N-Q 1 jnlst_formnq.txt JNLST FORM N-Q 7-1-05 THROUGH 9-30-05 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number: 811-08894 JNL Series Trust -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1 Corporate Way, Lansing, Michigan 48951 -------------------------------------------------------------------------------- (Address of principal executive offices) Susan S. Rhee Jackson National Asset Management, LLC 1 Corporate Way Lansing, Michigan 48951 -------------------------------------------------------------------------------- (Name and Address of agent of service) Registrant's telephone number, including area code: (517) 381-5500 Date of fiscal year end: December 31 Date of Reporting Period: July 1, 2005 - September 30, 2005 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, D.C. 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS JNL Series Trust (Unaudited) Schedule of Investments (in thousands) September 30, 2005
JNL/AIM Large Cap Growth Fund Common Stocks - 97.6% Aerospace & Defense - 5.9% Boeing Co. 76 $5,136 General Dynamics Corp. 23 2,707 Lockheed Martin Corp. 106 6,458 Rockwell Collins Inc. (l) 70 3,387 United Technologies Corp. 46 2,402 20,090 Apparel - 0.7% Coach Inc. (b) 81 2,532 Beverages - 1.0% PepsiCo Inc. 60 3,411 Biotechnology - 5.5% Amgen Inc. (b) 106 8,461 Baxter International Inc. 105 4,186 Genentech Inc. (b) 41 3,470 Genzyme Corp. 36 2,579 18,696 Computers - 5.6% Apple Computer Inc. (b) 163 8,727 Dell Inc. (b) 155 5,289 Hewlett-Packard Co. 182 5,314 19,330 Cosmetics & Personal Care - 2.2% Gillette Co. 64 3,704 Proctor & Gamble Co. 62 3,673 7,377 Diversified Financial Services - 5.1% Bear Stearns Cos. Inc. 25 2,700 Goldman Sachs Group Inc. 32 3,939 Lehman Brothers Holdings Inc. (l) 62 7,166 SLM Corp. 67 3,575 17,379 Healthcare - 14.4% Aetna Inc. 102 8,806 HCA Inc. 130 6,241 Health Net Inc. (b) 57 2,697 Johnson & Johnson 162 10,261 McKesson Corp. 54 2,568 Quest Diagnostics Inc. 60 3,009 UnitedHealth Group Inc. 220 12,370 WellPoint Inc. (b) 47 3,595 49,547 Home Builders - 2.0% DR Horton Inc. 99 3,582 NVR Inc. (b) (l) 4 3,274 6,856 Household Products - 0.8% Fortune Brands Inc. 32 2,586 Insurance - 4.8% Allstate Corp. 84 4,626 Chubb Corp. 29 2,620 Cigna Corp. 46 5,363 MetLife Inc. 78 3,862 16,471 Internet - 2.5% Google Inc. - Class A (b) 18 5,760 McAfee Inc. (b) 87 2,746 8,506 Metal Fabrication & Hardware - 1.3% Precision Castparts Corp. 87 4,593 Oil & Gas Producers - 8.9% Apache Corp. 41 3,100 Chevron Corp. 91 5,898 ConocoPhillips 115 8,021 Devon Energy Corp. 72 4,951 Valero Energy Corp. 74 8,400 30,370 Pharmaceuticals - 11.3% Alcon Inc. 88 11,264 Allergan Inc. 37 3,399 Barr Laboratories Inc. 48 2,636 Caremark Rx Inc. (b) 89 4,464 Express Scripts Inc. (b) 51 3,179 Gilead Sciences Inc. 101 4,925 Medco Health Solutions Inc. (b) 66 3,617 Roche Holding AG 18 2,500 Shire Pharmaceuticals Plc - ADR 72 2,679 38,663 Retail - 8.5% Best Buy Co. Inc. 90 3,918 Darden Restaurants Inc. 84 2,542 Federated Department Stores Inc. 45 3,009 Home Depot Inc. 64 2,451 JC Penney Corp. Inc. 51 2,424 Nordstrom Inc. 184 6,310 Staples Inc. 113 2,401 Yum! Brands Inc. 124 6,003 29,058 Semiconductors - 7.4% Broadcom Corp. - Class A (b) 78 3,659 Intel Corp. 157 3,873 Marvell Tech Group Ltd. (b) (l) 86 3,965 National Semiconductor Corp. 227 5,980 Texas Instruments Inc. 231 7,831 25,308 Software - 3.9% Autodesk Inc. 109 5,055 Microsoft Corp. 177 4,553 Oracle Corp. (b) 289 3,582 13,190 Telecommunications - 0.7% Sprint Nextel Corp. 96 2,277 Telecommunications Equipment - 1.1% Cisco Systems Inc. (b) 203 3,646 Transportation - 1.6% Burlington Northern Santa Fe Corp. 92 5,478 Wireless Telecommunications - 2.5% Motorola Inc. 390 8,610 Total Common Stocks (cost $294,301) 333,975 Short Term Investments - 4.9% Money Market Funds - 2.0% Dreyfus Cash Management Plus Fund, 3.64% (a) 6,741 6,741 Securities Lending Collateral - 2.9% Mellon GSL Delaware Business Trust Collateral Fund 10,086 10,086 Total Short Term Investments (cost $16,827) 16,827 Total Investments - 102.5% (cost $311,128) 350,802 Other Assets and Liabilities, Net - (2.5%) (8,397) Total Net Assets - 100% $342,405 JNL/AIM Real Estate Fund Common Stocks - 96.8% Diversified Financial Services - 7.0% General Growth Properties Inc. 108 $4,852 Lodging - 4.8% Hilton Hotels Corp. 69 1,531 Marriott International Inc. - Class A 3 183 Starwood Hotels & Resorts Worldwide Inc. 27 1,532 3,246 Real Estate - 85.0% Alexandria Real Estate Equites Inc. 11 926 AMB Property Corp. 15 687 American Campus Communities Inc. 17 413 American Financial Realty Trust 31 439 Archstone-Smith Trust 56 2,221 Arden Realty Inc. (l) 18 741 Ascendas Real Estate Investment Trust 68 88 Avalonbay Communities Inc. 25 2,160 Boston Properties Inc. 42 2,999 Brandywine Realty Trust 19 588 Brookfield Properties Co. 32 955 Camden Property Trust (l) 20 1,115 CapitaCommercial Trust 52 46 Capital & Regional Plc 18 254 CapitaLand Ltd. 42 78 Carramerica Realty Corp. 19 694 Centerpoint Properties Trust 49 2,201 Citycon Oyj 34 144 Colonial Properties Trust 8 334 Cominar Real Estate Investment Trust 4 67 Derwent Valley Holdings Plc 14 316 Developers Divers Realty Corp. (l) 46 2,125 Education Realty Trust Inc. 12 205 Entertainment Properties Trust 10 428 Equity Inns Inc. 28 379 Equity Residential 71 2,676 Essex Property Trust Inc. 14 1,269 Extra Space Storage Inc. 9 132 Federal Realty Investors Trust 19 1,164 First Potomac Realty Trust 2 59 GMH Communities Trust 10 142 Hang Lung Properties Ltd. 85 135 Henderson Land Development Co. Ltd. 6 30 Hongkong Land Holdings Ltd. 76 239 Host Marriott Corp. 158 2,662 Hysan Development Co. Ltd. 72 180 Land Securities Group Plc 4 97 LaSalle Hotel Properties 5 169 Macerich Co. 38 2,474 Macquarie Goodman Group 20 65 Mills Corp. 23 1,272 Mitsubishi Estate Co. Ltd. 13 178 Mitsui Fudosan Co. Ltd. 27 406 Prentiss Properties Trust 22 901 Prologis (l) 93 4,125 Public Storage Inc. (l) 20 1,353 Reckson Associate Realty Corp. 31 1,061 Regency Centers Corp. 35 2,022 Simon Property Group Inc. 65 4,825 Singapore Land Ltd. 19 61 SL Green Realty Corp. (l) 36 2,448 Spirit Finance Corp. 9 106 Stockland 9 44 Sun Hung Kai Properties Ltd. 32 331 Trizec Properties Inc. 89 2,048 Urstadt Biddle Properties Inc. - Class A 29 444 U-Store-It Trust 41 827 Ventas Inc. 26 850 Vornado Realty Trust 36 3,075 Westfield Group 7 91 58,564 Total Common Stocks (cost $62,405) 66,662 Preferred Stocks - 0.3% Real Estate - 0.3% Eagle Hospitality Properties Trust Inc., 8.25% (b) 3 78 Hersha Hospitality Trust - Class A, 7.50% (b) 3 63 LaSalle Hotel Properties, 7.50% (b) 4 98 Total Preferred Stocks (cost $238) 239 Short Term Investments - 14.7% Money Market Funds - 3.0% Dreyfus Cash Management Plus Fund, 3.64% (a) 2,064 2,064 Securities Lending Collateral - 11.7% Mellon GSL Delaware Business Trust Collateral Fund 8,087 8,087 Total Short Term Investments (cost $10,151) 10,151 Total Investments - 111.8% (cost $72,794) 77,052 Other Assets and Liabilities, Net - (11.8%) (8,140) Total Net Assets - 100% $68,912 JNL/AIM Small Cap Growth Fund Common Stocks - 98.3% Aerospace & Defense - 1.0% United Industrial Corp. 13 $481 Apparel - 2.3% JOS A Bank Clothiers Inc. (b) (l) 13 543 Warnaco Group Inc. (b) 16 360 Wolverine World Wide Inc. 14 289 1,192 Banks - 2.7% East West Bancorp Inc. 12 405 PrivateBancorp Inc. 8 263 SVB Financial Group (b) 10 468 Texas Regional Bancshares Inc. - Class A 9 247 1,383 Biotechnology - 3.4% Integra LifeSciences Holdings Corp. (b) 12 452 Millipore Corp. 6 378 Myriad Genetics Inc. (b) 11 244 Nektar Therapeutics (b) 14 240 Protein Design Labs Inc. (b) (l) 15 409 1,723 Building Materials - 1.5% Eagle Materials Inc. 6 729 Chemicals - 0.4% Rockwood Holdings Inc. (b) 11 203 Commercial Services - 5.1% Corporate Executive Board Co. 7 509 CRA International Inc. (b) 7 298 Euronet Worldwide Inc. (b) 17 506 Global Payments Inc. 7 555 MPS Group Inc. (b) 28 335 Steiner Leisure Ltd. (b) 9 313 2,516 Computers - 2.8% Catapult Communications Corp. (b) 11 199 Kronos Inc. (b) 9 402 Mercury Computer Systems Inc. (b) 15 386 Micros Systems Inc. (b) 9 393 1,380 Distribution & Wholesale - 0.6% Hughes Supply Inc. 9 290 Diversified Financial Services - 1.5% Affiliated Managers Group Inc. (b) (l) 6 405 Jefferies Group Inc. 8 334 739 Electrical Components & Equipment - 0.9% Thomas & Betts Corp. (b) 13 431 Electronics - 3.1% Flir Systems Inc. (b) 16 481 Imax Corp. (b) (l) 32 334 Trimble Navigation Ltd. (b) 11 382 Varian Inc. (b) 10 330 1,527 Entertainment - 1.3% Lions Gate Entertainment Corp. (b) (l) 45 431 Penn National Gaming Inc. (b) 7 224 655 Environmental Control - 1.1% Stericycle Inc. (b) 9 533 Food - 0.9% United Natural Foods Inc. (b) 13 445 Hand & Machine Tools - 0.0% Lincoln Electric Holdings Inc. - 7 Healthcare - 9.4% Advisory Board Co. (b) 8 426 American Medical Systems Holdings Inc. (b) 22 446 Amsurg Corp. (b) 11 293 Centene Corp. (b) 8 213 Gen-Probe Inc. (b) 11 522 Immucor Inc. (b) 12 331 LifePoint Hospitals Inc. (b) 12 543 Mentor Corp. 10 541 Pediatrix Medical Group Inc. (b) 6 477 Resmed Inc. (b) (l) 6 487 Wright Medical Group Inc. (b) 16 394 4,673 Holding Companies - Diversified - 0.5% Texas Capital Bancshares Inc. (b) 11 241 Home Builders - 0.6% Technical Olympic USA Inc. 12 305 Home Furnishings - 0.5% Tempur-Pedic International Inc. (b) (l) 22 256 Household Products - 2.5% Church & Dwight Co. Inc. 10 386 Scotts Miracle-Gro Co. 7 583 Toro Co. 8 283 1,252 Insurance - 1.4% HCC Insurance Holdings Inc. 13 372 ProAssurance Corp. (b) 7 343 715 Internet - 5.8% Blue Coat Systems Inc. (b) 5 225 Digitas Inc. (b) 21 237 F5 Networks Inc. (b) 6 248 Internet Security Systems (b) 21 495 Macromedia Inc. (b) 13 518 Sapient Corp. (b) 49 304 Valueclick Inc. (b) 32 554 Websense Inc. (b) 6 292 2,873 Iron & Steel - 0.9% Carpenter Technology Corp. 7 425 Leisure Time - 0.7% Nautilus Inc. 15 329 Lodging - 1.0% Choice Hotels International Inc. 8 489 Machinery - 1.9% IDEX Corp. (l) 8 330 JLG Industries Inc. 17 610 940 Manufacturing - 0.6% Actuant Corp. - Class A 7 320 Media - 0.5% Radio One Inc. (b) (l) 19 240 Oil & Gas Producers - 4.5% Encore Acquisition Co. (b) 17 658 Range Resources Corp. 18 708 Unit Corp. (b) 11 607 Whiting Petroleum Corp. (b) 5 237 2,210 Oil & Gas Services - 4.0% Cal Dive International Inc. (b) 11 689 Core Laboratories NV (b) 14 438 FMC Technologies Inc. (b) 13 536 Superior Energy Services (b) 13 308 1,971 Pharmaceuticals - 4.7% Amylin Pharmaceuticals Inc. (b) 13 465 Encysive Pharmaceuticals Inc. (b) 22 262 First Horizon Pharmaceutical Corp. (b) 18 352 MGI Pharma Inc. (b) 15 343 United Therapeutics Corp. (b) 6 394 VCA Antech Inc. (b) 20 502 2,318 Real Estate - 1.3% BioMed Realty Trust Inc. 7 177 Pan Pacific Retail Properties Inc. 7 457 634 Retail - 6.9% BJ's Wholesale Club Inc. (b) 13 363 Childrens Place Retail Stores Inc. (b) 9 328 Guitar Center Inc. (b) 7 366 Jack in The Box Inc. (b) 13 375 MSC Industrial Direct Co. - Class A (l) 14 477 NuVasive Inc. (b) 21 402 PF Chang's China Bistro Inc. (b) (l) 9 422 Rare Hospitality International Inc. (b) 12 314 Regis Corp. 10 360 3,407 Semiconductors - 5.3% Cirrus Logic Inc. (b) 35 262 Formfactor Inc. (b) 16 366 Genesis Microchip Inc. (b) 10 219 Microsemi Corp. (b) 28 711 Sigmatel Inc. (b) 11 214 Tessera Technologies Inc. (b) 13 381 Varian Semiconductor Equipment Associates Inc. (b) 11 447 2,600 Software - 6.9% Ansys Inc. (b) 7 279 Avid Technology Inc. (b) 6 266 Blackboard Inc. (b) 16 404 Cerner Corp. (b) (l) 6 486 Emulex Corp. (b) 18 373 Epicor Software Corp. (b) 28 363 FARO Technologies Inc. (b) 16 311 Microstrategy Inc. - Class A (b) 8 546 Per-Se Technologies Inc. (b) 18 368 3,396 Telecommunications - 3.3% Alamosa Holdings Inc. (b) 40 682 Netgear Inc. (b) 21 503 NeuStar Inc. - Class A (b) 3 109 Polycom Inc. (b) 21 337 1,631 Telecommunications Equipment - 0.7% SafeNet Inc. (b) 10 350 Toys & Hobbies - 2.1% Forward Air Corp. 9 328 Marvel Entertainment Inc. (b) 21 377 RC2 Corp. (b) 9 311 1,016 Transportation - 2.9% Heartland Express Inc. 13 256 Kirby Corp. (b) 6 282 Knight Transportation Inc. 10 251 Old Dominion Freight Line (b) 9 312 Swift Transportation Co. Inc. (b) 18 326 1,427 Wireless Telecommunications - 0.8% SBA Communications Corp. (b) 24 372 Total Common Stocks (cost $41,661) 48,624 Short Term Investments - 9.7% Money Market Funds - 1.6% Dreyfus Cash Management Plus Fund, 3.64% (a) 777 777 Securities Lending Collateral - 8.1% Mellon GSL Delaware Business Trust Collateral Fund 4,016 4,016 Total Short Term Investments (cost $4,793) 4,793 Total Investments - 108.0% (cost $46,454) 53,417 Other Assets and Liabilities, Net - (8.0%) (3,958) Total Net Assets - 100% $49,459 JNL/Alger Growth Fund Common Stocks - 100.1% Aerospace & Defense - 2.0% General Dynamics Corp. 43 $5,177 Alternative Energy - 3.4% Suncor Energy Inc. (l) 138 8,365 Apparel - 1.0% Polo Ralph Lauren Corp. 49 2,470 Biotechnology - 2.8% Amgen Inc. (b) 43 3,386 Genentech Inc. (b) 42 3,545 6,931 Computers - 4.1% Apple Computer Inc. (b) 130 6,953 EMC Corp. (b) 87 1,119 NAVTEQ Corp. (b) 37 1,843 9,915 Cosmetics & Personal Care - 3.5% Avon Products Inc. 75 2,014 Gillette Co. 114 6,612 8,626 Diversified Financial Services - 3.9% Citigroup Inc. 41 1,880 Legg Mason Inc. 40 4,421 Merrill Lynch & Co. Inc. 51 3,110 9,411 Healthcare - 7.2% Bausch & Lomb Inc. 30 2,404 HCA Inc. 50 2,382 Health Management Associates Inc. (l) 78 1,835 Humana Inc. (b) (l) 102 4,860 Medtronic Inc. 63 3,391 St. Jude Medical Inc. (b) 29 1,371 Varian Medical Systems Inc. (b) 34 1,355 17,598 Insurance - 5.5% American International Group Inc. 51 3,135 Cigna Corp. 32 3,772 Genworth Financial Inc. - Class A (l) 49 1,583 Marsh & McLennan Cos. Inc. 63 1,918 Principal Financial Group (l) 65 3,088 13,496 Internet - 7.9% eBay Inc. (b) 147 6,040 Google Inc. - Class A (b) 13 4,051 NetFlix Inc. (b) (l) 131 3,410 Yahoo! Inc. (b) 168 5,673 19,174 Lodging - 1.3% Starwood Hotels & Resorts Worldwide Inc. 55 3,133 Machinery - 2.1% Caterpillar Inc. 87 5,129 Media - 4.8% News Corp Inc. (l) 148 2,307 Sirius Satellite Radio Inc. (b) (l) 455 2,983 Walt Disney Co. 77 1,848 XM Satellite Radio Holdings Inc. - Class A (b) (l) 128 4,593 11,731 Mining - 2.6% Peabody Energy Corp. 76 6,436 Oil & Gas Producers - 9.4% Burlington Resources Inc. 24 1,984 Chesapeake Enegy Corp. 54 2,073 Exxon Mobil Corp. 90 5,731 Sasol Ltd. - ADR (l) 52 2,000 Talisman Energy Inc. 154 7,507 Transocean Inc. (b) 58 3,584 22,879 Oil & Gas Services - 2.2% National Oilwell Varco Inc. (b) 81 5,333 Pharmaceuticals - 9.4% AmerisourceBergen Corp. 25 1,909 Caremark Rx Inc. (b) 62 3,108 Clegene Corp. (b) 11 598 Gilead Sciences Inc. 26 1,287 Medco Health Solutions Inc. (b) 86 4,726 Medimmune Inc. (b) (l) 20 670 Schering-Plough Corp. 205 4,305 Sepracor Inc. (b) (l) 34 2,000 Wyeth 94 4,358 22,961 Pipelines - 0.8% Williams Cos. Inc. 76 1,909 Retail - 7.5% Bed Bath & Beyond Inc. (b) 121 4,858 CVS Corp. 190 5,518 Federated Department Stores Inc. 56 3,725 Lowe's Cos. Inc. 37 2,370 Saks Inc. (b) 97 1,791 18,262 Semiconductors - 3.9% Altera Corp. (b) 97 1,857 Intel Corp. 136 3,361 Linear Technology Corp. (l) 80 3,024 Marvell Tech Group Ltd. (b) 28 1,273 9,515 Software - 4.1% Microsoft Corp. 235 6,038 Oracle Corp. (b) 321 3,971 10,009 Telecommunications - 3.4% Alltel Corp. 49 3,190 Nextel Partners Inc. (b) (l) 92 2,302 NII Holdings Inc. - Class B (b) 12 1,013 Sprint Nextel Corp. (l) 75 1,788 8,293 Telecommunications Equipment - 4.1% Cisco Systems Inc. (b) 133 2,390 Corning Inc. (b) 125 2,409 Network Appliance Inc. (b) 141 3,335 Qualcomm Inc. 41 1,844 9,978 Tobacco - 1.8% Altria Group Inc. 59 4,327 Wireless Telecommunications - 1.2% Motorola Inc. (l) 132 2,914 Total Common Stocks (cost $220,719) 243,972 Short Term Investments - 8.7% Money Market Funds - 1.3% Dreyfus Cash Management Plus Fund, 3.64% (a) 3,047 3,047 Securities Lending Collateral - 7.4% Mellon GSL Delaware Business Trust Collateral Fund 18,136 18,136 Total Short Term Investments (cost $21,183) 21,183 Total Investments - 108.8% (cost $241,902) 265,155 Other Assets and Liabilities, Net - (8.8%) (21,539) Total Net Assets - 100% $243,616 JNL/Eagle Core Equity Fund Common Stocks - 95.1% Advertising - 1.2% Omnicom Group Inc. 35 $2,961 Aerospace & Defense - 3.1% Boeing Co. 35 2,409 United Technologies Corp. 92 4,743 7,152 Agriculture - 0.1% CF Industries Holdings Inc. (b) 18 270 Banks - 4.9% Bank of America Corp. (l) 92 3,852 JPMorgan Chase & Co. 35 1,188 US Bancorp. 44 1,236 Wachovia Corp. 84 4,007 Wells Fargo & Co. 22 1,288 11,571 Beverages - 2.0% Coca-Cola Co. 74 3,203 PepsiCo Inc. 24 1,361 4,564 Biotechnology - 2.0% Baxter International Inc. 80 3,206 Genentech Inc. (b) 19 1,604 4,810 Chemicals - 0.8% Air Products & Chemicals Inc. 18 993 E.I. Du Pont de Nemours & Co. 22 861 1,854 Commercial Services - 2.0% FedEx Corp. 39 3,355 RR Donnelley & Sons Co. 36 1,334 4,689 Computers - 1.2% Dell Inc. (b) 54 1,833 Hewlett-Packard Co. 38 1,095 2,928 Cosmetics & Personal Care - 2.2% Kimberly-Clark Corp. 31 1,815 Proctor & Gamble Co. (l) 60 3,550 5,365 Diversified Financial Services - 8.0% American Express Co. 63 3,593 Capital One Financial Corp. 10 775 CapitalSource Inc. (b) (l) 50 1,092 Citigroup Inc. 122 5,572 Fannie Mae 33 1,466 First Marblehead Corp. (l) 9 225 General Growth Properties Inc. 22 988 Goldman Sachs Group Inc. 13 1,617 Merrill Lynch & Co. Inc. 24 1,485 Morgan Stanley 44 2,357 19,170 Electric - 0.4% NiSource Inc. 40 970 Electrical Components & Equipment - 1.9% ATI Technologies Inc. (b) 103 1,438 Emerson Electric Co. 34 2,463 Nvidia Corp. (b) (l) 18 622 4,523 Environmental Control - 1.1% Waste Management Inc. 95 2,715 Food - 1.0% General Mills Inc. 25 1,205 Sysco Corp. 40 1,255 2,460 Gas - 0.5% UGI Corp. 44 1,239 Healthcare - 5.6% DaVita Inc. (b) 25 1,147 Gen-Probe Inc. (b) 24 1,189 Guidant Corp. (l) 48 3,334 HCA Inc. 61 2,914 Johnson & Johnson 35 2,183 McKesson Corp. 16 771 UnitedHealth Group Inc. 31 1,723 13,261 Home Builders - 0.1% Standard-Pacific Corp. 8 338 Insurance - 0.6% American International Group Inc. 22 1,348 Internet - 5.4% eBay Inc. (b) 44 1,807 Google Inc. - Class A (b) 12 3,892 Symantec Corp. (b) 160 3,626 Yahoo! Inc. (b) 107 3,619 12,944 Lodging - 1.3% Harrah's Entertainment Inc. 23 1,512 Starwood Hotels & Resorts Worldwide Inc. 27 1,569 3,081 Machinery - 0.3% Deere & Co. 12 734 Manufacturing - 6.1% 3M Corp. 18 1,320 Cooper Industries Ltd. - Class A 22 1,521 General Electric Corp. 152 5,106 Harsco Corp. 26 1,705 Honeywell Inernational Inc. 29 1,088 Tyco International Ltd. 139 3,880 14,620 Media - 3.3% McGraw-Hill Cos. Inc. 24 1,153 Time Warner Inc. 165 2,988 Viacom Inc. - Class B 115 3,783 7,924 Oil & Gas Producers - 2.1% BP Plc - ADR 22 1,559 ENSCO International Inc. (l) 22 1,032 Exxon Mobil Corp. 28 1,779 Valero Energy Corp. 6 656 5,026 Oil & Gas Services - 1.7% Halliburton Co. (l) 61 4,163 Packaging & Containers - 1.4% Newell Rubbermaid Inc. (l) 146 3,302 Pharmaceuticals - 9.0% Abbott Laboratories 23 988 Cardinal Health Inc. 52 3,288 Eli Lilly & Co. 72 3,861 Gilead Sciences Inc. 81 3,954 NPS Pharmaceuticals Inc. (b) 43 432 Pfizer Inc. 159 3,980 Rigel Pharmaceuticals Inc. (b) 17 395 Teva Pharmaceutical Industries Ltd. - ADR 31 1,044 Wyeth 74 3,433 21,375 Pipelines - 0.6% Kinder Morgan Inc. (l) 16 1,539 Real Estate - 1.1% Boston Properties Inc. 11 780 Equity Office Properties Trust 30 981 Vornado Realty Trust 9 780 2,541 Retail - 8.5% CVS Corp. (l) 97 2,817 Home Depot Inc. 134 5,124 Kohl's Corp. (b) 28 1,400 Lowe's Cos. Inc. 8 512 McDonald's Corp. 151 5,045 Target Corp. 45 2,360 Wal-Mart Stores Inc. 68 2,964 20,222 Semiconductors - 5.0% Advanced Micro Devices Inc. (b) 57 1,434 Analog Devices Inc. (l) 65 2,410 Applied Materials Inc. 119 2,025 Broadcom Corp. - Class A (b) 15 706 Intel Corp. 64 1,586 Marvell Tech Group Ltd. (b) 13 609 Maxim Integrated Products Inc. 38 1,612 Ultra Clean Holdings (b) 117 698 Xilinx Inc. 34 952 12,032 Software - 5.4% Mercury Interactive Corp. (b) (l) 40 1,590 Microsoft Corp. 288 7,415 Oracle Corp. (b) 306 3,785 12,790 Telecommunications - 1.4% BellSouth Corp. (l) 21 552 International Game Technology 57 1,539 SBC Communications Inc. 28 671 Verizon Communications Inc. 20 654 3,416 Telecommunications Equipment - 3.8% Cisco Systems Inc. (b) 80 1,442 Nokia OYJ - Class A - ADR 289 4,890 Qualcomm Inc. 63 2,813 9,145 Total Common Stocks (cost $212,914) 227,042 Preferred Stocks - 0.3% Insurance - 0.3% Travelers Property Casualty Corp., 4.50%, 04/15/32 (b) 31 739 Total Preferred Stocks (cost $768) 739 Corporate Bonds - 0.7% Healthcare - 0.3% Community Health Systems Inc., 4.25%, 10/15/08 (j) 575 668 Media - 0.4% Liberty Media Corp., 3.25%, 03/15/31 (j) 1,330 1,031 Total Corporate Bonds (cost $1,799) 1,699 Short Term Investments - 14.8% Money Market Funds - 4.1% Dreyfus Cash Management Plus Fund, 3.64% (a) 9,760 9,760 Securities Lending Collateral - 10.7% Mellon GSL Delaware Business Trust Collateral Fund 25,577 25,577 Total Short Term Investments (cost $35,337) 35,337 Total Investments - 110.9% (cost $250,818) 264,817 Other Assets and Liabilities, Net - (10.9%) (26,058) Total Net Assets - 100% $238,759 JNL/Eagle SmallCap Equity Fund Common Stocks - 99.1% Agriculture - 2.0% Delta & Pine Land Co. 125 $3,313 Alternative Energy - 1.2% Headwaters Inc. (b) 49 1,836 Banks - 0.4% BankAtlantic Bancorp. Inc. - Class A 42 713 Biotechnology - 1.2% deCODE genetics Inc. (b) 232 1,947 Commercial Services - 3.8% Global Payments Inc. 47 3,668 Resources Connection Inc. (b) 79 2,343 6,011 Computers - 6.2% Factset Research Systems Inc. (l) 116 4,102 McData Corp. - Class A (b) 413 2,166 Radisys Corp. (b) 187 3,622 9,890 Distribution & Wholesale - 1.6% SCP Pool Corp. 71 2,474 Electrical Components & Equipment - 2.1% Advanced Energy Industries Inc. (b) 77 834 General Cable Corp. (b) (l) 110 1,852 Littelfuse Inc. (b) 25 694 3,380 Electronics - 2.5% Gentex Corp. 62 1,087 OYO Geospace Corp. (b) 79 1,564 Photon Dynamics Inc. (b) 73 1,399 4,050 Environmental Control - 8.0% Aleris International Inc. (b) 210 5,754 Duratek Inc. (b) 137 2,502 Waste Connections Inc. (b) (l) 129 4,535 12,791 Healthcare - 19.1% American Healthways Inc. (b) 73 3,094 American Medical Systems Holdings Inc. (b) 180 3,623 Arrow International Inc. 64 1,796 Centene Corp. (b) 89 2,229 Cooper Cos Inc. 20 1,551 DJ Orthopedics Inc. (b) 68 1,956 Horizon Health Corp. (b) 132 3,579 Inamed Corp. (b) 48 3,661 Respironics Inc. (b) 129 5,441 Surmodics Inc. (b) (l) 41 1,588 Thoratec Corp. (b) (l) 107 1,906 30,424 Home Furnishings - 3.8% Tempur-Pedic International Inc. (b) (l) 167 1,974 Universal Electronics Inc. (b) 232 4,009 5,983 Insurance - 1.1% Philadelphia Consolidated Holding Co. (b) 20 1,706 Internet - 0.6% eCollege.com Inc. (b) 68 1,003 Leisure Time - 3.2% Neveda Gold & Casinos Inc. (b) 120 1,349 Shuffle Master Inc. (b) (l) 144 3,813 5,162 Machinery - 2.4% UNOVA Inc. (b) (l) 108 3,774 Manufacturing - 3.2% Actuant Corp. - Class A (l) 53 2,490 Applied Films Corp. (b) 122 2,568 5,058 Metal Fabrication & Hardware - 1.5% NS Group Inc. (b) 61 2,406 Oil & Gas Producers - 5.6% Patterson-UTI Energy Inc. 111 3,993 Unit Corp. (b) 91 5,009 9,002 Oil & Gas Services - 1.7% Core Laboratories NV (b) 44 1,406 Tetra Technologies Inc. (b) 40 1,260 2,666 Pharmaceuticals - 2.5% Connetics Corp. (b) 89 1,511 Dendreon Corp. (b) (l) 126 843 Medics Pharmaceutical Corp. (l) 51 1,657 4,011 Real Estate - 1.6% Corrections Corp. (b) 66 2,620 Retail - 6.9% AC Moore Arts & Crafts Inc. (b) (l) 71 1,357 Blue Nile Inc. (b) (l) 49 1,559 Cabela's Inc. - Class A (b) (l) 108 1,986 Cash America International Inc. 66 1,360 Genesco Inc. (b) (l) 125 4,661 10,923 Savings & Loans - 0.1% Harbor Florida Bancshares Inc. 4 153 Semiconductors - 2.0% Integrated Device Technology Inc. (b) (l) 291 3,126 Software - 7.7% Ansys Inc. (b) 100 3,834 Datastream Systems Inc. (b) 380 3,003 Eclipsys Corp (b) 165 2,947 Netsmart Technologies Inc. (b) 101 1,239 Per-Se Technologies Inc. (b) (l) 59 1,228 12,251 Telecommunications Equipment - 3.1% Dolby Laboratories Inc. - Class A (b) 101 1,617 Tekelec (b) 158 3,316 4,933 Toys & Hobbies - 0.9% Build-A-Bear Workshop Inc. (b) (l) 66 1,471 Transportation - 1.7% OMI Corp. (l) 149 2,664 Wireless Telecommunications - 1.4% EMS Technologies Inc. (b) 132 2,162 Total Common Stocks (cost $124,606) 157,903 Short Term Investments - 18.2% Money Market Funds - 1.5% Dreyfus Cash Management Plus Fund, 3.64% (a) 2,406 2,406 Securities Lending Collateral - 16.7% Mellon GSL Delaware Business Trust Collateral Fund 26,608 26,608 Total Short Term Investments (cost $29,014) 29,014 Total Investments - 117.3% (cost $153,620) 186,917 Other Assets and Liabilities, Net - (17.3%) (27,538) Total Net Assets - 100% $159,379 JNL/FMR Balanced Fund Common Stocks - 70.0% Advertising - 0.7% Advo Inc. 2 $59 ASML Holding NV (b) 11 177 Lamar Advertising Co. (b) 8 363 Omnicom Group Inc. 1 109 708 Aerospace & Defense - 0.9% BE Aerospace Inc. (b) 1 15 European Aeronautic Defence and Space Co. NV 5 184 Goodrich Corp. 2 80 Lockheed Martin Corp. 3 171 Meggitt Plc 12 71 Northrop Grumman Corp. 1 54 Raytheon Co. 2 65 Rockwell Collins Inc. 2 111 United Technologies Corp. 5 259 US Airways Group Inc. (b) 3 71 1,081 Agriculture - 0.5% Bunge Ltd. 2 105 Global Bio-Chem Technology Group Co. Ltd. 104 48 Monsanto Co. 4 220 Mosaic Co. (b) (l) 10 151 UAP Holding Corp. 4 80 604 Airlines - 0.6% Ace Aviation Holdings Inc. - Class A (b) 4 119 AirTran Holdings Inc. (b) (l) 26 328 Frontier Airlines Inc. (b) 27 260 707 Alternative Energy - 0.2% Fording Canadian Coal Trust 4 154 NRG Energy Inc. (b) 1 34 188 Apparel - 0.1% Foot Locker Inc. 5 114 Auto Manufacturers - 0.0% Wabash National Corp. 2 45 Auto Parts & Equipment - 0.4% American Axle & Manufacturing Holdings Inc. 10 233 Ashtead Group Plc (b) 1 2 Delphi Corp. 12 34 Lear Corp. 1 41 TRW Automotive Holdings Corp. (b) 5 144 454 Banks - 3.3% Bank of America Corp. 35 1,463 Cathay General Bancorp. 1 25 Investors Financial Services Corp. 1 20 JPMorgan Chase & Co. 23 796 Nara Bancorp. Inc. 3 51 R-G Financial Corp. - Class B 4 51 State Street Corp. 2 117 SVB Financial Group (b) 3 146 UCBH Holdings Inc. 11 207 W Holding Co. Inc. 17 159 Wachovia Corp. 14 690 Wells Fargo & Co. 3 152 Wilshire Bancorp. Inc. 6 90 Wintrust Financial Corp. 2 101 4,068 Beverages - 0.3% Chaparral Steel Co. (b) 2 55 Coca-Cola Co. 6 242 Coca-Cola Enterprises Inc. 3 49 Diageo Plc - 17 SNC-Lavalin Group Inc. - 19 382 Biotechnology - 0.6% Affymetrix Inc. (b) - 9 Alkermes Inc. (b) 7 111 Baxter International Inc. 7 259 Biogen Idec Inc. (b) 2 95 Charles River Laboratories International Inc. (b) 2 92 Genentech Inc. (b) 2 126 692 Building Materials - 0.6% American Standard Cos. Inc. 2 72 Florida Rock Industries Inc. 1 48 Martin Marietta Materials Inc. 2 149 Masco Corp. 2 61 Techtronic Industries Co. 60 154 Texas Industries Inc. 3 152 Vulcan Materials Co. 1 82 718 Chemicals - 1.6% Air Products & Chemicals Inc. 1 61 Airgas Inc. 5 157 Albemarle Corp. 4 158 Ashland Inc. 4 226 Celanese Corp. - Class A 6 109 Chemtura Corp. 6 80 Dow Chemical Co. 4 183 Georgia Gulf Corp. 3 75 Lubrizol Corp. 1 26 Lyondell Chemical Co. (l) 16 448 Nova Chemicals Corp. 7 250 Olin Corp. 1 13 Praxair Inc. 2 110 Rhodia SA (b) 33 67 1,963 Commercial Services - 0.5% Career Education Corp. (b) 3 100 Cendant Corp. 9 188 Education Management Corp. (b) 1 29 FedEx Corp. 1 87 Infrasource Services Inc. (b) 2 25 Kforce Inc. (b) 1 13 Service Corp. 6 51 United Rentals Inc. (b) 1 14 Washington Group International Inc. (b) 1 38 Wright Express Corp. (b) 2 45 590 Computers - 1.5% Affiliated Computer Services Inc. - Class A (b) 2 87 Ceridian Corp. (b) 8 172 Dell Inc. (b) 1 24 EMC Corp. (b) 8 98 Hewlett-Packard Co. 14 400 Hutchinson Technology Inc. (b) (l) 1 32 Lexmark International Inc. (b) 1 88 Maxtor Corp. (b) 53 233 McData Corp. - Class A (b) 19 97 NCR Corp. (b) 3 80 SanDisk Corp. (b) 2 87 Seagate Technology (b) 19 296 Sports Authority Inc. (b) 1 24 Western Digital Corp. (b) 13 164 1,882 Cosmetics & Personal Care - 0.7% Alberto-Culver Co. - Class B 2 81 Avon Products Inc. 3 76 Colgate-Palmolive Co. 6 317 Gillette Co. 1 76 Proctor & Gamble Co. 6 353 903 Distribution & Wholesale - 0.5% Bell Microproducts Inc. (b) 9 88 Ingram Micro Inc.- Class A (b) 11 202 LKQ Corp. (b) 2 57 Tech Data Corp. 2 77 WESCO International Inc. (b) 7 240 664 Diversified Financial Services - 4.0% Affiliated Managers Group Inc. (b) - 22 American Express Co. 3 175 Capital One Financial Corp. 2 143 Citigroup Inc. 29 1,311 Countrywide Financial Corp. 4 141 Doral Financial Corp. 7 90 E*Trade Financial Corp. (b) 11 188 Fannie Mae 7 296 Freddie Mac 11 595 General Growth Properties Inc. 3 112 Goldman Sachs Group Inc. 3 348 Infrastructure Development Finance Co. Ltd. (b) 26 41 Janus Capital Group Inc. 3 49 Lazard Ltd. - Class A 2 58 Lehman Brothers Holdings Inc. 3 349 MBNA Corp. 2 42 Merrill Lynch & Co. Inc. 7 454 MetLife Inc. (b) 6 168 Morgan Stanley 4 205 Nuveen Investments Inc. - Class A 3 114 4,901 Electric - 2.3% AES Corp. (b) 43 703 Allegheny Energy Inc. 1 31 CMS Energy Corp. (b) (l) 7 122 Dominion Resources Inc. 3 215 Edison International Inc. 1 33 Entergy Corp. 2 119 Exelon Corp. 6 331 NorthWestern Corp. 1 15 PG&E Corp. 5 181 PPL Corp 4 116 Public Service Enterprise Group Inc. 2 109 Sharp Corp. 6 87 TXU Corp. 7 779 2,841 Electrical Components & Equipment - 0.4% Advanced Energy Industries Inc. (b) 4 40 American Power Conversion Corp. 4 98 ATI Technologies Inc. (b) - 6 ITC Holdings Corp. 1 26 LG Electronics Inc. 1 90 Molex Inc. 3 83 Samsung Electronics Co. Ltd. - 186 529 Electronics - 2.8% Agilent Technologies Inc. (b) 11 344 Amphenol Corp. - Class A 8 323 Arrow Electronics Inc. (b) 4 122 Asat Holdings Ltd. - ADR (b) 12 10 Avnet Inc. (b) 5 130 Celestica Inc. (b) 21 238 Cymer Inc. (b) 5 160 Fisher Scientific International Inc. (b) (l) 2 120 Flextronics International Ltd. (b) 24 308 HON HAI Precision Industry Co. Ltd. - GDR 17 154 Kemet Corp. (b) 4 31 Sanmina-SCI Corp. (b) 22 94 Solectron Corp. (b) 92 359 Symbol Technologies Inc. 24 230 Tektronix Inc. 4 106 Thermo Electron Corp. (b) 6 182 Trimble Navigation Ltd. (b) 1 17 Varian Inc. (b) 3 113 Vishay Intertechnology Inc. (b) 6 68 Waters Corp. (b) 6 258 Watts Water Technologies Inc. 2 43 3,410 Engineering & Construction - 1.7% ABB Ltd. (b) 10 75 Dycom Industries Inc. (b) 13 259 Fluor Corp. 10 637 Foster Wheeler Ltd. (b) 7 216 Granite Construction Inc. 5 191 Jacobs Engineering Group Inc. (b) 1 94 McDermott International Inc. (b) 1 51 Perini Corp. (b) 5 93 Shaw Group Inc. (b) 9 219 URS Corp. (b) 6 222 2,057 Entertainment - 0.2% Macrovision Corp. (b) 9 174 Six Flags Inc. (b) 4 28 202 Food - 0.8% Archer-Daniels-Midland Co. 1 17 Corn Products International Inc. 8 161 General Mills Inc. 3 130 Groupe Danone 1 75 JM Smucker Co. 3 138 Kellogg Co. 2 88 McCormick & Co. Inc. 1 29 Nestle SA - 92 Safeway Inc. 7 169 Tyson Foods Inc. 3 49 948 Forest Products & Paper - 0.1% Tembec Inc. (b) 2 4 Votorantim Celulose e Papel SA 6 74 78 Healthcare - 4.0% Aetna Inc. 2 155 Angiotech Pharmaceuticals Inc. (b) 1 15 Aspect Medical Systems Inc. (b) 2 65 Beckman Coulter Inc. 2 113 Becton Dickinson & Co. 2 79 Conmed Corp. (b) 2 67 Cooper Cos Inc. 1 38 CR Bard Inc. 3 198 Cytyc Corp. (b) 2 46 Dade Behring Holdings Inc. 12 425 DaVita Inc. (b) 2 69 Fisher & Paykel Healthcare Corp. 7 19 Guidant Corp. 2 110 Hanger Orthopedic Group Inc. (b) 11 87 Health Net Inc. (b) 6 289 Humana Inc. (b) 4 182 Johnson & Johnson 10 607 McKesson Corp. 7 313 Medtronic Inc. 2 97 Pacificare Health Systems (b) 5 359 Psychiatric Solutions Inc. (b) 1 43 Quest Diagnostics Inc. 1 51 Serologicals Corp. (b) 2 36 Sierra Health Services Inc. (b) 1 55 St. Jude Medical Inc. (b) 1 33 Sunrise Senior Living Inc. (b) 1 93 UnitedHealth Group Inc. 15 869 WebMD Corp. (b) 11 120 WebMD Health Corp. - Class A (b) - 5 WellPoint Inc. (b) 4 273 4,911 Holding Companies - Diversified - 0.3% Endurance Specialty Holdings Ltd. 4 130 Lagardere SCA 2 128 Sinochem Hong Kong Holding Ltd. (b) 24 4 UnionBanCal Corp. 1 91 353 Home Builders - 0.7% Coachmen Industries Inc. 1 15 DR Horton Inc. 6 204 Pulte Homes Inc. - 17 Ryland Group Inc. 3 185 Standard-Pacific Corp. 3 125 Toll Brothers Inc. (b) 7 322 868 Home Furnishings - 0.0% Tempur-Pedic International Inc. (b) (l) - 5 Household Products - 0.0% Spectrum Brands Inc. (b) 2 54 Insurance - 3.2% ACE Ltd. 7 320 Aflac Inc. 4 199 AMBAC Financial Group Inc. 2 166 American International Group Inc. 21 1,326 Aspen Insurance Holdings Ltd. 1 21 Assurant Inc. 2 91 Axis Capital Holdings Ltd. 1 31 Genworth Financial Inc. - Class A 4 116 Hartford Financial Services Group Inc. 4 278 Hilb Rogal & Hobbs Co. 2 71 MBIA Inc. 4 230 MetLife Inc. 1 30 MGIC Investment Corp. 1 58 Montpelier Re Holdings Ltd. 4 89 PartnerRe Ltd. 2 96 Platinum Underwriters Holdings Ltd. 3 78 Scottish Re Group Ltd. 14 329 Specialty Underwriters' Alliance Inc. (b) 5 38 St. Paul Travelers Cos. Inc. 5 215 Universal American Financial Corp. (b) 3 57 USI Holdings Corp. (b) 6 82 XL Capital Ltd. - Class A 1 82 4,003 Internet - 1.2% Avocent Corp. (b) 3 93 Covad Communications Group Inc. (b) (l) 130 137 eBay Inc. (b) 3 131 Google Inc. - Class A (b) 1 364 KB Home 4 307 Netbank Inc. 15 128 Symantec Corp. (b) 5 107 TIBCO Software Inc. (b) 4 34 Yahoo! Inc. (b) 6 193 1,494 Iron & Steel - 0.1% Nucor Corp. - 6 Usinas Siderurgicas de Minas Gerais SA - Class A 3 63 69 Leisure Time - 0.4% Brunswick Corp. 3 121 Carnival Corp. 2 85 Royal Caribbean Cruises Ltd. 4 181 WMS Industries Inc. (b) 4 98 485 Lodging - 0.2% Boyd Gaming Corp. 1 39 Kerzner International Ltd. (b) 3 172 Station Casinos Inc. - 7 218 Machinery - 0.4% AGCO Corp. (b) 1 16 Albany International Corp. 2 63 Atlas Copco AB - Class B 6 97 Briggs & Stratton Corp. 2 80 Deere & Co. 2 147 Manitowoc Co. 1 60 Weir Group Plc 6 43 506 Manufacturing - 3.7% 3M Corp. 3 205 Acuity Brands Inc. 2 47 AO Smith Corp. 3 91 Cooper Industries Ltd. - Class A 1 48 Danaher Corp. 2 86 E.ON AG 1 64 General Electric Corp. 65 2,172 Hexcel Corp. (b) 6 106 Honeywell Inernational Inc. 9 331 Larsen & Toubro Ltd. 4 121 Mettler Toledo International Inc. (b) 2 107 Rinker Group Ltd. 12 147 Smiths Group Plc 8 142 SPX Corp. (l) 4 170 Synthes Inc. 1 151 Tyco International Ltd. 20 557 4,545 Media - 1.4% Antena 3 de Television SA 6 109 Citadel Broadcasting Corp. (b) 15 211 Clear Channel Communications Inc. 4 118 DirecTV Group Inc. (b) 7 99 Discovery Holding Co. (b) 1 11 EW Scripps Co. 3 130 Liberty Global Inc. (b) 4 105 Liberty Media Corp. - Class A (b) 18 148 McGraw-Hill Cos. Inc. 2 96 News Corp Inc. 14 219 Radio One Inc. (b) (l) 4 54 Salem Communications Corp. - Class A (b) 2 40 SES Global SA 4 66 TVN SA (b) 3 56 Vivendi Universal SA - ADR 1 43 Walt Disney Co. 10 241 1,746 Metal Fabrication & Hardware - 0.5% Alcan Inc. 1 29 Precision Castparts Corp. 6 308 Timken Co. 8 237 574 Mining - 1.4% Agnico-Eagle Mines Ltd. 8 114 Alcan Inc. 6 184 Alcoa Inc. 9 225 Compass Minerals International Inc. 3 69 Falconbridge Ltd. 8 206 Goldcorp Inc. 13 254 Goldcorp Inc. - 2 Ivanhoe Mines Ltd. (b) 3 24 LionOre Mining International Ltd. (b) 3 17 Massey Energy Co. 1 72 Meridian Gold Inc. (b) 15 332 Newmont Mining Corp. - 5 Stillwater Mining Co. (b) 10 90 Teck Cominco Ltd. 3 130 TreeHouse Foods Inc. (b) 1 27 1,751 Office & Business Equipment - 0.2% Xerox Corp. (b) 19 259 Office Furnishings - 0.1% Herman Miller Inc. 1 15 Interface Inc. (b) 15 124 139 Oil & Gas Producers - 4.0% Cabot Oil & Gas Corp. - Class A 2 116 Canadian Natural Resources Ltd. 1 68 Chesapeake Enegy Corp. 7 283 Encana Corp. 6 327 Goodrich Petroleum Corp. (b) - 7 Grey Wolf Inc. (b) (l) 21 174 Holly Corp. 4 258 KCS Energy Inc. (b) 1 19 Mariner Energy Inc. (b) (p) 4 88 McMoRan Exploration Co. (b) (l) 3 66 Nabors Industries Ltd. (b) 2 151 Penn Virginia Corp. 3 144 Petroleum Development Corp. (b) 2 58 Plains Exploration & Production Co. (b) 3 116 Pride International Inc. (b) 35 989 Quicksilver Resources Inc. (b) 6 301 Range Resources Corp. 5 208 Southwestern Energy Co. (b) 1 95 Ultra Petroleum Corp. (b) 2 102 Valero Energy Corp. 12 1,334 4,904 Oil & Gas Services - 4.7% BJ Services Co. 18 630 Grant Prideco Inc. (b) 29 1,163 Halliburton Co. 22 1,473 National Oilwell Varco Inc. (b) 26 1,740 Smith International Inc. 8 253 Weatherford International Ltd. (b) 8 556 5,815 Packaging & Containers - 0.6% Crown Holdings Inc. (b) 1 21 Owens-Illinois Inc. (b) 16 332 Packaging Corp. 2 31 Pactiv Corp. (b) 13 234 Smurfit-Stone Container Corp. (b) (l) 10 105 723 Pharmaceuticals - 2.8% Alcon Inc. 1 90 AmerisourceBergen Corp. 1 70 Angiotech Pharmaceuticals Inc. (b) 3 35 Atherogenics Inc. (b) (l) 7 114 Barr Laboratories Inc. 3 161 Cardinal Health Inc. 7 425 Caremark Rx Inc. (b) 3 126 Cephalon Inc. (b) 3 121 Cipla Ltd. 4 37 Connetics Corp. (b) (l) 10 172 CSL Ltd. 6 187 Guilford Pharmaceuticals Inc. (b) 16 57 Jean Coutu Group Inc. 6 107 Medarex Inc. (b) 7 63 Medco Health Solutions Inc. (b) 3 148 Medimmune Inc. (b) 2 50 Novartis AG - ADR 5 275 Omnicare Inc. 1 28 OSI Pharmaceuticals Inc. (b) 5 135 Pfizer Inc. 10 246 Prestige Brands Holdings Inc. (b) - 5 Schering-Plough Corp. 5 103 Teva Pharmaceutical Industries Ltd. - ADR 8 257 Wyeth 9 430 3,442 Pipelines - 0.1% EL Paso Corp. (l) 6 76 Real Estate - 0.8% Alexandria Real Estate Equites Inc. - 33 BRE Properties Inc. - Class A - 4 CBL & Associates Properties Inc. 1 49 Centerpoint Properties Trust 2 90 Corporate Office Properties Trust SBI MD 1 38 Corrections Corp. (b) 1 56 Digital Realty Trust Inc. 1 16 Duke Realty Corp. 1 20 Education Realty Trust Inc. 2 25 Equity Lifestyle Properties Inc. 1 59 Equity Office Properties Trust 2 69 Equity Residential 4 140 Highwoods Properties Inc. 1 24 Penn Real Estate Investment Trust 1 34 Reckson Associate Realty Corp. 2 69 Trizec Properties Inc. 4 86 United Dominion Realty Trust Inc. 4 83 Vornado Realty Trust 1 104 999 Retail - 2.3% Aeropostale Inc. (b) 3 70 Best Buy Co. Inc. 1 63 Big 5 Sporting Goods Corp. 3 79 Brinker International Inc. (b) 3 109 Carriage Services Inc. (b) 5 30 Circuit City Stores Inc. 1 19 CVS Corp. 8 238 Dollar Tree Stores Inc. (b) 5 104 Edgars Consolidated Stores Ltd. 4 20 Family Dollar Stores Inc. 1 24 Federated Department Stores Inc. 2 120 Finish Line - Class A - 4 Fred's Inc. 7 93 Home Depot Inc. 6 233 JC Penney Corp. Inc. 2 118 Linens 'n Things Inc. (b) 2 56 McDonald's Corp. 11 372 OfficeMax Inc. 1 41 Outback Steakhouse Inc. 1 51 Pacific Sunwear of California (b) 6 122 PEP Boys-Manny Moe & Jack 5 65 Rite Aid Corp. (b) 7 26 Ross Stores Inc. 3 62 Staples Inc. 3 62 Target Corp. - 10 TJX Cos. Inc. 2 37 Wal-Mart de Mexico SA de CV 5 24 Wal-Mart Stores Inc. 12 535 World Fuel Services Corp. 1 29 2,816 Savings & Loans - 0.6% Fidelity Bankshares Inc. 3 78 First Niagara Financial Group Inc. 2 25 Golden West Financial Corp. 1 59 Hudson City Bancorp. Inc. 8 99 KNBT Bancorp Inc. 2 30 New York Community Bancorp. Inc. (l) 5 80 NewAlliance Bancshares Inc. 6 92 Sovereign Bancorp Inc. 10 229 692 Semiconductors - 3.7% Agere Systems Inc (b) 35 361 AMIS Holdings Inc. (b) 1 13 Amkor Technology Inc. (b) (l) 20 86 Analog Devices Inc. 1 45 ASM International NV (b) 3 44 ATI Technologies Inc. (b) 1 10 ATMI Inc. (b) 15 456 Axcelis Technologies Inc. (b) 25 130 Cascade Microtech Inc. (b) 3 40 Credence Systems Corp. (b) 14 111 Cypress Semiconductor Corp. (b) (l) 3 50 Fairchild Semiconductor International Inc. (b) 18 265 Formfactor Inc. (b) 4 100 Freescale Semiconductor Inc. (b) 61 1,449 Integrated Device Technology Inc. (b) 3 29 Intel Corp. 2 39 Intersil Corp. 13 292 Linear Technology Corp. 1 53 LTX Corp. (b) 31 130 Maxim Integrated Products Inc. 1 21 Microchip Technology Inc. 2 66 National Semiconductor Corp. 16 431 ON Semiconductor Corp. (b) 10 52 PMC - Sierra Inc. (b) (l) 8 69 Silicon Laboratories Inc. (b) 4 122 Teradyne Inc. (b) 7 122 4,586 Software - 1.3% Activision Inc. (b) 3 69 BEA Systems Inc. (b) 21 189 Cadence Design Systems Inc. (b) (l) 8 133 Citrix Systems Inc. (b) 2 50 Cognos Inc. (b) 3 147 Filenet Corp. (b) 2 61 Hyperion Solutions Corp. (b) 2 92 JDA Software Group Inc. (b) 1 17 Microsoft Corp. 28 723 Oracle Corp. (b) 1 14 Take-Two Interactive Software Inc. (b) (l) 3 75 Ulticom Inc. (b) - 1 1,571 Storage/Warehousing - 0.1% UTI Worldwide Inc. 1 85 Telecommunications - 2.6% Andrew Corp. (b) 4 47 AT&T Corp. 4 69 Avaya Inc. (b) 22 228 BellSouth Corp. 4 95 EchoStar Communications Corp. 7 207 Mastec Inc. (b) 10 110 Nextel Partners Inc. (b) (l) 9 213 NII Holdings Inc. - Class B (b) 2 203 NTL Inc. (b) 5 361 SBC Communications Inc. 25 609 Sprint Nextel Corp. 17 396 Telewest Global Inc. (b) 6 138 Verizon Communications Inc. 14 451 Wireless Facilities Inc. (b) 5 28 3,156 Telecommunications Equipment - 0.5% Harris Corp. 3 134 Juniper Networks Inc. (b) 3 64 MTN Group Ltd. 5 39 Network Appliance Inc. (b) - 5 Qualcomm Inc. 3 148 Sycamore Networks Inc. (b) 49 186 576 Textiles - 0.0% Cintas Corp. 1 41 Tobacco - 1.1% Altria Group Inc. 18 1,356 Toys & Hobbies - 0.0% Forward Air Corp. - 7 Transportation - 0.9% Alexander & Baldwin Inc. 3 155 Burlington Northern Santa Fe Corp. 4 215 EGL Inc. (b) 5 136 Laidlaw International Inc. 11 256 Norfolk Southern Corp. 7 296 OMI Corp. 3 45 Seaspan Corp. (b) 1 27 US Xpress Enterprises Inc. (b) - 5 1,135 Wireless Telecommunications - 1.0% American Tower Corp. 30 744 Crown Castle International Corp. 9 227 Motorola Inc. 12 263 Partner Communications (b) 1 9 1,243 Total Common Stocks (cost $73,845) 85,931 Preferred Stocks - 0.2% Diversified Financial Services - 0.0% Lazard Ltd., 6.625%, 05/15/08 (b) 2 43 Environmental Control - 0.1% XL Capital Ltd., 6.50%, 05/15/07 (b) 3 68 Telecommunications Equipment - 0.1% Liberty Global Inc. - Class A (b) 4 110 Total Preferred Stocks (cost $180) 221 Corporate Bonds - 0.1% Auto Parts & Equipment - 0.0% Exide Technologies, 2.37%, 09/18/13 (e) (g) (j) 10 5 Computers - 0.0% Maxtor Corp., 2.375%, 08/15/12 (e) (j) 20 18 Healthcare - 0.0% Cyberonics Inc., 3.00%, 09/27/12 (e) (j) 10 9 Human Genome Sciences Inc., 2.25%, 08/15/12 (e) (j) 10 10 19 Oil & Gas Producers - 0.1% McMoRan Exploration Co., 6.00%, 07/02/08 (j) 50 74 McMoRan Exploration Co., 5.25%, 10/06/11 (e) (j) 20 26 100 Telecommunications - 0.0% Level 3 Communications Inc., 5.25%, 12/15/11 (e) (j) 20 14 Total Corporate Bonds (cost $161) 156 Government Securities - 28.8% U.S. Treasury Securities - 28.8% U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,300 5,235 U.S. Treasury Note, 2.75%, 06/30/06 (l) 11,603 11,493 U.S. Treasury Note, 3.625%, 06/30/07 (l) 265 262 U.S. Treasury Note, 3.875%, 07/31/07 (l) 701 697 U.S. Treasury Note, 3.375%, 09/15/09 (l) 7,824 7,590 U.S. Treasury Note, 4.25%, 11/15/13 (l) 7,885 7,851 U.S. Treasury Note, 4.25%, 11/15/14 (l) 2,400 2,383 Total Government Securities (cost $35,100) 35,511 Short Term Investments - 32.5% Money Market Funds - 0.9% Dreyfus Cash Management Plus Fund, 3.64% (a) 1,067 1,067 Securities Lending Collateral - 31.7% Mellon GSL Delaware Business Trust Collateral Fund 39,019 39,019 Total Short Term Investments (cost $40,086) 40,086 Total Investments - 131.4% (cost $149,372) 161,905 Other Assets and Liabilities, Net - (31.4%) (38,717) Total Net Assets - 100% $123,188 JNL/FMR Capital Growth Fund Common Stocks - 97.3% Advertising - 3.2% Getty Images Inc. (b) 45 $3,875 Omnicom Group Inc. (l) 34 2,860 6,735 Aerospace & Defense - 1.9% ARGON ST Inc. (b) 15 437 Empresa Brasileira de Aeronautica SA - ADR 85 3,269 US Airways Group Inc. (b) (l) 12 260 3,966 Agriculture - 3.3% Monsanto Co. 72 4,512 Mosaic Co. (b) (l) 156 2,492 7,004 Apparel - 1.0% Phillips-Van Heusen 63 1,960 Urban Outfitters Inc. (b) 2 59 2,019 Auto Parts & Equipment - 0.1% Johnson Controls Inc. 2 143 Beverages - 1.3% Molson Coors Brewing Co. (l) 44 2,784 Building Materials - 1.9% Martin Marietta Materials Inc. 25 1,969 Texas Industries Inc. 40 2,176 4,145 Chemicals - 2.8% Ashland Inc. 17 939 Potash Corp. 56 5,141 6,080 Commercial Services - 3.3% Career Education Corp. (b) 82 2,925 Global Cash Access Inc. (b) (l) 57 804 Service Corp. 120 993 Universal Technical Institute Inc. (b) 42 1,482 Wright Express Corp. (b) 46 994 7,198 Computers - 0.9% Openwave Systems Inc. (b) (l) 22 387 SanDisk Corp. (b) 31 1,481 1,868 Distribution & Wholesale - 0.6% CDW Corp. 24 1,408 Diversified Financial Services - 2.1% Calamos Asset Management Inc. 81 1,993 Greenhill & Co. Inc. (l) 36 1,518 Lazard Ltd. - Class A 42 1,070 4,581 Electric - 0.4% Reliant Energy Inc. (b) 50 769 Electrical Components & Equipment - 1.1% Nvidia Corp. (b) 67 2,307 Electronics - 1.4% Agilent Technologies Inc. (b) 15 485 Flir Systems Inc. (b) (l) 1 35 Symbol Technologies Inc. 192 1,863 Trimble Navigation Ltd. (b) 17 577 2,960 Engineering & Construction - 1.2% Fluor Corp. 36 2,318 Grupo Aeroportuario del Sureste SA de CV 6 223 2,541 Entertainment - 0.3% Sportingbet Plc (b) 101 559 Food - 3.0% Safeway Inc. 258 6,600 Healthcare - 2.4% CR Bard Inc. 2 112 Cytyc Corp. (b) 173 4,648 Health Net Inc. (b) 9 430 WebMD Health Corp. - Class A (b) - 10 5,200 Holding Companies - Diversified - 0.1% Sinochem Hong Kong Holding Ltd. (b) 1,079 189 Home Furnishings - 7.2% Harman International Industries Inc. 153 15,688 Internet - 2.4% Arbinet-thexchange Inc. (b) 261 1,880 Cogent Communications Group Inc. (b) (l) 22 105 eBay Inc. (b) 23 927 Google Inc. - Class A (b) 7 2,233 Homestore Inc. (b) 2 7 5,152 Leisure Time - 1.2% Royal Caribbean Cruises Ltd. (l) 59 2,557 Lodging - 0.6% Las Vegas Sands Corp. (b) (l) 43 1,399 Machinery - 0.9% Flowserve Corp. (b) 56 2,036 Manufacturing - 2.1% Eastman Kodak Co. (l) 170 4,124 Smiths Group Plc 31 523 4,647 Media - 1.3% DreamWorks Animation SKG Inc. (b) 16 443 Salem Communications Corp. - Class A (b) 128 2,365 2,808 Mining - 1.4% Novelis Inc. 139 2,973 Oil & Gas Producers - 2.8% Goodrich Petroleum Corp. (b) 73 1,720 Tesoro Corp. 64 4,330 6,050 Oil & Gas Services - 8.9% Grant Prideco Inc. (b) (l) 92 3,724 Halliburton Co. 21 1,446 National Oilwell Varco Inc. (b) 111 7,315 SEACOR Holdings Inc. (b) 26 1,902 Weatherford International Ltd. (b) 72 4,964 19,351 Packaging & Containers - 0.3% Pactiv Corp. (b) 32 552 Pharmaceuticals - 1.6% Neurocrine Biosciences Inc. (b) (l) 72 3,529 Retail - 6.0% Aeropostale Inc. (b) 67 1,432 Blockbuster Inc. - Class A (l) 17 78 Electronics Boutique Holdings Corp. (b) 23 1,414 Gamestop Corp. (b) (l) 15 466 Knoll Inc. 143 2,630 PEP Boys-Manny Moe & Jack 168 2,329 Tiffany & Co. 117 4,633 12,982 Semiconductors - 0.7% Silicon Laboratories Inc. (b) (l) 48 1,444 Software - 2.3% Research In Motion Ltd. (b) 72 4,952 Telecommunications - 12.3% Andrew Corp. (b) 87 971 Citizens Communications Co. 251 3,396 EchoStar Communications Corp. 64 1,878 Essex Corp. (b) 26 557 Philippine Long Distance Telephone Co. - ADR (l) 72 2,198 Sprint Nextel Corp. 751 17,849 26,849 Telecommunications Equipment - 4.5% Comverse Technology Inc. (b) 67 1,768 Harris Corp. 57 2,391 Juniper Networks Inc. (b) 68 1,622 Network Appliance Inc. (b) 5 119 Nokia OYJ - Class A - ADR 237 4,004 9,904 Transportation - 2.0% Diana Shipping Inc. (l) 75 1,241 DryShips Inc. (l) 35 594 Horizon Lines Inc. - Class A (b) 52 560 Norfolk Southern Corp. 48 1,951 4,346 Wireless Telecommunications - 7.3% American Tower Corp. 270 6,732 Crown Castle International Corp. 103 2,542 Hutchison Telecommunications International Ltd. (b) 211 4,556 Motorola Inc. 91 2,008 15,838 Total Common Stocks (cost $190,269) 212,113 Short Term Investments - 15.6% Money Market Funds - 3.3% Dreyfus Cash Management Plus Fund, 3.64% (a) 7,109 7,109 Securities Lending Collateral - 12.3% Mellon GSL Delaware Business Trust Collateral Fund 26,835 26,835 Total Short Term Investments (cost $33,944) 33,944 Total Investments - 112.9% (cost $224,213) 246,057 Other Assets and Liabilities, Net - (12.9%) (28,209) Total Net Assets - 100% $217,848 JNL/Franklin Templeton Small Cap Value Fund Common Stocks - 79.8% Airlines - 1.3% Skywest Inc. 35 $928 Apparel - 1.6% Gymboree Corp. (b) 36 491 Russell Corp. 16 225 Timberland Co. - Class A (b) 13 439 1,155 Auto Manufacturers - 1.5% Wabash National Corp. 49 967 Auto Parts & Equipment - 0.7% Superior Industries International (l) 21 456 Banks - 0.7% Chemical Financial Corp. 10 332 Peoples Bancorp. Inc. 4 102 434 Building Materials - 1.4% Apogee Enterprises Inc. 28 472 Genlyte Group Inc. (b) 10 471 943 Chemicals - 5.3% Airgas Inc. 30 898 Cabot Corp. 31 1,010 RPM International Inc. 44 800 Westlake Chemical Corp. 29 791 3,499 Commercial Services - 0.7% ABM Industries Inc. 7 137 Dollar Thrifty Automotive Group (b) 10 343 480 Distribution & Wholesale - 1.6% Hughes Supply Inc. 32 1,043 Diversified Financial Services - 0.1% National Financial Partners Corp. 1 45 Electric - 0.9% Sierra Pacific Resources (b) 39 578 Electrical Components & Equipment - 0.3% Powell Industries Inc. (b) 8 182 Electronics - 0.5% Watts Water Technologies Inc. 11 314 Engineering & Construction - 0.6% EMCOR Group Inc. (b) 7 403 Entertainment - 0.8% Intrawest Corp. 18 502 Environmental Control - 1.2% Mine Safety Appliances Co. 21 801 Forest Products & Paper - 1.4% Glatfelter 38 531 Mercer International Inc. (b) (l) 47 391 922 Hand & Machine Tools - 1.3% Baldor Electric Co. - 3 Kennametal Inc. 18 883 886 Healthcare - 1.6% STERIS Corp. 25 604 West Pharmaceutical Services Inc. 16 469 1,073 Home Builders - 2.0% M/I Homes Inc. 11 613 Monaco Coach Corp. 50 733 1,346 Home Furnishings - 3.3% American Woodmark Corp. 7 232 Bassett Furniture Industries Inc. 18 328 Ethan Allen Interiors Inc. (l) 20 627 Hooker Furniture Corp. 21 346 La-Z-Boy Inc. (l) 51 677 2,210 Household Products - 0.7% Russ Berrie & Co. Inc. 33 472 Insurance - 6.6% Aspen Insurance Holdings Ltd. 42 1,241 IPC Holdings Ltd. 29 940 Montpelier Re Holdings Ltd. (l) 44 1,091 RLI Corp. 12 555 Stancorp Financial Group Inc. 6 514 4,341 Internet - 0.9% Avocent Corp. (b) 19 589 Iron & Steel - 4.8% Gibraltar Industries Inc. 29 668 Global Industries Ltd. (b) 28 413 Reliance Steel & Aluminum Co. 17 884 Steel Dynamics Inc. (l) 35 1,189 3,154 Leisure Time - 1.7% Thor Industries 33 1,136 Lodging - 1.7% Aztar Corp. (b) 21 635 La Quinta Corp. (b) 55 478 1,113 Machinery - 4.7% Briggs & Stratton Corp. 31 1,072 CNH Global NV 13 256 Graco Inc. 27 926 JLG Industries Inc. (l) 15 542 Nordson Corp. 8 285 3,081 Manufacturing - 6.9% AO Smith Corp. 12 353 Aptargroup Inc. 9 448 Carlisle Cos. Inc. (l) 6 394 CIRCOR International Inc. 19 519 Lancaster Colony Corp. 5 194 Mettler Toledo International Inc. (b) 13 653 Teleflex Inc. 9 627 York International Corp. 25 1,407 4,595 Metal Fabrication & Hardware - 2.4% Mueller Industries Inc. 54 1,486 Timken Co. (l) 4 130 1,616 Oil & Gas Producers - 0.4% Atwood Oceanics Inc. (b) 4 295 Oil & Gas Services - 3.1% Lone Star Technologies Inc. (b) 14 767 Oil States International Inc. (b) 14 508 Tidewater Inc. (l) 16 754 2,029 Pharmaceuticals - 1.2% Adams Respiratory Therapeutics Inc. (b) 1 32 NBTY Inc. (b) 32 745 777 Real Estate - 0.8% Arbor Realty Trust Inc. 18 497 Retail - 8.3% Brown Shoe Co. Inc. 22 726 Casey's General Stores Inc. 20 455 Christopher & Banks Corp. 41 566 Dillard's Inc. - Class A 24 507 Linens 'n Things Inc. (b) 12 326 Men's Wearhouse Inc. (b) 16 425 Pier 1 Imports Inc. (l) 50 566 Regis Corp. 22 832 West Marine Inc. (b) 54 800 Zale Corp. (b) 12 315 5,518 Savings & Loans - 1.6% First Indiana Corp. 7 245 HOT Topic Inc. (b) 54 826 1,071 Semiconductors - 0.7% Cohu Inc. 20 475 Software - 0.9% Reynolds & Reynolds Co. - Class A (l) 21 565 Telecommunications - 1.5% Omnivision Technologies Inc. (b) (l) 78 979 Transportation - 2.1% Genesee & Wyoming Inc. - Class A (b) 4 114 Kansas City Southern (b) 19 431 Offshore Logistics Inc. (b) 8 289 OMI Corp. 15 273 Overseas Shipholding Group 5 303 1,410 Total Common Stocks (cost $48,945) 52,880 Short Term Investments - 31.8% Money Market Funds - 9.9% Dreyfus Cash Management Plus Fund, 3.64% (a) 3,284 3,284 Dreyfus Government Cash Management, 3.55% (a) 3,284 3,284 6,568 Repurchase Agreement - 11.2% Repurchase Agreement with Mellon Trust, 0.40%, (Collateralized by $12,662 Federal Home Loan Mortgage Corporation, 3.50%, due 06/15/23, Market value $11,818) acquired on 09/30/05, due 10/01/05 at $7,409 7,409 7,409 Securities Lending Collateral - 10.7% Mellon GSL Delaware Business Trust Collateral Fund 7,068 7,068 Total Short Term Investments (cost $21,045) 21,045 Total Investments - 111.6% (cost $69,990) 73,925 Other Assets and Liabilities, Net - (11.6%) (7,689) Total Net Assets - 100% $66,236 JNL/Goldman Sachs Mid Cap Value Fund Common Stocks - 95.1% Advertising - 1.0% Lamar Advertising Co. (b) 19 $862 Aerospace & Defense - 2.5% Alliant Techsystems Inc. (b) 13 993 Rockwell Collins Inc. 22 1,065 2,058 Agriculture - 0.7% Agrium Inc. 24 535 Auto Parts & Equipment - 1.1% Autoliv Inc. 10 414 Lear Corp. 13 431 845 Banks - 7.2% Commerce Bancshares Inc. 7 368 FirstMerit Corp. 26 689 KeyCorp (l) 22 722 M&T Bank Corp. (l) 14 1,507 Northern Trust Corp. 18 902 Zions Bancorp. 