N-Q 1 y14706nvq.txt N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-07674 --------- The Diversified Investors Funds Group ------------------------------------- (Exact name of registrant as specified in charter) Investment Company Act file number 811-07495 --------- The Diversified Investors Funds Group II ---------------------------------------- (Exact name of registrant as specified in charter) 4 Manhattanville Road, Purchase NY 10577 ---------------------------------- ----- (Address of principal executive offices) (Zip code) Joseph Carusone 4 Manhattanville Road, Purchase NY 10577 ---------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (914) 697-8586 -------------- Date of fiscal year end: December 31, 2005 ----------------- Date of reporting period: September 30, 2005 ------------------ Item 1. Schedule of Investments. The registrant's schedule of investments as set forth by Rule 12-12 of Regulation S-X follows. THE DIVERSIFIED INVESTORS FUNDS GROUP THE DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS QUARTERLY PORTFOLIOS SEPTEMBER 30, 2005 DIVERSIFIED INVESTORS MONEY MARKET FUND DIVERSIFIED INVESTORS HIGH QUALITY BOND FUND DIVERSIFIED INVESTORS INTERMEDIATE GOVERNMENT BOND FUND DIVERSIFIED INVESTORS CORE BOND FUND DIVERSIFIED INVESTORS TOTAL RETURN BOND FUND DIVERSIFIED INVESTORS BALANCED FUND DIVERSIFIED INVESTORS VALUE & INCOME FUND DIVERSIFIED INVESTORS VALUE FUND DIVERSIFIED INVESTORS GROWTH & INCOME FUND DIVERSIFIED INVESTORS EQUITY GROWTH FUND DIVERSIFIED INVESTORS MID-CAP VALUE FUND DIVERSIFIED INVESTORS MID-CAP GROWTH FUND DIVERSIFIED INVESTORS SMALL-CAP VALUE FUND DIVERSIFIED INVESTORS SPECIAL EQUITY FUND DIVERSIFIED INVESTORS SMALL-CAP GROWTH FUND DIVERSIFIED INVESTORS AGGRESSIVE EQUITY FUND DIVERSIFIED INVESTORS HIGH YIELD BOND FUND DIVERSIFIED INVESTORS INTERNATIONAL EQUITY FUND The above funds are fully invested in a corresponding series of Diversified Investors Portfolios which are located in this report. DIVERSIFIED INVESTORS STOCK INDEX FUND This fund is fully invested in Master Index Portfolio -- S&P 500 Index Master Portfolio which is located in this report. STEPHENS INTERMEDIATE BOND PORTFOLIO This fund's portfolio is located in this report. SHORT HORIZON STRATEGIC ALLOCATION FUND SHORT INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND INTERMEDIATE LONG HORIZON STRATEGIC ALLOCATION FUND LONG HORIZON STRATEGIC ALLOCATION FUND The above funds are "fund of funds" fully invested in various funds of the Diversified Investors Funds Group. DIVERSIFIED INVESTORS FUNDS GROUP STEPHENS INTERMEDIATE BOND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ----------- US TREASURY SECURITIES -- 55.2% US TREASURY NOTES $1,200,000 3.00%, 11/15/07............................................. $ 1,172,251 2,000,000 3.00%, 02/15/08............................................. 1,947,736 1,200,000 3.25%, 01/15/09............................................. 1,165,735 2,500,000 2.63%, 03/15/09............................................. 2,375,003 2,000,000 3.38%, 10/15/09............................................. 1,938,830 1,900,000 3.50%, 12/15/09............................................. 1,848,789 2,000,000 3.63%, 05/15/13............................................. 1,918,908 2,000,000 4.00%, 02/15/14............................................. 1,955,314 1,500,000 4.00%, 02/15/15............................................. 1,460,627 ----------- TOTAL US TREASURY SECURITIES (Cost $16,097,242)............. 15,783,193 ----------- US GOVERNMENT AGENCY SECURITIES -- 40.4% FANNIE MAE -- 21.5% 500,000 4.38%, 10/15/06............................................. 500,134 1,500,000 2.63%, 11/15/06............................................. 1,471,895 1,500,000 2.38%, 02/15/07............................................. 1,460,870 1,500,000 3.25%, 02/15/09............................................. 1,444,455 1,300,000 4.13%, 04/15/14............................................. 1,257,179 ----------- 6,134,533 ----------- FEDERAL HOME LOAN BANK -- 8.7% 2,400,000 Series P113, 5.13%, 05/24/13................................ 2,480,162 ----------- FREDDIE MAC -- 10.2% 1,500,000 2.75%, 03/15/08............................................. 1,445,457 1,500,000 3.63%, 09/15/08............................................. 1,468,440 ----------- 2,913,897 ----------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $11,573,663).... 11,528,592 ----------- Total Investments -- 95.6% (Cost $27,670,905)............... 27,311,785 Other assets less liabilities -- 4.4%....................... 1,265,560 ----------- NET ASSETS -- 100.0%........................................ $28,577,345 =========== The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $27,670,905. The following amount is based on cost for federal income tax purposes: Net unrealized depreciation................................. $ (359,120) ===========
See notes to portfolio of investments. 2 DIVERSIFIED INVESTORS FUNDS GROUP STEPHENS INTERMEDIATE BOND NOTES TO PORTFOLIO OF INVESTMENTS (UNAUDITED) 1. ORGANIZATION The Diversified Investors Funds Group (the "Trust"), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Stephens Intermediate Bond Fund (the "Fund"), was established on January 2, 1998. The Fund offers Stephens Institutional Class shares. The Fund, a series of the Trust, seeks to achieve its investment objective by investing in a broad range of fixed income securities, including debt securities of US and non-US government agencies and preferred stock and debt securities of US and non-US companies. 2. INVESTMENT VALUATION The bonds held by the Fund are valued at the mean of the last available bid and asked prices provided by an independent pricing service. 3 SHORT HORIZON STRATEGIC ALLOCATION FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ INVESTMENTS Diversified Investors Funds Group -- Core Bond Fund......... 7,103,311 $ 88,223,124 Diversified Investors Funds Group -- Equity Growth Fund..... 278,300 5,535,392 Diversified Investors Funds Group -- Growth & Income Fund... 116,700 2,349,176 Diversified Investors Funds Group -- High Quality Bond Fund........................................................ 4,077,892 46,487,966 Diversified Investors Funds Group -- High Yield Bond Fund... 1,665,951 15,709,917 Diversified Investors Funds Group -- International Equity Fund........................................................ 173,777 2,747,419 Diversified Investors Funds Group -- Mid-Cap Growth Fund.... 49,253 548,683 Diversified Investors Funds Group -- Mid-Cap Value Fund..... 48,583 709,799 Diversified Investors Funds Group -- Money Market Fund...... 266,305 2,834,209 Diversified Investors Funds Group -- Small-Cap Growth Fund........................................................ 25,755 377,563 Diversified Investors Funds Group -- Small-Cap Value Fund... 27,423 362,808 Diversified Investors Funds Group -- Special Equity Fund.... 14,196 376,345 Diversified Investors Funds Group -- Value & Income Fund.... 210,037 5,343,343 ------------ Total Investments -- 100.0% (Cost $171,147,694)............. 171,605,744 Liabilities less other assets -- (0.0%)..................... (28,312) ------------ NET ASSETS -- 100.0%........................................ $171,577,432 ============ The aggregate cost of investments for federal income tax purposes at September 30, 2005 is $171,147,694. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 4,310,946 Gross unrealized depreciation............................... (3,852,896) ------------ Net unrealized appreciation................................. $ 458,050 ============
See notes to portfolios of investments. 4 SHORT INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ INVESTMENTS Diversified Investors Funds Group -- Core Bond Fund......... 5,357,612 $ 66,541,538 Diversified Investors Funds Group -- Equity Growth Fund..... 761,933 15,154,845 Diversified Investors Funds Group -- Growth & Income Fund... 324,082 6,523,775 Diversified Investors Funds Group -- High Quality Bond Fund........................................................ 2,953,648 33,671,589 Diversified Investors Funds Group -- High Yield Bond Fund... 1,231,284 11,611,004 Diversified Investors Funds Group -- International Equity Fund........................................................ 511,323 8,084,021 Diversified Investors Funds Group -- Mid-Cap Growth Fund.... 139,202 1,550,705 Diversified Investors Funds Group -- Mid-Cap Value Fund..... 136,225 1,990,248 Diversified Investors Funds Group -- Money Market Fund...... 278,881 2,968,046 Diversified Investors Funds Group -- Small-Cap Growth Fund........................................................ 71,115 1,042,541 Diversified Investors Funds Group -- Small-Cap Value Fund... 78,877 1,043,549 Diversified Investors Funds Group -- Special Equity Fund.... 39,651 1,051,146 Diversified Investors Funds Group -- Value & Income Fund.... 595,892 15,159,484 ------------ Total Investments -- 100.0% (Cost $159,443,412)............. 166,392,491 Liabilities less other assets -- (0.0%)..................... (26,933) ------------ NET ASSETS -- 100.0%........................................ $166,365,558 ============ The aggregate cost of investments for federal income tax purposes at September 30, 2005 is $159,443,412. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 8,749,776 Gross unrealized depreciation............................... (1,800,697) ------------ Net unrealized appreciation................................. $ 6,949,079 ============
See notes to portfolios of investments. 5 INTERMEDIATE HORIZON STRATEGIC ALLOCATION FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ INVESTMENTS Diversified Investors Funds Group -- Core Bond Fund......... 14,914,483 $185,237,881 Diversified Investors Funds Group -- Equity Growth Fund..... 4,891,865 97,299,195 Diversified Investors Funds Group -- Growth & Income Fund... 2,058,768 41,443,005 Diversified Investors Funds Group -- High Quality Bond Fund........................................................ 8,129,853 92,680,327 Diversified Investors Funds Group -- High Yield Bond Fund... 3,402,968 32,089,986 Diversified Investors Funds Group -- International Equity Fund........................................................ 3,230,244 51,070,151 Diversified Investors Funds Group -- Mid-Cap Growth Fund.... 878,654 9,788,209 Diversified Investors Funds Group -- Mid-Cap Value Fund..... 863,410 12,614,416 Diversified Investors Funds Group -- Money Market Fund...... 877,059 9,334,279 Diversified Investors Funds Group -- Small-Cap Growth Fund........................................................ 442,753 6,490,765 Diversified Investors Funds Group -- Small-Cap Value Fund... 491,421 6,501,497 Diversified Investors Funds Group -- Special Equity Fund.... 245,854 6,517,584 Diversified Investors Funds Group -- Value & Income Fund.... 3,765,080 95,783,626 ------------ Total Investments -- 100.0% (Cost $595,860,320)............. 646,850,921 Liabilities less other assets -- (0.0%)..................... (106,637) ------------ NET ASSETS -- 100.0%........................................ $646,744,284 ============ The aggregate cost of investments for federal income tax purposes at September 30, 2005 is $595,860,320. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 56,977,112 Gross unrealized depreciation............................... (5,986,511) ------------ Net unrealized appreciation................................. $ 50,990,601 ============
See notes to portfolios of investments. 6 INTERMEDIATE LONG HORIZON STRATEGIC ALLOCATION FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ INVESTMENTS Diversified Investors Funds Group -- Core Bond Fund......... 7,801,664 $ 96,896,663 Diversified Investors Funds Group -- Equity Growth Fund..... 6,797,223 135,196,764 Diversified Investors Funds Group -- Growth & Income Fund... 2,868,557 57,744,057 Diversified Investors Funds Group -- High Quality Bond Fund........................................................ 4,808,836 54,820,725 Diversified Investors Funds Group -- High Yield Bond Fund... 2,058,232 19,409,124 Diversified Investors Funds Group -- International Equity Fund........................................................ 4,542,832 71,822,167 Diversified Investors Funds Group -- Mid-Cap Growth Fund.... 1,215,562 13,541,359 Diversified Investors Funds Group -- Mid-Cap Value Fund..... 1,202,508 17,568,639 Diversified Investors Funds Group -- Money Market Fund...... 1,420,699 15,120,069 Diversified Investors Funds Group -- Small-Cap Growth Fund........................................................ 616,979 9,044,917 Diversified Investors Funds Group -- Small-Cap Value Fund... 688,848 9,113,455 Diversified Investors Funds Group -- Special Equity Fund.... 342,580 9,081,785 Diversified Investors Funds Group -- Value & Income Fund.... 5,231,563 133,090,962 ------------ Total Investments -- 100.0% (Cost $576,199,622)............. 642,450,686 Liabilities less other assets -- (0.0%)..................... (104,552) ------------ NET ASSETS -- 100.0%........................................ $642,346,134 ============ The aggregate cost of investments for federal income tax purposes at September 30, 2005 is $576,199,622. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 70,521,568 Gross unrealized depreciation............................... (4,270,504) ------------ Net unrealized appreciation................................. $ 66,251,064 ============
See notes to portfolios of investments. 7 LONG HORIZON STRATEGIC ALLOCATION FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ INVESTMENTS Diversified Investors Funds Group -- Core Bond Fund......... 1,394,313 $ 17,317,365 Diversified Investors Funds Group -- Equity Growth Fund..... 5,423,622 107,875,847 Diversified Investors Funds Group -- Growth & Income Fund... 2,260,800 45,509,897 Diversified Investors Funds Group -- High Quality Bond Fund........................................................ 906,061 10,329,090 Diversified Investors Funds Group -- High Yield Bond Fund... 400,074 3,772,696 Diversified Investors Funds Group -- International Equity Fund........................................................ 3,379,792 53,434,512 Diversified Investors Funds Group -- Mid-Cap Growth Fund.... 965,835 10,759,402 Diversified Investors Funds Group -- Mid-Cap Value Fund..... 939,890 13,731,798 Diversified Investors Funds Group -- Money Market Fund...... 1,045,870 11,130,878 Diversified Investors Funds Group -- Small-Cap Growth Fund........................................................ 498,471 7,307,583 Diversified Investors Funds Group -- Small-Cap Value Fund... 530,535 7,018,976 Diversified Investors Funds Group -- Special Equity Fund.... 274,755 7,283,767 Diversified Investors Funds Group -- Value & Income Fund.... 4,092,363 104,109,717 ------------ Total Investments -- 100.0% (Cost $351,965,787)............. 399,581,528 Liabilities less other assets -- (0.0%)..................... (64,997) ------------ NET ASSETS -- 100.0%........................................ $399,516,531 ============ The aggregate cost of investments for federal income tax purposes at September 30, 2005 is $351,965,787. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............................... $ 48,324,903 Gross unrealized depreciation............................... (709,162) ------------ Net unrealized appreciation................................. $ 47,615,741 ============
See notes to portfolios of investments. 8 DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS NOTES TO PORTFOLIOS OF INVESTMENTS (UNAUDITED) 1. ORGANIZATION The Diversified Investors Funds Group II (the "Trust"), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust is composed of twenty-four different series that are, in effect, separate investment funds. Five of the series are doing business as the Diversified Investors Strategic Allocation Funds and are presented herein: Short Horizon Strategic Allocation Fund ("Short Horizon"), Short Intermediate Horizon Strategic Allocation Fund ("Short Intermediate Horizon"), Intermediate Horizon Strategic Allocation Fund ("Intermediate Horizon"), Intermediate Long Horizon Strategic Allocation Fund ("Intermediate Long Horizon"), and Long Horizon Strategic Allocation Fund ("Long Horizon") (individually a "Fund" and collectively, the "Funds"). The Trust established and designated Short Horizon, Intermediate Horizon, and Intermediate Long Horizon as separate series on April 15, 1996. Short Intermediate Horizon and Long Horizon were established and designated as separate series on May 1, 1998. Each Fund seeks to achieve its investment objective by investing all of its investable assets among the Diversified Investors Funds Group (the "Funds Group"). The Funds Group is an open-end management investment company registered under the 1940 Act (that has the same investment advisor as the Funds). 2. INVESTMENT VALUATION The value of any Fund's investment in a corresponding Fund of the Funds Group is valued at the net asset value per share of each Fund determined as of the close of business of the New York Stock Exchange (typically, 4:00 P.M. Eastern time) on the valuation date. 9 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ COMMERCIAL PAPER -- 32.0% $32,780,000 Bank of America Corp., 3.68%, 11/01/05.............. $ 32,676,124 33,220,000 Citigroup Funding, Inc., 3.86%, 12/22/05.............. 32,927,922 31,110,000 Credit Suisse First Boston New York, 3.68%, 11/09/05.............. 30,985,974 33,470,000 Deutsche Bank Financial LLC, 3.92%, 12/27/05.............. 33,152,766 35,650,000 HBOS Treasury Services PLC, 3.46%, 10/06/05.............. 35,632,893 33,240,000 Jupiter Securities Corp. -- 144A, 3.63%, 10/05/05.............. 33,226,593 34,570,000 Rabobank USA Financial Corp., 3.35%, 11/10/05.............. 34,441,515 32,780,000 Sheffield Receivables -- 144A, 3.64%, 10/03/05.............. 32,773,371 ------------ TOTAL COMMERCIAL PAPER (Cost $265,817,158)................ 265,817,158 ------------ YANKEE CERTIFICATES OF DEPOSIT -- 19.7% 31,110,000 BNP Paribas New York, 3.80%, 12/12/05.............. 31,110,000 33,920,000 Calyon New York, 3.50%, 10/13/05.............. 33,920,000 33,840,000 Dexia Credit Local SA, 3.49%, 10/11/05.............. 33,840,000 32,040,000 Royal Bank Of Canada, 3.82%, 12/13/05.............. 32,040,000 33,000,000 Societe Generale New York, 3.78%, 11/01/05.............. 33,000,000 ------------ TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $163,910,000)................ 163,910,000 ------------ DOMESTIC CERTIFICATE OF DEPOSIT -- 4.0% 33,220,000 Wachovia Bank NA, 3.76%, 11/01/05 (Cost $33,220,000)................. 33,220,000 ------------ MEDIUM TERM CORPORATE NOTES -- 1.6% 13,000,000 Caterpillar Financial Service Corp., Series MTN, Variable Rate, 3.67%, 07/09/06(a) (Cost $13,000,000)........... 13,000,000 ------------
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 8.3% FREDDIE MAC $21,140,000 3.67%, 01/10/06................ $ 20,922,631 33,580,000 3.80%, 07/12/06................ 33,580,000 14,100,000 Variable Rate, 3.51%, 10/07/05(a)........... 14,100,000 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $68,602,631)................. 68,602,631 ------------ SHORT TERM CORPORATE NOTES -- 15.8% 8,000,000 American Express Credit Company, Variable Rate, 3.76%, 04/05/06(a)........... 8,000,000 8,900,000 American Express Credit Company, Series MTNB, Variable Rate, 3.76%, 04/05/06(a)........... 8,907,745 33,400,000 Barclays Bank PLC New York, Variable Rate, 3.55%, 06/21/06(a)........... 33,397,237 33,400,000 HSBC Finance Corp. Series MTN, Variable Rate, 3.49%, 06/22/06(a)........... 33,421,121 14,000,000 Merrill Lynch & Company, Variable Rate, 3.77%, 02/10/06(a)........... 14,000,000 33,850,000 Morgan Stanley, Variable Rate, 3.67%, 02/03/06(a)........... 33,850,000 ------------ TOTAL SHORT TERM CORPORATE NOTES (Cost $131,576,103).......... 131,576,103 ------------ TOTAL SECURITIES (Cost $676,125,892)................ 676,125,892 ------------
See notes to portfolios of investments. 10 MONEY MARKET PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS -- 18.4% $41,940,000 With Barclays Bank, dated 09/30/05, 3.83%, due 10/03/05, repurchase proceeds at maturity $41,953,386 (Collateralized by Federal Home Loan Bank, 2.88%, due 08/15/06, with a total value of $42,875,699).............. $ 41,940,000 26,800,000 With Credit Suisse First Boston, dated 09/30/05, 3.80%, due 10/03/05, repurchase proceeds at maturity $26,808,487 (Collateralized by Freddie Mac Discount Note, zero coupon, due 03/28/06, with a value of $27,339,890)........ 26,800,000 6,691 With Investors Bank & Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $6,693 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.34%, due 03/01/32, with a value of $7,025)............. 6,691 41,940,000 With Morgan Stanley, dated 09/30/05, 3.80%, due 10/03/05, repurchase proceeds at maturity $41,953,281 (Collateralized by various Freddie Macs, 2.88% -- 5.00%, due 12/15/06-09/01/10, with a total value of $43,099,431)................. 41,940,000
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENTS (CONTINUED) $41,940,000 With UBS Securities LLC, dated 09/30/05, 3.83%, due 10/03/05, repurchase proceeds at maturity $41,953,386 (Collateralized by Fannie Mae, 5.25%, due 08/01/12, with a value of $19,680,205, and Freddie Mac, 6.25%, due 03/05/12 with a value of $23,099,834)................. $ 41,940,000 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $152,626,691).......... 152,626,691 ------------ Total Investments -- 99.8% (Cost $828,752,583).......... 828,752,583 Other assets less liabilities -- 0.2%.......... 1,577,038 ------------ NET ASSETS -- 100.0%........... $830,329,621 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $828,752,583. See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 11 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 73.0% AEROSPACE AND DEFENSE -- 0.6% $ 4,375,000 The Boeing Company, 8.10%, 11/15/06.............. $ 4,545,691 ------------ AUTOMOBILE: RENTAL -- 0.6% 4,700,000 General American Transportation Corp. (New York), 6.75%, 05/01/09.............. 4,922,282 ------------ BANKS -- 14.9% 1,000,000 Abbey National PLC, Series EMTN (United Kingdom), 6.69%, 10/17/05.............. 1,000,904 2,905,000 ABN AMRO Bank NV (Chicago), 7.13%, 06/18/07.............. 3,023,925 5,000,000 Amsouth Bank NA, Series BKNT, Floating Rate, 3.67%, 01/20/06(b)........... 5,001,620 1,000,000 Bank of America Corp., 6.20%, 02/15/06.............. 1,006,780 4,000,000 Bank of America Corp., 7.13%, 03/01/09.............. 4,297,616 3,000,000 Bank of Montreal-Chicago, 7.80%, 04/01/07.............. 3,135,198 4,600,000 Bank of Scotland -- 144A (United Kingdom), 3.50%, 11/30/07.............. 4,499,789 5,600,000 Bank One Corp., 2.63%, 06/30/08.............. 5,325,494 2,000,000 BankBoston NA, Series BKNT, 6.38%, 04/15/08.............. 2,081,948 2,000,000 HBOS Treasury Services PLC -- 144A (United Kingdom), 3.75%, 09/30/08.............. 1,953,930 1,000,000 HSBC Bank PLC (United Kingdom), 6.95%, 03/15/11.............. 1,122,360 2,650,000 Inter-American Development Bank, 8.40%, 09/01/09.............. 3,005,018 5,000,000 KFW International Finance, Series DTC, 5.25%, 06/28/06.............. 5,028,760 2,000,000 KFW International Finance, Series DTC, 4.75%, 01/24/07.............. 2,009,396 5,333,000 Midland Bank PLC (United Kingdom), 7.63%, 06/15/06.............. 5,444,662 4,090,909 National City Bank, Series BKNT, 2.70%, 08/24/09.............. 3,898,375 2,825,000 National City Bank, Series BKNT, 4.25%, 01/29/10.............. 2,776,602 1,000,000 National Westminster Bank (United Kingdom), 7.38%, 10/01/09.............. 1,099,493
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 6,115,000 Nordea Bank Finland PLC, New York Branch, 6.50%, 01/15/06.............. $ 6,159,786 5,000,000 SouthTrust Bank NA, Series BKNT, Floating Rate, 3.81%, 12/14/05(b)........... 4,998,770 4,000,000 SunTrust Banks, Inc., Series BKNT, Floating Rate, 3.53%, 10/03/05(b)........... 4,000,000 3,000,000 Svenska Handelsbanken (Sweden), 8.13%, 08/15/07.............. 3,184,479 3,000,000 Swiss Bank Corp., 7.25%, 09/01/06.............. 3,064,569 3,000,000 US Bank NA, Series BKNT, 4.13%, 03/17/08.............. 2,972,724 3,000,000 US Bank NA, Series BKNT, Floating Rate, 3.76%, 12/05/05(b)........... 2,999,685 6,300,000 US Central Credit Union, 2.75%, 05/30/08.............. 6,030,511 3,125,000 Wachovia Corp., 5.63%, 12/15/08.............. 3,224,613 7,000,000 Wachovia Corp., Floating Rate, 3.91%, 07/20/07(c)........... 7,011,206 3,166,000 Wells Fargo & Company, 6.88%, 04/01/06.............. 3,202,754 4,000,000 Wells Fargo & Company, Floating Rate, 3.96%, 09/15/06(b)........... 4,005,684 6,000,000 Wells Fargo & Company, Floating Rate, 4.06%, 09/28/07(b)........... 6,009,660 2,150,000 Wells Fargo & Company, Series MTN, Floating Rate, 3.87%, 03/10/08(b)(d)........ 2,151,509 1,000,000 Wells Fargo & Company, Series MTNH, 6.75%, 10/01/06.............. 1,020,507 ------------ 115,748,327 ------------ FINANCIAL SERVICES -- 7.6% 5,950,000 Capital One Bank, Series BKNT, 6.70%, 05/15/08.............. 6,221,671 2,050,000 Caterpillar Financial Services Corp., Series MTND, 9.50%, 02/06/07.............. 2,138,367 5,000,000 Citigroup, Inc., 3.50%, 02/01/08.............. 4,882,590 4,500,000 Citigroup, Inc., Floating Rate, 3.82%, 06/04/07(b)........... 4,502,327 3,570,000 General Electric Capital Corp., 8.30%, 09/20/09.............. 4,033,443 1,000,000 General Electric Capital Corp., Series MTNA, 8.70%, 03/01/07.............. 1,053,022
See notes to portfolios of investments. 12 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 8,000,000 Goldman Sachs Group, Inc., Series MTN1, Floating Rate, 3.69%, 01/09/07(b)........... $ 8,014,064 1,000,000 Heller Financial, Inc., 6.38%, 03/15/06.............. 1,009,306 2,250,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08.............. 2,363,285 5,000,000 Morgan Stanley, 3.88%, 01/15/09.............. 4,877,580 2,000,000 Morgan Stanley, Floating Rate, 3.79%, 07/27/07(b)........... 2,004,136 8,000,000 Residential Capital Corp. -- 144A, 6.38%, 06/30/10.............. 8,112,832 2,100,000 The Bear Stearns Companies, Inc., 3.25%, 03/25/09.............. 2,003,255 6,000,000 The Bear Stearns Companies, Inc., Floating Rate, 3.83%, 04/29/08(b)........... 6,015,048 2,181,810 Toyota Motor Credit Corp., Series MTN, 2.75%, 08/06/09.............. 2,099,368 ------------ 59,330,294 ------------ FOOD AND BEVERAGE -- 0.5% 4,000,000 General Mills, Inc., 5.13%, 02/15/07.............. 4,022,240 ------------ INSURANCE -- 1.4% 10,000,000 Met Life Global Funding I -- 144A, 4.25%, 07/30/09.............. 9,859,270 1,391,000 Principal Life Income Funding, 3.20%, 04/01/09.............. 1,329,942 ------------ 11,189,212 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.4% 3,000,000 Abbott Laboratories, 5.63%, 07/01/06.............. 3,029,145 ------------ PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 14.6% 6,500,000 AmeriCredit Automobile Receivables Trust, Series 2005-AX, Class A3, 3.63%, 01/06/10.............. 6,418,668 4,500,000 Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12.............. 4,428,192 3,000,000 Capital Auto Receivables Asset Trust, Series 2005-1, Class A4, 4.05%, 07/15/09.............. 2,978,554 505,874 Capital One Auto Finance Trust, Series 2003-A, Class A3A, 1.83%, 10/15/07.............. 504,558
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $ 4,000,000 Capital One Auto Finance Trust, Series 2005-A, Class A3, 4.28%, 07/15/09.............. $ 3,979,265 2,000,000 Capital One Auto Finance Trust, Series 2005-BSS, Class A3, 4.08%, 11/15/09.............. 1,981,662 3,500,000 Capital One Prime Auto Receivables Trust, Series 2004-3, Class A4, 3.69%, 06/15/10.............. 3,428,382 4,500,000 Carmax Auto Owner Trust, Series 2004-2, Class A4, 3.46%, 09/15/11.............. 4,383,516 3,100,000 Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10.............. 3,072,106 3,000,000 Chase Manhattan Auto Owner Trust, Series 2005-A, Class CTFS, 4.04%, 04/15/11.............. 2,958,282 747,667 Chevy Chase Auto Receivables Trust, Series 2001-2, Class A4, 4.44%, 04/16/07.............. 748,289 7,500,000 Fifth Third Auto Trust, Series 2004-A, Class A4, 3.70%, 10/20/11.............. 7,375,373 2,250,000 Ford Credit Auto Owner Trust, Series 2005-B, Class B, 4.64%, 04/15/10.............. 2,240,059 2,400,000 Ford Credit Auto Owner Trust, Series 2005-C, Class A3, 4.30%, 08/15/09.............. 2,389,200 3,600,000 Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10.............. 3,575,160 4,199,857 Franklin Auto Trust, Series 2003-1, Class A4, 2.27%, 05/20/11.............. 4,115,617 2,000,000 Franklin Auto Trust, Series 2004-1, Class A2, 3.57%, 03/16/09.............. 1,980,820 3,000,000 Harley-Davidson Motorcycle Trust, Series 2004-1, Class A2, 2.53%, 11/15/11.............. 2,909,148 558,217 Household Automotive Trust, Series 2003-1, Class A3, 1.73%, 12/17/07.............. 556,414 402,126 Hyundai Auto Receivables Trust, Series 2002-A, Class A3, 2.80%, 02/15/07.............. 401,797 3,500,000 Long Beach Auto Receivables Trust, Series 2005-B, Class A3, 4.40%, 05/15/10.............. 3,500,000
See notes to portfolios of investments. 13 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES (CONTINUED) $ 3,359,515 National City Auto Receivables Trust, Series 2004-A, Class A3, 2.11%, 07/15/08.............. $ 3,321,816 1,033,518 Onyx Acceptance Owner Trust, Series 2004-A, Class A3, 2.19%, 03/17/08.............. 1,027,054 3,250,000 Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11.............. 3,195,106 197,832 Provident Auto Lease ABS Trust, Series 1999-1, Class A2, 7.03%, 01/14/12.............. 197,832 2,634,291 Regions Auto Receivables Trust, Series 2003-2, Class A3, 2.31%, 01/15/08.............. 2,616,709 1,593,813 Ryder Vehicle Lease Trust, Series 2001-A, Class A5, 6.17%, 11/15/07.............. 1,606,594 5,600,000 Susquehanna Auto Lease Trust -- 144A, Series 2005-1, Class A3, 4.43%, 06/16/08.............. 5,588,626 2,442,790 Susquehanna Auto Lease Trust -- 144A, Series 2003-1, Class A3, 2.46%, 01/14/07.............. 2,423,928 4,008,804 Triad Auto Receivables Owner Trust, Series 2002-A, Class A4, 3.24%, 08/12/09.............. 3,979,880 5,959,100 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.27%, 10/22/07.............. 5,914,289 8,500,000 Wachovia Auto Owner Trust, Series 2004-A, Class A4, 3.66%, 07/20/10.............. 8,361,481 4,500,000 WFS Financial Owner Trust, Series 2004-1, Class A4, 2.81%, 08/22/11.............. 4,403,813 1,819,785 Whole Auto Loan Trust, Series 2003-1, Class A3B, 1.99%, 05/15/07.............. 1,808,216 5,000,000 World Omni Auto Receivables Trust, Series 2005-B, Class A4, Floating Rate, 3.66%, 09/20/12(c)........... 4,997,655 ------------ 113,368,061 ------------ PRIVATE ASSET BACKED: CREDIT CARDS -- 5.2% 1,625,000 Advanta Business Card Master Trust, Series 2000-C, Class B, Floating Rate, 4.50%, 04/20/08(c)........... 1,626,078 6,500,000 Chemical Master Credit Card Trust 1, Series 1996-2, Class A, 5.98%, 09/15/08.............. 6,535,650 5,000,000 Citibank Credit Card Issuance Trust, Series 2000-A3, Class A3, 6.88%, 11/16/09.............. 5,240,774
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: CREDIT CARDS (CONTINUED) $ 1,550,000 Discover Card Master Trust I, Series 2002-2, Class B, 5.45%, 10/15/09.............. $ 1,570,604 3,000,000 Fleet Credit Card Master Trust II, Series 2001-B, Class A, 5.60%, 12/15/08.............. 3,025,748 4,100,000 GE Credit Card Master Note Trust, Series 2005-3, Class A, 4.13%, 06/15/13.............. 4,017,078 1,700,000 Household Private Label Credit Card Master Note Trust I, Series 2002-2, Class A, Floating Rate, 3.94%, 01/18/11(c)........... 1,703,082 7,500,000 MBNA Credit Card Master Note Trust, Series 2005-A7, Class A7, 4.30%, 02/15/11.............. 7,455,468 6,000,000 Nordstrom Private Label Credit Card -- 144A, Series 2001-1A, Class A, 4.82%, 04/15/10.............. 6,022,394 500,000 Prime Credit Card Master Trust, Series 2000-1, Class A, 6.70%, 10/15/09.............. 502,054 3,034,000 Standard Credit Card Master Trust, Series 1994-2, Class A, 7.25%, 04/07/08.............. 3,079,966 ------------ 40,778,896 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 4.0% 1,046,479 Caterpillar Financial Asset Trust, Series 2003-A, Class A3, 1.66%, 12/26/07.............. 1,036,146 4,500,000 Caterpillar Financial Asset Trust, Series 2004-A, Class A3, 3.13%, 01/26/09.............. 4,447,006 3,357,709 Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18.............. 3,326,652 88,961 Distribution Financial Services Trust, Series 2001-1, Class A4, 5.67%, 01/17/17.............. 89,064 3,000,000 First National Master Note Trust, Series 2003-1, Class A, Floating Rate, 3.87%, 08/15/08(c)........... 3,003,332 994,977 Morgan Stanley Capital I, Series 2001-IQA, Class A2, 5.33%, 12/18/32.............. 1,000,570 1,543,806 Morgan Stanley Capital I, Series 2003-T11, Class A1, 3.26%, 06/13/41.............. 1,506,781
See notes to portfolios of investments. 14 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: FINANCIAL SERVICES (CONTINUED) $ 1,576,657 Morgan Stanley Capital I, Series 2004-T13, Class A1, 2.85%, 09/13/45.............. $ 1,522,716 7,270,501 Morgan Stanley Capital I, Series 2005-HQ5, Class A1, 4.52%, 01/14/42.............. 7,247,886 2,969,548 Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42.............. 2,967,248 412,564 Morgan Stanley Capital, Series 2001-TOP3, Class A1, 5.31%, 07/15/33.............. 413,445 1,312,550 PSE&G Transition Funding LLC, Series 2001-1, Class A3, 5.98%, 06/15/08.............. 1,322,868 3,157,909 Public Service New Hampshire Funding LLC, Series 2001-1, Class A2, 5.73%, 11/01/10.............. 3,203,742 ------------ 31,087,456 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 9.9% 2,351,705 Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A1, 3.37%, 07/11/43.............. 2,324,611 2,483,439 Banc of America Commercial Mortgage, Inc., Series 2003-2, Class A1, 3.41%, 03/11/41.............. 2,419,010 1,476,752 Bear Stearns Commercial Mortgage Securities, Inc., Series 1998-C1, Class A1, 6.34%, 06/16/30.............. 1,500,226 673,755 Bear Stearns Commercial Mortgage Securities, Inc., Series 1999-C1, Class A1, 5.91%, 02/14/31.............. 682,232 1,509,626 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16.............. 1,520,309 876,383 Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35.............. 859,717 1,760,548 Bear Stearns Commercial Mortgage Securities, Inc., Series 2004-PWR5, Class A1, 3.76%, 07/11/42.............. 1,723,446 2,000,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42.............. 1,987,500
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 2,258,110 Commercial Mortgage Pass-Through Certificates, Series 2004-LB2A, Class A1, 2.96%, 03/10/39.............. $ 2,183,187 5,000,000 Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CP4, Class A2, 5.87%, 12/15/35.............. 5,125,496 3,360,282 Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A1, 2.08%, 05/15/38.............. 3,231,222 3,257,717 Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C1, Class A1, 2.25%, 01/15/37.............. 3,166,143 805,060 GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38.............. 819,912 466,086 GE Capital Commercial Mortgage Corp., Series 2002-1, Class A1, 5.03%, 12/10/35.............. 468,023 3,614,725 GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A1, 4.23%, 12/10/37.............. 3,568,504 2,772,312 GE Capital Commercial Mortgage Corp., Series 2004-C3, Class A1, 3.75%, 07/10/39.............. 2,717,955 2,355,866 GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48.............. 2,327,137 2,200,000 GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25.............. 2,187,339 555,540 IMC Home Equity Loan Trust, Series 1997-3, Class A7, 7.08%, 08/20/28.............. 554,809 1,142,186 Interstar Millennium Trust, Series 2003-3G, Class A2 (Australia), Floating Rate, 4.22%, 09/27/35(b)........... 1,144,163 1,899,614 Interstar Millennium Trust, Series 2004-2G, Class A (Australia), Floating Rate, 4.06%, 03/14/36(b)........... 1,900,919 793,588 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34.............. 781,884 5,500,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4, Class A1, 4.61%, 10/15/42.............. 5,492,189 3,334,035 JP Morgan Mortgage Trust, Series 2005-A1, Class 5A1, 4.48%, 02/25/35.............. 3,267,921
See notes to portfolios of investments. 15 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 1,665,788 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A1, 2.72%, 03/15/27.............. $ 1,616,005 1,850,000 LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27.............. 1,795,808 2,650,758 LB-UBS Commercial Mortgage Trust, Series 2003-C3, Class A1, 2.60%, 05/15/27.............. 2,555,727 3,000,000 LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27.............. 2,906,610 1,859,691 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A1, 3.94%, 12/15/29.............. 1,830,643 991,233 LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A1, 4.74%, 09/15/40.............. 993,484 2,300,000 Permanent Financing PLC, Series 7, Class 2A (United Kingdom), Floating Rate, 3.87%, 09/10/14(b)........... 2,296,233 3,000,000 Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35.............. 2,969,180 3,400,000 Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI4, 4.26%, 06/25/29.............. 3,382,163 455,696 Vendee Mortgage Trust, Series 1996-1, Class 1K, 6.75%, 11/15/12.............. 455,628 4,136,817 Wachovia Bank Commercial Mortgage Trust, Series 2003-4, Class A1, 3.00%, 04/15/35.............. 4,022,812 ------------ 76,778,147 ------------ PRIVATE ASSET BACKED: OTHER -- 5.9% 1,573,554 Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, 4.00%, 07/25/33.............. 1,554,434 4,672,000 California Infrastructure PG&E Corp., Series 1997-1, Class A8, 6.48%, 12/26/09.............. 4,831,493 1,800,037 California Infrastructure SCE-1, Series 1997-1, Class A6, 6.38%, 09/25/08.............. 1,823,404 810,135 CIT Equipment Collateral, Series 2003-VT1, Class A3B, 1.63%, 04/20/07.............. 802,637 1,627,966 CIT Equipment Collateral, Series 2004-VT1, Class A3, 2.20%, 03/20/08.............. 1,605,365
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: OTHER (CONTINUED) $ 2,208,371 CIT RV Trust, Series 1998-A, Class A5, 6.12%, 11/15/13.............. $ 2,233,412 5,000,000 CNH Equipment Trust, Series 2004-A, Class A3B, 2.94%, 10/15/08.............. 4,910,460 4,594,805 Connecticut RRB Special Purpose Trust CL&P1, Series 2001-1, Class A3, 5.73%, 03/30/09.............. 4,646,465 2,119,509 Crusade Global Trust, Series 2004-2, Class A1 (Australia), Floating Rate, 3.94%, 11/19/37(b)........... 2,121,900 1,000,000 GE Dealer Floorplan Master Note Trust, Series 2004-1, Class B, Floating Rate, 4.06%, 07/20/08(c)........... 1,000,813 4,000,000 GE Dealer Floorplan Master Note Trust, Series 2004-2, Class A, Floating Rate, 3.88%, 07/20/09(c)........... 4,007,464 2,106,743 Illinois Power Special Purpose Trust, Series 1998-1, Class A6, 5.54%, 06/25/09.............. 2,129,277 6,250,000 Marlin Leasing Receivables LLC -- 144A, Series 2005-1A, Class A2, 4.49%, 01/15/08.............. 6,240,238 3,946,688 Nelnet Student Loan Corp., Series 2001-A, Class A1, 5.76%, 07/01/12.............. 4,034,348 1,573,917 PBG Equipment Trust, Series 1A, Class A, 6.27%, 01/20/12.............. 1,577,046 2,400,000 Providian Gateway Master Trust -- 144A, Series 2004-FA, Class A, 3.65%, 11/15/11.............. 2,352,751 ------------ 45,871,507 ------------ PRIVATE ASSET BACKED: RECEIVABLES -- 0.2% 1,792,755 Alter Moneta Receivables LLC -- 144A, Series 2003-1, 2.56%, 03/15/11.............. 1,780,669 ------------ PRIVATE ASSET BACKED: TRANSPORTATION -- 1.1% 2,150,000 E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18.............. 2,074,162 783,030 Railcar Leasing LLC -- 144A, Series 1, Class A1, 6.75%, 07/15/06.............. 790,512 5,000,000 Railcar Leasing LLC, Series 1, Class A2, 7.13%, 01/15/13.............. 5,351,976 ------------ 8,216,650 ------------
See notes to portfolios of investments. 16 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: UTILITIES -- 0.5% $ 3,991,739 PECO Energy Transition Trust, Series 1999-A, Class A6, 6.05%, 03/01/09.............. $ 4,051,576 ------------ SPECIAL PURPOSE ENTITY -- 1.0% 2,500,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09.............. 2,441,448 5,000,000 New York Life Global Funding -- 144A, Floating Rate, 3.90%, 02/26/07(b)........... 5,004,740 ------------ 7,446,188 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.3% 2,000,000 SBC Communications Capital Corp., Series MTND, 6.68%, 11/28/07.............. 2,066,808 ------------ TRANSPORTATION -- 1.7% 2,485,000 CSX Corp., 6.25%, 10/15/08.............. 2,587,387 10,000,000 Union Pacific Corp., 7.25%, 11/01/08.............. 10,650,240 ------------ 13,237,627 ------------ UTILITIES: ELECTRIC -- 2.6% 5,000,000 Alabama Power Company, Series G, 5.38%, 10/01/08.............. 5,102,275 3,000,000 Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09.............. 3,007,977 1,750,000 Metropolitan Edison Company, 4.45%, 03/15/10.............. 1,717,543 3,195,000 Northern States Power Company (Minnesota), 6.88%, 08/01/09.............. 3,421,535 5,200,000 Northern States Power Company (Wisconsin), 7.64%, 10/01/08.............. 5,613,530 1,275,000 Virginia Electric & Power, Series A, 5.38%, 02/01/07.............. 1,286,470 ------------ 20,149,330 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $577,201,315).......... 567,620,106 ------------ US TREASURY SECURITIES -- 4.3% US TREASURY NOTES 34,300,000 2.75%, 08/15/07(d) (Cost $33,652,168)........... 33,445,210 ------------ US GOVERNMENT AGENCY SECURITIES -- 18.7% FANNIE MAE -- 2.6% 1,141,613 PL# 254062, 6.00%, 10/01/11.... 1,175,899 2,249,395 PL# 254754, 4.50%, 05/01/10.... 2,237,732 3,304,810 PL# 254758, 4.50%, 06/01/13.... 3,267,308
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 1,663,557 PL# 254805, 5.00%, 06/01/13.... $ 1,670,656 3,318,915 PL# 254807, 5.00%, 07/01/13.... 3,333,078 827,742 PL# 323743, 5.00%, 04/01/14.... 828,061 503,293 PL# 429168, 6.00%, 05/01/13.... 517,953 422,936 PL# 50903, 6.00%, 09/01/08..... 432,247 541,194 PL# 50973, 6.00%, 01/01/09..... 553,109 507,473 PL# 517699, 6.00%, 07/01/14.... 522,338 1,689,176 PL# 545038, 6.00%, 09/01/14.... 1,738,432 3,272,598 PL# 555154, 5.50%, 12/01/22.... 3,295,015 352,255 PL# 609771, 6.00%, 09/01/08.... 361,969 ------------ 19,933,797 ------------ FEDERAL FARM CREDIT BANK -- 0.4% 3,500,000 2.50%, 11/15/05................ 3,494,054 ------------ FEDERAL HOME LOAN BANK -- 0.8% 6,173,964 Series 6T-9009, 3.84%, 11/25/09..................... 6,016,355 ------------ FREDDIE MAC GOLD -- 1.2% 200,533 PL# E00532, 6.50%, 02/01/13.... 207,186 346,473 PL# E00542, 6.50%, 04/01/13.... 358,059 902,550 PL# E00676, 5.50%, 06/01/14.... 917,265 1,258,448 PL# E89557, 5.50%, 04/01/17.... 1,277,735 5,287,094 PL# G40426, 5.50%, 03/01/11.... 5,359,467 1,164,796 PL# M90802, 4.00%, 03/01/08.... 1,148,719 ------------ 9,268,431 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.3% 2,112,522 PL# 436708, 5.75%, 12/15/22.... 2,159,170 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 12.8% 2,213,859 Fannie Mae -- ACES, Series 1998-M1, Class A2, 6.25%, 01/25/08.............. 2,266,397 1,240,888 Fannie Mae, Series 1993-234, Class PC, 5.50%, 12/25/08.............. 1,246,936 5,400,000 Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26.............. 5,286,310 2,300,000 Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27.............. 2,273,692 5,000,000 Fannie Mae, Series 2003-46, Class PQ, 3.00%, 06/25/19.............. 4,939,986 2,550,000 Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26.............. 2,447,658 2,944,575 Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33.............. 2,902,518
See notes to portfolios of investments. 17 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 1,500,000 Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25.............. $ 1,461,846 6,596,437 Fannie Mae, Series 2003-69, Class GJ, 3.50%, 12/25/31.............. 6,329,285 5,290,000 Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23.............. 5,189,679 3,523,027 Fannie Mae, Series 2004-21, Class QA, 4.00%, 11/25/17.............. 3,503,815 3,605,985 Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29.............. 3,502,032 6,700,000 Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16.............. 6,571,312 5,889,262 Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09.............. 5,797,054 3,053,262 Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09.............. 2,987,174 2,686,125 Freddie Mac, Series 2614, Class JA, 3.76%, 03/15/29.............. 2,602,927 7,492,669 Freddie Mac, Series 2625, Class JD, 3.25%, 07/15/17.............. 7,119,376 6,699,544 Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16.............. 6,342,749 7,760,196 Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17.............. 7,588,977 7,807,185 Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18.............. 7,447,381 5,826,303 Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16.............. 5,699,548 4,262,704 Freddie Mac, Series 2760, Class EA, 4.50%, 04/15/13.............. 4,257,634 2,503,060 Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17.............. 2,435,572 ------------ 100,199,858 ------------
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.6% $ 5,000,000 Student Loan Marketing Association Student Loan Trust -- 144A, Series 2003-4, Class A5B, 3.39%, 03/15/33.............. $ 4,860,375 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $148,245,310).......... 145,932,040 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 1.2% 5,000,000 Hydro Quebec, Series MTNB (Canada), 6.52%, 02/23/06.............. 5,043,900 4,000,000 Province of Ontario (Canada), 5.50%, 10/01/08.............. 4,131,116 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $9,208,755)............ 9,175,016 ------------ SECURITIES LENDING COLLATERAL -- 4.6% 36,081,000 Securities Lending Collateral Investment (Note 3) (Cost $36,081,000)........... 36,081,000 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 1.0% FEDERAL HOME LOAN BANK -- 0.5% 4,000,000 3.55%, 10/07/05................ 3,997,634 ------------ FREDDIE MAC -- 0.5% 4,000,000 3.66%, 10/18/05................ 3,993,096 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $7,990,730)............ 7,990,730 ------------ TOTAL SECURITIES (Cost $812,379,278).......... 800,244,102 ------------ REPURCHASE AGREEMENT -- 0.1% 808,345 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $808,569 (Collateralized by Government National Mortgage Association Adjustable Rate Mortgage, 4.13%, due 10/20/23, with a value of $848,762) (Cost $808,345).............. 808,345 ------------ Total Investments -- 102.9% (Cost $813,187,623).......... 801,052,447 Liabilities less other assets -- (2.9)%............. (22,333,352) ------------ NET ASSETS -- 100.0%........... $778,719,095 ============
See notes to portfolios of investments. 18 HIGH QUALITY BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED) The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $813,187,623. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $ 345,874 Gross unrealized depreciation.......... (12,481,050) ------------ Net unrealized depreciation............ $(12,135,176) ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 19 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 54.3% US TREASURY NOTES $13,316,000 3.50%, 05/31/07(d)............. $ 13,176,089 21,576,000 2.75%, 08/15/07(d)............. 21,038,305 14,647,000 3.38%, 02/15/08(d)............. 14,387,250 2,300,000 2.63%, 05/15/08................ 2,212,494 2,500,000 3.25%, 08/15/08................ 2,437,698 8,843,000 3.38%, 12/15/08................ 8,629,185 2,000,000 3.25%, 01/15/09(d)............. 1,942,892 46,828,000 3.00%, 02/15/09................ 45,079,302 3,945,000 3.13%, 04/15/09................ 3,808,006 2,200,000 3.63%, 07/15/09................ 2,156,431 2,000,000 3.38%, 10/15/09................ 1,938,830 2,000,000 3.50%, 12/15/09................ 1,946,094 2,000,000 3.63%, 01/15/10................ 1,954,454 2,000,000 4.00%, 03/15/10................ 1,982,814 2,500,000 4.00%, 04/15/10................ 2,478,028 5,836,000 3.88%, 07/15/10................ 5,749,149 22,288,000 4.00%, 02/15/15(d)............. 21,702,962 ------------ TOTAL US TREASURY SECURITIES (Cost $154,168,277).......... 152,619,983 ------------ US GOVERNMENT AGENCY SECURITIES -- 29.9% FANNIE MAE -- 24.3% 2,500,000 2.63%, 11/15/06................ 2,453,158 35,019,000 6.63%, 10/15/07................ 36,532,030 2,400,000 3.13%, 12/15/07................ 2,336,410 2,300,000 3.25%, 01/15/08................ 2,242,546 2,100,000 2.50%, 06/15/08................ 1,996,955 2,000,000 3.25%, 02/15/09................ 1,925,940 2,400,000 3.88%, 02/15/10................ 2,343,002 10,962,000 7.13%, 06/15/10................ 12,157,000 2,000,000 4.38%, 03/15/13................ 1,977,084 1,935,000 5.00%, 04/15/15................ 1,994,103 2,528,210 PL# 648688, 6.50%, 07/01/32.............. 2,630,240 ------------ 68,588,468 ------------ FEDERAL HOME LOAN BANK -- 2.0% 2,000,000 Series 363, 4.50%, 11/15/12.............. 1,988,940 2,000,000 Series 432, 4.50%, 09/16/13.............. 1,987,266 1,500,000 Series P113, 5.13%, 05/24/13.............. 1,550,102 ------------ 5,526,308 ------------ FREDDIE MAC -- 3.6% 1,100,000 1.88%, 02/15/06................ 1,091,217 2,100,000 2.75%, 03/15/08................ 2,023,640
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC (CONTINUED) $ 574,000 3.88%, 06/15/08................ $ 566,688 2,200,000 3.63%, 09/15/08................ 2,153,712 2,200,000 4.25%, 07/15/09................ 2,183,020 2,000,000 4.50%, 01/15/13................ 1,988,584 ------------ 10,006,861 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $84,543,663)........... 84,121,637 ------------ CORPORATE BONDS AND NOTES -- 13.4% PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 3.0% 676,000 Navistar Financial Corp. Owner Trust, Series 2005-A, Class A4, 4.43%, 01/15/14.............. 669,593 2,102,000 Onyx Acceptance Owner Trust, Series 2005-A, Class A4, 3.91%, 09/15/11.............. 2,066,496 2,105,000 Triad Auto Receivables Owner Trust, Series 2005-A, Class A4, 4.22%, 06/12/12.............. 2,081,452 1,327,000 Wells Fargo Financial Auto Owner Trust, Series 2005-A, Class A4, 4.28%, 05/15/12.............. 1,310,885 1,553,000 WFS Financial Owner Trust, Series 2004-4, Class A4, 3.44%, 05/17/12.............. 1,517,067 856,000 WFS Financial Owner Trust, Series 2005-3, Class A4, 4.39%, 05/17/13.............. 849,646 ------------ 8,495,139 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 1.6% 1,075,000 Chase Issuance Trust, Series 2005-A4, Class A4, 4.23%, 01/15/13.............. 1,067,781 1,822,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42.............. 1,788,616 1,660,000 Morgan Stanley Capital I, Series 2005-T17, Class A5, 4.78%, 12/13/41.............. 1,636,126 ------------ 4,492,523 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 6.2% 2,257,000 Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A2, 4.50%, 07/10/43.............. 2,220,927 1,773,000 Citigroup Commercial Mortgage Trust, Series 2005-C3, Class A2, 4.64%, 05/15/43.............. 1,757,913
