N-CSR 1 jnlst_ncsr205.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-8894 JNL Series Trust -------------------------------------------------------------------------------- (Exact Name of Registrant as specified in charter) 1 Corporate Way, Lansing, Michigan 48951 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Susan S. Rhee Jackson National Asset Management,LLC 1 Corporate Way Lansing, Michigan 48951 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 517-381-5500 Date of Fiscal Year End: December 31 Date of Reporting period: December 31, 2004 Item 1. Report to Shareholders JNL/AIM LARGE CAP GROWTH FUND [INSERT LOGO] A I M CAPITAL MANAGEMENT TEAM MANAGEMENT OBJECTIVE: JNL/AIM Large Cap Growth Fund seeks as its investment objective long-term capital growth by investing primarily in securities of large companies with market capitalizations in the top 50% of the Russell 1000 Index at the time of purchase. MONEY MANAGER COMMENTARY: ECONOMIC OVERVIEW & OUTLOOK: In 2004, as the country focused on election year politics and instability in Iraq, the equity markets posted gains, and the U.S. economy grew at a healthy pace. Following a swift and decisive conclusion to the presidential election, the markets surged, after posting only modest gains in the months prior. For the year, the Dow Jones Industrial Average was up 5.31%, the NASDAQ was up 8.59%, and the S&P 500 Index was up 10.88%. GDP growth for the third quarter was revised to 4.0%, which was slightly ahead of expectations. Estimates for fourth quarter GDP growth have ranged between 3-4%. Manufacturing activity was robust as the widely recognized Institute for Supply Management (ISM) Index remained above 60 in the first half of the year, and after declining slightly, it stayed well above the expansion level of 50 in the second half. Within these reports, the employment component of the index showed signs of consistent improvement. In fact, the overall employment picture improved throughout the year as the unemployment rate fell to 5.4% by the end of December. Job creation improved in 2004, although the payroll figures were volatile, ranging dramatically from month to month. Consumer confidence got a boost from the improving employment situation, hitting its highest level since 2002. The Conference Board's Index of Consumer Confidence finished the year at 102.3, off its July peak, but still quite strong due to a positive consumer outlook. Consumer spending also remained healthy, despite rising energy costs and creeping inflation as indicated by higher prices for staples such as milk and butter. Home sales remained healthy throughout the year even as a series of interest rate increases began in June. An economic expansion appears to be underway as corporate profits have strengthened significantly, and the labor market has solidified. While there is some concern about the viability of the consumer and another spike in oil prices, many indicators point to economic health. In response to these factors, the FOMC raised interest rates by a total 125 basis points in 2004, bringing the Federal Funds rate to 2.25% by the end of the year. The Committee indicated that more measured rate increases are expected in 2005, as they see evidence of continued economic growth. PERFORMANCE ANALYSIS: For 2004, the Fund's Class A shares posted a return of 9.99%, underperforming its benchmark, the Russell 1000 Growth Index, which returned 11.40%. Portfolio managers concentrated positions in the consumer discretionary, health care, industrials and information technology sectors. The Fund's performance relative to the Russell 1000 Growth Index was largely due to stock selection in the health care sector, as companies in the health care providers and services industry performed particularly well on an absolute basis in 2004. Stock selection and a relative overweight in the consumer discretionary sector also benefited the Fund's performance. Within the sector, the household durables industry provided the largest contribution to performance, as these stocks posted double digit returns. Stock selection in the telecommunications sector detracted from the Fund's performance. During the year, portfolio managers increased the number of holdings in the fund, bringing the total to 75 by then end of the year. In addition, managers decreased exposure to the health care and information technology sectors and increased positions in the consumer discretionary, consumer staples, and industrials sectors. We are optimistic that 2005 should be a good year for the Fund. They are becoming increasingly more positive about the large cap space. Managers believe that large caps may be poised to come back into favor due to the unpopularity of large caps in the past several year, and valuations, which are increasingly more compelling. They have begun to feel that after this long, tough period, the outlook for large caps is decidedly more upbeat. AVERAGE ANNUAL TOTAL RETURN 1 year 9.99% Since inception 5.04% (Inception date October 29, 2001). date JNL/AIM Large Cap Growth Fund (Class A) Russell 1000 Index 10/29/2001 10,000.00 10,000.00 10/31/2001 10,080.00 9,832.00 11/30/2001 10,870.00 10,589.00 12/31/2001 10,970.00 10,701.00 01/31/2002 10,850.00 10,566.29 02/28/2002 10,240.00 10,355.67 03/31/2002 10,790.00 10,781.42 04/30/2002 10,060.00 10,163.63 05/31/2002 9,840.00 10,075.00 06/30/2002 9,230.00 9,331.93 07/31/2002 8,610.00 8,641.43 08/31/2002 8,620.00 8,686.13 09/30/2002 8,040.00 7,753.28 10/31/2002 8,480.00 8,397.43 11/30/2002 8,540.00 8,887.46 12/31/2002 8,176.13 8,384.37 01/31/2003 8,015.82 8,181.24 02/28/2003 8,075.93 8,054.64 03/31/2003 8,246.27 8,137.66 04/30/2003 8,707.18 8,794.68 05/31/2003 9,198.15 9,296.24 06/30/2003 9,268.29 9,418.61 07/31/2003 9,468.68 9,606.25 08/31/2003 9,779.30 9,801.15 09/30/2003 9,588.92 9,700.81 10/31/2003 10,330.38 10,269.95 11/30/2003 10,540.80 10,392.98 12/31/2003 10,630.98 10,890.64 01/31/2004 10,811.33 11,097.66 02/29/2004 10,821.35 11,251.42 03/31/2004 10,971.65 11,097.79 04/30/2004 10,711.13 10,897.40 05/31/2004 11,041.79 11,054.66 06/30/2004 11,242.18 11,253.92 07/31/2004 10,580.88 10,858.76 08/31/2004 10,480.68 10,912.40 09/30/2004 10,791.29 11,050.27 10/31/2004 10,771.25 11,228.51 11/30/2004 11,362.42 11,708.79 12/31/2004 11,693.07 12,132.53 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/AIM SMALL CAP GROWTH FUND [INSERT LOGO] A I M CAPITAL MANAGEMENT TEAM MANAGEMENT OBJECTIVE: JNL/AIM Small Cap Growth Fund seeks as its investment objective long-term capital growth by investing in U.S. small-cap companies. MONEY MANAGER COMMENTARY: ECONOMIC OVERVIEW & OUTLOOK: In 2004, as the country focused on election year politics and instability in Iraq, the equity markets posted gains, and the U.S. economy grew at a healthy pace. Following a swift and decisive conclusion to the presidential election, the markets surged, after posting only modest gains in the months prior. For the year, the Dow Jones Industrial Average was up 5.31%, the NASDAQ was up 8.59%, and the S&P 500 Index was up 10.88%. GDP growth for the third quarter was revised to 4.0%, which was slightly ahead of expectations. Estimates for fourth quarter GDP growth have ranged between 3-4%. Manufacturing activity was robust as the widely recognized Institute for Supply Management (ISM) Index remained above 60 in the first half of the year, and after declining slightly, it stayed well above the expansion level of 50 in the second half. Within these reports, the employment component of the index showed signs of consistent improvement. In fact, the overall employment picture improved throughout the year as the unemployment rate fell to 5.4% by the end of December. Job creation improved in 2004, although the payroll figures were volatile, ranging dramatically from month to month. Consumer confidence got a boost from the improving employment situation, hitting its highest level since 2002. The Conference Board's Index of Consumer Confidence finished the year at 102.3, off its July peak, but still quite strong due to a positive consumer outlook. Consumer spending also remained healthy, despite rising energy costs and creeping inflation as indicated by higher prices for staples such as milk and butter. Home sales remained healthy throughout the year even as a series of interest rate increases began in June. An economic expansion appears to be underway as corporate profits have strengthened significantly, and the labor market has solidified. While there is some concern about the viability of the consumer and another spike in oil prices, many indicators point to economic health. In response to these factors, the FOMC raised interest rates by a total 125 basis points in 2004, bringing the Federal Funds rate to 2.25% by the end of the year. The Committee indicated that more measured rate increases are expected in 2005, as they see evidence of continued economic growth. PERFORMANCE ANALYSIS: For the period ending December 31, 2004, the Fund's Class A shares posted a return of 6.86%, under performing its benchmark, the Russell 2000 Index, which posted a return of 18.44%. Portfolio managers concentrated the Fund in the consumer discretionary, health care, and information technology sectors. The Fund's underperformance relative to the Russell 2000 Index in 2004 was largely due to performance issues in the first and third quarters of 2004. Stronger relative performance in the second quarter did not compensate for the under performance in the previous time periods. Stock selection in the health care sector was largely responsible for the portfolio's relative underperformance. The Fund was hurt by weak performance from select pharmaceutical and biotechnology holdings. Stock selection in the financials and industrials sector also detracted from the Fund's relative performance. Holdings in the consumer discretionary sector positively contributed to relative performance as leisure stocks and specialty retailers performed well. On September 8, 2004, Juliet S. Ellis and Juan R. Hartsfield replaced Ryan Crane, and assumed the management duties for this Fund. Since taking over the portfolio, the management team has taken steps to reduce the total number of holdings within the Fund, and to increase average position weights in individual holdings. In addition, managers are taking steps to become somewhat more diversified across sectors in order to mitigate large sector bets. As a result of these changes, we believe that volatility may be reduced somewhat, and we are comfortable with the way the Fund is positioned going into 2005. AVERAGE ANNUAL TOTAL RETURN 1 year 6.86% Since inception 7.20% (Inception date October 29, 2001). date JNL/AIM Small Cap Growth Fund (Class A) Russell 2000 Index 10/29/2001 10,000.00 10,000.00 10/31/2001 10,100.00 9,972.64 11/30/2001 10,810.00 10,745.17 12/31/2001 11,600.00 11,409.17 01/31/2002 11,270.00 11,291.21 02/28/2002 10,490.00 10,982.24 03/31/2002 11,290.00 11,865.66 04/30/2002 11,050.00 11,973.58 05/31/2002 10,530.00 11,442.30 06/30/2002 9,720.00 10,873.60 07/31/2002 8,410.00 9,231.18 08/31/2002 8,420.00 9,207.56 09/30/2002 7,960.00 8,546.15 10/31/2002 8,330.00 8,819.99 11/30/2002 9,010.00 9,606.92 12/31/2002 8,430.78 9,072.90 01/31/2003 8,190.75 8,822.85 02/28/2003 7,970.73 8,556.35 03/31/2003 8,090.74 8,666.48 04/30/2003 8,680.80 9,487.81 05/31/2003 9,510.87 10,505.87 06/30/2003 9,790.90 10,696.86 07/31/2003 10,240.94 11,365.69 08/31/2003 10,871.00 11,887.12 09/30/2003 10,520.97 11,668.04 10/31/2003 11,351.04 12,647.58 11/30/2003 11,671.07 13,096.36 12/31/2003 11,671.07 13,363.65 01/31/2004 12,051.11 13,945.12 02/29/2004 11,991.10 14,070.14 03/31/2004 11,941.10 14,201.25 04/30/2004 11,431.05 13,477.06 05/31/2004 11,711.08 13,694.04 06/30/2004 12,071.11 14,271.79 07/31/2004 10,991.01 13,311.17 08/31/2004 10,620.98 13,242.62 09/30/2004 11,011.01 13,864.20 10/31/2004 11,331.04 14,140.26 11/30/2004 12,101.11 15,370.53 12/31/2004 12,471.15 15,827.38 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/ALGER GROWTH FUND [INSERT LOGO] FRED ALGER MANAGEMENT, INC. FRED M. ALGER III AND DAN C. CHUNG OBJECTIVE: JNL/Alger Growth Fund seeks as its investment objective long-term capital appreciation by investing in a diversified, actively managed portfolio of equity securities, primarily of companies with total market capitalization of $1 billion or greater. MONEY MANAGER COMMENTARY: The year ending December 31st, 2004 was a solid period for most equity indices. While the robust momentum of 2003 seemed to wane a bit during the first three months of the year, markets still managed to post positive returns in the first quarter. Notwithstanding continued global tensions, investors were heartened by rising consumer sentiment and stellar corporate earnings growth. While the indices inched higher during the second quarter, sentiment began to shift on concerns over inflation, rising interest rates, and a deteriorating situation in Iraq. That trend continued during the third quarter, with the added factor of the presidential campaign. The result: fear and uncertainty seemed to trump solid fundamentals in the late spring and summer months. The sell-off during the summer was not extreme by historical standards, but it was unusual given the continued strength of the economy and of earnings growth. Only after the presidential election did the markets head decisively upward, and in the closing weeks of the year, the indices made up considerable ground. Despite rising oil prices, a ballooning budget deficit and the dollar's continual decline, stocks moved higher during the fourth quarter because the economy continued to expand, productivity remained high, earnings for the S&P 500 Index continued to register growth near 20%, and all of this took place in a climate of very low inflation. In a year when most indices registered high single-digit to low-double digit gains, small and mid-cap value stocks led the pack, followed closely by small and mid-cap growth stocks. For the year ended December 31, 2004, Fund's Class A shares returned 5.02%, missing the S&P 500 Index return of 10.88%. Over the same time period, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Fund Index returned 5.23% and 7.45%, respectively. Throughout the period, the Fund benefited from solid security selection in the Consumer Discretionary and Industrials sectors, but was ultimately hurt by an overweighting in the weak Technology sector. At the stock level, positions in eBay Inc., Yahoo Inc. and Google Inc. contributed most positively to Fund performance during the twelve-month period. Conversely, positions in Netflix Inc., Teradyne Inc. and Applied Materials Inc. detracted most from Fund value. As of December 31, 2004, the Fund remained well diversified, with Information Technology, Consumer Discretionary and Health Care representing the top three sectors. The Fund held 77 stocks representing 97.5% of the $292.6 million in total net assets. As for 2005, recently, a clear consensus has emerged, at least about the broad outlines. Most strategists believe that the markets will be up; that the economy will expand 3% to 4%; and that corporate earnings growth will slow from the torrid pace of 2004. In other areas, there is less agreement: strategists are divided about how much more the Fed will raise interest rates; where energy prices and the dollar will go; and how much consumer spending will increase. Alger's view on these big-picture themes will come as no surprise. Yes, we too think the economy will grow 3% to 4%; that the equity markets will end 2005 higher; and that corporate earnings growth will slow. But unlike many, we also believe that job growth will disappoint those who look to past patterns of job creation, and that productivity will continue to surprise on the upside. We think the Fed will stop tightening sooner than most expect and that short-term rates will be no more than 3% a year from now. Finally, we believe that the consumer will bend but not break, and increase spending at least 3%. These year-ahead predictions, however, are often more fun than meaningful. As bottom-up stock pickers, we know that you can find good companies in mediocre sectors, and mediocre investments in great sectors, and that factors like interest rates, the dollar, and rising energy prices don't point in one direction or another for long-term investment decisions. In 2005, regardless of the daily whims of the market, we will continue to seek out and invest in companies that we believe will grow their earnings rapidly and consistently. And should market conditions remain favorable, we expect that the Fund should outperform most of its peers. AVERAGE ANNUAL TOTAL RETURN 1 year 5.02% 5 year -6.26% Since inception 7.72% (Inception date October 16,1995). date JNL/Alger Growth Fund (Class A) S&P 500 Index 10/16/1995 10,000.00 10,000.00 10/31/1995 10,170.00 9,979.00 11/30/1995 10,050.00 10,417.00 12/31/1995 9,840.00 10,617.00 1/31/1996 10,140.00 10,978.00 2/29/1996 10,470.00 11,080.00 3/31/1996 10,380.00 11,187.00 4/30/1996 10,580.00 11,352.00 5/31/1996 10,620.00 11,643.00 6/30/1996 10,430.00 11,687.00 7/31/1996 9,660.00 11,171.00 8/31/1996 10,070.00 11,407.00 9/30/1996 10,760.00 12,048.00 10/31/1996 10,830.00 12,380.00 11/30/1996 11,490.00 13,315.00 12/31/1996 11,160.00 13,051.00 1/31/1997 11,980.00 13,865.38 2/28/1997 11,560.00 13,973.53 3/31/1997 11,140.00 13,400.62 4/30/1997 11,600.00 14,199.29 5/31/1997 12,330.00 15,062.61 6/30/1997 13,030.00 15,737.42 7/31/1997 14,350.00 16,988.54 8/31/1997 13,840.00 16,037.18 9/30/1997 14,560.00 16,916.02 10/31/1997 13,860.00 16,351.03 11/30/1997 14,060.00 17,108.08 12/31/1997 14,083.59 17,401.72 1/31/1998 14,270.54 17,594.17 2/28/1998 15,319.54 18,863.16 3/31/1998 16,160.82 19,902.23 4/30/1998 16,347.77 20,083.34 5/31/1998 16,160.82 19,705.77 6/30/1998 17,625.26 20,482.18 7/31/1998 18,082.25 20,264.64 8/31/1998 15,007.96 17,337.55 9/30/1998 16,327.00 18,448.26 10/31/1998 17,064.41 19,947.54 11/30/1998 18,341.91 21,156.02 12/31/1998 20,514.70 22,374.35 1/31/1999 22,084.43 23,309.98 2/28/1999 21,402.41 22,585.78 3/31/1999 22,853.05 23,489.42 4/30/1999 22,831.40 24,399.07 5/31/1999 21,813.79 23,822.91 6/30/1999 23,870.67 25,145.03 7/31/1999 23,047.92 24,359.88 8/31/1999 22,788.10 24,239.42 9/30/1999 22,636.54 23,574.87 10/31/1999 23,968.10 25,066.74 11/30/1999 25,353.79 25,576.32 12/31/1999 27,447.85 27,082.64 1/31/2000 26,633.16 25,721.95 2/29/2000 27,975.00 25,235.01 3/31/2000 30,431.05 27,703.77 4/30/2000 28,837.62 26,870.31 5/31/2000 27,088.43 26,318.98 6/30/2000 28,693.85 26,967.80 7/31/2000 27,843.22 26,546.15 8/31/2000 30,167.48 28,195.04 9/30/2000 27,663.51 26,706.49 10/31/2000 26,273.74 26,593.60 11/30/2000 23,602.04 24,496.98 12/31/2000 23,758.13 24,616.85 1/31/2001 24,972.89 25,490.23 2/28/2001 22,914.20 23,165.95 3/31/2001 21,008.94 21,698.37 4/30/2001 23,348.95 23,384.55 5/31/2001 23,770.92 23,541.25 6/30/2001 22,607.31 22,968.28 7/31/2001 21,980.75 22,742.13 8/31/2001 20,113.86 21,318.47 9/30/2001 18,413.19 19,596.96 10/31/2001 19,103.69 19,970.64 11/30/2001 20,829.93 21,502.55 12/31/2001 20,915.30 21,691.25 1/31/2002 20,121.21 21,387.58 2/28/2002 19,173.43 20,975.14 3/31/2002 20,172.44 21,763.99 4/30/2002 18,891.65 20,444.48 5/31/2002 18,315.30 20,293.87 6/30/2002 17,021.70 18,848.38 7/31/2002 15,023.67 17,378.98 8/31/2002 14,946.82 17,493.00 9/30/2002 13,601.99 15,591.84 10/31/2002 14,434.50 16,964.22 11/30/2002 15,010.86 17,962.70 12/31/2002 13,973.42 16,897.82 1/31/2003 13,691.65 16,455.15 2/28/2003 13,653.22 16,208.25 3/31/2003 13,922.19 16,365.64 4/30/2003 15,100.51 17,713.74 5/31/2003 16,061.11 18,647.02 6/30/2003 16,342.88 18,884.81 7/31/2003 16,688.69 19,217.83 8/31/2003 17,136.97 19,592.55 9/30/2003 16,868.00 19,384.62 10/31/2003 17,969.48 20,481.03 11/30/2003 18,289.68 20,661.22 12/31/2003 18,904.46 21,744.97 1/31/2004 19,455.20 22,144.07 2/29/2004 19,391.16 22,451.77 3/31/2004 19,275.89 22,113.06 4/30/2004 18,392.14 21,765.86 5/31/2004 19,096.58 22,064.58 6/30/2004 19,468.01 22,493.78 7/31/2004 17,867.02 21,748.20 8/31/2004 17,380.32 21,836.23 9/30/2004 18,007.91 22,072.61 10/31/2004 18,289.68 22,409.88 11/30/2004 19,070.96 23,316.52 12/31/2004 19,854.14 24,110.12 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/ALLIANCE CAPITAL GROWTH FUND [INSERT LOGO] ALLIANCE CAPITAL MANAGEMENT L.P. SYED HASNAIN, JIM REILLY OBJECTIVE: JNL/Alliance Capital Growth Fund seeks as its investment objective long-term growth of capital by investing primarily in common stocks or securities with common stock characteristics which demonstrate the potential for appreciation. MONEY MANAGER COMMENTARY: The U.S. equity markets reacted positively to the election results and falling oil prices to post strong returns in the fourth quarter of 2004. The S&P 500 Index returned 10.88%, the Russell 1000 Growth Index returned 5.23%, 13.70% for the Russell 1000 Value Index and 18.44% for the Russell 2000 Index. For the full year, smaller capitalization stocks outperformed larger capitalization stocks for the fifth consecutive year with the Russell 2000 Index up 18.44% while the S&P 500 Index posted a return of 10.88%. Over the past five years the Russell 2000 Index has posted a cumulative return of 37.7% far outpacing the -11% cumulative return posted by the S&P 500 Index. This is the largest and longest sustained capitalization bias in the 25-year history of the Russell Indices. The market continued its value bias with the Russell 1000 Value Index posting a 13.70% return for the year while the Russell 1000 Growth Index returned 5.23%. Over the past five years the Russell 1000 Value Index has posted a cumulative return of 29.3% while the Russell 1000 Growth Index has lost 38.6%. This is the largest and longest sustained style bias in the 25-year history of the Russell Indices. The combination of the unprecedented value bias and smaller capitalization bias has made the past five years the most difficult period ever for the large capitalization growth investment style. The premium for growth stocks relative to the broad market is as low as it has been in the past 25 years. We believe that large capitalization growth stocks are poised to outperform the overall market against a backdrop of strong economic growth which we expect to exceed consensus estimates. For 2004, the Fund's Class A shares returned 6.31% exceeding the 5.23% return for the Russell 1000 Growth Index, but lagging the 10.88% return posted by the S&P 500 Index. The Fund lost the most ground relative to the S&P 500 Index in the healthcare sector due to both subpar stock selection (-3.2% versus +1.7% for the Index) and overweighting (about 18% versus about 13% in the Index) this underperforming sector. A small position in Forest Laboratories (-27.4%) detracted the most from the Fund's return in the healthcare sector. The Fund lost some ground relative to the Index in the consumer discretionary sector due to relatively weak stock selection (+10.5% versus +13.3% for the Index). A small position in Amazon (-18.2%) most negatively impacted the Fund's return in the consumer discretionary sector. The Fund slightly trailed the Index return in the financials sector due to subpar stock selection (+8.9% versus +10.9% for the Index). A large position in American International Group (-0.5%) detracted the most from the Fund's return in the financials sector. The Fund outpaced the Index in the information technology sector due to strong stock selection (+7.1% versus +2.8% for the Index). A large position in Yahoo (+67.4%) made a large contribution to the Fund's overall return. In our view, investors are underestimating the outlook for the U.S. economy and corporate profitability, providing us with an unusual opportunity to buy superior growth companies at little valuation premium. On a macro-economic level, fears that the recovery has peaked are belied by significant improvements in most key sentiment indicators-both those that track attitudes among business leaders, and those that measure confidence at the grass-roots level. Despite a seemingly brightened outlook, signs of investor pessimism remain evident in equity valuations. It's no secret that valuations at the broad market level have compressed markedly over the past several years. Perhaps less obvious, given an environment that once again seems conducive to further economic and earnings expansion, the premium for growth stocks relative to the broad market is as low as it has been in the past 25 years. In our view, this degree of the wariness for prospects for growth stocks going forward seems unwarranted. Even within growth, the fastest growing companies are selling at valuations not very different from their less enticing counterparts. This becomes evident in the metrics for our portfolios. A representative account offers consensus growth expectations more than 50% higher than the Russell 1000 Growth Index for 2004 and 40% higher for 2005. Yet this portfolio sells for only 10% more than the Index on a price-to-2005 estimated earnings basis-and nearly on a par with the Index on price-to-book. For the last several quarters, this anomalous situation has afforded us the opportunity, at little or no premium, to trade up to companies that our research indicates are poised to become tomorrow's growth leaders. Technology and related segments remain a key focus, given pent-up demand on the business side and the consumer's continuing fascination with the latest technological advances. Some of the leading-edge tech names we've been buying include trendsetter Apple and the dominant company in gaming software, Electronic Arts. We also see opportunities in the ongoing need for energy, but expect less price sensitivity on the service side than on the supply side. As a result, we've focused additions to our energy holdings in drillers and oil-field service providers such as Nabors Industries and Baker Hughes. The kinds of investments we have been emphasizing of late may seem more "risky" than those of the past several years, since-to some extent-they're predicated on market expansion at a time when some investors remain skeptical. And certain measures bear out this notion of increased risk. For example, our portfolio predicted beta-a gauge of its volatility relative to that of the market-is the highest that it has been in recent years. But while our stocks do have tremendous opportunity to benefit from rapidly growing markets, they also have fundamental strengths that should enable them to outperform their peers even if market growth falls short of our expectations. When you put it all together, given today's attractive combination of growth potential and valuation for growth stocks, this seems like a risk worth taking. AVERAGE ANNUAL TOTAL RETURN 1 year 6.31% 5 year -8.48% Since inception 1.30% (Inception date March 2, 1998). date JNL/Alliance Capital Growth Fund (Class A) S&P 500 Index 3/2/1998 10,000.00 10,000.00 3/31/1998 10,410.00 10,550.84 4/30/1998 10,680.00 10,646.86 5/31/1998 10,540.00 10,446.70 6/30/1998 11,280.00 10,858.30 7/31/1998 11,530.00 10,742.97 8/31/1998 9,360.00 9,191.22 9/30/1998 10,060.00 9,780.05 10/31/1998 11,050.00 10,574.83 11/30/1998 11,770.00 11,215.52 12/31/1998 13,280.00 11,861.40 1/31/1999 14,670.00 12,357.41 2/28/1999 13,930.00 11,973.49 3/31/1999 14,650.00 12,452.54 4/30/1999 14,480.00 12,934.77 5/31/1999 14,030.00 12,629.33 6/30/1999 15,280.00 13,330.23 7/31/1999 14,880.00 12,914.00 8/31/1999 14,690.00 12,850.14 9/30/1999 14,470.00 12,497.84 10/31/1999 15,600.00 13,288.73 11/30/1999 15,900.00 13,558.87 12/31/1999 17,029.43 14,357.42 1/31/2000 16,169.77 13,636.08 2/29/2000 16,046.96 13,377.93 3/31/2000 17,919.79 14,686.71 4/30/2000 17,285.28 14,244.86 5/31/2000 16,875.92 13,952.58 6/30/2000 17,387.62 14,296.54 7/31/2000 17,254.57 14,073.02 8/31/2000 18,165.40 14,947.15 9/30/2000 16,353.98 14,158.01 10/31/2000 15,924.15 14,098.17 11/30/2000 14,194.60 12,986.68 12/31/2000 14,033.34 13,050.22 1/31/2001 15,193.29 13,513.23 2/28/2001 12,894.10 12,281.06 3/31/2001 11,889.50 11,503.04 4/30/2001 13,298.02 12,396.94 5/31/2001 13,235.88 12,480.01 6/30/2001 12,583.40 12,176.26 7/31/2001 12,293.41 12,056.37 8/31/2001 11,257.74 11,301.64 9/30/2001 10,325.64 10,389.01 10/31/2001 10,781.34 10,587.11 11/30/2001 11,858.43 11,399.23 12/31/2001 11,988.76 11,499.27 1/31/2002 11,367.05 11,338.28 2/28/2002 10,838.59 11,119.63 3/31/2002 11,304.88 11,537.83 4/30/2002 10,393.03 10,838.31 5/31/2002 10,185.79 10,758.47 6/30/2002 9,460.45 9,992.16 7/31/2002 8,755.84 9,213.18 8/31/2002 8,931.99 9,273.63 9/30/2002 8,061.59 8,265.76 10/31/2002 8,745.48 8,993.31 11/30/2002 8,963.08 9,522.64 12/31/2002 8,268.83 8,958.11 1/31/2003 7,999.42 8,723.43 2/28/2003 7,875.07 8,592.54 3/31/2003 8,144.48 8,675.98 4/30/2003 8,890.54 9,390.65 5/31/2003 9,170.32 9,885.42 6/30/2003 9,139.23 10,011.48 7/31/2003 9,481.18 10,188.02 8/31/2003 9,636.60 10,386.68 9/30/2003 9,450.09 10,276.44 10/31/2003 9,988.91 10,857.69 11/30/2003 9,957.82 10,953.21 12/31/2003 10,279.04 11,527.74 1/31/2004 10,455.20 11,739.32 2/29/2004 10,444.84 11,902.44 3/31/2004 10,465.56 11,722.88 4/30/2004 10,102.89 11,538.82 5/31/2004 10,413.75 11,697.18 6/30/2004 10,610.63 11,924.71 7/31/2004 9,885.29 11,529.46 8/31/2004 9,740.22 11,576.13 9/30/2004 10,030.36 11,701.44 10/31/2004 10,123.62 11,880.24 11/30/2004 10,610.63 12,360.88 12/31/2004 10,927.50 12,781.59 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/EAGLE CORE EQUITY FUND [INSERT LOGO] EAGLE ASSET MANAGEMENT, INC. TEAM MANAGEMENT OBJECTIVE: The Eagle/JNL Core Equity Fund is invested in a diversified portfolio of common stocks and its primary objective is long-term capital appreciation with current income being a secondary objective. The Fund consists of three separately managed constituent portfolios (all managed by different investment teams at Eagle Asset Management, Inc.): (i) the Growth Equity portfolio (40% of Funds' assets); (ii) the Value Equity portfolio (40% of Funds' assets); and (iii) Equity Income portfolio (20% of Funds' assets). The Fund is designed to be a core large cap equity holding around which investors can build a diversified equity portfolio. MONEY MANAGER COMMENTARY: After marking time for about 10 months, stock prices came to life at the end of October through December. The S&P 500 Index reached a three-year high, closing out 2004 with gains for the second consecutive year: the first time that has occurred since 1999. Finally, during the last week of October, a larger-than-expected petroleum inventory report sparked a stock rally as crude prices finally reversed course. Stocks continued to move higher, propelled by election results that were not only free of terrorist incidents and litigation delays, but also raised hopes for further tax relief and steps toward privatizing Social Security. In raising its target federal funds rate (for the fifth time) by a quarter-point to 2.25% in December, the Federal Reserve said its accommodation can be removed at a "measured pace," the economy is growing at a "moderate pace" despite high energy prices and inflation remains "well-contained." Other encouraging news during December included a 0.2% increase in November leading indicators, the first increase in six months; an upward revision in third-quarter real GDP growth to 4.0% (compared to 3.3% in the second quarter and 4.5% in the first); the Conference Board's consumer-confidence index jumped to 102 in December from 92.6 in November, its highest level since July; and four-week average jobless claims declined by 6,000 to a five-week low. The Fund's Class A shares was up 6.32% for 2004 while the benchmark S&P 500 Index was up 10.88%. Top contributors for the Fund for the year included consumer staples and healthcare, while technology, consumer cyclicals and basic materials hurt performance. Stock selection benefited consumer staples and healthcare, but hindered consumer cyclicals and technology. The Fund's underweighting in basic materials negatively impacted performance. Below is a brief overview of the contributions made by each of the three constituent portfolios in 2004: Most of the Fund's overall relative underperformance was attributable to the Growth Equity portfolio. Underperformance within the Growth Equity portfolio was attributable primarily to an overweighting in poor performing semiconductor and media stocks. Fairchild Semiconductor, Lam Research and Intel were particular poor performing semiconductor holdings, as the semiconductor industry saw strong year-over-year revenue growth but lagging stock prices. Any evidence of an inventory reduction or improving demand would likely be a positive catalyst for the industry. In other areas of technology, Dell and Microsoft were positive contributors to relative performance. In the consumer discretionary sector, positive contributions from eBay and Harrah's Entertainment did not overcome losses in media companies such as Viacom and Clear Channel Communications. During the year advertising dollars continued to migrate from traditional media companies (i.e. cable, newspapers, radio and television) to non-traditional media companies which were better leveraging the Internet, so we strategically shifted assets out of traditional into non-traditional media names. On the positive side, strength in Caremark Rx and Genzyme aided the solid performance of our healthcare holdings as both companies have improved growth prospects due to a strong base business bolstered by what we view as smart acquisitions. The Value Equity portfolio's relative outperformance for the year provides tangible evidence of the benefits of a process that combines in-depth, fundamental research with a relative-valuation discipline that provides a working framework for identifying value disparities. For example, although Veritas Software was down 22.9% for the full year, it was the best Value Equity portfolio performer in the fourth quarter (up 60%) and for the period we owned it (up 68%) through December. Dell also contributed to the technology sector's outperformance. Other sector outperformers included industrials (Tyco and Emerson Electric), consumer discretionary (McDonalds and Newell Rubbermaid), healthcare (Wyeth and HCA) and consumer staples (Altria Group and CVS). On the other hand, our normal underweighting in utilities slightly penalized performance while underweight holdings in finance, energy and materials didn't hurt performance. We will reduce a somewhat-above-normal cash position as investment opportunities arise. Top-performing sectors in the Equity Income portfolio included energy and financials. The strengthening global economy has increased demand for oil and natural gas, inflating prices for commodities. Exxon, BP and Halliburton benefited from these higher prices. Although energy commodity prices have moderated somewhat, we believe we are witnessing a new paradigm in energy demand, and prices will likely remain at higher levels. REITs had a particularly strong year, rebounding from their brief but violent second-quarter swoon. Our top performers in the group were Boston Properties, Health Care Property Investors and Vornado. In mid-September we trimmed our REIT exposure based on the concern that some of the stocks had moved a bit ahead of the companies' near-term earnings prospects. Our most significant laggards were Pfizer and Marsh & McLennan. Pfizer shares traded down due to fears that the company's arthritis drugs, Celebrex, and its next generation formulation, Bextra, might face similar fates to that of Merck's Vioxx. We continue to hold Pfizer because of its strong pipeline of new products and its 3% dividend yield, but sold Marsh & McLennan after Eliot Spitzer, New York's attorney general, alleged fraud at the company. At the start of 2005, the road ahead looks quite similar to where we were a year ago. We expect corporate profits to expand again this year, though at a slower pace than they did in 2004. Once again, year-to-year comparisons get tougher as time goes by. Interest rates are likely to trend higher in 2005; we said that last year, and we (along with most observers) were pleasantly surprised that long-term interest rates barely moved even though short-term rates almost doubled. On the political front, the election campaign was last year's business; this year's focus will be on the Bush administration's second-term policy initiatives. Rock-throwing over Social Security reform is already in progress. Rancorous debates over tax policy and other issues will follow. There is a heightened sense of caution in corporate America, which we find encouraging. In the short term, restraint with regard to capital investment and staffing acts as a brake on economic growth. The positive side of this phenomenon, though, ought to be a prolonged expansion phase, perhaps with fewer recessionary bumps along the way. There are indications that managements in some sectors are shedding their defensive armor; we think this is responsible in part for the recent pickup in merger-and-acquisition activity, for example. As confidence spreads, we believe the pace of economic activity ought to pick up. And, in the meantime, companies in many sectors are accumulating surplus cash and/or paying off debt. That's a plus for the system as a whole; it also is providing the wherewithal for many companies to materially increase their dividend payouts. AVERAGE ANNUAL TOTAL RETURN 1 year 6.32% 5 year -0.99% Since inception 8.25% (Inception date September 16, 1996). date JNL/Eagle Core Equity Fund (Class A) S&P 500 Index 9/16/1996 10,000.00 10,000.00 9/30/1996 10,060.00 10,054.00 10/31/1996 10,250.00 10,332.00 11/30/1996 10,810.00 11,112.00 12/31/1996 10,647.07 10,892.00 1/31/1997 11,158.37 11,571.66 2/28/1997 11,288.70 11,661.92 3/31/1997 10,807.48 11,183.78 4/30/1997 11,328.80 11,850.33 5/31/1997 12,040.61 12,570.83 6/30/1997 12,642.14 13,134.01 7/31/1997 13,634.67 14,178.16 8/31/1997 13,083.26 13,384.18 9/30/1997 13,694.82 14,117.64 10/31/1997 13,424.13 13,646.11 11/30/1997 13,795.07 14,277.92 12/31/1997 14,091.34 14,522.99 1/31/1998 14,122.09 14,683.47 2/28/1998 15,064.93 15,741.94 3/31/1998 15,628.58 16,609.84 4/30/1998 15,536.35 16,760.99 5/31/1998 15,259.64 16,445.88 6/30/1998 15,577.34 17,093.85 7/31/1998 15,290.39 16,912.30 8/31/1998 13,158.75 14,469.43 9/30/1998 13,865.88 15,396.40 10/31/1998 14,839.47 16,647.65 11/30/1998 15,495.35 17,656.21 12/31/1998 16,421.70 18,673.00 1/31/1999 16,659.09 19,453.85 2/28/1999 16,246.23 18,849.46 3/31/1999 17,020.35 19,603.61 4/30/1999 17,773.83 20,362.77 5/31/1999 17,402.25 19,881.93 6/30/1999 18,393.13 20,985.34 7/31/1999 17,949.30 20,330.07 8/31/1999 17,908.01 20,229.54 9/30/1999 17,226.78 19,674.92 10/31/1999 18,331.20 20,919.99 11/30/1999 19,187.89 21,345.27 12/31/1999 20,288.39 22,602.40 1/31/2000 19,673.26 21,466.81 2/29/2000 19,695.23 21,060.43 3/31/2000 21,518.66 23,120.79 4/30/2000 20,804.66 22,425.20 5/31/2000 20,354.30 21,965.08 6/30/2000 21,024.35 22,506.56 7/31/2000 21,035.34 22,154.67 8/31/2000 22,683.01 23,530.79 9/30/2000 21,738.35 22,288.48 10/31/2000 21,364.87 22,194.27 11/30/2000 19,596.37 20,444.49 12/31/2000 20,344.67 20,544.53 1/31/2001 21,085.16 21,273.43 2/28/2001 19,453.57 19,333.65 3/31/2001 18,211.05 18,108.85 4/30/2001 19,754.79 19,516.08 5/31/2001 19,880.29 19,646.86 6/30/2001 19,403.37 19,168.68 7/31/2001 19,240.21 18,979.94 8/31/2001 18,035.34 17,791.80 9/30/2001 16,290.80 16,355.07 10/31/2001 16,893.23 16,666.93 11/30/2001 18,098.09 17,945.42 12/31/2001 18,345.35 18,102.91 1/31/2002 18,130.71 17,849.47 2/28/2002 18,004.45 17,505.26 3/31/2002 18,787.25 18,163.61 4/30/2002 17,764.56 17,062.39 5/31/2002 17,562.54 16,936.69 6/30/2002 16,451.47 15,730.33 7/31/2002 15,113.13 14,504.00 8/31/2002 15,340.40 14,599.17 9/30/2002 13,711.66 13,012.51 10/31/2002 14,620.72 14,157.86 11/30/2002 15,491.91 14,991.17 12/31/2002 14,578.72 14,102.44 1/31/2003 14,260.41 13,733.00 2/28/2003 14,018.49 13,526.95 3/31/2003 14,094.89 13,658.30 4/30/2003 15,202.62 14,783.39 5/31/2003 15,890.17 15,562.28 6/30/2003 16,081.16 15,760.73 7/31/2003 16,323.08 16,038.66 8/31/2003 16,577.73 16,351.39 9/30/2003 16,323.08 16,177.86 10/31/2003 17,099.76 17,092.89 11/30/2003 17,328.95 17,243.27 12/31/2003 18,156.21 18,147.74 1/31/2004 18,399.65 18,480.82 2/29/2004 18,553.41 18,737.61 3/31/2004 18,361.22 18,454.94 4/30/2004 17,784.62 18,165.17 5/31/2004 17,938.38 18,414.47 6/30/2004 18,156.21 18,772.67 7/31/2004 17,259.29 18,150.43 8/31/2004 17,182.41 18,223.91 9/30/2004 17,323.35 18,421.18 10/31/2004 17,823.06 18,702.65 11/30/2004 18,553.41 19,459.31 12/31/2004 19,304.47 20,121.63 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/EAGLE SMALLCAP EQUITY FUND [INSERT LOGO] EAGLE ASSET MANAGEMENT, INC. BERT L. BOKSEN OBJECTIVE: The JNL/Eagle SmallCap Equity Fund is designed to capture the significant long-term capital appreciation potential of dynamic small companies whose market capitalization at time of purchase is generally between $100 million and $1.25 billion. Using extensive fundamental research, Eagle attempts to locate those small, rapidly growing, under-researched growth companies that it believes will enable the Fund to outperform the Russell 2000 Index. MONEY MANAGER COMMENTARY: The Russell 2000 Growth Index finished 2004 up 13.82%, outperforming the S&P 500 Index which was up 10.88%, but trailing the Russell 2000 Value Index which was up 22.3%. 2004 marked the sixth straight year that small-cap stocks outperformed large caps. We believe valuations are now in-line between small cap and large cap stocks. Many experts are predicting that the small cap run is over and large caps will begin to outperform. However, we still think small caps have room to grow because they can demand premium multiples due to higher growth rates. Small-cap value stocks have outperformed small-cap growth stocks four out of the last five years. Growth stocks appear cheap relative to value when you compare their historical price-to-earnings, price-to-book, price-to-sales and PE-to-growth metrics. Value stocks historically have been susceptible as interest rates increase because they are typically more interest-rate sensitive. The Fund's Class A shares returned 18.80%, outperforming both the Russell 2000 Index which was up 18.44% and the Russell 2000 Growth Index which was up 13.82%. Top-contributing Fund sectors for the year included consumer discretionary and healthcare. Top-performing stocks in the consumer sector were Genesco and Lions Gate Entertainment. Lions Gate maintains a unique position as the only truly independent content player within the entertainment space, and is strategically well positioned, especially given a widening array of video distribution outlets. We believe Genesco has achieved better results due to its focus on higher-growth segments. The top-performing healthcare stock was American Medical Systems, which maintains high gross profit margins and a strong balance sheet. The technology sector was the Fund's biggest laggard for the year. Semiconductor stocks ASE Test and Integrated Silicon Solutions in particular suffered from fears of capacity constraints, and that the typical summer slowdown would have a negative effect on revenues. We are overweight in the healthcare sector as attractive valuations and improving fundamentals are evident in many smaller healthcare companies. We are also overweight in the consumer discretionary area with a particular emphasis on gaming stocks, which we believe will continue to play well in an environment where states across the country continue to resort to gambling as a way to generate revenue and close budget gaps. We also continue to overweight the energy sector as we believe continued strength in the global economy, and China and India in particular, will keep a relatively high floor on the price of oil and gas. Conversely, we continue to underweight financial services which we believe is prudent in a rising interest rate environment. We continue to anticipate a positive, but choppy, market environment for the next six to 12 months. We remain optimistic but recognize geopolitical changes, terrorism or a more-rapid-than-anticipated rise in interest rates could cause the market to perform below our expectations. Small-cap cycles usually end with growth topping value, further suggesting that small-cap growth stocks may have some premium performance left in them. We believe small caps should perform in-line with large caps for 2005. AVERAGE ANNUAL TOTAL RETURN 1 year 18.80% 5 year 4.33% Since inception 9.96% (Inception date September 16, 1996).
date JNL/Eagle SmallCap Equity Fund (Class A) Russell 2000 Index Russell 2000 Growth Index 09/16/1996 10,000.00 10,000 10,000.00 09/30/1996 10,360.00 10,120 10,271.00 10/31/1996 10,420.00 9,964 9,828.32 11/30/1996 11,110.00 10,372 10,101.55 12/31/1996 11,540.00 10,639 10,298.53 01/31/1997 11,810.00 10,850 10,555.99 02/28/1997 11,550.00 10,587 9,918.41 03/31/1997 11,340.00 10,091 9,218.17 04/30/1997 11,460.00 10,116 9,111.24 05/31/1997 12,740.00 11,244 10,480.66 06/30/1997 13,490.00 11,722 10,835.95 07/31/1997 14,410.00 12,269 11,390.75 08/31/1997 14,720.00 12,546 11,732.48 09/30/1997 16,120.00 13,462 12,668.73 10/31/1997 14,980.00 12,864 11,907.34 11/30/1997 14,590.00 12,781 11,623.94 12/31/1997 14,730.00 13,004 11,630.92 01/31/1998 14,860.00 12,806 11,476.22 02/28/1998 15,830.00 13,767 12,489.58 03/31/1998 17,140.00 14,346 13,012.89 04/30/1998 17,480.00 14,274 13,092.27 05/31/1998 16,450.00 13,498 12,140.46 06/30/1998 15,970.00 13,520 12,264.29 07/31/1998 14,350.00 12,416 11,240.22 08/31/1998 11,300.00 10,009 8,645.98 09/30/1998 12,150.00 10,784 9,522.68 10/31/1998 12,930.00 11,226 10,019.77 11/30/1998 14,330.00 11,819 10,797.30 12/31/1998 14,904.22 12,557 11,774.46 01/31/1999 15,879.73 12,720 12,304.31 02/28/1999 13,717.52 11,694 11,178.46 03/31/1999 13,134.22 11,874 11,576.42 04/30/1999 14,260.58 12,937 12,598.61 05/31/1999 16,161.33 13,128 12,618.77 06/30/1999 16,996.04 13,717 13,283.78 07/31/1999 16,553.54 13,339 12,873.31 08/31/1999 15,316.55 12,848 12,391.85 09/30/1999 14,984.68 12,848 12,631.01 10/31/1999 14,753.37 12,903 12,954.37 11/30/1999 15,930.02 13,688 14,323.64 12/31/1999 17,775.67 15,238 16,848.90 01/31/2000 16,581.55 14,990 16,692.21 02/29/2000 20,352.46 17,468 20,576.48 03/31/2000 18,875.52 16,319 18,413.89 04/30/2000 17,031.96 15,336 16,553.19 05/31/2000 16,277.78 14,441 15,099.21 06/30/2000 18,299.41 15,703 17,045.57 07/31/2000 17,545.22 15,212 15,587.93 08/31/2000 19,210.71 16,366 17,220.93 09/30/2000 17,765.19 15,882 16,360.79 10/31/2000 16,696.77 15,174 15,031.43 11/30/2000 14,842.73 13,616 12,298.81 12/31/2000 15,421.29 14,793 13,047.31 01/31/2001 17,332.66 15,563 14,101.47 02/28/2001 15,899.13 14,542 12,164.45 03/31/2001 15,214.94 13,831 11,056.71 04/30/2001 16,322.67 14,913 12,407.99 05/31/2001 16,865.67 15,279 12,689.69 06/30/2001 17,006.85 15,800 13,027.41 07/31/2001 16,561.59 14,966 11,919.26 08/31/2001 16,040.31 14,483 11,169.94 09/30/2001 13,727.12 12,532 12,242.05 10/31/2001 14,585.06 13,266 13,417.05 11/30/2001 15,844.83 14,294 14,533.68 12/31/2001 17,116.94 15,177 15,431.13 01/31/2002 17,612.29 15,020 14,879.18 02/28/2002 16,896.79 14,609 13,910.62 03/31/2002 18,514.92 15,784 15,114.83 04/30/2002 18,217.71 15,928 14,784.19 05/31/2002 16,984.85 15,221 13,914.88 06/30/2002 15,586.87 14,465 12,729.79 07/31/2002 13,231.23 12,280 10,763.48 08/31/2002 12,967.05 12,248 10,751.28 09/30/2002 11,833.26 11,368 9,965.28 10/31/2002 12,471.70 11,733 10,463.10 11/30/2002 13,484.41 12,780 11,493.76 12/31/2002 13,220.22 12,069 10,693.96 1/31/2003 12,460.69 11,737 10,397.29 2/28/2003 11,954.34 11,382 10,113.36 3/31/2003 12,493.72 11,529 10,255.60 4/30/2003 13,825.65 12,621 11,220.44 5/31/2003 14,761.30 13,975 12,477.19 6/30/2003 15,157.58 14,229 12,706.99 7/31/2003 16,324.39 15,119 13,663.88 8/31/2003 17,458.18 15,813 14,392.03 9/30/2003 16,830.74 15,521 14,021.06 10/31/2003 17,854.46 16,824 15,227.91 11/30/2003 18,580.96 17,421 15,718.83 12/31/2003 18,503.91 17,777 15,779.86 1/31/2004 19,692.74 18,550 16,605.13 2/29/2004 19,736.77 18,717 16,573.82 3/31/2004 19,802.82 18,891 16,642.81 4/30/2004 19,120.34 17,928 15,803.22 5/31/2004 19,395.53 18,216 16,111.03 6/30/2004 19,934.91 18,985 16,639.63 7/31/2004 18,713.06 17,707 15,142.48 8/31/2004 18,195.70 17,616 14,810.79 9/30/2004 19,197.39 18,443 15,622.79 10/31/2004 19,758.79 18,810 15,998.53 11/30/2004 20,892.58 20,447 17,346.02 12/31/2004 21,982.34 21,054 17,960.59
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/FMR BALANCED FUND (FORMERLY JNL/JANUS BALANCED FUND)* [INSERT LOGO] FIDELITY MANAGEMENT & RESEARCH COMPANY LAWRENCE RAKERS OBJECTIVE: JNL/FMR Balanced Fund seeks as its investment objective income and capital growth consistent with reasonable risk. MONEY MANAGER COMMENTARY: MARKET REVIEW In the fourth quarter of 2004, signs of a continued favorable underlying operating environment for most companies helped to dispel investor concerns about the sustainability of economic and corporate earnings improvements as well as a host of other factors that had hampered stocks earlier in the year. Moreover, a pullback in energy prices contributed to a broad equity market rally during the last three months of the year, led by companies in the technology-heavy Nasdaq Composite Index, which rebounded from negative territory. Small- and mid-cap growth stocks outpaced their value counterparts during this time. In the large-cap tier, however, value stocks modestly bested growth. Meanwhile, fixed-income securities posted modest gains. FUND PERFORMANCE DISCUSSION Effective May 1, 2004, the Fund changed its benchmark from the S&P 500 Index and the Lehman Brothers Government/Corporate Index to the Fidelity Balanced Hybrid Composite Index to better measure the performance of the Fund with its stated investment objective. From May 6, 2004, to December 31, 2004, the Fund returned 10.65%, outperforming it's benchmark the Fidelity Balanced Hybrid Composite Index which returned 9.98%. For the full year, the Fund returned 9.42% vs. 10.88% for the S&P 500 Index and 7.56% for the Lehman Brothers Government/Corporate Index. Good stock selection was the primary driver of relative performance, while sector selection hurt. Astute stock selection within the materials and health care sectors added the most to the Fund's return versus the Index. Additionally, good stock selection within the energy and more defensive utilities sector contributed to overall Fund outperformance. On the downside, security selection and market selection in the information technology and financials sectors detracted from relative performance. Poor stock selection within the consumer discretionary sector also hurt relative performance. During the fourth quarter of 2004, the Fund outperformed the Fidelity Balanced Hybrid Composite Index. Compared with the composite index, good stock selection in nearly all sectors was the primary driver of performance, and asset allocation was a plus. Within the equity sub-portfolio, stock selection in the information technology and industrials sectors added the most to the fund's relative return. Outperformance within the information technology sector was mainly due to an overweighting and above-average gains in some outperforming semiconductor companies. Within the industrials sector, certain smaller-cap airline stocks were lifted, in part, by easing crude oil prices. Performance also was helped by late-cycle engineering and construction companies, which were expected to see growth in the next few years from capacity building projects in such key end markets as metals, mining and chemicals. Additionally, astute stock selection within the more defensive utilities sector and an overweighed position in the health care sector contributed to overall Fund outperformance, as key health care equipment and services-related holdings were positive performers. Conversely, the Fund's holdings in the energy sector detracted marginally from relative performance. OUTLOOK The Fund will continue to invest in accordance with the investment guidelines described in the prospectus. AVERAGE ANNUAL TOTAL RETURN 1 year 9.42% Since inception 1.83% (Inception date May 1, 2000). *Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC
Fidelity Bond Lehman Brothers date JNL/FMR Balanced Fund (Class A) Hybrid Composite Index S&P 500 Index Government/Corporate Index 05/01/2000 10,000.00 10,000.00 10,000.00 10,000.00 05/31/2000 9,640.00 9,948.00 9,689.28 10,016.00 06/30/2000 9,980.00 9,981.82 9,928.14 10,220.33 07/31/2000 9,900.00 10,011.77 9,772.91 10,328.66 08/31/2000 10,250.00 10,458.29 10,379.95 10,474.30 09/30/2000 9,980.00 10,345.34 9,831.94 10,514.10 10/31/2000 9,890.00 10,412.59 9,790.38 10,580.34 11/30/2000 9,580.00 10,097.09 9,018.52 10,761.26 12/31/2000 9,800.06 10,387.88 9,062.64 10,973.26 01/31/2001 9,891.08 10,544.74 9,384.18 10,973.26 02/28/2001 9,557.33 10,224.18 8,528.50 10,973.26 03/31/2001 9,264.04 9,932.79 7,988.21 11,324.40 04/30/2001 9,567.45 10,267.53 8,608.97 11,324.40 05/31/2001 9,557.33 10,375.34 8,666.66 11,324.40 06/30/2001 9,435.97 10,285.07 8,455.73 11,358.38 07/31/2001 9,425.86 10,326.21 8,372.47 11,358.38 08/31/2001 9,253.93 10,081.48 7,848.35 11,358.38 09/30/2001 8,920.18 9,657.05 7,214.58 11,899.03 10/31/2001 9,112.34 9,813.49 7,352.15 11,899.03 11/30/2001 9,314.61 10,116.73 7,916.12 11,899.03 12/31/2001 9,360.14 10,199.69 7,985.59 11,906.17 01/31/2002 9,287.74 10,170.11 7,873.79 11,993.09 02/28/2002 9,360.14 10,150.78 7,721.96 12,095.03 03/31/2002 9,473.91 10,336.54 8,012.37 11,849.50 04/30/2002 9,349.80 10,186.66 7,526.60 12,079.38 05/31/2002 9,360.14 10,179.53 7,471.15 12,190.51 06/30/2002 9,070.55 9,850.73 6,938.99 12,294.13 07/31/2002 8,801.64 9,422.23 6,398.04 12,441.66 08/31/2002 8,874.04 9,536.24 6,440.01 12,720.35 09/30/2002 8,563.76 9,027.96 5,740.11 12,993.84 10/31/2002 8,780.95 9,392.68 6,245.34 12,869.10 11/30/2002 8,894.72 9,706.40 6,612.93 12,876.82 12/31/2002 8,744.90 9,516.15 6,220.90 13,218.06 1/31/2003 8,628.44 9,364.85 6,057.93 13,218.06 2/28/2003 8,596.68 9,306.79 5,967.04 13,453.34 3/31/2003 8,670.79 9,327.26 6,024.98 13,435.85 4/30/2003 9,009.57 9,820.67 6,521.28 13,579.61 5/31/2003 9,274.25 10,309.74 6,864.86 13,965.27 6/30/2003 9,274.25 10,365.41 6,952.41 13,909.41 7/31/2003 9,168.38 10,308.41 7,075.00 13,326.61 8/31/2003 9,316.60 10,454.78 7,212.96 13,414.56 9/30/2003 9,316.60 10,515.42 7,136.41 13,839.81 10/31/2003 9,570.68 10,840.35 7,540.05 13,664.04 11/30/2003 9,697.73 10,941.16 7,606.39 13,700.93 12/31/2003 9,945.96 11,326.29 8,005.37 13,836.57 1/31/2004 10,010.33 11,499.59 8,152.30 13,962.49 2/29/2004 10,117.63 11,676.68 8,265.57 14,132.83 3/31/2004 10,117.63 11,654.49 8,140.88 14,262.85 4/30/2004 9,903.04 11,338.66 8,013.06 13,824.98 5/31/2004 9,978.15 11,407.82 8,123.03 13,754.47 6/30/2004 10,192.73 11,582.36 8,281.04 13,811.10 7/31/2004 9,860.13 11,436.42 8,006.56 13,957.00 8/31/2004 9,892.31 11,593.10 8,038.97 14,252.34 9/30/2004 10,096.17 11,719.47 8,125.99 14,302.20 10/31/2004 10,224.92 11,872.99 8,250.15 14,426.63 11/30/2004 10,578.98 12,166.26 8,583.93 14,266.49 12/31/2004 10,882.98 12,463.11 8,876.09 14,417.72
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/FMR CAPITAL GROWTH FUND (FORMERLY JNL/JANUS CAPITAL GROWTH FUND)* [INSERT LOGO] FIDELITY MANAGMENT & RESEARCH COMPANY FMR CO. INC. OBJECTIVE: JNL/FMR Capital Growth Fund is a non-diversified Fund that seeks as its investment objective long-term growth of capital by emphasizing investments in common stocks of medium-sized companies. Although the Fund expects to emphasize such securities, it may also invest in smaller or larger companies. MONEY MANAGER COMMENTARY: MARKET REVIEW In the fourth quarter of 2004, signs of a continued favorable underlying operating environment for most companies helped to dispel investor concerns about the sustainability of economic and corporate earnings improvements as well as a host of other factors that had hampered stocks earlier in the year. Moreover, a pullback in energy prices contributed to a broad equity market rally during the last three months of the year, led by companies in the technology-heavy Nasdaq Composite Index, which rebounded from negative territory. Small- and mid-cap growth stocks outpaced their value counterparts during this time. In the large-cap tier, however, value stocks modestly bested growth. Meanwhile, fixed-income securities posted modest gains. PERFORMANCE DISCUSSION From May 6, 2004 to December 31, 2004, the Fund returned 14.65%, outperforming the S&P(R) MidCap 400 Index by 190 basis points (bps). For the full year the Fund returned 18.00% vs. 19.01% for the S&P MidCap 400 Index. Compared to its benchmark, good stock selection was the primary driver of relative performance, while sector selection hurt. Stock selection added more than 400 bps to relative performance, and sector selection detracted 225 bps. Astute stock selection within the telecommunication services sector added to the Fund's return versus the Index, driven in part by top-10 holdings Citizens Communications and Nextel Communications. The consumer discretionary sector also contributed to the fund's relative performance. Top-10 holding Harman International added the most value during the period. Royal Caribbean and NTL also contributed to the Fund's relative performance. In addition, the fund's return relative to its index was helped by good stock and industry weightings within the materials and information technology sectors. On the downside, security selection in the industrials sector detracted from performance, as top-10 holding Career Education declined early in the third quarter due to litigation-related issues. For the fourth quarter of 2004, the Fund outperformed the S&P(R) MidCap 400 Index. Outperformance relative to the Index was due largely to security selection, particularly in telecommunication services and industrial stocks. Notable contributors at a security level included Top-10 holdings Career Education Corporation and Nextel Communications. Career Education appreciated after exceeding quarterly earnings expectations. Nextel Communications rose due to strong third quarter results. On the down side, security selection within the health care sector detracted slightly from relative performance. OUTLOOK The Fund will continue to invest in accordance with the investment guidelines described in the prospectus. AVERAGE ANNUAL TOTAL RETURN 1 year 18.00% 5 year -15.03% Since inception 9.53% (Inception date May 15, 1995). *Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC date JNL/FMR Capital Growth Fund (Class A) S&P MidCap 400 Index 05/15/1995 10,000.00 10,000.00 05/31/1995 10,020.00 10,009.00 06/30/1995 10,910.00 10,417.00 07/31/1995 11,560.00 10,959.00 08/31/1995 11,930.00 11,161.00 09/30/1995 12,480.00 11,432.00 10/31/1995 12,090.00 11,138.00 11/30/1995 12,580.00 11,622.00 12/31/1995 13,352.64 11,593.00 01/31/1996 13,160.51 11,761.00 02/29/1996 13,768.91 12,160.00 03/31/1996 14,793.57 12,306.00 04/30/1996 15,284.55 12,683.00 05/31/1996 15,892.95 12,854.00 06/30/1996 15,626.11 12,661.00 07/31/1996 14,110.46 11,807.00 08/31/1996 15,273.88 12,489.00 09/30/1996 16,330.56 13,034.00 10/31/1996 15,924.97 13,072.00 11/30/1996 16,074.40 13,807.00 12/31/1996 15,600.01 12,823.00 01/31/1997 15,254.78 13,303.86 02/28/1997 14,952.71 13,194.77 03/31/1997 13,819.93 12,632.67 04/30/1997 13,992.54 12,959.86 05/31/1997 15,567.65 14,092.55 06/30/1997 16,344.41 14,488.55 07/31/1997 16,441.51 15,921.47 08/31/1997 16,463.08 15,902.36 09/30/1997 17,595.86 16,816.75 10/31/1997 17,045.66 16,085.22 11/30/1997 17,326.15 16,323.28 12/31/1997 17,941.01 17,994.00 01/31/1998 17,582.19 17,651.52 02/28/1998 19,039.22 19,113.60 03/31/1998 20,039.57 20,011.93 04/30/1998 20,224.41 20,376.61 05/31/1998 19,376.29 19,440.60 06/30/1998 21,029.04 19,545.58 07/31/1998 20,496.25 18,787.52 08/31/1998 16,299.14 15,293.12 09/30/1998 17,864.90 16,720.17 10/31/1998 19,289.31 18,211.69 11/30/1998 20,768.08 19,120.52 12/31/1998 24,249.15 21,428.83 01/31/1999 26,155.86 20,592.31 02/28/1999 25,126.47 19,514.00 03/31/1999 28,495.38 20,059.26 04/30/1999 30,460.58 21,641.48 05/31/1999 30,051.16 21,735.31 06/30/1999 31,712.22 22,899.17 07/31/1999 31,267.71 22,408.51 08/31/1999 32,893.68 21,640.24 09/30/1999 34,180.42 20,972.12 10/31/1999 39,409.25 22,040.81 11/30/1999 43,702.27 23,197.56 12/31/1999 54,365.09 24,576.05 01/31/2000 55,785.91 23,883.77 02/29/2000 67,950.13 25,555.51 03/31/2000 58,041.77 27,694.33 04/30/2000 50,339.43 26,726.25 05/31/2000 46,189.14 26,394.71 06/30/2000 53,542.51 26,782.32 07/31/2000 51,199.40 27,205.48 08/31/2000 57,817.43 30,243.02 09/30/2000 52,059.37 30,035.95 10/31/2000 45,628.29 29,017.49 11/30/2000 34,386.36 26,827.13 12/31/2000 35,477.63 28,879.54 01/31/2001 37,375.79 29,523.93 02/28/2001 29,150.41 27,839.03 03/31/2001 23,862.66 25,769.37 04/30/2001 27,327.57 28,612.09 05/31/2001 27,011.20 29,278.43 06/30/2001 25,821.08 29,160.15 07/31/2001 24,389.93 28,725.75 08/31/2001 22,220.59 27,786.19 09/30/2001 18,620.11 24,329.92 10/31/2001 19,704.77 25,406.91 11/30/2001 21,000.35 27,297.36 12/31/2001 21,219.78 28,705.85 01/31/2002 19,363.24 28,547.97 02/28/2002 18,396.62 28,583.02 03/31/2002 19,393.93 30,626.34 04/30/2002 18,872.26 30,483.13 05/31/2002 18,350.59 29,969.03 06/30/2002 16,985.03 27,775.45 07/31/2002 15,343.30 25,084.45 08/31/2002 15,343.30 25,210.95 09/30/2002 14,591.48 23,179.96 10/31/2002 15,021.09 24,184.16 11/30/2002 15,742.23 25,582.97 12/31/2002 15,021.09 24,544.41 1/31/2003 14,852.31 23,827.22 2/28/2003 14,744.91 23,259.70 3/31/2003 15,021.09 23,455.87 4/30/2003 16,049.09 25,158.37 5/31/2003 17,291.90 27,243.72 6/30/2003 17,537.39 27,590.54 7/31/2003 17,997.69 28,570.00 8/31/2003 18,856.92 29,865.45 9/30/2003 18,335.24 29,408.27 10/31/2003 19,654.77 31,632.18 11/30/2003 20,007.66 32,734.41 12/31/2003 20,375.90 33,286.73 1/31/2004 20,713.46 34,007.79 2/29/2004 21,081.69 34,824.83 3/31/2004 21,250.47 34,972.35 4/30/2004 20,544.68 33,824.48 5/31/2004 20,882.23 34,526.24 6/30/2004 21,649.40 35,311.92 7/31/2004 19,930.95 33,664.58 8/31/2004 19,915.60 33,576.62 9/30/2004 20,820.86 34,571.19 10/31/2004 21,495.96 35,123.88 11/30/2004 23,091.67 37,215.61 12/31/2004 24,042.95 38,774.39 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/JPMORGAN INTERNATIONAL VALUE FUND [INSERT LOGO] JPMORGAN INVESTMENT MANAGEMENT INC. TEAM MANAGEMENT OBJECTIVE: JNL/JPMorgan International Value Fund seeks as its investment objective to provide high total return by investing in equity securities of foreign companies in developed and, to a lesser extent, developing markets. MONEY MANAGER COMMENTARY: After a dull first nine months of the year, international stocks ended 2004 on a positive note, in a quarter dominated by the weakness of the U.S. dollar. With oil drifting back from its highs, and a clear victor in the U.S. general election campaign, markets rallied into the year end. Continental Europe and Asia ex Japan were the strongest-performing markets. The dollar moderated its precipitous slide toward the end of the term, but still posted significant falls against major currencies, as investors focused on the U.S. twin deficits - budget and current account. PORTFOLIO REVIEW During the 12 months leading to December 31, 2004, the Fund's Class A shares outperformed its benchmark, returning 22.54% compared with the Index's 20.25% rise. Strong stock picking drove performance. Stock picking was particularly positive in the telecommunications, industrial cyclical and bank sectors. One area of strength was holding Japanese banks, such as Mizuho Financial, which rallied as positive results persuaded investors that bad debt problems were subsiding. From a negative perspective, stock picking detracted from performance in the basic industries, utilities, and transport and consumer cyclical sectors. Among the leading detractors was Reliance Industries, the Indian industrial group, which had contributed substantially to returns in 2003, but fell back following the country's elections and rumored disagreements among the company's management. MARKET OUTLOOK While the outlook for global growth in 2005 is not as positive as in 2004, we believe that corporate profits are likely to grow and that one can still find stocks that offer attractive valuations. Given the uncertainties surrounding the global economic outlook, however, we believe it becomes even more critical not to overpay for assets and to focus on companies that trade at reasonable valuations. AVERAGE ANNUAL TOTAL RETURN 1 year 22.54% 5 year -3.31% Since inception 2.09% (Inception date March 2, 1998).
date JNL/JPMorgan International Value Fund (Class A) MSCI All Country World (ex U.S.) Index 3/2/1998 10,000.00 10,000.00 3/31/1998 10,490.00 10,172.92 4/30/1998 10,750.00 10,230.45 5/31/1998 10,320.00 10,028.23 6/30/1998 10,230.00 9,976.11 7/31/1998 10,270.00 10,055.23 8/31/1998 8,560.00 8,621.46 9/30/1998 8,140.00 8,424.36 10/31/1998 9,200.00 9,292.85 11/30/1998 9,600.00 9,778.49 12/31/1998 9,875.81 10,099.37 1/31/1999 10,046.77 10,074.91 2/28/1999 9,745.07 9,835.63 3/31/1999 10,278.08 10,294.95 4/30/1999 10,750.75 10,794.99 5/31/1999 10,408.82 10,270.82 6/30/1999 11,022.29 10,737.95 7/31/1999 11,384.33 10,974.69 8/31/1999 11,535.18 10,998.39 9/30/1999 11,565.35 11,057.82 10/31/1999 11,927.40 11,455.15 11/30/1999 12,460.41 11,899.54 12/31/1999 13,630.84 13,020.00 1/31/2000 12,801.59 12,298.12 2/29/2000 13,247.31 12,616.88 3/31/2000 13,371.70 13,076.18 4/30/2000 12,780.86 12,331.10 5/31/2000 12,594.28 11,999.28 6/30/2000 13,216.22 12,491.85 7/31/2000 12,791.22 11,984.42 8/31/2000 13,040.00 12,118.22 9/30/2000 12,376.60 11,431.90 10/31/2000 11,785.76 11,055.79 11/30/2000 11,153.45 10,546.89 12/31/2000 11,524.73 10,893.00 1/31/2001 11,583.59 11,051.34 2/28/2001 10,677.15 10,167.69 3/31/2001 9,652.99 9,418.28 4/30/2001 10,347.54 10,033.84 5/31/2001 10,218.04 9,721.21 6/30/2001 9,923.75 9,330.13 7/31/2001 9,523.50 9,115.73 8/31/2001 9,488.18 8,871.90 9/30/2001 8,428.71 7,916.70 10/31/2001 8,675.92 8,136.17 11/30/2001 9,040.85 8,501.08 12/31/2001 9,182.28 8,607.35 1/31/2002 8,660.96 8,212.27 2/28/2002 8,613.57 8,260.78 3/31/2002 9,075.64 8,680.94 4/30/2002 9,182.28 8,679.99 5/31/2002 9,241.52 8,739.77 6/30/2002 8,566.18 8,345.48 7/31/2002 7,464.30 7,524.28 8/31/2002 7,322.13 7,505.93 9/30/2002 6,445.37 6,697.93 10/31/2002 6,706.02 7,051.80 11/30/2002 7,014.08 7,381.73 12/31/2002 6,740.64 7,137.97 1/31/2003 6,522.42 6,882.47 2/28/2003 6,292.08 6,728.46 3/31/2003 6,122.35 6,565.95 4/30/2003 6,728.52 7,165.37 5/31/2003 7,104.35 7,588.58 6/30/2003 7,371.06 7,777.42 7/31/2003 7,540.79 7,974.32 8/31/2003 7,807.51 8,190.91 9/30/2003 7,965.11 8,405.20 10/31/2003 8,547.04 8,943.15 11/30/2003 8,716.77 9,123.55 12/31/2003 9,398.67 9,814.63 1/31/2004 9,582.96 9,964.50 2/29/2004 9,853.24 10,204.06 3/31/2004 10,037.53 10,223.70 4/30/2004 9,705.81 9,869.94 5/31/2004 9,693.53 9,846.56 6/30/2004 9,914.67 10,045.37 7/31/2004 9,607.53 9,741.77 8/31/2004 9,705.81 9,792.77 9/30/2004 10,074.39 10,091.50 10/31/2004 10,320.11 10,433.96 11/30/2004 10,909.83 11,137.00 12/31/2004 11,516.75 11,606.34
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/LAZARD MID CAP VALUE FUND [INSERT LOGO] LAZARD ASSET MANAGEMENT TEAM MANAGEMENT OBJECTIVE: JNL/Lazard Mid Cap Value Fund is a non-diversified Fund that seeks as its investment objective capital appreciation by investing primarily in equity securities of U.S. companies with market capitalizations in the range of companies represented in the Russell Midcap(R) Index that the subadviser considers undervalued based on their return on equity. MONEY MANAGER COMMENTARY: The Fund's Class A shares returned 24.72% vs. 18.37% for it's benchmark the Russell Midcap Index. US stocks spent most of 2004 in a trading range as strong earnings growth was offset by concerns over rising interest rates and the sustainability of a global economic rebound. However, a rally following the US presidential election drove equities to modest gains for the year. Energy stocks were strong during the year as oil prices rose sharply while technology stocks lagged as corporate spending on IT products has yet to significantly rebound. Mid cap stocks handily outperform large caps and slightly outperformed small caps during 2004. Stock selection in consumer discretionary helped the Fund. Mandalay Resort Group's stock rose considerably after MGM- Mirage's announced takeover bid for Mandalay. This acquisition by MGM Mirage creates the largest U.S. casino-resort company. Mandalay is a company that has consistently generated strong cash flow. Stock selection in health care helped performance, as VISX Inc. rose dramatically after the announcement that Advanced Medical Optics would acquire it at a premium. Conversely, the Fund was hurt by an underweight position in utilities, as this defensive sector outperformed during the year. While the mid cap market has now outperformed the large cap market for the past few years, relative valuations are still only near average historical levels and, thus, we believe that we may continue to see mid caps perform admirably over the course of 2005. Despite the quick market rally of the third and fourth quarters of 2004, earnings growth expectations for 2005 look reasonable as the domestic economy continues to expand and absolute valuations, while not at the significant discount of the past few years, are well within historical norms. We believe that the pickup in merger and acquisition activity that was seen in 2004 should continue to be a positive backdrop for mid cap performance in 2005. AVERAGE ANNUAL TOTAL RETURN 1 year 24.72% 5 year 14.39% Since inception 9.82% (Inception date March 2, 1998). date JNL/Lazard Mid Cap Value Fund (Class A) Russell Midcap Index 03/02/1998 10,000.00 10,000.00 03/31/1998 10,420.00 10,461.08 04/30/1998 10,410.00 10,475.92 05/31/1998 9,880.00 10,137.84 06/30/1998 9,670.00 10,261.03 07/31/1998 9,000.00 9,765.60 08/31/1998 7,460.00 8,190.45 09/30/1998 7,890.00 8,695.03 10/31/1998 8,300.00 9,282.97 11/30/1998 8,790.00 9,710.71 12/31/1998 9,235.56 10,264.29 01/31/1999 9,125.25 10,239.89 02/28/1999 8,904.64 9,882.09 03/31/1999 9,024.98 10,176.87 04/30/1999 9,757.00 10,921.35 05/31/1999 9,877.33 10,876.63 06/30/1999 10,107.97 11,245.01 07/31/1999 9,726.92 10,925.63 08/31/1999 9,145.31 10,625.56 09/30/1999 8,794.34 10,236.65 10/31/1999 9,145.31 10,713.79 11/30/1999 9,355.89 11,003.90 12/31/1999 9,677.21 11,955.33 01/31/2000 8,913.48 11,551.78 02/29/2000 9,425.98 12,426.77 03/31/2000 10,330.39 13,110.66 04/30/2000 10,229.90 12,486.74 05/31/2000 10,380.64 12,133.81 06/30/2000 10,360.54 12,472.50 07/31/2000 10,340.44 12,328.77 08/31/2000 11,204.66 13,489.60 09/30/2000 11,275.00 13,277.15 10/31/2000 11,777.45 13,065.92 11/30/2000 11,425.74 11,872.36 12/31/2000 12,132.36 12,759.35 01/31/2001 12,597.00 12,954.31 02/28/2001 12,452.44 12,148.64 03/31/2001 11,998.13 11,379.57 04/30/2001 12,751.88 12,345.03 05/31/2001 13,381.73 12,553.83 06/30/2001 13,288.80 12,421.69 07/31/2001 13,040.99 12,055.55 08/31/2001 13,164.90 11,573.53 09/30/2001 11,533.48 10,162.85 10/31/2001 12,173.66 10,555.62 11/30/2001 13,092.62 11,423.49 12/31/2001 13,738.58 11,862.61 01/31/2002 13,899.26 11,782.92 02/28/2002 14,071.43 11,643.06 03/31/2002 14,473.14 12,324.92 04/30/2002 14,105.86 12,077.30 05/31/2002 13,991.08 11,923.81 06/30/2002 13,199.14 11,111.02 07/31/2002 11,948.09 10,016.47 08/31/2002 11,971.04 10,056.31 09/30/2002 11,075.80 9,115.65 10/31/2002 11,569.33 9,565.76 11/30/2002 12,372.76 10,212.65 12/31/2002 11,803.87 9,793.45 1/31/2003 11,526.94 9,588.52 2/28/2003 11,365.40 9,445.61 3/31/2003 11,400.02 9,523.47 4/30/2003 12,080.79 10,206.35 5/31/2003 12,784.64 11,122.20 6/30/2003 12,969.25 11,219.58 7/31/2003 13,500.02 11,578.40 8/31/2003 13,996.18 12,063.47 9/30/2003 13,696.18 11,895.75 10/31/2003 14,503.87 12,792.70 11/30/2003 14,757.72 13,132.82 12/31/2003 15,214.14 13,502.83 1/31/2004 15,803.75 13,885.83 2/29/2004 16,219.94 14,165.98 3/31/2004 16,335.55 14,148.29 4/30/2004 16,034.97 13,618.08 5/31/2004 16,428.04 13,935.03 6/30/2004 16,925.16 14,298.93 7/31/2004 16,300.87 13,661.79 8/31/2004 16,254.63 13,699.61 9/30/2004 16,809.55 14,124.09 10/31/2004 17,144.81 14,500.81 11/30/2004 18,208.42 15,360.55 12/31/2004 18,974.94 15,983.65 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/LAZARD SMALL CAP VALUE FUND [INSERT LOGO] LAZARD ASSET MANAGEMENT TEAM MANAGEMENT OBJECTIVE: JNL/Lazard Small Cap Value Fund is a non-diversified Fund that seeks as its investment objective capital appreciation by investing primarily in equity securities of U.S. companies with market capitalizations in the range of companies represented by the Russell 2000 Index that the subadviser believes are undervalued based on their return on equity. MONEY MANAGER COMMENTARY: U.S. stocks ended 2004 with their best quarterly performance of the year as oil prices crested, easing concerns that higher energy costs would restrain earnings and economic growth. The rally started right after the definitive outcome of the U.S. presidential election. From a sector perspective, the rally was broad based, although health care and energy stocks lagged the broad market while technology and consumer discretionary outperformed. For the year 2004, small and mid cap stocks continued to outperform larger caps. For the year the Fund's Class A shares returned 15.38% vs. 18.44% for it's benchmark the Russell 2000 Index. During the 4th quarter, the Fund underperformed the Russell 2000 Index by approximately 200 basis points. The Fund benefited from stock selection in health care and consumer staples. Conversely, stock selection in consumer discretionary, technology, and materials/processing detracted from performance. Sector attribution was not a factor in the Portfolio's underperformance. In health care, the Fund benefited from our position in Select Medical, a provider of in-hospital long-term acute care, which was acquired by a private equity firm at a substantial premium. Additionally, Inamed, a medical device manufacturer, continued to post impressive revenue and earnings gains. In consumer staples, our holding in Robert Mondavi, a maker of premium wines, agreed to be acquired at a premium by Constellation Brands. Conversely, in consumer discretionary, our holding in Gymboree (GYMB), a leading merchandiser of children's clothing, experienced ongoing difficulties in merchandising, which led to weaker-than-expected same-store sales results. Learning Tree, a provider of outsourced IT educational services, continued to experience weak enrollment for its technology-related class offerings as corporations continued to restrain their IT outlays. Finally, BearingPoint, a leading IT consultancy, experienced improvements in certain areas of its business, but continued losses in its international division overshadowed these positives. In technology, results were negatively impacted by our holdings in Zoran and Commscope. Zoran is a supplier of semiconductors used in consumer electronics, including DVD players. A slower-than-expected sales ramp of DVD players for the holiday season, as well as inventory issues with customers in China, led to disappointing third quarter 2004 results. Commscope is a manufacturer of coaxial and fiber optic cabling sold to cable and enterprise customers. Recent results were short of management's prior guidance, owing to a slowdown in customer purchasing patterns. We have sold our holdings of Zoran but continue to like the longer-term prospects for CTV. Materials/processing results were largely hurt by our focus away from the commodity producers of chemicals, metals, and precious metals. Producers of commodity goods continued to benefit from strong global demand, especially from China, and years of underinvestment in production infrastructure. We continue with our underweight position in this sector, although we have found select names, such as Chicago Bridge & Iron, that may continue to benefit from commodity-related infrastructure builds. While the small cap market has now outperformed the large cap market for the past six years, relative valuations are still only near average historical levels and, thus, we believe that we may continue to see small caps perform admirably over the course of 2005. Despite the quick market rally of the third and fourth quarters of 2004, earnings growth expectations for 2005 look reasonable as the domestic economy continues to expand and absolute valuations, while not at the significant discount of a few years past, are well within historical norms. We believe that the pickup in merger and acquisitions activity that was seen in 2004 should continue to be a positive backdrop for small cap performance in 2005. AVERAGE ANNUAL TOTAL RETURN 1 year 15.38% 5 year 12.63% Since inception 7.21% (Inception date March 2, 1998). date JNL/Lazard Small Cap Value Fund (Class A) Russell 2000 Index 03/02/1998 10,000.00 10,000.00 03/31/1998 10,350.00 10,420.44 04/30/1998 10,360.00 10,368.36 05/31/1998 9,820.00 9,804.33 06/30/1998 9,640.00 9,820.86 07/31/1998 8,860.00 9,018.90 08/31/1998 7,340.00 7,270.48 09/30/1998 7,480.00 7,833.07 10/31/1998 7,960.00 8,154.40 11/30/1998 8,370.00 8,584.94 12/31/1998 8,707.85 9,120.91 01/31/1999 8,587.74 9,239.25 02/28/1999 7,917.13 8,494.16 03/31/1999 7,937.15 8,625.14 04/30/1999 8,867.99 9,397.11 05/31/1999 9,278.36 9,535.87 06/30/1999 9,538.60 9,963.92 07/31/1999 9,418.49 9,689.32 08/31/1999 8,968.08 9,332.65 09/30/1999 8,787.92 9,332.51 10/31/1999 8,377.55 9,372.17 11/30/1999 8,537.69 9,942.75 12/31/1999 8,876.77 11,068.33 01/31/2000 8,605.65 10,888.55 02/29/2000 8,645.82 12,688.46 03/31/2000 9,348.73 11,853.46 04/30/2000 9,378.85 11,139.87 05/31/2000 9,288.48 10,489.39 06/30/2000 9,338.69 11,406.28 07/31/2000 9,398.94 11,049.36 08/31/2000 9,890.98 11,888.19 09/30/2000 9,770.48 11,536.10 10/31/2000 9,901.02 11,022.12 11/30/2000 9,499.35 9,890.06 12/31/2000 10,349.96 10,745.25 01/31/2001 10,631.86 11,304.77 02/28/2001 10,410.36 10,563.24 03/31/2001 10,007.64 10,046.86 04/30/2001 10,511.04 10,832.51 05/31/2001 11,105.06 11,097.96 06/30/2001 11,366.83 11,476.74 07/31/2001 11,266.15 10,871.12 08/31/2001 11,316.49 10,519.87 09/30/2001 10,198.93 9,102.58 10/31/2001 10,662.06 9,636.16 11/30/2001 11,397.03 10,382.62 12/31/2001 12,144.92 11,024.22 01/31/2002 12,208.84 10,910.24 02/28/2002 12,155.58 10,611.69 03/31/2002 13,071.77 11,465.31 04/30/2002 13,125.04 11,569.58 05/31/2002 12,507.14 11,056.23 06/30/2002 11,867.93 10,506.72 07/31/2002 10,152.73 8,919.71 08/31/2002 10,493.64 8,896.89 09/30/2002 9,620.06 8,257.80 10/31/2002 10,120.77 8,522.40 11/30/2002 10,664.09 9,282.78 12/31/2002 10,053.60 8,766.78 1/31/2003 9,850.39 8,525.17 2/28/2003 9,572.31 8,267.65 3/31/2003 9,572.31 8,374.07 4/30/2003 10,288.90 9,167.69 5/31/2003 11,198.00 10,151.40 6/30/2003 11,337.04 10,335.94 7/31/2003 12,096.41 10,982.20 8/31/2003 12,449.35 11,486.05 9/30/2003 12,203.36 11,274.36 10/31/2003 13,058.99 12,220.84 11/30/2003 13,572.36 12,654.49 12/31/2003 13,957.39 12,912.75 1/31/2004 14,438.68 13,474.61 2/29/2004 14,652.59 13,595.41 3/31/2004 14,556.33 13,722.09 4/30/2004 14,010.87 13,022.33 5/31/2004 14,267.56 13,231.99 6/30/2004 14,791.63 13,790.25 7/31/2004 14,053.65 12,862.04 8/31/2004 14,042.96 12,795.80 9/30/2004 14,406.60 13,396.41 10/31/2004 14,588.42 13,663.16 11/30/2004 15,711.43 14,851.93 12/31/2004 16,104.05 15,293.36 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND [INSERT LOGO] MELLON CAPITAL MANAGEMENT CORP. TEAM MANAGEMENT OBJECTIVE: JNL/Mellon Capital Management Bond Index Fund seeks as its investment objective a moderate rate of income by investing in domestic fixed income investments, matching the performance of the Lehman Brothers Aggregate Bond Index. MONEY MANAGER COMMENTARY: U.S. MARKET OVERVIEW: The U.S. bond market had another stellar year, as the Lehman Brothers Aggregate Bond Index gained 4.34%. 2004 marked the fifth straight year of gains for the broad index, and bested the 4.1% return of 2003. Bonds were able to gain despite the Federal Reserve's (the Fed) adoption of a tightening stance on interest rates. Beginning in June, the Fed raised the Fed Funds rate five times, to 2.25% from 1%. Despite rates rising at the short end of the yield curve, longer term rates finished the year lower. The 10-year note began the year with a yield of 4.4% and closed 2004 at 4.2%. The flattening of the yield curve meant that longer-maturity benchmarks outperformed shorter-maturity benchmarks. Corporate, mortgage, and agency bonds outperformed treasuries, as investors sought alternatives to continued historically low yields on Treasuries. The first quarter proved volatile for fixed-income markets, yet the Lehman Brothers Aggregate Bond Index returned 2.66%, its best quarter since the third quarter of 2002. The yield on the benchmark 10-year Treasury note went from a high of 4.38% on January 2nd to a low of 3.67% on March 16th. The Lehman Brothers Aggregate Bond Index returned -2.4% in the second quarter, bringing its 2004 return to 0.2%. The yield on the 10- year Treasury note, which moves inversely to its price, surged to 4.62% from 3.86% at the prior quarter-end. Bonds prices rallied in the third quarter even though the Fed continued to raise short-term interest rates. Concerns about economic softness kept yield lower, helped by record-high oil prices. Bonds finished the year with small gains in the fourth quarter after investors believed that inflation was under control, despite warnings from the Fed that longer-term interest rates are expected to rise. 2004 was characterized by dramatic moves in interest rates as the market sentiment shifted from one of fears of an economic slowdown with the potential for deflation to the signs of a robust economic recovery. As the year progressed, the signs of a strong recovery were tempered somewhat by moderating economic indicators and surging oil prices. The year ended with the Fed removing monetary accommodation at a measured pace having increased interest rates on the short end by 125 basis points, and rates on the long end finishing the year at about the same level that they began, after fluctuating over 100 basis points during the year. The Lehman Aggregate Bond Index returned 4.34% for 2004. Treasuries generated a better return in 2004, 3.54% vs. the 2.24% generated in 2003. Spread products had another strong year albeit generally weaker than 2003's numbers. Most spread sectors ended the year, with smartly tighter spreads and significant excess returns over treasuries. Agencies returned 78 basis points (bps) over Treasuries. Corporates returned over 150 bps in excess return to Treasuries, and mortgages had over 140 bps of excess return due to lower volatility and steady demand. FUND SPECIFIC OVERVIEW: The Fund's Class A shares return of 3.74% closely tracked the Lehman Brothers Aggregate Bond Index performance in 2004. Like the index, credit and structured product were the best performing asset classes. Lower quality corporate bonds outperformed their higher quality peers, generating higher excess returns as spreads contracted on signs of strengthening economic conditions. AVERAGE ANNUAL TOTAL RETURN 1 year 3.74% Since inception 5.09% (Inception date January 15, 2002). JNL/Mellon Capital Management Lehman Brothers date Bond Index Fund (Class A) Aggregate Bond Index 1/15/2002 10,000.00 10,000.00 1/31/2002 9,940.00 10,080.00 2/28/2002 10,040.00 10,177.78 3/31/2002 9,860.00 10,008.82 4/30/2002 10,030.00 10,203.00 5/31/2002 10,130.00 10,289.72 6/30/2002 10,230.00 10,379.24 7/31/2002 10,390.00 10,504.83 8/31/2002 10,550.00 10,682.36 9/30/2002 10,720.00 10,855.42 10/31/2002 10,670.00 10,805.48 11/30/2002 10,640.00 10,802.24 12/31/2002 10,855.18 11,025.85 1/31/2003 10,855.18 11,035.77 2/28/2003 11,000.20 11,188.06 3/31/2003 10,979.48 11,179.11 4/30/2003 11,041.63 11,271.90 5/31/2003 11,238.43 11,481.56 6/30/2003 11,207.36 11,458.59 7/31/2003 10,824.11 11,073.59 8/31/2003 10,875.90 11,146.67 9/30/2003 11,165.92 11,442.06 10/31/2003 11,041.63 11,335.65 11/30/2003 11,062.34 11,362.85 12/31/2003 11,166.40 11,478.75 1/31/2004 11,262.39 11,570.58 2/29/2004 11,369.04 11,695.55 3/31/2004 11,454.36 11,783.26 4/30/2004 11,155.74 11,476.90 5/31/2004 11,102.41 11,430.99 6/30/2004 11,155.74 11,495.60 7/31/2004 11,262.39 11,609.54 8/31/2004 11,475.69 11,830.99 9/30/2004 11,497.02 11,863.09 10/31/2004 11,582.34 11,962.74 11/30/2004 11,486.36 11,867.04 12/31/2004 11,584.16 11,976.22 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND (FORMERLY JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND)* [INSERT LOGO] MELLON CAPITAL MANAGEMENT CORP. TEAM MANAGEMENT OBJECTIVE: The JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund seeks to exceed the performance of the S&P 500 Index by tilting towards stocks having higher expected return while maintaining overall index characteristics. MONEY MANAGER COMMENTARY: U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil prices, and rising short-term interest rates, the S&P 500 Index rose 10.88% while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%) for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index reached an all-time high at year's end. Though both styles (large and small) reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index remains about 15% below its all-time high. In addition, mid-cap stocks outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks strongly outperformed growth stocks across all capitalization sectors. Equities had their ups and downs during the first quarter of the year, but finished in positive territory for the fourth quarter in a row. Evidence of economic strength, coupled with favorable earnings reports, overcame the negative sentiment brought on by terrorism and persistent worries about unemployment. U.S. stocks were largely flat during the second quarter, as strength in the overall economy was offset by higher oil prices, the prospect of rising interest rates, continued geopolitical concerns surrounding the handover of power in Iraq, and the presidential election in November. Stocks lost ground in the third quarter, as high energy prices, rising interest rates, uncertainty surrounding the upcoming presidential election, and the worst hurricane season in 40 years combined to keep investors on the defensive. Due to the soft economy and oil prices near 21-year highs, many companies warned of lower profits. Equities finished the year with solid gains, as stocks rose sharply in November and December. The fourth quarter's return of 9.2% for the S&P 500 comprised most of the market's gain for the year. FUND SPECIFIC OVERVIEW: The Fund produced strong performance throughout the year. As expected, there was a divergence in performance between the different economic sectors and portfolio characteristics of the index; however, our strategy does not take concentrated bets in any specific economic sector or any particular portfolio characteristic such as P/E or P/B. Instead, we believe that sector exposures and exposures to different factors such as P/E and P/B are systematic risks that cannot be diversified. Therefore the portfolio is constructed to be neutral on sector level risks and other factors such as P/E and P/B. For the year, our stock selection process successfully identified the most attractive stocks, contributing to the overall good performance of the Fund. The Fund's Class A shares returned 11.27% vs. 10.81% for it's benchmark the S&P 500 Index. The stocks with the largest positive contribution to return were the following: Veritas Software (+26 bps), EOG Resources Inc (+22 bps), Yahoo (+20 bps), Merck (+16 bps), Stryker Corp (+16 bps), Cisco Systems (+15bps) Pulte Homes (+12 bps). The stocks with the largest negative contribution to the Fund's return were the following: PMC-Sierra Inc (-18 bps), Qualcomm Inc (-16 bps), Texas Instruments (-15 bps), Coca Cola Co (-14 bps), Teradyne Inc (-13 bps), Applied Materials (-12 bps), Conoco phillips (-12 bps). AVERAGE ANNUAL TOTAL RETURN 1 year 11.27% 5 year -3.36% Since inception -1.84% (Inception date May 16, 1999). *Prior to 12/15/2003, the Fund was managed by JP Morgan Investment Management Inc. Prior to 02/18/2004, the Fund was managed by Curian Capital LLC. JNL/Mellon Capital Management Enhanced date S&P 500 Stock Index Fund (Class A) S&P 500 Index 05/16/1999 10,000.00 10,000.00 05/31/1999 9,770.00 9,723.48 06/30/1999 10,240.00 10,263.11 07/31/1999 9,910.00 9,942.65 08/31/1999 9,840.00 9,893.48 09/30/1999 9,570.00 9,622.24 10/31/1999 10,080.00 10,231.16 11/30/1999 10,240.00 10,439.15 12/31/1999 10,685.25 11,053.96 01/31/2000 10,119.68 10,498.59 02/29/2000 9,897.49 10,299.84 03/31/2000 10,877.14 11,307.48 04/30/2000 10,483.26 10,967.30 05/31/2000 10,240.87 10,742.27 06/30/2000 10,483.26 11,007.09 07/31/2000 10,331.77 10,834.99 08/31/2000 10,978.13 11,508.00 09/30/2000 10,271.17 10,900.43 10/31/2000 10,250.97 10,854.35 11/30/2000 9,392.52 9,998.61 12/31/2000 9,469.07 10,047.53 01/31/2001 9,864.46 10,404.01 02/28/2001 8,921.61 9,455.34 03/31/2001 8,333.59 8,856.33 04/30/2001 9,053.40 9,544.56 05/31/2001 9,154.79 9,608.52 06/30/2001 8,941.88 9,374.66 07/31/2001 8,850.64 9,282.35 08/31/2001 8,282.90 8,701.28 09/30/2001 7,502.26 7,998.63 10/31/2001 7,664.47 8,151.15 11/30/2001 8,272.76 8,776.41 12/31/2001 8,353.88 8,853.43 01/31/2002 8,160.55 8,729.48 02/28/2002 7,967.22 8,561.14 03/31/2002 8,272.48 8,883.12 04/30/2002 7,712.84 8,344.55 05/31/2002 7,641.61 8,283.08 06/30/2002 7,041.27 7,693.09 07/31/2002 6,491.81 7,093.35 08/31/2002 6,532.51 7,139.89 09/30/2002 5,789.72 6,363.92 10/31/2002 6,278.13 6,924.06 11/30/2002 6,664.79 7,331.60 12/31/2002 6,270.21 6,896.96 1/31/2003 6,107.35 6,716.28 2/28/2003 6,015.74 6,615.51 3/31/2003 6,076.82 6,679.74 4/30/2003 6,575.58 7,229.98 5/31/2003 6,952.20 7,610.91 6/30/2003 7,023.45 7,707.96 7/31/2003 7,104.89 7,843.88 8/31/2003 7,227.03 7,996.83 9/30/2003 7,145.60 7,911.96 10/31/2003 7,573.12 8,359.47 11/30/2003 7,674.91 8,433.02 12/31/2003 8,094.11 8,875.35 1/31/2004 8,226.80 9,038.25 2/29/2004 8,318.66 9,163.84 3/31/2004 8,216.59 9,025.59 4/30/2004 8,114.53 8,883.88 5/31/2004 8,226.80 9,005.80 6/30/2004 8,400.32 9,180.99 7/31/2004 8,094.11 8,876.67 8/31/2004 8,124.73 8,912.61 9/30/2004 8,226.80 9,009.08 10/31/2004 8,369.70 9,146.74 11/30/2004 8,716.74 9,516.79 12/31/2004 9,006.25 9,840.71 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND [INSERT LOGO] MELLON CAPITAL MANAGEMENT CORP. TEAM MANAGEMENT OBJECTIVE: JNL/Mellon Capital Management International Index Fund seeks as its investment objective long-term capital growth by investing in international equity securities attempting to match the characteristics of each country within the MSCI E.A.FE. Index. MONEY MANAGER COMMENTARY: INTERNATIONAL MARKET OVERVIEW: International equity markets enjoyed a strong year, as the MSCI EAFE Index gained 10.2% in local terms and 17.6% is U.S. dollar terms. The U.S. dollar finished the year at a nine-year low against a basket of major currencies, which boosted returns for U.S. investors. Within the MSCI EAFE Index, all markets posted positive returns in U.S. dollar terms, while Finland was the only negative market in local terms. The best-performing countries in U.S.-dollar terms were Austria (74%), Norway (49.6%), and Greece (41.2%). The lowest performers were the Netherlands (9.13%) and Finland (8%). Generally, the international equity markets began the year reaching new highs, but experienced sharp corrections following the Madrid terrorist attack in mid-March. The euro weakened against the U.S. dollar, while the Japanese yen continued to strengthen against the U.S. currency. Overall, returns in U.S. dollar terms were sub par for European equities and very strong for Japanese equities, particularly Japanese financial stocks. During the second quarter of 2004, international equity markets had mixed performance. The euro strengthened against the U.S. dollar, while the Japanese yen was unchanged against the U.S. currency. By and large, returns in U.S. dollar terms were strong for European equities and sub par for Japanese equities. However, by the end of the third quarter, the international markets declined a bit, as the MSCI EAFE Index dropped 0.23% in U.S. dollar terms. High oil prices and their potential drag on global economic growth were major factors on overseas equity market returns. As the year came to a close, international stocks again moved upward to finish with solid gains, as continued low bond yields and higher expected earnings drove investors into equities. FUND SPECIFIC OVERVIEW: For the year, the Fund performed well, in line with international markets. The Fund's Class A shares return of 19.49% closely tracked the Index return of 20.25%. The weak U.S. dollar positively impacted the performance of international securities in 2004. The MSCI EAFE (Free) Index was up +13% in local currency terms and +20% in U.S. dollar terms during the year. As the largest country weight in the Fund, the U.K. (approximately 25% of the Fund) was the greatest contributor to performance, in large part due to the appreciation of the British pound versus the U.S. dollar (+8% for the year). All the countries had favorable returns for the year, with Austria experiencing the best performance at +74% in U.S. dollar terms, and Finland as the lowest performing country, returning just +8%. The Fund's largest security holding, BP PLC (2% of the Fund), a U.K. company, was the largest positive contributor to performance, returning +24% in U.S. dollar terms, benefiting from the high price of oil during the year. AstraZeneca PLC, (U.K.) was the largest negative contributor to performance, losing -23% in U.S. dollar terms. The FDA rejected the company's application for its experimental blood thinner Exanta and also raised concerns about its anti-cholesterol drug Crestor, thus resulting in the stock's price decline. AVERAGE ANNUAL TOTAL RETURN 1 year 19.49% Since inception 12.49% (Inception date January 15, 2002). JNL/Mellon Capital Management date International Index Fund (Class A) MSCI E.A.FE. Index 1/15/2002 10,000.00 10,000.00 1/31/2002 9,790.00 9,778.00 2/28/2002 9,860.00 9,846.58 3/31/2002 10,440.00 10,379.20 4/30/2002 10,450.00 10,447.99 5/31/2002 10,600.00 10,580.37 6/30/2002 10,170.00 10,159.21 7/31/2002 9,170.00 9,156.29 8/31/2002 9,130.00 9,135.51 9/30/2002 8,140.00 8,154.41 10/31/2002 8,580.00 8,592.67 11/30/2002 8,960.00 8,982.65 12/31/2002 8,639.59 8,680.61 1/31/2003 8,271.08 8,318.21 2/28/2003 8,076.58 8,127.31 3/31/2003 7,933.27 7,967.62 4/30/2003 8,690.77 8,748.54 5/31/2003 9,212.83 9,278.64 6/30/2003 9,427.80 9,502.87 7/31/2003 9,612.05 9,732.90 8/31/2003 9,878.20 9,967.94 9/30/2003 10,164.82 10,275.21 10/31/2003 10,789.25 10,915.65 11/30/2003 11,024.69 11,158.33 12/31/2003 11,862.72 12,030.07 1/31/2004 12,018.12 12,200.19 2/29/2004 12,297.85 12,481.82 3/31/2004 12,339.30 12,552.05 4/30/2004 11,987.04 12,268.11 5/31/2004 12,090.65 12,294.06 6/30/2004 12,370.38 12,579.07 7/31/2004 11,955.96 12,170.83 8/31/2004 12,007.76 12,224.58 9/30/2004 12,318.58 12,544.08 10/31/2004 12,722.63 12,971.83 11/30/2004 13,592.91 13,857.98 12/31/2004 14,174.64 14,465.83 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND (FORMERLY JNL/CURIAN S&P 400 MIDCAP INDEX FUND)* [INSERT LOGO] MELLON CAPITAL MANAGEMENT CORPORATION TEAM MANAGEMENT OBJECTIVE: JNL/Mellon Capital Management S&P 400 MidCap Index Fund seeks as its investment objective long-term capital growth by investing in equity securities of medium capitalization weighted domestic corporations and matching the performance of the S&P 400 Index. MONEY MANAGER COMMENTARY: U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil prices, and rising short-term interest rates, the S&P 500 rose 10.88% while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%) for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index reached an all-time high at year's end. Though both styles (large and small) reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index remains about 15% below its all-time high. In addition, mid-cap stocks outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks strongly outperformed growth stocks across all capitalization sectors. Equities had their ups and downs during the first quarter of the year, but finished in positive territory for the fourth quarter in a row. Evidence of economic strength, coupled with favorable earnings reports, overcame the negative sentiment brought on by terrorism and persistent worries about unemployment. U.S. stocks were largely flat during the second quarter, as strength in the overall economy was offset by higher oil prices, the prospect of rising interest rates, continued geopolitical concerns surrounding the handover of power in Iraq, and the presidential election in November. Stocks lost ground in the third quarter, as high energy prices, rising interest rates, uncertainty surrounding the upcoming presidential election, and the worst hurricane season in 40 years combined to keep investors on the defensive. Due to the soft economy and oil prices near 21-year highs, many companies warned of lower profits. Equities finished the year with solid gains, as stocks rose sharply in November and December. The fourth quarter's return of 9.2% for the S&P 500 Index comprised most of the market's gain for the year. Fund Specific Overview: The Fund's Class A shares returned 15.79% v.s 16.39% for it's benchmark the S&P 400 Index. During the year, there were 37 company deletions and 37 additions to the Index. As a result of these changes, the turnover for the index in 2004 was 16%. The largest deletion from the Index was Gilead Sciences (GILD). It was a 1.3% name in the S&P 400 Index before it was added to the S&P 500 Index. The most notable add to the Index for the year was Urban Outfitters Inc. This security was added to the index at the close of business on August 31, 2004. Since its addition, the stock was up 46%, and for the year it was up 140%. AVERAGE ANNUAL TOTAL RETURN 1 year 15.79% Since inception 10.40% (Inception date January 15, 2002). *For the period from 12/15/03 until 02/17/04, the Fund was managed by Curian Capital LLC. JNL/Mellon Capital Management date S&P 400 Mid Cap Index Fund (Class A) S&P 400 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 10,080.00 10,031.85 2/28/2002 10,090.00 10,044.17 3/31/2002 10,800.00 10,762.20 4/30/2002 10,740.00 10,711.87 5/31/2002 10,560.00 10,531.22 6/30/2002 9,780.00 9,760.38 7/31/2002 8,830.00 8,814.76 8/31/2002 8,870.00 8,859.21 9/30/2002 8,150.00 8,145.51 10/31/2002 8,500.00 8,498.39 11/30/2002 8,980.00 8,989.94 12/31/2002 8,606.01 8,624.99 1/31/2003 8,344.31 8,372.96 2/28/2003 8,143.00 8,173.54 3/31/2003 8,213.46 8,242.47 4/30/2003 8,797.26 8,840.74 5/31/2003 9,521.97 9,573.53 6/30/2003 9,642.76 9,695.41 7/31/2003 9,974.92 10,039.59 8/31/2003 10,417.80 10,494.82 9/30/2003 10,256.75 10,334.16 10/31/2003 11,021.73 11,115.65 11/30/2003 11,394.16 11,502.98 12/31/2003 11,579.61 11,697.07 1/31/2004 11,821.90 11,950.45 2/29/2004 12,104.58 12,237.56 3/31/2004 12,155.05 12,289.40 4/30/2004 11,751.23 11,886.04 5/31/2004 11,983.43 12,132.63 6/30/2004 12,256.01 12,408.73 7/31/2004 11,670.47 11,829.85 8/31/2004 11,640.18 11,798.93 9/30/2004 11,973.33 12,148.43 10/31/2004 12,165.15 12,342.65 11/30/2004 12,871.84 13,077.69 12/31/2004 13,407.55 13,625.45 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND (FORMERLY JNL/CURIAN S&P 500 INDEX FUND)* [INSERT LOGO] MELLON CAPITAL MANAGEMENT CORPORATION TEAM MANAGEMENT OBJECTIVE: The JNL/Mellon Capital Management S&P 500 Index Fund seeks to match the performance of the S&P 500 Index with minimal tracking error. The strategy is constructed to mirror the index with the goal of providing long-term capital growth by investing in equity securities of large domestic companies. MONEY MANAGER COMMENTARY: U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil prices, and rising short-term interest rates, the S&P 500 Index rose 10.88% while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%) for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index reached an all-time high at year's end. Though both styles (large and small) reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index remains about 15% below its all-time high. In addition, mid-cap stocks outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks strongly outperformed growth stocks across all capitalization sectors. Equities had their ups and downs during the first quarter of the year, but finished in positive territory for the fourth quarter in a row. Evidence of economic strength, coupled with favorable earnings reports, overcame the negative sentiment brought on by terrorism and persistent worries about unemployment. U.S. stocks were largely flat during the second quarter, as strength in the overall economy was offset by higher oil prices, the prospect of rising interest rates, continued geopolitical concerns surrounding the handover of power in Iraq, and the presidential election in November. Stocks lost ground in the third quarter, as high energy prices, rising interest rates, uncertainty surrounding the upcoming presidential election, and the worst hurricane season in 40 years combined to keep investors on the defensive. Due to the soft economy and oil prices near 21-year highs, many companies warned of lower profits. Equities finished the year with solid gains, as stocks rose sharply in November and December. The fourth quarter's return of 9.2% for the S&P 500 Index comprised most of the market's gain for the year. Fund Specific Overview: In 2004, the Fund's Class A shares return of 10.06% closely tracked the S&P 500 Index return of 10.81%. There were 20 Index additions and deletions throughout the year. The largest addition was News Corp (NWS.A), which was added to the Index on December 17, 2004. The most significant drops from the Index were due to mergers. The mergers included: PeopleSoft which was removed after the merger with Oracle; Bank One which was acquired by JP Morgan; AT&T Wireless which was acquired by Cingular Wireless; and FleetBoston which was acquired by Bank of America. The Fund turnover that resulted from these Index changes was 5.1% AVERAGE ANNUAL TOTAL RETURN 1 year 10.06% Since inception 3.13% (Inception date January 15, 2002). *For the period from 12/15/03 until 02/17/04, the Fund was managed by Curian Capital LLC. JNL/Mellon Capital Management date S&P 500 Index Fund (Class A) S&P 500 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 9,920.00 9,865.00 2/28/2002 9,720.00 9,674.76 3/31/2002 10,080.00 10,038.62 4/30/2002 9,460.00 9,430.00 5/31/2002 9,380.00 9,360.53 6/30/2002 8,710.00 8,693.80 7/31/2002 8,040.00 8,016.04 8/31/2002 8,090.00 8,068.63 9/30/2002 7,210.00 7,191.72 10/31/2002 7,830.00 7,824.73 11/30/2002 8,280.00 8,285.28 12/31/2002 7,790.00 7,794.10 1/31/2003 7,580.00 7,589.92 2/28/2003 7,470.00 7,476.04 3/31/2003 7,530.00 7,548.64 4/30/2003 8,140.00 8,170.45 5/31/2003 8,570.00 8,600.92 6/30/2003 8,670.00 8,710.60 7/31/2003 8,820.00 8,864.20 8/31/2003 8,990.00 9,037.05 9/30/2003 8,890.00 8,941.14 10/31/2003 9,390.00 9,446.86 11/30/2003 9,460.00 9,529.97 12/31/2003 9,955.13 10,029.85 1/31/2004 10,127.12 10,213.93 2/29/2004 10,258.64 10,355.86 3/31/2004 10,096.77 10,199.63 4/30/2004 9,934.89 10,039.48 5/31/2004 10,066.42 10,177.27 6/30/2004 10,258.64 10,375.23 7/31/2004 9,914.66 10,031.34 8/31/2004 9,955.13 10,071.94 9/30/2004 10,056.30 10,180.97 10/31/2004 10,197.94 10,336.54 11/30/2004 10,602.62 10,754.72 12/31/2004 10,957.00 11,120.77 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND (FORMERLY JNL/CURIAN SMALL CAP INDEX FUND)* [INSERT LOGO] MELLON CAPITAL MANAGEMENT CORPORATION TEAM MANAGEMENT OBJECTIVE: The JNL/Mellon Capital Management Small Cap Index Fund seeks to match the performance of the Russell 2000(R) Index with minimal tracking error. The strategy is constructed to mirror the index to provide long-term capital growth by investing in equity securities of small size domestic companies. MONEY MANAGER COMMENTARY: U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil prices, and rising short-term interest rates, the S&P 500 Index rose 10.88% while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%) for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index reached an all-time high at year's end. Though both styles (large and small) reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index remains about 15% below its all-time high. In addition, mid-cap stocks outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks strongly outperformed growth stocks across all capitalization sectors. Equities had their ups and downs during the first quarter of the year, but finished in positive territory for the fourth quarter in a row. Evidence of economic strength, coupled with favorable earnings reports, overcame the negative sentiment brought on by terrorism and persistent worries about unemployment. U.S. stocks were largely flat during the second quarter, as strength in the overall economy was offset by higher oil prices, the prospect of rising interest rates, continued geopolitical concerns surrounding the handover of power in Iraq, and the presidential election in November. Stocks lost ground in the third quarter, as high energy prices, rising interest rates, uncertainty surrounding the upcoming presidential election, and the worst hurricane season in 40 years combined to keep investors on the defensive. Due to the soft economy and oil prices near 21-year highs, many companies warned of lower profits. Equities finished the year with solid gains, as stocks rose sharply in November and December. The fourth quarter's return of 9.2% for the S&P 500 Index comprised most of the market's gain for the year. FUND SPECIFIC OVERVIEW: The Fund's Class A shares returned 17.42% vs. 18.33% for it's benchmark the Russell 2000 Index. Russell implements a yearly restructuring of their indexes in June of each year. During June 2004, turnover due to Russell's restructuring was 18%. The fund must incur a similar amount of turnover to maintain its composition to match the Russell 2000 Index. To help improve the market coverage of their indecies, Russell announced in September 2004 a new policy of adding recent IPOs to their Indexes on a quarterly basis. The Index turnover resulting from this new initiative was almost 1% in September and 1% in December. Some of the largest IPO additions in 2004 were CB Richard Ellis Group and Biomed Realty Trust in September, and Saxon Capital and Calamos Asset Management in December. There was some underperformance in the Fund associated with the Russell rebalance in June of 2004. AVERAGE ANNUAL TOTAL RETURN 1 year 17.42% Since inception 11.32% (Inception date January 15, 2002). *For the period from 12/15/03 until 02/17/04, the Fund was managed by Curian Capital LLC. JNL/Mellon Capital Management date Small Cap Index Fund (Class A) Russell 2000 Index 1/15/2002 10,000.00 10,000.00 1/31/2002 10,010.00 9,965.00 2/28/2002 9,740.00 9,692.32 3/31/2002 10,520.00 10,471.98 4/30/2002 10,630.00 10,567.22 5/31/2002 10,150.00 10,098.34 6/30/2002 9,670.00 9,596.44 7/31/2002 8,220.00 8,146.93 8/31/2002 8,190.00 8,126.08 9/30/2002 7,600.00 7,542.36 10/31/2002 7,830.00 7,784.03 11/30/2002 8,500.00 8,478.54 12/31/2002 8,021.44 8,007.24 1/31/2003 7,789.08 7,786.56 2/28/2003 7,566.82 7,551.36 3/31/2003 7,647.65 7,648.56 4/30/2003 8,364.93 8,373.42 5/31/2003 9,233.75 9,271.90 6/30/2003 9,405.49 9,440.46 7/31/2003 9,981.34 10,030.73 8/31/2003 10,435.95 10,490.92 9/30/2003 10,244.01 10,297.57 10/31/2003 11,092.62 11,162.05 11/30/2003 11,476.52 11,558.13 12/31/2003 11,701.89 11,794.02 1/31/2004 12,192.02 12,307.20 2/29/2004 12,304.34 12,417.53 3/31/2004 12,416.66 12,533.24 4/30/2004 11,783.57 11,894.11 5/31/2004 11,967.37 12,085.60 6/30/2004 12,437.08 12,595.49 7/31/2004 11,609.99 11,747.70 8/31/2004 11,538.51 11,687.20 9/30/2004 12,069.48 12,235.78 10/31/2004 12,304.34 12,479.42 11/30/2004 13,356.08 13,565.19 12/31/2004 13,740.81 13,968.37 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/OPPENHEIMER GLOBAL GROWTH FUND [INSERT LOGO] OPPENHEIMERFUNDS, INC. WILLIAM L. WILBY OBJECTIVE: JNL/Oppenheimer Global Growth Fund seeks as its investment objective capital appreciation. MONEY MANAGER COMMENTARY: The Fund turned in a strong performance for the 12 months ended December 31, 2004 on both an absolute and relative basis, outperforming the benchmark Morgan Stanley Capital International (MSCI) World Index by a solid margin for the year. The Fund's Class A shares returned 17.93% vs. 14.72% for it's benchmark the MSCI World Index. We continued to focus on our four core themes; mass affluence, new technology, restructuring, and demographic shifts, including aging with our holdings in technology and consumer discretionary stocks paying off particularly well. Our performance through the year wasn't completely smooth, of course. After participating strongly in the nine-month global stock rally that ended in February 2004, our performance, like that of the overall global sector, slipped in mid-March and stayed in a narrow range through the summer. The slowdown during the first half of the reporting period was precipitated by concerns over geopolitical uncertainties, rising short-term interest rates, high oil prices, the U.S. Presidential election, the mounting U.S. current account deficit, and the weakening U.S. dollar. In the second half, however, a clear and undisputed election in the US, and continued good news on the global economy helped pave the way for strong performance in the fourth quarter. The year also saw some notable performance in some of the weaker areas of the Organization for Economic Co-operation and Development (OECD). Japan, for example, continues to enjoy a remarkable turnaround, emerging largely unaffected from China's efforts to slow its overheated economy and a stock-market pullback following the Yen's calendar second-quarter rally. In Europe, some companies successfully negotiated concessions from labor unions, a sign that the long-needed restructuring on the continent is finally gaining some momentum. Beyond the broad market gain, Fund returns were also boosted by positions in stocks reflecting its technology and mass-affluence themes. Sirius Satellite Radio, Inc., QUALCOMM, Inc., and Ericsson (Telefonaktiebolaget LM Ericsson) were the major contributors in technology, while Hennes & Mauritz AB and Reckitt Benckiser plc were the key contributors in the mass affluence category. Gains in these and other stocks were partly offset by declines in other issues, including a Taiwanese semiconductor manufacturer that suffered during the industry's sell-off. During the period we also began to build several positions, including oil service companies Transocean, Inc. and Technip S.A., both of which should benefit from a rebound in oil exploration spurred by the hike in energy prices. Another acquisition, Toyota Motor Corp., lies within our mass-affluence theme. There are some scattered clouds on the horizon, of course, including energy prices, and the U.S. current account deficit. Overall, however, we're optimistic about the prospects for the global economy. While the drivers differ from region to region, we believe the global economy overall is poised for solid growth and stocks worldwide are attractively priced. AVERAGE ANNUAL TOTAL RETURN 1 year 17.93% Since inception 4.93% (Inception date May 1, 2001). date JNL/Oppenheimer Global Growth Fund (Class A) MSCI World Index 5/1/2001 10,000.00 10,000.00 5/31/2001 9,820.00 9,722.00 6/30/2001 9,670.00 9,416.03 7/31/2001 9,480.00 9,290.17 8/31/2001 9,160.00 8,842.88 9/30/2001 8,010.00 8,062.51 10/31/2001 8,390.00 8,216.46 11/30/2001 9,080.00 8,701.30 12/31/2001 9,270.00 8,755.11 1/31/2002 8,990.00 8,488.98 2/28/2002 8,890.00 8,414.32 3/31/2002 9,400.00 8,784.97 4/30/2002 9,170.00 8,486.37 5/31/2002 9,120.00 8,500.52 6/30/2002 8,550.00 7,983.29 7/31/2002 7,600.00 7,309.67 8/31/2002 7,690.00 7,322.16 9/30/2002 6,970.00 6,515.99 10/31/2002 7,260.00 6,996.11 11/30/2002 7,660.00 7,372.25 12/31/2002 7,200.00 7,014.06 1/31/2003 6,920.00 6,800.32 2/28/2003 6,730.00 6,681.31 3/31/2003 6,640.00 6,659.25 4/30/2003 7,180.00 7,249.38 5/31/2003 7,790.00 7,662.12 6/30/2003 8,000.00 7,793.76 7/31/2003 8,290.00 7,951.12 8/31/2003 8,610.00 8,121.92 9/30/2003 8,720.00 8,170.80 10/31/2003 9,350.00 8,654.85 11/30/2003 9,530.00 8,785.66 12/31/2003 10,120.00 9,336.17 1/31/2004 10,380.00 9,485.98 2/29/2004 10,560.00 9,644.82 3/31/2004 10,550.00 9,580.82 4/30/2004 10,210.00 9,384.60 5/31/2004 10,270.00 9,462.91 6/30/2004 10,420.00 9,664.52 7/31/2004 9,920.00 9,348.97 8/31/2004 9,890.00 9,390.06 9/30/2004 10,310.00 9,567.70 10/31/2004 10,620.00 9,801.82 11/30/2004 11,470.00 10,316.72 12/31/2004 11,934.79 10,710.54 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/OPPENHEIMER GROWTH FUND [INSERT LOGO] OPPENHEIMERFUNDS, INC. BRUCE BARTLETT OBJECTIVE: JNL/Oppenheimer Growth Fund seeks as its investment objective capital appreciation. MONEY MANAGER COMMENTARY: Performance was challenged during the Fund's 12-month fiscal period-a time of significant volatility in the equity markets-with the Fund's results trailing those of the broad stock market. The Fund's Class A shares returned 4.23% vs. 10.88% for it's benchmark the S&P 500 Index. Also hindering results was the portfolio manager transition culminating with the changes made by David Poiesz, the new portfolio manager who took over in June 2004. In the transition to new portfolio management, we also implemented subtle shifts to create a mix of well-established, classic growth stocks balanced by more-opportunistic and dynamic emerging-growth stocks. In particular, we looked to add companies with above-average earnings growth, strong and seasoned leadership, and healthy balance sheets. We also took several steps to help manage the Fund's risk while maintaining its growth focus. When the period began, stocks were in the midst of an upward climb. Investors noted an increasing amount of data suggesting a rapidly strengthening economy. Stocks, especially growth stocks, performed well in the first few weeks of 2004. Beginning in mid January 2004, however, stock prices headed lower as investors developed new concerns. The stronger economy, for example, led to fears of inflation, which would likely encourage the Fed to change course and raise interest rates (the Fed did indeed change course and increase rates five times before 2004 ended). Inflation concerns became even more pronounced following better-than-expected employment data and tangible evidence of rising consumer prices. Other factors also weighed on the market. Oil prices soared to as much as $55 per barrel in October, threatening the global economic recovery. Geopolitical worries increased after the March 2004 terrorist bombings in Spain and with ongoing instability in Iraq. The Chinese government's plans to slow down economic growth to ward off inflation drew concern from investors, who worried that the efforts might go too far. Finally, the U.S. presidential election led to questions about the future direction of equity prices. Investors were left wondering whether to expect further declines or to view low valuations as an attractive buying opportunity for stocks. Nevertheless, the U.S. stock market closed out 2004 with a decent showing after all. An optimistic outlook ultimately triumphed, as investors reacted favorably to the decisive Republican victory in the November election as well as became more comfortable with the FED's measured pace and an unusually clear road map for future Fed actions. Additionally, soaring corporate profits have provided companies with record amounts of cash with has in turn created a merger boom. On a sector basis, we added to our holdings in the technology sector, especially among higher-quality names, during the reporting period. We also selectively purchased smaller-capitalization technology stocks that we believed were particularly well positioned. Our computer and peripherals group that included Apple Computer, EMC, and Sun Microsystems, and an emphasis in the software group throughout the year led to an overall good technology performance. The Industrials sector benefited from a strong US economy in 2004. We were particularly pleased with our large position in General Electric Co., a conglomerate giant. Our Consumer Discretionary sector was also a strong sector, with most of the performance coming from our stock selection in specialty retail, which included Staples, Inc., Home Depot, Inc, and a clothing retailer. On the other hand, our modest exposure to hotels and restaurants group and a couple of disappointing holdings such as Univision Communications, Inc., detracted from performance. Our Energy and Financials sectors were other relative detractors from performance for the year. Looking at the larger picture, we believe most companies have been posting strong top and bottom line growth, and while the pace has slowed from unsustainably high levels, we are optimistic regarding earnings. Given the fact that the overall business environment continues to improve as evidenced by broad based strength in capital spending and historically low debt to cash levels, we continue to be optimistic regarding the outlook for growth stocks. Accordingly, we are continuing to position the Fund to benefit from an environment of long-term moderate economic growth. In doing so, we are finding fresh opportunities to invest in growth-oriented companies with sound fundamentals and strong prospects of earnings and revenue growth. AVERAGE ANNUAL TOTAL RETURN 1 year 4.23% Since inception -3.91% (Inception date May 1, 2001). date JNL/Oppenheimer Growth Fund (Class A) S&P 500 Index 5/1/2001 10,000.00 10,000.00 5/31/2001 9,910.00 9,931.00 6/30/2001 9,730.00 9,689.00 7/31/2001 9,560.00 9,594.00 8/31/2001 8,990.00 8,993.00 9/30/2001 8,740.00 8,267.00 10/31/2001 8,820.00 8,425.00 11/30/2001 9,290.00 9,071.00 12/31/2001 9,418.39 9,151.00 1/31/2002 9,128.14 9,022.46 2/28/2002 8,827.87 8,848.47 3/31/2002 9,088.10 9,181.26 4/30/2002 8,747.80 8,624.61 5/31/2002 8,577.64 8,561.08 6/30/2002 8,197.31 7,951.29 7/31/2002 7,586.76 7,331.41 8/31/2002 7,596.77 7,379.52 9/30/2002 7,266.48 6,577.50 10/31/2002 7,506.69 7,156.45 11/30/2002 7,326.53 7,577.66 12/31/2002 7,036.27 7,128.43 1/31/2003 6,856.11 6,941.69 2/28/2003 6,816.07 6,837.54 3/31/2003 7,056.29 6,903.93 4/30/2003 7,316.52 7,472.64 5/31/2003 7,676.84 7,866.35 6/30/2003 7,736.90 7,966.66 7/31/2003 8,087.21 8,107.14 8/31/2003 8,097.22 8,265.22 9/30/2003 7,877.02 8,177.50 10/31/2003 8,187.30 8,640.03 11/30/2003 8,107.23 8,716.05 12/31/2003 8,287.39 9,173.23 1/31/2004 8,457.54 9,341.59 2/29/2004 8,487.56 9,471.40 3/31/2004 8,327.42 9,328.51 4/30/2004 8,347.44 9,182.04 5/31/2004 8,467.55 9,308.06 6/30/2004 8,487.56 9,489.12 7/31/2004 7,937.07 9,174.59 8/31/2004 7,796.95 9,211.73 9/30/2004 7,947.08 9,311.45 10/31/2004 8,017.14 9,453.73 11/30/2004 8,397.48 9,836.20 12/31/2004 8,637.70 10,170.98 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/PIMCO TOTAL RETURN BOND FUND [INSERT LOGO] PACIFIC INVESTMENT MANAGEMENT COMPANY WILLIAM H. GROSS OBJECTIVE: JNL/PIMCO Total Return Bond Fund seeks as its investment objective to realize maximum total return, consistent with preservation of capital and prudent investment management through investment in a diversified portfolio of fixed income securities of varying maturities. The average portfolio duration will normally vary within a three to six year time frame based on the sub-adviser's forecast for interest rates. MONEY MANAGER COMMENTARY: All fixed income sectors gained in the fourth quarter capping a year in which bonds displayed unexpected growth. The Fund's Class A shares returned 4.45% vs. 4.31% for it's benchmark the Lehman Brothers Aggregate Bond Index. The yield on the 10-year Treasury note fell by 3 basis points, to 4.22% at the end of the year. The Lehman Brothers Aggregate Bond Index, a widely used index for the high-grade bond market, returned 4.34% for the year despite several major headwinds. These included expanding U.S. fiscal deficits, a falling U.S. dollar and market perceptions as the year began that interest rates were bound to rise from levels near historic lows. Besides these headwinds, fixed income markets had to weather a tightening cycle by the Federal Reserve that began in June. The central bank raised the federal funds rate five times during the year for a total of 125 basis points. The latest move came on December 14, when the Fed hiked rates by 25 basis points to 2.25%. Despite this tightening cycle, bond investors were encouraged by statements from the Fed that it would continue to move at a measured pace. Investors also understood that the Fed was lifting rates from unusually low levels that had been set to ward off deflation. The Fund focused on quality, value and prudent diversification outside of index sectors in an environment where bond markets presented limited buying opportunities. The Fund's below-market duration was negative for performance in the falling interest rate environment. However, a focus on short to intermediate maturities was a positive as yields in this portion of the yield curve fell the most. With respect to sectors, holdings of European issues, TIPS (Treasury Inflation Protected Securities), emerging market bonds, and municipal bonds all contributed to relative performance. An underweight exposure to U.S. corporate and mortgage-backed securities detracted from performance, although, security selection in these sectors added value. Global growth should slow in 2005 as the U.S. recovery cools off and Europe and Japan prove unable to pick up the slack. Higher unit labor costs and a weaker dollar should create inflationary pressure, but lingering overcapacity worldwide may limit this impact over a cyclical time frame. The Fed should continue its measured pace of tightening with a goal of 2.5% to 3% for a neutral fed funds rate. In this environment the Fund will be positioned defensively and look for value as interest rates are near historical lows and core bond sectors continue to be rich. Target U.S. duration below-index to limit risk from higher rates but take exposure to intermediate maturities in Europe, where growth and rate pressures will be more muted. Emphasize short/intermediate maturities, which offer structural advantages given a steep yield curve. Underweight mortgages and corporates as investors stretching for yield have bid valuations up to frothy levels. Hold TIPS, which should outperform nominal bonds as the Fed seeks to keep real yields low to stimulate the economy. Own emerging market bonds, which could benefit from credit upgrades amid growing trade surpluses and ample currency reserves. Hold longer maturity municipal bonds, which provide attractive yields vs. Treasuries with modest credit risk. Past performance is no guarantee of future results. This report contains the current opinions of the manager and should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. Such opinions are subject to change without notice. This report is distributed for informational purposes only. Information contained herein has been obtained from sources believed reliable, but not guaranteed. Each sector of the bond market entails risk. Municipals may realize gains & may incur a tax liability from time to time. The guarantee on Treasuries & Government Bonds is to the timely repayment of principal and interest, shares of a portfolio are not guaranteed. Mortgage-backed securities & Corporate Bonds may be sensitive to interest rates. Inflation-indexed bonds issued by the U.S. Government, also known as TIPS, are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Repayment upon maturity of the original principal as adjusted for inflation is guaranteed by the U.S. Government. Neither the current market value of inflation-indexed bonds nor the value a portfolio that invests in inflation-indexed bonds is guaranteed, and either or both may fluctuate. When interest rates rise, the value of fixed income securities generally declines and there is no assurance that private guarantors or insurers will meet their obligations. An investment in high-yield securities generally involves greater risk to principal than an investment in higher-rated bonds. Investing in non-U.S. securities may entail risk due to non-U.S. economic and political developments, which may be enhanced when investing in emerging markets. Duration is a measure of price sensitivity to interest rates and is expressed in years. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio. AVERAGE ANNUAL TOTAL RETURN 1 year 4.23% 5 year 7.82% Since inception 6.49% (Inception date March 2, 1998). JNL/PIMCO Total Lehman Brothers date Return Bond Fund (Class A) Aggregate Bond Index 3/2/1998 10,000.00 10,000.00 3/31/1998 9,940.00 9,917.91 4/30/1998 9,970.00 9,968.48 5/31/1998 10,200.00 10,064.19 6/30/1998 10,330.00 10,147.81 7/31/1998 10,290.00 10,169.17 8/31/1998 10,440.00 10,329.56 9/30/1998 10,650.00 10,577.07 10/31/1998 10,540.00 10,577.58 11/30/1998 10,510.00 10,581.19 12/31/1998 10,569.69 10,613.03 1/31/1999 10,694.53 10,688.84 2/28/1999 10,465.66 10,502.21 3/31/1999 10,600.90 10,560.48 4/30/1999 10,559.29 10,593.95 5/31/1999 10,476.06 10,501.12 6/30/1999 10,434.45 10,467.58 7/31/1999 10,413.64 10,423.11 8/31/1999 10,434.45 10,417.82 9/30/1999 10,538.48 10,538.71 10/31/1999 10,569.69 10,577.58 11/30/1999 10,590.50 10,576.53 12/31/1999 10,542.19 10,525.53 1/31/2000 10,509.38 10,490.79 2/29/2000 10,629.68 10,617.73 3/31/2000 10,793.71 10,757.88 4/30/2000 10,739.03 10,726.69 5/31/2000 10,749.97 10,721.32 6/30/2000 10,946.82 10,944.33 7/31/2000 11,034.30 11,043.92 8/31/2000 11,209.28 11,204.06 9/30/2000 11,263.96 11,274.64 10/31/2000 11,362.38 11,349.06 11/30/2000 11,581.10 11,535.18 12/31/2000 11,780.85 11,749.73 1/31/2001 11,952.58 11,749.73 2/28/2001 12,067.07 11,749.73 3/31/2001 12,147.21 12,105.75 4/30/2001 12,044.17 12,105.75 5/31/2001 12,078.52 12,105.75 6/30/2001 12,124.31 12,173.54 7/31/2001 12,502.12 12,173.54 8/31/2001 12,650.96 12,173.54 9/30/2001 12,868.48 12,734.74 10/31/2001 13,143.26 12,734.74 11/30/2001 12,960.08 12,734.74 12/31/2001 12,902.91 12,741.11 1/31/2002 13,072.36 12,843.04 2/28/2002 13,253.92 12,967.62 3/31/2002 13,011.84 12,752.35 4/30/2002 13,253.92 12,999.75 5/31/2002 13,314.44 13,110.25 6/30/2002 13,290.24 13,224.31 7/31/2002 13,338.65 13,384.32 8/31/2002 13,604.94 13,610.52 9/30/2002 13,713.88 13,831.01 10/31/2002 13,713.88 13,767.38 11/30/2002 13,774.40 13,763.25 12/31/2002 14,044.21 14,048.15 1/31/2003 14,116.86 14,060.80 2/28/2003 14,334.78 14,254.84 3/31/2003 14,322.68 14,243.43 4/30/2003 14,492.17 14,361.65 5/31/2003 14,734.32 14,628.78 6/30/2003 14,722.21 14,599.52 7/31/2003 14,153.18 14,108.98 8/31/2003 14,274.25 14,202.10 9/30/2003 14,649.57 14,578.45 10/31/2003 14,540.60 14,442.87 11/30/2003 14,564.82 14,477.54 12/31/2003 14,715.77 14,625.21 1/31/2004 14,803.36 14,742.21 2/29/2004 14,953.52 14,901.42 3/31/2004 15,078.66 15,013.18 4/30/2004 14,715.77 14,622.84 5/31/2004 14,653.20 14,564.35 6/30/2004 14,728.28 14,646.67 7/31/2004 14,865.93 14,791.85 8/31/2004 15,153.74 15,074.00 9/30/2004 15,191.28 15,114.90 10/31/2004 15,341.44 15,241.86 11/30/2004 15,266.36 15,119.93 12/31/2004 15,370.41 15,259.03 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/PUTNAM EQUITY FUND [INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC U.S. CORE EQUITY TEAM OBJECTIVE: JNL/Putnam Equity Fund takes a bottom-up approach, seeking to identify the most attractive investment opportunities based on valuation, while considering overall portfolio construction. MONEY MANAGER COMMENTARY: During 2004, the Fund's Class A shares return of 13.04% outperformed the 10.88% return of its benchmark, the S&P 500 Index. This relative outperformance was fueled by solid stock selection within the financial, consumer cyclicals, and consumer staples sectors, which contributed most to relative results. Positions in the communications services and transportation sectors detracted modestly from relative performance. Within financials, our overweight in mortgage finance (Freddie Mac), selections within insurance (AIG) and consumer finance (Capital One, Countrywide Financial) were most beneficial. Homebuilders (NVR, Lennar) were the strongest contributors within consumer cyclicals. Gaming & lottery (Harrah's Entertainment), leisure time products (Harley-Davidson), and retailers (Staples, underweight Wal-Mart) also aided relative performance in this sector. The consumer staples and health-care sectors also contributed to outperformance, particularly within the tobacco (Altria) and consumer goods (Avon) industries. Selections within health-care services (Cigna, Wellpoint Health) and a large overweight in pharmaceutical giant Johnson & Johnson also aided results. Stock selection in telecommunications (Level 3 Communications) and cable TV (Comcast) detracted most from relative returns in the communications services sector. High oil prices constrained results in the transportation sector, particularly in railroads (Union Pacific) and airlines (Southwest Airlines). The Fund currently has significant exposure within the financial, healthcare, consumer cyclicals, and technology sectors. Our least-favored sectors include the communication services, utilities and conglomerates. AVERAGE ANNUAL TOTAL RETURN 1 year 13.04% 5 year -7.62% Since inception 9.08% (Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by Phoenix Investment Counsel, Inc. date JNL/Putnam Equity Fund (Class A) S&P 500 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,030.00 10,130.00 6/30/1995 10,540.00 10,356.00 7/31/1995 11,490.00 10,694.00 8/31/1995 11,640.00 10,726.00 9/30/1995 12,080.00 11,179.00 10/31/1995 11,880.00 11,139.00 11/30/1995 12,560.00 11,627.00 12/31/1995 12,733.84 11,851.00 1/31/1996 13,284.61 12,254.00 2/29/1996 13,692.18 12,368.00 3/31/1996 13,769.29 12,487.00 4/30/1996 14,826.77 12,671.00 5/31/1996 15,344.49 12,996.00 6/30/1996 15,355.51 13,046.00 7/31/1996 14,463.26 12,469.00 8/31/1996 15,091.14 12,732.00 9/30/1996 15,520.74 13,448.00 10/31/1996 15,719.02 13,819.00 11/30/1996 16,578.22 14,862.00 12/31/1996 16,147.97 14,568.00 1/31/1997 17,307.08 15,477.04 2/28/1997 16,909.35 15,597.76 3/31/1997 15,886.61 14,958.26 4/30/1997 16,284.34 15,849.77 5/31/1997 16,784.35 16,813.43 6/30/1997 17,613.91 17,566.68 7/31/1997 19,125.29 18,963.23 8/31/1997 17,977.55 17,901.29 9/30/1997 19,057.11 18,882.28 10/31/1997 18,625.28 18,251.61 11/30/1997 19,466.21 19,096.66 12/31/1997 19,681.74 19,424.43 1/31/1998 19,878.68 19,639.25 2/28/1998 21,500.48 21,055.75 3/31/1998 22,890.60 22,133.99 4/30/1998 22,994.86 22,417.75 5/31/1998 22,485.15 21,996.30 6/30/1998 24,141.70 22,862.95 7/31/1998 23,875.26 22,620.12 8/31/1998 19,878.68 19,352.80 9/30/1998 21,245.62 20,592.62 10/31/1998 22,380.89 22,266.16 11/30/1998 23,875.26 23,615.11 12/31/1998 26,555.72 24,975.06 1/31/1999 27,786.01 26,019.44 2/28/1999 26,811.06 25,211.07 3/31/1999 27,960.11 26,219.74 4/30/1999 28,018.14 27,235.12 5/31/1999 26,857.49 26,591.99 6/30/1999 29,051.12 28,067.79 7/31/1999 28,215.45 27,191.38 8/31/1999 27,704.76 27,056.91 9/30/1999 27,588.70 26,315.12 10/31/1999 29,515.38 27,980.40 11/30/1999 30,710.85 28,549.21 12/31/1999 34,364.67 30,230.62 1/31/2000 32,311.24 28,711.77 2/29/2000 32,782.32 28,168.23 3/31/2000 35,463.86 30,923.95 4/30/2000 33,217.17 29,993.60 5/31/2000 31,840.16 29,378.20 6/30/2000 33,531.22 30,102.43 7/31/2000 33,011.83 29,631.78 8/31/2000 35,584.65 31,472.32 9/30/2000 33,084.30 29,810.74 10/31/2000 31,707.30 29,684.73 11/30/2000 27,805.79 27,344.42 12/31/2000 28,231.33 27,478.21 1/31/2001 27,763.07 28,453.11 2/28/2001 24,645.42 25,858.67 3/31/2001 22,525.91 24,220.50 4/30/2001 24,571.48 26,102.68 5/31/2001 24,583.81 26,277.59 6/30/2001 23,918.38 25,638.02 7/31/2001 23,018.82 25,385.59 8/31/2001 21,207.38 23,796.45 9/30/2001 19,235.75 21,874.84 10/31/2001 19,654.72 22,291.95 11/30/2001 21,219.71 24,001.92 12/31/2001 21,170.42 24,212.56 1/31/2002 20,504.99 23,873.58 2/28/2002 19,531.50 23,413.21 3/31/2002 20,381.76 24,293.75 4/30/2002 19,346.65 22,820.87 5/31/2002 19,198.78 22,652.75 6/30/2002 17,843.28 21,039.24 7/31/2002 16,438.50 19,399.04 8/31/2002 16,611.01 19,526.32 9/30/2002 14,935.12 17,404.18 10/31/2002 16,278.30 18,936.08 11/30/2002 16,968.37 20,050.62 12/31/2002 16,068.81 18,861.96 1/31/2003 15,563.58 18,367.83 2/28/2003 15,230.87 18,092.24 3/31/2003 15,366.42 18,267.91 4/30/2003 16,635.66 19,772.72 5/31/2003 17,547.54 20,814.48 6/30/2003 17,757.03 21,079.91 7/31/2003 18,003.48 21,451.63 8/31/2003 18,373.16 21,869.92 9/30/2003 18,311.55 21,637.81 10/31/2003 19,371.30 22,861.67 11/30/2003 19,469.88 23,062.80 12/31/2003 20,443.64 24,272.52 1/31/2004 20,888.60 24,718.01 2/29/2004 21,098.72 25,061.47 3/31/2004 20,863.88 24,683.39 4/30/2004 20,394.20 24,295.84 5/31/2004 20,802.08 24,629.28 6/30/2004 21,172.89 25,108.36 7/31/2004 20,320.04 24,276.12 8/31/2004 20,394.20 24,374.39 9/30/2004 20,690.84 24,638.25 10/31/2004 21,135.81 25,014.72 11/30/2004 22,099.89 26,026.74 12/31/2004 23,110.14 26,912.58 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/PUTNAM INTERNATIONAL EQUITY FUND [INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC CORE INTERNATIONAL EQUITY TEAM OBJECTIVE: JNL/Putnam International Equity Fund seeks as its investment objective long-term growth of capital through investments primarily in common stocks of established, non-U.S. companies. MONEY MANAGER COMMENTARY: The Fund's Class A shares posted double-digit gains of 16.34% in 2004, but trailed benchmark, the MSCI E.A.FE. Index (up 20.25% in U.S. dollars) as challenging market dynamics made the benchmark hard to beat. Overweighting Swiss equities coupled with underweighting Australia hurt, as did stock selection in South Korea and Europe. Favorable currency exposure helped performance. For the second year, international equities posted phenomenal gains. After a strong first quarter and a relatively flat summer, markets soared in the fourth quarter. Similar to the prior year, 2004 was a challenging period for valuation-oriented investment processes such as ours, favoring companies with strong upside potential, especially in terms of future growth. The extended period of low interest rates provided greater levels of liquidity, enabling the stocks of distressed companies to prosper. During this period, there was less distinction between companies benefiting from low interest rates and those continually generating better growth and returns. Our large-cap bias also hurt, as excess market liquidity extended the international small-cap rally. During of the latter half of 2004, as global interest rates rose and growth slowed, the markets began transitioning to an environment where investment approaches such as ours should thrive. We expect rates will continue rising and your Fund should benefit. We continue to focus on high-quality, industry-leading companies. Our recent efforts to increase our regional focus over the past several months have only just begun to reward our investors. The focus has helped unearth compelling stock ideas and allowed us to narrow the portfolio's underweight to the banking sector. We continue to favor emerging markets focusing on South Korea, Brazil, and Taiwan. Among developed markets, we are underweight Europe where we are underweight the United Kingdom and overweight Switzerland. Further, we are underweight developed Asia, notably Australia. Among sectors, we are overweight telecoms and transportation, and underweight financials, utilities, and technology. AVERAGE ANNUAL TOTAL RETURN 1 year 16.34% 5 year -4.02% Since inception 4.60% (Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by Rowe-Price Fleming International, Inc. JNL/Putnam date International Equity Fund (Class A) MSCI E.A.FE. Index 5/15/1995 10,000.00 10,000.00 5/31/1995 9,990.00 9,999.00 6/30/1995 9,950.00 9,810.00 7/31/1995 10,530.00 10,407.00 8/31/1995 10,250.00 9,997.00 9/30/1995 10,430.00 10,178.00 10/31/1995 10,240.00 9,981.00 11/30/1995 10,360.00 10,153.00 12/31/1995 10,720.00 10,548.00 1/31/1996 10,970.00 10,578.00 2/29/1996 11,050.00 10,600.00 3/31/1996 11,250.00 10,811.00 4/30/1996 11,570.00 11,112.00 5/31/1996 11,500.00 10,893.00 6/30/1996 11,630.00 10,940.00 7/31/1996 11,280.00 10,606.00 8/31/1996 11,440.00 10,614.00 9/30/1996 11,710.00 10,882.00 10/31/1996 11,640.00 10,756.00 11/30/1996 12,220.00 11,169.00 12/31/1996 12,210.72 11,010.00 1/31/1997 12,069.20 10,627.18 2/28/1997 12,220.83 10,803.59 3/31/1997 12,190.50 10,845.40 4/30/1997 12,311.80 10,905.60 5/31/1997 13,069.92 11,617.95 6/30/1997 13,625.87 12,261.23 7/31/1997 14,009.98 12,462.07 8/31/1997 12,706.02 11,533.90 9/30/1997 13,565.22 12,182.56 10/31/1997 12,513.96 11,248.77 11/30/1997 12,473.53 11,136.73 12/31/1997 12,534.44 11,236.41 1/31/1998 12,959.51 11,735.76 2/28/1998 13,737.08 12,473.76 3/31/1998 14,213.99 12,842.69 4/30/1998 14,328.04 12,928.74 5/31/1998 14,234.73 12,851.17 6/30/1998 14,224.36 12,933.41 7/31/1998 14,431.71 13,049.30 8/31/1998 12,596.65 11,417.20 9/30/1998 12,306.35 11,051.43 10/31/1998 13,436.42 12,187.59 11/30/1998 13,892.60 12,796.44 12/31/1998 14,343.24 13,285.47 1/31/1999 14,185.27 13,230.64 2/28/1999 13,911.46 12,899.64 3/31/1999 14,501.20 13,422.29 4/30/1999 15,048.81 13,950.35 5/31/1999 14,353.77 13,216.29 6/30/1999 14,869.79 13,715.87 7/31/1999 15,122.53 14,107.41 8/31/1999 15,312.09 14,142.76 9/30/1999 15,375.27 14,269.00 10/31/1999 15,849.17 14,787.43 11/30/1999 16,881.21 15,285.55 12/31/1999 18,948.66 16,648.71 1/31/2000 17,842.66 15,579.10 2/29/2000 18,779.37 15,947.59 3/31/2000 18,993.80 16,630.96 4/30/2000 17,944.23 15,761.95 5/31/2000 17,030.09 15,394.79 6/30/2000 18,102.23 16,001.10 7/31/2000 17,504.09 15,323.71 8/31/2000 17,842.66 15,461.65 9/30/2000 16,702.81 14,707.35 10/31/2000 16,115.95 14,350.74 11/30/2000 15,483.95 13,806.12 12/31/2000 16,298.55 14,289.71 1/31/2001 15,965.39 14,282.33 2/28/2001 15,045.84 13,211.61 3/31/2001 13,979.71 12,330.92 4/30/2001 14,872.60 13,187.81 5/31/2001 14,499.45 12,722.36 6/30/2001 14,059.67 12,202.08 7/31/2001 13,713.17 11,980.07 8/31/2001 13,380.01 11,676.47 9/30/2001 12,073.99 10,493.79 10/31/2001 12,287.22 10,762.56 11/30/2001 12,753.65 11,159.30 12/31/2001 12,992.22 11,225.60 1/31/2002 12,360.09 10,629.13 2/28/2002 12,481.14 10,703.68 3/31/2002 13,140.16 11,282.66 4/30/2002 13,005.67 11,357.43 5/31/2002 13,032.57 11,501.34 6/30/2002 12,440.79 11,043.52 7/31/2002 11,001.69 9,953.30 8/31/2002 10,867.20 9,930.71 9/30/2002 9,629.84 8,864.21 10/31/2002 10,248.52 9,340.62 11/30/2002 10,705.80 9,764.54 12/31/2002 10,318.32 9,436.21 1/31/2003 9,815.32 9,042.27 2/28/2003 9,584.21 8,834.75 3/31/2003 9,421.07 8,661.16 4/30/2003 10,331.91 9,510.06 5/31/2003 10,862.10 10,086.30 6/30/2003 10,957.26 10,330.05 7/31/2003 11,120.40 10,580.10 8/31/2003 11,365.10 10,835.60 9/30/2003 11,582.62 11,169.61 10/31/2003 12,140.00 11,865.80 11/30/2003 12,398.29 12,129.60 12/31/2003 13,261.80 13,077.23 1/31/2004 13,496.40 13,262.15 2/29/2004 13,758.60 13,568.30 3/31/2004 13,689.60 13,644.65 4/30/2004 13,248.00 13,335.99 5/31/2004 13,275.60 13,364.20 6/30/2004 13,427.40 13,674.02 7/31/2004 13,013.40 13,230.24 8/31/2004 13,110.00 13,288.67 9/30/2004 13,413.60 13,635.98 10/31/2004 13,813.80 14,100.97 11/30/2004 14,710.80 15,064.25 12/31/2004 15,428.36 15,725.01 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/PUTNAM MIDCAP GROWTH FUND [INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC MIDCAP EQUITY GROWTH TEAM OBJECTIVE: JNL/Putnam Midcap Growth Fund seeks as its investment objective capital appreciation. The Fund invests mainly in common stocks of U.S. companies with a focus on growth stocks whose earnings the sub-adviser believes are likely to grow faster than the economy as a whole. MONEY MANAGER COMMENTARY: The Fund's Class A shares return of 18.62% significantly outperformed the 16.49% return of its benchmark, the S&P MidCap 400 Index for the year due to strong stock selection in capital goods, consumer staples, and technology. Relative weakness in the communications services and utilities sectors was a slight drag on performance. An overweight to machinery (Toro, Terex, Briggs & Stratton) made the capital goods sector the Fund's largest relative contributor. Adept stock selection in services-staples (Alliance Data, Getty Images) and restaurants (Starbucks) helped relative performance in the consumer staples sector. Stock selection in technology also proved beneficial, especially software (Symantec, Adobe Systems) and semiconductor production equipment (underweight KLA-Tencor, Novellus Systems, Teradyne; overweight Sigmatel). The Fund experienced some relative weakness in communications services and utilities. In communications services, not having a position in Sprint PCS (telecommunications) hurt relative performance. Within utilities, not having any exposure to independent power producers also detracted. Despite the rally of 2004's closing months, our market strategists anticipate modest, single-digit gains in average markets over the next several years. In this environment, stocks with reasonable valuations, understandable business models, organizational transparency, cash operating earnings, and the ability to pay dividends, should find favor. Our forecasting models also see a number of vulnerabilities for stocks, including high relative valuation, a low market volatility (signaling investor complacency), and continued Fed tightening. Technology is the Fund's largest overweight along with overweights to capital goods and financials. The Fund's largest underweight is the consumer cyclicals sector. The portfolio has no representation in the communications services or utilities sectors, as attractive growth opportunities in these sectors are scarce. AVERAGE ANNUAL TOTAL RETURN 1 year 18.62% Since inception -4.43% (Inception date May 1, 2000). date JNL/Putnam Mid-Cap Growth Fund (Class A) S&P Midcap 400 Index 5/1/2000 10,000.00 10,000.00 5/31/2000 9,410.00 9,742.07 6/30/2000 10,150.00 9,885.13 7/31/2000 9,810.00 10,041.32 8/31/2000 10,840.00 11,162.45 9/30/2000 10,790.00 11,086.02 10/31/2000 10,320.00 10,710.12 11/30/2000 8,960.00 9,901.67 12/31/2000 9,900.00 10,659.20 1/31/2001 9,950.00 10,897.04 2/28/2001 7,620.00 10,275.16 3/31/2001 8,810.00 9,511.26 4/30/2001 8,710.00 10,560.49 5/31/2001 8,540.00 10,806.43 6/30/2001 7,760.00 10,762.77 7/31/2001 7,130.00 10,602.44 8/31/2001 5,790.00 10,255.65 9/30/2001 6,310.00 8,979.97 10/31/2001 6,980.00 9,377.48 11/30/2001 7,260.00 10,075.23 12/31/2001 7,230.00 10,595.09 1/31/2002 7,010.00 10,536.82 2/28/2002 6,610.00 10,549.76 3/31/2002 7,060.00 11,303.93 4/30/2002 6,780.00 11,251.07 5/31/2002 6,570.00 11,061.32 6/30/2002 5,850.00 10,251.69 7/31/2002 5,340.00 9,258.47 8/31/2002 5,270.00 9,305.16 9/30/2002 4,830.00 8,555.53 10/31/2002 5,210.00 8,926.17 11/30/2002 5,500.00 9,442.46 12/31/2002 5,110.00 9,059.14 1/31/2003 5,080.00 8,794.43 2/28/2003 4,980.00 8,584.96 3/31/2003 5,050.00 8,657.37 4/30/2003 5,370.00 9,285.75 5/31/2003 5,820.00 10,055.43 6/30/2003 5,890.00 10,183.44 7/31/2003 6,080.00 10,544.95 8/31/2003 6,400.00 11,023.09 9/30/2003 6,240.00 10,854.35 10/31/2003 6,730.00 11,675.18 11/30/2003 6,860.00 12,082.00 12/31/2003 6,820.00 12,285.86 1/31/2004 7,040.00 12,552.00 2/29/2004 7,170.00 12,853.56 3/31/2004 7,170.00 12,908.01 4/30/2004 6,970.00 12,484.34 5/31/2004 7,160.00 12,743.35 6/30/2004 7,330.00 13,033.34 7/31/2004 6,850.00 12,425.32 8/31/2004 6,750.00 12,392.85 9/30/2004 7,120.00 12,759.94 10/31/2004 7,310.00 12,963.94 11/30/2004 7,770.00 13,735.98 12/31/2004 8,090.00 14,311.31 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/PUTNAM VALUE EQUITY FUND [INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC LARGE CAP VALUE TEAM OBJECTIVE: JNL/Putnam Value Equity Fund seeks as its investment objective capital growth, with income as a secondary objective, by investing primarily in common stocks which the sub-adviser believes to be undervalued relative to underlying assets value or earnings potential at the time of purchase. MONEY MANAGER COMMENTARY: The Fund's Class A shares generated strong absolute returns of 9.76% during the period, but slightly underperformed its benchmark, the S&P 500 Index which returned 10.88%. Favorable stock selection in consumer cyclicals and technology was offset by unrewarded stock selection in the health care and communications services sectors. In technology, underweighting Cisco helped as the telecommunications equipment maker reported that inventories rose, squeezing margins. The fund was also rewarded by underweighting Intel as the semiconductor maker faced weakening demand. Stock selection in the consumer cyclicals sector also proved favorable, as portfolio overweight Masco (home building products) moved higher on continuing benefits from aggressive cost cutting and strong sales in select product lines. The stock price of portfolio overweight J.C. Penney increased amid improved gross margin trends and strong catalog and Internet sales. Within health care, overweighting Pfizer hurt relative results as shares of the drugmaker slid late in the period after data showed Pfizer's painkiller, Celebrex raised the risk of heart attacks. An overweight to King Pharmaceuticals also detracted. Lack of exposure to CenturyTel within communications services detracted as the local exchange telephone company achieved strong revenue growth. Not owning AT&T Wireless also detracted after its shares rose sharply following its announced merger with Cingular Wireless. The financial sector remains the Fund's largest absolute and relative overweight, with broad investments over a large number of industries including brokerage and investment banking, credit cards, diversified financial services, government sponsored agencies, insurance, and regional and national banking. We maintain a large underweight to the consumer cyclicals sector (primarily from underweights to the commercial & consumer services, automotive and publishing industries) and remain cautious on technology. AVERAGE ANNUAL TOTAL RETURN 1 year 9.76% 5 year 1.88% Since inception 8.87% (Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by PPM America, Inc. date JNL/Putnam Value Equity Fund (Class A) S&P 500 Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,210.00 10,130.00 6/30/1995 10,340.00 10,356.00 7/31/1995 10,720.00 10,694.00 8/31/1995 10,850.00 10,726.00 9/30/1995 11,380.00 11,179.00 10/31/1995 11,350.00 11,139.00 11/30/1995 11,980.00 11,627.00 12/31/1995 12,261.70 11,851.00 1/31/1996 12,734.09 12,254.00 2/29/1996 12,888.13 12,368.00 3/31/1996 13,114.06 12,487.00 4/30/1996 13,309.18 12,671.00 5/31/1996 13,668.61 12,996.00 6/30/1996 13,617.26 13,046.00 7/31/1996 13,052.45 12,469.00 8/31/1996 13,452.95 12,732.00 9/30/1996 13,904.81 13,448.00 10/31/1996 14,253.97 13,819.00 11/30/1996 15,342.53 14,862.00 12/31/1996 15,244.39 14,568.00 1/31/1997 15,738.51 15,477.04 2/28/1997 16,295.72 15,597.76 3/31/1997 15,580.81 14,958.26 4/30/1997 16,095.97 15,849.77 5/31/1997 16,758.31 16,813.43 6/30/1997 17,357.57 17,566.68 7/31/1997 18,493.02 18,963.23 8/31/1997 17,715.03 17,901.29 9/30/1997 18,619.18 18,882.28 10/31/1997 17,778.11 18,251.61 11/30/1997 18,377.37 19,096.66 12/31/1997 18,570.63 19,424.43 1/31/1998 18,647.91 19,639.25 2/28/1998 19,718.87 21,055.75 3/31/1998 20,602.13 22,133.99 4/30/1998 20,646.30 22,417.75 5/31/1998 20,116.34 21,996.30 6/30/1998 20,127.38 22,862.95 7/31/1998 19,796.15 22,620.12 8/31/1998 16,991.79 19,352.80 9/30/1998 17,908.18 20,592.62 10/31/1998 19,354.52 22,266.16 11/30/1998 20,403.40 23,615.11 12/31/1998 20,888.30 24,975.06 1/31/1999 21,254.76 26,019.44 2/28/1999 20,888.30 25,211.07 3/31/1999 21,655.58 26,219.74 4/30/1999 22,972.55 27,235.12 5/31/1999 22,743.51 26,591.99 6/30/1999 23,144.33 28,067.79 7/31/1999 22,239.63 27,191.38 8/31/1999 21,506.71 27,056.91 9/30/1999 20,430.23 26,315.12 10/31/1999 21,460.90 27,980.40 11/30/1999 21,048.63 28,549.21 12/31/1999 20,671.20 30,230.62 1/31/2000 19,919.74 28,711.77 2/29/2000 18,367.55 28,168.23 3/31/2000 20,153.80 30,923.95 4/30/2000 20,190.76 29,993.60 5/31/2000 20,511.05 29,378.20 6/30/2000 20,338.59 30,102.43 7/31/2000 20,042.93 29,631.78 8/31/2000 21,422.65 31,472.32 9/30/2000 21,237.87 29,810.74 10/31/2000 21,903.09 29,684.73 11/30/2000 21,237.87 27,344.42 12/31/2000 22,109.91 27,478.21 1/31/2001 22,383.49 28,453.11 2/28/2001 21,749.29 25,858.67 3/31/2001 20,804.21 24,220.50 4/30/2001 21,960.69 26,102.68 5/31/2001 22,420.79 26,277.59 6/30/2001 21,873.64 25,638.02 7/31/2001 21,649.81 25,385.59 8/31/2001 20,742.03 23,796.45 9/30/2001 19,162.75 21,874.84 10/31/2001 19,249.80 22,291.95 11/30/2001 20,443.58 24,001.92 12/31/2001 20,712.40 24,212.56 1/31/2002 20,360.92 23,873.58 2/28/2002 20,109.86 23,413.21 3/31/2002 20,976.01 24,293.75 4/30/2002 19,846.25 22,820.87 5/31/2002 19,959.22 22,652.75 6/30/2002 18,365.00 21,039.24 7/31/2002 16,896.30 19,399.04 8/31/2002 17,059.49 19,526.32 9/30/2002 15,176.54 17,404.18 10/31/2002 16,406.73 18,936.08 11/30/2002 17,486.29 20,050.62 12/31/2002 16,597.82 18,861.96 1/31/2003 16,140.30 18,367.83 2/28/2003 15,733.62 18,092.24 3/31/2003 15,657.36 18,267.91 4/30/2003 16,915.55 19,772.72 5/31/2003 18,008.51 20,814.48 6/30/2003 18,377.07 21,079.91 7/31/2003 18,478.74 21,451.63 8/31/2003 18,720.21 21,869.92 9/30/2003 18,491.45 21,637.81 10/31/2003 19,381.07 22,861.67 11/30/2003 19,559.00 23,062.80 12/31/2003 20,673.16 24,272.52 1/31/2004 21,007.22 24,718.01 2/29/2004 21,354.12 25,061.47 3/31/2004 21,110.00 24,683.39 4/30/2004 20,698.85 24,295.84 5/31/2004 20,801.64 24,629.28 6/30/2004 21,277.03 25,108.36 7/31/2004 20,660.31 24,276.12 8/31/2004 20,853.03 24,374.39 9/30/2004 20,840.19 24,638.25 10/31/2004 21,161.40 25,014.72 11/30/2004 22,022.24 26,026.74 12/31/2004 22,690.30 26,912.58 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/S&P FUNDS [INSERT LOGO] STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC. DAVID M. BLITZER, PETER K. TSUI, JOSH HARARI MONEY MANAGER COMMENTARY: JNL/S&P Managed Aggressive Growth Fund JNL/S&P Managed Conservative Fund JNL/S&P Managed Growth Fund JNL/S&P Managed Moderate Fund JNL/S&P Managed Moderate Growth Fund The US equity market as measured by the S&P 500 Index rose 8.7% in the fourth quarter of 2004, and 10.88% for the year as a whole. Investors spent much of 2004 worrying about uncertainties. While there was little reaction to a series of Federal Reserve moves to raise interest rates, there were concerns about the outcome of Presidential elections in the United States and the potential for terrorist acts during the summer Olympics or at the U.S. political party conventions. As these worries faded one by one, investors refocused on growing corporate earnings and in the post-election period a strong year-end rally ensued carrying the U.S. equity markets to a three-year high. The Fed's assessment of the economy suggests that interest rates will continue to rise. We expect the Federal Reserve Board to implement slow and steady increases in the Fed Funds rate throughout 2005. The Fed's goal is to maintain low inflation. The sharp rise in oil and other commodity prices in the past two years, along with the sharp decline in the U.S. dollar, large U.S. government budget deficits and the widening of the perennial trade deficit, causes the Fed to worry about the potential for rapid increases in consumer prices and a return to the high inflation days of the 1970s and 1980s. Thus far, consumer price inflation has remained surprisingly low and consistent with the Fed's 2% inflation target. This may be due to the growing dominance of China as a major trading partner of the United States. China maintains a fixed currency policy that keeps the U.S. dollar in a tight trading range against the Chinese reminbi. Competitive market pressures have also served as a constraint on prices as manufacturers strive to maintain their market shares in the face of stiff foreign competition. Weak domestic demand in other industrialized countries makes the easily accessed U.S. markets an attractive destination for foreign products. Manufacturers here and abroad are displaying a propensity to cut margins rather than raise prices and risk surrendering market share. The dollar ended 2004 near its record low against the euro and at its lowest level since early 2000 against the yen. The decline is not over. We expect the dollar to drop in 2005 to about $1.45 per euro. Even that decline will only stop the widening of the trade gap, not narrow it. Global economic growth is expected to slow in 2005. We expect 3.6% growth in the United States, 1.8% in Japan, and 1.9% in the Eurozone. After peaking at about $53 a barrel, oil prices declined to the mid-$40s by year-end 2004. We expect a further decline to $40 in 2005 and $35 in 2006, but our confidence in that forecast is not high, as oil prices have become highly sensitive to global political events, particularly those in the Middle East and in the Persian Gulf. In addition, the steady industrialization of nations such as China is increasing the base demand for oil and other commodities. China already consumes 19 million barrels a day of oil, which puts it second only to the United States in oil consumption. With a population more than four times that of the U.S. and continuing economic development, demand from China should continue to climb. The JNL/S&P Funds remain positioned to participate in further stock market advances, but our outlook for fixed income markets remains cautious. Standard & Poor's expects the U.S. economy to continue its expansion in 2005. We expect a 10% advance in the S&P 500 Index as market multiples remain constant and corporate earnings advance about 10%. We expect the yield curve to shift higher, with short-term rates rising faster than long-term bond yields in 2005. JNL/S&P MANAGED AGGRESSIVE GROWTH FUND AVERAGE ANNUAL TOTAL RETURN 1 year 12.61% 5 year -1.11% Since inception 5.04% (Inception date April 8, 1998).
date JNL/S&P Managed Aggressive Growth Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index 4/8/1998 10,000.00 10,000.00 10,000.00 4/30/1998 10,020.00 10,096.95 10,050.99 5/31/1998 9,830.00 9,923.39 10,147.49 6/30/1998 10,230.00 10,326.45 10,231.80 7/31/1998 10,080.00 10,216.50 10,253.34 8/31/1998 8,520.00 8,739.41 10,415.06 9/30/1998 8,960.00 9,299.29 10,664.62 10/31/1998 9,420.00 10,055.71 10,665.13 11/30/1998 9,960.00 10,665.17 10,668.77 12/31/1998 10,880.00 11,279.76 10,700.87 1/31/1999 11,470.00 11,751.44 10,777.31 2/28/1999 11,020.00 11,386.35 10,589.14 3/31/1999 11,630.00 11,841.90 10,647.89 4/30/1999 11,990.00 12,300.49 10,681.64 5/31/1999 11,750.00 12,010.03 10,588.04 6/30/1999 12,470.00 12,676.56 10,554.22 7/31/1999 12,150.00 12,280.74 10,509.38 8/31/1999 12,010.00 12,220.01 10,504.05 9/30/1999 11,990.00 11,884.99 10,625.93 10/31/1999 12,650.00 12,637.09 10,665.13 11/30/1999 13,390.00 12,893.99 10,664.07 12/31/1999 14,729.10 13,653.38 10,612.65 1/31/2000 14,318.01 12,967.41 10,577.62 2/29/2000 15,220.41 12,721.92 10,705.61 3/31/2000 15,822.01 13,966.52 10,846.93 4/30/2000 14,949.69 13,546.34 10,815.47 5/31/2000 14,348.09 13,268.39 10,810.06 6/30/2000 14,889.53 13,595.49 11,034.91 7/31/2000 14,668.95 13,382.92 11,135.33 8/31/2000 15,681.63 14,214.19 11,296.79 9/30/2000 14,879.50 13,463.75 11,367.96 10/31/2000 14,458.39 13,406.84 11,442.99 11/30/2000 13,074.71 12,349.86 11,630.66 12/31/2000 13,348.41 12,410.28 11,846.99 1/31/2001 13,784.36 12,850.59 11,846.99 2/28/2001 12,663.34 11,678.83 11,846.99 3/31/2001 11,812.20 10,938.97 12,205.95 4/30/2001 12,777.52 11,789.04 12,205.95 5/31/2001 12,870.94 11,868.03 12,205.95 6/30/2001 12,559.55 11,579.18 12,274.30 7/31/2001 12,331.19 11,465.17 12,274.30 8/31/2001 11,718.78 10,747.45 12,274.30 9/30/2001 10,649.66 9,879.57 12,840.15 10/31/2001 10,971.44 10,067.96 12,840.15 11/30/2001 11,729.16 10,840.25 12,840.15 12/31/2001 11,936.09 10,935.38 12,846.57 1/31/2002 11,753.34 10,782.29 12,949.34 2/28/2002 11,604.85 10,574.36 13,074.95 3/31/2002 12,107.43 10,972.05 12,857.91 4/30/2002 11,684.81 10,306.84 13,107.35 5/31/2002 11,547.74 10,230.91 13,218.76 6/30/2002 10,771.04 9,502.18 13,333.76 7/31/2002 9,868.69 8,761.40 13,495.10 8/31/2002 9,994.34 8,818.88 13,723.17 9/30/2002 9,194.79 7,860.44 13,945.49 10/31/2002 9,685.94 8,552.31 13,881.34 11/30/2002 10,199.94 9,055.68 13,877.17 12/31/2002 9,756.84 8,518.83 14,164.43 1/31/2003 9,560.32 8,295.66 14,177.18 2/28/2003 9,398.48 8,171.19 14,372.82 3/31/2003 9,479.40 8,250.54 14,361.32 4/30/2003 10,138.33 8,930.17 14,480.52 5/31/2003 10,681.66 9,400.67 14,749.86 6/30/2003 10,831.94 9,520.55 14,720.36 7/31/2003 11,016.91 9,688.43 14,225.76 8/31/2003 11,271.23 9,877.35 14,319.65 9/30/2003 11,167.19 9,772.52 14,699.12 10/31/2003 11,722.08 10,325.26 14,562.42 11/30/2003 11,872.37 10,416.10 14,597.37 12/31/2003 12,371.85 10,962.46 14,746.26 1/31/2004 12,617.65 11,163.67 14,864.23 2/29/2004 12,758.10 11,318.78 15,024.76 3/31/2004 12,699.58 11,148.03 15,137.45 4/30/2004 12,430.37 10,972.99 14,743.87 5/31/2004 12,582.53 11,123.59 14,684.90 6/30/2004 12,828.33 11,339.96 14,767.90 7/31/2004 12,325.03 10,964.09 14,914.28 8/31/2004 12,313.32 11,008.47 15,198.77 9/30/2004 12,582.53 11,127.64 15,240.00 10/31/2004 12,816.62 11,297.67 15,368.02 11/30/2004 13,460.38 11,754.74 15,245.07 12/31/2004 13,931.44 12,154.82 15,385.33 JNL/S&P MANAGED CONSERVATIVE FUND AVERAGE ANNUAL TOTAL RETURN Since inception 3.50% (Inception date October 4, 2004). date JNL/S&P Managed Conservative Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index 10/4/2004 10,000.00 10,000.00 10,000.00 10/31/2004 10,050.00 9,967.46 10,084.00 11/30/2004 10,190.00 10,370.71 10,003.33 12/31/2004 10,350.00 10,723.69 10,095.36 JNL/S&P MANAGED GROWTH FUND AVERAGE ANNUAL TOTAL RETURN 1 year 11.41% 5 year 1.04% Since inception 5.33% (Inception date April 13, 1998). date JNL/S&P Managed Growth Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index 4/8/1998 10,000.00 10,000.00 10,000.00 4/30/1998 10,010.00 10,096.95 10,050.99 5/31/1998 9,860.00 9,923.39 10,147.49 6/30/1998 10,140.00 10,326.45 10,231.80 7/31/1998 10,000.00 10,216.50 10,253.34 8/31/1998 8,720.00 8,739.41 10,415.06 9/30/1998 9,090.00 9,299.29 10,664.62 10/31/1998 9,480.00 10,055.71 10,665.13 11/30/1998 9,970.00 10,665.17 10,668.77 12/31/1998 10,630.00 11,279.76 10,700.87 1/31/1999 11,050.00 11,751.44 10,777.31 2/28/1999 10,740.00 11,386.35 10,589.14 3/31/1999 11,240.00 11,841.90 10,647.89 4/30/1999 11,590.00 12,300.49 10,681.64 5/31/1999 11,330.00 12,010.03 10,588.04 6/30/1999 11,850.00 12,676.56 10,554.22 7/31/1999 11,610.00 12,280.74 10,509.38 8/31/1999 11,490.00 12,220.01 10,504.05 9/30/1999 11,430.00 11,884.99 10,625.93 10/31/1999 11,980.00 12,637.09 10,665.13 11/30/1999 12,510.00 12,893.99 10,664.07 12/31/1999 13,472.67 13,653.38 10,612.65 1/31/2000 13,141.38 12,967.41 10,577.62 2/29/2000 13,663.42 12,721.92 10,705.61 3/31/2000 14,326.01 13,966.52 10,846.93 4/30/2000 13,783.89 13,546.34 10,815.47 5/31/2000 13,362.24 13,268.39 10,810.06 6/30/2000 13,743.73 13,595.49 11,034.91 7/31/2000 13,593.14 13,382.92 11,135.33 8/31/2000 14,386.25 14,214.19 11,296.79 9/30/2000 13,824.05 13,463.75 11,367.96 10/31/2000 13,573.07 13,406.84 11,442.99 11/30/2000 12,609.30 12,349.86 11,630.66 12/31/2000 12,887.20 12,410.28 11,846.99 1/31/2001 13,210.16 12,850.59 11,846.99 2/28/2001 12,355.88 11,678.83 11,846.99 3/31/2001 11,709.96 10,938.97 12,205.95 4/30/2001 12,460.06 11,789.04 12,205.95 5/31/2001 12,532.99 11,868.03 12,205.95 6/30/2001 12,293.37 11,579.18 12,274.30 7/31/2001 12,168.35 11,465.17 12,274.30 8/31/2001 11,709.96 10,747.45 12,274.30 9/30/2001 10,907.76 9,879.57 12,840.15 10/31/2001 11,199.47 10,067.96 12,840.15 11/30/2001 11,782.88 10,840.25 12,840.15 12/31/2001 11,941.78 10,935.38 12,846.57 1/31/2002 11,819.01 10,782.29 12,949.34 2/28/2002 11,752.05 10,574.36 13,074.95 3/31/2002 12,120.35 10,972.05 12,857.91 4/30/2002 11,819.01 10,306.84 13,107.35 5/31/2002 11,752.05 10,230.91 13,218.76 6/30/2002 11,149.38 9,502.18 13,333.76 7/31/2002 10,435.10 8,761.40 13,495.10 8/31/2002 10,569.03 8,818.88 13,723.17 9/30/2002 9,910.56 7,860.44 13,945.49 10/31/2002 10,334.66 8,552.31 13,881.34 11/30/2002 10,803.40 9,055.68 13,877.17 12/31/2002 10,461.11 8,518.83 14,164.43 1/31/2003 10,302.78 8,295.66 14,177.18 2/28/2003 10,178.38 8,171.19 14,372.82 3/31/2003 10,223.62 8,250.54 14,361.32 4/30/2003 10,823.01 8,930.17 14,480.52 5/31/2003 11,309.31 9,400.67 14,749.86 6/30/2003 11,422.40 9,520.55 14,720.36 7/31/2003 11,490.26 9,688.43 14,225.76 8/31/2003 11,716.45 9,877.35 14,319.65 9/30/2003 11,693.83 9,772.52 14,699.12 10/31/2003 12,134.89 10,325.26 14,562.42 11/30/2003 12,270.60 10,416.10 14,597.37 12/31/2003 12,734.46 10,962.46 14,746.26 1/31/2004 12,941.53 11,163.67 14,864.23 2/29/2004 13,079.57 11,318.78 15,024.76 3/31/2004 13,045.06 11,148.03 15,137.45 4/30/2004 12,768.97 10,972.99 14,743.87 5/31/2004 12,895.51 11,123.59 14,684.90 6/30/2004 13,114.08 11,339.96 14,767.90 7/31/2004 12,699.95 10,964.09 14,914.28 8/31/2004 12,722.96 11,008.47 15,198.77 9/30/2004 12,953.03 11,127.64 15,240.00 10/31/2004 13,171.60 11,297.67 15,368.02 11/30/2004 13,723.77 11,754.74 15,245.07 12/31/2004 14,187.46 12,154.82 15,385.33 JNL/S&P MANAGED MODERATE FUND AVERAGE ANNUAL TOTAL RETURN Since inception 5.40% (Inception date October 4, 2004). date JNL/S&P Managed Moderate Growth Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index 4/9/1998 10,000.00 10,000.00 10,000.00 4/30/1998 9,970.00 10,014.80 10,050.99 5/31/1998 9,850.00 9,842.66 10,147.49 6/30/1998 10,050.00 10,242.43 10,231.80 7/31/1998 9,950.00 10,133.37 10,253.34 8/31/1998 8,920.00 8,668.30 10,415.06 9/30/1998 9,250.00 9,223.63 10,664.62 10/31/1998 9,570.00 9,973.89 10,665.13 11/30/1998 9,980.00 10,578.39 10,668.77 12/31/1998 10,470.00 11,187.98 10,700.87 1/31/1999 10,770.00 11,655.83 10,777.31 2/28/1999 10,520.00 11,293.71 10,589.14 3/31/1999 10,910.00 11,745.56 10,647.89 4/30/1999 11,200.00 12,200.42 10,681.64 5/31/1999 10,970.00 11,912.32 10,588.04 6/30/1999 11,360.00 12,573.42 10,554.22 7/31/1999 11,160.00 12,180.82 10,509.38 8/31/1999 11,070.00 12,120.59 10,504.05 9/30/1999 11,020.00 11,788.29 10,625.93 10/31/1999 11,450.00 12,534.27 10,665.13 11/30/1999 11,850.00 12,789.08 10,664.07 12/31/1999 12,513.52 13,542.30 10,612.65 1/31/2000 12,252.19 12,861.90 10,577.62 2/29/2000 12,634.13 12,618.42 10,705.61 3/31/2000 13,156.79 13,852.89 10,846.93 4/30/2000 12,784.90 13,436.12 10,815.47 5/31/2000 12,483.37 13,160.44 10,810.06 6/30/2000 12,805.00 13,484.87 11,034.91 7/31/2000 12,704.49 13,274.04 11,135.33 8/31/2000 13,297.50 14,098.54 11,296.79 9/30/2000 12,885.41 13,354.21 11,367.96 10/31/2000 12,714.54 13,297.76 11,442.99 11/30/2000 12,081.33 12,249.38 11,630.66 12/31/2000 12,319.88 12,309.31 11,846.99 1/31/2001 12,590.65 12,746.04 11,846.99 2/28/2001 11,976.22 11,583.81 11,846.99 3/31/2001 11,507.58 10,849.97 12,205.95 4/30/2001 12,049.11 11,693.12 12,205.95 5/31/2001 12,122.01 11,771.47 12,205.95 6/30/2001 11,924.14 11,484.97 12,274.30 7/31/2001 11,882.49 11,371.89 12,274.30 8/31/2001 11,559.65 10,660.01 12,274.30 9/30/2001 10,966.05 9,799.19 12,840.15 10/31/2001 11,215.99 9,986.04 12,840.15 11/30/2001 11,642.96 10,752.05 12,840.15 12/31/2001 11,730.39 10,846.41 12,846.57 1/31/2002 11,630.22 10,694.56 12,949.34 2/28/2002 11,596.83 10,488.33 13,074.95 3/31/2002 11,830.55 10,882.78 12,857.91 4/30/2002 11,585.71 10,222.98 13,107.35 5/31/2002 11,574.58 10,147.67 13,218.76 6/30/2002 11,084.88 9,424.87 13,333.76 7/31/2002 10,584.06 8,690.12 13,495.10 8/31/2002 10,739.87 8,747.13 13,723.17 9/30/2002 10,216.79 7,796.49 13,945.49 10/31/2002 10,584.06 8,482.72 13,881.34 11/30/2002 10,995.85 8,982.00 13,877.17 12/31/2002 10,735.95 8,449.52 14,164.43 1/31/2003 10,611.38 8,228.17 14,177.18 2/28/2003 10,543.43 8,104.71 14,372.82 3/31/2003 10,577.40 8,183.41 14,361.32 4/30/2003 11,109.67 8,857.51 14,480.52 5/31/2003 11,517.36 9,324.19 14,749.86 6/30/2003 11,607.96 9,443.09 14,720.36 7/31/2003 11,562.66 9,609.61 14,225.76 8/31/2003 11,743.86 9,796.98 14,319.65 9/30/2003 11,766.51 9,693.01 14,699.12 10/31/2003 12,106.25 10,241.26 14,562.42 11/30/2003 12,208.18 10,331.36 14,597.37 12/31/2003 12,641.23 10,873.27 14,746.26 1/31/2004 12,791.86 11,163.67 14,864.23 2/29/2004 12,907.73 11,318.78 15,024.76 3/31/2004 12,872.97 11,148.03 15,137.45 4/30/2004 12,618.06 10,972.99 14,743.87 5/31/2004 12,722.34 11,123.59 14,684.90 6/30/2004 12,919.32 11,339.96 14,767.90 7/31/2004 12,571.71 10,964.09 14,914.28 8/31/2004 12,629.64 11,008.47 15,198.77 9/30/2004 12,815.03 11,127.64 15,240.00 10/31/2004 13,012.01 11,297.67 15,368.02 11/30/2004 13,452.31 11,754.74 15,245.07 12/31/2004 13,851.66 12,154.82 15,385.33 JNL/S&P MANAGED MODERATE GROWTH FUND AVERAGE ANNUAL TOTAL RETURN 1 year 9.58% 5 year 2.05% Since inception 4.96% (Inception date April 10, 1998). date JNL/S&P Managed Moderate Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index 10/4/2004 10,000.00 10,000.00 10,000.00 10/31/2004 10,040.00 9,967.46 10,084.00 11/30/2004 10,300.00 10,370.71 10,003.33 12/31/2004 10,540.00 10,723.69 10,095.36
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SALOMON BROTHERS HIGH YIELD BOND FUND [INSERT LOGO] SALOMON BROTHERS ASSET MANAGEMENT INC. PETER J. WILBY OBJECTIVE: JNL/Salomon Brothers High Yield Bond Fund seeks to maximize current income. As a secondary objective, the Fund seeks capital appreciation. The Fund seeks to achieve its objectives by investing primarily in a diversified portfolio of high-yield, high-risk fixed-income securities of U.S. issuers rated in medium to lower rating categories. MONEY MANAGER COMMENTARY: For the 12 months ended December 31, 2004, the JNL/Salomon Brothers High Yield Bond Fund's Class A shares, returned 8.22%. These shares underperformed the Fund's unmanaged benchmark, the Citigroup High Yield Index, which returned 10.79% for the same period, and the Lipper variable annuity high current yield funds category average, which was 9.84% over the 12 months ended December 31, 2004. During 2004, the high yield market, as represented by the CitigroupHigh Yield Index, returned 10.79%, outperforming nearly all other fixed income asset classes. The high-yield market's strong performance reflected the favorable technical and fundamental conditions that existed for high-yield bonds through most of the period. The high yield market started the year strong off 2003's year-long rally but began to decline late in January as volatility picked up on investor concerns over the timing of anticipated rate increases. The high yield market continued to decline in February, with lower-quality issues leading the way down amid large fund outflows, continued profit taking and greater focus on company fundamentals. In March, investors sought haven in higher-rated bonds in the non-investment-grade universe as terrorism fears and weak employment numbers exerted pressure on stock markets and drove yields on U.S. Treasury bonds lower. However, economic data released in April showing an improving labor market, and signs of higher inflation, sparked another sell-off in U.S. Treasury bonds as investors shifted their expectations of Fed tightening from 2005 to the summer of 2004. Additionally, economic data in May sparked increased inflation fears, with concern over Fed tightening transitioning from timing to size and pace of the expected interest rate increases. Once again, the volatility in the U.S. Treasury market spilled into the high-yield market, resulting in negative returns and large mutual fund redemptions. However, the high-yield bond market rallied for the remainder of the year as increased investor confidence that the Fed would raise rates at a "measured pace" resulted in a strong rally in U.S. Treasuries and tight spreads across fixed income asset classes. Reduced U.S. Treasury market volatility, combined with the continued low interest rate environment, set a positive tone for high yield, engendering generally positive mutual fund flows and contributing both to the record number of deals that came to market during the year and strong demand for higher yielding assets. Additionally, default rates reached 20-year lows as the improving economy and the low interest rate environment enabled companies to extend their debt maturities and improve their liquidity. Top performing industries for the 12 months ended December 31, 2004 consisted of Textiles, Restaurants and Consumer Products. The most significant underperformers included Airlines, Homebuilders and Retail. Similar to last year, lower-quality bonds outperformed higher quality in 2004, with CCC-rated bonds returning 15.70%, B-rated bonds returning 10.71% and BB-rated bonds returning 9.04%. Longer-dated bonds out performed shorter maturities, with bonds with a remaining maturity of 10 years or greater up 12.18% while bonds with a remaining maturity of 1-7 years returned 10.74%. Based on the 7.08% yield of the Citigroup High Yield Index as of December 31, 2004, high-yield bonds continued to offer competitive yields relative to U. S. Treasury notes. However, high-yield issues are subject to additional risks, such as the increased possibility of default because of their lower credit quality, and yields and prices will fluctuate. The Fund performed broadly in line with the market, excluding fees, during the first nine months of the year due to our overweighting in the Consumer Products and Tower sectors and our underweighting in the Airlines sector. However, performance during the last quarter was hindered by the costs of rebalancing a transfer of approximately US$280 million in assets in October, which consisted predominantly of securities acquired from a previous manager with a significantly different high yield management style from ours. The Fund's underweighting in the Airlines, Telecommunications and Utilities sectors and overweighting in the Gaming sector also detracted from performance during the last three months. AVERAGE ANNUAL TOTAL RETURN 1 year 8.22% 5 year 7.64% Since inception 5.46% (Inception date March 2, 1998).
date JNL/Salomon Brothers High Yield Bond Fund (Class A) Salomon Smith Barney High Yield Market Index 3/2/1998 10,000.00 10,000.00 3/31/1998 10,050.00 10,107.96 4/30/1998 10,080.00 10,163.00 5/31/1998 10,110.00 10,190.16 6/30/1998 10,140.00 10,212.74 7/31/1998 10,190.00 10,294.59 8/31/1998 9,760.00 9,604.50 9/30/1998 9,830.00 9,723.05 10/31/1998 9,690.00 9,589.33 11/30/1998 10,160.00 10,070.56 12/31/1998 10,132.37 10,063.26 1/31/1999 10,248.59 10,214.00 2/28/1999 10,195.77 10,128.18 3/31/1999 10,290.86 10,213.81 4/30/1999 10,428.21 10,427.72 5/31/1999 10,311.99 10,263.87 6/30/1999 10,164.07 10,240.84 7/31/1999 10,111.24 10,263.07 8/31/1999 9,910.50 10,140.95 9/30/1999 9,942.19 10,064.35 10/31/1999 9,783.71 9,995.66 11/30/1999 9,857.67 10,152.26 12/31/1999 9,953.95 10,237.63 1/31/2000 9,839.67 10,152.97 2/29/2000 9,816.82 10,177.15 3/31/2000 9,633.96 9,970.11 4/30/2000 9,599.68 10,009.71 5/31/2000 9,485.40 9,870.49 6/30/2000 9,611.11 10,092.11 7/31/2000 9,702.53 10,201.71 8/31/2000 9,793.96 10,277.69 9/30/2000 9,736.82 10,167.46 10/31/2000 9,508.25 9,866.47 11/30/2000 9,359.69 9,463.01 12/31/2000 9,489.58 9,656.46 1/31/2001 9,848.38 10,307.02 2/28/2001 9,996.85 10,430.08 3/31/2001 9,972.11 10,240.58 4/30/2001 10,009.22 10,090.06 5/31/2001 10,083.46 10,251.79 6/30/2001 9,972.11 9,969.84 7/31/2001 10,095.83 10,157.72 8/31/2001 10,194.81 10,296.33 9/30/2001 9,613.31 9,554.98 10/31/2001 9,860.75 9,872.45 11/30/2001 10,046.34 10,247.74 12/31/2001 9,995.81 10,181.90 1/31/2002 10,090.11 10,225.49 2/28/2002 10,036.22 10,114.27 3/31/2002 10,224.82 10,383.50 4/30/2002 10,386.48 10,553.42 5/31/2002 10,346.07 10,422.52 6/30/2002 9,874.57 9,504.59 7/31/2002 9,591.67 9,074.88 8/31/2002 9,914.98 9,420.24 9/30/2002 9,847.62 9,234.97 10/31/2002 9,780.27 9,203.50 11/30/2002 10,399.95 9,905.79 12/31/2002 10,571.08 10,027.60 1/31/2003 10,767.97 10,401.01 2/28/2003 10,919.42 10,540.50 3/31/2003 11,146.59 10,895.10 4/30/2003 11,691.80 11,572.19 5/31/2003 11,843.25 11,648.98 6/30/2003 12,131.00 12,011.22 7/31/2003 11,994.70 11,833.67 8/31/2003 12,115.86 11,955.12 9/30/2003 12,403.61 12,309.32 10/31/2003 12,721.65 12,595.53 11/30/2003 12,918.53 12,770.49 12/31/2003 13,297.21 13,098.34 1/31/2004 13,512.49 13,324.74 2/29/2004 13,446.25 13,251.82 3/31/2004 13,429.69 13,335.05 4/30/2004 13,396.57 13,289.58 5/31/2004 13,197.86 13,059.39 6/30/2004 13,380.01 13,253.96 7/31/2004 13,495.93 13,424.43 8/31/2004 13,744.32 13,669.71 9/30/2004 13,926.47 13,855.32 10/31/2004 14,158.30 14,142.53 11/30/2004 14,241.10 14,305.55 12/31/2004 14,390.15 14,511.22
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SALOMON BROTHERS STRATEGIC BOND FUND (FORMERLY JNL/SALOMON BROTHERS GLOBAL BOND FUND) [INSERT LOGO] SALOMON BROTHERS ASSET MANAGEMENT INC. PETER J. WILBY, DAVID J. SCOTT, ROGER LAVAN OBJECTIVE: JNL/Salomon Brothers Strategic Bond Fund seeks as its investment objective a high level of current income. As a secondary objective, the Fund will seek capital appreciation. The Fund seeks to achieve its objectives by investing in a globally diverse portfolio of fixed income investments and by giving the subadviser broad discretion to deploy the Fund's assets among certain segments of the fixed income market that the sub-adviser believes will best contribute to achievement of the Fund's investment objectives. MONEY MANAGER COMMENTARY: As widely anticipated, the Federal Reserve Board ("Fed") raised its federal funds target rate during 2004, bringing it to 2.25% at year end from 1.00%, which had been its lowest level in more than 40 years. Even though the market fully expected the 25 basis point hike in the federal funds rate in late June and each successive meeting thereafter, the wording of the statements following the meetings still generated some anxiety. The Fed continued to reiterate throughout the year that it would increase rates "at a pace that is likely to be measured" but also added, "the Committee will respond to changes in economic prospects as needed to fulfill its obligation to maintain price stability." The 10-year U.S. Treasury note ended the year relatively unchanged for the year, after reaching it's low of 3.68% in March and then hitting its high of 4.87% in June. After reaching its high in June the 10-year U.S. Treasury market rallied after the Fed's initial 25 basis point rate hike, and remained range bound for the remainder of the year. Most of the year was characterized by investors dissecting language from the Fed for clues on its assessment of the U.S. economy and pace of rate hikes. The U.S. economy's quarterly pace of growth continued to advance over the period and the economy has entered the fourth year of expansion since the 2001 recession. Although a series of one-off events - surging oil prices, hurricanes, the waning effects of 2002-2003 tax cuts, etc. - undoubtedly restrained growth in 2004, the economy proved resilient enough to grow 4.0% over the past four quarters. Even the U.S. labor market, which generated lackluster results throughout most of 2003, improved over the past year , but the pace of improvements is uneven from month-to-month. Given the combination of strong gross domestic product ("GDP") results, comments from the Fed about a more robust economy, improvement in job growth and a pick-up in inflation, the economy has appeared to be firing on all cylinders. In general, 10-year U.S. Treasuries performed better than mortgage-backed securities, and significantly better than U.S. Agencies securities on a total return basis over the twelve-month period. All Treasuries finished the year in positive territory, while longer-term U.S. Treasuries outperformed U.S. Treasury bills and notes, as the Treasury curve flattened during the second half of the year, causing the shorter end of the curve to under perform. During 2004, the high yield market, as represented by the Citigroup High Yield Market Index , returned 10.79%, outperforming nearly all other fixed income asset classes. The high-yield market's strong performance reflected the favorable technical and fundamental conditions that existed for high-yield bonds through most of the period. Emerging markets debt performed positively through the 12 months ended December 31, 2004, returning 11.77% as represented by the J.P. Morgan Emerging Markets Bond Index Plus ("EMBI+") . Good country fundamentals, commodity price strength and the absence of U.S. Treasury market volatility during the majority of the period supported emerging markets debt returns. The Fund's allocation to higher-yielding bonds has proved to be beneficial over the period, which, in the managers' view, should continue if interest rates continue to rise from Fed tightening and the economy remains stable. Within the U.S. investment-grade component of the portfolio, we decreased our mortgage-backed securities weighting as a defensive posture due to tighter spreads and valuations within the mortgage-backed sector, and potential for increased volatility within the mortgage-sector as the Fed continues to raise interest rates, potentially putting pressure on the 10-year part of the yield curve. We added to our positions in U.S. Treasuries and investment grade corporates. We decreased our allocation to the U.S. high yield market in favor of increasing exposure to emerging markets debt, which provided additional yield over the 12 months. We remain short duration versus the benchmark index, as we continue to position the Fund defensively on interest rates. AVERAGE ANNUAL TOTAL RETURN 1 year 6.91% 5 year 8.52% Since inception 8.17% (Inception date May 15, 1995).
JNL/Salomon Brothers date Strategic Bond Fund (Class A) Citigroup Bond Index Lehman Brothers Aggregate Bond 05/15/1995 10,000.00 10,000.00 10,000.00 05/31/1995 9,930.00 10,194.00 10,070.00 06/30/1995 10,040.00 10,265.00 10,210.00 07/31/1995 10,070.00 10,245.00 10,245.00 08/31/1995 10,110.00 10,362.00 10,368.00 09/30/1995 10,240.00 10,459.00 10,469.00 10/31/1995 10,210.00 10,599.00 10,605.00 11/30/1995 10,420.00 10,764.00 10,764.00 12/31/1995 10,714.07 10,913.00 10,915.00 01/31/1996 11,137.56 10,987.00 10,988.00 02/29/1996 11,010.51 10,800.00 10,797.00 03/31/1996 11,074.03 10,722.00 10,722.00 04/30/1996 11,190.49 10,643.00 10,662.00 05/31/1996 11,285.77 10,637.00 10,588.00 06/30/1996 11,370.47 10,774.00 10,404.00 07/31/1996 11,433.99 10,803.00 10,472.00 08/31/1996 11,592.80 10,788.00 10,619.00 09/30/1996 11,910.41 10,976.00 10,778.00 10/31/1996 11,984.52 11,223.00 11,017.00 11/30/1996 12,175.08 11,408.00 11,206.00 12/31/1996 12,256.28 11,307.00 11,102.00 01/31/1997 12,383.11 11,351.10 11,105.44 02/28/1997 12,509.94 11,363.58 11,133.21 03/31/1997 12,325.46 11,248.81 11,009.63 04/30/1997 12,498.41 11,409.67 11,174.77 05/31/1997 12,740.54 11,516.92 11,280.93 06/30/1997 12,925.02 11,653.97 11,415.17 07/31/1997 13,213.27 11,969.79 11,723.38 08/31/1997 13,178.68 11,866.85 11,623.74 09/30/1997 13,432.33 12,041.30 11,795.77 10/31/1997 13,190.21 12,214.69 11,966.81 11/30/1997 13,386.21 12,272.10 12,021.85 12/31/1997 13,562.83 12,397.28 12,143.27 01/31/1998 13,672.60 12,556.62 12,361.85 02/28/1998 13,770.18 12,547.55 12,434.79 03/31/1998 13,867.75 12,597.05 12,332.71 04/30/1998 13,892.14 12,661.93 12,396.84 05/31/1998 13,916.54 12,783.01 12,514.61 06/30/1998 13,904.34 12,888.32 12,618.59 07/31/1998 13,965.32 12,915.54 12,645.14 08/31/1998 13,062.76 13,113.73 12,844.59 09/30/1998 13,526.24 13,422.75 13,152.36 10/31/1998 13,550.63 13,362.02 13,153.00 11/30/1998 13,855.55 13,435.75 13,157.48 12/31/1998 13,896.64 13,477.51 13,197.07 01/31/1999 13,883.62 13,577.16 13,291.34 02/28/1999 13,766.40 13,339.11 13,059.27 03/31/1999 13,974.78 13,415.41 13,131.73 04/30/1999 14,157.12 13,460.04 13,173.35 05/31/1999 13,818.50 13,336.87 13,057.92 06/30/1999 13,883.62 13,290.86 13,016.21 07/31/1999 13,857.57 13,238.23 12,960.92 08/31/1999 13,727.33 13,228.56 12,954.33 09/30/1999 13,883.62 13,386.91 13,104.65 10/31/1999 13,974.78 13,427.47 13,153.00 11/30/1999 14,026.88 13,426.62 13,151.68 12/31/1999 14,156.56 13,365.47 13,088.26 01/31/2000 14,032.26 13,327.70 13,045.07 02/29/2000 14,308.49 13,483.24 13,202.92 03/31/2000 14,391.35 13,658.13 13,377.20 04/30/2000 14,267.05 13,617.58 13,338.40 05/31/2000 14,156.56 13,605.56 13,331.73 06/30/2000 14,460.41 13,889.86 13,609.03 07/31/2000 14,598.52 14,016.76 13,732.88 08/31/2000 14,778.07 14,217.03 13,932.00 09/30/2000 14,805.69 14,313.39 14,019.77 10/31/2000 14,722.82 14,404.47 14,112.30 11/30/2000 14,860.94 14,638.01 14,343.75 12/31/2000 15,186.77 14,914.83 14,610.54 01/31/2001 15,465.02 15,160.27 14,610.54 02/28/2001 15,567.54 15,294.78 14,610.54 03/31/2001 15,582.18 15,374.90 15,053.24 04/30/2001 15,538.25 15,302.74 15,053.24 05/31/2001 15,611.47 15,402.96 15,053.24 06/30/2001 15,640.76 15,453.85 15,137.54 07/31/2001 15,875.08 15,810.88 15,137.54 08/31/2001 16,050.82 15,985.47 15,137.54 09/30/2001 15,948.31 16,182.53 15,835.38 10/31/2001 16,299.78 16,509.13 15,835.38 11/30/2001 16,167.98 16,280.84 15,835.38 12/31/2001 16,206.43 16,185.45 15,843.30 01/31/2002 16,362.12 16,312.93 15,970.04 02/28/2002 16,517.80 16,468.90 16,124.95 03/31/2002 16,502.23 16,196.37 15,857.28 04/30/2002 16,782.45 16,503.62 16,164.91 05/31/2002 16,782.45 16,643.88 16,302.31 06/30/2002 16,486.66 16,766.41 16,444.14 07/31/2002 16,268.71 16,965.95 16,643.11 08/31/2002 16,766.89 17,263.09 16,924.38 09/30/2002 16,798.02 17,537.83 17,198.56 10/31/2002 16,860.30 17,458.72 17,119.44 11/30/2002 17,233.93 17,455.89 17,114.31 12/31/2002 17,564.25 17,818.33 17,468.58 1/31/2003 17,729.48 17,831.94 17,484.30 2/28/2003 18,059.95 18,085.58 17,725.58 3/31/2003 18,258.22 18,068.60 17,711.40 4/30/2003 18,853.06 18,228.00 17,858.40 5/31/2003 19,299.19 18,564.36 18,190.57 6/30/2003 19,332.24 18,531.78 18,154.19 7/31/2003 18,753.92 17,904.74 17,544.21 8/31/2003 18,968.73 18,027.73 17,660.00 9/30/2003 19,464.42 18,500.20 18,127.99 10/31/2003 19,497.47 18,329.78 17,959.40 11/30/2003 19,613.13 18,383.57 18,002.50 12/31/2003 19,941.24 18,567.39 18,186.13 1/31/2004 20,098.68 18,720.68 18,331.62 2/29/2004 20,168.64 18,921.80 18,529.60 3/31/2004 20,291.09 19,065.95 18,668.57 4/30/2004 19,888.77 18,570.99 18,183.19 5/31/2004 19,766.32 18,491.27 18,110.46 6/30/2004 19,923.75 18,600.96 18,212.82 7/31/2004 20,151.15 18,785.16 18,393.34 8/31/2004 20,518.49 19,156.51 18,744.19 9/30/2004 20,658.43 19,207.22 18,795.05 10/31/2004 20,903.32 19,375.47 18,952.93 11/30/2004 21,043.26 19,213.55 18,801.30 12/31/2004 21,319.68 19,398.40 18,974.27
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND [INSERT LOGO] SALOMON BROTHERS ASSET MANAGEMENT INC. ROGER LAVAN OBJECTIVE: JNL/Salomon Brothers U.S. Government & Quality Bond Fund seeks as its investment objective a high level of current income, by investing primarily in debt obligations and mortgage-backed securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities including collateralized mortgage obligations backed by such securities. The Fund may also invest a portion of its assets in investment-grade bonds. MONEY MANAGER COMMENTARY: As widely anticipated, the Federal Reserve Board ("Fed") raised its federal funds target rate during 2004, bringing it to 2.25% at year end, from 1.00%, which had been its lowest level in more than 40 years. Even though the market fully expected the 25 basis point hike in the federal funds rate in late June and each successive meeting thereafter, the wording of the statements following the meetings still generated some anxiety. The Fed continued to reiterate throughout the year that it would increase rates "at a pace that is likely to be measured" but also added, "the Committee will respond to changes in economic prospects as needed to fulfill its obligation to maintain price stability." The 10-year U.S. Treasury note ended the year relatively unchanged at -2 bps change for the year, after reaching it's low of 3.68% in March and then hitting its high of 4.87% in June. After reaching its high in June the 10-year U.S. Treasury market rallied after the Fed's initial 25 basis point rate hike, and remained range bound for the remainder of the year. Investors spent much of the year dissecting language from the Fed for clues on its assessment of the U.S. economy and pace of rate hikes. The U.S. economy's quarterly pace of growth continued to advance over the period and the economy has entered the fourth year of expansion since the 2001 recession. Although a series of one-off events - surging oil prices, hurricanes, the waning effects of 2002-2003 tax cuts, etc. - undoubtedly restrained growth in 2004, the economy proved resilient enough to grow 4.0% over the past four quarters. Even the U.S. labor market, which generated lackluster results throughout most of 2003, improved over the past year , but the pace of improvements was uneven from month-to-month. Given the combination of strong gross domestic product ("GDP") results, comments from the Fed about a more robust economy, improvement in job growth and a pick-up in inflation, the economy has appeared to be firing on all cylinders. Mortgage-backed securities outperformed U.S. Treasury securities of comparable duration during the year. Agency securities provided only modest excess returns versus U.S. Treasuries of similar duration. All Treasuries finished the year in positive territory, while longer-term U.S. Treasury outperformed U.S. Treasury bills and notes, as the Treasury curve flattened during the second half of the year, causing the shorter end of the curve to under perform. During the 12 months ended December 31, 2004, we increased our allocations to agencies and mortgage pass-throughs and decreased our exposure to CMOs and ABS securities. We remain short duration versus the benchmark index, as we continue to position our portfolios defensively on interest rates. Given the current trading range of the 10-Year U.S. Treasury Bond and concerns about interest rate volatility, we plan to maintain our tactical short-duration posture. We continue to emphasize mortgage-backed securities, which have provided greater risk adjusted returns in the past during low interest rate volatility periods. We will continue to monitor our tactical sector allocations and will make adjustments as interest rate volatility increases and rates start to backup on the 10-year part of the yield curve. AVERAGE ANNUAL TOTAL RETURN 1 year 3.85% 5 year 6.89% Since inception 6.18% (Inception date May 15, 1995).
date JNL/Salomon Brothers U.S. Government & Quality Bond Fund (Class A) Salomon Smith Barney Treasury Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,030.00 10,199.00 6/30/1995 10,140.00 10,277.00 7/31/1995 10,060.00 10,242.00 8/31/1995 10,180.00 10,356.00 9/30/1995 10,270.00 10,449.00 10/31/1995 10,410.00 10,612.00 11/30/1995 10,560.00 10,784.00 12/31/1995 10,693.64 10,934.00 1/31/1996 10,766.24 11,005.00 2/29/1996 10,548.43 10,786.00 3/31/1996 10,465.45 10,691.00 4/30/1996 10,423.96 10,608.00 5/31/1996 10,392.84 10,606.00 6/30/1996 10,506.94 10,737.00 7/31/1996 10,527.68 10,761.00 8/31/1996 10,527.68 10,740.00 9/30/1996 10,693.64 10,916.00 10/31/1996 10,901.08 11,161.00 11/30/1996 11,098.15 11,348.00 12/31/1996 10,969.35 11,232.00 1/31/1997 11,001.61 11,248.85 2/28/1997 11,023.12 11,254.47 3/31/1997 10,904.82 11,141.93 4/30/1997 11,044.63 11,295.69 5/31/1997 11,130.66 11,393.96 6/30/1997 11,227.45 11,521.57 7/31/1997 11,560.83 11,852.24 8/31/1997 11,431.78 11,730.16 9/30/1997 11,603.85 11,910.81 10/31/1997 11,797.42 12,118.05 11/30/1997 11,840.44 12,145.93 12/31/1997 11,973.66 12,249.17 1/31/1998 12,152.87 12,437.58 2/28/1998 12,130.47 12,397.93 3/31/1998 12,152.87 12,435.32 4/30/1998 12,208.87 12,490.09 5/31/1998 12,320.88 12,617.81 6/30/1998 12,421.69 12,764.34 7/31/1998 12,444.09 12,784.17 8/31/1998 12,735.31 13,127.89 9/30/1998 13,149.74 13,494.11 10/31/1998 13,037.73 13,447.72 11/30/1998 13,037.73 13,449.29 12/31/1998 13,099.34 13,474.66 1/31/1999 13,169.83 13,557.28 2/28/1999 12,887.87 13,214.42 3/31/1999 12,970.11 13,266.72 4/30/1999 13,005.36 13,296.35 5/31/1999 12,840.88 13,177.45 6/30/1999 12,758.64 13,145.13 7/31/1999 12,711.65 13,134.01 8/31/1999 12,711.65 13,136.67 9/30/1999 12,864.38 13,238.88 10/31/1999 12,887.87 13,254.70 11/30/1999 12,852.63 13,229.91 12/31/1999 12,771.53 13,144.70 1/31/2000 12,685.23 13,175.77 2/29/2000 12,870.15 13,373.88 3/31/2000 13,055.07 13,638.51 4/30/2000 13,018.08 13,598.26 5/31/2000 13,005.76 13,618.37 6/30/2000 13,239.98 13,848.25 7/31/2000 13,338.60 13,989.35 8/31/2000 13,535.85 14,193.18 9/30/2000 13,609.81 14,205.98 10/31/2000 13,720.76 14,343.93 11/30/2000 13,967.32 14,637.08 12/31/2000 14,240.76 14,916.94 1/31/2001 14,409.67 15,033.01 2/28/2001 14,526.61 15,216.34 3/31/2001 14,591.58 15,266.32 4/30/2001 14,435.66 15,078.30 5/31/2001 14,474.64 15,128.89 6/30/2001 14,526.61 15,207.83 7/31/2001 14,903.42 15,584.43 8/31/2001 15,072.33 15,785.74 9/30/2001 15,436.15 16,039.75 10/31/2001 15,851.94 16,475.68 11/30/2001 15,423.15 16,074.63 12/31/2001 15,225.85 15,921.05 1/31/2002 15,362.16 16,025.22 2/28/2002 15,525.73 16,173.63 3/31/2002 15,157.69 15,779.71 4/30/2002 15,552.99 16,166.15 5/31/2002 15,648.41 16,259.56 6/30/2002 15,839.25 16,488.81 7/31/2002 16,166.39 16,876.64 8/31/2002 16,493.53 17,233.55 9/30/2002 16,875.20 17,697.61 10/31/2002 16,725.26 17,496.16 11/30/2002 16,575.32 17,329.30 12/31/2002 16,972.77 17,774.18 1/31/2003 16,944.22 17,718.12 2/28/2003 17,229.72 18,024.04 3/31/2003 17,144.07 17,947.47 4/30/2003 17,243.99 18,031.09 5/31/2003 17,700.79 18,555.02 6/30/2003 17,572.32 18,438.21 7/31/2003 16,587.35 17,630.82 8/31/2003 16,744.38 17,734.26 9/30/2003 17,158.35 18,267.34 10/31/2003 16,987.05 17,991.35 11/30/2003 17,044.15 18,017.35 12/31/2003 17,172.69 18,177.11 1/31/2004 17,307.44 18,330.35 2/29/2004 17,472.13 18,554.75 3/31/2004 17,576.93 18,731.00 4/30/2004 17,067.89 18,129.49 5/31/2004 17,022.97 18,070.46 6/30/2004 17,142.75 18,146.61 7/31/2004 17,307.44 18,312.56 8/31/2004 17,576.93 18,690.64 9/30/2004 17,621.84 18,739.87 10/31/2004 17,771.56 18,887.80 11/30/2004 17,666.76 18,633.97 12/31/2004 17,833.98 18,819.19
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SELECT BALANCED FUND (FORMERLY THE JNL/PPM AMERICA BALANCED FUND)* [INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP EDWARD P. BOUSA OBJECTIVE: The investment objective of the JNL/Select Balanced Fund is reasonable income and long-term capital growth. MONEY MANAGER COMMENTARY: The Fund's Class A shares returned 5.32% for the period from Wellington Management's inception as subadviser on October 04, 2004 through December 31, 2004. Over this time period, the Fund outperformed the custom benchmark of 65% S&P 500 / 35% Lehman Brothers Aggregate Bond return of 4.97%. For the full year, the Fund's return of 10.88% compares favorably with the 10.88% return of the S&P 500 Index. 2004 finished strongly following the 2004 Presidential election. Oil prices peaked in October and have retreated roughly $8/barrel since then. This softening in energy costs was viewed as a positive for corporate earnings. The Federal Funds rate continued its rise to 2.25%, but long term rates were not significantly altered. Asian demand for US goods and services, a key driver of US industrial growth, remained solid. The weak US dollar also contributed to corporate earnings growth. Overall, the economy performed well, even with modest concerns about the consumer's ability to grow spending. The equity market rally in the fourth quarter brought equities back to more fairly valued levels. The S&P 500 is currently valued at 17x 2005 projected earnings and its current yield is only 1.7%. The market's previous valuation discount, driven by terrorism and economic uncertainty seems to have been largely erased by the market recovery. The Fund's equity portfolio outperformed the S&P 500 during the period. Our positions in Financials and Consumer Staples contributed favorably to performance, as strong stock selection drove positive outperformance in both sectors. However, our overweight position in Energy detracted from performance, as the fall in the price off its peak slowed what had been a strong sector earlier in the year. The Fund's strongest contributors during the quarter included Caterpillar (21%), Altria (28%), Encana (16%), and Hartford Financial Services (19%). Caterpillar experienced increased demand for its products as industrial production expanded globally. Altria's Philip Morris unit had positive legal developments. There is increased hope for more favorable treatment from a second Bush Administration. Stocks detracting from performance included Alcoa (-3%) and Pfizer (-7%). Alcoa has lagged because of the drag of labor issues at several plants. This dispute appears to be resolved now. On the fixed income side, the Fund outperformed the Lehman Brothers Aggregate Bond Index during the period. The yield curve posture of the Fund added to returns relative to the benchmark. The Fund's barbelled term structure also enhanced returns as the yield curve flattened. In terms of sector allocation, gains generated from the Fund's overweight to the credit and securitized sectors were offset by an underweight to the mortgage-backed pass-through (MBS) sector which posted strong performance. AVERAGE ANNUAL TOTAL RETURN 1 year 10.88% 5 year 9.59% Since inception 10.57% (Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by the Phoenix Investment Counsel, Inc. *Prior to 10/04/2004, the Fund was managed by PPM America, Inc.
date JNL/Select Balanced Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index 5/15/1995 10,000.00 10,000.00 10,000.00 5/31/1995 10,070.00 10,130.00 10,070.00 6/30/1995 10,210.00 10,356.00 10,210.00 7/31/1995 10,460.00 10,694.00 10,245.00 8/31/1995 10,660.00 10,726.00 10,368.00 9/30/1995 10,840.00 11,179.00 10,469.00 10/31/1995 10,890.00 11,139.00 10,605.00 11/30/1995 11,270.00 11,627.00 10,764.00 12/31/1995 11,544.72 11,851.00 10,915.00 1/31/1996 11,711.73 12,254.00 10,988.00 2/29/1996 11,711.73 12,368.00 10,797.00 3/31/1996 11,659.54 12,487.00 10,722.00 4/30/1996 11,649.10 12,671.00 10,662.00 5/31/1996 11,878.74 12,996.00 10,588.00 6/30/1996 11,983.12 13,046.00 10,404.00 7/31/1996 11,555.15 12,469.00 10,472.00 8/31/1996 11,732.60 12,732.00 10,619.00 9/30/1996 12,264.96 13,448.00 10,778.00 10/31/1996 12,588.54 13,819.00 11,017.00 11/30/1996 13,089.58 14,862.00 11,206.00 12/31/1996 12,792.44 14,568.00 11,102.00 1/31/1997 13,339.76 15,477.04 11,105.44 2/28/1997 13,200.25 15,597.76 11,133.21 3/31/1997 12,738.78 14,958.26 11,009.63 4/30/1997 13,125.13 15,849.77 11,174.77 5/31/1997 13,640.26 16,813.43 11,280.93 6/30/1997 13,983.68 17,566.68 11,415.17 7/31/1997 14,638.33 18,963.23 11,723.38 8/31/1997 14,370.03 17,901.29 11,623.74 9/30/1997 14,810.04 18,882.28 11,795.77 10/31/1997 14,573.93 18,251.61 11,966.81 11/30/1997 14,938.82 19,096.66 12,021.85 12/31/1997 15,150.04 19,424.43 12,143.27 1/31/1998 15,126.84 19,639.25 12,361.85 2/28/1998 15,869.27 21,055.75 12,434.79 3/31/1998 16,391.28 22,133.99 12,332.71 4/30/1998 16,414.48 22,417.75 12,396.84 5/31/1998 16,414.48 21,996.30 12,514.61 6/30/1998 16,344.88 22,862.95 12,618.59 7/31/1998 16,112.87 22,620.12 12,645.14 8/31/1998 14,987.64 19,352.80 12,844.59 9/30/1998 15,440.05 20,592.62 13,152.36 10/31/1998 16,101.27 22,266.16 13,153.00 11/30/1998 16,658.09 23,615.11 13,157.48 12/31/1998 16,674.14 24,975.06 13,197.07 1/31/1999 16,735.99 26,019.44 13,291.34 2/28/1999 16,476.23 25,211.07 13,059.27 3/31/1999 16,562.81 26,219.74 13,131.73 4/30/1999 17,515.27 27,235.12 13,173.35 5/31/1999 17,403.94 26,591.99 13,057.92 6/30/1999 17,626.59 28,067.79 13,016.21 7/31/1999 17,255.51 27,191.38 12,960.92 8/31/1999 16,909.16 27,056.91 12,954.33 9/30/1999 16,612.29 26,315.12 13,104.65 10/31/1999 16,735.99 27,980.40 13,153.00 11/30/1999 16,698.88 28,549.21 13,151.68 12/31/1999 16,656.75 30,230.62 13,088.26 1/31/2000 16,048.64 28,711.77 13,045.07 2/29/2000 15,281.90 28,168.23 13,202.92 3/31/2000 16,498.11 30,923.95 13,377.20 4/30/2000 16,471.67 29,993.60 13,338.40 5/31/2000 16,564.21 29,378.20 13,331.73 6/30/2000 16,114.74 30,102.43 13,609.03 7/31/2000 16,101.52 29,631.78 13,732.88 8/31/2000 16,802.16 31,472.32 13,932.00 9/30/2000 16,855.04 29,810.74 14,019.77 10/31/2000 17,397.05 29,684.73 14,112.30 11/30/2000 17,211.97 27,344.42 14,343.75 12/31/2000 18,030.77 27,478.21 14,610.54 1/31/2001 18,827.26 28,453.11 14,610.54 2/28/2001 18,923.39 25,858.67 14,610.54 3/31/2001 18,635.00 24,220.50 15,053.24 4/30/2001 19,211.77 26,102.68 15,053.24 5/31/2001 19,527.62 26,277.59 15,053.24 6/30/2001 19,651.21 25,638.02 15,137.54 7/31/2001 19,953.32 25,385.59 15,137.54 8/31/2001 19,761.07 23,796.45 15,137.54 9/30/2001 18,786.06 21,874.84 15,835.38 10/31/2001 19,088.18 22,291.95 15,835.38 11/30/2001 19,719.87 24,001.92 15,835.38 12/31/2001 19,936.87 24,212.56 15,843.30 1/31/2002 20,264.40 23,873.58 15,970.04 2/28/2002 20,378.33 23,413.21 16,124.95 3/31/2002 20,734.34 24,293.75 15,857.28 4/30/2002 20,648.90 22,820.87 16,164.91 5/31/2002 21,019.16 22,652.75 16,302.31 6/30/2002 20,421.05 21,039.24 16,444.14 7/31/2002 19,409.97 19,399.04 16,643.11 8/31/2002 19,623.57 19,526.32 16,924.38 9/30/2002 18,142.55 17,404.18 17,198.56 10/31/2002 18,996.99 18,936.08 17,119.44 11/30/2002 19,908.39 20,050.62 17,114.31 12/31/2002 19,551.43 18,861.96 17,468.58 1/31/2003 19,224.08 18,367.83 17,484.30 2/28/2003 18,986.01 18,092.24 17,725.58 3/31/2003 19,030.65 18,267.91 17,711.40 4/30/2003 20,176.36 19,772.72 17,858.40 5/31/2003 21,277.43 20,814.48 18,190.57 6/30/2003 21,441.10 21,079.91 18,154.19 7/31/2003 21,441.10 21,451.63 17,544.21 8/31/2003 21,753.57 21,869.92 17,660.00 9/30/2003 21,798.20 21,637.81 18,127.99 10/31/2003 22,661.20 22,861.67 17,959.40 11/30/2003 22,854.64 23,062.80 18,002.50 12/31/2003 23,768.83 24,272.52 18,186.13 1/31/2004 24,135.68 24,718.01 18,331.62 2/29/2004 24,441.39 25,061.47 18,529.60 3/31/2004 24,441.39 24,683.39 18,668.57 4/30/2004 23,982.82 24,295.84 18,183.19 5/31/2004 24,074.54 24,629.28 18,110.46 6/30/2004 24,502.53 25,108.36 18,212.82 7/31/2004 24,273.25 24,276.12 18,393.34 8/31/2004 24,594.24 24,374.39 18,744.19 9/30/2004 24,869.38 24,638.25 18,795.05 10/31/2004 25,022.23 25,014.72 18,952.93 11/30/2004 25,694.79 26,026.74 18,801.30 12/31/2004 26,353.77 26,912.58 18,974.27
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SELECT GLOBAL GROWTH FUND (FORMERLY THE JNL/JANUS GLOBAL EQUITIES FUND)* [INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP JOHN A. BOSELLI OBJECTIVE: The investment objective of the JNL/Select Global Growth Fund is long-term growth of capital. MONEY MANAGER COMMENTARY: FUND PERFORMANCE: During 2004 Wellington Management assumed subadvisery responsibilities for the Fund. The Fund's Class A shares returned 12.0% for the period from Wellington's inception as subadviser on May 01, 2004 through December 31, 2004. Over this time period, the Fund trailed the MSCI World benchmark return of 14.5% but beat the MSCI World Growth benchmark return of 10.9%. For the full year, the Fund returned 11.36% vs. 14.72% for it's benchmark the MSCI World Index. MARKET OVERVIEW: During the period, global equity markets, as measured by the MSCI World Index, outperformed US equity markets, as measured by the S&P 500 Index. The advance of global markets was disparate, with value-oriented sectors of the MSCI World Index, such as Energy, Utilities, and Materials, achieving returns ranging from 23-25%. The returns of more growth-oriented sectors, such as Health Care and Technology were much lower. We do not manage the Fund according to country weights. Instead, we focus mainly on sector and stock weights. Our outperformance versus the benchmark was primarily driven by strong stock selection within the Health Care and Information Technology sectors. Although these were among the weakest sectors of the benchmark, they were the strongest sectors of the Fund. The three largest contributors to the Fund's absolute returns were from these two sectors. The two largest contributors were Apple Computer and Canadian technology hardware company, Research in Motion. Research in Motion, which produces the wildly successful Blackberry device, is an example of how we are able to take advantage of volatility caused by non-fundamental factors. During the summer, the stock fell although there was no change in the outlook for the company. We took advantage of this disparity and added to our position. The stock price subsequently rose dramatically. Much of the volatility in the stock price was attributed to an outstanding patent litigation case. After much work, we concluded that the ruling would come sooner and have a more negative effect on the stock price than expected. As a result, we trimmed our holdings, fortunately ahead of the December 12 US appeals court ruling and the subsequent drop in stock price. Relative performance was offset somewhat by the Fund's stock selection in Energy, Financials and Industrials. The three largest detractors from absolute returns were Red Hat, Alcatel, and Samsung Electronics. Alcatel, the French communications and energy infrastructure company, dramatically underperformed after reporting weak second quarter results, largely upon disappointment with cost cutting efforts. We continued to hold the stock as of the end of the period as the price has rebounded. We continue to be positioned for economic growth and are beginning to see many of the trends play out in stock price performance. Our focus will remain on stock and sector selection, coming from intense bottom-up research. Our large weights in the Consumer Discretionary and Information Technology sectors, some of the strongest representatives of growth, are a result of our bottom-up research and analysis. We will continue to meet with every company we invest in, and of course, with many others. AVERAGE ANNUAL TOTAL RETURN 1 year 11.36% 5 year -8.84% Since inception 10.66% (Inception date May 15, 1995). *Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC date JNL/Select Global Growth Fund (Class A) MSCI World Index 5/15/1995 10,000.00 10,000.00 5/31/1995 10,180.00 10,046.00 6/30/1995 10,680.00 10,026.00 7/31/1995 11,600.00 10,511.00 8/31/1995 11,910.00 10,260.00 9/30/1995 12,240.00 10,543.00 10/31/1995 12,150.00 10,360.00 11/30/1995 12,470.00 10,703.00 12/31/1995 12,926.00 10,999.00 1/31/1996 13,317.07 11,182.00 2/29/1996 13,512.61 11,233.00 3/31/1996 14,150.68 11,402.00 4/30/1996 14,613.79 11,588.00 5/31/1996 15,210.69 11,581.00 6/30/1996 15,735.55 11,623.00 7/31/1996 15,220.98 11,194.00 8/31/1996 15,838.46 11,305.00 9/30/1996 16,064.88 11,730.00 10/31/1996 16,260.41 11,794.00 11/30/1996 17,104.31 12,437.00 12/31/1996 16,979.84 12,221.00 1/31/1997 17,638.93 12,370.34 2/28/1997 18,041.08 12,514.70 3/31/1997 17,974.06 12,269.29 4/30/1997 17,951.72 12,672.46 5/31/1997 19,001.79 13,456.88 6/30/1997 19,996.00 14,130.27 7/31/1997 20,967.87 14,783.23 8/31/1997 19,638.53 13,796.44 9/30/1997 21,146.61 14,548.21 10/31/1997 20,029.51 13,784.72 11/30/1997 19,951.32 14,030.78 12/31/1997 20,226.96 14,203.92 1/31/1998 20,944.40 14,581.50 2/28/1998 22,633.83 15,549.20 3/31/1998 23,698.41 16,335.68 4/30/1998 24,219.13 16,476.17 5/31/1998 25,063.85 16,250.44 6/30/1998 25,630.85 16,463.94 7/31/1998 25,885.42 16,418.50 8/31/1998 22,008.97 14,209.90 9/30/1998 21,291.54 14,443.56 10/31/1998 22,286.69 15,729.83 11/30/1998 23,756.27 16,646.03 12/31/1998 25,661.00 17,439.66 1/31/1999 27,320.67 17,801.99 2/28/1999 26,299.33 17,308.85 3/31/1999 27,332.27 18,009.78 4/30/1999 27,761.70 18,699.98 5/31/1999 27,030.51 17,996.98 6/30/1999 28,678.57 18,816.67 7/31/1999 28,690.18 18,740.10 8/31/1999 28,806.24 18,686.41 9/30/1999 29,525.82 18,485.25 10/31/1999 31,789.00 19,426.21 11/30/1999 36,501.06 19,952.95 12/31/1999 42,231.98 21,565.48 1/31/2000 41,794.16 20,328.04 2/29/2000 48,609.96 20,215.74 3/31/2000 47,367.50 21,786.57 4/30/2000 43,415.28 20,862.88 5/31/2000 40,504.36 20,332.21 6/30/2000 42,681.63 21,014.32 7/31/2000 41,545.66 20,420.22 8/31/2000 43,663.77 21,081.94 9/30/2000 40,125.70 19,958.48 10/31/2000 38,575.58 19,621.62 11/30/2000 34,729.86 18,427.88 12/31/2000 34,509.84 18,723.52 1/31/2001 35,798.81 19,084.08 2/28/2001 31,108.03 17,469.13 3/31/2001 28,383.92 16,318.77 4/30/2001 31,174.47 17,521.69 5/31/2001 30,789.11 17,293.37 6/30/2001 29,579.87 16,749.11 7/31/2001 28,144.73 16,525.24 8/31/2001 26,124.90 15,729.60 9/30/2001 23,507.09 14,341.48 10/31/2001 24,251.24 14,615.33 11/30/2001 25,792.69 15,477.75 12/31/2001 26,398.46 15,573.48 1/31/2002 25,124.61 15,100.09 2/28/2002 24,880.68 14,967.29 3/31/2002 26,113.88 15,626.60 4/30/2002 24,636.75 15,095.45 5/31/2002 24,447.03 15,120.61 6/30/2002 22,820.84 14,200.57 7/31/2002 20,639.04 13,002.35 8/31/2002 20,855.87 13,024.56 9/30/2002 18,565.65 11,590.56 10/31/2002 19,527.81 12,444.60 11/30/2002 20,246.05 13,113.67 12/31/2002 19,240.51 12,476.53 1/31/2003 18,378.38 12,096.32 2/28/2003 17,913.10 11,884.62 3/31/2003 17,639.41 11,845.39 4/30/2003 18,980.50 12,895.10 5/31/2003 20,143.69 13,629.27 6/30/2003 20,513.17 13,863.44 7/31/2003 20,923.71 14,143.34 8/31/2003 21,197.40 14,447.17 9/30/2003 21,060.55 14,534.11 10/31/2003 22,292.16 15,395.14 11/30/2003 22,524.80 15,627.82 12/31/2003 23,852.21 16,607.06 1/31/2004 24,317.48 16,873.54 2/29/2004 24,618.54 17,156.09 3/31/2004 25,097.50 17,042.24 4/30/2004 23,715.36 16,693.20 5/31/2004 23,852.21 16,832.50 6/30/2004 24,618.54 17,191.12 7/31/2004 22,757.44 16,629.83 8/31/2004 22,593.23 16,702.92 9/30/2004 23,770.10 17,018.90 10/31/2004 24,659.60 17,435.35 11/30/2004 26,028.05 18,351.25 12/31/2004 26,561.75 19,051.77 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SELECT LARGE CAP GROWTH FUND (FORMERLY JNL/JANUS AGGRESSIVE GROWTH FUND)* [INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP JOHN A. BOSELLI OBJECTIVE: JNL/Select Large Cap Growth Fund seeks as its investment objective long-term growth of capital by investing primarily in common stocks of issuers of any size, including larger, well-established companies and smaller, emerging growth companies. MONEY MANAGER COMMENTARY: FUND PERFORMANCE: During 2004, Wellington Management assumed subadviser duties for the Fund. The Fund's Class A shares returned 8.60% for the period from Wellington's inception as subadviser on May 1, 2004 through December 31, 2004. Over this time period, the Fund outperformed the Russell 1000 Growth benchmark return of 6.71%. For the full year, the Fund returned 11.67% vs. 10.88% for it's benchmark the S&P 500 Index. MARKET OVERVIEW: The US market was weak over the summer as a result of investor focus on several concerns: a softening economy, uncertainty over presidential elections, continued violence in Iraq, and worries of potential terrorist strikes during the political conventions or the Olympics. By autumn, many of these worries had been mitigated. The economy seemed to be moving forward despite record high oil prices and America remained free of terrorist attacks. This benign news powered another rise in the final months of the year. During the period, value stocks outperformed growth, as they have for the last several years. The Fund outperformed its benchmark in this volatile environment by maintaining its focus on stock selection and investing with high conviction. Stock selection in Technology was the primary driver of the Fund's outperformance. Wireless handheld device maker Research In Motion continued to appreciate during the summer due to the introduction of a new consumer voice and messaging device plus continued strong subscriber growth. We began to sell shares in Research in Motion as the stock price appreciation reduced the valuation attractiveness of the stock. Internet media company Yahoo! also boosted results on favorable trends for online advertising and paid search, while online auctioneer eBay, a Consumer Discretionary stock, rose on strong international growth and accelerating PayPal metrics. On the negative side, stock selection in Health Care and Industrials partially offset the Fund's overall positive return. The Fund's three largest detractors were in the Health Care sector. Drug distributor Cardinal Health was hurt by an investigation of accounting practices. We sold the stock as the investigation continues and Cardinal's distribution business continues to see competitive pressures. AstraZeneca fell on concerns regarding the safety profile of cholesterol fighting drug Crestor and a potential shortcoming in its non-small cell lung cancer drug Iressa, while shares of Eli Lilly reacted negatively to slowing Zyprexa sales. Though we believe that the economy will exhibit moderate growth over the intermediate term, we are somewhat challenged to aptly forecast the near-term macroeconomic environment. In this uncertain environment, we continue to emphasize competitively-advantaged, share-gaining industry leaders that should perform well in most economic scenarios. AVERAGE ANNUAL TOTAL RETURN 1 year 11.67% 5 year -10.11% Since inception 12.03% (Inception date May 15, 1995). *Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC
date JNL/Select Large Cap Growth Fund (Class A) Russell 1000 Growth Index S&P 500 Index 5/15/1995 10,000.00 10,000.00 10,000 5/31/1995 10,130.00 10,366.00 10,130 6/30/1995 10,860.00 10,789.41 10,356 7/31/1995 11,860.00 10,788.22 10,694 8/31/1995 11,870.00 11,385.47 10,726 9/30/1995 12,190.00 11,263.47 11,179 10/31/1995 11,910.00 11,686.89 11,139 11/30/1995 12,490.00 11,737.53 11,627 12/31/1995 12,409.00 12,113.89 11,851 1/31/1996 12,760.58 12,324.01 12,254 2/29/1996 13,401.72 12,537.77 12,368 3/31/1996 13,577.51 12,529.26 12,487 4/30/1996 14,125.57 12,851.72 12,671 5/31/1996 14,446.14 13,283.69 12,996 6/30/1996 14,022.17 13,278.42 13,046 7/31/1996 13,029.45 12,491.54 12,469 8/31/1996 13,773.99 12,799.00 12,732 9/30/1996 14,601.25 13,713.24 13,448 10/31/1996 14,528.87 13,786.66 13,819 11/30/1996 14,901.14 14,796.22 14,862 12/31/1996 14,760.95 14,486.32 14,568 1/31/1997 15,356.68 15,495.49 15,477 2/28/1997 14,783.01 15,376.64 15,598 3/31/1997 14,010.77 14,529.32 14,958 4/30/1997 14,275.54 15,483.32 15,850 5/31/1997 15,113.98 16,578.87 16,813 6/30/1997 15,665.58 17,231.89 17,567 7/31/1997 17,022.53 18,725.76 18,963 8/31/1997 16,261.32 17,604.65 17,901 9/30/1997 17,232.14 18,452.77 18,882 10/31/1997 16,746.73 17,753.50 18,252 11/30/1997 16,702.60 18,494.96 19,097 12/31/1997 16,630.60 18,684.39 19,424 1/31/1998 17,191.44 19,226.68 19,639 2/28/1998 18,713.72 20,675.51 21,056 3/31/1998 19,595.04 21,476.19 22,134 4/30/1998 20,373.35 21,759.72 22,418 5/31/1998 19,766.72 21,132.23 21,996 6/30/1998 21,620.93 22,405.45 22,863 7/31/1998 21,563.70 22,237.52 22,620 8/31/1998 18,038.42 18,884.75 19,353 9/30/1998 20,201.66 20,295.04 20,593 10/31/1998 20,934.19 21,923.56 22,266 11/30/1998 22,319.12 23,568.31 23,615 12/31/1998 26,219.85 25,674.63 24,975 1/31/1999 29,782.32 27,161.99 26,019 2/28/1999 28,832.33 25,913.51 25,211 3/31/1999 32,477.93 27,251.22 26,220 4/30/1999 34,199.80 27,289.75 27,235 5/31/1999 32,311.68 26,429.06 26,592 6/30/1999 34,829.17 28,291.62 28,068 7/31/1999 33,368.55 27,334.38 27,191 8/31/1999 34,294.80 27,778.12 27,057 9/30/1999 35,992.91 27,179.03 26,315 10/31/1999 38,688.52 29,214.80 27,980 11/30/1999 42,726.00 30,750.03 28,549 12/31/1999 50,979.82 33,959.20 30,231 1/31/2000 50,928.80 32,351.77 28,712 2/29/2000 57,191.27 33,389.72 28,168 3/31/2000 57,994.80 36,276.02 30,924 4/30/2000 52,867.49 34,582.19 29,994 5/31/2000 48,275.86 32,838.07 29,378 6/30/2000 49,615.08 35,357.70 30,102 7/31/2000 48,964.60 33,787.61 29,632 8/31/2000 52,561.38 36,887.69 31,472 9/30/2000 50,291.07 33,367.02 29,811 10/31/2000 48,020.77 31,802.57 29,685 11/30/2000 40,329.79 27,105.20 27,344 12/31/2000 40,288.56 26,231.11 27,478 1/31/2001 42,178.27 28,042.56 28,453 2/28/2001 34,150.79 23,269.35 25,859 3/31/2001 30,613.26 20,730.24 24,221 4/30/2001 35,586.97 23,351.69 26,103 5/31/2001 34,634.56 22,995.15 26,278 6/30/2001 33,289.09 22,456.10 25,638 7/31/2001 31,338.91 21,876.49 25,386 8/31/2001 28,239.79 20,073.97 23,796 9/30/2001 25,488.37 18,058.51 21,875 10/31/2001 25,866.32 18,997.08 22,292 11/30/2001 27,574.61 20,806.91 24,002 12/31/2001 28,127.61 20,749.71 24,213 1/31/2002 27,202.66 20,375.74 23,874 2/28/2002 25,398.24 19,511.38 23,413 3/31/2002 26,580.97 20,175.35 24,294 4/30/2002 24,412.64 18,522.11 22,821 5/31/2002 23,927.42 18,060.92 22,653 6/30/2002 21,637.79 16,374.41 21,039 7/31/2002 19,969.84 15,465.44 19,399 8/31/2002 20,060.82 15,499.51 19,526 9/30/2002 18,832.61 13,874.23 17,404 10/31/2002 20,060.82 15,136.88 18,936 11/30/2002 21,228.38 15,943.63 20,051 12/31/2002 19,757.56 14,822.54 18,862 1/31/2003 19,530.11 14,452.21 18,368 2/28/2003 19,181.36 14,366.63 18,092 3/31/2003 19,712.07 14,620.12 18,268 4/30/2003 21,304.20 15,692.15 19,773 5/31/2003 22,759.86 16,459.96 20,814 6/30/2003 23,245.08 16,667.23 21,080 7/31/2003 23,745.46 17,072.42 21,452 8/31/2003 24,458.13 17,480.47 21,870 9/30/2003 23,912.26 17,276.86 21,638 10/31/2003 25,322.43 18,231.66 22,862 11/30/2003 25,656.02 18,404.86 23,063 12/31/2003 26,762.92 19,018.96 24,273 1/31/2004 27,399.78 19,399.84 24,718 2/29/2004 27,809.18 19,498.81 25,061 3/31/2004 28,324.73 19,122.41 24,683 4/30/2004 27,521.08 18,891.62 24,296 5/31/2004 28,552.17 19,223.00 24,629 6/30/2004 29,113.21 19,442.83 25,108 7/31/2004 26,793.25 18,333.89 24,276 8/31/2004 26,171.56 18,219.10 24,374 9/30/2004 27,354.29 18,380.12 24,638 10/31/2004 27,566.57 18,656.34 25,015 11/30/2004 28,627.99 19,272.46 26,027 12/31/2004 29,886.53 20,013.11 26,913
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/SELECT VALUE FUND (FORMERLY THE JNL/PPM AMERICA VALUE FUND)* [INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP MS. KAREN H. GRIMES OBJECTIVE: JNL/Select Value Fund seeks as its investment objective long term growth of capital MONEY MANAGER COMMENTARY: Since inception of Wellington Management as the Fund's subadviser on October 04, 2004, Fund's Class A shares returned 7.5%, trailing the Russell 1000 Value Index return of 8.6%. For the full year, the Fund returned 14.77% vs. 13.70% for the Russell 1000 Value Index and 15.60% for the S&P 400 Barra Value Index. US equity markets moved substantially higher since inception of the portfolio as US political uncertainty was resolved, economic fundamentals improved, and energy prices corrected. These factors largely offset concerns over the prospect of decelerating earnings growth and a flattening yield curve. In the Fund, positive performance from holdings in the Energy and Industrials sectors was more than offset by weak results from holdings in the Materials, Financials, and Consumer Staples sectors. Individual stocks that contributed the most to relative results during the period were Caterpillar (21%), Anthem (26%), Rockwell Automation (19%), and Wellpoint Health (13%). Performance was negatively impacted during the quarter by our holdings in Pfizer (-7%), National City (-4%) and Alcoa (-3%). As we begin 2005, we look for US and global economic growth to decelerate to the 3% level, with a bias to the downside. The war in Iraq continues with no perceptible decline in insurgent activity, and the Asian tsunami placed a somber tone on the New Year. Commodity price increases have stalled in the near term, as Chinese economic growth has moderated. We continue to monitor energy closely, and we expect oil and natural gas prices to fall further. They are not yet at levels that would be stimulative to the US economy on a comparative basis. US employment continues to grow, though at a disappointing rate. Investors exploited much of the risk-based opportunity in the market during 2004, which leads us to focus on long cycle laggards with long-term growth opportunities and better relative valuations. We continue to find opportunities in several areas, particularly those dependent on capital spending. Corporate balance sheets are flush with liquidity, and the ratio of capital spending to cash flow is well below average. AVERAGE ANNUAL TOTAL RETURN 1 year 14.77% Since inception 26.40% (Inception date September 30, 2002). *Prior to 10/04/2004, the Fund was managed by PPM America, Inc.
date JNL/Select Value Fund (Class A) Russell 1000 Value Index S&P 500 Barra Value Index 9/30/2002 10,000.00 10,000.00 10,000.00 10/31/2002 10,620.00 10,830.82 10,831.45 11/30/2002 11,450.00 11,462.84 11,592.34 12/31/2002 10,970.00 10,813.98 10,989.88 1/31/2003 10,670.00 10,551.98 10,689.10 2/28/2003 10,350.00 10,388.69 10,397.96 3/31/2003 10,390.00 10,495.77 10,384.69 4/30/2003 11,370.00 11,343.18 11,411.39 5/31/2003 12,280.00 11,990.08 12,251.37 6/30/2003 12,450.00 12,147.90 12,340.93 7/31/2003 12,770.00 12,389.93 12,614.98 8/31/2003 13,030.00 12,641.31 12,887.78 9/30/2003 12,850.00 12,511.88 12,654.52 10/31/2003 13,780.00 13,245.94 13,519.60 11/30/2003 13,950.00 13,404.63 13,641.05 12/31/2003 14,787.36 14,046.50 14,483.75 1/31/2004 15,069.03 13,956.33 14,739.94 2/29/2004 15,300.39 14,226.05 15,072.94 3/31/2004 15,209.86 14,075.25 14,968.59 4/30/2004 15,008.67 13,706.12 14,597.84 5/31/2004 15,159.56 13,815.52 14,766.47 6/30/2004 15,572.00 14,115.44 15,087.01 7/31/2004 15,229.98 13,890.92 14,800.34 8/31/2004 15,360.75 14,059.32 14,959.83 9/30/2004 15,622.29 14,246.03 15,243.08 10/31/2004 15,793.31 14,455.33 15,473.28 11/30/2004 16,396.87 15,151.74 16,228.22 12/31/2004 16,971.96 15,622.45 16,756.67
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND [INSERT LOGO] T. ROWE PRICE ASSOCIATES, INC. INVESTMENT ADVISORY COMMITTEE OBJECTIVE: JNL/T. Rowe Price Established Growth Fund seeks as its investment objective long-term growth of capital and increasing dividend income through investment primarily in common stocks of well-established growth companies. MONEY MANAGER COMMENTARY: Large-cap growth stocks posted solid results for the 12-month period ended December 31, 2004, but once again lagged large-cap value shares. Most stock market benchmarks ended the year near their highest levels, thanks in large part to a fourth-quarter rally triggered by falling oil prices and the U.S. presidential election concluding without controversy. Within the S&P 500 Index, the energy (higher oil prices) and utility sectors were strongest; health care (pharmaceuticals) and information technology were weakest but posted positive returns. The Fund's Class A shares (9.89%) modestly underperformed the S&P 500 Index (10.88%) and outperformed the style-specific Russell 1000 Growth Index (5.23%) and the Lipper Large-Cap Growth Funds Index (7.45%) for the year. Overall, sector allocation decisions (overweighting information technology, underweighting energy, and not owning utilities) detracted from relative results. However, stock selection in the health care, materials, and information technology sectors offset all of the ground lost to the S&P 500 from sector allocation. The health care sector was the best contributor to relative performance. Among our health care services providers, both UnitedHealth Group (the portfolio's third-largest holding) and WellPoint (merged with Anthem in the fourth quarter and is now the nation's largest health insurer) trended steadily higher. Additionally, we benefited from underweighting pharmaceuticals (avoiding Merck, eliminating Eli Lilly, and underweighting Pfizer), which aided our comparison with the benchmark. The materials sector was the second-best relative contributor driven by good stock selection and strong global demand for steel. The Fund's overweight in Nucor was the main driver of relative performance within the sector. Rising oil prices benefited the energy sector, but stock selection and an underweight allocation hampered the Fund's performance versus the S&P 500. Schlumberger, for example, posted solid gains but detracted from relative results because it did not perform as well as other holdings in the group. Financials were relative performance detractors for 2004, largely due to stock selection. The Fund is significantly overweight in capital markets-State Street and Mellon Financial were large detractors-and underweight in commercial banks, which benefited from consolidation in early 2004. On a brighter note, capital markets rebounded strongly in the final quarter, benefiting from reinvigorated IPO and merger activity and stronger economic growth. Insurance holdings were generally weak performers for the past 12 months. The economy improved from its summer "soft patch" and we believe the trend should continue, contributing to a sustained enterprise spending recovery and a healthy environment for equities. We are also encouraged by the solid fundamentals underpinning the large-cap growth segment of the market. We hope that investors will increasingly focus on long-term equity ownership, and believe that companies with sustainable earnings and cash flow growth will be afforded higher prices. AVERAGE ANNUAL TOTAL RETURN 1 year 9.89% 5 year -0.32% Since inception 11.88% (Inception date May 15, 1995). JNL/T.Rowe Price date Established Growth Fund (Class A) S&P 500 Index 05/15/1995 10,000.00 10,000.00 05/31/1995 10,230.00 10,130.00 06/30/1995 10,760.00 10,356.00 07/31/1995 11,210.00 10,694.00 08/31/1995 11,230.00 10,726.00 09/30/1995 11,720.00 11,179.00 10/31/1995 11,570.00 11,139.00 11/30/1995 11,820.00 11,627.00 12/31/1995 12,145.59 11,851.00 01/31/1996 12,766.41 12,254.00 02/29/1996 12,834.14 12,368.00 03/31/1996 12,822.85 12,487.00 04/30/1996 13,116.33 12,671.00 05/31/1996 13,387.24 12,996.00 06/30/1996 13,375.95 13,046.00 07/31/1996 12,879.29 12,469.00 08/31/1996 13,240.50 12,732.00 09/30/1996 14,019.35 13,448.00 10/31/1996 14,166.09 13,819.00 11/30/1996 15,080.39 14,862.00 12/31/1996 14,889.64 14,568.00 01/31/1997 15,589.08 15,477.04 02/28/1997 15,612.78 15,597.76 03/31/1997 14,948.92 14,958.26 04/30/1997 15,636.49 15,849.77 05/31/1997 16,691.57 16,813.43 06/30/1997 17,509.55 17,566.68 07/31/1997 18,706.89 18,963.23 08/31/1997 17,711.09 17,901.29 09/30/1997 18,730.60 18,882.28 10/31/1997 18,185.28 18,251.61 11/30/1997 18,849.15 19,096.66 12/31/1997 19,277.00 19,424.43 01/31/1998 19,597.87 19,639.25 02/28/1998 21,189.89 21,055.75 03/31/1998 22,226.56 22,133.99 04/30/1998 22,399.33 22,417.75 05/31/1998 21,856.32 21,996.30 06/30/1998 22,596.79 22,862.95 07/31/1998 22,374.65 22,620.12 08/31/1998 18,906.76 19,352.80 09/30/1998 19,968.11 20,592.62 10/31/1998 21,621.83 22,266.16 11/30/1998 22,967.03 23,615.11 12/31/1998 24,632.53 24,975.06 01/31/1999 24,955.63 26,019.44 02/28/1999 24,309.44 25,211.07 03/31/1999 25,188.25 26,219.74 04/30/1999 26,041.22 27,235.12 05/31/1999 25,317.49 26,591.99 06/30/1999 26,713.25 28,067.79 07/31/1999 25,950.75 27,191.38 08/31/1999 25,692.28 27,056.91 09/30/1999 25,162.40 26,315.12 10/31/1999 26,687.40 27,980.40 11/30/1999 27,682.52 28,549.21 12/31/1999 29,994.80 30,230.62 01/31/2000 28,944.29 28,711.77 02/29/2000 30,050.09 28,168.23 03/31/2000 32,482.85 30,923.95 04/30/2000 31,404.70 29,993.60 05/31/2000 30,354.19 29,378.20 06/30/2000 32,344.63 30,102.43 07/31/2000 31,888.48 29,631.78 08/31/2000 34,348.89 31,472.32 09/30/2000 32,648.72 29,810.74 10/31/2000 32,220.22 29,684.73 11/30/2000 29,027.23 27,344.42 12/31/2000 29,894.16 27,478.21 01/31/2001 30,835.33 28,453.11 02/28/2001 27,820.39 25,858.67 03/31/2001 25,395.68 24,220.50 04/30/2001 28,059.67 26,102.68 05/31/2001 28,298.95 26,277.59 06/30/2001 27,597.06 25,638.02 07/31/2001 27,038.74 25,385.59 08/31/2001 25,299.97 23,796.45 09/30/2001 23,497.38 21,874.84 10/31/2001 24,406.65 22,291.95 11/30/2001 26,336.85 24,001.92 12/31/2001 26,834.73 24,212.56 01/31/2002 25,891.19 23,873.58 02/28/2002 25,347.46 23,413.21 03/31/2002 26,450.92 24,293.75 04/30/2002 24,931.67 22,820.87 05/31/2002 24,547.86 22,652.75 06/30/2002 22,468.89 21,039.24 07/31/2002 20,805.71 19,399.04 08/31/2002 21,237.50 19,526.32 09/30/2002 19,030.59 17,404.18 10/31/2002 20,821.70 18,936.08 11/30/2002 21,845.19 20,050.62 12/31/2002 20,574.57 18,861.96 1/31/2003 20,206.31 18,367.83 2/28/2003 19,918.11 18,092.24 3/31/2003 20,206.31 18,267.91 4/30/2003 21,887.50 19,772.72 5/31/2003 23,104.36 20,814.48 6/30/2003 23,472.62 21,079.91 7/31/2003 23,920.94 21,451.63 8/31/2003 24,321.23 21,869.92 9/30/2003 24,049.03 21,637.81 10/31/2003 25,217.86 22,861.67 11/30/2003 25,538.09 23,062.80 12/31/2003 26,857.91 24,272.52 1/31/2004 27,338.37 24,718.01 2/29/2004 27,578.60 25,061.47 3/31/2004 27,258.30 24,683.39 4/30/2004 26,697.76 24,295.84 5/31/2004 27,114.16 24,629.28 6/30/2004 27,498.53 25,108.36 7/31/2004 26,137.21 24,276.12 8/31/2004 26,089.17 24,374.39 9/30/2004 26,585.65 24,638.25 10/31/2004 27,034.08 25,014.72 11/30/2004 28,411.41 26,026.74 12/31/2004 29,512.78 26,912.58 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/T.ROWE PRICE MID-CAP GROWTH FUND [INSERT LOGO] T. ROWE PRICE ASSOCIATES, INC. INVESTMENT ADVISORY COMMITTEE OBJECTIVE: JNL/T.Rowe Price Mid-Cap Growth Fund seeks as its investment objective long-term growth of capital by investing primarily in the common stock of companies with medium-sized market capitalizations ("mid-cap") and the potential for above average growth. MONEY MANAGER COMMENTARY: The Fund's A Shares posted a strong gain for the 12 months ended December 31, 2004 of 18.03%, outpacing the S&P MidCap 400 Index, which returned 16.49%. Stock selection was the primary reason for the good performance relative to the benchmark, while sector weightings hampered results. After beginning the year on a strong note, stocks struggled to make headway as economic growth moderated amid rising short-term interest rates and surging energy costs. Stock prices rebounded as oil backed away from its late-October peak, and by year-end, several major indexes were at or near their highest levels of the year. Mid-cap shares outperformed their larger counterparts, and value outperformed growth across all market capitalizations. Utilities, materials, energy, and financials stocks were among the leaders, while the technology sector was essentially flat for the year. Stock selection in the information technology, energy, and industrials and business services sectors aided relative performance in the period. While the technology sector was generally weak, our holdings did well, driven by strong absolute and relative performances in communications and electronic equipment companies, including Harris and Research In Motion, and in our software holdings, including McAfee and Adobe Systems. Stock selection in semiconductors weighed on relative results, but we focus on higher-quality names, initiating a position in Xilinx and adding to positions such as Novellus, Microchip Technology, and Intersil as valuations look reasonable. Energy stocks were strong performers throughout the year and our overweight combined with good stock selection in equipment and services and oil and gas companies benefited relative performance. Companies leveraged to improving economic activity, such as industrials and business services names posted solid gains. Employment services, logistics, machinery, and traditional industrial stocks were key contributors. Detractors from relative performance included the health care, consumer discretionary, and financials sectors. Within health care, weak stock selection in health care services, including Omnicare and Health Management, and our positioning in generic pharmaceuticals, where a number of companies had earnings misses, weighed on relative results. The consumer discretionary sector turned in solid performance over the period, but questions about the sustainability of consumer spending hampered retailers. Leisure equipment, hotels, and specialty retailers were our best performers in the sector, though an underweight in household durables and stock selection in retail caused the sector to be a relative detractor. As interest rates remain relatively low by historical standards, the financials sector continued to do well. Our holdings in consumer finance and capital markets, combined with lack of exposure to commercial banks and real estate, detracted most from relative performance. The earnings growth of mid-cap companies has been exceptional, but mid-cap valuations are now at a premium relative to large-caps. We believe the key to the mid-cap outperformance cycle (over large-caps) is continued relative earnings strength. Growth stocks outpaced their value counterparts during the fourth quarter, but value maintains a significant five-year advantage. Because of this performance disparity, growth stocks appear attractively valued compared to historical averages. We believe we are well-positioned for this environment, as we expect companies with consistent earnings and cash flow growth to be rewarded. AVERAGE ANNUAL TOTAL RETURN 1 year 18.03% 5 year 6.15% Since inception 14.95% (Inception date May 15, 1995).