20 1,457 5,645 Beverages - 0.5% Pepsi Bottling Group Inc. 13 375 Biotechnology - 1.2% Charles River Laboratories International Inc. (b) 21 919 Building Materials - 1.5% American Standard Cos. Inc. 26 1,190 Chemicals - 1.2% Chemtura Corp. 22 274 Rohm & Haas Co. 17 680 954 Commercial Services - 1.0% BearingPoint Inc. (b) (l) 103 785 Distribution & Wholesale - 2.3% CDW Corp. (l) 8 484 Ingram Micro Inc.- Class A (b) 34 635 Tech Data Corp. 18 667 1,786 Diversified Financial Services - 4.5% Bear Stearns Cos. Inc. 11 1,191 CIT Group Inc. 27 1,219 iStar Financial Inc. 29 1,157 3,567 Electric - 9.9% CMS Energy Corp. (b) 12 191 Edison International Inc. 31 1,465 Entergy Corp. 21 1,576 FirstEnergy Corp. 10 500 PG&E Corp. (l) 40 1,583 PPL Corp 51 1,663 Public Service Enterprise Group Inc. 3 197 Wisconsin Energy Corp. 15 611 7,786 Electrical Components & Equipment - 0.4% PNM Resources Inc. 12 332 Electronics - 1.4% Amphenol Corp. - Class A 6 254 Republic Services Inc. Class A 24 850 1,104 Food - 2.2% Archer-Daniels-Midland Co. 32 801 Smithfield Foods Inc. (b) (l) 30 892 1,693 Forest Products & Paper - 1.5% Plum Creek Timber Co. Inc. 31 1,176 Gas - 1.8% AGL Resources Inc. 32 1,176 Energen Corp. 5 231 1,407 Hand & Machine Tools - 0.8% Stanley Works 13 628 Healthcare - 3.2% Apria Healthcare Group Inc. 24 778 Health Net Inc. (b) 26 1,210 WebMD Corp. (b) 48 531 2,519 Home Builders - 1.9% Lennar Corp. 25 1,518 Household Products - 1.3% Clorox Co. 18 1,005 Insurance - 7.7% AMBAC Financial Group Inc. 20 1,429 Everest Re Group Ltd. 11 1,107 PartnerRe Ltd. 11 722 PMI Group Inc. (l) 15 594 RenaissanceRe Holdings Ltd. 16 702 Torchmark Corp. 18 928 Willis Group Holdings Ltd. 15 556 6,038 Internet - 0.7% Avocent Corp. (b) 18 560 Investment Companies - 0.4% American Capital Strategies Ltd. 9 345 Iron & Steel - 0.6% Allegheny Technologies Inc. 8 240 Carpenter Technology Corp. 3 199 439 Lodging - 1.6% Harrah's Entertainment Inc. 19 1,229 Machinery - 1.3% Zebra Technologies Corp (b) 26 1,009 Manufacturing - 2.0% Carlisle Cos. Inc. 8 515 Cooper Industries Ltd. - Class A 15 1,029 1,544 Media - 1.8% Dow Jones & Co. Inc. (l) 37 1,412 Office & Business Equipment - 0.5% Xerox Corp. (b) 28 381 Oil & Gas Producers - 6.9% EOG Resources Inc. 31 2,357 Frontier Oil Corp. 11 473 Noble Energy Inc. 35 1,661 Range Resources Corp. 24 932 5,423 Oil & Gas Services - 2.8% BJ Services Co. 44 1,580 Teekay Shipping Corp. (l) 15 635 2,215 Packaging & Containers - 1.8% Newell Rubbermaid Inc. (l) 42 952 Packaging Corp. (l) 25 494 1,446 Pharmaceuticals - 1.7% Medimmune Inc. (b) 39 1,324 Pipelines - 2.8% Western Gas Resources Inc. 12 596 Williams Cos. Inc. 65 1,619 2,215 Real Estate - 3.9% Apartment Investment & Management Co. 25 965 Developers Divers Realty Corp. (l) 20 919 Equity Residential 11 408 Healthcare Realty Trust Inc. 5 204 Prentiss Properties Trust 14 555 3,051 Retail - 4.8% Federated Department Stores Inc. 23 1,547 JC Penney Corp. Inc. 26 1,219 Ross Stores Inc. 20 470 Talbots Inc. 18 542 3,778 Semiconductors - 0.8% Freescale Semiconductor Inc. (b) 15 357 Tessera Technologies Inc. (b) 10 310 667 Software - 1.0% Activision Inc. (b) 38 771 Textiles - 1.3% Mohawk Industries Inc. (b) 13 1,062 Tobacco - 0.8% Reynolds American Inc (l) 8 657 Transportation - 0.8% Norfolk Southern Corp. 16 634 Total Common Stocks (cost $69,274) 74,889 Short Term Investments - 10.0% Money Market Funds - 4.1% Dreyfus Cash Management Plus Fund, 3.64% (a) 3,237 3,237 Securities Lending Collateral - 5.9% Mellon GSL Delaware Business Trust Collateral Fund 4,622 4,622 Total Short Term Investments (cost $7,859) 7,859 Total Investments - 105.1% (cost $77,133) 82,748 Other Assets and Liabilities, Net - (5.1%) (4,037) Total Net Assets - 100% $78,711 JNL/JPMorgan International Equity Fund Common Stocks - 99.4% Advertising - 1.0% WPP Group Plc 177 $1,800 Auto Manufacturers - 3.1% Bayerische Motoren Werke AG 60 2,799 Honda Motor Co. Ltd. 51 2,884 5,683 Banks - 18.9% ABN AMRO Holding NV 99 2,371 Banco Popular Espanol SA 203 2,470 Bank of Ireland 96 1,524 Barclays Plc 302 3,054 BNP Paribas 38 2,913 Dexia 99 2,225 HSBC Holdings PLC 343 5,577 Mitsubishi UFJ Financial Group Inc. (l) - 4,436 Royal Bank of Scotland Group Plc 96 2,719 Standard Chartered Plc 103 2,230 UBS AG 47 3,995 UniCredito Italiano SpA 335 1,890 35,404 Beverages - 0.9% Fomento Economico Mexicano SA de CV - ADR 22 1,510 Building Materials - 5.1% Cie de Saint-Gobain 51 2,918 Daikin Industries Ltd. 57 1,516 Holcim Ltd. 39 2,558 Imerys SA 13 933 Lafarge SA (l) 20 1,772 9,697 Chemicals - 2.7% BASF AG 20 1,468 Nitto Denko Corp. 34 1,931 Shin-Etsu Chemical Co. Ltd. 38 1,635 5,034 Commercial Services - 1.1% Adecco SA 46 2,103 Cosmetics & Personal Care - 0.7% Kao Corp. 55 1,354 Distribution & Wholesale - 4.9% Esprit Holdings Ltd. 127 950 Mitsubishi Corp. 124 2,441 Sumitomo Corp. 244 2,575 Wolseley Plc 158 3,352 9,318 Diversified Financial Services - 3.1% Credit Saison Co. Ltd. 40 1,759 Fortis 55 1,600 Nikko Cordial Corp. 130 1,498 Takefuji Corp. (l) 14 1,063 5,920 Electric - 1.3% National Grid Plc 184 1,725 Sharp Corp. 56 811 2,536 Electrical Components & Equipment - 0.8% Fanuc Ltd. 18 1,488 Electronics - 5.3% Hirose Electric Co. Ltd. 8 921 Hoya Corp. 18 594 Hoya Corp. (b) 54 1,826 Koninklijke Philips Electronics NV 72 1,920 Matsushita Electric Industrial Co. Ltd. 75 1,270 Samsung Electronics Co. Ltd. 4 1,181 Samsung Electronics Co. Ltd. - GDR (e) 3 711 Secom Co. Ltd. 31 1,491 9,914 Food - 5.0% Nestle SA 12 3,642 Tesco Plc 645 3,523 WM Morrison Supermarkets Plc 726 2,277 9,442 Gas - 2.8% BG Group Plc 365 3,466 Centrica Plc 412 1,786 5,252 Hand & Machine Tools - 1.2% Nidec Corp. (b) 12 662 SMC Corp. 12 1,544 2,206 Healthcare - 0.9% Smith & Nephew Plc 212 1,780 Home Furnishings - 0.8% Kingfisher Plc 391 1,488 Insurance - 3.3% AXA SA 96 2,642 ING Groep NV 60 1,773 Zurich Financial Services AG (b) 11 1,857 6,272 Lodging - 0.2% Intercontinental Hotels Group Plc 32 408 Manufacturing - 1.1% Siemens AG 28 2,120 Media - 2.1% Mediaset SpA 79 930 Reed Elsevier NV 114 1,576 Wolters Kluwer NV 80 1,496 4,002 Mining - 3.1% BHP Billiton Ltd. 141 2,394 Cia Vale do Rio Doce - ADR 81 3,531 5,925 Office & Business Equipment - 1.6% Canon Inc. 57 3,100 Oil & Gas Producers - 8.4% ENI SpA 236 7,006 Total SA 33 8,916 15,922 Pharmaceuticals - 9.2% Astellas Pharma Inc. 63 2,358 Chugai Pharmaceutical Co. Ltd. 45 860 GlaxoSmithKline Plc 210 5,334 Novartis AG 73 3,714 Roche Holding AG 27 3,728 Schering AG 23 1,460 17,454 Real Estate - 1.0% British Land Co. Plc 116 1,932 Software - 1.7% Dassault Systemes SA 30 1,557 SAP AG 9 1,561 3,118 Telecommunications Equipment - 2.5% Nokia OYJ 156 2,621 Telefonaktiebolaget LM Ericsson - Class B 587 2,144 4,765 Tobacco - 1.0% Altadis SA 43 1,945 Toys & Hobbies - 0.6% Nintendo Co. Ltd. 10 1,131 Transportation - 0.9% Deutsche Post AG 73 1,717 Wireless Telecommunications - 3.1% Vodafone Airtouch Plc 2,260 5,880 Total Common Stocks (cost $169,811) 187,620 Short Term Investments - 18.4% Money Market Funds - 0.7% Dreyfus Cash Management Plus Fund, 3.64% (a) 1,360 1,360 Securities Lending Collateral - 17.7% Mellon GSL Delaware Business Trust Collateral Fund 33,462 33,462 Total Short Term Investments (cost $34,822) 34,822 Total Investments - 117.8% (cost $204,633) 222,442 Other Assets and Liabilities, Net - (17.8%) (33,683) Total Net Assets - 100% $188,759 JNL/JPMorgan International Value Fund Common Stocks - 97.8% Aerospace & Defense - 1.3% BAE Systems Plc 437 $2,650 Agriculture - 2.1% Japan Tobacco Inc. - 4,163 Auto Manufacturers - 5.9% DaimlerChrysler AG 75 3,997 Honda Motor Co. Ltd. 43 2,426 Toyota Motor Corp. 123 5,625 12,048 Banks - 20.9% Alpha Bank AE 74 2,089 Australia & New Zealand Banking Group Ltd. 175 3,196 Banca Intesa SpA 276 1,288 Barclays Plc 529 5,346 BNP Paribas 41 3,147 Deutsche Bank AG 55 5,181 HSBC Holdings PLC 399 6,458 Kookmin Bank - ADR 42 2,465 Mitsubishi UFJ Financial Group Inc. - 4,744 Royal Bank of Scotland Group Plc 168 4,769 UniCredito Italiano SpA 676 3,812 42,495 Chemicals - 2.2% Bayer AG 121 4,440 Distribution & Wholesale - 4.4% Itochu Corp. 477 3,282 Koninklijke Wessanen NV 63 1,072 Mitsui & Co. Ltd. 220 2,754 Wolseley Plc 82 1,727 8,835 Diversified Financial Services - 3.8% Daiwa Securities Group Inc. 426 3,329 Societe Generale - Class A 38 4,308 7,637 Electric - 4.2% Iberdrola SA 124 3,469 International Power Plc (b) 756 3,315 National Grid Plc 195 1,831 8,615 Electrical Components & Equipment - 2.3% Mitsubishi Electric Corp. 444 2,843 Samsung Electronics Co. Ltd. 3 1,857 4,700 Electronics - 1.3% Koninklijke Philips Electronics NV 102 2,717 Engineering & Construction - 1.2% Shimizu Corp. 380 2,487 Entertainment - 1.0% OPAP SA 64 1,994 Food - 2.4% Cadbury Schweppes Plc 234 2,357 Tesco Plc 478 2,608 4,965 Holding Companies - Diversified - 2.2% Compagnie Financiere Richemont AG 102 4,053 Swire Pacific Ltd. 55 507 4,560 Insurance - 7.5% Aviva Plc 221 2,426 AXA SA 195 5,349 ING Groep NV 185 5,503 Zurich Financial Services AG (b) 11 1,919 15,197 Iron & Steel - 2.8% Arcelor 112 2,617 Cia Vale do Rio Doce - ADR 81 3,145 5,762 Machinery - 4.6% Atlas Copco AB - Class A 142 2,749 Kubota Corp. 629 4,355 Metso Oyj 84 2,140 9,244 Manufacturing - 4.1% E.ON AG 64 5,883 Konica Minolta Holdings Inc. (l) 277 2,518 8,401 Oil & Gas Producers - 12.9% BP Plc 710 8,437 ENI SpA 163 4,838 LUKOIL Holdings - ADR 46 2,681 Petroleo Brasileiro SA - ADR 47 3,009 Total SA 26 7,149 26,114 Pharmaceuticals - 1.0% Daiichi Sankyo Co. Ltd. (b) 97 1,985 Real Estate - 1.4% Sun Hung Kai Properties Ltd. 266 2,755 Telecommunications - 3.0% Magyar Telekom Rt (l) 77 1,983 Royal KPN NV 260 2,327 Telefonica SA 103 1,684 5,994 Tobacco - 2.2% British American Tobacco Plc 210 4,414 Transportation - 1.8% Central Japan Railway Co. - 1,962 Deutsche Post AG 70 1,629 3,591 Wireless Telecommunications - 1.3% NTT DoCoMo Inc. (l) 2 2,690 Total Common Stocks (cost $172,810) 198,453 Short Term Investments - 22.1% Money Market Funds - 1.8% Dreyfus Cash Management Plus Fund, 3.64% (a) 3,697 3,697 Securities Lending Collateral - 20.3% Mellon GSL Delaware Business Trust Collateral Fund 41,269 41,269 Total Short Term Investments (cost $44,966) 44,966 Total Investments - 119.9% (cost $217,776) 243,419 Other Assets and Liabilities, Net - (19.9%) (40,472) Total Net Assets - 100% $202,947 JNL/Lazard Mid Cap Value Fund Common Stocks - 95.9% Advertising - 3.5% Dex Media Inc. (l) 272 $7,562 Airlines - 1.2% Southwest Airlines Co. (l) 178 2,645 Apparel - 3.1% Foot Locker Inc. 140 3,078 Liz Claiborne Inc. 97 3,814 6,892 Auto Parts & Equipment - 1.7% Lear Corp. (l) 111 3,771 Banks - 3.9% AmSouth Bancorp. (l) 84 2,119 City National Corp. 28 1,991 Mercantile Bankshares Corp. 38 2,042 North Fork Bancorp. Inc 96 2,448 8,600 Beverages - 1.9% Pepsi Bottling Group Inc. 145 4,145 Chemicals - 2.8% Cabot Corp. 44 1,466 Celanese Corp. - Class A 168 2,898 Rohm & Haas Co. 46 1,896 6,260 Commercial Services - 3.5% Aramark Corp. 184 4,920 Service Corp. 339 2,813 7,733 Computers - 1.7% DST Systems Inc. (b) 69 3,800 Distribution & Wholesale - 3.4% CDW Corp. 58 3,441 Ingram Micro Inc.- Class A (b) 216 4,003 7,444 Diversified Financial Services - 2.3% Federated Investors Inc. - Class B 91 3,027 First Marblehead Corp. (l) 81 2,057 5,084 Electronics - 4.2% Arrow Electronics Inc. (b) 120 3,766 Republic Services Inc. Class A 67 2,368 Vishay Intertechnology Inc. (b) 261 3,120 9,254 Entertainment - 1.8% GTECH Holdings Corp. 125 3,991 Forest Products & Paper - 4.1% Louisiana-Pacific Corp. 169 4,677 Temple-Inland Inc. 109 4,449 9,126 Hand & Machine Tools - 1.6% Stanley Works 73 3,422 Healthcare - 2.0% Laboratory Corp of America Holdings (b) 91 4,447 Household Products - 1.5% Fortune Brands Inc. 42 3,400 Insurance - 9.0% Jefferson-Pilot Corp. 89 4,544 MGIC Investment Corp. (l) 54 3,486 PartnerRe Ltd. 18 1,121 Protective Life Corp. 134 5,510 RenaissanceRe Holdings Ltd. 50 2,173 Willis Group Holdings Ltd. 82 3,060 19,894 Internet - 1.4% Expedia Inc. (b) 151 2,989 Leisure Time - 1.6% Royal Caribbean Cruises Ltd. (l) 80 3,469 Manufacturing - 1.8% Dover Corp. 98 4,001 Media - 4.8% Belo Corp. 183 4,188 Westwood One Inc. 325 6,466 10,654 Oil & Gas Producers - 1.2% GlobalSantaFe Corp. 57 2,578 Oil & Gas Services - 2.9% Baker Hughes Inc. 45 2,656 BJ Services Co. (l) 104 3,757 6,413 Packaging & Containers - 4.2% Ball Corp. 106 3,880 Newell Rubbermaid Inc. (l) 151 3,429 Pactiv Corp. (b) 116 2,027 9,336 Pipelines - 1.3% Williams Cos. Inc. 118 2,951 Real Estate - 2.3% Health Care Property Investors Inc. 107 2,885 Trizec Properties Inc. (l) 94 2,177 5,062 Retail - 5.5% Brinker International Inc. (b) 69 2,588 Dollar Tree Stores Inc. (b) (l) 182 3,936 MSC Industrial Direct Co. - Class A (l) 28 939 Pier 1 Imports Inc. (l) 229 2,580 Sears Holdings Corp. (b) 16 1,998 12,041 Savings & Loans - 1.1% Hudson City Bancorp. Inc. 205 2,437 Software - 1.6% BEA Systems Inc. (b) 401 3,604 Telecommunications - 7.9% Alltel Corp. 43 2,775 Avaya Inc. (b) 510 5,254 Citizens Communications Co. 327 4,424 PanAmSat Holding Corp. 147 3,562 Polycom Inc. (b) 81 1,308 17,323 Transportation - 5.1% CNF Inc. 63 3,318 Laidlaw International Inc. 130 3,140 Norfolk Southern Corp. 119 4,814 11,272 Total Common Stocks (cost $199,185) 211,600 Short Term Investments - 16.3% Money Market Funds - 4.4% Dreyfus Cash Management Plus Fund, 3.64% (a) 9,674 9,674 Securities Lending Collateral - 11.9% Mellon GSL Delaware Business Trust Collateral Fund 26,202 26,202 Total Short Term Investments (cost $35,876) 35,876 Total Investments - 112.2% (cost $235,061) 247,476 Other Assets and Liabilities, Net - (12.2%) (26,935) Total Net Assets - 100% $220,542 JNL/Lazard Small Cap Value Fund Common Stocks - 98.5% Advertising - 2.5% Advo Inc. 68 $2,125 RH Donnelley Corp. (b) 30 1,872 Ventiv Health Inc. (b) 38 999 4,996 Aerospace & Defense - 2.1% DRS Technologies Inc. 28 1,372 Engineered Support Systems Inc. 24 1,002 Esterline Technologies Corp. (b) 47 1,769 4,143 Agriculture - 0.6% Delta & Pine Land Co. 45 1,199 Airlines - 1.0% Airtran Holdings Inc. (b) (l) 150 1,904 Apparel - 0.7% Timberland Co. - Class A (b) 44 1,473 Auto Manufacturers - 0.7% Wabash National Corp. 72 1,423 Auto Parts & Equipment - 0.1% Rush Enterprises Inc. - Class A (b) 14 211 Banks - 7.5% Bank of the Ozarks Inc. (l) 50 1,730 Boston Private Financial Holdings Inc. 40 1,048 First Community Bancorp. Inc. 28 1,354 First Midwest Bancorp Inc. 36 1,322 MB Financial Inc. 50 1,937 Provident Bankshares Corp. 30 1,054 South Financial Group Inc. 30 813 Sterling Bancshares Inc. 93 1,364 Texas Regional Bancshares Inc. - Class A 68 1,966 Umpqua Holdings Corp. 55 1,330 United Bankshares Inc. 26 919 14,837 Building Materials - 0.4% Texas Industries Inc. 15 800 Chemicals - 2.4% Olin Corp. 75 1,420 PolyOne Corp. (b) 174 1,056 Spartech Corp 50 969 Westlake Chemical Corp. 49 1,322 4,767 Commercial Services - 5.3% Alderwoods Group Inc. (b) 43 708 Arbitron Inc. 43 1,725 BearingPoint Inc. (b) 19 146 Learning Tree International Inc. (b) 98 1,288 MPS Group Inc. (b) 157 1,847 United Rentals Inc. (b) (l) 79 1,563 Watson Wyatt & Co. Holdings 63 1,709 Wright Express Corp. (b) 71 1,535 10,521 Computers - 1.5% BISYS Group Inc. (b) 99 1,334 Dot Hill Systems Corp. (b) 238 1,602 2,936 Cosmetics & Personal Care - 0.2% Candela Corp. (b) 37 363 Distribution & Wholesale - 1.0% WESCO International Inc. (b) 60 2,039 Diversified Financial Services - 1.5% Assured Guaranty Ltd. 68 1,620 Financial Federal Corp. 32 1,254 2,874 Electric - 0.9% Cleco Corp. 79 1,851 Electrical Components & Equipment - 1.1% C-COR Inc. (b) 186 1,258 CommScope Inc. (b) 52 900 2,158 Electronics - 4.0% Benchmark Electronics Inc. (b) 68 2,039 Coherent Inc. (b) 58 1,689 Photon Dynamics Inc. (b) 62 1,182 Rogers Corp. (b) 44 1,707 TTM Technologies Inc. (b) 178 1,272 7,889 Entertainment - 0.3% Carmike Cinemas Inc. 29 668 Environmental Control - 1.2% Tetra Tech Inc. (b) 83 1,399 Waste Connections Inc. (b) 28 993 2,392 Food - 0.9% Performance Food Group Co. (b) 57 1,793 Gas - 1.0% AGL Resources Inc. 26 976 New Jersey Resources Corp. 22 1,002 1,978 Hand & Machine Tools - 1.6% Kennametal Inc. 32 1,584 Regal-Beloit Corp. 49 1,599 3,183 Healthcare - 6.1% Advanced Medical Optics Inc. (b) 45 1,700 AMERIGROUP Corp. (b) 52 992 Gentiva Health Services Inc. (b) 19 352 Hanger Orthopedic Group Inc. (b) 157 1,211 Kindred Healthcare Inc. (b) 63 1,883 LifePoint Hospitals Inc. (b) 51 2,235 PSS World Medical Inc. (b) 118 1,569 Symmetry Medical Inc. (b) 86 2,033 11,975 Home Builders - 0.6% Levitt Corp. - Class A 52 1,202 Household Products - 1.0% Fossil Inc. (b) 54 979 Scotts Miracle-Gro Co. 12 1,046 2,025 Insurance - 2.5% Arch Capital Group Ltd. (b) 41 2,013 Bristol West Holdings Inc. 88 1,613 Scottish Re Group Ltd. 56 1,323 4,949 Internet - 1.8% Avocent Corp. (b) 49 1,535 Secure Computing Corp. (b) 90 1,019 WebEx Communications Inc. (b) 40 990 3,544 Iron & Steel - 3.3% Cleveland-Cliffs Inc. (l) 23 1,960 Oregon Steel Mills Inc. (b) 85 2,363 Steel Dynamics Inc. 62 2,102 6,425 Leisure Time - 1.5% Alliance Gaming Corp. (b) (l) 151 1,635 WMS Industries Inc. (b) (l) 48 1,339 2,974 Machinery - 0.6% Middleby Corp. 16 1,138 Manufacturing - 3.0% Acuity Brands Inc. 31 926 Dresser-Rand Group Inc. (b) 86 2,106 Federal Signal Corp. 56 954 Matthews International Corp. - Class A 26 967 RBC Bearings Inc. (b) 59 935 5,888 Media - 1.9% Journal Register Co. 105 1,701 Liberty Corp. 42 1,965 3,666 Metal Fabrication & Hardware - 0.8% Ladish Co. Inc. (b) 36 624 Maverick Tube Corp. (b) 26 792 NS Group Inc. (b) 5 184 1,600 Mining - 1.4% RTI International Metals Inc. (b) 71 2,774 Office Furnishings - 0.5% Herman Miller Inc. 30 921 Oil & Gas Producers - 4.5% Brigham Exploration Co. (b) (l) 136 1,748 Denbury Resources Inc. (b) 22 1,100 Energy Partners Ltd. (b) 51 1,583 Grey Wolf Inc. (b) (l) 178 1,504 Range Resources Corp. 37 1,444 Todco - Class A (b) 38 1,589 8,968 Oil & Gas Services - 3.1% Forest Oil Corp. (b) (l) 23 1,193 Key Energy Services Inc. (b) 130 1,925 Oil States International Inc. (b) 42 1,525 Veritas DGC Inc. (b) 39 1,428 6,071 Pharmaceuticals - 3.6% BioScrip Inc. (b) 200 1,301 Connetics Corp. (b) 82 1,382 First Horizon Pharmaceutical Corp. (b) 71 1,403 KV Pharmaceutical Co. - Class A (b) 50 883 Taro Pharmaceutical Industries Ltd. (b) (l) 80 2,064 7,033 Pipelines - 0.8% Kinder Morgan Management LLC (b) 34 1,676 Real Estate - 4.5% Alexandria Real Estate Equites Inc. 21 1,695 BioMed Realty Trust Inc. 40 994 Brandywine Realty Trust 39 1,197 Capital Automotive Reit 34 1,297 Cousins Properties Inc. 33 988 Lexington Corporate Properties Trust 47 1,109 Mills Corp. 15 843 Prentiss Properties Trust 18 731 8,854 Retail - 3.3% CBRL Group Inc. 26 858 CSK Auto Corp. (b) 25 368 Dick's Sporting Goods Inc. (b) (l) 46 1,394 Finish Line - Class A 56 814 Knoll Inc. 55 1,007 Petco Animal Supplies Inc. (b) 36 768 Rare Hospitality International Inc. (b) 21 540 Sotheby's Holdings - Class A (b) 40 670 6,419 Savings & Loans - 1.0% Bankunited Financial Corp. - Class A 83 1,896 MAF Bancorp Inc. 4 160 2,056 Semiconductors - 5.6% Actel Corp. (b) 105 1,523 ADE Corp. (b) 37 836 Brooks Automation Inc. (b) 72 957 ChipMOS Technologies Bermuda Ltd. (b) (l) 177 1,219 Exar Corp. (b) 129 1,810 Integrated Device Technology Inc. (b) 221 2,376 Microsemi Corp. (b) 42 1,062 Zoran Corp. (b) 85 1,213 10,996 Software - 1.0% Agile Software Corp. (b) 74 529 Serena Software Inc. (b) 70 1,399 1,928 Telecommunications - 1.5% Polycom Inc. (b) 98 1,591 Wireless Facilities Inc. (b) 247 1,431 3,022 Telecommunications Equipment - 2.2% Applied Signal Technology Inc. 86 1,633 Oplink Communications Inc. (b) 187 285 SafeNet Inc. (b) 66 2,386 4,304 Transportation - 3.8% Genco Shipping & Trading Ltd. (b) 39 749 HUB Group Inc. - Class A (b) 39 1,417 OMI Corp. 143 2,563 Pacer International Inc. 77 2,024 Swift Transportation Co. Inc. (b) (l) 42 750 7,503 Total Common Stocks (cost $177,506) 194,309 Short Term Investments - 9.0% Money Market Funds - 1.6% Dreyfus Cash Management Plus Fund, 3.64% (a) 3,161 3,161 Securities Lending Collateral - 7.4% Mellon GSL Delaware Business Trust Collateral Fund 14,676 14,676 Total Short Term Investments (cost $17,837) 17,837 Total Investments - 107.5% (cost $195,343) 212,146 Other Assets and Liabilities, Net - (7.5%) (14,831) Total Net Assets - 100% $197,315 JNL/Mellon Capital Management Bond Index Fund Corporate Bonds - 25.6% Aerospace & Defense - 0.3% Lockheed Martin Corp., 8.50%, 12/01/29 75 $103 Northrop Grumman Corp., 7.75%, 03/01/16 150 182 Raytheon Co., 6.15%, 11/01/08 89 93 Raytheon Co., 5.375%, 04/01/13 100 102 United Technologies Corp., 6.35%, 03/01/11 75 81 United Technologies Corp., 6.70%, 08/01/28 50 58 619 Agriculture - 0.0% Bunge Ltd. Finance Corp., 5.35%, 04/15/14 75 75 Asset Backed Securities - 4.5% Americredit Automobile Receivables Trust, 3.67%, 06/08/09 500 498 Americredit Automobile Receivables Trust, 2.84%, 08/06/10 115 113 Banc of America Commercial Mortgage Inc., 5.118%, 07/11/43 150 152 Capital One Auto Trust, 3.18%, 09/15/10 250 246 Capital One Prime Auto Receivables Trust, 2.59%, 09/15/09 150 148 Chase Manhattan Bank-First Union National Bank, 7.44%, 08/15/31 50 54 Commercial Conduit Mortgage Trust, 6.48%, 02/18/30 196 202 Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 31 32 DLJ Commercial Mortgage Acceptance Corp., 6.46%, 03/10/32 50 52 DLJ Commercial Mortgage Acceptance Corp., 6.88%, 06/10/32 38 38 DLJ Commercial Mortgage Acceptance Corp., 6.93%, 11/10/33 81 83 First Boston Mortgage Securities Corp., 6.91%, 09/15/41 69 70 First Union Commercial Mortgage, 6.56%, 11/18/35 236 245 First Union NB-Bank of America, 6.136%, 03/15/33 301 317 First Union-Lehman Brothers Commercial Mortgage, 6.65%, 11/18/29 66 68 Fleet Credit Card Master Trust, 5.60%, 12/15/08 250 252 Greenwich Capital, 4.344%, 06/10/36 500 494 Household Automotive Trust, 2.31%, 04/17/08 231 230 Household Automotive Trust, 3.02%, 12/17/10 365 357 JPMorgan Chase, 4.45%, 01/12/38 400 392 JPMorgan Chase, 5.56%, 06/12/41 (g) 250 259 JPMorgan Chase Commercial Mortgage, 4.88%, 01/12/38 500 496 JPMorgan Chase Commercial Mortgage Finance Corp., 6.507%, 10/15/35 (g) 35 36 JPMorgan Chase Commercial Mortgage Securities, 5.822%, 05/12/34 250 258 LB Commercial Conduit Mortgage Trust, 6.41%, 06/15/31 80 81 LB Commercial Conduit Mortgage Trust, 6.78%, 06/15/31 223 236 LB-UBS Commercial Mortgage Trust, 5.401%, 03/15/26 74 74 LB-UBS Commercial Mortgage Trust, 3.85%, 05/15/27 (g) 250 237 LB-UBS Commercial Mortgage Trust, 5.594%, 06/15/31 75 78 LB-UBS Commercial Mortgage Trust, 4.166%, 05/15/32 165 157 Morgan Stanley Dean Witter Capital, 4.80%, 01/13/41 (g) 250 247 Mortgage Capital Funding, 7.29%, 07/20/27 5 5 PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 56 Salomon Brothers Mortgage Securities VII, 6.17%, 02/13/10 100 103 Wachovia Bank Commercial Mortgage Trust, 4.44%, 11/15/34 200 197 Wachovia Bank Commercial Mortgage Trust, 5.22%, 01/15/41 (g) 100 101 Wachovia Bank Commercial Mortgage Trust, 5.41%, 07/15/41 (g) 250 254 Wachovia Bank Commercial Mortgage Trust, 4.896%, 10/15/41 500 493 WFS Financial Owner Trust, 2.41%, 12/20/10 135 132 7,543 Auto Manufacturers - 0.1% DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 150 149 DaimlerChrysler NA Holding Corp., 6.50%, 11/15/13 100 106 DaimlerChrysler NA Holding Corp., 8.50%, 01/18/31 50 60 315 Banks - 5.4% Abbey National Plc, 7.95%, 10/26/29 100 130 American General Finance Corp., 4.625%, 09/01/10 150 148 Asian Development Bank, 4.125%, 09/15/10 100 99 Bac Cap Trust, 5.625%, 03/08/35 50 49 Banc of America Commercial Mortgage Inc., 4.05%, 11/10/38 500 482 Bank of America Corp., 5.25%, 02/01/07 100 101 Bank of America Corp., 6.25%, 04/01/08 250 259 Bank of America Corp., 4.875%, 09/15/12 150 150 Bank One NA, 5.50%, 03/26/07 150 152 Barclays Bank Plc, 6.86%, 09/29/49 (e) 50 56 BB&T Capital Trust I, 5.85%, 08/18/35 100 99 BB&T Corp., 6.50%, 08/01/11 75 81 Bear Stearns Cos. Inc., 2.875%, 07/02/08 250 239 Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 150 158 Capital One Bank, 4.875%, 05/15/08 150 150 ConAgra Foods Inc., 7.875%, 09/15/10 200 224 Corporacion Andina de Fomento, 6.875%, 03/15/12 150 164 Countrywide Home Loans Inc., 4.25%, 12/19/07 250 248 Duke Energy Corp., 5.625%, 11/30/12 150 155 European Investment Bank, 4.625%, 03/01/07 500 502 European Investment Bank, 3.125%, 10/15/07 250 244 European Investment Bank, 4.625%, 05/15/14 150 152 Fifth Third Bank, 4.20%, 02/23/10 100 98 Fleet National Bank, 5.75%, 01/15/09 100 103 HSBC Holdings Plc, 5.25%, 12/12/12 200 203 HSBC Holdings Plc, 7.625%, 05/17/32 150 187 International Bank for Reconstruction & Development, 7.625%, 01/19/23 50 66 JPMorgan Chase & Co., 5.75%, 01/02/13 100 104 Key Bank National Association, 5.80%, 07/01/14 100 105 KFW International Finance, 4.75%, 01/24/07 250 251 Kreditanstalt fuer Wiederaufbau, 4.125%, 10/15/14 150 146 M&I Marshall & Ilsley Bank, 6.375%, 09/01/11 100 108 Marathon Oil Corp., 6.125%, 03/15/12 200 214 MBNA Corp., 7.50%, 03/15/12 100 114 National Australia Bank Ltd., 8.60%, 05/19/10 150 173 National City Bank, 4.625%, 05/01/13 100 98 National Westminster Bank Plc, 7.375%, 10/01/09 250 275 NB Capital Trust, 7.83%, 12/15/26 75 80 Popular North America Inc., 6.125%, 10/15/06 150 152 Popular North America Inc., 4.25%, 04/01/08 100 99 Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 100 101 Sempra Energy, 4.75%, 05/15/09 200 199 Simon Property Group LP, 7.125%, 02/09/09 200 213 Suntrust Bank, 6.375%, 04/01/11 200 215 Svensk Exportkredit AB, 4.00%, 06/15/10 200 196 Textron Financial Corp., 6.00%, 11/20/09 250 261 US Bank NA, 6.375%, 08/01/11 100 108 Wachovia Bank NA, 4.875%, 02/01/15 200 197 Wachovia Corp., 6.25%, 08/04/08 150 156 Wachovia Corp., 6.375%, 02/01/09 100 105 Wells Fargo & Co., 4.20%, 01/15/10 100 98 Wells Fargo & Co., 5.00%, 11/15/14 200 200 Wells Fargo Bank NA, 6.45%, 02/01/11 100 107 XTO Energy Inc., 4.90%, 02/01/14 75 73 8,847 Beverages - 0.2% Anheuser-Busch Cos. Inc., 5.05%, 10/15/16 100 101 Coca-Cola Enterprises Inc., 7.125%, 08/01/17 100 117 Diageo Capital Plc, 4.375%, 05/03/10 50 49 Pepsi Bottling Group Inc., 7.00%, 03/01/29 75 91 358 Biotechnology - 0.1% Genentech Inc., 4.75%, 07/15/15 (e) 50 49 Pharmacia Corp., 6.60%, 12/01/28 50 59 108 Building Materials - 0.0% Toll Brothers Inc., 4.95%, 03/15/14 50 48 Chemicals - 0.2% Dow Chemical Co., 6.125%, 02/01/11 50 53 Dow Chemical Co., 6.00%, 10/01/12 50 53 E.I. Du Pont de Nemours & Co., 4.75%, 11/15/12 100 100 Rohm & Haas Co., 7.85%, 07/15/29 50 65 271 Commercial Services - 0.3% Bear Stearns Commercial Mortgage, 6.80%, 07/15/31 38 39 Cendant Corp., 6.25%, 01/15/08 200 205 Hertz Corp., 7.625%, 06/01/12 100 96 Waste Management Inc., 7.375%, 08/01/10 100 110 450 Computers - 0.2% International Business Machines Corp., 5.375%, 02/01/09 300 308 Cosmetics & Personal Care - 0.1% Procter & Gamble Co., 4.95%, 08/15/14 150 152 Diversified Financial Services - 4.6% Associates Corp., 6.25%, 11/01/08 300 314 Bank One Corp., 2.625%, 06/30/08 250 238 Boeing Capital Corp., 5.80%, 01/15/13 125 132 Caterpillar Financial Services Corp., 4.75%, 02/17/15 100 99 Cendant Corp., 7.375%, 01/15/13 50 55 CIT Group Inc., 7.375%, 04/02/07 250 260 CIT Group Inc., 7.75%, 04/02/12 100 115 Citigroup Inc., 3.50%, 02/01/08 500 488 Citigroup Inc., 6.00%, 02/21/12 100 106 Citigroup Inc., 6.00%, 10/31/33 50 52 Credit Suisse First Boston USA Inc., 6.125%, 11/15/11 100 106 Credit Suisse First Boston USA Inc., 7.125%, 07/15/32 100 121 Ford Motor Credit Co., 7.20%, 06/15/07 100 101 Ford Motor Credit Co., 6.625%, 06/16/08 100 98 Ford Motor Credit Co., 5.80%, 01/12/09 100 93 Ford Motor Credit Co., 7.375%, 10/28/09 75 72 Ford Motor Credit Co., 7.25%, 10/25/11 75 71 Ford Motor Credit Co., 7.00%, 10/01/13 75 70 General Electric Capital Corp., 3.50%, 05/01/08 450 439 General Electric Capital Corp., 3.125%, 04/01/09 150 143 General Electric Capital Corp., 5.45%, 01/15/13 250 259 General Electric Capital Corp., 6.75%, 03/15/32 100 118 Goldman Sachs Group Inc., 6.65%, 05/15/09 250 265 Goldman Sachs Group Inc., 7.35%, 10/01/09 350 382 Goldman Sachs Group Inc., 5.25%, 04/01/13 100 101 Goldman Sachs Group Inc., 5.125%, 01/15/15 200 199 Household Automotive Trust, 4.37%, 12/17/08 59 59 International Lease Finance Corp., 5.75%, 10/15/06 250 252 JPMorgan Chase & Co., 6.625%, 03/15/12 100 109 JPMorgan Chase Capital, 5.875%, 03/15/35 75 73 Lehman Brothers Holdings Inc., 4.00%, 01/22/08 250 247 Lehman Brothers Holdings Inc., 6.625%, 01/18/12 100 109 Merrill Lynch & Co. Inc., 4.125%, 09/10/09 250 244 Merrill Lynch & Co. Inc., 5.00%, 01/15/15 200 199 Morgan Stanley, 5.80%, 04/01/07 100 102 Morgan Stanley, 6.75%, 04/15/11 300 326 Morgan Stanley, 7.25%, 04/01/32 25 30 Morgan Stanley Capital I, 6.52%, 03/15/30 55 56 Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 110 National Rural Utilities Cooperative Finance Corp., 5.75%, 08/28/09 200 207 Pemex Project Funding Master Trust, 7.875%, 02/01/09 100 108 Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 92 Pitney Bowes Credit Corp., 5.75%, 08/15/08 300 310 Residential Capital Corp., 6.375%, 06/30/10 (e) 50 51 SLM Corp., 5.00%, 10/01/13 50 50 SLM Corp., 5.05%, 11/14/14 250 250 Toyota Motor Credit Corp., 2.875%, 08/01/08 100 96 Verizon Global Funding Corp., 7.75%, 12/01/30 50 61 7,641 Electric - 1.0% Alabama Power Co., 5.875%, 12/01/22 100 105 American Electric Power Co. Inc., 5.375%, 03/15/10 100 102 Constellation Energy Group Inc., 7.00%, 04/01/12 100 110 Consumers Energy Co., 5.50%, 08/15/16 25 25 Emerson Electric Co., 5.00%, 12/15/14 100 101 FirstEnergy Corp., 5.50%, 11/15/06 25 25 FirstEnergy Corp., 6.45%, 11/15/11 125 133 FirstEnergy Corp., 7.375%, 11/15/31 25 29 Hydro Quebec, 7.50%, 04/01/16 100 121 MidAmerican Energy Co., 6.75%, 12/30/31 50 58 MidAmerican Energy Holdings Co., 5.875%, 10/01/12 100 104 Nisource Finance Corp., 5.40%, 07/15/14 75 76 Northern States Power Co., 8.00%, 08/28/12 100 118 Pacific Gas & Electric Co., 6.05%, 03/01/34 100 104 PPL Electric Utilities Corp., 6.25%, 08/15/09 100 105 Progress Energy Inc., 7.75%, 03/01/31 50 60 PSEG Power LLC, 8.625%, 04/15/31 75 97 SCANA Corp., 6.875%, 05/15/11 75 82 TXU Energy Co. LLC, 7.00%, 03/15/13 25 27 1,582 Electrical Components & Equipment - 0.1% Dominion Resources Inc., 7.20%, 09/15/14 50 56 Exelon Generation Co. LLC, 5.35%, 01/15/14 150 150 206 Electronics - 0.2% Scottish Power Plc, 5.375%, 03/15/15 50 50 Southern California Edison Co., 6.00%, 01/15/34 75 80 TXU Electric Delivery Co., 6.375%, 01/15/15 150 162 292 Entertainment - 0.0% Walt Disney Co., 7.00%, 03/01/32 50 59 Food - 1.0% Archer-Daniels-Midland Co., 8.125%, 06/01/12 190 224 Corn Products International Inc., 8.25%, 07/15/07 100 106 General Mills Inc., 6.00%, 02/15/12 100 106 Grand Metropolitan Investment Corp., 8.00%, 09/15/22 100 127 Kellogg Co., 2.875%, 06/01/08 250 239 Kraft Foods Inc., 4.625%, 11/01/06 50 50 Kraft Foods Inc., 6.50%, 11/01/31 100 111 Kroger Co., 5.50%, 02/01/13 100 100 Nabisco Inc., 7.05%, 07/15/07 200 208 Safeway Inc., 5.80%, 08/15/12 (l) 100 101 Sara Lee Corp., 6.25%, 09/15/11 75 78 Tyson Foods Inc., 8.25%, 10/01/11 100 115 Unilever Capital Corp., 7.125%, 11/01/10 100 111 1,676 Forest Products & Paper - 0.1% International Paper Co., 6.75%, 09/01/11 100 107 Weyerhaeuser Co., 7.375%, 03/15/32 100 113 220 Gas - 0.1% Praxair Inc., 3.95%, 06/01/13 100 94 Healthcare - 0.2% Baxter International Inc., 4.625%, 03/15/15 75 72 Schering-Plough Corp., 6.50%, 12/01/33 50 58 WellPoint Inc., 4.25%, 12/15/09 50 49 WellPoint Inc., 6.80%, 08/01/12 100 110 Wyeth, 6.45%, 02/01/24 100 110 399 Holding Companies - Diversified - 0.2% Cincinnati Financial Corp., 6.125%, 11/01/34 100 104 COX Communications Inc., 4.625%, 01/15/10 100 98 News America Inc., 5.30%, 12/15/14 75 75 277 Home Builders - 0.1% Masco Corp., 5.875%, 07/15/12 75 78 Pulte Homes Inc., 5.25%, 01/15/14 150 144 222 Insurance - 0.7% Aegon NV, 4.75%, 06/01/13 150 147 Allstate Corp., 6.125%, 02/15/12 75 79 Allstate Corp., 5.35%, 06/01/33 75 70 American International Group Inc., 4.25%, 05/15/13 100 95 Chubb Corp., 5.20%, 04/01/13 100 100 Hartford Life Inc., 7.65%, 06/15/27 75 93 Marsh & McLennan Cos. Inc., 3.625%, 02/15/08 100 97 MetLife Inc., 5.00%, 11/24/13 100 99 MetLife Inc., 5.70%, 06/15/35 100 99 Principal Life Income Funding Trusts, 5.10%, 04/15/14 150 151 Travelers Property Casualty Corp., 6.75%, 11/15/06 100 102 1,132 Investment Companies - 0.1% Merrill Lynch Mortgage Trust, 5.403%, 07/12/34 200 203 Iron & Steel - 0.0% Alcan Inc., 4.875%, 09/15/12 50 49 Lodging - 0.1% Harrah's Operating Co. Inc., 5.50%, 07/01/10 100 101 Machinery - 0.2% Thermo Electron Corp., 5.00%, 06/01/15 (e) 200 197 296 Manufacturing - 0.3% General Electric Corp., 5.00%, 02/01/13 100 101 Honeywell International Inc., 6.125%, 11/01/11 100 107 Tyco International Group SA, 6.125%, 01/15/09 150 156 Tyco International Group SA, 6.375%, 10/15/11 50 53 417 Media - 0.4% Comcast Cable Communications Holdings Inc., 9.455%, 11/15/22 100 135 Comcast Corp., 6.50%, 01/15/15 50 54 Historic TW Inc., 6.625%, 05/15/29 100 105 News America Inc., 6.20%, 12/15/34 50 50 RR Donnelley & Sons Co., 5.50%, 05/15/15 (e) 50 50 Time Warner Inc., 7.625%, 04/15/31 150 176 Viacom Inc., 7.875%, 07/30/30 125 146 716 Metal Fabrication & Hardware - 0.0% Alcan Inc., 6.125%, 12/15/33 25 26 Alcoa Inc., 5.375%, 01/15/13 50 51 77 Mining - 0.1% BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 100 99 Newmont Mining Corp., 5.875%, 04/01/35 50 49 148 Oil & Gas Producers - 0.6% Alberta Energy Co. Ltd., 7.375%, 11/01/31 100 123 Amerada Hess Corp., 6.65%, 08/15/11 25 27 Amerada Hess Corp., 7.30%, 08/15/31 35 41 Anadarko Petroleum Corp., 3.25%, 05/01/08 250 241 Burlington Resources Finance Co., 7.20%, 08/15/31 100 121 ConocoPhillips, 6.65%, 07/15/18 75 86 Consolidated Natural Gas Co., 6.80%, 12/15/27 50 56 Devon Financing Corp. ULC, 7.875%, 09/30/31 100 126 Enterprise Products Operating LP, 4.95%, 06/01/10 25 25 Enterprise Products Operating LP, 5.60%, 10/15/14 25 25 Enterprise Products Operating LP, 6.875%, 03/01/33 25 26 Nexen Inc., 5.875%, 03/10/35 50 49 946 Oil & Gas Services - 0.2% Conoco Funding Co., 7.25%, 10/15/31 75 95 Occidental Petroleum Corp., 6.75%, 01/15/12 50 55 Petro-Canada, 7.00%, 11/15/28 75 85 Suncor Energy Inc., 5.95%, 12/01/34 100 107 342 Pharmaceuticals - 0.1% Wyeth, 5.50%, 03/15/13 100 103 Pipelines - 0.1% CenterPoint Energy Resources Corp., 7.875%, 04/01/13 50 58 Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 75 74 132 Real Estate - 0.5% Boston Properties LP, 6.25%, 01/15/13 150 159 Camden Property Trust, 5.00%, 06/15/15 100 97 EOP Operating LP, 4.75%, 03/15/14 175 169 ERP Operating LP, 5.25%, 09/15/14 50 50 First Union Commercial Mortgage, 7.18%, 12/15/31 22 23 First Union Commercial Mortgage, 7.39%, 12/15/31 105 114 GMAC Commercial Mortgage, 6.42%, 05/15/35 98 102 Heller Financial Commercial Mortgage, 6.50%, 05/15/31 33 33 747 Retail - 0.4% Federated Department Stores Inc., 6.90%, 04/01/29 100 108 May Department Stores Co., 4.80%, 07/15/09 150 149 Target Corp., 7.00%, 07/15/31 100 122 Wal-Mart Stores Inc., 4.55%, 05/01/13 100 99 Wal-Mart Stores Inc., 7.55%, 02/15/30 50 64 Yum! Brands Inc., 8.875%, 04/15/11 50 59 601 Savings & Loans - 0.1% Washington Mutual Inc., 4.625%, 04/01/14 100 96 Storage/Warehousing - 0.2% Union Carbide Corp., 6.625%, 02/01/08 250 260 Telecommunications - 2.2% Alltel Corp., 7.875%, 07/01/32 50 62 BellSouth Capital Funding, 7.875%, 02/15/30 100 123 BellSouth Corp, 5.20%, 09/15/14 100 100 British Telecommunications Plc, (Step-Up Bond), 8.375%, 12/15/10 (d) (g) 250 289 Cingular Wireless Services Inc., 7.50%, 05/01/07 250 261 Clear Channel Communications Inc., 7.65%, 09/15/10 100 109 Comcast Cable Communications Holdings Inc., 8.375%, 03/15/13 250 296 Deutsche Telekom International Finance BV, 8.50%, 06/15/10 400 453 GTE Corp., 6.94%, 04/15/28 50 55 SBC Communications Inc., 5.875%, 02/01/12 100 105 SBC Communications Inc., 6.15%, 09/15/34 (l) 50 51 Southwestern Bell Telephone, 7.00%, 07/01/15 100 112 Sprint Capital Corp., 6.00%, 01/15/07 150 152 Sprint Capital Corp., 8.375%, 03/15/12 100 118 Sprint Capital Corp., 6.875%, 11/15/28 100 110 Sprint Capital Corp., 8.75%, 03/15/32 100 134 Telecom Italia Capital SA, 4.95%, 09/30/14 (e) 100 97 Telecom Italia Capital SA, 6.375%, 11/15/33 50 51 Telefonica Europe BV, 8.25%, 09/15/30 100 133 TELUS Corp., 7.50%, 06/01/07 125 131 Verizon Global Funding Corp., 7.25%, 12/01/10 250 276 Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 202 Vodafone Group Plc, 5.00%, 12/16/13 150 150 3,570 Tobacco - 0.1% Altria Group Inc., 7.75%, 01/15/27 75 87 Transportation - 0.1% CSX Corp., 6.75%, 03/15/11 50 54 Norfolk Southern Corp., 7.25%, 02/15/31 75 91 Union Pacific Corp., 6.625%, 02/01/29 25 28 173 Wireless Telecommunications - 0.1% Cingular Wireless Services Inc., 8.75%, 03/01/31 108 146 Motorola Inc., 7.625%, 11/15/10 24 27 173 Total Corporate Bonds (cost $42,345) 42,030 Government Securities - 72.1% Banks - 0.2% Kredit Fuer Wiederaufbau, 3.25%, 03/30/2009 350 337 Diversified Financial Services - 0.8% Federal Home Loan Mortgage Corp., 6.50%, 10/01/35 1,200 1,234 Sovereign - 1.7% Financement Quebec, 5.00%, 10/25/12 100 102 Inter-American Development Bank, 7.375%, 01/15/10 100 112 Italy Government International Bond, 2.75%, 12/15/06 200 196 Italy Government International Bond, 6.875%, 09/27/23 200 241 Nova Scotia Province, 5.75%, 02/27/12 100 105 Province of British Columbia, 4.625%, 10/03/06 100 100 Province of Ontario, 3.625%, 10/21/09 150 145 Quebec Province, 5.75%, 02/15/09 125 130 Quebec Province, 7.50%, 07/15/23 100 128 Republic of Chile, 5.50%, 01/15/13 100 104 Republic of Italy, 4.00%, 06/16/08 250 247 Republic of Italy, 4.375%, 06/15/13 100 99 Republic of Italy, 5.375%, 06/15/33 100 102 Republic of Korea, 8.875%, 04/15/08 300 332 State Of Israel, 4.625%, 06/15/13 75 73 United Mexican States, 4.625%, 10/08/08 200 199 United Mexican States, 6.375%, 01/16/13 150 160 United Mexican States, 7.50%, 04/08/33 250 290 2,864 U.S. Government Agencies - 45.6% Federal Government Loan Mortgage Co., 6.50%, 12/01/28 114 117 Federal Home Loan Bank, 4.00%, 03/10/08 150 148 Federal Home Loan Bank, 5.25%, 06/18/14 (f) 1,540 1,608 Federal Home Loan Mortgage Corp., 2.95%, 09/14/06 100 99 Federal Home Loan Mortgage Corp., 3.00%, 09/29/06 200 197 Federal Home Loan Mortgage Corp., 2.75%, 10/15/06 920 905 Federal Home Loan Mortgage Corp., 2.625%, 10/16/06 (f) 250 246 Federal Home Loan Mortgage Corp., 2.375%, 02/15/07 (l) 800 779 Federal Home Loan Mortgage Corp., 2.875%, 05/15/07 1,100 1,075 Federal Home Loan Mortgage Corp., 3.625%, 06/20/07 1,400 1,384 Federal Home Loan Mortgage Corp., 3.30%, 09/14/07 100 98 Federal Home Loan Mortgage Corp., 3.375%, 09/14/07 (f) 1,075 1,055 Federal Home Loan Mortgage Corp., 3.25%, 11/02/07 150 147 Federal Home Loan Mortgage Corp., 3.625%, 01/15/08 300 295 Federal Home Loan Mortgage Corp., 4.50%, 08/04/08 200 199 Federal Home Loan Mortgage Corp., 4.25%, 07/15/09 300 297 Federal Home Loan Mortgage Corp., 4.125%, 09/01/09 100 99 Federal Home Loan Mortgage Corp., 4.125%, 11/18/09 300 296 Federal Home Loan Mortgage Corp., 4.375%, 01/25/10 200 197 Federal Home Loan Mortgage Corp., 4.375%, 03/01/10 300 297 Federal Home Loan Mortgage Corp., 4.50%, 07/06/10 200 197 Federal Home Loan Mortgage Corp., 4.125%, 07/12/10 800 787 Federal Home Loan Mortgage Corp., 4.125%, 02/24/11 (l) 500 488 Federal Home Loan Mortgage Corp., 5.50%, 09/15/11 500 523 Federal Home Loan Mortgage Corp., 5.75%, 05/15/12 325 346 Federal Home Loan Mortgage Corp., 4.50%, 07/01/12 1,800 1,763 Federal Home Loan Mortgage Corp., 5.125%, 07/15/12 428 440 Federal Home Loan Mortgage Corp., 4.625%, 05/28/13 75 73 Federal Home Loan Mortgage Corp., 6.50%, 06/01/14 177 182 Federal Home Loan Mortgage Corp., 7.00%, 08/01/15 27 29 Federal Home Loan Mortgage Corp., 7.00%, 11/01/15 2 2 Federal Home Loan Mortgage Corp., 7.00%, 11/01/16 109 113 Federal Home Loan Mortgage Corp., 6.00%, 12/01/16 81 83 Federal Home Loan Mortgage Corp., 4.50%, 01/01/18 70 69 Federal Home Loan Mortgage Corp., 5.50%, 04/01/18 46 47 Federal Home Loan Mortgage Corp., 5.00%, 10/20/18, TBA (c) 2,100 2,094 Federal Home Loan Mortgage Corp., 4.00%, 05/01/19 65 62 Federal Home Loan Mortgage Corp., 5.00%, 07/01/19 151 151 Federal Home Loan Mortgage Corp., 4.00%, 10/01/20 900 864 Federal Home Loan Mortgage Corp., 5.50%, 10/01/20 1,800 1,826 Federal Home Loan Mortgage Corp., 6.00%, 10/01/20 500 513 Federal Home Loan Mortgage Corp., 6.50%, 05/01/29 41 42 Federal Home Loan Mortgage Corp., 6.75%, 09/15/29 60 75 Federal Home Loan Mortgage Corp., 6.50%, 03/01/31 46 48 Federal Home Loan Mortgage Corp., 7.00%, 06/01/31 27 28 Federal Home Loan Mortgage Corp., 7.50%, 11/01/31 270 287 Federal Home Loan Mortgage Corp., 7.50%, 04/01/32 402 426 Federal Home Loan Mortgage Corp., 6.25%, 07/15/32 300 358 Federal Home Loan Mortgage Corp., 5.50%, 04/01/33 205 206 Federal Home Loan Mortgage Corp., 6.00%, 04/01/33 12 12 Federal Home Loan Mortgage Corp., 4.50%, 10/01/33 9 9 Federal Home Loan Mortgage Corp., 6.00%, 10/15/33, TBA (c) 3,800 3,865 Federal Home Loan Mortgage Corp., 5.00%, 10/01/35 4,700 4,599 Federal Home Loan Mortgage Corp., 5.50%, 10/01/35 4,600 4,600 Federal Home Loan Mortgage Corp., 4.50%, 11/01/35 400 380 Federal National Mortgage Association, 4.25%, 07/15/07 1,000 997 Federal National Mortgage Association, 4.25%, 09/15/07 100 100 Federal National Mortgage Association, 3.65%, 11/30/07 200 197 Federal National Mortgage Association, 3.25%, 01/15/08 330 322 Federal National Mortgage Association, 6.00%, 05/15/08 800 831 Federal National Mortgage Association, 2.50%, 06/15/08 (l) 355 337 Federal National Mortgage Association, 4.50%, 08/04/08 300 298 Federal National Mortgage Association, 3.25%, 02/15/09 350 337 Federal National