See notes to portfolios of investments. 20 INTERMEDIATE GOVERNMENT BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 2,190,000 Commercial Mortgage Pass-Through Certificates, Series 2005-C6, Class A5A, 5.12%, 06/10/44.............. $ 2,208,709 1,639,000 Credit-Based Asset Servicing and Securities, Series 2005-CB3, Class AF2, 4.45%, 12/25/34.............. 1,619,095 1,336,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class A2, 4.48%, 07/10/39.............. 1,315,683 889,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class A2, 4.58%, 07/15/42.............. 878,458 2,291,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class A4A, 4.94%, 08/15/42.............. 2,273,794 1,295,000 Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A2, 4.56%, 05/12/43.............. 1,278,813 3,916,000 Wells Fargo Home Equity Trust, Series 2004-2, Class AI3, 3.97%, 09/25/24.............. 3,844,541 ------------ 17,397,933 ------------ PRIVATE ASSET BACKED: OTHER -- 2.0% 2,164,000 CNH Equipment Trust, Series 2004-A, Class A4B, 3.48%, 09/15/11.............. 2,104,154 1,156,000 Countrywide Asset-Backed Certificates, Series 2005-1, Class AF3, 4.58%, 07/25/35.............. 1,147,251 2,330,000 John Deere Owner Trust, Series 2005-A, Class A4, 4.16%, 05/15/12.............. 2,299,524 ------------ 5,550,929 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: UTILITIES -- 0.6% $ 1,571,000 PSE&G Transition Funding LLC, Series 2001-1, Class A8, 6.89%, 12/15/17.............. $ 1,816,556 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $38,151,048)........... 37,753,080 ------------ SECURITIES LENDING COLLATERAL -- 20.6% 57,763,624 Securities Lending Collateral Investment (Note 3) (Cost $57,763,624)................. 57,763,624 ------------ TOTAL SECURITIES (Cost $334,626,612)................ 332,258,324 ------------ REPURCHASE AGREEMENT -- 1.1% 3,003,276 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $3,004,107 (Collateralized by Small Business Administration, 6.52%, due 04/25/18, with a value of $3,153,440) (Cost $3,003,276).................. 3,003,276 ------------ Total Investments -- 119.3% (Cost $337,629,888).......... 335,261,600 Liabilities less other assets -- (19.3)%............ (54,350,215) ------------ NET ASSETS -- 100.0%........... $280,911,385 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $337,629,888. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $ 107,825 Gross unrealized depreciation........... (2,476,113) ----------- Net unrealized depreciation............. $(2,368,288) ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 21 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US TREASURY SECURITIES -- 28.1% US TREASURY BONDS -- 8.4% $ 13,125,000 10.38%, 11/15/12(d)......... $ 14,760,506 12,350,000 8.13%, 08/15/19(d).......... 16,864,987 16,090,000 8.50%, 02/15/20(d).......... 22,725,242 39,315,000 6.25%, 08/15/23(d).......... 47,022,903 3,350,000 6.00%, 02/15/26(d).......... 3,951,955 12,095,000 6.75%, 08/15/26(d).......... 15,505,705 3,280,000 6.13%, 11/15/27............. 3,958,681 7,995,000 5.50%, 08/15/28............. 8,985,636 27,270,000 5.38%, 02/15/31(d).......... 30,559,472 -------------- 164,335,087 -------------- US TREASURY NOTES -- 19.7% 55,065,000 3.13%, 01/31/07(d).......... 54,346,622 41,435,000 3.38%, 02/28/07............. 40,994,795 95,230,000 3.75%, 03/31/07(d)(e)....... 94,649,763 58,795,000 3.63%, 04/30/07............. 58,317,349 10,000,000 3.50%, 05/31/07(d).......... 9,894,930 10,240,000 3.63%, 06/30/07(d).......... 10,145,608 27,975,000 3.88%, 07/31/07(d)(e)....... 27,835,153 12,500,000 4.00%, 08/31/07............. 12,461,438 69,000,000 4.00%, 09/30/07............. 68,789,826 6,250,000 4.25%, 08/15/15............. 6,212,894 -------------- 383,648,378 -------------- TOTAL US TREASURY SECURITIES (Cost $551,251,780)....... 547,983,465 -------------- US GOVERNMENT AGENCY SECURITIES -- 35.7% FANNIE MAE -- 22.7% 3,800,000 2.35%, 04/29/06............. 3,759,754 2,760,000 1.75%, 06/16/06............. 2,712,189 13,850,000 4.00%, 10/16/06............. 13,797,467 25,850,000 2.71%, 01/30/07............. 25,306,271 14,090,000 2.35%, 04/05/07............. 13,680,840 6,800,000 5.13%, 05/27/15............. 6,733,890 441,835 PL# 252571, 7.00%, 07/01/29.................. 462,789 7,090 PL# 252716, 7.00%, 09/01/29.................. 7,427 1,542 PL# 253264, 7.00%, 05/01/30.................. 1,614 1,544 PL# 253346, 7.50%, 06/01/30.................. 1,635 20,663 PL# 253479, 7.00%, 10/01/30.................. 21,636 14,105 PL# 253698, 6.00%, 02/01/16.................. 14,518 51,472 PL# 253990, 7.00%, 09/01/16.................. 53,813 40,218 PL# 254008, 7.00%, 10/01/31.................. 42,113 512,022 PL# 254346, 6.50%, 06/01/32.................. 527,730 439,571 PL# 254406, 6.50%, 08/01/32.................. 453,056 1,913 PL# 259141, 7.50%, 12/01/30.................. 2,025 1,312,777 PL# 323842, 5.50%, 07/01/14.................. 1,334,378 74,632 PL# 323967, 7.00%, 10/01/29.................. 78,171
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 3,078,245 PL# 357327, 5.00%, 01/01/18.................. $ 3,074,484 7,347 PL# 492742, 7.00%, 05/01/29.................. 7,696 7,483 PL# 503916, 7.50%, 06/01/29.................. 7,928 4,059 PL# 508415, 7.00%, 08/01/29.................. 4,252 21,392 PL# 515946, 7.00%, 10/01/29.................. 22,407 542 PL# 524164, 7.00%, 11/01/29.................. 568 117,262 PL# 524657, 7.00%, 01/01/30.................. 122,780 34,757 PL# 526053, 7.00%, 12/01/29.................. 36,405 861 PL# 527717, 7.50%, 01/01/30.................. 912 8,888 PL# 528107, 7.00%, 02/01/30.................. 9,309 2,312 PL# 531092, 7.50%, 10/01/29.................. 2,450 17,200 PL# 531497, 7.00%, 02/01/30.................. 18,010 6,615 PL# 531735, 7.00%, 02/01/30.................. 6,926 1,939 PL# 533841, 7.50%, 12/01/30.................. 2,053 34,648 PL# 535030, 7.00%, 12/01/29.................. 36,291 54,738 PL# 535103, 7.00%, 01/01/15.................. 57,244 14,312 PL# 535159, 7.00%, 02/01/30.................. 14,991 63,067 PL# 535195, 7.00%, 03/01/30.................. 66,058 23,916 PL# 535277, 7.00%, 04/01/30.................. 25,050 680,101 PL# 535675, 7.00%, 01/01/16.................. 711,106 1,463 PL# 535722, 7.00%, 02/01/31.................. 1,532 10,174 PL# 535723, 7.00%, 02/01/31.................. 10,652 2,258 PL# 535811, 6.50%, 04/01/31.................. 2,329 161,382 PL# 535880, 7.00%, 02/01/31.................. 169,000 3,276 PL# 540211, 7.50%, 06/01/30.................. 3,468 6,086 PL# 542999, 7.50%, 08/01/30.................. 6,443 159,139 PL# 545194, 7.00%, 08/01/31.................. 166,637 52,936 PL# 545477, 7.00%, 03/01/32.................. 55,428 347,363 PL# 545759, 6.50%, 07/01/32.................. 358,019 1,337,354 PL# 545760, 6.50%, 07/01/32.................. 1,378,382 256,671 PL# 545762, 6.50%, 07/01/32.................. 264,545 51,792 PL# 545815, 7.00%, 07/01/32.................. 54,232 69,009 PL# 548822, 7.00%, 08/01/30.................. 72,256 51,555 PL# 549659, 7.00%, 02/01/16.................. 53,900 19,508 PL# 549962, 7.00%, 10/01/30.................. 20,426 52,176 PL# 549975, 7.00%, 10/01/30.................. 54,631 15,927 PL# 550440, 7.00%, 02/01/16.................. 16,652 655 PL# 550544, 7.50%, 09/01/30.................. 694 1,271 PL# 552603, 7.00%, 10/01/30.................. 1,331 79,412 PL# 554493, 7.00%, 10/01/30.................. 83,149 374,708 PL# 555114, 5.50%, 12/01/17.................. 380,467 48,786 PL# 555144, 7.00%, 10/01/32.................. 51,083 620,145 PL# 555254, 6.50%, 01/01/33.................. 639,505 351,046 PL# 555798, 6.50%, 05/01/33.................. 362,005 2,217 PL# 558362, 7.50%, 11/01/30.................. 2,347 722 PL# 558519, 7.50%, 11/01/30.................. 765
See notes to portfolios of investments. 22 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 11,578 PL# 559277, 7.00%, 10/01/30.................. $ 12,123 62,775 PL# 559313, 7.00%, 12/01/30.................. 65,729 2,394 PL# 559741, 7.50%, 01/01/31.................. 2,534 33,852 PL# 560384, 7.00%, 11/01/30.................. 35,445 1,481 PL# 560596, 7.50%, 01/01/31.................. 1,568 2,916 PL# 561678, 7.50%, 12/01/30.................. 3,087 1,521 PL# 564080, 7.50%, 12/01/30.................. 1,611 26,883 PL# 564183, 7.00%, 12/01/30.................. 28,148 2,426 PL# 564529, 7.50%, 12/01/30.................. 2,568 21,210 PL# 566658, 7.00%, 02/01/31.................. 22,209 59,053 PL# 574885, 6.00%, 05/01/16.................. 60,774 6,535 PL# 575285, 7.50%, 03/01/31.................. 6,918 11,307 PL# 577525, 6.00%, 05/01/16.................. 11,636 10,674 PL# 579161, 6.50%, 04/01/31.................. 11,008 216,120 PL# 579224, 6.00%, 04/01/16.................. 222,416 27,285 PL# 580179, 7.00%, 10/01/16.................. 28,526 716 PL# 580377, 7.50%, 04/01/31.................. 758 9,877 PL# 584811, 7.00%, 05/01/31.................. 10,342 213,713 PL# 585248, 7.00%, 06/01/31.................. 223,769 54,211 PL# 589395, 6.00%, 07/01/16.................. 55,791 1,158 PL# 589405, 7.50%, 06/01/31.................. 1,225 10,480 PL# 589893, 7.00%, 06/01/31.................. 10,974 4,775 PL# 592129, 7.50%, 06/01/31.................. 5,055 11,804 PL# 596895, 6.50%, 07/01/31.................. 12,173 134,396 PL# 596922, 6.00%, 08/01/16.................. 138,311 29,056 PL# 598125, 7.00%, 09/01/16.................. 30,378 57,051 PL# 600259, 6.00%, 08/01/16.................. 58,713 12,134 PL# 606551, 6.50%, 10/01/31.................. 12,512 6,196 PL# 606600, 7.00%, 10/01/31.................. 6,487 69,228 PL# 607386, 5.50%, 11/01/16.................. 70,310 22,802 PL# 610128, 7.00%, 10/01/31.................. 23,876 289,406 PL# 610579, 5.50%, 12/01/16.................. 293,931 39,290 PL# 611323, 7.00%, 10/01/16.................. 41,078 2,627,925 PL# 619054, 5.50%, 02/01/17.................. 2,668,316 8,157 PL# 622119, 6.50%, 01/01/32.................. 8,412 310,131 PL# 624035, 6.50%, 01/01/32.................. 322,739 16,351 PL# 629236, 6.50%, 02/01/32.................. 16,852 965,844 PL# 631321, 5.50%, 02/01/17.................. 980,689 76,470 PL# 631606, 5.50%, 03/01/17.................. 77,646 84,487 PL# 632269, 7.00%, 05/01/32.................. 88,468 11,096 PL# 634563, 6.50%, 03/01/32.................. 11,436 92,861 PL# 634949, 7.00%, 05/01/32.................. 97,232 418,015 PL# 635164, 6.50%, 08/01/32.................. 430,839 2,626 PL# 644932, 6.50%, 07/01/32.................. 2,706 6,814 PL# 647556, 7.00%, 01/01/30.................. 7,137 743,670 PL# 648795, 6.50%, 08/01/32.................. 766,484
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 228,649 PL# 650206, 5.50%, 01/01/18.................. $ 232,163 72,594 PL# 650291, 6.50%, 07/01/32.................. 74,821 16,319 PL# 650872, 7.00%, 07/01/32.................. 17,087 122,766 PL# 650891, 6.50%, 07/01/32.................. 126,532 327,605 PL# 651649, 6.50%, 08/01/32.................. 337,655 1,514,156 PL# 652127, 6.50%, 06/01/32.................. 1,560,607 3,825 PL# 663353, 6.50%, 09/01/32.................. 3,942 50,859 PL# 664188, 5.50%, 09/01/17.................. 51,641 96,903 PL# 664194, 5.50%, 09/01/17.................. 98,393 668,943 PL# 670402, 6.50%, 06/01/32.................. 689,465 267,037 PL# 675314, 5.50%, 12/01/17.................. 271,142 471,608 PL# 676800, 5.50%, 01/01/18.................. 478,856 612,722 PL# 679631, 5.50%, 02/01/18.................. 622,026 529,353 PL# 683199, 5.50%, 02/01/18.................. 537,391 1,128,471 PL# 694200, 4.50%, 05/01/18.................. 1,107,801 6,718 PL# 694372, 6.50%, 11/01/32.................. 6,924 121,435 PL# 695925, 5.50%, 05/01/18.................. 123,279 2,004,012 PL# 701161, 4.50%, 04/01/18.................. 1,966,496 676,403 PL# 711636, 4.50%, 05/01/18.................. 663,740 2,997,859 PL# 720317, 5.00%, 07/01/18.................. 2,992,971 12,902,919 PL# 725162, 6.00%, 02/01/34.................. 13,124,708 23,862,438 PL# 725206, 5.50%, 02/01/34.................. 23,880,958 17,336 PL# 725269, 5.50%, 03/01/19.................. 17,602 349,257 PL# 725407, 6.50%, 01/01/34.................. 360,160 490,296 PL# 725418, 6.50%, 05/01/34.................. 505,602 765,349 PL# 731682, 4.50%, 03/01/19.................. 750,232 6,439,615 PL# 735454, 5.50%, 11/01/18.................. 6,538,592 1,730,571 PL# 735611, 5.50%, 03/01/20.................. 1,757,170 224,273 PL# 738632, 5.00%, 11/01/18.................. 223,907 717,498 PL# 748257, 4.50%, 10/01/18.................. 704,066 10,663 PL# 748655, 6.50%, 09/01/33.................. 10,978 270,660 PL# 755813, 6.50%, 11/01/33.................. 278,665 177,072 PL# 757687, 5.50%, 07/01/34.................. 177,140 48,899 PL# 761808, 5.50%, 05/01/18.................. 49,651 685,889 PL# 766312, 5.50%, 03/01/19.................. 696,283 766,314 PL# 766419, 4.50%, 03/01/19.................. 751,177 337,702 PL# 768313, 5.50%, 01/01/19.................. 342,830 265,261 PL# 774338, 6.50%, 02/01/34.................. 273,106 283,745 PL# 789873, 6.50%, 09/01/34.................. 292,154 9,093,512 PL# 806549, Variable Rate, 4.58%, 01/01/35(a)........ 9,029,953 24,300,000 TBA, 4.50%, 10/01/20........ 23,798,813 57,700,000 TBA, 5.00%, 10/01/20........ 57,555,750 67,600,000 TBA, 5.50%, 10/01/20........ 68,592,908 3,800,000 TBA, 4.50%, 10/01/35........ 3,623,064 61,500,000 TBA, 5.00%, 10/01/35........ 60,212,313
See notes to portfolios of investments. 23 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 27,000,000 TBA, 5.50%, 10/01/35........ $ 26,991,576 23,400,000 TBA, 6.00%, 10/01/35........ 23,794,875 23,100,000 TBA, 6.50%, 10/01/35........ 23,778,563 -------------- 444,494,781 -------------- FREDDIE MAC GOLD -- 7.2% 177,188 PL# A16148, 6.00%, 11/01/33........... 180,354 290,174 PL# A32037, 5.00%, 03/01/35........... 284,152 554,166 PL# B10307, 4.50%, 10/01/18.................. 543,785 630,677 PL# B11431, 4.50%, 12/01/18.................. 618,864 61,665 PL# B13285, 4.50%, 04/01/19.................. 60,447 881,725 PL# B14218, 4.50%, 05/01/19.................. 864,310 1,254,234 PL# B14518, 4.50%, 01/01/20.................. 1,229,462 757,531 PL# B16484, 5.00%, 10/01/19.................. 756,053 1,928,016 PL# B17118, 4.50%, 11/01/19.................. 1,889,935 29,619 PL# B17892, 4.50%, 10/01/19.................. 29,064 190,340 PL# B18433, 4.50%, 05/01/20.................. 186,513 198,193 PL# B18493, 5.00%, 06/01/20.................. 197,800 509,200 PL# B18530, 5.00%, 06/01/20.................. 508,190 199,885 PL# B19022, 4.50%, 04/01/20.................. 195,865 964,639 PL# B19028, 4.50%, 03/01/20.................. 945,242 5,797,939 PL# B19043, 4.50%, 03/01/20.................. 5,681,355 329,134 PL# B19101, 4.50%, 04/01/20.................. 322,516 429,976 PL# B19108, 5.00%, 04/01/20.................. 429,124 687,168 PL# B19177, 4.50%, 05/01/20.................. 673,351 1,338,642 PL# B19187, 4.50%, 04/01/20.................. 1,311,725 221,573 PL# B19188, 4.50%, 05/01/20.................. 217,117 469,544 PL# B19238, 4.50%, 05/01/20.................. 460,103 765,209 PL# B19272, 4.50%, 05/01/20.................. 749,822 1,392,171 PL# C01271, 6.50%, 12/01/31.................. 1,434,418 4,041,297 PL# C57150, 6.00%, 05/01/31.................. 4,115,453 5,902 PL# C67653, 7.00%, 06/01/32.................. 6,169 74,884 PL# C67868, 7.00%, 06/01/32.................. 78,273 20,948 PL# C67999, 7.00%, 06/01/32.................. 21,896 174,289 PL# C68001, 7.00%, 06/01/32.................. 182,176 193,650 PL# C90229, 7.00%, 08/01/18.................. 203,303 30,784 PL# E00570, 6.00%, 09/01/13.................. 31,648 665,092 PL# E00592, 6.00%, 12/01/13.................. 683,756 31,207 PL# E00720, 6.00%, 07/01/14.................. 32,089 29,440 PL# E01007, 6.00%, 08/01/16.................. 30,269 96,822 PL# E01095, 6.00%, 01/01/17.................. 99,546 469,159 PL# E01488, 5.00%, 10/01/18.................. 468,402 547,648 PL# E01490, 5.00%, 11/01/18.................. 546,765 37,656 PL# E01638, 4.00%, 04/01/19.................. 36,198 45,179 PL# E69171, 6.00%, 02/01/13.................. 46,447
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 44,256 PL# E73319, 6.00%, 11/01/13.................. $ 45,497 51,912 PL# E73769, 6.00%, 12/01/13.................. 53,369 30,332 PL# E75990, 6.00%, 04/01/14.................. 31,189 39,666 PL# E76341, 6.00%, 04/01/14.................. 40,787 67,233 PL# E76730, 6.00%, 05/01/14.................. 69,133 50,535 PL# E76731, 6.00%, 05/01/14.................. 51,963 49,042 PL# E78995, 6.00%, 11/01/14.................. 50,427 335,882 PL# E84191, 6.00%, 07/01/16.................. 345,332 6,220 PL# E84758, 5.50%, 07/01/16.................. 6,317 27,585 PL# E85885, 6.00%, 11/01/16.................. 28,362 369,929 PL# E86502, 5.50%, 12/01/16.................. 375,690 6,037 PL# E86565, 5.50%, 12/01/16.................. 6,131 278,306 PL# E87961, 6.00%, 02/01/17.................. 286,136 574,228 PL# E88001, 6.00%, 02/01/17.................. 590,386 58,336 PL# E88452, 6.00%, 03/01/17.................. 59,978 381,737 PL# E88749, 6.00%, 03/01/17.................. 392,476 822,606 PL# E88789, 6.00%, 04/01/17.................. 845,754 206,206 PL# E88979, 5.50%, 04/01/17.................. 209,366 531,565 PL# E89282, 6.00%, 04/01/17.................. 546,523 881,158 PL# E89336, 6.00%, 05/01/17.................. 905,953 31,818 PL# E89653, 6.00%, 04/01/17.................. 32,714 630,278 PL# E89913, 6.00%, 05/01/17.................. 648,014 1,163,331 PL# E91644, 5.50%, 10/01/17.................. 1,181,160 300,761 PL# E91754, 5.50%, 10/01/17.................. 305,371 464,343 PL# E91774, 5.50%, 10/01/17.................. 471,459 194,689 PL# E91968, 5.50%, 10/01/17.................. 197,673 449,033 PL# E92113, 5.50%, 10/01/17.................. 455,915 30,953 PL# E95352, 4.50%, 04/01/18.................. 30,374 64,535 PL# E98821, 4.50%, 09/01/18.................. 63,326 2,100,385 PL# G01391, 7.00%, 04/01/32.................. 2,195,525 12,500,000 PL# G01912, 5.00%, 09/01/35.................. 12,240,624 24,177 PL# G11111, 6.00%, 04/01/16.................. 24,859 145,169 PL# G11394, 4.50%, 05/01/18.................. 142,450 8,947,002 PL# G11618, 4.50%, 05/01/18.................. 8,783,528 534,435 PL# G11639, 4.50%, 12/01/19.................. 523,879 3,972,647 PL# G11681, 5.00%, 04/01/20.................. 3,964,896 10,674,040 PL# G11720, 4.50%, 08/01/20.................. 10,463,214 16,800,000 PL# G11769, 5.00%, 10/01/20.................. 16,766,689 8,900,000 PL# G11777, 5.00%, 10/01/20.................. 8,882,354 242,875 PL# G18052, 4.50%, 05/01/20.................. 237,991 1,358,894 PL# G18065, 5.00%, 07/01/20.................. 1,356,200 4,073,178 PL# M80813, 4.00%, 04/01/10.................. 3,998,713 500,000 TBA, 4.50%, 10/01/20........ 489,688 3,800,000 TBA, 5.50%, 10/01/20........ 3,855,814 12,100,000 TBA, 5.00%, 10/01/35........ 11,842,875
See notes to portfolios of investments. 24 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) FREDDIE MAC GOLD (CONTINUED) $ 20,100,000 TBA, 5.50%, 10/01/35........ $ 20,106,270 700,000 TBA, 6.00%, 10/01/35........ 712,250 -------------- 141,266,551 -------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 1.1% 186,866 PL# 3173, 6.50%, 12/20/31... 193,609 1,992 PL# 434615, 7.00%, 11/15/29.................. 2,096 247,610 PL# 435071, 7.00%, 03/15/31.................. 260,498 59,318 PL# 462559, 7.00%, 02/15/28.................. 62,467 27,440 PL# 493966, 7.00%, 06/15/29.................. 28,882 104,386 PL# 494742, 7.00%, 04/15/29.................. 109,868 1,829 PL# 530260, 7.00%, 02/15/31.................. 1,924 237,215 PL# 531025, 6.00%, 04/15/32.................. 243,100 1,185 PL# 538271, 7.00%, 11/15/31.................. 1,247 117,223 PL# 538312, 6.00%, 02/15/32.................. 120,131 238,519 PL# 543989, 7.00%, 03/15/31.................. 250,933 1,406 PL# 547545, 7.00%, 04/15/31.................. 1,479 533,218 PL# 550985, 7.00%, 10/15/31.................. 560,969 586 PL# 551549, 7.00%, 07/15/31.................. 616 65,353 PL# 552413, 7.00%, 02/15/32.................. 68,748 148,594 PL# 554808, 6.00%, 05/15/31.................. 152,294 121,578 PL# 555360, 6.00%, 06/15/31.................. 124,605 152,501 PL# 555733, 6.00%, 03/15/32.................. 156,284 1,266 PL# 557664, 7.00%, 08/15/31.................. 1,332 84,059 PL# 557678, 7.00%, 08/15/31.................. 88,434 6,477 PL# 561050, 7.00%, 05/15/31.................. 6,814 1,186 PL# 561996, 7.00%, 07/15/31.................. 1,248 17,064 PL# 563346, 7.00%, 09/15/31.................. 17,953 101,965 PL# 563599, 7.00%, 06/15/32.................. 107,262 197,034 PL# 564086, 7.00%, 07/15/31.................. 207,289 56,608 PL# 564300, 6.00%, 08/15/31.................. 58,018 12,231 PL# 564706, 7.00%, 07/15/31.................. 12,867 120,637 PL# 565808, 6.00%, 11/15/31.................. 123,641 270,459 PL# 567622, 6.00%, 04/15/32.................. 277,169 75,113 PL# 567668, 6.00%, 05/15/32.................. 76,977 123,633 PL# 569567, 7.00%, 01/15/32.................. 130,057 115,374 PL# 570517, 6.00%, 01/15/32.................. 118,236 40,556 PL# 572821, 6.00%, 12/15/31.................. 41,566 117,650 PL# 574873, 6.00%, 12/15/31.................. 120,579 95,469 PL# 575906, 6.00%, 01/15/32.................. 97,837 35,836 PL# 576323, 6.00%, 12/15/31.................. 36,728 1,675 PL# 579377, 7.00%, 04/15/32.................. 1,762 439,499 PL# 581015, 7.00%, 02/15/32.................. 462,335 130,330 PL# 581070, 6.00%, 02/15/32.................. 133,564 33,848 PL# 581084, 7.00%, 02/15/32.................. 35,606 127,084 PL# 582956, 7.00%, 02/15/32.................. 133,687
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED) $ 415,758 PL# 587122, 7.00%, 06/15/32.................. $ 437,359 12,700 PL# 587494, 7.00%, 06/15/32.................. 13,360 980 PL# 589696, 7.00%, 05/15/32.................. 1,031 117,432 PL# 592030, 6.00%, 02/15/32.................. 120,346 9,079 PL# 593823, 6.00%, 10/15/32.................. 9,304 187,733 PL# 596818, 6.00%, 12/15/32.................. 192,390 316,315 PL# 598205, 6.00%, 05/15/33.................. 324,158 171,334 PL# 598459, 6.00%, 11/15/32.................. 175,585 99,613 PL# 603498, 6.00%, 03/15/33.................. 102,083 25,334 PL# 780802, 6.50%, 05/15/28.................. 26,429 45,455 PL# 781113, 7.00%, 11/15/29.................. 47,842 245,661 PL# 781148, 6.00%, 07/15/29.................. 252,063 135,425 PL# 781276, 6.50%, 04/15/31.................. 141,154 40,849 PL# 781287, 7.00%, 05/15/31.................. 42,983 65,412 PL# 781324, 7.00%, 07/15/31.................. 68,821 351,761 PL# 781328, 7.00%, 09/15/31.................. 370,143 231,183 PL# 781330, 6.00%, 09/15/31.................. 237,177 70,473 PL# 781496, 6.50%, 09/15/32.................. 73,380 101,446 PL# 781548, 7.00%, 11/15/32.................. 106,731 63,832 PL# 781584, 7.00%, 05/15/32.................. 67,159 3,765,956 PL# 781690, 6.00%, 12/15/33.................. 3,859,369 9,208,848 PL# 80916, 3.75%, 05/20/34.................. 9,031,938 700,000 TBA, 6.00%, 10/01/35........ 717,062 -------------- 21,048,578 -------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 4.3% 3,142,282 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29........... 3,137,731 8,456,387 Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18........... 8,443,716 5,050,000 Fannie Mae, Series 2004-101, Class AR, 5.50%, 01/25/35........... 5,129,140 6,587,836 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34........... 6,571,498 8,397,733 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34........... 8,492,428 7,476,580 Fannie Mae, Series 2005-51, Class TA, 5.50%, 12/25/33........... 7,518,282 5,970,252 Fannie Mae, Series 2005-57, Class PA, 5.50%, 05/25/27........... 6,038,641 286,526 Fannie Mae, Series 2005-70, Class NA, 5.50%, 08/25/35........... 290,788
See notes to portfolios of investments. 25 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- US GOVERNMENT AGENCY SECURITIES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 11,661,909 Fannie Mae, Series 2005-80, Class PB, 5.50%, 04/25/30........... $ 11,823,486 6,145,154 Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15........... 6,259,727 4,543,314 Freddie Mac, Series 2877, Class PA, 5.50%, 07/15/33........... 4,599,439 7,993,590 Freddie Mac, Series 2927, Class BA, 5.50%, 10/15/33........... 8,115,809 7,001,490 Freddie Mac, Series 2996, Class MK, 5.50%, 06/15/35........... 7,119,000 -------------- 83,539,685 -------------- PRIVATE ASSET BACKED: US GOVERNMENT AGENCIES -- 0.3% 2,966,105 Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/01/12........... 3,027,139 2,539,017 Small Business Administration, Series 2004-P10A, 4.50%, 02/10/14........... 2,530,851 -------------- 5,557,990 -------------- RESOLUTION FUNDING STRIPS -- 0.1% 1,200,000 Zero coupon, 07/15/18....... 654,679 1,200,000 Zero coupon, 10/15/18....... 646,144 -------------- 1,300,823 -------------- TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $701,925,686)....... 697,208,408 -------------- CORPORATE BONDS AND NOTES -- 38.3% AEROSPACE AND DEFENSE -- 0.5% 320,000 B/E Aerospace, 8.50%, 10/01/10........... 350,400 1,545,000 Lockheed Martin Corp., 8.50%, 12/01/29........... 2,138,050 545,000 Lockheed Martin Corp., 7.20%, 05/01/36........... 671,442 2,390,000 Northrop Grumman Corp., 4.08%, 11/16/06........... 2,378,229 35,000 Northrop Grumman Corp., 7.13%, 02/15/11........... 38,723 940,000 Northrop Grumman Corp., 7.75%, 02/15/31........... 1,217,819
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) AEROSPACE AND DEFENSE (CONTINUED) $ 4,790,000 RC Trust I, 7.00%, 05/15/06........... $ 2,438,412 675,000 United Technologies Corp., 8.88%, 11/15/19........... 924,100 -------------- 10,157,175 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.1% 765,000 Daimler Chrysler AG Corp., 7.45%, 03/01/27........... 834,734 280,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08........... 273,606 130,000 Navistar International Corp., 6.25%, 03/01/12........... 124,150 -------------- 1,232,490 -------------- BANKS -- 5.3% 730,000 Bank of America Corp., 3.88%, 01/15/08........... 719,658 1,425,000 Bank of America Corp., 3.25%, 08/15/08........... 1,375,494 2,000,000 Bank of America Corp., 3.38%, 02/17/09........... 1,923,558 4,960,000 Bank of America Corp., 4.50%, 08/01/10........... 4,914,398 1,250,000 Bank of Scotland -- 144A (United Kingdom), 3.50%, 11/30/07........... 1,222,769 2,000,000 BankBoston NA, Series BKNT, 6.38%, 03/25/08........... 2,077,330 330,000 Barclays Bank PLC (United Kingdom), Variable Rate, 6.28%, perpetual(a)....... 325,050 660,000 Barclays Bank PLC -- 144A (United Kingdom), Variable Rate, 6.86%, perpetual(a)....... 735,653 9,000,000 Depfa ACS Bank -- 144A (Ireland), 4.25%, 08/16/10........... 8,852,219 3,850,000 Deutsche Bank AG New York, Series YCD, Variable Rate, 3.84%, 03/15/07(a)........ 3,828,906 2,850,000 HBOS Treasury Services PLC -- 144A (United Kingdom), 3.75%, 09/30/08........... 2,784,350 11,400,000 HSBC Bank USA NA, Series CD, 3.87%, 06/07/07........... 11,295,279 3,550,000 HSBC Bank USA, Series BKNT, 3.88%, 09/15/09........... 3,451,303 1,155,000 Huntington National Bank, Series BKNT, 2.75%, 10/16/06........... 1,134,159
See notes to portfolios of investments. 26 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 2,600,000 JP Morgan Chase & Company, 5.35%, 03/01/07........... $ 2,630,875 475,000 JP Morgan Chase & Company, 5.25%, 05/30/07........... 480,773 1,495,000 JP Morgan Chase & Company, 3.63%, 05/01/08........... 1,460,570 2,100,000 JP Morgan Chase & Company, 5.75%, 10/15/08........... 2,159,285 1,100,000 JP Morgan Chase & Company, 7.00%, 11/15/09........... 1,190,734 835,000 National City Bank, 3.38%, 10/15/07........... 821,181 1,135,000 RBS Capital Trust I, Variable Rate, 4.71%, perpetual(a)....... 1,096,765 1,200,000 Royal Bank of Scotland Group PLC (United Kingdom), Variable Rate, 7.65%, perpetual(a)....... 1,463,369 2,475,000 Sumitomo Mitsui Banking -- 144A (Japan), Variable Rate, 5.63%, perpetual(a)....... 2,467,771 2,990,000 SunTrust Banks, Inc., 3.63%, 10/15/07........... 2,932,676 2,000,000 SunTrust Banks, Inc., 4.00%, 10/15/08........... 1,961,902 1,535,000 SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09........... 1,521,259 2,275,000 Swedish Export Credit (Sweden), 2.88%, 01/26/07........... 2,230,001 2,150,000 The Bank of New York Company, Inc., Series BKNT, 3.80%, 02/01/08........... 2,113,687 980,000 UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual(a)....... 1,136,466 490,000 US Bancorp, Series MTNN, 3.95%, 08/23/07........... 485,035 3,040,000 US Bank NA, 2.40%, 03/12/07........... 2,952,491 6,725,000 US Bank NA, Series BKNT, 4.40%, 08/15/08........... 6,693,291 3,405,000 VTB Capital SA -- 144A (Luxembourg), 6.25%, 07/02/35........... 3,553,969 5,175,000 Wachovia Bank NA, Series BKNT, 4.38%, 08/15/08........... 5,149,606 2,340,000 Wachovia Corp., 6.30%, 04/15/08........... 2,439,314 5,295,000 Wells Fargo & Company, 4.00%, 08/15/08........... 5,217,459
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 500,000 Wells Fargo & Company, 3.13%, 04/01/09........... $ 476,247 2,760,000 Wells Fargo & Company, 4.20%, 01/15/10........... 2,708,275 4,090,000 Wells Fargo & Company, 4.63%, 08/09/10........... 4,073,988 -------------- 104,057,115 -------------- BROADCAST SERVICES/MEDIA -- 1.2% 3,444,000 Comcast Cable Communications Holdings, 8.38%, 03/15/13........... 4,080,640 250,000 Comcast Cable Communications, Inc., 6.38%, 01/30/06........... 251,657 1,800,000 Comcast Cable Communications, Inc., 6.75%, 01/30/11........... 1,937,635 450,000 Comcast Corp., 7.05%, 03/15/33........... 502,435 1,045,000 Comcast Corp., 5.65%, 06/15/35........... 980,206 2,020,000 Continental Cablevision, 8.30%, 05/15/06........... 2,066,614 465,000 Cox Communications, Inc., 7.75%, 11/01/10........... 515,098 130,000 CSC Holdings, Inc., 7.88%, 02/15/18........... 124,800 445,000 DIRECTV Holdings LLC/ DIRECTV Financing Company, Inc. -- 144A, 6.38%, 06/15/15........... 443,888 1,070,000 News America Holdings, 7.63%, 11/30/28........... 1,233,700 1,275,000 News America, Inc., 7.30%, 04/30/28........... 1,419,503 545,000 News America, Inc., 7.28%, 06/30/28........... 605,989 865,000 News America, Inc., 6.20%, 12/15/34........... 869,222 650,000 TCI Communications, Inc., 7.88%, 02/15/26........... 777,847 1,675,000 TCI Communications, Inc., 7.13%, 02/15/28........... 1,868,551 1,910,000 Time Warner, Inc., 7.57%, 02/01/24........... 2,186,155 2,760,000 Time Warner, Inc., 6.95%, 01/15/28........... 2,999,397 775,000 Time Warner, Inc., 7.70%, 05/01/32........... 920,387 -------------- 23,783,724 --------------
See notes to portfolios of investments. 27 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) COMPUTER SOFTWARE AND SERVICES -- 0.0% $ 285,000 SunGard Data Systems, Inc. -- 144A, 9.13%, 08/15/13........... $ 296,756 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.1% 765,000 K Hovnanian Enterprises -- 144A, 6.25%, 01/15/16........... 716,153 335,000 Lennar Corp. -- 144A, 5.60%, 05/31/15........... 328,788 425,000 Pulte Homes, Inc., 6.00%, 02/15/35........... 386,716 -------------- 1,431,657 -------------- CONTAINERS AND PACKAGING -- 0.0% 160,000 Crown European Holdings SA (France), 9.50%, 03/01/11........... 176,000 630,000 Crown European Holdings SA (France), 10.88%, 03/01/13.......... 733,950 -------------- 909,950 -------------- ELECTRONICS -- 0.0% 200,000 L-3 Communications Corp. -- 144A, 6.38%, 10/15/15........... 202,500 -------------- FINANCIAL SERVICES -- 6.1% 390,000 American Real Estate Partners, LP/Financing, 8.13%, 06/01/12........... 411,450 225,000 American Real Estate Partners, LP/Financing -- 144A, 7.13%, 02/15/13........... 226,125 255,000 BCP US Crystal Holdings Corp., 9.63%, 06/15/14........... 284,963 9,050,000 Citigroup, Inc., 3.50%, 02/01/08........... 8,837,488 14,330,000 Citigroup, Inc., 3.63%, 02/09/09........... 13,894,769 820,000 Citigroup, Inc., 6.20%, 03/15/09........... 860,225 8,000,000 Citigroup, Inc., 4.13%, 02/22/10........... 7,819,352 900,000 Citigroup, Inc., 5.85%, 12/11/34........... 944,759 8,225,000 Eksportfinans ASA, Series MTN (Norway), 3.38%, 01/15/08........... 8,043,096 1,585,000 General Electric Capital Corp., 4.13%, 03/04/08........... 1,570,497 1,220,000 General Electric Capital Corp., 6.50%, 09/28/15(s)........ 823,451
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 2,000,000 General Electric Capital Corp., Series MTNA, 6.50%, 12/10/07........... $ 2,079,620 21,875,000 General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09........... 21,485,756 30,250,000 General Electric Capital Corp., Series MTNA, Variable Rate, 3.45%, 01/15/08(a)........ 29,975,722 450,000 HSBC Finance Corp., 7.20%, 07/15/06........... 459,129 2,925,000 HSBC Finance Corp., 6.50%, 11/15/08........... 3,073,640 1,583,000 Lehman Brothers Holdings, Inc., 7.00%, 02/01/08........... 1,662,702 350,000 Nationwide Building Society -- 144A (United Kingdom), 2.63%, 01/30/07........... 341,519 4,000,000 Nationwide Building Society -- 144A (United Kingdom), 3.50%, 07/31/07........... 3,924,332 355,000 Nationwide Building Society -- 144A (United Kingdom), 4.25%, 02/01/10........... 347,914 1,600,000 Prudential Financial, Inc., Series MTNC, 5.40%, 06/13/35........... 1,530,419 1,700,000 SLM Corp., Series MTNA, 5.63%, 04/10/07........... 1,726,804 545,000 SLM Corp., Series MTNA, 3.63%, 03/17/08........... 533,023 1,000,000 The Bear Stearns Companies, Inc., 2.88%, 07/02/08........... 955,366 2,475,000 TIAA Global Markets -- 144A, 3.88%, 01/22/08........... 2,434,321 1,955,000 USAA Capital Corp., Series MTNB, 4.00%, 12/10/07........... 1,932,402 -------------- 116,178,844 -------------- FOOD AND BEVERAGE -- 0.0% 485,000 Smithfield Foods, Inc, 7.00%, 08/01/11........... 497,125 -------------- FUNERAL SERVICES -- 0.0% 515,000 Service Corp. International, 7.70%, 04/15/09........... 543,325 --------------
See notes to portfolios of investments. 28 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) INSURANCE -- 0.9% $ 2,775,000 Allstate Financial Global Funding -- 144A, 6.15%, 02/01/06(f)........ $ 2,791,444 1,775,000 ASIF Global Financial XXIII -- 144A, 3.90%, 10/22/08........... 1,732,334 2,000,000 Berkshire Hathaway Finance Corp., 3.40%, 07/02/07........... 1,959,692 2,850,000 Berkshire Hathaway Finance Corp., 3.38%, 10/15/08........... 2,753,183 2,815,000 Berkshire Hathaway Finance Corp., 4.13%, 01/15/10........... 2,759,280 2,085,000 Liberty Mutual Group -- 144A, 6.50%, 03/15/35........... 1,939,730 1,395,000 Marsh & McLennan Companies, Inc., 5.75%, 09/15/15........... 1,382,989 1,280,000 MetLife, Inc., 5.70%, 06/15/35........... 1,276,954 1,145,000 Protective Life Secured Trust, Series MTN, 3.70%, 11/24/08........... 1,120,364 -------------- 17,715,970 -------------- LEISURE AND RECREATION -- 0.1% 290,000 K2, Inc., 7.38%, 07/01/14........... 291,450 450,000 Mashantucket West Pequot -- 144A, 5.91%, 09/01/21........... 453,752 1,235,000 MGM MIRAGE, 6.00%, 10/01/09........... 1,225,738 325,000 Mohegan Tribal Gaming Authority, 6.13%, 02/15/13........... 325,000 185,000 Wynn Las Vegas LLC/Capital Corp., 6.63%, 12/01/14........... 177,831 -------------- 2,473,771 -------------- MANUFACTURING -- 0.0% 395,000 Briggs & Stratton Corp., 8.88%, 03/15/11........... 454,250 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 0.2% 525,000 HCA, Inc., 5.50%, 12/01/09........... 516,845 2,075,000 WellPoint, Inc., 6.38%, 06/15/06........... 2,101,788 1,300,000 WellPoint, Inc., 5.95%, 12/15/34........... 1,360,112 -------------- 3,978,745 --------------
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) METALS AND MINING -- 0.2% $ 85,000 International Steel Group, 6.50%, 04/15/14........... $ 84,575 1,999,000 Ispat Inland ULC (Canada), 9.75%, 04/01/14........... 2,328,835 1,425,000 Teck Cominco, Ltd. (Canada), 6.13%, 10/01/35........... 1,402,124 145,000 TriMas Corp., 9.88%, 06/15/12........... 119,625 -------------- 3,935,159 -------------- OIL AND GAS: PIPELINES -- 0.3% 50,000 ANR Pipeline Company, 9.63%, 11/01/21........... 61,852 10,000 ANR Pipeline Company, 7.38%, 02/15/24........... 10,361 1,425,000 Consolidated Natural Gas, Series A, 5.00%, 03/01/14........... 1,410,208 1,020,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13.......... 1,142,400 15,000 El Paso CGP Company, 7.42%, 02/15/37........... 13,875 365,000 El Paso Natural Gas, 8.63%, 01/15/22........... 419,244 15,000 El Paso Natural Gas, 8.38%, 06/15/32........... 17,113 25,000 El Paso Natural Gas, Series A, 7.63%, 08/01/10........... 26,119 910,000 Northwest Pipeline Corp., 8.13%, 03/01/10........... 975,975 935,000 Transcontinental Gas Pipe Line Corp., Series B, 8.88%, 07/15/12........... 1,095,119 480,000 Williams Companies, Inc., 7.63%, 07/15/19........... 522,000 225,000 Williams Companies, Inc., 7.75%, 06/15/31........... 244,688 -------------- 5,938,954 -------------- OIL, COAL AND GAS -- 0.6% 875,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31........... 1,079,441 1,005,000 Chesapeake Energy Corp., 6.25%, 01/15/18........... 989,925 1,600,000 Devon Financing Corp. ULC, 7.88%, 09/30/31........... 2,021,158 700,000 EnCana Corp. (Canada), 6.50%, 08/15/34........... 788,061 2,600,000 Enterprise Products Operating LP, 4.95%, 06/01/10........... 2,557,982 1,225,000 Enterprise Products Operating LP, Series B, 4.00%, 10/15/07........... 1,201,079
See notes to portfolios of investments. 29 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 200,000 KCS Energy, Inc. -- 144A, 7.13%, 04/01/12........... $ 206,000 1,790,000 Petro-Canada (Canada), 5.95%, 05/15/35........... 1,796,328 200,000 Suncor Energy, Inc. (Canada), 5.95%, 12/01/34........... 214,383 -------------- 10,854,357 -------------- PAPER AND FOREST PRODUCTS -- 0.0% 270,000 Abitibi-Consolidated, Inc. (Canada), 8.38%, 04/01/15(d)........ 266,625 140,000 Georgia-Pacific Corp., 8.00%, 01/15/24........... 155,050 -------------- 421,675 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.1% 170,000 Bio-Rad Laboratories, Inc., 7.50%, 08/15/13........... 180,625 530,000 Bio-Rad Laboratories, Inc., 6.13%, 12/15/14........... 516,750 1,100,000 Bristol-Myers Squibb, 6.88%, 08/01/97........... 1,271,157 -------------- 1,968,532 -------------- PRIVATE ASSET BACKED: AUTOMOBILES/MOTOR VEHICLES -- 2.6% 16,200,000 Daimler Chrysler Auto Trust, Series 2005-B, Class A3, 4.04%, 09/08/09........... 16,088,772 20,900,000 Ford Credit Auto Owner Trust, Series 2005-A, Class A3, 3.48%, 11/15/08........... 20,671,120 13,200,000 Ford Credit Auto Owner Trust, Series 2005-B, Class A3, 4.17%, 01/15/09........... 13,138,524 -------------- 49,898,416 -------------- PRIVATE ASSET BACKED: BANKS -- 0.2% 4,661,345 Bank of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19........... 4,626,385 -------------- PRIVATE ASSET BACKED: CREDIT CARDS -- 3.4% 14,000,000 American Express Credit Account Master Trust, Series 2005-3, Class A, Floating Rate, 3.77%, 01/18/11(c)........ 14,010,366 12,075,000 Chase Issuance Trust, Series 2004-A9, Class A9, 3.22%, 06/15/10........... 11,782,498
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: CREDIT CARDS (CONTINUED) $ 14,950,000 Citibank Credit Card Issuance Trust, Series 2004-A1, Class A1, 2.55%, 01/20/09........... $ 14,591,035 14,850,000 Citibank Credit Card Issuance Trust, Series 2004-A4, Class A4, 3.20%, 08/24/09........... 14,500,897 11,500,000 MBNA Credit Card Master Note Trust, Series 2003-A6, Class A6, 2.75%, 10/15/10........... 11,003,079 -------------- 65,887,875 -------------- PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 2.6% 2,805,000 Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36........... 2,792,460 11,200,000 Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 08/10/42........... 10,994,782 4,181,105 Morgan Stanley Capital I, Series 1998-WF1, Class A2, 6.55%, 03/15/30........... 4,319,165 2,980,000 Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31........... 3,125,252 15,075,000 SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate, 3.52%, 01/25/18(b)........ 15,124,192 14,200,000 SLM Student Loan Trust, Series 2005-6, Class A5B, Floating Rate, 3.67%, 07/27/26(c)........ 14,210,424 -------------- 50,566,275 -------------- PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 10.1% 9,300,000 Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36........... 9,971,703 1,526,223 Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35........... 1,556,028 9,075,000 Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41........... 8,851,740 3,475,000 Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32........... 3,816,978
See notes to portfolios of investments. 30 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 9,834,855 Commercial Mortgage Acceptance Corp., Series 1998-C2, Class A2, 6.03%, 09/15/30........... $ 10,068,986 9,574,011 Countrywide Asset-Backed Certificates, Series 2004-13, Class AV4, Floating Rate, 4.12%, 06/25/35(c)........ 9,588,969 14,650,000 Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A1, Floating Rate, 3.95%, 02/25/36(c)........ 14,650,001 4,875,000 DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33........... 5,327,148 10,380,000 GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35........... 11,113,360 6,150,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33........... 6,556,670 7,528,721 GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36........... 8,054,358 8,700,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39........... 8,540,269 11,231,980 GSR Mortgage Loan Trust, Series 2003-13, Class 1A1, 4.51%, 10/25/33........... 10,931,221 10,490,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35........... 10,993,388 6,650,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35........... 7,137,671 9,475,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33........... 10,082,149 9,350,000 JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37........... 9,256,531 7,425,000 LB Commercial Conduit Mortgage Trust, Series 1998-C4, Class A1B, 6.21%, 10/15/35........... 7,696,042
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 6,900,000 LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25........... $ 7,692,231 6,830,000 LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26........... 7,513,404 7,395,000 LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27........... 7,285,595 9,100,000 LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29........... 8,921,417 9,099,504 Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11........... 9,804,653 -------------- 195,410,512 -------------- PRIVATE ASSET BACKED: OTHER -- 0.3% 5,670,890 Structured Asset Securities Corp. -- 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31........... 5,181,032 -------------- PRIVATE ASSET BACKED: UTILITIES -- 0.5% 8,000,000 Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10........... 8,852,685 -------------- REAL ESTATE -- 0.1% 1,252,000 EOP Operating LP, 7.50%, 04/19/29........... 1,452,956 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.3% 910,000 AvalonBay Communities, Series MTN, 6.63%, 09/15/11........... 980,774 4,135,000 Rouse Company, 5.38%, 11/26/13........... 3,943,244 -------------- 4,924,018 -------------- RETAIL -- 0.1% 430,000 Federated Department Stores, Inc., 6.79%, 07/15/27........... 460,307 495,000 May Department Stores Company, 7.88%, 03/01/30........... 591,822
See notes to portfolios of investments. 31 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) RETAIL (CONTINUED) $ 625,000 May Department Stores Company, 6.70%, 07/15/34........... $ 656,657 430,000 Movie Gallery, 11.00%, 05/01/12(d)....... 382,700 -------------- 2,091,486 -------------- RETAIL: SUPERMARKETS -- 0.0% 770,000 Delhaize America, Inc., 9.00%, 04/15/31........... 892,693 -------------- SEMICONDUCTORS -- 0.0% 245,000 Freescale Semiconductor, Inc., Floating Rate, 6.35%, 07/15/09(b)........ 252,963 720,000 MagnaChip Semiconductor, Ltd., Floating Rate, 7.12%, 12/15/11(b)........ 716,400 -------------- 969,363 -------------- SPECIAL PURPOSE ENTITY -- 0.4% 357,387 AES Ironwood LLC, 8.86%, 11/30/25........... 407,421 2,150,000 Atlantic Marine, Inc. -- 144A, 5.34%, 12/01/50........... 2,150,000 2,875,000 Belvoir Land LLC -- 144A, 5.40%, 12/15/47........... 2,781,075 1,000,000 California Preferred Fund Trust, 7.00%, perpetual.......... 1,038,114 1,600,000 New York Life Global Funding -- 144A, 3.88%, 01/15/09........... 1,562,526 -------------- 7,939,136 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.1% 625,000 America Movil SA de CV (Mexico), 6.38%, 03/01/35........... 609,138 810,000 Cincinnati Bell, Inc., 7.25%, 07/15/13........... 864,675 290,000 France Telecom (France), 8.50%, 03/01/31........... 389,835 405,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), Floating Rate, 8.70%, 01/15/12(j)........ 414,113 2,350,000 New England Telephone & Telegraph, 7.88%, 11/15/29........... 2,742,450 970,000 New Jersey Bell Telephone, 7.85%, 11/15/29........... 1,135,673 860,000 Qwest Corp., 7.88%, 09/01/11........... 900,850 400,000 Qwest Corp., 8.88%, 03/15/12........... 439,000
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 675,000 Qwest Corp. -- 144A, Floating Rate, 7.12%, 06/15/13(b)........ $ 705,375 50,000 Rogers Wireless, Inc. (Canada), 7.25%, 12/15/12........... 53,125 590,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15........... 638,675 1,015,000 SBC Communications, Inc., 6.45%, 06/15/34........... 1,076,473 190,000 SBC Communications, Inc., 6.15%, 09/15/34........... 195,102 2,575,000 Sprint Capital Corp., 8.75%, 03/15/32........... 3,463,438 655,000 Telecom Italia Capital -- 144A (Luxembourg), 4.95%, 09/30/14........... 634,996 2,785,000 Telecom Italia Capital -- 144A (Luxembourg), 6.00%, 09/30/34........... 2,738,390 850,000 Telefonica Europe BV (The Netherlands), 7.75%, 09/15/10........... 959,212 215,000 Verizon Maryland, Inc., Series B, 5.13%, 06/15/33........... 186,763 1,470,000 Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13........... 1,475,485 2,225,000 Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15........... 2,212,369 -------------- 21,835,137 -------------- TRANSPORTATION -- 0.1% 375,000 Burlington Northern Santa Fe Corp., 7.29%, 06/01/36........... 463,076 765,000 Canadian National Railway Company (Canada), 6.90%, 07/15/28........... 907,073 265,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13........... 275,600 560,000 Overseas Shipholding Group, 7.50%, 02/15/24........... 558,600 -------------- 2,204,349 -------------- UTILITIES: ELECTRIC -- 0.8% 2,735,000 Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10........... 2,972,502 375,000 Dominion Resources, Inc., 5.95%, 06/15/35........... 367,590 591,847 Elwood Energy LLC, 8.16%, 07/05/26........... 659,909
See notes to portfolios of investments. 32 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 800,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31........... $ 941,248 134,400 Homer City Funding LLC, 8.14%, 10/01/19........... 152,544 84,499 Homer City Funding LLC, 8.73%, 10/01/26........... 100,976 195,000 Midwest Generation LLC, 8.75%, 05/01/34........... 218,156 610,264 Midwest Generation LLC, Series B, 8.56%, 01/02/16........... 671,672 470,000 Orion Power Holdings, Inc., 12.00%, 05/01/10.......... 568,700 1,940,000 Progress Energy, Inc., 7.75%, 03/01/31........... 2,346,535 55,000 Reliant Energy, Inc., 9.25%, 07/15/10........... 59,950 15,000 Reliant Energy, Inc., 6.75%, 12/15/14........... 14,813 300,000 SP PowerAssets, Ltd. -- 144A (Singapore), 5.00%, 10/22/13........... 303,001 495,000 Tenaska Alabama II Partners, LP -- 144A, 7.00%, 06/30/21........... 503,669 5,325,000 TXU Corp., Series O, 4.80%, 11/15/09........... 5,157,299 -------------- 15,038,564 -------------- TOTAL CORPORATE BONDS AND NOTES (Cost $756,633,008)....... 744,802,956 -------------- FOREIGN GOVERNMENT OBLIGATIONS -- 2.7% 9,700,000 AID-Israel (Israel), 5.50%, 09/18/23........... 10,384,597 2,275,000 Bundesrepublic Deutschland, Series 03 (Germany), 4.75%, 07/04/34(p)........ 3,304,472 9,300,000 Bundesrepublic Deutschland, Series 05 (Germany), 4.00%, 01/04/37(p)........ 12,074,734 4,000,000 Japan Finance Corp. for Municipal Enterprises, Series DTC (Japan), 4.63%, 04/21/15........... 3,982,220 9,240,000 Mexican Fixed Rate Bonds, Series M20 (Mexico), 8.00%, 12/07/23(r)........ 796,872 10,298,000 Mexican Fixed Rate Bonds, Series M7 (Mexico), 8.00%, 12/24/08(r)........ 950,246 14,130,000 Mexican Fixed Rate Bonds, Series MI10 (Mexico), 9.00%, 12/20/12(r)........ 1,348,241
PRINCIPAL VALUE --------- -------------- FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $ 4,850,000 Mexican Fixed Rate Bonds, Series MI10 (Mexico), 8.00%, 12/19/13(r)........ $ 436,892 4,500,000 Mexican Fixed Rate Bonds, Series MI10 (Mexico), 9.50%, 12/18/14(r)........ 443,600 32,761,000 Mexican Fixed Rate Bonds, Series MI7 (Mexico), 9.00%, 12/24/09(r)........ 3,128,695 2,930,000 Province of Manitoba (Canada), 6.38%, 09/01/15(s)........ 1,999,749 7,840,000 Province of Ontario, Series GMTN (Canada), 6.25%, 06/16/15(s)........ 5,348,093 4,045,000 United Mexican States (Mexico), 8.13%, 12/30/19........... 4,914,675 2,385,000 United Mexican States, Series MTNA (Mexico), 8.00%, 09/24/22........... 2,903,738 -------------- TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $49,723,139)........ 52,016,824 -------------- SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 11.4% FEDERAL HOME LOAN BANK 222,400,000 3.18%, 10/03/05 (Cost $222,360,709)....... 222,360,709 -------------- SHORT TERM CORPORATE NOTES -- 0.8% 7,575,000 BellSouth Corp. -- 144A, 4.26%, 04/26/06........... 7,594,933 7,750,000 SBC Communications, Inc. -- 144A, 4.39%, 06/05/06........... 7,768,774 -------------- TOTAL SHORT TERM CORPORATE NOTES (Cost $15,363,707)........ 15,363,707 -------------- SECURITIES LENDING COLLATERAL -- 16.1% 314,777,979 Securities Lending Collateral Investment (Note 3) (Cost $314,777,979)....... 314,777,979 -------------- TOTAL SECURITIES (Cost $2,612,036,008)..... 2,594,514,048 -------------- REPURCHASE AGREEMENT -- 1.0% 20,000,000 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $20,005,533 (Collateralized by Freddie Mac, 4.12%, due 01/15/35, with a value of $21,000,000) (Cost $20,000,000)........ 20,000,000 --------------
See notes to portfolios of investments. 33 CORE BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- SECURITIES SOLD SHORT -- (5.8)% $ (4,900,000) Fannie Mae Gold, TBA, 6.00%, 10/13/05........... $ (4,985,751) (8,700,000) Fannie Mae Gold, TBA, 4.50%, 10/18/05........... (8,520,562) (12,500,000) Fannie Mae, TBA, 5.00%, 10/13/05........... (12,238,275) (33,400,000) Fannie Mae, TBA, 6.00%, 10/13/05........... (33,389,579) (30,400,000) Fannie Mae, TBA, 6.50%, 10/13/05........... (31,293,000) (14,300,000) Fannie Mae, TBA, 4.50%, 10/18/05........... (14,005,062) (7,600,000) Government National Mortgage Association, TBA, 6.00%, 10/20/05........... (7,785,250) -------------- TOTAL SECURITIES SOLD SHORT (Proceeds $113,025,717)... (112,217,479) -------------- Total Investments -- 128.3% (Cost $2,519,010,291)..... 2,502,296,569 Liabilities less other assets -- (28.3)%......... (551,913,453) -------------- NET ASSETS -- 100.0%........ $1,950,383,116 ==============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $2,519,010,291. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $ 7,373,830 Gross unrealized depreciation.......... (24,087,552) ------------ Net unrealized depreciation............ $(16,713,722) ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 34 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 29.2% US TREASURY BONDS -- 4.1% $ 250,000 8.00%, 11/15/21................ $ 346,153 170,000 6.25%, 05/15/30................ 211,139 1,820,000 5.38%, 02/15/31................ 2,039,539 ------------ 2,596,831 ------------ US TREASURY INFLATION INDEX -- 4.1% 257,818 0.88%, 04/15/10................ 251,312 838,999 1.63%, 01/15/15................ 829,299 251,105 1.88%, 07/15/15................ 253,400 1,035,821 2.38%, 01/15/25................ 1,108,491 106,959 3.88%, 04/15/29................ 146,450 ------------ 2,588,952 ------------ US TREASURY NOTES -- 20.2% 130,000 4.00%, 08/31/07................ 129,599 5,880,000 3.38%, 02/15/08................ 5,775,723 3,950,000 3.75%, 05/15/08................ 3,908,960 23,000 4.00%, 04/15/10................ 22,798 1,100,000 4.13%, 08/15/10................ 1,095,403 1,950,000 4.13%, 05/15/15................ 1,917,018 110,000 4.25%, 08/15/15................ 109,347 ------------ 12,958,848 ------------ US TREASURY STRIPS -- 0.8% 1,580,000 Zero coupon, 05/15/30.......... 515,759 ------------ TOTAL US TREASURY SECURITIES (Cost $18,738,984)........... 18,660,390 ------------ US GOVERNMENT AGENCY SECURITIES -- 36.3% FANNIE MAE -- 25.1% 400,000 Floating Rate, 3.88%, 09/22/06(b)........... 399,902 678,423 PL# 735809, Variable Rate, 4.52%, 08/01/35(a)........... 676,236 78,132 PL# 801516, Variable Rate, 4.71%, 08/01/34(a)........... 78,165 169,597 PL# 810896, Variable Rate, 4.89%, 01/01/35(a)........... 169,535 380,286 PL# 821150, Variable Rate, 4.59%, 04/01/35(a)........... 377,761 400,000 TBA, 5.00%, 10/01/20........... 399,000 500,000 TBA, 5.50%, 10/01/20........... 507,344 300,000 TBA, 4.50%, 10/01/35........... 286,031 7,900,000 TBA, 5.00%, 10/01/35........... 7,734,590
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 2,900,000 TBA, 5.50%, 10/01/35........... $ 2,899,095 2,400,000 TBA, 6.00%, 10/01/35........... 2,440,500 ------------ 15,968,159 ------------ FEDERAL AGRICULTURAL MORTGAGE CORP. -- 0.1% 80,000 4.25%, 07/29/08................ 79,608 ------------ FREDDIE MAC -- 0.7% 430,000 4.25%, 02/28/07................ 429,465 ------------ FREDDIE MAC GOLD -- 0.9% 300,000 TBA, 5.00%, 10/01/20........... 299,250 300,000 TBA, 5.00%, 10/01/35........... 293,625 ------------ 592,875 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 8.7% 4,800,000 TBA, 5.00%, 10/01/35........... 4,750,502 800,000 TBA, 5.50%, 10/01/35........... 807,500 ------------ 5,558,002 ------------ TENNESSEE VALLEY AUTHORITY -- 0.8% 470,000 5.88%, 04/01/36................ 536,022 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $23,326,305)........... 23,164,131 ------------ CORPORATE BONDS AND NOTES -- 41.3% AUTOMOBILES/MOTOR VEHICLES -- 0.8% 160,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08.............. 156,346 200,000 Ford Motor Company, 7.45%, 07/16/31.............. 157,000 250,000 General Motors Corp., 8.38%, 07/15/33.............. 196,250 ------------ 509,596 ------------ BANKS -- 1.1% 90,000 Bank of America Corp., 3.88%, 01/15/08.............. 88,725 140,000 Bank of America Corp., 4.50%, 08/01/10.............. 138,713 10,000 Rabobank Capital Funding Trust II -- 144A, Variable Rate, 5.26%, perpetual(a).......... 10,045 20,000 Rabobank Capital Funding Trust III -- 144A, Variable Rate, 5.25%, perpetual(a).......... 19,968
