
Murphy Oil Corp.			9,888		551,157
Newfield Exploration Co.*			2,063		77,837

See Notes to Financial Statements.

177

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
QEP Resources, Inc.				12,817	$	375,538
Tesoro Corp.*				178,548		4,170,881
Ultra Petroleum Corp.*		CA		2,857		84,653
Valero Energy Corp.				311,485		6,556,759
						14,547,200
PAPER & FOREST PRODUCTS – 0.9%
Domtar Corp.				15,217		1,216,751
International Paper Co.				2,739		81,074
MeadWestvaco Corp.				31,750		950,913
						2,248,738
PHARMACEUTICALS – 0.8%
Forest Laboratories, Inc.*				58,993		1,785,128
PROFESSIONAL SERVICES – 0.7%
Manpower, Inc.				44,076		1,575,717
REAL ESTATE INVESTMENT TRUSTS – 11.8%
Alexandria Real Estate Equities, Inc.				1,095		75,522
AvalonBay Communities, Inc.				39,740		5,190,044
Boston Properties, Inc.				7,620		758,952
BRE Properties, Inc.				8,991		453,866
Equity Residential				1,952		111,323
Federal Realty Investment Trust				21,802		1,978,532
HCP, Inc.				24,937		1,033,140
Liberty Property Trust				29,755		918,834
Mack-Cali Realty Corp.				12,607		336,481
Piedmont Office Realty Trust, Inc., Class A				5,808		98,968
Plum Creek Timber Co., Inc.				56,756		2,074,999
Potlatch Corp.				21,028		654,181
ProLogis, Inc.				97,955		2,800,533
Rayonier, Inc.				139,754		6,237,221
Realty Income Corp.				41,368		1,446,225
Regency Centers Corp.				31,088		1,169,531
Senior Housing Properties Trust				63,598		1,427,139
Taubman Centers, Inc.				3,602		223,684
UDR, Inc.				3,150		79,065
Vornado Realty Trust				10,080		774,749
Weyerhaeuser Co.				9,470		176,805
						28,019,794

	Country Code**		Shares		Value
ROAD & RAIL – 0.7%
Con-Way, Inc.				3,083	$	89,900
Kansas City Southern*				1,804		122,690
Ryder System, Inc.				3,813		202,623
Werner Enterprises, Inc.				52,471		1,264,551
						1,679,764
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 0.8%
Fairchild Semiconductor International, Inc.*				22,021		265,133
Integrated Device Technology, Inc.*				146,025		797,296
LSI Corp.*				98,115		583,784
Marvell Technology Group Ltd.*		BM		12,870		178,250
Micron Technology, Inc.*				29,227		183,838
						2,008,301
SOFTWARE – 1.8%
Activision Blizzard, Inc.				70,296		866,047
BMC Software, Inc.*				2,734		89,620
Fortinet, Inc.*				27,401		597,616
Informatica Corp.*				3,161		116,736
Mentor Graphics Corp.*				39,143		530,779
Quest Software, Inc.*				63,711		1,185,025
Synopsys, Inc.*				34,232		931,110
						4,316,933
SPECIALTY RETAIL – 2.3%
AutoNation, Inc.*				20,932		771,763
Barnes & Noble, Inc.*				32,679		473,192
Best Buy Co., Inc.				63,395		1,481,541
Dick’s Sporting Goods, Inc.				27,432		1,011,692
Foot Locker, Inc.				39,169		933,789
Limited Brands, Inc.				5,721		230,842
Signet Jewelers Ltd.		BM		5,855		257,386
Ulta Salon Cosmetics & Fragrance, Inc.*				3,141		203,914
						5,364,119
TEXTILES, APPAREL & LUXURY GOODS – 0.4%
Fossil, Inc.*				9,622		763,602

See Notes to Financial Statements.

178

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December 31, 2011	Sun Capital Advisers Trust

	Country Code**	Shares		Value
Under Armour, Inc., Class A*			1,203	$	86,363
					849,965
THRIFT & MORTGAGE FINANCE – 1.0%
Hudson City Bancorp, Inc.			149,365		933,531
New York Community Bancorp, Inc.			82,979		1,026,450
Washington Federal, Inc.			37,218		520,680
					2,480,661
TOBACCO – 4.6%
Lorillard, Inc.			95,606		10,899,084
TRADING COMPANIES & DISTRIBUTORS – 1.2%
MSC Industrial Direct Co., Inc., Class A			7,141		510,939
Watsco, Inc.			26,296		1,726,595
WESCO International, Inc.*			12,390		656,794
					2,894,328
WIRELESS TELECOMMUNICATION SERVICES – 0.6%
Telephone & Data Systems, Inc.			21,350		552,751
US Cellular Corp.*			17,844		778,534
					1,331,285
Total Common Stocks (Cost $200,577,278)					233,230,890

	Country Code**	Shares		Value
SHORT TERM INVESTMENTS – 1.3%
MUTUAL FUNDS – 1.3%
State Street Institutional Liquid Reserves Fund, 0.17% (Cost $3,145,993)			3,145,993	$	3,145,993
TOTAL INVESTMENTS – 99.5%
(Cost $203,723,271)					236,376,883
Other assets less liabilities – 0.5%					1,145,200
NET ASSETS – 100.0%				$	237,522,083

BM	Bermuda
CA	Canada
CH	Switzerland
GG	Guernsey
IE	Ireland
LR	Liberia
PR	Puerto Rico
VG	British Virgin Islands

+ Amount is less than 0.05%.

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) At the period end, securities (or portions thereof) with an aggregate market value of $1,107,593 have been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date		Contracts		Unrealized Appreciation ($)
Long	S&P MidCap 400 E-Mini Index March Futures		3/16/12		65		42,760

(2) Fair Value Measurements

All investments and financial derivative instruments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
COMMON STOCKS – 99.5%
AEROSPACE & DEFENSE – 1.4%
AAR Corp.			8,840	$	169,463
Ceradyne, Inc.*			10,490		280,922
Curtiss-Wright Corp.			9,610		339,521
					789,906
BUILDING PRODUCTS – 0.4%
Universal Forest Products, Inc.			6,370		196,642
CAPITAL MARKETS – 2.1%
GFI Group, Inc.			47,420		195,370
Greenhill & Co., Inc.			567		20,622
INTL FCStone, Inc.*			12,459		293,659
Investment Technology Group, Inc.*			17,399		188,083
Knight Capital Group, Inc.*			28,700		339,234
Medallion Financial Corp.			13,359		152,025
					1,188,993
CHEMICALS – 3.4%
Cabot Corp.			4,410		141,737
Chemtura Corp.*			17,350		196,749
Cytec Industries, Inc.			4,220		188,423
Ferro Corp.*			36,920		180,539
H.B. Fuller Co.			16,850		389,403
Minerals Technologies, Inc.			5,520		312,046
OM Group, Inc.*			21,062		471,578
					1,880,475
COMMERCIAL BANKS – 9.1%
Ameris Bancorp*			22,323		229,480
Bancfirst Corp.			5,970		224,114
BancTrust Financial Group, Inc.*			7,403		9,180
BOK Financial Corp.			2,520		138,424
Bryn Mawr Bank Corp.			11,876		231,463
Chemical Financial Corp.			13,840		295,069
Columbia Banking System, Inc.			16,480		317,570
Community Trust Bancorp, Inc.			9,500		279,490
First Citizens BancShares, Inc.			1,578		276,134

	Country Code**		Shares		Value
First Commonwealth Financial Corp.				59,600	$	313,496
First Financial Corp.				10,592		352,502
First National Bank Alaska				100		154,000
FirstMerit Corp.				27,040		409,115
Glacier Bancorp, Inc.				20,880		251,186
Hancock Holding Co.				13,820		441,825
Investors Bancorp, Inc.*				15,940		214,871
Merchants Bancshares, Inc.				8,644		252,405
Northrim Bancorp, Inc.				10,958		191,875
West Coast Bancorp*				10,960		170,976
Wintrust Financial Corp.				11,549		323,949
						5,077,124
COMMERCIAL SERVICES & SUPPLIES – 2.3%
ABM Industries, Inc.				11,090		228,676
Consolidated Graphics, Inc.*				4,519		218,177
Ennis, Inc.				10,430		139,032
G&K Services, Inc.				4,915		143,076
UniFirst Corp.				4,650		263,841
United Stationers, Inc.				8,700		283,272
						1,276,074
COMMUNICATIONS EQUIPMENT – 1.3%
Anaren, Inc.*				9,178		152,538
Bel Fuse, Inc., Class B				6,130		114,937
Black Box Corp.				6,100		171,044
Symmetricom, Inc.*				26,440		142,512
Tellabs, Inc.				42,250		170,690
						751,721
COMPUTERS & PERIPHERALS – 0.3%
QLogic Corp.*				11,830		177,450
CONSTRUCTION & ENGINEERING – 2.5%
Comfort Systems USA, Inc.				14,848		159,170
Dycom Industries, Inc.*				16,350		342,042
EMCOR Group, Inc.				13,260		355,501
Great Lakes Dredge & Dock Co.				2,285		12,705
KHD Humboldt Wedag International AG*		DE		12,389		80,172
Layne Christensen Co.*				7,250		175,450

See Notes to Financial Statements.

180

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
Pike Electric Corp.*			18,967	$	136,373
Sterling Construction Co., Inc.*			11,398		122,756
					1,384,169
CONSUMER FINANCE – 0.6%
Cash America International, Inc.			7,370		343,663
CONTAINERS & PACKAGING – 1.5%
Greif, Inc., Class A			10,427		474,950
Greif, Inc., Class B			3,368		151,728
Packaging Corp. of America			7,760		195,863
					822,541
DIVERSIFIED CONSUMER SERVICES – 0.6%
Lincoln Educational Services Corp.			15,561		122,932
Regis Corp.			14,340		237,327
					360,259
DIVERSIFIED FINANCIAL SERVICES – 0.2%
Pico Holdings, Inc.*			4,684		96,397
DIVERSIFIED TELECOMMUNICATION SERVICES – 1.2%
Cbeyond, Inc.*			23,066		184,759
Lumos Networks Corp.			7,080		108,607
Neutral Tandem, Inc.*			17,960		191,992
Warwick Valley Telephone Co.			11,918		157,199
					642,557
ELECTRIC UTILITIES – 2.0%
ALLETE, Inc.			9,090		381,598
IDACORP, Inc.			9,280		393,565
MGE Energy, Inc.			7,130		333,470
					1,108,633
ELECTRICAL EQUIPMENT – 1.7%
Belden, Inc.			7,070		235,290
Brady Corp., Class A			9,290		293,285
GrafTech International Ltd.*			18,850		257,302
Powell Industries, Inc.*			5,195		162,500
					948,377

	Country Code**		Shares		Value
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 2.6%
Anixter International, Inc.*				5,099	$	304,105
Benchmark Electronics, Inc.*				17,450		235,052
Electro Scientific Industries, Inc.*				11,190		162,031
Littelfuse, Inc.				5,750		247,135
Methode Electronics, Inc.				13,180		109,262
MTS Systems Corp.				5,216		212,552
Nam Tai Electronics, Inc.		VG		37,817		200,808
						1,470,945
ENERGY EQUIPMENT & SERVICES – 2.1%
Gulf Island Fabrication, Inc.				9,180		268,148
Matrix Service Co.*				17,550		165,672
RPC, Inc.				1,690		30,843
TETRA Technologies, Inc.*				16,810		157,005
TGC Industries, Inc.*				23,741		169,511
Tidewater, Inc.				4,800		236,640
Union Drilling, Inc.*				24,613		153,585
						1,181,404
FOOD & STAPLES RETAILING – 1.6%
Ruddick Corp.				7,230		308,287
Spartan Stores, Inc.				12,890		238,465
The Andersons, Inc.				7,410		323,521
						870,273
FOOD PRODUCTS – 1.0%
Chiquita Brands International, Inc.*				24,320		202,829
Darling International, Inc.*				1,720		22,859
Fresh Del Monte Produce, Inc.		KY		13,170		329,381
						555,069
GAS UTILITIES – 1.2%
Southwest Gas Corp.				9,606		408,159
The Laclede Group, Inc.				7,120		288,146
						696,305

See Notes to Financial Statements.

181

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
HEALTH CARE EQUIPMENT & SUPPLIES – 2.9%
Analogic Corp.				3,350	$	192,022
Angiodynamics, Inc.*				12,753		188,872
Cantel Medical Corp.				9,566		267,178
ICU Medical, Inc.*				5,275		237,375
Kensey Nash Corp.*				7,020		134,714
Medical Action Industries, Inc.*				20,255		105,934
Orthofix International NV*		AN		4,759		167,659
Quidel Corp.*				11,415		172,709
Symmetry Medical, Inc.*				18,343		146,561
						1,613,024
HEALTH CARE PROVIDERS & SERVICES – 3.7%
AmSurg Corp.*				11,360		295,814
Centene Corp.*				8,770		347,204
Lincare Holdings, Inc.				7,820		201,052
Magellan Health Services, Inc.*				6,300		311,661
Medcath Corp.*				18,900		137,781
Molina Healthcare, Inc.*				10,250		228,883
Owens & Minor, Inc.				7,910		219,819
Triple-S Management Corp., Class B*		PR		8,330		166,767
U.S. Physical Therapy, Inc.				8,062		158,660
						2,067,641
HOTELS, RESTAURANTS & LEISURE – 1.5%
Benihana, Inc.*				16,961		173,511
Bob Evans Farms, Inc.				9,340		313,264
P.F. Chang’s China Bistro, Inc.				6,360		196,588
Red Robin Gourmet Burgers, Inc.*				6,049		167,557
						850,920
HOUSEHOLD DURABLES – 0.9%
American Greetings Corp.				14,650		183,272
Cavco Industries, Inc.*				4,335		173,660
CSS Industries, Inc.				8,162		162,587
						519,519
INSURANCE – 7.9%
Allied World Assurance Co. Holdings Ltd.		CH		4,080		256,754
American Safety Insurance Holdings Ltd.*		BM		12,310		267,742

	Country Code**		Shares		Value
Argo Group International Holdings, Inc.		BM		10,750	$	311,320
Baldwin & Lyons, Inc., Class B				9,485		206,773
eHealth, Inc.*				18,658		274,273
EMC Insurance Group, Inc.				10,650		219,071
Endurance Specialty Holdings Ltd.		BM		5,960		227,970
FBL Financial Group, Inc.				8,320		283,046
Global Indemnity PLC*		IE		16,287		322,971
Hanover Insurance Group, Inc.				7,211		252,024
Horace Mann Educators Corp.				17,750		243,353
National Western Life Insurance Co.				1,086		147,870
Navigators Group, Inc.*				5,930		282,742
Old Republic International Corp.				14,480		134,230
Safety Insurance Group, Inc.				7,350		297,528
Stewart Information Services Corp.				13,192		152,368
Symetra Financial Corp.				22,045		199,948
United Fire & Casualty Co.				17,260		348,307
						4,428,290
INTERNET SOFTWARE & SERVICES – 1.4%
InfoSpace, Inc.*				20,271		222,778
j2 Global, Inc.				6,686		188,144
United Online, Inc.				31,090		169,130
ValueClick, Inc.*				11,970		194,991
						775,043
IT SERVICES – 3.0%
Acxiom Corp.*				21,130		257,997
CACI International, Inc., Class A*				6,090		340,553
Convergys Corp.*				24,053		307,157
CSG Systems International, Inc.*				11,040		162,398
Global Cash Access Holdings, Inc.*				40,377		179,678

See Notes to Financial Statements.

182

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
MoneyGram International, Inc.*				13,139	$	233,217
Teletech Holdings, Inc.*				10,840		175,608
						1,656,608
MACHINERY – 4.5%
Astec Industries, Inc.*				6,750		217,417
Briggs & Stratton Corp.				13,967		216,349
CIRCOR International, Inc.				6,200		218,922
EnPro Industries, Inc.*				7,760		255,925
FreightCar America, Inc.*				6,990		146,440
Harsco Corp.				6,990		143,854
ITT Corp.				2,320		44,846
Kadant, Inc.*				11,032		249,434
LB Foster Co.				7,420		209,912
Mueller Industries, Inc.				9,010		346,164
Robbins & Myers, Inc.				9,065		440,106
						2,489,369
MARINE – 0.2%
Diana Shipping, Inc.*		MH		17,690		132,321
METALS & MINING – 1.3%
Olympic Steel, Inc.				8,895		207,431
Thompson Creek Metals Co., Inc.*		CA		35,680		248,333
Worthington Industries, Inc.				16,320		267,322
						723,086
MULTI-UTILITIES – 0.4%
CH Energy Group, Inc.				3,520		205,498
OIL, GAS & CONSUMABLE FUELS – 2.7%
Bill Barrett Corp.*				7,890		268,812
Cloud Peak Energy, Inc.*				13,610		262,945
Forest Oil Corp.*				12,410		168,156
James River Coal Co.*				16,070		111,204
Stone Energy Corp.*				8,025		211,700
Swift Energy Co.*				9,900		294,228
VAALCO Energy, Inc.*				33,825		204,303
						1,521,348

	Country Code**	Shares		Value
PAPER & FOREST PRODUCTS – 0.4%
Wausau Paper Corp.			29,113	$	240,473
PHARMACEUTICALS – 2.0%
Impax Laboratories, Inc.*			12,200		246,074
Medicis Pharmaceutical Corp., Class A			7,110		236,408
Par Pharmaceutical Cos., Inc.*			7,940		259,876
ViroPharma, Inc.*			14,490		396,881
					1,139,239
PROFESSIONAL SERVICES – 1.0%
FTI Consulting, Inc.*			7,880		334,270
Korn/Ferry International*			11,650		198,749
					533,019
REAL ESTATE INVESTMENT TRUSTS – 5.9%
Chesapeake Lodging Trust			21,126		326,608
Corporate Office Properties Trust			9,408		200,014
Cousins Properties, Inc.			44,113		282,764
DiamondRock Hospitality Co.			42,540		410,086
Franklin Street Properties Corp.			13,349		132,823
Getty Realty Corp.			6,103		85,137
National Health Investors, Inc.			5,080		223,418
Potlatch Corp.			10,670		331,944
Starwood Property Trust, Inc.			22,793		421,898
Sunstone Hotel Investors, Inc.*			50,040		407,826
Terreno Realty Corp.			17,045		258,061
Urstadt Biddle Properties, Inc., Class A			10,340		186,947
					3,267,526
REAL ESTATE MANAGEMENT & DEVELOPMENT – 0.1%
Avatar Holdings, Inc.*			8,691		62,401

See Notes to Financial Statements.

183

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
ROAD & RAIL – 1.4%
Heartland Express, Inc.			11,250	$	160,763
Ryder System, Inc.			4,600		244,444
Werner Enterprises, Inc.			16,600		400,060
					805,267
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 4.2%
Amkor Technology, Inc.*			35,440		154,518
ATMI, Inc.*			10,680		213,920
Cabot Microelectronics Corp.*			6,200		292,950
Cymer, Inc.*			5,480		272,685
Entegris, Inc.*			36,040		314,449
Integrated Device Technology, Inc.*			29,560		161,398
MKS Instruments, Inc.			11,650		324,103
Novellus Systems, Inc.*			2,751		113,589
Teradyne, Inc.*			14,520		197,908
Tessera Technologies, Inc.*			16,264		272,422
					2,317,942
SOFTWARE – 1.2%
Compuware Corp.*			18,930		157,498
Monotype Imaging Holdings, Inc.*			11,220		174,920
Parametric Technology Corp.*			8,540		155,940
Progress Software Corp.*			10,450		202,207
					690,565
SPECIALTY RETAIL – 5.8%
Aaron’s, Inc.			9,940		265,199
Children’s Place Retail Stores, Inc.*			6,255		332,266
Finish Line, Inc., Class A			15,640		301,617
Foot Locker, Inc.			8,920		212,653
GameStop Corp., Class A*			9,226		222,623
hhgregg, Inc.*			15,963		230,665
OfficeMax, Inc.*			31,520		143,101
RadioShack Corp.			24,510		237,992
Rent-A-Center, Inc.			16,390		606,430
Shoe Carnival, Inc.*			6,905		177,459

	Country Code**	Shares		Value
Stage Stores, Inc.			12,752	$	177,125
The Men’s Wearhouse, Inc.			11,000		356,510
					3,263,640
TEXTILES, APPAREL & LUXURY GOODS – 1.4%
Movado Group, Inc.			12,708		230,904
The Jones Group, Inc.			29,020		306,161
The Warnaco Group, Inc.*			4,590		229,684
					766,749
THRIFT & MORTGAGE FINANCE – 5.2%
Bank Mutual Corp.			47,139		149,902
BankFinancial Corp.			32,948		181,873
Beneficial Mutual Bancorp, Inc.*			33,520		280,227
Brookline Bancorp, Inc.			33,223		280,402
Clifton Savings Bancorp, Inc.			18,895		175,345
ESSA Bancorp, Inc.			15,059		157,668
Home Federal Bancorp, Inc.			26,242		272,917
MGIC Investment Corp.*			65,582		244,621
Northfield Bancorp, Inc.			11,622		164,567
Provident New York Bancorp			21,990		146,014
TrustCo Bank Corp. NY			30,061		168,642
United Financial Bancorp, Inc.			11,568		186,129
Washington Federal, Inc.			18,930		264,831
Westfield Financial, Inc.			31,072		228,690
					2,901,828
TRADING COMPANIES & DISTRIBUTORS – 0.9%
Applied Industrial Technologies, Inc.			7,430		261,313
Kaman Corp.			8,750		239,050
					500,363

See Notes to Financial Statements.

184

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
WIRELESS TELECOMMUNICATION SERVICES – 0.5%
NTELOS Holdings Corp.			7,080	$	144,290
Shenandoah Telecommunications Co.			11,101		116,339
					260,629
Total Common Stocks (Cost $56,727,404)					55,551,285
TOTAL INVESTMENTS – 99.5%
(Cost $56,727,404)					55,551,285
Other assets less liabilities – 0.5%					254,207
NET ASSETS – 100.0%				$	55,805,492

AN	Netherlands Antilles
BM	Bermuda
CA	Canada
CH	Switzerland
DE	Germany
IE	Ireland
KY	Cayman Islands
MH	Marshall Islands
PR	Puerto Rico
VG	British Virgin Islands

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks (a)	$	55,471,113	$	80,172	$	—	$	55,551,285
Total Investments	$	55,471,113	$	80,172	$	—	$	55,551,285

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations of Level 1 Securities. The Level 2 security is within the Construction & Engineering industry in the Portfolio of Investments.

See Notes to Financial Statements.

185

SC ^SM DAVIS VENTURE VALUE FUND

PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 97.0%
AEROSPACE & DEFENSE – 0.9%
Lockheed Martin Corp.				43,640	$	3,530,476
AUTOMOBILES – 0.6%
Harley-Davidson, Inc.				60,986		2,370,526
BEVERAGES – 4.3%
Diageo PLC ADR		GB		79,447		6,945,256
Heineken Holding NV		NL		100,159		4,098,927
The Coca-Cola Co.				81,740		5,719,348
						16,763,531
CAPITAL MARKETS – 7.5%
Ameriprise Financial, Inc.				45,205		2,243,976
Bank of New York Mellon Corp.				803,520		15,998,083
Julius Baer Group Ltd.		CH		204,200		7,987,127
The Charles Schwab Corp.				141,450		1,592,727
The Goldman Sachs Group, Inc.				16,121		1,457,822
						29,279,735
CHEMICALS – 3.4%
Air Products & Chemicals, Inc.				24,280		2,068,413
Ecolab, Inc.				32,270		1,865,529
Monsanto Co.				73,220		5,130,525
Potash Corp. of Saskatchewan, Inc.		CA		62,925		2,597,544
Praxair, Inc.				14,320		1,530,808
						13,192,819
COMMERCIAL BANKS – 5.4%
Wells Fargo & Co.				765,393		21,094,231
COMMERCIAL SERVICES & SUPPLIES – 2.1%
Iron Mountain, Inc.				260,124		8,011,819
COMPUTERS & PERIPHERALS – 0.7%
Hewlett-Packard Co.				108,400		2,792,384

	Country Code**		Shares		Value
CONSTRUCTION MATERIALS – 0.4%
Martin Marietta Materials, Inc.				18,260	$	1,376,987
CONSUMER FINANCE – 5.2%
American Express Co.				430,175		20,291,355
CONTAINERS & PACKAGING – 0.5%
Sealed Air Corp.				104,103		1,791,613
DISTRIBUTORS – 0.3%
Li & Fung Ltd.		BM		616,000		1,138,949
DIVERSIFIED FINANCIAL SERVICES – 0.3%
CME Group, Inc.				2,830		689,586
JP Morgan Chase & Co.				18,736		622,972
						1,312,558
ENERGY EQUIPMENT & SERVICES – 0.7%
Schlumberger Ltd.		AN		11,600		792,396
Transocean Ltd.		CH		48,582		1,865,063
						2,657,459
FOOD & STAPLES RETAILING – 10.8%
Costco Wholesale Corp.				255,835		21,316,172
CVS Caremark Corp.				505,412		20,610,702
						41,926,874
FOOD PRODUCTS – 1.3%
Kraft Foods, Inc., Class A				89,530		3,344,841
Nestle SA		CH		5,750		330,565
Unilever NV		NL		40,520		1,392,672
						5,068,078
HEALTH CARE EQUIPMENT & SUPPLIES – 0.7%
Baxter International, Inc.				24,280		1,201,374
Becton, Dickinson & Co.				21,240		1,587,053
						2,788,427
HEALTH CARE PROVIDERS & SERVICES – 1.9%
Express Scripts, Inc.*				161,761		7,229,099

See Notes to Financial Statements.

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	Country Code**		Shares		Value
HOUSEHOLD DURABLES – 0.1%
Hunter Douglas NV		AN		14,850	$	557,753
INSURANCE – 11.0%
ACE Ltd.		CH		38,620		2,708,034
Aon Corp.				12,980		607,464
Berkshire Hathaway, Inc., Class A*				67		7,688,585
Everest Re Group Ltd.		BM		5,950		500,335
Fairfax Financial Holdings Ltd.		CA		5,200		2,242,240
Fairfax Financial Holdings Ltd. (1)		CA		1,960		840,775
Loews Corp.				316,770		11,926,390
Markel Corp.*				1,353		561,049
The Progressive Corp.				571,319		11,146,434
Transatlantic Holdings, Inc.				85,620		4,685,983
						42,907,289
INTERNET & CATALOG RETAIL – 1.4%
Expedia, Inc.				41,230		1,196,495
Liberty Interactive Corp., Class A*				108,062		1,752,225
Netflix, Inc.*				19,710		1,365,706
TripAdvisor, Inc.*				41,230		1,039,408
						5,353,834
INTERNET SOFTWARE & SERVICES – 3.2%
Google, Inc., Class A*				19,360		12,504,624
IT SERVICES – 0.4%
Visa, Inc., Class A				17,010		1,727,025
LIFE SCIENCES TOOLS & SERVICES – 0.3%
Agilent Technologies, Inc.*				34,148		1,192,790
MACHINERY – 0.3%
PACCAR, Inc.				34,730		1,301,333
MARINE – 1.1%
China Shipping Development Co., Ltd.		CN		1,173,800		733,002
Kuehne & Nagel International AG		CH		32,086		3,603,825
						4,336,827

	Country Code**		Shares		Value
MEDIA – 1.7%
Grupo Televisa SA ADR		MX		42,276	$	890,333
The Walt Disney Co.				148,650		5,574,375
						6,464,708
METALS & MINING – 1.2%
BHP Billiton PLC		GB		85,600		2,495,889
MMX Mineracao e Metalicos SA*		BR		58,500		89,385
Rio Tinto PLC		GB		46,472		2,255,344
						4,840,618
OIL, GAS & CONSUMABLE FUELS – 11.9%
Canadian Natural Resources Ltd.		CA		317,192		11,853,465
China Coal Energy Co., Ltd.		CN		1,652,300		1,782,797
Devon Energy Corp.				60,121		3,727,502
EOG Resources, Inc.				169,093		16,657,352
Occidental Petroleum Corp.				109,250		10,236,725
OGX Petroleo e Gas Participacoes SA*		BR		321,400		2,346,853
						46,604,694
PAPER & FOREST PRODUCTS – 0.0% +
Sino-Forest Corp.*		CA		280,530		96,783
Sino-Forest Corp.* (1)		CA		6,300		2,173
						98,956
PERSONAL PRODUCTS – 0.1%
Natura Cosmeticos SA		BR		28,600		555,977
PHARMACEUTICALS – 6.6%
Johnson & Johnson				152,790		10,019,968
Merck & Co., Inc.				286,833		10,813,604
Pfizer, Inc.				54,740		1,184,574
Roche Holding AG		CH		22,400		3,796,529
						25,814,675
REAL ESTATE MANAGEMENT & DEVELOPMENT – 1.8%
Brookfield Asset Management, Inc., Class A		CA		117,000		3,215,160
Hang Lung Group Ltd.		HK		669,900		3,648,542
						6,863,702

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 1.7%
Intel Corp.				44,130	$	1,070,153
Texas Instruments, Inc.				191,055		5,561,611
						6,631,764
SOFTWARE – 1.6%
Activision Blizzard, Inc.				189,550		2,335,256
Microsoft Corp.				126,080		3,273,037
Oracle Corp.				30,300		777,195
						6,385,488
SPECIALTY RETAIL – 3.1%
Bed Bath & Beyond, Inc.*				173,040		10,031,129
CarMax, Inc.*				62,587		1,907,652
						11,938,781
TEXTILES, APPAREL & LUXURY GOODS – 0.1%
Compagnie Financiere Richemont SA		CH		9,900		500,744
TOBACCO – 0.9%
Philip Morris International, Inc.				46,028		3,612,277
TRANSPORTATION INFRASTRUCTURE – 1.3%
China Merchants Holdings International Co., Ltd.		HK		1,687,652		4,889,162
LLX Logistica SA*		BR		58,500		105,694
						4,994,856
WIRELESS TELECOMMUNICATION SERVICES – 0.2%
America Movil SAB de C.V. ADR, Series L		MX		31,300		707,380
Total Common Stocks (Cost $333,305,628)						378,513,015

	Country Code**	Principal Amount (000)		Value
SHORT TERM INVESTMENTS – 2.8%
COMMERCIAL PAPER (2) – 2.8%
Barclays U.S. Funding LLC 0.09%, 1/3/12 (Amortized cost $11,002,945)		$	11,003	$	11,002,945
TOTAL INVESTMENTS – 99.8%
(Cost $344,308,573)					389,515,960
Other assets less liabilities – 0.2%					664,186
NET ASSETS – 100.0%				$	390,180,146

ADR	American Depositary Receipt
AN	Netherlands Antilles
BM	Bermuda
BR	Brazil
CA	Canada
CH	Switzerland
CN	China
GB	Great Britain
HK	Hong Kong
MX	Mexico
NL	Netherlands

+ Amount is less than 0.05%.

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) Eligible for resale under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $842,948, representing 0.2% of net assets.

(2) Interest rates represent annualized yield at date of purchase.

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

(3) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Aerospace & Defense	$	3,530,476	$	—	$	—	$	3,530,476
Automobiles		2,370,526		—		—		2,370,526
Beverages		12,664,604		4,098,927		—		16,763,531
Capital Markets		21,292,608		7,987,127		—		29,279,735
Chemicals		13,192,819		—		—		13,192,819
Commercial Banks		21,094,231		—		—		21,094,231
Commercial Services & Supplies		8,011,819		—		—		8,011,819
Computers & Peripherals		2,792,384		—		—		2,792,384
Construction Materials		1,376,987		—		—		1,376,987
Consumer Finance		20,291,355		—		—		20,291,355
Containers & Packaging		1,791,613		—		—		1,791,613
Distributors		—		1,138,949		—		1,138,949
Diversified Financial Services		1,312,558		—		—		1,312,558
Energy Equipment & Services		2,657,459		—		—		2,657,459
Food & Staples Retailing		41,926,874		—		—		41,926,874
Food Products		4,737,513		330,565		—		5,068,078
Health Care Equipment & Supplies		2,788,427		—		—		2,788,427
Health Care Providers & Services		7,229,099		—		—		7,229,099
Household Durables		—		557,753		—		557,753
Insurance		42,907,289		—		—		42,907,289
Internet & Catalog Retail		5,353,834		—		—		5,353,834
Internet Software & Services		12,504,624		—		—		12,504,624
IT Services		1,727,025		—		—		1,727,025
Life Sciences Tools & Services		1,192,790		—		—		1,192,790
Machinery		1,301,333		—		—		1,301,333
Marine		—		4,336,827		—		4,336,827
Media		6,464,708		—		—		6,464,708
Metals & Mining		—		4,840,618		—		4,840,618
Oil, Gas & Consumable Fuels		42,475,044		4,129,650		—		46,604,694
Paper & Forest Products		—		98,956		—		98,956
Personal Products		—		555,977		—		555,977
Pharmaceuticals		22,018,146		3,796,529		—		25,814,675
Real Estate Management & Development		3,215,160		3,648,542		—		6,863,702
Semiconductors & Semiconductor Equipment		6,631,764		—		—		6,631,764
Software		6,385,488		—		—		6,385,488
Specialty Retail		11,938,781		—		—		11,938,781

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Assets (Continued)	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Textiles, Apparel & Luxury Goods	$	—	$	500,744	$	—	$	500,744
Tobacco		3,612,277		—		—		3,612,277
Transportation Infrastructure		—		4,994,856		—		4,994,856
Wireless Telecommunication Services		707,380		—		—		707,380
Total Common Stocks		337,496,995		41,016,020		—		378,513,015
Short Term Investments
Commercial Paper		—		11,002,945		—		11,002,945
Total Investments	$	337,496,995	$	52,018,965	$	—	$	389,515,960

† See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

190

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
COMMON STOCKS – 97.9%
AEROSPACE & DEFENSE – 2.9%
Hexcel Corp.*			16,167	$	391,403
TransDigm Group, Inc.*			8,701		832,512
					1,223,915
AIR FREIGHT & LOGISTICS – 1.5%
Forward Air Corp.			9,980		319,859
HUB Group, Inc.*			9,980		323,651
					643,510
AUTO COMPONENTS – 1.1%
Tenneco, Inc.*			8,316		247,650
TRW Automotive Holdings Corp.*			6,885		224,451
					472,101
BIOTECHNOLOGY – 3.2%
Acorda Therapeutics, Inc.*			7,496		178,705
BioMarin Pharmaceutical, Inc.*			14,490		498,166
Incyte Corp.*			21,893		328,614
United Therapeutics Corp.*			6,987		330,136
					1,335,621
CAPITAL MARKETS – 1.8%
Affiliated Managers Group, Inc.*			4,362		418,534
Greenhill & Co., Inc.			3,791		137,879
Stifel Financial Corp.*			6,027		193,165
					749,578
CHEMICALS – 2.7%
Intrepid Potash, Inc.*			9,245		209,214
Olin Corp.			16,723		328,607
Rockwood Holdings, Inc.*			6,294		247,795
Solutia, Inc.*			20,999		362,863
					1,148,479
COMMERCIAL BANKS – 1.4%
Huntington Bancshares, Inc.			42,159		231,453
SVB Financial Group*			7,309		348,566
					580,019

	Country Code**	Shares		Value
COMMERCIAL SERVICES & SUPPLIES –1.6%
Corrections Corporation of America*			16,863	$	343,500
Tetra Tech, Inc.*			15,858		342,374
					685,874
COMMUNICATIONS EQUIPMENT – 2.3%
Ciena Corp.*			13,516		163,543
Finisar Corp.*			14,016		234,698
NETGEAR, Inc.*			9,661		324,320
Polycom, Inc.*			14,953		243,734
					966,295
CONTAINERS & PACKAGING – 0.6%
Greif, Inc., Class A			5,605		255,308
DISTRIBUTORS – 0.7%
Pool Corp.			10,433		314,033
DIVERSIFIED CONSUMER SERVICES – 0.6%
Weight Watchers International, Inc.			4,785		263,223
ELECTRIC UTILITIES – 0.9%
ITC Holdings Corp.			4,997		379,172
ELECTRICAL EQUIPMENT – 0.9%
Thomas & Betts Corp.*			6,914		377,504
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 0.6%
Littelfuse, Inc.			6,361		273,396
ENERGY EQUIPMENT & SERVICES – 4.7%
Atwood Oceanics, Inc.*			7,421		295,282
Dresser-Rand Group, Inc.*			7,373		367,986
Dril-Quip, Inc.*			5,342		351,610
FMC Technologies, Inc.*			7,599		396,896
Lufkin Industries, Inc.			4,588		308,818
Patterson-UTI Energy, Inc.			12,827		256,284
					1,976,876
FOOD & STAPLES RETAILING – 0.7%
Ruddick Corp.			7,338		312,892

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
FOOD PRODUCTS – 2.4%
B&G Foods, Inc.			17,395	$	418,698
Diamond Foods, Inc.			5,576		179,937
Lancaster Colony Corp.			5,845		405,292
					1,003,927
HEALTH CARE EQUIPMENT & SUPPLIES – 4.2%
Insulet Corp.*			12,643		238,068
Masimo Corp.*			12,818		239,504
Meridian Bioscience, Inc.			11,238		211,724
Sirona Dental Systems, Inc.*			7,301		321,536
STERIS Corp.			10,012		298,558
Zoll Medical Corp.*			7,498		473,723
					1,783,113
HEALTH CARE PROVIDERS & SERVICES – 4.9%
Centene Corp.*			9,976		394,950
Chemed Corp.			6,108		312,791
Health Management Associates, Inc., Class A*			30,441		224,350
HMS Holdings Corp.*			9,271		296,486
MEDNAX, Inc.*			4,593		330,742
PSS World Medical, Inc.*			11,584		280,217
VCA Antech, Inc.*			11,241		222,010
					2,061,546
HEALTH CARE TECHNOLOGY – 1.4%
Allscripts Healthcare Solutions, Inc.*			18,924		358,421
Quality Systems, Inc.			6,550		242,284
					600,705
HOTELS, RESTAURANTS & LEISURE – 4.8%
Choice Hotels International, Inc.			7,728		294,050
Darden Restaurants, Inc.			6,427		292,943
Domino’s Pizza, Inc.*			9,632		327,006
Jack In The Box, Inc.*			12,532		261,919
Life Time Fitness, Inc.*			8,918		416,917
Penn National Gaming, Inc.*			10,783		410,509
					2,003,344

	Country Code**		Shares		Value
INSURANCE – 1.9%
Brown & Brown, Inc.				15,392	$	348,321
ProAssurance Corp.				5,398		430,868
						779,189
INTERNET SOFTWARE & SERVICES – 3.5%
Ancestry.com, Inc.*				7,553		173,417
Open Text Corp.*		CA		5,723		292,674
RightNow Technologies, Inc.*				9,944		424,907
ValueClick, Inc.*				23,010		374,833
WebMD Health Corp., Class A*				5,444		204,422
						1,470,253
IT SERVICES – 1.0%
Alliance Data Systems Corp.*				3,927		407,780
LIFE SCIENCES TOOLS & SERVICES – 2.4%
Bruker Corp.*				16,482		204,707
Parexel International Corp.*				15,320		317,737
PerkinElmer, Inc.				11,864		237,280
Techne Corp.				3,901		266,282
						1,026,006
MACHINERY – 4.9%
Crane Co.				7,331		342,431
Kennametal, Inc.				8,059		294,315
Lincoln Electric Holdings, Inc.				9,188		359,435
Lindsay Corp.				5,330		292,564
WABCO Holdings, Inc.*				7,528		326,715
Wabtec Corp.				6,630		463,768
						2,079,228
METALS & MINING – 1.4%
Allied Nevada Gold Corp.*				3,569		108,069
Carpenter Technology Corp.				7,231		372,252
Detour Gold Corp.*		CA		4,305		106,278
						586,599

See Notes to Financial Statements.

192

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
OIL, GAS & CONSUMABLE FUELS – 3.2%
Bill Barrett Corp.*			7,832	$	266,836
Energen Corp.			6,126		306,300
James River Coal Co.*			25,227		174,571
Resolute Energy Corp.*			23,809		257,137
SandRidge Energy, Inc.*			39,864		325,291
					1,330,135
PERSONAL PRODUCTS – 1.2%
Nu Skin Enterprises, Inc.			10,110		491,043
PHARMACEUTICALS – 1.1%
Salix Pharmaceuticals Ltd.*			9,406		450,077
PROFESSIONAL SERVICES – 1.2%
Costar Group, Inc.*			7,349		490,399
REAL ESTATE INVESTMENT TRUSTS – 0.8%
Colonial Properties Trust			16,300		340,018
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 6.8%
Cavium, Inc.*			10,995		312,588
Cymer, Inc.*			6,788		337,771
Hittite Microwave Corp.*			6,206		306,452
Microsemi Corp.*			18,784		314,632
PMC-Sierra, Inc.*			47,010		259,025
Power Integrations, Inc.			9,810		325,300
Semtech Corp.*			14,828		368,031
Teradyne, Inc.*			23,539		320,836
Volterra Semiconductor Corp.*			11,677		299,048
					2,843,683
SOFTWARE – 10.4%
ANSYS, Inc.*			6,088		348,721
Aspen Technology, Inc.*			22,118		383,747
BroadSoft, Inc.*			10,253		309,641
Commvault Systems, Inc.*			9,956		425,320
Fair Issac Corp.			9,818		351,877
Informatica Corp.*			11,287		416,829
Interactive Intelligence Group*			8,249		189,067

	Country Code**		Shares		Value
Manhattan Associates, Inc.*				10,179	$	412,046
MICROS Systems, Inc.*				8,161		380,139
Parametric Technology Corp.*				12,857		234,769
Quest Software, Inc.*				14,379		267,449
Solarwinds, Inc.*				14,976		418,579
Websense, Inc.*				13,060		244,614
						4,382,798
SPECIALTY RETAIL – 6.8%
Dick’s Sporting Goods, Inc.				8,604		317,315
DSW, Inc., Class A				6,661		294,483
Foot Locker, Inc.				13,507		322,007
GameStop Corp., Class A*				12,120		292,456
Group 1 Automotive, Inc.				6,492		336,286
Monro Muffler Brake, Inc.				8,380		325,060
Tractor Supply Co.				4,377		307,046
Urban Outfitters, Inc.*				11,629		320,495
Vitamin Shoppe, Inc.*				8,528		340,097
						2,855,245
TEXTILES, APPAREL & LUXURY GOODS – 2.9%
Maidenform Brands, Inc.*				12,584		230,287
Michael Kors Holdings Ltd.*		VG		9,564		260,619
Steven Madden Ltd.*				11,102		383,019
Under Armour, Inc., Class A*				4,801		344,664
						1,218,589
TRADING COMPANIES & DISTRIBUTORS – 1.6%
Watsco, Inc.				5,201		341,498
WESCO International, Inc.*				6,221		329,775
						671,273
WIRELESS TELECOMMUNICATION SERVICES – 0.9%
SBA Communications Corp.*				8,584		368,769
Total Common Stocks (Cost $37,811,850)						41,201,515

See Notes to Financial Statements.

193

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December 31, 2011	Sun Capital Advisers Trust

	Value
TOTAL INVESTMENTS – 97.9%
(Cost $37,811,850)	$	41,201,515
Other assets less liabilities – 2.1%		896,284
NET ASSETS –100.0%	$	42,097,799

CA	Canada
VG	British Virgin Islands

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) Fair Value Measurements

All investments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

194

SC ^SM LORD ABBETT GROWTH & INCOME FUND

PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 99.5%
AEROSPACE & DEFENSE – 3.3%
Rockwell Collins, Inc.				98,550	$	5,456,714
United Technologies Corp.				128,480		9,390,603
						14,847,317
AUTOMOBILES – 1.7%
Ford Motor Co.*				695,747		7,486,238
BEVERAGES – 2.3%
Diageo PLC ADR		GB		49,410		4,319,422
The Coca-Cola Co.				88,560		6,196,543
						10,515,965
BIOTECHNOLOGY – 3.0%
Amgen, Inc.				71,471		4,589,153
Celgene Corp.*				130,897		8,848,637
						13,437,790
CAPITAL MARKETS – 2.7%
Lazard Ltd., Class A		BM		66,230		1,729,265
State Street Corp.				260,850		10,514,864
						12,244,129
CHEMICALS – 2.3%
Air Products & Chemicals, Inc.				21,360		1,819,659
LyondellBasell Industries NV, Class A		NL		97,670		3,173,298
PPG Industries, Inc.				62,280		5,199,757
						10,192,714
COMMERCIAL BANKS – 6.4%
M&T Bank Corp.				81,940		6,255,300
PNC Financial Services Group, Inc.				202,830		11,697,206
U.S. Bancorp				274,800		7,433,340
Wells Fargo & Co.				135,557		3,735,951
						29,121,797
COMMUNICATIONS EQUIPMENT – 0.9%
QUALCOMM, Inc.				77,880		4,260,036
COMPUTERS & PERIPHERALS – 1.0%
EMC Corp.*				169,750		3,656,415
NetApp, Inc.*				28,620		1,038,047
						4,694,462
CONSTRUCTION & ENGINEERING – 0.7%
Jacobs Engineering Group, Inc.*				75,000		3,043,500

	Country Code**		Shares		Value
DIVERSIFIED FINANCIAL SERVICES – 2.3%
JP Morgan Chase & Co.				311,882	$	10,370,077
DIVERSIFIED TELECOMMUNICATION SERVICES – 2.0%
AT&T, Inc.				106,333		3,215,510
Verizon Communications, Inc.				141,030		5,658,124
						8,873,634
ELECTRIC UTILITIES – 1.8%
NextEra Energy, Inc.				130,960		7,972,845
ELECTRICAL EQUIPMENT – 0.3%
Rockwell Automation, Inc.				16,840		1,235,551
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 0.6%
Arrow Electronics, Inc.*				77,100		2,884,311
ENERGY EQUIPMENT & SERVICES – 4.8%
Baker Hughes, Inc.				75,354		3,665,218
Halliburton Co.				266,012		9,180,074
Schlumberger Ltd.		AN		132,270		9,035,364
						21,880,656
FOOD & STAPLES RETAILING – 1.7%
CVS Caremark Corp.				188,490		7,686,622
FOOD PRODUCTS – 4.6%
Archer-Daniels-Midland Co.				395,240		11,303,864
Bunge Ltd.		BM		166,980		9,551,256
						20,855,120
HEALTH CARE EQUIPMENT & SUPPLIES – 1.3%
Covidien PLC		IE		66,110		2,975,611
St. Jude Medical, Inc.				78,330		2,686,719
						5,662,330
HEALTH CARE PROVIDERS & SERVICES – 8.1%
CIGNA Corp.				137,500		5,775,000
DaVita, Inc.*				77,450		5,871,484
Express Scripts, Inc.*				192,700		8,611,763
Humana, Inc.				23,650		2,071,977
McKesson Corp.				77,860		6,066,073
UnitedHealth Group, Inc.				120,280		6,095,790
WellPoint, Inc.				33,650		2,229,312
						36,721,399

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
HOUSEHOLD PRODUCTS – 0.8%
Colgate-Palmolive Co.				39,600	$	3,658,644
INSURANCE – 7.6%
ACE Ltd.		CH		86,140		6,040,137
Berkshire Hathaway, Inc., Class B*				166,500		12,703,950
Marsh & McLennan Cos., Inc.				298,500		9,438,570
Prudential Financial, Inc.				54,140		2,713,497
Travelers Cos., Inc.				57,910		3,426,534
						34,322,688
INTERNET & CATALOG RETAIL – 0.8%
HSN, Inc.				103,850		3,765,601
LIFE SCIENCES TOOLS & SERVICES – 1.6%
Thermo Fisher Scientific, Inc.*				160,770		7,229,827
MACHINERY – 4.2%
Dover Corp.				130,770		7,591,198
Eaton Corp.				191,260		8,325,548
Parker Hannifin Corp.				42,790		3,262,738
						19,179,484
MEDIA – 5.3%
Comcast Corp., Class A				250,830		5,947,179
Omnicom Group, Inc.				57,010		2,541,506
The Walt Disney Co.				112,190		4,207,125
Time Warner, Inc.				306,670		11,083,054
						23,778,864
METALS & MINING – 2.1%
Barrick Gold Corp.		CA		89,340		4,042,635
Freeport-McMoRan Copper & Gold, Inc.				143,130		5,265,753
						9,308,388
MULTI-LINE RETAIL – 1.7%
Target Corp.				150,310		7,698,878
OIL, GAS & CONSUMABLE FUELS – 14.7%
Anadarko Petroleum Corp.				154,350		11,781,535
Apache Corp.				52,250		4,732,805
Chevron Corp.				120,388		12,809,283
Consol Energy, Inc.				80,340		2,948,478
Devon Energy Corp.				69,230		4,292,260

	Country Code**		Shares		Value
Exxon Mobil Corp.				143,740	$	12,183,402
Imperial Oil Ltd.		CA		112,570		5,007,114
Range Resources Corp.				69,790		4,322,793
Southwestern Energy Co.*				131,648		4,204,837
Suncor Energy, Inc.		CA		151,200		4,359,096
						66,641,603
PAPER & FOREST PRODUCTS – 1.3%
International Paper Co.				193,600		5,730,560
PHARMACEUTICALS – 3.8%
Merck & Co., Inc.				44,798		1,688,884
Teva Pharmaceutical Industries Ltd. ADR		IL		291,950		11,783,102
Watson Pharmaceuticals, Inc.*				58,720		3,543,165
						17,015,151
PROFESSIONAL SERVICES – 0.1%
The Dun & Bradstreet Corp.				5,940		444,490
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 2.7%
Intel Corp.				130,850		3,173,113
Lam Research Corp.*				33,260		1,231,285
Texas Instruments, Inc.				269,740		7,852,131
						12,256,529
SOFTWARE – 0.4%
Adobe Systems, Inc.*				70,000		1,978,900
SPECIALTY RETAIL – 0.6%
The Home Depot, Inc.				59,430		2,498,437
Total Common Stocks (Cost $432,509,423)						449,494,537
SHORT TERM INVESTMENTS – 0.3%
MUTUAL FUNDS – 0.3%
State Street Institutional Liquid Reserves Fund, 0.17% (Cost $1,512,916)				1,512,916		1,512,916

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Value
TOTAL INVESTMENTS – 99.8%
(Cost $434,022,339)	$	451,007,453
Other assets less liabilities –0.2%		799,691
NET ASSETS – 100.0%	$	451,807,144

ADR	American Depositary Receipt
AN	Netherlands Antilles
BM	Bermuda
CA	Canada
CH	Switzerland
GB	Great Britain
IE	Ireland
IL	Israel
NL	Netherlands

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) Fair Value Measurements

All investments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

197

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 99.3%
AIR FREIGHT & LOGISTICS – 2.2%
C.H. Robinson Worldwide, Inc.				35,495	$	2,476,841
Expeditors International of Washington, Inc.				40,625		1,664,000
						4,140,841
AUTOMOBILES – 1.6%
Harley-Davidson, Inc.				78,125		3,036,719
BEVERAGES – 1.5%
Molson Coors Brewing Co., Class B				63,940		2,783,948
BIOTECHNOLOGY – 4.0%
Alkermes PLC*		IE		71,755		1,245,667
Amylin Pharmaceuticals, Inc.*				150,805		1,716,161
Incyte Corp.*				104,110		1,562,691
Ironwood Pharmaceuticals, Inc.*				34,700		415,359
Regeneron Pharmaceuticals, Inc.*				19,790		1,096,960
Seattle Genetics, Inc.*				79,205		1,323,911
						7,360,749
BUILDING PRODUCTS – 1.5%
Lennox International, Inc.				82,790		2,794,162
CAPITAL MARKETS – 5.4%
CETIP SA		BR		60,210		869,942
Greenhill & Co., Inc.				33,620		1,222,760
Invesco Ltd.		BM		131,485		2,641,534
LPL Investment Holdings, Inc.*				24,610		751,589
SEI Investments Co.				150,160		2,605,276
T. Rowe Price Group, Inc.				33,000		1,879,350
						9,970,451
CHEMICALS – 2.2%
CF Industries Holdings, Inc.				1,975		286,335
FMC Corp.				25,465		2,191,009
The Sherwin-Williams Co.				18,295		1,633,195
						4,110,539

	Country Code**		Shares		Value
COMMERCIAL BANKS – 6.2%
Cullen/Frost Bankers, Inc.				20,645	$	1,092,327
East West Bancorp, Inc.				48,300		953,925
First Niagara Financial Group, Inc.				139,580		1,204,575
First Republic Bank*				66,955		2,049,493
Huntington Bancshares, Inc.				309,590		1,699,649
M&T Bank Corp.				45,090		3,442,171
Signature Bank*				15,670		940,043
						11,382,183
COMMUNICATIONS EQUIPMENT – 2.4%
ADTRAN, Inc.				74,010		2,232,141
F5 Networks, Inc.*				8,365		887,694
Polycom, Inc.*				75,500		1,230,650
						4,350,485
CONSTRUCTION & ENGINEERING – 1.0%
Jacobs Engineering Group, Inc.*				44,045		1,787,346
CONTAINERS & PACKAGING – 0.7%
Silgan Holdings, Inc.				32,310		1,248,458
ELECTRIC UTILITIES – 0.5%
Northeast Utilities				27,940		1,007,796
ELECTRICAL EQUIPMENT – 1.0%
Ametek, Inc.				44,300		1,865,030
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS – 0.8%
National Instruments Corp.				56,640		1,469,808
ENERGY EQUIPMENT & SERVICES – 3.8%
Atwood Oceanics, Inc.*				63,375		2,521,691
ENSCO PLC ADR		GB		64,055		3,005,461
McDermott International, Inc.*		PA		122,045		1,404,738
						6,931,890
FOOD & STAPLES RETAILING – 0.5%
Whole Foods Market, Inc.				14,010		974,816
GAS UTILITIES – 1.5%
UGI Corp.				92,845		2,729,643

See Notes to Financial Statements.

198

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
HEALTH CARE EQUIPMENT & SUPPLIES – 1.4%
Gen-Probe, Inc.*				20,855	$	1,232,948
ResMed, Inc.*				51,145		1,299,083
						2,532,031
HEALTH CARE PROVIDERS & SERVICES – 6.1%
AmerisourceBergen Corp.				69,260		2,575,780
Cardinal Health, Inc.				48,625		1,974,661
Coventry Health Care, Inc.*				58,660		1,781,504
Health Net, Inc.*				32,615		992,148
Lincare Holdings, Inc.				100,500		2,583,855
Patterson Cos., Inc.				44,140		1,303,013
						11,210,961
HEALTH CARE TECHNOLOGY – 0.4%
SXC Health Solutions Corp.*		CA		11,580		654,038
HOUSEHOLD DURABLES – 2.2%
NVR, Inc.*				4,461		3,060,246
Tempur-Pedic International, Inc.*				17,660		927,680
						3,987,926
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS – 0.7%
NRG Energy, Inc.*				72,170		1,307,720
INDUSTRIAL CONGLOMERATES – 0.9%
Carlisle Cos., Inc.				39,425		1,746,528
INSURANCE – 1.6%
Unum Group				67,320		1,418,432
W.R. Berkley Corp.				42,056		1,446,306
						2,864,738
INTERNET SOFTWARE & SERVICES – 2.2%
VeriSign, Inc.				112,540		4,019,929
IT SERVICES – 4.4%
Gartner, Inc.*				37,100		1,289,967
Genpact Ltd.*		BM		244,100		3,649,295
The Western Union Co.				177,595		3,242,885
						8,182,147
LEISURE EQUIPMENT & PRODUCTS – 1.3%
Hasbro, Inc.				74,365		2,371,500

	Country Code**	Shares		Value
LIFE SCIENCES TOOLS & SERVICES – 2.5%
Life Technologies Corp.*			53,040	$	2,063,786
Waters Corp.*			34,210		2,533,251
					4,597,037
MACHINERY – 3.3%
IDEX Corp.			41,800		1,551,198
PACCAR, Inc.			80,495		3,016,148
Pall Corp.			25,150		1,437,322
					6,004,668
MEDIA – 1.9%
AMC Networks, Inc., Class A*			12,500		469,750
DreamWorks Animation SKG, Inc., Class A*			106,330		1,764,546
Liberty Global, Inc., Class A*			28,530		1,170,586
					3,404,882
METALS & MINING – 1.5%
Carpenter Technology Corp.			38,295		1,971,426
Walter Energy, Inc.			11,985		725,812
					2,697,238
MULTI-UTILITIES – 0.9%
Wisconsin Energy Corp.			48,655		1,700,979
OIL, GAS & CONSUMABLE FUELS – 6.2%
Alpha Natural Resources, Inc.*			35,410		723,426
Cobalt International Energy, Inc.*			96,370		1,495,663
Consol Energy, Inc.			49,810		1,828,027
Denbury Resources, Inc.*			85,440		1,290,144
Newfield Exploration Co.*			78,695		2,969,162
Pioneer Natural Resources Co.			34,515		3,088,402
					11,394,824
PHARMACEUTICALS – 3.5%
Mylan, Inc.*			158,955		3,411,175
Watson Pharmaceuticals, Inc.*			50,345		3,037,817
					6,448,992

See Notes to Financial Statements.

199

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
PROFESSIONAL SERVICES – 3.8%
Equifax, Inc.			29,100	$	1,127,334
Manpower, Inc.			76,210		2,724,507
Robert Half International, Inc.			112,815		3,210,715
					7,062,556
REAL ESTATE INVESTMENT TRUSTS – 0.7%
Alexandria Real Estate Equities, Inc.			19,925		1,374,227
ROAD & RAIL – 2.1%
JB Hunt Transport Services, Inc.			54,180		2,441,892
Kansas City Southern*			20,190		1,373,122
					3,815,014
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 5.7%
Analog Devices, Inc.			40,610		1,453,026
Maxim Integrated Products, Inc.			98,955		2,576,788
NVIDIA Corp.*			166,310		2,305,057
Skyworks Solutions, Inc.*			170,045		2,758,130
Xilinx, Inc.			43,140		1,383,068
					10,476,069
SOFTWARE – 3.4%
Citrix Systems, Inc.*			34,345		2,085,428
FactSet Research Systems, Inc.			19,695		1,718,980

	Country Code**		Shares		Value
Red Hat, Inc.*				4,550	$	187,869
Rovi Corp.*				93,320		2,293,806
						6,286,083
SPECIALTY RETAIL – 2.7%
Advanced Auto Parts, Inc.				33,210		2,312,412
CarMax, Inc.*				58,705		1,789,328
Jos A Bank Clothiers, Inc.*				19,105		931,560
						5,033,300
TEXTILES, APPAREL & LUXURY GOODS – 0.3%
Michael Kors Holdings Ltd.*		VG		17,870		486,958
TRADING COMPANIES & DISTRIBUTORS – 1.3%
MSC Industrial Direct Co., Inc., Class A				32,795		2,346,482
WIRELESS TELECOMMUNICATION SERVICES – 1.5%
American Tower Corp., Class A				45,500		2,730,455
Total Common Stocks (Cost $181,432,410)						182,682,146
TOTAL INVESTMENTS – 99.3%
(Cost $181,432,410)						182,682,146
Other assets less liabilities – 0.7%						1,335,811
NET ASSETS – 100.0%					$	184,017,957

ADR	American Depositary Receipt
BM	Bermuda
BR	Brazil
CA	Canada
GB	Great Britain
IE	Ireland
PA	Panama
VG	British Virgin Islands

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

See Notes to Financial Statements.

200

SC SM WMC BLUE CHIP MID CAP FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

(1) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks (a)	$	181,812,204	$	869,942	$	—	$	182,682,146
Total Investments	$	181,812,204	$	869,942	$	—	$	182,682,146

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations of Level 1 Securities. The Level 2 security is within the Capital Markets industry in the Portfolio of Investments.

See Notes to Financial Statements.

201

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Shares		Value
COMMON STOCKS – 98.6%
AEROSPACE & DEFENSE – 2.6%
Honeywell International, Inc.			46,591	$	2,532,221
The Boeing Co.			37,497		2,750,405
					5,282,626
BEVERAGES – 1.2%
The Coca-Cola Co.			33,241		2,325,873
BIOTECHNOLOGY – 2.1%
Amgen, Inc.			54,175		3,478,577
Gilead Sciences, Inc.*			18,725		766,414
					4,244,991
CHEMICALS – 1.0%
CF Industries Holdings, Inc.			5,688		824,646
The Sherwin-Williams Co.			12,647		1,128,998
					1,953,644
COMMUNICATIONS EQUIPMENT – 7.7%
Cisco Systems, Inc.			529,448		9,572,420
Emulex Corp.*			127,839		876,975
F5 Networks, Inc.*			7,881		836,332
QUALCOMM, Inc.			61,676		3,373,677
Riverbed Technology, Inc.*			41,024		964,064
					15,623,468
COMPUTERS & PERIPHERALS – 12.6%
Apple, Inc.*			29,716		12,034,980
Dell, Inc.*			108,109		1,581,635
EMC Corp.*			265,505		5,718,978
NetApp, Inc.*			60,332		2,188,241
QLogic Corp.*			162,014		2,430,210
SanDisk Corp.*			30,452		1,498,543
					25,452,587
CONSUMER FINANCE – 0.9%
American Express Co.			40,647		1,917,319
DIVERSIFIED CONSUMER SERVICES – 2.1%
Apollo Group, Inc., Class A*			46,799		2,521,062
ITT Educational Services, Inc.*			31,136		1,771,327
					4,292,389

	Country Code**		Shares		Value
ENERGY EQUIPMENT & SERVICES – 4.5%
Baker Hughes, Inc.				12,803	$	622,738
Cameron International Corp.*				28,040		1,379,288
Core Laboratories NV		NL		17,115		1,950,254
Diamond Offshore Drilling, Inc.				40,231		2,223,165
National Oilwell Varco, Inc.				13,753		935,067
Oceaneering International, Inc.				42,157		1,944,702
						9,055,214
FOOD & STAPLES RETAILING – 0.8%
Costco Wholesale Corp.				19,444		1,620,074
HEALTH CARE EQUIPMENT & SUPPLIES – 2.3%
Edwards Lifesciences Corp.*				9,485		670,589
Hologic, Inc.*				83,798		1,467,303
Intuitive Surgical, Inc.*				5,254		2,432,655
						4,570,547
HEALTH CARE PROVIDERS & SERVICES – 3.1%
AmerisourceBergen Corp.				28,945		1,076,465
Cardinal Health, Inc.				29,786		1,209,609
UnitedHealth Group, Inc.				78,701		3,988,567
						6,274,641
HOTELS, RESTAURANTS & LEISURE – 1.1%
Starbucks Corp.				49,246		2,265,808
INDUSTRIAL CONGLOMERATES – 2.0%
General Electric Co.				146,010		2,615,039
Tyco International Ltd.		CH		30,329		1,416,668
						4,031,707
INTERNET & CATALOG RETAIL – 1.3%
Amazon.com, Inc.*				7,965		1,378,741
Priceline.com, Inc.*				2,615		1,223,062
						2,601,803
INTERNET SOFTWARE & SERVICES – 4.9%
eBay, Inc.*				92,577		2,807,860
Google, Inc., Class A*				6,854		4,426,999
IAC/InterActiveCorp.				62,819		2,676,089
						9,910,948

See Notes to Financial Statements.