Mortgage Association, 4.25%, 05/15/09 150 149 Federal National Mortgage Association, 6.625%, 09/15/09 (l) 1,320 1,419 Federal National Mortgage Association, 4.125%, 05/15/10 645 634 Federal National Mortgage Association, 4.625%, 06/01/10 200 198 Federal National Mortgage Association, 6.00%, 05/15/11 700 749 Federal National Mortgage Association, 5.375%, 11/15/11 500 521 Federal National Mortgage Association, 4.125%, 04/15/14 (l) 470 454 Federal National Mortgage Association, 6.50%, 02/01/16 14 14 Federal National Mortgage Association, 6.00%, 06/01/16 148 153 Federal National Mortgage Association, 6.50%, 09/01/16 26 27 Federal National Mortgage Association, 6.50%, 10/01/16 47 49 Federal National Mortgage Association, 6.50%, 12/01/16 2 2 Federal National Mortgage Association, 5.50%, 03/01/17 49 50 Federal National Mortgage Association, 5.00%, 10/01/17 70 70 Federal National Mortgage Association, 5.50%, 10/01/17 400 406 Federal National Mortgage Association, 4.00%, 10/01/18 155 149 Federal National Mortgage Association, 5.00%, 10/20/18, TBA (c) 3,900 3,889 Federal National Mortgage Association, 4.50%, 10/01/20 3,500 3,427 Federal National Mortgage Association, 6.25%, 05/15/29 (l) 225 265 Federal National Mortgage Association, 7.25%, 05/15/30 (f) 710 937 Federal National Mortgage Association, 6.625%, 11/15/30 160 198 Federal National Mortgage Association, 7.00%, 02/01/31 150 157 Federal National Mortgage Association, 5.50%, 01/01/32 344 344 Federal National Mortgage Association, 6.50%, 07/01/32 121 124 Federal National Mortgage Association, 6.00%, 02/01/33 320 325 Federal National Mortgage Association, 4.50%, 11/01/33 588 562 Federal National Mortgage Association, 5.00%, 06/01/34 263 258 Federal National Mortgage Association, 5.50%, 07/01/34 (f) 1,446 1,446 Federal National Mortgage Association, 6.50%, 07/01/34 (f) 1,102 1,135 Federal National Mortgage Association, 6.00%, 08/01/34 (f) 1,030 1,048 Federal National Mortgage Association, 5.50%, 10/01/35, TBA (c) 6,300 6,296 Federal National Mortgage Association, 5.00%, 11/01/35, TBA (c) 5,200 5,090 Government National Mortgage Association, 8.00%, 04/15/30 42 45 Government National Mortgage Association, 8.50%, 06/15/30 35 38 Government National Mortgage Association, 8.50%, 12/15/30 2 2 Government National Mortgage Association, 6.50%, 01/15/32 198 205 Government National Mortgage Association, 6.00%, 10/15/32 166 170 Government National Mortgage Association, 6.00%, 01/15/33 500 511 Government National Mortgage Association, 5.50%, 07/15/33 563 569 Government National Mortgage Association, 6.00%, 07/15/34 137 140 Government National Mortgage Association, 6.00%, 08/15/34 608 623 Government National Mortgage Association, 5.00%, 10/01/34 1,100 1,087 Government National Mortgage Association, 6.00%, 05/15/35 256 262 Government National Mortgage Association, 5.50%, 10/01/35 2,000 2,017 74,758 U.S. Treasury Securities - 23.8% U.S. Treasury Bond, 10.375%, 11/15/12 240 270 U.S. Treasury Bond, 12.00%, 08/15/13 (l) 250 302 U.S. Treasury Bond, 11.25%, 02/15/15 495 755 U.S. Treasury Bond, 7.25%, 05/15/16 (l) 270 334 U.S. Treasury Bond, 8.75%, 05/15/17 (l) 715 990 U.S. Treasury Bond, 8.875%, 02/15/19 (l) 645 924 U.S. Treasury Bond, 8.50%, 02/15/20 (l) 100 141 U.S. Treasury Bond, 8.75%, 05/15/20 180 260 U.S. Treasury Bond, 8.00%, 11/15/21 1,130 1,564 U.S. Treasury Bond, 7.125%, 02/15/23 (l) 735 954 U.S. Treasury Bond, 6.25%, 08/15/23 1,050 1,256 U.S. Treasury Bond, 6.875%, 08/15/25 390 503 U.S. Treasury Bond, 6.75%, 08/15/26 200 256 U.S. Treasury Bond, 6.50%, 11/15/26 (l) 360 450 U.S. Treasury Bond, 6.375%, 08/15/27 (l) 280 347 U.S. Treasury Bond, 5.25%, 02/15/29 (l) 715 779 U.S. Treasury Bond, 6.25%, 05/15/30 (l) 350 435 U.S. Treasury Note, 2.875%, 11/30/06 1,125 1,109 U.S. Treasury Note, 3.125%, 01/31/07 (l) 1,740 1,717 U.S. Treasury Note, 6.25%, 02/15/07 (l) 1,250 1,285 U.S. Treasury Note, 3.75%, 03/31/07 420 417 U.S. Treasury Note, 4.375%, 05/15/07 (l) 630 632 U.S. Treasury Note, 3.625%, 06/30/07 2,200 2,179 U.S. Treasury Note, 3.25%, 08/15/07 (l) 320 315 U.S. Treasury Note, 3.00%, 11/15/07 (l) 2,300 2,246 U.S. Treasury Note, 3.375%, 02/15/08 1,000 982 U.S. Treasury Note, 3.75%, 05/15/08 500 495 U.S. Treasury Note, 3.375%, 11/15/08 980 957 U.S. Treasury Note, 3.375%, 12/15/08 1,050 1,024 U.S. Treasury Note, 3.25%, 01/15/09 1,510 1,466 U.S. Treasury Note, 2.625%, 03/15/09 2,260 2,146 U.S. Treasury Note, 5.50%, 05/15/09 310 324 U.S. Treasury Note, 3.375%, 10/15/09 (l) 480 465 U.S. Treasury Note, 6.50%, 02/15/10 (l) 670 730 U.S. Treasury Note, 3.875%, 07/15/10 1,020 1,005 U.S. Treasury Note, 4.125%, 08/15/10 120 119 U.S. Treasury Note, 5.00%, 02/15/11 (l) 3,260 3,380 U.S. Treasury Note, 4.875%, 02/15/12 545 563 U.S. Treasury Note, 3.875%, 02/15/13 50 49 U.S. Treasury Note, 3.625%, 05/15/13 600 575 U.S. Treasury Note, 4.25%, 08/15/13 500 498 U.S. Treasury Note, 4.25%, 08/15/14 (l) 665 661 U.S. Treasury Note, 4.25%, 11/15/14 1,070 1,062 U.S. Treasury Note, 4.125%, 05/15/15 600 590 U.S. Treasury Note, 4.25%, 08/15/15, TBA (c) 1,550 1,540 39,051 Total Government Securities (cost $118,956) 118,245 Municipals - 0.2% Illinois State Taxable Pension, 5.10%, 06/01/33 200 198 New Jersey State Turnpike, 4.252%, 01/01/16 95 91 New Jersey State Turnpike, 4.252%, 01/01/16 5 5 Total Municipals (cost $279) 294 Short Term Investments - 37.2% Commercial Paper - 27.9% ABN AMRO, 3.74%, 10/26/05 (f) 3,000 2,992 Caterpillar Financial, 3.71%, 10/18/05 (f) 3,000 2,995 CBA Finance, 3.77%, 10/31/05 (f) 3,000 2,991 Citigroup Funding Inc., 3.65%, 10/14/05 (f) 3,000 2,996 Danske Corp., 3.77%, 10/17/05 (f) 3,000 2,995 General Electric Capital Corp., 3.68%, 10/14/05 (f) 3,000 2,996 HBOS Treasury Services Plc, 3.55%, 10/04/05 (f) 2,000 1,999 ING US Funding LLC, 3.56%, 10/03/05 (f) 3,800 3,799 International Lease Finance Corp., 3.72%, 10/14/05 (f) 4,000 3,995 Paccar Financial, 3.71%, 10/14/05 (f) 3,000 2,996 San Paolo, 3.67%, 10/13/05 (f) 3,000 2,996 Societe Generale, 3.69%, 10/13/05 (f) 2,200 2,197 Spintab AB, 3.68%, 10/07/05 (f) 3,000 2,998 UBS Finance LLC, 3.725%, 10/13/05 (f) 3,000 2,996 UniCredito Italiano de Inc., 3.78%, 10/28/05 (f) 3,800 3,790 45,732 Money Market Funds - 1.6% Dreyfus Cash Management Plus Fund, 3.64% (a) (n) 2,610 2,610 Securities Lending Collateral - 7.7% Mellon GSL Delaware Business Trust Collateral Fund (n) 12,625 12,625 Total Short Term Investments (cost $60,966) 60,966 Total Investments - 135.1% (cost $222,547) 221,535 Other Assets and Liabilities, Net - (35.1%) (57,506) Total Net Assets - 100% $164,029 JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund Common Stocks - 97.5% Aerospace & Defense - 1.8% Lockheed Martin Corp. 6 $381 Northrop Grumman Corp. 7 380 Raytheon Co. 9 348 1,109 Airlines - 0.1% Southwest Airlines Co. 3 51 Apparel - 1.2% Coach Inc. (b) 12 361 Nike Inc. - Class B 5 384 Reebok International Ltd. - 17 762 Auto Manufacturers - 1.4% Ford Motor Co. 35 346 Navistar International Corp. (b) 8 256 Paccar Inc. 4 282 884 Auto Parts & Equipment - 0.0% Cooper Tire & Rubber Co. - 5 Delphi Corp. 2 6 11 Banks - 6.2% Bank of America Corp. 27 1,150 Compass Bancshares Inc. 6 289 Fifth Third Bancorp. 10 359 JPMorgan Chase & Co. 10 350 North Fork Bancorp. Inc 2 38 SunTrust Banks Inc. 6 382 US Bancorp. 9 239 Wachovia Corp. 9 440 Wells Fargo & Co. 10 571 3,818 Beverages - 1.6% Brown-Forman Corp. - Class B 1 81 Coca-Cola Co. 12 533 PepsiCo Inc. 8 441 1,055 Biotechnology - 1.2% Amgen Inc. (b) 7 524 Biogen Idec Inc. (b) 2 71 Chiron Corp. 1 32 Genzyme Corp. 1 88 715 Building Materials - 0.1% Vulcan Materials Co. 1 37 Chemicals - 2.6% Ashland Inc. - 17 Dow Chemical Co. 12 484 E.I. Du Pont de Nemours & Co. 7 269 Eastman Chemical Co. 2 80 Engelhard Corp. 1 14 PPG Industries Inc. 5 278 Rohm & Haas Co. 8 333 Sigma-Aldrich Corp. 1 77 1,552 Commercial Services - 0.7% Cendant Corp. 6 115 Equifax Inc. 1 21 FedEx Corp. 2 136 H&R Block Inc. 2 43 Paychex Inc. 3 93 RR Donnelley & Sons Co. 1 43 451 Computers - 4.6% Apple Computer Inc. (b) 10 538 Dell Inc. (b) 20 675 Electronic Data Systems Corp. 3 61 EMC Corp. (b) 11 141 Hewlett-Packard Co. 7 211 International Business Machines Corp. 12 971 NCR Corp. (b) 5 169 2,766 Cosmetics & Personal Care - 3.2% Alberto-Culver Co. - Class B 6 282 Avon Products Inc. 5 139 Colgate-Palmolive Co. 6 306 Gillette Co. 6 365 International Flavors & Fragrances Inc. - 14 Proctor & Gamble Co. 14 811 1,917 Diversified Financial Services - 7.5% American Express Co. 5 296 Charles Schwab Corp. 2 32 CIT Group Inc. 3 149 Citigroup Inc. 33 1,513 Countrywide Financial Corp. 3 102 Fannie Mae 5 228 First Horizon National Corp. 1 18 Goldman Sachs Group Inc. 5 600 Lehman Brothers Holdings Inc. 2 186 Merrill Lynch & Co. Inc. 9 551 Morgan Stanley 11 591 SLM Corp. 5 275 4,542 Electric - 2.4% Allegheny Energy Inc. 1 25 Ameren Corp. (l) 6 326 Calpine Corp. (b) (l) 4 9 Centerpoint Energy Inc. (l) 1 19 CMS Energy Corp. (b) 1 21 Constellation Energy Group Inc. 5 326 Duke Energy Corp. 4 105 Edison International Inc. 2 80 Exelon Corp. 3 150 PG&E Corp. 2 71 Southern Co. 6 197 TXU Corp. 1 124 1,453 Electrical Components & Equipment - 0.3% Nvidia Corp. (b) 5 168 Electronics - 1.2% Parker Hannifin Corp. 5 341 PerkinElmer Inc. 7 149 Sanmina-SCI Corp. (b) 15 64 Solectron Corp. (b) 16 63 Thermo Electron Corp. (b) 3 87 704 Environmental Control - 0.2% Allied Waste Industries Inc. 2 13 Waste Management Inc. 3 86 99 Food - 1.8% General Mills Inc. 3 140 H.J. Heinz Co. 4 132 Kellogg Co. 8 387 McCormick & Co. Inc. 10 310 WM Wrigley Jr Co. 2 129 1,098 Forest Products & Paper - 0.3% International Paper Co. 3 80 MeadWestvaco Corp. 1 28 Plum Creek Timber Co. Inc. 1 37 Temple-Inland Inc. 1 23 168 Hand & Machine Tools - 0.3% Stanley Works 3 154 Healthcare - 6.0% Aetna Inc. 2 135 Bausch & Lomb Inc. 3 202 Biomet Inc. 3 90 Boston Scientific Corp. (b) 2 36 Guidant Corp. 4 303 HCA Inc. 9 412 Health Management Associates Inc. 3 59 Humana Inc. (b) 1 38 Johnson & Johnson 15 966 Manor Care Inc. 2 73 Medtronic Inc. 1 66 Quest Diagnostics Inc. 4 222 Stryker Corp. - 15 Tenet Healthcare Corp. (b) 2 26 UnitedHealth Group Inc. 7 376 WellPoint Inc. (b) 3 246 Zimmer Holdings Inc. (b) (l) 6 379 3,644 Home Furnishings - 0.3% Leggett & Platt Inc. 8 168 Household Products - 0.0% Avery Dennison Corp. 1 26 Insurance - 4.5% ACE Ltd. 2 71 Aflac Inc. 3 123 Allstate Corp. 4 195 AMBAC Financial Group Inc. 1 36 American International Group Inc. 16 978 Cigna Corp. 1 71 Cincinnati Financial Corp. 1 32 Hartford Financial Services Group Inc. 2 123 Jefferson-Pilot Corp. 1 36 Lincoln National Corp. 1 42 Loews Corp. 1 84 Marsh & McLennan Cos. Inc. 3 86 MBIA Inc. 2 133 MetLife Inc. 4 194 MGIC Investment Corp. - 26 Progressive Corp. 1 115 Prudential Financial Inc. 3 173 Safeco Corp. 1 27 Torchmark Corp. 1 26 XL Capital Ltd. - Class A 2 136 2,707 Internet - 0.7% KB Home 2 139 Symantec Corp. (b) 11 247 Yahoo! Inc. (b) 1 18 404 Iron & Steel - 0.1% Nucor Corp. 1 53 United States Steel Corp. - 17 70 Leisure Time - 0.7% Brunswick Corp. 7 268 Sabre Holdings Corp. 9 172 440 Lodging - 1.1% Hilton Hotels Corp. 14 312 Starwood Hotels & Resorts Worldwide Inc. 6 360 672 Machinery - 0.6% Caterpillar Inc. 4 237 Cummins Inc. - 26 Rockwell Automation Inc. 2 101 364 Manufacturing - 4.5% 3M Corp. 4 308 Danaher Corp. 3 149 Dover Corp. 2 98 Eaton Corp. 2 102 General Electric Corp. 50 1,685 Honeywell Inernational Inc. 3 120 Ingersoll-Rand Co. Ltd. - Class A 6 232 Tyco International Ltd. 1 28 2,722 Media - 4.1% Clear Channel Communications Inc. - 11 Comcast Corp. - Class A (b) 21 614 Meredith Corp. (l) 6 309 News Corp Inc. 15 234 Time Warner Inc. 21 386 Viacom Inc. - Class B 17 573 Walt Disney Co. 15 351 2,478 Mining - 0.5% Alcoa Inc. 5 111 Freeport-McMoRan Copper & Gold Inc. (l) 1 39 Newmont Mining Corp. (l) 2 106 Phelps Dodge Corp. 1 65 321 Office & Business Equipment - 0.1% Pitney Bowes Inc. 1 50 Oil & Gas Producers - 9.4% Amerada Hess Corp. - 55 Apache Corp. 3 197 Burlington Resources Inc. 2 122 Chevron Corp. 13 866 ConocoPhillips 11 744 Exxon Mobil Corp. 33 2,104 Kerr-McGee Corp. 1 107 Marathon Oil Corp. - 5 Murphy Oil Corp. 1 45 Nabors Industries Ltd. (b) 5 352 Noble Corp. 3 212 Rowan Cos Inc. 8 298 Transocean Inc. (b) 6 392 Valero Energy Corp. 2 192 5,691 Oil & Gas Services - 0.5% Halliburton Co. 3 176 National Oilwell Varco Inc. (b) 1 59 Weatherford International Ltd. (b) 1 48 283 Packaging & Containers - 0.0% Ball Corp. 1 22 Pharmaceuticals - 4.6% Abbott Laboratories 2 94 Allergan Inc. 4 330 Eli Lilly & Co. 3 135 Express Scripts Inc. (b) - 19 Forest Laboratories Inc. 2 70 Gilead Sciences Inc. 3 122 Medimmune Inc. (b) 1 45 Merck & Co. Inc. 12 316 Pfizer Inc. 36 904 Schering-Plough Corp. 22 455 Wyeth 7 324 2,814 Pipelines - 0.2% EL Paso Corp. (l) 3 43 Williams Cos. Inc. 3 70 113 Real Estate - 0.7% Apartment Investment & Management Co. - 16 Archstone-Smith Trust 1 44 Equity Office Properties Trust 2 70 Equity Residential 2 57 Prologis 1 58 Public Storage Inc. - 27 Simon Property Group Inc. 1 89 Vornado Realty Trust 1 52 413 Retail - 4.3% Circuit City Stores Inc. 5 77 Home Depot Inc. 15 573 JC Penney Corp. Inc. 8 356 Lowe's Cos. Inc. 7 425 Staples Inc. 10 208 Walgreen Co. 6 276 Wal-Mart Stores Inc. 15 678 2,593 Savings & Loans - 0.2% Golden West Financial Corp. 2 107 Semiconductors - 3.8% Intel Corp. 43 1,068 KLA-Tencor Corp. 7 322 LSI Logic Corp. (b) (l) 31 309 PMC - Sierra Inc. (b) 13 116 Texas Instruments Inc. 14 467 2,282 Software - 4.0% Fiserv Inc. (b) 3 138 Mercury Interactive Corp. (b) 5 190 Microsoft Corp. 60 1,543 Oracle Corp. (b) 27 330 Parametric Technology Corp. (b) 34 234 2,435 Telecommunications - 2.9% AT&T Corp. 4 76 BellSouth Corp. 12 316 Ciena Corp. (b) 2 6 Citizens Communications Co. 2 22 Qwest Communications International Inc. (b) (l) 8 31 SBC Communications Inc. 18 442 Sprint Nextel Corp. 7 176 Verizon Communications Inc. 22 709 1,778 Telecommunications Equipment - 2.1% Cisco Systems Inc. (b) 18 329 Comverse Technology Inc. (b) 2 52 Corning Inc. (b) 23 439 JDS Uniphase Corp. (b) 8 18 Qualcomm Inc. 2 90 Scientific-Atlanta Inc. 9 326 1,254 Textiles - 0.0% Cintas Corp. 1 28 Tobacco - 1.5% Altria Group Inc. 11 815 Reynolds American Inc (l) 1 55 UST Inc. 1 38 908 Transportation - 1.3% Burlington Northern Santa Fe Corp. 2 120 CSX Corp. 1 46 Norfolk Southern Corp. 2 81 Union Pacific Corp. 1 106 United Parcel Service Inc. - Class B 6 406 759 Wireless Telecommunications - 0.1% Motorola Inc. 3 60 Total Common Stocks (cost $55,373) 59,119 Short Term Investments - 4.6% Money Market Funds - 2.2% Dreyfus Cash Management Plus Fund, 3.64% (a) (n) 1,284 1,284 Securities Lending Collateral - 2.2% Mellon GSL Delaware Business Trust Collateral Fund (n) 1,361 1,361 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 3.435%, 12/08/05 (m) 150 149 Total Short Term Investments (cost $2,794) 2,794 Total Investments - 102.1% (cost $58,167) 61,913 Other Assets and Liabilities, Net - (2.1%) (1,244) Total Net Assets - 100% $60,669 JNL/Mellon Capital Management International Index Fund Common Stocks - 96.6% Advertising - 0.4% Aegis Group Plc 29 $71 Asatsu-DK Inc. 1 22 Dentsu Inc. - 130 Hakuhodo DY Holdings Inc. (l) 1 40 PagesJaunes Groupe SA 3 89 Publicis Groupe 4 113 SFCG Co. Ltd. - 34 Telefonica Publicidad e Informacion SA 5 40 WPP Group Plc 30 309 848 Aerospace & Defense - 0.7% BAE Systems Plc 82 495 Cobham Plc 27 75 European Aeronautic Defence and Space Co. NV 6 222 Finmeccanica SpA 8 153 Meggitt Plc 11 62 Rolls-Royce Group Plc (b) 40 262 Safran SA 5 102 Thales SA 2 95 Zodiac SA 1 57 1,523 Agriculture - 0.4% Imperial Tobacco Group Plc 18 527 Japan Tobacco Inc. - 363 Swedish Match AB 8 95 985 Airlines - 0.2% Air France-KLM 3 53 All Nippon Airways Co. Ltd. 14 43 British Airways Plc (b) 13 68 Cathay Pacific Airways Ltd. 27 48 Deutsche Lufthansa AG 6 73 Gamesa Corp. Tecnologica SA 3 47 Iberia Lineas Aereas de Espana 13 33 Japan Airlines Corp. 17 45 Qantas Airways Ltd. 23 59 Ryanair Holdings Plc (b) 1 8 SAS AB (b) 2 24 Singapore Airlines Ltd. 14 96 597 Apparel - 0.3% Adidas-Salomon AG 1 197 Benetton Group SpA 2 19 Billabong International Ltd. 3 31 Fast Retailing Co. Ltd. 1 106 Gunze Ltd. 4 20 Hermes International - 55 Onward Kashiyama Co. Ltd. 4 63 Puma AG Rudolf Dassler Sport - 115 Tokyo Style Co. Ltd. 2 21 Wacoal Holdings Corp. 3 40 667 Auto Manufacturers - 3.2% DaimlerChrysler AG 23 1,230 Fiat SpA (b) 12 109 Hino Motors Ltd. 6 41 Honda Motor Co. Ltd. 20 1,137 Nissan Motor Co. Ltd. 58 656 Peugeot SA 4 284 Renault SA 5 446 Scania AB - Class B 3 93 Tomkins Plc 20 102 Toyota Motor Corp. 73 3,362 Volkswagen AG 9 475 Volvo AB 8 351 8,286 Auto Parts & Equipment - 0.8% Aisin Seiki Co. Ltd. 5 133 Bridgestone Corp. 17 364 Compagnie Generale des Etablissements Michelin 4 214 Continental AG 3 277 Denso Corp. 14 391 GKN Plc 19 99 Inchcape Plc 2 71 Koyo Seiko Co. Ltd. 4 60 NGK Spark Plug Co. Ltd. 5 72 NHK Spring Co. Ltd. 4 29 NOK Corp. (l) 3 77 Pirelli & C SpA 73 77 Sanden Corp. (l) 3 14 Sumitomo Rubber Industries Inc. 4 48 Toyoda Gosei Co. Ltd. 2 35 Valeo SA 2 77 Yamaha Motor Co. Ltd. 5 96 2,134 Banks - 16.5% 77 Bank Ltd. 7 51 ABN AMRO Holding NV 44 1,063 Allied Irish Banks Plc 22 471 Alpha Bank AE 7 202 Australia & New Zealand Banking Group Ltd. 46 849 Banca Antonveneta SpA 3 79 Banca Intesa SpA 24 103 Banca Intesa SpA 83 386 Banca Monte dei Paschi di Siena SpA 28 124 Banca Nazionale del Lavoro SpA (b) 34 108 Banca Popolare di Milano SCRL 10 104 Banche Popolari Unite Scrl 9 180 Banco Bilbao Vizcaya Argentaria SA 86 1,512 Banco BPI SA 7 33 Banco Comercial Portugues SA 48 134 Banco Espirito Santo SA (l) 3 45 Banco Popolare di Verona e Novara SCRL 9 174 Banco Popular Espanol SA 22 266 Banco Santander Central Hispano SA 151 1,985 Bank Austria Creditanstalt AG 1 106 Bank of East Asia Ltd. 37 109 Bank of Fukuoka Ltd. 15 108 Bank of Ireland 25 389 Bank of Kyoto Ltd. 6 60 Bank of Yokohama Ltd. 30 229 Barclays Plc 164 1,660 Bayerische Hypo-und Vereinsbank AG (b) 14 403 BNP Paribas 20 1,540 BOC Hong Kong Holdings Ltd. 96 192 Capitalia SpA 37 203 China Bank Ltd. 17 138 Commerzbank AG 12 332 Commonwealth Bank of Australia 33 954 Credit Agricole SA 15 439 Credit Suisse Group 31 1,366 Danske Bank A/S 11 340 DBS Group Holdings Ltd. 28 261 Depfa Bank Plc 9 147 Deutsche Bank AG 13 1,173 Dexia 14 318 DNB Nor Bank ASA 17 179 EFG Eurobank Ergasias SA 5 151 Emporiki Bank of Greece SA 2 49 Erste Bank der Oesterreichischen Sparkassen AG 3 179 Fortis 30 863 Gunma Bank Ltd. (l) 10 64 Hang Seng Bank Ltd. 20 265 HBOS Plc 99 1,494 Hokugin Financial Group Inc. 28 106 HSBC Holdings PLC 285 4,614 Joyo Bank Ltd. 17 104 KBC Groep NV 5 377 Macquarie Bank Ltd. 6 330 Mitsubishi UFJ Financial Group Inc. (l) - 2,446 Mitsui Trust Holding Inc. 14 194 Mizuho Financial Group Inc. - 1,361 National Australia Bank Ltd. 40 999 National Bank of Greece SA 7 274 Nishi-Nippon City Bank Ltd. 12 60 Nordea Bank AB 54 544 Oversea-Chinese Banking Corp. 66 242 Piraeus Bank SA 5 94 Resona Holdings Inc. (b) - 299 Royal Bank of Scotland Group Plc 81 2,296 Sanpaolo IMI SpA 28 437 Shinsei Bank Ltd. 25 157 Shizuoka Bank Ltd. 15 154 Skandinaviska Enskilda Banken AB 12 223 Sumitomo Mitsui Financial Group Inc. - 1,084 Sumitomo Trust & Banking Co. Ltd. 32 263 Suncorp-Metway Ltd. 14 211 Suruga Bank Ltd. (l) 5 55 Svenska Handelsbanken - Class A 13 306 UBS AG 27 2,313 UniCredito Italiano SpA 112 634 United Overseas Bank Ltd. 29 242 Westpac Banking Corp. 46 738 Wing Hang Bank Ltd. 4 30 42,767 Beverages - 1.7% Asahi Breweries Ltd. 10 120 C&C Group Plc 7 42 Cargotec Corp. - Class B (b) 1 27 Carlsberg A/S 1 51 Coca-Cola Amatil Ltd. 14 84 Coca-Cola Hellenic Bottling Co. SA 3 75 Coca-Cola West Japan Co. Ltd. 1 20 Diageo Plc 76 1,087 Foster's Group Ltd. 51 228 Fraser & Neave Ltd. 5 48 Heineken NV 6 204 InBev NV 5 181 Ito En Ltd. 1 37 Kirin Brewery Co. Ltd. 20 220 Kone Oyj (b) 1 62 Lion Nathan Ltd. 8 50 LVMH Louis Vuitton Moet Hennessy SA 6 514 Mitsubishi Chemical Holdings Corp. (b) 22 142 Pernod-Ricard SA 2 316 Punch Taverns Plc 7 94 SABMiller Plc 22 434 Sapporo Holdings Ltd. 8 42 Scottish & Newcastle Plc 19 157 Singapore Press Holdings Ltd. 39 108 Takara Holdings Inc. 4 26 4,369 Biotechnology - 0.1% Lonza Group AG 1 57 Novozymes A/S 1 69 Qiagen NV (b) 3 45 Sonic Healthcare Ltd. 6 73 Zeltia SA 5 33 277 Building Materials - 1.4% ACS Actividades Construccion Y Servicios SA 6 181 Asahi Glass Co. Ltd. 26 273 Boral Ltd. 14 87 BPB Plc 13 169 Central Glass Co. Ltd. (l) 4 23 Cie de Saint-Gobain 8 449 Cimpor Cimentos de Portugal SA 4 24 CRH Plc 14 368 CSR Ltd. 24 56 Daikin Industries Ltd. 6 163 Fletcher Building Ltd. 12 64 FLSmidth & Co. A/S 1 22 Grafton Group Plc (b) 5 54 Hanson Plc 19 197 Holcim Ltd. 5 311 Imerys SA 1 60 Italcementi SpA 2 39 James Hardie Industries NV 11 77 JS Group Corp. 6 97 Kingspan Group Plc 3 41 Lafarge SA 4 383 Matsushita Electric Works Ltd. 8 79 Nippon Sheet Glass Co. Ltd. 10 45 Pilkington Plc 26 64 Sumitomo Osaka Cement Co. Ltd. 8 26 Taiheiyo Cement Corp. 23 86 Techtronic Industries Co. 23 58 Titan Cement Co. SA 1 50 Travis Perkins Plc 3 74 Wienerberger AG 2 60 YIT-Yhtyma Oyj 2 69 3,749 Chemicals - 2.3% Air Liquide 3 508 Akzo Nobel NV 7 303 Asahi Kasei Corp. 31 169 BASF AG 14 1,026 Bayer AG 17 613 BOC Group Plc 13 255 Ciba Specialty Chemicals AG 2 101 Clariant AG (b) 6 88 Daicel Chemical Industries Ltd. 8 52 Dainippon Ink and Chemicals Inc. 17 56 Denki Kagaku Kogyo K K (l) 11 40 DSM NV 4 155 Hitachi Chemical Co. Ltd. 3 56 Imperial Chemical Industries Plc 31 163 Ishihara Sangyo Kaisha Ltd. 6 13 JSR Corp. (l) 5 96 Kaneka Corp. 7 91 Kingboard Chemical Holdings Ltd. 13 32 Mitsubishi Gas Chemical Co. Inc. 11 73 Mitsui Chemicals Inc. 17 100 Nippon Kayaku Co. Ltd. 4 31 Nippon Shokubai Co. Ltd. 3 32 Nissan Chemical Industries Ltd. 4 50 Nitto Denko Corp. 4 242 Sekisui Chemical Co. Ltd. 11 78 Shin-Etsu Chemical Co. Ltd. 10 432 Showa Denko KK 27 86 Solvay SA 2 199 Sumitomo Bakelite Co. Ltd. 4 27 Sumitomo Chemical Co. Ltd. (l) 38 235 Syngenta AG (b) 3 285 Taiyo Nippon Sanso Corp. 6 37 Tokuyama Corp. 5 49 Tosoh Corp. (l) 12 52 Ube Industries Ltd. 22 59 Yara International ASA 5 99 5,983 Commercial Services - 1.0% Abertis Infraestructuras SA 6 162 Adecco SA 3 150 Aggreko Plc. 5 22 Autoroutes du Sud de la France 2 94 Benesse Corp. 2 64 Brambles Industries Ltd. 24 165 Brambles Industries Plc 19 114 Brisa-Auto Estradas de Portugal SA 9 77 Bunzl Plc 9 89 Capita Group Plc 17 111 Dai Nippon Printing Co. Ltd. 16 258 Davis Service Group Plc 5 39 De La Rue Plc 5 34 Goodwill Group Inc. - 12 Group 4 Securicor Plc (b) 27 73 Hays Plc 44 95 Intertek Group Plc 4 48 Kamigumi Co. Ltd. 6 48 Mayne Nickless Ltd. 16 66 Nichii Gakkan Co. 1 12 Randstad Holdings NV 1 47 Rank Group Plc 16 86 Rentokil Initial Plc 48 139 SBM Offshore NV 1 67 Securitas AB - Class B 8 116 Serco Group Plc 12 54 SGS SA - 88 Societe Des Autoroutes Paris-Rhin-Rhone 1 62 TIS Inc. 1 17 Toppan Printing Co. Ltd. 14 148 Vedior NV 4 59 Waste Management NZ Ltd. 2 11 2,627 Computers - 0.6% Atos Origin (b) 2 121 Cap Gemini SA (b) 3 124 Computershare Ltd. 10 52 Creative Technology Ltd. 2 15 CSK Holdings Corp. 2 70 Fujitsu Ltd. 45 297 Getronics NV 3 41 Indra Sistemas SA 4 79 Itochu Techno-Science Corp. 1 24 LogicaCMG Plc 19 58 Logitech International SA (b) 2 84 Meitec Corp. 1 26 Misys Plc 13 48 NET One Systems Co. Ltd. (l) - 29 Obic Co. Ltd. - 34 TDK Corp. (l) 3 214 Tietoenator Oyj 2 70 Wincor Nixdorf AG - 34 WM-data AB 7 19 1,439 Cosmetics & Personal Care - 0.5% Aderans Co. Ltd. 1 19 Beiersdorf AG - 51 Givaudan - 117 Kao Corp. 13 320 Kose Corp 1 24 L'Oreal SA 8 581 Oriflame Cosmetics SA 1 29 Shiseido Co. Ltd. 9 130 Straumann Holding AG - 56 Uni-Charm Corp. 1 47 1,374 Distribution & Wholesale - 1.0% Buhrmann NV 3 32 Canon Sales Co. Inc. 2 41 Esprit Holdings Ltd. 25 185 Hagemeyer NV (b) 15 43 Itochu Corp. 38 261 Jardine Cycle & Carriage Ltd. 3 19 Jeronimo Martins 1 18 Li & Fung Ltd. 48 111 Marubeni Corp. (l) 34 158 Mitsubishi Corp. 30 590 Mitsubishi Logistics Corp. (l) 3 35 Mitsui & Co. Ltd. 36 451 Singapore Post Ltd. 42 30 Sojitz Corp. (b) 6 34 Sumitomo Corp. 27 285 Toyota Tsusho Corp. 4 73 Wolseley Plc 15 318 2,684 Diversified Financial Services - 2.5% Acom Co. Ltd. 2 128 Aeon Credit Service Co. Ltd. 1 52 Aiful Corp. 2 132 Amvescap Plc 18 118 Australian Stock Exchange Ltd. 3 56 Babcock & Brown Ltd. 4 67 Banca Fideuram SpA 8 46 Cattles Plc 9 45 Challenger Financial Services Group Ltd. 9 28 Close Brothers Group Plc 3 47 Credit Saison Co. Ltd. 4 175 D Carnegie AB 1 12 Daiwa Securities Group Inc. 32 250 Deutsche Boerse AG 3 246 E*Trade Securities Co. Ltd. - 44 Euronext NV 2 102 Fineco SpA 4 39 Hellenic Exchanges SA 1 10 Hitachi Capital Corp. 1 25 Hong Kong Exchanges and Clearing Ltd. 26 89 ICAP Plc 12 77 Irish Life & Permanent Plc 7 122 Lend Lease Corp. Ltd. 10 101 London Stock Exchange Plc 6 65 Man Group Plc 7 213 Matsui Securities Co. Ltd. 3 30 Mediobanca SpA 12 241 Mitsubishi UFJ Securities Co. 5 56 MLP AG 1 30 Muenchener Rueckversicherungs AG 5 533 Nikko Cordial Corp. 20 226 Nokian Renkaat OYJ 3 63 Nomura Holdings Inc. 45 698 OMX AB (b) 3 37 ORIX Corp. 2 379 Pacific Brands Ltd. 11 23 Perpetual Trustees Australia Ltd. 1 52 Promise Co. Ltd. (l) 2 163 Provident Financial Plc 6 68 Sampo Oyj 10 160 Schroders Plc 3 53 SFE Corp Ltd. 3 29 Shinko Securities Co. Ltd. 11 41 Singapore Exchange Ltd. 15 22 Societe Generale - Class A 9 1,008 Takefuji Corp. (l) 3 224 Tower Ltd. (b) 7 12 6,438 Electric - 3.3% Chubu Electric Power Co. Inc. (l) 15 366 CLP Holdings Ltd. 46 274 Contact Energy Ltd. 8 41 Edison SpA (b) 22 48 Electrabel SA 1 352 Electric Power Development Co. 4 120 Endesa SA 24 649 Enel SpA 109 943 Energias de Portugal SA 46 128 Hokkaido Electric Power Co. Inc. 4 89 HongKong Electric Holdings 35 175 Iberdrola SA 21 576 International Power Plc (b) 38 168 Kansai Electric Power Co. Inc. 20 433 Kyushu Electric Power Co. Inc. 10 218 National Grid Plc 69 647 Public Power Corp. 3 56 RWE AG 12 760 Scottish & Southern Energy Plc 22 396 Scottish Power Plc 47 478 Sharp Corp. 24 348 Terna SpA 31 79 Tohoku Electric Power Co. Inc. 11 238 Tokyo Electric Power Co. Inc. 29 738 Union Fenosa SA 5 176 Verbund - Oesterreichische Elektrizitaetswirtschafts AG - 74 8,570 Electrical Components & Equipment - 1.0% Bekaert SA - 41 Casio Computer Co. Ltd. 6 81 Fanuc Ltd. 5 372 Fujikura Ltd. 9 55 Furukawa Electric Co. Ltd. (b) 14 71 Hitachi Cable Ltd. 4 16 Hitachi Ltd. 81 513 Infineon Technologies AG (b) 16 160 Johnson Electric Holdings Ltd. 42 40 Kesa Electrical Plc 13 59 Micronas Semiconductor Hold (b) 1 39 Minebea Co. Ltd. 9 37 Mitsubishi Electric Corp. 50 320 Omron Corp. 5 127 Sanken Electric Co. Ltd. 3 34 Sanyo Electric Co. Ltd. 42 104 Sogecable SA (b) 1 40 Stanley Electric Co. Ltd. 4 56 STATS ChipPAC Ltd. (b) 26 16 Toshiba Corp. 74 326 Ushio Inc. 3 61 Vector Ltd. (b) 4 8 Vestas Wind Systems A/S (b) 4 103 2,679 Electronics - 1.8% Advantest Corp. (l) 2 147 Alps Electric Co. Ltd. 5 75 Anritsu Corp. 3 16 Barco NV - 20 Dainippon Screen Manufacturing Co. Ltd. 5 33 Electrocomponents Plc 11 48 Epcos AG (b) 1 14 Hirose Electric Co. Ltd. 1 93 Hoya Corp. 3 90 Hoya Corp. (b) 8 275 Ibiden Co. Ltd. 2 100 Johnson Matthey Plc 6 118 Keyence Corp. 1 206 Koninklijke Philips Electronics NV 33 889 Kyocera Corp. 4 285 Mabuchi Motor Co. Ltd. 1 39 Matsushita Electric Industrial Co. Ltd. 53 900 Mitsumi Electric Co. Ltd. 1 14 Murata Manufacturing Co. Ltd. 5 290 NEC Corp. 49 265 NGK Insulators Ltd. 7 89 Premier Farnell Plc 11 29 Rakuten Inc. - 80 Secom Co. Ltd. 6 265 Swatch Group AG 1 37 Taiyo Yuden Co. Ltd. 3 33 Uniden Corp. 2 29 Venture Corp. Ltd. 6 52 Yaskawa Electric Corp. (b) 5 39 Yokogawa Electric Corp. 5 79 4,649 Engineering & Construction - 1.4% ABB Ltd. (b) 50 365 Acciona SA 1 80 Alfa Laval AB 2 42 Amec Plc 9 55 Auckland International Airport Ltd. 27 42 Autostrade SpA 7 191 BAA Plc 27 301 Balfour Beatty Plc 10 61 Bouygues 5 239 Cheung Kong Infrastructure Holdings Ltd. 10 33 Chiyoda Corp. 4 74 COMSYS Holdings Corp. 3 35 Downer EDI Ltd. 6 29 Flughafen Wien AG - 15 Fomento de Construcciones y Contratas SA 1 66 Grupo Ferrovial SA 2 134 Hellenic Technodomiki Tev SA 4 19 Hochtief AG 2 71 JGC Corp. 5 91 Kajima Corp. 23 109 Kinden Corp. 3 26 Kobenhavns Lufthavne - 29 Leighton Holdings Ltd. 4 41 Linde AG 2 156 Nishimatsu Construction Co Ltd 5 21 Obayashi Corp 15 104 Okumura Corp. 4 24 SembCorp Industries Ltd. 23 41 Shimizu Corp. 15 98 Singapore Technologies Engineering Ltd. 34 51 Skanska AB 10 143 Societe des Autoroutes du Nord et de l'Est de la France (b) 1 32 Taisei Corp. 24 99 Takuma Co. Ltd. 2 16 Taylor Woodrow Plc 15 86 Technical Olympic SA 2 16 Technip SA 2 127 Toda Corp. 4 21 Transurban Group 19 106 Vinci SA 4 338 3,627 Entertainment - 0.3% Aristocrat Leisure Ltd. 8 69 Hilton Group Plc 41 226 Lottomatica SpA 1 27 Mitchells & Butlers Plc 13 81 OPAP SA 6 180 Oriental Land Co. Ltd. 1 69 Paddy Power Plc 1 18 Toho Co. Ltd. 3 54 UNiTAB Ltd. 3 28 William Hill Plc 10 104 856 Environmental Control - 0.1% Kurita Water Industries Ltd. (l) 3 49 Sega Sammy Holdings Inc. (b) 2 69 Tomra Systems ASA (l) 4 28 146 Food - 4.1% Ajinomoto Co. Inc. 15 158 Ariake Japan Co. Ltd. - 10 Axfood AB 1 15 Cadbury Schweppes Plc 53 534 Carrefour SA 14 660 Casino Guichard Perrachon SA 1 69 Colruyt SA - 49 Compass Group Plc 55 199 Danisco A/S 1 90 Delhaize Group 2 105 East Asiatic Co. Ltd. A/S 1 40 Ebro Puleva SA 2 35 Enterprise Inns Plc 9 129 Fyffes Plc 7 20 Greencore Group Plc 3 14 Groupe Danone 6 652 House Foods Corp. 2 32 Iaws Group Plc 2 35 J Sainsbury Plc 34 169 Katokichi Co. Ltd. 3 17 Kerry Group Plc 4 82 Kesko OYJ 2 44 Kikkoman Corp. 4 38 Koninklijke Ahold NV (b) 40 299 Meiji Dairies Corp. 5 27 Meiji Seika Kaisha Ltd. 8 42 Nestle SA 10 3,004 Nichirei Corp. 7 29 Nippon Meat Packers Inc. 4 43 Nisshin Seifun Group Inc. 4 43 Nissin Food Products Co. Ltd. 2 55 Olam International Ltd. (b) 16 13 Orkla ASA 5 183 QP Corp. 2 22 Royal Numico NV (b) 4 165 Sodexho Alliance SA 3 102 Suedzucker AG 2 38 Tate & Lyle Plc 12 96 Tesco Plc 198 1,081 Toyo Suisan Kaisha Ltd. 2 34 Unilever NV 15 1,033 Unilever Plc 70 734 Want Want Holdings Ltd. 9 9 Woolworths Ltd. 27 343 Yakult Honsha Co. Ltd. 3 72 Yamazaki Baking Co. Ltd. 3 27 10,690 Forest Products & Paper - 0.4% Billerud AB 2 22 Carter Holt Harvey Ltd. 14 24 Holmen AB 1 44 Mayr-Melnhof Karton AG - 20 Nippon Paper Group Inc. - 83 Norske Skogindustrier ASA 3 41 OJI Paper Co. Ltd. 20 109 PaperlinX Ltd. 10 24 Stora Enso Oyj - Class R 15 209 Svenska Cellulosa AB 5 176 UPM-Kymmene Oyj 13 269 1,021 Gas - 0.8% Alinta Ltd. 7 62 Australian Gas Light Co. Ltd. 11 128 BG Group Plc 90 854 Centrica Plc 94 409 Hong Kong & China Gas 90 186 Osaka Gas Co. Ltd. 52 182 Tokyo Gas Co. Ltd. (l) 58 236 2,057 Hand & Machine Tools - 0.5% ASM Pacific Technology 4 17 Fuji Electric Holdings Co. Ltd. 13 52 KCI Konecranes Oyj - 18 Makita Corp. 3 61 Nidec Corp. 1 83 Nidec Corp. (b) 1 82 Sandvik AB 5 260 Schneider Electric SA 6 454 SMC Corp. 1 186 THK Co. Ltd. 3 62 1,275 Healthcare - 0.6% Alliance Unichem Plc 7 100 Capio AB (b) 2 43 Cie Generale d'Optique Essilor International SA 3 210 Cochlear Ltd. 1 44 Coloplast A/S 1 52 DCA Group Ltd. 9 28 Elekta AB - Class B 1 30 Fisher & Paykel Healthcare Corp. 14 35 Fresenius Medical Care AG (l) 1 77 Gambro AB 7 105 Getinge AB - Class B 4 59 Luxottica Group SpA 3 82 Mediceo Paltac Holdings Co. Ltd. 3 48 Nobel Biocare Holding AG 1 143 Orient Overseas International Ltd. 5 18 Parkway Holdings Ltd. 18 23 Phonak Holding AG 1 49 Smith & Nephew Plc 24 198 SSL International Plc 4 19 Terumo Corp. 4 135 William Demant Holding (b) 1 29 1,527 Holding Companies - Diversified - 0.8% Compagnie Financiere Richemont AG 13 499 DCC Plc 2 42 Groupe Bruxelles Lambert SA 2 170 Haw Par Corp. Ltd. 3 10 Hutchison Whampoa Ltd. 54 559 ING Industrial Fund 20 36 Keppel Corp. Ltd. 14 105 Lagardere SCA 3 220 Patrick Corp. Ltd. 17 88 Swire Pacific Ltd. 24 221 Viohalco 2 16 Wharf Holdings Ltd. 30 118 2,084 Home Builders - 0.3% Barratt Developments Plc 6 78 Berkeley Group Holdings Plc 3 44 Bovis Homes Group Plc 3 29 Daiwa House Industry Co. Ltd. 13 170 George Wimpey Plc 11 80 Persimmon Plc 7 107 Sanwa Shutter Corp. 4 25 Sekisui House Ltd. 13 159 692 Home Furnishings - 0.6% Bang & Olufsen A/S - 28 Electrolux AB 7 171 Fisher & Paykel Appliances Holdings Ltd. 7 17 Kingfisher Plc 60 229 MFI Furniture Plc 13 25 Nitori Co. Ltd. 1 42 Pioneer Corp. 4 56 Sony Corp. 25 835 Waterford Wedgewood Plc (b) 1 - Yamaha Corp. 5 81 1,484 Household Products - 0.3% Henkel KGaA 2 141 Reckitt Benckiser Plc 16 482 Societe BIC SA 1 50 Toto Ltd. 7 56 729 Insurance - 4.3% Aegon NV 36 527 Alleanza Assicurazioni SpA 11 131 Allianz AG 10 1,292 AMP Ltd. 47 265 Assicurazioni Generali SpA 24 767 Aviva Plc 60 661 AXA Asia Pacific Holdings Ltd. 22 83 AXA SA 36 1,000 CNP Assurances 1 59 Corporacion Mapfre SA 3 49 Friends Provident Plc 48 158 ING Groep NV 48 1,419 Insurance Australia Group Ltd. 42 173 Legal & General Group Plc 165 331 Mediolanum SpA 7 47 Millea Holdings Inc. - 593 Mitsui Sumitomo Insurance Co. Ltd. 31 359 Pohjola Group Plc - Class D 1 21 Prudential Plc 61 550 QBE Insurance Group Ltd. 20 279 Resolution Plc 5 58 Riunione Adriatica di Sicurta SpA 8 174 Royal & Sun Alliance Insurance Group 74 126 SCOR 20 41 Skandia Forsakrings AB 26 135 Sompo Japan Insurance Inc. 21 278 Storebrand ASA 6 56 Swiss Reinsurance 8 538 T&D Holdings Inc. 6 348 Topdanmark A/S (b) 1 41 Zurich Financial Services AG (b) 4 625 11,184 Internet - 0.3% eAccess Ltd. - 23 Index Corp. - 12 Index Corp. (b) - 12 SBI Holdings Inc. - 59 Softbank Corp. 6 350 Yahoo! Japan Corp. - 115 Yahoo! Japan Corp. (b) - 117 688 Investment Companies - 0.1% Macquarie Airports 14 36 Macquarie Communications Infrastructure Group 7 34 Macquarie Infrastructure Group 60 183 253 Iron & Steel - 0.8% Acerinox SA 4 62 Arcelor 13 305 BlueScope Steel Ltd. 18 130 Boehler-Uddeholm AG - 41 Corus Group Plc 112 101 Daido Steel Co. Ltd. 8 51 JFE Holdings Inc. 14 461 Nippon Steel Corp. 156 585 OneSteel Ltd. 16 46 Rautaruukki OYJ 2 49 Ssab Svenskt Stal AB 2 56 ThyssenKrupp AG 9 192 Tokyo Steel Manufacturing Co. Ltd. 3 39 Voestalpine AG 1 49 2,167 Leisure Time - 0.3% Amer Sports OYJ 2 37 Carnival Plc 4 220 EMI Group PLC 21 88 First Choice Holidays Plc 10 39 Kuoni Reisen Holding - 31 Sankyo Co. Ltd. 1 63 Sega Sammy Holdings Inc. (l) 2 70 Shimano Inc. 2 49 TABCORP Holdings Ltd. 13 173 TUI AG 6 122 892 Lodging - 0.2% Accor SA 5 248 Hyatt Regency SA 1 11 Intercontinental Hotels Group Plc 11 139 NH Hoteles SA 3 40 Overseas Union Enterprise Ltd. 1 6 Shangri-La Asia Ltd. 28 45 Sky City Entertainment Group Ltd. 9 30 519 Machinery - 1.0% Alstom RGPT (b) 12 550 Amada Co. Ltd. 9 72 Andritz AG - 21 Atlas Copco AB - Class A 8 162 Atlas Copco AB - Class B 6 95 Cookson Group Plc (b) 6 33 Ebara Corp. (l) 7 30 Heidelberger Druckmaschinen 1 41 Hitachi Construction Machinery Co. Ltd. 3 52 Komatsu Ltd. 23 313 Komori Corp. 2 36 Kubota Corp. 27 187 MAN AG (l) 4 182 Metso Oyj 3 65 Mitsubishi Heavy Industries Ltd. 76 269 Noble Group Ltd. 20 19 Rieter Holding AG - 35 Schindler Holding AG - 49 SIG Holding AG - 37 Sumitomo Heavy Industries Ltd. 13 92 Tele2 AB 8 81 Toyota Industries Corp. 5 159 2,580 Manufacturing - 2.5% AGFA-Gevaert NV 2 56 Amano Corp. 2 31 Ansell Ltd. 4 36 BBA Group Plc 11 59 E.ON AG 16 1,455 FKI Plc 18 34 Fuji Photo Film Co. Ltd. 12 409 Futuris Corp. Ltd. 11 18 Glory Ltd. 1 25 IMI Plc 9 65 Invensys Plc (b) 158 40 Ishikawajima-Harima Heavy Industries Co. Ltd. (b) 30 61 Kansai Paint Co. Ltd. 6 38 Kawasaki Heavy Industries Ltd. 30 76 Kobe Steel Ltd. (l) 70 213 Konica Minolta Holdings Inc. (l) 12 105 Nikon Corp. 7 88 Nippon Electric Glass Co. Ltd. 5 90 NKT Holding A/S - 17 Norsk Hydro ASA 4 405 Olympus Corp. 6 133 Orica Ltd. 7 113 RHI AG (b) - 12 Rinker Group Ltd. 24 307 Rinnai Corp. 1 18 Siemens AG 20 1,571 Smiths Group Plc 14 238 Sulzer AG - 51 Synthes Inc. 1 147 Thomson 7 139 Trelleborg AB 2 38 Uponor Oyj 2 41 Wartsila Oyj 2 51 Wesfarmers Ltd. 10 294 Zeon Corp. 4 44 6,518 Media - 1.7% Antena 3 de Television SA 2 38 APN News & Media Ltd. 7 25 Arnoldo Mondadori Editore SpA 4 40 British Sky Broadcasting Plc 31 310 Daily Mail & General Trust 8 92 Emap Plc 7 97 Eniro AB 4 49 Fuji Television Network Inc. - 36 Gruppo Editoriale L'Espresso SpA 4 21 Independent News & Media Plc 15 43 ITV Plc 7 14 John Fairfax Holdings Ltd. 22 77 Mediaset SpA 21 251 Modern Times Group AB (b) 1 51 Pearson Plc 20 233 Premiere AG (b) 1 29 Promotora de Informaciones SA 2 41 ProSiebenSat.1 Media AG 2 39 Publishing & Broadcasting Ltd. 4 45 Reed Elsevier NV 18 251 Reed Elsevier Plc 32 300 Reuters Group Plc 37 245 Schibsted ASA 1 41 SCMP Group Ltd. 20 7 Seat Pagine Gialle SpA (b) 107 53 Sky Network Television Ltd. (b) 10 42 Societe Television Francaise 1 3 90 Sumitomo Electric Industries Ltd. 18 243 Telecom Italia Media SpA (b) 31 20 Television Broadcasts Ltd. 8 49 Tokyo Broadcasting System Inc. 1 21 Trinity Mirror Plc 7 74 United Business Media Plc 7 65 Vivendi Universal SA 27 890 VNU NV 6 188 Wolters Kluwer NV 8 144 Yell Group Plc 18 154 4,408 Metal Fabrication & Hardware - 0.5% Assa Abloy AB 8 106 Hoganas AB 1 14 Nippon Light Metal Co. 12 33 Nisshin Steel Co. Ltd. 22 76 NSK Ltd. 11 61 NTN Corp. (l) 11 66 Rio Tinto Ltd. 7 326 SKF AB 10 129 Sumitomo Metal Industries Ltd. 102 358 1,169 Mining - 2.2% Alumina Ltd. 29 133 Anglo American Plc 36 1,076 BHP Billiton Ltd. 91 1,547 BHP Billiton Plc 63 1,014 Centro Properties Group 20 93 Dowa Mining Co. Ltd. 7 59 Iluka Resources Ltd. 6 43 Mitsubishi Materials Corp. 23 81 Mitsui Mining & Smelting Co. Ltd. 14 81 Newcrest Mining Ltd. 8 135 Outokumpu OYJ 3 34 Rio Tinto Plc 27 1,111 Solomon Systech International Ltd. 43 16 Sumitomo Metal Mining Co. Ltd. 14 130 Umicore 1 68 5,621 Office & Business Equipment - 0.6% Canon Inc. 19 1,037 Neopost SA 1 81 OCE NV 2 36 Ricoh Co. Ltd. 17 266 Seiko Epson Corp. 3 69 1,489 Office Furnishings - 0.0% Kokuyo Co. Ltd. 2 29 Oil & Gas Producers - 8.3% BP Plc 538 6,392 Caltex Australia Ltd. 3 49 ENI SpA 66 1,966 Fortum Oyj 11 223 Gas Natural SDG SA 5 136 Hellenic Petroleum SA 3 48 INPEX Corp. - 78 Lundin Petroleum AB (b) 5 57 Nippon Mining Holdings Inc. 20 155 Nippon Oil Corp. 32 283 OMV AG 4 249 Origin Energy Ltd. 20 110 Repsol YPF SA 23 754 Royal Dutch Shell Plc 77 2,645 Royal Dutch Shell Plc - Class A 99 3,254 Santos Ltd. 15 140 Showa Shell Sekiyu KK 4 55 Singapore Petroleum Co. Ltd. 3 10 Smedvig ASA 1 20 Statoil ASA 17 414 Teikoku Oil Co. Ltd. 5 54 TonenGeneral Sekiyu KK 8 93 Total SA 15 3,967 Woodside Petroleum Ltd. 12 330 21,482 Oil & Gas Services - 0.1% Frontline Ltd. 1 62 Neste Oil OYJ (b) 3 119 Petroleum Geo-Services ASA (b) 2 48 ProSafe ASA 1 43 Stolt Offshore SA (b) 5 58 330 Packaging & Containers - 0.1% Amcor Ltd. 22 113 Rexam Plc 14 124 Toyo Seikan Kaisha Ltd. 4 65 302 Pharmaceuticals - 7.4% Alfresa Holdings Corp. 1 23 Altana AG 2 101 Astellas Pharma Inc. 14 521 AstraZeneca Plc 41 1,921 Celesio AG 1 86 Chugai Pharmaceutical Co. Ltd. 7 131 CSL Ltd. 5 144 Daiichi Sankyo Co. Ltd. (b) 17 345 Eisai Co. Ltd. 6 269 Elan Corp. Plc (b) 11 95 GlaxoSmithKline Plc 149 3,783 H Lundbeck A/S 2 38 Kaken Pharmaceutical Co. Ltd. 2 15 Kyowa Hakko Kogyo Co. Ltd. 8 62 Lloyds TSB Group Plc 142 1,172 Merck KGaA 1 108 Novartis AG 60 3,044 Novo-Nordisk A/S - Class B 6 303 Omega Pharma SA - 26 Orion OYJ 2 42 Roche Holding AG 18 2,481 Sanofi-Aventis 27 2,224 Santen Pharmaceutical Co. Ltd. (l) 2 44 Schering AG 4 268 Serono SA - Class B - 97 Shionogi & Co. Ltd. 8 109 Suzuken Co. Ltd. 2 51 Taisho Pharmaceutical Co. Ltd. 4 72 Takeda Pharmaceutical Co. Ltd. 23 1,346 Tanabe Seiyaku Co. Ltd. 6 61 UCB SA 2 116 19,098 Pipelines - 0.0% Geberit AG - 71 Real Estate - 2.4% Allgreen Properties Ltd 11 9 Ascendas Real Estate Investment Trust 19 24 Bellway Plc 3 46 British Land Co. Plc 13 222 Brixton Plc 6 40 CapitaLand Ltd. 27 50 CapitaMall Trust 14 19 Castellum AB 1 33 CFS Gandel Retail Trust 38 53 Cheung Kong Holdings Ltd. 38 429 City Developments Ltd. 12 66 Cofinimmo - 27 Commonwealth Property Office Fund 39 37 Corio NV 1 64 Daito Trust Construction Co. Ltd. 2 88 DB RREEF Trust 69 73 Fabege AB 2 32 Gecina SA - 29 GPT Group 46 137 Great Portland Estates Plc 4 27 Hammerson Plc 7 115 Hang Lung Properties Ltd. 45 72 Henderson Land Development Co. Ltd. 18 90 Hopewell Holdings 16 42 Hypo Real Estate Holding AG 3 172 Hysan Development Co. Ltd. 17 43 IMMOFINANZ Immobilien Anlagen AG (b) 9 84 Inmobiliaria Colonial 1 43 Investa Property Group 36 58 IVG Immobilien AG 2 33 Japan Prime Realty Investment Corp. - 28 Japan Real Estate Investment Corp. - 64 Japan Retail Fund Investment Corp. - 48 Keppel Land Ltd. 9 20 Kerry Properties Ltd. 14 34 Kiwi Income Property Trust 16 13 Klepierre 1 59 Land Securities Group Plc 12 311 Leopalace21 Corp. 3 77 Liberty International Plc 6 107 Macquarie Goodman Group 30 98 Meinl European Land Ltd. (b) 2 31 Metrovacesa SA 1 108 Mirvac Group 21 64 Mitsubishi Estate Co. Ltd. 28 384 Mitsui Fudosan Co. Ltd. 20 301 Multiplex Group 14 34 New World Development Co. Ltd. 55 72 Nippon Building Fund Inc. - 77 Nomura Real Estate Office Fund Inc. - 37 NTT Urban Development Corp. - 26 PSP Swiss Property AG (b) 1 43 Rodamco Europe NV 1 101 Sacyr Vallehermoso SA 3 76 Singapore Land Ltd. 3 10 Sino Land Co. 34 41 Slough Estates Plc 11 101 Stockland 33 155 Sumitomo Realty & Development Co. Ltd. 10 148 Sun Hung Kai Properties Ltd. 34 352 Suntec Real Estate Investment Trust 18 12 Tokyo Tatemono Co. Ltd. 5 41 Tokyu Land Corp. 9 58 Unibail 1 171 United Overseas Land Ltd. 15 20 Wereldhave NV 1 55 Westfield Group 37 474 Wihlborgs Fastigheter AB (b) - 8 Wing Tai Holdings Ltd. 14 12 6,128 Retail - 2.0% Aeon Co. Ltd. 17 333 Aoyama Trading Co. Ltd. 2 45 Autobacs Seven Co. Ltd. 1 31 Autogrill SpA 3 44 Boots Group Plc 18 197 Bulgari SpA 4 40 Circle K Sunkus Co. Ltd. 1 22 Citizen Watch Co. Ltd. 7 54 Coles Myer Ltd. 29 223 Daimaru Inc. 5 59 D'ieteren SA - 18 Douglas Holding AG 1 36 DSG International Plc 47 126 FamilyMart Co. Ltd. 2 51 Folli - Follie SA - 10 Germanos SA 2 25 Giordano International Ltd. 44 30 GUS Plc 25 383 Hankyu Department Stores (l) 3 24 Harvey Norman Holdings Ltd. 11 24 Hellenic Duty Free Shops SA 1 9 Hennes & Mauritz AB - Class B 12 430 HMV Group Plc 10 37 Inditex SA 6 162 Isetan Co. Ltd. (l) 4 67 KarstadtQuelle AG 2 26 Lawson Inc. 1 53 Marks & Spencer Group Plc 42 280 Marui Co. Ltd. 8 133 Matsumotokiyoshi Co. Ltd. 1 36 Metro AG 4 186 Mitsukoshi Ltd. 10 48 Next Plc 7 160 PPR SA 2 175 Ryohin Keikaku Co. Ltd. 1 45 Seven & I Holdings Co. Ltd. (b) 21 681 Shimachu Co. Ltd. 1 25 Shimamura Co. Ltd. 1 55 Signet Group Plc 46 84 Skylark Co. Ltd. 2 29 Sonae SGPS SA 25 43 Swatch Group AG - Class B 1 115 Takashimaya Co. Ltd. 7 89 UNY Co. Ltd. 4 53 USS Co. Ltd. 1 45 Valora Holding AG - 14 Warehouse Group Ltd. 6 15 Whitbread Plc 6 108 Yamada Denki Co. Ltd 2 144 Yue Yuen Industrial Holdings 14 37 5,159 Semiconductors - 0.4% ARM Holdings Plc 33 68 ASML Holding NV (b) 13 205 Chartered Semiconductor Manufacturing Ltd. (b) 21 14 Elpida Memory Inc. (b) 1 23 NEC Electronics Corp. 1 27 Rohm Co. Ltd. 3 234 STMicroelectronics NV 16 278 Tokyo Electron Ltd. 4 218 Unaxis Holding AG - 32 1,099 Shipbuilding - 0.0% Mitsui Engineering & Shipbuilding Co. Ltd. 18 43 SembCorp Marine Ltd. 11 19 62 Software - 0.6% Business Objects SA (b) 2 60 Dassault Systemes SA 1 71 Fuji Soft ABC Inc. 1 24 Hitachi Software Engineering Co. Ltd. 1 16 iSOFT Group Plc 5 38 Konami Corp. 2 52 Nomura Research Institute Ltd. 1 69 Oracle Corp. Japan 1 31 Sage Group Plc 32 129 SAP AG 6 970 Telelogic AB (b) 5 11 Trend Micro Inc. 3 79 1,550 Telecommunications - 4.2% Belgacom SA 4 140 BT Group Plc 216 847 Cable & Wireless Plc 61 154 Cintra Concesiones de Infraestructuras de Transporte SA (b) 5 68 Cosmote Mobile Telecommunications SA 3 69 Datacraft Asia Ltd. (b) 5 5 Deutsche Telekom AG 69 1,262 Eircom Group Plc 14 32 Elisa OYJ 4 61 France Telecom SA 43 1,233 GN Store Nord 6 78 Hellenic Telecommunications Organization SA 6 122 Intracom SA 3 19 KDDI Corp. - 366 Marconi Corp. Plc (b) 6 35 Mobistar SA 1 58 Nippon Telegraph & Telephone Corp. - 649 NTT Data Corp. - 123 Oki Electric Industry Co. Ltd. 13 44 PCCW Ltd. 92 60 Portugal Telecom SGPS SA 20 180 PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA 2 21 Royal KPN NV 53 478 Singapore Telecommunications Ltd. 171 247 SmarTone Telecommunications Holding Ltd. 7 7 Swisscom AG 1 183 Tandberg Television ASA (b) 2 27 TDC A/S 5 269 Telecom Corp. Ltd. (l) 50 207 Telecom Italia SpA 425 1,310 Telefonica SA 113 1,857 Telekom Austria AG 9 173 Telenor ASA 20 183 TeliaSonera AB 47 223 Telstra Corp. Ltd. (l) 55 171 Tiscali SpA (b) 5 16 10,977 Telecommunications Equipment - 1.5% Alcatel SA (b) 32 420 Hutchison Telecommunications International Ltd. (b) 57 83 Kudelski SA (b) 1 36 Nokia OYJ 113 1,889 Tandberg ASA 4 50 Telefonaktiebolaget LM Ericsson - Class B 376 1,374 3,852 Textiles - 0.2% Kuraray Co. Ltd. 10 84 Mitsubishi Rayon Co. Ltd. 14 63 Nisshinbo Industries Inc. (l) 4 35 Teijin Ltd. (l) 21 122 Texwinca Holdings Ltd. 16 11 Toray Industries Inc. 34 181 Toyobo Co. Ltd. 16 39 535 Tobacco - 0.6% Altadis SA 7 323 British American Tobacco Plc 41 851 Gallaher Group Plc 17 262 1,436 Toys & Hobbies - 0.1% Namco Bandai Holdings Inc. (b) 5 85 Nintendo Co. Ltd. 3 292 377 Transportation - 1.7% AP Moller - Maersk A/S - 317 Arriva Plc 5 52 Associated British Ports Holdings Plc 8 71 Central Japan Railway Co. - 311 ComfortDelgro Corp. Ltd. 46 41 Compagnie Maritime Belge SA 1 22 Cosco Corp. Singapore Ltd. 9 14 D/S Torm A/S - 19 Deutsche Post AG 16 364 DSV A/S 1 62 East Japan Railway Co. - 491 Euronav NV - 15 Exel Plc 7 161 Firstgroup Plc 10 58 Kawasaki Kisen Kaisha Ltd. 13 94 Keihin Electric Express Railway Co. Ltd. 12 75 Keio Corp. 14 77 Keisei Electric Railway Co. Ltd. 6 33 Kintetsu Corp. 39 132 Mitsui OSK Lines Ltd. 27 216 MTR Corp. 33 69 National Express Group Plc 4 52 Neptune Orient Lines Ltd. 11 20 Nippon Express Co. Ltd. 21 104 Nippon Yusen KK 27 181 Odakyu Electric Railway Co. Ltd. 16 87 Peninsular and Oriental Steam Navigation Co. 19 112 Seino Holdings Corp. 4 37 SembCorp Logistics Ltd. 9 9 SMRT Corp. Ltd. 14 9 Snam Rete Gas SpA 26 149 Stagecoach Group Plc 21 41 Stolt-Nielsen SA (b) 1 44 TNT NV 10 247 Tobu Railway Co. Ltd. 19 76 Tokyu Corp. 23 122 Toll Holdings Ltd. 6 64 West Japan Railway Co. - 163 Yamato Transport Co. Ltd. 10 164 4,375 Venture Capital - 0.1% 3i Group Plc 15 207 Jafco Co. Ltd. 1 52 259 Water - 0.6% Kelda Group Plc 9 117 Severn Trent Plc 9 152 Sociedad General de Aguas de Barcelona SA 2 40 Suez SA 23 667 United Utilities Plc 22 256 Veolia Environnement 8 327 1,559 Wireless Telecommunications - 1.9% Hikari Tsushin Inc 1 38 NTT DoCoMo Inc. (l) - 774 Vodafone Airtouch Plc 1,615 4,202 5,014 Total Common Stocks (cost $216,943) 250,016 Preferred Stocks - 0.1% Auto Manufacturers - 0.1% Porsche AG - 151 Healthcare - 0.0% Fresenius Medical Care AG 1 54 Total Preferred Stocks (cost $169) 205 Rights - 0.0% Telecommunications - 0.0% Eircom Group Plc, Strike Price 1.35 EUR, 10/07/05 6 4 Total Rights (cost $0) 4 Warrants - 0.0% Chemicals - 0.0% Kingboard Chemical Holdings Ltd., Strike Price 20.00 HKD, Expiring 12/31/06 1 1 Total Warrants (cost $0) 1 Short Term Investments - 21.5% Money Market Funds - 2.9% Dreyfus Cash Management Plus Fund, 3.64% (a) (n) 7,389 7,389 Securities Lending Collateral - 18.5% Mellon GSL Delaware Business Trust Collateral Fund (n) 47,846 47,846 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 3.435%, 12/08/05 (m) 500 497 Total Short Term Investments (cost $55,732) 55,732 Total Investments - 118.2% (cost $272,844) 305,958 Other Assets and Liabilities, Net - (18.2%) (47,186) Total Net Assets - 100% $258,772 JNL/Mellon Capital Management S&P 400 MidCap Index Fund Common Stocks - 97.2% Advertising - 0.2% Catalina Marketing Corp. 10 $219 Harte-Hanks Inc. 14 369 588 Aerospace & Defense - 0.3% Alliant Techsystems Inc. (b) 9 673 Sequa Corp. - Class A (b) 2 91 764 Airlines - 0.3% AirTran Holdings Inc. (b) (l) 22 273 Alaska Air Group Inc. (b) 7 190 JetBlue Airways Corp. (b) (l) 23 409 872 Apparel - 1.1% Foot Locker Inc. 37 815 Payless ShoeSource Inc. (b) 16 285 Polo Ralph Lauren Corp. 14 722 Timberland Co. - Class A (b) 13 447 Urban Outfitters Inc. (b) 26 776 3,045 Auto Parts & Equipment - 0.8% ArvinMeritor Inc. (l) 17 277 Bandag Inc. 3 121 BorgWarner Inc. 13 756 Lear Corp. 16 541 Modine Manufacturing Co. 8 307 2,002 Banks - 4.0% Associated Bancorp. 31 943 Bank of Hawaii Corp. 12 609 Brink's Co. 14 579 City National Corp. 10 695 Colonial BancGroup Inc. 37 825 Commerce Bancorp. Inc. (l) 39 1,209 Cullen/Frost Bankers Inc. 11 540 FirstMerit Corp. 20 537 Greater Bay Bancorp. 12 297 Investors Financial Services Corp. (l) 16 515 Mercantile Bankshares Corp. 20 1,061 SVB Financial Group (b) (l) 8 412 TCF Financial Corp. 27 732 Texas Regional Bancshares Inc. - Class A 10 282 Washington Federal Inc. (l) 21 470 Westamerica Bancorp. (l) 8 410 Wilmington Trust Corp. 16 583 10,699 Beverages - 0.1% PepsiAmericas Inc. 16 366 Biotechnology - 1.3% Charles River Laboratories International Inc. (b) 17 743 Invitrogen Corp. (b) (l) 13 958 Martek Biosciences Corp. (b) (l) 8 264 Millennium Pharmaceuticals Inc. (b) 73 681 Protein Design Labs Inc. (b) (l) 26 720 3,366 Building Materials - 0.3% Martin Marietta Materials Inc. 11 868 Chemicals - 2.4% Airgas Inc. 16 474 Albemarle Corp. 10 373 Cabot Corp. 15 492 Chemtura Corp. 57 708 Cytec Industries Inc. 10 426 Ferro Corp. 10 180 Lubrizol Corp. 16 696 Lyondell Chemical Co. (l) 49 1,406 Minerals Technologies Inc. 5 278 Olin Corp. 17 320 RPM International Inc. 28 520 Valspar Corp. 24 540 6,413 Commercial Services - 4.3% Adesa Inc. 21 468 Alliance Data Systems Corp. (b) (l) 17 652 Banta Corp. (l) 6 288 Career Education Corp. (b) 25 879 Certegy Inc. 15 586 ChoicePoint Inc. (b) 21 925 Corinthian Colleges Inc. (b) (l) 22 286 Corporate Executive Board Co. 10 762 Deluxe Corp. 12 488 Dun & Bradstreet Corp. (b) 16 1,061 Education Management Corp. (b) 16 517 Gartner Inc. - Class A (b) 16 189 ITT Educational Services Inc. (b) 9 449 Kelly Services Inc. - Class A 5 141 Korn/Ferry International (b) 10 161 Laureate Education Inc. (b) 12 584 Manpower Inc. 21 929 MoneyGram International Inc. 21 446 MPS Group Inc. (b) 25 290 Plexus Corp. (b) (l) 10 175 Quanta Services Inc. (b) 28 361 Rollins Inc. 7 138 United Rentals Inc. (b) (l) 16 317 Valassis Communications Inc. (b) (l) 12 462 11,555 Computers - 3.5% Anteon International Corp. (b) (l) 8 338 BISYS Group Inc. (b) 29 385 Ceridian Corp. (b) 36 738 Cognizant Technology Solutions Corp. (b) 33 1,528 Diebold Inc. 17 585 DST Systems Inc. (b) (l) 17 918 Imation Corp. 8 351 Jack Henry & Associates Inc. 18 350 McData Corp. - Class A (b) (l) 37 194 Mentor Graphics Corp. (b) (l) 19 163 SanDisk Corp. (b) 44 2,105 SRA International Inc. - Class A (b) 9 311 Synopsys Inc. (b) 34 644 Western Digital Corp. (b) 51 653 9,263 Distribution & Wholesale - 0.9% CDW Corp. (l) 15 888 Fastenal Co. (l) 15 908 Tech Data Corp. 14 500 2,296 Diversified Financial Services - 2.9% AG Edwards Inc. 18 799 Allmerica Financial Corp. (b) 13 528 Eaton Vance Corp. 31 775 IndyMac Bancorp. Inc. 15 603 Jefferies Group Inc. 12 525 LaBranche & Co. Inc. (b) (l) 14 120 Legg Mason Inc. 27 2,968 Raymond James Financial Inc. 14 438 SEI Investments Co. 15 578 Waddell & Reed Financial Inc. - Class A 20 384 7,718 Electric - 5.1% Alliant Energy Corp. 28 815 Aquila Inc. (b) 90 355 Black Hills Inc. 8 333 DPL Inc. 31 855 Duquesne Light Holdings Inc. (l) 18 316 Energy East Corp. (l) 36 900 Great Plains Energy Inc. (l) 18 536 Hawaiian Electric Industries Inc. 19 534 Idacorp Inc. 10 302 MDU Resources Group Inc. 29 1,025 Northeast Utilities 31 613 NSTAR 25 731 OGE Energy Corp. 21 600 Pepco Holdings Inc. 45 1,057 Puget Energy Inc 24 565 SCANA Corp. 27 1,151 Sierra Pacific Resources (b) 44 653 Westar Energy Inc. 21 502 Wisconsin Energy Corp. 28 1,121 WPS Resources Corp. 9 527 13,491 Electrical Components & Equipment - 1.3% Ametek Inc. 17 729 CommScope Inc. (b) (l) 13 228 Energizer Holdings Inc. (b) 17 962 Hubbell Inc. - Class B 15 684 PNM Resources Inc. 16 470 Thomas & Betts Corp. (b) 13 433 3,506 Electronics - 2.0% Amphenol Corp. - Class A 21 860 Arrow Electronics Inc. (b) 28 891 Avnet Inc. (b) 35 854 Gentex Corp. 37 643 Kemet Corp. (b) 20 171 Republic Services Inc. Class A 30 1,046 Varian Inc. (b) 8 261 Vishay Intertechnology Inc. (b) 44 528 5,254 Engineering & Construction - 0.6% Dycom Industries Inc. (b) 12 235 Granite Construction Inc. 8 302 Jacobs Engineering Group Inc. (b) 14 936 1,473 Entertainment - 0.6% GTECH Holdings Corp. 28 891 International Speedway Corp. - Class A 8 443 Macrovision Corp. (b) 12 232 1,566 Environmental Control - 0.2% Stericycle Inc. (b) 11 602 Food - 2.3% Dean Foods Co. (b) 36 1,386 Hormel Foods Corp. 18 578 JM Smucker Co. 14 672 Ruddick Corp. 8 192 Sensient Technologies Corp. 11 212 Smithfield Foods Inc. (b) 24 704 Tootsie Roll Industries Inc. 7 218 Whole Foods Market Inc. 16 2,178 6,140 Forest Products & Paper - 0.7% Bowater Inc. 13 380 Glatfelter 11 149 Longview Fibre Co. 12 232 Potlatch Corp. 7 359 Rayonier Inc. (l) 12 698 1,818 Gas - 0.9% AGL Resources Inc. 18 678 Oneok Inc. 24 823 Vectren Corp. 18 518 WGL Holdings Inc. (l) 12 372 2,391 Hand & Machine Tools - 0.2% Kennametal Inc. 9 452 Healthcare - 6.9% Advanced Medical Optics Inc. (b) 16 602 Apria Healthcare Group Inc. 12 372 Beckman Coulter Inc. 15 794 Community Health Systems Inc. (b) 22 835 Covance Inc. 15 719 Cytyc Corp. (b) 27 726 Edwards Lifesciences Corp. (b) 14 626 Gen-Probe Inc. (b) 12 602 Health Net Inc. (b) 27 1,288 Henry Schein Inc. 21 892 Hillenbrand Industries Inc. 15 690 Inamed Corp. (b) 9 651 Intuitive Surgical Inc. (b) 8 608 LifePoint Hospitals Inc. (b) 14 597 Lincare Holdings Inc. (b) 24 966 Pacificare Health Systems (b) (l) 21 1,679 Patterson Cos. Inc. (b) 33 1,325 Renal Care Group Inc. (b) 15 729 STERIS Corp. 16 391 Techne Corp. (b) 9 532 Triad Hospitals Inc. (b) 21 942 Universal Health Services Inc. 14 655 Varian Medical Systems Inc. (b) 31 1,239 18,460 Holding Companies - Diversified - 0.4% DeVry Inc. (b) (l) 14 268 Leucadia National Corp. (l) 20 849 1,117 Home Builders - 1.7% Hovnanian Enterprises Inc. - Class A (b) 9 463 Lennar Corp. 32 1,918 Ryland Group Inc. 11 764 Toll Brothers Inc. (b) 29 1,293 4,438 Home Furnishings - 0.7% Furniture Brands International Inc. (l) 12 218 Harman International Industries Inc. 16 1,626 1,844 Household Products - 0.7% American Greetings Corp. 16 446 Blyth Inc. 6 142 Church & Dwight Co. Inc. 15 567 Scotts Miracle-Gro Co. 5 476 Tupperware Corp. 13 299 1,930 Insurance - 5.4% American Financial Group Inc. 11 378 AmerUs Group Co. 9 535 Arthur J Gallagher & Co. (l) 23 654 Brown & Brown Inc. (l) 13 659 Everest Re Group Ltd. 14 1,326 Fidelity National Financial Inc. 42 1,849 First American Corp. 23 1,043 HCC Insurance Holdings Inc. 25 723 Horace Mann Educators Corp. 10 198 Mercury General Corp. (l) 8 504 Ohio Casualty Corp. 15 420 Old Republic International Corp. 44 1,171 PMI Group Inc. 22 884 Protective Life Corp. 16 679 Radian Group Inc. 20 1,083 Stancorp Financial Group Inc. 7 559 Unitrin Inc. 11 521 WR Berkley Corp. 27 1,058 14,244 Internet - 1.4% Avocent Corp. (b) 12 373 Checkfree Corp. (b) (l) 22 823 F5 Networks Inc. (b) (l) 9 401 Macromedia Inc. (b) 18 750 McAfee Inc. (b) 40 1,248 RSA Security Inc. (b) 17 215 3,810 Iron & Steel - 0.1% Steel Dynamics Inc. (l) 9 313 Leisure Time - 0.2% Callaway Golf Co. 17 249 Thor Industries 9 308 557 Lodging - 0.2% Boyd Gaming Corp. 11 475 Machinery - 1.3% AGCO Corp. (b) 21 390 Flowserve Corp. (b) 13 475 Graco Inc. 16 562 Joy Global Inc. 19 981 Nordson Corp. 8 298 Tecumseh Products Co. 4 95 Zebra Technologies Corp (b) 17 669 3,470 Manufacturing - 2.4% Carlisle Cos. Inc. 7 461 Crane Co. 12 355 Donaldson Co. Inc. 16 503 Federal Signal Corp. 11 193 FMC Corp. (b) 9 516 Harsco Corp. 10 656 Lancaster Colony Corp. 6 264 Pentair Inc. 24 893 SPX Corp. 18 819 Teleflex Inc. 10 691 Trinity Industries Inc. (l) 10 409 York International Corp. 10 558 6,318 Media - 1.4% Belo Corp. 23 530 Entercom Communications Corp. 9 289 Lee Enterprises Inc. 11 459 Media General Inc. 6 335 Reader's Digest Association Inc. - Class A 24 378 Scholastic Corp. (b) 9 330 Washington Post Co. 1 1,128 Westwood One Inc. 18 348 3,797 Metal Fabrication & Hardware - 1.0% Precision Castparts Corp. 32 1,694 Timken Co. 21 612 Worthington Industries (l) 17 359 2,665 Mining - 1.4% Arch Coal Inc. (l) 15 1,034 Peabody Energy Corp. 32 2,663 3,697 Office Furnishings - 0.5% Herman Miller Inc. 17 506 HNI Corp. 13 798 1,304 Oil & Gas Producers - 4.8% Denbury Resources Inc. (b) (l) 14 699 ENSCO International Inc. 36 1,700 Helmerich & Payne Inc. 12 746 Newfield Exploration Co. (b) 30 1,494 Noble Energy Inc. 42 1,965 Patterson-UTI Energy Inc. 41 1,487 Pioneer Natural Resources Co. (l) 34 1,875 Plains Exploration & Production Co. (b) 19 805 Pogo Producing Co. (l) 15 856 Pride International Inc. (b) 38 1,084 12,711 Oil & Gas Services - 2.4% Cooper Cameron Corp. (b) (l) 13 993 FMC Technologies Inc. (b) 16 690 Forest Oil Corp. (b) 13 698 Grant Prideco Inc. (b) 31 1,240 Hanover Compressor Co. (b) 21 288 Smith International Inc. 51 1,698 Tidewater Inc. (l) 14 700 6,307 Packaging & Containers - 0.4% Packaging Corp. 16 316 Sonoco Products Co. 23 642 958 Pharmaceuticals - 3.5% Barr Laboratories Inc. 26 1,402 Cephalon Inc. (b) (l) 14 639 Dentsply International Inc. 19 1,028 IVAX Corp. (b) 52 1,360 Omnicare Inc. (l) 25 1,425 Par Pharmaceutical Cos. Inc. (b) 8 213 Perrigo Co. 21 302 Sepracor Inc. (b) 25 1,492 Valeant Pharmaceutical International 22 446 VCA Antech Inc. (b) 20 505 Vertex Pharmaceuticals Inc. (b) (l) 23 513 9,325 Pipelines - 1.6% Equitable Resources Inc. 29 1,139 National Fuel Gas Co. (l) 20 690 Questar Corp. 20 1,799 Western Gas Resources Inc. (l) 14 706 4,334 Real Estate - 3.3% AMB Property Corp. 20 918 Developers Divers Realty Corp. 26 1,219 Highwoods Properties Inc. (l) 13 375 Hospitality Properties Trust 17 740 Liberty Property Trust (l) 21 896 Macerich Co. 14 931 Mack-Cali Realty Corp. 15 667 New Plan Excel Realty Trust 24 562 Regency Centers Corp. 15 876 United Dominion Realty Trust Inc. (l) 33 771 Weingarten Realty Investors 19 729 8,684 Retail - 7.6% 99 Cents Only Stores (b) (l) 12 106 Abercrombie & Fitch Co. - Class A 21 1,048 Advance Auto Parts (b) 26 1,017 Aeropostale Inc. (b) 13 279 American Eagle Outfitters Inc. 33 774 AnnTaylor Stores Corp. (b) (l) 17 460 Applebee's International Inc. 19 398 Barnes & Noble Inc. 13 496 BJ's Wholesale Club Inc. (b) 16 451 Bob Evans Farms Inc 8 188 Borders Group Inc. 17 375 Brinker International Inc. (b) 21 792 Carmax Inc. (b) (l) 25 792 CBRL Group Inc. 11 375 Cheesecake Factory Inc. (b) 19 578 Chico's FAS Inc. (b) 43 1,597 Claire's Stores Inc. 24 575 Copart Inc. (b) 17 398 Dollar Tree Stores Inc. (b) (l) 25 548 Krispy Kreme Doughnuts Inc. (b) (l) 15 93 Michaels Stores Inc. 33 1,082 Neiman-Marcus Group Inc. - Class A 12 1,174 O'Reilly Automotive Inc. (b) 27 756 Outback Steakhouse Inc. 16 590 Pacific Sunwear of California (b) 18 381 Petsmart Inc. 34 743 Pier 1 Imports Inc. (l) 21 233 Regis Corp. 11 410 Rent-A-Center Inc. (b) 18 347 Ross Stores Inc. 35 828 Ruby Tuesday Inc. 15 332 Saks Inc. (b) 34 630 Sotheby's Holdings - Class A (b) 11 188 Williams-Sonoma Inc. (b) 28 1,072 20,106 Savings & Loans - 1.3% AmeriCredit Corp. (b) (l) 33 799 Astoria Financial Corp. 21 568 Independence Community Bancorp. 18 631 New York Community Bancorp. Inc. (l) 57 932 Webster Financial Corp. 13 575 3,505 Semiconductors - 3.1% Atmel Corp. (b) 103 212 Cabot Microelectronics Corp. (b) (l) 6 171 Credence Systems Corp. (b) 24 190 Cree Inc. (b) (l) 18 448 Cypress Semiconductor Corp. (b) (l) 32 483 Fairchild Semiconductor International Inc. (b) 28 422 Integrated Device Technology Inc. (b) (l) 48 512 International Rectifier Corp. (b) 15 691 Intersil Corp. 37 810 Lam Research Corp. (b) (l) 33 1,002 Lattice Semiconductor Corp. (b) 25 108 LTX Corp. (b) 14 59 MEMC Electronic Materials Inc. (b) 38 858 Micrel Inc. (b) 16 177 Microchip Technology Inc. 50 1,513 Semtech Corp. (b) 17 287 Silicon Laboratories Inc. (b) (l) 10 315 Triquint Semiconductor Inc. (b) 33 116 8,374 Software - 2.0% Activision Inc. (b) 49 1,000 Acxiom Corp. 19 351 Advent Software Inc. (b) 5 129 Cadence Design Systems Inc. (b) (l) 67 1,078 CSG Systems International (b) 12 255 Fair Isaac Corp. 16 717 Keane Inc. (b) 11 129 National Instruments Corp. (l) 14 349 Reynolds & Reynolds Co. - Class A 12 336 Sybase Inc. (b) 21 499 Transaction Systems Architects Inc. (b) 9 249 Wind River Systems Inc. (b) 18 233 5,325 Telecommunications - 0.9% Cincinnati Bell Inc. (b) 58 257 Emmis Communications Corp. - Class A (b) (l) 9 194 Plantronics Inc. 11 349 Polycom Inc. (b) 23 375 RF Micro Devices Inc. (b) 44 247 Telephone & Data Systems Inc. 19 745 Telephone & Data Systems Inc. 6 222 2,392 Telecommunications Equipment - 1.0% 3Com Corp. (b) 91 372 Adtran Inc. (l) 16 511 Harris Corp. 32 1,326 Newport Corp. (b) 9 127 Utstarcom Inc. (b) (l) 24 200 2,536 Textiles - 0.4% Mohawk Industries Inc. (b) 13 1,016 Tobacco - 0.1% Universal Corp. 6 240 Transportation - 2.4% Alexander & Baldwin Inc. (l) 11 560 C.H. Robinson Worldwide Inc. (l) 21 1,318 CNF Inc. 12 653 Expeditors International Washington Inc. (l) 26 1,453 GATX Corp. 12 469 JB Hunt Transport Services Inc. 30 578 Overseas Shipholding Group 7 414 Swift Transportation Co. Inc. (b) (l) 13 222 Werner Enterprises Inc. (l) 12 214 Yellow Roadway Corp. (b) 14 575 6,456 Water - 0.3% Aqua America Inc. 23 878 Wireless Telecommunications - 0.1% Powerwave Technologies Inc. (b) (l) 26 343 Total Common Stocks (cost $220,899) 258,433 Short Term Investments - 15.2% Money Market Funds - 2.8% Dreyfus Cash Management Plus Fund, 3.64% (a) (n) 7,412 7,412 Securities Lending Collateral - 12.3% Mellon GSL Delaware Business Trust Collateral Fund (n) 32,573 32,573 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 3.435%, 12/08/05 (m) 500 497 Total Short Term Investments (cost $40,482) 40,482 Total Investments - 112.4% (cost $261,381) 298,915 Other Assets and Liabilities, Net - (12.4%) (33,017) Total Net Assets - 100% $265,898 JNL/Mellon Capital Management S&P 500 Index Fund Common Stocks - 97.5% Advertising - 0.2% Interpublic Group of Cos. Inc. (b) (l) 15 $175 Monster Worldwide Inc. (b) (l) 4 124 Omnicom Group Inc. 6 541 840 Aerospace & Defense - 1.9% Boeing Co. 29 1,956 General Dynamics Corp. 7 853 Goodrich Corp. 4 180 L-3 Communicaitons Holdings Inc. 4 324 Lockheed Martin Corp. 13 803 Northrop Grumman Corp. 13 685 Raytheon Co. 16 606 Rockwell Collins Inc. 6 301 United Technologies Corp. 36 1,864 7,572 Agriculture - 0.1% Monsanto Co. 9 595 Airlines - 0.1% Southwest Airlines Co. (l) 24 355 Apparel - 0.4% Coach Inc. (b) 13 423 Jones Apparel Group Inc. 4 117 Liz Claiborne Inc. 4 149 Nike Inc. - Class B 7 550 Reebok International Ltd. 2 114 VF Corp. 4 204 1,557 Auto Manufacturers - 0.4% Ford Motor Co. 65 645 General Motors Corp. (l) 20 611 Navistar International Corp. (b) 2 79 Paccar Inc. 6 405 1,740 Auto Parts & Equipment - 0.2% Autozone Inc. (b) (l) 2 185 Cooper Tire & Rubber Co. 2 36 Dana Corp. 6 55 Delphi Corp. (l) 19 54 Goodyear Tire & Rubber Co. (b) (l) 7 111 Johnson Controls Inc. 7 413 Visteon Corp. 3 32 886 Banks - 6.9% AmSouth Bancorp. (l) 13 324 Bank of America Corp. (l) 142 5,980 Bank of New York Co. Inc. 28 812 BB&T Corp. 20 766 Comerica Inc. 6 348 Compass Bancshares Inc. 4 199 Fifth Third Bancorp. 20 732 Huntington Bancshares Inc. 8 185 JPMorgan Chase & Co. 124 4,208 KeyCorp 14 453 M&T Bank Corp. (l) 3 301 Marshall & Ilsley Corp. 7 305 Mellon Financial Corp. 15 474 National City Corp. (l) 20 680 North Fork Bancorp. Inc 16 420 Northern Trust Corp. 7 335 PNC Financial Services Group Inc. 10 598 Regions Financial Corp. 16 508 State Street Corp. 12 574 SunTrust Banks Inc. 13 899 Synovus Financial Corp. 11 305 US Bancorp. 64 1,802 Wachovia Corp. 56 2,643 Wells Fargo & Co. 60 3,487 Zions Bancorp. 3 226 27,564 Beverages - 2.1% Anheuser-Busch Cos. Inc. 28 1,185 Brown-Forman Corp. - Class B 3 193 Coca-Cola Co. 73 3,156 Coca-Cola Enterprises Inc. (l) 11 207 Constellation Brands Inc. - Class A (b) 7 179 Molson Coors Brewing Co. (l) 2 129 Pepsi Bottling Group Inc. 6 160 PepsiCo Inc. 59 3,338 8,547 Biotechnology - 1.5% Amgen Inc. (b) 44 3,467 Applera Corp. - Applied Biosystems Group 7 157 Baxter International Inc. 22 880 Biogen Idec Inc. (b) 12 467 Chiron Corp. 4 187 Genzyme Corp. 9 652 Millipore Corp. 2 111 5,921 Building Materials - 0.3% American Standard Cos. Inc. 6 301 Masco Corp. 15 466 Vulcan Materials Co. 3 255 1,022 Chemicals - 1.3% Air Products & Chemicals Inc. 8 433 Ashland Inc. 3 145 Dow Chemical Co. 34 1,407 E.I. Du Pont de Nemours & Co. 35 1,363 Eastman Chemical Co. 3 124 Ecolab Inc. 6 207 Engelhard Corp. 4 118 Hercules Inc. (b) 4 43 PPG Industries Inc. 6 355 Praxair Inc. 11 549 Rohm & Haas Co. 6 230 Sherwin-Williams Co. 4 196 Sigma-Aldrich Corp. (l) 2 152 5,322 Commercial Services - 1.0% Apollo Group Inc. - Class A (b) 5 343 Cendant Corp. 37 766 Convergys Corp. (b) 5 73 Equifax Inc. 4 157 FedEx Corp. 11 935 H&R Block Inc. 11 262 Moody's Corp. 9 456 Paychex Inc. 12 427 Robert Half International Inc. 6 200 RR Donnelley & Sons Co. 7 266 3,885 Computers - 3.7% Affiliated Computer Services Inc. - Class A (b) (l) 4 229 Apple Computer Inc. (b) 29 1,557 Computer Sciences Corp. 6 301 Dell Inc. (b) 84 2,889 Electronic Data Systems Corp. 18 413 EMC Corp. (b) 85 1,106 Gateway Inc. 10 28 Hewlett-Packard Co. 101 2,946 International Business Machines Corp. 56 4,521 Lexmark International Inc. (b) 4 255 NCR Corp. (b) 6 197 Sun Microsystems Inc. (b) 117 460 Unisys Corp. (b) 12 80 14,982 Cosmetics & Personal Care - 2.4% Alberto-Culver Co. - Class B (l) 3 114 Avon Products Inc. 17 451 Colgate-Palmolive Co. 18 973 Gillette Co. 32 1,847 International Flavors & Fragrances Inc. 3 92 Kimberly-Clark Corp. 17 1,005 Proctor & Gamble Co. (l) 87 5,169 9,651 Distribution & Wholesale - 0.1% Genuine Parts Co. 6 264 WW Grainger Inc. 3 174 438 Diversified Financial Services - 6.8% American Express Co. 43 2,496 Bear Stearns Cos. Inc. 4 425 Capital One Financial Corp. (l) 10 822 Charles Schwab Corp. 37 537 CIT Group Inc. 7 314 Citigroup Inc. 183 8,316 Countrywide Financial Corp. 21 695 E*Trade Financial Corp. (b) 13 229 Fannie Mae 34 1,520 Federated Investors Inc. - Class B 3 90 First Horizon National Corp. (l) 4 148 Franklin Resources Inc. (l) 5 440 Freddie Mac 24 1,365 Goldman Sachs Group Inc. 17 2,007 Janus Capital Group Inc. (l) 8 117 Lehman Brothers Holdings Inc. 10 1,131 MBNA Corp. 45 1,099 Merrill Lynch & Co. Inc. (l) 33 2,015 Morgan Stanley 38 2,057 Providian Financial Corp. (b) (l) 10 173 SLM Corp. 15 794 TRowe Price Group Inc. 5 301 27,091 Electric - 3.4% AES Corp. (b) 23 372 Allegheny Energy Inc. 6 178 Ameren Corp. (l) 7 374 American Electric Power Co. Inc. 14 554 Calpine Corp. (b) (l) 17 43 Centerpoint Energy Inc. (l) 11 156 Cinergy Corp. (l) 7 309 CMS Energy Corp. (b) 8 131 Consolidated Edison Inc. (l) 9 421 Constellation Energy Group Inc. 6 389 Dominion Resources Inc. 12 1,041 DTE Energy Co. (l) 6 288 Duke Energy Corp. (l) 33 965 Edison International Inc. 12 546 Entergy Corp. 7 547 Exelon Corp. (l) 23 1,252 FirstEnergy Corp. 12 610 FPL Group Inc. 14 662 NiSource Inc. 10 245 PG&E Corp. 13 517 Pinnacle West Capital Corp. 4 165 PPL Corp 13 423 Progress Energy Inc. (l) 9 387 Public Service Enterprise Group Inc. (l) 9 554 Southern Co. 26 947 TECO Energy Inc. (l) 7 126 TXU Corp. 9 960 Xcel Energy Inc. (l) 14 279 13,441 Electrical Components & Equipment - 0.4% American Power Conversion Corp. 6 168 Emerson Electric Co. 15 1,046 Molex Inc. 5 135 Nvidia Corp. (b) 6 197 1,546 Electronics - 0.5% Agilent Technologies Inc. (b) 17 571 Fisher Scientific International Inc. (b) (l) 4 267 Jabil Circuit Inc. (b) 6 200 Parker Hannifin Corp. 4 272 PerkinElmer Inc. 5 94 Sanmina-SCI Corp. (b) (l) 20 85 Solectron Corp. (b) 33 129 Symbol Technologies Inc. 8 80 Tektronix Inc. 3 71 Thermo Electron Corp. (b) 6 171 Waters Corp. (b) 4 167 2,107 Engineering & Construction - 0.0% Fluor Corp. 3 182 Environmental Control - 0.2% Allied Waste Industries Inc. 9 79 Waste Management Inc. 20 559 638 Food - 1.6% Albertson's Inc. (l) 13 333 Archer-Daniels-Midland Co. 23 566 Campbell Soup Co. 7 194 ConAgra Foods Inc. 18 443 General Mills Inc. 13 613 H.J. Heinz Co. 12 439 Hershey Foods Corp. 7 384 Kellogg Co. 9 417 Kroger Co. (b) 26 529 McCormick & Co. Inc. 5 147 Safeway Inc. 16 398 Sara Lee Corp. (l) 28 527 Supervalu Inc. 5 143 Sysco Corp. 22 704 Tyson Foods Inc. 9 161 WM Wrigley Jr Co. 6 458 6,456 Forest Products & Paper - 0.5% Georgia-Pacific Corp. (l) 9 313 International Paper Co. 17 518 Louisiana-Pacific Corp. (l) 4 108 MeadWestvaco Corp. 6 171 Plum Creek Timber Co. Inc. 6 246 Temple-Inland Inc. 4 160 Weyerhaeuser Co. 9 607 2,123 Gas - 0.2% KeySpan Corp. (l) 6 226 Nicor Inc. (l) 2 74 Peoples Energy Corp. (l) 1 53 Sempra Energy 9 427 780 Hand & Machine Tools - 0.1% Black & Decker Corp. 3 222 Snap-On Inc. 2 81 Stanley Works 3 120 423 Healthcare - 5.2% Aetna Inc. 10 894 Bausch & Lomb Inc. 2 152 Becton Dickinson & Co. 9 465 Biomet Inc. 9 306 Boston Scientific Corp. (b) 21 479 Coventry Health Care Inc. (b) 4 326 CR Bard Inc. 4 231 Guidant Corp. (l) 12 806 HCA Inc. 16 776 Health Management Associates Inc. (l) 9 205 Humana Inc. (b) (l) 6 286 Johnson & Johnson 105 6,653 Laboratory Corp of America Holdings (b) 5 220 Manor Care Inc. (l) 3 126 McKesson Corp. 11 516 Medtronic Inc. 43 2,284 Quest Diagnostics Inc. (l) 6 312 St. Jude Medical Inc. (b) 13 602 Stryker Corp. 10 507 Tenet Healthcare Corp. (b) (l) 16 176 UnitedHealth Group Inc. 44 2,497 WellPoint Inc. (b) 21 1,630 Zimmer Holdings Inc. (b) 9 601 21,050 Home Builders - 0.2% Centex Corp. 5 293 DR Horton Inc. 9 340 Pulte Homes Inc. 8 325 958 Home Furnishings - 0.0% Leggett & Platt Inc. 6 129 Maytag Corp. 2 39 168 Household Products - 0.2% Avery Dennison Corp. (l) 4 204 Clorox Co. 5 283 Fortune Brands Inc. 5 410 897 Insurance - 4.7% ACE Ltd. 10 491 Aflac Inc. 18 806 Allstate Corp. 23 1,288 AMBAC Financial Group Inc. 4 262 American International Group Inc. 92 5,685 AON Corp. 11 361 Chubb Corp. 7 627 Cigna Corp. 5 537 Cincinnati Financial Corp. 6 259 Hartford Financial Services Group Inc. 11 819 Jefferson-Pilot Corp. 5 234 Lincoln National Corp. 6 317 Loews Corp. 5 462 Marsh & McLennan Cos. Inc. 19 574 MBIA Inc. 5 285 MetLife Inc. 26 1,317 MGIC Investment Corp. 3 215 Principal Financial Group 10 460 Progressive Corp. 7 733 Prudential Financial Inc. 18 1,223 Safeco Corp. 4 223 St. Paul Travelers Cos. Inc. 24 1,075 Torchmark Corp. 4 195 UnumProvident Corp. (l) 11 216 XL Capital Ltd. - Class A (l) 5 337 19,001 Internet - 1.1% eBay Inc. (b) 39 1,614 KB Home (l) 3 214 Symantec Corp. (b) 42 963 Yahoo! Inc. (b) 45 1,507 4,298 Iron & Steel - 0.1% Allegheny Technologies Inc. 2 77 Nucor Corp. 5 312 United States Steel Corp. (l) 4 164 553 Leisure Time - 0.4% Brunswick Corp. 3 123 Carnival Corp. 15 761 Harley-Davidson Inc. (l) 9 458 Sabre Holdings Corp. (l) 5 94 1,436 Lodging - 0.4% Harrah's Entertainment Inc. 6 410 Hilton Hotels Corp. 12 258 Marriott International Inc. - Class A 6 400 Starwood Hotels & Resorts Worldwide Inc. 8 451 1,519 Machinery - 0.6% Caterpillar Inc. 24 1,410 Cummins Inc. (l) 2 136 Deere & Co. 8 518 Rockwell Automation Inc. 6 341 Whirlpool Corp. 2 171 2,576 Manufacturing - 5.3% 3M Corp. 27 1,971 Cooper Industries Ltd. - Class A 3 214 Danaher Corp. 8 451 Dover Corp. 7 292 Eastman Kodak Co. (l) 10 247 Eaton Corp. 5 323 General Electric Corp. 374 12,605 Honeywell Inernational Inc. 30 1,137 Illinois Tool Works Inc. 7 606 Ingersoll-Rand Co. Ltd. - Class A 12 457 ITT Industries Inc. 3 374 Pall Corp. 4 120 Textron Inc. 5 333 Tyco International Ltd. 71 1,980 21,110 Media - 3.3% Clear Channel Communications Inc. (l) 19 641 Comcast Corp. - Class A (b) (l) 77 2,269 Dow Jones & Co. Inc. (l) 2 76 Gannett Co. Inc. 9 595 Knight Ridder Inc. 3 149 McGraw-Hill Cos. Inc. 13 637 Meredith Corp. (l) 1 73 New York Times Co. - Class A (l) 5 146 News Corp Inc. 86 1,347 Time Warner Inc. 165 2,995 Tribune Co. (l) 9 317 Univision Communications Inc. - Class A (b) (l) 8 216 Viacom Inc. - Class B 56 1,856 Walt Disney Co. 71 1,720 13,037 Mining - 0.6% Alcoa Inc. 31 756 Freeport-McMoRan Copper & Gold Inc. (l) 6 289 Newmont Mining Corp. (l) 16 743 Phelps Dodge Corp. 3 447 2,235 Office & Business Equipment - 0.2% Pitney Bowes Inc. 8 331 Xerox Corp. (b) (l) 34 464 796 Oil & Gas Producers - 8.5% Amerada Hess Corp. (l) 3 403 Anadarko Petroleum Corp. 8 803 Apache Corp. 12 877 Burlington Resources Inc. 13 1,078 Chevron Corp. 80 5,156 ConocoPhillips 49 3,430 Devon Energy Corp. 16 1,104 EOG Resources Inc. 9 647 Exxon Mobil Corp. 223 14,148 Kerr-McGee Corp. 4 397 Marathon Oil Corp. 13 895 Murphy Oil Corp. 6 290 Nabors Industries Ltd. (b) 6 401 Noble Corp. 5 332 Occidental Petroleum Corp. 14 1,211 Rowan Cos Inc. 4 141 Sunoco Inc. 5 363 Transocean Inc. (b) 12 715 Valero Energy Corp. 11 1,205 XTO Energy Inc. 12 565 34,161 Oil & Gas Services - 1.2% Baker Hughes Inc. 12 721 BJ Services Co. (l) 11 409 Halliburton Co. 18 1,235 National Oilwell Varco Inc. (b) 6 405 Schlumberger Ltd. 21 1,741 Weatherford International Ltd. (b) 5 355 4,866 Packaging & Containers - 0.2% Ball Corp. 4 139 Bemis Co. 4 88 Newell Rubbermaid Inc. (l) 10 219 Pactiv Corp. (b) 5 85 Sealed Air Corp. (b) 3 135 666 Pharmaceuticals - 5.9% Abbott Laboratories 55 2,318 Allergan Inc. 5 425 AmerisourceBergen Corp. (l) 4 272 Bristol-Myers Squibb Co. 69 1,650 Cardinal Health Inc. 15 967 Caremark Rx Inc. (b) 16 805 Eli Lilly & Co. 40 2,133 Express Scripts Inc. (b) 5 314 Forest Laboratories Inc. 12 467 Gilead Sciences Inc. 16 788 Hospira Inc. (b) 6 231 King Pharmaceuticals Inc. (b) 9 133 Medco Health Solutions Inc. (b) 11 589 Medimmune Inc. (b) (l) 9 292 Merck & Co. Inc. 77 2,100 Mylan Laboratories Inc. 9 173 Pfizer Inc. 261 6,505 Schering-Plough Corp. 52 1,102 Watson Pharmaceuticals Inc. (b) 4 135 Wyeth 47 2,181 23,580 Pipelines - 0.3% Dynegy Inc. - Class A (b) (l) 12 56 EL Paso Corp. (l) 23 323 Kinder Morgan Inc. 3 324 Williams Cos. Inc. 20 493 1,196 Real Estate - 0.7% Apartment Investment & Management Co. 3 128 Archstone-Smith Trust 8 299 Equity Office Properties Trust 14 459 Equity Residential 10 374 Prologis 9 397 Public Storage Inc. 3 196 Simon Property Group Inc. 7 498 Vornado Realty Trust 4 360 2,711 Retail - 5.6% Autonation Inc. (b) 7 136 Bed Bath & Beyond Inc. (b) 10 419 Best Buy Co. Inc. 15 641 Big Lots Inc. (b) (l) 5 51 Circuit City Stores Inc. (l) 6 95 Costco Wholesale Corp. 17 729 CVS Corp. 29 836 Darden Restaurants Inc. 5 149 Dillard's Inc. - Class A (l) 3 52 Dollar General Corp. 11 196 Family Dollar Stores Inc. 6 114 Federated Department Stores Inc. 9 629 Gap Inc. 20 349 Home Depot Inc. 75 2,876 JC Penney Corp. Inc. 9 417 Kohl's Corp. (b) 12 613 Limited Brands 13 257 Lowe's Cos. Inc. 27 1,762 McDonald's Corp. 44 1,485 Nordstrom Inc. 8 285 Office Depot Inc. (b) (l) 11 332 OfficeMax Inc. 2 79 RadioShack Corp. (l) 5 136 Sears Holdings Corp. (b) 4 460 Staples Inc. 26 556 Starbucks Corp. (b) 14 683 Target Corp. 31 1,610 Tiffany & Co. (l) 5 200 TJX Cos. Inc. 16 337 Walgreen Co. 36 1,556 Wal-Mart Stores Inc. 88 3,862 Wendy's International Inc. 4 171 Yum! Brands Inc. 10 490 22,563 Savings & Loans - 0.5% Golden West Financial Corp. (l) 9 555 Sovereign Bancorp Inc. 12 272 Washington Mutual Inc. (l) 31 1,223 2,050 Semiconductors - 3.2% Advanced Micro Devices Inc. (b) (l) 14 354 Altera Corp. (b) 13 251 Analog Devices Inc. 13 490 Applied Materials Inc. 56 957 Applied Micro Circuits Corp. (b) (l) 13 40 Broadcom Corp. - Class A (b) 10 474 Freescale Semiconductor Inc. (b) 14 337 Intel Corp. 215 5,307 KLA-Tencor Corp. (l) 7 340 Linear Technology Corp. 11 409 LSI Logic Corp. (b) (l) 14 136 Maxim Integrated Products Inc. 11 480 Micron Technology Inc. (b) (l) 22 289 National Semiconductor Corp. 12 304 Novellus Systems Inc. (b) (l) 5 119 PMC - Sierra Inc. (b) (l) 5 46 QLogic Corp. (b) 3 106 Teradyne Inc. (b) 7 119 Texas Instruments Inc. 57 1,932 Xilinx Inc. 12 343 12,833 Software - 3.9% Adobe Systems Inc. 18 530 Autodesk Inc. 8 374 Automatic Data Processing Inc. 21 886 BMC Software Inc. (b) (l) 7 156 Citrix Systems Inc. (b) 6 148 Computer Associates International Inc. (l) 16 455 Compuware Corp. (b) 14 136 Electronic Arts Inc. 11 620 First Data Corp. 27 1,076 Fiserv Inc. (b) 6 294 IMS Health Inc. 8 201 Intuit Inc. (b) (l) 6 276 Mercury Interactive Corp. (b) (l) 3 121 Microsoft Corp. 325 8,364 Novell Inc. (b) (l) 13 100 Oracle Corp. (b) 132 1,641 Parametric Technology Corp. (b) 10 69 Siebel Systems Inc. 17 181 15,628 Telecommunications - 3.3% Alltel Corp. 13 862 Andrew Corp. (b) (l) 5 56 AT&T Corp. 29 572 Avaya Inc. (b) 16 167 BellSouth Corp. 64 1,689 CenturyTel Inc. 5 161 Ciena Corp. (b) 16 44 Citizens Communications Co. (l) 12 157 International Game Technology 12 325 Lucent Technologies Inc. (b) (l) 158 512 Qwest Communications International Inc. (b) (l) 59 241 SBC Communications Inc. 116 2,789 Sprint Nextel Corp. (l) 103 2,455 Verizon Communications Inc. 97 3,186 13,216 Telecommunications Equipment - 2.2% ADC Telecommunications Inc. (b) 3 79 Cisco Systems Inc. (b) 226 4,044 Comverse Technology Inc. (b) 7 174 Corning Inc. (b) 52 1,009 JDS Uniphase Corp. (b) (l) 58 129 Network Appliance Inc. (b) 13 308 Qualcomm Inc. 57 2,567 Scientific-Atlanta Inc. 5 191 Tellabs Inc. (b) 16 164 8,665 Textiles - 0.1% Cintas Corp. 5 209 Tobacco - 1.5% Altria Group Inc. 73 5,405 Reynolds American Inc (l) 3 270 UST Inc. (l) 5 228 5,903 Toys & Hobbies - 0.1% Hasbro Inc. 6 120 Mattel Inc. 14 231 351 Transportation - 1.3% Burlington Northern Santa Fe Corp. 13 773 CSX Corp. 8 356 Norfolk Southern Corp. 14 563 Ryder System Inc. 3 90 Union Pacific Corp. 9 667 United Parcel Service Inc. - Class B 39 2,695 5,144 Wireless Telecommunications - 0.5% Motorola Inc. 87 1,916 Total Common Stocks (cost $352,562) 390,955 Short Term Investments - 12.0% Money Market Funds - 2.2% Dreyfus Cash Management Plus Fund, 3.64% (a) (n) 8,865 8,865 Securities Lending Collateral - 9.6% Mellon GSL Delaware Business Trust Collateral Fund (n) 38,410 38,410 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 3.435%, 12/08/05 (m) 1,000 994 Total Short Term Investments (cost $48,269) 48,269 Total Investments - 109.5% (cost $400,830) 439,224 Other Assets and Liabilities, Net - (9.5%) (38,092) Total Net Assets - 100% $401,132 JNL/Mellon Capital Management Small Cap Index Fund Common Stocks - 96.4% Advertising - 0.3% Advo Inc. 6 $179 APAC Customer Services Inc. (b) 2 1 Catalina Marketing Corp. 9 211 Greenfield Online Inc. (b) 3 15 Marchex Inc. - Class B (b) (l) 3 56 Sitel Corp. (b) 9 24 Valuevision Media Inc. (b) 5 52 Ventiv Health Inc. (b) 5 132 670 Aerospace & Defense - 1.3% AAR Corp. (b) 5 92 Airspan Networks Inc. (b) (l) 5 23 ARGON ST Inc. (b) 1 44 Armor Holdings Inc. (b) 6 271 BE Aerospace Inc. (b) 10 163 Curtiss-Wright Corp. 4 243 DRS Technologies Inc. 5 239 Ducommun Inc. (b) 1 23 Engineered Support Systems Inc. 8 310 Esterline Technologies Corp. (b) 5 175 GenCorp Inc. (l) 10 181 Heico Corp. 3 75 Heico Corp. - Class A - 2 Herley Industries Inc. (b) 2 46 Innovative Solutions & Support Inc. (b) 2 35 Kaman Corp. - Class A 4 80 Moog Inc. - Class A (b) 7 195 MTC Technologies Inc. (b) 2 58 Orbital Sciences Corp. (b) (l) 10 122 Sequa Corp. - Class A (b) 1 71 Teledyne Technologies Inc. (b) 6 204 Triumph Group Inc. (b) 3 111 United Industrial Corp. 2 67 US Airways Group Inc. (b) (l) 3 61 2,891 Agriculture - 0.2% Alico Inc. 1 42 Andersons Inc. 1 33 CF Industries Holdings Inc. (b) 6 89 Delta & Pine Land Co. 7 179 FTD Group Inc. (b) 2 19 Maui Land & Pineapple Co. Inc. (b) 1 17 Tejon Ranch Co. (b) 2 74 UAP Holding Corp. 6 102 555 Airlines - 0.5% AirTran Holdings Inc. (b) (l) 15 196 Alaska Air Group Inc. (b) 5 145 Continental Airlines Inc. - Class B (b) (l) 11 111 Delta Air Lines Inc. (b) (l) 22 16 ExpressJet Holdings Inc. (b) 8 71 Frontier Airlines Inc. (b) 7 64 MAIR Holdings Inc. (b) 1 6 Mesa Air Group Inc. (b) (l) 6 46 Pinnacle Airlines Corp. (b) (l) 4 23 Rebublic Airways Holdings Inc. (b) 3 46 Skywest Inc. 11 282 World Air Holdings Inc. (b) 4 43 1,049 Alternative Energy - 0.5% Covanta Holding Corp. (b) 20 264 Evergreen Solar Inc. (b) 7 63 Foundation Coal Holdings Inc. 4 168 Headwaters Inc. (b) (l) 7 274 KFX Inc. (b) (l) 11 186 Metal Management Inc. 4 94 Pacific Ethanol Inc. (b) (l) 1 8 Syntroleum Corp. (b) 7 109 1,166 Apparel - 1.0% Carter's Inc. (b) 3 192 Cherokee Inc. 1 40 Citi Trends Inc. (b) 1 15 DEB Shops Inc. 1 12 Deckers Outdoor Corp. (b) (l) 2 46 DHB Industries Inc. (b) (l) 5 20 Guess ? Inc. (b) 3 65 Gymboree Corp. (b) 6 78 Hampshire Group Ltd. (b) - 9 Hartmarx Corp. (b) 5 31 JOS A Bank Clothiers Inc. (b) 2 104 Kellwood Co. 5 134 K-Swiss Inc. - Class A 4 130 Maidenform Brands Inc. (b) 2 21 New York & Co Inc. (b) 2 37 Oakley Inc. 4 78 Oxford Industries Inc. 3 113 Payless ShoeSource Inc. (b) 12 206 Perry Ellis International Inc. (b) 2 35 Phillips-Van Heusen 6 184 Russell Corp. 6 79 Skechers U.S.A. Inc. - Class A (b) 4 60 Steven Madden Ltd. (b) 2 51 Stride Rite Corp. 6 81 Volcom Inc. (b) - 13 Warnaco Group Inc. (b) 9 186 Weyco Group Inc. 1 18 Wolverine World Wide Inc. 11 223 2,261 Auto Manufacturers - 0.1% Rush Enterprises Inc. (b) 1 20 Wabash National Corp. 6 109 129 Auto Parts & Equipment - 0.8% Accuride Corp. (b) 2 26 Aftermarket Technology Corp. (b) 4 67 American Axle & Manufacturing Holdings Inc. (l) 8 182 ArvinMeritor Inc. 12 208 ASV Inc. (b) (l) 3 68 Bandag Inc. 2 92 Commercial Vehicle Group Inc. (b) 3 56 Cooper Tire & Rubber Co. 12 180 Hayes Lemmerz International Inc. (b) 8 34 Keystone Automotive Industries Inc. (b) 3 80 Modine Manufacturing Co. 6 234 Noble International Ltd. 1 22 Proliance International Inc. (b) - - Quantum Fuel Systems Technologies Worldwide Inc. (b) (l) 9 36 R&B Inc. (b) 1 7 Raytech Corp. (b) 2 3 Rush Enterprises Inc. - Class A (b) 1 21 Sports Resorts International Inc. (b) (l) 1 1 Standard Motor Products Inc. 2 14 Strattec Security Corp. (b) 1 35 Superior Industries International (l) 4 85 Tenneco Automotive Inc. (b) 8 141 Titan International Inc. 3 40 Visteon Corp. 24 230 1,862 Banks - 7.3% 1st Source Corp. 2 51 ABC Bancorp. 2 35 Alabama National Bancorp. 3 161 Amcore Financial Inc. 4 137 Amegy Bancorp. Inc. 12 282 AmericanWest Bancorp. (b) 2 44 Ames National Corp. (l) 1 17 Arrow Financial Corp. 2 51 Banc Corp. (b) 2 26 Bancfirst Corp. 1 61 Bancorp Inc. (b) 1 23 Bancorpsouth Inc. (l) 14 317 Bank of Granite Corp. 2 46 Bank of the Ozarks Inc. (l) 2 71 BankAtlantic Bancorp. Inc. - Class A 8 133 BankFinancial Corp. (b) 4 52 Banner Corp. 2 47 Boston Private Financial Holdings Inc. 5 138 Bryn Mawr Bank Corp. 1 25 Camden National Corp. 1 51 Capital City Bank Group Inc. 2 82 Capital Corp of the West 2 48 Capital Crossing Bank (b) 1 35 Capitol Bancorp Ltd. 2 67 Cardinal Financial Corp. (b) 4 38 Cascade Bancorp. 3 56 Cathay General Bancorp. 8 286 Cavalry Bancorp. Inc. (l) - 6 Center Financial Corp. 2 42 Central Coast Bancorp. (b) 2 37 Chemical Financial Corp. 4 142 Chittenden Corp. 8 219 Citizens & Northern Corp. (l) 2 40 Citizens Banking Corp. 8 218 City Bank 1 45 City Holdings Co. 3 119 CoBiz Inc. 3 47 Colony Bankcorp Inc. (l) 1 25 Columbia Bancorp. 1 46 Columbia Banking System Inc. 3 69 Commercial Bankshares Inc. 1 19 Community Bancorp. (b) 1 28 Community Bank System Inc. 5 117 Community Banks Inc. 4 104 Community Trust Bancorp. Inc. 2 80 Corus Bankshares Inc. 3 182 CVB Financial Corp. 9 161 Enterprise Financial Services Corp. (b) 1 26 EuroBancshares Inc. (b) 1 18 Exchange National Bancshares Inc. 1 14 Farmers Capital Bancorp. 1 27 Financial Institutions Inc. 1 25 First Bancorp. 12 211 First Bancorp. 2 35 First Busey Corp. 3 54 First Charter Corp. 5 128 First Citizens Bancorp. (l) - 8 First Citizens BancShares Inc. - Class A 1 179 First Commonwealth Financial Corp. 13 167 First Community Bancorp. Inc. 2 112 First Community Bancshares Inc. 2 59 First Financial Bancorp. 6 114 First Financial Bankshares Inc. 3 107 First Financial Corp. 2 60 First Merchants Corp. 3 79 First Midwest Bancorp Inc. 8 302 First Oak Brook Bancshares Inc. 1 33 First Regional Bancorp. (b) - 30 First Republic Bank 4 142 First South Bancorp Inc. (l) - 10 First State Bancorp. 3 55 Flagstar Bancorp. Inc. (l) 6 95 FNB Corp. (l) 11 212 Foothill Independent Bancorp. (l) 1 13 Franklin Bank Corp. (b) 3 56 Frontier Financial Corp. 4 124 GB&T Bancshares Inc. 2 50 German American Bancorp. 2 21 Glacier Bancorp. Inc. 6 178 Gold Bancorp. Inc. 7 105 Great Southern Bancorp. Inc. 2 54 Greater Bay Bancorp. 9 224 Greater Community Bancorp. - - Greene County Bancshares Inc. 1 29 Hancock Holding Co. 5 159 Hanmi Financial Corp. 7 122 Harleysville National Corp. 5 109 Heartland Financial USA Inc. 1 29 Hudson United Bancorp. 8 336 IBERIABANK Corp. 2 87 Independent Bancorp. 7 199 Integra Bancorp. 3 57 Interchange Financial Services Corp. 3 48 International Bancshares Corp. - 2 Irwin Financial Corp. 3 67 Lakeland Bancorp Inc. 4 55 Lakeland Financial Corp. 1 37 Macatawa Bancorp. 2 62 Main Street Banks Inc. 3 73 MainSource Financial Group Inc. 2 36 MB Financial Inc. 4 159 Mercantile Bancorp. 1 54 Mid-State Bancshares 4 110 Midwest Banc Holdings Inc. 2 57 Nara Bancorp. Inc. 3 46 National Penn Bancshares Inc. 6 149 NBC Capital Corp. 1 27 NBT Bancorp Inc. 6 135 Northern Empire Bancshares (b) (l) 1 34 Oak Hill Financial Inc. 1 17 Old National Bancorp. (l) 12 255 Old Second Bancorp. Inc. 2 70 Omega Financial Corp. 2 60 Oriental Financial Group 4 47 Pacific Capital Bancorp. 8 271 Park National Corp. 2 260 Peapack Gladstone Financial Corp. 2 44 Pennsylvania Commerce Bancorp. Inc. (b) - 11 Peoples Bancorp. Inc. 2 43 Pinnacle Financial Partners Inc. (b) 1 30 Placer Sierra Bancshares 1 28 Preferred Bank 1 28 Premierwest Bancorp. (b) 2 37 PrivateBancorp Inc. 3 100 Prosperity Bancshares Inc. 4 116 Provident Bankshares Corp. 6 204 Renasant Corp. 2 56 Republic Bancorp Inc. 13 182 Republic Bancorp Inc. - Class A 1 30 R-G Financial Corp. - Class B 5 65 Royal Bancshares of Penn - Class A 1 13 S&T Bancorp Inc. 5 185 Sandy Spring Bancorp. Inc. 3 86 Santander BanCorp. 1 21 SCBT Financial Corp. 1 38 Seacoast Banking Corp. 2 50 Security Bank Corp. 2 40 Shore Bancshares Inc. 1 24 Sierra Bancorp. 1 18 Signature Bank (b) 2 58 Simmons First National Corp. - Class A 3 71 Smithtown Bancorp. Inc. (l) 1 21 Southern Community Financial Corp. 2 20 Southside Bancshares Inc. 2 30 Southwest Bancorp. Inc. 2 51 State Bancorp. Inc. 1 25 State Financial Services Corp. 1 33 Sterling Bancorp. - NYS 3 71 Sterling Bancshares Inc. 8 125 Sterling Financial Corp. 5 103 Suffolk Bancorp. 2 57 Summit Bancshares Inc. 1 9 Summit Financial Group Inc. (l) - 8 Sun Bancorp Inc. (b) 2 37 Susquehanna Bancshares Inc. 8 199 SVB Financial Group (b) 6 307 SY Bancorp Inc. (l) 2 45 Taylor Capital Group Inc. 1 29 Texas Regional Bancshares Inc. - Class A 7 205 TierOne Corp. 3 79 Tompkins Trustco Inc 1 57 Trico Bancshares 2 53 Trustco Bank Corp. 13 168 UCBH Holdings Inc. 16 297 UMB Financial Corp. 3 185 Umpqua Holdings Corp. 8 192 Union Bankshares Corp. 2 63 United Bankshares Inc. 7 232 United Community Banks Inc. 6 167 United Security Bancshares (l) 1 26 Univest Corp. 2 50 Unizan Financial Corp. 4 98 USB Holding Co. Inc. 2 43 Vineyard National Bancorp. (l) 1 39 Virginia Commerce Bancorp. (b) 2 46 Virginia Financial Group Inc. 1 38 W Holding Co. Inc. 20 192 Washington Trust Bancorp. 2 61 WesBanco Inc. 4 112 West Bancorp. Inc. (l) 3 58 West Coast Bancorp. 2 61 Westamerica Bancorp. 6 300 Western Sierra Bancorp. (b) 1 40 Wilshire Bancorp. Inc. 3 40 Wintrust Financial Corp. 4 210 Yardville National Bancorp 2 53 16,424 Beverages - 0.2% Boston Beer Co. Inc. - Class A (b) 1 33 Chaparral Steel Co. (b) 4 100 Coca-Cola Bottling Co. 1 47 Cogent Inc. (b) 4 105 Farmer Brothers Co. 1 23 Hansen Natural Corp. (b) (l) 3 126 National Beverage Corp. (b) 1 6 Peets Coffee & Tea Inc. (b) 2 70 510 Biotechnology - 2.0% Aastrom Biosciences Inc. (b) 17 41 Aksys Ltd. (b) (l) 1 2 Albany Molecular Research Inc. (b) 4 53 Alkermes Inc. (b) 16 277 Applera Corp. - Celera Genomics Group (b) 14 165 Arena Pharmaceuticals Inc. (b) 6 64 Ariad Pharmaceuticals Inc. (b) 12 87 Arqule Inc. (b) 6 46 Avant Immunotherapeutics Inc. (b) 12 15 Barrier Therapeutics Inc. (b) 3 21 Bio-Rad Laboratories Inc. - Class A (b) 3 172 Biosite Inc. (b) 3 186 Bruker BioSciences Corp. (b) 6 28 Cambrex Corp. 4 83 Cancervax Corp. (b) (l) 2 8 Cell Genesys Inc. (b) (l) 8 45 Coley Pharmaceutical Group Inc. (b) 1 11 Corgentech Inc. (b) 1 2 Cotherix Inc. (b) 2 30 CuraGen Corp. (b) (l) 7 33 Curis Inc. (b) 7 32 Cypress Bioscience Inc. (b) 5 29 deCODE genetics Inc. (b) 10 84 Digene Corp. (b) 3 71 Diversa Corp. (b) 4 20 Enzo Biochem Inc. (b) 5 72 Enzon Pharmaceuticals Inc. (b) 7 46 Exelixis Inc. (b) 16 121 Eyetech Pharmaceuticals Inc. (b) 6 110 Gene Logic Inc. (b) 4 18 Genitope Corp. (b) 4 28 Geron Corp. (b) (l) 10 101 GTX Inc. (b) (l) 1 8 Harvard Bioscience Inc. (b) 1 2 Human Genome Sciences Inc. (b) (l) 23 314 Illumina Inc. (b) 6 79 Immunomedics Inc. (b) (l) 7 13 Incyte Corp. (b) 14 67 Integra LifeSciences Holdings Corp. (b) 3 134 InterMune Inc. (b) (l) 5 87 Keryx Biopharmaceuticals Inc. (b) 5 82 Lexicon Genetics Inc. (b) 12 46 Lifecell Corp. (b) 5 110 Marshall Edwards Inc. (b) (l) 1 5 Martek Biosciences Corp. (b) 6 201 Maxygen Inc. (b) 5 40 Meridian Bioscience Inc. 3 64 Monogram Biosciences Inc. (b) 22 52 Myogen Inc. (b) 3 68 Myriad Genetics Inc. (b) 6 128 Nanogen Inc. (b) (l) 7 23 Nektar Therapeutics (b) 15 262 Northfield Laboratories Inc. (b) 4 53 Orchid Cellmark Inc. (b) 4 36 Regeneron Pharmaceuticals Inc. (b) 6 58 Seattle Genetics Inc. (b) 5 25 SFBC International Inc. (b) 3 145 StemCells Inc. (b) (l) 11 59 Stratagene Corp. (b) 1 11 Telik Inc. (b) 9 153 Tercica Inc. (b) 2 25 4,451 Building Materials - 1.0% Aaon Inc. (b) 1 24 Apogee Enterprises Inc. 5 81 Builders FirstSource Inc. (b) 2 39 Comfort Systems USA Inc. (b) 7 59 Drew Industries Inc. (b) (l) 3 72 Eagle Materials Inc. 3 392 ElkCorp 4 129 Genlyte Group Inc. (b) 4 212 Huttig Building Products Inc. (b) 3 28 Lennox International Inc. 9 242 LSI Industries Inc. 4 70 Mestek Inc. (b) - 6 NCI Building Systems Inc. (b) 4 157 Omega Flex Inc. (b) - 8 Simpson Manufacturing Co. Inc. 6 253 Texas Industries Inc. 4 215 Trex Co. Inc. (b) 2 50 Universal Forest Products Inc. 3 162 US Concrete Inc. (b) 3 25 2,224 Chemicals - 1.2% Aceto Corp. 4 21 Albemarle Corp. 1 22 American Vanguard Corp. (l) 2 33 Arch Chemicals Inc. 4 104 Balchem Corp. 1 36 Chemtura Corp. 1 17 Ferro Corp. 8 143 Georgia Gulf Corp. 6 151 HB Fuller Co. 5 159 Hercules Inc. (b) 20 245 Kronos Worldwide Inc. - 16 MacDermid Inc. 6 147 Minerals Technologies Inc. 4 215 NewMarket Corp. (b) 3 50 NL Industries 1 21 Octel Corp. 2 32 Olin Corp. 13 240 OM Group Inc. (b) 5 108 Pioneer Cos Inc. (b) 2 46 PolyOne Corp. (b) 17 104 Rockwood Holdings Inc. (b) 3 59 Schulman A Inc. 5 95 Solutia Inc. (b) 9 6 Spartech Corp 6 119 Stepan Co. 1 21 Symyx Technologies Inc. (b) 6 152 Terra Industries Inc. (b) 16 106 Valhi Inc. 1 14 Wellman Inc. 5 35 Westlake Chemical Corp. 2 62 WR Grace & Co. (b) 12 103 Zoltek Cos. Inc. (b) (l) 2 22 2,704 Commercial Services - 4.6% Aaron Rents Inc. 7 153 ABM Industries Inc. 7 153 ACE Cash Express Inc. (b) 2 38 Administaff Inc. 4 152 Advance America Cash Advance Centers Inc. 12 161 Alderwoods Group Inc. (b) 7 112 AMN Healthcare Services Inc. (b) 2 27 Arbitron Inc. 6 222 Banta Corp. 4 220 BearingPoint Inc. (b) 33 254 Bowne & Co. Inc. 6 85 Bright Horizons Family Solutions Inc. (b) 5 185 CBIZ Inc. (b) 10 52 CDI Corp. 2 62 Central Parking Corp. 3 50 Coinstar Inc. (b) 4 82 Consolidated Graphics Inc. (b) 2 79 Corinthian Colleges Inc. (b) 17 222 Corvel Corp. (b) 1 22 CoStar Group Inc. (b) 3 136 CPI Corp. 1 16 CRA International Inc. (b) 2 87 Darling International Inc. (b) 12 41 DiamondCluster International Inc. - Class A (b) 5 38 Dollar Thrifty Automotive Group (b) 5 157 Educate Inc. (b) 3 50 Electro Rent Corp. (b) 3 37 Euronet Worldwide Inc. (b) 6 164 Exponent Inc. (b) 1 42 First Advantage Corp. - Class A (b) 1 18 First Consulting Group Inc. (b) 2 12 Flanders Corp. (b) 2 23 Forrester Research Inc. (b) 3 52 FTI Consulting Inc. (b) 8 201 Gartner Inc. - Class A (b) 10 122 Geo Group Inc. (b) 2 53 Gevity HR Inc. 5 129 GSI Commerce Inc. (b) 5 105 Heidrick & Struggles International Inc. (b) 3 108 Hudson Highland Group Inc. (b) 4 112 Huron Consulting Group Inc. (b) 1 27 Identix Inc. (b) 16 73 Infocrossing Inc. (b) (l) 3 25 Infrasource Services Inc. (b) 2 32 Interline Brands Inc. (b) 2 42 Intersections Inc. (b) 1 13 iPayment Inc. (b) 2 79 Jackson Hewitt Tax Service Inc. 7 166 Kelly Services Inc. - Class A 3 96 Kforce Inc. (b) 5 54 Korn/Ferry International (b) 6 96 Labor Ready Inc. (b) 10 244 Landauer Inc. 1 72 Learning Tree International Inc. (b) 1 17 LECG Corp. (b) 3 62 Magellan Health Services Inc. (b) 5 164 MAXIMUS Inc. 3 117 Mcgrath Rentcorp. 