See notes to portfolios of investments. 35 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BANKS (CONTINUED) $ 240,000 Wachovia Corp., 5.25%, 08/01/14.............. $ 243,791 230,000 Wells Fargo & Company, 4.20%, 01/15/10.............. 225,690 ------------ 726,932 ------------ BROADCAST SERVICES/MEDIA -- 1.8% 10,000 Clear Channel Communications, Inc., 4.63%, 01/15/08.............. 9,904 290,000 Clear Channel Communications, Inc., 5.50%, 09/15/14.............. 280,006 50,000 Clear Channel Communications, Inc., 4.90%, 05/15/15.............. 45,671 170,000 Comcast Corp., 6.50%, 01/15/15.............. 183,966 80,000 Cox Communications, Inc., 3.88%, 10/01/08.............. 77,690 100,000 Liberty Media Corp., 7.88%, 07/15/09.............. 105,728 50,000 Liberty Media Corp., 5.70%, 05/15/13.............. 45,751 50,000 Time Warner Entertainment, 8.38%, 07/15/33.............. 62,786 160,000 Time Warner, Inc., 6.88%, 05/01/12.............. 175,094 140,000 Time Warner, Inc., 7.70%, 05/01/32.............. 166,263 ------------ 1,152,859 ------------ CONSUMER GOODS AND SERVICES -- 0.3% 180,000 Altria Group, Inc., 7.00%, 11/04/13.............. 197,328 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 120,000 Waste Management, Inc., 6.38%, 11/15/12.............. 128,790 ------------ FINANCIAL SERVICES -- 5.4% 250,000 Citigroup, Inc., 4.13%, 02/22/10.............. 244,355 340,000 Countrywide Financial Corp., Series MTNA, 4.25%, 06/15/10.............. 333,256 50,000 Credit Suisse First Boston USA, Inc., 4.88%, 08/15/10.............. 50,089
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 790,000 Ford Motor Credit Company, 7.38%, 10/28/09.............. $ 763,754 250,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08.............. 248,629 350,000 General Motors Acceptance Corp., 6.13%, 08/28/07.............. 344,691 350,000 General Motors Acceptance Corp., 5.63%, 05/15/09.............. 321,123 30,000 General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07.............. 29,009 250,000 HSBC Finance Corp., 4.63%, 01/15/08.............. 250,091 220,000 JPMorgan Chase & Company, 5.13%, 09/15/14.............. 219,837 130,000 JPMorgan Chase & Company, 5.15%, 10/01/15.............. 129,449 130,000 Lehman Brothers Holdings, Inc., 4.00%, 01/22/08.............. 128,315 80,000 Lehman Brothers Holdings, Inc., 4.50%, 07/26/10.............. 78,993 200,000 Morgan Stanley, 3.63%, 04/01/08.............. 195,350 130,000 The Goldman Sachs Group, Inc., 4.50%, 06/15/10.............. 128,064 ------------ 3,465,005 ------------ FOOD AND BEVERAGE -- 0.4% 170,000 Anheuser-Busch Companies, Inc., 4.95%, 01/15/14.............. 172,235 60,000 Kraft Foods, Inc., 5.63%, 11/01/11.............. 62,072 ------------ 234,307 ------------ INSURANCE -- 0.0% 30,000 ASIF Global Financing XIX -- 144A, 4.90%, 01/17/13.............. 29,497 ------------ MANUFACTURING -- 0.6% 120,000 Tyco International Group SA (Luxembourg), 6.38%, 10/15/11.............. 128,066 240,000 Tyco International Group SA (Luxembourg), 6.00%, 11/15/13.............. 253,942 ------------ 382,008 ------------
See notes to portfolios of investments. 36 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES -- 0.3% $ 160,000 HCA, Inc., 6.75%, 07/15/13.............. $ 163,601 20,000 HCA, Inc., 5.75%, 03/15/14.............. 19,163 ------------ 182,764 ------------ OIL AND GAS: PIPELINES -- 0.7% 50,000 El Paso Corp., Series MTN, 7.80%, 08/01/31.............. 50,375 100,000 El Paso Corp., Series MTN, 7.75%, 01/15/32.............. 101,250 110,000 El Paso Natural Gas, 8.38%, 06/15/32.............. 125,492 170,000 Williams Companies, Inc., Series A, 7.50%, 01/15/31.............. 181,475 ------------ 458,592 ------------ OIL, COAL AND GAS -- 2.4% 110,000 Amerada Hess Corp., 7.30%, 08/15/31.............. 128,736 100,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31.............. 123,365 150,000 Apache Finance Canada (Canada), 4.38%, 05/15/15.............. 145,862 150,000 ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07.............. 147,414 230,000 Conoco, Inc., 6.95%, 04/15/29.............. 280,862 50,000 Devon Energy Corp., 7.95%, 04/15/32.............. 63,938 300,000 Kerr-McGee Corp., 7.88%, 09/15/31.............. 348,726 20,000 Morgan Stanley (Gazprom) -- 144A (Russia), 9.63%, 03/01/13.............. 24,828 120,000 Pemex Project Funding Master Trust, 7.38%, 12/15/14.............. 133,500 120,000 XTO Energy, Inc., 6.25%, 04/15/13.............. 128,288 ------------ 1,525,519 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PAPER AND FOREST PRODUCTS -- 0.4% $ 25,000 International Paper Company, 5.50%, 01/15/14.............. $ 24,940 210,000 Weyerhaeuser Company, 6.75%, 03/15/12.............. 227,214 ------------ 252,154 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.4% 270,000 Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42.............. 269,680 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 23.9% 594,194 Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 4.07%, 09/25/35(c)........... 594,551 509,000 Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 4.25%, 02/25/35(c)........... 510,530 514,440 Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 4.21%, 04/25/35(c)........... 515,130 600,000 American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 4.33%, 11/25/45..................... 600,000 400,000 Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43.............. 390,209 419,775 Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.47%, 02/25/35(c)........... 414,367 150,000 Bear Stearns Commercial Mortgage Securities, Series 2005-PWR 9, Class A4A, 4.87%, 09/11/42.............. 148,940 156,490 Chevy Chase Mortgage Funding Corp., Series 2003-2AT, Class A1, Floating Rate, 4.21%, 05/25/34(c)........... 157,101 289,521 Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, 5.04%, 08/25/35.............. 288,370 399,110 Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 4.16%, 10/25/35(c)........... 399,098
See notes to portfolios of investments. 37 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 600,000 Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 4.17%, 11/20/35(c)........... $ 600,000 620,000 Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, 4.34%, 11/25/35.............. 620,000 500,000 Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 4.02%, 02/25/36(c)........... 499,990 130,000 Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35.............. 128,460 600,000 Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 4.12%, 12/15/35(c)........... 599,952 600,000 Countrywide Home Loans, Series 2005-R3, Class AF, Floating Rate, 4.23%, 09/25/35(c)........... 599,598 600,000 First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 4.23%, 12/25/32(c)........... 602,187 637,894 GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 3.60%, 12/19/33(c)........... 632,689 445,858 GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.69%, 03/18/35(c)........... 442,283 200,000 GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39.............. 197,262 431,689 Impac CMB Trust, Series 2003-10, Class 1A1, Floating Rate, 4.18%, 10/25/33(c)........... 431,975 545,993 Impac CMB Trust, Series 2004-2, Class A1, Floating Rate, 4.09%, 04/25/34(c)........... 547,105 524,799 Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 4.23%, 10/25/34(c)........... 528,536
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 100,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30.............. $ 98,121 100,000 LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30.............. 98,205 200,000 LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40.............. 199,437 600,000 Lehman XS Trust, Series 2005-5, Class 1A1, 4.38%, 10/25/35... 599,808 500,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35.............. 485,180 400,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35.............. 386,236 42,753 Quest Trust, Series 2003-X3, Class A1, Floating Rate, 4.31%, 02/25/34(c)........... 42,782 477,441 Structured Adjustable Rate Mortgage Loan, Series 2005-15, Class 1A1, 5.06%, 07/25/35.............. 475,857 584,808 Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 4.14%, 01/19/34(c)........... 585,480 600,000 Wachovia Mortgage Loan Trust, LLC, Series 2005-WMC1, Class A1, Floating Rate, 3.95%, 10/25/35(c)........... 599,820 600,000 Washington Mutual, Series 2005- AR13, Class A1A1, Floating Rate, 4.33%, 11/25/45(c)........... 600,000 584,162 Washington Mutual, Series 2005- AR8, Class 2A1A, Floating Rate, 4.12%, 07/25/45(c)........... 583,395 ------------ 15,202,654 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.3% 50,000 Deutsche Telekom International Finance BV (The Netherlands), 5.25%, 07/22/13.............. 50,560 190,000 Qwest Communications International, Inc., Floating Rate, 7.29%, 02/15/09(b)........... 188,575
See notes to portfolios of investments. 38 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 320,000 Sprint Capital Corp., 6.00%, 01/15/07.............. $ 325,432 90,000 Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15.............. 88,606 170,000 Verizon Global Funding Corp., 7.38%, 09/01/12.............. 193,184 ------------ 846,357 ------------ TRANSPORTATION -- 0.1% 50,000 Union Pacific Corp., 5.38%, 05/01/14.............. 51,106 ------------ UTILITIES: ELECTRIC -- 1.2% 30,000 Dominion Resources, Inc., 4.75%, 12/15/10.............. 29,700 100,000 Dominion Resources, Inc., 5.70%, 09/17/12.............. 103,335 50,000 Duke Energy Corp., 6.25%, 01/15/12.............. 53,264 90,000 Duke Energy Corp., 5.63%, 11/30/12.............. 93,052 70,000 FirstEnergy Corp., Series B, 6.45%, 11/15/11.............. 74,628 150,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31.............. 176,484 110,000 Oncor Electric Delivery Company, 6.38%, 01/15/15.............. 118,961 70,000 Pacific Gas & Electric Company, 6.05%, 03/01/34.............. 73,079 70,000 Swepco Capital Trust I, Variable Rate, 5.25%, 10/01/43(a)........... 69,487 ------------ 791,990 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $26,433,862)........... 26,407,138 ------------ SHARES ------ PREFERRED STOCKS -- 1.1% FANNIE MAE 13,100 Series O, Floating Rate, 7.00%(b) (Cost $726,838).............. 723,775 ------------ PRINCIPAL VALUE --------- ------------ MUNICIPAL BONDS -- 0.1% NEW YORK $ 50,000 Liberty NY Development Corp., Revenue Bond, 5.25%, 10/01/35 (Cost $55,344)............... $ 55,873 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 5.2% 210,000 Federal Republic of Brazil (Brazil), 14.50%, 10/15/09... 273,630 60,000 Federal Republic of Brazil (Brazil), 8.88%, 04/15/24.............. 64,170 60,000 Federal Republic of Brazil (Brazil), 12.25%, 03/06/30............. 82,710 300,000 Federal Republic of Brazil (Brazil), 11.00%, 08/17/40............. 368,175 65,883 Federal Republic of Brazil (Brazil), Series 18YR, Floating Rate, 4.31%, 04/15/12(j)........... 64,981 13,000 Federal Republic of Brazil (Brazil), Series B, 8.88%, 04/15/24.............. 13,910 117,237 Government of Canada Real Return Bonds (Canada), 4.00%, 12/01/31(o)........... 152,279 320,000 Queensland Treasury Corp. (Australia), Series 11G, 6.00%, 06/14/11(n)........... 249,786 110,000 Republic of Colombia (Colombia), 11.75%, 02/25/20............. 153,560 110,000 Republic of Panama (Panama), 10.75%, 05/15/20............. 153,725 50,000 Republic of Peru (Peru), 8.75%, 11/21/33.............. 60,625 73,800 Republic of Peru, Series 20YR (Peru), Variable Rate, 5.00%, 03/07/17(a)........... 73,247 660,000 Russian Federation (Russia) -- 144A, 5.00%, 03/31/30.............. 760,025 110,000 United Mexican States (Mexico), Series MTN, 8.30%, 08/15/31.............. 137,775 610,000 United Mexican States (Mexico), Series MTNA, 7.50%, 04/08/33.............. 709,124 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $3,162,722)............ 3,317,722 ------------
See notes to portfolios of investments. 39 TOTAL RETURN BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 1.9% FEDERAL HOME LOAN BANK -- 1.0% $ 600,000 3.60%, 10/12/05................ $ 599,340 ------------ FREDDIE MAC -- 0.9% 600,000 3.67%, 12/12/05................ 595,596 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $1,194,936)............ 1,194,936 ------------ YANKEE CERTIFICATE OF DEPOSIT -- 0.8% 500,000 Countrywide Bank (VA), Variable Rate, 3.85%, 11/23/05(a) (Cost $500,000).................... 500,000 ------------ CONTRACTS --------- PURCHASED CALL OPTIONS -- 0.0% 3 Federal Fund Future October Future, Expiring October 2005@ 96, 3.75%, 10/31/05 (Cost $328).................. 31 ------------ TOTAL SECURITIES (Cost $74,139,319)........... 74,023,996 ------------ PRINCIPAL --------- REPURCHASE AGREEMENT -- 18.8% $12,008,550 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $12,011,872 (Collateralized by Small Business Administration, 6.09%, due 11/25/29, with a value of $12,608,977) (Cost $12,008,550)........... 12,008,550 ------------ CONTRACTS VALUE --------- ------------ PUT OPTIONS WRITTEN -- (0.0)% (18) US Treasury Note (10 Year) December Future, Expiring November 2005@ 109, (6.00%), 11/22/05..................... $ (8,154) (13) US Treasury Note December Future, Expiring November 2005@ 113, (6.00%), 11/22/05..................... (10,556) ------------ TOTAL PUT OPTIONS WRITTEN (Premium $18,939)............ (18,710) ------------ Total Investments -- 134.7% (Cost $86,128,930)........... 86,013,836 Liabilities less other assets -- (34.7)%............ (22,159,579) ------------ NET ASSETS -- 100.0%........... $ 63,854,257 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $86,128,930. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............ $ 281,573 Gross unrealized depreciation............ (396,667) --------- Net unrealized depreciation.............. $(115,094) =========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 40 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 64.2% AEROSPACE AND DEFENSE -- 1.6% 34,750 Lockheed Martin Corp. ......... $ 2,121,140 37,071 Northrop Grumman Corp. ........ 2,014,809 49,650 Raytheon Company............... 1,887,693 9,300 The Boeing Company(d).......... 631,935 ------------ 6,655,577 ------------ AGRICULTURE -- 0.5% 31,850 Monsanto Company............... 1,998,588 ------------ APPAREL: MANUFACTURING AND RETAIL -- 1.2% 22,900 Abercrombie & Fitch Company -- Class A........... 1,141,565 20,700 Chico's FAS, Inc.*............. 761,760 60,200 Coach, Inc.*................... 1,887,872 24,000 Nordstrom, Inc. ............... 823,680 8,700 The Men's Wearhouse, Inc.*..... 232,290 ------------ 4,847,167 ------------ AUTOMOBILE: RETAIL -- 0.2% 37,200 AutoNation, Inc.*.............. 742,884 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.1% 47,550 Ford Motor Company(d).......... 468,843 ------------ AUTOMOTIVE EQUIPMENT -- 0.3% 22,900 Autoliv, Inc. ................. 996,150 34,800 Visteon Corp. ................. 340,344 ------------ 1,336,494 ------------ BANKS -- 4.0% 132,812 Bank of America Corp. ......... 5,591,385 4,900 Bank of Hawaii Corp. .......... 241,178 6,900 Golden West Financial Corp. ... 409,791 65,350 North Fork Bancorp, Inc. ...... 1,666,425 18,800 UnionBanCal Corp. ............. 1,310,736 74,782 US Bancorp(d).................. 2,099,879 66,353 Wachovia Corp. ................ 3,157,739 33,450 Wells Fargo & Company.......... 1,959,167 ------------ 16,436,300 ------------ BROADCAST SERVICES/MEDIA -- 3.3% 85,600 Comcast Corp. -- Class A*...... 2,514,928 44,300 Comcast Corp. -- Special Class A*........................... 1,274,954 5,660 Discovery Holding Company -- Class A*.......... 81,730 56,600 Liberty Media Corp. -- Class A*........................... 455,630 35,900 Pixar*(d)...................... 1,597,909 104,700 The Walt Disney Company........ 2,526,411
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) 196,790 Time Warner, Inc. ............. $ 3,563,867 48,800 Viacom, Inc. -- Class B........ 1,610,888 ------------ 13,626,317 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.5% 37,200 Moody's Corp.(d)............... 1,900,176 ------------ CHEMICALS -- 0.2% 24,150 The Dow Chemical Company....... 1,006,331 ------------ COMMERCIAL SERVICES -- 0.5% 92,050 Cendant Corp. ................. 1,899,912 ------------ COMPUTER SOFTWARE AND SERVICES -- 2.9% 16,800 Adobe Systems, Inc. ........... 501,480 36,600 Autodesk, Inc. ................ 1,699,704 28,300 Cadence Design Systems, Inc.*(d)..................... 457,328 38,300 Computer Sciences Corp.*....... 1,811,973 20,900 Ingram Micro, Inc. -- Class A*........................... 387,486 180,350 Microsoft Corp. ............... 4,640,405 205,150 Oracle Corp.*.................. 2,541,809 ------------ 12,040,185 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.9% 50,400 Dell, Inc.*.................... 1,723,680 124,087 Hewlett-Packard Company........ 3,623,340 18,250 International Business Machines Corp. ....................... 1,464,015 74,000 Western Digital Corp.*......... 956,820 ------------ 7,767,855 ------------ CONSUMER GOODS AND SERVICES -- 5.7% 71,550 Altria Group, Inc. ............ 5,273,950 16,300 American Greetings Corp. -- Class A(d).......... 446,620 23,950 Colgate-Palmolive Company...... 1,264,321 26,100 Energizer Holdings, Inc.*...... 1,479,870 287,000 General Electric Company....... 9,663,289 56,150 Procter & Gamble Company(d).... 3,338,679 22,100 The Gillette Company........... 1,286,220 4,000 United Parcel Service, Inc. -- Class B.............. 276,520 21,485 UST, Inc. ..................... 899,362 ------------ 23,928,831 ------------ ELECTRONICS -- 0.6% 24,300 Emerson Electric Company....... 1,744,740 17,600 Jabil Circuit, Inc.*........... 544,192 4,750 Rockwell Collins, Inc. ........ 229,520 ------------ 2,518,452 ------------
See notes to portfolios of investments. 41 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 5.0% 4,600 American Express Company....... $ 264,224 46,400 AmeriCredit Corp.*............. 1,107,568 19,500 Ameritrade Holding Corp.*(d)... 418,860 89,599 Citigroup, Inc. ............... 4,078,546 15,200 E*TRADE Financial Corp.*....... 267,520 5,500 Franklin Resources, Inc. ...... 461,780 130,600 JPMorgan Chase & Company....... 4,431,257 48,200 Merrill Lynch & Company, Inc. ........................ 2,957,070 47,900 Morgan Stanley................. 2,583,726 6,800 Nelnet, Inc. -- Class A*(d).... 258,468 27,500 Prudential Financial, Inc. .... 1,857,900 59,850 Washington Mutual, Inc.(d)..... 2,347,317 ------------ 21,034,236 ------------ FOOD AND BEVERAGE -- 1.5% 80,350 Archer-Daniels-Midland Company...................... 1,981,430 17,750 Coca-Cola Company.............. 766,623 29,450 Hershey Foods Corp. ........... 1,658,330 10,000 PepsiAmericas, Inc. ........... 227,300 12,400 PepsiCo, Inc. ................. 703,204 51,100 Tyson Foods, Inc. -- Class A... 922,355 ------------ 6,259,242 ------------ INSURANCE -- 4.4% 18,700 Aetna, Inc. ................... 1,610,818 36,303 American International Group, Inc. ........................ 2,249,334 14,500 CIGNA Corp. ................... 1,708,970 19,200 CNA Financial Corp.*........... 573,504 49,600 Genworth Financial, Inc. -- Class A...................... 1,599,104 20,500 Loews Corp. ................... 1,894,405 29,600 MBIA, Inc.(d).................. 1,794,352 46,200 MetLife, Inc. ................. 2,302,146 11,000 Principal Financial Group, Inc. ........................ 521,070 28,100 The Allstate Corp. ............ 1,553,649 35,100 The St. Paul Travelers Companies, Inc. ............. 1,574,937 20,500 WR Berkley Corp. .............. 809,340 ------------ 18,191,629 ------------ INTERNET SERVICES -- 1.3% 186,850 Cisco Systems, Inc.*........... 3,350,221 5,050 Google, Inc. -- Class A*....... 1,598,123 27,717 Symantec Corp.*................ 628,067 ------------ 5,576,411 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) LEISURE AND RECREATION -- 0.3% 6,000 Choice Hotels International, Inc. ........................ $ 387,840 7,000 Marriott International, Inc. -- Class A...................... 441,000 9,200 MGM MIRAGE*.................... 402,684 ------------ 1,231,524 ------------ MANUFACTURING -- 0.4% 16,300 Illinois Tool Works, Inc. ..... 1,341,979 2,850 ITT Industries, Inc. .......... 323,760 ------------ 1,665,739 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.8% 41,000 McKesson Corp. ................ 1,945,450 5,100 UnitedHealth Group, Inc.(d).... 286,620 13,000 WellPoint, Inc.*............... 985,660 ------------ 3,217,730 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 2.7% 7,750 Guidant Corp. ................. 533,898 91,650 Johnson & Johnson.............. 5,799,612 55,950 Medtronic, Inc. ............... 3,000,039 42,900 St Jude Medical, Inc.*......... 2,007,720 ------------ 11,341,269 ------------ METALS AND MINING -- 0.7% 5,900 Newmont Mining Corp. .......... 278,303 14,600 Phelps Dodge Corp. ............ 1,896,978 14,400 United States Steel Corp.(d)... 609,840 ------------ 2,785,121 ------------ OIL AND GAS: PIPELINES -- 0.2% 8,100 Questar Corp. ................. 713,772 ------------ OIL, COAL AND GAS -- 6.6% 22,300 Anadarko Petroleum Corp. ...... 2,135,225 29,114 Apache Corp. .................. 2,189,955 28,800 Burlington Resources, Inc. .... 2,342,016 29,500 ChevronTexaco Corp. ........... 1,909,535 44,126 ConocoPhillips................. 3,084,849 19,950 Devon Energy Corp. ............ 1,369,368 16,200 EOG Resources, Inc. ........... 1,213,380 127,750 Exxon Mobil Corp. ............. 8,117,234 25,100 Helmerich & Payne, Inc. ....... 1,515,789 21,600 Noble Energy, Inc. ............ 1,013,040 23,700 Sunoco, Inc. .................. 1,853,340 6,200 Transocean, Inc. (Cayman Islands)*.................... 380,122 7,300 Unit Corp.*.................... 403,544 ------------ 27,527,397 ------------
See notes to portfolios of investments. 42 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PAPER AND FOREST PRODUCTS -- 0.1% 10,900 Georgia-Pacific Corp. ......... $ 371,254 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.5% 59,000 Abbott Laboratories............ 2,501,600 13,100 Allergan, Inc. ................ 1,200,222 8,600 AmerisourceBergen Corp. ....... 664,780 48,634 Amgen, Inc.*................... 3,874,671 39,900 Bristol-Myers Squibb Company... 959,994 5,500 Genentech, Inc.*............... 463,155 24,050 Genzyme Corp.*................. 1,722,942 10,600 Merck & Company, Inc. ......... 288,426 240,960 Pfizer, Inc. .................. 6,016,771 15,900 Wyeth.......................... 735,693 ------------ 18,428,254 ------------ PRINTING AND PUBLISHING -- 0.1% 7,700 RR Donnelley & Sons Company.... 285,439 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.4% 11,200 Equity Office Properties Trust........................ 366,352 32,000 ProLogis....................... 1,417,920 ------------ 1,784,272 ------------ RETAIL -- 2.0% 17,000 7-Eleven, Inc.*................ 605,370 23,800 Best Buy Company, Inc. ........ 1,036,014 96,900 Circuit City Stores, Inc. ..... 1,662,804 41,100 Dillard's, Inc. -- Class A..... 858,168 10,472 Home Depot, Inc. .............. 399,402 8,300 Michaels Stores, Inc. ......... 274,398 6,450 Target Corp. .................. 334,949 23,370 Wal-Mart Stores, Inc. ......... 1,024,073 51,700 Walgreen Company............... 2,246,365 ------------ 8,441,543 ------------ RETAIL: RESTAURANTS -- 0.4% 21,250 Darden Restaurants, Inc. ...... 645,363 17,650 Starbucks Corp.*............... 884,265 ------------ 1,529,628 ------------ RETAIL: SUPERMARKETS -- 0.3% 12,500 Safeway, Inc.(d)............... 320,000 54,500 The Kroger Company*............ 1,122,155 ------------ 1,442,155 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SEMICONDUCTORS -- 2.7% 72,300 Advanced Micro Devices, Inc.*(d)..................... $ 1,821,960 50,639 Freescale Semiconductor, Inc. -- Class B*............. 1,194,068 207,650 Intel Corp. ................... 5,118,572 86,150 Texas Instruments, Inc. ....... 2,920,485 ------------ 11,055,085 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.6% 45,700 BellSouth Corp. ............... 1,201,910 47,350 CenturyTel, Inc.(d)............ 1,656,303 20,850 Comverse Technology, Inc.*..... 547,730 39,750 Motorola, Inc. ................ 878,078 7,000 QUALCOMM, Inc. ................ 313,250 116,000 SBC Communications, Inc.(d).... 2,780,519 71,550 Sprint Corp. (FON Group)....... 1,701,459 33,550 Tellabs, Inc.*................. 352,946 45,500 Verizon Communications, Inc. ........................ 1,487,395 ------------ 10,919,590 ------------ TRANSPORTATION -- 1.4% 35,600 Burlington Northern Santa Fe Corp. ....................... 2,128,880 39,400 CSX Corp. ..................... 1,831,312 11,700 Laidlaw International, Inc. ... 282,789 24,850 Norfolk Southern Corp. ........ 1,007,916 12,800 Swift Transportation Company, Inc.*........................ 226,560 4,100 Union Pacific Corp. ........... 293,970 ------------ 5,771,427 ------------ UTILITIES: ELECTRIC -- 2.3% 9,200 Duke Energy Corp.(d)........... 268,364 41,600 Edison International(d)........ 1,966,848 4,050 Entergy Corp. ................. 300,996 44,550 Exelon Corp. .................. 2,380,752 49,650 PG&E Corp. .................... 1,948,763 19,950 TXU Corp. ..................... 2,251,956 9,800 Wisconsin Energy Corp. ........ 391,216 ------------ 9,508,895 ------------ TOTAL COMMON STOCKS (Cost $245,199,513).......... 266,255,524 ------------ PREFERRED STOCKS -- 0.4% FANNIE MAE 29,700 Series O, Floating Rate, 7.00%(b) (Cost $1,659,000)............ 1,640,925 ------------
See notes to portfolios of investments. 43 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US TREASURY SECURITIES -- 5.4% US TREASURY BONDS -- 0.7% $ 740,000 8.00%, 11/15/21................ $ 1,024,611 410,000 6.25%, 05/15/30................ 509,217 1,390,000 5.38%, 02/15/31(d)............. 1,557,671 ------------ 3,091,499 ------------ US TREASURY INFLATION INDEX -- 1.6% 1,708,443 1.63%, 01/15/15................ 1,688,690 1,707,259 1.88%, 07/15/15................ 1,722,865 2,247,721 2.38%, 01/15/25................ 2,405,415 463,488 3.88%, 04/15/29................ 634,616 ------------ 6,451,586 ------------ US TREASURY NOTES -- 2.8% 1,185,000 3.38%, 02/28/07................ 1,172,411 2,585,000 3.75%, 03/31/07................ 2,569,250 40,000 4.00%, 08/31/07................ 39,877 730,000 3.00%, 02/15/08................ 710,924 865,000 3.38%, 02/15/08................ 849,660 40,000 3.75%, 05/15/08(d)............. 39,584 10,000 4.00%, 04/15/10................ 9,912 5,830,000 4.13%, 05/15/15................ 5,731,390 140,000 4.25%, 08/15/15................ 139,169 ------------ 11,262,177 ------------ US TREASURY STRIP -- 0.3% 4,430,000 Zero coupon, 05/15/30(d)....... 1,446,085 ------------ TOTAL US TREASURY SECURITIES (Cost $22,306,999)........... 22,251,347 ------------ US GOVERNMENT AGENCY SECURITIES -- 13.9% FANNIE MAE -- 9.4% 204,506 PL# 535675, 7.00%, 01/01/16.... 213,829 974 PL# 549906, 7.50%, 09/01/30.... 1,031 3,005 PL# 552549, 7.50%, 09/01/30.... 3,182 604 PL# 558384, 7.50%, 01/01/31.... 639 3,797 PL# 568677, 7.50%, 01/01/31.... 4,020 2,088 PL# 572762, 7.50%, 03/01/31.... 2,210 16,210 PL# 582178, 7.50%, 06/01/31.... 17,161 13,487 PL# 594316, 6.50%, 07/01/31.... 13,908 2,635 PL# 602859, 6.50%, 10/01/31.... 2,717 50,066 PL# 614924, 7.00%, 12/01/16.... 52,344 1,647,598 PL# 735809, Variable Rate, 4.52%, 08/01/35(a)........... 1,642,287 74,467 PL# 793193, 5.50%, 07/01/19.... 75,596 156,263 PL# 801516, Variable Rate, 4.71%, 08/01/34(a)........... 156,329 678,387 PL# 810896, Variable Rate, 4.89%, 01/01/35(a)........... 678,140 855,644 PL# 821150, Variable Rate, 4.59%, 04/01/35(a)........... 849,963
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) FANNIE MAE (CONTINUED) $ 1,100,000 TBA, 5.00%, 10/01/20........... $ 1,097,250 1,300,000 TBA, 5.50%, 10/01/20........... 1,319,094 700,000 TBA, 4.50%, 10/01/35........... 667,407 19,400,000 TBA, 5.00%, 10/01/35........... 18,993,802 6,700,000 TBA, 5.50%, 10/01/35........... 6,697,910 6,700,000 TBA, 6.00%, 10/01/35........... 6,813,063 ------------ 39,301,882 ------------ FEDERAL AGRICULTURAL MORTGAGE CORP. -- 0.1% 220,000 4.25%, 07/29/08................ 218,922 ------------ FREDDIE MAC -- 0.3% 1,060,000 4.25%, 02/28/07................ 1,058,680 ------------ FREDDIE MAC GOLD -- 0.5% 900,000 TBA, 5.00%, 10/01/20........... 897,750 1,000,000 TBA, 5.00%, 10/01/35........... 978,750 ------------ 1,876,500 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 2.4% 9,447 PL# 461836, 7.00%, 01/15/28.... 9,948 1,543 PL# 596647, 7.00%, 09/15/32.... 1,623 8,100,000 TBA, 5.00%, 10/01/35........... 8,016,474 2,200,000 TBA, 5.50%, 10/01/35........... 2,220,625 ------------ 10,248,670 ------------ PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 0.7% 600,000 Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10.............. 633,720 302,871 Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29.............. 302,432 760,000 Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18.............. 758,861 559,515 Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34.............. 558,127 691,913 Fannie Mae, Series 2004-99, Class A0, 5.50%, 01/25/34.............. 699,715 ------------ 2,952,855 ------------ RESOLUTION FUNDING STRIPS -- 0.1% 250,000 Zero coupon, 07/15/18.......... 136,392 250,000 Zero coupon, 10/15/18.......... 134,613 ------------ 271,005 ------------
See notes to portfolios of investments. 44 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ US GOVERNMENT AGENCY SECURITIES (CONTINUED) TENNESSEE VALLEY AUTHORITY -- 0.4% $ 1,380,000 5.88%, 04/01/36................ $ 1,573,851 ------------ TOTAL US GOVERNMENT AGENCY SECURITIES (Cost $57,897,027)........... 57,502,365 ------------ CORPORATE BONDS AND NOTES -- 18.3% ADVERTISING -- 0.0% 40,000 Lamar Media Corp., 7.25%, 01/01/13..................... 42,000 ------------ AEROSPACE AND DEFENSE -- 0.1% 35,000 B/E Aerospace, 8.50%, 10/01/10.............. 38,325 720,000 RC Trust I, 7.00%, 05/15/06.............. 366,525 ------------ 404,850 ------------ AGRICULTURAL EQUIPMENT -- 0.0% 20,000 Case New Holland, Inc., 9.25%, 08/01/11.............. 21,250 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.3% 475,000 Daimler Chrysler NA Holding, 4.05%, 06/04/08.............. 464,152 580,000 Ford Motor Company, 7.45%, 07/16/31.............. 455,300 520,000 General Motors Corp., 8.38%, 07/15/33(d)........... 408,200 ------------ 1,327,652 ------------ AUTOMOTIVE EQUIPMENT -- 0.0% 50,000 Visteon Corp., 8.25%, 08/01/10.............. 47,750 ------------ BANKS -- 0.6% 420,000 Bank of America Corp., 4.50%, 08/01/10.............. 416,139 325,000 Deutsche Bank AG New York, Series YCD, Variable Rate, 3.84%, 03/15/07(a)........... 323,219 270,000 First Union National Bank, Series BKNT, 5.80%, 12/01/08.............. 280,740 20,000 Rabobank Capital Funding Trust II -- 144A, Variable Rate, 5.26%, perpetual(a).......... 20,089 40,000 Rabobank Capital Funding Trust III -- 144A, Variable Rate, 5.25%, perpetual(a).......... 39,935 215,000 SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09.............. 213,075 740,000 Wachovia Corp., 5.25%, 08/01/14.............. 751,694 625,000 Wells Fargo & Company, 4.20%, 01/15/10.............. 613,288 ------------ 2,658,179 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA -- 0.9% $ 20,000 Clear Channel Communications, Inc., 4.63%, 01/15/08.............. $ 19,808 100,000 Clear Channel Communications, Inc., 4.25%, 05/15/09.............. 96,525 590,000 Clear Channel Communications, Inc., 5.50%, 09/15/14.............. 569,666 60,000 Clear Channel Communications, Inc., 4.90%, 05/15/15.............. 54,806 610,000 Comcast Corp., 6.50%, 01/15/15.............. 660,112 230,000 Cox Communications, Inc., 3.88%, 10/01/08.............. 223,359 40,000 CSC Holdings, Inc., 7.88%, 02/15/18.............. 38,400 20,000 CSC Holdings, Inc., 7.63%, 07/15/18.............. 18,800 10,000 CSC Holdings, Inc., Series B, 7.63%, 04/01/11.............. 9,875 70,000 DIRECTV Holdings LLC/ DIRECTV Financing Company, Inc. -- 144A, 6.38%, 06/15/15.............. 69,825 280,000 Liberty Media Corp., 7.88%, 07/15/09.............. 296,038 100,000 Liberty Media Corp., 5.70%, 05/15/13.............. 91,502 35,000 News America, Inc., 6.20%, 12/15/34.............. 35,171 10,000 Rogers Cable, Inc. (Canada), 5.50%, 03/15/14.............. 9,275 20,000 Rogers Cable, Inc. (Canada), 6.75%, 03/15/15.............. 20,150 10,000 Sinclair Broadcast Group, 8.00%, 03/15/12.............. 10,288 150,000 Time Warner Entertainment, 8.38%, 07/15/33.............. 188,359 580,000 Time Warner, Inc., 6.88%, 05/01/12.............. 634,718 395,000 Time Warner, Inc., 7.70%, 05/01/32.............. 469,100 ------------ 3,515,777 ------------
See notes to portfolios of investments. 45 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CHEMICALS -- 0.0% $ 40,000 IMC Global, Inc., Series B, 10.88%, 06/01/08............. $ 45,400 20,000 Rhodia SA (France), 10.25%, 06/01/10(d).......... 21,250 20,000 Westlake Chemical Corp., 8.75%, 07/15/11.............. 21,650 ------------ 88,300 ------------ COMPUTER SOFTWARE AND SERVICES -- 0.0% 40,000 SunGard Data Systems, Inc. -- 144A, 9.13%, 08/15/13.............. 41,650 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.0% 65,000 K Hovnanian Enterprises, Inc., 6.25%, 01/15/15.............. 61,281 ------------ CONSUMER GOODS AND SERVICES -- 0.1% 550,000 Altria Group, Inc., 7.00%, 11/04/13.............. 602,947 10,000 Eastman Kodak Company, 7.25%, 11/15/13.............. 9,535 ------------ 612,482 ------------ CONTAINERS AND PACKAGING -- 0.0% 25,000 Crown European Holdings SA (France), 10.88%, 03/01/13............. 29,125 20,000 Solo Cup Company, 8.50%, 02/15/14(d)........... 17,800 ------------ 46,925 ------------ ELECTRONICS -- 0.0% 10,000 Flextronics International, Ltd. (Singapore), 6.25%, 11/15/14.............. 10,000 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.1% 160,000 Waste Management, Inc., 6.50%, 11/15/08.............. 167,410 350,000 Waste Management, Inc., 6.38%, 11/15/12.............. 375,638 ------------ 543,048 ------------ FINANCIAL SERVICES -- 3.0% 200,000 Aiful Corp. -- 144A (Japan), 5.00%, 08/10/10.............. 198,892 770,000 Citigroup, Inc., 4.13%, 02/22/10.............. 752,613 1,000,000 Countrywide Financial Corp., Series MTNA, 4.25%, 06/15/10.............. 980,165 150,000 Credit Suisse First Boston USA Inc., 4.88%, 08/15/10.............. 150,267
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 10,000 E*TRADE Financial Corp. -- 144A, 7.38%, 09/15/13.............. $ 10,150 160,000 Ford Motor Credit Company, 6.63%, 06/16/08.............. 156,475 2,345,000 Ford Motor Credit Company, 7.38%, 10/28/09.............. 2,267,093 760,000 General Electric Capital Corp., Series MTNA, 4.25%, 01/15/08.............. 755,831 1,170,000 General Motors Acceptance Corp., 6.13%, 08/28/07.............. 1,152,252 1,010,000 General Motors Acceptance Corp., 5.63%, 05/15/09.............. 926,670 200,000 General Motors Acceptance Corp., Floating Rate, 4.56%, 07/16/07(b)(d)........ 194,583 110,000 General Motors Acceptance Corp., Series GM, 6.31%, 11/30/07.............. 106,368 160,000 General Motors Acceptance Corp., Series MTN, Floating Rate, 5.11%, 09/23/08(b)........... 148,368 750,000 HSBC Finance Corp., 4.63%, 01/15/08.............. 750,272 670,000 JPMorgan Chase & Company, 5.13%, 09/15/14.............. 669,503 390,000 JPMorgan Chase & Company, 5.15%, 10/01/15.............. 388,347 380,000 Lehman Brothers Holdings, Inc., 4.00%, 01/22/08.............. 375,074 230,000 Lehman Brothers Holdings, Inc., 4.50%, 07/26/10.............. 227,105 620,000 Morgan Stanley, 3.63%, 04/01/08.............. 605,584 30,000 REFCO Finance Holdings, 9.00%, 08/01/12(h)........... 32,775 370,000 The Goldman Sachs Group, Inc., 4.50%, 06/15/10.............. 364,490 900,000 The Goldman Sachs Group, Inc., Series MTNB, Floating Rate, 3.73%, 08/01/06(c)........... 900,751 ------------ 12,113,628 ------------ FOOD AND BEVERAGE -- 0.2% 530,000 Anheuser-Busch Companies, Inc., 4.95%, 01/15/14.............. 536,966 190,000 Kraft Foods, Inc., 5.63%, 11/01/11.............. 196,563 ------------ 733,529 ------------
See notes to portfolios of investments. 46 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FUNERAL SERVICES -- 0.0% $ 35,000 Service Corp. International, 7.70%, 04/15/09.............. $ 36,925 10,000 Service Corp. International -- 144A, 7.00%, 06/15/17.............. 10,150 ------------ 47,075 ------------ INSURANCE -- 0.0% 80,000 ASIF Global Financing XIX -- 144A, 4.90%, 01/17/13.............. 78,657 ------------ LEISURE AND RECREATION -- 0.1% 20,000 AMC Entertainment, Inc., 8.00%, 03/01/14.............. 17,700 30,000 Inn of The Mountain Gods, 12.00%, 11/15/10............. 34,050 10,000 K2, Inc., 7.38%, 07/01/14.............. 10,050 40,000 MGM MIRAGE, 7.25%, 10/15/06.............. 40,900 25,000 MGM MIRAGE, 6.00%, 10/01/09.............. 24,813 50,000 MGM MIRAGE, 8.50%, 09/15/10.............. 54,625 40,000 MGM MIRAGE -- 144A, 6.63%, 07/15/15.............. 39,750 15,000 Mohegan Tribal Gaming Authority, 6.13%, 02/15/13.............. 15,000 60,000 Station Casinos, Inc. -- 144A, 6.88%, 03/01/16.............. 61,125 ------------ 298,013 ------------ MANUFACTURING -- 0.3% 350,000 Tyco International Group SA (Luxembourg), 6.38%, 10/15/11.............. 373,526 710,000 Tyco International Group SA (Luxembourg), 6.00%, 11/15/13.............. 751,245 ------------ 1,124,771 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 0.1% 30,000 Davita, Inc., 7.25%, 03/15/15.............. 30,563 40,000 HCA, Inc., 5.50%, 12/01/09.............. 39,379 40,000 HCA, Inc., 7.69%, 06/15/25.............. 40,399 110,000 HCA, Inc., 7.50%, 11/06/33.............. 110,296 160,000 HCA,Inc., 6.75%, 07/15/13.............. 163,600 90,000 HCA,Inc., 5.75%, 03/15/14.............. 86,235
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES (CONTINUED) $ 60,000 Tenet Healthcare Corp., 6.38%, 12/01/11.............. $ 56,250 30,000 Tenet Healthcare Corp., 6.50%, 06/01/12.............. 28,125 ------------ 554,847 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 0.0% 10,000 Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08.............. 10,425 ------------ METALS AND MINING -- 0.0% 20,000 International Steel Group, 6.50%, 04/15/14.............. 19,900 25,000 TriMas Corp., 9.88%, 06/15/12.............. 20,625 ------------ 40,525 ------------ OIL AND GAS: PIPELINES -- 0.3% 100,000 El Paso Corp. Series MTN, 7.75%, 01/15/32.............. 101,250 200,000 El Paso Corp., Series MTN, 7.80%, 08/01/31.............. 201,500 330,000 El Paso Natural Gas, 8.38%, 06/15/32.............. 376,477 510,000 Williams Companies, Inc., Series A, 7.50%, 01/15/31.............. 544,425 ------------ 1,223,652 ------------ OIL, COAL AND GAS -- 1.2% 330,000 Amerada Hess Corp., 7.30%, 08/15/31.............. 386,207 300,000 Anadarko Finance Company, Series B, 7.50%, 05/01/31.............. 370,094 470,000 Apache Finance Canada (Canada), 4.38%, 05/15/15.............. 457,035 45,000 Chesapeake Energy Corp., 7.75%, 01/15/15.............. 48,150 20,000 Chesapeake Energy Corp., 6.25%, 01/15/18.............. 19,700 460,000 ChevronTexaco Capital Company (Canada), 3.50%, 09/17/07.............. 452,070 650,000 Conoco, Inc., 6.95%, 04/15/29.............. 793,740 290,000 Devon Energy Corp., 7.95%, 04/15/32.............. 370,840 15,000 KCS Energy, Inc. -- 144A, 7.13%, 04/01/12.............. 15,450 770,000 Kerr-McGee Corp., 7.88%, 09/15/31.............. 895,063
See notes to portfolios of investments. 47 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 310,000 Pemex Project Funding Master Trust, 7.38%, 12/15/14.............. $ 344,875 20,000 Pogo Producing Company -- 144A, 6.88%, 10/01/17.............. 20,375 30,000 Pride International, Inc., 7.38%, 07/15/14.............. 32,738 30,000 Vintage Petroleum, 7.88%, 05/15/11.............. 31,500 80,000 Western Oil Sands, Inc. (Canada), 8.38%, 05/01/12.............. 92,300 350,000 XTO Energy, Inc., 6.25%, 04/15/13.............. 374,173 ------------ 4,704,310 ------------ PAPER AND FOREST PRODUCTS -- 0.2% 35,000 Abitibi-Consolidated, Inc. (Canada), 8.38%, 04/01/15(d)........... 34,563 80,000 International Paper Company, 5.50%, 01/15/14.............. 79,809 630,000 Weyerhaeuser Company, 6.75%, 03/15/12.............. 681,641 ------------ 796,013 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 0.0% 40,000 AmerisourceBergen Corp. -- 144A, 5.88%, 09/15/15.............. 39,700 15,000 Bio-Rad Laboratories, Inc., 7.50%, 08/15/13.............. 15,938 45,000 Bio-Rad Laboratories, Inc., 6.13%, 12/15/14.............. 43,875 75,000 Elan Finance PLC/Elan Finance Corp. -- 144A (Ireland), 7.75%, 11/15/11.............. 66,375 40,000 Mylan Laboratories, Inc. -- 144A, 6.38%, 08/15/15.............. 40,250 ------------ 206,138 ------------ PRIVATE ASSET BACKED: BANKS -- 0.3% 1,201,051 Washington Mutual Bank, Series 2005-AR1, Class A1A, Floating Rate, 4.15%, 01/25/45(c)........... 1,200,940 ------------ PRIVATE ASSET BACKED: FINANCIAL SERVICES -- 0.1% 570,000 Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42.............. 569,324 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY -- 8.6% $ 1,485,485 Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 4.07%, 09/25/35(c)........... $ 1,486,378 1,272,500 Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 4.25%, 02/25/35(c)........... 1,276,325 1,286,101 Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 4.21%, 04/25/35(c)........... 1,287,824 400,000 Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A-4, 5.12%, 10/10/45.............. 402,023 1,277,575 Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.47%, 02/25/35(c)........... 1,261,116 641,546 Chevy Chase Auto Funding LLC, Series 2003-3, Class A1, 3.99%, 07/25/34.............. 642,572 675,549 Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, 5.04%, 08/25/35.............. 672,863 1,500,000 Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 4.15%, 11/25/35(c)........... 1,499,999 1,500,000 Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 4.17%, 11/20/35(c)........... 1,499,654 1,300,000 Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, Floating Rate, 4.02%, 02/25/36(c)........... 1,299,974 390,000 Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 05/25/35.............. 385,380 1,400,000 Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 4.12%, 12/15/35(c)........... 1,399,888 1,400,000 Countrywide Home Loans, Series 2005-R3, Class AF -- 144A, Floating Rate, 4.23%, 09/25/35(c)........... 1,399,062 1,400,000 First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class A2, Floating Rate, 4.23%, 12/25/32(c)........... 1,405,102
See notes to portfolios of investments. 48 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRIVATE ASSET BACKED: MORTGAGE AND HOME EQUITY (CONTINUED) $ 900,000 GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33.............. $ 959,513 1,337,575 GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.69%, 03/18/35(c)........... 1,326,848 1,079,223 Impac CMB Trust, Series 2003-10, Class 1A1, Floating Rate, 4.18%, 10/25/33(c)........... 1,079,937 1,364,983 Impac CMB Trust, Series 2004-2, Class A1, Floating Rate, 4.09%, 04/25/34(c)........... 1,367,763 1,224,530 Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 4.23%, 10/25/34(c)........... 1,233,250 1,080,000 JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37.............. 1,069,204 1,161,711 JP Morgan Mortgage Trust, Series 2004-A3, Class 1A1, 4.33%, 07/25/34.............. 1,145,722 870,000 LB-UBS Commercial Mortgage Trust, Series 2005-C1, Class A3, 4.55%, 02/15/30.............. 852,919 1,400,000 Lehman XS Trust, Series 2005-5, Class 1A1, 4.38%, 10/25/35... 1,399,552 500,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35.............. 485,180 1,300,000 Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35.............. 1,255,267 1,091,590 Opteum Mortgage Acceptance Corp., Series 2005-4, Class 1A1A, Floating Rate, 4.00%, 11/25/35(c)........... 1,091,568 1,432,323 Structured Adjustable Rate Mortgage Loan, Series 2005-15, Class 1A1, 5.06%, 07/25/35.............. 1,427,572 1,382,274 Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 4.14%, 01/19/34(c)........... 1,383,862 1,400,000 Wachovia Mortgage Loan Trust, LLC, Series 2005-WMC1, Class A1, Floating Rate, 3.95%, 10/25/35(c)........... 1,399,580 1,400,000 Washington Mutual, Series 2005- AR13, Class A1A1, Floating Rate, 4.33%, 11/25/45(c)........... 1,400,000 ------------ 34,795,897 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.0% $ 50,000 Ventas Realty LP/Capital Corp. -- 144A, 6.75%, 06/01/10.............. $ 51,000 40,000 Ventas Realty LP/Ventas Capital Corp. -- 144A, 7.13%, 06/01/15.............. 41,600 ------------ 92,600 ------------ RETAIL -- 0.0% 20,000 JC Penney & Company, Inc., 7.40%, 04/01/37.............. 21,725 60,000 Suburban Propane Partners, 6.88%, 12/15/13.............. 54,900 ------------ 76,625 ------------ RETAIL: SUPERMARKETS -- 0.0% 100,000 Delhaize America, Inc., 9.00%, 04/15/31.............. 115,934 ------------ SEMICONDUCTORS -- 0.0% 25,000 Freescale Semiconductor, Inc., Floating Rate, 6.35%, 07/15/09(b)........... 25,813 40,000 MagnaChip Semiconductor, Ltd., Floating Rate, 7.12%, 12/15/11(b)........... 39,800 ------------ 65,613 ------------ SPECIAL PURPOSE ENTITY -- 0.1% 225,000 Irwin Land LLC, Series A-2, 5.40%, 12/15/47.............. 217,991 235,000 Resona Preferred Global Securities -- 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(a).......... 243,710 ------------ 461,701 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.8% 73,000 Cincinnati Bell, Inc., 7.00% 02/15/15............... 70,810 25,000 Citizens Communications Company, 6.25%, 01/15/13.............. 24,125 150,000 Deutsche Telekom International Finance BV (The Netherlands), 5.25%, 07/22/13.............. 151,680 15,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), 8.25%, 01/15/13.............. 15,169 30,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), Floating Rate, 8.70%, 01/15/12(j)........... 30,675 10,000 Nextel Communications, Inc., Series D, 7.38%, 08/01/15.............. 10,715
See notes to portfolios of investments. 49 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 60,000 Nextel Communications, Inc., Series F, 5.95%, 03/15/14.............. $ 61,502 780,000 Qwest Communications International, Inc., Floating Rate, 7.29%, 02/15/09(b)........... 774,150 105,000 Qwest Corp., 7.88%, 09/01/11.............. 109,988 40,000 Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14.............. 40,400 15,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15.............. 16,238 960,000 Sprint Capital Corp., 6.00%, 01/15/07.............. 976,294 210,000 Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15.............. 206,748 20,000 Valor Telecommunications Enterprises LLC, 7.75%, 02/15/15.............. 19,500 530,000 Verizon Global Funding Corp., 7.38%, 09/01/12.............. 602,279 ------------ 3,110,273 ------------ TRANSPORTATION -- 0.1% 85,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13.............. 88,400 80,000 Overseas Shipholding Group, 7.50%, 02/15/24.............. 79,800 130,000 Union Pacific Corp., 5.38%, 05/01/14.............. 132,875 ------------ 301,075 ------------ UTILITIES: ELECTRIC -- 0.8% 760,000 AES Corp., 7.75%, 03/01/14.............. 809,400 90,000 Dominion Resources, Inc., 4.75%, 12/15/10.............. 89,101 320,000 Dominion Resources, Inc., 5.70%, 09/17/12.............. 330,673 150,000 Duke Energy Corp., 6.25%, 01/15/12.............. 159,791 320,000 Duke Energy Corp., 5.63%, 11/30/12.............. 330,850 210,000 FirstEnergy Corp., Series B, 6.45%, 11/15/11.............. 223,883 450,000 FirstEnergy Corp., Series C, 7.38%, 11/15/31.............. 529,452 50,000 Midwest Generation LLC, 8.75%, 05/01/34.............. 55,938 42,577 Midwest Generation LLC, Series B, 8.56%, 01/02/16.............. 46,861
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 270,000 Oncor Electric Delivery Company, 6.38%, 01/15/15.............. $ 291,995 210,000 Pacific Gas & Electric Company, 6.05%, 03/01/34.............. 219,236 15,000 Reliant Energy, Inc., 9.25%, 07/15/10.............. 16,350 55,000 Reliant Energy, Inc., 6.75%, 12/15/14.............. 54,313 200,000 Swepco Capital Trust I, Variable Rate, 5.25%, 10/01/43 (a).......... 198,535 40,000 Texas Genco LLC/ Financing -- 144A, 6.88%, 12/15/14.............. 40,900 ------------ 3,397,278 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $76,033,187)........... 75,539,987 ------------ MUNICIPAL BOND -- 0.0% NEW YORK 110,000 Liberty NY Development Corp., Revenue Bond, 5.25%, 10/01/35 (Cost $121,756).............. 122,920 ------------ FOREIGN GOVERNMENT OBLIGATIONS -- 2.3% 450,000 AID-Israel (Israel), 5.50%, 04/26/24.............. 482,420 315,000 AID-Israel (Israel), 5.50%, 09/18/33.............. 340,366 510,000 Federal Republic of Brazil (Brazil), 14.50%, 10/15/09............. 664,530 120,000 Federal Republic of Brazil (Brazil), 8.88%, 04/15/24.............. 128,340 190,000 Federal Republic of Brazil (Brazil), 12.25%, 03/06/30............. 261,915 690,000 Federal Republic of Brazil (Brazil), 11.00%, 08/17/40............. 846,803 156,473 Federal Republic of Brazil, Series 18YR (Brazil), Floating Rate, 4.31%, 04/15/12(j)........... 154,329 28,000 Federal Republic of Brazil, Series B (Brazil), 8.88%, 04/15/24.............. 29,960 339,987 Government of Canada Real Return Bonds (Canada), 4.00%, 12/01/31(o)........... 440,887 400,000 Japan Finance Corp. for Municipal Enterprises, Series DTC (Japan), 4.63%, 04/21/15.............. 398,222
See notes to portfolios of investments. 50 BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) $ 920,000 Queensland Treasury Corp. (Australia), Series 11G, 6.00%, 06/14/11(n)........... $ 718,136 280,000 Republic of Colombia (Colombia), 11.75%, 02/25/20............. 390,880 270,000 Republic of Panama (Panama), 10.75%, 05/15/20............. 377,325 150,000 Republic of Peru (Peru), 8.75%, 11/21/33.............. 181,875 205,000 Republic of Peru, Series 20YR (Peru), Variable Rate, 5.00%, 03/07/17(a)........... 203,463 1,650,000 Russian Federation (Russia) -- 144A, 5.00%, 03/31/30.............. 1,900,063 320,000 United Mexican States, Series MTN (Mexico), 8.30%, 08/15/31.............. 400,800 1,395,000 United Mexican States, Series MTNA (Mexico), 7.50%, 04/08/33.............. 1,621,687 ------------ TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $8,966,163)............ 9,542,001 ------------ SHORT TERM US GOVERNMENT AGENCY SECURITIES -- 0.7% FEDERAL HOME LOAN BANK -- 0.3% 1,500,000 3.59%, 10/12/05................ 1,498,355 ------------ FREDDIE MAC -- 0.4% 1,500,000 3.67%, 12/12/05................ 1,488,990 ------------ TOTAL SHORT TERM US GOVERNMENT AGENCY SECURITIES (Cost $2,987,345)............ 2,987,345 ------------ YANKEE CERTIFICATE OF DEPOSIT -- 0.4% 1,500,000 Countrywide Bank (VA), Variable Rate, 3.85%, 11/23/05(a) (Cost $1,500,000).................. 1,500,000 ------------ SHORT TERM CORPORATE NOTES -- 0.1% 500,000 BellSouth Corp. -- 144A, 4.26%, 04/26/06 (Cost $501,315).................... 501,315 ------------ COMMERCIAL PAPER -- 0.4% 1,500,000 Barclays US Funding LLC, 3.62%, 10/06/05 (Cost $1,499,246).................. 1,499,246 ------------ DOMESTIC CERTIFICATE OF DEPOSIT -- 0.4% 1,600,000 Washington Mutual Bank, 3.71%, 11/14/05 (Cost $1,600,000).................. 1,600,000 ------------
PRINCIPAL VALUE --------- ------------ SECURITIES LENDING COLLATERAL -- 6.3% $25,985,591 Securities Lending Collateral Investment (Note 3) (Cost $25,985,591)........... $ 25,985,591 ------------ CONTRACTS --------- PURCHASED CALL OPTIONS -- 0.0% 7 Federal Fund Future October Future, Expiring October 2005@ 96, 3.75%, 10/31/05 (Cost $764)........................ 73 ------------ TOTAL SECURITIES (Cost $446,257,906).......... 466,928,639 ------------ PRINCIPAL --------- REPURCHASE AGREEMENT -- 5.6% $23,264,804 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $23,271,241 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 5.05%, due 04/01/32 with a value of $3,428,044 and Freddie Mac, 4.12%, due 01/15/35 with a value of $21,000,000) (Cost $23,264,804)................. 23,264,804 ------------ CONTRACTS --------- PUT OPTIONS WRITTEN -- 0.0% (43) US Treasury Note (10 Year) December Future, Expiring November 2005@ 109, (6.00%), 11/22/05............ (19,484) (32) US Treasury Note December Future, Expiring November 2005@ 113, (6.00%), 11/22/05............ (26,000) ------------ TOTAL PUT OPTIONS WRITTEN (Premium $46,078)............ (45,484) ------------ Total Investments -- 118.4% (Cost $469,476,632).......... 490,147,959 Liabilities less other assets -- (18.4)%............ (76,339,199) ------------ NET ASSETS -- 100.0%........... $413,808,760 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $469,476,632. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation......... $28,493,584 Gross unrealized depreciation......... (7,822,257) ----------- Net unrealized appreciation........... $20,671,327 ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 51 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.9% ADVERTISING -- 0.4% 1,070,000 The Interpublic Group of Companies, Inc.*(d)....... $ 12,454,800 -------------- AEROSPACE AND DEFENSE -- 2.6% 275,000 Goodrich Corp. ............. 12,193,500 719,200 The Boeing Company.......... 48,869,640 340,600 United Technologies Corp. .................... 17,656,704 -------------- 78,719,844 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.5% 341,600 Jones Apparel Group, Inc. ..................... 9,735,600 320,000 Limited Brands, Inc. ....... 6,537,600 -------------- 16,273,200 -------------- AUTOMOBILES/MOTOR VEHICLES -- 1.0% 1,026,300 General Motors Corp.(d)..... 31,415,043 -------------- AUTOMOTIVE EQUIPMENT -- 0.8% 104,000 BorgWarner, Inc.(d)......... 5,871,840 142,725 Lear Corp.(d)............... 4,848,368 173,900 Magna International, Inc. -- Class A (Canada)(d)....... 13,018,154 -------------- 23,738,362 -------------- BANKS -- 3.4% 926,082 Bank of America Corp.(d).... 38,988,052 397,300 National City Corp.(d)...... 13,285,712 255,800 SunTrust Banks, Inc. ....... 17,765,310 560,000 Wachovia Corp.(d)........... 26,650,400 132,800 Wells Fargo & Company....... 7,778,096 -------------- 104,467,570 -------------- BROADCAST SERVICES/MEDIA -- 5.6% 1,031,900 Clear Channel Communications, Inc. ..... 33,939,191 1,198,265 Comcast Corp. -- Class A*... 35,205,026 645,000 Comcast Corp. -- Special Class A*.................. 18,563,100 3,470,200 Time Warner, Inc. .......... 62,845,322 592,800 Tribune Company............. 20,089,992 -------------- 170,642,631 -------------- COMPUTER SOFTWARE AND SERVICES -- 2.7% 1,856,500 Electronic Data Systems Corp. .................... 41,659,860 538,280 Ingram Micro, Inc. -- Class A*........................ 9,979,711 580,000 Microsoft Corp. ............ 14,923,400 3,783,200 Sun Microsystems, Inc.*..... 14,830,144 -------------- 81,393,115 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTERS AND OFFICE EQUIPMENT -- 4.7% 3,403,300 Hewlett-Packard Company..... $ 99,376,360 543,500 International Business Machines Corp. ........... 43,599,570 -------------- 142,975,930 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.7% 135,000 Martin Marietta Materials, Inc. ..................... 10,592,100 130,000 Vulcan Materials Company(d)................ 9,647,300 -------------- 20,239,400 -------------- CONSUMER GOODS AND SERVICES -- 4.1% 425,000 Altria Group, Inc. ......... 31,326,750 1,040,800 General Electric Company.... 35,043,736 396,500 Kimberly-Clark Corp. ....... 23,603,645 228,000 Procter & Gamble Company(d)................ 13,556,880 112,450 The Clorox Company.......... 6,245,473 217,000 Unilever NV (The Netherlands).............. 15,504,650 -------------- 125,281,134 -------------- ELECTRONICS -- 3.6% 285,233 Arrow Electronics, Inc.*.... 8,944,907 422,200 Avnet, Inc.*................ 10,322,790 1,121,400 Flextronics International, Ltd. (Singapore)*......... 14,409,990 100,000 Hubbell, Inc. -- Class B.... 4,693,000 1,939,177 Sanmina-SCI Corp.*.......... 8,319,069 6,843,975 Solectron Corp.*............ 26,759,942 1,087,500 Sony Corp. (ADR) (Japan)(d)................ 36,094,125 -------------- 109,543,823 -------------- FINANCIAL SERVICES -- 10.2% 437,800 American Express Company.... 25,147,232 1,415,500 Citigroup, Inc. ............ 64,433,560 694,600 Fannie Mae.................. 31,131,972 399,900 Freddie Mac................. 22,578,354 2,061,940 JPMorgan Chase & Company.... 69,961,625 124,500 Lehman Brothers Holdings, Inc.(d)................... 14,501,760 975,800 Merrill Lynch & Company, Inc. ..................... 59,865,330 74,400 Morgan Stanley.............. 4,013,136 139,000 The Goldman Sachs Group, Inc. ..................... 16,899,620 -------------- 308,532,589 --------------
See notes to portfolios of investments. 52 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE -- 1.9% 1,055,400 Kraft Foods, Inc. -- Class A......................... $ 32,284,686 255,000 PepsiCo, Inc. .............. 14,461,050 600,000 Tyson Foods, Inc. -- Class A......................... 10,830,000 -------------- 57,575,736 -------------- INSURANCE -- 8.6% 576,600 American International Group, Inc. .............. 35,726,136 240,000 Genworth Financial, Inc. -- Class A................... 7,737,600 450,200 MetLife, Inc. .............. 22,433,466 61,566 PartnerRE, Ltd. (Bermuda)... 3,943,302 170,000 RenaissanceRe Holdings, Ltd. (Bermuda)................. 7,434,100 754,200 The Allstate Corp. ......... 41,699,718 533,400 The Chubb Corp. ............ 47,765,970 240,000 The Hartford Financial Services Group, Inc. ..... 18,520,800 1,003,038 The St. Paul Travelers Companies, Inc. .......... 45,006,315 270,300 Torchmark Corp. ............ 14,279,949 238,000 XL Capital, Ltd. -- Class A (Cayman Islands).......... 16,191,140 -------------- 260,738,496 -------------- MANUFACTURING -- 2.5% 204,000 Cooper Industries, Ltd. -- Class A (Bermuda)......... 14,104,560 100,000 Eaton Corp. ................ 6,355,000 887,700 Honeywell International, Inc. ..................... 33,288,750 592,950 Smurfit-Stone Container Corp.*.................... 6,142,962 240,000 Textron, Inc. .............. 17,212,800 -------------- 77,104,072 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 4.7% 1,095,100 HCA, Inc. .................. 52,477,192 1,114,600 Medco Health Solutions, Inc.*..................... 61,113,518 2,560,600 Tenet Healthcare Corp.*(d)................. 28,755,538 -------------- 142,346,248 -------------- OIL, COAL AND GAS -- 10.1% 599,000 ChevronTexaco Corp. ........ 38,773,270 1,582,702 ConocoPhillips.............. 110,646,697 188,950 ENSCO International, Inc. ..................... 8,803,181 1,354,800 Exxon Mobil Corp. .......... 86,083,992 300,000 GlobalSantaFe Corp. (Cayman Islands).................. 13,686,000
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 195,000 Noble Corp. (Cayman Islands).................. $ 13,349,700 398,000 Occidental Petroleum Corp. .................... 34,001,140 -------------- 305,343,980 -------------- PAPER AND FOREST PRODUCTS -- 0.5% 500,000 MeadWestvaco Corp. ......... 13,810,000 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 5.5% 294,600 Eli Lilly and Company....... 15,766,992 773,800 Merck & Company, Inc. ...... 21,055,098 2,046,000 Millennium Pharmaceuticals, Inc.*(d).................. 19,089,180 1,280,000 Pfizer, Inc. ............... 31,961,600 893,400 Watson Pharmaceuticals, Inc.*..................... 32,707,374 1,026,000 Wyeth....................... 47,473,020 -------------- 168,053,264 -------------- PRINTING AND PUBLISHING -- 0.3% 500,000 The Reader's Digest Association, Inc. ........ 7,985,000 -------------- REGISTERED INVESTMENT COMPANIES -- 1.0% 213,900 iShares Russell 1000 Value Index Fund(d)............. 14,729,154 119,300 SPDR Trust Series 1(d)...... 14,659,584 -------------- 29,388,738 -------------- RETAIL -- 3.6% 273,981 Federated Department Stores, Inc. ..................... 18,321,109 1,600,400 Office Depot, Inc.*......... 47,531,880 254,700 Sears Holdings Corp.*....... 31,689,774 255,000 Target Corp. ............... 13,242,150 -------------- 110,784,913 -------------- RETAIL: RESTAURANTS -- 0.6% 535,000 McDonald's Corp. ........... 17,917,150 -------------- RETAIL: SUPERMARKETS -- 1.5% 819,925 Safeway, Inc.(d)............ 20,990,080 295,700 SUPERVALU, Inc. ............ 9,202,184 779,350 The Kroger Company*......... 16,046,817 -------------- 46,239,081 -------------- RUBBER PRODUCTS -- 0.1% 193,100 Cooper Tire & Rubber Company(d)................ 2,948,637 --------------
See notes to portfolios of investments. 53 VALUE & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS -- 2.2% 1,419,600 Advanced Micro Devices, Inc.*..................... $ 35,773,920 1,392,400 Intersil Corp. -- Class A(d)...................... 30,326,472 -------------- 66,100,392 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 5.4% 5,895,300 Lucent Technologies, Inc.*..................... 19,159,725 1,139,200 Nokia Oyj (ADR) (Finland)... 19,263,872 1,707,566 Nortel Networks Corp. (Canada)*................. 5,566,665 9,072,800 Qwest Communications International, Inc.*(d)... 37,198,480 1,466,000 SBC Communications, Inc.(d)................... 35,140,020 1,178,800 Sprint Corp. (FON Group).... 28,031,864 964,950 Tellabs, Inc.*.............. 10,151,274 320,652 Verizon Communications, Inc. ..................... 10,482,114 -------------- 164,994,014 -------------- TOYS -- 1.1% 2,088,000 Mattel, Inc. ............... 34,827,840 -------------- TRANSPORTATION -- 4.7% 377,900 Burlington Northern Santa Fe Corp. .................... 22,598,420 619,200 CNF, Inc. .................. 32,508,000 1,436,600 CSX Corp. .................. 66,773,168 525,300 Norfolk Southern Corp. ..... 21,306,168 -------------- 143,185,756 -------------- UTILITIES: ELECTRIC -- 3.3% 1,200,180 American Electric Power Company, Inc. ............ 47,647,146 374,800 Constellation Energy Group..................... 23,087,680 225,000 Entergy Corp. .............. 16,722,000 305,800 Wisconsin Energy Corp. ..... 12,207,536 -------------- 99,664,362 -------------- TOTAL COMMON STOCKS (Cost $2,609,319,406)..... 2,974,685,120 -------------- PRINCIPAL VALUE --------- -------------- SECURITIES LENDING COLLATERAL -- 9.8% $296,093,239 Securities Lending Collateral Investment (Note 3) (Cost $296,093,239)....... $ 296,093,239 -------------- TOTAL SECURITIES (Cost $2,905,412,645)..... 3,270,778,359 --------------
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENT -- 1.6% $ 48,133,450 With Investors Bank & Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $48,146,767 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 4.29%-4.34%, due 03/01/33-06/01/34 with a total value of $28,237,955, Freddie Mac Adjustable Rate Mortgage, 4.12%, due 12/15/34 with a value of $21,000,000 and Small Business Administration, 7.00%, due 04/25/15, with a value of $1,302,168) (Cost $48,133,450)........ $ 48,133,450 -------------- Total Investments -- 109.3% (Cost $2,953,546,095)..... 3,318,911,809 Liabilities less other assets -- (9.3)%.......... (283,533,339) -------------- NET ASSETS -- 100.0%........ $3,035,378,470 ==============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $2,953,546,095. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation......... $ 473,478,762 Gross unrealized depreciation......... (108,113,048) ------------- Net unrealized appreciation........... $ 365,365,714 =============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 54 VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- COMMON STOCKS -- 97.3% ADVERTISING -- 1.0% 11,200 The Interpublic Group of Companies, Inc.*................ $ 130,368 ----------- AEROSPACE AND DEFENSE -- 4.5% 5,100 Lockheed Martin Corp. ............ 311,304 2,300 Northrop Grumman Corp. ........... 125,005 3,300 Raytheon Company.................. 125,466 ----------- 561,775 ----------- AUTOMOTIVE EQUIPMENT -- 0.9% 1,500 Magna International, Inc. -- Class A (Canada)...................... 112,290 ----------- BANKS -- 2.9% 2,900 Bank of America Corp. ............ 122,090 2,100 Comerica, Inc. ................... 123,690 1,900 KeyCorp........................... 61,275 900 UnionBanCal Corp. ................ 62,748 ----------- 369,803 ----------- CHEMICALS -- 1.6% 12,200 The Mosaic Company*............... 195,444 ----------- COMMERCIAL SERVICES -- 2.4% 14,400 Cendant Corp. .................... 297,216 ----------- COMPUTER SOFTWARE AND SERVICES -- 9.9% 22,200 Computer Associates International, Inc. ........................... 617,382 28,100 Electronic Data Systems Corp. .... 630,564 ----------- 1,247,946 ----------- COMPUTERS AND OFFICE EQUIPMENT -- 0.5% 2,200 Hewlett-Packard Company........... 64,240 ----------- CONSTRUCTION SERVICES AND SUPPLIES -- 5.6% 7,900 Centex Corp. ..................... 510,182 4,400 Pulte Homes, Inc. ................ 188,848 ----------- 699,030 ----------- CONSUMER GOODS AND SERVICES -- 6.6% 6,500 Altria Group, Inc. ............... 479,115 3,900 Eastman Kodak Company............. 94,887 6,000 Unilever PLC (ADR) (United Kingdom)........................ 253,320 ----------- 827,322 ----------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.8% 7,800 Waste Management, Inc. ........... 223,158 -----------
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 9.4% 1,400 CIT Group, Inc. .................. $ 63,252 6,600 Freddie Mac....................... 372,636 7,200 JPMorgan Chase & Company.......... 244,296 2,500 MBNA Corp. ....................... 61,600 3,800 Prudential Financial, Inc. ....... 256,728 4,600 Washington Mutual, Inc. .......... 180,412 ----------- 1,178,924 ----------- FOOD AND BEVERAGE -- 3.0% 8,400 Kraft Foods, Inc. -- Class A...... 256,956 6,600 Sara Lee Corp. ................... 125,070 ----------- 382,026 ----------- INSURANCE -- 14.6% 3,300 Assurant, Inc. ................... 125,598 6,000 Conseco, Inc.*.................... 126,660 6,700 Genworth Financial, Inc. -- Class A............................... 216,008 8,900 MetLife, Inc. .................... 443,487 4,700 Principal Financial Group, Inc. ........................... 222,639 2,200 The Allstate Corp. ............... 121,638 1,700 The Hartford Financial Services Group, Inc. .................... 131,189 9,800 The St. Paul Travelers Companies, Inc. ........................... 439,726 ----------- 1,826,945 ----------- LEISURE AND RECREATION -- 2.5% 7,100 MGM MIRAGE*....................... 310,767 ----------- MANUFACTURING -- 3.3% 15,100 Tyco International, Ltd. (Bermuda)....................... 420,535 ----------- MEDICAL AND OTHER HEALTH SERVICES -- 3.1% 4,900 HCA, Inc. ........................ 234,808 13,900 Tenet Healthcare Corp.*........... 156,097 ----------- 390,905 ----------- METALS AND MINING -- 3.5% 3,800 Alcan, Inc. (Canada).............. 120,574 12,900 Alcoa, Inc. ...................... 315,018 ----------- 435,592 ----------- OIL, COAL AND GAS -- 1.0% 3,000 Petro-Canada (Canada)............. 125,190 ----------- PAPER AND FOREST PRODUCTS -- 2.0% 3,100 International Paper Company....... 92,380 2,300 Weyerhaeuser Company.............. 158,125 ----------- 250,505 -----------
See notes to portfolios of investments. 55 VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ----------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 1.9% 9,000 Merck & Company, Inc. ............ $ 244,890 ----------- RETAIL: RESTAURANTS -- 1.7% 2,800 McDonald's Corp. ................. 93,772 2,500 YUM! Brands, Inc. ................ 121,025 ----------- 214,797 ----------- RETAIL: SUPERMARKETS -- 2.5% 6,100 Albertson's, Inc. ................ 156,465 6,400 Safeway, Inc. .................... 163,840 ----------- 320,305 ----------- SEMICONDUCTORS -- 1.8% 9,900 Freescale Semiconductor, Inc. -- Class A*................ 231,759 ----------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.5% 1,000 ALLTEL Corp. ..................... 65,110 ----------- TRANSPORTATION -- 3.1% 8,500 CSX Corp. ........................ 395,080 ----------- UTILITIES: ELECTRIC -- 5.7% 1,300 Entergy Corp. .................... 96,616 4,300 FirstEnergy Corp. ................ 224,116 8,300 FPL Group, Inc. .................. 395,080 ----------- 715,812 ----------- TOTAL COMMON STOCKS (Cost $11,709,881).............. 12,237,734 ----------- PRINCIPAL VALUE --------- ----------- REPURCHASE AGREEMENT -- 2.4% $298,866 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $298,949 (Collateralized by Government National Mortgage Association, 3.75%, due 02/20/32, with a value of $313,809) (Cost $298,866)................. $ 298,866 ----------- Total Investments -- 99.7% (Cost $12,008,747).............. 12,536,600 Other assets less liabilities -- 0.3%............. 39,398 ----------- NET ASSETS -- 100.0%.............. $12,575,998 ===========
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $12,008,747. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation............ $ 807,459 Gross unrealized depreciation............ (279,606) --------- Net unrealized appreciation.............. $ 527,853 =========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 56 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 98.7% AEROSPACE AND DEFENSE -- 1.6% 26,400 Lockheed Martin Corp. ...... $ 1,611,456 115,000 Northrop Grumman Corp. ..... 6,250,250 67,100 Raytheon Company............ 2,551,142 125,500 The Boeing Company(d)....... 8,527,725 -------------- 18,940,573 -------------- AGRICULTURE -- 0.4% 81,500 Monsanto Company............ 5,114,125 -------------- APPAREL: MANUFACTURING AND RETAIL -- 1.3% 67,100 Abercrombie & Fitch Company -- Class A........ 3,344,935 133,600 Coach, Inc.*................ 4,189,696 17,800 Nike, Inc. -- Class B....... 1,453,904 155,200 Nordstrom, Inc. ............ 5,326,464 42,600 Payless ShoeSource, Inc.*... 741,240 3,500 VF Corp. ................... 202,895 -------------- 15,259,134 -------------- ASSET MANAGEMENT -- 0.3% 86,100 Brascan Corp. -- Class A (Canada)(d)............... 4,012,260 -------------- AUTOMOBILE: RETAIL -- 0.2% 96,800 AutoNation, Inc.*........... 1,933,096 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.4% 511,200 Ford Motor Company(d)....... 5,040,432 -------------- AUTOMOTIVE EQUIPMENT -- 0.4% 84,400 Autoliv, Inc. .............. 3,671,400 27,200 TRW Automotive Holdings Corp.*.................... 798,048 -------------- 4,469,448 -------------- BANKS -- 6.1% 185,200 Bank of America Corp. ...... 7,796,920 16,000 Bank of Hawaii Corp. ....... 787,520 59,600 BB&T Corp. ................. 2,327,380 65,000 Comerica, Inc. ............. 3,828,500 89,900 Commerce Bancorp, Inc. (New Jersey)(d)................ 2,759,031 38,400 Downey Financial Corp. ..... 2,338,560 80,100 IndyMac Bancorp, Inc. ...... 3,170,358 136,300 KeyCorp..................... 4,395,675 79,900 National City Corp. ........ 2,671,856 7,700 Northern Trust Corp. ....... 389,235 46,200 PNC Financial Services Group, Inc. .............. 2,680,524 88,500 UnionBanCal Corp. .......... 6,170,220 370,000 US Bancorp.................. 10,389,600
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 185,500 Wachovia Corp. ............. $ 8,827,945 219,000 Wells Fargo & Company....... 12,826,830 -------------- 71,360,154 -------------- BROADCAST SERVICES/MEDIA -- 3.2% 84,300 Comcast Corp. -- Class A*... 2,476,734 18,500 Gannett Company, Inc. ...... 1,273,355 13,500 Hearst-Argyle Television, Inc. -- Class A........... 346,815 28,600 Liberty Global, Inc. -- Class A*.......... 774,488 28,600 Liberty Global, Inc. -- Series C*(d).............. 736,450 194,100 Liberty Media Corp. -- Class A*........................ 1,562,505 29,600 McGraw-Hill Companies, Inc. ..................... 1,421,984 119,400 News Corp. -- Class A....... 1,861,446 152,700 Shaw Communications, Inc. -- Class B (Canada).......... 3,202,119 125,600 The Walt Disney Company..... 3,030,728 586,000 Time Warner, Inc. .......... 10,612,460 210,465 Viacom, Inc. -- Class B..... 6,947,450 93,100 XM Satellite Radio Holdings, Inc. -- Class A*(d)....... 3,343,221 -------------- 37,589,755 -------------- BUSINESS SERVICES AND SUPPLIES -- 0.8% 42,200 Fair Isaac Corp. ........... 1,890,560 37,100 Fiserv, Inc.*............... 1,701,777 104,300 GTECH Holdings Corp. ....... 3,343,858 52,100 Moody's Corp.(d)............ 2,661,268 -------------- 9,597,463 -------------- CHEMICALS -- 0.7% 133,600 Agrium, Inc. (Canada)....... 2,935,192 64,100 Methanex Corp. (Canada)..... 953,167 113,200 The Dow Chemical Company.... 4,717,044 -------------- 8,605,403 -------------- COMMERCIAL SERVICES -- 0.2% 107,500 Cendant Corp. .............. 2,218,800 -------------- COMPUTER SOFTWARE AND SERVICES -- 5.2% 143,800 ATI Technologies, Inc. (Canada)*................. 2,004,572 55,700 Autodesk, Inc. ............. 2,586,708 76,900 Automatic Data Processing, Inc. ..................... 3,309,776 55,100 BMC Software, Inc.*......... 1,162,610 88,100 Cadence Design Systems, Inc.*(d).................. 1,423,696 160 Computer Associates International, Inc. ...... 4,450
See notes to portfolios of investments. 57 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES (CONTINUED) 53,700 Computer Sciences Corp.*.... $ 2,540,547 197,400 Compuware Corp.*............ 1,875,300 125,300 Electronic Arts, Inc.*...... 7,128,317 175,700 Ingram Micro, Inc. -- Class A*........................ 3,257,478 1,172,000 Microsoft Corp. ............ 30,155,560 142,100 NVIDIA Corp.*(d)............ 4,871,188 -------------- 60,320,202 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 3.1% 46,100 Apple Computer, Inc.*....... 2,471,421 98,000 Dell, Inc.*................. 3,351,600 453,700 Hewlett-Packard Company..... 13,248,040 49,200 HNI Corp.(d)................ 2,962,824 102,300 International Business Machines Corp. ........... 8,206,506 122,700 SanDisk Corp.*.............. 5,920,275 -------------- 36,160,666 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.9% 52,900 Beazer Homes USA, Inc.(d)... 3,103,643 21,900 KB Home..................... 1,603,080 37,700 MDC Holdings, Inc. ......... 2,974,153 70,800 Standard Pacific Corp. ..... 2,938,908 -------------- 10,619,784 -------------- CONSUMER GOODS AND SERVICES -- 7.2% 198,800 Altria Group, Inc. ......... 14,653,548 33,300 American Greetings Corp. -- Class A(d)................ 912,420 93,300 Colgate-Palmolive Company... 4,925,307 58,300 Energizer Holdings, Inc.*... 3,305,610 908,900 General Electric Company.... 30,602,663 324,000 Procter & Gamble Company(d)................ 19,265,040 24,600 Reynolds American, Inc.(d)................... 2,042,292 12,100 The Black & Decker Corp. ... 993,289 47,400 The Clorox Company.......... 2,632,596 31,800 The Gillette Company........ 1,850,760 5,400 United Parcel Service, Inc. -- Class B........... 373,302 31,100 UST, Inc. .................. 1,301,846 -------------- 82,858,673 -------------- DISTRIBUTION -- 0.0% 10,000 Tech Data Corp.*............ 367,100 -------------- ELECTRONICS -- 0.2% 25,700 Emerson Electric Company.... 1,845,260 16,500 Jabil Circuit, Inc.*........ 510,180 -------------- 2,355,440 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.0% 10,400 Republic Services, Inc. .... $ 367,016 -------------- FINANCIAL SERVICES -- 8.1% 164,400 American Express Company.... 9,443,136 89,300 AmeriCredit Corp.*.......... 2,131,591 20,200 Ameritrade Holding Corp.*(d)................. 433,896 66,200 Capital One Financial Corp. .................... 5,264,224 559,000 Citigroup, Inc. ............ 25,445,680 28,900 E*TRADE Financial Corp.*.... 508,640 15,700 Franklin Resources, Inc. ... 1,318,172 181,700 JPMorgan Chase & Company.... 6,165,081 59,600 Lehman Brothers Holdings, Inc.(d)................... 6,942,208 181,400 Merrill Lynch & Company, Inc. ..................... 11,128,890 47,600 Morgan Stanley.............. 2,567,544 15,900 Nuveen Investments -- Class A......................... 626,301 39,500 Providian Financial Corp.*.................... 698,360 49,000 Prudential Financial, Inc. ..................... 3,310,440 16,200 The Bear Stearns Companies, Inc. ..................... 1,777,950 51,100 The Goldman Sachs Group, Inc. ..................... 6,212,738 225,400 Washington Mutual, Inc.(d)................... 8,840,188 -------------- 92,815,039 -------------- FOOD AND BEVERAGE -- 2.6% 112,700 Archer-Daniels-Midland Company................... 2,779,182 136,200 Coca-Cola Company........... 5,882,478 67,800 Dean Foods Company*......... 2,634,708 6,400 Hershey Foods Corp. ........ 360,384 14,100 PepsiAmericas, Inc. ........ 320,493 155,200 PepsiCo, Inc. .............. 8,801,392 60,100 Pilgrim's Pride Corp. ...... 2,187,640 104,500 Sysco Corp. ................ 3,278,165 63,800 The Pepsi Bottling Group, Inc. ..................... 1,821,490 111,300 Tyson Foods, Inc. -- Class A......................... 2,008,965 -------------- 30,074,897 -------------- INSURANCE -- 5.9% 62,600 Aetna, Inc. ................ 5,392,364 128,800 American International Group, Inc. .............. 7,980,448 108,600 Axis Capital Holdings, Ltd. (Bermuda)................. 3,096,186 15,300 CIGNA Corp. ................ 1,803,258 69,800 Endurance Specialty Holdings, Ltd. (Bermuda)................. 2,380,878 70,000 First American Corp. ....... 3,196,900
See notes to portfolios of investments. 58 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 68,900 Genworth Financial, Inc. -- Class A................... $ 2,221,336 60,400 Loews Corp. ................ 5,581,564 41,600 MBIA, Inc.(d)............... 2,521,792 68,300 MetLife, Inc. .............. 3,403,389 11,900 Nationwide Financial Services, Inc. -- Class A......................... 476,595 132,200 Principal Financial Group, Inc. ..................... 6,262,314 63,400 Radian Group, Inc. ......... 3,366,540 70,400 SAFECO Corp. ............... 3,757,952 127,700 The Allstate Corp. ......... 7,060,533 10,500 The Chubb Corp. ............ 940,275 77,200 The PMI Group, Inc. ........ 3,077,964 25,000 The Progressive Corp. ...... 2,619,250 38,100 The St. Paul Travelers Companies, Inc. .......... 1,709,547 17,000 XL Capital, Ltd. -- Class A (Cayman Islands).......... 1,156,510 -------------- 68,005,595 -------------- INTERNET SERVICES -- 2.4% 234,800 Cisco Systems, Inc.*........ 4,209,964 33,500 Google, Inc. -- Class A*(d)..................... 10,601,410 214,100 Juniper Networks, Inc.*..... 5,093,439 18,300 McAfee, Inc.*............... 574,986 36,500 Symantec Corp.*............. 827,090 102,200 VeriSign, Inc.*............. 2,184,014 134,700 YAHOO!, Inc.*............... 4,558,248 -------------- 28,049,151 -------------- LEISURE AND RECREATION -- 1.0% 8,300 Carnival Corp. (Panama)..... 414,834 10,200 Marriott International, Inc. -- Class A........... 642,600 24,600 MGM MIRAGE*................. 1,076,742 38,200 Royal Caribbean Cruises, Ltd. (Liberia)............ 1,650,240 137,500 Starwood Hotels & Resorts Worldwide, Inc. .......... 7,860,875 -------------- 11,645,291 -------------- MACHINERY -- 1.4% 106,600 Caterpillar, Inc. .......... 6,262,750 35,200 Cummins, Inc.(d)............ 3,097,248 46,500 Deere & Company............. 2,845,800 20,800 Terex Corp.*................ 1,028,144 116,500 The Timken Company.......... 3,451,895 -------------- 16,685,837 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MANUFACTURING -- 0.8% 38,600 3M Company.................. $ 2,831,696 8,400 Harsco Corp. ............... 550,788 102,300 Honeywell International, Inc. ..................... 3,836,250 5,100 Illinois Tool Works, Inc. ..................... 419,883 9,600 Ingersoll-Rand Company, Ltd. -- Class A (Bermuda)................. 367,008 9,900 ITT Industries, Inc. ....... 1,124,640 -------------- 9,130,265 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 1.7% 66,900 DaVita, Inc.*(d)............ 3,082,083 57,000 McKesson Corp. ............. 2,704,650 38,600 Medco Health Solutions, Inc.*..................... 2,116,438 38,500 Omnicare, Inc. ............. 2,164,855 88,700 UnitedHealth Group, Inc.(d)................... 4,984,940 57,400 WellPoint, Inc.*............ 4,352,068 -------------- 19,405,034 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 4.2% 40,700 Baxter International, Inc. ..................... 1,622,709 6,800 Becton, Dickinson and Company................... 356,524 67,300 Dade Behring Holdings, Inc. ..................... 2,467,218 10,900 Guidant Corp. .............. 750,901 368,000 Johnson & Johnson........... 23,287,040 69,100 Kinetic Concepts, Inc.*..... 3,924,880 120,300 Medtronic, Inc. ............ 6,450,486 113,900 St Jude Medical, Inc.*...... 5,330,520 51,900 Stryker Corp. .............. 2,565,417 27,500 Zimmer Holdings, Inc.*...... 1,894,475 -------------- 48,650,170 -------------- METALS AND MINING -- 1.2% 46,000 IPSCO, Inc. (Canada)........ 3,288,540 7,600 Newmont Mining Corp. ....... 358,492 101,200 Nucor Corp. ................ 5,969,788 26,400 Phelps Dodge Corp. ......... 3,430,152 30,900 United States Steel Corp.(d).................. 1,308,615 -------------- 14,355,587 -------------- OIL AND GAS: PIPELINES -- 0.1% 12,900 Questar Corp. .............. 1,136,748 -------------- OIL, COAL AND GAS -- 10.1% 30,900 Anadarko Petroleum Corp. ... 2,958,675 37,600 Apache Corp. ............... 2,828,272 40,300 Baker Hughes, Inc. ......... 2,405,104 40,100 Burlington Resources, Inc. ..................... 3,260,932 243,700 ChevronTexaco Corp. ........ 15,774,701 194,000 ConocoPhillips.............. 13,562,540
See notes to portfolios of investments. 59 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 100,300 Devon Energy Corp. ......... $ 6,884,592 99,300 EOG Resources, Inc. ........ 7,437,570 493,800 Exxon Mobil Corp.(d)........ 31,376,052 26,000 Marathon Oil Corp. ......... 1,792,180 89,100 Newfield Exploration Company*.................. 4,374,810 37,500 Occidental Petroleum Corp. .................... 3,203,625 51,400 Petro-Canada (Canada)....... 2,144,922 60,000 PetroKazakhstan, Inc. -- Class A (Canada).......... 3,265,800 11,300 Schlumberger, Ltd. (Netherlands Antilles).... 953,494 88,300 Sunoco, Inc. ............... 6,905,060 32,600 Transocean, Inc. (Cayman Islands)*................. 1,998,706 94,000 UGI Corp. .................. 2,646,100 26,600 Valero Energy Corp. ........ 3,007,396 -------------- 116,780,531 -------------- PAPER AND FOREST PRODUCTS -- 0.0% 10,300 Georgia-Pacific Corp. ...... 350,818 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 7.2% 9,800 Abbott Laboratories......... 415,520 28,100 Allergan, Inc.(d)........... 2,574,522 70,200 AmerisourceBergen Corp. .... 5,426,460 215,800 Amgen, Inc.*................ 17,192,786 41,000 Bristol-Myers Squibb Company................... 986,460 27,700 Cardinal Health, Inc. ...... 1,757,288 147,000 Caremark Rx, Inc.*.......... 7,339,710 37,300 Eli Lilly and Company....... 1,996,296 53,200 Genentech, Inc.*............ 4,479,972 12,400 Genzyme Corp.*.............. 888,336 203,300 King Pharmaceuticals, Inc.*..................... 3,126,754 47,200 Merck & Company, Inc. ...... 1,284,312 36,800 Novartis AG (ADR) (Switzerland)............. 1,876,800 1,104,100 Pfizer, Inc. ............... 27,569,377 132,200 Wyeth....................... 6,116,894 -------------- 83,031,487 -------------- PRINTING AND PUBLISHING -- 0.0% 18,600 Dex Media, Inc. ............ 516,894 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.3% 70,300 CB Richard Ellis Group, Inc. -- Class A*.......... 3,458,760 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.2% 74,300 Equity Office Properties Trust..................... $ 2,430,353 -------------- RETAIL -- 3.9% 25,600 7-Eleven, Inc.*............. 911,616 107,400 Best Buy Company, Inc. ..... 4,675,122 111,703 Circuit City Stores, Inc. ..................... 1,916,823 154,600 CVS Corp. .................. 4,484,946 48,200 Dillard's, Inc. -- Class A......................... 1,006,416 13,900 Federated Department Stores, Inc. ..................... 929,493 19,000 Home Depot, Inc. ........... 724,660 83,400 JC Penney Company, Inc. (Holding Company)......... 3,954,828 105,500 Kohl's Corp.*............... 5,293,990 74,900 Lowe's Companies, Inc.(d)... 4,823,560 158,900 Office Depot, Inc.*......... 4,719,330 33,700 Sears Holdings Corp.*....... 4,192,954 13,200 Target Corp. ............... 685,476 64,800 Wal-Mart Stores, Inc. ...... 2,839,536 93,400 Walgreen Company............ 4,058,230 -------------- 45,216,980 -------------- RETAIL: RESTAURANTS -- 0.8% 82,100 Brinker International, Inc.*(d).................. 3,083,676 116,600 Darden Restaurants, Inc. ... 3,541,142 18,700 Starbucks Corp.*............ 936,870 29,700 YUM! Brands, Inc. .......... 1,437,777 -------------- 8,999,465 -------------- RETAIL: SUPERMARKETS -- 0.9% 151,500 SUPERVALU, Inc. ............ 4,714,680 267,300 The Kroger Company*......... 5,503,707 -------------- 10,218,387 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.1% 32,900 Agilent Technologies, Inc.*..................... 1,077,475 -------------- SEMICONDUCTORS -- 4.3% 38,500 Advanced Micro Devices, Inc.*..................... 970,200 249,800 Applied Materials, Inc. .... 4,236,608 88,500 Broadcom Corp. -- Class A*........................ 4,151,535
See notes to portfolios of investments. 60 GROWTH & INCOME PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 55,499 Freescale Semiconductor, Inc. -- Class B*.......... $ 1,308,666 345,600 Intel Corp. ................ 8,519,040 100,300 Maxim Integrated Products, Inc. ..................... 4,277,795 138,500 Micron Technology, Inc.*.... 1,842,050 271,500 National Semiconductor Corp. .................... 7,140,450 502,400 Texas Instruments, Inc. .... 17,031,360 -------------- 49,477,704 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 4.6% 149,700 BCE, Inc. (Canada)(d)....... 4,107,768 44,800 BellSouth Corp. ............ 1,178,240 165,800 CenturyTel, Inc.(d)......... 5,799,684 653,800 Motorola, Inc. ............. 14,442,442 216,900 QUALCOMM, Inc. ............. 9,706,275 49,600 SBC Communications, Inc.(d)................... 1,188,912 103,300 Sprint Corp. (FON Group).... 2,456,474 11,100 Telephone and Data Systems, Inc. -- Special Common Shares.................... 416,805 443,000 Verizon Communications, Inc. ..................... 14,481,670 -------------- 53,778,270 -------------- TRANSPORTATION -- 1.3% 33,000 Burlington Northern Santa Fe Corp. .................... 1,973,400 60,200 CNF, Inc. .................. 3,160,500 87,500 CSX Corp. .................. 4,067,000 103,400 Norfolk Southern Corp. ..... 4,193,904 14,900 Swift Transportation Company, Inc.*............ 263,730 41,900 Teekay Shipping Corp. (Marshall Islands)........ 1,803,795 -------------- 15,462,329 -------------- UTILITIES: ELECTRIC -- 3.4% 46,700 American Electric Power Company, Inc. ............ 1,853,990 74,000 Constellation Energy Group..................... 4,558,400 161,700 Edison International(d)..... 7,645,176 67,200 Entergy Corp. .............. 4,994,304 77,000 Exelon Corp. ............... 4,114,880 82,600 FirstEnergy Corp. .......... 4,305,112 47,200 NRG Energy, Inc.*(d)........ 2,010,720
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) 69,300 PG&E Corp. ................. $ 2,720,025 64,100 TXU Corp. .................. 7,235,608 15,000 Wisconsin Energy Corp. ..... 598,800 -------------- 40,037,015 -------------- TOTAL COMMON STOCKS (Cost $1,024,743,840)........... 1,147,979,606 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 9.8% $113,406,276 Securities Lending Collateral Investment (Note 3) (Cost $113,406,276)....... 113,406,276 -------------- TOTAL SECURITIES (Cost $1,138,150,116)..... 1,261,385,882 -------------- REPURCHASE AGREEMENT -- 1.0% 11,287,633 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $11,290,756 (Collateralized by various Small Business Administrations, 5.13%-6.29%, due 02/25/29- 05/25/30, with a total value of $11,852,015) (Cost $11,287,633)........ 11,287,633 -------------- Total Investments -- 109.5% (Cost $1,149,437,749)..... 1,272,673,515 Liabilities less other assets -- (9.5)%.......... (110,217,013) -------------- NET ASSETS -- 100.0%....... $1,162,456,502 ==============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $1,149,437,749. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $152,670,124 Gross unrealized depreciation.......... (29,434,358) ------------ Net unrealized appreciation............ $123,235,766 ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 61 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 99.0% AEROSPACE AND DEFENSE -- 1.5% 161,122 General Dynamics Corp. ..... $ 19,262,135 267,170 The Boeing Company.......... 18,154,202 -------------- 37,416,337 -------------- AGRICULTURE -- 0.4% 153,200 Monsanto Company............ 9,613,300 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.3% 210,285 Nordstrom, Inc. ............ 7,216,981 -------------- BANKS -- 1.5% 372,500 Commerce Bancorp, Inc. (New Jersey)(d)................ 11,432,025 305,324 UBS AG (Switzerland)........ 26,105,202 -------------- 37,537,227 -------------- BROADCAST SERVICES/MEDIA -- 1.5% 495,600 News Corp. -- Class A....... 7,726,404 936,460 Time Warner, Inc. .......... 16,959,291 380,000 XM Satellite Radio Holdings, Inc. -- Class A*(d)....... 13,645,800 -------------- 38,331,495 -------------- CHEMICALS -- 0.4% 250,800 The Dow Chemical Company.... 10,450,836 -------------- COMPUTER SOFTWARE AND SERVICES -- 6.2% 581,230 ATI Technologies, Inc. (Canada)*................. 8,102,346 313,900 Automatic Data Processing, Inc. ..................... 13,510,256 506,695 Electronic Arts, Inc.*...... 28,825,879 3,251,470 Microsoft Corp. ............ 83,660,323 576,115 NVIDIA Corp.*(d)............ 19,749,222 -------------- 153,848,026 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 2.0% 311,550 International Business Machines Corp. ........... 24,992,541 500,200 SanDisk Corp.*.............. 24,134,650 -------------- 49,127,191 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 0.4% 186,627 Lennar Corp. -- Class A(d)...................... 11,152,830 -------------- CONSUMER GOODS AND SERVICES -- 12.1% 230,605 Altria Group, Inc. ......... 16,997,895 310,900 Colgate-Palmolive Company... 16,412,411 424,720 FedEx Corp. ................ 37,005,854 3,655,841 General Electric Company.... 123,092,167 1,764,442 Procter & Gamble Company(d)................ 104,913,721 -------------- 298,422,048 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 8.6% 677,120 American Express Company.... $ 38,893,773 270,810 Capital One Financial Corp.(d).................. 21,534,811 118,779 Chicago Mercantile Exchange Holdings, Inc. ........... 40,064,157 733,402 Countrywide Financial Corp.(d).................. 24,187,598 766,255 SLM Corp. .................. 41,101,918 399,170 The Goldman Sachs Group, Inc. ..................... 48,531,088 -------------- 214,313,345 -------------- FOOD AND BEVERAGE -- 2.5% 362,000 Coca-Cola Company........... 15,634,780 575,284 PepsiCo, Inc. .............. 32,624,356 432,600 Sysco Corp. ................ 13,570,662 -------------- 61,829,798 -------------- INSURANCE -- 0.8% 330,100 American International Group, Inc. .............. 20,452,996 -------------- INTERNET SERVICES -- 4.4% 191,855 Google, Inc. -- Class A*(d)..................... 60,714,433 874,100 Juniper Networks, Inc.*..... 20,794,839 382,895 VeriSign, Inc.*............. 8,182,466 552,370 YAHOO!, Inc.*............... 18,692,201 -------------- 108,383,939 -------------- LEISURE AND RECREATION -- 3.6% 142,558 Four Seasons Hotels, Inc. (Canada)(d)............... 8,182,829 541,597 MGM MIRAGE*................. 23,705,701 157,660 Royal Caribbean Cruises, Ltd. (Liberia)............ 6,810,912 558,425 Starwood Hotels & Resorts Worldwide, Inc. .......... 31,925,157 416,544 Wynn Resorts, Ltd.*(d)...... 18,806,962 -------------- 89,431,561 -------------- MACHINERY -- 3.6% 1,307,511 Caterpillar, Inc. .......... 76,816,271 190,145 Deere & Company............. 11,636,874 -------------- 88,453,145 --------------
See notes to portfolios of investments. 62 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MANUFACTURING -- 0.6% 417,500 Honeywell International, Inc. ..................... $ 15,656,250 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 5.8% 271,190 DaVita, Inc.*(d)............ 12,493,723 156,530 Medco Health Solutions, Inc.*..................... 8,582,540 157,700 Omnicare, Inc. ............. 8,867,471 1,696,675 UnitedHealth Group, Inc. ... 95,353,135 234,300 WellPoint, Inc.*............ 17,764,626 -------------- 143,061,495 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 7.7% 1,206,131 Johnson & Johnson........... 76,323,969 259,800 Kinetic Concepts, Inc.*..... 14,756,640 682,690 Medtronic, Inc. ............ 36,605,838 221,400 St Jude Medical, Inc.*...... 10,361,520 211,800 Stryker Corp. .............. 10,469,274 629,802 Zimmer Holdings, Inc.*...... 43,387,060 -------------- 191,904,301 -------------- OIL, COAL AND GAS -- 3.6% 166,380 Baker Hughes, Inc. ......... 9,929,558 285,400 EOG Resources, Inc. ........ 21,376,460 535,602 Exxon Mobil Corp. .......... 34,032,151 96,916 Halliburton Company......... 6,640,684 366,745 Newfield Exploration Company*.................. 18,007,180 -------------- 89,986,033 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 8.7% 838,330 Amgen, Inc.*................ 66,789,751 558,700 Caremark Rx, Inc.*.......... 27,895,891 951,830 Genentech, Inc.*............ 80,153,604 150,200 Novartis AG (ADR) (Switzerland)(d).......... 7,660,200 717,939 Pfizer, Inc. ............... 17,926,937 315,400 Wyeth....................... 14,593,558 -------------- 215,019,941 -------------- RETAIL -- 8.3% 435,767 Best Buy Company, Inc. ..... 18,968,938 979,658 CVS Corp. .................. 28,419,879 338,060 JC Penney Company, Inc. (Holding Company)......... 16,030,805 426,955 Kohl's Corp.*............... 21,424,602
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 1,119,979 Lowe's Companies, Inc.(d)... $ 72,126,647 650,600 Office Depot, Inc.*......... 19,322,820 136,520 Sears Holdings Corp.*....... 16,985,818 322,900 Walgreen Company............ 14,030,005 -------------- 207,309,514 -------------- RETAIL: RESTAURANTS -- 0.5% 270,980 Starbucks Corp.*............ 13,576,098 -------------- SEMICONDUCTORS -- 5.4% 1,024,240 Applied Materials, Inc. .... 17,371,110 363,360 Broadcom Corp. -- Class A*........................ 17,045,218 413,775 Maxim Integrated Products, Inc. ..................... 17,647,504 1,108,500 National Semiconductor Corp. .................... 29,153,550 1,560,500 Texas Instruments, Inc. .... 52,900,950 -------------- 134,118,332 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.3% 3,432,236 Motorola, Inc. ............. 75,818,093 1,800,680 QUALCOMM, Inc. ............. 80,580,430 -------------- 156,398,523 -------------- TRANSPORTATION -- 0.5% 55,856 Burlington Northern Santa Fe Corp. .................... 3,340,189 199,280 Norfolk Southern Corp. ..... 8,082,797 -------------- 11,422,986 -------------- UTILITIES: ELECTRIC -- 1.8% 140,580 Exelon Corp. ............... 7,512,595 332,006 TXU Corp. .................. 37,476,837 -------------- 44,989,432 -------------- TOTAL COMMON STOCKS (Cost $2,099,959,238)........... 2,459,423,960 -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 8.3% $206,070,291 Securities Lending Collateral Investment (Note 3) (Cost $206,070,291)....... 206,070,291 -------------- TOTAL SECURITIES (Cost $2,306,029,529)..... 2,665,494,251 --------------
See notes to portfolios of investments. 63 EQUITY GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENT -- 0.8% $ 19,176,741 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $19,182,047 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.96%-4.79%, due 03/01/33-09/01/34, with a total value of $20,135,578) (Cost $19,176,741)........ $ 19,176,741 -------------- Total Investments -- 108.1% (Cost $2,325,206,270)..... 2,684,670,992 Liabilities less other assets -- (8.1)%.......... (200,073,698) -------------- NET ASSETS -- 100.0%........ $2,484,597,294 ==============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $2,325,206,270. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $393,586,321 Gross unrealized depreciation.......... (34,121,599) ------------ Net unrealized appreciation............ $359,464,722 ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 64 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 95.2% AEROSPACE AND DEFENSE -- 1.4% 183,300 Goodrich Corp. ................ $ 8,127,522 ------------ AIRLINES -- 0.4% 46,400 Alaska Air Group, Inc.*(d)..... 1,348,384 121,900 ExpressJet Holdings, Inc.*..... 1,093,443 ------------ 2,441,827 ------------ APPAREL: MANUFACTURING AND RETAIL -- 2.4% 220,400 Foot Locker, Inc. ............. 4,835,576 113,600 Limited Brands, Inc. .......... 2,320,848 24,400 Reebok International, Ltd. .... 1,380,308 59,600 Russell Corp. ................. 836,784 98,550 The Cato Corp. -- Class A...... 1,964,102 44,300 VF Corp. ...................... 2,568,071 ------------ 13,905,689 ------------ ASSET MANAGEMENT -- 1.5% 182,100 Brascan Corp. -- Class A (Canada)(d).................. 8,485,860 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.8% 65,300 Navistar International Corp.*....................... 2,117,679 94,600 Winnebago Industries, Inc.(d)...................... 2,740,562 ------------ 4,858,241 ------------ AUTOMOTIVE EQUIPMENT -- 0.7% 97,600 ArvinMeritor, Inc. ............ 1,631,872 52,900 Autoliv, Inc. ................. 2,301,150 ------------ 3,933,022 ------------ BANKS -- 7.3% 55,200 Comerica, Inc. ................ 3,251,280 35,300 Downey Financial Corp. ........ 2,149,770 98,500 KeyCorp........................ 3,176,625 40,900 M&T Bank Corp.(d).............. 4,323,539 262,100 North Fork Bancorp, Inc. ...... 6,683,550 142,900 PNC Financial Services Group, Inc. ........................ 8,291,058 152,100 State Street Corp. ............ 7,440,732 73,900 Trustmark Corp. ............... 2,058,115 34,600 UnionBanCal Corp. ............. 2,412,312 67,259 United Bankshares, Inc. ....... 2,350,702 ------------ 42,137,683 ------------ BROADCAST SERVICES/MEDIA -- 1.6% 84,100 Arbitron, Inc. ................ 3,350,544 114,100 The EW Scripps Company -- Class A............................ 5,701,577 ------------ 9,052,121 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES -- 2.5% 169,800 Convergys Corp.*............... $ 2,440,026 82,100 Dun & Bradstreet Corp.*........ 5,407,927 145,800 Manpower, Inc. ................ 6,472,062 ------------ 14,320,015 ------------ CHEMICALS -- 2.4% 38,100 Ashland, Inc. ................. 2,104,644 42,300 Eastman Chemical Company....... 1,986,831 197,400 Huntsman Corp.*................ 3,859,170 146,500 PolyOne Corp.*................. 887,790 38,100 PPG Industries, Inc. .......... 2,255,139 60,800 The Lubrizol Corp. ............ 2,634,464 ------------ 13,728,038 ------------ COMMERCIAL SERVICES -- 1.1% 117,600 ChoicePoint, Inc.*............. 5,076,792 26,200 Pre-Paid Legal Services, Inc. ........................ 1,013,940 ------------ 6,090,732 ------------ COMPUTER SOFTWARE AND SERVICES -- 2.8% 24,800 Computer Sciences Corp.*....... 1,173,288 282,800 NCR Corp.*..................... 9,024,148 144,700 Sybase, Inc.*.................. 3,388,874 85,100 The Reynolds and Reynolds Company -- Class A........... 2,332,591 ------------ 15,918,901 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.2% 121,200 Pitney Bowes, Inc. ............ 5,058,888 127,400 Western Digital Corp.*......... 1,647,282 ------------ 6,706,170 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.5% 150,600 American Standard Companies, Inc. ........................ 7,010,430 15,200 KB Home(d)..................... 1,112,640 17,000 The Ryland Group, Inc. ........ 1,163,140 72,500 USG Corp.*(d).................. 4,982,200 ------------ 14,268,410 ------------ CONSUMER GOODS AND SERVICES -- 2.5% 73,500 Blyth, Inc. ................... 1,638,315 82,900 Eastman Kodak Company(d)....... 2,016,957 63,500 Fortune Brands, Inc. .......... 5,164,455 115,200 Tupperware Corp. .............. 2,624,256 37,900 Whirlpool Corp. ............... 2,871,683 ------------ 14,315,666 ------------ ELECTRONICS -- 1.1% 297,000 Thomson (ADR) (France)(d)...... 6,201,360 ------------
See notes to portfolios of investments. 65 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 135,700 Allied Waste Industries, Inc.*(d)..................... $ 1,146,665 ------------ EQUIPMENT RENTAL AND LEASING -- 0.4% 112,400 United Rentals, Inc.*(d)....... 2,215,404 ------------ FINANCIAL SERVICES -- 4.8% 75,964 Advanta Corp. -- Class B....... 2,144,464 58,100 AG Edwards, Inc. .............. 2,545,361 149,900 CIT Group, Inc.(d)............. 6,772,482 398,800 E*TRADE Financial Corp.*....... 7,018,880 80,500 Friedman, Billings, Ramsey Group, Inc. -- Class A(d).... 820,295 54,800 H&R Block, Inc. ............... 1,314,104 169,500 Nuveen Investments -- Class A(d)......................... 6,676,605 ------------ 27,292,191 ------------ FOOD AND BEVERAGE -- 1.9% 152,900 Archer-Daniels-Midland Company...................... 3,770,514 122,500 McCormick & Company, Inc. ..... 3,997,175 53,200 The Pepsi Bottling Group, Inc. ........................ 1,518,860 76,500 Tyson Foods, Inc. -- Class A... 1,380,825 ------------ 10,667,374 ------------ INSURANCE -- 7.6% 189,400 Aon Corp. ..................... 6,075,952 120,100 Assurant, Inc. ................ 4,571,006 19,100 CIGNA Corp. ................... 2,251,126 64,680 Cincinnati Financial Corp. .... 2,709,445 102,000 Horace Mann Educators Corp. ... 2,017,560 40,600 Jefferson-Pilot Corp. ......... 2,077,502 36,600 LandAmerica Financial Group, Inc.(d)...................... 2,366,190 59,800 Lincoln National Corp. ........ 3,110,796 127,900 MBIA, Inc.(d).................. 7,753,298 28,400 MGIC Investment Corp.(d)....... 1,823,280 70,400 Principal Financial Group, Inc. ........................ 3,334,848 56,300 SAFECO Corp. .................. 3,005,294 55,000 Unitrin, Inc. ................. 2,610,300 ------------ 43,706,597 ------------ INTERNET SERVICES -- 0.5% 259,500 EarthLink, Inc.*............... 2,776,650 ------------ LEISURE AND RECREATION -- 3.9% 133,900 Harrah's Entertainment, Inc. ........................ 8,728,941 264,500 Hilton Hotels Corp. ........... 5,903,640
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) LEISURE AND RECREATION (CONTINUED) 246,071 InterContinental Hotels Group PLC (ADR) (United Kingdom)(d).................. $ 3,130,023 112,700 Royal Caribbean Cruises, Ltd. (Liberia).................... 4,868,640 ------------ 22,631,244 ------------ MANUFACTURING -- 3.9% 91,900 Carlisle Companies, Inc.(d).... 5,842,083 41,300 Crane Company.................. 1,228,262 64,700 EnPro Industries, Inc.*........ 2,179,743 58,400 ITT Industries, Inc. .......... 6,634,240 113,800 The Sherwin-Williams Company... 5,015,166 104,900 Tredegar Corp. ................ 1,364,749 ------------ 22,264,243 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 1.0% 31,400 Kindred Healthcare, Inc.*...... 935,720 31,200 Universal Health Services, Inc. -- Class B(d)........... 1,486,056 47,400 WellPoint, Inc.*............... 3,593,868 ------------ 6,015,644 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 1.1% 95,300 CR Bard, Inc. ................. 6,292,659 ------------ METALS AND MINING -- 0.2% 20,700 United States Steel Corp.(d)... 876,645 ------------ OIL AND GAS: PIPELINES -- 1.9% 57,100 National Fuel Gas Company...... 1,952,820 102,900 Questar Corp. ................. 9,067,548 ------------ 11,020,368 ------------ OIL, COAL AND GAS -- 4.4% 28,400 Amerada Hess Corp. ............ 3,905,000 108,100 EnCana Corp. (Canada).......... 6,303,310 10,099 Kerr-McGee Corp. .............. 980,714 68,306 Marathon Oil Corp. ............ 4,708,333 71,000 Praxair, Inc. ................. 3,403,030 40,200 Sunoco, Inc. .................. 3,143,640 66,400 Swift Energy Company*.......... 3,037,800 ------------ 25,481,827 ------------ PAPER AND FOREST PRODUCTS -- 0.9% 76,400 Georgia-Pacific Corp. ......... 2,602,184 86,000 MeadWestvaco Corp. ............ 2,375,320 ------------ 4,977,504 ------------
See notes to portfolios of investments. 66 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 1.5% 113,200 King Pharmaceuticals, Inc.*.... $ 1,741,016 109,300 Millipore Corp.*............... 6,873,877 ------------ 8,614,893 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.5% 65,500 Anthracite Capital, Inc. ...... 758,490 90,400 Crescent Real Estate Equities Company...................... 1,854,104 12,700 Highwoods Properties, Inc. .... 374,777 237,800 HRPT Properties Trust.......... 2,951,098 155,400 MeriStar Hospitality Corp.*.... 1,418,802 38,998 RAIT Investment Trust.......... 1,111,443 ------------ 8,468,714 ------------ RETAIL -- 3.2% 48,500 Borders Group, Inc. ........... 1,075,245 237,000 Dollar Tree Stores, Inc.*(d)... 5,131,050 151,600 Federated Department Stores, Inc. ........................ 10,137,492 36,900 JC Penney Company, Inc. (Holding Company)............ 1,749,798 ------------ 18,093,585 ------------ RETAIL: RESTAURANTS -- 0.3% 61,900 Lone Star Steakhouse & Saloon, Inc. ........................ 1,609,400 ------------ RETAIL: SUPERMARKETS -- 0.9% 113,800 Albertson's, Inc.(d)........... 2,918,970 76,900 SUPERVALU, Inc. ............... 2,393,128 ------------ 5,312,098 ------------ RUBBER PRODUCTS -- 0.5% 183,200 The Goodyear Tire & Rubber Company*(d).................. 2,856,088 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 2.6% 227,900 Agilent Technologies, Inc.*.... 7,463,725 51,300 Applera Corp.-Applied Biosystems Group............. 1,192,212 319,000 PerkinElmer, Inc. ............. 6,498,030 ------------ 15,153,967 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.9% 249,300 Amdocs, Ltd. (Guernsey)*....... 6,913,089 86,100 CenturyTel, Inc.(d)............ 3,011,778 123,500 CommScope, Inc.*............... 2,141,490 112,300 Harris Corp. .................. 4,694,140 ------------ 16,760,497 ------------ TOYS -- 0.2% 61,600 Mattel, Inc. .................. 1,027,488 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TRANSPORTATION -- 6.5% 45,300 Arkansas Best Corp. ........... $ 1,579,611 138,000 CNF, Inc.(d)................... 7,245,000 217,700 CSX Corp. ..................... 10,118,696 115,600 Florida East Coast Industries, Inc. ........................ 5,235,524 70,600 GATX Corp. .................... 2,792,230 143,800 Norfolk Southern Corp. ........ 5,832,528 135,400 Sabre Holdings Corp. -- Class A............................ 2,745,912 98,700 Swift Transportation Company, Inc.*........................ 1,746,990 ------------ 37,296,491 ------------ UTILITIES: ELECTRIC -- 8.8% 135,300 American Electric Power Company, Inc. ............... 5,371,410 118,300 Cleco Corp. ................... 2,789,514 73,000 Constellation Energy Group..... 4,496,800 39,400 DTE Energy Company............. 1,806,884 83,500 Duquesne Light Holdings, Inc.(d)...................... 1,437,035 109,800 FirstEnergy Corp. ............. 5,722,776 142,800 NRG Energy, Inc.*(d)........... 6,083,280 137,600 PG&E Corp. .................... 5,400,800 30,500 Pinnacle West Capital Corp. ... 1,344,440 166,900 PPL Corp. ..................... 5,395,877 24,800 Progress Energy, Inc.(d)....... 1,109,800 135,900 Puget Energy, Inc.(d).......... 3,190,932 29,200 TXU Corp. ..................... 3,296,096 176,400 Xcel Energy, Inc.(d)........... 3,459,204 ------------ 50,904,848 ------------ UTILITIES: GAS -- 1.4% 136,000 AGL Resources, Inc. ........... 5,046,960 119,300 NiSource, Inc. ................ 2,893,025 ------------ 7,939,985 ------------ TOTAL COMMON STOCKS (Cost $501,317,163)................ 545,894,326 ------------
PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 15.9% $91,320,926 Securities Lending Collateral Investment (Note 3) (Cost $91,320,926)................. 91,320,926 ------------ TOTAL SECURITIES (Cost $592,638,089)................ 637,215,252 ------------
See notes to portfolios of investments. 67 MID-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENT -- 5.4% $31,188,736 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $31,197,365 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.16%, due 12/01/32, with a value of $4,479,683, Freddie Mac Adjustable Rate Mortgage, 4.12%, due 12/15/34, with a value of $21,000,000 and Small Business Administration, 6.63%, due 01/25/15, with a value of $7,268,489) (Cost $31,188,736)........... 31,188,736 ------------ Total Investments -- 116.5% (Cost $623,826,825).......... 668,403,988 Liabilities less other assets -- (16.5)%............ (94,809,988) ------------ NET ASSETS -- 100.0%........... $573,594,000 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $623,826,825. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation.......... $ 61,217,581 Gross unrealized depreciation.......... (16,640,418) ------------ Net unrealized appreciation............ $ 44,577,163 ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 68 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 96.0% ADVERTISING -- 2.3% 68,900 Getty Images, Inc.*(d)......... $ 5,928,156 ------------ APPAREL: MANUFACTURING AND RETAIL -- 2.1% 142,200 Chico's FAS, Inc.*............. 5,232,960 ------------ AUTOMOBILES/MOTOR VEHICLES -- 1.4% 82,800 Oshkosh Truck Corp. ........... 3,573,648 ------------ BROADCAST SERVICES/MEDIA -- 3.2% 383,950 Sirius Satellite Radio, Inc.*(d)..................... 2,514,873 153,390 XM Satellite Radio Holdings, Inc. -- Class A*(d).......... 5,508,234 ------------ 8,023,107 ------------ BUSINESS SERVICES AND SUPPLIES -- 3.6% 81,200 Fluor Corp.(d)................. 5,227,656 50,500 Global Payments, Inc. ......... 3,924,860 ------------ 9,152,516 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.5% 106,000 Business Objects SA (ADR) (France)*(d)................. 3,684,560 102,961 NAVTEQ Corp.*.................. 5,142,902 ------------ 8,827,462 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 2.8% 70,000 Palm, Inc.*(d)................. 1,983,100 107,000 SanDisk Corp.*................. 5,162,750 ------------ 7,145,850 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.7% 128,400 Washington Group International, Inc.*(d)..................... 6,919,476 ------------ FINANCIAL SERVICES -- 4.2% 54,750 Legg Mason, Inc. .............. 6,005,528 72,200 T Rowe Price Group, Inc. ...... 4,714,660 ------------ 10,720,188 ------------ FOOD AND BEVERAGE -- 2.1% 135,620 Dean Foods Company*(d)......... 5,270,193 ------------ INTERNET SERVICES -- 4.0% 165,600 Monster Worldwide, Inc.*(d).... 5,085,576 231,400 VeriSign, Inc.*................ 4,945,018 ------------ 10,030,594 ------------ LEISURE AND RECREATION -- 1.6% 131,100 Scientific Games Corp. -- Class A*........................... 4,064,100 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MACHINERY -- 1.1% 55,000 Joy Global, Inc. .............. $ 2,775,300 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 7.6% 54,000 DaVita, Inc.*.................. 2,487,780 46,000 Psychiatric Solutions, Inc.*... 2,494,580 49,554 Sierra Health Services, Inc.*........................ 3,412,784 185,400 VCA Antech, Inc.*.............. 4,731,408 554,100 WebMD Corp.*................... 6,139,428 ------------ 19,265,980 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 4.0% 48,278 Bausch & Lomb, Inc.(d)......... 3,895,069 55,000 CR Bard, Inc. ................. 3,631,650 46,000 Mentor Corp. .................. 2,530,460 ------------ 10,057,179 ------------ OIL, COAL AND GAS -- 15.9% 67,000 Cooper Cameron Corp.*.......... 4,953,310 70,900 Diamond Offshore Drilling, Inc. ........................ 4,342,625 97,400 EOG Resources, Inc. ........... 7,295,260 57,800 Noble Corp. (Cayman Islands)... 3,956,988 35,000 Peabody Energy Corp. .......... 2,952,250 126,800 Quicksilver Resources, Inc.*(d)..................... 6,059,772 141,200 Southwestern Energy Company*... 10,364,080 ------------ 39,924,285 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.3% 57,000 Celgene Corp.*(d).............. 3,096,240 136,000 Endo Pharmaceuticals Holdings, Inc.*........................ 3,627,120 151,000 Protein Design Labs, Inc.*..... 4,228,000 ------------ 10,951,360 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 1.0% 53,540 CB Richard Ellis Group, Inc. -- Class A*..................... 2,634,168 ------------ RETAIL -- 1.2% 76,600 Bed Bath & Beyond, Inc.*....... 3,077,788 ------------ RETAIL: RESTAURANTS -- 4.0% 147,000 Darden Restaurants, Inc. ...... 4,464,390 107,806 Panera Bread Company -- Class A*(d)........................ 5,517,511 ------------ 9,981,901 ------------
See notes to portfolios of investments. 69 MID-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) SEMICONDUCTORS -- 6.1% 151,000 ASML Holding (The Netherlands)*(d)............. $ 2,493,010 192,150 Broadcom Corp. -- Class A*..... 9,013,757 195,000 Emulex Corp.*(d)............... 3,940,950 ------------ 15,447,717 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 17.3% 191,000 ADTRAN, Inc. .................. 6,016,500 279,650 Alamosa Holdings, Inc.*........ 4,784,812 299,341 American Tower Corp. -- Class A*........................... 7,468,558 187,300 Comverse Technology, Inc.*..... 4,920,371 202,000 Crown Castle International Corp.*....................... 4,975,260 217,662 Harris Corp. .................. 9,098,271 177,900 UNOVA, Inc.*(d)................ 6,222,942 ------------ 43,486,714 ------------ TOTAL COMMON STOCKS (Cost $200,931,065).......... 242,490,642 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 23.6% $59,540,474 Securities Lending Collateral Investment (Note 3) (Cost $59,540,474)........... 59,540,474 ------------ TOTAL SECURITIES (Cost $260,471,539).......... 302,031,116 ------------
PRINCIPAL VALUE --------- ------------ REPURCHASE AGREEMENT -- 3.4% $ 8,473,566 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $8,475,911 (Collateralized by Freddie Mac Adjustable Rate Mortgage, 4.17% due 06/15/34, with a value of $8,897,245) (Cost $8,473,566).................. $ 8,473,566 ------------ Total Investments -- 123.0% (Cost $268,945,105).......... 310,504,682 Liabilities less other assets -- (23.0)%............ (58,095,337) ------------ NET ASSETS -- 100.0%........... $252,409,345 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $268,945,105. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $44,494,001 Gross unrealized depreciation........... (2,934,424) ----------- Net unrealized appreciation............. $41,559,577 ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 70 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 97.7% AEROSPACE AND DEFENSE -- 2.4% 172,454 Moog, Inc. -- Class A*......... $ 5,090,842 ------------ APPAREL: MANUFACTURING AND RETAIL -- 5.0% 211,500 Phillips-Van Heusen Corp. ..... 6,560,730 196,214 Stein Mart, Inc. .............. 3,983,144 ------------ 10,543,874 ------------ AUTOMOBILES/MOTOR VEHICLES -- 2.1% 154,700 Winnebago Industries, Inc.(d)...................... 4,481,659 ------------ AUTOMOTIVE EQUIPMENT -- 1.4% 205,400 CSK Auto Corp.*................ 3,056,352 ------------ BANKS -- 2.8% 171,100 BankUnited Financial Corp. -- Class A...................... 3,913,057 168,073 Oriental Financial Group, Inc. (Puerto Rico)(d)............. 2,057,214 ------------ 5,970,271 ------------ BROADCAST SERVICES/MEDIA -- 2.3% 554,600 Sinclair Broadcast Group, Inc. -- Class A.............. 4,919,302 ------------ BUSINESS SERVICES AND SUPPLIES -- 5.1% 138,600 Administaff, Inc. ............. 5,507,964 170,814 Kelly Services, Inc. -- Class A............................ 5,237,157 ------------ 10,745,121 ------------ COLLECTIBLES -- 1.0% 130,800 Sotheby's Holdings, Inc. -- Class A*..................... 2,186,976 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.1% 56,500 ANSYS, Inc.*................... 2,174,685 186,000 Checkpoint Systems, Inc.*...... 4,411,920 ------------ 6,586,605 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 2.7% 35,000 Hovnanian Enterprises, Inc. -- Class A*..................... 1,792,000 21,300 Meritage Homes Corp.*.......... 1,632,858 57,000 Standard Pacific Corp. ........ 2,366,070 ------------ 5,790,928 ------------ CONSUMER GOODS AND SERVICES -- 1.5% 34,400 Chattem, Inc.*................. 1,221,200 21,600 The Scotts Miracle-Gro Company -- Class A........... 1,899,288 ------------ 3,120,488 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) DISTRIBUTION -- 3.1% 122,953 Watsco, Inc. .................. $ 6,530,034 ------------ EDUCATION -- 2.2% 97,662 School Specialty, Inc.*........ 4,763,952 ------------ FINANCIAL SERVICES -- 5.4% 121,500 Accredited Home Lenders Holding Company*(d).................. 4,271,940 102,500 Eaton Vance Corp. ............. 2,544,050 54,400 Jefferies Group, Inc.(d)....... 2,369,120 71,862 Raymond James Financial, Inc. ........................ 2,308,207 ------------ 11,493,317 ------------ FOOD AND BEVERAGE -- 2.6% 158,900 United Natural Foods, Inc.*.... 5,618,704 ------------ INSURANCE -- 6.6% 123,713 Delphi Financial Group, Inc. -- Class A...................... 5,789,768 17,900 Philadelphia Consolidated Holding Corp.*............... 1,519,710 32,100 Protective Life Corp. ......... 1,321,878 37,600 The Commerce Group, Inc. ...... 2,181,552 69,400 United Fire & Casualty Company...................... 3,130,634 ------------ 13,943,542 ------------ MACHINERY -- 3.1% 81,800 Bucyrus International, Inc. -- Class A...................... 4,018,834 52,800 Joy Global, Inc. .............. 2,664,288 ------------ 6,683,122 ------------ MANUFACTURING -- 0.8% 55,200 FLIR Systems, Inc.*............ 1,632,816 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 12.3% 157,000 American Healthways, Inc.*(d)..................... 6,656,799 53,700 AMERIGROUP Corp.*.............. 1,026,744 42,700 Covance, Inc.*................. 2,049,173 138,900 Matria Healthcare, Inc.*....... 5,243,475 90,700 Sunrise Senior Living, Inc.*(d)..................... 6,053,318 127,250 United Surgical Partners International, Inc.*......... 4,976,748 ------------ 26,006,257 ------------
See notes to portfolios of investments. 71 SMALL-CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES -- 2.7% 141,700 Immucor, Inc.*................. $ 3,888,248 23,500 The Cooper Companies, Inc. .... 1,800,335 ------------ 5,688,583 ------------ OIL, COAL AND GAS -- 10.0% 39,400 Cabot Oil & Gas Corp. ......... 1,990,094 239,000 Energy Partners, Ltd.*(d)...... 7,461,580 59,939 Headwaters, Inc.*(d)........... 2,241,719 64,800 Oceaneering International, Inc.*........................ 3,460,968 59,100 ONEOK, Inc.(d)................. 2,010,582 87,000 Swift Energy Company*.......... 3,980,250 ------------ 21,145,193 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 4.6% 156,100 Nabi Biopharmaceuticals*(d).... 2,044,910 101,500 Salix Pharmaceuticals, Ltd.*... 2,156,875 147,100 Serologicals Corp.*............ 3,318,576 160,400 VaxGen, Inc.*(d)............... 2,325,800 ------------ 9,846,161 ------------ PRINTING AND PUBLISHING -- 2.4% 135,658 Scholastic Corp.*.............. 5,013,920 ------------ REAL ESTATE INVESTMENT TRUSTS -- 4.1% 138,787 Entertainment Properties Trust........................ 6,194,064 36,600 SL Green Realty Corp.(d)....... 2,495,388 ------------ 8,689,452 ------------ REGISTERED INVESTMENT COMPANIES -- 1.9% 59,900 iShares Russell 2000 Value Index Fund(d)................ 3,949,207 ------------ RETAIL: RESTAURANTS -- 3.5% 52,600 Brinker International, Inc.*(d)..................... 1,975,656 124,200 CEC Entertainment, Inc.*....... 3,944,592 53,200 Sonic Corp.*................... 1,455,020 ------------ 7,375,268 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 1.0% 104,000 Tekelec*....................... 2,178,800 ------------ TOOLS -- 0.9% 54,700 Snap-on, Inc. ................. 1,975,764 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC -- 1.1% 82,400 PNM Resources, Inc. ........... $ 2,362,408 ------------ TOTAL COMMON STOCKS (Cost $187,193,916)................ 207,388,918 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 20.2% $42,928,997 Securities Lending Collateral Investment (Note 3) (Cost $42,928,997)........... 42,928,997 ------------ TOTAL SECURITIES (Cost $230,122,913)................ 250,317,915 ------------ REPURCHASE AGREEMENT -- 3.0% 6,289,540 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $6,291,280 (Collateralized by Fannie Mae, 4.49%, due 09/01/29, with a value of $6,604,017) (Cost $6,289,540)............ 6,289,540 ------------ Total Investments -- 120.9% (Cost $236,412,453).......... 256,607,455 Liabilities less other assets -- (20.9)%............ (44,304,670) ------------ NET ASSETS -- 100.0%........... $212,302,785 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $236,412,453. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $25,952,132 Gross unrealized depreciation........... (5,757,130) ----------- Net unrealized appreciation............. $20,195,002 ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 72 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS -- 97.9% ADVERTISING -- 0.8% 111,300 ADVO, Inc. ................. $ 3,482,577 88,300 Catalina Marketing Corp. ... 2,007,942 43,000 RH Donnelley Corp.*......... 2,720,180 74,500 Ventiv Health, Inc.*........ 1,952,645 -------------- 10,163,344 -------------- AEROSPACE AND DEFENSE -- 1.0% 27,400 AAR Corp.*.................. 470,732 9,200 Alliant Techsystems, Inc.*..................... 686,780 37,900 Curtiss-Wright Corp. ....... 2,338,809 67,970 DRS Technologies, Inc. ..... 3,354,999 88,200 Innovative Solutions and Support, Inc.*(d)......... 1,369,746 127,550 Moog, Inc. -- Class A*...... 3,765,276 39,700 Teledyne Technologies, Inc.*..................... 1,368,459 -------------- 13,354,801 -------------- AIRLINES -- 0.4% 197,700 AirTran Holdings, Inc.*(d).................. 2,502,882 168,100 ExpressJet Holdings, Inc.*..................... 1,507,857 16,300 Mesa Air Group, Inc.*(d).... 134,475 22,900 Pinnacle Airlines Corp.*(d)................. 148,850 19,800 Republic Airways Holdings, Inc.*..................... 283,338 -------------- 4,577,402 -------------- APPAREL: MANUFACTURING AND RETAIL -- 3.0% 55,900 Abercrombie & Fitch Company -- Class A........ 2,786,615 41,700 AnnTaylor Stores Corp.*..... 1,107,135 18,100 Columbia Sportswear Company*(d)............... 839,840 73,900 DSW, Inc. -- Class A*....... 1,566,680 26,600 Genesco, Inc.*.............. 990,584 33,100 Hartmarx Corp.*............. 216,805 63,857 Jos A Bank Clothiers, Inc.*(d).................. 2,759,900 102,700 Payless ShoeSource, Inc.*... 1,786,980 158,300 Phillips-Van Heusen Corp. .................... 4,910,466 39,300 Polo Ralph Lauren Corp. .... 1,976,790 154,900 Quiksilver, Inc.*........... 2,238,305 14,500 Skechers USA, Inc. -- Class A*........................ 237,365 191,400 Stage Stores, Inc. ......... 5,142,917 185,800 Stein Mart, Inc. ........... 3,771,740 160,650 The Cato Corp. -- Class A... 3,201,755
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) APPAREL: MANUFACTURING AND RETAIL (CONTINUED) 9,300 The Children's Place Retail Stores, Inc.*............. $ 331,452 10,600 The Men's Wearhouse, Inc.*..................... 283,020 72,000 Urban Outfitters, Inc.*(d).................. 2,116,800 118,400 Wolverine World Wide, Inc. ..................... 2,492,320 -------------- 38,757,469 -------------- AUTOMOBILES/MOTOR VEHICLES -- 0.1% 63,500 Winnebago Industries, Inc.(d)................... 1,839,595 -------------- AUTOMOTIVE EQUIPMENT -- 0.7% 5,200 Aftermarket Technology Corp.*.................... 95,628 13,800 Commercial Vehicle Group, Inc.*..................... 288,972 161,100 CSK Auto Corp.*............. 2,397,168 67,000 Modine Manufacturing Company................... 2,457,560 190,600 Spartan Motors, Inc. ....... 2,071,822 44,300 Tenneco Automotive, Inc.*... 775,693 76,200 Titan International, Inc.(d)................... 1,046,226 -------------- 9,133,069 -------------- BANKS -- 4.8% 6,800 ABC Bancorp................. 130,492 76,100 AMCORE Financial, Inc. ..... 2,375,081 146,850 Astoria Financial Corp. .... 3,879,777 7,800 BancFirst Corp. ............ 663,000 23,300 BancorpSouth, Inc. ......... 532,405 76,723 BankUnited Financial Corp. -- Class A.......... 1,754,655 82,883 Boston Private Financial Holdings, Inc. ........... 2,199,715 4,700 Camden National Corp. ...... 177,049 9,000 Capital Crossing Bank*...... 312,660 8,200 Chittenden Corp. ........... 217,382 13,300 City Holding Company........ 475,608 16,200 Columbia Banking System, Inc. ..................... 424,926 2,700 Community Bancorp*.......... 89,073 8,000 Community Trust Bancorp, Inc. ..................... 257,440 29,300 Corus Bankshares, Inc. ..... 1,606,519 47,900 East West Bancorp, Inc. .... 1,630,516 9,800 First Charter Corp. ........ 239,904 3,800 First Citizens Bancshares, Inc. -- Class A........... 648,470 2,900 First Community Bancorp..... 138,707 43,300 First Financial Bancorp..... 805,380
See notes to portfolios of investments. 73 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 15,300 First Financial Bankshares, Inc. ..................... $ 532,899 3,600 First Financial Holdings. Inc. ..................... 110,592 19,100 First Indiana Corp. ........ 650,737 75,400 First Midwest Bancorp, Inc. ..................... 2,807,896 4,100 First Place Financial Corp. .................... 90,897 10,050 First Republic Bank......... 354,062 28,600 FirstFed Financial Corp.*... 1,538,966 7,400 Flushing Financial Corp. ... 121,138 79,900 Fremont General Corp.(d).... 1,744,217 14,600 Frontier Financial Corp. ... 423,400 17,200 Hancock Holding Company..... 587,208 5,700 Harbor Florida Bancshares, Inc. ..................... 206,739 4,000 Horizon Financial Corp. .... 88,000 7,200 Independent Bank Corp. (Massachusetts)........... 218,736 10,290 Independent Bank Corp. (Michigan)................ 298,822 3,900 Integra Bank Corp. ......... 84,630 32,900 Irwin Financial Corp. ...... 670,831 6,000 ITLA Capital Corp.*......... 314,940 13,000 Kearny Financial Corp. ..... 162,500 6,195 MainSource Financial Group, Inc. ..................... 109,837 48,400 MB Financial, Inc. ......... 1,886,632 12,300 MBT Financial Corp. ........ 226,689 21,100 Mid-State Bancshares........ 580,461 5,300 NBC Capital Corp. .......... 132,924 192,500 NewAlliance Bancshares, Inc. ..................... 2,818,200 3,800 OceanFirst Financial Corp. .................... 91,732 11,900 Old Second Bancorp, Inc. ... 355,096 58,200 Oriental Financial Group, Inc. (Puerto Rico)........ 712,368 8,400 Pacific Capital Bancorp..... 279,636 13,350 PFF Bancorp, Inc. .......... 403,971 86,540 PrivateBancorp, Inc.(d)..... 2,966,591 13,100 S&T Bancorp, Inc. .......... 495,180 3,700 Sandy Spring Bancorp, Inc. ..................... 124,690 16,200 Santander BanCorp (Puerto Rico)..................... 399,006 3,360 SCBT Financial Corp. ....... 106,109 5,800 Simmons First National Corp. -- Class A.......... 165,416 5,072 Southside Bancshares, Inc. ..................... 96,419 4,158 State Bancorp, Inc. ........ 74,511
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 6,125 Sterling Financial Corp. (Pennsylvania)............ $ 123,419 6,200 Suffolk Bancorp............. 197,842 25,800 Susquehanna Bancshares, Inc. ..................... 620,232 114,400 SVB Financial Group*(d)..... 5,564,415 5,100 SY Bancorp, Inc. ........... 121,278 5,400 Taylor Capital Group, Inc. ..................... 204,228 84,700 Texas Regional Bancshares, Inc. -- Class A........... 2,438,513 17,400 TierOne Corp. .............. 457,794 8,600 TrustCo Bank Corp. NY....... 107,758 19,600 Trustmark Corp. ............ 545,860 3,000 Uninvest Corp. of Pennsylvania.............. 82,950 3,900 Union Bankshares Corp. ..... 162,942 25,800 United Bankshares, Inc. .... 901,710 21,500 United Community Financial Corp. .................... 241,230 9,555 USB Holding Company, Inc. ..................... 217,854 5,300 Washington Trust Bancorp, Inc. ..................... 144,107 13,600 WesBanco, Inc. ............. 374,000 6,800 West Coast Bancorp.......... 170,000 67,300 Westamerica Bancorp......... 3,476,045 34,000 Western Alliance Bancorp*... 955,400 2,900 Western Sierra Bancorp*..... 99,876 25,200 Wintrust Financial Corp. ... 1,266,552 8,300 WSFS Financial Corp. ....... 488,787 -------------- 60,554,229 -------------- BROADCAST SERVICES/MEDIA -- 0.3% 31,700 Citadel Broadcasting Company*.................. 435,241 34,800 CKX, Inc.*.................. 437,436 11,800 Gray Television, Inc. ...... 124,962 221,400 Sinclair Broadcast Group, Inc. -- Class A........... 1,963,818 56,300 Spanish Broadcasting System, Inc. -- Class A*.......... 404,234 10,400 WPT Enterprises, Inc.*(d)... 91,728 -------------- 3,457,419 -------------- BUSINESS SERVICES AND SUPPLIES -- 3.7% 145,600 Administaff, Inc. .......... 5,786,144 13,800 Ambassadors Group, Inc. .... 307,740 3,700 Angelica Corp. ............. 66,045 101,728 Barrett Business Services, Inc.*..................... 2,324,485
See notes to portfolios of investments. 74 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) BUSINESS SERVICES AND SUPPLIES (CONTINUED) 8,800 CCC Information Services Group, Inc.*.............. $ 229,944 3,800 Certegy, Inc. .............. 152,076 88,100 CSG Systems International, Inc.*..................... 1,912,651 167,220 FirstService Corp. (Canada)*................. 3,837,699 90,890 Global Payments, Inc. ...... 7,063,971 115,700 Herman Miller, Inc. ........ 3,505,710 25,500 Huron Consulting Group, Inc.*..................... 683,910 44,500 John H Harland Company...... 1,975,800 89,080 Kelly Services, Inc. -- Class A................... 2,731,193 94,100 Labor Ready, Inc.*.......... 2,413,665 106,400 MAXIMUS, Inc. .............. 3,803,800 208,210 Optimal Group, Inc. -- Class A (Canada)*............... 4,305,783 8,100 Pomeroy IT Solutions, Inc.*..................... 92,016 71,130 Portfolio Recovery Associates, Inc.*(d)...... 3,071,393 32,600 Robert Half International, Inc. ..................... 1,160,234 5,000 TALX Corp. ................. 163,950 82,600 TeleTech Holdings, Inc.*.... 827,652 7,300 The Corporate Executive Board Company............. 569,254 17,900 Vertrue, Inc.*(d)........... 650,665 -------------- 47,635,780 -------------- CHEMICALS -- 0.8% 159,800 Compass Minerals International, Inc. ...... 3,675,400 11,600 FMC Corp.*.................. 663,752 5,300 NewMarket Corp.*............ 91,902 43,700 SurModics, Inc.*(d)......... 1,690,753 185,600 Terra Industries, Inc.*..... 1,234,240 75,600 The Valspar Corp. .......... 1,690,416 91,000 Wellman, Inc. .............. 576,030 5,000 Westlake Chemical Corp. .... 135,400 47,600 WR Grace & Company*(d)...... 426,020 -------------- 10,183,913 -------------- COLLECTIBLES -- 0.0% 10,200 Department 56, Inc.*........ 127,500 15,600 Sotheby's Holdings, Inc. -- Class A*.................. 260,832 -------------- 388,332 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES -- 0.7% 60,130 Chemed Corp. ............... $ 2,606,034 2,300 Pre-Paid Legal Services, Inc.(d)................... 89,010 59,300 Providence Service Corp.*... 1,813,987 99,350 Steiner Leisure, Ltd. (Bahama Islands)*......... 3,374,919 58,450 TNS, Inc.*.................. 1,417,413 -------------- 9,301,363 -------------- COMPUTER SOFTWARE AND SERVICES -- 4.2% 12,400 Advent Software, Inc.*...... 334,056 13,100 Ansoft Corp.*............... 381,210 2,600 ANSYS, Inc.*................ 100,074 25,300 Anteon International Corp.*.................... 1,081,828 85,500 ATI Technologies, Inc. (Canada)*................. 1,191,870 33,100 Avid Technology, Inc.*...... 1,370,340 11,200 Blackbaud, Inc. ............ 158,704 192,170 Bottomline Technologies, Inc.*..................... 2,899,845 173,000 Checkpoint Systems, Inc.*... 4,103,560 94,311 Concur Technologies, Inc.*..................... 1,166,627 29,200 Covansys Corp.*............. 466,032 222,750 Epicor Software Corp.*...... 2,895,750 128,100 Intergraph Corp.*(d)........ 5,727,351 31,700 InterVideo, Inc.*........... 317,951 35,800 Itron, Inc.*................ 1,634,628 34,200 Jack Henry & Associates, Inc. ..................... 663,480 111,800 Keane, Inc.*................ 1,277,874 98,560 M-Systems Flash Disk Pioneers, Ltd. (Israel)*(d).............. 2,948,915 63,300 Manhattan Associates, Inc.*(d).................. 1,468,560 5,400 ManTech International Corp. -- Class A*......... 142,614 154,284 Merge Technologies, Inc.*(d).................. 2,636,714 27,300 MicroStrategy, Inc. -- Class A*(d)..................... 1,918,917 27,000 MTS Systems Corp. .......... 1,019,790 117,600 Parametric Technology Corp.*.................... 819,672 44,900 Phoenix Technologies, Ltd.*..................... 338,097
See notes to portfolios of investments. 75 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) COMPUTER SOFTWARE AND SERVICES (CONTINUED) 5,400 Progress Software Corp.*.... $ 171,558 197,800 Red Hat, Inc.*(d)........... 4,191,382 5,000 Renaissance Learning, Inc. ..................... 89,000 6,200 SERENA Software, Inc.*...... 123,566 4,500 SPSS, Inc.*................. 108,000 54,600 Sybase, Inc.*............... 1,278,732 12,500 Sykes Enterprises, Inc.*.... 148,750 45,300 Synopsys, Inc.*............. 856,170 329,920 Synplicity, Inc.*........... 2,180,771 10,900 The Reynolds and Reynolds Company -- Class A........ 298,769 48,700 The Ultimate Software Group, Inc.*..................... 897,054 39,400 THQ, Inc.*.................. 840,008 36,500 Transaction Systems Architects, Inc. -- Class A*........................ 1,016,525 24,200 Tyler Technologies, Inc.*... 200,376 60,400 Wind River Systems, Inc.*... 780,972 155,200 Witness Systems, Inc.*...... 3,242,128 -------------- 53,488,220 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 1.7% 76,900 Black Box Corp. ............ 3,226,724 135,500 Electronics For Imaging, Inc.*..................... 3,108,370 981,200 Maxtor Corp.*............... 4,317,280 116,880 Mercury Computer Systems, Inc.*..................... 3,068,100 9,900 Radiant Systems, Inc.*...... 102,168 172,910 RadiSys Corp.*.............. 3,354,454 325,600 Western Digital Corp.*...... 4,210,008 -------------- 21,387,104 -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 4.4% 93,700 Agilysys, Inc. ............. 1,577,908 20,400 Brookfield Homes Corp. ..... 1,132,812 35,610 Building Materials Holding Corp. .................... 3,318,496 87,520 Drew Industries, Inc.*...... 2,258,891 23,100 Eagle Materials, Inc.(d).... 2,803,647 17,500 Genlyte Group, Inc.*........ 841,400 35,200 Granite Construction, Inc. ..................... 1,346,048 182,000 Hovnanian Enterprises, Inc. -- Class A*.......... 9,318,400 88,400 Meritage Homes Corp.*....... 6,776,744
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) 148,300 Simpson Manufacturing Company, Inc. ............ $ 5,804,462 160,700 Standard Pacific Corp. ..... 6,670,657 91,375 Technical Olympic USA, Inc.(d)................... 2,390,370 7,500 The Ryland Group, Inc. ..... 513,150 99,900 Trex Company, Inc.*(d)...... 2,397,600 43,100 USG Corp.*(d)............... 2,961,832 24,400 Walter Industries, Inc.(d)................... 1,193,648 114,500 WCI Communities, Inc.*...... 3,248,365 8,000 William Lyon Homes, Inc.(d)................... 1,241,600 -------------- 55,796,030 -------------- CONSUMER GOODS AND SERVICES -- 2.5% 80,160 Central Garden & Pet Company*(d)............... 3,627,240 65,300 Chattem, Inc.*.............. 2,318,150 5,900 CNS, Inc. .................. 153,813 197,500 Herbalife, Ltd. (Cayman Islands)*................. 5,952,650 77,655 Jarden Corp.*(d)............ 3,189,291 132,400 NBTY, Inc.*................. 3,111,400 32,700 Playtex Products, Inc.*..... 359,700 162,480 Rollins, Inc. .............. 3,171,610 137,800 Tempur-Pedic International, Inc.*(d).................. 1,631,552 40,600 The Scotts Miracle-Gro Company -- Class A........ 3,569,958 177,100 The Yankee Candle Company, Inc. ..................... 4,338,950 46,620 Vector Group, Ltd.(d)....... 932,866 -------------- 32,357,180 -------------- CONTAINERS AND PACKAGING -- 0.1% 2,900 Greif, Inc. -- Class A...... 174,290 45,800 Silgan Holdings, Inc. ...... 1,523,308 -------------- 1,697,598 -------------- CORRECTIONAL FACILITIES -- 0.0% 22,400 The Geo Group, Inc.*........ 593,600 -------------- DISTRIBUTION -- 1.5% 19,100 Handleman Company........... 241,233 165,200 United Stationers, Inc.*.... 7,906,472 82,900 Universal Corp. ............ 3,219,007
See notes to portfolios of investments. 76 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) DISTRIBUTION (CONTINUED) 130,900 Watsco, Inc. ............... $ 6,952,099 44,000 WESCO International, Inc.*..................... 1,490,280 -------------- 19,809,091 -------------- DIVERSIFIED SERVICES -- 0.0% 20,100 Resource America, Inc. -- Class A................... 356,373 -------------- EDUCATION -- 1.0% 56,100 Education Management Corp.*.................... 1,808,664 34,600 ITT Educational Services, Inc.*..................... 1,707,510 76,940 Laureate Education, Inc.*... 3,767,752 76,200 School Specialty, Inc.*..... 3,717,036 61,910 Universal Technical Institute, Inc.*.......... 2,204,615 -------------- 13,205,577 -------------- ELECTRONICS -- 1.8% 107,210 Axsys Technologies, Inc.*... 2,102,388 221,049 Belden CDT, Inc.(d)......... 4,294,982 13,700 Electro Scientific Industries, Inc.*......... 306,332 10,200 Methode Electronics, Inc. -- Class A................... 117,504 128,800 Nam Tai Electronics, Inc. (Virgin Islands).......... 3,275,384 54,100 Park Electrochemical Corp. .................... 1,441,765 16,900 Plexus Corp.*............... 288,821 322,000 Sanmina-SCI Corp.*.......... 1,381,380 217,900 Sonic Solutions*(d)......... 4,684,850 353,480 SRS Labs, Inc.*............. 2,276,411 88,700 Technitrol, Inc. ........... 1,358,884 45,200 Thomas & Betts Corp.*....... 1,555,332 -------------- 23,084,033 -------------- ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 0.2% 238,600 Allied Waste Industries, Inc.*(d).................. 2,016,170 21,400 Clean Harbors, Inc.*........ 726,530 3,600 Metal Management, Inc. ..... 91,260 -------------- 2,833,960 -------------- EQUIPMENT RENTAL AND LEASING -- 0.3% 138,010 McGrath Rentcorp............ 3,909,823 23,400 Rent-Way, Inc.*............. 160,758 -------------- 4,070,581 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES -- 4.1% 157,900 Accredited Home Lenders Holding Company*(d)....... $ 5,551,764 12,700 Affiliated Managers Group, Inc.*(d).................. 919,734 268,400 AmeriCredit Corp.*.......... 6,406,708 57,000 Calamos Asset Management, Inc. -- Class A........... 1,406,760 98,300 CapitalSource, Inc.*(d)..... 2,142,940 24,300 CompuCredit Corp.*(d)....... 1,079,406 393,000 E*TRADE Financial Corp.*.... 6,916,800 191,000 Eaton Vance Corp. .......... 4,740,620 92,800 Friedman, Billings, Ramsey Group, Inc. -- Class A(d)...................... 945,632 81,600 Investment Technology Group, Inc.*..................... 2,415,360 133,300 Jefferies Group, Inc.(d).... 5,805,215 145,100 Lazard, Ltd. -- Class A (Bermuda)(d).............. 3,671,030 3,200 Nelnet, Inc. -- Class A*(d)..................... 121,632 131,600 Raymond James Financial, Inc. ..................... 4,226,992 3,600 Renasant Corp. ............. 113,940 42,700 SEI Investments Company..... 1,604,666 19,100 The Student Loan Corp. ..... 4,524,408 16,100 W Holding Company, Inc. (Puerto Rico)............. 153,916 -------------- 52,747,523 -------------- FOOD AND BEVERAGE -- 0.5% 30,400 Boston Beer Company, Inc. -- Class A*.................. 760,000 56,300 Chiquita Brands International, Inc.(d).... 1,573,585 42,700 Gold Kist, Inc.*(d)......... 834,785 105,300 John B Sanfilippo & Son, Inc.*..................... 1,842,750 8,400 M&F Worldwide Corp.*........ 130,620 40,900 Nash Finch Company(d)....... 1,725,571 -------------- 6,867,311 -------------- FUNERAL SERVICES -- 0.1% 69,000 Alderwoods Group, Inc.*..... 1,130,220 -------------- INSURANCE -- 4.4% 7,300 American Physicians Capital, Inc.*..................... 358,649 270,600 Assured Guaranty, Ltd. (Bermuda)................. 6,475,458
See notes to portfolios of investments. 77 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 156,800 Delphi Financial Group, Inc. -- Class A........... $ 7,338,240 9,100 FPIC Insurance Group, Inc.*(d).................. 327,509 12,200 Infinity Property & Casualty Corp. .................... 428,098 54,900 IPC Holdings, Ltd. (Bermuda)................. 1,792,485 50,900 LandAmerica Financial Group, Inc.(d)................... 3,290,685 91,800 Philadelphia Consolidated Holding Corp.*............ 7,793,820 143,700 Platinum Underwriters Holdings, Inc. (Bermuda)................. 4,295,193 4,800 Presidential Life Corp. .... 86,400 47,300 Protective Life Corp. ...... 1,947,814 114,200 Reinsurance Group of America, Inc.(d).......... 5,104,740 5,400 Safety Insurance Group, Inc. ..................... 192,186 19,600 Stewart Information Services Corp. .................... 1,003,520 70,500 The Commerce Group, Inc. ... 4,090,410 214,030 Tower Group, Inc. .......... 3,236,134 74,100 UICI........................ 2,667,600 68,400 United Fire & Casualty Company................... 3,085,524 117,700 Universal American Financial Corp.*.................... 2,676,498 -------------- 56,190,963 -------------- INTERNET SERVICES -- 6.1% 219,680 aQuantive, Inc.*............ 4,422,159 88,760 Avocent Corp.*.............. 2,808,366 8,200 Blue Nile, Inc.*(d)......... 259,448 110,300 CheckFree Corp.*(d)......... 4,171,546 94,780 CNET Networks, Inc.*........ 1,286,165 372,540 CyberSource Corp.*.......... 2,451,313 27,000 Digital River, Inc.*........ 940,950 327,475 Digitas, Inc.*.............. 3,720,116 225,300 EarthLink, Inc.*............ 2,410,710 79,380 Equinix, Inc.*.............. 3,306,177 77,500 eResearch Technology, Inc.*(d).................. 1,099,725 18,800 F5 Networks, Inc.*.......... 817,236 67,000 GSI Commerce, Inc.*(d)...... 1,333,300 228,520 InfoSpace, Inc.*(d)......... 5,454,773
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 112,600 Internet Security Systems, Inc.*..................... $ 2,703,526 113,470 j2 Global Communications, Inc.*(d).................. 4,586,458 284,260 Keynote Systems, Inc.*...... 3,689,695 193,359 Marchex, Inc. -- Class B*(d)..................... 3,202,025 80,500 Monster Worldwide, Inc.*(d).................. 2,472,155 80,800 NETGEAR, Inc.*(d)........... 1,944,048 14,000 Nutri/System, Inc.*......... 350,280 354,590 Online Resources Corp.*..... 3,751,562 209,580 Openwave Systems, Inc.*(d).................. 3,768,248 17,300 Priceline.com, Inc.*(d)..... 334,236 169,760 RADVision, Ltd. (Israel)*... 2,320,619 86,327 SafeNet, Inc.*(d)........... 3,134,533 133,700 SonicWALL, Inc.*............ 848,995 7,000 Stamps.com, Inc.*........... 120,470 94,800 The TriZetto Group, Inc.*... 1,338,576 126,100 United Online, Inc. ........ 1,746,485 172,890 ValueClick, Inc.*(d)........ 2,954,690 24,100 Websense, Inc.*............. 1,234,161 132,670 WebSideStory, Inc.*(d)...... 2,350,912 -------------- 77,333,658 -------------- LEISURE AND RECREATION -- 1.1% 288,280 Century Casinos, Inc.*...... 2,049,671 31,300 Choice Hotels International, Inc. ..................... 2,023,232 224,300 Interstate Hotels & Resorts, Inc.*..................... 1,042,995 163,750 Mikohn Gaming Corp.*........ 2,176,238 32,400 Monarch Casino & Resort, Inc.*..................... 550,476 166,770 Scientific Games Corp. -- Class A*.................. 5,169,869 24,200 Shuffle Master, Inc.*(d).... 639,606 52,500 Sunterra Corp.*............. 689,325 10,300 Vail Resorts, Inc.*......... 296,125 -------------- 14,637,537 -------------- MACHINERY -- 1.7% 106,800 Albany International Corp. -- Class A.......... 3,937,716 49,700 Applied Industrial Technologies, Inc. ....... 1,783,236 7,700 Astec Industries, Inc.*..... 218,603
See notes to portfolios of investments. 78 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 15,700 Blount International, Inc.*..................... $ 276,948 50,200 Bucyrus International, Inc. -- Class A........... 2,466,326 8,700 Columbus McKinnon Corp.*.... 205,842 50,200 Flow International Corp.*(d)................. 387,544 15,400 Gardner Denver, Inc.*....... 686,840 91,300 Joy Global, Inc. ........... 4,606,998 74,300 Kadant, Inc.*............... 1,490,458 3,800 Kennametal, Inc. ........... 186,352 13,000 Middleby Corp.*(d).......... 942,500 124,140 Presstek, Inc.*............. 1,611,337 26,700 Terex Corp.*................ 1,319,781 67,200 The Timken Company.......... 1,991,136 -------------- 22,111,617 -------------- MANUFACTURING -- 2.8% 199,100 Acuity Brands, Inc. ........ 5,907,297 51,500 AptarGroup, Inc. ........... 2,565,215 101,900 Carlisle Companies, Inc.(d)................... 6,477,783 51,230 Ceradyne, Inc.*(d).......... 1,879,116 16,300 CIRCOR International, Inc. ..................... 447,435 46,600 Coherent, Inc.*............. 1,364,448 146,250 Deswell Industries, Inc. (Virgin Islands).......... 2,148,413 269,400 FLIR Systems, Inc.*(d)...... 7,968,852 16,800 Griffon Corp.*.............. 413,280 45,200 Harsco Corp. ............... 2,963,764 23,100 Kaydon Corp. ............... 656,271 67,100 Matthews International Corp. -- Class A.......... 2,535,709 9,200 Steinway Musical Instruments, Inc.*........ 242,420 -------------- 35,570,003 -------------- MEDICAL AND OTHER HEALTH SERVICES -- 4.3% 53,230 Amedisys, Inc.*(d).......... 2,075,970 114,500 American Healthways, Inc.*(d).................. 4,854,800 204,500 AMERIGROUP Corp.*........... 3,910,040 283,900 AMN Healthcare Services, Inc.*..................... 4,391,933 107,100 AmSurg Corp.*............... 2,930,256 41,800 CorVel Corp.*............... 1,001,528 128,700 Covance, Inc.*.............. 6,176,313 370,360 Five Star Quality Care, Inc.*..................... 2,555,484 120,800 ICON PLC (ADR) (Ireland)*... 6,040,000
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL AND OTHER HEALTH SERVICES (CONTINUED) 49,900 IDX Systems Corp.*.......... $ 2,154,682 83,820 LabOne, Inc.*(d)............ 3,646,170 40,000 Manor Care, Inc. ........... 1,536,400 72,030 Matria Healthcare, Inc.*.... 2,719,133 11,500 MedCath Corp.*(d)........... 273,125 10,500 Odyssey HealthCare, Inc.*... 178,185 5,700 Per-Se Technologies, Inc.*..................... 117,762 1,700 Quality Systems, Inc.*...... 117,453 28,000 RehabCare Group, Inc.*...... 574,560 14,600 Sierra Health Services, Inc.*..................... 1,005,502 54,300 Sunrise Senior Living, Inc.*(d).................. 3,623,982 64,600 Triad Hospitals, Inc.*...... 2,924,442 48,700 Universal Health Services, Inc. -- Class B(d)........ 2,319,581 4,500 US Physical Therapy, Inc.*..................... 81,720 -------------- 55,209,021 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 5.1% 37,900 American Medical Systems Holdings, Inc.*........... 763,685 9,500 AngioDynamics, Inc.*........ 199,500 24,400 Beckman Coulter, Inc. ...... 1,317,112 9,200 Cantel Medical Corp.*....... 193,568 51,300 Diagnostic Products Corp. .................... 2,705,049 22,000 DJ Orthopedics, Inc.*....... 636,680 522,800 Encore Medical Corp.*....... 2,457,160 67,600 Haemonetics Corp.*.......... 3,213,028 147,930 I-Flow Corp.*(d)............ 2,028,120 12,200 ICU Medical, Inc.*.......... 350,872 105,680 Illumina, Inc.*............. 1,353,761 53,720 Intermagnetics General Corp. .................... 1,500,400 81,100 IRIS International, Inc.*... 1,495,484 7,900 Lifecore Biomedical, Inc.*..................... 95,511 97,630 Lifeline Systems, Inc.*..... 3,263,771 25,000 Luminex Corp.*.............. 251,000 60,600 Mentor Corp. ............... 3,333,606 11,100 Meridian Bioscience, Inc. ..................... 229,770 9,400 Neurometrix, Inc.*.......... 279,838 137,400 OraSure Technologies, Inc.*..................... 1,295,682 466,170 Orthovita, Inc.*............ 1,995,208 169,781 PolyMedica Corp.(d)......... 5,932,148 39,700 PSS World Medical, Inc.*.... 529,598 4,000 Somanetics Corp.*........... 100,000
See notes to portfolios of investments. 79 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) MEDICAL EQUIPMENT AND SUPPLIES (CONTINUED) 57,590 SonoSite, Inc.*............. $ 1,709,271 106,560 Symmetry Medical, Inc.*..... 2,525,472 105,140 Syneron Medical, Ltd. (Israel)*(d).............. 3,841,816 51,900 Techne Corp.*(d)............ 2,957,262 143,600 The Cooper Companies, Inc. ..................... 11,001,195 274,330 The Spectranetics Corp.*.... 2,581,445 100,800 Thoratec Corp.*............. 1,790,208 58,700 Varian Medical Systems, Inc.*(d).................. 2,319,237 5,500 Vital Signs, Inc. .......... 253,495 -------------- 64,499,952 -------------- METALS AND MINING -- 1.5% 51,500 Aber Diamond Corp. (Canada)(d)............... 1,886,445 70,300 Commercial Metals Company... 2,371,922 78,400 Meridian Gold, Inc. (Canada)*(d).............. 1,717,744 107,200 Mueller Industries, Inc. ... 2,976,944 228,400 Novelis, Inc. (Canada)...... 4,896,896 48,800 NS Group, Inc.*............. 1,915,400 34,100 Reliance Steel & Aluminum Company................... 1,804,913 13,600 Schnitzer Steel Industries, Inc. -- Class A........... 442,952 13,800 Titanium Metals Corp.*(d)... 545,928 175,200 Wolverine Tube, Inc.*....... 1,314,000 -------------- 19,873,144 -------------- OIL AND GAS: EQUIPMENT -- 1.0% 11,000 Gulf Island Fabrication, Inc. ..................... 316,250 30,910 Hydril Company*............. 2,121,662 40,300 Lone Star Technologies, Inc.*..................... 2,240,277 97,280 Maverick Tube Corp.*........ 2,918,400 75,260 Oil States International, Inc.*(d).................. 2,732,691 115,340 Superior Energy Services, Inc.*..................... 2,663,201 -------------- 12,992,481 -------------- OIL AND GAS: PIPELINES -- 0.0% 42,900 TransMontaigne, Inc.*....... 342,771 -------------- OIL, COAL AND GAS -- 6.4% 14,100 Berry Petroleum Company -- Class A................... 940,329 214,850 Cabot Oil & Gas Corp. ...... 10,852,073
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 36,200 Cal Dive International, Inc.*..................... $ 2,295,442 13,800 Callon Petroleum Company*... 288,834 11,900 Clayton Williams Energy, Inc.*..................... 514,080 124,950 Encore Acquisition Company*(d)............... 4,854,308 252,400 Energy Partners, Ltd.*...... 7,879,928 17,400 Frontier Oil Corp. ......... 771,690 70,900 Global Industries, Ltd.*.... 1,045,066 276,850 Grey Wolf, Inc.*............ 2,333,846 154,000 Harvest Natural Resources, Inc.*(d).................. 1,652,420 118,100 Headwaters, Inc.*(d)........ 4,416,940 110,500 ONEOK, Inc.(d).............. 3,759,210 183,700 Parker Drilling Company*.... 1,702,899 95,410 Patterson-UTI Energy, Inc. ..................... 3,442,393 3,100 Petroleum Development Corp.*.................... 118,854 138,900 Swift Energy Company*....... 6,354,675 82,100 The Houston Exploration Company*.................. 5,521,225 24,700 Ultra Petroleum Corp. (Canada)*................. 1,404,936 50,250 Unit Corp.*................. 2,777,820 244,900 Vintage Petroleum, Inc. .... 11,182,133 147,300 Whiting Petroleum Corp.*.... 6,457,632 -------------- 80,566,733 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 6.0% 249,800 Abgenix, Inc.*(d)........... 3,167,464 68,400 Albany Molecular Research, Inc.*..................... 833,112 60,540 Alexion Pharmaceuticals, Inc.*(d).................. 1,675,747 107,800 Alpharma, Inc. -- Class A... 2,680,986 109,359 AtheroGenics, Inc.*(d)...... 1,753,025 82,100 Barr Pharmaceuticals, Inc.*..................... 4,508,932 11,400 Bentley Pharmaceuticals, Inc.*..................... 136,230 220,000 Cephalon, Inc.*(d).......... 10,212,399 188,800 Cubist Pharmaceuticals, Inc.*..................... 4,066,752 24,300 deCODE genetics, Inc.*(d)... 203,877 274,700 Dendreon Corp.*(d).......... 1,843,237 221,200 DepoMed, Inc.*(d)........... 1,433,376
See notes to portfolios of investments. 80 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT (CONTINUED) 117,500 Endo Pharmaceuticals Holdings, Inc.*........... $ 3,133,725 20,799 Enzo Biochem, Inc.*(d)...... 319,473 130,300 Enzon Pharmaceuticals, Inc.*..................... 863,889 226,970 First Horizon Pharmaceutical Corp.*(d)................. 4,509,894 37,950 Genomic Health, Inc.*....... 438,323 51,400 InterMune, Inc.*(d)......... 850,670 58,500 LifeCell Corp.*............. 1,265,355 195,000 Ligand Pharmaceuticals, Inc. -- Class B*(d)....... 1,976,618 16,000 Millipore Corp.*............ 1,006,240 199,500 Nabi Biopharmaceuticals*(d).... 2,613,450 15,300 Neurocrine Biosciences, Inc.*(d).................. 752,607 9,300 Nutraceutical International Corp.*.................... 132,246 145,636 Pharmaceutical Product Development, Inc.*........ 8,375,525 7,600 Pharmion Corp.*............. 165,756 18,400 POZEN, Inc.*................ 202,216 28,100 PRA International*.......... 851,711 27,600 Regeneron Pharmaceuticals, Inc.*..................... 261,924 97,130 Rigel Pharmaceuticals, Inc.*..................... 2,308,780 128,570 Salix Pharmaceuticals, Ltd.*..................... 2,732,113 155,800 Serologicals Corp.*(d)...... 3,514,848 121,500 Trimeris, Inc.*............. 1,863,810 35,400 United Therapeutics Corp.*.................... 2,470,920 41,600 Vertex Pharmaceuticals, Inc.*..................... 929,760 75,600 ViroPharma, Inc.*........... 1,572,480 -------------- 75,627,470 -------------- PRINTING AND PUBLISHING -- 0.8% 220,400 Bowne & Company, Inc. ...... 3,149,516 12,000 Consolidated Graphics, Inc.*..................... 516,600 99,600 Scholastic Corp.*........... 3,681,216 90,800 Valassis Communications, Inc.*..................... 3,539,384 -------------- 10,886,716 -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.2% 29,800 Getty Realty Corp. ......... 857,644
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REAL ESTATE DEVELOPMENT AND SERVICES (CONTINUED) 13,700 Jones Lang LaSalle, Inc. ... $ 631,022 27,300 Trammell Crow Company*...... 673,764 -------------- 2,162,430 -------------- REAL ESTATE INVESTMENT TRUSTS -- 3.9% 177,900 Acadia Realty Trust......... 3,200,421 45,000 Arbor Realty Trust, Inc. ... 1,264,500 22,900 Associated Estates Realty Corp. .................... 224,420 6,600 Boykin Lodging Company*..... 81,972 17,500 Capital Trust, Inc. -- Class A......................... 562,800 12,100 Commercial Net Lease Realty.................... 242,000 89,500 Cousins Properties, Inc. ... 2,704,690 28,400 CRIIMI MAE, Inc.*........... 488,764 5,200 Digital Realty Trust, Inc. ..................... 93,600 75,100 Entertainment Properties Trust..................... 3,351,713 127,700 Equity Inns, Inc. .......... 1,723,950 69,500 Equity One, Inc. ........... 1,615,875 107,100 FelCor Lodging Trust, Inc.*..................... 1,622,565 8,600 Global Signal, Inc. ........ 384,764 25,400 Gramercy Capital Corp. ..... 608,584 29,000 HomeBanc Corp. (Georgia).... 223,880 21,300 Innkeepers USA Trust........ 329,085 32,400 Jer Investors Trust, Inc. ..................... 585,144 148,470 KKR Financial Corp. ........ 3,301,973 35,500 LaSalle Hotel Properties.... 1,222,975 39,400 LTC Properties, Inc. ....... 835,280 85,600 Maguire Properties, Inc. ... 2,572,280 139,200 MeriStar Hospitality Corp.*.................... 1,270,896 23,400 Mid-America Apartment Communities, Inc. ........ 1,088,334 8,200 MortgageIT Holdings, Inc. ..................... 116,604 11,400 National Health Realty, Inc. ..................... 314,754 17,000 Newcastle Investment Corp. .................... 474,300 12,500 NorthStar Realty Finance Corp. .................... 117,375 124,300 OMEGA Healthcare Investors, Inc. ..................... 1,730,256 44,900 PS Business Parks, Inc. .... 2,056,420 68,600 RAIT Investment Trust....... 1,955,100 3,300 Ramco-Gershenson Properties Trust..................... 96,327 154,400 Realty Income Corp. ........ 3,691,704 6,600 Saul Centers, Inc. ......... 237,534
See notes to portfolios of investments. 81 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 53,900 SL Green Realty Corp.(d).... $ 3,674,902 11,500 Sovran Self Storage(d)...... 562,925 16,700 Sunstone Hotel Investors, Inc. ..................... 407,313 36,100 Taubman Centers, Inc. ...... 1,144,370 201,200 U-Store-It Trust............ 4,078,324 6,900 Winston Hotels, Inc. ....... 69,000 -------------- 50,327,673 -------------- REGISTERED INVESTMENT COMPANIES -- 0.0% 4,900 Apollo Investment Corp. .... 97,020 -------------- RETAIL -- 1.1% 148,300 Casey's General Stores, Inc. ..................... 3,440,560 4,500 Conn's, Inc.*............... 124,740 184,812 Design Within Reach, Inc.*(d).................. 1,668,852 51,100 Dollar Tree Stores, Inc.*(d).................. 1,106,315 41,800 Longs Drug Stores Corp. .... 1,792,802 39,300 Pantry, Inc.*............... 1,468,641 6,100 Sonic Automotive, Inc. ..... 135,542 46,000 Trans World Entertainment Corp.*.................... 362,940 41,500 Williams-Sonoma, Inc.*...... 1,591,525 91,600 Zale Corp.*................. 2,489,688 -------------- 14,181,605 -------------- RETAIL: RESTAURANTS -- 1.8% 97,700 Brinker International, Inc.*(d).................. 3,669,612 64,800 Caribou Coffee Company, Inc. ..................... 735,480 122,250 CEC Entertainment, Inc.*(d).................. 3,882,660 99,200 CKE Restaurants, Inc.(d).... 1,307,456 188,568 Cosi, Inc.*................. 1,851,738 34,700 Domino's Pizza, Inc. ....... 809,204 24,700 Jack in the Box, Inc.*...... 738,777 34,500 Lone Star Steakhouse & Saloon, Inc. ............. 897,000 35,700 Panera Bread Company -- Class A*(d)............... 1,827,126 35,100 Papa John's International, Inc.*(d).................. 1,759,212 148,500 Ruby Tuesday, Inc.(d)....... 3,231,360 99,000 Sonic Corp.*................ 2,707,650 -------------- 23,417,275 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) RETAIL: SUPERMARKETS -- 0.1% 50,200 Pathmark Stores, Inc.*...... $ 565,754 14,600 Spartan Stores, Inc.*....... 150,380 -------------- 716,134 -------------- SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 0.5% 53,000 Cymer, Inc.*................ 1,659,960 149,400 FEI Company*(d)............. 2,875,950 44,600 Hexcel Corp.*............... 815,734 11,400 Woodward Governor Company... 969,570 -------------- 6,321,214 -------------- SEMICONDUCTORS -- 4.3% 155,140 Advanced Analogic Technologies, Inc.*....... 1,736,017 106,640 Agere Systems, Inc.*........ 1,110,122 307,800 Altera Corp.*............... 5,882,058 124,200 AMIS Holdings, Inc.*........ 1,473,012 60,300 Cirrus Logic, Inc.*......... 457,677 13,500 Cohu, Inc. ................. 319,275 140,600 Cree, Inc.*(d).............. 3,517,812 98,400 Emulex Corp.*(d)............ 1,988,664 194,900 Genesis Microchip, Inc.*.... 4,278,055 141,800 Intersil Corp. -- Class A(d)...................... 3,088,404 159,500 Kulicke and Soffa Industries, Inc.*......... 1,156,375 212,400 Lattice Semiconductor Corp.*.................... 909,072 202,400 Micrel, Inc.*............... 2,272,952 169,400 Microsemi Corp.*............ 4,326,476 10,900 MKS Instruments, Inc.*...... 187,807 56,600 Netlogic Microsystems, Inc.*(d).................. 1,221,994 242,800 Novellus Systems, Inc.*..... 6,089,424 136,470 O2Micro International, Ltd. (Cayman Islands)*......... 2,148,038 61,200 OmniVision Technologies, Inc.*(d).................. 772,344 83,700 Photronics, Inc.*........... 1,623,780 118,200 Pixelworks, Inc.*........... 778,938 31,100 SiRF Technology Holdings, Inc.*..................... 937,043 276,400 Teradyne, Inc.*............. 4,560,600 164,900 Ultratech, Inc.*............ 2,570,791
See notes to portfolios of investments. 82 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 26,700 Veeco Instruments, Inc.*.... $ 428,268 131,260 Volterra Semiconductor Corp.*(d)................. 1,610,560 -------------- 55,445,558 -------------- SPORTING GOODS AND EQUIPMENT -- 0.2% 94,050 Hibbett Sporting Goods, Inc.*..................... 2,092,613 24,200 The Nautilus Group, Inc. ... 534,094 -------------- 2,626,707 -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 2.6% 12,300 ADTRAN, Inc. ............... 387,450 139,200 American Tower Corp. -- Class A*.................. 3,473,040 10,700 Anaren, Inc.*............... 150,870 7,600 Anixter International, Inc. ..................... 306,508 72,600 Arris Group, Inc.*.......... 861,036 621,500 Avaya, Inc.*................ 6,401,450 93,450 Brightpoint, Inc.*.......... 1,788,633 6,400 Centennial Communications Corp.*.................... 95,872 21,700 Commonwealth Telephone Enterprises, Inc. ........ 818,090 92,600 CommScope, Inc.*(d)......... 1,605,684 16,100 CT Communications, Inc. .... 199,157 27,600 Digi International, Inc.*... 296,148 74,900 Dobson Communications Corp. -- Class A*(d)...... 575,232 10,700 North Pittsburgh Systems, Inc. ..................... 218,387 112,100 Plantronics, Inc.(d)........ 3,453,801 424,200 Polycom, Inc.*.............. 6,859,314 564,100 RF Micro Devices, Inc.*..... 3,187,165 65,700 TALK America Holdings, Inc.*(d).................. 619,551 152,000 UbiquiTel, Inc.*............ 1,328,480 9,300 USA Mobility, Inc.*......... 250,914 -------------- 32,876,782 -------------- TOOLS -- 0.3% 102,600 Snap-on, Inc. .............. 3,705,912 -------------- TOYS -- 0.1% 80,800 JAKKS Pacific, Inc.*(d)..... 1,311,384 --------------
SHARES VALUE ------ -------------- COMMON STOCKS (CONTINUED) TRANSPORTATION -- 1.0% 51,900 General Maritime Corp. (Marshall Islands)(d)..... $ 1,910,439 148,350 Genesee & Wyoming, Inc. -- Class A*(d)............... 4,702,695 2,700 Hub Group, Inc. -- Class A*........................ 99,117 13,800 Landstar System, Inc. ...... 552,414 53,630 Old Dominion Freight Line, Inc.*..................... 1,796,069 59,700 Swift Transportation Company, Inc.*............ 1,056,690 175,550 Vitran Corp., Inc. -- Class A (Canada)*............... 2,847,421 -------------- 12,964,845 -------------- UTILITIES: ELECTRIC -- 1.0% 18,600 Avista Corp. ............... 360,840 13,200 Cleco Corp. ................ 311,256 284,400 PNM Resources, Inc. ........ 8,153,748 124,000 Sierra Pacific Resources*... 1,841,400 86,800 Westar Energy, Inc. ........ 2,094,484 -------------- 12,761,728 -------------- UTILITIES: GAS -- 0.9% 79,200 Atmos Energy Corp. ......... 2,237,400 13,300 Cascade Natural Gas Corp. .................... 289,541 58,700 New Jersey Resources Corp. .................... 2,699,026 61,700 Nicor, Inc.(d).............. 2,593,251 113,800 WGL Holdings, Inc. ......... 3,656,394 -------------- 11,475,612 -------------- TOTAL COMMON STOCKS (Cost $1,079,000,616)..... 1,255,005,062 -------------- PRINCIPAL --------- US TREASURY SECURITIES -- 0.1% $ 750,000 US Treasury Bill, 3.39%, 12/15/05(f) (Cost $744,703)........... 744,703 -------------- SECURITIES LENDING COLLATERAL -- 19.1% 245,463,448 Securities Lending Collateral Investment (Note 3) (Cost $245,463,448)....... 245,463,448 -------------- TOTAL SECURITIES (Cost $1,325,208,767)........... 1,501,213,213 --------------
See notes to portfolios of investments. 83 SPECIAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- -------------- REPURCHASE AGREEMENT -- 2.7% $ 34,888,030 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $34,897,682 (Collateralized by various Fannie Mae Adjustable Rate Mortgages, 3.62%-4.21%, due 01/01/18-05/01/33, with a total value of $27,909,801, and various Small Business Administrations, 6.13%-6.88%, due 04/25/15- 03/25/26, with a total value of $8,722,630) (Cost $34,888,030)........ $ 34,888,030 -------------- Total Investments -- 119.8% (Cost $1,360,096,797)..... 1,536,101,243 Liabilities less other assets -- (19.8)%......... (253,495,822) -------------- NET ASSETS -- 100.0%........ $1,282,605,421 ==============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $1,360,096,797. The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation.............. $216,414,988 Gross unrealized depreciation.............. (40,410,542) ------------ Net unrealized appreciation................ $176,004,446 ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 84 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 94.1% APPAREL: MANUFACTURING AND RETAIL -- 8.6% 39,100 Carter's, Inc.*................ $ 2,220,880 92,600 Coach, Inc.*................... 2,903,936 88,300 The Warnaco Group, Inc.*....... 1,934,653 130,400 Urban Outfitters, Inc.*(d)..... 3,833,760 ------------ 10,893,229 ------------ BANKS -- 3.3% 74,100 Brookline Bancorp, Inc. ....... 1,172,262 53,300 Midwest Banc Holdings, Inc. ... 1,232,296 64,600 Signature Bank*(d)............. 1,743,554 ------------ 4,148,112 ------------ BUSINESS SERVICES AND SUPPLIES -- 5.3% 40,400 Advisory Board Company*........ 2,102,416 32,400 Portfolio Recovery Associates, Inc.*(d)..................... 1,399,032 77,800 Resources Connection, Inc.*.... 2,305,214 58,400 TRM Corp.*(d).................. 887,096 ------------ 6,693,758 ------------ COMMERCIAL SERVICES -- 0.1% 11,100 Collectors Universe, Inc.*..... 140,970 ------------ COMPUTER SOFTWARE AND SERVICES -- 3.5% 129,100 Agile Software Corp.*.......... 925,647 14,400 Informatica Corp.*............. 173,088 72,100 Interwoven, Inc.*.............. 589,057 222,500 MatrixOne, Inc.*............... 1,170,350 39,900 Micromuse, Inc.*............... 314,412 64,200 SERENA Software, Inc.*......... 1,279,506 ------------ 4,452,060 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.8% 56,400 NCI Building Systems, Inc.*.... 2,300,556 ------------ DISTRIBUTION -- 0.1% 4,100 MWI Veterinary Supply, Inc.*... 81,795 ------------ INSURANCE -- 3.4% 115,800 American Equity Investment Life Holding Company(d)........... 1,314,330 62,700 Delphi Financial Group, Inc. -- Class A...................... 2,934,360 ------------ 4,248,690 ------------ INTERNET SERVICES -- 12.8% 123,600 Akamai Technologies, Inc.*(d)..................... 1,971,420 57,400 aQuantive, Inc.*............... 1,155,462 38,700 Blue Nile, Inc.*(d)............ 1,224,468 23,900 F5 Networks, Inc.*............. 1,038,933 89,000 Jupitermedia Corp.*(d)......... 1,576,190
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 94,400 Marchex, Inc. -- Class B*(d)... $ 1,563,264 73,200 Redback Networks, Inc.*........ 726,144 106,200 RSA Security, Inc.*(d)......... 1,349,802 110,300 Secure Computing Corp.*........ 1,251,905 162,800 SupportSoft, Inc.*............. 820,512 188,400 TIBCO Software, Inc.*.......... 1,575,024 38,400 Websense, Inc.*................ 1,966,464 ------------ 16,219,588 ------------ MANUFACTURING -- 1.8% 10,500 ESCO Technologies, Inc.*....... 525,735 44,800 Lincoln Electric Holdings, Inc. ........................ 1,765,120 ------------ 2,290,855 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 6.1% 144,300 Align Technology, Inc.*(d)..... 969,696 96,500 Animas Corp.*(d)............... 1,515,050 115,000 Conceptus, Inc.*(d)............ 1,334,000 46,900 Conor Medsystems, Inc.*........ 1,102,150 78,575 Immucor, Inc.*................. 2,156,098 60,900 Micrus Endovascular Corp.*..... 602,301 ------------ 7,679,295 ------------ OIL, COAL AND GAS -- 0.6% 22,400 W-H Energy Services, Inc.*..... 726,208 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 17.2% 63,700 Amylin Pharmaceuticals, Inc.*(d)..................... 2,216,123 106,228 CV Therapeutics, Inc.*(d)...... 2,841,599 43,600 Digene Corp.*.................. 1,242,600 109,100 Encysive Pharmaceuticals, Inc.*........................ 1,285,198 94,200 Keryx Biopharmaceuticals, Inc.*........................ 1,484,592 29,500 Medicis Pharmaceuticals Corp. -- Class A(d).......... 960,520 89,500 MGI Pharma, Inc.*(d)........... 2,086,245 109,200 Nastech Pharmaceutical Company, Inc.*(d)..................... 1,544,088 100,200 Nektar Therapeutics*(d)........ 1,698,390 72,400 Protein Design Labs, Inc.*..... 2,027,200 61,000 Rigel Pharmaceuticals, Inc.*... 1,449,970 35,900 SeraCare Life Sciences, Inc.*........................ 637,584 35,300 United Therapeutics Corp.*..... 2,463,940 ------------ 21,938,049 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.2% 16,000 HouseValues, Inc.*............. 228,800 ------------
See notes to portfolios of investments. 85 SMALL-CAP GROWTH PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 2.2% 42,600 RAIT Investment Trust.......... $ 1,214,100 87,200 Strategic Hotel Capital, Inc. ........................ 1,592,272 ------------ 2,806,372 ------------ RETAIL -- 4.6% 46,250 America's Car-Mart, Inc.*...... 829,725 65,500 First Cash Financial Services, Inc.*........................ 1,723,960 38,400 Guitar Center, Inc.*........... 2,120,064 25,400 Tractor Supply Company*........ 1,159,510 ------------ 5,833,259 ------------ RETAIL: RESTAURANTS -- 3.7% 53,400 BJ's Restaurants, Inc.*........ 1,090,962 60,900 Sonic Corp.*................... 1,665,615 60,750 The Cheesecake Factory, Inc.*(d)..................... 1,897,830 ------------ 4,654,407 ------------ SCIENTIFIC AND TECHNICAL INSTRUMENTS -- 2.0% 38,900 Cymer, Inc.*................... 1,218,348 166,500 Input/Output, Inc.*(d)......... 1,328,670 ------------ 2,547,018 ------------ SEMICONDUCTORS -- 7.1% 40,300 FormFactor, Inc.*.............. 919,646 107,200 Integrated Device Technology, Inc.*........................ 1,151,328 122,900 O2Micro International, Ltd. (Cayman Islands)*............ 1,934,446 64,100 Power Integrations, Inc.*(d)... 1,394,175 35,100 Semtech Corp.*................. 578,097 56,100 SiRF Technology Holdings, Inc.*........................ 1,690,293 44,600 Tessera Technologies, Inc.*(d)..................... 1,333,986 ------------ 9,001,971 ------------ SPORTING GOODS AND EQUIPMENT -- 2.3% 128,813 Hibbett Sporting Goods, Inc.*........................ 2,866,078 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 4.3% 81,100 InPhonic, Inc.*(d)............. 1,115,125 153,600 NMS Communications Corp.*...... 568,320 95,400 Polycom, Inc.*................. 1,542,618 122,000 Symmetricom, Inc.*............. 944,280 60,300 Tekelec*....................... 1,263,285 ------------ 5,433,628 ------------
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) TRANSPORTATION -- 3.1% 55,750 Knight Transportation, Inc. ... $ 1,358,070 37,800 Old Dominion Freight Line, Inc.*........................ 1,265,922 71,800 Universal Truckload Services, Inc.*........................ 1,334,044 ------------ 3,958,036 ------------ TOTAL COMMON STOCKS (Cost $104,009,218).......... 119,142,734 ------------ PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 26.2% $33,136,957 Securities Lending Collateral Investment (Note 3) (Cost $33,136,957)........... 33,136,957 ------------ TOTAL SECURITIES (Cost $137,146,175).......... 152,279,691 ------------ REPURCHASE AGREEMENT -- 6.8% 8,543,542 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $8,545,906 (Collateralized by Fannie Mae Adjustable Rate Mortgage, 4.42%, due 01/01/33, with a value of $8,970,719) (Cost $8,543,542)............ 8,543,542 ------------ Total Investments -- 127.1% (Cost $145,689,717).......... 160,823,233 Liabilities less other assets -- (27.1)%............ (34,334,058) ------------ NET ASSETS -- 100.0%........... $126,489,175 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $145,689,717. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $19,588,473 Gross unrealized depreciation........... (4,454,957) ----------- Net unrealized appreciation............. $15,133,516 ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 86 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS -- 99.9% AEROSPACE AND DEFENSE -- 1.4% 80,550 The Boeing Company............. $ 5,473,373 ------------ APPAREL: MANUFACTURING AND RETAIL -- 3.6% 81,460 Chico's FAS, Inc.*............. 2,997,728 130,960 Coach, Inc.*................... 4,106,906 113,500 Nordstrom, Inc. ............... 3,895,320 87,980 Urban Outfitters, Inc.*(d)..... 2,586,612 ------------ 13,586,566 ------------ AUTOMOBILES/MOTOR VEHICLES -- 1.1% 46,500 Toyota Motor Corp. (ADR) (Japan)(d)................... 4,295,205 ------------ BROADCAST SERVICES/MEDIA -- 1.3% 725,540 Sirius Satellite Radio, Inc.*(d)..................... 4,752,287 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.2% 34,670 Cogent, Inc.*(d)............... 823,413 ------------ COMPUTER SOFTWARE AND SERVICES -- 7.4% 113,950 Electronic Arts, Inc.*(d)...... 6,482,616 833,650 Microsoft Corp. ............... 21,449,814 ------------ 27,932,430 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 4.9% 137,240 Apple Computer, Inc.*.......... 7,357,436 589,340 EMC Corp. (Massachusetts)*..... 7,626,060 76,000 SanDisk Corp.*................. 3,667,000 ------------ 18,650,496 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 0.9% 67,010 Cemex SA de CV (ADR) (Mexico)..................... 3,504,623 ------------ CONSUMER GOODS AND SERVICES -- 6.9% 49,010 Fortune Brands, Inc. .......... 3,985,983 660,710 General Electric Company....... 22,246,106 ------------ 26,232,089 ------------ ELECTRONICS -- 0.8% 93,000 Sony Corp. (ADR) (Japan)(d).... 3,086,670 ------------ FINANCIAL SERVICES -- 5.0% 12,540 Chicago Mercantile Exchange Holdings, Inc.(d)............ 4,229,742 61,800 Morgan Stanley................. 3,333,492 93,000 SEI Investments Company........ 3,494,940 67,230 T Rowe Price Group, Inc. ...... 4,390,119 248,000 The Charles Schwab Corp. ...... 3,578,640 ------------ 19,026,933 ------------ INTERNET SERVICES -- 9.7% 161,900 eBay, Inc.*.................... 6,670,280 42,820 Google, Inc. -- Class A*(d).... 13,550,818
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) INTERNET SERVICES (CONTINUED) 275,260 Juniper Networks, Inc.*........ $ 6,548,435 28,500 NetEase.com, Inc. (ADR) (Cayman Islands)*.................... 2,565,285 213,730 YAHOO!, Inc.*.................. 7,232,623 ------------ 36,567,441 ------------ LEISURE AND RECREATION -- 2.1% 112,300 MGM MIRAGE*.................... 4,915,371 97,700 Scientific Games Corp. -- Class A*............ 3,028,700 ------------ 7,944,071 ------------ MACHINERY -- 2.6% 105,600 Caterpillar, Inc. ............. 6,204,000 70,220 Joy Global, Inc. .............. 3,543,301 ------------ 9,747,301 ------------ MANUFACTURING -- 2.1% 41,000 ITT Industries, Inc. .......... 4,657,600 64,000 Precision Castparts Corp.(d)... 3,398,400 ------------ 8,056,000 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 4.0% 138,200 UnitedHealth Group, Inc. ...... 7,766,840 96,100 WellPoint, Inc.*............... 7,286,302 ------------ 15,053,142 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 5.0% 39,400 Bausch & Lomb, Inc.(d)......... 3,178,792 174,080 Johnson & Johnson.............. 11,015,782 98,500 St Jude Medical, Inc.*......... 4,609,800 ------------ 18,804,374 ------------ METALS AND MINING -- 1.8% 78,530 Companhia Vale do Rio Doce (CVRD) (ADR) (Brazil)(d)..... 3,444,326 57,500 Nucor Corp. ................... 3,391,925 ------------ 6,836,251 ------------ OIL AND GAS: PIPELINES -- 1.9% 36,500 Kinder Morgan, Inc.(d)......... 3,509,840 150,800 The Williams Companies, Inc. ........................ 3,777,540 ------------ 7,287,380 ------------ OIL, COAL AND GAS -- 2.0% 44,430 Peabody Energy Corp. .......... 3,747,671 34,000 Valero Energy Corp. ........... 3,844,040 ------------ 7,591,711 ------------ PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 11.2% 108,400 Amgen, Inc.*................... 8,636,228
See notes to portfolios of investments. 87 AGGRESSIVE EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ COMMON STOCKS (CONTINUED) PHARMACEUTICALS/RESEARCH AND DEVELOPMENT (CONTINUED) 153,190 Caremark Rx, Inc.*............. $ 7,648,777 93,700 Genentech, Inc.*............... 7,890,477 95,280 Genzyme Corp.*................. 6,825,859 158,070 Gilead Sciences, Inc.*......... 7,707,493 57,680 Sepracor, Inc.*(d)............. 3,402,543 ------------ 42,111,377 ------------ RETAIL -- 0.9% 80,970 Best Buy Company, Inc. ........ 3,524,624 ------------ RETAIL: RESTAURANTS -- 0.9% 69,640 Starbucks Corp.*............... 3,488,964 ------------ RETAIL: SUPERMARKETS -- 0.9% 25,400 Whole Foods Market, Inc. ...... 3,415,030 ------------ SEMICONDUCTORS -- 12.7% 255,290 Advanced Micro Devices, Inc.*(d)..................... 6,433,308 91,000 Analog Devices, Inc.(d)........ 3,379,740 434,510 Applied Materials, Inc. ....... 7,369,290 191,580 Broadcom Corp. -- Class A*..... 8,987,017 66,250 KLA-Tencor Corp. .............. 3,230,350 163,280 Marvell Technology Group, Ltd. (Bermuda)*(d)................ 7,528,840 221,000 Teradyne, Inc.*................ 3,646,500 204,990 Texas Instruments, Inc. ....... 6,949,161 ------------ 47,524,206 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 8.6% 206,440 America Movil SA de CV -- Series L (ADR) (Mexico)...... 5,433,501 129,500 Comverse Technology, Inc.*..... 3,401,965 389,720 Corning, Inc.*................. 7,533,287 328,000 Motorola, Inc. ................ 7,245,520 43,640 NII Holdings, Inc.*............ 3,685,398 143,700 Telefonaktiebolaget LM Ericsson (ADR) (Sweden)*.............. 5,293,908 ------------ 32,593,579 ------------ TOTAL COMMON STOCKS (Cost $333,446,601)................ 377,909,536 ------------ PRINCIPAL VALUE --------- ------------ SECURITIES LENDING COLLATERAL -- 16.0% $60,319,890 Securities Lending Collateral Investment (Note 3) (Cost $60,319,890)................. $ 60,319,890 ------------ TOTAL SECURITIES (Cost $393,766,491)................ 438,229,426 ------------ REPURCHASE AGREEMENT -- 0.1% 532,179 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $532,326 (Collateralized by Small Business Administration, 4.50%, due 02/25/24, with a value of $558,788) (Cost $532,179).................... 532,179 ------------ Total Investments -- 116.0% (Cost $394,298,670).......... 438,761,605 Liabilities less other assets -- (16.0)%............ (60,667,764) ------------ NET ASSETS -- 100.0%........... $378,093,841 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $394,298,670. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation........... $49,463,302 Gross unrealized depreciation........... (5,000,367) ----------- Net unrealized appreciation............. $44,462,935 ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 88 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES -- 90.6% ADVERTISING -- 0.5% $ 1,370,000 Advanstar Communications, Inc., 10.75%, 08/15/10............. $ 1,537,825 455,000 WDAC Subsidiary Corp. -- 144A, 8.38%, 12/01/14.............. 442,488 ------------ 1,980,313 ------------ AEROSPACE AND DEFENSE -- 0.3% 395,000 Argo-Tech Corp., 9.25%, 06/01/11.............. 420,675 415,000 Armor Holdings, Inc., 8.25%, 08/15/13.............. 449,238 210,000 B/E Aerospace, Series B, 8.00%, 03/01/08.............. 211,050 ------------ 1,080,963 ------------ AGRICULTURAL EQUIPMENT -- 0.3% 940,000 Case New Holland, Inc., 9.25%, 08/01/11.............. 998,750 ------------ AIRLINES -- 1.4% 920,000 American Airlines, Inc., 8.61%, 04/01/11.............. 861,619 1,700,000 American Airlines, Inc., Series 2001-2, 7.80%, 10/01/06.............. 1,628,638 295,000 American Airlines, Inc., Series 2001-2, 7.86%, 10/01/11.............. 302,065 1,490,000 AMR Corp., 9.00%, 08/01/12.............. 1,057,900 1,433,626 Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11.............. 1,284,932 500,000 Delta Air Lines, Inc., 7.90%, 12/15/09(h)........... 92,500 495,000 Delta Air Lines, Inc. -- 144A, 9.50%, 11/18/08(h)........... 373,725 45,000 Delta Air Lines, Inc., Series 2000-1, 7.78%, 11/18/05.............. 25,566 ------------ 5,626,945 ------------ APPAREL: MANUFACTURING AND RETAIL -- 3.7% 1,330,000 GFSI, Inc., Series B, 9.63%, 03/01/07.............. 1,216,950 3,300,000 Levi Strauss & Company, 12.25%, 12/15/12............. 3,663,000 895,000 Levi Strauss & Company, 9.75%, 01/15/15.............. 917,375
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) APPAREL: MANUFACTURING AND RETAIL (CONTINUED) $ 1,740,000 Levi Strauss & Company, Floating Rate, 8.25%, 04/01/12(b)........... $ 1,744,350 2,085,000 Neiman Marcus Group, Inc. -- 144A, 10.38%, 10/15/15............. 2,085,000 1,485,000 Oxford Industries, Inc., 8.88%, 06/01/11.............. 1,551,825 2,445,000 Perry Ellis International, Inc., Series B, 8.88%, 09/15/13.............. 2,518,350 490,000 Phillips Van-Heusen Corp., 7.25%, 02/15/11.............. 494,900 685,000 Phillips Van-Heusen Corp., 8.13%, 05/01/13.............. 722,675 ------------ 14,914,425 ------------ AUTOMOBILES/MOTOR VEHICLES -- 0.4% 565,000 Navistar International Corp., 7.50%, 06/15/11.............. 573,475 1,270,000 Navistar International Corp., 6.25%, 03/01/12.............. 1,212,850 ------------ 1,786,325 ------------ AUTOMOTIVE EQUIPMENT -- 2.3% 2,110,000 Collins & Aikman Products Company, Series B, 9.75%, 02/15/10.............. 2,046,699 395,000 Commercial Vehicle Group -- 144A, 8.00%, 07/01/13.............. 398,950 1,185,000 Delphi Corp., 6.55%, 06/15/06.............. 876,900 1,059,674 Delphi Corp. (Loan Participation), Tranche B, 9.74%, 06/14/11.............. 1,082,110 155,000 Dura Operating Corp., Series D, 9.00%, 05/01/09.............. 108,500 270,000 Keystone Automotive Operations, Inc., 9.75%, 11/01/13.............. 270,000 1,035,000 Metaldyne Corp. -- 144A, 10.00%, 11/01/13............. 905,625 260,000 Rexnord Corp., 10.13%, 12/15/12............. 286,000 1,000,000 Tenneco Automotive, Inc., 8.63%, 11/15/14.............. 1,012,500 945,000 Tenneco Automotive, Inc., Series B, 10.25%, 07/15/13............. 1,060,763
See notes to portfolios of investments. 89 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) AUTOMOTIVE EQUIPMENT (CONTINUED) $ 354,000 TRW Automotive, Inc., 11.00%, 02/15/13............. $ 400,905 680,000 Visteon Corp., 8.25%, 08/01/10.............. 649,400 ------------ 9,098,352 ------------ BROADCAST SERVICES/MEDIA -- 7.8% 1,595,000 Adelphia Communications, 10.25%, 11/01/06(h).......... 1,188,275 840,000 Adelphia Communications, 10.25%, 06/15/11(h).......... 642,600 305,000 Adelphia Communications, Series B, 9.25%, 10/01/02(h)(l)........ 225,700 5,970,000 CCO Holdings LLC/Capital Corp. -- 144A, 8.75%, 11/15/13.............. 5,925,224 2,285,000 Charter Communications Holdings II, 10.25%, 09/15/10............. 2,353,549 1,740,000 Coleman Cable, Inc., 9.88%, 10/01/12.............. 1,542,075 1,030,000 CSC Holdings, Inc., 10.50%, 05/15/16............. 1,113,688 1,175,000 CSC Holdings, Inc. -- 144A, 6.75%, 04/15/12.............. 1,116,250 405,000 CSC Holdings, Inc., Series B, 7.63%, 04/01/11.............. 399,938 1,800,000 HIT Entertainment, Inc. (Loan Participation), Tranche LN 227525, 9.17%, 02/05/13.............. 1,842,750 4,625,000 Insight Communications Company, Inc., zero coupon, 02/15/11(g)..... 4,740,624 2,040,000 Kabel Deutschland GMBH -- 144A (Germany), 10.63%, 07/01/14............. 2,264,399 715,000 LBI Media, Inc., 10.13%, 07/15/12............. 773,988 570,000 LBI Media, Inc., zero coupon, 10/15/13(g)..... 432,488 415,000 LIN Television Corp -- 144A, 6.50%, 05/15/13.............. 395,288 1,655,000 Nexstar Financial Holdings LLC, Inc., zero coupon, 04/01/13(g)..... 1,232,975 835,000 Nextmedia Operating, Inc., 10.75%, 07/01/11............. 898,669
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) BROADCAST SERVICES/MEDIA (CONTINUED) $ 430,000 ONO Finance PLC (United Kingdom), 14.00%, 02/15/11(m)(p)....... $ 564,346 1,300,000 ONO Finance PLC (United Kingdom), 14.00%, 02/15/11............. 1,431,625 465,000 Paxson Communications Corp., 10.75%, 07/15/08............. 459,188 190,000 Paxson Communications Corp., zero coupon, 01/15/09(g)..... 185,250 2,055,000 Sirius Satellite Radio, Inc. -- 144A, 9.63%, 08/01/13.............. 1,983,075 ------------ 31,711,964 ------------ BUSINESS SERVICES AND SUPPLIES -- 0.9% 1,500,000 Affinity Group, Inc., 9.00%, 02/15/12.............. 1,507,500 2,010,000 Quintiles Transnational Corp., 10.00%, 10/01/13............. 2,271,300 ------------ 3,778,800 ------------ CHEMICALS -- 4.1% 87,000 Avecia Group PLC (United Kingdom), 11.00%, 07/01/09............. 89,936 655,000 Equistar Chemical/Funding, 10.63%, 05/01/11............. 717,225 1,086,000 Huntsman LLC, 11.63%, 10/15/10............. 1,246,185 760,000 IMC Global, Inc., 10.88%, 08/01/13............. 900,600 1,675,000 IMC Global, Inc., Series B, 11.25%, 06/01/11............. 1,850,875 220,000 Innophos, Inc. -- 144A, 8.88%, 08/15/14.............. 226,050 320,000 Lyondell Chemical Company, 11.13%, 07/15/12............. 358,400 1,301,000 Lyondell Chemical Company, 10.50%, 06/01/13............. 1,476,635 2,408,000 Nalco Company, 8.88%, 11/15/13.............. 2,483,250 2,900,000 OM Group, Inc., 9.25%, 12/15/11.............. 2,965,250 765,000 PolyOne Corp., 10.63%, 05/15/10............. 791,775 105,000 PolyOne Corp., 8.88%, 05/01/12.............. 100,144 135,000 Polypore, Inc., 8.75%, 05/15/12.............. 119,475
See notes to portfolios of investments. 90 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CHEMICALS (CONTINUED) $ 380,000 PQ Corp. -- 144A, 7.50%, 02/15/13.............. $ 370,500 340,000 Rhodia SA (France), 10.25%, 06/01/10............. 361,250 1,148,000 Rockwood Specialties Corp., 10.63%, 05/15/11............. 1,257,060 1,455,000 UAP Holding Corp., zero coupon, 07/15/12(g)..... 1,244,025 ------------ 16,558,635 ------------ COMPUTER SOFTWARE AND SERVICES -- 1.4% 190,000 Stratus Technologies, Inc., 10.38%, 12/01/08............. 192,850 1,685,000 SunGard Data Systems, Inc. -- 144A, 9.13%, 08/15/13.............. 1,754,505 1,445,000 SunGard Data Systems, Inc. -- 144A, 10.25%, 08/15/15............. 1,470,288 340,000 Unisys Corp., 8.00%, 10/15/12.............. 335,750 1,705,000 Unisys Corp., 8.50%, 10/15/15.............. 1,700,738 ------------ 5,454,131 ------------ COMPUTERS AND OFFICE EQUIPMENT -- 1.5% 1,930,000 GSC Holdings Corp. -- 144A, 8.00%, 10/01/12.............. 1,930,000 2,090,000 GSC Holdings Corp. -- 144A, Floating Rate, 7.88%, 10/01/11(b)........... 2,103,063 1,800,000 Interface, Inc., 10.38%, 02/01/10............. 1,953,000 170,000 Interface, Inc., 9.50%, 02/01/14.............. 170,850 ------------ 6,156,913 ------------ CONSTRUCTION SERVICES AND SUPPLIES -- 1.7% 1,590,000 Dayton Superior Corp., 10.75%, 09/15/08............. 1,613,850 1,955,000 Nortek, Inc., 8.50%, 09/01/14.............. 1,808,375 930,000 NTK Holdings, Inc., 10.75%, 03/01/14............. 525,450 865,000 Panolam Industries International -- 144A, 10.75%, 10/01/13............. 858,513 520,000 Ply Gem Industries, Inc., 9.00%, 02/15/12.............. 439,400
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) CONSTRUCTION SERVICES AND SUPPLIES (CONTINUED) $ 1,100,000 RMCC Acquisition Company -- 144A, 9.50%, 11/01/12.............. $ 1,116,500 330,000 Stanley-Martiin Companies -- 144A, 9.75%, 08/15/15.............. 324,225 ------------ 6,686,313 ------------ CONSUMER GOODS AND SERVICES -- 0.3% 695,000 Fedders North America, 9.88%, 03/01/14.............. 521,250 295,000 Jostens Holding Corp., zero coupon, 12/01/13(g)..... 213,875 303,000 WH Holdings, Ltd. (Cayman Islands)/WH Capital Corp., 9.50%, 04/01/11.............. 327,998 ------------ 1,063,123 ------------ CONTAINERS AND PACKAGING -- 2.7% 365,000 Crown European Holdings SA (France), 9.50%, 03/01/11.............. 401,500 1,990,000 Crown European Holdings SA (France), 10.88%, 03/01/13............. 2,318,350 995,000 Intertape Polymer US, Inc., 8.50%, 08/01/14.............. 984,813 300,000 Kappa Beheer BV (The Netherlands), 10.63%, 07/15/09............. 313,875 999,905 Pliant Corp. -- 144A, 11.63%, 06/15/09(k).......... 1,064,899 2,745,000 Smurfit-Stone Container Corp., 9.25%, 02/01/08.............. 2,813,625 810,000 Solo Cup Company, 8.50%, 02/15/14.............. 720,900 1,950,000 Stone Container Finance Company of Canada (Canada), 7.38%, 07/15/14.............. 1,745,250 235,000 US Can Corp., 10.88%, 07/15/10............. 247,925 ------------ 10,611,137 ------------ DISTRIBUTION -- 0.3% 916,000 Jafra Cosmetics International, 10.75%, 05/15/11............. 1,021,340 ------------ EDUCATION -- 0.2% 740,000 Knowledge Learning Center -- 144A, 7.75%, 02/01/15.............. 728,900 ------------
See notes to portfolios of investments. 91 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) ELECTRONICS -- 0.1% $ 550,000 Muzak LLC, 10.00%, 02/15/09............. $ 462,000 ------------ ENVIRONMENTAL WASTE MANAGEMENT AND RECYCLING SERVICES -- 1.9% 795,000 Aleris International, Inc., 10.38%, 10/15/10............. 880,463 651,000 Aleris International, Inc., 9.00%, 11/15/14.............. 690,060 2,630,000 Allied Waste North America, Inc., Series B, 8.88%, 04/01/08.............. 2,754,925 1,750,000 Allied Waste North America, Inc., Series B, 8.50%, 12/01/08.............. 1,833,125 1,555,000 Waste Services, Inc. (Canada), 9.50%, 04/15/14.............. 1,555,000 ------------ 7,713,573 ------------ EQUIPMENT RENTAL AND LEASING -- 1.0% 1,100,000 Neff Rental, Inc./Neff Finance -- 144A, 11.25%, 06/15/12............. 1,171,500 235,000 United Rentals North America, Inc., 6.50%, 02/15/12.............. 227,950 365,000 United Rentals North America, Inc., 7.75%, 11/15/13.............. 354,050 2,400,000 United Rentals North America, Inc., 7.00%, 02/15/14.............. 2,238,000 ------------ 3,991,500 ------------ FINANCIAL SERVICES -- 4.8% 600,000 Alamosa Delaware, Inc., 12.00%, 07/31/09............. 667,500 2,050,000 Alamosa Delaware, Inc., 11.00%, 07/31/10............. 2,321,625 1,335,000 BCP US Crystal Holdings Corp., 9.63%, 06/15/14.............. 1,491,863 1,200,000 BLB WorldWide Holdings Corp., 7.83%, 06/30/12.............. 1,225,500 385,000 Dana Credit Corp. -- 144A, 8.38%, 08/15/07.............. 382,634 1,400,000 E*TRADE Financial Corp., 8.00%, 06/15/11.............. 1,452,500 1,900,000 E*TRADE Financial Corp. -- 144A, 7.38%, 09/15/13.............. 1,928,500 4,555,000 Ford Motor Credit Company, 7.88%, 06/15/10.............. 4,436,774 200,000 General Motors Acceptance Corp., 6.13%, 09/15/06.............. 200,681
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) FINANCIAL SERVICES (CONTINUED) $ 2,300,000 Masonite International Corp. (Bridge Loan), 9.38%, 10/06/06.............. $ 2,300,000 1,777,000 REFCO Finance Holdings, 9.00%, 08/01/12.............. 1,941,373 620,000 Residential Capital Corp. -- 144A, 6.88%, 06/30/15.............. 649,927 ------------ 18,998,877 ------------ FOOD AND BEVERAGE -- 1.5% 1,280,000 American Seafood Group LLC, 10.13%, 04/15/10............. 1,369,600 1,550,000 ASG Consolidated LLC/ASG Finance, Inc., zero coupon, 11/01/11(g)..... 1,193,500 1,415,000 Pierre Foods, Inc., 9.88%, 07/15/12.............. 1,464,525 1,600,000 Pinnacle Foods Holding Corp., 8.25%, 12/01/13.............. 1,520,000 357,000 United Agriculture Products, 8.25%, 12/15/11.............. 378,420 ------------ 5,926,045 ------------ FUNERAL SERVICES -- 0.3% 1,090,000 Service Corp. International -- 144A, 7.00%, 06/15/17.............. 1,106,350 ------------ LEISURE AND RECREATION -- 7.8% 1,415,000 AMC Entertainment, Inc., 9.88%, 02/01/12.............. 1,369,013 162,890 Eldorado Casino Shreveport, 10.00%, 08/01/12............. 153,931 2,100,000 Inn of The Mountain Gods, 12.00%, 11/15/10............. 2,383,499 4,710,000 Kerzner International (Bahamas) -- 144A, 6.75%, 10/01/15.............. 4,586,362 2,155,000 Loews Cineplex Entertainment Corp., 9.00%, 08/01/14.............. 2,106,513 1,460,000 Majestic Star Casino LLC, 9.50%, 10/15/10.............. 1,452,700 1,500,000 MGM MIRAGE -- 144A, 6.63%, 07/15/15.............. 1,490,625 460,000 Mohegan Tribal Gaming Authority, 8.00%, 04/01/12.............. 487,600 1,070,000 OED Corp./Diamond JO, 8.75%, 04/15/12.............. 1,055,288
See notes to portfolios of investments. 92 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) LEISURE AND RECREATION (CONTINUED) $ 250,000 Resort International Hotel/Casino (Loan Participation), Tranche LN 2030007, 8.81%, 03/22/13.............. $ 251,094 905,000 San Pasqual Casino -- 144A, 8.00%, 09/15/13.............. 915,181 565,000 Seneca Gaming Corp., 7.25%, 05/01/12.............. 581,950 930,000 Seneca Gaming Corp. -- 144A, 7.25%, 05/01/12.............. 957,900 1,555,000 Six Flags, Inc., 8.88%, 02/01/10.............. 1,547,225 500,000 Station Casinos, Inc., 6.88%, 03/01/16.............. 509,375 850,000 Station Casinos, Inc. -- 144A, 6.88%, 03/01/16.............. 865,938 5,540,000 Trump Entertainment Resorts, Inc., 8.50%, 06/01/15.............. 5,373,799 1,732,000 Waterford Gaming LLC -- 144A, 8.63%, 09/15/12.............. 1,853,240 3,515,000 Wynn Las Vegas LLC/Capital Corp., 6.63%, 12/01/14.............. 3,378,793 ------------ 31,320,026 ------------ MACHINERY -- 0.7% 830,000 Chart Industries, Inc. -- 144A, 9.13%, 10/15/15.............. 830,000 745,000 Terex Corp., Series B, 10.38%, 04/01/11............. 800,875 305,000 The Manitowoc Company, Inc., 10.50%, 08/01/12............. 342,363 970,000 Thermadyne Holdings Corp., 9.25%, 02/01/14.............. 892,400 ------------ 2,865,638 ------------ MANUFACTURING -- 1.9% 455,000 Aearo Company I, 8.25%, 04/15/12.............. 457,275 800,000 Amsted Industries, Inc. -- 144A, 10.25%, 10/15/11............. 876,000 3,585,000 Dresser, Inc., 9.38%, 04/15/11.............. 3,800,099 515,000 Goodman Global Holding Company -- 144A, Floating Rate, 6.41%, 06/15/12(j)........... 505,988 15,000 Koppers, Inc., 9.88%, 10/15/13.............. 16,650
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) MANUFACTURING (CONTINUED) $ 720,000 MAAX Corp. (Canada), 9.75%, 06/15/12.............. $ 630,000 1,035,000 Samsonite Corp., 8.88%, 06/01/11.............. 1,104,863 720,000 Venture Holdings Trust, Series B, 9.50%, 02/01/06(h)........... 1,800 ------------ 7,392,675 ------------ MEDICAL AND OTHER HEALTH SERVICES -- 1.8% 270,000 Concentra Operating Corp., 9.50%, 08/15/10.............. 284,175 220,000 Concentra Operating Corp., 9.13%, 06/01/12.............. 229,900 700,000 HEALTHSOUTH Corp., 8.38%, 10/01/11.............. 670,250 985,000 HEALTHSOUTH Corp., 7.63%, 06/01/12.............. 925,900 800,000 National Mentor, Inc. -- 144A, 9.63%, 12/01/12.............. 840,000 835,000 Res-Care, Inc. -- 144A, 7.75%, 10/15/13.............. 843,350 1,570,000 US Oncology, Inc., 9.00%, 08/15/12.............. 1,703,450 1,345,000 US Oncology, Inc., 10.75%, 08/15/14............. 1,513,125 ------------ 7,010,150 ------------ MEDICAL EQUIPMENT AND SUPPLIES -- 1.7% 1,345,000 CDRV Investors, Inc., zero coupon, 01/01/15(g)..... 773,375 870,000 Inverness Medical Innovations, 8.75%, 02/15/12.............. 887,400 710,000 Medical Device Manufacturing, Inc., Series B, 10.00%, 07/15/12............. 773,900 1,375,000 Medquest, Inc., Series B, 11.88%, 08/15/12............. 1,457,500 1,170,000 Norcross Safety Products LLC -- Series B, 9.88%, 08/15/11.............. 1,260,675 175,000 Rotech Healthcare, Inc., 9.50%, 04/01/12.............. 188,125 350,000 Safety Products Holdings -- 144A, 11.75%, 01/01/12(k).......... 355,250 1,220,000 VWR International, Inc., 8.00%, 04/15/14.............. 1,194,075 ------------ 6,890,300 ------------
See notes to portfolios of investments. 93 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) METALS AND MINING -- 1.4% $ 1,349,000 Ispat Inland ULC (Canada), 9.75%, 04/01/14.............. $ 1,571,585 1,635,000 Mueller Group, Inc., 10.00%, 05/01/12............. 1,741,275 1,240,000 Mueller Holdings (NA), Inc., zero coupon, 04/15/14(g)..... 911,400 1,130,000 Novelis, Inc. -- 144A (Canada), 7.25%, 02/15/15.............. 1,073,500 375,000 Oregon Steel Mills, Inc., 10.00%, 07/15/09............. 405,938 ------------ 5,703,698 ------------ OIL AND GAS: PIPELINES -- 2.1% 365,000 ANR Pipeline Company, 8.88%, 03/15/10.............. 396,357 1,285,000 Dynegy Holdings, Inc., 7.63%, 10/15/26.............. 1,195,050 675,000 Dynegy Holdings, Inc. -- 144A, 10.13%, 07/15/13............. 756,000 105,000 El Paso CGP Company, 7.50%, 08/15/06.............. 106,838 740,000 El Paso CGP Company, 9.63%, 05/15/12.............. 821,400 775,000 El Paso Corp. -- 144A, 7.63%, 08/16/07.............. 792,438 485,000 El Paso Corp., Series MTN, 6.95%, 12/15/07.............. 494,094 380,000 Northwest Pipeline Corp., 8.13%, 03/01/10.............. 407,550 275,000 Southern Natural Gas Company, 8.88%, 03/15/10.............. 298,625 2,510,000 Transmontaigne, Inc., 9.13%, 06/01/10.............. 2,648,049 375,000 Williams Companies, Inc., 8.75%, 03/15/32.............. 444,375 ------------ 8,360,776 ------------ OIL, COAL AND GAS -- 2.8% 415,000 Alpha Natural Resources, 10.00%, 06/01/12............. 462,725 400,000 Clayton William Energy -- 144A, 7.75%, 08/01/13.............. 393,000 160,000 El Paso Production Holding Company, 7.75%, 06/01/13.............. 168,000 695,000 Giant Industries, Inc., 8.00%, 05/15/14.............. 729,750
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) OIL, COAL AND GAS (CONTINUED) $ 2,485,000 Hanover Compressor Company, zero coupon, 03/31/07(g)..... $ 2,248,924 580,000 Hanover Equipment Trust, Series B, 8.75%, 09/01/11.............. 619,150 390,000 Ocean Rig Norway AS -- 144A (Norway), 8.38%, 07/01/13.............. 424,125 525,000 Parker Drilling Company, 9.63%, 10/01/13.............. 599,813 1,125,000 Petrobras International Finance (Cayman Islands), 9.13%, 07/02/13.............. 1,316,250 175,000 Petrobras International Finance (Cayman Islands), 7.75%, 09/15/14.............. 190,313 1,295,525 Port Arthur Finance Corp., 12.50%, 01/15/09............. 1,483,376 440,000 Ram Energy, Inc., 11.50%, 02/15/08............. 464,200 290,000 Titan Petrochemicals -- 144A (Bermuda), 8.50%, 03/18/12.............. 280,575 1,615,000 United Refining Company, 10.50%, 08/15/12............. 1,719,975 ------------ 11,100,176 ------------ PAPER AND FOREST PRODUCTS -- 2.5% 170,000 Caraustar Industries, Inc., 7.38%, 06/01/09.............. 165,750 2,550,000 Caraustar Industries, Inc., 9.88%, 04/01/11.............. 2,537,250 1,225,000 Domtar, Inc. (Canada), 7.13%, 08/15/15.............. 1,129,293 1,185,000 Georgia-Pacific Corp., 9.50%, 12/01/11.............. 1,404,225 1,385,000 Georgia-Pacific Corp., 9.38%, 02/01/13.............. 1,551,200 595,000 Newark Group, Inc., 9.75%, 03/15/14.............. 532,525 2,395,000 NewPage Corp., 10.00%, 05/01/12............. 2,263,275 375,000 Norske Skog, Ltd., Series D (Canada), 8.63%, 06/15/11.............. 378,750 ------------ 9,962,268 ------------
See notes to portfolios of investments. 94 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) PRINTING AND PUBLISHING -- 4.0% $ 515,000 American Media Operations, Inc., 8.88%, 01/15/11.............. $ 458,350 3,910,000 American Media Operations, Inc., Series B, 10.25%, 05/01/09............. 3,822,024 1,195,000 CanWest Media, Inc. (Canada), 10.63%, 05/15/11............. 1,305,538 2,281,634 CanWest Media, Inc. (Canada), 8.00%, 09/15/12.............. 2,432,792 410,000 CBD Media LLC/CBD Finance, Inc., 8.63%, 06/01/11.............. 425,375 1,241,000 Dex Media West Finance Company, Series B, 9.88%, 08/15/13.............. 1,375,959 1,850,000 Houghton Mifflin Company, 8.25%, 02/01/11.............. 1,919,375 1,680,000 Houghton Mifflin Company, 9.88%, 02/01/13.............. 1,789,200 1,500,000 Houghton Mifflin Company, zero coupon, 10/15/13(g)..... 1,140,000 101,310 Merrill Corp., Series A, Variable Rate, 12.00%, 05/01/09(a).......... 107,389 185,000 Merrill Corp., Series B, Variable Rate, 12.00%, 05/01/09(a).......... 196,100 1,000,000 Primedia, Inc., Floating Rate, 8.64%, 05/15/10(b)........... 1,060,000 ------------ 16,032,102 ------------ REAL ESTATE DEVELOPMENT AND SERVICES -- 0.4% 130,000 CB Richard Ellis Services, Inc., 9.75%, 05/15/10.............. 143,975 500,000 CB Richard Ellis Services, Inc., 11.25%, 06/15/11............. 547,500 830,000 HydroChem Industrial Services, Inc. -- 144A, 9.25%, 02/15/13.............. 777,088 ------------ 1,468,563 ------------ REAL ESTATE INVESTMENT TRUSTS -- 0.7% 350,000 FelCor Lodging LP, Floating Rate, 7.78%, 06/01/11(j)........... 366,625 150,000 Host Marriott LP, Series O, 6.38%, 03/15/15.............. 146,250
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) $ 1,605,000 Meristar Hospitality Operating Partnership LP/MeriStar Hospitality Finance Corp., 10.50%, 06/15/09............. $ 1,709,325 485,000 Ventas Realty LP/Ventas Capital Corp. -- 144A, 7.13%, 06/01/15.............. 504,400 ------------ 2,726,600 ------------ RETAIL -- 1.1% 550,000 Rite Aid Corp., 7.13%, 01/15/07.............. 556,188 800,000 Rite Aid Corp., 8.13%, 05/01/10.............. 820,000 3,000,000 Toys R Us, Inc. (Loan Participation), LN 224666, 8.88%, 07/21/06.............. 3,001,875 ------------ 4,378,063 ------------ SEMICONDUCTORS -- 1.7% 2,510,000 Advanced Micro Devices, Inc., 7.75%, 11/01/12.............. 2,585,300 705,000 Amkor Technologies, Inc., 7.13%, 03/15/11.............. 611,588 4,065,000 Amkor Technologies, Inc., 7.75%, 05/15/13.............. 3,495,900 ------------ 6,692,788 ------------ SPECIAL PURPOSE ENTITY -- 7.3% 215,000 Altra Industrial Motion, Inc. -- 144A, 9.00%, 12/01/11.............. 211,775 1,170,000 AMR Holding Company/Emcare Holding Company -- 144A, 10.00%, 02/15/15............. 1,269,450 890,000 Aventine Renewable Energy Holdings, Inc. -- 144A, Floating Rate, 9.41%, 12/15/11(b)........... 930,050 535,000 Borden US Finance/Nova Scotia -- 144A, 9.00%, 07/15/14.............. 545,700 975,000 CCM Merger, Inc. -- 144A, 8.00%, 08/01/13.............. 988,406 1,375,000 Chukchansi Economic Development Authority -- 144A, 14.50%, 06/15/09............. 1,663,750 450,000 CPI Holdco, Inc., Floating Rate, 8.83%, 02/01/15(j)........... 445,492
See notes to portfolios of investments. 95 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) SPECIAL PURPOSE ENTITY (CONTINUED) $ 1,381,000 Crystal US Holdings 3 LLC/ Crystal US Sub 3 Corp. -- Series B, zero coupon, 10/01/14(g)..... $ 973,605 1,150,000 Digicel, Ltd. -- 144A (Jamaica), 9.25%, 09/01/12.............. 1,196,000 140,000 Huntsman Advanced Materials, 11.00%, 07/15/10............. 157,500 673,000 Interline Brands, Inc., 11.50%, 05/15/11............. 757,125 1,810,000 Marquee Holdings, Inc., zero coupon, 08/15/14(g)..... 1,095,050 1,980,000 MDP Acquisitions PLC (Ireland), 9.63%, 10/01/12.............. 1,999,800 1,090,000 Milacron Escrow Corp., 11.50%, 05/15/11............. 1,073,650 1,605,817 NSP Holdings/Cap Corp., 11.75%, 01/01/12(k).......... 1,629,904 1,380,000 Rainbow National Services LLC -- 144A, 8.75%, 09/01/12.............. 1,478,325 2,840,000 Rainbow National Services LLC -- 144A, 10.38%, 09/01/14............. 3,223,399 100,000 Standard Aero Holdings, Inc., 8.25%, 09/01/14.............. 97,250 3,535,000 UGS Corp., 10.00%, 06/01/12............. 3,888,499 2,465,000 Universal City Development Partners, Ltd., 11.75%, 04/01/10............. 2,797,775 275,000 Universal City Florida, 8.38%, 05/01/10.............. 286,688 595,000 Universal City Florida, Floating Rate, 7.96%, 05/01/10(b)........... 620,288 1,530,000 Vanguard Health Holding Company II, 9.00%, 10/01/14.............. 1,637,100 ------------ 28,966,581 ------------ SYNDICATED BANK LOANS -- 0.1% 500,000 Mirant Corp., 8.63%, 07/17/49(h)(m)........ 547,188 ------------
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 8.6% $ 345,000 Airgate PCS, Inc., Floating Rate, 7.35%, 10/15/11(b)........... $ 357,075 3,680,000 Centennial Cellular/ Communications, 10.13%, 06/15/13............. 4,158,399 585,000 General Cable Corp., 9.50%, 11/15/10.............. 618,638 851,000 Inmarsat Finance PLC (United Kingdom), 7.63%, 06/30/12.............. 880,785 4,435,000 Intelsat Bermuda, Ltd. (Bermuda), 5.25%, 11/01/08.............. 4,102,374 1,990,000 Intelsat Bermuda, Ltd. -- 144A (Bermuda), Floating Rate, 8.70%, 01/15/12(j)........... 2,034,775 1,000,000 IWO Holdings, Inc., 14.00%, 01/15/11(h).......... -- 765,000 IWO Holdings, Inc., zero coupon, 01/15/15(g)..... 541,238 185,000 IWO Holdings, Inc., Floating Rate, 7.35%, 01/15/12(b)........... 193,325 3,145,000 LCI International, Inc., 7.25%, 06/15/07.............. 3,082,099 1,395,000 New Skies Satellites NV (The Netherlands), 9.13%, 11/01/12.............. 1,450,800 645,000 New Skies Satellites NV (The Netherlands), Floating Rate, 8.54%, 11/01/11(j)........... 667,575 3,095,000 Nortel Networks Corp. (Canada), 4.25%, 09/01/08.............. 2,928,643 485,000 NTL Cable PLC (United Kingdom), 8.75%, 04/15/14.............. 503,188 1,780,000 Qwest Capital Funding, Inc., 7.75%, 08/15/06.............. 1,806,700 670,000 Qwest Capital Funding, Inc., 6.38%, 07/15/08.............. 658,275 460,000 Qwest Communications International, 7.25%, 02/15/11.............. 450,225 2,405,000 Qwest Communications International -- 144A, 7.50%, 02/15/14.............. 2,296,774 1,035,000 Qwest Corp., 7.88%, 09/01/11.............. 1,084,163 110,000 Qwest Corp., 7.20%, 11/10/26.............. 99,000
See notes to portfolios of investments. 96 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) TELECOMMUNICATIONS EQUIPMENT AND SERVICES (CONTINUED) $ 470,000 Qwest Corp. -- 144A, 7.63%, 06/15/15.............. $ 482,338 1,075,000 Qwest Services Corp., 13.50%, 12/15/10............. 1,236,250 580,000 Rogers Wireless, Inc. (Canada), 8.00%, 12/15/12.............. 615,525 1,130,000 Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15.............. 1,223,225 1,065,000 Rogers Wireless, Inc. (Canada), Floating Rate, 7.00%, 12/15/10(b)........... 1,115,588 47,000 SBA Telecommunications, Inc., zero coupon, 12/15/11(g)..... 42,888 450,000 Telemig Celular Participacoes SA/ Amazonia Cel -- 144A (Brazil), 8.75%, 01/20/09.............. 477,000 1,590,000 Ubiquitel Operating Company, 9.88%, 03/01/11.............. 1,772,850 ------------ 34,879,715 ------------ TRANSPORTATION -- 1.7% 1,425,000 Greenbrier Companies, Inc., 8.38%, 05/15/15.............. 1,489,125 765,000 H-Lines Finance Holding -- 144A, zero coupon, 04/01/13(g)..... 638,775 1,620,000 Horizon Lines LLC, 9.00%, 11/01/12.............. 1,743,525 285,000 OMI Corp. (Marshall Islands), 7.63%, 12/01/13.............. 296,400 610,000 Quality Distribution, LLC/Quality QD Capital Corp., Floating Rate, 8.10%, 01/15/12(b)........... 588,650 385,000 TFM, SA de CV (Mexico), 12.50%, 06/15/12............. 448,525 1,535,000 TFM, SA de CV -- 144A (Mexico), 9.38%, 05/01/12.............. 1,665,475 ------------ 6,870,475 ------------ UTILITIES: ELECTRIC -- 2.9% 553,000 AES Corp., 9.38%, 09/15/10.............. 612,448 400,000 AES Corp. -- 144A, 8.75%, 05/15/13.............. 440,000 310,000 AES Corp. -- 144A, 9.00%, 05/15/15.............. 341,775 482,239 AES Eastern Energy, Series 99-A, 9.00%, 01/02/17.............. 562,109
PRINCIPAL VALUE --------- ------------ CORPORATE BONDS AND NOTES (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) $ 235,000 Calpine Corp., 7.63%, 04/15/06.............. $ 207,975 125,000 Calpine Corp., 8.75%, 07/15/07.............. 78,125 1,305,000 Inergy LP/Inergy Finance Corp. -- 144A, 6.88%, 12/15/14.............. 1,252,800 2,750,000 Mission Energy Holding Company, 13.50%, 07/15/08............. 3,251,875 488,000 Nevada Power Company, 9.00%, 08/15/13.............. 544,426 698,000 NRG Energy, Inc., 8.00%, 12/15/13.............. 746,860 2,015,000 Orion Power Holdings, Inc., 12.00%, 05/01/10............. 2,438,150 255,000 Reliant Energy, Inc., 9.25%, 07/15/10.............. 277,950 915,000 Reliant Energy, Inc., 9.50%, 07/15/13.............. 1,015,650 ------------ 11,770,143 ------------ TOTAL CORPORATE BONDS AND NOTES (Cost $358,348,807).......... 362,393,599 ------------ SHARES ------ COMMON STOCKS -- 1.4% FINANCIAL SERVICES -- 0.0% 1,745,000 Trump Atlantic City(m)......... 67,183 ------------ LEISURE AND RECREATION -- 0.5% 1,100 Shreveport Gaming Holdings, Inc.*........................ 19,635 109,444 Trump Entertainment Resorts, Inc.*........................ 1,963,425 ------------ 1,983,060 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.9% 11,585 Crown Castle International Corp.*....................... 285,339 31,250 IWO Holdings, Inc.*............ 1,312,499 34,860 New Skies Satellites Holdings, Ltd. (The Netherlands)....... 733,803 16,540 NTL, Inc. (United Kingdom)*.... 1,104,872 ------------ 3,436,513 ------------ TOTAL COMMON STOCKS (Cost $4,204,803)............ 5,486,756 ------------
See notes to portfolios of investments. 97 HIGH YIELD BOND PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE ------ ------------ CONVERTIBLE PREFERRED STOCKS -- 1.4% OIL AND GAS: PIPELINES -- 0.3% 11,465 Williams Companies, Inc. -- 144A, 5.50%.......... $ 1,331,373 ------------ OIL, COAL AND GAS -- 0.5% 11,700 Chesapeake Energy Corp., 4.50%........................ 1,301,625 2,400 Chesapeake Energy Corp., 5.00%........................ 567,600 ------------ 1,869,225 ------------ TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 0.5% 38,375 Crown Castle International Corp., 6.25%................. 1,985,906 ------------ UTILITIES: ELECTRIC -- 0.1% 245 NRG Energy, Inc. -- 144A, 4.00%........................ 299,145 ------------ TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $3,979,393)............ 5,485,649 ------------ WARRANTS -- 0.2% 1,125 American Tower Corp., Expires 08/01/08*.................... 396,199 1,000 IPCS, Inc. -- 144A, Expires 07/15/10*(m)................. -- 1,000 IWO Holdings, Inc., Expires 01/15/11*(m)................. -- 750 Mueller Holdings, Inc., Expires 04/15/14*.................... 270,188 84 New World Coffee, Expires 06/20/06*(m)................. 1 1,000 ONO Finance PLC, (United Kingdom), Expires 03/16/11*(m)................. -- 250 Ubiquitel, Inc. -- 144A, Expires 04/15/10*(m)......... -- ------------ TOTAL WARRANTS (Cost $75,402)............... 666,388 ------------ PRINCIPAL --------- CONVERTIBLE BONDS -- 0.9% AEROSPACE AND DEFENSE -- 0.4% $ 1,305,000 L-3 Communications Corp. -- 144A, 3.00%, 08/01/35.............. 1,340,887 ------------ BROADCAST SERVICES/MEDIA -- 0.2% 1,000,000 XM Satellite Radio Holdings, Inc., 1.75%, 12/01/09.............. 951,250 ------------
PRINCIPAL VALUE --------- ------------ CONVERTIBLE BONDS (CONTINUED) LEISURE AND RECREATION -- 0.2% $ 645,000 Kerzner International -- 144A (Bahama Islands), 2.38%, 04/15/24.............. $ 708,694 ------------ SEMICONDUCTORS -- 0.1% 440,000 Amkor Technologies, Inc., 5.75%, 06/01/06.............. 420,750 ------------ TOTAL CONVERTIBLE BONDS (Cost $3,355,307)............ 3,421,581 ------------ TOTAL SECURITIES (Cost $369,963,712).......... 377,453,973 ------------ REPURCHASE AGREEMENT -- 4.4% 17,579,725 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $17,584,588 (Collateralized by Small Business Administration, 6.00%, due 08/25/30, with value of $18,458,711) (Cost $17,579,725)................. 17,579,725 ------------ Total Investments -- 98.9% (Cost $387,543,437).......... 395,033,698 Other assets less liabilities -- 1.1%.......... 4,323,793 ------------ NET ASSETS -- 100.0%........... $399,357,491 ============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $387,543,437. The following amounts are based on cost for federal income tax purposes:
Gross unrealized appreciation............... $13,608,706 Gross unrealized depreciation............... (6,118,445) ----------- Net unrealized appreciation................. $ 7,490,261 ===========
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 98 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS -- 98.2% ADVERTISING -- 0.3% 168,509 Publicis Groupe*....... $ 5,362,797 FRA -------------- AEROSPACE AND DEFENSE -- 0.9% 1,565,500 Bae Systems PLC........ 9,484,822 BRI 136,062 European Aeronautic Defense and Space Company*............. 4,824,020 NET -------------- 14,308,842 -------------- AGRICULTURE -- 0.3% 11,951,000 Chaoda Modern Agriculture (Holdings), Ltd. .... 4,544,780 CAY -------------- AIRLINES -- 0.6% 1,710,200 Qantas Airways, Ltd. ................ 4,395,149 AUS 112,300 Ryanair Holdings PLC (ADR)*(d)............ 5,113,019 IRE -------------- 9,508,168 -------------- APPAREL: MANUFACTURING AND RETAIL -- 0.8% 55,899 Adidas-Salomon AG...... 9,713,204 GER 242,300 Benetton Group SpA..... 2,597,578 ITA -------------- 12,310,782 -------------- AUTOMOBILES/MOTOR VEHICLES -- 4.3% 244,600 DaimlerChrysler AG*.... 12,975,947 GER 117,200 Honda Motor Company, Ltd. ................ 6,628,118 JPN 1,122,800 Nissan Motor Company, Ltd. ................ 12,818,436 JPN 817,000 Toyota Motor Corp. .... 37,424,242 JPN -------------- 69,846,743 -------------- AUTOMOTIVE EQUIPMENT -- 1.4% 252,900 Aisin Seiki Company, Ltd. ................ 7,173,520 JPN 127,500 Alpine Electronics, Inc. ................ 2,057,611 JPN 10,200 Georg Fischer AG*...... 3,516,087 SWI 1,128,000 GKN PLC................ 5,864,247 BRI 104,788 Valeo SA(d)............ 4,354,986 FRA -------------- 22,966,451 -------------- BANKS -- 21.2% 589,000 ABN AMRO Holding NV*... 14,108,241 NET 69,300 Allied Irish Banks PLC.................. 1,474,201 IRE 241,200 Allied Irish Banks PLC.................. 5,130,986 IRE 837,447 Banco Bilbao Vizcaya Argentaria SA........ 14,684,626 SPA
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 709,400 Banco Comercial Portugues SA -- Class R*................... $ 1,969,488 POR 403,900 Banco Santander Central Hispano SA........... 5,305,719 SPA 2,361,500 Barclays PLC........... 23,866,675 BRI 312,429 Bayerische Hypo-und Vereinsbank AG (HVB Group)*.............. 8,801,551 GER 222,100 BNP Paribas SA......... 16,883,378 FRA 183,200 Canadian Imperial Bank of Commerce(d)....... 11,441,135 CDA 204,100 Commonwealth Bank of Australia............ 5,978,388 AUS 620,782 Credit Suisse Group*... 27,477,354 SWI 169,200 Danske Bank A/S........ 5,177,437 DEN 19,400 Deutsche Bank AG....... 1,814,443 GER 476,800 Dexia.................. 10,733,078 BEL 250,800 DNB NOR ASA............ 2,583,969 NOR 89,200 ForeningsSparbanken AB*.................. 2,156,910 SWE 105,300 Fortis*................ 3,053,767 BEL 575,000 HBOS PLC............... 8,656,069 BRI 135,700 IKB Deutsche Industriebank AG*(d)............... 4,093,585 GER 132,200 Laurentian Bank of Canada(d)............ 3,526,471 CDA 2,379,700 Lloyds TSB Group PLC... 19,601,460 BRI 1,932 Mitsubishi Tokyo Financial Group, Inc. ................ 25,358,351 JPN 70,200 National Australia Bank, Ltd.*.......... 1,769,316 AUS 214,500 National Bank of Canada............... 11,106,026 CDA 1,472,300 Nordea Bank AB......... 14,715,120 SWE 327,700 SanPaolo IMI SpA(d).... 5,088,493 ITA 504,000 Shinsei Bank, Ltd. .... 3,174,419 JPN 153,700 Societe Generale....... 17,539,577 FRA 761,631 Standard Chartered PLC.................. 16,429,351 BRI 490,100 Suncorp-Metway, Ltd. ................ 7,366,618 AUS 125,000 The Shizuoka Bank, Ltd. ................ 1,287,218 JPN 1,208,000 The Sumitomo Trust and Banking Company, Ltd. ................ 9,938,971 JPN 365,450 UBS AG................. 31,052,875 SWI -------------- 343,345,266 --------------
See notes to portfolios of investments. 99 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) BROADCAST SERVICES/MEDIA -- 3.1% 166,800 Grupo Televisa SA (ADR)................ $ 11,961,228 MEX 798,414 SES Global (FDR)*...... 12,522,439 LUX 883,200 Seven Network, Ltd. ... 5,893,373 AUS 594,337 Vivendi Universal SA... 19,400,494 FRA -------------- 49,777,534 -------------- BUSINESS SERVICES AND SUPPLIES -- 0.6% 2,162,700 Marubeni Corp. ........ 10,059,070 JPN -------------- CHEMICALS -- 1.3% 45,100 Akzo Nobel NV.......... 1,965,959 NET 17,700 Ciba Specialty Chemicals AG......... 1,043,911 SWI 264,800 Methanex Corp.(d)...... 3,922,457 CDA 2,205,600 Mitsubishi Chemical Corp.*............... 7,305,370 JPN 26,100 Norsk Hydro ASA........ 2,920,118 NOR 533,500 Sumitomo Bakelite Company, Ltd. ....... 3,656,298 JPN -------------- 20,814,113 -------------- COMPUTER SOFTWARE AND SERVICES -- 1.2% 184,400 Dassault Systemes SA*.................. 9,529,709 FRA 95,290 Integrated Lottery*.... 1,486,525 GRC 188,417 TomTom NV*............. 8,503,159 NET -------------- 19,519,393 -------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.1% 2,043,000 TPV Technology, Ltd. ................ 1,461,665 HNG -------------- CONSTRUCTION SERVICES AND SUPPLIES -- 2.3% 353,700 Barratt Developments PLC.................. 4,713,233 BRI 159,300 Compagnie de Saint-Gobain......... 9,163,021 FRA 644,700 George Wimpey PLC...... 4,866,882 BRI 903,100 Hanson PLC............. 9,374,144 BRI 43,500 Lafarge SA*............ 3,826,931 FRA 91,000 Maeda Road Construction Company, Ltd. ....... 684,584 JPN 2,189,400 Pilkington PLC......... 5,367,713 BRI -------------- 37,996,508 -------------- CONSUMER GOODS AND SERVICES -- 2.3% 736 Japan Tobacco, Inc. ... 11,605,357 JPN 94,069 LVMH Moet Hennessy Louis Vuitton SA..... 7,755,698 FRA 353,947 Reckitt Benckiser PLC.................. 10,781,518 BRI
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) CONSUMER GOODS AND SERVICES (CONTINUED) 20,591 Swatch Group AG -- Class B.............. $ 2,836,024 SWI 139,934 Swatch Group AG*....... 3,956,266 SWI -------------- 36,934,863 -------------- DISTRIBUTION -- 0.5% 1,164,000 Esprit Holdings, Ltd. ................ 8,702,972 BER -------------- DIVERSIFIED SERVICES -- 1.0% 189,300 BASF AG................ 14,219,388 GER 251,000 Hutchison Whampoa, Ltd.*................ 2,596,602 HNG -------------- 16,815,990 -------------- ELECTRONICS -- 4.5% 733,010 AU Optronics Corp. (ADR)(d)............. 9,499,810 TWN 7,982,936 Chi Mei Optoelectroics Corp. ............... 8,816,339 TWN 119,700 Fanuc, Ltd. ........... 9,679,757 JPN 209,000 Hosiden Corp. ......... 2,190,891 JPN 35,100 Keyence Corp. ......... 8,824,471 JPN 128,700 LG Philips LCD Company, Ltd.*................ 5,315,736 KOR 474,000 Matsushita Electric Industrial Company, Ltd. ................ 8,029,440 JPN 33,400 Murata Manufacturing Company, Ltd. ....... 1,862,421 JPN 596,000 Nippon Electric Glass Company, Ltd. ....... 10,736,609 JPN 8,401 Samsung Electronics Company, Ltd. ....... 4,733,865 KOR 810,100 Toshiba Tec Corp. ..... 3,575,230 JPN -------------- 73,264,569 -------------- ENGINEERING -- 0.4% 93,071 SNC-Lavalin Group, Inc. ................ 6,013,387 CDA -------------- FINANCIAL SERVICES -- 3.7% 497,100 Alliance & Leicester PLC.................. 7,540,351 BRI 800,900 Bradford & Bingley PLC.................. 4,820,591 BRI 226,900 Hitachi Capital Corp. ............... 4,767,059 JPN 155,500 Irish Life & Permanent PLC.................. 2,831,348 IRE 315,800 Japan Securities Finance Company, Ltd. ................ 3,327,139 JPN 261,000 Namco Bandhai Holdings, Inc. ................ 4,345,402 JPN 96,700 Promise Company, Ltd... 7,163,909 JPN
See notes to portfolios of investments. 100 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) FINANCIAL SERVICES (CONTINUED) 225,700 Sampo Oyj -- Class A... $ 3,580,600 FIN 38,300 Sanyo Shinpan Finance Company, Ltd. ....... 3,110,694 JPN 119,100 Sun Life Financial, Inc.(d).............. 4,472,013 CDA 103,500 Takefuji Corp. ........ 8,068,842 JPN 1,522,000 Tokai Tokyo Securities Company, Ltd. ....... 5,698,115 JPN -------------- 59,726,063 -------------- FOOD AND BEVERAGE -- 1.9% 464,700 Asahi Breweries, Ltd. ................ 5,882,434 JPN 31,385 Nestle SA*............. 9,188,455 SWI 1,537,300 Northern Foods PLC..... 4,141,801 BRI 140,085 Royal Numico NV........ 6,130,030 NET 695,700 Tate & Lyle PLC........ 5,573,991 BRI -------------- 30,916,711 -------------- INSURANCE -- 5.2% 73,306 Allianz AG............. 9,897,470 GER 1,052,600 Aviva PLC.............. 11,557,185 BRI 105,800 CNP Assurances......... 7,095,290 FRA 1,939,300 Friends Provident PLC.................. 6,396,405 BRI 422,900 ING Groep NV........... 12,594,741 NET 1,003,300 Milano Assicurazioni SpA.................. 7,090,199 ITA 3,634,200 Old Mutual PLC......... 8,893,878 BRI 358,800 Pohjola Group PLC -- Class D(d)........... 5,756,837 FIN 5,458,900 Royal & Sun Alliance Insurance Group PLC.. 9,339,556 BRI 36,300 Zurich Financial Services AG*......... 6,182,959 SWI -------------- 84,804,520 -------------- LEISURE AND RECREATION -- 1.2% 3,173,192 EMI Group PLC.......... 13,572,425 BRI 304,500 TUI AG(d).............. 6,484,870 GER -------------- 20,057,295 -------------- MACHINERY -- 2.1% 452,000 Komatsui, Ltd. ........ 6,155,673 JPN 148,400 MAN AG................. 7,612,172 GER 187,100 Mori Seiki Company, Ltd. ................ 2,529,937 JPN 15,900 Rieter Holding AG*..... 4,651,906 SWI 82,500 Saurer AG*............. 5,576,262 SWI 162,400 Stork NV............... 8,041,434 NET -------------- 34,567,384 --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) MANUFACTURING -- 0.7% 704,000 Kurabo Industries, Ltd. ................ $ 1,959,690 JPN 725,000 Nippon Paint Company, Ltd. ................ 2,720,666 JPN 85,787 Siemens AG............. 6,608,909 GER -------------- 11,289,265 -------------- MEDICAL EQUIPMENT AND SUPPLIES -- 0.7% 131,130 Essilor International SA CIE Generale D'Optique............ 10,858,543 FRA -------------- METALS AND MINING -- 3.7% 1,257,100 BlueScope Steel, Ltd. ................ 9,164,831 AUS 117,600 Cameco Corp.(d)........ 6,291,600 CDA 143,800 Companhia Vale do Rio Doce (CVRD) (ADR) (Brazil)............. 6,307,068 BRA 331,500 Rautaruukki Oyj........ 7,446,344 FIN 193,286 Rio Tinto PLC.......... 7,902,476 BRI 78,100 Russel Metals, Inc. ... 1,259,006 CDA 82,700 Salzgitter AG.......... 4,093,004 GER 308,300 Sims Group, Ltd.*...... 4,490,593 AUS 396,900 ThyssenKrupp AG(d)..... 8,285,738 GER 194,594 Xstrata PLC............ 5,041,974 BRI -------------- 60,282,634 -------------- OIL, COAL AND GAS -- 12.2% 3,636,500 China Shenhua Energy Company, Ltd. -- Class H*............. 4,265,909 CHN 2,182,200 Cosmo Oil Company, Ltd.(d).............. 11,822,172 JPN 149,600 EnCana Corp. .......... 8,731,492 CDA 1,131,813 Eni SpA................ 33,612,259 ITA 249,900 Fording Canadian Coal Trust................ 10,655,951 CDA 287,100 Husky Energy, Inc. .... 15,946,707 CDA 121,000 OMV AG................. 7,185,392 AST 2,114,000 Osaka Gas Company, Ltd. ................ 7,393,041 JPN 429,624 Petro-Canada........... 17,983,230 CDA 287,000 Repsol YPF SA.......... 9,299,338 SPA 850,132 Royal Dutch Shell PLC -- Class B....... 29,359,483 BRI 173,193 Sasol, Ltd.*........... 6,704,509 SOA 94,210 SK Corp. .............. 5,462,103 KOR 722,700 Snam Rete Gas SpA...... 4,212,598 ITA
See notes to portfolios of investments. 101 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) OIL, COAL AND GAS (CONTINUED) 184,500 Talisman Energy, Inc. ................ $ 9,027,406 CDA 61,400 Total SA -- Class B.... 16,758,524 FRA -------------- 198,420,114 -------------- PAPER AND FOREST PRODUCTS -- 0.5% 129,200 Billerud(d)............ 1,649,543 SWE 660,000 Hokuetsu Paper Mills, Ltd. ................ 3,540,697 JPN 301,800 Norbord, Inc. ......... 3,180,258 CDA -------------- 8,370,498 -------------- PHARMACEUTICALS/RESEARCH AND DEVELOPMENT -- 3.6% 196,769 AstraZeneca PLC........ 9,145,062 BRI 223,400 Eisai Company, Ltd.(d).............. 9,544,486 JPN 173,800 GlaxoSmithKline PLC.... 4,420,429 BRI 138,432 Merck KGaA*............ 11,651,206 GER 85,058 Roche Holding AG....... 11,813,701 SWI 476,000 Tanabe Seiyaku Company, Ltd. ................ 4,809,479 JPN 226,700 Teva Pharmaceutical Industries, Ltd. (ADR)(d)............. 7,576,314 ISR -------------- 58,960,677 -------------- PRINTING AND PUBLISHING -- 0.1% 126,000 Quebecor World, Inc.(d).............. 2,362,839 CDA -------------- REAL ESTATE DEVELOPMENT AND SERVICES -- 0.7% 166,000 Mitsubishi Estate Company, Ltd. ....... 2,278,259 JPN 59,065 Unibail................ 8,575,263 FRA -------------- 10,853,522 -------------- REGISTERED INVESTMENT COMPANIES -- 0.4% 2,394,254 Macquarie Airports..... 5,988,815 AUS -------------- RETAIL -- 1.6% 3,079,480 Carphone Warehouse PLC.................. 10,808,859 BRI 1,912,500 Dixons Group PLC....... 5,076,768 BRI 168,300 Hudson's Bay Company... 1,983,406 CDA 590,900 JJB Sports PLC......... 1,763,973 BRI 1,141,438 Kesa Electricals PLC... 5,138,867 BRI 10,300 Valora Holding AG*..... 1,917,500 SWI -------------- 26,689,373 -------------- RETAIL: SUPERMARKETS -- 0.5% 240,380 Seven & I Holdings Company, Ltd.*....... 7,961,846 JPN --------------
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) RUBBER PRODUCTS -- 0.2% 150,000 Bridgestone Corp. ..... $ 3,210,888 JPN -------------- TELECOMMUNICATIONS EQUIPMENT AND SERVICES -- 6.0% 711,808 Alcatel SA*............ 9,478,790 FRA 4,355,600 BT Group PLC........... 17,074,150 BRI 159,600 Elcoteq Network Corp. -- Class A(d)................. 3,562,009 FIN 1,765,000 MobileOne, Ltd.*....... 2,065,365 SIN 3,500 Nippon Telegraph and Telephone Corp. ..... 17,204,017 JPN 4,963 NTT DoCoMo, Inc. ...... 8,831,272 JPN 193,800 Research In Motion, Ltd.*................ 13,255,920 CDA 20,800 Swisscom AG(d)......... 6,796,493 SWI 96,700 TDC A/S................ 5,201,562 DEN 2,273,000 Telefonaktiebolaget LM Ericsson -- Class B.................... 8,295,674 SWE 2,146,786 Vodafone Group PLC..... 5,585,089 BRI -------------- 97,350,341 -------------- TOOLS -- 0.3% 454,000 Hitachi Koki Company, Ltd. ................ 5,591,015 JPN -------------- TRANSPORTATION -- 1.3% 26,537 Kuehne & Nagel International AG..... 6,559,684 SWI 2,535,000 Neptune Orient Lines, Ltd. ................ 4,614,403 SIN 1,508,100 Orient Overseas International, Ltd. ................ 5,637,866 BER 243,000 Yamato Transport Company, Ltd. ....... 3,994,345 JPN -------------- 20,806,298 -------------- UTILITIES -- 1.6% 70,000 E.ON AG*............... 6,430,018 GER 676,300 Kelda Group PLC........ 8,379,826 BRI 147,300 Suez SA(d)............. 4,257,632 FRA 548,800 United Utilities PLC... 6,340,226 BRI -------------- 25,407,702 -------------- UTILITIES: ELECTRIC -- 2.6% 78,200 Chubu Electric Power Company, Inc.(d)..... 1,908,157 JPN 613,500 Endesa SA.............. 16,420,451 SPA 1,130,300 Energias de Portugal SA................... 3,151,606 POR
See notes to portfolios of investments. 102 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES VALUE COUNTRY ------ -------------- ------- COMMON STOCKS (CONTINUED) UTILITIES: ELECTRIC (CONTINUED) 314,200 Hokkaido Electric Power Company, Inc. ....... $ 6,684,223 JPN 245,100 Shikoku Electric Power Company, Inc.(d)..... 5,311,364 JPN 239,900 Union Fenosa SA........ 7,923,138 SPA -------------- 41,398,939 -------------- UTILITIES: GAS -- 0.3% 954,800 Toho Gas Company, Ltd. ................ 4,171,783 JPN -------------- TOTAL COMMON STOCKS (Cost $1,329,587,193)...... 1,593,600,958 -------------- WARRANTS -- 0.3% 553,800 Citigroup-CW09 Bharti Televen (Cost $4,170,679).... 4,287,520 LUX -------------- RIGHTS -- 0.0% AUTOMOTIVE EQUIPMENT 390,900 TI Automotive, Ltd. -- Class A*(m) (Cost $0).................. -- BRI -------------- PRINCIPAL --------- SECURITIES LENDING COLLATERAL -- 5.7% $91,690,998 Securities Lending Collateral Investment (Note 3) (Cost $91,690,998)... 91,690,998 USA -------------- TOTAL SECURITIES (Cost $1,425,448,870)...... 1,689,579,476 --------------
PRINCIPAL VALUE COUNTRY --------- -------------- ------- REPURCHASE AGREEMENT -- 0.6% $ 9,584,182 With Investors Bank and Trust, dated 09/30/05, 3.32%, due 10/03/05, repurchase proceeds at maturity $9,586,834 (Collateralized by Small Business Administration, 6.20%, due 11/25/28, with a value of $10,063,391) (Cost $9,584,182).... $ 9,584,182 USA -------------- Total Investments -- 104.8% (Cost $1,435,033,052)...... 1,699,163,658 Liabilities less other assets -- (4.8)%..... (78,335,497) -------------- NET ASSETS -- 100.0%... $1,620,828,161 ==============
The aggregate cost of securities for federal income tax purposes at September 30, 2005 is $1,435,033,052. The following amounts are based on cost for federal income tax purposes: Gross unrealized appreciation......... $283,240,648 Gross unrealized depreciation......... (19,110,042) ------------ Net unrealized appreciation........... $264,130,606 ============
See summary of footnotes and abbreviations to portfolios. See notes to portfolios of investments. 103 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PERCENT OF TOTAL COUNTRY INVESTMENTS AT VALUE ------- -------------------- Australia (AUS)............................................. 2.65% Austria (AST)............................................... 0.42 Belgium (BEL)............................................... 0.81 Bermuda (BER)............................................... 0.93 Brazil (BRA)................................................ 0.37 Canada (CDA)................................................ 7.72 Cayman Islands (CAY)........................................ 0.27 China (CHN)................................................. 0.25 Denmark (DEN)............................................... 0.61 Finland (FIN)............................................... 1.20 France (FRA)................................................ 8.88 Germany (GER)............................................... 6.63 Greece (GRC)................................................ 0.09 Hong Kong (HNG)............................................. 0.15 Ireland (IRE)............................................... 0.86 Israel (ISR)................................................ 0.45 Italy (ITA)................................................. 3.10 Japan (JPN)................................................. 20.25 Luxembourg (LUX)............................................ 0.99 Mexico (MEX)................................................ 0.70 Norway (NOR)................................................ 0.32 Portugal (POR).............................................. 0.30 Singapore (SIN)............................................. 0.39 South Africa (SOA).......................................... 0.39 South Korea (KOR)........................................... 0.91 Spain (SPA)................................................. 3.16 Sweden (SWE)................................................ 1.58 Switzerland (SWI)........................................... 7.21 Taiwan (TWN)................................................ 1.08 The Netherlands (NET)....................................... 3.31 United Kingdom (BRI)........................................ 18.06 United States (USA)......................................... 5.96 ------ TOTAL PERCENTAGE............................................ 100.00% ======
See notes to portfolios of investments. 104 DIVERSIFIED INVESTORS PORTFOLIOS PORTFOLIOS OF INVESTMENTS SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS SEPTEMBER 30, 2005 (UNAUDITED)
FOOTNOTES: ---------- * Non-income producing security. 144A Security is exempt from registration under Rule 144A of the Securities Act of 1933. It may be resold in a transaction exempt from registration, normally to qualified institutional buyers. (a) Variable rate security. The rate shown was in effect at September 30, 2005. (b) Quarterly reset provision. The rate shown was in effect at September 30, 2005. (c) Monthly reset provision. The rate shown was in effect at September 30, 2005. (d) All or part of this security is on loan. (e) Security is segregated as collateral for written options and/or short sales. (f) Security is segregated as initial margin for futures contracts. (g) Represents a zero coupon bond which will convert to an interest bearing security at a later date. (h) Bond is in default. (i) Variable rate security. Interest rate is based on the credit rating of the issuer. The rate shown was in effect at September 30, 2005. (j) Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate ("LIBOR"). The rate shown was in effect at September 30, 2005. (k) PIK ("Payment-In-Kind") bond. These bonds pay interest in the form of additional bonds. (l) Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. (m) Fair valued at September 30, 2005. (n) Principal amount shown for this debt security is denominated in Australian Dollars. (o) Principal amount shown for this debt security is denominated in Canadian Dollars. (p) Principal amount shown for this debt security is denominated in Euros. (q) Principal amount shown for this debt security is denominated in Japanese Yen. (r) Principal amount shown for this debt security is denominated in Mexican Pesos. (s) Principal amount shown for this debt security is denominated in New Zealand Dollars. (t) Principal amount shown for this debt security is denominated in Swedish Krona.
ABBREVIATIONS: -------------- ADR American Depository Receipt. FDR Foreign Depository Receipt. GDR Global Depository Receipt. TBA To be assigned. Securities are purchased on a forward commitment basis with approximate principal amount (generally +/- 1.0%) and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned.
--------------- - Securities issued by companies registered outside the United States are denoted with their domestic country in parenthesis. - Footnotes and abbreviations may or may not appear in each portfolio of investments. See notes to portfolios of investments. 105 (This page intentionally left blank) 106 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (UNAUDITED) 1. ORGANIZATION AND BUSINESS Diversified Investors Portfolios (the "Series Portfolio"), a Series trust organized on September 1, 1993, under the laws of the State of New York, is composed of eighteen different series that are, in effect, separate investment funds: the Money Market Portfolio, the High Quality Bond Portfolio, the Intermediate Government Bond Portfolio, the Core Bond Portfolio, the Total Return Bond Portfolio, the Balanced Portfolio, the Value & Income Portfolio, the Value Portfolio, the Growth & Income Portfolio, the Equity Growth Portfolio, the Mid-Cap Value Portfolio, the Mid-Cap Growth Portfolio, the Small-Cap Value Portfolio, the Special Equity Portfolio, the Small-Cap Growth Portfolio, the Aggressive Equity Portfolio, the High Yield Bond Portfolio, and the International Equity Portfolio (each a "Series"). The Declaration of Trust permits the Board of Trustees to issue an unlimited number of beneficial interests in each Series. Investors in a Series (e.g., investment companies, insurance company separate accounts and common and commingled trust funds) will each be liable for all obligations of that Series (and of no other Series). 2. SIGNIFICANT ACCOUNTING POLICIES A. SECURITY VALUATION: Short-term securities having remaining maturities of 60 days or less are valued at amortized cost, which approximates value. The amortized cost of a security is determined by valuing it at original cost and thereafter amortizing any discount or premium at a constant rate until maturity. Equity securities are valued at the last sale price on the exchange on which they are primarily traded or at the bid price on the Nasdaq system for unlisted national market issues, or at the last quoted bid price for securities not reported on the Nasdaq system. Bonds are valued at the mean of the last available bid and asked prices by an independent pricing service. Futures and option contracts that are traded on commodities or securities exchanges are normally valued at the last settlement price on the exchange on which they are traded. When valuations are not readily available, securities will be valued at their fair value as determine by the Board of Trustees. Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. Events or circumstances affecting the values of portfolio securities that occur between the closing of their principal markets and the time the net asset value is determined may be reflected in the calculation of net asset value when the investment advisor deems that the particular event or circumstance would materially affect its asset value. In accordance with procedures adopted by the Board of Trustees, the International Equity Series applies fair value pricing on a daily basis for all non-US and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Series' investment advisor determines that use of another valuation methodology is appropriate. B. REPURCHASE AGREEMENTS: Each Series, along with other affiliated entities of the investment advisor, may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Series' investment advisor, subject to the seller's agreement to repurchase and the Series' agreement to resell such securities at a mutually agreed upon price. Securities purchased subject to repurchase agreements are segregated at the custodian and, pursuant to the terms of the repurchase agreements, must have an aggregate market value greater than or equal to 102% for domestic securities and 105% for international securities of the repurchase price at all times. If the value of the underlying securities falls below the value of the repurchase price, the Series will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met or the seller defaults on its repurchase obligation, the Series maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller. However, in the event of default or bankruptcy by the seller, realization and/or retention of the collateral may be subject to legal proceedings. 107 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) C. FOREIGN CURRENCY TRANSLATION: The accounting records of each Series are maintained in US dollars. The market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated to US dollars based on the prevailing exchange rates each business day. Income, expenses, purchases, and sales of investment securities denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred. Each Series does not isolate realized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gains or losses on securities. Net realized gains and losses on foreign currency transactions represent net foreign exchange gains and losses on disposition of foreign currencies and foreign currency forward contracts, and the difference between the amount of investment income receivable and foreign withholding taxes payable recorded on each Series' books and the US dollar equivalent of amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities (other than investments in securities) and foreign currency forward contracts, resulting from changes in the prevailing exchange rates. D. FOREIGN CURRENCY FORWARD CONTRACTS: Each Series, with the exception of the Money Market Series, may enter into foreign currency forward contracts and forward cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with some or all of the Series' portfolio. A foreign currency forward contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a foreign currency forward contract fluctuates with changes in forward currency exchange rates. Foreign currency forward contracts are marked to market daily and the change in value is recorded by the Series as an unrealized foreign exchange gain or loss. When a foreign currency forward contract is extinguished, through delivery or by entering into another offsetting foreign currency forward contract, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. In addition, the Series could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar. As of September 30, 2005, the Core Bond Series, Total Return Bond Series, Balanced Series, High Yield Bond Series and International Equity Series had outstanding foreign currency forward contracts as listed in Note 4. E. WRITTEN AND PURCHASED OPTIONS: Each Series, with the exception the Money Market Series, may write or purchase options for the purpose of either hedging its exposure to the market fluctuations of the portfolio, or an individual security position. When a Series writes an option, an amount equal to the premium received by the Series is recorded as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When an option is purchased, the Series will pay a premium. Premiums paid for options are included as investments and are adjusted to their current market value daily. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Series realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. Premiums paid for purchased options that expire unexercised will be treated as short-term capital losses. If an option which a Series has purchased expires on its stipulated expiration date, it realizes a loss in the amount of 108 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) the cost of the option. If it enters into a closing transaction, it realizes a gain or loss, depending on whether the proceeds from the sale are greater or less than the cost of the option. If a Series exercises a put option, it realizes a gain or loss from the sale of the underlying security and proceeds from such a sale will be decreased by the premium originally paid. If a Series exercises a call option, the cost of the security which it purchases upon exercise will be increased by the premium originally paid. Transactions in options written for the period ended September 30, 2005 were as follows:
CORE BOND TOTAL RETURN BOND BALANCED ----------------------- -------------------- --------------------- NUMBER OF NUMBER OF NUMBER OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS CONTRACTS PREMIUMS ----------- --------- --------- -------- ---------- -------- Written call options outstanding at December 31, 2004......................... -- $ -- -- $ -- -- $ -- Call options written........... 508 258,747 65 22,035 224 82,542 Call options terminated in closing purchase transactions................. (508) (258,747) (65) (22,035) (224) (82,542) Call options expired........... -- -- -- -- -- -- ----------- --------- --- -------- ---------- -------- Written call options outstanding at September 30, 2005......................... -- $ -- -- $ -- -- $ -- =========== ========= === ======== ========== ======== Written put options outstanding at December 31, 2004......... -- $ -- -- $ -- -- $ -- Put options written............ 65,900,621 626,390 79 32,870 5,650,250 128,224 Put options terminated in closing purchase transactions................. (65,900,621) (626,390) (48) (13,931) (5,650,175) (82,146) Put options expired............ -- -- -- -- -- -- ----------- --------- --- -------- ---------- -------- Written put options outstanding at September 30, 2005........ -- $ -- 31 $ 18,939 75 $ 46,078 =========== ========= === ======== ========== ========
F. FUTURES CONTRACTS: Each Series, with the exception of the Money Market Series, may invest in futures contracts solely for the purpose of hedging its existing portfolio securities, or securities that the Series intends to purchase, against fluctuations in market value caused by changes in prevailing market or interest rates. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market" on a daily basis to reflect the daily market value of the contract. Variation margin payments are received or made by each Series each day, depending upon the daily fluctuations in the fair value of the underlying instrument. Each Series recognizes an unrealized gain or loss equal to the daily variation margin. When the contract is closed, the Series records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the basis in the contract. Should market conditions move unexpectedly, the Series may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. 109 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Open futures contracts as of September 30, 2005:
VALUE AS OF UNREALIZED NUMBER OF EXPIRATION SEPTEMBER 30, APPRECIATION SERIES CONTRACTS DESCRIPTION DATE 2005 (DEPRECIATION) ------ --------- -------------------------------- ------------- ------------- -------------- Core Bond............ 85 Long US Treasury Notes 10 Year Future December 2005 $ 9,343,359 $ (32,064) 166 Long US Long Bond Future December 2005 18,991,438 (57,428) 413 Short Euro-Bobl Future December 2005 47,082,000 475,555 789 Short US Treasury Notes 5 Year Future December 2005 84,312,047 971,383 ---------- $1,357,446 ========== Total Return Bond.... 10 Long 90 Day Euro Future December 2005 $ 2,390,375 $ (10,725) 10 Long 90 Day Euro Future March 2006 2,386,250 (3,900) 2 Short US Treasury Notes 2 Year Future December 2005 411,781 1,021 61 Short US Treasury Notes 5 Year Future December 2005 6,518,422 67,359 57 Short US Treasury Notes 10 Year Future December 2005 6,265,547 84,309 ---------- $ 138,064 ========== Balanced............. 27 Long 90 Day Euro Future December 2005 $ 6,454,013 $ (28,973) 34 Long 90 Day Euro Future March 2006 8,113,250 (12,708) 24 Long S&P 500 Future December 2005 1,481,100 19,365 6 Short US Treasury Notes 2 Year Future December 2005 1,235,344 3,064 134 Short US Treasury Notes 5 Year Future December 2005 14,319,156 152,565 146 Short US Treasury Notes 10 Year Future December 2005 16,048,594 216,301 ---------- $ 349,614 ========== Growth & Income...... 28 Long S&P 500 Future December 2005 $ 1,727,950 $ (10,209) ========== Special Equity....... 13 Long Russell 2000 Future December 2005 $41,368,650 $ 20,335 ==========
The Core Bond Series and the Special Equity Series have segregated securities as collateral for their respective open futures contracts. The segregated securities are identified within each Series' portfolio of investments. The Total Return Bond Series has segregated $150,000 of cash, the Balanced Series has segregated $300,000 of cash and the Growth & Income Series has segregated $560,000 of cash as collateral for their respective open futures contracts. G. SHORT SALES: Each Series, with the exception of the Money Market Series, may sell securities short. A short sale is a transaction in which the Series sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Series is obligated to replace the borrowed securities at the market price at the time of replacement. The Series' obligation to replace the securities borrowed in connection with a short sale will be fully secured by collateral deposited with the custodian. In addition, the Series will consider the short sale to be a borrowing by the Series that is subject to the asset coverage requirements of the Investment Company Act of 1940, as amended. Short sales by the Series involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases can not exceed the total amount invested. During the period ended September 30, 2005, the Core Bond Series and the Balanced Series had short sales. 110 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) H. DOLLAR ROLLS: Each Series, with the exception of the Money Market Series, may enter into dollar rolls (principally using TBA's) in which the Series sells mortgage securities for delivery in the current month and simultaneously contracts to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Series accounts for such dollar rolls as purchases and sales and receives compensation as consideration for entering into the commitment to repurchase. The Series must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Series is required to purchase may decline below the agreed upon repurchase price of those securities. 3. SECURITIES LENDING Each Series may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least 102% of the market value of the securities on loan. Any deficiencies or excess of collateral must be delivered or transferred by the member firms no later than the close of business on the next business day. As with other extensions of credit, the Series may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. Each Series receives compensation, net of related expenses, for lending its securities. The reported compensation includes interest income on short term investments purchased with cash collateral received. At September 30, 2005, each Series loaned securities having market values as follows:
CASH COLLATERAL SERIES MARKET VALUE RECEIVED ------ ------------ --------------- High Quality Bond........................................... $ 35,297,881 $ 36,081,000 Intermediate Government Bond................................ 56,405,915 57,763,624 Core Bond................................................... 306,751,661 314,777,979 Balanced.................................................... 25,146,225 25,985,591 Value & Income.............................................. 280,682,515 296,093,239 Growth & Income............................................. 109,658,021 113,406,276 Equity Growth............................................... 199,795,738 206,070,291 Mid-Cap Value............................................... 88,280,021 91,320,926 Mid-Cap Growth.............................................. 57,487,800 59,540,474 Small-Cap Value............................................. 41,734,227 42,928,997 Special Equity.............................................. 237,067,600 245,463,448 Small-Cap Growth............................................ 31,590,953 33,136,957 Aggressive Equity........................................... 58,410,233 60,319,890 International Equity........................................ 86,829,173 91,690,998
111 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 3. SECURITIES LENDING (CONTINUED) Each Series has invested the cash collateral received from securities loaned in the following short-term securities:
HIGH INTERMEDIATE QUALITY GOVERNMENT VALUE & GROWTH & BOND BOND CORE BOND BALANCED INCOME INCOME ----------- ------------ ------------ ----------- ------------ ------------ Abbey National PLC, Time Deposit, 3.77%, 10/26/05................................. $ 1,049,798 $ 1,680,667 $ 9,158,651 $ 756,066 $ 8,615,007 $ 3,299,623 American Beacon Money Market Fund......... 629,879 1,008,400 5,495,191 453,640 5,169,005 1,979,774 Bank of America Corp., Floating Rate Note, 3.81%(1), 06/07/06....................... 1,465,152 2,345,625 12,782,288 1,055,205 12,023,551 4,605,124 Bank of America Corp., Floating Rate Note, 3.81%(1), 08/10/06....................... 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,623 Bank Of Montreal, Time Deposit, 3.79%, 11/01/05................................. 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,623 Bank Of Nova Scotia, Time Deposit, 3.66%, 10/11/05................................. 524,899 840,333 4,579,325 378,033 4,307,504 1,649,811 Bank Of Nova Scotia, Time Deposit, 3.75%, 11/01/05................................. 1,574,697 2,521,000 13,737,976 1,134,099 12,922,511 4,949,434 Barclays PLC, Time Deposit, 3.62%, 10/03/05................................. 629,879 1,008,400 5,495,191 453,640 5,169,004 1,979,774 Barclays PLC, Time Deposit, 3.70%, 10/14/05................................. 419,919 672,267 3,663,460 302,427 3,446,003 1,319,849 Barclays PLC, Floating Rate CD, 3.70%(1), 01/17/06................................. 209,960 336,133 1,831,730 151,213 1,723,002 659,925 Barclays Global Investors Money Market Fund -- Institutional Shares............. 1,574,697 2,521,000 13,737,976 1,134,099 12,922,511 4,949,434 BNP Paribas, Time Deposit, 3.75%, 10/28/05................................. 839,838 1,344,533 7,326,921 604,853 6,892,006 2,639,698 Canadian Imperial Bank of Commerce, Floating Rate CD, 3.98%(1), 11/04/05..... 568,517 910,164 4,959,862 409,447 4,665,452 1,786,908 Citigroup, Inc., Time Deposit, 3.63%, 10/31/05................................. 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 Credit Suisse First Boston Corp., Floating Rate Note, 4.02%(1), 03/10/06............ 104,980 168,067 915,865 75,607 861,501 329,962 Deutsche Bank, Time Deposit, 3.75%, 10/17/05................................. 524,899 840,333 4,579,325 378,033 4,307,504 1,649,811 Federal Home Loan Bank, U.S. Government Agency Discount Note, 3.66%(2), 10/14/05................................. 702,455 1,124,590 6,128,359 505,909 5,764,589 2,207,887 Fortis Bank, Time Deposit, 3.77%, 10/05/05................................. 839,838 1,344,533 7,326,921 604,853 6,892,006 2,639,698 Fortis Bank, Time Deposit, 3.81%, 10/07/05................................. 419,919 672,267 3,663,460 302,427 3,446,003 1,319,849 Fortis Bank, Time Deposit, 3.72%, 10/18/05................................. 629,879 1,008,400 5,495,191 453,640 5,169,004 1,979,774 Freddie Mac, US Government Agency Discount Note, 3.67%(2), 10/18/05................. 822,571 1,316,889 7,176,278 592,417 6,750,305 2,585,425 Goldman Sachs Financial Square Prime Obligations Fund -- Institutional Shares................................... 188,908 302,431 1,648,073 136,052 1,550,246 593,758 Goldman Sachs Group, Inc., Promissory Note, 3.94%(1), 10/27/05................. 944,818 1,512,600 8,242,786 680,459 7,753,507 2,969,660 Goldman Sachs Group, Inc., Promissory Note, 3.94%(1), 12/28/05................. 503,903 806,720 4,396,152 362,912 4,135,204 1,583,819 HBOS Halifax Bank of Scotland, Time Deposit, 3.75%, 11/01/05................. 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 Lloyds TSB Bank, Time Deposit, 3.76%, 10/28/05................................. 209,960 336,133 1,831,730 151,213 1,723,002 659,925 Merrill Lynch & Company, Inc., Repurchase Agreement, dated 09/30/05, 3.93%, due 10/03/05(a)(b)(c)........................ 2,015,395 3,226,533 17,582,717 1,451,491 16,539,033 6,334,593 Merrimac Cash Fund -- Premium Class....... 188,964 302,520 1,648,557 136,092 1,550,701 593,932 Rabobank Nederland, Floating Rate CD, 3.94%(1), 05/31/06....................... 524,899 840,333 4,579,325 378,033 4,307,504 1,649,811 Royal Bank of Canada, Time Deposit, 3.78%, 10/06/05................................. 743,959 1,191,036 6,490,448 535,800 6,105,185 2,338,339 Royal Bank of Canada, Time Deposit, 3.87%, 12/19/05................................. 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 Royal Bank of Scotland, Time Deposit, 3.75%, 10/31/05.......................... 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 Skandinaviska Enskilda Banken AB (SEB), Time Deposit, 3.77%, 10/26/05............ 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 Societe Generale, Time Deposit, 3.78%, 10/03/05................................. 524,899 840,333 4,579,325 378,033 4,307,504 1,649,811 Societe Generale, Time Deposit, 3.80%, 10/04/05................................. 1,574,697 2,521,000 13,737,976 1,134,099 12,922,511 4,949,434 Svenska Handlesbanken, Time Deposit, 3.88%, 10/03/05.......................... 1,061,529 1,699,448 9,260,997 764,515 8,711,278 3,336,495 The Bank of the West, Time Deposit, 3.76%, 10/28/05................................. 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 The Bear Stearns Companies, Inc., Master Note, 4.07%(1), 12/06/05................. 419,919 672,267 3,663,460 302,426 3,446,003 1,319,849 The Bear Stearns Companies, Inc., Master Note, 4.07%(1), 03/07/06................. 209,960 336,133 1,831,730 151,213 1,723,002 659,925 Toronto Dominion Bank, Time Deposit, 3.68%, 10/04/05.......................... 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 UBS AG, Time Deposit, 3.75%, 10/31/05..... 1,259,758 2,016,800 10,990,381 907,279 10,338,009 3,959,547 Wachovia Bank NA, Time Deposit, 3.76%, 10/25/05................................. 839,838 1,344,533 7,326,921 604,853 6,892,006 2,639,698 Wells Fargo Bank, Time Deposit, 3.75%, 10/07/05................................. 1,049,798 1,680,667 9,158,651 756,066 8,615,007 3,299,622 Wells Fargo Bank, Time Deposit, 3.77%, 10/19/05................................. 839,838 1,344,533 7,326,921 604,853 6,892,006 2,639,698 ----------- ----------- ------------ ----------- ------------ ------------ $36,081,000 $57,763,624 $314,777,979 $25,985,591 $296,093,239 $113,406,276 =========== =========== ============ =========== ============ ============ Information pertaining to the investment of the cash collateral is shown on each Series' Portfolio of Investments. (1) Variable rate security. The rate shown was in effect at September 30, 2005. (2) Represents yield to maturity at time of purchase. (a) Repurchase proceeds at maturity....... $ 2,016,055 $ 3,227,590 $ 17,588,475 $ 1,451,966 $ 16,544,450 $ 6,336,668 =========== =========== ============ =========== ============ ============ (b) Collateralized by various Federal Home Loan Banks, 3.00% -- 6.75%, due 01/30/07 -- 11/15/24, with a total value of............................... $ 2,055,068 $ 3,290,048 $ 17,928,837 $ 1,480,064 $ 16,864,608 $ 6,459,291 =========== =========== ============ =========== ============ ============ (c) Collateralized by various Freddie Macs, zero coupon, due 3/15/15 -- 07/15/32, with a total value of..................................... $ 637 $ 1,020 $ 5,561 $ 459 $ 5,231 $ 2,003 =========== =========== ============ =========== ============ ============
112
EQUITY MID-CAP MID-CAP SMALL-CAP SPECIAL SMALL-CAP AGGRESSIVE INTERNATIONAL GROWTH VALUE GROWTH VALUE EQUITY GROWTH EQUITY EQUITY ------------ ----------- ----------- ----------- ------------ ----------- ----------- ------------- $ 5,995,737 $ 2,657,036 $ 1,732,365 $ 1,249,044 $ 7,141,904 $ 964,139 $ 1,755,043 $ 2,667,804 3,597,442 1,594,222 1,039,419 749,427 4,285,142 578,484 1,053,026 1,600,682 8,367,961 3,708,298 2,417,779 1,743,231 9,967,611 1,345,603 2,449,429 3,723,325 5,995,737 2,657,036 1,732,365 1,249,044 7,141,904 964,139 1,755,043 2,667,804 5,995,737 2,657,036 1,732,365 1,249,044 7,141,904 964,139 1,755,043 2,667,804 2,997,868 1,328,518 866,183 624,522 3,570,952 482,070 877,521 1,333,902 8,993,605 3,985,554 2,598,548 1,873,567 10,712,856 1,446,209 2,632,564 4,001,705 3,597,442 1,594,222 1,039,419 749,427 4,285,142 578,484 1,053,026 1,600,682 2,398,295 1,062,814 692,946 499,618 2,856,761 385,656 702,017 1,067,121 1,199,147 531,407 346,473 249,809 1,428,381 192,828 351,008 533,561 8,993,605 3,985,554 2,598,548 1,873,567 10,712,856 1,446,209 2,632,564 4,001,705 4,796,589 2,125,629 1,385,892 999,236 5,713,523 771,312 1,404,034 2,134,243 3,246,987 1,438,916 938,161 676,419 3,867,693 522,129 950,442 1,444,747 5,995,737 2,657,036 1,732,365 1,249,044 7,141,904 964,139 1,755,043 2,667,804 599,574 265,704 173,237 124,904 714,190 96,414 175,504 266,780 2,997,868 1,328,518 866,183 624,522 3,570,952 482,070 877,521 1,333,902 4,011,947 1,777,912 1,159,183 835,777 4,778,886 645,138 1,174,358 1,785,116 4,796,589 2,125,629 1,385,892 999,236 5,713,523 771,312 1,404,034 2,134,243 2,398,295 1,062,815 692,946 499,618 2,856,761 385,656 702,017 1,067,121 3,597,442 1,594,222 1,039,419 749,427 4,285,142 578,484 1,053,026 1,600,682 4,697,970 2,081,926 1,357,398 978,691 5,596,052 755,453 1,375,167 2,090,362 1,078,915 478,126 311,734 224,762 1,285,165 173,494 315,815 480,063 5,396,163 2,391,333 1,559,129 1,124,140 6,427,713 867,725 1,579,538 2,401,023 2,877,953 1,275,377 831,536 599,541 3,428,114 462,787 842,420 1,280,546 5,995,737 2,657,036 1,732,365 1,249,045 7,141,904 964,139 1,755,043 2,667,804 1,199,147 531,407 346,473 249,809 1,428,381 192,828 351,009 533,561 11,510,575 5,100,960 3,325,783 2,397,907 13,710,979 1,850,948 3,369,319 5,121,631 1,079,232 478,267 311,826 224,828 1,285,542 173,545 315,908 480,205 2,997,868 1,328,518 866,183 624,522 3,570,952 482,070 877,521 1,333,902 4,248,990 1,882,958 1,227,673 885,159 5,061,242 683,255 1,243,744 1,890,589 5,995,737 2,657,036 1,732,365 1,249,044 7,141,904 964,139 1,755,043 2,667,804 5,995,737 2,657,036 1,732,365 1,249,044 7,141,904 964,139 1,755,043 2,667,804 5,995,737 2,657,036 1,732,365 1,249,044 7,141,904 964,139 1,755,043 2,667,804 2,997,868 1,328,518 866,183 624,522 3,570,952 482,070 877,521 1,333,902 8,993,605 3,985,554 2,598,548 1,873,567 10,712,856 1,446,209 2,632,564 4,001,705 6,062,738 2,686,728 1,751,724 1,263,002 7,221,713 974,913 1,774,655 2,697,616 5,995,737 2,657,036 1,732,365 1,249,045 7,141,904 964,139 1,755,043 2,667,804 2,398,295 1,062,815 692,946 499,618 2,856,761 385,656 702,017 1,067,121 1,199,147 531,407 346,473 249,809 1,428,381 192,828 351,009 533,561 5,995,737 2,657,036 1,732,365 1,249,045 7,141,904 964,139 1,755,043 2,667,804 7,194,884 3,188,444 2,078,838 1,498,853 8,570,284 1,156,967 2,106,051 3,201,364 4,796,589 2,125,629 1,385,892 999,236 5,713,523 771,311 1,404,034 2,134,243 5,995,737 2,657,036 1,732,365 1,249,045 7,141,904 964,139 1,755,043 2,667,804 4,796,589 2,125,629 1,385,892 999,236 5,713,523 771,311 1,404,034 2,134,243 ------------ ----------- ----------- ----------- ------------ ----------- ----------- ----------- $206,070,291 $91,320,926 $59,540,474 $42,928,997 $245,463,448 $33,136,957 $60,319,890 $91,690,998 ============ =========== =========== =========== ============ =========== =========== =========== $ 11,514,345 $ 5,102,631 $ 3,326,872 $ 2,398,692 $ 13,715,469 $ 1,851,554 $ 3,370,422 $ 5,123,308 ============ =========== =========== =========== ============ =========== =========== =========== 11,737,163 $ $ 5,201,374 $ 3,391,252 $ 2,445,110 $ 13,980,882 $ 1,887,384 $ 3,435,645 $ 5,222,451 ============ =========== =========== =========== ============ =========== =========== =========== 3,640 $ $ 1,613 $ 1,052 $ 758 $ 4,336 $ 585 $ 1,066 $ 1,620 ============ =========== =========== =========== ============ =========== =========== ===========
113 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 4. FOREIGN CURRENCY FORWARD CONTRACTS At September 30, 2005, the Core Bond Series, Total Return Bond Series, Balanced Series, High Yield Bond Series and International Equity Series had entered into foreign currency forward contracts which contractually obligate each Series to deliver/receive currency at specified future dates. The open contracts were as follows:
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AS OF APPRECIATION/ CURRENCY FOR DATE SEPTEMBER 30, 2005 (DEPRECIATION) ----------- ----------- ---------- ------------------ -------------- CORE BOND PURCHASE CONTRACTS: Euro.......................... 1,612,634 $ 1,983,967 10/20/05 $ 1,945,754 $(38,213) New Mexico Peso............... 3,459,245 320,657 10/26/05 319,657 (1,000) New Mexico Peso............... 24,386,083 2,235,430 10/26/05 2,253,438 18,008 New Mexico Peso............... 4,576,469 425,105 10/26/05 422,896 (2,209) New Zealand Dollar............ 60,807 42,031 10/27/05 42,079 48 New Zealand Dollar............ 177,027 124,973 10/27/05 122,504 (2,469) New Zealand Dollar............ 5,270,810 3,545,674 10/27/05 3,647,427 101,753 -------- TOTAL......................... $ 75,918 ======== SALE CONTRACTS: Euro.......................... 13,050,213 $15,811,469 10/20/05 $15,745,979 $ 65,490 New Mexico Peso............... 110,038,606 10,200,093 10/26/05 10,168,306 31,787 New Zealand Dollar............ 16,867,397 11,520,432 10/27/05 11,672,324 (151,892) -------- TOTAL......................... $(54,615) ======== TOTAL RETURN BOND PURCHASE CONTRACTS: Canadian Dollar............... 153,287 $ 125,955 11/08/05 $ 132,207 $ 6,252 Euro.......................... 793,908 980,000 11/08/05 958,789 (21,211) Euro.......................... 770,000 943,327 11/08/05 929,916 (13,411) -------- TOTAL......................... $(28,370) ======== SALE CONTRACTS: Australian Dollar............. 323,539 $ 243,949 11/08/05 $ 246,658 $ (2,709) Canadian Dollar............... 320,464 263,539 11/08/05 276,394 (12,855) Euro.......................... 1,564,933 1,892,004 11/08/05 1,889,943 2,061 -------- TOTAL......................... $(13,503) ======== BALANCED PURCHASE CONTRACTS: Euro.......................... 4,565,000 $ 5,592,582 11/08/05 $ 5,495,726 $(96,856) ======== SALE CONTRACTS: Australian Dollar............. 940,286 $ 708,975 11/08/05 $ 715,864 $ (6,889) Canadian Dollar............... 910,497 748,764 11/08/05 783,996 (35,232) Euro.......................... 4,567,485 5,522,957 11/08/05 5,498,717 24,240 -------- TOTAL......................... $(17,881) ======== HIGH YIELD BOND SALE CONTRACTS: Euro.......................... 479,181 $ 576,330 10/31/05 $ 576,646 $ (316) ========
114 DIVERSIFIED INVESTORS PORTFOLIOS NOTES TO PORTFOLIOS OF INVESTMENTS (CONTINUED) (UNAUDITED) 4. FOREIGN CURRENCY FORWARD CONTRACTS (CONTINUED)
NET UNREALIZED FOREIGN IN EXCHANGE SETTLEMENT VALUE AS OF APPRECIATION/ CURRENCY FOR DATE SEPTEMBER 30, 2005 (DEPRECIATION) ----------- ----------- ---------- ------------------ -------------- INTERNATIONAL EQUITY PURCHASE CONTRACTS: Great British Pound........... 315,382 $ 556,902 10/03/05 $ 556,271 $ (631) Hong Kong Dollar.............. 9,135,342 1,177,402 10/03/05 1,177,637 235 Hong Kong Dollar.............. 4,090,879 527,365 10/04/05 527,355 (10) Japanese Yen.................. 91,111,765 804,497 10/03/05 802,605 (1,892) Japanese Yen.................. 99,621,557 879,412 10/03/05 877,568 (1,844) Japanese Yen.................. 122,088,521 1,079,684 10/04/05 1,075,481 (4,203) Japanese Yen.................. 32,698,047 288,678 10/05/05 288,068 (610) South African Rand............ 2,802,896 439,670 10/03/05 440,534 864 South African Rand............ 4,849,753 751,317 10/04/05 762,240 10,923 -------- TOTAL......................... $ 2,832 ======== SALE CONTRACTS: Australian Dollar............. 234,907 $ 178,764 10/06/05 $ 179,132 $ (368) Canadian Dollar............... 730,217 627,711 10/03/05 628,143 (432) Canadian Dollar............... 11,308 9,645 10/03/05 9,728 (83) Euro.......................... 856,294 1,030,687 10/04/05 1,029,137 1,550 Euro.......................... 404,794 486,788 10/05/05 486,525 263 Euro.......................... 112,829 124,056 12/29/05 136,208 (12,152) Great British Pound........... 204,935 360,996 10/04/05 361,465 (469) Swiss Franc................... 4,133,093 3,195,105 10/03/05 3,192,687 2,418 -------- TOTAL......................... $ (9,273) ========
115 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS -- 99.16% ADVERTISING -- 0.18% 88,605 Interpublic Group of Companies Inc.(1).......... $ 1,031,362 38,295 Omnicom Group Inc. .......... 3,202,611 -------------- 4,233,973 -------------- AEROSPACE & DEFENSE -- 1.92% 172,778 Boeing Co. (The)............. 11,740,265 42,299 General Dynamics Corp.(2).... 5,056,845 25,488 Goodrich (B.F.) Co. ......... 1,130,138 24,933 L-3 Communications Holdings Inc.(2).................... 1,971,452 77,031 Lockheed Martin Corp. ....... 4,701,972 75,126 Northrop Grumman Corp. ...... 4,083,098 94,935 Raytheon Co. ................ 3,609,429 37,105 Rockwell Collins Inc. ....... 1,792,914 215,762 United Technologies Corp. ... 11,185,102 -------------- 45,271,215 -------------- AGRICULTURE -- 1.79% 437,116 Altria Group Inc. ........... 32,219,820 136,798 Archer-Daniels-Midland Co. ....................... 3,373,439 56,504 Monsanto Co. ................ 3,545,626 18,292 Reynolds American Inc. ...... 1,518,602 34,490 UST Inc.(2).................. 1,443,751 -------------- 42,101,238 -------------- AIRLINES -- 0.09% 147,648 Southwest Airlines Co. ...... 2,192,573 -------------- 2,192,573 -------------- APPAREL -- 0.39% 79,906 Coach Inc.(1)................ 2,505,852 24,979 Jones Apparel Group Inc. .... 711,901 22,475 Liz Claiborne Inc.(2)........ 883,717 40,533 Nike Inc. Class B............ 3,310,735 11,484 Reebok International Ltd. ... 649,650 19,205 VF Corp.(2).................. 1,113,314 -------------- 9,175,169 -------------- AUTO MANUFACTURERS -- 0.44% 389,806 Ford Motor Co.(2)............ 3,843,487 118,960 General Motors Corp. ........ 3,641,366
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) AUTO MANUFACTURERS (CONTINUED) 13,643 Navistar International Corp.(1)................... $ 442,442 35,984 PACCAR Inc. ................. 2,442,954 -------------- 10,370,249 -------------- AUTO PARTS & EQUIPMENT -- 0.18% 13,263 Cooper Tire & Rubber Co.(2)..................... 202,526 31,143 Dana Corp.(2)................ 293,056 116,584 Delphi Corp. ................ 321,772 36,495 Goodyear Tire & Rubber Co. (The)(1)(2)................ 568,957 40,472 Johnson Controls Inc. ....... 2,511,288 26,822 Visteon Corp. ............... 262,319 -------------- 4,159,918 -------------- BANKS -- 5.95% 73,614 AmSouth Bancorp(2)........... 1,859,490 846,261 Bank of America Corp. ....... 35,627,588 163,797 Bank of New York Co. Inc. (The)...................... 4,817,270 115,201 BB&T Corp.(2)................ 4,498,599 35,147 Comerica Inc. ............... 2,070,158 26,079 Compass Bancshares Inc.(2)... 1,195,201 117,018 Fifth Third Bancorp.......... 4,298,071 26,213 First Horizon National Corp. ..................... 952,843 48,390 Huntington Bancshares Inc.(2).................... 1,087,323 86,058 KeyCorp...................... 2,775,371 17,239 M&T Bank Corp.(2)............ 1,822,335 44,077 Marshall & Ilsley Corp.(2)... 1,917,790 87,917 Mellon Financial Corp.(2).... 2,810,706 120,453 National City Corp.(2)....... 4,027,948 100,571 North Fork Bancorp Inc.(2)... 2,564,561 39,576 Northern Trust Corp.(2)...... 2,000,567 61,153 PNC Financial Services Group...................... 3,548,097 96,836 Regions Financial Corp.(2)... 3,013,536 69,591 State Street Corp. .......... 3,404,392 76,292 SunTrust Banks Inc. ......... 5,298,479 65,482 Synovus Financial Corp. ..... 1,815,161 384,818 U.S. Bancorp(2).............. 10,805,689 332,161 Wachovia Corp. .............. 15,807,542 355,497 Wells Fargo & Co. ........... 20,821,459 18,898 Zions Bancorporation......... 1,345,727 -------------- 140,185,903 --------------
The accompanying notes are an integral part of these financial statements. 116 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) BEVERAGES -- 2.16% 163,511 Anheuser-Busch Companies Inc. ...................... $ 7,037,513 17,869 Brown-Forman Corp. Class B(2)....................... 1,063,920 437,931 Coca-Cola Co. (The).......... 18,914,240 64,690 Coca-Cola Enterprises Inc. ...................... 1,261,455 41,090 Constellation Brands Inc.(1).................... 1,068,340 12,400 Molson Coors Brewing Co. Class B.................... 793,724 30,073 Pepsi Bottling Group Inc. ... 858,584 351,657 PepsiCo Inc. ................ 19,942,468 -------------- 50,940,244 -------------- BIOTECHNOLOGY -- 1.31% 259,839 Amgen Inc.(1)................ 20,701,373 71,333 Biogen Idec Inc.(1)(2)....... 2,816,227 23,484 Chiron Corp.(1)(2)........... 1,024,372 53,993 Genzyme Corp.(1)(2).......... 3,868,059 51,704 MedImmune Inc.(1)(2)......... 1,739,840 10,776 Millipore Corp.(1)........... 677,703 -------------- 30,827,574 -------------- BUILDING MATERIALS -- 0.26% 38,520 American Standard Companies Inc. ...................... 1,793,106 90,487 Masco Corp. ................. 2,776,141 21,470 Vulcan Materials Co. ........ 1,593,289 -------------- 6,162,536 -------------- CHEMICALS -- 1.38% 47,114 Air Products & Chemicals Inc.(2).................... 2,597,866 15,539 Ashland Inc. ................ 858,374 203,071 Dow Chemical Co. (The)(2).... 8,461,969 209,414 Du Pont (E.I.) de Nemours and Co. ....................... 8,202,746 17,049 Eastman Chemical Co. ........ 800,792 39,504 Ecolab Inc.(2)............... 1,261,363 24,979 Engelhard Corp. ............. 697,164 23,233 Hercules Inc.(1)(2).......... 283,907 17,862 International Flavors & Fragrances Inc. ........... 636,602 35,701 PPG Industries Inc.(2)....... 2,113,142 67,996 Praxair Inc. ................ 3,259,048
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 31,182 Rohm & Haas Co. ............. $ 1,282,516 24,491 Sherwin-Williams Co. (The)... 1,079,318 14,259 Sigma-Aldrich Corp.(2)....... 913,432 -------------- 32,448,239 -------------- COMMERCIAL SERVICES -- 0.89% 31,116 Apollo Group Inc. Class A(1)....................... 2,065,791 68,417 Block (H & R) Inc. .......... 1,640,640 220,145 Cendant Corp. ............... 4,543,793 29,325 Convergys Corp.(1)(2)........ 421,400 45,081 Donnelley (R.R.) & Sons Co. ....................... 1,671,153 27,277 Equifax Inc. ................ 953,058 64,836 McKesson Corp. .............. 3,076,468 53,694 Moody's Corp. ............... 2,742,690 70,849 Paychex Inc. ................ 2,627,081 35,511 Robert Half International Inc. ...................... 1,263,836 -------------- 21,005,910 -------------- COMPUTERS -- 3.89% 26,357 Affiliated Computer Services Inc. Class A(1)............ 1,439,092 174,697 Apple Computer Inc.(1)....... 9,365,506 38,804 Computer Sciences Corp.(1)... 1,835,817 504,870 Dell Inc.(1)................. 17,266,554 109,077 Electronic Data Systems Corp. ..................... 2,447,688 507,384 EMC Corp.(1)................. 6,565,549 61,610 Gateway Inc.(1).............. 166,347 603,321 Hewlett-Packard Co. ......... 17,616,973 336,091 International Business Machines Corp. ............ 26,961,220 24,925 Lexmark International Inc.(1).................... 1,521,671 38,969 NCR Corp.(1)................. 1,243,501 77,270 Network Appliance Inc.(1).... 1,834,390 717,008 Sun Microsystems Inc.(1)..... 2,810,671 70,955 Unisys Corp.(1).............. 471,141 -------------- 91,546,120 -------------- COSMETICS & PERSONAL CARE -- 2.22% 16,413 Alberto-Culver Co. .......... 734,482 99,002 Avon Products Inc. .......... 2,673,054 109,315 Colgate-Palmolive Co. ....... 5,770,739
The accompanying notes are an integral part of these financial statements. 117 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) COSMETICS & PERSONAL CARE (CONTINUED) 189,851 Gillette Co. (The)........... $ 11,049,328 538,189 Procter & Gamble Co.(2)...... 32,000,718 -------------- 52,228,321 -------------- DISTRIBUTION & WHOLESALE -- 0.11% 36,547 Genuine Parts Co. ........... 1,567,866 16,314 Grainger (W.W.) Inc. ........ 1,026,477 -------------- 2,594,343 -------------- DIVERSIFIED FINANCIAL SERVICES -- 7.90% 261,304 American Express Co. ........ 15,009,302 23,643 Bear Stearns Companies Inc. (The)...................... 2,594,819 60,747 Capital One Financial Corp. ..................... 4,830,601 42,997 CIT Group Inc. .............. 1,942,604 1,088,972 Citigroup Inc.(2)............ 49,570,005 125,100 Countrywide Financial Corp. ..................... 4,125,798 77,740 E*TRADE Financial Corp.(1)... 1,368,224 145,470 Federal Home Loan Mortgage Corp. ..................... 8,213,236 203,779 Federal National Mortgage Association................ 9,133,375 18,566 Federated Investors Inc. Class B.................... 616,948 31,561 Franklin Resources Inc. ..... 2,649,862 97,904 Goldman Sachs Group Inc. (The)...................... 11,903,168 46,983 Janus Capital Group Inc.(2).................... 678,904 739,832 JP Morgan Chase & Co. ....... 25,102,500 57,247 Lehman Brothers Holdings Inc. ...................... 6,668,131 264,751 MBNA Corp. .................. 6,523,465 195,526 Merrill Lynch & Co. Inc. .... 11,995,520 228,690 Morgan Stanley............... 12,335,539 61,806 Providian Financial Corp.(1)................... 1,092,730 220,529 Schwab (Charles) Corp. (The)...................... 3,182,233 87,854 SLM Corp. ................... 4,712,489 27,253 T. Rowe Price Group Inc.(2).................... 1,779,621 -------------- 186,029,074 -------------- ELECTRIC -- 3.34% 137,238 AES Corp. (The)(1)........... 2,254,820 34,102 Allegheny Energy Inc.(1)(2)................. 1,047,613 42,826 Ameren Corp. ................ 2,290,763
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRIC (CONTINUED) 82,682 American Electric Power Co. Inc. ...................... $ 3,282,475 118,002 Calpine Corp.(1)(2).......... 305,625 64,845 CenterPoint Energy Inc. ..... 964,245 41,772 Cinergy Corp. ............... 1,855,095 45,862 CMS Energy Corp.(1)(2)....... 754,430 51,361 Consolidated Edison Inc.(2).................... 2,493,577 36,748 Constellation Energy Group Inc. ...................... 2,263,677 71,721 Dominion Resources Inc. ..... 6,178,047 37,346 DTE Energy Co.(2)............ 1,712,688 194,959 Duke Energy Corp.(2)......... 5,686,954 68,516 Edison International......... 3,239,436 43,880 Entergy Corp. ............... 3,261,162 141,156 Exelon Corp.(2).............. 7,543,377 69,377 FirstEnergy Corp. ........... 3,615,929 82,882 FPL Group Inc. .............. 3,945,183 78,443 PG&E Corp. .................. 3,078,888 20,685 Pinnacle West Capital Corp. ..................... 911,795 79,776 PPL Corp. ................... 2,579,158 52,799 Progress Energy Inc. ........ 2,362,755 50,269 Public Service Enterprise Group Inc. ................ 3,235,313 157,164 Southern Co. (The)(2)........ 5,620,185 43,483 TECO Energy Inc.(2).......... 783,564 50,517 TXU Corp. ................... 5,702,359 84,562 Xcel Energy Inc.(2).......... 1,658,261 -------------- 78,627,374 -------------- ELECTRICAL COMPONENTS & EQUIPMENT -- 0.34% 36,920 American Power Conversion Corp. ..................... 956,228 86,939 Emerson Electric Co. ........ 6,242,220 31,447 Molex Inc.(2)................ 839,006 -------------- 8,037,454 -------------- ELECTRONICS -- 0.50% 103,934 Agilent Technologies Inc.(1).................... 3,403,839 40,939 Applera Corp. -- Applied Biosystems Group........... 951,422 25,597 Fisher Scientific International Inc.(1)(2)... 1,588,294 37,021 Jabil Circuit Inc.(1)........ 1,144,689 26,933 PerkinElmer Inc. ............ 548,625
The accompanying notes are an integral part of these financial statements. 118 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) ELECTRONICS (CONTINUED) 108,801 Sanmina-SCI Corp.(1)......... $ 466,756 203,435 Solectron Corp.(1)........... 795,431 50,291 Symbol Technologies Inc. .... 486,817 18,334 Tektronix Inc. .............. 462,567 33,865 Thermo Electron Corp.(1)..... 1,046,429 24,306 Waters Corp.(1).............. 1,011,130 -------------- 11,905,999 -------------- ENGINEERING & CONSTRUCTION -- 0.05% 18,182 Fluor Corp. ................. 1,170,557 -------------- 1,170,557 -------------- ENTERTAINMENT -- 0.08% 71,646 International Game Technology Inc.(2).................... 1,934,442 -------------- 1,934,442 -------------- ENVIRONMENTAL CONTROL -- 0.16% 48,743 Allied Waste Industries Inc.(1)(2)................. 411,878 118,216 Waste Management Inc. ....... 3,382,160 -------------- 3,794,038 -------------- FOOD -- 1.50% 77,386 Albertson's Inc.(2).......... 1,984,951 39,731 Campbell Soup Co. ........... 1,181,997 108,856 ConAgra Foods Inc. .......... 2,694,186 76,987 General Mills Inc. .......... 3,710,773 72,459 Heinz (H.J.) Co. ............ 2,647,652 39,072 Hershey Co. (The)............ 2,200,144 54,476 Kellogg Co. ................. 2,512,978 152,245 Kroger Co.(1)................ 3,134,725 27,996 McCormick & Co. Inc. NVS..... 913,509 94,302 Safeway Inc. ................ 2,414,131 164,982 Sara Lee Corp. .............. 3,126,409 28,452 SUPERVALU Inc. .............. 885,426 133,185 Sysco Corp.(2)............... 4,178,013 52,640 Tyson Foods Inc. Class A..... 950,152 38,209 Wrigley (William Jr.) Co. ... 2,746,463 -------------- 35,281,509 -------------- FOREST PRODUCTS & PAPER -- 0.47% 54,652 Georgia-Pacific Corp. ....... 1,861,447 103,154 International Paper Co. ..... 3,073,989
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) FOREST PRODUCTS & PAPER (CONTINUED) 22,749 Louisiana-Pacific Corp. ..... $ 629,920 38,592 MeadWestvaco Corp.(2)........ 1,065,911 23,660 Temple-Inland Inc.(2)........ 966,511 51,521 Weyerhaeuser Co. ............ 3,542,069 -------------- 11,139,847 -------------- GAS -- 0.25% 36,569 KeySpan Corp. ............... 1,345,008 9,040 Nicor Inc.(2)................ 379,951 57,176 NiSource Inc. ............... 1,386,518 7,851 Peoples Energy Corp.(2)...... 309,172 53,839 Sempra Energy(2)............. 2,533,663 -------------- 5,954,312 -------------- HAND & MACHINE TOOLS -- 0.11% 16,884 Black & Decker Corp. ........ 1,386,008 11,953 Snap-On Inc. ................ 431,742 15,602 Stanley Works (The).......... 728,301 -------------- 2,546,051 -------------- HEALTH CARE -- PRODUCTS -- 3.54% 22,098 Bard (C.R.) Inc. ............ 1,459,131 11,257 Bausch & Lomb Inc. .......... 908,215 130,998 Baxter International Inc. ... 5,222,890 52,551 Becton, Dickinson & Co. ..... 2,755,249 52,423 Biomet Inc. ................. 1,819,602 125,330 Boston Scientific Corp.(1)... 2,928,962 69,445 Guidant Corp. ............... 4,784,066 626,544 Johnson & Johnson............ 39,647,704 255,019 Medtronic Inc. .............. 13,674,119 76,689 St. Jude Medical Inc.(1)..... 3,589,045 61,659 Stryker Corp. ............... 3,047,804 52,029 Zimmer Holdings Inc.(1)...... 3,584,278 -------------- 83,421,065 -------------- HEALTH CARE -- SERVICES -- 1.88% 61,012 Aetna Inc. .................. 5,255,574 22,553 Coventry Health Care Inc.(1).................... 1,940,009 95,098 HCA Inc. .................... 4,557,096 51,839 Health Management Associates Inc. Class A(2)............ 1,216,661 34,101 Humana Inc.(1)............... 1,632,756
The accompanying notes are an integral part of these financial statements. 119 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) HEALTH CARE -- SERVICES (CONTINUED) 28,352 Laboratory Corp. of America Holdings(1)................ $ 1,381,026 16,523 Manor Care Inc.(2)........... 634,648 35,520 Quest Diagnostics Inc. ...... 1,795,181 98,229 Tenet Healthcare Corp.(1)(2)................ 1,103,112 265,981 UnitedHealth Group Inc. ..... 14,948,132 129,187 WellPoint Inc.(1)............ 9,794,958 -------------- 44,259,153 -------------- HOME BUILDERS -- 0.30% 26,955 Centex Corp.(2).............. 1,740,754 57,200 Horton (D.R.) Inc. .......... 2,071,784 16,642 KB Home(2)................... 1,218,194 45,702 Pulte Homes Inc.(2).......... 1,961,530 -------------- 6,992,262 -------------- HOME FURNISHINGS -- 0.06% 16,534 Maytag Corp. ................ 301,911 14,002 Whirlpool Corp.(2)........... 1,060,932 -------------- 1,362,843 -------------- HOUSEHOLD PRODUCTS & WARES -- 0.49% 23,169 Avery Dennison Corp.(2)...... 1,213,824 31,910 Clorox Co. (The)............. 1,772,281 30,689 Fortune Brands Inc.(2)....... 2,495,936 100,243 Kimberly-Clark Corp. ........ 5,967,466 -------------- 11,449,507 -------------- HOUSEWARES -- 0.05% 57,755 Newell Rubbermaid Inc. ...... 1,308,151 -------------- 1,308,151 -------------- INSURANCE -- 4.81% 60,625 ACE Ltd. .................... 2,853,619 105,563 AFLAC Inc. .................. 4,782,004 138,304 Allstate Corp. (The)......... 7,646,828 22,418 Ambac Financial Group Inc.(2).................... 1,615,441 546,572 American International Group Inc. ...................... 33,865,601 66,929 AON Corp. ................... 2,147,082 41,719 Chubb Corp. ................. 3,735,936 27,091 CIGNA Corp. ................. 3,192,945 36,690 Cincinnati Financial Corp.(2)................... 1,536,944
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 63,013 Hartford Financial Services Group Inc.(2).............. $ 4,862,713 28,281 Jefferson-Pilot Corp. ....... 1,447,139 36,230 Lincoln National Corp. ...... 1,884,685 28,810 Loews Corp. ................. 2,662,332 112,570 Marsh & McLennan Companies Inc. ...................... 3,421,002 28,141 MBIA Inc.(2)................. 1,705,907 159,245 MetLife Inc. ................ 7,935,178 19,538 MGIC Investment Corp. ....... 1,254,340 59,412 Principal Financial Group Inc. ...................... 2,814,346 41,487 Progressive Corp. (The)...... 4,346,593 108,037 Prudential Financial Inc. ... 7,298,980 26,390 SAFECO Corp.(2).............. 1,408,698 142,163 St. Paul Travelers Companies Inc. ...................... 6,378,854 21,874 Torchmark Corp.(2)........... 1,155,603 62,475 UNUMProvident Corp. ......... 1,280,738 29,497 XL Capital Ltd. Class A...... 2,006,681 -------------- 113,240,189 -------------- INTERNET -- 1.07% 234,483 eBay Inc.(1)................. 9,660,700 25,485 Monster Worldwide Inc.(1)(2)................. 782,644 252,077 Symantec Corp.(1)............ 5,712,065 264,841 Yahoo! Inc.(1)............... 8,962,219 -------------- 25,117,628 -------------- IRON & STEEL -- 0.15% 18,419 Allegheny Technologies Inc. ...................... 570,621 33,161 Nucor Corp. ................. 1,956,167 23,944 United States Steel Corp.(2)................... 1,014,028 -------------- 3,540,816 -------------- LEISURE TIME -- 0.37% 20,368 Brunswick Corp. ............. 768,485 91,386 Carnival Corp.(2)............ 4,567,472 58,261 Harley-Davidson Inc.(2)...... 2,822,163 27,157 Sabre Holdings Corp. ........ 550,744 -------------- 8,708,864 --------------
The accompanying notes are an integral part of these financial statements. 120 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) LODGING -- 0.38% 38,599 Harrah's Entertainment Inc. ...................... $ 2,516,269 70,042 Hilton Hotels Corp. ......... 1,563,337 36,436 Marriott International Inc. Class A.................... 2,295,468 45,763 Starwood Hotels & Resorts Worldwide Inc.(2).......... 2,616,271 -------------- 8,991,345 -------------- MACHINERY -- 0.61% 142,472 Caterpillar Inc. ............ 8,370,230 9,732 Cummins Inc.(2).............. 856,319 51,022 Deere & Co.(2)............... 3,122,546 38,154 Rockwell Automation Inc. .... 2,018,347 -------------- 14,367,442 -------------- MANUFACTURING -- 5.46% 19,432 Cooper Industries Ltd. ...... 1,343,528 50,487 Danaher Corp. ............... 2,717,715 42,523 Dover Corp.(2)............... 1,734,513 60,286 Eastman Kodak Co.(2)......... 1,466,758 31,195 Eaton Corp.(2)............... 1,982,442 2,232,932 General Electric Co. ........ 75,182,820 179,999 Honeywell International Inc. ...................... 6,749,963 44,259 Illinois Tool Works Inc. .... 3,643,843 70,921 Ingersoll-Rand Co. Class A... 2,711,310 19,482 ITT Industries Inc.(2)....... 2,213,155 39,496 Leggett & Platt Inc.(2)...... 797,819 26,011 Pall Corp. .................. 715,303 25,131 Parker Hannifin Corp. ....... 1,616,175 28,102 Textron Inc. ................ 2,015,475 161,091 3M Co. ...................... 11,817,636 426,148 Tyco International Ltd. ..... 11,868,222 -------------- 128,576,677 -------------- MEDIA -- 3.30% 114,145 Clear Channel Communications Inc. ...................... 3,754,229 462,407 Comcast Corp. Class A(1)..... 13,585,518 12,968 Dow Jones & Co. Inc. ........ 495,248 51,408 Gannett Co. Inc. ............ 3,538,413 14,528 Knight Ridder Inc.(2)........ 852,503 78,629 McGraw-Hill Companies Inc. (The)...................... 3,777,337 9,211 Meredith Corp. .............. 459,537
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 30,438 New York Times Co. Class A(2)................. $ 905,531 517,500 News Corp. Class A........... 8,067,825 988,537 Time Warner Inc. ............ 17,902,405 56,477 Tribune Co. ................. 1,914,006 49,404 Univision Communications Inc. Class A(1)(2).............. 1,310,688 333,684 Viacom Inc. Class B.......... 11,014,909 423,217 Walt Disney Co. (The)........ 10,212,226 -------------- 77,790,375 -------------- MINING -- 0.57% 183,572 Alcoa Inc. .................. 4,482,828 37,196 Freeport-McMoRan Copper & Gold Inc.(2)............... 1,807,354 93,871 Newmont Mining Corp. ........ 4,427,895 20,375 Phelps Dodge Corp. .......... 2,647,324 -------------- 13,365,401 -------------- OFFICE & BUSINESS EQUIPMENT -- 0.20% 48,084 Pitney Bowes Inc. ........... 2,007,026 201,726 Xerox Corp.(1)(2)............ 2,753,560 -------------- 4,760,586 -------------- OIL & GAS -- 8.65% 16,997 Amerada Hess Corp.(2)........ 2,337,088 49,728 Anadarko Petroleum Corp. .... 4,761,456 69,196 Apache Corp. ................ 5,204,923 80,197 Burlington Resources Inc. ... 6,521,620 474,288 Chevron Corp. ............... 30,700,662 293,140 ConocoPhillips............... 20,493,417 95,842 Devon Energy Corp. .......... 6,578,595 50,500 EOG Resources Inc. .......... 3,782,450 1,328,107 Exxon Mobil Corp. ........... 84,387,919 24,244 Kerr-McGee Corp. ............ 2,354,335 77,021 Marathon Oil Corp. .......... 5,309,058 34,470 Murphy Oil Corp. ............ 1,719,019 33,091 Nabors Industries Ltd.(1)(2)................. 2,376,927 28,722 Noble Corp. ................. 1,966,308 84,156 Occidental Petroleum Corp. ..................... 7,189,447 22,793 Rowan Companies Inc. ........ 808,924 28,702 Sunoco Inc. ................. 2,244,496
The accompanying notes are an integral part of these financial statements. 121 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) OIL & GAS (CONTINUED) 69,166 Transocean Inc.(1)........... $ 4,240,567 64,327 Valero Energy Corp. ......... 7,272,811 75,968 XTO Energy Inc. ............. 3,442,870 -------------- 203,692,892 -------------- OIL & GAS SERVICES -- 1.23% 71,672 Baker Hughes Inc. ........... 4,277,385 67,734 BJ Services Co. ............. 2,437,747 106,991 Halliburton Co.(2)........... 7,331,023 36,442 National Oilwell Varco Inc.(1).................... 2,397,884 123,862 Schlumberger Ltd.(2)......... 10,451,476 29,498 Weatherford International Ltd.(1).................... 2,025,333 -------------- 28,920,848 -------------- PACKAGING & CONTAINERS -- 0.12% 22,810 Ball Corp. .................. 838,039 22,337 Bemis Co. Inc.(2)............ 551,724 31,251 Pactiv Corp.(1).............. 547,518 17,332 Sealed Air Corp.(1).......... 822,577 -------------- 2,759,858 -------------- PHARMACEUTICALS -- 5.90% 327,319 Abbott Laboratories.......... 13,878,326 27,492 Allergan Inc. ............... 2,518,817 21,820 AmerisourceBergen Corp. ..... 1,686,686 411,789 Bristol-Myers Squibb Co. .... 9,907,643 89,825 Cardinal Health Inc. ........ 5,698,498 94,681 Caremark Rx Inc.(1).......... 4,727,422 31,219 Express Scripts Inc.(1)...... 1,941,822 71,478 Forest Laboratories Inc.(1).................... 2,785,498 95,923 Gilead Sciences Inc.(1)...... 4,677,205 33,546 Hospira Inc.(1).............. 1,374,380 50,576 King Pharmaceuticals Inc.(1).................... 777,859 238,743 Lilly (Eli) & Co. ........... 12,777,525 64,019 Medco Health Solutions Inc.(1).................... 3,510,162 462,317 Merck & Co. Inc. ............ 12,579,646 45,748 Mylan Laboratories Inc. ..... 881,106 1,552,409 Pfizer Inc. ................. 38,763,653 310,750 Schering-Plough Corp.(2)..... 6,541,288
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 21,801 Watson Pharmaceuticals Inc.(1)(2)................. $ 798,135 282,403 Wyeth........................ 13,066,787 -------------- 138,892,458 -------------- PIPELINES -- 0.30% 65,268 Dynegy Inc. Class A(1)(2).... 307,412 138,458 El Paso Corp. ............... 1,924,566 20,368 Kinder Morgan Inc. .......... 1,958,587 120,298 Williams Companies Inc. ..... 3,013,465 -------------- 7,204,030 -------------- REAL ESTATE INVESTMENT TRUSTS -- 0.75% 19,981 Apartment Investment & Management Co. Class A(2)....................... 774,863 44,470 Archstone-Smith Trust........ 1,773,019 86,325 Equity Office Properties Trust(2)................... 2,823,691 60,348 Equity Residential........... 2,284,172 38,612 Plum Creek Timber Co. Inc. ...................... 1,463,781 51,828 ProLogis..................... 2,296,499 17,753 Public Storage Inc. ......... 1,189,451 38,875 Simon Property Group Inc.(2).................... 2,881,415 24,773 Vornado Realty Trust......... 2,145,837 -------------- 17,632,728 -------------- RETAIL -- 5.75% 39,108 AutoNation Inc.(1)........... 780,987 11,963 AutoZone Inc.(1)............. 995,920 62,163 Bed Bath & Beyond Inc.(1).... 2,497,709 85,792 Best Buy Co. Inc. ........... 3,734,526 23,954 Big Lots Inc.(1)(2).......... 263,254 36,099 Circuit City Stores Inc.(2).................... 619,459 100,819 Costco Wholesale Corp. ...... 4,344,291 171,054 CVS Corp. ................... 4,962,277 29,073 Darden Restaurants Inc. ..... 882,947 14,592 Dillard's Inc. Class A(2).... 304,681 67,332 Dollar General Corp. ........ 1,234,869 34,532 Family Dollar Stores Inc.(2).................... 686,151 55,771 Federated Department Stores Inc. ...................... 3,729,407 123,328 Gap Inc. (The)............... 2,149,607 450,732 Home Depot Inc. ............. 17,190,918
The accompanying notes are an integral part of these financial statements. 122 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 72,501 Kohl's Corp.(1).............. $ 3,638,100 74,679 Limited Brands Inc.(2)....... 1,525,692 164,156 Lowe's Companies Inc. ....... 10,571,646 263,159 McDonald's Corp. ............ 8,813,195 47,279 Nordstrom Inc. .............. 1,622,615 66,460 Office Depot Inc.(1)......... 1,973,862 14,729 OfficeMax Inc. .............. 466,467 53,228 Penney (J.C.) Co. Inc. ...... 2,524,072 28,094 RadioShack Corp.(2).......... 696,731 21,488 Sears Holdings Corp.(1)...... 2,673,537 154,549 Staples Inc. ................ 3,294,985 80,825 Starbucks Corp.(1)........... 4,049,333 186,254 Target Corp. ................ 9,672,170 29,749 Tiffany & Co. ............... 1,183,118 97,900 TJX Companies Inc. .......... 2,004,992 215,249 Walgreen Co. ................ 9,352,569 526,651 Wal-Mart Stores Inc. ........ 23,077,847 24,220 Wendy's International Inc.(2).................... 1,093,533 59,973 Yum! Brands Inc.(2).......... 2,903,293 -------------- 135,514,760 -------------- SAVINGS & LOANS -- 0.52% 54,203 Golden West Financial Corp. ..................... 3,219,116 75,952 Sovereign Bancorp Inc. ...... 1,673,982 185,139 Washington Mutual Inc. ...... 7,261,152 -------------- 12,154,250 -------------- SEMICONDUCTORS -- 3.31% 83,686 Advanced Micro Devices Inc.(1).................... 2,108,887 78,202 Altera Corp.(1).............. 1,494,440 78,306 Analog Devices Inc. ......... 2,908,285 341,478 Applied Materials Inc. ...... 5,791,467 65,144 Applied Micro Circuits Corp.(1)(2)................ 195,432 60,057 Broadcom Corp. Class A(1).... 2,817,274 85,115 Freescale Semiconductor Inc. Class B(1)................. 2,007,012 1,283,287 Intel Corp. ................. 31,633,025 41,514 KLA-Tencor Corp. ............ 2,024,223 64,485 Linear Technology Corp. ..... 2,423,991 81,761 LSI Logic Corp.(1)(2)........ 805,346 68,948 Maxim Integrated Products Inc. ...................... 2,940,632
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS (CONTINUED) 129,381 Micron Technology Inc.(1).... $ 1,720,767 72,261 National Semiconductor Corp. ..................... 1,900,464 28,989 Novellus Systems Inc. ....... 727,044 35,370 NVIDIA Corp.(1).............. 1,212,484 37,789 PMC-Sierra Inc.(1)........... 332,921 18,824 QLogic Corp.(1).............. 643,781 41,121 Teradyne Inc.(1)............. 678,497 342,587 Texas Instruments Inc. ...... 11,613,699 73,425 Xilinx Inc. ................. 2,044,886 -------------- 78,024,557 -------------- SOFTWARE -- 3.97% 103,356 Adobe Systems Inc. .......... 3,085,177 47,987 Autodesk Inc. ............... 2,228,516 122,091 Automatic Data Processing Inc. ...................... 5,254,797 45,869 BMC Software Inc.(1)......... 967,836 35,676 Citrix Systems Inc.(1)....... 896,895 98,430 Computer Associates International Inc.(2)...... 2,737,338 80,692 Compuware Corp.(1)........... 766,574 63,848 Electronic Arts Inc.(1)...... 3,632,313 162,402 First Data Corp. ............ 6,496,080 39,598 Fiserv Inc.(1)............... 1,816,360 47,355 IMS Health Inc. ............. 1,191,925 38,382 Intuit Inc.(1)............... 1,719,897 18,007 Mercury Interactive Corp.(1)................... 713,077 1,941,615 Microsoft Corp. ............. 49,957,754 79,715 Novell Inc.(1)............... 593,877 796,172 Oracle Corp.(1).............. 9,864,571 56,526 Parametric Technology Corp.(1)................... 393,986 109,508 Siebel Systems Inc.(2)....... 1,131,218 -------------- 93,448,191 -------------- TELECOMMUNICATIONS -- 5.88% 24,147 ADC Telecommunications Inc.(1).................... 552,000 80,339 Alltel Corp.(2).............. 5,230,871 33,562 Andrew Corp.(1)(2)........... 374,216 168,668 AT&T Corp. .................. 3,339,626 91,612 Avaya Inc.(1)................ 943,604 385,781 BellSouth Corp. ............. 10,146,040 27,183 CenturyTel Inc. ............. 950,861
The accompanying notes are an integral part of these financial statements. 123 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
SHARES SECURITY VALUE ------ ----------------------------- -------------- COMMON STOCKS (CONTINUED) TELECOMMUNICATIONS (CONTINUED) 117,825 CIENA Corp.(1)............... $ 311,058 1,345,911 Cisco Systems Inc.(1)........ 24,132,184 71,890 Citizens Communications Co.(2)..................... 974,110 42,204 Comverse Technology Inc.(1).................... 1,108,699 309,834 Corning Inc.(1).............. 5,989,091 344,124 JDS Uniphase Corp.(1)........ 763,955 934,595 Lucent Technologies Inc.(1)(2)................. 3,037,434 519,886 Motorola Inc. ............... 11,484,282 343,323 QUALCOMM Inc. ............... 15,363,704 327,389 Qwest Communications International Inc.(1)(2)... 1,342,295 695,753 SBC Communications Inc.(2)... 16,677,199 32,134 Scientific-Atlanta Inc. ..... 1,205,346 617,634 Sprint Nextel Corp. ......... 14,687,337 93,695 Tellabs Inc.(1).............. 985,671 582,331 Verizon Communications Inc. ...................... 19,036,400 -------------- 138,635,983 -------------- TEXTILES -- 0.05% 29,664 Cintas Corp.(2).............. 1,217,707 -------------- 1,217,707 -------------- TOYS, GAMES & HOBBIES -- 0.09% 37,455 Hasbro Inc. ................. 735,991 85,214 Mattel Inc.(2)............... 1,421,370 -------------- 2,157,361 -------------- TRANSPORTATION -- 1.54% 78,566 Burlington Northern Santa Fe Corp. ..................... 4,698,247 45,580 CSX Corp. ................... 2,118,558 63,723 FedEx Corp. ................. 5,552,185 85,068 Norfolk Southern Corp.(2).... 3,450,358 13,303 Ryder System Inc. ........... 455,229 55,484 Union Pacific Corp. ......... 3,978,203 233,169 United Parcel Service Inc. Class B.................... 16,118,973 -------------- 36,371,753 -------------- TOTAL COMMON STOCKS (Cost: $2,328,200,104)..... 2,335,743,862 --------------
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS -- 8.97% CERTIFICATES OF DEPOSIT(3) -- 0.41% $ 376,338 Banco Bilbao Vizcaya Argentaria SA 3.83%, 01/25/06............ $ 376,338 301,071 Bank of Nova Scotia 3.63%, 01/03/06............ 301,047 752,677 Credit Suisse First Boston 3.67%, 05/09/06............ 752,677 752,677 Danske Bank 3.70%, 10/17/05............ 752,668 376,338 Dexia Credit Local 3.78%, 08/30/06............ 376,270 1,129,015 Fortis Bank NY 3.83% - 3.84%, 01/25/06.... 1,129,021 451,606 HBOS Treasury Services PLC 3.39%, 12/14/05............ 451,606 376,338 HSBC Bank USA N.A. 3.72%, 08/03/06............ 376,450 451,606 Nordea Bank PLC 3.63%, 10/02/06............ 451,500 376,338 Royal Bank of Scotland 3.78%, 06/27/06............ 376,297 1,166,649 Societe Generale 3.68% - 3.77%, 03/30/06 - 06/13/06................... 1,166,471 2,069,861 Toronto-Dominion Bank 2.66% - 3.94%, 11/09/05 - 07/10/06................... 2,069,914 602,141 UBS AG 2.67% - 3.40%, 11/09/05 - 12/15/05................... 602,142 413,972 Wells Fargo Bank N.A. 3.73%, 10/06/05............ 413,971 -------------- 9,596,372 -------------- COMMERCIAL PAPER(3) -- 2.81% 1,505,353 Alpine Securitization Corp. 3.72%, 10/19/05............ 1,502,865 7,411,134 Amstel Funding Corp. 3.71% - 3.91%, 10/07/05 - 02/15/06................... 7,393,345 2,515,446 Amsterdam Funding Corp. 3.75% - 3.79%, 10/20/05 - 10/31/05................... 2,509,589 2,634,369 Aspen Funding Corp. 3.78% - 3.88%, 10/03/05 - 11/01/05................... 2,633,222 1,129,015 Barton Capital Corp. 3.74%, 10/14/05............ 1,127,725
The accompanying notes are an integral part of these financial statements. 124 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS (CONTINUED) COMMERCIAL PAPER (CONTINUED) $ 1,505,353 Blue Ridge Asset Funding Corp. 3.75%, 10/03/05............ $ 1,505,353 897,763 Bryant Park Funding LLC 3.66% - 3.92%, 10/06/05 - 02/22/06................... 894,578 2,642,354 Cancara Asset Securitisation LLC 3.65% - 3.73%, 10/07/05 - 10/20/05................... 2,639,149 289,382 Cantabric Finance LLC 3.73%, 10/31/05............ 288,542 428,198 Chariot Funding LLC 3.78% - 3.90%, 10/03/05 - 10/28/05................... 427,588 752,677 Chesham Finance LLC 3.68%, 10/11/05............ 752,061 567,255 Cobbler Funding Ltd. 3.73% - 3.74%, 10/17/05 - 10/27/05................... 566,233 413,972 CRC Funding LLC 3.78%, 10/24/05............ 413,059 75,268 Dorada Finance Inc. 3.76%, 01/26/06............ 74,364 301,071 Fairway Finance LLC 3.75%, 10/20/05............ 301,070 675,106 Falcon Asset Securitization Corp. 3.67% - 3.72%, 10/07/05 - 10/14/05................... 674,669 654,829 Ford Credit Auto Receivables 3.77%, 10/17/05............ 653,869 3,607,339 Ford Credit Floorplan Motown 3.70% - 3.79%, 10/07/05 - 11/08/05................... 3,598,992 3,716,906 Gemini Securitization Corp. 3.71% - 3.88%, 10/03/05 - 11/01/05................... 3,712,750 3,763,384 General Electric Capital Corp. 3.72%, 10/14/05............ 3,759,106 1,470,949 Georgetown Funding Co. LLC 3.82%, 11/02/05............ 1,466,266 376,338 Giro Funding Corp. 3.66%, 10/06/05............ 376,224 752,677 Grampian Funding LLC 3.84%, 01/31/06............ 743,042 376,338 Greenwich Capital Holdings Inc. 3.69%, 02/10/06............ 376,338 225,803 HSBC PLC 3.88%, 02/03/06............ 222,810
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS (CONTINUED) COMMERCIAL PAPER (CONTINUED) $ 1,125,485 Jupiter Securitization Corp. 3.68%, 10/12/05 - 10/13/05................... $ 1,124,413 1,505,353 Landale Funding LLC 3.74%, 10/17/05............ 1,503,164 790,233 Leafs LLC 3.80%, 01/20/06 - 02/21/06(4)................ 790,233 792,441 Liberty Street Funding Corp. 3.67% - 3.68%, 10/11/05 - 10/13/05................... 791,670 313,520 Lockhart Funding LLC 3.71%, 10/13/05............ 313,197 1,430,086 Mortgage Interest Networking Trust 3.70% - 3.73%, 10/11/05 - 10/27/05................... 1,427,916 1,343,227 Park Avenue Receivables Corp. 3.67% - 3.78%, 10/07/05 - 10/28/05................... 1,341,707 2,107,495 Park Granada LLC 3.68% - 3.82%, 10/06/05 - 10/28/05................... 2,102,422 1,435,136 Preferred Receivables Funding Corp. 3.75% - 3.78%, 10/20/05 - 10/28/05................... 1,431,727 752,677 Prudential Funding LLC 3.71%, 10/13/05............ 751,901 415,049 Ranger Funding Co. LLC 3.67%, 10/04/05............ 415,006 752,677 Santander Central Hispano Finance Inc. 3.91%, 02/17/06............ 741,477 188,169 Sedna Finance Inc. 3.92%, 02/21/06............ 185,280 975,845 Societe Generale 3.77%, 10/07/05............ 975,437 3,080,924 Sydney Capital Corp. 3.65% - 3.79%, 10/06/05 - 11/17/05................... 3,077,578 1,867,150 Thames Asset Global Securitization No. 1 Inc. 3.63% - 3.78%, 10/03/05 - 10/25/05................... 1,864,764 451,606 Three Pillars Funding Corp. 3.65%, 10/03/05............ 451,606 1,094,979 Ticonderoga Funding LLC 3.78% - 3.80%, 10/28/05.... 1,092,103
The accompanying notes are an integral part of these financial statements. 125 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS (CONTINUED) COMMERCIAL PAPER (CONTINUED) $ 338,705 Tulip Funding Corp. 3.79%, 12/01/05............ $ 336,601 5,645,076 UBS Finance Delaware LLC 3.75% - 3.80%, 10/05/05 - 10/06/05................... 5,643,696 489,240 Windmill Funding Corp. 3.78%, 10/25/05............ 488,110 639,775 Yorktown Capital LLC 3.75%, 10/20/05............ 638,642 -------------- 66,101,459 -------------- LOAN PARTICIPATIONS(3) -- 0.02% 376,338 Army & Air Force Exchange Service 3.67%, 10/03/05............ 376,338 -------------- 376,338 -------------- MEDIUM-TERM NOTES(3) -- 0.06% 233,330 Dorada Finance Inc. 3.93%, 07/07/06(4)......... 233,312 1,204,283 K2 USA LLC 3.68% - 3.94%, 07/07/06 - 09/11/06(4)................ 1,204,160 -------------- 1,437,472 -------------- SHARES ------ MONEY MARKET FUNDS -- 0.72% 17,035,326 Barclays Global Investors Funds Institutional Money Market Fund, Institutional Shares 3.78%(5)(6)......... 17,035,326 -------------- 17,035,326 -------------- PRINCIPAL ----------- REPURCHASE AGREEMENTS(3) -- 1.76% $23,709,317 Bank of America N.A. Repurchase Agreements, dated 9/30/05, due 10/3/05, with a total maturity value of $23,716,943 and effective yields of 3.75% - 3.88%.(7).................. 23,709,317 17,876,073 Goldman Sachs Group Inc. Repurchase Agreement, dated 9/30/05, due 10/3/05, with a maturity value of $17,881,883 and an effective yield of 3.90%.(7).................. 17,876,073 -------------- 41,585,390 -------------- PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- TIME DEPOSITS(3) -- 0.18% $ 819,883 Chase Bank USA N.A. 3.88%, 10/03/05............ $ 819,883 752,677 Lloyds TSB Bank PLC 3.90%, 10/03/05............ 752,677 2,634,369 Rabobank Nederland NV 3.89%, 10/03/05............ 2,634,369 -------------- 4,206,929 -------------- U.S. TREASURY OBLIGATIONS -- 0.06% 1,400,000 U.S. Treasury Bill 3.46%, 12/22/05(8)(9)...... 1,389,080 -------------- 1,389,080 -------------- VARIABLE & FLOATING RATE NOTES(3) -- 2.95% 1,399,979 Allstate Life Global Funding II 3.72% - 3.82%, 09/08/06 - 09/27/06(4)................ 1,399,988 2,596,735 American Express Bank 3.75% - 3.80%, 10/17/05 - 07/19/06................... 2,596,731 1,241,917 American Express Centurion Bank 3.75% - 3.80%, 06/29/06 - 07/19/06................... 1,241,917 1,693,523 American Express Credit Corp. 3.84% - 3.86%, 10/26/05 - 12/22/05................... 1,693,602 2,295,664 ASIF Global Financing 3.79% - 3.99%, 05/30/06 - 08/11/06(4)................ 2,297,332 489,240 Australia & New Zealand Banking Group Ltd. 3.81%, 09/22/06(4)......... 489,240 3,763,384 Bank of America N.A. 3.81%, 08/10/06............ 3,763,384 2,589,208 Beta Finance Inc. 3.65% - 3.97%, 10/27/05 - 06/09/06(4)................ 2,589,137 752,677 BMW US Capital LLC 3.74%, 09/15/06(4)......... 752,677 1,430,086 Canadian Imperial Bank of Commerce 3.69% - 3.78%, 10/31/05 - 12/14/05................... 1,430,028 2,024,700 CC USA Inc. 3.72% - 3.80%, 03/23/06 - 07/14/06(4)................ 2,024,627 188,169 Commodore CDO Ltd. 3.91%, 06/13/06(4)......... 188,169 1,881,692 Credit Suisse First Boston 3.77%, 07/19/06............ 1,881,692 752,677 DEPFA Bank PLC 3.88%, 09/15/06............ 752,677
The accompanying notes are an integral part of these financial statements. 126 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS (CONTINUED) VARIABLE & FLOATING RATE NOTES (CONTINUED) $ 1,196,756 Dorada Finance Inc. 3.78% - 3.81%, 03/27/06 - 06/26/06(4)................ $ 1,196,809 752,677 Eli Lilly Services Inc. 3.66%, 09/01/06(4)......... 752,677 376,338 Fairway Finance LLC 3.78%, 01/20/06............ 376,333 1,505,353 Fifth Third Bancorp 3.79%, 09/22/06(4)......... 1,505,353 526,874 Five Finance Inc. 3.79% - 3.82%, 02/27/06 - 06/26/06(4)................ 526,882 338,705 General Electric Capital Corp. 3.80%, 10/06/06............ 339,016 188,169 Greenwich Capital Holdings Inc. 3.66%, 03/02/06............ 188,169 752,677 Hartford Life Global Funding Trust 3.76%, 08/15/06............ 752,677 2,258,030 HBOS Treasury Services PLC 3.69% - 4.01%, 01/10/06 - 07/24/06(4)................ 2,258,031 263,437 HSBC Bank USA N.A. 3.95%, 05/04/06............ 263,562 2,182,763 K2 USA LLC 3.66% - 3.77%, 10/20/05 - 06/02/06(4)................ 2,182,781 2,935,439 Links Finance LLC 3.72% - 3.96%, 11/16/05 - 03/15/06(4)................ 2,935,697 752,677 Lothian Mortgages PLC 3.82%, 01/24/06............ 752,677 752,677 Marshall & Ilsley Bank 3.90%, 02/20/06............ 753,024 1,505,353 Metropolitan Life Global Funding I 3.67% - 4.01%, 08/28/06 - 10/06/06(4)................ 1,505,957 564,508 Natexis Banques Populaires 3.80%, 10/16/06(4)......... 564,508 376,338 National City Bank (Ohio) 3.62%, 01/06/06............ 376,309 2,784,904 Nationwide Building Society 3.69% - 4.03%, 01/13/06 - 07/28/06(4)................ 2,785,133 1,317,184 Nordea Bank AB 3.71%, 08/11/06(4)......... 1,317,184
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS (CONTINUED) VARIABLE & FLOATING RATE NOTES (CONTINUED) $ 2,408,566 Northern Rock PLC 3.69% - 3.80%, 10/25/05 - 08/03/06(4)................ $ 2,408,603 2,047,281 Permanent Financing PLC 3.69%, 03/10/06 - 06/12/06(4)................ 2,047,282 564,508 Principal Life Income Funding Trusts 3.74%, 05/10/06............ 564,525 2,512,059 Royal Bank of Scotland 3.60% - 3.78%, 04/05/06 - 08/30/06................... 2,511,561 639,775 Sedna Finance Inc. 3.73% - 3.77%, 01/10/06 - 09/20/06(4)................ 639,750 3,356,938 Sigma Finance Inc. 3.52% - 3.97%, 10/07/05 - 08/15/06(4)................ 3,356,939 752,677 Skandinaviska Enskilda Bank NY 3.78%, 07/18/06(4)......... 752,677 216,390 Strips III LLC 3.88%, 07/24/06(4) (10).... 216,390 1,129,015 SunTrust Bank 3.63%, 04/28/06............ 1,129,015 1,678,469 Tango Finance Corp. 3.77% - 3.79%, 05/25/06 - 09/27/06(4)................ 1,678,299 338,705 Toyota Motor Credit Corp. 3.87%, 04/10/06............ 338,702 978,480 Unicredito Italiano SpA 3.80%, 06/14/06............ 978,238 752,677 Union Hamilton Special Funding LLC 4.00%, 03/28/06............ 752,677 338,705 US Bank N.A. 3.77%, 09/29/06............ 338,617 1,738,307 Wachovia Asset Securitization Inc. 3.82%, 10/25/05(4)......... 1,738,308 376,338 Wells Fargo & Co. 3.76%, 09/15/06(4)......... 376,373 1,693,523 WhistleJacket Capital LLC 3.67% - 3.79%, 10/14/05 - 07/28/06(4)................ 1,693,427 1,926,852 White Pine Finance LLC 3.65% - 3.80%, 11/01/05 - 06/20/06(4)................ 1,926,794
The accompanying notes are an integral part of these financial statements. 127 S&P 500 INDEX MASTER PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL SECURITY VALUE --------- ----------------------------- -------------- SHORT-TERM INVESTMENTS (CONTINUED) VARIABLE & FLOATING RATE NOTES (CONTINUED) $ 537,411 Winston Funding Ltd. 3.71%, 10/23/05(4)......... $ 537,411 1,129,015 World Savings Bank 3.69%, 03/09/06............ 1,128,988 -------------- 69,548,556 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost: $211,277,099)....... 211,276,922 -------------- Total Investments In Securities -- 108.13% (Cost: $2,539,477,203)(11)........ 2,547,020,784 -------------- Other Assets, Less Liabilities -- (8.13)%..... (191,413,665) -------------- NET ASSETS -- 100.00%........ 2,355,607,119 --------------
--------------- NVS Non-Voting Shares (1) Non-income earning security. (2) All or a portion of this security represents a security on loan. See Note 3. (3) All or a portion of this security (these securities) represent(s) an investment of securities lending collateral. See Note 3. (4) This security or a portion of these securities is exempt from registration pursuant to Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. (5) The Master Portfolio's investment adviser is an affiliate of the issuer. See Note 2. (6) The rate quoted is the annualized seven-day yield of the fund at period end. (7) Repurchase agreements held as collateral for securities on loan are fully collateralized by U.S. Government securities, with interest rates ranging from 3.88% to 8.00% and maturity dates ranging from 2/1/07 to 9/1/42. (8) The rate quoted is the yield to maturity. (9) This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio's holdings of futures contracts. See Note 1. (10) The investment adviser has determined that this security or a portion of these securities is "illiquid," in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio. (11) The cost of investments for federal income tax purposes was $2,600,084,329. Net unrealized depreciation aggregated $53,063,545, of which $312,259,110 represented gross unrealized appreciation on securities and $365,322,655 represented gross unrealized depreciation on securities. As of September 30, 2005, the open futures contracts held by the Master Portfolio were as follows:
NOTIONAL NET FUTURES CONTRACTS NUMBER OF CONTRACT UNREALIZED (EXPIRATION DATE) CONTRACTS VALUE DEPRECIATION ----------------- --------- ----------- ------------ S&P 500 Index (12/16/05)......... 316 $19,501,940 $(75,576) -------- $(75,576) ========
See accompanying notes to the schedule of investments. The accompanying notes are an integral part of these financial statements. 128 S&P 500 INDEX MASTER PORTFOLIO NOTES TO THE SCHEDULE OF INVESTMENTS (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES Master Investment Portfolio ("MIP") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Delaware statutory trust. As of September 30, 2005, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios. These notes relate only to the schedule of investments for the S&P 500 Index Master Portfolio (the "Master Portfolio"). SECURITY VALUATION The securities and other assets of the Master Portfolio are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of funds that are not traded on an exchange, a market valuation means such fund's published net asset value per share. The investment adviser may use various pricing services or discontinue the use of any pricing service. A price obtained from a pricing service based on such pricing service's valuation matrix may be considered a market valuation. In the event that the current market valuations are not readily available or such valuations do not reflect current market values, the affected investments will be valued using fair value pricing pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the "Board"). FUTURES CONTRACTS The Master Portfolio may purchase futures contracts to gain exposure to market changes, as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange-traded. Upon entering into a futures contract, the Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt and equity securities equal to the minimum "initial margin" requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as "variation margin." Pursuant to regulations and/or published positions of the U.S. Securities and Exchange Commission ("SEC"), the Master Portfolio is required to segregate cash, U.S. Government securities or high-quality, liquid debt instruments and equity in connection with futures transactions. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. The Master Portfolio has pledged to brokers a U.S. Treasury Bill with a face amount of $1,400,000 for initial margin requirements. REPURCHASE AGREEMENTS The Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio's custodian, or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and 129 S&P 500 INDEX MASTER PORTFOLIO NOTES TO THE SCHEDULE OF INVESTMENTS (CONTINUED) (UNAUDITED) 1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest. As of September 30, 2005, a portion of the cash collateral for securities on loan for the Master Portfolio was invested in repurchase agreements as disclosed in its Schedule of Investments. For further information, see Note 3 below. 2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES Pursuant to an exemptive order issued by the SEC, the Master Portfolio may invest in the Institutional Shares of the Government Money Market Fund ("GMMF"), Institutional Money Market Fund ("IMMF") and Prime Money Market Fund ("PMMF") of Barclays Global Investors Funds. The GMMF, IMMF and PMMF are feeder funds in a master/feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio and Prime Money Market Master Portfolio, respectively, which are managed by Barclays Global Fund Advisors ("BGFA"), the Master Portfolio's investment adviser. The GMMF, IMMF and PMMF are open-end money market funds available to institutional and accredited investors, including other investment companies managed by BGFA. The GMMF, IMMF and PMMF seek a high level of income consistent with liquidity and the preservation of capital. The following table provides information about the investment by the Master Portfolio in shares of issuers of which BGFA is an affiliate, for the nine months ended September 30, 2005, including income earned from these affiliated issuers.
NUMBER OF SHARES HELD NUMBER OF BEGINNING GROSS GROSS SHARES HELD VALUE AT OF PERIOD ADDITIONS REDUCTIONS END OF PERIOD END OF INTEREST NAME OF AFFILIATED ISSUER (IN 000S) (IN 000S) (IN 000S) (IN 000S) PERIOD INCOME ------------------------- ----------- ---------- ---------- ------------- ----------- ---------- IMMF................... 17,466 11,097,656 11,098,087 17,035 $17,035,326 $1,246,942
During the nine months ended September 30, 2005, the Master Portfolio invested cash collateral from securities on loan in the GMMF, IMMF and PMMF. Due to the nature of the structure of the joint account used for the investment of the collateral for securities on loan, the information reported above for the Master Portfolio does not include the Master Portfolio's holdings of the GMMF, IMMF and PMMF in connection with the investment of collateral for securities on loan. 3. PORTFOLIO SECURITIES LOANED The Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolio of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due. As of September 30, 2005, the Master Portfolio had loaned securities which were collateralized by cash. Pursuant to an exemptive order by the SEC, the cash collateral received was invested in a joint account with other investment funds managed by BGFA. The joint account invests in securities with remaining maturities of 397 days or less, repurchase agreements and money market mutual funds, including money market funds managed by BGFA. Repurchase agreements held in the joint account are fully collateralized by U.S. Government securities. 130 DIVERSIFIED INVESTORS SECURITIES CORP. (DISC) 4 Manhattanville Road, Purchase, New York 10577 (914) 697-8000 November/05 ITEM 2. CONTROLS AND PROCEDURES. (a) Based on an evaluation of the Disclosure Controls and Procedures of The Diversified Investors Funds Group (the "Funds") as of a date within 90 days of the filing date of this report, the Funds' Principal Financial Officer and President & Chief Executive Officer have concluded that the Funds' Disclosure Controls and Procedures are effectively designed to ensure that information required to be disclosed in this report is recorded, processed, summarized, and reported within required time periods, and accumulated and communicated to the Funds' management, including the Funds' Principal Financial Officer and President & Chief Executive Officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. (b) During the quarter ended September 30, 2005, there has been no change in the Funds' internal control over financial reporting that has materially affected, or that is reasonably likely to materially affect, the Funds' internal control over financial reporting. ITEM 3. EXHIBITS. The certifications of the Principal Financial Officer and President & Chief Executive Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as Form N-Q Certifications. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. THE DIVERSIFIED INVESTORS FUNDS GROUP By: /s/ Joseph Carusone ----------------------- Joseph Carusone Principal Financial Officer Date: November 23, 2005 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/ Joseph Carusone ----------------------- Joseph Carusone Principal Financial Officer Date: November 23, 2005 By: /s/ Mark Mullin ----------------------- Mark Mullin President & Chief Executive Officer Date: November 23, 2005