date JNL/T.Rowe Price Mid-Cap Growth Fund (Class A) S&P MidCap 400 Index Russell Midcap Index 5/15/1995 10,000.00 10,000.00 10,000.00 5/31/1995 10,020.00 10,009.00 10,028.13 6/30/1995 10,740.00 10,417.00 10,344.54 7/31/1995 11,460.00 10,959.00 10,833.03 8/31/1995 11,780.00 11,161.00 10,981.36 9/30/1995 12,230.00 11,432.00 11,208.99 10/31/1995 12,120.00 11,138.00 10,944.09 11/30/1995 12,580.00 11,622.00 11,467.30 12/31/1995 12,921.52 11,593.00 11,515.16 1/31/1996 12,921.52 11,761.00 11,744.97 2/29/1996 13,672.41 12,160.00 11,998.90 3/31/1996 14,006.13 12,306.00 12,148.69 4/30/1996 14,433.72 12,683.00 12,481.18 5/31/1996 14,850.88 12,854.00 12,642.67 6/30/1996 14,496.30 12,661.00 12,436.24 7/31/1996 13,724.55 11,807.00 11,648.16 8/31/1996 14,548.44 12,489.00 12,173.55 9/30/1996 15,236.75 13,034.00 12,757.77 10/31/1996 15,007.32 13,072.00 12,845.82 11/30/1996 15,737.35 13,807.00 13,604.68 12/31/1996 15,954.83 12,823.00 13,443.91 1/31/1997 16,094.13 13,303.86 13,933.86 2/28/1997 15,847.68 13,194.77 13,886.72 3/31/1997 14,904.75 12,632.67 13,276.21 4/30/1997 15,001.18 12,959.86 13,586.03 5/31/1997 16,372.72 14,092.55 14,552.42 6/30/1997 16,929.91 14,488.55 15,005.83 7/31/1997 17,819.26 15,921.47 16,231.25 8/31/1997 17,819.26 15,902.36 16,029.94 9/30/1997 18,901.49 16,816.75 16,917.77 10/31/1997 17,947.84 16,085.22 16,246.96 11/30/1997 18,065.71 16,323.28 16,605.01 12/31/1997 18,860.33 17,994.00 17,029.94 1/31/1998 18,882.04 17,651.52 16,692.33 2/28/1998 20,630.18 19,113.60 17,971.84 3/31/1998 21,900.57 20,011.93 18,800.48 4/30/1998 21,857.13 20,376.61 18,827.16 5/31/1998 20,934.20 19,440.60 18,219.57 6/30/1998 21,998.29 19,545.58 18,440.97 7/31/1998 21,031.93 18,787.52 17,550.59 8/31/1998 16,916.75 15,293.12 14,719.75 9/30/1998 18,035.12 16,720.17 15,626.57 10/31/1998 19,663.82 18,211.69 16,683.19 11/30/1998 20,467.31 19,120.52 17,451.92 12/31/1998 22,913.72 21,428.83 18,446.80 1/31/1999 23,261.40 20,592.31 18,402.96 2/28/1999 21,769.71 19,514.00 17,759.92 3/31/1999 22,745.48 20,059.26 18,289.70 4/30/1999 23,553.01 21,641.48 19,627.66 5/31/1999 24,282.03 21,735.31 19,547.29 6/30/1999 25,504.55 22,899.17 20,209.34 7/31/1999 25,583.06 22,408.51 19,635.35 8/31/1999 24,248.39 21,640.24 19,096.06 9/30/1999 23,676.38 20,972.12 18,397.13 10/31/1999 24,573.64 22,040.81 19,254.64 11/30/1999 25,549.41 23,197.56 19,776.02 12/31/1999 28,415.01 24,576.05 21,485.91 1/31/2000 27,204.59 23,883.77 20,760.65 2/29/2000 29,217.97 25,555.51 22,333.17 3/31/2000 31,219.36 27,694.33 23,562.25 4/30/2000 29,697.34 26,726.25 22,440.95 5/31/2000 29,026.22 26,394.71 21,806.68 6/30/2000 29,984.97 26,782.32 22,415.37 7/31/2000 29,529.56 27,205.48 22,157.05 8/31/2000 32,681.46 30,243.02 24,243.27 9/30/2000 31,686.75 30,035.95 23,861.46 10/31/2000 31,423.10 29,017.49 23,481.85 11/30/2000 28,247.23 26,827.13 21,336.81 12/31/2000 30,450.59 28,879.54 22,930.88 1/31/2001 31,657.19 29,523.93 23,281.26 2/28/2001 29,243.98 27,839.03 21,833.33 3/31/2001 26,389.64 25,769.37 20,451.17 4/30/2001 29,905.67 28,612.09 22,186.27 5/31/2001 30,294.90 29,278.43 22,561.53 6/30/2001 30,268.95 29,160.15 22,324.05 7/31/2001 29,905.67 28,725.75 21,666.02 8/31/2001 28,283.89 27,786.19 20,799.75 9/30/2001 24,754.89 24,329.92 18,264.49 10/31/2001 26,259.90 25,406.91 18,970.38 11/30/2001 28,530.40 27,297.36 20,530.10 12/31/2001 29,996.49 28,705.85 21,319.28 1/31/2002 28,971.52 28,547.97 21,176.06 2/28/2002 28,231.99 28,583.02 20,924.70 3/31/2002 30,165.15 30,626.34 22,150.13 4/30/2002 29,334.80 30,483.13 21,705.11 5/31/2002 29,269.93 29,969.03 21,429.26 6/30/2002 26,752.92 27,775.45 19,968.54 7/31/2002 23,794.79 25,084.45 18,001.42 8/31/2002 23,626.13 25,210.95 18,073.03 9/30/2002 21,524.30 23,179.96 16,382.49 10/31/2002 22,990.39 24,184.16 17,191.41 11/30/2002 24,612.17 25,582.97 18,354.00 12/31/2002 23,418.54 24,544.41 17,600.62 1/31/2003 23,029.31 23,827.22 17,232.33 2/28/2003 22,601.16 23,259.70 16,975.48 3/31/2003 23,081.21 23,455.87 17,115.41 4/30/2003 24,845.71 25,158.37 18,342.67 5/31/2003 26,986.46 27,243.72 19,988.63 6/30/2003 27,687.07 27,590.54 20,163.63 7/31/2003 28,776.91 28,570.00 20,808.51 8/31/2003 29,814.85 29,865.45 21,680.26 9/30/2003 28,867.73 29,408.27 21,378.84 10/31/2003 31,112.28 31,632.18 22,990.82 11/30/2003 31,799.91 32,734.41 23,602.08 12/31/2003 32,457.63 33,286.73 24,267.05 1/31/2004 33,174.85 34,007.79 24,955.38 2/29/2004 33,709.51 34,824.83 25,458.85 3/31/2004 33,526.95 34,972.35 25,427.06 4/30/2004 33,096.61 33,824.48 24,474.18 5/31/2004 33,970.32 34,526.24 25,043.79 6/30/2004 34,922.27 35,311.92 25,697.78 7/31/2004 32,848.84 33,664.58 24,552.74 8/31/2004 32,640.20 33,576.62 24,620.70 9/30/2004 34,113.76 34,571.19 25,383.58 10/31/2004 35,157.00 35,123.88 26,060.61 11/30/2004 37,008.74 37,215.61 27,605.71 12/31/2004 38,311.30 38,774.39 28,725.54
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges. JNL/T.ROWE PRICE VALUE FUND [INSERT LOGO] T. ROWE PRICE ASSOCIATES, INC. INVESTMENT ADVISORY COMMITTEE OBJECTIVE: The JNL/T.Rowe Price Value Fund seeks as its investment objective to provide long-term capital appreciation by investing in common stocks believed to be undervalued. Income is a secondary objective. MONEY MANAGER COMMENTARY: The Fund's A Class shares posted strong results for the 12-month period ended December 31, 2004 of 15.12% vs. 13.70% for the Russell 1000 Value Index. U.S. stocks rose moderately in 2004, extending the previous year's brisk gains. After beginning the year on a strong note, stocks struggled to make headway as economic growth moderated amid rising short-term interest rates, surging energy costs, and a heated presidential campaign. Stock prices rose as oil prices backed away from their late-October peak of $55 per barrel, and gains accelerated following the re-election of President Bush. By year-end, several major indexes were at or near their highest levels of the year. Small- and mid-cap shares outperformed their larger counterparts. As measured by various Russell indexes, growth stocks lagged value across all market capitalizations. In the large-cap universe, energy stocks far surpassed other sectors, but utilities, telecommunication services, and industrials companies also performed well. Health care and information technology stocks produced only slight gains. Several of the fund's industrials performed well due to a rebound in economic activity. CNF, a supply chain management company, was the beneficiary of strong demand and pricing rates in the trucking industry. Rockwell Collins benefited from a bounce back in the commercial aerospace market, while Tyco International recovered from its corporate scandal as investors became more comfortable with the operations of the business. The strong world economy also benefited steelmaker Nucor, which was also helped by the weak dollar. Amerada Hess surged in the early part of the year as oil prices rose and as the company took steps to revitalize its asset portfolio and restore credibility with investors. Finally, Sprint benefited from strong growth in its wireless unit and the apparent stabilization of the long-distance market. In addition, the company's announced acquisition of Nextel is likely to result in significant cost synergies and unlock hidden value at each entity. Stock selection in the consumer staples sector detracted from results relative to the benchmark. Coca-Cola, a new position added late in the third quarter following its profit warning, lagged as it became clear that the new CEO's initial upbeat assessment of the company's prospects was incorrect. While several of our health care holdings performed well, our overweight position in the lagging index detracted from our relative results. Pharmaceutical stocks were hurt by limited growth prospects, continued generic competitive pressures, and more recently by safety issues surrounding pain medications. We are cautious on the markets heading into 2005. The market is fairly valued, and the corporate profit outlook appears to be moderating. Corporate profits have reached record levels over the past year, and further growth will likely be pressured by sustained energy prices and higher short-term interest rates. Additionally, the trade deficit and budget deficit, along with the country's involvement in Iraq make for a tougher environment. Despite these headwinds, we continue to view the economic situation as favorable, corporate balance sheets as strong with healthy levels of cash, and stocks as prepared to benefit from the continuation of favorable tax treatments for dividends and capital gains. AVERAGE ANNUAL TOTAL RETURN 1 year 15.12% Since inception 7.65% (Inception date May 1, 2000). date JNL/T.Rowe Price Value Fund (Class A) Russell 1000 Value Index 5/1/2000 10,000.00 10,000.00 5/31/2000 10,160.00 9,975.14 6/30/2000 9,650.00 9,492.08 7/31/2000 9,740.00 9,605.62 8/31/2000 10,370.00 10,119.36 9/30/2000 10,210.00 10,196.93 10/31/2000 10,780.00 10,436.34 11/30/2000 10,600.00 10,027.69 12/31/2000 11,253.68 10,517.09 1/31/2001 11,799.19 10,542.30 2/28/2001 11,526.44 10,228.14 3/31/2001 11,102.15 9,856.68 4/30/2001 11,718.38 10,327.22 5/31/2001 12,031.54 10,537.20 6/30/2001 11,738.58 10,292.49 7/31/2001 11,698.17 10,256.70 8/31/2001 11,374.91 9,822.66 9/30/2001 10,192.97 9,119.76 10/31/2001 10,243.48 9,028.09 11/30/2001 11,112.26 9,531.77 12/31/2001 11,340.93 9,739.63 1/31/2002 11,289.89 9,648.84 2/28/2002 11,371.56 9,644.26 3/31/2002 11,902.36 10,088.53 4/30/2002 11,453.22 9,729.06 5/31/2002 11,555.30 9,757.62 6/30/2002 10,595.76 9,183.24 7/31/2002 9,462.69 8,314.44 8/31/2002 9,605.60 8,354.46 9/30/2002 8,595.02 7,412.32 10/31/2002 9,074.79 7,942.44 11/30/2002 9,942.46 8,418.63 12/31/2002 9,431.59 8,036.06 1/31/2003 9,145.16 7,826.97 2/28/2003 8,756.44 7,597.78 3/31/2003 8,746.21 7,595.84 4/30/2003 9,533.88 8,247.79 5/31/2003 10,178.34 8,757.47 6/30/2003 10,311.33 8,852.50 7/31/2003 10,526.15 8,963.74 8/31/2003 10,894.41 9,082.92 9/30/2003 10,700.05 8,977.85 10/31/2003 11,364.96 9,506.75 11/30/2003 11,487.72 9,613.23 12/31/2003 12,258.49 10,184.27 1/31/2004 12,495.02 10,344.87 2/29/2004 12,731.55 10,544.80 3/31/2004 12,453.89 10,433.02 4/30/2004 12,371.62 10,159.41 5/31/2004 12,474.46 10,240.50 6/30/2004 12,844.68 10,462.81 7/31/2004 12,525.88 10,296.39 8/31/2004 12,556.73 10,421.21 9/30/2004 12,762.41 10,559.61 10/31/2004 12,937.23 10,714.75 11/30/2004 13,554.27 11,230.95 12/31/2004 14,112.45 11,579.85 Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be more or less than their original cost. Performance numbers are net of all Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL SERIES TRUST SCHEDULES OF INVESTMENTS (IN THOUSANDS) DECEMBER 31, 2004 JNL/AIM LARGE CAP GROWTH FUND Percentage of Total Industry Sector Investments (o) Consumer, Cyclical 23.5% Consumer, Non-cyclical 22.5% Technology 13.6% Industrial 13.4% Communications 11.7% Financial 8.8% Energy 3.1% Money Market Investment 2.4% Basic Materials 1.0% 100.0% Common Stocks - 97.6% Aerospace & Defense - 4.2% Boeing Co. 40 $ 2,086 General Dynamics Corp. 20 2,050 Northrop Grumman Corp. 21 1,158 Rockwell Collins Inc. 33 1,290 United Technologies Corp. 13 1,354 7,938 Apparel - 2.7% Coach Inc. (b) 24 1,354 NIKE Inc. 42 3,845 5,199 Auto Manufacturers - 0.8% PACCAR Inc. 19 1,521 Beverages - 1.6% PepsiCo Inc. 60 3,127 Building Materials - 1.2% Masco Corp. 64 2,353 Commercial Services - 1.8% Accenture Ltd. (b) 127 3,421 Computers - 6.3% Computer Sciences Corp. (b) 43 2,424 Dell Inc. (b) 171 7,185 Lexmark International Inc. (b) 13 1,122 NCR Corp. (b) 19 1,308 12,039 Cosmetics & Personal Care - 5.5% Gillette Co. 126 5,629 Procter & Gamble Co. 88 4,863 10,492 Distribution & Wholesale - 1.0% W.W. Grainger Inc. 30 1,999 Diversified Financial Services - 7.4% American Express Co. (l) 21 1,178 Bear Stearns Cos. Inc. 15 1,483 Capital One Financial Corp. 17 1,448 Countrywide Financial Corp. 91 3,372 Doral Financial Corp. 25 1,231 MBNA Corp. 44 1,252 SLM Corp. 79 4,229 14,193 Electronics - 0.7% Waters Corp. (b) 28 1,315 Hand & Machine Tools - 1.0% Black & Decker Corp. 22 1,943 Healthcare - 12.8% Alcon Inc. 46 3,692 Becton Dickinson & Co. 61 3,442 C.R. Bard Inc. 23 1,497 Johnson & Johnson 115 7,293 Quest Diagnostics Inc. 22 2,121 UnitedHealth Group Inc. 54 4,756 WellPoint Inc. (b) 11 1,312 24,113 Home Furnishings - 2.2% Harman International Industries Inc. 33 4,191 Household Products - 1.0% Fortune Brands Inc. 24 1,860 Insurance - 0.8% Allstate Corp. 30 1,526 Internet - 6.8% eBay Inc. (b) 28 3,244 McAfee Inc. (b) 36 1,041 Symantec Corp. (b) 185 4,776 Yahoo! Inc. (b) (l) 105 3,954 13,015 Iron & Steel - 1.0% Nucor Corp. (l) 35 1,853 Leisure Time - 1.9% Harley-Davidson Inc. 59 3,609 Lodging - 0.6% Marriott International Inc. - Class A 19 1,190 Machinery - 1.2% Rockwell Automation Inc. 46 2,264 Manufacturing - 4.5% Cooper Industries Ltd. - Class A 25 1,690 Danaher Corp. (l) 24 1,395 Eaton Corp. 22 1,570 Illinois Tool Works Inc. 19 1,798 Tyco International Ltd. 59 2,122 8,575 Media - 0.6% McGraw-Hill Cos. Inc. 13 1,190 Office & Business Equipment - 1.5% Xerox Corp. (b) (l) 173 2,950 Oil & Gas Producers - 3.1% BP Plc - ADR 33 1,951 ChevronTexaco Corp. 37 1,922 ConocoPhillips 23 1,970 5,843 Retail - 14.2% Costco Wholesale Corp. 101 4,865 Home Depot Inc. 53 2,252 J.C. Penney Co. Inc. 37 1,532 Limited Brands Inc. 82 1,878 McDonald's Corp. 116 3,703 Nordstrom Inc. 45 2,108 Staples Inc. 145 4,891 Starbucks Corp. (b) 35 2,176 Yum! Brands Inc. 79 3,723 27,128 Savings & Loans - 0.6% Golden West Financial Corp. 18 1,106 Semiconductors - 0.4% Intel Corp. 35 816 Software - 5.3% Adobe Systems Inc. 45 2,848 Autodesk Inc. 62 2,353 Microsoft Corp. 101 2,684 Oracle Corp. (b) 91 1,250 Pixar Inc. (b) 12 1,054 10,189 Telecommunications Equipment - 1.6% Cisco Systems Inc. (b) 163 3,146 Transportation - 0.7% FedEx Corp. 13 1,280 Wireless Telecommunications - 2.6% Motorola Inc. 62 1,061 Qualcomm Inc. 91 3,871 4,932 Total Common Stocks (cost $163,914) 186,316 Short Term Investments - 5.4% Money Market Funds - 2.4% Dreyfus Cash Management Plus, 1.98% (a) 4,625 4,625 Securities Lending Collateral - 3.0% Mellon GSL Delaware Business Trust Collateral Fund 5,808 5,808 Total Short Term Investments (cost $10,433) 10,433 Total Investments - 103.0% (cost $174,347) 196,749 Other Assets and Liabilities, Net - (3.0)% (5,722) Total Net Assets - 100% $ 191,027 JNL/AIM SMALL CAP GROWTH FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 23.8% Consumer, Cyclical 21.7% Industrial 15.6% Technology 13.2% Financial 7.5% Communications 7.5% Energy 4.8% Money Market Investment 2.3% Basic Materials 1.9% Diversified 1.5% Government 0.2% 100.0% Common Stocks - 95.4% Aerospace & Defense - 0.9% United Industrial Corp. (l) 10 $ 399 Airlines - 0.4% Airtran Holdings Inc. (b) 16 168 Apparel - 1.4% Oxford Industries Inc. 8 310 Quiksilver Inc. (b) 11 327 637 Banks - 4.6% East-West Bancorp. Inc. 9 369 PrivateBancorp Inc. 8 248 Silicon Valley Bancshares (b) 8 354 Southwest Bancorp. of Texas Inc. 15 340 Texas Regional Bancshares Inc. - Class A 7 219 UCBH Holdings Inc. 6 289 W Holding Co. Inc. 8 173 1,992 Biotechnology - 1.8% Affymetrix Inc. (b) (l) 9 329 Genencor International Inc. (b) 8 126 Integra LifeSciences Holdings Corp. (b) 9 347 802 Building Materials - 1.5% Eagle Materials Inc. 5 397 Trex Co. Inc. (b) 6 288 685 Chemicals - 0.4% Spartech Corp. 6 165 Commercial Services - 5.1% Advisory Board Co. (b) 5 181 Charles River Associates Inc. (b) 5 253 Corporate Executive Board Co. 5 341 CoStar Group Inc. (b) (l) 9 406 Euronet Worldwide Inc. (b) 15 388 Icon Plc - ADR (b) 6 216 MPS Group Inc. (b) 23 284 Steiner Leisure Ltd. (b) 7 209 2,278 Computers - 3.4% Anteon International Corp. (b) 8 343 CACI International Inc. - Class A (b) 3 218 Catapult Communications Corp. (b) 8 203 Intergraph Corp. (b) 7 189 Magma Design Automation Inc. (b) (l) 7 92 Mercury Computer Systems Inc. (b) 12 350 PalmOne Inc. (b) (l) 3 104 1,499 Distribution & Wholesale - 1.4% Hughes Supply Inc. 10 323 ScanSource Inc. (b) 5 280 603 Diversified Financial Services - 1.6% Affiliated Managers Group Inc. (b) (l) 4 291 Jefferies Group Inc. 6 238 Piper Jaffray Cos. (b) 4 173 702 Electronics - 6.1% Cymer Inc. (b) 11 331 Daktronics Inc. (b) 7 174 FEI Co. (b) 7 155 Flir Systems Inc. (b) 6 395 Ii-Vi Inc. (b) 7 276 Imax Corp. (b) (l) 25 203 Keithley Instruments Inc. 10 203 Trimble Navigation Ltd. (b) 14 462 Varian Inc. (b) 7 303 Woodward Governor Co. 3 222 2,724 Entertainment - 3.2% Lions Gate Entertainment Corp. (b) 34 365 Macrovision Corp. (b) 13 327 Penn National Gaming Inc. (b) 6 381 Shuffle Master Inc. (b) (l) 7 347 1,420 Environmental Control - 0.7% Stericycle Inc. (b) 7 326 Food - 0.9% United Natural Foods Inc. (b) 12 383 Healthcare - 9.8% American Healthways Inc. (b) (l) 6 192 American Medical Systems Holdings Inc. (b) 9 355 Amsurg Corp. (b) 8 244 Closure Medical Corp. (b) 8 154 Covance Inc. (b) 6 225 Gen-Probe Inc. (b) 8 366 Immucor Inc. (b) 16 368 Intuitive Surgical Inc. (b) 9 372 LifePoint Hospitals Inc. (b) (l) 9 327 Mentor Corp. 11 354 NuVasive Inc. (b) 11 112 Pediatrix Medical Group Inc. (b) 3 218 Renal Care Group Inc. (b) 7 234 ResMed Inc. (b) (l) 5 240 Techne Corp. (b) 5 199 Vnus Medical Technologies Inc. (b) (l) 3 39 Wright Medical Group Inc. (b) 13 359 4,358 Home Builders - 1.0% Beazer Homes USA Inc. (l) 3 439 Household Products - 1.9% Fossil Inc. (b) 8 216 Scotts Co. - Class A (b) 5 375 Toro Co. 3 244 835 Insurance - 1.4% Assured Guaranty Ltd. 8 155 HCC Insurance Holdings Inc. 7 222 ProAssurance Corp. (b) 6 231 608 Internet - 4.4% Digital River Inc. (b) 4 171 Internet Security Systems Inc. (b) 16 367 Macromedia Inc. (b) 14 442 RSA Security Inc. (b) (l) 16 311 Sina Corp. (b) 5 160 Websense Inc. (b) 10 482 1,933 Iron & Steel - 1.6% Cleveland-Cliffs Inc. 3 353 Steel Dynamics Inc. 9 337 690 Leisure Time - 0.8% Nautilus Group Inc. 15 360 Lodging - 1.4% Choice Hotels International Inc. 6 336 Kerzner International Ltd. (b) 4 265 601 Machinery - 2.1% Cognex Corp. 4 100 Graco Inc. 7 243 IDEX Corp. (l) 6 251 JLG Industries Inc. (l) 17 342 936 Manufacturing - 0.6% Actuant Corp. - Class A (b) 5 271 Media - 0.6% Radio One Inc. (b) 7 106 Radio One Inc. - Class D (b) 11 181 287 Oil & Gas Producers - 2.9% Grey Wolf Inc. (b) 38 197 Harvest Natural Resources Inc. (b) 13 230 Patterson-UTI Energy Inc. 11 212 Quicksilver Resources Inc. (b) (l) 8 280 Range Resources Corp. 2 43 Unit Corp. (b) 9 325 1,287 Oil & Gas Services - 1.8% CAL Dive International Inc. (b) 8 342 Core Laboratories NV (b) 7 156 FMC Technologies Inc. (b) 10 313 811 Pharmaceuticals - 4.7% Accredo Health Inc. (b) 13 349 Amylin Pharmaceuticals Inc. (b) 10 238 Eyetech Pharmaceuticals Inc. (b) 6 287 First Horizon Pharmaceutical Corp. (b) 14 318 Medicis Pharmaceutical Corp. - Class A (l) 2 56 MGI Pharma Inc. (b) (l) 11 317 United Therapeutics Corp. (b) 5 230 VCA Antech Inc. (b) 15 294 2,089 Retail - 10.3% Aeropostale Inc. (b) 9 259 Bebe Stores Inc. 13 360 Coldwater Creek Inc. (b) 7 227 GameStop Corp. (b) 16 360 Guitar Center Inc. (b) 7 364 Insight Enterprises Inc. (b) 13 263 Jos. A. Banks Clothiers Inc. (b) (l) 12 332 MSC Industrial Direct Co. Inc. 11 396 Pacific Sunwear of California (b) 8 171 Panera Bread Co. - Class A (b) (l) 8 335 PF Chang's China Bistro Inc. (b) (l) 7 406 Rare Hospitality International Inc. (b) 12 371 Regis Corp. 7 337 Sonic Corp. (b) 13 386 4,567 Semiconductors - 4.5% Artisan Components Inc. (b) 10 358 Formfactor Inc. (b) 12 334 Integrated Circuit Systems Inc. (b) 6 134 Microsemi Corp. (b) 24 422 Pixelworks Inc. (b) 13 142 Power Integrations Inc. (b) 6 113 Semtech Corp. (b) 16 348 Varian Semiconductor Equipment Associates Inc. (b) 5 165 2,016 Software - 5.2% Activision Inc. (b) 17 345 Avid Technology Inc. (b) 5 315 Cerner Corp. (b) (l) 7 393 Epicor Software Corp. (b) 22 303 Global Payments Inc. (l) 5 316 MicroStrategy Inc. - Class A (b) 6 362 Navteq Corp. (b) 6 269 2,303 Telecommunications Equipment - 2.4% Applied Signal Technology Inc. 2 63 Plantronics Inc. 6 245 Polycom Inc. (b) 16 373 SafeNet Inc. (b) 10 382 1,063 Toys & Hobbies - 1.1% Marvel Enterprises Inc. (b) 14 284 RC2 Corp. (b) 7 218 502 Transportation - 3.5% Forward Air Corp. (b) 7 326 Heartland Express Inc. 11 247 Kirby Corp. (b) 4 195 Knight Transportation Inc. 9 223 Old Dominion Freight Line Inc. (b) 7 254 UTI Worldwide Inc. 4 287 1,532 Total Common Stocks (cost $34,402) 42,271 Mutual Funds - 1.4% iShares Nasdaq Biotechnology Index Fund (l) 9 641 Total Mutual Funds (cost $629) 641 Short Term Investments - 15.5% Money Market Funds - 2.3% Dreyfus Cash Management Plus, 1.98% (a) 1,021 1,021 Securities Lending Collateral - 13.0% Mellon GSL Delaware Business Trust Collateral Fund 5,753 5,753 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 2.21%, 03/17/05 $100 100 Total Short Term Investments (cost $6,874) 6,874 Total Investments - 112.3% (cost $41,905) 49,786 Other Assets and Liabilities, Net - (12.3)% (5,421) Total Net Assets - 100% $ 44,365 JNL/ALGER GROWTH FUND Percentage of Total Industry Sector Investments (o) Communications 22.8% Consumer, Non-cyclical 15.7% Consumer, Cyclical 14.6% Technology 14.1% Energy 12.1% Financial 8.3% Industrial 8.0% Basic Materials 1.9% Government 1.7% Money Market Investment 0.8% 100.0% Common Stocks - 97.5% Apparel - 0.3% Polo Ralph Lauren Corp. 18 $ 750 Banks - 1.9% Bank of New York Co. Inc. 87 2,903 Wells Fargo & Co. 42 2,635 5,538 Biotechnology - 1.5% Biogen Idec Inc. (b) 32 2,152 Genzyme Corp. (b) 37 2,148 4,300 Chemicals - 1.9% Dow Chemical Co. 112 5,553 Computers - 5.1% Apple Computer Inc. (b) 116 7,470 EMC Corp. (b) 185 2,749 Research In Motion Ltd. (b) 56 4,644 14,863 Diversified Financial Services - 5.2% Affiliated Managers Group Inc. (b) (l) 45 3,042 American Express Co. 73 4,092 JPMorgan Chase & Co. 37 1,424 Lehman Brothers Holdings Inc. 26 2,231 MBNA Corp. 78 2,202 T. Rowe Price Group Inc. 46 2,836 15,827 Electronics - 1.3% Symbol Technologies Inc. (l) 218 3,772 Healthcare - 5.1% Boston Scientific Corp. (b) 67 2,388 Johnson & Johnson 46 2,943 Pacificare Health Systems Inc. (b) 15 831 UnitedHealth Group Inc. 33 2,874 WellPoint Inc. (b) 50 5,773 14,809 Insurance - 1.0% Cigna Corp. 36 2,912 Internet - 11.0% eBay Inc. (b) 80 9,315 Google Inc. (b) (l) 31 6,044 NetFlix Inc. (b) (l) 280 3,449 Symantec Corp. (b) 120 3,102 VeriSign Inc. (b) 64 2,135 Yahoo! Inc. (b) 218 8,221 32,266 Leisure Time - 1.5% Carnival Corp. (l) 76 4,357 Lodging - 4.6% Harrah's Entertainment Inc. 22 1,492 Hilton Hotels Corp. 172 3,920 MGM MIRAGE (b) 54 3,921 Starwood Hotels & Resorts Worldwide Inc. 71 4,146 13,479 Manufacturing - 5.2% Danaher Corp. 25 1,430 General Electric Capital Corp. 160 5,836 Tyco International Ltd. 224 7,990 15,256 Media - 7.2% Time Warner Inc. (b) 262 5,089 Univision Communications Inc. (b) (l) 82 2,388 Viacom Inc. - Class B 148 5,386 Walt Disney Co. 106 2,938 XM Satellite Radio Holdings Inc. - Class A (b) (l) 137 5,155 20,956 Mining - 1.7% Peabody Energy Corp. 62 5,000 Oil & Gas Producers - 5.0% BP Plc - ADR 47 2,742 EOG Resources Inc. 29 2,098 Patterson-UTI Energy Inc. 75 1,449 Sasol Ltd. Sponsored ADR 80 1,743 Transocean Inc. (b) 153 6,490 14,522 Oil & Gas Services - 5.4% BJ Services Co. 60 2,769 National-Oilwell Inc. (b) (l) 181 6,398 Schlumberger Ltd. 101 6,776 15,943 Pharmaceuticals - 9.1% Abbott Laboratories 103 4,800 Caremark Rx Inc. (b) 58 2,289 Gilead Sciences Inc. (b) 124 4,328 ImClone Systems Inc. (b) 53 2,456 IVAX Corp. (b) 56 892 OSI Pharmaceuticals Inc. (b) (l) 62 4,659 Sanofi-Synthelabo SA 74 2,956 Sepracor Inc. (b) (l) 73 4,335 26,715 Retail - 8.3% Bed Bath & Beyond Inc. (b) 74 2,959 CVS Corp. 76 3,446 Federated Department Stores Inc. 39 2,225 Kohl's Corp. (b) 16 767 Lowe's Cos. Inc. 71 4,089 Target Corp. 138 7,190 Wal-Mart Stores Inc. 68 3,586 24,262 Semiconductors - 5.2% Analog Devices Inc. 99 3,666 Freescale Semiconductor Inc. (b) (l) 159 2,833 Intel Corp. 223 5,219 Linear Technology Corp. 91 3,526 15,244 Software - 3.8% Automatic Data Processing Inc. 59 2,634 Microsoft Corp. 315 8,415 11,049 Telecommunications - 0.9% China Netcom Group Corp. (b) 2 52 Sprint Corp. - FON Group 106 2,629 2,681 Telecommunications Equipment - 2.6% Avaya Inc. (b) 189 3,253 Cisco Systems Inc. (b) 229 4,422 7,675 Transportation - 1.5% FedEx Corp. 44 4,304 Wireless Telecommunications - 1.2% Motorola Inc. 201 3,449 Total Common Stocks (cost $256,187) 285,482 Short Term Investments - 13.8% Money Market Funds - 0.8% Dreyfus Cash Management Plus, 1.98% (a) 2,235 2,235 Securities Lending Collateral - 11.3% Mellon GSL Delaware Business Trust Collateral Fund 33,191 33,191 U.S. Government Agencies - 1.7% Federal Home Loan Mortgage Corp. Discount Note, 2.05%, 02/18/05 $5,000 4,986 Total Short Term Investments (cost $40,412) 40,412 Total Investments - 111.3% (cost $296,599) 325,894 Other Assets and Liabilities, Net - (11.3)% (33,249) Total Net Assets - 100% $ 292,645 JNL/ALLIANCE CAPITAL GROWTH FUND Percentage of Total Industry Sector Investments (o) Communications 24.7% Technology 22.7% Consumer, Non-cyclical 20.5% Financial 14.3% Consumer, Cyclical 8.6% Industrial 4.9% Energy 4.3% 100.0% Common Stocks - 99.9% Biotechnology - 3.2% Amgen Inc. (b) 22 $ 1,418 Computers - 7.7% Apple Computer Inc. (b) 8 535 Dell Inc. (b) 50 2,090 EMC Corp. (b) 6 91 Network Appliance Inc. (b) 16 515 Research In Motion Ltd. (b) 4 305 3,536 Cosmetics & Personal Care - 3.4% Avon Products Inc. 23 906 Procter & Gamble Co. 11 627 1,533 Diversified Financial Services - 10.3% Charles Schwab Corp. 59 707 Citigroup Inc. 23 1,127 Franklin Resources Inc. 10 662 JPMorgan Chase & Co. 20 780 Legg Mason Inc. 2 123 MBNA Corp. 44 1,246 4,645 Food - 0.5% Whole Foods Market Inc. 2 229 Healthcare - 10.2% Alcon Inc. 11 846 Boston Scientific Corp. (b) 29 1,045 St. Jude Medical Inc. (b) 27 1,140 UnitedHealth Group Inc. 8 700 WellPoint Inc. (b) 3 368 Zimmer Holdings Inc. (b) 6 466 4,565 Home Builders - 0.8% Lennar Corp. 3 153 Pulte Homes Inc. 3 185 338 Insurance - 4.0% AFLAC Inc. 14 545 American International Group Inc. 19 1,235 1,780 Internet - 11.2% eBay Inc. (b) 17 1,984 Google Inc. (b) (l) 2 444 Symantec Corp. (b) 16 420 Yahoo! Inc. (b) 58 2,174 5,022 Leisure Time - 2.1% Carnival Corp. 17 951 Manufacturing - 4.1% General Electric Capital Corp. 36 1,296 Tyco International Ltd. 15 550 1,846 Media - 2.8% E.W. Scripps Co. 16 758 Time Warner Inc. (b) 25 484 1,242 Oil & Gas Producers - 1.9% Nabors Industries Ltd. (b) 15 770 XTO Energy Inc. 3 88 858 Oil & Gas Services - 2.4% Baker Hughes Inc. 10 435 Halliburton Co. 16 628 1,063 Pharmaceuticals - 3.3% Gilead Sciences Inc. (b) 5 161 Pfizer Inc. 19 503 Teva Pharmaceutical Industries Ltd. - ADR 27 815 1,479 Retail - 5.7% Lowe's Cos. Inc. 26 1,492 Starbucks Corp. (b) 4 243 Target Corp. 15 789 Wal-Mart Stores Inc. 1 32 2,556 Semiconductors - 7.0% Altera Corp. (b) 10 201 Applied Materials Inc. (b) 22 374 Broadcom Corp. (b) 25 797 Intel Corp. 3 68 Marvell Technology Group Ltd. (b) (l) 27 954 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 89 755 3,149 Software - 7.8% Electronic Arts Inc. (b) 26 1,598 Microsoft Corp. 47 1,263 SAP AG - ADR 15 667 3,528 Telecommunications Equipment - 7.6% Cisco Systems Inc. (b) 46 884 Corning Inc. (b) (l) 110 1,290 Juniper Networks Inc. (b) 46 1,251 3,425 Transportation - 0.8% United Parcel Service Inc. 4 367 Wireless Telecommunications - 3.1% Qualcomm Inc. 33 1,399 Total Common Stocks (cost $40,004) 44,929 Warrants - 0.0% Telecommunications Equipment - 0.0% Lucent Technologies Inc., Strike Price $2.75, Expiring 12/10/07 - 1 Total Warrants (cost $0) 1 Short Term Investments - 3.1% Securities Lending Collateral - 3.1% Mellon GSL Delaware Business Trust Collateral Fund 1,415 1,415 Total Short Term Investments (cost $1,415) 1,415 Total Investments - 103.0% (cost $41,419) 46,345 Other Assets and Liabilities, Net - (3.0%) (1,375) Total Net Assets - 100% $ 44,970 JNL/EAGLE CORE EQUITY FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 21.4% Technology 15.2% Communications 14.2% Financial 12.9% Industrial 12.2% Consumer, Cyclical 11.5% Money Market Investment 7.4% Energy 4.1% Utilities 0.8% Basic Materials 0.3% 100.0% Common Stocks - 91.5% Advertising - 1.1% Omnicom Group Inc. 47 $ 3,971 Aerospace & Defense - 1.3% United Technologies Corp. 45 4,640 Banks - 4.3% Bank of America Corp. 119 5,573 Bank of New York Co. Inc. 28 936 US Bancorp. 49 1,535 Wachovia Corp. 98 5,144 Wells Fargo & Co. 27 1,678 14,866 Beverages - 1.7% Anheuser-Busch Cos. Inc. 20 1,015 Coca-Cola Co. 90 3,728 PepsiCo Inc. 24 1,253 5,996 Biotechnology - 1.9% Amgen Inc. (b) 39 2,524 Chiron Corp. (b) 65 2,178 Genzyme Corp. (b) 35 2,050 6,752 Chemicals - 0.3% Air Products & Chemicals Inc. 18 1,043 Commercial Services - 0.4% Accenture Ltd. (b) 51 1,377 Computers - 4.0% Dell Inc. (b) 294 12,368 EMC Corp. (b) 140 2,077 14,445 Cosmetics & Personal Care - 0.3% Procter & Gamble Co. 20 1,102 Diversified Financial Services - 4.8% American Express Co. 89 5,000 Citigroup Inc. 109 5,256 Fannie Mae 23 1,634 Goldman Sachs Group Inc. 23 2,388 JPMorgan Chase & Co. 78 3,032 17,310 Electric - 0.4% NiSource Inc. 56 1,276 Electrical Components & Equipment - 2.5% Emerson Electric Co. 127 8,899 Electronics - 0.9% Symbol Technologies Inc. 177 3,067 Entertainment - 0.1% DreamWorks Animation SKG Inc. (b) 6 236 Environmental Control - 1.1% Waste Management Inc. 134 4,009 Food - 1.5% Dean Foods Co. (b) 41 1,345 General Mills Inc. 34 1,690 Sysco Corp. 57 2,176 5,211 Gas - 0.4% UGI Corp. 35 1,432 Healthcare - 5.5% Baxter International Inc. 155 5,347 Guidant Corp. 71 5,126 HCA Inc. 111 4,440 Johnson & Johnson 46 2,889 Zimmer Holdings Inc. (b) 24 1,955 19,757 Home Furnishings - 0.5% Tempur-Pedic International Inc. (b) 86 1,832 Household Products - 2.1% Kimberly-Clark Corp. 40 2,652 Newell Rubbermaid Inc. (l) 199 4,807 7,459 Insurance - 1.9% American International Group Inc. 79 5,175 MetLife Inc. 22 891 St. Paul Cos. Inc. 19 704 6,770 Internet - 4.0% CheckFree Corp. (b) 42 1,601 eBay Inc. (b) 49 5,744 Symantec Corp. (b) 111 2,853 Yahoo! Inc. (b) 110 4,130 14,328 Leisure Time - 0.8% Harley-Davidson Inc. 47 2,838 Lodging - 1.0% Harrah's Entertainment Inc. 55 3,673 Machinery - 0.2% Deere & Co. 12 894 Manufacturing - 5.3% 3M Co. 24 1,970 Cooper Industries Ltd. - Class A 22 1,494 General Electric Capital Corp. 181 6,616 Harsco Corp. 30 1,672 Honeywell International Inc. 29 1,027 Tyco International Ltd. 175 6,265 19,044 Media - 4.9% Comcast Corp. - Special Class A (b) 55 1,819 EchoStar Communications Corp. 66 2,205 McGraw-Hill Cos. Inc. 15 1,373 Time Warner Inc. (b) 378 7,339 Tribune Co. 23 969 Viacom Inc. - Class B 47 1,710 Walt Disney Co. 73 2,033 17,448 Oil & Gas Producers - 3.0% BP Plc - ADR 34 1,968 ENSCO International Inc. 50 1,593 Exxon Mobil Corp. 141 7,228 10,789 Oil & Gas Services - 0.5% Halliburton Co. 46 1,813 Pharmaceuticals - 7.8% Abbott Laboratories 44 2,064 Allergan Inc. 21 1,694 Bristol-Myers Squibb Co. 45 1,153 Caremark Rx Inc. (b) 52 2,031 Pfizer Inc. 514 13,815 Wyeth 171 7,266 28,023 Pipelines - 0.5% Kinder Morgan Inc. 26 1,901 Real Estate - 1.6% Boston Properties Inc. 11 711 Crescent Real Estate Equities Co. 49 895 Equity Office Properties Trust 35 1,019 General Growth Properties Inc. 29 1,049 Health Care Property Investors Inc. 48 1,329 Vornado Realty Trust 9 685 5,688 Retail - 7.8% CVS Corp. 82 3,691 Home Depot Inc. 157 6,702 McDonald's Corp. 296 9,482 Target Corp. 56 2,885 Wal-Mart Stores Inc. 76 4,017 Wendy's International Inc. 28 1,086 27,863 Semiconductors - 7.0% Altera Corp. (b) 56 1,158 Applied Materials Inc. (b) 165 2,824 Broadcom Corp. (b) 146 4,708 Entegris Inc. (b) 188 1,873 Fairchild Semiconductor International Inc. - Class A (b) 135 2,193 Intel Corp. 145 3,401 Maxim Integrated Products Inc. 70 2,948 National Semiconductor Corp. 134 2,400 Texas Instruments Inc. 91 2,250 Ultra Clean Holdings (b) 217 1,313 25,068 Software - 4.1% First Data Corp. 28 1,174 Microsoft Corp. 291 7,759 Veritas Software Corp. (b) 207 5,913 14,846 Telecommunications - 0.5% SBC Communications Inc. 28 722 Verizon Communications Inc. 28 1,134 1,856 Telecommunications Equipment - 1.2% Cisco Systems Inc. (b) 150 2,895 Nortel Networks Corp. (b) 378 1,318 4,213 Tobacco - 1.4% Altria Group Inc. 85 5,181 Transportation - 0.8% FedEx Corp. 30 2,945 Wireless Telecommunications - 2.1% Nokia Oyj - ADR 368 5,770 Qualcomm Inc. 43 1,802 7,572 Total Common Stocks (cost $292,904) 327,431 Preferred Stocks - 0.2% Insurance - 0.2% Travelers Property Casualty Corp., 4.50% 31 707 Total Preferred Stocks (cost $768) 707 Warrants - 0.0% Telecommunications Equipment - 0.0% Lucent Technologies Inc., Strike Price $2.75, Expiring 12/10/07 4 7 Total Warrants (cost $0) 7 Corporate Bonds - 0.7% Healthcare - 0.2% Community Health Systems Inc., 4.25%, 10/15/08 (j) 575 597 Insurance - 0.2% Loews Corp., 3.125%, 09/15/07 (j) 750 737 Media - 0.4% Liberty Media Corp., 3.25%, 03/15/31 (j) (l) 1,330 1,305 Total Corporate Bonds (cost $2,494) 2,639 Short Term Investments - 9.0% Money Market Funds - 7.4% Dreyfus Cash Management Plus, 1.98% (a) 17,907 17,907 Dreyfus Government Cash Management, 1.87% (a) 8,626 8,626 26,533 Securities Lending Collateral - 1.6% Mellon GSL Delaware Business Trust Collateral Fund 5,895 5,895 Total Short Term Investments (cost $32,428) 32,428 Total Investments - 101.4% (cost $328,594) 363,212 Other Assets and Liabilities, Net - (1.4%) (5,214) Total Net Assets - 100% $ 357,998 JNL/EAGLE SMALLCAP EQUITY FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 25.3% Consumer, Cyclical 20.5% Technology 18.4% Industrial 12.9% Energy 8.3% Financial 7.1% Communications 6.3% Money Market Investment 1.2% 100.0% Common Stocks - 98.8% Agriculture - 2.0% Delta & Pine Land Co. 125 $ 3,422 Apparel - 0.7% Columbia Sportswear Co. (b) 19 1,139 Banks - 3.4% Bank Mutual Corp. 57 690 First Bancorp. 55 3,488 TrustCo Bancorp. 100 1,382 5,560 Biotechnology - 2.8% Decode Genetics Inc. (b) 187 1,463 Martek Biosciences Corp. (b) (l) 66 3,374 4,837 Commercial Services - 1.6% Corrections Corp. of America (b) 66 2,670 Computers - 4.6% Factset Research Systems Inc. 78 4,535 RadiSys Corp. (b) 170 3,321 7,856 Distribution & Wholesale - 1.5% SCP Pool Corp. (l) 81 2,591 Electrical Components & Equipment - 2.4% General Cable Corp. (b) 290 4,022 Electronics - 1.8% Gentex Corp. 55 2,044 OYO Geospace Corp. (b) 50 945 2,989 Entertainment - 8.4% Alliance Gaming Corp. (b) (l) 324 4,469 Lions Gate Entertainment Corp. (b) 482 5,118 Nevada Gold & Casinos Inc. (b) 57 694 Shuffle Master Inc. (b) (l) 85 4,013 14,294 Environmental Control - 6.3% Aleris International Inc. (b) 242 4,088 Duratek Inc. (b) 71 1,771 Waste Connections Inc. (b) (l) 141 4,819 10,678 Healthcare - 15.7% American Healthways Inc. (b) 149 4,924 American Medical Systems Holdings Inc. (b) 97 4,047 Cooper Cos. Inc. (l) 47 3,298 Edwards Lifesciences Corp. (b) 66 2,709 Horizon Health Corp. (b) 111 3,103 Inamed Corp. (b) 77 4,875 Respironics Inc. (b) 69 3,767 26,723 Home Furnishings - 5.2% Tempur-Pedic International Inc. (b) 163 3,449 Universal Electronics Inc. (b) 309 5,444 8,893 Insurance - 3.8% Direct General Corp. 89 2,867 Philadelphia Consolidated Holding Co. (b) 37 2,434 Primus Guaranty Ltd. (b) 75 1,229 6,530 Internet - 2.9% eCollege.com Inc. (b) 68 767 eDiets.com Inc. (b) (l) 68 300 Internet Capital Group Inc. (b) (l) 118 1,065 Radware Ltd. (b) 105 2,733 4,865 Leisure Time - 0.1% Orange 21 Inc. (b) (l) 23 242 Manufacturing - 1.1% Actuant Corp. - Class A (b) 36 1,888 Oil & Gas Producers - 6.0% Patterson-UTI Energy Inc. (l) 267 5,193 Unit Corp. (b) 130 4,974 10,167 Oil & Gas Services - 2.3% Maverick Tube Corp. (b) (l) 56 1,697 Tetra Technologies Inc. (b) 81 2,284 3,981 Pharmaceuticals - 3.1% Dendreon Corp. (b) (l) 63 675 Medicis Pharmaceutical Corp. - Class A (l) 96 3,360 VCA Antech Inc. (b) 64 1,262 5,297 Retail - 4.5% Cabela's Inc. - Class A (b) 69 1,567 Cash America International Inc. 53 1,579 Genesco Inc. (b) 146 4,558 7,704 Semiconductors - 4.1% ASE Test Ltd. (b) (l) 231 1,559 Emulex Corp. (b) 149 2,501 Integrated Device Technology Inc. (b) 244 2,825 6,885 Software - 9.7% Ansys Inc. (b) 63 2,034 Avid Technology Inc. (b) (l) 48 2,936 Datastream Systems Inc. (b) 564 3,910 Eclipsys Corp. (b) 164 3,355 Global Payments Inc. (l) 47 2,763 Netsmart Technologies Inc. (b) 167 1,498 16,496 Telecommunications Equipment - 1.9% C-COR.net Corp. (b) 177 1,645 Tekelec (b) 79 1,611 3,256 Transportation - 1.4% OMI Corp. 137 2,302 Wireless Telecommunications - 1.5% EMS Technologies Inc. (b) 156 2,591 Total Common Stocks (cost $124,846) 167,878 Short Term Investments - 13.4% Money Market Funds - 1.2% Dreyfus Cash Management Plus, 1.98% (a) 1,954 1,954 Securities Lending Collateral - 12.2% Mellon GSL Delaware Business Trust Collateral Fund 20,732 20,732 Total Short Term Investments (cost $22,686) 22,686 Total Investments - 112.2% (cost $147,532) 190,564 Other Assets and Liabilities, Net - (12.2%) (20,811) Total Net Assets - 100% $ 169,753 JNL/FMR BALANCED FUND Percentage of Total Industry Sector Investments (o) Government 30.2% Financial 12.6% Consumer, Non-cyclical 11.8% Industrial 10.5% Communications 8.0% Energy 6.6% Technology 6.3% Consumer, Cyclical 5.7% Basic Materials 4.2% Money Market Investment 2.4% Utilities 1.7% 100.0% Common Stocks - 67.1% Advertising - 0.3% Lamar Advertising Co. (b) 8 $ 338 Aerospace & Defense - 1.4% BE Aerospace Inc. (b) 5 57 Boeing Co. 1 26 European Aeronautic Defense and Space Co. 5 151 Goodrich Corp. 7 238 Lockheed Martin Corp. 3 183 Northrop Grumman Corp. 3 158 Rockwell Collins Inc. 2 87 Titan Corp. (b) 2 32 United Technologies Corp. 3 341 1,273 Agriculture - 0.3% Bunge Ltd. 4 222 Monsanto Co. 2 123 345 Airlines - 0.7% Airtran Holdings Inc. (b) (l) 16 175 Delta Air Lines Inc. (b) (l) 16 116 Frontier Airlines Inc. (b) 30 347 Northwest Airlines Corp. (b) 5 54 692 Apparel - 0.0% Reebok International Ltd. - 18 Auto Manufacturers - 0.2% Navistar International Corp. (b) (l) 3 132 Wabash National Corp. (b) 4 100 232 Auto Parts & Equipment - 0.1% Dana Corp. 1 14 TRW Automotive Inc. (b) 6 124 138 Banks - 3.8% Bank of America Corp. 33 1,548 Cathay Bancorp. Inc. - 8 Comerica Inc. 2 116 M&T Bank Corp. 1 54 Nara Bancorp. Inc. 2 36 North Fork Bancorp. Inc. 9 258 PrivateBancorp Inc. - 6 Silicon Valley Bancshares (b) 3 134 State Street Corp. 2 93 UCBH Holdings Inc. 2 110 UnionBanCal Corp. 1 84 W Holding Co. Inc. 9 199 Wachovia Corp. 12 620 Wells Fargo & Co. 3 162 Wilshire Bancorp Inc. (b) 5 77 Wintrust Financial Corp. 2 114 3,619 Beverages - 0.2% Coca-Cola Co. 6 233 Biotechnology - 0.3% Biogen Idec Inc. (b) (l) 1 87 Enzon Pharmaceuticals Inc. (b) 4 51 Genentech Inc. (b) 2 98 Millennium Pharmaceuticals Inc. (b) 9 104 Oscient Pharmaceuticals Corp. (b) 6 20 360 Building Materials - 0.6% American Standard Cos. Inc. (b) 1 56 Eagle Materials Inc. 2 138 Martin Marietta Materials Inc. 1 27 Masco Corp. (l) 4 128 Texas Industries Inc. 2 106 Trex Co. Inc. (b) 1 42 Vulcan Materials Co. 1 66 York International Corp. 2 65 628 Chemicals - 1.6% Albemarle Corp. 2 77 Dow Chemical Co. 7 327 Great Lakes Chemical Corp. 3 97 Lyondell Chemical Co. (l) 17 496 Nova Chemicals Corp. 7 308 Olin Corp. 11 236 Praxair Inc. 2 102 UAP Holding Corp. (b) 4 66 1,709 Commercial Services - 0.9% Apollo Group Inc. (b) 1 56 BearingPoint Inc. (b) 11 86 Career Education Corp. (b) 4 156 Cendant Corp. 9 206 DeVry Inc. (b) 1 17 McKesson Corp. 7 233 Pharmaceutical Product Development Inc. (b) - 12 Robert Half International Inc. 1 35 United Rentals Inc. (b) 7 127 Weight Watchers International Inc. (b) (l) 1 58 986 Computers - 1.3% Affiliated Computer Services Inc. - Class A (b) 1 48 Cadence Design Systems Inc. (b) (l) 9 120 Ceridian Corp. (b) 10 174 Diebold Inc. 2 123 Hutchinson Technology Inc. (b) 3 90 Lexmark International Inc. (b) 1 62 Maxtor Corp. (b) 43 228 National Instruments Corp. 1 14 Seagate Technology (b) 13 216 Storage Technology Corp. (b) 4 139 Western Digital Corp. (b) 13 138 1,352 Cosmetics & Personal Care - 0.7% Colgate-Palmolive Co. 3 174 Estee Lauder Cos. Inc. 1 50 Procter & Gamble Co. 8 465 689 Distribution & Wholesale - 0.5% Bell Microproducts Inc. (b) 9 90 Ingram Micro Inc. - Class A (b) 13 260 WESCO International Inc. (b) 4 128 478 Diversified Financial Services - 4.9% American Express Co. (l) 1 64 Bear Stearns Cos. Inc. (l) 1 113 Capital One Financial Corp. (l) 1 109 Citigroup Inc. 32 1,527 Countrywide Financial Corp. 5 188 E*TRADE Group Inc. (b) 5 81 Fannie Mae 1 71 Freddie Mac 8 570 Goldman Sachs Group Inc. 2 235 JPMorgan Chase & Co. 22 876 Lehman Brothers Holdings Inc. 4 306 MBNA Corp. 5 132 Merrill Lynch & Co. Inc. (l) 7 412 Morgan Stanley 8 451 5,135 Electric - 1.7% AES Corp. (b) 40 552 Dominion Resources Inc. 3 190 Entergy Corp. 2 128 Exelon Corp. 5 207 NorthWestern Corp. (b) - 3 NRG Energy Inc. (b) - 7 PG&E Corp. (b) 5 153 PPL Corp. 2 85 TXU Corp. (l) 8 498 1,823 Electrical Components & Equipment - 0.3% LG Electronics Inc. (b) 3 165 Molex Inc. 2 69 Samsung Electronics Co. Ltd. - 118 352 Electronics - 2.5% Amphenol Corp. (b) 7 257 Arrow Electronics Inc. (b) 2 51 AU Optronics Corp. 2 30 Avnet Inc. (b) 4 77 Celestica Inc. (b) 21 296 Cymer Inc. (b) 4 130 Fisher Scientific International (b) (l) 2 127 Flextronics International Ltd. (b) 24 326 Hon Hai Precision Industry Co. Ltd. - GDR 14 132 Jabil Circuit Inc. (b) 1 33 Mettler-Toledo International Inc. (b) 3 159 Orbotech Ltd. (b) - 4 Sanmina-SCI Corp. (b) 19 164 Solectron Corp. (b) 24 126 Symbol Technologies Inc. 19 332 Thermo Electron Corp. (b) 1 30 Vishay Intertechnology Inc. (b) (l) 3 38 Waters Corp. (b) 5 211 Watts Industries Inc. 3 85 2,608 Engineering & Construction - 1.0% Dycom Industries Inc. (b) 6 171 Fluor Corp. (l) 8 431 Granite Construction Inc. 8 202 Jacobs Engineering Group Inc. (b) 1 53 Larsen & Toubro Ltd. 3 65 URS Corp. (b) 4 111 1,034 Entertainment - 0.0% Macrovision Corp. (b) 1 18 Environmental Control - 0.0% Nalco Holding Co. (b) 1 18 Food - 0.8% Albertson's Inc. (l) 4 91 Corn Products International Inc. 1 64 Dean Foods Co. (b) 6 181 Del Monte Foods Co. (b) 7 77 JM Smucker Co. 3 134 McCormick & Co. Inc. 1 54 Safeway Inc. (b) (l) 5 97 Smithfield Foods Inc. (b) 3 100 798 Forest Products & Paper - 0.3% Buckeye Technologies Inc. (b) 3 42 Smurfit-Stone Container Corp. (b) (l) 10 179 Tembec Inc. (b) 9 55 Votorantim Celulose e Papel SA 6 89 365 Hand & Machine Tools - 0.2% Techtronic Industries Co. Ltd. 80 174 Healthcare - 3.8% Aspect Medical Systems Inc. (b) 1 22 Bausch & Lomb Inc. 1 77 Baxter International Inc. 9 297 Beckman Coulter Inc. 2 114 Becton Dickinson & Co. 1 80 Boston Scientific Corp. (b) 2 68 Cytyc Corp. (b) 1 22 Dade Behring Holdings Inc. (b) 5 302 DaVita Inc. (b) 3 134 Edwards Lifesciences Corp. (b) 5 186 Epix Medical Inc. (b) 2 29 Fresenius Medical Care AG 3 70 Guidant Corp. 2 115 Hanger Orthopedic Group Inc. (b) 12 94 Health Net Inc. (b) 3 92 Humana Inc. (b) 3 92 Immucor Inc. (b) 4 99 Johnson & Johnson 2 146 Medtronic Inc. 4 199 Molina Healthcare Inc. (b) 1 60 Pacificare Health Systems Inc. (b) (l) 6 322 Pediatrix Medical Group Inc. (b) 2 109 ResMed Inc. (b) (l) 2 107 Smith & Nephew Plc 8 87 St. Jude Medical Inc. (b) 5 201 Synthes Inc. (b) 1 151 UnitedHealth Group Inc. 8 686 3,961 Home Builders - 0.9% Champion Enterprises Inc. (b) 5 59 DR Horton Inc. 4 169 KB Home 2 188 Ryland Group Inc. 3 161 Standard-Pacific Corp. 2 109 Toll Brothers Inc. (b) 4 275 961 Home Furnishings - 0.0% Whirlpool Corp. - 14 Insurance - 2.8% ACE Ltd. 5 192 AFLAC Inc. 6 251 AMBAC Financial Group Inc. 2 123 American International Group Inc. 14 939 Arch Capital Group Ltd. (b) - 8 Assurant Inc. 2 49 Conseco Inc. (b) 7 146 Endurance Specialty Holdings Ltd. 4 130 Fidelity National Financial Inc. 1 64 Hartford Financial Services Group Inc. 3 222 Hilb Rogal & Hamilton Co. 2 62 MBIA Inc. 3 209 MGIC Investment Corp. 1 62 Scottish Re Group Ltd. 2 39 Specialty Underwriters' Alliance Inc. (b) 5 43 St. Paul Cos. Inc. 5 178 Torchmark Corp. 1 63 USI Holdings Corp. (b) 3 34 W.R. Berkley Corp. 1 37 Willis Group Holdings Ltd. 3 118 2,969 Internet - 0.5% Amazon.Com Inc. (b) (l) 2 80 Covad Communications Group Inc. (b) (l) 105 225 Macromedia Inc. (b) 3 80 NetBank Inc. 6 67 WebMD Corp. (b) (l) 11 88 540 Iron & Steel - 0.2% Gerdau AmeriSteel Corp. (b) 16 107 Nucor Corp. 1 73 Tenaris SA - 20 200 Leisure Time - 0.4% Brunswick Corp. 1 45 Carnival Corp. (l) 2 86 Multimedia Games Inc. (b) 4 56 Royal Caribbean Cruises Ltd. 3 180 367 Lodging - 0.2% Kerzner International Ltd. (b) 3 180 Wyndham International Inc. (b) 39 46 226 Machinery - 0.5% AGCO Corp. (b) 7 160 Astec Industries Inc. (b) 5 84 Briggs & Stratton Corp. 2 83 Gardner Denver Inc. (b) 1 29 Manitowoc Co. 1 45 Terex Corp. (b) 2 86 Weir Group Plc 10 63 550 Manufacturing - 2.7% AO Smith Corp. 2 51 General Electric Capital Corp. 42 1,537 Hexcel Corp. (b) 2 23 Honeywell International Inc. 9 309 Siemens Ag ADR 2 195 SPX Corp. (l) 3 116 Tyco International Ltd. 16 565 2,796 Media - 2.2% Antena 3 Television SA (b) 1 101 Citadel Broadcasting Corp. (b) 4 57 Clear Channel Communications Inc. 13 425 Emmis Communications Corp. (b) 5 94 Fox Entertainment Group Inc. (b) 4 122 Gestevision Telecinco SA (b) 4 74 Lagardere S.C.A. 2 130 Liberty Media Corp. (b) 18 202 Liberty Media International Inc. - Class A (b) 2 112 McGraw-Hill Cos. Inc. 1 55 News Corp Inc. 7 131 Radio One Inc. - Class D (b) 4 68 Salem Communications Corp. - Class A (b) 2 54 SBS Broadcasting SA (b) 1 56 The Directv Group Inc. (b) 7 116 UnitedGlobalCom Inc. (b) 10 100 Univision Communications Inc. (b) 3 91 Walt Disney Co. 11 308 2,296 Metal Fabrication & Hardware - 0.3% Precision Castparts Corp. 3 164 Timken Co. (l) 7 188 352 Mining - 2.4% Agnico-Eagle Mines Ltd. 9 120 Alcan Inc. 7 339 Alcoa Inc. 7 204 Falconbridge Ltd. 6 145 Fording Canadian Coal Trust 1 108 Freeport-McMoRan Copper & Gold Inc. 11 405 Goldcorp Inc. 9 138 Inmet Mining Corp. (b) 2 31 Lionore Mining International Ltd. (b) 7 38 Massey Energy Co. 7 238 Meridian Gold Inc. (b) 14 270 Meridian Gold Inc. (b) 1 19 Phelps Dodge Corp. 3 277 Rio Tinto Plc 1 72 Stillwater Mining Co. (b) 2 21 Wheaton River Minerals Ltd. (b) 21 66 2,491 Office & Business Equipment - 0.3% Xerox Corp. (b) 17 284 Office Furnishings - 0.3% Herman Miller Inc. 3 75 HNI Corp. 2 86 Interface Inc. (b) 15 146 Steelcase Inc. - 3 310 Oil & Gas Producers - 2.5% Chesapeake Energy Corp. (l) 9 149 EnCana Corp. 3 183 Encore Acquisition Co. (b) 3 105 Giant Industries Inc. (b) - 8 Grey Wolf Inc. (b) 30 157 Holly Corp. 5 149 McMoRan Exploration Co. (b) (l) 2 32 Nabors Industries Ltd. (b) 2 108 Plains Exploration & Production Co. (b) (l) 3 73 Premcor Inc. 4 164 Pride International Inc. (b) (l) 35 725 Quicksilver Resources Inc. (b) (l) 5 183 Range Resources Corp. 7 132 Sasol Ltd. Sponsored ADR 1 20 Valero Energy Corp. 11 476 2,664 Oil & Gas Services - 3.7% BJ Services Co. 7 344 Grant Prideco Inc. (b) 28 559 Halliburton Co. 13 491 National-Oilwell Inc. (b) 22 790 Oil States International Inc. (b) 2 35 Smith International Inc. (b) 8 457 Varco International Inc. (b) 8 224 Weatherford International Ltd. (b) 16 836 Willbros Group Inc. (b) 6 135 3,871 Packaging & Containers - 0.5% Owens-Illinois Inc. (b) 16 365 Packaging Corp. of America 2 40 Pactiv Corp. (b) 3 86 491 Pharmaceuticals - 3.7% Alkermes Inc. (b) 7 93 AmerisourceBergen Corp. (l) 2 88 Angiotech Pharmaceuticals Inc. (b) 3 46 Angiotech Pharmaceuticals Inc. (b) 1 20 Atherogenics Inc. (b) (l) 4 104 Barr Laboratories Inc. (b) 3 133 Cardinal Health Inc. 7 395 Caremark Rx Inc. (b) 3 119 Cipla Ltd. 14 99 Connetics Corp. (b) 4 100 CSL Ltd. 10 231 Dendreon Corp. (b) (l) 6 65 Endo Pharmaceuticals Holdings Inc. (b) 4 84 Guilford Pharmaceuticals Inc. (b) 16 77 IVAX Corp. (b) 4 60 Medarex Inc. (b) (l) 8 82 MGI Pharma Inc. (b) - 6 Omnicare Inc. 2 76 Onyx Pharmaceuticals Inc. (b) (l) 2 65 OSI Pharmaceuticals Inc. (b) 3 240 Pfizer Inc. 23 609 Pharmion Corp. (b) 3 114 Priority Healthcare Corp. (b) (l) 6 124 Schering-Plough Corp. 16 330 Sepracor Inc. (b) 2 118 Tanox Inc. (b) 4 61 Wyeth 8 327 3,867 Real Estate - 0.6% Alexandria Real Estate Equities Inc. - 30 CBL & Associates Properties Inc. 1 46 Centerpoint Properties Corp. 2 96 Equity Lifestyle Properties Inc. 1 46 Equity Residential 4 134 General Growth Properties Inc. 2 87 Reckson Associates Realty Corp. 2 62 Vornado Realty Trust 1 91 592 Retail - 2.3% Advance Auto Parts (b) 4 175 Buffalo Wild Wings Inc. (b) 1 22 CVS Corp. 3 135 Dollar Tree Stores Inc. (b) (l) 2 43 Foot Locker Inc. 6 164 Fred's Inc. 3 52 Home Depot Inc. 5 209 J.C. Penney Co. Inc. 3 120 McDonald's Corp. 9 298 OfficeMax Inc. (l) 3 94 PEP Boys-Manny Moe & Jack 8 138 RadioShack Corp. 9 306 Ross Stores Inc. 4 113 Saks Inc. (b) 4 61 ShopKo Stores Inc. (b) 3 64 Toys "R" Us Inc. (b) 9 174 Wal-Mart Stores Inc. 2 111 Wendy's International Inc. 3 105 2,384 Savings & Loans - 0.8% Fidelity Bankshares Inc. 2 73 First Niagara Financial Group Inc. 2 24 Golden West Financial Corp. 2 147 KNBT Bancorp. Inc. 2 34 New York Community Bancorp. Inc. (l) 11 226 NewAlliance Bancshares Inc. 5 80 Sovereign Bancorp. Inc. 12 266 850 Semiconductors - 3.8% Agere Systems Inc. (b) 174 238 Agere Systems Inc. - Class B (b) 152 206 Amkor Technology Inc. (b) (l) 4 26 Analog Devices Inc. 1 41 Asat Holdings Ltd. (b) 12 16 ASM Lithography Holding NV (b) - 3 ASML Holding NV - NYS (b) 11 167 ATMI Inc. (b) (l) 16 349 Axcelis Technologies Inc. (b) (l) 21 170 Cascade Microtech Inc. (b) 3 40 Conexant Systems Inc. (b) 15 30 Credence Systems Corp. (b) (l) 14 128 Cypress Semiconductor Corp. (b) (l) 4 48 Fairchild Semiconductor International Inc. - Class A (b) 18 285 Formfactor Inc. (b) 3 87 Freescale Semiconductor Inc. (b) 51 937 Integrated Circuit Systems Inc. (b) 6 130 Integrated Device Technology Inc. (b) 2 24 Intersil Corp. 14 228 LTX Corp. (b) 28 216 National Semiconductor Corp. 15 269 ON Semiconductor Corp. (b) 8 38 PMC - Sierra Inc. (b) 7 80 QLogic Corp. (b) 3 99 Teradyne Inc. (b) 6 94 United Microelectronics Corp. - ADR (b) 3 11 Vitesse Semiconductor Corp. (b) 6 20 3,980 Software - 0.9% BEA Systems Inc. (b) 19 170 Cerner Corp. (b) 1 48 Cognos Inc. (b) - 4 Cognos Inc. (b) 2 66 FILENET Corp. (b) 3 72 First Data Corp. 4 157 Informatica Corp. (b) 4 33 Microsoft Corp. 8 203 Siebel Systems Inc. (b) 8 88 Veritas Software Corp. (b) 3 95 936 Telecommunications - 2.4% Amdocs Ltd. (b) 1 32 BellSouth Corp. 8 231 Citizens Communications Co. 4 50 Indonesian Satellite Corp. - ADR 1 44 KDDI Corp. - 102 MASTEC Inc. (b) 12 120 NTL Inc. (b) 6 430 Philippine Long Distance Telephone Co. ADR (b) 3 70 PT Telekomunikasi Indonesia ADR 2 42 SBC Communications Inc. 26 657 Telewest Global Inc. (b) 4 70 Verizon Communications Inc. (l) 16 636 2,484 Telecommunications Equipment - 0.9% ADC Telecommunications Inc. (b) 10 26 Adtran Inc. - 1 Alcatel SA - ADR (b) 9 145 Andrew Corp. (b) 3 42 Avaya Inc. (b) 5 83 Comverse Technology Inc. (b) 6 144 Enterasys Networks Inc. (b) 28 50 Extreme Networks Inc. (b) - 2 Finisar Corp. (b) (l) 6 14 Harris Corp. - 12 Juniper Networks Inc. (b) 3 69 Marconi Corp. Plc (b) 6 63 Sycamore Networks Inc. (b) 63 258 909 Tobacco - 1.0% Altria Group Inc. 17 1,063 Transportation - 0.7% Alexander & Baldwin Inc. 1 50 Burlington Northern Santa Fe Corp. 3 147 EGL Inc. (b) (l) 4 132 Forward Air Corp. (b) - 13 Norfolk Southern Corp. 5 170 Swift Transportation Co. Inc. (b) 1 22 Teekay Shipping Corp. (l) 1 42 UTI Worldwide Inc. 1 81 Yamato Transport Co. Ltd. 4 59 716 Wireless Telecommunications - 1.5% American Tower Corp. (b) (l) 26 486 Crown Castle International Corp. (b) 6 93 Mobile TeleSystems - 42 Motorola Inc. 12 215 Nextel Communications Inc. (b) 7 198 Nextel Partners Inc. (b) 6 115 NII Holdings Inc. - Class B (b) 2 90 Qualcomm Inc. 2 93 Spectrasite Inc. (b) 4 226 Western Wireless Corp. (b) 1 32 Wireless Facilities Inc. (b) 3 24 1,614 Total Common Stocks (cost $62,216) 70,153 Preferred Stocks - 0.2% Auto Manufacturers - 0.1% Porsche AG (b) - 64 Sovereign - 0.1% Fannie Mae, 5.375% (b) - 106 Total Preferred Stocks (cost $166) 170 Corporate Bonds - 0.2% Computers - 0.1% Synaptics Inc., 0.75%, 12/01/24 (e) (j) $20 19 Insurance - 0.0% American Equity Investment Life Holding Co., 5.25%, 12/06/24 (e) (j) 20 22 Internet - 0.1% Priceline.com Inc., 2.25%, 01/15/25 (e) (j) 100 98 Oil & Gas Producers - 0.0% McMoRan Exploration Co., 5.25%, 10/06/11 (e) (j) 20 28 Pharmaceuticals - 0.0% Schering-Plough Corp., 6.00%, 09/14/07 (j) 1 51 Semiconductors - 0.0% ASM International NV, 4.25%, 12/06/11 (e) (j) 20 22 Telecommunications - 0.0% Level 3 Communications Inc., 5.25%, 12/15/11 (e) (j) 20 20 Total Corporate Bonds (cost $245) 260 Government Securities - 29.9% U.S. Treasury Securities - 29.9% U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,300 5,048 U.S. Treasury Note 3.25%, 01/15/09 (l) 9,000 8,922 2.50%, 05/31/06 (l) 10,210 10,151 4.25%, 11/15/13 (l) 7,085 7,130 Total Government Securities (cost $30,770) 31,251 Short Term Investments - 35.6% Money Market Funds - 2.4% Dreyfus Cash Management Plus, 1.98% (a) 2,478 2,478 Securities Lending Collateral - 33.2% Mellon GSL Delaware Business Trust Collateral Fund 34,714 34,714 Total Short Term Investments (cost $37,192) 37,192 Total Investments - 133.0% (cost $130,589) 139,026 Other Assets and Liabilities, Net - (33.0%) (34,460) Total Net Assets - 100% $ 104,566 JNL/FMR CAPITAL GROWTH FUND Percentage of Total Industry Sector Investments (o) Communications 26.7% Consumer, Non-cyclical 18.8% Consumer, Cyclical 17.3% Industrial 13.1% Basic Materials 10.0% Energy 7.3% Financial 4.6% Technology 1.2% Money Market Investment 0.8% Government 0.2% 100.0% Common Stocks - 99.1% Advertising - 3.0% Lamar Advertising Co. (b) 21 $ 881 Omnicom Group Inc. 64 5,354 6,235 Aerospace & Defense - 2.6% Empresa Brasiliera de Aeronautica SA - ADR (l) 164 5,487 Agriculture - 4.6% Archer-Daniels-Midland Co. 84 1,881 Bunge Ltd. 47 2,657 Monsanto Co. 94 5,232 9,770 Airlines - 1.7% Ryanair Holdings Plc - ADR (b) (l) 50 2,025 Westjet Airlines Ltd. (b) 156 1,560 3,585 Beverages - 1.7% Adolph Coors Co. - Class B (l) 47 3,587 Chemicals - 6.4% Agrium Inc. 66 1,107 Agrium Inc. 20 329 Lyondell Chemical Co. (l) 87 2,528 Potash Corp. 60 4,950 Potash Corp. Of Saskatchewan 18 1,474 Syngenta AG (b) 54 1,144 The Mosaic Co. (b) 124 2,017 13,549 Commercial Services - 5.0% BearingPoint Inc. (b) 146 1,176 Career Education Corp. (b) 117 4,666 R.R. Donnelley & Sons Co. 89 3,134 Universal Technical Institute Inc. (b) 39 1,493 10,469 Diversified Financial Services - 3.0% Archipelago Holdings Inc. (b) 49 1,033 Calamos Asset Management Inc. - Class A (b) 141 3,799 CapitalSource Inc. (b) 59 1,522 6,354 Electronics - 4.5% Fisher Scientific International (b) (l) 99 6,193 Symbol Technologies Inc. 193 3,336 9,529 Engineering & Construction - 1.3% Dycom Industries Inc. (b) 28 861 Fluor Corp. (l) 34 1,864 2,725 Entertainment - 0.4% Macrovision Corp. (b) 29 744 Food - 2.0% Safeway Inc. (b) 210 4,139 Healthcare - 3.8% Baxter International Inc. 106 3,658 Cytyc Corp. (b) 116 3,204 Gen-Probe Inc. (b) 2 99 Kinetic Concepts Inc. (b) 11 847 Ventana Medical Systems Inc. (b) 2 96 7,904 Home Furnishings - 6.2% Harman International Industries Inc. 103 13,018 Insurance - 1.1% AMBAC Financial Group Inc. 29 2,390 Internet - 1.4% Symantec Corp. (b) 116 2,991 Iron & Steel - 0.5% Tenaris SA 22 1,061 Leisure Time - 4.0% Royal Caribbean Cruises Ltd. (l) 155 8,460 Manufacturing - 1.8% Eastman Kodak Co. 37 1,184 Pentair Inc. 60 2,631 3,815 Media - 0.8% Cumulus Media Inc. - Class A (b) 24 365 Entercom Communications Corp. (b) 15 542 Salem Communications Corp. - Class A (b) 27 681 1,588 Mining - 3.0% Freeport-McMoRan Copper & Gold Inc. (l) 33 1,273 Harmony Gold Mining Co. Ltd. (l) 132 1,225 Newmont Mining Corp. 87 3,855 6,353 Office Furnishings - 1.5% Knoll Inc. (b) 182 3,180 Oil & Gas Producers - 2.2% ENSCO International Inc. 47 1,482 Noble Corp. (b) 62 3,094 4,576 Oil & Gas Services - 5.1% BJ Services Co. 26 1,215 Grant Prideco Inc. (b) 112 2,248 National-Oilwell Inc. (b) 11 402 Seacor Smit Inc. (b) 11 587 Varco International Inc. (b) 130 3,775 Weatherford International Ltd. (b) 50 2,585 10,812 Packaging & Containers - 0.5% Pactiv Corp. (b) 41 1,047 Pharmaceuticals - 1.8% ImClone Systems Inc. (b) 23 1,051 Neurocrine Biosciences Inc. (b) 26 1,302 Watson Pharmaceuticals Inc. (b) 43 1,394 3,747 Real Estate - 0.5% Equity Residential 28 1,024 Retail - 3.5% RadioShack Corp. 57 1,887 Tiffany & Co. 51 1,640 Wendy's International Inc. 100 3,911 7,438 Semiconductors - 0.7% Atmel Corp. (b) 42 165 Freescale Semiconductor Inc. (b) 66 1,210 1,375 Software - 0.6% Navteq Corp. (b) 26 1,219 Telecommunications - 8.4% Citizens Communications Co. 475 6,556 Indonesian Satellite Corp. - ADR (l) 63 1,952 NTL Inc. (b) 84 6,129 Philippine Long Distance Telephone Co. ADR (b) 27 681 Telewest Global Inc. (b) 48 847 Telus Corp. 53 1,537 17,702 Transportation - 2.3% Burlington Northern Santa Fe Corp. 38 1,817 CSX Corp. 26 1,030 Frontline Ltd. 8 355 Golden Ocean Group Ltd. (b) 3 2 Norfolk Southern Corp. 48 1,740 4,944 Wireless Telecommunications - 13.2% American Tower Corp. (b) (l) 215 3,958 Hutchison Telecommunications International Ltd (b) 276 3,737 Nextel Communications Inc. (b) 558 16,752 Spectrasite Inc. (b) (l) 59 3,410 27,857 Total Common Stocks (cost $187,082) 208,674 Short Term Investments - 13.0% Money Market Funds - 0.8% Dreyfus Cash Management Plus, 1.98% (a) 1,628 1,628 Securities Lending Collateral - 12.0% Mellon GSL Delaware Business Trust Collateral Fund 25,316 25,316 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 1.98%, 02/03/05 $375 374 Total Short Term Investments (cost $27,318) 27,318 Total Investments - 112.1% (cost $214,400) 235,992 Other Assets and Liabilities, Net - (12.1%) (25,587) Total Net Assets - 100% $ 210,405 JNL/JPMORGAN INTERNATIONAL VALUE FUND Percentage of Total Industry Sector Investments (o) Financial 37.3% Consumer, Cyclical 11.7% Communications 10.0% Consumer, Non-cyclical 8.7% Industrial 7.5% Basic Materials 7.0% Energy 6.0% Utilities 5.4% Money Market Investment 4.1% Technology 1.9% Government 0.4% 100.0% Common Stocks - 94.4% Airlines - 1.1% Cathay Pacific Airways Ltd. 462 $ 874 Auto Manufacturers - 2.9% Honda Motor Co. Ltd. 18 917 Peugeot SA 21 1,340 2,257 Auto Parts & Equipment - 0.9% Hyundai Mobis (b) 12 744 Banks - 25.6% Banca Intesa SpA 351 1,688 Barclays Plc 219 2,458 BNP Paribas SA 36 2,614 Commerzbank AG (b) 61 1,262 DBS Group Holdings Ltd. 78 769 Deutsche Bank AG 22 1,910 HBOS Plc 148 2,414 HSBC Holdings Plc 115 1,941 Kookmin Bank (b) 18 697 Royal Bank of Scotland Group Plc 72 2,422 UBS AG 9 768 UFJ Holdings Inc. (b) - 2,072 21,015 Beverages - 1.2% Asahi Breweries Ltd. 79 980 Building Materials - 2.0% BPB Plc 91 826 Hanson Plc 96 822 1,648 Chemicals - 5.6% Bayer AG 39 1,327 Ciba Specialty Chemicals AG (b) 10 724 Mitsui Chemicals Inc. 240 1,307 Reliance Industries Ltd. - GDR (e) 47 1,212 4,570 Commercial Services - 1.0% Rank Group Plc 170 861 Distribution & Wholesale - 1.5% Itochu Corp. (b) 273 1,263 Diversified Financial Services - 1.4% Daiwa Securities Group Inc. 161 1,163 Electric - 5.3% E.ON AG 24 2,201 Iberdrola SA 56 1,424 Scottish Power Plc 94 731 4,356 Electrical Components & Equipment - 1.3% Mitsubishi Electric Corp. 219 1,073 Electronics - 0.4% Hon Hai Precision Industry Co. Ltd. - GDR 37 347 Food - 2.4% Koninklijke Wessanen NV 63 808 Tesco Plc 191 1,183 1,991 Forest Products & Paper - 1.3% UPM-Kymmene Oyj 50 1,107 Home Furnishings - 2.8% SONY Corp. 37 1,441 Thomson 32 836 2,277 Insurance - 8.9% Aviva Plc 87 1,044 AXA 53 1,318 ING Groep NV 73 2,202 Muenchener Rueckversicherungs AG 14 1,746 Zurich Financial Services AG (b) 6 970 7,280 Leisure Time - 0.9% TUI AG 33 774 Machinery - 2.4% Atlas Copco AB 27 1,221 Kubota Corp. 153 759 1,980 Media - 2.3% News Corp Inc. 27 504 ProSieben Sat.1 Media AG 34 632 United Business Media Plc 84 779 1,915 Metal Fabrication & Hardware - 1.2% SKF AB 19 868 SKF AB - Class A 3 134 1,002 Oil & Gas Producers - 5.9% BP Plc 181 1,765 ENI-Ente Nazionale Idrocarburi SpA 50 1,256 LUKOIL - ADR 4 481 Nippon Mining Holdings Inc. (b) 72 339 Nippon Mining Holdings Inc. 67 313 Petroleo Brasileiro SA - Petrobras - ADR 19 685 4,839 Pharmaceuticals - 2.1% Sankyo Co. Ltd. 46 1,037 Sanofi-Synthelabo SA 9 720 1,757 Real Estate - 1.1% Sun Hung Kai Properties Ltd. 94 940 Retail - 1.6% Compagnie Financiere Richemont AG - Class A 39 1,289 Semiconductors - 1.9% Rohm Co. Ltd. 8 807 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 87 738 1,545 Telecommunications - 7.6% BT Group Plc 481 1,875 Nippon Telegraph & Telephone Corp. - 902 PT Telekomunikasi Indonesia 912 474 Royal KPN NV 79 746 Telefonica SA 118 2,224 6,221 Tobacco - 1.8% Japan Tobacco Inc. - 1,473 Total Common Stocks (cost $67,104) 77,541 Short Term Investments - 8.6% Money Market Funds - 4.1% Dreyfus Cash Management Plus, 1.98% (a) 3,343 3,343 Securities Lending Collateral - 4.1% Mellon GSL Delaware Business Trust Collateral Fund 3,367 3,367 U.S. Treasury Bills - 0.4% U.S. Treasury Bill, 2.155%, 02/24/05 (m) $320 319 Total Short Term Investments (cost $7,029) 7,029 Total Investments -103.0% (cost $74,133) 84,570 Other Assets and Liabilities, Net - (3.0%) (2,484) Total Net Assets - 100% $ 82,086 JNL/LAZARD MID CAP VALUE FUND Percentage of Total Industry Sector Investments (o) Consumer, Cyclical 18.5% Financial 17.7% Consumer, Non-cyclical 17.1% Industrial 12.2% Communications 10.4% Technology 9.9% Energy 5.8% Money Market Investment 4.0% Basic Materials 3.3% Utilities 1.1% 100.0% Common Stocks - 96.7% Aerospace & Defense - 1.3% Alliant Techsystems Inc. (b) 46 $ 2,988 Airlines - 1.3% Southwest Airlines Co. 184 2,999 Apparel - 3.4% Polo Ralph Lauren Corp. 56 2,364 Reebok International Ltd. (l) 117 5,148 7,512 Auto Parts & Equipment - 2.0% Lear Corp. 73 4,429 Banks - 5.5% City National Corp. 30 2,148 M&T Bank Corp. (l) 20 2,168 Mercantile Bankshares Corp. 41 2,130 North Fork Bancorp. Inc. 121 3,489 Northern Trust Corp. 49 2,385 12,320 Beverages - 1.4% Pepsi Bottling Group Inc. 114 3,077 Chemicals - 2.6% Ashland Inc. 33 1,932 Rohm & Haas Co. 88 3,879 5,811 Commercial Services - 4.0% Aramark Corp. 198 5,238 Arbitron Inc. (b) 96 3,750 8,988 Computers - 3.6% DST Systems Inc. (b) (l) 88 4,581 Storage Technology Corp. (b) 111 3,521 8,102 Distribution & Wholesale - 2.1% CDW Corp. 49 3,244 Ingram Micro Inc. - Class A (b) 67 1,400 4,644 Diversified Financial Services - 4.6% Federated Investors Inc. 87 2,657 Legg Mason Inc. 61 4,476 Student Loan Corp. 16 2,999 10,132 Electronics - 1.0% Vishay Intertechnology Inc. (b) 153 2,301 Engineering & Construction - 0.9% Jacobs Engineering Group Inc. (b) 43 2,050 Environmental Control - 1.7% Republic Services Inc. 114 3,824 Food - 1.1% Dean Foods Co. (b) 75 2,471 Forest Products & Paper - 0.7% Temple-Inland Inc. 24 1,607 Gas - 1.2% KeySpan Corp. (l) 65 2,568 Healthcare - 7.2% DaVita Inc. (b) 111 4,404 Edwards Lifesciences Corp. (b) 84 3,445 Health Net Inc. (b) 103 2,971 Laboratory Corp. of America Holdings (b) 105 5,236 16,056 Household Products - 2.6% Avery Dennison Corp. (l) 43 2,603 Newell Rubbermaid Inc. 127 3,074 5,677 Insurance - 4.0% Protective Life Corp. 110 4,687 RenaissanceRe Holdings Ltd. 81 4,192 8,879 Manufacturing - 1.1% ITT Industries Inc. 29 2,407 Media - 9.0% Belo Corp. - Class A 196 5,151 Dex Media Inc. 267 6,667 Westwood One Inc. (b) 305 8,219 20,037 Office & Business Equipment - 0.8% Pitney Bowes Inc. 36 1,685 Oil & Gas Producers - 4.7% GlobalSantaFe Corp. 119 3,930 Premcor Inc. 36 1,501 Unocal Corp. 78 3,381 Valero Energy Corp. 38 1,722 10,534 Oil & Gas Services - 1.1% Baker Hughes Inc. 57 2,428 Packaging & Containers - 3.5% Ball Corp. 79 3,457 Pactiv Corp. (b) 170 4,289 7,746 Pharmaceuticals - 2.3% Medco Health Solutions Inc. (b) 124 5,167 Real Estate - 3.7% AMB Property Corp. 53 2,133 Health Care Property Investors Inc. (l) 115 3,173 Trizec Properties Inc. 157 2,967 8,273 Retail - 6.6% AnnTaylor Stores Corp. (b) 21 444 Brinker International Inc. (b) 74 2,581 Darden Restaurants Inc. 78 2,175 Dollar Tree Stores Inc. (b) 195 5,598 OfficeMax Inc. 46 1,443 Sears Roebuck & Co. 47 2,419 14,660 Semiconductors - 3.7% AMIS Holdings Inc. (b) 117 1,926 Intersil Corp. 106 1,781 Novellus Systems Inc. (b) 122 3,405 QLogic Corp. (b) 30 1,114 8,226 Software - 1.9% BEA Systems Inc. (b) 287 2,544 Siebel Systems Inc. (b) 152 1,600 4,144 Telecommunications - 0.8% MCI Inc. 91 1,835 Toys & Hobbies - 1.9% Leapfrog Enterprises Inc. (b) (l) 105 1,429 Mattel Inc. 138 2,690 4,119 Transportation - 2.7% CNF Inc. 67 3,352 Norfolk Southern Corp. 75 2,718 6,070 Wireless Telecommunications - 0.7% Western Wireless Corp. (b) 52 1,518 Total Common Stocks (cost $187,039) 215,284 Short Term Investments - 9.9% Money Market Funds - 4.0% Dreyfus Cash Management Plus, 1.98% (a) 8,901 8,901 Securities Lending Collateral - 5.9% Mellon GSL Delaware Business Trust Collateral Fund 13,132 13,132 Total Short Term Investments (cost $22,033) 22,033 Total Investments - 106.6% (cost $209,072) 237,317 Other Assets and Liabilities, Net - (6.6%) (14,746) Total Net Assets - 100% $ 222,571 JNL/LAZARD SMALL CAP VALUE FUND Percentage of Total Industry Sector Investments (o) Financial 19.2% Consumer, Non-cyclical 18.7% Industrial 17.6% Consumer, Cyclical 12.2% Communications 9.5% Energy 8.6% Technology 6.3% Basic Materials 3.3% Money Market Investment 2.6% Utilities 2.0% 100.0% Common Stocks - 97.1% Advertising - 2.5% Advo Inc. 82 $ 2,927 R.H. Donnelley Corp. (b) 37 2,208 5,135 Aerospace & Defense - 2.6% DRS Technologies Inc. (b) 57 2,426 Esterline Technologies Corp. (b) 27 878 Titan Corp. (b) 114 1,845 5,149 Agriculture - 0.9% Delta & Pine Land Co. 74 2,013 Airlines - 0.7% Airtran Holdings Inc. (b) (l) 139 1,489 Apparel - 2.8% Gymboree Corp. (b) 99 1,268 K-Swiss Inc. - Class A 42 1,217 Timberland Co. - Class A (b) (l) 28 1,730 Warnaco Group Inc. (b) 85 1,832 6,047 Banks - 8.2% Bank of the Ozarks Inc. 5 160 First Community Bancorp. 33 1,396 First Midwest Bancorp. Inc. 44 1,608 First Republic Bank 25 1,346 Hudson United Bancorp. 16 646 MB Financial Corp. 13 561 Provident Bankshares Corp. 34 1,244 South Financial Group Inc. 57 1,848 Sterling Bancshares Inc. 116 1,654 Texas Regional Bancshares Inc. - Class A 32 1,029 Umpqua Holdings Corp. 44 1,102 United Bankshares Inc. 53 2,018 W Holding Co. Inc. 53 1,225 Westamerica Bancorp. 37 2,140 17,977 Biotechnology - 0.7% Bio-Rad Laboratories Inc. - Class A (b) 1 80 Charles River Laboratories International Inc. (b) 13 618 Martek Biosciences Corp. (b) 18 937 1,635 Chemicals - 2.7% Ferro Corp. 42 965 Olin Corp. 86 1,894 PolyOne Corp. (b) 147 1,328 Spartech Corp. 60 1,614 5,801 Commercial Services - 5.9% Arbitron Inc. (b) 67 2,617 BearingPoint Inc. (b) 118 946 Corinthian Colleges Inc. (b) (l) 87 1,640 DeVry Inc. (b) 67 1,163 Learning Tree International Inc. (b) 120 1,609 MPS Group Inc. (b) 162 1,985 United Rentals Inc. (b) 54 1,021 Watson Wyatt & Co. Holdings 70 1,892 12,873 Computers - 2.0% Advanced Digital Information Corp. (b) 106 1,063 BISYS Group Inc. (b) 78 1,277 Catapult Communications Corp. (b) 14 329 Komag Inc. (b) 90 1,697 4,366 Diversified Financial Services - 3.5% Calamos Asset Management Inc. - Class A (b) 46 1,245 eSPEED Inc. (b) 165 2,039 Financial Federal Corp. 32 1,247 IndyMac Bancorp. Inc. 29 985 Knight Trading Group Inc. (b) (l) 193 2,108 7,624 Electric - 0.8% Cleco Corp. 89 1,805 Electrical Components & Equipment - 0.6% General Cable Corp. (b) 24 334 GrafTech International Ltd. (b) 111 1,050 1,384 Electronics - 5.2% Benchmark Electronics Inc. (b) 44 1,487 Coherent Inc. (b) 58 1,753 Metrologic Instruments Inc. (b) 67 1,422 Photon Dynamics Inc. (b) 57 1,382 Plexus Corp. (b) 91 1,187 Rogers Corp. (b) 44 1,887 TTM Technologies Inc. (b) 197 2,325 11,443 Engineering & Construction - 1.6% Chicago Bridge & Iron Co. NV 43 1,716 Shaw Group Inc. (b) 103 1,842 3,558 Entertainment - 0.7% Alliance Gaming Corp. (b) (l) 110 1,514 Environmental Control - 1.6% Tetra Tech Inc. (b) 138 2,307 Waste Connections Inc. (b) 33 1,130 3,439 Food - 0.5% Performance Food Group Co. (b) 44 1,187 Gas - 1.2% AGL Resources Inc. 43 1,426 New Jersey Resources Corp. 26 1,140 2,566 Healthcare - 6.8% Beverly Enterprises Inc. (b) 226 2,069 Cutera Inc. (b) 17 207 DJ Orthopedics Inc. (b) 90 1,919 Hanger Orthopedic Group Inc. (b) 27 220 Inamed Corp. (b) 27 1,711 Kindred Healthcare Inc. (b) 79 2,354 LifePoint Hospitals Inc. (b) (l) 63 2,187 PSS World Medical Inc. (b) 134 1,671 Respironics Inc. (b) 2 87 Select Medical Corp. 136 2,388 Viasys Healthcare Inc. (b) 8 148 14,961 Home Builders - 0.5% Winnebago Industries 29 1,129 Household Products - 1.1% Jarden Corp. (b) 16 690 Scotts Co. - Class A (b) 24 1,750 2,440 Insurance - 3.3% Arch Capital Group Ltd. (b) 54 2,098 Assured Guaranty Ltd. 112 2,201 Bristol West Holdings Inc. 17 332 Max Re Capital Ltd. 66 1,410 Reinsurance Group of America (l) 26 1,235 7,276 Internet - 1.8% Avocent Corp. (b) 30 1,203 ProQuest Co. (b) 46 1,354 Verity Inc. (b) 103 1,347 3,904 Iron & Steel - 0.6% Schnitzer Steel Industries Inc. - Class A 20 682 Steel Dynamics Inc. 18 678 1,360 Leisure Time - 0.4% WMS Industries Inc. (b) (l) 26 859 Machinery - 0.9% Tecumseh Products Co. 42 2,027 Manufacturing - 0.9% Roper Industries Inc. 34 2,078 Media - 1.9% Journal Register Co. (b) 108 2,082 Liberty Corp. 47 2,075 4,157 Mining - 0.7% Foundation Coal Holdings Inc. (b) 67 1,552 Office Furnishings - 0.8% Herman Miller Inc. 65 1,801 Oil & Gas Producers - 4.0% Bill Barrett Corp. (b) 16 505 Denbury Resources Inc. (b) 44 1,205 Energy Partners Ltd. (b) 46 926 Forest Oil Corp. (b) 37 1,170 Grey Wolf Inc. (b) 224 1,181 Houston Exploration Co. (b) 25 1,402 Range Resources Corp. 61 1,245 Whiting Petroleum Corp. (b) 41 1,229 8,863 Oil & Gas Services - 2.9% Hanover Compressor Co. (b) 106 1,498 Key Energy Services Inc. (b) 218 2,570 Maverick Tube Corp. (b) 27 818 Veritas DGC Inc. (b) 69 1,551 6,437 Packaging & Containers - 0.5% Packaging Corp. of America 46 1,083 Pharmaceuticals - 2.6% Able Laboratories Inc. (b) 61 1,385 Andrx Corp. (b) (l) 75 1,637 MIM Corp. (b) 223 1,415 Taro Pharmaceuticals Industries Ltd. (b) 36 1,239 5,676 Pipelines - 0.8% Kinder Morgan Management LLC (b) 45 1,824 Real Estate - 3.2% Alexandria Real Estate Equities Inc. 15 1,101 Capital Automotive REIT 22 782 CarrAmerica Realty Corp. 34 1,129 Inland Real Estate Corp. 28 453 Lexington Corporate Properties Trust 45 1,005 Mills Corp. 31 1,970 Prentiss Properties Trust 17 630 7,070 Retail - 6.2% 99 Cents Only Stores (b) 69 1,107 AnnTaylor Stores Corp. (b) 56 1,206 CBRL Group Inc. (l) 34 1,435 Cost Plus Inc. (b) (l) 27 864 CSK Auto Corp. (b) 74 1,240 HOT Topic Inc. (b) (l) 112 1,930 Rush Enterprises Inc. - Class A (b) 55 888 TBC Corp. (b) 57 1,593 The Sports Authority Inc. (b) 63 1,622 Tractor Supply Co. (b) 48 1,795 13,680 Savings & Loans - 0.8% MAF Bancorp. Inc. 42 1,860 Semiconductors - 3.1% AMIS Holdings Inc. (b) 75 1,241 Brooks Automation Inc. (b) 68 1,173 ChipMOS TECHNOLOGIES Bermuda Ltd. (b) (l) 187 1,189 Exar Corp. (b) 154 2,185 Ultratech Inc. (b) 49 913 6,701 Software - 1.3% JDA Software Group Inc. (b) 63 854 Serena Software Inc. (b) 87 1,887 2,741 Telecommunications Equipment - 3.0% Black Box Corp. 3 158 C-COR.net Corp. (b) 225 2,095 CommScope Inc. (b) 97 1,833 Ditech Communications Corp. (b) 49 726 Foundry Networks Inc. (b) 105 1,379 Oplink Communications Inc. (b) 202 399 6,590 Toys & Hobbies - 0.0% Leapfrog Enterprises Inc. (b) (l) 3 38 Transportation - 3.8% Forward Air Corp. (b) 37 1,649 OMI Corp. 89 1,491 Overnite Corp. 39 1,460 Pacer International Inc. (b) 120 2,560 Swift Transportation Co. Inc. (b) (l) 54 1,167 8,327 Wireless Telecommunications - 0.5% Wireless Facilities Inc. (b) 111 1,043 Total Common Stocks (cost $185,519) 212,482 Short Term Investments - 9.1% Money Market Funds - 2.6% Dreyfus Cash Management Plus, 1.98% (a) 5,711 5,711 Securities Lending Collateral - 6.5% Mellon GSL Delaware Business Trust Collateral Fund 14,173 14,173 Total Short Term Investments (cost $19,884) 19,884 Total Investments - 106.2% (cost $205,403) 232,366 Other Assets and Liabilities, Net - (6.2%) (13,488) Total Net Assets - 100% $ 218,878 JNL/Mellon Capital Management Bond Index Fund Percentage of Total Industry Sector Investments (o) Mortgage Securities 31.7% Government 30.3% Financial 26.1% Communications 2.5% Asset Backed Securities 1.8% Money Market Investment 1.7% Consumer, Non-cyclical 1.4% Utilities 1.1% Industrial 1.0% Energy 1.0% Consumer, Cyclical 0.7% Basic Materials 0.5% Technology 0.2% 100.0% Corporate Bonds - 27.8% Aerospace & Defense - 0.5% Lockheed Martin Corp., 8.50%, 12/01/29 $75 $ 103 Northrop Grumman Corp., 7.75%, 03/01/16 (f) 150 184 Raytheon Co., 6.15%, 11/01/08 89 96 United Technologies Corp. 6.35%, 03/01/11 75 84 6.70%, 08/01/28 50 57 524 Agriculture - 0.1% Bunge Ltd. Finance Corp., 5.35%, 04/15/14 (f) 75 77 Asset Backed Securities - 6.1% AmeriCredit Automobile Receivables Trust 3.67%, 06/08/09 500 503 2.84%, 08/06/10 115 114 Bank of America Commercial Mortgage, 5.118%, 07/11/43 150 155 Bear Stearns Commercial Mortgage Securities, 6.80%, 07/15/31 66 69 Capital One Auto Finance Trust, 3.18%, 09/15/10 250 248 Capital One Prime Auto Receivables Trust, 2.59%, 09/15/09 150 148 Chase Manhattan Bank-First Union National Bank, 7.439%, 08/15/31 (f) 50 57 Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 54 56 CS First Boston Mortgage Securities Corp., 6.91%, 09/15/41 195 205 DaimlerChrysler Auto Trust, 3.78%, 02/06/07 313 314 DLJ Commercial Mortgage Corp. 6.93%, 08/10/09 134 144 6.46%, 03/10/32 50 54 6.88%, 06/10/32 49 52 First Union Commercial Mortgage Securities Inc., 6.65%, 11/18/29 83 88 First Union National Bank Commercial Mortgage Trust 7.184%, 12/15/31 26 27 7.39%, 12/15/31 105 119 First Union National Bank-Bank of America Commercial Mortgage Trust, 6.136%, 03/15/33 301 328 First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust, 6.56%, 11/18/35 250 269 Fleet Credit Card Master Trust II, 5.60%, 12/15/08 250 258 GMAC Commercial Mortgage Securities Inc., 6.42%, 05/15/35 100 107 Heller Financial Commercial Mortgage Asset Corp., 6.50%, 05/15/31 64 67 Household Automotive Trust 2.31%, 04/17/08 350 347 4.37%, 12/17/08 100 101 3.02%, 12/17/10 365 361 JPMorgan Chase Commercial Mortgage Securities Corp. 5.822%, 05/12/34 250 266 5.382%, 06/12/41 (g) 250 263 JPMorgan Commercial Mortgage Finance Corp., 6.507%, 10/15/35 (g) 35 38 LB Commercial Conduit Mortgage Trust, 6.48%, 02/18/30 200 214 6.41%, 06/15/31 100 104 6.78%, 06/15/31 223 246 LB-UBS Commercial Mortgage Trust 5.401%, 03/15/26 94 96 3.85%, 05/15/27 250 242 5.594%, 06/15/31 75 80 Merrill Lynch Mortgage Trust, 5.403%, 07/12/34 200 211 Morgan Stanley Capital I, 6.52%, 03/15/30 78 84 Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 114 Morgan Stanley Floating Rate,, 4.80%, 01/13/41 250 251 Mortgage Capital Funding Inc., 7.288%, 03/20/27 14 14 PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 59 Salomon Brothers Mortgage Securities VII, 6.168%, 02/13/10 100 106 Sears Credit Account Master Trust, 5.65%, 03/17/09 38 37 Wachovia Bank Commercial Mortgage Trust, 5.215%, 01/15/41 100 102 Wachovia Bank Floating Rate,, 5.24%, 08/15/41 250 260 WFS Financial Owner Trust, 2.41%, 12/20/10 135 132 7,110 Auto Manufacturers - 0.5% DaimlerChrysler NA Holding Corp. 7.25%, 01/18/06 (f) 250 260 4.75%, 01/15/08 (f) 150 153 4.05%, 06/04/08 (f) 100 100 Toyota Motor Credit Corp., 2.875%, 08/01/08 (l) 100 97 610 Banks - 3.9% ABN Amro Bank NV, 7.55%, 06/28/06 (f) 100 106 Bank of America Corp. 5.25%, 02/01/07 100 104 6.25%, 04/01/08 250 269 4.875%, 09/15/12 150 153 Barclays Bank Plc, 6.86%, 09/15/49 (e) (f) 50 56 BB&T Corp., 6.50%, 08/01/11 (f) 75 84 Corp. Andina de Fomento, 6.875%, TBA (c) (f) 150 169 European Bank for Reconstruction & Development, 5.375%, 06/15/06 100 103 European Investment Bank, 3.125%, 10/15/07 (l) 250 248 Fleet National Bank, 5.75%, 01/15/09 (f) 100 106 HSBC Holdings Plc 5.25%, 12/12/12 100 104 7.625%, 05/17/32 (e) 150 186 Inter-American Development Bank, 7.375%, 01/15/10 100 116 International Finance Corp., 5.25%, 05/02/06 100 102 Key Bank NA, 5.80%, 07/01/14 250 265 KFW International Finance, 3.25%, 03/30/09 100 98 National Australia Bank Ltd., 8.60%, 05/19/10 150 178 National City Bank, 4.625%, 05/01/13 100 99 National Westminster Bank Plc, 7.375%, 10/01/09 250 285 NB Capital Trust II, 7.83%, 12/15/26 75 82 Popular North America Inc. 6.125%, 10/15/06 150 156 4.25%, 04/01/08 100 101 Province of Ontario, 6.00%, 02/21/06 200 206 Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 (l) 100 101 US Bank NA, 6.375%, 08/01/11 100 111 Wachovia Corp. 7.50%, 07/15/06 500 532 6.25%, 08/04/08 150 162 Wells Fargo & Co., 5.00%, 11/15/14 200 202 4,484 Beverages - 0.2% Coca-Cola Enterprises Inc., 7.125%, 08/01/17 (f) 100 118 Pepsi Bottling Group Inc., 7.00%, 03/01/29 (l) 75 90 208 Chemicals - 0.3% Dow Chemical Co. 6.125%, 02/01/11 (f) 50 55 6.00%, 10/01/12 (f) 50 55 E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 (f) 100 102 Praxair Inc., 3.95%, 06/01/13 100 95 Rohm & Haas Co., 7.85%, 07/15/29 50 65 372 Commercial Services - 0.3% Cendant Corp., 6.25%, 01/15/08 (f) 200 213 Hertz Corp., 7.625%, 06/01/12 100 110 323 Computers - 0.3% International Business Machines Corp., 5.375%, 02/01/09 (l) 300 317 Diversified Financial Services - 6.1% American General Finance Corp., 4.625%, 09/01/10 (f) 150 150 Associates Corp., 6.25%, 11/01/08 (f) 300 325 Boeing Capital Corp., 5.80%, 01/15/13 (f) 125 135 Capital One Bank, 4.875%, 05/15/08 (f) 150 154 CIT Group Inc., 7.375%, 04/02/07 (f) 250 270 Citigroup Inc. 3.50%, 02/01/08 (f) 500 498 6.00%, 02/21/12 (l) 100 109 Countrywide Home Loans Inc. 5.50%, 08/01/06 (f) 75 77 4.25%, 12/19/07 (f) 250 253 Ford Motor Credit Co.6.125%, 01/09/06 250 256 7.75%, 02/15/07 100 106 7.20%, 06/15/07 100 107 5.80%, 01/12/09 (f) 100 102 7.375%, 10/28/09 250 270 7.25%, 10/25/11 75 80 General Electric Cap Corp., 5.45%, 01/15/13 250 264 General Motors Acceptance Corp. 4.50%, 07/15/06 200 200 6.75%, 01/15/06 250 256 6.125%, 09/15/06 100 103 6.125%, 02/01/07 150 154 6.125%, 08/28/07 200 206 5.85%, 01/14/09 150 152 7.25%, 03/02/11 175 183 6.875%, 09/15/11 150 154 Goldman Sachs Group Inc. 6.65%, 05/15/09 (f) 250 276 7.35%, 10/01/09 (f) 350 398 5.25%, 04/01/13 (l) 100 103 International Lease Finance Corp., 5.75%, 10/15/06 250 260 JPMorgan Chase & Co. 6.625%, 03/15/12 (l) 100 112 5.75%, 01/02/13 100 106 Merrill Lynch & Co. Inc., 7.375%, 05/15/06 100 106 Morgan Stanley Dean Witter & Co., 7.25%, 04/01/32 100 120 National Rural Utilities, 5.75%, 08/28/09 200 214 Pitney Bowes Credit Corp., 5.75%, 08/15/08 300 319 SLM Corp., 5.05%, 11/14/14 250 251 Textron Financial Corp., 6.00%, 11/20/09 250 272 7,101 Electric - 1.1% Alabama Power Co., 5.875%, 12/01/22 (f) 100 106 Duke Energy Corp., 5.625%, 11/30/12 (f) 150 158 FPL Group Capital Inc., 7.625%, 09/15/06 100 107 Hydro Quebec, 7.50%, 04/01/16 100 123 Midamerican Energy Co., 6.75%, 12/30/31 50 58 Nisource Finance Corp., 5.40%, 07/15/14 75 77 Northern States Power Co., 8.00%, 08/28/12 100 122 Oncor Electric Delivery Co., 6.375%, 01/15/15 (f) 150 165 Pacific Gas & Electric Co., 6.05%, 03/01/34 100 104 PPL Electric Utilities Corp., 6.25%, 08/15/09 100 109 SCANA Corp., 6.875%, 05/15/11 75 84 Southern California Edison Co., 6.00%, 01/15/34 75 80 1,293 Electrical Components & Equipment - 0.1% Emerson Electric Co., 5.00%, 12/15/14 (l) 100 102 Food - 0.9% ConAgra Foods Inc., 7.875%, 09/15/10 (f) 200 235 Grand Metropolitan Investment Corp., 8.00%, 09/15/22 (f) 100 129 Kellogg Co., 2.875%, 06/01/08 250 243 Kraft Foods Inc., 4.625%, 11/01/06 (f) 50 51 Nabisco Inc., 7.05%, 07/15/07 (f) 200 216 Sara Lee Corp., 6.25%, 09/15/11 75 83 Unilever Capital Corp., 7.125%, 11/01/10 100 115 1,072 Forest Products & Paper - 0.1% Weyerhaeuser Co., 7.375%, 03/15/32 100 119 Gas - 0.3% KeySpan Corp., 6.15%, 06/01/06 100 104 Sempra Energy, 4.75%, 05/15/09 (l) 200 204 308 Healthcare - 0.1% Baxter International Inc., 4.625%, 03/15/15 (f) 75 72 Insurance - 0.8% Aegon NV, 4.75%, 06/01/13 (f) 150 149 Allstate Corp. 6.125%, 02/15/12 (f) 75 82 5.35%, 06/01/33 (f) 75 71 American International Group Inc., 4.25%, 05/15/13 (l) 100 97 Chubb Corp., 5.20%, 04/01/13 (f) 100 102 Hartford Life Inc., 7.65%, 06/15/27 75 90 Marsh & McLennan Cos. Inc., 3.625%, 02/15/08 100 97 Metlife Inc., 5.00%, 11/24/13 (f) 100 100 Travelers Property Casualty Corp., 6.75%, 11/15/06 100 106 894 Investment Companies - 0.3% Credit Suisse First Boston USA Inc. 5.875%, 08/01/06 (f) 100 104 6.125%, 11/15/11 (f) 100 109 7.125%, 07/15/32 (f) 100 119 332 Manufacturing - 0.2% Honeywell International Inc., 6.125%, 11/01/11 100 110 Tyco International Group SA, 6.125%, 01/15/09 (l) 150 162 272 Media - 0.8% AOL Time Warner Inc., 7.625%, 04/15/31 150 181 AT&T Broadband Corp., 8.375%, TBA (c) (f) 250 308 Liberty Media Corp., 8.50%, 07/15/29 (l) 50 58 News America Inc., 6.20%, 12/15/34 (e) 50 51 Time Warner Inc., 6.625%, 05/15/29 100 108 Viacom Inc., 7.875%, 07/30/30 125 161 Walt Disney Co, 7.00%, 03/01/32 50 58 925 Mining - 0.2% Alcan Inc., 4.875%, 09/15/12 (f) 50 51 Alcoa Inc., 5.375%, 01/15/13 (f) 50 53 BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 (l) 100 101 205 Oil & Gas Producers - 1.1% Alberta Energy Co. Ltd., 7.375%, 11/01/31(f) 100 120 Anadarko Petroleum Corp., 3.25%, 05/01/08 (f) 250 246 Burlington Resources Finance Co., 7.20%, 08/15/31 (f) 100 119 Conoco Funding Co., 7.25%, 10/15/31 (f) 75 91 ConocoPhillips, 6.65%, 07/15/18 (f) 75 86 Devon Financing Corp., 7.875%, 09/30/31 (f) 100 126 Marathon Oil Corp., 6.125%, 03/15/12 200 218 Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 87 Suncor Energy Inc., 5.95%, 12/01/34 100 105 XTO Energy Inc., 4.90%, 02/01/14 (l) 75 76 1,274 Pharmaceuticals - 0.2% Pharmacia Corp., 6.60%, 12/01/28 100 115 Schering-Plough Corp., 6.75%, 12/01/33 50 56 Wyeth, 5.50%, 03/15/13 100 104 275 Pipelines - 0.1% Consolidated Natural Gas Co., 6.80%, 12/15/27 (f) 50 56 Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 (l) 75 75 131 Real Estate - 0.3% Boston Properties Inc., 6.25%, 01/15/13 (f) 150 163 Simon Property Group LP, 7.125%, 02/09/09 (l) 200 221 384 Retail - 0.3% Federated Department Stores, 6.90%, 04/01/29 (l) 100 112 Target Corp., 7.00%, 07/15/31 100 122 Wal-Mart Stores Inc. 4.55%, 05/01/13 (l) 100 101 7.55%, 02/15/30 50 65 400 Telecommunications - 1.7% Alltel Corp., 7.875%, 07/01/32 (f) 50 63 British Telecommunications Plc, 8.375%, 12/15/10 (f) (g) 250 300 Deutsche Telekom International Finance BV, 8.50%, 06/15/10 (f) 400 477 GTE Corp., 6.94%, 04/15/28 50 56 SBC Communications Inc., 5.875%, 02/01/12 100 108 Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 115 Sprint Capital Corp. 6.00%, 01/15/07 150 157 6.875%, 11/15/28 75 82 Telecom Italia Capital SA, 6.375%, 11/15/33 (l) 50 51 Telefonica Europe BV, 8.25%, 09/15/30 (l) 100 134 TELUS Corp., 7.50%, 06/01/07 125 136 Verizon Global Funding Corp. 7.25%, 12/01/10 250 286 7.75%, 12/01/30 50 62 2,027 Transportation - 0.4% Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 (f) 150 162 Norfolk Southern Corp., 7.25%, 02/15/31 75 90 Union Pacific Corp., 6.625%, 02/01/08 250 272 524 Wireless Telecommunications - 0.5% AT&T Wireless Services Inc. 7.50%, 05/01/07 (f) 250 272 8.75%, 03/01/31 (f) 108 146 Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 206 624 Total Corporate Bonds (cost $32,008) 32,359 Government Securities - 71.4% Sovereign - 2.1% Canadian Government Bond, 6.75%, 08/28/06 100 106 Chile Government International Bond, 5.50%, 01/15/13 100 105 Financement-Quebec, 5.00%, 10/25/12 100 103 Inter-American Development Bank 5.375%, 01/18/06 100 102 6.125%, 03/08/06 100 104 International Bank for Reconstruction & Development, 4.375%, 09/28/06 (l) 300 306 Nova Scotia Province, 5.75%, 02/27/12 100 109 Province of British Columbia, 4.625%, 10/03/06 (l) 100 102 Province of Quebec 5.75%, 02/15/09 125 134 7.50%, 07/15/23 100 127 Republic of Italy 2.50%, 03/31/06 100 99 4.375%, 06/15/13 100 99 5.375%, 06/15/33 100 100 Republic of Korea, 8.875%, 04/15/08 300 348 State of Israel, 4.625%, 06/15/13 75 72 United Mexican States 6.375%, 01/16/13 150 161 7.50%, 04/08/33 250 271 2,448 U.S. Government Agencies - 47.2% Federal Home Loan Bank, 2.95%, 09/14/06 (l) 100 100 Federal Home Loan Mortgage Corp. 4.00%, TBA (c) 900 879 4.50%, TBA (c) 200 199 5.00%, TBA (c) 4,800 4,813 5.50%, TBA (c) 3,300 3,382 6.00%, TBA (c) 2,700 2,795 6.50%, TBA (c) 1,200 1,259 2.00%, 02/27/06 100 99 2.50%, 03/15/06 1,520 1,510 2.75%, 08/15/06 (l) 610 606 3.00%, 09/29/06 200 199 2.75%, 10/15/06 920 913 2.375%, 02/15/07 (l) 800 785 2.875%, 05/15/07 (l) 1,200 1,188 3.30%, 09/14/07 (l) 100 100 3.375%, 09/14/07 1,075 1,074 4.25%, 05/04/09 (l) 200 200 4.125%, 09/01/09 (l) 100 100 4.125%, 02/24/11 500 492 5.50%, 09/15/11 (l) 500 537 5.75%, 05/15/12 (l) 325 356 5.125%, 07/15/12 98 103 4.625%, 05/28/13 75 75 6.50%, 06/01/14 224 238 7.00%, 06/01/15 17 18 7.00%, 08/01/15 66 70 7.00%, 11/01/15 3 3 7.00%, 11/01/16 158 168 6.00%, 12/01/16 102 107 4.50%, 01/01/18 80 80 5.50%, 04/01/18 57 59 4.00%, 05/01/19 72 70 5.00%, 07/01/19 177 180 6.50%, 12/01/28 147 154 6.50%, 05/01/29 54 56 6.50%, 03/01/31 69 72 7.00%, 06/01/31 38 40 7.50%, 11/01/31 354 379 7.50%, 04/01/32 520 557 6.25%, 07/15/32 200 229 5.50%, 04/01/33 235 239 6.00%, 04/01/33 15 16 4.50%, 10/01/33 10 10 Federal National Mortgage Association 4.50%, TBA (c) 3,500 3,488 5.00%, TBA (c) 5,200 5,210 5.50%, TBA (c) 4,400 4,473 2.25%, 02/28/06 150 149 3.41%, 08/30/07 100 100 3.25%, 01/15/08 330 327 2.50%, 06/15/08 355 342 3.25%, 08/15/08 (l) 1,140 1,125 4.25%, 05/15/09 200 203 6.625%, 09/15/09 (l) 900 1,005 5.375%, 11/15/11 500 533 4.625%, 10/15/13 (l) 485 490 4.125%, 04/15/14 (l) 400 388 6.50%, 02/01/16 110 117 6.00%, 06/01/16 181 190 6.50%, 09/01/16 33 35 6.50%, 10/01/16 61 65 6.50%, 12/01/16 2 2 5.50%, 03/01/17 60 62 5.00%, 10/01/17 84 85 4.00%, 10/01/18 163 160 6.25%, 05/15/29 (l) 450 512 6.625%, 11/15/30 (l) 160 191 7.00%, 02/01/31 265 280 5.50%, 01/01/32 418 425 6.50%, 07/01/32 162 170 6.00%, 02/01/33 406 421 4.50%, 11/01/33 666 645 5.00%, 06/01/34 291 289 5.50%, 07/01/34 1,740 1,767 6.50%, 07/01/34 1,573 1,650 6.00%, 08/01/34 1,585 1,639 Government National Mortgage Association 5.00%, TBA (c) 500 500 5.50%, TBA (c) 1,000 1,020 6.00%, TBA (c) 1,000 1,036 8.00%, 04/15/30 65 71 8.50%, 06/15/30 52 57 8.50%, 12/15/30 3 3 6.50%, 01/15/32 249 263 6.00%, 10/15/32 258 267 5.50%, 07/15/33 702 718 54,982 U.S. Treasury Securities - 22.1% U.S. Treasury Bond 2.50%, 05/31/06 (l) 1,450 1,442 11.25%, 02/15/15 (l) 880 1,383 7.25%, 05/15/16 (l) 270 338 8.75%, 05/15/17 (l) 715 1,002 8.875%, 02/15/19 (l) 645 928 8.00%, 11/15/21 (l) 980 1,345 7.125%, 02/15/23 (l) 735 938 6.875%, 08/15/25 (l) 290 365 6.75%, 08/15/26 (l) 200 249 6.50%, 11/15/26 (l) 360 437 6.375%, 08/15/27 (l) 120 144 5.25%, 02/15/29 (l) 495 519 6.25%, 05/15/30 (l) 350 418 U.S. Treasury Note 4.625%, 05/15/06 (l) 2,270 2,322 4.375%, 05/15/07 (l) 730 750 3.25%, 08/15/07 (l) 320 320 3.00%, 11/15/07 (l) 2,140 2,127 3.375%, 11/15/08 (l) 810 808 3.375%, 12/15/08 (l) 1,050 1,047 5.50%, 05/15/09 310 335 3.375%, 10/15/09 (l) 1,500 1,485 6.50%, 02/15/10 (l) 1,645 1,862 5.75%, 08/15/10 (l) 390 429 4.875%, 02/15/12 (l) 1,095 1,158 4.375%, 08/15/12 (l) 555 569 3.875%, 02/15/13 (l) 875 864 3.625%, 05/15/13 (l) 600 582 4.25%, 08/15/14 (l) 650 652 4.25%, 11/15/14 (l) 890 892 25,710 Total Government Securities (cost $82,828) 83,140 Municipals - 0.2% Illinois St Taxable Pension, 5.10%, 06/01/33 200 192 New Jersey State Turnpike Authority, 4.252%, 01/01/16 100 96 Total Municipals (cost $278) 288 Short Term Investments - 54.5% Commercial Paper - 21.7% Barclays US Funding, 2.285%, 01/10/05 (f) 3,000 2,998 Caterpillar Financial Services, 2.27%, 01/13/05 (f) 3,100 3,098 Citigroup Global Markets Holding Inc., 2.28%, 01/10/05(f)4,000 3,998 General Electric Capital Corp., 6.54%, 01/10/05 (f) 2,400 2,396 International Lease Finance Corp., 2.16%, 01/18/05 (f) 3,500 3,496 Paccar Financial Corp., 2.28%, 01/12/05 (f) 3,200 3,198 Rabobank USA Corp., 2.245%, 01/13/05 (f) 3,000 2,998 Royal Bank of Scotland, 2.25%, 01/11/05 (f) 3,000 2,997 25,179 Money Market Funds - 2.0% Dreyfus Cash Management Plus, 1.98% (a) (n) 2,377 2,377 Securities Lending Collateral - 30.8% Mellon GSL Delaware Business Trust Collateral Fund (n) 35,856 35,856 Total Short Term Investments (cost $63,412) 63,412 Total Investments - 153.9% (cost $178,526) 179,199 Other Assets and Liabilities, Net - (53.9%) (62,742) Total Net Assets - 100% $ 116,457 JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Percentage of Total Industry Sector Investments (o) Financial 20.4% Consumer, Non-cyclical 19.5% Technology 12.7% Industrial 11.4% Consumer, Cyclical 10.5% Communications 9.2% Energy 6.4% Money Market Investment 4.0% Basic Materials 3.9% Utilities 1.7% Government 0.3% 100.0% Common Stocks - 97.1% Aerospace & Defense - 1.4% Lockheed Martin Corp. 21 $ 1,152 Northrop Grumman Corp. 20 1,109 Raytheon Co. 15 588 2,849 Agriculture - 0.4% Archer-Daniels-Midland Co. 30 663 Airlines - 0.1% Southwest Airlines Co. 12 201 Auto Manufacturers - 0.7% Ford Motor Co. (l) 62 911 General Motors Corp. (l) 4 165 Navistar International Corp. (b) (l) 1 40 PACCAR Inc. 3 239 1,355 Auto Parts & Equipment - 0.1% Cooper Tire & Rubber Co. 2 32 Dana Corp. 6 106 138 Banks - 6.7% Bank of America Corp. 77 3,638 Fifth Third Bancorp. 15 708 First Horizon National Corp. 11 470 Huntington Bancshares Inc. 26 632 North Fork Bancorp. Inc. 34 969 State Street Corp. 6 275 SunTrust Banks Inc. 16 1,204 US Bancorp. 1 16 Wachovia Corp. 36 1,916 Wells Fargo & Co. 38 2,385 12,213 Beverages - 3.0% Anheuser-Busch Cos. Inc. 15 773 Brown-Forman Corp. - Class B 4 202 Coca-Cola Co. 54 2,263 Coca-Cola Enterprises Inc. 2 47 PepsiCo Inc. 41 2,129 5,414 Biotechnology - 1.3% Amgen Inc. (b) 20 1,281 Biogen Idec Inc. (b) 5 306 Chiron Corp. (b) 2 64 Genzyme Corp. (b) 4 205 Medimmune Inc. (b) 3 74 Millipore Corp. (b) 8 419 2,349 Building Materials - 0.0% Vulcan Materials Co. 1 49 Chemicals - 2.9% Ashland Inc. - 18 Dow Chemical Co. 31 1,555 E.I. du Pont de Nemours & Co. 33 1,627 Eastman Chemical Co. (l) 16 929 Engelhard Corp. 2 64 International Flavors & Fragrances Inc. 2 73 PPG Industries Inc. 15 1,009 5,275 Commercial Services - 0.5% Apollo Group Inc. (b) (l) 5 414 Cendant Corp. 12 273 Deluxe Corp. 1 30 H&R Block Inc. 3 132 R.R. Donnelley & Sons Co. 2 87 936 Computers - 4.4% Affiliated Computer Services Inc. - Class A (b) (l) 3 187 Apple Computer Inc. (b) 19 1,218 Dell Inc. (b) 42 1,754 EMC Corp. (b) 96 1,431 Hewlett-Packard Co. 4 87 International Business Machines Corp. 34 3,303 7,980 Cosmetics & Personal Care - 2.7% Avon Products Inc. 15 570 Colgate-Palmolive Co. 12 600 Gillette Co. 34 1,517 Procter & Gamble Co. 41 2,274 4,962 Diversified Financial Services - 8.0% American Express Co. 11 618 Bear Stearns Cos. Inc. 2 205 Charles Schwab Corp. 85 1,012 Citigroup Inc. 89 4,304 Fannie Mae 15 1,054 Goldman Sachs Group Inc. 15 1,574 JPMorgan Chase & Co. 33 1,304 Lehman Brothers Holdings Inc. 8 656 Merrill Lynch & Co. Inc. 15 867 Morgan Stanley 30 1,646 SLM Corp. 24 1,266 14,506 Electric - 1.7% Ameren Corp. (l) 11 531 Centerpoint Energy Inc. 2 17 Constellation Energy Group Inc. 6 271 Edison International 5 157 Exelon Corp. 14 629 PG&E Corp. (b) 6 213 Southern Co. (l) 16 534 TXU Corp. (l) 11 711 3,063 Electrical Components & Equipment - 0.4% Emerson Electric Co. 7 456 Molex Inc. 8 233 689 Electronics - 0.9% Agilent Technologies Inc. (b) 38 925 Tektronix Inc. 22 653 1,578 Environmental Control - 0.1% Waste Management Inc. 8 249 Food - 0.6% General Mills Inc. 6 278 H.J. Heinz Co. 11 409 Kellogg Co. 6 282 WM.Wrigley Jr. Co. 3 173 1,142 Forest Products & Paper - 0.4% International Paper Co. 5 210 MeadWestvaco Corp. 3 88 Plum Creek Timber Co. Inc. 3 103 Temple-Inland Inc. 1 54 Weyerhaeuser Co. 4 248 703 Healthcare - 4.9% Aetna Inc. 3 329 Bausch & Lomb Inc. 14 928 Biomet Inc. 1 43 Boston Scientific Corp. (b) 16 560 Johnson & Johnson 52 3,302 Manor Care Inc. 6 223 Medtronic Inc. 33 1,636 Stryker Corp. - 14 Tenet Healthcare Corp. (b) 3 32 UnitedHealth Group Inc. 10 893 WellPoint Inc. (b) 9 980 Zimmer Holdings Inc. (b) (l) - 17 8,957 Home Builders - 0.5% KB Home 6 668 Pulte Homes Inc. 4 268 936 Insurance - 5.2% ACE Ltd. 5 205 AFLAC Inc. 8 311 Allstate Corp. 19 989 AMBAC Financial Group Inc. 2 140 American International Group Inc. 41 2,717 AON Corp. 5 126 Chubb Corp. 3 223 Cigna Corp. 2 163 Cincinnati Financial Corp. 21 936 Hartford Financial Services Group Inc. 5 347 Jefferson-Pilot Corp. 2 109 Lincoln National Corp. 3 126 Loews Corp. 3 197 Marsh & McLennan Cos. Inc. 9 291 MetLife Inc. 13 514 MGIC Investment Corp. 2 103 Progressive Corp. 3 255 Prudential Financial Inc. 9 482 Safeco Corp. 11 564 St. Paul Cos. Inc. 12 456 UnumProvident Corp. (l) 5 90 XL Capital Ltd. 2 163 9,507 Internet - 0.7% eBay Inc. (b) 3 403 Yahoo! Inc. (b) 25 931 1,334 Iron & Steel - 0.1% Nucor Corp. 2 115 United States Steel Corp. 2 87 202 Leisure Time - 0.7% Brunswick Corp. 15 738 Sabre Holdings Corp. 21 454 1,192 Lodging - 1.2% Marriott International Inc. - Class A 18 1,122 Starwood Hotels & Resorts Worldwide Inc. 19 1,127 2,249 Machinery - 1.7% Caterpillar Inc. 8 787 Deere & Co. 16 1,187 Rockwell Automation Inc. 21 1,060 3,034 Manufacturing - 5.4% 3M Co. 19 1,583 Danaher Corp. (l) 3 170 Dover Corp. 10 428 Eaton Corp. 10 724 General Electric Capital Corp. 141 5,162 Ingersoll-Rand Co. - Class A 7 541 Parker Hannifin Corp. 14 1,022 Tyco International Ltd. 6 216 9,846 Media - 3.8% Clear Channel Communications Inc. 17 574 Comcast Corp. - Class A (b) 30 987 Meredith Corp. (l) 17 900 News Corp Inc. 17 325 Time Warner Inc. (b) 72 1,394 Univision Communications Inc. (b) 18 532 Viacom Inc. - Class B 29 1,065 Walt Disney Co. 38 1,048 6,825 Metal Fabrication & Hardware - 0.0% Worthington Industries 2 33 Mining - 0.5% Alcoa Inc. 13 422 Freeport-McMoRan Copper & Gold Inc. 3 107 Newmont Mining Corp. (l) 7 308 Phelps Dodge Corp. 1 89 926 Office & Business Equipment - 0.1% Pitney Bowes Inc. 3 143 Oil & Gas Producers - 6.0% Apache Corp. 8 406 Burlington Resources Inc. 10 435 ChevronTexaco Corp. 46 2,435 ConocoPhillips 7 625 EOG Resources Inc. 4 285 Exxon Mobil Corp. 107 5,491 Kerr-McGee Corp. 5 315 Nabors Industries Ltd. (b) 18 933 Unocal Corp. - 14 10,939 Oil & Gas Services - 0.3% BJ Services Co. 8 377 Halliburton Co. 5 199 576 Packaging & Containers - 0.0% Ball Corp. 2 70 Pharmaceuticals - 5.1% Abbott Laboratories 25 1,167 Cardinal Health Inc. 11 628 Eli Lilly & Co. 20 1,130 Forest Laboratories Inc. (b) 4 166 Gilead Sciences Inc. (b) 7 234 Merck & Co. Inc. 35 1,115 Pfizer Inc. 140 3,759 Watson Pharmaceuticals Inc. (b) 3 92 Wyeth 21 887 9,178 Pipelines - 0.1% El Paso Corp. 10 106 Williams Cos. Inc. 9 142 248 Real Estate - 0.4% Apartment Investment & Management Co. 2 58 Archstone-Smith Trust 3 107 Equity Office Properties Trust 6 176 Equity Residential 3 119 ProLogis 2 87 Simon Property Group Inc. 3 213 760 Retail - 7.3% Autozone Inc. (b) 3 265 Bed Bath & Beyond Inc. (b) 3 110 Best Buy Co. Inc. 13 790 Circuit City Stores Inc. 16 256 Costco Wholesale Corp. (l) 23 1,126 CVS Corp. 5 246 Gap Inc. (l) 45 951 Home Depot Inc. 41 1,768 Lowe's Cos. Inc. 13 737 McDonald's Corp. 19 606 Nordstrom Inc. 21 995 RadioShack Corp. 2 49 Staples Inc. 34 1,137 Walgreen Co. 15 589 Wal-Mart Stores Inc. 67 3,554 13,179 Savings & Loans - 0.4% Golden West Financial Corp. 11 688 Semiconductors - 3.4% Applied Materials Inc. (b) 64 1,093 Freescale Semiconductor Inc. (b) 6 114 Intel Corp. 81 1,895 KLA-Tencor Corp. (b) (l) 2 84 Linear Technology Corp. 25 981 Maxim Integrated Products Inc. 5 212 National Semiconductor Corp. 2 32 PMC - Sierra Inc. (b) (l) 9 106 Texas Instruments Inc. 64 1,582 6,099 Software - 5.1% Computer Associates International Inc. (l) 10 317 First Data Corp. 7 295 Fiserv Inc. (b) 25 1,013 Microsoft Corp. 170 4,530 Oracle Corp. (b) 139 1,904 Siebel Systems Inc. (b) 7 78 Veritas Software Corp. (b) 38 1,087 9,224 Telecommunications - 2.0% AT&T Corp. 12 232 Citizens Communications Co. 4 51 Qwest Communications International Inc. (b) 27 120 SBC Communications Inc. 39 1,009 Sprint Corp. - FON Group 22 552 Verizon Communications Inc. 39 1,588 3,552 Telecommunications Equipment - 2.0% Avaya Inc. (b) 6 110 CIENA Corp. (b) 8 28 Cisco Systems Inc. (b) 57 1,109 Comverse Technology Inc. (b) 19 462 Corning Inc. (b) 69 814 Lucent Technologies Inc. (b) 52 194 Tellabs Inc. (b) 104 892 3,609 Textiles - 0.1% Cintas Corp. 2 105 Tobacco - 1.2% Altria Group Inc. 31 1,916 Reynolds American Inc. 2 193 UST Inc. (l) 2 106 2,215 Transportation - 1.5% Burlington Northern Santa Fe Corp. 6 265 CSX Corp. 1 52 FedEx Corp. 4 439 Norfolk Southern Corp. 6 214 Ryder System Inc. - 14 Union Pacific Corp. 3 200 United Parcel Service Inc. 17 1,485 2,669 Wireless Telecommunications - 0.9% Nextel Communications Inc. (b) 46 1,385 Qualcomm Inc. 5 224 1,609 Total Common Stocks (cost $162,074) 176,218 Warrants - 0.0% Telecommunications Equipment - 0.0% Lucent Technologies Inc., Strike Price $2.75, Expiring 12/10/07 1 1 Total Warrants (cost $0) 1 Short Term Investments - 8.2% Money Market Funds - 4.0% Dreyfus Cash Management Plus, 1.98% (a) (n) 7,339 7,339 Securities Lending Collateral - 3.8% Mellon GSL Delaware Business Trust Collateral Fund (n) 6,898 6,898 U.S. Treasury Bills - 0.3% U.S. Treasury Bill, 2.21%, 03/17/05 (m) $580 577 Total Short Term Investments (cost $14,814) 14,814 Total Investments - 109.7% (cost $176,888) 191,033 Other Assets and Liabilities, Net - (9.7%) (9,585) Total Net Assets - 100% $ 181,448 JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Percentage of Total Industry Sector Investments (o) Financial 26.6% Consumer, Non-cyclical 16.2% Communications 11.5% Consumer, Cyclical 10.4% Industrial 10.1% Energy 7.8% Basic Materials 5.7% Utilities 5.1% Money Market Investment 3.2% Technology 2.5% Diversified 0.7% Government 0.2% 100.0% Common Stocks - 96.2% Advertising - 0.3% Aegis Group Plc 38 $ 79 Asatsu-DK Inc. 1 23 Dentsu Inc. - 127 Publicis Groupe 4 134 Telefonica Publicidad e Informacion SA 5 49 WPP Group Plc 36 392 804 Aerospace & Defense - 0.5% BAE Systems Plc 98 435 Cobham Plc 3 80 European Aeronautic Defense and Space Co. 8 225 Finmeccanica SpA 192 174 Meggitt Plc 14 70 Rolls-Royce Group Plc (b) 49 233 Sagem SA 3 66 Thales SA 2 118 Zodiac SA 1 58 1,459 Airlines - 0.2% Air France 4 77 All Nippon Airways Co. Ltd. 17 59 British Airways Plc (b) 17 77 Cathay Pacific Airways Ltd. 31 59 Deutsche Lufthansa AG (b) 7 106 Iberia Lineas Aereas de Espana SA 16 54 Japan Airlines System Corp. (b) 23 67 Qantas Airways Ltd. 29 84 Ryanair Holdings Plc (b) 1 7 SAS AB (b) 2 21 Singapore Airlines Ltd. 18 126 737 Alternative Energy - 0.0% Gamesa Corp. Tecnologica SA 3 46 Apparel - 0.2% Adidas-Salomon AG 1 241 Benetton Group SpA 2 24 Gunze Ltd. 5 23 Hermes International - 54 Onward Kashiyama Co. Ltd. 5 73 Puma AG Rudolf Dassler Sport 1 145 Tokyo Style Co. Ltd. 2 23 Wacoal Corp. 3 36 World Co. Ltd. 1 42 Yue Yuen Industrial Holdings 14 37 698 Auto Manufacturers - 3.0% DaimlerChrysler AG 28 1,320 Fiat SpA (b) 17 138 Hino Motors Ltd. 7 52 Honda Motor Co. Ltd. 24 1,259 Nissan Motor Co. Ltd. 80 864 Peugeot SA 6 350 Renault SA 6 500 Scania AB - Class B 3 125 Toyota Motor Corp. 92 3,760 Volkswagen AG 7 326 Volvo AB 3 113 Volvo AB 7 285 9,092 Auto Parts & Equipment - 0.7% Aisin Seiki Co. Ltd. 5 127 Bridgestone Corp. 21 418 Compagnie Generale des Etablissements Michelin - Class B 5 291 Continental AG 4 249 Denso Corp. 17 458 GKN Plc 24 107 Koyo Seiko Co. Ltd. 3 42 NGK Spark Plug Co. Ltd. 5 52 Nok Corp. 3 97 Nokian Renkaat Oyj - 43 Pirelli & Co. SpA 56 76 Sanden Corp. 3 19 Toyoda Gosei Co. Ltd. 2 35 Valeo SA 2 99 2,113 Banks - 17.9% 77 Bank Ltd. 10 70 ABN Amro Holding NV 50 1,324 Allied Irish Banks Plc 28 575 Alpha Bank A.E. 6 224 Australia & New Zealand Banking Group Ltd. 58 939 Banca Antonveneta SpA (b) 7 196 Banca Intesa SpA 29 124 Banca Intesa SpA 104 502 Banca Monte dei Paschi di Siena SpA 35 124 Banca Nazionale del Lavoro SpA (b) 53 158 Banca Popolare di Milano SCRL 12 110 Banche Popolari Unite Scrl 11 221 Banco Bilbao Vizcaya Argentaria SA 103 1,828 Banco BPI SA 10 41 Banco Comercial Portugues SA 55 142 Banco Espirito Santo SA 3 59 Banco Popolare di Verona 12 245 Banco Popular Espanol 5 340 Banco Santander Central Hispano SA 190 2,357 Bank Austria Creditanstalt AG 1 102 Bank of East Asia 44 137 Bank of Fukuoka Ltd. 17 112 Bank of Ireland 31 516 Bank of Yokohama Ltd. 39 246 Barclays Plc 206 2,322 Bayerische Hypo-und Vereinsbank AG (b) 20 447 BNP Paribas SA 25 1,842 BOC Hong Kong Holdings Ltd. 118 224 Capitalia SpA 46 209 Chiba Bank Ltd. 23 154 Commercial Bank of Greece 2 52 Commerzbank AG (b) 14 289 Commonwealth Bank of Australia 40 1,005 Credit Agricole SA 21 639 Credit Suisse Group (b) 36 1,527 Danske Bank A/S 15 445 DBS Group Holdings Ltd. 36 355 Depfa Bank Plc 12 195 Deutsche Bank AG 16 1,450 Dexia 20 464 DnB Holding ASA 21 205 EFG Eurobank Ergasias SA 6 205 Erste Bank der Oesterreichischen Sparkassen AG 4 204 FinecoGroup SpA (b) 5 36 Fortis 37 1,033 Gunma Bank Ltd. 12 70 Hang Seng Bank Ltd. 25 342 HBOS Plc 124 2,026 Hokugin Financial Group Inc. 37 101 HSBC Holdings Plc 354 5,980 Hypo Real Estate Holding Inc. (b) 4 173 Joyo Bank Ltd. 21 102 KBC Bancassurance Holding 3 268 Lloyds TSB Group Plc 179 1,625 Mitsubishi Tokyo Financial Group Inc. - 1,482 Mitsui Trust Holdings Inc. 17 170 Mizuho Financial Group Inc. - 1,254 National Australia Bank Ltd. 49 1,105 National Bank of Greece SA 8 279 Nordea AB 70 711 Oversea-Chinese Banking Corp. Ltd. 34 281 Piraeus Bank SA 6 97 Resona Holdings Inc. (b) 143 290 Royal Bank of Scotland Group Plc 100 3,376 Sanpaolo IMI SpA 33 475 Shinsei Bank Ltd. 18 123 Shizuoka Bank Ltd. 18 171 Skandinaviska Enskilda Banken AB 15 288 Societe Generale 11 1,078 Sumitomo Mitsui Financial Group Inc. - 945 Sumitomo Trust & Banking Co. Ltd. 38 275 Suncorp-Metway Ltd. 17 229 Suruga Bank Ltd. 7 56 Svenska Handelsbanken AB - Class B 17 453 UBS AG 34 2,871 UFJ Holdings Inc. (b) - 739 UniCredito Italiano SpA 141 810 United Overseas Bank Ltd. 38 321 Westpac Banking Corp. 57 869 53,430 Beverages - 1.3% Asahi Breweries Ltd. 12 151 Carlsberg A/S 1 52 Coca-Cola Amatil Ltd. 15 94 Coca-Cola Hellenic Bottling Co. SA 3 67 Coca-Cola West Japan Co. Ltd. 1 36 Diageo Plc 98 1,394 Foster's Group Ltd. 64 288 Fraser & Neave Ltd. 6 57 Heineken NV 8 258 Interbrew 6 219 ITO EN Ltd. 1 42 Kirin Brewery Co. Ltd. 22 217 Lion Nathan Ltd. 10 69 Pernod-Ricard 2 257 SABMiller Plc 25 419 Sapporo Holdings Ltd. 10 47 Scottish & Newcastle Plc 26 220 Southcorp Ltd. (b) 21 69 Takara Holdings Inc. 5 32 3,988 Biotechnology - 0.1% Novozymes A/S 2 93 Qiagen NV (b) 4 48 Zeltia SA 5 34 175 Building Materials - 1.5% Asahi Glass Co. Ltd. 24 265 Boral Ltd. 20 105 BPB Plc 16 149 Central Glass Co. Ltd. 7 50 Cie de Saint-Gobain 10 601 Cimpor Cimentos de Portugal SA 5 31 CRH Plc 17 456 CSR Ltd. 27 57 Daikin Industries Ltd. 6 185 Fletcher Building Ltd. 15 70 FLS Industries A/S (b) 1 15 Geberit AG - 82 Hanson Plc 23 202 HeidelbergCement AG 2 111 Holcim Ltd. 5 316 Imerys SA 1 82 Italcementi SpA 3 42 James Hardie Industries NV 13 71 Kingspan Group Plc 4 39 Lafarge SA 5 523 Matsushita Electric Works Ltd. 9 78 Nippon Sheet Glass Co. Ltd. 10 41 Pilkington Plc 33 70 Rinker Group Ltd. 30 253 Rinnai Corp. 1 32 RMC Group Plc 9 141 Sanwa Shutter Corp. 5 28 Sumitomo Osaka Cement Co. Ltd. 10 24 Taiheiyo Cement Corp. 28 70 Tenon Ltd. (b) 4 6 Tenon Ltd. (b) 3 4 Titan Cement Co. SA 2 56 Tostem Inax Holding Corp. 8 145 Wienerberger AG 2 93 4,493 Chemicals - 2.4% Air Liquide SA 3 646 Akzo Nobel NV 9 374 Asahi Kasei Corp. 40 200 BASF AG 17 1,202 Bayer AG 21 712 BOC Group Plc 16 301 Ciba Specialty Chemicals AG (b) 2 168 Clariant AG 8 122 Daicel Chemical Industries Ltd. 9 51 Dainippon Ink and Chemicals Inc. 21 48 Denki Kagaku Kogyo KK 14 47 DSM NV 2 155 Givaudan - 146 Hitachi Chemical Co. Ltd. 3 59 Imperial Chemical Industries Plc 38 174 Ishihara Sangyo Kaisha Ltd. 10 23 Johnson Matthey Plc 7 137 JSR Corp. 6 123 Kaneka Corp. 9 102 Kansai Paint Co. Ltd. 6 36 Kingboard Chemicals Holdings 14 30 Lonza Group AG 1 73 Mitsubishi Chemical Corp. 52 158 Mitsubishi Gas Chemical Co. Inc. 11 52 Mitsui Chemicals Inc. 18 98 Nippon Kayaku Co. Ltd. 4 22 Nippon Sanso Corp. 8 47 Nippon Shokubai Co. Ltd. 4 35 Nissan Chemical Industries Ltd. 5 39 Nitto Denko Corp. 5 285 Shin-Etsu Chemical Co. Ltd. 12 475 Showa Denko KK 29 75 Solvay SA 2 225 Sumitomo Bakelite Co. Ltd. 5 32 Sumitomo Chemical Co. Ltd. 43 211 Syngenta AG (b) 3 365 Tosoh Corp. 16 72 Ube Industries Ltd. (b) 29 49 Yara International ASA (b) 7 92 Zeon Corp. 5 42 7,303 Commercial Services - 1.2% Abertis Infraestructuras SA 8 183 Adecco SA 4 212 Aggreko Plc 8 26 Autoroutes du Sud de la France 2 116 Autostrade SpA 8 215 Benesse Corp. 2 67 Brambles Industries Ltd. 31 168 Brambles Industries Plc 24 118 Brisa-Auto Estradas de Portugal SA 11 101 Bunzl Plc 14 115 Capita Group Plc 21 151 Cintra Concesiones de Infraestructuras de Transporte SA (b) 6 69 Dai Nippon Printing Co. Ltd. 21 337 Davis Service Group Plc 7 55 De La Rue Plc 6 37 Goodwill Group Inc. - 32 Group 4 Securicor Plc (b) 36 96 Hays Plc 53 127 Intertek Group Plc 5 72 ISS A/S 1 75 Kamigumi Co. Ltd. 8 64 Kidde Plc 26 84 Nichii Gakkan Co. 1 26 Randstad Holdings NV 1 55 Rank Group Plc 19 95 Rentokil Initial Plc 59 169 Securitas AB 9 158 Serco Group Plc 14 63 SGS Societe Generale Surveillance Holding SA - 99 TIS Inc. 1 53 Toppan Printing Co. Ltd. 18 199 Transurban Group 17 89 Vedior NV 5 82 3,608 Computers - 0.5% Atos Origin SA (b) 1 89 Cap Gemini SA (b) 4 125 Computershare Ltd. 13 56 Creative Technology Ltd. 2 30 CSK Corp. 2 91 Fujitsu Ltd. 57 371 Getronics NV (b) 17 38 Indra Sistemas SA 4 68 Itochu Techno-Science Corp. 1 36 LogicaCMG Plc 22 83 Logitech International SA (b) 1 86 Meitec Corp. 1 45 NET One Systems Co. Ltd. - 71 Obic Co. Ltd. - 40 TDK Corp. 4 289 Tietoenator Oyj 3 92 WM-Data AB 12 25 1,635 Cosmetics & Personal Care - 0.5% Aderans Co. Ltd. 1 25 Beiersdorf AG 1 63 Kanebo Ltd. (b) 2 23 Kao Corp. 17 435 L'Oreal SA 10 736 Oriflame Cosmetics SA (b) 1 23 Shiseido Co. Ltd. 11 159 Uni-Charm Corp. 1 63 1,527 Distribution & Wholesale - 0.7% Cycle & Carriage Ltd. 4 25 Esprit Holdings Ltd. 29 172 Hagemeyer NV (b) 19 43 Inchcape Plc 2 93 Itochu Corp. (b) 42 194 Li & Fung Ltd. 48 81 Marubeni Corp. 39 108 Mitsubishi Corp. 36 459 Mitsui & Co. Ltd. 40 359 Nissho Iwai-Nichimen Holdings Corp. (b) 7 29 Sumitomo Corp. 29 250 Wolseley Plc 19 351 2,164 Diversified Financial Services - 1.7% Acom Co. Ltd. 2 168 Aeon Credit Service Co. Ltd. 1 53 Aiful Corp. 1 148 Amvescap Plc 24 145 Australian Stock Exchange Ltd. 3 48 Banca Fideuram SpA 10 50 Cattles Plc 10 70 Close Brothers Group Plc 4 51 Credit Saison Co. Ltd. 4 160 D. Carnegie & Co. AB 1 18 Daiwa Securities Group Inc. 38 274 Deutsche Boerse AG 3 200 Euronext NV 3 95 Hitachi Capital Corp. 2 37 Hong Kong Exchanges and Clearing Ltd. 32 86 ICAP Plc 15 79 Irish Life & Permanent Plc 8 156 London Stock Exchange Plc 9 96 Macquarie Bank Ltd. 7 259 Man Group Plc 9 257 Mediobanca SpA 15 236 MLP AG 2 35 Nikko Cordial Corp. 49 260 Nomura Holdings Inc. 60 875 OM AB (b) 3 33 ORIX Corp. 3 353 Perpetual Trustees Australia Ltd. 1 54 Promise Co. Ltd. 3 196 Provident Financial Plc 8 109 Sampo Oyj - Class A 11 146 Schroders Plc 4 62 Singapore Exchange Ltd. 21 24 Takefuji Corp. 2 149 Tower Ltd. (b) 8 13 4,995 Electric - 3.9% Chubu Electric Power Co. Inc. 21 509 CLP Holdings Ltd. 57 328 Contact Energy Ltd. 10 44 E.ON AG 20 1,816 Edison SpA (b) 25 52 Electrabel SA 1 391 Electric Power Development Co. Ltd. (b) 5 126 Electricidade de Portugal SA 71 216 Endesa SA 31 717 Enel SpA 117 1,150 Fortum Oyj 11 206 Hokkaido Electric Power Co. Inc. 6 114 Hong Kong Electric Holdings Ltd. 45 203 Iberdrola SA 24 623 International Power Plc (b) 47 139 Kansai Electric Power Co. Inc. 23 473 Kyushu Electric Power Co. Inc. 13 257 National Grid Transco Plc 99 941 Public Power Corp. 3 92 RWE AG 14 753 Scottish & Southern Energy Plc 28 463 Scottish Power Plc 60 462 Terna SpA (b) 32 91 Tohoku Electric Power Co. Inc. 14 244 Tokyo Electric Power Co. Inc. 37 903 Union Fenosa SA 7 180 Verbund-Oesterreichische Elektrizitaetswirtschafts AG - 43 11,536 Electrical Components & Equipment - 1.0% Bekaert SA - 36 Casio Computer Co. Ltd. 6 93 Fujikura Ltd. 11 51 Furukawa Electric Co. Ltd. (b) 17 94 Hitachi Cable Ltd. 6 28 Hitachi Ltd. 102 707 Johnson Electric Holdings Ltd. 51 49 Mitsubishi Electric Corp. 54 265 Sanyo Electric Co. Ltd. 49 169 Sharp Corp. 30 490 Stanley Electric Co. Ltd. 5 82 Sumitomo Electric Industries Ltd. 22 239 Toshiba Corp. 93 399 Ushio Inc. 4 75 Vestas Wind Systems A/S (b) 5 60 2,837 Electronics - 1.4% Advantest Corp. 2 189 Alps Electric Co. Ltd. 5 75 Anritsu Corp. 3 23 Barco NV - 30 Dainippon Screen Manufacturing Co. Ltd. 5 31 Electrocomponents Plc 13 73 Epcos AG (b) 1 18 Fanuc Ltd. 5 307 Hirose Electric Co. Ltd. 1 117 Keyence Corp. 1 229 Koninklijke Philips Electronics NV 42 1,118 Kyocera Corp. 5 408 Mabuchi Motor Co. Ltd. 1 65 Minebea Co. Ltd. 9 39 Mitsumi Electric Co. Ltd. 2 19 Murata Manufacturing Co. Ltd. 7 397 NEC Corp. 53 329 NGK Insulators Ltd. 8 77 Omron Corp. 7 162 Premier Farnell Plc 11 35 Secom Co. Ltd. 7 260 Taiyo Yuden Co. Ltd. 3 35 Venture Corp. Ltd. 7 68 Yokogawa Electric Corp. 7 94 4,198 Engineering & Construction - 1.1% ABB Ltd. (b) 60 333 Acciona SA 1 79 ACS Actividades Cons y Serv 8 189 Amec Plc 10 55 Auckland International Airport Ltd. 7 42 BAA Plc 34 380 Balfour Beatty Plc 14 86 Bouygues SA 7 302 Cheung Kong Infrastructure Holdings Ltd. 16 46 COMSYS Holdings Corp. 3 28 Flughafen Wien AG - 31 Fomento de Construcciones Y Contratas SA 1 70 Grupo Ferrovial SA 2 112 Hellenic Technodomiki Tev SA 4 16 JGC Corp. 6 55 Kajima Corp. 29 125 Kinden Corp. 4 30 Kobenhavns Lufthavne - 39 Leighton Holdings Ltd. 4 39 Linde AG 3 165 New World Development Co. Ltd. 68 76 Nishimatsu Construction Co. Ltd. 7 24 Obayashi Corp. 19 120 Okumura Corp. 5 32 SembCorp Industries Ltd. 29 29 Shimizu Corp. 16 80 Singapore Technologies Engineering Ltd. 43 61 Skanska AB 12 146 Taisei Corp. 26 101 Takuma Co. Ltd. 2 16 Technical Olympic SA 2 13 Toda Corp. 5 24 VA Technologie AG (b) - 32 Vinci SA 2 320 3,296 Entertainment - 0.4% Aristocrat Leisure Ltd. 10 81 EMI Group Plc 25 125 Greek Organization of Football Prognostics SA 5 140 Hilton Group Plc 50 272 Oriental Land Co. Ltd. 2 111 TABCORP Holdings Ltd. 16 223 Toho Co. Ltd. 4 63 William Hill Plc 13 145 1,160 Environmental Control - 0.0% Kurita Water Industries Ltd. 3 42 Tomra Systems ASA 6 34 Waste Management NZ Ltd. 2 10 86 Food - 4.3% Ajinomoto Co. Inc. 19 226 Ariake Japan Co. Ltd. - 11 Axfood AB 1 35 Cadbury Schweppes Plc 66 616 Carrefour SA 18 875 Casino Guichard-Perrachon SA 1 86 Colruyt SA 1 88 Compass Group Plc 70 329 Danisco A/S 2 103 Delhaize Group 2 170 Fyffes Plc 9 24 Greencore Group Plc 5 22 Groupe Danone 8 712 House Foods Corp. 3 36 J Sainsbury Plc 44 227 Jeronimo Martins (b) 1 17 Katokichi Co. Ltd. 1 24 Kerry Group Plc 4 97 Kesko Oyj 2 41 Kikkoman Corp. 5 48 Koninklijke Ahold NV (b) 50 387 Meiji Dairies Corp. 8 47 Meiji Seika Kaisha Ltd. 8 37 Metro AG 5 256 Nestle SA 13 3,372 Nichirei Corp. 7 28 Nippon Meat Packers Inc. 5 68 Nisshin Seifun Group Inc. 5 55 Nissin Food Products Co. Ltd. 3 68 Orkla ASA 6 195 Ostasiatiske Kompagni 1 38 QP Corp. 4 32 Royal Numico NV (b) 5 167 Snow Brand Milk Products Co. Ltd. (b) 5 14 Sodexho Alliance SA 3 89 Suedzucker AG 2 37 Tate & Lyle Plc 13 117 Tesco Plc 247 1,529 Toyo Suisan Kaisha Ltd. 3 44 Unilever NV 18 1,229 Unilever Plc 88 869 Woolworths Ltd. 33 390 Yakult Honsha Co. Ltd. 4 71 Yamazaki Baking Co. Ltd. 4 38 12,962 Forest Products & Paper - 0.5% Billerud AB 2 30 Carter Holt Harvey Ltd. 20 30 Holmen AB 2 56 Mayr-Melnhof Karton AG - 24 Nippon Unipac Holding - 135 Norske Skogindustrier ASA 4 78 OJI Paper Co. Ltd. 25 143 PaperlinX Ltd. 14 53 Stora Enso Oyj - Class R 20 311 Svenska Cellulosa AB 6 269 UPM-Kymmene Oyj 17 375 1,504 Gas - 0.6% Australian Gas Light Co. Ltd. 15 161 Centrica Plc 123 556 Gas Natural SDG SA 5 150 Hong Kong & China Gas Co. Ltd. 116 240 Ngc Holdings Ltd. 3 6 Osaka Gas Co. Ltd. 64 200 Snam Rete Gas SpA 28 162 Tokyo Gas Co. Ltd. 81 331 1,806 Hand & Machine Tools - 0.5% Fuji Electric Co. Ltd. 15 40 KCI Konecranes Oyj - 17 KONE Corp. Oyj - Class B 1 90 Makita Corp. 4 70 Nidec Corp. 2 183 Sandvik AB 7 295 Schindler Holding AG - 69 Schneider Electric SA 7 492 SMC Corp. 2 196 Techtronic Industries Co. Ltd. 29 64 THK Co. Ltd. 3 59 1,575 Healthcare - 0.7% Capio AB (b) 3 33 Cie Generale D'Optique Essilor International SA 3 252 Cochlear Ltd. 1 28 Coloplast A/S 1 49 Elekta AB - Class B (b) 1 31 Fisher & Paykel Healthcare Corp. 17 40 Fresenius Medical Care AG 1 89 Gambro AB 9 118 Getinge AB 5 59 Hoya Corp. 3 384 Luxottica Group SpA 5 94 Nobel Biocare Holding AG 1 129 Parkway Holdings Ltd. 18 17 Phonak Holding AG 1 43 Smith & Nephew Plc 30 311 Sonic Healthcare Ltd. 8 75 SSL International Plc 6 36 Strauman Holding AG - 47 Synthes Inc. (b) 1 160 Terumo Corp. 5 142 William Demant Holding A/S (b) 1 42 2,179 Holding Companies - Diversified - 0.7% DCC Plc 3 60 Groupe Bruxelles Lambert SA 2 177 Haw Par Corp. Ltd. 3 10 Hutchison Whampoa Ltd. 68 636 Keppel Corp. Ltd. 18 95 LVMH Moet Hennessy Louis Vuitton SA 8 600 Patrick Corp. Ltd. 18 91 Swire Pacific Ltd. 30 247 Tomkins Plc 25 124 Viohalco 4 35 Wharf Holdings Ltd. 39 137 2,212 Home Builders - 0.3% Barratt Developments Plc 8 88 Bellway Plc 3 52 Daiwa House Industry Co. Ltd. 16 182 George Wimpey Plc 13 101 Persimmon Plc 8 113 Sekisui Chemical Co. Ltd. 14 102 Sekisui House Ltd. 16 186 Taylor Woodrow Plc 18 92 The Berkeley Group Holdings Plc 3 49 965 Home Furnishings - 1.0% Bang & Olufsen A/S - 25 Electrolux AB - Series B 9 206 Fisher & Paykel Appliances Holdings Ltd. 7 22 Matsushita Electric Industrial Co. Ltd. 70 1,113 MFI Furniture Group Plc 21 51 Pioneer Corp. 5 92 SONY Corp. 30 1,144 Thomson 7 197 Yamaha Corp. 5 81 2,931 Household Products - 0.3% Henkel KGaA 2 158 Pacific Brands Ltd. 17 42 Reckitt Benckiser Plc 19 572 Societe BIC SA 1 55 Toto Ltd. 9 86 Waterford Wedgwood Plc (b) 28 2 915 Insurance - 4.6% Aegon NV 44 600 Alleanza Assicurazioni SpA 15 207 Allianz AG 10 1,300 AMP Ltd. 60 342 Assicurazioni Generali SpA 31 1,040 Aviva Plc 72 873 AXA 45 1,121 AXA Asia Pacific Holdings Ltd. 24 77 CNP Assurances 1 77 Corporacion Mapfre SA 4 56 Friends Provident Plc 64 188 ING Groep NV 59 1,788 Insurance Australia Group Ltd. 50 251 Legal & General Group Plc 210 444 Mediolanum SpA 8 59 Millea Holdings Inc. - 682 Mitsui Sumitomo Insurance Co. Ltd. 41 356 Muenchener Rueckversicherungs AG 6 717 Pohjola Group Plc - Class D 2 23 Prudential Plc 75 657 QBE Insurance Group Ltd. 22 262 Riunione Adriatica di Sicurta SpA 9 215 Royal & Sun Alliance Insurance Group Plc 89 132 Skandia Forsakrings AB 33 167 Sompo Japan Insurance Inc. 24 245 Storebrand ASA 8 78 Swiss Reinsurance 10 738 T&D Holdings Ltd. (b) 6 280 Topdanmark A/S (b) 1 47 Zurich Financial Services AG (b) 5 762 13,784 Internet - 0.3% Rakuten Inc. (b) - 138 Softbank Corp. 7 351 Trend Micro Inc. (b) 3 162 Yahoo Japan Corp. (b) - 288 939 Investment Companies - 0.1% Independent Newspapers Ltd. 3 14 Macquarie Infrastructure Group 62 164 178 Iron & Steel - 0.8% Acerinox SA 6 98 Arcelor 15 357 BHP Steel Ltd. 23 147 Boehler-Uddeholm AG - 30 Corus Group Plc (b) 125 121 JFE Holdings Inc. 17 487 Kobe Steel Ltd. 74 113 Nippon Steel Corp. 196 480 Nisshin Steel Co. Ltd. 22 51 OneSteel Ltd. 18 37 Rautaruukki Oyj 3 31 Ssab Svenskt Stal AB 2 40 Ssab Svenskt Stal AB 1 14 Sumitomo Metal Industries Ltd. 118 160 ThyssenKrupp AG 10 216 Voestalpine AG 1 68 2,450 Leisure Time - 0.3% Amer Group Ltd. 2 34 Carnival Plc 6 336 Kuoni Reisen Holding AG - 39 Namco Ltd. 3 39 Sankyo Co. Ltd. 2 81 Sega Sammy Holdings Inc. (b) 2 119 Shimano Inc. 2 66 TUI AG 4 92 Yamaha Motor Co. Ltd. 5 78 884 Lodging - 0.2% Accor SA 6 261 Hyatt Regency SA 1 12 Intercontinental Hotels Group Plc. 20 251 NH Hoteles SA 3 36 Overseas Union Enterprise Ltd. 1 5 Shangri-La Asia Ltd. 30 43 Sky City Entertainment Group Ltd. 12 47 655 Machinery - 0.5% Alstom (b) 136 103 Amada Co. Ltd. 11 61 Atlas Copco AB 6 256 Ebara Corp. 7 32 Hitachi Construction Machinery Co. Ltd. 3 41 Komatsu Ltd. 31 217 Komori Corp. 2 29 Kubota Corp. 33 164 MAN AG 3 132 Metso Oyj 3 55 Rieter Holding AG - 38 Sumitomo Heavy Industries Ltd. (b) 17 63 Toyota Industries Corp. 6 156 1,347 Manufacturing - 1.7% AGFA-Gevaert NV 3 108 Alfa Laval AB 3 41 Amano Corp. 2 20 Ansell Ltd. 6 40 BBA Group Plc 15 83 Cookson Group Plc (b) 59 40 FKI Plc 17 37 Fuji Photo Film Co. Ltd. 15 540 Futuris Corp. Ltd. 18 30 IMI Plc 11 86 Invensys Plc (b) 190 57 Ishikawajima-Harima Heavy Industries Co. Ltd. (b) 32 44 Kawasaki Heavy Industries Ltd. 40 66 Konica Corp. 14 186 Mitsubishi Heavy Industries Ltd. 90 256 Nikon Corp. 9 111 NKT Holding A/S 1 20 Novar Plc 13 46 Olympus Optical Co. Ltd. 7 149 Orica Ltd. 9 143 RHI AG (b) - 12 Siemens AG 26 2,171 Smiths Group Plc 18 279 Sulzer AG - 48 Trelleborg AB 3 46 Uponor Oyj 2 31 Wartsila Oyj 2 38 Wesfarmers Ltd. 12 379 5,107 Media - 1.9% Amoldo Mondadori Editore SpA 4 43 Antena 3 Television SA (b) 1 46 British Sky Broadcasting Plc 41 439 Daily Mail & General Trust 10 138 EMAP Plc 8 130 Eniro AB 5 56 Fuji Television Network Inc. - 13 Gruppo Editoriale L'Espresso SpA 5 30 Independent News & Media Plc 18 58 ITV Plc 131 264 John Fairfax Holdings Ltd. 29 102 Lagardere S.C.A. 4 300 Mediaset SpA 19 238 Modern Times Group AB (b) 2 41 Pearson Plc 26 313 Promotora de Informaciones SA (Prisa) 3 55 ProSieben Sat.1 Media AG 3 51 Publishing & Broadcasting Ltd. 4 62 Reed Elsevier NV 23 309 Reed Elsevier Plc 40 371 Reuters Group Plc 46 336 Schibsted ASA 2 46 SCMP Group Ltd. 20 8 Seat Pagine Gialle SpA (b) 174 80 Singapore Press Holdings Ltd. 51 144 Sky Network Television Ltd. (b) 2 11 Societe Television Francaise 1 4 118 Sogecable SA (b) 1 49 Television Broadcasts Ltd. 10 46 Tokyo Broadcasting System Inc. 1 15 Trinity Mirror Plc 9 112 United Business Media Plc 11 101 Vivendi Universal SA (b) 33 1,039 VNU NV 8 227 Wolters Kluwer NV 9 186 Yell Group Plc 22 188 5,765 Metal Fabrication & Hardware - 0.2% Assa Abloy AB - Class B 10 162 Hoganas AB 1 19 NSK Ltd. 14 70 NTN Corp. 14 80 SKF AB 3 129 460 Mining - 1.9% Alumina Ltd. 37 171 Anglo American Plc 45 1,072 BHP Billiton Ltd. 117 1,410 BHP Billiton Plc 79 926 Dowa Mining Co. Ltd. 8 52 Iluka Resources Ltd. 6 30 Mitsubishi Materials Corp. 28 59 Mitsui Mining & Smelting Co. Ltd. 19 84 Newcrest Mining Ltd. 10 139 Nippon Light Metal Co. Ltd. 13 33 Outokumpu Oyj 3 53 Rio Tinto Ltd. 10 303 Rio Tinto Plc 34 1,006 Sumitomo Metal Mining Co. Ltd. 16 114 Umicore 1 74 WMC Resources Ltd. 38 213 5,739 Office & Business Equipment - 0.7% Canon Inc. 27 1,457 OCE NV 2 34 Ricoh Co. Ltd. 22 424 Seiko Epson Corp. 3 147 2,062 Office Furnishings - 0.0% Kokuyo Co. Ltd. 2 25 Oil & Gas Producers - 7.7% BG Group Plc 113 768 BP Plc 695 6,774 ENI-Ente Nazionale Idrocarburi SpA 83 2,084 Hellenic Petroleum SA 4 40 Lundin Petroleum AB (b) 6 32 Nippon Mining Holdings Inc. 25 115 Nippon Oil Corp. 42 269 Norsk Hydro ASA 5 365 OMV AG - 129 Origin Energy Ltd. 22 119 Repsol YPF SA 29 762 Royal Dutch Petroleum Co. - NYS 67 3,838 Santos Ltd. 20 130 Shell Transport & Trading Co. Plc 308 2,625 Showa Shell Sekiyu KK 5 48 Statoil ASA 17 270 Teikoku Oil Co. Ltd. 6 33 TonenGeneral Sekiyu KK 9 82 Total Fina Elf SA 19 4,110 Woodside Petroleum Ltd. 15 229 22,822 Oil & Gas Services - 0.1% IHC Caland NV 1 64 Petroleum Geo-Services ASA (b) 1 37 Smedvig ASA - Class A 1 22 Technip-Coflexip SA 1 115 238 Packaging & Containers - 0.1% Amcor Ltd. 28 160 Rexam Plc 18 159 Toyo Seikan Kaisha Ltd. 5 92 411 Pharmaceuticals - 7.0% Alfresa Holdings Corp. 1 22 Alliance Unichem Plc 8 119 Altana AG 2 144 AstraZeneca Plc 53 1,932 Celesio AG 1 88 Chugai Pharmaceutical Co. Ltd. 9 150 CSL Ltd. 6 148 Daiichi Pharmaceutical Co. Ltd. 8 175 Eisai Co. Ltd. 8 260 Elan Corp. Plc (b) 12 331 Fujisawa Pharmaceutical Co. Ltd. 9 244 GlaxoSmithKline Plc 188 4,421 H Lundbeck A/S 2 45 Kaken Pharmaceutical Co. Ltd. 2 13 Kuraya Sanseido Inc. 3 30 Kyowa Hakko Kogyo Co. Ltd. 11 83 Mayne Group Ltd. 19 63 Merck KGaA 2 107 Novartis AG 76 3,838 Novo-Nordisk A/S 8 450 Omega Pharma SA 1 29 Orion-Yhtymae Oyj 2 32 Roche Holding AG Genusschein 23 2,592 Sankyo Co. Ltd. 12 267 Sanofi-Synthelabo SA 31 2,510 Schering AG 5 399 Serono SA - Class B - 131 Shionogi & Co. Ltd. 10 138 Suzuken Co. Ltd. 2 47 Taisho Pharmaceutical Co. Ltd. 6 131 Takeda Chemical Industries Ltd. 28 1,430 UCB SA 3 142 Yamanouchi Pharmaceutical Co. Ltd. 10 381 20,892 Real Estate - 2.2% Allgreen Properties Ltd. 11 7 Ascendas Real Estate Investment Trust 30 31 British Land Co. Plc 17 286 CapitaLand Ltd. 32 42 CapitaMall Trust 21 23 Castellum AB 1 43 Centro Properties Group 24 110 CFS Gandel Retail Trust 50 62 Cheung Kong Holdings Ltd. 48 479 City Developments Ltd. 14 61 Cofinimmo SA - 26 Commonwealth Property Office Fund 40 39 Corio NV 1 78 Daito Trust Construction Co. Ltd. 3 128 DB RREFF Trust 73 76 Gecina SA 1 83 General Property Trust 66 193 Great Portland Estates Plc 3 21 Hammerson Plc 9 152 Hang Lung Properties Ltd. 44 68 Henderson Land Development Co. Ltd. 24 125 Hopewell Holdings 21 54 Hysan Development Co. Ltd. 18 38 Immofinanz Immobilien Anlagen AG (b) 8 76 ING Industrial Fund 20 34 Investa Property Group 48 85 Japan Real Estate Investment Corp. - 59 Japan Retail Fund Investment Corp. - 42 Keppel Land Ltd. 9 12 Kerry Properties Ltd. 16 34 Klepierre 1 64 Land Securities Group Plc 15 401 Lend Lease Corp. Ltd. 11 117 Leopalace21 Corp. 4 67 Liberty International Plc 7 139 Macquarie Goodman Industrial Trust 51 95 Metrovacesa SA 1 54 Mirvac Group 22 86 Mitsubishi Estate Co. Ltd. 31 363 Mitsui Fudosan Co. Ltd. 22 267 Nippon Building Fund Inc. - 77 Rodamco Europe NV 1 112 Sacyr Vallehermoso SA 3 56 Singapore Land Ltd. 5 15 Sino Land Co. 34 34 Slough Estates Plc 13 136 Stockland 41 194 Sumitomo Realty & Development Co. Ltd. 12 154 Sun Hung Kai Properties Ltd. 42 420 Tokyu Land Corp. 11 46 Unibail Holding 1 220 United Overseas Land Ltd. 12 15 Wereldhave NV 1 76 Westfield Group (b) 46 587 Wihlborgs Fastigheter AB 2 50 Wing Tai Holdings Ltd. 14 9 6,426 Retail - 2.6% Aeon Co. Ltd. 19 312 Aoyama Trading Co. Ltd. 2 52 Autobacs Seven Co. Ltd. 1 23 Autogrill SpA (b) 4 60 Boots Group Plc 24 301 Bulgari SpA 5 57 Circle K Sunkus Co. Ltd. (b) 1 33 Citizen Watch Co. Ltd. 8 77 Coles Myer Ltd. 35 268 Compagnie Financiere Richemont AG - Class A 17 556 Daimaru Inc. 6 49 D'ieteren NV - 14 Dixons Group Plc 61 179 Douglas Holding AG 1 36 Enterprise Inns Plc 11 165 FamilyMart Co. Ltd. 2 55 Fast Retailing Co. Ltd. 2 137 Folli - Follie SA 1 18 Germanos SA 1 17 Giordano International Ltd. 46 29 Grafton Group Plc (b) 6 68 GUS Plc 32 582 Hankyu Department Stores Inc. 4 29 Harvey Norman Holdings Ltd. 16 39 Hellenic Duty Free Shops SA 1 9 Hennes & Mauritz AB - Class B 15 528 HMV Group Plc 11 56 ID 5 57 Inditex SA 7 211 Isetan Co. Ltd. 6 65 Ito-Yokado Co. Ltd. 11 445 KarstadtQuelle AG 1 14 Kesa Electricals Plc 16 87 Kingfisher Plc 75 447 Lawson Inc. 2 70 Marks & Spencer Group Plc 53 349 Marui Co. Ltd. 10 129 Matsumotokiyoshi Co. Ltd. 1 28 Mitchells & Butlers Plc 16 107 Mitsukoshi Ltd. 12 58 Next Plc 8 262 Nitori Co. Ltd. 1 33 Pinault-Printemps-Redoute SA 2 218 Punch Taverns Plc 8 104 Ryohin Keikaku Co. Ltd. 1 40 Saizeriya Co. Ltd. 1 19 Seven-Eleven Japan Co. Ltd. 12 375 Shimachu Co. Ltd. 2 42 Shimamura Co. Ltd. 1 44 Signet Group Plc 53 111 Skylark Co. Ltd. 2 36 Sonae SGPS SA 30 43 Swatch Group AG 2 64 Swatch Group AG - Class B 1 156 Takashimaya Co. Ltd. 8 77 USS Co. Ltd. 1 60 Valora Holding AG - 33 Warehouse Group Ltd. 6 15 Whitbread Plc 10 160 Yamada Denki Co. Ltd. 2 101 7,809 Semiconductors - 0.6% ARM Holdings Plc 35 75 ASM Pacific Technology 5 16 ASML Holding NV (b) 15 247 Chartered Semiconductor Manufacturing Ltd. (b) 39 23 Infineon Technologies AG (b) 20 220 Micronas Semiconductor Holdings (b) 1 49 NEC Electronics Corp. 1 59 Rohm Co. Ltd. 3 352 Sanken Electric Co. Ltd. 3 39 ST Assembly Test Services Ltd. (b) 26 16 STMicroelectronics NV 19 369 Tokyo Electron Ltd. 5 333 Unaxis Holding AG - 34 1,832 Shipbuilding - 0.0% Mitsui Engineering & Shipbuilding Co. Ltd. 19 32 SembCorp Marine Ltd. 20 17 49 Software - 0.6% Business Objects SA (b) 2 54 Capcom Co. Ltd. 1 11 Dassault Systemes SA 2 91 Fuji Soft ABC Inc. 1 30 Hitachi Software Engineering Co. Ltd. 1 23 Konami Corp. 3 58 Misys Plc 17 67 Nomura Research Institute Ltd. 1 66 Oracle Corp. Japan 1 52 Sage Group Plc 41 161 SAP AG 7 1,177 1,790 Storage/Warehousing - 0.0% Mitsubishi Logistics Corp. 3 30 Telecommunications - 4.6% Belgacom SA (b) 5 224 BT Group Plc 274 1,066 Cable & Wireless Plc 78 179 Deutsche Telekom AG (b) 87 1,976 Eircom Group Plc 17 39 Elisa Communications Oyj - Class A (b) 4 66 France Telecom SA 47 1,568 Hellenic Telecommunications Organization SA 8 137 Nippon Telegraph & Telephone Corp. - 745 PCCW Ltd. 120 76 Portugal Telecom SGPS SA 26 326 PT-Multimedia SA 2 38 Royal KPN NV 64 606 Singapore Telecommunications Ltd. 213 310 Swisscom AG 1 337 TDC A/S 6 250 Tele2 AB - Class B 3 120 Telecom Corp. 62 275 Telecom Italia SpA 442 1,654 Telefonica SA 143 2,688 Telekom Austria AG 9 166 Telenor ASA 25 231 TeliaSonera AB 60 361 Telstra Corp. Ltd. 68 261 Tiscali SpA (b) 6 23 13,722 Telecommunications Equipment - 0.4% Alcatel SA (b) 39 608 Datacraft Asia Ltd. (b) 5 5 GN Store Nord 7 80 Intracom SA 3 15 Kudelski SA (b) 1 38 Marconi Corp. Plc (b) 7 71 NTT Data Corp. - 126 Oki Electric Industry Co. Ltd. (b) 18 77 Tandberg ASA 5 57 1,077 Textiles - 0.2% Kuraray Co. Ltd. 11 99 Mitsubishi Rayon Co. Ltd. 17 62 Nisshinbo Industries Inc. 5 37 Teijin Ltd. 24 104 Texwinca Holdings Ltd. 16 15 Toray Industries Inc. 37 173 Toyobo Co. Ltd. 16 39 529 Tobacco - 0.8% Altadis SA 9 396 British American Tobacco Plc 52 891 Imperial Tobacco Group Plc 23 640 Japan Tobacco Inc. - 331 Swedish Match AB 11 126 2,384 Toys & Hobbies - 0.2% Bandai Co. Ltd. 2 48 Nintendo Co. Ltd. 3 402 450 Transportation - 1.6% Amadeus Global Travel Distribution SA 11 111 Arriva Plc 6 60 Associated British Ports Holdings Plc 10 93 Central Japan Railway Co. - 261 ComfortDelGro Corp. Ltd. 51 48 Compagnie Maritime Belge SA 1 18 Dampskibsselskabet Svendborg - 289 Deutsche Post AG 14 330 DSV De Sammensluttede Vognmaend af 1 46 East Japan Railway Co. - 606 Euronav NV 1 20 Exel Plc 10 134 Firstgroup Plc 12 82 Frontline Ltd. 1 58 Golden Ocean Group Ltd. (b) 4 2 Kawasaki Kisen Kaisha Ltd. 16 103 Keihin Electric Express Railway Co. Ltd. 13 80 Keio Electric Railway Co. Ltd. 18 106 Kinki Nippon Railway Co. Ltd. 50 173 Mitsui O.S.K. Lines Ltd. 30 180 MTR Corp. 40 64 National Express Group Plc 5 74 Neptune Orient Lines Ltd. 15 28 Nippon Express Co. Ltd. 26 128 Nippon Yusen Kabushiki Kaisha 29 156 Odakyu Electric Railway Co. Ltd. 22 128 Orient Overseas International Ltd. 5 19 Peninsular and Oriental Steam Navigation Co. 24 136 Seino Transportation Co. Ltd. 4 37 SembCorp Logistics Ltd. 11 12 Ship Finance International Ltd. - 4 Singapore Post Ltd. 42 23 SMRT Corp. Ltd. 14 8 Stagecoach Group Plc 36 78 Tobu Railway Co. Ltd. 25 95 Tokyu Corp. 31 168 Toll Holdings Ltd. 8 81 TPG NV 12 327 West Japan Railway Co. - 218 Yamato Transport Co. Ltd. 13 192 4,776 Venture Capital - 0.1% 3i Group Plc 20 250 Jafco Co. Ltd. 1 54 304 Water - 0.6% Kelda Group Plc 12 147 Severn Trent Plc 11 208 Sociedad General de Aguas de Barcelona SA 2 42 Suez SA 26 687 United Utilities Plc 27 291 Veolia Environnement 8 300 1,675 Wireless Telecommunications - 4.2% Cosmote Mobile Telecommunications SA 4 77 Hutchison Telecommunications International Ltd. (b) 43 39 Mobistar SA (b) 1 85 Nokia Oyj 149 2,355 NTT DoCoMo Inc. 1 1,184 SmarTone Telecommunications Holding Ltd. 7 8 Telefonaktiebolaget LM Ericsson (b) 462 1,475 TIM SpA 118 885 Uniden Corp. 2 39 Vodafone Group Plc 2,116 5,738 11,885 Total Common Stocks (cost $235,450) 286,925 Preferred Stocks - 0.1% Auto Manufacturers - 0.1% Porsche AG - 158 Volkswagen AG 3 109 267 Healthcare - 0.0% Fresenius Medical Care AG 1 50 Total Preferred Stocks (cost $277) 317 Rights - 0.0% Food - 0.0% Colruyt SA, No strike price, Expiring 04/30/05 1 1 Household Products - 0.0% Waterford Wedgwood Plc, Strike Price 0.06 EUR, Expiring 01/25/05, 47 - Total Rights (cost $1) 1 Warrants - 0.0% Chemicals - 0.0% Kingboard Chemical Holdings Ltd., Strike Price 20.00 HKD, Expiring 12/31/06 1 1 Commercial Services - 0.0% Hopewell Highway Infrastructure, Strike Price 4.18 HKD, Expiring 08/05/06 1 - Total Warrants (cost $0) 1 Short Term Investments - 9.6% Money Market Funds - 3.2% Dreyfus Cash Management Plus, 1.98% (a) (n) 9,493 9,493 Securities Lending Collateral - 6.2% Mellon GSL Delaware Business Trust Collateral Fund (n) 18,404 18,404 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 2.21%, 03/17/05 (m) $480 478 Total Short Term Investments (cost $28,375) 28,375 Total Investments - 105.9% (cost $264,103) 315,619 Other Assets and Liabilities, Net - (5.9%) (17,471) Total Net Assets - 100% $298,148 JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 18.6% Consumer, Cyclical 17.7% Financial 16.5% Industrial 11.1% Technology 9.1% Energy 7.9% Communications 5.8% Utilities 5.6% Basic Materials 3.7% Money Market Investment 3.5% Diversified 0.4% Government 0.1% 100.0% Common Stocks - 96.3% Advertising - 0.3% Catalina Marketing Corp. 9 $ 274 Harte-Hanks Inc. 15 397 671 Aerospace & Defense - 0.5% Alliant Techsystems Inc. (b) 7 438 Sequa Corp. - Class A (b) 2 108 Titan Corp. (b) 15 244 790 Airlines - 0.4% Airtran Holdings Inc. (b) 15 158 Alaska Air Group Inc. (b) 5 161 JetBlue Airways Corp. (b) (l) 18 428 747 Apparel - 0.2% Timberland Co. - Class A (b) 6 395 Auto Parts & Equipment - 1.0% ArvinMeritor Inc. 12 275 Bandag Inc. 3 167 BorgWarner Inc. 10 540 Lear Corp. 12 746 Modine Manufacturing Co. 6 205 1,933 Banks - 5.0% Associated Banc-Corp. 23 766 Bank of Hawaii Corp. 9 476 Banknorth Group Inc. (l) 31 1,143 City National Corp. 9 613 Colonial BancGroup Inc. 24 505 Commerce Bancorp. Inc. (l) 14 899 Cullen/Frost Bankers Inc. 9 447 FirstMerit Corp. 15 432 Greater Bay Bancorp. 9 255 Hibernia Corp. 28 816 Investors Financial Services Corp. 12 590 Mercantile Bankshares Corp. 14 736 Silicon Valley Bancshares (b) 6 284 TCF Financial Corp. 25 798 Webster Financial Corp. 9 478 Westamerica Bancorp. 6 327 Wilmington Trust Corp. 12 427 9,992 Beverages - 0.7% Constellation Brands Inc. - Class A (b) 19 885 PepsiAmericas Inc. 25 521 1,406 Biotechnology - 1.2% Charles River Laboratories International Inc. (b) 11 526 Invitrogen Corp. (b) 9 631 Millennium Pharmaceuticals Inc. (b) 54 658 Protein Design Labs Inc. (b) 17 349 Vertex Pharmaceuticals Inc. (b) 14 144 2,308 Building Materials - 0.4% Martin Marietta Materials Inc. 9 463 York International Corp. 7 257 720 Chemicals - 2.8% Airgas Inc. 13 352 Albemarle Corp. 7 280 Cabot Corp. 11 425 Cabot Microelectronics Corp. (b) 4 174 Crompton Corp. 20 235 Cytec Industries Inc. 7 357 Ferro Corp. 8 175 FMC Corp. (b) 6 314 Lubrizol Corp. 12 426 Lyondell Chemical Co. (l) 43 1,238 Minerals Technologies Inc. 4 243 Olin Corp. 13 275 RPM International Inc. 21 407 Sensient Technologies Corp. 8 202 Valspar Corp. 9 459 5,562 Commercial Services - 4.1% Adesa Inc. 17 358 Alliance Data Systems Corp. (b) 14 684 Banta Corp. 4 195 Career Education Corp. (b) 18 727 ChoicePoint Inc. (b) 16 723 Corinthian Colleges Inc. (b) (l) 16 302 Deluxe Corp. 9 332 DeVry Inc. (b) 12 213 Education Management Corp. (b) 13 431 First Health Group Corp. (b) 16 306 Gartner Inc. (b) 19 236 ITT Educational Services Inc. (b) 8 388 Kelly Services Inc. - Class A 6 187 Korn/Ferry International (b) 7 137 Laureate Education Inc. (b) 9 379 Manpower Inc. 16 774 MPS Group Inc. (b) 18 224 Quanta Services Inc. (b) 20 160 Rent-A-Center Inc. (b) 14 372 Rollins Inc. 8 208 Sotheby's Holdings Inc. - Class A (b) 11 205 United Rentals Inc. (b) 13 253 Valassis Communications Inc. (b) 9 321 8,115 Computers - 3.7% BISYS Group Inc. (b) 22 354 Cadence Design Systems Inc. (b) (l) 48 662 Ceridian Corp. (b) 26 483 Cognizant Technology Solutions Corp. (b) 23 988 Diebold Inc. 13 712 DST Systems Inc. (b) (l) 15 779 Imation Corp. 6 203 Jack Henry & Associates Inc. 16 320 McData Corp. (b) 20 121 Mentor Graphics Corp. (b) 14 209 National Instruments Corp. 14 383 Reynolds & Reynolds Co. 11 304 Sandisk Corp. (b) 29 718 Storage Technology Corp. (b) 20 626 Synopsys Inc. (b) 28 545 7,407 Distribution & Wholesale - 1.1% CDW Corp. 15 978 Fastenal Co. (l) 13 828 Tech Data Corp. (b) 10 470 2,276 Diversified Financial Services - 2.4% A.G. Edwards Inc. 14 610 AmeriCredit Corp. (b) (l) 28 686 Eaton Vance Corp. (l) 12 628 IndyMac Bancorp. Inc. 11 373 Jefferies Group Inc. 10 407 LaBranche & Co. Inc. (b) (l) 10 90 Legg Mason Inc. 18 1,314 Raymond James Financial Inc. 13 408 Waddell & Reed Financial Inc. - Class A 15 353 4,869 Electric - 4.6% Alliant Energy Corp. 20 576 Aquila Inc. (b) 40 149 Black Hills Corp. 6 178 DPL Inc. 23 566 Duquesne Light Holdings Inc. (l) 13 251 Energy East Corp. 26 697 Great Plains Energy Inc. 13 402 Hawaiian Electric Industries Inc. 14 418 Idacorp Inc. 7 225 MDU Resources Group Inc. 21 559 Northeast Utilities 23 430 NSTAR 10 516 OGE Energy Corp. 16 413 Pepco Holdings Inc. (l) 33 704 PNM Resources Inc. 11 274 Puget Energy Inc. 18 438 SCANA Corp. 20 781 Sierra Pacific Resources (b) 20 213 Westar Energy Inc. 15 350 Wisconsin Energy Corp. 21 706 WPS Resources Corp. 7 333 9,179 Electrical Components & Equipment - 0.8% Ametek Inc. 12 433 Energizer Holdings Inc. (b) 13 644 Hubbell Inc. - Class B 11 565 1,642 Electronics - 1.6% Amphenol Corp. (b) 16 573 Arrow Electronics Inc. (b) 21 499 Avnet Inc. (b) 21 391 Gentex Corp. 14 509 Kemet Corp. (b) 15 133 Plexus Corp. (b) 8 98 Thomas & Betts Corp. (b) 11 323 Varian Inc. (b) 6 254 Vishay Intertechnology Inc. (b) 30 445 3,225 Engineering & Construction - 0.5% Dycom Industries Inc. (b) 9 265 Granite Construction Inc. 7 198 Jacobs Engineering Group Inc. (b) 10 479 942 Entertainment - 0.6% GTECH Holdings Corp. 21 544 International Speedway Corp. - Class A 10 503 Macrovision Corp. (b) 9 219 1,266 Environmental Control - 0.6% Republic Services Inc. 27 904 Stericycle Inc. (b) 8 370 1,274 Food - 2.7% Dean Foods Co. (b) 27 874 Hormel Foods Corp. 25 773 JM Smucker Co. 10 489 Ruddick Corp. 8 182 Smithfield Foods Inc. (b) 20 581 Tootsie Roll Industries Inc. 9 322 Tyson Foods Inc. 63 1,154 Whole Foods Market Inc. 11 1,050 5,425 Forest Products & Paper - 0.7% Bowater Inc. (l) 10 436 Longview Fibre Co. 9 158 P.H. Glatfelter Co. 8 119 Potlatch Corp. 5 260 Rayonier Inc. 9 431 1,404 Gas - 0.8% AGL Resources Inc. 13 443 Oneok Inc. 18 522 Vectren Corp. 13 362 WGL Holdings Inc. 9 265 1,592 Hand & Machine Tools - 0.2% Kennametal Inc. 7 337 Healthcare - 6.4% Apria Healthcare Group Inc. (b) 9 286 Beckman Coulter Inc. 11 729 Community Health Systems Inc. (b) 16 433 Covance Inc. (b) 11 431 Coventry Health Care Inc. (b) 16 847 Cytyc Corp. (b) 20 544 Dentsply International Inc. 14 802 Edwards Lifesciences Corp. (b) (l) 11 440 Health Net Inc. (b) 20 574 Henry Schein Inc. (b) 8 540 Hillenbrand Industries Inc. 11 611 Inamed Corp. (b) 6 398 LifePoint Hospitals Inc. (b) 7 242 Lincare Holdings Inc. (b) 18 759 Pacificare Health Systems Inc. (b) (l) 15 863 Patterson Cos. Inc. (b) (l) 24 1,055 Renal Care Group Inc. (b) 12 430 Steris Corp. (b) 12 291 Techne Corp. (b) 7 284 Triad Hospitals Inc. (b) 14 507 Universal Health Services Inc. 10 461 Varian Medical Systems Inc. (b) 24 1,043 VISX Inc. (b) 9 221 12,791 Holding Companies - Diversified - 0.4% Leucadia National Corp. (l) 13 876 Home Builders - 2.8% DR Horton Inc. 41 1,669 Hovnanian Enterprises Inc. - Class A (b) 11 537 Lennar Corp. (l) 28 1,568 Ryland Group Inc. 8 483 Thor Industries Inc. 10 376 Toll Brothers Inc. (b) (l) 13 914 5,547 Home Furnishings - 0.9% Furniture Brands International Inc. 10 244 Harman International Industries Inc. 12 1,515 1,759 Household Products - 0.8% American Greetings Corp. - Class A (l) 12 309 Blyth Inc. 7 210 Church & Dwight Co. Inc. 11 370 Scotts Co. - Class A (b) 6 428 Tupperware Corp. 11 218 1,535 Insurance - 5.2% Allmerica Financial Corp. (b) 10 312 American Financial Group Inc. 13 410 AmerUs Group Co. 7 315 Arthur J. Gallagher & Co. 16 532 Brown & Brown Inc. 12 536 Everest Re Group Ltd. 10 890 Fidelity National Financial Inc. 31 1,407 First American Corp. 16 555 HCC Insurance Holdings Inc. 12 400 Horace Mann Educators Corp. 8 146 Ohio Casualty Corp. (b) 11 256 Old Republic International Corp. 32 820 PMI Group Inc. 17 714 Protective Life Corp. 12 527 Radian Group Inc. 16 876 Stancorp Financial Group Inc. 5 416 Unitrin Inc. 12 555 W.R. Berkley Corp. 15 705 10,372 Internet - 1.2% Avocent Corp. (b) 9 354 CheckFree Corp. (b) 15 587 Macromedia Inc. (b) 12 385 McAfee Inc. (b) 28 822 RSA Security Inc. (b) 12 250 2,398 Iron & Steel - 0.2% Steel Dynamics Inc. 8 303 Leisure Time - 0.1% Callaway Golf Co. 13 173 Lodging - 1.3% Boyd Gaming Corp. 15 643 Caesars Entertainment Inc. (b) 55 1,108 Mandalay Resort Group 12 846 2,597 Machinery - 1.1% AGCO Corp. (b) 16 353 Flowserve Corp. (b) 10 264 Graco Inc. 12 461 Nordson Corp. 6 247 Tecumseh Products Co. 3 152 Zebra Technologies Corp. (b) 13 719 2,196 Manufacturing - 2.2% Brink's Co. 10 400 Carlisle Cos. Inc. 5 353 Crane Co. 10 280 Donaldson Co. Inc. 15 500 Federal Signal Corp. 9 153 Harsco Corp. 7 407 Lancaster Colony Corp. 6 274 Pentair Inc. 18 777 SPX Corp. (l) 13 541 Teleflex Inc. 7 374 Trinity Industries Inc. 8 278 4,337 Media - 2.2% Belo Corp. - Class A 20 537 Emmis Communications Corp. (b) 10 187 Entercom Communications Corp. (b) 9 318 Lee Enterprises Inc. 8 370 Media General Inc. 4 274 Reader's Digest Association Inc. - Class A 18 247 Scholastic Corp. (b) 7 254 Washington Post 2 1,670 Westwood One Inc. (b) 17 467 4,324 Metal Fabrication & Hardware - 0.5% Precision Castparts Corp. 12 756 Worthington Industries 14 276 1,032 Mining - 0.7% Arch Coal Inc. (l) 11 386 Peabody Energy Corp. 11 927 1,313 Office Furnishings - 0.4% Herman Miller Inc. 13 351 HNI Corp. 10 442 793 Oil & Gas Producers - 3.5% ENSCO International Inc. 27 853 Forest Oil Corp. (b) 10 331 Helmerich & Payne Inc. 9 304 Murphy Oil Corp. 16 1,313 Newfield Exploration Co. (b) 11 655 Noble Energy Inc. 10 644 Patterson-UTI Energy Inc. 30 577 Pioneer Natural Resources Co. 26 909 Plains Exploration & Production Co. (b) 14 356 Pogo Producing Co. 11 551 Pride International Inc. (b) 24 496 6,989 Oil & Gas Services - 2.6% Cooper Cameron Corp. (b) 10 527 FMC Technologies Inc. (b) 12 386 Grant Prideco Inc. (b) 22 438 Hanover Compressor Co. (b) 14 192 National-Oilwell Inc. (b) 15 540 Smith International Inc. (b) (l) 19 1,016 Tidewater Inc. 11 384 Varco International Inc. (b) 17 505 Weatherford International Ltd. (b) 24 1,240 5,228 Packaging & Containers - 0.5% Packaging Corp. of America 19 449 Sonoco Products Co. 17 518 967 Pharmaceuticals - 2.5% Barr Laboratories Inc. (b) 19 846 Cephalon Inc. (b) (l) 10 514 IVAX Corp. (b) 44 703 Omnicare Inc. 18 640 Par Pharmaceutical Cos. Inc. (b) 6 252 Perrigo Co. 12 211 Sepracor Inc. (b) 19 1,109 Valeant Pharmaceuticals International (l) 15 396 VCA Antech Inc. (b) 15 284 4,955 Pipelines - 1.1% Equitable Resources Inc. 11 669 National Fuel Gas Co. (l) 15 416 Questar Corp. 15 760 Western Gas Resources Inc. 13 384 2,229 Real Estate - 2.6% AMB Property Corp. 15 594 Developers Diversified Realty Corp. 19 847 Highwoods Properties Inc. 9 258 Hospitality Properties Trust 12 550 Liberty Property Trust (l) 15 655 Mack-Cali Realty Corp. 11 496 New Plan Excel Realty Trust 18 494 United Dominion Realty Trust Inc. 23 583 Weingarten Realty Investors 16 634 5,111 Retail - 8.3% 99 Cents Only Stores (b) (l) 12 199 Abercrombie & Fitch Co. - Class A 16 730 Advance Auto Parts (b) 13 572 Aeropostale Inc. (b) 10 294 American Eagle Outfitters Inc. 13 614 AnnTaylor Stores Corp. (b) 12 267 Applebees International Inc. 15 387 Barnes & Noble Inc. (b) 12 403 BJ's Wholesale Club Inc. (b) (l) 12 362 Bob Evans Farms Inc. 6 164 Borders Group Inc. 14 343 Brinker International Inc. (b) 16 561 Carmax Inc. (b) (l) 18 574 CBRL Group Inc. 9 365 Cheesecake Factory (b) 14 447 Chico's FAS Inc. (b) (l) 16 723 Claire's Stores Inc. 18 374 Copart Inc. (b) 16 422 Dollar Tree Stores Inc. (b) (l) 20 580 Foot Locker Inc. 28 746 Krispy Kreme Doughnuts Inc. (b) (l) 11 133 Michaels Stores Inc. 24 726 Neiman-Marcus Group Inc. - Class A (l) 9 624 O'Reilly Automotive Inc. (b) 10 442 Outback Steakhouse Inc. (l) 13 598 Pacific Sunwear of California (b) 13 294 Payless Shoesource Inc. (b) 12 143 Petsmart Inc. 26 918 Pier 1 Imports Inc. 16 306 Regis Corp. 8 365 Ross Stores Inc. 26 758 Ruby Tuesday Inc. 12 305 Saks Inc. (b) 25 366 Urban Outfitters Inc. (b) 14 635 Williams-Sonoma Inc. (b) 21 726 16,466 Savings & Loans - 1.3% Astoria Financial Corp. 14 543 Independence Community Bank Corp. 15 636 New York Community Bancorp. Inc. (l) 47 967 Washington Federal Inc. 14 370 2,516 Semiconductors - 2.9% Atmel Corp. (b) (l) 85 333 Credence Systems Corp. (b) 17 151 Cree Inc. (b) (l) 13 522 Cypress Semiconductor Corp. (b) (l) 22 263 Fairchild Semiconductor International Inc. - Class A (b) 21 346 Integrated Circuit Systems Inc. (b) 13 271 Integrated Device Technology Inc. (b) 18 213 International Rectifier Corp. (b) 12 522 Intersil Corp. 27 448 Lam Research Corp. (b) 24 688 Lattice Semiconductor Corp. (b) 20 111 LTX Corp. (b) 11 85 Micrel Inc. (b) 16 181 Microchip Technology Inc. 37 974 Semtech Corp. (b) 13 288 Silicon Laboratories Inc. (b) 9 325 Triquint Semiconductor Inc. (b) 24 105 5,826 Software - 2.5% Activision Inc. (b) 25 497 Acxiom Corp. 15 402 Advent Software Inc. (b) 6 122 Ascential Software Corp. (b) 10 166 Certegy Inc. 11 400 CSG Systems International Inc. (b) 9 173 Dun & Bradstreet Corp. (b) 12 745 Fair Isaac Corp. 13 460 Keane Inc. (b) 11 157 MoneyGram International Inc. 16 334 Retek Inc. (b) 9 57 SEI Investments Co. 18 769 Sybase Inc. (b) 17 336 Transaction Systems Architects Inc. (b) 7 129 Wind River Systems Inc. (b) 14 194 4,941 Telecommunications - 0.5% Cincinnati Bell Inc. (b) 44 183 Telephone & Data Systems Inc. 10 785 968 Telecommunications Equipment - 1.4% 3Com Corp. (b) 70 293 Adtran Inc. 14 271 CommScope Inc. (b) 9 177 Harris Corp. 12 731 Newport Corp. (b) 7 103 Plantronics Inc. 9 353 Polycom Inc. (b) 18 412 UTStarcom Inc. (b) (l) 20 450 2,790 Textiles - 0.5% Mohawk Industries Inc. (b) 12 1,078 Tobacco - 0.1% Universal Corp. 4 212 Transportation - 2.3% Alexander & Baldwin Inc. 8 324 C.H. Robinson Worldwide Inc. 15 841 CNF Inc. 9 456 Expeditors International of Washington Inc. (l) 19 1,051 GATX Corp. 9 253 J.B. Hunt Transport Services Inc. 14 643 Overseas Shipholding Group Inc. 7 388 Swift Transportation Co. Inc. (b) 14 297 Werner Enterprises Inc. 14 320 4,573 Water - 0.2% Aqua America Inc. 17 408 Wireless Telecommunications - 0.2% Powerwave Technologies Inc. (b) 18 151 RF Micro Devices Inc. (b) 32 222 373 Total Common Stocks (cost $162,752) 191,453 Short Term Investments - 13.3% Money Market Funds - 3.5% Dreyfus Cash Management Plus, 1.98% (a) (n) 7,049 7,049 Securities Lending Collateral - 9.7% Mellon GSL Delaware Business Trust Collateral Fund (n) 19,311 19,311 U.S. Treasury Bills - 0.1% U.S. Treasury Bill, 2.21%, 03/17/05 (m) $180 179 Total Short Term Investments (cost $26,540) 26,540 Total Investments - 109.6% (cost $189,292) 217,993 Other Assets and Liabilities, Net - (9.6%) (19,152) Total Net Assets - 100% $ 198,841 JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 20.7% Financial 20.0% Technology 12.1% Industrial 11.3% Communications 10.9% Consumer, Cyclical 9.7% Energy 6.9% Basic Materials 2.8% Utilities 2.8% Money Market Investment 2.7% Government 0.1% 100.0% Common Stocks - 96.9% Advertising - 0.2% Interpublic Group of Cos. Inc. (b) 13 $ 169 Omnicom Group Inc. 6 493 662 Aerospace & Defense - 1.5% Boeing Co. 26 1,348 General Dynamics Corp. 6 657 Goodrich Corp. 4 115 L-3 Communications Holdings Inc. 3 249 Lockheed Martin Corp. 14 770 Northrop Grumman Corp. 11 611 Raytheon Co. 14 549 Rockwell Collins Inc. 5 209 United Technologies Corp. 16 1,646 6,154 Agriculture - 0.3% Archer-Daniels-Midland Co. 20 444 Monsanto Co. 8 464 908 Airlines - 0.1% Delta Air Lines Inc. (b) (l) 4 27 Southwest Airlines Co. 24 393 420 Apparel - 0.4% Coach Inc. (b) 6 333 Jones Apparel Group Inc. 4 131 Liz Claiborne Inc. 3 138 NIKE Inc. 8 749 Reebok International Ltd. 2 71 V.F. Corp. 3 180 1,602 Auto Manufacturers - 0.6% Ford Motor Co. (l) 57 839 General Motors Corp. (l) 18 707 Navistar International Corp. (b) 2 90 PACCAR Inc. 5 440 2,076 Auto Parts & Equipment - 0.2% Cooper Tire & Rubber Co. 2 50 Dana Corp. 4 76 Delphi Corp. 17 151 Goodyear Tire & Rubber Co. (b) 5 79 Johnson Controls Inc. 6 366 Visteon Corp. 3 33 755 Banks - 6.4% AmSouth Bancorp. 11 284 Bank of America Corp. 126 5,930 Bank of New York Co. Inc. 24 813 BB&T Corp. 17 728 Comerica Inc. 5 322 Compass Bancshares Inc. 3 151 Fifth Third Bancorp. 18 842 First Horizon National Corp. 4 160 Huntington Bancshares Inc. 7 170 KeyCorp 12 420 M&T Bank Corp. 4 388 Marshall & Ilsley Corp. 7 309 Mellon Financial Corp. 13 414 National City Corp. 21 778 North Fork Bancorp. Inc. 15 423 Northern Trust Corp. 7 330 PNC Financial Services Group Inc. 9 507 Regions Financial Corp. 15 517 State Street Corp. 11 519 SunTrust Banks Inc. 11 828 Synovus Financial Corp. 9 268 US Bancorp. 59 1,837 Wachovia Corp. 50 2,619 Wells Fargo & Co. 52 3,252 Zions Bancorp. 3 195 23,004 Beverages - 2.2% Adolph Coors Co. - Class B 1 88 Anheuser-Busch Cos. Inc. 25 1,256 Brown-Forman Corp. - Class B 4 175 Coca-Cola Co. 75 3,131 Coca-Cola Enterprises Inc. 15 307 Pepsi Bottling Group Inc. 8 218 PepsiCo Inc. 53 2,742 7,917 Biotechnology - 1.1% Amgen Inc. (b) 39 2,519 Biogen Idec Inc. (b) 11 708 Chiron Corp. (b) 6 200 Genzyme Corp. (b) 7 416 Medimmune Inc. (b) 7 201 Millipore Corp. (b) 1 68 4,112 Building Materials - 0.3% American Standard Cos. Inc. (b) 7 279 Eagle Materials Inc. - 4 Masco Corp. (l) 14 497 Vulcan Materials Co. 3 166 946 Chemicals - 1.6% Air Products & Chemicals Inc. 7 413 Ashland Inc. 2 125 Dow Chemical Co. 29 1,450 E.I. du Pont de Nemours & Co. 31 1,528 Eastman Chemical Co. 2 129 Ecolab Inc. 8 283 Engelhard Corp. 4 113 Great Lakes Chemical Corp. 1 40 Hercules Inc. (b) 4 52 International Flavors & Fragrances Inc. 3 120 PPG Industries Inc. 5 360 Praxair Inc. 10 450 Rohm & Haas Co. 7 311 Sherwin-Williams Co. 4 200 Sigma-Aldrich Corp. (l) 2 125 5,699 Commercial Services - 0.9% Apollo Group Inc. (b) 6 476 Cendant Corp. 33 773 Convergys Corp. (b) 4 58 Equifax Inc. 4 110 H&R Block Inc. 5 251 McKesson Corp. 9 289 Moody's Corp. 5 408 Paychex Inc. 12 393 R.R. Donnelley & Sons Co. 7 246 Robert Half International Inc. 5 147 3,151 Computers - 4.2% Affiliated Computer Services Inc. - Class A (b) 4 241 Apple Computer Inc. (b) 12 784 Computer Sciences Corp. (b) 6 332 Dell Inc. (b) 77 3,261 Electronic Data Systems Corp. 16 372 EMC Corp. (b) 75 1,117 Gateway Inc. (b) 10 62 Hewlett-Packard Co. 94 1,962 International Business Machines Corp. 52 5,123 Lexmark International Inc. (b) 4 342 NCR Corp. (b) 3 210 Network Appliance Inc. (b) (l) 11 374 Sun Microsystems Inc. (b) 104 561 SunGard Data Systems Inc. (b) 9 244 Unisys Corp. (b) 10 102 15,087 Cosmetics & Personal Care - 2.0% Alberto-Culver Co. - Class B 3 135 Avon Products Inc. 15 572 Colgate-Palmolive Co. 17 851 Gillette Co. 31 1,399 Procter & Gamble Co. 79 4,345 7,302 Distribution & Wholesale - 0.1% Genuine Parts Co. 5 242 W.W. Grainger Inc. 3 190 432 Diversified Financial Services - 8.2% American Express Co. 40 2,227 Bear Stearns Cos. Inc. 3 325 Capital One Financial Corp. (l) 8 639 Charles Schwab Corp. 42 497 CIT Group Inc. 7 302 Citigroup Inc. 161 7,746 Countrywide Financial Corp. 18 652 E*TRADE Group Inc. (b) 12 178 Fannie Mae 30 2,137 Federated Investors Inc. 3 93 Franklin Resources Inc. 8 547 Freddie Mac 21 1,578 Goldman Sachs Group Inc. 15 1,569 Janus Capital Group Inc. 7 122 JPMorgan Chase & Co. 111 4,312 Lehman Brothers Holdings Inc. 9 745 MBNA Corp. 40 1,126 Merrill Lynch & Co. Inc. 29 1,741 Morgan Stanley 34 1,889 Providian Financial Corp. (b) 9 144 SLM Corp. 14 730 T. Rowe Price Group Inc. 4 251 29,550 Electric - 2.7% AES Corp. (b) 20 269 Allegheny Energy Inc. (b) (l) 4 75 Ameren Corp. (l) 6 308 American Electric Power Co. Inc. 12 414 Calpine Corp. (b) (l) 17 66 Centerpoint Energy Inc. 9 104 Cinergy Corp. (l) 6 238 CMS Energy Corp. (b) 6 63 Consolidated Edison Inc. (l) 7 323 Constellation Energy Group Inc. 5 229 Dominion Resources Inc. 10 703 DTE Energy Co. (l) 5 235 Duke Energy Corp. (l) 29 743 Edison International 10 330 Entergy Corp. 7 483 Exelon Corp. 21 910 FirstEnergy Corp. 10 398 FPL Group Inc. 6 436 NiSource Inc. (l) 8 179 PG&E Corp. (b) 12 407 Pinnacle West Capital Corp. 3 122 PPL Corp. 6 311 Progress Energy Inc. (l) 8 346 Public Service Enterprise Group Inc. (l) 7 376 Southern Co. (l) 23 773 TECO Energy Inc. 6 91 TXU Corp. 8 489 Xcel Energy Inc. (l) 13 230 9,651 Electrical Components & Equipment - 0.3% American Power Conversion Corp. 7 141 Emerson Electric Co. 13 920 Molex Inc. 6 169 Power-One Inc. (b) 2 16 1,246 Electronics - 0.5% Agilent Technologies Inc. (b) 15 369 Applera Corp. - Applied Biosystems Group 6 125 Fisher Scientific International (b) 3 212 Jabil Circuit Inc. (b) 6 151 PerkinElmer Inc. 4 88 Sanmina-SCI Corp. (b) 16 133 Solectron Corp. (b) 31 163 Symbol Technologies Inc. 7 124 Tektronix Inc. 3 86 Thermo Electron Corp. (b) 5 146 Waters Corp. (b) 4 164 1,761 Engineering & Construction - 0.0% Fluor Corp. (l) 3 146 Entertainment - 0.1% International Game Technology 11 363 Environmental Control - 0.2% Allied Waste Industries Inc. (b) 9 87 Waste Management Inc. 18 535 622 Food - 1.7% Albertson's Inc. 12 278 Campbell Soup Co. (l) 13 378 ConAgra Foods Inc. 17 490 General Mills Inc. 12 595 H.J. Heinz Co. 11 416 Hershey Foods Corp. 8 418 Kellogg Co. 13 580 Kroger Co. (b) 23 407 McCormick & Co. Inc. 4 155 Safeway Inc. (b) 14 275 Sara Lee Corp. 25 599 Supervalu Inc. 4 153 Sysco Corp. 20 764 WM.Wrigley Jr. Co. 7 489 5,997 Forest Products & Paper - 0.6% Georgia-Pacific Corp. 8 292 International Paper Co. 15 639 Louisiana-Pacific Corp. 3 89 MeadWestvaco Corp. 6 204 Plum Creek Timber Co. Inc. 6 224 Temple-Inland Inc. 2 113 Weyerhaeuser Co. 7 503 2,064 Gas - 0.2% KeySpan Corp. 5 189 Nicor Inc. (l) 1 46 Peoples Energy Corp. 1 59 Sempra Energy 7 264 558 Hand & Machine Tools - 0.1% Black & Decker Corp. 2 213 Snap-On Inc. 2 60 Stanley Works 3 125 398 Healthcare - 4.9% Aetna Inc. 5 594 Bausch & Lomb Inc. 2 107 Baxter International Inc. 19 665 Becton Dickinson & Co. 8 437 Biomet Inc. 8 336 Boston Scientific Corp. (b) 26 936 C.R. Bard Inc. 3 210 Guidant Corp. 10 709 HCA Inc. 13 527 Health Management Associates Inc. (l) 7 162 Humana Inc. (b) 5 140 Johnson & Johnson 92 5,840 Laboratory Corp. of America Holdings (b) 4 209 Manor Care Inc. 3 93 Medtronic Inc. 37 1,861 Quest Diagnostics Inc. 3 304 St. Jude Medical Inc. (b) 11 455 Stryker Corp. 13 604 Tenet Healthcare Corp. (b) 14 153 UnitedHealth Group Inc. 21 1,824 WellPoint Inc. (b) 9 1,007 Zimmer Holdings Inc. (b) 8 616 17,789 Home Builders - 0.2% Centex Corp. 4 218 KB Home 1 144 Pulte Homes Inc. 4 245 607 Home Furnishings - 0.0% Maytag Corp. 2 45 Whirlpool Corp. 2 136 181 Household Products - 0.6% Avery Dennison Corp. 3 200 Clorox Co. 5 272 Fortune Brands Inc. 5 351 Kimberly-Clark Corp. 15 1,016 Newell Rubbermaid Inc. (l) 8 198 2,037 Insurance - 4.4% ACE Ltd. 9 374 AFLAC Inc. 16 633 Allstate Corp. 22 1,120 AMBAC Financial Group Inc. 3 282 American International Group Inc. 81 5,310 AON Corp. 10 229 Chubb Corp. 6 462 Cigna Corp. 4 349 Cincinnati Financial Corp. 5 234 Hartford Financial Services Group Inc. 9 639 Jefferson-Pilot Corp. 4 226 Lincoln National Corp. 6 258 Loews Corp. 6 398 Marsh & McLennan Cos. Inc. 16 537 MBIA Inc. 5 285 MetLife Inc. 23 951 MGIC Investment Corp. 3 216 Principal Financial Group 10 403 Progressive Corp. 6 536 Prudential Financial Inc. 16 890 Safeco Corp. 4 210 St. Paul Cos. Inc. 21 776 Torchmark Corp. 3 186 UnumProvident Corp. 9 155 XL Capital Ltd. 4 340 15,999 Internet - 1.3% eBay Inc. (b) 21 2,384 Monster Worldwide Inc. (b) 3 112 Symantec Corp. (b) 20 509 Yahoo! Inc. (b) 42 1,599 4,604 Iron & Steel - 0.1% Allegheny Technologies Inc. 3 60 Nucor Corp. 5 263 United States Steel Corp. 3 178 501 Leisure Time - 0.5% Brunswick Corp. 3 142 Carnival Corp. (l) 20 1,142 Harley-Davidson Inc. 9 564 Sabre Holdings Corp. 4 91 1,939 Lodging - 0.4% Harrah's Entertainment Inc. 3 228 Hilton Hotels Corp. 12 277 Marriott International Inc. - Class A 7 453 Starwood Hotels & Resorts Worldwide Inc. 7 383 1,341 Machinery - 0.6% Caterpillar Inc. 11 1,043 Cummins Inc. 1 104 Deere & Co. 8 577 Rockwell Automation Inc. 6 286 2,010 Manufacturing - 5.9% 3M Co. 24 1,988 Cooper Industries Ltd. - Class A 3 190 Danaher Corp. 10 555 Dover Corp. 6 267 Eastman Kodak Co. 9 290 Eaton Corp. 5 344 General Electric Capital Corp. 328 11,960 Honeywell International Inc. 27 953 Illinois Tool Works Inc. 9 870 Ingersoll-Rand Co. - Class A 5 429 ITT Industries Inc. 3 243 Leggett & Platt Inc. 6 164 Pall Corp. 4 106 Parker Hannifin Corp. 4 284 Textron Inc. 4 322 Tyco International Ltd. 63 2,237 21,202 Media - 3.7% Clear Channel Communications Inc. 18 618 Comcast Corp. - Class A (b) 70 2,319 Dow Jones & Co. Inc. (l) 2 101 Gannett Co. Inc. 8 679 Knight-Ridder Inc. 2 156 McGraw-Hill Cos. Inc. 6 547 Meredith Corp. 1 79 New York Times Co. 4 179 News Corp Inc. 79 1,474 Time Warner Inc. (b) 142 2,755 Tribune Co. 10 420 Univision Communications Inc. (b) (l) 10 294 Viacom Inc. - Class B 54 1,969 Walt Disney Co. 64 1,770 13,360 Mining - 0.5% Alcoa Inc. 27 854 Freeport-McMoRan Copper & Gold Inc. 6 214 Newmont Mining Corp. (l) 14 619 Phelps Dodge Corp. 3 292 1,979 Office & Business Equipment - 0.2% Pitney Bowes Inc. 7 335 Xerox Corp. (b) 26 448 783 Oil & Gas Producers - 6.0% Amerada Hess Corp. 3 225 Anadarko Petroleum Corp. 8 508 Apache Corp. 10 514 Burlington Resources Inc. 12 539 ChevronTexaco Corp. 66 3,468 ConocoPhillips 21 1,853 Devon Energy Corp. 15 589 EOG Resources Inc. 4 263 Exxon Mobil Corp. 202 10,348 Kerr-McGee Corp. 5 278 Marathon Oil Corp. 11 396 Nabors Industries Ltd. (b) 5 239 Noble Corp. (b) 4 205 Occidental Petroleum Corp. 12 717 Rowan Cos. Inc. (b) 3 83 Sunoco Inc. 2 196 Transocean Inc. (b) 10 415 Unocal Corp. 8 354 Valero Energy Corp. 8 363 XTO Energy Inc. 7 250 21,803 Oil & Gas Services - 0.7% Baker Hughes Inc. 10 434 BJ Services Co. 5 226 Halliburton Co. 14 543 Schlumberger Ltd. 18 1,233 2,436 Packaging & Containers - 0.1% Ball Corp. 3 144 Bemis Co. 3 93 Pactiv Corp. (b) 5 123 Sealed Air Corp. (b) 3 135 495 Pharmaceuticals - 5.8% Abbott Laboratories 48 2,259 Allergan Inc. 4 338 AmerisourceBergen Corp. 3 201 Bristol-Myers Squibb Co. 61 1,556 Cardinal Health Inc. 13 782 Caremark Rx Inc. (b) 15 576 Eli Lilly & Co. 35 2,000 Express Scripts Inc. - Class A (b) 3 193 Forest Laboratories Inc. (b) 12 521 Gilead Sciences Inc. (b) 14 472 Hospira Inc. (b) 5 154 King Pharmaceuticals Inc. (b) 7 86 Medco Health Solutions Inc. (b) 8 349 Merck & Co. Inc. 69 2,209 Mylan Laboratories Inc. 8 138 Pfizer Inc. 234 6,300 Schering-Plough Corp. 46 961 Watson Pharmaceuticals Inc. (b) 3 110 Wyeth 42 1,773 20,978 Pipelines - 0.2% Dynegy Inc. - Class A (b) 12 55 El Paso Corp. (l) 19 199 Kinder Morgan Inc. 4 288 Williams Cos. Inc. 17 284 826 Real Estate - 0.5% Apartment Investment & Management Co. 3 108 Archstone-Smith Trust 5 195 Equity Office Properties Trust 12 362 Equity Residential 8 308 ProLogis 6 250 Simon Property Group Inc. 7 450 1,673 Retail - 6.7% Autonation Inc. (b) 9 167 Autozone Inc. (b) 3 237 Bed Bath & Beyond Inc. (b) 9 377 Best Buy Co. Inc. 10 604 Big Lots Inc. (b) 3 36 Circuit City Stores Inc. 6 94 Costco Wholesale Corp. 14 697 CVS Corp. 13 566 Darden Restaurants Inc. 5 141 Dillard's Inc. - Class A 3 67 Dollar General Corp. 10 202 Family Dollar Stores Inc. 5 157 Federated Department Stores Inc. 6 324 Gap Inc. 28 598 Home Depot Inc. 68 2,912 J.C. Penney Co. Inc. 9 375 Kohl's Corp. (b) 11 529 Limited Brands Inc. 12 285 Lowe's Cos. Inc. 24 1,402 May Department Stores Co. 9 271 McDonald's Corp. 39 1,257 Nordstrom Inc. 4 198 Office Depot Inc. (b) 9 163 OfficeMax Inc. 3 84 RadioShack Corp. 5 160 Sears Roebuck & Co. (l) 7 342 Staples Inc. 15 511 Starbucks Corp. (b) 12 779 Target Corp. 28 1,465 Tiffany & Co. 5 149 TJX Cos. Inc. 15 385 Toys "R" Us Inc. (b) 7 141 Walgreen Co. 32 1,227 Wal-Mart Stores Inc. 132 6,952 Wendy's International Inc. 3 131 Yum! Brands Inc. 9 430 24,415 Savings & Loans - 0.5% Golden West Financial Corp. 10 584 Sovereign Bancorp. Inc. 11 244 Washington Mutual Inc. 27 1,154 1,982 Semiconductors - 3.0% Advanced Micro Devices Inc. (b) (l) 11 247 Altera Corp. (b) 12 243 Analog Devices Inc. 12 438 Applied Materials Inc. (b) 53 907 Applied Micro Circuits Corp. (b) 8 32 Broadcom Corp. (b) 10 326 Freescale Semiconductor Inc. (b) 13 232 Intel Corp. 199 4,654 KLA-Tencor Corp. (b) 6 290 Linear Technology Corp. 9 367 LSI Logic Corp. (b) 12 65 Maxim Integrated Products Inc. 10 422 Micron Technology Inc. (b) (l) 19 239 National Semiconductor Corp. 11 191 Novellus Systems Inc. (b) 4 121 Nvidia Corp. (b) 5 119 PMC - Sierra Inc. (b) 5 59 QLogic Corp. (b) 3 114 Teradyne Inc. (b) 6 100 Texas Instruments Inc. 54 1,331 Xilinx Inc. 11 316 10,813 Software - 4.7% Adobe Systems Inc. 8 473 Autodesk Inc. 7 275 Automatic Data Processing Inc. 18 810 BMC Software Inc. (b) 7 138 Citrix Systems Inc. (b) 5 124 Computer Associates International Inc. 18 568 Compuware Corp. (b) 12 77 Electronic Arts Inc. (b) 9 586 First Data Corp. 27 1,139 Fiserv Inc. (b) 6 234 IMS Health Inc. 7 159 Intuit Inc. (b) (l) 6 264 Mercury Interactive Corp. (b) (l) 3 124 Microsoft Corp. 337 9,012 Novell Inc. (b) 12 79 Oracle Corp. (b) 160 2,199 Parametric Technology Corp. (b) 7 40 Siebel Systems Inc. (b) 15 163 Veritas Software Corp. (b) 14 391 16,855 Telecommunications - 2.9% Alltel Corp. 10 567 AT&T Corp. 25 475 BellSouth Corp. 57 1,575 CenturyTel Inc. 4 146 Citizens Communications Co. 10 140 Qwest Communications International Inc. (b) 58 255 SBC Communications Inc. 103 2,646 Sprint Corp. - FON Group (l) 45 1,128 Verizon Communications Inc. 86 3,479 10,411 Telecommunications Equipment - 1.6% ADC Telecommunications Inc. (b) 24 65 Andrew Corp. (b) 5 68 Avaya Inc. (b) 13 231 CIENA Corp. (b) 16 55 Cisco Systems Inc. (b) 207 3,987 Comverse Technology Inc. (b) 6 140 Corning Inc. (b) 44 514 JDS Uniphase Corp. (b) 42 134 Lucent Technologies Inc. (b) 135 508 Scientific-Atlanta Inc. 5 154 Tellabs Inc. (b) 12 106 5,962 Textiles - 0.1% Cintas Corp. 5 237 Tobacco - 1.2% Altria Group Inc. 64 3,886 Reynolds American Inc. (l) 5 364 UST Inc. 5 251 4,501 Toys & Hobbies - 0.1% Hasbro Inc. 5 102 Mattel Inc. 13 255 357 Transportation - 1.6% Burlington Northern Santa Fe Corp. 12 550 CSX Corp. 7 272 FedEx Corp. 9 926 Norfolk Southern Corp. 12 437 Ryder System Inc. 2 92 Union Pacific Corp. 8 546 United Parcel Service Inc. 35 2,980 5,803 Wireless Telecommunications - 1.2% Motorola Inc. 74 1,269 Nextel Communications Inc. (b) 35 1,045 Qualcomm Inc. 50 2,141 4,455 Total Common Stocks (cost $307,012) 350,917 Short Term Investments - 5.0% Money Market Funds - 2.7% Dreyfus Cash Management Plus, 1.98% (a) (n) 9,841 9,841 Securities Lending Collateral - 2.1% Mellon GSL Delaware Business Trust Collateral Fund (n) 7,636 7,636 U.S. Treasury Bills - 0.1% U.S. Treasury Bill, 2.21%, 03/17/05 (m) $500 498 Total Short Term Investments (cost $17,975) 17,975 Total Investments - 101.9% (cost $324,987) 368,892 Other Assets and Liabilities, Net - (1.9%) (6,808) Total Net Assets - 100% $ 362,084 JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Percentage of Total Industry Sector Investments (o) Financial 21.0% Consumer, Non-cyclical 17.2% Industrial 14.1% Consumer, Cyclical 13.2% Technology 9.3% Communications 8.1% Energy 5.0% Basic Materials 4.6% Money Market Investment 4.1% Utilities 3.2% Government 0.1% Diversified 0.1% 100.0% Common Stocks - 98.6% Advertising - 0.5% Advo Inc. 5 $ 165 APAC Customer Services Inc. (b) 2 3 Catalina Marketing Corp. 8 234 Greenfield Online Inc. (b) 1 22 Grey Global Group Inc. - 91 Marchex Inc. - Class B (b) (l) 1 13 R.H. Donnelley Corp. (b) 3 199 Sitel Corp. (b) 9 21 ValueVision Media Inc. - Class A (b) 3 38 Ventiv Health Inc. (b) 3 53 839 Aerospace & Defense - 1.4% AAR Corp. (b) 5 65 Armor Holdings Inc. (b) 4 203 BE Aerospace Inc. (b) 9 99 Curtiss-Wright Corp. 3 178 DRS Technologies Inc. (b) 4 154 Ducommun Inc. (b) 1 22 EDO Corp. 2 72 Engineered Support Systems Inc. 3 201 Esterline Technologies Corp. (b) 4 122 GenCorp Inc. 7 129 Heico Corp. 2 48 Heico Corp. - Class A - 2 Herley Industries Inc. (b) 2 32 Innovative Solutions & Support Inc. (b) 1 37 Kaman Corp. - Class A 3 39 Moog Inc. - Class A (b) 4 180 MTC Technologies Inc. (b) 1 34 Orbital Sciences Corp. (b) (l) 8 92 Sequa Corp. - Class A (b) 1 55 Teledyne Technologies Inc. (b) 5 141 Titan Corp. (b) 13 206 Triumph Group Inc. (b) 2 93 United Industrial Corp. 2 63 2,267 Agriculture - 0.1% Alico Inc. (b) 1 32 Delta & Pine Land Co. 6 156 Maui Land & Pineapple Co. Inc. (b) - 16 Tejon Ranch Co. (b) 1 49 253 Airlines - 0.6% Airtran Holdings Inc. (b) 13 136 Alaska Air Group Inc. (b) (l) 4 143 America West Holdings Corp. - Class B (b) (l) 5 36 Continental Airlines Inc. (b) (l) 10 136 Delta Air Lines Inc. (b) (l) 16 117 ExpressJet Holdings Inc. (b) 6 73 Flyi Inc. (b) (l) 6 11 Frontier Airlines Inc. (b) 5 62 Mair Holdings Inc. (b) 1 9 Mesa Air Group Inc. (b) (l) 5 36 Northwest Airlines Corp. (b) (l) 11 120 Pinnacle Airlines Corp. (b) 3 39 Republic Airways Holdings Inc. (b) 1 7 SkyWest Inc. 9 175 1,100 Alternative Energy - 0.3% Danielson Holdings Corp. (b) 7 57 FuelCell Energy Inc. (b) (l) 6 62 Headwaters Inc. (b) 5 145 KFX Inc. (b) (l) 7 97 Plug Power Inc. (b) (l) 7 43 Syntroleum Corp. (b) 4 31 435 Apparel - 0.9% Carter's Inc. (b) 1 31 Cherokee Inc. 1 33 Deckers Outdoor Corp. (b) (l) 1 61 DHB Industries Inc. (b) (l) 4 68 Guess Inc. (b) 2 25 Gymboree Corp. (b) 4 56 Hampshire Group Ltd. (b) - 6 Hartmarx Corp. (b) 3 24 Kellwood Co. 4 142 K-Swiss Inc. - Class A 4 110 Oshkosh B'Gosh Inc. - Class A 1 22 Oxford Industries Inc. 2 83 Perry Ellis International Inc. (b) 1 15 Phillips-Van Heusen 4 96 Quiksilver Inc. (b) 8 250 Russell Corp. 4 83 Skechers U.S.A. Inc. - Class A (b) 3 39 Steven Madden Ltd. (b) 2 32 Stride Rite Corp. 6 63 Warnaco Group Inc. (b) 7 150 Weyco Group Inc. - 20 Wolverine World Wide Inc. 6 191 1,600 Auto Manufacturers - 0.1% ASV Inc. (b) 1 58 Wabash National Corp. (b) 4 120 178 Auto Parts & Equipment - 1.0% Aftermarket Technology Corp. (b) 2 29 ArvinMeritor Inc. 11 235 Bandag Inc. 2 84 Collins & Aikman Corp. (b) 6 26 Commercial Vehicle Group Inc. (b) 2 33 Cooper Tire & Rubber Co. 10 214 Exide Technologies (b) 3 40 Goodyear Tire & Rubber Co. (b) (l) 23 336 Hayes Lemmerz International Inc. (b) 6 51 Keystone Automotive Industries Inc. (b) 2 55 Modine Manufacturing Co. 4 120 Noble International Ltd. 1 18 Raytech Corp. (b) 2 4 Sports Resorts International Inc. (b) 1 2 Standard Motor Products Inc. 2 28 Strattec Security Corp. (b) 1 36 Superior Industries International Inc. (l) 3 95 Tenneco Automotive Inc. (b) 6 106 Tower Automotive Inc. (b) (l) 7 17 Visteon Corp. 19 190 1,719 Banks - 8.2% 1st Source Corp. 2 43 ABC Bancorp. 2 32 Alabama National Bancorp. 2 127 Amcore Financial Inc. 4 122 AmericanWest Bancorp. (b) 1 30 Arrow Financial Corp. 1 35 Associated Banc-Corp. 1 40 Bancfirst Corp. - 38 Bancorp Inc. (b) 1 15 Bancorpsouth Inc. 12 283 BancTrust Financial Group Inc. 1 33 Bank Mutual Corp. 12 145 Bank of Granite Corp. 2 40 Bank of the Ozarks Inc. 1 50 Banner Corp. 1 45 Boston Private Financial Holdings Inc. 4 111 Bryn Mawr Bank Corp. 1 19 Camden National Corp. 1 45 Capital City Bank Group Inc. 1 60 Capital Corp. of the West 1 32 Capital Crossing Bank (b) 1 21 Capitol Bancorp. Ltd. 1 52 Cascade Bancorp. 2 47 Cathay Bancorp. Inc. 7 247 Cavalry Bancorp. Inc. (l) - 7 Center Financial Corp. 1 28 Central Coast Bancorp. (b) 1 32 Central Pacific Financial Corp. 4 154 Century Bancorp. Inc. - Class A - 12 Chemical Financial Corp. 4 155 Chittenden Corp. 7 193 Citizens Banking Corp. 7 224 City Bank Lynnwood 1 40 City Holding Co. 3 92 Coastal Financial Corp. 2 38 CoBiz Inc. 2 40 Columbia Bancorp. 1 29 Columbia Banking Systems Inc. 2 58 Community Bank 1 9 Community Bank System Inc. 4 110 Community Banks Inc. 2 43 Community Trust Bancorp. Inc. 2 57 Corus Bankshares Inc. 2 114 CVB Financial Corp. 6 148 East-West Bancorp. Inc. 8 317 EuroBancshares Inc. (b) 1 25 Exchange National Bancshares Inc. (l) 1 14 Farmers Capital Bank Corp. 1 37 Financial Institutions Inc. 1 24 First Bancorp. 5 330 First Bancorp. 2 48 First Busey Corp. - Class A 2 35 First Charter Corp. 4 116 First Citizens Banc Corp. (l) - 9 First Citizens BancShares Inc. - Class A 1 141 First Commonwealth Financial Corp. 10 156 First Community Bancorp. 2 78 First Community Bancshares Inc. 2 57 First Financial Bancorp. 5 88 First Financial Bankshares Inc. 2 94 First Financial Corp. 2 69 First Indiana Corp. 1 15 First Merchants Corp. 3 76 First Midwest Bancorp. Inc. 7 253 First National Bankshares of Florida Inc. 9 215 First Oak Brook Bancshares Inc. 1 35 First of Long Island Corp. 1 29 First Republic Bank 2 105 First State Bancorp. 1 40 FNB Corp. 8 174 Foothill Independent Bancorp. 1 12 Frontier Financial Corp. 2 91 GB&T Bancshares Inc. 2 36 German American Bancorp. 1 17 Glacier Bancorp. Inc. 4 126 Gold Bancorp. Inc. 6 86 Great Southern Bancorp. Inc. 2 53 Greater Bay Bancorp. 8 217 Greater Community Bancorp. - - Greene County Bancshares Inc. (l) 1 18 Hancock Holding Co. 4 139 Hanmi Financial Corp. 2 78 Harleysville National Corp. 4 104 Heartland Financial USA Inc. 1 30 IBERIABANK Corp. 1 61 Independent Bank Corp. 3 83 Independent Bank Corp. 2 74 Integra Bank Corp. 2 51 Interchange Financial Services Corp. 2 40 International Bancshares Corp. - 2 Irwin Financial Corp. 2 70 Lakeland Bancorp. Inc. 3 47 Lakeland Financial Corp. 1 35 Macatawa Bank Corp. 1 41 Main Street Banks Inc. 2 82 MainSource Financial Group Inc. 1 34 MB Financial Corp. 3 117 MBT Financial Corp. 2 49 Mercantile Bank Corp. 1 40 Mid-State Bancshares 4 103 Midwest Banc Holdings Inc. 2 34 Nara Bancorp. Inc. 3 56 National Bankshares Inc. (l) - 24 National Penn Bancshares Inc. 5 145 NBC Capital Corp. 1 28 NBT Bancorp. Inc. 5 127 Oak Hill Financial Inc. 1 22 Old National Bancorp. 10 259 Old Second Bancorp. Inc. 2 65 Omega Financial Corp. 2 55 Oriental Financial Group Inc. 3 73 Pacific Capital Bancorp. 7 232 Park National Corp. 2 297 Peapack Gladstone Financial Corp. 1 37 Pennrock Financial Services Corp. 1 45 Penns Woods Bancorp. Inc. - 17 Peoples Bancorp. Inc. 2 43 Peoples Holding Co. 1 42 Placer Sierra Bancshares 1 20 PrivateBancorp Inc. 2 78 Prosperity Bancshares Inc. 2 67 Provident Bankshares Corp. 5 175 R&G Financial Corp. - Class B 4 163 Republic Bancorp. Inc. 10 158 Republic Bancorp. Inc. - Class A 1 30 Riggs National Corp. 3 54 Royal Bancshares of Pennsylvania - Class A 1 16 S&T Bancorp. Inc. 4 133 S.Y. Bancorp. Inc. 2 38 Sandy Spring Bancorp. Inc. 2 86 Santander BanCorp. 1 26 SCBT Financial Corp. 1 40 Seacoast Banking Corp. 2 38 Security Bank Corp. 1 24 Shore Bancshares Inc. 1 27 Signature Bank (b) 1 29 Silicon Valley Bancshares (b) 5 233 Simmons First National Corp. - Class A 2 58 Smithtown Bancorp. Inc. 1 25 Southern Community Financial Corp. 2 23 Southside Bancshares Inc. 1 28 Southwest Bancorp. Inc. 2 38 Southwest Bancorp. of Texas Inc. 10 240 State Bancorp. Inc. 1 33 State Financial Services Corp. 1 27 Sterling Bancorp. - NYS 2 64 Sterling Bancshares Inc. 7 97 Sterling Financial Corp. 3 94 Suffolk Bancorp. 2 55 Sun Bancorp. Inc. (b) 1 36 Susquehanna Bancshares Inc. 7 168 Taylor Capital Group Inc. 1 17 Texas Capital Bancshares Inc. (b) 3 67 Texas Regional Bancshares Inc. - Class A 6 203 Tompkins Trustco Inc. 1 54 Trico Bancshares 2 40 TrustCo Bancorp. 11 150 Trustmark Corp. 7 221 UMB Financial Corp. 2 125 Umpqua Holdings Corp. 6 162 Union Bankshares Corp. 1 50 United Bankshares Inc. 6 210 United Community Banks Inc. 4 109 Univest Corp. of Pennsylvania 1 55 Unizan Financial Corp. 3 68 USB Holding Co. Inc. 2 44 Virginia Commerce Bancorp. (b) (l) 1 29 Virginia Financial Group Inc. 1 38 Washington Trust Bancorp. Inc. 2 57 WesBanco Inc. 3 89 West Bancorp. 2 43 West Coast Bancorp. 2 54 Westamerica Bancorp. 5 283 Western Sierra Bancorp. (b) 1 37 Wilshire Bancorp Inc. (b) 2 33 Wintrust Financial Corp. 3 178 Yardville National Bancorp. 1 43 14,292 Beverages - 0.1% Boston Beer Co. Inc. - Class A (b) 1 28 Coca-Cola Co. 1 33 Farmer Bros. Co. 1 23 Hansen Natural Corp. (b) 1 29 National Beverage Corp. (b) 1 6 Peet's Coffee & Tea Inc. (b) 2 49 168 Biotechnology - 2.0% Aksys Ltd. (b) (l) 1 6 Alexion Pharmaceuticals Inc. (b) 4 101 Applera Corp. - Celera Genomics Group (b) 11 152 Ariad Pharmaceuticals Inc. (b) 8 59 Avant Immunotherapeutics Inc. (b) 12 23 Axonyx Inc. (b) 8 47 Barrier Therapeutics Inc. (b) 1 17 BioCryst Pharmaceuticals Inc. (b) 2 14 Bio-Rad Laboratories Inc. - Class A (b) 3 149 Cambrex Corp. 4 108 CancerVax Corp. (b) (l) 2 26 Cell Genesys Inc. (b) (l) 7 54 Ciphergen Biosystems Inc. (b) 3 12 Corgentech Inc. (b) 1 8 CuraGen Corp. (b) (l) 7 47 Curis Inc. (b) 7 36 Cytogen Corp. (b) 2 24 Cytokinetics Inc. (b) 1 11 Decode Genetics Inc. (b) 7 56 Digene Corp. (b) 2 52 Diversa Corp. (b) 4 31 Encysive Pharmaceuticals Inc. (b) 8 83 Enzo Biochem Inc. (b) 4 71 Enzon Pharmaceuticals Inc. (b) 6 89 Exelixis Inc. (b) 9 88 Genaera Corp. (b) 9 29 Gene Logic Inc. (b) 4 14 Genelabs Technologies (b) 12 14 Genencor International Inc. (b) 1 19 Geron Corp. (b) (l) 7 55 GTx Inc. (b) 1 12 Harvard Bioscience Inc. (b) 1 3 Human Genome Sciences Inc. (b) 20 236 Illumina Inc. (b) 5 43 Immunogen Inc. (b) 6 49 Immunomedics Inc. (b) 7 20 Incyte Corp. (b) 10 102 Integra LifeSciences Holdings Corp. (b) 3 115 InterMune Inc. (b) 4 58 Keryx Biopharmaceuticals Inc. (b) 3 38 Kosan Biosciences Inc. (b) 3 21 Lexicon Genetics Inc. (b) 10 75 Lifecell Corp. (b) 4 45 Marshall Edwards Inc. (b) 1 7 Maxim Pharmaceuticals Inc. (b) (l) 4 11 Maxygen Inc. (b) 3 44 Momenta Pharmaceuticals Inc. (b) 1 7 Myogen Inc. (b) 3 23 Myriad Genetics Inc. (b) 5 103 Nanogen Inc. (b) (l) 7 53 Neose Technologies Inc. (b) 3 18 Northfield Laboratories Inc. (b) (l) 3 65 Oscient Pharmaceuticals Corp. (b) 9 34 Peregrine Pharmaceuticals Inc. (b) 14 16 Praecis Pharmaceuticals Inc. (b) 7 13 Regeneration Technologies Inc. (b) 4 37 Regeneron Pharmaceuticals Inc. (b) 5 50 Seattle Genetics Inc. (b) 5 31 Serologicals Corp. (b) 5 114 SuperGen Inc. (b) 7 52 Telik Inc. (b) 7 127 Tercica Inc. (b) 1 8 Third Wave Technologies Inc. (b) 4 34 Transkaryotic Therapies Inc. (b) 4 116 Vertex Pharmaceuticals Inc. (b) 12 127 3,402 Building Materials - 1.1% Aaon Inc. (b) 1 21 Apogee Enterprises Inc. 4 56 Comfort Systems USA Inc. (b) 6 44 Drew Industries Inc. (b) 1 35 Eagle Materials Inc. 3 241 ElkCorp. 3 104 Genlyte Group Inc. (b) 2 158 Lennox International Inc. 7 137 LSI Industries Inc. 3 33 NCI Building Systems Inc. (b) 3 107 Simpson Manufacturing Co. Inc. 6 192 Texas Industries Inc. 3 197 Trex Co. Inc. (b) 2 81 Universal Forest Products Inc. 2 104 US Concrete Inc. (b) 3 25 USG Corp. (b) (l) 5 195 York International Corp. 6 217 1,947 Chemicals - 2.7% A. Schulman Inc. 4 96 Aceto Corp. 2 45 Airgas Inc. 9 241 Albemarle Corp. 5 185 American Vanguard Corp. (l) 1 26 Arch Chemicals Inc. 3 99 Cabot Microelectronics Corp. (b) 4 152 Crompton Corp. 17 203 Cytec Industries Inc. 6 303 Ferro Corp. 6 147 FMC Corp. (b) 6 266 Georgia Gulf Corp. 4 213 Great Lakes Chemical Corp. 8 219 HB Fuller Co. 4 122 Hercules Inc. (b) 17 246 Kronos Worldwide Inc. - 20 MacDermid Inc. 4 148 Minerals Technologies Inc. 3 205 NewMarket Corp. (b) 2 37 NL Industries (b) 1 25 Octel Corp. 2 40 Olin Corp. 10 230 OM Group Inc. (b) 4 134 Omnova Solutions Inc. (b) 6 34 PolyOne Corp. (b) 13 122 Quaker Chemical Corp. 1 29 Sensient Technologies Corp. 7 171 Solutia Inc. (b) 9 10 Spartech Corp. 4 100 Stepan Co. 1 20 Symyx Technologies Inc. (b) 4 129 Terra Industries Inc. (b) (l) 7 65 The Mosaic Co. (b) 17 285 UAP Holding Corp. (b) 4 69 Valhi Inc. 1 24 W.R. Grace & Co. (b) 10 135 Wellman Inc. 5 52 Westlake Chemical Corp. 2 57 4,704 Commercial Services - 4.1% Aaron Rents Inc. 6 144 ABM Industries Inc. 6 112 ACE Cash Express Inc. (b) 1 42 Administaff Inc. (b) 3 41 Advisory Board Co. (b) 3 100 Albany Molecular Research Inc. (b) 4 40 Alderwoods Group Inc. (b) 6 70 AMN Healthcare Services Inc. (b) 2 28 Arbitron Inc. (b) 5 179 Banta Corp. 4 168 Bowne & Co. Inc. 5 87 Bright Horizons Family Solutions Inc. (b) 2 127 CDI Corp. 2 37 Central Parking Corp. 3 42 Century Business Services Inc. (b) 9 39 Charles River Associates Inc. (b) 1 69 Chemed Corp. 2 126 Clark Inc. (b) 3 39 Coinstar Inc. (b) 4 100 Consolidated Graphics Inc. (b) 2 79 Cornell Cos. Inc. (b) 2 30 Corrections Corp. of America (b) 5 216 Corvel Corp. (b) 1 25 CoStar Group Inc. (b) 2 110 CPI Corp. 1 12 Cross Country Healthcare Inc. (b) 3 61 DiamondCluster International Inc. (b) 3 47 Dollar Thrifty Automotive Group (b) 4 111 Educate Inc. (b) 3 34 Electro Rent Corp. (b) 3 36 Euronet Worldwide Inc. (b) 3 89 Exponent Inc. (b) 1 25 First Advantage Corp. - Class A (b) 1 12 First Consulting Group Inc. (b) 2 13 First Health Group Corp. (b) 14 258 Forrester Research Inc. (b) 2 36 FTI Consulting Inc. (b) (l) 6 136 Gartner Inc. (b) 8 101 Geo Group Inc. (b) 1 30 Gevity HR Inc. 4 74 Greg Manning Auctions Inc. (b) (l) 1 6 Healthcare Services Group 2 47 Heidrick & Struggles International Inc. (b) 3 88 Hooper Holmes Inc. 9 52 Hudson Highland Group Inc. (b) 1 43 Huron Consulting Group Inc. (b) 1 22 Insurance Auto Auctions Inc. (b) 1 31 Integrated Electrical Services Inc. (b) (l) 4 21 Interactive Data Corp. (b) 5 117 Intersections Inc. (b) 1 19 iPayment Holdings Inc. (b) 2 78 Jackson Hewitt Tax Service Inc. 6 143 Kelly Services Inc. - Class A 3 79 kforce Inc. (b) 4 42 Korn/Ferry International (b) 5 96 Labor Ready Inc. (b) 6 102 Landauer Inc. 1 61 Learning Tree International Inc. (b) 1 17 LECG Corp. (b) 2 34 MAXIMUS Inc. (b) 3 86 McGrath Rentcorp. 1 63 Medical Staffing Network Holdings Inc. (b) 2 16 Midas Inc. (b) 2 44 Monro Muffler Brake Inc. (b) 1 37 MPS Group Inc. (b) 16 194 Navigant Consulting Inc. (b) 7 184 NCO Group Inc. (b) 4 102 Parexel International Corp. (b) 4 78 PDI Inc. (b) 1 27 PRA International (b) 1 32 Pre-Paid Legal Services Inc. (l) 1 52 PRG-Schultz International Inc. (b) 6 31 Princeton Review Inc. (b) 2 15 Proxymed Inc. (b) 1 10 QC Holdings Inc. (b) 1 15 Quanta Services Inc. (b) 11 85 Rent-Way Inc. (b) 4 30 Resources Connection Inc. (b) 3 187 Rewards Network Inc. (b) 3 18 Rollins Inc. 3 77 SFBC International Inc. (b) 2 77 Sotheby's Holdings Inc. - Class A (b) 7 121 Source Interlink Cos. Inc. (b) 3 36 SOURCECORP Inc. (b) 2 47 Spherion Corp. (b) 9 77 Startek Inc. 2 45 Stewart Enterprises Inc. - Class A (b) 16 110 Strayer Education Inc. 2 244 TeleTech Holdings Inc. (b) 5 52 TNS Inc. (b) 1 15 United Rentals Inc. (b) 6 121 Universal Technical Institute Inc. (b) 2 82 Valassis Communications Inc. (b) 8 279 Vertrue Inc. (b) (l) 1 29 Volt Information Sciences Inc. (b) 1 33 Watson Wyatt & Co. Holdings 5 128 7,102 Computers - 3.1% 3D Systems Corp. (b) - 3 ActivCard Corp. (b) 6 54 Advanced Digital Information Corp. (b) 9 95 Agilysys Inc. 4 75 Ansoft Corp. (b) 1 22 Anteon International Corp. (b) 4 171 BISYS Group Inc. (b) 18 298 Brocade Communications Systems Inc. (b) 39 299 CACI International Inc. - Class A (b) 4 301 CapitalSource Inc. (b) 3 12 Carreker Corp. (b) 3 24 Catapult Communications Corp. (b) 1 24 Ciber Inc. (b) 8 75 Covansys Corp. (b) 3 52 Cray Inc. (b) 13 59 Cyberguard Corp. (b) (l) 2 14 Digimarc Corp. (b) 2 22 Dot Hill Systems Corp. (b) 6 50 Echelon Corp. (b) 4 34 Electronics for Imaging Inc. (b) 8 142 Factset Research Systems Inc. 3 181 Gateway Inc. (b) 34 202 Hutchinson Technology Inc. (b) 4 133 iGate Capital Corp. (b) 3 13 Imation Corp. 5 172 InFocus Corp. (b) 6 56 Integral Systems Inc. 1 22 Intergraph Corp. (b) 5 137 InterVoice Inc. (b) 5 71 Iomega Corp. (b) 7 41 Kanbay International Inc. (b) 1 34 Komag Inc. (b) 4 76 Kronos Inc. (b) 5 237 LaserCard Corp. (b) (l) 2 16 Lexar Media Inc. (b) (l) 10 82 Magma Design Automation Inc. (b) 3 43 Manhattan Associates Inc. (b) 4 106 Maxwell Technologies Inc. (b) 2 16 McData Corp. (b) 17 103 Mentor Graphics Corp. (b) 12 177 Mercury Computer Systems Inc. (b) 3 95 Micros Systems Inc. (b) 2 190 Mobility Electronics Inc. (b) 3 29 MTS Systems Corp. 3 103 Ness Technologies Inc. (b) 2 31 Netscout Systems Inc. (b) 3 24 Overland Storage Inc. (b) 2 31 PalmOne Inc. (b) (l) 6 201 Pec Solutions Inc. (b) 2 26 Perot Systems Corp. (b) 11 183 Pomeroy Computer Resources (b) 1 14 Quantum Corp. (b) 26 68 Radiant Systems Inc. (b) 1 8 RadiSys Corp. (b) 3 52 SI International Inc. (b) 1 31 Silicon Graphics Inc. (b) (l) 28 49 Silicon Storage Technology Inc. (b) 12 71 SRA International Inc. - Class A (b) 2 126 Stratasys Inc. (b) (l) 1 42 SYKES Enterprises Inc. (b) 4 25 Synaptics Inc. (b) 3 99 Synplicity Inc. (b) 2 9 Syntel Inc. 1 19 Talx Corp. 2 53 Tier Technologies Inc. - Class B (b) 3 23 Transact Technologies Inc. (b) 1 26 Tyler Technologies Inc. (b) 5 45 Xybernaut Corp. (b) (l) 19 25 5,442 Cosmetics & Personal Care - 0.1% Chattem Inc. (b) 3 83 DEL Laboratories Inc. (b) 1 27 Elizabeth Arden Inc. (b) 3 81 Inter Parfums Inc. (l) 1 10 Revlon Inc. - Class A (b) 22 50 251 Distribution & Wholesale - 0.9% Advanced Marketing Services Inc. 2 21 Aviall Inc. (b) 4 83 Beacon Roofing Supply Inc. (b) 2 40 Brightpoint Inc. (b) 3 49 Building Material Holding Corp. 2 74 Central European Distribution Corp. (b) 2 55 Handleman Co. 3 72 LKQ Corp. (b) 2 44 Navarre Corp. (b) 3 58 Nuco2 Inc. (b) (l) 1 22 Owens & Minor Inc. 6 167 ScanSource Inc. (b) 2 120 SCP Pool Corp. 8 256 United Stationers Inc. (b) 5 235 Watsco Inc. 3 119 WESCO International Inc. (b) 3 91 1,506 Diversified Financial Services - 1.4% Accredited Home Lenders Holding Co. (b) 2 117 Advanta Corp. - Class B 3 73 Affiliated Managers Group Inc. (b) 4 248 Archipelago Holdings Inc. (b) 2 34 Asset Acceptance Capital Corp. (b) 1 26 Asta Funding Inc. 1 38 BKF Capital Group Inc. 1 34 Calamos Asset Management Inc. - Class A (b) 4 95 Charter Municipal Mortgage Acceptance Co. 7 161 Cohen & Steers Inc. 1 16 Collegiate Funding Services LLC (b) 1 17 CompuCredit Corp. (b) 3 74 Credit Acceptance Corp. (b) 2 40 Education Lending Group Inc. (b) (l) 2 29 Encore Capital Group Inc. (b) 2 43 eSPEED Inc. (b) 3 43 Federal Agricultural Mortgage Corp. - Class C 1 27 Financial Federal Corp. 3 102 Gabelli Asset Management Inc. - Class A (l) 1 49 Greenhill & Co. Inc. 1 23 Investment Technology Group Inc. (b) 6 129 Knight Trading Group Inc. (b) (l) 18 192 LaBranche & Co. Inc. (b) (l) 8 73 MarketAxess Holdings Inc. (b) 1 14 Marlin Business Services Inc. (b) 1 15 Metris Cos. Inc. (b) 5 58 National Financial Partners Corp. 5 194 Nelnet Inc. (b) 1 35 Piper Jaffray Cos. (b) 3 144 Portfolio Recovery Associates Inc. (b) 2 73 Sanders Morris Harris Group Inc. 2 32 Stifel Financial Corp. (b) 1 23 SWS Group Inc. 2 51 United PanAm Financial Corp. (b) 1 17 World Acceptance Corp. (b) 2 67 2,396 Electric - 1.6% Aquila Inc. (b) 36 132 Avista Corp. 7 129 Black Hills Corp. 5 151 Calpine Corp. (b) (l) 67 264 Central Vermont Public Service Corp. 2 44 CH Energy Group Inc. 2 112 Cleco Corp. 7 145 CMS Energy Corp. (b) (l) 29 306 Duquesne Light Holdings Inc. 12 217 El Paso Electric Co. (b) 7 132 Empire District Electric Co. 4 87 Idacorp Inc. 6 194 MGE Energy Inc. 3 106 Ormat Technologies Inc. (b) 1 20 Otter Tail Corp. 4 113 PNM Resources Inc. 9 230 Sierra Pacific Resources (b) 18 186 UIL Holdings Corp. 2 94 Unisource Energy Corp. 5 120 2,782 Electrical Components & Equipment - 0.9% Advanced Energy Industries Inc. (b) 3 28 American Superconductor Corp. (b) 4 54 Artesyn Technologies Inc. (b) 5 58 Belden CDT Inc. 7 164 C&D Technologies Inc. 4 62 Capstone Turbine Corp. (b) 9 16 Cherokee International Corp. (b) 1 12 Color Kinetics Inc. (b) 1 11 Encore Wire Corp. (b) 2 30 Energy Conversion Devices Inc. (b) 3 57 EnerSys Manufactures Inc. (b) 2 29 General Cable Corp. (b) 6 81 GrafTech International Ltd. (b) 14 135 Intermagnetics General Corp. (b) 4 104 Littelfuse Inc. (b) 3 112 Magnetek Inc. (b) 3 23 Medis Technologies Ltd. (b) (l) 2 36 Powell Industries Inc. (b) 1 16 Power-One Inc. (b) 9 84 Rayovac Corp. (b) 5 155 Research Frontiers Inc. (b) (l) 1 8 Ultralife Batteries Inc. (b) 2 41 Universal Display Corp. (b) 3 28 Valence Technology Inc. (b) (l) 10 30 Vicor Corp. 3 37 Wilson Greatbatch Technologies Inc. (b) 3 72 1,483 Electronics - 2.6% Analogic Corp. 2 78 BEI Technologies Inc. 2 49 Bel Fuse Inc. - Class B 2 58 Benchmark Electronics Inc. (b) 6 206 Brady Corp. - Class A 3 172 California Micro Devices Corp. (b) 3 22 Checkpoint Systems Inc. (b) 6 103 Coherent Inc. (b) 4 136 CTS Corp. 5 73 Cubic Corp. 2 59 Cyberoptics Corp. (b) 1 16 Cymer Inc. (b) 6 164 Daktronics Inc. (b) 2 51 DDi Corp. (b) (l) 4 11 Dionex Corp. (b) 3 158 Electro Scientific Industries Inc. (b) 4 80 Excel Technology Inc. (b) 2 47 Faro Technologies Inc. (b) 2 50 FEI Co. (b) 4 77 Identix Inc. (b) 13 96 Ii-Vi Inc. (b) 2 72 Itron Inc. (b) 3 76 Keithley Instruments Inc. 2 35 Kemet Corp. (b) 13 114 LeCroy Corp. (b) 1 28 Measurement Specialties Inc. (b) 2 41 Merix Corp. (b) 2 29 Methode Electronics Inc. 5 67 Metrologic Instruments Inc. (b) 1 32 Molecular Devices Corp. (b) 2 45 Multi-Fineline Electronix Inc. (b) 1 16 OSI Systems Inc. (b) 2 51 Park Electrochemical Corp. 3 55 Paxar Corp. (b) 5 113 Photon Dynamics Inc. (b) 2 59 Planar Systems Inc. (b) 2 24 Plexus Corp. (b) 6 82 RAE Systems Inc. (b) 5 39 Rofin-Sinar Technologies Inc. (b) 2 93 Rogers Corp. (b) 2 105 SBS Technologies Inc. (b) 2 31 Sonic Solutions Inc. (b) (l) 3 64 Spatialight Inc. (b) (l) 4 31 Stoneridge Inc. (b) 2 34 Sypris Solutions Inc. 1 16 Taser International Inc. (b) (l) 7 231 Technitrol Inc. (b) 6 111 Thomas & Betts Corp. (b) 9 273 Trimble Navigation Ltd. (b) 8 251 TTM Technologies Inc. (b) 6 71 Varian Inc. (b) 5 215 Viisage Technology Inc. (b) 5 41 Watts Industries Inc. 4 116 Woodhead Industries Inc. 2 26 Woodward Governor Co. 2 109 X-Rite Inc. 3 51 Zygo Corp. (b) 2 32 4,585 Engineering & Construction - 0.6% Dycom Industries Inc. (b) 7 225 EMCOR Group Inc. (b) 2 104 Granite Construction Inc. 5 134 Infrasource Services Inc. (b) 1 17 Insituform Technologies Inc. (b) 4 90 Layne Christensen Co. (b) 2 27 Perini Corp. (b) 1 18 Shaw Group Inc. (b) 10 171 URS Corp. (b) 5 149 Washington Group International Inc. (b) 4 158 1,093 Entertainment - 1.1% Alliance Gaming Corp. (b) (l) 8 107 Argosy Gaming Co. (b) 4 183 Bluegreen Corp. (b) 3 50 Carmike Cinemas Inc. 1 44 Championship Auto Racing Teams Inc. (b) 1 - Churchill Downs Inc. 1 49 Dover Downs Gaming & Entertainment Inc. 1 15 Dover Motorsports Inc. 3 15 Empire Resorts Inc. (b) (l) 1 14 Isle of Capri Casinos Inc. (b) 2 51 Lakes Entertainment Inc. (b) 2 39 Macrovision Corp. (b) 7 191 Magna Entertainment Corp. (b) 5 33 Nevada Gold & Casinos Inc. (b) 1 15 Penn National Gaming Inc. (b) 5 292 Pinnacle Entertainment Inc. (b) 6 120 Scientific Games Corp. - Class A (b) 12 274 Shuffle Master Inc. (b) (l) 4 166 Six Flags Inc. (b) (l) 13 70 Speedway Motorsports Inc. 2 90 Steinway Musical Instruments (b) 1 26 Sunterra Corp. (b) 3 37 Vail Resorts Inc. (b) 3 66 1,947 Environmental Control - 0.6% Aleris International Inc. (b) 4 66 Calgon Carbon Corp. 5 46 Casella Waste Systems Inc. (b) 3 43 Darling International Inc. (b) 10 43 Duratek Inc. (b) 1 36 Ionics Inc. (b) 3 120 Metal Management Inc. 3 73 Mine Safety Appliances Co. 3 166 Tetra Tech Inc. (b) 8 142 TRC Cos. Inc. (b) 1 22 Waste Connections Inc. (b) 7 247 1,004 Food - 1.2% American Italian Pasta Co. (l) 2 57 Arden Group Inc. - Class A - 16 Cal-Maine Foods Inc. (l) 2 25 Chiquita Brands International Inc. 6 132 Corn Products International Inc. 6 295 Flowers Foods Inc. 5 165 Gold Kist Inc. (b) 2 30 Great Atlantic & Pacific Tea Co. Inc. (b) 2 25 Hain Celestial Group Inc. (b) 4 77 Ingles Markets Inc. - Class A 1 17 J&J Snack Foods Corp. 1 42 John B. Sanfilippo & Son (b) 1 24 Lance Inc. 4 72 M&F Worldwide Corp. (b) 1 19 MGP Ingredients Inc. 1 10 Monterey Pasta Co. (b) 1 4 Nash Finch Co. 2 71 Pathmark Stores Inc. (b) 5 27 Performance Food Group Co. (b) 7 188 Ralcorp Holdings Inc. 4 184 Ruddick Corp. 5 109 Sanderson Farms Inc. 2 67 Seaboard Corp. - 32 United Natural Foods Inc. (b) 6 185 Weis Markets Inc. 2 63 Wild Oats Markets Inc. (b) 4 36 Winn-Dixie Stores Inc. 12 54 2,026 Forest Products & Paper - 0.5% Buckeye Technologies Inc. (b) 4 55 Caraustar Industries Inc. (b) 4 71 Deltic Timber Corp. 2 64 Longview Fibre Co. 8 140 P.H. Glatfelter Co. 4 64 Pope & Talbot Inc. 2 38 Potlatch Corp. 4 225 Rock-Tenn Co. - Class A 4 64 Schweitzer-Mauduit International Inc. 2 76 Wausau-Mosinee Paper Corp. 7 120 917 Gas - 1.5% Atmos Energy Corp. (l) 12 315 Cascade Natural Gas Corp. 2 35 Energen Corp. 5 320 EnergySouth Inc. 1 28 Laclede Group Inc. 3 94 New Jersey Resources Corp. 4 182 Nicor Inc. (l) 7 244 Northwest Natural Gas Co. 4 139 Peoples Energy Corp. 6 251 Piedmont Natural Gas Co. 12 267 South Jersey Industries Inc. 2 108 Southern Union Co. (b) 10 240 Southwest Gas Corp. 5 130 WGL Holdings Inc. 7 225 2,578 Hand & Machine Tools - 0.5% Baldor Electric Co. 5 136 Franklin Electric Co. Inc. 2 103 Kennametal Inc. 5 271 Lincoln Electric Holdings Inc. 5 170 Milacron Inc. (b) 6 21 Regal-Beloit Corp. 4 108 809 Healthcare - 5.8% Abaxis Inc. (b) 3 39 Abiomed Inc. (b) (l) 2 37 Advanced Medical Optics Inc. (b) (l) 5 222 Advanced Neuromodulation Systems Inc. (b) (l) 3 117 Align Technology Inc. (b) (l) 8 83 Alliance Imaging Inc. (b) 2 23 Amedisys Inc. (b) 2 65 America Service Group Inc. (b) 2 40 American Healthways Inc. (b) 4 144 American Medical Systems Holdings Inc. (b) 4 161 AMERIGROUP Corp. (b) 4 285 Amsurg Corp. (b) 5 134 Animas Corp. (b) 1 9 Apria Healthcare Group Inc. (b) 8 247 Arrow International Inc. 3 91 Arthrocare Corp. (b) 3 103 Aspect Medical Systems Inc. (b) 2 43 Beverly Enterprises Inc. (b) 16 148 Biolase Technology Inc. (l) 3 32 Bio-Reference Labs Inc. (b) 1 23 Biosite Inc. (b) (l) 2 118 Bioveris Corp. (b) 3 24 Bruker BioSciences Corp. (b) 3 11 Candela Corp. (b) 3 34 Cardiac Science Inc. (b) 11 23 Cardiodynamics International Corp. (b) 5 26 Centene Corp. (b) 6 174 Cepheid Inc. (b) 6 60 Cerus Corp. (b) 2 5 Closure Medical Corp. (b) 1 21 Conceptus Inc. (b) (l) 4 29 CONMED Corp. (b) 4 127 CTI Molecular Imaging Inc. (b) 5 67 Cyberonics Inc. (b) 3 52 Datascope Corp. 2 66 Diagnostic Products Corp. (l) 3 187 DJ Orthopedics Inc. (b) 3 57 Encore Medical Corp. (b) 5 31 Endocardial Solutions Inc. (b) 3 37 Epix Medical Inc. (b) 3 60 Exactech Inc. (b) 1 16 E-Z-EM Inc. (b) 1 15 Foxhollow Technologies Inc. (b) 1 17 Genesis HealthCare Corp. (b) 3 103 Gentiva Health Services Inc. (b) 4 62 Haemonetics Corp. (b) 3 107 Hanger Orthopedic Group Inc. (b) 3 27 Hologic Inc. (b) 3 85 ICU Medical Inc. (b) (l) 2 44 Immucor Inc. (b) 7 156 Immunicon Corp. (b) 1 6 Intralase Corp. (b) 1 28 Intuitive Surgical Inc. (b) 5 198 Invacare Corp. 4 179 Inverness Medical Innovations Inc. (b) 2 52 IVAX Diagnostics Inc. (b) 1 4 Kensey Nash Corp. (b) (l) 1 46 Kindred Healthcare Inc. (b) 4 116 Kyphon Inc. (b) 4 92 LabOne Inc. (b) 3 81 Laserscope (b) 3 94 LCA-Vision Inc. 2 53 Lifeline Systems Inc. (b) 2 42 LifePoint Hospitals Inc. (b) 6 202 Luminex Corp. (b) 4 34 Magellan Health Services Inc. (b) 4 140 Matria Healthcare Inc. (b) 2 60 Medcath Corp. (b) 1 22 Medical Action Industries Inc. (b) 1 24 Mentor Corp. 7 224 Merge Technologies Inc. (b) (l) 2 38 Merit Medical Systems Inc. (b) 4 56 Micro Therapeutics Inc. (b) 2 8 Microtek Medical Holdings Inc. (b) 6 24 Microvision Inc. (b) (l) 3 19 Molina Healthcare Inc. (b) 2 70 National Healthcare Corp. 1 32 Novoste Corp. (b) 1 2 NuVasive Inc. (b) 1 9 Oakley Inc. 3 40 Ocular Sciences Inc. (b) 3 150 Odyssey HealthCare Inc. (b) (l) 5 74 Option Care Inc. 2 36 OraSure Technologies Inc. (b) 6 38 Orthodontic Centers of America Inc. (b) (l) 6 40 Orthologic Corp. (b) 6 36 Orthovita Inc. (b) 7 30 Palatin Technologies Inc. (b) 8 21 Palomar Medical Technologies Inc. (b) 2 44 Pediatrix Medical Group Inc. (b) 3 222 PolyMedica Corp. 4 145 Possis Medical Inc. (b) 2 34 Province Healthcare Co. (b) 7 166 PSS World Medical Inc. (b) 10 124 Psychiatric Solutions Inc. (b) 2 77 Quest Diagnostics Inc. - 1 Quidel Corp. (b) 5 24 Radiation Therapy Services Inc. (b) 1 14 Radiologix Inc. (b) 1 3 RehabCare Group Inc. (b) 3 70 Res-Care Inc. (b) 3 38 Select Medical Corp. 14 244 Sierra Health Services Inc. (b) 3 192 Sola International Inc. (b) 5 134 Sonic Innovations Inc. (b) 3 13 SonoSite Inc. (b) 2 75 Specialty Laboratories Inc. (b) 1 14 Stereotaxis Inc. (b) (l) 1 9 Steris Corp. (b) 11 249 Sunrise Senior Living Inc. (b) (l) 2 111 SurModics Inc. (b) (l) 2 69 Sybron Dental Specialties Inc. (b) 6 206 Symbion Inc. (b) 1 26 Techne Corp. (b) 6 240 ThermoGenesis Corp. (b) 7 44 Thoratec Corp. (b) 7 73 TriPath Imaging Inc. (b) 4 35 United Surgical Partners International Inc. (b) 4 178 Urologix Inc. (b) 2 14 Ventana Medical Systems Inc. (b) 2 135 Viasys Healthcare Inc. (b) 5 88 VistaCare Inc. - Class A (b) 1 21 VISX Inc. (b) 7 190 Vital Signs Inc. 1 33 Vnus Medical Technologies Inc. (b) 1 12 WellCare Health Plans Inc. (b) 1 42 West Pharmaceutical Services Inc. 4 110 Wright Medical Group Inc. (b) 4 113 Young Innovations Inc. 1 22 Zila Inc. (b) 6 27 Zoll Medical Corp. (b) 1 45 10,033 Holding Companies - Diversified - 0.1% Resource America Inc. - Class A 2 70 Walter Industries Inc. 4 119 189 Home Builders - 1.0% Beazer Homes USA Inc. (l) 2 303 Brookfield Homes Corp. 2 75 Champion Enterprises Inc. (b) 11 126 Coachmen Industries Inc. 2 38 Dominion Homes Inc. (b) 1 14 Fleetwood Enterprises Inc. (b) 8 107 Levitt Corp. - Class A 2 68 M/I Schottenstein Homes Inc. 2 99 Meritage Corp. (b) 2 182 Modtech Holdings Inc. (b) 1 6 Monaco Coach Corp. 4 82 Orleans Homebuilders Inc. (b) - 8 Palm Harbor Homes Inc. (b) (l) 1 24 Skyline Corp. 1 40 Technical Olympic USA Inc. 1 36 Thor Industries Inc. 5 201 WCI Communities Inc. (b) 5 152 William Lyon Homes Inc. (b) 1 46 Winnebago Industries (l) 4 150 1,757 Home Furnishings - 0.5% American Woodmark Corp. 2 69 Applica Inc. (b) 3 18 Bassett Furniture Industries Inc. 1 27 Digital Theater Systems Inc. (b) 2 48 Ethan Allen Interiors Inc. 5 200 Furniture Brands International Inc. 7 185 Hooker Furniture Corp. 1 23 Kimball International Inc. - Class B 3 49 La-Z-Boy Inc. 8 123 Salton Inc. (b) (l) - 1 Stanley Furniture Co. Inc. 1 38 Tempur-Pedic International Inc. (b) 3 57 Tivo Inc. (b) (l) 7 39 Universal Electronics Inc. (b) 2 35 912 Household Products - 1.1% American Greetings Corp. - Class A (l) 10 242 Blyth Inc. 4 124 Central Garden & Pet Co. (b) 3 105 CSS Industries Inc. 1 35 Ennis Business Forms 4 74 Jarden Corp. (b) 4 175 John H. Harland Co. 4 153 Libbey Inc. 2 45 Lifetime Hoan Corp. 1 14 National Presto Industries Inc. 1 31 Playtex Products Inc. (b) 5 40 Russ Berrie & Co. Inc. 1 26 Standard Register Co. 2 26 Toro Co. 3 284 Tupperware Corp. 8 163 Water Pik Technologies Inc. (b) 1 24 WD-40 Co. 2 70 Yankee Candle Co. Inc. (b) 8 250 1,881 Insurance - 2.4% 21st Century Insurance Group 3 46 Affirmative Insurance Holdings Inc. 1 24 Alfa Corp. 5 74 American Equity Investment Life Holding Co. (l) 3 34 American Physicians Capital Inc. (b) 1 44 AmerUs Group Co. 6 268 Argonaut Group Inc. (b) 4 75 Baldwin & Lyons Inc. 1 30 Bristol West Holdings Inc. 2 46 Ceres Group Inc. (b) 5 24 Citizens Inc. (b) (l) 5 30 CNA Surety Corp. (b) 2 30 Commerce Group Inc. 4 226 Crawford & Co. - Class B 2 13 Delphi Financial Group Inc. - Class A 4 171 Direct General Corp. 2 77 Donegal Group Inc. 1 23 Emc Insurance Group Inc. 1 19 Enstar Group Inc. (b) - 28 FBL Financial Group Inc. - Class A 2 52 Fidelity National Financial Inc. - 3 First Acceptance Corp. (b) 3 28 FPIC Insurance Group Inc. (b) 1 39 Great American Financial Resources Inc. 1 18 Harleysville Group Inc. 2 44 Hilb Rogal & Hamilton Co. 5 170 Horace Mann Educators Corp. 6 123 Independence Holding Co. 1 11 Infinity Property & Casualty Corp. 3 111 Kansas City Life Insurance Co. 1 24 LandAmerica Financial Group Inc. 3 146 Midland Co. 1 41 National Western Life Insurance Co. - Class A (b) - 62 Navigators Group Inc. (b) 1 35 NYMAGIC Inc. - 12 Ohio Casualty Corp. (b) 9 216 Penn-America Group Inc. 1 21 Philadelphia Consolidated Holding Co. (b) 3 180 Phoenix Cos. Inc. (l) 14 178 PMA Capital Corp. (b) 4 40 Presidential Life Corp. 3 53 ProAssurance Corp. (b) 4 151 RLI Corp. 3 139 Safety Insurance Group Inc. 2 48 Selective Insurance Group 4 183 State Auto Financial Corp. 2 53 Stewart Information Services Corp. 3 104 Tower Group Inc. 2 28 Triad Guaranty Inc. (b) 1 85 UICI 6 189 United Fire & Casualty Co. 2 72 Universal American Financial Corp. (b) 4 62 USI Holdings Corp. (b) 5 64 Vesta Insurance Group Inc. 5 18 Zenith National Insurance Corp. 2 78 4,163 Internet - 3.5% 1-800 Contacts Inc. (b) 1 25 1-800-FLOWERS.COM Inc. (b) 3 29 24/7 Real Media Inc. (b) 4 19 Agile Software Corp. (b) 8 63 Alloy Inc. (b) (l) 5 40 answerthink Inc. (b) 6 30 Aquantive Inc. (b) 7 65 Ariba Inc. (b) 10 159 AsiaInfo Holdings Inc. (b) 5 29 At Road Inc. (b) 5 35 Autobytel Inc. (b) 6 37 Blue Coat Systems Inc. (b) 2 30 Blue Nile Inc. (b) (l) 1 17 Chordiant Software Inc. (b) 11 26 CMGI Inc. (b) 67 172 CNET Networks Inc. (b) (l) 19 216 Corillian Corp. (b) 5 24 CyberSource Corp. (b) 4 29 Digital Insight Corp. (b) 5 98 Digital River Inc. (b) 5 201 Digitas Inc. (b) 11 103 DoubleClick Inc. (b) 17 129 drugstore.com inc. (b) 6 21 E.piphany Inc. (b) 12 56 Earthlink Inc. (b) 20 227 eCollege.com Inc. (b) 2 27 Entrust Inc. (b) 9 35 Equinix Inc. (b) 1 60 eResearch Technology Inc. (b) (l) 7 103 F5 Networks Inc. (b) 5 251 FindWhat.com (b) 4 66 GSI Commerce Inc. (b) 3 50 Harris Interactive Inc. (b) 8 59 HomeStore.com Inc. (b) (l) 17 52 Infospace Inc. (b) 5 231 INTAC International Inc. (b) (l) 1 13 Interchange Corp. (b) (l) 1 13 Internap Network Services Corp. (b) 25 23 Internet Capital Group Inc. (b) (l) 6 50 Internet Security Systems Inc. (b) 6 136 Interwoven Inc. (b) 6 67 Ipass Inc. (b) 6 47 iVillage Inc. (b) 5 30 J2 Global Communications Inc. (b) 3 94 Jupitermedia Corp. (b) 3 59 Keynote Systems Inc. (b) 2 33 Kintera Inc. (b) 1 9 Lionbridge Technologies Inc. (b) 7 48 LookSmart Ltd. (b) 15 32 Marketwatch.com Inc. (b) 2 32 Matrixone Inc. (b) 8 51 Motive Inc. (b) 1 9 Neoforma Inc. (b) 1 8 Net2Phone Inc. (b) 5 18 NetBank Inc. 7 73 Netratings Inc. (b) 2 32 NIC Inc. (b) 4 21 Openwave Systems Inc. (b) 10 151 Opsware Inc. (b) 9 66 Overstock.com Inc. (b) 2 121 PC-Tel Inc. (b) 3 25 PlanetOut Inc. (b) 1 12 Portal Software Inc. (b) (l) 5 12 Priceline.com Inc. (b) (l) 4 84 ProQuest Co. (b) 4 104 Provide Commerce Inc. (b) 1 26 RealNetworks Inc. (b) 17 113 Redback Networks Inc. (b) 4 23 Register.com (b) 2 15 RightNow Technologies Inc. (b) 1 15 RSA Security Inc. (b) 10 210 S1 Corp. (b) 10 94 Sapient Corp. (b) 12 92 Secure Computing Corp. (b) 5 54 Seebeyond Technology Corp. (b) 7 25 Sohu.com Inc. (b) (l) 3 58 SonicWALL Inc. (b) 9 57 Stamps.com Inc. (b) 2 39 Stellent Inc. (b) 3 26 SupportSoft Inc. (b) 6 37 Terremark Worldwide Inc. (b) 37 23 Travelzoo Inc. (b) (l) - 29 Trizetto Group Inc. (b) 5 45 Tumbleweed Communications Corp. (b) 7 23 United Online Inc. (b) 8 93 Valueclick Inc. (b) 12 159 Verity Inc. (b) 5 60 Verso Technologies Inc. (b) (l) 14 10 Vignette Corp. (b) 31 43 Vitria Technology Inc. (b) 2 7 WatchGuard Technologies Inc. (b) 5 21 WebEx Communications Inc. (b) 5 109 WebMethods Inc. (b) 7 48 Websense Inc. (b) 3 175 WebSideStory Inc. (b) 1 12 Zix Corp. (b) (l) 3 16 6,044 Investment Companies - 0.2% Apollo Investment Corp. (b) 9 138 Ares Capital Corp. 2 33 Capital Southwest Corp. - 24 Gladstone Capital Corp. (l) 1 33 Harris & Harris Group Inc. (b) 2 36 MCG Capital Corp. 5 85 NGP Capital Resources Co. (b) (l) 2 34 383 Iron & Steel - 1.0% AK Steel Holding Corp. (b) 16 237 Allegheny Technologies Inc. (l) 14 310 Carpenter Technology Corp. 4 213 Cleveland-Cliffs Inc. 2 172 Gibraltar Industries Inc. 3 82 Oregon Steel Mills Inc. (b) 5 106 Reliance Steel & Aluminum Co. 4 161 Ryerson Tull Inc. 3 53 Schnitzer Steel Industries Inc. - Class A 3 97 Steel Dynamics Inc. 5 206 Steel Technologies Inc. 1 39 Wheeling-Pittsburgh Corp. (b) 1 45 1,721 Leisure Time - 0.4% Ambassadors Group Inc. 1 41 Ambassadors Internaitonal Inc. - 8 Arctic Cat Inc. 2 53 Callaway Golf Co. (l) 10 133 Escalade Inc. 1 16 K2 Inc. (b) 6 101 Life Time Fitness Inc. (b) 2 44 Marine Products Corp. 1 32 Multimedia Games Inc. (b) 4 56 Nautilus Group Inc. 4 105 Navigant International Inc. (b) 2 24 Pegasus Solutions Inc. (b) 3 42 WMS Industries Inc. (b) 3 97 752 Lodging - 0.6% Ameristar Casinos Inc. 2 73 Aztar Corp. (b) 5 182 Boyd Gaming Corp. 7 285 Gaylord Entertainment Co. (b) 5 189 La Quinta Corp. (b) 28 258 Marcus Corp. 3 72 MTR Gaming Group Inc. (b) 3 37 1,096 Machinery - 2.0% Albany International Corp. 4 139 Applied Industrial Technologies Inc. 4 105 Astec Industries Inc. (b) 2 33 Bucyrus International Inc. Class A 2 77 Cascade Corp. 2 61 Cognex Corp. 6 169 Flowserve Corp. (b) 8 225 Gardner Denver Inc. (b) 3 109 Global Power Equipment Group Inc. (b) (l) 5 50 Gorman-Rupp Co. 1 30 IDEX Corp. (l) 8 305 Intevac Inc. (b) 2 16 JLG Industries Inc. 6 126 Joy Global Inc. 8 334 Kadant Inc. (b) 2 45 Lindsay Manufacturing Co. 2 46 Manitowoc Co. 4 167 Middleby Corp. 1 36 NACCO Industries Inc. - Class A 1 78 Nordson Corp. 4 159 Presstek Inc. (b) 4 37 Robbins & Myers Inc. 2 37 Sauer-Danfoss Inc. 2 35 Stewart & Stevenson Services Inc. 4 86 Tecumseh Products Co. 2 117 Tennant Co. 1 44 Terex Corp. (b) 7 352 Thomas Industries Inc. 2 83 UNOVA Inc. (b) 7 184 Wabtec Corp. 6 127 3,412 Manufacturing - 1.7% Actuant Corp. - Class A (b) 4 205 Acuity Brands Inc. 6 204 Ameron International Corp. 1 43 AO Smith Corp. 3 78 Applied Films Corp. (b) 2 46 Aptargroup Inc. 6 290 Barnes Group Inc. 2 61 Blount International Inc. (b) 1 12 Ceradyne Inc. (b) 2 138 Clarcor Inc. 4 210 Cuno Inc. (b) 3 154 EnPro Industries Inc. (b) 3 94 ESCO Technologies Inc. (b) 2 149 Federal Signal Corp. 7 129 Flanders Corp. (b) 2 18 Griffon Corp. (b) 4 96 Hexcel Corp. (b) 4 59 Jacuzzi Brands Inc. (b) 11 97 Lancaster Colony Corp. 4 171 Matthews International Corp. - Class A 5 178 Myers Industries Inc. 3 45 Quixote Corp. 1 23 Raven Industries Inc. 2 47 Standex International Corp. 2 51 Sturm Ruger & Co. Inc. 3 28 Tredegar Corp. 4 85 Trinity Industries Inc. (l) 6 189 2,900 Media - 1.3% 4Kids Entertainment Inc. (b) 2 45 Beasley Broadcasting Group Inc. - Class A (b) 1 15 Charter Communications Inc. (b) (l) 40 89 Courier Corp. 1 52 Crown Media Holdings Inc. (b) 2 19 Cumulus Media Inc. - Class A (b) 7 113 Emmis Communications Corp. (b) 7 141 Entravision Communications Corp. (b) 7 59 Fisher Communications Inc. (b) 1 48 Gray Television Inc. 7 102 Hollinger International Inc. 8 132 Insight Communications Co. Inc. (b) 7 61 Journal Communications Inc. Class A 3 54 Journal Register Co. (b) 6 122 Liberty Corp. 2 105 Lin TV Corp. - Class A (b) 4 75 Lodgenet Entertainment Corp. (b) 2 36 Martha Stewart Living Omnimedia Inc. (b) (l) 2 52 Mediacom Communications Corp. (b) 10 61 Nexstar Broadcasting Group Inc. - Class A (b) 2 15 Paxson Communications Corp. (b) 6 8 Playboy Enterprises Inc. - Class B (b) 3 35 PRIMEDIA Inc. (b) 20 76 Pulitzer Inc. 1 82 Reader's Digest Association Inc. - Class A 15 207 Regent Communications Inc. (b) 5 28 Saga Communications Inc. (b) 2 42 Salem Communications Corp. - Class A (b) 1 37 Scholastic Corp. (b) 5 170 Sinclair Broadcast Group Inc. - Class A 7 61 Spanish Broadcasting System Inc. (b) 5 56 Thomas Nelson Inc. 1 34 Value Line Inc. - 8 World Wrestling Entertainment Inc. 2 23 Young Broadcasting Inc. (b) 2 26 2,289 Metal Fabrication & Hardware - 0.6% CIRCOR International Inc. 2 54 Commercial Metals Co. 4 221 Intermet Corp. (l) 1 - Kaydon Corp. 4 142 Lawson Products Inc. 1 35 Metals USA Inc. (b) 3 56 Mueller Industries Inc. 5 171 NN Inc. 2 32 NS Group Inc. (b) 3 74 Penn Engineering & Manufacturing Corp. 2 29 Quanex Corp. 2 169 Valmont Industries Inc. 2 55 1,038 Mining - 0.5% Amcol International Corp. 3 65 Brush Engineered Materials Inc. (b) 3 49 Century Aluminum Co. (b) 3 74 Coeur D'alene Mines Corp. (b) 36 142 Compass Minerals International Inc. 2 56 Hecla Mining Co. (b) 17 101 Royal Gold Inc. 2 45 RTI International Metals Inc. (b) 3 67 Stillwater Mining Co. (b) 6 69 Titanium Metals Corp. (b) 1 24 USEC Inc. 12 118 810 Office & Business Equipment - 0.1% General Binding Corp. (b) 1 10 Global Imaging Systems Inc. (b) 3 138 Imagistics International Inc. (b) 2 83 231 Office Furnishings - 0.0% Compx International Inc. - 7 Interface Inc. (b) 7 66 Virco Manufacturing Corp. (b) 1 5 78 Oil & Gas Producers - 3.4% Atlas America Inc. (b) (l) - 11 Atwood Oceanics Inc. (b) 2 93 Berry Petroleum Co. - Class A 3 130 Brigham Exploration Co. (b) 3 31 Cabot Oil & Gas Corp. 5 219 Callon Petroleum Co. (b) 2 25 Cheniere Energy Inc. (b) 4 242 Cimarex Energy Co. (b) 6 235 Clayton Williams Energy Inc. (b) 1 17 Comstock Resources Inc. (b) 5 116 Crosstex Energy Inc. (l) - 17 Delta Petroleum Corp. (b) (l) 3 42 Denbury Resources Inc. (b) 8 226 Edge Petroleum Corp. (b) 2 26 Encore Acquisition Co. (b) 4 127 Energy Partners Ltd. (b) 4 75 Forest Oil Corp. (b) 8 241 Frontier Oil Corp. 4 103 FX Energy Inc. (b) (l) 5 54 Giant Industries Inc. (b) 2 42 Grey Wolf Inc. (b) 28 149 Harvest Natural Resources Inc. (b) 5 91 Helmerich & Payne Inc. 8 259 Holly Corp. 3 87 Houston Exploration Co. (b) 2 110 KCS Energy Inc. (b) 7 107 Magnum Hunter Resources Inc. (b) 13 169 McMoRan Exploration Co. (b) (l) 3 49 Meridian Resource Corp. (b) 9 57 Mission Resources Corp. (b) 6 36 Parker Drilling Co. (b) 14 53 Penn Virginia Corp. 3 112 Petroleum Development Corp. (b) 2 94 Plains Exploration & Production Co. (b) 12 302 Quicksilver Resources Inc. (b) 4 159 Range Resources Corp. 10 208 Remington Oil & Gas Corp. (b) (l) 3 89 Southwestern Energy Co. (b) 5 275 Spinnaker Exploration Co. (b) 4 130 St. Mary Land & Exploration Co. 4 179 Stone Energy Corp. (b) 3 157 Swift Energy Co. (b) (l) 4 123 Tesoro Petroleum Corp. (b) 10 316 Todco - Class A (b) 2 31 Unit Corp. (b) 6 212 Vintage Petroleum Inc. 8 173 Whiting Petroleum Corp. (b) 4 120 5,919 Oil & Gas Services - 1.4% CAL Dive International Inc. (b) 6 233 CARBO Ceramics Inc. 2 135 Dril-Quip Inc. (b) 1 22 Global Industries Ltd. (b) 12 99 Gulf Island Fabrication Inc. 1 24 Hanover Compressor Co. (b) 12 164 Hornbeck Offshore Services Inc. (b) 1 17 Hydril Co. (b) 2 107 Input/Output Inc. (b) 9 83 Key Energy Services Inc. (b) 20 232 Lone Star Technologies Inc. (b) 4 145 Lufkin Industries Inc. 1 41 Matrix Service Co. (b) (l) 3 20 Maverick Tube Corp. (b) 6 194 Newpark Resources Inc. (b) 12 64 Oceaneering International Inc. (b) 4 137 Oil States International Inc. (b) 4 83 RPC Inc. 2 38 Seacor Smit Inc. (b) 3 149 Superior Energy Services Inc. (b) 8 126 Tetra Technologies Inc. (b) 3 95 Universal Compression Holdings Inc. (b) 3 91 Veritas DGC Inc. (b) 5 114 W-H Energy Services Inc. (b) 4 82 2,495 Packaging & Containers - 0.4% Anchor Glass Container Corp. 1 7 Chesapeake Corp. 3 79 Crown Holdings Inc. (b) 25 342 Graphic Packaging Corp. (b) 10 71 Greif Inc. - Class A 2 109 Silgan Holdings Inc. 2 99 707 Pharmaceuticals - 3.3% Abgenix Inc. (b) 12 128 Able Laboratories Inc. (b) 3 60 Accelrys Inc. (b) 4 28 Adolor Corp. (b) 6 55 Advancis Pharmaceutical Corp. (b) 1 5 Alkermes Inc. (b) 14 191 Alpharma Inc. 6 97 Antigenics Inc. (b) (l) 4 39 Array Biopharma Inc. (b) 5 47 Atherogenics Inc. (b) (l) 6 133 Bentley Pharmaceuticals Inc. (b) 2 24 Bioenvision Inc. (b) 4 33 BioMarin Pharmaceuticals Inc. (b) 10 61 Bone Care International Inc. (b) 2 65 Bradley Pharmaceuticals Inc. (b) (l) 2 39 Caraco Pharmaceutical Laboratories Inc. (b) 2 14 Cell Therapeutics Inc. (b) (l) 9 74 Connetics Corp. (b) 5 116 Corcept Therapeutics Inc. (b) 1 4 Corixa Corp. (b) 9 33 Cubist Pharmaceuticals Inc. (b) 8 90 CV Therapeutics Inc. (b) 5 117 Cypress Bioscience Inc. (b) 5 63 Dendreon Corp. (b) (l) 9 95 Depomed Inc. (b) 3 17 Discovery Laboratories Inc. (b) 7 55 Dov Pharmaceutical Inc. (b) (l) 2 40 Durect Corp. (b) (l) 5 16 Dusa Pharmaceuticals Inc. (b) 2 30 Dyax Corp. (b) 4 30 Dynavax Technologies Corp. (b) 1 6 First Horizon Pharmaceutical Corp. (b) 4 88 Genta Inc. (b) (l) 8 15 Guilford Pharmaceuticals Inc. (b) 7 33 HealthExtras Inc. (b) 3 45 Hollis-Eden Pharmaceuticals Inc. (b) 2 20 Idenix Pharmaceuticals Inc. (b) 1 15 I-Flow Corp. (b) 3 49 Impax Laboratories Inc. (b) 7 116 Indevus Pharmaceuticals Inc. (b) 6 37 Inkine Pharmaceutical Co. (b) 7 40 Inspire Pharmaceuticals Inc. (b) 6 102 Isis Pharmaceuticals Inc. (b) 8 46 Isolagen Inc. (b) 3 24 Ista Pharmaceuticals Inc. (b) 1 12 Kos Pharmaceuticals Inc. (b) 2 64 KV Pharmaceutical Co. - Class A (b) 5 119 Lannett Co. Inc. (b) 1 7 Ligand Pharmaceuticals Inc. - Class B (b) (l) 11 130 Mannatech Inc. 2 38 MannKind Corp. (b) (l) 2 30 Medarex Inc. (b) (l) 12 129 Medicines Co. (b) (l) 7 209 Nabi Biopharmaceuticals (b) 9 128 Nature's Sunshine Products Inc. 2 33 NeighborCare Inc. (b) 5 155 Neopharm Inc. (b) (l) 3 32 Neurogen Corp. (b) 4 34 NitroMed Inc. (b) 2 45 Noven Pharmaceuticals Inc. (b) 4 61 NPS Pharmaceuticals Inc. (b) 6 102 Nutraceutical International Corp. (b) 1 18 Nuvelo Inc. (b) 4 40 Omega Protein Corp. (b) 1 6 Onyx Pharmaceuticals Inc. (b) (l) 5 169 Pain Therapeutics Inc. (b) 5 33 Par Pharmaceutical Cos. Inc. (b) 5 215 Penwest Pharmaceuticals Co. (b) 2 28 Perrigo Co. 10 164 PetMed Express Inc. (b) 2 12 Pharmacyclics Inc. (b) 3 28 Pharmion Corp. (b) 2 93 Pharmos Corp. (b) 14 20 Pozen Inc. (b) 3 23 Priority Healthcare Corp. (b) 4 95 Progenics Pharmaceuticals Inc. (b) 2 30 Renovis Inc. (b) 1 12 Rigel Pharmaceuticals Inc. (b) 2 39 Salix Pharmaceuticals Ltd. (b) 5 96 Santarus Inc. (b) 1 11 Sciclone Pharmaceuticals Inc. (b) 6 23 Star Scientific Inc. (b) 4 21 Tanox Inc. (b) 3 53 Trimeris Inc. (b) 2 31 United Therapeutics Corp. (b) 3 127 Usana Health Sciences Inc. (b) 2 56 Valeant Pharmaceuticals International (l) 13 332 Vicuron Pharmaceuticals Inc. (b) 8 131 Vion Pharmaceuticals Inc. (b) 9 40 Virbac Corp. (b) (l) 1 2 Vivus Inc. (b) 4 18 Zymogenetics Inc. (b) 3 67 5,796 Pipelines - 0.0% Transmontaigne Inc. (b) 3 19 Real Estate - 7.4% Aames Investment Corp. 5 56 Acadia Realty Trust 4 64 Affordable Residential Communities 4 53 Alexander's Inc. (b) - 66 Alexandria Real Estate Equities Inc. 3 216 American Campus Communities Inc. 2 40 American Financial Realty Trust 17 267 American Home Mortgage Investment Corp. 5 175 AMLI Residential Properties 4 119 Anthracite Capital Inc. 8 100 Anworth Mortgage Asset Corp. (l) 7 73 Arbor Realty Trust Inc. 1 29 Ashford Hospitality Trust Inc. 3 34 Avatar Holdings Inc. (b) (l) 1 35 Bedford Property Investors 2 64 Bimini Mortgage Management, Inc. 3 48 BioMed Realty Trust Inc. 5 105 Brandywine Realty Trust 7 212 Capital Automotive REIT 6 200 Capital Lease Funding Inc. 3 43 Capital Trust Inc. - Class A 2 52 Capstead Mortgage Corp. (l) 3 28 CarrAmerica Realty Corp. 8 271 CB Richard Ellis Group Inc. (b) 4 129 Cedar Shopping Centers Inc. 3 36 Colonial Properties Trust 3 112 Commercial Net Lease Realty 8 161 Consolidated-Tomoka Land Co. 1 38 Cornerstone Realty Income Trust Inc. 7 74 Corporate Office Properties Trust 6 164 Correctional Properties Trust 2 49 Cousins Properties Inc. 5 160 CRT Properties Inc. 5 113 Digital Realty Trust Inc. 3 39 Eastgroup Properties Inc. 3 123 Entertainment Properties Trust 4 173 Equity Inns Inc. 7 87 Equity Lifestyle Properties Inc. 3 99 Equity One Inc. 5 123 Essex Property Trust Inc. 3 289 Extra Space Storage Inc. 3 43 FelCor Lodging Trust Inc. (b) 7 107 First Industrial Realty Trust Inc. 6 254 Gables Residential Trust 4 159 Getty Realty Corp. 3 76 Glenborough Realty Trust Inc. 4 87 Glimcher Realty Trust 5 145 Global Signal Inc. 2 41 GMH Communities Trust 5 65 Government Properties Trust Inc. 3 27 Gramercy Capital Corp. 2 31 Healthcare Realty Trust Inc. 7 293 Heritage Property Investment Trust (l) 4 133 Highland Hospitality Corp. 5 60 Highwoods Properties Inc. 8 225 Home Properties of NY Inc. 5 212 HomeBanc Corp. 5 48 IMPAC Mortgage Holdings Inc. 11 255 Innkeepers USA Trust 5 71 Investors Real Estate Trust 7 70 Jones Lang LaSalle Inc. (b) 5 182 Kilroy Realty Corp. 4 183 Kite Realty Group Trust 3 43 Kramont Realty Trust 4 83 LaSalle Hotel Properties 4 130 Lexington Corporate Properties Trust 7 164 LNR Property Corp. 3 164 LTC Properties Inc. 2 43 Luminent Mortgage Capital Inc. 6 67 Maguire Properties Inc. 5 137 Meristar Hospitality Corp. (b) 13 107 MFA Mortgage Investments Inc. 12 104 Mid-America Apartment Communities Inc. 3 113 Mission West Properties 3 30 MortgageIT Holdings Inc. 2 36 National Health Investors Inc. 3 100 Nationwide Health Properties Inc. 10 237 New Century Financial Corp. (l) 6 381 Newcastle Investment Corp. 5 172 Novastar Financial Inc. (l) 4 203 Omega Healthcare Investors Inc. 8 90 Origen Financial Inc. 1 7 Parkway Properties Inc. 2 81 Pennsylvania Real Estate Investment Trust 5 202 Post Properties Inc. 6 210 Prentiss Properties Trust 7 255 PS Business Parks Inc. 2 105 RAIT Investment Trust 4 105 Ramco-Gershenson Properties Trust 2 66 Reading International Inc. (b) 2 17 Realty Income Corp. 6 303 Redwood Trust Inc. 3 163 Saul Centers Inc. 2 64 Saxon Capital Inc. 8 180 Senior Housing Properties Trust 8 153 Sovran Self Storage Inc. 2 98 Strategic Hotel Capital Inc. 3 50 Summit Properties Inc. 4 138 Sun Communities Inc. 2 97 Sunstone Hotel Investors Inc. 3 66 Tanger Factory Outlet Centers Inc. 4 110 Tarragon Realty Investors Inc. (b) (l) 1 16 Taubman Centers Inc. 7 223 Town & Country Trust 3 72 Trammell Crow Co. (b) 5 91 Universal Health Realty Income Trust 2 56 Urstadt Biddle Properties Inc. - Class A 3 53 US Restaurants Properties Inc. 3 58 U-Store-It Trust 4 76 Washington Real Estate Investment Trust 6 211 Winston Hotels Inc. 4 42 ZipRealty Inc. (b) 1 13 12,871 Retail - 5.7% 99 Cents Only Stores (b) (l) 7 120 AC Moore Arts & Crafts Inc. (b) 2 58 Aeropostale Inc. (b) 8 246 America's Car Mart Inc. (b) 1 30 Asbury Automotive Group Inc. (b) 2 23 Bebe Stores Inc. 1 37 Big 5 Sporting Goods Corp. 3 91 BJ's Restaurants Inc. (b) 2 23 Blair Corp. 1 46 Bob Evans Farms Inc. 5 136 Bombay Co. Inc. (b) 5 28 Brookstone Inc. (b) 3 55 Brown Shoe Co. Inc. 3 82 Buckle Inc. 1 34 Buffalo Wild Wings Inc. (b) 1 28 Build-A-Bear Workshop Inc. (b) 1 49 Burlington Coat Factory Warehouse Corp. 3 63 Cache Inc. (b) 1 24 California Pizza Kitchen Inc. (b) 3 66 Casey's General Stores Inc. 8 137 Cash America International Inc. 4 125 Casual Male Retail Group Inc. (b) (l) 4 23 Cato Corp. - Class A 3 85 CBRL Group Inc. (l) 8 314 CEC Entertainment Inc. (b) 6 224 Charlotte Russe Holding Inc. (b) 2 16 Charming Shoppes Inc. (b) 17 163 Children's Place Retail Stores Inc. (b) 3 93 Christopher & Banks Corp. (l) 6 105 CKE Restaurants Inc. (b) 8 114 Coldwater Creek Inc. (b) 3 103 Conn's Inc. (b) 1 17 Cosi Inc. (b) 3 18 Cost Plus Inc. (b) 3 102 CSK Auto Corp. (b) 7 114 Dave & Buster's Inc. (b) 2 35 DEB Shops Inc. 1 14 Design Within Reach Inc. (b) 1 9 Dick's Sporting Goods Inc. (b) (l) 5 161 Domino's Pizza Inc. 4 62 Dress Barn Inc. (b) 3 54 Electronics Boutique Holdings Corp. (b) 2 76 Factory 2-U Stores Inc. (b) (l) - - Finish Line - Class A 6 101 First Cash Financial Services Inc. (b) 2 45 Footstar Inc. (b) (l) 2 8 Fred's Inc. 6 100 GameStop Corp. (b) 2 45 Gamestop Corp. (b) 3 69 Gander Mountain Co. (b) 1 12 Genesco Inc. (b) 3 103 Goody's Family Clothing Inc. 3 24 Group 1 Automotive Inc. (b) 3 89 Guitar Center Inc. (b) 4 192 Hancock Fabrics Inc. 3 28 Haverty Furniture Cos. Inc. 3 48 Hibbett Sporting Goods Inc. (b) 3 92 Hollywood Entertainment Corp. (b) 8 102 HOT Topic Inc. (b) (l) 7 119 IHOP Corp. 3 128 Insight Enterprises Inc. (b) 7 146 J. Jill Group Inc. (b) 3 39 Jack in the Box Inc. (b) 6 203 Jo-Ann Stores Inc. (b) 3 77 Jos. A. Banks Clothiers Inc. (b) (l) 1 40 Kenneth Cole Productions Inc. 1 39 Kirkland's Inc. (b) 2 20 Krispy Kreme Doughnuts Inc. (b) (l) 8 102 Landry's Restaurants Inc. 3 92 Linens 'N Things Inc. (b) 7 168 Lithia Motors Inc. - Class A 2 57 Lone Star Steakhouse & Saloon Inc. 2 64 Longs Drug Stores Corp. 4 122 MarineMax Inc. (b) 2 52 Men's Wearhouse Inc. (b) 5 148 Movado Group Inc. 2 41 Movie Gallery Inc. 4 68 New York & Co. Inc. (b) 2 26 Nu Skin Enterprises Inc. 8 201 O'Charleys Inc. (b) 3 59 Panera Bread Co. - Class A (b) (l) 4 174 Pantry Inc. (b) 2 53 Papa John's International Inc. (b) 2 58 Party City Corp. (b) 2 22 Payless Shoesource Inc. (b) 10 127 PC Connection Inc. (b) 1 10 PC Mall Inc. (b) 1 27 PEP Boys-Manny Moe & Jack 9 150 PF Chang's China Bistro Inc. (b) 4 219 Rare Hospitality International Inc. (b) 5 163 Red Robin Gourmet Burgers Inc. (b) 2 95 Restoration Hardware Inc. (b) 4 21 Retail Ventures Inc. (b) 2 14 Rush Enterprises Inc. (b) 1 23 Ryan's Restaurant Group Inc. (b) 6 95 School Specialty Inc. (b) 3 131 Select Comfort Corp. (b) 6 99 Sharper Image Corp. (b) 2 32 Shoe Carnival Inc. (b) 1 14 ShopKo Stores Inc. (b) 4 82 Smart & Final Inc. (b) 2 28 Sonic Automotive Inc. 4 103 Sonic Corp. (b) 9 273 Stage Stores Inc. (b) 3 116 Steak N Shake Co. (b) 4 75 Stein Mart Inc. (b) 4 64 Systemax Inc. (b) 2 11 TBC Corp. (b) 3 83 Texas Roadhouse Inc. - Class A (b) 2 47 The Bon-Ton Stores Inc. 1 13 The Sports Authority Inc. (b) 3 86 Too Inc. (b) 5 128 Tractor Supply Co. (b) 5 169 Trans World Entertainment Corp. (b) 3 39 Triarc Cos. 5 66 Tuesday Morning Corp. (b) 4 119 United Auto Group Inc. 3 82 West Marine Inc. (b) 2 51 World Fuel Services Corp. 2 84 Zale Corp. (b) 8 239 9,957 Savings & Loans - 2.1% Anchor Bancorp. Inc. 3 80 Atlantic Coast Federal Inc. (b) 1 11 BankAtlantic Bancorp. Inc. 6 125 BankUnited Financial Corp. - Class A (b) 4 128 Berkshire Hills Bancorp. Inc. 1 30 Beverly Hills Bancorp. Inc. 2 19 BFC Financial Corp. (b) 1 11 Brookline Bancorp. Inc. 9 142 CFS Bancorp. Inc. 1 19 Charter Financial Corp. 1 25 Citizens First Bancorp. Inc. 1 30 Clifton Savings Bancorp. Inc. 2 26 Commercial Capital Bancorp. Inc. 5 124 Commercial Federal Corp. 6 183 Dime Community Bancshares Inc. 5 84 Downey Financial Corp. 3 171 Fidelity Bankshares Inc. 2 90 First Financial Holdings Inc. 2 59 First Niagara Financial Group Inc. 12 172 First Place Financial Corp. 2 45 FirstFed Financial Corp. (b) 2 126 Flagstar Bancorp. Inc. (l) 5 108 Flushing Financial Corp. 2 49 Franklin Bank Corp. (b) 2 31 Harbor Florida Bancshares Inc. 3 105 Horizon Financial Corp. 1 28 Hudson River Bancorp. 4 83 ITLA Capital Corp. (b) 1 46 K-Fed Bancorp. 1 12 KNBT Bancorp. Inc. 4 73 MAF Bancorp. Inc. 4 183 MASSBANK Corp. - 14 NASB Financial Inc. - 16 Northwest Bancorp. Inc. 3 66 OceanFirst Financial Corp. 1 32 Ocwen Financial Corp. (b) (l) 5 51 Parkvale Financial Corp. 1 16 Partners Trust Financial Group Inc. 7 84 Pennfed Financial Services Inc. 1 23 PFF Bancorp. Inc. 2 81 Provident Bancorp. Inc. 7 89 Provident Financial Holdings Inc. 1 18 Provident Financial Services Inc. 11 220 Sterling Financial Corp. (b) 3 135 TierOne Corp. 3 67 United Community Financial Corp. 4 45 Waypoint Financial Corp. 4 127 Westfield Financial Inc. 1 15 WSFS Financial Corp. 1 53 3,570 Semiconductors - 2.9% Actel Corp. (b) 4 64 ADE Corp. (b) 1 26 Alliance Semiconductor Corp. (b) 3 10 AMIS Holdings Inc. (b) 5 78 Asyst Technologies Inc. (b) 7 34 ATMI Inc. (b) (l) 5 107 August Technology Corp. (b) 3 28 Axcelis Technologies Inc. (b) 15 119 Brooks Automation Inc. (b) 7 114 Ceva Inc. (b) (l) 2 16 Cirrus Logic Inc. (b) 12 69 Cohu Inc. 3 59 Credence Systems Corp. (b) (l) 15 133 Diodes Inc. (b) 1 23 DSP Group Inc. (b) 4 98 Dupont Photomasks Inc. (b) 2 55 Emulex Corp. (b) 12 209 Entegris Inc. (b) 7 66 ESS Technology (b) 5 33 Exar Corp. (b) 6 85 Formfactor Inc. (b) 4 114 FSI International Inc. (b) 5 21 Genesis Microchip Inc. (b) 5 79 Helix Technology Corp. 4 70 Integrated Device Technology Inc. (b) 16 184 Integrated Silicon Solutions Inc. (b) 5 45 IXYS Corp. (b) 3 27 Kopin Corp. (b) 10 38 Kulicke & Soffa Industries Inc. (b) (l) 8 67 Lattice Semiconductor Corp. (b) 17 95 Leadis Technology Inc. (b) 1 10 LTX Corp. (b) 9 67 Mattson Technology Inc. (b) 6 66 Micrel Inc. (b) 10 111 Microsemi Corp. (b) 9 156 Microtune Inc. (b) 7 45 Mindspeed Technologies Inc. (b) (l) 15 42 MIPS Technologies Inc. - Class A (b) 6 62 MKS Instruments Inc. (b) 5 92 Monolithic Power Systems Inc. (b) 1 8 Monolithic System Technology Inc. (b) 4 23 Mykrolis Corp. (b) 6 86 Omnivision Technologies Inc. (b) (l) 8 151 ON Semiconductor Corp. (b) 18 83 Pericom Semiconductor Corp. (b) 3 29 Photronics Inc. (b) 5 79 Pixelworks Inc. (b) 6 70 PLX Technology Inc. (b) 3 34 Portalplayer Inc. (b) 1 25 Power Integrations Inc. (b) 4 79 Rudolph Technologies Inc. (b) 2 30 Semitool Inc. (b) 2 23 Sigmatel Inc. (b) 4 128 Silicon Image Inc. (b) 11 183 Siliconix Inc. (b) 1 31 Sipex Corp. (b) 3 15 Sirf Technology Holdings Inc. (b) 2 20 Skyworks Solutions Inc. (b) 23 213 Staktek Holdings Inc. (b) 1 5 Standard Microsystems Corp. (b) 3 47 Supertex Inc. (b) 1 30 Tessera Technologies Inc. (b) 4 141 Transmeta Corp. (b) (l) 15 25 Tripath Technology Inc. (b) (l) 4 5 Triquint Semiconductor Inc. (b) 20 89 Ultratech Inc. (b) 3 58 Varian Semiconductor Equipment Associates Inc. (b) 6 204 Veeco Instruments Inc. (b) 4 82 Vitesse Semiconductor Corp. (b) 33 117 Volterra Semiconductor Corp. (b) (l) 1 16 Zoran Corp. (b) 6 76 5,022 Software - 3.4% Actuate Corp. (b) 8 21 Advent Software Inc. (b) 4 74 Allscripts Healthcare Solutions Inc. (b) 4 42 Altiris Inc. (b) 3 112 Ansys Inc. (b) 5 150 Ascential Software Corp. (b) 9 147 Aspen Technology Inc. (b) (l) 6 40 Atari Inc. (b) 2 5 Authentidate Holding Corp. (b) 4 24 Blackbaud Inc. (b) 1 18 Blackboard Inc. (b) 1 13 Borland Software Corp. (b) 12 143 CallWave Inc. (b) 1 11 Captaris Inc. (b) 5 23 CCC Information Services Group (b) 2 38 Cerner Corp. (b) 4 228 Computer Programs & Systems Inc. 1 20 Concord Communications Inc. (b) 3 28 Concur Technologies Inc. (b) 4 36 CSG Systems International Inc. (b) 8 141 Datastream Systems Inc. (b) 2 15 Dendrite International Inc. (b) 5 103 Digi International Inc. (b) 3 53 Eclipsys Corp. (b) 5 110 eFunds Corp. (b) 7 173 Embarcadero Technologies Inc. (b) 3 27 Epicor Software Corp. (b) 6 89 EPIQ Systems Inc. (b) 2 30 FalconStor Software Inc. (b) (l) 4 39 FILENET Corp. (b) 6 162 Hyperion Solutions Corp. (b) 6 275 IDX Systems Corp. (b) 3 105 Infocrossing Inc. (b) (l) 2 37 Informatica Corp. (b) 13 106 infoUSA Inc. (b) 5 51 InPhonic Inc. (b) 1 33 Intelidata Technologies Corp. (b) 1 1 Inter-Tel Inc. 3 84 Intervideo Inc. (b) 1 19 JDA Software Group Inc. (b) 4 51 Keane Inc. (b) 8 113 Lawson Software Inc. (b) 8 55 Mantech International Corp. - Class A (b) 3 61 Manugistics Group Inc. (b) 8 23 MAPICS Inc. (b) 4 39 MAPINFO Corp. (b) 3 36 Micromuse Inc. (b) 12 66 MicroStrategy Inc. - Class A (b) 2 108 Midway Games Inc. (b) (l) 7 74 MRO Software Inc. (b) 3 37 MSC.Software Corp. (b) 4 41 NDCHealth Corp. 5 98 NETIQ Corp. (b) 8 103 Omnicell Inc. (b) 3 34 Onyx Software Corp. (b) - 1 Open Solutions Inc. (b) 2 49 Opnet Technologies Inc. (b) 2 15 Packeteer Inc. (b) 5 72 PalmSource Inc. (b) (l) 2 25 Parametric Technology Corp. (b) 40 238 PDF Solutions Inc. (b) 2 36 Pegasystems Inc. (b) 2 15 Per-Se Technologies Inc. (b) 3 51 Phase Forward Inc. (b) 1 7 Pinnacle Systems Inc. (b) 11 64 PLATO Learning Inc. (b) 4 27 Progress Software Corp. (b) 5 109 QAD Inc. 2 17 Quality Systems Inc. (b) - 29 Quest Software Inc. (b) 7 117 Renaissance Learning Inc. 1 18 Retek Inc. (b) 8 49 Safeguard Scientifics Inc. (b) 17 36 Salesforce.com Inc. (b) (l) 2 29 ScanSoft Inc. (b) 12 52 Schawk Inc. 1 24 Seachange International Inc. (b) 4 62 Serena Software Inc. (b) 4 83 SPSS Inc. (b) 2 32 SS&C Technologies Inc. 2 43 SYNNEX Corp. (b) 1 24 Take-Two Interactive Software Inc. (b) 7 234 THQ Inc. (b) 6 131 Tradestation Group Inc. (b) 3 20 Transaction Systems Architects Inc. (b) 5 109 Trident Microsystems Inc. (b) 3 47 Ulticom Inc. (b) 1 22 Ultimate Software Group Inc. (b) 3 32 Verint Systems Inc. (b) 2 62 VitalWorks Inc. (b) 5 22 Wind River Systems Inc. (b) 11 146 Witness Systems Inc. (b) 3 58 5,972 Storage/Warehousing - 0.0% Mobile Mini Inc. (b) 2 70 Telecommunications - 0.6% Alaska Communications Systems Group Inc. 2 13 Aspect Communications Corp. (b) 6 69 Cincinnati Bell Inc. (b) 37 154 Commonwealth Telephone Enterprises Inc. (b) 3 164 CT Communications Inc. 3 35 D&E Communications Inc. 2 22 General Communication - Class A (b) 7 74 Golden Telecom Inc. (l) 2 55 Hickory Tech Corp. 1 13 Infonet Services Corp. (b) 10 20 Intrado Inc. (b) 3 31 Iowa Telecommunicatoins Services Inc. 3 60 ITC Deltacom Inc. (b) (l) 2 3 MASTEC Inc. (b) 4 36 Primus Telecommunications GP (b) 11 34 PTEK Holdings Inc. (b) 10 102 Shenandoah Telecom Co. 1 30 SureWest Communications 2 59 Talk America Holdings Inc. (b) 4 27 Time Warner Telecom Inc. (b) 7 31 1,032 Telecommunications Equipment - 1.5% Adaptec Inc. (b) (l) 16 122 Aeroflex Inc. (b) 10 118 Anaren Inc. (b) 3 36 Anixter International Inc. (b) 4 157 Applied Signal Technology Inc. 1 50 Arris Group Inc. (b) 13 93 Athero Communications Inc. (b) 1 14 Avanex Corp. (b) (l) 12 38 Black Box Corp. 2 117 Broadwing Corp. (b) (l) 7 66 C-COR.net Corp. (b) 6 59 CommScope Inc. (b) 8 154 Comtech Telecommunications (b) 2 81 Ditech Communications Corp. (b) 5 69 Eagle Broadband Inc. (b) (l) 24 16 Enterasys Networks Inc. (b) 23 41 Extreme Networks Inc. (b) 16 107 Finisar Corp. (b) (l) 25 58 Harmonic Inc. (b) 11 91 Hypercom Corp. (b) 7 43 Ixia Corp. (b) 4 67 KVH Industries Inc. (b) 2 22 MRV Communications Inc. (b) (l) 16 59 Netgear Inc. (b) 3 56 Network Equipment Technologies Inc. (b) 3 32 Newport Corp. (b) 7 92 NMS Communications Corp. (b) 7 42 North Pittsburgh Systems Inc. 2 56 Oplink Communications Inc. (b) 16 31 Optical Communication Products Inc. (b) 2 6 Paradyne Networks Corp. (b) 5 19 Parkervision Inc. (b) (l) 1 5 SafeNet Inc. (b) 4 132 Stratos Lightwave Inc. (b) - 1 Sycamore Networks Inc. (b) 26 108 Symmetricom Inc. (b) 7 64 Tekelec (b) 7 153 Terayon Communication Systems Inc. (b) 10 26 TippingPoint Technologies Inc. (b) 1 24 Westell Technologies Inc. (b) 8 52 WJ Communications Inc. (b) 5 18 Zhone Technologies Inc. (b) 7 20 2,611 Textiles - 0.1% Angelica Corp. 1 35 G&K Services Inc. - Class A 3 113 Unifirst Corp. 1 40 188 Tobacco - 0.2% DIMON Inc. 7 46 Standard Commercial Corp. 2 29 Universal Corp. 4 182 Vector Group Ltd. 4 62 319 Toys & Hobbies - 0.2% Action Performance Cos. Inc. 2 25 Department 56 Inc. (b) 2 35 Jakks Pacific Inc. (b) 4 86 Leapfrog Enterprises Inc. (b) (l) 4 56 RC2 Corp. (b) 2 77 Topps Co. Inc. 5 54 333 Transportation - 2.3% Alexander & Baldwin Inc. 6 271 Amerco Inc. (b) 1 64 Arkansas Best Corp. 3 151 Central Freight Lines Inc. (b) 1 6 Covenant Transport Inc. (b) 1 27 EGL Inc. (b) 5 162 Florida East Coast Industries - Class A 3 147 Forward Air Corp. (b) 3 145 GATX Corp. 7 220 Genesee & Wyoming Inc. - Class A (b) 3 74 Greenbrier Cos. Inc. 1 28 Gulfmark Offshore Inc. (b) 2 47 Heartland Express Inc. 7 153 Hub Group Inc. - Class A (b) 1 57 Interpool Inc. - 9 Kansas City Southern (b) 9 167 Kirby Corp. (b) 3 144 Knight Transportation Inc. 6 137 Laidlaw International Inc. (b) 16 334 Landstar System Inc. (b) 5 333 Marten Transport Ltd. (b) 1 30 Offshore Logistics Inc. (b) 3 97 Old Dominion Freight Line Inc. (b) 3 88 Overnite Corp. 4 156 Overseas Shipholding Group Inc. 4 226 Pacer International Inc. (b) 4 88 PAM Transportation Services (b) 1 17 Petroleum Helicopters Inc. (b) (l) - 6 Quality Distribution Inc. (b) 1 9 RailAmerica Inc. (b) 5 71 SCS Transportation Inc. (b) 2 52 Seabulk International Inc. (b) 1 17 Swift Transportation Co. Inc. (b) 7 149 US Xpress Enterprises Inc. (b) 1 29 USF Corp. 4 155 Werner Enterprises Inc. 7 164 4,030 Venture Capital - 0.0% Circle Group Holdings Inc. (b) (l) 2 5 Water - 0.2% American States Water Co. 3 67 California Water Service Group 3 98 Connecticut Water Service Inc. 1 30 Middlesex Water Co. 2 31 Pico Holdings Inc. (b) 1 24 SJW Corp. 1 33 Southwest Water Co. 3 39 322 Wireless Telecommunications - 1.0% AirGate PCS Inc. (b) (l) 2 64 Airspan Networks Inc. (b) 5 24 Alamosa Holdings Inc. (b) (l) 11 140 Audiovox Corp. (b) 2 38 Boston Communications Group Inc. (b) 2 23 Carrier Access Corp. (b) 3 33 Centennial Communications Corp. (b) 1 12 Dobson Communications Corp. (b) 14 24 EMS Technologies Inc. (b) 2 25 InterDigital Communications Corp. (b) 8 186 Jamdat Mobile Inc. (b) 1 21 Novatel Wireless Inc. (b) 3 52 Powerwave Technologies Inc. (b) (l) 16 134 Price Communications Corp. (b) 6 109 REMEC Inc. (b) 9 66 RF Micro Devices Inc. (b) (l) 28 192 SBA Communications Corp. (b) 7 64 Spectralink Corp. 3 41 Stratex Networks Inc. (b) 14 32 Triton PCS Holdings Inc. (b) 6 19 Ubiquitel Inc. (b) 11 76 USA Mobility Inc. (b) 4 141 Viasat Inc. (b) 3 77 Wireless Facilities Inc. (b) 7 66 1,659 Total Common Stocks (cost $144,325) 171,411 Short Term Investments - 12.1% Money Market Funds - 4.2% Dreyfus Cash Management Plus, 1.98% (a) (n) 7,280 7,280 Securities Lending Collateral - 7.8% Mellon GSL Delaware Business Trust Collateral Fund (n) 13,543 13,543 U.S. Treasury Bills - 0.1% U.S. Treasury Bill, 2.21%, 03/17/05 (m) $250 249 Total Short Term Investments (cost $21,072) 21,072 Total Investments - 110.7% (cost $165,397) 192,483 Other Assets and Liabilities, Net - (10.7%) (18,576) Total Net Assets - 100% $ 173,907 JNL/OPPENHEIMER GLOBAL GROWTH FUND Percentage of Total Industry Sector Investments (o) Communications 23.4% Consumer, Non-cyclical 18.6% Financial 17.4% Technology 9.1% Consumer, Cyclical 7.8% Energy 7.5% Industrial 7.5% Money Market Investment 7.0% Utilities 1.0% Diversified 0.7% 100.0% Common Stocks - 92.5% Advertising - 0.8% JC Decaux SA (b) 36 $ 1,044 WPP Group Plc 77 851 1,895 Aerospace & Defense - 3.0% Boeing Co. 21 1,062 Empresa Brasiliera de Aeronautica SA - ADR (l) 67 2,257 Lockheed Martin Corp. 17 961 Northrop Grumman Corp. 18 1,000 Raytheon Co. 43 1,658 6,938 Apparel - 0.3% Coach Inc. (b) 12 694 Auto Manufacturers - 0.8% Toyota Motor Corp. 48 1,933 Banks - 8.3% ABN Amro Holding NV 83 2,207 Anglo Irish Bank Corp. Plc 53 1,287 Australia & New Zealand Banking Group Ltd. 60 963 Commerce Bancorp. Inc. (l) 7 444 HSBC Holdings Plc 141 2,419 ICICI Bank Ltd. - ADR 87 1,754 Northern Trust Corp. 15 724 Resona Holdings Inc. (b) 433 879 Royal Bank of Scotland Group Plc 135 4,525 Societe Generale 20 2,029 Wachovia Corp. 44 2,313 19,544 Beverages - 1.5% Cia de Bebidas das Americas - ADR 41 1,163 Diageo Plc 29 414 Fomento Economico Mexicano SA de CV 210 1,102 Grupo Modelo SA 279 767 3,446 Biotechnology - 2.5% Affymetrix Inc. (b) (l) 31 1,126 Amgen Inc. (b) 34 2,155 Genentech Inc. (b) (l) 19 1,045 Genzyme Corp. (b) 18 1,057 Human Genome Sciences Inc. (b) 21 254 Millennium Pharmaceuticals Inc. (b) 21 250 Nektar Therapeutics (b) 5 101 5,988 Commercial Services - 0.1% Nektar Therapeutics Restricted (b) 11 180 Computers - 2.0% Cadence Design Systems Inc. (b) (l) 66 914 International Business Machines Corp. 22 2,201 Sun Microsystems Inc. (b) 254 1,365 4,480 Cosmetics & Personal Care - 1.1% Gillette Co. 38 1,702 Shiseido Co. Ltd. 52 753 2,455 Diversified Financial Services - 4.5% American Express Co. 31 1,731 Charles Schwab Corp. 66 793 Citigroup Inc. 15 713 Credit Saison Co. Ltd. 34 1,252 JPMorgan Chase & Co. 91 3,556 MBNA Corp. 71 1,994 MLP AG 25 503 10,542 Electric - 0.4% Electricidade de Portugal SA 200 605 Fortum Oyj 19 352 957 Electrical Components & Equipment - 1.2% Samsung Electronics Co. Ltd. 4 1,946 Sharp Corp. 56 914 2,860 Electronics - 1.2% Applera Corp. - Applied Biosystems Group 36 759 Keyence Corp. 3 778 Murata Manufacturing Co. Ltd. 16 889 Omron Corp. 10 239 2,665 Engineering & Construction - 0.2% JGC Corp. 36 329 Entertainment - 0.6% International Game Technology 42 1,447 Food - 1.2% Cadbury Schweppes Plc 241 2,244 Carrefour SA 13 607 2,851 Gas - 0.6% Gail India Ltd. 18 93 Hong Kong & China Gas Co. Ltd. 583 1,205 1,298 Hand & Machine Tools - 0.2% Nidec Corp. 4 463 Healthcare - 2.4% Cie Generale D'Optique Essilor International SA 13 988 Hoya Corp. 5 587 Quest Diagnostics Inc. 20 1,911 Smith & Nephew Plc 195 1,997 5,483 Holding Companies - Diversified - 0.7% Hutchison Whampoa Ltd. 104 974 LVMH Moet Hennessy Louis Vuitton SA 8 618 1,592 Household Products - 2.4% Hindustan Lever Ltd. 389 1,283 Reckitt Benckiser Plc 147 4,445 5,728 Insurance - 4.0% ACE Ltd. 48 2,036 Aegon NV 116 1,589 Allianz AG 16 2,077 Berkshire Hathaway Inc. - Class B (b) 1 1,585 Everest Re Group Ltd. 9 833 Manulife Financial Corp. 27 1,270 9,390 Internet - 1.7% Amazon.Com Inc. (b) (l) 21 935 Symantec Corp. (b) 46 1,190 Trend Micro Inc. (b) 24 1,295 Yahoo Japan Corp. (b) - 504 3,924 Investment Companies - 0.2% Investor AB - Class B 45 576 Manufacturing - 0.9% Nikon Corp. 85 1,047 Siemens AG 13 1,139 2,186 Media - 7.7% Grupo Televisa SA - ADR 30 1,821 Pearson Plc 138 1,665 Reed Elsevier Plc 101 932 Singapore Press Holdings Ltd. 416 1,172 Sirius Satellite Radio Inc. (b) (l) 998 7,635 Societe Television Francaise 1 25 813 Television Broadcasts Ltd. 346 1,607 Wolters Kluwer NV 52 1,050 ZEE Telefilms Ltd. 340 1,338 18,033 Office & Business Equipment - 0.3% Canon Inc. 15 810 Oil & Gas Producers - 6.5% BP Plc - ADR 30 1,748 Burlington Resources Inc. 24 1,061 ChevronTexaco Corp. 35 1,812 EnCana Corp. 26 1,485 ENI-Ente Nazionale Idrocarburi SpA 39 969 GlobalSantaFe Corp. 66 2,185 Husky Energy Inc. 74 2,115 Oil & Natural Gas Corp. Ltd. 13 246 Total Fina Elf SA 4 885 Transocean Inc. (b) 67 2,819 15,325 Oil & Gas Services - 1.0% Technip-Coflexip SA 12 2,300 Pharmaceuticals - 7.1% AstraZeneca Plc 19 693 Chugai Pharmaceutical Co. Ltd. 54 896 Eli Lilly & Co. 12 675 Express Scripts Inc. - Class A (b) 12 910 Gilead Sciences Inc. (b) 52 1,809 Novartis AG 28 1,433 Pfizer Inc. 48 1,302 Roche Holding AG Genusschein 22 2,551 Sanofi-Synthelabo SA 51 4,076 Schering-Plough Corp. 58 1,215 Shionogi & Co. Ltd. 89 1,231 16,791 Retail - 5.6% Boots Group Plc 72 911 Circuit City Stores Inc. 93 1,456 Dixons Group Plc 644 1,879 Gap Inc. 39 817 Hennes & Mauritz AB - Class B 144 5,016 RadioShack Corp. 24 786 Seven-Eleven Japan Co. Ltd. 23 725 Starbucks Corp. (b) 25 1,534 13,124 Semiconductors - 3.0% Advanced Micro Devices Inc. (b) (l) 141 3,103 Altera Corp. (b) 19 389 National Semiconductor Corp. 82 1,477 Silicon Laboratories Inc. (b) (l) 12 413 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 208 1,770 7,152 Shipbuilding - 0.3% Hyundai Heavy Industries (b) 25 821 Software - 3.7% BEA Systems Inc. (b) 103 908 Electronic Arts Inc. (b) 6 389 IMS Health Inc. 39 903 Infosys Technologies Ltd. 51 2,475 Novell Inc. (b) 135 912 Red Hat Inc. (b) 29 380 SAP AG 12 2,171 Veritas Software Corp. (b) 24 671 8,809 Telecommunications - 3.0% France Telecom SA 64 2,127 KDDI Corp. 1 3,286 Tele Norte Leste Participacoes SA 98 1,635 7,048 Telecommunications Equipment - 3.2% Alcatel SA (b) 74 1,146 Cisco Systems Inc. (b) 68 1,314 Corning Inc. (b) 91 1,076 JDS Uniphase Corp. (b) (l) 334 1,060 Juniper Networks Inc. (b) 32 865 Scientific-Atlanta Inc. 23 763 Tandberg ASA 101 1,252 7,476 Tobacco - 0.4% Altria Group Inc. 10 587 ITC Ltd. 9 259 846 Transportation - 0.5% Amadeus Global Travel Distribution SA 100 1,034 Peninsular and Oriental Steam Navigation Co. 43 243 1,277 Venture Capital - 0.3% 3i Group Plc 64 821 Wireless Telecommunications - 7.1% Hutchison Telecommunications International Ltd. (b) 1 1 Qualcomm Inc. 51 2,145 SK Telecom Co. Ltd. - ADR (l) 63 1,405 Telefonaktiebolaget LM Ericsson (b) 1,593 5,082 Vodafone Group Plc 3,010 8,164 16,797 Total Common Stocks (cost $174,571) 217,274 Preferred Stocks - 0.4% Auto Manufacturers - 0.4% Porsche AG 2 1,042 Total Preferred Stocks (cost $876) 1,042 Corporate Bonds - 0.0% Household Products - 0.0% Hindustan Debenture, 9.00%, 01/01/05 INR $926 21 Total Corporate Bonds (cost $20) 21 Short Term Investments - 16.9% Money Market Funds - 7.0% Dreyfus Cash Management Plus, 1.98% (a) 11,766 11,766 Dreyfus Government Cash Management, 1.87% (a) 4,635 4,635 16,401 Securities Lending Collateral - 9.9% Mellon GSL Delaware Business Trust Collateral Fund 23,383 23,383 Total Short Term Investments (cost $39,784) 39,784 Total Investments - 109.8% (cost $215,251) 258,121 Other Assets and Liabilities, Net - (9.8%) (23,050) Total Net Assets - 100% $ 235,071 JNL/OPPENHEIMER GROWTH FUND Percentage of Total Industry Sector Investments (o) Technology 25.3% Consumer, Non-cyclical 21.3% Communications 15.5% Consumer, Cyclical 14.5% Financial 8.8% Industrial 8.5% Energy 5.5% Money Market Investment 0.6% 100.0% Common Stocks - 99.5% Advertising - 0.8% Omnicom Group Inc. 2 $ 194 Aerospace & Defense - 0.5% L-3 Communications Holdings Inc. 2 125 Apparel - 1.0% Polo Ralph Lauren Corp. 6 234 Auto Parts & Equipment - 1.2% Autoliv Inc. 6 290 Banks - 1.1% Commerce Bancorp. Inc. (l) 4 258 Beverages - 2.6% Coca-Cola Co. 6 246 PepsiCo Inc. 8 400 646 Biotechnology - 5.4% Amgen Inc. (b) 9 548 Celgene Corp. (b) 4 114 Genentech Inc. (b) 8 413 Genzyme Corp. (b) 4 258 1,333 Commercial Services - 2.1% Accenture Ltd. (b) 9 238 Apollo Group Inc. (b) (l) 3 258 496 Computers - 7.7% Apple Computer Inc. (b) 4 283 Dell Inc. (b) 8 324 EMC Corp. (b) 44 650 International Business Machines Corp. 3 266 Network Appliance Inc. (b) 5 173 Sun Microsystems Inc. (b) 33 179 1,875 Cosmetics & Personal Care - 1.3% Estee Lauder Cos. Inc. 7 311 Diversified Financial Services - 4.7% American Express Co. 13 750 Legg Mason Inc. 1 103 Morgan Stanley 5 300 1,153 Electronics - 0.8% Agilent Technologies Inc. (b) 8 195 Entertainment - 0.2% DreamWorks Animation SKG Inc. (b) 2 56 Healthcare - 5.3% Johnson & Johnson 2 146 Kinetic Concepts Inc. (b) 1 76 Medtronic Inc. 5 243 Stryker Corp. 5 233 Varian Medical Systems Inc. (b) 14 605 1,303 Insurance - 3.1% AFLAC Inc. 4 171 American International Group Inc. 9 584 755 Internet - 3.4% Amazon.Com Inc. (b) (l) 5 239 McAfee Inc. (b) 3 78 Monster Worldwide Inc. (b) (l) 4 124 Opsware Inc. (b) 26 191 Symantec Corp. (b) 2 62 VeriSign Inc. (b) 4 127 821 Leisure Time - 1.2% Carnival Corp. 4 202 Harley-Davidson Inc. 2 103 305 Manufacturing - 5.6% General Electric Capital Corp. 29 1,052 Tyco International Ltd. 9 309 1,361 Media - 1.5% Comcast Corp. - Class A (b) 11 370 Oil & Gas Producers - 3.7% Amerada Hess Corp. 4 288 Apache Corp. (l) 5 263 Noble Energy Inc. 6 364 915 Oil & Gas Services - 1.7% Schlumberger Ltd. 6 422 Pharmaceuticals - 4.6% Abbott Laboratories 7 304 Elan Corp. Plc - ADR (b) 10 275 Gilead Sciences Inc. (b) 16 548 1,127 Retail - 10.9% Best Buy Co. Inc. 3 190 Chico's FAS Inc. (b) (l) 6 260 Home Depot Inc. 11 482 Kohl's Corp. (b) (l) 7 344 Staples Inc. 16 546 Target Corp. 12 633 Walgreen Co. 2 87 Williams-Sonoma Inc. (b) 4 123 2,665 Semiconductors - 5.5% Advanced Micro Devices Inc. (b) (l) 7 159 Broadcom Corp. (b) 8 245 Intel Corp. 18 429 International Rectifier Corp. (b) 6 267 Marvell Technology Group Ltd. (b) 7 254 1,354 Software - 12.2% Adobe Systems Inc. 4 252 Autodesk Inc. 4 133 Computer Associates International Inc. (l) 12 357 Mercury Interactive Corp. (b) (l) 7 323 Microsoft Corp. 44 1,173 Navteq Corp. (b) 3 125 Novell Inc. (b) 17 115 Red Hat Inc. (b) (l) 10 131 SAP AG - ADR 9 385 2,994 Telecommunications - 2.3% Amdocs Ltd. (b) 10 257 Sprint Corp. - FON Group (l) 13 311 568 Telecommunications Equipment - 4.6% Cisco Systems Inc. (b) 38 737 Comverse Technology Inc. (b) 3 66 Corning Inc. (b) 28 331 1,134 Transportation - 1.6% Expeditors International of Washington Inc. (l) 3 179 United Parcel Service Inc. 3 222 401 Wireless Telecommunications - 2.9% LM Ericsson Telephone Co. (b) 8 262 Motorola Inc. 14 246 Nokia Oyj - ADR 13 197 705 Total Common Stocks (cost $22,441) 24,366 Short Term Investments - 10.8% Money Market Funds - 0.6% Dreyfus Cash Management Plus, 1.98% (a) 147 147 Securities Lending Collateral - 10.2% Mellon GSL Delaware Business Trust Collateral Fund 2,494 2,494 Total Short Term Investments (cost $2,641) 2,641 Total Investments - 110.3% (cost $25,082) 27,007 Other Assets and Liabilities, Net - (10.3%) (2,527) Total Net Assets - 100% $ 24,480 JNL/PIMCO TOTAL RETURN BOND FUND Percentage of Total Industry Sector Investments (o) Government 44.2% Mortgage Securities 25.3% Financial 21.8% Asset Backed Securities 6.3% Money Market Investment 0.7% Utilities 0.7% Energy 0.5% Communications 0.3% Consumer, Cyclical 0.2% 100.0% Preferred Stocks - 1.0% Banks - 0.5% DG Funding Trust, 4.80% (e) - $ 2,129 Sovereign - 0.5% Fannie Mae, 7.00% (b) 29 1,627 Total Preferred Stocks (cost $3,532) 3,756 Options - 0.0% Eurodollar Future Put Option, Expiration March 2005, Strike price $94.75 EUR 1 4 U.S. 20-Year Call Option, Expiration February 2005, Strike price $115.00 - 5 U.S. 20-Year Call Option, Expiration February 2005, Strike price $116.00 - 1 Total Options (cost $18) 10 Corporate Bonds - 25.2% Asset Backed Securities - 11.3% Ameriquest Mortgage Securities Inc., 2.69%, 08/25/32 (g) $68 68 Amortizing Residential Collateral Trust 2.71%, 07/25/32 (g) 123 123 2.74%, 07/25/32 145 145 Bank of America Mortgage Securities 6.50%, 10/25/31 574 580 6.50%, 09/25/33 206 210 Bear Stearns Adjustable Rate Mortgage Trust 3.86%, 11/25/30 (g) 20 20 5.26%, 10/25/32 (g) 32 32 5.64%, 12/30/32 (g) 103 103 5.35%, 01/25/33 (g) 230 233 5.11%, 04/25/33 461 462 4.78%, 01/25/34 (g) 1,234 1,224 CDC Mortgage Capital Trust, 2.71%, 01/25/33 (g) 103 103 Centex Home Equity, 2.52%, 03/25/34 986 986 Countrywide Asset-Backed Certificates 2.57%, 12/25/22 2,502 2,502 2.65%, 06/25/31 (g) 5 5 Countrywide Home Loan Mortgage Pass Through Trust, 2.69%, 05/25/34 1,290 1,279 Credit-Based Asset Servicing and Securitization LLC 2.55%, 09/25/21 2,113 2,113 2.74%, 06/25/32 (g) 71 71 CS First Boston Mortgage Securities Corp. 3.07%, 11/25/31 (g) 2 2 2.8175%, 02/25/32 (g) 15 15 Equity One ABS Inc. 2.70%, 11/25/32 (g) 278 278 2.53%, 07/25/34 (g) 2,305 2,305 First Nationwide Trust, 3.02%, 09/25/31 (g) 5 5 GSAMP Trust, 2.61%, 10/25/33 1,859 1,859 HFC Home Equity Loan Asset Backed Certificates, 2.76%, 10/20/32 883 884 Home Equity Mortgage Trust, 2.57%, 12/25/34 1,633 1,634 IMPAC CMB Trust, 2.67%, 04/25/34 925 922 Indymac ARM Trust, 6.60%, 01/25/32 (g) 6 6 Irwin Low Balance Home Equity Loan Trust, 2.80%, 06/15/30 (e) (g) 16 16 Long Beach Mortgage Loan Trust, 2.82%, 03/25/33 (g) 659 660 Mellon Residential Funding Corp. 2.90%, 10/20/29 (g) 764 771 2.6425%, 06/15/30 1,577 1,572 Merrill Lynch Collateralized Loan Obligation, 2.878%, 06/23/10 (g) 391 387 Mid-State Trust, 8.33%, 04/01/30 (g) 29 31 Morgan Stanley Capital I 6.59%, 10/03/30 23 23 2.55%, 03/25/34 (g) 1,413 1,413 Nelnet Student Loan Trust, 2.02%, 04/25/11 1,200 1,199 Park Place Securities Inc., 2.62%, 10/25/34 1,538 1,538 Prime Mortgage Trust 2.82%, 02/25/19 106 106 2.82%, 02/25/34 417 418 Residential Asset Mortgage Products Inc., 2.67%, 02/25/34 2,426 2,421 Sears Credit Account Master Trust 2.53%, 08/18/09 4,000 4,003 2.7825%, 11/17/09 3,700 3,703 Sequoia Mortgage Trust, 2.76%, 10/19/26 (g) 552 551 Small Business Administration Participation Certificates 6.29%, 01/01/21 72 78 5.13%, 09/01/23 95 98 5.52%, 06/01/24 1,867 1,943 Structured Asset Mortgage Investments Inc., 2.74%, 09/19/32 (g) 712 712 Structured Asset Securities Corp. 2.87%, 06/25/17 (g) 161 161 8.85%, 03/25/31 (g) 19 19 6.11%, 02/25/32 (g) 12 12 2.70%, 01/25/33 (g) 38 38 Torrens Trust, 2.66%, 07/15/31 (e) (g) 85 85 Vendee Mortgage Trust, 6.50%, 09/15/24 1,166 1,200 Washington Mutual, 2.99%, 08/25/42 (g) 2,314 2,334 Washington Mutual MSC Mortgage Pass-Through Certificates, 5.385%, 02/25/31 (g) 153 157 Washington Mutual Pass-Through Certificates, 5.14%, 10/25/32 (g) 172 175 Wells Fargo Home Equity Trust, 2.58%, 06/25/19 354 355 44,348 Auto Manufacturers - 0.2% DaimlerChrysler NA Holding Corp., 2.96%, 05/24/06 900 904 Banks - 0.3% Banque Centrale de Tunisie, 7.50%, 08/06/09 (e) EUR 300 468 Fifth Third Bank, 7.75%, 08/15/10 500 512 980 Chemicals - 0.0% Dow Chemical Co., 8.04%, 07/02/05 22 22 Diversified Financial Services - 2.5% Atlas Reinsurance Plc, 4.415%, 01/07/05 (e) (g) 750 750 CS First Boston Mortgage Securities Corp., 2.8238%, 03/25/32 (g) 443 444 Ford Motor Credit Co. 7.50%, 03/15/05 300 303 3.00%, 06/30/05 (g) 500 500 7.60%, 08/01/05 3,000 3,070 General Motors Acceptance Corp. 5.25%, 05/16/05 200 202 7.50%, 07/15/05 1,900 1,939 3.3288%, 10/20/05 2,100 2,108 UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 334 9,650 Electric - 0.8% AEP Texas Central Co, 3.54%, 02/15/05 200 200 Appalachian Power Co., 4.80%, 06/15/05 700 706 Pacific Gas & Electric Co., 3.26%, 04/03/06 2,200 2,202 3,108 Electronics - 0.0% Parker Hannifin Employee Stock Ownership Trust, 6.34%, 07/15/08 (e) 109 113 Pipelines - 0.6% El Paso Corp. 8.05%, 10/15/30 1,000 968 7.80%, 08/01/31 1,500 1,440 2,408 Sovereign - 9.1% Bundesschatz, 2.00%, 06/17/05 EUR 26,000 35,323 Telecommunications - 0.0% Sprint Capital Corp., 6.00%, 01/15/07 100 105 Wireless Telecommunications - 0.4% Verizon Wireless Capital LLC, 2.415%, 05/23/05 (e) 1,400 1,400 Total Corporate Bonds (cost $95,588) 98,361 Government Securities - 43.7% Sovereign - 3.1% Mexico Government International Bond, 8.125%, 12/30/19 500 $ 587 Republic of Brazil 3.0625%, 04/15/06 (g) 48 48 11.50%, 03/12/08 200 235 3.125%, 04/15/09 138 136 8.30%, 06/29/09 (l) 100 118 11.00%, 01/11/12 680 826 3.125%, 04/15/12 1,324 1,261 8.00%, 04/15/14 724 741 Republic of Panama 9.375%, 07/23/12 200 237 9.375%, 01/16/23 200 231 8.875%, 09/30/27 200 220 Republic of Peru 9.125%, 02/21/12 600 699 9.875%, 02/06/15 600 735 Republic of South Africa, 9.125%, 05/19/09 100 119 Resolution Fund Corp. - Principal Only, 5.182%, 10/15/20 400 178 Russian Federation, 5.00%, 03/31/30 (h) 2,300 2,379 United Mexican States, Variable Recovery Rights 0.00%, 06/30/05 (g) 6,900 98 0.00%, 06/30/06 (g) 6,886 165 0.00%, 06/30/07 (g) 4,850 104 United Mexican States 8.375%, 01/14/11 200 235 6.375%, 01/16/13 250 266 8.00%, 09/24/22 800 922 8.30%, 08/15/31 1,400 1,640 12,180 U.S. Government Agencies - 25.5% Federal Home Loan Mortgage Corp. 6.00%, 03/01/16 180 188 6.00%, 08/01/16 71 74 5.00%, 11/01/18 848 862 6.25%, 08/25/22 89 89 7.00%, 05/15/23 926 980 3.667%, 07/01/27 (g) 6 7 2.85%, 11/15/30 (g) 22 22 7.50%, 03/01/32 195 199 6.00%, 10/01/32 435 450 6.00%, 03/01/33 607 627 6.00%, 08/01/33 261 269 Federal National Mortgage Association 5.00%, TBA (c) 63,312 63,149 5.50%, TBA (c) 3,000 3,099 5.50%, 11/01/13 20 20 6.00%, 06/01/14 13 14 5.50%, 03/01/16 222 229 6.00%, 04/01/16 328 344 6.00%, 05/01/16 97 102 6.00%, 06/01/16 16 17 6.00%, 08/01/16 43 45 6.00%, 09/01/16 45 47 6.00%, 11/01/16 198 207 5.50%, 12/01/16 507 525 5.50%, 01/01/17 1,592 1,648 6.00%, 02/01/17 43 45 5.50%, 03/01/17 164 170 6.00%, 03/01/17 234 246 6.00%, 04/01/17 165 172 6.00%, 05/01/17 50 52 5.50%, 10/01/17 127 132 6.00%, 10/01/17 158 166 5.50%, 11/01/17 417 432 5.00%, 05/01/18 24 25 5.00%, 08/01/18 2,420 2,460 5.00%, 10/01/18 707 719 6.00%, 03/01/33 96 99 5.00%, 04/25/33 2,018 2,005 5.50%, 11/01/33 921 936 5.50%, 02/01/34 1,718 1,745 5.50%, 03/01/34 856 870 6.50%, 11/01/34 500 525 5.50%, 01/13/35 11,000 11,165 3.00%, 09/01/40 (g) 90 92 6.50%, 12/25/42 259 270 2.77%, 03/25/44 2,413 2,413 FHA St. Regis Nursing Home, 7.449%, 08/01/10 45 48 Government National Mortgage Association II 3.375%, 05/20/26 (g) 228 232 3.375%, 02/20/27 (g) 24 24 3.375%, 04/20/30 (g) 59 60 3.375%, 05/20/30 (g) (l) 49 50 2.75%, 02/20/32 (g) 573 577 3.00%, 02/20/32 (g) 345 349 99,292 U.S. Treasury Securities - 15.1% U.S. Treasury Bond, 8.875%, 02/15/19 (l) 400 575 U.S. Treasury Inflation Indexed Note, 2.00%, 07/15/14 (l)5,265 5,432 U.S. Treasury Note 3.50%, TBA (c) 300 299 4.25%, TBA (c) 6,400 6,417 2.50%, 09/30/06 (l) 1,300 1,289 3.375%, 01/15/07 (m) 120 128 3.625%, 01/15/08 (l) 5,316 5,791 3.875%, 01/15/09 (l) 5,470 6,131 4.25%, 01/15/10 (l) 7,828 9,080 0.875%, 04/15/10 (l) 7,859 7,782 3.375%, 01/15/12 (l) 5,482 6,240 3.00%, 07/15/12 (l) 8,386 9,358 1.875%, 07/15/13 (l) 416 428 58,950 Total Government Securities (cost $169,074) 170,422 Municipals - 1.7% County of Harris Texas, 5.00%, 10/01/11 700 773 Energy Northwest Washington Electrical, 5.50%, 07/01/14 100 114 New York State Dormitory Authority, 5.25%, 07/01/11 700 774 State of Illinois, 5.00%, 03/01/34 200 204 State of Wisconsin, 5.00%, 05/01/12 400 442 Sussex County Municipal Utilities Authority, 5.00%, 12/01/12 1,200 1,333 Tobaco Settlement Financing Corp. 6.125%, 06/01/24 500 498 6.75%, 06/01/39 2,400 2,400 Total Municipals (cost $6,432) 6,538 Short Term Investments - 58.0% Certificates of Deposit - 1.1% Citibank Certificate of Deposit, 2.03%, 01/24/05 (f) 4,300 4,300 Commercial Paper - 21.1% ANZ National 2.05%, 01/28/05 1,000 998 2.02%, 02/02/05 (f) 7,400 7,387 Bank of Ireland, 2.505%, 04/21/05 (f) 5,100 5,061 Barclays US Funding, 2.375%, 03/08/05 (f) 10,500 10,454 Dexia Delaware Inc., 2.04%, 01/25/05 (f) 10,700 10,685 Fortis Funding LLC, 1.93%, 01/25/05 2,500 2,497 General Electric Capital Corp. 2.04%, 02/04/05 200 200 2.23%, 02/23/05 100 100 2.32%, 02/24/05 (f) 5,800 5,780 2.34%, 03/01/05 1,000 996 2.42%, 03/14/05 4,400 4,379 HBOS Treasury Services Plc, 2.435%, 03/22/05 (f) 10,500 10,443 Royal Bank of Scotland, 2.41%, 03/15/05 1,600 1,592 Toyota Motor Credit Corp., 2.36%, 03/07/05 (f) 10,500 10,455 UBS Finance LLC 1.93%, 01/24/05 100 100 2.07%, 02/28/05 400 399 2.30%, 02/28/05 7,500 7,472 2.41%, 03/15/05 3,000 2,985 81,983 Money Market Funds - 0.8% Dreyfus Cash Management Plus, 1.98% (a) 3,156 3,156 Securities Lending Collateral - 13.1% Mellon GSL Delaware Business Trust Collateral Fund 51,246 51,246 U.S. Government Agencies - 21.4% Federal Home Loan Bank Discount Note 2.12%, 02/04/05 (f) $10,100 10,080 2.29%, 03/02/05 3,800 3,785 Federal Home Loan Mortgage Corp. Discount Note 1.985%, 01/25/05 200 200 2.05%, 01/26/05 20,400 20,370 2.20%, 01/28/05 (f) 7,400 7,388 2.15%, 02/08/05 3,700 3,692 2.18%, 02/09/05 17,000 16,960 2.255%, 02/22/05 (f) 10,200 10,167 2.28%, 02/23/05 100 100 2.2825%, 02/23/05 300 299 2.295%, 03/01/05 1,700 1,694 2.30%, 03/01/05 3,800 3,786 2.32%, 03/08/05 600 597 2.36%, 03/09/05 200 199 2.26%, 03/14/05 3,700 3,683 2.42%, 03/16/05 200 198 2.39%, 04/15/05 500 496 83,694 U.S. Treasury Bills - 0.5% U.S. Treasury Bill 2.18%, 03/03/05 (m) 570 568 2.21%, 03/17/05 (m) 1,580 1,573 2,141 Total Short Term Investments (cost $226,520) 226,520 Total Investments - 129.6% (cost $501,164) 505,607 Other Assets and Liabilities, Net - (29.6%) (115,453) Total Net Assets - 100% $ 390,154 JNL/PUTNAM EQUITY FUND Percentage of Total Industry Sector Investments (o) Financial 31.3% Consumer, Non-cyclical 21.2% Consumer, Cyclical 13.0% Technology 12.7% Energy 7.2% Industrial 6.5% Communications 5.9% Basic Materials 1.0% Diversified 1.0% Money Market Investment 0.1% Utilities 0.1% 100.0% Common Stocks - 99.7% Advertising - 0.6% Omnicom Group Inc. 11 $ 919 Aerospace & Defense - 2.8% Boeing Co. 29 1,475 Lockheed Martin Corp. 34 1,861 United Technologies Corp. 9 909 4,245 Airlines - 0.5% Southwest Airlines Co. 43 701 Banks - 4.2% Commerce Bancorp. Inc. (l) 50 3,233 Investors Financial Services Corp. 10 490 North Fork Bancorp. Inc. 1 42 US Bancorp. 81 2,524 6,289 Beverages - 0.0% Anheuser-Busch Cos. Inc. 1 28 Coca-Cola Co. 1 44 72 Biotechnology - 1.7% Amgen Inc. (b) 32 2,021 Biogen Idec Inc. (b) - 17 Charles River Laboratories International Inc. (b) 9 400 Genzyme Corp. (b) - 17 2,455 Building Materials - 0.7% Masco Corp. (l) 25 910 Vulcan Materials Co. 4 202 1,112 Chemicals - 0.3% E.I. du Pont de Nemours & Co. 1 49 PPG Industries Inc. 6 436 485 Commercial Services - 2.4% Alliance Data Systems Corp. (b) 17 812 Apollo Group Inc. (b) 21 1,687 Aramark Corp. 1 32 Career Education Corp. (b) 8 300 Cendant Corp. 31 720 Iron Mountain Inc. (b) 1 29 3,580 Computers - 4.0% Affiliated Computer Services Inc. - Class A (b) - 12 Apple Computer Inc. (b) 11 702 Dell Inc. (b) 22 927 EMC Corp. (b) 35 519 Hewlett-Packard Co. 68 1,432 International Business Machines Corp. 5 483 Lexmark International Inc. (b) 5 417 Network Appliance Inc. (b) 6 199 Sandisk Corp. (b) 24 610 Sun Microsystems Inc. (b) 129 693 5,994 Cosmetics & Personal Care - 0.7% Alberto-Culver Co. - Class B 1 29 Avon Products Inc. 24 921 Colgate-Palmolive Co. 1 31 981 Distribution & Wholesale - 0.2% Ingram Micro Inc. - Class A (b) 13 260 Diversified Financial Services - 16.5% Bear Stearns Cos. Inc. 9 962 Capital One Financial Corp. (l) 37 3,137 Citigroup Inc. 125 6,023 Countrywide Financial Corp. 78 2,868 Fannie Mae 54 3,831 Freddie Mac 30 2,189 Goldman Sachs Group Inc. 8 832 Lehman Brothers Holdings Inc. 31 2,668 MBNA Corp. 26 735 Providian Financial Corp. (b) 92 1,520 24,765 Electric - 0.1% Edison International 1 42 Entergy Corp. - 34 PG&E Corp. (b) 1 44 Sierra Pacific Resources (b) (l) 2 17 137 Electronics - 0.3% Amphenol Corp. (b) 13 467 Jabil Circuit Inc. (b) 1 15 482 Food - 0.2% Supervalu Inc. 10 359 Healthcare - 4.2% Baxter International Inc. 1 30 Community Health Systems Inc. (b) 1 14 Coventry Health Care Inc. (b) - 16 Dade Behring Holdings Inc. (b) 6 330 Guidant Corp. - 14 HCA Inc. 3 120 Johnson & Johnson 82 5,188 Laboratory Corp. of America Holdings (b) 7 339 Medtronic Inc. 4 214 Quest Diagnostics Inc. - 19 WellPoint Inc. (b) - 12 6,296 Home Builders - 1.8% Lennar Corp. (l) 23 1,309 NVR Inc. (b) (l) 2 1,317 Pulte Homes Inc. 1 32 2,658 Home Furnishings - 0.5% Whirlpool Corp. (l) 11 782 Insurance - 9.4% ACE Ltd. 72 3,057 American International Group Inc. 53 3,474 Chubb Corp. 7 515 Cigna Corp. 9 742 Everest Re Group Ltd. 28 2,544 Hartford Financial Services Group Inc. 20 1,393 PMI Group Inc. 25 1,035 St. Paul Cos. Inc. 29 1,064 Willis Group Holdings Ltd. 8 313 14,137 Internet - 1.1% eBay Inc. (b) - 35 IAC/InterActiveCorp (b) (l) 28 779 Yahoo! Inc. (b) 23 863 1,677 Investment Companies - 1.0% SPDR Trust Series 1 (l) 12 1,500 Leisure Time - 1.8% Harley-Davidson Inc. 30 1,835 Royal Caribbean Cruises Ltd. (l) 15 800 2,635 Lodging - 0.4% Harrah's Entertainment Inc. (l) 7 435 Las Vegas Sands Corp. (b) 2 100 Station Casinos Inc. (l) - 16 551 Manufacturing - 2.6% 3M Co. - 24 Dover Corp. - 16 Eastman Kodak Co. (l) 25 790 ITT Industries Inc. - 34 Tyco International Ltd. 83 2,984 3,848 Media - 0.7% Comcast Corp. - Special Class A (b) 2 52 Time Warner Inc. (b) 2 47 Walt Disney Co. 36 998 1,097 Mining - 0.7% Aggregate Industries Plc 181 363 BHP Billiton Plc 52 656 1,019 Office & Business Equipment - 0.8% Xerox Corp. (b) (l) 67 1,135 Oil & Gas Producers - 7.1% Amerada Hess Corp. (l) 19 1,541 Apache Corp. 1 29 Canadian Natural Resources Ltd. 21 919 ChevronTexaco Corp. 18 929 Devon Energy Corp. 2 70 Exxon Mobil Corp. 119 6,119 GlobalSantaFe Corp. 2 63 Marathon Oil Corp. 11 425 Noble Corp. (b) 12 602 10,697 Packaging & Containers - 0.0% Sealed Air Corp. (b) 1 32 Pharmaceuticals - 8.5% Abbott Laboratories 1 31 AmerisourceBergen Corp. (l) 5 288 Bristol-Myers Squibb Co. 32 830 Cardinal Health Inc. 48 2,768 Eli Lilly & Co. - 11 Express Scripts Inc. - Class A (b) 17 1,277 Medco Health Solutions Inc. (b) 1 21 Merck & Co. Inc. 56 1,790 Pfizer Inc. 182 4,890 Teva Pharmaceutical Industries Ltd. - ADR 25 751 12,657 Real Estate - 0.7% General Growth Properties Inc. 27 987 Retail - 7.7% Autozone Inc. (b) 9 811 Bed Bath & Beyond Inc. (b) 7 287 Best Buy Co. Inc. 16 945 Family Dollar Stores Inc. 1 16 Gap Inc. 28 581 Home Depot Inc. 38 1,624 Kohl's Corp. (b) 1 30 Lowe's Cos. Inc. 43 2,468 McDonald's Corp. 69 2,206 Office Depot Inc. (b) 42 724 Ross Stores Inc. 18 508 Staples Inc. 36 1,225 Starbucks Corp. (b) 1 37 11,462 Savings & Loans - 0.4% Washington Mutual Inc. 15 643 Semiconductors - 1.3% Analog Devices Inc. 9 336 Freescale Semiconductor Inc. (b) 1 17 Intel Corp. 67 1,574 Maxim Integrated Products Inc. - 13 1,940 Software - 6.6% Adobe Systems Inc. 14 866 Automatic Data Processing Inc. - 13 BMC Software Inc. (b) 28 529 Citrix Systems Inc. (b) (l) 36 883 Computer Associates International Inc. 2 47 Fair Isaac Corp. 22 792 Fiserv Inc. (b) - 16 Microsoft Corp. 251 6,702 Oracle Corp. (b) 3 44 Siebel Systems Inc. (b) 3 29 9,921 Telecommunications - 0.1% BellSouth Corp. 1 31 SBC Communications Inc. 1 29 Sprint Corp. - FON Group 1 35 Verizon Communications Inc. 1 42 137 Telecommunications Equipment - 3.3% Cisco Systems Inc. (b) 229 4,418 Scientific-Atlanta Inc. 14 472 4,890 Tobacco - 3.6% Altria Group Inc. 79 4,824 UST Inc. 11 505 5,329 Toys & Hobbies - 0.2% Hasbro Inc. 19 359 Wireless Telecommunications - 0.0% Motorola Inc. 2 28 Nextel Communications Inc. (b) 1 30 58 Total Common Stocks (cost $129,917) 149,283 Warrants - 0.0% Telecommunications Equipment - 0.0% Lucent Technologies Inc., Strike Price $2.75, Expiring 12/10/07 1 1 Total Warrants (cost $0) 1 Short Term Investments - 9.1% Money Market Funds - 0.2% Dreyfus Cash Management Plus, 1.98% (a) 193 193 Securities Lending Collateral - 8.9% Mellon GSL Delaware Business Trust Collateral Fund 13,341 13,341 Total Short Term Investments (cost $13,534) 13,534 Total Investments - 108.8% (cost $143,451) 162,818 Other Assets and Liabilities, Net - (8.8%) (13,138) Total Net Assets - 100% $ 149,680 JNL/PUTNAM INTERNATIONAL EQUITY FUND Percentage of Total Industry Sector Investments (o) Financial 27.2% Consumer, Non-cyclical 16.0% Communications 16.0% Industrial 10.4% Consumer, Cyclical 10.1% Energy 7.7% Basic Materials 4.3% Technology 3.4% Utilities 3.3% Diversified 1.6% 100.0% Common Stocks - 96.3% Advertising - 0.9% WPP Group Plc 73 $ 806 Airlines - 0.6% Singapore Airlines Ltd. 81 566 Auto Manufacturers - 5.7% Bayerische Motoren Werke AG 8 343 Honda Motor Co. Ltd. 18 912 Hyundai Motor Co. Ltd. - GDR (e) 21 541 Renault SA 8 695 Toyota Motor Corp. 71 2,881 5,372 Banks - 17.6% Allied Irish Banks Plc 23 478 Australia & New Zealand Banking Group Ltd. 7 107 Banco Bilbao Vizcaya Argentaria SA 3 48 Banco Itau Holding Financeira SA - ADR (l) 4 279 Bank of Ireland 36 594 Barclays Plc 169 1,904 BNP Paribas SA 16 1,134 Credit Agricole SA 35 1,050 Credit Suisse Group (b) 33 1,408 Danske Bank A/S 27 822 DBS Group Holdings Ltd. 91 898 HSBC Holdings Plc 3 55 Mitsubishi Tokyo Financial Group Inc. - 1,157 Mizuho Financial Group Inc. - 423 National Bank of Greece (b) 7 227 National Bank of Greece SA 10 340 Nordea AB 16 156 OTP Bank Rt 3 104 Oversea-Chinese Banking Corp. Ltd. 59 488 Powszechna Kasa Oszczednosci Bank Polski SA (b) 9 85 Principal Office Fund (b) 8 330 Royal Bank of Scotland (b) 9 305 Royal Bank of Scotland Group Plc 62 2,097 UBS AG 20 1,659 Uniao de Bancos Brasileiros SA - GDR 2 51 UniCredito Italiano SpA 85 490 16,689 Beverages - 2.4% Diageo Plc 116 1,649 Interbrew 14 552 Pernod-Ricard - 55 2,256 Building Materials - 0.9% CRH Plc 31 819 Titan Cement Co. SA 2 57 876 Chemicals - 2.5% Air Liquide SA - 45 BASF AG 17 1,219 Ciba Specialty Chemicals AG (b) 10 783 Shin-Etsu Chemical Co. Ltd. 7 287 2,334 Commercial Services - 0.9% Dai Nippon Printing Co. Ltd. 39 626 Societe Des Autoroutes Paris-Rhin-Rhone (b) 4 230 856 Computers - 0.2% Acer Inc. 120 199 Cosmetics & Personal Care - 0.3% Uni-Charm Corp. 6 307 Distribution & Wholesale - 0.3% Mitsui & Co. Ltd. 35 314 Diversified Financial Services - 4.3% Acom Co. Ltd. 12 884 Credit Saison Co. Ltd. 18 662 Fubon Financial Holding Co. Ltd. 198 439 Nomura Holdings Inc. 84 1,225 ORIX Corp. 3 408 Sampo Oyj - Class A 6 87 Takefuji Corp. 5 341 4,046 Electric - 1.6% E.ON AG 1 59 Iberdrola SA 51 1,288 International Power Plc (b) 19 56 Scottish & Southern Energy Plc 2 29 Scottish Power Plc 2 17 Tokyo Electric Power Co. Inc. 2 55 1,504 Electrical Components & Equipment - 2.0% Funai Electric Co. Ltd. - 50 Hitachi Ltd. 10 69 LG Electronics Inc. (b) 6 350 Samsung Electronics Co. Ltd. 3 1,454 1,923 Electronics - 0.4% Koninklijke Philips Electronics NV 8 211 Omron Corp. 8 200 411 Engineering & Construction - 0.7% JGC Corp. 10 92 Linde AG 8 501 Societe Des Autoroutes Paris (b) 1 54 647 Food - 1.7% Groupe Danone 1 55 Koninklijke Ahold NV (b) 10 75 Metro AG 1 50 Nestle SA 2 597 Royal Numico NV (b) 2 56 Tesco Plc 72 442 Woolworths Ltd. 27 315 1,590 Gas - 0.8% Tokyo Gas Co. Ltd. 187 767 Hand & Machine Tools - 0.4% Schneider Electric SA 1 56 SMC Corp. 3 343 399 Healthcare - 0.3% Synthes Inc. (b) 3 293 Holding Companies - Diversified - 0.3% LVMH Moet Hennessy Louis Vuitton SA 3 233 Swire Pacific Ltd. 6 50 283 Home Furnishings - 0.1% Matsushita Electric Industrial Co. Ltd. 4 63 Household Products - 0.6% Reckitt Benckiser Plc 19 572 Insurance - 3.9% Aeon Co. Ltd. (b) 2 26 Allianz AG 5 610 ING Groep NV 5 142 QBE Insurance Group Ltd. 7 81 Swiss Reinsurance 19 1,368 XL Capital Ltd. 8 614 Zurich Financial Services AG (b) 5 898 3,739 Lodging - 0.3% Accor SA 7 322 Manufacturing - 1.0% Siemens AG 11 922 Media - 4.1% Gestevision Telecinco SA (b) 2 48 ITV Plc 176 356 Lagardere S.C.A. 2 130 Mediaset SpA 78 995 News Corp Inc. (l) 6 112 Singapore Press Holdings Ltd. 76 215 Societe Television Francaise 1 12 391 Vivendi Universal SA (b) 43 1,364 VNU NV 11 322 3,933 Metal Fabrication & Hardware - 1.6% Assa Abloy AB - Class B 31 533 SKF AB 21 949 1,482 Mining - 1.8% Aggregate Industries Plc 179 359 BHP Billiton Plc 58 684 Rio Tinto Plc 23 682 1,725 Office & Business Equipment - 2.2% Canon Inc. 38 2,072 Oil & Gas Producers - 7.6% Canadian Natural Resources Ltd. 11 474 ENI-Ente Nazionale Idrocarburi SpA 55 1,387 Noble Corp. (b) 5 264 Norsk Hydro ASA 4 352 Petroleo Brasileiro SA - Petrobras - ADR 18 725 Royal Dutch Petroleum Co. - NYS 5 307 Shell Transport & Trading Co. Plc 6 55 Total Fina Elf SA 17 3,611 7,175 Oil & Gas Services - 0.1% IHC Caland NV 2 124 Packaging & Containers - 0.3% Amcor Ltd. 50 287 Pharmaceuticals - 7.7% AstraZeneca Plc 32 1,146 GlaxoSmithKline Plc 26 609 Novartis AG 41 2,072 Roche Holding AG Genusschein 17 2,012 Sankyo Co. Ltd. - 9 Schwarz Pharma AG 1 27 Taisho Pharmaceutical Co. Ltd. 13 283 Takeda Chemical Industries Ltd. 2 76 Yamanouchi Pharmaceutical Co. Ltd. 27 1,055 7,289 Retail - 2.8% Aeon Co. Ltd. 21 353 Hennes & Mauritz AB - Class B 23 796 Lawson Inc. 12 439 Swatch Group AG 12 359 Swatch Group AG - Class B 5 690 2,637 Semiconductors - 0.8% Rohm Co. Ltd. 2 217 Taiwan Semiconductor Manufacturing Co. Ltd. 327 521 738 Software - 0.2% Nomura Research Institute Ltd. 2 215 Telecommunications - 5.4% China Netcom Group Corp. Ltd. (b) 235 319 China Telecom Corp. Ltd. 1,550 568 Deutsche Telekom AG (b) 4 101 Eircom Group Plc 58 135 France Telecom SA 17 553 France Telecom SA (b) 19 613 Hellenic Telecommunications Organization SA 3 56 KDDI Corp. - 215 Royal KPN NV 8 78 Tele Norte Leste Participacoes SA 3 56 Telecom Corp. 17 77 Telecom Italia SpA 277 1,135 Telefonica SA 3 57 Telefonos de Mexico SA de CV - ADR 17 645 Telekom Austria (b) 9 175 Telekom Austria AG 19 364 5,147 Tobacco - 2.1% Altadis SA 22 1,023 Japan Tobacco Inc. - 971 1,994 Transportation - 2.5% Canadian National Railway Co. 8 514 East Japan Railway Co. - 923 TPG NV 36 977 2,414 Water - 0.9% Veolia Environnement 24 865 Wireless Telecommunications - 5.5% Nokia Oyj 3 48 NTT DoCoMo Inc. - 232 SK Telecom Co. Ltd. - ADR (l) 2 42 Telefonaktiebolaget LM Ericsson (b) 272 866 Vodafone Group Plc 1,504 4,079 5,267 Total Common Stocks (cost $73,174) 91,420 Preferred Stocks - 0.3% Auto Manufacturers - 0.3% Porsche AG (b) - 249 Holding Companies - Diversified - 0.0% Singapore Press Holdings Ltd. (b) 13 37 Total Preferred Stocks (cost $284) 286 Mutual Funds - 1.3% iShares MSCI EAFE Index Fund 8 1,216 Total Mutual Funds (cost $1,169) 1,216 Warrants - 0.5% Manufacturing - 0.5% Reliance Industries Warrant, No Strike Price, Expiring 09/30/05 41 499 Total Warrants (cost $418) 499 Short Term Investments - 8.0% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.98% (a) 1 1 Repurchase Agreement - 1.2% Repurchase Agreement with Goldman Sachs and Co., 2.25%, (Collateralized by $1,200 Federal Home Loan Discount Note, 4.50%, due 01/21/05, market value $1,198) acquired on 12/31/04, due 01/03/05 at $1,171 $1,171 1,171 Securities Lending Collateral - 6.8% Mellon GSL Delaware Business Trust Collateral Fund 6,434 6,434 Total Short Term Investments (cost $7,606) 7,606 Total Investments - 106.4% (cost $82,651) 101,027 Other Assets and Liabilities, Net - (6.4%) (6,028) Total Net Assets - 100% $ 94,999 JNL/PUTNAM MIDCAP GROWTH FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 25.9% Technology 22.4% Consumer, Cyclical 17.3% Industrial 11.8% Financial 8.3% Communications 6.1% Energy 4.7% Diversified 1.5% Basic Materials 1.4% Money Market Investment 0.6% 100.0% Common Stocks - 99.5% Advertising - 1.1% Getty Images Inc. (b) (l) 5 $ 365 Aerospace & Defense - 1.4% United Defense Industries Inc. (b) 10 487 Apparel - 1.4% Coach Inc. (b) 9 496 Auto Parts & Equipment - 1.4% Autoliv Inc. 10 488 Banks - 0.6% Commerce Bancorp. Inc. (l) 3 200 Biotechnology - 2.6% Biogen Idec Inc. (b) (l) 3 193 Charles River Laboratories International Inc. (b) 9 428 Genzyme Corp. (b) 5 273 894 Building Materials - 1.1% Vulcan Materials Co. 7 388 Chemicals - 0.8% Georgia Gulf Corp. 5 254 Commercial Services - 4.2% Alliance Data Systems Corp. (b) 2 114 Apollo Group Inc. (b) 4 355 Corporate Executive Board Co. 4 288 Equifax Inc. 7 194 Moody's Corp. 4 356 Strayer Education Inc. 1 121 1,428 Computers - 6.2% Lexmark International Inc. (b) 4 340 Logitech International SA (b) (l) 2 140 Network Appliance Inc. (b) (l) 16 541 Sandisk Corp. (b) 23 562 Storage Technology Corp. (b) 16 503 2,086 Cosmetics & Personal Care - 0.8% Alberto-Culver Co. - Class B 6 284 Distribution & Wholesale - 0.5% Hughes Supply Inc. 3 100 Ingram Micro Inc. - Class A (b) 3 69 169 Diversified Financial Services - 6.0% Bear Stearns Cos. Inc. 5 501 Capital One Financial Corp. (l) 6 488 Chicago Mercantile Exchange Holding Inc. 1 160 Doral Financial Corp. 5 266 Nelnet Inc. (b) 11 288 Providian Financial Corp. (b) 21 343 2,046 Electrical Components & Equipment - 0.9% Ametek Inc. 5 178 Energizer Holdings Inc. (b) 3 129 307 Electronics - 0.4% Amphenol Corp. (b) 4 136 Forest Products & Paper - 0.6% Louisiana-Pacific Corp. 8 203 Hand & Machine Tools - 0.8% Black & Decker Corp. 3 291 Healthcare - 12.1% Advanced Medical Optics Inc. (b) (l) - - Biomet Inc. 7 320 C.R. Bard Inc. 7 461 Coventry Health Care Inc. (b) 5 244 Dade Behring Holdings Inc. (b) 4 241 Edwards Lifesciences Corp. (b) 7 297 Gen-Probe Inc. (b) 6 292 Idexx Laboratories Inc. (b) 4 202 Inamed Corp. (b) - 13 Laboratory Corp. of America Holdings (b) 9 468 Pacificare Health Systems Inc. (b) 8 424 Respironics Inc. (b) 4 223 Varian Medical Systems Inc. (b) 8 342 WellPoint Inc. (b) 5 552 4,079 Home Builders - 1.4% NVR Inc. (b) (l) 1 462 Home Furnishings - 1.7% Harman International Industries Inc. 2 292 Whirlpool Corp. 4 291 583 Household Products - 3.4% Fossil Inc. (b) 3 87 Scotts Co. - Class A (b) 3 199 Toro Co. 6 496 Yankee Candle Co. Inc. (b) 11 352 1,134 Insurance - 1.7% Everest Re Group Ltd. 2 215 W.R. Berkley Corp. 8 361 576 Internet - 1.2% McAfee Inc. (b) 3 89 Symantec Corp. (b) 7 185 VeriSign Inc. (b) 4 143 417 Investment Companies - 1.5% Midcap SPDR Trust Series 1 (l) 4 509 Leisure Time - 1.0% Harley-Davidson Inc. (l) 5 322 Lodging - 0.5% Harrah's Entertainment Inc. 2 161 Machinery - 3.6% Graco Inc. 6 220 IDEX Corp. (l) 6 243 Terex Corp. (b) 13 629 Zebra Technologies Corp. (b) 2 110 1,202 Manufacturing - 0.6% ITT Industries Inc. 3 211 Media - 0.7% XM Satellite Radio Holdings Inc. - Class A (b) (l) 6 226 Oil & Gas Producers - 3.7% Amerada Hess Corp. 5 395 Burlington Resources Inc. 4 191 EOG Resources Inc. 2 114 Newfield Exploration Co. (b) 5 266 Pogo Producing Co. 3 155 Sunoco Inc. (l) 2 123 1,244 Oil & Gas Services - 1.0% BJ Services Co. 8 349 Packaging & Containers - 1.2% Ball Corp. 10 422 Pharmaceuticals - 3.5% Barr Laboratories Inc. (b) 6 287 Cephalon Inc. (b) 7 351 Endo Pharmaceuticals Holdings Inc. (b) 4 86 Eon Labs Inc. (b) 1 37 Medicis Pharmaceutical Corp. - Class A (l) 12 407 1,168 Retail - 7.5% Abercrombie & Fitch Co. - Class A 3 150 Aeropostale Inc. (b) 10 304 American Eagle Outfitters Inc. 4 193 Claire's Stores Inc. 25 536 Darden Restaurants Inc. 8 216 Michaels Stores Inc. (l) 8 225 Petco Animal Supplies Inc. (b) 2 91 Staples Inc. 15 489 Starbucks Corp. (b) 5 337 2,541 Semiconductors - 4.7% ATI Technologies Inc. (b) 11 211 Lam Research Corp. (b) 7 211 Linear Technology Corp. 23 876 Sigmatel Inc. (b) 9 306 1,604 Software - 11.5% Acxiom Corp. 8 207 Adobe Systems Inc. 12 753 Autodesk Inc. 5 197 BMC Software Inc. (b) 33 621 Citrix Systems Inc. (b) (l) 29 699 Fair Isaac Corp. 13 473 Navteq Corp. (b) 4 196 Siebel Systems Inc. (b) 11 120 Take-Two Interactive Software Inc. (b) (l) 4 125 Veritas Software Corp. (b) 18 500 3,891 Telecommunications - 0.3% West Corp. (b) 3 93 Telecommunications Equipment - 2.9% Harris Corp. 7 451 Scientific-Atlanta Inc. 7 241 Tellabs Inc. (b) 32 274 966 Tobacco - 0.8% UST Inc. 6 269 Toys & Hobbies - 0.5% Marvel Enterprises Inc. (b) 8 154 Transportation - 1.7% CNF Inc. 8 401 Overseas Shipholding Group Inc. 3 160 561 Total Common Stocks (cost $28,138) 33,666 Short Term Investments - 13.4% Money Market Funds - 0.6% Dreyfus Cash Management Plus, 1.98% (a) 192 192 Securities Lending Collateral - 12.8% Mellon GSL Delaware Business Trust Collateral Fund 4,345 4,345 Total Short Term Investments (cost $4,537) 4,537 Total Investments - 112.9% (cost $32,675) 38,203 Other Assets and Liabilities, Net - (12.9%) (4,373) Total Net Assets - 100% $ 33,830 JNL/PUTNAM VALUE EQUITY FUND Percentage of Total Industry Sector Investments (o) Financial 27.0% Consumer, Non-cyclical 20.3% Technology 12.0% Industrial 11.6% Energy 9.0% Communications 7.2% Consumer, Cyclical 7.1% Basic Materials 3.0% Utilities 2.8% 100.0% Common Stocks - 99.0% Aerospace & Defense - 2.0% Boeing Co. 33 $ 1,724 Lockheed Martin Corp. 48 2,655 4,379 Apparel - 0.1% Liz Claiborne Inc. 6 266 Banks - 6.6% Bank of America Corp. 116 5,465 State Street Corp. 32 1,572 US Bancorp. 66 2,064 Wachovia Corp. 59 3,119 Wells Fargo & Co. 32 1,976 14,196 Beverages - 1.3% Coca-Cola Co. 48 2,002 PepsiCo Inc. 15 773 2,775 Biotechnology - 0.4% Amgen Inc. (b) 13 860 Building Materials - 1.1% Masco Corp. 42 1,523 Vulcan Materials Co. 16 852 2,375 Chemicals - 2.0% Dow Chemical Co. 39 1,906 PPG Industries Inc. 27 1,820 Rohm & Haas Co. 15 668 4,394 Commercial Services - 1.0% Aramark Corp. 24 647 Cendant Corp. 62 1,450 2,097 Computers - 4.9% Dell Inc. (b) 14 607 Hewlett-Packard Co. 245 5,142 International Business Machines Corp. 49 4,860 10,609 Cosmetics & Personal Care - 2.3% Colgate-Palmolive Co. 21 1,079 Estee Lauder Cos. Inc. 29 1,324 Procter & Gamble Co. 48 2,627 5,030 Diversified Financial Services - 13.7% Citigroup Inc. 168 8,109 Countrywide Financial Corp. 20 744 Fannie Mae 78 5,576 Freddie Mac 55 4,061 JPMorgan Chase & Co. 128 5,005 Lehman Brothers Holdings Inc. 22 1,890 MBNA Corp. 34 970 Merrill Lynch & Co. Inc. 29 1,751 Morgan Stanley 12 661 Providian Financial Corp. (b) 47 776 29,543 Electric - 2.8% Alliant Energy Corp. 30 863 Edison International 35 1,115 Exelon Corp. 15 670 MDU Resources Group Inc. 32 848 PG&E Corp. (b) 55 1,834 PPL Corp. 15 789 6,119 Electrical Components & Equipment - 0.6% Emerson Electric Co. 17 1,213 Food - 1.0% General Mills Inc. 23 1,149 H.J. Heinz Co. 23 889 Tyson Foods Inc. 1 20 2,058 Forest Products & Paper - 0.3% Weyerhaeuser Co. 10 672 Gas - 0.0% Sempra Energy - 11 Healthcare - 4.0% Johnson & Johnson 83 5,263 Laboratory Corp. of America Holdings (b) (l) 19 932 Medtronic Inc. 31 1,545 Quest Diagnostics Inc. 9 898 8,638 Home Furnishings - 1.2% Whirlpool Corp. (l) 37 2,547 Insurance - 5.7% ACE Ltd. 51 2,193 Allstate Corp. 29 1,495 Berkshire Hathaway Inc. - Class B (b) - 646 Chubb Corp. 10 792 Hartford Financial Services Group Inc. 22 1,525 Lincoln National Corp. 18 859 MetLife Inc. 29 1,191 St. Paul Cos. Inc. 44 1,617 W.R. Berkley Corp. 1 28 XL Capital Ltd. 25 1,949 12,295 Leisure Time - 0.4% Brunswick Corp. 15 752 Manufacturing - 6.9% General Electric Capital Corp. 210 7,650 Ingersoll-Rand Co. - Class A 32 2,578 Parker Hannifin Corp. 9 674 Tyco International Ltd. (l) 114 4,060 14,962 Media - 2.3% EchoStar Communications Corp. 21 681 Time Warner Inc. (b) 58 1,118 Viacom Inc. - Class B 44 1,583 Walt Disney Co. 58 1,615 4,997 Mining - 0.7% Alcoa Inc. 47 1,464 Office & Business Equipment - 1.2% Xerox Corp. (b) (l) 155 2,643 Oil & Gas Producers - 9.0% Amerada Hess Corp. 11 931 ChevronTexaco Corp. 108 5,687 Exxon Mobil Corp. 207 10,590 Marathon Oil Corp. 59 2,215 19,423 Pharmaceuticals - 6.6% Abbott Laboratories 80 3,746 AmerisourceBergen Corp. 30 1,743 Bristol-Myers Squibb Co. 2 38 Express Scripts Inc. - Class A (b) (l) 23 1,720 Pfizer Inc. 263 7,064 14,311 Retail - 4.9% Foot Locker Inc. 8 214 Home Depot Inc. 45 1,932 Lowe's Cos. Inc. 8 484 McDonald's Corp. 76 2,443 Office Depot Inc. (b) 139 2,410 Rite Aid Corp. (b) 501 1,832 Wal-Mart Stores Inc. 22 1,173 10,488 Semiconductors - 2.2% Freescale Semiconductor Inc. (b) 19 356 Intel Corp. 187 4,367 4,723 Software - 3.7% Automatic Data Processing Inc. 28 1,224 BMC Software Inc. (b) - 7 Fiserv Inc. (b) 36 1,463 Microsoft Corp. 130 3,467 Oracle Corp. (b) 131 1,800 7,961 Telecommunications - 2.9% SBC Communications Inc. 63 1,613 Verizon Communications Inc. 116 4,707 6,320 Telecommunications Equipment - 0.8% Cisco Systems Inc. (b) 91 1,762 Tobacco - 3.7% Altria Group Inc. 103 6,293 Reynolds American Inc. (l) 18 1,423 UST Inc. 6 293 8,009 Toys & Hobbies - 0.6% Mattel Inc. 66 1,286 Transportation - 0.9% Canadian National Railway Co. 26 1,605 Union Pacific Corp. 6 397 2,002 Wireless Telecommunications - 1.2% Motorola Inc. 140 2,408 Total Common Stocks (cost $184,913) 213,588 Short Term Investments - 5.3% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.98% (a) 1 1 Repurchase Agreement - 0.9% Repurchase Agreement with Goldman Sachs and Co., 2.25%, (Collateralized by $1,900 Federal Home Loan Discount Note, 4.50%, due 01/21/05, market value $1,898) acquired on 12/31/04, due 01/03/05 at $1,860 $1,860 1,860 Securities Lending Collateral - 4.4% Mellon GSL Delaware Business Trust Collateral Fund 9,506 9,506 Total Short Term Investments (cost $11,367) 11,367 Total Investments - 104.3% (cost $196,280) 224,955 Other Assets and Liabilities, Net - (4.3%) (9,339) Total Net Assets - 100% $ 215,616 JNL/S&P MANAGED AGGRESSIVE GROWTH FUND Mutual Funds - 100.0% Aggressive Growth - 44.6% JNL/AIM Large Cap Growth Fund (n) 3,667 $ 42,796 JNL/Alger Growth Fund (n) 2,761 42,793 JNL/Eagle Smallcap Equity Fund (n) 1,058 21,123 JNL/FMR Capital Growth Fund (n) 1,385 21,704 JNL/Lazard Mid Cap Value Fund (n) 1,363 19,986 JNL/Lazard Small Cap Value Fund (n) 1,984 27,405 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (n) 3,094 27,229 JNL/Oppenheimer Global Growth Fund (n) 3,394 40,451 JNL/Select Large Cap Growth Fund (n) 804 15,840 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,425 39,727 299,054 Greater Opportunity for Stability - 5.6% JNL/Select Money Market Fund (n) 37,488 37,488 Growth - 36.8% JNL/Eagle Core Equity Fund (n) 5,176 77,428 JNL/Mellon Capital Management Energy Sector Fund (n) 384 7,238 JNL/Mellon Capital Management International Index Fund (n) 2,940 40,193 JNL/Mellon Capital Management Pharmaceutical/Healthcare Sector Fund (n) 593 6,922 JNL/Mellon Capital Management Technology Sector Fund (n) 1,107 6,865 JNL/Select Global Growth Fund (n) 1,528 29,658 JNL/T.Rowe Price Established Growth Fund (n) 4,280 78,578 246,882 Growth & Income - 13.0% JNL/Select Value Fund (n) 1,304 21,798 JNL/T.Rowe Price Value Fund (n) 4,808 65,578 87,376 Total Mutual Funds (cost $591,693) 670,800 Total Investments - 100.0% (cost $591,693) 670,800 Other Assets and Liabilities, Net - 0.0% (89) Total Net Assets - 100% $ 670,711 JNL/S&P MANAGED CONSERVATIVE FUND Mutual Funds - 99.5% Aggressive Growth - 5.1% JNL/AIM Large Cap Growth Fund (n) 36 $ 425 JNL/Alger Growth Fund (n) 18 285 710 Greater Opportunity for Stability - 19.6% JNL/Select Money Market Fund (n) 2,719 2,719 Growth - 14.3% JNL/Eagle Core Equity Fund (n) 67 997 JNL/T.Rowe Price Established Growth Fund (n) 54 999 1,996 Growth & Income - 11.3% JNL/Select Value Fund (n) 43 710 JNL/T.Rowe Price Value Fund (n) 63 861 1,571 Income - 49.2% JNL/PIMCO Total Return Bond Fund (n) 285 3,407 JNL/Salomon Brothers High Yield Bond Fund (n) 81 687 JNL/Salomon Brothers Strategic Bond Fund (n) 180 2,064 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 60 682 6,840 Total Mutual Funds (cost $13,857) 13,836 Total Investments - 99.5% (cost $13,857) 13,836 Other Assets and Liabilities, Net - 0.5% 73 Total Net Assets - 100% $ 13,909 JNL/S&P MANAGED GROWTH FUND Mutual Funds - 100.0% Aggressive Growth - 40.0% JNL/AIM Large Cap Growth Fund (n) 4,647 $ 54,230 JNL/Alger Growth Fund (n) 2,822 43,734 JNL/Eagle Smallcap Equity Fund (n) 1,394 27,831 JNL/FMR Capital Growth Fund (n) 1,410 22,101 JNL/Lazard Mid Cap Value Fund (n) 1,892 27,735 JNL/Lazard Small Cap Value Fund (n) 2,805 38,738 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (n) 6,147 54,095 JNL/Oppenheimer Global Growth Fund (n) 4,718 56,240 JNL/Select Large Cap Growth Fund (n) 1,365 26,913 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,772 49,374 400,991 Greater Opportunity for Stability - 5.3% JNL/Select Money Market Fund (n) 53,570 53,570 Growth - 31.8% JNL/Eagle Core Equity Fund (n) 7,279 108,887 JNL/Mellon Capital Management International Index Fund (n) 4,128 56,423 JNL/Mellon Capital Management S&P 500 Index Fund (n) 2,037 21,709 JNL/Select Global Growth Fund (n) 1,098 21,317 JNL/T.Rowe Price Established Growth Fund (n) 5,992 110,008 318,344 Growth & Income - 13.7% JNL/Select Value Fund (n) 2,282 38,131 JNL/T.Rowe Price Value Fund (n) 7,244 98,802 136,933 Income - 9.2% JNL/PIMCO Total Return Bond Fund (n) 3,801 45,466 JNL/Salomon Brothers Strategic Bond Fund (n) 4,040 46,333 91,799 Total Mutual Funds (cost $899,237) 1,001,637 Total Investments - 100.0% (cost $899,237) 1,001,637 Other Assets and Liabilities, Net - 0.0% (75) Total Net Assets - 100% $ 1,001,562 JNL/S&P MANAGED MODERATE FUND Mutual Funds - 97.4% Aggressive Growth - 17.8% JNL/AIM Large Cap Growth Fund (n) 50 $ 585 JNL/Alger Growth Fund (n) 38 591 JNL/FMR Capital Growth Fund (n) 38 600 JNL/Lazard Mid Cap Value Fund (n) 27 397 JNL/Lazard Small Cap Value Fund (n) 29 395 JNL/Oppenheimer Global Growth Fund (n) 33 399 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 21 592 3,559 Greater Opportunity for Stability - 14.3% JNL/Select Money Market Fund (n) 2,833 2,833 Growth - 18.8% JNL/Eagle Core Equity Fund (n) 105 1,570 JNL/Mellon Capital Management International Index Fund (n) 44 599 JNL/T.Rowe Price Established Growth Fund (n) 86 1,573 3,742 Growth & Income - 12.9% JNL/Select Value Fund (n) 59 979 JNL/T.Rowe Price Value Fund (n) 116 1,580 2,559 Income - 33.5% JNL/PIMCO Total Return Bond Fund (n) 238 2,841 JNL/Salomon Brothers High Yield Bond Fund (n) 112 953 JNL/Salomon Brothers Strategic Bond Fund (n) 166 1,909 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 84 948 6,651 Total Mutual Funds (cost $19,247) 19,344 Total Investments - 97.3% (cost $19,247) 19,344 Other Assets and Liabilities, Net - 2.7% 529 Total Net Assets - 100% $ 19,873 JNL/S&P MANAGED MODERATE GROWTH FUND Mutual Funds - 99.9% Aggressive Growth - 28.5% JNL/AIM Large Cap Growth Fund (n) 2,037 $ 23,768 JNL/Alger Growth Fund (n) 1,470 22,779 JNL/Eagle Smallcap Equity Fund (n) 569 11,360 JNL/FMR Capital Growth Fund (n) 742 11,630 JNL/Lazard Mid Cap Value Fund (n) 810 11,875 JNL/Lazard Small Cap Value Fund (n) 833 11,506 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (n) 3,075 27,057 JNL/Oppenheimer Global Growth Fund (n) 2,126 25,341 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,118 31,163 176,479 Greater Opportunity for Stability - 5.0% JNL/Select Money Market Fund (n) 30,745 30,745 Growth - 29.0% JNL/Eagle Core Equity Fund (n) 4,202 62,858 JNL/Mellon Capital Management International Index Fund (n) 2,241 30,633 JNL/Mellon Capital Management S&P 500 Index Fund (n) 2,034 21,677 JNL/T.Rowe Price Established Growth Fund (n) 3,515 64,536 179,704 Growth & Income - 14.8% JNL/Select Value Fund (n) 1,813 30,294 JNL/T.Rowe Price Value Fund (n) 4,483 61,142 91,436 Income - 22.6% JNL/PIMCO Total Return Bond Fund (n) 5,479 65,523 JNL/Salomon Brothers High Yield Bond Fund (n) 2,035 17,317 JNL/Salomon Brothers Strategic Bond Fund (n) 3,568 40,920 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 1,452 16,426 140,186 Total Mutual Funds (cost $564,351) 618,550 Total Investments - 99.9% (cost $564,351) 618,550 Other Assets and Liabilities, Net - 0.1% 556 Total Net Assets - 100% $ 619,106 JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Percentage of Total Industry Sector Investments (o) Communications 20.4% Consumer, Cyclical 17.3% Industrial 13.0% Consumer, Non-cyclical 11.0% Basic Materials 9.6% Financial 9.5% Energy 9.0% Utilities 6.4% Technology 3.8% 100.0% Common Stocks - 0.3% Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 $ - Food - 0.0% VFB LLC. (b) 79 9 Home Furnishings - 0.0% Mattress Disounter Restricted (b) 1 - Household Products - 0.0% ContinentalAFA Dispensing Co. (b) 4 13 Machinery - 0.0% Terex Corp. (b) - 12 Media - 0.0% UnitedGlobalCom Inc. (b) (l) 10 95 Telecommunications - 0.2% NTL Inc. (b) 3 253 Telewest Global Inc. (b) (l) 10 174 427 Wireless Telecommunications - 0.1% Spectrasite Inc. (b) (l) 4 256 Total Common Stocks (cost $989) 812 Preferred Stocks - 0.0% Wireless Telecommunications - 0.0% Alamosa Holdings Inc., 7.50% - 121 Total Preferred Stocks (cost $38) 121 Warrants - 0.0% Retail - 0.0% Mattress Discounters Corp., Strike Price $0.01, Expiring 07/15/07 - - Telecommunications - 0.0% AT&T Canada Inc., No Strike Price, Expiring 08/15/07 1 25 Minorplanet Systems USA Inc., Strike Price $240.625, Expiring 09/15/05 2 - Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 1 - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 8 Total Warrants (cost $7) 33 Corporate Bonds - 92.7% Advertising - 0.9% R.H. Donnelley Finance Corp. I 8.875%, 12/15/10 (e) $550 613 10.875%, 12/15/12 (e) 1,075 1,277 SITEL Corp., 9.25%, 03/15/06 135 136 Vertis Inc., 9.75%, 04/01/09 (l) 500 543 2,569 Aerospace & Defense - 1.9% Alliant Techsystems Inc., 8.50%, 05/15/11 500 548 DRS Technologies Inc., 6.875%, 11/01/13 (e) 1,150 1,202 L-3 Communications Corp. 6.125%, 07/15/13 1,000 1,033 7.625%, 06/15/12 650 713 Sequa Corp. 8.875%, 04/01/08 196 215 9.00%, 08/01/09 75 86 Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 - Titan Corp., 8.00%, 05/15/11 1,375 1,464 5,260 Airlines - 0.3% Continental Airlines Inc. 7.25%, 11/01/05 25 23 6.541%, 09/15/08 46 42 United AirLines Inc., 6.201%, 09/01/08 (i) 998 910 975 Apparel - 1.0% Levi Strauss & Co., 11.625%, 01/15/08 (l) 1,405 1,475 Oxford Industries, 8.875%, 06/01/11 1,225 1,316 2,791 Auto Manufacturers - 0.5% General Motors Corp., 8.375%, 07/15/33 (l) 1,250 1,295 Auto Parts & Equipment - 0.9% Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 - Keystone Automotive Operations Inc., 9.75%, 11/01/13 50 53 TRW Automotive Inc. 9.375%, 02/15/13 491 570 11.00%, 02/15/13 (l) 1,650 1,988 2,611 Building Materials - 1.0% Ainsworth Lumber, 7.25%, 10/01/12 (e) 1,475 1,501 Associated Materials Inc., 11.25%, 03/01/14 2,025 1,458 2,959 Chemicals - 7.5% Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (i) (l) 150 89 Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 85 - Compass Minerals Group Inc., 10.00%, 08/15/11 75 83 Equistar Chemicals LP 10.125%, 09/01/08 1,000 1,152 10.625%, 05/01/11 2,075 2,407 ETHYL Corp., 8.875%, 05/01/10 95 105 FMC Corp. 10.25%, 11/01/09 500 574 7.75%, 07/01/11 75 79 Huntsman International LLC 9.875%, 03/01/09 2,500 2,744 10.125%, 07/01/09 (l) 75 79 IMC Global Inc., 10.875%, 06/01/08 500 600 Innophos Inc., 8.875%, 08/15/14 (e) 1,250 1,350 ISP Chemco Inc., 10.25%, 07/01/11 100 113 Johnsondiversey Inc., 9.625%, 05/15/12 1,000 1,118 Lyondell Chemical Co. 11.125%, 07/15/12 100 119 9.50%, 12/15/08 600 651 10.50%, 06/01/13 1,700 2,023 Millennium America Inc. 7.00%, 11/15/06 750 780 9.25%, 06/15/08 (l) 565 643 Nalco Co., 8.875%, 11/15/13 (l) 2,000 2,195 PolyOne Corp., 10.625%, 05/15/10 400 450 Resolution Performance Products LLC 8.00%, 12/15/09 100 108 9.50%, 04/15/10 350 379 13.50%, 11/15/10 975 1,060 Rhodia SA 7.625%, 06/01/10 (l) 100 100 10.25%, 06/01/10 750 844 8.875%, 06/01/11 (l) 750 756 Union Carbide Chemical & Plastics Co. Inc., 7.875%, 04/01/23 (l) 200 210 Union Carbide Corp. 6.70%, 04/01/09 (l) 100 106 6.79%, 06/01/25 (l) 100 102 United Industries Corp., 9.875%, 04/01/09 150 157 Westlake Chemical Corp., 8.75%, 07/15/11 48 54 21,230 Commercial Services - 2.0% Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 775 810 Brand Services Inc., 12.00%, 10/15/12 75 84 Cenveo Corp., 7.875%, 12/01/13 (l) 900 837 Iron Mountain Inc. 8.25%, 07/01/11 750 773 8.625%, 04/01/13 1,225 1,302 7.75%, 01/15/15 625 634 Mail-Well I Corp., 9.625%, 03/15/12 (l) 550 604 Service Corp. International 7.70%, 04/15/09 (l) 300 324 7.70%, 04/15/09 (l) 200 216 5,584 Computers - 0.9% Seagate Technology HDD Holdings, 8.00%, 05/15/09 1,500 1,620 Unisys Corp. 7.25%, 01/15/05 370 370 8.125%, 06/01/06 630 664 2,654 Distribution & Wholesale - 0.4% National Waterworks Inc., 10.50%, 12/01/12 1,000 1,125 Wesco Distribution Inc., 9.125%, 06/01/08 75 77 1,202 Diversified Financial Services - 2.9% Affinia Group, 9.00%, 11/30/14 (e) 675 704 Airplane Pass-Through Trust, 10.875%, 03/15/12 (i) 123 - Alamosa Delaware Inc. (Step-Up Bond), 12.00%, 07/31/09 (d) (l) 1,427 1,548 8.50%, 01/31/12 1,500 1,639 BCP Caylux Holdings Luxembourg SCA, 9.625%, 06/15/14 (e) 1,800 2,030 Case Credit Corp., 6.75%, 10/21/07 250 255 CFN Liquidating Trust 115 2 Global Cash Access LLC, 8.75%, 03/15/12 500 539 Riddell Bell Holdings Inc., 8.375%, 10/01/12 (e) 1,450 1,500 Sensus Metering Systems Inc., 8.625%, 12/15/13 75 77 8,294 Electric - 6.3% AES Corp. 8.75%, 06/15/08 (l) 50 55 9.50%, 06/01/09 (l) 2,700 3,071 9.375%, 09/15/10 (l) 50 58 8.875%, 02/15/11 (l) 25 29 9.00%, 05/15/15 (e) 550 630 Allegheny Energy Supply, 10.25%, 11/15/07 (e) 75 85 BRL Universal Equipment, 8.875%, 02/15/08 150 158 Calpine Corp. 8.75%, 07/15/07 (l) 25 22 8.50%, 07/15/10 (e) (l) 3,600 3,087 8.75%, 07/15/13 (e) 40 33 CMS Energy Corp., 8.50%, 04/15/11 1,000 1,136 Edison Mission Energy Corp. 10.00%, 08/15/08 200 230 7.73%, 06/15/09 (l) 125 134 9.875%, 04/15/11 (l) 250 296 Homer City Funding LLC, 8.734%, 10/01/26 100 116 Midwest Generation LLC, 8.56%, 01/02/16 350 389 Mirant Americas Generation Inc. 7.61%, 05/01/06 (i) 50 54 9.125%, 05/01/31 (i) 100 104 Mission Energy Holding Co., 13.50%, 07/15/08 300 374 Nevada Power Co. 8.25%, 06/01/11 1,000 1,149 9.00%, 08/15/13 500 585 NRG Energy Inc., 8.00%, 12/15/13 (e) 2,175 2,370 Orion Power Holdings Inc., 12.00%, 05/01/10 500 635 Reliant Energy Inc., 9.50%, 07/15/13 2,650 3,011 17,811 Electrical Components & Equipment - 0.0% Motors and Gears Inc., 10.75%, 11/15/06 100 98 Electronics - 0.6% Fisher Scientific International, 8.00%, 09/01/13 (l) 500 568 Muzak LLC, 10.00%, 02/15/09 50 46 Sanmina-SCI Corp., 10.375%, 01/15/10 1,000 1,148 1,762 Entertainment - 3.0% Argosy Gaming Co. 9.00%, 09/01/11 1,000 1,115 7.00%, 01/15/14 (l) 100 111 Choctaw Resort Development Enterprise, 7.25%, 11/15/19 (e) 975 985 Cinemark USA Inc., 9.00%, 02/01/13 (l) 1,000 1,141 Herbst Gaming Inc., 8.125%, 06/01/12 1,400 1,498 Isle of Capri Casinos Inc., 7.00%, 03/01/14 100 102 Pinnacle Entertainment Inc. 8.25%, 03/15/12 1,500 1,594 8.75%, 10/01/13 (l) 75 80 Scientific Games Corp., 6.25%, 12/15/12 (e) 700 712 Six Flags Inc. 9.50%, 02/01/09 (l) 1,000 1,040 8.875%, 02/01/10 (l) 200 203 9.625%, 06/01/14 (l) 25 25 8,606 Environmental Control - 1.5% Allied Waste North America 5.75%, 02/15/11 450 423 9.25%, 09/01/12 100 108 7.875%, 04/15/13 1,500 1,538 6.125%, 02/15/14 (l) 800 752 7.375%, 04/15/14 (l) 75 72 IESI Corp., 10.25%, 06/15/12 1,000 1,170 IMCO Recycling Inc., 10.375%, 10/15/10 75 85 Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 - 4,148 Food - 2.7% Ahold Finance USA Inc., 8.25%, 07/15/10 1,000 1,133 Ahold Lease USA Inc., 7.82%, 01/02/20 47 51 Del Monte Corp. 8.625%, 12/15/12 2,000 2,240 9.25%, 05/15/11 1,000 1,095 Doane Pet Care Co, 10.75%, 03/01/10 100 107 Dole Food Co., Inc., 8.875%, 03/15/11 600 652 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (l) 1,500 1,429 United Agri Products, 8.75%, 12/15/11 (e) 1,040 1,115 7,822 Forest Products & Paper - 1.9% Abitibi-Consolidated Inc., 8.55%, 08/01/10 (l) 1,150 1,246 Appleton Papers Inc., 8.125%, 06/15/11 1,000 1,078 Bowater Inc., 6.50%, 06/15/13 100 100 Buckeye Technologies Inc. 9.25%, 09/15/08 (l) 50 50 8.00%, 10/15/10 25 25 Cascades Inc., 7.25%, 02/15/13 500 530 Newark Group Inc., 9.75%, 03/15/14 700 746 Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,582 5,356 Healthcare - 4.8% Ameripath Inc., 10.50%, 04/01/13 75 80 Community Health Systems, 6.50%, 12/15/12 (e) 700 705 Extendicare Health Services Inc., 9.50%, 07/01/10 75 84 HCA Inc. 6.25%, 02/15/13 1,700 1,715 7.69%, 06/15/25 1,350 1,384 7.50%, 11/06/33 (l) 500 510 IASIS Capital Corp., 8.75%, 06/15/14 (l) 2,300 2,507 Insight Health Services Corp., 9.875%, 11/01/11 (l) 50 51 Psychiatric Solutions Inc., 10.625%, 06/15/13 1,200 1,389 Sola International Inc., 6.875%, 03/15/08 75 76 Tenet Healthcare Corp. 6.50%, 06/01/12 1,300 1,203 7.375%, 02/01/13 (l) 175 170 9.875%, 07/01/14 (e) 900 981 Triad Hospitals Inc., 7.00%, 11/15/13 (l) 1,600 1,636 VWR International Inc., 8.00%, 04/15/14 (e) 1,025 1,094 13,583 Holding Companies - Diversified - 0.0% JSG Funding Plc, 9.625%, 10/01/12 75 84 Home Builders - 1.6% K Hovnanian Enterprises Inc., 7.75%, 05/15/13 500 540 Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,113 Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,706 Toll Corp., 8.25%, 02/01/11 500 540 WCI Communities Inc., 10.625%, 02/15/11 500 555 4,454 Home Furnishings - 0.5% Applica Inc., 10.00%, 07/31/08 (l) 21 21 Sealy Mattress Co., 8.25%, 06/15/14 (l) 1,400 1,484 1,505 Household Products - 0.6% Johnsondiversey Holdings Inc., (Step-Up Bond), 10.67%, 05/15/13 (d) 2,000 1,730 Internet - 0.6% FTD Inc., 7.75%, 02/15/14 1,575 1,622 Iron & Steel - 0.0% AK Steel Corp., 7.875%, 02/15/09 75 76 Ispat Inland ULC, 9.75%, 04/01/14 48 60 136 Leisure Time - 0.3% AMF Bowling Worldwide Inc., 10.00%, 03/01/10 100 107 Icon Health & Fitness Corp., 11.25%, 04/01/12 750 630 Leslie's Poolmart Inc., 10.375%, 07/15/08 125 132 869 Lodging - 5.5% Ameristar Casinos Inc., 10.75%, 02/15/09 2,000 2,230 Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,090 Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,183 John Q Hammons Hotels LP, 8.875%, 05/15/12 100 113 Mandalay Resort Group 10.25%, 08/01/07 750 848 6.375%, 12/15/11 500 523 MGM Mirage 9.75%, 06/01/07 2,000 2,220 8.50%, 09/15/10 500 569 Park Place Entertainment Corp. 8.875%, 09/15/08 1,100 1,246 8.125%, 05/15/11 (l) 1,000 1,155 Starwood Hotels & Resorts Worldwide Inc., 7.875%, 05/01/12 1,500 1,714 Station Casinos Inc., 6.50%, 02/01/14 (l) 1,000 1,028 Sun International Hotels Ltd., 8.875%, 08/15/11 275 300 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 1,250 1,353 Venetian Casino Resort LLC, 11.00%, 06/15/10 100 114 15,686 Machinery - 1.2% AGCO Corp., 9.50%, 05/01/08 538 573 Case New Holland Inc. 9.25%, 08/01/11 (e) 1,750 1,947 Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 350 357 NMHG Holding Co., 10.00%, 05/15/09 75 83 Terex Corp., 10.375%, 04/01/11 (l) 500 560 3,520 Manufacturing - 1.2% Blount Inc., 8.875%, 08/01/12 650 705 Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 54 Ki Holdings, (Step-Up Bond), 9.825%, 11/15/14 (d) (e) 2,150 1,376 Park-ohio Industries Inc., 8.375%, 11/15/14 (e) (l) 1,375 1,375 3,510 Media - 8.8% Cablevision Systems Corp., 8.00%, 04/15/12 (e) 50 53 Charter Communications Holdings LLC 8.625%, 04/01/09 (l) 1,850 1,605 10.00%, 04/01/09 2,000 1,800 10.75%, 10/01/09 75 68 10.25%, 09/15/10 1,000 1,060 10.00%, 05/15/11 350 299 Charter Communications Operating LLC, 8.00%, 04/30/12 (e) 1,000 1,040 CSC Holdings Inc. 7.625%, 04/01/11 2,500 2,694 10.50%, 05/15/16 125 142 7.875%, 02/15/18 1,000 1,080 Dex Media Corp., (Step-Up Bond), 9.00%, 11/15/13 (d) 200 157 Dex Media East LLC, 12.125%, 11/15/12 1,494 1,821 Dex Media West LLC, 9.875%, 08/15/13 1,074 1,238 DirecTV Holdings LLC, 8.375%, 03/15/13 2,100 2,355 Echostar DBS Corp., 6.375%, 10/01/11 2,000 2,045 Houghton Mifflin Co. 8.25%, 02/01/11 (l) 270 288 9.875%, 02/01/13 (l) 1,340 1,467 Lodgenet Entertainment Corp., 9.50%, 06/15/13 75 83 Mediacom Broadband LLC, 11.00%, 07/15/13 (l) 50 54 Mediacom Capital Corp., 9.50%, 01/15/13 1,982 1,989 Nextmedia Operating Inc., 10.75%, 07/01/11 125 140 Radio One Inc., 8.875%, 07/01/11 25 27 Rogers Cable Inc. 6.25%, 06/15/13 (l) 1,000 1,003 8.75%, 05/01/32 25 28 Rogers Cablesystems Ltd., 10.00%, 03/15/05 1,100 1,115 Yell Finance BV, (Step-Up Bond), 13.50%, 08/01/11 (d)(l) 33 32 Young Broadcasting Inc., 10.00%, 03/01/11 (l) 1,425 1,520 25,203 Metal Fabrication & Hardware - 1.0% Mueller Group Inc., 10.00%, 05/01/12 90 98 Mueller Holdings Inc., (Step-Up Bond), 14.75%, 04/15/14 (d) 2,000 1,370 Wolverine Tube Inc., 10.50%, 04/01/09 1,300 1,417 2,885 Mining - 0.3% Peabody Energy Corp., 6.875%, 03/15/13 750 812 Office & Business Equipment - 1.5% General Binding Corp., 9.375%, 06/01/08 2,000 2,000 Xerox Corp. 9.75%, 01/15/09 (g) 1,000 1,175 6.875%, 08/15/11 500 532 7.625%, 06/15/13 500 549 4,256 Oil & Gas Producers - 3.6% Chesapeake Energy Corp. 8.125%, 04/01/11 1,000 1,083 7.00%, 08/15/14 500 532 Denbury Resources Inc., 7.50%, 04/01/13 (l) 1,000 1,080 El Paso Production Holding Co., 7.75%, 06/01/13 1,000 1,048 Magnum Hunter Resources Inc., 9.60%, 03/15/12 81 92 Newfield Exploration Co., 7.625%, 03/01/11 975 1,097 Pioneer Natural Resources Co., 5.875%, 07/15/16 (l) 1,000 1,045 Pride International Inc., 7.375%, 07/15/14 (l) 2,000 2,185 Stone Energy Corp., 8.25%, 12/15/11 635 686 Vintage Petroleum Inc. 7.875%, 05/15/11 (l) 850 905 8.25%, 05/01/12 500 550 10,303 Oil & Gas Services - 0.3% Key Energy Services Inc., 6.375%, 05/01/13 500 509 Universal Compression Inc., 7.25%, 05/15/10 200 213 722 Packaging & Containers - 3.8% Anchor Glass Container Corp., 11.00%, 02/15/13 1,300 1,391 Berry Plastics Corp., 10.75%, 07/15/12 1,425 1,632 Graphic Packaging International Corp., 9.50%, 08/15/13 (l) 2,250 2,559 Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 1,000 1,090 Owens-Brockway, 8.875%, 02/15/09 1,000 1,086 Owens-Illinois Inc., 8.10%, 05/15/07 (l) 1,000 1,065 Plastipak Holdings Inc., 10.75%, 09/01/11 100 113 Pliant Corp. 11.125%, 09/01/09 175 190 13.00%, 06/01/10 (l) 400 390 Radnor Holdings Corp., 11.00%, 03/15/10 (l) 100 86 Stone Container Corp. 9.75%, 02/01/11 125 137 8.375%, 07/01/12 1,000 1,090 Tekni-Plex Inc., 12.75%, 06/15/10 (l) 100 95 10,924 Pharmaceuticals - 0.0% aaiPharma Inc., 11.50%, 04/01/10 (l) 75 56 Vicar Operating Inc., 9.875%, 12/01/09 75 82 138 Pipelines - 4.7% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 550 615 6.875%, 04/01/11 (l) 2,100 2,020 10.125%, 07/15/13 (e) 1,500 1,718 7.125%, 05/15/18 25 22 7.625%, 10/15/26 125 109 El Paso Corp. 7.875%, 06/15/12 (l) 2,000 2,093 7.75%, 01/15/32 (l) 1,850 1,770 Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,824 Williams Cos. Inc. 7.125%, 09/01/11 (l) 1,000 1,093 8.125%, 03/15/12 (l) 500 578 7.625%, 07/15/19 50 55 7.875%, 09/01/21 200 223 8.75%, 03/15/32 1,000 1,149 13,269 Real Estate - 1.3% Felcor Lodging LP, 10.00%, 09/15/08 101 106 Host Marriott Corp., 7.875%, 08/01/08 109 111 Host Marriott LP 8.375%, 02/15/06 50 52 7.125%, 11/01/13 (l) 2,075 2,218 Meristar Hospitality Corp., 9.125%, 01/15/11 (l) 1,100 1,188 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 50 55 3,730 Retail - 2.5% Buffets Inc., 11.25%, 07/15/10 75 80 Carrols Corp., 9.00%, 01/15/13 (e) 700 725 CSK Auto Inc., 7.00%, 01/15/14 (l) 425 417 Eye Care Centers of America, 9.125%, 05/01/08 75 75 Finlay Fine Jewelry Corp., 8.375%, 06/01/12 1,325 1,431 General Nutrition Centers Inc., 8.50%, 12/01/10 1,350 1,276 Home Interiors & Gifts Inc., 10.125%, 06/01/08 (l) 175 144 J.C. Penney Co. Inc. 7.125%, 11/15/23 (l) 500 533 7.40%, 04/01/37 1,000 1,068 Jafra Cosmetics International Inc., 10.75%, 05/15/11 100 113 Rite Aid Corp., 11.25%, 07/01/08 (l) 75 81 Saks Inc. 7.50%, 12/01/10 630 671 7.00%, 12/01/13 294 300 7.375%, 02/15/19 75 74 6,988 Semiconductors - 1.3% Amkor Technology Inc. 9.25%, 02/15/08 (l) 1,000 1,022 7.75%, 05/15/13 (l) 1,000 940 Fairchild Semiconductor International Inc., 10.50%, 02/01/09 1,000 1,055 Freescale Semiconductor, 7.125%, 07/15/14 (l) 750 814 3,831 Telecommunications - 3.5% AT&T Corp., 9.75%, 11/15/31 (g) 1,175 1,403 Insight Midwest Capital Inc. 9.75%, 10/01/09 (l) 575 602 10.50%, 11/01/10 (l) 525 575 NTL Cable Plc, 8.75%, 04/15/14 (e) (l) 600 677 Qwest Corp., 5.625%, 11/15/08 (l) 1,500 1,526 Qwest Services Corp. 13.50%, 12/15/07 (e) 1,500 1,714 14.00%, 12/15/10 (e) 2,725 3,277 14.50%, 12/15/14 (e) 50 62 9,836 Telecommunications Equipment - 1.2% Lucent Technologies Inc., 6.45%, 03/15/29 (l) 3,675 3,326 Textiles - 0.5% Simmons Bedding Co. 7.875%, 01/15/14 525 543 10.00%, 12/15/14 (e) (l) 1,350 824 1,367 Tobacco - 0.7% DIMON Inc., 9.625%, 10/15/11 1,820 1,993 Transportation - 0.4% Holt Group Inc., 9.75%, 01/15/06 (i) 125 - Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,276 1,276 Wireless Telecommunications - 4.8% American Tower Corp. 9.375%, 02/01/09 (l) 28 30 7.50%, 05/01/12 (l) 2,750 2,888 Crown Castle International Corp. 9.375%, 08/01/11 675 756 10.75%, 08/01/11 1,000 1,085 Nextel Communications Inc. 6.875%, 10/31/13 (l) 1,500 1,628 7.375%, 08/01/15 2,550 2,805 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) 3,300 2,780 Spectrasite Inc., 8.25%, 05/15/10 50 52 UbiquiTel Operating Co., 9.875%, 03/01/11 1,425 1,600 13,624 Total Corporate Bonds (cost $250,270) 264,209 Short Term Investments - 29.2% Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.98% (a) - - Repurchase Agreement - 5.1% Repurchase Agreement with Merrill Lynch, 2.20%, (Collateralized by $14,985 Federal Home Loan Bank, 6.00%, due 09/03/24, market value $15,032) acquired on 12/31/04, due 01/03/05 at $14,505 $14,505 14,505 Securities Lending Collateral - 24.1% Mellon GSL Delaware Business Trust Collateral Fund 68,806 68,806 Total Short Term Investments (cost $83,311) 83,311 Total Investments - 122.2% (cost $334,615) 348,486 Other Assets and Liabilities, Net - (22.2%) (63,524) Total Net Assets - 100% $ 284,962 JNL/SALOMON BROTHERS STRATEGIC BOND FUND Percentage of Total Industry Sector Investments (o) Financial 30.5% Government 29.1% Mortgage Securities 19.1% Communications 4.3% Asset Backed Securities 3.7% Consumer, Non-cyclical 2.7% Consumer, Cyclical 2.5% Energy 2.3% Basic Materials 1.9% Utilities 1.9% Industrial 1.8% Technology 0.2% 100.0% Common Stocks - 0.6% Computers - 0.0% Axiohm Transaction Solutions Inc. (b) 1 $ - Food - 0.0% VFB LLC. (b) 79 9 Household Products - 0.0% ContinentalAFA Dispensing Co. (b) 9 26 Media - 0.1% UnitedGlobalCom Inc. (b) (l) 29 277 Telecommunications - 0.3% NTL Inc. (b) 8 613 Telewest Global Inc. (b) 12 209 822 Wireless Telecommunications - 0.2% Spectrasite Inc. (b) (l) 6 346 Total Common Stocks (cost $1,285) 1,480 Preferred Stocks - 0.1% Holding Companies - Diversified - 0.0% TCR Holdings - Class B (b) - - TCR Holdings - Class C (b) - - TCR Holdings - Class D (b) 1 - TCR Holdings - Class E (b) 1 - - Wireless Telecommunications - 0.1% Alamosa Holdings Inc., 7.50% - 295 Total Preferred Stocks (cost $99) 295 Rights - 0.0% Sovereign - 0.0% Venezuela Par Rights, No strike price, 04/15/20 4 - Total Rights (cost $0) - Warrants - 0.0% Textiles - 0.0% Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 - - Wireless Telecommunications - 0.0% American Tower Corp., Strike Price $0.01, Expiring 08/01/08 - 33 Total Warrants (cost $9) 33 Corporate Bonds - 35.2% Advertising - 0.3% Advanstar Communications Inc., 10.75%, 08/15/10 175 198 Interep National Radio Sales Inc., 10.00%, 07/01/08 100 75 R.H. Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 175 208 SITEL Corp., 9.25%, 03/15/06 135 136 617 Aerospace & Defense - 0.4% Alliant Techsystems Inc., 8.50%, 05/15/11 125 137 Argo-Tech Corp., 9.25%, 06/01/11 175 192 DRS Technologies Inc., 6.875%, 11/01/13 (e) 150 157 L-3 Communications Corp., 7.625%, 06/15/12 200 220 Sequa Corp., 9.00%, 08/01/09 125 140 846 Agriculture - 0.1% Hines Nurseries Inc., 10.25%, 10/01/11 200 219 Airlines - 0.1% Continental Airlines Inc. 7.25%, 11/01/05 100 94 6.541%, 09/15/08 118 109 203 Apparel - 0.1% Levi Strauss & Co. 7.00%, 11/01/06 50 52 11.625%, 01/15/08 (l) 70 74 12.25%, 12/15/12 80 89 215 Asset Backed Securities - 5.4% Amortizing Residential Collateral Trust, 3.6175%, 08/25/32 (g) 750 754 Argent NIM Trust, 4.70%, 07/25/34 (e) 627 625 Asset Backed Securities Corp. Home Equity Loan, 4.3025%, 04/15/33 (g) 500 507 Bayview Financial Acquisition Trust, 3.6675%, 08/25/36 (e) (g) 1,000 995 Bear Stearns Asset Backed Securities 6.50%, 08/25/05 (e) 165 165 5.00%, 05/25/34 (e) 295 294 5.25%, 08/25/34 (e) 418 417 Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 471 Commercial Mortgage Pass-thru Trust, 3.40%, 11/15/15 (e) (g) 457 460 Countrywide Asset-Backed Certificates 3.6675%, 06/25/34 640 640 5.50%, 10/25/35 (e) 411 411 CS First Boston Mortgage Securities Corp., 3.6375%, 09/25/31 (g) 334 336 First Consumers Master Trust, 2.7125%, 09/15/08 (g) 770 752 Green Tree Financial Corp., 7.07%, 01/15/29 843 895 Merit Securities Corp., 3.92%, 09/28/32 (e) (g) 1,100 1,066 Metris Master Trust, 3.49%, 11/20/09 (g) 700 695 Mid-State Trust, 7.34%, 07/01/35 429 465 Novastar Home Equity Loan, 4.04%, 02/25/34 220 226 3.3925%, 06/25/34 450 449 Residential Asset Securities Corp., 3.52%, 04/25/32 (g) 500 503 Sail Net Interest Margin Notes 7.75%, 04/27/33 (e) 35 35 6.75%, 11/27/33 (e) 75 74 5.50%, 03/27/34 (e) 582 579 5.00%, 04/27/34 (e) 401 403 5.00%, 12/27/34 (e) 472 472 12,689 Auto Manufacturers - 0.3% DaimlerChrysler NA Holding Corp., 4.05%, 06/04/08 625 624 Auto Parts & Equipment - 0.2% Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 - Eagle-Picher Industries Inc., 9.75%, 09/01/13 200 200 Tenneco Automotive Inc., 10.25%, 07/15/13 (l) 100 118 TRW Automotive Inc., 9.375%, 02/15/13 179 208 526 Banks - 1.1% Bank of America Corp., 4.25%, 10/01/10 975 973 Corp. Andina de Fomento, 6.875%, 03/15/12 550 618 Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 730 929 2,520 Building Materials - 0.2% Associated Materials Inc., 11.25%, 03/01/14 350 252 THL Buildco Inc., 8.50%, 09/01/14 (e) 100 105 357 Chemicals - 1.2% Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (i)100 60 Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 140 - Compass Minerals Group Inc., 10.00%, 08/15/11 150 169 Equistar Chemicals LP, 10.625%, 05/01/11 175 203 ETHYL Corp., 8.875%, 05/01/10 225 249 Huntsman International LLC, 10.125%, 07/01/09 250 263 ISP Chemco Inc., 10.25%, 07/01/11 225 254 Lyondell Chemical Co, 11.125%, 07/15/12 225 267 Methanex Corp., 8.75%, 08/15/12 (l) 175 204 Millennium America Inc., 9.25%, 06/15/08 (l) 250 284 Resolution Performance Products LLC 9.50%, 04/15/10 100 108 13.50%, 11/15/10 125 136 Rhodia SA, 7.625%, 06/01/10 (l) 225 226 United Industries Corp., 9.875%, 04/01/09 325 340 Westlake Chemical Corp., 8.75%, 07/15/11 131 148 2,911 Commercial Services - 0.4% Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 75 78 Brand Services Inc., 12.00%, 10/15/12 100 112 Cenveo Corp., 7.875%, 12/01/13 (l) 175 162 Iron Mountain Inc., 7.75%, 01/15/15 350 355 Mail-Well I Corp., 9.625%, 03/15/12 75 82 791 Computers - 0.1% Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 135 Diversified Financial Services - 4.8% Airplane Pass-Through Trust, 10.875%, 03/15/12 (i) 247 - Alamosa Delaware Inc., 11.00%, 07/31/10 161 190 BCP Caylux Holdings Luxembourg SCA, 9.625%, 06/15/14 (e) 150 169 Borden US Finance Corp., 9.00%, 07/15/14 (e) (l) 75 83 Canwest Media Inc., 8.00%, 09/15/12 (e) 279 299 Capital One Financial Corp., 7.25%, 05/01/06 800 839 CIT Group Inc., 7.75%, 04/02/12 925 1,095 Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/00 230 4 Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 1,125 1,094 Ford Motor Credit Co., 7.875%, 06/15/10 375 413 General Electric Capital Corp., 6.00%, 06/15/12 (f) 1,250 1,363 General Motors Acceptance Corp., 6.875%, 09/15/11 (f) 1,025 1,050 Household Finance Corp., 6.375%, 11/27/12 (f) 975 1,077 Huntsman Advanced Materials LLC, 11.00%, 07/15/10 (e) 200 238 International Lease Finance Corp., 4.375%, 11/01/09 325 326 JPMorgan Chase & Co., 6.625%, 03/15/12 (l) 700 784 MBNA Corp., 4.625%, 09/15/08 (l) 675 686 Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 1,000 1,115 Riddell Bell Holdings Inc., 8.375%, 10/01/12 (e) 125 129 Sensus Metering Systems Inc., 8.625%, 12/15/13 250 256 11,210 Electric - 2.0% AES Corp. 9.375%, 09/15/10 (l) 125 145 7.75%, 03/01/14 175 190 Allegheny Energy Supply, 10.25%, 11/15/07 (e) 250 283 BRL Universal Equipment, 8.875%, 02/15/08 7578 Calpine Corp., 8.50%, 07/15/10 (e) (l) 300 257 Calpine Generating Co. LLC, 11.17%, 04/01/11 (g) 125 122 Duke Energy Corp., 4.20%, 10/01/08 (l) 725 731 Edison Mission Energy Corp., 9.875%, 04/15/11 350 415 Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 602 Mirant Americas Generation Inc., 9.125%, 05/01/31 (i) 250 261 Mirant Americas Generation LLC, 8.30%, 05/01/11 (i) 300 317 NRG Energy Inc., 8.00%, 12/15/13 (e) 250 273 Pinnacle West Capital Corp., 6.40%, 04/01/06 675 695 Reliant Energy Inc., 9.50%, 07/15/13 350 398 4,767 Electronics - 0.1% Muzak LLC 10.00%, 02/15/09 75 70 9.875%, 03/15/09 (l) 125 87 157 Entertainment - 0.4% Cinemark Inc., (Step-Up Bond), 9.75%, 03/15/14 (d) 275 208 Herbst Gaming Inc., 8.125%, 06/01/12 175 187 Isle of Capri Casinos Inc., 7.00%, 03/01/14 250 255 LCE Acquisition Corp., 9.00%, 08/01/14 (e) 25 28 Pinnacle Entertainment Inc., 8.75%, 10/01/13 175 189 Six Flags Inc. 9.75%, 04/15/13 (l) 75 76 9.625%, 06/01/14 25 25 968 Environmental Control - 0.2% Allied Waste North America 8.875%, 04/01/08 100 107 9.25%, 09/01/12 100 108 7.375%, 04/15/14 (l) 100 96 IMCO Recycling Escrow Inc., 9.00%, 11/15/14 (e) 25 26 IMCO Recycling Inc., 10.375%, 10/15/10 175 199 Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 - 536 Food - 0.6% Ahold Lease USA Inc., 7.82%, 01/02/20 47 51 Doane Pet Care Co. 10.75%, 03/01/10 25 27 9.75%, 05/15/07 225 222 Kraft Foods Inc., 5.625%, 11/01/11 215 228 Nutritional Sourcing Corp., 10.125%, 08/01/09 14 10 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (l) 175 167 Safeway Inc., 7.25%, 02/01/31 (l) 350 400 Swift & Co, 10.125%, 10/01/09 100 112 United Agri Products, 8.75%, 12/15/11 (e) 199 213 1,430 Forest Products & Paper - 0.7% Abitibi-Consolidated Inc., 8.55%, 08/01/10 125 135 Blue Ridge Paper Products Inc., 9.50%, 12/15/08 100 94 Bowater Canada Finance, 7.95%, 11/15/11 150 162 Buckeye Technologies Inc. 9.25%, 09/15/08 (l) 150 150 8.00%, 10/15/10 75 75 Domtar Inc., 5.375%, 12/01/13 (l) 740 733 Smurfit Capital Funding Plc, 7.50%, 11/20/25 225 224 1,573 Healthcare - 1.6% Ameripath Inc., 10.50%, 04/01/13 (l) 225 239 Extendicare Health Services Inc., 9.50%, 07/01/10 150 168 Genesis HealthCare Corp., 8.00%, 10/15/13 225 244 Humana Inc., 6.30%, 08/01/18 725 744 IASIS Healthcare LLC / IASIS Capital Corp., 8.75%, 06/15/14 200 218 Insight Health Services Corp., 9.875%, 11/01/11 (l) 100 100 Medical Device Manufacturing Inc., 10.00%, 07/15/12 (e) 175 189 National Mentor Inc., 9.625%, 12/01/12 (e) 100 105 Psychiatric Solutions Inc., 10.625%, 06/15/13 150 174 Sybron Dental Specialites Inc., 8.125%, 06/15/12 275 300 Tenet Healthcare Corp. 7.375%, 02/01/13 (l) 275 267 9.875%, 07/01/14 (e) (l) 25 27 UnitedHealth Group Inc., 4.125%, 08/15/09 (l) 475 475 WellPoint Health Networks, 6.375%, 01/15/12 350 386 3,636 Holding Companies - Diversified - 0.0% Nebco Evans Holding Co., 12.375%, 07/15/07 (i) 350 - Home Furnishings - 0.1% Applica Inc., 10.00%, 07/31/08 (l) 64 63 Sealy Mattress Co., 8.25%, 06/15/14 (l) 175 186 249 Internet - 0.1% FTD Inc., 7.75%, 02/15/14 175 180 Iron & Steel - 0.1% AK Steel Corp., 7.875%, 02/15/09 125 126 Leisure Time - 0.1% Equinox Holdings Inc., 9.00%, 12/15/09 (l) 175 186 Icon Health & Fitness Corp., 11.25%, 04/01/12 100 84 270 Lodging - 0.7% Boyd Gaming Corp., 8.75%, 04/15/12 (l) 225 250 Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 83 John Q Hammons Hotels LP, 8.875%, 05/15/12 200 226 Mgm Mirage Inc., 6.75%, 09/01/12 375 395 Park Place Entertainment Corp., 8.125%, 05/15/11 (l) 125 144 Sun International Hotels Ltd., 8.875%, 08/15/11 150 164 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 175 190 Venetian Casino Resort LLC, 11.00%, 06/15/10 200 228 1,680 Machinery - 0.2% Case New Holland Inc., 9.25%, 08/01/11 (e) 25 28 Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 50 51 Flowserve Corp., 12.25%, 08/15/10 125 138 Terex Corp., 10.375%, 04/01/11 (l) 175 196 413 Manufacturing - 0.2% Blount Inc., 8.875%, 08/01/12 75 80 Invensys Plc, 9.875%, 03/15/11 (e) (l) 100 108 Koppers Inc., 9.875%, 10/15/13 125 143 Park-ohio Industries Inc., 8.375%, 11/15/14 (e) 175 175 506 Media - 1.9% AOL Time Warner Inc., 7.625%, 04/15/31 550 665 AT&T Broadband Corp., 8.375%, 03/15/13 600 740 Cablevision Systems Corp. 6.67%, 04/01/09 (e) 175 186 8.00%, 04/15/12 (e) 200 214 CBD Media Holdings LLC, 9.25%, 07/15/12 (e) 100 103 Charter Communications Holdings LLC 8.625%, 04/01/09 (l) 50 43 10.75%, 10/01/09 50 46 10.25%, 01/15/10 125 110 (Step-Up Bond), 11.75%, 01/15/10 (d) 75 70 10.00%, 05/15/11 550 470 (Step-Up Bond), 12.125%, 01/15/12 (d) 75 50 CSC Holdings Inc., 10.50%, 05/15/16 75 85 Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) 200 157 Dex Media West LLC, 9.875%, 08/15/13 196 226 DirecTV Holdings LLC, 8.375%, 03/15/13 200 224 Houghton Mifflin Co., (Step-Up Bond), 11.50%, 10/15/13 (d) (l) 125 92 Lodgenet Entertainment Corp., 9.50%, 06/15/13 300 332 Mediacom Broadband LLC, 11.00%, 07/15/13 135 145 Mediacom Capital Corp., 9.50%, 01/15/13 25 25 Nexstar Finance Holdings LLC Inc., (Step-Up Bond), 11.375%, 04/01/13 (d) 125 99 Nextmedia Operating Inc., 10.75%, 07/01/11 200 224 Radio One Inc., 8.875%, 07/01/11 150 163 4,469 Metal Fabrication & Hardware - 0.1% Mueller Group Inc., 10.00%, 05/01/12 150 164 Mueller Holdings Inc., (Step-Up Bond), 14.75%, 04/15/14 (d) 50 34 198 Mining - 0.4% WMC Finance USA, 5.125%, 05/15/13 800 798 Office Furnishings - 0.1% Interface Inc. 7.30%, 04/01/08 125 128 9.50%, 02/01/14 50 54 Tempur-Pedic Inc., 10.25%, 08/15/10 130 150 332 Oil & Gas Producers - 2.0% Devon Financing Corp. ULC, 6.875%, 09/30/11 650 736 Forest Oil Corp., 8.00%, 12/15/11 250 286 Magnum Hunter Resources Inc., 9.60%, 03/15/12 195 221 Nexen Inc., 5.05%, 11/20/13 (l) 700 695 Petroleos Mexicanos, 9.50%, 09/15/27 450 565 Petronas Capital Ltd., 7.00%, 05/22/12 (e) 275 315 Precision Drilling Corp., 5.625%, 06/01/14 675 703 Stone Energy Corp., 8.25%, 12/15/11 175 189 Swift Energy Co., 9.375%, 05/01/12 50 56 Valero Energy Corp., 4.75%, 06/15/13 735 726 Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 175 186 4,678 Oil & Gas Services - 0.2% Hanover Compressor Co, 11.59%, 03/31/07 (k) 175 153 Key Energy Services Inc., 8.375%, 03/01/08 175 183 336 Packaging & Containers - 0.6% Anchor Glass Container Corp., 11.00%, 02/15/13 150 160 Berry Plastics Corp., 10.75%, 07/15/12 250 286 Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 100 109 Plastipak Holdings Inc., 10.75%, 09/01/11 310 349 Pliant Corp., 11.125%, 09/01/09 100 109 Radnor Holdings Corp., 11.00%, 03/15/10 225 193 Tekni-Plex Inc., 8.75%, 11/15/13 (e) (l) 225 224 1,430 Pharmaceuticals - 0.7% aaiPharma Inc., 11.50%, 04/01/10 (l) 175 130 American Home Products Corp., 6.95%, 03/15/11 675 760 Vicar Operating Inc., 9.875%, 12/01/09 175 192 Wyeth, 5.50%, 03/15/13 600 624 1,706 Pipelines - 0.7% Dynegy Holdings Inc. 9.875%, 07/15/10 (e) 100 112 7.625%, 10/15/26 450 390 El Paso Corp. 7.875%, 06/15/12 (l) 100 105 7.80%, 08/01/31 75 71 7.75%, 01/15/32 (l) 375 359 Williams Cos. Inc. 7.125%, 09/01/11 50 55 7.625%, 07/15/19 75 83 7.875%, 09/01/21 100 112 8.75%, 03/15/32 250 287 1,574 Real Estate - 0.8% Boston Properties Inc., 6.25%, 01/15/13 (f) 700 759 EOP Operating LP, 7.50%, 04/19/29 (f) 575 667 Felcor Lodging LP, 10.00%, 09/15/08 5 5 Host Marriott Corp., 7.875%, 08/01/08 76 78 Host Marriott LP, 9.50%, 01/15/07 75 82 Meristar Hospitality Corp., 9.125%, 01/15/11 75 81 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 100 109 1,781 Retail - 0.9% Eye Care Centers of America, 9.125%, 05/01/08 225 225 Finlay Fine Jewelry Corp., 8.375%, 06/01/12 175 189 Friendly Ice Cream Corp., 8.375%, 06/15/12 (l) 100 98 Home Interiors & Gifts Inc., 10.125%, 06/01/08 (l) 300 248 Jafra Cosmetics International Inc., 10.75%, 05/15/11 200 226 Jean Coutu Group Inc., 8.50%, 08/01/14 (e) (l) 125 128 Ltd. Brands, 6.95%, 03/01/33 (l) 475 517 Petco Animal Supplies Inc., 10.75%, 11/01/11 150 176 Rite Aid Corp., 11.25%, 07/01/08 (l) 125 135 Sbarro Inc., 11.00%, 09/15/09 (l) 175 177 VICORP Restaurants Inc., 10.50%, 04/15/11 125 125 2,244 Savings & Loans - 0.2% Independence Community Bank Corp., 3.50%, 06/20/13 475 458 Semiconductors - 0.1% Amkor Technology Inc., 7.125%, 03/15/11 (l) 350 329 Sovereign - 2.5% Republic of South Africa, 6.50%, 06/02/14 400 438 Republic of Venezuela 10.75%, 09/19/13 1,175 1,407 8.50%, 10/08/14 575 610 Swedish Government, 4.00%, 12/01/09 SEK 20,100 3,115 Ukraine, 7.65%, 06/11/13 200 214 Ukraine Government International Bond, 6.875%, 03/04/11 225 230 6,014 Telecommunications - 1.0% Insight Midwest Capital Inc., 10.50%, 11/01/10 200 219 PanAmSat Corp., 9.00%, 08/15/14 (e) 100 112 Qwest Corp., 9.125%, 03/15/12 (e) 75 87 Qwest Services Corp. 14.00%, 12/15/10 (e) 200 241 14.50%, 12/15/14 (e) 275 348 Sprint Capital Corp., 6.90%, 05/01/19 (f) 650 727 Telecom Italia Capital SA, 4.00%, 01/15/10 (e) 725 710 2,444 Telecommunications Equipment - 0.2% Lucent Technologies Inc., 6.45%, 03/15/29 (l) 475 430 Transportation - 0.3% Holt Group Inc., 9.75%, 01/15/06 (i) 200 - OMI Corp., 7.625%, 12/01/13 175 187 Union Pacific Corp., 3.625%, 06/01/10 (l) 550 529 716 Water - 0.3% United Utilities Plc, 4.55%, 06/19/18 700 641 Wireless Telecommunications - 1.0% American Tower Corp., 7.50%, 05/01/12 (l) 125 131 American Tower Escrow Corp., 11.46%, 08/01/08 (k) 145 108 AT&T Wireless Services Inc., 8.75%, 03/01/31 325 438 Centennial Cellular Operating Co., 10.125%, 06/15/13 200 225 Crown Castle International Corp. 9.375%, 08/01/11 15 17 10.75%, 08/01/11 225 244 7.50%, 12/01/13 75 80 Nextel Communications Inc. 6.875%, 10/31/13 100 109 7.375%, 08/01/15 450 495 SBA Telecommunications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) 250 211 Spectrasite Inc., 8.25%, 05/15/10 100 107 US Unwired Inc., 10.00%, 06/15/12 (l) 175 197 Western Wireless Corp., 9.25%, 07/15/13 75 82 2,444 Total Corporate Bonds (cost $81,078) 83,376 Government Securities - 55.3% Asset Backed Securities - 0.1% First Union National Bank Commercial Mortgage - Interest Only, 0.53%, 05/17/32 11,785 348 Sovereign - 22.7% Finnish Government Bond, 5.75%, 02/23/11 EUR 1,200 1,858 Kingdom of Morocco, 2.69%, 01/02/09 611 600 Malaysia Government International Bond, 7.50%, 07/15/11 475 555 Mexico Government International Bond 5.875%, 01/15/14 1,574 1,613 6.625%, 03/03/15 1,525 1,638 8.125%, 12/30/19 400 469 Netherlands Government Bond, 5.00%, 07/15/11 EUR 3,600 5,390 Region of Lombardy, 5.804%, 10/25/32 750 797 Republic of Argentina 3.50%, 03/31/23 (g) (i) 500 280 6.00%, 03/31/23 (i) 1,200 681 Republic of Brazil 3.125%, 04/15/12 2,510 2,391 8.00%, 04/15/14 2,245 2,297 10.50%, 07/14/14 2,375 2,814 10.125%, 05/15/27 1,265 1,440 12.25%, 03/06/30 610 805 11.00%, 08/17/40 675 801 Republic of Bulgaria, 8.25%, 01/15/15 275 344 Republic of Colombia 10.00%, 01/23/12 375 433 10.75%, 01/15/13 350 418 8.125%, 05/21/24 250 243 8.375%, 02/15/27 225 218 10.375%, 01/28/33 475 549 Republic of Ecuador 12.00%, 11/15/12 1,250 1,275 9.00%, 08/15/30 (h) 300 259 Republic of Germany 4.25%, 02/15/08 EUR 2,700 3,831 5.25%, 01/04/11 (f) EUR 2,600 3,921 Republic of Panama 9.625%, 02/08/11 355 419 9.375%, 01/16/23 365 422 Republic of Peru 9.125%, 02/21/12 800 932 9.875%, 02/06/15 190 233 4.50%, 03/07/17 (h) 425 397 5.00%, 03/07/17 (h) 330 315 Republic of Philippines 8.375%, 03/12/09 800 840 10.625%, 03/16/25 925 987 Republic of Turkey 9.00%, 06/30/11 400 457 11.50%, 01/23/12 425 546 11.00%, 01/14/13 800 1,018 11.875%, 01/15/30 225 324 Republic of Venezuela 5.375%, 08/07/10 850 788 9.25%, 09/15/27 100 106 Russian Federation 11.00%, 07/24/18 1,300 1,818 5.00%, 03/31/30 (h) 6,395 6,615 United Mexican States 6.375%, 01/16/13 1,025 1,092 8.30%, 08/15/31 375 440 53,669 U.S. Government Agencies - 23.7% Federal Home Loan Mortgage Corp. 5.00%, TBA (c) 11,500 11,430 6.50%, TBA (c) 2,000 2,098 Interest Only, 1156.50%, 06/15/21 - - Federal National Mortgage Association 4.50%, TBA (c) 7,000 6,772 5.00%, TBA (c) 9,125 9,060 5.50%, TBA (c) 20,500 20,827 6.00%, TBA (c) 3,000 3,103 6.50%, TBA (c) 2,000 2,097 10.40%, 04/25/19 6 7 6.50%, 02/01/26 13 14 7.50%, 08/01/29 22 24 8.00%, 08/01/29 4 4 7.50%, 09/01/29 53 57 7.50%, 03/01/30 14 15 8.00%, 04/01/30 22 24 7.50%, 05/01/30 10 11 7.50%, 06/01/30 22 24 7.50%, 07/01/30 28 30 8.00%, 07/01/30 2 2 8.00%, 08/01/30 13 14 7.50%, 09/01/30 9 9 8.00%, 10/01/30 160 173 7.50%, 11/01/30 10 10 7.50%, 12/01/30 11 12 7.50%, 01/01/31 20 21 8.00%, 01/01/31 59 65 7.50%, 02/01/31 107 115 8.00%, 02/01/31 6 7 7.50%, 03/01/31 18 19 56,044 U.S. Treasury Securities - 8.8% U.S. Treasury Bond 6.125%, 11/15/27 (l) 100 117 5.50%, 08/15/28 (l) 70 76 5.25%, 11/15/28 (l) 1,500 1,572 5.25%, 02/15/29 (l) 500 524 6.125%, 08/15/29 (l) 1,500 1,761 5.375%, 02/15/31 (l) 750 811 U.S. Treasury Note 3.125%, 04/15/09 (l) 10,500 10,341 4.00%, 02/15/14 (l) 2,350 2,318 4.25%, 08/15/14 (l) 3,130 3,137 20,657 Total Government Securities (cost $125,335) 130,718 Short Term Investments - 50.5% Commercial Paper - 23.3% Chariot Funding LLC, 2.34%, 01/13/05 (f) 5,705 5,700 Chesham Finance LLC, 2.35%, 01/13/05 (f) 5,705 5,700 DaimlerChrysler NA Holdings Inc., 2.46%, 01/13/05 (f) 2,850 2,848 Four Winds Funding Corp., 2.46%, 01/13/05 (f) 2,850 2,848 Galleon Capital LLC, 2.34%, 01/12/05 (f) 5,705 5,701 Hannover Funding Co. LLC, 2.36%, 01/13/05 (f) 5,705 5,701 Lake Constance Funding LLC, 2.33%, 01/12/05 (f) 5,182 5,178 Market Street Funding, 2.34%, 01/13/05 (f) 5,705 5,701 Mica Funding LLC, 2.35%, 01/12/05 (f) 5,705 5,701 Surrey Funding Corp., 2.33%, 01/13/05 (f) 3,309 3,306 Tasman Funding Inc., 2.35%, 01/13/05 (f) 5,000 4,995 Thames Asset Global Securities, 2.36%, 01/13/05 (f) 1,779 1,778 55,157 Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.98% (a) 1 1 Repurchase Agreement - 7.7% Repurchase Agreement with Merrill Lynch, 2.20%, (Collateralized by $18,535 Federal Home Loan Bank, 1.625%, due 06/15/05, market value $18,452) acquired on 12/31/04, due 01/03/05 at $18,102 $18,102 18,102 Securities Lending Collateral - 19.5% Mellon GSL Delaware Business Trust Collateral Fund 46,078 46,078 Total Short Term Investments (cost $119,338) 119,338 Total Investments - 141.7% (cost $327,144) 335,241 Other Assets and Liabilities, Net - (41.7%) (98,527) Total Net Assets - 100% $ 236,714 JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Percentage of Total Industry Sector Investments (o) Government 48.7% Mortgage Securities 31.9% Financial 18.7% Asset Backed Securities 0.7% 100.0% Corporate Bonds - 4.0% Asset Backed Securities - 4.0% Commercial Mortgage Acceptance Corp., 5.447%, 07/16/34 (e) $5,812 $ 6,040 Green Tree Financial Corp., 7.07%, 01/15/29 790 839 Metris Master Trust, 2.71%, 08/20/08 (e) (g) 1,000 1,000 Total Corporate Bonds (cost $7,756) 7,879 Government Securities - 84.8% U.S. Government Agencies - 41.6% Federal Home Loan Mortgage Corp. 4.50%, TBA (c) 1,000 997 5.00%, TBA (c) 9,500 9,443 6.00%, TBA (c) 3,000 3,100 5.80%, 09/02/08 (l) 3,500 3,749 6.00%, 09/01/10 - - 7.00%, 07/01/11 6 6 6.50%, 08/01/13 45 48 8.25%, 04/01/17 4 4 8.00%, 07/01/20 92 99 Interest Only, 5.50%, 01/15/23 10,455 795 6.00%, 11/01/28 707 733 7.00%, 04/01/29 177 187 8.00%, 09/01/31 792 858 7.00%, 10/01/31 11 12 7.00%, 11/01/31 28 30 7.00%, 02/01/32 277 293 7.00%, 03/01/32 263 278 7.00%, 04/01/32 252 268 4.50%, 04/15/32 201 192 7.00%, 06/01/32 37 40 7.00%, 08/01/32 13 14 5.00%, 08/01/33 2,379 2,368 Federal National Mortgage Association 5.00%, TBA (c) 7,000 6,950 5.50%, TBA (c) 30,000 30,534 6.00%, TBA (c) 3,000 3,103 6.50%, TBA (c) 8,000 8,387 3.68%, 02/17/09 (l) 2,000 2,018 12.50%, 09/20/15 2 2 12.00%, 01/01/16 98 110 12.00%, 01/15/16 3 3 12.50%, 01/15/16 45 52 5.00%, 02/01/19 1,343 1,365 11.50%, 09/01/19 - 1 10.50%, 08/01/20 9 10 6.50%, 03/01/26 18 19 7.00%, 05/01/26 20 21 7.00%, 11/01/28 21 22 7.00%, 12/01/28 16 17 78.31%, 12/28/28 (g) 11 11 7.00%, 03/01/29 71 75 8.00%, 07/01/29 2 2 8.00%, 11/01/29 34 37 8.00%, 12/01/29 59 64 7.00%, 01/01/30 83 88 8.00%, 01/01/30 82 89 8.00%, 02/01/30 13 14 8.00%, 05/01/30 5 6 6.527%, 05/25/30 1,674 1,752 8.00%, 09/01/30 6 6 8.00%, 10/01/30 67 73 8.00%, 11/01/30 3 3 8.00%, 01/01/31 175 190 7.50%, 02/01/31 169 181 8.00%, 02/01/31 88 95 8.00%, 03/01/31 101 110 8.00%, 04/01/31 4 4 6.00%, 01/01/33 3,254 3,369 Government National Mortgage Association, 13.50%, 07/15/10 63 72 82,369 U.S. Treasury Securities - 43.2% U.S. Treasury Bond 6.625%, 02/15/27 (f) 2,350 2,897 6.375%, 08/15/27 (f) 1,000 1,200 5.25%, 02/15/29 (f) 2,000 2,098 6.125%, 08/15/29 (f) 1,250 1,468 5.375%, 02/15/31 (f) (m) 17,000 18,383 U.S. Treasury Note 5.75%, 11/15/05 (f) 8,500 8,718 2.875%, 11/30/06 11,000 10,966 3.375%, 11/15/08 1,300 1,296 3.125%, 04/15/09 (f) 3,000 2,955 3.50%, 11/15/09 (l) 20,000 19,906 4.875%, 02/15/12 (f) 10,000 10,570 4.25%, 08/15/14 (l) 5,000 5,010 85,467 Total Government Securities (cost $165,037) 167,836 Short Term Investments - 56.9% Commercial Paper - 20.2% Beethoven Funding Corp., 2.33%, 01/12/05 (f) 5,318 5,314 Chariot Funding LLC, 2.34%, 01/13/05 (f) 5,380 5,376 DaimlerChrysler NA Holdings Inc., 2.46%, 01/13/05 (f) 2,685 2,683 Four Winds Funding Corp., 2.46%, 01/13/05 (f) 2,685 2,683 Galleon Capital LLC, 2.34%, 01/12/05 (f) 5,380 5,376 Hannover Funding Co. LLC, 2.36%, 01/13/05 (f) 5,380 5,376 Market Street Funding, 2.34%, 01/13/05 (f) 4,170 4,167 Mica Funding LLC, 2.35%, 01/12/05 (f) 5,380 5,376 Surrey Funding Corp., 2.33%, 01/13/05 (f) 3,575 3,572 39,923 Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.98% (a) - - Repurchase Agreement - 4.3% Repurchase Agreement with UBS Securities LLC, 2.15%, (Collateralized by $8,134 Federal Home Loan Mortgage Corporation, 5.50%, due 07/15/06, market value $8,612) acquired on 12/31/04, due 01/03/05 at $8,442 8,442 8,442 Securities Lending Collateral - 14.8% Mellon GSL Delaware Business Trust Collateral Fund 29,278 29,278 U.S. Government Agencies - 12.6% Federal Home Loan Bank Discount Note, 1.90%, 01/05/05 $25,000 24,994 U.S. Treasury Bills - 5.0% U.S. Treasury Bill, 1.80%, 01/13/05 10,000 9,995 Total Short Term Investments (cost $112,632) 112,632 Total Investments - 145.7% (cost $285,425) 288,347 Other Assets and Liabilities, Net - (45.7%) (90,471) Total Net Assets - 100% $ 197,876 JNL/SELECT BALANCED FUND Percentage of Total Industry Sector Investments (o) Financial 16.7% Mortgage Securities 14.1% Consumer, Non-cyclical 11.6% Government 10.5% Energy 9.4% Industrial 8.6% Basic Materials 7.5% Communications 7.3% Technology 4.3% Consumer, Cyclical 3.8% Utilities 3.2% Asset Backed Securities 2.3% Money Market Investment 0.7% 100.0% Common Stocks - 64.8% Aerospace & Defense - 1.4% General Dynamics Corp. 33 $ 3,400 United Technologies Corp. 18 1,880 5,280 Auto Parts & Equipment - 0.3% Delphi Corp. 134 1,208 Banks - 3.0% Bank of America Corp. 121 5,682 State Street Corp. 21 1,051 Synovus Financial Corp. 95 2,709 Zions Bancorp. 29 1,986 11,428 Beverages - 1.2% Coca-Cola Co. 62 2,581 Coca-Cola Enterprises Inc. 90 1,877 4,458 Chemicals - 2.9% E.I. du Pont de Nemours & Co. 124 6,072 Potash Corp. 30 2,475 Rohm & Haas Co. 57 2,539 11,086 Computers - 1.6% International Business Machines Corp. 61 6,033 Cosmetics & Personal Care - 0.9% Colgate-Palmolive Co. 50 2,558 Gillette Co. 22 967 3,525 Diversified Financial Services - 5.5% Citigroup Inc. 167 8,036 Franklin Resources Inc. 30 2,076 Freddie Mac 51 3,766 JPMorgan Chase & Co. 64 2,477 MBNA Corp. 74 2,086 Merrill Lynch & Co. Inc. 42 2,523 20,964 Electric - 3.2% Dominion Resources Inc. 19 1,267 Exelon Corp. 102 4,504 Pinnacle West Capital Corp. 50 2,220 PPL Corp. 36 1,907 Progress Energy Inc. 51 2,285 12,183 Electrical Components & Equipment - 0.7% Emerson Electric Co. 36 2,489 Environmental Control - 1.0% Waste Management Inc. 122 3,644 Food - 0.7% General Mills Inc. 52 2,595 Forest Products & Paper - 2.2% International Paper Co. 61 2,579 Weyerhaeuser Co. 84 5,673 8,252 Healthcare - 0.4% Baxter International Inc. 49 1,699 Home Furnishings - 0.6% Whirlpool Corp. 34 2,367 Household Products - 1.4% Avery Dennison Corp. 41 2,471 Kimberly-Clark Corp. 42 2,784 5,255 Insurance - 3.8% ACE Ltd. 90 3,865 American International Group Inc. 50 3,297 Hartford Financial Services Group Inc. 71 4,886 Marsh & McLennan Cos. Inc. 37 1,207 Prudential Financial Inc. 24 1,297 14,552 Machinery - 1.1% Caterpillar Inc. 31 3,062 Deere & Co. 17 1,242 4,304 Manufacturing - 1.8% General Electric Capital Corp. 82 3,000 Parker Hannifin Corp. 52 3,908 6,908 Media - 2.3% Comcast Corp. - Class A (b) 89 2,952 Gannett Co. Inc. 34 2,810 Time Warner Inc. (b) 154 2,984 8,746 Mining - 2.1% Alcoa Inc. 110 3,469 Cameco Corp. (b) 14 1,468 Rio Tinto Plc 27 3,171 8,108 Office & Business Equipment - 0.6% Pitney Bowes Inc. 52 2,420 Oil & Gas Producers - 8.4% Apache Corp. 53 2,680 BP Plc - ADR 87 5,104 ChevronTexaco Corp. 104 5,435 EnCana Corp. 87 4,975 Exxon Mobil Corp. 174 8,935 Total SA - ADR 44 4,822 31,951 Oil & Gas Services - 0.7% Schlumberger Ltd. 38 2,537 Pharmaceuticals - 5.3% Abbott Laboratories 119 5,570 AmerisourceBergen Corp. 39 2,259 Eli Lilly & Co. 50 2,820 Novartis AG - ADR 35 1,769 Pfizer Inc. 59 1,597 Schering-Plough Corp. 179 3,738 Wyeth 60 2,556 20,309 Retail - 2.5% Family Dollar Stores Inc. 70 2,183 McDonald's Corp. 113 3,616 TJX Cos. Inc. 97 2,438 Yum! Brands Inc. 25 1,167 9,404 Semiconductors - 1.1% Broadcom Corp. (b) 58 1,879 Texas Instruments Inc. 100 2,472 4,351 Software - 0.8% Microsoft Corp. 110 2,925 Telecommunications - 3.1% BellSouth Corp. 61 1,706 SBC Communications Inc. 134 3,443 Sprint Corp. - FON Group 54 1,332 Verizon Communications Inc. 131 5,287 11,768 Tobacco - 1.0% Altria Group Inc. 63 3,844 Transportation - 2.6% Canadian Pacific Railway Ltd. (l) 23 801 CSX Corp. 98 3,908 Union Pacific Corp. 78 5,219 9,928 Wireless Telecommunications - 0.6% Motorola Inc. 127 2,182 Total Common Stocks (cost $222,356) 246,703 Corporate Bonds - 12.0% Aerospace & Defense - 0.0% Raytheon Co, 6.75%, 08/15/07 $146 157 Asset Backed Securities - 4.5% AmeriCredit Automobile Receivables Trust 4.46%, 04/12/09 570 577 3.10%, 11/06/09 500 499 Bank of America Commercial Mortgage 5.676%, 06/11/35 500 525 5.464%, 04/11/37 (g) 500 529 5.118%, 07/11/43 750 776 Bank One Issuance Trust, 4.77%, 02/16/16 500 489 BMW Vehicle Owner Trust, 3.52%, 10/25/10 1,000 997 Capital One Master Trust, 4.50%, 06/15/11 500 508 Capital One Multi-Asset Execution Trust, 3.40%, 11/16/09 480 476 Commercial Mortgage Acceptance Corp., 7.629%, 06/15/31 (g) 500 567 CS First Boston Mortgage Securities Corp., 6.133%, 04/15/37 500 546 Discover Card Master Trust I, 3.45%, 04/16/09 1,000 998 GE Capital Commercial Mortgage Corp., 6.03%, 08/11/33 (g) 1,000 1,062 Harley-Davidson Motorcycle Trust 1.89%, 02/15/11 538 526 2.00%, 11/15/11 347 339 JPMorgan Commercial Mortgage Finance Corp. 6.613%, 01/15/30 1,000 1,068 6.507%, 10/15/35 (g) 1,000 1,085 MBNA Credit Master Note Trust, 6.55%, 12/15/08 500 522 MBNA Master Credit Card Trust USA, 6.65%, 08/15/11 (e) 500 542 Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 537 Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 609 PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,102 Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,049 WFS Financial Owner Trust, 2.73%, 05/20/11 619 613 World Omni Auto Receivables Trust, 2.20%, 01/15/08 500 495 17,036 Auto Manufacturers - 0.3% DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 511 General Motors Corp., 7.20%, 01/15/11 (l) 510 523 1,034 Banks - 1.0% Bank of America Corp., 7.40%, 01/15/11 750 869 HSBC Bank USA NA, 5.875%, 11/01/34 250 253 HSBC Holdings Plc, 7.35%, 11/27/32 (e) 500 601 Popular North America Inc., 3.875%, 10/01/08 500 499 US Bank NA, 4.95%, 10/30/14 450 452 Wachovia Corp. 3.625%, 02/17/09 750 742 5.25%, 08/01/14 500 512 3,928 Beverages - 0.3% Diageo Capital Plc, 3.50%, 11/19/07 1,000 997 Commercial Services - 0.3% Aramark Services Inc., 7.00%, 07/15/06 1,000 1,047 Computers - 0.1% Hewlett-Packard Co., 5.50%, 07/01/07 500 521 Cosmetics & Personal Care - 0.1% Procter & Gamble Co., 5.80%, 08/15/34 500 529 Diversified Financial Services - 1.9% Boeing Capital Corp., 6.50%, 02/15/12 500 560 CIT Group Inc., 7.375%, 04/02/07 500 540 Citigroup Inc. 3.50%, 02/01/08 250 250 6.00%, 02/21/12 (l) 500 547 General Electric Capital Corp. 5.875%, 02/15/12 1,000 1,082 6.75%, 03/15/32 500 585 General Motors Acceptance Corp., 6.75%, 12/01/14 (l) 330 330 Household Finance Corp., 6.375%, 11/27/12 500 553 JPMorgan Chase & Co. 6.625%, 03/15/12 (l) 500 560 5.125%, 09/15/14 500 503 Lehman Brothers Holdings Inc., 6.625%, 01/18/12 300 335 Merrill Lynch & Co. Inc., 4.50%, 11/04/10 (l) 750 755 Morgan Stanley Dean Witter & Co., 5.80%, 04/01/07 500 524 7,124 Forest Products & Paper - 0.1% Weyerhaeuser Co., 7.125%, 07/15/23 350 396 Insurance - 1.4% Ace Capital Trust II, 9.70%, 04/01/30 525 698 Ace INA Holdings Inc., 5.875%, 06/15/14 600 614 ASIF Global Financing Corp., 4.90%, 01/17/13 (e) 500 509 AXA, 8.60%, 12/15/30 775 1,018 Hartford Life Inc., 7.375%, 03/01/31 700 836 Liberty Mutual Insurance, 7.875%, 10/15/26 (e) 475 534 Marsh & McLennan Cos. Inc., 5.375%, 07/15/14 675 660 Metlife Inc., 6.50%, 12/15/32 350 381 5,250 Investment Companies - 0.1% Credit Suisse First Boston USA Inc., 4.875%, 01/15/15 345 341 Media - 0.5% Comcast Cable Communications, 7.125%, 06/15/13 (l) 500 579 Comcast Corp., 5.85%, 01/15/10 200 215 Cox Communication Inc., 5.45%, 12/15/14 (e) (l) 500 500 Viacom Inc., 7.70%, 07/30/10 225 263 Walt Disney Co, 5.375%, 06/01/07 400 416 1,973 Mining - 0.1% Corp. Nacional del Cobre de Chile, 5.50%, 10/15/13 (e) 500 521 Oil & Gas Producers - 0.3% ConocoPhillips, 3.625%, 10/15/07 500 500 Valero Energy Corp., 6.875%, 04/15/12 (l) 675 766 1,266 Retail - 0.1% Target Corp., 5.375%, 06/15/09 (l) 500 529 Telecommunications - 0.5% Sprint Capital Corp. 6.125%, 11/15/08 125 134 8.375%, 03/15/12 450 548 Verizon Global Funding Corp. 6.125%, 06/15/07 (l) 500 530 7.75%, 12/01/30 500 621 1,833 Wireless Telecommunications - 0.4% AT&T Wireless Services Inc., 7.875%, 03/01/11 750 884 Vodafone Group Plc, 5.375%, 01/30/15 500 520 1,404 Total Corporate Bonds (cost $45,539) 45,886 Government Securities - 21.0% U.S. Government Agencies - 11.9% Federal Home Loan Mortgage Corp. 5.50%, 10/01/16 550 569 6.00%, 04/01/17 391 409 6.50%, 11/01/17 171 181 5.00%, 01/01/18 175 178 5.50%, 01/01/18 2 2 5.00%, 04/01/18 220 223 4.50%, 05/01/18 233 232 5.00%, 05/01/18 335 340 4.50%, 09/01/18 259 259 4.50%, 11/01/18 525 525 5.50%, 11/01/18 229 237 5.50%, 01/01/19 659 681 4.50%, 03/01/19 1,701 1,697 5.50%, 08/01/19 698 721 7.00%, 11/01/30 397 421 7.00%, 02/01/31 136 144 7.00%, 06/01/31 130 138 7.00%, 10/01/32 343 363 5.50%, 03/01/33 1,255 1,276 4.50%, 06/01/33 232 224 5.50%, 06/01/33 306 312 5.00%, 08/01/33 1,469 1,461 6.50%, 09/01/33 205 215 6.00%, 10/01/33 1,982 2,049 5.00%, 05/01/34 1,499 1,489 5.50%, 05/01/34 191 194 5.00%, 09/01/34 562 559 Federal National Mortgage Association 6.00%, 09/01/17 451 473 5.00%, 10/01/17 406 413 5.00%, 11/01/17 182 185 6.00%, 01/01/18 83 87 5.00%, 02/01/18 792 806 4.50%, 07/01/18 1,725 1,724 5.00%, 12/01/18 1,094 1,112 6.50%, 08/01/28 38 40 6.50%, 11/01/28 80 84 6.50%, 12/01/28 48 50 6.00%, 03/01/29 426 441 7.50%, 09/01/29 143 154 6.50%, 01/01/32 757 795 6.50%, 07/01/32 892 937 6.50%, 09/01/32 1,003 1,054 6.00%, 10/01/32 469 485 6.50%, 03/01/33 394 414 5.00%, 09/01/33 3,967 3,944 7.00%, 10/01/33 1,277 1,353 4.50%, 11/01/33 272 263 5.50%, 11/01/33 2,079 2,112 4.50%, 12/01/33 495 479 5.50%, 12/01/33 1,127 1,145 6.00%, 12/01/33 248 257 5.50%, 03/01/34 738 750 5.00%, 04/01/34 1,121 1,112 5.50%, 04/01/34 2,649 2,692 5.50%, 05/01/34 243 247 6.00%, 06/01/34 545 564 Government National Mortgage Association 6.50%, 04/15/26 130 137 7.00%, 06/15/28 89 95 7.50%, 04/15/29 66 72 7.00%, 07/15/29 83 89 5.50%, 11/15/32 391 400 6.00%, 11/15/32 254 264 6.00%, 03/15/33 152 157 5.50%, 05/15/33 303 310 5.00%, 10/15/33 495 495 5.00%, 05/15/34 2,500 2,503 Government National Mortgage Association II 5.50%, 05/20/33 466 476 5.00%, 06/20/33 202 202 6.00%, 10/20/33 491 508 6.00%, 04/15/34 275 285 45,264 U.S. Treasury Securities - 9.1% U.S. Treasury Bond, 5.375%, 02/15/31 (l) 4,850 5,243 U.S. Treasury Note 1.50%, 03/31/06 (l) 20,850 20,510 2.375%, 08/15/06 (l) 9,117 9,030 34,783 Total Government Securities (cost $79,771) 80,047 Short Term Investments - 12.0% Money Market Funds - 0.7% Dreyfus Cash Management Plus, 1.98% (a) 2,818 2,818 Securities Lending Collateral - 10.0% Mellon GSL Delaware Business Trust Collateral Fund 38,021 38,021 U.S. Government Agencies - 1.3% Federal National Mortgage Association Discount Note, 2.28%, 02/01/05 $5,000 4,991 Total Short Term Investments (cost $45,830) 45,830 Total Investments - 109.8% (cost $393,496) 418,466 Other Assets and Liabilities, Net - (9.8%) (37,128) Total Net Assets - 100% $ 381,338 JNL/SELECT GLOBAL GROWTH FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 24.2% Communications 21.8% Consumer, Cyclical 16.2% Technology 12.4% Financial 12.0% Industrial 11.1% Energy 1.2% Money Market Investment 1.1% 100.0% Common Stocks - 99.0% Advertising - 0.9% JC Decaux SA (b) 65 $ 1,890 Aerospace & Defense - 2.0% European Aeronautic Defense and Space Co. 78 2,271 Rolls-Royce Group Plc 14,845 27 Rolls-Royce Group Plc (b) 454 2,155 4,453 Apparel - 1.1% Adidas-Salomon AG 14 2,308 Auto Manufacturers - 0.5% Kia Motors Corp. (b) 96 1,010 Banks - 7.8% Banca Intesa SpA 195 936 Banco Bilbao Vizcaya Argentaria SA 132 2,349 Bank of America Corp. 47 2,199 Bank of Yokohama Ltd. 171 1,078 Bayerische Hypo-und Vereinsbank AG (b) 162 3,668 Standard Chartered Plc 227 4,213 UFJ Holdings Inc. (b) - 2,630 17,073 Beverages - 1.0% Pernod-Ricard 14 2,175 Commercial Services - 3.8% Apollo Group Inc. (b) 33 2,623 Autostrade SpA 83 2,223 Capita Group Plc 497 3,486 8,332 Computers - 7.3% Apple Computer Inc. (b) 84 5,415 Computer Sciences Corp. (b) 39 2,210 Dell Inc. (b) 104 4,370 Research In Motion Ltd. (b) 48 3,940 15,935 Cosmetics & Personal Care - 1.1% Gillette Co. 55 2,481 Distribution & Wholesale - 1.6% Esprit Holdings Ltd. 572 3,456 Diversified Financial Services - 2.3% Citigroup Inc. 14 689 Goldman Sachs Group Inc. 25 2,549 Man Group Plc 62 1,748 4,986 Entertainment - 1.8% EMI Group Plc 756 3,845 Food - 1.6% Koninklijke Ahold NV (b) 175 1,358 Royal Numico NV (b) 58 2,092 3,450 Healthcare - 1.1% WellPoint Inc. (b) 20 2,312 Insurance - 1.9% Allianz AG 31 4,046 Internet - 6.6% eBay Inc. (b) 27 3,104 Monster Worldwide Inc. (b) 95 3,196 Trend Micro Inc. (b) 71 3,832 Yahoo! Inc. (b) (l) 116 4,360 14,492 Leisure Time - 0.9% Carnival Plc 31 1,905 Lodging - 0.6% Intercontinental Hotels Group Plc. 112 1,386 Manufacturing - 7.6% Danaher Corp. 52 2,956 General Electric Capital Corp. 138 5,052 Ingersoll-Rand Co. - Class A 29 2,329 Parker Hannifin Corp. 38 2,893 Tyco International Ltd. 95 3,399 16,629 Media - 5.0% Grupo Televisa SA - ADR 38 2,305 Vivendi Universal SA (b) 102 3,263 XM Satellite Radio Holdings Inc. - Class A (b) 141 5,312 10,880 Metal Fabrication & Hardware - 0.6% Assa Abloy AB - Class B 70 1,204 Oil & Gas Producers - 1.2% CNOOC Ltd. 3,201 1,720 OAO Gazprom 24 859 2,579 Pharmaceuticals - 14.0% Abbott Laboratories 59 2,734 Elan Corp. Plc - ADR (b) 416 11,333 Forest Laboratories Inc. (b) 107 4,782 Gilead Sciences Inc. (b) 53 1,851 IVAX Corp. (b) 216 3,418 Schering AG 26 1,978 Schering-Plough Corp. 211 4,412 30,508 Retail - 9.8% Best Buy Co. Inc. 66 3,898 Carphone Warehouse Group Plc 1,133 3,737 GUS Plc 159 2,859 Home Depot Inc. 77 3,304 Staples Inc. 105 3,523 Starbucks Corp. (b) 64 3,996 21,317 Software - 5.1% Electronic Arts Inc. (b) 29 1,801 Infosys Technologies Ltd. - ADR (l) 36 2,509 Microsoft Corp. 116 3,095 Pixar Inc. (b) 43 3,647 11,052 Telecommunications - 1.5% Amdocs Ltd. (b) 32 835 PT Telekomunikasi Indonesia ADR 55 1,165 Societe Europeenne des Satellites 101 1,303 3,303 Telecommunications Equipment - 2.9% Alcatel SA (b) 327 5,084 Cisco Systems Inc. (b) 67 1,285 6,369 Tobacco - 1.7% Imperial Tobacco Group Plc 24 666 Japan Tobacco Inc. - 3,037 3,703 Transportation - 0.9% Canadian National Railway Co. 33 2,015 Wireless Telecommunications - 4.8% Nokia Oyj - ADR 108 1,699 Telefonaktiebolaget LM Ericsson (b) 1,157 3,692 Vodafone Group Plc 1,909 5,176 10,567 Total Common Stocks (cost $187,324) 215,661 Short Term Investments - 5.4% Money Market Funds - 1.1% Dreyfus Cash Management Plus, 1.98% (a) 2,440 2,440 Securities Lending Collateral - 4.3% Mellon GSL Delaware Business Trust Collateral Fund 9,311 9,311 Total Short Term Investments (cost $11,751) 11,751 Total Investments - 104.4% (cost $199,075) 227,412 Other Assets and Liabilities, Net - (4.4%) (9,459) Total Net Assets - 100% $ 217,953 JNL/SELECT LARGE CAP GROWTH FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 28.8% Technology 22.4% Communications 17.0% Consumer, Cyclical 12.6% Financial 12.4% Industrial 4.1% Energy 1.4% Money Market Investment 1.3% 100.0% Common Stocks - 99.1% Advertising - 2.0% Omnicom Group Inc. 70 $ 5,916 Aerospace & Defense - 1.0% General Dynamics Corp. 28 2,917 Apparel - 1.1% Coach Inc. (b) 58 3,267 Auto Parts & Equipment - 1.0% Johnson Controls Inc. 45 2,846 Banks - 0.8% State Street Corp. 47 2,309 Biotechnology - 0.8% Genzyme Corp. (b) 42 2,442 Commercial Services - 7.7% Accenture Ltd. (b) 131 3,542 Apollo Group Inc. (b) 192 15,472 Moody's Corp. 43 3,772 22,786 Computers - 9.6% Dell Inc. (b) 292 12,321 Lexmark International Inc. (b) 33 2,823 Research In Motion Ltd. (b) (l) 159 13,092 28,236 Cosmetics & Personal Care - 1.9% Gillette Co. 125 5,580 Distribution & Wholesale - 2.9% CDW Corp. 130 8,622 Diversified Financial Services - 11.2% Capital One Financial Corp. 43 3,611 Citigroup Inc. 100 4,842 Countrywide Financial Corp. 414 15,314 Franklin Resources Inc. 40 2,803 Freddie Mac 89 6,528 33,098 Healthcare - 5.7% Aetna Inc. 24 3,011 Medtronic Inc. 195 9,696 WellPoint Inc. (b) 35 4,055 16,762 Home Builders - 1.2% Lennar Corp. 62 3,487 Insurance - 0.4% Progressive Corp. 15 1,271 Internet - 8.5% eBay Inc. (b) 106 12,322 Google Inc. (b) 8 1,452 Yahoo! Inc. (b) (l) 303 11,414 25,188 Lodging - 0.0% Las Vegas Sands Corp. (b) 3 139 Manufacturing - 3.1% Danaher Corp. 67 3,859 General Electric Capital Corp. 146 5,325 9,184 Media - 2.9% XM Satellite Radio Holdings Inc. - Class A (b) 227 8,542 Oil & Gas Producers - 1.4% Petro-Canada 79 4,034 Pharmaceuticals - 12.9% Abbott Laboratories 146 6,798 AstraZeneca Plc - ADR 251 9,125 Elan Corp. Plc - ADR (b) 100 2,734 Eli Lilly & Co. 116 6,602 Forest Laboratories Inc. (b) 94 4,221 Gilead Sciences Inc. (b) 92 3,223 Schering-Plough Corp. 262 5,468 38,171 Retail - 6.4% Autozone Inc. (b) 73 6,622 Best Buy Co. Inc. 81 4,787 Lowe's Cos. Inc. 54 3,086 Petsmart Inc. 124 4,419 18,914 Semiconductors - 1.0% Xilinx Inc. 97 2,880 Software - 12.0% Electronic Arts Inc. (b) 223 13,769 First Data Corp. 238 10,138 Microsoft Corp. 260 6,952 Pixar Inc. (b) 54 4,580 35,439 Telecommunications Equipment - 2.6% Cisco Systems Inc. (b) 399 7,698 Wireless Telecommunications - 1.1% America Movil SA de CV 62 3,230 Total Common Stocks (cost $266,942) 292,958 Short Term Investments - 5.6% Money Market Funds - 1.3% Dreyfus Cash Management Plus, 1.98% (a) 3,743 3,743 Securities Lending Collateral - 4.3% Mellon GSL Delaware Business Trust Collateral Fund 12,639 12,639 Total Short Term Investments (cost $16,382) 16,382 Total Investments - 104.7% (cost $283,324) 309,340 Other Assets and Liabilities, Net - (4.7%) (13,847) Total Net Assets - 100% $ 295,493 JNL/SELECT MONEY MARKET FUND Percentage of Total Industry Sector Investments (o) Financial 73.8% Government 23.2% Asset Backed Securities 1.7% Mortgage Securities 1.3% 100.0% Corporate Bonds - 5.0% Asset Backed Securities - 2.9% GE Commercial Equipment Financing LLC 2.37%, 11/20/05 (g) $2,458 $ 2,458 2.59%, 12/22/05 (e) (g) 1,500 1,500 Perma Financing Plc., 2.32%, 03/10/05 3,000 3,000 6,958 Diversified Financial Services - 2.1% Principal Life Global Funding I, 2.63%, 03/18/05 (e) 4,900 4,901 Total Corporate Bonds (cost $11,859) 11,859 Government Securities - 2.9% U.S. Government Agencies - 2.9% Federal National Mortgage Association, 1.375%, 02/11/05 7,000 6,993 Total Government Securities (cost $6,993) 6,993 Short Term Investments - 27.4% Certificates of Deposit - 5.9% Credit Suisse First Boston Corp. Certificate of Deposit, 2.35%, 01/20/05 4,000 4,000 Svenska Handels NY Certificate of Deposit, 2.13%, 01/13/05 5,000 5,000 Wells Fargo Bank Certificate of Deposit, 2.01%, 01/19/05 5,000 5,000 14,000 Money Market Funds - 0.0% Dreyfus Cash Management Plus, 1.98% (a) 1 1 U.S. Government Agencies - 20.2% Federal Home Loan Bank Discount Note 2.05%, 01/14/05 $4,345 4,342 2.14%, 01/19/05 6,430 6,423 2.27%, 02/09/05 198 198 Federal Home Loan Mortgage Corp. Discount Note 1.97%, 01/11/05 3,000 2,998 1.97%, 01/12/05 4,000 3,998 2.05%, 01/12/05 5,000 4,997 1.98%, 01/14/05 2,970 2,968 2.00%, 01/19/05 4,000 3,996 2.28%, 02/01/05 4,380 4,371 2.24%, 02/02/05 445 444 2.14%, 02/07/05 5,423 5,411 2.25%, 02/09/05 6,545 6,529 2.31%, 02/14/05 1,400 1,396 48,071 Total Short Term Investments (cost $65,072) 65,072 Commercial Paper - 65.9% Diversified Financial Services - 65.9% Archer-Daniels, 2.15%, 02/02/05 5,500 5,489 Barclays US Funding, 2.25%, 02/22/05 5,000 4,984 CBA Finance, 2.125%, 01/05/05 3,600 3,599 Chariot Funding LLC, 2.33%, 01/19/05 4,550 4,545 Ciesco LLC, 2.18%, 01/27/05 4,300 4,293 Clipper Receivables, 2.34%, 01/19/05 4,500 4,495 Coca-cola Co., 2.24%, 02/01/05 4,140 4,132 CRC Funding, 2.23%, 01/24/05 4,500 4,494 CSFB USA, 2.34%, 02/08/05 2,600 2,594 Depfa Bank, 2.10%, 01/06/05 5,308 5,306 Diageo Capital Plc, 2.295%, 02/01/05 4,300 4,292 Edison Asset Security Corp., 1.98%, 01/12/05 3,800 3,798 Eureka Securities Plc, 2.20%, 01/12/05 1,755 1,754 Falcon Asset Securities Corp., 2.31%, 01/11/05 4,300 4,297 Fortune Brands, 2.30%, 02/09/05 4,500 4,489 Galaxy Funding, 2.35%, 03/03/05 4,000 3,984 General Electric Capital Corp. 2.16%, 01/13/05 5,000 4,996 2.26%, 02/16/05 2,000 1,994 Goldman Sachs Group Inc., 2.33%, 01/28/05 4,000 3,993 Greyhawk Funding, 2.11%, 01/20/05 636 635 International Lease Finance Corp., 2.30%, 01/12/05 3,593 3,590 JPMorgan Chase & Co., 2.14%, 02/01/05 1,618 1,615 Jupiter Securities Corp., 2.44%, 03/15/05 3,275 3,259 Mass Mutual Funding, 2.30%, 01/31/05 1,500 1,497 Mont Blanc Capital, 2.24%, 02/14/05 4,500 4,488 Morgan Stanley, 2.32%, 01/18/05 4,500 4,495 Nationwide Building, 2.37%, 02/22/05 2,265 2,257 Nestle Capital, 2.20%, 01/10/05 3,035 3,033 New York Life Cap, 2.31%, 02/01/05 5,000 4,990 Pepsico Co., 2.30%, 01/21/05 3,000 2,996 Pfizer Inc., 2.14%, 02/02/05 3,000 2,994 Prefco, 2.27%, 01/14/05 4,000 3,997 Proctor & Gamble Co., 2.14%, 02/02/05 5,000 4,990 Quebec Province Co., 2.32%, 02/25/05 6,000 5,979 Shell Finance, 2.22%, 01/06/05 5,000 4,998 Travelers Insurance Co., 2.47%, 03/01/05 3,000 3,000 Variable Funding Capital Corp., 2.32%, 01/14/05 4,750 4,746 Westpac Capital Corp., 2.04%, 01/26/05 5,000 4,993 Windmill Funding Co. 2.06%, 01/19/05 2,000 1,998 2.34%, 02/04/05 2,195 2,190 Yale University, 2.11%, 02/01/05 3,500 3,495 Yorktown Capital, 2.28%, 01/07/05 3,000 2,999 Total Commercial Paper (cost $153,762) 156,762 Total Investments - 99.9% (cost $237,686) 237,686 Other Assets and Liabilities, Net - 0.1% 187 Total Net Assets - 100% $ 237,873 JNL/SELECT VALUE FUND Percentage of Total Industry Sector Investments (o) Financial 25.2% Consumer, Non-cyclical 14.2% Industrial 13.6% Energy 10.6% Consumer, Cyclical 8.7% Utilities 7.7% Communications 7.2% Basic Materials 6.1% Technology 5.3% Money Market Investment 1.4% 100.0% Common Stocks - 98.5% Aerospace & Defense - 2.0% General Dynamics Corp. 22 $ 2,259 Lockheed Martin Corp. 16 911 3,170 Airlines - 1.6% Southwest Airlines Co. 151 2,465 Apparel - 1.5% NIKE Inc. 25 2,249 Auto Manufacturers - 1.0% General Motors Corp. (l) 39 1,542 Auto Parts & Equipment - 0.5% Lear Corp. 14 842 Banks - 10.5% Bank of America Corp. 153 7,175 National City Corp. 102 3,815 PNC Financial Services Group Inc. 23 1,333 SunTrust Banks Inc. 22 1,588 Wells Fargo & Co. 38 2,337 16,248 Beverages - 1.7% PepsiCo Inc. 51 2,636 Chemicals - 3.1% Dow Chemical Co. 33 1,649 E.I. du Pont de Nemours & Co. 65 3,173 4,822 Computers - 1.4% Hewlett-Packard Co. 33 696 International Business Machines Corp. 16 1,528 2,224 Diversified Financial Services - 11.0% Citigroup Inc. 147 7,058 Fannie Mae 22 1,538 Goldman Sachs Group Inc. 31 3,204 JPMorgan Chase & Co. 68 2,638 Morgan Stanley 47 2,609 17,047 Electric - 7.7% Dominion Resources Inc. 31 2,127 Entergy Corp. 30 2,014 Exelon Corp. 84 3,711 PPL Corp. 25 1,316 SCANA Corp. 31 1,206 TXU Corp. (l) 23 1,465 11,839 Electrical Components & Equipment - 2.0% Emerson Electric Co. 44 3,085 Food - 1.7% Kellogg Co. 58 2,599 Forest Products & Paper - 0.5% Weyerhaeuser Co. 12 774 Healthcare - 4.7% Baxter International Inc. 65 2,228 Beckman Coulter Inc. 28 1,856 WellPoint Inc. (b) 28 3,162 7,246 Household Products - 1.2% Kimberly-Clark Corp. 27 1,784 Insurance - 2.9% ACE Ltd. 36 1,518 Chubb Corp. 18 1,377 Principal Financial Group 38 1,571 4,466 Machinery - 4.7% Caterpillar Inc. 57 5,587 Rockwell Automation Inc. 33 1,616 7,203 Manufacturing - 1.9% Illinois Tool Works Inc. 16 1,483 Tyco International Ltd. 42 1,512 2,995 Media - 3.3% Comcast Corp. - Class A (b) 89 2,949 Time Warner Inc. (b) 110 2,128 5,077 Metal Fabrication & Hardware - 1.0% Precision Castparts Corp. 23 1,485 Mining - 2.5% Alcoa Inc. 123 3,855 Oil & Gas Producers - 10.6% ConocoPhillips 37 3,178 Exxon Mobil Corp. 145 7,448 GlobalSantaFe Corp. 99 3,281 Shell Transport & Trading Co. Plc 48 2,447 16,354 Pharmaceuticals - 5.0% Pfizer Inc. 106 2,843 Watson Pharmaceuticals Inc. (b) 57 1,883 Wyeth 69 2,934 7,660 Retail - 4.1% CVS Corp. 69 3,092 Dollar General Corp. 80 1,666 McDonald's Corp. 50 1,609 6,367 Savings & Loans - 0.6% Washington Mutual Inc. 21 879 Semiconductors - 3.9% Applied Materials Inc. (b) 76 1,291 Intel Corp. 73 1,700 Lam Research Corp. (b) 42 1,200 Teradyne Inc. (b) 107 1,823 6,014 Telecommunications - 3.5% BellSouth Corp. 71 1,976 SBC Communications Inc. 75 1,930 Sprint Corp. - FON Group 63 1,553 5,459 Telecommunications Equipment - 0.4% Scientific-Atlanta Inc. 17 552 Transportation - 2.0% CSX Corp. 76 3,033 Total Common Stocks (cost $140,304) 151,971 Short Term Investments - 3.4% Money Market Funds - 1.4% Dreyfus Cash Management Plus, 1.98% (a) 2,171 2,171 Securities Lending Collateral - 2.0% Mellon GSL Delaware Business Trust Collateral Fund 3,053 3,053 Total Short Term Investments (cost $5,224) 5,224 Total Investments - 101.9% (cost $145,528) 157,195 Other Assets and Liabilities, Net - (1.9%) (2,885) Total Net Assets - 100% $ 154,310 JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND Percentage of Total Industry Sector Investments (o) Financial 20.8% Consumer, Non-cyclical 18.5% Communications 16.0% Technology 14.6% Consumer, Cyclical 13.4% Industrial 8.5% Energy 4.3% Money Market Investment 2.0% Basic Materials 1.9% 100.0% Common Stocks - 97.9% Apparel - 0.4% Hermes International 12 $ 2,295 Banks - 6.7% Anglo Irish Bank Corp. Plc 107 2,602 Credit Suisse Group (b) 102 4,288 Mellon Financial Corp. 144 4,483 Northern Trust Corp. 84 4,100 State Street Corp. 235 11,533 UBS AG 96 8,016 US Bancorp. 182 5,694 40,716 Beverages - 0.9% Coca-Cola Co. 90 3,730 PepsiCo Inc. 30 1,561 5,291 Biotechnology - 1.9% Amgen Inc. (b) 125 8,038 Biogen Idec Inc. (b) 33 2,178 Genentech Inc. (b) 28 1,514 11,730 Commercial Services - 3.2% Accenture Ltd. (b) 284 7,676 Apollo Group Inc. (b) 51 4,148 Cendant Corp. 322 7,522 19,346 Computers - 3.1% Affiliated Computer Services Inc. - Class A (b) 128 7,710 Dell Inc. (b) 264 11,117 18,827 Diversified Financial Services - 9.7% American Express Co. 153 8,596 Ameritrade Holding Corp. (b) 296 4,208 Charles Schwab Corp. 284 3,393 Citigroup Inc. 456 21,963 Fannie Mae 28 1,973 Freddie Mac 15 1,113 Goldman Sachs Group Inc. 36 3,745 Merrill Lynch & Co. Inc. 113 6,724 SLM Corp. 134 7,143 58,858 Electrical Components & Equipment - 0.7% Samsung Electronics Co. Ltd. 9 4,004 Entertainment - 1.4% International Game Technology 253 8,695 Food - 1.2% Compass Group Plc 654 3,092 Sysco Corp. 108 4,111 7,203 Healthcare - 7.4% Biomet Inc. 50 2,183 Boston Scientific Corp. (b) 79 2,791 Johnson & Johnson 97 6,152 Medtronic Inc. 118 5,861 Stryker Corp. 37 1,785 UnitedHealth Group Inc. 184 16,206 WellPoint Inc. (b) 88 10,108 45,086 Insurance - 4.4% ACE Ltd. 71 3,023 American International Group Inc. 222 14,579 Hartford Financial Services Group Inc. 97 6,688 Marsh & McLennan Cos. Inc. 78 2,579 26,869 Internet - 2.3% eBay Inc. (b) 32 3,709 Google Inc. (b) (l) 11 2,201 IAC/InterActiveCorp (b) (l) 148 4,091 Yahoo! Inc. (b) 111 4,186 14,187 Iron & Steel - 0.3% Nucor Corp. 39 2,062 Leisure Time - 1.6% Carnival Corp. 114 6,570 Harley-Davidson Inc. (l) 46 2,819 9,389 Lodging - 0.2% MGM MIRAGE (b) 20 1,440 Machinery - 0.7% Deere & Co. 59 4,375 Manufacturing - 6.0% Danaher Corp. (l) 173 9,943 General Electric Capital Corp. 429 15,659 Tyco International Ltd. 294 10,508 36,110 Media - 7.8% British Sky Broadcasting Plc 176 1,895 Clear Channel Communications Inc. 84 2,806 Comcast Corp. - Special Class A (b) 137 4,496 E.W. Scripps Co. 68 3,278 EchoStar Communications Corp. 143 4,760 Liberty Media Corp. (b) 918 10,082 News Corp Inc. (l) 378 7,059 Time Warner Inc. (b) 289 5,612 Univision Communications Inc. (b) (l) 83 2,421 Viacom Inc. - Class B 141 5,125 47,534 Mining - 1.6% BHP Billiton Ltd. 429 5,159 Rio Tinto Plc 149 4,373 9,532 Oil & Gas Producers - 2.1% ChevronTexaco Corp. 117 6,154 Exxon Mobil Corp. 125 6,424 12,578 Oil & Gas Services - 2.2% Baker Hughes Inc. 167 7,117 Schlumberger Ltd. 93 6,247 13,364 Pharmaceuticals - 3.9% Cardinal Health Inc. 27 1,564 Elan Corp. Plc - ADR (b) 96 2,605 Forest Laboratories Inc. (b) 49 2,180 Gilead Sciences Inc. (b) 111 3,898 Pfizer Inc. 231 6,199 Teva Pharmaceutical Industries Ltd. - ADR 85 2,532 Wyeth 108 4,600 23,578 Retail - 9.3% Best Buy Co. Inc. 122 7,252 Family Dollar Stores Inc. (l) 82 2,548 Home Depot Inc. 157 6,704 Inditex SA 82 2,425 Kingfisher Plc 403 2,395 Kohl's Corp. (b) 81 3,978 Starbucks Corp. (b) 31 1,958 Target Corp. 183 9,519 Walgreen Co. 127 4,877 Wal-Mart de Mexico SA de CV 210 722 Wal-Mart de Mexico SA de CV - ADR 42 1,457 Wal-Mart Stores Inc. 233 12,307 56,142 Semiconductors - 3.8% Analog Devices Inc. 138 5,084 ASML Holding NV (b) 117 1,870 Intel Corp. 319 7,468 Maxim Integrated Products Inc. 68 2,899 Texas Instruments Inc. 88 2,157 Xilinx Inc. 119 3,535 23,013 Software - 7.7% Adobe Systems Inc. 60 3,789 Computer Associates International Inc. - 4 First Data Corp. 78 3,297 Fiserv Inc. (b) 123 4,927 Intuit Inc. (b) 75 3,318 Mercury Interactive Corp. (b) (l) 68 3,111 Microsoft Corp. 742 19,821 Oracle Corp. (b) 274 3,758 Red Hat Inc. (b) (l) 152 2,024 SAP AG 14 2,555 46,604 Telecommunications - 0.8% Sprint Corp. - FON Group 105 2,617 TELUS Corp. 42 1,273 TELUS Corp. (b) (l) 39 1,115 5,005 Telecommunications Equipment - 2.2% Cisco Systems Inc. (b) 254 4,902 Corning Inc. (b) 462 5,440 Juniper Networks Inc. (b) 118 3,198 13,540 Tobacco - 0.5% Altria Group Inc. 49 2,969 Transportation - 1.1% United Parcel Service Inc. 80 6,870 Wireless Telecommunications - 2.8% America Movil SA de CV 44 2,314 Crown Castle International Corp. (b) 158 2,622 Nextel Communications Inc. (b) 138 4,149 Qualcomm Inc. 53 2,230 Vodafone Group Plc 1,504 4,079 Vodafone Group Plc - ADR 55 1,512 16,906 Total Common Stocks (cost $508,382) 594,118 Short Term Investments - 7.7% Money Market Funds - 2.0% Dreyfus Cash Management Plus, 1.98% (a) 1,573 1,573 T. Rowe Price Reserves Investment Fund, 2.30% (a) (n) 10,780 10,780 12,353 Securities Lending Collateral - 5.7% Mellon GSL Delaware Business Trust Collateral Fund 34,511 34,511 Total Short Term Investments (cost $46,864) 46,864 Total Investments - 105.6% (cost $555,246) 640,982 Other Assets and Liabilities, Net - (5.6%) (34,073) Total Net Assets - 100% $ 606,909 JNL/T. ROWE PRICE MID-CAP GROWTH FUND Percentage of Total Industry Sector Investments (o) Consumer, Non-cyclical 25.9% Technology 15.2% Communications 14.1% Consumer, Cyclical 11.9% Industrial 11.4% Financial 8.7% Energy 6.5% Money Market Investment 3.8% Basic Materials 2.5% 100.0% Common Stocks - 96.2% Advertising - 0.8% Catalina Marketing Corp. 76 $ 2,252 Getty Images Inc. (b) 21 1,418 Harte-Hanks Inc. 1 32 Lamar Advertising Co. (b) 2 77 Omnicom Group Inc. 2 152 WPP Group Plc 2 98 4,029 Aerospace & Defense - 2.3% Alliant Techsystems Inc. (b) 87 5,688 Empresa Brasiliera de Aeronautica SA - ADR 3 87 Rockwell Collins Inc. 170 6,713 12,488 Agriculture - 0.0% Delta & Pine Land Co. 2 52 Airlines - 1.2% JetBlue Airways Corp. (b) (l) 118 2,740 SkyWest Inc. 4 70 Southwest Airlines Co. 237 3,860 6,670 Apparel - 0.0% Coach Inc. (b) 2 96 Auto Manufacturers - 0.8% Oshkosh Truck Corp. 64 4,376 Banks - 0.9% Boston Private Financial Holdings Inc. 2 68 City National Corp. 1 64 East-West Bancorp. Inc. 2 84 First Horizon National Corp. 1 60 Investors Financial Services Corp. (l) 48 2,399 Mellon Financial Corp. 7 205 North Fork Bancorp. Inc. 3 74 Northern Trust Corp. 6 301 Silicon Valley Bancshares (b) 27 1,188 State Street Corp. 6 300 Synovus Financial Corp. 3 80 UCBH Holdings Inc. 2 68 4,891 Beverages - 0.6% Cott Corp. (b) 130 3,210 Biotechnology - 2.7% Celgene Corp. (b) 3 74 Charles River Laboratories International Inc. (b) 1 28 Chiron Corp. (b) 2 57 Decode Genetics Inc. (b) 5 37 Diversa Corp. (b) 6 52 Genzyme Corp. (b) 1 52 Human Genome Sciences Inc. (b) 99 1,186 Integra LifeSciences Holdings Corp. (b) 1 48 Invitrogen Corp. (b) (l) 38 2,517 Martek Biosciences Corp. (b) 3 133 Medimmune Inc. (b) 277 7,504 Millennium Pharmaceuticals Inc. (b) 5 56 Millipore Corp. (b) 1 60 Nektar Therapeutics (b) 2 40 Protein Design Labs Inc. (b) 70 1,450 Qiagen NV (b) (l) 7 79 Vertex Pharmaceuticals Inc. (b) 92 977 14,350 Building Materials - 0.7% American Standard Cos. Inc. (b) 95 3,925 Trex Co. Inc. (b) 1 63 3,988 Chemicals - 1.1% Ecolab Inc. 2 77 Engelhard Corp. 1 37 Potash Corp. 66 5,482 Praxair Inc. 1 49 Sigma-Aldrich Corp. 1 42 Symyx Technologies Inc. (b) 2 72 Valspar Corp. 1 60 5,819 Commercial Services - 5.7% Apollo Group Inc. (b) 27 2,156 Aramark Corp. 2 56 Career Education Corp. (b) 2 84 ChoicePoint Inc. (b) 167 7,671 Corporate Executive Board Co. 2 100 DeVry Inc. (b) 3 54 Education Management Corp. (b) 97 3,189 Equifax Inc. 3 76 H&R Block Inc. 1 54 Hewitt Associates Inc. - Class A (b) 79 2,529 Iron Mountain Inc. (b) 154 4,703 ITT Educational Services Inc. (b) 2 95 LECG Corp. (b) 3 50 Manpower Inc. 109 5,270 Moody's Corp. 3 278 Paychex Inc. 5 177 Robert Half International Inc. 92 2,702 Universal Technical Institute Inc. (b) 3 99 Viad Corp. 49 1,396 Watson Wyatt & Co. Holdings 2 62 30,801 Computers - 4.3% Affiliated Computer Services Inc. - Class A (b) 2 108 CACI International Inc. - Class A (b) 46 3,134 Cadence Design Systems Inc. (b) (l) 278 3,834 Cognizant Technology Solutions Corp. (b) 5 195 Diebold Inc. 69 3,845 DST Systems Inc. (b) 118 6,135 Factset Research Systems Inc. 2 105 Jack Henry & Associates Inc. 100 1,993 Kronos Inc. (b) 1 66 Lexmark International Inc. (b) 13 1,122 Mercury Computer Systems Inc. (b) 2 47 National Instruments Corp. 2 52 Network Appliance Inc. (b) 2 53 Research In Motion Ltd. (b) 1 49 SunGard Data Systems Inc. (b) 77 2,190 Synopsys Inc. (b) 4 74 23,002 Cosmetics & Personal Care - 0.0% Estee Lauder Cos. Inc. 1 37 Distribution & Wholesale - 0.8% CDW Corp. 66 4,372 Diversified Financial Services - 4.2% A.G. Edwards Inc. 1 52 Ameritrade Holding Corp. (b) 316 4,492 Amvescap Plc ADR 4 50 CapitalSource Inc. (b) 133 3,414 Charles Schwab Corp. 11 126 Eaton Vance Corp. 84 4,360 Federated Investors Inc. 61 1,845 Franklin Resources Inc. 5 313 Janus Capital Group Inc. 2 40 LaBranche & Co. Inc. (b) (l) 7 60 Legg Mason Inc. 49 3,586 Raymond James Financial Inc. 2 71 Waddell & Reed Financial Inc. - Class A 171 4,079 22,488 Electrical Components & Equipment - 0.0% Littelfuse Inc. (b) 2 54 Molex Inc. 4 115 169 Electronics - 4.0% Applera Corp. - Applied Biosystems Group 3 59 Cymer Inc. (b) 2 56 Flextronics International Ltd. (b) 237 3,275 Flir Systems Inc. (b) 54 3,438 Garmin Ltd. 68 4,137 Gentex Corp. 123 4,568 Jabil Circuit Inc. (b) 134 3,435 Mettler-Toledo International Inc. (b) 1 56 Symbol Technologies Inc. 5 85 Waters Corp. (b) 58 2,715 21,824 Entertainment - 0.1% Alliance Gaming Corp. (b) (l) 3 47 DreamWorks Animation SKG Inc. (b) 1 38 International Game Technology 6 199 Shuffle Master Inc. (b) (l) 2 89 373 Environmental Control - 0.0% Stericycle Inc. (b) 2 74 Food - 0.8% Hershey Foods Corp. 2 83 McCormick & Co. Inc. 2 62 Tootsie Roll Industries Inc. 1 42 Whole Foods Market Inc. (l) 45 4,291 WM.Wrigley Jr. Co. 1 75 4,553 Healthcare - 6.8% Arthrocare Corp. (b) 2 74 Bausch & Lomb Inc. 17 1,115 Beckman Coulter Inc. 1 74 Becton Dickinson & Co. 2 85 Biomet Inc. 3 108 C.R. Bard Inc. 2 134 Community Health Systems Inc. (b) 84 2,342 Cooper Cos. Inc. (l) 1 71 Coventry Health Care Inc. (b) 43 2,288 DaVita Inc. (b) 43 1,684 Dentsply International Inc. 2 112 Edwards Lifesciences Corp. (b) 78 3,218 Gen-Probe Inc. (b) 36 1,628 Health Management Associates Inc. (l) 179 4,067 Henry Schein Inc. (b) 2 132 Inamed Corp. (b) 17 1,044 Kinetic Concepts Inc. (b) 67 5,112 Kyphon Inc. (b) 2 53 Laboratory Corp. of America Holdings (b) 110 5,455 Lincare Holdings Inc. (b) 2 86 Manor Care Inc. 157 5,573 Patterson Cos. Inc. (b) 2 95 Quest Diagnostics Inc. 2 162 Renal Care Group Inc. (b) 2 83 ResMed Inc. (b) 1 66 Respironics Inc. (b) 1 60 Smith & Nephew Plc 1 36 St. Jude Medical Inc. (b) 2 101 Sybron Dental Specialties Inc. (b) 2 74 Techne Corp. (b) 1 54 Varian Medical Systems Inc. (b) 25 1,072 Wellchoice Inc. (b) 4 192 WellPoint Inc. (b) 2 196 Wright Medical Group Inc. (b) 2 51 Zimmer Holdings Inc. (b) 1 48 36,745 Home Builders - 0.1% Centex Corp. 2 137 KB Home 1 94 Lennar Corp. 3 153 Pulte Homes Inc. 1 70 Thor Industries Inc. 3 100 Toll Brothers Inc. (b) 2 137 Winnebago Industries 2 63 754 Household Products - 0.0% Avery Dennison Corp. 1 54 Clorox Co. 1 53 107 Insurance - 3.7% AMBAC Financial Group Inc. 1 66 Arch Capital Group Ltd. (b) 1 54 Arthur J. Gallagher & Co. 2 62 Assurant Inc. 148 4,521 Axis Capital Holdings Ltd. 74 2,027 Brown & Brown Inc. 1 61 Markel Corp. (b) - 73 Marsh & McLennan Cos. Inc. 5 158 MBIA Inc. 1 70 MGIC Investment Corp. 1 48 Principal Financial Group 84 3,439 Protective Life Corp. 64 2,732 Radian Group Inc. 50 2,667 RenaissanceRe Holdings Ltd. 1 62 Triad Guaranty Inc. (b) 1 42 Willis Group Holdings Ltd. 94 3,859 19,941 Internet - 4.3% Amazon.Com Inc. (b) (l) 3 146 Check Point Software Technologies Ltd. (b) 3 71 CheckFree Corp. (b) 88 3,351 CNET Networks Inc. (b) (l) 204 2,291 F5 Networks Inc. (b) 1 58 IAC/InterActiveCorp (b) (l) 63 1,740 Internet Security Systems Inc. (b) 3 63 Matrixone Inc. (b) 10 66 McAfee Inc. (b) 211 6,113 Monster Worldwide Inc. (b) 108 3,616 Sina Corp. (b) 4 135 VeriSign Inc. (b) 174 5,829 Websense Inc. (b) 1 67 23,546 Iron & Steel - 0.8% Nucor Corp. 83 4,344 Leisure Time - 1.2% Brunswick Corp. 129 6,390 Harley-Davidson Inc. 1 43 Multimedia Games Inc. (b) 2 27 Royal Caribbean Cruises Ltd. 2 109 Sabre Holdings Corp. 3 55 WMS Industries Inc. (b) 2 60 6,684 Lodging - 1.1% Fairmont Hotels & Resorts Inc. 156 5,404 Hilton Hotels Corp. 4 93 Las Vegas Sands Corp. (b) - 14 Marriott International Inc. - Class A 5 302 Station Casinos Inc. 5 273 Wynn Resorts Ltd. (b) 2 135 6,221 Machinery - 0.0% IDEX Corp. 1 36 Zebra Technologies Corp. (b) 2 96 132 Manufacturing - 3.3% Cuno Inc. (b) 1 53 Danaher Corp. (l) 75 4,283 Dover Corp. 1 42 ITT Industries Inc. 53 4,442 Pall Corp. 2 61 Roper Industries Inc. 104 6,338 Teleflex Inc. 48 2,473 17,692 Media - 3.6% Citadel Broadcasting Corp. (b) 306 4,949 COX Radio Inc. (b) 113 1,861 Cumulus Media Inc. - Class A (b) 2 36 Dow Jones & Co. Inc. (l) 1 60 E.W. Scripps Co. 2 116 Entercom Communications Corp. (b) 79 2,832 McGraw-Hill Cos. Inc. 1 46 Meredith Corp. 3 136 New York Times Co. 2 94 Radio One Inc. - Class D (b) 5 77 Regent Communications Inc. (b) 9 46 Rogers Communications Inc. - Class B (b) 161 4,210 Salem Communications Corp. - Class A (b) 3 77 Scholastic Corp. (b) 68 2,513 Spanish Broadcasting System Inc. (b) 6 63 Univision Communications Inc. (b) 7 217 Washington Post - 197 Westwood One Inc. (b) 3 92 XM Satellite Radio Holdings Inc. - Class A (b) 55 2,069 19,691 Metal Fabrication & Hardware - 0.0% Kaydon Corp. 2 50 Mining - 0.6% Newmont Mining Corp. (l) 79 3,508 Office Furnishings - 0.0% HNI Corp. 1 43 Oil & Gas Producers - 3.3% Diamond Offshore Drilling Inc. (l) 98 3,925 EOG Resources Inc. 51 3,639 Murphy Oil Corp. 68 5,463 XTO Energy Inc. 131 4,617 17,644 Oil & Gas Services - 2.8% Baker Hughes Inc. 3 141 BJ Services Co. 130 6,064 Cooper Cameron Corp. (b) 1 54 FMC Technologies Inc. (b) 113 3,639 Smith International Inc. (b) 90 4,908 Weatherford International Ltd. (b) 2 107 14,913 Packaging & Containers - 0.0% Sealed Air Corp. (b) 1 64 Pharmaceuticals - 9.2% Abgenix Inc. (b) 87 896 Alkermes Inc. (b) 87 1,226 Allergan Inc. 1 81 AmerisourceBergen Corp. 67 3,932 Amylin Pharmaceuticals Inc. (b) 59 1,385 Andrx Corp. (b) 92 2,008 Atherogenics Inc. (b) 3 68 Barr Laboratories Inc. (b) 99 4,508 Caremark Rx Inc. (b) 3 134 Cephalon Inc. (b) (l) 86 4,381 Elan Corp. Plc - ADR (b) 125 3,406 Express Scripts Inc. - Class A (b) 2 138 Eyetech Pharmaceuticals Inc. (b) 37 1,684 Gilead Sciences Inc. (b) 135 4,734 ImClone Systems Inc. (b) 26 1,198 IVAX Corp. (b) 220 3,485 Medco Health Solutions Inc. (b) 4 155 Medicines Co. (b) 2 59 Medicis Pharmaceutical Corp. - Class A 1 49 Neurocrine Biosciences Inc. (b) 47 2,292 Omnicare Inc. 202 6,976 Sepracor Inc. (b) 32 1,879 Taro Pharmaceuticals Industries Ltd. (b) 48 1,633 Valeant Pharmaceuticals International 127 3,346 49,653 Pipelines - 0.5% Western Gas Resources Inc. 94 2,750 Retail - 6.4% 99 Cents Only Stores (b) (l) 3 40 Bed Bath & Beyond Inc. (b) 3 127 Best Buy Co. Inc. 69 4,100 Cheesecake Factory (b) 107 3,476 CVS Corp. 1 45 Dollar General Corp. 7 150 Dollar Tree Stores Inc. (b) 60 1,732 Family Dollar Stores Inc. (l) 155 4,847 Fred's Inc. 3 59 Men's Wearhouse Inc. (b) 2 54 MSC Industrial Direct Co. Inc. 17 612 O'Reilly Automotive Inc. (b) 66 2,982 Outback Steakhouse Inc. 1 55 Petsmart Inc. 149 5,287 PF Chang's China Bistro Inc. (b) 40 2,254 Ross Stores Inc. 124 3,568 Ruby Tuesday Inc. 2 45 Shoppers Drug Mart Corp. (b) 66 2,053 Staples Inc. 3 108 Tiffany & Co. 6 195 TJX Cos. Inc. 8 212 Williams-Sonoma Inc. (b) 82 2,859 34,860 Semiconductors - 5.0% Altera Corp. (b) 12 238 AMIS Holdings Inc. (b) 117 1,931 Analog Devices Inc. 7 262 ASML Holding NV - NYS (b) 4 64 Broadcom Corp. (b) 4 113 Integrated Circuit Systems Inc. (b) 98 2,054 Intersil Corp. 194 3,249 KLA-Tencor Corp. (b) (l) 2 84 Lam Research Corp. (b) 2 64 Linear Technology Corp. 6 244 Marvell Technology Group Ltd. (b) 2 78 Maxim Integrated Products Inc. 6 259 Microchip Technology Inc. 143 3,802 National Semiconductor Corp. 9 153 Novellus Systems Inc. (b) 123 3,442 PMC - Sierra Inc. (b) 154 1,733 Power Integrations Inc. (b) 3 49 QLogic Corp. (b) 87 3,203 Semtech Corp. (b) 94 2,049 Silicon Laboratories Inc. (b) 2 60 Xilinx Inc. 125 3,690 26,821 Software - 6.0% Adobe Systems Inc. 43 2,717 BMC Software Inc. (b) 4 71 Certegy Inc. 146 5,187 Citrix Systems Inc. (b) 35 861 Cognos Inc. (b) 34 1,476 Dun & Bradstreet Corp. (b) 1 60 Electronic Arts Inc. (b) 2 117 Fair Isaac Corp. 2 84 FILENET Corp. (b) 1 36 Fiserv Inc. (b) 70 2,805 Global Payments Inc. 59 3,454 Hyperion Solutions Corp. (b) 2 89 IMS Health Inc. 5 121 Intuit Inc. (b) 34 1,514 Mercury Interactive Corp. (b) (l) 66 3,011 MoneyGram International Inc. 172 3,638 Navteq Corp. (b) 94 4,358 Red Hat Inc. (b) 145 1,932 SEI Investments Co. 2 67 Veritas Software Corp. (b) 29 818 32,416 Telecommunications - 0.6% TELUS Corp. 103 3,113 Telecommunications Equipment - 2.3% Adtran Inc. 64 1,215 Comverse Technology Inc. (b) (l) 77 1,883 Corning Inc. (b) 11 131 Harris Corp. 107 6,612 JDS Uniphase Corp. (b) (l) 31 99 Juniper Networks Inc. (b) 86 2,332 Plantronics Inc. 1 50 12,322 Textiles - 0.0% Cintas Corp. 3 136 Toys & Hobbies - 0.0% Mattel Inc. 3 56 Transportation - 1.0% C.H. Robinson Worldwide Inc. 55 3,054 Expeditors International of Washington Inc. (l) 41 2,291 Landstar System Inc. (b) 2 118 UTI Worldwide Inc. 1 61 5,524 Wireless Telecommunications - 2.6% American Tower Corp. (b) 4 72 Crown Castle International Corp. (b) 235 3,917 Nextel Communications Inc. (b) 64 1,920 Nextel Partners Inc. (b) 193 3,773 Rogers Wireless Communications Inc. (b) 2 91 Western Wireless Corp. (b) 140 4,099 13,872 Total Common Stocks (cost $387,071) 521,264 Short Term Investments - 10.9% Money Market Funds - 3.8% Dreyfus Cash Management Plus, 1.98% (a) 861 861 T. Rowe Price Reserves Investment Fund, 2.30% (a) (n) 19,470 19,470 20,331 Securities Lending Collateral - 7.1% Mellon GSL Delaware Business Trust Collateral Fund 38,723 38,723 Total Short Term Investments (cost $59,054) 59,054 Total Investments - 107.1% (cost $446,125) 580,318 Other Assets and Liabilities, Net - (7.1%) (38,546) Total Net Assets - 100% $ 541,772 JNL/T. ROWE PRICE VALUE FUND Percentage of Total Industry Sector Investments (o) Financial 22.7% Communications 14.6% Consumer, Non-cyclical 14.1% Industrial 13.1% Consumer, Cyclical 8.7% Energy 7.5% Basic Materials 7.2% Money Market Investment 5.3% Technology 3.8% Utilities 2.8% Government 0.2% 100.0% Common Stocks - 94.2% Aerospace & Defense - 2.8% Lockheed Martin Corp. 92 $ 5,122 Raytheon Co. 113 4,388 Rockwell Collins Inc. 102 4,007 13,517 Airlines - 0.1% Delta Air Lines Inc. (b) (l) 39 289 Auto Manufacturers - 0.7% General Motors Corp. (l) 81 3,253 Banks - 6.2% Bank of America Corp. 144 6,776 Comerica Inc. 60 3,637 Mellon Financial Corp. 120 3,724 Royal Bank of Scotland Group Plc 147 4,945 State Street Corp. 116 5,688 US Bancorp. 165 5,180 29,950 Beverages - 2.8% Coca-Cola Co. 157 6,515 Coca-Cola Enterprises Inc. 110 2,283 Heineken NV 145 4,828 13,626 Biotechnology - 1.0% Chiron Corp. (b) 23 760 Medimmune Inc. (b) 154 4,180 4,940 Chemicals - 2.2% E.I. du Pont de Nemours & Co. 121 5,935 Great Lakes Chemical Corp. 126 3,601 Hercules Inc. (b) 91 1,353 10,889 Computers - 1.4% Hewlett-Packard Co. 222 4,651 Synopsys Inc. (b) 112 2,194 6,845 Diversified Financial Services - 6.9% American Express Co. 86 4,870 Charles Schwab Corp. 298 3,563 Citigroup Inc. 82 3,939 Franklin Resources Inc. 53 3,699 Freddie Mac 55 4,083 JPMorgan Chase & Co. 195 7,609 Merrill Lynch & Co. Inc. 38 2,289 Morgan Stanley 67 3,726 33,778 Electric - 2.8% Duke Energy Corp. (l) 132 3,354 FirstEnergy Corp. 92 3,651 NiSource Inc. (l) 242 5,522 Pinnacle West Capital Corp. 27 1,216 13,743 Environmental Control - 1.0% Waste Management Inc. 165 4,949 Food - 2.0% Campbell Soup Co. 110 3,276 General Mills Inc. 102 5,060 Safeway Inc. (b) 68 1,343 9,679 Forest Products & Paper - 3.3% Bowater Inc. (l) 124 5,430 International Paper Co. 151 6,326 MeadWestvaco Corp. 127 4,307 16,063 Healthcare - 2.0% Johnson & Johnson 77 4,909 Medtronic Inc. 93 4,609 9,518 Home Furnishings - 0.9% Sony Corp. - ADR 108 4,192 Household Products - 2.4% Clorox Co. 36 2,122 Fortune Brands Inc. 51 3,905 Newell Rubbermaid Inc. 223 5,382 11,409 Insurance - 9.2% Berkshire Hathaway Inc. - Class A (b) - 4,395 Cigna Corp. 40 3,255 Genworth Financial Inc. - Class A 175 4,725 Hartford Financial Services Group Inc. 71 4,900 Marsh & McLennan Cos. Inc. 177 5,813 Principal Financial Group 127 5,216 Prudential Financial Inc. 47 2,556 Radian Group Inc. 84 4,456 Safeco Corp. (l) 65 3,401 St. Paul Cos. Inc. 156 5,792 44,509 Iron & Steel - 1.1% Nucor Corp. 106 5,543 Leisure Time - 0.6% Harley-Davidson Inc. 48 2,928 Lodging - 1.1% Fairmont Hotels & Resorts Inc. 147 5,096 Manufacturing - 6.9% Cooper Industries Ltd. - Class A 44 3,001 Eastman Kodak Co. 57 1,832 Eaton Corp. 43 3,119 General Electric Capital Corp. 338 12,319 Honeywell International Inc. 181 6,392 Pall Corp. 47 1,365 Tyco International Ltd. 152 5,422 33,450 Media - 10.0% Cablevision Systems Corp. (b) 170 4,243 Comcast Corp. - Class A (b) 35 1,155 Comcast Corp. - Special Class A (b) 200 6,578 Dow Jones & Co. Inc. (l) 102 4,409 Liberty Media Corp. (b) 641 7,040 Liberty Media International Inc. - Class A (b) 26 1,205 New York Times Co. (l) 116 4,741 Pearson Plc 159 1,916 Reuters Group Plc 383 2,779 Time Warner Inc. (b) 309 6,015 Viacom Inc. - Class B 117 4,240 Walt Disney Co. 149 4,139 48,460 Mining - 0.6% Alcoa Inc. 86 2,685 Oil & Gas Producers - 5.8% Amerada Hess Corp. 29 2,356 ConocoPhillips 40 3,509 Exxon Mobil Corp. 93 4,788 Royal Dutch Petroleum Co. - NYS 100 5,732 Statoil ASA 290 4,550 Total SA - ADR 67 7,327 28,262 Oil & Gas Services - 1.7% Baker Hughes Inc. 124 5,274 Schlumberger Ltd. 45 2,979 8,253 Pharmaceuticals - 4.4% Bristol-Myers Squibb Co. 105 2,682 Cardinal Health Inc. 88 5,106 Merck & Co. Inc. 172 5,512 Schering-Plough Corp. 156 3,251 Wyeth 111 4,710 21,261 Retail - 3.8% CVS Corp. 73 3,272 Family Dollar Stores Inc. 158 4,941 May Department Stores Co. (l) 175 5,154 McDonald's Corp. 89 2,837 RadioShack Corp. 66 2,157 18,361 Semiconductors - 1.2% Freescale Semiconductor Inc. (b) 19 357 Intel Corp. 76 1,771 Texas Instruments Inc. 143 3,528 5,656 Software - 1.2% Microsoft Corp. 221 5,890 Telecommunications - 3.2% Alltel Corp. 53 3,085 MCI Inc. 71 1,434 Qwest Communications International Inc. (b) 900 3,994 Sprint Corp. - FON Group 234 5,805 TELUS Corp. (b) 10 295 TELUS Corp. 38 1,154 15,767 Tobacco - 0.6% Altria Group Inc. 49 2,969 Toys & Hobbies - 0.5% Hasbro Inc. 124 2,407 Transportation - 2.4% CSX Corp. 138 5,535 Union Pacific Corp. 94 6,328 11,863 Wireless Telecommunications - 1.4% Motorola Inc. 176 3,032 Nokia Oyj - ADR 248 3,886 6,918 Total Common Stocks (cost $378,822) 456,918 Preferred Stocks - 0.8% Diversified Financial Services - 0.3% Lehman Brothers Holdings Inc., 6.25% (b) 48 1,296 Insurance - 0.3% Genworth Financial Inc., 6.00% 24 762 UnumProvident Corp., 7.25% 32 972 1,734 Sovereign - 0.2% Fannie Mae, 5.375% (b) - 846 Total Preferred Stocks (cost $3,388) 3,876 Corporate Bonds - 0.3% Airlines - 0.1% Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) (l) $1,030 704 Pharmaceuticals - 0.2% Schering-Plough Corp., 6.00%, 09/14/07 (j) 17 926 Total Corporate Bonds (cost $1,814) 1,630 Short Term Investments - 11.8% Money Market Funds - 5.3% Dreyfus Cash Management Plus, 1.98% (a) 2,392 2,392 T. Rowe Price Reserves Investment Fund, 2.30% (a) (n) 23,465 23,465 25,857 Securities Lending Collateral - 6.5% Mellon GSL Delaware Business Trust Collateral Fund 31,583 31,583 Total Short Term Investments (cost $57,440) 57,440 Total Investments - 107.1% (cost $441,464) 519,864 Other Assets and Liabilities, Net - (7.1%) (34,704) Total Net Assets - 100% $ 485,160
JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 -------------------------------------------------------------------------------- (a) Dividend yield changes daily to reflect current market conditions. Rate is the quoted yield as of December 31, 2004. (b) Non-income producing security. (c) Investment purchased on a when-issued basis. As of December 31, 2004, the total cost of investments purchased on a when-issued basis, in thousands, for the JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total Return Fund, JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund are: $29,093; $66,327; $55,299 and $62,380, respectively. (d) Deferred interest security that receives no current coupon payments until a predetermined date at which time the stated coupon rate becomes effective. (e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund has deemed these securities to be liquid based on procedures approved by the Board of Trustees. As of December 31, 2004, the market value, in thousands, of 144A or other restricted securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International Value Fund, JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total Return Bond Fund, JNL/Putnam International Equity Fund, JNL/Salomon Brothers High Yield Bond Fund, JNL/Salomon Brothers Strategic Bond Fund, JNL/Salomon Brothers U.S. Government & Quality Bond Fund, JNL/Select Balanced Fund, JNL/Select Money Market Fund and JNL/T.Rowe Price Value Fund are: $209; $1,212; $293; $4,961; $541; $41,379; $13,373; $7,040; $3,207; $6,401 and $704, respectively. (f) All or a portion of the security pledged as collateral for an investment purchased on a when-issued basis. (g) Variable rate security. Rate stated is in effect as of December 31, 2004. (h) Coupon payment periodically increases over the life of the security. Rate is in effect as of December 31, 2004. (i) Security is in default. (j) Convertible security. (k) Zero coupon security. Rate stated is the effective yield as of December 31, 2004. (l) All or portion of the security has been loaned. (m) All or portion of the security pledged to cover margin requirements on open futures contracts. (n) Investments in affiliates. See Note 3 in the Notes to the Financial Statements. (o) Sector weightings excluding securities lending collateral. Abbreviations: ADR - American Depository Receipt KRW - Korean Won AUD - Australian Dollar MXN - Mexican Peso BRL - Brazilian Real NOK - Norwegian Krone BZD - Belize Dollar NYS - New York Shares CAD - Canadian Dollar NZD - New Zealand Dollar CHF - Swiss Franc PEN - New Sol CLP - Chilean Peso RUB - Russian Ruble DKK - Danish Krone SEK - Swedish Krona EUR - European Currency Unit (Euro) SGD - Singapore Dollar GBP - British Pound SKK - Slovak Koruna GDR - Global Depository Receipt TWD - New Taiwan Dollar HKD - Hong Kong Dollar USD - United States Dollar INR - Indian Rupee ZAR - Rand JPY - Japanese Yen JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 SCHEDULE OF OPTIONS WRITTEN: ----------------------------------------------------------------------------------------------------------------------------- EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000's) JNL/PIMCO Total Return Bond Fund Call Swaption, 3 month LIBOR versus 5.50% fixed 1/7/2005 $ n/a 6 $ (43) Put Swaption, 3 month LIBOR versus 7.00% fixed 1/7/2005 n/a 6 - U.S. 10-Year Treasury Note Future Call Option 2/18/2005 114.00 267 (62) U.S. 10-Year Treasury Note Future Put Option 2/18/2005 108.00 187 (18) (123) ------------- $ (123) ============= JNL/Putnam Equity Fund Career Education Corporation Call Option 1/18/2005 $ 45.08 1,089 $ - Apple Computer Inc. Put Option 1/21/2005 55.89 1,184 (1) ------------- $ (1) SUMMARY OF WRITTEN CALL OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2004 (IN THOUSANDS EXCEPT CONTRACTS): ----------------------------------------------------------------------------------------------------------------------------- NUMBER OF CONTRACTS PREMIUMS JNL/AIM Small Cap Growth Fund Options outstanding at December 31, 2003 51 $ 7 Options written during the period 692 79 Options closed during the period (140) (22) Options exercised during the period (490) (46) Options expired during the period (113) (18) ------------ ------------ Options outstanding at December 31, 2004 - $ - ============ ============ JNL/PIMCO Total Return Bond Fund Options outstanding at December 31, 2003 238 $ 307 Options written during the period 1,882 971 Options closed during the period (166) (83) Options exercised during the period (228) (85) Options expired during the period (1,260) (918) ------------ ------------ Options outstanding at December 31, 2004 466 $ 192 ============ ============ JNL/Putnam Equity Fund Options outstanding at December 31, 2003 - $ - Options written during the period 119,530 71 Options closed during the period (39,552) (25) Options exercised during the period (3,716) (4) Options expired during the period (73,989) (39) ------------ ------------ Options outstanding at December 31, 2004 2,273 $ 3 ============ ============ JNL/Putnam Value Equity Fund Options outstanding at December 31, 2003 - $ - Options written during the period 61,286 14 Options closed during the period - - Options exercised during the period - - Options expired during the period (61,286) (14) ------------ ------------ Options outstanding at December 31, 2004 - $ - ============ ============ Summary of Swap Agreements : ------------------------------------------------------------------------------------------------------------------------------ UNREALIZED NOTIONAL AMOUNT APPRECIATION/(DEPRECIATION) JNL/PIMCO TOTAL RETURN BOND FUND Barclay's Capital Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 06/15/10 $ 17,300 $ 7 Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/16/11 3,500 75 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 06/18/34 600 (32) Goldman Sachs Capital Markets, L.P. Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 129,100 (34) Receive floating rate based on 3 month LIBOR and pay fixed rate equal to 5.00%, 06/15/15 2,800 25 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/17 400 (8) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/17 700 43 Greenwich Capital Derivatives, Inc. Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 06/15/10 14,200 78 JPMorgan Chase Bank Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 600 48 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 300 (10) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 06/18/34 2,600 209 Lehman Brothers Special Financing Inc. Receive floating rate based on 3 month LIBOR and pay fixed rate equal to 5.00%, 06/15/15 7,000 52 Merrill Lynch Capital Services, Inc. Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 06/18/34 400 19 Morgan Stanley Capital Services Inc. Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 06/15/07 14,500 (25) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 130,000 (46) Receive floating rate based on 3 month LIBOR and pay fixed rate equal to 5.00%, 06/15/15 18,200 66 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 06/18/34 600 (4) UBS Warburg AG Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/16/11 1,900 43 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 380,000 (160) Receive fixed rate equal to 6.00% and pay floating rate based on 6 month EURIBOR, 03/15/32 300 22 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 03/15/32 200 (9) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 5.00%, 06/18/34 600 (27) Wachovia Charlotte Capital Markets Receive floating rate based on 1 month Lehman Brothers ERISA-eligible CMBS Index and pay a floating rate based on 1 month LIBOR MINUS 0.40%, 04/01/05 700 3 ------------- $ 335 ============= SUMMARY OF SECURITIES SOLD SHORT : ------------------------------------------------------------------------------------------------------------------------------ PAR AMOUNT MARKET VALUE JNL/PIMCO Total Return Bond Fund U.S. Treasury Note, 3.875%, 02/15/13 $ (800) $ (789) U.S. Treasury Note, 4.75%, 05/15/14 (1,900) (1,980) ------------ Total (proceeds $2,742) $ (2,769) ============ Notes to the Schedule of Investments December 31, 2004 Summary of Investments by Country: ---------------------------------------------------------------------------------------------------------------- JNL/Mellon JNL/Alliance JNL/FMR Capital JNL/ JNL/ JNL/Salomon Capital Capital JNL/JPMorgan Management Oppenheimer PIMCO JNL/Putnam Brothers Growth Growth International International Global Total Return International Strategic Fund Fund Value Fund Index Fund Growth Fund Bond Fund Equity Fund Bond Fund ---------------------------------------------------------------------------------------------------------------- Argentina - % - % - % - % - % - % - % 0.3 % Australia - - - 4.9 0.4 - 0.8 0.3 Austria - - - 0.3 - - 0.6 - Bahamas - - - - - - - 0.1 Barbados 1.7 - - - - - - - Belgium - - - 1.3 - - 0.6 - Bermuda - 0.2 - - - - 0.6 - Brazil - 2.6 0.9 - 2.1 0.7 1.2 3.7 Bulgaria - - - - - - - 0.1 Canada 0.7 5.2 - - 2.1 - 1.1 1.0 Cayman Islands - - - - - - - 0.1 China - - - - - - 0.6 - Colombia - - - - - - - 0.7 Denmark - - - 0.8 - - 0.9 - Ecuador - - - - - - - 0.5 Finland - - 1.4 1.4 0.1 - 0.1 0.6 France - - 8.4 8.9 7.1 - 12.1 - Germany 1.4 - 12.1 6.7 2.9 7.8 4.3 2.7 Greece - - - 0.5 - - 0.7 - Hong Kong - 1.8 2.2 1.6 1.6 - 0.4 - Hungary - - - - - - 0.1 - India - - 1.5 - 3.2 - - - Indonesia - 0.9 0.6 - - - - - Ireland - 1.0 - 0.9 0.5 - 2.1 - Israel 1.8 - - - - - - - Italy - - 3.6 4.2 0.4 - 4.2 0.3 Japan - - 19.5 21.2 8.0 - 20.3 - Luxembourg - 0.5 - 0.1 - - - - Malaysia - - - - - - - 0.3 Mexico - - - - 1.6 0.8 0.7 1.3 Morocco - - - - - - - 0.2 Netherlands - - 4.6 4.7 2.1 - 2.4 1.9 New Zealand - - - 0.2 - - 0.1 - Norway - - - 0.6 0.5 - 0.4 - Panama - - - - - 0.2 - 0.3 Peru - - - - - 0.3 - 0.7 Philippines - - - - - - - 0.6 Poland - - - - - - 0.1 - Portugal - - - 0.3 0.3 - - - Russia - - 0.6 - - 0.5 - 2.9 Singapore - - 1.0 0.8 0.5 - 2.3 - South Africa - 0.6 - - - - - 0.2 South Korea - - 1.8 - 1.8 - 2.9 - Spain - - 4.5 4.0 0.4 - 2.6 - Sweden - - 2.7 2.4 4.6 - 3.5 1.1 Switzerland 1.9 0.5 4.6 6.6 1.7 - 12.5 - Taiwan 1.7 - 1.3 - 0.8 - 1.2 - Tunisia - - - - - 0.1 - - Turkey - - - - - - - 0.7 United Kingdom - - 23.6 24.2 14.5 - 16.8 0.6 United States 90.8 86.7 5.1 3.4 42.8 89.6 3.8 78.8 Venezuela - - - - - - - 0.3 -------------------------------------------------------------------------------------------------- Total Investments 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% ================================================================================================== -------------------------------------------------------------- JNL/Select JNL/Select JNL/T.Rowe JNL/T.Rowe Global Large Cap Price Price Growth Growth Established Value Fund Fund Growth Fund Fund -------------------------------------------------------------- Argentina - % - % - % - % Australia - - 0.8 - Austria - - - - Bahamas - - - - Barbados - - - - Belgium - - - - Bermuda - 1.2 1.3 - Brazil - - - - Bulgaria - - - - Canada 2.7 5.8 0.4 1.3 Cayman Islands - - - - China - - - - Colombia - - - - Denmark - - - - Ecuador - - - - Finland 0.8 - - 0.8 France 5.7 - 0.4 1.5 Germany 5.5 - 0.4 - Greece - - - - Hong Kong 2.4 - - - Hungary - - - - India 1.1 - - - Indonesia 0.5 - - - Ireland 5.2 0.9 0.9 - Israel - - 0.4 - Italy 1.4 - - - Japan 4.9 - - 0.9 Luxembourg 0.6 - - - Malaysia - - - - Mexico 1.1 1.1 0.7 - Morocco - - - - Netherlands 2.6 - 0.3 2.2 New Zealand - - - - Norway - - - 0.9 Panama - - - - Peru - - - - Philippines - - - - Poland - - - - Portugal - - - - Russia 0.4 - - - Singapore - - - - South Africa - - - - South Korea 0.5 - 0.7 - Spain 1.1 - 0.4 - Sweden 2.2 - - - Switzerland - - 2.0 - Taiwan - - - - Tunisia - - - - Turkey - - - - United Kingdom 14.3 3.1 2.9 2.0 United States 47.0 87.9 88.4 90.4 Venezuela - - - - -------------------------------------------------- Total Investments 100.0% 100.0% 100.0% 100.0% ================================================== JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) DECEMBER 31, 2004 SUMMARY OF OPEN CURRENCY CONTRACTS: ------------------------------------------------------------------------------------------------------ CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/FMR Balanced Fund USD/CAD 1/4/2005 (13) CAD $ (11) $ - USD/CAD 1/5/2005 (6) CAD (5) - USD/HKD 1/4/2005 (34) HKD (4) - ----------------- ----------------- $ (20) $ - ================= ================= JNL/FMR Capital Growth Fund USD/NOK 1/5/2005 (260) NOK $ (43) $ (1) ================= ================= JNL/JPMorgan International Value Fund AUD/USD 2/22/2005 650 AUD $ 507 $ (4) AUD/USD 2/22/2005 3,377 AUD 2,636 46 CHF/USD 2/22/2005 600 CHF 529 (1) CHF/USD 2/22/2005 1,610 CHF 1,420 33 EUR/USD 2/22/2005 3,819 EUR 5,192 173 GBP/USD 2/22/2005 219 GBP 418 (2) GBP/USD 2/22/2005 1,028 GBP 1,967 75 JPY/USD 2/22/2005 295,032 JPY 2,890 78 SGD/USD 2/22/2005 1,431 SGD 878 11 USD/CHF 2/22/2005 (985) CHF (869) (8) USD/EUR 2/22/2005 (4,556) EUR (6,194) (225) USD/GBP 2/22/2005 (662) GBP (1,267) 15 USD/GBP 2/22/2005 (838) GBP (1,603) (61) USD/HKD 2/22/2005 (3,907) HKD (504) 1 USD/JPY 2/22/2005 (137,964) JPY (1,351) (18) USD/SEK 2/22/2005 (521) SEK (78) (3) USD/SGD 2/22/2005 (1,377) SGD (845) (8) ----------------- ----------------- $ 3,726 $ 102 ================= ================= JNL/Mellon Capital Management International Index Fund EUR/USD 3/17/2005 4,217 EUR $ 5,735 $ 121 EUR/USD 3/17/2005 444 EUR 604 (1) GBP/USD 3/17/2005 615 GBP 1,175 (9) GBP/USD 3/17/2005 2,159 GBP 4,126 13 JPY/USD 3/17/2005 408,368 JPY 4,006 78 USD/EUR 3/17/2005 (2,010) EUR (2,734) (57) USD/GBP 3/17/2005 (1,315) GBP (2,513) 1 USD/JPY 3/17/2005 (184,000) JPY (1,805) (37) ----------------- ----------------- $ 8,594 $ 109 ================= ================= JNL/PIMCO Total Return Bond Fund BRL/USD 1/24/2005 107 BRL $ 40 $ 4 BRL/USD 2/22/2005 224 BRL 83 5 BRL/USD 3/14/2005 300 BRL 110 6 CLP/USD 2/3/2005 11,372 CLP 21 2 CLP/USD 2/17/2005 49,418 CLP 89 5 CLP/USD 3/14/2005 60,602 CLP 109 7 EUR/USD 1/10/2005 409 EUR 556 14 HKD/USD 1/26/2005 576 HKD 74 - INR/USD 3/21/2005 6,422 INR 147 1 JPY/USD 1/27/2005 741,841 JPY 7,253 313 KRW/USD 1/28/2005 85,914 KRW 83 8 KRW/USD 2/24/2005 87,920 KRW 85 3 KRW/USD 3/21/2005 118,000 KRW 114 3 MXN/USD 2/28/2005 399 MXN 36 1 MXN/USD 3/22/2005 1,122 MXN 100 1 PEN/USD 2/22/2005 260 PEN 79 1 PEN/USD 3/17/2005 348 PEN 106 1 RUB/USD 1/26/2005 2,130 RUB 77 3 RUB/USD 2/22/2005 2,153 RUB 78 2 RUB/USD 3/22/2005 3,048 RUB 110 1 SGD/USD 1/26/2005 125 SGD 75 2 SGD/USD 2/24/2005 128 SGD 79 1 SGD/USD 3/21/2005 171 SGD 105 1 SKK/USD 2/28/2005 2,457 SKK 86 4 SKK/USD 3/22/2005 3,343 SKK 117 1 TWD/USD 2/24/2005 2,500 TWD 80 2 TWD/USD 3/21/2005 3,321 TWD 106 3 USD/EUR 1/10/2005 (28,291) EUR (38,455) (557) USD/JPY 1/6/2005 (181,858) JPY (1,775) (3) -------------- ----------------- $ (30,232) $ (165) ============== ================= JNL/Putnam International Equity Fund AUD/USD 4/20/2005 7,419 AUD $ 5,768 $ 60 CHF/USD 3/16/2005 1,582 CHF 1,397 26 CHF/USD 3/16/2005 1,073 CHF 948 (3) EUR/USD 1/3/2005 23 EUR 31 - EUR/USD 1/4/2005 13 EUR 18 - EUR/USD 1/5/2005 21 EUR 29 - EUR/USD 3/16/2005 695 EUR 946 (5) EUR/USD 3/16/2005 5,741 EUR 7,808 160 GBP/USD 3/16/2005 5,754 GBP 10,996 100 GBP/USD 3/16/2005 1,128 GBP 2,156 (18) HKD/USD 1/4/2005 120 HKD 15 - JPY/USD 1/4/2005 2,110 JPY 21 - JPY/USD 1/5/2005 722 JPY 7 - JPY/USD 1/6/2005 485 JPY 5 - JPY/USD 5/18/2005 142,565 JPY 1,405 21 NOK/USD 3/16/2005 2,804 NOK 464 8 SEK/USD 3/16/2005 1,534 SEK 231 3 SEK/USD 3/16/2005 9,305 SEK 1,402 (1) USD/AUD 4/20/2005 (1,821) AUD (1,416) (30) USD/CAD 4/20/2005 (558) CAD (466) (2) USD/CAD 4/20/2005 (1,056) CAD (881) 6 USD/CHF 3/16/2005 (5,502) CHF (4,857) (8) USD/CHF 3/16/2005 (4,963) CHF (4,381) 10 USD/EUR 3/16/2005 (2,930) EUR (3,985) (66) USD/EUR 3/16/2005 (1,041) EUR (1,416) 4 USD/GBP 3/16/2005 (946) GBP (1,808) 12 USD/JPY 5/18/2005 (210,998) JPY (2,080) (21) USD/JPY 5/18/2005 (324,869) JPY (3,203) 3 USD/KRW 1/3/2005 (88,898) KRW (86) - USD/SEK 3/16/2005 (18,372) SEK (2,769) (38) USD/SGD 1/3/2005 (50) SGD (30) - USD/SGD 1/4/2005 (9) SGD (6) - USD/SGD 1/5/2005 (5) SGD (3) - -------------- ----------------- $ 6,260 $ 221 ============== ================= JNL/Salomon Brothers Strategic Bond Fund EUR/USD 2/24/2005 16,712 EUR $ 22,724 $ 931 SEK/USD 2/24/2005 754 SEK 114 4 USD/EUR 2/24/2005 (28,218) EUR (38,369) (1,253) USD/SEK 2/24/2005 (3,400) SEK (3,448) (48) ---------------- --------------- $ (18,979) $ (366) ================ =============== JNL/Select Global Growth Fund EUR/USD 1/3/2005 162 EUR $ 220 $ - EUR/USD 1/4/2005 41 EUR 56 - ---------------- --------------- $ 276 $ - ================ =============== JNL SERIES TRUST NOTES TO THE SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS): -------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------- Contracts Unrealized Long/ Appreciation/ (Short) (Depreciation) JNL/JPMorgan International Value Fund Dow Jones Euro Stoxx 50 Future Expiration March 2005 44 $ - FTSE 100 Index Future Expiration March 2005 11 6 Topix Japanese Yen Future Expiration March 2005 4 15 -------------------- -------------------- $ 21 ==================== ==================== JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund S&P 500 Index Future Expiration March 2005 17 $ 110 ==================== ==================== JNL/Mellon Capital Management International Index Fund Dow Jones Euro Stoxx 50 Future Expiration March 2005 110 $ 8 FTSE 100 Index Future Expiration March 2005 35 37 Topix Japanese Yen Future Expiration March 2005 25 89 -------------------- -------------------- $ 134 ==================== ==================== JNL/Mellon Capital Management S&P 400 MidCap Index Fund S&P MidCap 400 E-Mini Future Expiration March 2005 110 $ 114 ==================== ==================== JNL/Mellon Capital Management S&P 500 Index Fund S&P 500 E-Mini Future Expiration March 2005 172 $ 89 ==================== ==================== JNL/Mellon Capital Management Small Cap Index Fund Russell 2000 Mini Index Future Expiration March 2005 24 $ 4 ==================== ==================== ---------------------------------------------------------------------------------------------- Unrealized Notional Appreciation/ Amount (Depreciation) JNL/PIMCO Total Return Fund British Pound Sterling Future Option Expiration June 2005 12,000 GBP $ 10 Euro Bund Future Expiration March 2005 7,000 EUR (35) Eurodollar Future Expiration June 2005 5,000 USD (6) Eurodollar Future Expiration September 2005 453,000 USD (319) Eurodollar Future Expiration December 2005 261,000 USD (46) Eurodollar Future Option Expiration June 2005 52,000 EUR (8) Japanese Government Bond, 10-Year, 6.00%, Expiration March 2005 500,000 JPY 12 U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration March 2005 25,300 USD (301) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2005 40,700 USD (95) ----------------- ----------------- $ (788) ================= ================= JNL/Salomon Brothers Strategic Bond Fund U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration March 2005 $ 7,500 $ 77 U.S. Treasury Note Future, 2-Year, 6.00%, Expiration March 2005 (10,000) 8 U.S. Treasury Note Future, 5-Year, 6.00%, Expiration March 2005 (2,000) 7 U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2005 (21,600) 110 ----------------- ----------------- $ 202 ================= ================= JNL/Salomon Brothers U.S. Government & Quality Bond Fund U.S. Treasury Bond Future, 20-Year, 6.00%, Expiration March 2005 $ 20,100 $ 219 U.S. Treasury Note Future, 2-Year, 6.00%, Expiration March 2005 (14,600) 11 U.S. Treasury Note Future, 5-Year, 6.00%, Expiration March 2005 (4,200) 15 U.S. Treasury Note Future, 10-Year, 6.00%, Expiration March 2005 (800) 4 ----------------- ----------------- $ 249 ================= =================
JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2004 JNL/AIM JNL/AIM JNL/Alger JNL/Alliance Large Cap Small Cap Growth Capital Growth ASSETS Growth Fund Growth Fund Fund Fund ------------------ ----------------- ----------------- ------------------- Investments - unaffiliated, at value (a) (b) $ 196,749 $ 49,786 $ 325,894 $ 46,345 Investments - affiliated, at value and cost - - - - Cash - - - 113 Foreign currency (c) - - - - Receivables: Dividends and interest 230 9 251 20 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 171 9 183 32 Investment securities sold - 564 - 179 Variation margin - - - - ------------------ ----------------- ----------------- ------------------- TOTAL ASSETS 197,150 50,368 326,328 46,689 ------------------ ----------------- ----------------- ------------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 16 3 25 4 Advisory fees 119 32 171 22 Investment securities purchased - 155 - 255 Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 145 52 241 14 Swap agreements, net - - - - Trustees fees 1 - 2 1 Other expenses 2 1 4 - 12b-1 service fee (Class A) 32 7 49 8 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 5,808 5,753 33,191 1,415 ------------------ ----------------- ----------------- ------------------- TOTAL LIABILITIES 6,123 6,003 33,683 1,719 ------------------ ----------------- ----------------- ------------------- NET ASSETS $ 191,027 $ 44,365 $ 292,645 $ 44,970 ================== ================= ================= =================== NET ASSETS CONSIST OF: Paid-in capital $ 173,358 $ 37,439 $ 376,907 $ 103,679 Undistributed (accumulated) net investment income (loss) 116 - 252 14 Accumulated net realized gain (loss) (4,849) (955) (113,809) (63,649) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 22,402 7,881 29,295 4,926 ------------------ ----------------- ----------------- ------------------- $ 191,027 $ 44,365 $ 292,645 $ 44,970 ================== ================= ================= =================== CLASS A Net assets $ 191,003 $ 44,358 $ 292,638 $ 44,967 Shares outstanding (no par value), unlimited shares authorized 16,362 3,558 18,875 4,274 Net asset value per share $ 11.67 $ 12.47 $ 15.50 $ 10.52 ================== ================= ================= =================== CLASS B Net assets $ 24 $ 7 $ 7 $ 3 Shares outstanding (no par value), unlimited shares authorized 1 1 - - Net asset value per share $ 11.69 $ 12.48 $ 15.50 $ 10.54 ================== ================= ================= =================== ----------------------------------------------- (a) Including securities on loan of: $ 5,640 $ 5,568 $ 32,046 $ 1,365 (b) Investments - unaffiliated, at cost 174,347 41,905 296,599 41,419 (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - JNL/Eagle JNL/Eagle Core Equity SmallCap ASSETS Fund Equity Fund ------------------ ------------------ Investments - unaffiliated, at value (a) (b) $ 363,212 $ 190,564 Investments - affiliated, at value and cost - - Cash - 6 Foreign currency (c) - - Receivables: Dividends and interest 410 30 Forward currency contracts - - Foreign taxes recoverable 1 - Fund shares sold 303 105 Investment securities sold 2,132 - Variation margin - - ------------------ ------------------ TOTAL ASSETS 366,058 190,705 ------------------ ------------------ . LIABILITIES Cash overdraft - - Payables: Administrative fees 30 14 Advisory fees 191 104 Investment securities purchased 1,700 - Dividends payable - - Forward currency contracts - - Fund shares redeemed 178 71 Swap agreements, net - - Trustees fees 2 1 Other expenses 4 2 12b-1 service fee (Class A) 60 28 Variation margin - - Investment securities sold short, at value (d) - - Options written, at value (e) - - Return of collateral for securities loaned 5,895 20,732 ------------------ ------------------ TOTAL LIABILITIES 8,060 20,952 ------------------ ------------------ NET ASSETS $ 357,998 $ 169,753 ================== ================== NET ASSETS CONSIST OF: Paid-in capital $ 355,618 $ 139,600 Undistributed (accumulated) net investment income (loss) 60 - Accumulated net realized gain (loss) (32,298) (12,879) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 34,618 43,032 ------------------ ------------------ $ 357,998 $ 169,753 ================== ================== CLASS A Net assets $ 357,978 $ 169,746 Shares outstanding (no par value), unlimited shares authorized 23,923 8,499 Net asset value per share $ 14.96 $ 19.97 ================== ================== CLASS B Net assets $ 20 $ 7 Shares outstanding (no par value), unlimited shares authorized 1 - Net asset value per share $ 15.02 $ 20.02 ================== ================== ----------------------------------------------- (a) Including securities on loan of: $ 5,674 $ 19,916 (b) Investments - unaffiliated, at cost 328,594 147,532 (c) Foreign currency cost - - (d) Proceeds from securities sold short - - (e) Premiums from options written - - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2004 JNL/FMR JNL/FMR JNL/JPMorgan JNL/Lazard Balanced Capital International Mid Cap ASSETS Fund Growth Fund Value Fund Value Fund ------------------ ----------------- -------------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 139,026 $ 235,992 $ 84,570 $ 237,317 Investments - affiliated, at value and cost - - - - Cash - - - - Foreign currency (c) 1 2 668 - Receivables: Dividends and interest 363 180 93 164 Forward currency contracts - - 432 - Foreign taxes recoverable 4 - 7 - Fund shares sold 79 92 112 474 Investment securities sold 260 1,624 - 669 Variation margin - - - - ------------------ ----------------- -------------------- ----------------- TOTAL ASSETS 139,733 237,890 85,882 238,624 ------------------ ----------------- -------------------- ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 9 17 10 18 Advisory fees 61 122 50 136 Investment securities purchased 86 1,882 - 2,610 Dividends payable - - - - Forward currency contracts - 1 330 - Fund shares redeemed 278 109 18 118 Swap agreements, net - - - - Trustees fees 1 1 - 1 Other expenses 1 2 1 2 12b-1 service fee (Class A) 17 35 13 36 Variation margin - - 7 - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 34,714 25,316 3,367 13,132 ------------------ ----------------- -------------------- ----------------- TOTAL LIABILITIES 35,167 27,485 3,796 16,053 ------------------ ----------------- -------------------- ----------------- NET ASSETS $ 104,566 $ 210,405 $ 82,086 $ 222,571 ================== ================= ==================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 99,148 $ 526,654 $ 70,047 $ 189,279 Undistributed (accumulated) net investment income (loss) 11 597 139 44 Accumulated net realized gain (loss) (3,031) (338,438) 1,326 5,003 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 8,438 21,592 10,574 28,245 ------------------ ----------------- -------------------- ----------------- $ 104,566 $ 210,405 $ 82,086 $ 222,571 ================== ================= ==================== ================= CLASS A Net assets $ 104,564 $ 210,402 $ 82,081 $ 222,542 Shares outstanding (no par value), unlimited shares authorized 10,435 13,423 8,835 15,176 Net asset value per share $ 10.02 $ 15.67 $ 9.29 $ 14.66 ================== ================= ==================== ================= CLASS B Net assets $ 2 $ 3 $ 5 $ 29 Shares outstanding (no par value), unlimited shares authorized - - 1 2 Net asset value per share $ 10.10 $ 15.70 $ 9.37 $ 14.70 ================== ================= ==================== ================= ----------------------------------------------- $ 33,974 $ 24,503 $ 3,189 $ 12,737 (a) Including securities on loan of: 130,589 214,400 74,133 209,072 (b) Investments - unaffiliated, at cost 1 2 655 - (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written JNL/Mellon Capital JNL/Lazard Management Small Cap Bond Index ASSETS Value Fund Fund ------------------- ------------------- Investments - unaffiliated, at value (a) (b) $ 232,366 $ 140,966 Investments - affiliated, at value and cost - 38,233 Cash - - Foreign currency (c) - - Receivables: Dividends and interest 124 1,030 Forward currency contracts - - Foreign taxes recoverable - - Fund shares sold 234 428 Investment securities sold 1,150 1,452 Variation margin - - ------------------- ------------------- TOTAL ASSETS 233,874 182,109 ------------------- ------------------- LIABILITIES Cash overdraft - - Payables: Administrative fees 18 10 Advisory fees 145 29 Investment securities purchased 277 29,695 Dividends payable - - Forward currency contracts - - Fund shares redeemed 344 41 Swap agreements, net - - Trustees fees 1 1 Other expenses 2 1 12b-1 service fee (Class A) 36 19 Variation margin - - Investment securities sold short, at value (d) - - Options written, at value (e) - - Return of collateral for securities loaned 14,173 35,856 ------------------- ------------------- TOTAL LIABILITIES 14,996 65,652 ------------------- ------------------- NET ASSETS $ 218,878 $ 116,457 =================== =================== NET ASSETS CONSIST OF: Paid-in capital $ 187,197 $ 111,269 Undistributed (accumulated) net investment income (loss) 78 3,554 Accumulated net realized gain (loss) 4,640 961 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 26,963 673 ------------------- ------------------- $ 218,878 $ 116,457 =================== =================== CLASS A Net assets $ 218,851 $ 116,440 Shares outstanding (no par value), unlimited shares authorized 15,846 10,749 Net asset value per share $ 13.81 $ 10.83 =================== =================== CLASS B Net assets $ 27 $ 17 Shares outstanding (no par value), unlimited shares authorized 2 2 Net asset value per share $ 13.84 $ 10.76 =================== =================== ----------------------------------------------- $ 13,437 $ 35,168 (a) Including securities on loan of: 205,403 140,293 (b) Investments - unaffiliated, at cost - - (c) Foreign currency cost - - (d) Proceeds from securities sold short - - (e) Premiums from options written See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2004 JNL/Mellon Capital JNL/Mellon JNL/Mellon Management Capital Capital Enhanced Management Management S&P 500 Stock International S&P 400 MidCap ASSETS Index Fund Index Fund Index Fund ------------------------- ------------------- ----------------------- Investments - unaffiliated, at value (a) (b) $ 176,796 $ 287,722 $ 191,633 Investments - affiliated, at value and cost 14,237 27,897 26,360 Cash - - - Foreign currency (c) - 204 - Receivables: Dividends and interest 223 345 137 Forward currency contracts - 213 - Foreign taxes recoverable - 20 - Fund shares sold 143 573 648 Investment securities sold 1,565 86 105 Variation margin - - 20 ------------------------- ------------------- ----------------------- TOTAL ASSETS 192,964 317,060 218,903 ------------------------- ------------------- ----------------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 15 36 16 Advisory fees 70 72 47 Investment securities purchased 4,465 - - Dividends payable - - - Forward currency contracts - 104 - Fund shares redeemed 30 234 652 Swap agreements, net - - - Trustees fees 1 2 1 Other expenses 2 2 2 12b-1 service fee (Class A) 30 48 33 Variation margin 5 10 - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 6,898 18,404 19,311 ------------------------- ------------------- ----------------------- TOTAL LIABILITIES 11,516 18,912 20,062 ------------------------- ------------------- ----------------------- NET ASSETS $ 181,448 $ 298,148 $ 198,841 ========================= =================== ======================= NET ASSETS CONSIST OF: Paid-in capital $ 162,267 $ 241,490 $ 165,176 Undistributed (accumulated) net investment income (loss) 1,821 3,689 837 Accumulated net realized gain (loss) 3,105 1,199 4,013 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 14,255 51,770 28,815 ------------------------- ------------------- ----------------------- $ 181,448 $ 298,148 $ 198,841 ========================= =================== ======================= CLASS A Net assets $ 181,444 $ 298,098 $ 198,751 Shares outstanding (no par value), unlimited shares authorized 20,614 21,809 14,966 Net asset value per share $ 8.80 $ 13.67 $ 13.28 ========================= =================== ======================= CLASS B Net assets $ 4 $ 50 $ 90 Shares outstanding (no par value), unlimited shares authorized 1 4 7 Net asset value per share $ 8.73 $ 13.66 $ 13.27 ========================= =================== ======================= ----------------------------------------------- $ 6,642 $ 17,471 $ 18,674 (a) Including securities on loan of: 162,651 236,206 162,932 (b) Investments - unaffiliated, at cost - 201 - (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written JNL/Mellon JNL/Mellon Capital Capital JNL/ Management Management Oppenheimer JNL/ S&P 500 Index Small Cap Global Oppenheimer ASSETS Fund Index Fund Growth Fund Growth Fund -------------------- -------------------- ------------------ ----------------- Investments - unaffiliated, at value (a) (b) $ 351,415 $ 171,660 $ 258,121 $ 27,007 Investments - affiliated, at value and cost 17,477 20,823 - - Cash - - - - Foreign currency (c) - - 27 - Receivables: Dividends and interest 464 218 348 14 Forward currency contracts - - - - Foreign taxes recoverable - - 4 - Fund shares sold 723 986 309 24 Investment securities sold 16 - - 52 Variation margin - 1 - - -------------------- -------------------- ------------------ ----------------- TOTAL ASSETS 370,095 193,688 258,809 27,097 -------------------- -------------------- ------------------ ----------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 30 14 29 2 Advisory fees 86 41 136 14 Investment securities purchased 30 6,004 - 98 Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 156 149 148 4 Swap agreements, net - - - - Trustees fees 2 1 1 - Other expenses 3 1 2 1 12b-1 service fee (Class A) 59 28 39 4 Variation margin 9 - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 7,636 13,543 23,383 2,494 -------------------- -------------------- ------------------ ----------------- TOTAL LIABILITIES 8,011 19,781 23,738 2,617 -------------------- -------------------- ------------------ ----------------- NET ASSETS $ 362,084 $ 173,907 $ 235,071 $ 24,480 ==================== ==================== ================== ================= NET ASSETS CONSIST OF: Paid-in capital $ 317,432 $ 140,813 $ 196,500 $ 24,547 Undistributed (accumulated) net investment income (loss) 5 955 459 33 Accumulated net realized gain (loss) 652 5,049 (4,762) (2,025) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 43,995 27,090 42,874 1,925 -------------------- -------------------- ------------------ ----------------- $ 362,084 $ 173,907 $ 235,071 $ 24,480 ==================== ==================== ================== ================= CLASS A Net assets $ 361,845 $ 173,822 $ 235,047 $ 24,479 Shares outstanding (no par value), unlimited shares authorized 33,929 12,939 19,721 2,835 Net asset value per share $ 10.66 $ 13.43 $ 11.92 $ 8.63 ==================== ==================== ================== ================= CLASS B Net assets $ 239 $ 85 $ 24 $ 1 Shares outstanding (no par value), unlimited shares authorized 22 6 2 - Net asset value per share $ 10.72 $ 13.39 $ 11.93 $ 8.64 ==================== ==================== ================== ================= ----------------------------------------------- $ 7,356 $ 12,665 $ 22,162 $ 2,417 (a) Including securities on loan of: 307,510 144,574 215,251 25,082 (b) Investments - unaffiliated, at cost - - 27 - (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2004 JNL/PIMCO JNL/Putnam JNL/Putnam JNL/Putnam Total Return Equity International Midcap ASSETS Bond Fund Fund Equity Fund Growth Fund ------------------ ------------------ ------------------- ------------------- Investments - unaffiliated, at value (a) (b) $ 505,607 $ 162,818 $ 101,027 $ 38,203 Investments - affiliated, at value (f) - - - - Cash 9,205 - 115 - Foreign currency (c) 1,617 2 200 - Receivables: Dividends and interest 1,829 181 121 7 Forward currency contracts 395 - 413 - Foreign taxes recoverable - - 11 - Fund shares sold 659 1 9 18 Investment securities sold 2,819 1,388 262 - Variation margin 362 - - - ------------------ ------------------ ------------------- ------------------- TOTAL ASSETS 522,493 164,390 102,158 38,228 ------------------ ------------------ ------------------- ------------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 32 13 12 3 Advisory fees 162 85 61 21 Investment securities purchased 76,530 1,125 243 - Dividends payable - - - - Forward currency contracts 560 - 192 - Fund shares redeemed 178 116 199 23 Swap agreements, net 667 - - - Trustees fees 3 1 1 - Other expenses 4 2 1 - 12b-1 service fee (Class A) 65 26 16 6 Variation margin - - - - Investment securities sold short, at value (d) 2,769 - - - Options written, at value (e) 123 1 - - Return of collateral for securities loaned 51,246 13,341 6,434 4,345 ------------------ ------------------ ------------------- ------------------- TOTAL LIABILITIES 132,339 14,710 7,159 4,398 ------------------ ------------------ ------------------- ------------------- NET ASSETS $ 390,154 $ 149,680 $ 94,999 $ 33,830 ================== ================== =================== =================== NET ASSETS CONSIST OF: Paid-in capital $ 369,752 $ 254,987 $ 108,351 $ 49,221 Undistributed (accumulated) net investment income (loss) 5,577 1,263 153 - Accumulated net realized gain (loss) 10,926 (125,939) (32,106) (20,919) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 3,899 19,369 18,601 5,528 ------------------ ------------------ ------------------- ------------------- $ 390,154 $ 149,680 $ 94,999 $ 33,830 ================== ================== =================== =================== CLASS A Net assets $ 390,124 $ 149,669 $ 94,998 $ 33,829 Shares outstanding (no par value), unlimited shares authorized 32,606 8,051 8,609 4,179 Net asset value per share $ 11.96 $ 18.59 $ 11.04 $ 8.09 ================== ================== =================== =================== CLASS B Net assets $ 30 $ 11 $ 1 $ 1 Shares outstanding (no par value), unlimited shares authorized 3 1 - - Net asset value per share $ 12.15 $ 18.59 $ 11.06 $ 8.11 ================== ================== =================== =================== -------------------------------------------- (a) Including securities on loan of: $ 50,504 $ 12,944 $ 6,128 $ 4,211 (b) Investments - unaffiliated, at cost 501,164 143,451 82,651 32,675 (c) Foreign currency cost 1,602 2 199 - (d) Proceeds from securities sold short 2,742 - - - (e) Premiums from options written 192 3 - - (f) Investments - affiliated, at cost - - - - JNL/S&P JNL/S&P JNL/Putnam Managed Managed Value Aggressive Conservative ASSETS Equity Fund Growth Fund Fund ---------------- ----------------- ----------------- Investments - unaffiliated, at value (a) (b) $ 224,955 $ - $ - Investments - affiliated, at value (f) - 670,800 13,836 Cash - - - Foreign currency (c) 4 - - Receivables: Dividends and interest 309 50 3 Forward currency contracts - - - Foreign taxes recoverable - - - Fund shares sold 23 493 74 Investment securities sold 144 - - Variation margin - - - ---------------- ----------------- ----------------- TOTAL ASSETS 225,435 671,343 13,913 ---------------- ----------------- ----------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 18 28 1 Advisory fees 118 66 1 Investment securities purchased 67 - - Dividends payable - - - Forward currency contracts - - - Fund shares redeemed 69 526 2 Swap agreements, net - - - Trustees fees 2 5 - Other expenses 3 7 - 12b-1 service fee (Class A) 36 - - Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 9,506 - - ---------------- ----------------- ----------------- TOTAL LIABILITIES 9,819 632 4 ---------------- ----------------- ----------------- NET ASSETS $ 215,616 $ 670,711 $ 13,909 ================ ================= ================= NET ASSETS CONSIST OF: Paid-in capital $ 232,175 $ 727,380 $ 13,661 Undistributed (accumulated) net investment income (loss) 5 2,889 198 Accumulated net realized gain (loss) (45,239) (138,665) 71 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 28,675 79,107 (21) ---------------- ----------------- ----------------- $ 215,616 $ 670,711 $ 13,909 ================ ================= ================= CLASS A Net assets $ 215,615 $ 670,711 $ 13,909 Shares outstanding (no par value), unlimited shares authorized 12,376 56,393 1,343 Net asset value per share $ 17.42 $ 11.89 $ 10.35 ================ ================= ================= CLASS B Net assets $ 1 n/a n/a Shares outstanding (no par value), unlimited shares authorized - n/a n/a Net asset value per share $ 17.48 n/a n/a ================ ================= ================= -------------------------------------------- (a) Including securities on loan of: $ 9,238 $ - $ - (b) Investments - unaffiliated, at cost 196,280 - - (c) Foreign currency cost 4 - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - (f) Investments - affiliated, at cost - 591,693 13,857 See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2004 JNL/S&P JNL/S&P JNL/Salomon JNL/S&P Managed Managed Brothers Managed Moderate Moderate High Yield ASSETS Growth Fund Fund Growth Fund Bond Fund --------------------- ------------------ -------------------- ------------------ Investments - unaffiliated, at value (a) (b) $ - $ - $ - $ 348,486 Investments - affiliated, at value (f) 1,001,637 19,344 618,550 - Cash - - - - Foreign currency (c) - - - - Receivables: Dividends and interest 72 3 41 5,066 Forward currency contracts - - - - Foreign taxes recoverable - - - - Fund shares sold 535 534 882 606 Investment securities sold - - - - Variation margin - - - - --------------------- ------------------ -------------------- ------------------ TOTAL ASSETS 1,002,244 19,881 619,473 354,158 --------------------- ------------------ -------------------- ------------------ LIABILITIES Cash overdraft - - - - Payables: Administrative fees 42 1 26 24 Advisory fees 88 2 62 118 Investment securities purchased - - - - Dividends payable - - - - Forward currency contracts - - - - Fund shares redeemed 535 5 268 195 Swap agreements, net - - - - Trustees fees 7 - 4 2 Other expenses 10 - 7 3 12b-1 service fee (Class A) - - - 48 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned - - - 68,806 --------------------- ------------------ -------------------- ------------------ TOTAL LIABILITIES 682 8 367 69,196 --------------------- ------------------ -------------------- ------------------ NET ASSETS $ 1,001,562 $ 19,873 $ 619,106 $ 284,962 ===================== ================== ==================== ================== NET ASSETS CONSIST OF: Paid-in capital $ 928,945 $ 19,408 $ 583,169 $ 320,294 Undistributed (accumulated) net investment income (loss) 3,803 257 1,954 1 Accumulated net realized gain (loss) (33,586) 111 (20,216) (49,204) Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 102,400 97 54,199 13,871 --------------------- ------------------ -------------------- ------------------ $ 1,001,562 $ 19,873 $ 619,106 $ 284,962 ===================== ================== ==================== ================== CLASS A Net assets $ 1,001,562 $ 19,873 $ 619,106 $ 284,949 Shares outstanding (no par value), unlimited shares authorized 81,909 1,886 53,040 33,495 Net asset value per share $ 12.23 $ 10.54 $ 11.67 $ 8.51 ===================== ================== ==================== ================== CLASS B Net assets n/a n/a n/a $ 13 Shares outstanding (no par value), unlimited shares authorized n/a n/a n/a 2 Net asset value per share n/a n/a n/a $ 8.66 ===================== ================== ==================== ================== ---------------------------------------------- (a) Including securities on loan of: $ - $ - $ - $ 67,160 (b) Investments - unaffiliated, at cost - - - 334,615 (c) Foreign currency cost - - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - (f) Investments - affiliated, at cost 899,237 19,247 564,351 - JNL/Salomon JNL/Salomon Brothers Brothers U.S. Government JNL/Select Strategic Bond & Quality Balanced ASSETS Fund Bond Fund Fund -------------------- ------------------------ ---------------- Investments - unaffiliated, at value (a) (b) $ 335,241 $ 288,347 $ 418,466 Investments - affiliated, at value (f) - - - Cash 144 - - Foreign currency (c) 304 - 8 Receivables: Dividends and interest 2,817 1,240 1,245 Forward currency contracts 935 - - Foreign taxes recoverable - - - Fund shares sold 392 223 175 Investment securities sold - 10,350 275 Variation margin 56 151 - -------------------- ------------------------ ---------------- TOTAL ASSETS 339,889 300,311 420,169 -------------------- ------------------------ ---------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 19 17 32 Advisory fees 123 81 154 Investment securities purchased 55,456 72,920 421 Dividends payable - - - Forward currency contracts 1,301 - - Fund shares redeemed 87 84 133 Swap agreements, net - - - Trustees fees 2 2 3 Other expenses 3 2 4 12b-1 service fee (Class A) 39 33 63 Variation margin 67 18 - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 46,078 29,278 38,021 -------------------- ------------------------ ---------------- TOTAL LIABILITIES 103,175 102,435 38,831 -------------------- ------------------------ ---------------- NET ASSETS $ 236,714 $ 197,876 $ 381,338 ==================== ======================== ================ NET ASSETS CONSIST OF: Paid-in capital $ 226,906 $ 193,441 $ 311,099 Undistributed (accumulated) net investment income (loss) 415 262 7,680 Accumulated net realized gain (loss) 1,414 1,001 37,589 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 7,979 3,172 24,970 -------------------- ------------------------ ---------------- $ 236,714 $ 197,876 $ 381,338 ==================== ======================== ================ CLASS A Net assets $ 236,706 $ 197,863 $ 381,316 Shares outstanding (no par value), unlimited shares authorized 20,641 17,487 22,267 Net asset value per share $ 11.47 $ 11.31 $ 17.12 ==================== ======================== ================ CLASS B Net assets $ 8 $ 13 $ 22 Shares outstanding (no par value), unlimited shares authorized 1 1 1 Net asset value per share $ 11.84 $ 11.71 $ 16.98 ==================== ======================== ================ ---------------------------------------------- (a) Including securities on loan of: $ 44,779 $ 28,718 $ 37,220 (b) Investments - unaffiliated, at cost 327,144 285,425 393,496 (c) Foreign currency cost 301 - 8 (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - (f) Investments - affiliated, at cost - - - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE) DECEMBER 31, 2004 JNL/Select JNL/Select JNL/Select Global Growth Large Cap Money JNL/Select ASSETS Fund Growth Fund Market Fund Value Fund ----------------- ----------------- ----------------- --------------- Investments - unaffiliated, at value (a) (b) $ 227,412 $ 309,340 $ 237,686 $ 157,195 Investments - affiliated, at value and cost - - - - Cash 5 - - - Foreign currency (c) 309 - - - Receivables: Dividends and interest 129 90 98 153 Forward currency contracts - - - - Foreign taxes recoverable 8 - - - Fund shares sold 51 101 722 216 Investment securities sold - 887 - - Variation margin - - - - ----------------- ----------------- ----------------- --------------- TOTAL ASSETS 227,914 310,418 238,506 157,564 ----------------- ----------------- ----------------- --------------- LIABILITIES Cash overdraft - - - - Payables: Administrative fees 28 25 20 13 Advisory fees 135 168 60 70 Investment securities purchased 302 1,871 - 10 Dividends payable - - 316 - Forward currency contracts - - - - Fund shares redeemed 144 166 213 80 Swap agreements, net - - - - Trustees fees 2 2 1 1 Other expenses 2 4 3 2 12b-1 service fee (Class A) 37 50 40 25 Variation margin - - - - Investment securities sold short, at value (d) - - - - Options written, at value (e) - - - - Return of collateral for securities loaned 9,311 12,639 - 3,053 ----------------- ----------------- ----------------- --------------- TOTAL LIABILITIES 9,961 14,925 653 3,254 ----------------- ----------------- ----------------- --------------- NET ASSETS $ 217,953 $ 295,493 $ 237,853 $ 154,310 ================= ================= ================= =============== NET ASSETS CONSIST OF: Paid-in capital $ 351,662 $ 579,062 $ 237,853 $ 126,074 Undistributed (accumulated) net investment income (loss) 971 - - 1,880 Accumulated net realized gain (loss) (163,020) (309,585) - 14,689 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 28,340 26,016 - 11,667 ----------------- ----------------- ----------------- --------------- $ 217,953 $ 295,493 $ 237,853 $ 154,310 ================= ================= ================= =============== CLASS A Net assets $ 217,952 $ 295,491 $ 237,815 $ 154,283 Shares outstanding (no par value), unlimited shares authorized 11,231 14,996 237,815 9,233 Net asset value per share $ 19.41 $ 19.71 $ 1.00 $ 16.71 ================= ================= ================= =============== CLASS B Net assets $ 1 $ 2 $ 38 $ 27 Shares outstanding (no par value), unlimited shares authorized - - 38 2 Net asset value per share $ 19.45 $ 19.75 $ 1.00 $ 16.68 ================= ================= ================= =============== -------------------------------------------- (a) Including securities on loan of: $ 8,984 $ 12,276 $ - $ 2,973 (b) Investments - unaffiliated, at cost 199,075 283,324 237,686 145,528 (c) Foreign currency cost 308 - - - (d) Proceeds from securities sold short - - - - (e) Premiums from options written - - - - JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price Established Mid-Cap Value ASSETS Growth Fund Growth Fund Fund ------------------ ------------------ --------------- Investments - unaffiliated, at value (a) (b) $ 630,202 $ 560,848 $ 496,399 Investments - affiliated, at value and cost 10,780 19,470 23,465 Cash - - - Foreign currency (c) - - - Receivables: Dividends and interest 610 197 663 Forward currency contracts - - - Foreign taxes recoverable 7 - - Fund shares sold 592 614 415 Investment securities sold 1 352 81 Variation margin - - - ------------------ ------------------ --------------- TOTAL ASSETS 642,192 581,481 521,023 ------------------ ------------------ --------------- LIABILITIES Cash overdraft - - - Payables: Administrative fees 51 45 40 Advisory fees 309 320 273 Investment securities purchased - 93 3,584 Dividends payable - - - Forward currency contracts - - - Fund shares redeemed 299 429 295 Swap agreements, net - - - Trustees fees 5 4 3 Other expenses 7 6 5 12b-1 service fee (Class A) 101 89 80 Variation margin - - - Investment securities sold short, at value (d) - - - Options written, at value (e) - - - Return of collateral for securities loaned 34,511 38,723 31,583 ------------------ ------------------ --------------- TOTAL LIABILITIES 35,283 39,709 35,863 ------------------ ------------------ --------------- NET ASSETS $ 606,909 $ 541,772 $ 485,160 ================== ================== =============== NET ASSETS CONSIST OF: Paid-in capital $ 596,119 $ 406,796 $ 389,723 Undistributed (accumulated) net investment income (loss) 595 1 4,185 Accumulated net realized gain (loss) (75,543) 782 12,852 Net unrealized appreciation (depreciation) on investments, foreign currency related transactions and futures 85,738 134,193 78,400 ------------------ ------------------ --------------- $ 606,909 $ 541,772 $ 485,160 ================== ================== =============== CLASS A Net assets $ 606,885 $ 541,739 $ 485,126 Shares outstanding (no par value), unlimited shares authorized 33,062 19,440 35,578 Net asset value per share $ 18.36 $ 27.87 $ 13.64 ================== ================== =============== CLASS B Net assets $ 24 $ 33 $ 34 Shares outstanding (no par value), unlimited shares authorized 1 1 3 Net asset value per share $ 18.38 $ 27.92 $ 13.69 ================== ================== =============== -------------------------------------------- (a) Including securities on loan of: $ 33,146 $ 37,340 $ 30,479 (b) Investments - unaffiliated, at cost 544,466 426,655 417,999 (c) Foreign currency cost - - - (d) Proceeds from securities sold short - - - (e) Premiums from options written - - - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/AIM JNL/AIM JNL/Alger Large Cap Small Cap Growth Growth Fund Growth Fund Fund --------------------- ------------------ -------------------- INVESTMENT INCOME Dividends (a) $ 1,399 $ 58 $ 2,860 Interest (b) 47 30 93 Foreign taxes withheld (5) - (9) Securities lending 6 20 91 --------------------- ------------------ -------------------- TOTAL INVESTMENT INCOME 1,447 108 3,035 --------------------- ------------------ -------------------- EXPENSES Administrative fees 125 45 264 Advisory fees 948 383 1,945 Trustees fees 4 2 10 Other expenses 4 1 9 Interest expense - - - Distribution (12b-1) fee 45 11 177 12b-1 service fee (Class A) 250 90 527 --------------------- ------------------ -------------------- TOTAL EXPENSES 1,376 532 2,932 --------------------- ------------------ -------------------- --------------------- ------------------ -------------------- Fees paid indirectly (45) (11) (177) --------------------- ------------------ -------------------- NET EXPENSES 1,331 521 2,755 --------------------- ------------------ -------------------- --------------------- ------------------ -------------------- NET INVESTMENT INCOME (LOSS) 116 (413) 280 --------------------- ------------------ -------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments (3,624) 1,195 22,738 Foreign currency related items - - - Futures contracts and options written - 130 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 18,229 1,253 (9,659) Foreign currency related items - - - Futures contracts and options written - (15) - Investment securities sold short - - - --------------------- ------------------ -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 14,605 2,563 13,079 --------------------- ------------------ -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 14,721 $ 2,150 $ 13,359 --------------------------------------------------- ===================== ================== ==================== (a) Dividends from affiliated investments $ - $ - $ - (b) Interest from affiliated investments $ - $ - $ - JNL/Alliance JNL/Eagle JNL/Eagle Capital Growth Core Equity SmallCap Fund Fund Equity Fund -------------------- -------------------- ---------------- INVESTMENT INCOME Dividends (a) $ 703 $ 5,029 $ 315 Interest (b) 7 358 59 Foreign taxes withheld (13) (20) - Securities lending 5 15 23 -------------------- -------------------- ---------------- TOTAL INVESTMENT INCOME 702 5,382 397 -------------------- -------------------- ---------------- EXPENSES Administrative fees 78 296 135 Advisory fees 448 1,941 1,008 Trustees fees 3 10 5 Other expenses 3 11 4 Interest expense - - - Distribution (12b-1) fee 65 106 21 12b-1 service fee (Class A) 156 592 269 -------------------- -------------------- ---------------- TOTAL EXPENSES 753 2,956 1,442 -------------------- -------------------- ---------------- -------------------- -------------------- ---------------- Fees paid indirectly (65) (106) (21) -------------------- -------------------- ---------------- NET EXPENSES 688 2,850 1,421 -------------------- -------------------- ---------------- -------------------- -------------------- ---------------- NET INVESTMENT INCOME (LOSS) 14 2,532 (1,024) -------------------- -------------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments 5,630 14,843 7,093 Foreign currency related items - (3) - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (2,638) 4,014 17,961 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - -------------------- -------------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 2,992 18,854 25,054 -------------------- -------------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 3,006 $ 21,386 $ 24,030 --------------------------------------------------- ==================== ==================== ================ (a) Dividends from affiliated investments $ - $ - $ - (b) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/FMR JNL/FMR JNL/JPMorgan Balanced Capital International Fund Growth Fund Value Fund ------------------- ------------------- --------------------- INVESTMENT INCOME Dividends (a) $ 781 $ 2,155 $ 1,224 Interest (b) 1,467 74 43 Foreign taxes withheld (16) (28) (129) Securities lending 42 29 24 ------------------- ------------------- --------------------- TOTAL INVESTMENT INCOME 2,274 2,230 1,162 ------------------- ------------------- --------------------- EXPENSES Administrative fees 100 157 77 Advisory fees 718 1,127 395 Trustees fees 4 6 2 Other expenses 3 5 1 Interest expense - - - Distribution (12b-1) fee 15 33 - 12b-1 service fee (Class A) 200 315 102 ------------------- ------------------- --------------------- TOTAL EXPENSES 1,040 1,643 577 ------------------- ------------------- --------------------- ------------------- ------------------- --------------------- Fees paid indirectly (15) (33) - ------------------- ------------------- --------------------- NET EXPENSES 1,025 1,610 577 ------------------- ------------------- --------------------- ------------------- ------------------- --------------------- NET INVESTMENT INCOME (LOSS) 1,249 620 585 ------------------- ------------------- --------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments 9,555 33,057 4,102 Foreign currency related items (23) (23) 147 Futures contracts and options written - 303 207 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,505) (4,986) 7,544 Foreign currency related items 1 - (65) Futures contracts and options written - - (85) Investment securities sold short - - - ------------------- ------------------- --------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 8,028 28,351 11,850 ------------------- ------------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 9,277 $ 28,971 $ 12,435 --------------------------------------------------- =================== =================== ===================== (a) Dividends from affiliated investments $ - $ - $ - (b) Interest from affiliated investments $ - $ - $ - JNL/Mellon Capital JNL/Lazard JNL/Lazard Management Mid Cap Small Cap Bond Index Value Fund Value Fund Fund ------------------ ------------------- ----------------- INVESTMENT INCOME Dividends (a) $ 1,953 $ 1,436 $ 47 Interest (b) 87 71 4,474 Foreign taxes withheld - (3) - Securities lending 65 76 34 ------------------ ------------------- ----------------- TOTAL INVESTMENT INCOME 2,105 1,580 4,555 ------------------ ------------------- ----------------- EXPENSES Administrative fees 164 172 116 Advisory fees 1,265 1,392 349 Trustees fees 6 6 4 Other expenses 5 6 4 Interest expense - - - Distribution (12b-1) fee 87 103 - 12b-1 service fee (Class A) 329 343 232 ------------------ ------------------- ----------------- TOTAL EXPENSES 1,856 2,022 705 ------------------ ------------------- ----------------- ------------------ ------------------- ----------------- Fees paid indirectly (87) (103) - ------------------ ------------------- ----------------- NET EXPENSES 1,769 1,919 705 ------------------ ------------------- ----------------- ------------------ ------------------- ----------------- NET INVESTMENT INCOME (LOSS) 336 (339) 3,850 ------------------ ------------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments 28,927 25,739 973 Foreign currency related items - - - Futures contracts and options written - - 12 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 9,700 1,450 50 Foreign currency related items - - - Futures contracts and options written - - (4) Investment securities sold short - - - ------------------ ------------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 38,627 27,189 1,031 ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 38,963 $ 26,850 $ 4,881 --------------------------------------------------- ================== =================== ================= (a) Dividends from affiliated investments $ - $ - $ 45 (b) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/Mellon Capital JNL/Mellon JNL/Mellon JNL/Mellon Management Capital Capital Capital Enhanced Management Management Management S&P 500 Stock International S&P 400 MidCap S&P 500 Index Index Fund Index Fund Index Fund Fund -------------------- ------------------ ------------------- ----------------- INVESTMENT INCOME Dividends (a) $ 3,018 $ 5,299 $ 1,624 $ 5,637 Interest (b) 14 14 9 26 Foreign taxes withheld - (544) - - Securities lending 4 133 13 8 -------------------- ------------------ ------------------- ----------------- TOTAL INVESTMENT INCOME 3,036 4,902 1,646 5,671 -------------------- ------------------ ------------------- ----------------- EXPENSES Administrative fees 156 296 135 272 Advisory fees 733 591 393 790 Trustees fees 6 7 4 9 Other expenses 5 6 5 9 Interest expense - - - - Distribution (12b-1) fee 1 - - - 12b-1 service fee (Class A) 311 394 271 545 -------------------- ------------------ ------------------- ----------------- TOTAL EXPENSES 1,212 1,294 808 1,625 -------------------- ------------------ ------------------- ----------------- -------------------- ------------------ ------------------- ----------------- Fees paid indirectly (1) - - - -------------------- ------------------ ------------------- ----------------- NET EXPENSES 1,211 1,294 808 1,625 -------------------- ------------------ ------------------- ----------------- -------------------- ------------------ ------------------- ----------------- NET INVESTMENT INCOME (LOSS) 1,825 3,608 838 4,046 -------------------- ------------------ ------------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 8,335 1,067 3,458 1,245 Foreign currency related items - 208 - - Futures contracts and options written 542 1,340 991 776 Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 7,695 36,881 18,174 24,421 Foreign currency related items - 22 - - Futures contracts and options written 42 (39) 116 66 Investment securities sold short - - - - -------------------- ------------------ ------------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 16,614 39,479 22,739 26,508 -------------------- ------------------ ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 18,439 $ 43,087 $ 23,577 $ 30,554 -------------------------------------------------- ==================== ================== =================== ================= (a) Dividends from affiliated investments $ 81 $ 78 $ 50 $ 107 (b) Interest from affiliated investments $ - $ - $ - $ - JNL/Mellon Capital JNL/ JNL/ Management Oppenheimer Oppenheimer Small Cap Global Growth Index Fund Growth Fund Fund ------------------ ------------------ ------------------- INVESTMENT INCOME Dividends (a) $ 1,593 $ 2,655 $ 293 Interest (b) 11 137 8 Foreign taxes withheld - (238) (1) Securities lending 59 67 3 ------------------ ------------------ ------------------- TOTAL INVESTMENT INCOME 1,663 2,621 303 ------------------ ------------------ ------------------- EXPENSES Administrative fees 118 243 27 Advisory fees 344 1,134 188 Trustees fees 4 5 1 Other expenses 3 6 1 Interest expense - - - Distribution (12b-1) fee - - - 12b-1 service fee (Class A) 237 324 53 ------------------ ------------------ ------------------- TOTAL EXPENSES 706 1,712 270 ------------------ ------------------ ------------------- ------------------ ------------------ ------------------- Fees paid indirectly - - - ------------------ ------------------ ------------------- NET EXPENSES 706 1,712 270 ------------------ ------------------ ------------------- ------------------ ------------------ ------------------- NET INVESTMENT INCOME (LOSS) 957 909 33 ------------------ ------------------ ------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments 4,377 6,780 2,602 Foreign currency related items - (422) - Futures contracts and options written 797 - (26) Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 16,683 24,160 (1,646) Foreign currency related items - 17 - Futures contracts and options written (65) - - Investment securities sold short - - - ------------------ ------------------ ------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 21,792 30,535 930 ------------------ ------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 22,749 $ 31,444 $ 963 -------------------------------------------------- ================== ================== =================== (a) Dividends from affiliated investments $ 56 $ - $ - (b) Interest from affiliated investments $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/PIMCO JNL/Putnam JNL/Putnam Total Return Equity International Bond Fund Fund Equity Fund ------------------- ------------------- -------------------- INVESTMENT INCOME Dividends (a) $ 73 $ 2,920 $ 2,105 Interest (b) 9,286 4 19 Foreign taxes withheld - (4) (235) Securities lending 36 15 65 ------------------- ------------------- -------------------- TOTAL INVESTMENT INCOME 9,395 2,935 1,954 ------------------- ------------------- -------------------- EXPENSES Administrative fees 371 151 138 Advisory fees 1,856 1,034 748 Trustees fees 13 6 3 Other expenses 13 5 3 Interest expense - - - Distribution (12b-1) fee - 106 19 12b-1 service fee (Class A) 743 303 184 ------------------- ------------------- -------------------- TOTAL EXPENSES 2,996 1,605 1,095 ------------------- ------------------- -------------------- ------------------- ------------------- -------------------- Fees paid indirectly - (106) (19) ------------------- ------------------- -------------------- NET EXPENSES 2,996 1,499 1,076 ------------------- ------------------- -------------------- ------------------- ------------------- -------------------- NET INVESTMENT INCOME (LOSS) 6,399 1,436 878 ------------------- ------------------- -------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments 4,919 15,766 10,146 Foreign currency related items (359) 1 391 Futures contracts and options written 7,007 30 - Investment securities sold short (131) - - Net change in unrealized appreciation (depreciation) on: Investments 1,074 847 1,662 Foreign currency related items (100) - 144 Futures contracts and options written (1,935) 2 - Investment securities sold short 23 - - ------------------- ------------------- -------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 10,498 16,646 12,343 ------------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 16,897 $ 18,082 $ 13,221 ------------------------------------------------------ =================== =================== ==================== (a) Dividends from affiliated investments $ - $ - $ - (b) Interest from affiliated investments $ - $ - $ - JNL/S&P JNL/S&P JNL/Putnam JNL/Putnam Managed Managed Midcap Value Aggressive Conservative Growth Fund Equity Fund Growth Fund Fund (c) ------------------- ------------------- ---------------- ------------------ INVESTMENT INCOME Dividends (a) $ 123 $ 5,189 $ 1,797 $ 186 Interest (b) 5 46 - - Foreign taxes withheld - (9) - - Securities lending 3 11 - - ------------------- ------------------- ---------------- ------------------ TOTAL INVESTMENT INCOME 131 5,237 1,797 186 ------------------- ------------------- ---------------- ------------------ EXPENSES Administrative fees 30 237 153 - Advisory fees 227 1,568 381 2 Trustees fees 1 9 10 - Other expenses 1 8 9 - Interest expense - - - - Distribution (12b-1) fee 26 88 - - 12b-1 service fee (Class A) 60 474 - - ------------------- ------------------- ---------------- ------------------ TOTAL EXPENSES 345 2,384 553 2 ------------------- ------------------- ---------------- ------------------ ------------------- ------------------- ---------------- ------------------ Fees paid indirectly (26) (88) - - ------------------- ------------------- ---------------- ------------------ NET EXPENSES 319 2,296 553 2 ------------------- ------------------- ---------------- ------------------ ------------------- ------------------- ---------------- ------------------ NET INVESTMENT INCOME (LOSS) (188) 2,941 1,244 184 ------------------- ------------------- ---------------- ------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - 6,492 66 Investments 4,145 22,541 16,138 19 Foreign currency related items - 1 - - Futures contracts and options written - 13 - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 1,351 (4,851) 38,808 (21) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------- ------------------- ---------------- ------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) 5,496 17,704 61,438 64 ------------------- ------------------- ---------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,308 $ 20,645 $ 62,682 $ 248 ------------------------------------------------------ =================== =================== ================ ================== (a) Dividends from affiliated investments $ - $ - $ 1,797 $ 186 (b) Interest from affiliated investments $ - $ - $ - $ - (c) Period from October 4, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/S&P JNL/S&P JNL/S&P Managed Managed Managed Moderate Moderate Growth Fund Fund (c) Growth Fund -------------------- ---------------- --------------------- INVESTMENT INCOME Dividends (a) $ 6,752 $ 209 $ 7,054 Interest (b) - - - Foreign taxes withheld - - - Securities lending - - - -------------------- ---------------- --------------------- TOTAL INVESTMENT INCOME 6,752 209 7,054 -------------------- ---------------- --------------------- EXPENSES Administrative fees 401 1 255 Advisory fees 892 2 648 Trustees fees 28 - 18 Other expenses 28 - 17 Interest expense - - - Distribution (12b-1) fee - - - 12b-1 service fee (Class A) - - - -------------------- ---------------- --------------------- TOTAL EXPENSES 1,349 3 938 -------------------- ---------------- --------------------- -------------------- ---------------- --------------------- Fees paid indirectly - - - -------------------- ---------------- --------------------- NET EXPENSES 1,349 3 938 -------------------- ---------------- --------------------- -------------------- ---------------- --------------------- NET INVESTMENT INCOME (LOSS) 5,403 206 6,116 -------------------- ---------------- --------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies 10,089 160 5,424 Investments 25,661 2 8,859 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 56,336 97 31,922 Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - -------------------- ---------------- --------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 92,086 259 46,205 -------------------- ---------------- --------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 97,489 $ 465 $ 52,321 -------------------------------------------------------- ==================== ================ ===================== (a) Dividends from affiliated investments $ 6,752 $ 209 $ 7,054 (b) Interest from affiliated investments $ - $ - $ - (c) Period from October 4, 2004 (commencement of operations) JNL/Salomon JNL/Salomon JNL/Salomon Brothers Brothers Brothers U.S. Government JNL/Select High Yield Strategic Bond & Quality Balanced Bond Fund Fund Bond Fund Fund ----------------- ------------------ ------------------- ------------- INVESTMENT INCOME Dividends (a) $ 3 $ 7 $ - $ 5,104 Interest (b) 6,397 12,762 10,452 5,494 Foreign taxes withheld - - - (13) Securities lending 62 94 42 58 ----------------- ------------------ ------------------- ------------- TOTAL INVESTMENT INCOME 6,462 12,863 10,494 10,643 ----------------- ------------------ ------------------- ------------- EXPENSES Administrative fees 84 231 223 331 Advisory fees 429 1,460 1,077 1,625 Trustees fees 3 8 8 12 Other expenses 2 8 8 11 Interest expense - - - - Distribution (12b-1) fee - - - - 12b-1 service fee (Class A) 167 462 446 661 ----------------- ------------------ ------------------- ------------- TOTAL EXPENSES 685 2,169 1,762 2,640 ----------------- ------------------ ------------------- ------------- ----------------- ------------------ ------------------- ------------- Fees paid indirectly - - - - ----------------- ------------------ ------------------- ------------- NET EXPENSES 685 2,169 1,762 2,640 ----------------- ------------------ ------------------- ------------- ----------------- ------------------ ------------------- ------------- NET INVESTMENT INCOME (LOSS) 5,777 10,694 8,732 8,003 ----------------- ------------------ ------------------- ------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 5,241 6,073 2,585 40,347 Foreign currency related items - (1,127) - - Futures contracts and options written - (808) (131) - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (1,150) 473 (2,189) (12,607) Foreign currency related items 265 - - Futures contracts and options written - 336 (34) - Investment securities sold short - - - - ----------------- ------------------ ------------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 4,091 5,212 231 27,740 ----------------- ------------------ ------------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 9,868 $ 15,906 $ 8,963 $ 35,743 -------------------------------------------------------- ================= ================== =================== ============= (a) Dividends from affiliated investments $ - $ - $ - $ - (b) Interest from affiliated investments $ - $ - $ - $ - (c) Period from October 4, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF OPERATIONS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/Select JNL/Select JNL/Select Global Growth Large Cap Money Fund Growth Fund Market Fund --------------------- ------------------- ----------------- INVESTMENT INCOME Dividends (a) $ 3,413 $ 2,292 $ - Interest (b) 50 69 2,794 Foreign taxes withheld (256) (22) - Securities lending 74 18 - --------------------- ------------------- ----------------- TOTAL INVESTMENT INCOME 3,281 2,357 2,794 --------------------- ------------------- ----------------- EXPENSES Administrative fees 291 260 197 Advisory fees 1,467 1,804 590 Trustees fees 7 9 7 Other expenses 7 9 6 Interest expense - - - Distribution (12b-1) fee 186 40 - 12b-1 service fee (Class A) 388 519 394 --------------------- ------------------- ----------------- TOTAL EXPENSES 2,346 2,641 1,194 --------------------- ------------------- ----------------- --------------------- ------------------- ----------------- Fees paid indirectly (186) (40) - --------------------- ------------------- ----------------- NET EXPENSES 2,160 2,601 1,194 --------------------- ------------------- ----------------- --------------------- ------------------- ----------------- NET INVESTMENT INCOME (LOSS) 1,121 (244) 1,600 --------------------- ------------------- ----------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - Investments 22,281 55,795 - Foreign currency related items (134) 23 - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,509) (26,108) - Foreign currency related items (4) - - Futures contracts and options written - - - Investment securities sold short - - - --------------------- ------------------- ----------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 20,634 29,710 - --------------------- ------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 21,755 $ 29,466 $ 1,600 --------------------------------------------------------- ===================== =================== ================= (a) Dividends from affiliated investments $ - $ - $ - (b) Interest from affiliated investments $ - $ - $ - JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price JNL/Select Established Mid-Cap Value Value Fund Growth Fund Growth Fund Fund ----------------- ------------------- ------------------ -------------- INVESTMENT INCOME Dividends (a) $ 2,924 $ 7,736 $ 2,026 $ 8,380 Interest (b) 24 37 52 76 Foreign taxes withheld - (79) (16) (92) Securities lending 6 42 112 45 ----------------- ------------------- ------------------ -------------- TOTAL INVESTMENT INCOME 2,954 7,736 2,174 8,409 ----------------- ------------------- ------------------ -------------- EXPENSES Administrative fees 125 542 461 421 Advisory fees 689 3,324 3,299 2,884 Trustees fees 4 19 16 15 Other expenses 5 19 16 14 Interest expense - - - - Distribution (12b-1) fee - 48 57 72 12b-1 service fee (Class A) 251 1,083 921 841 ----------------- ------------------- ------------------ -------------- TOTAL EXPENSES 1,074 5,035 4,770 4,247 ----------------- ------------------- ------------------ -------------- ----------------- ------------------- ------------------ -------------- Fees paid indirectly - (48) (57) (72) ----------------- ------------------- ------------------ -------------- NET EXPENSES 1,074 4,987 4,713 4,175 ----------------- ------------------- ------------------ -------------- ----------------- ------------------- ------------------ -------------- NET INVESTMENT INCOME (LOSS) 1,880 2,749 (2,539) 4,234 ----------------- ------------------- ------------------ -------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) on: Distributions from affiliated investment companies - - - - Investments 14,763 25,585 29,158 16,880 Foreign currency related items - (308) (4) (50) Futures contracts and options written - (73) (126) - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 2,121 25,569 53,310 40,958 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ----------------- ------------------- ------------------ -------------- NET REALIZED AND UNREALIZED GAIN (LOSS) 16,884 50,773 82,338 57,788 ----------------- ------------------- ------------------ -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 18,764 $ 53,522 $ 79,799 $ 62,022 --------------------------------------------------------- ================= =================== ================== ============== (a) Dividends from affiliated investments $ - $ 167 $ 261 $ 213 (b) Interest from affiliated investments $ - $ - $ - $ - See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/AIM JNL/AIM JNL/Alger Large Cap Small Cap Growth OPERATIONS Growth Fund Growth Fund Fund ----------------- --------------------- ------------------- Net investment income (loss) $ 116 $ (413) $ 280 Net realized gain (loss) on: Distributions from investment companies - - - Investments (3,624) 1,195 22,738 Foreign currency related items - - - Futures contracts and options written - 130 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 18,229 1,253 (9,659) Foreign currency related items - - - Futures contracts and options written - (15) - Investment securities sold short - - - ----------------- --------------------- ------------------- ----------------- --------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 14,721 2,150 13,359 ----------------- --------------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - (28) Class B (a) - - - From net realized gains on investment transactions Class A - - - Class B (a) - - - ----------------- --------------------- ------------------- ----------------- --------------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (28) ----------------- --------------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 170,328 29,532 122,987 Class B (a) 24 7 7 Proceeds in connection with acquisition Class A 11,871 - - Class B (a) - - - Reinvestment of distributions Class A - - 28 Class B (a) - - - Cost of shares redeemed Class A (42,337) (31,264) (88,375) Class B (a) (1) - - ----------------- --------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 139,885 (1,725) 34,647 ----------------- --------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 154,606 425 47,978 NET ASSETS BEGINNING OF PERIOD 36,421 43,940 244,667 ----------------- --------------------- ------------------- NET ASSETS END OF PERIOD $ 191,027 $ 44,365 $ 292,645 ================= ===================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 116 $ - $ 252 ================= ===================== =================== (1)SHARE TRANSACTIONS Shares sold Class A 15,712 2,517 8,328 Class B (a) 2 1 - Shares issued in connection with acquisition Class A 1,110 - - Class B (a) - - - Reinvestment of distributions Class A - - 2 Class B (a) - - - Shares redeemed Class A (3,893) (2,723) (6,030) Class B (a) (1) - - ----------------- --------------------- ------------------- Net increase (decrease) 12,930 (205) 2,300 -------------------------------------------------- ================= ===================== =================== ================= ===================== =================== JNL/Alliance JNL/Eagle JNL/Eagle Capital Growth Core Equity SmallCap Fund Fund Equity Fund OPERATIONS -------------------- -------------------- ----------------- $ 14 $ 2,532 $ (1,024) Net investment income (loss) Net realized gain (loss) on: - - - Distributions from investment companies 5,630 14,843 7,093 Investments - (3) - Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short Net change in unrealized appreciation (depreciation) on: (2,638) 4,014 17,961 Investments - - - Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short -------------------- -------------------- ----------------- -------------------- -------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 3,006 21,386 24,030 FROM OPERATIONS -------------------- -------------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (110) (2,504) - Class A - - - Class B (a) From net realized gains on investment transactions - - - Class A - - - Class B (a) -------------------- -------------------- ----------------- -------------------- -------------------- ----------------- (110) (2,504) - TOTAL DISTRIBUTIONS TO SHAREHOLDERS -------------------- -------------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 29,207 150,677 83,436 Class A 3 19 7 Class B (a) Proceeds in connection with acquisition - 13,508 - Class A - - - Class B (a) Reinvestment of distributions 110 2,504 - Class A - - - Class B (a) Cost of shares redeemed (115,764) (73,504) (47,691) Class A - (1) (1) Class B (a) -------------------- -------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM (86,444) 93,203 35,751 SHARE TRANSACTIONS -------------------- -------------------- ----------------- (83,548) 112,085 59,781 NET INCREASE (DECREASE) IN NET ASSETS 128,518 245,913 109,972 NET ASSETS BEGINNING OF PERIOD -------------------- -------------------- ----------------- $ 44,970 $ 357,998 $ 169,753 NET ASSETS END OF PERIOD ==================== ==================== ================= UNDISTRIBUTED (ACCUMULATED) NET $ 14 $ 60 $ - INVESTMENT INCOME (LOSS) ==================== ==================== ================= (1)SHARE TRANSACTIONS Shares sold 2,910 10,672 4,660 Class A - 1 - Class B (a) Shares issued in connection with acquisition - 973 - Class A - - - Class B (a) Reinvestment of distributions 10 168 - Class A - - - Class B (a) Shares redeemed (11,601) (5,242) (2,701) Class A - - - Class B (a) -------------------- -------------------- ----------------- (8,681) 6,572 1,959 Net increase (decrease) ==================== ==================== ================= -------------------------------------------------- ==================== ==================== ================= (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/FMR JNL/FMR JNL/JPMorgan JNL/Lazard Balanced Capital International Mid Cap OPERATIONS Fund Growth Fund Value Fund Value Fund ------------------ ----------------- ----------------- -------------------- Net investment income (loss) $ 1,249 $ 620 $ 585 $ 336 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 9,555 33,057 4,102 28,927 Foreign currency related items (23) (23) 147 - Futures contracts and options written - 303 207 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments (1,505) (4,986) 7,544 9,700 Foreign currency related items 1 - (65) - Futures contracts and options written - - (85) - Investment securities sold short - - - - ------------------ ----------------- ----------------- -------------------- ------------------ ----------------- ----------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 9,277 28,971 12,435 38,963 ------------------ ----------------- ----------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (1,265) - (713) (281) Class B (a) - - - - From net realized gains on investment transactions Class A - - (5) (23,036) Class B (a) - - - (3) ------------------ ----------------- ----------------- -------------------- ------------------ ----------------- ----------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,265) - (718) (23,320) ------------------ ----------------- ----------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 32,843 72,402 63,170 128,729 Class B (a) 2 3 5 39 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 1,265 - 718 23,317 Class B (a) - - - 3 Cost of shares redeemed Class A (51,818) (48,984) (23,133) (87,946) Class B (a) - - - (12) ------------------ ----------------- ----------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (17,708) 23,421 40,760 64,130 ------------------ ----------------- ----------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS (9,696) 52,392 52,477 79,773 NET ASSETS BEGINNING OF PERIOD 114,262 158,013 29,609 142,798 ------------------ ----------------- ----------------- -------------------- NET ASSETS END OF PERIOD $ 104,566 $ 210,405 $ 82,086 $ 222,571 ================== ================= ================= ==================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 11 $ 597 $ 139 $ 44 ================== ================= ================= ==================== (1)SHARE TRANSACTIONS Shares sold Class A 3,493 5,085 7,739 8,914 Class B (a) - - 1 3 Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 127 - 78 1,609 Class B (a) - - - - Shares redeemed Class A (5,517) (3,560) (2,853) (6,201) Class B (a) - - - (1) ------------------ ----------------- ----------------- -------------------- Net increase (decrease) (1,897) 1,525 4,965 4,324 ---------------------------------------------------- ================== ================= ================= ==================== ================== ================= ================= ==================== JNL/Mellon Capital JNL/Lazard Management Small Cap Bond Index OPERATIONS Value Fund Fund ------------------- ------------------ Net investment income (loss) $ (339) $ 3,850 Net realized gain (loss) on: Distributions from investment companies - - Investments 25,739 973 Foreign currency related items - - Futures contracts and options written - 12 Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 1,450 50 Foreign currency related items - - Futures contracts and options written - (4) Investment securities sold short - - ------------------- ------------------ ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 26,850 4,881 ------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (90) (326) Class B (a) - - From net realized gains on investment transactions Class A (17,961) (9) Class B (a) (2) - ------------------- ------------------ ------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (18,053) (335) ------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 109,731 107,284 Class B (a) 34 33 Proceeds in connection with acquisition Class A - - Class B (a) - - Reinvestment of distributions Class A 18,051 335 Class B (a) 2 - Cost of shares redeemed Class A (72,919) (79,272) Class B (a) (9) (16) ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 54,890 28,364 ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 63,687 32,910 NET ASSETS BEGINNING OF PERIOD 155,191 83,547 ------------------- ------------------ NET ASSETS END OF PERIOD $ 218,878 $ 116,457 =================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 78 $ 3,554 =================== ================== (1)SHARE TRANSACTIONS Shares sold Class A 8,047 10,111 Class B (a) 3 3 Shares issued in connection with acquisition Class A - - Class B (a) - - Reinvestment of distributions Class A 1,311 31 Class B (a) - - Shares redeemed Class A (5,408) (7,369) Class B (a) (1) (1) ------------------- ------------------ Net increase (decrease) 3,952 2,775 ---------------------------------------------------- =================== ================== =================== ================== (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/Mellon Capital JNL/Mellon JNL/Mellon Management Capital Capital Enhanced Management Management S&P 500 Stock International S&P 400 MidCap OPERATIONS Index Fund Index Fund Index Fund -------------------- ----------------- ------------------- Net investment income (loss) $ 1,825 $ 3,608 $ 838 Net realized gain (loss) on: Distributions from investment companies - - - Investments 8,335 1,067 3,458 Foreign currency related items - 208 - Futures contracts and options written 542 1,340 991 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 7,695 36,881 18,174 Foreign currency related items - 22 - Futures contracts and options written 42 (39) 116 Investment securities sold short - - - -------------------- ----------------- ------------------- -------------------- ----------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 18,439 43,087 23,577 -------------------- ----------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (485) (245) (10) Class B (a) - - - From net realized gains on investment transactions Class A - - - Class B (a) - - - -------------------- ----------------- ------------------- -------------------- ----------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (485) (245) (10) -------------------- ----------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 142,564 211,498 136,125 Class B (a) 30 80 140 Proceeds in connection with acquisition Class A - - - Class B (a) - - - Reinvestment of distributions Class A 485 245 10 Class B (a) - - - Cost of shares redeemed Class A (68,626) (53,605) (42,016) Class B (a) (27) (38) (62) -------------------- ----------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 74,426 158,180 94,197 -------------------- ----------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS 92,380 201,022 117,764 NET ASSETS BEGINNING OF PERIOD 89,068 97,126 81,077 -------------------- ----------------- ------------------- NET ASSETS END OF PERIOD $ 181,448 $ 298,148 $ 198,841 ==================== ================= =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,821 $ 3,689 $ 837 ==================== ================= =================== (1)SHARE TRANSACTIONS Shares sold Class A 17,692 17,736 11,403 Class B (a) 4 7 12 Shares issued in connection with acquisition Class A - - - Class B (a) - - - Reinvestment of distributions Class A 55 18 1 Class B (a) - - - Shares redeemed Class A (8,367) (4,424) (3,506) Class B (a) (3) (3) (5) -------------------- ----------------- ------------------- Net increase (decrease) 9,381 13,334 7,905 ----------------------------------------------------- ==================== ================= =================== JNL/Mellon JNL/Mellon Capital Capital JNL/ JNL/ Management Management Oppenheimer Oppenheimer S&P 500 Index Small Cap Global Growth OPERATIONS Fund Index Fund Growth Fund Fund ------------------ ----------------- ------------------ ---------------- Net investment income (loss) $ 4,046 $ 957 $ 909 $ 33 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 1,245 4,377 6,780 2,602 Foreign currency related items - - (422) - Futures contracts and options written 776 797 - (26) Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 24,421 16,683 24,160 (1,646) Foreign currency related items - - 17 - Futures contracts and options written 66 (65) - - Investment securities sold short - - - - ------------------ ----------------- ------------------ ---------------- ------------------ ----------------- ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 30,554 22,749 31,444 963 ------------------ ----------------- ------------------ ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (4,035) (6) (288) - Class B (a) (2) - - - From net realized gains on investment transactions Class A (1,593) (333) - - Class B (a) (1) - - - ------------------ ----------------- ------------------ ---------------- ------------------ ----------------- ------------------ ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,631) (339) (288) - ------------------ ----------------- ------------------ ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 237,627 117,624 143,594 16,812 Class B (a) 368 119 30 1 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 5,628 339 288 - Class B (a) 3 - - - Cost of shares redeemed Class A (96,656) (42,669) (44,613) (26,289) Class B (a) (147) (46) (9) - ------------------ ----------------- ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 146,823 75,367 99,290 (9,476) ------------------ ----------------- ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS 171,746 97,777 130,446 (8,513) NET ASSETS BEGINNING OF PERIOD 190,338 76,130 104,625 32,993 ------------------ ----------------- ------------------ ---------------- NET ASSETS END OF PERIOD $ 362,084 $ 173,907 $ 235,071 $ 24,480 ================== ================= ================== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 5 $ 955 $ 459 $ 33 ================== ================= ================== ================ (1)SHARE TRANSACTIONS Shares sold Class A 23,634 9,830 13,623 2,019 Class B (a) 37 10 3 - Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 528 25 24 - Class B (a) - - - - Shares redeemed Class A (9,586) (3,562) (4,264) (3,169) Class B (a) (15) (4) (1) - ------------------ ----------------- ------------------ ---------------- Net increase (decrease) 14,598 6,299 9,385 (1,150) ----------------------------------------------------- ================== ================= ================== ================ (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/PIMCO JNL/Putnam JNL/Putnam JNL/Putnam Total Return Equity International Midcap OPERATIONS Bond Fund Fund Equity Fund Growth Fund ---------------- ----------------- ------------------ ------------------- Net investment income (loss) $ 6,399 $ 1,436 $ 878 $ (188) Net realized gain (loss) on: Distributions from investment companies - - - - Investments 4,919 15,766 10,146 4,145 Foreign currency related items (359) 1 391 - Futures contracts and options written 7,007 30 - - Investment securities sold short (131) - - - Net change in unrealized appreciation (depreciation) on: Investments 1,074 847 1,662 1,351 Foreign currency related items (100) - 144 - Futures contracts and options written (1,935) 2 - - Investment securities sold short 23 - - - ---------------- ----------------- ------------------ ------------------- ---------------- ----------------- ------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 16,897 18,082 13,221 5,308 ---------------- ----------------- ------------------ ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (6,169) (860) (1,170) - Class B (a) - - - - From net realized gains on investment transactions Class A (4,007) - - - Class B (a) - - - - ---------------- ----------------- ------------------ ------------------- ---------------- ----------------- ------------------ ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (10,176) (860) (1,170) - ---------------- ----------------- ------------------ ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 224,183 12,647 28,336 12,922 Class B (a) 34 10 1 1 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 10,176 860 1,170 - Class B (a) - - - - Cost of shares redeemed Class A (168,257) (45,986) (43,370) (13,310) Class B (a) (4) - - - ---------------- ----------------- ------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 66,132 (32,469) (13,863) (387) ---------------- ----------------- ------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS 72,853 (15,247) (1,812) 4,921 NET ASSETS BEGINNING OF PERIOD 317,301 164,927 96,811 28,909 ---------------- ----------------- ------------------ ------------------- NET ASSETS END OF PERIOD $ 390,154 $ 149,680 $ 94,999 $ 33,830 ================ ================= ================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 5,577 $ 1,263 $ 153 $ - ================ ================= ================== =================== (1)SHARE TRANSACTIONS Shares sold Class A 18,764 747 2,863 1,812 Class B (a) 3 1 - - Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 851 46 108 - Class B (a) - - - - Shares redeemed Class A (13,992) (2,712) (4,437) (1,873) Class B (a) - - - - ---------------- ----------------- ------------------ ------------------- Net increase (decrease) 5,626 (1,918) (1,466) (61) ----------------------------------------------------- ================ ================= ================== =================== ================ ================= ================== =================== JNL/S&P JNL/S&P JNL/Putnam Managed Managed Value Aggressive Conservative OPERATIONS Equity Fund Growth Fund Fund (b) ------------------ ------------------- ------------------ Net investment income (loss) $ 2,941 $ 1,244 $ 184 Net realized gain (loss) on: Distributions from investment companies - 6,492 66 Investments 22,541 16,138 19 Foreign currency related items 1 - - Futures contracts and options written 13 - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (4,851) 38,808 (21) Foreign currency related items - - - Futures contracts and options written - - - Investment securities sold short - - - ------------------ ------------------- ------------------ ------------------ ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 20,645 62,682 248 ------------------ ------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (2,931) (698) - Class B (a) - - - From net realized gains on investment transactions Class A - - - Class B (a) - - - ------------------ ------------------- ------------------ ------------------ ------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,931) (698) - ------------------ ------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 39,785 97,900 16,695 Class B (a) 1 - - Proceeds in connection with acquisition Class A - 411,703 - Class B (a) - - - Reinvestment of distributions Class A 2,931 698 - Class B (a) - - - Cost of shares redeemed Class A (154,547) (65,590) (3,034) Class B (a) - - - ------------------ ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (111,830) 444,711 13,661 ------------------ ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS (94,116) 506,695 13,909 NET ASSETS BEGINNING OF PERIOD 309,732 164,016 - ------------------ ------------------- ------------------ NET ASSETS END OF PERIOD $ 215,616 $ 670,711 $ 13,909 ================== =================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 5 $ 2,889 $ 198 ================== =================== ================== (1)SHARE TRANSACTIONS Shares sold Class A 2,421 8,941 1,640 Class B (a) - - - Shares issued in connection with acquisition Class A - 37,808 - Class B (a) - - - Reinvestment of distributions Class A 168 59 - Class B (a) - - - Shares redeemed Class A (9,466) (5,934) (297) Class B (a) - - - ------------------ ------------------- ------------------ Net increase (decrease) (6,877) 40,874 1,343 ----------------------------------------------------- ================== =================== ================== ================== =================== ================== (a) Period from March 5, 2004 (commencement of operations) (b) Period from October 4, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/S&P JNL/S&P JNL/Salomon JNL/S&P Managed Managed Brothers Managed Moderate Moderate High Yield OPERATIONS Growth Fund Fund (b) Growth Fund Bond Fund ---------------------- ---------------- ------------------ ----------------- Net investment income (loss) $ 5,403 $ 206 $ 6,116 $ 5,777 Net realized gain (loss) on: Distributions from investment companies 10,089 160 5,424 - Investments 25,661 2 8,859 5,241 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 56,336 97 31,922 (1,150) Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ---------------------- ---------------- ------------------ ----------------- ---------------------- ---------------- ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 97,489 465 52,321 9,868 ---------------------- ---------------- ------------------ ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (5,127) - (5,827) (5,803) Class B (a) - - - - From net realized gains on investment transactions Class A (3,197) - (8,768) (67) Class B (a) - - - - ---------------------- ---------------- ------------------ ----------------- ---------------------- ---------------- ------------------ ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (8,324) - (14,595) (5,870) ---------------------- ---------------- ------------------ ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 345,735 21,057 236,773 58,220 Class B (a) - - - 9 Proceeds in connection with acquisition Class A 94,807 - 30,405 287,129 Class B (a) - - - 4 Reinvestment of distributions Class A 8,324 - 14,595 5,870 Class B (a) - - - - Cost of shares redeemed Class A (146,356) (1,649) (102,715) (89,732) Class B (a) - - - - ---------------------- ---------------- ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 302,510 19,408 179,058 261,500 ---------------------- ---------------- ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS 391,675 19,873 216,784 265,498 NET ASSETS BEGINNING OF PERIOD 609,887 - 402,322 19,464 ---------------------- ---------------- ------------------ ----------------- NET ASSETS END OF PERIOD $ 1,001,562 $ 19,873 $ 619,106 $ 284,962 ====================== ================ ================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 3,803 $ 257 $ 1,954 $ 1 ====================== ================ ================== ================= (1)SHARE TRANSACTIONS Shares sold Class A 30,585 2,046 21,305 6,860 Class B (a) - - - 1 Shares issued in connection with acquisition Class A 8,435 - 2,792 34,108 Class B (a) - - - 1 Reinvestment of distributions Class A 684 - 1,256 691 Class B (a) - - - - Shares redeemed Class A (12,896) (160) (9,204) (10,588) Class B (a) - - - - ---------------------- ---------------- ------------------ ----------------- Net increase (decrease) 26,808 1,886 16,149 31,073 ---------------------------------------------------- ====================== ================ ================== ================= ====================== ================ ================== ================= JNL/Salomon JNL/Salomon Brothers Brothers U.S. Government JNL/Select Strategic Bond & Quality Balanced OPERATIONS Fund Bond Fund Fund ------------------ -------------------- ------------------ Net investment income (loss) $ 10,694 $ 8,732 $ 8,003 Net realized gain (loss) on: Distributions from investment companies - - - Investments 6,073 2,585 40,347 Foreign currency related items (1,127) - - Futures contracts and options written (808) (131) - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 473 (2,189) (12,607) Foreign currency related items 265 - - Futures contracts and options written 336 (34) - Investment securities sold short - - - ------------------ -------------------- ------------------ ------------------ -------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 15,906 8,963 35,743 ------------------ -------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (10,205) (8,854) (375) Class B (a) - - - From net realized gains on investment transactions Class A (3,552) (1,100) (2,289) Class B (a) - - - ------------------ -------------------- ------------------ ------------------ -------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (13,757) (9,954) (2,664) ------------------ -------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 121,437 67,434 115,366 Class B (a) 8 17 24 Proceeds in connection with acquisition Class A - - 12,867 Class B (a) - - - Reinvestment of distributions Class A 13,757 9,954 2,664 Class B (a) - - - Cost of shares redeemed Class A (98,560) (135,808) (86,551) Class B (a) - (4) (3) ------------------ -------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 36,642 (58,407) 44,367 ------------------ -------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 38,791 (59,398) 77,446 NET ASSETS BEGINNING OF PERIOD 197,923 257,274 303,892 ------------------ -------------------- ------------------ NET ASSETS END OF PERIOD $ 236,714 $ 197,876 $ 381,338 ================== ==================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 415 $ 262 $ 7,680 ================== ==================== ================== (1)SHARE TRANSACTIONS Shares sold Class A 10,471 5,809 7,193 Class B (a) 1 1 1 Shares issued in connection with acquisition Class A - - 785 Class B (a) - - - Reinvestment of distributions Class A 1,201 881 156 Class B (a) - - - Shares redeemed Class A (8,394) (11,625) (5,405) Class B (a) - - - ------------------ -------------------- ------------------ Net increase (decrease) 3,279 (4,934) 2,730 ---------------------------------------------------- ================== ==================== ================== ================== ==================== ================== (a) Period from March 5, 2004 (commencement of operations) (b) Period from October 4, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2004 JNL/Select JNL/Select JNL/Select Global Growth Large Cap Money OPERATIONS Fund Growth Fund Market Fund ---------------------- ------------------- ------------------ Net investment income (loss) $ 1,121 $ (244) $ 1,600 Net realized gain (loss) on: Distributions from investment companies - - - Investments 22,281 55,795 - Foreign currency related items (134) 23 - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments (1,509) (26,108) - Foreign currency related items (4) - - Futures contracts and options written - - - Investment securities sold short - - - ---------------------- ------------------- ------------------ ---------------------- ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 21,755 29,466 1,600 ---------------------- ------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A - - (1,600) Class B (a) - - - From net realized gains on investment transactions Class A - - - Class B (a) - - - ---------------------- ------------------- ------------------ ---------------------- ------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (1,600) ---------------------- ------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 55,430 96,877 358,200 Class B (a) 1 2 223 Proceeds in connection with acquisition Class A - - - Class B (a) - - - Reinvestment of distributions Class A - - 1,600 Class B (a) - - - Cost of shares redeemed Class A (56,521) (88,704) (306,425) Class B (a) - - (185) ---------------------- ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,090) 8,175 53,413 ---------------------- ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 20,665 37,641 53,413 NET ASSETS BEGINNING OF PERIOD 197,288 257,852 184,440 ---------------------- ------------------- ------------------ NET ASSETS END OF PERIOD $ 217,953 $ 295,493 $ 237,853 ====================== =================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 971 $ - $ - ====================== =================== ================== (1)SHARE TRANSACTIONS Shares sold Class A 3,079 5,224 358,200 Class B (a) - - 223 Shares issued in connection with acquisition Class A - - - Class B (a) - - - Reinvestment of distributions Class A - - 1,600 Class B (a) - - - Shares redeemed Class A (3,169) (4,834) (306,425) Class B (a) - - (185) ---------------------- ------------------- ------------------ Net increase (decrease) (90) 390 53,413 --------------------------------------------------------- ====================== =================== ================== ====================== =================== ================== JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price JNL/Select Established Mid-Cap Value OPERATIONS Value Fund Growth Fund Growth Fund Fund ---------------- ----------------- ------------------ ------------- Net investment income (loss) $ 1,880 $ 2,749 $ (2,539) $ 4,234 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 14,763 25,585 29,158 16,880 Foreign currency related items - (308) (4) (50) Futures contracts and options written - (73) (126) - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 2,121 25,569 53,310 40,958 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ---------------- ----------------- ------------------ ------------- ---------------- ----------------- ------------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 18,764 53,522 79,799 62,022 ---------------- ----------------- ------------------ ------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income Class A (523) (2,214) - (2,908) Class B (a) - - - - From net realized gains on investment transactions Class A (945) - (27,626) - Class B (a) - - (2) - ---------------- ----------------- ------------------ ------------- ---------------- ----------------- ------------------ ------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,468) (2,214) (27,628) (2,908) ---------------- ----------------- ------------------ ------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares Class A 136,824 210,635 207,599 217,772 Class B (a) 26 24 30 42 Proceeds in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 1,468 2,214 27,626 2,908 Class B (a) - - 2 - Cost of shares redeemed Class A (55,834) (131,316) (125,195) (199,137) Class B (a) (2) (2) (2) (9) ---------------- ----------------- ------------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 82,482 81,555 110,060 21,576 ---------------- ----------------- ------------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS 99,778 132,863 162,231 80,690 NET ASSETS BEGINNING OF PERIOD 54,532 474,046 379,541 404,470 ---------------- ----------------- ------------------ ------------- NET ASSETS END OF PERIOD $ 154,310 $ 606,909 $ 541,772 $ 485,160 ================ ================= ================== ============= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 1,880 $ 595 $ 1 $ 4,185 ================ ================= ================== ============= (1)SHARE TRANSACTIONS Shares sold Class A 9,004 12,401 8,018 17,614 Class B (a) 2 1 1 3 Shares issued in connection with acquisition Class A - - - - Class B (a) - - - - Reinvestment of distributions Class A 88 121 998 214 Class B (a) - - - - Shares redeemed Class A (3,569) (7,725) (4,827) (16,196) Class B (a) - - - - ---------------- ----------------- ------------------ ------------- Net increase (decrease) 5,525 4,798 4,190 1,635 --------------------------------------------------------- ================ ================= ================== ============= ================ ================= ================== ============= (a) Period from March 5, 2004 (commencement of operations) See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/AIM JNL/AIM JNL/Alger JNL/Alliance Large Cap Small Cap Growth Capital Growth OPERATIONS Growth Fund Growth Fund Fund Fund ------------------- ------------------ ----------------- ------------------ Net investment income (loss) $ (73) $ (203) $ (533) $ 110 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 557 (403) 21,391 (5,581) Foreign currency related items - - - - Futures contracts and options written (1) 111 - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 4,253 7,948 39,835 28,034 Foreign currency related items - - - - Futures contracts and options written - 15 - - Investment securities sold short - - - - ------------------- ------------------ ----------------- ------------------ ------------------- ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 4,736 7,468 60,693 22,563 ------------------- ------------------ ----------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - - - From net realized gains on investment transactions - - - - ------------------- ------------------ ----------------- ------------------ ------------------- ------------------ ----------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - - ------------------- ------------------ ----------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 36,498 37,760 63,061 60,050 Reinvestment of distributions - - - - Cost of shares redeemed (11,670) (14,203) (54,526) (40,986) ------------------- ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 24,828 23,557 8,535 19,064 ------------------- ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 29,564 31,025 69,228 41,627 NET ASSETS BEGINNING OF PERIOD 6,857 12,915 175,439 86,891 ------------------- ------------------ ----------------- ------------------ NET ASSETS END OF PERIOD $ 36,421 $ 43,940 $ 244,667 $ 128,518 =================== ================== ================= ================== UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ - $ - $ - $ 110 =================== ================== ================= ================== (1)SHARE TRANSACTIONS Shares sold 3,870 3,751 4,871 6,822 Reinvestment of distributions - - - - Shares redeemed (1,277) (1,519) (4,374) (4,753) ------------------- ------------------ ----------------- ------------------ Net increase (decrease) 2,593 2,232 497 2,069 =================== ================== ================= ================== =================== ================== ================= ================== JNL/Eagle JNL/Eagle Core Equity SmallCap OPERATIONS Fund Equity Fund ------------------ ----------------- Net investment income (loss) $ 1,520 $ (674) Net realized gain (loss) on: Distributions from investment companies - - Investments 2,033 (1,796) Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 38,762 33,573 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ------------------ ----------------- ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 42,315 31,103 ------------------ ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,494) - From net realized gains on investment transactions - - ------------------ ----------------- ------------------ ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,494) - ------------------ ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 95,642 39,769 Reinvestment of distributions 1,494 - Cost of shares redeemed (41,286) (37,098) ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 55,850 2,671 ------------------ ----------------- NET INCREASE (DECREASE) IN NET ASSETS 96,671 33,774 NET ASSETS BEGINNING OF PERIOD 149,242 76,198 ------------------ ----------------- NET ASSETS END OF PERIOD $ 245,913 $ 109,972 ================== ================= UNDISTRIBUTED (ACCUMULATED) NET investment income (loss) $ 61 $ - ================== ================= (1)SHARE TRANSACTIONS Shares sold 7,545 2,814 Reinvestment of distributions 107 - Shares redeemed (3,336) (2,621) ------------------ ----------------- Net increase (decrease) 4,316 193 ================== ================= ================== ================= See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/FMR JNL/FMR JNL/JPMorgan JNL/Lazard Balanced Capital International Mid Cap OPERATIONS Fund Growth Fund Value Fund Value Fund ---------------- ----------------- ------------------- -------------------- Net investment income (loss) $ 1,502 $ (743) $ 82 $ 400 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (342) 443 1,098 5,696 Foreign currency related items (1) - 192 - Futures contracts and options written - - 185 - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 11,100 44,287 2,905 20,555 Foreign currency related items - - 180 - Futures contracts and options written - - 119 - Investment securities sold short - - - - ---------------- ----------------- ------------------- -------------------- ---------------- ----------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 12,259 43,987 4,761 26,651 ---------------- ----------------- ------------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,480) - (346) (266) From net realized gains on investment transactions - - - - ---------------- ----------------- ------------------- -------------------- ---------------- ----------------- ------------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,480) - (346) (266) ---------------- ----------------- ------------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 50,666 54,295 42,706 83,646 Reinvestment of distributions 1,480 - 346 266 Cost of shares redeemed (24,254) (75,938) (23,500) (44,389) ---------------- ----------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 27,892 (21,643) 19,552 39,523 ---------------- ----------------- ------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS 38,671 22,344 23,967 65,908 NET ASSETS BEGINNING OF PERIOD 75,591 135,669 5,642 76,890 ---------------- ----------------- ------------------- -------------------- NET ASSETS END OF PERIOD $ 114,262 $ 158,013 $ 29,609 $ 142,798 ================ ================= =================== ==================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 50 $ - $ (30) $ 119 ================ ================= =================== ==================== (1)SHARE TRANSACTIONS Shares sold 5,812 5,213 6,603 7,350 Reinvestment of distributions 162 - 47 20 Shares redeemed (2,792) (7,180) (3,793) (4,029) ---------------- ----------------- ------------------- -------------------- Net increase (decrease) 3,182 (1,967) 2,857 3,341 ================ ================= =================== ==================== ================ ================= =================== ==================== JNL/Mellon Capital JNL/Lazard Management Small Cap Bond Index OPERATIONS Value Fund Fund ------------------- ---------------------- Net investment income (loss) $ 174 $ 1,790 Net realized gain (loss) on: Distributions from investment companies - - Investments 2,297 420 Foreign currency related items - - Futures contracts and options written - (30) Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 32,326 (647) Foreign currency related items - - Futures contracts and options written - 17 Investment securities sold short - - ------------------- ---------------------- ------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 34,797 1,550 ------------------- ---------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (1,412) From net realized gains on investment transactions - (925) ------------------- ---------------------- ------------------- ---------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,337) ------------------- ---------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 89,529 61,738 Reinvestment of distributions - 2,337 Cost of shares redeemed (43,694) (14,027) ------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 45,835 50,048 ------------------- ---------------------- NET INCREASE (DECREASE) IN NET ASSETS 80,632 49,261 NET ASSETS BEGINNING OF PERIOD 74,559 34,286 ------------------- ---------------------- NET ASSETS END OF PERIOD $ 155,191 $ 83,547 =================== ====================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 144 $ 327 =================== ====================== (1)SHARE TRANSACTIONS Shares sold 8,192 5,803 Reinvestment of distributions - 222 Shares redeemed (4,225) (1,320) ------------------- ---------------------- Net increase (decrease) 3,967 4,705 =================== ====================== =================== ====================== See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Mellon Capital JNL/Mellon JNL/Mellon Management Capital Capital Enhanced Management Management S&P 500 Stock International S&P 400 MidCap OPERATIONS Index Fund Index Fund Index Fund -------------------- ---------------------- -------------------- Net investment income (loss) $ 487 $ 801 $ 241 Net realized gain (loss) on: Distributions from investment companies - - - Investments 3,413 (64) 18 Foreign currency related items - 399 - Futures contracts and options written 206 478 836 Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 11,269 18,275 11,704 Foreign currency related items - 88 - Futures contracts and options written 86 173 6 Investment securities sold short - - - -------------------- ---------------------- -------------------- -------------------- ---------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 15,461 20,150 12,805 -------------------- ---------------------- -------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (236) (1,094) (230) From net realized gains on investment transactions - - - -------------------- ---------------------- -------------------- -------------------- ---------------------- -------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (236) (1,094) (230) -------------------- ---------------------- -------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 57,742 59,966 63,260 Reinvestment of distributions 236 1,094 230 Cost of shares redeemed (26,206) (9,508) (7,716) -------------------- ---------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 31,772 51,552 55,774 -------------------- ---------------------- -------------------- NET INCREASE (DECREASE) IN NET ASSETS 46,997 70,608 68,349 NET ASSETS BEGINNING OF PERIOD 42,071 26,518 12,728 -------------------- ---------------------- -------------------- NET ASSETS END OF PERIOD $ 89,068 $ 97,126 $ 81,077 ==================== ====================== ==================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 486 $ 115 $ 12 ==================== ====================== ==================== (1)SHARE TRANSACTIONS Shares sold 8,328 6,248 6,347 Reinvestment of distributions 30 98 20 Shares redeemed (3,957) (1,008) (788) -------------------- ---------------------- -------------------- Net increase (decrease) 4,401 5,338 5,579 ==================== ====================== ==================== JNL/Mellon JNL/Mellon Capital Capital JNL/ Management Management Oppenheimer S&P 500 Index Small Cap Global OPERATIONS Fund Index Fund Growth Fund ------------------ ----------------- ------------------ Net investment income (loss) $ 1,213 $ 303 $ 390 Net realized gain (loss) on: Distributions from investment companies - - - Investments (161) 701 (1,086) Foreign currency related items - - (224) Futures contracts and options written 1,480 1,614 - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 25,439 13,829 26,836 Foreign currency related items - - 77 Futures contracts and options written 116 82 - Investment securities sold short - - - ------------------ ----------------- ------------------ ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 28,087 16,529 25,993 ------------------ ----------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,511) (269) - From net realized gains on investment transactions (588) (498) - ------------------ ----------------- ------------------ ------------------ ----------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,099) (767) - ------------------ ----------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 144,444 62,400 105,186 Reinvestment of distributions 2,099 767 - Cost of shares redeemed (28,969) (22,826) (77,076) ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 117,574 40,341 28,110 ------------------ ----------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 143,562 56,103 54,103 NET ASSETS BEGINNING OF PERIOD 46,776 20,027 50,522 ------------------ ----------------- ------------------ NET ASSETS END OF PERIOD $ 190,338 $ 76,130 $ 104,625 ================== ================= ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 5 $ 27 $ 260 ================== ================= ================== (1)SHARE TRANSACTIONS Shares sold 16,481 6,319 13,324 Reinvestment of distributions 218 68 - Shares redeemed (3,351) (2,263) (10,002) ------------------ ----------------- ------------------ Net increase (decrease) 13,348 4,124 3,322 ================== ================= ================== See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/ Oppenheimer JNL/PIMCO JNL/Putnam JNL/Putnam Growth Total Return Equity International OPERATIONS Fund Bond Fund Fund Equity Fund ------------------- ------------------ ---------------- ---------------- Net investment income (loss) $ (118) $ 5,446 $ 694 $ 977 Net realized gain (loss) on: Distributions from investment companies - - - - Investments (447) 1,389 1,011 (6,824) Foreign currency related items - 167 4 319 Futures contracts and options written - 3,030 - - Investment securities sold short - (778) - - Net change in unrealized appreciation (depreciation) on: Investments 4,371 2,052 35,302 27,809 Foreign currency related items - 331 - 67 Futures contracts and options written - 211 - - Investment securities sold short - (50) - - ------------------- ------------------ ---------------- ---------------- ------------------- ------------------ ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 3,806 11,798 37,011 22,348 ------------------- ------------------ ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (4,512) (486) (1,395) From net realized gains on investment transactions - (5,677) - - ------------------- ------------------ ---------------- ---------------- ------------------- ------------------ ---------------- ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (10,189) (486) (1,395) ------------------- ------------------ ---------------- ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 22,341 217,280 49,306 137,550 Reinvestment of distributions - 10,189 486 1,395 Cost of shares redeemed (11,000) (123,139) (74,693) (141,359) ------------------- ------------------ ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 11,341 104,330 (24,901) (2,414) ------------------- ------------------ ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS 15,147 105,939 11,624 18,539 NET ASSETS BEGINNING OF PERIOD 17,846 211,362 153,303 78,272 ------------------- ------------------ ---------------- ---------------- NET ASSETS END OF PERIOD $ 32,993 $ 317,301 $ 164,927 $ 96,811 =================== ================== ================ ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ 5,796 $ 695 $ (13) =================== ================== ================ ================ (1)SHARE TRANSACTIONS Shares sold 2,913 18,220 3,591 17,928 Reinvestment of distributions - 865 30 150 Shares redeemed (1,468) (10,317) (5,406) (18,310) ------------------ ------------------- ------------------ ---------------- ---------------- Net increase (decrease) 1,445 8,768 (1,785) (232) =================== ================== ================ ================ =================== ================== ================ ================ JNL/Putnam JNL/Putnam Midcap Value OPERATIONS Growth Fund Equity Fund ------------------ ---------------- Net investment income (loss) $ (118) $ 3,135 Net realized gain (loss) on: Distributions from investment companies - - Investments 49 (13,318) Foreign currency related items - 1 Futures contracts and options written 4 - Investment securities sold short - - Net change in unrealized appreciation (depreciation) on: Investments 6,535 70,396 Foreign currency related items - - Futures contracts and options written - - Investment securities sold short - - ------------------ ---------------- ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 6,470 60,214 ------------------ ---------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - (3,298) From net realized gains on investment transactions - - ------------------ ---------------- ------------------ ---------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (3,298) ------------------ ---------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 23,901 66,850 Reinvestment of distributions - 3,298 Cost of shares redeemed (20,109) (73,432) ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 3,792 (3,284) ------------------ ---------------- NET INCREASE (DECREASE) IN NET ASSETS 10,262 53,632 NET ASSETS BEGINNING OF PERIOD 18,647 256,100 ------------------ ---------------- NET ASSETS END OF PERIOD $ 28,909 $ 309,732 ================== ================ UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ - $ - ================== ================ (1)SHARE TRANSACTIONS Shares sold 4,195 4,659 Reinvestment of distributions - 210 Shares redeemed (3,601) (5,230) ------------------ ---------------- Net increase (decrease) 594 (361) ================== ================ ================== ================ See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/S&P JNL/S&P JNL/Salomon Managed JNL/S&P Managed Brothers Aggressive Managed Moderate High Yield OPERATIONS Growth Fund Growth Fund Growth Fund Bond Fund ------------------- ------------------- ------------------- ------------------ Net investment income (loss) $ 1,172 $ 6,041 $ 5,356 $ 1,678 Net realized gain (loss) on: Distributions from investment companies 243 1,941 1,653 - Investments (1,249) (2,635) (823) 282 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 29,976 84,087 45,400 2,578 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------- ------------------- ------------------- ------------------ ------------------- ------------------- ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 30,142 89,434 51,586 4,538 ------------------- ------------------- ------------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income (1,956) (9,969) (8,874) (1,671) From net realized gains on investment transactions - - - - ------------------- ------------------- ------------------- ------------------ ------------------- ------------------- ------------------- ------------------ TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,956) (9,969) (8,874) (1,671) ------------------- ------------------- ------------------- ------------------ SHARE TRANSACTIONS(1) Proceeds from the sale of shares 59,755 280,481 185,638 14,252 Reinvestment of distributions 1,956 9,969 8,874 1,671 Cost of shares redeemed (22,991) (91,571) (62,735) (16,405) ------------------- ------------------- ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 38,720 198,879 131,777 (482) ------------------- ------------------- ------------------- ------------------ NET INCREASE (DECREASE) IN NET ASSETS 66,906 278,344 174,489 2,385 NET ASSETS BEGINNING OF PERIOD 97,110 331,543 227,833 17,079 ------------------- ------------------- ------------------- ------------------ NET ASSETS END OF PERIOD $ 164,016 $ 609,887 $ 402,322 $ 19,464 =================== =================== =================== ================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 11 $ 84 $ 75 $ 27 =================== =================== =================== ================== (1)SHARE TRANSACTIONS Shares sold 6,325 27,588 18,230 1,863 Reinvestment of distributions 189 915 824 209 Shares redeemed (2,495) (9,227) (6,190) (2,095) ------------------- ------------------- ------------------- ------------------ Net increase (decrease) 4,019 19,276 12,864 (23) =================== =================== =================== ================== =================== =================== =================== ================== JNL/Salomon JNL/Salomon Brothers Brothers U.S. Government Strategic Bond & Quality JNL/Select OPERATIONS Fund Bond Fund Balanced Fund -------------------- -------------------- ----------------- Net investment income (loss) $ 8,040 $ 9,586 $ 6,099 Net realized gain (loss) on: Distributions from investment companies - - - Investments 5,683 1,988 5,162 Foreign currency related items 65 - - Futures contracts and options written (196) (891) - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 6,751 (6,247) 38,651 Foreign currency related items (585) - - Futures contracts and options written (134) (1,305) - Investment securities sold short - - - -------------------- -------------------- ----------------- -------------------- -------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 19,624 3,131 49,912 -------------------- -------------------- ----------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (8,348) (8,985) (5,687) From net realized gains on investment transactions (2,473) (3,071) (2,244) -------------------- -------------------- ----------------- -------------------- -------------------- ----------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (10,821) (12,056) (7,931) -------------------- -------------------- ----------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 103,967 116,258 91,878 Reinvestment of distributions 10,821 12,056 7,931 Cost of shares redeemed (51,549) (166,380) (54,911) -------------------- -------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 63,239 (38,066) 44,898 -------------------- -------------------- ----------------- NET INCREASE (DECREASE) IN NET ASSETS 72,042 (46,991) 86,879 NET ASSETS BEGINNING OF PERIOD 125,881 304,265 217,013 -------------------- -------------------- ----------------- NET ASSETS END OF PERIOD $ 197,923 $ 257,274 $ 303,892 ==================== ==================== ================= UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (85) $ 603 $ 376 ==================== ==================== ================= (1)SHARE TRANSACTIONS Shares sold 9,069 9,701 6,381 Reinvestment of distributions 949 1,046 517 Shares redeemed (4,502) (13,912) (3,878) -------------------- -------------------- ----------------- Net increase (decrease) 5,516 (3,165) 3,020 ==================== ==================== ================= ==================== ==================== ================= See Notes to the Financial Statements. JNL SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS) FOR THE YEAR ENDED DECEMBER 31, 2003 JNL/Select JNL/Select JNL/Select Global Growth Large Cap Money OPERATIONS Fund Growth Fund Market Fund ------------------ -------------------- ------------------- Net investment income (loss) $ 1,358 $ (661) $ 924 Net realized gain (loss) on: Distributions from investment companies - - - Investments (17,821) 3,046 - Foreign currency related items (2,706) (951) - Futures contracts and options written - - - Investment securities sold short - - - Net change in unrealized appreciation (depreciation) on: Investments 58,340 68,639 - Foreign currency related items 2,057 706 - Futures contracts and options written - - - Investment securities sold short - - - ------------------ -------------------- ------------------- ------------------ -------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 41,228 70,779 924 ------------------ -------------------- ------------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income - - (924) From net realized gains on investment transactions - - - -------------------- ------------------- ------------------ -------------------- ------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (924) ------------------ -------------------- ------------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 122,022 150,530 591,660 Reinvestment of distributions - - 924 Cost of shares redeemed (172,032) (179,341) (622,664) ------------------ -------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (50,010) (28,811) (30,080) ------------------ -------------------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS (8,782) 41,968 (30,080) NET ASSETS BEGINNING OF PERIOD 206,070 215,884 214,520 ------------------ -------------------- ------------------- NET ASSETS END OF PERIOD $ 197,288 $ 257,852 $ 184,440 ================== ==================== =================== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ (16) $ - $ - ================== ==================== =================== (1)SHARE TRANSACTIONS Shares sold 8,741 10,677 591,660 Reinvestment of distributions - - 924 Shares redeemed (12,071) (12,638) (622,664) ------------------ -------------------- ------------------- Net increase (decrease) (3,330) (1,961) (30,080) ================== ==================== =================== ================== ==================== =================== JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe Price Price Price JNL/Select Established Mid-Cap Value OPERATIONS Value Fund Growth Fund Growth Fund Fund ------------------ ------------------- ------------------ -------------- Net investment income (loss) $ 523 $ 524 $ (1,757) $ 2,920 Net realized gain (loss) on: Distributions from investment companies - - - - Investments 871 (9,452) 16,865 806 Foreign currency related items - (130) (7) (12) Futures contracts and options written - - - - Investment securities sold short - - - - Net change in unrealized appreciation (depreciation) on: Investments 8,332 109,404 80,745 76,421 Foreign currency related items - - - - Futures contracts and options written - - - - Investment securities sold short - - - - ------------------ ------------------- ------------------ -------------- ------------------ ------------------- ------------------ -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 9,726 100,346 95,846 80,135 ------------------ ------------------- ------------------ -------------- DISTRIBUTIONS TO SHAREHOLDERS From net investment income (96) (118) - (2,064) From net realized gains on investment transactions (207) - (1,870) - ------------------ ------------------- ------------------ -------------- ------------------ ------------------- ------------------ -------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS (303) (118) (1,870) (2,064) ------------------ ------------------- ------------------ -------------- SHARE TRANSACTIONS(1) Proceeds from the sale of shares 34,874 151,073 186,200 176,771 Reinvestment of distributions 303 118 1,870 2,064 Cost of shares redeemed (8,072) (93,740) (150,832) (72,542) ------------------ ------------------- ------------------ -------------- NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 27,105 57,451 37,238 106,293 ------------------ ------------------- ------------------ -------------- NET INCREASE (DECREASE) IN NET ASSETS 36,528 157,679 131,214 184,364 NET ASSETS BEGINNING OF PERIOD 18,004 316,367 248,327 220,106 ------------------ ------------------- ------------------ -------------- NET ASSETS END OF PERIOD $ 54,532 $ 474,046 $ 379,541 $ 404,470 ================== =================== ================== ============== UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) $ 523 $ 368 $ (6) $ 2,909 ================== =================== ================== ============== (1)SHARE TRANSACTIONS Shares sold 2,693 10,368 9,080 17,188 Reinvestment of distributions 21 7 77 178 Shares redeemed (645) (6,729) (7,666) (7,283) ------------------ ------------------- ------------------ -------------- Net increase (decrease) 2,069 3,646 1,491 10,083 ================== =================== ================== ============== ================== =================== ================== ============== See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND Class A 12/31/2004 $ 10.61 $ 0.01 $ 1.05 $ 1.06 $ - 12/31/2003 8.16 (0.02) 2.47 2.45 - 12/31/2002 10.97 (0.03) (2.76) (2.79) - 10/29(a)-12/31/01 10.00 - 0.97 0.97 - Class B 03/05(a)-12/31/04 10.99 0.02 0.68 0.70 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND Class A 12/31/2004 11.67 (0.12) 0.92 0.80 - 12/31/2003 8.43 (0.05) 3.29 3.24 - 12/31/2002 11.60 (0.07) (3.10) (3.17) - 10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 - Class B 03/05(a)-12/31/04 12.21 (0.02) 0.29 0.27 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/ALGER GROWTH FUND Class A 12/31/2004 14.76 0.01 0.73 0.74 - 12/31/2003 10.91 (0.03) 3.88 3.85 - 12/31/2002 16.33 (0.04) (5.38) (5.42) - 12/31/2001 18.58 (0.04) (2.18) (2.22) - 12/31/2000 22.91 (0.01) (3.08) (3.09) - Class B 03/05(a)-12/31/04 15.41 0.04 0.09 0.13 (0.04) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND Class A 12/31/2004 9.92 0.02 0.61 0.63 (0.03) 12/31/2003 7.98 0.01 1.93 1.94 - 12/31/2002 11.57 (0.01) (3.58) (3.59) - 12/31/2001 13.55 - (1.97) (1.97) (0.01) 12/31/2000 16.64 - (2.93) (2.93) - Class B 03/05(a)-12/31/04 10.19 0.01 0.35 0.36 (0.01) ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/AIM LARGE CAP GROWTH FUND Class A 12/31/2004 $ - $ - $ 11.67 9.99 % $ 191,003 96.49% 12/31/2003 - - 10.61 30.02 36,421 140.00 12/31/2002 (0.02) - 8.16 (25.47) 6,857 180.06 10/29(a)-12/31/01 - - 10.97 9.70 6,058 14.93 Class B 03/05(a)-12/31/04 - - 11.69 6.37 24 296.49 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/AIM SMALL CAP GROWTH FUND Class A 12/31/2004 - - 12.47 6.86 44,358 92.65 12/31/2003 - - 11.67 38.43 43,940 30.17 12/31/2002 - - 8.43 (27.32) 12,915 46.22 10/29(a)-12/31/01 - - 11.60 16.00 7,665 3.86 Class B 03/05(a)-12/31/04 - - 12.48 2.21 7 92.65 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/ALGER GROWTH FUND Class A 12/31/2004 - - 15.50 5.02 292,638 195.33 12/31/2003 - - 14.76 35.29 244,667 168.09 12/31/2002 - - 10.91 (33.19) 175,439 236.63 12/31/2001 (0.03) - 16.33 (11.97) 341,162 86.80 12/31/2000 (1.24) - 18.58 (13.44) 459,577 88.34 Class B 03/05(a)-12/31/04 - - 15.50 0.82 7 195.33 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/ALLIANCE CAPITAL GROWTH FUND Class A 12/31/2004 - - 10.52 6.31 44,967 83.59 12/31/2003 - - 9.92 24.31 128,518 49.69 12/31/2002 - - 7.98 (31.03) 86,891 54.13 12/31/2001 - - 11.57 (14.57) 140,511 65.21 12/31/2000 (0.16) - 13.55 (17.59) 92,981 47.01 Class B 03/05(a)-12/31/04 - - 10.54 3.53 3 83.59 --------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/AIM LARGE CAP GROWTH FUND Class A 12/31/2004 1.07 % 0.09 % 1.10 % 0.06 % 12/31/2003 1.10 (0.41) 1.18 (0.49) 12/31/2002 1.10 (0.33) 1.15 (0.38) 10/29(a)-12/31/01 1.10 (0.26) 1.32 (0.48) Class B 03/05(a)-12/31/04 0.86 0.55 0.90 0.52 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/AIM SMALL CAP GROWTH FUND Class A 12/31/2004 1.16 (0.92) 1.18 (0.94) 12/31/2003 1.15 (0.89) 1.19 (0.93) 12/31/2002 1.15 (0.83) 1.17 (0.85) 10/29(a)-12/31/01 1.15 (0.74) 1.24 (0.83) Class B 03/05(a)-12/31/04 0.96 (0.68) 0.98 (0.70) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/ALGER GROWTH FUND Class A 12/31/2004 1.04 0.11 1.11 0.04 12/31/2003 1.08 (0.27) 1.15 (0.34) 12/31/2002 1.08 (0.25) n/a n/a 12/31/2001 1.07 (0.23) n/a n/a 12/31/2000 1.07 (0.03) n/a n/a Class B 03/05(a)-12/31/04 0.79 0.88 0.86 0.81 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/ALLIANCE CAPITAL GROWTH FUND Class A 12/31/2004 0.88 0.02 0.97 (0.07) 12/31/2003 0.88 0.11 0.91 0.08 12/31/2002 0.88 (0.10) 0.89 (0.11) 12/31/2001 0.87 0.05 0.90 0.02 12/31/2000 0.87 0.01 n/a n/a Class B 03/05(a)-12/31/04 0.75 0.29 0.83 0.21 ------------------------------------------------------------------------------------------------------ -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND Class A 12/31/2004 $ 14.17 $ 0.11 $ 0.79 $ 0.90 $ (0.11) 12/31/2003 11.45 0.09 2.72 2.81 (0.09) 12/31/2002 14.53 0.10 (3.08) (2.98) (0.10) 12/31/2001 16.21 0.07 (1.67) (1.60) (0.07) 12/31/2000 18.47 0.08 (0.08) - (0.09) Class B 03/05(a)-12/31/04 14.68 0.07 0.34 0.41 (0.07) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND Class A 12/31/2004 16.81 (0.12) 3.28 3.16 - 12/31/2003 12.01 (0.10) 4.90 4.80 - 12/31/2002 15.55 (0.08) (3.46) (3.54) - 12/31/2001 14.20 (0.41) 1.97 1.56 - 12/31/2000 16.97 (0.04) (2.23) (2.27) - Class B 03/05(a)-12/31/04 18.33 (0.04) 1.73 1.69 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/FMR BALANCED FUND Class A 12/31/2004 9.27 0.12 0.75 0.87 (0.12) 12/31/2003 8.26 0.12 1.01 1.13 (0.12) 12/31/2002 9.05 0.20 (0.80) (0.60) (0.19) 12/31/2001 9.69 0.21 (0.65) (0.44) (0.20) 05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11) Class B 03/05(a)-12/31/04 9.52 0.06 0.58 0.64 (0.06) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/FMR CAPITAL GROWTH FUND Class A 12/31/2004 13.28 0.05 2.34 2.39 - 12/31/2003 9.79 (0.06) 3.55 3.49 - 12/31/2002 13.83 (0.07) (3.97) (4.04) - 12/31/2001 23.55 (0.11) (9.35) (9.46) - 12/31/2000 43.62 (0.20) (14.90) (15.10) - Class B 03/05(a)-12/31/04 13.97 0.05 1.68 1.73 - ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/EAGLE CORE EQUITY FUND Class A 12/31/2004 $ - $ - $ 14.96 6.32% $ 357,978 100.79% 12/31/2003 - - 14.17 24.54 245,913 80.50 12/31/2002 - - 11.45 (20.53) 149,242 94.37 12/31/2001 (0.01) - 14.53 (9.83) 174,813 102.56 12/31/2000 (2.17) - 16.21 0.28 146,888 192.40 Class B 03/05(a)-12/31/04 - - 15.02 2.81 20 100.79 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND Class A 12/31/2004 - - 19.97 18.80 169,746 53.14 12/31/2003 - - 16.81 39.97 109,972 70.06 12/31/2002 - - 12.01 (22.77) 76,198 71.45 12/31/2001 (0.21) - 15.55 11.00 112,967 65.36 12/31/2000 (0.50) - 14.20 (13.25) 77,200 89.43 Class B 03/05(a)-12/31/04 - - 20.02 9.22 7 53.14 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/FMR BALANCED FUND Class A 12/31/2004 - - 10.02 9.42 104,564 163.88 12/31/2003 - - 9.27 13.73 114,262 60.48 12/31/2002 - - 8.26 (6.57) 75,591 90.71 12/31/2001 - - 9.05 (4.49) 72,281 105.66 05/01(a)-12/31/00 - - 9.69 (2.00) 44,294 41.10 Class B 03/05(a)-12/31/04 - - 10.10 6.78 2 163.88 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/FMR CAPITAL GROWTH FUND Class A 12/31/2004 - - 15.67 18.00 210,402 231.52 12/31/2003 - - 13.28 35.65 158,013 31.95 12/31/2002 - - 9.79 (29.21) 135,669 56.03 12/31/2001 (0.26) - 13.83 (40.19) 260,726 96.69 12/31/2000 (4.97) - 23.55 (34.74) 496,830 110.81 Class B 03/05(a)-12/31/04 - - 15.70 12.38 3 231.52 --------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/EAGLE CORE EQUITY FUND Class A 12/31/2004 0.96 % 0.85 % 1.00 % 0.81 % 12/31/2003 0.97 0.83 1.01 0.79 12/31/2002 0.97 0.78 1.00 0.75 12/31/2001 0.97 0.58 0.99 0.56 12/31/2000 0.97 0.57 n/a n/a Class B 03/05(a)-12/31/04 0.76 1.33 0.80 1.29 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/EAGLE SMALLCAP EQUITY FUND Class A 12/31/2004 1.06 (0.76) 1.07 (0.77) 12/31/2003 1.05 (0.75) 1.10 (0.80) 12/31/2002 1.05 (0.49) 1.08 (0.52) 12/31/2001 1.05 (0.31) 1.07 (0.33) 12/31/2000 1.05 (0.30) n/a n/a Class B 03/05(a)-12/31/04 0.84 (0.53) 0.86 (0.55) ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/FMR BALANCED FUND Class A 12/31/2004 1.03 1.25 1.04 1.24 12/31/2003 1.05 1.64 1.07 1.62 12/31/2002 1.05 2.11 1.07 2.09 12/31/2001 1.05 2.48 1.06 2.47 05/01(a)-12/31/00 1.05 2.42 n/a n/a Class B 03/05(a)-12/31/04 0.77 1.38 0.78 1.37 ----------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------- JNL/FMR CAPITAL GROWTH FUND Class A 12/31/2004 1.02 0.39 1.04 0.37 12/31/2003 1.05 (0.51) 1.07 (0.53) 12/31/2002 1.04 (0.51) 1.09 (0.56) 12/31/2001 1.01 (0.61) 1.03 (0.63) 12/31/2000 0.99 (0.67) n/a n/a Class B 03/05(a)-12/31/04 0.78 0.97 0.80 0.95 ----------------------------------------------------------------------------------------------------- -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 12/31/2004 $ 7.65 $ 0.07 $ 1.65 $ 1.72 $ (0.08) 12/31/2003 5.56 - 2.19 2.19 (0.10) 12/31/2002 7.75 0.07 (2.13) (2.06) (0.13) 12/31/2001 9.79 0.09 (2.08) (1.99) (0.04) 12/31/2000 13.15 0.04 (2.10) (2.06) (0.06) Class B 03/05(a)-12/31/04 8.17 0.03 1.18 1.21 (0.01) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND Class A 12/31/2004 13.16 0.02 3.21 3.23 (0.02) 12/31/2003 10.23 0.04 2.92 2.96 (0.03) 12/31/2002 11.97 0.03 (1.72) (1.69) (0.03) 12/31/2001 11.75 0.06 1.50 1.56 (0.06) 12/31/2000 9.63 0.03 2.40 2.43 (0.03) Class B 03/05(a)-12/31/04 14.28 0.02 2.13 2.15 (0.02) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND Class A 12/31/2004 13.05 (0.02) 2.03 2.01 (0.01) 12/31/2003 9.40 0.01 3.64 3.65 - 12/31/2002 11.40 - (1.96) (1.96) - 12/31/2001 10.28 0.02 1.77 1.79 (0.02) 12/31/2000 8.84 0.02 1.45 1.47 (0.03) Class B 03/05(a)-12/31/04 13.92 - 1.16 1.16 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Class A 12/31/2004 10.47 0.35 0.04 0.39 (0.03) 12/31/2003 10.48 0.23 0.07 0.30 (0.19) 01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36) Class B 03/05(a)-12/31/04 10.73 0.12 0.02 0.14 (0.11) ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 12/31/2004 $ - $ - $ 9.29 22.54% $ 82,081 90.31% 12/31/2003 - - 7.65 39.43 29,609 131.90 12/31/2002 - - 5.56 (26.59) 5,642 146.48 12/31/2001 (0.01) - 7.75 (20.33) 7,304 82.18 12/31/2000 (1.24) - 9.79 (15.45) 9,264 120.75 Class B 03/05(a)-12/31/04 - - 9.37 14.85 5 90.31 -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND Class A 12/31/2004 (1.71) - 14.66 24.72 222,542 100.95 12/31/2003 - - 13.16 28.89 142,798 88.62 12/31/2002 (0.02) - 10.23 (14.08) 76,890 98.18 12/31/2001 (1.28) - 11.97 13.24 26,886 143.12 12/31/2000 (0.28) - 11.75 25.37 15,478 134.53 Class B 03/05(a)-12/31/04 (1.71) - 14.70 15.20 29 100.95 -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND Class A 12/31/2004 (1.24) - 13.81 15.38 218,851 105.06 12/31/2003 - - 13.05 38.83 155,191 70.95 12/31/2002 (0.04) - 9.40 (17.22) 74,559 94.87 12/31/2001 (0.65) - 11.40 17.34 35,164 78.01 12/31/2000 - - 10.28 16.60 14,614 58.07 Class B 03/05(a)-12/31/04 (1.24) - 13.84 8.34 27 105.06 -------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Class A 12/31/2004 - - 10.83 3.74 116,440 155.71 (d) 12/31/2003 (0.12) - 10.47 2.87 83,547 70.57 01/15(a)-12/31/02 (0.02) - 10.48 8.55 34,286 77.16 Class B 03/05(a)-12/31/04 - - 10.76 1.35 17 155.71 (d) -------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/JPMORGAN INTERNATIONAL VALUE FUND Class A 12/31/2004 1.13 % 1.14 % n/a % n/a % 12/31/2003 1.12 0.75 n/a n/a 12/31/2002 1.08 0.95 n/a n/a 12/31/2001 1.07 1.07 n/a n/a 12/31/2000 1.07 0.40 n/a n/a Class B 03/05(a)-12/31/04 0.93 1.36 n/a n/a -------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------- JNL/LAZARD MID CAP VALUE FUND Class A 12/31/2004 1.08 0.20 1.13 0.15 12/31/2003 1.08 0.40 1.17 0.31 12/31/2002 1.08 0.41 1.12 0.37 12/31/2001 1.07 0.65 1.20 0.52 12/31/2000 1.07 0.37 n/a n/a Class B 03/05(a)-12/31/04 0.88 0.45 0.93 0.40 -------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------- JNL/LAZARD SMALL CAP VALUE FUND Class A 12/31/2004 1.12 (0.20) 1.18 (0.26) 12/31/2003 1.13 0.17 1.20 0.10 12/31/2002 1.14 (0.03) 1.17 (0.06) 12/31/2001 1.15 0.32 1.21 0.26 12/31/2000 1.15 0.36 n/a n/a Class B 03/05(a)-12/31/04 0.92 (0.10) 0.98 (0.16) -------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND Class A 12/31/2004 0.61 3.31 n/a n/a 12/31/2003 0.60 3.29 n/a n/a 01/15(a)-12/31/02 0.60 4.12 n/a n/a Class B 03/05(a)-12/31/04 0.41 3.38 n/a n/a -------------------------------------------------------------------------------------------------------- -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio Turnover including dollar roll transactions for JNL/Mellon Capital Management Bond Index Fund is 215.24%. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 12/31/2004 $ 7.93 $ 0.07 $ 0.82 $ 0.89 $ (0.02) 12/31/2003 6.16 0.03 1.76 1.79 (0.02) 12/31/2002 8.21 0.04 (2.09) (2.05) - 12/31/2001 9.34 0.03 (1.13) (1.10) (0.03) 12/31/2000 10.58 0.04 (1.24) (1.20) (0.03) Class B 03/05(a)-12/31/04 8.24 0.08 0.48 0.56 (0.07) ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 12/31/2004 11.45 0.16 2.07 2.23 (0.01) 12/31/2003 8.44 0.10 3.04 3.14 (0.13) 01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20) Class B 03/05(a)-12/31/04 12.05 0.05 1.62 1.67 (0.06) ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND Class A 12/31/2004 11.47 0.06 1.75 1.81 - 12/31/2003 8.55 0.03 2.92 2.95 (0.03) 01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06) Class B 03/05(a)-12/31/04 12.28 0.05 0.98 1.03 (0.04) ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 12/31/2004 9.84 0.12 0.87 0.99 (0.12) 12/31/2003 7.79 0.03 2.13 2.16 (0.08) 01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) - Class B 03/05(a)-12/31/04 10.25 0.09 0.52 0.61 (0.09) ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 12/31/2004 11.46 0.07 1.93 2.00 - 12/31/2003 7.94 0.05 3.59 3.64 (0.04) 01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08) Class B 03/05(a)-12/31/04 12.33 0.06 1.08 1.14 (0.05) ------------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND Class A 12/31/2004 $ - $ - $ 8.80 11.27 % $ 181,444 66.90% 12/31/2003 - - 7.93 29.09 89,068 123.94 12/31/2002 - - 6.16 (24.94) 42,071 63.08 12/31/2001 - - 8.21 (11.78) 31,415 55.97 12/31/2000 (0.01) - 9.34 (11.38) 22,622 57.14 Class B 03/05(a)-12/31/04 - - 8.73 6.85 4 66.90 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND Class A 12/31/2004 - - 13.67 19.49 298,098 2.77 12/31/2003 - - 11.45 37.31 97,126 1.66 01/15(a)-12/31/02 - - 8.44 (13.60) 26,518 32.40 Class B 03/05(a)-12/31/04 - - 13.66 13.85 50 2.77 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P MIDCAP INDEX FUND Class A 12/31/2004 - - 13.28 15.79 198,751 13.75 12/31/2003 - - 11.47 34.55 81,077 18.34 01/15(a)-12/31/02 - - 8.55 (13.94) 12,728 60.00 Class B 03/05(a)-12/31/04 - - 13.27 8.42 90 13.75 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P INDEX FUND Class A 12/31/2004 (0.05) - 10.66 10.06 361,845 6.74 12/31/2003 (0.03) - 9.84 27.79 190,338 8.90 01/15(a)-12/31/02 - - 7.79 (22.10) 46,776 1.89 Class B 03/05(a)-12/31/04 (0.05) - 10.72 5.91 239 6.74 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 12/31/2004 (0.03) - 13.43 17.42 173,822 17.66 12/31/2003 (0.08) - 11.46 45.88 76,130 38.17 01/15(a)-12/31/02 - - 7.94 (19.79) 20,027 49.44 Class B 03/05(a)-12/31/04 (0.03) - 13.39 9.24 85 17.66 --------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P STOCK INDEX FUND Class A 12/31/2004 0.78 % 1.17 % 0.78 % 1.17 % 12/31/2003 0.87 0.87 0.89 0.85 12/31/2002 0.89 0.69 0.90 0.68 12/31/2001 0.90 0.44 n/a n/a 12/31/2000 0.90 0.56 n/a n/a Class B 03/05(a)-12/31/04 0.58 1.55 0.58 1.55 ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL FUND Class A 12/31/2004 0.66 1.83 n/a n/a 12/31/2003 0.65 1.59 n/a n/a 01/15(a)-12/31/02 0.65 1.56 n/a n/a Class B 03/05(a)-12/31/04 0.46 1.19 n/a n/a ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX Class A 12/31/2004 0.60 0.62 n/a n/a 12/31/2003 0.60 0.65 0.61 0.64 01/15(a)-12/31/02 0.60 0.60 0.61 0.59 Class B 03/05(a)-12/31/04 0.40 0.84 n/a n/a ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND Class A 12/31/2004 0.60 1.49 n/a n/a 12/31/2003 0.60 1.22 0.61 1.21 01/15(a)-12/31/02 0.60 1.15 0.61 1.14 Class B 03/05(a)-12/31/04 0.40 2.07 n/a n/a ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND Class A 12/31/2004 0.60 0.81 n/a n/a 12/31/2003 0.60 0.75 0.61 0.74 01/15(a)-12/31/02 0.60 0.96 0.62 0.94 Class B 03/05(a)-12/31/04 0.40 1.25 n/a n/a ----------------------------------------------------------------------------------------------------------- -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 12/31/2004 $ 10.12 $ 0.03 $ 1.78 $ 1.81 $ (0.01) 12/31/2003 7.20 0.03 2.89 2.92 - 12/31/2002 9.27 0.03 (2.10) (2.07) - 05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) - Class B 03/05(a)-12/31/04 10.71 0.03 1.21 1.24 (0.02) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND Class A 12/31/2004 8.28 0.01 0.34 0.35 - 12/31/2003 7.03 (0.03) 1.28 1.25 - 12/31/2002 9.41 (0.03) (2.35) (2.38) - 05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01) Class B 03/05(a)-12/31/04 8.57 0.03 0.04 0.07 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND Class A 12/31/2004 11.76 0.17 0.36 0.53 (0.20) 12/31/2003 11.60 0.13 0.42 0.55 (0.17) 12/31/2002 10.66 0.24 0.70 0.94 - 12/31/2001 10.29 0.30 0.68 0.98 (0.28) 12/31/2000 9.64 0.45 0.68 1.13 (0.47) Class B 03/05(a)-12/31/04 12.02 0.08 0.22 0.30 (0.04) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND Class A 12/31/2004 16.54 0.20 1.96 2.16 (0.11) 12/31/2003 13.04 0.08 3.47 3.55 (0.05) 12/31/2002 17.18 - (4.14) (4.14) - 12/31/2001 22.91 (0.01) (5.72) (5.73) - 12/31/2000 28.45 (0.05) (5.03) (5.08) - Class B 03/05(a)-12/31/04 17.26 0.15 1.32 1.47 (0.14) ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 12/31/2004 $ - $ - $ 11.92 17.93 % $ 235,047 17.59% 12/31/2003 - - 10.12 40.56 104,625 38.02 12/31/2002 - - 7.20 (22.33) 50,522 64.05 05/01(a)-12/31/01 - - 9.27 (7.30) 59,841 44.80 Class B 03/05(a)-12/31/04 - - 11.93 11.60 24 217.59 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GROWTH FUND Class A 12/31/2004 - - 8.63 4.23 24,479 124.90 12/31/2003 - - 8.28 17.78 32,993 94.02 12/31/2002 - - 7.03 (25.29) 17,846 55.58 05/01(a)-12/31/01 - - 9.41 (5.82) 13,557 58.88 Class B 03/05(a)-12/31/04 - - 8.64 0.82 1 124.90 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/PIMCO TOTAL RETURN BOND FUND Class A 12/31/2004 (0.13) - 11.96 4.45 390,124 162.80 (d) 12/31/2003 (0.22) - 11.76 4.78 317,301 146.76 12/31/2002 - - 11.60 8.85 211,362 116.05 12/31/2001 (0.33) - 10.66 9.52 54,851 112.25 12/31/2000 (0.01) - 10.29 11.75 21,715 221.61 Class B 03/05(a)-12/31/04 (0.13) - 12.15 2.46 30 162.80 (d) ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/PUTNAM EQUITY FUND Class A 12/31/2004 - - 18.59 13.04 149,669 91.21 12/31/2003 - - 16.54 27.23 164,927 74.82 12/31/2002 - - 13.04 (24.10) 153,303 123.47 12/31/2001 - - 17.18 (25.01) 282,049 91.77 12/31/2000 (0.46) - 22.91 (17.85) 497,299 77.67 Class B 03/05(a)-12/31/04 - - 18.59 8.55 11 191.21 ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/OPPENHEIMER GLOBAL GROWTH FUND Class A 12/31/2004 1.06 % 0.56 % n/a % n/a % 12/31/2003 1.05 0.57 n/a n/a 12/31/2002 1.05 0.44 n/a n/a 05/01(a)-12/31/01 1.05 0.54 n/a n/a Class B 03/05(a)-12/31/04 0.86 0.59 n/a n/a ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/OPPENHEIMER GROWTH FUND Class A 12/31/2004 1.01 0.12 n/a n/a 12/31/2003 1.00 (0.49) n/a n/a 12/31/2002 1.00 (0.49) n/a n/a 05/01(a)-12/31/01 1.00 0.17 n/a n/a Class B 03/05(a)-12/31/04 0.82 0.61 n/a n/a ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/PIMCO TOTAL RETURN BOND FUND Class A 12/31/2004 0.81 1.72 n/a n/a 12/31/2003 0.80 2.02 n/a n/a 12/31/2002 0.80 3.23 n/a n/a 12/31/2001 0.80 4.35 n/a n/a 12/31/2000 0.93 (e) 5.98 n/a n/a Class B 03/05(a)-12/31/04 0.61 3.09 n/a n/a ----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- JNL/PUTNAM EQUITY FUND Class A 12/31/2004 0.99 0.95 1.06 0.88 12/31/2003 1.00 0.45 1.07 0.38 12/31/2002 0.99 0.23 1.05 0.17 12/31/2001 0.96 (0.07) 0.99 (0.10) 12/31/2000 0.94 (0.22) 0.95 (0.23) Class B 03/05(a)-12/31/04 0.78 2.15 0.85 2.08 ----------------------------------------------------------------------------------------------------------- -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio Turnover including dollar roll transactions for JNL/PIMCO Total Return Bond Fund is 352.28%. (e) The ratio of net operating expenses was 0.80%. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND Class A 12/31/2004 $ 9.61 $ 0.10 $ 1.47 $ 1.57 $ (0.14) 12/31/2003 7.59 0.10 2.06 2.16 (0.14) 12/31/2002 9.66 0.08 (2.07) (1.99) (0.08) 12/31/2001 12.23 0.08 (2.56) (2.48) (0.07) 12/31/2000 16.79 0.08 (2.49) (2.41) (0.01) Class B 03/05(a)-12/31/04 10.11 0.09 0.99 1.08 (0.13) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND Class A 12/31/2004 6.82 (0.04) 1.31 1.27 - 12/31/2003 5.11 (0.03) 1.74 1.71 - 12/31/2002 7.23 (0.04) (2.08) (2.12) - 12/31/2001 9.90 (0.05) (2.62) (2.67) - 05/01(a)-12/31/00 10.00 - (0.10) (0.10) - Class B 03/05(a)-12/31/04 7.32 (0.02) 0.81 0.79 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND Class A 12/31/2004 16.09 0.24 1.33 1.57 (0.24) 12/31/2003 13.06 0.16 3.04 3.20 (0.17) 12/31/2002 16.50 0.16 (3.44) (3.28) (0.16) 12/31/2001 17.78 0.15 (1.27) (1.12) (0.16) 12/31/2000 16.78 0.16 1.00 1.16 (0.16) Class B 03/05(a)-12/31/04 16.82 0.21 0.66 0.87 (0.21) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED AGGRESSIVE GROWTH FUND Class A 12/31/2004 10.57 0.02 1.31 1.33 (0.01) 12/31/2003 8.44 0.06 2.20 2.26 (0.13) 12/31/2002 10.45 0.06 (1.97) (1.91) (0.10) 12/31/2001 12.86 0.02 (1.38) (1.36) (0.35) 12/31/2000 14.69 (0.10) (1.28) (1.38) (0.17) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED CONSERVATIVE FUND Class A 10/04(a)-12/31/04 10.00 0.14 0.21 0.35 - ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM INTERNATIONAL EQUITY FUND Class A 12/31/2004 $ - $ - $ 11.04 16.34 % $ 94,998 75.17% 12/31/2003 - - 9.61 28.53 96,811 113.94 12/31/2002 - - 7.59 (20.58) 78,272 134.52 12/31/2001 (0.02) - 9.66 (20.29) 103,972 66.42 12/31/2000 (2.14) - 12.23 (13.99) 126,816 138.12 Class B 03/05(a)-12/31/04 - - 11.06 10.72 1 75.17 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND Class A 12/31/2004 - - 8.09 18.62 33,829 111.57 12/31/2003 - - 6.82 33.46 28,909 116.81 12/31/2002 - - 5.11 (29.32) 18,647 116.70 12/31/2001 - - 7.23 (26.97) 29,541 211.61 05/01(a)-12/31/00 - - 9.90 (1.00) 46,122 58.67 Class B 03/05(a)-12/31/04 - - 8.11 10.79 1 111.57 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND Class A 12/31/2004 - - 17.42 9.76 215,615 46.27 12/31/2003 - - 16.09 24.55 309,732 67.86 12/31/2002 - - 13.06 (19.87) 256,100 62.19 12/31/2001 - - 16.50 (6.32) 347,246 82.54 12/31/2000 - - 17.78 6.96 422,750 86.43 Class B 03/05(a)-12/31/04 - - 17.48 5.17 1 46.27 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED AGGRESSIVE GROWTH FUND Class A 12/31/2004 - - 11.89 12.61 670,711 62.01 12/31/2003 - - 10.57 26.80 164,016 3.87 12/31/2002 - - 8.44 (18.26) 97,110 37.53 12/31/2001 (0.70) - 10.45 (10.58) 107,519 67.65 12/31/2000 (0.28) - 12.86 (9.37) 95,075 24.94 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED CONSERVATIVE FUND Class A 10/04(a)-12/31/04 - - 10.35 3.50 13,909 13.03 --------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/PUTNAM INTERNATIONAL EQUITY FUND Class A 12/31/2004 1.17 % 0.96 % 1.19 % 0.94 % 12/31/2003 1.23 1.17 1.26 1.14 12/31/2002 1.18 0.83 1.21 0.80 12/31/2001 1.17 0.76 1.18 0.75 12/31/2000 1.17 0.44 n/a n/a Class B 03/05(a)-12/31/04 0.92 1.30 0.94 1.28 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/PUTNAM MIDCAP GROWTH FUND Class A 12/31/2004 1.06 (0.62) 1.14 (0.70) 12/31/2003 1.05 (0.52) 1.11 (0.58) 12/31/2002 1.05 (0.62) 1.10 (0.67) 12/31/2001 1.05 (0.46) 1.09 (0.50) 05/01(a)-12/31/00 1.05 (0.09) 1.06 (0.10) Class B 03/05(a)-12/31/04 0.78 (0.34) 0.87 (0.43) ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/PUTNAM VALUE EQUITY FUND Class A 12/31/2004 0.97 1.24 1.01 1.20 12/31/2003 0.98 1.16 1.03 1.11 12/31/2002 0.98 1.06 1.01 1.03 12/31/2001 0.96 0.89 0.99 0.86 12/31/2000 0.96 1.05 0.97 1.04 Class B 03/05(a)-12/31/04 0.75 1.58 0.79 1.54 ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED AGGRESSIVE GROWTH FUND Class A 12/31/2004 0.18 0.41 n/a n/a 12/31/2003 0.20 0.97 n/a n/a 12/31/2002 0.20 0.77 n/a n/a 12/31/2001 0.20 1.16 n/a n/a 12/31/2000 0.20 1.62 n/a n/a ------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED CONSERVATIVE FUND Class A 10/04(a)-12/31/04 0.18 12.94 n/a n/a ------------------------------------------------------------------------------------------------------- -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED GROWTH FUND Class A 12/31/2004 $ 11.07 $ 0.07 $ 1.19 $ 1.26 $ (0.06) 12/31/2003 9.25 0.08 1.93 2.01 (0.19) 12/31/2002 10.70 0.08 (1.41) (1.33) (0.12) 12/31/2001 12.37 0.01 (0.92) (0.91) (0.32) 12/31/2000 13.42 0.03 (0.62) (0.59) (0.21) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED MODERATE FUND Class A 10/04(a)-12/31/04 10.00 0.11 0.43 0.54 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED MODERATE GROWTH FUND Class A 12/31/2004 10.91 0.12 0.92 1.04 (0.11) 12/31/2003 9.48 0.10 1.58 1.68 (0.25) 12/31/2002 10.54 0.10 (0.99) (0.89) (0.17) 12/31/2001 11.83 0.08 (0.65) (0.57) (0.34) 12/31/2000 12.45 0.11 (0.31) (0.20) (0.23) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 12/31/2004 8.03 0.17 0.49 0.66 (0.18) 12/31/2003 6.98 0.75 1.05 1.80 (0.75) 12/31/2002 7.42 0.87 (0.44) 0.43 (0.87) 12/31/2001 7.67 0.65 (0.24) 0.41 (0.66) 12/31/2000 8.71 0.64 (1.05) (0.41) (0.63) Class B 03/05(a)-12/31/04 8.15 0.14 0.41 0.55 (0.04) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 12/31/2004 11.40 0.56 0.23 0.79 (0.53) 12/31/2003 10.63 0.49 0.95 1.44 (0.52) 12/31/2002 10.41 0.65 0.22 0.87 (0.65) 12/31/2001 10.37 0.68 0.01 0.69 (0.65) 12/31/2000 10.25 0.68 0.06 0.74 (0.62) Class B 03/05(a)-12/31/04 11.60 0.20 0.41 0.61 (0.18) ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED GROWTH FUND Class A 12/31/2004 $ (0.04) $ - $ 12.23 11.41 % $ 1,001,562 46.80% 12/31/2003 - - 11.07 21.73 609,887 3.33 12/31/2002 - - 9.25 (12.40) 331,543 32.67 12/31/2001 (0.44) - 10.70 (7.34) 298,741 59.64 12/31/2000 (0.25) - 12.37 (4.35) 222,052 19.23 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED MODERATE FUND Class A 10/04(a)-12/31/04 - - 10.54 5.40 19,873 0.39 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED MODERATE GROWTH FUND Class A 12/31/2004 (0.17) - 11.67 9.58 619,106 38.10 12/31/2003 - - 10.91 17.75 402,322 2.24 12/31/2002 - - 9.48 (8.48) 227,833 31.43 12/31/2001 (0.38) - 10.54 (4.78) 187,495 49.46 12/31/2000 (0.19) - 11.83 (1.55) 139,701 25.30 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 12/31/2004 - - 8.51 8.22 284,949 149.00 12/31/2003 - - 8.03 25.79 19,464 71.74 12/31/2002 - - 6.98 5.76 17,079 77.04 12/31/2001 - - 7.42 5.33 20,220 48.73 12/31/2000 - - 7.67 (4.67) 16,437 35.52 Class B 03/05(a)-12/31/04 - - 8.66 6.84 13 149.00 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 12/31/2004 (0.19) - 11.47 6.91 236,706 74.16 (d) 12/31/2003 (0.15) - 11.40 13.53 197,923 61.03 12/31/2002 - - 10.63 8.38 125,881 83.34 12/31/2001 - - 10.41 6.71 123,310 86.36 12/31/2000 - - 10.37 7.28 116,654 93.13 Class B 03/05(a)-12/31/04 (0.19) - 11.84 5.20 8 74.16 (d) ------------------------------------------------------------------------------------------------------------------------------------ Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/S&P MANAGED GROWTH FUND Class A 12/31/2004 0.17 % 0.67 % n/a % n/a % 12/31/2003 0.20 1.40 n/a n/a 12/31/2002 0.20 1.26 n/a n/a 12/31/2001 0.20 1.66 n/a n/a 12/31/2000 0.20 2.61 n/a n/a ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED MODERATE FUND Class A 10/04(a)-12/31/04 0.18 11.25 n/a n/a ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/S&P MANAGED MODERATE GROWTH FUND Class A 12/31/2004 0.18 1.20 n/a n/a 12/31/2003 0.20 1.79 n/a n/a 12/31/2002 0.20 1.75 n/a n/a 12/31/2001 0.20 2.42 n/a n/a 12/31/2000 0.20 3.53 n/a n/a ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS HIGH YIELD BOND FUND Class A 12/31/2004 0.83 6.97 n/a n/a 12/31/2003 0.90 8.47 n/a n/a 12/31/2002 0.90 8.88 n/a n/a 12/31/2001 0.90 8.54 n/a n/a 12/31/2000 0.90 9.17 n/a n/a Class B 03/05(a)-12/31/04 0.63 7.20 n/a n/a ---------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS STRATEGIC BOND FUND Class A 12/31/2004 0.94 4.63 n/a n/a 12/31/2003 0.95 5.03 n/a n/a 12/31/2002 0.95 6.22 n/a n/a 12/31/2001 0.98 (e) 6.46 n/a n/a 12/31/2000 0.95 7.42 n/a n/a Class B 03/05(a)-12/31/04 0.72 4.87 n/a n/a ---------------------------------------------------------------------------------------------------------- -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio Turnover including dollar roll transactions for JNL/Salomon Brothers Stratigic Bond Fund is 422.85%. (e) The ratio of net operating expenses was 0.95%. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 12/31/2004 $ 11.47 $ 0.54 $ (0.10) $ 0.44 $ (0.53) 12/31/2003 11.89 0.45 (0.31) 0.14 (0.42) 12/31/2002 11.17 0.42 0.86 1.28 (0.42) 12/31/2001 10.96 0.50 0.25 0.75 (0.49) 12/31/2000 10.36 0.60 0.59 1.19 (0.59) Class B 03/05(a)-12/31/04 11.75 0.16 0.02 0.18 (0.15) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SELECT BALANCED FUND Class A 12/31/2004 15.55 0.36 1.33 1.69 (0.02) 12/31/2003 13.14 0.32 2.51 2.83 (0.30) 12/31/2002 14.00 0.42 (0.69) (0.27) (0.42) 12/31/2001 13.13 0.41 0.98 1.39 (0.44) 12/31/2000 12.60 0.50 0.52 1.02 (0.46) Class B 03/05(a)-12/31/04 16.19 0.17 0.89 1.06 (0.17) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SELECT GLOBAL GROWTH FUND Class A 12/31/2004 17.43 0.10 1.88 1.98 - 12/31/2003 14.06 0.13 3.24 3.37 - 12/31/2002 19.48 0.10 (5.38) (5.28) (0.14) 12/31/2001 25.97 0.08 (6.19) (6.11) (0.35) 12/31/2000 35.69 0.07 (6.55) (6.48) (0.59) Class B 03/05(a)-12/31/04 18.37 0.11 0.97 1.08 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SELECT LARGE CAP GROWTH FUND Class A 12/31/2004 17.65 (0.02) 2.08 2.06 - 12/31/2003 13.03 (0.04) 4.66 4.62 - 12/31/2002 18.55 (0.04) (5.48) (5.52) - 12/31/2001 26.65 - (8.04) (8.04) (0.01) 12/31/2000 39.97 0.16 (8.45) (8.29) (0.51) Class B 03/05(a)-12/31/04 18.67 0.04 1.04 1.08 - ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 12/31/2004 $ (0.07) $ - $ 11.31 3.85 % $ 197,863 64.93% (d) 12/31/2003 (0.14) - 11.47 1.18 257,274 43.56 12/31/2002 (0.14) - 11.89 11.47 304,265 35.72 12/31/2001 (0.05) - 11.17 6.92 226,275 69.10 12/31/2000 - - 10.96 11.50 138,122 49.09 Class B 03/05(a)-12/31/04 (0.07) - 11.71 1.54 13 164.93 (d) ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT BALANCED FUND Class A 12/31/2004 (0.10) - 17.12 10.88 381,316 120.61 12/31/2003 (0.12) - 15.55 21.57 303,892 54.21 12/31/2002 (0.17) - 13.14 (1.93) 217,013 68.30 12/31/2001 (0.08) - 14.00 10.57 212,196 42.38 12/31/2000 (0.03) - 13.13 8.25 155,270 25.76 Class B 03/05(a)-12/31/04 (0.10) - 16.98 6.54 22 120.61 ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT GLOBAL GROWTH FUND Class A 12/31/2004 - - 19.41 11.36 217,952 296.09 12/31/2003 - - 17.43 23.97 197,288 120.39 12/31/2002 - - 14.06 (27.12) 206,070 65.19 12/31/2001 (0.03) - 19.48 (23.50) 389,796 93.37 12/31/2000 (2.65) - 25.97 (18.28) 665,187 65.56 Class B 03/05(a)-12/31/04 - - 19.45 5.88 1 296.09 ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT LARGE CAP GROWTH FUND Class A 12/31/2004 - - 19.71 11.67 295,491 154.46 12/31/2003 - - 17.65 35.46 257,852 78.47 12/31/2002 - - 13.03 (29.76) 215,884 117.19 12/31/2001 (0.05) - 18.55 (30.18) 436,946 100.02 12/31/2000 (4.52) - 26.65 (20.97) 744,972 61.65 Class B 03/05(a)-12/31/04 - - 19.75 5.78 2 154.46 ----------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND Class A 12/31/2004 0.79 % 3.92 % n/a % n/a % 12/31/2003 0.78 3.26 n/a n/a 12/31/2002 0.78 4.26 n/a n/a 12/31/2001 0.82 (e) 5.09 n/a n/a 12/31/2000 0.80 6.06 n/a n/a Class B 03/05(a)-12/31/04 0.61 4.22 n/a n/a ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/SELECT BALANCED FUND Class A 12/31/2004 0.80 2.42 n/a n/a 12/31/2003 0.80 2.49 0.81 2.48 12/31/2002 0.81 2.98 0.81 2.98 12/31/2001 0.81 3.28 n/a n/a 12/31/2000 0.82 4.02 n/a n/a Class B 03/05(a)-12/31/04 0.60 2.68 n/a n/a ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/SELECT GLOBAL GROWTH FUND Class A 12/31/2004 1.11 0.58 1.21 0.48 12/31/2003 1.13 0.70 1.18 0.65 12/31/2002 1.07 0.45 1.10 0.42 12/31/2001 1.05 0.42 1.06 0.41 12/31/2000 1.03 0.03 n/a n/a Class B 03/05(a)-12/31/04 0.84 1.02 0.94 0.92 ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/SELECT LARGE CAP GROWTH FUND Class A 12/31/2004 1.00 (0.09) 1.02 (0.11) 12/31/2003 1.04 (0.28) 1.08 (0.32) 12/31/2002 1.02 (0.18) 1.10 (0.26) 12/31/2001 0.99 0.05 1.02 0.02 12/31/2000 0.98 0.25 n/a n/a Class B 03/05(a)-12/31/04 0.76 0.40 0.77 0.39 ------------------------------------------------------------------------------------------------------ -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio Turnover including dollar roll transactions for JNL/Salomon Brothers U.S. Governement Quality & Bond Fund is 643.06%. (e) The ratio of net operating expenses was 0.79%. See Notes to the Financial Statements. JNL Series Trust Financial Highlights Increase (Decrease) from Investment Operations ------------------------------------------------------- Net Asset ------------------------------------------------------- Value Net Net Realized Total from Distributions from Beginning Investment & Unrealized Investment Net Investment Period Ended of Period Income (Loss) Gains (Losses) Operations Income ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SELECT MONEY MARKET FUND Class A 12/31/2004 $ 1.00 $ 0.01 $ - $ 0.01 $ (0.01) 12/31/2003 1.00 0.01 - 0.01 (0.01) 12/31/2002 1.00 0.01 - 0.01 (0.01) 12/31/2001 1.00 0.03 - 0.03 (0.03) 12/31/2000 1.00 0.06 - 0.06 (0.06) Class B 03/05(a)-12/31/04 1.00 0.01 - 0.01 (0.01) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/SELECT VALUE FUND Class A 12/31/2004 14.70 0.12 2.05 2.17 (0.06) 12/31/2003 10.97 0.11 3.71 3.82 (0.03) 09/30(a)-12/31/02 10.00 0.06 0.91 0.97 - Class B 03/05(a)-12/31/04 15.47 0.11 1.31 1.42 (0.11) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 12/31/2004 16.77 0.08 1.58 1.66 (0.07) 12/31/2003 12.85 0.02 3.90 3.92 - 12/31/2002 16.78 0.01 (3.92) (3.91) (0.02) 12/31/2001 18.74 0.02 (1.94) (1.92) - 12/31/2000 21.70 - (0.11) (0.11) (0.01) Class B 03/05(a)-12/31/04 17.44 0.08 0.93 1.01 (0.07) ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 12/31/2004 24.89 (0.13) 4.61 4.48 - 12/31/2003 18.05 (0.12) 7.08 6.96 - 12/31/2002 23.12 (0.15) (4.92) (5.07) - 12/31/2001 23.47 (0.13) (0.22) (0.35) - 12/31/2000 23.71 (0.04) 1.67 1.63 - Class B 03/05(a)-12/31/04 26.20 (0.03) 3.25 3.22 - ----------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND Class A 12/31/2004 11.92 0.12 1.68 1.80 (0.08) 12/31/2003 9.22 0.06 2.70 2.76 (0.06) 12/31/2002 11.11 0.09 (1.96) (1.87) - 12/31/2001 11.14 0.08 0.01 0.09 (0.08) 05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09) Class B 03/05(a)-12/31/04 12.50 0.05 1.18 1.23 (0.04) ----------------------------------------------------------------------------------------------------------------------- Supplemental Data Distributions from ------------------------------------------------- Net Realized ------------------------------------------------- Gains on Net Asset Net Assets, Investment Return of Value, End Total End of Period Portfolio Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d) --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT MONEY MARKET FUND Class A 12/31/2004 $ - $ - $ 1.00 0.78 % $ 237,815 n/a % 12/31/2003 - - 1.00 0.46 184,440 n/a 12/31/2002 - - 1.00 1.07 214,520 n/a 12/31/2001 - - 1.00 3.45 242,518 n/a 12/31/2000 - - 1.00 5.83 185,012 n/a Class B 03/05(a)-12/31/04 - - 1.00 0.91 38 n/a --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/SELECT VALUE FUND Class A 12/31/2004 (0.10) - 16.71 14.77 154,283 136.31 12/31/2003 (0.06) - 14.70 34.80 54,532 16.19 09/30(a)-12/31/02 - - 10.97 9.70 18,004 8.64 Class B 03/05(a)-12/31/04 (0.10) - 16.68 9.22 27 136.31 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND Class A 12/31/2004 - - 18.36 9.89 606,885 36.69 12/31/2003 - - 16.77 30.54 474,046 36.37 12/31/2002 - - 12.85 (23.33) 316,367 46.16 12/31/2001 (0.04) - 16.78 (10.23) 474,105 63.38 12/31/2000 (2.84) - 18.74 (0.34) 411,855 77.19 Class B 03/05(a)-12/31/04 - - 18.38 5.81 24 236.69 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE MID-CAP GROWTH FUND Class A 12/31/2004 (1.50) - 27.87 18.03 541,739 34.02 12/31/2003 (0.12) - 24.89 38.60 379,541 42.89 12/31/2002 - - 18.05 (21.93) 248,327 42.22 12/31/2001 - - 23.12 (1.49) 366,028 44.26 12/31/2000 (1.87) - 23.47 7.16 419,796 47.90 Class B 03/05(a)-12/31/04 (1.50) - 27.92 12.32 33 34.02 --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- JNL/T.ROWE PRICE VALUE FUND Class A 12/31/2004 - - 13.64 15.12 485,126 42.10 12/31/2003 - - 11.92 29.97 404,470 28.06 12/31/2002 (0.02) - 9.22 (16.84) 220,106 38.21 12/31/2001 (0.04) - 11.11 0.78 216,408 42.29 05/01(a)-12/31/00 (0.02) - 11.14 12.54 26,446 44.84 Class B 03/05(a)-12/31/04 - - 13.69 9.87 34 42.10 --------------------------------------------------------------------------------------------------------------------------------- Assuming No Expense Reimburse- ment or Fees Paid Indirectly -------------------------------------- -------------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Expenses to Income (Loss) Expenses to Income (Loss) Average Net to Average Average Net to Average Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/SELECT MONEY MARKET FUND Class A 12/31/2004 0.61 % 0.81 % n/a % n/a % 12/31/2003 0.69 0.47 n/a n/a 12/31/2002 0.69 1.07 n/a n/a 12/31/2001 0.69 3.28 n/a n/a 12/31/2000 0.70 5.73 n/a n/a Class B 03/05(a)-12/31/04 0.40 1.57 n/a n/a ------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------ JNL/SELECT VALUE FUND Class A 12/31/2004 0.86 1.50 n/a n/a 12/31/2003 0.85 1.81 0.88 1.78 09/30(a)-12/31/02 0.85 2.24 0.98 2.11 Class B 03/05(a)-12/31/04 0.66 1.73 n/a n/a ------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE ESTABLISHED GRO Class A 12/31/2004 0.92 0.51 0.93 0.50 12/31/2003 0.92 0.14 0.95 0.11 12/31/2002 0.92 0.06 0.94 0.04 12/31/2001 0.92 0.12 0.92 0.12 12/31/2000 0.92 0.03 0.92 0.03 Class B 03/05(a)-12/31/04 0.73 1.21 0.74 1.20 ------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE MID-CAP GROWTH Class A 12/31/2004 1.02 (0.55) 1.04 (0.57) 12/31/2003 1.03 (0.60) 1.04 (0.61) 12/31/2002 1.03 (0.67) 1.04 (0.68) 12/31/2001 1.02 (0.56) 1.03 (0.57) 12/31/2000 1.02 (0.20) n/a n/a Class B 03/05(a)-12/31/04 0.81 (0.24) 0.82 (0.25) ------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------ JNL/T.ROWE PRICE VALUE FUND Class A 12/31/2004 0.99 1.01 1.01 0.99 12/31/2003 1.00 1.05 1.02 1.03 12/31/2002 1.00 0.97 1.02 0.95 12/31/2001 1.00 0.93 1.02 0.91 05/01(a)-12/31/00 1.00 1.47 1.01 1.46 Class B 03/05(a)-12/31/04 0.79 1.51 0.80 1.50 ------------------------------------------------------------------------------------------------------------ -------------------------- (a) Commencement of operations. (b) Total Return is not annualized for periods less than one year and does not reflect payment of the expenses that apply to the variable accounts or any annuity charges. (c) Annualized for periods less than one year. (d) The Portfolio Turnover excludes dollar roll transactions.
JNL Series Trust Notes to the Financial Statements NOTE 1. ORGANIZATION JNL Series Trust ("The Trust") is an open-end management investment company organized under the laws of Massachusetts, by a Declaration of Trust, dated June 1, 1994. The Trust, consisting of diversified and non-diversified Funds, is registered with the Securities and Exchange Commission under the Investment Company Act of 1940. The Trust currently offers shares in forty (40) separate funds (the "Funds"), each with its own investment objective. JNL/AIM Large Cap Growth Fund and JNL/AIM Small Cap Growth Fund for which AIM Capital Management Inc. serves as the sub-adviser; JNL/Alger Growth Fund, for which Fred Alger Management, Inc. serves as the sub-adviser; JNL/Alliance Capital Growth Fund, for which Alliance Capital Management L.P. serves as the sub-adviser; JNL/Eagle Core Equity Fund and JNL/Eagle SmallCap Equity Fund, for which Eagle Asset Management, Inc. serves as the sub-adviser; JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund, for which Fidelity Management & Research Co. serves as the sub-adviser; JNL/JPMorgan International Value Fund, for which JPMorgan Investment Management Inc. serves as the sub-adviser; JNL/Lazard Mid Cap Value Fund and JNL/Lazard Small Cap Value Fund, for which Lazard Asset Management serves as sub-adviser; JNL/Mellon Capital Management Bond Index Fund, JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management International Index Fund, JNL/Mellon Capital Management S&P 400 MidCap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund and JNL/Mellon Capital Management Small Cap Index Fund, for which Mellon Capital Management Corp. serves as the sub-adviser; JNL/Oppenheimer Global Growth Fund and JNL/Oppenheimer Growth Fund, for which OppenheimerFunds Inc. serves as the sub-adviser; JNL/PIMCO Total Return Bond Fund, for which Pacific Investment Management Company serves as the sub-adviser; JNL/Putnam Equity Fund, JNL/Putnam International Equity Fund, JNL/Putnam Midcap Growth Fund and JNL/Putnam Value Equity Fund, for which Putnam Investment Management LLC serves as the sub-adviser; JNL/S&P Managed Aggressive Growth Fund, JNL/S&P Managed Conservative Fund, JNL/S&P Managed Growth Fund, JNL/S&P Managed Moderate Fund, and JNL/S&P Managed Moderate Growth Fund, (collectively the "JNL/S&P Funds") for which Standard & Poor's Investment Advisory Services, Inc. serves as the sub-adviser; JNL/Salomon Brothers High Yield Bond Fund, JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond Fund, for which Salomon Brothers Asset Management Inc. serves as the sub-adviser; JNL/Select Balanced Fund, JNL/Select Global Growth Fund, JNL/Select Large Cap Growth Fund, JNL/Select Money Market Fund and JNL/Select Value Fund, for which Wellington Management Company, LLP serves as the sub-adviser; and JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund and JNL/T. Rowe Price Value Fund, for which T. Rowe Price Associates, Inc. serves as the sub-adviser. The JNL/S&P Funds have a fund of fund structure which invests in other affiliated underlying funds. Effective February 18, 2004, JNL/Curian Enhanced S&P 500 Stock Index Fund, JNL/Curian S&P 400 MidCap Index Fund, JNL/Curian S&P 500 Index Fund, and JNL/Curian Small Cap Index Fund became the JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management S&P 400 MidCap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund, and JNL/Mellon Capital Management Small Cap Index Fund, respectively, and are managed by Mellon Capital Management Corp. For the period from December 15, 2003 to February 18, 2004, these funds were managed by Curian Capital LLC. Effective May 1, 2004, JNL/Janus Balanced Fund and JNL/Janus Capital Growth Fund, became JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund, respectively, and are managed by Fidelity Management & Research Company; JNL/Janus Aggressive Growth Fund and JNL/Janus Global Equities Fund became JNL/Select Large Cap Growth Fund and JNL/Select Global Growth Fund, respectively, and are managed by Wellington Management Company LLP. Prior to May 1, 2004, these funds were managed by Janus Capital Management LLC. Effective October 4, 2004, JNL/PPM America Balanced Fund, JNL/PPM America Money Market Fund and JNL/PPM America Value Fund, became JNL/Select Balanced Fund, JNL/Select Money Market Fund and JNL/Select Value Fund, respectively, and are managed by Wellington Management Company, LLP. Prior to October 4, 2004, these funds were managed by PPM America, Inc. Effective October 4, 2004, JNL/S&P Aggressive Growth Fund I, JNL/S&P Conservative Growth Fund I and JNL/S&P Moderate Growth Fund I became JNL/S&P Managed Aggressive Growth Fund, JNL/S&P Managed Moderate Growth Fund and JNL/S&P Managed Growth Fund, respectively. Effective April 30, 2004, the following acquisitions occurred: JNL/AIM Large Cap Growth Fund acquired JNL/AIM Premier Equity II Fund; JNL/Eagle Core Equity Fund acquired JNL/Janus Growth & Income Fund; JNL/S&P Aggressive Growth Fund I acquired JNL/S&P Aggressive Growth Fund and JNL/S&P Aggressive Growth Fund II; JNL/S&P Conservative Growth Fund I acquired JNL/S&P Conservative Growth Fund and JNL/ S&P Conservative Growth Fund II; JNL/S&P Equity Aggressive Growth Fund I acquired JNL/S&P Equity Aggressive Growth Fund II; JNL/S&P Equity Growth Fund I acquired JNL/S&P Equity Growth Fund II; JNL/S&P Moderate Growth Fund I acquired JNL/S&P Moderate Growth Fund and JNL/S&P Moderate Growth Fund II; JNL/S&P Very Aggressive Growth Fund I acquired JNL/S&P Very Aggressive Growth Fund II . See Note 7 for additional information regarding fund acquisitions. Effective October 1, 2004, the following acquisitions occurred: JNL/Salomon Brothers High Yield Bond Fund acquired JNL/PPM America High Yield Bond Fund; JNL/Select Balanced Fund acquired JNL/Salomon Brothers Balanced Fund; JNL/S&P Managed Aggressive Growth Fund acquired JNL/S&P Core Index 50 Fund, JNL/S&P Core Index 75 Fund, JNL/S&P Equity Aggressive Growth Fund I, JNL/S&P Equity Growth Fund I, and JNL/S&P Very Aggressive Growth Fund I; JNL/S&P Managed Growth Fund acquired JNL/S&P Core Index 100 Fund. See note 7 for additional information regarding fund acquisitions. Each Portfolio offers Class A and Class B shares. The two classes differ principally in applicable 12b-1 Service Fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Portfolios and earn income and realized gains/losses from the Portfolio pro rata based on the average daily net assets of each class, without discrimination between share classes. No class has preferential dividend rights. Differences in per share dividend rates generally result from the relative weighting of pro rata income and realized gain allocations and from differences in separate class expenses, including distribution, and shareholder servicing fees. Jackson National Asset Management, LLC ("JNAM L.L.C."), a wholly-owned subsidiary of Jackson National Life Insurance Company ("Jackson National"), serves as investment adviser ("Adviser") for all the Funds of the Trust. PPM America, Inc. and Curian Capital LLC are affiliates of the Adviser. Shares are presently offered to Jackson National (Jackson National Life Insurance Company of New York) and its separate accounts to fund the benefits of variable annuity and variable life policies. Shares are also sold to qualified plans. NOTE 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed and consistently applied by the Trust in the preparation of its financial statements. Certain prior year amounts have been reclassified in conformity with the current year's presentation. Use of Estimates - The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Security Valuation - Bonds are valued on the basis of prices furnished by pricing services which determine prices for normal institutional size trading units of bonds or based on quotations provided by reputable broker-dealers. Stocks are valued at the last quoted sale price on the New York stock exchange or final bid price in absence of a sale. Stocks not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. If trading or events occurring in other markets after the close of the foreign stock exchange are expected to have a material affect on the value of the investments, or when quotations are not readily available, securities are valued at fair market value determined by procedures approved by the Board of Trustees. Short-term securities maturing within 60 days of purchase, and all securities in the JNL/Select Money Market Fund, are valued at amortized cost, which approximates market value. American Depository Receipts ("ADRs") and Global Depository Receipts ("GDRs"), which are certificates representing shares of foreign securities deposited in domestic and foreign banks, are traded and valued in U.S. dollars. The JNL/S&P Funds are valued at the net asset value per share of each underlying Fund determined as of the close of the New York Stock Exchange on the valuation date. Security Transactions and Investment Income - Security transactions are recorded on the trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date. Interest income, including level-yield amortization of discounts and premiums, is accrued daily. The Fund may place a debt obligation on non-accrual status and reduce related interest income by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Realized gains and losses are determined on the specific identification basis. Foreign Securities - Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. Government. Foreign Currency Translations - The accounting records of each Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars using exchange rates in effect as of 11:00 a.m. Eastern Standard Time. Purchases and sales of investment securities, income receipts, and expense payments are translated into U.S. dollars at the exchange rates prevailing on the respective dates of such transactions. Realized gains and losses arising from selling foreign currencies and certain non-dollar denominated fixed income securities, entering into forward foreign currency exchange contracts, and accruing income or settling portfolio purchases and sales denominated in a foreign currency paid or received at a later date are recorded as net realized foreign currency related gains (losses) and are considered ordinary income for tax purposes. Realized and unrealized gains and losses on investments which result from changes in foreign currency exchange rates are primarily included in net realized gains (losses) and net unrealized appreciation (depreciation), respectively. Forward Foreign Currency Exchange Contracts - A Fund may enter into forward foreign currency exchange contracts ("contracts"), generally to hedge foreign currency exposure between trade date and settlement date on security purchases and sales ("spot hedges") or to minimize foreign currency risk on portfolio securities denominated in foreign currencies ("position hedges"). All contracts are valued at the forward currency exchange rate and are marked-to-market daily. When the contract is open, the change in market value is recorded as net unrealized appreciation (depreciation) on foreign currency related items. When the contract is closed, the difference between the value of the contract at the time it was opened and the value at the time it was closed is recorded as net realized gain (loss) on foreign currency related items. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds' portfolio securities, but it does establish a rate of exchange that can be achieved in the future. These forward foreign currency contracts involve market risk in excess of the unrealized appreciation (depreciation) of forward foreign currency contracts reflected in the Statements of Assets and Liabilities. Although contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Additionally, the Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparties to the contracts are unable to meet the terms of the contracts. When-Issued and Delayed Delivery Transactions - A Fund may purchase securities on a when-issued or delayed delivery basis. On the trade date, the Fund records purchases of when-issued securities and reflect the values of such securities in determining net asset value in the same manner as other portfolio securities. Income is not accrued until settlement date. The Fund will segregate and maintain, until the settlement date, liquid assets in an amount sufficient to meet the purchase price. Unregistered Securities - A Fund may own certain investment securities which are unregistered and thus restricted to resale. These securities are valued by the Fund after giving due consideration to pertinent factors including recent private sales, market conditions and the issuer's financial performance. Where future dispositions of the securities require registration under the Securities Act of 1933, the Funds have the right to include their securities in such registration generally without cost to the Funds. The Funds have no right to require registration of unregistered securities. Options Transactions - A Fund may write covered call options on portfolio securities. A Fund may buy and sell options contracts to manage its exposure to changes in securities prices and foreign currencies and as an efficient means of adjusting overall exposure to certain markets. Written options involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. Option contracts are valued at the closing prices on their exchanges and the Fund will realize a gain or loss upon expiration or closing of the option transaction. When a written call option is exercised, the proceeds on the sale of the underlying security are adjusted by the amount of premium received. Futures Contracts - A Fund may utilize futures contracts to a limited extent. A Fund may buy and sell futures contracts to manage its exposure to changes in securities prices and foreign currencies and as an efficient means of adjusting overall exposure to certain markets. The risks associated with the use of futures contracts include the possibility that the value may not correlate with the change in the value of the hedged instruments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid market. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin". Futures contracts are valued based upon their quoted daily settlement prices. The Fund receives from or pays to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the "variation margin," are recorded by the Fund as unrealized appreciation (depreciation) until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Assets and Liabilities. Dollar Roll Transactions - A Fund may enter into dollar roll transactions with respect to mortgage securities in which the Fund sells mortgage securities and simultaneously agrees to repurchase similar (same type, coupon and maturity) securities at a later date at an agreed upon price. The value of the dollar roll transactions are reflected in the Funds' Statements of Assets and Liabilities as investment securities purchased. During the period between the sale and repurchase, the Fund forgoes principal and interest paid on the mortgage securities sold. The Fund is compensated by the interest earned on the cash proceeds of the initial sale and from negotiated fees paid by brokers offered as an inducement to the Fund to "roll over" its purchase commitments. These fees are accrued as income over the life of the dollar roll contract. Dollar roll transactions involve the risk that the market value of the securities sold by the Fund may decline below the repurchase price of those similar securities which the Fund is obligated to purchase or that the return earned by the Fund with the proceeds of a dollar roll may not exceed transaction costs. Repurchase Agreements - A Fund may invest in repurchase agreements. A repurchase agreement involves the purchase of a security by a Fund and a simultaneous agreement (generally by a bank or broker-dealer) to repurchase that security back from the Fund at a specified price and date or upon demand. Securities pledged as collateral for repurchase agreements are held by the Fund's custodian bank until the maturity of the repurchase agreement. Procedures for all repurchase agreements have been designed to assure that the daily market value of the collateral is in excess of the repurchase agreement in the event of default. Reverse Repurchase Agreements - A Fund may engage in reverse repurchase agreements to borrow short term funds. The value of the reverse repurchase agreements that the Fund has committed to sell is reflected in the Statements of Assets and Liabilities. A Fund pays interest on amounts borrowed which is reflected in the Statements of Operations. The Fund will maintain securities in segregated accounts with its custodian that at all times are in an amount equal to their obligations under the reverse repurchase agreements. Reverse repurchase agreements involve the risks that the market value of the securities sold by the Fund may decline below the repurchase price and, if the proceeds from the reverse repurchase agreement are invested in securities, that the market value of the securities bought may decline below the repurchase price of the securities sold. Securities Loaned - The Trust has entered into a securities lending arrangement with the custodian. Under the terms of the agreement, the Funds receive a fee equal to a percentage of the net income from lending transactions. In exchange for such fees, the custodian is authorized to loan securities on behalf of the Funds and is required to maintain collateral at least equal in value to the value of the securities loaned. Cash collateral is invested by the custodian in the Mellon GSL Delaware Business Trust Collateral Fund (a pooled money market instrument approved by the Advisor). The Funds bear the risk of any deficiency in the amount of collateral available for return to a borrower due to a loss in an approved investment. Securities Sold Short - A Fund may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. The Fund is obligated to deliver securities at the market price at the time the short position is closed. Potential losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Swaps - A Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund may enter into interest rate, total return, forward swap spread lock and credit default swap agreements to manage its exposure to interest rates and credit risk. Interest rate swap agreements involve the exchange by the Fund with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap. The swap spread is the difference between the benchmark swap rate (market rate) and the specific Treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party. The Fund may use credit default swaps to provide a measure of protection against defaults of sovereign issuers (i.e., to reduce risk where the Fund owns or has exposure to the sovereign issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Swaps are marked to market daily based upon quotations from market makers and vendors and the change in value, if any, is recorded as unrealized gain or loss in the Statement of Operations. Net periodic payments or any payments received or made at the end of the measurement period are recorded as realized gain or loss in the Statement of Operations. Entering into these agreements involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements, and that there may be unfavorable changes in interest rates. Inflation-Indexed Bonds - A Fund may invest in inflation-indexed bonds which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive their principal until maturity. Distributions to Shareholders - The JNL/Select Money Market Fund declares dividends daily and pays dividends monthly. For all other Funds, dividends from net investment income are declared and paid annually, but may be done more frequently to avoid excise tax. Distributions of net realized capital gains, if any, will be distributed at least annually. Federal Income Taxes - The Trust's policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute income in amounts that will avoid federal income or excise taxes for each Fund. The Trust periodically makes reclassifications among certain of its capital accounts as a result of the recognition and characterization of certain income and capital gain distributions determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES The Trust has an investment advisory agreement with JNAM L.L.C. whereby JNAM L.L.C. provides investment management services. Each Fund pays JNAM L.L.C. an annual fee, computed daily and payable monthly, based on a specified percentage of the average daily net assets of each Fund. A portion of this fee is paid by JNAM to sub-advisers as compensation for their services. The following is a schedule of the fees each Fund is currently obligated to pay JNAM L.L.C.
$0 to $50 to $100 to $150 to$200 to $250 to $300 to $350 to$500 to $750 to Over (M - Millions; B - Billions) $50 M $100 M $150 M $200 M $250 M $300 M $350 M $500 M $750 M $1.5 B $1.5 B JNL/AIM Large Cap Growth Fund (a) 0.75 %0.75 % 0.75 % 0.75 %0.75 % 0.75 % 0.70 % 0.70 %0.70 % 0.70 % 0.70 % JNL/AIM Small Cap Growth Fund 0.85 0.85 0.85 0.85 0.85 0.85 0.80 0.80 0.80 0.80 0.80 JNL/Alger Growth Fund (h) 0.70 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.60 0.60 0.60 JNL/Alliance Capital Growth Fund 0.575 0.575 0.575 0.575 0.575 0.50 0.50 0.50 0.50 0.50 0.50 JNL/Eagle Core Equity Fund 0.70 0.65 0.65 0.65 0.65 0.65 0.55 0.55 0.55 0.55 0.55 JNL/Eagle SmallCap Equity Fund 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.65 JNL/FMR Balanced Fund (b) 0.70 0.70 0.70 0.70 0.70 0.70 0.70 0.70 0.65 0.60 0.60 JNL/FMR Capital Growth Fund (c) 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.65 0.65 0.60 0.55 JNL/JPMorgan International Value Fund 0.775 0.75 0.75 0.75 0.70 0.70 0.70 0.65 0.65 0.65 0.65 JNL/Lazard Mid Cap Value Fund 0.775 0.775 0.775 0.725 0.725 0.725 0.70 0.70 0.70 0.70 0.70 JNL/Lazard Small Cap Value Fund 0.85 0.80 0.80 0.775 0.775 0.775 0.725 0.725 0.725 0.725 0.725 JNL/Mellon Capital Management Bond Index Fund 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.25 0.25 0.25 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (d) 0.50 0.45 0.45 0.45 0.45 0.45 0.45 0.45 0.45 0.45 0.45 JNL/Mellon Capital Management International Index Fund 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.25 0.25 0.25 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.24 0.24 0.24 JNL/Mellon Capital Management S&P 500 Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.24 0.24 0.24 JNL/Mellon Capital Management Small Cap Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.24 0.24 0.24 JNL/Oppenheimer Global Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 0.60 0.60 0.60 0.60 0.60 JNL/Oppenheimer Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 0.60 0.60 0.60 0.60 0.60 JNL/PIMCO Total Return Bond Fund 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 JNL/Putnam Equity Fund (e) 0.675 0.675 0.675 0.60 0.60 0.60 0.575 0.575 0.575 0.575 0.575 JNL/Putnam International Equity Fund (f) 0.80 0.75 0.75 0.75 0.75 0.75 0.75 0.75 0.70 0.70 0.70 JNL/Putnam Midcap Growth Fund 0.75 0.75 0.75 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 JNL/Putnam Value Equity Fund (e) 0.675 0.675 0.675 0.60 0.60 0.60 0.575 0.575 0.575 0.575 0.575 JNL/S&P Funds 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.08 0.08 0.08 JNL/Salomon Brothers High Yield Bond Fund 0.55 0.50 0.50 0.475 0.475 0.475 0.45 0.45 0.425 0.425 0.425 JNL/Salomon Brothers Strategic Bond Fund 0.65 0.65 0.65 0.60 0.60 0.60 0.60 0.60 0.55 0.55 0.55 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 0.50 0.50 0.50 0.45 0.45 0.45 0.40 0.40 0.35 0.35 0.35 JNL/Select Balanced Fund 0.55 0.50 0.50 0.475 0.475 0.475 0.45 0.45 0.425 0.425 0.425 JNL/Select Global Growth Fund (g) 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 0.65 0.60 0.60 JNL/Select Large Cap Growth Fund (c) 0.70 0.70 0.70 0.65 0.65 0.65 0.65 0.65 0.60 0.55 0.55 JNL/Select Money Market Fund 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.25 0.25 0.25 JNL/Select Value Fund 0.55 0.55 0.55 0.55 0.55 0.55 0.50 0.50 0.45 0.45 0.45 JNL/T.Rowe Price Established Growth Fund 0.65 0.65 0.65 0.60 0.60 0.60 0.60 0.60 0.60 0.60 0.60 JNL/T.Rowe Price Mid-Cap Growth Fund 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 0.70 0.70 0.70 JNL/T.Rowe Price Value Fund 0.70 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.65 0.65 0.65
(a) Prior to May 1, 2004, the fees were 0.80% on assets up to $300 million and 0.75% over $300 million. (b) Prior to May 1, 2004, the fees were 0.75% on assets up to $250 million, 0.70% between $250 and $750, and 0.65% between $750 million and $1 billion and 0.60% over $1.5 billion. (c) Prior to May 1, 2004, the fees were 0.75% on assets up to $150 million, 0.70% between $150 million and $250 million, 0.65% between $250 million and $750 million, 0.60% between $750 and $1.5 billion and 0.55% over $1.5 billion. (d) Prior to May 1, 2004, the fees were 0.57% on assets up to $25 million and 0.52% over $25 million. (e) Prior to May 1, 2004, the fees were 0.70% on assets up to $150 million, 0.65% between $150 million and $300 million and 0.60% over $300 million. (f) Prior to May 1, 2004, the fees were 0.90% on assets up to $50 million, 0.85% between $50 million and $150 million, 0.80% between $150 million and $300 million, 0.75% between $300 million and $$500 million and 0.70% over $500 million. (g) Prior to May 1, 2004, the fees were 0.80% on assets up to $150 million, 0.75% between $150 million and $300 million, and 0.70% over $300 million. (h) Prior to July 1, 2004, the fees were 0.775% on asssets up to $300 million, 0.75% between $300 million and $500 million and 0.70% over $500 million. Administrative Fee - The JNL/S&P Funds pay an annual Administrative Fee of 0.05% of the average daily net assets of each Fund. The JNL/JPMorgan International Value Fund, the JNL/Mellon Capital Management International Index Fund, the JNL/Oppenheimer Global Growth Fund, the JNL/Putnam International Equity Fund, and the JNL/Select Global Growth Fund pay JNAM L.L.C. an annual Administration Fee of 0.15% of the average daily net assets of the Funds. All other Funds pay JNAM L.L.C. an annual Administration Fee of 0.10% of the average daily net assets of the Funds. In return for the Administrative Fee, JNAM L.L.C. provides or procures all necessary administrative functions and services for the operation of the Funds. In addition, JNAM L.L.C., at its own expense, arranges for legal, audit, fund accounting, custody, printing and mailing, and all other services necessary for the operation of each Fund. Each Fund is responsible for trading expenses including brokerage commissions, interest and taxes, other non-operating expenses, the fees and expenses of the disinterested Trustees and independent legal counsel to the disinterested Trustees and a majority of the cost associated with the Chief Compliance Officer. Transfer Agency Services - The Trust has an agreement with JNAM L.L.C. whereby JNAM L.L.C. provides transfer agency services for the funds. Brokerage fees - During the year ended December 31, 2004, JNL/Alger Growth Fund and JNL/FMR Capital Growth Fund paid $732 and $15, in thousands respectively, to affiliates of the Fund for brokerage fees on the execution of purchases and sales of portfolio investments. 12b-1 Service Fee - Effective December 15, 2003, certain Funds have adopted a Distribution Plan under the provisions of Rule 12b-1 for the purpose of reimbursement of certain distribution and related service expenses from the sale and distribution of the Trust's Class A shares (through the sale of variable insurance products funded by the Trust). Jackson National Life Distributors, Inc. ("JNLD") is the principal underwriter of the Funds, with responsibility for promoting sales of their shares. JNLD also is the principal underwriter of the variable insurance products issued by Jackson National and its subsidiaries. JNLD is a wholly-owned subsidiary of Jackson National. The maximum 12b-1 fee allowed shall be 0.20% as a percentage of the average daily net assets attributable to the Class A shares. Amounts charged pursuant to the Distribution Plan are reflected in the Statement of Operations as "12b-1 service fees (Class A)". Distribution (12b-1) Fee - Certain Funds have adopted a Brokerage Enhancement Plan (the "Plan") under the provisions of Rule 12b-1 for the purpose of utilizing the Trust's brokerage commissions to the extent available, to promote the sale and distribution of the Trust's shares by JNLD (through the sale of variable insurance products funded by the Trust). Commissions are reflected in the Statements of Operations as "Distribution (12b-1) fee" and a corresponding reduction "Fees paid indirectly". Net expenses of the Fund are unaffected by participating in the Plan. Effective December 13, 2004, the Funds revised the Plan thereby suspending the use of the Trust's brokerage commissions to promote the sale and distribution of the Trust's shares by JNLD. Deferred Compensation Plan - The Funds have adopted a Deferred Compensation Plan whereby non-interested Trustees may defer the receipt of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the designated Fund(s). The Fund's liability for these amounts is adjusted for market value changes and remains in the Fund until distributed under the terms of the Deferred Compensation Plan. Investments in affiliates - During the year ended December 31, 2004, certain funds invested in a money market fund for temporary purposes, which were managed by an affiliate to the subadviser. The JNL/S&P Funds invested solely in other affiliated funds of the Trust. The total market value and cost of such affiliated investments is disclosed separately in the Statement of Assets and Liabilities, and the associated income is disclosed separately in the Statement of Operations. NOTE 4. PURCHASES AND SALES OF SECURITIES Information with respect to purchases and proceeds from sales of long-term securities including dollar rolls for the year ended December 31, 2004, is as follows (in thousands):
Investment Securities U.S. Government Obligations Purchases Sales Purchases Sales ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- JNL/AIM Large Cap Growth Fund $ 251,899 $ 115,251 $ - $ - JNL/AIM Small Cap Growth Fund 39,853 39,171 - - JNL/Alger Growth Fund 537,280 505,934 - - JNL/Alliance Capital Growth Fund 65,543 151,046 - - JNL/Eagle Core Equity Fund 359,734 277,992 - - JNL/Eagle SmallCap Equity Fund 108,930 69,448 - - JNL/FMR Balanced Fund 108,413 136,482 49,594 34,252 JNL/FMR Capital Growth Fund 383,915 355,620 - - JNL/JPMorgan International Value Fund 85,828 42,146 868 868 JNL/Lazard Mid Cap Value Fund 199,483 161,955 - - JNL/Lazard Small Cap Value Fund 211,415 176,001 - - JNL/Mellon Capital Management Bond Index Fund 158,437 90,824 131,221 154,386 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 173,696 98,494 - - JNL/Mellon Capital Management International Index Fund 165,949 5,255 - - JNL/Mellon Capital Management S&P 400 MidCap Index Fund 109,946 18,017 - - JNL/Mellon Capital Management S&P 500 Index Fund 158,477 17,573 - - JNL/Mellon Capital Management Small Cap Index Fund 103,438 20,209 - - JNL/Oppenheimer Global Growth Fund 115,718 26,887 - - JNL/Oppenheimer Growth Fund 32,921 40,014 - - JNL/PIMCO Total Return Bond Fund 643,567 499,052 166,439 138,575 JNL/Putnam Equity Fund 137,873 166,280 - - JNL/Putnam International Equity Fund 67,919 81,166 - - JNL/Putnam Midcap Growth Fund 33,451 33,401 - - JNL/Putnam Value Equity Fund 108,970 214,272 - - JNL/S&P Managed Aggressive Growth Fund 608,499 185,894 - - JNL/S&P Managed Conservative Fund 14,934 1,097 - - JNL/S&P Managed Growth Fund 676,397 374,001 - - JNL/S&P Managed Moderate Fund 19,287 42 - - JNL/S&P Managed Moderate Growth Fund 368,273 193,989 - - JNL/Salomon Brothers High Yield Bond Fund 338,185 110,502 - - JNL/Salomon Brothers Strategic Bond Fund 884,108 873,915 64,026 47,617 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 1,310,147 1,369,911 59,551 65,138 JNL/Select Balanced Fund 274,651 258,943 180,076 137,663 JNL/Select Global Growth Fund 563,358 558,722 - - JNL/Select Large Cap Growth Fund 404,137 395,619 - - JNL/Select Value Fund 248,601 167,921 - - JNL/T.Rowe Price Established Growth Fund 280,505 193,339 - - JNL/T.Rowe Price Mid-Cap Growth Fund 231,701 149,742 - - JNL/T.Rowe Price Value Fund 186,740 170,788 - -
NOTE 5. FEDERAL INCOME TAX MATTERS At December 31, 2004, the following Funds had accumulated net realized capital loss carryovers, in thousands, for U.S. federal income tax purposes, which may be used to offset future, realized capital gains (in thousands). It is the intent of the Board of Trustees to not distribute any realized capital gains until the accumulated net realized capital loss carryovers have been offset or have expired.
Year(s) of Year(s) of Amount Expiration Amount Expiration ------------------------------------------------------------- ------------------------------------------------------------- JNL/AIM Large Cap Growth Fund $ 4,597 2010-2012 JNL/Putnam International Equity Fund $ 30,209 2009-2011 JNL/AIM Small Cap Growth Fund 884 2010-2011 JNL/Putnam Midcap Growth Fund 20,871 2009-2011 JNL/Alger Growth Fund 111,621 2009-2011 JNL/Putnam Value Equity Fund 41,085 2010-2011 JNL/Alliance Capital Growth Fund 62,755 2009-2011 JNL/Salomon Brothers High Yield Bond Fund 51,880 2007-2010 JNL/Eagle Core Equity Fund 28,737 2009-2011 JNL/Select Global Growth Fund 162,220 2009-2011 JNL/Eagle SmallCap Equity Fund 12,761 2010-2011 JNL/Select Large Cap Growth Fund 308,609 2009-2011 JNL/FMR Balanced Fund 2,357 2010-2011 JNL/Select Money Market Fund 2 2010-2012 JNL/FMR Capital Growth Fund 336,978 2009-2011 JNL/T.Rowe Price Established Growth Fund 70,286 2009-2011 JNL/Oppenheimer Global Growth Fund 3,744 2010-2011 JNL/S&P Managed Aggressive Growth Fund 46,840 2009-2012 JNL/Oppenheimer Growth Fund 1,880 2010-2011 JNL/S&P Managed Growth Fund 2,177 2009-2012 JNL/Putnam Equity Fund 123,916 2009-2011 JNL/S&P Managed Moderate Growth Fund 339 2009-2012
The following represents capital and/or currency losses (in thousands) realized after October 31, 2004, which were deferred for tax purposes to the first of the following fiscal year. Amount ---------------------------------------------------------------------- ---------------------------------------------------------------------- JNL/Eagle Core Equity Fund $ 30 JNL/FMR Capital Growth Fund 11 JNL/T.Rowe Price Established Growth Fund 48 JNL/S&P Managed Aggressive Growth Fund 8,515 JNL/S&P Managed Moderate Growth Fund 8,178 Permanent differences between book and tax basis reporting for the 2004 fiscal year have been identified and appropriately reclassified as indicated below (in thousands). To the extent there are differences between book tax-basis and federal tax-basis which are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Permanent differences may include but are not limited to: excise taxes paid, expired capital loss carryforwards, foreign currency reclassifications, market discount or paydown reclassifications, reclassifications on the sale of PFIC or REIT securities, net operating losses and distribution adjustments. These reclassifications have no impact on net assets.
Net Increase (Decrease) ------------------------------------------------------- ------------------------------------------------------- Accumulated Undistributed Accumulated Net Investment Net Realized Income Gain/Loss Paid in Capital -------------- -------------- -------------- -------------- -------------- -------------- JNL/AIM Small Cap Growth Fund $ 413 $ - $ (413) JNL/Eagle Core Equity Fund (29) 29 - JNL/Eagle SmallCap Equity Fund 1,024 - (1,024) JNL/FMR Balanced Fund (23) 23 - JNL/FMR Capital Growth Fund (23) 23 - JNL/JPMorgan International Value Fund 297 (297) - JNL/Lazard Mid Cap Value Fund (130) 130 - JNL/Lazard Small Cap Value Fund 363 (363) - JNL/Mellon Capital Management Bond Index Fund (297) 297 - JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund (5) 5 - JNL/Mellon Capital Management International Index Fund 211 (211) - JNL/Mellon Capital Management S&P 400 MidCap Index Fund (3) 3 - JNL/Mellon Capital Management S&P 500 Index Fund (9) 9 - JNL/Mellon Capital Management Small Cap Index Fund (23) 23 - JNL/Oppenheimer Global Growth Fund (422) 422 - JNL/PIMCO Total Return Bond Fund (449) 449 - JNL/Putnam Equity Fund (8) 8 - JNL/Putnam International Equity Fund 458 (458) - JNL/Putnam Midcap Growth Fund 188 - (188) JNL/Putnam Value Equity Fund (5) 5 - JNL/S&P Managed Aggressive Growth Fund 2,332 (2,332) - JNL/S&P Managed Conservative Fund 14 (14) - JNL/S&P Managed Growth Fund 3,443 (3,443) - JNL/S&P Managed Moderate Fund 51 (51) - JNL/S&P Managed Moderate Growth Fund 1,590 (1,590) - JNL/Salomon Brothers Strategic Bond Fund 11 (11) - JNL/Salomon Brothers U.S. Government & Quality Bond Fund (219) 219 - JNL/Select Balanced Fund (324) 324 - JNL/Select Global Growth Fund (134) 134 - JNL/Select Large Cap Growth Fund 244 (24) (220) JNL/T.Rowe Price Established Growth Fund (308) 308 - JNL/T.Rowe Price Mid-Cap Growth Fund 2,546 (2,546) - JNL/T.Rowe Price Value Fund (50) 50 -
As of December 31 2004, the components of distributable earnings on a tax-basis and the federal tax cost of investments are listed in the following table (in thousands). Net investment income, net realized gains, and unrealized appreciation may differ for financial statement and tax purposes primarily because of the recognition of certain foreign currency gains as ordinary income for tax purposes; the realization for tax purposes of unrealized gains on certain forward foreign currency or futures contracts and unrealized gains or losses on investments in passive foreign investment companies; the difference in accounting for investments in Real Estate Investment Trusts; and the tax deferral of losses on wash sale transactions.
Gross Gross Net Unrealized Cost of Unrealized Unrealized Appreciation/ Investments Appreciation Depreciation Depreciation ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM Large Cap Growth Fund $ 174,600 $ 23,722 $ (1,573) $ 22,149 JNL/AIM Small Cap Growth Fund 41,976 8,433 (623) 7,810 JNL/Alger Growth Fund 298,786 34,885 (7,777) 27,108 JNL/Alliance Capital Growth Fund 42,313 5,649 (1,617) 4,032 JNL/Eagle Core Equity Fund 332,083 39,135 (8,006) 31,129 JNL/Eagle SmallCap Equity Fund 147,649 46,765 (3,850) 42,915 JNL/FMR Balanced Fund 131,263 9,633 (1,869) 7,764 JNL/FMR Capital Growth Fund 215,852 25,724 (5,584) 20,140 JNL/JPMorgan International Value Fund 74,157 10,782 (369) 10,413 JNL/Lazard Mid Cap Value Fund 209,344 30,372 (2,399) 27,973 JNL/Lazard Small Cap Value Fund 205,797 31,302 (4,733) 26,569 JNL/Mellon Capital Management Bond Index Fund 178,587 1,119 (507) 612 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 177,698 18,588 (5,253) 13,335 JNL/Mellon Capital Management International Index Fund 264,774 54,471 (3,626) 50,845 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 189,455 33,983 (5,445) 28,538 JNL/Mellon Capital Management S&P 500 Index Fund 326,700 52,427 (10,235) 42,192 JNL/Mellon Capital Management Small Cap Index Fund 165,648 34,139 (7,304) 26,835 JNL/Oppenheimer Global Growth Fund 216,409 45,680 (3,968) 41,712 JNL/Oppenheimer Growth Fund 25,226 2,314 (533) 1,781 JNL/PIMCO Total Return Bond Fund 501,164 5,051 (608) 4,443 JNL/Putnam Equity Fund 145,473 21,071 (3,726) 17,345 JNL/Putnam International Equity Fund 84,693 17,751 (1,417) 16,334 JNL/Putnam Midcap Growth Fund 32,723 5,744 (264) 5,480 JNL/Putnam Value Equity Fund 200,433 30,941 (6,419) 24,522 JNL/S&P Managed Aggressive Growth Fund 675,002 81,618 (85,820) (4,202) JNL/S&P Managed Conservative Growth Fund 13,857 168 (189) (21) JNL/S&P Managed Growth Fund 944,534 105,920 (48,817) 57,103 JNL/S&P Managed Moderate Fund 19,247 335 (238) 97 JNL/S&P Managed Moderate Growth Fund 578,051 57,715 (17,216) 40,499 JNL/Salomon Brothers High Yield Bond Fund 334,664 15,993 (2,172) 13,821 JNL/Salomon Brothers Strategic Bond Fund 327,672 10,226 (2,657) 7,569 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 285,468 3,054 (175) 2,879 JNL/Select Balanced Fund 394,817 26,938 (3,289) 23,649 JNL/Select Global Growth Fund 199,874 28,703 (1,165) 27,538 JNL/Select Large Cap Growth Fund 284,299 34,259 (9,218) 25,041 JNL/Select Money Market Fund 237,686 - - - JNL/Select Value Fund 145,764 12,873 (1,442) 11,431 JNL/T.Rowe Price Established Growth Fund 560,504 99,456 (18,978) 80,478 JNL/T.Rowe Price Mid-Cap Growth Fund 449,774 144,050 (13,506) 130,544 JNL/T.Rowe Price Value Fund 444,856 85,986 (10,978) 75,008 Tax Components of Distributable Earnings ------------------------------------ ------------------------------------ Undistributed Accumulated Net Investment Net Realized Income Gain/Loss --------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------- JNL/AIM Large Cap Growth Fund $ 116 $ - JNL/AIM Small Cap Growth Fund - - JNL/Alger Growth Fund 252 - JNL/Alliance Capital Growth Fund 14 - JNL/Eagle Core Equity Fund 18 - JNL/Eagle SmallCap Equity Fund - - JNL/FMR Balanced Fund 10 - JNL/FMR Capital Growth Fund 600 - JNL/JPMorgan International Value Fund 240 1,350 JNL/Lazard Mid Cap Value Fund 9 5,310 JNL/Lazard Small Cap Value Fund - 5,112 JNL/Mellon Capital Management Bond Index Fund 3,554 1,022 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 1,821 4,024 JNL/Mellon Capital Management International Index Fund 4,000 1,675 JNL/Mellon Capital Management S&P 400 MidCap Index Fund 833 4,295 JNL/Mellon Capital Management S&P 500 Index Fund 5 2,454 JNL/Mellon Capital Management Small Cap Index Fund 921 5,337 JNL/Oppenheimer Global Growth Fund 598 - JNL/Oppenheimer Growth Fund 33 - JNL/PIMCO Total Return Bond Fund 5,388 10,156 JNL/Putnam Equity Fund 1,263 - JNL/Putnam International Equity Fund 520 - JNL/Putnam Midcap Growth Fund - - JNL/Putnam Value Equity Fund 5 - JNL/S&P Managed Aggressive Growth Fund 2,889 - JNL/S&P Managed Conservative Growth Fund 198 71 JNL/S&P Managed Growth Fund 3,805 13,888 JNL/S&P Managed Moderate Fund 256 112 JNL/S&P Managed Moderate Growth Fund 1,952 2,003 JNL/Salomon Brothers High Yield Bond Fund 1 2,725 JNL/Salomon Brothers Strategic Bond Fund 51 2,144 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 262 1,293 JNL/Select Balanced Fund 7,678 38,911 JNL/Select Global Growth Fund 972 - JNL/Select Large Cap Growth Fund - - JNL/Select Money Market Fund - - JNL/Select Value Fund 1,880 14,925 JNL/T.Rowe Price Established Growth Fund 643 - JNL/T.Rowe Price Mid-Cap Growth Fund - 4,178 JNL/T.Rowe Price Value Fund 4,185 16,245
The tax character of distributions paid during the period ended December 31, 2004, were as follows (in thousands):
Ordinary Long-term Income Capital Gain ------------------------------------- JNL/Alger Growth Fund $ 28 $ - JNL/Alliance Capital Growth Fund 110 - JNL/Eagle Core Equity Fund 2,505 - JNL/FMR Balanced Fund 1,265 - JNL/JPMorgan International Value Fund 713 5 JNL/Lazard Mid Cap Value Fund 13,855 9,465 JNL/Lazard Small Cap Value Fund 7,300 10,754 JNL/Mellon Capital Management Bond Index Fund 333 2 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 485 - JNL/Mellon Capital Management International Index Fund 245 - JNL/Mellon Capital Management S&P 400 MidCap Index Fund 10 - JNL/Mellon Capital Management S&P 500 Index Fund 4,356 1,275 JNL/Mellon Capital Management Small Cap Index Fund 6 333 JNL/Oppenheimer Global Growth Fund 288 - Ordinary Long-term Income Capital Gain ------------------------------------- JNL/PIMCO Total Return Bond Fund $ 7,429 $ 2,747 JNL/Putnam Equity Fund 860 - JNL/Putnam International Equity Fund 1,170 - JNL/Putnam Value Equity Fund 2,931 - JNL/S&P Managed Aggressive Growth Fund 698 - JNL/S&P Managed Growth Fund 5,127 3,197 JNL/S&P Managed Moderate Growth Fund 5,828 8,768 JNL/Salomon Brothers High Yield Bond Fund 5,803 67 JNL/Salomon Brothers Strategic Bond Fund 10,250 3,507 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 9,399 555 JNL/Select Balanced Fund 375 2,289 JNL/Select Money Market Fund 1,600 - JNL/Select Value Fund 1,045 423 JNL/T.Rowe Price Established Growth Fund 2,214 - JNL/T.Rowe Price Mid-Cap Growth Fund 1,741 25,887 JNL/T.Rowe Price Value Fund 2,908 -
The tax character of distributions paid during the period ended December 31, 2003, were as follows (in thousands):
Ordinary Long-term Income Capital Gain ------------------------------------ JNL/Eagle Core Equity Fund $ 1,494 $ - JNL/FMR Balanced Fund 1,480 - JNL/Janus Growth & Income Fund 75 - JNL/JPMorgan International Value Fund 346 - JNL/Lazard Mid Cap Value Fund 266 - JNL/Mellon Capital Management Bond Index Fund 2,128 209 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 236 - JNL/Mellon Capital Management International Index Fund 1,094 - JNL/Mellon Capital Management S&P 400 MidCap Index Fund 230 - JNL/Mellon Capital Management S&P 500 Index Fund 1,511 588 JNL/Mellon Capital Management Small Cap Index Fund 269 498 JNL/PIMCO Total Return Bond Fund 8,768 1,422 JNL/PPM America High Yield 15,485 - JNL/Putnam Equity Fund 486 - JNL/Putnam International Equity Fund 1,395 - JNL/Putnam Value Equity Fund 3,168 - JNL/S&P Aggressive Growth Fund 32 - JNL/S&P Aggressive Growth Fund II 35 - JNL/S&P Conservative Growth Fund 158 - JNL/S&P Conservative Growth Fund II 259 - Ordinary Long-term Income Capital Gain ------------------------------------ JNL/S&P Core Index 100 Fund $ 170 $ - JNL/S&P Core Index 50 Fund 3 - JNL/S&P Core Index 75 Fund 40 - JNL/S&P Equity Aggressive Growth Fund I 2 - JNL/S&P Equity Aggressive Growth Fund II 1 - JNL/S&P Equity Growth Fund I 20 - JNL/S&P Equity Growth Fund II 8 - JNL/S&P Moderate Growth Fund 189 - JNL/S&P Moderate Growth Fund II 243 - JNL/S&P Managed Aggressive Growth Fund 1,956 - JNL/S&P Managed Growth Fund 9,969 - JNL/S&P Managed Moderate Growth Fund 8,874 - JNL/S&P Salomon Brothers Balanced Fund 359 - JNL/Salomon Brothers High Yield Bond Fund 1,671 - JNL/Salomon Brothers Strategic Bond Fund 9,699 1,122 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 9,416 2,639 JNL/Select Balanced Fund 7,530 401 JNL/Select Money Market Fund 924 - JNL/Select Value Fund 303 - JNL/T.Rowe Price Established Growth Fund 118 - JNL/T.Rowe Price Mid-Cap Growth Fund - 1,870 JNL/T.Rowe Price Value Fund 2,064 -
NOTE 6. SUBSEQUENT EVENT On February 9, 2005, JNAM L.L.C. recommended and the Board of Trustees approved the combination of the following Funds of the Trust: JNL/T.Rowe Price Established Growth Fund (Acquiring Fund) and the JNL/Alliance Capital Growth Fund (Acquired Fund), effective May 2, 2005. NOTE 7. FUND ACQUISITIONS On April 30, 2004, the following acquisitions were accomplished by a tax-free or taxable exchange of shares (in thousands) pursuant to a plan of reorganization approved by the Board of Trustees on January 29, 2004.
Shares of Acquiring Fund Issued Merger Acquiring Fund in Exchange Tax Status ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- JNL/AIM Large Cap Growth Fund 1,111 Taxable JNL/Eagle Core Equity Fund 973 Taxable JNL/S&P Aggressive Growth Fund I 1,191 Tax-free JNL/S&P Aggressive Growth Fund I 361 Tax-free JNL/S&P Conservative Growth Fund I 1,418 Tax-free JNL/S&P Conservative Growth Fund I 1,374 Tax-free JNL/S&P Equity Aggressive Growth Fund I 195 Tax-free JNL/S&P Equity Growth Fund I 734 Tax-free JNL/S&P Moderate Growth Fund I 2,675 Tax-free JNL/S&P Moderate Growth Fund I 1,736 Tax-free JNL/S&P Very Aggressive Growth Fund I 214 Tax-free Of acquired fund on acquisition date: ------------------------------------------------------- ------------------------------------------------------- Accumulated Unrealized Shares Realized Appreciation/ Acquired Fund Outstanding Gain/(Loss) (Depreciation) ------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------ JNL/AIM Premier Equity II Fund 1,249 $ - $ - JNL/Janus Growth & Income Fund 1,946 - - JNL/S&P Aggressive Growth Fund 1,728 (8,075) (44) JNL/S&P Aggressive Growth Fund II 443 (2,383) 269 JNL/S&P Conservative Growth Fund 1,774 (2,468) 682 JNL/S&P Conservative Growth Fund II 1,631 (2,859) 950 JNL/S&P Equity Aggressive Growth Fund II 208 (1,515) 26 JNL/S&P Equity Growth Fund II 844 (4,805) 304 JNL/S&P Moderate Growth Fund 3,655 (8,633) 1,664 JNL/S&P Moderate Growth Fund II 2,041 (5,061) 1,374 JNL/S&P Very Aggressive Growth Fund II 235 (1,452) (115)
The aggregate net assets (in thousands) of the acquiring and acquired funds immediately before the acquisition were as follows:
Acquiring Fund Net Assets Acquired Fund Net Assets ------------------------------------------------------------------------------------------------------------------------------------ JNL/AIM Large Cap Growth Fund $ 122,190 JNL/AIM Premier Equity II Fund $ 11,871 JNL/Eagle Core Equity Fund 278,588 JNL/Janus Growth & Income Fund 13,508 JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund 12,645 JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund II 3,833 JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund 15,446 JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund II 14,959 JNL/S&P Equity Aggressive Growth Fund I 55,884 JNL/S&P Equity Aggressive Growth Fund II 1,869 JNL/S&P Equity Growth Fund I 199,219 JNL/S&P Equity Growth Fund II 7,117 JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund 29,690 JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund II 19,273 JNL/S&P Very Aggressive Growth Fund I 65,959 JNL/S&P Very Aggressive Growth Fund II 2,146
On October 1, 2004, the following acquisitions were accomplished by a tax-free or taxable exchange of shares (in thousands) pursuant to a plan of reorganization approved by the Board of Trustees on May 13, 2004.
Shares of Acquiring Fund Issued Merger Acquiring Fund in Exchange Tax Status -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- JNL/S&P Managed Aggressive Growth Fund 1,130 Tax-free JNL/S&P Managed Aggressive Growth Fund 1,917 Tax-free JNL/S&P Managed Aggressive Growth Fund 5,727 Tax-free JNL/S&P Managed Aggressive Growth Fund 20,881 Tax-free JNL/S&P Managed Aggressive Growth Fund 6,601 Tax-free JNL/S&P Managed Growth Fund 4,024 Tax-free JNL/Salomon Brothers High Yield Bond Fund 34,101 Tax-free JNL/Select Balanced Fund 786 Taxable Of acquired fund on acquisition date: --------------------------------------------------------- --------------------------------------------------------- Accumulated Unrealized Shares Realized Appreciation/ Acquired Fund Outstanding Gain/(Loss) (Depreciation) ---------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------- JNL/S&P Core Index 50 Fund 1,216 $ (198)$ 757 JNL/S&P Core Index 75 Fund 1,999 (143) 1,353 JNL/S&P Equity Aggressive Growth Fund I 6,331 (19,481) 4,888 JNL/S&P Equity Growth Fund I 22,921 (66,882) 16,780 JNL/S&P Very Aggressive Growth Fund I 6,992 (30,496) 5,724 JNL/S&P Core Index 100 Fund 4,332 (291) 4,789 JNL/PPM America High Yield Bond Fund 33,317 (52,034) 14,607 JNL/Salomon Brothers Balanced Fund 1,249 - -
The aggregate net assets (in thousands) of the acquiring and acquired funds immediately before the acquisition were as follows:
Acquiring Fund Net Assets Acquired Fund Net Assets -------------------------------------------------------------------------------------------------------------------------------- JNL/S&P Managed Aggressive Growth Fund $ 220,203 JNL/S&P Core Index 50 Fund $ 12,319 JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Core Index 75 Fund 20,891 JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Equity Aggressive Growth Fund I 62,425 JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Equity Growth Fund I 227,657 JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Very Aggressive Growth Fund I 71,933 JNL/S&P Managed Growth Fund 865,924 JNL/S&P Core Index 100 Fund 45,844 JNL/Salomon Brothers High Yield Bond Fund 12,876 JNL/PPM America High Yield Bond Fund 287,133 JNL/Select Balanced Fund 341,720 JNL/Salomon Brothers Balanced Fund 12,867
Disclosure of Fund Expenses (Unaudited) All Mutual Funds are affected by ongoing costs, which include (among others) costs for portfolio management, administrative services, and the operating expenses. Operating expenses such as these are deducted from the Fund's gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the fund's average net assets; this percentage is known as the Fund's expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other Mutual Funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses the shareholder paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses paid During Period" to estimate the expenses paid during this period. Hypothetical 5% Return. The information in this section can be used to compare each Fund's costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make the 5% calculation.
Actual Fund Return ---------------------------------------------------------------- ---------------------------------------------------------------- Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 6/30/2004 12/31/2004 Ratios Period ---------------- --------------- ------------ --------------- ---------------- --------------- ------------ --------------- JNL/AIM Large Cap Growth Fund Class A $ 1,000.00 $ 1,040.10 1.06 % $ 5.44 Class B 1,000.00 1,041.90 0.86 4.41 JNL/AIM Small Cap Growth Fund Class A 1,000.00 1,033.10 1.16 5.93 Class B 1,000.00 1,033.10 0.97 4.96 JNL/Alger Growth Fund Class A 1,000.00 1,019.80 1.01 5.13 Class B 1,000.00 1,020.80 0.80 4.06 JNL/Alliance Capital Growth Fund Class A 1,000.00 1,029.90 0.89 4.54 Class B 1,000.00 1,030.30 0.75 3.83 JNL/Eagle Core Equity Fund Class A 1,000.00 1,063.20 0.96 4.98 Class B 1,000.00 1,064.40 0.77 4.00 JNL/Eagle SmallCap Equity Fund Class A 1,000.00 1,102.70 1.06 5.60 Class B 1,000.00 1,104.20 0.85 4.50 JNL/FMR Balanced Fund Class A 1,000.00 1,067.70 1.01 5.25 Class B 1,000.00 1,069.70 0.77 4.01 JNL/FMR Capital Growth Fund Class A 1,000.00 1,110.60 1.01 5.36 Class B 1,000.00 1,111.90 0.79 4.19 JNL/JPMorgan International Value Fund - Class A 1,000.00 1,161.60 1.13 6.14 Class B 1,000.00 1,162.70 0.95 5.16 JNL/Lazard Mid Cap Value Fund Class A 1,000.00 1,121.10 1.07 5.70 Class B 1,000.00 1,122.90 0.88 4.70 JNL/Lazard Small Cap Value Fund Class A 1,000.00 1,088.70 1.12 5.88 Class B 1,000.00 1,089.70 0.90 4.73 JNL/Mellon Capital Management Bond Index Fund Class A 1,000.00 1,038.40 0.61 3.13 Class B 1,000.00 1,038.60 0.41 2.10 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund Class A 1,000.00 1,072.10 0.77 4.01 Class B 1,000.00 1,068.50 0.57 2.96 JNL/Mellon Capital Management International Index Fund Class A 1,000.00 1,145.90 0.66 3.56 Class B 1,000.00 1,147.00 0.46 2.48 JNL/Mellon Capital Management S&P 400 MidCap Index Fund Class A 1,000.00 1,094.00 0.60 3.16 Class B 1,000.00 1,095.80 0.40 2.11 JNL/Mellon Capital Mangement S&P 500 Index Fund Class A 1,000.00 1,068.10 0.60 3.12 Class B 1,000.00 1,069.50 0.40 2.08 JNL/Mellon Capital Management Small Cap Index Fund Class A $ 1,000.00 $ 1,104.80 0.60 % $ 3.17 Class B 1,000.00 1,105.90 0.40 2.12 JNL/Oppenheimer Global Growth Fund Class A 1,000.00 1,145.40 1.06 5.72 Class B 1,000.00 1,146.00 0.86 4.64 JNL/Oppenheimer Growth Fund Class A 1,000.00 1,017.70 1.01 5.12 Class B 1,000.00 1,018.90 0.85 4.31 JNL/PIMCO Total Return Bond Fund Class A 1,000.00 1,043.60 0.81 4.16 Class B 1,000.00 1,045.50 0.61 3.14 JNL/Putnam Equity Fund Class A 1,000.00 1,091.50 0.98 5.15 Class B 1,000.00 1,092.40 0.78 4.10 JNL/Putnam International Equity Fund Class A 1,000.00 1,149.00 1.14 6.16 Class B 1,000.00 1,149.30 0.90 4.86 JNL/Putnam Midcap Growth Fund Class A 1,000.00 1,103.70 1.06 5.61 Class B 1,000.00 1,104.90 0.88 4.66 JNL/Putnam Value Equity Fund Class A 1,000.00 1,066.40 0.96 4.99 Class B 1,000.00 1,067.50 0.74 3.85 JNL/S&P Managed Aggressive Growth Fund Class A 1,000.00 1,086.00 0.18 0.94 JNL/S&P Managed Conservative Fund (a) Class A 1,000.00 1,035.00 0.18 0.92 JNL/S&P Managed Growth Fund Class A 1,000.00 1,081.80 0.17 0.89 JNL/S&P Managed Moderate Fund (a) Class A 1,000.00 1,054.00 0.18 0.93 JNL/S&P Managed Moderate Growth Fund Class A 1,000.00 1,072.20 0.18 0.94 JNL/Salomon Brothers High Yield Bond Fund Class A 1,000.00 1,075.50 0.82 4.28 Class B 1,000.00 1,076.90 0.61 3.18 JNL/Salomon Brothers Strategic Bond Fund Class A 1,000.00 1,070.10 0.94 4.89 Class B 1,000.00 1,070.40 0.72 3.75 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Class A 1,000.00 1,040.30 0.79 4.05 Class B 1,000.00 1,042.00 0.60 3.08 JNL/Select Balanced Fund Class A 1,000.00 1,075.60 0.80 4.17 Class B 1,000.00 1,076.70 0.56 2.92 JNL/Select Global Growth Fund Class A 1,000.00 1,078.90 1.10 5.75 Class B 1,000.00 1,080.60 0.82 4.29 JNL/Select Large Cap Growth Fund Class A 1,000.00 1,026.60 0.99 5.04 Class B 1,000.00 1,027.60 0.77 3.92 JNL/Select Money Market Fund Class A 1,000.00 1,005.70 0.61 3.08 Class B 1,000.00 1,006.80 0.40 2.02 JNL/Select Value Fund Class A 1,000.00 1,089.90 0.86 4.52 Class B 1,000.00 1,090.80 0.66 3.47 JNL/T.Rowe Price Established Growth Fund Class A 1,000.00 1,073.30 0.92 4.79 Class B 1,000.00 1,074.10 0.73 3.81 JNL/T.Rowe Price Mid-Cap Growth Fund Class A 1,000.00 1,097.00 1.02 5.38 Class B 1,000.00 1,098.10 0.81 4.27 JNL/T.Rowe Price Value Fund Class A 1,000.00 1,098.70 0.99 5.22 Class B 1,000.00 1,098.70 0.79 4.17 Hypothetical 5% Return --------------------------------------------------------------- --------------------------------------------------------------- Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 6/30/2004 12/31/2004 Ratios Period ---------------- -------------- ------------- --------------- ---------------- -------------- ------------- --------------- JNL/AIM Large Cap Growth Fund Class A $ 1,000.00 $ 1,019.82 1.06 % $ 5.38 Class B 1,000.00 1,020.80 0.86 4.37 JNL/AIM Small Cap Growth Fund Class A 1,000.00 1,019.31 1.16 5.89 Class B 1,000.00 1,020.26 0.97 4.93 JNL/Alger Growth Fund Class A 1,000.00 1,020.06 1.01 5.13 Class B 1,000.00 1,021.11 0.80 4.06 JNL/Alliance Capital Growth Fund Class A 1,000.00 1,020.69 0.89 4.52 Class B 1,000.00 1,021.37 0.75 3.81 JNL/Eagle Core Equity Fund Class A 1,000.00 1,020.30 0.96 4.88 Class B 1,000.00 1,021.28 0.77 3.91 JNL/Eagle SmallCap Equity Fund Class A 1,000.00 1,019.82 1.06 5.38 Class B 1,000.00 1,020.85 0.85 4.32 JNL/FMR Balanced Fund Class A 1,000.00 1,020.07 1.01 5.13 Class B 1,000.00 1,021.26 0.77 3.91 JNL/FMR Capital Growth Fund Class A 1,000.00 1,020.07 1.01 5.13 Class B 1,000.00 1,021.17 0.79 4.01 JNL/JPMorgan International Value Fund Class A 1,000.00 1,019.47 1.13 5.74 Class B 1,000.00 1,020.37 0.95 4.82 JNL/Lazard Mid Cap Value Fund Class A 1,000.00 1,019.73 1.07 5.43 Class B 1,000.00 1,020.72 0.88 4.47 JNL/Lazard Small Cap Value Fund Class A 1,000.00 1,019.52 1.12 5.69 Class B 1,000.00 1,020.62 0.90 4.57 JNL/Mellon Capital Management Bond Index Fund Class A 1,000.00 1,022.08 0.61 3.10 Class B 1,000.00 1,023.08 0.41 2.08 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund Class A 1,000.00 1,021.25 0.77 3.91 Class B 1,000.00 1,022.29 0.57 2.90 JNL/Mellon Capital Management International Index Fund Class A 1,000.00 1,021.83 0.66 3.35 Class B 1,000.00 1,022.82 0.46 2.34 JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund Class A 1,000.00 1,022.13 0.60 3.05 Class B 1,000.00 1,023.14 0.40 2.03 JNL/Mellon Capital Mangement S&P 500 Index Fund Class A 1,000.00 1,022.13 0.60 3.05 Class B 1,000.00 1,023.13 0.40 2.03 JNL/Mellon Capital Management Small Cap Index Fund Class A 1,000.00 1,022.13 0.60 3.05 Class B 1,000.00 1,023.13 0.40 2.03 JNL/Oppenheimer Global Growth Fund Class A 1,000.00 1,019.82 1.06 5.38 Class B 1,000.00 1,020.82 0.86 4.37 JNL/Oppenheimer Growth Fund Class A 1,000.00 1,020.06 1.01 5.13 Class B 1,000.00 1,020.84 0.85 4.32 JNL/PIMCO Total Return Bond Fund Class A 1,000.00 1,021.07 0.81 4.12 Class B 1,000.00 1,022.09 0.61 3.10 JNL/Putnam Equity Fund Class A 1,000.00 1,020.19 0.98 4.98 Class B 1,000.00 1,021.22 0.78 3.96 JNL/Putnam International Equity Fund Class A 1,000.00 1,019.42 1.14 5.79 Class B 1,000.00 1,020.61 0.90 4.57 JNL/Putnam Midcap Growth Fund Class A 1,000.00 1,019.81 1.06 5.38 Class B 1,000.00 1,020.74 0.88 4.47 JNL/Putnam Value Equity Fund Class A 1,000.00 1,020.30 0.96 4.88 Class B 1,000.00 1,021.40 0.74 3.76 JNL/S&P Managed Aggressive Growth Fund Class A 1,000.00 1,024.23 0.18 0.92 JNL/S&P Managed Conservative Fund (a) Class A 1,000.00 1,024.23 0.18 0.92 JNL/S&P Managed Growth Fund Class A 1,000.00 1,024.30 0.17 0.87 JNL/S&P Managed Moderate Fund (a) Class A 1,000.00 1,024.23 0.18 0.92 JNL/S&P Managed Moderate Growth Fund Class A 1,000.00 1,024.22 0.18 0.92 JNL/Salomon Brothers High Yield Bond Fund Class A 1,000.00 1,021.04 0.82 4.17 Class B 1,000.00 1,022.05 0.61 3.10 JNL/Salomon Brothers Strategic Bond Fund Class A 1,000.00 1,020.41 0.94 4.77 Class B 1,000.00 1,019.82 0.72 3.66 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Class A 1,000.00 1,021.14 0.79 4.01 Class B 1,000.00 1,022.12 0.60 3.05 JNL/Select Balanced Fund Class A 1,000.00 1,021.12 0.80 4.06 Class B 1,000.00 1,022.30 0.56 2.85 JNL/Select Global Growth Fund Class A 1,000.00 1,019.62 1.10 5.58 Class B 1,000.00 1,021.01 0.82 4.17 JNL/Select Large Cap Growth Fund Class A 1,000.00 1,020.17 0.99 5.03 Class B 1,000.00 1,021.29 0.77 3.91 JNL/Select Money Market Fund Class A 1,000.00 1,022.08 0.61 3.10 Class B 1,000.00 1,023.14 0.40 2.03 JNL/Select Value Fund Class A 1,000.00 1,020.82 0.86 4.37 Class B 1,000.00 1,021.82 0.66 3.35 JNL/T.Rowe Price Established Growth Fund Class A 1,000.00 1,020.50 0.92 4.67 Class B 1,000.00 1,021.48 0.73 3.71 JNL/T.Rowe Price Mid-Cap Growth Fund Class A 1,000.00 1,019.99 1.02 5.18 Class B 1,000.00 1,021.07 0.81 4.12 JNL/T.Rowe Price Value Fund Class A 1,000.00 1,020.15 0.99 5.03 Class B 1,000.00 1,021.16 0.79 4.01
(a) Period from October 4, 2004 (commencement of operations). Additional Disclosure (Unaudited) Proxy Voting Information A description of the policies and procedures that the Registrants use to determine how to vote proxies related to portfolio securities is available (i) without charge, upon request, by calling Shareholder Services toll-free at 800-644-4563; (ii) on the Registrants' website at www.jnl.com and (iii) on the Securities and Exchange Commission's (SEC) website at www.sec.gov. Information regarding how the Registrants voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Registrants' website at www.jnl.com and on the SEC website at www.sec.gov. Quarterly Portfolio Holdings The Registrants file their complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Registrants' Forms N-Q are available on the SEC's website at www.sec.gov. The Registrant's Forms N-Q may be reviewed and copied at the Commissions Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330; and is available upon request from the Registrants by calling Shareholder Services toll-free at 800-644-4563. REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Trustees of JNL Series Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each series within JNL Series Trust (the "Series") as listed in Note 1 of the financial statements at December 31, 2004, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the four-year period then ended. These financial statements and the financial highlights are the responsibility of the Series' management. Our responsibility is to express an opinion on these financial statements and the financial highlights based on our audits. The financial highlights presented for the period prior to 2001 were audited by other auditors, whose report dated February 2, 2001, expressed an unqualified opinion. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and the financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2004, by correspondence with the custodian and brokers, or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and the financial highlights referred to above present fairly, in all material respects, the financial position of each series within JNL Series Trust at December 31, 2004, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the four-year period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Chicago, Illinois February 15, 2005
TRUSTEES AND OFFICERS OF THE TRUST NUMBER OF CURRENT PORTFOLIOS IN THE POSITION FUND COMPLEX OTHER TRUSTEE/OFFICER (AGE) AND WITH THE LENGTH OF TIME PRINCIPAL OCCUPATION OVERSEEN BY THE TRUSTEESHIPS HELD ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE BY THE TRUSTEE ------------------------------- INTERESTED TRUSTEES Robert A. Fritts* (56) Trustee 8/97 to Present Senior Vice President 66 None 1 Corporate Way and Controller of Lansing, MI 48951 President 12/02 to Present Jackson National Life and Chief Insurance Company (9/03 Executive to Present); Vice Officer President and Controller of Jackson National Life Insurance Company (8/82 to 8/03); Trustee or Manager, and (since 12/02) President and Chief Executive Officer of each other investment company in the Fund Complex. DISINTERESTED TRUSTEES Michael Bouchard (48) Trustee 12/03 to Present Sheriff, Oakland 66 None 1 Corporate Way County, Michigan (1/99 Lansing, MI 48951 to Present) Senator - State of Michigan (1991-1999) Chairman - Financial Services Committee (1/95 to 1/99) Dominic D'Annunzio (66) Chairman 2/04 to Present Acting Commissioner of 66 None 1 Corporate Way of the Insurance for the State Lansing, MI 48951 Board of Michigan (1/90 to 5/90) (8/97 to 5/98) Trustee 2/02 to Present Michelle Engler (46) Trustee 12/03 to Present Attorney (1983 to 66 Director of 1 Corporate Way Present) Federal Home Loan Lansing, MI 48951 First Lady of the State Mortgage of Michigan (1990-2002) Corporation Michigan Community Service Commission Chair (1991-2000) Joseph Frauenheim (70) Trustee 12/94 to Present Consultant (Banking) 66 None 1 Corporate Way Lansing, MI 48951 Richard McLellan (62) Trustee 12/94 to Present Member, Dykema Gossett 66 None 1 Corporate Way PLLC (law firm) Lansing, MI 48951 ---------------------- * Mr. Fritts is an "interested person" of the Trust due to his position with Jackson National Life Insurance Company, which is the parent company of the Adviser and Distributor. TRUSTEES AND OFFICERS OF THE TRUST NUMBER OF CURRENT PORTFOLIOS IN THE POSITION FUND COMPLEX OTHER TRUSTEE/OFFICER (AGE) AND WITH THE LENGTH OF TIME PRINCIPAL OCCUPATION OVERSEEN BY THE TRUSTEESHIPS HELD ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE BY THE TRUSTEE -------------------------------- OFFICERS Mark D. Nerud (38) Vice 8/97 to Present Chief Financial Officer Not Applicable Not Applicable 225 West Wacker Drive President of the Adviser (11/00 Chicago, IL 60606 to Present); Vice Treasurer, 12/02 to President, Treasurer, and Chief Present Chief Financial Officer Financial of other Investment Officer Companies advised by the Adviser; Vice President - Fund Accounting & Administration of Jackson National Life Insurance Company (1/00 to Present) Susan S. Rhee (33) Vice 2/04 to Secretary of the Not Applicable Not Applicable 1 Corporate Way President, Present Adviser (11/00 to Lansing, MI 48951 Counsel Present); Assistant and Vice President of Secretary Jackson National Life Insurance Company (8/03 to Present); Associate General Counsel of Jackson National Life Insurance Company (7/01 to Present), Senior Attorney of Jackson National Life Insurance Company (1/00 to 7/01); Goldman, Sachs & Co. (10/99 to 12/99); Van Eck Associates Corporation (9/97 to 10/99)
The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling 1-800-766-4683 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or 1-800-777-7779 (for contracts purchased through a bank or financial institution), or writing the JNL Series Trust Service Center, P.O. Box 378002, Denver, Colorado 80237-8003 or by visiting www.jnl.com or www.jnlny.com. TRUSTEES OF THE JNL SERIES TRUST The Trustees and officers are interested persons of the Trust or the Adviser and do not receive any compensation from the Trust for their services as Trustees or officers. The following persons, who are disinterested Trustees of the Trust, received from the Trust the compensation amounts indicated for the services as such.
PENSION OR RETIREMENT ESTIMATED BENEFITS ACCRUED AS ANNUAL AGGREGATE PART OF BENEFITS UPON TOTAL COMPENSATION FROM COMPENSATION TRUST EXPENSES RETIREMENT TRUST AND FROM FUND TRUSTEE FROM TRUST* COMPLEX Joseph Frauenheim $82,500 $0 $0 $82,500 Richard McLellan $77,500 $0 $0 $77,500 Dominic D'Annunzio $87,500 $0 $0 $87,500** Michael Bouchard $77,500 $0 $0 $77,500 Michelle Engler $77,500 $0 $0 $77,500
* The fees paid to the independent Trustees are paid for combined meetings of the funds in the fund complex. The fees are allocated to the funds and it affiliated investment companies on a pro-rata basis based on net assets. **Mr. D'Annunzio deferred $19,583.32. PROXY VOTING GUIDELINES Jackson National Asset Management, LLC, the fund's adviser, is responsible for exercising the voting rights associated with the securities purchased and/or held by the funds. A description of the policies and procedures used by the Funds to vote proxies relating to the portfolio securities and information on how the Funds voted proxies relating to portfolio securities during the 12 month period ended June 30 are available (1) without charge, upon request by calling 1-800-766-4683 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or 1-800-777-7779 (for contracts purchased through a bank or financial institution), (2) on Jackson National Life Insurance Company's website at www.jnl.com or Jackson National Life Insurance Company of New York's website at www.jnlny.com, and (3) on the Securities and Exchange Commission's website at www.sec.gov. Item 2. Code of Ethics As of the end of the period covered by this report, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. Amendments were approved in order to comply with the amendments of Rule 17j-1. No waivers were granted to this code of ethics during the period covered by this report. Item 3. Audit Committee Financial Expert. The Registrant does not have a Financial Expert on its Board. The Registrant has determined that the financials do not involve the complexities of public company financials and that the accounting methodologies of investment companies are well established under the Investment Company Act of 1940 and therefore, a financial expert is not necessary. Item 4. Principal Accountant Fees and Services. KPMG billed the Company aggregate fees for professional services rendered for the fiscal years ending December 31, 2004, and December 31, 2003, as follows:
2004 Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees JNL Series Trust $ 326,500 $ 17,250 $62,813 $ 0 $ 406,563 2003 Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees JNL Series Trust $411,302 $26,523 $84,460 $0 $522,285
(e)(1) The Audit Committee is authorized to pre-approve non-audit services provided by the Fund's auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditors' independence. The Chairman of the Audit Committee is authorized to approve audit and non-audit services for newly established funds of the Fund on the same terms as the full Audit Committee previously had approved for the then existing funds. (e)(2) None (f) 0% (g) KPMG was paid $27,600 for 2004 and $26,523 for 2003 to perform an internal control review pursuant to SAS No. 70 related to JNAM's fund accounting procedures. For the fiscal years ended December 31, 2003 and December 31, 2004, KPMG did not provide any other non-audit services to JNAM and its affiliates that provide ongoing services to the Company, other then the SAS 70. (h) The Audit Committee pre-approved the SAS No. 70 review described above when the Audit Committee approved KPMG as Auditors for fiscal years 2004 and 2003, and did not find provision of these services to be incompatible with maintaining the auditors independence. Item 5. Audit Committee of Listed Registrants. Not applicable as this is not a listed issuer as defined in Rule 10A-3 under the Exchange Act. Item 6. Schedule of Investments Included as a Part of the Report to Shareholders filed under Item 1. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable as this is an Open-End Management Investment Company. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable as this is an Open-End Management Investment Company. Item 9. Purchases of Equity Securties by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable as this is an Open-End Management Investment Company. Item 10. Submission of Matters to a Vote of Security Holders. No material changes have been made. Item 11. Controls and Procedures. (a) In order to ensure that the information that we must disclose in our filings with the Securities and Exchange Commission is recorded, processed, summarized and reported on a timely basis, we have adopted disclosure controls and procedures. Our President and Chief Executive Officer, Robert A. Fritts, and our Chief Financial Officer, Mark D. Nerud, have reviewed and evaluated our disclosure controls and procedures as of February 24, 2005, and have concluded that our disclosure controls and procedures are effective. (b) There was no change in our internal control over financial reporting during our last fiscal half-year that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting. Item 12. Exhibits a. (1) The Registrant's code of ethics pursuant to Item 2 of Form N-CSR is attached. (2) The certifications required by Rule 30a-2 of the Investment Company Act of 1940, as amended, are attached hereto. (3) Not Applicable. b. (1)The certification required by Rule 30a-2(b) fo the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002, is attached hereto. SIGNATURES Pursuant to the requirements of the Securities Act and the Investment Company Act, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, duly authorized, in the City of Lansing and the State of Michigan on the 4th day of March 2005. JNL SERIES TRUST (Registrant) By: /s/ Robert A. Fritts -------------------------------------------------- Robert A. Fritts President, CEO and Trustee Pursuant to the requirements of the Securities Act, this Report has been signed below by the following persons in the capacities and on the date indicated. /s/ Robert A. Fritts March 4, 2005 ---------------------- ---------------- Robert A. Fritts President, Chief Executive Officer & Trustee /s/ Mark D. Nerud March 4, 2005 ----------------------- ---------------- Mark D. Nerud Chief Financial Officer EXHIBIT LIST Exhibit 12(a)(1) Registrant's Code of Ethics. Exhibit 12(a)(2) Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Act. Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Act. Exhibit 12(b)(1) Certification required by Rule 30a-2(b) under the Act.