4 111 Midas Inc. (b) 3 62 MoneyGram International Inc. 15 332 Monro Muffler Inc. (b) 2 47 Morningstar Inc. (b) 1 46 MPS Group Inc. (b) 19 224 Navigant Consulting Inc. (b) 9 174 NCO Group Inc. (b) 6 124 Odyssey Marine Exploration Inc. (b) 6 21 Orthovita Inc. (b) 7 31 Parexel International Corp. (b) 5 93 Phase Forward Inc. (b) 4 39 PHH Corp. (b) 9 256 Plexus Corp. (b) 8 130 Pre-Paid Legal Services Inc. (l) 2 73 PRG-Schultz International Inc. (b) 6 18 Princeton Review Inc. (b) 2 15 Providence Services Corp. (b) 2 54 QC Holdings Inc. (b) (l) 1 19 Quanta Services Inc. (b) 21 273 Rent-Way Inc. (b) 5 33 Res-Care Inc. (b) 4 59 Resources Connection Inc. (b) 8 250 Rollins Inc. 5 94 Senomyx Inc. (b) 4 61 Source Interlink Cos. Inc. (b) 6 62 Sourcecorp (b) 3 64 Spherion Corp. (b) 10 78 Stamps.com Inc. (b) 3 49 Startek Inc. 2 24 Stewart Enterprises Inc. - Class A 18 121 Strayer Education Inc. 3 253 TeleTech Holdings Inc. (b) 6 60 TNS Inc. (b) 2 54 United Rentals Inc. (b) (l) 12 244 Universal Technical Institute Inc. (b) 4 130 Valassis Communications Inc. (b) 9 349 Verint Systems Inc. (b) 2 92 Vertrue Inc. (b) (l) 1 46 Volt Information Sciences Inc. (b) 1 29 Washington Group International Inc. (b) 5 249 Watson Wyatt & Co. Holdings 6 157 Wright Express Corp. (b) 7 152 10,265 Computers - 3.0% 3D Systems Corp. (b) 2 46 Advanced Digital Information Corp. (b) 11 108 Ansoft Corp. (b) 1 31 Anteon International Corp. (b) 5 217 Brocade Communications Systems Inc. (b) 49 202 Carreker Corp. (b) 3 20 Catapult Communications Corp. (b) 2 31 Ciber Inc. (b) 9 66 Computer Programs & Systems Inc. 1 48 Compx International Inc. - 7 COMSYS IT Partners Inc. (b) 1 7 Covansys Corp. (b) 5 84 Cray Inc. (b) (l) 14 13 Cyberguard Corp. (b) (l) 2 19 Digimarc Corp. (b) 2 16 Dot Hill Systems Corp. (b) 8 51 Echelon Corp. (b) (l) 5 50 Electronics for Imaging (b) 10 221 Factset Research Systems Inc. 6 215 FalconStor Software Inc. (b) (l) 4 25 Foundry Networks Inc. (b) (l) 22 284 Gateway Inc. 44 119 Hutchinson Technology Inc. (b) (l) 4 113 iGate Corp. (b) 3 11 Imation Corp. 6 262 InFocus Corp. (b) 6 21 Insight Enterprises Inc. (b) 9 161 Integral Systems Inc. 2 36 Intergraph Corp. (b) 6 257 InterVoice Inc. (b) 7 67 Jack Henry & Associates Inc. 13 257 Kanbay International Inc. (b) 4 79 Komag Inc. (b) 5 165 Kronos Inc. (b) 6 261 Lexar Media Inc. (b) (l) 14 93 Manhattan Associates Inc. (b) 5 119 Maxtor Corp. (b) 45 198 McData Corp. - Class A (b) (l) 26 134 Mentor Graphics Corp. (b) 14 120 Mercury Computer Systems Inc. (b) 4 97 Merge Technologies Inc. (b) 3 53 Micros Systems Inc. (b) 7 295 Mobility Electronics Inc. (b) (l) 5 48 MTS Systems Corp. 4 139 Ness Technologies Inc. (b) 3 32 Netscout Systems Inc. (b) 3 19 Openwave Systems Inc. (b) (l) 12 220 Overland Storage Inc. (b) 2 18 Palm Inc. (b) 8 217 PAR Technology Corp. (b) 1 16 Perot Systems Corp. (b) 15 206 Pomeroy IT Solutions Inc. (b) 1 10 Quantum Corp. (b) 32 99 Radiant Systems Inc. (b) 4 40 Radisys Corp. (b) 4 71 Rimage Corp. (b) 2 43 SI International Inc. (b) 2 51 Silicon Storage Technology Inc. (b) 16 88 Sports Authority Inc. (b) 5 140 SRA International Inc. - Class A (b) 1 20 Stratasys Inc. (b) 2 53 SYKES Enterprises Inc. (b) 5 56 Synaptics Inc. (b) 4 78 Synplicity Inc. (b) 2 10 Syntel Inc. 1 22 Systemax Inc. (b) 2 11 Talx Corp. 3 115 Tier Technologies Inc. - Class B (b) 3 22 Tivo Inc. (b) (l) 10 57 Trident Microsystems Inc. (b) 5 144 Tyler Technologies Inc. (b) 6 52 Virage Logic Corp. (b) 2 18 6,794 Cosmetics & Personal Care - 0.2% Candela Corp. (b) 3 29 Chattem Inc. (b) 3 114 Elizabeth Arden Inc. (b) 5 103 Inter Parfums Inc. (l) 1 12 Parlux Fragrances Inc. (b) (l) 1 28 Revlon Inc. - Class A (b) 25 81 Water Pik Technologies Inc. (b) 2 39 406 Distribution & Wholesale - 1.1% Agilysis Inc. 5 87 Aviall Inc. (b) 6 208 Beacon Roofing Supply Inc. (b) 3 92 Bell Microproducts Inc. (b) 5 50 BlueLinx Holdings Inc. 2 28 Building Material Holding Corp. 2 232 Central Euro Distribution Corp. (b) 2 100 Handleman Co. 4 48 Hughes Supply Inc. 12 383 LKQ Corp. (b) 3 79 Navarre Corp. (b) (l) 3 19 Nuco2 Inc. (b) 2 47 Owens & Minor Inc. 7 207 Scansource Inc. (b) 2 112 United Stationers Inc. (b) 6 280 Watsco Inc. 4 202 WESCO International Inc. (b) 6 200 2,374 Diversified Financial Services - 2.2% Advanta Corp. - Class B 3 96 Archipelago Holdings Inc. (b) (l) 5 209 Asset Acceptance Capital Corp. (b) 2 51 Asta Funding Inc. 2 54 Bankrate Inc. (b) 2 44 BKF Capital Group Inc. 1 34 Calamos Asset Management Inc. 4 102 Central Pacific Financial Corp. 6 197 CharterMac 7 152 Clark Inc. 3 43 Cohen & Steers Inc. 2 32 Collegiate Funding Services LLC (b) 3 37 Columbia Equity Trust Inc. (b) 2 26 Commercial Capital Bancorp. 8 129 CompuCredit Corp. (b) 4 160 Doral Financial Corp. 16 206 E-loan Inc. (b) 9 39 Encore Capital Group Inc. (b) 3 45 eSpeed Inc. - Class A (b) 4 31 Federal Agricultural Mortgage Corp. - Class C (l) 2 44 Financial Federal Corp. 3 126 First Cash Financial Services Inc. (b) 2 63 First Defiance Financial Corp. 1 26 GAMCO Investors Inc. 1 55 GFI Group Inc. (b) 1 40 Greenhill & Co. Inc. (l) 2 85 Horizon Financial Corp. 2 39 II-VI Inc. (b) 4 67 International Securities Exchange Inc. - Class A (b) 2 45 Investment Technology Group Inc. (b) 7 217 ITLA Capital Corp. (b) 1 52 Knight Capital Group Inc. (b) 19 162 LaBranche & Co. Inc. (b) (l) 9 78 Ladenburg Thalmann Financial Services Inc. (b) 1 1 Marlin Business Services Inc. (b) 1 33 MBT Financial Corp. 2 46 Metris Cos. Inc. (b) 11 158 Nasdaq Stock Market Inc. (b) 8 209 National Financial Partners Corp. 6 290 Nelnet Inc. - Class A (b) 1 29 Newcastle Investment Corp. 8 217 optionsXpress Holdings Inc. (l) 3 65 Piper Jaffray Cos. (b) 4 110 Portfolio Recovery Associates Inc. (b) 3 121 Provident Financial Services Inc. 13 228 Sound Federal Bancorp. Inc. 2 30 Stifel Financial Corp. (b) 2 58 SWS Group Inc. 3 46 United PanAm Financial Corp. (b) 1 19 Viad Corp. 4 104 Waddell & Reed Financial Inc. - Class A 14 269 World Acceptance Corp. (b) 3 82 4,900 Electric - 1.6% Allete Inc. 5 213 Aquila Inc. (b) 67 264 Avista Corp. 9 173 Black Hills Inc. 6 251 Calpine Corp. (b) (l) 96 248 Central Vermont Public Service Corp. 2 33 CH Energy Group Inc. 3 131 Cleco Corp. 9 217 Duquesne Light Holdings Inc. (l) 14 243 El Paso Electric Co. (b) 8 177 Empire District Electric Co. 5 107 Idacorp Inc. 7 226 MGE Energy Inc. 4 134 NorthWestern Corp. 7 198 Ormat Technologies Inc. 1 27 Otter Tail Corp. 5 155 Pike Electric Corp. (b) 2 35 Sierra Pacific Resources (b) 21 310 UIL Holdings Corp. 3 131 Unisource Energy Corp. 6 204 3,477 Electrical Components & Equipment - 0.9% Advanced Energy Industries Inc. (b) 5 56 American Superconductor Corp. (b) (l) 6 60 Artesyn Technologies Inc. 7 68 C&D Technologies Inc. 4 38 C-COR Inc. (b) 9 62 Ceva Inc. (b) 2 9 Color Kinetics Inc (b) 3 42 CommScope Inc. (b) 10 175 Cyberoptics Corp. (b) 1 15 Encore Wire Corp. (b) 3 45 Energy Conversion Devices Inc. (b) (l) 4 177 EnerSys (b) 8 119 General Cable Corp. (b) (l) 7 120 GrafTech International Ltd. (b) 18 100 Greatbatch Inc. (b) 4 100 ITC Holdings Corp. 2 56 Littelfuse Inc. (b) 4 118 Medis Technologies Ltd. (b) (l) 3 46 Metrologic Instruments Inc. (b) 2 34 Plug Power Inc. (b) (l) 8 55 Powell Industries Inc. (b) 1 26 Power-One Inc. (b) 12 69 Research Frontiers Inc. (b) (l) 1 4 Sonic Solutions Inc. (b) (l) 4 89 Spatialight Inc. (b) (l) 4 15 Superior Essex Inc. (b) 3 53 Sypris Solutions Inc. 1 11 Taser International Inc. (b) (l) 10 64 Thomas & Betts Corp. (b) 1 24 Universal Display Corp. (b) (l) 4 43 Valence Technology Inc. (b) (l) 10 26 Vicor Corp. 4 53 1,972 Electronics - 1.9% Advanced Analogic Technologies Inc. (b) 1 13 American Science & Engineering Inc. (b) 1 92 Analogic Corp. 3 129 Badger Meter Inc. 1 38 BEI Technologies Inc. 2 75 Bel Fuse Inc. - Class B 2 70 Benchmark Electronics Inc. (b) 7 223 Brady Corp. - Class A 7 226 Checkpoint Systems Inc. (b) 7 157 Coherent Inc. (b) 5 160 CTS Corp. 6 75 Cubic Corp. 3 49 Cymer Inc. (b) 7 208 Daktronics Inc. 2 58 Dionex Corp. (b) 4 203 EDO Corp 3 83 Electro Scientific Industries Inc. (b) 5 111 Excel Technology Inc. (b) 2 57 Fargo Electronics Inc. (b) 2 38 FEI Co. (b) (l) 4 78 Integrated Silicon Solutions Inc. (b) 7 58 International DisplayWorks Inc. (b) (l) 4 25 Ionatron Inc. (b) (l) 3 33 Itron Inc. (b) 4 195 Keithley Instruments Inc. 2 26 Kemet Corp. (b) 16 136 LaBarge Inc (b) 2 22 LeCroy Corp. (b) 1 18 LoJack Corp. (b) 3 61 Measurement Specialties Inc. (b) 2 42 Methode Electronics Inc. 6 73 Molecular Devices Corp. (b) 3 64 Multi-Fineline Electronix Inc. (b) 2 44 OSI Systems Inc. (b) 3 48 Park Electrochemical Corp. 3 91 Paxar Corp. (b) 7 111 Photon Dynamics Inc. (b) 3 53 Pixelworks Inc. (b) 8 55 Rogers Corp. (b) 3 114 SBS Technologies Inc. (b) 2 22 Technitrol Inc. 7 109 TTM Technologies Inc. (b) 7 48 Varian Inc. (b) 6 214 Vishay Intertechnology Inc. (b) 3 32 Watts Water Technologies Inc. 4 123 Woodhead Industries Inc. 2 30 Woodward Governor Co. 2 149 X-Rite Inc. 3 40 4,179 Engineering & Construction - 0.7% Dycom Industries Inc. (b) 9 182 EMCOR Group Inc. (b) 3 158 Granite Construction Inc. 6 237 Insituform Technologies Inc. - Class A (b) 4 77 Layne Christensen Co. (b) 2 35 Modtech Holdings Inc. (b) (l) 1 7 Perini Corp. (b) 3 60 Shaw Group Inc. (b) 14 350 URS Corp. (b) 7 300 WCI Communities Inc. (b) 6 175 1,581 Entertainment - 0.8% Argosy Gaming Co. (b) 5 212 Carmike Cinemas Inc. 2 51 Championship Auto Racing Teams Inc. (b) 1 - Churchill Downs Inc. 1 45 Dover Downs Gaming & Entertainment Inc. 2 21 Dover Motorsports Inc. 3 17 Empire Resorts Inc. (b) (l) 1 6 Gaylord Entertainment Co. (b) 7 339 Isle of Capri Casinos Inc. (b) 3 55 Lin Tv Corp. (b) 5 66 Macrovision Corp. (b) 9 171 Magna Entertainment Corp. (b) 6 43 Mikohn Gaming Corp. (b) 4 52 Multimedia Games Inc. (b) (l) 4 43 Pinnacle Entertainment Inc. (b) 7 133 Six Flags Inc. (b) (l) 17 120 Speedway Motorsports Inc. 3 100 Steinway Musical Instruments (b) 1 29 Sunterra Corp. (b) (l) 4 51 Vail Resorts Inc. (b) 6 164 1,718 Environmental Control - 0.5% Aleris International Inc. (b) 6 157 American Ecology Corp. 2 48 Calgon Carbon Corp. 6 45 Casella Waste Systems Inc. (b) 4 48 Clean Harbors Inc (b) (l) 3 88 Duratek Inc. (b) 2 44 Mine Safety Appliances Co. 5 205 Tetra Tech Inc. (b) 10 166 Waste Connections Inc. (b) 9 299 Waste Industries USA Inc. 1 8 Waste Services Inc. (b) 11 40 1,148 Food - 1.8% American Italian Pasta Co. (l) 3 36 Arden Group Inc. - Class A - 19 Chiquita Brands International Inc. 7 207 CKE Restaurants Inc (l) 11 145 Corn Products International Inc. 13 269 Flowers Foods Inc. 9 243 Gold Kist Inc. (b) 9 179 Great Atlantic & Pacific Tea Co. (b) 3 85 Green Mountain Coffee Roasters Inc. (b) 1 26 Hain Celestial Group Inc. (b) 5 102 Ingles Markets Inc. - Class A 2 33 J&J Snack Foods Corp. 1 59 John B. Sanfilippo & SON (b) 1 16 Lance Inc. 5 94 M&F Worldwide Corp. (b) 2 36 Mannatech Inc. (l) 3 35 MGP Ingredients Inc. 1 13 Monterey Gourmet Foods Inc. (b) 1 5 Nash Finch Co. 2 102 Nutraceutical International Corp. (b) 1 17 Nutri/System Inc. (b) (l) 4 95 Pathmark Stores Inc. (b) 8 90 Performance Food Group Co. (b) 8 266 Premium Standard Farms Inc. (b) 1 16 Ralcorp Holdings Inc. 5 221 Red Robin Gourmet Burgers Inc. (b) 3 116 Ruddick Corp. 6 146 Ruth's Chris Steak House (b) 2 32 Ryan's Restaurant Group Inc. (b) 7 87 Sanderson Farms Inc. 3 114 Seaboard Corp. - 88 Sensient Technologies Corp. 8 155 Spartan Stores Inc. (b) 4 37 Texas Roadhouse Inc. - Class A (b) 7 107 Tootsie Roll Industries Inc. 4 136 Triarc Cos. Inc. - Class B (l) 7 100 United Natural Foods Inc. (b) 7 257 Weis Markets Inc. 3 103 Wild Oats Markets Inc. (b) 5 65 3,952 Forest Products & Paper - 0.7% Bowater Inc. 10 280 Buckeye Technologies Inc. (b) 6 50 Caraustar Industries Inc. (b) 5 52 Cenveo Inc. (b) 8 87 Chesapeake Corp. 3 59 Deltic Timber Corp. 2 78 Glatfelter 8 106 Longview Fibre Co. 9 173 Mercer International Inc. (b) (l) 5 45 Neenah Paper Inc. 3 74 Potlatch Corp. 5 269 Rock-Tenn Co. - Class A 6 85 Schweitzer-Mauduit International Inc. 2 55 Wausau Paper Corp. 8 97 Xerium Technologies Inc. 2 26 1,536 Gas - 0.8% Cascade Natural Gas Corp. 2 45 Laclede Group Inc. 4 117 New Jersey Resources Corp. 5 225 Nicor Inc. (l) 8 337 Northwest Natural Gas Co. 5 182 Peoples Energy Corp. 7 265 South Jersey Industries Inc. 5 151 Southern Union Co. (b) - - Southwest Gas Corp. 7 190 WGL Holdings Inc. 9 286 1,798 Hand & Machine Tools - 0.5% Baldor Electric Co. 6 156 Blount International Inc. (b) 5 90 Franklin Electric Co. Inc. 4 170 Kennametal Inc. 7 331 Lincoln Electric Holdings Inc. 7 257 Milacron Inc. (b) 6 11 Regal-Beloit Corp. 4 139 1,154 Healthcare - 5.4% Abiomed Inc. (b) 4 36 Adeza Biomedical Corp. (b) 1 12 Advanced Neuromodulation Systems Inc. (b) (l) 3 164 Advisory Board Co. (b) 3 178 Align Technology Inc. (b) (l) 11 75 Alliance Imaging Inc. (b) 2 17 Allied Healthcare International Inc. (b) 5 29 Amedisys Inc. (b) (l) 3 103 America Service Group Inc. (b) 2 28 American Dental Partners Inc. (b) 1 48 American Healthways Inc. (b) 6 256 American Medical Systems Holdings Inc. (b) 13 254 American Retirement Corp. (b) 5 89 Amsurg Corp. (b) 5 141 Angiodynamics Inc. (b) - 10 Animas Corp. (b) 2 33 Apria Healthcare Group Inc. 9 275 Arrow International Inc. 4 107 Arthrocare Corp. (b) 4 168 Aspect Medical Systems Inc. (b) 3 80 Beverly Enterprises Inc. (b) (l) 20 245 Biolase Technology Inc. (l) 3 21 Bio-Reference Labs Inc. (b) 2 38 Caliper Life Sciences Inc. (b) 5 33 Cantel Medical Corp. (b) 2 41 Cardiodynamics International Corp. (b) (l) 5 7 Centene Corp. (b) 7 186 Cepheid Inc. (b) 8 62 Chemed Corp. 5 195 Conmed Corp. (b) 5 152 Cross Country Healthcare Inc. (b) 6 102 Cyberonics Inc. (b) 4 113 Datascope Corp. 2 70 DexCom Inc. (b) 1 9 Diagnostic Products Corp. 4 221 Discovery Laboratories Inc. (b) 10 63 DJ Orthopedics Inc. (b) 4 105 EPIX Pharmaceuticals Inc. (b) 3 26 ev3 Inc. (b) 1 22 Exactech Inc. (b) 1 13 Foxhollow Technologies Inc. (b) (l) 2 113 Genesis HealthCare Corp. (b) 4 149 Gentiva Health Services Inc. (b) 4 76 Haemonetics Corp. (b) 5 227 Healthcare Services Group 5 88 HealthTronics Inc. (b) 6 58 Hologic Inc. (b) 4 225 Hooper Holmes Inc. 11 44 Horizon Health Corp. (b) 2 49 ICU Medical Inc. (b) 2 66 Immucor Inc. (b) 8 228 Intralase Corp. (b) (l) 2 33 Intuitive Surgical Inc. (b) 6 451 Invacare Corp. 6 233 Inverness Medical Innovations Inc. (b) 3 87 IRIS International Inc. (b) 3 52 Kensey Nash Corp. (b) (l) 2 47 Kindred Healthcare Inc. (b) 5 152 Kyphon Inc. (b) 5 233 LabOne Inc. (b) 3 131 Lannett Co. Inc. (b) 1 4 Laserscope (b) (l) 3 94 Lifeline Systems Inc. (b) 2 79 Luminex Corp. (b) 5 50 Matria Healthcare Inc. (b) 3 130 Medcath Corp. (b) 1 30 Mentor Corp. 6 316 Merit Medical Systems Inc. (b) 5 90 Micro Therapeutics Inc. (b) 2 12 Microtek Medical Holdings Inc. (b) 6 22 Molina Healthcare Inc. (b) 2 50 Nastech Pharmaceutical Co. Inc. (b) 4 54 National Healthcare Corp. 1 39 Neoforma Inc. (b) (l) 2 14 Neurometrix Inc. (b) 1 29 Novoste Corp. (b) 1 1 Nuvelo Inc. (b) 8 74 OCA Inc. (b) (l) 6 10 OccuLogix Inc. (b) (l) 2 13 Odyssey HealthCare Inc. (b) 6 103 Omega Healthcare Investors Inc. 9 127 Option Care Inc. (l) 4 60 OraSure Technologies Inc. (b) 8 80 Orthologic Corp. (b) 6 22 PainCare Holdings Inc. (b) 7 25 Pediatrix Medical Group Inc. (b) 4 312 PolyMedica Corp. 5 179 PRA International (b) 2 57 PSS World Medical Inc. (b) 11 151 Psychiatric Solutions Inc. (b) 4 236 Quality Systems Inc. (b) 1 97 Quest Diagnostics Inc. - 2 Radiation Therapy Services Inc. (b) 2 60 Radiologix Inc. (b) 1 2 RehabCare Group Inc. (b) 3 58 Serologicals Corp. (b) 6 146 Somanetics Corp (b) 1 33 SonoSite Inc. (b) 3 86 Specialty Laboratories Inc. (b) 1 17 Stereotaxis Inc. (b) 2 18 STERIS Corp. 13 300 Sunrise Senior Living Inc. (b) 3 203 Surmodics Inc. (b) (l) 3 100 Sybron Dental Specialties Inc. (b) 7 303 Symbion Inc. (b) 3 77 Symmetry Medical Inc. (b) 1 34 ThermoGenesis Corp. (b) 7 37 Thoratec Corp. (b) 9 153 TriPath Imaging Inc. (b) 5 33 United Surgical Partners International Inc. (b) 8 300 US Physical Therapy Inc. (b) 2 28 USANA Health Sciences Inc. (b) (l) 2 87 Ventana Medical Systems Inc. (b) 6 217 Virbac Corp. (b) 1 2 VistaCare Inc. - Class A (b) 2 26 Vital Images Inc. (b) 2 55 Vital Signs Inc. 1 39 Vivus Inc. (b) 4 16 Vnus Medical Technologies Inc. (b) (l) 1 9 WellCare Health Plans Inc. (b) 3 118 West Pharmaceutical Services Inc. 6 165 Wright Medical Group Inc. (b) 5 122 Young Innovations Inc 1 33 Zila Inc. (b) 8 28 Zoll Medical Corp. (b) 1 39 12,075 Holding Companies - Diversified - 0.6% Accredited Home Lenders Holding Co. (b) 3 110 BancTrust Financial Group Inc. 1 26 DeVry Inc. (b) 11 204 Heritage Commerce Corp. (b) 2 44 MarketAxess Holdings Inc. (b) (l) 4 56 NASB Financial Inc. - 16 National Bankshares Inc. - 21 Penns Woods Bancorp Inc. - 16 Provident Financial Holdings Inc. 1 26 Resource America Inc. - Class A 3 47 Sanders Morris Harris Group Inc. 3 44 Texas Capital Bancshares Inc. (b) 4 80 Trustmark Corp. 8 234 Walter Industries Inc. 6 315 1,239 Home Builders - 0.6% Brookfield Homes Corp. 3 145 Champion Enterprises Inc. (b) 13 196 Coachmen Industries Inc. 2 25 Comstock Homebuilding Cos. Inc. (b) 1 16 Fleetwood Enterprises Inc. (b) 10 117 Levitt Corp. - Class A 3 62 M/I Homes Inc. 2 121 Monaco Coach Corp. 4 66 Orleans Homebuilders Inc. 1 21 Palm Harbor Homes Inc. (b) (l) 1 28 Skyline Corp. 1 47 Technical Olympic USA Inc. 2 65 USG Corp. (b) (l) - 30 William Lyon Homes Inc. (b) (l) 1 119 Winnebago Industries (l) 6 178 1,236 Home Furnishings - 0.5% American Woodmark Corp. 2 74 Bassett Furniture Industries Inc. 2 32 DTS Inc. (b) 3 57 Ethan Allen Interiors Inc. 6 201 Furniture Brands International Inc. 9 163 Hooker Furniture Corp. 2 29 Kimball International Inc. - Class B 4 50 Kirkland's Inc. (b) 2 12 La-Z-Boy Inc. (l) 9 122 Maytag Corp. 14 249 Parkervision Inc. (b) (l) 1 4 Salton Inc. (b) (l) - 1 Stanley Furniture Co. Inc. 3 66 Tempur-Pedic International Inc. (b) (l) 1 10 Universal Electronics Inc. (b) 2 38 1,108 Household Products - 0.9% American Greetings Corp. 1 21 Blyth Inc. 5 107 Central Garden & Pet Co. (b) 3 155 CNS Inc. 2 63 CSS Industries Inc. 1 36 Ennis Inc. 4 71 Fossil Inc. (b) 9 162 Jarden Corp. (b) (l) 10 396 John H Harland Co. 5 224 Libbey Inc. 2 35 Lifetime Brands Inc. 1 35 National Presto Industries Inc. 1 38 Playtex Products Inc. (b) 7 76 Russ Berrie & Co. Inc. 2 28 Standard Register Co. 3 44 Toro Co. - 17 Tupperware Corp. 9 215 Yankee Candle Co. Inc. 8 203 1,926 Insurance - 2.4% 21st Century Insurance Group 6 98 Affirmative Insurance Holdings Inc. 1 20 Alfa Corp. 6 98 American Equity Investment Life Holding Co. 5 62 American Physicians Capital Inc. (b) 1 70 Argonaut Group Inc. (b) 5 141 Baldwin & Lyons Inc. - Class B 1 33 Bristol West Holdings Inc. 3 51 Ceres Group Inc. (b) 7 37 Citizens Inc. (b) 5 31 CNA Surety Corp. (b) 3 41 Crawford & Co. - Class B 4 31 Delphi Financial Group 5 232 Direct General Corp. 3 57 Donegal Group Inc. 1 30 EMC Insurance Group Inc. 1 16 Enstar Group Inc. (b) 1 36 FBL Financial Group Inc. - Class A 3 75 Fidelity National Financial Inc. - 3 First Acceptance Corp. (b) 3 31 FPIC Insurance Group Inc. (b) 2 62 Fremont General Corp. 12 251 Great American Financial Resource Inc. 2 32 Harleysville Group Inc. 2 52 HealthExtras Inc. (b) 4 83 Hilb Rogal & Hobbs Co. 6 213 Horace Mann Educators Corp. 8 157 Independence Holding Co. 1 11 Infinity Property & Casualty Corp. 4 129 Kansas City Life Insurance Co. 1 31 KMG America Corp. (b) 4 32 LandAmerica Financial Group Inc. 3 208 Midland Co. 2 66 National Interstate Corp. (b) 1 13 National Western Life Insurance Co. (b) - 78 Navigators Group Inc. (b) 2 65 Odyssey Re Holdings Corp. (l) 2 50 Ohio Casualty Corp. 11 301 Phoenix Cos. Inc. (l) 17 206 Pico Holdings Inc. (b) 1 51 PMA Capital Corp. (b) 6 51 Presidential Life Corp. 4 64 ProAssurance Corp. (b) 5 239 RLI Corp. 4 186 Safety Insurance Group Inc. 2 81 SeaBright Insurance Holdings Inc. (b) 1 17 Selective Insurance Group 5 253 State Auto Financial Corp. 2 78 Stewart Information Services Corp. 3 154 Tower Group Inc. 3 48 Triad Guaranty Inc. (b) 2 59 UICI 6 229 United America Indemnity Ltd. (b) 1 20 United Fire & Casualty Co. 3 119 Universal American Financial Corp. (b) 5 102 USI Holdings Corp. (b) 8 107 Vesta Insurance Group Inc. 5 10 Zenith National Insurance Corp. 3 184 5,285 Internet - 2.8% 1-800 Contacts Inc. (b) 1 21 1-800-Flowers.com Inc. (b) 3 24 Alloy Inc. (b) (l) 5 24 Applied Digital Solutions Inc. (b) (l) 8 23 aQuantive Inc. (b) 10 203 Arbinet-thexchange Inc. (b) 2 11 Ariba Inc. (b) 11 65 Audible Inc. (b) (l) 4 51 Autobytel Inc. (b) 8 39 Avocent Corp. (b) 9 286 Blue Coat Systems Inc. (b) 2 85 Click Commerce Inc. (b) 1 24 CNET Networks Inc. (b) (l) 24 319 Cogent Communications Group Inc. (b) 2 9 Corillian Corp. (b) 5 16 Cybersource Corp. (b) 4 27 Digital Insight Corp. (b) 6 160 Digital River Inc. (b) (l) 6 212 Digitas Inc. (b) 16 187 eCollege.com Inc. (b) 3 49 Equinix Inc. (b) 3 110 eResearch Technology Inc. (b) (l) 9 122 Harris Interactive Inc. (b) 8 35 Homestore Inc. (b) 25 109 Infospace Inc. (b) 6 135 Intermix Media Inc. (b) 5 59 Internet Capital Group Inc. (b) 6 57 Internet Security Systems (b) 7 162 Interwoven Inc. (b) 7 60 Ipass Inc. (b) 9 50 iVillage Inc. (b) 8 57 j2 Global Communications Inc. (b) 4 171 Jupitermedia Corp. (b) 3 57 Keynote Systems Inc. (b) 2 31 Lionbridge Technologies (b) 7 48 Matrixone Inc (b) 10 55 Motive Inc. (b) 4 24 Netbank Inc. 8 69 NetFlix Inc. (b) (l) 6 163 Netratings Inc. (b) 3 41 NIC Inc. (b) 6 36 Online Resources Corp. (b) 4 38 Overstock.com Inc. (b) (l) 2 79 PC-Tel Inc. (b) 3 30 PlanetOut Inc. (b) 1 8 Portal Software Inc. (b) 5 13 Priceline.com Inc. (b) (l) 5 87 ProQuest Co. (b) 5 164 RealNetworks Inc. (b) 20 112 Redback Networks Inc. (b) 7 71 RightNow Technologies Inc. (b) 2 27 RSA Security Inc. (b) 13 162 S1 Corp. (b) 13 49 Sapient Corp. (b) 14 87 Secure Computing Corp. (b) 6 73 Sohu.com Inc. (b) 4 73 SonicWALL Inc. (b) 10 65 SupportSoft Inc. (b) 6 28 Terremark Worldwide Inc. (b) 7 32 TIBCO Software Inc. (b) 38 320 Travelzoo Inc. (b) (l) 1 13 Trizetto Group Inc. (b) 7 102 United Online Inc. 10 145 Valueclick Inc. (b) 15 261 Vasco Data Security International (b) (l) 4 40 Verity Inc. (b) 6 67 Vignette Corp. (b) 5 77 Vitria Technology Inc. (b) 2 6 WebEx Communications Inc. (b) 6 144 webMethods Inc. (b) 10 69 Websense Inc. (b) 4 217 WebSideStory Inc. (b) 2 30 6,175 Investment Companies - 0.3% Apollo Investment Corp. 11 219 Ares Capital Corp. 4 65 Capital Southwest Corp. - 34 Gladstone Capital Corp. (l) 2 48 Gladstone Investment Corp. 2 33 Harris & Harris Group Inc. (b) 3 31 MCG Capital Corp. 9 148 NGP Capital Resources Co. 3 42 Technology Investment Capital Corp. (l) 2 25 645 Iron & Steel - 0.9% AK Steel Holding Corp. (b) (l) 20 169 Carpenter Technology Corp. 4 256 Cleveland-Cliffs Inc. (l) 4 347 Gibraltar Industries Inc. 4 99 Global Industries Ltd. (b) 15 218 Oregon Steel Mills Inc. (b) 6 169 Reliance Steel & Aluminum Co. 5 270 Roanoke Electric Steel Corp. 2 33 Ryerson Tull Inc. (l) 5 99 Schnitzer Steel Industries Inc. - Class A 4 128 Steel Dynamics Inc. 7 244 2,032 Leisure Time - 0.6% Alliance Gaming Corp. (b) (l) 9 99 Ambassadors Group Inc. 3 60 Ambassadors International Inc. - 7 Arctic Cat Inc. 2 45 Bluegreen Corp. (b) 4 62 Callaway Golf Co. 14 205 Escalade Inc. 1 16 K2 Inc. (b) 8 93 Life Time Fitness Inc. (b) 4 132 Marine Products Corp. 2 23 Nautilus Inc. (l) 6 136 Pegasus Solutions Inc. (b) 4 36 Shuffle Master Inc. (b) (l) 6 167 Thor Industries 6 205 WMS Industries Inc. (b) (l) 4 102 1,388 Lodging - 0.4% Ameristar Casinos Inc. 4 87 Aztar Corp. (b) 6 191 Boyd Gaming Corp. - 16 Great Wolf Resorts Inc. (b) 5 47 Highland Hospitality Corp. 7 74 La Quinta Corp. (b) 36 314 Lodgian Inc. (b) 3 33 Marcus Corp. 4 78 Monarch Casino & Resort Inc. (b) 2 30 MTR Gaming Group Inc. (b) 4 34 Riviera Holdings Corp. (b) 1 32 936 Machinery - 2.0% AGCO Corp. (b) 16 292 Alamo Group Inc. 1 10 Albany International Corp. 5 194 Applied Industrial Tech Inc. 6 199 Astec Industries Inc. (b) 3 76 Briggs & Stratton Corp. 9 316 Bucyrus International Inc. - Class A 4 185 Cascade Corp. 2 99 Cognex Corp. 8 227 Flowserve Corp. (b) 10 358 Gardner Denver Inc. (b) 5 207 Gehl Co. (b) 2 52 Global Power Equipment Group Inc. (b) 6 42 Gorman-Rupp Co. 2 41 IDEX Corp. (l) 1 22 Intevac Inc. (b) 4 41 JLG Industries Inc. 9 331 Kadant Inc. (b) 3 52 Lindsay Manufacturing Co. 2 48 Manitowoc Co. 5 268 Middleby Corp. 1 67 NACCO Industries Inc. - Class A 1 107 Nordson Corp. 5 196 Presstek Inc. (b) 5 65 Robbins & Myers Inc. 2 42 Sauer-Danfoss Inc. 2 32 Stewart & Stevenson Services Inc. 5 121 Tecumseh Products Co. 3 68 Tennant Co. 1 52 Terex Corp. (b) - 23 TurboChef Technologies Inc. (b) (l) 2 37 UNOVA Inc. (b) 9 304 Wabtec Corp. 9 235 4,409 Manufacturing - 1.9% Actuant Corp. - Class A 5 229 Acuity Brands Inc. 8 239 Ameron International Corp. 2 77 AO Smith Corp. 3 82 Applied Films Corp. (b) 2 52 Barnes Group Inc. 3 107 Ceradyne Inc. (b) 4 161 CIRCOR International Inc. 3 72 Clarcor Inc. 9 262 Crane Co. 9 280 ESCO Technologies Inc. (b) 5 226 Federal Signal Corp. 8 144 Freightcar America Inc. 2 64 Griffon Corp. (b) (l) 5 123 Hexcel Corp. (b) 10 191 Jacuzzi Brands Inc. (b) 14 112 K&F Industries Holdings Inc. (b) 2 40 Lancaster Colony Corp. 5 200 Matthews International Corp. - Class A 6 221 Myers Industries Inc. 5 56 Palomar Medical Technologies Inc. (b) 3 76 Quixote Corp. 1 25 Raven Industries Inc. 3 89 RBC Bearings Inc. (b) 1 14 Reddy Ice Holdings Inc. (b) 1 27 Rofin-Sinar Technologies Inc. (b) 3 102 Standex International Corp. 2 54 Steel Technologies Inc. 2 58 Sturm Ruger & Co. Inc. 4 40 Tredegar Corp. 6 72 Trinity Industries Inc. 7 303 Ultralife Batteries Inc. (b) 3 34 Wheeling-Pittsburgh Corp. (b) (l) 2 25 York International Corp. 7 417 4,274 Media - 1.4% 4Kids Entertainment Inc. (b) 3 44 Beasley Broadcast Group Inc. - Class A (b) 1 12 Charter Communications Inc. - Class A (b) (l) 60 91 Citadel Broadcasting Corp. (b) 7 103 Courier Corp. 2 67 Cox Radio Inc. - Class A (b) 7 100 Crown Media Holdings Inc. (b) 2 24 Cumulus Media Inc. - Class A (b) 10 122 Entercom Communications Corp. 7 209 Entravision Communications Corp. (b) 13 103 Fisher Communications Inc. (b) 1 51 Gemstar-TV Guide International Inc. (b) 42 125 Gray Television Inc. 8 83 Hollinger International Inc. 11 109 Journal Communications Inc. - Class A 5 69 Journal Register Co. 7 119 Liberty Corp. 3 136 Lodgenet Entertainment Corp. (b) 3 41 Martha Stewart Living Omnimedia (b) (l) 4 96 Media General Inc. 4 221 Outdoor Channel Holdings Inc. (b) 1 14 Playboy Enterprises Inc. - Class B (b) 4 50 Primedia Inc. (b) 26 108 Radio One Inc. (b) 15 202 Reader's Digest Association Inc. - Class A 18 282 Regent Communications Inc. (b) 5 28 Saga Communications Inc. (b) 2 33 Salem Communications Corp. - Class A (b) 2 37 Scholastic Corp. (b) 6 224 Sinclair Broadcast Group Inc. - Class A 7 66 Spanish Broadcasting System - Class A (b) 7 51 Thomas Nelson Inc. 2 33 Value Line Inc. - 8 World Wrestling Entertainment Inc. 3 45 WorldSpace Inc. (b) 1 19 WPT Enterprises Inc. (b) (l) 1 9 Young Broadcasting Inc. (b) 2 8 3,142 Metal Fabrication & Hardware - 1.0% AM Castle & Co. (b) 2 31 Commercial Metals Co. 11 362 Dynamic Materials Corp (l) 1 26 Earle M Jorgensen Co. (b) 3 29 EnPro Industries Inc. (b) 4 132 Kaydon Corp. 5 141 Lawson Products 1 33 Maverick Tube Corp. (b) 8 235 Metals USA Inc. (b) 3 68 Mueller Industries Inc. 7 181 NN Inc. 3 34 NS Group Inc. (b) 4 162 Quanex Corp. (l) 5 302 Sun Hydraulics Corp. (l) 1 28 Titanium Metals Corp. (b) 2 95 Valmont Industries Inc. 3 91 Worthington Industries 13 266 2,216 Mining - 0.6% Alpha Natural Resources Inc. (b) 5 153 AMCOL International Corp. 4 68 Brush Engineered Materials Inc. (b) 4 60 Century Aluminum Co. (b) (l) 4 96 Charles & Colvard Ltd. (l) 2 52 Coeur d'Alene Mines Corp. (b) 41 176 Compass Minerals International Inc. 3 77 Fuelcell Energy Inc. (b) (l) 8 90 Hecla Mining Co. (b) 20 87 James River Coal Co. (b) 2 113 Royal Gold Inc. (l) 3 76 RTI International Metals Inc. (b) 4 158 Stillwater Mining Co. (b) 7 62 USEC Inc. 16 177 1,445 Office & Business Equipment - 0.2% Global Imaging System Inc. (b) 4 138 IKON Office Solutions Inc. 21 212 Imagistics International Inc. (b) 3 112 TRM Corp. (b) (l) 2 26 488 Office Furnishings - 0.0% Interface Inc. (b) 8 63 Virco Manufacturing (b) 1 5 68 Oil & Gas Producers - 3.7% Alon USA Energy Inc. (b) 1 35 Atlas America Inc. (b) 2 106 ATP Oil & Gas Corp. (b) 3 102 Atwood Oceanics Inc. (b) 2 206 Berry Petroleum Co. - Class A 3 202 Bois d'Arc Energy Inc. (b) 2 34 Brigham Exploration Co. (b) 5 58 Cabot Oil & Gas Corp. - Class A 9 448 Callon Petroleum Corp. (b) 2 45 Carrizo Oil & Gas Inc. (b) 3 94 Cheniere Energy Inc. (b) 9 381 Cimarex Energy Co. (b) 15 667 Clayton Williams Energy Inc. (b) 1 46 Comstock Resources Inc. (b) 7 246 Crosstex Energy Inc. (l) 1 67 Delta Petroleum Corp. (b) (l) 6 115 Edge Petroleum Corp. (b) 3 89 Encore Acquisition Co. (b) 9 349 Endeavour International Corp. (b) 10 52 Energy Partners Ltd. (b) 6 186 Frontier Oil Corp. 10 432 FX Energy Inc. (b) (l) 6 76 Gasco Energy Inc. (b) (l) 11 73 Giant Industries Inc. (b) 2 141 Goodrich Petroleum Corp. (b) 2 41 Grey Wolf Inc. (b) (l) 35 293 Harvest Natural Resources Inc. (b) 6 69 Holly Corp. 4 258 KCS Energy Inc. (b) 9 244 McMoRan Exploration Co. (b) (l) 4 69 Meridian Resource Corp. (b) 16 65 Parallel Petroleum Corp. (b) 7 92 Parker Drilling Co. (b) 17 155 Penn Virginia Corp. 3 197 PetroHawk Energy Corp. (b) 9 135 Petroleum Development Corp. (b) 3 116 Pioneer Drilling Co. (b) 3 66 Quicksilver Resources Inc. (b) (l) 1 25 Remington Oil & Gas Corp. (b) 4 173 Spinnaker Exploration Co. (b) 4 289 St. Mary Land & Exploration Co. (l) 10 371 Stone Energy Corp. (b) 4 260 Swift Energy Co. (b) 5 237 Tipperary Corp. (b) 3 23 Todco - Class A (b) 9 360 Toreador Resources Corp. (b) (l) 2 86 Tri-Valley Corp. (b) (l) 4 38 W&T Offshore Inc. 2 68 Warren Resources Inc. (b) 4 73 WD-40 Co. 3 78 Whiting Petroleum Corp. (b) 5 239 8,370 Oil & Gas Services - 1.9% Bill Barrett Corp. (b) 3 92 Bronco Drilling Company Inc. (b) 1 15 Cal Dive International Inc. (b) 7 434 CARBO Ceramics Inc. 3 223 Dril-Quip Inc. (b) 1 53 EnergySouth Inc. 1 27 Gulf Island Fabrication Inc. 2 55 Hanover Compressor Co. (b) 16 223 Hornbeck Offshore Services Inc. (b) 2 90 Houston Exploration Co. (b) 5 342 Hydril (b) 3 232 Input/Output Inc. (b) 13 101 Lone Star Technologies Inc. (b) 5 302 Lufkin Industries Inc. 2 104 Markwest Hydrocarbon Inc. 1 23 Newpark Resources Inc. (b) 15 125 Oceaneering International Inc. (b) 5 247 Oil States International Inc. (b) 7 270 Petroleum Helicopters (b) - 7 RPC Inc. 3 74 SEACOR Holdings Inc. (b) (l) 3 251 Superior Energy Services (b) 14 326 Superior Well Services Inc. (b) 1 16 Tetra Technologies Inc. (b) 6 185 Universal Compression Holdings Inc. (b) 3 127 Veritas DGC Inc. (b) 6 229 W-H Energy Services Inc. (b) 5 167 4,340 Packaging & Containers - 0.2% Graphic Packaging Corp. (b) 11 31 Grief Inc. 3 171 Silgan Holdings Inc 4 137 339 Pharmaceuticals - 3.9% Abaxis Inc. (b) 4 48 Abgenix Inc. (b) (l) 16 203 Acadia Pharmaceuticals Inc. (b) 1 13 Adams Respiratory Therapeutics Inc. (b) 1 36 Adolor Corp. (b) 8 82 Advancis Pharmaceutical Corp. (b) (l) 1 2 Alexion Pharmaceuticals Inc. (b) (l) 5 133 Alpharma Inc. - Class A 7 175 Amylin Pharmaceuticals Inc. (b) (l) 19 672 Andrx Corp (b) 13 201 Antigenics Inc. (b) (l) 6 30 Array Biopharma Inc. (b) 5 35 Atherogenics Inc. (b) (l) 7 108 AVANIR Pharmaceuticals - Class A (b) (l) 18 57 Bentley Pharmaceuticals Inc. (b) 2 27 Bioenvision Inc. (b) (l) 7 55 Biomarin Pharmaceutical Inc. (b) 14 119 BioScrip Inc. (b) 5 30 Caraco Pharmaceutical Laboratories Inc. (b) 2 13 Cell Therapeutics Inc. (b) (l) 12 34 Connetics Corp. (b) 6 106 Conor Medsystems Inc. (b) 1 30 Corcept Therapeutics Inc. (b) (l) 1 3 Cubist Pharmaceuticals Inc. (b) 9 202 CV Therapeutics Inc. (b) 8 213 Dendreon Corp. (b) 10 70 Dov Pharmaceutical Inc. (b) 4 64 Drugstore.Com (b) (l) 11 40 Durect Corp. (b) (l) 7 48 Dusa Pharmaceuticals Inc. (b) (l) 3 27 Encore Medical Corp. (b) 6 29 Encysive Pharmaceuticals Inc. (b) 10 118 E-Z-Em-Inc. (b) 1 14 First Horizon Pharmaceutical Corp. (b) 5 92 Hi-Tech Pharmacal Co. Inc. (b) 1 26 ICOS Corp. (b) (l) 12 321 Idenix Pharmaceuticals Inc. (b) (l) 2 59 I-Flow Corp. (b) 3 44 Immunicon Corp. (b) (l) 1 4 Immunogen Inc. (b) 8 55 Inspire Pharmaceuticals Inc. (b) 8 59 Introgen Therapeutics Inc. (b) (l) 3 16 Isis Pharmaceuticals Inc. (b) 11 56 Ista Pharmaceuticals Inc. (b) 2 12 IVAX Diagnostics Inc. (b) 1 4 KV Pharmaceutical Co. - Class A (b) 6 110 LCA-Vision Inc. 4 140 MannKind Corp. (b) 4 57 Medarex Inc. (b) 20 193 Medicines Company (b) 9 208 Medics Pharmaceutical Corp. (l) 10 315 MGI Pharma Inc. (b) 13 296 Momenta Pharmaceuticals Inc. (b) (l) 1 40 Nabi Biopharmaceuticals (b) 11 143 Natures Sunshine Products Inc. 2 52 NBTY Inc. (b) 10 240 Neopharm Inc. (b) 3 32 Neurocrine Biosciences Inc. (b) 7 321 Neurogen Corp. (b) 4 25 New River Pharmaceuticals Inc. (b) 1 45 NitroMed Inc. (b) (l) 3 51 Noven Pharmaceuticals Inc. (b) 4 59 NPS Pharmaceuticals Inc. (b) 7 71 Onyx Pharmaceuticals Inc. (b) 6 157 Pain Therapeutics Inc. (b) 5 34 Par Pharmaceutical Cos. Inc. (b) 6 162 Penwest Pharmaceuticals Co. (b) 4 75 Perrigo Co. 15 214 Pharmion Corp. (b) 4 91 Pozen Inc. (b) 4 43 Prestige Brands Holdings Inc. (b) 5 57 Priority Healthcare Corp. - Class B (b) 6 174 Progenics Pharmaceuticals Inc. (b) 3 69 Renovis Inc. (b) 3 45 Rigel Pharmaceuticals Inc. (b) 4 105 Salix Pharmaceuticals Ltd. (b) (l) 7 139 Santarus Inc. (b) 1 7 Savient Pharmaceuticals Inc. (b) 10 39 Star Scientific Inc. (b) (l) 6 21 SuperGen Inc. (b) (l) 9 59 Tanox Inc. (b) 4 61 Threshold Pharmaceuticals Inc. (b) (l) 1 18 Trimeris Inc. (b) 4 55 United Therapeutics Corp. (b) (l) 4 288 Valeant Pharmaceutical International 1 20 Vertex Pharmaceuticals Inc. (b) (l) 17 376 ViaCell Inc. (b) 1 8 Viasys Healthcare Inc. (b) 6 139 Zymogenetrics Inc. (b) 4 74 8,713 Pipelines - 0.0% Transmontaigne Inc. (b) 6 50 Real Estate - 6.4% Aames Investment Corp. 7 45 Acadia Realty Trust 5 90 Affordable Residential Communities 5 45 Agree Realty Corp. 1 37 Alexander's Inc. (b) - 98 Alexandria Real Estate Equites Inc. 4 310 American Campus Communities Inc. 3 76 American Home Mortgage Investment Corp. 6 190 AMLI Residential Properties Trust 5 149 Anthracite Capital Inc. 10 111 Anworth Mortgage Asset Corp. 9 75 Arbor Realty Trust Inc. 2 65 Ashford Hospitality Trust Inc. 6 62 Avatar Holdings Inc. (b) 1 59 Bedford Property Investors 3 63 Bimini Mortgage Management Inc. 4 41 BioMed Realty Trust Inc. 8 193 Boykin Lodging Co. (b) 3 37 Brandywine Realty Trust 10 310 California Coastal Communities Inc. (b) 1 47 Capital Automotive Reit 7 276 Capital Lease Funding Inc. 4 43 Capital Trust Inc. - Class A 2 76 Cedar Shopping Centers Inc. 4 54 Colonial Properties Trust 7 313 Commercial Net Lease Realty 9 186 Consolidated-Tomoka Land Co. 1 66 Corporate Office Properties Trust SBI MD 6 216 Correctional Properties Trust 2 58 Corrections Corp. (b) 7 284 Cousins Properties Inc. (l) 7 218 Criimi MAE Inc. (b) 3 46 Deerfield Triarc Capital Corp. 4 51 DiamondRock Hospitality Co. 4 49 Digital Realty Trust Inc. 3 61 EastGroup Properties Inc. 4 171 ECC Capital Corp. 9 30 Education Realty Trust Inc. 4 65 Entertainment Properties Trust 5 210 Equity Inns Inc. 9 128 Equity Lifestyle Properties Inc. 3 148 Equity One Inc. 7 160 Extra Space Storage Inc. 7 110 FelCor Lodging Trust Inc. (b) 9 141 Fieldstone Investment Corp. 9 102 First Industrial Realty Trust Inc. 8 307 First Potomac Realty Trust 3 72 Gables Residential Trust 5 219 Getty Realty Corp. 3 96 Glenborough Realty Trust Inc. 6 116 Glimcher Realty Trust 7 162 Global Signal Inc. - 20 GMH Communities Trust 5 76 Government Properties Trust Inc. (l) 4 34 Gramercy Capital Corp. 2 58 Heritage Property Investment Trust 5 178 Hersha Hospitality Trust 3 29 Highwoods Properties Inc. 10 289 Home Properties Inc. 6 221 HomeBanc Corp. 11 83 Housevalues Inc. (b) (l) 1 16 IMPAC Mortgage Holdings Inc. (l) 13 164 Inland Real Estate Corp. 12 194 Innkeepers USA Trust 8 124 Investors Real Estate Trust 8 72 JER Investors Trust Inc. (b) 2 29 Jones Lang LaSalle Inc. 6 285 Kilroy Realty Corp. 5 287 Kite Realty Group Trust 3 48 LaSalle Hotel Properties 5 179 Lexington Corporate Properties Trust 9 223 LTC Properties Inc. 4 95 Luminent Mortgage Capital Inc. 8 61 Maguire Properties Inc. 6 185 Medical Properties Trust Inc. 1 12 MeriStar Hospitality Corp. (b) 15 139 MFA Mortgage Investments Inc. 14 84 Mid-America Apartment Communities Inc. 3 157 MortgageIT Holdings Inc. 4 64 National Health Investors Inc. 4 112 National Health Realty Inc. 1 23 Nationwide Health Properties Inc. 12 285 NorthStar Realty Finance Corp. 4 37 Novastar Financial Inc. (l) 5 154 One Liberty Properties Inc. 1 26 Origen Financial Inc. 3 22 Parkway Properties Inc. 2 113 Penn Real Estate Investment Trust 7 274 Post Properties Inc. 7 263 Prentiss Properties Trust 8 325 PS Business Parks Inc. 3 135 RAIT Investment Trust 4 127 Ramco-Gershenson Properties 3 74 Reading International Inc. - Class A (b) 2 16 Redwood Trust Inc. (l) 3 170 Saul Centers Inc. 2 68 Saxon Capital Inc. 9 111 Senior Housing Properties Trust 11 202 SIRVA Inc. (b) 4 32 Sizeler Property Investors Inc. 3 38 Sovran Self Storage Inc. 3 148 Spirit Finance Corp. 13 142 Strategic Hotel Capital Inc. 7 134 Sun Communities Inc. 3 96 Sunstone Hotel Investors Inc. 4 100 Tanger Factory Outlet Centers 5 132 Tarragon Corp. (b) 2 30 Taubman Centers Inc. 9 285 Town & Country Trust 3 90 Trammell Crow Co. (b) 6 159 Trustreet Properties Inc. 12 183 United Capital Corp. (b) - 11 Universal Health Realty Income 2 68 Urstadt Biddle Properties Inc. - Class A 4 53 U-Store-It Trust 5 99 Washington Real Estate Investment Trust 7 232 Winston Hotels Inc. 5 45 ZipRealty Inc. (b) (l) 1 9 14,366 Retail - 5.2% 99 Cents Only Stores (b) (l) 8 74 AC Moore Arts & Crafts Inc. (b) 3 50 Aeropostale Inc. (b) 10 209 AFC Enterprises (b) 3 39 America's Car-Mart Inc. (b) 1 26 Asbury Automotive Group Inc. (b) 2 41 Bebe Stores Inc. (l) 1 13 Big 5 Sporting Goods Corp. 3 82 Big Lots Inc. (b) (l) 21 228 BJ's Restaurants Inc. (b) 2 49 Blair Corp. 1 31 Blockbuster Inc. - Class A (l) 34 160 Blue Nile Inc. (b) (l) 3 80 Bob Evans Farms Inc 7 148 Bombay Co. Inc. (b) 6 28 Bon-Ton Stores Inc. 1 27 Brookstone Inc. (b) 3 64 Brown Shoe Co. Inc. 3 108 Buckle Inc. 1 46 Buffalo Wild Wings Inc. (b) (l) 1 34 Burlington Coat Factory Warehouse Corp. 3 115 Cabela's Inc. - Class A (b) (l) 5 97 Cache Inc. (b) 2 32 California Pizza Kitchen Inc. (b) 3 98 Casey's General Stores Inc. 9 207 Cash America International Inc. 5 104 Casual Male Retail Group Inc. (b) (l) 4 30 Cato Corp. - Class A 5 109 CEC Entertainment Inc. (b) 6 203 Charlotte Russe Holding Inc. (b) 2 32 Charming Shoppes (b) 22 233 Childrens Place Retail Stores Inc. (b) 4 138 Christopher & Banks Corp. 7 91 Coldwater Creek Inc. (b) 6 160 Conn's Inc. (b) (l) 1 28 Cost Plus Inc. (b) 4 70 CSK Auto Corp. (b) 8 116 Dave & Buster's Inc. (b) 2 32 Denny's Corp. (b) 15 64 Design Within Reach Inc. (b) 2 16 Dick's Sporting Goods Inc. (b) (l) 1 18 Domino's Pizza Inc. 5 127 Dress Barn Inc. (b) 4 81 DSW Inc. (b) 2 33 Electronics Boutique Holdings Corp. (b) 2 137 Escala Group Inc. (b) 1 18 Factory 2-U Stores Inc. (b) (l) - - Finish Line - Class A 8 115 Fred's Inc. 7 94 Gamestop Corp. (b) (l) 8 230 Gander Mountain Co. (b) (l) 1 8 Genesco Inc. (b) 4 156 Goody's Family Clothing Inc. 3 25 Group 1 Automotive Inc. (b) 4 104 Guitar Center Inc. (b) 5 260 Haverty Furniture Cos. Inc. 3 37 Hibbett Sporting Goods Inc. (b) 6 132 IHOP Corp. 3 141 J Jill Group Inc. (b) 4 62 Jack in The Box Inc. (b) 6 194 Jo-Ann Stores Inc. (b) 4 66 Kenneth Cole Productions Inc. 2 42 Knoll Inc. 2 39 Krispy Kreme Doughnuts Inc. (b) (l) 11 67 Landry's Restaurants Inc. 4 108 Linens 'n Things Inc. (b) 8 215 Lithia Motors Inc. - Class A 3 81 Lone Star Steakhouse & Saloon Inc. 3 84 Longs Drug Stores Corp. 5 234 Luby's Inc. (b) 4 51 Marinemax Inc. (b) 2 59 McCormick & Schmick's Seafood Restaurants Inc. (b) 1 27 Movado Group Inc. 3 59 Movie Gallery Inc. (l) 4 43 Nu Skin Enterprises Inc. 10 190 NuVasive Inc. (b) 3 49 O'Charleys Inc. (b) 4 59 Pacific Sunwear of California (b) 13 289 Panera Bread Co. - Class A (b) (l) - 15 Pantry Inc. (b) 3 109 Papa John's International Inc. (b) 2 100 Park City Corp. (b) 2 42 PEP Boys-Manny Moe & Jack 10 134 Petco Animal Supplies Inc. (b) 10 216 PF Chang's China Bistro Inc. (b) (l) 5 208 Pier 1 Imports Inc. 16 178 Provide Commerce Inc. (b) 1 32 Rare Hospitality International Inc. (b) 6 157 Regis Corp. 8 301 Rent-A-Center Inc. (b) 1 23 Restoration Hardware Inc. (b) 5 32 Retail Ventures Inc. (b) 3 31 Ruby Tuesday Inc. 11 249 School Specialty Inc. (b) 4 185 Select Comfort Corp. (b) 6 126 Sharper Image Corp. (b) (l) 2 29 Shoe Carnival Inc. (b) 1 18 ShopKo Stores Inc. (b) 5 123 Smart & Final Inc. (b) 2 26 Sonic Automotive Inc. 5 112 Sotheby's Holdings - Class A (b) 8 128 Stage Stores Inc. 5 132 Steak N Shake Co. (b) 5 86 Stein Mart Inc. 5 94 Syms Corp. 1 15 Talbots Inc. 4 117 TBC Corp. (b) 4 145 Too Inc. (b) 6 173 Tractor Supply Co. (b) 6 266 Trans World Entertainment (b) 4 28 Tuesday Morning Corp. 5 119 United Auto Group Inc. 5 163 West Marine Inc. (b) (l) 3 40 Wet Seal Inc. (b) (l) 7 33 Wilsons The Leather Experts (b) 3 17 World Fuel Services Corp. 5 146 Zale Corp. (b) 9 248 Zumiez Inc. (b) 1 17 11,659 Savings & Loans - 1.6% Anchor Bancorp. Inc. 4 115 Atlantic Coast Federal (l) 1 11 Bank Mutual Corp. 12 128 Bankunited Financial Corp. - Class A 5 106 Berkshire Hills Bancorp. Inc. 1 47 Beverly Hills Bancorp. Inc. 2 19 BFC Financial Corp. (b) 3 24 Brookline Bancorp. Inc. 11 180 CFS Bancorp Inc. 1 18 Charter Financial Corp. 1 19 Citizens First Bancorp Inc. 1 27 Clifton Savings Bancorp. Inc. 2 22 Coastal Financial Corp. 2 33 Commercial Federal Corp. 7 233 Dime Community Bancshares 5 78 Fidelity Bankshares Inc. 4 123 First Financial Holdings Inc. 2 64 First Indiana Corp. 2 63 First Niagara Financial Group Inc. 20 294 First Place Financial Corp. 3 62 FirstFed Financial Corp. (b) 3 164 Flushing Financial Corp. 3 57 Footstar Inc. (b) (l) 2 10 Harbor Florida Bancshares Inc. 4 141 HOT Topic Inc. (b) 8 121 Kearny Financial Corp. 4 46 K-Fed Bancorp. 1 10 KNBT Bancorp Inc. 6 96 MAF Bancorp Inc. 6 241 MASSBANK Corp. - 12 NewAlliance Bancshares Inc. 20 296 Northwest Bancorp. Inc. 3 73 OceanFirst Financial Corp. 2 41 Ocwen Financial Corp. (b) 6 45 Parkvale Financial Corp. 1 15 Partners Trust Financial Group Inc. 9 98 Pennfed Financial Services Inc. 1 26 PFF Bancorp Inc. 3 101 Provident New York Bancorp. 8 95 Rockville Financial Inc. (b) 2 21 Sterling Financial Corp. 6 134 United Community Financial Corp. 5 56 Westfield Financial Inc. 1 14 WSFS Financial Corp. 1 64 3,643 Semiconductors - 3.6% Actel Corp. (b) 5 66 ADE Corp. (b) 2 37 AMIS Holdings Inc. (b) 8 93 Amkor Technology Inc. (b) 17 75 Applied Micro Circuits Corp. (b) 53 158 Asyst Technologies Inc. (b) 8 39 Atmel Corp. (b) 78 160 ATMI Inc. (b) 6 200 August Technology Corp. (b) 3 29 Axcelis Technologies Inc. (b) 19 98 Belden CDT Inc. 8 164 Brooks Automation Inc. (b) 8 113 Cabot Microelectronics Corp. (b) (l) 4 127 Cirrus Logic Inc. (b) 16 121 Cohu Inc. 4 84 Conexant Systems Inc. 87 156 Credence Systems Corp. (b) 16 128 Cypress Semiconductor Corp. (b) (l) 23 353 Diodes Inc. (b) 2 64 DSP Group Inc. (b) 5 130 Emcore Corp. (b) 6 39 Entegris Inc. (b) 21 236 Exar Corp. (b) 7 97 Fairchild Semiconductor International Inc. (b) 21 315 Formfactor Inc. (b) 6 138 Genesis Microchip Inc. (b) 6 133 Helix Technology Corp. 4 65 Integrated Device Technology Inc. (b) 35 380 Intermagnetics General Corp. (b) 5 146 IXYS Corp. (b) 4 45 Kopin Corp. (b) 13 94 Kulicke & Soffa Industries Inc. (b) (l) 9 63 Lattice Semiconductor Corp. (b) 20 86 Leadis Technology Inc. (b) 3 24 LTX Corp. (b) 12 50 Mattson Technology Inc. (b) 8 62 Micrel Inc. (b) 12 134 Microsemi Corp. (b) 11 279 Microtune Inc. (b) 9 55 MIPS Technologies Inc. - Class A (b) 7 48 MKS Instruments Inc. (b) 6 96 Monolithic Power Systems Inc. (b) 3 25 Monolithic System Technology Inc. (b) 4 20 Netlogic Microsystems Inc. (b) 2 37 ON Semiconductor Corp. (b) 26 132 Pericom Semiconductor Corp. (b) 4 32 Photroncis Inc. (b) 7 142 PLX Technology Inc. (b) 3 28 PMC - Sierra Inc. (b) 32 281 Portalplayer Inc. (b) 3 72 Power Integrations Inc. (b) 5 115 Rambus Inc. (b) (l) 18 214 Rudolph Technologies Inc. (b) 2 30 Semitool Inc. (b) 2 19 Semtech Corp. (b) 13 222 Sigmatel Inc. (b) 6 129 Silicon Image Inc. (b) 14 121 Silicon Laboratories Inc. (b) (l) 8 239 Standard Microsystems Corp. (b) 4 107 Supertex Inc. (b) 2 60 Tessera Technologies Inc. (b) 8 239 Transwitch Corp. (b) (l) 13 23 Triquint Semiconductor Inc. (b) 24 85 Ultratech Inc. (b) 4 64 Varian Semiconductor Equipment Associates Inc. (b) 7 277 Veeco Instruments Inc. (b) (l) 4 72 Vitesse Semiconductor Inc. (b) (l) 42 78 Volterra Semiconductor Corp. (b) (l) 3 37 Zoran Corp. (b) 8 117 7,997 Software - 3.2% Actuate Corp. (b) 8 21 Acxiom Corp. 16 292 Advent Software Inc. (b) 4 108 Agile Software Corp. (b) 9 62 Allscripts Healthcare Solutions Inc. (b) (l) 6 114 Altiris Inc. (b) 4 66 American Reprographics Co. (b) 2 39 AMICAS Inc. (b) 7 39 Ansys Inc. (b) 6 223 Aspen Technology Inc. (b) (l) 6 40 Atari Inc. (b) 8 12 Avid Technology Inc. (b) 1 44 Blackbaud Inc. 2 28 Blackboard Inc. (b) (l) 3 78 Borland Software Corp. (b) 13 76 Bottomline Technologies Inc. (b) 3 45 CallWave Inc. (b) (l) 1 3 CCC Information Services Group (b) 2 45 CMGI Inc. (b) 89 148 Concur Technologies Inc. (b) 5 66 CSG Systems International (b) 9 202 Datastream Systems Inc. (b) 2 18 Dendrite International Inc. (b) 7 146 Digi International Inc. (b) 4 39 Eclipsys Corp (b) 7 127 eFunds Corp. (b) 8 150 Emageon Inc. (b) 2 30 Embarcado Technologies Inc. (b) 3 20 Emulex Corp. (b) 15 298 Entrust Inc. (b) 11 60 Epicor Software Corp. (b) 9 118 EPIQ Systems Inc. (b) 2 45 FARO Technologies Inc. (b) 2 37 Filenet Corp. (b) 7 200 IDX Systems Corp. (b) 4 184 Informatica Corp. (b) 15 180 infoUSA Inc. (b) 5 54 InPhonic Inc. (b) (l) 2 34 Inter-Tel Inc. 4 77 Intervideo Inc. (b) 1 14 JDA Software Group Inc. (b) 5 80 Keane Inc. (b) 9 101 Lawson Software Inc. (b) (l) 12 83 Magma Design Automation Inc. (b) (l) 6 49 Majesco Entertainment Co. (b) (l) 1 2 Mantech International Corp. - Class A (b) 3 79 Mapinfo Corp. (b) 4 47 Micromuse Inc. (b) 14 110 Microstrategy Inc. - Class A (b) 3 196 Midway Games Inc. (b) (l) 5 73 MRO Software Inc. (b) 3 56 NDCHealth Corp. 6 121 NetIQ Corp. (b) 10 123 Onyx Software Corp. (b) - 1 Open Solutions Inc. (b) 4 81 Opnet Technologies Inc. (b) 2 15 Opsware Inc. (b) 13 66 Packeteer Inc. (b) 6 70 Parametric Technology Corp. (b) 48 335 PDF Solutions Inc. (b) 3 52 Pegasystems Inc. (b) 2 10 Per-Se Technologies Inc. (b) (l) 4 75 Petroquest Energy Inc. (b) 7 73 Phoenix Technologies Ltd. (b) 3 26 Progress Software Corp. (b) 7 218 QAD Inc. 2 16 Quest Software Inc. (b) 12 179 Renaissance Learning Inc. 2 28 Salesforce.com Inc. (b) 1 18 ScanSoft Inc. (b) 21 109 Schawk Inc. 2 38 Seachange International Inc. (b) 4 26 Serena Software Inc. (b) 5 95 SPSS Inc. (b) 3 80 SSA Global Technologies Inc. (b) 2 27 Stellent Inc. (b) 3 25 SYNNEX Corp. (b) 2 28 Take-Two Interactive Software Inc. (b) 1 15 THQ Inc. (b) 10 223 Tradestation Group Inc. (b) 3 29 Transaction Systems Architects Inc. (b) 7 186 Ulticom Inc. (b) 2 20 VeriFone Holdings Inc. (b) 4 85 Viisage Technology Inc. (b) 5 19 Wind River Systems Inc. (b) 13 163 Witness Systems Inc. (b) 5 101 7,234 Storage/Warehousing - 0.0% Mobile Mini Inc. (b) 3 109 Telecommunications - 2.5% Alaska Communications Systems Group Inc. (l) 3 29 AsiaInfo Holdings Inc. (b) 5 23 Atheros Communications Inc. (b) (l) 6 61 Audiovox Corp. (b) 3 41 Brightpoint Inc. (b) 5 99 Carrier Access Corp. (b) 3 17 Centennial Communications Corp. (b) 4 53 Ciena Corp. (b) 102 268 Cincinnati Bell Inc. (b) 44 193 Commonwealth Telephone Enterprises Inc. 4 139 Consolidated Communications Holdings Inc. (b) 2 28 CT Communications Inc. 3 40 Ditech Communications Corp. (b) 5 31 Dobson Communications Corp. (b) (l) 21 161 Earthlink Inc. (b) 24 252 Emmis Communications Corp. - Class A (b) 5 121 Essex Corp. (b) 3 63 Extreme Networks (b) 21 93 Fairpoint Communications Inc. 5 72 General Communication - Class A (b) 9 91 GlobeTel Communications Corp. (b) (l) 9 14 Golden Telecom Inc. (l) 4 116 HickoryTech Corp. 1 11 Hungarian Telephone & Cable (b) 1 10 Hypercom Corp. (b) 10 67 IDT Corp. - Class B (b) 10 121 Insight Communications Co. Inc. (b) 9 100 Interdigital Communication Corp. (b) 9 183 Intrado Inc. (b) 3 59 Iowa Telecommunicatoins Services Inc. 4 65 Level 3 Communications Inc. (b) (l) 127 294 Mastec Inc. (b) 5 54 Mediacom Communications Corp. (b) 11 81 Netgear Inc. (b) 5 131 NeuStar Inc. - Class A (b) 4 117 Nexstar Broadcasting Group Inc. - Class A (b) 2 9 North Pittsburgh Systems Inc. 3 52 Novatel Wireless Inc. (b) (l) 5 72 Omnivision Technologies Inc. (b) (l) 10 128 Optical Communication Products Inc. (b) 2 5 Plantronics Inc. 9 268 Polycom Inc. (b) 17 281 Premiere Global Services Inc. (b) 12 101 Price Communications Corp. (b) 9 140 RCN Corp. (b) (l) 4 83 RF Micro Devices Inc. (b) 33 188 Shenandoah Telecom Co. 1 51 SureWest Communications 2 70 Talk America Holdings Inc. (b) 5 47 Telkonet Inc. (b) (l) 6 24 Terayon Communication Systems Inc. (b) (l) 13 49 Time Warner Telecom Inc. - Class A (b) 9 72 Ubiquitel Inc. (b) 14 119 Ultimate Software Group Inc. (b) 4 70 USA Mobility Inc. (b) 5 135 Valor Communications Group Inc. 5 72 Viasat Inc. (b) 4 105 Westell Technologies Inc. (b) 9 34 Wireless Facilities Inc. (b) 10 56 WJ Communications (b) 5 6 Zhone Technologies Inc. (b) 19 48 5,583 Telecommunications Equipment - 1.5% 3Com Corp. (b) 68 278 Adaptec Inc. (b) 20 75 Adtran Inc. 12 367 Aeroflex Inc. (b) 13 119 Anaren Inc. (b) 3 47 Anixter International Inc. (b) 6 235 Applied Signal Technology Inc. 2 31 Arris Group Inc. (b) 19 220 Black Box Corp. 3 127 Broadwing Corp. (b) (l) 11 55 Comtech Telecommunications Corp. (b) 4 163 Finisar Corp. (b) 39 53 Harmonic Inc. (b) 14 82 Ixia (b) 6 83 KVH Industries Inc. (b) 2 22 MRV Communications Inc. (b) (l) 19 40 Newport Corp. (b) 7 101 Oplink Communications Inc. (b) 16 24 SafeNet Inc. (b) 5 166 Skyworks Solutions Inc. (b) 27 192 Sonus Networks Inc. (b) 45 263 SS&C Technologies Inc. 3 106 Stratos Lightwave Inc. (b) (l) - 1 Sycamore Networks Inc. (b) 32 121 Symmetricom Inc. (b) 8 65 Tekelec (b) 10 211 Utstarcom Inc. (b) (l) 17 140 3,387 Textiles - 0.1% Angelica Corp. 2 27 Dixie Group Inc. (b) 2 27 G&K Services Inc. - Class A 3 130 Innovo Group Inc. (b) 2 3 Unifirst Corp. 2 56 243 Tobacco - 0.1% Alliance One International Inc. 15 52 Universal Corp. 5 177 Vector Group Ltd. (l) 4 88 317 Toys & Hobbies - 0.3% Build-A-Bear Workshop Inc. (b) (l) 2 43 Forward Air Corp. 6 207 Jakks Pacific Inc. (b) (l) 4 70 Leapfrog Enterprises Inc. (b) (l) 6 92 RC2 Corp. (b) 3 104 Topps Co. Inc. 6 53 569 Transportation - 1.5% ABX Air Inc. (b) 10 82 Amerco Inc. (b) 2 107 Arkansas Best Corp. 5 164 Covenant Transport Inc. (b) 1 16 Dynamex Inc. (b) 2 25 EGL Inc. (b) (l) 8 213 Florida East Coast Industrials - Class A 6 268 Frozen Food Express Industries (b) 3 27 GATX Corp. 8 326 Genesee & Wyoming Inc. - Class A (b) 4 126 Greenbrier Cos. Inc. 1 43 Gulfmark Offshore Inc. (b) 3 92 Heartland Express Inc. 8 171 HUB Group Inc. - Class A (b) 4 135 Interpool Inc. 1 25 Kansas City Southern (b) (l) 15 338 Kirby Corp. (b) 4 191 Knight Transportation Inc. 7 167 Maritrans Inc. 2 53 Marten Transport Ltd. (b) 2 40 Offshore Logistics Inc. (b) 4 160 Old Dominion Freight Line (b) 3 107 Pacer International Inc. 7 182 PAM Transportation Services (b) 1 15 RailAmerica Inc. (b) 7 86 SCS Transportation Inc. (b) 3 40 Swift Transportation Co. Inc. (b) 1 14 Universal Truckload Services Inc. (b) 1 17 US Xpress Enterprises Inc. (b) 2 24 USA Truck Inc. (b) 1 35 Werner Enterprises Inc. 9 151 3,440 Water - 0.2% American States Water Co. 3 96 California Water Service Group 3 133 Connecticut Water Services Inc. 1 33 Middlesex Water Co. 2 43 SJW Corp. 1 63 Southwest Water Co. 4 57 425 Wireless Telecommunications - 0.4% EndWave Corp. (b) (l) 1 15 Glenayre Technologies Inc. (b) 9 32 Jamdat Mobile Inc. (b) (l) 2 45 Powerwave Technologies Inc. (b) 20 256 Remec Inc. (b) (l) 5 6 SBA Communications Corp. (b) 14 210 Sirf Technology Holdings Inc. (b) 6 181 Spectralink Corp. 3 37 Syniverse Holdings Inc. (b) 3 45 827 Total Common Stocks (cost $189,248) 215,849 Short Term Investments - 14.1% Money Market Funds - 3.9% Dreyfus Cash Management Plus Fund, 3.64% (a) (n) 8,793 8,793 Securities Lending Collateral - 10.0% Mellon GSL Delaware Business Trust Collateral Fund (n) 22,318 22,318 U.S. Treasury Bills - 0.2% U.S. Treasury Bill, 3.435%, 12/08/05 (m) 410 407 Total Short Term Investments (cost $31,518) 31,518 Total Investments - 110.5% (cost $220,766) 247,367 Other Assets and Liabilities, Net - (10.5%) (23,411) Total Net Assets - 100% $223,956 JNL/Oppenheimer Global Growth Fund Common Stocks - 97.2% Advertising - 0.6% JC Decaux SA (b) 38 $838 WPP Group Plc 82 831 1,669 Aerospace & Defense - 4.1% Boeing Co. 22 1,461 Empresa Brasileira de Aeronautica SA - ADR 73 2,818 European Aeronautic Defence and Space Co. NV 80 2,830 Lockheed Martin Corp. 20 1,239 Northrop Grumman Corp. 23 1,228 Raytheon Co. 44 1,669 11,245 Apparel - 0.5% Coach Inc. (b) 45 1,405 Auto Manufacturers - 0.8% Toyota Motor Corp. 49 2,258 Banks - 6.8% Anglo Irish Bank Corp. Plc 97 1,324 Australia & New Zealand Banking Group Ltd. 34 630 Credit Suisse Group 60 2,665 HSBC Holdings PLC 150 2,438 ICICI Bank Ltd. - ADR 53 1,485 JPMorgan Chase & Co. 58 1,980 Northern Trust Corp. 53 2,669 Resona Holdings Inc. (b) - 1,169 Royal Bank of Scotland Group Plc 139 3,933 18,293 Beverages - 2.5% Cia de Bebidas das Americas - ADR 42 1,575 Grupo Modelo SA 302 977 LVMH Louis Vuitton Moet Hennessy SA 37 3,022 Singapore Press Holdings Ltd. 439 1,199 6,773 Biotechnology - 3.1% Affymetrix Inc. (b) (l) 29 1,350 Amgen Inc. (b) 35 2,773 Eyetech Pharmaceuticals Inc. (b) 39 706 Genentech Inc. (b) (l) 20 1,659 Genzyme Corp. 19 1,347 Nektar Therapeutics (b) (e) (l) (p) 21 321 8,005 Computers - 1.1% International Business Machines Corp. 26 2,048 Sun Microsystems Inc. (b) 263 1,032 3,080 Cosmetics & Personal Care - 1.8% Gillette Co. 37 2,142 Hindustan Lever Ltd. 394 1,623 Shiseido Co. Ltd. 75 1,081 4,846 Diversified Financial Services - 3.8% American Express Co. 45 2,556 Citigroup Inc. 15 687 Credit Saison Co. Ltd. 36 1,571 Morgan Stanley 53 2,870 Societe Generale - Class A 21 2,452 10,136 Electric - 0.3% Energias de Portugal SA 266 743 Electrical Components & Equipment - 1.9% Emerson Electric Co. 24 1,723 Fanuc Ltd. 10 768 Samsung Electronics Co. Ltd. 5 2,616 5,107 Electronics - 3.2% Hoya Corp. 17 558 Hoya Corp. (b) 50 1,714 Keyence Corp. 5 1,250 Koninklijke Philips Electronics NV 113 2,989 Murata Manufacturing Co. Ltd. 38 2,124 8,635 Engineering & Construction - 1.4% JGC Corp. 36 658 Technip SA 53 3,116 3,774 Food - 1.0% Cadbury Schweppes Plc 253 2,553 Gas - 0.5% Hong Kong & China Gas 596 1,230 Hand & Machine Tools - 0.3% Nidec Corp. 6 375 Nidec Corp. (b) 6 370 745 Healthcare - 2.5% Boston Scientific Corp. (b) 52 1,215 Cie Generale d'Optique Essilor International SA 13 1,115 Medtronic Inc. 11 590 Quest Diagnostics Inc. 42 2,113 Smith & Nephew Plc 203 1,708 6,741 Holding Companies - Diversified - 1.0% Fomento Economico Mexicano SA de CV 218 1,521 Hutchison Whampoa Ltd. 105 1,086 2,607 Home Furnishings - 0.9% Sony Corp. 74 2,438 Household Products - 1.7% Reckitt Benckiser Plc 152 4,643 Insurance - 3.3% ACE Ltd. 49 2,317 Allianz AG 21 2,786 Berkshire Hathaway Inc. (b) 1 1,502 Everest Re Group Ltd. 10 940 Manulife Financial Corp. (l) 25 1,353 8,898 Internet - 1.9% Amazon.Com Inc. (b) 22 983 eBay Inc. (b) 88 3,605 Yahoo! Japan Corp. - 274 Yahoo! Japan Corp. (b) - 278 5,140 Investment Companies - 0.7% Investor AB - Class B 59 922 Macquarie Airports 342 856 1,778 Leisure Time - 0.6% Carnival Corp. 31 1,544 Manufacturing - 1.5% 3M Corp. 23 1,665 Siemens AG 30 2,324 3,989 Media - 3.7% Grupo Televisa SA - ADR 33 2,352 Pearson Plc 129 1,498 Sirius Satellite Radio Inc. (b) (l) 493 3,232 Television Broadcasts Ltd. 227 1,389 Zee Telefilms Ltd. 340 1,336 9,807 Office & Business Equipment - 0.3% Canon Inc. 16 864 Oil & Gas Producers - 8.2% BP Plc - ADR 39 2,743 Burlington Resources Inc. 33 2,692 Chevron Corp. 36 2,312 ENI SpA 45 1,330 Fortum Oyj 48 957 GlobalSantaFe Corp. 57 2,596 Husky Energy Inc. 80 4,422 Total SA 5 1,370 Transocean Inc. (b) 61 3,709 22,131 Oil & Gas Services - 0.1% Neste Oil OYJ (b) 8 296 Pharmaceuticals - 7.4% Amylin Pharmaceuticals Inc. (b) (l) 12 414 Chugai Pharmaceutical Co. Ltd. 57 1,083 Express Scripts Inc. (b) 25 1,530 Gilead Sciences Inc. 53 2,584 Novartis AG 30 1,537 Pfizer Inc. 50 1,249 Roche Holding AG 24 3,279 Sanofi-Aventis 53 4,343 Shionogi & Co. Ltd. 144 1,960 Takeda Pharmaceutical Co. Ltd. 11 673 Wyeth 28 1,287 19,939 Retail - 4.2% Circuit City Stores Inc. 11 182 DSG International Plc 453 1,203 Gap Inc. 40 701 GUS Plc 61 917 Hennes & Mauritz AB - Class B 137 4,899 Inditex SA 47 1,391 Starbucks Corp. (b) 25 1,273 Tiffany & Co. 19 740 11,306 Semiconductors - 3.5% Advanced Micro Devices Inc. (b) (l) 179 4,511 Altera Corp. (b) 32 610 Cree Inc. (b) (l) 52 1,306 International Rectifier Corp. (b) 24 1,091 Silicon Laboratories Inc. (b) (l) 12 374 Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 190 1,559 9,451 Shipbuilding - 0.7% Hyundai Heavy Industries 24 1,751 Software - 6.2% Adobe Systems Inc. 48 1,421 Cadence Design Systems Inc. (b) (l) 68 1,100 Infosys Technologies Ltd. 58 3,313 Intuit Inc. (b) 27 1,205 Microsoft Corp. 145 3,728 Novell Inc. (b) 205 1,525 SAP AG 16 2,745 Square Enix Co. Ltd. 29 813 Trend Micro Inc. 26 806 16,656 Telecommunications - 4.1% Contax Participacoes SA (b) 97 60 France Telecom SA 69 1,984 International Game Technology 57 1,550 KDDI Corp. 1 3,242 SK Telecom Co. Ltd. - ADR (l) 120 2,619 Tele Norte Leste Participacoes SA 97 1,592 11,047 Telecommunications Equipment - 6.5% Cisco Systems Inc. (b) 85 1,524 Corning Inc. (b) 170 3,288 Juniper Networks Inc. (b) 33 787 Qualcomm Inc. 52 2,340 Tandberg ASA 108 1,438 Telefonaktiebolaget LM Ericsson - Class B 2,194 8,006 17,383 Tobacco - 0.3% Altria Group Inc. 10 737 Toys & Hobbies - 0.3% Nintendo Co. Ltd. 6 676 Transportation - 0.4% Peninsular and Oriental Steam Navigation Co. 188 1,107 Venture Capital - 0.4% 3i Group Plc 84 1,162 Wireless Telecommunications - 3.1% Vodafone Airtouch Plc 3,193 8,307 Total Common Stocks (cost $207,760) 261,046 Preferred Stocks - 0.5% Auto Manufacturers - 0.5% Porsche AG 2 1,342 Total Preferred Stocks (cost $961) 1,342 Short Term Investments - 16.3% Money Market Funds - 2.7% Dreyfus Cash Management Plus Fund, 3.64% (a) 7,278 7,278 Securities Lending Collateral - 13.6% Mellon GSL Delaware Business Trust Collateral Fund 36,374 36,374 Total Short Term Investments (cost $43,652) 43,652 Total Investments - 114.0% (cost $252,373) 306,040 Other Assets and Liabilities, Net - (14.0%) (37,618) Total Net Assets - 100% $268,422 JNL/Oppenheimer Growth Fund Common Stocks - 98.2% Aerospace & Defense - 0.9% General Dynamics Corp. 2 $203 Agriculture - 1.1% Monsanto Co. 4 251 Apparel - 2.2% Nike Inc. - Class B 2 131 Polo Ralph Lauren Corp. 6 302 Urban Outfitters Inc. (b) 4 129 562 Auto Manufacturers - 0.9% Oshkosh Truck Corp. 5 220 Auto Parts & Equipment - 1.1% Autoliv Inc. 6 274 Beverages - 2.4% Coca-Cola Co. 4 190 PepsiCo Inc. 8 437 627 Biotechnology - 5.5% Amgen Inc. (b) 6 494 Genentech Inc. (b) 7 598 Genzyme Corp. 5 337 1,429 Computers - 7.3% Apple Computer Inc. (b) 10 525 Cognizant Technology Solutions Corp. (b) 6 270 EMC Corp. (b) 62 806 NAVTEQ Corp. (b) 4 216 Sun Microsystems Inc. (b) 18 69 1,886 Cosmetics & Personal Care - 2.4% Colgate-Palmolive Co. 5 269 Gillette Co. 1 41 Proctor & Gamble Co. 5 315 625 Diversified Financial Services - 3.7% American Express Co. 5 310 Goldman Sachs Group Inc. 3 304 Legg Mason Inc. 3 340 954 Healthcare - 4.9% Guidant Corp. 1 69 Johnson & Johnson 5 297 Kinetic Concepts Inc (b) 4 227 Varian Medical Systems Inc. (b) 17 668 1,261 Home Furnishings - 0.9% Harman International Industries Inc. 2 235 Insurance - 4.1% Aflac Inc. 6 254 American International Group Inc. 13 812 1,066 Internet - 6.4% eBay Inc. (b) 13 519 Google Inc. - Class A (b) 2 570 VeriSign Inc. (b) 10 209 Yahoo! Inc. (b) 11 359 1,657 Leisure Time - 0.9% Carnival Corp. 4 220 Manufacturing - 4.0% 3M Corp. 4 264 General Electric Corp. 23 761 1,025 Media - 2.1% Comcast Corp. - Class A (b) 10 300 Walt Disney Co. 10 244 543 Oil & Gas Producers - 4.5% Amerada Hess Corp. 3 344 Apache Corp. (l) 4 293 Noble Energy Inc. 5 253 Transocean Inc. (b) 5 282 1,172 Oil & Gas Services - 2.3% Halliburton Co. 6 411 National Oilwell Varco Inc. (b) 3 184 594 Pharmaceuticals - 3.2% Alcon Inc. 1 179 Gilead Sciences Inc. 8 366 Medimmune Inc. (b) 1 37 Novartis AG - ADR 5 235 817 Retail - 10.0% Best Buy Co. Inc. 6 244 Chico's FAS Inc. (b) 8 276 Kohl's Corp. (b) 7 331 Staples Inc. 29 614 Starbucks Corp. (b) 6 316 Target Corp. 10 540 Williams-Sonoma Inc. (b) 7 265 2,586 Semiconductors - 5.5% Broadcom Corp. - Class A (b) 9 417 Intel Corp. 8 205 International Rectifier Corp. (b) 6 257 Maxim Integrated Products Inc. 7 277 Texas Instruments Inc. 8 265 1,421 Software - 9.5% Adobe Systems Inc. 9 272 Autodesk Inc. 7 307 Mercury Interactive Corp. (b) 9 345 Microsoft Corp. 48 1,225 SAP AG - ADR 7 316 2,465 Storage/Warehousing - 1.0% UTI Worldwide Inc. 3 249 Telecommunications - 3.0% Amdocs Ltd. (b) 6 161 NeuStar Inc. - Class A (b) 7 218 Sprint Nextel Corp. (l) 12 278 657 Telecommunications Equipment - 7.4% Avaya Inc. (b) 12 122 Cisco Systems Inc. (b) 45 807 Corning Inc. (b) 36 686 Qualcomm Inc. 10 430 2,045 Wireless Telecommunications - 1.4% Motorola Inc. 17 369 Total Common Stocks (cost $22,651) 25,409 Short Term Investments - 2.7% Money Market Funds - 1.4% Dreyfus Cash Management Plus Fund, 3.64% (a) 368 368 Securities Lending Collateral - 1.3% Mellon GSL Delaware Business Trust Collateral Fund 333 333 Total Short Term Investments (cost $701) 701 Total Investments - 100.9% (cost $23,352) 26,110 Other Assets and Liabilities, Net - (0.9%) (244) Total Net Assets - 100% $25,866 JNL/PIMCO Total Return Bond Fund Preferred Stocks - 0.5% Banks - 0.4% DG Funding Trust, 5.74% (b) (e) - $2,126 Sovereign - 0.1% Fannie Mae, 7.00% (b) (g) 6 312 Total Preferred Stocks (cost $2,387) 2,438 Corporate Bonds - 10.6% Asset Backed Securities - 6.0% AAA Trust, 3.93%, 11/26/35 (e) (g) 1,679 1,678 Aames Mortgage Investments Trust, 3.91%, 07/25/35 (g) 144 144 Amortizing Residential Collateral Trust, 4.12%, 07/25/32 (g) 15 15 Bank of America Funding Corp., 4.12%, 05/25/35 1,137 1,124 Bank of America Mortgage Securities, 6.50%, 10/25/31 377 386 Bank of America Mortgage Securities, 6.50%, 09/25/33 137 138 Bear Stearns Adjustable Rate Mortgage Trust, 4.38%, 11/25/30 (g) 16 17 Bear Stearns Adjustable Rate Mortgage Trust, 5.439%, 10/25/32 (g) 19 19 Bear Stearns Adjustable Rate Mortgage Trust, 5.35%, 02/25/33 (g) 133 133 Bear Stearns Adjustable Rate Mortgage Trust, 5.60%, 02/25/33 (g) 78 78 Bear Stearns Adjustable Rate Mortgage Trust, 5.08%, 04/25/33 329 323 Bear Stearns Adjustable Rate Mortgage Trust, 4.712%, 01/25/34 (g) 891 870 Bear Stearns Adjustable Rate Mortgage Trust, 0.00%, 11/25/35, TBA (c) (g) 5,300 5,273 Bear Stearns ALT-A Trust, 5.438%, 05/25/35 (g) 1,885 1,897 Capital Auto Receivables Asset Trust, 3.78%, 06/15/06 (e) (g) 65 65 Carrington Mortgage Loan Trust, 3.91%, 06/25/35 (g) 449 449 Citibank Omni-S Master Trust, 4.15%, 11/17/09 (g) 3,700 3,702 Countrywide Home Loan Servicing LP, 4.10%, 05/25/34 680 679 Credit-Based Asset Servicing And Securitization Corp., 4.15%, 06/25/32 (g) 30 30 Equity One Inc., 4.11%, 11/25/32 (g) 220 220 GSR Mortgage Loan Trust, 4.541%, 09/25/35 5,300 5,242 Household Home Equity Loan Trust, 4.15%, 10/20/32 (g) 526 526 IMPAC Medical Systems Inc., 4.08%, 04/25/34 (g) 546 545 IndyMac Bancorp. Inc., 6.57%, 01/25/32 (g) 4 4 Irwin Financial Corp., 4.21%, 06/25/21 (e) (g) 11 11 Mellon Residential Funding Corp., 4.29%, 10/20/29 (g) 641 643 Mellon Residential Funding Corp., 4.01%, 06/15/30 (g) 1,286 1,283 Mid-State Trust, 8.33%, 04/01/30 (g) 24 26 Prime Mortgage Trust, 4.23%, 02/25/19 (g) 72 72 Prime Mortgage Trust, 4.23%, 02/25/34 (g) 291 291 Residential Asset Mortgage Products Inc., 4.08%, 02/25/34 (g) 1,508 1,510 Sequoia Mortgage Trust, 4.14%, 10/19/26 (g) 364 364 Small Business Administration Participants Certificates, 5.13%, 09/01/23 89 90 Small Business Administration Participants Certificates, 5.52%, 06/01/24 1,805 1,864 Structured Asset Securities Corp., 4.28%, 06/25/17 (g) 12 12 Structured Asset Securities Corp., 4.31%, 03/25/31 (g) 4 4 Structured Asset Securities Corp., 6.10%, 02/25/32 (g) 9 9 Structured Asset Securities Corp., 4.12%, 09/19/32 (g) 440 441 Structured Asset Securities Corp., 4.12%, 01/25/33 (g) 13 13 Torrens Trust, 4.03%, 07/15/31 (e) (g) 64 64 Washington Mutual Inc., 5.39%, 02/25/31 (g) 80 81 Washington Mutual Inc., 5.13%, 10/25/32 (g) 114 114 Washington Mutual Inc., 0.00%, 11/25/35, TBA (c) (g) 700 700 Washington Mutual Inc., 3.90%, 08/25/42 (g) 1,512 1,511 Wells Fargo Mortgage Backed Securities, 4.00%, 06/25/19 (g) 40 40 32,700 Auto Manufacturers - 0.5% DaimlerChrysler NA Holding Corp., 4.43%, 05/24/06 (g) (l) 900 903 General Motors Acceptance Corp., 4.68%, 05/18/06 (g) 1,600 1,592 General Motors Acceptance Corp., 4.67%, 03/20/07 (g) 300 294 2,789 Banks - 0.9% China Development Bank, 5.00%, 10/15/15, TBA (c) 200 199 Citigroup Global Markets Holdings Inc., 3.82%, 03/07/08 (g) 1,700 1,699 Export-Import Bank of China, 4.875%, 07/21/15 (e) 200 195 HBOS Plc, 5.92%, 09/29/49 (e) (g) 200 200 HSBC Finance Corp., 4.00%, 09/15/08 (g) 600 600 Resona Bank Ltd., 5.85%, 09/29/49 (e) (g) (l) 300 296 Sumitomo Mitsui Banking Corp., 5.625%, 07/29/49 (e) 1,500 1,493 4,682 Diversified Financial Services - 2.4% American General Finance Corp., 4.00%, 03/23/07 (g) 300 300 American International Group Inc., 5.05%, 10/01/15 (e) 200 199 BNP Paribas, 5.19%, 06/29/49 (e) (g) 1,500 1,473 CS First Boston Mortgage Securities Corp., 4.27%, 03/25/32 (e) (g) 268 269 Ford Motor Credit Co., 6.875%, 02/01/06 2,300 2,309 Ford Motor Credit Co., 5.80%, 01/12/09 4,100 3,826 General Motors Acceptance Corp., 4.02%, 10/20/05 (g) 2,100 2,101 GSAMP Trust, 4.02%, 10/25/33 (g) 874 875 Vendee Mortgage Trust, 6.50%, 09/15/24 1,224 1,283 12,635 Electronics - 0.0% Parker Hannifin Employee Stock Ownership Trust, 6.34%, 07/15/08 (e) 82 84 Oil & Gas Producers - 0.1% Ras Laffan LNG III, 5.838%, 09/30/27 (e) 500 501 Oil & Gas Services - 0.0% Petroleum Export Ltd., 5.265%, 06/15/11 (e) 200 199 Pipelines - 0.5% EL Paso Corp., 8.05%, 10/15/30 1,000 1,015 EL Paso Corp., 7.80%, 08/01/31 1,500 1,504 2,519 Telecommunications - 0.2% Qwest Corp., 7.625%, 06/15/15 (e) 900 919 Sprint Capital Corp., 6.00%, 01/15/07 100 102 1,021 Total Corporate Bonds (cost $56,199) 57,130 Government Securities - 85.0% Asset Backed Securities - 0.1% Freddie Mac, 4.22%, 11/15/30 (g) 14 14 Small Business Administration Participants Certificates, 7.45%, 08/01/10 25 27 Small Business Administration Participants Certificates, 6.29%, 01/01/21 65 68 109 Banks - 0.1% Banque Cent De Tunisie, 7.50%, 08/06/09 (e) 300 414 Sovereign - 5.4% Bundesschatzanweisungen, 2.75%, 12/16/05, TBA (c) 3,000 3,609 Canadian Government, 5.75%, 06/01/33 400 429 Canadian Government Bond, 3.00%, 12/01/36 208 236 Dutch Treasury, 0.00%, 11/30/05 (k) 1,100 1,318 Federal Republic of Brazil, 10.50%, 07/14/14 (l) 400 484 Federal Republic of Brazil, 8.00%, 01/15/18 3,700 3,918 Federal Republic of Brazil, 8.875%, 10/14/19 100 109 French Treasury, 0.00%, 01/05/06 (k) 2,600 3,108 German Treasury, 0.00%, 10/19/05 (k) 3,300 3,962 German Treasury, 0.00%, 01/18/06 (k) 1,100 1,314 Republic of Brazil, 4.25%, 04/15/06 (g) 32 32 Republic of Brazil, 9.76%, 06/29/09 (g) 100 117 Republic of Brazil, 4.313%, 04/15/12 (g) 741 729 Republic of Panama, 9.375%, 07/23/12 200 242 Republic of Panama, 9.375%, 01/16/23 200 253 Republic of Panama, 8.875%, 09/30/27 200 244 Republic of Peru, 9.125%, 02/21/12 600 720 Republic of Peru, 9.875%, 02/06/15 600 767 Republic of South Africa, 9.125%, 05/19/09 100 114 Russian Federation, (Step-Up Bond), 5.00%, 03/31/30 2,600 2,987 United Mexican States, 0.00%, 06/30/06 (g) 6,886 141 United Mexican States, 0.00%, 06/30/07 (g) 4,850 126 United Mexican States, 8.375%, 01/14/11 200 230 United Mexican States, 6.375%, 01/16/13 250 266 United Mexican States, 8.125%, 12/30/19 500 606 United Mexican States, 8.00%, 09/24/22 800 972 United Mexican States, 8.30%, 08/15/31 1,400 1,750 28,783 Treasury Inflation Index Securities - 0.0% US Treasury Inflation Indexed Note, 3.375%, 01/15/07 100 128 U.S. Government Agencies - 75.5% Fannie Mae Grantor Trust, 3.84%, 11/28/35 (g) 376 376 Federal Home Loan Mortgage Corp., 3.60%, 11/08/05 (f) 9,200 9,165 Federal Home Loan Mortgage Corp., 3.59%, 12/12/05 (f) 4,500 4,468 Federal Home Loan Mortgage Corp., 3.59%, 12/12/05 (f) 4,500 4,468 Federal Home Loan Mortgage Corp., 3.70%, 12/12/05 28,400 28,190 Federal Home Loan Mortgage Corp., 3.75%, 01/10/06 (f) 5,000 4,947 Federal Home Loan Mortgage Corp., 6.00%, 03/01/16 19 19 Federal Home Loan Mortgage Corp., 6.00%, 03/01/16 60 61 Federal Home Loan Mortgage Corp., 6.00%, 03/01/16 57 59 Federal Home Loan Mortgage Corp., 6.00%, 08/01/16 53 54 Federal Home Loan Mortgage Corp., 5.00%, 11/01/18 744 743 Federal Home Loan Mortgage Corp., 7.00%, 05/15/23 728 759 Federal Home Loan Mortgage Corp., 5.496%, 07/01/27 (g) 5 5 Federal Home Loan Mortgage Corp., 6.00%, 10/01/32 195 198 Federal Home Loan Mortgage Corp., 6.00%, 10/01/32 148 151 Federal Home Loan Mortgage Corp., 6.00%, 03/01/33 439 446 Federal Home Loan Mortgage Corp., 5.50%, 07/01/33 20 20 Federal Home Loan Mortgage Corp., 6.00%, 08/01/33 198 202 Federal National Mortgage Association, 3.425%, 10/05/05 13,300 13,295 Federal National Mortgage Association, 3.48%, 10/19/05 2,600 2,595 Federal National Mortgage Association, 3.67%, 11/23/05 (f) 10,800 10,742 Federal National Mortgage Association, 3.36%, 11/30/05 (f) 4,600 4,574 Federal National Mortgage Association, 3.80%, 09/22/06 (g) 1,700 1,699 Federal National Mortgage Association, 5.50%, 11/01/13 15 15 Federal National Mortgage Association, 5.50%, 03/01/16 173 176 Federal National Mortgage Association, 6.00%, 04/01/16 70 72 Federal National Mortgage Association, 6.00%, 04/01/16 65 67 Federal National Mortgage Association, 6.00%, 04/01/16 100 103 Federal National Mortgage Association, 6.00%, 05/01/16 88 91 Federal National Mortgage Association, 6.00%, 08/01/16 41 42 Federal National Mortgage Association, 6.00%, 09/01/16 32 33 Federal National Mortgage Association, 6.00%, 11/01/16 56 58 Federal National Mortgage Association, 6.00%, 11/01/16 102 105 Federal National Mortgage Association, 5.50%, 12/01/16 51 52 Federal National Mortgage Association, 5.50%, 12/01/16 30 31 Federal National Mortgage Association, 5.50%, 12/01/16 215 218 Federal National Mortgage Association, 5.50%, 12/01/16 106 108 Federal National Mortgage Association, 5.50%, 01/01/17 22 22 Federal National Mortgage Association, 5.50%, 01/01/17 49 50 Federal National Mortgage Association, 5.50%, 01/01/17 59 60 Federal National Mortgage Association, 6.00%, 02/01/17 6 6 Federal National Mortgage Association, 6.00%, 02/01/17 26 27 Federal National Mortgage Association, 5.50%, 03/01/17 136 139 Federal National Mortgage Association, 6.00%, 03/01/17 38 39 Federal National Mortgage Association, 6.00%, 03/01/17 33 34 Federal National Mortgage Association, 6.00%, 03/01/17 96 99 Federal National Mortgage Association, 6.00%, 04/01/17 8 8 Federal National Mortgage Association, 6.00%, 04/01/17 24 25 Federal National Mortgage Association, 6.00%, 04/01/17 104 107 Federal National Mortgage Association, 6.00%, 05/01/17 13 14 Federal National Mortgage Association, 6.00%, 05/01/17 21 21 Federal National Mortgage Association, 5.50%, 10/01/17 100 102 Federal National Mortgage Association, 6.00%, 10/01/17 120 123 Federal National Mortgage Association, 5.50%, 11/01/17 67 68 Federal National Mortgage Association, 5.50%, 11/01/17 7 7 Federal National Mortgage Association, 5.00%, 05/01/18 23 23 Federal National Mortgage Association, 5.00%, 06/01/18 428 428 Federal National Mortgage Association, 5.00%, 08/01/18 2,052 2,047 Federal National Mortgage Association, 5.00%, 09/01/18 495 494 Federal National Mortgage Association, 5.00%, 09/01/18 322 321 Federal National Mortgage Association, 5.00%, 09/01/18 264 264 Federal National Mortgage Association, 5.00%, 10/01/18 609 607 Federal National Mortgage Association, 5.00%, 01/01/19 704 703 Federal National Mortgage Association, 5.00%, 02/01/19 278 277 Federal National Mortgage Association, 5.00%, 04/01/19 595 594 Federal National Mortgage Association, 5.00%, 06/01/19 477 476 Federal National Mortgage Association, 5.00%, 06/01/19 1,304 1,301 Federal National Mortgage Association, 5.00%, 10/01/19 1,381 1,377 Federal National Mortgage Association, 5.00%, 10/01/19 836 834 Federal National Mortgage Association, 4.50%, 11/01/19 493 484 Federal National Mortgage Association, 5.00%, 12/01/19 1,883 1,879 Federal National Mortgage Association, 5.00%, 12/01/19 413 412 Federal National Mortgage Association, 4.50%, 02/01/20 461 452 Federal National Mortgage Association, 5.00%, 07/01/20 490 489 Federal National Mortgage Association, 5.00%, 10/01/20 510 509 Federal National Mortgage Association, 5.50%, 11/01/32 824 825 Federal National Mortgage Association, 5.50%, 11/01/32 1,038 1,039 Federal National Mortgage Association, 5.50%, 11/01/32 838 838 Federal National Mortgage Association, 5.50%, 11/01/32 151 151 Federal National Mortgage Association, 5.50%, 01/01/33 809 809 Federal National Mortgage Association, 6.00%, 03/01/33 73 74 Federal National Mortgage Association, 5.00%, 04/25/33 1,392 1,361 Federal National Mortgage Association, 5.50%, 06/01/33 1,788 1,787 Federal National Mortgage Association, 5.50%, 08/01/33 762 762 Federal National Mortgage Association, 5.50%, 10/01/33 28 28 Federal National Mortgage Association, 5.50%, 11/01/33 774 774 Federal National Mortgage Association, 5.50%, 11/01/33 33 33 Federal National Mortgage Association, 5.50%, 11/01/33 382 382 Federal National Mortgage Association, 5.50%, 11/01/33 23 23 Federal National Mortgage Association, 5.50%, 11/01/33 30 30 Federal National Mortgage Association, 5.50%, 12/01/33 566 566 Federal National Mortgage Association, 5.50%, 12/01/33 376 376 Federal National Mortgage Association, 5.50%, 01/01/34 117 117 Federal National Mortgage Association, 5.50%, 02/01/34 884 884 Federal National Mortgage Association, 5.50%, 02/01/34 560 560 Federal National Mortgage Association, 5.50%, 02/01/34 435 435 Federal National Mortgage Association, 5.50%, 03/01/34 631 631 Federal National Mortgage Association, 5.50%, 03/01/34 44 44 Federal National Mortgage Association, 5.50%, 03/01/34 457 457 Federal National Mortgage Association, 5.50%, 03/01/34 2,815 2,815 Federal National Mortgage Association, 5.50%, 04/01/34 7,345 7,348 Federal National Mortgage Association, 5.50%, 04/01/34 23 23 Federal National Mortgage Association, 5.50%, 04/01/34 509 509 Federal National Mortgage Association, 5.50%, 05/01/34 1,658 1,659 Federal National Mortgage Association, 5.50%, 06/01/34 59 59 Federal National Mortgage Association, 5.50%, 06/01/34 2,744 2,743 Federal National Mortgage Association, 5.50%, 06/01/34 457 457 Federal National Mortgage Association, 5.50%, 06/01/34 24 24 Federal National Mortgage Association, 5.50%, 07/01/34 183 183 Federal National Mortgage Association, 5.50%, 07/01/34 751 751 Federal National Mortgage Association, 5.50%, 09/01/34 3,513 3,513 Federal National Mortgage Association, 5.50%, 10/01/34 945 945 Federal National Mortgage Association, 5.50%, 11/01/34 1,648 1,648 Federal National Mortgage Association, 5.50%, 11/01/34 330 330 Federal National Mortgage Association, 6.50%, 11/01/34 381 392 Federal National Mortgage Association, 5.50%, 12/01/34 9,302 9,302 Federal National Mortgage Association, 5.50%, 12/01/34 833 834 Federal National Mortgage Association, 5.50%, 01/01/35 8,747 8,746 Federal National Mortgage Association, 5.50%, 02/01/35 1,858 1,858 Federal National Mortgage Association, 5.50%, 02/01/35 24,906 24,908 Federal National Mortgage Association, 5.50%, 02/01/35 14,475 14,476 Federal National Mortgage Association, 5.50%, 02/01/35 11,280 11,281 Federal National Mortgage Association, 5.50%, 02/01/35 402 402 Federal National Mortgage Association, 5.50%, 02/01/35 493 493 Federal National Mortgage Association, 5.50%, 02/01/35 921 921 Federal National Mortgage Association, 5.50%, 02/01/35 217 217 Federal National Mortgage Association, 5.50%, 02/01/35 284 284 Federal National Mortgage Association, 5.50%, 03/01/35 937 937 Federal National Mortgage Association, 5.50%, 03/01/35 43 43 Federal National Mortgage Association, 5.50%, 03/01/35 13,677 13,675 Federal National Mortgage Association, 5.50%, 03/01/35 480 481 Federal National Mortgage Association, 5.50%, 03/01/35 28 28 Federal National Mortgage Association, 5.50%, 04/01/35 755 755 Federal National Mortgage Association, 5.50%, 04/01/35 6,788 6,787 Federal National Mortgage Association, 5.50%, 04/01/35 262 261 Federal National Mortgage Association, 5.50%, 05/01/35 86 86 Federal National Mortgage Association, 5.50%, 05/01/35 64 64 Federal National Mortgage Association, 5.50%, 05/01/35 455 455 Federal National Mortgage Association, 5.50%, 05/01/35 57 57 Federal National Mortgage Association, 5.50%, 05/01/35 477 477 Federal National Mortgage Association, 5.50%, 05/01/35 470 470 Federal National Mortgage Association, 5.50%, 06/01/35 463 463 Federal National Mortgage Association, 5.50%, 06/01/35 274 274 Federal National Mortgage Association, 5.50%, 08/01/35 726 726 Federal National Mortgage Association, 5.50%, 10/13/35, TBA (c) 68,500 68,457 Federal National Mortgage Association, 5.00%, 11/01/35, TBA (c) 84,000 82,215 Federal National Mortgage Association, 4.265%, 09/01/40 (g) 75 76 Federal National Mortgage Association, 6.50%, 12/25/42 189 195 Federal National Mortgage Association, 4.18%, 03/25/44 (g) 1,838 1,839 FHA St Regis Nursing Home, 7.50%, 03/01/32 194 192 Freddie Mac, 4.50%, 03/15/34 6,632 5,601 Freddie Mac, 4.50%, 04/15/34 6,607 5,646 Government National Mortgage Association, 4.375%, 05/20/26 (g) 178 179 Government National Mortgage Association, 4.375%, 02/20/27 (g) 18 18 Government National Mortgage Association, 4.375%, 04/20/30 (g) 44 45 Government National Mortgage Association, 4.375%, 05/20/30 (g) (l) 35 35 Government National Mortgage Association, 3.75%, 02/20/32 (g) 404 407 Government National Mortgage Association, 4.00%, 02/20/32 (g) 251 252 RFCSP Strip Principal Only, 0.00%, 10/15/20 (k) (l) 400 195 404,827 U.S. Treasury Securities - 4.1% U.S. Treasury Bond, 7.875%, 02/15/21 (l) 4,600 6,257 U.S. Treasury Bond, 8.125%, 05/15/21 (l) 1,100 1,530 U.S. Treasury Bond, 6.00%, 02/15/26 (l) 7,600 8,963 U.S. Treasury Bond, 6.625%, 02/15/27 (l) 400 508 U.S. Treasury Bond, 5.50%, 08/15/28 (l) 1,000 1,124 U.S. Treasury Note, 3.50%, 02/15/10 (l) 200 194 U.S. Treasury Note, 4.25%, 08/15/15, TBA (c) 3,300 3,279 21,855 Total Government Securities (cost $457,369) 456,116 Municipals - 1.4% Illinois State Series A Municipal, 5.00%, 03/01/34 200 207 Liberty Development Corp., 5.25%, 10/01/35, TBA (c) 200 223 New York City Series J Municipal, 5.00%, 03/01/30 300 310 New York City Water & Sewer - Class C, 5.00%, 06/15/31 3,200 3,342 State of Texas, 6.90%, 04/01/35 (g) 300 308 Tobacco Settlement Financing Corp., 6.125%, 06/01/24 500 565 Tobacco Settlement Financing Corp., 6.75%, 06/01/39 2,400 2,791 Total Municipals (cost $7,217) 7,746 Short Term Investments - 39.0% Commercial Paper - 32.4% Bank of Ireland, 3.68%, 11/14/05 1,200 1,195 Bank of Ireland, 3.76%, 12/13/05 (f) 10,400 10,321 Barclays Us Funding, 3.83%, 12/27/05 1,700 1,684 BNP Paribas, 3.87%, 10/03/05 13,900 13,897 Danske Corp., 3.605%, 11/04/05 (f) 4,400 4,385 Danske Corp., 3.625%, 11/07/05 (f) 4,800 4,782 Danske Corp., 3.68%, 11/14/05 700 697 Danske Corp., 3.76%, 12/15/05 (f) 5,400 5,358 Danske Corp., 3.78%, 12/23/05 600 595 DNB Nor Bank ASA, 3.59%, 11/18/05 (f) 13,300 13,236 DNB Nor Bank ASA, 3.595%, 11/21/05 800 796 DNB Nor Bank ASA, 3.78%, 12/22/05 1,100 1,091 DNB Nor Bank ASA, 3.795%, 12/23/05 400 397 GE Capital Corp., 3.55%, 10/20/05 (f) 5,100 5,090 GE Capital Corp., 3.62%, 11/02/05 (f) 3,700 3,688 GE Capital Corp., 3.70%, 11/15/05 (f) 4,500 4,479 Nordea North America, 3.68%, 11/14/05 (f) 10,500 10,453 Rabobank USA Corp., 3.88%, 10/03/05 5,100 5,099 Rabobank USA Corp., 3.62%, 11/28/05 1,200 1,193 Rabobank USA Corp., 3.86%, 12/23/05 (f) 9,900 9,812 Royal Bank of Scotland, 3.70%, 11/16/05 (f) 4,700 4,678 Royal Bank of Scotland, 3.74%, 12/01/05 (f) 7,800 7,751 Skandi Ensk Bank, 3.505%, 10/12/05 2,800 2,797 Skandi Ensk Bank, 3.71%, 11/17/05 (f) 5,700 5,672 Societe Generale NA, 3.78%, 12/23/05 (f) 14,100 13,977 Societe Generale NA, 3.96%, 01/27/06 (f) 2,100 2,073 Swedbank D/N, 3.91%, 12/22/05 (f) 7,500 7,433 Total Financial Elf, 3.76%, 12/01/05 1,700 1,689 UBS Finance LLC, 3.86%, 10/03/05 200 200 UBS Finance LLC, 3.625%, 10/17/05 300 300 UBS Finance LLC, 3.59%, 11/21/05 1,000 995 UBS Finance LLC, 3.63%, 11/28/05 1,900 1,889 UBS Finance LLC, 3.635%, 11/28/05 1,900 1,889 UBS Finance LLC, 3.67%, 11/30/05 (f) 2,700 2,682 UBS Finance LLC, 3.945%, 01/26/06 (f) 8,300 8,193 Westpac Trust, 3.33%, 10/03/05 (f) 12,900 12,897 173,363 Money Market Funds - 1.2% Dreyfus Cash Management Plus Fund, 3.64% (a) 6,497 6,497 Securities Lending Collateral - 5.1% Mellon GSL Delaware Business Trust Collateral Fund 27,321 27,321 U.S. Treasury Bills - 0.3% U.S. Treasury Bill, 3.51%, 12/01/05 (m) 550 547 U.S. Treasury Bill, 3.43%, 12/15/05 (m) 1,260 1,251 1,798 Total Short Term Investments (cost $208,979) 208,979 Total Investments - 136.5% (cost $732,151) 732,409 Other Assets and Liabilities, Net - (36.5%) (195,969) Total Net Assets - 100% $536,440 JNL/Putnam Equity Fund Common Stocks - 100.0% Advertising - 0.2% RH Donnelley Corp. (b) 7 $443 Aerospace & Defense - 0.1% L-3 Communicaitons Holdings Inc. 5 372 Airlines - 1.2% JetBlue Airways Corp. (b) (l) 47 834 Southwest Airlines Co. 78 1,160 1,994 Apparel - 0.5% Nike Inc. - Class B 9 760 Banks - 8.2% Bank of America Corp. 136 5,705 Commerce Bancorp. Inc. (l) 108 3,302 US Bancorp. 141 3,959 12,966 Building Materials - 1.1% Masco Corp. 55 1,678 Chemicals - 0.3% Sherwin-Williams Co. 11 476 Commercial Services - 2.2% Accenture Ltd. (b) 28 703 Apollo Group Inc. - Class A (b) 22 1,427 Cendant Corp. 63 1,304 3,434 Computers - 7.2% Apple Computer Inc. (b) 56 2,981 Dell Inc. (b) 135 4,607 EMC Corp. (b) 99 1,276 Hewlett-Packard Co. 85 2,481 11,345 Cosmetics & Personal Care - 1.2% Avon Products Inc. 70 1,901 Diversified Financial Services - 11.2% Bear Stearns Cos. Inc. 19 2,074 Capital One Financial Corp. 40 3,213 Citigroup Inc. 41 1,853 Countrywide Financial Corp. 129 4,254 Fannie Mae 60 2,667 Freddie Mac 31 1,773 Lehman Brothers Holdings Inc. 12 1,444 MBNA Corp. 18 441 17,719 Electric - 0.6% AES Corp. (b) 54 879 Electronics - 0.9% Amphenol Corp. - Class A 16 625 Parker Hannifin Corp. 13 810 1,435 Food - 0.5% Red Robin Gourmet Burgers Inc. (b) 17 775 Healthcare - 7.3% Aetna Inc. 17 1,451 Becton Dickinson & Co. 12 621 HCA Inc. 31 1,495 Health Management Associates Inc. 24 552 Johnson & Johnson 69 4,361 Lincare Holdings Inc. (b) 8 320 Quest Diagnostics Inc. 3 172 UnitedHealth Group Inc. 46 2,557 11,529 Home Builders - 1.4% Lennar Corp. 11 645 NVR Inc. (b) (l) 2 1,550 2,195 Insurance - 8.8% ACE Ltd. 42 1,991 American International Group Inc. 118 7,299 Everest Re Group Ltd. 31 2,986 PMI Group Inc. 35 1,407 Radian Group Inc. 6 324 14,007 Internet - 3.9% eBay Inc. (b) 47 1,936 Google Inc. - Class A (b) 4 1,266 Symantec Corp. (b) (l) 50 1,143 Yahoo! Inc. (b) 56 1,882 6,227 Investment Companies - 0.8% SPDR Trust Series 1 (l) 10 1,192 Iron & Steel - 0.7% United States Steel Corp. (l) 25 1,046 Leisure Time - 1.7% Harley-Davidson Inc. (l) 35 1,695 Royal Caribbean Cruises Ltd. 25 1,071 2,766 Lodging - 0.6% Las Vegas Sands Corp. (b) 29 968 Machinery - 1.6% Caterpillar Inc. 18 1,069 Cummins Inc. (l) 7 598 Whirlpool Corp. 11 796 2,463 Manufacturing - 1.2% Tyco International Ltd. 69 1,932 Media - 1.2% McGraw-Hill Cos. Inc. 32 1,513 XM Satellite Radio Holdings Inc. - Class A (b) 10 373 1,887 Mining - 0.2% BHP Billiton Plc 23 369 Office & Business Equipment - 0.6% Xerox Corp. (b) 74 1,016 Oil & Gas Producers - 10.3% Amerada Hess Corp. (l) 5 715 Chevron Corp. 35 2,285 Devon Energy Corp. 18 1,201 Exxon Mobil Corp. 104 6,621 Marathon Oil Corp. 24 1,627 Occidental Petroleum Corp. 24 2,016 Valero Energy Corp. 11 1,244 XTO Energy Inc. 14 620 16,329 Pharmaceuticals - 5.3% Cardinal Health Inc. 17 1,098 Express Scripts Inc. (b) 15 939 Medco Health Solutions Inc. (b) 24 1,338 Pfizer Inc. 158 3,939 Teva Pharmaceutical Industries Ltd. - ADR 28 936 Watson Pharmaceuticals Inc. (b) 4 153 8,403 Retail - 8.9% Abercrombie & Fitch Co. - Class A 13 643 Autonation Inc. (b) 22 441 Best Buy Co. Inc. 37 1,598 Borders Group Inc. 18 401 Federated Department Stores Inc. 11 716 Home Depot Inc. 77 2,952 Kohl's Corp. (b) 15 748 Lowe's Cos. Inc. 26 1,697 Michaels Stores Inc. 23 754 Office Depot Inc. (b) 15 434 Petsmart Inc. 16 355 Sears Holdings Corp. (b) 6 784 Staples Inc. 72 1,532 Yum! Brands Inc. 22 1,070 14,125 Savings & Loans - 1.1% Washington Mutual Inc. 44 1,722 Semiconductors - 0.4% Texas Instruments Inc. 18 600 Software - 4.5% Adobe Systems Inc. 44 1,313 Fair Isaac Corp. 15 681 Microsoft Corp. 116 2,990 Oracle Corp. (b) 174 2,155 7,139 Telecommunications Equipment - 1.9% Cisco Systems Inc. (b) 169 3,034 Tobacco - 2.2% Altria Group Inc. 40 2,982 Loews Corp. 14 551 3,533 Total Common Stocks (cost $148,432) 158,658 Short Term Investments - 7.6% Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.64% (a) 40 40 Securities Lending Collateral - 7.5% Mellon GSL Delaware Business Trust Collateral Fund 11,977 11,977 Total Short Term Investments (cost $12,017) 12,017 Total Investments - 107.6% (cost $160,449) 170,675 Other Assets and Liabilities, Net - (7.6%) (12,024) Total Net Assets - 100% $158,651 JNL/Putnam Midcap Growth Fund Common Stocks - 97.8% Advertising - 1.2% Getty Images Inc. (b) 4 $344 Monster Worldwide Inc. (b) 1 34 378 Aerospace & Defense - 1.5% L-3 Communicaitons Holdings Inc. 6 474 Apparel - 2.1% Coach Inc. (b) 10 323 Timberland Co. - Class A (b) 9 307 VF Corp. 2 99 729 Biotechnology - 2.2% Charles River Laboratories International Inc. (b) 2 92 Genzyme Corp. 9 666 758 Building Materials - 1.5% Vulcan Materials Co. 7 512 Commercial Services - 6.1% Alliance Data Systems Corp. (b) 5 188 Apollo Group Inc. - Class A (b) 1 80 Career Education Corp. (b) 1 46 Corporate Executive Board Co. 4 335 Equifax Inc. 12 419 Labor Ready Inc. (b) 10 244 Moody's Corp. 8 414 Robert Half International Inc. 4 146 Strayer Education Inc. 2 212 2,084 Computers - 2.3% Apple Computer Inc. (b) 8 424 Logitech International SA (b) 3 140 NAVTEQ Corp. (b) 1 51 SanDisk Corp. (b) 4 183 798 Distribution & Wholesale - 0.6% Building Material Holding Corp. 2 205 Diversified Financial Services - 3.8% Bear Stearns Cos. Inc. 5 549 Capital One Financial Corp. (l) 1 80 Nelnet Inc. - Class A (b) 13 479 Providian Financial Corp. (b) 12 207 1,315 Electrical Components & Equipment - 0.3% Ametek Inc. 3 107 Electronics - 0.7% Amphenol Corp. - Class A 6 238 Entertainment - 1.1% GTECH Holdings Corp. 12 394 Food - 0.4% Whole Foods Market Inc. 1 148 Forest Products & Paper - 0.5% Louisiana-Pacific Corp. 7 183 Hand & Machine Tools - 1.7% Black & Decker Corp. 7 583 Healthcare - 11.5% Advanced Medical Optics Inc. (b) - - Coventry Health Care Inc. (b) 2 198 CR Bard Inc. 7 456 Dade Behring Holdings Inc. 7 242 Edwards Lifesciences Corp. (b) 11 471 Kindred Healthcare Inc. (b) 4 128 Kinetic Concepts Inc (b) 2 136 Laboratory Corp of America Holdings (b) 9 419 McKesson Corp. 8 380 Quest Diagnostics Inc. 2 91 Respironics Inc. (b) 10 413 Sierra Health Services Inc. (b) (l) 4 289 St. Jude Medical Inc. (b) 6 276 Varian Medical Systems Inc. (b) 12 462 WebMD Health Corp. - Class A (b) - 5 3,966 Home Builders - 3.7% NVR Inc. (b) (l) 1 531 Toll Brothers Inc. (b) 9 406 USG Corp. (b) (l) 5 350 1,287 Home Furnishings - 0.2% Harman International Industries Inc. 1 82 Household Products - 1.4% Scotts Miracle-Gro Co. 1 97 Toro Co. 2 88 Yankee Candle Co. Inc. 12 282 467 Insurance - 1.9% Everest Re Group Ltd. 2 147 First American Corp. 4 164 WR Berkley Corp. 9 346 657 Internet - 3.5% Homestore Inc. (b) 3 13 InterActiveCorp (b) (l) 12 302 McAfee Inc. (b) 16 514 VeriSign Inc. (b) (l) 6 128 Websense Inc. (b) (l) 5 261 1,218 Investment Companies - 0.6% Nasdaq-100 Index Tracking Stock (l) 6 221 Machinery - 4.0% Cummins Inc. 3 246 Graco Inc. 6 206 IDEX Corp. (l) 7 302 JLG Industries Inc. (l) 11 384 Terex Corp. (b) 4 208 UNOVA Inc. (b) 1 17 1,363 Media - 1.3% DreamWorks Animation SKG Inc. (b) 3 86 XM Satellite Radio Holdings Inc. - Class A (b) 10 352 438 Metal Fabrication & Hardware - 0.5% Precision Castparts Corp. 3 181 Mining - 1.4% Phelps Dodge Corp. 4 494 Oil & Gas Producers - 8.5% Amerada Hess Corp. 2 248 Burlington Resources Inc. 10 773 Frontier Oil Corp. (l) 9 395 Newfield Exploration Co. (b) 13 633 Sunoco Inc. 10 805 Valero Energy Corp. - 53 2,907 Oil & Gas Services - 1.7% BJ Services Co. 17 597 Pharmaceuticals - 3.9% Allergan Inc. 5 421 Barr Laboratories Inc. 5 280 Clegene Corp. (b) (l) 2 130 Express Scripts Inc. (b) 3 187 Kos Pharmaceuticals Inc. (b) 5 328 1,346 Retail - 6.9% Abercrombie & Fitch Co. - Class A 2 80 American Eagle Outfitters Inc. 18 431 Claire's Stores Inc. 24 582 Darden Restaurants Inc. 5 152 Michaels Stores Inc. 15 503 Staples Inc. 29 619 2,367 Semiconductors - 6.3% Altera Corp. (b) 14 273 Broadcom Corp. - Class A (b) 14 652 Lam Research Corp. (b) 9 265 Linear Technology Corp. 5 195 National Semiconductor Corp. 25 644 Silicon Laboratories Inc. (b) (l) 4 125 2,154 Software - 7.2% Acxiom Corp. 3 52 Adobe Systems Inc. 14 418 BMC Software Inc. (b) 13 279 Citrix Systems Inc. (b) 16 400 Emulex Corp. (b) 4 71 Fair Isaac Corp. 14 618 Hyperion Solutions Corp. (b) 2 88 Mercury Interactive Corp. (b) 3 103 Pixar (b) 6 285 Take-Two Interactive Software Inc. (b) 7 151 2,465 Telecommunications - 0.3% West Corp. (b) 3 93 Telecommunications Equipment - 2.7% Harris Corp. 5 192 Network Appliance Inc. (b) 9 211 Scientific-Atlanta Inc. 14 510 913 Tobacco - 0.9% UST Inc. 7 297 Toys & Hobbies - 0.9% Marvel Entertainment Inc. (b) (l) 18 320 Transportation - 2.5% CNF Inc. 9 452 Overseas Shipholding Group 7 397 849 Total Common Stocks (cost $28,862) 33,588 Short Term Investments - 9.8% Money Market Funds - 0.1% Dreyfus Cash Management Plus Fund, 3.64% (a) 35 35 Securities Lending Collateral - 9.7% Mellon GSL Delaware Business Trust Collateral Fund 3,326 3,326 Total Short Term Investments (cost $3,361) 3,361 Total Investments - 107.6% (cost $32,223) 36,949 Other Assets and Liabilities, Net - (7.6%) (2,602) Total Net Assets - 100% $34,347 JNL/Putnam Value Equity Fund Common Stocks - 98.2% Aerospace & Defense - 1.8% Boeing Co. 18 $1,210 Lockheed Martin Corp. 37 2,246 3,456 Banks - 3.8% Bank of America Corp. 120 5,039 US Bancorp. 75 2,092 7,131 Beverages - 0.5% Coca-Cola Co. 23 1,011 Building Materials - 1.8% Masco Corp. 77 2,362 Vulcan Materials Co. 15 1,113 3,475 Chemicals - 1.4% Dow Chemical Co. 21 879 PPG Industries Inc. 12 716 Sherwin-Williams Co. 25 1,102 2,697 Commercial Services - 2.2% Cendant Corp. 129 2,669 RR Donnelley & Sons Co. 38 1,412 4,081 Computers - 5.2% Dell Inc. (b) 61 2,093 Hewlett-Packard Co. 119 3,469 International Business Machines Corp. 53 4,212 9,774 Cosmetics & Personal Care - 1.1% Estee Lauder Cos. Inc. 32 1,128 Proctor & Gamble Co. 16 945 2,073 Diversified Financial Services - 9.9% Capital One Financial Corp. 22 1,749 Citigroup Inc. 151 6,874 Countrywide Financial Corp. 61 2,005 Fannie Mae 25 1,125 Freddie Mac 52 2,919 Lehman Brothers Holdings Inc. 21 2,423 Merrill Lynch & Co. Inc. (l) 26 1,595 18,690 Electric - 3.3% Alliant Energy Corp. 25 714 American Electric Power Co. Inc. 16 647 Constellation Energy Group Inc. 18 1,103 Exelon Corp. 28 1,486 PG&E Corp. 59 2,307 6,257 Electronics - 1.0% Parker Hannifin Corp. 28 1,820 Food - 1.9% Archer-Daniels-Midland Co. 16 387 General Mills Inc. 26 1,229 Pilgrim's Pride Corp. - Class B 15 550 Supervalu Inc. 43 1,329 3,495 Forest Products & Paper - 1.0% Weyerhaeuser Co. 27 1,870 Gas - 1.0% Sempra Energy 40 1,859 Healthcare - 5.2% Becton Dickinson & Co. 33 1,704 Boston Scientific Corp. (b) 94 2,201 HCA Inc. 34 1,629 Johnson & Johnson 68 4,297 9,831 Home Builders - 0.9% Lennar Corp. (l) 16 968 NVR Inc. (b) (l) 1 650 1,618 Insurance - 8.8% ACE Ltd. 64 3,008 Chubb Corp. 28 2,507 Cigna Corp. 16 1,862 Everest Re Group Ltd. 14 1,410 Hartford Financial Services Group Inc. 27 2,076 MetLife Inc. 38 1,879 WR Berkley Corp. 59 2,316 XL Capital Ltd. - Class A 21 1,448 16,506 Iron & Steel - 0.6% United States Steel Corp. (l) 26 1,088 Leisure Time - 1.8% Brunswick Corp. 57 2,162 Royal Caribbean Cruises Ltd. 27 1,171 3,333 Machinery - 0.6% Cummins Inc. (l) 3 229 Whirlpool Corp. 13 977 1,206 Manufacturing - 1.8% Ingersoll-Rand Co. Ltd. - Class A 29 1,109 Tyco International Ltd. 84 2,351 3,459 Media - 1.8% Comcast Corp. - Class A (b) 41 1,199 McGraw-Hill Cos. Inc. 23 1,095 Viacom Inc. - Class B 13 439 Walt Disney Co. 28 666 3,399 Office & Business Equipment - 0.9% Xerox Corp. (b) (l) 124 1,691 Oil & Gas Producers - 13.0% Amerada Hess Corp. (l) 15 2,090 Burlington Resources Inc. 18 1,488 Chevron Corp. 94 6,091 Devon Energy Corp. 14 934 Exxon Mobil Corp. 139 8,826 Marathon Oil Corp. 40 2,723 Pride International Inc. (b) 32 924 Sunoco Inc. 18 1,384 24,460 Oil & Gas Services - 0.5% Cooper Cameron Corp. (b) 13 961 Packaging & Containers - 0.1% Ball Corp. 2 85 Crown Holdings Inc. (b) 9 139 224 Pharmaceuticals - 7.1% AmerisourceBergen Corp. 22 1,716 Barr Laboratories Inc. 13 736 Cardinal Health Inc. 39 2,449 Eli Lilly & Co. 11 583 Pfizer Inc. 225 5,621 Watson Pharmaceuticals Inc. (b) 15 542 Wyeth 39 1,795 13,442 Retail - 3.8% Best Buy Co. Inc. 23 1,019 Lowe's Cos. Inc. 23 1,494 McDonald's Corp. 60 2,006 Office Depot Inc. (b) 46 1,372 Rite Aid Corp. (b) (l) 301 1,169 7,060 Semiconductors - 2.5% Intel Corp. 188 4,644 Software - 2.8% Fiserv Inc. (b) 22 995 Microsoft Corp. 104 2,663 Oracle Corp. (b) 123 1,529 5,187 Telecommunications - 2.7% Sprint Nextel Corp. 105 2,487 Verizon Communications Inc. 79 2,576 5,063 Telecommunications Equipment - 1.2% Cisco Systems Inc. (b) 131 2,342 Tobacco - 3.8% Altria Group Inc. 91 6,693 Loews Corp. 10 396 7,089 Transportation - 1.1% Norfolk Southern Corp. 29 1,156 Yellow Roadway Corp. (b) 24 986 2,142 Wireless Telecommunications - 1.3% Motorola Inc. 111 2,445 Total Common Stocks (cost $164,997) 184,880 Short Term Investments - 8.7% Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.64% (a) 11 11 Repurchase Agreement - 2.1% Repurchase Agreement with Bank of America Securities, 3.80% (Collateralized by $3,600 Federal National Mortgage Association, 6.125%, due 03/15/12, market value $3,911) acquired on 09/30/05, due 10/01/05 at $3,843 3,843 3,843 Securities Lending Collateral - 6.6% Mellon GSL Delaware Business Trust Collateral Fund 12,465 12,465 Total Short Term Investments (cost $16,319) 16,319 Total Investments - 106.9% (cost $181,316) 201,199 Other Assets and Liabilities, Net - (6.9%) (13,074) Total Net Assets - 100% $188,125 JNL/S&P Managed Aggressive Growth Fund Mutual Funds - 100.1% Equity Funds - 100.1% JNL/AIM Large Cap Growth Fund (n) 5,815 $70,248 JNL/AIM Real Estate Fund (n) 1,292 14,508 JNL/Alger Growth Fund (n) 2,053 34,878 JNL/Eagle Core Equity Fund (n) 2,611 39,290 JNL/Eagle Smallcap Equity Fund (n) 1,293 26,239 JNL/FMR Capital Growth Fund (n) 1,679 27,596 JNL/Franklin Templeton Small Cap Value Fund (n) 2,182 23,671 JNL/Goldman Sachs Mid Cap Value Fund (n) 2,105 23,829 JNL/JPMorgan International Equity Fund (n) 1,753 20,511 JNL/JPMorgan International Value Fund (n) 3,581 37,274 JNL/Lazard Mid Cap Value Fund (n) 780 12,139 JNL/Lazard Small Cap Value Fund (n) 1,193 17,270 JNL/Oppenheimer Global Growth Fund (n) 3,141 40,743 JNL/Putnam Equity Fund (n) 463 8,962 JNL/Select Global Growth Fund (n) 1,437 27,352 JNL/Select Large Cap Growth Fund (n) 514 10,268 JNL/Select Value Fund (n) 2,384 42,419 JNL/T.Rowe Price Established Growth Fund (n) 3,947 73,852 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,318 40,204 JNL/T.Rowe Price Value Fund (n) 4,426 61,962 Money Market Fund - 0.0% JNL/Select Money Market Fund (n) 106 106 Total Mutual Funds (cost $563,540) 653,321 Total Investments - 100.1% (cost $563,540) 653,321 Other Assets and Liabilities, Net - (0.1%) (917) Total Net Assets - 100% $652,404 JNL/S&P Managed Conservative Fund Mutual Funds - 99.8% Equity Funds - 29.9% JNL/AIM Large Cap Growth Fund (n) 330 $3,986 JNL/AIM Real Estate Fund (n) 188 2,114 JNL/Eagle Core Equity Fund (n) 124 1,873 JNL/Putnam Equity Fund (n) 107 2,068 JNL/Select Value Fund (n) 211 3,751 JNL/T.Rowe Price Established Growth Fund (n) 200 3,744 JNL/T.Rowe Price Value Fund (n) 260 3,643 21,179 Fixed Income Funds - 49.9% JNL/PIMCO Total Return Bond Fund (n) 1,449 17,703 JNL/Salomon Brothers High Yield Bond Fund (n) 409 3,505 JNL/Salomon Brothers Strategic Bond Fund (n) 918 10,751 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 303 3,491 35,450 Money Market Fund - 20.0% JNL/Select Money Market Fund (n) 14,209 14,209 Total Mutual Funds (cost $69,641) 70,838 Total Investments - 99.8% (cost $69,641) 70,838 Other Assets and Liabilities, Net - 0.2% 149 Total Net Assets - 100% $70,987 JNL/S&P Managed Growth Fund Mutual Funds - 100.0% Equity Funds - 88.7% JNL/AIM Large Cap Growth Fund (n) 8,158 $98,545 JNL/AIM Real Estate Fund (n) 1,436 16,125 JNL/Alger Growth Fund (n) 2,163 36,749 JNL/Eagle Core Equity Fund (n) 4,097 61,660 JNL/Eagle Smallcap Equity Fund (n) 1,603 32,544 JNL/FMR Capital Growth Fund (n) 1,962 32,260 JNL/Franklin Templeton Small Cap Value Fund (n) 1,961 21,272 JNL/Goldman Sachs Mid Cap Value Fund (n) 2,506 28,368 JNL/JPMorgan International Equity Fund (n) 2,776 32,477 JNL/JPMorgan International Value Fund (n) 3,270 34,041 JNL/Lazard Mid Cap Value Fund (n) 829 12,903 JNL/Lazard Small Cap Value Fund (n) 1,656 23,979 JNL/Oppenheimer Global Growth Fund (n) 5,114 66,332 JNL/Putnam Equity Fund (n) 535 10,338 JNL/Select Global Growth Fund (n) 1,658 31,547 JNL/Select Large Cap Growth Fund (n) 931 18,609 JNL/Select Value Fund (n) 4,014 71,412 JNL/T.Rowe Price Established Growth Fund (n) 6,627 123,997 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 2,205 67,266 JNL/T.Rowe Price Value Fund (n) 7,173 100,427 920,851 Fixed Income Funds - 10.3% JNL/PIMCO Total Return Bond Fund (n) 4,338 53,012 JNL/Salomon Brothers High Yield Bond Fund (n) 346 2,972 JNL/Salomon Brothers Strategic Bond Fund (n) 4,347 50,908 106,892 Money Market Fund - 1.0% JNL/Select Money Market Fund (n) 10,454 10,454 Total Mutual Funds (cost $917,652) 1,038,197 Total Investments - 100.0% (cost $917,652) 1,038,197 Other Assets and Liabilities, Net - 0.0% (16) Total Net Assets - 100% $1,038,181 JNL/S&P Managed Moderate Fund Mutual Funds - 100.0% Equity Funds - 50.1% JNL/AIM Large Cap Growth Fund (n) 742 $8,958 JNL/AIM Real Estate Fund (n) 334 3,750 JNL/Eagle Core Equity Fund (n) 279 4,198 JNL/FMR Capital Growth Fund (n) 234 3,839 JNL/Franklin Templeton Small Cap Value Fund (n) 185 2,010 JNL/Goldman Sachs Mid Cap Value Fund (n) 60 679 JNL/JPMorgan International Equity Fund (n) 214 2,509 JNL/JPMorgan International Value Fund (n) 251 2,609 JNL/Lazard Small Cap Value Fund (n) 43 627 JNL/Oppenheimer Global Growth Fund (n) 99 1,285 JNL/Putnam Equity Fund (n) 171 3,308 JNL/Select Value Fund (n) 379 6,736 JNL/T.Rowe Price Established Growth Fund (n) 462 8,651 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 127 3,881 JNL/T.Rowe Price Value Fund (n) 692 9,683 62,723 Fixed Income Funds - 34.8% JNL/PIMCO Total Return Bond Fund (n) 1,528 18,675 JNL/Salomon Brothers High Yield Bond Fund (n) 715 6,134 JNL/Salomon Brothers Strategic Bond Fund (n) 1,081 12,655 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 530 6,108 43,572 Money Market Fund - 15.1% JNL/Select Money Market Fund (n) 18,886 18,886 Total Mutual Funds (cost $121,823) 125,181 Total Investments - 100.0% (cost $121,823) 125,181 Other Assets and Liabilities, Net - 0.0% 24 Total Net Assets - 100% $125,205 JNL/S&P Managed Moderate Growth Fund Mutual Funds - 99.9% Equity Funds - 69.8% JNL/AIM Large Cap Growth Fund (n) 6,791 $82,033 JNL/AIM Real Estate Fund (n) 1,280 14,371 JNL/Alger Growth Fund (n) 710 12,070 JNL/Eagle Core Equity Fund (n) 2,580 38,826 JNL/Eagle Smallcap Equity Fund (n) 651 13,211 JNL/FMR Capital Growth Fund (n) 1,543 25,368 JNL/Franklin Templeton Small Cap Value Fund (n) 1,014 11,005 JNL/Goldman Sachs Mid Cap Value Fund (n) 839 9,502 JNL/JPMorgan International Equity Fund (n) 2,082 24,360 JNL/JPMorgan International Value Fund (n) 2,449 25,497 JNL/Lazard Mid Cap Value Fund (n) 489 7,621 JNL/Lazard Small Cap Value Fund (n) 543 7,856 JNL/Oppenheimer Global Growth Fund (n) 2,646 34,321 JNL/Putnam Equity Fund (n) 414 8,001 JNL/Select Value Fund (n) 2,499 44,463 JNL/T.Rowe Price Established Growth Fund (n) 4,369 81,752 JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,387 42,306 JNL/T.Rowe Price Value Fund (n) 5,610 78,534 561,097 Fixed Income Funds - 24.7% JNL/PIMCO Total Return Bond Fund (n) 7,655 93,544 JNL/Salomon Brothers High Yield Bond Fund (n) 2,925 25,094 JNL/Salomon Brothers Strategic Bond Fund (n) 4,754 55,670 JNL/Salomon Brothers U.S. Government & Quality Bond Fund (n) 2,114 24,373 198,681 Money Market Fund - 5.4% JNL/Select Money Market Fund (n) 43,489 43,489 Total Mutual Funds (cost $731,126) 803,267 Total Investments - 99.9% (cost $731,126) 803,267 Other Assets and Liabilities, Net - 0.1% 452 Total Net Assets - 100% $803,719 JNL/Salomon Brothers High Yield Bond Fund Common Stocks - 0.4% Beverages - 0.0% Applied Extrusion Technologies Inc. (b) (l) (p) 3 $35 Computers - 0.0% Axiohm Transaction Solutions Inc. (b) (p) 1 - Food - 0.0% VFB LLC (b) (p) 79 3 Home Furnishings - 0.0% Mattress Discounter Restricted (b) (p) 1 - Household Products - 0.0% Continental AFA Dispensing Co. (b) (p) 4 24 Machinery - 0.0% Terex Corp. (b) - 12 Media - 0.1% Liberty Global Inc. (b) 2 55 Telecommunications - 0.2% Manitoba Telecom Services Inc. (p) 1 21 NTL Inc. (b) 3 232 Telewest Global Inc. (b) 10 227 480 Wireless Telecommunications - 0.1% American Tower Corp. 16 395 Total Common Stocks (cost $1,022) 1,004 Preferred Stocks - 0.1% Telecommunications - 0.1% Alamosa Holdings Inc., 7.50%, 07/31/13 (b) - 163 Telecommunications Equipment - 0.0% Liberty Global Inc. - Class A (b) 2 58 Total Preferred Stocks (cost $68) 221 Warrants - 0.0% Home Furnishings - 0.0% Mattress Discounters Corp., Strike Price $0.01, Expiring 07/15/07 (e) (p) - - Telecommunications - 0.0% Minorplanet Systems USA Inc., Strike Price $240.625, Expiring 09/15/05 (e) (p) 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 (e) - 12 Total Warrants (cost $7) 12 Corporate Bonds - 95.2% Advertising - 0.8% RH Donnelley Finance Corp. I, 8.875%, 12/15/10 (e) 550 590 RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 1,075 1,207 Vertis Inc., 9.75%, 04/01/09 500 516 2,313 Aerospace & Defense - 1.7% Alliant Techsystems Inc., 8.50%, 05/15/11 500 526 L-3 Communications Corp., 7.625%, 06/15/12 650 683 Moog Inc., 6.25%, 01/15/15 1,100 1,106 Sequa Corp., 8.875%, 04/01/08 196 204 Sequa Corp., 9.00%, 08/01/09 2,150 2,278 Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) (p) 125 - 4,797 Agriculture - 0.2% IMC Global Inc., 10.875%, 06/01/08 500 565 Airlines - 0.7% Continental Airlines Inc., 7.25%, 11/01/05 25 25 Continental Airlines Inc., 8.00%, 12/15/05 (l) 950 943 Continental Airlines Inc., 6.541%, 09/15/08 15 15 United AirLines Inc., 6.20%, 09/01/08 (i) 949 914 1,897 Alternative Energy - 0.8% NRG Energy Inc., 8.00%, 12/15/13 2,046 2,179 Apparel - 0.8% Levi Strauss & Co., 8.25%, 04/01/12 (g) 225 224 Levi Strauss & Co., 12.25%, 12/15/12 230 254 Levi Strauss & Co., 9.75%, 01/15/15 (l) 975 995 Oxford Industries Inc., 8.875%, 06/01/11 550 572 2,045 Auto Manufacturers - 2.5% Ford Motor Co., 6.625%, 10/01/28 200 145 Ford Motor Co., 7.45%, 07/16/31 (l) 4,825 3,764 Ford Motor Co., 8.90%, 01/15/32 400 337 General Motors Corp., 8.25%, 07/15/23 (l) 700 544 General Motors Corp., 8.375%, 07/15/33 (l) 2,650 2,066 6,856 Auto Parts & Equipment - 1.4% CSK Auto Inc., 7.00%, 01/15/14 925 865 Delphi Corp., 6.50%, 08/15/13 (i) (l) 900 603 Keystone Automotive Operations Inc., 9.75%, 11/01/13 50 50 TRW Automotive Inc., 9.375%, 02/15/13 491 533 TRW Automotive Inc., 11.00%, 02/15/13 (l) 1,650 1,860 3,911 Banks - 0.3% Riddell Bell Holdings Inc., 8.375%, 10/01/12 725 714 Building Materials - 0.3% Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 775 769 Brand Services Inc., 12.00%, 10/15/12 75 80 849 Chemicals - 6.3% Borden Chemicals & Plastics, 9.50%, 05/01/05 (i) (p) 85 1 Equistar Chemicals LP, 10.125%, 09/01/08 1,000 1,075 Equistar Chemicals LP, 10.625%, 05/01/11 2,075 2,262 FMC Corp., 7.75%, 07/01/11 75 82 Huntsman International LLC, 9.875%, 03/01/09 2,500 2,641 Innophos Inc., 8.875%, 08/15/14 (e) 1,125 1,150 ISP Chemco Inc., 10.25%, 07/01/11 100 108 JohnsonDiversey Holdings Inc., (Step-Up Bond), 9.625%, 05/15/13 (d) 2,000 1,480 Lyondell Chemical Co., 9.50%, 12/15/08 600 629 Lyondell Chemical Co., 11.125%, 07/15/12 100 112 Lyondell Chemical Co., 10.50%, 06/01/13 1,700 1,921 Nalco Co., 8.875%, 11/15/13 2,000 2,053 NewMarket Corp., 8.875%, 05/01/10 95 100 PQ Corp., 7.50%, 02/15/13 (e) 1,400 1,358 Rhodia SA, 7.625%, 06/01/10 (l) 100 98 Rhodia SA, 10.25%, 06/01/10 (l) 750 792 Rhodia SA, 8.875%, 06/01/11 (l) 750 708 Union Carbide Chemical & Plastics Co. Inc., 7.875%, 04/01/23 200 218 Union Carbide Corp., 6.70%, 04/01/09 (l) 100 102 Westlake Chemical Corp., 8.75%, 07/15/11 48 51 16,944 Commercial Services - 2.3% Aleris International Inc., 10.375%, 10/15/10 75 83 Allied Waste North America, 9.25%, 09/01/12 67 73 Allied Waste North America, 6.125%, 02/15/14 (l) 800 748 Allied Waste North America, 7.375%, 04/15/14 (l) 75 71 Cenveo Corp., 9.625%, 03/15/12 550 590 Iron Mountain Inc., 8.25%, 07/01/11 750 761 Iron Mountain Inc., 8.625%, 04/01/13 1,225 1,283 Iron Mountain Inc., 7.75%, 01/15/15 625 634 Nell AF SARL, 8.375%, 08/15/15 (e) (l) 700 684 Resolution Performance Products LLC, 9.50%, 04/15/10 350 361 Resolution Performance Products LLC, 13.50%, 11/15/10 (l) 975 1,036 6,324 Computers - 1.1% Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 1,500 1,575 Sungard Data Systems Inc., 9.125%, 08/15/13 (e) (l) 400 415 Unisys Corp., 6.875%, 03/15/10 (l) 525 507 Unisys Corp., 8.00%, 10/15/12 450 441 2,938 Cosmetics & Personal Care - 0.7% DEL Laboratories Inc., 8.00%, 02/01/12 1,000 823 Jafra Cosmetics International Inc., 10.75%, 05/15/11 65 72 JohnsonDiversey Holdings Inc., 9.625%, 05/15/12 1,000 997 1,892 Diversified Financial Services - 4.0% Airplanes Pass Through Trust, 10.875%, 03/15/12 (i) (p) 123 - Alamosa Delaware Inc., (Step-Up Bond), 12.00%, 07/31/09 (d) (l) 1,427 1,580 Alamosa Delaware Inc., 8.50%, 01/31/12 1,500 1,601 Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/10 (p) 115 - Ford Motor Credit Co., 7.875%, 06/15/10 800 778 Ford Motor Credit Co., 7.25%, 10/25/11 675 641 Ford Motor Credit Co., 7.00%, 10/01/13 (l) 425 394 General Motors Acceptance Corp., 6.75%, 12/01/14 (l) 1,575 1,370 General Motors Acceptance Corp., 8.00%, 11/01/31 3,850 3,362 Global Cash Access LLC, 8.75%, 03/15/12 500 538 Orion Power Holdings Inc., 12.00%, 05/01/10 500 603 10,867 Electric - 2.7% AES Corp., 8.75%, 06/15/08 50 53 AES Corp., 9.50%, 06/01/09 (l) 2,700 2,943 AES Corp., 9.375%, 09/15/10 50 55 AES Corp., 8.875%, 02/15/11 25 27 Calpine Corp., 8.75%, 07/15/07 (l) 25 16 Edison Mission Energy, 10.00%, 08/15/08 200 222 Edison Mission Energy, 7.73%, 06/15/09 125 132 Edison Mission Energy, 9.875%, 04/15/11 250 296 Homer City Funding LLC, 8.734%, 10/01/26 99 118 Midwest Generation LLC, 8.56%, 01/02/16 331 364 Mirant Americas Generation LLC, 7.625%, 05/01/06 (i) 50 61 Mirant Americas Generation LLC, 9.125%, 05/01/31 (i) 100 129 Reliant Energy Inc., 9.50%, 07/15/13 (l) 2,650 2,928 7,344 Electrical Components & Equipment - 0.2% Kinetek Inc., 10.75%, 11/15/06 100 95 Mission Energy Holding Co., 13.50%, 07/15/08 300 353 448 Electronics - 0.6% L-3 Communications Corp., 6.125%, 07/15/13 1,000 995 Scientific Games Corp., 6.25%, 12/15/12 700 697 1,692 Engineering & Construction - 0.7% Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,254 Terex Corp., 7.375%, 01/15/14 625 631 1,885 Entertainment - 4.8% Argosy Gaming Co., 9.00%, 09/01/11 1,000 1,085 Argosy Gaming Co., 7.00%, 01/15/14 50 55 Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,051 Herbst Gaming Inc., 8.125%, 06/01/12 1,400 1,463 Houghton Mifflin Co., 8.25%, 02/01/11 270 279 Houghton Mifflin Co., 9.875%, 02/01/13 (l) 1,340 1,420 Isle of Capri Casinos Inc., 7.00%, 03/01/14 1,300 1,246 Kerzner International Ltd., 6.75%, 10/01/15 (e) 1,125 1,090 Lodgenet Entertainment Corp., 9.50%, 06/15/13 75 82 MGM Mirage, 8.50%, 09/15/10 500 544 Pinnacle Entertainment Inc., 8.25%, 03/15/12 1,500 1,500 Pinnacle Entertainment Inc., 8.75%, 10/01/13 (l) 75 77 Six Flags Inc., 8.875%, 02/01/10 200 198 Six Flags Inc., 9.75%, 04/15/13 (l) 500 493 Station Casinos Inc., 6.50%, 02/01/14 (l) 1,000 1,000 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 1,250 1,300 12,883 Environmental Control - 0.6% Allied Waste North America, 7.875%, 04/15/13 (l) 1,500 1,530 Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 - 1,530 Food - 2.3% Del Monte Corp., 8.625%, 12/15/12 2,000 2,150 Doane Pet Care Co., 10.75%, 03/01/10 (l) 1,200 1,308 Dole Food Co. Inc., 8.75%, 07/15/13 1,200 1,284 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) 1,500 1,418 6,160 Forest Products & Paper - 2.6% Abitibi-Consolidated Inc., 8.55%, 08/01/10 (l) 1,150 1,170 Appleton Papers Inc., 8.125%, 06/15/11 1,000 980 Boise Cascade LLC, 7.125%, 10/15/14 1,200 1,137 Buckeye Technologies Inc., 8.00%, 10/15/10 25 24 Catalyst Paper Corp., 8.625%, 06/15/11 1,475 1,482 Cenveo Corp., 7.875%, 12/01/13 (l) 825 796 Domtar Inc., 7.125%, 08/15/15 (f) 625 573 Newark Group Inc., 9.75%, 03/15/14 700 623 Smurfit-Stone Container Enterprises Inc., 9.75%, 02/01/11 125 127 6,912 Healthcare - 6.6% Ameripath Inc., 10.50%, 04/01/13 (l) 75 78 Community Health Systems Inc., 6.50%, 12/15/12 700 702 Extendicare Health Services Inc., 9.50%, 07/01/10 75 80 HCA Inc., 6.25%, 02/15/13 1,700 1,680 HCA Inc., 7.69%, 06/15/25 1,350 1,357 Host Marriott LP, 7.125%, 11/01/13 (l) 2,075 2,119 IASIS Healthcare LLC, 8.75%, 06/15/14 2,300 2,386 Insight Health Services Corp., 9.17%, 11/01/11 (e) (g) 700 683 National Mentor Inc., 9.625%, 12/01/12 (e) 1,250 1,306 Psychiatric Solutions Inc., 10.625%, 06/15/13 800 912 Tenet Healthcare Corp., 6.50%, 06/01/12 (l) 1,300 1,212 Tenet Healthcare Corp., 7.375%, 02/01/13 (l) 175 166 Tenet Healthcare Corp., 9.875%, 07/01/14 900 941 Triad Hospitals Inc., 7.00%, 11/15/13 (l) 1,600 1,620 Vanguard Health Holding Co. LLC, 9.00%, 10/01/14 1,175 1,251 Warner Chilcott Corp., 8.75%, 02/01/15 (e) 1,300 1,248 17,741 Holding Companies - Diversified - 4.7% Applied Extrusion Technologies Inc., 12.00%, 03/15/12 (e) (l) 27 26 BCP Crystal US Holdings Corp., 9.625%, 06/15/14 1,170 1,302 CCM Merger Inc., 8.00%, 08/01/13 (e) (l) 1,225 1,236 Chesapeake Energy Corp., 6.25%, 01/15/18 1,950 1,911 DRS Technologies Inc, 6.875%, 11/01/13 1,150 1,110 Jean Coutu Group Inc., 8.50%, 08/01/14 (l) 1,325 1,318 KI Holdings Inc., (Step-Up Bond), 9.875%, 11/15/14 (d) 2,150 1,467 Nextel Communications Inc., 7.375%, 08/01/15 2,550 2,730 Park-Ohio Industries Inc., 8.375%, 11/15/14 725 629 United Agri Products, 8.25%, 12/15/11 1,040 1,097 12,826 Home Builders - 1.0% Associated Materials Inc., (Step-Up Bond), 11.25%, 03/01/14 (d) 2,025 1,013 Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,067 Toll Corp., 8.25%, 02/01/11 500 523 2,603 Home Furnishings - 0.9% Norcraft Holdings LP, (Step-Up Bond), 9.75%, 09/01/12 (d) 950 665 Sealy Mattress Co., 8.25%, 06/15/14 (l) 1,150 1,156 Simmons Bedding Co., (Step-Up Bond), 10.00%, 12/15/14 (d) (e) (l) 1,350 715 2,536 Household Products - 0.0% Breed Technologies Inc., 9.25%, 04/15/08 (i) (p) 100 - Resolution Performance Products LLC, 8.00%, 12/15/09 100 103 103 Internet - 0.6% FTD Inc., 7.75%, 02/15/14 1,531 1,535 Leisure Time - 1.2% AMF Bowling Worldwide Inc., 10.00%, 03/01/10 100 100 Cinemark USA Inc., 9.00%, 02/01/13 1,000 1,033 Icon Health & Fitness, 11.25%, 04/01/12 (l) 750 596 Mandalay Resort Group, 6.375%, 12/15/11 500 496 Station Casinos Inc., 6.875%, 03/01/16 (e) 1,025 1,039 3,264 Lodging - 3.9% Caesars Entertainment Inc., 8.875%, 09/15/08 1,100 1,203 Caesars Entertainment Inc., 8.125%, 05/15/11 1,000 1,114 Gaylord Entertainment Co., 6.75%, 11/15/14 1,350 1,306 Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,133 Host Marriott LP, 6.375%, 03/15/15 75 73 Las Vegas Sands Corp., 6.375%, 02/15/15 (l) 1,125 1,086 Mandalay Resort Group, 10.25%, 08/01/07 750 806 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 (l) 50 53 MGM Mirage, 9.75%, 06/01/07 2,000 2,130 Starwood Hotels & Resorts Worldwide Inc., 7.875%, 05/01/12 1,500 1,634 10,538 Machinery - 0.4% Case Credit Corp., 6.75%, 10/21/07 250 253 Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 220 228 NMHG Holding Co., 10.00%, 05/15/09 75 80 Terex Corp., 10.375%, 04/01/11 500 535 1,096 Manufacturing - 0.3% Blount Inc., 8.875%, 08/01/12 650 691 Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 50 Sensus Metering Systems Inc., 8.625%, 12/15/13 75 69 Tekni-Plex Inc., 12.75%, 06/15/10 100 56 866 Media - 7.1% CCH I LLC, 11.00%, 10/01/15 (e) (l) 1,718 1,675 Charter Communications Holdings LLC, 8.625%, 04/01/09 (l) 1,850 1,573 Charter Communications Holdings LLC, 10.00%, 05/15/11 350 254 Charter Communications Operating LLC, 8.00%, 04/30/12 (e) 1,000 1,008 CSC Holdings Inc., 7.625%, 04/01/11 2,500 2,456 CSC Holdings Inc., 10.50%, 05/15/16 125 135 CSC Holdings Inc., 7.875%, 02/15/18 1,000 955 Dex Media East LLC, 12.125%, 11/15/12 1,494 1,748 Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) (k) (l) 200 158 Dex Media West LLC, 9.875%, 08/15/13 1,074 1,185 DirecTV Holdings LLC, 6.375%, 06/15/15 (e) 425 422 EchoStar DBS Corp., 6.375%, 10/01/11 2,000 1,983 Mediacom Broadband LLC, 11.00%, 07/15/13 50 54 Mediacom LLC, 9.50%, 01/15/13 (l) 1,982 1,967 Muzak Finance Corp., 10.00%, 02/15/09 50 42 Nextmedia Operating Inc., 10.75%, 07/01/11 125 134 Radio One Inc., 8.875%, 07/01/11 25 27 Rogers Cable Inc., 8.75%, 05/01/32 25 29 Sinclair Broadcast Group Inc., 8.75%, 12/15/11 650 682 Sinclair Broadcast Group Inc., 8.00%, 03/15/12 575 588 Videotron Ltee, 6.375%, 12/15/15 (e) (l) 700 694 Yell Finance BV, (Step-Up Bond), 13.50%, 08/01/11 (d) 33 32 Young Broadcasting Inc., 10.00%, 03/01/11 (l) 1,425 1,346 19,147 Metal Fabrication & Hardware - 1.2% Mueller Group Inc., 10.00%, 05/01/12 90 95 Mueller Holdings Inc., (Step-Up Bond), 14.75%, 04/15/14 (d) 2,000 1,460 Novelis Inc., 7.25%, 02/15/15 (e) 425 402 Wolverine Tube Inc., 10.50%, 04/01/09 (l) 1,300 1,232 3,189 Mining - 0.3% Compass Minerals Group Inc., 10.00%, 08/15/11 75 81 Peabody Energy Corp., 6.875%, 03/15/13 750 784 865 Office & Business Equipment - 0.8% IKON Office Solutions Inc., 7.75%, 09/15/15 (e) 525 516 Xerox Corp., 9.75%, 01/15/09 (g) 1,000 1,120 Xerox Corp., 7.625%, 06/15/13 500 531 2,167 Oil & Gas Producers - 5.4% Calpine Corp., 8.50%, 07/15/10 (e) (l) 3,600 2,574 Calpine Corp., 8.75%, 07/15/13 (e) (l) 40 28 Chesapeake Energy Corp., 7.00%, 08/15/14 500 525 Chesapeake Energy Corp., 6.625%, 01/15/16 200 203 Dynegy Holdings Inc., 10.125%, 07/15/13 (e) 1,500 1,673 Exco Resources Inc., 7.25%, 01/15/11 1,275 1,320 Kerr-McGee Corp, 7.00%, 11/01/11 1,375 1,375 Magnum Hunter Resources Inc., 9.60%, 03/15/12 81 88 Pioneer Natural Resources Co., 5.875%, 07/15/16 1,000 984 Pogo Producing Co., 6.875%, 10/01/17 (e) 700 710 Pride International Inc., 7.375%, 07/15/14 2,000 2,173 Stone Energy Corp., 8.25%, 12/15/11 635 667 Universal Compression Inc., 7.25%, 05/15/10 200 207 Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 850 888 Vintage Petroleum Inc., 8.25%, 05/01/12 500 534 Williams Cos. Inc., 8.125%, 03/15/12 (l) 500 545 14,494 Oil & Gas Services - 0.3% Grant Prideco Inc., 6.125%, 08/15/15 (e) 300 303 Key Energy Services Inc., 6.375%, 05/01/13 500 498 801 Packaging & Containers - 3.3% Anchor Glass Container Corp., 11.00%, 02/15/13 (i) 1,150 736 Berry Plastics Corp., 10.75%, 07/15/12 1,425 1,532 Graphic Packaging International Corp., 9.50%, 08/15/13 (l) 2,250 2,115 Jefferson Smurfit Corp. US, 8.25%, 10/01/12 (l) 1,000 940 Owens Brockway Glass Container Inc., 8.875%, 02/15/09 1,000 1,050 Owens-Illinois Inc., 8.10%, 05/15/07 1,000 1,025 Plastipak Holdings Inc., 10.75%, 09/01/11 100 109 Pliant Corp., 11.125%, 09/01/09 (l) 175 151 Pliant Corp., 13.00%, 06/01/10 (l) 400 190 Radnor Holdings Corp., 11.00%, 03/15/10 100 64 Smurfit-Stone Container Enterprises Inc., 8.375%, 07/01/12 1,000 950 8,862 Pharmaceuticals - 0.3% Qwest Services Corp., 14.00%, 12/15/14 50 60 Valeant Pharmaceuticals International, 7.00%, 12/15/11 625 616 676 Pipelines - 4.5% Dynegy Holdings Inc., 9.875%, 07/15/10 (e) 550 600 Dynegy Holdings Inc., 6.875%, 04/01/11 (l) 2,100 2,053 Dynegy Holdings Inc., 7.125%, 05/15/18 25 23 Dynegy Holdings Inc., 7.625%, 10/15/26 125 116 EL Paso Corp., 7.875%, 06/15/12 (l) 2,000 2,070 EL Paso Corp., 7.75%, 01/15/32 (l) 1,850 1,864 El Paso Production Holding Co., 7.75%, 06/01/13 1,000 1,045 Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,749 Williams Cos. Inc., 7.125%, 09/01/11 1,000 1,048 Williams Cos. Inc., 7.625%, 07/15/19 (l) 50 53 Williams Cos. Inc., 7.875%, 09/01/21 200 220 Williams Cos. Inc., 8.75%, 03/15/32 1,000 1,180 12,021 Real Estate - 1.7% Choctaw Resort Development Enterprise, 7.25%, 11/15/19 (e) 975 979 Felcor Lodging LP, 9.00%, 06/01/11 700 761 MeriStar Hospitality Corp., 9.125%, 01/15/11 (l) 1,100 1,166 Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,620 4,526 Retail - 2.2% Buffets Inc., 11.25%, 07/15/10 75 75 Carrols Corp., 9.00%, 01/15/13 (e) 700 711 Finlay Fine Jewelry Corp., 8.375%, 06/01/12 (l) 425 360 General Nutrition Centers Inc., 8.50%, 12/01/10 (l) 1,350 1,151 Home Interiors & Gifts Inc., 10.125%, 06/01/08 175 126 JC Penney Corp. Inc., 7.125%, 11/15/23 500 550 JC Penney Corp. Inc., 7.40%, 04/01/37 1,000 1,081 Neiman-Marcus Group Inc., 10.375%, 10/15/15, TBA (c) (e) 475 473 Rite Aid Corp., 6.125%, 12/15/08 (e) 375 356 Rite Aid Corp., 8.125%, 05/01/10 125 128 Rite Aid Corp., 7.50%, 01/15/15 (l) 950 906 5,917 Semiconductors - 0.7% Amkor Technology Inc., 9.25%, 02/15/08 (l) 1,000 938 Amkor Technology Inc., 7.75%, 05/15/13 (l) 1,000 855 1,793 Telecommunications - 6.7% AT&T Corp., 8.00%, 11/15/31 (g) 1,175 1,488 Charter Communications Holdings II LLC, 10.25%, 09/15/10 1,000 1,025 Charter Communications Holdings LLC, 10.75%, 10/01/09 75 66 DirecTV Holdings LLC, 8.375%, 03/15/13 1,365 1,490 Emmis Communications Corp., 9.75%, 06/15/12 (g) 600 605 Insight Midwest LP, 9.75%, 10/01/09 575 588 Insight Midwest LP, 10.50%, 11/01/10 525 551 Intelsat Bermuda Ltd., 8.70%, 01/15/12 (e) (g) 475 483 MCI Inc., 8.735%, 05/01/14 1,150 1,282 NTL Cable Plc, 8.75%, 04/15/14 600 620 Qwest Corp., 5.625%, 11/15/08 (l) 1,500 1,478 Qwest Services Corp., 13.50%, 12/15/10 2,725 3,120 Rogers Cable Inc., 6.25%, 06/15/13 (l) 1,000 973 SBC Communications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) 2,583 2,344 UbiquiTel Operating Co., 9.875%, 03/01/11 1,425 1,582 Zeus Special Subsidiary Ltd., (Step-Up Bond), 9.25%, 02/01/15 (d) (e) 675 446 18,141 Telecommunications Equipment - 0.5% Centennial Cellular Operating Co., 10.125%, 06/15/13 1,200 1,350 Transportation - 0.0% Holt Group Inc., 9.75%, 01/15/06 (i) (p) 125 - Venture Capital - 0.0% JSG Funding Plc, 9.625%, 10/01/12 75 75 Wireless Telecommunications - 2.3% American Tower Corp., 7.50%, 05/01/12 (l) 2,750 2,915 Lucent Technologies Inc., 6.45%, 03/15/29 (l) 3,675 3,216 6,131 Total Corporate Bonds (cost $257,865) 257,204 Short Term Investments - 28.0% Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.64% (a) 1 1 Repurchase Agreement - 2.2% Repurchase Agreement with JPMorgan Chase/Greenwich Capital, 3.80%, (Collateralized by $6,175 Federal Farm Credit Bank 4.45%, due 01/23/14, market value $6,106) acquired on 09/30/05, due 10/03/05 at $5,980 5,980 5,980 Securities Lending Collateral - 25.8% Mellon GSL Delaware Business Trust Collateral Fund 69,665 69,665 Total Short Term Investments (cost $75,646) 75,646 Total Investments - 123.7% (cost $334,608) 334,075 Other Assets and Liabilities, Net - (23.7%) (63,980) Total Net Assets - 100% $270,095 JNL/Salomon Brothers Strategic Bond Fund Common Stocks - 0.6% Beverages - 0.0% Applied Extrusion Technologies Inc. (b) (l) (p) 2 $24 Computers - 0.0% Axiohm Transaction Solutions Inc. (b) (p) 1 - Food - 0.0% VFB LLC (b) (p) 79 3 Household Products - 0.0% Continental AFA Dispensing Co. (b) (p) 9 47 Media - 0.1% Liberty Global Inc. (b) 6 159 Telecommunications - 0.3% NTL Inc. (b) 8 562 Telewest Global Inc. (b) 12 273 834 Wireless Telecommunications - 0.2% American Tower Corp. 21 533 Total Common Stocks (cost $1,270) 1,601 Preferred Stocks - 0.2% Holding Companies - Diversified - 0.0% TCR Holdings - Class B (b) (p) - - TCR Holdings - Class C (b) (p) - - TCR Holdings - Class D (b) (p) 1 - TCR Holdings - Class E (b) (p) 1 - - Telecommunications - 0.1% Alamosa Holdings Inc., 7.50%, 07/31/13 (b) - 401 Telecommunications Equipment - 0.1% Liberty Global Inc. - Class A (b) 6 168 Total Preferred Stocks (cost $156) 569 Rights - 0.0% Sovereign 0.0% Venezuela Par Rights, No Strike Price, 04/15/20 4 94 Total Rights (cost $0) 94 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 (e) - 51 Total Warrants (cost $9) 51 Corporate Bonds - 31.1% Advertising - 0.3% Advanstar Communications Inc., 10.75%, 08/15/10 (f) 175 196 Interep National Radio Sales Inc., 10.00%, 07/01/08 (f) 100 80 RH Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) (f) 175 196 Vertis Inc., 9.75%, 04/01/09 175 181 653 Aerospace & Defense - 0.4% Alliant Techsystems Inc., 8.50%, 05/15/11 (f) 125 132 Argo-Tech Corp., 9.25%, 06/01/11 (f) 175 186 L-3 Communications Corp., 7.625%, 06/15/12 (f) 200 210 Moog Inc., 6.25%, 01/15/15 (f) 150 150 Sequa Corp., 8.875%, 04/01/08 250 260 Sequa Corp., 9.00%, 08/01/09 125 132 1,070 Agriculture - 0.1% Hines Nurseries Inc., 10.25%, 10/01/11 (f) 200 203 Airlines - 0.0% Continental Airlines Inc., 7.25%, 11/01/05 (f) 100 100 Continental Airlines Inc., 6.541%, 09/15/08 (f) 40 38 138 Alternative Energy - 0.1% NRG Energy Inc., 8.00%, 12/15/13 (f) 409 436 Apparel - 0.1% Levi Strauss & Co., 8.25%, 04/01/12 (f) (g) 50 50 Levi Strauss & Co., 12.25%, 12/15/12 (f) 125 138 Levi Strauss & Co., 9.75%, 01/15/15 (f) 75 77 265 Asset Backed Securities - 3.2% Amortizing Residential Collateral Trust, 5.03%, 08/25/32 (g) 750 755 Argent Nim Trust, 4.70%, 07/25/34 (e) 92 92 Asset Backed Securities Corp Home Equity Loan, 5.67%, 04/15/33 (g) 500 505 Bear Stearns Asset Backed Securities, 5.00%, 05/25/34 (e) 111 110 Bear Stearns Asset Backed Securities, 5.25%, 08/25/34 (e) (g) 158 157 Commercial Mortgage Asset Trust, 4.77%, 11/15/15 (e) (g) 235 236 Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 458 Countrywide Asset-Backed Certificates, 5.08%, 06/25/34 (g) 640 650 Countrywide Asset-Backed Certificates, 5.50%, 10/25/35 (e) 155 154 First Consumers Master Trust, Floating Rate,, 4.08%, 09/15/08 (g) 245 243 Green Tree Financial Corp., 7.07%, 01/15/29 704 733 Merit Securities Corp., 5.34%, 09/28/32 (e) (g) 1,044 1,018 Mid-State Trust, 7.34%, 07/01/35 386 406 Novastar Home Equity Loan, 5.46%, 02/25/34 (g) 220 224 Novastar Home Equity Loan, 4.805%, 06/25/34 (g) 450 452 Novastar Home Equity Loan, 6.83%, 10/25/35 (g) 480 438 Option One Mortgage Loan Trust, 7.33%, 05/25/34 (g) 380 371 Residential Asset Securitization Trust, 4.93%, 04/25/32 (g) 145 146 Sail Net Interest Margin Notes, 6.75%, 11/27/33 (e) 10 10 Sail Net Interest Margin Notes, 5.50%, 03/27/34 (e) 194 194 Sail Net Interest Margin Notes, 5.00%, 04/27/34 (e) 120 120 Sail Net Interest Margin Notes, 5.00%, 12/27/34 (e) 222 222 Sail Net Interest Margin Notes, 4.75%, 01/27/35 (e) (g) 188 187 Sail Net Interest Margin Notes, 7.50%, 01/27/35 (e) (g) 154 151 Structured Asset Mortgage Investments Inc., 4.761%, 08/25/35 1,901 1,937 9,969 Auto Manufacturers - 0.7% DaimlerChrysler NA Holding Corp., 4.05%, 06/04/08 (f) 925 903 Ford Motor Co., 6.625%, 10/01/28 (f) 100 72 Ford Motor Co., 7.45%, 07/16/31 (l) 950 741 General Motors Corp., 8.25%, 07/15/23 50 39 General Motors Corp., 8.375%, 07/15/33 (l) 410 320 2,075 Auto Parts & Equipment - 0.2% CSK Auto Inc., 7.00%, 01/15/14 (f) 225 210 Delphi Corp., 6.50%, 08/15/13 (i) (l) 150 101 Tenneco Automotive Inc., 10.25%, 07/15/13 100 112 TRW Automotive Inc., 9.375%, 02/15/13 179 194 617 Banks - 2.4% Bank of America Corp., 7.40%, 01/15/11 (f) 1,375 1,536 Borden US Finance Corp, 9.00%, 07/15/14 (e) (l) 75 76 Capital One Bank, 5.75%, 09/15/10 (f) 1,000 1,033 Corporacion Andina de Fomento, 6.875%, 03/15/12 (f) 1,050 1,151 Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 1,600 1,520 Goodrich Corp., 7.50%, 04/15/08 (f) 375 396 Independence Community Bancorp., 3.50%, 06/20/13 (f) 475 458 Riddell Bell Holdings Inc., 8.375%, 10/01/12 (f) 125 123 Standard Chartered Bank, 8.00%, 05/30/31 (e) 955 1,244 7,537 Beverages - 0.1% Constellation Brands Inc., 8.125%, 01/15/12 (l) 200 211 Building Materials - 0.1% Allied Security Escrow Corp., 11.375%, 07/15/11 (e) (f) 75 74 Brand Services Inc., 12.00%, 10/15/12 (f) 100 106 Texas Industries Inc., 7.25%, 07/15/13 (e) 100 104 284 Chemicals - 0.9% Borden Chemicals & Plastics, 9.50%, 05/01/05 (i) (p) 140 2 Equistar Chemicals LP, 10.625%, 05/01/11 (f) 175 191 Huntsman International LLC, 10.125%, 07/01/09 (f) 152 156 Huntsman International LLC, 7.375%, 01/01/15 (e) (l) 50 48 ISP Chemco Inc., 10.25%, 07/01/11 (f) 225 243 Lyondell Chemical Co., 11.125%, 07/15/12 (f) 225 251 Methanex Corp., 8.75%, 08/15/12 (l) 175 200 Millennium America Inc., 9.25%, 06/15/08 (f) 250 269 NewMarket Corp., 8.875%, 05/01/10 (f) 225 236 OM Group Inc., 9.25%, 12/15/11 (f) 175 178 PQ Corp., 7.50%, 02/15/13 (e) (f) 425 412 Rhodia SA, 7.625%, 06/01/10 (l) 225 219 Westlake Chemical Corp., 8.75%, 07/15/11 281 303 2,708 Commercial Services - 0.4% Aleris International Inc., 10.375%, 10/15/10 (f) 150 165 Allied Waste North America, 9.25%, 09/01/12 (f) 100 108 Allied Waste North America, 7.375%, 04/15/14 (l) 100 94 Allied Waste North America, 7.25%, 03/15/15 (e) (l) 75 74 Cadmus Communications Corp., 8.375%, 06/15/14 (f) 175 181 Cenveo Corp., 9.625%, 03/15/12 (f) 75 80 Iron Mountain Inc., 7.75%, 01/15/15 (f) 350 355 Resolution Performance Products LLC, 9.50%, 04/15/10 (f) 100 103 Resolution Performance Products LLC, 13.50%, 11/15/10 (l) 125 133 1,293 Computers - 0.1% Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 131 Sungard Data Systems Inc., 9.125%, 08/15/13 (e) 75 78 Unisys Corp., 8.00%, 10/15/12 200 196 405 Cosmetics & Personal Care - 0.1% DEL Laboratories Inc., 8.00%, 02/01/12 (f) 150 123 Jafra Cosmetics International Inc., 10.75%, 05/15/11 (f) 131 145 Playtex Products Inc., 9.375%, 06/01/11 (l) 100 104 372 Distribution & Wholesale - 0.0% Buhrmann US Inc., 7.875%, 03/01/15 (f) 100 101 Diversified Financial Services - 5.7% Airplanes Pass Through Trust, 10.875%, 03/15/12 (i) (p) 247 - Alamosa Delaware Inc., 11.00%, 07/31/10 (f) 161 182 CanWest Media Inc., 8.00%, 09/15/12 (f) 279 296 CIT Group Inc., 7.75%, 04/02/12 (f) 1,150 1,318 CMO Holdings Ltd., 6.50%, 01/25/34 (e) 33 33 Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/10 (p) 230 - Corrections Corp., 6.25%, 03/15/13 (f) 100 99 EnCana Holdings Finance Corp., 5.80%, 05/01/14 (f) 850 895 Ford Motor Credit Co., 7.875%, 06/15/10 825 803 General Motors Acceptance Corp., 7.25%, 03/02/11 (l) 25 23 General Motors Acceptance Corp., 6.875%, 09/15/11 1,025 932 General Motors Acceptance Corp., 6.75%, 12/01/14 (f) (l) 465 404 General Motors Acceptance Corp., 8.00%, 11/01/31 75 65 HSBC Finance Corp., 5.25%, 04/15/15 (f) 1,475 1,482 Huntsman Advanced Materials LLC, 11.00%, 07/15/10 (f) 200 224 International Lease Finance Corp., 5.00%, 09/15/12 (f) 1,600 1,579 JPMorgan Chase & Co., 6.625%, 03/15/12 (f) 700 760 Lehman Brothers Holdings Inc., 4.50%, 07/26/10 (f) 400 395 MBNA Corp., 6.25%, 01/17/07 (f) 275 280 MBNA Corp., 4.625%, 09/15/08 (f) 675 675 Merrill Lynch Mortgage Investors Inc., 5.00%, 09/25/35 (e) (f) 452 448 Metris Master Trust, 4.88%, 11/20/09 (g) 700 701 Morgan Stanley, 6.60%, 04/01/12 (f) 1,450 1,571 Sail Net Interest Margin Notes, 7.75%, 04/27/33 (e) 9 9 TRAINS, 7.651%, 06/15/15 (e) (l) 4,634 4,721 17,895 Electric - 1.4% AES Corp., 9.375%, 09/15/10 (f) 125 138 AES Corp., 8.875%, 02/15/11 (f) 50 54 AES Corp., 7.75%, 03/01/14 (l) 200 212 Appalachian Power Co., 5.95%, 05/15/33 (f) 1,000 1,014 Calpine Generating Co. LLC, 12.39%, 04/01/11 (f) (g) (l) 125 119 Duke Energy Corp., 4.20%, 10/01/08 (f) 800 788 Edison Mission Energy, 9.875%, 04/15/11 350 415 Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 561 Mirant Americas Generation LLC, 8.30%, 05/01/11 (f) (i) 300 374 Mirant Americas Generation LLC, 9.125%, 05/01/31 (f) (i) 250 323 Reliant Energy Inc., 9.50%, 07/15/13 (f) 375 414 Texas Genco LLC, 6.875%, 12/15/14 (e) 75 76 4,488 Engineering & Construction - 0.0% Nortek Inc., 8.50%, 09/01/14 (e) (f) 100 92 Terex Corp., 7.375%, 01/15/14 25 25 117 Entertainment - 1.0% Boyd Gaming Corp., 7.75%, 12/15/12 (f) 225 237 Chumash Casino & Resort Enterprise, 9.26%, 07/15/10 (e) (f) 75 80 Cinemark Inc., (Step-Up Bond), 9.75%, 03/15/14 (d) (f) 325 228 Herbst Gaming Inc., 8.125%, 06/01/12 (f) 175 183 Isle of Capri Casinos Inc., 7.00%, 03/01/14 (f) 250 240 Kerzner International Ltd., 6.75%, 10/01/15 (e) (f) 200 194 Lodgenet Entertainment Corp., 9.50%, 06/15/13 (f) 300 329 MGM Mirage, 6.75%, 09/01/12 (f) 375 381 Mohegan Tribal Gaming Authority, 6.875%, 02/15/15 (l) 100 102 Penn National Gaming Inc., 6.75%, 03/01/15 (f) 225 221 Pinnacle Entertainment Inc., 8.75%, 10/01/13 (l) 175 180 Six Flags Inc., 9.75%, 04/15/13 75 74 Six Flags Inc., 9.625%, 06/01/14 75 74 Station Casinos Inc., 6.875%, 03/01/16 175 177 Turning Stone Casino Resort Enterprise, 9.125%, 12/15/10 (e) 175 181 VICORP Restaurants Inc., 10.50%, 04/15/11 125 121 3,002 Environmental Control - 0.0% Allied Waste North America, 8.50%, 12/01/08 (f) 100 104 Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 1 105 Food - 1.0% Ahold Lease USA Inc., 7.82%, 01/02/20 (f) 47 51 Doane Pet Care Co., 10.75%, 03/01/10 (f) 25 27 Dole Food Co. Inc., 8.75%, 07/15/13 (f) 225 241 Friendly Ice Cream Corp., 8.375%, 06/15/12 (l) 100 95 Kraft Foods Inc., 5.625%, 11/01/11 (f) 1,400 1,447 Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (f) 175 165 Safeway Inc., 7.25%, 02/01/31 (l) 850 899 Sbarro Inc., 11.00%, 09/15/09 (l) 175 174 Swift & Co., 10.125%, 10/01/09 100 107 3,206 Forest Products & Paper - 0.4% Abitibi-Consolidated Inc., 8.55%, 08/01/10 (l) 125 127 Blue Ridge Paper Products Inc., 9.50%, 12/15/08 (l) 100 94 Boise Cascade LLC, 7.125%, 10/15/14 (f) 250 237 Bowater Canada Finance, 7.95%, 11/15/11 (f) 150 151 Buckeye Technologies Inc., 9.25%, 09/15/08 (e) (l) 126 126 Buckeye Technologies Inc., 8.00%, 10/15/10 (l) 75 71 Buckeye Technologies Inc., 8.50%, 10/01/13 (f) 50 51 Cenveo Corp., 7.875%, 12/01/13 (l) 150 145 Smurfit Capital Funding Plc, 7.50%, 11/20/25 (f) 225 204 Tembec Industries Inc., 8.50%, 02/01/11 1 1 1,207 Healthcare - 1.4% Accellent Corp., 10.00%, 07/15/12 (f) 175 190 Ameripath Inc., 10.50%, 04/01/13 (l) 225 234 Extendicare Health Services Inc., 9.50%, 07/01/10 (f) 150 160 Extendicare Health Services Inc., 6.875%, 05/01/14 (f) 25 25 Genesis HealthCare Corp., 8.00%, 10/15/13 (f) 225 242 Host Marriott LP, 7.125%, 11/01/13 (l) 50 51 Humana Inc., 6.30%, 08/01/18 (f) 775 826 IASIS Healthcare LLC, 8.75%, 06/15/14 (f) 250 259 Insight Health Services Corp., 9.17%, 11/01/11 (e) (f) (g) 100 98 National Mentor Inc., 9.625%, 12/01/12 (e) (f) 175 183 Psychiatric Solutions Inc., 10.625%, 06/15/13 (f) 100 114 Sybron Dental Specialties Inc., 8.125%, 06/15/12 275 294 Tenet Healthcare Corp., 7.375%, 02/01/13 (l) 275 261 Tenet Healthcare Corp., 9.875%, 07/01/14 (f) 25 26 Triad Hospitals Inc., 7.00%, 11/15/13 250 253 Vanguard Health Holding Co. LLC, 9.00%, 10/01/14 200 213 Warner Chilcott Corp., 8.75%, 02/01/15 (e) 175 168 WellPoint Health Networks, 6.375%, 01/15/12 800 858 4,455 Holding Companies - Diversified - 0.7% Applied Extrusion Technologies Inc., 12.00%, 03/15/12 (e) (l) 18 17 BCP Crystal US Holdings Corp., 9.625%, 06/15/14 (f) 97 108 Case New Holland Inc., 9.25%, 08/01/11 (f) 25 26 CBD Media Holdings LLC, 9.25%, 07/15/12 (l) 100 102 DaVita Inc., 7.25%, 03/15/15 (l) 100 101 DRS Technologies Inc, 6.875%, 11/01/13 (f) 150 145 Jean Coutu Group Inc., 8.50%, 08/01/14 (l) 100 100 Loews Cineplex Entertainment Corp., 9.00%, 08/01/14 (l) 25 24 Nebco Evans Holding Co., (Step-Up Bond), 12.375%, 07/15/07 (d) (i) (p) 350 - News America Inc., 5.30%, 12/15/14 (f) 400 399 Nextel Communications Inc., 6.875%, 10/31/13 (f) 100 106 Nextel Communications Inc., 7.375%, 08/01/15 (f) 525 562 Park-Ohio Industries Inc., 8.375%, 11/15/14 (f) 100 87 Qwest Corp., 8.875%, 03/15/12 (f) 125 137 United Agri Products, 8.25%, 12/15/11 199 210 2,124 Home Builders - 0.1% Associated Materials Inc., (Step-Up Bond), 11.25%, 03/01/14 (d) (f) (k) 350 175 Home Furnishings - 0.1% Applica Inc., 10.00%, 07/31/08 (f) (l) 64 60 Sealy Mattress Co., 8.25%, 06/15/14 (l) 175 176 236 Household Products - 0.0% Breed Technologies Inc., 9.25%, 04/15/08 (i) (p) 250 - Internet - 0.1% FTD Inc., 7.75%, 02/15/14 (f) 170 170 Iron & Steel - 0.0% IPSCO Inc., 8.75%, 06/01/13 (f) 75 83 Leisure Time - 0.1% Equinox Holdings Inc., 9.00%, 12/15/09 (l) 175 180 Icon Health & Fitness, 11.25%, 04/01/12 (l) 100 80 Leslie's Poolmart, 7.75%, 02/01/13 (f) 100 101 Mohegan Tribal Gaming Authority, 7.125%, 08/15/14 (f) 75 78 439 Lodging - 0.3% Caesars Entertainment Inc., 8.125%, 05/15/11 (f) 125 139 Gaylord Entertainment Co., 6.75%, 11/15/14 (f) 200 194 HMH Properties Inc., 7.875%, 08/01/08 (f) 34 34 Host Marriott LP, 6.375%, 03/15/15 (f) 250 243 John Q Hammons Hotels LP, 8.875%, 05/15/12 (f) 1 1 Las Vegas Sands Corp., 6.375%, 02/15/15 (l) 225 217 MeriStar Hospitality Operating Partnership LP, 10.50%, 06/15/09 (l) 100 106 934 Machinery - 0.1% Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) (f) 88 91 Terex Corp., 10.375%, 04/01/11 175 187 278 Manufacturing - 0.2% Blount Inc., 8.875%, 08/01/12 (f) 75 80 Invensys Plc, 9.875%, 03/15/11 (e) (f) 100 99 Koppers Inc., 9.875%, 10/15/13 (f) 125 138 Sensus Metering Systems Inc., 8.625%, 12/15/13 (f) 180 166 483 Media - 1.3% Cablevision Systems Corp., 7.89%, 04/01/09 (f) (g) 175 179 CCH I LLC, 11.00%, 10/01/15 (e) (l) 168 164 Charter Communications Holdings LLC, 8.625%, 04/01/09 (l) 50 43 Charter Communications Holdings LLC, 10.00%, 05/15/11 (l) 550 399 Charter Communications Holdings LLC, (Step-Up Bond), 12.125%, 01/15/12 (d) (f) 75 47 CSC Holdings Inc., 8.125%, 08/15/09 (f) 50 50 CSC Holdings Inc., 10.50%, 05/15/16 (f) 75 81 Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) (l) 275 217 Dex Media West LLC, 9.875%, 08/15/13 (f) 196 216 DirecTV Holdings LLC, 6.375%, 06/15/15 (e) (f) 300 298 Houghton Mifflin Co., (Step-Up Bond), 11.50%, 10/15/13 (d) (f) 125 94 Mediacom Broadband LLC, 11.00%, 07/15/13 (f) 135 145 Mediacom LLC, 9.50%, 01/15/13 (l) 25 25 Muzak Finance Corp., 10.00%, 02/15/09 (f) 75 63 Muzak Finance Corp., 9.875%, 03/15/09 (f) 125 63 Nexstar Finance Holdings LLC, (Step-Up Bond), 11.375%, 04/01/13 (d) (f) 75 56 Nextmedia Operating Inc., 10.75%, 07/01/11 (f) 175 187 Radio One Inc., 8.875%, 07/01/11 (f) 150 159 Sinclair Broadcast Group Inc., 8.75%, 12/15/11 75 79 Sinclair Broadcast Group Inc., 8.00%, 03/15/12 200 205 Time Warner Inc., 7.625%, 04/15/31 725 849 Videotron Ltee, 6.375%, 12/15/15 (e) (l) 125 124 Yell Finance BV, 10.75%, 08/01/11 50 55 Young Broadcasting Inc., 8.75%, 01/15/14 (l) 150 133 3,931 Metal Fabrication & Hardware - 0.2% Mueller Group Inc., 10.00%, 05/01/12 (f) 150 159 Mueller Holdings Inc., (Step-Up Bond), 14.75%, 04/15/14 (d) (f) 50 37 Novelis Inc., 7.25%, 02/15/15 (e) (f) 200 189 Owens Brockway Glass Container Inc., 8.25%, 05/15/13 (f) 375 390 775 Mining - 0.1% Compass Minerals Group Inc., 10.00%, 08/15/11 (f) 195 212 Office & Business Equipment - 0.0% IKON Office Solutions Inc., 7.75%, 09/15/15 (e) (f) 100 98 Office Furnishings - 0.1% Interface Inc., 7.30%, 04/01/08 (f) 125 125 Interface Inc., 9.50%, 02/01/14 (f) 50 50 Tempur-Pedic Inc., 10.25%, 08/15/10 (e) 130 142 317 Oil & Gas Producers - 1.2% Calpine Corp., 8.50%, 07/15/10 (e) (f) 300 215 Chesapeake Energy Corp., 6.625%, 01/15/16 (f) 275 278 Devon Financing Corp. ULC, 6.875%, 09/30/11 (f) 650 714 Exco Resources Inc., 7.25%, 01/15/11 (f) 200 207 Forest Oil Corp., 8.00%, 12/15/11 (f) 250 276 Magnum Hunter Resources Inc., 9.60%, 03/15/12 (f) 195 212 Pogo Producing Co., 6.875%, 10/01/17 (e) (f) 125 127 Stone Energy Corp., 8.25%, 12/15/11 175 184 Swift Energy Co., 7.625%, 07/15/11 200 206 Swift Energy Co., 9.375%, 05/01/12 50 54 Valero Energy Corp., 4.75%, 06/15/13 1,010 982 Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 175 183 3,638 Oil & Gas Services - 0.3% Hanover Compressor Co., 0.00%, 03/31/07 (f) (k) 175 158 Key Energy Services Inc., 8.375%, 03/01/08 (f) 175 180 Petronas Capital Ltd., 7.00%, 05/22/12 (e) (f) 275 307 Whiting Petroleum Corp., 7.25%, 05/01/13 126 128 Whiting Petroleum Corp., 7.00%, 02/01/14 (e) 150 152 925 Packaging & Containers - 0.5% Anchor Glass Container Corp., 11.00%, 02/15/13 (f) (i) 150 96 Berry Plastics Corp., 10.75%, 07/15/12 (f) 250 269 Graphic Packaging International Corp., 9.50%, 08/15/13 (l) 200 188 Jefferson Smurfit Corp. US, 8.25%, 10/01/12 (l) 425 400 Plastipak Holdings Inc., 10.75%, 09/01/11 (f) 310 338 Pliant Corp., 11.125%, 09/01/09 (l) 100 86 Radnor Holdings Corp., 11.00%, 03/15/10 (f) 225 146 Tekni-Plex Inc., 8.75%, 11/15/13 (e) (l) 225 192 1,715 Pharmaceuticals - 0.7% Qwest Services Corp., 14.00%, 12/15/14 (f) 400 485 Valeant Pharmaceuticals International, 7.00%, 12/15/11 200 197 Wyeth, 5.50%, 03/15/13 1,400 1,436 2,118 Pipelines - 0.5% Dynegy Holdings Inc., 9.875%, 07/15/10 (e) (f) 100 109 Dynegy Holdings Inc., 7.625%, 10/15/26 (f) 450 416 EL Paso Corp., 7.875%, 06/15/12 (l) 100 104 EL Paso Corp., 7.80%, 08/01/31 (f) 75 75 EL Paso Corp., 7.75%, 01/15/32 (l) 425 428 Williams Cos. Inc., 7.125%, 09/01/11 (f) 50 52 Williams Cos. Inc., 7.625%, 07/15/19 (l) 75 81 Williams Cos. Inc., 7.875%, 09/01/21 100 110 Williams Cos. Inc., 8.75%, 03/15/32 250 295 1,670 Real Estate - 0.7% Boston Properties LP, 6.25%, 01/15/13 (f) 700 742 ERP Operating LP, 5.25%, 09/15/14 (f) 300 302 Host Marriott LP, 9.50%, 01/15/07 (f) 75 78 iStar Financial Inc., 5.15%, 03/01/12 (f) 1,025 1,001 MeriStar Hospitality Corp., 9.125%, 01/15/11 (l) 125 133 2,256 Retail - 0.6% Carrols Corp., 9.00%, 01/15/13 (e) (f) 175 178 Doane Pet Care Co., 9.75%, 05/15/07 (f) 225 224 Finlay Fine Jewelry Corp., 8.375%, 06/01/12 (l) 100 85 Home Interiors & Gifts Inc., 10.125%, 06/01/08 (f) 200 144 Limited Brands, 6.95%, 03/01/33 (f) 875 852 Neiman-Marcus Group Inc., 10.375%, 10/15/15, TBA (c) (e) 100 100 Petco Animal Supplies Inc., 10.75%, 11/01/11 (f) 150 165 Rite Aid Corp., 6.125%, 12/15/08 (e) (f) 75 71 Rite Aid Corp., 8.125%, 05/01/10 25 26 Rite Aid Corp., 7.50%, 01/15/15 (f) 150 143 1,988 Semiconductors - 0.1% Amkor Technology Inc., 9.25%, 02/15/08 (l) 25 23 Amkor Technology Inc., 7.125%, 03/15/11 (l) 350 302 Amkor Technology Inc., 7.75%, 05/15/13 (l) 61 52 377 Storage/Warehousing - 0.1% OMI Corp., 7.625%, 12/01/13 (f) 175 181 Telecommunications - 1.8% Charter Communications Holdings LLC, 10.75%, 10/01/09 50 44 Comcast Cable Communications Holdings Inc., 8.375%, 03/15/13 (f) 875 1,035 DirecTV Holdings LLC, 8.375%, 03/15/13 (f) 130 142 Emmis Communications Corp., 9.75%, 06/15/12 (f) (g) 100 101 Insight Midwest LP, 10.50%, 11/01/10 (f) 200 210 Intelsat Bermuda Ltd., 8.70%, 01/15/12 (e) (f) (g) 75 76 MCI Inc., 8.735%, 05/01/14 (f) 270 301 Qwest Services Corp., 13.50%, 12/15/10 (f) 200 229 SBC Communications Inc., (Step-Up Bond), 9.75%, 12/15/11 (d) (f) 196 178 Sprint Capital Corp., 8.375%, 03/15/12 650 765 Telecom Italia Capital SA, 4.00%, 01/15/10 (e) 1,050 1,008 US Unwired Inc., 10.00%, 06/15/12 175 201 Verizon Florida Inc., 6.125%, 01/15/13 1,370 1,422 Zeus Special Subsidiary Ltd., (Step-Up Bond), 9.25%, 02/01/15 (d) (e) (k) 100 66 5,778 Telecommunications Equipment - 0.1% American Tower Escrow Corp., 0.00%, 08/01/08 (k) 145 112 Centennial Cellular Operating Co., 10.125%, 06/15/13 (f) 200 225 PanAmSat Corp., 9.00%, 08/15/14 (e) (f) 65 69 406 Transportation - 0.3% Holt Group Inc., 9.75%, 01/15/06 (i) (p) 200 - Union Carbide Corp., 3.625%, 06/01/10 925 876 United Rentals North America Inc., 7.75%, 11/15/13 61 59 935 Venture Capital - 0.0% Rainbow National Services LLC, 10.375%, 09/01/14 (e) (f) 125 141 Water - 0.2% United Utilities Plc, 4.55%, 06/19/18 700 638 Wireless Telecommunications - 0.5% American Tower Corp., 7.50%, 05/01/12 (l) 125 133 Cingular Wireless Services Inc., 8.75%, 03/01/31 (f) 800 1,080 Lucent Technologies Inc., 6.45%, 03/15/29 (f) 475 416 1,629 Total Corporate Bonds (cost $98,326) 97,462 Government Securities - 56.1% Asset Backed Securities - 0.2% First Union National Bank Commercial Mortgage, 0.7756%, 05/17/32 11,252 316 Sovereign - 10.0% Federal Republic of Brazil, 8.00%, 01/15/18 1,731 1,833 Federal Republic of Brazil, 8.875%, 10/14/19 150 163 Federal Republic of Brazil, 12.25%, 03/06/30 585 805 Federal Republic of Brazil, 11.00%, 08/17/40 500 613 Mexican Bonos, 9.50%, 12/18/14 2,735 269 Mexican Bonos, 10.00%, 12/05/24 2,610 269 Quebec Province, 4.60%, 05/26/15 (f) 1,475 1,451 Region of Lombardy, 5.80%, 10/25/32 750 813 Republic of Argentina, 4.01%, 08/03/12 (f) 275 220 Republic of Argentina, 5.83%, 12/31/33 (f) 340 151 Republic of Argentina, 8.28%, 12/31/33 589 608 Republic of Brazil, 4.313%, 04/15/12 (g) 3,146 3,095 Republic of Brazil, 10.125%, 05/15/27 625 749 Republic of Bulgaria, 8.25%, 01/15/15 (f) 150 185 Republic of Colombia, 10.00%, 01/23/12 250 301 Republic of Colombia, 10.75%, 01/15/13 50 63 Republic of Colombia, 8.125%, 05/21/24 (f) 250 268 Republic of Colombia, 10.375%, 01/28/33 (f) 250 326 Republic of Ecuador, 12.00%, 11/15/12 370 377 Republic of Ecuador, (Step-Up Bond), 9.00%, 08/15/30 (d) 75 71 Republic of Panama, 9.625%, 02/08/11 (f) 205 245 Republic of Panama, 7.25%, 03/15/15 (f) 375 409 Republic of Panama, 9.375%, 01/16/23 (f) 315 398 Republic of Peru, 9.125%, 02/21/12 750 900 Republic of Peru, 9.875%, 02/06/15 190 243 Republic of Peru, (Step-Up Bond), 5.00%, 03/07/17 (d) (h) 308 304 Republic of Philippines, 8.375%, 03/12/09 525 556 Republic of Philippines, 8.875%, 03/17/15 150 160 Republic of Philippines, 9.875%, 01/15/19 275 307 Republic of South Africa, 6.50%, 06/02/14 (f) 200 219 Republic of The Philippines, 10.625%, 03/16/25 800 934 Republic of Turkey, 9.00%, 06/30/11 (f) 400 461 Republic of Turkey, 11.50%, 01/23/12 (f) 425 544 Republic of Turkey, 11.00%, 01/14/13 (f) 150 192 Republic of Turkey, 11.875%, 01/15/30 375 550 Republic of Venezuela, 10.75%, 09/19/13 625 780 Republic of Venezuela, 8.50%, 10/08/14 500 555 Republic of Venezuela, 9.25%, 09/15/27 100 118 Russian Federation, 11.00%, 07/24/18 725 1,106 Russian Federation, 5.00%, 03/31/30 (d) (h) 3,695 4,246 Ukraine, 6.875%, 03/04/11 (f) 125 131 Ukraine, 7.65%, 06/11/13 (f) 100 110 United Mexican States, 6.375%, 01/16/13 (f) 575 612 United Mexican States, 5.875%, 01/15/14 1,375 1,422 United Mexican States, 6.625%, 03/03/15 1,475 1,603 United Mexican States, 11.375%, 09/15/16 (f) 325 479 United Mexican States, 8.00%, 09/24/22 150 181 United Mexican States, 8.30%, 08/15/31 (f) 375 468 United Mexican States, 7.50%, 04/08/33 (f) 475 551 31,414 U.S. Government Agencies - 31.3% Federal Home Loan Mortgage Corp., 6.00%, 11/01/32, TBA (c) 2,000 2,035 Federal Home Loan Mortgage Corp., 5.00%, 11/01/33, TBA (c) 11,500 11,259 Federal National Mortgage Association, 6.00%, 04/01/18 143 147 Federal National Mortgage Association, 10.40%, 04/25/19 5 6 Federal National Mortgage Association, 4.00%, 03/01/20, TBA (c) 8,000 7,702 Federal National Mortgage Association, 6.50%, 02/01/26 11 11 Federal National Mortgage Association, 7.50%, 08/01/29 22 23 Federal National Mortgage Association, 8.00%, 08/01/29 2 3 Federal National Mortgage Association, 7.50%, 09/01/29 8 8 Federal National Mortgage Association, 7.50%, 09/01/29 33 35 Federal National Mortgage Association, 7.50%, 03/01/30 10 10 Federal National Mortgage Association, 8.00%, 04/01/30 18 19 Federal National Mortgage Association, 7.50%, 05/01/30 6 6 Federal National Mortgage Association, 7.50%, 06/01/30 9 10 Federal National Mortgage Association, 7.50%, 06/01/30 4 5 Federal National Mortgage Association, 7.50%, 07/01/30 6 6 Federal National Mortgage Association, 7.50%, 07/01/30 3 3 Federal National Mortgage Association, 8.00%, 07/01/30 30 32 Federal National Mortgage Association, 8.00%, 08/01/30 9 10 Federal National Mortgage Association, 7.50%, 09/01/30 4 5 Federal National Mortgage Association, 8.00%, 10/01/30 130 139 Federal National Mortgage Association, 7.50%, 11/01/30 8 8 Federal National Mortgage Association, 7.50%, 12/01/30 7 7 Federal National Mortgage Association, 7.50%, 01/01/31 8 9 Federal National Mortgage Association, 8.00%, 01/01/31 1 1 Federal National Mortgage Association, 8.00%, 01/01/31 40 43 Federal National Mortgage Association, 8.00%, 01/01/31 48 51 Federal National Mortgage Association, 7.50%, 02/01/31 21 23 Federal National Mortgage Association, 7.50%, 02/01/31 41 44 Federal National Mortgage Association, 8.00%, 02/01/31 6 7 Federal National Mortgage Association, 7.50%, 03/01/31 18 19 Federal National Mortgage Association, 6.00%, 07/01/32 25 26 Federal National Mortgage Association, 7.00%, 07/01/32 41 43 Federal National Mortgage Association, 6.00%, 09/01/32 150 153 Federal National Mortgage Association, 7.50%, 09/01/32 28 30 Federal National Mortgage Association, 6.00%, 11/01/33, TBA (c) 3,000 3,050 Federal National Mortgage Association, 6.50%, 11/01/33, TBA (c) 2,000 2,057 Federal National Mortgage Association, 4.50%, 04/01/34, TBA (c) 7,000 6,675 Federal National Mortgage Association, 5.00%, 11/01/35, TBA (c) 39,625 38,800 Federal National Mortgage Association, 5.50%, 11/01/35, TBA (c) 25,500 25,498 98,018 U.S. Treasury Securities - 14.6% U.S. Treasury Bond, 6.125%, 11/15/27 (l) 100 121 U.S. Treasury Bond, 5.50%, 08/15/28 (l) 70 79 U.S. Treasury Bond, 5.25%, 11/15/28 (l) 1,500 1,634 U.S. Treasury Bond, 5.25%, 02/15/29 (l) 500 545 U.S. Treasury Bond, 6.125%, 08/15/29 (l) 1,500 1,826 U.S. Treasury Bond, 5.375%, 02/15/31 (l) 750 840 U.S. Treasury Note, 3.625%, 01/15/10 (l) 3,350 3,273 U.S. Treasury Note, 4.00%, 03/15/10 (l) 2,125 2,106 U.S. Treasury Note, 4.00%, 04/15/10 (l) 12,400 12,287 U.S. Treasury Note, 3.875%, 05/15/10 (l) 5,600 5,519 U.S. Treasury Note, 5.00%, 02/15/11 (l) 5,900 6,117 U.S. Treasury Note, 4.25%, 11/15/14 (l) 1,660 1,648 U.S. Treasury Note, 4.125%, 05/15/15 (l) 10,000 9,828 45,823 Total Government Securities (cost $174,483) 175,571 Short Term Investments - 66.3% Commercial Paper - 18.0% Atlantic Asset Securities Corp., 3.71%, 10/12/05 (f) 5,025 5,019 Beethoven Funding Corp., 3.72%, 10/13/05 (f) 8,100 8,090 Concord Minutemen Capital Co., 3.70%, 10/12/05 (f) 8,100 8,091 Curzon Funding Corp., 3.71%, 10/13/05 (f) 8,100 8,090 Daimlerchrysler, 3.84%, 10/13/05 (f) 4,050 4,045 Four Winds Funding Corp., 3.77%, 10/13/05 (f) 3,773 3,768 Hannover Funding Co. LLC, 3.72%, 10/13/05 (f) 3,133 3,129 Mica Funding LLC, 3.70%, 10/13/05 (f) 8,100 8,090 Victory Receivables Corp., 3.71%, 10/12/05 (f) 8,100 8,091 56,413 Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.64% (a) - - Repurchase Agreement - 24.5% Repurchase Agreement with JPMorgan Chase/Geenwich Capital, 3.80%, (Collateralized by $38,000 Federal Farm Credit Bank, 4.375%, due 06/21/11, market value $38,000 and $33,135 Federal National Mortgage Association, 6.21%, due 08/06/38, market value $40,342) acquired on 09/30/05, due 10/03/05 at $76,774 76,774 76,774 Securities Lending Collateral - 23.8% Mellon GSL Delaware Business Trust Collateral Fund 74,441 74,441 Total Short Term Investments (cost $207,628) 207,628 Total Investments - 154.2% (cost $481,872) 482,831 Other Assets and Liabilities, Net - (54.2%) (169,745) Total Net Assets - 100% $313,086 JNL/Salomon Brothers U.S. Government & Quality Bond Fund Corporate Bonds - 3.0% Asset Backed Securities - 3.0% Commercial Mortgage Asset Trust, 5.447%, 07/16/34 (e) 5,532 $5,639 Green Tree Financial Corp., 7.07%, 01/15/29 (f) 660 687 Total Corporate Bonds (cost $6,364) 6,326 Government Securities - 107.8% U.S. Government Agencies - 67.5% Federal Farm Credit Discount Notes, 3.61%, 10/11/05 22,000 21,978 Federal Home Loan Mortgage Corp., 3.60%, 10/12/05 25,000 24,973 Federal Home Loan Mortgage Corp., 5.80%, 09/02/08 (l) 3,500 3,620 Federal Home Loan Mortgage Corp., 7.00%, 07/01/11 5 5 Federal Home Loan Mortgage Corp., 6.50%, 08/01/13 33 34 Federal Home Loan Mortgage Corp., 8.25%, 04/01/17 3 3 Federal Home Loan Mortgage Corp., 4.50%, 07/01/20, TBA (c) 1,000 980 Federal Home Loan Mortgage Corp., 8.00%, 07/01/20 69 74 Federal Home Loan Mortgage Corp., 6.00%, 11/01/28 610 622 Federal Home Loan Mortgage Corp., 7.00%, 04/01/29 162 170 Federal Home Loan Mortgage Corp., 7.00%, 10/01/31 8 8 Federal Home Loan Mortgage Corp., 7.00%, 11/01/31 12 13 Federal Home Loan Mortgage Corp., 7.00%, 02/01/32 194 203 Federal Home Loan Mortgage Corp., 7.00%, 03/01/32 185 193 Federal Home Loan Mortgage Corp., 7.00%, 04/01/32 16 17 Federal Home Loan Mortgage Corp., 7.00%, 04/01/32 146 152 Federal Home Loan Mortgage Corp., 4.50%, 04/15/32 183 167 Federal Home Loan Mortgage Corp., 7.00%, 06/01/32 9 9 Federal Home Loan Mortgage Corp., 7.00%, 06/01/32 16 16 Federal Home Loan Mortgage Corp., 7.00%, 08/01/32 11 11 Federal Home Loan Mortgage Corp., 6.00%, 11/01/32, TBA (c) 3,000 3,052 Federal Home Loan Mortgage Corp., 5.00%, 08/01/33 2,104 2,064 Federal Home Loan Mortgage Corp., 5.00%, 11/01/33, TBA (c) 24,500 23,987 Federal National Mortgage Association, 3.67%, 02/17/09 (g) 2,000 1,992 Federal National Mortgage Association, 12.50%, 09/20/15 2 2 Federal National Mortgage Association, 12.00%, 01/01/16 83 91 Federal National Mortgage Association, 12.00%, 01/15/16 2 3 Federal National Mortgage Association, 12.50%, 01/15/16 40 44 Federal National Mortgage Association, 5.50%, 12/01/17, TBA (c) 3,000 3,045 Federal National Mortgage Association, 5.00%, 02/01/19 1,199 1,196 Federal National Mortgage Association, 11.50%, 09/01/19 - - Federal National Mortgage Association, 10.50%, 08/01/20 9 10 Federal National Mortgage Association, 6.50%, 03/01/26 12 13 Federal National Mortgage Association, 7.00%, 05/01/26 17 18 Federal National Mortgage Association, 7.00%, 11/01/28 20 21 Federal National Mortgage Association, 7.00%, 12/01/28 6 6 Federal National Mortgage Association, 7.00%, 12/01/28 5 6 Federal National Mortgage Association, 6832.50%, 12/28/28 (g) - - Federal National Mortgage Association, 7.00%, 03/01/29 63 66 Federal National Mortgage Association, 7.00%, 03/01/29 7 7 Federal National Mortgage Association, 8.00%, 07/01/29 1 1 Federal National Mortgage Association, 8.00%, 11/01/29 28 30 Federal National Mortgage Association, 8.00%, 12/01/29 43 46 Federal National Mortgage Association, 7.00%, 01/01/30 60 63 Federal National Mortgage Association, 8.00%, 01/01/30 59 63 Federal National Mortgage Association, 8.00%, 02/01/30 11 11 Federal National Mortgage Association, 8.00%, 05/01/30 4 4 Federal National Mortgage Association, 6.527%, 05/25/30 1,396 1,449 Federal National Mortgage Association, 8.00%, 09/01/30 1 1 Federal National Mortgage Association, 8.00%, 09/01/30 2 2 Federal National Mortgage Association, 8.00%, 10/01/30 55 59 Federal National Mortgage Association, 8.00%, 11/01/30 3 3 Federal National Mortgage Association, 8.00%, 01/01/31 113 121 Federal National Mortgage Association, 8.00%, 01/01/31 8 8 Federal National Mortgage Association, 7.50%, 02/01/31 125 132 Federal National Mortgage Association, 8.00%, 02/01/31 27 29 Federal National Mortgage Association, 8.00%, 02/01/31 22 23 Federal National Mortgage Association, 8.00%, 03/01/31 10 11 Federal National Mortgage Association, 8.00%, 03/01/31 61 65 Federal National Mortgage Association, 8.00%, 03/01/31 19 20 Federal National Mortgage Association, 8.00%, 04/01/31 3 3 Federal National Mortgage Association, 6.00%, 01/01/33 2,092 2,127 Federal National Mortgage Association, 5.50%, 11/01/33, TBA (c) 16,000 16,000 Federal National Mortgage Association, 6.00%, 11/01/33, TBA (c) 3,000 3,050 Federal National Mortgage Association, 6.50%, 11/01/33, TBA (c) 8,000 8,229 Federal National Mortgage Association, 5.00%, 10/01/34, TBA (c) 17,000 16,648 Federal National Mortgage Association, 5.50%, 11/01/35, TBA (c) 6,000 6,001 Freddie Mac, 5.50%, 01/15/23 8,366 365 Government National Mortgage Association, 13.50%, 07/15/10 40 45 143,480 U.S. Treasury Securities - 40.3% U.S. Treasury Bond, 6.625%, 02/15/27 (f) 2,350 2,983 U.S. Treasury Bond, 6.375%, 08/15/27 (f) 1,000 1,239 U.S. Treasury Bond, 5.25%, 02/15/29 (f) 2,000 2,180 U.S. Treasury Bond, 6.125%, 08/15/29 (f) 1,250 1,522 U.S. Treasury Bond, 5.375%, 02/15/31 (f) (m) 17,000 19,045 U.S. Treasury Note, 5.75%, 11/15/05 (f) 8,500 8,522 U.S. Treasury Note, 2.875%, 11/30/06 (l) 11,000 10,842 U.S. Treasury Note, 3.375%, 11/15/08 (f) 1,300 1,269 U.S. Treasury Note, 3.375%, 10/15/09 (l) 15,000 14,537 U.S. Treasury Note, 4.25%, 08/15/13 (l) 8,700 8,670 U.S. Treasury Note, 4.25%, 08/15/14 (l) 5,000 4,969 U.S. Treasury Note, 4.00%, 02/15/15 (l) 10,000 9,734 85,512 Total Government Securities (cost $227,834) 228,992 Short Term Investments - 52.5% Commercial Paper - 18.2% Beethoven Funding Corp., 3.72%, 10/13/05 3,786 3,781 Concord Minutemen Capital Co., 3.70%, 10/12/05 5,650 5,644 Curzon Funding Corp., 3.71%, 10/13/05 5,650 5,643 Daimlerchrysler, 3.84%, 10/13/05 2,835 2,831 Four Winds Funding Corp., 3.77%, 10/13/05 2,691 2,688 Hannover Funding Co. LLC, 3.72%, 10/13/05 5,650 5,643 Mica Funding LLC, 3.70%, 10/13/05 5,650 5,643 Regency Merkets, 3.69%, 10/12/05 1,055 1,054 Victory Receivables Corp., 3.71%, 10/12/05 5,650 5,643 38,570 Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.64% (a) - - Repurchase Agreement - 9.2% Repurchase Agreement with Bank of America Securities, 3.79%, (Collateralized by $18,235 Federal National Mortgage Association, 6.00%, due 05/15/11, Market value $19,989) acquired on 09/30/05, due 10/03/05 at $19,598 19,598 19,598 Securities Lending Collateral - 25.1% Mellon GSL Delaware Business Trust Collateral Fund 53,410 53,410 Total Short Term Investments (cost $111,579) 111,579 Total Investments - 163.3% (cost $345,777) 346,897 Other Assets and Liabilities, Net - (63.3%) (134,461) Total Net Assets - 100% $212,436 JNL/Select Balanced Fund Common Stocks - 63.4% Aerospace & Defense - 1.6% General Dynamics Corp. 33 $3,921 United Technologies Corp. 44 2,281 6,202 Auto Parts & Equipment - 0.4% BorgWarner Inc. 25 1,389 Banks - 3.8% Bank of America Corp. 148 6,227 JPMorgan Chase & Co. 59 1,998 PNC Financial Services Group Inc. 31 1,770 State Street Corp. 57 2,808 Synovus Financial Corp. 84 2,317 15,120 Beverages - 1.2% Coca-Cola Co. 66 2,829 Coca-Cola Enterprises Inc. 90 1,755 4,584 Chemicals - 1.7% E.I. Du Pont de Nemours & Co. 124 4,849 Rohm & Haas Co. 45 1,834 6,683 Computers - 1.2% International Business Machines Corp. 59 4,725 Cosmetics & Personal Care - 1.6% Kimberly-Clark Corp. 42 2,494 Proctor & Gamble Co. 67 3,990 6,484 Diversified Financial Services - 3.7% Citigroup Inc. 161 7,338 Freddie Mac 38 2,157 MBNA Corp. 87 2,149 Merrill Lynch & Co. Inc. (l) 52 3,184 14,828 Electric - 3.5% Dominion Resources Inc. 25 2,188 Exelon Corp. 96 5,146 Pinnacle West Capital Corp. 52 2,292 PPL Corp 57 1,830 Progress Energy Inc. (l) 51 2,260 13,716 Electrical Components & Equipment - 0.6% Emerson Electric Co. 33 2,334 Electronics - 0.9% Parker Hannifin Corp. 53 3,383 Entertainment - 0.3% Warner Music Group Corp. (b) 60 1,118 Environmental Control - 0.9% Waste Management Inc. 127 3,625 Food - 0.7% Hormel Foods Corp. 56 1,844 Tyson Foods Inc. (l) 59 1,065 2,909 Forest Products & Paper - 1.9% International Paper Co. 65 1,949 Weyerhaeuser Co. 83 5,713 7,662 Household Products - 0.5% Avery Dennison Corp. (l) 37 1,959 Insurance - 3.8% ACE Ltd. 69 3,224 American International Group Inc. 55 3,395 Hartford Financial Services Group Inc. 47 3,612 Marsh & McLennan Cos. Inc. 51 1,553 MBIA Inc. (l) 24 1,431 MetLife Inc. 37 1,824 15,039 Machinery - 1.3% Deere & Co. 44 2,674 Whirlpool Corp. 35 2,637 5,311 Manufacturing - 1.4% General Electric Corp. 161 5,404 Media - 2.6% Comcast Corp. - Class A (b) 104 3,056 Gannett Co. Inc. 17 1,184 New York Times Co. - Class A (l) 40 1,178 Time Warner Inc. 179 3,240 Viacom Inc. - Class B 47 1,558 10,216 Metal Fabrication & Hardware - 1.1% Rio Tinto Plc - ADR 26 4,206 Mining - 1.3% Alcoa Inc. 121 2,952 Cameco Corp. 42 2,247 5,199 Office & Business Equipment - 1.0% Pitney Bowes Inc. 40 1,670 Xerox Corp. (b) 154 2,103 3,773 Oil & Gas Producers - 10.7% BP Plc - ADR 70 4,924 Burlington Resources Inc. 56 4,521 Chevron Corp. 112 7,217 ConocoPhillips 21 1,461 Encana Corp. 105 6,106 Exxon Mobil Corp. 185 11,761 Total SA - ADR (l) 47 6,356 42,346 Oil & Gas Services - 0.6% Schlumberger Ltd. 29 2,439 Pharmaceuticals - 5.1% Abbott Laboratories 119 5,046 Eli Lilly & Co. 88 4,715 Novartis AG - ADR 39 1,969 Pfizer Inc. 78 1,948 Schering-Plough Corp. 188 3,947 Wyeth 57 2,647 20,272 Retail - 1.5% Family Dollar Stores Inc. 72 1,433 Limited Brands 40 813 McDonald's Corp. 112 3,751 TJX Cos. Inc. 1 16 6,013 Semiconductors - 0.5% Texas Instruments Inc. 61 2,061 Software - 1.5% First Data Corp. 40 1,608 Microsoft Corp. 170 4,384 5,992 Telecommunications - 2.5% SBC Communications Inc. 189 4,540 Sprint Nextel Corp. 114 2,704 Verizon Communications Inc. 83 2,700 9,944 Tobacco - 1.2% Altria Group Inc. 67 4,939 Transportation - 1.9% CSX Corp. 67 3,123 Union Pacific Corp. 63 4,546 7,669 Wireless Telecommunications - 0.9% Motorola Inc. 154 3,411 Total Common Stocks (cost $222,819) 250,955 Corporate Bonds - 11.0% Aerospace & Defense - 0.1% Raytheon Co., 6.75%, 08/15/07 146 151 Asset Backed Securities - 3.6% Americredit Automobile Receivables Trust, 3.10%, 11/06/09 482 477 Banc of America Commercial Mortgage Inc., 5.676%, 06/11/35 445 452 Banc of America Commercial Mortgage Inc., 5.118%, 07/11/43 750 758 Bank of America - First Union NB Commercial Mortgage, 5.46%, 04/11/37 (g) 500 514 Bank One Issuance Trust, 4.77%, 02/16/16 500 489 BMW Vehicle Owners Trust, 3.52%, 10/25/10 1,000 982 Capital One Multi-Asset Execution Trust, 3.40%, 11/16/09 480 472 Capital One Multi-Asset Execution Trust, 4.50%, 06/15/11 500 497 Commercial Mortgage Acceptance Corp., 7.88%, 06/15/31 (g) 500 546 CS First Boston Mortgage Securities Corp., 6.133%, 04/15/37 500 531 Discover Card Master Trust I, 3.45%, 04/16/09 1,000 988 GE Capital Commercial Mortgage, 6.03%, 08/11/33 (g) 825 844 Harley-Davidson Motorcycle Trust, 1.89%, 02/15/11 381 369 JPMorgan Chase Commercial Mortgage Finance, 6.613%, 01/15/30 876 903 JPMorgan Chase Commercial Mortgage Finance Corp., 6.507%, 10/15/35 (g) 1,000 1,042 MBNA Corp., 6.55%, 12/15/08 500 508 MBNA Corp., 6.65%, 08/15/11 (e) 500 526 Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 592 PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,067 Wells Fargo Mortgage Backed Securities, 4.60%, 03/25/35 (g) (p) 372 368 Wells Fargo Mortgage Backed Securities, 4.543%, 04/25/35 (g) 410 404 WFS Financial Owner Trust, 2.73%, 05/20/11 408 401 World Omni Auto Receivables Trust, 2.20%, 01/15/08 350 347 14,077 Auto Manufacturers - 0.2% DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 497 Harley-Davidson Motorcycle Trust, 2.00%, 11/15/11 250 242 739 Banks - 0.9% Bank of America Corp., 7.40%, 01/15/11 750 838 BB&T Corp., 4.90%, 06/30/17 190 186 HSBC Bank USA NA, 5.875%, 11/01/34 250 257 HSBC Holdings Plc, 7.35%, 11/27/32 500 604 US Bank NA, 4.95%, 10/30/14 450 450 Wachovia Corp., 3.625%, 02/17/09 750 726 Wachovia Corp., 5.25%, 08/01/14 500 506 3,567 Beverages - 0.2% Diageo Capital Plc, 3.50%, 11/19/07 1,000 978 Commercial Services - 0.3% Aramark Services Inc., 7.00%, 07/15/06 1,000 1,013 Computers - 0.1% Hewlett-Packard Co., 5.50%, 07/01/07 500 508 Cosmetics & Personal Care - 0.1% Procter & Gamble Co., 5.80%, 08/15/34 500 528 Diversified Financial Services - 2.0% Americredit Automobile Receivables Trust, 4.46%, 04/12/09 400 400 Boeing Capital Corp., 6.50%, 02/15/12 (l) 500 545 Centex Home Equity, 4.72%, 10/25/31 (g) 115 113 CIT Group Inc., 7.375%, 04/02/07 500 520 Citigroup Inc., 3.50%, 02/01/08 250 244 Citigroup Inc., 6.00%, 02/21/12 (l) 500 531 Credit Suisse First Boston USA Inc., 4.875%, 01/15/15 345 338 General Electric Capital Corp., 5.875%, 02/15/12 (l) 1,000 1,051 General Electric Capital Corp., 6.75%, 03/15/32 500 588 HSBC Finance Corp., 6.375%, 11/27/12 500 537 JPMorgan Chase & Co., 6.625%, 03/15/12 500 543 JPMorgan Chase & Co., 5.125%, 09/15/14 500 499 Morgan Stanley, 5.80%, 04/01/07 500 508 Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,015 Verizon Global Funding Corp., 7.75%, 12/01/30 500 609 8,041 Forest Products & Paper - 0.1% Weyerhaeuser Co., 7.125%, 07/15/23 350 386 Holding Companies - Diversified - 0.3% Berkshire Hathaway Finance Corp., 4.85%, 01/15/15 670 663 Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 516 1,179 Insurance - 1.3% Ace Capital Trust, 9.70%, 04/01/30 525 692 Ace INA Holdings Inc., 5.875%, 06/15/14 600 610 ASIF Global Financing, 4.90%, 01/17/13 (e) 500 491 AXA SA, 8.60%, 12/15/30 775 1,020 Hartford Life Inc., 7.375%, 03/01/31 700 849 Liberty Mutual Insurance, 7.875%, 10/15/26 (e) 475 531 Marsh & McLennan Cos. Inc., 5.375%, 07/15/14 675 653 MetLife Inc., 6.50%, 12/15/32 350 386 Willis Group North America Inc., 5.625%, 07/15/15 105 104 5,336 Media - 0.3% Comcast Corp., 5.85%, 01/15/10 200 207 Comcast Corp., 5.65%, 06/15/35 600 561 Walt Disney Co., 5.375%, 06/01/07 400 404 1,172 Metal Fabrication & Hardware - 0.1% Corp. Nacional del Cobre de Chile, 5.50%, 10/15/13 (e) 500 513 Oil & Gas Services - 0.2% Valero Energy Corp., 6.875%, 04/15/12 675 741 Retail - 0.1% Target Corp., 5.375%, 06/15/09 500 511 Sovereign - 0.2% Telecom Italia Capital SA, 5.25%, 10/01/15 675 663 Telecommunications - 0.9% Cingular Wireless Services Inc., 7.875%, 03/01/11 750 854 COX Communications Inc., 5.45%, 12/15/14 500 497 Deutsche Telekom International Finance BV, 8.75%, 06/15/30 275 355 Sprint Capital Corp., 6.125%, 11/15/08 125 130 Sprint Capital Corp., 8.375%, 03/15/12 450 530 Verizon Global Funding Corp., 6.125%, 06/15/07 (l) 500 513 Vodafone Group Plc, 5.375%, 01/30/15 500 512 3,391 Total Corporate Bonds (cost $43,978) 43,494 Government Securities - 28.0% Sovereign - 0.6% Tennessee Valley Authority, 4.375%, 06/15/15 (l) 2,400 2,349 Treasury Inflation Index Securities - 1.6% US Treasury Inflation Indexed Note, 2.375%, 01/15/25 (l) 5,625 6,238 U.S. Government Agencies - 11.0% Federal Home Loan Mortgage Corp., 5.50%, 10/01/16 (f) 440 447 Federal Home Loan Mortgage Corp., 6.00%, 04/01/17 (f) 310 319 Federal Home Loan Mortgage Corp., 6.50%, 11/01/17 (f) 136 141 Federal Home Loan Mortgage Corp., 5.00%, 01/01/18 (f) 135 135 Federal Home Loan Mortgage Corp., 5.50%, 01/01/18 (f) 2 2 Federal Home Loan Mortgage Corp., 4.50%, 05/01/18 (f) 200 196 Federal Home Loan Mortgage Corp., 5.00%, 05/01/18 (f) 313 312 Federal Home Loan Mortgage Corp., 4.50%, 09/01/18 (f) 234 229 Federal Home Loan Mortgage Corp., 4.50%, 11/01/18 (f) 319 313 Federal Home Loan Mortgage Corp., 4.50%, 11/01/18 (f) 157 154 Federal Home Loan Mortgage Corp., 5.50%, 01/01/19 (f) 583 591 Federal Home Loan Mortgage Corp., 4.50%, 03/01/19 (f) 1,488 1,458 Federal Home Loan Mortgage Corp., 5.50%, 08/01/19 (f) 606 615 Federal Home Loan Mortgage Corp., 7.00%, 11/01/30 (f) 269 281 Federal Home Loan Mortgage Corp., 7.00%, 02/01/31 (f) 64 67 Federal Home Loan Mortgage Corp., 7.00%, 06/01/31 (f) 93 98 Federal Home Loan Mortgage Corp., 7.00%, 10/01/32 (f) 272 284 Federal Home Loan Mortgage Corp., 5.50%, 03/01/33 (f) 1,240 1,241 Federal Home Loan Mortgage Corp., 4.50%, 06/01/33 (f) 216 206 Federal Home Loan Mortgage Corp., 5.50%, 06/01/33 (f) 263 264 Federal Home Loan Mortgage Corp., 5.00%, 08/01/33 (f) 1,318 1,293 Federal Home Loan Mortgage Corp., 6.50%, 09/01/33 (f) 151 155 Federal Home Loan Mortgage Corp., 6.00%, 10/01/33 (f) 1,736 1,766 Federal Home Loan Mortgage Corp., 5.00%, 05/01/34 (f) 1,355 1,328 Federal Home Loan Mortgage Corp., 5.50%, 05/01/34 (f) 168 168 Federal Home Loan Mortgage Corp., 5.00%, 09/01/34 (f) 502 492 Federal National Mortgage Association, 5.00%, 10/01/17 340 340 Federal National Mortgage Association, 5.00%, 11/01/17 152 152 Federal National Mortgage Association, 6.00%, 01/01/18 80 82 Federal National Mortgage Association, 5.00%, 02/01/18 663 661 Federal National Mortgage Association, 5.00%, 04/01/18 181 181 Federal National Mortgage Association, 4.50%, 07/01/18 (f) 1,462 1,434 Federal National Mortgage Association, 5.50%, 11/01/18 190 193 Federal National Mortgage Association, 5.00%, 12/01/18 1,009 1,007 Federal National Mortgage Association, 6.50%, 08/01/28 37 38 Federal National Mortgage Association, 6.50%, 11/01/28 78 80 Federal National Mortgage Association, 6.50%, 12/01/28 47 49 Federal National Mortgage Association, 6.00%, 03/01/29 350 356 Federal National Mortgage Association, 7.50%, 09/01/29 98 104 Federal National Mortgage Association, 6.50%, 01/01/32 515 532 Federal National Mortgage Association, 6.50%, 07/01/32 657 677 Federal National Mortgage Association, 6.50%, 09/01/32 320 330 Federal National Mortgage Association, 6.50%, 09/01/32 278 286 Federal National Mortgage Association, 6.50%, 09/01/32 122 126 Federal National Mortgage Association, 6.00%, 10/01/32 386 393 Federal National Mortgage Association, 6.50%, 03/01/33 295 304 Federal National Mortgage Association, 5.00%, 09/01/33 984 965 Federal National Mortgage Association, 7.00%, 10/01/33 659 689 Federal National Mortgage Association, 4.50%, 11/01/33 (f) 249 238 Federal National Mortgage Association, 5.50%, 11/01/33 1,809 1,809 Federal National Mortgage Association, 4.50%, 12/01/33 442 422 Federal National Mortgage Association, 5.50%, 12/01/33 1,003 1,003 Federal National Mortgage Association, 6.00%, 12/01/33 186 189 Federal National Mortgage Association, 5.50%, 03/01/34 604 604 Federal National Mortgage Association, 5.50%, 04/01/34 1,776 1,776 Federal National Mortgage Association, 5.50%, 05/01/34 201 201 Federal National Mortgage Association, 6.00%, 06/01/34 416 424 Federal National Mortgage Association, 5.50%, 10/01/35, TBA (c) 7,000 6,996 Federal National Mortgage Association, 5.00%, 11/01/35, TBA (c) 5,500 5,383 General National Mortgage Association, 5.50%, 05/20/33 348 351 Government National Mortgage Association, 6.50%, 04/15/26 106 111 Government National Mortgage Association, 7.00%, 06/15/28 88 92 Government National Mortgage Association, 7.50%, 04/15/29 - - Government National Mortgage Association, 7.00%, 07/15/29 49 52 Government National Mortgage Association, 5.50%, 11/15/32 272 275 Government National Mortgage Association, 6.00%, 02/15/33 321 329 Government National Mortgage Association, 6.00%, 03/15/33 111 113 Government National Mortgage Association, 5.50%, 05/15/33 242 244 Government National Mortgage Association, 5.00%, 06/20/33 167 164 Government National Mortgage Association, 5.00%, 10/15/33 400 395 Government National Mortgage Association, 6.00%, 10/20/33 362 370 Government National Mortgage Association, 6.00%, 04/15/34 178 183 Government National Mortgage Association, 6.00%, 11/15/34 112 114 Government National Mortgage Association, 7.50%, 09/16/35 58 62 43,434 U.S. Treasury Securities - 14.9% U.S. Treasury Note, 1.50%, 03/31/06 (l) 19,250 19,024 U.S. Treasury Note, 1.50%, 03/31/06 (l) 19,250 19,024 U.S. Treasury Note, 2.375%, 08/15/06 (l) 9,117 8,985 U.S. Treasury Note, 2.25%, 02/15/07 (l) 2,000 1,949 U.S. Treasury Note, 3.50%, 12/15/09 (l) 6,375 6,201 U.S. Treasury Note, 4.125%, 05/15/15 (l) 3,775 3,710 58,893 Total Government Securities (cost $111,570) 110,914 Municipals - 0.2% Illinois State Taxable Pension, 5.10%, 06/01/33 (f) 375 371 Oregon School Board Association, 4.759%, 06/30/28 (f) 420 398 Total Municipals (cost $791) 769 Short Term Investments - 19.4% Money Market Funds - 4.2% Dreyfus Cash Management Plus Fund, 3.64% (a) 16,679 16,679 Securities Lending Collateral - 15.2% Mellon GSL Delaware Business Trust Collateral Fund 60,139 60,139 Total Short Term Investments (cost $76,818) 76,818 Total Investments - 122.0% (cost $455,976) 482,950 Other Assets and Liabilities, Net - (22.0%) (87,217) Total Net Assets - 100% $395,733 JNL/Select Global Growth Fund Common Stocks - 99.1% Aerospace & Defense - 2.7% Boeing Co. 34 $2,317 General Dynamics Corp. 24 2,905 5,222 Agriculture - 1.0% Japan Tobacco Inc. - 2,034 Airlines - 0.6% Ryanair Holdings Plc - ADR (b) 29 1,298 Apparel - 1.4% Adidas-Salomon AG 15 2,549 Auto Manufacturers - 0.8% Toyota Motor Corp. 31 1,415 Banks - 12.6% Banco Bilbao Vizcaya Argentaria SA 106 1,850 Bayerische Hypo-und Vereinsbank AG (b) 94 2,642 Credit Suisse Group 105 4,648 Mitsubishi UFJ Financial Group Inc. (l) - 5,801 Shinsei Bank Ltd. 156 983 Shizuoka Bank Ltd. 39 402 Standard Chartered Plc 193 4,163 UBS AG 37 3,174 23,663 Beverages - 1.0% LVMH Louis Vuitton Moet Hennessy SA 23 1,878 Biotechnology - 3.9% Amgen Inc. (b) 48 3,832 Baxter International Inc. 87 3,453 7,285 Cosmetics & Personal Care - 2.5% Proctor & Gamble Co. 80 4,751 Distribution & Wholesale - 1.1% Esprit Holdings Ltd. 284 2,120 Diversified Financial Services - 2.5% Capital One Financial Corp. 22 1,765 Goldman Sachs Group Inc. 24 2,906 4,671 Electrical Components & Equipment - 0.8% Samsung Electronics Co. Ltd. 3 1,471 Electronics - 3.4% Au Optronics Corp., Adr (l) 176 2,279 Chi Mei Optoelectronics Corp. 942 1,041 LG.Philips LCD Co. Ltd. (b) 14 570 Matsushita Electric Industrial Co. Ltd. 119 2,016 Murata Manufacturing Co. Ltd. 9 513 6,419 Entertainment - 1.1% Warner Music Group Corp. (b) 109 2,008 Healthcare - 2.2% Medtronic Inc. 42 2,231 UnitedHealth Group Inc. 33 1,871 4,102 Holding Companies - Diversified - 0.4% Hutchison Whampoa Ltd. 77 797 Household Products - 0.9% Reckitt Benckiser Plc 58 1,774 Insurance - 1.4% Allianz AG 20 2,697 Internet - 3.1% Google Inc. - Class A (b) 18 5,760 Leisure Time - 2.3% EMI Group PLC 1,009 4,317 Media - 6.2% Grupo Televisa SA - ADR 36 2,610 Sirius Satellite Radio Inc. (b) (l) 529 3,462 Time Warner Inc. 95 1,719 Vivendi Universal SA 118 3,867 11,658 Mining - 5.5% Cameco Corp. 38 2,006 China Shenhua Energy Co. Ltd. (b) 859 1,007 Cia Vale do Rio Doce - ADR 46 2,000 Freeport-McMoRan Copper & Gold Inc. 29 1,404 Rio Tinto Plc 60 2,461 Xstrata Plc 57 1,479 10,357 Oil & Gas Producers - 8.5% ENI SpA 60 1,775 Noble Corp. 16 1,123 Petro-Canada 92 3,834 Sasol Ltd. 54 2,075 Talisman Energy Inc. 37 1,825 Transocean Inc. (b) 30 1,833 Valero Energy Corp. 32 3,595 16,060 Oil & Gas Services - 2.0% Halliburton Co. 54 3,686 Pharmaceuticals - 9.6% AstraZeneca Plc 56 2,596 Cardinal Health Inc. 46 2,944 Eisai Co. Ltd. 69 2,952 Merck KGaA 37 3,142 Roche Holding AG 13 1,840 Schering-Plough Corp. 126 2,646 Teva Pharmaceutical Industries Ltd. - ADR 59 1,962 18,082 Real Estate - 0.4% Mitsubishi Estate Co. Ltd. 51 700 Retail - 3.4% Best Buy Co. Inc. 46 1,996 Office Depot Inc. (b) 94 2,801 Seven & I Holdings Co. Ltd. (b) 47 1,544 6,341 Software - 2.9% Electronic Arts Inc. 13 745 Pixar (b) 44 1,954 Research In Motion Ltd. (b) 42 2,852 5,551 Telecommunications - 3.0% Carphone Warehouse Group Plc 925 3,248 SES Global SA 158 2,483 5,731 Telecommunications Equipment - 5.3% Alcatel SA (b) 74 986 Corning Inc. (b) 269 5,204 Qualcomm Inc. 42 1,857 Telefonaktiebolaget LM Ericsson - Class B 551 2,011 10,058 Tobacco - 2.8% Altria Group Inc. 72 5,337 Transportation - 0.7% Yamato Transport Co. Ltd. 76 1,249 Wireless Telecommunications - 3.1% Motorola Inc. 82 1,820 NTT DoCoMo Inc. 2 2,747 Vodafone Airtouch Plc 490 1,275 5,842 Total Common Stocks (cost $169,031) 186,883 Short Term Investments - 9.8% Money Market Funds - 0.1% Dreyfus Cash Management Plus Fund, 3.64% (a) 213 213 Securities Lending Collateral - 9.7% Mellon GSL Delaware Business Trust Collateral Fund 18,271 18,271 Total Short Term Investments (cost $18,484) 18,484 Total Investments - 108.9% (cost $187,515) 205,367 Other Assets and Liabilities, Net - (8.9%) (16,840) Total Net Assets - 100% $188,527 JNL/Select Large Cap Growth Fund Common Stocks - 97.8% Advertising - 1.7% Omnicom Group Inc. (l) 40 $3,386 Aerospace & Defense - 5.3% Boeing Co. 93 6,353 General Dynamics Corp. 42 5,053 11,406 Banks - 2.1% Commerce Bancorp. Inc. (l) 149 4,565 Biotechnology - 4.0% Amgen Inc. (b) 82 6,535 Genzyme Corp. 30 2,148 8,683 Commercial Services - 1.3% Moody's Corp. 53 2,685 Computers - 4.5% Apple Computer Inc. (b) 40 2,160 Dell Inc. (b) 222 7,577 9,737 Cosmetics & Personal Care - 2.5% Proctor & Gamble Co. (l) 89 5,317 Diversified Financial Services - 13.4% Capital One Financial Corp. (l) 54 4,281 Chicago Mercantile Exchange Holdings Inc. 21 7,211 Countrywide Financial Corp. 287 9,458 Franklin Resources Inc. (l) 40 3,396 Legg Mason Inc. (l) 39 4,301 28,647 Healthcare - 9.0% Coventry Health Care Inc. (b) 28 2,387 Medtronic Inc. 166 8,891 UnitedHealth Group Inc. 145 8,122 19,400 Insurance - 1.2% Progressive Corp. 25 2,574 Internet - 6.7% Google Inc. - Class A (b) 24 7,582 Yahoo! Inc. (b) 202 6,821 14,403 Lodging - 1.9% Starwood Hotels & Resorts Worldwide Inc. 72 4,119 Manufacturing - 5.7% Danaher Corp. (l) 101 5,449 General Electric Corp. 202 6,797 12,246 Media - 4.5% XM Satellite Radio Holdings Inc. - Class A (b) (l) 266 9,561 Mining - 1.4% Cameco Corp. 58 3,102 Oil & Gas Producers - 4.6% Petro-Canada 168 6,996 Petroleo Brasileiro SA - ADR 41 2,899 9,895 Oil & Gas Services - 2.6% Halliburton Co. 82 5,592 Pharmaceuticals - 10.6% Abbott Laboratories 45 1,928 AstraZeneca Plc - ADR 212 9,966 Gilead Sciences Inc. 61 2,976 Sanofi-Aventis - ADR 71 2,931 Schering-Plough Corp. 239 5,039 22,840 Retail - 1.3% Abercrombie & Fitch Co. - Class A 55 2,717 Savings & Loans - 0.5% Golden West Financial Corp. (l) 18 1,058 Software - 8.0% Electronic Arts Inc. 160 9,086 Microsoft Corp. 186 4,776 Pixar (b) 22 1,000 Research In Motion Ltd. (b) 35 2,365 17,227 Telecommunications - 1.3% America Movil SA de CV - Class L 105 2,754 Telecommunications Equipment - 3.7% Network Appliance Inc. (b) 144 3,427 Qualcomm Inc. 100 4,496 7,923 Total Common Stocks (cost $189,202) 209,837 Short Term Investments - 16.9% Money Market Funds - 2.3% Dreyfus Cash Management Plus Fund, 3.64% (a) 5,001 5,001 Securities Lending Collateral - 14.5% Mellon GSL Delaware Business Trust Collateral Fund 31,188 31,188 Total Short Term Investments (cost $36,189) 36,189 Total Investments - 114.7% (cost $225,391) 246,026 Other Assets and Liabilities, Net - (14.7%) (31,460) Total Net Assets - 100% $214,566 JNL/Select Money Market Fund Corporate Bonds - 3.6% Asset Backed Securities - 2.2% Lothian Mortgages Plc, 3.82%, 01/24/06 (e) 1,300 $1,300 Permanent Financing Plc, 3.90%, 03/10/06 (g) 1,540 1,540 Permanent Financing Plc, 3.69%, 06/12/06 (g) 2,210 2,210 5,050 Banks - 1.4% Credit Suisse, 3.80%, 12/08/05 (g) 3,500 3,500 Total Corporate Bonds (cost $8,550) 8,550 Government Securities - 2.9% U.S. Government Agencies - 2.9% Federal Home Loan Bank, 4.015%, 08/01/06 (l) 4,000 4,000 Federal National Mortgage Association, 3.25%, 07/31/06 3,200 3,183 Total Government Securities (cost $7,183) 7,183 Short Term Investments - 39.2% Certificates of Deposit - 25.0% ABN AMRO Bank, 3.455%, 12/09/05 4,000 4,000 America Express Bank, 3.84%, 12/19/05 4,100 4,100 American Express Centurian Bank, 3.80%, 02/28/06 (g) 2,500 2,500 Barclays Bank, 3.644%, 05/09/06 5,000 4,998 Caylon N. America, 3.455%, 12/30/05 4,200 4,200 Chase Usa, 3.76%, 10/28/05 5,000 5,000 Deutsche Bank AG, 3.53%, 12/12/05 5,500 5,500 Fortis Bank, 3.54%, 12/19/05 5,000 5,000 HBOS Treasury Services Plc, 2.46%, 12/09/05 4,000 4,000 Lloyds TSB, 3.69%, 12/13/05 2,500 2,500 Regions Bank, 3.61%, 10/11/05 3,000 3,000 Regions Bank, 3.76%, 10/21/05 4,000 4,000 Wells Fargo Bank, 3.76%, 10/27/05 5,600 5,600 Westdeutsche, 3.97%, 07/14/06 2,000 2,000 Wilmington Trust Corp., 3.91%, 02/02/06 4,500 4,500 60,898 Insurance - 3.7% MetLife Inc., 3.77%, 05/01/06 (g) 6,000 6,000 Monumental Life Funding Agreement, 3.78%, 10/20/05 3,000 3,000 9,000 Money Market Funds - 0.0% Dreyfus Cash Management Plus Fund, 3.64% (a) 12 12 Repurchase Agreement - 8.8% Repurchase Agreement with Bank of America Securities, 3.83%, (Collateralized by $23,519 Federal National Mortgage Association, 5.00%, due 03/01/35, market Value $23,110) acquired on 09/30/05, due 10/03/05 at $21,500 21,500 21,500 Securities Lending Collateral - 1.7% Mellon GSL Delaware Business Trust Collateral Fund 4,085 4,085 Total Short Term Investments (cost $95,496) 95,496 Commercial Paper - 55.7% Diversified Financial Services - 55.7% Apreco Corp., 3.79%, 11/04/05 4,000 3,986 Chariot Funding LLC, 3.65%, 10/12/05 5,000 4,994 Ciesco LLC, 3.63%, 10/14/05 4,200 4,194 Clipper Receivables, 3.75%, 10/06/05 4,200 4,198 CRC Funding LLC, 3.78%, 11/09/05 4,500 4,482 Dankse Corp., 3.75%, 11/08/05 5,300 5,279 Edison Asset Security Corp., 3.59%, 10/11/05 4,500 4,496 Eureka Securities Plc, 3.76%, 11/07/05 4,500 4,483 Falcon Asset, 3.63%, 10/06/05 4,000 3,998 General Electric Corp., 3.93%, 12/28/05 6,000 5,942 GlaxoSmithKline Plc, 3.56%, 10/12/05 4,000 3,996 Goldman Sachs Group Inc., 3.75%, 10/11/05 4,500 4,495 Greyhawk Funding, 3.75%, 10/18/05 4,000 3,993 International Lease Finance Corp., 3.74%, 10/24/05 6,000 5,986 Jupiter Securities Corp., 3.75%, 10/27/05 3,000 2,992 Mass Mutual, 3.74%, 10/18/05 5,600 5,590 Morgan Stanley, 3.68%, 10/20/05 4,000 3,992 New York Life Capital, 3.74%, 11/03/05 6,000 5,979 New York Times Co., 3.76%, 11/07/05 4,150 4,134 Park Avenue Receivable, 3.64%, 10/19/05 4,200 4,192 Procter & Gamble Co., 3.75%, 10/25/05 2,600 2,594 Procter & Gamble Co., 3.75%, 10/28/05 4,000 3,989 Shell Finance Plc, 3.61%, 11/01/05 5,000 4,984 Societe Generale, 3.63%, 10/24/05 5,000 4,988 Total Capital Corp., 3.57%, 10/11/05 6,000 5,994 Toyota Motor Corp., 3.60%, 10/17/05 4,000 3,994 UBS AG, 3.77%, 11/07/05 6,000 5,977 Windmill Funding Co., 3.63%, 10/04/05 3,000 2,999 Yale University, 3.64%, 11/02/05 4,800 4,784 Yorktown Capital, 3.60%, 10/12/05 4,000 3,996 Total Commercial Paper (cost $135,700) 135,700 Total Investments - 101.4% (cost $246,929) 246,929 Other Assets and Liabilities, Net - (1.4%) (3,398) Total Net Assets - 100% $243,531 JNL/Select Value Fund Common Stocks - 96.2% Aerospace & Defense - 2.6% General Dynamics Corp. 55 $6,623 Airlines - 1.7% Southwest Airlines Co. (l) 297 4,413 Apparel - 1.2% Nike Inc. - Class B 40 3,292 Banks - 11.0% Bank of America Corp. 232 9,780 JPMorgan Chase & Co. 104 3,525 National City Corp. 154 5,156 PNC Financial Services Group Inc. 38 2,193 SunTrust Banks Inc. 35 2,424 US Bancorp. 86 2,420 Wells Fargo & Co. 61 3,591 29,089 Beverages - 1.7% PepsiCo Inc. 81 4,588 Biotechnology - 1.6% Baxter International Inc. 105 4,182 Chemicals - 3.5% Dow Chemical Co. 85 3,529 E.I. Du Pont de Nemours & Co. 105 4,121 Huntsman Corp. (b) 78 1,515 9,165 Cosmetics & Personal Care - 1.0% Kimberly-Clark Corp. 44 2,625 Diversified Financial Services - 6.0% Citigroup Inc. 217 9,855 Goldman Sachs Group Inc. 50 6,091 15,946 Electric - 9.2% Consolidated Edison Inc. (l) 56 2,733 Dominion Resources Inc. 58 5,013 Entergy Corp. 17 1,271 Exelon Corp. 73 3,874 FPL Group Inc. 56 2,685 PPL Corp 81 2,603 SCANA Corp. (l) 55 2,319 Southern Co. 37 1,323 TXU Corp. 22 2,518 24,339 Electrical Components & Equipment - 1.2% Emerson Electric Co. 46 3,267 Food - 3.8% Campbell Soup Co. 89 2,660 Kellogg Co. 99 4,571 Safeway Inc. 108 2,773 10,004 Healthcare - 3.1% Beckman Coulter Inc. 24 1,306 WellPoint Inc. (b) 92 6,938 8,244 Insurance - 5.9% ACE Ltd. 57 2,678 American International Group Inc. 96 5,936 Chubb Corp. 46 4,083 Principal Financial Group 62 2,952 15,649 Machinery - 4.8% Caterpillar Inc. 170 9,958 Rockwell Automation Inc. 53 2,799 12,757 Media - 2.8% Comcast Corp. - Class A (b) 144 4,234 Time Warner Inc. 178 3,224 7,458 Metal Fabrication & Hardware - 1.5% Precision Castparts Corp. 74 3,908 Mining - 3.3% Alcoa Inc. 197 4,806 Cameco Corp. 73 3,911 8,717 Oil & Gas Producers - 11.6% ConocoPhillips 112 7,837 Exxon Mobil Corp. 200 12,733 GlobalSantaFe Corp. 161 7,345 Occidental Petroleum Corp. 33 2,776 30,691 Pharmaceuticals - 3.6% Pfizer Inc. 172 4,287 Wyeth 112 5,182 9,469 Retail - 4.3% CVS Corp. 223 6,472 Dollar General Corp. 130 2,392 McDonald's Corp. 77 2,592 11,456 Savings & Loans - 2.3% Golden West Financial Corp. (l) 83 4,912 Washington Mutual Inc. 29 1,130 6,042 Semiconductors - 2.6% Applied Materials Inc. 156 2,641 Intel Corp. 118 2,916 Lam Research Corp. (b) (l) 45 1,365 6,922 Telecommunications - 4.5% AT&T Corp. 65 1,287 BellSouth Corp. 115 3,035 SBC Communications Inc. 176 4,216 Sprint Nextel Corp. (l) 144 3,424 11,962 Transportation - 0.8% CSX Corp. 44 2,040 Wireless Telecommunications - 0.6% Motorola Inc. 76 1,674 Total Common Stocks (cost $234,364) 254,522 Short Term Investments - 6.9% Money Market Funds - 4.4% Dreyfus Cash Management Plus Fund, 3.64% (a) 11,724 11,724 Securities Lending Collateral - 2.5% Mellon GSL Delaware Business Trust Collateral Fund 6,637 6,637 Total Short Term Investments (cost $18,361) 18,361 Total Investments - 103.1% (cost $252,725) 272,883 Other Assets and Liabilities, Net - (3.1%) (8,329) Total Net Assets - 100% $264,554 JNL/T. Rowe Price Established Growth Fund Common Stocks - 97.8% Agriculture - 1.0% Monsanto Co. 97 $6,087 Apparel - 0.7% Nike Inc. - Class B 52 4,207 Banks - 5.2% Anglo Irish Bank Corp. Plc 395 5,372 Northern Trust Corp. 146 7,401 State Street Corp. 235 11,486 UBS AG 138 11,760 36,019 Beverages - 0.8% Coca-Cola Co. 61 2,622 PepsiCo Inc. 49 2,767 5,389 Biotechnology - 2.3% Amgen Inc. (b) 143 11,385 Genentech Inc. (b) 62 5,196 16,581 Commercial Services - 3.9% Accenture Ltd. (b) 453 11,523 Apollo Group Inc. - Class A (b) 133 8,850 Cendant Corp. (l) 373 7,705 28,078 Computers - 3.4% Affiliated Computer Services Inc. - Class A (b) (l) 85 4,663 Dell Inc. (b) 409 13,991 EMC Corp. (b) 400 5,180 23,834 Cosmetics & Personal Care - 1.1% Gillette Co. 133 7,741 Diversified Financial Services - 9.6% American Express Co. 186 10,701 Ameritrade Holding Corp. (b) 149 3,209 Charles Schwab Corp. 386 5,569 Citigroup Inc. 449 20,427 Countrywide Financial Corp. 83 2,744 Franklin Resources Inc. 52 4,341 Goldman Sachs Group Inc. 29 3,526 Legg Mason Inc. 27 2,962 Merrill Lynch & Co. Inc. 106 6,508 SLM Corp. (l) 158 8,454 68,441 Electrical Components & Equipment - 0.6% Samsung Electronics Co. Ltd. 7 4,001 Food - 0.6% Sysco Corp. 134 4,194 Healthcare - 8.3% Biomet Inc. 138 4,793 Johnson & Johnson 97 6,138 Medtronic Inc. 128 6,837 Quest Diagnostics Inc. 47 2,355 St. Jude Medical Inc. (b) 42 1,980 Stryker Corp. 81 3,999 UnitedHealth Group Inc. 324 18,214 WellPoint Inc. (b) 172 13,056 Zimmer Holdings Inc. (b) 21 1,433 58,805 Home Furnishings - 0.5% Harman International Industries Inc. 37 3,784 Insurance - 4.3% ACE Ltd. 32 1,483 American International Group Inc. 255 15,806 Genworth Financial Inc. - Class A 102 3,279 Hartford Financial Services Group Inc. 97 7,447 Marsh & McLennan Cos. Inc. 88 2,680 30,695 Internet - 2.1% eBay Inc. (b) 35 1,434 Expedia Inc. (b) (l) 47 931 Google Inc. - Class A (b) 19 5,918 Yahoo! Inc. (b) 205 6,950 15,233 Leisure Time - 1.2% Carnival Corp. 171 8,552 Lodging - 0.9% MGM Mirage (b) 40 1,733 Wynn Resorts Ltd. (b) (l) 115 5,170 Machinery - 0.7% Deere & Co. 76 4,676 Manufacturing - 5.6% Danaher Corp. (l) 232 12,483 General Electric Corp. 682 22,976 Tyco International Ltd. 165 4,607 40,066 Media - 5.9% Comcast Corp. - Class A (b) 203 5,845 Discovery Holding Co. (b) 97 1,401 EW Scripps Co. 63 3,153 Liberty Media Corp. - Class A (b) 970 7,809 News Corp Inc. (l) 517 8,052 Rogers Communications Inc. 128 5,042 Time Warner Inc. 294 5,319 Univision Communications Inc. - Class A (b) (l) 213 5,659 42,280 Mining - 0.9% BHP Billiton Ltd. 394 6,677 Oil & Gas Producers - 3.0% Exxon Mobil Corp. 138 8,763 Murphy Oil Corp. 42 2,070 Total SA 39 10,726 21,559 Oil & Gas Services - 2.7% Baker Hughes Inc. 144 8,564 Schlumberger Ltd. 125 10,573 19,137 Pharmaceuticals - 4.4% Caremark Rx Inc. (b) 98 4,883 Gilead Sciences Inc. 137 6,685 Novartis AG 128 6,501 Pfizer Inc. 229 5,726 Roche Holding AG 24 3,389 Sepracor Inc. (b) 43 2,554 Teva Pharmaceutical Industries Ltd. - ADR 47 1,567 31,305 Retail - 8.4% Best Buy Co. Inc. 125 5,425 Home Depot Inc. 200 7,626 Inditex SA 91 2,668 Kohl's Corp. (b) 196 9,820 Petsmart Inc. 136 2,966 Target Corp. 148 7,660 Walgreen Co. 121 5,249 Wal-Mart de Mexico SA de CV - ADR 46 2,355 Wal-Mart de Mexico SA de CV 276 1,407 Wal-Mart Stores Inc. 340 14,881 60,057 Semiconductors - 4.8% Analog Devices Inc. 241 8,951 ASML Holding NV (b) 90 1,474 Intel Corp. 408 10,065 Marvell Tech Group Ltd. (b) 94 4,316 Maxim Integrated Products Inc. 93 3,962 Xilinx Inc. 201 5,598 34,366 Software - 7.0% Automatic Data Processing Inc. 174 7,467 Electronic Arts Inc. 25 1,422 First Data Corp. 131 5,224 Fiserv Inc. (b) 101 4,651 Mercury Interactive Corp. (b) (l) 60 2,388 Microsoft Corp. 835 21,492 Oracle Corp. (b) 569 7,045 Research In Motion Ltd. (b) 6 376 50,065 Telecommunications - 3.1% America Movil SA de CV - Class L 247 6,491 International Game Technology 198 5,349 Sprint Nextel Corp. 244 5,808 TELUS Corp. 42 1,760 TELUS Corp. 64 2,594 22,002 Telecommunications Equipment - 3.6% Cisco Systems Inc. (b) 150 2,697 Corning Inc. (b) 472 9,128 Juniper Networks Inc. (b) (l) 163 3,883 Nokia OYJ 277 4,646 Qualcomm Inc. 120 5,373 25,727 Transportation - 0.1% United Parcel Service Inc. - Class B 14 947 Wireless Telecommunications - 1.1% Crown Castle International Corp. 205 5,059 Vodafone Airtouch Plc 1,026 2,669 7,728 Total Common Stocks (cost $611,207) 695,136 Short Term Investments - 7.7% Money Market Funds - 2.6% Dreyfus Cash Management Plus Fund, 3.64% (a) 3,015 3,015 T.Rowe Price Reserves Investment Fund, 3.80% (a) (n) 14,967 14,967 17,982 Securities Lending Collateral - 5.1% Mellon GSL Delaware Business Trust Collateral Fund 36,558 36,558 Total Short Term Investments (cost $54,540) 54,540 Total Investments - 105.5% (cost $665,747) 749,676 Other Assets and Liabilities, Net - (5.5%) (38,759) Total Net Assets - 100% $710,917 JNL/T. Rowe Price Mid-Cap Growth Fund Common Stocks - 96.2% Advertising - 2.1% Catalina Marketing Corp. 92 $2,101 Getty Images Inc. (b) (l) 22 1,876 Harte-Hanks Inc. 2 58 Lamar Advertising Co. (b) (l) 76 3,438 Monster Worldwide Inc. (b) (l) 123 3,771 Omnicom Group Inc. 4 301 WPP Group Plc 4 195 11,740 Aerospace & Defense - 3.0% Alliant Techsystems Inc. (b) 74 5,524 Empresa Brasileira de Aeronautica SA - ADR 6 235 Goodrich Corp. 87 3,858 Rockwell Collins Inc. 151 7,306 16,923 Agriculture - 0.0% Delta & Pine Land Co. 3 74 Monsanto Co. 2 144 218 Airlines - 1.5% JetBlue Airways Corp. (b) (l) 162 2,851 Skywest Inc. 7 177 Southwest Airlines Co. 369 5,484 8,512 Apparel - 0.0% Coach Inc. (b) 6 185 Auto Manufacturers - 0.8% Oshkosh Truck Corp. 112 4,834 Auto Parts & Equipment - 0.6% TRW Automotive Holdings Corp. (b) 126 3,697 Banks - 0.6% Boston Private Financial Holdings Inc. 4 93 City National Corp. 1 84 East West Bancorp Inc. 3 112 Investors Financial Services Corp. (l) 24 780 Mellon Financial Corp. 7 227 North Fork Bancorp. Inc 4 96 Northern Trust Corp. 8 389 State Street Corp. 8 401 SVB Financial Group (b) (l) 22 1,065 Synovus Financial Corp. 11 302 UCBH Holdings Inc. (l) 7 125 3,674 Beverages - 0.7% Cogent Inc. (b) 68 1,620 Cott Corp. (b) (l) 148 2,620 4,240 Biotechnology - 1.0% Alkermes Inc. (b) (l) 120 2,016 Charles River Laboratories International Inc. (b) 2 105 deCODE genetics Inc. (b) 9 71 Genzyme Corp. 1 100 Human Genome Sciences Inc. (b) (l) 88 1,195 Integra LifeSciences Holdings Corp. (b) 1 50 Invitrogen Corp. (b) (l) 2 113 Martek Biosciences Corp. (b) (l) 2 67 Millennium Pharmaceuticals Inc. (b) 11 104 Millipore Corp. 3 157 Nektar Therapeutics (b) (l) 5 83 Protein Design Labs Inc. (b) (l) 71 1,996 Qiagen NV (b) 11 145 6,202 Building Materials - 0.7% American Standard Cos. Inc. 89 4,143 Trex Co. Inc. (b) (l) 2 46 4,189 Chemicals - 0.1% Ecolab Inc. 2 70 Engelhard Corp. 3 81 Praxair Inc. 2 101 Sigma-Aldrich Corp. (l) 1 64 Symyx Technologies Inc. (b) 2 63 Valspar Corp. 5 121 500 Commercial Services - 7.5% Apollo Group Inc. - Class A (b) 73 4,841 Aramark Corp. 3 80 Career Education Corp. (b) (l) 3 117 Certegy Inc. 144 5,775 ChoicePoint Inc. (b) 140 6,031 Corporate Executive Board Co. 2 179 Dun & Bradstreet Corp. (b) 3 191 Education Management Corp. (b) 97 3,140 Equifax Inc. 3 94 Global Payments Inc. 51 3,987 H&R Block Inc. 3 72 Iron Mountain Inc. (b) (l) 153 5,628 ITT Educational Services Inc. (b) 3 123 Laureate Education Inc. (b) 14 686 LECG Corp. (b) 4 87 Manpower Inc. 115 5,109 MoneyGram International Inc. 178 3,860 Moody's Corp. 8 414 Paychex Inc. 10 356 Robert Half International Inc. 95 3,389 Universal Technical Institute Inc. (b) 3 93 44,252 Computers - 3.3% Affiliated Computer Services Inc. - Class A (b) (l) 2 131 CACI International Inc. - Class A (b) (l) 59 3,575 Check Point Software Technologies (b) 7 173 Cognizant Technology Solutions Corp. (b) 5 238 Diebold Inc. (l) 33 1,137 DST Systems Inc. (b) 112 6,146 Factset Research Systems Inc. (l) 4 137 Jack Henry & Associates Inc. 112 2,177 Lexmark International Inc. (b) 2 147 Mercury Computer Systems Inc. (b) 2 58 NAVTEQ Corp. (b) 111 5,534 Synopsys Inc. (b) 5 93 19,546 Cosmetics & Personal Care - 0.0% Avon Products Inc. 3 81 Distribution & Wholesale - 0.7% CDW Corp. (l) 68 4,024 Diversified Financial Services - 5.7% Ameritrade Holding Corp. (b) 326 6,998 BlackRock Inc. 3 222 CapitalSource Inc. (b) (l) 133 2,899 Charles Schwab Corp. 17 238 E*Trade Financial Corp. (b) 228 4,013 Eaton Vance Corp. 158 3,929 Federated Investors Inc. - Class B 62 2,067 First Horizon National Corp. (l) 2 69 First Marblehead Corp. (l) 2 61 Franklin Resources Inc. 3 243 II-VI Inc. (b) 5 90 Lazard Ltd. - Class A 6 152 Legg Mason Inc. 47 5,205 Nuveen Investments Inc. - Class A 79 3,096 SEI Investments Co. 2 83 Viad Corp. 49 1,340 Waddell & Reed Financial Inc. - Class A (l) 148 2,866 33,571 Electrical Components & Equipment - 0.3% