UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number	811-05742
Name of Fund:	BlackRock Funds
Fund Address:	100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service:	Donald C. Burke, Chief Executive Officer, BlackRock Funds, 800 Scudders Mill Road, Plainsboro, NJ, 08536. Mailing address: P.O. Box 9011, Princeton, NJ, 08543-9011
Registrant’s telephone number, including area code:	(800) 441-7762
Date of fiscal year end:	09/30/2008
Date of reporting period:	10/01/2007 – 12/31/2007

Item 1 – Schedule of Investments

	Capital Appreciation Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 97.7%
Advertising — 0.3%
Focus Media Holding Ltd. -ADR(b)(c)	16,200	$	920,322
Aerospace — 1.8%
Northrop Grumman Corp.	41,500		3,263,560
United Technologies Corp.	22,800		1,745,112
			5,008,672
Banks — 0.7%
JPMorgan Chase & Co.	45,300		1,977,345
Beverages & Bottling — 4.4%
The Coca-Cola Co.	150,000		9,205,500
PepsiCo, Inc.	34,400		2,610,960
			11,816,460
Business Services — 0.5%
Fluor Corp.	9,200		1,340,624
Computer & Office Equipment — 6.6%
Apple Computer, Inc.(b)	54,899		10,874,394
Cisco Systems, Inc.(b)	260,767		7,058,963
			17,933,357
Computer Software & Services — 14.7%
Adobe Systems, Inc.(b)	192,394		8,220,996
Electronic Arts, Inc.(b)	45,900		2,681,019
Google, Inc.- Class A(b)	14,894		10,298,903
Microsoft Corp.	282,170		10,045,252
Salesforce.com, Inc.(b)(c)	81,600		5,115,504
Sun Microsystems, Inc.(b)	113,000		2,048,690
VMware, Inc.(b)(c)	17,290		1,469,477
			39,879,841
Energy & Utilities — 0.7%
Exelon Corp.	24,700		2,016,508
Entertainment & Leisure — 0.6%
Las Vegas Sands Corp.(b)(c)	15,522		1,599,542
Finance — 1.5%
The Goldman Sachs Group, Inc.	8,900		1,913,945
NYSE Euronext, Inc.	24,400		2,141,588
			4,055,533
Food & Agriculture — 3.3%
Monsanto Co.	65,440		7,308,994
Potash Corp. of Saskatchewan, Inc.	11,120		1,600,835
			8,909,829
Insurance — 3.1%
American International Group, Inc.	57,900		3,375,570
WellPoint, Inc.(b)	56,700		4,974,291
			8,349,861
Machinery & Heavy Equipment — 1.7%
Joy Global, Inc.	68,700		4,521,834
Manufacturing — 10.1%
Corning, Inc.	147,793		3,545,554
Crocs, Inc.(b)	48,200		1,774,242
Danaher Corp.	67,500		5,922,450
Foster Wheeler Ltd.(b)	33,480		5,190,070
General Electric Co.	102,491		3,799,341
Honeywell International, Inc.	114,740		7,064,542
			27,296,199
Measuring & Controlling Devices — 2.1%
Thermo Electron Corp.(b)	97,000		5,594,960
Medical & Medical Services — 2.7%
Henry Schein, Inc.(b)	55,900		3,432,260
Medco Health Solutions, Inc.(b)	38,511		3,905,015
			7,337,275
Medical Instruments & Supplies — 5.2%
C.R. Bard, Inc.	23,800		2,256,240
Hologic, Inc.(b)	99,200		6,809,088
Johnson & Johnson	76,600		5,109,220
			14,174,548
Metal & Mining — 3.9%
CONSOL Energy, Inc.(c)	113,300		8,103,216
Freeport-McMoRan Copper & Gold, Inc. - Class B	24,537		2,513,570
			10,616,786
Oil & Gas — 3.2%
EOG Resources, Inc.	35,900		3,204,075
Schlumberger Ltd.	28,200		2,774,034
Transocean, Inc.(b)	18,955		2,713,408
			8,691,517
Pharmaceuticals — 7.7%
Abbott Laboratories	102,300		5,744,145
Celgene Corp.(b)	26,800		1,238,428
Elan Corp. Plc - ADR(b)	184,800		4,061,904
Gilead Sciences, Inc.(b)	96,200		4,426,162
Merck & Co., Inc.	91,446		5,313,927
			20,784,566
Retail Merchandising — 5.9%
Amazon.com, Inc.(b)	47,422		4,393,174
Kohl’s Corp.(b)	87,300		3,998,340
Nordstrom, Inc.	38,200		1,403,086
Wal-Mart Stores, Inc.	132,586		6,301,813
			16,096,413
Security Brokers & Dealers — 1.9%
Janus Capital Group, Inc.	153,183		5,032,061
Semiconductors & Related Devices — 1.9%
Broadcom Corp. - Class A(b)	79,500		2,078,130
PMC-Sierra, Inc.(b)	449,400		2,939,076
			5,017,206
Soaps & Cosmetics — 2.6%
Avon Products, Inc.	52,800		2,087,184
The Procter & Gamble Co.	69,400		5,095,348
			7,182,532
Telecommunications — 6.3%
AT&T, Inc.	125,183		5,202,606
NII Holdings, Inc.(b)	46,681		2,255,626
QUALCOMM, Inc.	125,569		4,941,140

DECEMBER 31, 2007 1

	Capital Appreciation Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Telecommunications (Continued)
Research In Motion Ltd.(b)	12,120	$	1,374,408
Verizon Communications, Inc.	74,500		3,254,905
			17,028,685
Tobacco — 3.2%
Altria Group, Inc.	116,412		8,798,419
Transportation — 1.1%
Expeditors International of Washington, Inc.(c)	64,528		2,883,111
TOTAL COMMON STOCKS
(Cost $208,916,992)			264,864,006
Short Term Investment — 2.4%
Galileo Money Market Fund, 4.32%(d)
(Cost $6,515,700)	6,515,700		6,515,700
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 100.1%
(Cost $215,432,692)			271,379,706
Affiliated Investment — 6.9%
Short Term Investment — 6.9%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $18,812,600)	18,812,600		18,812,600
TOTAL INVESTMENTS IN SECURITIES — 107.0%
(Cost $234,245,292(a))			290,192,306
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (6.9)%			(18,812,600	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%			(245,878	)
NET ASSETS — 100.0%		$	271,133,828

(a) Cost for federal income tax purposes is $235,369,538. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	60,344,233
Gross unrealized depreciation		(5,521,465	)
	$	54,822,768

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

2 DECEMBER 31, 2007

	Mid-Cap Value Equity Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 95.6%
Banks — 7.1%
The Bank of New York Mellon Corp.	299,300	$	14,593,868
Cullen/Frost Bankers, Inc.	209,935		10,635,307
First Midwest Bancorp, Inc.	405,100		12,396,060
People’s United Financial, Inc.	914,220		16,273,116
Wintrust Financial Corp.	274,900		9,107,437
Zions Bancorporation	184,900		8,632,981
			71,638,769
Beverages & Bottling — 1.2%
Constellation Brands, Inc.(b)(c)	493,700		11,671,068
Broadcasting — 1.6%
Belo Corp.	921,626		16,073,157
Business Services — 2.2%
The Brink’s Co.	258,100		15,418,894
W.W. Grainger, Inc.	75,192		6,580,804
			21,999,698
Chemicals — 3.0%
Ashland, Inc.	232,000		11,003,760
Celanese Corp. - Series A	268,900		11,379,848
Hercules, Inc.	384,000		7,430,400
			29,814,008
Computer & Office Equipment — 1.4%
Electronics for Imaging, Inc.(b)	616,100		13,849,928
Phase Metrics, Inc.(b)(d)	108,409		2,168
			13,852,096
Computer Software & Services — 1.6%
International Game Technology	117,100		5,144,203
Tech Data Corp.(b)	284,500		10,731,340
			15,875,543
Containers — 2.5%
Owens-Illinois, Inc.(b)	115,800		5,732,100
Pactiv Corp.(b)	530,500		14,127,215
Smurfit-Stone Container Corp.(b)(c)	472,500		4,989,600
			24,848,915
Electronics — 2.1%
Agilent Technologies, Inc.(b)	359,800		13,219,052
Intersil Corp. - Class A	342,300		8,379,504
			21,598,556
Energy & Utilities — 12.6%
Constellation Energy Group, Inc.	129,700		13,298,141
Edison International	257,400		13,737,438
Entergy Corp.	104,300		12,465,936
Equitable Resources, Inc.	288,500		15,371,280
NRG Energy, Inc.(b)	266,700		11,558,778
PPL Corp.	337,400		17,575,166
Public Service Enterprise Group, Inc.	177,500		17,437,600
Questar Corp.	269,800		14,596,180
Wisconsin Energy Corp.	211,800		10,316,778
			126,357,297
Entertainment & Leisure — 0.6%
Pinnacle Entertainment, Inc.(b)	242,800		5,720,368
Finance — 5.2%
Affiliated Managers Group, Inc.(b)	87,400		10,266,004
Ambac Financial Group, Inc.(c)	141,650		3,650,320
Capital One Financial Corp.(c)	124,000		5,860,240
CIT Group, Inc.	154,900		3,722,247
Freedom Pay, Inc.(d)	43,051		431
Invesco Ltd.	424,000		13,305,120
TD Ameritrade Holding Corp.(b)	786,700		15,781,202
			52,585,564
Food & Agriculture — 2.8%
Dean Foods Co.(c)	561,900		14,530,734
Del Monte Foods Co.	1,448,417		13,702,025
			28,232,759
Insurance — 7.2%
Assurant, Inc.	192,300		12,864,870
AXIS Capital Holdings Ltd.	323,000		12,587,310
Endurance Specialty Holdings Ltd.(c)	294,519		12,290,278
HCC Insurance Holdings, Inc.	523,600		15,016,848
W.R. Berkley Corp.	502,900		14,991,449
XL Capital Ltd.	94,800		4,769,388
			72,520,143
Machinery & Heavy Equipment — 0.9%
Albany International Corp. - Class A	247,100		9,167,410
Manufacturing — 4.9%
Dover Corp.	326,500		15,048,385
Eaton Corp.	112,200		10,877,790
General Cable Corp.(b)(c)	76,600		5,613,248
Jones Apparel Group, Inc.(c)	628,000		10,041,720
Textron, Inc.	115,700		8,249,410
			49,830,553
Medical & Medical Services — 4.6%
Coventry Health Care, Inc.(b)	216,300		12,815,775
Covidien Ltd.	228,500		10,120,265
Laboratory Corp. of America Holdings(b)(c)	140,600		10,619,518
Quest Diagnostics, Inc.(c)	245,400		12,981,660
			46,537,218
Medical Instruments & Supplies — 2.1%
The Cooper Cos., Inc.,(c)	352,800		13,406,400
Hillenbrand Industries, Inc.	142,166		7,922,911
			21,329,311
Metal & Mining — 1.2%
CONSOL Energy, Inc.	49,400		3,533,088
Reliance Steel & Aluminum Co.	151,200		8,195,040
			11,728,128
Motor Vehicles — 1.3%
Ford Motor Co.(b)(c)	1,191,314		8,017,543
General Motors Corp.(c)	210,600		5,241,834
			13,259,377
Oil & Gas — 7.0%
Diamond Offshore Drilling, Inc.	71,700		10,181,400
EOG Resources, Inc.	154,700		13,806,975
Grant Prideco, Inc.(b)	338,600		18,795,686
Newfield Exploration Co.(b)	266,900		14,065,630
Southwestern Energy Co.(b)	241,200		13,439,664
			70,289,355
Personal Services — 0.2%
Och-Ziff Capital Management Group LLC(b)(c)	91,000		2,391,480

DECEMBER 31, 2007 3

	Mid-Cap Value Equity Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Publishing & Printing — 1.9%
The McGraw-Hill Cos., Inc.(c)	143,300	$	6,277,973
R.R. Donnelley & Sons Co.	350,000		13,209,000
			19,486,973
Railroad & Shipping — 1.3%
Norfolk Southern Corp.	262,100		13,220,324
Real Estate — 2.3%
Boston Properties, Inc. (REIT)(c)	131,500		12,073,015
Simon Property Group, Inc. (REIT)(c)	134,400		11,673,984
			23,746,999
Retail Merchandising — 8.2%
Advance Auto Parts, Inc.	324,800		12,339,152
Borders Group, Inc.(c)	437,400		4,658,310
The Children’s Place Retail Stores, Inc.(b)	254,600		6,601,778
Limited Brands, Inc.(c)	630,500		11,935,365
Longs Drug Stores Corp.	139,900		6,575,300
Macy’s, Inc.	374,100		9,677,967
Safeway, Inc.	484,100		16,561,061
SUPERVALU, Inc.	106,600		3,999,632
The Talbots, Inc.(c)	839,374		9,921,401
			82,269,966
Security Brokers & Dealers — 1.0%
Piper Jaffray Cos., Inc.(b)	224,000		10,375,680
Semiconductors & Related Devices — 1.0%
Micron Technology, Inc.(b)	1,394,100		10,107,225
Soaps & Cosmetics — 0.8%
Estee Lauder Cos., Inc.(c)	177,400		7,736,414
Telecommunications — 2.1%
Amdocs Ltd.(b)	239,114		8,242,260
Anixter International, Inc.(b)(c)	204,275		12,720,204
			20,962,464
Textiles — 0.6%
Carter’s, Inc.(b)	300,900		5,822,415
Tobacco — 2.3%
Loews Corp. - Carolina Group	136,600		11,651,980
UST, Inc.(c)	203,700		11,162,760
			22,814,740
Waste Management — 0.8%
URS Corp.(b)	151,200		8,214,696
TOTAL COMMON STOCKS
(Cost $864,616,829)			962,078,669
Short Term Investment — 4.8%
Galileo Money Market Fund, 4.32%(e)
(Cost $48,358,742)(e)	48,358,742		48,358,742
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 100.4%
(Cost $912,975,571)			1,010,437,411
Affiliated Investment — 14.3%
Short Term Investment — 14.3%
BlackRock Liquidity Series, LLC Money Market Series(f)
(Cost $144,538,100)	144,538,100		144,538,100
TOTAL INVESTMENTS IN SECURITIES — 114.7%
(Cost $1,057,513,671(a))			1,154,975,511
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (14.3)%			(144,538,100	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.4)%			(3,702,717	)
NET ASSETS — 100.0%		$	1,006,734,694

(a) Cost for federal income tax purposes is $1,081,211,229. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	127,132,312
Gross unrealized depreciation		(53,368,030	)
	$	73,764,282

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Security valued at fair value as determined in good faith by or under the direction of the Board of Trustees. As of December 31, 2007, these securities had a total market value of $2,599, which represents less than 0.1% of net assets.

(e) Represents current yield as of December 31, 2007.

(f) Security purchased with the cash proceeds from securities loaned.

4 DECEMBER 31, 2007

	Mid-Cap Growth Equity Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 98.4%
Aerospace — 3.3%
BE Aerospace, Inc.(b)	133,400	$	7,056,860
Goodrich Corp.	89,700		6,333,717
			13,390,577
Banks — 1.7%
Fidelity National Information Services, Inc.	163,700		6,808,283
Broadcasting — 1.1%
CKX, Inc.(b)	353,000		4,236,000
Business Services — 3.3%
DeVry, Inc.	68,614		3,565,184
Genpact Ltd.(b)	130,400		1,985,992
Iron Mountain, Inc.(b)(c)	203,400		7,529,868
			13,081,044
Chemicals — 4.2%
Agrium, Inc.	121,900		8,802,399
Celanese Corp. - Series A	186,900		7,909,608
			16,712,007
Computer & Office Equipment — 0.5%
Intuit, Inc.(b)	64,600		2,042,006
Computer Software & Services — 11.0%
ACI Worldwide, Inc.(b)	156,800		2,985,472
Adobe Systems, Inc.(b)	201,600		8,614,368
Foundry Networks, Inc.(b)	289,500		5,072,040
IHS, Inc.(b)	125,000		7,570,000
International Game Technology(c)	127,000		5,579,110
Jack Henry & Associates, Inc.	162,400		3,952,816
Juniper Networks, Inc.(b)	124,900		4,146,680
MICROS Systems, Inc.(b)	86,700		6,082,872
			44,003,358
Electronics — 5.4%
Ametek, Inc.	194,600		9,115,064
Amphenol Corp.	194,400		9,014,328
Intersil Corp. - Class A	147,100		3,601,008
			21,730,400
Energy & Utilities — 0.5%
Quanta Services, Inc.(b)	80,600		2,114,944
Entertainment & Leisure — 5.1%
DreamWorks Animation SKG, Inc. - Class A(b)	213,600		5,455,344
Orient-Express Hotels Ltd. - Class A	85,400		4,912,208
Pinnacle Entertainment, Inc.(b)	105,500		2,485,580
Scientific Games Corp. - Class A(b)	227,800		7,574,350
			20,427,482
Finance — 5.9%
Affiliated Managers Group, Inc.(b)(c)	26,200		3,077,452
AllianceBernstein Holding LP	47,200		3,551,800
CME Group, Inc.	15,100		10,358,600
Invesco Ltd.	88,700		2,783,406
T. Rowe Price Group, Inc.	60,100		3,658,888
			23,430,146
Food & Agriculture — 0.8%
Panera Bread Co. - Class A(b)(c)	86,300		3,091,266
Machinery & Heavy Equipment — 1.7%
Joy Global, Inc.	102,300		6,733,386
Manufacturing — 4.6%
IDEX Corp.	177,900		6,427,527
Phillips-Van Heusen Corp.	68,400		2,521,224
Precision Castparts Corp.	27,000		3,744,900
Quanex Corp.	113,000		5,864,700
			18,558,351
Measuring & Controlling Devices — 2.6%
Thermo Electron Corp.(b)	178,600		10,301,648
Medical & Medical Services — 6.6%
Coventry Health Care, Inc.(b)	77,450		4,588,913
Magellan Health Services, Inc.(b)	87,200		4,066,136
Medco Health Solutions, Inc.(b)	84,400		8,558,160
Pediatrix Medical Group, Inc.(b)	135,900		9,261,585
			26,474,794
Medical Instruments & Supplies — 2.8%
Hologic, Inc.(b)	98,100		6,733,584
Martek Biosciences Corp.(b)(c)	144,400		4,271,352
			11,004,936
Metal & Mining — 5.3%
Century Aluminum Co.(b)	97,900		5,280,726
CONSOL Energy, Inc.	122,900		8,789,808
Massey Energy Co.	202,600		7,242,950
			21,313,484
Miscellaneous Services — 1.5%
TeleTech Holdings, Inc.(b)	289,300		6,153,411
Motor Vehicles — 2.3%
Oshkosh Truck Corp.(c)	193,200		9,130,632
Oil & Gas — 9.2%
Acergy SA - ADR	220,500		4,844,385
BJ Services Co.	90,500		2,195,530
Chesapeake Energy Corp.	121,700		4,770,640
EOG Resources, Inc.	71,400		6,372,450
Newfield Exploration Co.(b)	131,405		6,925,043
Noble Corp.	103,000		5,820,530
Plains Exploration & Production Co.(b)	58,800		3,175,200
Transocean, Inc.(b)	19,979		2,859,994
			36,963,772
Personal Services — 1.1%
Life Time Fitness, Inc.(b)(c)	65,200		3,239,136
MSCI, Inc.(b)	25,100		963,840
			4,202,976
Pharmaceuticals — 3.8%
Endo Pharmaceuticals Holdings, Inc.(b)	132,500		3,533,775
Forest Laboratories, Inc.(b)	52,600		1,917,270
Medicis Pharmaceutical Corp.	153,100		3,976,007
Shire Plc - ADR	85,656		5,905,981
			15,333,033
Railroad & Shipping — 0.5%
UTI Worldwide, Inc.	99,100		1,942,360
Retail Merchandising — 4.5%
GameStop Corp.(b)	187,200		11,626,992
TJX Cos., Inc.(c)	215,000		6,176,950
			17,803,942

DECEMBER 31, 2007 5

	Mid-Cap Growth Equity Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Semiconductors & Related Devices — 2.4%
Broadcom Corp. - Class A(b)	126,000	$	3,293,640
Lam Research Corp.(b)	45,293		1,958,016
PMC - Sierra, Inc.(b)	668,200		4,370,028
			9,621,684
Soaps & Cosmetics — 1.6%
Bare Escentuals, Inc.(b)(c)	269,200		6,528,100
Telecommunications — 5.1%
Amdocs Ltd.(b)	151,300		5,215,311
American Tower Corp. - Class A(b)	130,000		5,538,000
Harris Corp.	157,100		9,847,028
			20,600,339
TOTAL COMMON STOCKS
(Cost $299,183,298)			393,734,361
Short Term Investment — 1.9%
Galileo Money Market Fund, 4.32%(d)(d)
(Cost $7,571,010)(d)	7,571,010		7,571,010
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 100.3%
(Cost $306,754,308)			401,305,371
Affiliated Investment — 9.3%
Short Term Investment — 9.3%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $37,207,400)	37,207,400		37,207,400
TOTAL INVESTMENTS IN SECURITIES — 109.6%
(Cost $343,961,708(a))			438,512,771
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (9.3)%			(37,207,400	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)%			(1,279,420	)
NET ASSETS — 100.0%		$	400,025,951

(a) Cost for federal income tax purposes is $344,203,835. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	114,696,328
Gross unrealized depreciation		(20,387,392	)
	$	94,308,936

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

6 DECEMBER 31, 2007

	Aurora Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 99.9%
Canada — 2.4%
Real Estate — 2.4%
Boardwalk Real Estate Investment Trust (REIT)	685,144	$	30,926,760
United States — 97.5%
Aerospace — 3.6%
Orbital Sciences Corp.(b)(c)	463,377		11,362,004
Spirit AeroSystems Holdings, Inc. - Class A(b)	712,123		24,568,244
Teledyne Technologies, Inc.(b)	193,000		10,292,690
			46,222,938
Banks — 4.5%
Cullen/Frost Bankers, Inc.(c)	230,000		11,651,800
First Midwest Bancorp, Inc.	384,200		11,756,520
People’s United Financial, Inc.	873,400		15,546,520
Sterling Bancshares, Inc.	1,226,511		13,687,863
United Bankshares, Inc.	207,400		5,811,348
			58,454,051
Business Services — 3.9%
The Brink’s Co.(c)	727,700		43,472,798
Martha Stewart Living Omnimedia, Inc.(b)(c)	397,200		3,682,044
Pzena Investment Management, Inc.(c)	305,500		3,482,700
			50,637,542
Chemicals — 1.0%
Celanese Corp. - Series A	304,000		12,865,280
Computer & Office Equipment — 1.1%
Electronics for Imaging, Inc.(b)	643,100		14,456,888
Computer Software & Services — 6.3%
priceline.com, Inc.(b)(c)	160,200		18,400,572
Sybase, Inc.(b)(c)	1,342,700		35,031,043
Tech Data Corp.(b)	484,100		18,260,252
Teradata Corp.(b)	373,600		10,240,376
			81,932,243
Construction — 4.0%
Chicago Bridge & Iron Co. NV - ADR	243,000		14,686,920
Perini Corp.(b)	355,000		14,704,100
Texas Industries, Inc.(c)	318,400		22,319,840
			51,710,860
Containers — 2.0%
Crown Holdings, Inc.(b)(c)	333,800		8,561,970
Pactiv Corp.(b)	636,900		16,960,647
			25,522,617
Electronics — 0.9%
RF Micro Devices, Inc.(b)(c)	2,130,500		12,165,155
Energy & Utilities — 4.3%
CMS Energy Corp.(c)	484,700		8,424,086
Equitable Resources, Inc.	251,500		13,399,920
Integrys Energy Group, Inc.	217,955		11,266,094
MDU Resources Group, Inc.	410,900		11,344,949
Vectren Corp.	389,000		11,284,890
			55,719,939
Entertainment & Leisure — 9.1%
Hasbro, Inc.	370,100		9,467,158
Morgans Hotel Group Co.(b)	1,013,593		19,542,073
Orient-Express Hotels Ltd. - Class A	341,800		19,660,336
Pinnacle Entertainment, Inc.(b)(c)	983,034		23,160,281
Scientific Games Corp. - Class A(b)	1,070,000		35,577,500
WMS Industries, Inc.(b)	288,500		10,570,640
			117,977,988
Finance — 2.4%
Affiliated Managers Group, Inc.(b)(c)	259,800		30,516,108
Food & Agriculture — 3.5%
Chiquita Brands International, Inc.(b)	344,800		6,340,872
Dean Foods Co.	348,900		9,022,554
Hain Celestial Group, Inc.(b)(c)	917,208		29,350,656
			44,714,082
Insurance — 3.5%
Aspen Insurance Holdings Ltd.	339,600		9,794,064
Endurance Specialty Holdings Ltd.(c)	305,511		12,748,974
Platinum Underwriters Holdings Ltd.	294,577		10,475,158
W.R. Berkley Corp.(c)	395,300		11,783,893
			44,802,089
Machinery & Heavy Equipment — 0.6%
Albany International Corp. - Class A	213,000		7,902,300
Manufacturing — 5.0%
Commercial Metals Co.	220,930		6,484,295
Elizabeth Arden, Inc.(b)	556,400		11,322,740
Fuller (H.B.) Co.	551,900		12,390,155
General Cable Corp.(b)(c)	191,500		14,033,120
Hexel Corp.(b)(c)	494,500		12,006,460
Lennox International, Inc.(c)	219,300		9,083,406
			65,320,176
Medical & Medical Services — 5.3%
Community Health Systems, Inc.(b)	170,601		6,288,353
Davita, Inc.(b)	233,200		13,140,820
Kindred Healthcare, Inc.(b)	597,075		14,914,933
Magellan Health Services, Inc.(b)	728,000		33,946,640
			68,290,746
Medical Instruments & Supplies — 0.7%
DENTSPLY International, Inc.	200,800		9,040,016
Metal & Mining — 1.2%
Foundation Coal Holdings, Inc.	300,000		15,750,000
Motor Vehicles — 1.3%
LKQ Corp.(b)	800,000		16,816,000
Oil & Gas — 6.6%
Cal Dive International, Inc.(b)(c)	313,300		4,148,092
Exterran Holdings, Inc.(b)	141,600		11,582,880
Grant Prideco, Inc.(b)	273,700		15,193,087
Oceaneering International, Inc.(b)	180,300		12,143,205
Petrohawk Energy Corp.(b)	835,200		14,457,312
Sandridge Energy, Inc.(b)(c)	19,300		692,098
Southwest Gas Corp.(c)	390,036		11,611,372
Southwestern Energy Co.(b)	270,900		15,094,548
			84,922,594
Paper & Forest Products — 1.2%
Louisiana-Pacific Corp.(c)	1,169,300		15,996,024
Pharmaceuticals — 2.7%
Axcan Pharma, Inc.(b)	1,238,983		28,496,609

DECEMBER 31, 2007 7

	Aurora Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Pharmaceuticals (Continued)
Dyax Corp.(b)	1,721,200	$	6,299,592
			34,796,201
Real Estate — 1.0%
Alexandria Real Estate Equities, Inc. (REIT)(c)	133,800		13,603,446
Retail Merchandising — 12.0%
AnnTaylor Stores Corp.(b)	404,400		10,336,464
BJ’s Wholesale Club, Inc.(b)(c)	1,297,200		43,884,276
Copart, Inc.(b)	354,300		15,075,465
Jarden Corp.(b)	368,500		8,700,285
PetSmart, Inc.(c)	589,200		13,863,876
Ruddick Corp.	499,300		17,310,731
Saks, Inc.(b)(c)	1,147,218		23,816,246
Sally Beauty Holdings, Inc.(b)	910,700		8,241,835
The Talbots, Inc.(c)	1,230,903		14,549,273
			155,778,451
Security Brokers & Dealers — 2.2%
Piper Jaffray Cos., Inc.(b)(c)	608,100		28,167,192
Semiconductors & Related Devices — 1.5%
Micron Technology, Inc.(b)	909,100		6,590,975
PMC-Sierra, Inc.(b)(c)	2,048,900		13,399,806
			19,990,781
Telecommunications — 3.1%
Anixter International, Inc.(b)	166,400		10,361,728
Polycom, Inc.(b)	782,100		21,726,738
Tessera Technologies, Inc.(b)	199,800		8,311,680
			40,400,146
Transportation — 0.9%
Kirby Corp.(b)	248,200		11,536,336
Waste Management — 2.1%
URS Corp.(b)	498,400		27,078,072
Total United States			1,263,086,261
TOTAL COMMON STOCKS
(Cost $1,214,898,165)			1,294,013,021
Short Term Investment — 1.1%
Galileo Money Market Fund, 4.32%(d)
(Cost $13,796,882)(d)	13,796,882		13,796,882
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 101.0%
(Cost $1,228,695,047)			1,307,809,903
Affiliated Investment — 19.6%
Short Term Investment — 19.6%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $254,573,400)	254,573,400		254,573,400
TOTAL INVESTMENTS IN SECURITIES — 120.6%
(Cost $1,483,268,447(a))			1,562,383,303
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (19.6)%			(254,573,400	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.0)%			(12,758,259	)
NET ASSETS — 100.0%		$	1,295,051,644

(a) Cost for federal income tax purposes is $1,485,960,270. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	177,238,500
Gross unrealized depreciation		(100,815,467	)
	$	76,423,033

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

8 DECEMBER 31, 2007

	Small/Mid-Cap Growth Equity Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 99.9%
Aerospace — 3.3%
Argon ST, Inc.(b)	147,500	$	2,737,600
BE Aerospace, Inc.(b)	119,000		6,295,100
			9,032,700
Banks — 3.0%
Fidelity National Information Services, Inc.	93,448		3,886,502
Signature Bank(b)	70,900		2,392,875
UMB Financial Corp.	47,000		1,802,920
			8,082,297
Broadcasting — 2.2%
CKX, Inc.(b)	508,300		6,099,600
Business Services — 9.0%
3Par, Inc.(b)	6,600		85,140
The Advisory Board Co.(b)	39,700		2,548,343
CommVault Systems, Inc.(b)	160,354		3,396,298
DeVry, Inc.	61,440		3,192,422
ExlService Holdings, Inc.(b)	285,108		6,580,293
Forrester Research, Inc.(b)	183,951		5,154,307
Net1 UEPS Technologies, Inc.(b)(c)	115,100		3,379,336
			24,336,139
Chemicals — 1.9%
Celanese Corp. - Series A(c)	121,500		5,141,880
Computer Software & Services — 17.1%
ACI Worldwide, Inc.(b)	149,424		2,845,033
Blackboard, Inc.(b)	104,700		4,214,175
Foundry Networks, Inc.(b)	134,100		2,349,432
IHS, Inc.(b)	79,808		4,833,172
International Game Technology	66,500		2,921,345
Jack Henry & Associates, Inc.	108,746		2,646,878
MICROS Systems, Inc.(b)	64,300		4,511,288
SkillSoft Plc - ADR(b)	1,037,000		9,913,720
SonicWALL, Inc.(b)	692,300		7,421,456
Sykes Enterprises, Inc.(b)	264,684		4,764,312
			46,420,811
Electronics — 3.1%
Ametek, Inc.	83,800		3,925,192
Intersil Corp. - Class A	82,900		2,029,392
Silicon Motion Technology Corp. - ADR(b)	130,838		2,326,300
			8,280,884
Energy & Utilities — 1.1%
Airgas, Inc.	55,678		2,901,381
Entertainment & Leisure — 4.4%
DreamWorks Animation SKG, Inc. - Class A(b)	112,232		2,866,405
Orient-Express Hotels Ltd. - Class A	55,400		3,186,608
Pinnacle Entertainment, Inc.(b)	102,362		2,411,649
Scientific Games Corp. - Class A(b)	108,000		3,591,000
			12,055,662
Finance — 5.5%
Affiliated Managers Group, Inc.(b)	22,500		2,642,850
CME Group, Inc.	7,490		5,138,140
Invesco Ltd.	122,700		3,850,326
Longtop Financial Technologies Ltd.(b)	700		16,576
Wright Express Corp.(b)	96,218		3,414,777
			15,062,669
Machinery & Heavy Equipment — 1.4%
Joy Global, Inc.	55,900		3,679,338
Manufacturing — 4.4%
IDEX Corp.	58,592		2,116,929
Ladish Co., Inc.(b)	64,100		2,768,479
Phillips-Van Heusen Corp.	58,342		2,150,486
Quanex Corp.	87,000		4,515,300
Smith & Wesson Holding Corp.(b)(c)	59,700		364,170
			11,915,364
Medical & Medical Services — 6.6%
Coventry Health Care, Inc.(b)	58,560		3,469,680
Lifecell Corp.(b)	50,916		2,194,989
Magellan Health Services, Inc.(b)	66,400		3,096,232
MedCath Corp.(b)	146,600		3,600,496
Pediatrix Medical Group, Inc.(b)	81,500		5,554,225
			17,915,622
Medical Instruments & Supplies — 6.2%
Align Technology, Inc.(b)	104,344		1,740,458
Hologic, Inc.(b)	64,900		4,454,736
SonoSite, Inc.(b)	114,478		3,854,475
Wright Medical Group, Inc.(b)	136,348		3,977,271
Zoll Medical Corp.(b)	107,942		2,884,210
			16,911,150
Metal & Mining — 4.4%
Century Aluminum Co.(b)	44,500		2,400,330
CONSOL Energy, Inc.	63,400		4,534,368
Massey Energy Co.(c)	141,600		5,062,200
			11,996,898
Miscellaneous Services — 1.3%
TeleTech Holdings, Inc.(b)	166,540		3,542,306
Motor Vehicles — 1.2%
Oshkosh Truck Corp.	69,700		3,294,022
Oil & Gas — 5.6%
Delta Petroleum Corp.(b)(c)	140,918		2,656,304
Newfield Exploration Co.(b)	57,800		3,046,060
Noble Corp.	58,400		3,300,184
Plains Exploration & Production Co.(b)	56,500		3,051,000
Superior Energy Services, Inc.(b)	92,400		3,180,408
			15,233,956
Personal Services — 1.2%
Life Time Fitness, Inc.(b)(c)	52,014		2,584,055
MSCI, Inc.(b)	17,200		660,480
			3,244,535
Pharmaceuticals — 4.6%
Endo Pharmaceuticals Holdings, Inc.(b)	129,600		3,456,432
Forest Laboratories, Inc.(b)	73,078		2,663,693
Medicis Pharmaceutical Corp.	121,500		3,155,355
Shire Plc - ADR	47,676		3,287,260
			12,562,740
Railroad & Shipping — 0.8%
UTI Worldwide, Inc.	116,600		2,285,360
Restaurants — 0.7%
Ruth’s Chris Steak House, Inc.(b)	226,500		2,024,910
Retail Merchandising — 3.3%
Dick’s Sporting Goods, Inc.(b)	110,030		3,054,433
GameStop Corp.(b)	95,166		5,910,760
			8,965,193

DECEMBER 31, 2007 9

	Small/Mid-Cap Growth Equity Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Semiconductors & Related Devices — 2.7%
Microsemi Corp.(b)	117,200	$	2,594,808
Standard Microsystems Corp.(b)	118,300		4,621,981
			7,216,789
Soaps & Cosmetics — 1.1%
Bare Escentuals, Inc.(b)(c)	120,422		2,920,233
Ulta Salon Cosmetics & Fragrance, Inc.(b)	3,900		66,885
			2,987,118
Telecommunications — 3.8%
Amdocs Ltd.(b)	87,675		3,022,157
American Tower Corp. - Class A(b)	78,500		3,344,100
Harris Corp.	64,000		4,011,520
			10,377,777
TOTAL COMMON STOCKS
(Cost $218,272,467)			271,567,101
Short Term Investments — 1.9%
Galileo Money Market Fund, 4.32%(d)
(Cost $5,119,647)(d)	5,119,647		5,119,647
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 101.8%
(Cost $223,392,114)			276,686,748
Affiliated Investment — 6.5%
Short Term Investment — 6.5%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $17,521,600)	17,521,600		17,521,600
TOTAL INVESTMENTS IN SECURITIES — 108.3%
(Cost $240,913,714(a))			294,208,348
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (6.5)%			(17,521,600	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.8)%			(4,931,708	)
NET ASSETS — 100.0%		$	271,755,040

(a) Cost for federal income tax purposes is $242,086,734. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	65,835,455
Gross unrealized depreciation		(13,713,841	)
	$	52,121,614

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

10 DECEMBER 31, 2007

	Small Cap Value Equity Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 95.7%
Aerospace — 1.7%
Orbital Sciences Corp.(b)	40,900	$	1,002,868
Banks — 5.2%
First Midwest Bancorp, Inc.	24,800		758,880
First Niagara Financial Group, Inc.	25,400		305,816
KBW, Inc.(b)	21,900		560,421
Sterling Bancshares, Inc.	47,728		532,644
United Bankshares, Inc.	21,480		601,870
Wintrust Financial Corp.	10,956		362,972
			3,122,603
Business Services — 3.5%
The Brink’s Co.	27,200		1,624,928
Forrester Research, Inc.(b)	17,000		476,340
			2,101,268
Chemicals — 1.4%
Sensient Technologies Corp.	29,700		839,916
Computer & Office Equipment — 1.4%
Electronics for Imaging, Inc.(b)	35,800		804,784
Computer Software & Services — 3.8%
Epicor Software Corp.(b)	30,900		364,002
Guidance Software, Inc.(b)	19,715		274,827
Lawson Software, Inc.(b)	51,700		529,408
Quality Systems, Inc.(c)	10,900		332,341
SkillSoft Plc - ADR(b)	59,033		564,356
Tech Data Corp.(b)	4,600		173,512
			2,238,446
Construction — 5.9%
Dycom Industries, Inc.(b)	38,402		1,023,413
Great Lakes Dredge & Dock Corp.	20,997		183,094
Perini Corp.(b)	16,977		703,188
Texas Industries, Inc.	22,600		1,584,260
			3,493,955
Containers — 2.4%
Silgan Holdings, Inc.	27,000		1,402,380
Electronics — 1.6%
RF Micro Devices, Inc.(b)	164,900		941,579
Energy & Utilities — 1.3%
UIL Holdings Corp.	20,700		764,865
Entertainment & Leisure — 8.6%
Leapfrog Enterprises, Inc.(b)(c)	51,406		345,962
Morgans Hotel Group Co.(b)	49,704		958,293
Orient-Express Hotels Ltd. - Class A	14,900		857,048
Pinnacle Entertainment, Inc.(b)	53,400		1,258,104
Vail Resorts, Inc.(b)	12,122		652,285
WMS Industries, Inc.(b)	28,700		1,051,568
			5,123,260
Food & Agriculture — 2.1%
Hain Celestial Group, Inc.(b)	38,200		1,222,400
Insurance — 4.5%
Aspen Insurance Holdings Ltd.	9,600		276,864
Endurance Specialty Holdings Ltd.	13,685		571,075
IPC Holdings Ltd.	39,800		1,149,026
Navigators Group, Inc.(b)	3,191		207,415
Platinum Underwriters Holdings Ltd.	13,289		472,557
			2,676,937
Machinery & Heavy Equipment — 2.9%
Albany International Corp. - Class A	12,100		448,910
Astec Industries, Inc.(b)	8,100		301,239
H&E Equipment Services, Inc.(b)	29,390		554,883
Lufkin Industries, Inc.	7,700		441,133
			1,746,165
Manufacturing — 5.6%
Actuant Corp. - Class A	6,800		231,268
Chart Industries, Inc.(b)	15,300		472,770
Elizabeth Arden, Inc.(b)	35,096		714,204
Fuller (H.B.) Co.	42,200		947,390
Rock-Tenn Co.	14,699		373,501
Watson Wyatt Worldwide, Inc.	13,300		617,253
			3,356,386
Medical & Medical Services — 7.2%
Amedisys, Inc.(b)	20,400		989,808
Amsurg Corp.(b)	17,100		462,726
Kindred Healthcare, Inc.(b)	40,129		1,002,422
Magellan Health Services, Inc.(b)	39,166		1,826,311
			4,281,267
Metal & Mining — 1.0%
AM Castle & Co.	22,600		614,494
Motor Vehicles — 2.0%
LKQ Corp.(b)	57,900		1,217,058
Oil & Gas — 5.9%
Cal Dive International, Inc.(b)	35,700		472,668
Delta Petroleum Corp.(b)	33,300		627,705
North American Energy Partners, Inc.(b)	26,300		356,365
Oil States International, Inc.(b)	10,500		358,260
Southwest Gas Corp.	21,412		637,435
Swift Energy Co.(b)	14,100		620,823
W-H Energy Services, Inc.(b)	8,300		466,543
			3,539,799
Pharmaceuticals — 3.2%
Axcan Pharma, Inc.(b)	81,994		1,885,862
Real Estate — 3.4%
Arbor Realty Trust, Inc. (REIT)	49,622		799,410
Gramercy Capital Corp. (REIT)(c)	49,318		1,198,921
			1,998,331
Retail Merchandising — 13.5%
AnnTaylor Stores Corp.(b)	20,500		523,980
BJ’s Wholesale Club, Inc.(b)	58,800		1,989,204
The Children’s Place Retail Stores, Inc.(b)	33,800		876,434
Dress Barn, Inc.(b)	42,600		532,926
Longs Drug Stores Corp.	20,800		977,600
Ruddick Corp.	47,300		1,639,891
Sally Beauty Holdings, Inc.(b)	71,184		644,215
The Talbots, Inc.(c)	70,151		829,185
			8,013,435
Security Brokers & Dealers — 2.9%
Piper Jaffray Cos., Inc.(b)	28,135		1,303,213
TradeStation Group, Inc.(b)	29,100		413,511
			1,716,724

DECEMBER 31, 2007 11

	Small Cap Value Equity Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Semiconductors & Related Devices — 1.8%
Cirrus Logic, Inc.(b)	92,200	$	486,816
PMC-Sierra, Inc.(b)	92,900		607,566
			1,094,382
Textiles — 1.3%
Carter’s, Inc.(b)	40,900		791,415
Transportation — 0.9%
Kirby Corp.(b)	12,000		557,760
Waste Management — 0.7%
Waste Connections, Inc.(b)	14,250		440,325
TOTAL COMMON STOCKS
(Cost $54,354,216)			56,988,664
Short Term Investment — 7.8%
Galileo Money Market Fund, 4.32%(d)
(Cost $4,672,481)(d)	4,672,481		4,672,481
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 103.5%
(Cost $59,026,697)			61,661,145
Affiliated Investment — 3.8%
Short Term Investment — 3.8%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $2,240,900)	2,240,900		2,240,900
TOTAL INVESTMENTS IN SECURITIES — 107.3%
(Cost $61,267,597(a))			63,902,045
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (3.8)%			(2,240,900	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.5)%			(2,097,060	)
NET ASSETS — 100.0%		$	59,564,085

(a) Cost for federal income tax purposes is $61,685,128. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	5,882,783
Gross unrealized depreciation		(3,665,866	)
	$	2,216,917

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

12 DECEMBER 31, 2007

	Small Cap Core Equity Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 98.3%
Aerospace — 2.6%
AAR Corp.(b)	41,750	$	1,587,753
Orbital Sciences Corp.(b)	49,950		1,224,774
			2,812,527
Banks — 5.8%
CoBiz, Inc.(c)	57,100		849,077
Columbia Banking System, Inc.	29,460		875,846
First State Bancorporation	18,300		254,370
Greenhill & Co., Inc.(c)	20,600		1,369,488
KBW, Inc.(b)	48,200		1,233,438
Umpqua Holdings Corp.(c)	52,700		808,418
Wintrust Financial Corp.	29,300		970,709
			6,361,346
Business Services — 4.6%
Forrester Research, Inc.(b)	69,250		1,940,385
Hiedrick & Struggles International, Inc.	15,200		564,072
HMS Holdings Corp.(b)	39,945		1,326,574
Martha Stewart Living Omnimedia, Inc.(b)(c)	52,000		482,040
Net1 UEPS Technologies, Inc.(b)	25,350		744,276
			5,057,347
Chemicals — 0.6%
Minerals Technologies, Inc.	9,400		629,330
Computer & Office Equipment — 1.1%
Electronics for Imaging, Inc.(b)	54,300		1,220,664
Computer Software & Services — 13.4%
Aladdin Knowledge Systems Ltd.(b)	61,600		1,609,608
Blackboard, Inc.(b)	38,500		1,549,625
CACI International, Inc.(b)	16,650		745,421
Guidance Software, Inc.(b)	113,535		1,582,678
Lawson Software, Inc.(b)	112,950		1,156,608
Phase Forward, Inc.(b)	82,100		1,785,675
PROS Holdings, Inc.(b)	31,800		623,916
Quality Systems, Inc.(c)	29,200		890,308
SkillSoft Plc - ADR(b)	337,508		3,226,576
The TriZetto Group, Inc.(b)	87,268		1,515,845
			14,686,260
Containers — 1.2%
Silgan Holdings, Inc.	25,650		1,332,261
Electronics — 3.1%
Benchmark Electronics, Inc.(b)	32,900		583,317
Brady Corp.	26,500		929,885
RF Micro Devices, Inc.(b)	236,500		1,350,415
TTM Technologies, Inc.(b)	45,200		527,032
			3,390,649
Energy & Utilities — 3.1%
El Paso Electric Co.(b)	41,200		1,053,484
Houston Wire & Cable Co.(c)	31,500		445,410
UIL Holdings Corp.	52,600		1,943,570
			3,442,464
Entertainment & Leisure — 4.3%
Morgans Hotel Group Co.(b)	58,950		1,136,556
Orient-Express Hotels Ltd. - Class A	34,935		2,009,461
Pinnacle Entertainment, Inc.(b)	69,000		1,625,640
			4,771,657
Finance — 1.1%
Evercore Partners, Inc.	57,300		1,234,815
Food & Agriculture — 0.8%
Diamond Foods, Inc.	38,000		814,340
Insurance — 2.5%
First Mercury Financial Corp.(b)	90,600		2,210,640
Platinum Underwriters Holdings Ltd.	15,479		550,433
			2,761,073
Machinery & Heavy Equipment — 2.0%
Altra Holdings, Inc.(b)	71,400		1,187,382
H&E Equipment Services, Inc.(b)	53,600		1,011,968
			2,199,350
Manufacturing — 9.8%
Accuride Corp.(b)	89,400		702,684
Actuant Corp. - Class A(c)	60,000		2,040,600
AptarGroup, Inc.	16,000		654,560
Chart Industries, Inc.(b)	49,700		1,535,730
Chattem, Inc.(b)	14,400		1,087,776
Elizabeth Arden, Inc.(b)	77,800		1,583,230
Fuller (H.B.) Co.	39,300		882,285
Hardinge, Inc.	74,000		1,241,720
Hexel Corp.(b)	42,700		1,036,756
			10,765,341
Medical & Medical Services — 4.0%
Amedisys, Inc.(b)	42,500		2,062,100
Cross Country Healthcare, Inc.(b)	40,200		572,448
Pediatrix Medical Group, Inc.(b)	19,250		1,311,887
Sun Healthcare Group, Inc.(b)	25,700		441,269
			4,387,704
Medical Instruments & Supplies — 6.5%
Align Technology, Inc.(b)	15,400		256,872
Allscripts Healthcare Solutions, Inc.(b)(c)	57,300		1,112,766
ev3, Inc.(b)	89,750		1,140,723
Hologic, Inc.(b)	9,450		648,648
Immucor, Inc.(b)	17,100		581,229
MWI Veterinary Supply, Inc.(b)	25,281		1,011,240
Orthofix International NV(b)	16,000		927,520
Symmetry Medical, Inc.(b)	86,000		1,498,980
			7,177,978
Oil & Gas — 6.3%
Allis-Chalmers Energy, Inc.(b)	43,700		644,575
Cal Dive International, Inc.(b)(c)	41,600		550,784
Goodrich Petroleum Corp.(b)(c)	44,850		1,014,507
Hercules Offshore, Inc.(b)	37,850		900,073
Ion Geophysical Corp.(b)	86,000		1,357,080
Mariner Energy, Inc.(b)	51,500		1,178,320
Oil States International, Inc.(b)	36,900		1,259,028
			6,904,367
Pharmaceuticals — 5.6%
Axcan Pharma, Inc.(b)	57,800		1,329,400
Dyax Corp.(b)	282,321		1,033,295
ICON Plc - ADR(b)	33,900		2,097,054
Kendle International, Inc.(b)	34,900		1,707,308
			6,167,057
Real Estate — 4.8%
Arbor Realty Trust, Inc. (REIT)	64,541		1,039,755
BioMed Realty Trust, Inc. (REIT)	23,400		542,178
California Coastal Communities, Inc.(b)	13,552		79,686