202

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
IT SERVICES – 4.8%
Cognizant Technology Solutions Corp., Class A*				10,457	$	672,490
International Business Machines Corp.				48,515		8,920,938
						9,593,428
LIFE SCIENCES TOOLS & SERVICES – 2.1%
Bruker Corp.*				59,555		739,673
Life Technologies Corp.*				19,489		758,317
Waters Corp.*				35,807		2,651,508
						4,149,498
MACHINERY – 5.1%
Caterpillar, Inc.				44,289		4,012,583
Cummins, Inc.				10,745		945,775
Dover Corp.				19,564		1,135,690
Joy Global, Inc.				22,604		1,694,622
Parker Hannifin Corp.				33,798		2,577,098
						10,365,768
MEDIA – 3.3%
DIRECTV, Class A*				27,113		1,159,352
News Corp., Class A				109,792		1,958,689
Omnicom Group, Inc.				62,255		2,775,328
Sirius XM Radio, Inc.*				450,955		820,738
						6,714,107
METALS & MINING – 2.9%
Cliffs Natural Resources, Inc.				17,466		1,089,005
Freeport-McMoRan Copper & Gold, Inc.				44,831		1,649,333
Rio Tinto PLC ADR		GB		23,647		1,156,811
Teck Resources Ltd., Class B		CA		29,553		1,039,970
Walter Energy, Inc.				15,013		909,187
						5,844,306
OIL, GAS & CONSUMABLE FUELS – 6.9%
Anadarko Petroleum Corp.				14,687		1,121,059
Canadian Natural Resources, Ltd.		CA		30,903		1,154,845
Exxon Mobil Corp.				79,319		6,723,078
Occidental Petroleum Corp.				31,817		2,981,253

	Country Code**		Shares		Value
Valero Energy Corp.				96,874	$	2,039,198
						14,019,433
PHARMACEUTICALS – 1.1%
Abbott Laboratories				38,273		2,152,091
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 5.5%
Altera Corp.				150,719		5,591,675
Analog Devices, Inc.				55,640		1,990,799
Intersil Corp.				116,247		1,213,619
Xilinx, Inc.				74,085		2,375,165
						11,171,258
SOFTWARE – 9.2%
Autodesk, Inc.*				37,314		1,131,734
BMC Software, Inc.*				23,026		754,792
Check Point Software Technologies Ltd.*		IL		34,565		1,816,045
Citrix Systems, Inc.*				18,003		1,093,142
Microsoft Corp.				272,397		7,071,426
Oracle Corp.				204,617		5,248,426
Red Hat, Inc.*				23,775		981,670
Symantec Corp.*				30,057		470,392
						18,567,627
SPECIALTY RETAIL – 3.8%
Bed Bath & Beyond, Inc.*				15,728		911,752
Lowe’s Cos., Inc.				29,982		760,943
PetSmart, Inc.				22,809		1,169,874
Ross Stores, Inc.				42,444		2,017,363
The Buckle, Inc.				25,841		1,056,122
TJX Cos., Inc.				27,445		1,771,575
						7,687,629
TEXTILES, APPAREL & LUXURY GOODS – 2.1%
Coach, Inc.				31,810		1,941,683
Deckers Outdoor Corp.*				10,247		774,366
Lululemon Athletica, Inc.*				7,349		342,904
Ralph Lauren Corp.				8,380		1,157,110
						4,216,063
TOBACCO – 1.6%
Philip Morris International, Inc.				40,207		3,155,445
Total Common Stocks (Cost $187,411,696)						199,060,292

See Notes to Financial Statements.

203

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Value
TOTAL INVESTMENTS – 98.6%
(Cost $187,411,696)	$	199,060,292
Other assets less liabilities – 1.4%		2,843,018
NET ASSETS – 100.0%	$	201,903,310

ADR	American Depositary Receipt
CA	Canada
CH	Switzerland
GB	Great Britain
IL	Israel
NL	Netherlands

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) Fair Value Measurements

All investments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

204

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
COMMON STOCKS – 98.6%
HOUSEHOLD DURABLES – 0.9%
Lennar Corp., Class A				89,790	$	1,764,373
REAL ESTATE INVESTMENT TRUSTS – 73.6%
DIVERSIFIED – 9.4%
British Land Co. PLC		GB		245,410		1,762,688
Cousins Properties, Inc.				266,729		1,709,733
Derwent London PLC		GB		61,080		1,479,773
Kenedix Realty Investment Corp.		JP		595		1,731,584
Land Securities Group PLC		GB		216,502		2,136,726
Stockland		AU		1,605,024		5,236,764
Vornado Realty Trust				68,096		5,233,859
						19,291,127
INDUSTRIAL – 6.7%
DuPont Fabros Technology, Inc.				137,656		3,334,029
EastGroup Properties, Inc.				59,990		2,608,365
Goodman Group		AU		3,740,924		2,180,944
ProLogis, Inc.				153,570		4,390,566
Segro PLC		GB		431,852		1,398,339
						13,912,243
MORTGAGE – 1.0%
Starwood Property Trust, Inc.				116,521		2,156,804
OFFICE – 10.8%
Alexandria Real Estate Equities, Inc.				24,388		1,682,040
BioMed Realty Trust, Inc.				357,054		6,455,536
Boston Properties, Inc.				42,291		4,212,184
Digital Realty Trust, Inc.				38,024		2,535,060
Douglas Emmett, Inc.				89,050		1,624,272
Mack-Cali Realty Corp.				57,660		1,538,946

	Country Code**		Shares		Value
Nippon Building Fund, Inc.		JP		193	$	1,579,706
Parkway Properties, Inc.				258,465		2,548,465
						22,176,209
RESIDENTIAL – 7.6%
Advance Residence Investment Corp.		JP		989		1,908,101
Boardwalk Real Estate Investment Trust		CA		27,175		1,345,479
Equity Lifestyle Properties, Inc.				63,073		4,206,338
Essex Property Trust, Inc.				8,470		1,190,120
Home Properties, Inc.				49,223		2,833,768
Mid-America Apartment Communities, Inc.				66,176		4,139,309
						15,623,115
RETAIL – 23.6%
CFS Retail Property Trust		AU		1,965,513		3,387,401
Corio NV		NL		57,286		2,491,556
DDR Corp.				91,970		1,119,275
Federal Realty Investment Trust				15,947		1,447,190
Kimco Realty Corp.				171,550		2,785,972
Primaris Retail Real Estate Investment Trust		CA		83,335		1,685,923
Ramco-Gershenson Properties Trust				189,697		1,864,722
Simon Property Group, Inc.				81,167		10,465,673
Tanger Factory Outlet Centers, Inc.				69,108		2,026,247
The Link REIT		HK		1,886,101		6,945,445
Unibail-Rodamco		FR		36,991		6,649,923
Westfield Group		AU		739,952		5,910,788
Westfield Retail Trust		AU		671,295		1,709,636
						48,489,751
SPECIALIZED – 14.5%
Big Yellow Group PLC		GB		1,045,708		3,983,634
Entertainment Properties Trust				84,228		3,681,606

See Notes to Financial Statements.

205

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Shares		Value
Host Hotels & Resorts, Inc.				282,051	$	4,165,893
Medical Properties Trust, Inc.				487,329		4,809,937
Plum Creek Timber Co., Inc.				61,002		2,230,233
Public Storage				41,095		5,525,634
Ventas, Inc.				38,180		2,104,864
Weyerhaeuser Co.				182,508		3,407,424
						29,909,225
						151,558,474
REAL ESTATE MANAGEMENT & DEVELOPMENT – 24.1%
DIVERSIFIED REAL ESTATE ACTIVITIES – 16.3%
Beni Stabili S.p.A		IT		4,088,135		1,829,652
Capitaland Ltd.		SG		1,949,367		3,321,461
Hang Lung Properties Ltd.		HK		860,944		2,449,832
Henderson Land Development Co., Ltd.		HK		222,251		1,104,587
Jones Lang LaSalle, Inc.				9,120		558,691
Mitsubishi Estate Co., Ltd.		JP		344,069		5,140,696
Mitsui Fudosan Co., Ltd.		JP		397,075		5,788,205
Sun Hung Kai Properties Ltd.		HK		692,254		8,677,018

	Country Code**		Shares		Value
Tokyo Tatemono Co., Ltd.*		JP		888,571	$	2,689,841
Wharf Holdings Ltd.		HK		418,893		1,898,519
						33,458,502
REAL ESTATE OPERATING COMPANIES – 7.8%
Atrium European Real Estate Ltd.		JE		1,097,714		4,946,936
BR Malls Participacoes SA		BR		397,323		3,859,800
Global Logistic Properties Ltd.*		SG		2,521,586		3,411,883
GSW Immobilien AG*		DE		50,653		1,468,492
NTT Urban Development Corp.		JP		3,557		2,426,173
						16,113,284
						49,571,786
Total Common Stocks (Cost $188,017,251)						202,894,633
SHORT TERM INVESTMENTS – 0.7%
MUTUAL FUNDS – 0.7%
State Street Institutional Liquid Reserves Fund, 0.17% (Cost $1,381,788)				1,381,788		1,381,788
TOTAL INVESTMENTS – 99.3%
(Cost $189,399,039)						204,276,421
Other assets less liabilities – 0.7%						1,493,695
NET ASSETS – 100.0%					$	205,770,116

REIT	Real Estate Investment Trust
AU	Australia
BR	Brazil
CA	Canada
DE	Germany
FR	France
GB	Great Britain
HK	Hong Kong
IT	Italy
JE	Jersey
JP	Japan
NL	Netherlands
SG	Singapore

* Non-income producing security.

** Unless otherwise noted the issuer country code for all securities is United States.

See Notes to Financial Statements.

206

SUN CAPITAL GLOBAL REAL ESTATE FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

Distribution of investments by country of issuer, as a percentage of net assets, is as follows. Figures may not total to 100% due to the exclusion of the Fund’s other assets and liabilities. (Unaudited)

United States	49.4	%
Japan	10.3
Hong Kong	10.2
Australia	9.0
Great Britain	5.2
Singapore	3.3
France	3.2
Jersey	2.4
Other (individually less than 2%)	6.3

(1) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Household Durables	$	1,764,373	$	—	$	—	$	1,764,373
Real Estate Investment Trusts
Diversified		6,943,592		12,347,535		—		19,291,127
Industrial		10,332,960		3,579,283		—		13,912,243
Mortgage		2,156,804		—		—		2,156,804
Office		20,596,503		1,579,706		—		22,176,209
Residential		13,715,014		1,908,101		—		15,623,115
Retail		21,395,002		27,094,749		—		48,489,751
Specialized		25,925,591		3,983,634		—		29,909,225
Total Real Estate Investment Trusts		101,065,466		50,493,008		—		151,558,474
Real Estate Management & Development
Diversified Real Estate Activities		558,691		32,899,811		—		33,458,502
Real Estate Operating Companies		—		16,113,284		—		16,113,284
Total Real Estate Management & Development		558,691		49,013,095		—		49,571,786
Total Common Stocks		103,388,530		99,506,103		—		202,894,633
Short Term Investments
Mutual Funds		1,381,788		—		—		1,381,788
Total Investments	$	104,770,318	$	99,506,103	$	—	$	204,276,421

† See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

207

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December 31, 2011	Sun Capital Advisers Trust

	Shares		Value
EXCHANGE TRADED FUNDS – 99.8%
iShares Barclays U.S. TIPS Bond Fund		1,096,351	$	127,933,198
iShares Russell 1000 Growth Index Fund		549,159		31,735,899
iShares Russell 2000 Growth Index Fund		322,347		27,151,288
iShares Russell Midcap Growth Index Fund		245,126		13,494,186
iShares S&P 500 Index Fund		434,195		54,691,201
iShares S&P MidCap 400 Index Fund		101,846		8,922,728
Vanguard MSCI EAFE ETF		145,171		4,446,588
Vanguard REIT ETF		807,277		46,822,066
Vanguard Short-Term Bond ETF		1,355,774		109,600,770
Vanguard Total Bond Market ETF		1,750,825		146,263,920
Total Exchange Traded Funds (Cost $567,818,091)				571,061,844
SHORT TERM INVESTMENTS – 0.7%
MUTUAL FUNDS – 0.5%
State Street Institutional Liquid Reserves Fund, 0.17% (Cost $3,098,650)		3,098,650		3,098,650
	Principal Amount (000)
U.S. TREASURY OBLIGATIONS (1) – 0.2%
U.S. Treasury Bills 0.01%, 3/8/12 (Amortized cost $1,099,990)	$	1,100		1,099,990
Total Short Term Investments (Cost $4,198,640)				4,198,640
TOTAL INVESTMENTS – 100.5%
(Cost $572,016,731)				575,260,484
Liabilities in excess of other assets – (0.5)%				(2,774,014	)
NET ASSETS – 100.0%			$	572,486,470

ETF REIT TIPS Exchange Traded Fund Real Estate Investment Trust Treasury Inflation Protected Securities

(1) Interest rates represent annualized yield at date of purchase.

See Notes to Financial Statements.

208

SC SM IBBOTSON TACTICAL OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

(2) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Exchange Traded Funds	$	571,061,844	$	—	$	—	$	571,061,844
Short Term Investments
Mutual Funds		3,098,650		—		—		3,098,650
U.S. Treasury Obligations		—		1,099,990		—		1,099,990
Total Short Term Investments		3,098,650		1,099,990		—		4,198,640
Total Investments	$	574,160,494	$	1,099,990	$	—	$	575,260,484

† See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

209

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code*	Principal Amount (000)		Value
ASSET BACKED SECURITIES – 0.1%
Airplanes Pass Through Trust, Series D 10.88%, 3/15/19 (1)		$	494	$	—
SLM Student Loan Trust, Series 2008-5, Class A2 1.52%, 10/25/16 (2)			107		108,094
SLM Student Loan Trust, Series 2008-5, Class A4 2.12%, 7/25/23 (2)			215		220,649
Total Asset Backed Securities (Cost $587,681)					328,743
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1%
Federal National Mortgage Association, Series 2001-80, Class ZB 6.00%, 1/25/32			478		536,280
Federal National Mortgage Association, Series 2002-53, Class PD 6.00%, 1/25/32			23		23,610
Total Collateralized Mortgage Obligations (Cost $464,849)					559,890
COMMERCIAL MORTGAGE BACKED SECURITIES – 5.4%
Banc of America Mortgage Securities, Inc., Series 2003-H, Class 2A3 2.79%, 9/25/33 (2)			609		550,665
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class A4 5.47%, 1/12/45 (2)			4,550		5,117,112
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class A3 5.79%, 9/11/42			1,000		1,060,481

	Country Code*	Principal Amount (000)		Value
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-C1, Class A3 5.23%, 7/15/44 (2)		$	750	$	781,337
Commercial Mortgage Asset Trust, Series 1999-C1, Class F 6.25%, 1/17/32 (3)			400		400,166
GMAC Commercial Mortgage Securities, Inc., Series 2003-C1, Class A2 4.08%, 5/10/36			800		817,284
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5 Mortgage Certificate, Class A3 5.23%, 12/15/44 (2)			550		578,772
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4 5.21%, 12/15/44 (2)			1,500		1,659,300
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7 Mortgage Certificate, Class AM 5.87%, 4/15/45 (2)			500		514,925
LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4 5.16%, 2/15/31			2,000		2,206,462
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4 5.37%, 9/15/39			2,900		3,214,546
Morgan Stanley Capital I, Series 2004-IQ7, Class A4 5.41%, 6/15/38 (2)			1,000		1,067,917

See Notes to Financial Statements.

210

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
Morgan Stanley Capital I, Series 2004-T15, Class B 5.39%, 6/13/41 (2)			$	1,500	$	1,526,752
Morgan Stanley Capital I, Series 2007-T27, Class A4 5.64%, 6/11/42 (2)				6,182		7,042,182
Total Commercial Mortgage Backed Securities (Cost $26,053,337)						26,537,901
CORPORATE DEBT OBLIGATIONS – 37.8%
AEROSPACE & DEFENSE – 0.3%
L-3 Communications Corp. 6.38%, 10/15/15				1,487		1,524,175
AIRLINES – 0.7%
AMR Corp., Series A 5.25%, 1/31/21				3,495		3,250,188
AUTOMOTIVE – 2.1%
Ford Motor Credit Co. LLC 5.63%, 9/15/15				6,000		6,209,694
Hyundai Capital Services, Inc. 4.38%, 7/27/16 (3)		KR		4,000		4,079,436
						10,289,130
BANKS – 4.6%
Ally Financial, Inc. 4.50%, 2/11/14				5,000		4,825,000
Countrywide Financial Corp.
6.25%, 5/15/16				325		306,194
Huntington Capital
6.65%, 5/15/37 (2)				300		284,250
ING Bank NV
2.00%, 10/18/13 (3)		NL		2,000		1,953,422
2.38%, 6/9/14 (3)		NL		5,000		4,874,285
Lloyds TSB Bank PLC
6.50%, 9/14/20 (3)		GB		2,025		1,694,439
Merrill Lynch & Co., Inc.
5.70%, 5/2/17				400		367,355
6.05%, 5/16/16				3,500		3,298,956
Nordea Bank AB
4.88%, 5/13/21 (3)		SE		3,500		2,958,228

	Country Code*		Principal Amount (000)		Value
Royal Bank of Scotland PLC
1.32%, 9/29/15 (2)		GB	$	2,500	$	1,790,165
						22,352,294
BUILDING MATERIALS – 0.1%
C10 Capital SPV., Ltd.
6.72%,12/31/16(2)(3)		VG		500		257,500
CABLE – 1.2%
DIRECTV Holdings LLC
7.63%, 5/15/16				5,000		5,306,250
Time Warner Entertainment Co.
10.15%, 5/1/12				500		514,469
						5,820,719
CONSUMER PRODUCTS – 0.7%
Jarden Corp.
6.13%, 11/15/22				3,200		3,272,000
ELECTRIC UTILITIES – 3.4%
Allegheny Energy Supply Co. LLC
8.25%, 4/15/12 (3)				750		763,542
Ameren Corp.
8.88%, 5/15/14				4,000		4,482,264
CMS Energy Corp.
5.05%, 2/15/18				5,000		4,987,510
PPL WEM Holdings PLC
5.38%, 5/1/21 (3)		GB		4,000		4,194,600
Toledo Edison Co.
7.25%, 5/1/20				1,850		2,305,764
						16,733,680
ELECTRONIC EQUIPMENT & INSTRUMENTS – 1.4%
Arrow Electronics, Inc.
5.13%, 3/1/21				3,500		3,500,263
Jabil Circuit, Inc.
5.63%, 12/15/20				3,000		3,052,500
						6,552,763
FINANCIALS – 2.9%
Caisse centrale Desjardins du Quebec
1.70%, 9/16/13 (3)		CA		5,000		5,008,230
Discover Financial Services
6.45%, 6/12/17				4,150		4,335,360

See Notes to Financial Statements.

211

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
International Lease Finance Corp.
5.75%, 5/15/16			$	4,000	$	3,710,168
Lazard Group LLC
6.85%, 6/15/17				1,050		1,101,419
						14,155,177
FOOD, BEVERAGES & RESTAURANTS – 0.7%
Anheuser-Busch InBev Worldwide, Inc.
5.38%, 1/15/20				3,000		3,518,412
GAMING – 0.0%+
Mashantucket Western Pequot Tribe
8.50%, 11/15/15 (1)(3)				1,000		45,000
GAS & PIPELINE UTILITIES – 0.8%
Enterprise Products Operating LP
7.03%, 1/15/68 (2)				3,000		3,120,000
Southern Union Co.
3.45%, 11/1/66 (2)				380		354,350
TransCanada PipeLines Ltd.
6.35%, 5/15/67 (2)		CA		600		602,019
						4,076,369
HOTELS, RESTAURANTS & LEISURE – 0.9%
Wyndham Worldwide Corp.
5.75%, 2/1/18				4,000		4,234,484
INSURANCE – 2.7%
Assured Guaranty US Holdings, Inc.
6.40%, 12/15/66 (2)				600		417,000
Kemper Corp.
6.00%, 11/30/15				4,000		4,185,112
Liberty Mutual Group, Inc.
6.50%, 3/15/35 (3)				3,000		2,924,661
7.80%, 3/15/37 (3)				750		667,500
Metropolitan Life Global Funding I
3.13%, 1/11/16 (3)				5,000		5,130,750
						13,325,023
MACHINERY – 0.2%
Case New Holland, Inc.
7.75%, 9/1/13				1,000		1,062,500

	Country Code*		Principal Amount (000)		Value
MANUFACTURING-DIVERSIFIED – 1.4%
Bombardier, Inc.
7.75%, 3/15/20 (3)		CA	$	3,500	$	3,815,000
Textron, Inc.
7.25%, 10/1/19				2,500		2,827,522
						6,642,522
METALS & MINING – 2.2%
ArcelorMittal
5.50%, 3/1/21		LU		3,000		2,753,727
Teck Resources, Ltd.
6.25%, 7/15/41		CA		3,000		3,465,639
10.75%, 5/15/19		CA		2,500		3,050,000
United States Steel Corp. 6.65%, 6/1/37				1,880		1,466,400
						10,735,766
OIL & GAS-EXPLORATION & PRODUCTION – 2.4%
BG Energy Capital PLC 5.13%, 10/15/41 (3)		GB		3,000		3,246,612
EQT Corp. 4.88%, 11/15/21				4,000		4,037,772
Petrobras International Finance Co. 5.38%, 1/27/21		KY		4,000		4,202,404
						11,486,788
PAPER PRODUCTS –1.5%
International Paper Co. 6.00%, 11/15/41				6,700		7,273,607
PHARMACEUTICALS – 1.0%
Aristotle Holding, Inc. 4.75%, 11/15/21 (3)				4,700		4,863,424
PIPELINES – 0.6%
Kinder Morgan Finance Co., LLC 6.00%, 1/15/18 (3)				3,000		3,052,500
REAL ESTATE INVESTMENT TRUSTS – 4.0%
Dexus Property Group 7.13%, 10/15/14 (3)		AU		4,400		4,805,103
Digital Realty Trust LP 5.25%, 3/15/21				5,000		5,009,355
Goodman Funding Property Ltd. 6.38%, 4/15/21 (3)		AU		4,000		4,070,092

See Notes to Financial Statements.

212

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
National Retail Properties, Inc. 6.25%, 6/15/14			$	550	$	583,569
Reckson Operating Partnership LP 7.75%, 3/15/20				4,000		4,387,020
Simon Property Group LP 5.75%, 5/1/12				550		551,938
						19,407,077
RETAIL – 0.6%
Controladora Comercial Mexicana S.A. de C.V., Series AI 7.00%, 6/30/18		MX		371		356,698
QVC, Inc. 7.13%, 4/15/17 (3)				2,500		2,650,000
						3,006,698
TELECOMMUNICATIONS – 1.4%
American Tower Corp. 5.05%, 9/1/20				4,000		4,007,236
Frontier Communications Corp. 8.25%, 4/15/17				2,500		2,556,250
						6,563,486
Total Corporate Debt Obligations (Cost $182,929,554)						183,501,282
RESIDENTIAL NON-AGENCY MORTGAGE BACKED SECURITIES – 1.2%
JP Morgan Mortgage Trust, Series 2003-A1, Class 1A1 2.00%, 10/25/33 (2)				789		762,923
JP Morgan Mortgage Trust, Series 2005-A3, Class 7CA1 2.67%, 6/25/35 (2)				32		23,596
JP Morgan Mortgage Trust, Series 2005-A5, Class TA1 5.41%, 8/25/35 (2)				434		399,680
Master Adjustable Rate Mortgage Trust, Series 2006-2, Class 3A1 2.69%, 1/25/36 (2)				142		101,763

	Country Code*	Principal Amount (000)		Value
MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A 2.15%, 5/25/36 (2)		$	1,633	$	1,394,245
Residential Accredited Loans, Inc., Series 2005-QA7, Class A22 3.23%, 7/25/35 (2)			738		535,213
Wamu Mortgage Pass Through Certificates, Series 2003-AR10, Class A7 2.45%, 10/25/33 (2)			323		304,536
Wamu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1 2.48%, 1/25/35 (2)			1,038		939,400
Wamu Mortgage Pass Through Certificates, Series AR18, Class 3A2 5.37%, 1/25/36 (2)			176		54,094
Wells Fargo Mortgage Backed Securities Trust, Series 2004-AA, Class A1 2.66%, 12/25/34 (2)			518		485,891
Wells Fargo Mortgage Backed Securities Trust, Series 2004-K, Class 1A2 2.74%, 7/25/34 (2)			735		732,620
Total Residential Non-Agency Mortgage Backed Securities (Cost $5,895,278)					5,733,961
U.S. GOVERNMENT GUARANTEED NOTES – 0.4%
FDIC Structured Sale Guaranteed Notes, Series 2010-S1, Class 1A 0.82%, 2/25/48 (2)(3) (Cost $2,086,284)			2,085		2,081,386

See Notes to Financial Statements.

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	Country Code*	Principal Amount (000)		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS – 31.9%
Federal Home Loan Mortgage Corp.
2.35%, 8/1/32 (2)		$	34	$	34,024
4.50%, 3/1/23			2,356		2,499,562
4.50%, TBA (4)			7,000		7,416,718
5.00%, 9/1/19			104		111,569
5.00%, 11/1/19			199		214,178
5.00%, 1/1/35			5,939		6,389,766
5.00%, 2/1/35			5,416		5,826,767
5.00%, 7/1/35			17,200		18,507,242
5.50%, 10/1/17			53		56,699
5.50%, 11/1/17			107		115,381
5.50%, 6/1/33			106		115,164
5.50%, 6/1/35			1,215		1,324,188
5.50%, 9/1/37			408		443,235
5.50%, 5/1/38			79		86,071
5.50%, 2/1/39			109		118,452
6.00%, 1/1/17			39		42,628
6.00%, 2/1/29			6		6,867
6.00%, 8/1/37			285		313,104
6.50%, 10/1/16			27		29,925
6.50%, 11/1/16			3		2,894
6.50%, 9/1/34			171		193,170
7.00%, 11/1/29			14		15,844
7.00%, 1/1/31			4		4,868
7.00%, 4/1/31			2		2,368
7.50%, 3/1/30			2		2,708
7.50%, 12/1/30			16		17,188
Federal National Mortgage Association
0.80%, 3/12/15			3,300		3,306,158
4.50%, 6/1/19			446		477,753
4.50%, 5/1/39			5,895		6,392,098
4.50%, TBA (4)			12,200		13,004,437
5.00%, 6/1/18			140		150,772
5.00%, 7/1/20			323		349,462
5.00%, 10/1/20			147		158,880
5.00%, 12/1/20			69		74,668
5.00%, 10/1/35			20		21,289
5.00%, 3/1/36			12,159		13,145,447
5.00%, 5/1/36			974		1,043,399
5.00%, 7/1/36			210		227,207
5.00%, 5/1/39			6,281		6,792,082
5.00%, 9/1/39			8,625		9,321,514
5.00%, TBA (4)			8,000		8,642,500
5.50%, 3/1/22			119		129,666
5.50%, 5/1/28			8,688		9,473,022
5.50%, 12/1/32			340		371,640
5.50%, 5/1/33			25,213		27,561,497

	Country Code*	Principal Amount (000)		Value
5.50%, 6/1/35		$	518	$	565,701
5.50%, 8/1/35			308		335,962
5.50%, 6/1/37			763		830,988
5.50%, 11/1/38			3,903		4,253,366
6.00%, 12/1/13			1		1,158
6.00%, 11/1/16			8		8,970
6.00%, 12/1/36			290		319,969
6.00%, 11/1/37			197		217,302
6.00%, 10/1/38			134		147,415
6.00%, TBA (4)			300		330,328
8.00%, 8/1/30			2		2,670
Government National Mortgage Association
5.50%, 12/15/38			2,785		3,129,563
6.00%, 8/15/16			18		19,651
6.50%, 9/15/31			34		38,934
6.50%, 3/15/32			26		30,678
6.50%, 9/15/32			64		74,516
6.50%, 10/15/32			115		133,482
7.00%, 12/15/14			10		11,015
7.00%, 2/15/28			10		11,260
7.50%, 3/15/30			3		2,830
Total U.S. Government Agency Obligations (Cost $152,594,534)					154,999,829
U.S. TREASURY OBLIGATIONS – 19.4%
U.S. Treasury Bonds
4.25%, 11/15/40			1,000		1,275,312
4.38%, 2/15/38			5,410		6,994,113
4.38%, 5/15/41			2,300		2,996,829
4.75%, 2/15/41			4,850		6,683,906
5.38%, 2/15/31			2,630		3,748,570
U.S. Treasury Inflation Indexed Bonds
0.50%, 4/15/15			6,269		6,559,660
1.88%, 7/15/15			1,164		1,283,828
2.00%, 1/15/14			6,434		6,813,204
U.S. Treasury Notes
0.50%, 10/15/14			5,275		5,296,844
1.00%, 8/31/16			3,960		4,003,314
1.50%, 6/30/16			3,200		3,309,251
2.00%, 11/15/21			1,850		1,871,101
2.13%, 8/15/21			13,600		13,948,500
2.38%, 3/31/16			5,000		5,354,295
2.38%, 5/31/18			12,472		13,374,060
3.50%, 5/15/20			4,480		5,153,752
4.25%, 11/15/14			5,000		5,551,560
Total U.S. Treasury Obligations (Cost $89,412,015)					94,218,099

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
SHORT TERM INVESTMENTS – 11.0%
COMMERCIAL PAPER (5) – 7.0%
Bank of Montreal 0.10%, 2/6/12		CA	$	5,000	$	4,999,500
BHP Billiton Finance USA Ltd.
0.13%, 1/23/12 (3)		AU		1,000		999,920
0.16%, 1/9/12 (3)		AU		3,552		3,551,874
Caterpillar Financial Services Corp.
0.05%, 1/25/12				100		99,997
0.08%, 1/5/12				2,700		2,699,976
0.08%, 2/27/12				2,000		1,999,747
Coca-Cola Co. 0.08%, 1/13/12 (3)				1,000		999,973
E.I. du Pont de Nemours & Co. 0.06%, 1/6/12 (3)				1,150		1,149,990
FCAR Owner Trust 0.21%, 1/9/12				4,000		3,999,813
Pfizer, Inc. 0.03%, 1/26/12 (3)				3,000		2,999,937
Philip Morris International, Inc. 0.07%, 1/19/12 (3)				4,000		3,999,860
Thunder Bay Funding LLC 0.13%, 1/17/12 (3)				1,200		1,199,931
0.22%, 3/5/12 (3)				2,500		2,498,891
UBS Finance Delaware LLC 0.19%, 1/17/12				3,000		2,999,747
Total Commercial Paper (Cost $34,199,288)						34,199,156

	Country Code*		Principal Amount (000)		Value
FOREIGN GOVERNMENT OBLIGATIONS (5) – 0.7%
Province of Ontario
0.07%, 3/30/12		CA	$	500	$	499,378
0.08%, 3/9/12		CA		3,000		2,997,568
Total Foreign Government Obligations
(Cost $3,499,460)						3,496,946
U.S. TREASURY OBLIGATIONS (5) – 1.1%
U.S. Treasury Bills 0.01%, 3/29/12 (Cost $5,099,861)				5,100		5,099,755
			Shares
MUTUAL FUNDS – 2.2%
Federated Prime Obligation Fund, 0.19%				4,769,309		4,769,309
State Street Institutional Liquid Reserves Fund, 0.17%				5,864,390		5,864,390
Total Mutual Funds (Cost $10,633,699)						10,633,699
Total Short Term Investments (Cost $53,432,308)						53,429,556
TOTAL INVESTMENTS – 107.3%
(Cost $513,455,840)						521,390,647
Liabilities in excess of other assets – (7.3)%						(35,675,713	)
NET ASSETS – 100.0%					$	485,714,934

FDIC	Federal Deposit Insurance Corporation
TBA	To Be Announced. Securities are purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. At the period end, total market value of the TBA securities amounts to $29,393,983 which represents approximately 6.1% of net assets.
AU	Australia
CA	Canada
GB	Great Britain
KR	Korea, Republic of
KY	Cayman Islands
LU	Luxembourg
MX	Mexico
NL	Netherlands
SE	Sweden
VG	British Virgin Islands

See Notes to Financial Statements.

215

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December 31, 2011	Sun Capital Advisers Trust

+ Amount is less than 0.05%.

* Unless otherwise noted the issuer country code for all securities is United States.

(1) Security is in default and is non-income producing.

(2) Variable rate security. The interest rate shown reflects the rate in effect at the period end.

(3) Eligible for resale under rule 144A or exempt from registration under Section 4(2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration. At the period end, the value of these securities amounted to $80,936,252, representing 16.7% of net assets.

(4) Security (or a portion thereof) has been purchased on a delayed delivery or when-issued basis.

(5) Interest rates represent annualized yield at date of purchase.

(6) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Asset Backed Securities	$	—	$	328,743	$	—	$	328,743
Collateralized Mortgage Obligations		—		559,890		—		559,890
Commercial Mortgage Backed Securities		—		26,537,901		—		26,537,901
Corporate Debt Obligations (a)		—		183,501,282		—		183,501,282
Residential Non-Agency Mortgage Backed Securities		—		5,733,961		—		5,733,961
U.S. Government Guaranteed Notes		—		2,081,386		—		2,081,386
U.S. Government Agency Obligations		—		154,999,829		—		154,999,829
U.S. Treasury Obligations		94,218,099		—		—		94,218,099
Short Term Investments
Commercial Paper		—		34,199,156		—		34,199,156
Foreign Government Obligations		—		3,496,946		—		3,496,946
U.S. Treasury Obligations		5,099,755		—		—		5,099,755
Mutual Funds		10,633,699		—		—		10,633,699
Total Short Term Investments		15,733,454		37,696,102		—		53,429,556
Total Investments	$	109,951,553	$	411,439,094	$	—	$	521,390,647

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
COMMERCIAL PAPER (1) – 55.2%
Bank of Montreal
0.10%, 2/6/12		CA	$	5,000	$	4,999,500
Barclays U.S. Funding LLC
0.16%, 1/3/12				3,000		2,999,973
0.20%, 1/9/12				2,000		1,999,911
BHP Billiton Finance USA Ltd.
0.10%, 1/23/12 (2)		AU		1,400		1,399,914
0.12%, 1/17/12 (2)		AU		600		599,968
0.16%, 1/23/12 (2)		AU		3,000		2,999,707
0.20%, 2/15/12 (2)		AU		2,000		1,999,500
Caterpillar Financial Services Corp.
0.05%, 1/25/12				6,900		6,899,770
Chevron Corp.
0.02%, 1/5/12				6,000		5,999,987
Cisco Systems, Inc.
0.07%, 1/10/12 (2)				5,000		4,999,912
Coca-Cola Co.
0.13%, 1/23/12 (2)				1,100		1,099,913
0.14%, 1/9/12 (2)				2,500		2,499,922
0.14%, 2/13/12 (2)				1,000		999,833
0.15%, 1/5/12 (2)				1,000		999,983
0.18%, 2/1/12 (2)				1,400		1,399,783
E.I. du Pont de Nemours & Co.
0.06%, 1/6/12 (2)				6,100		6,099,949
0.14%, 3/20/12 (2)				900		899,723
FCAR Owner Trust
0.21%, 1/12/12				300		299,981
0.26%, 1/9/12				500		499,971
0.26%, 1/10/12				2,000		1,999,870
0.27%, 1/5/12				1,200		1,199,964
0.35%, 3/1/12				1,000		999,417
General Electric Capital Corp.
0.03%, 1/13/12				3,000		2,999,970
International Business Machines Corp.
0.05%, 1/24/12 (2)				7,000		6,999,776
Nestle Capital Corp.
0.01%, 1/6/12 (2)				2,000		1,999,997
0.05%, 1/20/12 (2)				1,250		1,249,967
0.10%, 3/30/12 (2)				450		449,889
0.11%, 2/9/12 (2)				600		599,929
0.25%, 5/8/12 (2)				1,000		999,111

	Country Code*	Principal Amount (000)		Value
PepsiCo, Inc.
0.04%, 1/11/12 (2)		$	450	$	449,995
0.04%, 1/25/12 (2)			1,365		1,364,964
0.06%, 1/9/12 (2)			500		499,993
0.06%, 1/23/12 (2)			1,335		1,334,951
0.06%, 1/24/12 (2)			850		849,967
0.07%, 1/9/12 (2)			1,500		1,499,977
0.07%, 1/17/12 (2)			1,000		999,969
Pfizer, Inc.
0.03%, 1/26/12 (2)			3,000		2,999,937
0.04%, 1/12/12 (2)			4,000		3,999,951
Philip Morris International, Inc.
0.07%, 1/19/12 (2)			5,000		4,999,825
0.11%, 1/25/12 (2)			2,000		1,999,853
Procter & Gamble Co.
0.07%, 3/27/12 (2)			2,190		2,189,634
0.09%, 1/3/12 (2)			4,810		4,809,976
Rabobank USA Financial Corp.
0.25%, 1/11/12			1,750		1,749,878
0.27%, 1/11/12			450		449,966
0.27%, 2/13/12			2,800		2,799,097
The Goldman Sachs Group, Inc.
0.55%, 3/13/12			1,800		1,798,020
Thunder Bay Funding LLC
0.18%, 1/20/12 (2)			5,000		4,999,525
Toyota Motor Credit Corp.
0.10%, 2/17/12			5,000		4,999,347
UBS Finance Delaware LLC
0.20%, 1/23/12			3,250		3,249,603
0.20%, 1/31/12			1,000		999,833
Wal-Mart Stores, Inc.
0.04%, 1/4/12 (2)			5,000		4,999,983
Total Commercial Paper (Amortized cost $123,239,334)					123,239,334
CORPORATE DEBT OBLIGATIONS – 2.6%
BANKS – 1.2%
Morgan Stanley
0.64%, 1/9/12 (3)			2,700		2,700,001

See Notes to Financial Statements.

217

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
FINANCIALS – 1.4%
The Goldman Sachs Group, Inc.
0.61%, 2/6/12 (3)			$	3,200	$	3,200,131
Total Corporate Debt Obligations (Amortized cost $5,900,132)						5,900,132
FOREIGN GOVERNMENT OBLIGATIONS (1) – 16.2%
Canadian Wheat Board
0.01%, 1/10/12		CA		2,500		2,499,994
0.03%, 1/13/12		CA		2,500		2,499,975
Export Development Canada
0.03%, 1/17/12		CA		4,000		3,999,947
0.03%, 2/1/12		CA		1,000		999,970
Government of Canada
0.01%, 1/30/12		CA		5,000		4,999,960
Province of British Columbia
0.05%, 4/19/12		CA		1,000		999,849
0.07%, 3/27/12		CA		1,000		999,833
0.08%, 1/4/12		CA		5,000		4,999,967
Province of Ontario
0.02%, 1/4/12		CA		1,056		1,055,998
0.02%, 1/31/12		CA		4,500		4,499,925
0.03%, 1/31/12		CA		400		399,990
0.06%, 2/15/12		CA		1,088		1,087,918
Province of Quebec
0.03%, 1/12/12 (2)		CA		1,500		1,499,986
0.10%, 2/2/12 (2)		CA		2,000		1,999,822
0.10%, 3/19/12 (2)		CA		500		499,892
0.11%, 2/14/12 (2)		CA		1,000		999,866
0.11%, 3/19/12 (2)		CA		2,000		1,999,523
Total Foreign Government Obligations (Amortized cost $36,042,415)						36,042,415
FOREIGN GOVERNMENT SPONSORED COMMERCIAL PAPER (1) – 4.5%
European Investment Bank SNAT
0.05%, 2/17/12				5,000		4,999,674
Kreditanstalt fuer Wiederaufbau
0.19%, 1/20/12 (2)		DE		5,000		4,999,499
Total Foreign Government Sponsored Commercial Paper (Amortized cost $9,999,173)						9,999,173

	Country Code*	Principal Amount (000)		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS (1) – 1.0%
Federal Home Loan Mortgage Corp. Discount Notes
0.01%, 1/24/12		$	109	$	108,999
0.02%, 1/17/12			1,000		999,993
Federal National Mortgage Association Discount Notes
0.02%, 1/6/12			700		699,998
0.02%, 1/17/12			460		459,997
Total U.S. Government Agency Obligations (Amortized cost $2,268,987)					2,268,987
U.S. TREASURY OBLIGATIONS (1) – 12.6%
U.S. Treasury Bills
0.00%, 2/23/12			3,300		3,299,995
0.00%, 3/1/12			2,000		1,999,992
0.01%, 2/16/12			2,000		1,999,967
0.01%, 3/8/12			4,000		3,999,963
0.01%, 3/29/12			13,800		13,799,640
0.02%, 2/23/12			3,000		2,999,932
Total U.S. Treasury Obligations (Amortized cost $28,099,489)					28,099,489
		Shares
MUTUAL FUNDS – 8.3%
Federated Prime Obligation Fund, 0.19%			9,130,152		9,130,152
State Street Institutional Liquid Reserves Fund, 0.17%			9,318,787		9,318,787
Total Mutual Funds (Cost $18,448,939)					18,448,939
TOTAL INVESTMENTS – 100.4%
(Cost $223,998,469)					223,998,469
Liabilities in excess of other assets – (0.4)%					(856,042	)
NET ASSETS – 100.0%				$	223,142,427

SNAT	Supranational
AU	Australia
CA	Canada
DE	Germany

* Unless otherwise noted the issuer country code for all securities is United States.

(1) Interest rates represent annualized yield at date of purchase.

See Notes to Financial Statements.

218

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

(2) Security exempt from registration under Section 4(2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration. At the period end, the value of these securities amounted to $88,293,864, representing 39.6% of net assets.

(3) Variable rate security. The interest rate shown reflects the rate in effect at the period end.

(4) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Commercial Paper	$	—	$	123,239,334	$	—	$	123,239,334
Corporate Debt Obligations (a)		—		5,900,132		—		5,900,132
Foreign Government		—		36,042,415		—		36,042,415
Foreign Government Sponsored Commercial Paper		—		9,999,173		—		9,999,173
U.S. Government Agency Obligations		—		2,268,987		—		2,268,987
U.S. Treasury Obligations		—		28,099,489		—		28,099,489
Mutual Funds		18,448,939		—		—		18,448,939
Total Investments	$	18,448,939	$	205,549,530	$	—	$	223,998,469

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

219

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
FOREIGN GOVERNMENT OBLIGATIONS – 16.4%
Deutsche Bundesrepublik Inflation Linked Bond 1.50%, 4/15/16		DE	$	46,821	$	51,053,349
France Government Inflation Linked Bond 1.60%, 7/25/15		FR		35,602		37,150,925
Hellenic Republic Government Inflation Linked Bond 2.30%, 7/25/30		GR		1,004		181,683
Italy Buoni Poliennali Del Tesoro Inflation Linked Bond 2.10%, 9/15/21		IT		1,510		1,117,270
Total Foreign Government Obligations (Cost $90,830,310)						89,503,227
U.S. GOVERNMENT AGENCY OBLIGATIONS – 23.6%
Federal Home Loan Mortgage Corp. 3.50%, 1/1/42				41,975		43,134,604
Federal National Mortgage Association 3.50%, 1/1/42				40,802		41,999,146
Government National Morgage Association 3.50%, 12/20/41				41,975		43,765,494
Total U.S. Government Agency Obligations (Cost $128,065,210)						128,899,244
U.S. TREASURY OBLIGATIONS – 53.7%
U.S. Treasury Inflation Indexed Bonds
0.13%, 4/15/16				23,862		24,876,017
0.50%, 4/15/15				18,718		19,585,506
0.63%, 4/15/13				4,178		4,248,575
0.63%, 7/15/21				2,707		2,895,731
1.13%, 1/15/21				1,568		1,748,917
1.25%, 4/15/14				6,436		6,743,964
1.25%, 7/15/20				1,692		1,914,278
1.38%, 7/15/18				1,817		2,056,757

	Country Code*	Principal Amount (000)		Value
1.38%, 1/15/20		$	1,772	$	2,017,039
1.63%, 1/15/15			7,094		7,650,857
1.63%, 1/15/18			508		578,490
1.75%, 1/15/28			4,507		5,420,243
1.88%, 7/15/13			4,650		4,862,962
1.88%, 7/15/15			440		485,415
1.88%, 7/15/19			1,329		1,565,604
2.00%, 4/15/12			1,686		1,693,471
2.00%, 1/15/14			74		77,865
2.00%, 7/15/14			13,613		14,666,980
2.00%, 1/15/16			7,527		8,413,698
2.00%, 1/15/26			7,662		9,418,378
2.13%, 1/15/19			2,584		3,071,228
2.13%, 2/15/40			14,156		18,996,159
2.13%, 2/15/41			9,487		12,814,052
2.38%, 1/15/17			12,077		14,019,062
2.38%, 1/15/25 (1)			39,288		49,950,866
2.38%, 1/15/27			15,570		20,108,951
2.50%, 7/15/16			5,830		6,743,275
2.50%, 1/15/29			1,420		1,893,910
2.63%, 7/15/17			3,977		4,734,001
3.00%, 7/15/12			2,059		2,103,324
3.38%, 1/15/12			612		612,301
3.38%, 4/15/32			2,725		4,196,976
3.63%, 4/15/28 (1)(2)			12,965		19,277,929
3.88%, 4/15/29 (1)			8,726		13,596,613
Total U.S. Treasury Obligations (Cost $283,222,707)					293,039,394
		Notional Amount (000)
PURCHASED OPTIONS – 0.1%
CALL SWAPTIONS – 0.1%
OTC - 10 Year Interest Rate Swap, exercise rate 4.31%, expires 1/14/13			1,100		201,777
PUT SWAPTIONS – 0.0%+
OTC - 10 Year Interest Rate Swap, exercise rate 3.90%, expires 9/19/13			5,300		66,152

See Notes to Financial Statements.

220

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Notional Amount (000)		Value
OTC - 10 Year Interest Rate Swap, exercise rate 4.31%, expires 1/14/13		1,100	$	3,322
				69,474
Total Purchased Options (Cost $239,880)				271,251

	Shares		Value
SHORT TERM INVESTMENTS – 5.4%
MUTUAL FUNDS – 5.4%
BlackRock Liquidity Funds TempFund, .10%		14,640,146	$	14,640,146
State Street Institutional U.S. Government Money Market Fund, .00%		14,640,145		14,640,145
Total Short Term Investments (Cost $29,280,291)				29,280,291
TOTAL INVESTMENTS – 99.2%
(Cost $531,638,398)				540,993,407
Other assets less liabilities – 0.8%				4,268,993
NET ASSETS – 100.0%			$	545,262,400

OTC	Over the Counter
DE	Germany
FR	France
GR	Greece
IT	Italy

* Unless otherwise noted the issuer country code for all securities is United States.

+ Amount is less than 0.05%.

(1) Security (or a portion thereof) has been pledged as collateral for open swap and swaption contracts. At the period end, the value of securities pledged amounted to $3,531,230.

(2) At the period end, securities (or portions thereof) with an aggregate market value of $2,716,521 and cash of $1,416,000 have been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts		Unrealized Appreciation / (Depreciation) ($)
Short	90-Day Canada Bankers Acceptance March Futures	3/19/12		223		76,110
Short	German Euro-Bobl March Futures	3/8/12		466		(438,677	)
Short	German Euro-Bund March Futures	3/8/12		50		(251,932	)
Short	German Euro-Schatz March Futures	3/8/12		293		(99,013	)
Long	U.S. Treasury 10 Year Note March Futures	3/21/12		383		442,058
Short	U.S. Treasury 2 Year Note March Futures	3/30/12		264		(38,377	)
Short	U.S. Treasury 30 Year Bond March Futures	3/21/12		278		(546,896	)
Short	U.S. Treasury 5 Year Note March Futures	3/30/12		568		(324,926	)
Short	Ultra Long U.S. Treasury Bond March Futures	3/21/12		52		(190,725	)
Net unrealized depreciation						(1,372,378	)

See Notes to Financial Statements.

221

SC SM BLACKROCK INFLATION PROTECTED BOND FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

(3) At the period end, open forward foreign currency exchange contracts were as follows:

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date		Unrealized Appreciation / (Depreciation) ($)
Citibank NA	EUR	68,254,000	USD	89,172,008		1/25/12		824,685
Citibank NA	EUR	1,235,000	USD	1,698,125		1/25/12		99,553
Citibank NA	EUR	83,000	USD	112,434		1/25/12		4,999
Citibank NA	USD	108,797	EUR	80,000		1/25/12		(5,246	)
Deutsche Bank AG (London)	EUR	253,000	USD	340,734		1/25/12		13,253
Deutsche Bank AG (London)	USD	670,273	EUR	500,000		1/25/12		(23,078	)
Net unrealized appreciation								914,166

EUR	–	Euro
USD	–	United States Dollar

(4) At the period end, open written option contracts were as follows:

Options on Exchange-Traded Futures Contracts

Type	Description	Expiration Date		Strike Price ($)		Number of Contracts		Value ($)
Call	U.S. Treasury 10 Year Note January Futures		1/27/12		132.000		71		28,844
Written option contracts (Premium received, $40,317)							71		28,844

Interest Rate Swaptions

Type

Description

Counterparty

Pay/Receive Floating Rate

Floating Rate

Exercise Rate

Expiration Date

Notional Amount (000) ($)

Value ($)

Put

OTC–5 Year Interest Rate Swap

Citibank NA

Pay

3-Month USD-LIBOR

2.00

%

12/13/12

16,900

131,635

Call

OTC–10 Year Interest Rate Swap

Citibank NA

Receive

3-Month USD-LIBOR

2.15

%

9/9/13

5,300

170,978

Call

OTC–10 Year Interest Rate Swap

Citibank NA

Receive

3-Month USD-LIBOR

3.91

%

3/19/12

8,000

1,335,523

Put

OTC–10 Year Interest Rate Swap

Citibank NA

Pay

3-Month USD-LIBOR

3.91

%

3/19/12

8,000

87

Call

OTC–10 Year Interest Rate Swap

Deutsche Bank AG*

Receive

3-Month USD-LIBOR

4.01

%

2/2/12

6,400

1,148,436

Put

OTC–10 Year Interest Rate Swap

Deutsche Bank AG*

Pay

3-Month USD-LIBOR

4.01

%

2/2/12

6,400

1

Written swaptions (Premium received, $1,391,616)

51,000

2,786,660

LIBOR	–	London Interbank Offered Rate
OTC	–	Over the Counter
USD	–	United States Dollar

See Notes to Financial Statements.

222

SC SM BLACKROCK INFLATION PROTECTED BOND FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

(5) At the period end, open swap contracts were as follows:

OTC Interest Rate Swap Contracts

Counterparty	Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate			Expiration Date		Notional Amount (000) ($)		Market Value ($)			Unrealized Appreciation / (Depreciation) ($)
Barclays Bank PLC**	Receive	3-Month USD-LIBOR		4.13	%		12/20/21		6,200		(1,197,885	)		(1,197,885	)
Citibank NA	Pay	3-Month USD-LIBOR		2.71	%		8/8/21		9,500		606,890			606,890
Deutsche Bank AG*	Pay	6-Month EUR-EURIBOR		1.24	%		12/13/13		41,934		38,898			38,898
Deutsche Bank AG*	Pay	3-Month USD-LIBOR		1.16	%		9/23/16		500		(295	)		(295	)
Deutsche Bank AG*	Pay	CPURNSA Index		2.47	%		10/25/20		2,500		33,661			33,661
Deutsche Bank AG*	Pay	CPURNSA Index		2.67	%		6/23/21		4,910		219,048			219,048
Deutsche Bank AG*	Pay	3-Month USD-LIBOR		2.17	%		9/13/21		7,000		105,856			105,856
Deutsche Bank AG*	Pay	3-Month USD-LIBOR		2.08	%		9/28/21		1,900		12,584			12,584
Deutsche Bank AG*	Pay	3-Month USD-LIBOR		2.19	%		11/30/21		3,200		47,872			47,872
Deutsche Bank AG*	Receive	3-Month USD-LIBOR		4.13	%		12/20/21		2,000		(386,414	)		(386,414	)
Deutsche Bank AG*	Receive	3-Month USD-LIBOR		3.99	%		12/21/21		2,000		(360,670	)		(360,670	)
Deutsche Bank AG*	Receive	CPURNSA Index		1.84	%		10/25/15		4,700		61,906			61,906
Total									86,344		(818,549	)		(818,549	)

OTC Total Return Swap Contracts

Pay/Receive Total Return on Reference Entity

Counterparty

Reference Entity

Number of Shares or Units

Floating Rate

Notional Amount (000) ($)

Maturity Date

Market Value ($)

Unrealized Depreciation ($)

Receive

Barclays Bank PLC**

Barclays Capital US TIPS Index

727,263

1-Month USD-LIBOR

201,590

1/20/12

(1,483,619

)

(1,483,619

)

CPURNSA	–	Consumer Price All Urban Non-Seasonally Adjusted Index
EUR	–	Euro
EURIBOR	–	Euro Interbank Offered Rate
LIBOR	–	London Interbank Offered Rate
USD	–	United States Dollar

* At the period end, cash of $700,000 has been pledged as collateral for these open swaps and written swaption contracts.

** At the period end, cash of $960,000 has been pledged as collateral for these open swap contracts.

See Notes to Financial Statements.

223

SC SM BLACKROCK INFLATION PROTECTED BOND FUND PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2011	Sun Capital Advisers Trust

(6) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Foreign Government Obligations	$	—		$	89,503,227		$	—	$	89,503,227
U.S. Government Agency Obligations		—			128,899,244			—		128,899,244
U.S. Treasury Obligations		293,039,394			—			—		293,039,394
Purchased Options (a)		—			271,251			—		271,251
Short Term Investments
Mutual Funds		29,280,291			—			—		29,280,291
Total Investments		322,319,685			218,673,722			—		540,993,407
Financial Derivative Instruments
Futures Contracts		518,168			—			—		518,168
Forward Foreign Currency Exchange Contracts		—			942,490			—		942,490
Swap Contracts (a)		—			1,126,715			—		1,126,715
Total Financial Derivative Instruments	$	518,168		$	2,069,205		$	—	$	2,587,373
Liabilities
Financial Derivative Instruments
Futures Contracts	$	(1,100,924	)	$	(789,622	)	$	—	$	(1,890,546	)
Forward Foreign Currency Exchange Contracts		—			(28,324	)		—		(28,324	)
Written Option Contracts		(28,844	)		—			—		(28,844	)
Written Swaption Contracts		—			(2,786,660	)		—		(2,786,660	)
Swap Contracts (a)		—			(3,428,883	)		—		(3,428,883	)
Total Financial Derivative Instruments	$	(1,129,768	)	$	(7,033,489	)	$	—	$	(8,163,257	)

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

224

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Principal Amount (000)		Value
ASSET BACKED SECURITIES – 6.0%
Access Group, Inc., Series 2003-1, Class A2 0.83%, 12/27/16 (1)		$	3,951	$	3,887,546
Ally Master Owner Trust, Series 2011-3, Class A2 1.81%, 5/15/16			8,300		8,339,310
Bank of America Auto Trust, Series 2009-2A, Class A3 2.13%, 9/15/13 (2)			1,476		1,479,807
Bank of America Auto Trust, Series 2009-3A, Class A3 1.67%, 12/15/13 (2)			3,088		3,095,519
Brazos Higher Education Authority, Series 2004-I, Class A2 0.73%, 6/27/22 (1)			3,969		3,941,037
Brazos Higher Education Authority, Series 2005-1, Class 1A2 0.65%, 12/26/18 (1)			2,857		2,837,564
Brazos Higher Education Authority, Series 2005-2, Class A10 0.69%, 12/26/19 (1)			7,500		7,343,569
Brazos Higher Education Authority, Series 2005-2, Class A9 0.67%, 12/26/17 (1)			3,106		3,092,164
Brazos Higher Education Authority, Series 2011-2, Class A2 1.27%, 7/25/29 (1)			6,100		5,929,310
College Loan Corporation Trust, Series 2004-1, Class A3 0.58%, 4/25/21 (1)			3,269		3,262,689
College Loan Corporation Trust, Series 2005-2, Class A2 0.51%, 10/15/21 (1)			1,005		1,002,251
Ford Credit Auto Owner Trust, Series 2009-E, Class A3 1.51%, 1/15/14			3,760		3,773,653
Northstar Education Finance, Inc., Series 2004-1, Class A3 0.59%, 4/28/17 (1)			485		483,197

	Country Code**	Principal Amount (000)		Value
Northstar Education Finance, Inc., Series 2004-2, Class A1 0.54%, 4/28/16 (1)		$	2,875	$	2,796,508
SLM Student Loan Trust, Series 2003-11, Class A4 0.74%, 6/15/20 (1)			4,013		3,999,525
SLM Student Loan Trust, Series 2004-2, Class A4 0.55%, 10/25/19 (1)			2,607		2,593,952
SLM Student Loan Trust, Series 2007-1, Class A3 0.45%, 7/25/18 (1)			4,691		4,678,578
SLM Student Loan Trust, Series 2007-7, Class A2 0.62%, 1/25/16 (1)			2,194		2,186,155
Student Loan Consolidation Center, Series 2011-1, Class A 1.51%, 10/25/27 (1)(2)			1,862		1,807,581
World Financial Network Credit Card Master Trust, Series 2009-B, Class A 3.79%, 5/15/16			4,500		4,564,022
Total Asset Backed Securities (Cost $71,124,188)					71,093,937
COLLATERALIZED MORTGAGE OBLIGATIONS – 2.2%
Federal National Mortgage Association, Series 2009-70, Class AL 5.00%, 8/25/19			9,726		10,428,428
FHLMC Multifamily Structured Pass Through Trust, Series K703, Class A2 2.70%, 5/25/18			15,400		15,833,756
Total Collateralized Mortgage Obligations (Cost $25,826,606)					26,262,184
CORPORATE DEBT OBLIGATIONS – 45.8%
AUTO PARTS – 0.4%
Johnson Controls, Inc. 1.75%, 3/1/14			4,825		4,866,712

See Notes to Financial Statements.

225

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Principal Amount (000)		Value
BANKS – 14.0%
Achmea Hypotheekbank NV 3.20%, 11/3/14 (2)		NL	$	2,249	$	2,360,206
Banco Santander Chile 2.88%, 11/13/12 (2)		CL		6,400		6,425,510
Bank of America Corp. 1.85%, 1/30/14 (1)				725		654,546
Canadian Imperial Bank of Commerce
1.50%, 12/12/14 (2)		CA		11,600		11,615,927
2.60%, 7/2/15 (2)		CA		5,200		5,378,105
Capital One Financial Corp.
2.13%, 7/15/14				2,800		2,764,104
7.38%, 5/23/14				3,522		3,869,664
Cie de Financement Foncier 2.13%, 4/22/13 (2)		FR		700		692,483
Citigroup, Inc.
5.50%, 10/15/14				6,625		6,810,811
6.38%, 8/12/14				1,875		1,967,852
Commonwealth Bank of Australia 2.40%, 1/12/12 (2)		AU		4,600		4,601,881
Credit Suisse New York 1.36%, 1/14/14 (1)		CH		8,100		7,839,496
DnB NOR Boligkreditt
2.10%, 10/14/15 (2)		NO		8,100		8,034,366
2.90%, 3/29/16 (2)		NO		7,600		7,726,130
ING Bank NV
1.94%, 6/9/14 (1)(2)		NL		3,525		3,376,213
2.50%, 1/14/16 (2)		NL		5,500		5,400,879
3.90%, 3/19/14 (2)		NL		2,700		2,848,535
Intesa Sanpaolo New York 2.38%, 12/21/12		IT		4,800		4,465,104
JPMorgan Chase & Co. 1.22%, 1/24/14 (1)				11,825		11,646,005
Morgan Stanley
3.80%, 4/29/16				1,950		1,796,562
4.10%, 1/26/15				3,250		3,084,920
Nordea Eiendomskreditt A/S 1.88%, 4/7/14 (2)		NO		500		500,452
Royal Bank of Scotland PLC 1.50%, 3/30/12 (2)		GB		9,400		9,416,723
2.63%, 5/11/12 (2)		GB		4,800		4,831,070
Royal Bank of Scotland PLC, Series 2 3.40%, 8/23/13		GB		2,725		2,651,049

	Country Code**		Principal Amount (000)		Value
SpareBank 1 Boligkreditt
1.25%, 10/25/13 (2)		NO	$	8,300	$	8,240,937
2.63%, 5/27/16 (2)		NO		9,100		9,178,870
Stadshypotek AB 1.45%, 9/30/13 (2)		SE		7,500		7,486,830
Standard Chartered PLC 3.85%, 4/27/15 (2)		GB		3,150		3,170,359
Swedbank Hypotek AB 1.02%, 3/28/14 (1)(2)		SE		1,600		1,572,683
UBS AG 2.25%, 8/12/13		CH		4,050		4,013,894
Wachovia Corp. 5.50%, 5/1/13				9,875		10,419,103
Wells Fargo & Co. 4.38%, 1/31/13				1,000		1,033,501
						165,874,770
BIOTECHNOLOGY – 0.2%
Life Technologies Corp. 4.40%, 3/1/15				2,275		2,364,082
CABLE – 0.3%
Time Warner Cable, Inc. 6.20%, 7/1/13				3,350		3,594,768
COMPUTER & PERIPHERALS – 0.6%
Dell, Inc. 1.40%, 9/10/13				3,050		3,070,252
Hewlett-Packard Co. 6.13%, 3/1/14				3,250		3,504,319
						6,574,571
ELECTRIC UTILITIES – 1.9%
Arizona Public Service Co. 6.50%, 3/1/12				2,725		2,749,539
Commonwealth Edison Co. 1.63%, 1/15/14				4,800		4,834,814
Dominion Resources, Inc. 1.80%, 3/15/14				3,100		3,156,330
DTE Energy Co. 7.63%, 5/15/14				3,400		3,863,702
Enel Finance International SA 5.70%, 1/15/13 (2)		LU		1,292		1,296,871
Georgia Power Co. 1.30%, 9/15/13				1,650		1,665,243

See Notes to Financial Statements.