DECEMBER 31, 2007 13

	Small Cap Core Equity Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Real Estate (Continued)
Corporate Office Properties Trust (REIT)	16,100	$	507,150
Education Realty Trust, Inc. (REIT)	67,000		753,080
Gramercy Capital Corp. (REIT)(c)	74,000		1,798,940
LaSalle Hotel Properties (REIT)	18,500		590,150
			5,310,939
Restaurants — 0.6%
Carrols Restaurant Group, Inc.(b)	69,267		663,578
Retail Merchandising — 4.1%
Copart, Inc.(b)	52,600		2,238,130
Golfsmith International Holdings, Inc.(b)	50,500		194,425
Jos. A. Bank Clothiers, Inc.(b)(c)	22,400		637,280
Sally Beauty Holdings, Inc.(b)	161,550		1,462,027
			4,531,862
Security Brokers & Dealers — 0.9%
Piper Jaffray Cos., Inc.(b)	22,250		1,030,620
Semiconductors & Related Devices — 1.0%
Ultra Clean Holdings, Inc.(b)	92,134		1,124,035
Telecommunications — 5.2%
EMS Technologies, Inc.(b)	68,300		2,065,392
Iowa Telecommunications Services, Inc.	59,400		965,844
iPCS, Inc.	31,080		1,118,569
Tessera Technologies, Inc.(b)	36,800		1,530,880
			5,680,685
Textiles — 1.3%
Carter’s, Inc.(b)	56,100		1,085,535
Kenneth Cole Productions, Inc.	19,100		334,059
			1,419,594
Transportation — 1.1%
Knight Transportation, Inc.(c)	60,300		893,043
Vitran Corp., Inc.(b)	18,197		258,943
			1,151,986
Waste Management — 0.9%
Clean Harbors, Inc.(b)	19,500		1,008,150
TOTAL COMMON STOCKS
(Cost $101,566,931)			108,037,979
Short Term Investment — 1.5%
Galileo Money Market Fund, 4.32%(d)
(Cost $1,679,883)(d)	1,679,883		1,679,883
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 99.8%
(Cost $103,246,814)			109,717,862
Affiliated Investment — 10.3%
Short Term Investment — 10.3%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $11,370,850)	11,370,850		11,370,850
TOTAL INVESTMENTS IN SECURITIES — 110.1%
(Cost $114,617,664(a))			121,088,712
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (10.3)%			(11,370,850	)
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%			225,377
NET ASSETS — 100.0%		$	109,943,239

(a) Cost for federal income tax purposes is $115,255,858. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	15,380,720
Gross unrealized depreciation		(9,547,866	)
	$	5,832,854

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

14 DECEMBER 31, 2007

	Small Cap Growth Equity Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 93.8%
Aerospace — 2.9%
Argon ST, Inc.(b)	434,500	$	8,064,320
BE Aerospace, Inc.(b)	294,060		15,555,774
			23,620,094
Banks — 1.8%
Signature Bank(b)	236,100		7,968,375
UMB Financial Corp.(c)	187,800		7,204,008
			15,172,383
Broadcasting — 2.7%
CKX, Inc.(b)	1,561,800		18,741,600
Outdoor Channel Holdings, Inc.(b)(c)	499,820		3,448,758
			22,190,358
Business Services — 10.0%
The Advisory Board Co.(b)	188,800		12,119,072
American Public Education, Inc.(b)	23,400		977,652
CommVault Systems, Inc.(b)	221,436		4,690,014
DeVry, Inc.(c)	241,558		12,551,354
Diamond Management & Technology Consultants, Inc.	1,225,096		8,906,448
ExlService Holdings, Inc.(b)	959,713		22,150,176
Forrester Research, Inc.(b)	643,400		18,028,068
Healthcare Services Group, Inc.(c)	180,862		3,830,668
			83,253,452
Chemicals — 1.2%
Agrium, Inc.	137,700		9,943,317
Computer Software & Services — 18.0%
ACI Worldwide, Inc.(b)	353,600		6,732,544
Aladdin Knowledge Systems Ltd.(b)	405,700		10,600,941
Blackboard, Inc.(b)	251,252		10,112,893
DemandTec, Inc.(b)	171,300		3,304,377
Foundry Networks, Inc.(b)	349,800		6,128,496
Greenfield Online, Inc.(b)	283,661		4,144,287
i2 Technologies, Inc.(b)(c)	804,800		10,140,480
IHS, Inc.(b)	291,800		17,671,408
Jack Henry & Associates, Inc.	450,400		10,962,736
Move, Inc.(b)	1,483,400		3,634,330
SkillSoft Plc - ADR(b)	2,841,130		27,161,203
SonicWALL, Inc.(b)	1,755,600		18,820,032
Sykes Enterprises, Inc.(b)	1,091,100		19,639,800
			149,053,527
Electronics — 0.8%
Silicon Motion Technology Corp. - ADR(b)	374,500		6,658,610
Energy & Utilities — 1.0%
Airgas, Inc.	161,300		8,405,343
Entertainment & Leisure — 6.6%
Ameristar Casinos, Inc.	306,500		8,441,010
Orient-Express Hotels Ltd. - Class A	294,300		16,928,136
Pinnacle Entertainment, Inc.(b)	337,900		7,960,924
Scientific Games Corp. - Class A(b)	378,500		12,585,125
Vail Resorts, Inc.(b)	44,900		2,416,069
World Wrestling Entertainment, Inc.	400,100		5,905,476
			54,236,740
Finance — 3.0%
Affiliated Managers Group, Inc.(b)(c)	74,400		8,739,024
Wright Express Corp.(b)	446,900		15,860,481
			24,599,505
Machinery & Heavy Equipment — 0.7%
Bucyrus International, Inc. - Class A(c)	61,500		6,112,485
Manufacturing — 7.4%
Actuant Corp. - Class A(c)	120,500		4,098,205
Kaydon Corp.(c)	136,000		7,417,440
Ladish Co., Inc.(b)	120,600		5,208,714
Quanex Corp.(c)	268,100		13,914,390
RBC Bearings, Inc.(b)	172,400		7,492,504
Smith & Wesson Holding Corp.(b)(c)	318,686		1,943,985
The Warnaco Group, Inc.(b)	265,253		9,230,804
Watson Wyatt Worldwide, Inc.	249,500		11,579,295
			60,885,337
Medical & Medical Services — 6.2%
Magellan Health Services, Inc.(b)	267,000		12,450,210
MedCath Corp.(b)	349,100		8,573,896
Pediatrix Medical Group, Inc.(b)	260,400		17,746,260
Qiagen NV(b)	410,060		8,631,764
Santarus, Inc.(b)(c)	1,451,300		3,991,075
			51,393,205
Medical Instruments & Supplies — 8.0%
Align Technology, Inc.(b)	138,859		2,316,168
Bruker BioSciences Corp.(b)	598,200		7,956,060
Cutera, Inc.(b)(c)	127,468		2,001,247
Hologic, Inc.(b)	122,750		8,425,560
Home Diagnostics, Inc.(b)	155,100		1,267,167
Martek Biosciences Corp.(b)	32,800		970,224
SonoSite, Inc.(b)	350,300		11,794,601
Wright Medical Group, Inc.(b)(c)	625,281		18,239,447
Zoll Medical Corp.(b)	501,400		13,397,408
			66,367,882
Metal & Mining — 2.2%
Century Aluminum Co.(b)	110,200		5,944,188
Massey Energy Co.	331,000		11,833,250
			17,777,438
Oil & Gas — 5.0%
Atwood Oceanics, Inc.(b)(c)	176,900		17,732,456
Comstock Resources, Inc.(b)	238,800		8,119,200
Dawson Geophysical Co.(b)	87,100		6,224,166
Delta Petroleum Corp.(b)	179,100		3,376,035
Oceaneering International, Inc.(b)(c)	89,100		6,000,885
			41,452,742
Personal Services — 1.2%
Life Time Fitness, Inc.(b)(c)	167,200		8,306,496
MSCI, Inc.(b)	51,100		1,962,240
			10,268,736
Pharmaceuticals — 1.5%
Medicis Pharmaceutical Corp.	484,400		12,579,868
Publishing & Printing — 1.0%
Dolan Media Co.(b)	293,579		8,563,699
Security Brokers & Dealers — 5.6%
Ishares Russell 2000 Growth Index Fund	392,900		32,799,292
Waddell & Reed Financial, Inc.(c)	387,300		13,977,657
			46,776,949
Semiconductors & Related Devices — 4.1%
Microsemi Corp.(b)(c)	541,700		11,993,238

DECEMBER 31, 2007 15

	Small Cap Growth Equity Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Semiconductors & Related Devices (Continued)
O2Micro International Ltd. - ADR(b)	663,900	$	7,661,406
Standard Microsystems Corp.(b)	372,900		14,569,203
			34,223,847
Soaps & Cosmetics — 0.1%
Ulta Salon Cosmetics & Fragrance, Inc.(b)	46,854		803,546
Telecommunications — 1.6%
EMS Technologies, Inc.(b)	396,045		11,976,401
Occam Networks, Inc.(b)	408,400		1,453,904
			13,430,305
Waste Management — 1.2%
Clean Harbors, Inc.(b)	183,200		9,471,440
TOTAL COMMON STOCKS
(Cost $626,276,926)			777,240,808
Short Term Investments — 9.9%
Galileo Money Market Fund, 4.32%(d)
(Cost $82,060,342)(d)	82,060,342		82,060,342
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 103.7%
(Cost $708,337,268)			859,301,150
Affiliated Investment — 13.4%
Short Term Investment — 13.4%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $111,234,050)	111,234,050		111,234,050
TOTAL INVESTMENTS IN SECURITIES — 117.1%
(Cost $819,571,318(a))			970,535,200
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (13.4)%			(111,234,050	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.7)%			(30,797,100	)
NET ASSETS — 100.0%		$	828,504,050

(a) Cost for federal income tax purposes is $824,593,670. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	196,029,042
Gross unrealized depreciation		(50,087,512	)
	$	145,941,530

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

16 DECEMBER 31, 2007

	Global Science & Technology Opportunities Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 95.9%
Argentina — 0.3%
Computer Software & Services — 0.3%
Mercadolibre, Inc.(b)	1,700	$	125,596
China — 1.3%
Computer Software & Services — 1.3%
Baidu.Com(b)	700		273,273
Sina Corp.(b)	6,000		265,860
			539,133
Total China			539,133
Finland — 0.7%
Telecommunications — 0.7%
Nokia Corp.—ADR	8,300		318,637
France — 2.0%
Computer Software & Services — 0.8%
Business Objects SA—ADR(b)	5,200		316,680
Entertainment & Leisure — 0.7%
Ubisoft Entertainment	3,100		314,706
Machinery & Heavy Equipment — 0.5%
ALSTOM	1,000		214,793
Medical Instruments & Supplies — 0.0%
NicOx SA	8		128
Total France			846,307
Germany — 1.5%
Computer Software & Services — 0.6%
SAP AG - ADR	5,100		260,355
Manufacturing — 0.6%
Siemens AG	1,700		270,304
Semiconductors & Related Devices — 0.3%
Infineon Technologies AG - ADR(b)	10,400		121,056
Total Germany			651,715
Hong Kong — 1.5%
Semiconductors & Related Devices — 0.5%
ASM Pacific Technology Ltd.	29,900		217,336
Telecommunications — 1.0%
China Mobile Ltd.	24,300		423,173
Total Hong Kong			640,509
India — 0.9%
Telecommunications — 0.9%
Bharti Tele-Ventures Ltd.	15,500		387,695
Indonesia — 0.7%
Telecommunications — 0.7%
PT Telekomunikasi Indonesia	290,500		307,535
Japan — 3.6%
Computer Software & Services — 1.1%
Nintendo Co. Ltd.	800		469,721
Electronics — 0.2%
Nihon Dempa Kogyo Co. Ltd.	1,900		92,084
Energy & Utilities — 1.0%
Kurita Water Industries Ltd.	14,300		431,314
Machinery & Heavy Equipment — 0.3%
Disco Corp.	2,400		132,828
Manufacturing — 0.6%
Konica Corp.	15,000		262,965
Metal & Mining — 0.4%
Sumitomo Metal Mining Co. Ltd.	9,000		152,159
Total Japan			1,541,071
Mexico — 0.6%
Telecommunications — 0.6%
America Movil SA - ADR	3,900		239,421
South Korea — 1.3%
Computer Software & Services — 0.9%
NHN Corp.(b)	1,700		405,376
Electronics — 0.4%
Samsung Electronics Co. Ltd.	300		176,550
Total South Korea			581,926
Switzerland — 0.7%
Pharmaceuticals — 0.7%
Roche Holding AG	1,300		224,725
Roche Holding AG - ADR	800		68,320
			293,045
Taiwan — 2.3%
Computer & Office Equipment — 0.8%
Asustek Computer, Inc.	65,900		196,092
High Tech Computer Corp.	8,400		153,824
			349,916
Computer Software & Services — 0.5%
Inventec Co. Ltd.	203,800		117,124
MediaTek, Inc.	9,250		118,565
			235,689
Electronics — 0.0%
Hon Hai Precision Industry Co. Ltd.	1		5
Semiconductors & Related Devices — 1.0%
Av Tech Corp.	12,560		79,371
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR	22,903		228,114
Vanguard International Semiconductor Corp.	130,158		96,775
			404,260
Total Taiwan			989,870
United Kingdom — 0.6%
Aerospace — 0.6%
Meggitt Plc	39,200		259,427
Telecommunications — 0.0%
Blinkx Plc	23,400		12,791
Total United Kingdom			272,218
United States — 77.9%
Aerospace — 3.3%
Goodrich Corp.	6,500		458,965
Lockheed Martin Corp.	6,500		684,190
Raytheon Co.	4,800		291,360
			1,434,515
Broadcasting — 0.6%
Liberty Global, Inc.(b)	6,600		258,654
Computer & Office Equipment — 10.1%
Apple Computer, Inc.(b)	10,200		2,020,416
Cisco Systems, Inc.(b)	30,200		817,514
Dell, Inc.(b)	12,500		306,375

DECEMBER 31, 2007 17

	Global Science & Technology Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Computer & Office Equipment (Continued)
Hewlett-Packard Co.	15,600	$	787,488
International Business Machines Corp.	4,000		432,400
Netezza Corp.(b)	400		5,520
			4,369,713
Computer Software & Services — 27.3%
Adobe Systems, Inc.(b)	15,100		645,223
Autodesk, Inc.(b)	7,400		368,224
BMC Software, Inc.(b)	6,000		213,840
Citrix Systems, Inc.(b)	11,500		437,115
Cognos, Inc.(b)	9,800		564,186
Computer Sciences Corp.(b)	6,200		306,714
DST Systems, Inc.(b)	11,200		924,560
eBay, Inc.(b)	13,700		454,703
Electronic Arts, Inc.(b)	9,500		554,895
EMC Corp.(b)	24,700		457,691
Foundry Networks, Inc.(b)	15,700		275,064
Google, Inc. - Class A(b)	2,100		1,452,108
Juniper Networks, Inc.(b)	15,800		524,560
McAfee, Inc.(b)	11,100		416,250
Medassets, Inc.(b)	3,900		93,366
Microsoft Corp.	23,000		818,800
Oracle Corp.(b)	25,700		580,306
priceline.com, Inc.(b)	2,900		333,094
Progress Software Corp.(b)	5,400		181,872
Salesforce.Com, Inc.(b)	5,600		351,064
Seagate Technology, Inc.	9,200		234,600
Sun Microsystems, Inc.(b)	9,225		167,249
Sybase, Inc.(b)	11,200		292,208
Synopsys, Inc.(b)	6,400		165,952
VeriSign, Inc.(b)	12,200		458,842
VMware, Inc.(b)(c)	2,900		246,471
Yahoo!, Inc.(b)	11,800		274,468
			11,793,425
Electronics — 4.8%
Agilent Technologies, Inc.(b)	11,200		411,488
Amphenol Corp.	7,900		366,323
Intel Corp.	35,000		933,100
Intersil Corp. - Class A	6,400		156,672
National Semiconductor Corp.	8,900		201,496
			2,069,079
Manufacturing — 2.0%
Corning, Inc.	17,000		407,830
Textron, Inc.	3,600		256,680
Varian, Inc.(b)	3,200		208,960
			873,470
Measuring & Controlling Devices — 0.7%
KLA-Tencor Corp.	6,000		288,960
Medical & Medical Services — 1.3%
Bioform Medical, Inc.(b)	3,400		23,222
Covance, Inc.(b)	2,600		225,212
Integra LifeSciences Holdings Corp.(b)	3,800		159,334
Millipore Corp.(b)	2,200		160,996
			568,764
Medical Instruments & Supplies — 6.5%
Becton, Dickinson & Co.	6,700		559,986
Charles River Laboratories International, Inc.(b)	3,700		243,460
Cyberonics, Inc.(b)	6,200		81,592
Johnson & Johnson	1,900		126,730
SenoRx, Inc.(b)	5,400		45,900
St. Jude Medical, Inc.(b)	6,500		264,160
Stryker Corp.	5,700		425,904
Varian Medical Systems, Inc.(b)	6,100		318,176
Waters Corp.(b)	9,066		716,849
			2,782,757
Miscellaneous Services — 0.5%
Owens & Minor, Inc.	4,600		195,178
Pharmaceuticals — 8.2%
Abbott Laboratories	9,500		533,425
Alexion Pharmaceuticals, Inc.(b)	3,200		240,096
Applera Corp. - Applied Biosystems Group	8,100		274,752
Applera Corp. - Celera Genomics Group(b)	9,400		149,178
BioMarin Pharmaceutical, Inc.(b)	9,700		343,380
Cephalon, Inc.(b)	1,000		71,760
Gilead Sciences, Inc.(b)	9,000		414,090
ImClone Systems, Inc.(b)	3,500		150,500
Kosan Biosciences, Inc.(b)	17		61
Merck & Co., Inc.	7,900		459,069
Myriad Genetics, Inc.(b)	1,800		83,556
Onyx Pharmaceuticals, Inc.(b)	6,300		350,406
Pharmion Corp.(b)	2,900		182,294
United Therapeutics Corp.(b)	2,700		263,655
			3,516,222
Retail Merchandising — 0.4%
CVS Caremark Corp.	4,800		190,800
Semiconductors & Related Devices — 4.9%
Applied Materials, Inc.	11,300		200,688
Broadcom Corp. - Class A(b)	8,400		219,576
Cavium Networks, Inc.(b)	5,100		117,402
Kulicke & Soffa Industries, Inc.(b)	17,200		117,992
Lam Research Corp.(b)	4,100		177,243
Maxim Integrated Products, Inc.	8,500		225,080
MEMC Electronic Materials, Inc.(b)	4,500		398,205
Netlogic Microsystems, Inc.(b)	3,800		122,360
NVIDIA Corp.(b)	7,200		244,944
Texas Instruments, Inc.	8,600		287,240
			2,110,730
Telecommunications — 7.3%
American Tower Corp. - Class A(b)	4,800		204,480
AT&T, Inc.	7,900		328,324
Atheros Communications, Inc.(b)	7,200		219,888
Ciena Corp.(b)	3,600		122,796
Harris Corp.	6,600		413,688
Harris Stratex Networks, Inc.(b)	8,600		143,620
Motorola, Inc.	11,200		179,648
QUALCOMM, Inc.	7,200		283,320
Research In Motion Ltd.(b)	7,300		827,820
Syniverse Holdings, Inc.(b)	11,600		180,728

18 DECEMBER 31, 2007

	Global Science & Technology Opportunities Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Telecommunications (Continued)
Verizon Communications, Inc.	6,000	$	262,140
			3,166,452
Total United States			33,618,719
TOTAL COMMON STOCKS
(Cost $33,451,597)			41,353,397
Short Term Investment — 2.9%
Galileo Money Market Fund, 4.32%(d)
(Cost $1,261,660)(d)	1,261,660		1,261,660
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 98.8%
(Cost $34,713,257)			42,615,057
Affiliated Investment — 0.5%
Short Term Investment — 0.5%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $239,400)	239,400		239,400
TOTAL INVESTMENTS IN SECURITIES — 99.3%
(Cost $34,952,657(a))			42,854,457
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (0.5)%			(239,400	)
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2%			521,389
NET ASSETS — 100.0%		$	43,136,446

(a) Cost for federal income tax purposes is $35,033,273. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	8,849,356
Gross unrealized depreciation		(1,028,172	)
	$	7,821,184

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

DECEMBER 31, 2007 19

	Global Resources Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 94.1%
Canada — 22.5%
Banks — 0.0%
Quest Capital Corp.	61,000	$	166,878
Energy & Utilities — 0.3%
Epsilon Energy, Inc.	332,500		1,003,951
MGM Energy Corp.(b)	15,084		32,401
Tanganyika Oil Co. Ltd.	232,700		2,718,290
			3,754,642
Metal & Mining — 7.2%
Alexco Resource Corp.(b)	593,683		3,218,202
Aurora Energy Resources, Inc.(b)	246,000		3,372,390
Baja Mining Corp.(b)	3,654,800		6,739,689
Corriente Resources, Inc. - Class A(b)	982,800		5,387,252
Crosshair Exploration & Mining Corp.(b)	352,800		779,273
Denison Mines Corp.(b)	218,500		1,968,149
Erdene Gold, Inc. (acquired 04/12/07, cost $959,233)(b)(c)(d)	1,100,000		1,237,145
European Goldfields Ltd.(b)	561,400		3,117,151
Frontier Pacific Mining Corp.(b)	3,024,300		2,267,574
Gateway Gold Corp.(b)	500,000		179,847
Gold Reserve, Inc.(b)	123,948		644,530
Goldcorp, Inc.	4,600		157,536
Golden Star Resources Ltd.(b)(e)	789,408		2,543,510
MAG Silver Corp.(b)	964,000		14,446,081
Minefinders Corp. Ltd.(b)	250,000		2,825,000
Nevsun Resources Ltd. (acquired 01/20/05, cost $4,883,732)(b)(c)(f)	1,554,800		3,623,324
Northern Star Mining Corp.(b)	1,133,500		976,215
NovaGold Resources, Inc.(b)	371,843		3,034,239
Polymet Mining Corp.(b)	1,250,000		4,103,551
Q2 Gold Resources, Inc.(d)	327,600		0
Romarco Minerals, Inc.(b)	223,000		56,487
Rusoro Mining Ltd.(b)	11,765		19,072
Southwestern Resources Corp.(b)	1,066,900		702,655
Sunridge Gold Corp.(b)	2,434,459		4,020,637
Triex Minerals Corp.(b)	156,050		393,702
Triex Minerals Corp. (acquired 12/23/05, cost $671,761)(b)(c)	312,100		787,405
Uranium One, Inc.(b)	500,365		4,476,643
Virginia Mines, Inc.(b)	216,350		1,773,415
West Timmins Mining, Inc.(b)	2,160,128		1,969,821
X-Cal Resources Ltd.(b)	1,755,500		329,062
			75,149,557
Motor Vehicles — 0.3%
Westport Innovations, Inc.(b)	959,500		2,770,733
Oil & Gas — 14.7%
Accrete Energy, Inc.(b)	13,690		68,523
Alberta Clipper Energy, Inc.(b)	95,415		186,586
Baytex Energy Trust	421,948		8,123,017
Birchcliff Energy Ltd.(b)	262,700		1,945,729
Bow Valley Energy Ltd.(b)	634,600		4,050,843
Canadian Superior Energy, Inc.(b)	1,645,800		4,789,278
Canext Energy Ltd.(b)	207,829		92,654
Cinch Energy Corp.(b)	901,980		795,099
Compton Petroleum Corp.(b)	1,267,329		11,736,549
Cork Exploration, Inc.(b)	89,600		257,829
Crescent Point Energy Trust	102,001		2,564,106
Crew Energy, Inc.(b)	727,137		5,326,714
Cyries Energy, Inc.(b)	69,096		471,865
Daylight Resources Trust	346,361		2,537,303
Delphi Energy Corp.(b)	831,300		1,541,394
Ember Resources, Inc.(b)	274,224		330,641
Endev Energy, Inc.(b)	1,538,300		1,184,567
Equinox Minerals Ltd.(b)	776,014		4,293,061
Fairborne Energy Trust	259,558		1,577,940
First Calgary Petroleums Ltd.(b)	740,786		2,169,179
Galleon Energy, Inc. - Class A(b)	1,750,482		27,491,232
Gastar Exploration Ltd.(b)	1,055,300		1,319,125
Heritage Oil Corp.(b)	252,300		13,415,780
Highpine Oil & Gas Ltd.(b)	323,650		3,272,736
HSE Integrated Ltd.(b)	28,238		30,042
Iteration Energy Ltd.(b)	114,809		552,554
Leader Energy Services Ltd.(b)	454,104		43,710
Lynden Ventures Ltd.(b)	39,200		29,789
Masters Energy, Inc.(b)	27,741		65,491
Midnight Oil Exploration Ltd.(b)	1,127,700		1,234,020
Niko Resources Ltd. (acquired 01/20/05, cost $689,948)(b)(c)	39,000		3,526,774
Oilexco, Inc.(b)	673,075		8,988,427
Open Range Energy Corp.(b)	48,061		136,837
Pacific Rodera Energy, Inc.(b)	990,200		561,844
Pan Orient Energy Corp.(b)	178,500		2,741,841
Paramount Resources Ltd. - Class A(b)	377,100		5,234,581
Pengrowth Energy Trust	21,699		387,387
Penn West Energy Trust	72,000		1,885,080
Petro Andina Resources Inc.(b)	49,500		619,408
Petrolifera Petroleum Ltd.(b)	230,815		2,308,267
ProspEx Resources Ltd.(b)	1,504,120		4,572,025
Tag Oil Ltd. (acquired 09/22/05, cost $218,247)(b)(c)	198,000		19,059
Technicoil Corp.(b)	1,300,900		593,146
Trafalgar Energy Ltd.(b)	21,717		61,612
TransCanada Corp.	40,700		1,671,795
Trilogy Energy Trust	152,791		1,066,650
TriStar Oil & Gas Ltd.(b)	903,437		11,478,900
True Energy Trust	188,332		639,254
Tusk Energy Corp. (acquired 10/11/05 through 01/05/07, cost $8,250,724)(b)(c)	2,248,186		3,234,637
Vault Energy Trust	130,450		477,151
Vero Energy, Inc.(b)	91,642		538,552
West Energy Ltd.(b)	2,735		6,374
WesternZagros Resources Ltd.(b)	76,800		186,757
			152,433,714
Transportation — 0.0%
Railpower Technologies Corp.(b)	360,600		230,182
Total Canada			234,505,706
Norway — 1.5%
Oil & Gas — 0.6%
Sevan Marine ASA	425,800		6,430,306
Transportation — 0.9%
Stolt-Nielsen SA (acquired 01/20/05 through 07/24/07, cost $3,997,892)(b)(c)	296,100		8,834,167
Total Norway			15,264,473
United Kingdom — 1.5%
Energy & Utilities — 0.1%
ITM Power Plc	525,200		1,217,967
Oil & Gas — 1.4%
Archipelago Resources Plc (acquired 5/13/05, cost $1,453,189)(b)(c)	2,247,400		995,394
Gulfsands Petroleum Plc	563,300		1,827,731

20 DECEMBER 31, 2007

	Global Resources Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United Kingdom (Continued)
Oil & Gas (Continued)
Tullow Oil Plc	544,198	$	7,057,587
Venture Production Plc	289,729		4,567,747
			14,448,459
Total United Kingdom			15,666,426
United States — 68.6%
Energy & Utilities — 1.7%
Dynegy, Inc - Class A(b)	1,560		11,138
Equitable Resources, Inc.	256,500		13,666,320
Evergreen Energy, Inc.(b)(e)	393,400		877,282
Longview Energy Co. (acquired 01/20/05, cost $1,281,000)(b)(c)(d)(f)	85,400		1,708,000
Ocean Power Technologies, Inc.(b)	63,900		1,037,097
			17,299,837
Metal & Mining — 27.5%
Arch Coal, Inc.(e)	1,324,400		59,505,292
CONSOL Energy, Inc.(e)	1,323,100		94,628,112
Foundation Coal Holdings, Inc.	72,000		3,780,000
James River Coal Co.(b)(e)	131,100		1,465,698
Kinross Gold Corp.(b)	111,175		2,045,620
Massey Energy Co.	1,663,040		59,453,680
Patriot Coal Corp.(b)	88,673		3,701,211
Peabody Energy Corp.(e)	886,736		54,658,407
Randgold Resources Ltd.	200,000		7,426,000
			286,664,020
Oil & Gas — 39.4%
American Oil & Gas, Inc.(b)	224,088		1,299,710
Approach Resources, Inc.(b)	83,900		1,078,954
Aventine Renewable Energy Holdings, Inc.(b)	264,900		3,380,124
BJ Services Co.	401,400		9,737,964
Bois d’Arc Energy, Inc.(b)	165,300		3,281,205
Brigham Exploration Co.(b)	81,900		615,888
Callon Petroleum Co.(b)	92,200		1,516,690
CanArgo Energy Corp.(b)	5,024,200		4,572,022
Clayton Williams Energy, Inc.(b)	267,021		8,320,374
Complete Production Services, Inc.(b)	34,400		618,168
Comstock Resources, Inc.(b)	230,500		7,837,000
Delta Petroleum Corp.(b)(e)	1,008,797		19,015,824
Denbury Resources, Inc.(b)(e)	595,200		17,707,200
Diamond Offshore Drilling, Inc.(e)	94,223		13,379,666
ENSCO International, Inc.	94,100		5,610,242
EXCO Resources, Inc.(b)	379,800		5,879,304
Gasco Energy, Inc.(b)(e)	927,600		1,836,648
Grant Prideco, Inc.(b)	96,200		5,340,062
Halliburton Co.	290,626		11,017,632
Hercules Offshore, Inc.(b)	68,900		1,638,442
Marathon Oil Corp.	6,447		392,365
Matador Resources Co. (acquired 01/20/05 through 04/19/06, cost $2,957,155)(b)(c)(d)(f)	171,131		5,133,930
McMoRan Exploration Co.(b)(e)	110,900		1,451,681
Newfield Exploration Co.(b)	959,310		50,555,637
Parallel Petroleum Corp.(b)	107,032		1,886,974
Particle Drilling Technologies, Inc.(b)	337,600		871,008
Penn Virginia Corp.	866,200		37,792,306
Petrohawk Energy Corp.(b)	306,600		5,307,246
Pioneer Natural Resources Co.	209,200		10,217,328
Plains Exploration & Production Co.(b)	1,005,525		54,298,350
Schlumberger Ltd.	126,836		12,476,857
Southwestern Energy Co.(b)	624,300		34,785,996
Transocean, Inc.(b)(e)	233,982		33,494,523
Treasure Island Royalty Trust(b)	366,922		106,407
TXCO Resources, Inc.(b)	179,600		2,165,976
Verasun Energy Corp.(b)(e)	383,900		5,865,992
Warren Resources, Inc.(b)	222,282		3,140,845
Weatherford International Ltd.(b)	377,198		25,875,783
			409,502,323
Waste Management — 0.0%
Republic Resources, Inc.(b)	28,750		72
Total United States			713,466,252
TOTAL COMMON STOCKS
(Cost $522,134,200)			978,902,857
Warrants — 0.0%
Nevsun Resources Ltd. (issued 12/18/03, expiring 12/18/08, strike price 10.00 CAD) (acquired 1/20/05, cost $2)(b)(f)(g)	250,000		64,593
Point North Energy Ltd. (issued 7/24/03, expiring 7/23/08, strike price 5.00 CAD) (acquired 7/24/03, cost $74)(b)(d)(f)(h)	147,124		107
WesternZagros Resources Ltd. (issued 10/22/07, expiring 1/18/08, strike price 2.50 CAD) (acquired 10/25/07, cost $12,070)(b)(i)	7,680		1,167
TOTAL WARRANTS
(Cost $12,147)			65,867
Short Term Investment — 5.5%
Galileo Money Market Fund, 4.32%(j)
(Cost $56,742,791)(j)	56,742,791		56,742,791
	Number of Contracts
Call Options Purchased — 0.0%
U.S. Dollar Versus Canadian Dollar, Strike Price 1.050 CAD, Expires 3/04/08	29,150,000		122,692
U.S. Dollar Versus Canadian Dollar, Strike Price 1.050 CAD, Expires 3/04/08	52,470,000		220,846
U.S. Dollar Versus Canadian Dollar, Strike Price 1.050 CAD, Expires 3/04/08	29,150,000		122,693
TOTAL CALL OPTIONS PURCHASED
(Cost $1,188,154)			466,231

DECEMBER 31, 2007 21

	Global Resources Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

		Value
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 99.6%
(Cost $580,077,292)		$	1,036,177,746
	Number of Shares
Affiliated Investment — 12.6%
Short Term Investment — 12.6%
BlackRock Liquidity Series, LLC Money Market Series(k)
(Cost $130,799,450)	130,799,450		130,799,450
TOTAL INVESTMENTS IN SECURITIES — 112.2%
(Cost $710,876,742(a))		$	1,166,977,196
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (12.6)%			(130,799,450	)
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4%			4,029,694
NET ASSETS — 100.0%		$	1,040,207,440

(a) Cost for federal income tax purposes is $710,876,782. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	500,622,101
Gross unrealized depreciation		(44,521,687	)
	$	456,100,414

(b) Non-income producing security.

(c) Security restricted as to public resale. These securities are ineligible for resale into the public market until such time that either (i) a resale Registration Statement has been filed with the SEC and declared effective or (ii) resale is permitted under Rule 144A without the need for an effective registration statement. As of December 31, 2007, the Portfolio held 2.8% of its net assets, with a current market value of $29,099,835 and an original cost of $25,362,881 in these securities.

(d) Security valued at fair value as determined in good faith by or under the direction of the Board of Trustees. As of December 31, 2007, these securities had a total market value of $8,079,182, which represents 0.8% of net assets.

(e) Total or partial security on loan.

(f) Security is illiquid. As of December 31, 2007, the Portfolio held 1.0% of its net assets, with a current market value of $10,529,954, in these securities.1

(g) As of December 31, 2007, the aggregate amount of shares called for by these warrants is 250,000. These warrants became exercisable as of December 18, 2003.

(h) As of December 31, 2007, the aggregate amount of shares called for by these warrants is 147,124. These warrants became exercisable as of July 24, 2003.

(i) As of December 31, 2007, the aggregate amount of shares called for by these warrants is 7,680. These warrants were exercisable as of October 22, 2007.

(j) Represents current yield as of December 31, 2007.

(k) Security purchased with the cash proceeds from securities loaned.

22 DECEMBER 31, 2007

	All Cap Global Resources Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 95.4%
Australia — 2.1%
Metal & Mining — 2.1%
BHP Billiton Ltd. - ADR(b)	280,290	$	19,631,512
Zinifex Ltd.	820,000		8,795,916
			28,427,428
Bermuda — 0.9%
Oil & Gas — 0.9%
Seadrill Ltd.	528,800		12,762,174
Brazil — 1.8%
Oil & Gas — 1.8%
Petroleo Brasileiro SA - ADR(b)	215,300		24,811,172
Canada — 7.3%
Metal & Mining — 2.7%
Eldorado Gold Corp.(c)	1,378,500		8,142,920
NovaGold Resources, Inc.(c)	710,100		5,794,416
Teck Cominco Ltd.	647,460		23,242,827
			37,180,163
Oil & Gas — 4.6%
Canadian Natural Resources Ltd.	202,860		14,837,180
Compton Petroleum Corp.(c)	774,280		7,170,494
Crescent Point Energy Trust	426,500		10,721,379
Galleon Energy, Inc. - Class A(c)	821,574		12,902,778
Heritage Oil Corp.(c)	57,900		3,078,770
Nexen, Inc.	358,114		11,647,459
TriStar Oil & Gas Ltd.(c)	270,854		3,441,420
			63,799,480
Total Canada			100,979,643
China — 0.5%
Oil & Gas — 0.5%
Petrochina Co. Ltd. - ADR	39,300		6,895,971
France — 2.2%
Oil & Gas — 2.2%
Compagnie Gernerale de Geophysique (CGG Veritas ) - ADR(c)	308,904		17,314,069
Total SA - ADR	153,160		12,651,016
			29,965,085
Luxembourg — 0.5%
Manufacturing — 0.5%
Tenaris SA - ADR	160,565		7,182,073
Netherlands — 2.5%
Oil & Gas — 2.5%
Core Laboratories NV(c)	238,140		29,700,821
SBM Offshore NV	167,940		5,294,813
			34,995,634
Norway — 1.4%
Oil & Gas — 1.4%
Statoil ASA	439,952		13,572,871
Statoil ASA - ADR	185,480		5,660,849
			19,233,720
United Kingdom — 3.5%
Oil & Gas — 3.5%
BG Group Plc - ADR	177,080		20,268,524
Cairn Energy Plc	451,399		27,592,477
			47,861,001
Total United Kingdom			47,861,001
United States — 72.7%
Energy & Utilities — 3.5%
Equitable Resources, Inc.	297,800		15,866,784
NRG Energy, Inc.(b)(c)	361,400		15,663,076
Questar Corp.	318,520		17,231,932
			48,761,792
Food & Agriculture — 2.8%
Potash Corp. of Saskatchewan, Inc.	272,100		39,171,516
Metal & Mining — 14.6%
Agnico-Eagle Mines Ltd.(c)	155,500		8,494,965
Arch Coal, Inc.	390,400		17,540,672
Cameco Corp.	90,000		3,582,900
CONSOL Energy, Inc.	636,100		45,493,872
Goldcorp, Inc.	807,602		27,401,936
Massey Energy Co.	740,729		26,481,062
Patriot Coal Corp.(c)	38,858		1,621,933
Peabody Energy Corp.(b)	479,080		29,530,491
Silver Standard Resources, Inc.(c)	800,990		29,260,164
Silver Wheaton Corp.(c)	700,274		11,883,650
			201,291,645
Oil & Gas — 51.8%
Apache Corp.	225,600		24,261,024
Atp Oil & Gas Corp.(c)	155,815		7,874,890
Bill Barrett Corp.(b)(c)	212,600		8,901,562
Cameron International Corp.(b)(c)	257,600		12,398,288
Chesapeake Energy Corp.(b)	412,730		16,179,016
ConocoPhillips	104,300		9,209,690
Denbury Resources, Inc.(c)	287,700		8,559,075
Devon Energy Corp.	234,800		20,876,068
EnCana Corp.	327,500		22,256,900
ENSCO International, Inc.	363,378		21,664,596
EOG Resources, Inc.(b)	310,770		27,736,223
Exterran Holdings, Inc.(c)	198,280		16,219,304
FMC Technologies, Inc.(b)(c)	409,200		23,201,640
Forest Oil Corp.(b)(c)	342,900		17,433,036
Helix Energy Solutions Group, Inc.(c)	351,600		14,591,400
Helmerich & Payne, Inc.	618,300		24,775,281
Hercules Offshore, Inc.(c)	445,557		10,595,345
Hess Corp.(b)	368,440		37,160,858
Hugoton Royalty Trust	1		23
Marathon Oil Corp.	346,100		21,063,646
Murphy Oil Corp.	161,400		13,693,176
National-Oilwell, Inc.(c)	92,778		6,815,472
Newfield Exploration Co.(c)	334,900		17,649,230
Noble Corp.	388,600		21,959,786
Noble Energy, Inc.	359,310		28,572,331
Occidental Petroleum Corp.	314,950		24,248,001
Plains Exploration & Production Co.(c)	220,600		11,912,400
Pride International, Inc.(c)	209,600		7,105,440
Quicksilver Resources, Inc.(c)	285,400		17,006,986
Range Resources Corp.(b)	438,500		22,521,360
Schlumberger Ltd.	327,500		32,216,175
Smith International, Inc.(b)	243,300		17,967,705
Southwestern Energy Co.(c)	208,020		11,590,874
Suncor Energy, Inc.(b)	201,330		21,890,611
Transocean, Inc.(c)	402,619		57,634,910
TXCO Resources, Inc.(c)	279,500		3,370,770
Warren Resources, Inc.(c)	250,883		3,544,977
Weatherford International Ltd.(b)(c)	428,780		29,414,308

DECEMBER 31, 2007 23

	All Cap Global Resources Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Oil & Gas (Continued)
XTO Energy, Inc.(b)	415,791	$	21,355,039
			715,427,416
Total United States			1,004,652,369
TOTAL COMMON STOCKS
(Cost $922,182,036)			1,317,766,270
Short Term Investment — 5.8%
Galileo Money Market Fund, 4.32%(d)
(Cost $79,696,061)(d)	79,696,061		79,696,061
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 101.2%
(Cost $1,001,878,097)			1,397,462,331
Affiliated Investment — 15.2%
Short Term Investment — 15.2%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $210,063,850)	210,063,850		210,063,850
TOTAL INVESTMENTS IN SECURITIES — 116.4%
(Cost $1,211,941,947(a))			1,607,526,181
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (15.2)%			(210,063,850	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.2)%			(16,159,530	)
NET ASSETS — 100.0%		$	1,381,302,801

(a) Cost for federal income tax purposes is $1,215,167,579. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	408,856,039
Gross unrealized depreciation		(16,497,437	)
	$	392,358,602

(b) Total or partial security on loan.

(c) Non-income producing security.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

24 DECEMBER 31, 2007

	Health Sciences Opportunities Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 91.8%
France — 0.3%
Medical Instruments & Supplies — 0.3%
NicOx SA	283,867	$	4,542,213
Germany — 0.5%
Medical Instruments & Supplies — 0.5%
Fresenius Medical Care AG & Co.	135,900		7,297,440
Switzerland — 2.9%
Pharmaceuticals — 2.9%
Roche Holding AG	226,700		39,188,671
United States — 88.1%
Computer Software & Services — 0.2%
Medassets, Inc.(b)	123,900		2,966,166
Phase Forward, Inc.(b)	9,400		204,450
			3,170,616
Insurance — 3.0%
Aetna, Inc.	712,500		41,132,625
Manufacturing — 1.2%
Varian, Inc.(b)	264,100		17,245,730
Medical & Medical Services — 8.9%
Baxter International, Inc.	578,500		33,581,925
Bioform Medical, Inc.(b)	155,600		1,062,748
Covance, Inc.(b)	190,800		16,527,096
Integra LifeSciences Holdings Corp.(b)(c)	564,100		23,652,713
Millipore Corp.(b)	202,100		14,789,678
Power Medical Interventions, Inc.(b)	107,200		1,476,144
Psychiatric Solutions, Inc.(b)(c)	289,964		9,423,830
Tongjitang Chinese Medicines Co. - ADR(b)	342,957		3,378,127
UnitedHealth Group, Inc.	334,400		19,462,080
			123,354,341
Medical Instruments & Supplies — 32.8%
Alcon, Inc.	183,800		26,290,752
Alphatec Holdings, Inc.(b)	412,000		2,076,480
Becton, Dickinson & Co.	906,600		75,773,628
Cepheid, Inc.(b)(c)	414,400		10,919,440
Charles River Laboratories International, Inc.(b)(c)	403,700		26,563,460
China Medical Technologies, Inc. - ADR	324,300		14,395,677
Cyberonics, Inc.(b)	640,800		8,432,928
DENTSPLY International, Inc.(c)	762,220		34,315,144
Dynavax Technologies Corp.(b)	273,369		1,388,715
Edwards Lifesciences Corp.(b)(c)	270,600		12,444,894
Halozyme Therapeutics, Inc.(b)	360,400		2,562,444
Johnson & Johnson	560,200		37,365,340
Medtronic, Inc.	443,800		22,309,826
MWI Veterinary Supply, Inc.(b)	123,400		4,936,000
SenoRx, Inc.(b)	264,900		2,251,650
St. Jude Medical, Inc.(b)	491,700		19,982,688
Stryker Corp.	958,800		71,641,536
Varian Medical Systems, Inc.(b)	570,200		29,741,632
Ventana Medical Systems, Inc.(b)	116,800		10,188,464
Waters Corp.(b)	494,993		39,139,096
			452,719,794
Miscellaneous Services — 0.8%
Owens & Minor, Inc.(c)	265,200		11,252,436
Pharmaceuticals — 39.5%
Abbott Laboratories	821,200		46,110,380
Alexion Pharmaceuticals, Inc.(b)	377,900		28,353,837
Applera Corp. - Applied Biosystems Group(c)	771,000		26,152,320
Applera Corp. - Celera Genomics Group(b)	629,500		9,990,165
ArQule, Inc.(b)	262,600		1,523,080
Aryx Therapeutics, Inc.(b)	122,000		945,500
Auxilium Pharmaceuticals, Inc.(b)	354,000		10,616,460
BioMarin Pharmaceutical, Inc.(b)(c)	1,237,679		43,813,837
Bristol-Myers Squibb Co.	676,900		17,951,388
Celgene Corp.(b)	121,700		5,623,757
Cephalon, Inc.(b)	80,200		5,755,152
Epix Pharmaceuticals, Inc.(b)	79,300		312,442
Gilead Sciences, Inc.(b)	1,331,700		61,271,517
InterMune, Inc.(b)(c)	540,081		7,199,280
Kosan Biosciences, Inc.(b)	723,687		2,605,273
Merck & Co., Inc.	1,606,700		93,365,337
Myriad Genetics, Inc.(b)(c)	284,000		13,183,280
Nanosphere, Inc.(b)	79,600		1,113,604
Novartis AG - ADR	129,200		7,016,852
Onyx Pharmaceuticals, Inc.(b)(c)	782,200		43,505,964
Pfizer, Inc.	570,259		12,961,987
Pharmion Corp.(b)(c)	389,900		24,509,114
Poniard Pharmaceuticals, Inc.(b)(c)	401,100		1,768,851
Rigel Pharmaceuticals, Inc.(b)	181,100		4,598,129
Schering-Plough Corp.	1,085,900		28,928,376
Teva Pharmaceutical Industries Ltd. - ADR	245,900		11,429,432
United Therapeutics Corp.(b)	300,800		29,373,120
Wyeth	114,802		5,073,100
			545,051,534
Retail Merchandising — 1.7%
CVS Caremark Corp.	590,600		23,476,350
Total United States			1,217,403,426
TOTAL COMMON STOCKS
(Cost $1,044,389,601)			1,268,431,750
Short Term Investments — 12.6%
Galileo Money Market Fund, 4.32%(d)
(Cost $174,232,022)(d)	174,232,022		174,232,022
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 104.4%
(Cost $1,218,621,623)			1,442,663,772
Affiliated Investment — 10.2%
Short Term Investment — 10.2%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $140,254,800)	140,254,800		140,254,800
TOTAL INVESTMENTS BEFORE OUTSTANDING OPTIONS WRITTEN — 114.6%
(Cost $1,358,876,423(a))			1,582,918,572

DECEMBER 31, 2007 25

	Health Sciences Opportunities Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Contracts		Value
Call Options Written — (0.1)%
Alexion Pharmaceuticals, Inc., Strike Price $75, Expiring 1/19/08	(1,270	)	$	(295,275	)
Alexion Pharmaceuticals, Inc., Strike Price $75, Expiring 2/16/08	(1,270	)		(603,250	)
Merck & Co., Inc., Strike Price $57.50, Expires 1/19/08	(2,985	)		(492,525	)
TOTAL CALL OPTIONS WRITTEN
(Premiums received $1,808,916)				(1,391,050	)
Put Option Written — 0.0%
Celgene Corp., Strike Price $42.50, Expiring 1/19/08
(Premiums received $117,771)	(815	)		(89,650	)
TOTAL INVESTMENTS NET OF OUTSTANDING OPTIONS WRITTEN — 114.5%
(Cost $1,356,949,736)			$	1,581,437,872
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (10.2)%				(140,254,800	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.3)%				(59,959,484	)
NET ASSETS — 100.0%			$	1,381,223,588

(a) Cost for federal income tax purposes is $1,361,112,984. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	248,983,614
Gross unrealized depreciation		(27,178,026	)
	$	221,805,588