226

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**		Principal Amount (000)		Value
Wisconsin Electric Power Co. 6.00%, 4/1/14			$	3,875	$	4,316,021
						21,882,520
ELECTRONICS – 0.4%
Thermo Fisher Scientific, Inc. 2.05%, 2/21/14				4,875		4,992,814
ENVIRONMENTAL SERVICES – 0.4%
Waste Management, Inc.
5.00%, 3/15/14				1,825		1,955,858
6.38%, 11/15/12				2,275		2,378,328
						4,334,186
FINANCIALS – 1.6%
American Express Credit Corp. 2.75%, 9/15/15				5,200		5,227,581
Caisse centrale Desjardins du Quebec 2.55%, 3/24/16 (2)		CA		800		821,467
General Electric Capital Corp. 6.00%, 6/15/12				1,000		1,022,480
HSBC Finance Corp. 0.69%, 4/24/12 (1)				3,400		3,360,203
John Deere Capital Corp. 5.25%, 10/1/12				525		543,274
LeasePlan Corp. NV 3.00%, 5/7/12 (2)		NL		3,900		3,929,788
Merrill Lynch & Co., Inc. 5.45%, 7/15/14				4,625		4,586,021
						19,490,814
FOOD, BEVERAGES & RESTAURANTS – 2.0%
Anheuser-Busch InBev NV 4.70%, 4/15/12				1,725		1,744,280
Anheuser-Busch InBev Worldwide, Inc.
2.50%, 3/26/13				3,075		3,131,841
3.00%, 10/15/12				1,725		1,752,000
5.38%, 11/15/14				1,325		1,472,245
General Mills, Inc.
5.25%, 8/15/13				2,125		2,270,941
6.00%, 2/15/12				2,850		2,866,530
Kellogg Co.
4.25%, 3/6/13				998		1,036,278
5.13%, 12/3/12				2,050		2,130,538

	Country Code**		Principal Amount (000)		Value
Kraft Foods, Inc. 2.63%, 5/8/13			$	4,950	$	5,057,054
Pepsico, Inc. 4.65%, 2/15/13				1,000		1,046,253
The Kroger Co. 6.75%, 4/15/12				1,200		1,219,989
						23,727,949
HEALTH CARE-PRODUCTS – 1.5%
Becton, Dickinson & Co. 1.75%, 11/8/16				2,900		2,921,802
Covidien International Finance SA 1.88%, 6/15/13		LU		5,375		5,426,036
Dentsply International, Inc. 1.96%, 8/15/13 (1)				4,275		4,303,942
St. Jude Medical, Inc. 3.75%, 7/15/14				4,850		5,143,347
						17,795,127
INSURANCE – 1.1%
Metropolitan Life Global Funding I
2.50%, 1/11/13 (2)				3,000		3,036,345
5.13%, 4/10/13 (2)				1,000		1,044,633
5.13%, 6/10/14 (2)				2,750		2,961,002
New York Life Global Funding 4.65%, 5/9/13 (2)				1,000		1,048,421
Prudential Financial, Inc.
2.75%, 1/14/13				4,350		4,387,480
5.10%, 9/20/14				774		832,480
						13,310,361
INVESTMENT COMPANIES – 1.1%
FIH Erhvervsbank A/S
2.00%, 6/12/13 (2)		DK		6,100		6,186,900
2.45%, 8/17/12 (2)		DK		7,200		7,273,253
						13,460,153
MANUFACTURING DIVERSIFIED – 0.3%
Tyco International Finance SA 6.00%, 11/15/13		LU		3,115		3,374,582
MULTIMEDIA – 1.6%
Comcast Cable Communications Holdings, Inc. 8.38%, 3/15/13				4,300		4,676,310

See Notes to Financial Statements.

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	Country Code**		Principal Amount (000)		Value
NBCUniversal Media LLC 2.10%, 4/1/14			$	2,975	$	3,024,013
Reed Elsevier Capital, Inc. 4.63%, 6/15/12				5,650		5,742,350
The Walt Disney Co. 6.38%, 3/1/12				2,700		2,724,316
Thomson Reuters Corp. 5.95%, 7/15/13		CA		3,000		3,196,470
						19,363,459
OFFICE EQUIPMENT – 0.3%
Xerox Corp. 1.28%, 5/16/14 (1)				4,025		3,965,893
OIL & GAS – 1.8%
Apache Corp. 6.00%, 9/15/13				4,000		4,357,652
BP Capital Markets PLC 3.13%, 10/1/15		GB		2,700		2,828,042
Gazprom OAO Via Gaz Capital SA 9.25%, 4/23/19		LU		380		451,782
PC Financial Partnership 5.00%, 11/15/14				2,650		2,863,836
Shell International Finance BV 1.88%, 3/25/13		NL		5,700		5,806,083
TNK-BP Finance SA
6.63%, 3/20/17		LU		516		523,740
7.50%, 7/18/16		LU		346		365,030
7.88%, 3/13/18		LU		270		288,563
Total Capital Canada Ltd. 1.63%, 1/28/14		CA		3,250		3,304,701
						20,789,429
PERSONAL PRODUCTS – 0.6%
Colgate-Palmolive Co. 0.60%, 11/15/14				3,075		3,073,951
The Procter & Gamble Co. 0.70%, 8/15/14				4,350		4,371,202
						7,445,153
PHARMACEUTICALS – 1.4%
Express Scripts, Inc.
5.25%, 6/15/12				3,075		3,133,133
6.25%, 6/15/14				900		980,943
McKesson Corp. 3.25%, 3/1/16				3,075		3,254,343

	Country Code**		Principal Amount (000)		Value
Medco Health Solutions, Inc. 2.75%, 9/15/15			$	2,700	$	2,715,271
Novartis Capital Corp. 1.90%, 4/24/13				2,975		3,033,396
Teva Pharmaceutical Finance III LLC 1.50%, 6/15/12				3,650		3,663,848
						16,780,934
PIPELINES – 0.3%
Enterprise Products Operating LLC 7.63%, 2/15/12				2,475		2,490,608
TransCanada PipeLines Ltd. 8.63%, 5/15/12		CA		1,525		1,569,873
						4,060,481
REAL ESTATE INVESTMENT TRUSTS – 0.8%
HCP, Inc. 2.70%, 2/1/14				1,525		1,522,783
Simon Property Group LP 4.20%, 2/1/15				3,675		3,897,058
WEA Finance LLC / WCI Finance LLC 5.40%, 10/1/12(2)				4,350		4,456,897
						9,876,738
REFINING – 0.6%
Energy Transfer Partners LP 5.65%, 8/1/12				3,325		3,397,056
XTO Energy, Inc. 5.75%, 12/15/13				3,175		3,477,975
						6,875,031
RETAIL – 0.4%
Wal-Mart Stores, Inc. 3.20%, 5/15/14				4,000		4,224,380
SAVINGS & LOANS – 0.2%
U.S. Central Federal Credit Union 1.90%, 10/19/12				2,400		2,433,482
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 0.3%
Intel Corp. 1.95%, 10/1/16				3,175		3,263,954

See Notes to Financial Statements.

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	Country Code**		Principal Amount (000)		Value
SOFTWARE – 0.8%
Microsoft Corp. 2.95%, 6/1/14			$	5,000	$	5,311,360
Oracle Corp. 4.95%, 4/15/13				4,100		4,329,797
						9,641,157
SPECIAL PURPOSE BANKS – 3.8%
Kreditanstalt fuer Wiederaufbau
0.29%, 6/17/13 (1)		DE		11,900		11,894,371
2.50%, 5/28/13		DE		5,500		5,627,364
Landwirtschaftliche Rentenbank
1.88%, 9/24/12		DE		12,300		12,402,287
3.25%, 3/15/13		DE		9,000		9,249,570
4.13%, 7/15/13		DE		5,200		5,448,544
						44,622,136
SPECIAL PURPOSE ENTITIES – 0.4%
MassMutual Global Funding II 1.07%, 9/27/13 (1)(2)				5,300		5,278,339
TELECOMMUNICATIONS – 3.8%
AT&T, Inc.
2.40%, 8/15/16				7,950		8,111,282
2.95%, 5/15/16				2,800		2,917,984
France Telecom SA 4.38%, 7/8/14		FR		6,000		6,337,914
Rogers Communications, Inc.
5.50%, 3/15/14		CA		625		673,710
6.38%, 3/1/14		CA		4,250		4,686,186
Telecom Italia Capital 5.25%, 11/15/13		LU		4,175		4,010,438
Telefonica Emisiones SAU 5.86%, 2/4/13		ES		3,500		3,558,681
Verizon Wireless Capital LLC
5.25%, 2/1/12				4,625		4,640,942
7.38%, 11/15/13				1,803		2,007,532
Vodafone Group PLC
2.88%, 3/16/16		GB		4,225		4,383,877
5.35%, 2/27/12		GB		3,225		3,246,991
						44,575,537

	Country Code**		Principal Amount (000)		Value
TOBACCO – 0.3%
Philip Morris International, Inc. 4.88%, 5/16/13			$	3,750	$	3,957,206
TRANSPORTATION – 1.3%
Burlington Northern Santa Fe Corp. 5.90%, 7/1/12				4,200		4,294,865
CSX Corp. 5.75%, 3/15/13				2,450		2,579,017
OeBB Infrastruktur AG 4.63%, 11/21/13		AT		7,700		8,089,828
						14,963,710
UTILITIES – 1.3%
Duke Energy Corp. 6.30%, 2/1/14				4,650		5,130,270
MidAmerican Energy Holdings Co. 5.00%, 2/15/14				3,600		3,868,024
Progress Energy, Inc. 6.85%, 4/15/12				3,050		3,101,630
Public Service Co. of Colorado 7.88%, 10/1/12				1,125		1,183,275
Southern Co. 4.15%, 5/15/14				1,400		1,495,549
						14,778,748
Total Corporate Debt Obligations (Cost $539,128,030)						542,539,176
FOREIGN GOVERNMENT AGENCY OBLIGATIONS – 0.1%
Swedish Housing Finance Corp. 3.13%, 3/23/12 (2) (Cost $1,706,557)		SE		1,700		1,709,432
FOREIGN GOVERNMENT OBLIGATIONS – 1.5%
Colombia Government International Bond 4.38%, 7/12/21		CO		3,140		3,375,500
Province of Ontario 1.88%, 11/19/12		CA		14,300		14,474,317
Total Foreign Government Obligations (Cost $17,421,533)						17,849,817

See Notes to Financial Statements.

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	Country Code**	Principal Amount (000)		Value
MUNICIPAL BONDS – 3.4%
County of Suffolk NY 1.50%, 9/13/12		$	5,360	$	5,378,331
New York City, Subseries D 5.07%, 12/1/14			5,300		5,861,429
New York State Dormitory Authority
1.53%, 3/15/13			1,060		1,072,148
2.00%, 3/15/14			719		737,694
North Texas Tollway Authority 2.44%, 9/1/13			3,975		4,072,109
Pennsylvania Higher Education Assistance Agency 1.02%, 4/25/19 (1)			2,468		2,468,971
San Francisco, California City & County Airports Commission 1.87%, 5/1/12			3,500		3,513,685
South Carolina Student Loan Corp., Series A-1 0.63%, 12/3/18 (1)			5,675		5,592,047
State of California 3.95%, 11/1/15			1,950		2,044,419
State of New Jersey 2.02%, 8/15/14			5,300		5,480,677
State of Wisconsin 4.80%, 5/1/13			4,300		4,512,291
Total Municipal Bonds (Cost $40,246,251)					40,733,801
U.S. GOVERNMENT GUARANTEED NOTES – 6.3%
FDIC Structured Sale Guaranteed Notes, Series 2010-S1, Class 1A 0.85%, 2/25/48 (1)(2)			1,788		1,784,045
NCUA Guaranteed Notes, Series 2010-A1, Class A 0.62%, 12/7/20 (1)			2,067		2,072,747
NCUA Guaranteed Notes, Series 2010-R1, Class 1A 0.72%, 10/7/20 (1)			1,304		1,305,236
NCUA Guaranteed Notes, Series 2010-R1, Class 2A 1.84%, 10/7/20			599		602,991

	Country Code**	Principal Amount (000)		Value
NCUA Guaranteed Notes, Series 2010-R2, Class 1A 0.64%, 11/6/17 (1)		$	2,675	$	2,674,733
NCUA Guaranteed Notes, Series 2011-R1, Class 1A 0.72%, 1/8/20 (1)			2,413		2,417,047
NCUA Guaranteed Notes, Series 2011-R3, Class 1A 0.68%, 3/11/20 (1)			4,270		4,275,838
NCUA Guaranteed Notes, Series 2011-R4, Class 1A 0.65%, 3/6/20 (1)			4,439		4,439,247
NCUA Guaranteed Notes, Series 2011-R5, Class 1A 0.65%, 4/6/20 (1)			4,427		4,427,907
NCUA Guaranteed Notes, Series 2011-R6, Class 1A 0.65%, 5/7/20 (1)			4,329		4,329,385
TLGP Ally Financial, Inc. 2.20%, 12/19/12			6,900		7,031,583
TLGP Citigroup Funding, Inc.
1.88%, 10/22/12			11,300		11,455,488
1.88%, 11/15/12			4,300		4,361,903
TLGP Citigroup, Inc. 2.13%, 4/30/12			8,600		8,657,336
TLGP General Electric Capital Corp. 2.20%, 6/8/12			15,000		15,137,700
Total U.S. Government Guaranteed Notes (Cost $74,440,221)					74,973,186
U.S. GOVERNMENT AGENCY OBLIGATIONS – 12.8%
Federal Home Loan Mortgage Corp.
0.38%, 10/30/13			22,300		22,272,236
0.63%, 12/29/14			9,500		9,493,046
1.00%, 8/20/14			5,800		5,836,668
4.50%, 1/15/13(3)			8,200		8,560,046
4.50%, 5/1/23			9		9,076

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code**	Principal Amount (000)			Value
5.00%, 3/1/16		$	1		$	732
5.00%, 5/1/16			2			1,893
5.00%, 9/1/16			3			3,423
5.00%, 11/1/16			59			63,044
5.00%, 3/1/18			1			774
5.50%, 1/1/20			695			758,961
6.50%, 10/1/37			437			495,810
6.50%, 12/1/38			261			295,306
Federal National Mortgage Association
0.60%, 11/14/13			12,000			12,004,320
0.75%, 12/19/14			3,000			3,009,249
1.13%, 7/25/14			10,000			10,003,180
2.80%, 3/1/18			3,352			3,474,805
3.42%, 10/1/20			1,582			1,676,354
3.63%, 12/1/20			1,187			1,272,906
3.74%, 6/1/18			29,999			32,233,308
3.75%, 3/1/18			4,100			4,425,195
3.84%, 5/1/18			2,320			2,513,385
4.32%, 7/1/21			19,903			21,948,229
5.50%, 5/1/25			9,927			10,789,882
6.00%, 3/1/32			0	*		81
6.00%, 5/1/33			3			2,889
6.00%, 12/1/33			1			1,651
6.00%, 4/1/35			2			1,888
6.00%, 2/1/36			4			4,388
6.00%, 3/1/36			3			3,248
6.00%, 5/1/36			1			1,219
6.00%, 6/1/36			3			3,428
Total U.S. Government Agency Obligations (Cost $149,848,109)						151,160,620

	Country Code**	Principal Amount (000)		Value
U.S. TREASURY OBLIGATIONS – 20.8%
U.S. Treasury Inflation Indexed Bonds
1.88%, 7/15/13		$	7,027	$	7,348,590
2.00%, 7/15/14			4,204		4,529,962
U.S. Treasury Notes
0.25%, 11/30/13			58,900		58,906,891
0.25%, 12/15/14			12,100		12,060,300
0.38%, 8/31/12			15,000		15,026,370
0.38%, 10/31/12			24,500		24,548,804
0.38%, 11/15/14			15,900		15,909,937
0.63%, 7/31/12			86,600		86,867,248
1.38%, 1/15/13			20,400		20,653,409
Total U.S. Treasury Obligations (Cost $245,442,686)					245,851,511
		Shares
SHORT TERM INVESTMENTS – 0.6%
MUTUAL FUNDS – 0.6%
State Street Institutional Liquid Reserves Fund, 0.17% (Cost $6,948,299)			6,948,299		6,948,299
TOTAL INVESTMENTS – 99.5%
(Cost $1,172,132,480)					1,179,121,963
Other assets less liabilities – 0.5%					5,895,765
NET ASSETS – 100.0%				$	1,185,017,728

FDIC	Federal Deposit Insurance Corporation
FHLMC	Federal Home Loan Mortgage Corporation
NCUA	National Credit Union Administration
TLGP	Temporary Liquidity Guarantee Program. Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012.
AT	Austria
AU	Australia
CA	Canada
CH	Switzerland
CL	Chile
CO	Columbia
DE	Germany
DK	Denmark
ES	Spain
FR	France
GB	Great Britain
IT	Italy
LU	Luxembourg

See Notes to Financial Statements.

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December 31, 2011	Sun Capital Advisers Trust

NL	Netherlands
NO	Norway
SE	Sweden

* Amount is less than $500.

** Unless otherwise noted the issuer country code for all securities is United States.

(1) Variable rate security. The interest rate shown reflects the rate in effect at the period end.

(2) Eligible for resale under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $150,068,459, representing 12.7% of net assets.

(3) At the period end, securities (or portions thereof) with an aggregate market value of $1,409,276 have been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts		Unrealized Appreciation / (Depreciation) ($)
Short	U.S. Treasury 10 Year Note March Futures	3/21/12		426		(367,523	)
Long	U.S. Treasury 2 Year Note March Futures	3/30/12		1,650		108,855
Short	U.S. Treasury 30 Year Bond March Futures	3/21/12		229		(700,331	)
Short	U.S. Treasury 5 Year Note March Futures	3/30/12		152		(17,530	)
Long	Ultra Long U.S. Treasury Bond March Futures	3/21/12		65		164,702
Net unrealized depreciation						(811,827	)

(4) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Asset Backed Securities	$	—	$	71,093,937	$	—	$	71,093,937
Collateralized Mortgage Obligations		—		26,262,184		—		26,262,184
Corporate Debt Obligations (a)		—		542,539,176		—		542,539,176
Foreign Government Agency Obligations		—		1,709,432		—		1,709,432
Foreign Government Obligations		—		17,849,817		—		17,849,817
Municipal Bonds		—		40,733,801		—		40,733,801
U.S. Government Guaranteed Notes		—		74,973,186		—		74,973,186
U.S. Government Agency Obligations		—		151,160,620		—		151,160,620
U.S. Treasury Obligations		245,851,511		—		—		245,851,511
Short Term Investments
Mutual Funds		6,948,299		—		—		6,948,299
Total Investments		252,799,810		926,322,153		—		1,179,121,963

See Notes to Financial Statements.

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December 31, 2011	Sun Capital Advisers Trust

Assets (Continued)	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Financial Derivative Instruments
Futures Contracts	$	273,557		$	—	$	—	$	273,557
Total Financial Derivative Instruments	$	273,557		$	—	$	—	$	273,557
Liabilities
Financial Derivative Instruments
Futures Contracts	$	(1,085,384	)	$	—	$	—	$	(1,085,384	)
Total Financial Derivative Instruments	$	(1,085,384	)	$	—	$	—	$	(1,085,384	)

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

233

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PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Country Code*	Principal Amount (000)		Value
ASSET BACKED SECURITIES – 0.2%
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF1A 0.36%, 1/25/37 (1)		$	21	$	4,298
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 5.72%, 1/25/37 (2)			291		104,538
Lehman XS Trust, Series 2005-7N, Class 3A1 0.57%, 12/25/35 (1)			268		118,921
SACO I Trust, Series 2005-2, Class A 0.69% 4/25/35 (1)(3)			20		7,730
Total Asset Backed Securities (Cost $188,166)					235,487
COLLATERALIZED MORTGAGE OBLIGATIONS – 1.7%
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6 0.69%, 5/25/35 (1)			40		25,908
Banc of America Funding Corp., Series 2006-A, Class 3A2 2.79%, 2/20/36 (1)			321		166,544
Banc of America Funding Corp., Series 2006-B, Class 2A1 2.87%, 3/20/36 (1)			120		76,292
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3 5.30%, 10/25/35 (1)			46		26,712

	Country Code*	Principal Amount (000)		Value
Countrywide Alternative Loan Trust, Series 2006-0A2, Class A5 0.51%, 5/20/46 (1)		$	52	$	18,941
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A1 0.61%, 3/25/35 (1)			71		39,931
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class A1A 0.61%, 3/25/35 (1)			42		19,573
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 1A3 5.50%, 12/25/35			29		19,899
Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR1, Class 2A1A 0.53%, 3/19/45 (1)			17		10,045
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2, Class 1A5 6.00%, 5/25/36			34		23,639
Harborview Mortgage Loan Trust, Series 2006-1, Class 2A1A 0.52%, 3/19/36 (1)			386		201,379
IndyMac IMSC Mortgage Loan Trust, Series 2007-F2, Class 1A2 6.00%, 7/25/37			223		164,422
IndyMac INDEX Mortgage Loan Trust, Series 2005-AR13, Class 4A1 2.44%, 8/25/35 (1)			33		21,638

See Notes to Financial Statements.

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	Country Code*	Principal Amount (000)		Value
IndyMac INDEX Mortgage Loan Trust, Series 2005-AR15, Class A1 4.91%, 9/25/35 (1)		$	46	$	31,958
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A97 6.00%, 8/25/37			56		46,516
MortgageIT Trust, Series 2005-1, Class 1A1 0.61%, 2/25/35 (1)			253		193,375
Residential Accredit Loans, Inc., Series 2006-Q010, Class A1 0.45%, 1/25/37 (1)			530		281,651
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1 5.50%, 2/25/36 (1)			254		130,576
Residential Asset Securitization Trust, Series 2006-R1, Class A2 0.69%, 1/25/46 (1)			1,815		755,288
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3 6.00%, 5/25/37			51		35,684
Structured Asset Mortgage Investments, Inc., Series 2005-AR6, Class 2A1 0.60%, 9/25/45 (1)			27		14,584
Wamu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 1A2 5.93%, 10/25/36 (1)			398		257,614
Wamu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 2A3 5.68%, 10/25/36 (1)			79		57,556

	Country Code*	Principal Amount (000)		Value
Wamu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 1A1 2.39%, 12/25/36 (1)		$	138	$	88,941
Total Collateralized Mortgage Obligations (Cost $2,277,148)					2,708,666
CORPORATE DEBT OBLIGATIONS – 87.8%
ADVERTISING – 0.6%
Affinion Group, Inc. 7.88%, 12/15/18			500		422,500
Lamar Media Corp. 7.88%, 4/15/18			250		265,000
Visant Corp. 10.00%, 10/1/17			375		343,125
					1,030,625
AEROSPACE & DEFENSE – 1.1%
Alliant Techsystems, Inc. 6.88%, 9/15/20			250		255,000
BE Aerospace, Inc. 6.88%, 10/1/20			250		272,500
Esterline Technologies Corp. 7.00%, 8/1/20			375		395,625
TransDigm, Inc. 7.75%, 12/15/18			750		806,250
					1,729,375
AGRICULTURAL – 0.1%
Brickman Group Holdings, Inc. 9.13%, 11/1/18 (3)			250		222,500
AIRLINES – 0.7%
Continental Airlines, Inc. 7.75%, 7/2/14			184		185,394
Delta Air Lines, Inc. 9.50%, 9/15/14 (3)			397		408,910
United Air Lines, Inc. 9.75%, 1/15/17			534		576,294
					1,170,598
AUTO PARTS – 0.6%
Tomkins LLC 9.00%, 10/1/18 (2)			900		997,875

See Notes to Financial Statements.

235

SC ^SM PIMCO HIGH YIELD FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
AUTOMOBILES & COMPONENTS – 0.4%
Exide Technologies 8.63%, 2/1/18			$	500	$	385,000
Hyva Global BV 8.63%, 3/24/16 (3)		NL		250		206,250
Oshkosh Corp. 8.25%, 3/1/17				50		52,000
8.50%, 3/1/20				50		51,500
						694,750
AUTOMOTIVE – 3.7%
Allison Transmission, Inc. 7.13%, 5/15/19 (3)				200		196,000
Arvinmeritor, Inc. 8.13%, 9/15/15				105		93,975
Commercial Vehicle Group, Inc. 7.88%, 4/15/19 (3)				200		192,500
Conti-Gummi Finance BV 7.13%, 10/15/18		NL		324		323,563
7.50%, 9/15/17		NL		129		131,366
8.50%, 7/15/15		NL		97		104,592
Cooper-Standard Automotive, Inc. 8.50%, 5/1/18				375		392,344
Ford Motor Credit Co. LLC 6.63%, 8/15/17				500		544,279
7.00%, 10/1/13				165		174,955
7.50%, 8/1/12				125		129,015
8.00%, 12/15/16				1,000		1,134,609
8.13%, 1/15/20				225		264,840
12.00%, 5/15/15				1,000		1,224,990
Pittsburgh Glass Works LLC 8.50%, 4/15/16 (3)				175		168,437
The Goodyear Tire & Rubber Co. 8.25%, 8/15/20				300		327,000
10.50%, 5/15/16				65		71,663
TRW Automotive, Inc. 7.25%, 3/15/17 (3)				500		535,000
						6,009,128

	Country Code*		Principal Amount (000)		Value
BANKS – 5.7%
Ally Financial, Inc. 0.00%, 6/15/15 (4)			$	500	$	370,000
4.50%, 2/11/14				1,000		965,000
6.25%, 12/1/17				250		241,150
7.50%, 9/15/20				250		252,500
8.00%, 11/1/31				770		727,650
8.30%, 2/12/15				250		263,750
Bank of America Corp. 6.00%, 9/1/17				285		278,339
Barclays Bank PLC 14.00%, 6/15/19 (1)		GB		621		695,744
Credit Agricole SA 8.38%, 10/13/19 (1)(3)		FR		750		562,500
HBOS PLC 6.75%, 5/21/18 (3)		GB		2,100		1,683,763
Intesa Sanpaolo SpA 8.05%, 6/20/18 (1)		IT		518		332,881
Rabobank Nederland Boerenleenbank BA 11.00%, 6/30/19 (1)(3)		NL		600		702,000
RBS Capital Trust 6.47%, 6/30/12 (5)				65		32,292
Regions Bank 7.50%, 5/15/18				175		173,250
Regions Financial Corp. 7.38%, 12/10/37				1,000		840,000
Royal Bank of Scotland Group PLC 7.65%, 9/30/31 (1)		GB		375		255,469
Societe Generale 5.92%, 4/15/17 (1)(3)		FR		150		91,303
Wachovia Capital Trust III 5.57%, 1/17/12 (1)				1,000		837,500
						9,305,091
BIOTECHNOLOGY – 0.2%
STHI Holding Corp. 8.00%, 3/15/18 (3)				350		359,625
BUILDING & CONSTRUCTION – 0.3%
Aguila 3 SA 7.88%, 1/31/18 (3)		LU		450		436,500

See Notes to Financial Statements.

236

SC ^SM PIMCO HIGH YIELD FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
BUILDING MATERIALS – 1.5%
Associated Materials LLC 9.13%, 11/1/17			$	500	$	436,250
Building Materials Corp. of America 6.75%, 5/1/21 (3)				250		262,500
6.88%, 8/15/18 (3)				100		105,000
7.50%, 3/15/20 (3)				250		270,000
Calcipar SA 6.88%, 5/1/18 (3)		LU		200		180,000
Cemex SAB de CV 9.00%, 1/11/18 (3)		MX		500		398,750
Grohe Holding Gmbh 5.43%, 9/15/17 (1)		DE		129		113,894
Masonite International Corp. 8.25%, 4/15/21 (3)		CA		500		490,000
Roofing Supply Group LLC 8.63%, 12/1/17 (3)				135		137,700
Xefin Lux SCA 8.00%, 6/1/18		LU		129		116,483
						2,510,577
CHEMICALS – 4.3%
Basell Finance Co. BV 8.10%, 3/15/27 (3)		NL		300		327,000
Celanese US Holdings LLC 5.88%, 6/15/21				250		258,125
6.63%, 10/15/18				125		132,813
CF Industries, Inc. 6.88%, 5/1/18				250		286,250
7.13%, 5/1/20				125		147,812
Chemtura Corp. 7.88%, 9/1/18				250		257,500
Hexion US Finance Corp. 8.88%, 2/1/18				750		703,125
9.00%, 11/15/20				750		618,750
Huntsman International LLC 8.63%, 3/15/20				400		424,000
8.63%, 3/15/21				100		106,000
Ineos Finance PLC 9.00%, 5/15/15 (3)		GB		500		507,500
9.25%, 5/15/15		GB		162		159,355

	Country Code*		Principal Amount (000)		Value
Ineos Group Holdings PLC 7.88%, 2/15/16		GB	$	971	$	718,309
Kinove German Bondco GmbH 9.63%, 6/15/18 (3)		DE		350		332,500
Lyondell Chemical Co. 8.00%, 11/1/17				203		221,777
11.00%, 5/1/18				175		190,843
Nalco Co. 6.63%, 1/15/19 (3)				500		578,750
Oxea Finance 9.50%, 7/15/17 (3)		LU		237		237,000
9.63%, 7/15/17		LU		307		299,700
Rain CII Carbon LLC 8.00%, 12/1/18 (3)				150		150,375
Styrolution GmbH 7.63%, 5/15/16		DE		324		226,494
Vertellus Specialties, Inc. 9.38%, 10/1/15 (3)				200		153,000
						7,036,978
COAL – 1.5%
Arch Coal, Inc. 7.00%, 6/15/19 (3)				250		255,000
7.25%, 10/1/20				100		102,250
7.25%, 6/15/21 (3)				250		256,875
CONSOL Energy, Inc. 6.38%, 3/1/21 (3)				150		151,500
8.00%, 4/1/17				750		821,250
8.25%, 4/1/20				250		276,250
Peabody Energy Corp. 6.00%, 11/15/18 (3)				500		510,000
6.50%, 9/15/20				100		105,000
						2,478,125
COMMERCIAL SERVICES – 1.5%
Catalent Pharma Solutions, Inc. 9.50%, 4/15/15 (6)				500		513,750
Emergency Medical Services Corp. 8.13%, 6/1/19				250		249,375
Interactive Data Corp. 10.25%, 8/1/18				250		273,750
Jaguar Holding Co. 9.50%, 12/1/19 (3)				250		262,500

See Notes to Financial Statements.

237

SC ^SM PIMCO HIGH YIELD FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*	Principal Amount (000)		Value
Live Nation Entertainment, Inc. 8.13%, 5/15/18 (3)		$	250	$	251,875
PHH Corp. 9.25%, 3/1/16			100		95,000
Seminole Indian Tribe of Florida
7.75%, 10/1/17 (3)			75		78,000
The Hertz Corp. 6.75%, 4/15/19			500		501,250
7.38%, 1/15/21			250		254,062
					2,479,562
COMPUTER & PERIPHERALS – 1.3%
Aramark Corp. 3.93%, 2/1/15 (1)			525		506,625
8.50%, 2/1/15			75		76,875
Brocade Communications Systems, Inc. 6.63%, 1/15/18			100		104,000
6.88%, 1/15/20			250		266,250
SunGard Data Systems, Inc. 7.38%, 11/15/18			325		332,719
7.63%, 11/15/20			250		256,875
10.63%, 5/15/15			500		532,500
					2,075,844
CONSUMER PRODUCTS – 1.2%
Armored Autogroup, Inc. 9.25%, 11/1/18 (3)			250		193,125
Central Garden and Pet Co. 8.25%, 3/1/18			375		367,500
Jarden Corp. 7.50%, 5/1/17			500		530,000
8.00%, 5/1/16			250		270,000
Spectrum Brands Holdings, Inc. 9.50%, 6/15/18			500		546,875
The Scotts Miracle-Gro Co.
7.25%, 1/15/18			50		52,500
					1,960,000
CONSUMER SERVICES – 0.3%
WMG Acquisition Corp.
9.50%, 6/15/16			500		542,500

	Country Code*		Principal Amount (000)		Value
CONTAINERS & GLASS – 1.9%
ARD Finance SA 11.13%, 6/1/18 (3)(6)		LU	$	212	$	179,344
Ardagh Packaging Finance
7.38%, 10/15/17		IE		259		253,673
9.25%, 10/15/20		IE		129		116,806
Berry Plastics Corp.
5.15%, 2/15/15 (1)				445		439,438
9.50%, 5/15/18				500		502,500
Crown Americas LLC
7.63%, 5/15/17				150		163,688
Crown European Holdings SA
7.13%, 8/15/18		FR		65		65,521
Graphic Packaging International, Inc.
7.88%, 10/1/18				500		532,500
OI European Group B.V.
6.88%, 3/31/17		NL		65		65,036
Owens-Brockway Glass Container, Inc.
7.38%, 5/15/16				25		27,375
Packaging Dynamics Corp.
8.75%, 2/1/16 (3)				150		150,000
Sealed Air Corp.
8.13%, 9/15/19 (3)				250		273,750
8.38%, 9/15/21 (3)				250		276,250
						3,045,881
ELECTRIC UTILITIES – 0.1%
CMS Energy Corp.
8.75%, 6/15/19				150		177,712
ELECTRONICS – 0.1%
NXP BV
3.15%, 10/15/13 (1)		NL		75		75,000
ENERGY – 0.3%
Covanta Holding Corp.
7.25%, 12/1/20				100		105,116
Headwaters, Inc.
7.63%, 4/1/19				350		309,750
						414,866

See Notes to Financial Statements.

238

SC ^SM PIMCO HIGH YIELD FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
FINANCIALS – 4.6%
CIT Group, Inc.
7.00%, 5/1/15			$	661	$	661,824
7.00%, 5/1/16				1,500		1,499,839
7.00%, 5/1/17				641		641,179
E*Trade Financial Corp.
6.75%, 6/1/16				100		97,000
FCE Bank PLC
7.13%, 1/15/13		GB		647		661,686
International Lease Finance Corp.
6.25%, 5/15/19				200		184,758
6.63%, 11/15/13				100		99,500
7.13%, 9/1/18 (3)				500		517,500
8.25%, 12/15/20				400		404,000
8.63%, 9/15/15				750		768,750
8.75%, 3/15/17				475		489,250
Pinnacle Foods Finance LLC
8.25%, 9/1/17				500		520,000
SLM Corp., Series A
8.00%, 3/25/20				150		151,500
8.45%, 6/15/18				360		370,800
Springleaf Finance Corp.
6.90%, 12/15/17				250		180,000
UPCB Finance Ltd.
7.63%, 1/15/20		KY		324		319,518
						7,567,104
FOOD, BEVERAGES & RESTAURANTS – 2.4%
Bumble Bee Acquisition Corp.
9.00%, 12/15/17 (3)				238		241,570
Bumble Bee Holding Co. SCA 9.63%, 3/15/18 (3)(6)		LU		250		222,500
Constellation Brands, Inc.
7.25%, 5/15/17				150		165,000
Cott Beverages, Inc.
8.13%, 9/1/18				250		270,000
Del Monte Corp.
7.63%, 2/15/19				500		480,000
Michael Foods, Inc.
9.75%, 7/15/18				500		526,250
Pilgrim’s Pride Corp.
7.88%, 12/15/18				500		470,000

	Country Code*		Principal Amount (000)		Value
Refresco Group BV
7.38%, 5/15/18		NL	$	129	$	121,660
Simmons Foods, Inc.
10.50%, 11/1/17 (3)				125		104,062
Smithfield Foods, Inc.
7.75%, 7/1/17				500		547,500
TreeHouse Foods, Inc.
7.75%, 3/1/18				250		270,625
U.S. Foodservice
8.50%, 6/30/19 (3)				500		483,750
						3,902,917
GAMING – 2.4%
Ameristar Casinos, Inc.
7.50%, 4/15/21				500		515,000
MGM Resorts International
7.63%, 1/15/17				1,250		1,190,625
9.00%, 3/15/20				250		276,875
10.38%, 5/15/14				750		856,875
11.13%, 11/15/17				175		199,500
Seneca Gaming Corp.
8.25%, 12/1/18 (3)				125		122,187
Wynn Las Vegas Capital Corp.
7.75%, 8/15/20				250		277,500
7.88%, 11/1/17				500		548,750
						3,987,312
GAS & PIPELINE UTILITIES – 0.5%
Enterprise Products Operating LP
8.38%, 8/1/66 (1)				750		802,500
HEALTH CARE – 3.9%
American Renal Holdings
8.38%, 5/15/18				100		105,000
Capella Healthcare, Inc.
9.25%, 7/1/17				250		253,750
Community Health Systems, Inc.
8.88%, 7/15/15				500		516,250
DaVita, Inc.
6.38%, 11/1/18				175		179,156
6.63%, 11/1/20				250		256,875
DJO Finance LLC
7.75%, 4/15/18				500		383,750
9.75%, 10/15/17				500		388,750

See Notes to Financial Statements.

239

SC ^SM PIMCO HIGH YIELD FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*	Principal Amount (000)		Value
HCA Holdings, Inc.
7.75%, 5/15/21		$	250	$	254,375
HCA, Inc.
6.50%, 2/15/20			900		933,750
7.25%, 9/15/20			400		422,000
7.50%, 2/15/22			875		894,687
8.50%, 4/15/19			150		164,250
9.88%, 2/15/17			81		88,493
IASIS Healthcare LLC
8.38%, 5/15/19			400		349,000
Tenet Healthcare Corp.
8.00%, 8/1/20			500		500,625
Vanguard Health Holding Co. II LLC
8.00%, 2/1/18			700		694,750
					6,385,461
HEALTH CARE - FACILITIES – 1.4%
Alere, Inc.
8.63%, 10/1/18			275		270,875
Biomet, Inc.
10.00%, 10/15/17			350		378,000
10.38%, 10/15/17 (6)			1,250		1,353,125
11.63%, 10/15/17			320		347,200
					2,349,200
HOLDING COMPANIES – 1.6%
Reynolds Group Issuer, Inc.
6.88%, 2/15/21 (3)			100		99,500
7.13%, 4/15/19 (3)			350		356,125
7.88%, 8/15/19 (3)			250		261,250
8.25%, 2/15/21 (3)			500		442,500
8.75%, 10/15/16 (3)			500		526,250
9.00%, 4/15/19 (3)			500		475,000
9.25%, 5/15/18 (3)			250		239,375
9.88%, 8/15/19 (3)			250		242,500
					2,642,500
HOTELS, RESTAURANTS & LEISURE – 0.6%
CityCenter Holdings LLC
7.63%, 1/15/16 (3)			100		102,500
10.75%, 1/15/17 (3)(6)			264		259,061
Eldorado Resorts LLC
8.63%, 6/15/19 (3)			250		223,125

	Country Code*		Principal Amount (000)		Value
Marina District Finance Co., Inc.
9.50%, 10/15/15			$	50	$	46,750
9.88%, 8/15/18				200		182,500
Scientific Games Corp.
8.13%, 9/15/18				100		102,500
						916,436
INSURANCE – 0.2%
American International Group, Inc.
0.65%, 3/20/12 (1)				40		39,649
8.18%, 5/15/58 (1)				250		222,500
Towergate Finance PLC
8.50%, 2/15/18		GB		155		136,664
						398,813
LEISURE & ENTERTAINMENT – 0.9%
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18				500		342,500
11.25%, 6/1/17				500		530,625
Cinemark USA, Inc.
7.38%, 6/15/21				250		255,625
Production Resource Group, Inc.
8.88%, 5/1/19 (3)				125		114,375
Travelport LLC
9.88%, 9/1/14				100		59,500
11.88%, 9/1/16				350		101,500
						1,404,125
MACHINERY – 0.6%
Case New Holland, Inc.
7.88%, 12/1/17				350		395,500
The Manitowoc Co., Inc.
8.50%, 11/1/20				500		526,875
						922,375
MANUFACTURING DIVERSIFIED – 1.7%
Actuant Corp.
6.88%, 6/15/17				15		15,450
Amsted Industries, Inc.
8.13%, 3/15/18 (3)				250		265,000
Bombardier, Inc.
7.50%, 3/15/18 (3)		CA		275		294,250
Griffon Corp.
7.13%, 4/1/18				200		198,000

See Notes to Financial Statements.

240

SC ^SM PIMCO HIGH YIELD FUND PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
Polymer Group, Inc.
7.75%, 2/1/19 (3)			$	250	$	258,750
Polypore International, Inc.
7.50%, 11/15/17				150		155,250
RBS Global, Inc.
8.50%, 5/1/18				1,000		1,060,000
11.75%, 8/1/16				250		262,500
SPX Corp.
6.88%, 9/1/17				200		216,000
						2,725,200
METALS & MINING – 1.7%
Aleris International, Inc.
7.63%, 2/15/18				750		731,250
FMG Resources (August 2006) Property Ltd.
7.00%, 11/1/15 (3)		AU		125		126,250
Novelis, Inc.
8.38%, 12/15/17		CA		500		531,250
8.75%, 12/15/20		CA		1,000		1,072,500
Steel Dynamics, Inc.
7.63%, 3/15/20				25		26,375
7.75%, 4/15/16				50		52,125
Teck Resources, Ltd.
9.75%, 5/15/14		CA		121		142,195
10.25%, 5/15/16		CA		129		148,350
						2,830,295
MULTIMEDIA – 6.8%
AMC Networks, Inc.
7.75%, 7/15/21 (3)				200		217,500
Cablevision Systems Corp.
7.75%, 4/15/18				250		265,000
CCO Holdings LLC
6.50%, 4/30/21				500		506,250
7.38%, 6/1/20				250		263,750
7.88%, 4/30/18				250		266,562
8.13%, 4/30/20				200		219,000
Cequel Communications Holdings I LLC
8.63%, 11/15/17 (3)				500		530,000
Clear Channel Worldwide Holdings, Inc. Series B
9.25%, 12/15/17				750		810,000

	Country Code*		Principal Amount (000)		Value
CSC Holdings LLC
7.63%, 7/15/18			$	210	$	231,000
7.88%, 2/15/18				865		957,987
DISH DBS Corp.
6.75%, 6/1/21				250		269,375
7.13%, 2/1/16				935		1,007,462
7.75%, 5/31/15				75		82,500
7.88%, 9/1/19				100		113,000
Insight Communications Co., Inc.
9.38%, 7/15/18 (3)				300		342,750
Kabel BW Erste Beteiligungs GmbH
7.50%, 3/15/19 (3)		DE		474		484,298
LIN Television Corp. 8.38%, 4/15/18				250		243,438
LIN Television Corp., Series B
6.50%, 5/15/13				151		151,189
Musketeer GmbH
9.50%, 3/15/21		DE		324		323,563
Nara Cable Funding Ltd.
8.88%, 12/1/18		IE		129		113,894
Nielsen Finance LLC
7.75%, 10/15/18				400		432,000
11.50%, 5/1/16				162		185,490
The McClatchy Co.
11.50%, 2/15/17				250		241,875
Univision Communications, Inc.
6.88%, 5/15/19 (3)				500		482,500
7.88%, 11/1/20 (3)				325		329,875
8.50%, 5/15/21 (3)				250		227,500
UPC Holding BV
8.00%, 11/1/16		NL		324		321,945
8.38%, 8/15/20		NL		647		609,916
9.75%, 4/15/18		NL		129		131,690
Videotron Ltee
9.13%, 4/15/18		CA		600		660,750
						11,022,059
OIL & GAS – EXPLORATION & PRODUCTION – 4.3%
Calumet Specialty Products Partners LP
9.38%, 5/1/19 (3)				150		145,500
Coffeyville Resources LLC
9.00%, 4/1/15 (3)				45		47,700

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
Concho Resources, Inc.
6.50%, 1/15/22			$	400	$	418,000
7.00%, 1/15/21				200		214,750
Continental Resources, Inc.
7.13%, 4/1/21				75		81,375
7.38%, 10/1/20				50		54,500
8.25%, 10/1/19				50		55,000
Denbury Resources, Inc.
8.25%, 2/15/20				149		166,508
9.75%, 3/1/16				250		275,625
Forest Oil Corp.
7.25%, 6/15/19				125		127,500
8.50%, 2/15/14				250		272,500
Linn Energy LLC
8.63%, 4/15/20				425		461,125
Newfield Exploration Co.
6.88%, 2/1/20				250		267,500
7.13%, 5/15/18				330		352,275
NFR Energy LLC
9.75%, 2/15/17 (3)				250		225,000
Oasis Petroleum, Inc.
6.50%, 11/1/21				250		248,125
OGX Petroleo e Gas Participacoes SA
8.50%, 6/1/18 (3)		BR		500		490,000
Petrohawk Energy Corp.
6.25%, 6/1/19				250		275,000
7.25%, 8/15/18				550		618,750
10.50%, 8/1/14				250		278,125
Plains Exploration & Production Co.
6.63%, 5/1/21				500		525,000
7.63%, 4/1/20				325		351,812
SandRidge Energy, Inc.
7.50%, 3/15/21				1,000		992,500
						6,944,170
OIL & GAS EQUIPMENT & SERVICES – 0.6%
Cie Generale De Geophysique-Veritas
6.50%, 6/1/21		FR		250		242,500
7.75%, 5/15/17		FR		175		177,188
Dresser-Rand Group, Inc.
6.50%, 5/1/21 (3)				200		204,500
Expro Finance Luxembourg SCA
8.50%, 12/15/16 (3)		LU		250		220,000

	Country Code*		Principal Amount (000)		Value
Thermon Industries, Inc.
9.50%, 5/1/17			$	171	$	184,252
						1,028,440
PAPER PRODUCTS – 1.0%
Georgia-Pacific LLC
7.25%, 6/1/28				10		12,065
7.70%, 6/15/15				815		946,900
8.00%, 1/15/24				115		147,442
8.25%, 5/1/16 (3)				50		55,548
8.88%, 5/15/31				200		274,913
Sappi Papier Holding GmbH
6.63%, 4/15/21 (3)		AT		200		171,500
						1,608,368
PHARMACEUTICALS – 2.9%
ConvaTec Healthcare
10.50%, 12/15/18 (3)		LU		250		223,125
Endo Pharmaceuticals Holdings, Inc.
7.00%, 7/15/19				150		159,750
Grifols, Inc.
8.25%, 2/1/18				250		262,500
Mylan, Inc.
7.63%, 7/15/17 (3)				200		218,250
7.88%, 7/15/20 (3)				500		551,875
NBTY, Inc.
9.00%, 10/1/18				500		550,000
Novasep Holding SAS
9.75%, 12/15/16 (3)(5)		FR		200		95,000
Valeant Pharmaceuticals International
6.50%, 7/15/16 (3)				500		499,375
6.75%, 10/1/17 (3)				100		99,875
7.00%, 10/1/20 (3)				500		493,750
7.25%, 7/15/22 (3)				250		242,500
Warner Chilcott Co., LLC
7.75%, 9/15/18		PR		1,250		1,276,562
						4,672,562
PIPELINES – 1.3%
El Paso Corp.
7.80%, 8/1/31				200		230,500
8.05%, 10/15/30				1,010		1,176,650
Energy Transfer Equity
7.50%, 10/15/20				350		382,375

See Notes to Financial Statements.

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	Country Code*	Principal Amount (000)		Value
MarkWest Energy Partners LP
6.75%, 11/1/20		$	100	$	104,750
Regency Energy Partners LP
6.88%, 12/1/18			275		292,188
					2,186,463
REAL ESTATE INVESTMENT TRUSTS – 0.3%
Host Hotels & Resorts, Inc.
6.00%, 11/1/20			500		511,250
REFINING – 1.5%
Chesapeake Energy Corp.
7.25%, 12/15/18			150		165,750
7.63%, 7/15/13			25		26,438
9.50%, 2/15/15			1,500		1,717,500
Range Resources Corp.
5.75%, 6/1/21			250		270,625
6.75%, 8/1/20			150		166,500
7.25%, 5/1/18			25		26,750
7.50%, 10/1/17			125		132,812
					2,506,375
RETAIL – 2.0%
Inergy LP
6.88%, 8/1/21			73		73,365
7.00%, 10/1/18			150		152,250
Limited Brands, Inc.
6.63%, 4/1/21			175		185,500
7.00%, 5/1/20			75		81,187
Michaels Stores, Inc. 7.75%, 11/1/18			500		505,000
New Albertsons, Inc.
7.45%, 8/1/29			375		292,500
8.70%, 5/1/30			250		218,125
PETCO Animal Supplies, Inc.
9.25%, 12/1/18 (3)			250		268,125
Phillips-Van Heusen Corp.
7.38%, 5/15/20			500		542,500
QVC, Inc.
7.13%, 4/15/17 (3)			150		159,000
7.38%, 10/15/20 (3)			50		53,375
7.50%, 10/1/19 (3)			250		268,125

	Country Code*		Principal Amount (000)		Value
Roadhouse Financing, Inc.
10.75%, 10/15/17			$	250	$	243,125
Sally Beauty Holdings, Inc.
6.88%, 11/15/19 (3)				125		130,625
Suburban Propane Partners LP
7.38%, 3/15/20				50		52,000
						3,224,802
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT – 0.2%
Sensata Technologies BV
6.50%, 5/15/19 (3)		NL		250		246,875
SHIPBUILDING – 0.1%
Huntington Ingalls Industries, Inc.
6.88%, 3/15/18 (3)				175		171,500
SOFTWARE – 0.8%
Audatex North America, Inc.
6.75%, 6/15/18 (3)				250		252,500
Fidelity National Information Services, Inc.
7.63%, 7/15/17				250		270,625
First Data Corp.
8.25%, 1/15/21 (3)				500		447,500
9.88%, 9/24/15				13		12,220
12.63%, 1/15/21				100		87,000
ManTech International Corp.
7.25%, 4/15/18				175		178,281
						1,248,126
SPECIAL PURPOSE ENTITIES – 0.7%
NSG Holdings LLC
7.75%, 12/15/25 (3)				365		374,125
QBE Capital Funding III Ltd.
7.25%, 5/24/41 (1)(3)		JE		200		176,108
Ziggo Bond Co. BV
8.00%, 5/15/18		NL		324		326,798
Ziggo Finance BV
6.13%, 11/15/17		NL		226		228,759
						1,105,790

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
TELECOMMUNICATIONS – 8.5%
Avaya, Inc.
7.00%, 4/1/19 (3)			$	500	$	485,000
Commscope, Inc.
8.25%, 1/15/19 (3)				750		750,000
Crown Castle International Corp.
7.13%, 11/1/19				375		405,000
Digicel Ltd.
8.25%, 9/1/17 (3)		BM		1,000		1,005,000
EH Holding Corp.
6.50%, 6/15/19 (3)				125		130,313
7.63%, 6/15/21 (3)				200		210,000
Frontier Communications Corp.
6.63%, 3/15/15				25		24,750
7.13%, 3/15/19				550		536,250
7.88%, 4/15/15				125		126,719
8.25%, 4/15/17				200		204,500
8.50%, 4/15/20				250		255,937
Intelsat Jackson Holdings SA
7.25%, 4/1/19 (3)		LU		350		355,250
7.25%, 10/15/20		LU		500		507,500
7.50%, 4/1/21 (3)		LU		500		505,625
8.50%, 11/1/19		LU		825		874,500
Intelsat Luxembourg SA
11.25%, 2/4/17		LU		500		483,750
11.50%, 2/4/17 (6)		LU		237		228,339
11.50%, 2/4/17 (3)(6)		LU		500		482,500
MetroPCS Wireless, Inc.
6.63%, 11/15/20				250		233,125
Qwest Communications International, Inc.
7.13%, 4/1/18				250		260,000
Sprint Capital Corp.
6.90%, 5/1/19				1,750		1,439,375
8.75%, 3/15/32				500		404,375
Sprint Nextel Corp.
6.00%, 12/1/16				145		120,350
8.38%, 8/15/17				500		448,125
Syniverse Holdings, Inc.
9.13%, 1/15/19				250		263,750
Telesat Canada LLC
11.00%, 11/1/15		CA		575		617,406
TW Telecom Holdings, Inc.
8.00%, 3/1/18				100		106,500

	Country Code*		Principal Amount (000)		Value
Vimpel-Communications
7.75%, 2/2/21 (3)		IE	$	300	$	256,875
VimpelCom Holdings BV
7.50%, 3/1/22 (3)		NL		250		210,000
Virgin Media Finance PLC
9.50%, 8/15/16		GB		175		196,438
Wind Acquisition Finance SA
7.25%, 2/15/18 (3)		LU		300		273,000
11.75%, 7/15/17 (3)		LU		750		671,250
Windstream Corp.
7.75%, 10/1/21				500		512,500
7.88%, 11/1/17				200		216,500
						13,800,502
TEXTILES & APPAREL – 0.1%
Levi Strauss & Co.
7.63%, 5/15/20				225		229,781
TRANSPORTATION – 0.4%
AMGH Merger Sub, Inc.
9.25%, 11/1/18 (3)				500		515,000
CMA CGM SA
8.50%, 4/15/17 (3)		FR		400		177,000
						692,000
UTILITIES – 6.0%
AES Red Oak LLC, Series A
8.54%, 11/30/19				715		736,192
Calpine Corp.
7.50%, 2/15/21 (3)				750		802,500
7.88%, 7/31/20 (3)				500		538,750
7.88%, 1/15/23 (3)				250		268,750
Energy Future Holdings Corp.
9.75%, 10/15/19				39		39,000
10.00%, 1/15/20				750		787,500
Energy Future Intermediate Holding Co. LLC
9.75%, 10/15/19				47		47,000
GenOn Energy, Inc.
7.63%, 6/15/14				500		500,000

See Notes to Financial Statements.

244

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	Country Code*		Principal Amount (000)		Value
GenOn REMA LLC, Series C
9.68%, 7/2/26			$	100	$	99,250
Intergen NV
9.00%, 6/30/17 (3)		NL		1,000		1,052,500
Midwest Generation LLC, Series B
8.56%, 1/2/16				395		399,379
NRG Energy, Inc.
7.38%, 1/15/17				500		518,750
7.63%, 1/15/18				250		250,000
7.88%, 5/15/21 (3)				150		146,250
8.50%, 6/15/19				1,050		1,065,750
Quicksilver Resources, Inc.
9.13%, 8/15/19				300		318,000
11.75%, 1/1/16				300		340,500
Tenaska Alabama Partners LP
7.00%, 6/30/21 (3)				299		313,667
The AES Corp.
7.38%, 7/1/21 (3)				300		323,250
7.75%, 10/15/15				175		190,312
8.00%, 10/15/17				245		269,500
8.00%, 6/1/20				500		550,000
9.75%, 4/15/16				175		200,375
						9,757,175
WHOLESALE – 0.4%
American Tire Distributors Holdings, Inc.
9.75%, 6/1/17				200		206,000
VWR Funding, Inc.
10.25%, 7/15/15 (6)				500		516,250
						722,250
Total Corporate Debt Obligations (Cost $140,624,877)						143,265,838
FOREIGN GOVERNMENT OBLIGATIONS – 1.1%
Brazil Notas do Tesouro Nacional, Series F
10.00%, 1/1/12		BR		95		94,893
10.00%, 1/1/17		BR		1,823		1,751,941
Total Foreign Government Obligations (Cost $1,679,640)						1,846,834

	Country Code*	Principal Amount (000)		Value
BANK LOAN OBLIGATIONS – 1.8%
SENIOR LOANS – 1.8%
First Data Corp.
3.04%, 9/24/14 (1)		$	443	$	401,034
Newsday LLC
10.50%, 8/1/13			200		206,000
Quintiles Transnational Corp.
5.00%, 6/8/18 (1)			498		486,804
Springleaf Finance Funding
5.50%, 5/10/17 (1)			500		434,270
Texas Competitive Electric Holdings Co. LLC
4.78%, 10/10/17 (1)			1,384		873,297
Vodafone Americas Finance
6.87%, 8/11/15 (6)			535		533,825
Total Bank Loan Obligations (Cost $2,955,989)					2,935,230
		Shares
COMMON STOCKS – 0.0% +
MULTIMEDIA – 0.0% +
Dex One Corp.** (Cost $305,690)			9,862		16,371
		Principal Amount (000)
SHORT TERM INVESTMENTS – 5.2%
U.S. TREASURY OBLIGATIONS (7) – 4.8%
U.S. Treasury Bills
0.01%, 4/5/12 (8)		$	1,200		1,199,938
0.01%, 4/12/12			300		299,985
0.01%, 4/26/12			100		99,993
0.01%, 6/14/12			300		299,932
0.03%, 3/22/12			400		399,985
0.04%, 4/12/12			100		99,995
0.04%, 5/17/12			200		199,974
0.04%, 6/21/12			300		299,923
0.05%, 3/15/12 (8)			1,600		1,599,936
0.05%, 5/10/12			500		499,946
0.05%, 6/14/12			400		399,910
0.06%, 5/24/12			700		699,896
0.09%, 8/23/12			300		299,864
0.11%, 10/18/12			200		199,864

See Notes to Financial Statements.

245

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	Country Code*	Principal Amount (000)		Value
0.14%, 5/3/12		$	200	$	199,983
0.18%, 6/28/12			1,000		999,705
0.23%, 4/5/12			80		79,996
Total U.S. Treasury Obligations (Cost $7,878,737)					7,878,825
		Shares
MUTUAL FUNDS – 0.4%
State Street Institutional U.S. Government Money Market Fund (Cost $624,741)			624,741		624,741
Total Short Term Investments (Cost $8,503,478)					8,503,566
TOTAL INVESTMENTS – 97.8%
(Cost $156,534,988)					159,511,992
Other assets less liabilities – 2.2%					3,615,277
NET ASSETS – 100.0%				$	163,127,269

AT	Austria
AU	Australia
BM	Bermuda
BR	Brazil
CA	Canada
DE	Germany
FR	France
GB	Great Britain
IE	Ireland
IT	Italy
JE	Jersey
KY	Cayman Islands
LU	Luxembourg
MX	Mexico
NL	Netherlands
PR	Puerto Rico

* Unless otherwise noted the issuer country code for all securities is United States.

** Non-income producing security.

+ Amount is less than 0.05%.

(1) Variable rate security. The interest rate shown reflects the rate in effect at the period end.

(2) Security is a “Step-up” bond where the coupon increases on a predetermined future date.

(3) Eligible for resale under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $37,336,951, representing 22.9% of net assets.

(4) Zero-coupon bond.

See Notes to Financial Statements.

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December 31, 2011	Sun Capital Advisers Trust

(5) Security is in default and is non-income producing.

(6) Payment in-kind bond which may pay interest in the form of additional bonds.

(7) Interest rates represent annualized yield at date of purchase.

(8) Security (or a portion thereof) has been pledged as collateral for open swap contracts. At the period end, the value of securities pledged amounted to $425,983.

(9) At the period end, open forward foreign currency exchange contracts were as follows:

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation/ (Depreciation) ($)
Barclays Bank PLC	BRL	2,740,969	USD	1,428,928	1/4/12		(40,564	)
Barclays Bank PLC	USD	1,461,227	BRL	2,740,969	1/4/12		8,265
Citibank NA	USD	35,124	CNY	223,597	6/1/12		338
Deutsche Bank AG (London)	USD	26,335	CNY	170,584	2/13/12		747
Deutsche Bank AG (London)	USD	1,010,766	EUR	729,000	1/17/12		(67,194	)
Deutsche Bank AG (London)	USD	211,766	EUR	162,000	2/2/12		(2,067	)
JPMorgan Securities*	EUR	5,687,000	USD	7,732,472	1/17/12		371,577
JPMorgan Securities*	EUR	246,000	USD	342,639	1/17/12		24,232
JPMorgan Securities*	GBP	544,000	USD	853,169	3/12/12		8,900
UBS AG	BRL	2,740,969	USD	1,461,227	1/4/12		(8,265	)
UBS AG	BRL	2,740,969	USD	1,512,843	3/2/12		60,998
UBS AG	EUR	242,000	USD	333,798	1/17/12		20,568
UBS AG	USD	1,530,413	BRL	2,740,969	1/4/12		(60,921	)
Net unrealized appreciation							316,614

* At the period end, the broker pledged securities with a fair value of $319,782 to the Fund as collateral for these open forward foreign currency exchange contracts.

BRL	–	Brazilian Real
CNY	–	Yuan Renminbi
EUR	–	Euro
GBP	–	Great British Pound
USD	–	United States Dollar

See Notes to Financial Statements.

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(10) At the period end, open swap contracts were as follows:

OTC Credit Default Swap Contracts on Corporate Issues – Sell Protection (a)

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date		Implied Credit Spread (b)		Notional Amount (c) (000) ($)		Market Value ($)			Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation ($)
Deutsche Bank AG	Ally Financial, Inc.	5.00%		3/20/12		4.46%		60		71			(9,300	)		9,371
Deutsche Bank AG	SLM Corp.	5.00%		6/20/12		3.15%		100		877			(13,000	)		13,877
Deutsche Bank AG	RRI Energy, Inc.	5.00%		9/20/14		6.48%		300		(10,605	)		(43,500	)		32,895
Goldman Sachs International	El Paso Corp.	5.00%		9/20/14		1.91%		500		40,915			(47,500	)		88,415
Total								960		31,258			(113,300	)		144,558

Centrally Cleared Credit Default Swap Contracts on Credit Indices – Sell Protection (a)

Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Notional Amount (c) (000) ($)		Market Value (d) ($)			Unrealized Appreciation ($)
CDX.HY-16 5 Year Index	5.00%	6/20/16		4,655		(209,277	)		70,023

OTC Credit Default Swap Contracts on Credit Indices – Sell Protection (a)

Counterparty

Reference Entity

(Pay)/ Receive Fixed Rate

Expiration Date

Notional Amount (c) (000) ($)

Market Value (d) ($)

Upfront Premiums Paid/ (Received) ($)

Unrealized Depreciation ($)

Morgan Stanley Capital Services, Inc.

CDX.HY-16 5 Year Index

5.00%

6/20/16

245

(11,222

)

1,225

(12,447

)

CDX.HY - Credit Derivatives Index – High Yield

(a) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

See Notes to Financial Statements.

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(b) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of that particular agreement.

(c) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(d) The quoted market prices and resulting values for credit default swap contracts on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

See Notes to Financial Statements.

249

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

(11) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Asset Backed Securities	$	—	$	235,487		$	—	$	235,487
Collateralized Mortgage Obligations		—		2,708,666			—		2,708,666
Corporate Debt Obligations (a)		—		143,265,838			—		143,265,838
Foreign Government Obligations		—		1,846,834			—		1,846,834
Bank Loan Obligations (a)		—		2,935,230			—		2,935,230
Common Stocks (a)		16,371		—			—		16,371
Short Term Investments
U.S. Treasury Obligations		7,878,825		—			—		7,878,825
Mutual Funds		624,741		—			—		624,741
Total Short Term Investments		8,503,566		—			—		8,503,566
Total Investments		8,519,937		150,992,055			—		159,511,992
Financial Derivative Instruments
Forward Foreign Currency Exchange Contracts		—		495,625			—		495,625
Swap Contracts (a)		—		41,863			—		41,863
Total Financial Derivative Instruments	$	—	$	537,488		$	—	$	537,488
Liabilities
Financial Derivative Instruments
Forward Foreign Currency Exchange Contracts	$	—	$	(179,011	)	$	—	$	(179,011	)
Swap Contracts (a)		—		(231,104	)		—		(231,104	)
Total Financial Derivative Instruments	$	—	$	(410,115	)	$	—	$	(410,115	)

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
ASSET BACKED SECURITIES – 2.2%
Bear Stearns Asset Backed Securities Trust, Series 2006-SD3 5.50%, 8/25/36			$	1,574	$	942,267
Citibank Omni Master Trust, Series 2009-A14A, Class A14 3.03%, 8/15/18 (1)(2)				2,700		2,832,317
Citibank Omni Master Trust, Series 2009-A8, Class A8 2.38%, 5/16/16 (1)(2)				1,800		1,811,055
Countrywide Asset-Backed Certificates, Series 2006-2, Class 2A2 0.48%, 6/25/36 (1)				176		136,790
Duane Street CLO, Series 2005-1A, Class A 0.69%, 11/8/17 (1)(2)		KY		8,151		7,884,383
Galaxy CLO Ltd., Series 2005-4A, Class A1VB 0.68%, 4/17/17 (1)(2)		KY		927		900,209
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A, Class A1 0.66%, 8/7/21 (1)(2)				2,000		1,924,306
Hillmark Funding, Series 2006-1A, Class A1 0.73%, 5/21/21 (1)(2)		KY		2,400		2,220,451
Marathon Financing BV, Series 2006-1A, Class A1 0.75%, 10/5/26 (1)(2)		NL		509		498,371
Pacifica CDO Ltd., Series 2005-5A, Class A1 0.68%, 1/26/20 (1)(2)		KY		4,017		3,729,694
Structured Asset Securities Corp., Series 2007-WF1, Class A2 0.38%, 2/25/37 (1)				451		447,156
Total Asset Backed Securities (Cost $22,956,267)						23,326,999

	Country Code*		Principal Amount (000)		Value
COLLATERALIZED MORTGAGE OBLIGATIONS – 2.2%
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A2B 2.86%, 5/16/47 (1)(2)		GB	$	1,294	$	1,286,498
BCAP LLC, Series 2011-RR5, Class 12A1 5.64%, 3/26/37 (1)(2)				100		73,800
BCAP LLC, Series 2011-RR5, Class 9A1 5.25%, 5/26/37 (2)				3,437		2,792,458
Bear Stearns Alt-A Trust, Series 2005-4 2.59%, 5/25/35 (1)				154		111,804
Bear Stearns Alt-A Trust, Series 2006-1 2.66%, 2/25/36 (1)				161		58,336
Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A 5.31%, 8/25/35 (1)				2,257		1,980,922
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-29, Class A1 5.75%, 12/25/35				1,838		1,531,982
Federal National Mortgage Association, Series 2005-75, Class FL 0.74%, 9/25/35 (1)				697		692,845
Federal National Mortgage Association, Series 2007-30, Class AF 0.60%, 4/25/37 (1)				349		347,016
First Horizon Asset Securities, Inc., Series 2005-AR4, Class 2A1 2.64%, 10/25/35 (1)				637		459,221

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
First Horizon Asset Securities, Inc., Series 2005-AR6, Class 4A1 5.55%, 2/25/36 (1)			$	547	$	460,499
Granite Master Issuer PLC, Series 2006-3, Class A5 1.25%, 12/20/54 (1)		GB		2,798		2,672,043
Granite Master Issuer PLC, Series 2006-4, Class A7 1.36%, 12/20/54 (1)		GB		2,045		1,952,647
Granite Mortgages PLC, Series 2003-3, Class 2A 1.96%, 1/20/44 (1)		GB		120		114,875
Granite Mortgages PLC, Series 2003-3, Class 3A 1.35%, 1/20/44 (1)		GB		125		119,562
Granite Mortgages PLC, Series 2004-3, Class 3A2 1.45%, 9/20/44 (1)		GB		721		689,516
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 2.72%, 9/25/35 (1)				3,406		3,092,160
Harborview Mortgage Loan Trust, Series 2005-4 2.75%, 7/19/35 (1)				357		264,205
JP Morgan Mortgage Trust, Series 2005-S3, Class 1A2 5.75%, 1/25/36				73		67,230
JP Morgan Mortgage Trust, Series 2007-A1 2.80%, 7/25/35 (1)				494		346,912
Master Adjustable Rate Mortgage Trust, Series 2005-6, Class 5A2 2.39%, 7/25/35 (1)				1,173		835,993
MLCC Mortgage Investors, Inc., Series 2005-1, Class 2A5 2.06%, 4/25/35 (1)				1,200		1,024,902

	Country Code*		Principal Amount (000)		Value
Nomura Asset Acceptance Corp., Series 2005-AP2, Class A5 4.98%, 5/25/35 (3)			$	324	$	270,226
Wachovia Mortgage Loan Trust LLC, Series 2005-B, Class 2A4 2.68%, 10/20/35 (1)				2,800		2,034,410
Total Collateralized Mortgage Obligations (Cost $24,452,352)						23,280,062
COMMERCIAL MORTGAGE BACKED SECURITIES – 1.6%
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class A4 5.89%, 11/15/44 (1)				5,000		5,541,710
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2003-CB7, Class A4 4.88%, 1/12/38 (1)				2,682		2,812,963
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2010-C2, Class A3 4.07%, 11/15/43 (2)				1,000		1,049,396
Morgan Stanley Capital I, Series 2004-IQ8, Class A5 5.11%, 6/15/40 (1)				600		640,900
Opera Finance PLC, Series CSC3, Class A 1.21%, 4/25/17 (1)		GB		4,174		3,631,380
Silenus European Loan Conduit, Series 25X, Class A 1.61%, 5/15/19 (1)		IE		70		57,452
Titan Europe PLC, Series 2007-3X, Class A1 1.26%, 10/23/16 (1)		IE		4,354		3,831,926
Total Commercial Mortgage Backed Securities (Cost $16,337,595)						17,565,727

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
CORPORATE DEBT OBLIGATIONS – 29.9%
AGRICULTURAL – 0.1%
Altria Group, Inc. 4.13%, 9/11/15			$	500	$	542,798
BAT International Finance PLC 9.50%, 11/15/18 (2)		GB		160		217,261
						760,059
AUTOMOTIVE – 0.5%
Ford Motor Credit Co. LLC
5.63%, 9/15/15				1,300		1,345,434
5.88%, 8/2/21				300		312,662
7.00%, 4/15/15				1,900		2,042,500
8.70%, 10/1/14				400		446,642
12.00%, 5/15/15				1,400		1,714,986
						5,862,224
BANKS – 13.6%
Ally Financial, Inc.
0.00%, 6/15/15 (4)				3,500		2,590,000
7.50%, 9/15/20				300		303,000
8.30%, 2/12/15				2,400		2,532,000
American Express Bank, FSB 5.50%, 4/16/13				400		418,101
Australia & New Zealand Banking Group Ltd.
1.29%, 5/8/13 (1)		AU		1,200		1,200,312
2.13%, 1/10/14 (2)		AU		1,500		1,498,584
Banco Santander Brazil SA 2.66%, 3/18/14 (1)(2)		BR		1,000		952,680
Banco Santander Chile 1.66%, 4/20/12 (1)(2)		CL		900		900,287
Bank of America Corp.
5.65%, 5/1/18				1,900		1,810,231
5.75%, 12/1/17				300		283,356
6.00%, 9/1/17				1,100		1,074,291
Bank of China Hong Kong Ltd. 5.55%, 2/11/20 (2)		HK		100		103,804
Bank of India 6.25%, 2/16/21		IN		1,900		1,814,812
Bank of Montreal 2.85%, 6/9/15 (2)		CA		300		310,967
Bank of Nova Scotia 1.65%, 10/29/15 (2)		CA		500		499,393
Barclays Bank PLC
0.74%, 9/11/17 (1)		GB		13,400		11,658,938

	Country Code*		Principal Amount (000)		Value
2.38%, 1/13/14		GB	$	1,900	$	1,859,673
5.00%, 9/22/16		GB		1,500		1,553,496
6.05%, 12/4/17 (2)		GB		500		452,129
Barnett Capital Trust III 1.05%, 2/1/27 (1)				200		144,449
BBVA Bancomer SA Texas
4.50%, 3/10/16 (2)		MX		300		294,000
6.50%, 3/10/21 (2)		MX		600		578,250
7.25%, 4/22/20 (2)		MX		1,100		1,100,000
Bear Stearns Cos. LLC 5.30%, 10/30/15				100		107,539
BNP Paribas
1.29%, 1/10/14 (1)		FR		2,100		1,936,752
7.20%, 6/25/37 (1)(2)		FR		100		69,750
7.78%, 7/2/18 (1)		FR		129		104,510
BPCE SA 2.38%, 10/4/13 (2)		FR		200		193,710
Citigroup Capital XXI 8.30%, 12/21/57 (1)				1,600		1,598,000
Citigroup, Inc.
3.63%, 11/30/17 (1)				1,035		824,602
4.88%, 5/7/15				1,000		987,732
5.50%, 4/11/13				700		714,646
5.50%, 10/15/14				400		411,219
5.63%, 8/27/12				5,300		5,380,046
6.13%, 11/21/17				200		213,446
8.50%, 5/22/19				200		235,417
Commonwealth Bank of Australia 0.81%, 7/12/13 (1)(2)		AU		1,600		1,599,250
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 6.88%, 3/19/20		NL		4,659		3,962,736
Credit Agricole SA 8.38%, 10/31/19 (1)(2)		FR		2,300		1,725,000
Credit Suisse New York 2.20%, 1/14/14		CH		400		395,595
Danske Bank A/S 2.50%, 5/10/12 (2)		DK		300		301,887
Deutsche Bank AG 6.00%, 9/1/17		DE		300		335,037
Dexia Credit Local 0.91%, 4/29/14 (1)(2)		FR		1,700		1,542,243
0.93%, 3/5/13 (1)(2)		FR		3,300		3,123,760
Fifth Third Bancorp 0.98%, 12/20/16 (1)				600		528,820

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
Fortis Bank Nederland Holding NV 3.00%, 4/17/12		NL	$	259	$	260,400
HBOS PLC 0.73%, 9/6/17 (1)		GB		17,800		12,425,610
6.75%, 5/21/18 (2)		GB		3,200		2,565,734
HSBC Bank PLC 2.00%, 1/19/14 (2)		GB		500		492,484
ICICI Bank Ltd. 5.50%, 3/25/15		IN		1,400		1,400,361
5.75%, 11/16/20		IN		1,500		1,380,042
ICICI Bank Ltd./Dubai 4.75%, 11/25/16 (2)		IN		3,700		3,515,522
ING Bank NV 1.38%, 3/30/12 (1)(2)		NL		4,200		4,189,840
2.63%, 2/9/12 (2)		NL		1,400		1,402,547
Intesa Sanpaolo New York 2.38%, 12/21/12		IT		2,400		2,232,552
Intesa Sanpaolo SpA 2.91%, 2/24/14 (1)(2)		IT		1,100		968,491
Itau Unibanco Holding SA 6.20%, 4/15/20 (2)		BR		1,800		1,867,819
JP Morgan Chase & Co., Series I 7.90%, 4/30/18 (1)				300		319,407
JP Morgan Chase Bank NA 0.87%, 6/13/16 (1)				300		268,490
JP Morgan Chase Capital XXI, Series U 1.38%, 2/2/37 (1)				1,000		708,343
LBG Capital No.1 PLC 6.44%, 5/23/20		GB		1,035		700,810
7.87%, 12/17/19		GB		777		574,610
LBG Capital No.2 PLC 8.88%, 2/7/20		GB		388		298,972
9.13%, 7/15/20		GB		2,640		2,006,476
15.00%, 12/21/19		GB		466		486,866
Lloyds TSB Bank PLC 2.80%, 4/2/12 (2)		GB		4,300		4,319,083
4.88%, 1/21/16		GB		1,500		1,461,876
Macquarie Bank Ltd. 4.10%, 12/17/13 (2)		AU		300		318,053
Merrill Lynch & Co., Inc. 1.78%, 5/30/14 (1)				129		111,812
6.88%, 4/25/18				200		197,188
Morgan Stanley 0.69%, 1/9/14 (1)				500		452,380
0.88%, 10/15/15 (1)				2,000		1,681,340

	Country Code*		Principal Amount (000)		Value
1.81%, 3/1/13 (1)			$	6,407	$	6,075,155
5.95%, 12/28/17				400		381,094
National Australia Bank Ltd. 1.11%, 4/11/14 (1)(2)		AU		4,500		4,454,784
1.37%, 7/25/14 (1)(2)		AU		600		596,129
Nordea Bank AB 2.13%, 1/14/14 (2)		SE		200		196,149
4.88%, 1/27/20 (2)		SE		1,800		1,848,483
Nordea Eiendomskreditt A/S 0.80%, 4/7/14 (1)(2)		NO		2,000		1,938,252
Northern Rock Asset Management PLC 5.63%, 6/22/17 (2)		GB		1,300		1,366,950
Royal Bank of Scotland Group PLC 2.63%, 5/11/12 (2)		GB		200		201,295
4.38%, 3/16/16		GB		2,300		2,194,184
5.00%, 10/1/14		GB		100		82,546
6.99%, 10/5/17 (2)(5)		GB		200		125,250
Santander UK PLC 1.81%, 10/10/17 (1)		GB		3,624		2,722,151
Santander US Debt SA Unipersonal 1.38%, 3/30/12 (1)(2)		ES		3,100		3,094,460
2.99%, 10/7/13 (2)		ES		1,800		1,720,823
7.30%, 7/27/19 (1)		ES		1,398		1,167,127
Scotland International Finance No. 2 BV 4.25%, 5/23/13 (2)		NL		1,200		1,068,000
Societe Generale 5.92%, 4/5/17 (1)(2)		FR		400		243,475
State Bank of India/London 4.50%, 7/27/15 (2)		IN		1,000		989,090
State Street Capital Trust IV 1.55%, 6/15/37 (1)				200		131,653
Sumitomo Mitsui Banking Corp. 1.95%, 1/14/14 (2)		JP		2,200		2,225,782
Swedbank AB 2.80%, 2/10/12 (2)		SE		1,000		1,002,356
Turkiye Garanti Bankasi AS 2.91%, 4/20/16 (1)(2)		TR		300		270,000
UBS AG/Stamford CT 1.60%, 2/23/12 (1)		CH		800		800,982

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
USB Capital IX 3.50%, 2/6/12 (1)			$	1,000	$	697,290
Wachovia Bank NA 0.88%, 3/15/16 (1)				400		358,074
Westpac Banking Corp. 1.31%, 3/31/14 (1)(2)		AU		2,200		2,206,310
3.59%, 8/14/14 (2)		AU		300		319,839
						145,309,241
CHEMICALS – 0.3%
Braskem SA 5.75%, 4/15/21 (2)		KY		2,200		2,183,500
The Dow Chemical Co. 4.85%, 8/15/12				900		920,768
6.00%, 10/1/12				100		103,852
						3,208,120
DIVERSIFIED – 0.2%
Noble Group Ltd. 4.88%, 8/5/15 (2)		BM		1,000		915,000
6.75%, 1/29/20		BM		1,000		860,000
						1,775,000
ELECTRIC UTILITIES – 0.7%
CMS Energy Corp. 5.05%, 2/15/18				1,000		997,502
Comision Federal de Electricidad 4.88%, 5/26/21 (2)		MX		5,100		5,253,000
Electricite de France 6.50%, 1/26/19 (2)		FR		400		452,491
Entergy Corp. 3.63%, 9/15/15				1,000		1,015,093
						7,718,086
FINANCIALS – 5.4%
American Express Co. 4.88%, 7/15/13				500		522,865
7.00%, 3/19/18				700		845,891
American Express Credit Corp. 5.13%, 8/25/14				4,200		4,512,140
Banque PSA Finance 2.27%, 4/4/14 (1)(2)		FR		1,200		1,111,234
Countrywide Financial Corp. 5.80%, 6/7/12				2,100		2,104,418

	Country Code*		Principal Amount (000)		Value
General Electric Capital Corp., Series A 6.15%, 8/7/37			$	100	$	109,389
6.88%, 1/10/39				4,000		4,792,128
International Lease Finance Corp. 5.40%, 2/15/12				3,700		3,700,000
5.75%, 5/15/16				200		185,508
6.38%, 3/25/13				2,000		1,990,000
6.75%, 9/1/16 (2)				400		410,000
LeasePlan Corp. NV 3.00%, 5/7/12 (2)		NL		1,000		1,007,638
3.13%, 2/10/12		NL		259		259,498
Nomura Holdings, Inc. 6.70%, 3/4/20		JP		2,300		2,421,753
SLM Corp. 6.25%, 1/25/16				200		194,496
SLM Corp., Series A 0.72%, 1/27/14 (1)				500		451,993
5.00%, 10/1/13				5,700		5,700,000
5.38%, 1/15/13				130		130,897
8.00%, 3/25/20				1,100		1,111,000
8.45%, 6/15/18				2,300		2,369,000
Springleaf Finance Corp. 3.25%, 1/16/13				11,131		9,603,130
4.88%, 7/15/12				4,500		4,320,000
Sydney Airport Finance Co., Pty Ltd. 5.13%, 2/22/21 (2)		AU		100		101,465
The Goldman Sachs Group, Inc. 1.02%, 3/22/16 (1)				600		517,895
1.43%, 7/29/13 (1)				200		193,876
5.95%, 1/18/18				6,800		6,964,703
6.15%, 4/1/18				1,100		1,135,298
6.25%, 9/1/17				700		731,806
						57,498,021
FOOD, BEVERAGES & RESTAURANTS – 0.5%
Anheuser-Busch InBev Worldwide, Inc. 4.13%, 1/15/15				1,200		1,293,794
5.38%, 1/15/20				1,200		1,407,365
Pernod-Ricard SA 5.75%, 4/7/21 (2)		FR		1,500		1,692,302

See Notes to Financial Statements.

255

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

	Country Code*		Principal Amount (000)		Value
Tate & Lyle International Finance PLC 6.63%, 6/15/16 (2)		GB	$	500	$	569,607
						4,963,068
HEALTH CARE – 0.5%
HCA, Inc. 7.88%, 2/15/20				4,000		4,320,000
Roche Holdings, Inc. 6.00%, 3/1/19 (2)				600		729,248
						5,049,248
INSURANCE – 1.8%
American International Group, Inc. 1.75%, 7/19/13 (1)				10,354		9,603,638
5.05%, 10/1/15				100		96,823
5.45%, 5/18/17				100		95,564
5.85%, 1/16/18				200		195,603
8.25%, 8/15/18				1,000		1,058,501
MetLife Institutional Funding II 1.27%, 4/4/14 (1)(2)				800		798,229
Ohio National Financial Services, Inc. 6.38%, 4/30/20 (2)				5,100		5,546,184
Pacific LifeCorp. 6.00%, 2/10/20 (2)				1,300		1,383,595
The Dai-ichi Life Insurance Co., Ltd. 7.25%, 7/25/21 (1)(2)		JP		600		603,982
The Hartford Financial Services Group, Inc. 8.13%, 6/15/38 (1)				300		297,000
						19,679,119
INVESTMENT COMPANIES – 0.6%
FIH Erhvervsbank A/S 0.91%, 6/13/13 (1)(2)		DK		6,500		6,493,766
Temasek Financial I Ltd. 4.30%, 10/25/19 (2)		SG		300		322,136
						6,815,902
METALS & MINING – 0.8%
Alcoa, Inc. 6.15%, 8/15/20				600		623,386
CSN Resources SA 6.50%, 7/21/20 (2)		LU		1,400		1,463,000

	Country Code*		Principal Amount (000)		Value
Gerdau Holdings, Inc. 7.00%, 1/20/20 (2)		BR	$	1,700	$	1,793,500
Gerdau Trade, Inc. 5.75%, 1/30/21 (2)		VG		2,700		2,679,750
GTL Trade Finance, Inc. 7.25%, 10/20/17 (2)		VG		1,400		1,505,000
Vale Overseas Ltd. 6.88%, 11/10/39		KY		300		343,620
						8,408,256
OIL & GAS – 0.6%
Petroleos Mexicanos 6.50%, 6/2/41		MX		2,900		3,262,500
Ras Laffan Liquefied Natural Gas Co. Ltd. III 6.75%, 9/30/19		QA		1,200		1,420,800
Reliance Holdings USA 4.50%, 10/19/20				1,900		1,726,346
Total Capital SA 4.45%, 6/24/20		FR		200		222,771
						6,632,417
OIL & GAS—EXPLORATION & PRODUCTION – 0.3%
Gazprom OAO 9.63%, 3/1/13		DE		2,400		2,556,000
Novatek Finance Ltd. 5.33%, 2/3/16 (2)		IE		200		201,500
Transocean, Inc. 4.95%, 11/15/15		KY		100		102,115
						2,859,615
PIPELINES – 0.0%+
El Paso Corp. 7.88%, 6/15/12				400		409,035
REFINING – 0.3%
Petrobras International Finance Co. 7.88%, 3/15/19		KY		2,900		3,461,721
RETAIL – 0.0%+
CVS Pass-through Trust 6.94%, 1/10/30				91		101,243
SAVINGS & LOANS – 0.1%
Nationwide Building Society 6.25%, 2/25/20 (2)		GB		600		595,309

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
SPECIAL PURPOSE BANKS – 0.5%
European Investment Bank SNAT 3.63%, 1/15/21			$	129	$	136,031
Kreditanstalt fuer Wiederaufbau 2.00%, 9/7/16		DE		1,812		1,844,515
The Export-Import Bank of Korea 1.05%, 3/3/12 (2)		KR		1,156		1,156,165
5.13%, 6/29/20		KR		300		314,116
5.88%, 1/14/15		KR		900		965,226
8.13%, 1/21/14		KR		400		442,076
						4,858,129
SPECIAL PURPOSE ENTITIES – 0.5%
IPIC GMTN Ltd. 5.00%, 11/15/20		KY		1,200		1,207,500
MUFG Capital Finance 5 Ltd. 6.30%, 1/25/17 (1)		KY		2,019		1,891,467
Odebrecht Drilling VIII/IX Ltd. 6.35%, 6/30/21 (2)		KY		2,300		2,369,000
Vnesheconombank Veb Finance Ltd. 5.45%, 11/22/17 (2)		IE		200		198,000
						5,665,967
TELECOMMUNICATIONS – 1.3%
BellSouth Corp. 4.46%, 4/26/12 (2)				10,500		10,616,309
Deutsche Telekom International Finance BV 6.50%, 4/8/22		NL		2,951		3,463,030
						14,079,339
TRANSPORTATION – 0.7%
Asciano Finance Ltd. 5.00%, 4/7/18 (2)		AU		5,100		5,114,009
DP World Ltd. 6.25%, 7/2/17 (2)		KY		1,900		1,923,750
Ryder System, Inc. 6.00%, 3/1/13				400		420,579
						7,458,338

	Country Code*		Principal Amount (000)		Value
UTILITIES – 0.6%
Centrais Eletricas Brasileiras SA 6.88%, 7/30/19 (2)		BR	$	1,600	$	1,808,000
MidAmerican Energy Holdings Co. 6.13%, 4/1/36				300		358,305
Nakilat, Inc. 6.07%, 12/31/33		MH		2,800		2,982,000
NRG Energy, Inc. 8.25%, 9/1/20				700		703,500
The AES Corp. 7.38%, 7/1/21 (2)				200		215,500
						6,067,305
Total Corporate Debt Obligations (Cost $329,976,667)						319,234,762
FOREIGN GOVERNMENT AGENCY OBLIGATIONS – 1.1%
Banco Nacional de Desenvolvimento Economico e Social 4.13%, 9/15/17 (2)		BR		259		253,803
Canada Housing Trust No. 1 3.35%, 12/15/20 (2)		CA		1,767		1,910,023
3.75%, 3/15/20 (2)		CA		196		218,538
3.80%, 6/15/21 (2)		CA		687		767,990
Instituto de Credito Oficial 3.15%, 3/25/14 (1)		ES		1,683		1,572,536
Korea Housing Finance Corp. 4.13%, 12/15/15 (2)		KR		3,500		3,614,114
Societe Financement de l’Economie Francaise 0.60%, 7/16/12 (1)(2)		FR		1,000		1,001,060
3.38%, 5/5/14 (2)		FR		2,100		2,149,081
Total Foreign Government Agency Obligations (Cost $11,461,427)						11,487,145
FOREIGN GOVERNMENT OBLIGATIONS – 5.9%
Canadian Government Bond 2.75%, 9/1/16		CA		1,472		1,570,307
3.25%, 6/1/21		CA		98		109,134
3.75%, 6/1/19		CA		589		673,920
4.25%, 6/1/18		CA		98		114,547

See Notes to Financial Statements.

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	Country Code*		Principal Amount (000)		Value
Italy Buoni Poliennali Del Tesoro Inflation Linked Bond 2.10%, 9/15/16		IT	$	402	$	349,121
2.10%, 9/15/21		IT		4,477		3,312,659
Province of Ontario Canada 1.38%, 1/27/14		CA		900		909,423
1.60%, 9/21/16		CA		21,300		21,234,417
3.00%, 7/16/18		CA		200		210,347
3.15%, 6/2/22		CA		393		400,561
4.00%, 6/2/21		CA		687		754,612
4.20%, 6/2/20		CA		13,448		15,020,714
4.30%, 3/8/17		CA		393		439,495
4.60%, 6/2/39		CA		294		355,492
4.70%, 6/2/37		CA		1,276		1,546,474
Province of Quebec Canada 3.50%, 12/1/22		CA		98		102,105
4.25%, 12/1/21		CA		785		872,779
4.50%, 12/1/17		CA		491		556,677
4.50%, 12/1/18		CA		589		669,797
Republic of Turkey 7.00%, 9/26/16		TR		6,100		6,687,125
Russian Foreign Bond 3.63%, 4/29/15		RU		100		100,500
7.50%, 3/31/30 (3)		RU		2,839		3,296,789
Spain Government Bond 4.65%, 7/30/25		ES		3,883		3,508,842
United Kingdom Gilt 4.25%, 12/7/40		GB		311		382,349
United Mexican States, Series A 6.05%, 1/11/40		MX		200		244,500
Total Foreign Government Obligations (Cost $64,504,369)						63,422,686
MUNICIPAL BONDS – 3.8%
Acalanes Union High School District, Series 2008-B 0.00%, 8/1/46 (4)				4,600		409,584
California Infrastructure & Economic Development Bank 6.49%, 5/15/49				1,000		1,168,800
California State University 6.43%, 11/1/30				200		227,522
City of New York, NY 5.00%, 8/1/35				4,700		5,121,355
6.25%, 6/1/35				3,800		4,233,580

	Country Code*	Principal Amount (000)		Value
City of Newport Beach, California Certificates of Participation 7.17%, 7/1/40		$	2,300	$	2,602,864
Contra Costa, California Community College District 6.50%, 8/1/34			1,600		1,887,136
County of Clark, NV 6.82%, 7/1/45			300		377,268
County of Fresno CA, Series A 0.00%, 8/15/28 (4)			2,200		672,870
Irvine Ranch Water District, California 6.62%, 5/1/40			3,700		4,962,995
Long Beach Unified School District, Series 2008-B 0.00%, 8/1/34 (4)			2,400		616,896
Los Angeles Unified School District, California 6.76%, 7/1/34			200		248,208
Metropolitan Government of Nashville & Davidson County, Tennessee, Water and Sewer Revenue 6.57%, 7/1/37			3,700		4,631,660
Metropolitan Transportation Authority 7.34%, 11/15/39			1,100		1,540,726
New Jersey Economic Development Authority 1.55%, 6/15/13 (1)			1,300		1,300,013
New York State Thruway Authority 5.88%, 4/1/30			1,000		1,227,510
Pasadena, California Public Financing Authority 7.15%, 3/1/43			1,400		1,836,366
Philadelphia Authority for Industrial Development 0.00%, 4/15/23 (4)			3,000		1,320,420
State of California 7.60%, 11/1/40			500		617,355
7.63%, 3/1/40			1,000		1,230,350
7.95%, 3/1/36			400		452,312

See Notes to Financial Statements.

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	Country Code*	Principal Amount (000)		Value
State of Illinois 4.07%, 1/1/14		$	400	$	410,704
State of Louisiana 3.00%, 5/1/43 (1)			400		404,664
State of Washington 5.00%, 6/1/41			2,500		2,708,550
Total Municipal Bonds (Cost $34,873,681)					40,209,708
U.S. GOVERNMENT AGENCY OBLIGATIONS – 44.9%
Federal Home Loan Mortgage Corp. 2.00%, 8/25/16			100		103,987
2.50%, 5/27/16			100		105,907
4.50%, 2/1/39			95		100,943
4.50%, 4/1/39			610		647,420
4.50%, 1/1/40			680		721,704
4.50%, 2/1/41			225		239,149
4.88%, 6/13/18			200		240,984
5.50%, 3/1/37			805		875,516
5.50%, 4/1/37			96		104,455
5.50%, 7/1/37			304		330,725
5.50%, 8/1/37			150		162,856
5.50%, 7/1/38			477		518,669
5.50%, 8/1/38			385		418,504
5.50%, 1/1/40			96		104,319
Federal National Mortgage Association
3.00%, TBA (6)			42,000		43,240,310
3.33%, 11/1/21			399		423,672
3.50%, 8/1/25			125		130,498
3.50%, 10/1/25			675		706,504
3.50%, 1/1/26			7,971		8,343,250
3.50%, 2/1/26			5,912		6,187,962
3.50%, 9/1/26			317		331,871
3.50%, TBA (6)			36,500		38,167,724
4.00%, 8/1/39			165		173,791
4.00%, 12/1/40			6,377		6,704,411
4.00%, 1/1/41			993		1,044,330
4.00%, 2/1/41			7,737		8,135,429
4.00%, 3/1/41			198		208,476
4.00%, 4/1/41			507		532,851
4.00%, 7/1/41			387		406,647
4.00%, 8/1/41			3,152		3,316,052
4.00%, TBA (6)			57,000		59,888,909
4.50%, 6/1/38			114		121,290
4.50%, 1/1/39			356		379,641
4.50%, 3/1/39			692		737,707
4.50%, 4/1/39			59		63,282

	Country Code*	Principal Amount (000)		Value
4.50%, 5/1/39		$	1,021	$	1,087,451
4.50%, 6/1/39			43		45,991
4.50%, 8/1/39			599		638,019
4.50%, 11/1/39			10,328		10,999,994
4.50%, 1/1/40			608		647,779
4.50%, 7/1/40			901		959,989
4.50%, 8/1/40			134,601		143,249,808
4.50%, 9/1/40			528		562,521
4.50%, 10/1/40			2,400		2,556,594
4.50%, 11/1/40			930		990,324
4.50%, 5/1/41			41,858		44,578,299
4.50%, TBA (6)			16,000		17,025,000
5.00%, 4/1/38			67		71,985
5.00%, 6/1/38			92		99,845
5.00%, 7/1/38			21		22,394
5.00%, 8/1/38			160		172,954
5.00%, 1/1/39			509		550,225
5.00%, 4/1/39			1,777		1,921,487
5.00%, 7/1/40			8,000		8,652,069
5.00%, 6/1/41			953		1,030,918
5.00%, TBA (6)			2,000		2,160,625
5.50%, 8/1/33			31		34,497
5.50%, 2/1/34			9		10,060
5.50%, 4/1/34			94		103,144
5.50%, 4/1/35			18		19,312
5.50%, 3/1/36			344		375,741
5.50%, 4/1/36			17		18,772
5.50%, 8/1/36			11		11,588
5.50%, 11/1/36			735		802,327
5.50%, 12/1/36			7		8,088
5.50%, 5/1/37			16		17,524
5.50%, 11/1/37			1,788		1,948,275
5.50%, 1/1/38			1,115		1,215,003
5.50%, 2/1/38			1,471		1,602,973
5.50%, 4/1/38			951		1,036,265
5.50%, 5/1/38			995		1,084,491
5.50%, TBA (6)			6,000		6,533,437
6.00%, 8/1/36			288		318,184
6.00%, 9/1/36			45		49,838
6.00%, 10/1/36			10		10,987
6.00%, 12/1/36			126		139,452
6.00%, 1/1/37			116		127,684
6.00%, 4/1/37			196		215,879
6.00%, 5/1/37			39		42,570
6.00%, 8/1/37			589		649,466
6.00%, 9/1/37			1,662		1,832,503
6.00%, 10/1/37			744		820,595
6.00%, 11/1/37			1,045		1,153,168
6.00%, 12/1/37			4,078		4,495,196

See Notes to Financial Statements.

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	Country Code*	Principal Amount (000)		Value
6.00%, 1/1/38		$	1,117	$	1,230,495
6.00%, 3/1/38			350		385,504
6.00%, 4/1/38			140		154,240
6.00%, 5/1/38			38		41,495
6.00%, 6/1/38			366		403,287
6.00%, 8/1/38			816		900,037
6.00%, 9/1/38			1,639		1,806,569
6.00%, 10/1/38			189		208,056
6.00%, 11/1/38			366		403,358
6.00%, 12/1/38			651		719,160
6.00%, 1/1/39			22		24,411
6.00%, 3/1/39			35		38,879
6.00%, 7/1/39			62		68,856
6.00%, 9/1/39			163		179,778
6.00%, 4/1/40			264		291,519
6.00%, TBA (6)			21,400		23,563,407
6.50%, 9/1/37			1,586		1,774,996
Total U.S. Government Agency Obligations (Cost $472,210,817)					478,815,082
U.S. TREASURY OBLIGATIONS – 26.3%
U.S. Treasury Inflation Indexed Bonds 0.63%, 7/15/21			8,138		8,705,571
1.13%, 1/15/21 (7)			10,248		11,428,570
1.25%, 7/15/20			3,115		3,523,211
1.38%, 1/15/20			8,901		10,134,079
1.75%, 1/15/28 (9)			3,675		4,419,383
2.00%, 1/15/26			9,697		11,920,222
2.38%, 1/15/25			1,682		2,138,223
2.38%, 1/15/27 (7)			6,176		7,975,714
2.50%, 1/15/29 (9)			4,746		6,331,793
U.S. Treasury Notes 0.25%, 12/15/14			17,600		17,542,254
0.88%, 12/31/16 (6)			8,900		8,915,993
1.38%, 12/31/18 (6)			28,100		28,152,687
1.38%, 11/30/18			2,400		2,408,251
1.50%, 8/31/18 (7)			10,000		10,146,090
2.00%, 11/15/21			300		303,422
2.63%, 8/15/20			16,500		17,795,514
2.63%, 11/15/20 (7)			23,400		25,191,551
3.00%, 2/28/17 (6)(7)(9)			52,200		57,729,964
3.38%, 11/15/19			1,800		2,051,860
3.50%, 5/15/20			7,500		8,627,932
3.63%, 2/15/20			8,300		9,626,058
3.63%, 2/15/21 (6)(7)(9)			22,100		25,658,454
Total U.S. Treasury Obligations (Cost $274,694,022)					280,726,796

	Country Code*		Shares		Value
CONVERTIBLE PREFERRED STOCKS – 0.0% +
BANKS – 0.0% +
Wells Fargo & Co., Series L 7.50%, 12/31/49 (Cost $129,360)				200	$	212,900
PREFERRED STOCKS – 0.3%
BANKS – 0.3%
Citigroup, Inc., Series 1 6.15%, 12/15/12 (Cost $2,963,790)				405,000		2,890,080
			Notional Amount (000)
PURCHASED OPTIONS – 0.0% +
CALL SWAPTIONS – 0.0% +
OTC -1 Year Interest Rate Swap, exercise rate 1.25%, expires 4/30/12 (Cost $172,998)				45,600		246,755
			Principal Amount (000)
SHORT TERM INVESTMENTS – 6.8%
CERTIFICATES OF DEPOSIT – 1.1%
BANKS – 1.1%
Abbey National Treasury Services PLC 1.89%, 6/10/13 (1)		GB	$	2,500		2,495,665
Banco do Brasil SA 0.00%, 2/15/12 (4)		BR		3,800		3,792,613
Itau Unibanco SA New York 1.00%, 2/6/12		BR		5,800		5,790,586
Total Certificates of Deposit (Cost $12,083,199)						12,078,864
COMMERCIAL PAPER (8) – 3.4%
Kells Funding LLC 0.47%, 1/27/12 (2) (Amortized cost $36,087,746)				36,100		36,087,746

See Notes to Financial Statements.

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	Country Code*	Principal Amount (000)		Value
U.S. TREASURY OBLIGATIONS (8) – 2.0%
U.S. Treasury Bills 0.01%, 1/5/12 (7)		$	260	$	260,000
0.01%, 4/5/12 (7)			550		549,972
0.04%, 6/21/12			11,100		11,097,147
0.10%, 11/15/12			900		899,307
0.10%, 12/13/12			3,300		3,296,604
0.18%, 6/28/12			5,000		4,998,525
Total U.S. Treasury Obligations (Cost $21,102,844)					21,101,555

	Country Code*	Shares		Value
MUTUAL FUNDS – 0.3%
State Street Institutional U.S. Government Money Market Fund (Cost $2,779,528)			2,779,528	$	2,779,528
Total Short Term Investments (Cost $72,053,317)					72,047,693
TOTAL INVESTMENTS – 125.0%
(Cost $1,326,786,662)					1,333,466,395
Liabilities in excess of other assets – (25.0)%					(266,856,395	)
NET ASSETS – 100.0%				$	1,066,610,000

OTC	Over the Counter
SNAT	Supranational
TBA	To Be Announced. Securities are purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. At the period end, total market value of the TBA securities amounts to $190,579,412 which represents approximately 17.9% of net assets. At period end, the broker delivered cash of $1,340,000 to the Fund as collateral.
AU	Australia
BM	Bermuda
BR	Brazil
CA	Canada
CH	Switzerland
CL	Chile
DE	Germany
DK	Denmark
ES	Spain
FR	France
GB	Great Britain
HK	Hong Kong
IE	Ireland
IN	India
IT	Italy
JP	Japan
KR	Korea, Republic of
KY	Cayman Islands
LU	Luxembourg
MH	Marshall Islands
MX	Mexico
NL	Netherlands
NO	Norway
QA	Qatar
RU	Russia

See Notes to Financial Statements.

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SE	Sweden
SG	Singapore
TR	Turkey
VG	British Virgin Islands

* Unless otherwise noted the issuer country code for all securities is United States.

+ Amount is less than 0.05%.

(1) Variable rate security. The interest rate shown reflects the rate in effect at the period end.

(2) Eligible for resale under rule 144A or exempt from registration under Section 4(2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration. At the period end, the value of these securities amounted to $193,187,417, representing 18.1% of net assets.

(3) Security is a “Step-up” bond where the coupon increases on a predetermined future date.

(4) Zero-coupon bond.

(5) Security is in default and is non-income producing.

(6) Security (or a portion thereof) has been purchased on a delayed delivery or when-issued basis.

(7) At the period end, securities (or portions thereof) with an aggregate market value of $4,814,991 and cash of $37,000 have been pledged as collateral for open swap and swaption contracts.

(8) Interest rates represent annualized yield at date of purchase.

(9) At the period end, securities (or portions thereof) with an aggregate market value of $1,672,973 have been pledged to cover margin requirements for the following open futures contracts:

Type	Description	Expiration Date	Contracts	Unrealized Appreciation ($)
Long	90-Day Eurodollar December Futures	12/16/13	115		35,831
Long	90-Day Eurodollar June Futures	6/17/13	140		79,637
Long	90-Day Eurodollar March Futures	3/17/14	180		230,599
Long	90-Day Eurodollar September Futures	9/16/13	237		276,654
Long	U.S. Treasury 10 Year Note March Futures	3/21/12	385		377,742
Long	U.S. Treasury 5 Year Note March Futures	3/30/12	514		237,683
Net unrealized appreciation					1,238,146

(10) At the period end, open forward foreign currency exchange contracts were as follows:

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation/ (Depreciation) ($)
Bank of America NA	USD	537,450	IDR	4,873,600,000	1/31/12		(1,325	)
Barclays Bank PLC*	CAD	355,000	USD	344,433	2/9/12		(3,761	)
Barclays Bank PLC*	CAD	300,000	USD	289,687	2/9/12		(4,561	)
Barclays Bank PLC*	CAD	512,000	USD	501,971	2/9/12		(213	)
Barclays Bank PLC*	CAD	12,622,000	USD	12,328,881	2/9/12		(51,114	)
Barclays Bank PLC*	CAD	203,000	USD	200,725	2/9/12		1,617
Barclays Bank PLC*	EUR	659,000	USD	856,891	1/17/12		3,923
Barclays Bank PLC*	EUR	595,000	USD	774,387	1/17/12		4,256
Barclays Bank PLC*	EUR	80,000	USD	104,119	1/17/12		572
Barclays Bank PLC*	EUR	1,522,000	USD	2,042,838	1/17/12		72,856
Barclays Bank PLC*	EUR	1,225,000	USD	1,644,202	1/17/12		58,639
Barclays Bank PLC*	EUR	465,000	USD	633,249	1/17/12		31,382

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation/ (Depreciation) ($)
Barclays Bank PLC*	GBP	247,000	USD	379,826	3/12/12		(3,509	)
Barclays Bank PLC*	IDR	4,994,000,000	USD	556,125	1/31/12		6,755
Barclays Bank PLC*	IDR	1,640,000,000	USD	175,871	7/2/12		(2,095	)
Barclays Bank PLC*	INR	74,280,000	USD	1,439,814	7/12/12		84,406
Barclays Bank PLC*	PHP	70,297,000	USD	1,644,567	3/15/12		45,805
Barclays Bank PLC*	PHP	5,100,000	USD	118,605	3/15/12		2,616
Barclays Bank PLC*	PHP	3,875,500	USD	90,212	3/15/12		2,072
Barclays Bank PLC*	PHP	3,000,000	USD	69,930	3/15/12		1,701
Barclays Bank PLC*	TWD	5,379,780	USD	175,724	1/11/12		(1,981	)
Barclays Bank PLC*	USD	200,000	CNY	1,278,000	6/1/12		2,684
Barclays Bank PLC*	USD	1,300,000	CNY	8,320,390	6/1/12		19,569
Barclays Bank PLC*	USD	1,974,963	EUR	1,437,000	1/17/12		(115,000	)
Barclays Bank PLC*	USD	1,090,119	EUR	800,000	1/17/12		(54,650	)
Barclays Bank PLC*	USD	4,075,425	EUR	3,014,000	1/17/12		(174,293	)
Barclays Bank PLC*	USD	32,200	MXN	449,721	3/15/12		(151	)
Barclays Bank PLC*	USD	7,134,107	MXN	99,000,000	3/15/12		(79,056	)
Barclays Bank PLC*	USD	29,079	MXN	408,822	3/15/12		55
Barclays Bank PLC*	USD	294,200	TWD	8,431,780	1/11/12		(15,682	)
Barclays Bank PLC*	ZAR	220,050	USD	27,229	1/26/12		66
Citibank NA	AUD	100,000	USD	100,802	2/23/12		(899	)
Citibank NA	AUD	299,000	USD	298,843	2/23/12		(5,242	)
Citibank NA	AUD	100,000	USD	100,802	2/23/12		(899	)
Citibank NA	CAD	625,000	USD	604,406	2/9/12		(8,611	)
Citibank NA	CAD	12,000	USD	11,571	2/9/12		(199	)
Citibank NA	CAD	310,000	USD	298,910	2/9/12		(5,147	)
Citibank NA	CAD	3,000	USD	2,917	2/9/12		(26	)
Citibank NA	CAD	300,000	USD	293,492	2/9/12		(756	)
Citibank NA	CAD	500,000	USD	489,153	2/9/12		(1,260	)
Citibank NA	EUR	860,000	USD	1,127,023	1/17/12		13,893
Citibank NA	EUR	599,000	USD	782,471	1/17/12		7,163
Citibank NA	EUR	2,210,000	USD	2,882,695	1/17/12		22,210
Citibank NA	EUR	191,000	USD	264,050	1/17/12		16,832
Citibank NA	EUR	1,005,000	USD	1,343,369	1/17/12		42,561
Citibank NA	EUR	1,263,000	USD	1,693,410	1/17/12		58,663
Citibank NA	EUR	606,000	USD	813,226	1/17/12		28,858
Citibank NA	EUR	600,000	USD	829,477	1/17/12		52,875
Citibank NA	EUR	300,000	USD	404,358	1/17/12		16,057
Citibank NA	MYR	2,292,718	USD	740,781	4/23/12		20,744
Citibank NA	PHP	3,000,000	USD	67,492	3/15/12		(737	)
Citibank NA	PHP	1,000,000	USD	22,538	3/15/12		(205	)
Citibank NA	SGD	1,512,335	USD	1,183,647	2/10/12		17,715
Citibank NA	USD	400,000	CNY	2,556,080	6/1/12		5,381
Citibank NA	USD	500,000	CNY	3,202,250	6/1/12		7,860
Citibank NA	USD	100,000	CNY	630,650	6/1/12		18
Citibank NA	USD	100,000	CNY	630,450	6/1/12		(14	)
Citibank NA	USD	1,000,000	CNY	6,313,000	2/1/13		58
Citibank NA	USD	592,292	EUR	425,000	1/17/12		(42,199	)
Citibank NA	USD	568,368	GBP	366,000	1/4/12		30
Citibank NA	USD	765,004	MYR	2,292,718	4/23/12		(44,967	)

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation/ (Depreciation) ($)
Citibank NA	USD	2,487,649	PHP	108,461,500	3/15/12		(20,914	)
Credit Suisse	CNY	1,277,400	USD	200,000	6/1/12		(2,589	)
Credit Suisse	USD	873,372	EUR	630,000	1/17/12		(57,939	)
Deutsche Bank AG (London)	EUR	316,000	USD	421,373	1/17/12		12,363
Deutsche Bank AG (London)	INR	25,460,000	USD	500,000	7/12/12		35,424
Deutsche Bank AG (London)	USD	404,213	CNY	2,552,000	6/1/12		520
Deutsche Bank AG (London)	USD	4,044,312	CNY	25,628,807	2/1/13		15,610
Deutsche Bank AG (London)	USD	4,278,007	EUR	3,273,000	1/17/12		(41,642	)
Deutsche Bank AG (London)	USD	135,727	GBP	87,000	3/12/12		(706	)
Deutsche Bank AG (London)	USD	230,947	IDR	2,000,000,000	1/31/12		(10,935	)
Goldman Sachs International	CAD	206,000	USD	199,893	2/9/12		(2,157	)
Goldman Sachs International	EUR	551,000	USD	720,793	1/17/12		7,614
Goldman Sachs International	IDR	3,466,000,000	USD	383,619	1/31/12		2,338
Goldman Sachs International	IDR	150,760,000	USD	16,202	7/2/12		(158	)
Goldman Sachs International	PHP	8,570,000	USD	200,000	3/15/12		5,093
Goldman Sachs International	USD	500,000	CNY	3,155,000	2/1/13		(209	)
HSBC Bank PLC	BRL	743,000	USD	400,000	1/4/12		1,662
HSBC Bank PLC	BRL	241,540	USD	130,000	1/4/12		505
HSBC Bank PLC	BRL	999,000	USD	540,000	1/4/12		4,415
HSBC Bank PLC	IDR	3,397,000,000	USD	367,243	7/2/12		(1,385	)
HSBC Bank PLC	IDR	7,084,000,000	USD	758,499	7/2/12		(10,227	)
HSBC Bank PLC	MXN	5,318,800	USD	400,000	3/15/12		20,966
HSBC Bank PLC	MXN	1,329,550	USD	100,000	3/15/12		5,252
HSBC Bank PLC	MXN	61,970,137	USD	4,567,812	3/15/12		151,626
HSBC Bank PLC	MXN	5,317,400	USD	400,000	3/15/12		21,065
HSBC Bank PLC	MXN	1,329,050	USD	100,000	3/15/12		5,288
HSBC Bank PLC	USD	1,057,437	BRL	1,983,540	1/4/12		5,981
HSBC Bank PLC	USD	200,000	CNY	1,278,300	6/1/12		2,731
HSBC Bank PLC	USD	300,000	CNY	1,913,250	6/1/12		3,431
HSBC Bank PLC	USD	600,000	CNY	3,828,000	6/1/12		7,100
HSBC Bank PLC	USD	100,000	CNY	638,350	6/1/12		1,239
HSBC Bank PLC	USD	200,000	CNY	1,278,100	6/1/12		2,700
HSBC Bank PLC	USD	100,000	CNY	639,800	6/1/12		1,469
HSBC Bank PLC	USD	100,000	CNY	639,450	6/1/12		1,413
HSBC Bank PLC	USD	200,000	CNY	1,278,600	6/1/12		2,779
HSBC Bank PLC	USD	200,000	CNY	1,278,500	6/1/12		2,763
HSBC Bank PLC	USD	234,211	IDR	2,047,000,000	1/31/12		(9,028	)
HSBC Bank PLC	USD	1,929,442	IDR	17,432,510,000	7/2/12		(37,740	)
HSBC Bank PLC	USD	288,359	MXN	4,054,473	3/15/12		575
JPMorgan Securities**	AUD	193,000	USD	190,739	2/23/12		(5,543	)
JPMorgan Securities**	BRL	21,018,254	USD	11,254,754	1/4/12		(13,576	)
JPMorgan Securities**	CAD	609,000	USD	594,561	2/9/12		(2,762	)
JPMorgan Securities**	CAD	512,000	USD	497,764	2/9/12		(4,419	)
JPMorgan Securities**	CAD	5,000	USD	4,809	2/9/12		(95	)
JPMorgan Securities**	CAD	728,000	USD	699,973	2/9/12		(14,069	)
JPMorgan Securities**	CAD	617,000	USD	600,890	2/9/12		(4,280	)
JPMorgan Securities**	CAD	298,000	USD	286,168	2/9/12		(6,119	)
JPMorgan Securities**	CAD	1,549,000	USD	1,499,995	2/9/12		(19,305	)
JPMorgan Securities**	CAD	310,000	USD	304,860	2/9/12		804

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation/ (Depreciation) ($)
JPMorgan Securities**	CAD	177,000	USD	173,394	2/9/12		(212	)
JPMorgan Securities**	CAD	339,000	USD	334,194	2/9/12		1,694
JPMorgan Securities**	EUR	1,320,000	USD	1,718,534	1/17/12		10,009
JPMorgan Securities**	EUR	482,000	USD	627,525	1/17/12		3,655
JPMorgan Securities**	EUR	1,647,000	USD	2,224,140	1/17/12		92,367
JPMorgan Securities**	EUR	1,300,000	USD	1,755,545	1/17/12		72,907
JPMorgan Securities**	EUR	61,733,000	USD	83,936,817	1/17/12		4,033,506
JPMorgan Securities**	GBP	126,000	USD	196,855	3/12/12		1,307
JPMorgan Securities**	GBP	14,628,000	USD	22,941,458	3/12/12		239,305
JPMorgan Securities**	INR	20,356,000	USD	400,000	7/12/12		28,558
JPMorgan Securities**	INR	15,400,000	USD	302,875	7/12/12		21,867
JPMorgan Securities**	INR	20,445,000	USD	401,670	7/12/12		28,604
JPMorgan Securities**	PHP	13,272,000	USD	300,000	3/15/12		(1,844	)
JPMorgan Securities**	PHP	4,314,500	USD	100,000	3/15/12		1,876
JPMorgan Securities**	PHP	17,688,000	USD	400,000	3/15/12		(2,277	)
JPMorgan Securities**	USD	11,204,954	BRL	21,018,254	1/4/12		63,376
JPMorgan Securities**	USD	11,117,828	BRL	21,018,254	3/2/12		15,185
JPMorgan Securities**	USD	400,000	CNY	2,552,000	6/1/12		4,733
JPMorgan Securities**	USD	300,000	CNY	1,913,700	6/1/12		3,503
JPMorgan Securities**	USD	200,000	CNY	1,279,600	6/1/12		2,938
JPMorgan Securities**	USD	1,400,000	CNY	8,967,000	6/1/12		22,118
JPMorgan Securities**	USD	200,000	CNY	1,283,400	6/1/12		3,540
JPMorgan Securities**	USD	400,000	CNY	2,566,800	6/1/12		7,081
JPMorgan Securities**	USD	100,000	CNY	641,700	6/1/12		1,770
JPMorgan Securities**	USD	300,000	CNY	1,887,450	6/1/12		(661	)
JPMorgan Securities**	USD	100,000	CNY	630,500	6/1/12		(6	)
JPMorgan Securities**	USD	100,000	CNY	630,200	6/1/12		(54	)
JPMorgan Securities**	USD	3,355,013	INR	155,941,000	7/12/12		(509,514	)
JPMorgan Securities**	USD	208,412	ZAR	1,520,050	1/26/12		(20,779	)
JPMorgan Securities**	ZAR	700,000	USD	87,058	1/26/12		651
JPMorgan Securities**	ZAR	600,000	USD	74,667	1/26/12		604
Morgan Stanley & Co., Inc.***	BRL	371,400	USD	200,000	1/4/12		885
Morgan Stanley & Co., Inc.***	BRL	1,016,675	USD	550,000	1/4/12		4,939
Morgan Stanley & Co., Inc.***	BRL	1,017,363	USD	539,000	1/4/12		(6,430	)
Morgan Stanley & Co., Inc.***	BRL	25,407,231	USD	13,544,744	1/4/12		(76,610	)
Morgan Stanley & Co., Inc.***	CAD	200,000	USD	193,993	2/9/12		(2,172	)
Morgan Stanley & Co., Inc.***	EUR	638,000	USD	835,008	1/17/12		9,221
Morgan Stanley & Co., Inc.***	IDR	5,621,350,000	USD	622,382	1/31/12		3,999
Morgan Stanley & Co., Inc.***	MXN	21,393,600	USD	1,600,000	3/15/12		75,425
Morgan Stanley & Co., Inc.***	TWD	3,052,000	USD	100,000	1/11/12		(814	)
Morgan Stanley & Co., Inc.***	USD	1,282,353	BRL	2,405,438	1/4/12		7,253
Morgan Stanley & Co., Inc.***	USD	14,290,585	BRL	25,407,231	1/4/12		(669,231	)
Morgan Stanley & Co., Inc.***	USD	500,000	CNY	3,184,750	6/1/12		5,084
Morgan Stanley & Co., Inc.***	USD	100,000	CNY	638,750	6/1/12		1,301
Morgan Stanley & Co., Inc.***	USD	497,313	PHP	21,655,500	3/15/12		(4,803	)
Royal Bank of Canada	CAD	305,000	USD	296,759	2/9/12		(2,393	)
Royal Bank of Canada	CAD	518,000	USD	500,402	2/9/12		(7,666	)
Royal Bank of Canada	CAD	415,000	USD	401,842	2/9/12		(5,201	)
Royal Bank of Canada	CAD	3,681,000	USD	3,612,844	2/9/12		2,420

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation/ (Depreciation) ($)
Royal Bank of Canada	EUR	968,000	USD	1,278,980	1/17/12		26,061
Royal Bank of Canada	EUR	787,000	USD	1,064,249	1/17/12		45,605
Royal Bank of Canada	EUR	300,000	USD	405,686	1/17/12		17,385
Royal Bank of Canada	GBP	366,000	USD	573,156	1/4/12		4,758
Royal Bank of Canada	USD	573,011	GBP	366,000	2/2/12		(4,755	)
Royal Bank of Scotland PLC	USD	500,000	CNY	3,205,500	6/1/12		8,375
Net unrealized appreciation							3,646,712

* At the period end, cash of $25,000 has been received as collateral for these open forward foreign currency exchange contracts.

** At the period end, the broker pledged securities with a fair value of $4,018,763 to the Fund as collateral for these open forward foreign currency exchange contracts.

*** At the period end, cash of $285,000 has been received as collateral for these open forward foreign currency exchange contracts.

AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CNY	–	Yuan Renminbi
EUR	–	Euro
GBP	–	Great British Pound
IDR	–	Indonesian Rupiah
INR	–	Indian Rupee
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
PHP	–	Philippine Peso
SGD	–	Singapore Dollar
TWD	–	New Taiwan Dollar
USD	–	United States Dollar
ZAR	–	South African Rand

(11) At the period end, open written option contracts were as follows:

Options on Exchange-Traded Futures Contracts

Type	Description	Expiration Date	Strike Price ($)		Number of Contracts		Value ($)
Put	90-Day Eurodollar March Futures	3/19/12		99.000		81		6,581
Written option contracts (Premium received, $66,210)						81		6,581

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Inflation Floor Options

Description	Counterparty	Strike Index	Exercise Index	Expiration Date		Notional Amount (000) ($)		Value ($)
Floor - OTC CPURNSA Index	Citibank NA	216.687	Maximum of [1-(Index Final/Index Initial)] or $0		4/7/20		2,100		8,331
Floor - OTC CPURNSA Index	Citibank NA	217.965	Maximum of [1-(Index Final/Index Initial)] or $0		9/29/20		1,300		5,475
Floor - OTC CPURNSA Index	Deutsche Bank AG	215.949	Maximum of [1-(Index Final/Index Initial)] or $0		3/10/20		1,000		4,506
Written inflation floor options (Premium received, $42,970)							4,400		18,312

Interest Rate Swaptions

Type	Description	Counterparty	Pay/Receive Floating Rate	Floating Rate	Exercise Rate		Expiration Date	Notional Amount (000) ($)		Value ($)
Put	OTC - 5 Year Interest Rate Swap	Bank of America NA	Pay	3-Month USD-LIBOR		1.70%	8/13/12		4,600		30,330
Put	OTC - 1 Year Interest Rate Swap	Bank of America NA	Pay	3-Month USD-LIBOR		2.25%	5/28/13		13,700		11,068
Put	OTC - 2 Year Interest Rate Swap	Bank of America NA	Pay	3-Month USD-LIBOR		2.25%	9/24/12		7,100		2,873
Put	OTC - 3 Year Interest Rate Swap	Bank of America NA	Pay	3-Month USD-LIBOR		3.00%	6/18/12		11,000		375
Put	OTC - 3 Year Interest Rate Swap	Barclays Bank PLC*	Pay	3-Month USD-LIBOR		3.00%	6/18/12		8,900		303
Put	OTC - 2 Year Interest Rate Swap	Citibank NA	Pay	3-Month USD-LIBOR		0.92%	11/14/12		3,900		13,939
Put	OTC - 5 Year Interest Rate Swap	Citibank NA	Pay	3-Month USD-LIBOR		1.70%	8/13/12		24,600		162,199
Put	OTC - 2 Year Interest Rate Swap	Citibank NA	Pay	3-Month USD-LIBOR		2.25%	9/24/12		800		324
Put	OTC - 3 Year Interest Rate Swap	Citibank NA	Pay	3-Month USD-LIBOR		3.00%	6/18/12		7,800		266
Put	OTC - 5 Year Interest Rate Swap	Citibank NA	Pay	3-Month USD-LIBOR		3.25%	7/16/12		5,000		800
Put	OTC - 3 Year Interest Rate Swap	Deutsche Bank AG	Pay	3-Month USD-LIBOR		1.00%	8/13/12		4,000		20,544
Put	OTC - 2 Year Interest Rate Swap	Deutsche Bank AG	Pay	3-Month USD-LIBOR		1.20%	7/11/13		10,500		59,998
Put	OTC - 5 Year Interest Rate Swap	Deutsche Bank AG	Pay	3-Month USD-LIBOR		1.70%	8/13/12		20,000		131,869
Put	OTC - 1 Year Interest Rate Swap	Deutsche Bank AG	Pay	3-Month USD-LIBOR		1.75%	7/11/13		68,700		94,050
Put	OTC - 3 Year Interest Rate Swap	Deutsche Bank AG	Pay	3-Month USD-LIBOR		2.75%	6/18/12		6,300		408

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Type	Description	Counterparty	Pay/Receive Floating Rate	Floating Rate	Exercise Rate		Expiration Date	Notional Amount (000) ($)		Value ($)
Put	OTC - 3 Year Interest Rate Swap	Deutsche Bank AG	Pay	3-Month USD-LIBOR		3.00%	6/18/12		5,300		181
Put	OTC - 1 Year Interest Rate Swap	Goldman Sachs Bank**	Pay	3-Month USD-LIBOR		1.00%	11/19/12		10,700		14,535
Put	OTC - 5 Year Interest Rate Swap	Goldman Sachs Bank**	Pay	3-Month USD-LIBOR		1.70%	8/13/12		2,200		14,505
Put	OTC - 1 Year Interest Rate Swap	Goldman Sachs Bank**	Pay	3-Month USD-LIBOR		2.00%	4/30/12		66,600		3,696
Put	OTC - 2 Year Interest Rate Swap	Goldman Sachs Bank**	Pay	3-Month USD-LIBOR		2.25%	9/24/12		6,700		2,711
Put	OTC - 2 Year Interest Rate Swap	Morgan Stanley Capital Services, Inc.***	Pay	3-Month USD-LIBOR		0.92%	11/14/12		27,100		96,859
Put	OTC - 2 Year Interest Rate Swap	Morgan Stanley Capital Services, Inc.***	Pay	3-Month USD-LIBOR		2.25%	9/24/12		3,500		1,416
Put	OTC - 10 Year Interest Rate Swap	Morgan Stanley Capital Services, Inc.***	Pay	3-Month USD-LIBOR		10.00%	7/10/12		2,000		—
Put	OTC - 5 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		1.70%	8/13/12		18,000		118,683
Put	OTC - 1 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		1.75%	11/19/12		12,200		6,739
Put	OTC - 1 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		2.00%	4/30/12		24,600		1,365
Put	OTC - 2 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		2.25%	9/24/12		30,700		12,424
Put	OTC - 3 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		2.75%	6/18/12		5,900		382
Put	OTC - 3 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		3.00%	6/18/12		14,900		508
Put	OTC - 5 Year Interest Rate Swap	Royal Bank of Scotland PLC	Pay	3-Month USD-LIBOR		3.25%	7/16/12		1,700		272
Written swaptions (Premium received, $3,016,754)									429,000		803,622

CPURNSA	–	Consumer Price All Urban Non-Seasonally Adjusted Index
LIBOR	–	London Interbank Offered Rate
OTC	–	Over the Counter
USD	–	United States Dollar

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

(12) At the period end, open swap contracts were as follows:

Centrally Cleared Interest Rate Swap Contracts

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate	Expiration Date	Notional Amount (000) ($)		Market Value ($)		Unrealized Appreciation ($)
Pay	6-Month EUR-EURIBOR	3.65%	9/21/21		1,294		151,752		27,529
Pay	6-Month EUR-EURIBOR	2.50%	3/21/22		13,719		117,622		462,084
Pay	6-Month EUR-EURIBOR	2.75%	3/21/22		19,155		605,011		427,256
Pay	6-Month EUR-EURIBOR	3.00%	3/21/22		12,813		699,552		186,551
Total					46,981		1,573,937		1,103,420

OTC Interest Rate Swap Contracts

Counterparty	Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate	Expiration Date		Notional Amount (000) ($)		Market Value ($)	Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation/ (Depreciation) ($)
Barclays Bank PLC*	Pay	BRL- BZDIOVRA	12.455%		1/2/13		965	22,472		881			21,591
Barclays Bank PLC*	Pay	MXN-TIIE- Banxico	5.60%		9/6/16		150	(1,285)		1,056			(2,341	)
Barclays Bank PLC*	Pay	6-Month AUD-BBR BBSW	4.25%		6/15/17		307	(1,004)		(294	)		(710	)
Barclays Bank PLC*	Pay	6-Month EUR-EURIBOR	2.50%		9/21/18		1,035	31,661		(13,452	)		45,113
Barclays Bank PLC*	Pay	6-Month EUR-EURIBOR	3.50%		9/21/21		6,083	617,086		25,155			591,931
Barclays Bank PLC*	Pay	6-Month EUR-EURIBOR	3.00%		9/21/21		3,106	177,882		22,804			155,078
Barclays Bank PLC*	Pay	6-Month GBP-LIBOR	3.00%		3/21/22		932	56,458		10,692			45,766
Barclays Bank PLC*	Pay	6-Month EUR-EURIBOR	2.50%		3/21/22		2,330	19,001		(57,509	)		76,510
Deutsche Bank AG	Pay	6-Month AUD-BBR BBSW	4.25%		6/15/17		511	(1,674)		(274	)		(1,400	)
Goldman Sachs Bank**	Pay	BRL- BZDIOVRA	12.65%		1/2/14		536	31,390		6,547			24,843
Goldman Sachs Bank**	Pay	U.S. Federal Fund Rate	0.50%		9/19/14		2,700	11,965		(11,529	)		23,494
HSBC Bank USA, NA****	Pay	MXN-TIIE- Banxico	5.60%		9/6/16		279	(2,386)		1,530			(3,916	)
HSBC Bank USA, NA****	Pay	6-Month GBP-LIBOR	3.00%		3/21/22		8,231	498,712		232,447			266,265
Morgan Stanley Capital Services, Inc.***	Pay	BRL- BZDIOVRA	12.59%		1/2/13		107	4,254		273			3,981
Morgan Stanley Capital Services, Inc.***	Pay	BRL- BZDIOVRA	12.50%		1/2/13		2,091	49,988		2,964			47,024

See Notes to Financial Statements.

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Counterparty	Pay/ Receive Floating Rate	Floating Rate Index	Fixed Rate	Expiration Date		Notional Amount (000) ($)		Market Value ($)		Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation/ (Depreciation) ($)
Morgan Stanley Capital Services, Inc.***	Pay	U.S. Federal Fund Rate	0.50%		9/19/13		13,300		44,461		(17,290	)		61,751
Morgan Stanley Capital Services, Inc.***	Pay	BRL- BZDIOVRA	12.51%		1/2/14		536		29,331		4,601			24,730
Morgan Stanley Capital Services, Inc.***	Pay	BRL- BZDIOVRA	12.54%		1/2/14		1,716		59,530		(2,173	)		61,703
Morgan Stanley Capital Services, Inc.***	Pay	MXN-TIIE- Banxico	5.60%		9/6/16		215		(1,835)		600			(2,435	)
Morgan Stanley Capital Services, Inc.***	Pay	MXN-TIIE- Banxico	6.35%		6/2/21		222		(6,030)		734			(6,764	)
Royal Bank of Scotland PLC	Pay	3-Month CAD-CDOR	5.70%		12/18/24		3,141		246,068		(2,193	)		248,261
Total							48,493		1,886,045		205,570			1,680,475

AUD	–	Australian Dollar
BBR BBSW	–	Bank Bill Swap Reference Rate
BRL	–	Brazilian Real
BZDIOVRA	–	Brazilian Interbank Deposit Rate Over
CAD	–	Canadian Dollar
CDOR	–	Canadian Deposit Offered Rate
EUR	–	Euro
EURIBOR	–	Euro Interbank Offered Rate
GBP	–	Great British Pound
LIBOR	–	London Interbank Offered Rate
MXN	–	Mexican Peso
TIIE	–	Tasa de Interes Interbancaria de Equilibrio (Interbank Equilibrium Interest Rate)

OTC Credit Default Swap Contracts on Corporate Issues – Buy Protection (a)

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Implied Credit Spread (b)		Notional Amount (c) (000) ($)		Market Value ($)	Unrealized Depreciation ($)
Barclays Bank PLC*	Tate & Lyle International Finance PLC	(1.15%)	6/20/16		0.83%		500	(7,011)		(7,011	)

See Notes to Financial Statements.

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OTC Credit Default Swap Contracts on Corporate and Sovereign Issues – Sell Protection (a)

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Implied Credit Spread (b)		Notional Amount (c) (000) ($)		Market Value ($)	Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation/ (Depreciation) ($)
Bank of America NA	Berkshire Hathaway Finance	1.00%	3/20/21		2.02%		2,500	(194,696)		(81,066	)		(113,630	)
Bank of America NA	Credit Agricole SA	1.00%	6/20/16		5.57%		906	(156,585)		(74,323	)		(82,262	)
Bank of America NA	General Electric Capital Corp.	1.00%	12/20/15		2.36%		500	(25,125)		(10,025	)		(15,100	)
Bank of America NA	General Electric Capital Corp.	1.00%	12/20/15		2.36%		500	(25,125)		(9,796	)		(15,329	)
Bank of America NA	General Electric Capital Corp.	1.00%	3/20/16		2.40%		10,400	(569,873)		(115,798	)		(454,075	)
Bank of America NA	Indonesian Government Bond	1.00%	9/20/16		1.97%		1,300	(55,646)		(19,903	)		(35,743	)
Bank of America NA	Japan Government Bond	1.00%	3/20/16		1.30%		100	(1,213)		1,440			(2,653	)
Bank of America NA	Japan Government Bond	1.00%	3/20/16		1.30%		200	(2,426)		2,676			(5,102	)
Bank of America NA	Metlife, Inc.	1.00%	12/20/15		3.08%		600	(45,376)		(21,812	)		(23,564	)
Bank of America NA	Metlife, Inc.	1.00%	12/20/15		3.08%		900	(68,063)		(50,283	)		(17,780	)
Bank of America NA	Prudential Financial, Inc.	1.00%	12/20/15		2.52%		700	(39,357)		(20,428	)		(18,929	)
Bank of America NA	Spain Government Bond	1.00%	3/20/16		3.76%		100	(10,241)		(6,562	)		(3,679	)
Bank of America NA	Spain Government Bond	1.00%	3/20/16		3.76%		4,900	(501,820)		(323,602	)		(178,218	)
Barclays Bank PLC*	Brazilian Government Bond	1.00%	6/20/15		1.29%		500	(4,945)		(7,190	)		2,245
Barclays Bank PLC*	Brazilian Government Bond	1.00%	12/20/16		1.57%		3,600	(96,664)		(90,671	)		(5,993	)
Barclays Bank PLC*	China Government Bond	1.00%	3/20/16		1.27%		1,000	(11,027)		11,950			(22,977	)
Barclays Bank PLC*	France Government Bond	0.25%	9/20/16		2.10%		100	(8,071)		(6,115	)		(1,956	)
Barclays Bank PLC*	Italy Republic Bond	1.00%	3/20/16		4.89%		800	(110,282)		(31,136	)		(79,146	)
Barclays Bank PLC*	Italy Republic Bond	1.00%	3/20/16		4.89%		3,900	(537,626)		(138,949	)		(398,677	)
Barclays Bank PLC*	United Mexican States, Series A	1.00%	3/20/15		1.16%		400	(2,022)		(8,999	)		6,977
Barclays Bank PLC*	United Mexican States, Series A	1.00%	9/20/15		1.27%		3,300	(32,138)		(44,617	)		12,479
Citibank NA	Brazilian Government Bond	1.00%	9/20/15		1.34%		1,000	(12,192)		(15,694	)		3,502
Citibank NA	Brazilian Government Bond	1.00%	3/20/16		1.41%		1,400	(23,341)		(26,562	)		3,221

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Implied Credit Spread (b)		Notional Amount (c) (000) ($)		Market Value ($)	Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation/ (Depreciation) ($)
Citibank NA	China Government Bond	1.00%	6/20/16		1.33%		1,400	(19,817)		15,095			(34,912	)
Citibank NA	France Government Bond	0.25%	9/20/16		2.10%		3,100	(250,194)		(209,892	)		(40,302	)
Citibank NA	Italy Republic Bond	1.00%	3/20/16		4.89%		3,300	(454,914)		(426,720	)		(28,194	)
Citibank NA	Kazakhstan Government Bond	1.00%	3/20/16		2.87%		300	(22,083)		(8,658	)		(13,425	)
Citibank NA	Metlife, Inc.	1.00%	12/20/15		3.08%		800	(60,501)		(29,083	)		(31,418	)
Citibank NA	United Mexican States, Series A	1.00%	3/20/15		1.16%		400	(2,023)		(9,184	)		7,161
Deutsche Bank AG	Ally Financial Inc.	5.00%	12/20/16		6.35%		600	(29,981)		(8,547	)		(21,434	)
Deutsche Bank AG	Ally Financial Inc.	5.00%	12/20/16		6.35%		1,200	(59,962)		(42,000	)		(17,962	)
Deutsche Bank AG	Brazilian Government Bond	1.00%	6/20/15		1.29%		500	(4,945)		(4,780	)		(165	)
Deutsche Bank AG	Brazilian Government Bond	1.00%	12/20/15		1.38%		6,200	(89,550)		(35,105	)		(54,445	)
Deutsche Bank AG	China Government Bond	1.00%	9/20/16		1.38%		400	(6,894)		2,210			(9,104	)
Deutsche Bank AG	China Government Bond	1.00%	6/20/16		1.33%		800	(11,324)		8,612			(19,936	)
Deutsche Bank AG	Japan Government Bond	1.00%	3/20/15		1.11%		700	(2,377)		8,131			(10,508	)
Deutsche Bank AG	Kazakhstan Government Bond	1.00%	3/20/16		2.87%		300	(22,083)		(9,075	)		(13,008	)
Deutsche Bank AG	Merrill Lynch & Co., Inc.	1.00%	3/20/16		4.69%		1,500	(196,506)		(31,933	)		(164,573	)
Deutsche Bank AG	Metlife, Inc.	1.00%	3/20/18		3.36%		2,600	(320,852)		(147,690	)		(173,162	)
Deutsche Bank AG	United Mexican States, Series A	1.00%	3/20/15		1.16%		200	(1,011)		(4,592	)		3,581
Deutsche Bank AG	United Mexican States, Series A	1.00%	9/20/15		1.27%		3,000	(29,216)		(40,561	)		11,345
Goldman Sachs International**	Brazilian Government Bond	1.00%	9/20/16		1.52%		400	(9,412)		(2,435	)		(6,977	)
Goldman Sachs International**	Brazilian Government Bond	1.00%	6/20/15		1.29%		500	(4,946)		(6,716	)		1,770
Goldman Sachs International**	France Government Bond	0.25%	9/20/16		2.10%		300	(24,212)		(15,221	)		(8,991	)
Goldman Sachs International**	France Government Bond	0.25%	12/20/16		2.14%		4,500	(388,159)		(336,397	)		(51,762	)
Goldman Sachs International**	Italy Republic Bond	1.00%	3/20/16		4.89%		200	(27,570)		(7,694	)		(19,876	)
Goldman Sachs International**	Italy Republic Bond	1.00%	3/20/16		4.89%		1,600	(220,564)		(57,984	)		(162,580	)

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Implied Credit Spread (b)		Notional Amount (c) (000) ($)		Market Value ($)	Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation/ (Depreciation) ($)
Goldman Sachs International**	Metlife, Inc.	1.00%	9/20/15		3.02%		1,000	(69,530)		(64,375	)		(5,155	)
Goldman Sachs International**	Spain Government Bond	1.00%	3/20/16		3.76%		100	(10,241)		(6,645	)		(3,596	)
Goldman Sachs International**	Spain Government Bond	1.00%	6/20/16		3.77%		1,000	(107,757)		(60,347	)		(47,410	)
Goldman Sachs International**	United Kingdom Gilt	1.00%	12/20/15		0.79%		500	4,054		11,508			(7,454	)
Goldman Sachs International**	United Kingdom Gilt	1.00%	6/20/15		0.71%		900	8,948		9,063			(115	)
Goldman Sachs International**	United Kingdom Gilt	1.00%	12/20/15		0.79%		1,000	8,108		23,194			(15,086	)
Goldman Sachs International**	United Kingdom Gilt	1.00%	6/20/15		0.71%		2,200	21,873		20,327			1,546
HSBC Bank USA, NA****	Brazilian Government Bond	1.00%	9/20/15		1.34%		1,200	(14,630)		(11,923	)		(2,707	)
HSBC Bank USA, NA****	Brazilian Government Bond	1.00%	3/20/16		1.41%		2,800	(46,681)		(13,144	)		(33,537	)
HSBC Bank USA, NA****	China Government Bond	1.00%	6/20/16		1.33%		1,500	(21,233)		(29,606	)		8,373
HSBC Bank USA, NA****	France Government Bond	0.25%	9/20/16		2.10%		200	(16,141)		(12,139	)		(4,002	)
HSBC Bank USA, NA****	Kazakhstan Government Bond	1.00%	3/20/16		2.87%		400	(29,443)		(11,729	)		(17,714	)
Morgan Stanley Capital Services, Inc.***	Brazilian Government Bond	1.00%	6/20/15		1.29%		500	(4,945)		(4,839	)		(106	)
Morgan Stanley Capital Services, Inc.***	Brazilian Government Bond	1.00%	9/20/15		1.34%		4,900	(59,740)		(68,592	)		8,852
Morgan Stanley Capital Services, Inc.***	California State General Obligation	2.25%	3/20/21		2.68%		2,400	(55,347)		—			(55,347	)
Morgan Stanley Capital Services, Inc.***	China Government Bond	1.00%	9/20/16		1.38%		900	(15,511)		4,574			(20,085	)
Morgan Stanley Capital Services, Inc.***	France Government Bond	0.25%	3/20/16		2.00%		500	(34,588)		(17,026	)		(17,562	)
Morgan Stanley Capital Services, Inc.***	General Electric Capital Corp.	1.00%	6/20/16		2.45%		100	(5,946)		(383	)		(5,563	)
Morgan Stanley Capital Services, Inc.***	United Mexican States, Series A	1.00%	3/20/16		1.35%		2,700	(38,534)		(16,616	)		(21,918	)
Royal Bank of Scotland PLC	China Government Bond	1.00%	6/20/16		1.33%		800	(11,324)		8,419			(19,743	)

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Implied Credit Spread (b)		Notional Amount (c) (000) ($)		Market Value ($)			Upfront Premiums Paid/ (Received) ($)			Unrealized Appreciation/ (Depreciation) ($)
Royal Bank of Scotland PLC	France Government Bond	0.25%	3/20/16		2.00%		500		(34,588)			(16,794	)		(17,794	)
Royal Bank of Scotland PLC	France Government Bond	0.25%	12/20/15		1.97%		700		(45,022)			(13,898	)		(31,124	)
Royal Bank of Scotland PLC	France Government Bond	0.25%	3/20/16		2.00%		6,200		(428,893)			(190,853	)		(238,040	)
Royal Bank of Scotland PLC	Indonesian Government Bond	1.00%	9/20/16		1.97%		100		(4,280)			(1,578	)		(2,702	)
Royal Bank of Scotland PLC	Italy Republic Bond	1.00%	3/20/16		4.89%		3,900		(537,626)			(140,673	)		(396,953	)
Total							111,406		(6,341,967	)		(3,091,759	)		(3,250,208	)

OTC Credit Default Swap Contracts on Credit Indices – Sell Protection (a)

Counterparty	Reference Entity	(Pay)/ Receive Fixed Rate	Expiration Date	Notional Amount (c) (000) ($)		Market Value(d) ($)		Upfront Premiums Paid/ (Received) ($)		Unrealized Depreciation ($)
Bank of America NA	CDX.EM-14 Index	5.00%	12/20/15		5,000		395,547		685,000		(289,453	)
Barclays Bank PLC*	CDX.EM-13 Index	5.00%	6/20/15		6,000		445,814		769,300		(323,486	)
Barclays Bank PLC*	CDX.EM-14 Index	5.00%	12/20/15		900		71,199		120,900		(49,701	)
Barclays Bank PLC*	CDX.EM-15 Index	5.00%	6/20/16		700		58,800		74,200		(15,400	)
Citibank NA	CDX.EM-14 Index	5.00%	12/20/15		3,100		245,239		418,100		(172,861	)
Deutsche Bank AG	CDX.EM-13 Index	5.00%	6/20/15		2,000		148,605		246,500		(97,895	)
Deutsche Bank AG	CDX.EM-14 Index	5.00%	12/20/15		1,000		79,109		123,600		(44,491	)
Deutsche Bank AG	CDX.EM-15 Index	5.00%	6/20/16		300		25,200		40,650		(15,450	)
HSBC Bank USA, NA****	CDX.EM-13 Index	5.00%	6/20/15		4,100		304,639		437,590		(132,951	)
HSBC Bank USA, NA****	CDX.EM-14 Index	5.00%	12/20/15		400		31,644		52,200		(20,556	)
Morgan Stanley Capital Services, Inc.***	CDX.EM-13 Index	5.00%	6/20/15		1,900		141,174		214,250		(73,076	)
Morgan Stanley Capital Services, Inc.***	CDX.EM-14 Index	5.00%	12/20/15		900		71,199		117,000		(45,801	)
Total					26,300		2,018,169		3,299,290		(1,281,121	)

CDX.EM – Credit Derivatives Index – Emerging Markets

* At the period end, cash of $590,000 has been received as collateral for these open swap and written swaption contracts.

** At the period end, cash of $220,000 has been received as collateral for these open swap and written swaption contracts.

*** At the period end, cash of $170,000 has been received as collateral for these open swap and written swaption contracts.

**** At the period end, cash of $590,000 has been received as collateral for these open swap contracts.

See Notes to Financial Statements.

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(a) If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(b) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate and sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of that particular agreement.

(c) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

(d) The quoted market prices and resulting values for credit default swap contracts on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

See Notes to Financial Statements.

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PORTFOLIO OF INVESTMENTS (Continued) December 31, 2011 Sun Capital Advisers Trust

(13) Fair Value Measurements †

The following table summarizes the inputs used to value the Fund’s assets and liabilities, as applicable, measured at fair value at the period end:

Assets	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Asset Backed Securities	$	—		$	23,326,999		$	—	$	23,326,999
Collateralized Mortgage Obligations		—			23,280,062			—		23,280,062
Commercial Mortgage Backed Securities		—			17,565,727			—		17,565,727
Corporate Debt Obligations (a)		—			319,234,762			—		319,234,762
Foreign Government Agency Obligations		—			11,487,145			—		11,487,145
Foreign Government Obligations		—			63,422,686			—		63,422,686
Municipal Bonds		—			40,209,708			—		40,209,708
U.S. Government Agency Obligations		—			478,815,082			—		478,815,082
U.S. Treasury Obligations		280,726,796			—			—		280,726,796
Convertible Preferred Stocks (a)		212,900			—			—		212,900
Preferred Stocks (a)		—			2,890,080			—		2,890,080
Purchased Options (a)		—			246,755			—		246,755
Short Term Investments								—
Certificates of Deposit (a)		—			12,078,864			—		12,078,864
Commercial Paper		—			36,087,746			—		36,087,746
U.S. Treasury Obligations		20,841,555			260,000			—		21,101,555
Mutual Funds		2,779,528			—			—		2,779,528
Total Short Term Investments		23,621,083			48,426,610			—		72,047,693
Total Investments		304,560,779			1,028,905,616			—		1,333,466,395
Financial Derivative Instruments
Futures Contracts		1,238,146			—			—		1,238,146
Forward Foreign Currency Exchange Contracts		—			5,846,483			—		5,846,483
Swap Contracts (a)		—			5,535,348			—		5,535,348
Total Financial Derivative Instruments	$	1,238,146		$	11,381,831		$	—	$	12,619,977
Liabilities
Financial Derivative Instruments
Forward Foreign Currency Exchange Contracts	$	—		$	(2,199,771	)	$	—	$	(2,199,771	)
Written Option Contracts (a)		(6,581	)		(18,312	)		—		(24,893	)
Written Swaption Contracts		—			(803,622	)		—		(803,622	)
Swap Contracts (a)		—			(6,406,175	)		—		(6,406,175	)
Total Financial Derivative Instruments	$	(6,581	)	$	(9,427,880	)	$	—	$	(9,434,461	)

† See Note 2b in the Notes to Financial Statements for additional information.

(a) See Portfolio of Investments for additional detailed categorizations.

See Notes to Financial Statements.

276

SC ^SM IBBOTSON BALANCED FUND

PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Shares (2)		Value
MUTUAL FUNDS (1) – 99.9%
MFS Emerging Markets Equity Portfolio		2,647,633	$	36,643,241
MFS International Growth Portfolio		5,859,791		64,926,479
MFS Value Portfolio		8,132,007		102,788,564
SCSM AllianceBernstein International Value Fund		4,879,360		37,717,455
SCSM BlackRock Inflation Protected Bond Fund		11,284,426		127,965,388
SCSM BlackRock International Index Fund		4,081,698		37,061,818
SCSM BlackRock Large Cap Index Fund		8,505,212		70,253,054
SCSM BlackRock Small Cap Index Fund		1,514,876		18,814,755
SCSM Columbia Small Cap Value Fund		2,847,627		23,720,729
SCSM Davis Venture Value Fund		6,081,272		66,772,368
SCSM Goldman Sachs Mid Cap Value Fund		6,742,659		58,391,430
SCSM Goldman Sachs Short Duration Fund		21,596,581		219,853,190
SCSM Ibbotson Tactical Opportunities Fund		37,444,626		368,080,672
SCSM Invesco Small Cap Growth Fund		1,748,526		18,499,408
SCSM Lord Abbett Growth & Income Fund		5,723,770		36,975,551
SCSM PIMCO High Yield Fund		6,013,800		55,687,787
SCSM PIMCO Total Return Fund		16,202,915		184,551,205
SCSM WMC Blue Chip Mid Cap Fund		4,081,950		56,126,819
SCSM WMC Large Cap Growth Fund		8,967,565		82,860,303
Sun Capital Global Real Estate Fund		3,791,157		36,963,779
Sun Capital Investment Grade Bond Fund®		15,452,076		147,412,808
Total Mutual Funds (Cost $1,879,548,410)				1,852,066,803

	Value
TOTAL INVESTMENTS – 99.9%
(Cost $1,879,548,410)	$	1,852,066,803
Other assets less liabilities – 0.1%		1,183,793
NET ASSETS – 100.0%	$	1,853,250,596

(1) Sun Capital Advisers LLC^® or its affiliate, Massachusetts Financial Services Company (“MFS”), serves as investment adviser to these underlying funds. These are affiliated securities.

(2) Each investment is in the Initial Class Shares.

(3) Fair Value Measurements

All investments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

277

SC ^SM IBBOTSON CONSERVATIVE FUND

PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Shares (2)		Value
MUTUAL FUNDS (1) – 99.9%
MFS International Growth Portfolio		2,365,375	$	26,208,358
MFS Value Portfolio		3,620,876		45,767,867
SCSM AllianceBernstein International Value Fund		2,470,766		19,099,021
SCSM BlackRock Inflation Protected Bond Fund		9,922,005		112,515,541
SCSM BlackRock International Index Fund		1,577,907		14,327,398
SCSM BlackRock Large Cap Index Fund		3,798,288		31,373,861
SCSM BlackRock Small Cap Index Fund		778,044		9,663,301
SCSM Columbia Small Cap Value Fund		1,174,382		9,782,603
SCSM Davis Venture Value Fund		1,991,423		21,865,823
SCSM Goldman Sachs Mid Cap Value Fund		2,843,091		24,621,168
SCSM Goldman Sachs Short Duration Fund		18,009,704		183,338,791
SCSM Ibbotson Tactical Opportunities Fund		9,613,253		94,498,281
SCSM Lord Abbett Growth & Income Fund		2,972,056		19,199,482
SCSM PIMCO High Yield Fund		4,114,513		38,100,390
SCSM PIMCO Total Return Fund		10,601,971		120,756,448
SCSM WMC Blue Chip Mid Cap Fund		2,104,650		28,938,932
SCSM WMC Large Cap Growth Fund		4,100,610		37,889,635
Sun Capital Investment Grade Bond Fund®		11,646,101		111,103,802
Total Mutual Funds (Cost $939,498,637)				949,050,702

	Value
TOTAL INVESTMENTS – 99.9%
(Cost $939,498,637)	$	949,050,702
Other assets less liabilities – 0.1%		846,011
NET ASSETS – 100.0%	$	949,896,713

(1) Sun Capital Advisers LLC^® or its affiliate, MFS, serves as investment adviser to these underlying funds. These are affiliated securities.

(2) Each investment is in the Initial Class Shares.

(3) Fair Value Measurements

All investments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

278

SC ^SM IBBOTSON GROWTH FUND

PORTFOLIO OF INVESTMENTS December 31, 2011 Sun Capital Advisers Trust

	Shares (2)		Value
MUTUAL FUNDS (1) – 100.1%
MFS Emerging Markets Equity Portfolio		757,033	$	10,477,332
MFS International Growth Portfolio		2,709,571		30,022,045
MFS Value Portfolio		2,889,179		36,519,220
SCSM AllianceBernstein International Value Fund		1,447,719		11,190,868
SCSM BlackRock Inflation Protected Bond Fund		1,906,510		21,619,818
SCSM BlackRock International Index Fund		1,731,682		15,723,676
SCSM BlackRock Large Cap Index Fund		3,728,699		30,799,054
SCSM BlackRock Small Cap Index Fund		1,036,235		12,870,044
SCSM Columbia Small Cap Value Fund		1,207,147		10,055,533
SCSM Davis Venture Value Fund		3,842,045		42,185,653
SCSM Goldman Sachs Mid Cap Value Fund		2,953,360		25,576,101
SCSM Goldman Sachs Short Duration Fund		1,984,334		20,200,519
SCSM Ibbotson Tactical Opportunities Fund		11,201,121		110,107,021
SCSM Invesco Small Cap Growth Fund		933,033		9,871,494
SCSM Lord Abbett Growth & Income Fund		1,732,901		11,194,542
SCSM PIMCO Total Return Fund		4,005,097		45,618,060
SCSM WMC Blue Chip Mid Cap Fund		2,019,863		27,773,121
SCSM WMC Large Cap Growth Fund		4,303,139		39,761,004
Sun Capital Global Real Estate Fund		1,370,074		13,358,220
Sun Capital Investment Grade Bond Fund®		2,508,106		23,927,334
Total Mutual Funds (Cost $548,296,543)				548,850,659

	Value
TOTAL INVESTMENTS – 100.1%
(Cost $548,296,543)	$	548,850,659
Liabilities in excess of other assets – (0.1)%		(688,246	)
NET ASSETS – 100.0%	$	548,162,413

(1) Sun Capital Advisers LLC^® or its affiliate, MFS, serves as investment adviser to these underlying funds. These are affiliated securities.

(2) Each investment is in the Initial Class shares

(3) Fair Value Measurements

All investments are categorized as Level 1 under the fair value hierarchy. See Note 2b in the Notes to Financial Statements for additional information.

See Notes to Financial Statements.

279

STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2011	Sun Capital Advisers Trust

	SC AllianceBernstein International Value Fund			SC BlackRock International Index Fund			SC BlackRock Large Cap Index Fund			SC BlackRock Small Cap Index Fund			SC Goldman Sachs Mid Cap Value Fund
ASSETS
Investments, at value Securities	$	72,444,103		$	70,697,537		$	161,258,391		$	188,321,122		$	236,376,883
Total Investments		72,444,103			70,697,537			161,258,391			188,321,122			236,376,883
Foreign currency, at value		183,260			1,097,784			—			—			—
Margin deposits with broker		19,934			202,000			264,000			230,000			—
Interest and dividends receivable		197,239			148,141			235,937			266,633			252,329
Receivable for Fund shares sold		—			52,993			60,516			39			—
Receivable for investments sold		—			1,844			25,667			31,776			5,563,335
Variation margin receivable		3,495			13,766			—			—			—
Unrealized appreciation on forward foreign currency exchange contracts		13,700			—			—			—			—
Receivable due from Adviser		—			13,241			—			16,104			—
Other assets		1,227			1,189			2,718			3,185			1,960
Total Assets		72,862,958			72,228,495			161,847,229			188,868,859			242,194,507
LIABILITIES
Due to Custodian		—			—			—			25			—
Payable for investments purchased - regular delivery		—			390			—			—			2,348,698
Payable for Fund shares redeemed		417			17			599			39,705			2,085,606
Investment advisory fee payable		40,242			—			58,428			—			212,435
Distribution fee (Service Class) payable		401			506			3,024			12,758			3,460
Variation margin payable		—			—			13,832			6,997			22,100
Unrealized depreciation on forward foreign currency exchange contracts		5,393			—			—			—			—
Accrued expenses and other liabilities		56,496			96,864			58,365			112,073			125
Total Liabilities		102,949			97,777			134,248			171,558			4,672,424
NET ASSETS	$	72,760,009		$	72,130,718		$	161,712,981		$	188,697,301		$	237,522,083
COMPOSITION OF NET ASSETS
Paid-in Capital	$	80,487,596		$	78,980,865		$	154,301,451		$	184,416,842		$	172,176,292
Accumulated undistributed net investment income (loss)		1,909,690			1,735,605			2,033,903			1,156,617			3,216,457
Accumulated net realized gain (loss) on investments and foreign currency related transactions		(2,679,646	)		(130,662	)		(769,658	)		6,146,427			29,432,962
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(6,957,631	)		(8,455,090	)		6,147,285			(3,022,585	)		32,696,372
	$	72,760,009		$	72,130,718		$	161,712,981		$	188,697,301		$	237,522,083
Initial Class
Net Assets	$	69,019,316		$	67,269,513		$	133,605,658		$	71,404,731		$	207,482,810
Shares of beneficial interest		8,931,018			7,411,574			16,181,720			5,747,909			23,949,270
Net asset value per share	$	7.73		$	9.08		$	8.26		$	12.42		$	8.66
Service Class
Net Assets	$	3,740,693		$	4,861,205		$	28,107,323		$	117,292,570		$	30,039,273
Shares of beneficial interest		485,466			536,966			3,317,531			9,565,883			3,481,098
Net asset value per share	$	7.71		$	9.05		$	8.47		$	12.26		$	8.63
Investments, at cost	$	79,408,093		$	79,178,949		$	155,107,916		$	191,377,618		$	203,723,271
Foreign currency, at cost	$	185,712		$	1,097,589		$	—		$	—		$	—

See Notes to Financial Statements.

280

STATEMENTS OF ASSETS AND LIABILITIES (Continued)
December 31, 2011	Sun Capital Advisers Trust

	SC Columbia Small Cap Value Fund			SC Davis Venture Value Fund		SC Invesco Small Cap Growth Fund		SC Lord Abbett Growth & Income Fund		SC WMC Blue Chip Mid Cap Fund
ASSETS
Investments, at value Securities	$	55,551,285		$	389,515,960	$	41,201,515	$	451,007,453	$	182,682,146
Total Investments		55,551,285			389,515,960		41,201,515		451,007,453		182,682,146
Cash		219,714			358		934,920		—		1,350,185
Interest and dividends receivable		73,504			576,470		15,320		328,618		170,593
Receivable for Fund shares sold		35,222			—		1,195		288		34
Receivable for investments sold		83,657			511,752		75,498		4,030,855		24,337
Other assets		950			6,616		707		3,731		3,076
Total Assets		55,964,332			390,611,156		42,229,155		455,370,945		184,230,371
LIABILITIES
Payable for investments purchased - regular delivery		64,565			386		56,873		2,872,028		—
Payable for Fund shares redeemed		63			65,249		1,494		353,440		21,266
Investment advisory fee payable		55,692			248,365		36,971		336,462		124,335
Distribution fee (Service Class) payable		1,295			26,001		1,442		1,630		3,819
Accrued expenses and other liabilities		37,225			91,009		34,576		241		62,994
Total Liabilities		158,840			431,010		131,356		3,563,801		212,414
NET ASSETS	$	55,805,492		$	390,180,146	$	42,097,799	$	451,807,144	$	184,017,957
COMPOSITION OF NET ASSETS
Paid-in Capital	$	56,380,620		$	327,530,005	$	37,298,737	$	350,776,341	$	170,873,171
Accumulated undistributed net investment income (loss)		102,823			1,752,236		—		3,737,451		325,477
Accumulated net realized gain (loss) on investments and foreign currency related transactions		498,168			15,691,918		1,409,397		80,308,239		11,569,600
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(1,176,119	)		45,205,987		3,389,665		16,985,113		1,249,709
	$	55,805,492		$	390,180,146	$	42,097,799	$	451,807,144	$	184,017,957
Initial Class
Net Assets	$	43,958,075		$	150,771,819	$	28,829,814	$	436,816,009	$	148,863,313
Shares of beneficial interest		5,274,872			13,737,132		2,725,825		67,652,122		10,826,391
Net asset value per share	$	8.33		$	10.98	$	10.58	$	6.46	$	13.75
Service Class
Net Assets	$	11,847,417		$	239,408,327	$	13,267,985	$	14,991,135	$	35,154,644
Shares of beneficial interest		1,426,773			21,871,586		1,266,218		2,332,581		2,578,730
Net asset value per share	$	8.30		$	10.95	$	10.48	$	6.43	$	13.63
Investments, at cost	$	56,727,404		$	344,308,573	$	37,811,850	$	434,022,339	$	181,432,410

See Notes to Financial Statements.

281

STATEMENTS OF ASSETS AND LIABILITIES (Continued)
December 31, 2011	Sun Capital Advisers Trust

	SC WMC Large Cap Growth Fund		Sun Capital Global Real Estate Fund			SC Ibbotson Tactical Opportunities Fund			Sun Capital Investment Grade Bond Fund			Sun Capital Money Market Fund
ASSETS
Investments, at value Securities	$	199,060,292	$	204,276,421		$	575,260,484		$	521,390,647		$	223,998,469
Total Investments		199,060,292		204,276,421			575,260,484			521,390,647			223,998,469
Cash		2,336,530		—			—			16,805			—
Foreign currency, at value		—		477,389			—			—			—
Interest and dividends receivable		129,973		1,317,604			1,886			3,663,580			9,760
Receivable for Fund shares sold		3,367		19			295,442			496,005			145,864
Receivable for investments sold		2,881,014		—			—			1,010,583			—
Receivable due from Adviser		—		—			—			—			51,243
Other assets		3,462		3,435			9,743			8,317			3,906
Total Assets		204,414,638		206,074,868			575,567,555			526,585,937			224,209,242
LIABILITIES
Payable for investments purchased - regular delivery		2,247,878		—			2,813,273			11,218,800			—
Payable for investments purchased - delayed delivery		—		—			—			29,283,782			—
Payable for Fund shares redeemed		51,856		126,267			—			949			992,589
Investment advisory fee payable		151,765		54,028			175,389			244,208			—
Distribution fee (Service Class) payable		1,794		12,810			—			19,299			17,640
Accrued expenses and other liabilities		58,035		111,647			92,423			103,965			56,586
Total Liabilities		2,511,328		304,752			3,081,085			40,871,003			1,066,815
NET ASSETS	$	201,903,310	$	205,770,116		$	572,486,470		$	485,714,934		$	223,142,427
COMPOSITION OF NET ASSETS
Paid-in Capital	$	176,173,952	$	269,042,973		$	588,785,900		$	467,498,956		$	223,141,969
Accumulated undistributed net investment income (loss)		461,699		(5,401,900	)		5,583,870			(175,667	)		424
Accumulated net realized gain (loss) on investments, capital gains distributions from underlying funds and foreign currency related transactions		13,618,954		(72,765,265	)		(25,127,053	)		10,456,838			34
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		11,648,705		14,894,308			3,243,753			7,934,807			—
	$	201,903,310	$	205,770,116		$	572,486,470		$	485,714,934		$	223,142,427
Initial Class
Net Assets	$	185,489,331	$	87,924,387		$	572,486,470		$	307,974,871		$	64,198,236
Shares of beneficial interest		20,068,908		9,013,832			58,259,000			32,288,526			64,175,111
Net asset value per share	$	9.24	$	9.75		$	9.83		$	9.54		$	1.00
Service Class
Net Assets	$	16,413,979	$	117,845,729		$	—		$	177,740,063		$	158,944,191
Shares of beneficial interest		1,788,108		10,874,746			—			18,499,059			158,968,038
Net asset value per share	$	9.18	$	10.84		$	—		$	9.61		$	1.00
Investments, at cost	$	187,411,696	$	189,399,039		$	572,016,731		$	513,455,840		$	223,998,469
Foreign currency, at cost	$	—	$	459,053		$	—		$	—		$	—

See Notes to Financial Statements.

282

STATEMENTS OF ASSETS AND LIABILITIES (Continued)
December 31, 2011	Sun Capital Advisers Trust

	SC BlackRock Inflation Protected Bond Fund			SC Goldman Sachs Short Duration Fund			SC PIMCO High Yield Fund			SC PIMCO Total Return Fund
ASSETS
Investments, at value Securities	$	540,993,407		$	1,179,121,963		$	159,511,992		$	1,333,466,395
Total Investments		540,993,407			1,179,121,963			159,511,992			1,333,466,395
Cash		—			—			7,554			6,109
Foreign currency, at value		1,194			—			157,413			1,379,735
Margin deposits with broker		1,416,000			—			—			—
Cash collateral pledged to broker		1,660,000			—			—			37,000
Interest and dividends receivable		2,970,436			6,332,853			3,100,257			8,680,398
Receivable for Fund shares sold		3,581,849			635,108			68,329			1,342,101
Receivable for investments sold		—			23,475,313			72,486			80,488,708
Variation margin receivable		—			—			—			471,951
Unrealized appreciation on forward foreign currency exchange contracts		942,490			—			495,625			5,846,483
Swaps, at value		1,126,715			—			41,863			3,961,411
Other assets		172,011			9,915			4,012			189,690
Total Assets		552,864,102			1,209,575,152			163,459,531			1,435,869,981
LIABILITIES
Due to Custodian		730,000			—			—			—
Payable for investments purchased - regular delivery		—			—			—			10,001,728
Payable for investments purchased - delayed delivery		—			23,448,750			—			345,892,035
Cash collateral received from broker		—			—			—			3,220,000
Payable for Fund shares redeemed		—			395,648			23,440			—
Investment advisory fee payable		298,440			638,579			101,586			577,349
Distribution fee (Service Class) payable		30,441			20,838			3,311			76,045
Variation margin payable		214,258			53,021			2,997			—
Options written (Premium $1,431,933; $0; $0 and $3,125,934, respectively)		2,815,504			—			—			828,515
Unrealized depreciation on forward foreign currency exchange contracts		28,324			—			179,011			2,199,771
Accrued expenses and other liabilities		55,852			588			90			58,363
Swaps, at value		3,428,883			—			21,827			6,406,175
Total Liabilities		7,601,702			24,557,424			332,262			369,259,981
NET ASSETS	$	545,262,400		$	1,185,017,728		$	163,127,269		$	1,066,610,000
COMPOSITION OF NET ASSETS
Paid-in Capital	$	504,991,287		$	1,182,093,242		$	154,392,566		$	1,052,848,669
Accumulated undistributed investment income (loss)		(360,478	)		—			394,189			1,766,410
Accumulated net realized gain (loss) on investments and foreign currency related transactions		35,427,828			(3,253,170	)		4,876,653			(29,287	)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		5,203,763			6,177,656			3,463,861			12,024,208
	$	545,262,400		$	1,185,017,728		$	163,127,269		$	1,066,610,000
Initial Class
Net Assets	$	264,474,074		$	993,705,118		$	132,252,878		$	361,694,247
Shares of beneficial interest		23,317,392			97,608,498			14,284,143			31,765,750
Net asset value per share	$	11.34		$	10.18		$	9.26		$	11.39
Service Class
Net Assets	$	280,788,326		$	191,312,610		$	30,874,391		$	704,915,753
Shares of beneficial interest		24,821,337			18,802,326			3,334,350			61,917,358
Net asset value per share	$	11.31		$	10.17		$	9.26		$	11.38
Investments, at cost	$	531,638,398		$	1,172,132,480		$	156,534,988		$	1,326,786,662
Foreign currency, at cost	$	1,194		$	—		$	167,794		$	1,382,273
Net premium paid/(received) on swaps	$	—		$	—		$	(112,075	)	$	413,101

See Notes to Financial Statements.

283

STATEMENTS OF ASSETS AND LIABILITIES (Continued)
December 31, 2011	Sun Capital Advisers Trust

	SC Ibbotson Balanced Fund			SC Ibbotson Conservative Fund		SC Ibbotson Growth Fund
ASSETS
Investments, at value Affiliated securities	$	1,852,066,803		$	949,050,702	$	548,850,659
Total Investments		1,852,066,803			949,050,702		548,850,659
Cash		1,324,590			518,397		1,261
Interest and dividends receivable		1,365,053			982,430		196,578
Receivable for Fund shares sold		1,684,215			1,173,807		—
Receivable for investments sold		—			—		28,739
Other assets		31,345			16,151		9,347
Total Assets		1,856,472,006			951,741,487		549,086,584
LIABILITIES
Notes payable		—			—		30,000
Payable for investments purchased - regular delivery		2,689,643			1,500,827		196,578
Payable for Fund shares redeemed		13			22		456,689
Investment advisory fee payable		194,038			149,951		113,281
Distribution fee (Service Class) payable		200,318			102,518		59,473
Accrued expenses and other liabilities		137,398			91,456		68,150
Total Liabilities		3,221,410			1,844,774		924,171
NET ASSETS	$	1,853,250,596		$	949,896,713	$	548,162,413
COMPOSITION OF NET ASSETS
Paid-in Capital	$	1,787,242,628		$	887,992,715	$	508,285,158
Accumulated undistributed net investment income (loss)		45,833,983			25,597,929		13,155,787
Accumulated net realized gain (loss) on investments and capital gains from affiliated underlying funds		47,655,592			26,754,004		26,167,352
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(27,481,607	)		9,552,065		554,116
	$	1,853,250,596		$	949,896,713	$	548,162,413
Initial Class
Net Assets	$	3,149,702		$	5,504,748	$	2,143,152
Shares of beneficial interest		271,545			480,101		200,283
Net asset value per share	$	11.60		$	11.47	$	10.70
Service Class
Net Assets	$	1,850,100,894		$	944,391,965	$	546,019,261
Shares of beneficial interest		159,704,843			82,389,947		51,044,017
Net asset value per share	$	11.58		$	11.46	$	10.70
Investments, at cost	$	1,879,548,410		$	939,498,637	$	548,296,543

See Notes to Financial Statements.

284

STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2011	Sun Capital Advisers Trust

	SC AllianceBernstein International Value Fund			SC BlackRock International Index Fund			SC BlackRock Large Cap Index Fund			SC BlackRock Small Cap Index Fund			SC Goldman Sachs Mid Cap Value Fund
INVESTMENT INCOME
Interest	$	1,277		$	691		$	1,714		$	12,406		$	10,931
Dividends (net of foreign withholding taxes of $246,508; $183,183; $0; $1,752 and $1,899, respectively)		2,629,037			2,163,567			2,756,790			2,637,627			6,118,958
Total investment income		2,630,314			2,164,258			2,758,504			2,650,033			6,129,889
EXPENSES
Investment advisory fee		495,766			262,149			464,833			719,592			—
Unified management fee		—			—			—			—			2,812,092
Distribution fee (Service Class)		9,940			4,794			52,788			324,408			81,658
Custody		112,445			369,405			81,862			239,473			—
Accounting		39,261			38,863			44,500			46,917			—
Audit		47,721			39,897			35,863			36,219			—
Legal		5,251			15,478			16,704			61,858			4,951
Printing		1,856			1,035			9,472			118,911			—
Administration		44,018			39,409			56,625			79,493			—
Transfer agent		7,090			6,030			8,656			10,276			—
Trustees fees		3,676			2,991			5,893			9,019			12,563
Insurance		1,581			1,222			2,417			4,084			1,593
Registration fees		2,346			2,313			6,668			4,127			—
Miscellaneous fees		9,947			42,261			3,405			6,303			561
Total expenses		780,898			825,847			789,686			1,660,680			2,913,418
Less: Reduction of investment advisory fees or unified management fees		(177,024	)		(262,149	)		(66,395	)		(175,243	)		—
Reimbursement of operating expenses		—			(162,553	)		—			—			—
Net expenses		603,874			401,145			723,291			1,485,437			2,913,418
Net investment income		2,026,440			1,763,113			2,035,213			1,164,596			3,216,471
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments		(1,858,460	)		(174,630	)		50,775			9,307,903			30,673,920
Futures		(62,921	)		91,709			(434,634	)		218,268			(906,369	)
Foreign currency related transactions		(2,328	)		21,726			—			(52	)		—
Net realized gain (loss)		(1,923,709	)		(61,195	)		(383,859	)		9,526,119			29,767,551
Change in unrealized appreciation (depreciation) on:
Investments		(14,381,874	)		(10,459,804	)		25,305			(21,047,279	)		(26,313,561	)
Futures		9,875			13,350			(57,956	)		(15,314	)		48,682
Assets and liabilities in foreign currencies		(2,091	)		(9,981	)		—			7			—
Change in unrealized appreciation (depreciation)		(14,374,090	)		(10,456,435	)		(32,651	)		(21,062,586	)		(26,264,879	)
Net realized and unrealized gain (loss)		(16,297,799	)		(10,517,630	)		(416,510	)		(11,536,467	)		3,502,672
Net increase (decrease) in net assets from operations	$	(14,271,359	)	$	(8,754,517	)	$	1,618,703		$	(10,371,871	)	$	6,719,143

See Notes to Financial Statements.

285

STATEMENTS OF OPERATIONS (Continued)
For the Year Ended December 31, 2011	Sun Capital Advisers Trust

	SC Columbia Small Cap Value Fund			SC Davis Venture Value Fund			SC Invesco Small Cap Growth Fund			SC Lord Abbett Growth & Income Fund			SC WMC Blue Chip Mid Cap Fund
INVESTMENT INCOME
Interest	$	—		$	32,346		$	—		$	13,443		$	21,364
Dividends (net of foreign withholding taxes of $745; $127,407; $0; $131,106 and $1,783, respectively)		943,188			7,258,730			245,210			8,214,170			2,202,781
Total investment income		943,188			7,291,076			245,210			8,227,613			2,224,145
EXPENSES
Investment advisory fee		560,773			3,098,132			377,976			—			1,461,926
Unified management fee		—			—			—			4,427,460			—
Distribution fee (Service Class)		31,221			641,121			34,589			36,961			97,353
Custody		71,570			75,700			35,446			—			52,496
Accounting		36,967			59,171			36,065			—			45,350
Audit		34,745			36,485			34,603			—			35,262
Legal		4,134			27,266			2,596			9,325			12,244
Printing		5,803			59,944			6,322			—			39,729
Administration		40,000			161,587			32,641			—			76,031
Transfer agent		7,802			11,569			6,863			—			11,153
Trustees fees		2,936			19,434			1,822			24,254			8,487
Insurance		1,280			9,733			723			3,325			3,377
Registration fees		1,470			901			1,042			—			6,500
Miscellaneous fees		2,524			9,421			1,838			1,018			4,241
Total expenses		801,225			4,210,464			572,526			4,502,343			1,854,149
Less: Reduction of investment advisory fees or unified management fees		(50,472	)		—			(78,373	)		(14,104	)		—
Net expenses		750,753			4,210,464			494,153			4,488,239			1,854,149
Net investment income (loss)		192,435			3,080,612			(248,943	)		3,739,374			369,996
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments		1,252,078			17,048,097			1,636,367			81,889,029			15,220,517
Foreign currency related transactions		—			15,792			(39	)		(1,781	)		(23,151	)
Net realized gain (loss)		1,252,078			17,063,889			1,636,328			81,887,248			15,197,366
Change in unrealized appreciation (depreciation) on:
Investments		(6,135,475	)		(37,039,837	)		(3,012,085	)		(114,410,703	)		(30,278,702	)
Assets and liabilities in foreign currencies		—			(6,484	)		—			(1	)		(27	)
Change in unrealized appreciation (depreciation)		(6,135,475	)		(37,046,321	)		(3,012,085	)		(114,410,704	)		(30,278,729	)
Net realized and unrealized gain (loss)		(4,883,397	)		(19,982,432	)		(1,375,757	)		(32,523,456	)		(15,081,363	)
Net increase (decrease) in net assets from operations	$	(4,690,962	)	$	(16,901,820	)	$	(1,624,700	)	$	(28,784,082	)	$	(14,711,367	)

See Notes to Financial Statements.

286

STATEMENTS OF OPERATIONS (Continued)
For the Year Ended December 31, 2011	Sun Capital Advisers Trust

	SC WMC Large Cap Growth Fund			Sun Capital Global Real Estate Fund			SC Ibbotson Tactical Opportunities Fund			Sun Capital Investment Grade Bond Fund			Sun Capital Money Market Fund
INVESTMENT INCOME
Interest	$	—		$	6,281		$	2,836		$	15,538,891		$	295,215
Dividends (net of foreign withholding taxes of $6,253; $269,790; $0; $0 and $0, respectively)		2,244,080			6,935,335			7,649,286			—			—
Total investment income		2,244,080			6,941,616			7,652,122			15,538,891			295,215
EXPENSES
Investment advisory fee		1,488,628			2,223,032			1,966,977			2,564,327			1,007,486
Distribution fee (Service Class)		45,207			325,067			—			388,916			332,493
Custody		77,510			98,686			57,181			78,329			36,515
Accounting		46,082			46,708			46,847			64,190			48,360
Audit		35,369			37,855			33,658			36,216			32,228
Legal		13,268			17,867			35,720			29,282			20,440
Printing		18,431			146,643			6,035			43,707			26,861
Administration		82,257			95,996			198,649			164,501			103,773
Transfer agent		11,695			12,315			2,639			10,689			9,344
Trustees fees		9,149			11,263			24,780			19,515			9,398
Insurance		4,370			5,551			9,671			8,576			4,194
Registration fees		2,958			235			22,079			5,298			—
Miscellaneous fees		4,527			6,379			9,626			8,194			3,406
Total expenses		1,839,451			3,027,597			2,413,862			3,421,740			1,634,498
Less: Reduction of investment advisory fees or unified management fees		(56,766	)		(134,073	)		—			—			(1,007,486	)
Reimbursement of operating expenses		—			—			—			—			(432,207	)
Net expenses		1,782,685			2,893,524			2,413,862			3,421,740			194,805
Net investment income		461,395			4,048,092			5,238,260			12,117,151			100,410
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments		15,549,407			17,717,063			(25,692,874	)		13,279,551			189
Capital gain distributions from underlying funds		—			—			1,172,858			—			—
Foreign currency related transactions		315			(37,309	)		—			(4,837	)		—
Net realized gain (loss)		15,549,722			17,679,754			(24,520,016	)		13,274,714			189
Change in unrealized appreciation (depreciation) on:
Investments		(24,678,170	)		(36,240,076	)		(13,441,503	)		2,742,198			—
Assets and liabilities in foreign currencies		(39	)		13,379			—			—			—
Change in unrealized appreciation (depreciation)		(24,678,209	)		(36,226,697	)		(13,441,503	)		2,742,198			—
Net realized and unrealized gain (loss)		(9,128,487	)		(18,546,943	)		(37,961,519	)		16,016,912			189
Net increase (decrease) in net assets from operations	$	(8,667,092	)	$	(14,498,851	)	$	(32,723,259	)	$	28,134,063		$	100,599

See Notes to Financial Statements.

287

STATEMENTS OF OPERATIONS (Continued)
For the Year Ended December 31, 2011	Sun Capital Advisers Trust

	SC BlackRock Inflation Protected Bond Fund			SC Goldman Sachs Short Duration Fund			SC PIMCO High Yield Fund			SC PIMCO Total Return Fund
INVESTMENT INCOME
Interest	$	13,414,254		$	21,068,239		$	13,831,620		$	26,945,776
Dividends		—			—			23,438			301,335
Total investment income		13,414,254			21,068,239			13,855,058			27,247,111
EXPENSES
Unified management fee		3,128,009			7,562,100			1,315,627			5,923,060
Distribution fee (Service Class)		572,343			436,218			80,359			1,491,700
Legal		8,645			21,273			3,222			16,316
Trustees fees		21,638			55,350			8,299			41,243
Insurance		2,275			6,972			1,027			4,631
Miscellaneous fees		836			2,176			346			1,571
Total expenses		3,733,746			8,084,089			1,408,880			7,478,521
Less: Reduction of investment advisory fees or unified management fees		(10,675	)		—			—			(21,566	)
Net expenses		3,723,071			8,084,089			1,408,880			7,456,955
Net investment income		9,691,183			12,984,150			12,446,178			19,790,156
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments		33,967,357			7,500,536			5,433,786			(5,789,645	)
Futures		(4,498,018	)		(10,168,402	)		245,470			11,919,424
Written options		1,958,147			—			—			(3,292,806	)
Swaps		3,891,676			—			(150,662	)		(604,106	)
Foreign currency related transactions		512,246			—			246,651			5,406,736
Net realized gain (loss)		35,831,408			(2,667,866	)		5,775,245			7,639,603
Change in unrealized appreciation (depreciation) on:
Investments		10,915,470			(3,673,243	)		(11,610,115	)		(961,142	)
Futures		(936,169	)		(869,201	)		(242,475	)		1,918,902
Written options		(1,394,478	)		—			—			3,234,191
Swaps		(1,716,970	)		—			(75,950	)		(2,896,459	)
Assets and liabilities in foreign currencies		1,540,014			—			82,023			2,484,718
Change in unrealized appreciation (depreciation)		8,407,867			(4,542,444	)		(11,846,517	)		3,780,210
Net realized and unrealized gain (loss)		44,239,275			(7,210,310	)		(6,071,272	)		11,419,813
Net increase (decrease) in net assets from operations	$	53,930,458		$	5,773,840		$	6,374,906		$	31,209,969

See Notes to Financial Statements.

288

STATEMENTS OF OPERATIONS (Continued)
For the Year Ended December 31, 2011	Sun Capital Advisers Trust

	SC Ibbotson Balanced Fund			SC Ibbotson Conservative Fund			SC Ibbotson Growth Fund
INVESTMENT INCOME
Dividends from affiliated underlying funds		30,120,475			16,794,340			7,678,194
Total investment income		30,120,475			16,794,340			7,678,194
EXPENSES
Investment advisory fee		2,136,588			1,065,192			731,974
Distribution fee (Service Class)		4,266,703			2,116,868			1,459,026
Custody		133,056			78,987			62,102
Accounting		62,209			44,936			35,721
Audit		37,749			34,467			33,646
Legal		112,401			55,956			38,593
Printing		113,774			64,599			39,826
Administration		512,436			282,505			226,083
Transfer agent		6,870			6,194			6,982
Trustees fees		78,130			39,081			27,585
Insurance		32,045			17,064			13,251
Miscellaneous fees		31,332			17,720			13,740
Total expenses		7,523,293			3,823,569			2,688,529
Less: Reduction of investment advisory fees or unified management fees		—			—			(30,539	)
Net expenses		7,523,293			3,823,569			2,657,990
Net investment income		22,597,182			12,970,771			5,020,204
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Affiliated investments		14,231,134			12,016,855			12,462,243
Capital gain distributions from affiliated underlying funds		56,678,139			27,372,000			21,842,345
Net realized gain (loss)		70,909,273			39,388,855			34,304,588
Change in unrealized appreciation (depreciation) on:
Affiliated investments		(134,384,440	)		(47,602,597	)		(62,543,315	)
Change in unrealized appreciation (depreciation)		(134,384,440	)		(47,602,597	)		(62,543,315	)
Net realized and unrealized gain (loss)		(63,475,167	)		(8,213,742	)		(28,238,727	)
Net increase (decrease) in net assets from operations	$	(40,877,985	)	$	4,757,029		$	(23,218,523	)

See Notes to Financial Statements.

289

STATEMENTS OF CHANGES IN NET ASSETS
	Sun Capital Advisers Trust

	SC AllianceBernstein International Value Fund						SC BlackRock International Index Fund						SC BlackRock Large Cap Index Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010*			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	2,026,440		$	1,433,993		$	1,763,113		$	11,836		$	2,035,213		$	1,350,737
Net realized gain (loss)		(1,923,709	)		4,761,611			(61,195	)		(67,035	)		(383,859	)		17,406,046
Change in unrealized appreciation (depreciation)		(14,374,090	)		(614,010	)		(10,456,435	)		2,001,345			(32,651	)		(222,758	)
Net increase (decrease) in net assets resulting from operations		(14,271,359	)		5,581,594			(8,754,517	)		1,946,146			1,618,703			18,534,025
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(2,131,553	)		(5,066	)		(27,188	)		—			(1,188,116	)		—
Service Class		(92,452	)		(170	)		(366	)		—			(153,956	)		—
Net realized gain on investments:
Initial Class		(4,184,882	)		(1,243,366	)		(13,792	)		—			(15,053,193	)		(216,837	)
Service Class		(198,077	)		(41,814	)		(605	)		—			(2,622,329	)		(24,908	)
Net decrease in net assets from distributions		(6,606,964	)		(1,290,416	)		(41,951	)		—			(19,017,594	)		(241,745	)
SHARE TRANSACTIONS
Net proceeds from sales		24,761,780			34,934,924			27,957,708			53,063,106			59,067,590			53,409,421
Net proceeds from reinvestment of distributions		6,606,964			1,290,416			41,951			—			19,017,594			241,745
Cost of shares redeemed		(11,982,247	)		(23,677,066	)		(1,962,277	)		(119,468	)		(5,549,730	)		(47,738,756	)
Net increase (decrease) in net assets from share transactions		19,386,497			12,548,274			26,037,382			52,943,638			72,535,454			5,912,410
Total increase (decrease) in net assets		(1,491,826	)		16,839,452			17,240,914			54,889,784			55,136,563			24,204,690
NET ASSETS
Beginning of period		74,251,835			57,412,383			54,889,804			20	**		106,576,418			82,371,728
End of period†	$	72,760,009		$	74,251,835		$	72,130,718		$	54,889,804		$	161,712,981		$	106,576,418
† Accumulated undistributed net investment income (loss)	$	1,909,690		$	1,643,157		$	1,735,605		$	(26,586	)	$	2,033,903		$	1,345,539

* For the period November 15, 2010 (commencement of operations) to December 31, 2010.

** Amount represents initial seed investment.

See Notes to Financial Statements.

290

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC BlackRock Small Cap Index Fund						SC Goldman Sachs Mid Cap Value Fund						SC Columbia Small Cap Value Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	1,164,596		$	719,170		$	3,216,471		$	3,355,421		$	192,435		$	306,272
Net realized gain (loss)		9,526,119			46,763,334			29,767,551			23,083,327			1,252,078			10,133,361
Change in unrealized appreciation (depreciation)		(21,062,586	)		(7,590,100	)		(26,264,879	)		23,569,954			(6,135,475	)		(518,490	)
Net increase (decrease) in net assets resulting from operations		(10,371,871	)		39,892,404			6,719,143			50,008,702			(4,690,962	)		9,921,143
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(336,194	)		(155,615	)		(2,530,062	)		—			(315,572	)		—
Service Class		(298,646	)		(155,938	)		(279,038	)		—			(54,992	)		—
Net realized gain on investments:
Initial Class		—			—			(20,477,095	)		(5,643,760	)		(8,341,941	)		(3,503,453	)
Service Class		—			—			(2,866,709	)		(540,908	)		(2,165,393	)		(809,308	)
Net decrease in net assets from distributions		(634,840	)		(311,553	)		(26,152,904	)		(6,184,668	)		(10,877,898	)		(4,312,761	)
SHARE TRANSACTIONS
Net proceeds from sales		73,065,958			13,269,153			41,490,219			74,814,561			15,347,441			22,139,445
Net proceeds from reinvestment of distributions		634,840			311,553			26,152,904			6,184,668			10,877,898			4,312,761
Cost of shares redeemed		(54,674,961	)		(56,251,939	)		(82,486,214	)		(62,184,412	)		(15,925,425	)		(11,469,850	)
Net increase (decrease) in net assets from share transactions		19,025,837			(42,671,233	)		(14,843,091	)		18,814,817			10,299,914			14,982,356
Total increase (decrease) in net assets		8,019,126			(3,090,382	)		(34,276,852	)		62,638,851			(5,268,946	)		20,590,738
NET ASSETS
Beginning of period		180,678,175			183,768,557			271,798,935			209,160,084			61,074,438			40,483,700
End of period†	$	188,697,301		$	180,678,175		$	237,522,083		$	271,798,935		$	55,805,492		$	61,074,438
† Accumulated undistributed net investment income (loss)	$	1,156,617		$	791,322		$	3,216,457		$	3,346,874		$	102,823		$	310,060

See Notes to Financial Statements.

291

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC Davis Venture Value Fund						SC Invesco Small Cap Growth Fund						SC Lord Abbett Growth & Income Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	3,080,612		$	2,547,809		$	(248,943	)	$	(148,181	)	$	3,739,374		$	3,182,186
Net realized gain (loss)		17,063,889			31,572,627			1,636,328			1,661,528			81,887,248			81,513,204
Change in unrealized appreciation (depreciation)		(37,046,321	)		18,973,697			(3,012,085	)		4,731,050			(114,410,704	)		6,557,057
Net increase (decrease) in net assets resulting from operations		(16,901,820	)		53,094,133			(1,624,700	)		6,244,397			(28,784,082	)		91,252,447
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(1,458,153	)		(1,027,110	)		—			—			(3,111,235	)		—
Service Class		(1,681,850	)		(583,899	)		—			—			(62,483	)		—
Net realized gain on investments:
Initial Class		(7,052,000	)		—			(940,924	)		(1,478,663	)		(79,188,726	)		(22,281,747	)
Service Class		(10,983,085	)		—			(452,649	)		(722,220	)		(2,464,036	)		(518,969	)
Net decrease in net assets from distributions		(21,175,088	)		(1,611,009	)		(1,393,573	)		(2,200,883	)		(84,826,480	)		(22,800,716	)
SHARE TRANSACTIONS
Net proceeds from sales		35,005,009			101,561,755			19,428,355			9,254,259			40,666,490			87,295,175
Net proceeds from reinvestment of distributions		21,175,088			1,611,009			1,393,573			2,200,883			84,826,480			22,800,716
Cost of shares redeemed		(51,687,437	)		(113,481,100	)		(7,054,019	)		(3,746,705	)		(118,535,361	)		(128,148,494	)
Net increase (decrease) in net assets from share transactions		4,492,660			(10,308,336	)		13,767,909			7,708,437			6,957,609			(18,052,603	)
Total increase (decrease) in net assets		(33,584,248	)		41,174,788			10,749,636			11,751,951			(106,652,953	)		50,399,128
NET ASSETS
Beginning of period		423,764,394			382,589,606			31,348,163			19,596,212			558,460,097			508,060,969
End of period†	$	390,180,146		$	423,764,394		$	42,097,799		$	31,348,163		$	451,807,144		$	558,460,097
† Accumulated undistributed net investment income (loss)	$	1,752,236		$	1,811,049		$	—		$	—		$	3,737,451		$	3,182,309

See Notes to Financial Statements.

292

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC WMC Blue Chip Mid Cap Fund						SC WMC Large Cap Growth Fund						Sun Capital Global Real Estate Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	369,996		$	108,582		$	461,395		$	607,276		$	4,048,092		$	6,818,385
Net realized gain (loss)		15,197,366			15,478,147			15,549,722			22,548,882			17,679,754			21,437,170
Change in unrealized appreciation (depreciation)		(30,278,729	)		14,767,047			(24,678,209	)		13,271,194			(36,226,697	)		6,098,216
Net increase (decrease) in net assets resulting from operations		(14,711,367	)		30,353,776			(8,667,092	)		36,427,352			(14,498,851	)		34,353,771
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(87,870	)		(60,133	)		(579,237	)		(545,213	)		(6,609,071	)		(12,598,073	)
Service Class		—			—			(12,731	)		(9,148	)		(7,956,792	)		(13,918,369	)
Net decrease in net assets from distributions		(87,870	)		(60,133	)		(591,968	)		(554,361	)		(14,565,863	)		(26,516,442	)
SHARE TRANSACTIONS
Net proceeds from sales		47,484,537			65,448,862			35,457,471			54,836,305			25,509,428			40,263,351
Net proceeds from reinvestment of distributions		87,870			60,133			591,968			554,361			14,565,863			26,516,442
Cost of shares redeemed		(17,498,041	)		(43,053,482	)		(16,007,222	)		(67,647,634	)		(59,721,367	)		(44,052,501	)
Net increase (decrease) in net assets from share transactions		30,074,366			22,455,513			20,042,217			(12,256,968	)		(19,646,076	)		22,727,292
Total increase (decrease) in net assets		15,275,129			52,749,156			10,783,157			23,616,023			(48,710,790	)		30,564,621
NET ASSETS
Beginning of period		168,742,828			115,993,672			191,120,153			167,504,130			254,480,906			223,916,285
End of period†	$	184,017,957		$	168,742,828		$	201,903,310		$	191,120,153		$	205,770,116		$	254,480,906
† Accumulated undistributed net investment income (loss)	$	325,477		$	105,271		$	461,699		$	591,957		$	(5,401,900	)	$	(870,323	)

See Notes to Financial Statements.

293

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC Ibbotson Tactical Opportunities Fund						Sun Capital Investment Grade Bond Fund						Sun Capital Money Market Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2011			2010*			2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	5,238,260		$	3,857,285		$	12,117,151		$	10,282,898		$	100,410		$	153,247
Net realized gain (loss)		(24,520,016	)		537,564			13,274,714			7,159,689			189			529
Change in unrealized appreciation (depreciation)		(13,441,503	)		16,685,256			2,742,198			3,226,405			—			—
Net increase (decrease) in net assets resulting from operations		(32,723,259	)		21,080,105			28,134,063			20,668,992			100,599			153,776
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(3,891,717	)		—			(8,410,817	)		(7,412,008	)		(100,408	)		(153,247	)
Service Class		—			—			(4,422,591	)		(3,029,790	)		—			—
Net realized gain on investments:
Initial Class		(764,559	)		—			(5,933,714	)		(681,253	)		(423	)		—
Service Class		—			—			(3,518,517	)		(313,903	)		(908	)		—
Net decrease in net assets from distributions		(4,656,276	)		—			(22,285,639	)		(11,436,954	)		(101,739	)		(153,247	)
SHARE TRANSACTIONS
Net proceeds from sales		155,432,816			434,362,406			115,018,973			200,395,252			168,938,206			151,481,767
Net proceeds from reinvestment of distributions		4,656,276			—			22,285,639			11,436,954			101,739			153,247
Cost of shares redeemed		(5,645,958	)		(19,650	)		(30,552,460	)		(48,989,541	)		(132,382,403	)		(169,444,454	)
Net increase (decrease) in net assets from share transactions		154,443,134			434,342,756			106,752,152			162,842,665			36,657,542			(17,809,440	)
Total increase (decrease) in net assets		117,063,599			455,422,861			112,600,576			172,074,703			36,656,402			(17,808,911	)
NET ASSETS
Beginning of period		455,422,871			10	**		373,114,358			201,039,655			186,486,025			204,294,936
End of period†	$	572,486,470		$	455,422,871		$	485,714,934		$	373,114,358		$	223,142,427		$	186,486,025
† Accumulated undistributed net investment income (loss)	$	5,583,870		$	3,891,690		$	(175,667	)	$	9,304		$	424		$	422

* For the period November 15, 2010 (commencement of operations) to December 31, 2010.

** Amount represents initial seed investment.

See Notes to Financial Statements.

294

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC BlackRock Inflation Protected Bond Fund						SC Goldman Sachs Short Duration Fund
	Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	9,691,183		$	3,508,503		$	12,984,150		$	13,496,544
Net realized gain (loss)		35,831,408			13,896,047			(2,667,866	)		9,186,082
Change in unrealized appreciation (depreciation)		8,407,867			(4,717,883	)		(4,542,444	)		998,471
Net increase (decrease) in net assets resulting from operations		53,930,458			12,686,667			5,773,840			23,681,097
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(5,975,908	)		(2,042,941	)		(11,423,943	)		(13,719,331	)
Service Class		(4,587,618	)		(1,190,584	)		(1,560,207	)		(1,542,346	)
Net realized gain on investments:
Initial Class		(6,570,230	)		(1,815,579	)		(5,924,191	)		(972,991	)
Service Class		(6,765,513	)		(1,330,938	)		(1,139,506	)		(138,662	)
Return of capital:
Initial Class		—			—			(444,745	)		—
Service Class		—			—			(60,740	)		—
Net decrease in net assets from distributions		(23,899,269	)		(6,380,042	)		(20,553,332	)		(16,373,330	)
SHARE TRANSACTIONS
Net proceeds from sales		175,920,152			193,206,634			224,077,321			300,846,678
Net proceeds from reinvestment of distributions		23,899,269			6,380,042			20,553,332			16,373,330
Cost of shares redeemed		(63,538,400	)		(12,046,006	)		(199,049,052	)		(147,289,854	)
Net increase (decrease) in net assets from share transactions		136,281,021			187,540,670			45,581,601			169,930,154
Total increase (decrease) in net assets		166,312,210			193,847,295			30,802,109			177,237,921
NET ASSETS
Beginning of period		378,950,190			185,102,895			1,154,215,619			976,977,698
End of period†	$	545,262,400		$	378,950,190		$	1,185,017,728		$	1,154,215,619
† Accumulated undistributed net investment income (loss)	$	(360,478	)	$	638,947		$	—		$	—

See Notes to Financial Statements.

295

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC PIMCO High Yield Fund						SC PIMCO Total Return Fund
	Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	12,446,178		$	10,503,313		$	19,790,156		$	10,423,575
Net realized gain (loss)		5,775,245			4,663,008			7,639,603			24,324,457
Change in unrealized appreciation (depreciation)		(11,846,517	)		1,547,809			3,780,210			2,026,730
Net increase (decrease) in net assets resulting from operations		6,374,906			16,714,130			31,209,969			36,774,762
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(10,762,395	)		(8,491,359	)		(8,526,376	)		(5,163,456	)
Service Class		(2,302,772	)		(1,965,640	)		(14,698,114	)		(7,131,257	)
Net realized gain on investments:
Initial Class		(3,540,485	)		(857,562	)		(8,344,147	)		(893,320	)
Service Class		(831,503	)		(202,216	)		(16,650,181	)		(1,377,736	)
Net decrease in net assets from distributions		(17,437,155	)		(11,516,777	)		(48,218,818	)		(14,565,769	)
SHARE TRANSACTIONS
Net proceeds from sales		33,647,337			63,731,516			325,105,197			379,028,421
Net proceeds from reinvestment of distributions		17,437,155			11,516,777			48,218,818			14,565,769
Cost of shares redeemed		(49,447,118	)		(24,995,144	)		(46,112,654	)		(47,950,269	)
Net increase (decrease) in net assets from share transactions		1,637,374			50,253,149			327,211,361			345,643,921
Total increase (decrease) in net assets		(9,424,875	)		55,450,502			310,202,512			367,852,914
NET ASSETS
Beginning of period		172,552,144			117,101,642			756,407,488			388,554,574
End of period†	$	163,127,269		$	172,552,144		$	1,066,610,000		$	756,407,488
† Accumulated undistributed net investment income (loss)	$	394,189		$	366,223		$	1,766,410		$	(586,403	)

See Notes to Financial Statements.

296

STATEMENTS OF CHANGES IN NET ASSETS (Continued)
	Sun Capital Advisers Trust

	SC Ibbotson Balanced Fund						SC Ibbotson Conservative Fund						SC Ibbotson Growth Fund
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2011			2010			2011			2010			2011			2010
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss)	$	22,597,182		$	12,819,808		$	12,970,771		$	6,715,912		$	5,020,204		$	5,451,060
Net realized gain (loss)		70,909,273			65,356,107			39,388,855			23,520,441			34,304,588			52,815,917
Change in unrealized appreciation (depreciation)		(134,384,440	)		51,959,160			(47,602,597	)		27,625,126			(62,543,315	)		11,687,524
Net increase (decrease) in net assets resulting from operations		(40,877,985	)		130,135,075			4,757,029			57,861,479			(23,218,523	)		69,954,501
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income:
Initial Class		(37,770	)		(16,154	)		(77,271	)		(34,581	)		(37,431	)		(17,891	)
Service Class		(20,418,196	)		(9,758,906	)		(10,742,754	)		(7,460,635	)		(9,219,001	)		(7,020,584	)
Net realized gain on investments:
Initial Class		(88,078	)		(7,998	)		(115,262	)		(14,251	)		(173,024	)		(12,008	)
Service Class		(57,633,808	)		(6,259,087	)		(19,296,974	)		(3,749,369	)		(48,814,290	)		(5,614,337	)
Net decrease in net assets from distributions		(78,177,852	)		(16,042,145	)		(30,232,261	)		(11,258,836	)		(58,243,746	)		(12,664,820	)
SHARE TRANSACTIONS
Net proceeds from sales		471,059,800			754,316,052			219,153,249			351,389,899			35,985,469			106,923,986
Net proceeds from reinvestment of distributions		78,177,852			16,042,145			30,232,261			11,258,836			58,243,746			12,664,820
Cost of shares redeemed		(22,858,558	)		(5,242,404	)		(35,755,822	)		(14,007,370	)		(55,143,740	)		(35,071,730	)
Net increase (decrease) in net assets from share transactions		526,379,094			765,115,793			213,629,688			348,641,365			39,085,475			84,517,076
Total increase (decrease) in net assets		407,323,257			879,208,723			188,154,456			395,244,008			(42,376,794	)		141,806,757
NET ASSETS
Beginning of period		1,445,927,339			566,718,616			761,742,257			366,498,249			590,539,207			448,732,450
End of period†	$	1,853,250,596		$	1,445,927,339		$	949,896,713		$	761,742,257		$	548,162,413		$	590,539,207
† Accumulated undistributed net investment income (loss)	$	45,833,983		$	20,455,821		$	25,597,929		$	10,819,968		$	13,155,787		$	9,256,393

See Notes to Financial Statements.

297

FINANCIAL HIGHLIGHTS
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC AllianceBernstein International Value Fund Initial Class Shares												SC AllianceBernstein International Value Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	10.11		$	9.82		$	7.92		$	10.00		$	10.09		$	9.81		$	7.92		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.24	†		0.19	†		0.22	†		0.01			0.22	†		0.16	†		0.21	†		0.02
Net realized and unrealized gain (loss) on investments		(1.89	)		0.25			2.13			(2.07	)		(1.88	)		0.27			2.11			(2.09	)
Total from Investment Operations		(1.65	)		0.44			2.35			(2.06	)		(1.66	)		0.43			2.32			(2.07	)
Less Distributions from:
Net investment income		(0.24	)		(0.00	)(e)		(0.22	)		(0.02	)		(0.23	)		(0.00	)(e)		(0.20	)		(0.01	)
Net realized gain on investments		(0.49	)		(0.15	)		(0.23	)		—			(0.49	)		(0.15	)		(0.23	)		—
Total distributions		(0.73	)		(0.15	)		(0.45	)		(0.02	)		(0.72	)		(0.15	)		(0.43	)		(0.01	)
Net Asset Value, End of Period	$	7.73		$	10.11		$	9.82		$	7.92		$	7.71		$	10.09		$	9.81		$	7.92
Total Return (b)		(16.21	)%		4.62	%		29.71	%		(20.64	)%		(16.46	)%		4.52	%		29.26	%		(20.69	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	69,019		$	71,186		$	55,746		$	9,763		$	3,741		$	3,065		$	1,666		$	2,051
Ratio to average net assets:
Net expenses (a)(c)(d)		0.75	%		0.75	%		0.75	%		0.75	%		1.00	%		1.00	%		1.00	%		1.00	%
Gross expenses (a)(d)		0.98	%		1.06	%		1.38	%		6.64	%		1.23	%		1.31	%		1.69	%		4.64	%
Net investment income (loss) (a)(c)(d)		2.58	%		2.01	%		2.47	%		1.18	%		2.40	%		1.65	%		2.35	%		1.07	%
Portfolio turnover rate		47	%		60	%		49	%		7	%		47	%		60	%		49	%		7	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

298

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC BlackRock International Index Fund Initial Class Shares						SC BlackRock International Index Fund Service Class Shares
	Years Ended December 31,						Years Ended December 31,
	2011			2010*			2011			2010*
Net Asset Value, Beginning of Period	$	10.38		$	10.00		$	10.37		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.27	†		0.00	†(e)		0.19	†		(0.00	)†(e)
Net realized and unrealized gain (loss) on investments		(1.56	)		0.38			(1.51	)		0.37
Total from Investment Operations		(1.29	)		0.38			(1.32	)		0.37
Less Distributions from:
Net investment income		(0.01	)		—			(0.00	)(e)		—
Net realized gain on investments		(0.00	)(e)		—			(0.00	)(e)		—
Total distributions		(0.01	)		—			(0.00	)(e)		—
Net Asset Value, End of Period	$	9.08		$	10.38		$	9.05		$	10.37
Total Return (b)		(12.46	)%		3.80	%		(12.70	)%		3.70	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	67,270		$	54,635		$	4,861		$	255
Ratio to average net assets:
Net expenses (a)(c)(d)		0.60	%		0.60	%		0.86	%		0.85	%
Gross expenses (a)(d)		1.25	%		2.27	%		1.60	%		5.60	%
Net investment income (loss) (a)(c)(d)		2.71	%		0.18	%		2.02	%		(0.07	)%
Portfolio turnover rate		3	%		1	%		3	%		1	%

* For the period November 15, 2010 (commencement of operations) to December 31, 2010.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

299

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC BlackRock Large Cap Index Fund Initial Class Shares															SC BlackRock Large Cap Index Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	9.37		$	8.04		$	6.70		$	10.77		$	12.37		$	9.59		$	8.25		$	6.87		$	11.03		$	12.65
Income (Loss) from Investment Operations:
Net investment income (loss) (c)		0.14	†		0.10	†		0.11	†		0.04			0.12			0.12	†		0.09	†		0.10	†		0.10			0.08
Net realized and unrealized gain (loss) on investments		(0.07	)		1.25			1.30			(4.03	)		(0.84	)		(0.08	)		1.27			1.33			(4.19	)		(0.84	)
Total from Investment Operations		0.07			1.35			1.41			(3.99	)		(0.72	)		0.04			1.36			1.43			(4.09	)		(0.76	)
Less Distributions from:
Net investment income		(0.08	)		—			(0.07	)		(0.05	)		(0.10	)		(0.06	)		—			(0.05	)		(0.04	)		(0.08	)
Net realized gain on investments		(1.10	)		(0.02	)		—			(0.03	)		(0.78	)		(1.10	)		(0.02	)		—			(0.03	)		(0.78	)
Total distributions		(1.18	)		(0.02	)		(0.07	)		(0.08	)		(0.88	)		(1.16	)		(0.02	)		(0.05	)		(0.07	)		(0.86	)
Net Asset Value, End of Period	$	8.26		$	9.37		$	8.04		$	6.70		$	10.77		$	8.47		$	9.59		$	8.25		$	6.87		$	11.03
Total Return (a)		1.58	%		16.76	%		21.09	%		(37.06	)%		(5.81	)%		1.17	%		16.45	%		20.85	%		(37.15	)%		(6.07	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	133,606		$	90,267		$	70,638		$	8,366		$	5,544		$	28,107		$	16,309		$	11,734		$	4,974		$	7,808
Ratios to average net assets:
Net expenses (b)(c)		0.50	%		0.85	%		0.90	%		0.90	%		0.90	%		0.75	%		1.09	%		1.15	%		1.15	%		1.15	%
Gross expenses (c)		0.56	%		0.86	%		1.13	%		2.08	%		1.81	%		0.80	%		1.10	%		1.44	%		2.34	%		2.05	%
Net investment income (loss) (b)(c)		1.57	%		1.23	%		1.55	%		1.39	%		0.89	%		1.33	%		1.02	%		1.37	%		1.05	%		0.63	%
Portfolio turnover rate		2	%		235	%		109	%		189	%		63	%		2	%		235	%		109	%		189	%		63	%

† Based on average shares outstanding during the period.

(a) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower.

(b) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(c) Does not include any insurance charges imposed in connection with your variable insurance contract.

300

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC BlackRock Small Cap Index Fund Initial Class Shares															SC BlackRock Small Cap Index Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	13.12		$	10.58		$	7.74		$	12.98		$	15.02		$	12.95		$	10.45		$	7.66		$	12.85		$	14.99
Income (Loss) from Investment Operations:
Net investment income (loss) (c)		0.11	†		0.06	†		0.04	†		0.03			0.05			0.06	†		0.04	†		0.02	†		(0.00	)(d)		0.01
Net realized and unrealized gain (loss) on investments		(0.75	)		2.52			2.81			(4.82	)		(0.23	)		(0.72	)		2.47			2.78			(4.77	)		(0.29	)
Total from Investment Operations		(0.64	)		2.58			2.85			(4.79	)		(0.18	)		(0.66	)		2.51			2.80			(4.77	)		(0.28	)
Less Distributions from:
Net investment income		(0.06	)		(0.04	)		(0.01	)		(0.03	)		—			(0.03	)		(0.01	)		(0.01	)		(0.00	)(d)		—
Net realized gain on investments		—			—			—			(0.42	)		(1.86	)		—			—			—			(0.42	)		(1.86	)
Total distributions		(0.06	)		(0.04	)		(0.01	)		(0.45	)		(1.86	)		(0.03	)		(0.01	)		(0.01	)		(0.42	)		(1.86	)
Net Asset Value, End of Period	$	12.42		$	13.12		$	10.58		$	7.74		$	12.98		$	12.26		$	12.95		$	10.45		$	7.66		$	12.85
Total Return (a)		(4.87	)%		24.46	%		36.77	%		(37.99	)%		(1.44	)%		(5.09	)%		24.07	%		36.50	%		(38.14	)%		(2.11	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	71,405		$	45,720		$	48,950		$	38,435		$	72,741		$	117,293		$	134,958		$	134,819		$	115,098		$	105,377
Ratios to average net assets:
Net expenses (b)(c)		0.61	%		0.95	%		1.00	%		1.00	%		1.00	%		0.85	%		1.20	%		1.25	%		1.25	%		1.25	%
Gross expenses (c)		0.70	%		0.99	%		1.21	%		1.29	%		1.38	%		0.94	%		1.23	%		1.46	%		1.55	%		1.61	%
Net investment income (loss) (b)(c)		0.83	%		0.57	%		0.45	%		0.21	%		0.31	%		0.50	%		0.34	%		0.20	%		0.04	%		(0.06	)%
Portfolio turnover rate		37	%		131	%		132	%		126	%		126	%		37	%		131	%		132	%		126	%		126	%

† Based on average shares outstanding during the period.

(a) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower.

(b) Such percentages are after advisory fee or unified management fee waivers and expenses reimbursements, as applicable.

(c) Does not include any insurance charges imposed in connection with your variable insurance contract.

(d) Amount is less than $0.005 per share.

301

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Goldman Sachs Mid Cap Value Fund Initial Class  Shares												SC Goldman Sachs Mid Cap Value Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	9.45		$	7.93		$	6.93		$	10.00		$	9.41		$	7.93		$	6.93		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.12	†		0.12	†		0.11	†		0.05			0.10	†		0.10	†		0.09	†		0.07
Net realized and unrealized gain (loss) on investments		0.06			1.61			1.68			(3.06	)		0.07			1.59			1.68			(3.09	)
Total from Investment Operations		0.18			1.73			1.79			(3.01	)		0.17			1.69			1.77			(3.02	)
Less Distributions from:
Net investment income		(0.10	)		—			(0.08	)		(0.06	)		(0.08	)		—			(0.06	)		(0.05	)
Net realized gain on investments		(0.87	)		(0.21	)		(0.71	)		—			(0.87	)		(0.21	)		(0.71	)		—
Total distributions		(0.97	)		(0.21	)		(0.79	)		(0.06	)		(0.95	)		(0.21	)		(0.77	)		(0.05	)
Net Asset Value, End of Period	$	8.66		$	9.45		$	7.93		$	6.93		$	8.63		$	9.41		$	7.93		$	6.93
Total Return (b)		2.47	%		22.13	%		25.68	%		(30.07	)%		2.34	%		21.62	%		25.38	%		(30.21	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	207,483		$	245,161		$	190,461		$	6,496		$	30,039		$	26,638		$	18,699		$	4,452
Ratio to average net assets:
Net expenses (a)(c)(d)		1.06	%		1.06	%		1.06	%		1.07	%		1.31	%		1.31	%		1.31	%		1.32	%
Gross expenses (a)(d)		1.06	%		1.06	%		1.06	%		1.08	%		1.31	%		1.31	%		1.31	%		1.32	%
Net investment income (loss) (a)(c)(d)		1.23	%		1.41	%		1.45	%		2.10	%		1.02	%		1.18	%		1.15	%		1.65	%
Portfolio turnover rate		50	%		65	%		159	%		90	%		50	%		65	%		159	%		90	%

* For the period March 7, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

302

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Columbia Small Cap  Value Fund Initial Class Shares												SC Columbia Small Cap Value Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	11.18		$	10.08		$	7.97		$	10.00		$	11.14		$	10.07		$	7.97		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.04	†		0.07	†		0.06	†		0.01			0.01	†		0.05	†		0.04	†		0.01
Net realized and unrealized gain (loss) on investments		(0.88	)		1.93			2.38			(2.03	)		(0.86	)		1.92			2.36			(2.03	)
Total from Investment Operations		(0.84	)		2.00			2.44			(2.02	)		(0.85	)		1.97			2.40			(2.02	)
Less Distributions from:
Net investment income		(0.07	)		—			(0.05	)		(0.01	)		(0.05	)		—			(0.02	)		(0.01	)
Net realized gain on investments		(1.94	)		(0.90	)		(0.28	)		—			(1.94	)		(0.90	)		(0.28	)		—
Total distributions		(2.01	)		(0.90	)		(0.33	)		(0.01	)		(1.99	)		(0.90	)		(0.30	)		(0.01	)
Net Asset Value, End of Period	$	8.33		$	11.18		$	10.08		$	7.97		$	8.30		$	11.14		$	10.07		$	7.97
Total Return (b)		(6.32	)%		21.62	%		30.52	%		(20.15	)%		(6.50	)%		21.33	%		30.07	%		(20.20	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	43,958		$	48,782		$	33,674		$	4,316		$	11,847		$	12,293		$	6,809		$	1,424
Ratio to average net assets:
Net expenses (a)(c)(d)		1.15	%		1.15	%		1.15	%		1.15	%		1.40	%		1.40	%		1.40	%		1.40	%
Gross expenses (a)(d)		1.24	%		1.41	%		1.54	%		8.84	%		1.48	%		1.67	%		1.87	%		6.68	%
Net investment income (loss) (a)(c)(d)		0.36	%		0.68	%		0.65	%		1.18	%		0.12	%		0.47	%		0.44	%		0.72	%
Portfolio turnover rate		50	%		139	%		110	%		28	%		50	%		139	%		110	%		28	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

303

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Davis Venture Value Fund Initial Class Shares															SC Davis Venture Value Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	12.08		$	10.75		$	8.34		$	13.65		$	13.17		$	12.05		$	10.72		$	8.32		$	13.61		$	13.15
Income (Loss) from Investment Operations:
Net investment income (loss) (c)		0.11	†		0.08	†		0.06	†		0.10			0.17			0.08	†		0.05	†		0.04	†		0.06			0.12
Net realized and unrealized gain (loss) on investments		(0.59	)		1.30			2.39			(5.21	)		0.39			(0.59	)		1.31			2.37			(5.17	)		0.39
Total from Investment Operations		(0.48	)		1.38			2.45			(5.11	)		0.56			(0.51	)		1.36			2.41			(5.11	)		0.51
Less Distributions from:
Net investment income		(0.11	)		(0.05	)		(0.04	)		(0.09	)		(0.08	)		(0.08	)		(0.03	)		(0.01	)		(0.07	)		(0.05	)
Net realized gain on investments		(0.51	)		—			—			(0.11	)		—			(0.51	)		—			—			(0.11	)		—
Total distributions		(0.62	)		(0.05	)		(0.04	)		(0.20	)		(0.08	)		(0.59	)		(0.03	)		(0.01	)		(0.18	)		(0.05	)
Net Asset Value, End of Period	$	10.98		$	12.08		$	10.75		$	8.34		$	13.65		$	10.95		$	12.05		$	10.72		$	8.32		$	13.61
Total Return (a)		(3.77	)%		12.92	%		29.39	%		(37.81	)%		4.23	%		(4.02	)%		12.68	%		29.02	%		(37.93	)%		3.91	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	150,772		$	157,652		$	147,350		$	31,868		$	52,861		$	239,408		$	266,112		$	235,240		$	82,041		$	27,764
Ratios to average net assets:
Net expenses (b)(c)		0.86	%		0.87	%		0.90	%		0.90	%		0.90	%		1.11	%		1.12	%		1.15	%		1.15	%		1.15	%
Gross expenses (c)		0.86	%		0.87	%		0.93	%		1.11	%		1.11	%		1.11	%		1.12	%		1.18	%		1.35	%		1.35	%
Net investment income (loss) (b)(c)		0.90	%		0.73	%		0.62	%		0.86	%		1.06	%		0.65	%		0.49	%		0.41	%		0.65	%		0.68	%
Portfolio turnover rate		16	%		39	%		17	%		19	%		10	%		16	%		39	%		17	%		19	%		10	%

† Based on average shares outstanding during the period.

(a) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower.

(b) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(c) Does not include any insurance charges imposed in connection with your variable insurance contract.

304

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Invesco Small Cap Growth Fund Initial Class Shares												SC Invesco Small Cap Growth Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	11.06		$	9.59		$	7.51		$	10.00		$	10.99		$	9.55		$	7.50		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		(0.06	)†		(0.05	)†		(0.02	)†		(0.00	)(e)		(0.09	)†		(0.08	)†		(0.04	)†		(0.01	)
Net realized and unrealized gain (loss) on investments		(0.05	)		2.39			2.41			(2.49	)		(0.05	)		2.39			2.40			(2.49	)
Total from Investment Operations		(0.11	)		2.34			2.39			(2.49	)		(0.14	)		2.31			2.36			(2.50	)
Less Distributions from:
Net investment income		—			—			—			—			—			—			—			—
Net realized gain on investments		(0.37	)		(0.87	)		(0.31	)		—			(0.37	)		(0.87	)		(0.31	)		—
Total distributions		(0.37	)		(0.87	)		(0.31	)		—			(0.37	)		(0.87	)		(0.31	)		—
Net Asset Value, End of Period	$	10.58		$	11.06		$	9.59		$	7.51		$	10.48		$	10.99		$	9.55		$	7.50
Total Return (b)		(0.92	)%		26.08	%		31.75	%		(24.90	)%		(1.20	)%		25.86	%		31.39	%		(25.00	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	28,830		$	20,587		$	13,109		$	2,530		$	13,268		$	10,761		$	6,488		$	1,544
Ratio to average net assets:
Net expenses (a)(c)(d)		1.16	%		1.15	%		1.15	%		1.15	%		1.40	%		1.40	%		1.40	%		1.40	%
Gross expenses (a)(d)		1.35	%		1.63	%		2.17	%		11.09	%		1.61	%		1.88	%		2.48	%		9.42	%
Net investment income (loss) (a)(c)(d)		(0.53	)%		(0.53	)%		(0.25	)%		(0.40	)%		(0.80	)%		(0.78	)%		(0.51	)%		(0.72	)%
Portfolio turnover rate		33	%		42	%		114	%		4	%		33	%		42	%		114	%		4	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

305

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Lord Abbett Growth & Income Fund Initial Class Shares												SC Lord Abbett Growth & Income Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	8.44		$	7.52		$	7.08		$	10.00		$	8.41		$	7.51		$	7.08		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.06	†		0.05	†		0.05	†		0.06			0.04	†		0.03	†		0.04	†		0.06
Net realized and unrealized gain (loss) on investments		(0.64	)		1.20			1.22			(2.92	)		(0.63	)		1.20			1.19			(2.93	)
Total from Investment Operations		(0.58	)		1.25			1.27			(2.86	)		(0.59	)		1.23			1.23			(2.87	)
Less Distributions from:
Net investment income		(0.05	)		—			(0.05	)		(0.06	)		(0.04	)		—			(0.02	)		(0.05	)
Net realized gain on investments		(1.35	)		(0.33	)		(0.78	)		—			(1.35	)		(0.33	)		(0.78	)		—
Total distributions		(1.40	)		(0.33	)		(0.83	)		(0.06	)		(1.39	)		(0.33	)		(0.80	)		(0.05	)
Net Asset Value, End of Period	$	6.46		$	8.44		$	7.52		$	7.08		$	6.43		$	8.41		$	7.51		$	7.08
Total Return (b)		(6.15	)%		17.19	%		17.85	%		(28.54	)%		(6.40	)%		16.94	%		17.41	%		(28.68	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	436,816		$	544,716		$	498,639		$	2,229		$	14,991		$	13,744		$	9,422		$	2,620
Ratio to average net assets:
Net expenses (a)(c)(d)		0.87	%		0.87	%		0.87	%		0.87	%		1.12	%		1.12	%		1.12	%		1.12	%
Gross expenses (a)(d)		0.88	%		0.88	%		0.88	%		0.90	%		1.13	%		1.13	%		1.13	%		1.14	%
Net investment income (loss) (a)(c)(d)		0.74	%		0.62	%		0.68	%		1.71	%		0.51	%		0.36	%		0.49	%		1.48	%
Portfolio turnover rate		68	%		63	%		83	%		73	%		68	%		63	%		83	%		73	%

* For the period March 7, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

306

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC WMC Blue Chip Mid Cap Fund Initial Class Shares															SC WMC Blue Chip Mid Cap Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	14.92		$	12.12		$	9.32		$	17.95		$	19.04		$	14.82		$	12.07		$	9.30		$	15.70
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.04	†		0.02	†		0.02	†		0.01			(0.00	)(e)		(0.00	)†(e)		(0.01	)†		(0.01	)†		0.02
Net realized and unrealized gain (loss) on investments		(1.20	)		2.79			2.78			(5.41	)		2.87			(1.19	)		2.76			2.78			(3.19	)
Total from Investment Operations		(1.16	)		2.81			2.80			(5.40	)		2.87			(1.19	)		2.75			2.77			(3.17	)
Less Distributions from:
Net investment income		(0.01	)		(0.01	)		(0.00	)(e)		(0.03	)		(0.25	)		—			—			(0.00	)(e)		(0.03	)
Net realized gain on investments		—			—			—			(3.20	)		(3.71	)		—			—			—			(3.20	)
Total distributions		(0.01	)		(0.01	)		(0.00	)(e)		(3.23	)		(3.96	)		—			—			(0.00	)(e)		(3.23	)
Net Asset Value, End of Period	$	13.75		$	14.92		$	12.12		$	9.32		$	17.95		$	13.63		$	14.82		$	12.07		$	9.30
Total Return (b)		(7.78	)%		23.17	%		30.07	%		(35.14	)%		15.41	%		(8.03	)%		22.78	%		29.96	%		(26.06	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	148,863		$	128,115		$	75,745		$	45,842		$	85,438		$	35,155		$	40,627		$	40,249		$	31,137
Ratio to average net assets:
Net expenses (a)(c)(d)		0.96	%		0.99	%		1.00	%		1.00	%		1.00	%		1.21	%		1.24	%		1.25	%		1.25	%
Gross expenses (a)(d)		0.96	%		0.99	%		1.10	%		1.21	%		1.14	%		1.21	%		1.24	%		1.35	%		1.47	%
Net investment income (loss) (a)(c)(d)		0.26	%		0.17	%		0.17	%		0.05	%		(0.17	)%		(0.00	)%		(0.11	)%		(0.09	)%		0.02	%
Portfolio turnover rate		68	%		69	%		82	%		104	%		75	%		68	%		69	%		82	%		104	%

* For the period March 7, 2008 (commencement of operations – Service Class Shares) through December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

307

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout the period:

	SC WMC Large Cap Growth Fund Initial Class Shares															SC WMC Large Cap Growth Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007*			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	9.71		$	8.15		$	5.95		$	10.65		$	9.99		$	9.65		$	8.10		$	5.92		$	10.63		$	9.98
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.02	†		0.03	†		0.04	†		0.04			(0.00	)(e)		0.00	†(e)		0.01	†		0.03	†		0.02			(0.02	)
Net realized and unrealized gain (loss) on investments		(0.46	)		1.55			2.17			(4.74	)		0.69			(0.46	)		1.54			2.16			(4.73	)		0.70
Total from Investment Operations		(0.44	)		1.58			2.21			(4.70	)		0.69			(0.46	)		1.55			2.19			(4.71	)		0.68
Less Distributions from:
Net investment income		(0.03	)		(0.02	)		(0.01	)		—			—			(0.01	)		(0.00	)(e)		(0.01	)		—			—
Net realized gain on investments		—			—			—			(0.00	)(e)		(0.03	)		—			—			—			(0.00	)(e)		(0.03	)
Total distributions		(0.03	)		(0.02	)		(0.01	)		(0.00	)(e)		(0.03	)		(0.01	)		(0.00	)(e)		(0.01	)		(0.00	)(e)		(0.03	)
Net Asset Value, End of Period	$	9.24		$	9.71		$	8.15		$	5.95		$	10.65		$	9.18		$	9.65		$	8.10		$	5.92		$	10.63
Total Return (b)		(4.53	)%		19.50	%		37.23	%		(44.12	)%		6.88	%		(4.80	)%		19.19	%		37.08	%		(44.30	)%		6.78	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	185,489		$	172,338		$	149,621		$	34,599		$	62,680		$	16,414		$	18,782		$	17,883		$	15,518		$	33,064
Ratios to average net assets:
Net expenses (a)(c)(d)		0.88	%		0.81	%		0.81	%		0.81	%		0.81	%		1.12	%		1.06	%		1.06	%		1.06	%		1.06	%
Gross expenses (a)(d)		0.90	%		0.92	%		1.05	%		1.17	%		1.06	%		1.16	%		1.17	%		1.33	%		1.43	%		1.46	%
Net investment income (loss) (a)(c)(d)		0.26	%		0.34	%		0.60	%		0.43	%		0.01	%		0.00	%		0.09	%		0.46	%		0.17	%		(0.25	)%
Portfolio turnover rate		58	%		77	%		72	%		265	%		307	%		58	%		77	%		72	%		265	%		307	%

* For the period April 2, 2007 (commencement of operations – Initial Class Shares) through December 31, 2007.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

308

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	Sun Capital Global Real Estate Fund Initial Class Shares															Sun Capital Global Real Estate Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	11.44		$	11.23		$	8.99		$	18.24		$	24.60		$	12.61		$	12.25		$	9.77		$	19.66		$	26.23
Income (Loss) from Investment Operations:
Net investment income (loss) (c)		0.21	†		0.34	†		0.32	†		0.18			0.66			0.20	†		0.34	†		0.32	†		0.18			0.40
Net realized and unrealized gain (loss) on investments		(1.08	)		1.28			2.35			(7.53	)		(3.70	)		(1.17	)		1.40			2.56			(8.22	)		(3.71	)
Total from Investment Operations		(0.87	)		1.62			2.67			(7.35	)		(3.04	)		(0.97	)		1.74			2.88			(8.04	)		(3.31	)
Less Distributions from:
Net investment income		(0.82	)		(1.41	)		(0.36	)		(0.39	)		(0.36	)		(0.80	)		(1.38	)		(0.33	)		(0.34	)		(0.30	)
Net realized gain on investments		—			—			(0.07	)		(1.51	)		(2.96	)		—			—			(0.07	)		(1.51	)		(2.96	)
Total distributions		(0.82	)		(1.41	)		(0.43	)		(1.90	)		(3.32	)		(0.80	)		(1.38	)		(0.40	)		(1.85	)		(3.26	)
Net Asset Value, End of Period	$	9.75		$	11.44		$	11.23		$	8.99		$	18.24		$	10.84		$	12.61		$	12.25		$	9.77		$	19.66
Total Return (a)		(7.59	)%		15.28	%		30.09	%		(44.73	)%		(13.13	)%		(7.74	)%		14.94	%		29.83	%		(44.89	)%		(13.34	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	87,924		$	111,981		$	84,988		$	45,841		$	87,441		$	117,846		$	142,500		$	138,929		$	126,838		$	173,065
Ratios to average net assets:
Net expenses (b)(c)		1.10	%		1.10	%		1.10	%		1.10	%		1.10	%		1.35	%		1.35	%		1.35	%		1.35	%		1.35	%
Gross expenses (c)		1.15	%		1.11	%		1.17	%		1.23	%		1.18	%		1.41	%		1.37	%		1.43	%		1.48	%		1.43	%
Net investment income (loss) (b)(c)		1.89	%		3.07	%		3.52	%		1.28	%		2.65	%		1.60	%		2.80	%		3.33	%		1.15	%		2.82	%
Portfolio turnover rate		27	%		40	%		110	%		76	%		25	%		27	%		40	%		110	%		76	%		25	%

† Based on average shares outstanding during the period.

(a) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower.

(b) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(c) Does not include any insurance charges imposed in connection with your variable insurance contract.

309

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Ibbotson Tactical Opportunities Fund Initial Class Shares
	Years Ended December 31,
	2011			2010*
Net Asset Value, Beginning of Period	$	10.52		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.10	†		0.09	†
Net realized and unrealized gain (loss) on investments		(0.71	)		0.43
Total from Investment Operations		(0.61	)		0.52
Less Distributions from:
Net investment income		(0.07	)		—
Net realized gain on investments		(0.01	)		—
Total distributions		(0.08	)		—
Net Asset Value, End of Period	$	9.83		$	10.52
Total Return (b)		(5.75	)%		5.20	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	572,486		$	455,423
Ratios to average net assets:
Net expenses (a)(c)(d)(e)		0.45	%		0.50	%
Gross expenses (a)(d)(e)		0.45	%		0.60	%
Net investment income (loss) (a)(c)(d)(e)		0.97	%		7.56	%
Portfolio turnover rate (f)		156	%		17	%

* For the period November 15, 2010 (commencement of operations) to December 31, 2010.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Does not include expenses of the underlying funds in which the Fund invests.

(f) Does not include the portfolio turnover activity of the underlying funds in which the Fund invests.

310

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	Sun Capital Investment Grade Bond Fund Initial Class Shares															Sun Capital Investment Grade Bond Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	9.39		$	9.06		$	7.84		$	9.48		$	9.62		$	9.46		$	9.12		$	7.90		$	9.55		$	9.69
Income (Loss) from Investment Operations:
Net investment income (loss) (c)		0.28	†		0.32	†		0.39	†		0.51			0.49			0.26	†		0.30	†		0.37	†		0.49			0.47
Net realized and unrealized gain (loss) on investments		0.37			0.37			1.23			(1.65	)		(0.14	)		0.37			0.38			1.23			(1.66	)		(0.14	)
Total from Investment Operations		0.65			0.69			1.62			(1.14	)		0.35			0.63			0.68			1.60			(1.17	)		0.33
Less Distributions from:
Net investment income		(0.30	)		(0.33	)		(0.39	)		(0.50	)		(0.49	)		(0.28	)		(0.31	)		(0.37	)		(0.48	)		(0.47	)
Net realized gain on investments		(0.20	)		(0.03	)		(0.01	)		—			—			(0.20	)		(0.03	)		(0.01	)		—			—
Total distributions		(0.50	)		(0.36	)		(0.40	)		(0.50	)		(0.49	)		(0.48	)		(0.34	)		(0.38	)		(0.48	)		(0.47	)
Net Asset Value, End of Period	$	9.54		$	9.39		$	9.06		$	7.84		$	9.48		$	9.61		$	9.46		$	9.12		$	7.90		$	9.55
Total Return (a)		7.06	%		7.67	%		21.00	%		(12.47	)%		3.75	%		6.77	%		7.49	%		20.58	%		(12.67	)%		3.51	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	307,975		$	245,190		$	136,827		$	35,941		$	40,696		$	177,740		$	127,925		$	64,213		$	21,189		$	25,460
Ratios to average net assets:
Net expenses (b)(c)		0.71	%		0.73	%		0.75	%		0.75	%		0.75	%		0.96	%		0.98	%		1.00	%		1.00	%		1.00	%
Gross expenses (c)		0.71	%		0.73	%		0.84	%		1.06	%		1.00	%		0.96	%		0.98	%		1.10	%		1.31	%		1.24	%
Net investment income (loss) (b)(c)		2.93	%		3.47	%		4.49	%		5.70	%		5.10	%		2.67	%		3.22	%		4.25	%		5.45	%		4.89	%
Portfolio turnover rate (d)		96	%		90	%		99	%		30	%		46	%		96	%		90	%		99	%		30	%		46	%

† Based on average shares outstanding during the period.

(a) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower.

(b) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(c) Does not include any insurance charges imposed in connection with your variable insurance contract.

(d) Excludes mortgage dollar roll transactions.

311

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	Sun Capital Money Market Fund Initial Class Shares															Sun Capital Money Market Fund Service Class Shares
	Years Ended December 31,															Years Ended December 31,
	2011			2010			2009			2008			2007			2011			2010			2009			2008			2007
Net Asset Value, Beginning of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (Loss) from Investment Operations:
Net investment income (loss) (c)		0.00	(d)†		0.00	(d)†		0.00	(d)†		0.02			0.05			0.00	(d)†		0.00	(d)†		0.00	(d)†		0.02			0.05
Net realized and unrealized gain (loss) on investments		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		0.00	(d)		—
Total from Investment Operations		0.00	(d)		0.00	(d)		0.00	(d)		0.02			0.05			0.00	(d)		0.00	(d)		0.00	(d)		0.02			0.05
Less Distributions from:
Net investment income		(0.00	)(d)		(0.00	)(d)		(0.00	)(d)		(0.02	)		(0.05	)		—			—			(0.00	)(d)		(0.02	)		(0.05	)
Net realized gain on investments		(0.00	)(d)		—			—			—			—			(0.00	)(d)		—			—			—			—
Total distributions		(0.00	)(d)		(0.00	)(d)		(0.00	)(d)		(0.02	)		(0.05	)		(0.00	)(d)		—			(0.00	)(d)		(0.02	)		(0.05	)
Net Asset Value, End of Period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Return (a)		0.15	%		0.19	%		0.25	%		2.25	%		4.87	%		0.00	%		0.00	%		0.02	%		2.00	%		4.61	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	64,198		$	67,785		$	88,013		$	150,416		$	129,112		$	158,944		$	118,701		$	116,282		$	54,108		$	1,740
Ratios to average net assets:
Net expenses (b)(c)		0.00	%		0.03	%		0.20	%		0.50	%		0.50	%		0.14	%		0.22	%		0.38	%		0.75	%		0.75	%
Gross expenses (c)		0.65	%		0.66	%		0.72	%		0.81	%		0.76	%		0.90	%		0.91	%		0.94	%		1.10	%		1.00	%
Net investment income (loss) (b)(c)		0.15	%		0.19	%		0.25	%		2.19	%		4.76	%		0.00	%		0.00	%		0.01	%		1.34	%		4.50	%
Portfolio turnover rate		N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A			N/A

† Based on average shares outstanding during the period.

(a) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower.

(b) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(c) Does not include any insurance charges imposed in connection with your variable insurance contract.

(d) Amount is less than $0.005 per share.

312

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC BlackRock Inflation Protected Bond Fund Initial Class  Shares												SC BlackRock Inflation Protected Bond Fund Service Class  Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	10.64		$	10.34		$	9.87		$	10.00		$	10.61		$	10.32		$	9.87		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (e)		0.25	†		0.14	†		0.24	†		(0.05	)		0.20	†		0.12	†		0.21	†		(0.06	)
Net realized and unrealized gain (loss) on investments		1.00			0.40			0.61			(0.05	)(c)		1.03			0.38			0.60			(0.04	)(c)
Total from Investment Operations		1.25			0.54			0.85			(0.10	)		1.23			0.50			0.81			(0.10	)
Less Distributions from:
Net investment income		(0.26	)		(0.14	)		(0.22	)		(0.03	)		(0.24	)		(0.11	)		(0.20	)		(0.03	)
Net realized gain on investments		(0.29	)		(0.10	)		(0.16	)		—			(0.29	)		(0.10	)		(0.16	)		—
Total distributions		(0.55	)		(0.24	)		(0.38	)		(0.03	)		(0.53	)		(0.21	)		(0.36	)		(0.03	)
Net Asset Value, End of Period	$	11.34		$	10.64		$	10.34		$	9.87		$	11.31		$	10.61		$	10.32		$	9.87
Total Return (b)		11.90	%		5.24	%		8.72	%		(0.95	)%		11.70	%		4.91	%		8.34	%		(0.96	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	264,474		$	217,591		$	106,264		$	8,311		$	280,788		$	161,359		$	78,839		$	4,276
Ratio to average net assets:
Net expenses (a)(d)(e)		0.65	%		0.65	%		0.65	%		0.65	%		0.90	%		0.90	%		0.90	%		0.90	%
Gross expenses (a)(e)		0.66	%		0.66	%		0.66	%		0.68	%		0.91	%		0.91	%		0.91	%		0.93	%
Net investment income (loss) (a)(d)(e)		2.23	%		1.34	%		2.33	%		(4.63	)%		1.78	%		1.09	%		2.07	%		(4.60	)%
Portfolio turnover rate		430	%		388	%		278	%		85	%		430	%		388	%		278	%		85	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) The amount shown for a share outstanding does not correspond with the net realized and unrealized gain (loss) on investments for the period due to timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the fund.

(d) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(e) Does not include any insurance charges imposed in connection with your variable insurance contract.

313

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Goldman Sachs Short Duration Fund Initial Class  Shares												SC Goldman Sachs Short Duration Fund Service Class  Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	10.31		$	10.23		$	10.13		$	10.00		$	10.31		$	10.23		$	10.13		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.12	†		0.14	†		0.19	†		0.16			0.09	†		0.11	†		0.17	†		0.14
Net realized and unrealized gain (loss) on investments		(0.07	)		0.11			0.19			0.16			(0.07	)		0.11			0.18			0.16
Total from Investment Operations		0.05			0.25			0.38			0.32			0.02			0.22			0.35			0.30
Less Distributions from:
Net investment income		(0.12	)		(0.16	)		(0.21	)		(0.16	)		(0.10	)		(0.13	)		(0.18	)		(0.14	)
Net realized gain on investments		(0.06	)		(0.01	)		(0.07	)		(0.03	)		(0.06	)		(0.01	)		(0.07	)		(0.03	)
Capital		(0.00	)(e)		—			—			—			(0.00	)(e)		—			—			—
Total distributions		(0.18	)		(0.17	)		(0.28	)		(0.19	)		(0.16	)		(0.14	)		(0.25	)		(0.17	)
Net Asset Value, End of Period	$	10.18		$	10.31		$	10.23		$	10.13		$	10.17		$	10.31		$	10.23		$	10.13
Total Return (b)		0.53	%		2.41	%		3.78	%		3.22	%		0.17	%		2.16	%		3.52	%		3.00	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	993,705		$	1,004,464		$	869,648		$	54,602		$	191,313		$	149,752		$	107,329		$	63,422
Ratio to average net assets:
Net expenses (a)(c)(d)		0.65	%		0.65	%		0.65	%		0.65	%		0.90	%		0.90	%		0.90	%		0.90	%
Gross expenses (a)(d)		0.65	%		0.65	%		0.65	%		0.68	%		0.90	%		0.90	%		0.90	%		0.92	%
Net investment income (loss) (a)(c)(d)		1.14	%		1.32	%		1.82	%		2.34	%		0.89	%		1.05	%		1.66	%		1.95	%
Portfolio turnover rate		154	%		122	%		231	%		333	%		154	%		122	%		231	%		333	%

* For the period March 7, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

314

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC PIMCO High Yield Fund Initial Class Shares												SC PIMCO High Yield Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	9.83		$	9.46		$	8.07		$	10.00		$	9.83		$	9.46		$	8.07		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.68	†		0.72	†		0.75	†		0.53			0.66	†		0.70	†		0.72	†		0.51
Net realized and unrealized gain (loss) on investments		(0.28	)		0.44			1.62			(1.85	)		(0.29	)		0.43			1.62			(1.85	)
Total from Investment Operations		0.40			1.16			2.37			(1.32	)		0.37			1.13			2.34			(1.34	)
Less Distributions from:
Net investment income		(0.72	)		(0.72	)		(0.74	)		(0.55	)		(0.69	)		(0.69	)		(0.71	)		(0.53	)
Net realized gain on investments		(0.25	)		(0.07	)		(0.24	)		(0.06	)		(0.25	)		(0.07	)		(0.24	)		(0.06	)
Total distributions		(0.97	)		(0.79	)		(0.98	)		(0.61	)		(0.94	)		(0.76	)		(0.95	)		(0.59	)
Net Asset Value, End of Period	$	9.26		$	9.83		$	9.46		$	8.07		$	9.26		$	9.83		$	9.46		$	8.07
Total Return (b)		4.26	%		12.68	%		30.67	%		(13.74	)%		4.01	%		12.40	%		30.34	%		(13.92	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	132,253		$	140,327		$	92,422		$	3,134		$	30,874		$	32,225		$	24,680		$	12,300
Ratio to average net assets:
Net expenses (a)(c)(d)		0.75	%		0.75	%		0.75	%		0.75	%		1.00	%		1.00	%		1.00	%		1.00	%
Gross expenses (a)(d)		0.75	%		0.75	%		0.75	%		0.77	%		1.00	%		1.00	%		1.00	%		1.03	%
Net investment income (loss) (a)(c)(d)		7.05	%		7.42	%		8.45	%		6.74	%		6.80	%		7.19	%		8.19	%		7.18	%
Portfolio turnover rate		35	%		28	%		190	%		75	%		35	%		28	%		190	%		75	%

* For the period March 7, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

315

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC PIMCO Total Return Fund Initial Class Shares												SC PIMCO Total Return Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	11.58		$	11.04		$	10.55		$	10.00		$	11.58		$	11.04		$	10.55		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (d)		0.27	†		0.22	†		0.27	†		0.03			0.24	†		0.19	†		0.24	†		0.02
Net realized and unrealized gain (loss) on investments		0.15			0.61			0.65			0.55			0.14			0.61			0.65			0.55
Total from Investment Operations		0.42			0.83			0.92			0.58			0.38			0.80			0.89			0.57
Less Distributions from:
Net investment income		(0.31	)		(0.25	)		(0.29	)		(0.03	)		(0.28	)		(0.22	)		(0.26	)		(0.02	)
Net realized gain on investments		(0.30	)		(0.04	)		(0.14	)		(0.00	)(e)		(0.30	)		(0.04	)		(0.14	)		(0.00	)(e)
Total distributions		(0.61	)		(0.29	)		(0.43	)		(0.03	)		(0.58	)		(0.26	)		(0.40	)		(0.02	)
Net Asset Value, End of Period	$	11.39		$	11.58		$	11.04		$	10.55		$	11.38		$	11.58		$	11.04		$	10.55
Total Return (b)		3.70	%		7.53	%		8.89	%		5.82	%		3.35	%		7.27	%		8.62	%		5.76	%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	361,694		$	273,150		$	144,812		$	13,823		$	704,916		$	483,257		$	243,743		$	18,397
Ratio to average net assets:
Net expenses (a)(c)(d)		0.65	%		0.65	%		0.65	%		0.65	%		0.90	%		0.90	%		0.90	%		0.90	%
Gross expenses (a)(d)		0.66	%		0.66	%		0.66	%		0.68	%		0.91	%		0.91	%		0.91	%		0.93	%
Net investment income (loss) (a)(c)(d)		2.33	%		1.93	%		2.44	%		1.19	%		2.09	%		1.67	%		2.15	%		0.97	%
Portfolio turnover rate		551	%		493	%		496	%		181	%		551	%		493	%		496	%		181	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(d) Does not include any insurance charges imposed in connection with your variable insurance contract.

(e) Amount is less than $0.005 per share.

316

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Ibbotson Balanced Fund Initial Class Shares												SC Ibbotson Balanced Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	12.37		$	11.21		$	9.07		$	10.00		$	12.35		$	11.20		$	9.06		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (e)		0.20	†		0.20	†		0.20	†		0.02			0.16	†		0.15	†		0.17	†		0.01
Net realized and unrealized gain (loss) on investments		(0.40	)		1.15			1.97			(0.95	)(c)		(0.39	)		1.16			1.97			(0.95	)(c)
Total from Investment Operations		(0.20	)		1.35			2.17			(0.93	)		(0.23	)		1.31			2.14			(0.94	)
Less Distributions from:
Net investment income		(0.17	)		(0.13	)		(0.03	)		—			(0.14	)		(0.10	)		(0.00	)(h)		—
Net realized gain on investments		(0.40	)		(0.06	)		(0.00	)(h)		—			(0.40	)		(0.06	)		(0.00	)(h)		—
Total distributions		(0.57	)		(0.19	)		(0.03	)		—			(0.54	)		(0.16	)		(0.00	)(h)		—
Net Asset Value, End of Period	$	11.60		$	12.37		$	11.21		$	9.07		$	11.58		$	12.35		$	11.20		$	9.06
Total Return (b)		(1.56	)%		12.18	%		23.91	%		(9.30	)%		(1.81	)%		11.82	%		23.65	%		(9.40	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	3,150		$	1,687		$	442		$	56		$	1,850,101		$	1,444,241		$	566,276		$	38,747
Ratio to average net assets:
Net expenses (a)(d)(e)(f)		0.19	%		0.20	%		0.20	%		0.20	%		0.44	%		0.45	%		0.45	%		0.45	%
Gross expenses (a)(e)(f)		0.19	%		0.21	%		0.28	%		16.72	%		0.44	%		0.46	%		0.52	%		2.11	%
Net investment income (loss) (a)(d)(e)(f)		1.61	%		1.75	%		1.95	%		0.88	%		1.32	%		1.30	%		1.69	%		1.82	%
Portfolio turnover rate (g)		7	%		27	%		14	%		0	%		7	%		27	%		14	%		0	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) The amount shown for a share outstanding does not correspond with the net realized and unrealized gain (loss) on investments for the period due to timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the fund.

(d) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(e) Does not include any insurance charges imposed in connection with your variable insurance contract.

(f) Does not include expenses of the underlying funds in which the Fund invests.

(g) Does not include the portfolio turnover activity of the underlying funds in which the Fund invests.

(h) Amount is less than $0.005.

317

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Ibbotson Conservative Fund Initial Class Shares												SC Ibbotson Conservative Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	11.79		$	10.94		$	9.19		$	10.00		$	11.79		$	10.94		$	9.18		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (e)		0.19	†		0.14	†		0.33	†		0.03			0.18	†		0.13	†		0.20	†		0.02
Net realized and unrealized gain (loss) on investments		(0.08	)		0.94			1.45			(0.84	)(c)		(0.11	)		0.92			1.56			(0.84	)(c)
Total from Investment Operations		0.11			1.08			1.78			(0.81	)		0.07			1.05			1.76			(0.82	)
Less Distributions from:
Net investment income		(0.17	)		(0.16	)		(0.03	)		—			(0.14	)		(0.13	)		(0.00	)(h)		—
Net realized gain on investments		(0.26	)		(0.07	)		(0.00	)(h)		—			(0.26	)		(0.07	)		(0.00	)(h)		—
Total distributions		(0.43	)		(0.23	)		(0.03	)		—			(0.40	)		(0.20	)		(0.00	)(h)		—
Net Asset Value, End of Period	$	11.47		$	11.79		$	10.94		$	9.19		$	11.46		$	11.79		$	10.94		$	9.18
Total Return (b)		0.97	%		9.92	%		19.37	%		(8.10	)%		0.63	%		9.64	%		19.22	%		(8.20	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	5,505		$	5,053		$	1,708		$	46		$	944,392		$	756,690		$	364,790		$	33,974
Ratio to average net assets:
Net expenses (a)(d)(e)(f)		0.20	%		0.20	%		0.20	%		0.20	%		0.45	%		0.45	%		0.45	%		0.45	%
Gross expenses (a)(e)(f)		0.20	%		0.21	%		0.26	%		17.09	%		0.45	%		0.47	%		0.53	%		2.12	%
Net investment income (loss) (a)(d)(e)(f)		1.57	%		1.27	%		3.15	%		1.15	%		1.52	%		1.18	%		2.01	%		2.22	%
Portfolio turnover rate (g)		7	%		16	%		12	%		1	%		7	%		16	%		12	%		1	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) The amount shown for a share outstanding does not correspond with the net realized and unrealized gain (loss) on investments for the period due to timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the fund.

(d) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(e) Does not include any insurance charges imposed in connection with your variable insurance contract.

(f) Does not include expenses of the underlying funds in which the Fund invests.

(g) Does not include the portfolio turnover activity of the underlying funds in which the Fund invests.

(h) Amount is less than $0.005.

318

FINANCIAL HIGHLIGHTS (Continued)
	Sun Capital Advisers Trust

Selected data for a share outstanding throughout each period:

	SC Ibbotson Growth Fund Initial Class Shares												SC Ibbotson Growth Fund Service Class Shares
	Years Ended December 31,												Years Ended December 31,
	2011			2010			2009			2008*			2011			2010			2009			2008*
Net Asset Value, Beginning of Period	$	12.47		$	11.25		$	8.87		$	10.00		$	12.47		$	11.24		$	8.87		$	10.00
Income (Loss) from Investment Operations:
Net investment income (loss) (e)		0.16	†		0.18	†		0.06	†		0.02			0.10	†		0.12	†		0.12	†		0.01
Net realized and unrealized gain (loss) on investments		(0.64	)		1.34			2.35			(1.15	)(c)		(0.61	)		1.38			2.25			(1.14	)(c)
Total from Investment Operations		(0.48	)		1.52			2.41			(1.13	)		(0.51	)		1.50			2.37			(1.13	)
Less Distributions from:
Net investment income		(0.23	)		(0.18	)		(0.03	)		—			(0.20	)		(0.15	)		(0.00	)(h)		—
Net realized gain on investments		(1.06	)		(0.12	)		(0.00	)(h)		—			(1.06	)		(0.12	)		(0.00	)(h)		—
Total distributions		(1.29	)		(0.30	)		(0.03	)		—			(1.26	)		(0.27	)		(0.00	)(h)		—
Net Asset Value, End of Period	$	10.70		$	12.47		$	11.25		$	8.87		$	10.70		$	12.47		$	11.24		$	8.87
Total Return (b)		(3.66	)%		13.80	%		27.17	%		(11.30	)%		(3.90	)%		13.61	%		26.75	%		(11.30	)%
Ratios and Supplemental Data:
Net Assets, End of Period (000’s)	$	2,143		$	1,616		$	292		$	92		$	546,019		$	588,923		$	448,441		$	33,191
Ratio to average net assets:
Net expenses (a)(d)(e)(f)		0.21	%		0.20	%		0.20	%		0.20	%		0.45	%		0.45	%		0.45	%		0.45	%
Gross expenses (a)(e)(f)		0.21	%		0.22	%		0.30	%		14.32	%		0.46	%		0.47	%		0.53	%		2.08	%
Net investment income (loss) (a)(d)(e)(f)		1.34	%		1.54	%		0.61	%		1.20	%		0.86	%		1.03	%		1.18	%		1.53	%
Portfolio turnover rate (g)		16	%		38	%		16	%		7	%		16	%		38	%		16	%		7	%

* For the period October 1, 2008 (commencement of operations) to December 31, 2008.

† Based on average shares outstanding during the period.

(a) Annualized for periods of less than one year.

(b) Total returns are historical and assume changes in share price, reinvestments of all dividends and distributions, and no sales charge. Had certain expenses not been reduced during the periods shown, total returns would have been lower. Total returns for periods of less than one year are not annualized.

(c) The amount shown for a share outstanding does not correspond with the net realized and unrealized gain (loss) on investments for the period due to timing of sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the fund.

(d) Such percentages are after advisory fee or unified management fee waivers and expense reimbursements, as applicable.

(e) Does not include any insurance charges imposed in connection with your variable insurance contract.

(f) Does not include expenses of the underlying funds in which the Fund invests.

(g) Does not include the portfolio turnover activity of the underlying funds in which the Fund invests.

(h) Amount is less than $0.005.

319

NOTES TO FINANCIAL STATEMENTS Sun Capital Advisers Trust

1. ORGANIZATION

Sun Capital Advisers Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust under the laws of Delaware by an Agreement and Declaration of Trust dated July 13, 1998. It currently consists of twenty two funds (each referred to as a “Fund” and, collectively, as “the Funds”). Three of the Funds, SC Ibbotson Balanced Fund, SC Ibbotson Conservative Fund and SC Ibbotson Growth Fund, are affiliated “Fund-of-Funds”, which invest in other Funds of the Trust and in other mutual funds managed by MFS, an affiliate of the investment adviser to each Fund of the Trust, Sun Capital Advisers LLC (“Sun Capital”). The three Fund-of-Funds and each of the other Funds other than SC Ibbotson Tactical Opportunities Fund (the “Ibbotson Tactical Opportunities Fund”) are offered to variable annuity and variable life insurance separate accounts established by affiliated insurance companies to fund variable annuity contracts and variable life insurance policies. The Ibbotson Tactical Opportunities Fund, a Fund-of-exchange traded funds, is not available for investment by contract holders but serves exclusively as an investment option designed to implement a tactical strategy for the three Fund-of-Funds. Effective December 30, 2011, the affiliated insurance companies that invest in the Funds discontinued selling new variable annuities and variable life insurance policies. These companies, Sun Life Assurance Company of Canada (U.S.) (“Sun Life (U.S.)”) and Sun Life Insurance and Annuity Company of New York (“Sun Life (N.Y.)”), are indirect wholly owned subsidiaries of Sun Life Financial Inc. (“Sun Life Financial”), a publicly traded holding company. Sun Life Financial has stated that the decision to discontinue new sales of variable annuity and individual life products in the U.S. will not impact existing customers, and that Sun Life Financial will continue to provide service to its policyholders.

Each of the Funds is an open-end mutual fund under the 1940 Act. Each is classified as a diversified mutual fund except for Sun Capital Global Real Estate Fund and SC BlackRock Inflation Protected Bond Fund, which are classified as non-diversified mutual funds. Each Fund, except for the Ibbotson Tactical Opportunities Fund, offers Initial Class Shares and Service Class Shares. The Ibbotson Tactical Opportunities Fund offers only Initial Class Shares. The Funds are:

SC AllianceBernstein International Value Fund (“AllianceBernstein International Value Fund”)

SC BlackRock International Index Fund (“BlackRock International Index Fund”)

SC BlackRock Large Cap Index Fund (“BlackRock Large Cap Index Fund”)

SC BlackRock Small Cap Index Fund (“BlackRock Small Cap Index Fund”)

SC Goldman Sachs Mid Cap Value Fund (“Goldman Sachs Mid Cap Value Fund”)

SC Columbia Small Cap Value Fund (“Columbia Small Cap Value Fund”)

SC Davis Venture Value Fund (“Davis Venture Value Fund”)

SC Invesco Small Cap Growth Fund (“Invesco Small Cap Growth Fund”)

SC Lord Abbett Growth & Income Fund (“Lord Abbett Growth & Income Fund”)

SC WMC Blue Chip Mid Cap Fund (“WMC Blue Chip Mid Cap Fund”)

SC WMC Large Cap Growth Fund (“WMC Large Cap Growth Fund”)

  Sun Capital Global Real Estate Fund (“Global Real Estate Fund”)

SC Ibbotson Tactical Opportunities Fund (“Ibbotson Tactical Opportunities Fund”)

  Sun Capital Investment Grade Bond Fund (“Investment Grade Bond Fund”)

  Sun Capital Money Market Fund (“Money Market Fund”)

SC BlackRock Inflation Protected Bond Fund (“BlackRock Inflation Protected Bond Fund”)

SC Goldman Sachs Short Duration Fund (“Goldman Sachs Short Duration Fund”)

SC PIMCO High Yield Fund (“PIMCO High Yield Fund”)

SC PIMCO Total Return Fund (“PIMCO Total Return Fund”)

SC Ibbotson Balanced Fund (“Ibbotson Balanced Fund”)

SC Ibbotson Conservative Fund (“Ibbotson Conservative Fund”)

SC Ibbotson Growth Fund (“Ibbotson Growth Fund”)

320

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Each Fund-of-Funds seeks to achieve its objective by investing in a portfolio of underlying affiliated funds (“underlying funds”) which, in turn, may invest in a variety of U.S. and foreign equity, fixed income, money market and derivative instruments. The Fund-of-Funds do not invest in the underlying funds for the purpose of exercising management or control; however, investments by the Fund-of-Funds, within their principal investment strategies, may represent a significant portion of the underlying funds’ net assets. Each Fund-of-Funds’ “Portfolio of Investments” lists the underlying funds held as an investment of the Fund-of-Funds as of period end, but does not include the holdings of the underlying funds. A complete list of the holdings of each underlying fund, as well as the financial statements of each underlying fund, each as of December 31, 2011, are available at the SEC’s website at www.sec.gov if not already provided in this report under the name of the underlying fund.

2. SIGNIFICANT ACCOUNTING POLICIES

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

a) Determination of Net Asset Value

The net asset value per share (“NAV”) of each Fund is determined as of the close of regular trading on the New York Stock Exchange (normally 4:00 p.m. Eastern standard time) on each day the New York Stock Exchange is open for business (a “valuation day”). If the New York Stock Exchange closes early for any reason, each Fund will accelerate the determination of its NAV to that earlier time.

b) Valuation of Investments

U.S. GAAP defines the fair value of a financial instrument as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.

Valuation techniques of the Funds’ major categories of assets and liabilities are as follows:

Investments in securities and option contracts listed on the National Association of Securities Dealers Automation Quotation System (“NASDAQ”) are valued at the NASDAQ Official Closing Price on the day of valuation. Securities and option contracts listed on any other U.S. or foreign exchanges are valued at the last sale price on the exchange or system in which they are principally traded on the valuation date, or if no sales occurred on that day, at the mean between the closing bid and asked prices. Over-the-counter (OTC) equity securities not quoted on the NASDAQ are valued at the last sale price on the valuation day, or, if no sale occurs, at the mean between the last bid and asked prices. If both bid and asked prices are not available on the valuation day, the last bid price is used to value securities and purchased option contracts and the last asked price is used to value written option contracts.

Debt securities are valued by a dealer or by a pricing service based upon a computerized matrix system, which considers market transactions and dealer supplied valuations. The fair value of corporate bonds is estimated using various techniques, which may consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and adjusted credit default swap spreads. The fair value of asset backed and mortgage backed securities is estimated using models that consider the future cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The fair value of U.S. Government and agency securities are normally estimated using a model that incorporates market observable data, such as reported sales of similar securities, broker quotes, yields, bids, offers and reference data.

321

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Short-term securities maturing in 60 days or less are valued at amortized cost, which approximates market value. Investments in open end mutual funds and underlying funds are valued at their daily closing NAV as reported by the investment company. Securities for which current market quotations are not readily available or are considered unreliable are stated at fair value as determined in good faith by an Internal Pricing Committee under the oversight of the Trust’s Board of Trustees.

The close of foreign exchanges before the determination of each Fund’s NAV gives rise to the possibility that significant events, including broad market moves, may have occurred after these foreign exchanges close but before the Funds determine their NAVs. In consideration of this, the Board of Trustees has approved an independent pricing vendor to facilitate the fair value process of equity securities traded on particular foreign exchanges. The independent pricing service considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, futures, exchange-traded funds (“ETFs”), and the movements of certain indexes of securities based on a statistical analysis of the historical relationship. The frequency with which this fair value process is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under this fair value process may differ from published prices for the same securities.

Exchange traded futures and exchange traded options on futures contracts are valued at the settlement price determined by the relevant exchange. OTC swap contracts, OTC options and swaptions are valued daily based upon quotations from an independent pricing vendor. Depending on the product and the terms of the transaction, the fair value of the OTC derivatives can be modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies used do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets. Swaps that are executed on trade facility platforms, such as a registered exchange (“centrally cleared swap”), are valued at settlement price as determined by that exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate.

The U.S. dollar value of forward foreign currency contracts is determined using forward currency exchange rates supplied by a quotation service.

In accordance with Rule 2a-7 under the 1940 Act, the Money Market Fund values its securities initially at cost, and thereafter, securities are assumed to have a constant amortization to maturity of any discount or premium. Amortized cost approximates fair value.

In accordance with U.S. GAAP, the Funds have categorized their financial instruments, based on priority of the inputs to the valuation technique, into a three-level hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to significant unobservable inputs (Level 3). The Funds utilize valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. If the inputs used to measure fair value for a security fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the fair value measurement of the instrument. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the hierarchy.

The three-tier hierarchy of fair value measurements is summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical assets or liabilities

The types of assets and liabilities utilizing Level 1 valuations generally include exchange traded domestic and certain foreign equities, listed derivatives (such as futures, options), investments in open end mutual funds, including ETFs, with quoted market prices and certain OTC actively traded U.S. Treasury securities.

322

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Level 2 – significant other observable inputs, including:

a) Quoted prices for identical or similar assets or liabilities in active and non-active markets,

b) Inputs other than quoted market prices that are observable, and

c) Inputs that are derived principally from or corroborated by observable market data through correlation or other means

The types of assets and liabilities utilizing Level 2 valuations generally include debt securities such as U.S. Government agency obligations, U.S. Government guaranteed notes, foreign government obligations, municipal bonds, mortgage backed securities, asset backed securities, collateralized mortgage obligations, corporate debt obligations, bank loan obligations, certificates of deposit and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, foreign forward currency exchange contracts, centrally cleared swaps and equity-linked securities; and certain foreign equity securities and derivatives traded on particular foreign exchanges that close before the Funds determine their NAVs.

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of assets or liabilities)

Generally, the types of assets and liabilities utilizing Level 3 valuations include securities whose trading has been suspended or which has been de-listed from its primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; or securities and certain derivatives valued by broker quotes which may include brokers’ assumptions about the assumptions a market participant would use.

The tables summarizing the inputs used to value the Fund’s assets and liabilities measured at fair value as of December 31, 2011 and transfers among levels, if any, are incorporated within each Fund’s Portfolio of Investments. During the year ended December 31, 2011, there were no significant changes to valuation techniques described above and the related inputs.

c) Investment Transactions and Income

Investment security transactions are accounted for as of trade date. Dividend income from securities and dividend and capital gain distributions from affiliated underlying funds are recorded on the ex-dividend date (net of foreign withholding taxes, as applicable). Non-cash dividends included in income, if any, are recorded at fair market value of securities received. Interest income is recorded on the accrual basis (net of foreign withholding taxes, as applicable). Discounts and premiums on debt securities are amortized using the interest method.

Upon notification from issuers some dividend income received from a real estate investment trust (“REIT”) may be redesignated as a reduction of cost of investment and/or realized gain. Realized gains and losses from security transactions are determined on the basis of identified cost for both financial statement and federal income tax purposes. Investment income, realized and unrealized gains and losses are allocated pro rata on the basis of relative net assets to both classes of shares.

d) Expenses

Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a particular Fund are allocated among the affected Funds on the basis of relative net assets. Expenses directly attributable to a particular share class of a Fund are charged directly to such class. All other expenses are borne pro rata on the basis of relative net assets by all classes of shares.

e) Foreign Currency Translation and Foreign Investments

The accounting records of the Funds are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at

323

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and assets and liabilities in foreign currencies. Net realized gains and losses on foreign currency transactions include disposition of foreign currencies, net gains or losses from assets or liabilities denominated in foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions.

f) New Accounting Pronouncements

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03, Reconsideration of Effective Control for Repurchase Agreements, related to the accounting for repurchase agreements and similar agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The ASU modifies the criteria for determining effective control of transferred assets and as a result certain agreements may now be accounted for as secured borrowings. The ASU is effective prospectively for new transfers and existing transactions that are modified in the first interim or annual period beginning on or after December 15, 2011. At this time, management is evaluating the implications of this change and its impact on the Funds’ financial statements has not been determined.

In May 2011, the FASB issued ASU No. 2011-04, Fair Value Measurement (Topic 820) – Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the ASU’s adoption on the Funds’ financial statement disclosures.

In December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210) – Disclosures about Offsetting Assets and Liabilities. The update creates new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for interim and annual reporting periods beginning on or after January 1, 2013. Management is currently evaluating the impact of the ASU’s adoption on the Funds’ financial statement disclosures.

3. SECURITIES AND OTHER INVESTMENTS

a) Mortgage Dollar Roll Transactions

Certain funds may enter into mortgage dollar roll (“MDR”) transactions to take advantage of opportunities in the mortgage market. A dollar roll transaction involves a sale by the Fund of mortgage-backed securities that it holds with an agreement by the Fund to repurchase similar securities at an agreed upon price on a specified future date. The Fund treats mortgage dollar rolls as two separate transactions: one involving the purchase of a security and a separate transaction involving a sale, and realizes gains and losses on these transactions. The Fund receives compensation as a “drop”. The “drop” represents the difference between the selling price and the repurchase price for the mortgage-backed securities and is reflected in the unrealized gain/loss of the security repurchased. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. A Fund will only enter into “covered” rolls. A “covered” roll is a specific type of dollar roll for which there is an offsetting cash position or liquid security position.

324

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Dollar roll transactions involve the risk that the market value of the securities sold by the Fund may decline below the repurchase price of those similar securities which the Fund is obligated to purchase or that the return earned by the Fund with the proceeds of a dollar roll “drop” may not exceed interest foregone. As of December 31, 2011, only Investment Grade Bond Fund had open MDR transactions that were made through “To Be Announced” securities.

b) Real Estate Investment Trusts

Certain Funds may invest in REITs. REITs are pooled investment vehicles that invest primarily in income producing real estate or real estate related loans or interests. REITs are generally classified as equity REITs, mortgage REITs or a combination of equity and mortgage REITs. Equity REITs invest most of their assets directly in real property and derive income primarily from the collection of rents. Equity REITs can also realize capital gains by selling properties that have appreciated in value. Mortgage REITs invest most of their assets in real estate mortgages and derive income from interest payments. Each Fund will indirectly bear its proportionate share of any expenses (such as operating expenses and advisory fees) paid by REITs in which it invests in addition to the expenses paid by the Fund.

Certain risks may arise when investing in REITs. Although Global Real Estate Fund does not invest directly in real estate, it does invest primarily in real estate equity securities and does concentrate its investments in the real estate industry, and, therefore, an investment in the Fund may be subject to certain risks associated with the direct ownership of real estate and with the real estate industry in general. Each of the other Funds that may invest in REITs may, to a lesser degree, be subject to these risks. Risks associated with the real estate industry may include risks resulting from future economic, political and environmental conditions.

c) Repurchase Agreements

The Funds may invest in repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (“collateral”) for a relatively short period (usually not more than 7 days) subject to the obligation to sell the security back to the repurchase agreement counterparty at a fixed time and price plus accrued interest. Securities serving as collateral for each repurchase agreement must be delivered to the Fund’s custodian. The value of the collateral must at least equal 102% of the principal and interest amount of the repurchase transaction, until the agreement matures. The value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. In the event of default, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. There is the risk that the collateral may be insufficient to meet the obligation in the event of default. As of December 31, 2011, no Fund was party to any open repurchase agreements.

d) When Issued Securities and Forward Commitments

The Funds may purchase or sell securities on a when issued or forward commitment basis. These transactions are arrangements in which the Funds purchase and sell securities with payment and delivery scheduled for a future time. Settlement dates may be a month or more after entering into these transactions and such transactions may involve a risk of loss if the value of the underlying security declines prior to the settlement date. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. If the counterparty to the purchase transaction fails to deliver the securities, the Fund is at risk to subsequently invest at less advantageous prices and yields. In connection with such purchases the Funds maintain cash or liquid assets in an amount equal to purchase commitments for such underlying securities until settlement date, and for sales commitments the Funds maintain equivalent deliverable securities as “cover” for the transactions. Unsettled sales commitments are valued at the current market value of the underlying security and marked to market daily on the Fund’s Statement of Assets and Liabilities. As of December 31, 2011, there were no outstanding forward sales contracts.

325

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

e) Treasury Inflation-Protected Securities

Certain Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), specially structured bonds in which the principal amount is adjusted daily to reflect changes in inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation are reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government. At December 31, 2011, Investment Grade Bond Fund, BlackRock Inflation Protected Bond Fund, Goldman Sachs Short Duration Fund and PIMCO Total Return Fund held TIPS as listed on each Fund’s Portfolio of Investments.

f) Equity Linked Securities

Certain Funds may invest in equity-linked securities which are privately issued securities with investment results that are designed to correspond generally to the performance of a specified stock index or “basket” of stocks, or a single stock. These securities may be used by a Fund to gain exposure to countries that place restrictions on direct investments by foreigners. To the extent that the Funds invest in equity-linked securities having returns that correspond to the performance of a foreign securities index or one or more foreign stocks, investing in equity-linked securities will involve risks similar to the risks of investing in foreign securities. In addition, the Funds bear the risk that the issuer of an equity-linked security may default on its obligation under the terms of the arrangement with the counterparty. At December 31, 2011, only AllianceBernstein International Value Fund held equity-linked securities as listed on the Fund’s Portfolio of Investments.

g) Bank Loan Obligations

Certain Funds may invest in senior loans in the form of participations (“Participations”) or assignments of all or a portion of loans from third parties (“Assignments”). Loan participations typically represent direct participation in a loan owed by a corporate borrower, and generally are offered by banks, other financial institutions or lending syndicates. The Fund may participate in such syndications, or can buy part of a loan, becoming a co-lender. When purchasing loan participations, the Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with a financial intermediary.

Assignments typically result in the Fund having a direct contractual relationship with the borrower, and the Fund may enforce compliance by the borrower with terms of the loan agreement. All senior loans involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower. As of December 31, 2011, only PIMCO High Yield Fund had open bank loan obligations as listed on the Fund’s Portfolio of Investments.

h) Exchange Traded Funds

The Ibbotson Tactical Opportunities Fund invests substantially all of its assets in ETFs. ETFs are investment companies, the shares of which are listed and traded on U.S. stock exchanges or otherwise traded in the OTC market and may be purchased and sold at market price throughout the trading day. The market price of an underlying ETF may be different from the NAV of such underlying ETF (i.e., an underlying ETF may trade at a discount or premium to its NAV). The Fund’s assets may be invested in a variety of equity and fixed income ETFs. Because the Fund’s investments are focused in these underlying ETFs, the Fund’s NAV and investment performance are directly related to the performance and risk of the underlying ETFs and the equity and bond markets in which those ETFs invest. Underlying ETFs also may change their investment objectives or policies without the approval of the Fund, causing the Fund to withdraw its investment from the underlying ETF at a time and price that is unfavorable to the Fund.

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As a result of the Fund’s investment in underlying ETFs, it will indirectly bear fees and expenses charged by the underlying ETFs, in addition to the Fund’s direct fees and expenses. Therefore, the cost of investing in the Ibbotson Tactical Opportunities Fund may be higher than the cost of investing in mutual funds that invest directly in individual stocks and bonds.

4. PRINCIPAL INVESTMENT RISKS

In the normal course of pursuing their investment objectives, the Funds may trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market or equity risk), failure of the other party to a transaction to perform or a decline in credit quality of the issuer (counterparty and credit risk), fluctuations in the value of foreign currencies (foreign currency exchange risk) and unfavorable changes in interest rates (interest rate risk). The potential loss due to any of these risks could exceed the value of the financial assets recorded in the Fund’s financial statements. Financial assets which potentially expose the Funds to credit risk consist principally of cash due from counterparties and investments. In addition, investing in foreign markets may also involve special risks and considerations not typically associated with investing in the U.S. such as high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.

Counterparty risk, the type of credit risk associated with a default by an institution or other entity with which the Funds have unsettled or open transactions, is managed through evaluation of each counterparty prior to entering into transactions with them. Transactions in listed securities are generally settled/paid for upon delivery using approved counterparties. The risk of loss would generally be considered low as the trades will fail if either party fails to meet its obligation.

The Funds may be subject to various Master Agreements, which govern the terms of certain transactions with select counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of forward and OTC derivative transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement and result in the need for multiple agreements with a single counterparty. Therefore, exposure cannot be netted and collateralized across all types of transactions. Exposures can only be netted across transactions governed under the same Master Agreement with the same legal entity.

Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain purchases and sales made on a delayed delivery basis by and between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral.

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the Funds and their counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early terminate could be material to the Funds’ financial statements.

5. FINANCIAL DERIVATIVE INSTRUMENTS

The following disclosures contain information on the Funds’ objectives and strategies for using derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative

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instruments affect the Funds’ financial position, results of operations, and cash flows. The derivative instruments outstanding as of December 31, 2011, as disclosed in the notes to each applicable Fund’s Portfolio of Investments, and the amount of realized and unrealized gains and losses on derivative instruments during the year ended December 31, 2011, as disclosed in each Fund’s Statement of Operations, serve as indicators of the volume of derivative activity for the Funds.

The following is a summary of the fair valuations of the Funds’ financial derivative instruments (not accounted for as hedging instruments under U.S. GAAP) categorized by risk exposure:

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2011:

	Asset Derivatives
Fund	Derivative Type	Interest Rate		Foreign Exchange		Credit		Equity		Total
AllianceBernstein International Value Fund	Forward Foreign Currency Exchange Contracts(a)	$	—	$	13,700	$	—	$	—	$	13,700
	Futures Contracts(b)		—		—		—		3,275		3,275
	Total Value	$	—	$	13,700	$	—	$	3,275	$	16,975
BlackRock International Index Fund	Futures Contracts(b)	$	—	$	—	$	—	$	33,833	$	33,833
	Total Value	$	—	$	—	$	—	$	33,833	$	33,833
BlackRock Small Cap Index Fund	Futures Contracts(b)	$	—	$	—	$	—	$	33,904	$	33,904
	Total Value	$	—	$	—	$	—	$	33,904	$	33,904
Goldman Sachs Mid Cap Value Fund	Futures Contracts(b)	$	—	$	—	$	—	$	42,760	$	42,760
	Total Value	$	—	$	—	$	—	$	42,760	$	42,760
BlackRock Inflation Protected Bond Fund	Forward Foreign Currency Exchange Contracts(a)	$	—	$	942,490	$	—	$	—	$	942,490
	Futures Contracts(b)		518,168		—		—		—		518,168
	Purchased Options(c)		271,251		—		—		—		271,251
	Swap Contracts(d)		1,126,715		—		—		—		1,126,715
	Total Value	$	1,916,134	$	942,490	$	—	$	—	$	2,858,624
Goldman Sachs Short Duration Fund	Futures Contracts(b)	$	273,557	$	—	$	—	$	—	$	273,557
	Total Value	$	273,557	$	—	$	—	$	—	$	273,557
PIMCO High Yield Fund	Forward Foreign Currency Exchange Contracts(a)	$	—	$	495,625	$	—	$	—	$	495,625
	Swap Contracts(d)		—		—		41,863		—		41,863
	Total Value	$	—	$	495,625	$	41,863	$	—	$	537,488

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Asset Derivatives
Fund	Derivative Type	Interest Rate		Foreign Exchange		Credit		Equity		Total
PIMCO Total Return Fund	Forward Foreign Currency Exchange Contracts(a)	$	—	$	5,846,483	$	—	$	—	$	5,846,483
	Futures Contracts(b)		1,238,146		—		—		—		1,238,146
	Purchased Options(c)		246,755		—		—		—		246,755
	OTC Swap Contracts(d)		1,900,259		—		2,061,152		—		3,961,411
	Centrally Cleared Swap Contracts(e)		1,573,937		—		—		—		1,573,937
	Total Value	$	4,959,097	$	5,846,483	$	2,061,152	$	—	$	12,866,732

(a) Statement of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts.

(b) Statement of Assets and Liabilities location: Variation margin receivable or payable, as applicable. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. Amount presented is cumulative appreciation (depreciation) on futures as presented in each Fund’s Portfolio of Investments.

(c) Statement of Assets and Liabilities location: Investments, at value.

(d) Statement of Assets and Liabilities location: Swaps, at value.

(e) Statement of Assets and Liabilities location: Variation margin receivable or payable, as applicable. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. Amount presented is market value on centrally cleared swap contracts as presented in each Fund’s Portfolio of Investments.

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	Liability Derivatives
Fund	Derivative Type	Interest Rate			Foreign Exchange			Credit			Equity			Total
AllianceBernstein International Value Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	(5,393	)	$	—		$	—		$	(5,393	)
	Total Value	$	—		$	(5,393	)	$	—		$	—		$	(5,393	)
BlackRock International Index Fund	Futures Contracts(b)	$	—		$	—		$	—		$	(4,607	)	$	(4,607	)
	Total Value	$	—		$	—		$	—		$	(4,607	)	$	(4,607	)
BlackRock Large Cap Index Fund	Futures Contracts(b)	$	—		$	—		$	—		$	(3,190	)	$	(3,190	)
	Total Value	$	—		$	—		$	—		$	(3,190	)	$	(3,190	)
BlackRock Inflation Protected Bond Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	(28,324	)	$	—		$	—		$	(28,324	)
	Futures Contracts(b)		(1,890,546	)		—			—			—			(1,890,546	)
	Swap Contracts(c)		(3,428,883	)		—			—			—			(3,428,883	)
	Written Option Contracts(d)		(2,815,504	)		—			—			—			(2,815,504	)
	Total Value	$	(8,134,933	)	$	(28,324	)	$	—		$	—		$	(8,163,257	)
Goldman Sachs Short Duration Fund	Futures Contracts(b)	$	(1,085,384	)	$	—		$	—		$	—		$	(1,085,384	)
	Total Value	$	(1,085,384	)	$	—		$	—		$	—		$	(1,085,384	)
PIMCO High Yield Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	(179,011	)	$	—		$	—		$	(179,011	)
	OTC Swap Contracts(c)		—			—			(21,827	)		—			(21,827	)
	Centrally Cleared Swap Contracts(e)		—			—			(209,277	)		—			(209,277	)
	Total Value	$	—		$	(179,011	)	$	(231,104	)	$	—		$	(410,115	)
PIMCO Total Return Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	(2,199,771	)	$	—		$	—		$	(2,199,771	)
	Swap Contracts(c)		(14,214	)		—			(6,391,961	)		—			(6,406,175	)
	Written Option Contracts(d)		(828,515	)		—			—			—			(828,515	)
	Total Value	$	(842,729	)	$	(2,199,771	)	$	(6,391,961	)	$	—		$	(9,434,461	)

(a) Statement of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts.

(b) Statement of Assets and Liabilities location: Variation margin receivable or payable, as applicable. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. Amount presented is cumulative appreciation (depreciation) on futures, as applicable, as presented in each Fund’s Portfolio of Investments.

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(c) Statement of Assets and Liabilities location. Swap, at value.

(d) Statement of Assets and Liabilities location: Options written.

(e) Statement of Assets and Liabilities location: Variation margin receivable or payable, as applicable. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. Amount presented is market value on centrally cleared swap contracts as presented in each Fund’s Portfolio of Investments.

Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2011:

	Realized Gain (Loss)
Fund	Derivative Type	Interest Rate			Foreign Exchange			Credit		Equity			Total
AllianceBernstein International Value Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	35,600		$	—	$	—		$	35,600
	Futures Contracts(b)		—			—			—		(62,921	)		(62,921	)
	Total Value	$	—		$	35,600		$	—	$	(62,921	)	$	(27,321	)
BlackRock International Index Fund	Futures Contracts(b)	$	—		$	—		$	—	$	91,709		$	91,709
	Total Value	$	—		$	—		$	—	$	91,709		$	91,709
BlackRock Large Cap Index Fund	Futures Contracts(b)	$	—		$	—		$	—	$	(434,634	)	$	(434,634	)
	Total Value	$	—		$	—		$	—	$	(434,634	)	$	(434,634	)
BlackRock Small Cap Index Fund	Futures Contracts(b)	$	—		$	—		$	—	$	218,268		$	218,268
	Total Value	$	—		$	—		$	—	$	218,268		$	218,268
Goldman Sachs Mid Cap Value Fund	Futures Contracts(b)	$	—		$	—		$	—	$	(906,369	)	$	(906,369	)
	Total Value	$	—		$	—		$	—	$	(906,369	)	$	(906,369	)
BlackRock Inflation Protected Bond Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	(884,623	)	$	—	$	—		$	(884,623	)
	Futures Contracts(b)		(4,498,018	)		—			—		—			(4,498,018	)
	Purchased Option Contracts(c)		402,832			—			—		—			402,832
	Swap Contracts(d)		3,891,676			—			—		—			3,891,676
	Written Option Contracts(e)		1,958,147			—			—		—			1,958,147
	Total Value	$	1,754,637		$	(884,623	)	$	—	$	—		$	870,014
Goldman Sachs Short Duration Fund	Futures Contracts(b)	$	(10,168,402	)	$	—		$	—	$	—		$	(10,168,402	)
	Total Value	$	(10,168,402	)	$	—		$	—	$	—		$	(10,168,402	)

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Realized Gain (Loss)
Fund	Derivative Type	Interest Rate			Foreign Exchange		Credit			Equity		Total
PIMCO High Yield Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	279,760	$	—		$	—	$	279,760
	Futures Contracts(b)		245,470			—		—			—		245,470
	Swap Contracts(d)		—			—		(150,662	)		—		(150,662	)
	Total Value	$	245,470		$	279,760	$	(150,662	)	$	—	$	374,568
PIMCO Total Return Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	5,805,367	$	—		$	—	$	5,805,367
	Futures Contracts(b)		11,919,424			—		—			—		11,919,424
	Swap Contracts(d)		(3,728,594	)		—		3,124,488			—		(604,106	)
	Written Option Contracts(e)		(3,344,021	)		—		51,215			—		(3,292,806	)
	Total Value	$	4,846,809		$	5,805,367	$	3,175,703		$	—	$	13,827,879

(a) Statement of Operations location: Net realized gain (loss) from: Foreign currency related transactions (Statement of Operations includes both forward foreign currency exchange contracts and foreign currency transactions).

(b) Statement of Operations location: Net realized gain (loss) from: Futures.

(c) Statement of Operations location: Net realized gain (loss) from: Investments.

(d) Statement of Operations location: Net realized gain (loss) from: Swaps.

(e) Statement of Operations location: Net realized gain (loss) from: Written options.

	Change in Unrealized Appreciation (Depreciation)
Fund	Derivative Type	Interest Rate		Foreign Exchange		Credit		Equity			Total
AllianceBernstein International Value Fund	Forward Foreign Currency Exchange Contracts(a)	$	—	$	8,307	$	—	$	—		$	8,307
	Futures Contracts(b)		—		—		—		9,875			9,875
	Total Value	$	—	$	8,307	$	—	$	9,875		$	18,182
BlackRock International Index Fund	Futures Contracts(b)	$	—	$	—	$	—	$	13,350		$	13,350
	Total Value	$	—	$	—	$	—	$	13,350		$	13,350
BlackRock Large Cap Index Fund	Futures Contracts(b)	$	—	$	—	$	—	$	(57,956	)	$	(57,956	)
	Total Value	$	—	$	—	$	—	$	(57,956	)	$	(57,956	)
BlackRock Small Cap Index Fund	Futures Contracts(b)	$	—	$	—	$	—	$	(15,314	)	$	(15,314	)
	Total Value	$	—	$	—	$	—	$	(15,314	)	$	(15,314	)
Goldman Sachs Mid Cap Value Fund	Futures Contracts(b)	$	—	$	—	$	—	$	48,682		$	48,682
	Total Value	$	—	$	—	$	—	$	48,682		$	48,682

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Change in Unrealized Appreciation (Depreciation)
Fund	Derivative Type	Interest Rate			Foreign Exchange		Credit			Equity		Total
BlackRock Inflation Protected Bond Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	1,553,113	$	—		$	—	$	1,553,113
	Futures Contracts(b)		(936,169	)		—		—			—		(936,169	)
	Purchased Option Contracts(c)		31,371			—		—			—		31,371
	Swap Contracts(d)		(1,716,970	)		—		—			—		(1,716,970	)
	Written Option Contracts(e)		(1,394,478	)		—		—			—		(1,394,478	)
	Total Value	$	(4,016,246	)	$	1,553,113	$	—		$	—	$	(2,463,133	)
Goldman Sachs Short Duration Fund	Futures Contracts(b)	$	(869,201	)	$	—	$	—		$	—	$	(869,201	)
	Total Value	$	(869,201	)	$	—	$	—		$	—	$	(869,201	)
PIMCO High Yield Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	119,465	$	—		$	—	$	119,465
	Futures Contracts(b)		(242,475	)		—		—			—		(242,475	)
	Swap Contracts(d)		—			—		(75,950	)		—		(75,950	)
	Total Value	$	(242,475	)	$	119,465	$	(75,950	)	$	—	$	(198,960	)
PIMCO Total Return Fund	Forward Foreign Currency Exchange Contracts(a)	$	—		$	2,575,331	$	—		$	—	$	2,575,331
	Futures Contracts(b)		1,918,902			—		—			—		1,918,902
	Purchased Option Contracts(c)		73,757			—		—			—		73,757
	Swap Contracts(d)		2,833,115			—		(5,729,574	)		—		(2,896,459	)
	Written Option Contracts(e)		3,234,191			—		—			—		3,234,191
	Total Value	$	8,059,965		$	2,575,331	$	(5,729,574	)	$	—	$	4,905,722

(a) Statement of Operations location: Change in unrealized appreciation (depreciation) on: Assets and liabilities in foreign currencies (Statement of Operations includes both forward foreign currency exchange contracts and foreign currency transactions).

(b) Statement of Operations location: Change in unrealized appreciation (depreciation) on: Futures.

(c) Statement of Operations location: Change in unrealized appreciation (depreciation) on: Investments.

(d) Statement of Operations location: Change in unrealized appreciation (depreciation) on: Swaps.

(e) Statement of Operations location: Change in unrealized appreciation (depreciation) on: Written options.

a) Swap Agreements

Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated contracts between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

returns at specified, future intervals. Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”). A Fund may enter into credit default, cross-currency, interest rate, total return and other forms of swap agreements to manage its exposure to credit, currency and interest rate risks. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. The amount of collateral posted or received by a Fund, as noted on each applicable Fund’s Portfolio of Investments, is generally subject to certain minimum requirements as determined between the Fund and each counterparty. Cash posted or received is recorded as cash collateral pledged or received from broker on the Statement of Assets and Liabilities.

The value of the OTC swap is adjusted daily based upon quotations from an independent pricing vendor and is recorded as swaps, at value, on the Fund’s Statement of Assets and Liabilities. Daily changes in valuation of centrally cleared swaps, if any, are recorded within variation margin receivable or payable on the Statement of Assets and Liabilities. Changes in market value of swap agreements are recorded as a change in unrealized appreciation or depreciation on the Statement of Operations. Upfront swap premium payments paid or received by the Fund, if any, are disclosed as such on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the OTC swap contracts to compensate for differences between stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap contract. Under the terms of the OTC swap contracts, the Fund receives or makes net periodic payments which are included as part of realized gains or losses on the Fund’s Statement of Operations. Liquidation payments received or made upon termination of the swap contract are recorded as realized gain or loss in the Fund’s Statement of Operations.

Entering into swap agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Fund’s Statement of Operations. Bilaterally negotiated swap agreements are also subject to risks related to the counterparty’s ability to perform, and may decline in value if the counterparty’s creditworthiness deteriorates. A Fund may also suffer losses if it is unable to terminate outstanding swap agreements or reduce its exposure through offsetting transactions. Bilaterally negotiated swap agreements also bear the risk that the Fund will not be able to meet its obligations to the counterparty.

The Funds may enter into certain interest rate, total return and credit default swap contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in a Fund’s net assets below a certain level, which may result in a payment by the Funds for those swaps in a net liability position.

(i) Credit Default Swap Agreements

Certain Funds may enter into credit default swap agreements. A Fund may buy or sell credit default swap contracts to seek to increase the Fund’s income, to provide comparable exposure to fixed income securities that might not be available in primary markets, to add leverage to the portfolio, or to hedge the risk of default on other securities held by the Fund. A credit default swap is a contract between a buyer and a seller of protection against a predefined credit event. As a seller in the credit default swap contract, the Fund would be required to pay the par (or other agreed-upon) value of certain third party debt obligations to the counterparty in the event of a credit event (generally including the occurrence of a bankruptcy, failure to make payments in respect of debt obligations, or debt restructurings) in respect of such third party, such as a U.S. or foreign corporate issuer. Such a payment would likely result in a loss to the Fund. In return, the Fund would receive from the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would keep the stream of payments and would have no payment obligations. The Fund may also buy credit default swap contracts in order to hedge against the risk of default of debt securities or to

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take a view as to the likelihood of default of debt securities. This would involve the risk that the contract may expire worthless if a credit event does not occur during the term of the transaction. It would also involve credit risk that the seller may fail to satisfy its payment obligations to the Fund in the event of a credit event.

Credit default swap agreements on corporate and sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate and sovereign issues to provide a measure of protection against credit events in respect of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of the occurrence of a credit event in respect of a particular issuer.

Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of certain credit events in respect of or default of all or part of the referenced entities comprising the credit index. A credit index is a list or a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. Index credit default swaps that reference asset-backed or mortgage-backed instruments may require payments in the event of a write-down, principal or interest shortfall in respect of the underlying instruments. Index credit default swaps that reference corporate entities or instruments generally include the same credit events that would be contained in a single-name credit default swap on the relevant corporate entity or instruments. An index credit default swap references all the entities in the index, and if there is a credit event, the credit event is settled based on that entity’s weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to buy many individual credit default swaps to achieve a similar effect.

The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement which is disclosed in each Fund’s Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities. At December 31, 2011, PIMCO High Yield Fund and PIMCO Total Return Fund had open credit default swap contracts and were the sellers of protection.

(ii) Interest Rate Swap Agreements

Certain Funds may enter into interest rate swap agreements to manage the interest rate risk inherent in the Fund’s underlying investments such as fixed rate bonds. The value of these bonds may decrease if interest rates rise. In an interest rate swap, the Fund would agree to pay the other party to the interest rate swap (the “counterparty”) a fixed rate payment in exchange for the counterparty agreeing to pay to the Fund a variable rate payment, or the Fund would agree to receive from the counterparty a fixed rate payment in exchange for the counterparty agreeing to receive from the Fund a variable rate payment. The payment obligations would be based on the notional amount of the swap.

As of December 31, 2011, BlackRock Inflation Protected Bond Fund and PIMCO Total Return Fund had open interest rate swap agreements as listed on each Fund’s Portfolio of Investments.

(iii) Total Return Swap Agreements

Certain Funds may enter into total return swap agreements to obtain exposure to a security or market without owning or taking physical custody of such security or investing directly in such market. Total return swap

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agreements are contracts in which one party agrees to make periodic payments to another party based on the change in market value of the assets underlying the contract, which may include a specified security, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or variable interest rate or the total return from other underlying assets. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.

As of December 31, 2011, only BlackRock Inflation Protected Bond Fund had outstanding total return swap agreements as listed on the Fund’s Portfolio of Investments.

b) Forward Foreign Currency Exchange and Spot Contracts

Certain Funds may engage in forward foreign currency exchange and spot contracts in an effort to enhance total return, to facilitate transactions in foreign securities and to reduce exposure to foreign currency exchange rates. Forward foreign currency exchange contracts are agreements to purchase or sell a specified currency on a specified future date at a price set at the time of the contract. The use of forward foreign currency exchange and spot contracts does not eliminate fluctuations in the underlying prices of the Fund’s securities, but it does establish a rate of exchange on a particular date. When a contract is used to hedge against movements in exchange rates, it will limit the risk of loss due to a decline in the value of the hedged currency during the relevant period, but will also limit any potential gain that might result should the value of the currency increase during that period. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Funds may segregate liquid assets to cover their obligations under these contracts.

The value of forward foreign currency exchange contracts is translated into U.S. dollars. The change in market values of forward foreign currency exchange contracts is recorded as unrealized appreciation (depreciation) on forward foreign currency exchange contracts on the Fund’s Statement of Assets and Liabilities. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed which is included in realized gain/(loss) on foreign currency related transactions on the Fund’s Statement of Operations.

As of December 31, 2011, AllianceBernstein International Value Fund, BlackRock Inflation Protected Bond Fund, PIMCO High Yield Fund and PIMCO Total Return Fund had open forward foreign currency exchange contracts as listed on each Fund’s Portfolio of Investments.

c) Futures

Certain Funds may enter into futures contracts. A Fund may enter into futures contracts as a hedge against changes in interest rates or securities prices, for duration management, and return enhancement purposes. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse, regulated and approved by the Commodity Futures Trading Commission, in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (the “settlement date”). Certain risks may arise upon entering into futures contracts, including the risk that an illiquid commodity market will limit the Fund’s ability to close out a futures contract prior to the settlement date and that a change in the value of a futures contract may not correlate exactly with the changes in the value of the securities. The Funds segregate liquid assets or engage in other appropriate measures to cover their obligations under these contracts, as noted on each applicable Fund’s Portfolio of Investments.

Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary an amount (“initial margin”) equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments (“variation margin”) made or received by the Fund are dependent upon the daily fluctuations in the

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value of the underlying contract and are recorded as changes in unrealized gains or losses in the Fund’s Statement of Operations. The value of futures contracts are based upon their quoted settlement prices. Futures contracts involve, to a varying degree, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.

As of December 31, 2011, AllianceBernstein International Value Fund, BlackRock International Index Fund, BlackRock Large Cap Index Fund, BlackRock Small Cap Index Fund, Goldman Sachs Mid Cap Value Fund, BlackRock Inflation Protected Bond Fund, Goldman Sachs Short Duration Fund and PIMCO Total Return Fund had open futures contracts as listed on each Fund’s Portfolio of Investments.

d) Options

Certain Funds may enter into call and put option contracts on 1) securities, futures, commodities, currencies or swaps (“swaptions”) it owns or in which it may invest, 2) inflation floors and 3) forward volatility agreements. The Fund may enter into option contracts in order to hedge against potential adverse price movements in the value of portfolio investments; as a temporary substitute for purchasing or selling selected investments; to lock in the purchase price of a security or currency which it expects to purchase in the near future; or to enhance total return. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (a “call option”), or sell to (a “put option”) the writer a designated instrument at a specified price within a specified period of time. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instruments. Swaptions are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying the right to enter into a previously agreed upon swap agreement at any time before or upon the expiration of the option. Certain options will require cash settlement by the Fund if the option is exercised. An inflation floor option can be used to give downside protection to investments in inflation-linked products. A forward volatility agreement option hedges against the amount of volatility of an underlying instrument’s value, rate, or movement of a related index.

Certain risks may arise upon entering into option contracts including the risk that an illiquid secondary market will limit the Fund’s ability to close out an option contract prior to the expiration date and that a change in the value of the option contract may not correlate exactly with changes in the value of the securities or currencies hedged. The Fund’s maximum exposure to purchased options is limited to the premium initially paid. If a Fund writes a put option, it accepts the risk of a decline in the value of the underlying security below the exercise price. OTC purchased options have the risk of the potential inability of counterparties to meet the terms of their contracts. The Funds may segregate liquid assets to cover their obligations under written option contracts.

The Fund pays a premium as cost for a purchased put or call option, which is disclosed in the Fund’s Portfolio of Investments and subsequently marked to market to reflect the current value of the option. When a Fund writes an inflation cap and a call or put option, an amount equal to the premium received is recorded as a liability on the Statement of Assets and Liabilities and subsequently marked to market to reflect the current value of the option written. Certain forward volatility agreements may be written with premiums on the underlying instruments to be determined on a future date, based upon implied volatility parameters at specified terms. Realized gain or loss is recognized on the Fund’s Statement of Operations when the option contract expires or is closed.

As of December 31, 2011, BlackRock Inflation Protected Bond Fund and PIMCO Total Return Fund had open purchased option, written options and swaptions, and the PIMCO Total Return Fund had open inflation floor contracts as listed on each Fund’s Portfolio of Investments.

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Transactions in all types of options written during the year ended December 31, 2011, as applicable, were as follows:

BlackRock Inflation Protected Bond Fund	Number of Contracts			Notional Par			Premium Amount
Beginning of period		—		$	31,400,000		$	1,282,390
Written		1,523			224,000,000			3,110,401
Bought back		(641	)		(9,000,000	)		(800,986	)
Expired		(552	)		(179,700,000	)		(1,345,098	)
Exercised		(259	)		(15,700,000	)		(814,774	)
End of period		71		$	51,000,000		$	1,431,933

PIMCO Total Return Fund	Number of Contracts			Notional Par			Premium Amount
Beginning of period		368		$	190,700,000		$	1,879,431
Written		635			577,600,000			3,124,469
Bought back		(642	)		(119,700,000	)		(621,542	)
Expired		(280	)		(173,100,000	)		(885,513	)
Exercised		—			(42,100,000	)		(370,911	)
End of period		81		$	433,400,000		$	3,125,934

6. INVESTMENT ADVISORY AND OTHER RELATED PARTY AGREEMENTS

a) Investment Advisory Agreement

Sun Capital (the “Adviser”) is the investment adviser to each of the Funds under separate investment advisory or investment advisory and management agreements with the Trust. Sun Life Financial, a publicly traded holding company, is the ultimate parent of the Adviser. The Adviser, at its own cost, has retained AllianceBernstein L.P., as subadviser for the AllianceBernstein International Value Fund; BlackRock Investment Management, LLC, as subadviser for the BlackRock International Index Fund, BlackRock Large Cap Index Fund and BlackRock Small Cap Index Fund; BlackRock Financial Management, Inc., as subadviser for the BlackRock Inflation Protected Bond Fund; Goldman Sachs Asset Management, L.P., as subadviser for the Goldman Sachs Mid Cap Value Fund and Goldman Sachs Short Duration Fund; Columbia Management Investment Advisers, LLC, as subadviser for the Columbia Small Cap Value Fund; Davis Selected Advisers, L.P., as subadviser for the Davis Venture Value Fund; Invesco Advisers, Inc., as subadviser for the Invesco Small Cap Growth Fund; Lord, Abbett & Co. LLC, as subadviser for the Lord Abbett Growth & Income Fund; Wellington Management Company, LLP, as subadviser for the WMC Blue Chip Mid Cap Fund and WMC Large Cap Growth Fund; Ibbotson Associates, Inc., as subadviser for the Ibbotson Tactical Opportunities Fund, Ibbotson Balanced Fund, Ibbotson Conservative Fund, and Ibbotson Growth Fund; and Pacific Investment Management Company LLC, as subadviser for the PIMCO High Yield Fund and PIMCO Total Return Fund. Effective May 1, 2011, MFS was appointed as subadviser for the Global Real Estate Fund. There was no change to the Fund’s name, investment goal or investment strategy as a result of this change.

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

As compensation for all services rendered, facilities provided and expenses paid or assumed by the Adviser under the investment advisory agreements, each of the following sixteen Funds pays an advisory fee monthly to the Adviser at the following annual rates based on the average daily net assets of the Fund.

Fund	Asset Level	Fee
AllianceBernstein International Value Fund	All		0.63%
BlackRock International Index Fund	$0-$500 million over $500 million		0.40% 0.375%
BlackRock Large Cap Index Fund	$0-$500 million over $500 million		0.35% 0.325%
BlackRock Small Cap Index Fund	$0-$500 million over $500 million		0.375% 0.35%
Columbia Small Cap Value Fund	$0-$250 million over $250 million		0.90% 0.85%
Davis Venture Value Fund	$0-$500 million over $500 million		0.75% 0.70%
Invesco Small Cap Growth Fund	$0-$250 million over $250 million		0.95% 0.90%
WMC Blue Chip Mid Cap Fund	$0-$300 million over $300 million		0.80% 0.75%
WMC Large Cap Growth Fund	$0-$750 million over $750 million		0.75% 0.70%
Global Real Estate Fund	All		0.95%
Ibbotson Tactical Opportunities Fund	$0-$250 million $250 million-$500 million $500 million-$750 million $750 million-$1billion over $1 billion		0.375% 0.36% 0.34% 0.32% 0.30%
Investment Grade Bond Fund	All		0.60%
Money Market Fund	All		0.50%
Ibbotson Balanced Fund	All		0.125%
Ibbotson Conservative Fund	All		0.125%
Ibbotson Growth Fund	All		0.125%

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Under the investment advisory and management agreements, each of the following six Funds pays a unified management fee to the Adviser on a monthly basis for its advisory and management services. Out of each Fund’s unified management fee, the Adviser pays for all of the ordinary expenses of managing and operating the Fund. Each fee is calculated based on the annual stated percentage of average daily net assets for the Fund, as follows:

Fund	Asset Level	Fee
Goldman Sachs Mid Cap Value Fund	All		1.05%
Lord Abbett Growth & Income Fund	All		0.87%
BlackRock Inflation Protected Bond Fund	All		0.65%
Goldman Sachs Short Duration Fund	All		0.64%
PIMCO High Yield Fund	All		0.74%
PIMCO Total Return Fund	All		0.65%

b) Contractual Expense Limitations

i) Funds with investment advisory agreements

For the sixteen Funds that have investment advisory agreements, the Adviser has contractually agreed (until at least April 30, 2013) not to impose all or a portion of its advisory fee and to reimburse other operating expenses to reduce each Fund’s total annual operating expenses as a percentage of average daily net assets to:

	Contractual Expense Limitations
Fund	Initial Class			Service Class
AllianceBernstein International Value Fund		0.75	%		1.00	%
BlackRock International Index Fund		0.60	%		0.85	%
BlackRock Large Cap Index Fund		0.50	%		0.75	%
BlackRock Small Cap Index Fund		0.60	%		0.85	%
Columbia Small Cap Value Fund		1.15	%		1.40	%
Davis Venture Value Fund		0.90	%		1.15	%
Invesco Small Cap Growth Fund		1.15	%		1.40	%
WMC Blue Chip Mid Cap Fund		1.00	%		1.25	%
WMC Large Cap Growth Fund*		0.90	%		1.15	%
Global Real Estate Fund**		1.05	%		1.30	%
Ibbotson Tactical Opportunities Fund		0.50	%		N/A
Investment Grade Bond Fund		0.75	%		1.00	%
Money Market Fund		0.50	%		0.75	%
Ibbotson Balanced Fund		0.20	%		0.45	%
Ibbotson Conservative Fund		0.20	%		0.45	%
Ibbotson Growth Fund		0.20	%		0.45	%

* Prior to May 1, 2011 the expense limitations for the WMC Large Cap Growth Fund were 0.81% and 1.06% for Initial Class and Service Class, respectively.

** The current expense limitations for Global Real Estate Fund went into effect on November 1, 2011. Prior to that, the expense limitations for the Global Real Estate Fund were 1.10% and 1.35% for Initial Class and Service Class, respectively.

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Effective May 1, 2011, the expense limits do not apply to the following categories of expenses: (i) compensation of the Trust’s independent trustees and expenses incurred in the performance of their duties; (ii) legal fees and expenses of counsel to the independent trustees; (iii) premiums for liability insurance dedicated to the independent trustees; (iv) expenses related to the electronic preparation, delivery or use of materials for meetings of the board of trustees; (v) expenses associated with obtaining data from third parties for the independent trustees’ use; and (vi) such other expenses as are determined to be extraordinary expenses by the independent trustees. Prior to May 1, 2011, these categories of expenses were covered by the expense limitations applicable to these Funds.

To the extent that one of these Fund’s total expense ratio falls below the expense limit stated above in future years, the Adviser reserves the right to be reimbursed for advisory fees waived and fund expenses paid on behalf of the Fund during the prior two fiscal years.

For each of the periods below, the Adviser waived all or part of its advisory fee and reimbursed certain operating expenses in the following amounts:

	Year Ended December 31, 2011				Two-year period ended December 31, 2011
Fund	Advisory Fees Waived		Expenses Reimbursed		Advisory Fees Waived			Expenses Reimbursed
AllianceBernstein International Value Fund	$	177,024	$	—	$	402,207		$	—
BlackRock International Index Fund		262,149		162,553		288,539	*		247,176	*
BlackRock Large Cap Index Fund		66,395		—		78,457			—
BlackRock Small Cap Index Fund		175,243		—		242,406			—
Columbia Small Cap Value Fund		50,472		—		177,269			—
Davis Venture Value Fund		—		—		—			—
Invesco Small Cap Growth Fund		78,373		—		194,909			—
WMC Blue Chip Mid Cap Fund		—		—		—			—
WMC Large Cap Growth Fund		56,766		—		266,928			—
Global Real Estate Fund		134,073		—		169,289			—
Ibbotson Tactical Opportunities Fund		—		—		52,556	*		—	*
Investment Grade Bond Fund		—		—		—			—
Money Market Fund**		1,007,486		432,207		1,992,753			756,084
Ibbotson Balanced Fund		—		—		81,277			—
Ibbotson Conservative Fund		—		—		101,185			—
Ibbotson Growth Fund		30,539		—		136,249			—

* For the period November 15, 2010 (commencement of operations) to December 31, 2011.

** In addition to the contractual expense limitations described above, the Adviser has provided additional support to the Money Market Fund in order to avoid a negative yield by voluntarily increasing the amount of advisory fees waived and expenses reimbursed by the Adviser for the Fund. Of the total amounts of advisory fees waived by the Adviser, as shown in the table above, $722,912 were voluntarily waived for the year ended 2011 and $1,390,308 were voluntarily waived for the two years ended December 31, 2011. Of the amounts of expenses reimbursed by the Adviser, as shown in the table above, $432,207 were voluntarily reimbursed for the year ended December 31, 2011 and $756,084 were voluntarily reimbursed for the two years December 31, 2011.

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

ii) Funds with investment advisory and management agreements

For the six Funds that have investment advisory and management agreements, the Adviser contractually agreed until April 30, 2011 not to impose all or a portion of its unified fee and to reimburse other operating expenses to reduce each Fund’s total annual operating expenses to:

	Contractual Expense Limitations
Fund	Initial Class			Service Class
Goldman Sachs Mid Cap Value Fund		1.07	%		1.32	%
Lord Abbett Growth & Income Fund		0.87	%		1.12	%
BlackRock Inflation Protected Bond Fund		0.65	%		0.90	%
Goldman Sachs Short Duration Fund		0.65	%		0.90	%
PIMCO High Yield Fund		0.75	%		1.00	%
PIMCO Total Return Fund		0.65	%		0.90	%

Effective May 1, 2011, there were no expense limits applicable to these six Funds. However, to the extent that, during either of the two succeeding years, one of these Fund’s total expense ratio falls below the expense limit previously in place, the Adviser reserves the right to be reimbursed for unified fees waived and fund expenses paid on behalf of the Fund under the previous expense limitation.

For each of the periods below, the Adviser waived all or part of its unified fee and reimbursed certain operating expenses in the following amounts:

	Year Ended December 31, 2011				Two-year period ended December 31, 2011
Fund	Advisory Fees  Waived		Expenses Reimbursed		Advisory Fees Waived		Expenses Reimbursed
Goldman Sachs Mid Cap Value Fund	$	—	$	—	$	—	$	—
Lord Abbett Growth & Income Fund		14,104		—		50,510		—
BlackRock Inflation Protected Bond Fund		10,675		—		29,694		—
Goldman Sachs Short Duration Fund		—		—		—		—
PIMCO High Yield Fund		—		—		—		—
PIMCO Total Return Fund		21,566		—		60,735		—

c) Distribution and Service Plan

The Trust has adopted a plan of distribution and service pursuant to Rule 12b-1 under the 1940 Act with respect to its Service Class Shares (the “Plan”), pursuant to which distribution and service fees are paid to the Trust’s underwriter, Clarendon Insurance Agency, Inc. (“Clarendon”), which is a wholly-owned subsidiary of Sun Life (U.S.). The fees payable by the Trust to Clarendon under the Plan are accrued daily at a rate with respect to each Fund which may not exceed 0.25% of the Fund’s average daily net assets attributable to Service Class Shares regardless of the level of expenses actually incurred by Clarendon and others. Clarendon uses the service and distribution fees to compensate Sun Life (U.S.) and Sun Life (N.Y.) for services rendered in connection with maintenance and distribution of the variable contracts issued by Sun Life (U.S.) and Sun Life (N.Y.).

d) Trustees’ Compensation

Each independent trustee of the Trust is compensated by the Funds. The aggregate remuneration accrued by the Funds to the independent trustees for the year ended December 31, 2011 was $436,506, including out of pocket expenses. The Trust pays no compensation directly to those of its Trustees or officers who are affiliated with the

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

Adviser, or its affiliates, all of whom receive remuneration for their services to the Trust from the Adviser, or its affiliates. Certain officers and Trustees of the Trust are also officers and directors of the Adviser, and/or other companies affiliated with the Adviser.

7. INVESTMENT TRANSACTIONS

Cost of purchases and proceeds from sales and maturities of investments, excluding short-term securities, for the year ended December 31, 2011, were as follows:

Fund	Non- Government Purchases			Government Purchases		Non- Government Sales			Government Sales
AllianceBernstein International Value Fund	$	51,412,337		$	—	$	36,915,345		$	—
BlackRock International Index Fund		29,143,650			—		1,760,886			—
BlackRock Large Cap Index Fund		56,422,798			—		2,246,086			—
BlackRock Small Cap Index Fund		91,962,305			—		68,875,050			—
Goldman Sachs Mid Cap Value Fund		130,743,935			—		166,953,227			—
Columbia Small Cap Value Fund		31,003,526			—		31,379,695			—
Davis Venture Value Fund		63,888,323			—		76,244,499			—
Invesco Small Cap Growth Fund		24,271,141			—		12,715,981			—
Lord Abbett Growth & Income Fund		343,819,830			—		413,867,234			—
WMC Blue Chip Mid Cap Fund		153,777,545			—		122,800,449			—
WMC Large Cap Growth Fund		128,580,258			—		111,721,824			—
Global Real Estate Fund		63,085,013			—		86,560,541			—
Ibbotson Tactical Opportunities Fund		1,001,227,490			—		843,824,392			—
Investment Grade Bond Fund**		262,892,270			222,198,757		288,720,770			117,638,266
BlackRock Inflation Protected Bond Fund		261,854,397			1,701,811,861		210,281,033			1,616,799,060
Goldman Sachs Short Duration Fund		417,082,575			1,444,879,591		258,686,161			1,496,095,672
PIMCO High Yield Fund		59,184,001			—		64,917,308			—
PIMCO Total Return Fund		372,742,829			4,886,562,076		111,646,399			4,766,185,945
Ibbotson Balanced Fund		644,801,829	*		—		115,643,526	*		—
Ibbotson Conservative Fund		284,636,517	*		—		61,154,669	*		—
Ibbotson Growth Fund		101,499,146	*		—		93,176,335	*		—

* Affiliated investment transactions.

** Amounts exclude mortgage dollar roll transactions.

Purchases and sales, including maturities, of short-term securities by the Money Market Fund for the year ended December 31, 2011 were $2,300,586,341 and $2,263,743,229, respectively.

8. AFFILIATED COMPANY SECURITIES

The term “affiliated securities” includes securities issued by any company that is under common control with the Fund. At December 31, 2011, the Adviser or its affiliate, MFS, served as investment adviser to the underlying funds of Ibbotson Balanced Fund, Ibbotson Conservative Fund and Ibbotson Growth Fund. Purchases and proceeds from sales of affiliated investments are disclosed in Note 7 – Investment Transactions. Dividend and capital gains distributions from affiliated underlying funds are presented in each Fund’s Statement of Operations. Underlying funds managed by MFS seek to achieve capital appreciation by investing primarily in U.S. and foreign equity securities, including those in emerging markets.

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NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

9. LINE OF CREDIT

The Trust has entered into a $20 million committed unsecured revolving line of credit (the “Agreement”) primarily for temporary or emergency purposes. The Money Market Fund is not a party to this Agreement. Interest is charged to each Fund based on its borrowings at a rate equal to a variable lending rate. In addition, a commitment fee on the daily unused portion of the $20 million committed line is allocated among the participating Funds based on net assets at the end of each calendar quarter. During the year ended December 31, 2011, the following Funds had borrowings and incurred commitment fees under this Agreement as follows:

Fund	Maximum Loan		Average Daily Amount of Loan		Weighted Average Interest Rate			Commitment Fee
AllianceBernstein International Value Fund	$	948,000	$	15,132		1.42	%	$	225
BlackRock International Index Fund		—		—		—			233
BlackRock Large Cap Index Fund		75,000		205		1.48			381
BlackRock Small Cap Index Fund		290,000		795		1.15			582
Goldman Sachs Mid Cap Value Fund		—		—		—			866
Columbia Small Cap Value Fund		541,000		1,482		1.39			190
Davis Venture Value Fund		—		—		—			1,182
Invesco Small Cap Growth Fund		175,000		2,573		1.40			126
Lord Abbett Growth & Income Fund		5,030,000		33,074		1.44			1,681
WMC Blue Chip Mid Cap Fund		—		—		—			563
WMC Large Cap Growth Fund		158,000		663		1.50			568
Global Real Estate Fund		1,851,000		14,852		1.44			685
Ibbotson Tactical Opportunities Fund		802,000		2,389		1.40			1,975
Investment Grade Bond Fund		3,295,000		9,027		1.39			1,346
BlackRock Inflation Protected Bond Fund		—		—		—			1,476
Goldman Sachs Short Duration Fund		—		—		—			3,816
PIMCO High Yield Fund		—		—		—			571
PIMCO Total Return Fund		5,879,000		51,005		1.38			2,822
Ibbotson Balanced Fund		10,855,000		81,915		1.39			5,496
Ibbotson Conservative Fund		12,581,000		169,537		1.46			2,708
Ibbotson Growth Fund		2,906,000		186,027		1.40			1,763

As of December 31, 2011, Ibbotson Growth Fund had an open borrowing under this agreement of $30,000 as noted on the Fund’s Statement of Assets and Liabilities.

344

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

10. SHARE TRANSACTIONS

Each of the Funds is authorized to issue an unlimited number of shares without par value. Transactions in classes of each Fund were as follows:

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
AllianceBernstein International Value Fund (shares)
Shares sold		2,433,734			3,567,009			222,733			174,698
Shares issued as reinvestment of distributions		825,678			133,237			38,027			4,490
Shares redeemed		(1,366,252	)		(2,340,618	)		(79,238	)		(45,024	)
Net increase (decrease) in shares outstanding		1,893,160			1,359,628			181,522			134,164
Beginning of period		7,037,858			5,678,230			303,944			169,780
End of period		8,931,018			7,037,858			485,466			303,944
AllianceBernstein International Value Fund ($)
Net proceeds from sales	$	22,612,526		$	33,291,819		$	2,149,254		$	1,643,105
Net proceeds on reinvestment of distributions		6,316,435			1,248,432			290,529			41,984
Shares redeemed		(11,245,051	)		(23,253,856	)		(737,196	)		(423,210	)
Net increase (decrease) in net assets	$	17,683,910		$	11,286,395		$	1,702,587		$	1,261,879
BlackRock International Index Fund (shares)(a)
Shares sold		2,292,818			5,277,325			552,244			24,602
Shares issued as reinvestment of distributions		4,558			—			108			—
Shares redeemed		(151,353	)		(11,775	)		(39,989	)		—
Net increase (decrease) in shares outstanding		2,146,023			5,265,550			512,363			24,602
Beginning of period		5,265,551			1			24,603			1
End of period		7,411,574			5,265,551			536,966			24,603
BlackRock International Index Fund ($)(a)
Net proceeds from sales	$	22,596,525		$	52,817,033		$	5,361,183		$	246,073
Net proceeds on reinvestment of distributions		40,980			—			971			—
Shares redeemed		(1,554,527	)		(119,468	)		(407,750	)		—
Net increase (decrease) in net assets	$	21,082,978		$	52,697,565		$	4,954,404		$	246,073
BlackRock Large Cap Index Fund (shares)
Shares sold		4,708,128			5,938,764			1,624,483			528,690
Shares issued as reinvestment of distributions		2,092,952			26,219			348,342			2,941
Shares redeemed		(249,436	)		(5,116,303	)		(356,764	)		(253,110	)
Net increase (decrease) in shares outstanding		6,551,644			848,680			1,616,061			278,521
Beginning of period		9,630,076			8,781,396			1,701,470			1,422,949
End of period		16,181,720			9,630,076			3,317,531			1,701,470

345

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
BlackRock Large Cap Index Fund ($)
Net proceeds from sales	$	44,275,010		$	48,839,087		$	14,792,580		$	4,570,334
Net proceeds on reinvestment of distributions		16,241,309			216,837			2,776,285			24,908
Shares redeemed		(2,288,402	)		(45,548,229	)		(3,261,328	)		(2,190,527	)
Net increase (decrease) in net assets	$	58,227,917		$	3,507,695		$	14,307,537		$	2,404,715
BlackRock Small Cap Index Fund (shares)
Shares sold		4,528,871			491,327			1,037,265			694,478
Shares issued as reinvestment of distributions		28,564			14,108			25,701			14,319
Shares redeemed		(2,295,481	)		(1,644,466	)		(1,921,719	)		(3,188,604	)
Net increase (decrease) in shares outstanding		2,261,954			(1,139,031	)		(858,753	)		(2,479,807	)
Beginning of period		3,485,955			4,624,986			10,424,636			12,904,443
End of period		5,747,909			3,485,955			9,565,883			10,424,636
BlackRock Small Cap Index Fund ($)
Net proceeds from sales	$	60,773,741		$	5,730,919		$	12,292,217		$	7,538,234
Net proceeds on reinvestment of distributions		336,194			155,615			298,646			155,938
Shares redeemed		(30,503,469	)		(18,747,647	)		(24,171,492	)		(37,504,292	)
Net increase (decrease) in net assets	$	30,606,466		$	(12,861,113	)	$	(11,580,629	)	$	(29,810,120	)
Goldman Sachs Mid Cap Value Fund (shares)
Shares sold		3,026,010			7,670,260			1,309,707			1,195,388
Shares issued as reinvestment of distributions		2,795,523			677,522			383,628			65,091
Shares redeemed		(7,824,114	)		(6,401,931	)		(1,041,972	)		(789,814	)
Net increase (decrease) in shares outstanding		(2,002,581	)		1,945,851			651,363			470,665
Beginning of period		25,951,851			24,006,000			2,829,735			2,359,070
End of period		23,949,270			25,951,851			3,481,098			2,829,735
Goldman Sachs Mid Cap Value Fund ($)
Net proceeds from sales	$	28,898,092		$	64,672,510		$	12,592,127		$	10,142,051
Net proceeds on reinvestment of distributions		23,007,157			5,643,760			3,145,747			540,908
Shares redeemed		(73,195,153	)		(55,491,591	)		(9,291,061	)		(6,692,821	)
Net increase (decrease) in net assets	$	(21,289,904	)	$	14,824,679		$	6,446,813		$	3,990,138
Columbia Small Cap Value Fund (shares)
Shares sold		1,070,411			1,544,629			370,217			569,073
Shares issued as reinvestment of distributions		1,108,516			377,528			285,030			87,398
Shares redeemed		(1,268,260	)		(900,177	)		(331,516	)		(229,432	)
Net increase (decrease) in shares outstanding		910,667			1,021,980			323,731			427,039
Beginning of period		4,364,205			3,342,225			1,103,042			676,003
End of period		5,274,872			4,364,205			1,426,773			1,103,042

346

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Columbia Small Cap Value Fund ($)
Net proceeds from sales	$	11,602,071		$	16,293,217		$	3,745,370		$	5,846,228
Net proceeds on reinvestment of distributions		8,657,513			3,503,453			2,220,385			809,308
Shares redeemed		(12,572,714	)		(9,044,675	)		(3,352,711	)		(2,425,175	)
Net increase (decrease) in net assets	$	7,686,870		$	10,751,995		$	2,613,044		$	4,230,361
Davis Venture Value Fund (shares)
Shares sold		1,586,257			7,288,612			1,432,124			2,157,750
Shares issued as reinvestment of distributions		811,263			96,261			1,209,640			54,826
Shares redeemed		(1,715,501	)		(8,039,035	)		(2,862,667	)		(2,060,829	)
Net increase (decrease) in shares outstanding		682,019			(654,162	)		(220,903	)		151,747
Beginning of period		13,055,113			13,709,275			22,092,489			21,940,742
End of period		13,737,132			13,055,113			21,871,586			22,092,489
Davis Venture Value Fund ($)
Net proceeds from sales	$	18,862,490		$	78,342,507		$	16,142,519		$	23,219,248
Net proceeds on reinvestment of distributions		8,510,153			1,027,110			12,664,935			583,899
Shares redeemed		(19,028,388	)		(90,371,562	)		(32,659,049	)		(23,109,538	)
Net increase (decrease) in net assets	$	8,344,255		$	(11,001,945	)	$	(3,851,595	)	$	693,609
Invesco Small Cap Growth Fund (shares)
Shares sold		956,223			495,380			726,028			438,169
Shares issued as reinvestment of distributions		91,708			157,640			44,464			77,408
Shares redeemed		(184,169	)		(158,170	)		(483,901	)		(214,999	)
Net increase (decrease) in shares outstanding		863,762			494,850			286,591			300,578
Beginning of period		1,862,063			1,367,213			979,627			679,049
End of period		2,725,825			1,862,063			1,266,218			979,627
Invesco Small Cap Growth Fund ($)
Net proceeds from sales	$	11,170,544		$	4,927,667		$	8,257,811		$	4,326,592
Net proceeds on reinvestment of distributions		940,924			1,478,663			452,649			722,220
Shares redeemed		(2,059,866	)		(1,570,015	)		(4,994,153	)		(2,176,690	)
Net increase (decrease) in net assets	$	10,051,602		$	4,836,315		$	3,716,307		$	2,872,122
Lord Abbett Growth & Income Fund (shares)
Shares sold		4,720,773			11,085,638			542,432			760,127
Shares issued as reinvestment of distributions		13,252,812			2,990,839			408,822			69,848
Shares redeemed		(14,883,223	)		(15,813,249	)		(253,743	)		(449,032	)
Net increase (decrease) in shares outstanding		3,090,362			(1,736,772	)		697,511			380,943
Beginning of period		64,561,760			66,298,532			1,635,070			1,254,127
End of period		67,652,122			64,561,760			2,332,581			1,635,070

347

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Lord Abbett Growth & Income Fund ($)
Net proceeds from sales	$	36,518,513		$	81,259,922		$	4,147,977		$	6,035,253
Net proceeds on reinvestment of distributions		82,299,961			22,281,747			2,526,519			518,969
Shares redeemed		(116,619,910	)		(124,677,960	)		(1,915,451	)		(3,470,534	)
Net increase (decrease) in net assets	$	2,198,564		$	(21,136,291	)	$	4,759,045		$	3,083,688
WMC Blue Chip Mid Cap Fund (shares)
Shares sold		2,967,702			4,678,564			306,365			263,704
Shares issued as reinvestment of distributions		6,504			4,691			—			—
Shares redeemed		(732,953	)		(2,346,045	)		(468,393	)		(858,621	)
Net increase (decrease) in shares outstanding		2,241,253			2,337,210			(162,028	)		(594,917	)
Beginning of period		8,585,138			6,247,928			2,740,758			3,335,675
End of period		10,826,391			8,585,138			2,578,730			2,740,758
WMC Blue Chip Mid Cap Fund ($)
Net proceeds from sales	$	43,288,339		$	62,074,414		$	4,196,198		$	3,374,448
Net proceeds on reinvestment of distributions		87,870			60,133			—			—
Shares redeemed		(10,738,809	)		(31,559,949	)		(6,759,232	)		(11,493,533	)
Net increase (decrease) in net assets	$	32,637,400		$	30,574,598		$	(2,563,034	)	$	(8,119,085	)
WMC Large Cap Growth Fund (shares)
Shares sold		3,408,644			6,364,356			327,990			415,338
Shares issued as reinvestment of distributions		63,583			65,688			1,406			1,109
Shares redeemed		(1,143,489	)		(7,040,501	)		(487,917	)		(678,065	)
Net increase (decrease) in shares outstanding		2,328,738			(610,457	)		(158,521	)		(261,618	)
Beginning of period		17,740,170			18,350,627			1,946,629			2,208,247
End of period		20,068,908			17,740,170			1,788,108			1,946,629
WMC Large Cap Growth Fund ($)
Net proceeds from sales	$	32,275,994		$	51,480,956		$	3,181,477		$	3,355,349
Net proceeds on reinvestment of distributions		579,237			545,213			12,731			9,148
Shares redeemed		(11,265,680	)		(61,907,003	)		(4,741,542	)		(5,740,631	)
Net increase (decrease) in net assets	$	21,589,551		$	(9,880,834	)	$	(1,547,334	)	$	(2,376,134	)
Global Real Estate Fund (shares)
Shares sold		1,513,230			2,802,255			820,994			755,136
Shares issued as reinvestment of distributions		675,084			1,175,193			731,323			1,176,532
Shares redeemed		(2,966,337	)		(1,750,396	)		(1,979,421	)		(1,968,579	)
Net increase (decrease) in shares outstanding		(778,023	)		2,227,052			(427,104	)		(36,911	)
Beginning of period		9,791,855			7,564,803			11,301,850			11,338,761
End of period		9,013,832			9,791,855			10,874,746			11,301,850

348

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Global Real Estate Fund ($)
Net proceeds from sales	$	16,347,434		$	31,073,659		$	9,161,994		$	9,189,692
Net proceeds on reinvestment of distributions		6,609,071			12,598,073			7,956,792			13,918,369
Shares redeemed		(35,237,113	)		(19,588,315	)		(24,484,254	)		(24,464,186	)
Net increase (decrease) in net assets	$	(12,280,608	)	$	24,083,417		$	(7,365,468	)	$	(1,356,125	)
Ibbotson Tactical Opportunities Fund (shares)(a)
Shares sold		15,006,242			43,300,126
Shares issued as reinvestment of distributions		478,548			—
Shares redeemed		(524,047	)		(1,870	)
Net increase (decrease) in shares outstanding		14,960,743			43,298,256
Beginning of period		43,298,257			1
End of period		58,259,000			43,298,257
Ibbotson Tactical Opportunities Fund ($)(a)
Net proceeds from sales	$	155,432,816		$	434,362,406
Net proceeds on reinvestment of distributions		4,656,276			—
Shares redeemed		(5,645,958	)		(19,650	)
Net increase (decrease) in net assets	$	154,443,134		$	434,342,756
Investment Grade Bond Fund (shares)
Shares sold		6,335,639			14,965,112			5,689,947			6,497,983
Shares issued as reinvestment of distributions		1,503,554			862,977			826,557			353,970
Shares redeemed		(1,651,800	)		(4,833,373	)		(1,538,420	)		(370,097	)
Net increase (decrease) in shares outstanding		6,187,393			10,994,716			4,978,084			6,481,856
Beginning of period		26,101,133			15,106,417			13,520,975			7,039,119
End of period		32,288,526			26,101,133			18,499,059			13,520,975
Investment Grade Bond Fund ($)
Net proceeds from sales	$	60,335,114		$	139,297,497		$	54,683,859		$	61,097,755
Net proceeds on reinvestment of distributions		14,344,531			8,093,261			7,941,108			3,343,693
Shares redeemed		(15,818,010	)		(45,521,961	)		(14,734,450	)		(3,467,580	)
Net increase (decrease) in net assets	$	58,861,635		$	101,868,797		$	47,890,517		$	60,973,868
Money Market Fund (shares)
Shares sold		46,780,506			59,695,332			122,157,700			91,786,435
Shares issued as reinvestment of distributions		100,831			153,247			908			—
Shares redeemed		(50,467,531	)		(80,077,232	)		(81,914,872	)		(89,367,222	)
Net increase (decrease) in shares outstanding		(3,586,194	)		(20,228,653	)		40,243,736			2,419,213
Beginning of period		67,761,305			87,989,958			118,724,302			116,305,089
End of period		64,175,111			67,761,305			158,968,038			118,724,302

349

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Money Market Fund ($)
Net proceeds from sales	$	46,780,506		$	59,695,332		$	122,157,700		$	91,786,435
Net proceeds on reinvestment of distributions		100,831			153,247			908			—
Shares redeemed		(50,467,531	)		(80,077,232	)		(81,914,872	)		(89,367,222	)
Net increase (decrease) in net assets	$	(3,586,194	)	$	(20,228,653	)	$	40,243,736		$	2,419,213
BlackRock Inflation Protected Bond Fund (shares)
Shares sold		4,680,351			10,086,435			11,325,372			8,182,656
Shares issued as reinvestment of distributions		1,131,969			362,109			1,025,365			237,149
Shares redeemed		(2,951,023	)		(272,165	)		(2,731,100	)		(860,104	)
Net increase (decrease) in shares outstanding		2,861,297			10,176,379			9,619,637			7,559,701
Beginning of period		20,456,095			10,279,716			15,201,700			7,641,999
End of period		23,317,392			20,456,095			24,821,337			15,201,700
BlackRock Inflation Protected Bond Fund ($)
Net proceeds from sales	$	50,902,272		$	106,668,556		$	125,017,880		$	86,538,078
Net proceeds on reinvestment of distributions		12,546,138			3,858,520			11,353,131			2,521,522
Shares redeemed		(33,047,091	)		(2,890,510	)		(30,491,309	)		(9,155,496	)
Net increase (decrease) in net assets	$	30,401,319		$	107,636,566		$	105,879,702		$	79,904,104
Goldman Sachs Short Duration Fund (shares)
Shares sold		15,908,758			24,391,949			5,888,081			4,779,074
Shares issued as reinvestment of distributions		1,731,925			1,423,197			269,033			162,967
Shares redeemed		(17,444,173	)		(13,380,910	)		(1,885,476	)		(905,179	)
Net increase (decrease) in shares outstanding		196,510			12,434,236			4,271,638			4,036,862
Beginning of period		97,411,988			84,977,752			14,530,688			10,493,826
End of period		97,608,498			97,411,988			18,802,326			14,530,688
Goldman Sachs Short Duration Fund ($)
Net proceeds from sales	$	163,435,943		$	251,573,909		$	60,641,378		$	49,272,769
Net proceeds on reinvestment of distributions		17,792,879			14,692,322			2,760,453			1,681,008
Shares redeemed		(179,650,509	)		(137,964,965	)		(19,398,543	)		(9,324,889	)
Net increase (decrease) in net assets	$	1,578,313		$	128,301,266		$	44,003,288		$	41,628,888
PIMCO High Yield Fund (shares)
Shares sold		2,594,656			5,534,887			829,386			1,052,578
Shares issued as reinvestment of distributions		1,505,437			965,971			330,542			224,053
Shares redeemed		(4,092,272	)		(1,992,484	)		(1,103,732	)		(606,972	)
Net increase (decrease) in shares outstanding		7,821			4,508,374			56,196			669,659
Beginning of period		14,276,322			9,767,948			3,278,154			2,608,495
End of period		14,284,143			14,276,322			3,334,350			3,278,154

350

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
PIMCO High Yield Fund ($)
Net proceeds from sales	$	25,669,951		$	53,529,410		$	7,977,386		$	10,202,106
Net proceeds on reinvestment of distributions		14,302,880			9,348,921			3,134,275			2,167,856
Shares redeemed		(38,937,056	)		(19,168,429	)		(10,510,062	)		(5,826,715	)
Net increase (decrease) in net assets	$	1,035,775		$	43,709,902		$	601,599		$	6,543,247
PIMCO Total Return Fund (shares)
Shares sold		7,850,320			12,666,177			20,285,661			20,371,783
Shares issued as reinvestment of distributions		1,470,355			521,269			2,734,042			732,251
Shares redeemed		(1,147,012	)		(2,711,374	)		(2,846,857	)		(1,439,317	)
Net increase (decrease) in shares outstanding		8,173,663			10,476,072			20,172,846			19,664,717
Beginning of period		23,592,087			13,116,015			41,744,512			22,079,795
End of period		31,765,750			23,592,087			61,917,358			41,744,512
PIMCO Total Return Fund ($)
Net proceeds from sales	$	90,554,042		$	145,027,137		$	234,551,155		$	234,001,284
Net proceeds on reinvestment of distributions		16,870,523			6,056,776			31,348,295			8,508,993
Shares redeemed		(13,441,861	)		(31,454,819	)		(32,670,793	)		(16,495,450	)
Net increase (decrease) in net assets	$	93,982,704		$	119,629,094		$	233,228,657		$	226,014,827
Ibbotson Balanced Fund (shares)
Shares sold		154,218			137,449			37,829,990			65,391,657
Shares issued as reinvestment of distributions		11,049			2,104			6,858,700			1,396,512
Shares redeemed		(30,117	)		(42,608	)		(1,905,774	)		(421,503	)
Net increase (decrease) in shares outstanding		135,150			96,945			42,782,916			66,366,666
Beginning of period		136,395			39,450			116,921,927			50,555,261
End of period		271,545			136,395			159,704,843			116,921,927
Ibbotson Balanced Fund ($)
Net proceeds from sales	$	1,894,501		$	1,590,393		$	469,165,299		$	752,725,659
Net proceeds on reinvestment of distributions		125,848			24,152			78,052,004			16,017,993
Shares redeemed		(372,552	)		(495,419	)		(22,486,006	)		(4,746,985	)
Net increase (decrease) in net assets	$	1,647,797		$	1,119,126		$	524,731,297		$	763,996,667
Ibbotson Conservative Fund (shares)
Shares sold		72,367			301,852			18,518,405			31,046,199
Shares issued as reinvestment of distributions		17,084			4,356			2,665,459			999,109
Shares redeemed		(37,926	)		(33,787	)		(2,994,860	)		(1,194,488	)
Net increase (decrease) in shares outstanding		51,525			272,421			18,189,004			30,850,820
Beginning of period		428,576			156,155			64,200,943			33,350,123
End of period		480,101			428,576			82,389,947			64,200,943

351

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

	Initial Class Shares						Service Class Shares
	Year Ended December 31, 2011			Year Ended December 31, 2010			Year Ended December 31, 2011			Year Ended December 31, 2010
Ibbotson Conservative Fund ($)
Net proceeds from sales	$	852,853		$	3,469,227		$	218,300,396		$	347,920,672
Net proceeds on reinvestment of distributions		192,533			48,832			30,039,728			11,210,004
Shares redeemed		(454,244	)		(384,667	)		(35,301,578	)		(13,622,703	)
Net increase (decrease) in net assets	$	591,142		$	3,133,392		$	213,038,546		$	345,507,973
Ibbotson Growth Fund (shares)
Shares sold		69,640			129,754			2,819,137			9,249,698
Shares issued as reinvestment of distributions		20,101			2,641			5,542,817			1,115,174
Shares redeemed		(19,050	)		(28,749	)		(4,545,696	)		(3,020,369	)
Net increase (decrease) in shares outstanding		70,691			103,646			3,816,258			7,344,503
Beginning of period		129,592			25,946			47,227,759			39,883,256
End of period		200,283			129,592			51,044,017			47,227,759
Ibbotson Growth Fund ($)
Net proceeds from sales	$	833,315		$	1,499,274		$	35,152,154		$	105,424,712
Net proceeds on reinvestment of distributions		210,455			29,899			58,033,291			12,634,921
Shares redeemed		(222,662	)		(334,194	)		(54,921,078	)		(34,737,536	)
Net increase (decrease) in net assets	$	821,108		$	1,194,979		$	38,264,367		$	83,322,097

(a) The BlackRock International Index Fund and the Ibbotson Tactical Opportunities Fund commenced operations on November 15, 2010 and share activity presented for the year ended December 31, 2010 is for the period November 15, 2010 to December 31, 2010.

11. FEDERAL INCOME TAX INFORMATION

Each Fund is treated as a separate entity for Federal tax purposes. Each Fund intends to elect or has elected to be treated and intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended (“the Code”). By so qualifying, the Funds will not be subject to Federal income taxes to the extent that they distribute all of their taxable income, including realized capital gains, for the fiscal year. In addition, by distributing during each calendar year substantially all of their net investment income, capital gains and certain other amounts, if any, the Funds will not be subject to a Federal excise tax. As a result, no provision for income taxes is required.

There are no unrecognized tax benefits in the accompanying financial statements in connection with the tax positions taken by each Fund. Each of the Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. The statute of limitations on the Funds’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to treatment of derivatives, distributions received from REIT securities, currency gain (loss), Passive Foreign Investment Companies, capital loss carryforwards, and losses deferred due to wash sales.

352

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

As of December 31, 2011, the components of distributable earnings on a tax basis were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Net Unrealized Appreciation/ (Depreciation)
AllianceBernstein International Value Fund	$	1,963,758	$	—	$	(7,293,364	)
BlackRock International Index Fund		1,770,389		—		(8,556,846	)
BlackRock Large Cap Index Fund		2,033,903		—		5,776,014
BlackRock Small Cap Index Fund		6,457,764		3,087,484		(5,264,789	)
Goldman Sachs Mid Cap Value Fund		7,472,438		25,357,634		32,515,719
Columbia Small Cap Value Fund…		1,133,499		906,628		(2,615,255	)
Davis Venture Value Fund		2,159,744		16,698,960		43,791,437
Invesco Small Cap Growth Fund		—		1,556,677		3,242,385
Lord Abbett Growth & Income Fund		5,698,891		79,210,202		16,121,710
WMC Blue Chip Mid Cap Fund		325,477		12,535,986		283,323
WMC Large Cap Growth Fund		1,283,612		14,793,175		9,652,571
Global Real Estate Fund		1,802,860		—		5,025,017
Ibbotson Tactical Opportunities Fund		5,583,870		—		1,349,139
Investment Grade Bond Fund		4,576,747		5,880,091		7,759,140
Money Market Fund		458		—		—
BlackRock Inflation Protected Bond Fund		32,172,999		3,989,854		4,108,260
Goldman Sachs Short Duration Fund		—		—		6,983,551
PIMCO High Yield Fund		1,012,579		4,793,674		2,928,450
PIMCO Total Return Fund		5,304,114		2,002,751		6,454,466
Ibbotson Balanced Fund		45,907,971		48,386,010		(28,286,013	)
Ibbotson Conservative Fund		25,983,853		26,699,430		9,220,715
Ibbotson Growth Fund		13,609,555		26,100,926		166,774

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. Effective for taxable years beginning after December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) changed the capital loss carryforward rules. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2011, the following Funds had post-enactment accumulated capital loss carryovers which can be used to offset certain future realized capital gains.

Fund	Short-Term Capital Gains		Long-Term Capital Gains
AllianceBernstein International Value Fund	$	1,533,751	$	864,230
BlackRock International Index Fund		—		63,690
BlackRock Large Cap Index Fund		102,763		295,624
Ibbotson Tactical Opportunities Fund		23,232,439		—
Goldman Sachs Short Duration Fund		346,726		3,712,339

353

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

At December 31, 2011, the following Fund had pre-enactment accumulated capital loss carryover, subject to the eight-year carryforward period and possible expiration:

Fund	Expires December 31, 2017
Global Real Estate Fund	$	70,100,734

The following Funds utilized capital loss carryforwards during the year ended December 31, 2011, as follows:

Fund	Amount
BlackRock Small Cap Index Fund	$	2,474,009
WMC Blue Chip Mid Cap Fund		3,075,950
WMC Large Cap Growth Fund		559,254
Global Real Estate Fund		10,702,060

The Investment Grade Bond Fund, Money Market Fund, BlackRock Inflation Protected Bond Fund, Goldman Sachs Short Duration Fund, PIMCO High Yield Fund and PIMCO Total Return Fund declare dividends from net investment income, if any, daily and pay dividends monthly. Each of the remaining Funds in the Trust declare and pay dividends from net investment income, if any, at least annually. Each Fund distributes its net realized capital gains, if any, at least annually. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP.

The tax character of distributions paid during the year ended December 31, 2011, was as follows:

Fund	Ordinary Income		Long-Term Capital Gains		Return of Capital
AllianceBernstein International Value Fund	$	3,470,196	$	3,136,768	$	—
BlackRock International Index Fund		28,615		13,336		—
BlackRock Large Cap Index Fund		12,866,759		6,150,835		—
BlackRock Small Cap Index Fund		634,840		—		—
Goldman Sachs Mid Cap Value Fund		11,204,440		14,948,464		—
Columbia Small Cap Value Fund		10,421,497		456,401		—
Davis Venture Value Fund		3,350,947		17,824,141		—
Invesco Small Cap Growth Fund		528,359		865,214		—
Lord Abbett Growth & Income Fund		21,087,094		63,739,386		—
WMC Blue Chip Mid Cap Fund		87,870		—		—
WMC Large Cap Growth Fund		591,968		—		—
Global Real Estate Fund		14,565,863		—		—
Ibbotson Tactical Opportunities Fund		4,589,457		66,819		—
Investment Grade Bond Fund		20,176,761		2,108,878		—
Money Market Fund		101,739		—		—
BlackRock Inflation Protected Bond Fund		21,033,430		2,865,839		—
Goldman Sachs Short Duration Fund		15,665,677		4,382,170		505,485
PIMCO High Yield Fund		15,379,355		2,057,800		—
PIMCO Total Return Fund		40,194,165		8,024,653		—
Ibbotson Balanced Fund		24,163,850		54,014,002		—
Ibbotson Conservative Fund		11,965,785		18,266,476		—
Ibbotson Growth Fund		10,493,541		47,750,205		—

354

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

The tax character of distributions paid during the year ended December 31, 2010, was as follows:

Fund	Ordinary Income		Long-Term Capital Gains
AllianceBernstein International Value Fund	$	1,251,307	$	39,109
BlackRock Large Cap Index Fund		241,745		—
BlackRock Small Cap Index Fund		311,553		—
Goldman Sachs Mid Cap Value Fund		5,547,330		637,338
Columbia Small Cap Value Fund		3,987,622		325,139
Davis Venture Value Fund		1,611,009		—
Invesco Small Cap Growth Fund		1,862,909		337,974
Lord Abbett Growth & Income Fund		22,800,716		—
WMC Blue Chip Mid Cap Fund		60,133		—
WMC Large Cap Growth Fund		554,361		—
Global Real Estate Fund		26,516,442		—
Investment Grade Bond Fund		11,436,954		—
Money Market Fund		153,247		—
BlackRock Inflation Protected Bond Fund		6,035,581		344,461
Goldman Sachs Short Duration Fund		16,012,555		360,775
PIMCO High Yield Fund		11,470,465		46,312
PIMCO Total Return Fund		14,472,398		93,371
Ibbotson Balanced Fund		15,191,811		850,334
Ibbotson Conservative Fund		10,796,952		461,884
Ibbotson Growth Fund		11,613,647		1,051,173

355

NOTES TO FINANCIAL STATEMENTS (continued) Sun Capital Advisers Trust

The identified cost of investments and their respective gross unrealized appreciation and depreciation for federal income tax purposes at December 31, 2011 were as follows:

	Identified Cost		Gross Unrealized					Net Appreciation/ (Depreciation)
Fund			Appreciation		(Depreciation)
AllianceBernstein International Value Fund	$	79,735,519	$	3,496,147	$	(10,787,563	)	$	(7,291,416	)
BlackRock International Index Fund		79,265,067		2,105,812		(10,673,342	)		(8,567,530	)
BlackRock Large Cap Index Fund		155,482,378		14,403,181		(8,627,168	)		5,776,013
BlackRock Small Cap Index Fund		193,585,918		20,474,053		(25,738,849	)		(5,264,796	)
Goldman Sachs Mid Cap Value Fund		203,861,163		40,573,381		(8,057,661	)		32,515,720
Columbia Small Cap Value Fund		58,166,540		4,047,830		(6,663,085	)		(2,615,255	)
Davis Venture Value Fund		345,723,509		60,486,122		(16,693,671	)		43,792,451
Invesco Small Cap Growth Fund		37,959,130		5,432,372		(2,189,987	)		3,242,385
Lord Abbett Growth & Income Fund		434,885,742		35,961,743		(19,840,032	)		16,121,711
WMC Blue Chip Mid Cap Fund		182,398,796		12,825,879		(12,542,529	)		283,350
WMC Large Cap Growth Fund		189,407,830		19,165,120		(9,512,658	)		9,652,462
Global Real Estate Fund		199,268,330		21,256,357		(16,248,266	)		5,008,091
Ibbotson Tactical Opportunities Fund		573,911,345		4,271,371		(2,922,232	)		1,349,139
Investment Grade Bond Fund		513,455,840		12,668,783		(4,733,976	)		7,934,807
Money Market Fund		223,998,469		—		—			—
BlackRock Inflation Protected Bond Fund		532,391,018		10,216,046		(1,613,657	)		8,602,389
Goldman Sachs Short Duration Fund		1,172,138,412		10,847,729		(3,864,178	)		6,983,551
PIMCO High Yield Fund		156,537,920		8,685,627		(5,711,555	)		2,974,072
PIMCO Total Return Fund		1,327,493,077		28,998,308		(23,024,990	)		5,973,318
Ibbotson Balanced Fund		1,880,352,816		24,163,588		(52,449,601	)		(28,286,013	)
Ibbotson Conservative Fund		939,829,987		24,470,426		(15,249,711	)		9,220,715
Ibbotson Growth Fund		548,683,885		13,031,082		(12,864,308	)		166,774

12. INDEMNIFICATION

Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into agreements with service providers that may contain indemnification clauses. The Trust’s maximum exposure under these agreements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

13. EVALUATION OF SUBSEQUENT EVENTS

Management has determined that there are no material events through the issuance date of the financial statements that would require additional disclosure in the Funds’ financial statements.

356

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and the Shareholders of Sun Capital Advisers Trust:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments of SC AllianceBernstein International Value Fund, SC BlackRock International Index Fund, SC BlackRock Large Cap Index Fund, SC BlackRock Small Cap Index Fund, SC Goldman Sachs Mid Cap Value Fund, SC Columbia Small Cap Value Fund, SC Davis Venture Value Fund, SC Invesco Small Cap Growth Fund, SC Lord Abbett Growth & Income Fund, SC WMC Blue Chip Mid Cap Fund, SC WMC Large Cap Growth Fund, Sun Capital Global Real Estate Fund, SC Ibbotson Tactical Opportunities Fund, Sun Capital Investment Grade Bond Fund, Sun Capital Money Market Fund, SC BlackRock Inflation Protected Bond Fund, SC Goldman Sachs Short Duration Fund, SC PIMCO High Yield Fund, SC PIMCO Total Return Fund, SC Ibbotson Balanced Fund, SC Ibbotson Conservative Fund, and SC Ibbotson Growth Fund (collectively the “Funds”) (each a Fund of Sun Capital Advisers Trust, the “Trust”) as of December 31, 2011, the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting Sun Capital Advisers Trust as of December 31, 2011, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts

February 24, 2012

357

OTHER INFORMATION (Unaudited)

PROXY VOTING POLICIES AND PROCEDURES AND VOTING RECORDS

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (800) 432-1102 x 3330 and (ii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov.

QUARTERLY FILING OF PORTFOLIO HOLDINGS

The Funds file their complete schedule of investments with the U.S. Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q filings are available (i) on the SEC’s website at www.sec.gov; and (ii) for review and copying at the SEC’s Public Reference Room in Washington, D.C. Information about the operations of the Public Reference Room may be obtained by calling (800) SEC-0330.

TAX INFORMATION

For the year ended December 31, 2011, the following Funds paid distributions which were designated as long-term capital gains dividends:

Fund	Amount
AllianceBernstein International Value Fund	$	3,136,768
BlackRock International Index Fund		13,336
BlackRock Large Cap Index Fund		6,150,835
Goldman Sachs Mid Cap Value Fund		14,948,464
Columbia Small Cap Value Fund		456,401
Davis Venture Value Fund		17,824,141
Invesco Small Cap Growth Fund		865,214
Lord Abbett Growth & Income Fund		63,739,386
Ibbotson Tactical Opportunities Fund		66,819
Investment Grade Bond Fund		2,108,878
BlackRock Inflation Protected Bond Fund		2,865,839
Goldman Sachs Short Duration Fund		4,382,170
PIMCO High Yield Fund		2,057,800
PIMCO Total Return Fund		8,024,653
Ibbotson Balanced Fund		54,014,002
Ibbotson Conservative Fund		18,266,476
Ibbotson Growth Fund		47,750,205

358

OTHER INFORMATION (Unaudited) (Continued)

For federal tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2011:

Percentage of distributions which qualify for the corporate dividends received deduction:

Fund	Percentage
BlackRock Large Cap Index Fund		100.00	%
BlackRock Small Cap Index Fund		100.00	%
Goldman Sachs Mid Cap Value Fund		9.47	%
Columbia Small Cap Value Fund		8.12	%
Davis Venture Value Fund		100.00	%
Invesco Small Cap Growth Fund		5.45	%
Lord Abbett Growth & Income Fund		7.91	%
WMC Blue Chip Mid Cap Fund		100.00	%
WMC Large Cap Growth Fund		100.00	%
Global Real Estate Fund		0.83	%
PIMCO High Yield Fund		0.21	%
PIMCO Total Return Fund		1.03	%
Ibbotson Balanced Fund		6.45	%
Ibbotson Conservative Fund		4.88	%
Ibbotson Growth Fund		8.49	%

The following Funds designate as income received from foreign sources and taxes paid to foreign countries the following amounts:

	Foreign Source		Foreign Taxes
Fund	Income		Paid
AllianceBernstein International Value Fund	$	2,875,714	$	187,392
BlackRock International Index Fund		2,346,150		142,024
Global Real Estate Fund		4,684,350		139,072

359

OTHER INFORMATION (Unaudited) (Continued)

Funds Having Investment Advisory and/or Subadvisory Agreements Renewed in November 2011:

Sun Capital Global Real Estate Fund

Sun Capital Investment Grade Bond Fund^®

Sun Capital Money Market Fund^®

SC AllianceBernstein International Value Fund

SC BlackRock Inflation Protected Bond Fund

SC BlackRock Large Cap Index Fund

SC BlackRock Small Cap Index Fund

SC Columbia Small Cap Value Fund

SC Davis Venture Value Fund

SC Goldman Sachs Mid Cap Value Fund

SC Goldman Sachs Short Duration Fund

SC Ibbotson Balanced Fund

SC Ibbotson Growth Fund

SC Ibbotson Conservative Fund

SC Invesco Small Cap Growth Fund

SC Lord Abbett Growth & Income Fund

SC PIMCO High Yield Fund

SC PIMCO Total Return Fund

SC WMC Blue Chip Mid Cap Fund

SC WMC Large Cap Growth Fund

Factors Considered by the Board of Trustees (the “Board”) in Approving the Continuation of each Investment Advisory Agreement.

The Trust’s Board approved the continuation of each above-referenced Fund’s current investment advisory agreement (including, in the case of all Funds other than Sun Capital Investment Grade Bond Fund, Sun Capital Money Market Fund, SC BlackRock Large Cap Index Fund and BlackRock Small Cap Index Fund¹, each Fund’s subadvisory agreement) for an additional twelve-month period at an in-person meeting held in November 2011. In terms of the process that the Trustees followed prior to approving the continuation of each investment advisory and subadvisory agreement (together, the “investment advisory agreements”), Variable Contract Owners² should know that:

* At present, five of the Trust’s seven Trustees, including the Board’s chairman, are independent of Sun Capital Advisers LLC (“Sun Capital”), which serves as investment adviser to each of the Funds, each subadviser, and their respective affiliates (“Independent Trustees”).

* In connection with the Board’s 2011 contract review, the Independent Trustees met on multiple occasions to discuss and consider contract review matters, and were advised by, and held private meetings with, their independent legal counsel. These meetings included a special in-person meeting with their independent legal counsel dedicated exclusively to contract review matters.

¹  The Trust’s Board approved new subadvisory agreements with an initial two year term for SC BlackRock Large Cap Index Fund and BlackRock Small Cap Index Fund in November 2010. Sun Capital Investment Grade Bond Fund and Sun Capital Money Market Fund do not have subadvisers. The Trust’s Board approved new investment advisory and subadvisory agreements, each with an initial two year terms, for SC BlackRock International Index Fund and SC Ibbotson Tactical Opportunity Fund in November 2010.

²  Shares of the Funds will principally be owned by Sun Life (U.S.) and Sun Life (N.Y.) for the benefit of the owners of variable annuities and variable life insurance policies (“Variable Contract Owners”) issued by Sun Life (U.S.) or Sun Life (N.Y.).

360

OTHER INFORMATION (Unaudited) (Continued)

* The Board engaged in a thorough review of each Fund’s investment advisory agreement(s). In this connection, the Board reviewed a wide range of materials furnished at the Board’s request by Sun Capital and, as applicable, each subadviser, prior to reaching these decisions.

* The Board has also put into place a process of identifying funds underperforming, over specified periods, their benchmarks or peer universes compiled by an independent fund data service, and receiving more detailed reporting and information from Sun Capital regarding any such funds. The Board believes this process is an effective manner of identifying and addressing underperforming funds.

In determining to approve the continuation of each Fund’s investment advisory agreement(s), the Board considered all factors that it believed relevant to the interests of the Fund and Variable Contract Owners, including but not limited to:

• Fees and expenses. The investment advisory and, as applicable, investment subadvisory fee schedules for each Fund, including (i) comparative information provided by Lipper regarding investment advisory fee rates paid to other advisers by similar funds; and (ii) fee rates paid to Sun Capital by each Fund, and to each subadviser by Sun Capital, in each case, relative to those paid by similar funds and institutional accounts advised by such firms. The Board considered that Sun Capital currently does not manage any institutional accounts in a manner similar to a Fund. The Board also received and considered information regarding the differences in the type and level of services required for the Funds and institutional accounts more generally. In the case of each subadvised Fund, the Board noted that the investment subadvisory fees paid to each subadviser are paid by Sun Capital out of its fee, not by the Fund. The Board also considered that, with respect to each of the SC Lord Abbett Growth & Income Fund, SC Goldman Sachs Mid Cap Value Fund, SC Goldman Sachs Short Duration Fund, SC PIMCO High Yield Fund, SC PIMCO Total Return Fund and SC BlackRock Inflation Protected Bond Fund (collectively, the “Unified Fee Funds”), because Sun Capital provides a broader range of services and bears additional categories of expenses in return for the “unified” investment management fee it receives than would be the case under a typical investment advisory agreement, it was most appropriate to examine and compare each such Fund’s total operating expense ratio relative to the total operating expense ratios of other similar funds. With respect to each of the Sun Capital Global Real Estate Fund and the SC Goldman Sachs Short Duration Fund, in addition to comparative information provided by Lipper, the Board also considered comparative information regarding the advisory and administration fees and total expense ratios of peer funds considered by Sun Capital to be the Funds’ primary competitors. The Board also considered Sun Capital’s agreement to reduce the expense caps applicable to the Sun Capital Global Real Estate Fund in connection with the 2011 contract review. With respect to the SC BlackRock Large Cap Index Fund and SC BlackRock Small Cap Index Fund, the Board also considered that the investment advisory agreements with Sun Capital had been amended in August 2010 to reduce the fee rate payable to Sun Capital in conjunction with changes to such Funds’ investment programs, and that Sun Capital had represented that there would be no reduction in the quality or quantity of services that Sun Capital provides to each fund as a result of, or otherwise in connection with, such fee reductions. Finally, the Board considered the impact of the expense limitation agreement between each Fund (other than the Unified Fee Funds) and Sun Capital on such Funds’ expense ratios. Taking into account the foregoing, the Board concluded that the fee schedules in effect for each Fund represent reasonable compensation in light of the nature, extent and quality of the investment services being provided to such Fund.

• Economies of scale. The extent to which economies of scale would be realized as each Fund grows. In this regard, the Board observed that the advisory fees charged to the SC BlackRock Small Cap Index Fund, SC BlackRock Large Cap Index Fund, SC Columbia Small Cap Value Fund, SC Davis Venture Value Fund, SC WMC Large Cap Growth Fund, SC WMC Blue Chip Mid Cap Fund and SC Invesco Small Cap Growth Fund contain breakpoints. The Board also noted that certain funds without breakpoints (for example, the SC Goldman Sachs Short Duration Fund) received substantial assets as the result of substitution transactions, and

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that any economies of scale associated with their current asset levels were effectively taken into account when establishing such funds’ advisory fee rates at the time of such substitution transactions. In addition, the Board considered Sun Capital’s commitment to consider initial and/or additional breakpoints for each Fund to the extent the Fund’s assets under management increase to more substantial, scalable levels in the future. The Board concluded that, to the extent economies of scale exist in the management of a Fund at its current asset level, each Fund’s fee schedule represents an appropriate sharing of such economies of scale between the Fund and its investment adviser(s).

• Profitability; Other benefits to Sun Capital. The costs of the services to be provided, and profits realized, by Sun Capital and its affiliates from their relationship with each Fund. In this regard, the Board observed that Sun Capital reported that it was operating several Funds at a net loss (suggesting that Sun Capital had assumed considerable economic risk in contracting with the Funds), and had committed to total operating expense caps applicable to each Fund (other than the Unified Fee Funds) through at least April 30, 2013. In analyzing Sun Capital’s costs and profits and its affiliates’ costs, the Board also reviewed the fees paid to and services provided by Sun Capital and its affiliates to each Fund for non-advisory services, such as distribution (including fees paid pursuant to Rule 12b-1 plans). The Board also considered other potential benefits to Sun Capital and its affiliates from their relationships with the Funds, including the roles of the Funds in supporting the variable contracts issued by Sun Life (U.S.) and Sun Life (N.Y.), both of which are affiliates of Sun Capital. Finally, the Board considered that Sun Capital had retained industry consultants with expertise in mutual fund profitability methodologies, and that the profitability information presented by Sun Capital reflected input from these consultants. The Board concluded that each Fund’s investment advisory fee schedule represented reasonable compensation in light of, among other factors, the costs incurred by the adviser and its affiliates in providing services to each Fund.

• Investment performance. The investment performance of each Fund, both absolute and relative to various benchmarks and industry peer groups, including comparative information provided by Lipper regarding each Fund’s performance relative to other similar Funds. With respect to the Sun Capital Global Real Estate Fund, the Board also considered the Fund’s performance since its transition to a global real estate fund relative to peer global real estate funds managed by the Fund’s primary competitors, and that the Fund’s subadvisory agreement with Massachusetts Financial Services Company (“MFS”) had only been in effect since May 1, 2011. With respect to the SC AllianceBernstein International Value Fund, the Board noted while the Fund has underperformed since inception, the Fund’s subadviser has a strong long-term record managing assets in this strategy.

• Nature, quality and extent of services. The nature, scope and quality of the services that Sun Capital and each subadviser provide to the Funds. In this regard, the Board considered, among other things, Sun Capital’s and each subadviser’s personnel (including particularly those personnel with responsibilities for providing services to the Funds), resources, policies and investment processes. In addition to meeting with representatives of Sun Capital and each subadviser, the Board also considered, among other things, Sun Capital’s representation that it was satisfied with the resources, compliance program and level of commitment put forth by each subadviser and its recommendation that each subadvisory agreement be continued. The Board also noted Sun Capital’s record in recommending the termination and replacement of underperforming subadvisers. The Board considered that the types of services to be provided under the investment advisory agreements were comparable to (or, in the case of the Unified Fee Funds, broader than) those typically found in agreements of such type. In this regard, the Board concluded that the quality and range of services provided by Sun Capital and, as applicable, each subadviser, have benefited and should continue to benefit each Fund and its Variable Contract Owners.

• Brokerage practices. The practices of Sun Capital and each subadviser regarding the selection and compensation of brokers and dealers executing portfolio transactions for the Funds, including the brokers’ and dealers’ provision of brokerage and research services to Sun Capital and each subadviser.

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OTHER INFORMATION (Unaudited) (Continued)

• Compliance. Sun Capital’s and each subadviser’s commitment to and record of compliance, including its written compliance policies and procedures. In this regard, the Board considered Sun Capital’s continued commitment of attention and resources to compliance functions relevant to the Funds’ operations, including the oversight of subadvisers. The Board also considered the Sun Life organization’s commitment of resources to its U.S. business more generally.

After due consideration of these and other factors that it considered relevant, the Board determined to approve the continuation of each Fund’s investment advisory agreement and, as applicable, investment subadvisory agreement, and concluded that the continuation of such agreements was in the best interest of the Fund and the Variable Contract Owners.

In reaching this conclusion, the Board did not give particular weight to any single factor noted above. The Board considered these and other factors over the course of multiple meetings, certain of which were held in executive session with only the Independent Trustees and their counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the investment advisory agreements.

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OTHER INFORMATION (Unaudited) (Continued) Sun Capital Advisers Trust

Each Fund’s business is managed by the Trustees. Several of the Funds’ Trustees and Officers are also Directors and Officers of Sun Life Assurance Company of Canada or the Adviser. The table below provides more information about the Funds’ Trustees and certain Officers.

Name, address and age	Position with  the Trust	Length of Time  Served	Principal occupation past  5 years	Number of Funds Within  Fund Complex Overseen by Trustee	Other  Directorships Held Outside of the Fund Complex by Trustee
Michael P. Castellano c/o Sun Capital Advisers Trust One Sun Life Executive Park Wellesley Hills, MA 02481 Year of birth: 1941	Trustee	Since February 2005	Retired	22	None
Dawn-Marie Driscoll c/o Sun Capital Advisers Trust One Sun Life Executive Park Wellesley Hills, MA 02481 Year of birth: 1946	Trustee	Since June 2007	President, Driscoll Associates (consulting firm); Executive Fellow, Center for Business Ethics, Bentley University; Directorships: Advisory Board, Center for Business Ethics, Bentley University; Trustee, Southwest Florida Community Foundation (charitable organization), Director, ICI Mutual; Former Directorships: Investment Company Institute; Former Memberships: Executive Committee of the Independent Directors Council of the Investment Company Institute.	22	Trustee, DWS Funds Board (113 mutual funds) since 1987.
Keith R. Fox c/o Sun Capital Advisers Trust; One Sun Life Executive Park Wellesley Hills, MA 02481 Born: 1954	Trustee	Since April, 2011	Managing General Partner, Exeter Capital Partners (a series of private investment funds).	22	Directorships: Progressive International Corporation (kitchen goods importer and distributor) since 2000; Box Top Media Inc. (advertising) since 2006; The Kennel Shop (retailer) since 2007. Trustee, DWS Funds Board (113 mutual funds) since 1996.
Carol A. Kosel c/o Sun Capital Advisers Trust; One Sun Life Executive Park Wellesley Hills, MA 02481 Born: 1963	Trustee	Since April, 2011	Former Trustee to the Evergreen Funds; Former Consultant to the Evergreen Boards of Trustees; Former Senior Vice President and Head of Fund Administration, Evergreen	22	None.

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OTHER INFORMATION (Unaudited) (Continued) Sun Capital Advisers Trust

Name, address and age	Position with  the Trust	Length of Time  Served	Principal occupation past  5 years	Number of Funds Within  Fund Complex Overseen by Trustee	Other  Directorships Held Outside of the Fund Complex by Trustee
			Investments, Inc.; Former Treasurer, Evergreen Funds; Former Treasurer, Vestaur Securities Fund; Former Senior Manager, KPMG, LLC.
William N. Searcy, Jr. c/o Sun Capital Advisers Trust One Sun Life Executive Park Wellesley Hills, MA 02481 Year of birth: 1946	Chairman and Trustee	Chairman since 2005 Trustee since October 1998	Private investor. Pension and Savings Trust Officer, Sprint Corp. (wireless and wireline communications services) 1989-2003.	22	Trustee, DWS Funds Board (113 mutual funds) since 1993.
Scott M. Davis* One Sun Life Executive Park Wellesley Hills, MA 02481 Born: 1963	Trustee	Since April, 2011	Senior Vice President and General Counsel for Sun Life Financial’s U.S. Operations since 2007. Vice President and General Counsel for Sun Life Financial’s U.S. Operations, 1999-2004. Associated with Sun Life Financial since 1995.	22	Director, Clarendon Insurance Agency, Inc. since 2006. Director, Sun Life Assurance Company of Canada (U.S.) since 2004. Director, Sun Life Insurance and Annuity Company of New York since 2004. Director of numerous other Sun Life Financial affiliated entities since 2004.
John T. Donnelly* One Sun Life Executive Park Wellesley Hills, MA 02481 Year of birth: 1958	President, Chief Executive Officer and Trustee	Since May 2009	President and Manager, Sun Capital Advisers LLC since 2009. Senior Managing Director, Investment Operations for Sun Life Assurance Company of Canada (U.S.) since 2005. Associated with Sun Life Financial since 1981.	22	Director, Sun Life Insurance and Annuity Company of New York since 2008. Director, Crosspointe Shops I & II since 2009. Director of numerous other Sun Life Financial affiliated entities since 2005.
Lena Metelitsa* One Sun Life Executive Park Wellesley Hills, MA 02481 Year of birth: 1967	Chief Financial Officer and Treasurer	Since May 2010; Serves at the discretion of the Trustees.	Managing Director and Chief Financial Officer, Sun Capital Advisers LLC since 2010. Senior Director, Sun Capital Advisers LLC, 2008-2010. Associated with Sun Life Financial since 2005.	N/A	N/A

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OTHER INFORMATION (Unaudited) (Continued) Sun Capital Advisers Trust

Name, address and age	Position with  the Trust	Length of Time  Served	Principal occupation past  5 years	Number of Funds Within  Fund Complex Overseen by Trustee	Other  Directorships Held Outside of the Fund Complex by Trustee
Maura A. Murphy, Esq.* One Sun Life Executive Park Wellesley Hills, MA 02481 Year of birth: 1960	Secretary and Chief Legal Officer	Since October 1998; Serves at the discretion of the Trustees.	Managing Director and General Counsel since 2000, and Secretary since 1998, Sun Capital Advisers LLC. Assistant Vice President and Senior Counsel, Sun Life Financial. Associated with Sun Life Financial since 1998.	N/A	N/A
Andrew S. Harris* One Sun Life Executive Park Wellesley Hills, MA 02481 Born: 1974	Chief Compliance Officer	Since August 2010; Serves at the discretion of the Trustees.	Chief Compliance Officer, Sun Capital Advisers LLC since 2010. Fund Compliance Officer, SEI Investments 2008-2010. Director of Corporate Compliance, Nationwide Funds Group 2004-2008.	N/A	N/A

* An interested person of the Funds for purposes of Section 2(a)(19) of the 1940 Act.

The Statement of Additional Information (SAI) includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-432-1102 x3330.

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Sun Capital Advisers Trust

TRUSTEES AND OFFICERS

Michael P. Castellano, Trustee

Dawn-Marie Driscoll, Trustee

Keith R. Fox, Trustee

Carol A. Kosel, Trustee

William N. Searcy, Jr., Chairman, Trustee

Scott M. Davis, Trustee

John T. Donnelly, President, Chief Executive Officer and Trustee

Lena Metelitsa, Chief Financial Officer and Treasurer

Maura A. Murphy, Secretary and Chief Legal Officer

Andrew S. Harris, Chief Compliance Officer

INVESTMENT ADVISER

Sun Capital Advisers LLC

One Sun Life Executive Park

Wellesley Hills, MA 02481

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116

ADMINISTRATOR, CUSTODIAN, TRANSFER AGENT

State Street Bank & Trust Company

One Lincoln Street

Boston, MA 02111

LEGAL COUNSEL

Dechert LLP

200 Clarendon Street

Boston, MA 02116

This report must be preceded or accompanied by a prospectus for Sun Capital Advisers Trust which includes more information about charges and expenses. Please read the prospectus carefully before you invest or send money.

Item 2. Code of Ethics.

Registrant has adopted a code of ethics that applies to registrant’s principal executive officer and principal financial officer. This code of ethics is available without charge, upon request, by calling 1-800-432-1102 x3330. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments were approved or waivers granted to this code of ethics during the period covered by this report.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant has at least one financial expert, Michael P. Castellano, serving on its Audit Committee. Mr. Castellano is considered “independent” for purposes of Item 3(a)(2) of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Aggregate fees billed for professional services rendered to the registrant for the last two fiscal years by the registrant’s principal accountant were as follows:

(a) Audit Fees: Includes amounts related to the audit of the registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings.

FY 2011	FY 2010
$875,640	$	765,705

(b) Audit-related Fees: Includes amounts related to assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.

FY 2011	FY 2010
None		None

(c) Tax Fees: Includes amounts related to tax compliance, tax planning and tax advice.

FY 2011	FY 2010
$69,920	$	69,920

(d) All Other Fees: Includes amounts related to products and services provided to the registrant by the registrant’s principal accountant, other than the services reported in paragraphs (a) through (c) of this Item.

FY 2011	FY 2010
None		None

(e)(1) The registrant’s Audit Committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant require pre-approval. In addition, non-audit services performed by the registrant’s principal accountant for the registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant also require pre-approval if the services provided to those entities are related directly to the operations and financial reporting of the registrant.

The policy includes a list of specified services that are deemed to be pre-approved, subject to stated dollar limits, by the Audit Committee. The Audit Committee must provide specific advance approval for any service that is not included in the list of pre-approved services, or for any pre-approved service that exceeds the dollar limit set forth in the policy. In determining whether to approve services, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

(e)(2) No services included in this Item 4 (b) through (d) were approved pursuant to the “de minimis exception” set forth in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable

(g) During the registrant’s fiscal years ended December 31, 2011 and December 31, 2010, the aggregate fees billed by the registrant’s principal accountant for non-audit services rendered to the registrant, the registrant’s investment adviser, or to any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $94,920 and $225,920 respectively.

(h) Not applicable

Item 5. Audit Committee of Listed Registrants.

Not applicable

Item 6. Schedule of Investments.

Included in stockholder report filed under Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not Applicable

Item 10. Submission of Matters to a Vote of Security Holders.

No material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees have been implemented since the registrant’s most recent disclosure to this Item.

Item 11. Controls and Procedures.

(a) Based upon their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have been no significant changes in the registrant’s internal control over financial reporting during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1)  The code of ethics as required by Form N-CSR Item 2 is filed herewith.

(a) (2)  A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(a) (3)  A combined certification by the principal executive and principal financial officers of the registrant as required by Rule 30a-2(b), under the Investment Company Act of 1940, as amended, is filed herewith.

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.

(Registrant)	SUN CAPITAL ADVISERS TRUST
By (Signature and Title)*	/s/ JOHN T. DONNELLY
	John T. Donnelly, President

Date: February 24, 2012

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 (Signature and Title)*	/s/ JOHN T. DONNELLY
	John T. Donnelly, President
	(Chief Executive Officer)

Date: February 24, 2012

By (Signature and Title)*	/s/ LENA METELITSA
	Lena Metelitsa, Treasurer
	(Chief Financial Officer)

Date: February 24, 2012

* Print name and title of each signing officer under his or her signature.