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

26 DECEMBER 31, 2007

	U.S. Opportunities Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 94.2%
Aerospace — 4.1%
Alliant Techsystems, Inc.(b)(c)	47,400	$	5,392,224
Curtiss-Wright Corp.	114,000		5,722,800
Goodrich Corp.	116,000		8,190,760
Orbital Sciences Corp.(b)	213,400		5,232,568
Triumph Group, Inc.	38,100		3,137,535
			27,675,887
Banks — 3.5%
Boston Private Financial Holdings, Inc.	63,600		1,722,288
Commerce Bancorp, Inc.	41,400		1,578,996
Cullen/Frost Bankers, Inc.	43,300		2,193,578
Fidelity National Information Services, Inc.	86,200		3,585,058
Hudson City Bancorp, Inc.	217,200		3,262,344
New York Community Bancorp, Inc.(c)	177,600		3,122,208
Northern Trust Corp.	75,000		5,743,500
UMB Financial Corp.	62,000		2,378,320
			23,586,292
Beverages & Bottling — 0.7%
Molson Coors Brewing Co. - Class B	89,600		4,625,152
Business Services — 3.1%
The Dun & Bradstreet Corp.	48,800		4,325,144
Fluor Corp.	33,600		4,896,192
FTI Consulting, Inc.(b)	109,400		6,743,416
Hewitt Associates, Inc. - Class A(b)	60,400		2,312,716
Huron Consulting Group, Inc.(b)	33,000		2,660,790
			20,938,258
Chemicals — 4.0%
Albemarle Corp.	42,200		1,740,750
Celanese Corp. - Series A	111,300		4,710,216
CF Industries Holdings, Inc.	51,700		5,690,102
Church & Dwight Co., Inc.	58,600		3,168,502
The Lubrizol Corp.	92,000		4,982,720
Terra Industries, Inc.(b)	109,500		5,229,720
UAP Holding Corp.	48,000		1,852,800
			27,374,810
Computer & Office Equipment — 0.8%
Netezza Corp.(b)	7,600		104,880
Western Digital Corp.(b)	185,500		5,603,955
			5,708,835
Computer Software & Services — 6.5%
DST Systems, Inc.(b)(c)	77,600		6,405,880
Foundry Networks, Inc.(b)	128,500		2,251,320
McAfee, Inc.(b)	124,700		4,676,250
Medassets, Inc.(b)	58,300		1,395,702
priceline.com, Inc.(b)(c)	48,300		5,547,738
Quest Software, Inc.(b)	219,900		4,054,956
Salesforce.Com, Inc.(b)(c)	86,800		5,441,492
Seagate Technology, Inc.(c)	153,300		3,909,150
THQ, Inc.(b)	137,800		3,884,582
VeriSign, Inc.(b)(c)	170,000		6,393,700
			43,960,770
Construction — 1.0%
Jacobs Engineering Group, Inc.(b)	67,800		6,482,358
Containers — 1.1%
Owens-Illinois, Inc.(b)	81,500		4,034,250
Smurfit-Stone Container Corp.(b)	351,000		3,706,560
			7,740,810
Electronics — 2.8%
AES Corp.(b)	202,300		4,327,197
Amphenol Corp.	104,000		4,822,480
GrafTech International Ltd.(b)(c)	226,200		4,015,050
IntercontinentalExchange, Inc.(b)(c)	31,100		5,986,750
			19,151,477
Energy & Utilities — 5.6%
Airgas, Inc.	81,100		4,226,121
DPL, Inc.	163,700		4,853,705
Edison International	77,600		4,141,512
MDU Resources Group, Inc.	180,700		4,989,127
Mirant Corp.(b)	116,400		4,537,272
Pepco Holdings, Inc.	191,600		5,619,628
PPL Corp.	87,100		4,537,039
Questar Corp.	90,300		4,885,230
			37,789,634
Entertainment & Leisure — 3.1%
Ameristar Casinos, Inc.	108,700		2,993,598
Gaylord Entertainment Co.(b)(c)	57,700		2,335,119
Morgans Hotel Group Co.(b)	152,800		2,945,984
Penn National Gaming, Inc.(b)	40,900		2,435,595
Scientific Games Corp. - Class A(b)	97,000		3,225,250
Vail Resorts, Inc.(b)	52,300		2,814,263
WMS Industries, Inc.(b)	118,900		4,356,496
			21,106,305
Finance — 2.5%
AllianceBernstein Holding LP	50,300		3,785,075
Invesco Ltd.	180,100		5,651,538
Investment Technology Group, Inc.(b)	50,900		2,422,331
Nymex Holdings, Inc.	17,500		2,338,175
Wright Express Corp.(b)	74,500		2,644,005
			16,841,124
Food & Agriculture — 2.4%
CNH Global N.V.	78,800		5,186,616
Flowers Foods, Inc.(c)	200,500		4,693,705
The Mosaic Co.(b)	68,200		6,433,988
			16,314,309
Insurance — 2.4%
Assurant, Inc.	74,100		4,957,290
AXIS Capital Holdings Ltd.(c)	123,400		4,808,898
Reinsurance Group of America, Inc.	73,100		3,836,288
Solera Holdings, Inc.(b)	96,800		2,398,704
			16,001,180
Machinery & Heavy Equipment — 2.1%
AGCO Corp.(b)	141,500		9,619,170
Columbus Mckinnon Corp.(b)	138,700		4,524,394
			14,143,564
Manufacturing — 4.6%
Energizer Holdings, Inc.(b)	42,600		4,776,738
FEI Co.(b)(c)	86,400		2,145,312
Greif, Inc.	68,500		4,477,845
Guess?, Inc.	60,000		2,273,400
Textron, Inc.	103,300		7,365,290
Varian, Inc.(b)	42,700		2,788,310
VF Corp.	36,700		2,519,822

DECEMBER 31, 2007 27

	U.S. Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Manufacturing (Continued)
Watson Wyatt Worldwide, Inc.	99,400	$	4,613,154
			30,959,871
Medical & Medical Services — 2.3%
Bioform Medical, Inc.(b)	50,700		346,281
Covance, Inc.(b)	60,900		5,275,158
Integra LifeSciences Holdings Corp.(b)	64,200		2,691,906
Millipore Corp.(b)	60,600		4,434,708
Psychiatric Solutions, Inc.(b)	86,800		2,821,000
			15,569,053
Medical Instruments & Supplies — 4.8%
Becton, Dickinson & Co.	67,900		5,675,082
Charles River Laboratories International, Inc.(b)	66,300		4,362,540
DENTSPLY International, Inc.	78,700		3,543,074
MWI Veterinary Supply, Inc.(b)	25,100		1,004,000
SenoRx, Inc.(b)	51,100		434,350
St. Jude Medical, Inc.(b)	83,900		3,409,696
Varian Medical Systems, Inc.(b)	99,800		5,205,568
Waters Corp.(b)	112,296		8,879,245
			32,513,555
Metal & Mining — 2.7%
Arch Coal, Inc.	38,200		1,716,326
CONSOL Energy, Inc.	128,900		9,218,928
Kinross Gold Corp.(b)	189,300		3,483,120
Schnitzer Steel Industries, Inc. - Class A	53,100		3,670,803
			18,089,177
Miscellaneous Services — 0.4%
Owens & Minor, Inc.	69,800		2,961,614
Motor Vehicles — 0.3%
TRW Automotive Holdings Corp.(b)	92,100		1,924,890
Oil & Gas — 10.1%
Atwood Oceanics, Inc.(b)(c)	74,500		7,467,880
Chesapeake Energy Corp.(c)	128,600		5,041,120
CVR Energy, Inc.(b)	145,200		3,621,288
Diamond Offshore Drilling, Inc.	45,400		6,446,800
Frontier Oil Corp.	44,400		1,801,752
Ion Geophysical Corp.(b)	264,700		4,176,966
Layne Christensen Co.(b)	83,700		4,118,877
Newfield Exploration Co.(b)	111,100		5,854,970
Noble Energy, Inc.	70,400		5,598,208
Petrohawk Energy Corp.(b)	311,900		5,398,989
Sandridge Energy, Inc.(b)(c)	14,100		505,626
Smith International, Inc.	64,700		4,778,095
South Jersey Industries, Inc.	146,200		5,276,358
Suburban Propane Partners LP	60,500		2,455,090
Willbros Group, Inc.(b)	152,300		5,831,567
			68,373,586
Personal Services — 0.7%
Life Time Fitness, Inc.(b)(c)	93,300		4,635,144
Pharmaceuticals — 4.6%
Alexion Pharmaceuticals, Inc.(b)	43,400		3,256,302
Applera Corp. - Applied Biosystems Group(c)	194,800		6,607,616
BioMarin Pharmaceutical, Inc.(b)	139,400		4,934,760
Cephalon, Inc.(b)	18,000		1,291,680
Herbalife Ltd.	100,500		4,048,140
ImClone Systems, Inc.(b)	28,600		1,229,800
Myriad Genetics, Inc.(b)	27,200		1,262,624
Onyx Pharmaceuticals, Inc.(b)	68,700		3,821,094
Pharmion Corp.(b)	29,200		1,835,512
United Therapeutics Corp.(b)	32,800		3,202,920
			31,490,448
Real Estate — 0.8%
AMB Property Corp. (REIT)	53,400		3,073,704
The Macerich Co. (REIT)	36,800		2,615,008
			5,688,712
Restaurants — 0.4%
CBRL Group, Inc.	76,300		2,471,357
Retail Merchandising — 3.2%
Abercrombie & Fitch Co. - Class A(c)	68,300		5,461,951
Copart, Inc.(b)	95,000		4,042,250
Nordstrom, Inc.(c)	75,800		2,784,134
Ruddick Corp.	99,300		3,442,731
Saks, Inc.(b)	171,000		3,549,960
SUPERVALU, Inc.	59,100		2,217,432
			21,498,458
Security Brokers & Dealers — 1.5%
GFI Group, Inc.(b)	62,500		5,982,500
Waddell & Reed Financial, Inc.	119,900		4,327,191
			10,309,691
Semiconductors & Related Devices — 3.3%
Asml Holding NV(b)	2,900		90,741
Asml Holding NV(b)	106,733		3,339,675
Cavium Networks, Inc.(b)	32,800		755,056
Hittite Microwave Corp.(b)	86,400		4,126,464
MEMC Electronic Materials, Inc.(b)	72,500		6,415,525
Microsemi Corp.(b)	194,500		4,306,230
NVIDIA Corp.(b)	98,650		3,356,073
			22,389,764
Soaps & Cosmetics — 0.6%
International Flavors & Fragrances, Inc.	83,200		4,004,416
Telecommunications — 4.0%
American Tower Corp. - Class A(b)	71,300		3,037,380
Atheros Communications, Inc.(b)	107,900		3,295,266
Centennial Communications Corp.(b)	254,100		2,360,589
Ciena Corp.(b)	55,400		1,889,694
Cincinnati Bell, Inc.(b)(c)	496,100		2,356,475
Harris Corp.	88,500		5,547,180
Plantronics, Inc.	85,300		2,217,800
SBA Communications Corp.(b)	104,900		3,549,816
Syniverse Holdings, Inc.(b)	170,000		2,648,600
			26,902,800
Tires & Rubber — 0.9%
The Goodyear Tire & Rubber Co.(b)	205,900		5,810,498
Tobacco — 1.5%
Loews Corp.-Carolina Group	58,100		4,955,930
UST, Inc.	95,500		5,233,400
			10,189,330
Transportation — 0.6%
Quintana Maritime Ltd.	186,600		4,288,068
Waste Management — 1.2%
Metalico, Inc.(b)	324,568		3,518,317

28 DECEMBER 31, 2007

	U.S. Opportunities Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Waste Management (Continued)
Republic Services, Inc.	156,800	$	4,915,680
			8,433,997
TOTAL COMMON STOCKS
(Cost $552,326,709)			637,945,194
Short Term Investment — 6.3%
Galileo Money Market Fund, 4.32%(d)
(Cost $42,994,694)(d)	42,994,694		42,994,694
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 100.5%
(Cost $595,321,403)			680,939,888
Affiliated Investment — 10.5%
Short Term Investment — 10.5%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $70,840,150)	70,840,150		70,840,150
TOTAL INVESTMENTS IN SECURITIES — 111.0%
(Cost $666,161,553(a))			751,780,038
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (10.5)%			(70,840,150	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.5)%			(3,686,594	)
NET ASSETS — 100.0%		$	677,253,294

(a) Cost for federal income tax purposes is $667,028,392. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	95,810,231
Gross unrealized depreciation		(11,058,585	)
	$	84,751,646

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

DECEMBER 31, 2007 29

	Global Opportunities Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 90.6%
Belgium — 1.2%
Beverages & Bottling — 0.5%
Inbev NV	6,700	$	556,977
Telecommunications — 0.7%
Belgacom SA	16,500		812,945
Total Belgium			1,369,922
Brazil — 2.8%
Banks — 1.0%
Banco Industrial e Comercial SA(b)	52,000		317,550
Unibanco SA - ADR	5,700		795,948
			1,113,498
Energy & Utilities — 0.3%
Companhia Energetica de Minas Gerais- CEMIG - ADR	22,200		409,812
Manufacturing — 0.5%
Aracruz Celulose SA	8,000		594,800
Real Estate — 0.4%
PDG Realty SA Empreendimentos e Participacoes	30,400		426,966
Telecommunications — 0.6%
Bovespa Holding SA	13,900		267,849
GVT Holding SA(b)	23,000		461,938
			729,787
Total Brazil			3,274,863
Canada — 2.6%
Metal & Mining — 2.6%
Barrick Gold Corp.	32,000		1,345,600
HudBay Minerals, Inc.(b)	19,000		375,399
Kinross Gold Corp.	36,400		674,928
Major Drilling Group International, Inc.(b)	9,000		570,849
			2,966,776
Total Canada			2,966,776
Chile — 0.2%
Banks — 0.2%
Banco Santander Chile SA - ADR	3,700		188,663
China — 0.5%
Computer Software & Services — 0.5%
Sina Corp.(b)	13,900		615,909
Retail Merchandising — 0.0%
China Nepstar Chain Drugstore Ltd.(b)	400		7,032
Total China			622,941
Finland — 0.4%
Manufacturing — 0.4%
Wartsila Oyj - Series B	6,100		461,647
France — 3.4%
Banks — 0.5%
BNP Paribas SA	5,280		572,880
Computer Software & Services — 0.4%
Cie Generale De Geophysique	1,500		424,289
Insurance — 0.3%
AXA	10,000		398,690
Machinery & Heavy Equipment — 0.9%
ALSTOM	5,000		1,073,966
Oil & Gas — 0.8%
Total SA	11,000		910,805
Telecommunications — 0.5%
France Telecom SA	15,700		563,171
Total France			3,943,801
Germany — 3.4%
Electronics — 0.5%
RWE AG	4,100		574,863
Manufacturing — 0.6%
Siemens AG	4,300		683,711
Medical Instruments & Supplies — 0.5%
Fresenius Medical Care AG & Co.	10,500		563,820
Oil & Gas — 0.5%
Linde AG	4,200		556,510
Security Brokers & Dealers — 0.5%
Deutsche Boerse AG	3,000		592,093
Soaps & Cosmetics — 0.8%
Henkel KGaA	17,000		955,400
Total Germany			3,926,397
Greece — 0.5%
Banks — 0.5%
National Bank of Greece SA	8,500		582,889
Hong Kong — 5.5%
Banks — 0.5%
Hang Seng Bank Ltd.	29,000		593,621
Energy & Utilities — 0.6%
China Resources Power Holdings Co. Ltd.	97,700		332,128
Guangdong Investment Ltd.	706,000		397,043
			729,171
Entertainment & Leisure — 0.6%
The Hongkong & Shanghai Hotels Ltd.	364,500		638,429
Manufacturing — 0.2%
China Power International Development Ltd.	513,900		238,646
Real Estate — 2.5%
Hang Lung Properties Ltd.	195,800		874,845
Kerry Properties Ltd.	80,900		643,270
New World Development Co. Ltd.	130,900		458,282
Sun Hung Kai Properties Ltd.	41,000		861,146
			2,837,543
Retail Merchandising — 0.4%
Esprit Holdings Ltd.	28,900		425,560
Telecommunications — 0.7%
China Mobile Ltd.	47,000		818,482
Total Hong Kong			6,281,452
Indonesia — 0.4%
Banks — 0.4%
PT Bank Mandiri	1,327,000		486,355
Italy — 0.9%
Banks — 0.4%
UniCredito Italiano SpA	53,900		443,349

30 DECEMBER 31, 2007

	Global Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Italy (Continued)
Telecommunications — 0.5%
Enel SPA	54,000	$	642,119
Total Italy			1,085,468
Japan — 7.8%
Business Services — 0.3%
Sumitomo Corp.	26,000		363,776
Chemicals — 0.4%
Shin-Etsu Chemical Co. Ltd.	6,500		404,243
Computer Software & Services — 1.8%
Nintendo Co. Ltd.	3,500		2,055,032
Electronics — 0.8%
Fanuc Ltd.	6,000		581,689
Star Micronics Co. Ltd.	14,400		312,943
			894,632
Energy & Utilities — 0.8%
Air Water, Inc.	40,100		402,585
Kurita Water Industries Ltd.	18,800		567,042
			969,627
Machinery & Heavy Equipment — 0.6%
Daikin Industries Ltd.	12,000		669,313
Manufacturing — 1.5%
Daihatsu Motor Co., Ltd.	27,000		250,086
Konica Corp.	53,000		929,143
Mitsubishi Electric Corp.	53,000		548,930
			1,728,159
Metal & Mining — 0.4%
Sumitomo Metal Mining Co. Ltd.	30,000		507,195
Retail Merchandising — 0.5%
Itochu Corp.	57,300		552,924
Telecommunications — 0.7%
NTT Docomo, Inc.	500		823,155
Total Japan			8,968,056
Luxembourg — 0.8%
Telecommunications — 0.8%
Millicom International Cellular SA(b)	7,400		872,756
Malaysia — 0.6%
Telecommunications — 0.6%
Telekom Malaysia Bhd	210,000		707,119
Netherlands — 2.0%
Beverages & Bottling — 0.7%
Heineken Holding NV	13,800		783,200
Chemicals — 0.5%
AKZO Nobel NV	8,000		644,017
Food & Agriculture — 0.8%
Unilever NV	25,200		925,868
Total Netherlands			2,353,085
Norway — 2.0%
Chemicals — 0.8%
Yara International ASA	20,600		947,332
Oil & Gas — 0.6%
Statoil ASA	20,200		623,185
Telecommunications — 0.6%
Telenor ASA	29,200		692,886
Total Norway			2,263,403
Singapore — 0.9%
Air Transportation — 0.6%
Singapore Airlines Ltd.	52,000		624,687
Banks — 0.3%
United Overseas Bank Ltd.	28,400		388,948
Total Singapore			1,013,635
South Korea — 0.7%
Electronics — 0.3%
Samsung Electronics Co. Ltd.	600		353,099
Security Brokers & Dealers — 0.4%
Korea Investment Holdings Co. Ltd.	5,500		468,224
Total South Korea			821,323
Spain — 0.4%
Oil & Gas — 0.4%
Repsol YPF SA	12,400		442,348
Sweden — 1.4%
Banks — 0.5%
Nordea Bank AB	35,700		598,293
Paper & Forest Products — 0.1%
Svenska Cellulosa AB - B Shares	8,500		150,117
Telecommunications — 0.8%
Teliasonera AB	95,100		888,479
Total Sweden			1,636,889
Switzerland — 3.3%
Banks — 0.5%
Julius Baer Holding Ltd.	7,300		599,003
Chemicals — 1.0%
Syngenta AG	4,300		1,091,169
Food & Agriculture — 0.9%
Nestle SA	2,300		1,056,138
Pharmaceuticals — 0.4%
Roche Holding AG	2,900		501,311
Retail Merchandising — 0.5%
Compagnie Financiere Richemont AG	7,700		526,071
Total Switzerland			3,773,692
Taiwan — 1.1%
Chemicals — 0.7%
Taiwan Fertilizer Co. Ltd.	334,500		812,517
Computer & Office Equipment — 0.4%
Asustek Computer, Inc.	163,000		485,022
Total Taiwan			1,297,539
United Kingdom — 4.0%
Beverages & Bottling — 0.4%
Diageo Plc	21,900		470,089
Energy & Utilities — 0.6%
International Power Plc	82,700		745,483
Finance — 1.4%
ICAP Plc	82,000		1,181,671

DECEMBER 31, 2007 31

	Global Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United Kingdom (Continued)
Finance (Continued)
Schroders Plc	16,500	$	423,352
			1,605,023
Oil & Gas — 0.6%
BP Plc	55,000		672,114
Telecommunications — 0.6%
Vodafone Group Plc	175,000		656,936
Transportation — 0.4%
Arriva Plc	28,500		443,731
Total United Kingdom			4,593,376
United States — 43.8%
Aerospace — 1.3%
Alliant Techsystems, Inc.(b)	4,900		557,424
Goodrich Corp.	13,500		953,235
			1,510,659
Banks — 0.5%
KBW Bank Corp.	14,500		630,750
Beverages & Bottling — 1.5%
Molson Coors Brewing Co. - Class B	14,600		753,652
PepsiCo, Inc.	12,500		948,750
			1,702,402
Broadcasting — 0.5%
Liberty Global, Inc.(b)	15,200		595,688
Chemicals — 1.9%
Agrium, Inc.	5,100		368,271
The Lubrizol Corp.	11,800		639,088
Terra Industries, Inc.(b)	12,600		601,776
UAP Holding Corp.	15,000		579,000
			2,188,135
Computer & Office Equipment — 1.8%
Apple Computer, Inc.(b)	3,100		614,048
Cisco Systems, Inc.(b)	22,100		598,247
Hewlett-Packard Co.	16,200		817,776
			2,030,071
Computer Software & Services — 3.7%
Adobe Systems, Inc.(b)	11,500		491,395
Autodesk, Inc.(b)	8,100		403,056
DST Systems, Inc.(b)	8,500		701,675
EMC Corp.(b)	26,100		483,633
Google, Inc. - Class A(b)	800		553,184
Microsoft Corp.	23,400		833,040
Oracle Corp.(b)	30,100		679,658
VMware, Inc.(b)	1,400		118,986
			4,264,627
Electronics — 0.7%
Intel Corp.	28,400		757,144
Energy & Utilities — 2.4%
American Electric Power Co., Inc.	13,000		605,280
FPL Group, Inc.	6,100		412,787
Pepco Holdings, Inc.	26,700		783,111
PPL Corp.	10,000		520,900
Public Service Enterprise Group, Inc.	5,000		491,200
			2,813,278
Finance — 1.3%
AllianceBernstein Holding LP	5,600		421,400
Financial Select Sector Fund	22,000		638,000
The Goldman Sachs Group, Inc.	2,100		451,605
			1,511,005
Food & Agriculture — 2.2%
CNH Global N.V.	13,500		888,570
H.J. Heinz Co.	15,300		714,204
Kellogg Co.	17,500		917,525
			2,520,299
Insurance — 1.8%
ACE Ltd.	8,000		494,240
AON Corp.	11,000		524,590
Reinsurance Group of America, Inc.	11,800		619,264
Travelers Companies, Inc.	8,300		446,540
			2,084,634
Machinery & Heavy Equipment — 1.4%
AGCO Corp.(b)	24,100		1,638,318
Manufacturing — 1.6%
NIKE, Inc.	12,800		822,272
Textron, Inc.	13,800		983,940
			1,806,212
Medical & Medical Services — 0.4%
Psychiatric Solutions, Inc.(b)	14,700		477,750
Medical Instruments & Supplies — 4.3%
Alcon, Inc.	2,800		400,512
Becton, Dickinson & Co.	11,700		977,886
Johnson & Johnson	5,500		366,850
St. Jude Medical, Inc.(b)	11,300		459,232
Stryker Corp.	12,800		956,416
Varian Medical Systems, Inc.(b)	11,100		578,976
Waters Corp.(b)	15,220		1,203,446
			4,943,318
Metal & Mining — 1.2%
Peabody Energy Corp.	12,000		739,680
Schnitzer Steel Industries, Inc. - Class A	9,100		629,083
			1,368,763
Oil & Gas — 7.5%
Anadarko Petroleum Corp.	13,000		853,970
Chevron Corp.	10,400		970,632
Diamond Offshore Drilling, Inc.	5,700		809,400
Exxon Mobil Corp.	15,600		1,461,564
Frontier Oil Corp.	7,700		312,466
Hess Corp.	9,400		948,084
Murphy Oil Corp.	6,000		509,040
Noble Corp.	10,000		565,100
Occidental Petroleum Corp.	9,000		692,910
Petrohawk Energy Corp.(b)	33,400		578,154
Sandridge Energy, Inc.(b)	600		21,516
Transocean, Inc.(b)	2,868		410,554
XTO Energy, Inc.	9,750		500,760
			8,634,150
Pharmaceuticals — 2.1%
Abbott Laboratories	12,600		707,490
Bristol-Myers Squibb Co.	23,000		609,960

32 DECEMBER 31, 2007

	Global Opportunities Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Pharmaceuticals (Continued)
Merck & Co., Inc.	19,600	$	1,138,956
			2,456,406
Restaurants — 1.2%
McDonald’s Corp.	12,000		706,920
Yum! Brands, Inc.	18,600		711,822
			1,418,742
Retail Merchandising — 0.9%
CVS Caremark Corp.	17,400		691,650
SUPERVALU, Inc.	9,900		371,448
			1,063,098
Soaps & Cosmetics — 1.9%
Colgate-Palmolive Co.	15,000		1,169,400
The Procter & Gamble Co.	14,000		1,027,880
			2,197,280
Telecommunications — 0.3%
Vodafone Group Plc - ADR	9,000		335,880
Tires & Rubber — 0.6%
The Goodyear Tire & Rubber Co.(b)	23,400		660,348
Tobacco — 0.4%
Altria Group, Inc.	5,700		430,806
Transportation — 0.4%
Quintana Maritime Ltd.	19,000		436,620
Total United States			50,476,383
TOTAL COMMON STOCKS
(Cost $89,731,458)			104,410,778
Preferred Stocks — 0.7%
United Kingdom — 0.7%
Food & Agriculture — 0.7%
Tesco Plc
(Cost $753,741)	84,600		804,761
Short Term Investment — 4.9%
Galileo Money Market Fund, 4.32%(c)
(Cost $5,595,689)(c)	5,595,689		5,595,689
TOTAL INVESTMENTS IN SECURITIES — 96.2%
(Cost $96,080,888(a))			110,811,228
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.8%			4,434,787
NET ASSETS — 100.0%		$	115,246,015

(a) Cost for federal income tax purposes is $96,188,417. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	16,481,691
Gross unrealized depreciation		(1,858,880	)
	$	14,622,811

(b) Non-income producing security.

(c) Represents current yield as of December 31, 2007.

DECEMBER 31, 2007 33

	International Opportunities Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 94.9%
Argentina — 0.3%
Computer Software & Services — 0.3%
Mercadolibre, Inc.(b)	69,300	$	5,119,884
Australia — 2.2%
Construction — 0.4%
Boart Longyear Group(b)	3,107,000		6,344,755
Finance — 0.6%
Macquarie Airports Management Ltd.	2,721,400		9,611,958
Medical Instruments & Supplies — 0.4%
Sonic Healthcare Ltd.	363,400		5,302,828
Metal & Mining — 0.8%
Lihir Gold Ltd.	3,841,700		11,952,148
Total Australia			33,211,689
Belgium — 1.0%
Metal & Mining — 1.0%
Umicore	59,616		14,773,075
Brazil — 3.5%
Banks — 1.6%
Banco Industrial e Comercial SA(b)	793,000		4,842,646
Unibanco SA - ADR	135,900		18,977,076
			23,819,722
Energy & Utilities — 0.5%
Companhia Energetica de Minas Gerais - CEMIG - ADR	421,200		7,775,352
Paper & Forest Products — 0.4%
Votorantim Celulose ADR	215,300		6,418,093
Real Estate — 0.5%
Mrv Engenharia(b)	326,900		6,987,947
Telecommunications — 0.5%
GVT Holding SA(b)	351,600		7,061,629
Total Brazil			52,062,743
Canada — 3.7%
Metal & Mining — 3.7%
HudBay Minerals, Inc.(b)	616,700		12,184,660
Inmet Mining Corp.	127,400		10,397,761
Kinross Gold Corp.	988,500		18,328,740
Yamana Gold, Inc.	1,055,900		13,790,517
			54,701,678
Total Canada			54,701,678
Chile — 0.3%
Banks — 0.3%
Banco Santander Chile SA - ADR	75,200		3,834,448
China — 0.2%
Advertising — 0.1%
Airmedia Group, Inc.(b)	27,100		606,498
Insurance — 0.0%
CNinsure, Inc.(b)	36,000		567,000
Retail Merchandising — 0.1%
China Nepstar Chain Drugstore Ltd.(b)	70,400		1,237,632
Total China			2,411,130
Denmark — 0.5%
Retail Merchandising — 0.5%
FLSmidth & Co. ASA	66,400		6,770,883
Finland — 1.9%
Banks — 0.4%
OKO Bank Plc - Series A	296,200		5,648,845
Manufacturing — 0.7%
Wartsila Oyj - Series B	130,400		9,868,658
Telecommunications — 0.8%
Elisa Oyj	389,400		11,908,625
Total Finland			27,426,128
France — 2.9%
Computer Software & Services — 0.6%
Cie Generale De Geophysique	30,800		8,712,064
Entertainment & Leisure — 0.8%
Ubisoft Entertainment	112,500		11,420,772
Food & Agriculture — 0.8%
Casino Guichard-Perrachon SA	117,700		12,803,752
Manufacturing — 0.7%
Compagnie Generale des Etablissements Michelin - Class B	90,900		10,392,462
Total France			43,329,050
Germany — 6.3%
Chemicals — 0.4%
SGL Carbon AG	114,700		6,206,401
Computer Software & Services — 1.1%
United Internet AG	669,700		16,315,779
Containers — 0.3%
Hamburger Hafen Und Logistik AG	40,900		3,647,675
Durable Goods — 0.6%
Gerry Weber International AG	289,200		9,467,278
Insurance — 0.8%
Hannover Rueckversicherung AG	262,500		12,161,174
Manufacturing — 1.1%
Adidas-Salomon AG	81,900		6,089,457
K+S AG	39,400		9,398,468
			15,487,925
Medical & Medical Services — 0.3%
Rhoen Klinikum AG	142,400		4,485,316
Medical Instruments & Supplies — 0.6%
Fresenius Medical Care AG & Co.	170,400		9,149,992
Miscellaneous Services — 0.8%
GEA Group AG	344,900		12,024,011
Waste Management — 0.3%
Zhongde Waste Technology AG	85,694		4,150,745
Total Germany			93,096,296
Greece — 1.3%
Banks — 0.7%
Piraeus Bank SA	264,400		10,284,286
Computer & Office Equipment — 0.6%
Intralot SA	479,000		9,419,968
Total Greece			19,704,254
Hong Kong — 6.5%
Air Transportation — 0.8%
Cathay Pacific Airways Ltd.	4,544,900		11,833,256

34 DECEMBER 31, 2007

	International Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Hong Kong (Continued)
Chemicals — 0.6%
Huabao International Holdings Ltd.	8,630,900	$	8,546,206
Construction — 0.5%
Shenzhen Expressway Co. Ltd.	6,410,900		6,963,688
Energy & Utilities — 0.9%
China Resources Power Holdings Co. Ltd.	1,441,300		4,899,658
Huadian Power International Corp. Ltd.	8,345,595		4,177,773
Huaneng Power International, Inc.	3,374,000		3,492,770
			12,570,201
Entertainment & Leisure — 0.3%
The Hongkong & Shanghai Hotels Ltd.	3,000,000		5,254,561
Finance — 0.6%
Rexcapital Financial Holdings Ltd.(b)	47,344,100		8,950,248
Manufacturing — 0.2%
China Power International Development Ltd.	7,583,400		3,521,591
Metal & Mining — 0.5%
Yanzhou Coal Mining Co. Ltd.	4,051,400		7,857,866
Real Estate — 2.1%
New World Development Co. Ltd.	2,670,500		9,349,454
Shun Tak Holdings Ltd.	6,048,700		9,454,120
Wheelock & Co. Ltd.	3,804,300		11,648,787
			30,452,361
Total Hong Kong			95,949,978
India — 3.2%
Beverages & Bottling — 0.5%
United Spirits Ltd.	137,900		6,909,567
Construction — 0.2%
Ambuja Cements Ltd.	1,011,700		3,751,201
Finance — 0.4%
Infrastructure Development Finance Co., Ltd.	1,062,500		6,102,348
Metal & Mining — 1.1%
JSW Steel Ltd.	475,400		15,793,397
Telecommunications — 1.0%
Bharti Tele-Ventures Ltd.	568,557		14,221,067
Total India			46,777,580
Indonesia — 1.4%
Banks — 0.5%
PT Bank Mandiri	21,365,000		7,830,425
Metal & Mining — 0.9%
PT Bumi Resources Tbk	19,672,700		12,325,685
Total Indonesia			20,156,110
Italy — 1.9%
Construction — 0.3%
Astaldi SpA	603,800		4,570,751
Energy & Utilities — 1.6%
AEM SpA	3,292,900		15,071,065
Terna Rete Elettrica Nazionale SPA	1,939,500		7,811,696
			22,882,761
Total Italy			27,453,512
Japan — 18.1%
Banks — 2.2%
Bank of Kyoto Ltd.	1,201,500		14,213,753
The Chiba Bank Ltd.	1,500,000		12,069,553
The Iyo Bank Ltd.	677,600		6,609,762
			32,893,068
Chemicals — 1.8%
Dainippon Ink and Chemicals, Inc.	1,530,500		7,630,350
Nihon Nohyaku Co. Ltd.	1,465,200		7,937,646
Nippon Carbon Co. Ltd.	946,800		3,895,950
Tosoh Corp.	1,629,700		6,946,880
			26,410,826
Construction — 0.8%
Daito Trust Construction Co., Ltd.	200,300		10,988,863
Mitsui Home Co. Ltd.	172,100		721,405
			11,710,268
Durable Goods — 1.0%
ASICS Corp.	1,048,600		15,022,370
Electronics — 1.2%
Hosiden Corp.	623,900		9,643,215
Star Micronics Co. Ltd.	397,200		8,632,017
			18,275,232
Energy & Utilities — 1.7%
Air Water, Inc.	874,100		8,775,538
Kurita Water Industries Ltd.	540,800		16,311,518
			25,087,056
Finance — 0.3%
Shinko Securities Co. Ltd.	1,157,400		4,733,890
Machinery & Heavy Equipment — 1.6%
Miura Co. Ltd.	217,700		5,320,869
Mori Seiki Co., Ltd.	275,000		5,202,995
Nabtesco Corp.	799,000		12,506,825
			23,030,689
Manufacturing — 1.9%
Daihatsu Motor Co., Ltd.	506,700		4,693,272
Mitsubishi Materials Corp.	1,729,100		7,301,231
Taiyo Nippon Sanso Corp.	947,600		8,903,502
Uni-Charm Corp.	120,000		7,573,014
			28,471,019
Medical Instruments & Supplies — 0.3%
Nihon Kohden Corp.	152,400		3,622,814
Metal & Mining — 0.5%
Yamato Kogyo Co. Ltd.	179,600		7,271,492
Motor Vehicles — 1.5%
Futaba Industrial Co. Ltd.	309,000		8,580,815
Isuzu Motors Ltd.	1,439,400		6,462,124
Yamaha Motor Co. Ltd.	323,500		7,742,190
			22,785,129
Pharmaceuticals — 0.2%
Towa Pharmaceuticals Co., Ltd.	64,700		2,728,814
Photographic Equipment — 0.3%
Tamron Co. Ltd.	194,000		4,840,279
Real Estate — 0.3%
Japan General Estate Co. Ltd.	276,800		3,701,611

DECEMBER 31, 2007 35

	International Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Japan (Continued)
Retail Merchandising — 0.9%
Shimachu Co. Ltd.	205,100	$	5,778,535
Tsuruha Holdings, Inc.	177,900		6,819,261
			12,597,796
Semiconductors & Related Devices — 0.3%
Daihen Corp.	863,654		4,680,724
Tires & Rubber — 0.4%
Yokohama Rubber Co. Ltd.	1,080,000		6,382,876
Transportation — 0.9%
Hino Motors Ltd.	1,043,400		6,743,590
Kintetsu World Express, Inc.	205,400		7,116,412
			13,860,002
Total Japan			268,105,955
Kazakhstan — 0.4%
Oil & Gas — 0.4%
Kamunaigaz Exploration Production, Inc.	178,832		5,543,792
Kazmunaigas Exploration Production, Inc.	36,300		1,125,300
			6,669,092
Total Kazakhstan			6,669,092
Luxembourg — 1.4%
Telecommunications — 1.4%
Millicom International Cellular SA(b)	86,200		10,166,428
SES SA	419,500		11,022,799
			21,189,227
Total Luxembourg			21,189,227
Malaysia — 1.9%
Entertainment & Leisure — 1.4%
Genting Bhd	4,488,500		10,631,640
Tanjong Plc	1,787,800		9,938,694
			20,570,334
Food & Agriculture — 0.5%
IOI Corp. Bhd	3,187,650		7,416,929
Total Malaysia			27,987,263
Morocco — 1.6%
Construction — 0.9%
IJM Corp. Bhd	5,302,600		13,693,590
Food & Agriculture — 0.7%
Kuala Lumpur Kepong Bhd	1,814,850		9,481,937
Total Morocco			23,175,527
Netherlands — 1.9%
Construction — 1.1%
Koninklijke Boskalis Westminster NV	276,900		16,772,735
Food & Agriculture — 0.5%
Nutreco Holding NV	125,200		7,245,401
Medical & Medical Services — 0.3%
Qiagen NV	169,700		3,690,200
Total Netherlands			27,708,336
Norway — 6.1%
Banks — 0.3%
Sparebanken Nord-Norge	85,520		2,004,465
Sparebanken Rogaland	193,600		2,357,399
			4,361,864
Chemicals — 1.6%
Yara International ASA	503,200		23,140,646
Food & Agriculture — 0.9%
Orkla ASA	668,400		12,797,754
Oil & Gas — 2.6%
Fred Olsen Energy ASA	198,200		10,765,520
Petroleum Geo-Services	341,600		9,837,101
Prosafe ASA	766,000		13,252,216
Subsea 7 Inc	247,600		5,502,032
			39,356,869
Transportation — 0.7%
Songa Offshore ASA	812,200		10,908,258
Total Norway			90,565,391
Philippines — 0.6%
Telecommunications — 0.6%
Philippine Long Distance Telephone Co. - ADR(c)	109,800		8,314,056
Singapore — 0.8%
Real Estate — 0.5%
CapitaCommercial Trust Management Ltd.	4,305,300		7,217,303
Retail Merchandising — 0.3%
Hongguo International Holdings Ltd.	7,903,357		5,071,886
Total Singapore			12,289,189
South Korea — 3.1%
Banks — 0.5%
Pusan Bank(b)	456,400		7,601,507
Computer Software & Services — 0.6%
NHN Corp.(b)	37,700		8,989,815
Construction — 0.6%
Daewoo Shipbuilding & Marine Engineering Co. Ltd.(b)	133,100		7,260,290
Hanjin Heavy Industries Co. Ltd.(b)	27,162		1,194,693
			8,454,983
Finance — 0.5%
Daewoo Securities Co. Ltd.	224,800		7,237,871
Security Brokers & Dealers — 0.9%
Korea Investment Holdings Co. Ltd.	163,900		13,953,076
Total South Korea			46,237,252
Sweden — 1.4%
Construction — 0.5%
Skanska AB	398,200		7,452,277
Entertainment & Leisure — 0.2%
Rezidor Hotel Group AB	636,600		3,826,898
Soaps & Cosmetics — 0.7%
Oriflame Cosmetics SA	154,954		9,863,796
Total Sweden			21,142,971
Switzerland — 2.0%
Chemicals — 0.4%
Lonza Group AG	50,000		6,047,052
Food & Agriculture — 0.5%
Barry Callebaut AG	9,945		7,534,597
Insurance — 0.5%
Swiss Life Holding	27,900		6,962,204

36 DECEMBER 31, 2007

	International Opportunities Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Switzerland (Continued)
Machinery & Heavy Equipment — 0.6%
Meyer Burger Technology AG	22,700	$	8,356,830
Total Switzerland			28,900,683
Taiwan — 3.5%
Chemicals — 1.5%
Polaris Securities Co., Ltd.(b)	9,248,600		4,277,637
Taiwan Fertilizer Co. Ltd.	7,453,300		18,104,431
			22,382,068
Computer Software & Services — 0.6%
Geovision, Inc.	491,000		4,484,339
MediaTek, Inc.	328,950		4,216,432
			8,700,771
Finance — 0.4%
Yuanta Financial Holding Co.(b)	8,716,300		5,623,546
Semiconductors & Related Devices — 0.5%
Av Tech Corp.	501,359		3,168,298
Vanguard International Semiconductor Corp.	5,297,938		3,939,110
			7,107,408
Transportation — 0.5%
U-Ming Marine Transport Corp.	3,113,224		8,504,267
Total Taiwan			52,318,060
Thailand — 1.4%
Banks — 0.8%
Siam Commercial Bank Public Co. Ltd.	4,680,100		12,018,069
Metal & Mining — 0.6%
Banpu Public Co. Ltd.	752,400		8,825,947
Total Thailand			20,844,016
United Kingdom — 13.4%
Aerospace — 1.4%
Cobham Plc	2,137,800		8,896,691
Meggitt Plc	1,746,700		11,559,733
			20,456,424
Business Services — 2.7%
Aegis Group Plc	4,305,900		10,011,970
De La Rue Plc	614,133		11,939,429
Informa Plc	908,700		8,333,636
Intertek Group Plc	503,400		9,937,984
			40,223,019
Energy & Utilities — 0.8%
International Power Plc	1,384,100		12,476,694
Entertainment & Leisure — 0.9%
IG Group Holdings Plc	961,200		7,728,224
InterContinental Hotels Group Plc	297,804		5,189,666
			12,917,890
Finance — 1.1%
ICAP Plc	1,144,700		16,495,845
Food & Agriculture — 1.4%
Britvic Plc	1,317,800		9,041,259
Dairy Crest Group Plc	293,800		3,399,274
Premier Foods Plc	1,868,200		7,632,456
			20,072,989
Insurance — 0.6%
Hiscox Ltd.	1,547,100		8,774,679
Machinery & Heavy Equipment — 0.9%
VT Group Plc	421,400		5,784,484
The Weir Group Plc	448,800		7,215,066
			12,999,550
Manufacturing — 0.4%
Burberry Group Plc	476,400		5,384,484
Measuring & Controlling Devices — 0.6%
Rotork Plc	447,912		8,637,318
Oil & Gas — 0.4%
Wellstream Holdings Plc	303,800		6,544,291
Publishing & Printing — 0.4%
United Business Media Plc	517,200		6,675,563
Transportation — 1.4%
Arriva Plc	695,800		10,833,274
National Express Group Plc	402,700		9,904,895
			20,738,169
Waste Management — 0.4%
Northumbrian Water Group Plc	773,400		5,207,047
Total United Kingdom			197,603,962
United States — 0.2%
Medical Instruments & Supplies — 0.2%
Orthofix International NV(b)	62,700		3,634,719
TOTAL COMMON STOCKS
(Cost $1,111,542,271)			1,403,464,137
Short Term Investment — 1.9%
Galileo Money Market Fund, 4.32%(d)
(Cost $27,827,945)(d)	27,827,945		27,827,945
TOTAL INVESTMENTS IN SECURITIES BEFORE SECURITIES LENDING COLLATERAL AND AFFILIATED INVESTMENT — 96.8%
(Cost $1,139,370,216)			1,431,292,082
Affiliated Investment — 0.2%
Short Term Investment — 0.2%
BlackRock Liquidity Series, LLC Money Market Series(e)
(Cost $3,634,400)	3,634,400		3,634,400
TOTAL INVESTMENTS IN SECURITIES — 97.0%
(Cost $1,143,004,616(a))			1,434,926,482
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (0.2)%			(3,634,400	)
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.2%			47,306,319
NET ASSETS — 100.0%		$	1,478,598,401

DECEMBER 31, 2007 37

	International Opportunities Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

(a) Cost for federal income tax purposes is $1,143,353,317. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	341,788,497
Gross unrealized depreciation		(50,215,332	)
	$	291,573,165

(b) Non-income producing security.

(c) Total or partial security on loan.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

38 DECEMBER 31, 2007

Schedule of Investments Equity Portfolios

KEY TO INVESTMENT ABBREVIATIONS
	ADR	American Depository Receipts
	CAD	Canadian Dollar
	LLC	Limited Liability Company
	LP	Limited Partnership
	REIT	Real Estate Investment Trust

DECEMBER 31, 2007 39

Schedule of Investments As of December 31, 2007 (Unaudited) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 60.5%
Argentina — 0.0%
Computer Software & Services — 0.0%
Mercadolibre, Inc.(b)	2,300	$	169,924
Australia — 0.7%
Construction — 0.0%
Boart Longyear Group(b)	120,400		248,435
Finance — 0.1%
Macquarie Airports Management Ltd.	102,900		365,922
Manufacturing — 0.2%
United Group Ltd.	85,300		1,435,036
Medical Instruments & Supplies — 0.0%
Sonic Healthcare Ltd.	14,200		208,470
Metal & Mining — 0.1%
Lihir Gold Ltd.	165,800		525,545
Retail Merchandising — 0.3%
Woolworths Ltd.	72,034		2,149,844
Total Australia			4,933,252
Belgium — 0.3%
Beverages & Bottling — 0.2%
Inbev NV	20,078		1,673,240
Metal & Mining — 0.1%
Umicore	2,300		571,663
Total Belgium			2,244,903
Bermuda — 0.1%
Business Services — 0.0%
Genpact Ltd.(b)	11,000		167,530
Electronics — 0.1%
Tyco Electronics Ltd.	11,800		438,134
Medical & Medical Services — 0.0%
Covidien Ltd.	5,450		241,380
Total Bermuda			847,044
Brazil — 0.3%
Banks — 0.1%
Banco Industrial e Comercial SA(b)	32,300		197,248
Unibanco SA - ADR	5,400		754,056
			951,304
Energy & Utilities — 0.1%
Companhia Energetica de Minas Gerais- CEMIG - ADR	16,900		311,974
Paper & Forest Products — 0.0%
Votorantim Celulose ADR	8,200		244,442
Real Estate — 0.0%
Mrv Engenharia(b)	12,700		271,480
Telecommunications — 0.1%
GVT Holding SA(b)	14,500		291,222
Total Brazil			2,070,422
Canada — 1.3%
Energy & Utilities — 0.0%
Epsilon Energy, Inc.	5,900		17,814
Tanganyika Oil Co. Ltd.	3,700		43,222
			61,036
Metal & Mining — 0.7%
Agnico-Eagle Mines Ltd.(b)	23,376		1,288,943
Alexco Resource Corp.(b)	12,122		65,710
Aurora Energy Resources, Inc.(b)	5,300		72,657
Baja Mining Corp.(b)	59,300		109,353
Crosshair Exploration & Mining Corp.(b)	5,600		12,369
Denison Mines Corp.(b)	4,700		42,335
European Goldfields Ltd.(b)	12,100		67,185
Fording Canadian Coal Trust	7		270
Frontier Pacific Mining Corp.(b)	79,200		59,383
Gateway Gold Corp.(b)	100,000		35,969
Gold Reserve, Inc.(b)	26,280		136,656
HudBay Minerals, Inc.(b)	25,000		493,946
Inmet Mining Corp.	4,300		350,945
Kinross Gold Corp.	40,000		741,679
Minefinders Corp. Ltd.(b)	40,000		452,000
NovaGold Resources, Inc.(b)	16,792		137,023
Southwestern Resources Corp.(b)	47,300		31,151
Sunridge Gold Corp.(b)	130,457		215,457
Triex Minerals Corp.(b)	3,300		8,326
Triex Minerals Corp. (acquired 12/23/05, cost $14,206)(b)(c)	6,600		16,651
Uranium One, Inc.(b)	11,270		100,830
West Timmins Mining, Inc.(b)	36,372		33,168
Yamana Gold, Inc.	41,700		544,620
			5,016,626
Motor Vehicles — 0.0%
Westport Innovations, Inc.(b)	70,500		203,582
Oil & Gas — 0.6%
Accrete Energy, Inc.(b)	4,960		24,826
Alberta Clipper Energy, Inc.(b)	5,026		9,829
Birchcliff Energy Ltd.(b)	6,200		45,921
Canadian Superior Energy, Inc.(b)	31,900		92,829
Canext Energy Ltd.(b)	4,021		1,792
Cinch Energy Corp.(b)	40,320		35,542
Compton Petroleum Corp.(b)	68,499		634,359
Cork Exploration, Inc.(b)	1,400		4,029
Crescent Point Energy Trust	1,800		45,248
Crew Energy, Inc.(b)	9,400		68,861
Daylight Resources Trust	13,410		98,236
Delphi Energy Corp.(b)	24,700		45,799
Ember Resources, Inc.(b)	12,136		14,633
Endev Energy, Inc.(b)	231,700		178,420
Fairborne Energy Trust	1,482		9,010
First Calgary Petroleums Ltd.(b)	14,554		42,617
Galleon Energy, Inc.—Class A(b)	28,617		449,429
Gastar Exploration Ltd.(b)	15,900		19,875
Heritage Oil Corp.(b)	4,000		212,696
Highpine Oil & Gas Ltd.(b)	8,993		90,937
HSE Integrated Ltd.(b)	561		597
Iteration Energy Ltd.(b)	4,021		19,352
Leader Energy Services Ltd.(b)	15,957		1,536
Lynden Ventures Ltd.(b)	700		532
Midnight Oil Exploration Ltd.(b)	81,200		88,856
Niko Resources Ltd. (acquired 01/31/05, cost $40,606)(b)(c)	2,000		180,860
Oilexco, Inc.(b)	3,525		47,074
Open Range Energy Corp.(b)	1,976		5,625
Pacific Rodera Energy, Inc.(b)	37,300		21,164
Pan Orient Energy Corp.(b)	3,300		50,689
Pengrowth Energy Trust	1,505		26,872

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 1

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Canada (Continued)
Oil & Gas (Continued)
Petro Andina Resources Inc.(b)	800	$	10,011
Petrolifera Petroleum Ltd.(b)	7,150		71,504
ProspEx Resources Ltd.(b)	43,140		131,131
Suncor Energy, Inc.	9,762		1,067,346
Tag Oil Ltd. (acquired 09/22/05, cost $4,409)(b)(c)	4,000		385
Technicoil Corp.(b)	46,400		21,156
Trafalgar Energy Ltd.(b)	841		2,386
TransCanada Corp.	700		28,753
TriStar Oil & Gas Ltd.(b)	14,385		182,773
True Energy Trust	11,382		38,636
Tusk Energy Corp. (acquired 03/14/05 through 02/01/07, cost $211,317)(b)(c)	57,966		83,400
Vault Energy Trust	5,850		21,398
Vero Energy, Inc.(b)	4,447		26,134
West Energy Ltd.(b)	143		333
WesternZagros Resources Ltd.(b)	1,800		4,377
			4,257,768
Transportation — 0.0%
Railpower Technologies Corp.(b)	17,600		11,235
Total Canada			9,550,247
Cayman Islands — 0.1%
Advertising — 0.1%
Focus Media Holding Ltd. -ADR(b)	6,150		349,382
Electronics — 0.0%
Silicon Motion Technology Corp. - ADR(b)	5,999		106,662
Semiconductors & Related Devices — 0.0%
O2Micro International Ltd. - ADR(b)	10,600		122,324
Total Cayman Islands			578,368
Chile — 0.0%
Banks — 0.0%
Banco Santander Chile SA - ADR	2,900		147,871
China — 0.0%
Advertising — 0.0%
Airmedia Group, Inc.(b)	1,000		22,380
Insurance — 0.0%
CNinsure, Inc.(b)	1,400		22,050
Retail Merchandising — 0.0%
China Nepstar Chain Drugstore Ltd.(b)	2,700		47,466
Total China			91,896
Denmark — 0.0%
Retail Merchandising — 0.0%
FLSmidth & Co. ASA	2,600		266,115
Finland — 0.7%
Banks — 0.0%
OKO Bank Plc - Series A	12,300		235,041
Manufacturing — 0.1%
Wartsila Oyj - Series B	5,100		388,407
Paper & Forest Products — 0.1%
UPM-Kymmene Oyj	52,356		1,057,883
Telecommunications — 0.5%
Elisa Oyj	14,700		451,336
Nokia Oyj	82,510		3,199,212
			3,650,548
Total Finland			5,331,879
France — 1.2%
Banks — 0.2%
Credit Agricole SA	52,765		1,779,740
Computer Software & Services — 0.1%
Cie Generale De Geophysique	1,300		370,630
Entertainment & Leisure — 0.1%
Ubisoft Entertainment	4,600		467,217
Food & Agriculture — 0.4%
Carrefour SA	30,351		2,364,731
Casino Guichard-Perrachon SA	4,400		478,553
			2,843,284
Machinery & Heavy Equipment — 0.1%
ALSTOM	3,842		825,729
Manufacturing — 0.1%
Compagnie Generale des Etablissements Michelin - Class B	3,700		424,653
Medical Instruments & Supplies — 0.2%
Essilor International SA	28,723		1,833,061
Total France			8,544,314
Germany — 2.1%
Banks — 0.2%
Commerzbank AG	37,496		1,439,603
Chemicals — 0.4%
Bayer AG	26,335		2,407,602
SGL Carbon AG	4,800		259,801
			2,667,403
Computer Software & Services — 0.1%
United Internet AG	25,200		613,448
Containers — 0.0%
Hamburger Hafen Und Logistik AG	1,600		142,696
Durable Goods — 0.1%
Gerry Weber International AG	11,900		386,941
Energy & Utilities — 0.3%
E.ON AG	12,302		2,618,606
Insurance — 0.4%
Allianz AG	13,090		2,831,506
Hannover Rueckversicherung AG	10,700		493,567
			3,325,073
Manufacturing — 0.5%
Adidas-Salomon AG	3,200		239,823
K+S AG	1,500		356,924
Siemens AG	17,853		2,841,466
			3,438,213
Medical & Medical Services — 0.0%
Rhoen Klinikum AG	5,600		176,686
Medical Instruments & Supplies — 0.0%
Fresenius Medical Care AG & Co.	6,600		354,042
Miscellaneous Services — 0.1%
GEA Group AG	13,000		452,359
Waste Management — 0.0%
Zhongde Waste Technology AG	3,246		156,375
Total Germany			15,771,445

2 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Greece — 0.4%
Banks — 0.1%
Piraeus Bank SA	10,800	$	421,597
Computer & Office Equipment — 0.0%
Intralot SA	18,600		368,209
Telecommunications — 0.3%
Hellenic Telecommunications Organization SA	53,925		1,986,798
Total Greece			2,776,604
Hong Kong — 1.1%
Air Transportation — 0.1%
Cathay Pacific Airways Ltd.	172,100		450,258
Banks — 0.2%
Hang Seng Bank Ltd.	87,000		1,795,252
Chemicals — 0.1%
Huabao International Holdings Ltd.	345,600		345,715
Construction — 0.0%
Shenzhen Expressway Co. Ltd.	260,800		288,314
Energy & Utilities — 0.1%
China Resources Power Holdings Co. Ltd.	57,800		199,773
Huadian Power International Corp. Ltd.	338,891		172,110
Huaneng Power International, Inc.	135,800		142,986
			514,869
Entertainment & Leisure — 0.0%
The Hongkong & Shanghai Hotels Ltd.	124,800		219,273
Finance — 0.0%
Rexcapital Financial Holdings Ltd.(b)	1,623,400		310,214
Manufacturing — 0.0%
China Power International Development Ltd.	311,200		146,073
Metal & Mining — 0.1%
Yanzhou Coal Mining Co. Ltd.	168,400		333,889
Real Estate — 0.2%
New World Development Co. Ltd.	108,600		385,101
Shun Tak Holdings Ltd.	239,500		376,570
Wheelock & Co. Ltd.	157,700		485,393
			1,247,064
Retail Merchandising — 0.3%
Esprit Holdings Ltd.	154,500		2,298,459
Total Hong Kong			7,949,380
Indonesia — 0.2%
Banks — 0.0%
PT Bank Mandiri	871,200		324,642
Metal & Mining — 0.1%
PT Bumi Resources Tbk	742,500		474,314
Motor Vehicles — 0.1%
PT Astra International Tbk	198,000		575,502
Total Indonesia			1,374,458
Ireland — 0.4%
Computer Software & Services — 0.1%
SkillSoft Plc - ADR(b)	90,340		863,650
Pharmaceuticals — 0.3%
Elan Corp. Plc—ADR(b)	69,600		1,529,808
ICON Plc - ADR(b)	3,300		204,138
			1,733,946
Total Ireland			2,597,596
Italy — 0.1%
Construction — 0.0%
Astaldi SpA	20,500		155,705
Energy & Utilities — 0.1%
AEM SpA	124,000		568,812
Terna Rete Elettrica Nazionale SPA	73,400		295,920
			864,732
Total Italy			1,020,437
Japan — 3.4%
Banks — 0.3%
Bank of Kyoto Ltd.	46,300		549,557
The Chiba Bank Ltd.	56,700		461,863
The Iyo Bank Ltd.	26,600		260,250
Mizuho Financial Group, Inc.	223		1,065,944
			2,337,614
Chemicals — 0.1%
Dainippon Ink and Chemicals, Inc.	57,600		288,735
Nihon Nohyaku Co. Ltd.	55,500		304,538
Nippon Carbon Co. Ltd.	37,500		157,096
Tosoh Corp.	66,800		287,614
			1,037,983
Conglomerates — 0.2%
Mitsui & Co. Ltd.	64,000		1,354,876
Construction — 0.2%
Daito Trust Construction Co., Ltd.	7,600		421,107
Daiwa House Industry Co. Ltd.	70,000		904,176
Mitsui Home Co. Ltd.	5,500		23,090
			1,348,373
Durable Goods — 0.1%
ASICS Corp.	42,000		605,290
Electronics — 0.3%
Denso Corp.	38,500		1,578,391
Hosiden Corp.	23,600		370,325
Star Micronics Co. Ltd.	16,300		358,202
			2,306,918
Energy & Utilities — 0.2%
Air Water, Inc.	34,800		352,003
Kurita Water Industries Ltd.	21,900		664,557
			1,016,560
Finance — 0.0%
Shinko Securities Co. Ltd.	46,900		193,956
Machinery & Heavy Equipment — 0.3%
Komatsu Ltd.	43,000		1,170,121
Miura Co. Ltd.	8,200		200,752
Mori Seiki Co., Ltd.	11,200		216,551

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 3

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Japan (Continued)
Machinery & Heavy Equipment (Continued)
Nabtesco Corp.	31,700	$	504,521
			2,091,945
Manufacturing — 0.3%
Daihatsu Motor Co., Ltd.	20,400		191,920
Makita Corp.	25,300		1,073,464
Mitsubishi Materials Corp.	69,200		296,089
Taiyo Nippon Sanso Corp.	37,300		350,246
Uni-Charm Corp.	4,900		310,102
			2,221,821
Medical Instruments & Supplies — 0.0%
Nihon Kohden Corp.	5,800		138,620
Metal & Mining — 0.2%
Marubeni Corp.	149,000		1,057,665
Yamato Kogyo Co. Ltd.	6,800		279,998
			1,337,663
Motor Vehicles — 0.4%
Futaba Industrial Co. Ltd.	12,500		350,222
Isuzu Motors Ltd.	59,000		268,290
Toyota Motor Corp.	42,000		2,270,778
Yamaha Motor Co. Ltd.	13,300		322,038
			3,211,328
Pharmaceuticals — 0.0%
Towa Pharmaceuticals Co., Ltd.	2,500		105,850
Photographic Equipment — 0.0%
Tamron Co. Ltd.	7,600		190,825
Real Estate — 0.2%
Japan General Estate Co. Ltd.	7,700		103,940
Urban Corp.	75,000		1,003,670
			1,107,610
Retail Merchandising — 0.1%
Shimachu Co. Ltd.	8,500		241,194
Tsuruha Holdings, Inc.	7,200		277,134
			518,328
Semiconductors & Related Devices — 0.0%
Daihen Corp.	34,557		189,311
Telecommunications — 0.2%
KDDI Corp.	201		1,496,952
Tires & Rubber — 0.0%
Yokohama Rubber Co. Ltd.	36,100		215,214
Transportation — 0.3%
Canon, Inc.	35,000		1,629,145
Hino Motors Ltd.	41,900		272,670
Kintetsu World Express, Inc.	8,400		293,246
			2,195,061
Total Japan			25,222,098
Kazakhstan — 0.0%
Oil & Gas — 0.0%
Kamunaigaz Exploration Production, Inc.	8,300		257,300
Luxembourg — 0.4%
Oil & Gas — 0.0%
Acergy SA - ADR	18,900		415,233
Telecommunications — 0.4%
Millicom International Cellular SA(b)	3,300		389,202
SES SA	89,278		2,349,524
			2,738,726
Total Luxembourg			3,153,959
Malaysia — 0.2%
Entertainment & Leisure — 0.1%
Genting Bhd	182,600		436,208
Tanjong Plc	72,100		403,341
			839,549
Food & Agriculture — 0.1%
IOI Corp. Bhd	131,575		308,348
Total Malaysia			1,147,897
Morocco — 0.1%
Construction — 0.1%
IJM Corp. Bhd	218,700		568,739
Food & Agriculture — 0.0%
Kuala Lumpur Kepong Bhd	73,100		384,621
Total Morocco			953,360
Netherlands — 0.6%
Construction — 0.1%
Koninklijke Boskalis Westminster NV	11,500		700,455
Food & Agriculture — 0.0%
Nutreco Holding NV	5,000		289,194
Medical & Medical Services — 0.0%
Qiagen NV	13,734		293,177
Telecommunications — 0.3%
Koninklijke KPN NV	119,991		2,182,388
Transportation — 0.2%
TNT NV	27,776		1,147,231
Total Netherlands			4,612,445
Norway — 0.8%
Banks — 0.0%
Sparebanken Nord-Norge	3,200		74,845
Sparebanken Rogaland	7,433		90,693
			165,538
Chemicals — 0.1%
Yara International ASA	19,000		880,043
Food & Agriculture — 0.1%
Orkla ASA	27,200		527,234
Oil & Gas — 0.5%
Fred Olsen Energy ASA	7,900		432,839
Petroleum Geo-Services	13,300		386,396
Prosafe ASA	29,700		516,893
Sevan Marine ASA	7,600		114,773
Statoil ASA	68,659		2,136,960
Subsea 7 Inc	9,900		221,525
			3,809,386
Transportation — 0.1%
Songa Offshore ASA	33,100		448,051

4 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
Norway (Continued)
Transportation (Continued)
Stolt-Nielsen SA (acquired 01/31/05, cost $177,441)(b)(c)	13,000	$	387,856
			835,907
Total Norway			6,218,108
Philippines — 0.0%
Telecommunications — 0.0%
Philippine Long Distance Telephone Co. - ADR	3,600		272,592
Singapore — 0.5%
Finance — 0.3%
DBS Group Holdings Ltd.	140,000		2,013,269
Real Estate — 0.2%
CapitaCommercial Trust Management Ltd.	179,500		304,269
Keppel Corp. Ltd.	160,000		1,444,996
			1,749,265
Retail Merchandising — 0.0%
Hongguo International Holdings Ltd.	340,475		219,974
Total Singapore			3,982,508
South Korea — 0.4%
Banks — 0.0%
Pusan Bank(b)	17,200		288,489
Computer Software & Services — 0.1%
NHN Corp.(b)	1,600		386,475
Construction — 0.0%
Daewoo Shipbuilding & Marine Engineering Co. Ltd.(b)	5,000		275,626
Hanjin Heavy Industries Co. Ltd.(b)	856		38,317
			313,943
Electronics — 0.2%
Samsung Electronics Co. Ltd.	2,252		1,337,655
Finance — 0.0%
Daewoo Securities Co. Ltd.	9,000		294,215
Security Brokers & Dealers — 0.1%
Korea Investment Holdings Co. Ltd.	6,400		546,296
Total South Korea			3,167,073
Sweden — 0.4%
Banks — 0.2%
Nordea Bank AB	101,587		1,697,518
Construction — 0.1%
Skanska AB	16,100		303,905
Entertainment & Leisure — 0.0%
Rezidor Hotel Group AB	25,900		155,884
Soaps & Cosmetics — 0.1%
Oriflame Cosmetics SA	6,310		403,210
Total Sweden			2,560,517
Switzerland — 1.6%
Chemicals — 0.4%
Lonza Group AG	1,900		230,588
Syngenta AG	10,843		2,763,066
			2,993,654
Food & Agriculture — 0.5%
Barry Callebaut AG	378		287,135
Nestle SA	6,686		3,070,901
			3,358,036
Insurance — 0.0%
Swiss Life Holding	1,100		274,964
Machinery & Heavy Equipment — 0.0%
Meyer Burger Technology AG	900		332,288
Pharmaceuticals — 0.7%
Novartis AG	42,425		2,327,070
Roche Holding AG	15,965		2,758,251
			5,085,321
Total Switzerland			12,044,263
Taiwan — 0.2%
Chemicals — 0.1%
Polaris Securities Co., Ltd.(b)	348,300		162,689
Taiwan Fertilizer Co. Ltd.	252,500		619,680
			782,369
Computer Software & Services — 0.0%
Geovision, Inc.	19,500		179,762
MediaTek, Inc.	10,860		140,963
			320,725
Finance — 0.0%
Yuanta Financial Holding Co.(b)	328,200		214,014
Semiconductors & Related Devices — 0.0%
Av Tech Corp.	16,640		105,941
Vanguard International Semiconductor Corp.	149,465		111,980
			217,921
Transportation — 0.1%
U-Ming Marine Transport Corp.	117,630		321,325
Total Taiwan			1,856,354
Thailand — 0.1%
Banks — 0.1%
Siam Commercial Bank Public Co. Ltd.	190,800		489,957
Metal & Mining — 0.0%
Banpu Public Co. Ltd.	30,900		366,929
Total Thailand			856,886
United Kingdom — 3.6%
Aerospace — 0.4%
BAE Systems Plc	230,916		2,289,118
Cobham Plc	89,400		371,937
Meggitt Plc	71,500		473,597
			3,134,652
Banks — 0.2%
Lloyd TSB Group Plc	196,243		1,843,831
Business Services — 0.2%
Aegis Group Plc	180,300		419,920
De La Rue Plc	23,267		452,263
Informa Plc	37,400		343,766
Intertek Group Plc	20,300		400,052
			1,616,001

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 5

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United Kingdom (Continued)
Energy & Utilities — 0.1%
International Power Plc	56,300	$	508,242
ITM Power Plc	12,000		27,829
			536,071
Entertainment & Leisure — 0.1%
IG Group Holdings Plc	36,400		293,455
InterContinental Hotels Group Plc	12,319		216,772
			510,227
Finance — 0.1%
ICAP Plc	43,200		624,747
Food & Agriculture — 0.1%
Britvic Plc	49,800		342,997
Dairy Crest Group Plc	11,900		138,102
Premier Foods Plc	76,700		312,611
			793,710
Insurance — 0.3%
Hiscox Ltd.	63,600		362,716
Prudential Plc	128,713		1,824,262
			2,186,978
Machinery & Heavy Equipment — 0.1%
VT Group Plc	16,400		225,093
The Weir Group Plc	17,000		273,937
			499,030
Manufacturing — 0.0%
Burberry Group Plc	19,900		225,596
Measuring & Controlling Devices — 0.0%
Rotork Plc	18,000		346,484
Miscellaneous Services — 0.5%
Anglo American Plc	44,657		2,737,939
Mondi Plc	107,192		906,849
			3,644,788
Oil & Gas — 0.5%
Archipelago Resources Plc (acquired 5/13/05, cost $51,017)(b)(c)	78,900		34,946
BG Group Plc	147,079		3,366,924
Gulfsands Petroleum Plc	9,000		29,202
Wellstream Holdings Plc	12,200		263,011
			3,694,083
Pharmaceuticals — 0.4%
GlaxoSmithKline Plc	85,506		2,176,968
Shire Plc—ADR	7,000		482,650
			2,659,618
Publishing & Printing — 0.0%
United Business Media Plc	20,800		268,923
Telecommunications — 0.5%
Vodafone Group Plc	912,673		3,411,895
Transportation — 0.1%
Arriva Plc	28,600		452,604
National Express Group Plc	16,400		405,462
			858,066
Waste Management — 0.0%
Northumbrian Water Group Plc	29,300		199,033
Total United Kingdom			27,053,733
United States — 39.2%
Aerospace — 0.8%
AAR Corp.(b)	4,800		182,544
Argon ST, Inc.(b)	7,700		142,912
BE Aerospace, Inc.(b)	17,500		925,750
The Boeing Co.	7,050		616,593
Curtiss-Wright Corp.	950		47,690
Goodrich Corp.	8,200		579,002
Lockheed Martin Corp.	7,050		742,083
Northrop Grumman Corp.	27,700		2,178,328
Orbital Sciences Corp.(b)	5,750		140,990
United Technologies Corp.	8,550		654,417
			6,210,309
Air Transportation — 0.0%
Continental Airlines, Inc. - Class B(b)	10,025		223,056
Banks — 1.6%
Bank of America Corp.	27,100		1,118,146
The Bank of New York Mellon Corp.	34,390		1,676,856
Citigroup, Inc.	31,700		933,248
CoBiz, Inc.	6,400		95,168
Colonial BancGroup, Inc.	2,800		37,912
Columbia Banking System, Inc.	3,694		109,823
Comerica, Inc.	3,800		165,414
Commerce Bancshares, Inc.	1,100		49,346
Cullen/Frost Bankers, Inc.	5,306		268,802
Fidelity National Information Services, Inc.	13,800		573,942
First Midwest Bancorp, Inc.	9,510		291,006
First State Bancorporation	2,400		33,360
Greenhill & Co., Inc.	2,300		152,904
JPMorgan Chase & Co.	75,950		3,315,218
KBW, Inc.(b)	5,500		140,745
People’s United Financial, Inc.	23,310		414,918
Signature Bank(b)	4,350		146,812
SVB Financial Group(b)	1,250		63,000
U.S. Bancorp	44,600		1,415,604
UMB Financial Corp.	3,150		120,834
Umpqua Holdings Corp.	6,350		97,409
Valley National Bancorp	3,100		59,086
Wells Fargo & Co.	7,650		230,954
Wintrust Financial Corp.	10,410		344,883
Zions Bancorporation	4,680		218,509
			12,073,899
Beverages & Bottling — 1.0%
The Coca-Cola Co.	77,100		4,731,627
Coca-Cola Enterprises, Inc.	20,950		545,329
Constellation Brands, Inc.(b)	12,260		289,826
Molson Coors Brewing Co.—Class B	11,800		609,116
Pepsi Bottling Group, Inc.	15,050		593,873
PepsiAmericas, Inc.	1,200		39,984
PepsiCo, Inc.	12,900		979,110
			7,788,865

6 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Broadcasting — 0.3%
Belo Corp.	22,852	$	398,539
CBS Corp. - Class B	20,300		553,175
CKX, Inc.(b)	53,900		646,800
DIRECTV Group, Inc.(b)	32,800		758,336
Outdoor Channel Holdings, Inc.(b)	7,269		50,156
			2,407,006
Business Services — 0.7%
The Advisory Board Co.(b)	3,000		192,570
Alliance Data Systems Corp.(b)	525		39,370
American Public Education, Inc.(b)	400		16,712
The Brink’s Co.	6,400		382,336
CommVault Systems, Inc.(b)	3,650		77,307
DeVry, Inc.	13,792		716,632
Diamond Management & Technology Consultants, Inc.	20,094		146,083
ExlService Holdings, Inc.(b)	14,896		343,800
Expedia, Inc.(b)	16,575		524,102
Fluor Corp.	3,500		510,020
Forrester Research, Inc.(b)	17,750		497,355
Healthcare Services Group, Inc.	2,958		62,640
Hewitt Associates, Inc. - Class A(b)	1,250		47,862
Hiedrick & Struggles International, Inc.	1,700		63,087
HMS Holdings Corp.(b)	4,725		156,917
Iron Mountain, Inc.(b)	19,100		707,082
ITT Educational Services, Inc.(b)	625		53,294
Manpower, Inc.	1,175		66,857
Martha Stewart Living Omnimedia, Inc.(b)	5,800		53,766
Net1 UEPS Technologies, Inc.(b)	2,850		83,676
W.W. Grainger, Inc.	1,894		165,763
			4,907,231
Chemicals — 0.6%
Agrium, Inc.	13,050		942,340
Ashland, Inc.	5,780		274,145
Celanese Corp. - Series A	30,160		1,276,371
CF Industries Holdings, Inc.	400		44,024
The Dow Chemical Co.	15,625		615,938
Eastman Chemical Co.	8,600		525,374
Hercules, Inc.	9,550		184,793
The Lubrizol Corp.	10,075		545,662
Minerals Technologies, Inc.	1,000		66,950
Rockwood Holdings, Inc.(b)	1,800		59,796
Terra Industries, Inc.(b)	1,375		65,670
			4,601,063
Computer & Office Equipment — 1.7%
Apple Computer, Inc.(b)	25,358		5,022,913
Cisco Systems, Inc.(b)	122,298		3,310,607
Electronics for Imaging, Inc.(b)	21,750		488,940
Hewlett-Packard Co.	24,225		1,222,878
International Business Machines Corp.	16,000		1,729,600
Intuit, Inc.(b)	5,800		183,338
Phase Metrics, Inc.(b)(d)	50,574		1,011
Western Digital Corp.(b)	26,596		803,465
			12,762,752
Computer Software & Services — 3.7%
ACI Worldwide, Inc.(b)	18,650		355,096
Activision, Inc.(b)	2,775		82,418
Adobe Systems, Inc.(b)	91,256		3,899,369
Aladdin Knowledge Systems Ltd.(b)	13,050		340,996
Blackboard, Inc.(b)	7,989		321,557
CACI International, Inc.(b)	1,800		80,586
Cadence Design Systems, Inc.(b)	27,925		475,004
Computer Sciences Corp.(b)	8,400		415,548
DemandTec, Inc.(b)	3,000		57,870
DST Systems, Inc.(b)	1,125		92,869
eBay, Inc.(b)	7,100		235,649
Electronic Arts, Inc.(b)	17,400		1,016,334
Foundry Networks, Inc.(b)	30,900		541,368
Google, Inc. - Class A(b)	6,572		4,544,407
Greenfield Online, Inc.(b)	4,719		68,945
Guidance Software, Inc.(b)	10,969		152,908
i2 Technologies, Inc.(b)	12,250		154,350
IHS, Inc.(b)	15,450		935,652
Ingram Micro, Inc. - Class A(b)	2,275		41,041
International Game Technology	15,430		677,840
Jack Henry & Associates, Inc.	21,600		525,744
Juniper Networks, Inc.(b)	11,000		365,200
Lawson Software, Inc.(b)	12,200		124,928
McAfee, Inc.(b)	1,500		56,250
MICROS Systems, Inc.(b)	8,300		582,328
Microsoft Corp.	155,060		5,520,136
Move, Inc.(b)	27,250		66,762
Nuance Communications, Inc.(b)	22,400		418,432
Oracle Corp.(b)	31,350		707,883
Phase Forward, Inc.(b)	8,800		191,400
PROS Holdings, Inc.(b)	3,400		66,708
Quality Systems, Inc.	3,000		91,470
Salesforce.com, Inc.(b)	30,850		1,933,986
SonicWALL, Inc.(b)	29,350		314,632
Sun Microsystems, Inc.(b)	42,238		765,766
Sybase, Inc.(b)	2,150		56,093
Sykes Enterprises, Inc.(b)	17,550		315,900
Synaptics, Inc.(b)	1,375		56,595
Synopsys, Inc.(b)	1,700		44,081
Tech Data Corp.(b)	7,140		269,321
The TriZetto Group, Inc.(b)	10,033		174,273
VMware, Inc.(b)	6,510		553,285
			27,690,980
Construction — 0.0%
Dycom Industries, Inc.(b)	2,200		58,630
Containers — 0.1%
Owens-Illinois, Inc.(b)	2,940		145,530
Packaging Corp. of America	4,100		115,620
Pactiv Corp.(b)	13,150		350,184
Silgan Holdings, Inc.	3,450		179,193
Smurfit-Stone Container Corp.(b)	11,710		123,658
Tupperware Corp.	2,000		66,060
			980,245
Electronics — 0.6%
Agilent Technologies, Inc.(b)	8,980		329,925
Ametek, Inc.	16,050		751,782
Amphenol Corp.	16,400		760,468
Arrow Electronics, Inc.(b)	2,300		90,344
Benchmark Electronics, Inc.(b)	3,500		62,055
Brady Corp.	3,800		133,342
Intel Corp.	51,100		1,362,326

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 7

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Electronics (Continued)
Intersil Corp. - Class A	21,260	$	520,445
RF Micro Devices, Inc.(b)	26,200		149,602
TTM Technologies, Inc.(b)	4,900		57,134
			4,217,423
Energy & Utilities — 1.3%
Airgas, Inc.	2,600		135,486
Alliant Energy Corp.	2,600		105,794
Black Hills Corp.	2,925		128,992
CenterPoint Energy, Inc.	56,550		968,702
Consolidated Edison, Inc.	4,625		225,931
Constellation Energy Group, Inc.	3,250		333,223
DPL, Inc.	3,250		96,362
Duke Energy Corp.	36,750		741,248
Edison International	17,690		944,115
El Paso Electric Co.(b)	4,600		117,622
Energy East Corp.	2,350		63,944
Entergy Corp.	2,580		308,362
Equitable Resources, Inc.	11,220		597,802
Evergreen Energy, Inc.(b)	11,500		25,645
Exelon Corp.	9,300		759,252
FirstEnergy Corp.	11,450		828,293
Houston Wire & Cable Co.	3,600		50,904
Hubbell, Inc.	900		46,440
KBR, Inc.(b)	1,500		58,200
Longview Energy Co. (acquired 01/31/05, cost $48,000)(b)(c)(d)(e)	3,200		64,000
NRG Energy, Inc.(b)	6,570		284,744
Ocean Power Technologies, Inc.(b)	1,000		16,230
PPL Corp.	8,370		435,993
Public Service Enterprise Group, Inc.	4,610		452,886
Quanta Services, Inc.(b)	7,200		188,928
Questar Corp.	6,910		373,831
Sierra Pacific Resources	8,225		139,660
Spectra Energy Corp.	24,300		627,426
UIL Holdings Corp.	5,600		206,920
Vectren Corp.	3,075		89,206
Wisconsin Energy Corp.	5,350		260,598
Xcel Energy, Inc.	9,200		207,644
			9,884,383
Entertainment & Leisure — 0.8%
Ameristar Casinos, Inc.	5,100		140,454
DreamWorks Animation SKG, Inc. - Class A(b)	19,700		503,138
Las Vegas Sands Corp.(b)	5,801		597,793
Morgans Hotel Group Co.(b)	7,265		140,069
Orient-Express Hotels Ltd. - Class A	15,437		887,936
Pinnacle Entertainment, Inc.(b)	28,360		668,162
Royal Caribbean Cruises Ltd.	12,600		534,744
Scientific Games Corp. - Class A(b)	26,650		886,112
Sotheby’s	2,150		81,915
Vail Resorts, Inc.(b)	2,050		110,311
The Walt Disney Co.	31,600		1,020,048
World Wrestling Entertainment, Inc.	6,000		88,560
			5,659,242
Finance — 1.6%
Affiliated Managers Group, Inc.(b)	5,400		634,284
AllianceBernstein Holding LP	4,700		353,675
Ambac Financial Group, Inc.	3,585		92,385
American Express Co.	13,250		689,265
Capital One Financial Corp.	3,135		148,160
CIT Group, Inc.	14,110		339,063
CME Group, Inc.	1,350		926,100
Deluxe Corp.	2,175		71,536
Evercore Partners, Inc.	6,200		133,610
Federated Investors, Inc. - Class B	9,625		396,165
The Goldman Sachs Group, Inc.	8,300		1,784,915
Invesco Ltd.	17,820		559,192
NGP Capital Resources Co.	2,700		42,201
NYSE Euronext, Inc.	9,200		807,484
Raymond James Financial, Inc.	1,650		53,889
State Street Corp.	15,050		1,222,060
Streettracks Gold Trust(b)	26,000		2,141,360
T. Rowe Price Group, Inc.	5,450		331,796
TD Ameritrade Holding Corp.(b)	45,480		912,329
Wright Express Corp.(b)	7,350		260,851
			11,900,320
Food & Agriculture — 0.7%
Bunge Ltd.	5,900		686,819
Dean Foods Co.	14,120		365,143
Del Monte Foods Co.	36,536		345,631
Diamond Foods, Inc.	4,300		92,149
Fresh Del Monte Produce, Inc.(b)	1,125		37,778
Monsanto Co.	24,586		2,746,010
NBTY, Inc.(b)	1,900		52,060
Panera Bread Co. - Class A(b)	7,100		254,322
Potash Corp. of Saskatchewan, Inc.	4,190		603,192
			5,183,104
Furniture — 0.0%
Herman Miller, Inc.	2,100		68,019
Insurance — 1.7%
ACE Ltd.	9,700		599,266
Aetna, Inc.	13,850		799,560
American Financial Group, Inc.	2,675		77,254
American International Group, Inc.	32,150		1,874,345
Amerigroup Corp.(b)	2,475		90,214
Arch Capital Group Ltd.(b)	1,900		133,665
Assurant, Inc.	4,840		323,796
AXIS Capital Holdings Ltd.	20,640		804,341
CHUBB Corp.	13,100		714,998
Endurance Specialty Holdings Ltd.	10,061		419,846
Everest Re Group Ltd.	900		90,360
First Mercury Financial Corp.(b)	10,700		261,080
HCC Insurance Holdings, Inc.	15,430		442,532
MetLife, Inc.	13,150		810,303
Nationwide Financial Services, Inc.	3,450		155,284
PartnerRe Ltd.	2,675		220,768
Platinum Underwriters Holdings Ltd.	1,741		61,910
RenaissanceRe Holdings Ltd.	2,350		141,564
Travelers Companies, Inc.	18,650		1,003,370
UnumProvident Corp.	23,850		567,391
W.R. Berkley Corp.	16,130		480,835
WellPoint, Inc.(b)	25,950		2,276,594
XL Capital Ltd.	8,850		445,244
			12,794,520
Leasing — 0.0%
GATX Corp.	1,400		51,352
Machinery & Heavy Equipment — 0.6%
AGCO Corp.(b)	10,950		744,381

8 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Machinery & Heavy Equipment (Continued)
Albany International Corp. - Class A	6,160	$	228,536
Altra Holdings, Inc.(b)	5,700		94,791
Bucyrus International, Inc. - Class A	1,000		99,390
Deere & Co.	5,650		526,128
H&E Equipment Services, Inc.(b)	4,800		90,624
Joy Global, Inc.	35,650		2,346,483
			4,130,333
Manufacturing — 3.0%
Accuride Corp.(b)	9,900		77,814
Actuant Corp. - Class A	8,500		289,085
Acuity Brands, Inc.	1,350		60,750
AptarGroup, Inc.	2,100		85,911
Chart Industries, Inc.(b)	5,600		173,040
Chattem, Inc.(b)	1,600		120,864
Corning, Inc.	77,900		1,868,821
Crane Co.	1,300		55,770
Crocs, Inc.(b)	18,300		673,623
Cummins, Inc.	1,600		203,792
Danaher Corp.	25,500		2,237,370
Dover Corp.	8,160		376,094
Eaton Corp.	7,980		773,661
Elizabeth Arden, Inc.(b)	10,775		219,271
Energizer Holdings, Inc.(b)	5,400		605,502
Foster Wheeler Ltd.(b)	12,598		1,952,942
Fuller (H.B.) Co.	4,300		96,535
Gardner Denver, Inc.(b)	6,000		198,000
General Cable Corp.(b)	1,900		139,232
General Electric Co.	112,918		4,185,870
Guess?, Inc.	1,425		53,993
Hardinge, Inc.	8,000		134,240
Harsco Corp.	1,350		86,495
Hexel Corp.(b)	4,250		103,190
Honeywell International, Inc.	43,160		2,657,361
IDEX Corp.	15,225		550,079
Jones Apparel Group, Inc.	15,810		252,802
Kaydon Corp.	2,200		119,988
Ladish Co., Inc.(b)	2,150		92,859
Lear Corp.(b)	1,600		44,256
Mettler-Toledo International, Inc.(b)	525		59,745
Newell Rubbermaid, Inc.	22,750		588,770
Parker Hannifin Corp.	8,475		638,252
Phillips-Van Heusen Corp.	5,900		217,474
Precision Castparts Corp.	2,825		391,828
Quanex Corp.	15,800		820,020
RBC Bearings, Inc.(b)	2,550		110,823
Smith & Wesson Holding Corp.(b)	6,072		37,039
SPX Corp.	775		79,709
The Stanley Works	1,075		52,116
Textron, Inc.	2,890		206,057
VF Corp.	6,600		453,156
The Warnaco Group, Inc.(b)	5,759		200,413
Watson Wyatt Worldwide, Inc.	4,100		190,281
			22,534,893
Measuring & Controlling Devices — 0.4%
Thermo Electron Corp.(b)	52,100		3,005,128
Medical & Medical Services — 1.2%
Amedisys, Inc.(b)	4,500		218,340
Apria Healthcare Group, Inc.(b)	2,500		53,925
Baxter International, Inc.	12,150		705,308
Coventry Health Care, Inc.(b)	12,370		732,922
Cross Country Healthcare, Inc.(b)	4,500		64,080
Digene Corp.(b)	100		6,101
Health Net, Inc.(b)	1,075		51,922
Henry Schein, Inc.(b)	21,000		1,289,400
Invitrogen Corp.(b)	4,775		446,033
Kindred Healthcare, Inc.(b)	2,750		68,695
Laboratory Corp. of America Holdings(b)	3,630		274,174
Magellan Health Services, Inc.(b)	12,100		564,223
MedCath Corp.(b)	5,800		142,448
Medco Health Solutions, Inc.(b)	22,235		2,254,629
Pediatrix Medical Group, Inc.(b)	17,950		1,223,292
Quest Diagnostics, Inc.	6,110		323,219
Santarus, Inc.(b)	23,950		65,863
Sun Healthcare Group, Inc.(b)	2,900		49,793
UnitedHealth Group, Inc.	9,700		564,540
WellCare Health Plans, Inc.(b)	325		13,783
			9,112,690
Medical Instruments & Supplies — 1.6%
Align Technology, Inc.(b)	4,206		70,156
Allscripts Healthcare Solutions, Inc.(b)	6,200		120,404
Bruker BioSciences Corp.(b)	8,150		108,395
C.R. Bard, Inc.	8,950		848,460
Charles River Laboratories International, Inc.(b)	1,700		111,860
CONMED Corp.(b)	2,750		63,553
The Cooper Cos., Inc.,	8,990		341,620
Cutera, Inc.(b)	2,200		34,540
DENTSPLY International, Inc.	2,275		102,420
ev3, Inc.(b)	9,950		126,464
Hillenbrand Industries, Inc.	3,587		199,904
Hologic, Inc.(b)	50,125		3,440,580
Home Diagnostics, Inc.(b)	2,800		22,876
Immucor, Inc.(b)	1,900		64,581
Intuitive Surgical, Inc.(b)	310		100,595
Johnson & Johnson	55,700		3,715,190
Kinetic Concepts, Inc.(b)	10,550		565,058
Martek Biosciences Corp.(b)	12,900		381,582
MWI Veterinary Supply, Inc.(b)	2,747		109,880
Orthofix International NV(b)	4,200		243,474
SonoSite, Inc.(b)	6,100		205,387
Symmetry Medical, Inc.(b)	9,200		160,356
Wright Medical Group, Inc.(b)	10,405		303,514
Zoll Medical Corp.(b)	8,000		213,760
			11,654,609
Metal & Mining — 1.6%
Alcoa, Inc.	8,300		303,365
Century Aluminum Co.(b)	10,050		542,097
CONSOL Energy, Inc.	77,080		5,512,762
Foundation Coal Holdings, Inc.	900		47,250
Freeport-McMoRan Copper & Gold, Inc. - Class B	16,532		1,693,538
James River Coal Co.(b)	2,300		25,714
Kinross Gold Corp.(b)	22,235		409,124
Massey Energy Co.	55,467		1,982,945
Patriot Coal Corp.(b)	1,399		58,394
Peabody Energy Corp.	13,998		862,837
Reliance Steel & Aluminum Co.	5,615		304,333

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 9

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Metal & Mining (Continued)
Steel Dynamics, Inc.	2,050	$	122,119
United States Steel Corp.	3,600		435,276
			12,299,754
Miscellaneous Services — 0.0%
TeleTech Holdings, Inc.(b)	25,500		542,385
Motor Vehicles — 0.3%
American Axle & Manufacturing Holdings, Inc.	2,475		46,084
Ford Motor Co.(b)	30,058		202,290
General Motors Corp.	5,320		132,415
Oshkosh Truck Corp.	17,050		805,783
PACCAR, Inc.	9,900		539,352
Polaris Industries, Inc.	875		41,799
TRW Automotive Holdings Corp.(b)	5,150		107,635
			1,875,358
Oil & Gas — 3.9%
Allis-Chalmers Energy, Inc.(b)	4,700		69,325
American Oil & Gas, Inc.(b)	5,947		34,493
Apache Corp.	8,300		892,582
Approach Resources, Inc.(b)	1,500		19,290
Atwood Oceanics, Inc.(b)	2,600		260,624
Aventine Renewable Energy Holdings, Inc.(b)	4,800		61,248
Baker Hughes, Inc.	4,500		364,950
BJ Services Co.	7,200		174,672
Bois d’Arc Energy, Inc.(b)	3,400		67,490
Cal Dive International, Inc.(b)	4,800		63,552
Callon Petroleum Co.(b)	2,500		41,125
Cameron International Corp.(b)	1,850		89,040
CanArgo Energy Corp.(b)	191,100		173,901
Chesapeake Energy Corp.	33,950		1,330,840
Chevron Corp.	20,100		1,875,933
Cimarex Energy Co.	2,975		126,527
Clayton Williams Energy, Inc.(b)	20,823		648,845
Complete Production Services, Inc.(b)	900		16,173
Comstock Resources, Inc.(b)	9,125		310,250
ConocoPhillips	20,300		1,792,490
Dawson Geophysical Co.(b)	1,500		107,190
Delta Petroleum Corp.(b)	23,055		434,587
Denbury Resources, Inc.(b)	2,700		80,325
Devon Energy Corp.	2		178
Diamond Offshore Drilling, Inc.	3,527		500,834
Energen Corp.	5,050		324,361
ENSCO International, Inc.	12,650		754,193
EOG Resources, Inc.	23,720		2,117,010
EXCO Resources, Inc.(b)	7,000		108,360
Exxon Mobil Corp.	36,450		3,415,000
FMC Technologies, Inc.(b)	1,475		83,632
Forest Oil Corp.(b)	6,250		317,750
Frontier Oil Corp.	13,675		554,932
Gasco Energy, Inc.(b)	19,600		38,808
Goodrich Petroleum Corp.(b)	4,950		111,969
Grant Prideco, Inc.(b)	10,380		576,194
Halliburton Co.	10,930		414,356
Helmerich & Payne, Inc.	2,600		104,182
Hercules Offshore, Inc.(b)	5,800		137,924
Ion Geophysical Corp.(b)	9,200		145,176
Marathon Oil Corp.	5,501		334,791
Mariner Energy, Inc.(b)	6,200		141,856
Matador Resources Co. (acquired 01/31/05 through 04/19/06, cost $62,950)(b)(c)(d)(e)	2,895		86,850
McMoRan Exploration Co.(b)	1,900		24,871
National-Oilwell, Inc.(b)	7,750		569,315
Newfield Exploration Co.(b)	18,404		969,891
Noble Corp.	9,900		559,449
Noble Energy, Inc.	6,250		497,000
Oceaneering International, Inc.(b)	1,500		101,025
Oil States International, Inc.(b)	4,500		153,540
Parallel Petroleum Corp.(b)	4,879		86,017
Particle Drilling Technologies, Inc.(b)	5,400		13,932
Plains Exploration & Production Co.(b)	13,900		750,600
Precision Drilling Trust	3,300		50,061
Schlumberger Ltd.	21,550		2,119,874
Smith International, Inc.	6,400		472,640
Southwestern Energy Co.(b)	5,990		333,763
St. Mary Land & Exploration Co.	2,575		99,421
Tidewater, Inc.	1,300		71,318
Transocean, Inc.(b)	13,882		1,987,183
Treasure Island Royalty Trust(b)	217,129		62,967
TXCO Resources, Inc.(b)	8,700		104,922
Verasun Energy Corp.(b)	6,900		105,432
Warren Resources, Inc.(b)	4,034		57,000
Weatherford International Ltd.(b)	7,300		500,780
			28,994,809
Personal Services — 0.1%
Life Time Fitness, Inc.(b)	8,600		427,248
MSCI, Inc.(b)	3,000		115,200
Och-Ziff Capital Management Group LLC(b)	2,300		60,444
			602,892
Pharmaceuticals — 1.7%
Abbott Laboratories	38,700		2,173,005
Axcan Pharma, Inc.(b)	6,700		154,100
Celgene Corp.(b)	10,100		466,721
Cephalon, Inc.(b)	1,225		87,906
Dyax Corp.(b)	30,702		112,369
Eli Lilly & Co.	15,550		830,214
Endo Pharmaceuticals Holdings, Inc.(b)	11,450		305,372
Forest Laboratories, Inc.(b)	4,700		171,315
Gilead Sciences, Inc.(b)	45,100		2,075,051
Kendle International, Inc.(b)	3,400		166,328
Medicis Pharmaceutical Corp.	22,050		572,638
Merck & Co., Inc.	61,070		3,548,778
Myriad Genetics, Inc.(b)	1,900		88,198
Pfizer, Inc.	76,150		1,730,890
Watson Pharmaceuticals, Inc.(b)	2,700		73,278
			12,556,163
Plastics — 0.0%
Sonoco Products Co.	5,550		181,374
Publishing & Printing — 0.1%
Dolan Media Co.(b)	4,912		143,283
The McGraw-Hill Cos., Inc.	3,650		159,907
R.R. Donnelley & Sons Co.	14,060		530,624
Valassis Communications, Inc.(b)	3,600		42,084
			875,898
Railroad & Shipping — 0.2%
Norfolk Southern Corp.	7,490		377,796

10 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks (Continued)
United States (Continued)
Railroad & Shipping (Continued)
Union Pacific Corp.	7,500	$	942,150
UTI Worldwide, Inc.	8,900		174,440
			1,494,386
Real Estate — 0.4%
AMB Property Corp. (REIT)	1,725		99,291
Apartment Investment & Management Co. (REIT)	5,150		178,860
Arbor Realty Trust, Inc. (REIT)	7,328		118,054
BioMed Realty Trust, Inc. (REIT)	2,700		62,559
Boston Properties, Inc. (REIT)	3,350		307,563
Brandywine Realty Trust (REIT)	2,750		49,308
California Coastal Communities, Inc.(b)	2,004		11,784
CB Richard Ellis Group, Inc. - Class A (REIT)(b)	11,600		249,980
Corporate Office Properties Trust (REIT)	1,600		50,400
Duke Realty Corp.	2,200		57,376
Education Realty Trust, Inc. (REIT)	7,750		87,110
Gramercy Capital Corp. (REIT)	8,100		196,911
Hospitality Properties Trust (REIT)	6,925		223,123
Jones Lang LaSalle, Inc. (REIT)	800		56,928
LaSalle Hotel Properties (REIT)	2,100		66,990
The Macerich Co. (REIT)	1,000		71,060
Nationwide Health Properties, Inc. (REIT)	1,800		56,520
ProLogis (REIT)	10,750		681,335
Simon Property Group, Inc. (REIT)	6,600		573,276
			3,198,428
Restaurants — 0.2%
Carrols Restaurant Group, Inc.(b)	6,434		61,637
Jack-in-the-Box, Inc.(b)	2,175		56,050
McDonald’s Corp.	20,900		1,231,219
			1,348,906
Retail Merchandising — 2.0%
Advance Auto Parts, Inc.	13,330		506,407
Aeropostale, Inc.(b)	2,000		53,000
Amazon.com, Inc.(b)	17,891		1,657,422
AutoZone, Inc.(b)	4,350		521,608
Barnes & Noble, Inc.	1,825		62,871
Best Buy Co., Inc.	5,300		279,045
Borders Group, Inc.	10,870		115,766
The Children’s Place Retail Stores, Inc.(b)	6,380		165,433
Copart, Inc.(b)	7,900		336,145
GameStop Corp.(b)	17,900		1,111,769
Golfsmith International Holdings, Inc.(b)	5,800		22,330
Hanesbrands, Inc.(b)	1,600		43,472
J. Crew Group, Inc.(b)	1,700		81,957
Jos. A. Bank Clothiers, Inc.(b)	2,000		56,900
Kohl’s Corp.(b)	32,900		1,506,820
The Kroger Co.	19,050		508,826
Limited Brands, Inc.	15,930		301,555
Longs Drug Stores Corp.	4,480		210,560
Macy’s, Inc.	23,115		597,985
Nordstrom, Inc.	14,400		528,912
RadioShack Corp.	27,875		469,972
Safeway, Inc.	12,220		418,046
Sally Beauty Holdings, Inc.(b)	15,635		141,497
SUPERVALU, Inc.	3,780		141,826
The Talbots, Inc.	21,506		254,201
TJX Cos., Inc.	35,200		1,011,296
Wal-Mart Stores, Inc.	75,186		3,573,591
			14,679,212
Security Brokers & Dealers — 0.4%
GFI Group, Inc.(b)	850		81,362
Janus Capital Group, Inc.	61,233		2,011,504
Lehman Brothers Holdings, Inc.	8,750		572,600
Piper Jaffray Cos., Inc.(b)	8,400		389,088
Waddell & Reed Financial, Inc.	6,500		234,585
			3,289,139
Semiconductors & Related Devices — 0.6%
Avnet, Inc.(b)	6,150		215,066
Broadcom Corp. - Class A(b)	42,200		1,103,108
Fairchild Semiconductor International, Inc.(b)	3,100		44,733
Lam Research Corp.(b)	14,520		627,700
Micron Technology, Inc.(b)	35,630		258,317
Microsemi Corp.(b)	9,200		203,688
NVIDIA Corp.(b)	9,450		321,489
PMC-Sierra, Inc.(b)	226,050		1,478,367
Semtech Corp.(b)	2,900		45,008
Standard Microsystems Corp.(b)	5,950		232,466
Ultra Clean Holdings, Inc.(b)	9,804		119,609
			4,649,551
Soaps & Cosmetics — 0.6%
Avon Products, Inc.	19,900		786,647
Bare Escentuals, Inc.(b)	23,900		579,575
Estee Lauder Cos., Inc.	4,400		191,884
The Procter & Gamble Co.	39,180		2,876,596
Ulta Salon Cosmetics & Fragrance, Inc.(b)	700		12,005
			4,446,707
Telecommunications — 1.9%
ADC Telecommunications, Inc.(b)	3,775		58,701
Amdocs Ltd.(b)	18,957		653,448
American Tower Corp. - Class A(b)	11,600		494,160
Anixter International, Inc.(b)	5,129		319,383
AT&T, Inc.	115,278		4,790,954
CenturyTel, Inc.	1,400		58,044
EMS Technologies, Inc.(b)	11,800		356,832
Harris Corp.	15,750		987,210
Iowa Telecommunications Services, Inc.	7,000		113,820
iPCS, Inc.	3,670		132,083
NII Holdings, Inc.(b)	17,627		851,737
Occam Networks, Inc.(b)	6,400		22,784
Plantronics, Inc.	1,800		46,800
QUALCOMM, Inc.	47,240		1,858,894
Research In Motion Ltd.(b)	4,570		518,238
Tessera Technologies, Inc.(b)	4,000		166,400
Verizon Communications, Inc.	58,644		2,562,156
			13,991,644
Textiles — 0.0%
Carter’s, Inc.(b)	13,700		265,095
Kenneth Cole Productions, Inc.	2,300		40,227
			305,322
Tobacco — 0.7%
Altria Group, Inc.	60,477		4,570,852
Loews Corp.-Carolina Group	3,470		295,991
UST, Inc.	5,180		283,864
			5,150,707

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 11

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Shares		Value
Common Stocks (Continued)
United States (Continued)
Transportation — 0.3%
Expeditors International of Washington, Inc.		24,265	$	1,084,160
Kirby Corp.(b)		1,125		52,290
Knight Transportation, Inc.		6,700		99,227
Overseas Shipholding Group, Inc.		4,025		299,581
Ryder Systems, Inc.		7,100		333,771
Vitran Corp., Inc.(b)		2,107		29,983
				1,899,012
Waste Management — 0.2%
Allied Waste Industries, Inc.(b)		54,300		598,386
Clean Harbors, Inc.(b)		5,300		274,010
Republic Services, Inc.		2,350		73,672
URS Corp.(b)		3,830		208,084
				1,154,152
Total United States				293,435,851
TOTAL COMMON STOCKS
(Cost $353,781,123)				453,061,099
Preferred Stocks — 0.8%
Netherlands — 0.0%
Retail Merchandising — 0.0%
Koninklijke Ahold NV		0		3
United Kingdom — 0.3%
Food & Agriculture — 0.3%
Tesco Plc		261,468		2,483,987
United States — 0.5%
Banks — 0.2%
Wachovia Corp.		50,000		1,265,000
Government — 0.3%
Federal Home Loan Mortgage Corp.		41,500		1,085,225
Federal National Mortgage Assoc.		58,325		1,501,869
				2,587,094
Total United States				3,852,094
TOTAL PREFERRED STOCKS
(Cost $6,114,650)				6,336,084
	Par (000)
Trust Preferred Stocks — 0.7%
Banks — 0.3%
Bank of America Corp., Capital Securities,
8.07%, 12/31/26(f)	$	225		235,814
Citigroup Capital XXI, Trust Preferred Securities,
8.30%, 12/21/77(g)		615		642,177
First Union Capital l, Capital Securities,
7.94%, 1/15/27		325		337,879
JPMorgan Chase Capital XXV, Captial Securities,
6.80%, 10/01/37		1,150		1,105,692
Mellon Captial IV, Capital Securities,
6.24%(g)(h)		250		232,031
UBS Preferred Funding Trust, Inc., Capital Securities,
8.62%(g)(h)		35		37,715
				2,591,308
Finance — 0.1%
Goldman Sachs Capital Trust II, Unsecured Notes,
5.79%(g)(h)		300		267,098
Lehman Brothers Holdings Capital Trust VII, Trust Preferred Securities,
5.86%(g)(h)		110		98,037
				365,135
Insurance — 0.1%
CHUBB Corp., Capital Securities,
6.38%, 3/29/67(g)		175		170,697
MetLife, Inc., Junior Subordinated Debentures,
6.40%, 12/15/36(g)		390		357,432
Progressive Corp., Junior Subordinated Notes,
6.70%, 6/15/37(g)		310		287,794
				815,923
Yankee — 0.2%
Banks — 0.1%
Barclays Bank Plc (United Kingdom), Unsecured Notes,
7.43%(f)(g)(h)(i)		350		363,703
Royal Bank of Scotland Group Plc (United Kingdom), Subordinated Notes,
7.64%(g)(h)(i)		500		514,046
				877,749
Finance — 0.1%
Credit Suisse (Guernsey), Unsecured Notes,
5.86%(g)(h)(i)		530		474,455
TOTAL TRUST PREFERRED STOCKS
(Cost $5,279,840)				5,124,570
	Number of Shares
Warrants — 0.0%
Point North Energy Ltd. (issued 07/24/03, expiring 07/23/08, strike price 5.00 CAD) (acquired 07/24/03, cost $0)(b)(d)(e)(j)		13,755		10
WesternZagros Resources Ltd. (issued 10/22/07,expiring 1/18/08, strike price 2.50 CAD) (acquired 10/26/07, cost $283)(b)(k)		180		27
TOTAL WARRANTS
(Cost $283)				37
	Par (000)
U.S. Government & Agency Obligations — 1.9%
Federal Home Loan Mortgage Corp., Unsecured Notes,
4.62%, 5/28/13	$	150		150,088
Resolution Funding Corp., Strip Bonds,
6.29%, 7/15/18(l)		150		93,439
6.30%, 10/15/18(l)		150		92,274
U.S. Treasury Bonds,
5.00%, 5/15/37		1,075		1,171,666
U.S. Treasury Inflation Protected Notes,
2.38%, 1/15/25(m)		325		378,196
U.S. Treasury Notes,
3.88%, 10/31/12(n)		1,900		1,937,257

12 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)			Value
U.S. Government & Agency Obligations (Continued)
3.38%, 11/30/12(n)	$	9,650		$	9,617,586
4.25%, 11/15/17(n)		890			905,506
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $14,260,979)					14,346,012
Mortgage Pass-Throughs — 18.2%
Federal Home Loan Mortgage Corp. ARM,
5.03%, 12/01/35(g)		652			654,952
Federal Home Loan Mortgage Corp. Gold,
8.50%, 7/01/09		—	(o)		2
4.00%, 5/01/10-5/01/19		164			159,905
6.00%, 4/01/13-1/01/38		7,907			8,031,968
4.50%, 5/01/18-8/01/20		1,347			1,324,015
5.50%, 9/01/21-8/01/33(p)		3,285			3,316,398
9.50%, 12/01/22		207			231,923
8.00%, 2/01/23-8/01/27		21			22,892
7.50%, 9/01/27		—	(o)		304
6.50%, 1/01/29-8/01/32		64			66,311
5.00%, 5/01/34		205			200,655
Federal Home Loan Mortgage Corp. Gold 15 Year TBA,
5.50%, 1/01/23		2,300			2,328,750
Federal Home Loan Mortgage Corp. Gold 30 Year TBA,
5.00%, 1/01/38		2,000			1,950,620
5.50%, 1/01/38		6,700			6,685,327
6.00%, 2/01/38		6,200			6,285,250
Federal National Mortgage Assoc.,
8.00%, 4/01/08-2/01/33		139			149,463
7.00%, 8/01/08-10/01/32		263			274,419
8.50%, 2/01/09		2			1,763
6.50%, 1/01/11-9/01/36		3,629			3,740,822
6.00%, 9/01/11-8/01/36		2,833			2,885,077
5.50%, 4/01/17-6/01/36		7,675			7,732,595
5.00%, 1/01/18-12/01/35(m)		16,258			16,097,654
4.50%, 10/01/18		382			375,782
4.00%, 6/01/19		825			791,618
7.50%, 10/01/25-1/01/31		369			394,941
Federal National Mortgage Assoc. 15 Year TBA,
4.50%, 1/01/23		1,500			1,475,625
5.50%, 1/01/23		100			101,281
6.00%, 1/01/23		4,300			4,399,416
Federal National Mortgage Assoc. 30 Year TBA,
6.00%, 1/01/38		21,850			22,191,297
6.50%, 1/01/38		10,700			10,997,567
Federal National Mortgage Assoc. ARM,
4.18%, 12/01/34(g)		983			987,394
4.78%, 1/01/35(g)		690			691,683
Government National Mortgage Assoc. I,
6.50%, 2/15/09-11/15/28		295			305,067
7.50%, 11/15/10-12/15/10		25			26,065
6.00%, 10/15/23-2/15/24		229			235,282
7.00%, 9/15/31-5/15/32		39			41,173
5.50%, 4/15/33-12/15/34		618			622,528
Government National Mortgage Assoc. I 30 Year TBA,
6.50%, 1/01/38		2,000			2,065,000
Government National Mortgage Assoc. II,
5.00%, 10/20/33(q)		1,103			1,077,477
5.50%, 3/20/36(m)		6,000			6,012,532
Government National Mortgage Assoc. II 30 Year TBA,
6.00%, 1/01/38		7,800			7,968,168
6.50%, 1/01/38		12,700			13,088,874
Government National Mortgage Assoc. II ARM,
4.75%, 5/20/34(g)		150			150,371
TOTAL MORTGAGE PASS-THROUGHS
(Cost $135,280,380)					136,140,206
Collateralized Mortgage Obligations — 2.9%
Banc of America Alternative Loan Trust, Series 04-6, Class 4A1,
5.00%, 7/25/19		175			169,798
Bear Stearns Mortgage Trust, Series 06-2, Class2A1,
5.65%, 7/25/36(g)		1,937			1,936,702
CitiMortgage Alternative Loan Trust, Series 07-A8, Class A1,
6.00%, 10/25/37		1,276			1,270,287
Countrywide Home Loans, Series 03-27, Class M,
3.89%, 6/25/33(g)		505			510,516
Countrywide Home Loans, Series 03-58, Class B1,
4.58%, 2/19/34(g)		177			177,845
Countrywide Home Loans, Series 07-J3, Class A10,
6.00%, 7/25/37(g)		978			943,553
Fannie Mae Grantor Trust, Series 03-T1, Class R (IO),
0.67%, 11/25/12(r)		6,495			147,972
Federal Home Loan Mortgage Corp., Series 235 (IO),
5.50%, 2/01/36(r)		1,265			308,145
Federal Home Loan Mortgage Corp., Series 2529, Class MB,
5.00%, 11/15/17		100			100,224
Federal Home Loan Mortgage Corp., Series 2574, Class HP,
5.00%, 2/15/18		1,420			1,398,261
Federal Home Loan Mortgage Corp., Series 2707, Class PW,
4.00%, 7/15/14		130			129,360
Federal Home Loan Mortgage Corp., Series 2864, Class NA,
5.50%, 1/15/31		130			131,847
Federal National Mortgage Assoc., Series 03-16, Class BC,
5.00%, 3/25/18		440			439,748
Federal National Mortgage Assoc., Series 04-88, Class HA,
6.50%, 7/25/34		53			55,122
Federal National Mortgage Assoc., Series 379, Class 5 (IO),
5.00%, 7/01/36(r)		2,066			441,638
Master Alternative Loans Trust, Series 04-4, Class 1A1,
5.50%, 5/25/34		119			111,619
Salomon Brothers Mortgage Securities VI, Series 87-1 (IO),
11.00%, 2/17/17(r)		33			6,103
Salomon Brothers Mortgage Securities VI, Series 87-1 (PO),
11.50%, 2/17/17(r)		37			32,961
Salomon Brothers Mortgage Securities VI, Series 87-2 (IO),
11.00%, 3/06/17(r)		23			4,869
Salomon Brothers Mortgage Securities VI, Series 87-2 (PO),
11.50%, 3/06/17(r)		23			20,276

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 13

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Collateralized Mortgage Obligations (Continued)
Structured Asset Securities Corp., Series 01-21A, Class B2,
7.14%, 1/25/32(g)	$	6	$	5,903
Structured Asset Securities Corp., Series 03-2A, Class B2II,
5.58%, 2/25/33(g)		99		98,292
Washington Mutual Mortgage Loan Trust, Series 03-AR3, Class A5,
3.93%, 4/25/33(g)		156		155,677
Washington Mutual Mortgage Loan Trust, Series 03-AR3, Class B2,
4.75%, 4/25/33(g)		117		116,661
Washington Mutual Mortgage Loan Trust, Series 03-AR4, Class A6,
3.42%, 5/25/33(g)		534		533,577
Washington Mutual Mortgage Loan Trust, Series 03-AR5, Class A6,
3.70%, 6/25/33(g)		777		774,872
Washington Mutual Mortgage Loan Trust, Series 03-AR5, Class B2,
4.49%, 6/25/33(g)		301		280,860
Washington Mutual Mortgage Loan Trust, Series 03-AR8, Class B1,
4.18%, 8/25/33(g)		308		289,808
Washington Mutual Mortgage Loan Trust, Series 04-AR1, Class B1,
4.49%, 3/25/34(g)		1,058		1,068,868
Washington Mutual Mortgage Loan Trust, Series 04-AR3, Class B1,
4.17%, 6/25/34(g)		223		225,182
Washington Mutual Mortgage Pass-Through Certificates, Series 07-HY3, Class 1A1,
5.67%, 3/25/37(g)		3,838		3,854,775
Washington Mutual Mortgage Pass-Through Certificates, Series 07-HY3, Class 4A1,
5.35%, 3/25/37(g)		1,762		1,754,359
Washington Mutual Mortgage Pass-Through Certificates, Series 07-OC1, Class A1,
5.10%, 5/25/37(g)		1,614		1,520,918
Wells Fargo Mortgage Backed Securities Trust, Series 04-K, Class 1A2,
4.48%, 7/25/34(g)		389		383,549
Wells Fargo Mortgage Backed Securities Trust, Series 05-AR15, Class 2A1,
5.11%, 9/25/35(g)		2,101		2,061,655
Wells Fargo Mortgage Backed Securities Trust, Series 06-AR12, Class 2A1,
6.10%, 9/25/36(g)		435		435,925
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $21,886,819)				21,897,727
Commercial Mortgage Backed Securities — 5.6%
Banc of America Commercial Mortgage, Inc., Series 07-2, Class A4,
5.87%, 4/10/49(g)		1,000		1,026,183
Bank of America-First Union Commercial Mortgage, Series 01-3, Class A2,
5.46%, 4/11/37		1,375		1,405,728
Bear Stearns Commercial Mortgage Securities, Inc., Series 99-WF2, Class A2,
7.08%, 7/15/31		239		243,960
Bear Stearns Commercial Mortgage Securities, Inc., Series 00-WF2, Class A2,
7.32%, 10/15/32		475		501,760
Bear Stearns Commercial Mortgage Securities, Inc., Series 02-TOP6, Class A1,
5.92%, 10/15/36		510		518,798
Bear Stearns Commercial Mortgage Securities, Inc., Series 03-T12, Class A4,
4.68%, 9/13/13		1,025		1,011,976
Bear Stearns Mortgage Trust, Series 05-4, Class 3A1,
5.37%, 8/25/35(g)		4,410		4,414,079
CDC Commercial Mortgage Trust, Series 02-FX1, Class A1,
5.25%, 5/15/19		1,236		1,244,171
Citigroup Commercial Mortgage Securities, Series 07-CD5, Class A4,
5.89%, 11/15/44		475		492,309
Citigroup Commercial Mortgage Trust, Series 07-C6, Class AM,
5.70%, 6/10/17(g)		475		476,259
Commercial Mortgage Acceptance Corp., Series 98-C2, Class C,
6.26%, 9/15/30(g)		275		276,528
Commercial Mortgage Acceptance Corp., Series 98-C2, Class E,
7.04%, 6/15/10(g)		930		973,183
Credit Suisse First Boston Mortgage Securities Corp., Series 01-CP4, Class D,
6.61%, 12/15/35		1,450		1,534,997
Credit Suisse First Boston Mortgage Securities Corp., Series 02-CKN2, Class A3,
6.13%, 3/15/12		1,000		1,047,738
Credit Suisse First Boston Mortgage Securities Corp., Series 02-CKS4, Class A2,
5.18%, 11/15/36		1,090		1,103,350
Credit Suisse First Boston Mortgage Securities Corp., Series 02-CP5, Class A2,
4.94%, 12/15/35		1,010		1,011,076
Credit Suisse First Boston Mortgage Securities Corp., Series 03-C3, Class A5,
3.94%, 5/15/38		1,020		973,485
Donaldson, Lufkin & Jenrette, Inc., Commercial Mortgage Corp., Series 99-CG1, Class A1B,
6.46%, 3/10/32		140		141,561
First Horizon Mortgage Pass-Through Trust, Series 05-AR3, Class 3A1,
5.50%, 8/25/35(g)		581		580,987
First Union National Bank Commercial Mortgage Trust, Series 01-C2, Class A2,
6.66%, 1/12/43		970		1,020,718
First Union National Bank Commercial Mortgage Trust, Series 01-C4, Class A2,
6.22%, 12/12/33		1,140		1,193,997
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, Series 98-C2, Class A2,
6.56%, 11/18/08		101		101,029
General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., Series 99-C3, Class A2,
7.18%, 8/15/36		132		135,645
General Motors Acceptance Corp. Commercial Mortgage Securities, Inc., Series 00-C3, Class A2,
6.96%, 9/15/35		1,295		1,367,170
Goldman Sachs Mortgage Securities Corp. II, Series 07-GG10, Class A4,
5.99%, 8/10/45(g)		800		827,417
Impac Commercial Mortgage Backed Trust, Series 04-5, Class 1A1,
5.22%, 10/25/34(g)		100		100,305

14 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Commercial Mortgage Backed Securities (Continued)
Impac Commercial Mortgage Backed Trust, Series 04-7, Class 1A1,
5.24%, 11/25/34(g)	$	254	$	241,853
Impac Commercial Mortgage Backed Trust, Series 04-7, Class M4,
6.06%, 11/25/34(g)		85		65,150
JPMorgan Chase Commercial Mortgage Securities Corp., Series 06-CB17, Class A4,
5.43%, 12/12/43(g)		150		150,833
JPMorgan Commercial Mortgage Finance Corp., Series 99-C7, Class A2,
6.51%, 10/15/35		242		243,389
JPMorgan Commercial Mortgage Finance Corp., Series 99-PLSI, Class D,
7.10%, 2/15/32(g)		650		663,632
Lehman Brothers Commercial Conduit Mortgage Trust, Series 98-C4, Class A1B,
6.21%, 10/15/35		412		413,768
Lehman Brothers Commercial Conduit Mortgage Trust, Series 99-C2, Class A2,
7.32%, 10/15/32		244		251,387
Lehman Brothers Commercial Conduit Mortgage Trust, Series 99-C2, Class E,
7.47%, 10/15/32		125		130,848
Lehman Brothers-UBS Commercial Mortgage Trust, Series 01-C7, Class A4,
5.93%, 12/15/25		825		841,293
Lehman Brothers-UBS Commercial Mortgage Trust, Series 01-WM, Class A1,
6.16%, 7/14/11(f)		527		542,046
Lehman Brothers-UBS Commercial Mortgage Trust, Series 03-C8, Class A1,
3.64%, 11/15/27		304		301,495
Lehman Brothers-UBS Commercial Mortgage Trust, Series 04-C2, Class A1,
2.95%, 3/15/29		228		224,405
Lehman Brothers-UBS Commercial Mortgage Trust, Series 04-C6, Class A1,
3.88%, 8/15/29		161		159,850
Lehman Brothers-UBS Commercial Mortgage Trust, Series 06-C6, Class A4,
5.37%, 9/15/39		470		471,619
Lehman Brothers-UBS Commercial Mortgage Trust, Series 07-C7, Class A3,
5.87%, 9/15/45		1,050		1,077,046
Morgan Stanley Capital I, Inc., Series 99-WF1, Class A2,
6.21%, 11/15/31		351		352,295
Morgan Stanley Capital I, Inc., Series 02-TOP7, Class A1,
5.38%, 1/15/39		227		228,686
Morgan Stanley Capital I, Inc., Series 03-IQ4, Class A2,
4.07%, 5/15/40		1,025		985,744
Morgan Stanley Capital I, Inc., Series 06-HE2, Class A2A,
4.94%, 3/25/36(g)		269		264,639
Morgan Stanley Capital I, Inc., Series 07-IQ16, Class A4,
5.70%, 12/12/49		640		654,496
Morgan Stanley Dean Witter Capital I, Inc., Series 01-TOP1, Class A4,
6.66%, 2/15/33		910		952,284
Mortgage Capital Funding, Inc., Series 98-MC2, Class B,
6.55%, 6/18/30		295		294,697
Nationslink Funding Corp., Series 98-2, Class A2,
6.48%, 8/20/30		128		128,320
Nationslink Funding Corp., Series 98-2, Class B,
6.80%, 8/20/30		525		527,743
Nationslink Funding Corp., Series 99-2, Class D,
7.15%, 6/20/31(g)		175		178,817
Salomon Brothers Mortgage Securities VII, Series 00-C3, Class A2,
6.59%, 10/18/10		1,325		1,377,690
Structured Asset Receivables Trust, Series 03-2,
5.72%, 1/21/09(f)(g)		369		365,285
Structured Asset Securities Corp., Series 96-CFL, Class X1 (IO),
2.17%, 2/25/28(r)		599		6,008
Structured Mortgage Loan, Series 07-3, Class 2A1,
5.74%, 4/25/37(g)		1,435		1,433,785
TIAA Retail Commercial LLC, Series 01-C1A, Class A4,
6.68%, 6/19/31(f)		1,305		1,336,801
Wachovia Bank Commercial Mortgage Trust, Series 06-C25, Class A5,
5.74%, 5/15/43(g)		1,050		1,084,849
Wachovia Bank Commerical Mortgage Trust, Series 07-C33, Class A4,
6.10%, 2/15/51		1,405		1,466,997
Washington Mutual Asset Securities Corp., Series 05-C1A, Class A1,
4.24%, 5/25/36(f)		109		107,880
Washington Mutual Asset Securities Corp., Series 05-C1A, Class X (IO),
2.09%, 5/25/36(f)(r)		8,292		332,868
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $41,675,237)				41,582,907
Asset Backed Securities — 2.5%
Ace Securities Corp., Series 06-HE2, Class A2A,
4.92%, 5/25/36(g)		226		223,016
Ameriquest Mortgage Securities, Inc., Series 02-3, Class M2,
6.74%, 8/25/32(g)		45		41,171
Amortizing Residential Collateral Trust, Series 02-BC3, Class M2,
5.96%, 6/25/32(g)		87		36,264
Amortizing Residential Collateral Trust, Series 02-BC5, Class M2,
6.06%, 7/25/32(g)		32		18,251
Capital Auto Receivables Asset Trust, Series 05-1, Class A4,
4.05%, 7/15/09		410		410,040
Capital Auto Receivables Asset Trust, Series 06-SN1A, Class A2A,
5.40%, 1/20/09(f)		759		759,336
Carrington Mortgage Loan Trust, Series 06-NC4, Class A1,
4.92%, 10/25/36(g)		622		618,474
Centex Home Equity Loan Trust, Series 02-A, Class MF2,
6.54%, 1/25/32		206		157,699
Centex Home Equity Loan Trust, Series 03-B, Class M3,
7.96%, 6/25/33(g)		155		83,476

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 15

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Asset Backed Securities (Continued)
Chase Funding Mortgage Loan Certificates, Series 03-2, Class 1A4,
3.99%, 8/25/29	$	8	$	8,287
Chase Issuance Trust, Series 06, Class A3,
5.02%, 7/15/11(g)		1,075		1,072,016
Chase Issuance Trust, Series 07-A17, Class A,
5.12%, 10/15/12		1,200		1,229,023
Citibank Credit Card Issuance Trust, Series 03, Class A6,
2.90%, 5/17/10		250		248,305
Citibank OMNI Master Trust, Series 07, Class A9,
5.65%, 12/23/13(f)(g)		1,435		1,435,000
Countrywide Alternative Loan Trust, Series 06-18, Class 2A1,
4.92%, 7/25/36(g)		1,039		1,024,288
Countrywide Certificates, Series 02-2, Class M2,
6.59%, 12/25/31(g)		5		3,701
Countrywide Certificates, Series 03-2, Class M2,
6.44%, 3/26/33(g)		166		124,851
Countrywide Certificates, Series 03-3, Class M6,
7.83%, 7/25/32(g)		163		81,351
Countrywide Certificates, Series 03-BCI, Class M2,
6.87%, 9/25/32(g)		55		41,003
Countrywide Certificates, Series 04-13, Class AV4,
5.16%, 6/25/35(g)		7		5,686
Credit-Based Asset Servicing and Securitization, Series 04-CB4, Class M1,
5.77%, 5/25/35(g)		275		255,477
Discover Card Master Trust I, Series 03-2, Class A,
5.16%, 8/15/10(g)		1,180		1,180,327
General Electric Business Loan Trust, Series 03-1, Class A,
5.46%, 4/15/31(f)(g)		161		159,736
General Electric Business Loan Trust, Series 03-1, Class B,
6.33%, 4/15/31(f)(g)		107		103,952
General Electric Business Loan Trust, Series 03-2A, Class B,
6.03%, 11/15/31(f)(g)		723		718,229
General Electric Business Loan Trust, Series 04-1, Class B,
5.73%, 5/15/32(f)(g)		183		182,580
Green Tree Financial Corp., Series 96-6, Class A6,
7.95%, 9/15/27		441		464,152
Green Tree Financial Corp., Series 96-7, Class A6,
7.65%, 10/15/27		218		226,289
Harborview Mortgage Loan Trust, Series 05-10, Class 2A1A,
5.33%, 11/19/35(g)		747		698,976
Harley-Davidson Motorcycle Trust, Series 05-2, Class A2,
4.07%, 2/15/12		1,097		1,092,114
Hedged Mutual Fund Fee Trust, Series 03-1A, Class 2,
5.22%, 11/30/10(f)		148		147,008
Home Equity Asset Trust, Series 07-2, Class 2A1,
4.98%, 7/25/37(g)		603		582,526
Long Beach Mortgage Loan Trust, Series 03-4, Class M5A,
8.86%, 8/25/33(g)		56		11,142
Long Beach Mortgage Loan Trust, Series 04-1, Class M5,
5.96%, 2/25/34(g)		475		299,250
Lothian Mortgages Plc, Series 3A, Class A1,
5.23%, 7/24/19(f)(g)		42		41,880
Massachusetts RRB Special Purpose Trust, Series 01-1, Class A,
6.53%, 6/01/15		839		882,548
MBNA Credit Card Master Notes Trust, Series 06-A4, Class A4,
5.02%, 9/15/11(g)		1,650		1,645,902
Nationstar Home Equity Loan Trust, Series 06-B, Class AV1,
4.94%, 9/25/36(g)		358		354,791
Option One Mortgage Loan Trust, Series 02-6, Class M1,
5.99%, 11/25/32(g)		28		26,946
Option One Mortgage Loan Trust, Series 02-6, Class M2,
7.42%, 11/25/32(g)		88		47,475
Option One Mortgage Loan Trust, Series 03-4, Class A4,
5.18%, 7/25/33(g)		87		76,309
Option One Mortgage Loan Trust, Series 03-4, Class M5A,
8.62%, 7/25/33(g)		66		23,271
Option One Mortgage Loan Trust, Series 03-5, Class M4,
7.76%, 8/25/33(g)		37		4,744
Residential Asset Mortgage Products, Inc., Series 03-RZ2, Class B,
5.50%, 4/25/33(g)		170		68,122
Residential Asset Securities Corp., Series 02-KS4, Class AIIB,
5.36%, 7/25/32(g)		55		22,006
Residential Asset Securities Corp., Series 04-KS3, Class MII3,
6.66%, 4/25/34(g)		82		43,811
Structured Asset Investment Loan Trust, Series 03-BC2, Class M2,
6.82%, 4/25/33(d)(g)		47		16,505
Structured Asset Investment Loan Trust, Series 03-BC3, Class M2,
7.79%, 4/25/33(g)		11		6,433
USAA Auto Owner Trust, Series 06-2, Class A3,
5.32%, 9/15/10		1,374		1,377,803
TOTAL ASSET BACKED SECURITIES
(Cost $19,305,994)				18,381,542
Collateralized Debt Obligations — 0.0%
Knollwood Ltd., Series 04-1A, Class C,
8.44%, 1/10/39(d)(f)(g)		101		1,014
Small Business Administration Participation Certificates, Series 97-20F, Class 1,
7.20%, 6/01/17		411		428,274
TOTAL COLLATERALIZED DEBT OBLIGATIONS
(Cost $512,386)				429,288
Corporate Bonds — 7.3%
Banks — 1.1%
Bank of America Corp., Senior Unsecured Notes,
6.00%, 9/01/17		550		561,920
5.75%, 12/04/17		1,090		1,099,232
Bank of America Corp., Subordinated Bank Notes,
6.10%, 6/15/17		450		459,895

16 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds (Continued)
Banks (Continued)
Bank of America Corp., Subordinated Notes,
7.40%, 1/15/11	$	325	$	349,313
Citigroup, Inc., Senior Unsecured Notes,
5.30%, 10/17/12		725		734,476
5.88%, 5/29/37		280		261,314
Citigroup, Inc., Subordinated Notes,
5.00%, 9/15/14		500		476,422
JPMorgan Chase Bank N.A., Subordinated Notes,
6.00%, 7/05/17		425		429,394
U.S. Bank N.A., Senior Bank Notes,
4.40%, 8/15/08		575		572,670
UBS AG, Senior Notes,
5.88%, 12/20/17		935		941,587
Wachovia Bank N.A., Subordinated Notes,
6.60%, 1/15/38		900		904,518
Wells Fargo & Co., Senior Unsecured Notes,
4.20%, 1/15/10		1,200		1,192,418
				7,983,159
Broadcasting — 0.1%
Cablevision Systems Corp., Senior Unsecured Notes,
9.64%, 4/01/09(g)		325		328,656
Charter Communications Holdings II LLC, Unsecured Notes,
10.25%, 9/15/10		280		274,400
EchoStar DBS Corp., Senior Unsecured Notes,
7.00%, 10/01/13		30		30,300
7.12%, 2/01/16		25		25,500
News America, Inc., Senior Debentures,
7.75%, 1/20/24		25		28,118
7.28%, 6/30/28		35		37,613
News America, Inc., Senior Unsecured Notes,
6.20%, 12/15/34		100		98,579
				823,166
Chemicals — 0.0%
Huntsman International LLC, Senior Subordinated Notes,
7.88%, 11/15/14		225		238,500
Computer & Office Equipment — 0.1%
IBM Corp., Unsecured Notes,
5.70%, 9/14/17		360		372,154
Construction — 0.0%
Goodman Global Holdings, Inc., Senior Unsecured Notes,
7.99%, 6/15/12(g)		145		144,275
Electronics — 0.0%
L-3 Communications Corp., Senior Subordinated Notes,
6.38%, 10/15/15		35		34,475
Energy & Utilities — 0.3%
AES Eastern Energy LP, Pass-Through Certificates, Series 99-A,
9.00%, 1/02/17		215		232,547
CMS Energy Corp., Senior Unsecured Notes,
6.55%, 7/17/17		255		249,977
Florida Power & Light Co., First Mortgage Bonds,
5.62%, 4/01/34		150		145,252
Forest Oil Corp., Senior Unsecured Notes,
7.25%, 6/15/19		130		130,650
MidAmerican Energy Holdings Co. Bonds,
6.50%, 9/15/37		250		261,071
NRG Energy, Inc., Senior Unsecured Notes,
7.38%, 2/01/16		190		185,250
PacifiCorp, First Mortgage Bonds,
6.25%, 10/15/37		200		206,538
Tesoro Corp., Senior Unsecured Notes,
6.50%, 6/01/17		250		247,500
Texas Competitive Electric Holding LLC, Senior Notes,
10.25%, 11/01/15		350		346,500
Texas Competitive Electric Holding LLC, Toggle Notes,
10.50%, 11/01/16(f)		110		108,625
XTO Energy, Inc., Senior Unsecured Notes,
6.75%, 8/01/37		250		268,158
				2,382,068
Entertainment & Leisure — 0.3%
Comcast Cable Holdings LLC, Senior Debentures,
7.88%, 8/01/13-2/15/26		7		7,842
Comcast Cable Holdings LLC, Senior Notes,
7.12%, 2/15/28		35		36,390
Comcast Corp., Senior Unsecured Notes,
7.05%, 3/15/33		115		125,622
Comcast Corp., Unsecured Notes,
6.50%, 1/15/17		850		886,254
6.95%, 8/15/37		360		388,538
CSC Holdings, Inc., Senior Unsecured Notes,
8.12%, 7/15/09		640		650,400
Riddell Bell Holdings, Inc., Senior Subordinated Notes,
8.38%, 10/01/12		65		58,500
Seneca Gaming Corp., Senior Unsecured Notes,
7.25%, 5/01/12		125		125,938
Station Casinos, Inc., Senior Subordinated Notes,
6.62%, 3/15/18		20		13,700
Time Warner Cos., Inc., Senior Debentures,
7.57%, 2/01/24		30		32,536
Time Warner, Inc., Senior Debentures,
7.62%, 4/15/31(q)		200		221,324
				2,547,044
Finance — 2.0%
Arch Western Finance, Senior Notes,
6.75%, 7/01/13(g)		400		388,000
The Bear Stearns Cos., Inc., Senior Unsecured Notes,
6.95%, 8/10/12		655		673,471
The Bear Stearns Cos., Inc., Unsecured Notes,
6.40%, 10/02/17		400		386,464
Berkshire Hathaway Finance Corp., Senior Unsecured Notes,
5.30%, 1/11/08(g)		60		60,009
4.75%, 5/15/12		355		359,450
Ford Motor Credit Co., Senior Notes,
5.80%, 1/12/09		235		223,061
Ford Motor Credit Co., Senior Unsecured Notes,
8.62%, 11/01/10		250		231,988
Ford Motor Credit Co., Unsecured Notes,
9.75%, 9/15/10		135		128,817
7.80%, 6/01/12		285		249,849
General Electric Capital Corp., Senior Unsecured Notes,
5.00%, 12/01/10		300		305,273
6.75%, 3/15/32(q)		50		56,769
General Electric Capital Corp., Subordinated Debentures,
6.38%, 11/15/67(g)		475		490,429

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 17

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds (Continued)
Finance (Continued)
General Electric Capital Corp., Unsecured Notes,
5.11%, 7/28/08(g)	$	150	$	150,061
5.00%, 11/15/11		3,445		3,486,733
6.15%, 8/07/37		505		536,527
The Goldman Sachs Group, Inc., Senior Unsecured Notes,
5.25%, 10/15/13		1,050		1,050,360
JPMorgan Chase & Co., Unsecured Notes,
5.60%, 6/01/11		550		567,550
Lehman Brothers Holdings, Inc., Senior Notes,
7.00%, 9/27/27		475		482,103
Lehman Brothers Holdings, Inc., Subordinated Notes,
6.75%, 12/28/17		575		592,652
Lehman Brothers Holdings, Inc., Unsecured Notes,
5.25%, 2/06/12		440		435,375
6.00%, 7/19/12		350		356,382
Leucadia National Corp., Senior Unsecured Notes,
7.12%, 3/15/17		200		185,000
Morgan Stanley, Senior Notes,
5.49%, 1/09/12(g)		1,655		1,599,374
5.55%, 4/27/17		115		112,144
6.25%, 8/28/17		1,025		1,042,018
Morgan Stanley, Unsecured Notes,
5.05%, 1/21/11		360		359,960
NSG Holdings LLC, Notes,
7.75%, 12/15/25(f)		140		140,350
Russian Federation, Unsubordinated Notes,
7.50%, 3/31/30(g)		99		113,414
TL Acquisitions, Inc., Senior Unsecured Notes,
10.50%, 1/15/15		290		278,762
				15,042,345
Food & Agriculture — 0.1%
Kraft Foods, Inc., Senior Unsecured Notes,
6.50%, 8/11/17		535		553,482
6.12%, 2/01/18		475		478,631
				1,032,113
Insurance — 0.1%
Allstate Financial Global Funding LLC, Unsecured Notes,
2.50%, 6/20/08		325		321,626
Leasing — 0.0%
Rent-A-Center, Senior Subordinated Notes,
7.50%, 5/01/10		180		167,850
Manufacturing — 0.1%
Georgia-Pacific Corp., Senior Unsecured Notes,
7.12%, 1/15/17		285		277,163
Jarden Corp., Senior Subordinated Notes,
7.50%, 5/01/17		75		64,500
Rexnord LLC, Senior Notes,
8.88%, 9/01/16		30		28,500
Rexnord LLC, Senior Unsecured Notes,
9.50%, 8/01/14		30		29,700
Rock-Tenn Co., Senior Unsecured Notes,
8.20%, 8/15/11		250		258,750
Terex Corp., Senior Subordinated Notes,
8.00%, 11/15/17		370		374,625
				1,033,238
Medical & Medical Services — 0.1%
Health Management Plc, Senior Unsecured Notes,
6.12%, 4/15/16		230		199,386
Reable Therapeutics, Inc., Unsecured Notes,
10.88%, 11/15/14		280		275,100
Tenet Healthcare Corp., Senior Unsecured Notes,
9.88%, 7/01/14		60		57,150
				531,636
Medical Instruments & Supplies — 0.0%
Coopers Co., Inc., Senior Unsecured Notes,
7.12%, 2/15/15		250		243,125
Metal & Mining — 0.1%
Freeport-McMoRan Copper & Gold, Inc., Senior Unsecured Notes,
8.25%, 4/01/15		145		153,700
8.39%, 4/01/15(g)		130		131,950
8.38%, 4/01/17		445		477,263
				762,913
Motor Vehicles — 0.1%
ArvinMeritor, Inc., Unsecured Notes,
8.12%, 9/15/15		385		333,025
Lear Corp., Senior Unsecured Notes,
8.75%, 12/01/16		90		81,900
				414,925
Oil & Gas — 0.2%
Colorado Interstate Gas Co., Senior Unsecured Notes,
6.80%, 11/15/15		35		36,434
Consolidated Natural Gas, Inc., Senior Debentures,
5.00%, 3/01/14		20		19,397
EXCO Resources, Inc., Senior Secured Notes,
7.25%, 1/15/11		65		62,562
Gazprom, Unsecured Notes,
9.62%, 3/01/13		680		769,250
Newfield Exploration Co., Senior Subordinated Notes,
6.62%, 9/01/14-4/15/16		250		246,300
Targa Resources, Inc., Senior Unsecured Notes,
8.50%, 11/01/13		10		9,650
Transocean, Inc., Senior Unsecured Notes,
6.80%, 3/15/38		150		153,019
				1,296,612
Paper & Forest Products — 0.0%
NewPage Corp., Senior Secured Notes,
10.00%, 5/01/12		100		100,500
Pharmaceuticals — 0.1%
Bristol-Myers Squibb Co., Senior Debentures,
6.88%, 8/01/97		25		26,395
Merck & Co., Inc., Senior Unsecured Notes,
4.38%, 2/15/13		410		404,391
				430,786
Real Estate — 0.2%
American Real Estate Partners LP, Senior Unsecured Notes,
7.12%, 2/15/13		420		394,800
The Rouse Co., Senior Unsecured Notes (REIT),
6.75%, 5/01/13		375		348,353

18 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds (Continued)
Real Estate (Continued)
The Rouse Co., Unsecured Notes (REIT),
3.62%, 3/15/09	$	400	$	381,103
				1,124,256
Restaurants — 0.0%
Landry’s Restaurants, Inc., Senior Notes,
9.50%, 12/15/14		90		89,100
Retail Merchandising — 0.1%
Michaels Stores, Inc., Senior Subordinated Notes,
11.38%, 11/01/16		100		91,750
Michaels Stores, Inc., Senior Unsecured Notes,
10.00%, 11/01/14		145		137,750
Rite Aid Corp., Notes,
7.50%, 3/01/17		320		282,000
				511,500
Telecommunications — 0.4%
American Tower Corp., Senior Unsecured Notes,
7.50%, 5/01/12		800		824,000
AT&T, Inc., Unsecured Notes,
6.50%, 9/01/37		800		836,542
Cincinnati Bell, Inc., Senior Unsecured Notes,
7.25%, 7/15/13		520		521,300
Citizens Communications Co., Senior Unsecured Notes,
7.88%, 1/15/27		25		23,813
Qwest Communications International, Inc., Senior Unsecured Notes,
7.50%, 2/15/14		90		89,775
Qwest Corp., Unsecured Notes,
8.94%, 6/15/13(g)		75		76,500
Superior Essex Communications & Essex Group, Senior Notes,
9.00%, 4/15/12		425		408,000
Verizon Maryland Inc., Debentures,
5.12%, 6/15/33		10		8,619
				2,788,549
Tires & Rubber — 0.0%
Goodyear Tire & Rubber Co., Unsecured Notes,
8.62%, 12/01/11		150		156,375
Waste Management — 0.0%
Aleris International, Inc., Senior Unsecured Notes,
9.00%, 12/15/14(s)		230		192,050
Yankee — 1.8%
Banks — 0.4%
Anz National Bank International Ltd. (New Zealand), Unsecured Notes,
5.35%, 4/14/10(g)(i)		1,645		1,642,057
Banco Central de la Republica Dominicana (Dominican Republic), Unsecured Notes,
9.04%, 1/23/18(i)		33		37,289
Banque Centrale de Tunisie (Tunisia), Senior Unsecured Notes,
7.38%, 4/25/12(i)		425		461,890
Kazkommerts International BV (Netherlands), Notes,
8.00%, 11/03/15(i)		440		360,712
Russian Federation, Unsecured Notes,
12.75%, 6/24/28(i)		120		218,400
VTB Capital SA (Luxembourg), Unsecured Notes,
7.50%, 10/12/11(i)		110		112,719
				2,833,067
Electronics — 0.0%
NXP BV (Netherlands), Notes,
7.99%, 10/15/13(g)(i)		190		174,800
Energy & Utilities — 0.0%
OPTi, Inc. (Canada), Notes,
8.25%, 12/15/14(i)		175		173,250
Suncor Energy, Inc. (Canada), Unsecured Notes,
6.50%, 6/15/38(i)		20		21,384
				194,634
Finance — 0.0%
Wind Acquisition Finance SA (Luxembourg), Senior Unsecured Notes,
10.75%, 12/01/15(i)		115		125,350
Government — 0.8%
AID-Israel (Israel), Unsecured Notes,
5.50%, 4/26/24-9/18/33(i)		185		201,474
Oriental Republic of Uruguay Bonds,
7.62%, 3/31/36(i)		165		179,850
Republic of Argentina Bonds,
8.28%, 12/31/33(i)		209		200,613
Republic of Argentina, Notes,
5.39%, 8/03/12(g)(i)		695		392,675
Republic of Argentina, Unsecured Notes,
1.33%, 12/31/38(g)(i)		170		71,400
Republic of Brazil Bonds,
8.25%, 1/20/34(i)		100		126,500
11.00%, 8/17/40(i)		705		941,880
Republic of Colombia Bonds,
7.38%, 9/18/37(i)		200		222,500
Republic of Colombia, Unsecured Notes,
7.38%, 1/27/17(i)		225		246,938
Republic of El Salvador, Unsecured Notes,
7.65%, 6/15/35(i)		55		63,525
Republic of Indonesia Bonds,
6.62%, 2/17/37(i)		100		95,125
Republic of Panama, Debentures,
8.88%, 9/30/27(i)		95		123,500
Republic of Panama, Unsecured Notes,
7.12%, 1/29/26(i)		170		187,000
Republic of Peru Bonds,
6.55%, 3/14/37(i)		355		370,975
Republic of Peru, Unsecured Notes,
8.75%, 11/21/33(i)		135		178,875
Republic of Philippines, Senior Unsecured Notes,
9.00%, 2/15/13(i)		370		421,338
Republic of Turkey, Unsecured Notes,
6.75%, 4/03/18(i)		730		749,163
Republic of Venezuela Bonds,
9.25%, 9/15/27(i)		280		279,300
Republic of Venezuela, Unsecured Notes,
8.50%, 10/08/14(i)		200		193,000
Russian Agricultural Bank (Luxembourg), Senior Unsecured Notes,
7.18%, 5/16/13(i)		100		102,630
Ukraine Government, Unsecured Notes,
6.58%, 11/21/16(i)		100		98,000
United Mexican States (Mexico), Senior Unsecured Notes,
5.62%, 1/15/17(i)		674		683,099
				6,129,360

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 19

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Par (000)		Value
Corporate Bonds (Continued)
Yankee (Continued)
Manufacturing — 0.1%
Ford Capital BV (Netherlands), Debentures,
9.50%, 6/01/10(i)	$	390	$	367,575
Metal & Mining — 0.0%
Ispat Inland ULC (Canada), Senior Secured Notes,
9.75%, 4/01/14(i)		10		10,835
Oil & Gas — 0.2%
ConocoPhillips Funding Co. (Australia), Unsecured Notes,
5.34%, 4/09/09(g)(i)		1,129		1,127,261
Gazprom Capital (Luxembourg) Bonds,
6.51%, 3/07/22(i)		100		95,070
Gazprom Capital (Luxembourg), Unsecured Notes,
9.62%, 3/01/13(i)		200		226,540
6.21%, 11/22/16(i)		190		182,286
				1,631,157
Paper & Forest Products — 0.1%
Ainsworth Lumber Co. Ltd. (Canada), Senior Unsecured Notes,
8.58%, 10/01/10(g)(i)		400		288,000
Domtar Corp. (Canada), Unsecured Notes,
5.38%, 12/01/13(i)		90		81,225
7.12%, 8/15/15(i)		100		98,000
Norske Skog Canada Ltd. (Canada), Senior Unsecured Notes,
8.62%, 6/15/11(i)		50		41,500
				508,725
Telecommunications — 0.2%
America Movil SAB de CV (Mexico), Unsecured Notes,
6.38%, 3/01/35(i)		75		74,162
Rogers Wireless, Inc. (Canada), Senior Secured Notes,
7.50%, 3/15/15(i)		500		546,792
Shaw Communications, Inc. (Canada), Unsecured Notes,
7.20%, 12/15/11(i)		175		180,031
Telecom Italia Capital (Italy), Senior Unsecured Notes,
4.95%, 9/30/14(i)		475		457,464
Telefonica Emisiones SAU (Spain), Senior Unsecured Notes,
6.42%, 6/20/16(i)		150		157,854
7.04%, 6/20/36(i)		150		167,668
Vimpelcom (Luxembourg), Notes,
8.25%, 5/23/16(i)		100		100,239
Vodafone Group Plc (United Kingdom), Senior Unsecured Notes,
7.75%, 2/15/10(i)		125		131,861
				1,816,071
TOTAL CORPORATE BONDS
(Cost $54,821,113)				54,555,914
Foreign Bonds — 0.1%
Germany — 0.1%
Bundesrepublic Deutschland (EUR),
4.25%, 7/04/39		250		344,787
Luxembourg — 0.0%
Gazprom Capital, Unsecured Notes (EUR),
5.88%, 6/01/15		250		343,582
TOTAL FOREIGN BONDS,
(Cost $671,979)				688,369
Taxable Municipal Bonds — 0.0%
Atlantic Marine Corp. Communities, Notes (Delaware),
5.34%, 12/01/45(f)		600		547,698
Ohana Hawaii Military Communities LLC, Military Housing Revenue Bonds (Navy Housing Privatization Project), Series 04-A, Class 1,
6.19%, 4/01/49		25		25,467
TOTAL TAXABLE MUNICIPAL BONDS
(Cost $625,000)				573,165
	Number of Shares
Exchange-Traded Funds — 1.1%
iShares MSCI Brazil Index Fund		46,000		3,712,200
iShares MSCI South Korea Index Fund		67,000		4,338,250
iShares Russell 2000 Value Index Fund		1,463		103,361
TOTAL EXCHANGE-TRADED FUNDS,
(Cost $7,356,672)				8,153,811
	Par/Shares (000)
Short Term Investments — 12.0%
Bank of America Corp.,
4.60%, 1/04/08(l)	$	10,000		9,994,834
Belmont Funding LLC,
5.05%, 1/08/08(l)		10,000		9,988,614
Ciesco LP,
4.62%, 1/17/08(l)		7,000		6,984,493
Falcon Asset Securities Corp.,
5.50%, 1/22/08(l)		7,000		6,976,473
Liberty Street Funding Corp.,
6.00%, 1/14/08(l)		10,000		9,976,666
Galileo Money Market Fund, 4.32%(t)		45,727		45,727,437
0.00%(t)		45,727		45,727,437
TOTAL SHORT TERM INVESTMENTS
(Cost $89,648,978)				89,648,517

20 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments (continued) (Percentages shown are based on Net Assets)

	Number of Contracts			Value
Call Options Purchased — 0.0%
U.S. Dollar Versus Canadian Dollar, Strike Price 1.050
CAD, Expires 3/04/08		690,000		$	2,904
U.S. Dollar Versus Canadian Dollar, Strike Price 1.050
CAD, Expires 3/04/08		1,240,000			5,219
U.S. Dollar Versus Canadian Dollar, Strike Price 1.050
CAD, Expires 3/04/08		690,000			2,905
TOTAL CALL OPTIONS PURCHASED
(Cost $28,103)					11,028
Call Swaptions Purchased — 0.2%
Bank of America, Strike Rate 5.470%, Expires 5/08/12		560	(u)		307,048
Goldman Sachs & Co., Strike Rate 5.480%, Expires 11/08/10		300	(u)		173,130
Lehman Brothers, Strike Rate 5.345%, Expires 11/09/09		450	(u)		244,260
Lehman Brothers, Strike Rate 5.390%, Expires 3/19/12		330	(u)		172,920
Lehman Brothers, Strike Rate 6.025%, Expires 6/08/12		391	(u)		294,423
TOTAL CALL SWAPTIONS PURCHASED
(Cost $797,924)					1,191,781
Put Options Purchased — 0.3%
SPDR Trust Series I, Strike Price $142, Expires 3/22/08		5,400			2,308,500
U.S. Dollar Versus Euro, Strike Price 1.400 EUR, Expires 1/10/08		1,990,000			0
TOTAL PUT OPTIONS PURCHASED
(Cost $2,792,441)					2,308,500
Put Swaptions Purchased — 0.1%
Bank of America, Strike Rate 5.470%, Expires 5/08/12		560	(u)		260,680
Goldman Sachs & Co., Strike Rate 5.480%, Expires 11/08/10		300	(u)		107,970
Lehman Brothers, Strike Rate 5.345%, Expires 11/09/09		450	(u)		130,320
Lehman Brothers, Strike Rate 5.390%, Expires 3/19/12		330	(u)		159,786
Lehman Brothers, Strike Rate 6.025%, Expires 6/08/12		391	(u)		124,807
Morgan Stanley & Co., Strike Rate 5.500%, Expires 1/25/08		390	(u)		117
TOTAL PUT SWAPTIONS PURCHASED
(Cost $804,242)					783,680
TOTAL INVESTMENTS BEFORE MORTGAGE PASS-THROUGH TBA SALE COMMITMENTS AND OUTSTANDING SWAPTIONS AND OPTIONS WRITTEN — 114.2%
(Cost $755,644,143(a))					855,214,237
	Par (000)
Mortgage Pass-Through TBA Sale Commitments — (3.5)%
Federal Home Loan Mortgage Corp. Gold 15 Year,
5.50%, 1/01/23	$	(2,500	)		(2,531,250	)
Federal Home Loan Mortgage Corp. Gold 30 Year,
6.00%, 1/01/38		(6,800	)		(6,899,892	)
Federal National Mortgage Assoc. 15 Year,
5.00%, 1/01/23		(2,000	)		(2,001,240	)
5.50%, 1/01/23		(3,600	)		(3,646,116	)
Federal National Mortgage Assoc. 30 Year,
5.00%, 2/01/38		(7,000	)		(6,825,000	)
5.50%, 2/01/38		(3,900	)		(3,891,459	)
Government National Mortgage Assoc. I 30 Year,
5.50%, 1/01/38		(600	)		(604,314	)
TOTAL MORTGAGE PASS-THROUGH TBA SALE COMMITMENTS
(Proceeds $2,515,430)					(26,399,271	)
	Number of Contracts
Call Options Written — 0.0%
March 5 Year U.S. Treasury Notes futures, Strike Price $112, Expires 2/22/08
(Premiums received $10,855)		(19	)		(8,312	)
Call Swaptions Written — (0.1)%
Barclays Capital, Strike Rate 5.140%, Expires 4/21/08		(320	)(u)		(138,112	)
Chase Securities, Strike Rate 5.460%, Expires 8/22/08		(170	)(u)		(109,208	)
Chase Securities, Strike Rate 5.485%, Expires 10/26/09		(140	)(u)		(85,022	)
Citibank, Strike Rate 5.670%, Expires 1/04/10		(50	)(u)		(34,405	)
Lehman Brothers, Strike Rate 5.115%, Expires 3/19/08		(330	)(u)		(132,561	)
UBS Securities, Strike Rate 5.400%, Expires 12/14/10		(260	)(u)		(141,466	)
TOTAL CALL SWAPTIONS WRITTEN
(Premiums received $445,500)					(640,774	)
Put Option Written — (0.2)%
SPDR Trust Series I, Strike Price $134, Expires 3/22/08
(Premiums received $1,598,375)		(5,400	)		(1,287,900	)
Put Swaptions Written — 0.0%
Barclays Capital, Strike Rate 5.140%, Expires 4/21/08		(320	)(u)		(24,352	)
Chase Securities, Strike Rate 5.460%, Expires 8/22/08		(170	)(u)		(13,736	)
Chase Securities, Strike Rate 5.485%, Expires 10/26/09		(140	)(u)		(34,286	)
Citibank, Strike Rate 5.670%, Expires 1/04/10		(50	)(u)		(11,075	)
Lehman Brothers, Strike Rate 5.115%, Expires 3/19/08		(330	)(u)		(18,513	)
UBS Securities, Strike Rate 5.400%, Expires 12/14/10		(260	)(u)		(102,206	)
TOTAL PUT SWAPTIONS WRITTEN
(Premiums received $445,500)					(204,168	)
TOTAL OPTIONS AND SWAPTIONS WRITTEN — (0.3)%
(Premiums received $2,500,230)					(2,141,154	)

ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007 21

Schedule of Investments (concluded) (Percentages shown are based on Net Assets)

	Value
TOTAL INVESTMENTS NET OF MORTGAGE PASS-THROUGH TBA SALE COMMITMENTS AND OUTSTANDING OPTIONS AND SWAPTIONS WRITTEN — 110.4%
(Cost $726,958,163)	$	826,673,812
PAYABLE FOR REVERSE REPURCHASE AGREEMENTS — (1.2)%		(8,745,844	)
LIABILITIES IN EXCESS OF OTHER ASSETS — (9.2)%		(69,189,834	)
NET ASSETS — 100.0%	$	748,738,134

(a) Cost for federal income tax purposes is $759,635,424. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	112,493,319
Gross unrealized depreciation		(16,914,506	)
	$	95,578,813

(b) Non-income producing security.

(c) Security restricted as to public resale. These securities are ineligible for resale into the public market until such time that either (i) a resale Registration Statement has been filed with the SEC and declared effective or (ii) resale is permitted under Rule 144A without the need for an effective registration statement. As of December 31, 2007, the Portfolio held 0.1% of its net assets, with a current market value of $854,948 and an original cost of $609,946 in these securities.

(d) Security valued at fair value as determined in good faith by or under the direction of the Board of Trustees. As of December 31, 2007, these securities had a total market value of $169,390, which represents 0.0% of net assets.

(e) Security is illiquid. As of December 31, 2007, the Portfolio held less than 0.1% of its net assets, with a current market value of $150,860, in these securities.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. As of December 31, 2007, the Portfolio held 1.0% of its net assets, with a current market value of $7,629,804, in securities restricted as to resale.

(g) Variable rate security. Rate shown is the rate as of December 31, 2007.

(h) The security is a perpetual bond and has no stated maturity date.

(i) U.S. dollar denominated security issued by foreign domiciled entity.

(j) As of December 31, 2007, the aggregate amount of shares called for by these warrants is 13,755. These warrants were exercisable as of July 24, 2003.

(k) As of December 31, 2007, the aggregate amount of shares called for by these warrants is 180. These warrants were exercisable as of October 22, 2007.

(l) The rate shown is the effective yield at the time of purchase.

(m) Security, or a portion thereof, with a market value of $9,039,578, has been pledged as collateral for reverse repurchase agreements.

(n) Security, or a portion thereof, subject to financing transactions.

(o) Par held at December 31, 2007 is less than $500.

(p) Security, or a portion thereof, with a market value of $1,212,226, has been pledged as collateral for swap and swaption contracts.

(q) Security, or a portion thereof, with a value of $1,355,571 as well as cash of $1,750,000, as seen on the Statement of Asset and Liabilities, for a combined value of $3,105,571 pledged as collateral on 147 long U.S. Treasury Note futures contracts, 289 short U.S. Treasury Note futures contracts, 30 short U.S. Treasury Bond futures contracts, 30 long Euro-Bund futures contracts, 17 long Euro-Bobl futures contracts, 15 long Euribor futures contracts, 30 long SPI 200 index futures contracts, 18 long DAX index futures contract and 60 long FTSE/JSE top 40 index futures contracts expiring March 2008, 40 long H-shares index futures contracts expiring January 2008, 28 long Eurodollar futures contracts expiring September 2008 and 28 short Eurodollar futures contracts expiring September 2009. The notional value of such contracts on December 31, 2007 was $99,561,769, with an unrealized gain of $196,141 (including commissions of $1,928).

(r) The rate shown is the effective yield as of December 31, 2007.

(s) Payment in kind security.

(t) Represents current yield as of December 31, 2007.

(u) Each swaption contract is equivalent to $10,000 notional amount.

22 ASSET ALLOCATION PORTFOLIO DECEMBER 31, 2007

Schedule of Investments

	KEY TO INVESTMENT ABBREVIATIONS
ADR	American Depository Receipts
CAD	Canadian Dollar
EUR	Euro
IO	Interest Only
LLC	Limited Liability Corporation
LP	Limited Partnership
PO	Principal Only
REIT	Real Estate Investment Trust
TBA	To Be Announced

DECEMBER 31, 2007 23

Schedule of Investments As of December 31, 2007 (Unaudited) (Percentages shown are based on Net Assets)

	Number of Shares	Value
Common Stocks — 98.5%
Aerospace — 6.7%
The Boeing Co.	131,800	$	11,527,228
General Dynamics Corp.(b)	93,000		8,276,070
			19,803,298
Banks — 1.8%
JPMorgan Chase & Co.	124,728		5,444,377
Beverages & Bottling — 5.2%
Anheuser-Busch Cos., Inc.	192,315		10,065,767
The Coca-Cola Co.	87,735		5,384,297
			15,450,064
Computer & Office Equipment — 9.3%
Hewlett-Packard Co.	349,270		17,631,150
International Business Machines Corp.	92,371		9,985,305
			27,616,455
Computer Software & Services — 4.4%
Microsoft Corp.	367,277		13,075,061
Conglomerates — 5.9%
Berkshire Hathaway, Inc. - Class B(c)	3,687		17,461,632
Electronics — 1.0%
Agilent Technologies, Inc.(c)	29,749		1,092,978
Intel Corp.	70,215		1,871,932
			2,964,910
Finance — 8.1%
American Express Co.	271,045		14,099,761
Ameriprise Financial, Inc.	61,125		3,368,599
Western Union Co.(b)	266,480		6,470,134
			23,938,494
Food & Agriculture — 0.8%
General Mills, Inc.	8,497		484,329
Kraft Foods, Inc. - Class A	53,285		1,738,690
			2,223,019
Insurance — 1.9%
American International Group, Inc.	94,900		5,532,670
Machinery & Heavy Equipment — 3.0%
Caterpillar, Inc.	124,256		9,016,015
Manufacturing — 4.0%
General Electric Co.	317,848		11,782,625
Medical & Medical Services — 3.4%
Millipore Corp.(c)	135,965		9,949,919
Medical Instruments & Supplies — 3.7%
Johnson & Johnson	120,414		8,031,614
Medtronic, Inc.	60,000		3,016,200
			11,047,814
Oil & Gas — 15.3%
BP Plc - ADR	116,846		8,549,622
Exxon Mobil Corp.(b)	188,062		17,619,529
Schlumberger Ltd.	172,339		16,952,987
Transocean, Inc.(c)	14,795		2,117,904
			45,240,042
Pharmaceuticals — 8.4%
AstraZeneca Plc	76,000		3,254,320
Merck & Co., Inc.	83,999		4,881,182
Novartis AG - ADR	169,030		9,180,019
Pfizer, Inc.	89,719		2,039,313
Wyeth	125,465		5,544,299
			24,899,133
Retail Merchandising — 6.7%
Target Corp.(b)	248,429		12,421,450
Wal-Mart Stores, Inc.	154,700		7,352,891
			19,774,341
Soaps & Cosmetics — 6.1%
The Procter & Gamble Co.	246,400		18,090,688
Telecommunications — 0.8%
Vodafone Group Plc - ADR	64,452		2,405,349
Tobacco — 2.0%
Altria Group, Inc.	77,000		5,819,660
TOTAL COMMON STOCKS
(Cost $59,319,653)			291,535,566
Short Term Investment — 1.0%
Galileo Money Market Fund, 4.32%(d) (Cost $2,941,706)	2,941,706		2,941,706
TOTAL INVESTMENTS IN SECURITIES BEFORE AFFILIATED INVESTMENT — 99.5%
(Cost $62,261,359)			294,477,272
Affiliated Investment — 6.9%
Short Term Investment — 6.9%
BlackRock Liquidity Series, LLC Money Market Series(e) (Cost $20,366,200)	20,366,200		20,366,200
TOTAL INVESTMENTS IN SECURITIES — 106.4%
(Cost $82,627,559(a))			314,843,472
OBLIGATION TO RETURN SECURITIES LENDING COLLATERAL — (6.9)%			(20,366,200	)
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%			1,388,788
NET ASSETS — 100.0%		$	295,866,060

EXCHANGE PORTFOLIO DECEMBER 31, 2007 1

Schedule of Investments (concluded) (Percentages shown are based on Net Assets)

(a) Cost for federal income tax purposes is $78,309,943. The gross unrealized appreciation (depreciation) on a tax basis is as follows:

Gross unrealized appreciation	$	237,658,863
Gross unrealized depreciation		(1,125,334	)
	$	236,533,529

(b) Total or partial security on loan.

(c) Non-income producing security.

(d) Represents current yield as of December 31, 2007.

(e) Security purchased with the cash proceeds from securities loaned.

ADR - American Depository Receipt

2 EXCHANGE PORTFOLIO DECEMBER 31, 2007

Schedule of Investments As of December 31, 2007 (Unaudited) Money Market Portfolio (Percentages shown are based on Net Assets)

	Par (000)		Value
Certificates of Deposit — 27.9%
Domestic — 3.3%
Chase Bank USA N.A.,
5.13%, 4/15/08	$	9,600	$	9,600,000
5.13%, 4/16/08		10,250		10,250,000
4.70%, 5/07/08		18,580		18,580,000
Wachovia Bank N.A.,
5.32%, 2/06/08		16,000		16,000,000
				54,430,000
Yankee — 24.6%
ABN AMRO Bank N.V., Chicago,
4.90%, 1/24/08(b)		50,000		50,000,000
Banco Bilbao Vizcaya Argentaria S.A., New York,
5.23%, 1/09/08(b)		10,000		10,000,000
5.25%, 1/14/08(b)		3,000		3,000,094
5.06%, 4/02/08(b)		6,305		6,305,079
Bank of Montreal, Chicago,
5.10%, 4/01/08(b)		6,140		6,140,000
4.87%, 6/02/08(b)		6,030		6,030,000
Bank of Nova Scotia, New York,
4.82%, 1/31/08(b)		40,000		40,000,000
Bank of Scotland Plc, New York,
5.20%, 1/03/08(b)		10,000		10,000,000
4.95%, 1/28/08(b)		10,000		10,000,000
Banque Nationale de Paris, New York,
5.10%, 2/27/08(b)		27,650		27,650,000
4.80%, 6/05/08(b)		19,125		19,125,000
Canadian Imperial Bank of Commerce, New York,
5.09%, 4/01/08(b)		17,435		17,435,000
4.87%, 6/10/08(b)		13,910		13,910,000
Deutsche Bank AG, New York,
5.38%, 3/11/08(b)		16,760		16,760,000
Fortis Bank, New York,
4.75%, 2/04/08(b)		25,000		25,000,000
5.30%, 2/11/08(b)		18,950		18,950,000
Natixis, New York,
5.14%, 1/03/08(b)		10,000		10,000,000
5.42%, 7/10/08(b)		5,170		5,180,175
Nordea Bank Finland Plc, New York,
4.91%, 6/23/08(b)		5,565		5,565,259
4.82%, 10/17/08(b)		18,675		18,676,435
Royal Bank of Scotland Plc, New York,
4.80%, 1/28/08(b)		15,000		15,000,000
Skandinaviska Enskilda Banken AB, New York,
5.37%, 3/17/08(b)		12,000		12,000,000
Toronto Dominion Bank, New York,
4.86%, 5/30/08(b)		1,850		1,850,000
4.85%, 6/06/08(b)		14,240		14,240,000
UBS AG, Stamford,
4.90%, 6/04/08(b)		4,745		4,745,000
Unicredito Italiano Bank, New York,
5.38%, 3/20/08(b)		27,000		27,000,288
				394,562,330
TOTAL CERTIFICATES OF DEPOSIT
(Cost $448,992,330)				448,992,330
Commercial Paper — 44.3%
Asset Backed Securities — 21.9%
Amstel Funding Corp.,
5.30%, 3/14/08		29,029		28,717,019
Atlantis One Funding Corp.,
5.19%, 1/04/08		5,000		4,997,838
Bavaria TRR Corp.,
5.50%, 1/02/08		21,975		21,971,643
Cancara Asset Securitisation LLC,
6.15%, 1/11/08		10,000		9,982,917
Charta Corp.,
4.88%, 2/12/08		16,000		15,908,907
Concord Minutemen Capital Co. LLC, Series A,
5.28%, 1/07/08		10,000		9,991,200
5.30%, 1/10/08		20,000		19,973,500
5.30%, 1/11/08		15,200		15,177,622
5.90%, 2/04/08		2,558		2,543,746
Falcon Asset Securitization Corp.,
5.02%, 2/20/08		9,819		9,750,540
Kitty Hawk Funding Corp.,
5.37%, 1/23/08		57,231		57,043,187
5.12%, 2/21/08		14,813		14,705,556
Long Lane Master Trust,
5.25%, 2/14/08		27,000		26,826,750
Ranger Funding Co. LLC,
5.02%, 3/07/08		20,099		19,914,022
Windmill Funding Corp.,
5.17%, 1/04/08		20,000		19,991,383
Yorktown Capital LLC,
4.88%, 2/14/08		35,000		34,791,244
5.07%, 3/19/08		39,500		39,066,092
				351,353,166
Banks — 21.9%
Bank of America Corp.,
5.20%, 2/14/08		5,000		4,968,253
Calyon North America, Inc.,
4.75%, 2/27/08		20,000		19,849,583
Citigroup Funding, Inc.,
5.28%, 2/20/08		10,000		9,926,597
4.99%, 3/20/08		8,000		7,912,398
4.73%, 5/02/08		7,830		7,704,490
Dexia Delaware LLC,
4.80%, 1/22/08		20,000		19,944,058
JPMorgan Chase & Co.,
4.97%, 4/01/08		10,000		9,874,306
Royal Bank of Scotland Group Plc,
4.79%, 5/21/08		6,000		5,887,435
San Paolo IMI U.S. Financial Co.,
4.81%, 3/24/08		80,000		79,112,822
Skandinaviska Enskilda Banken AB,
5.32%, 3/13/08		19,000		18,797,840
4.90%, 3/20/08		20,000		19,784,945
Societe Generale N.A., Inc.,
5.08%, 1/22/08		15,000		14,955,550
4.88%, 1/31/08		10,000		9,959,333
5.13%, 2/05/08		40,000		39,800,500
5.16%, 2/08/08		5,000		4,972,740
Svenska Handelsbanken AB,
5.04%, 1/17/08		40,000		39,910,311
UBS Finance Delaware LLC,
5.31%, 3/13/08		25,000		24,734,500
5.23%, 3/18/08		6,000		5,932,882
Unicredito Italiano Bank, Ireland,
5.24%, 3/20/08		8,125		8,031,483
				352,060,026

DECEMBER 31, 2007 1

	Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Commercial Paper (Continued)
Life Insurance — 0.5%
Irish Life & Permanent Plc,
5.40%, 1/15/08	$	3,000	$	2,993,700
4.91%, 1/31/08		5,000		4,979,542
				7,973,242
TOTAL COMMERCIAL PAPER
(Cost $ 711,386,434)				711,386,434
Master Notes — 1.9%
Security Brokers & Dealers — 1.9%
Bank of America Securities LLC,
4.52%, 1/02/08(c)		15,000		15,000,000
4.52%, 1/02/08(c)		15,250		15,250,000
TOTAL MASTER NOTES,
(Cost $ 30,250,000)				30,250,000
Variable Rate Obligations — 25.8%
Asset Backed Securities — 1.3%
Cullinan Finance Corp.,
4.84%, 6/25/08(c)(d)		10,235		10,234,508
Racers Trust Series 2004-6,
4.95%, 1/22/08(c)		11,360		11,360,000
				21,594,508
Banks — 12.9%
Bank of Montreal, Chicago,
5.00%, 11/10/08(c)		15,885		15,885,000
Commonwealth Bank of Australia,
4.96%, 1/31/08(c)		63,000		63,002,019
HBOS Treasury Services Plc,
4.95%, 6/24/08(c)(e)		65,000		65,000,000
Holy Cross Village (Allied Irish Bank Plc LOC),
4.91%, 1/07/08(f)(g)		3,750		3,750,000
Park Street Properties I LLC Series 2004 DN (U.S. Bank N.A. LOC),
4.93%, 1/07/08(f)(g)		445		445,000
Park Village (Bank One N.A. LOC),
4.96%, 1/07/08(f)(g)		6,655		6,655,000
Royal Bank of Scotland Group Plc,
5.01%, 9/26/08(c)		15,000		15,000,000
Shipley Group LP (Fulton Bank LOC),
4.95%, 1/07/08(f)(g)		12,625		12,625,000
Westpac Banking Corp., New York,
5.20%, 10/10/08(c)		24,250		24,250,000
				206,612,019
Life Insurance — 4.7%
MetLife Global Funding I,
4.96%, 4/28/08(c)(e)		15,000		15,000,000
Transamerica Occidental Life Insurance Co.,
5.30%, 1/06/09(c)(d)		60,000		60,000,000
				75,000,000
Municipal Bonds — 4.7%
De Kalb County Development Authority (Emory University Project) RB Series 1995B DN,
4.85%, 1/07/08(g)		3,160		3,160,000
Green Knight Economic Development RB Series 2004 DN (Fulton Bank LOC),
5.21%, 1/07/08(f)(g)		5,375		5,375,000
North Myrtle Beach Corp. RB Series 2005 DN (National Bank of South Carolina LOC),
4.89%, 1/07/08(f)(g)		5,907		5,907,000
Savannah College Georgia RB (Art & Design Project) Series 2004 DN (Bank of America N.A. LOC),
5.10%, 1/07/08(f)(g)		6,700		6,700,000
South Central Texas IDRB (Rohr Industries Project) Series 1990 DN (Bank One N.A. LOC),
5.00%, 1/07/08(f)(g)		14,800		14,800,000
Texas GO Series 2004E DN (Dexia Credit Local SBPA),
4.45%, 1/07/08(f)(g)		9,300		9,300,000
Texas GO Series 2005I-C MB (DEPFA Bank Plc SBPA),
4.45%, 1/07/08(f)(g)		5,270		5,270,000
5.00%, 1/07/08(f)(g)		12,465		12,465,000
Texas GO Series 2007C DN (Dexia Credit LocaL SBPA),
5.00%, 1/07/08(g)		5,000		5,000,000
Utah Telecommunication Open Infrastructure Agency Taxable Adjustable Rate Telecommunications RB Series 2004 DN (Bank of America N.A. LOC),
5.10%, 1/07/08(f)(g)		7,900		7,900,000
				75,877,000
Security Brokers & Dealers — 2.2%
Goldman Sachs Group, Inc.,
4.95%, 8/22/08(c)(d)(e)		34,850		34,850,000
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $ 413,933,527)				413,933,527
TOTAL INVESTMENTS IN SECURITIES — 99.9%
(Cost $1,604,562,291(a))				1,604,562,291
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%				1,238,788
NET ASSETS — 100.0%			$	1,605,801,079

(a) Aggregate cost for federal income tax purposes.

(b) Issuer is a U.S. branch of a foreign domiciled bank.

(c) Rate shown is the rate as of December 31, 2007 and the date shown is the final maturity date.

(d) Illiquid Security. As of December 31, 2007, the Portfolio held 6.5% of its net assets, with a current market value of $105,084,508 in these securities.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 7.2% of its net assets, with a current market value of $114,850,000, in securities restricted as to resale.

(f) Ratings reflect those of guarantor.

(g) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

2 DECEMBER 31, 2007

Schedule of Investments As of December 31, 2007 (Unaudited) U.S. Treasury Money Market Portfolio (Percentages shown are based on Net Assets)

	Par (000)		Value
Repurchase Agreements — 100.0%
Credit Suisse Securities (USA) LLC,
3.77%, 1/22/08	$	50,000	$	50,000,000
(Agreement dated 11/27/07 to be repurchased at $50,293,222, collateralized by $47,955,000 U.S. Treasury Inflation Indexed Securities 4.75% due 2/15/37. The value of the collateral is $51,004,627.)
Deutsche Bank Securities Inc.,
1.50%, 1/02/08		100,000		100,000,000
(Agreement dated 12/31/07 to be repurchased at $100,008,333, collateralized by $182,214,615 U.S. Treasury Strip Principals 0.00% due 8/15/20. The value of the collateral is $102,000,098.)
Deutsche Bank Securities Inc.,
3.55%, 1/04/08		30,000		30,000,000
(Agreement dated 12/05/07 to be repurchased at $30,088,750, collateralized by $54,664,385 U.S. Treasury Strip Principals 0.00% due 8/15/20. The value of the collateral is $30,600,029.)
Greenwich Capital Markets, Inc.,
1.50%, 1/02/08		100,000		100,000,000
(Agreement dated 12/31/07 to be repurchased at $100,008,333, collateralized by $100,675,000 U.S. Treasury Notes 4.88% due 4/30/08. The value of the collateral is $102,000,854.)
HSBC Securities (USA) Inc.,
1.50%, 1/02/08		100,000		100,000,000
(Agreement dated 12/31/07 to be repurchased at $100,008,333, collateralized by $100,490,000 U.S. Treasury Notes 3.38% to 4.00% due from 8/31/09 to 11/15/09. The value of the collateral is $102,002,635.)
JPMorgan Securities Inc.,
1.30%, 1/02/08		50,000		50,000,000
(Agreement dated 12/31/07 to be repurchased at $50,003,611, collateralized by $50,130,000 U.S. Treasury Note 4.75% due 11/15/08. The value of the collateral is $51,002,897.)
Lehman Brothers Inc.,
1.25%, 1/02/08		50,000		50,000,000
(Agreement dated 12/31/07 to be repurchased at $50,003,472, collateralized by $38,230,000 U.S. Treasury Inflation Indexed Securities 3.88% due 1/15/09. The value of the collateral is $51,002,333.)
Morgan Stanley & Co., Inc.,
1.25%, 1/02/08		47,361		47,361,000
(Agreement dated 12/31/07 to be repurchased at $47,364,289, collateralized by $88,760,000 U.S. Treasury Strips 0.00% due 2/15/21. The value of the collateral is $48,308,518.)
UBS Securities LLC,
4.38%, 1/02/08		20,000		20,000,000
(Agreement dated 10/01/07 to be repurchased at $20,226,300, collateralized by $19,095,000 U.S. Treasury Inflation Indexed Securities 2.00% due 4/15/12. The value of the collateral is $20,401,335.)
UBS Securities LLC,
4.32%, 1/22/08		50,000		50,000,000
(Agreement dated 10/23/07 to be repurchased at $50,546,000, collateralized by $38,490,000 U.S. Treasury Inflation Indexed Securities 6.62% to 8.00% due from 11/15/21 to 5/15/27. The value of the collateral is $51,006,295.)
TOTAL REPURCHASE AGREEMENTS — 100.0%
(Cost $597,361,000(a))				597,361,000
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%				133,149
NET ASSETS — 100.0%			$	597,494,149

(a) Aggregate cost for federal income tax purposes.

DECEMBER 31, 2007 3

Schedule of Investments As of December 31, 2007 (Unaudited) Municipal Money Market Portfolio (Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds — 98.0%
Alabama — 1.4%
Alabama HFA Single Family Mortgage RB Series 2006H AMT DN (Bayerische Landesbank Girozentrale Guaranty),
3.66%, 1/07/08(b)	$	855	$	855,000
Alexander Industrial Board IDRB (Precision Millwork Project) Series 2000 AMT DN (Wachovia Bank N.A. LOC),
3.55%, 1/07/08(b)		865		865,000
Geneva County Health Care Authority RB Series 2001 DN (Wachovia Bank N.A. LOC),
3.55%, 1/07/08(b)		2,833		2,833,000
				4,553,000
Alaska — 0.5%
Alaska Industrial Development & Export Authority RB Series 2007B AMT DN (AMBAC Insurance, State Street Bank & Trust Co. SBPA),
3.80%, 1/02/08(b)		1,700		1,700,000
Arizona — 3.7%
Arizona Health Facilities Authority RB (Banner Health Project) Series 2005A DN (MBIA Insurance, Citibank N.A. SBPA),
3.47%, 1/07/08(b)		1,700		1,700,000
Revenue Bond Certificates (Tierra Antigua Project) Series 2006-1 AMT DN (AIG Retirement Services, Inc. Liquidity Facilities),
3.64%, 1/07/08(b)(c)		7,688		7,688,000
Scottsdale IDA RB (Scottsdale Health Care Project) Series 2006C DN (FSA Insurance, Citibank N.A. Liquidity Facility),
3.46%, 1/07/08(b)		3,200		3,200,000
				12,588,000
Arkansas — 0.6%
Little Rock Residential Housing & Public Facilities Board Capital Improvement RB (Park Systems Project) Series 2001 DN (Bank of America N.A. LOC),
3.52%, 1/07/08(b)		2,075		2,075,000
California — 3.0%
California GO PUTTERS Series 2007-1695 DN (JPMorgan Chase Bank Liquidity Facility),
3.62%, 1/07/08(b)(c)		195		195,000
California GO Series 2007 RAN,
4.00%, 6/30/08		7,000		7,021,413
California PCRB Solid Waste Disposal RB (Republic Services, Inc. Project) Series 2003 AMT DN (Republic Services, Inc. Guaranty),
4.15%, 1/07/08(b)		3,000		3,000,000
				10,216,413
Colorado — 1.0%
Revenue Bond Certificates (Sterling Park Apartments Project) Series 2006-6 AMT DN (AIG Retirement Services, Inc. Liquidity Facilities),
3.64%, 1/07/08(b)		1,808		1,808,000
Southglenn Metropolitan District RB Series 2007 DN (Banque Nationale de Paribas LOC),
3.47%, 1/07/08(b)		1,500		1,500,000
				3,308,000
Connecticut — 2.5%
Connecticut Health & Educational Facilities Authority RB (Yale University Project) Series 1997T-1 DN,
3.15%, 1/07/08(b)		1,100		1,100,000
Lehman RB Municipal Trust Receipts Floaters Series 2007-P12 DN (AMBAC Insurance, MBIA Insurance, Lehman Liquidity Co. Liquidity Facility),
3.81%, 1/02/08(b)(c)		7,300		7,300,000
				8,400,000
Delaware — 0.6%
Delaware Economic Development Authority RB (St. Anne’s Episcopal School Project) Series 2001 DN (Wilmington Trust Co. LOC),
3.50%, 1/07/08(b)		1,935		1,935,000
Florida — 7.8%
Cape Coral Water & Sewer RB Series 2007 ROC-RR-II-R-11097PB DN (AMBAC Insurance, PB Capital Corp. Liquidity Facility),
3.51%, 1/07/08(b)(c)		10,300		10,300,000
Greater Orlando Aviation Authority RB (Special Purpose Cessna Aircraft Project) Series 2001 AMT DN (Textron, Inc. Guaranty),
4.54%, 1/07/08(b)		3,000		3,000,000
Highlands County Health Facilities Authority RB (Adventist Health System Project) Series 2007A-2 DN,
3.47%, 1/07/08(b)		2,300		2,300,000
Hillsborough County RB (Florida Health Science Center Project) Series 2006 ROC-RR-II-R-646CE DN (Citibank N.A. Guaranty, Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		3,400		3,400,000
Jacksonville Health Facilities Authority Hospital RB (Baptist Medical Center Project) Series 2001 DN (Wachovia Bank N.A. LOC),
3.70%, 1/02/08(b)		3,850		3,850,000
Lee County IDRB (Raymond Building Supply Corp. Project) Series 1997 AMT DN (SunTrust Bank LOC),
3.55%, 1/07/08(b)		1,165		1,165,000
Wauchula IDRB (Hardee County Center Project) Series 1993 DN (JPMorgan Chase Bank LOC),
3.43%, 1/07/08(b)		2,275		2,275,000
				26,290,000
Georgia — 0.3%
Metropolitan Atlanta Rapid Transit Authority Sales Tax RB PUTTERS Series 2002-312 DN (MBIA Insurance, JPMorgan Chase & Co. Liquidity Facility),
3.50%, 1/07/08(b)(c)		995		995,000
Idaho — 0.3%
Idaho GO Series 2007 TAN,
4.50%, 6/30/08		1,100		1,104,037
Illinois — 4.5%
Harvard Multi-Family Housing RB (Northfield Court Project) Series 1999 AMT DN (Fifth Third Bank N.A. LOC),
3.56%, 1/07/08(b)		7,350		7,350,000
Illinois Development Finance Authority PCRB (Illinois Power Co. Project) Series 1983A DN,
3.73%, 1/02/08(b)		700		700,000
Illinois Educational Facilities Authority RB Series 2007 1B-3 TECP (Dexia Bank LOC),
3.66%, 5/06/08		3,000		3,000,000

4 DECEMBER 31, 2007

	Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Illinois (Continued)
Illinois Housing Development Authority RB Series 2007H-2 AMT MB,
3.48%, 10/01/08(b)	$	1,000	$	1,000,000
Metropolitan Pier & Exposition Authority Dedicated State Tax Receipts RB Municipal Securities Trust Certificates Series 2005A-224 DN (MBIA Insurance, Bear Stearns Capital Markets Liquidity Facility),
3.54%, 1/07/08(b)(c)		625		625,000
Quad Cities Regional Economic Development Authority RB (Whitey’s Ice Cream Manufacturing Project) Series 1995 AMT DN (Bank One N.A. LOC),
3.85%, 1/07/08(b)		410		410,000
Rockford RB (Fairhaven Christian Center Project) Series 2000 DN (JPMorgan Chase Bank LOC),
3.70%, 1/07/08(b)		1,310		1,310,000
Roselle Village IDRB (Abrasive-Form, Inc. Project) Series 1995 AMT DN (ABN-AMRO Bank N.V. LOC),
3.55%, 1/07/08(b)(d)		700		700,000
				15,095,000
Indiana — 3.7%
Dekko Foundation Educational Facilities RB Series 2001 DN (Bank One N.A. LOC),
3.65%, 1/07/08(b)		2,100		2,100,000
Elkhart County Industrial Hospital Authority RB (Oaklawn Center Project) Series 2006 DN (Citizens Financial Group, Inc. LOC),
3.47%, 1/07/08(b)		3,305		3,305,000
Hendricks County Industrial Redevelopment Commission Tax Increment RB (Heartland Crossing Project) Series 2000A DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		2,600		2,600,000
Indiana Bond Bank RB (Mid-Year Funding Program) Series 2007A RAN (Bank of New York LOC),
4.50%, 5/20/08		1,000		1,002,775
Indiana Transportation Finance Authority Highway RB UBS Municipal Certificates Floaters Series 2007A-34 DN (Landesbank Hessen-Thueringen Girozentrale Liquidity Facility),
3.50%, 1/07/08(b)(c)		2,800		2,800,000
South Bend Economic Development Authority RB (SGW Realty LLC Project) Series 1998 DN (Fifth Third Bank N.A. LOC),
3.57%, 1/07/08(b)		650		650,000
				12,457,775
Iowa — 0.6%
Iowa GO Series 2007 TRAN,
4.00%, 6/30/08		1,000		1,003,646
Urbandale IDRB (Meredith Drive Assoc. Project) Series 1985 DN (Wells Fargo Bank N.A. LOC),
3.49%, 1/07/08(b)		1,000		1,000,000
				2,003,646
Kentucky — 0.5%
Louisville & Jefferson Counties Metropolitan Government Health System RB (Norton Healthcare, Inc. Project) Series 2006 ROC-RR-II-R-651CE DN (Citibank N.A. Guaranty, Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		250		250,000
Newport Industrial Building RB (Newport Holdings Project) Series 2001A AMT DN (Huntington National Bank LOC),
3.74%, 1/07/08(b)		1,525		1,525,000
				1,775,000
Louisiana — 3.3%
Jefferson Sales Tax District RB Series 2007 DN (AMBAC Insurance, JPMorgan Chase Bank SBPA),
3.52%, 1/07/08(b)		1,340		1,340,000
Louisiana Public Facilities Authority Refunding RB Municipal Trust Receipts Floaters (Tulane University of Louisiana Project) Series 2007I-34 DN (MBIA Insurance, Royal Bank of Canada Liquidity Facility),
3.54%, 1/07/08(b)(c)		7,000		7,000,000
Plaquemines Parish Environmental RB (BP Exploration & Oil, Inc. Project) Series 1995 AMT DN,
3.85%, 1/02/08(b)		2,800		2,800,000
				11,140,000
Maine — 0.3%
Maine School Administrative District No. 051 GO Series 2007 BAN,
3.75%, 12/30/08		1,000		1,006,259
Maryland — 4.4%
Baltimore County RB (Odyssey School Facility Project) Series 2001 DN (M&T Bank Corp. LOC),
3.50%, 1/07/08(b)		2,175		2,175,000
Baltimore County RB (St. Paul’s School for Girls Facility Project) Series 2000 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(b)		1,415		1,415,000
Maryland Economic Development Corp. RB (Assoc. of Catholic Charities Project) Series 1999B DN (M&T Bank Corp. LOC),
3.45%, 1/07/08(b)		1,275		1,275,000
Maryland Economic Development Corp. RB (Assoc. of Catholic Charities Project) Series 2001 DN (M&T Bank Corp. LOC),
3.50%, 1/07/08(b)		2,035		2,035,000
Maryland Economic Development Corp. RB (Assoc. of Catholic Charities Project) Series 2002 DN (M&T Bank Corp. LOC),
3.45%, 1/07/08(b)		1,800		1,800,000
Maryland Health & Higher Education Facilities Authority RB (Adventist Healthcare Project) Series 2003B DN (M&T Bank Corp. LOC),
3.45%, 1/07/08(b)		5,940		5,940,000
				14,640,000
Massachusetts — 2.4%
Massachusetts GO MERLOTS Trust Receipts Series 2002A-9 DN (FSA Insurance, Wachovia Bank N.A. SBPA),
3.50%, 1/07/08(b)(c)		1,480		1,480,000

DECEMBER 31, 2007 5

	Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Massachusetts (Continued)
Massachusetts Health & Educational Facilities Authority RB Municipal Trust Receipts Floaters Series 2007-P107 DN (MBIA Insurance, Lehman Liquidity Co. Liquidity Facility),
3.79%, 1/02/08(b)(c)	$	6,500	$	6,500,000
				7,980,000
Michigan — 4.8%
Detroit Economic Development Corp. RB (E.H. Assoc. Ltd. Project) Series 2002 DN (First Federal Bank of Northern Michigan LOC),
3.48%, 1/07/08(b)		2,765		2,765,000
Michigan Hospital Finance Authority RB (Ascension Health Credit Group Project) Series 1999B-2 DN,
3.45%, 1/07/08(b)		1,300		1,300,000
Michigan Municipal Bond Authority GO Series 2007B-2 RAN (Scotiabank LOC),
4.50%, 8/20/08		2,400		2,412,018
Michigan Strategic Fund Ltd. Obligation RB (Apollo Plating, Inc. Project) Series 2007 AMT DN (Fifth Third Bank N.A. LOC),
3.53%, 1/07/08(b)		1,780		1,780,000
Michigan Strategic Fund Ltd. Obligation RB (Horizons of Michigan Project) Series 2001 DN (Huntington National Bank LOC),
3.67%, 1/07/08(b)		1,255		1,255,000
Michigan Strategic Fund Ltd. Obligation RB (Surefil Properties LLC Project) Series 2006 AMT DN (Huntington National Bank LOC),
3.75%, 1/07/08(b)		4,300		4,300,000
Michigan University RB Series 2005B DN,
3.40%, 1/07/08(b)		400		400,000
Wayne State University RB Munitops Trust Certificates Series 2006-61 DN (AMBAC Insurance, ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		2,000		2,000,000
				16,212,018
Minnesota — 0.9%
Minnesota School District Tax & Aid Anticipation Borrowing Program COP Series 2007 AAC,
4.50%, 8/28/08		3,000		3,016,308
Missouri — 1.4%
Taney County IDRB (Keeter Heights Project) Series 2006 AMT DN (U.S. Bank N.A. LOC),
3.57%, 1/07/08(b)		4,500		4,500,000
Multi-State — 2.1%
Branch Banking & Trust RB Municipal Trust Receipts Floaters Series 2007-1001 DN (Branch Banking & Trust Co. LOC, Branch Banking & Trust Co. Liquidity Facility),
3.51%, 1/07/08(b)(c)		7,160		7,160,000
New Jersey — 3.0%
New Jersey GO Series 2007 TRAN,
4.50%, 6/24/08		10,000		10,041,447
New Mexico — 2.1%
New Mexico GO Series 2007 TRAN,
3.75%, 6/30/08		7,000		7,024,206
New York — 3.2%
Babylon Industrial Development Agency Resource Recovery RB (Ogden Martin Systems of Babylon, Inc. Project) Series 1998 DN (FSA Insurance, JPMorgan Chase & Co. SBPA),
3.38%, 1/07/08(b)		800		800,000
New York City GO Series 2005E-3 DN (Bank of America N.A. LOC),
3.39%, 1/07/08(b)		9,000		9,000,000
Rockland County IDRB (Northern River Assisted Living Project) Series 1999 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(b)		1,065		1,065,000
				10,865,000
North Carolina — 6.3%
Charlotte Water & Sewer System RB Munitops Trust Certificates Series 2007-10 DN (ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		4,000		4,000,000
Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2006-1388 DN (Morgan Stanley Group Liquidity Facility),
3.50%, 1/07/08(b)		300		300,000
Guilford County Industrial Facilities PCRB (Recreational Facilities-YMCA Project) Series 2002 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		1,625		1,625,000
North Carolina Capital Facilities Finance Agency Educational Facilities RB (High Point University Project) Series 2006 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		3,160		3,160,000
North Carolina Capital Facilities Finance Agency RB Municipal Trust Receipts Floaters Series 2007-1895 DN (Morgan Stanley Group Liquidity Facility),
3.50%, 1/07/08(b)(c)		4,714		4,714,000
North Carolina Educational Facilities Finance Agency RB (Duke University Project) Series 1991B DN,
3.40%, 1/07/08(b)		200		200,000
North Carolina GO Series 2003A-23 DN (Wachovia Bank N.A. SBPA),
3.50%, 1/07/08(b)(c)		300		300,000
North Carolina Medical Care Commission Health Care Facilities RB Series 2007 ROC-RR-II-R-10313 DN (Citigroup Financial Products Liquidity Facility),
3.53%, 1/07/08(b)(c)		4,300		4,300,000
North Carolina Medical Care Commission Retirement Facilities RB (United Methodist Retirement Homes Project) Series 2005B DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		1,300		1,300,000
University of North Carolina RB Munitops Trust Certificates Series 2005-52 DN (ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		1,400		1,400,000
				21,299,000
Ohio — 2.9%
American Municipal Power, Inc. GO (Cleveland Public Power Project) Series 2007 BAN,
3.78%, 8/14/08		265		265,000
Avon GO Series 2007 BAN,
4.10%, 3/03/08		670		670,444
Belmont County GO Series 2007 BAN,
4.00%, 3/13/08		500		500,237
Butler Hospital Facilities RB (Ucpha, Inc. Project) Series 2004 DN (Huntington Capital LOC),
3.60%, 1/07/08(b)		1,700		1,700,000

6 DECEMBER 31, 2007

	Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Ohio (Continued)
Dover GO (Municipal Electric Systems Improvements Project) Series 2007 BAN,
4.25%, 6/05/08	$	100	$	100,218
Franklin County Health Care Facilities RB (Worthington Christian Project) Series 2007 DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		1,630		1,630,000
Madeira School District GO Municipal Trust Receipts Floaters Series 2007-K8 DN (FSA Insurance, Lehman Liquidity Co. Liquidity Facility,
3.59%, 1/07/08(b)		1,810		1,810,000
Mason GO (Downtown Improvements Project) Series 2007 BAN,
4.50%, 6/04/08		315		316,029
Newark GO Series 2007 BAN,
3.85%, 1/11/08		1,125		1,125,074
Sharonville GO Series 2007 BAN,
4.25%, 2/20/08		460		460,303
Summit County Civic Facility RB (Akron Area Electric Junction Project) Series 2001 DN (KeyBank N.A. LOC),
3.48%, 1/07/08(b)		1,225		1,225,000
				9,802,305
Oklahoma — 0.3%
Oklahoma Development Finance Authority GO (ConocoPhillips Co. Project) Series 2003 AMT DN,
3.73%, 1/07/08(b)		1,000		1,000,000
Pennsylvania — 5.3%
Butler County IDRB (Concordia Lutheran Project) Series 2000C DN (Bank of America N.A. LOC),
3.42%, 1/07/08(b)		2,000		2,000,000
Delaware County IDRB (Scott Paper Co. Project) Series 1984A DN,
3.90%, 1/07/08(b)		2,500		2,500,000
Harrisburg Authority School District RB (Harrisburg School District Project) Series 2003 DN (AMBAC Insurance, WestLB AG SBPA),
3.42%, 1/07/08(b)		1,895		1,895,000
Lancaster GO Munitops Trust Certificates Series 2007-47 DN (AMBAC Insurance, ABN-AMRO Bank N.V. LOC),
3.49%, 1/07/08(b)(c)		2,500		2,500,000
Lehigh County General Purpose Authority RB Series 2007 ROC-RR-II-R-862CE DN (Citibank N.A. Liquidity Facility, Citibank N.A. Guaranty),
3.50%, 1/07/08(b)(c)		2,295		2,295,000
Pennsylvania Economic Development Financing Authority RB UBS Municipal Certificates Floaters Series 2007-07-15 DN (Landebank Hessen-Thruingen Girozentrale Liquidity Facility),
3.50%, 1/07/08(b)(c)		2,975		2,975,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2006-92B AMT DN (Landesbank Hessen-Thueringen Girozentrale SBPA),
3.45%, 1/07/08(b)		400		400,000
Philadelphia Authority IDRB (Gift of Life Donor Program Project) Series 2003 DN (Commerce Bank N.A. LOC),
3.45%, 1/07/08(b)		1,000		1,000,000
Philadelphia Gas Works RB Series 2006-6 DN (FSA Insurance, JPMorgan Chase Bank SBPA, Wachovia Bank N.A. SBPA, Bank of Nova Scotia SBPA),
3.42%, 1/07/08(b)		2,050		2,050,000
				17,615,000
Puerto Rico — 0.3%
Commonwealth of Puerto Rico RB Municipal Securities Trust Certificates Series 2000A DN (FSA Insurance, Bear Stearns Capital Markets Liquidity Facility),
3.50%, 1/07/08(b)(c)		900		900,000
South Carolina — 0.5%
Greenwood County Exempt Facility IDRB (Fuji Photo Film Project) Series 2004 AMT DN (Fuji Film Corp. Guaranty),
3.60%, 1/07/08(b)		1,500		1,500,000
Tennessee — 3.5%
Metropolitan Nashville Airport Authority RB Series 2001A MB (FGIC Insurance),
6.60%, 7/01/08		2,250		2,280,414
Municipal Energy Acquistion Corp. of Tennessee Gas RB PUTTERS Series 2006-1578 DN (Morgan Guaranty Trust LOC),
3.52%, 1/07/08(b)(c)		5,550		5,550,000
Tennergy Corp. Gas RB BNP Paribas STARS Certificates Trust Series 2006-001 DN (BNP Paribas Liquidity Facility),
3.52%, 1/07/08(b)		2,000		2,000,000
Tennergy Corp. Gas RB PUTTERS Series 2006-1258Q DN (JPMorgan Chase & Co. Liquidity Facility),
3.52%, 1/07/08(b)(c)		2,000		2,000,000
				11,830,414
Texas — 14.0%
Dallas ISD Building GO Munitops Trust Certificates Series 2006-8 DN (PSF Guaranty, ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		3,000		3,000,000
Harris County RB (Toll Road Unlimited Tax & Subordinate Lien Revenue Refunding Bonds Project) Series 2003 MB,
5.00%, 8/01/08		400		404,869
Houston Higher Education Finance Corp. RB Municipal Trust Receipts Floaters Series 2007-1914 DN (Morgan Stanley Group LOC),
3.50%, 1/07/08(b)(c)		1,684		1,684,000
Houston ISD GO (Schoolhouse Project) Series 2004 MB (PSF Guaranty, Bank of America N.A. SBPA),
3.75%, 6/16/08		2,000		2,000,000
Houston Water & Sewer System RB Municipal Trust Receipts Floaters Series 2007-2043 DN (MBIA Insurance, Branch Banking & Trust Co. Liquidity Facility),
3.50%, 1/07/08(b)(c)		1,380		1,380,000
Hutto ISD GO Series 2007-1001 DN (PSF Guaranty, Bank of New York SBPA),
3.50%, 1/07/08(b)(c)		1,000		1,000,000
Lower Colorado River Authority RB MERLOTS Trust Receipts Series 2000 DN (FSA Insurance, Wachovia Bank N.A. SBPA),
3.50%, 1/07/08(b)(c)		3,385		3,385,000
Lower Neches Valley Authority PCRB (Chevron USA, Inc. Project) Series 1987 DN (Chevron Corp. Guaranty),
3.79%, 2/15/08(b)		1,135		1,135,000
North Texas Tollway Authority GO Series 2007 BAN,
4.12%, 11/19/08		10,000		10,002,439
Red River Education Finance RB (Texas Christian University Project) Series 2000 DN,
3.40%, 1/07/08(b)		2,100		2,100,000

DECEMBER 31, 2007 7

	Municipal Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Texas (Continued)
Texas GO Series 2007 TRAN,
4.50%, 8/28/08	$	15,000	$	15,077,527
Texas Municipal Gas Acquisition & Supply Corp. II RB Series 2007 ROC-RR-II-R-10014 DN (Dexia Credit Local Liquidity Facility),
3.57%, 1/07/08(b)(c)		2,100		2,100,000
Texas Municipal Gas Acquisition & Supply Corp. II RB Series 2007 ROC-RR-II-R-10015 DN (Landesbank Hessen-Thueringen Girozentrale Liquidity Facility),
3.57%, 1/07/08(b)(c)		1,100		1,100,000
Texas Public Finance Authority RB Series 2003A MB (FSA Insurance),
5.00%, 6/15/08		2,500		2,513,334
				46,882,169
Virginia — 1.3%
Chesapeake Bay Bridge & Tunnel Commonwealth District RB MERLOTS Trust Receipts Series 2003 DN (MBIA Insurance, Wachovia Bank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		695		695,000
Norfolk Redevelopment & Housing Authority Multi-Family Housing RB (Residential Rental Project) Series 2003 AMT DN (SunTrust Bank LOC),
3.59%, 1/07/08(b)		1,968		1,968,000
Virginia College Building Authority Educational Facilities RB Series 2003-379 DN (JPMorgan Chase & Co. LOC),
3.51%, 1/07/08(b)		1,870		1,870,000
				4,533,000
Washington — 1.5%
Washington Economic Development Finance Authority RB Series 2006-1531 DN (Morgan Stanley Group LOC),
3.50%, 1/07/08(b)(c)		1,334		1,334,500
Washington GO PUTTERS Series 2006-1492 DN (AMBAC Insurance, JPMorgan Chase Bank Liquidity Facility),
3.51%, 1/07/08(b)(c)		1,355		1,355,000
Washington Housing Finance Commission Non-Profit RB (Eastside Catholic School Project) Series 2007A DN (KeyBank N.A. LOC),
3.46%, 1/07/08(b)		1,000		1,000,000
Washington Housing Finance Commission Non-Profit RB (Eastside Catholic School Project) Series 2007B DN (KeyBank N.A. LOC),
3.48%, 1/07/08(b)		1,200		1,200,000
Yakima County Public Corp. RB (Michelsen Packaging Co. Project) Series 2000 AMT DN (Bank of America N.A. LOC),
3.58%, 1/07/08(b)		315		315,000
				5,204,500
West Virginia — 1.0%
Kanawha County RB (Bible Center Church Project) Series 2006 DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		3,200		3,200,000
Wisconsin — 1.6%
Amery IDRB (Plastech Corp. Project) Series 1997 AMT DN (U.S. Bank N.A. LOC),
3.74%, 1/07/08(b)		2,000		2,000,000
Mequon IDRB (Johnson Level GRW Investment Project) Series 1995 AMT DN (Bank One N.A. LOC),
3.70%, 1/07/08(b)		355		355,000
Sheboygan Falls IDRB (HTT, Inc. Project) Series 2007A AMT DN (U.S. Bank N.A. LOC),
3.56%, 1/07/08(b)		1,890		1,890,000
Wisconsin GO Series 2007 MB,
4.50%, 6/16/08		1,100		1,103,679
				5,348,679
Wyoming — 0.6%
Campbell County IDRB (Two Elk Partners Project) Series 2007 MB (Citibank N.A. LOC),
3.65%, 11/28/08		2,000		2,000,000
TOTAL MARKET VALUE OF SECURITIES BEFORE AFFILIATED INVESTMENT — 98.0%
(Cost $ 329,196,176)				329,196,176
Affiliated Investment — 0.3%
Multi-State — 0.3%
Municipal Securities Pool Trust Receipts RB Series 2004-18 DN (Multiple Insurers, Societe Generale Group SBPA),
3.55%, 1/07/08(b)(c)
(Cost $ 975,000)		975		975,000
TOTAL INVESTMENTS IN SECURITIES — 98.3%
(Cost $330,171,176(a))				330,171,176
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.7%				5,752,447
NET ASSETS — 100.0%			$	335,923,623

(a) Aggregate cost for federal income tax purposes.

(b) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 31.7% of its net assets, with a current market value of $106,635,500, in securities restricted as to resale.

(d) Security restricted as to public resale. These securities are ineligible for resale into the public market until such time that either (i) a resale Registration Statement has been filed with the SEC and declared effective or (ii) resale is permitted under Rule 144A without the need for an effective registration statement. As of December 31, 2007, the Portfolio held 0.2% of its net assets, with a current market value of $700,000 and an original cost of $700,000 in these securities.

8 DECEMBER 31, 2007

	New Jersey Municipal Money Market Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds — 94.8%
New Jersey — 94.8%
Alexandria Township GO Series 2007 BAN,
4.00%, 12/17/08	$	200	$	201,617
Berkley Heights Township GO Series 2007 BAN,
4.12%, 2/20/08		200		200,094
Chester Township Board of Education GO Series 2007 GAN,
4.12%, 8/15/08		515		516,092
Clark Township GO Series 2007 BAN,
4.00%, 3/28/08		450		450,319
Demarest School District GO Series 2007 TAN,
4.00%, 7/11/08		295		295,298
East Brunswick Township GO Series 2008 BAN,
4.00%, 1/10/08		3,305		3,305,562
3.50%, 1/09/09		1,805		1,813,899
East Windsor Township GO Series 2007 BAN,
3.75%, 11/28/08		1,300		1,304,553
Edgewater GO Series 2007 BAN,
4.00%, 6/13/08		395		395,425
Egg Harbor GO Series 2007 BAN,
4.00%, 2/15/08		678		677,901
Elmwood Park GO Series 2007 TAN,
3.75%, 11/14/08		950		953,594
Essex County Utilities Authority GO Series 2007 MB,
3.75%, 11/14/08		750		752,516
Evesham Township GO Series 2007 BAN,
4.12%, 8/08/08		605		606,244
Hillsborough Township GO Series 2007 BAN,
3.75%, 12/12/08		140		140,834
Howell Township GO Series 2007B BAN,
4.00%, 9/16/08		705		706,296
Howell Township GO Series 2007 TAN,
4.00%, 3/06/08		740		740,396
Hudson County Improvement Authority RB (Essential Purpose Pooled Government Project) Series 1986 DN (Bank of New York LOC),
3.33%, 1/07/08(b)		10,020		10,020,000
Keyport GO Series 2007 BAN,
4.12%, 8/08/08		980		981,955
Kinnelon GO Series 2007 BAN,
4.25%, 2/29/08		290		289,938
Lakewood Township GO Series 2007 BAN,
4.25%, 7/11/08		250		250,568
Long Beach Township GO Series 2007A BAN,
3.50%, 12/18/08		160		160,611
Lower Township GO Series 2007 BAN,
4.00%, 5/30/08		430		430,475
Maple Shade Township GO Series 2007 BAN,
4.00%, 8/01/08		560		560,721
Mercer County GO Series 2007B BAN,
3.50%, 6/13/08		750		751,817
Mercer County Improvement Authority RB (Atlantic Foundation Project) Series 1998 DN (MBIA Insurance, Bank of America N.A. LOC),
3.97%, 1/07/08(b)		12,460		12,460,000
Middlesex County GO Series 2007 BAN,
3.75%, 3/27/08		2,500		2,502,328
4.00%, 5/23/08		475		475,536
Montville Township GO Series 2007 BAN,
4.00%, 5/23/08		487		487,725
Morristown GO Series 2007 TAN,
4.00%, 2/13/08		350		350,119
New Jersey Economic Development Authority Multi-Mode IDRB (V&S Amboy Galvanizing LLC Project) Series 1999 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		1,545		1,545,000
New Jersey Economic Development Authority RB (Airis Newark LLC Project) Series 1998 AMT DN (AMBAC Insurance, Kredietbank N.V. LOC),
3.43%, 1/07/08(b)		2,400		2,400,000
New Jersey Economic Development Authority RB (Applewood Estates Project) Series 2005 DN (Commerce Bank N.A. LOC),
3.33%, 1/07/08(b)		3,650		3,650,000
New Jersey Economic Development Authority RB (Cedar Crest Village, Inc. Project) Series 2006B DN (Sovereign Bank LOC, Bank of New York LOC),
3.37%, 1/07/08(b)		8,200		8,200,000
New Jersey Economic Development Authority RB (Frisch School Project) Series 2006 DN (Princeton University Guaranty, Kredietbank N.V. LOC, Sovereign Bank LOC),
3.35%, 1/07/08(b)		1,550		1,550,000
New Jersey Economic Development Authority RB (Hamilton Industrial Development Project) Series 1998 DN (Wachovia Bank N.A. LOC),
3.53%, 1/07/08(b)		1,340		1,340,000
New Jersey Economic Development Authority RB (J. James Realty Co. Project) Series 1998 AMT DN (Wachovia Bank N.A. LOC),
3.53%, 1/07/08(b)		410		410,000
New Jersey Economic Development Authority RB (Jacea LLC Project) Series 2004 DN (Wachovia Bank N.A. LOC),
3.53%, 1/07/08(b)		3,190		3,190,000
New Jersey Economic Development Authority RB (Lawrenceville School Project) Series 1996B DN (JPMorgan Chase Bank SBPA),
3.35%, 1/02/08(b)		1,900		1,900,000
New Jersey Economic Development Authority RB (Macon Trust Project) Series 2005H DN (FGIC Insurance, Bank of America N.A. LOC),
3.47%, 1/07/08(b)(c)		625		625,000
New Jersey Economic Development Authority RB (Morris Museum Project) Series 2006 DN (JPMorgan Chase Bank LOC),
3.37%, 1/07/08(b)		3,300		3,300,000
New Jersey Economic Development Authority RB (Nandan Co. Project) Series 2000 AMT DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(b)		2,650		2,650,000
New Jersey Economic Development Authority RB (Nandan Co. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(b)		1,025		1,025,000
New Jersey Economic Development Authority RB (Paddock Realty LLC Project) Series 2006 AMT DN (Wells Fargo Bank N.A. LOC),
3.62%, 1/07/08(b)		1,300		1,300,000
New Jersey Economic Development Authority RB (Pennington Montessori School Project) Series 1998 DN (Wachovia Bank N.A. LOC),
3.53%, 1/07/08(b)		1,045		1,045,000
New Jersey Economic Development Authority RB (Presbyterian Homes Project) Series 2006 DN (Commerce Bank LOC),
3.42%, 1/07/08(b)		1,000		1,000,000
New Jersey Economic Development Authority RB (School Facilities Construction Project) UBS Municipal Certificates Floaters Series 2007-07-36 DN (Banque Nationale de Paribas SBPA),
3.50%, 1/07/08(b)		1,700		1,700,000

DECEMBER 31, 2007 9

	New Jersey Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
New Jersey (Continued)
New Jersey Economic Development Authority RB (Stuart Country Day School Project) Series 2002 DN (Allied Irish Bank Plc LOC),
3.36%, 1/07/08(b)	$	1,640	$	1,640,000
New Jersey Economic Development Authority RB MERLOTS Trust Receipts Series 2007D-41 DN (FSA Insurance, Wachovia Bank N.A. SBPA),
3.50%, 1/07/08(b)(c)		6,000		6,000,000
New Jersey Economic Development Authority RB Series 2004 ROC-RR-II-R-309 DN (Assured Guaranty Ltd. Insurance, Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		5,565		5,565,000
New Jersey Economic Development Authority RB Series 2006 DN (Morgan Stanley Group Liquidity Facility),
3.48%, 1/07/08(b)		2,200		2,200,000
New Jersey Economic Development Authority Thermal Energy Facilities RB (Marina Energy LLC Project) Series 2001A AMT DN (Wachovia Bank N.A. LOC),
3.43%, 1/07/08(b)		1,100		1,100,000
New Jersey Economic Development Authority Thermal Energy Facilities RB (Thermal Energy LP Project) Series 1995 AMT DN (Bank One N.A. LOC),
3.50%, 1/07/08(b)		500		500,000
New Jersey Educational Facilities Authority RB (Princeton University Project) Series 2001B DN,
3.50%, 1/02/08(b)		200		200,000
New Jersey Environmental Infrastructure Trust RB Series 2004-585 AMT DN (JPMorgan Chase Bank Liquidity Facility),
3.47%, 1/07/08(b)		3,980		3,980,000
New Jersey GO Municipal Trust Receipts Floaters Series 2007-2209 DN (Morgan Stanley Municipal Funding Liquidity Facility),
3.48%, 1/07/08(b)(c)		1,000		1,000,000
New Jersey GO Series 2007 TRAN,
4.50%, 6/24/08		6,000		6,024,868
New Jersey Health Care Facilities Financing Authority RB (Meridian Health System Project) Series 2003B DN (Fleet National Bank LOC),
3.29%, 1/07/08(b)		6,200		6,200,000
New Jersey Health Care Facilities Financing Authority RB (South Jersey Hospital Systems Project) Series 2004A-4 DN (Wachovia Bank N.A. LOC),
3.39%, 1/07/08(b)		200		200,000
New Jersey Health Care Facilities Financing Authority RB (St. Joseph’s Project) Series 2003A-6 DN (Valley National Bank LOC),
3.46%, 1/07/08(b)		1,005		1,005,000
New Jersey Health Care Facilities Financing Authority RB (Virtua Health Project) Series 2004 DN (Wachovia Bank N.A. LOC),
3.38%, 1/07/08(b)		4,030		4,030,000
New Jersey Health Care Facilities Financing Authority RB Municipal Trust Receipts Floaters (The Society of the Valley Hospital Issue Project) Series 2002-702 DN (MBIA Insurance, Morgan Stanley Group Liquidity Facility),
3.48%, 1/07/08(b)(c)		900		900,000
New Jersey Health Care Facilities Financing Authority RB P-Float Trust Receipts (Bayonnne Hospital Project) Series 2005L-26UD DN (FSA Insurance, Lehman Liquidity Co. Liquidity Facility),
3.14%, 1/07/08(b)(c)		3,800		3,800,000
New Jersey Health Care Facilities Financing Authority RB Series 2004-943 DN (FGIC Insurance, Morgan Stanley Group Liquidity Facility),
3.53%, 1/07/08(b)(c)		4,080		4,079,500
New Jersey Housing & Mortgage Finance Agency Multi-Family RB Series 2005-1012 DN (FGIC Insurance, Morgan Stanley Group Liquidity Facility),
3.72%, 1/07/08(b)(c)		1,380		1,380,000
New Jersey Housing & Mortgage Finance Agency RB (Single Family Housing Project) Series 2007 DN (Banque Nationale de Paris SBPA),
3.43%, 1/07/08(b)		6,000		6,000,000
New Jersey Housing & Mortgage Finance Agency RB MERLOTS Trust Receipts Series 2000A-2 DN (MBIA Insurance, Wachovia Bank N.A. SBPA),
3.55%, 1/07/08(b)(c)		340		340,000
New Jersey Sports & Exposition Authority State Contract RB Series 1992C DN (MBIA Insurance, Credit Suisse SBPA),
3.33%, 1/07/08(b)		1,085		1,085,000
New Jersey Transportation Trust Fund Authority Capital Appreciation RB Series 2006 ROC-RR-II-R-684Z DN (AMBAC Insurance, Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		590		590,000
New Jersey Transportation Trust Fund Authority Capital Appreciation RB Series 2007DB-447 DN (FSA Insurance, AMBAC Insurance, Deutsche Bank Liquidity Facility),
3.49%, 1/07/08(b)(c)		3,750		3,750,000
New Jersey Transportation Trust Fund Authority RB MERLOTS Trust Receipts Series 2007D-70 DN (MBIA Insurance, Wachovia Bank N.A. SBPA),
3.50%, 1/07/08(b)(c)		1,600		1,600,000
New Jersey Transportation Trust Fund Authority RB Municipal Trust Receipts Floaters Series 2007-2086 DN (AMBAC Insurance, Morgan Stanley Municipal Funding Liquidity Facility),
3.48%, 1/07/08(b)(c)		8,700		8,700,000
New Jersey Transportation Trust Fund Authority RB PUTTERS Series 2001-241 DN (FSA Insurance, JPMorgan Chase & Co. Liquidity Facility),
3.46%, 1/07/08(b)(c)		4,945		4,945,000
New Jersey Turnpike Authority RB Series 2006 DN (FSA Insurance, Dexia Credit Local SBPA),
3.35%, 1/07/08(b)		5,500		5,500,000
Newark Housing Authority Port Newark Marine Terminal Additional Rent-Backed RB Municipal Trust Receipts Floaters (Newark Redevelopment Project) Series 2007-2044 DN (MBIA Insurance),
3.48%, 1/07/08(b)(c)		555		555,000
North Bergen Township Municipal Sewer Utilities Authority RB Series 2007 MB,
4.25%, 1/15/08		1,000		1,000,212
North Wildwood GO Series 2007 BAN,
3.75%, 12/12/08		1,100		1,106,148
Ocean City GO Series 2007 BAN,
4.00%, 3/14/08		400		400,254
Pennsauken Township GO Series 2007A BAN,
4.00%, 9/10/08		1,220		1,222,435
Pilesgrove Township GO Series 2007 BAN,
4.00%, 8/28/08		1,100		1,101,042

10 DECEMBER 31, 2007

	New Jersey Municipal Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
New Jersey (Continued)
Port Authority of New York & New Jersey RB Eagle Trust Receipts Series 2006A-107 AMT DN (Landesbank Hessen-Thuringen Girozentrale Liquidity Facility),
3.57%, 1/07/08(b)(c)	$	2,000	$	2,000,000
Port Authority of New York & New Jersey RB Floaters Series 2007-111TP AMT DN (CIFG GO of Authority Insurance, Wells Fargo Bank N.A. Liquidity Facility),
3.57%, 1/07/08(b)(c)		1,000		1,000,000
Port Authority of New York & New Jersey RB PUTTERS Series 2005-1089 DN (CIFG Insurance, JPMorgan Chase & Co. Liquidity Facility),
3.54%, 1/07/08(b)(c)		1,745		1,745,000
Port Authority of New York & New Jersey RB Series 2006-1546 DN (JPMorgan Chase Bank Liquidity Facility),
3.46%, 1/07/08(b)		1,300		1,300,000
Port Authority of New York & New Jersey Special Obligation RB (Versatile Structure Obligation Project) Series 1996-4 AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.65%, 1/02/08(b)		600		600,000
Port Authority of New York & New Jersey TECP,
2.88%, 2/04/08		2,000		2,000,000
3.45%, 2/05/08		2,000		2,000,000
Rahway GO Series 2007 BAN,
4.25%, 6/24/08		310		310,613
Ringwood Borough GO Series 2007 BAN,
3.75%, 11/07/08		800		802,563
Rutgers State University RB Series 2002A DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.47%, 1/02/08(b)		400		400,000
Rutherford Borough GO Series 2007 BAN,
3.50%, 7/01/08		300		300,602
4.00%, 7/17/08		685		685,782
Salem County Pollution Control Financing Authority RB (Atlantic City Electric Co. Project) Series 1997B AMT DN (MBIA Insurance, Bank of New York LOC),
3.45%, 1/07/08(b)		890		890,000
South Bound Brook GO Series 2007 BAN,
4.00%, 8/22/08		395		395,657
Summit GO Series 2007 BAN,
3.75%, 12/12/08		530		532,766
Tinton Falls GO Series 2007 BAN,
4.12%, 3/06/08		542		542,356
Tuckerton GO Series 2007 BAN,
4.00%, 6/20/08		546		546,539
Waldwick GO Series 2007 BAN,
4.00%, 6/20/08		470		470,444
Washington Township GO Series 2007 BAN,
4.00%, 10/24/08		1,039		1,043,151
3.25%, 12/26/08		350		350,732
West Paterson GO Series 2007 TAN,
4.00%, 2/22/08		530		530,183
Westfield GO Series 2007 BAN,
4.00%, 7/18/08		775		777,011
Woodbury School District GO Series 2007 GAN,
4.00%, 12/04/08		600		603,264
TOTAL MARKET VALUE OF SECURITIES BEFORE AFFILIATED INVESTMENTS — 94.8%
(Cost $187,138,555)				187,138,555
Affiliated Investments — 7.4%
New Jersey — 7.4%
New Jersey Economic Development Authority RB P-Float Trust Receipts Series 2004 MT-035 DN (Assured Guaranty Ltd. Insurance, Landesbank Hessen-Thueringen Girozentrale SBPA),
3.45%, 1/07/08(b)		6,795		6,795,000
Port Authority of New York & New Jersey RB P-Float Trust Receipts Series 2004-056 DN (FGIC Insurance, Banque Nationale de Paribas SBPA),
3.48%, 1/07/08(b)(c)		7,855		7,855,000
TOTAL AFFILIATED INVESTMENTS
(Cost $14,650,000)				14,650,000
TOTAL INVESTMENTS IN SECURITIES — 102.2%
(Cost $201,788,555(a))				201,788,555
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.2)%				(4,332,886	)
NET ASSETS — 100.0%			$	197,455,669

(a) Aggregate cost for federal income tax purposes.

(b) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 28.6% of its net assets, with a current market value of $56,429,500, in securities restricted as to resale.

DECEMBER 31, 2007 11

	North Carolina Municipal Money Market Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds — 99.5%
North Carolina — 95.9%
Carrboro GO Series 2007 BAN,
3.75%, 8/27/08	$	715	$	716,274
Charlotte COP (Transit Projects Phase II Project) Series 2005F DN (Depfa Bank Plc SBPA),
3.35%, 1/07/08(b)		465		465,000
Charlotte Water & Sewer System GO Series 2007 TECP,
3.05%, 7/22/08		3,500		3,500,000
Charlotte Water & Sewer System RB Munitops Trust Certificates Series 2007-10 DN (ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		2,000		2,000,000
Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2005B DN (Bank of America N.A. SBPA),
3.70%, 1/02/08(b)		3,780		3,780,000
Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2005C DN (Bank of America N.A. SBPA),
3.74%, 1/02/08(b)		800		800,000
Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2005D DN (Bank of America N.A. SBPA),
3.68%, 1/02/08(b)		1,410		1,410,000
Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2006-1388 DN (Morgan Stanley Group Liquidity Facility),
3.50%, 1/07/08(b)		2,900		2,900,000
Charlotte-Mecklenburg Hospital Authority RB (Carolina’s Healthcare System Project) Series 2007F DN (FSA Insurance, Dexia Credit Local SBPA),
3.45%, 1/02/08(b)		920		920,000
Columbus County Water & Sewer District GO Series 2007 BAN,
4.00%, 2/06/08		1,200		1,200,353
East Moore Water District GO Series 2007 BAN,
4.25%, 4/02/08		2,100		2,102,094
Fayetteville Public Works Commission RB Series 2003A DN (FSA Insurance, Dexia Credit Local SBPA),
3.47%, 1/07/08(b)		400		400,000
Greensboro GO Series 2007B BAN,
3.75%, 2/01/08		670		670,137
Guilford County GO Series 2005B DN (Wachovia Bank N.A. SBPA),
3.48%, 1/07/08(b)		3,000		3,000,000
Hertford GO Series 2007 BAN,
4.00%, 3/19/08		200		200,189
Mecklenburg County GO Series 1996C DN (Bank of America N.A. LOC),
3.48%, 1/07/08(b)		2,200		2,200,000
Mecklenburg County GO Series 2005B DN (Wachovia Bank N.A. SBPA),
3.43%, 1/07/08(b)		515		515,000
Mecklenburg County GO Series 2006A DN (DEPFA Bank Plc SBPA),
3.43%, 1/07/08(b)		150		150,000
New Hanover County COP Series 2007 DN (DEFPA Bank Plc SBPA),
3.43%, 1/07/08(b)		1,300		1,300,000
North Carolina Capital Facilities Finance Agency Educational Facilities RB (High Point University Project) Series 2006 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		790		790,000
North Carolina Capital Facilities Finance Agency Educational Facilities RB (Megellan Charter School Project) Series 2007 DN (Wachovia Bank N.A. LOC),
3.50%, 1/07/08(b)		1,300		1,300,000
North Carolina Capital Facilities Finance Agency Educational Facilities RB (The Downtown Middle School Project) Series 2006 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		1,150		1,150,000
North Carolina Capital Facilities Finance Agency RB (Aquarium Society Project) Series 2004 DN (Bank of America N.A. LOC),
3.48%, 1/07/08(b)		3,515		3,515,000
North Carolina Capital Facilities Finance Agency RB Eagle Trust Receipts Series 2006A DN (Citibank N.A. Liquidity Facility),
3.51%, 1/07/08(b)(c)		1,000		1,000,000
North Carolina Capital Facilities Finance Agency RB Municipal Trust Receipts Floaters Series 2007-1894 DN (Morgan Stanley Group Liquidity Facility),
3.50%, 1/07/08(b)(c)		405		405,000
North Carolina Capital Facilities GO Series 2007A-1 TECP,
3.23%, 3/05/08		1,000		1,000,000
North Carolina Eastern Municipal Power Systems RB Series 2007 ROC-RR-II-11246 DN (FGIC Insurance, Citibank N.A. Liquidity Facility),
3.56%, 1/07/08(b)(c)		5		5,000
North Carolina Educational Facilities Finance Agency RB (Duke University Project) Series 1987A DN,
3.40%, 1/07/08(b)		5,600		5,600,000
North Carolina Educational Facilities Finance Agency RB (Duke University Project) Series 1991B DN,
3.40%, 1/07/08(b)		3,000		3,000,000
North Carolina Educational Facilities Finance Agency RB (Duke University Project) Series 1992A DN,
3.40%, 1/07/08(b)		1,200		1,200,000
North Carolina GO Series 2003A-23 DN (Wachovia Bank N.A. SBPA),
3.50%, 1/07/08(b)(c)		800		800,000
North Carolina HFA RB (Home Ownership Project) Series 2003-17-C AMT DN (Bank of America N.A. Liquidity Facility),
3.48%, 1/07/08(b)		350		350,000
North Carolina Infrastructure Finance Corp. COP (Correctional Facilities Project) PUTTERS Series 2005-918 DN (JPMorgan Chase & Co. Liquidity Facility),
3.51%, 1/07/08(b)		845		845,000
North Carolina Infrastructure Finance Corp. COP (Correctional Facilities Project) Series 2004A MB,
4.00%, 2/01/08		1,185		1,185,376
North Carolina Medical Care Commission Health System RB (Mission Health Combined Group Project) UBS Municipal Certificates Floaters Series 2007-07-1021 DN (Bank of New York SBPA),
3.50%, 1/07/08(b)(c)		1,200		1,200,000
North Carolina Medical Care Commission Health Care Facilities RB (Duke University Health System Project) Series 2005A DN,
3.46%, 1/07/08(b)		250		250,000

12 DECEMBER 31, 2007

	North Carolina Municipal Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
North Carolina (Continued)
North Carolina Medical Care Commission Health Care Facilities RB (Duke University Health System Project) Series 2005B DN,
3.46%, 1/07/08(b)	$	700	$	700,000
North Carolina Medical Care Commission Health Care Facilities RB (Novant Health Group Project) Series 2004A DN (JPMorgan Chase Bank SBPA),
3.47%, 1/07/08(b)		1,300		1,300,000
North Carolina Medical Care Commission Health Care Facilities RB (Novant Health Group Project) Series 2004B DN (Morgan Guaranty Trust LOC),
3.48%, 1/07/08(b)		4,000		4,000,000
North Carolina Medical Care Commission Health Care Facilities RB (Watauga Medical Center Project) Series 2005 DN (Wachovia Bank N.A. LOC),
3.45%, 1/07/08(b)		1,000		1,000,000
North Carolina Medical Care Commission Health Care Facilities RB Series 2007 ROC-RR-II-R-10313 DN (Citigroup Financial Products Liquidity Facility),
3.53%, 1/07/08(b)(c)		3,700		3,700,000
North Carolina Medical Care Commission Hospital RB (Aces-Pooled Equipment Financing Project) Series 1985 DN (MBIA Insurance, KBC Bank N.V. SBPA),
3.40%, 1/07/08(b)		500		500,000
North Carolina Medical Care Commission Hospital RB (Moses Cone Health Systems Project) Series 2001B DN (Chase Manhattan Bank LOC),
3.40%, 1/07/08(b)		200		200,000
North Carolina Medical Care Commission Retirement Facilities RB (Aldersgate Project) Series 2001 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		4,500		4,500,000
North Carolina Medical Care Commission Retirement Facilities RB (United Church Homes & Services Project) Series 2007 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		500		500,000
North Carolina Medical Care Commission Retirement Facilities RB (United Methodist Retirement Homes Project) Series 2005B DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(b)		625		625,000
Oneals Water District GO Series 2007 BAN,
3.75%, 7/23/08		885		886,203
Raleigh Comb Enterprise System RB Eagle Trust Receipts Series 2007A-0010 DN (Landesbank Hessen-Thueringen Girozentrale Liquidity Facility),
3.49%, 1/07/08(b)		1,275		1,275,000
Sampson County COP Eclipse Funding Trust Series 2006-0160 DN (FSA Insurance, U.S. Bank N.A. Liquidity Facility),
3.60%, 1/07/08(b)(c)		700		700,000
Spring Lake GO Series 2007 BAN,
3.90%, 5/21/08		300		300,407
Trinity GO Series 2007 BAN,
4.25%, 4/23/08		500		500,583
University of North Carolina Chapel Hill Hospital RB Series 2001B DN,
3.40%, 1/07/08(b)		190		190,000
University of North Carolina Chapel Hill Hospital RB Series 2001B DN (Landesbank Hessen-Thuringen Girozentrale LOC),
3.74%, 1/07/08(b)		700		700,000
University of North Carolina RB Munitops Trust Certificates Series 2005-52 DN (ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		2,600		2,600,000
Wake County GO Series 2006B DN (Lloyds TSB Bank Plc SBPA),
3.40%, 1/07/08(b)		1,900		1,899,928
Wake County HFA RB (Casa Melvid Multi-Family Housing Project) Series 2001A AMT DN (SunTrust Bank LOC),
3.54%, 1/07/08(b)		400		400,000
Washington County Industrial Facilities PCRB (Mackey’s Ferry Sawmill, Inc. Project) Series 1997 AMT DN (Wachovia Bank N.A. LOC),
3.55%, 1/07/08(b)		330		330,000
Wilmington GO Series 2002 DN (Wachovia Bank N.A. SBPA),
3.40%, 1/07/08(b)		300		300,000
Winston-Salem Water & Sewer Systems RB Series 2002C DN (Dexia Credit Local LOC),
3.48%, 1/07/08(b)		2,110		2,110,000
				81,041,544
Puerto Rico — 3.6%
Commonwealth of Puerto Rico GO Series 2007 TRAN (Multiple LOCs),
4.25%, 7/30/08		3,000		3,014,406
TOTAL INVESTMENTS IN SECURITIES — 99.5%
(Cost $84,055,950(a))				84,055,950
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%				416,773
NET ASSETS — 100.0%			$	84,472,723

(a) Aggregate cost for federal income tax purposes.

(b) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 14.7% of its net assets, with a current market value of $12,410,000, in securities restricted as to resale.

DECEMBER 31, 2007 13

	Ohio Municipal Money Market Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds — 87.1%
Ohio — 87.1%
American Municipal Power, Inc. GO (Amherst City Project) Series 2007 BAN,
3.50%, 11/25/08	$	150	$	150,000
American Municipal Power, Inc. GO (Bowling Green Project) Series 2007 BAN,
3.50%, 11/25/08		550		550,000
American Municipal Power, Inc. GO (Hubbard Project) Series 2007 BAN,
3.70%, 9/25/08		175		175,000
American Municipal Power, Inc. GO (Oberlin Project) Series 2007 BAN,
3.50%, 12/04/08		115		115,000
American Municipal Power, Inc. GO (St. Mary’s Electric System Project) Series 2007 BAN,
3.70%, 10/02/08		145		145,000
American Municipal Power, Inc. GO Series 2007 BAN,
3.50%, 10/30/08		600		600,000
American Municipal Power, Inc. RB (Brewster Village Project) Series 2007 BAN,
3.70%, 1/10/08		495		495,000
American Municipal Power, Inc. RB (Combustion Turbine Project) Series 2006 DN (KeyBank N.A. LOC),
3.43%, 1/07/08(b)		620		620,000
American Municipal Power, Inc. RB (Electric Systems Project) Series 2007 BAN,
3.85%, 8/15/08		1,200		1,200,000
American Municipal Power, Inc. RB (Lodi Village Project) Series 2007 BAN,
3.75%, 3/13/08		250		250,000
American Municipal Power, Inc. RB (Prepayment Project) Series 2007A BAN,
5.00%, 2/01/08		3,000		3,002,947
American Municipal Power. Inc. GO (Shelby Project) Series 2007 BAN,
3.45%, 11/13/08		1,500		1,500,000
Austin COP Series 2007-155 DN (FSA Insurance, Bank of America N.A. LOC),
3.50%, 1/07/08(b)(c)		665		665,000
Avon GO Series 2007-2 BAN,
4.05%, 3/03/08		200		200,151
Avon Local School District GO (School Construction Project) Series 2007 BAN,
4.12%, 1/11/08		500		500,065
Barberton GO Series 2007 BAN,
3.75%, 11/13/08		200		200,451
Bedford Heights GO Series 2007 BAN,
3.95%, 2/14/08		50		50,015
Brooklyn IDRB (Dylon Industries, Inc. Project) Series 1999 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		650		650,000
Brunswick GO Series 2007 BAN,
3.70%, 12/04/08		100		100,223
Buckeye Tobacco Settlement Financing Authority RB Municipal Trust Receipts Floaters Series 2007-2125 DN (Morgan Stanley Municipal Funding Liquidity Facility, Morgan Stanley Municipal Funding Guaranty),
3.52%, 1/07/08(b)		2,900		2,900,000
Buckeye Tobacco Settlement Financing Authority RB Series 2007 ROC-RR-II-R-10308 DN (Citigroup Financial Products Liquidity Facility, Citigroup Financial Products Guaranty),
3.50%, 1/07/08(b)		2,000		2,000,000
Butler County GO Series 2007 BAN,
4.10%, 8/07/08		260		261,001
Butler County Healthcare Facilities RB (Lifesphere Project) Series 2007 DN (U.S. Bank N.A. LOC),
3.46%, 1/07/08(b)		4,500		4,500,000
Celina GO Series 2007 BAN,
3.75%, 11/12/08		400		400,966
Chillicothe School District GO PUTTERS Series 2007-1670 DN (FGIC Insurance, JPMorgan Chase & Co. Liquidity Facility),
3.54%, 1/07/08(b)(c)		5,180		5,180,000
Cincinnati School District COP Series 2007 ROC-RR-II-R-12049 DN (FSA Insurance, Citigroup Financial Products Liquidity Facility),
3.56%, 1/07/08(b)		1,000		1,000,000
Cincinnati School District GO Munitops Trust Certificates Series 2003-34 DN (FSA Insurance, Bank of America N.A. SBPA),
3.46%, 1/07/08(b)		2,900		2,900,000
Cincinnati Student Loan Funding Corp. RB Series 1998A-2 AMT DN (Citibank N.A. SBPA),
3.55%, 1/02/08(b)		4,500		4,500,000
Clark County GO Series 2007 BAN,
4.02%, 2/13/08		125		125,038
4.00%, 5/08/08		300		300,282
Cleveland-Cuyahoga County Port Authority Educational Facility RB (Laurel School Project) Series 2004 DN (KeyBank N.A. LOC),
3.48%, 1/07/08(b)		1,070		1,070,000
Clinton County GO (Human Services Project) Series 2007 BAN,
4.31%, 1/24/08		375		375,133
Clinton Massie Local School District GO Series 2007 BAN,
4.00%, 11/18/08		600		602,858
Cuyahoga County Civic Facility RB (Orion Services, Inc. Project) Series 2001 DN (Bank One N.A. LOC),
3.65%, 1/07/08(b)		2,625		2,625,000
Cuyahoga County Cleveland Clinic Health System RB Series 2004B-3 DN (Bank of Nova Scotia SBPA),
3.75%, 1/02/08(b)		300		300,000
Cuyahoga County Economic Development RB (Berea Children’s Home Project) Series 2000 DN (Huntington National Bank LOC),
3.67%, 1/07/08(b)		3,010		3,010,000
Cuyahoga County Economic Development RB (Cleveland Botanical Garden Project) Series 2001 DN (M&T Bank Corp. LOC),
3.43%, 1/07/08(b)		635		635,000
Cuyahoga County IDRB (Afi Generations LLC Project) Series 2007B AMT DN (Charter One Bank N.A. LOC),
3.52%, 1/07/08(b)		2,015		2,015,000
Cuyahoga County IDRB (All Foils, Inc. Project) Series 2007A AMT DN (Charter One Bank N.A. LOC),
3.52%, 1/07/08(b)		1,000		1,000,000
Cuyahoga County IDRB (Trio Diversified Co. Project) Series 2000 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		1,195		1,195,000

14 DECEMBER 31, 2007

	Ohio Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Ohio (Continued)
Dayton-Montgomery County Port Authority RB (DHL 2007 Project) Series 2007C AMT DN (Deutsche Post AG Guaranty),
3.64%, 1/07/08(b)	$	5,000	$	5,000,000
Delaware County Economic Development RB (The Columbus Zoological Park Association, Inc. Project) Series 2003 DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		3,705		3,705,000
Delaware County IDRB (Air Waves, Inc. Project) Series 1995 DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		60		60,000
Dover GO Series 2007 BAN,
4.25%, 4/03/08		775		776,043
East Liverpool City Hospital RB Series 2006 DN (Fifth Third Bank N.A. LOC),
3.49%, 1/07/08(b)		4,200		4,200,000
Elyria GO Series 2007-2 BAN,
4.00%, 10/02/08		1,100		1,103,025
Elyria GO Series 2007 BAN,
4.25%, 7/03/08		260		260,503
Euclid GO Series 2007 BAN,
4.00%, 5/29/08		780		780,764
Fairborn GO Series 2007 BAN,
4.25%, 6/26/08		295		295,604
4.50%, 6/26/08-8/15/08		200		200,746
Franklin County Economic Development RB (Columbus Montessori Educational Center Project) Series 2000 DN (Huntington National Bank LOC),
3.52%, 1/07/08(b)		1,460		1,460,000
Franklin County Economic Development RB (Dominican Sisters Project) Series 1994 DN (Fifth Third Bank N.A. LOC),
3.48%, 1/07/08(b)		850		850,000
Franklin County Health Care Facilities RB (Heritage Day Health Centers Project) Series 2002 DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		385		385,000
Franklin County Health Care Facilities RB (Heritage Day Health Centers Project) Series 2007 DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		2,500		2,500,000
Franklin County Health Care Facilities RB (Willow Brook Christian Project) Series 2004 DN (Fifth Third Bank N.A. LOC),
3.45%, 1/07/08(b)		500		500,000
Franklin County Hospital RB Series 2006 DN (AMBAC Insurance, Landesbank Hessen-Thueringen Girozentrale SBPA),
3.45%, 1/07/08(b)		1,500		1,500,000
Franklin County Senior Housing RB (St. George on the Commons Apartments Project) Series 2007 AMT DN (Federal National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Liquidity Facility),
3.52%, 1/07/08(b)		915		915,000
Fulton County RB (Fulton Couth Health Center Project) Series 2005 DN (JPMorgan Chase Bank LOC),
3.43%, 1/07/08(b)		400		400,000
Geauga County GO (Human Services Building Project) Series 2007 BAN,
4.00%, 12/04/08		150		150,535
Geauga County GO (Safety Center Project) Series 2007 BAN,
4.00%, 8/27/08		250		250,392
Geauga County RB (Thistle Lane Project) Series 2000 AMT DN (Huntington National Bank LOC),
3.57%, 1/07/08(b)		2,210		2,210,000
Greene County IDRB (AFC Stamping & Production, Inc., Barsplice Products Project) Series 1995 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		110		110,000
Hamilton County GO Series 2007 BAN,
4.00%, 9/11/08		1,240		1,242,074
Hamilton County Hospital Facilities RB (Children’s Hospital Medical Center Project) Series 2000 DN (JPMorgan Chase Bank LOC),
3.42%, 1/07/08(b)		500		500,000
Hamilton County Sales Tax RB Series 2007-1820 DN (AMBAC Insurance, Morgan Stanley Group LOC),
3.50%, 1/07/08(b)(c)		2,000		2,000,000
Hamilton County Sales Tax RB Series 2007 ROC-RR-II-R-8075 DN (AMBAC Insurance, Citigroup Financial Products Liquidity Facility),
3.50%, 1/07/08(b)(c)		915		915,000
Indian Lake Local School District GO (School Construction Project) Series 2007 BAN,
4.00%, 12/11/08		290		291,586
Kent GO Series 2007 BAN,
4.00%, 10/16/08		300		300,914
Lake County GO Series 2007 BAN,
4.25%, 5/15/08-7/18/08		495		496,077
Lancaster GO Series 2007 BAN,
4.00%, 10/16/08		300		301,097
Lima GO (Water System Capacity Facility) Series 2007 BAN,
4.25%, 5/29/08		1,510		1,512,071
Lorain County GO Series 2007B Highway Improvement BAN,
4.25%, 6/04/08		720		721,468
Lorain County GO Series 2007 Highway Improvement BAN,
4.25%, 3/28/08		320		320,425
Lorain County IDRB (Ohio Metallurgical Services Project) Series 2001 AMT DN (First Merit Bank N.A. LOC),
3.69%, 1/07/08(b)		1,335		1,335,000
Lucas County Economic Development RB (Hammill Manufacturing Co. Project) Series 1996 AMT DN (Fifth Third Bank N.A. LOC),
3.51%, 1/07/08(b)		655		655,000
Madeira School District GO Municipal Trust Receipts Floaters Series 2007-K8 DN (FSA Insurance, Lehman Liquidity Co. Liquidity Facility,
3.59%, 1/07/08(b)		300		300,000
Marion County GO (Legacy Crossing Project) Series 2007 BAN,
4.10%, 5/01/08		435		435,526
Marion GO Series 2007 BAN,
4.00%, 6/26/08		285		285,265
Marysville GO Series 2007 BAN,
4.25%, 3/06/08		270		270,231
Mentor GO Series 2007 BAN,
4.25%, 3/14/08		900		900,883
Mentor IDRB (Arrow Machine Co. Ltd. Project) Series 1997 DN (First Merit Bank N.A. LOC),
3.59%, 1/07/08(b)		1,055		1,055,000
Miami County GO Series 2007 BAN,
4.00%, 11/27/08		550		552,835

DECEMBER 31, 2007 15

	Ohio Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Ohio (Continued)
Muskingum County GO Series 2007 BAN,
4.46%, 1/17/08	$	900	$	900,253
4.00%, 9/25/08		200		201,429
4.15%, 9/25/08		205		205,797
North Ridgeville GO Series 2007-2 BAN,
4.00%, 6/05/08		285		285,315
North Ridgeville GO Series 2007-3 BAN,
3.95%, 6/05/08(d)		195		195,177
Ohio Building Authority Facilities RB (Administrative Building Fund Projects) Series 1998A MB,
5.25%, 1/07/08		55		56,535
Ohio GO (Common Schools Project) Series 2005A DN,
3.40%, 1/07/08(b)		300		300,000
Ohio Higher Educational Facility RB (Kenyon College Project) Series 1999 DN (JPMorgan Chase Bank Liquidity Facility),
3.43%, 1/07/08(b)		900		900,000
Ohio Housing Finance Agency Mortgage RB MERLOTS Trust Receipts Series 2001A-78 DN (Wachovia Bank N.A. LOC),
3.55%, 1/07/08(b)(c)		1,255		1,255,000
Ohio Housing Finance Agency Mortgage RB MERLOTS Trust Receipts Series 2005A-10 AMT DN (Wachovia Bank N.A. SBPA),
3.55%, 1/07/08(b)(c)		3,500		3,500,000
Ohio Housing Finance Agency Mortgage RB Various Certificates Series 2001 DN (Bank of America N.A. LOC),
3.52%, 1/07/08(b)(c)		1,170		1,170,000
Ohio Solid Waste RB (Republic Services, Inc. Project) Series 2005 AMT DN,
3.72%, 1/07/08(b)		1,000		1,000,000
Ohio Water Development Authority Pollution Control Facilities RB (First Energy Nuclear Project) Series 2006 AMT DN (Barclays Bank Plc LOC),
3.43%, 1/07/08(b)		125		125,000
Olmsted Falls School District GO Series 2008 BAN,
3.75%, 12/18/08		150		150,795
Painesville GO Series 2007 BAN,
4.00%, 11/07/08		200		200,820
Parma IDRB (FDC Realty Project) Series 2006 AMT DN (Huntington National Bank LOC),
3.75%, 1/07/08(b)		1,890		1,890,000
Port of Greater Cincinnati RB (Springdale Public Infrastructure Project) Series 2006 MB (U.S. Bank N.A. LOC),
3.80%, 2/01/08		2,900		2,900,000
Portage County IDRB (Action Super Abrasive Project) Series 1996 AMT DN (Huntington National Bank LOC),
3.65%, 1/07/08(b)		645		645,000
Portage County IDRB (Bauer/Hibbard Properties Ltd. Project) Series 1998 DN (National City Bank N.A. LOC),
3.64%, 1/07/08(b)		705		705,000
Portage County IDRB (Singer Steel Co. Project) Series 2007 AMT DN (Huntington National Bank LOC),
3.75%, 1/07/08(b)		2,090		2,090,000
Putnam County Health Care Facilities RB (Hilty Memorial Home Project) Series 2004 DN (LaSalle Bank N.A. LOC),
3.51%, 1/07/08(b)		3,330		3,330,000
Richland County GO (Computer Acquisition Project) Series 2007 BAN,
4.25%, 3/25/08		135		135,164
Sandusky GO Series 2007 BAN,
4.25%, 10/22/08		700		704,085
Seneca County GO Series 2007 BAN,
3.80%, 11/13/08		200		200,535
Seven Hills GO (Street Improvement Project) Series 2007 BAN,
3.45%, 12/04/08		500		500,000
Sharonville GO Series 2007 BAN,
4.25%, 7/25/08		380		380,967
Solon GO Series 2007 BAN,
3.75%, 11/20/08		850		852,543
St. Marys GO (Sanitation Improvement Project) Series 2007 BAN,
4.00%, 6/04/08		220		220,179
St. Marys School District GO Series 2007 BAN,
3.75%, 6/10/08		1,000		1,002,900
Stark County IDRB (Thakar Properties LLC Project) Series 2002 AMT DN (National City Bank N.A. LOC),
3.54%, 1/07/08(b)		2,755		2,755,000
Stark County Port Authority Economic Development RB (Slesnick Iron & Metal Project) Series 2007 AMT DN (Huntington National Bank LOC),
3.75%, 1/07/08(b)		700		700,000
Strongsville IDRB (Web Plastics Co. Project) Series 1997 DN (National City Bank N.A. LOC),
3.64%, 1/07/08(b)		475		475,000
Summit County Civic Facility RB (Akron Area Electric Junction Project) Series 2001 DN (KeyBank N.A. LOC),
3.48%, 1/07/08(b)		175		175,000
Summit County IDRB (Flutes LLC Project) Series 2002 AMT DN (M & I Marshall & Ilsley Bank LOC),
3.54%, 1/07/08(b)		1,840		1,840,000
Summit County IDRB (Jendrisak Properties Project) Series 2001 AMT DN (First Merit Bank N.A. LOC),
3.59%, 1/07/08(b)		1,600		1,600,000
Summit County IDRB (KB Compost Services, Inc. Project) Series 2001 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		1,100		1,100,000
Summit County IDRB (Sigma Properties Project) Series 2000A AMT DN (National City Bank N.A. LOC),
3.59%, 1/07/08(b)		535		535,000
Summit County Port Authority RB (Meadow Lane Building LLC Project) Series 2003A AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		340		340,000
Tipp GO Series 2007 BAN,
4.00%, 4/24/08		205		205,185
Toledo GO Munitops Trust Certificates Series 2004-18 DN (FGIC Insurance, State Aid Withholding Guaranty, ABN-AMRO Bank N.V. SBPA),
3.85%, 1/07/08(b)(c)		2,000		2,000,000
Toledo Multi-Family Housing RB (Cherrywood Apartments Project) Series 2001 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		2,450		2,450,000
Trumbull County IDRB (Ellwood Engineered Project) Series 2004 AMT DN (KeyBank N.A. LOC),
3.55%, 1/07/08(b)		3,100		3,100,000
Trumbull County IDRB (United Steel Service, Inc. Project) Series 2000B AMT DN (Bank One N.A. LOC),
3.85%, 1/07/08(b)		165		165,000

16 DECEMBER 31, 2007

	Ohio Municipal Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Ohio (Continued)
Union County GO Series 2007 BAN,
3.50%, 12/10/08	$	345	$	346,574
University of Akron General Receipts RB Series 2004 DN (FGIC Insurance, Dexia Credit Local SBPA),
3.48%, 1/07/08(b)		100		100,000
University of Cincinnati General Receipts RB Series 2007B DN (MBIA Insurance, Bayerische Landesbank Girozentrale SBPA),
3.49%, 1/07/08(b)		100		100,000
University of Toledo RB Societe Generale Trust Receipts Series 2001 SGA-125 DN (FGIC Insurance, Societe Generale Group Liquidity Facility),
3.51%, 1/07/08(b)(c)		455		455,000
Wapakoneta GO Series 2007 BAN,
3.85%, 12/04/08		255		255,568
Wapakoneta School District GO (School Improvement Project) Series 2007 BAN,
3.50%, 6/26/08		1,300		1,302,971
Warren County GO Series 2007 BAN,
4.15%, 9/05/08		200		200,522
Western Reserve Housing Development Corp. Economic RB (Trumbull Metropolitan Housing Project) Series 2003 DN (KeyBank N.A. LOC),
3.58%, 1/07/08(b)		3,310		3,310,000
Westerville GO Munitops Trust Certificates Series 2001 DN (ABN-AMRO Bank N.V. LOC),
3.46%, 1/07/08(b)(c)		200		200,000
Wilmington GO (Lowes Drive Construction Project) BAN,
4.50%, 7/25/08		255		255,994
TOTAL MARKET VALUE OF SECURITIES BEFORE AFFILIATED INVESTMENTS — 87.1%
(Cost $140,036,502)				140,036,502
Affiliated Investments — 10.9%
Ohio — 10.9%
Hamilton County Hospital Facilities RB P-Float Trust Receipts Series 2001 PT-507 DN (FSA Insurance, Svenska Handelsbanken AB SBPA),
3.97%, 1/07/08(b)(c)		4,855		4,855,000
Ohio Housing Finance Agency Mortgage RB (Residential Mortgage Backed Securities Program) Series 2006F AMT DN (Citibank N.A. LOC),
3.39%, 1/07/08(b)		1,400		1,400,000
Ohio Housing Finance Agency Mortgage RB (Residential Mortgage-Backed Securities Program) Series 2007B AMT DN (Government National Mortgage Assoc. Insurance, Federal National Mortgage Assoc. Insurance, KBC Bank N.V. SBPA),
3.39%, 1/07/08(b)		11,250		11,250,000
TOTAL AFFILIATED INVESTMENTS
(Cost $17,505,000)				17,505,000
TOTAL INVESTMENTS IN SECURITIES — 98.0%
(Cost $157,541,502(a))				157,541,502
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.0%				3,256,063
NET ASSETS — 100.0%			$	160,797,565

(a) Aggregate cost for federal income tax purposes.

(b) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 13.8% of its net assets, with a current market value of $22,195,000, in securities restricted as to resale.

(d) Security restricted as to public resale. These securities are ineligible for resale into the public market until such time that either (i) a resale Registration Statement has been filed with the SEC and declared effective or (ii) resale is permitted under Rule 144A without the need for an effective registration statement. As of December 31, 2007, the Portfolio held 0.1% of its net assets, with a current market value of $195,177 and an original cost of $195,349 in these securities.

DECEMBER 31, 2007 17

	Pennsylvania Municipal Money Market Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds — 100.7%
Pennsylvania — 98.7%
Alleghany County Hospital Development Authority RB Series 2007-11053 DN (Citibank N.A. Guaranty, Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)	$	8,000	$	8,000,000
Allegheny County Hospital Development Authority RB (Dialysis Clinic, Inc. Project) Series 2000 DN (Bank of America N.A. LOC),
3.48%, 1/07/08(c)		2,000		2,000,000
Allegheny County Hospital Development Authority RB (University of Pittsburgh Medical Center Project) PUTTERS Series 2007-2327 DN (JPMorgan Chase Bank LOC, JPMorgan Chase & Co. Liquidity Facility),
3.50%, 1/07/08(b)(c)		4,000		4,000,000
Allegheny County Hospital Development Authority RB (University of Pittsburgh Medical Center Project) Series 2003B MB,
5.00%, 6/15/08		1,400		1,407,935
Allegheny County IDRB (Carnegie Museums Pittsburgh Project) Series 2005 DN (Citizens Bank of Pennsylvania LOC),
3.44%, 1/07/08(c)		3,600		3,600,000
Allegheny County IDRB (Commonwealth Development Parkway Project) Series 1994A DN (National City Bank N.A. LOC),
3.46%, 1/07/08(c)		1,300		1,300,000
Allegheny County IDRB (UPMC Health System Project) Series 2002C DN (Comerica Bank N.A. LOC),
3.44%, 1/07/08(c)		1,400		1,400,000
Berks County IDRB (Tray Pak Co. Project) Series 2001A AMT DN (Wachovia Bank N.A. LOC),
3.60%, 1/07/08(c)		1,620		1,620,000
Bermudian Springs School District GO Series 2006 DN (FSA Insurance, Royal Bank of Canada SBPA),
3.44%, 1/07/08(c)		10,500		10,500,000
Bethlehem Area School District GO Series 2007 DN (FSA Insurance, Dexia Credit Local SBPA),
3.45%, 1/07/08(c)		1,450		1,450,000
Blair County IDRB (CCK, Inc. Project) Series 2003 AMT DN (Fulton Bank LOC),
3.62%, 1/07/08(c)		1,885		1,885,000
Butler County General Authority RB Municipal Securities Trust Receipts Series 2002A DN (FSA Insurance, Societe Generale Liquidity Facility),
3.51%, 1/07/08(c)		4,350		4,350,000
Butler County General Authority RB Municipal Securities Trust Receipts Series 2007 DN (FSA Insurance, Societe Generale Liquidity Facility),
3.60%, 1/07/08(b)(c)		3,000		3,000,000
Cambria County IDA Resource Recovery RB (Cambria Cogen Co. Project) Series 1998A-2 AMT DN (Bayerische Landesbank Girozentrale LOC),
3.58%, 1/07/08(c)		16,000		16,000,000
Chester County IDA Student Housing RB (University Student Housing Ltd. Project) Series 2003 DN (Royal Bank of Scotland LOC),
3.48%, 1/07/08(c)		790		790,000
Chester County IDRB (RV Industrial, Inc. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		2,200		2,200,000
City of Philadelphia TECP,
3.39%, 1/04/08		10,000		10,000,000
Crawford County IDRB (Uniplast International, Inc. Project) Series 2000 AMT DN (National City Bank N.A. LOC),
3.64%, 1/07/08(c)		900		900,000
Cumberland County Municipal Authority RB (Dickinson College Project) Series 1996B DN (Citizens Bank N.A. LOC),
3.45%, 1/07/08(c)		2,295		2,295,000
Delaware County IDRB (Scott Paper Co. Project) Series 1984A DN,
3.90%, 1/07/08(c)		100		100,000
Delaware County IDRB PUTTERS Series 2006-1497 AMT DN (FGIC Insurance, JPMorgan Chase Bank Liquidity Facility),
3.57%, 1/07/08(b)(c)		8,045		8,045,000
Delaware Valley Regional Finance Authority Local Government RB Municipal Securities Trust Receipts Series 2007A DN (Societe Generale Liquidity Facility),
3.50%, 1/07/08(b)(c)		5,500		5,500,000
East Hempfield Township IDRB (Herley Industrial, Inc. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		2,355		2,355,000
East Hempfield Township IDRB (Herley Industrial, Inc. Project) Series 2005 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		2,700		2,700,000
Emmaus General Authority RB Series 1989A-11 DN (DEPFA Bank Plc LOC),
3.50%, 1/07/08(c)		1,100		1,100,000
Emmaus General Authority RB Series 1989B-29 DN (DEPFA Bank Plc LOC),
3.50%, 1/07/08(c)		8,500		8,500,000
Emmaus General Authority RB Series 1989F-19 DN (State Aid Withholding Insurance, DEPFA Bank Plc LOC),
3.50%, 1/07/08(c)		1,300		1,300,000
Emmaus General Authority RB Series 1989F-24 DN (DEPFA Bank Plc LOC),
3.50%, 1/07/08(c)		1,500		1,500,000
Emmaus General Authority RB Series 1989G-18 DN (DEPFA Bank Plc LOC),
3.50%, 1/07/08(c)		3,000		3,000,000
Franklin County IDRB (Chambersburg Hospital Project) Series 2000 DN (AMBAC Insurance, Wachovia Bank N.A. SBPA),
3.47%, 1/07/08(c)		1,865		1,865,000
Franklin County IDRB (Precast System Project) Series 2001A AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		1,760		1,760,000
Geisinger Authority Health System RB (Geisinger Health System Project) Series 2005A DN (Bank of America N.A. SBPA),
3.47%, 1/07/08(c)		1,000		1,000,000
Geisinger Authority Health System RB (Geisinger Health System Project) Series 2005C DN (Wachovia Bank N.A. LOC),
3.75%, 1/02/08(c)		1,445		1,445,000
Geisinger Authority Health System RB Series 2007 ROC-RR-II-R-11013 DN (Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		2,020		2,020,000
Horizon Hospital System Authority Health & Housing Facility RB (St. Paul Homes Project) Series 2002 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(c)		7,215		7,215,000
Horizon Hospital System Authority Health & Housing Facility RB (St. Paul Homes Project) Series 2005 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(c)		7,900		7,900,000

18 DECEMBER 31, 2007

	Pennsylvania Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Pennsylvania (Continued)
Indiana County IDRB (Conemaugh Project) Series 1997A AMT DN (Bank One N.A. LOC),
3.46%, 1/07/08(c)	$	2,560	$	2,560,000
Lackawanna County GO Municipal Trust Receipts Floaters Series 2007-2183 DN (FSA Insurance, Morgan Stanley Municipal Funding Liquidity Facility),
3.50%, 1/07/08(b)(c)		1,065		1,065,000
Lackawanna County IDRB (Herff Jones, Inc. Project) Series 2001 AMT DN (National City Bank N.A. LOC),
3.54%, 1/07/08(c)		2,800		2,800,000
Lancaster County Hospital Authority RB (Health Center Luthercare Project) Series 1999 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(c)		4,865		4,865,000
Lancaster County Hospital Authority RB (Landis Homes Retirement Community Project) Series 2002 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(c)		8,190		8,190,000
Lancaster County IDRB (Clean Creek Partners Project) Series 2000 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		4,365		4,365,000
Lancaster County IDRB (D&P Skibo LLC Project) Series 2001 AMT DN (Wachovia Bank N.A. LOC),
3.60%, 1/07/08(c)		1,250		1,250,000
Lancaster County IDRB (John F. Martin & Sons Project) Series 2001 AMT DN (Fulton Bank LOC),
3.67%, 1/07/08(c)		600		600,000
Lancaster County IDRB (Oakfront LP Project) Series 2001 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		1,875		1,875,000
Lancaster GO Munitops Trust Certificates Series 2007-47 DN (AMBAC Insurance, ABN-AMRO Bank N.V. LOC),
3.49%, 1/07/08(b)(c)		5,000		5,000,000
Lawrence County IDRB (L&N Metallurgical Products Project) Series 1996 AMT DN (Banque Nationale de Paribas LOC),
3.57%, 1/07/08(c)		3,645		3,645,000
Lebanon County Health Facility RB (Evangelican Long Church Retirement Village Project) Series 2000 DN (Northern Trust LOC),
3.47%, 1/07/08(c)		2,730		2,730,000
Lehigh County General Purpose Authority RB Series 2007 ROC-RR-II-R-862CE DN (Citibank N.A. Liquidity Facility, Citibank N.A. Guaranty),
3.50%, 1/07/08(b)(c)		4,890		4,890,000
Montgomery County Higher Education & Health Authority RB (Pennsylvania Higher Education & Health Loan Project) Series 1996A DN (M&T Bank Corp. LOC),
3.50%, 1/07/08(c)		2,400		2,400,000
Montgomery County IDRB (Apple Fresh Foods Ltd. Project) Series 1996 AMT DN (Wachovia Bank N.A. LOC),
3.53%, 1/07/08(c)		550		550,000
Moon IDRB (Providence Point Project) Series 2007 DN (Bank of Scotland Plc LOC),
3.50%, 1/07/08(c)		15,250		15,250,000
New Garden General Purpose Authority RB (Municipal Pooled Financing Project) Series 2003 II DN (FSA Insurance),
3.42%, 1/07/08(c)		1,095		1,095,000
Northampton County General Purpose Authority RB (Lafayette College Project) Series 2007 MB,
3.35%, 12/01/08		3,000		3,000,000
Northampton County IDRB (Bethlehem Contracting Project) Series 2001A AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		2,695		2,695,000
Northampton County IDRB (Trent Family Partnership Project) Series 2002 AMT DN (Wachovia Bank N.A. LOC),
3.60%, 1/07/08(c)		1,795		1,795,000
Pennsylvania Economic Development Financing Authority RB (AMC Delancey Traditions Project) Series 2006 AMT DN (Citizens Bank of Pennsylvania LOC),
3.48%, 1/07/08(c)		3,200		3,200,000
Pennsylvania Economic Development Financing Authority RB (Evergreen Community Power Facility Project) Series 2007 AMT DN (Manufactures & Traders Trust Co. LOC),
3.52%, 1/07/08(c)		3,000		3,000,000
Pennsylvania Economic Development Financing Authority RB (Homewood Retirement Project) Series 1992E DN (M&T Bank Corp. LOC),
3.21%, 1/07/08(c)		3,925		3,925,000
Pennsylvania Economic Development Financing Authority RB (Material Technology Project) Series 2000D AMT DN (Wachovia Bank N.A. LOC),
3.60%, 1/07/08(c)		600		600,000
Pennsylvania Economic Development Financing Authority RB (Penn. Waste, Inc. Project) Series 2007 AMT DN (Manufacturers & Traders Trust Co. LOC),
3.52%, 1/07/08(c)		2,000		2,000,000
Pennsylvania Economic Development Financing Authority RB (People Energy Supply LLC Project) Series 2007 AMT DN (Wachovia Bank N.A. LOC),
3.20%, 2/01/08(c)		4,070		4,070,000
Pennsylvania Economic Development Financing Authority RB UBS Municipal Certificates Floaters Series 2007-07-15 DN (Landebank Hessen-Thruingen Girozentrale Liquidity Facility),
3.50%, 1/07/08(b)(c)		8,600		8,600,000
Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB (IESI, Corp. Project) Series 2006V AMT DN (Bank of America N.A. Liquidity Facility),
3.54%, 1/07/08(b)(c)		8,700		8,700,000
Pennsylvania Economic Development Financing Authority Waste Water Treatment RB (Sunoco, Inc. Project) Series 2004A AMT DN (Sunoco, Inc. Guaranty),
3.38%, 1/07/08(c)		4,700		4,700,000
Pennsylvania Energy Development Authority RB (B&W Ebensburg Project) Series 1988 AMT DN (Landesbank Hessen-Thuringen Girozentrale LOC),
3.52%, 1/07/08(c)		1,000		1,000,000
Pennsylvania GO Municipal Trust Receipts Floaters Series 2007-1924 DN (Morgan Stanley Group Liquidity Facility),
3.50%, 1/07/08(b)(c)		3,378		3,378,500
Pennsylvania GO PUTTERS Series 2006-1382 DN (JPMorgan Chase Bank Liquidity Facility),
3.50%, 1/07/08(c)		2,115		2,115,000

DECEMBER 31, 2007 19

	Pennsylvania Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Pennsylvania (Continued)
Pennsylvania GO Series 1999 MB,
5.25%, 10/01/08	$	675	$	683,105
Pennsylvania GO Series 2004 MB,
5.00%, 7/01/08		2,450		2,467,382
Pennsylvania GO Series 2007 ROC-RR-II-R-11056 DN (Citibank N.A. Liquidity Facility),
3.05%, 3/13/08(b)(c)		2,000		2,000,000
Pennsylvania GO Series 2007 ROC-RR-II-R-11158 DN (Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		1,510		1,510,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 1988E AMT DN (AMBAC Insurance, Wachovia Bank N.A. SBPA),
3.45%, 1/07/08(c)		6,100		6,100,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 1994A AMT DN (AMBAC Insurance, Westdeutsche Landesbank SBPA),
3.45%, 1/07/08(c)		2,300		2,300,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 1997A AMT DN (Dexia Credit Local SBPA),
3.46%, 1/07/08(c)		2,300		2,300,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 2001A AMT DN (AMBAC Insurance),
3.46%, 1/07/08(c)		1,000		1,000,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 2001B AMT DN (FSA Insurance, Multiple SBPAs),
3.52%, 1/07/08(c)		4,200		4,200,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 2002A AMT DN (FSA Insurance, Multiple SBPAs),
3.46%, 1/07/08(c)		6,600		6,600,000
Pennsylvania Higher Educational Assistance Agency Student Loan RB Series 2007A AMT DN (AMBAC Insurance, Morgan Stanley Group SBPA),
3.50%, 1/07/08(c)		2,200		2,200,000
Pennsylvania Higher Educational Facilities Authority RB (Assoc. of Independent Colleges & Universities Project) Series 1998 DN (Banque Nationale de Paribas LOC),
3.48%, 1/07/08(c)		2,600		2,600,000
Pennsylvania Higher Educational Facilities Authority RB (Honeysuckle Student Holding Project) Series 2004A DN (Allied Irish Bank Plc LOC),
3.45%, 1/07/08(c)		4,200		4,200,000
Pennsylvania Higher Educational Facilities Authority RB (Rosemont College Project) Series 2004O DN (Wachovia Bank N.A. LOC),
3.42%, 1/07/08(c)		900		900,000
Pennsylvania Higher Educational Facilities Authority RB (St. Joesph’s University Project) Series 1998C-4 DN (Allied Irish Bank Plc LOC),
3.40%, 1/07/08(c)		6,900		6,900,000
Pennsylvania Higher Educational Facilities Authority RB (Student Assoc. Housing, Inc. Project) Series 2006A DN (Citizens Bank of Pennsylvania LOC),
3.45%, 1/07/08(c)		7,895		7,895,000
Pennsylvania Higher Educational Facilities Authority RB (University of Pennsylvania Financing Project) Series 2004-N2 DN (National City Bank LOC),
3.44%, 1/07/08(c)		1,600		1,600,000
Pennsylvania Higher Educational Facilities Authority RB Municipal Trust Receipts Floaters Series 2006-1547 DN (AMBAC Insurance, Morgan Stanley Group Liquidity Facility),
3.50%, 1/07/08(c)		2,784		2,783,500
Pennsylvania Higher Educational Facilities Authority RB PUTTERS Series 2006-1271 DN (JPMorgan Chase Bank Liquidity Facility),
3.50%, 1/07/08(b)(c)		4,870		4,870,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Municipal Trust Receipts Floaters Series 2006K-57 AMT DN (Lehman Liquidity Co. Liquidity Facility),
3.65%, 1/07/08(b)(c)		2,500		2,500,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Municipal Trust Receipts Floaters Series 2007-2158 AMT DN (Morgan Stanley Municipal Funding Liquidity Facility),
3.55%, 1/07/08(b)(c)		750		750,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB PUTTERS Series 2006-1592 AMT DN (JPMorgan Chase Bank Liquidity Facility),
3.54%, 1/07/08(b)(c)		4,945		4,945,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB PUTTERS Series 2007-1213B AMT DN (JPMorgan Chase & Co. Liquidity Facility),
3.54%, 1/07/08(b)(c)		1,600		1,600,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-83B AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.45%, 1/07/08(c)		2,020		2,020,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-83C AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.45%, 1/07/08(c)		1,400		1,400,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-85B AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.45%, 1/07/08(c)		3,300		3,300,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2004-85C AMT DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.45%, 1/07/08(c)		7,145		7,145,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2005-91B AMT DN (GO of Agency Insurance, DEPFA Bank Plc SBPA),
3.50%, 1/07/08(c)		11,500		11,500,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2006-92B AMT DN (Landesbank Hessen-Thueringen Girozentrale SBPA),
3.45%, 1/07/08(c)		17,270		17,270,000
Pennsylvania Housing Finance Agency Single Family Mortgage RB Series 2006C-95 AMT DN (Dexia Bank SBPA),
3.45%, 1/07/08(c)		8,000		8,000,000

20 DECEMBER 31, 2007

	Pennsylvania Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Pennsylvania (Continued)
Pennsylvania Public School Building Authority RB (Philadelphia School District Project) PUTTERS Series 2007-1970 DN (FSA Insurance, State Aid Withholding Insurance, JPMorgan Chase Bank Liquidity Facility),
3.54%, 1/07/08(b)(c)	$	2,130	$	2,130,000
Pennsylvania Turnpike Commission RB Munitops Trust Certificates Series 2004-9 DN (AMBAC Insurance, ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		12,435		12,435,000
Pennsylvania Turnpike Commission RB Series 2001S MB (FGIC Insurance),
5.50%, 1/07/08		1,250		1,259,103
Pennsylvania Turnpike Commission RB Series 2001U DN (Dexia Credit Local SBPA),
3.40%, 1/07/08(c)		6,800		6,800,000
Pennsylvania Turnpike Commission RB Series 2002A-1 DN (WestLB SBPA),
3.40%, 1/07/08(c)		7,225		7,225,000
Pennsylvania Turnpike Commission RB Series 2002B DN (Credit Locale de France LOC),
3.42%, 1/07/08(c)		440		440,000
Pennsylvania Turnpike Commission RB Series 2005B DN (FSA Insurance, JPMorgan Chase Bank SBPA),
3.40%, 1/07/08(c)		1,000		1,000,000
Philadelphia Airport RB Floaters Series 2007-2157 AMT DN (FSA Insurance, Morgan Stanley Municipal Funding Liquidity Facility),
3.53%, 1/07/08(b)(c)		1,700		1,700,000
Philadelphia Airport RB Series 2005B AMT DN (MBIA Insurance, JPMorgan Chase Bank SBPA),
3.60%, 1/07/08(c)		700		700,000
Philadelphia Airport RB Series 2005C AMT DN (MBIA Insurance, JPMorgan Chase Bank SBPA),
3.55%, 1/07/08(c)		8,700		8,700,000
Philadelphia Authority IDRB (Airport Project) Series 1998P-1 AMT DN (FGIC Insurance, Bank of America N.A. SBPA),
3.52%, 1/07/08(b)(c)		5,000		5,000,000
Philadelphia Authority IDRB (Gift of Life Donor Program Project) Series 2003 DN (Commerce Bank N.A. LOC),
3.45%, 1/07/08(c)		2,445		2,445,000
Philadelphia Authority IDRB (Greater Philadelphia Health System Project) Series 2003 DN (Commerce Bank N.A. Liquidity Facility),
3.45%, 1/07/08(c)		1,300		1,300,000
Philadelphia Authority IDRB (Settlement Music School Project) Series 2004 DN (Allied Irish Bank Plc),
3.37%, 1/07/08(c)		1,000		1,000,000
Philadelphia Authority IDRB (Universal Community Homes Project) Series 2003 DN (Wachovia Bank N.A. LOC),
3.55%, 1/07/08(c)		1,930		1,930,000
Philadelphia Gas Works RB Series 2006-6 DN (FSA Insurance, JPMorgan Chase Bank SBPA, Wachovia Bank N.A. SBPA, Bank of Nova Scotia SBPA),
3.42%, 1/07/08(c)		1,700		1,700,000
Philadelphia Hospitals & Higher Education Facilities Authority RB (Children’s Hospital Project) Series 2002B DN (Landesbank Hessen-Thuringen Girozentrale LOC, JPMorgan Chase & Co. SBPA),
3.75%, 1/02/08(c)		3,000		3,000,000
Philadelphia Hospitals & Higher Education Facilities Authority RB (Children’s Hospital Project) Series 2003A DN (Morgan Guaranty Trust LOC),
3.75%, 1/02/08(c)		200		200,000
Philadelphia Hospitals & Higher Education Facilities Authority RB (Philadelphia Protestant Home Project) Series 2002 DN (Bank of America N.A. LOC),
3.48%, 1/07/08(c)		1,700		1,700,000
Philadelphia Redevelopment Authority Multi-Family Housing RB Municipal Trust Receipts Floaters Series 2006G-1 AMT DN (The Goldman Sachs Group, Inc. Guaranty, The Goldman Sachs Group, Inc. SBPA),
3.51%, 1/07/08(b)(c)		20,395		20,395,000
Philadelphia School District GO Series 2007A TRAN (Bank of America N.A. LOC),
4.50%, 6/27/08		13,675		13,725,183
Philadelphia Water & Waste Water RB Municipal Trust Receipts Floaters Series 2007-1713 DN (AMBAC Insurance, Rabobank Liquidity Facility),
3.49%, 1/07/08(b)(c)		3,515		3,515,000
Philadelphia Water & Waste Water RB Series 1995 MB (MBIA Insurance),
6.25%, 8/01/08		1,000		1,015,312
Philadelphia Water & Waste Water RB Series 2003 DN (FSA Insurance, Dexia Credit Local SBPA),
3.46%, 1/07/08(c)		690		690,000
Philadelphia Water & Waste Water RB Series 2005B DN (FSA Insurance, DEFPA Bank Plc SBPA),
3.46%, 1/07/08(c)		500		500,000
Philadelphia Water RB Munitops Trust Certificates Series 2005-15 DN (FSA Insurance, ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(c)		5,395		5,395,000
Pocono Mountain School District GO Floaters Series 2007-1681 DN (FSA Insurance, State Aid Withholding Insurance, Morgan Stanley Municipal Funding Liquidity Facility),
3.50%, 1/07/08(b)(c)		3,334		3,334,000
Schuylkill County IDRB (KP-Tamaqua LP Project) Series 2007 AMT DN (Citizens Bank of Pennsylvania LOC),
3.52%, 1/07/08(c)		1,535		1,535,000
Shippensburg Borough Authority RB (Bethlehem School District Project) Series 2007 DN (FSA Insurance, Dexia Credit Local SBPA),
3.45%, 1/07/08(c)		5,600		5,600,000
Souderton School District GO (High School Completion Project) Series 2007 DN (Depfa Bank Plc),
3.45%, 1/07/08(c)		3,675		3,675,000
Southcentral General Authority RB (Homewood Hanover Project) Series 2003 DN (M&T Bank Corp. LOC),
3.47%, 1/07/08(c)		18,500		18,500,000
Southcentral General Authority RB (Wellspan Health Obligated Project) Series 2005A DN (AMBAC Insurance, Dexia Credit Local SBPA),
3.46%, 1/07/08(c)		2,025		2,025,000
Southcentral General Authority RB (Wellspan Health Obligated Project) Series 2005B DN (AMBAC Insurance, Dexia Credit Local SBPA),
3.46%, 1/07/08(c)		1,085		1,085,000

DECEMBER 31, 2007 21

	Pennsylvania Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Pennsylvania (Continued)
Southcentral General Authority RB (York Cerebral Palsy Home Project) Series 2000 DN (Fulton Bank LOC),
3.52%, 1/07/08(c)	$	3,300	$	3,300,000
St. Mary Hospital Authority Bucks County RB (Catholic Health Initiatives Project) Series 2004B DN (Landesbank Hessen-Thuringen Girozentrale SBPA),
3.35%, 1/07/08(c)		1,100		1,100,000
St. Mary Hospital Authority Bucks County RB (Catholic Health Initiatives Project) Series 2004C DN,
3.37%, 1/07/08(c)		6,550		6,550,000
State Public School Building Authority RB (Philadelphia School District Project) Munitops Trust Certificates Series 2003-24 DN (FSA Insurance, ABN-AMRO Bank N.V. SBPA),
3.48%, 1/07/08(b)(c)		2,145		2,145,000
State Public School Building Authority RB (Philadelphia School District Project) ROC-RR-II-R-11268 DN (FSA State Aid Withholding Insurance, Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		2,415		2,415,000
Stroudsburg Area School District GO Series 2007 TRAN,
4.50%, 6/30/08		1,333		1,336,931
Union County IDRB (Stabler Cos., Inc. Project) Series 2001 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		6,365		6,365,000
University of Pittsburgh of the Commonwealth Systems of Higher Education RB (University Capital Project) Series 2005A DN (DEPFA Bank Plc SBPA),
3.40%, 1/07/08(c)		5,600		5,600,000
University of Pittsburgh of the Commonwealth Systems of Higher Education RB (University Capital Project) Series 2006C DN (Lloyds TSB Bank Plc SBPA),
3.40%, 1/07/08(c)		800		800,000
University of Pittsburgh of the Commonwealth Systems of Higher Education RB (University Capital Project) Series 2007A DN,
3.40%, 1/07/08(c)		3,600		3,600,000
University of Pittsburgh of the Commonwealth Systems of Higher Education RB (University Capital Project) Series 2007A DN (Fortis Bank SBPA, Banco Bilbao Vizcaya Argentaria S.A. SBPA),
3.40%, 1/07/08(c)		2,000		2,000,000
Upper Merion General Authority Lease RB Series 2003 DN (Commerce Bank N.A. LOC),
3.45%, 1/07/08(c)		805		805,000
Upper Merion Municipal Utility Authority RB (Sewer Project) Series 2003 DN (Commerce Bank N.A. LOC),
3.45%, 1/07/08(c)		1,230		1,230,000
Upper St. Clair Township GO Munitops Trust Certificates Series 2002 DN (FSA Insurance, ABN-AMRO Bank N.V. SBPA),
3.48%, 1/07/08(b)(c)		2,640		2,640,000
Venango IDA GO (Scrubgrass Project) Series 2007 AMT TECP,
3.37%, 2/01/08-2/11/08		26,100		26,100,000
Washington County Authority RB (Girard Estate Refunding Project) Series 1999 DN (Chase Manhattan LOC),
3.43%, 1/07/08(c)		1,000		1,000,000
Washington County Authority RB (University of Pennsylvania Project) Series 2004 DN,
3.33%, 1/07/08(c)		1,500		1,500,000
Washington County IDRB (Pennatronics Corp. Project) Series 2001 AMT DN (National City Bank N.A. LOC),
3.59%, 1/07/08(c)		2,810		2,810,000
West Cornwall Township Municipal Authority RB (General Government Loan Program) Series 2003A DN (FSA Insurance, Dexia Credit Local SBPA),
3.45%, 1/07/08(c)		1,760		1,760,000
Westmoreland County IDRB (Industrial Development McCutcheon Enterprise Project) Series 1999 AMT DN (National City Bank N.A. LOC),
3.59%, 1/07/08(c)		1,535		1,535,000
Westmoreland County Municipal Authority RB Series 2003 MB (FGIC Insurance),
5.00%, 1/07/08		4,405		4,441,369
York County Hospital Authority RB (Homewood Retirement Centers of The United Church of Christ, Inc. Project) Series 1990 DN (M&T Bank Corp. LOC),
3.21%, 1/07/08(c)		4,050		4,050,000
York County IDRB (Allied-Signal, Inc. Project) Series 1993 DN,
3.70%, 1/07/08(c)		1,000		1,000,000
York County IDRB (Interstate Holdings Co. Project) Series 2003 AMT DN (Wachovia Bank N.A. Liquidity Facility),
3.60%, 1/07/08(c)		1,195		1,195,000
York County IDRB (Raich Family Ltd. Partner Project) Series 2000 AMT DN (M&T Bank Corp. LOC),
3.57%, 1/07/08(c)		2,000		2,000,000
York County IDRB (York Sheet Metal, Inc. Project) Series 1998 DN (Wachovia Bank N.A. LOC),
3.31%, 1/07/08(c)		2,165		2,165,000
York General Authority RB (Strand Capital Performing Arts Center Project) Series 2002 DN (M&T Bank Corp. LOC),
3.50%, 1/07/08(c)		5,560		5,560,000
				610,107,320
Puerto Rico — 2.0%
Commonwealth of Puerto Rico GO Series 2007 TRAN (Multiple LOCs),
4.25%, 7/30/08		7,500		7,536,014
Commonwealth of Puerto Rico Infrastructure Financing Authority RB MERLOTS Trust Receipts Series 2005A-21 DN (AMBAC Insurance, Bank of New York SBPA),
3.65%, 1/07/08(b)(c)		4,965		4,965,000
				12,501,014
TOTAL INVESTMENTS IN SECURITIES — 100.7%
(Cost $622,608,334(a))				622,608,334
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.7)%				(4,510,030	)
NET ASSETS — 100.0%			$	618,098,304

22 DECEMBER 31, 2007

	Pennsylvania Municipal Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

(a) Aggregate cost for federal income tax purposes.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 22.8% of its net assets, with a current market value of $141,047,500, in securities restricted as to resale.

(c) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

DECEMBER 31, 2007 23

	Virginia Municipal Money Market Portfolio
Schedule of Investments As of December 31, 2007 (Unaudited)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds — 98.0%
Puerto Rico — 12.5%
Commonwealth of Puerto Rico Aqueduct & Sewer Authority RB Series 2007R-1001CE DN (Citigroup Financial Products Liquidity Facility, Citigroup Global Markets Holdings, Inc. Guaranty),
3.50%, 1/07/08(b)(c)	$	1,500	$	1,500,000
Commonwealth of Puerto Rico GO Series 2007A-4 DN (FSA Insurance, Dexia Credit Local SBPA),
3.27%, 1/02/08(c)		2,900		2,900,000
Commonwealth of Puerto Rico GO Series 2007 TRAN (Multiple LOCs),
4.25%, 7/30/08		4,000		4,019,207
Puerto Rico Electric Power Authority RB Series 2007 SGB-69 DN (FSA Insurance, Societe General Group LOC),
3.55%, 1/02/08(c)		1,000		1,000,000
Puerto Rico Electric Power Authority RB Series 2007 SGC-19 DN (FSA Insurance, Societe General Group Liquidity Facility),
3.45%, 1/07/08(b)(c)		1,780		1,780,000
Puerto Rico Sales Tax Financing Corp. RB Municipal Trust Receipts Floaters Series 2007-2006-1991 DN (Morgan Stanley Municipal Funding Guaranty, Morgan Stanley Municipal Funding Liquidity Facility),
3.49%, 1/07/08(b)(c)		3,900		3,900,000
				15,099,207
Virginia — 85.5%
Albemarle County IDRB (Jefferson Scholars Foundation Project) Series 2007 DN (SunTrust Bank LOC),
3.44%, 1/07/08(c)		5,100		5,100,000
Alexandria IDRB (Goodwin House Project) Series 2005 DN (Wachovia Bank N.A. LOC),
3.67%, 1/02/08(c)		100		100,000
Alexandria IDRB (YMCA of Billings Project) Series 1998 DN (M&T Bank Corp. LOC),
3.24%, 1/07/08(c)		3,350		3,350,000
Arlington County IDRB (Woodbury Park Project) Series 2005A DN (Federal Home Loan Mortgage Liquidity Facility),
3.42%, 1/07/08(c)		3,270		3,270,000
Chesapeake Bay Bridge & Tunnel Commonwealth District RB MERLOTS Trust Receipts Series 2003 DN (MBIA Insurance, Wachovia Bank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		895		895,000
Clarke County IDA Hospital Facilities RB (Winchester Medical Center, Inc. Project) Series 2000 DN (FSA Insurance, Morgan Guaranty Trust SBPA),
3.45%, 1/07/08(c)		625		625,000
Fairfax County Economic Development Authority RB (National Industries for Severe Handicap Project) Series 2002 DN (SunTrust Bank LOC),
3.44%, 1/07/08(c)		450		450,000
Fairfax County Economic Development Authority RB (Smithsonian Institute Project) Series 2006A DN (Bank of America N.A. LOC),
3.38%, 1/07/08(c)		1,350		1,350,000
Fairfax County Economic Development Authority RB Munitops Trust Certificates (Route 28 Project) Series 2003 DN (MBIA Insurance, ABN-AMRO Bank SBPA),
3.49%, 1/07/08(c)		2,500		2,500,000
Fairfax County GO Series 2000A MB,
5.00%, 6/01/08		350		359,188
Fairfax County IDRB (Inova Health Systems Project) Series 2005A-1 DN,
3.45%, 1/07/08(c)		7,705		7,705,000
Fairfax County IDRB (Inova Health Systems Project) Series 2005A-2 DN,
3.45%, 1/07/08(c)		255		255,000
Fairfax County IDRB (Inova Health Systems Project) Series 2005C-1 DN,
3.45%, 1/07/08(c)		3,545		3,545,000
Fairfax County Redevelopment & Housing Authority RB Series 2007 BAN,
4.00%, 2/12/08		2,900		2,901,001
Farmville IDA Educational Facilities RB (Longwood Student Housing Projects) Series 2007 DN (Assured Guaranty Ltd., Bank of America N.A. SBPA),
3.48%, 1/07/08(c)		3,000		3,000,000
Hampton Redevelopment & Housing Authority RB (Multi-Family Housing Project) Series 1998 DN (Federal National Mortgage Assoc. Credit Support & LOC),
3.41%, 1/07/08(c)		400		400,000
Hampton Roads Regional Jail Authority Facilities RB Series 2004 ROC-RR-II-R-2156 MB (MBIA Insurance, Citibank N.A. Liquidity Facility),
3.70%, 1/03/08(b)		1,375		1,375,000
Lexington IDA Educational Facilities RB (VMI Development Board, Inc. Project) Series 2006 DN (Wachovia Bank N.A. LOC),
3.70%, 1/02/08(c)		1,200		1,200,000
Loudoun County GO (Public Improvement Project) Series 2002A MB,
5.00%, 5/01/08		850		853,661
Loudoun County IDRB (Hill School Project) Series 2002 DN (SunTrust Bank LOC),
3.44%, 1/07/08(c)		1,100		1,100,000
Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003A DN,
3.45%, 1/07/08(c)		1,300		1,300,000
Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003B DN,
3.45%, 1/07/08(c)		3,800		3,800,000
Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003D DN,
3.45%, 1/07/08(c)		900		900,000
Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003E DN,
3.45%, 1/02/08(c)		400		400,000
Loudoun County IDRB (Howard Hughes Medical Institute Project) Series 2003F DN,
3.45%, 1/07/08(c)		445		445,000
Louisa IDA PCRB (Virginia Electric & Power Co. Project) Series 1985 TECP,
3.75%, 1/11/08		1,100		1,100,000
Madison County IDRB (Woodberry Forest School Project) Series 2007 DN (SunTrust Bank LOC),
3.74%, 1/02/08(c)		300		300,000
Montgomery County IDRB (Virginia Technical Foundation Project) Series 2005 DN (Bank of America N.A. LOC),
3.80%, 1/02/08(c)		300		300,000

24 DECEMBER 31, 2007

	Virginia Municipal Money Market Portfolio
Schedule of Investments (continued)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Municipal Bonds (Continued)
Virginia (Continued)
Norfolk Redevelopment & Housing Authority RB (Harbor’s Edge Project) Series 2004B DN (HSH Nordbank AG LOC),
3.50%, 1/07/08(c)	$	3,700	$	3,700,000
Richmond IDRB (Diocese of Virginia Church School Project) Series 2005 DN (SunTrust Bank LOC),
3.80%, 1/02/08(c)		300		300,000
Richmond Public Utility RB Series 2007-1746 DN (FSA Insurance, Morgan Stanley Group LOC),
3.50%, 1/07/08(b)(c)		1,500		1,500,000
UBS Municipal Certificates RB UBS Municipal Certificates Floaters (Virginia Authority Project) Series 2007 DN (Bank of New York LOC),
3.50%, 1/07/08(b)(c)		2,700		2,700,000
University of Virginia GO Series 2003B TECP,
3.33%, 1/18/08		4,600		4,600,000
University of Virginia RB Munitops Trust Certificates Series 2005-48 DN (ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		3,500		3,500,000
Upper Occoquan Sewer Authority RB Municipal Trust Receipts Floaters Series 2007-2262 DN (Morgan Stanley Municipal Funding Liquidity Facility),
3.50%, 1/07/08(b)(c)		3,810		3,810,000
Upper Occoquan Sewer Authority RB Munitops Trust Certificates Series 2007-30 DN (ABN-AMRO Bank N.V. SBPA),
3.49%, 1/07/08(b)(c)		1,600		1,600,000
Upper Occoquan Sewer Authority RB Series 2007-123 DN (FSA Insurance, Bank of America N.A. Liquidity Facility),
3.50%, 1/07/08(c)		2,230		2,230,000
Virginia Beach Development Authority IDRB (Ocean Ranch Motel Corp. Project) Series 1998 DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(c)		700		700,000
Virginia Beach GO MERLOTS Trust Receipts Series 2007D-11 DN (Wachovia Bank N.A. LOC),
3.50%, 1/07/08(b)(c)		1,470		1,470,000
Virginia Biotechnology Research Partnership Authority RB (Virginia Blood Services Project) Series 2006 DN (SunTrust Bank LOC),
3.44%, 1/07/08(c)		600		600,000
Virginia College Building Authority Educational Facilities RB (21st Century College & Equipment Project) Series 2004A MB,
5.00%, 2/01/08		3,000		3,003,335
Virginia College Building Authority Educational Facilities RB (21st Century College & Equipment Project) Series 2005 MB,
5.00%, 2/01/08		550		550,605
Virginia College Building Authority Educational Facilities RB (21st Century College & Equipment Project) Series 2006B DN (Wachovia Bank N.A. SBPA),
3.72%, 1/02/08(c)		600		600,000
Virginia College Building Authority Educational Facilities RB (21st Century College & Equipment Project) Series 2006C DN (Wachovia Bank N.A. SBPA),
3.70%, 1/02/08(c)		1,450		1,450,000
Virginia College Building Authority Educational Facilities RB (Shenandoah University Project) Series 2006 DN (Branch Banking & Trust Co. LOC),
3.80%, 1/02/08(c)		2,500		2,500,000
Virginia College Building Authority Educational Facilities RB (University of Richmond Project) Series 2006 DN (SunTrust Bank SBPA),
3.80%, 1/02/08(c)		200		200,000
Virginia College Building Authority Educational Facilities RB PUTTERS Series 2007-1958 DN (JPMorgan Chase Bank Liquidity Facility),
3.51%, 1/07/08(b)(c)		1,100		1,100,000
Virginia College Building Authority Educational Facilities RB Series 2003-379 DN (JPMorgan Chase & Co. LOC),
3.51%, 1/07/08(c)		3,920		3,920,000
Virginia Commonwealth Transportation Board RB Series 2007-1807B DN (JPMorgan Chase & Co. LOC),
3.51%, 1/07/08(b)(c)		1,115		1,115,000
Virginia Commonwealth Transportation Board RB Series 2007 ROC-RR-II-R-10076 DN (Citibank N.A. Liquidity Facility),
3.50%, 1/07/08(b)(c)		1,200		1,200,000
Virginia Public Building Authority RB Series 2005D DN (Dexia Bank SBPA),
3.42%, 1/07/08(c)		2,200		2,200,000
Virginia Public School Authority RB (School Financing Project) Series 2003D MB (State Aid Withholding Guaranty),
5.00%, 2/01/08		475		475,513
Virginia Public School Authority RB (School Financing Project) Series 2004A MB (State Aid Withholding Insurance),
5.00%, 8/01/08		420		423,567
Virginia Public School Authority RB Series 2003 ROC-RR-II-R-4050 DN (Citigroup, Inc. Liquidity Facility),
3.50%, 1/07/08(c)		1,845		1,845,000
Virginia Resources Authority Clean Water RB Municipal Trust Receipts Floaters Series 2007-1860 DN (Wells Fargo Bank N.A. LOC),
3.45%, 1/07/08(b)(c)		3,600		3,600,000
Virginia Small Business Financing Authority RB (Children’s Hospital-Kings Project) Series 2006 DN (Wachovia Bank N.A. LOC),
3.43%, 1/07/08(c)		2,180		2,180,000
Winchester Authority Residential Care Facility IDRB (Westminster-Cantenbury Project) Series 2005B DN (Branch Banking & Trust Co. LOC),
3.45%, 1/07/08(c)		1,500		1,500,000
				103,451,870
TOTAL MARKET VALUE OF SECURITIES BEFORE AFFILIATED INVESTMENT — 98.0%
(Cost $118,551,077)				118,551,077

DECEMBER 31, 2007 25

	Virginia Municipal Money Market Portfolio
Schedule of Investments (concluded)	(Percentages shown are based on Net Assets)

	Par (000)		Value
Affiliated Investments — 1.5%
Virginia — 1.5%
Virginia Commonwealth University RB Series 2006A DN (AMBAC Insurance, Wachovia Bank N.A. Liquidity Facility),
3.63%, 1/02/08(c)
(Cost $1,900,000)	$	1,900	$	1,900,000
TOTAL INVESTMENTS IN SECURITIES — 99.5%
(Cost $120,451,077(a))				120,451,077
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%				546,934
NET ASSETS — 100.0%			$	120,998,011

(a) Aggregate cost for federal income tax purposes.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. As of December 31, 2007, the Portfolio held 25.7% of its net assets, with a current market value of $31,045,000, in securities restricted as to resale.

(c) Rate shown is the rate as of December 31, 2007 and maturities shown are the next interest readjustment date or the date the principal owed can be recovered through demand.

26 DECEMBER 31, 2007

Schedule of Investments Money Market Portfolios

	KEY TO INVESTMENT ABBREVIATIONS
AMBAC	American Municipal Bond Assurance Corp.
AMT	Alternative Minimum Tax (subject to)
BAN	Bond Anticipation Note
COP	Certificate of Participation
DN	Demand Note (Variable Rate)
FGIC	Financial Guaranty Insurance Co.
FSA	Financial Security Assurance
GO	General Obligation
HFA	Housing Finance Authority
IDA	Industrial Development Authority
IDRB	Industrial Development Revenue Bond
ISD	Independent School District
LOC	Letter of Credit
MB	Municipal Bond
MBIA	Municipal Bond Insurance Assoc.
MERLOTS	Municipal Exempt Receipt-Liquidity Optional Tender
PCRB	Pollution Control Revenue Bond
PUTTERS	Putable Tax-Exempt Receipt
RAN	Revenue Anticipation Note
RB	Revenue Bond
ROC	Reset Option Certificate
SBPA	Stand-by Bond Purchase Agreement
TAN	Tax Anticipation Note
TECP	Tax-Exempt Commercial Paper
TRAN	Tax & Revenue Anticipation Note

DECEMBER 31, 2007 27

Item 2 – Controls and Procedures

2	(a) –	The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
2	(b) –	There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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.

BlackRock Funds

By:	/s/ Donald C. Burke
	Donald C. Burke
	Chief Executive Officer (principal executive officer) of
	BlackRock Funds
Date:	February 21, 2008

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

By:	/s/ Donald C. Burke
	Donald C. Burke
	Chief Executive Officer (principal executive officer) of
	BlackRock Funds
Date:	February 21, 2008

By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	BlackRock Funds
Date:	February 21, 2008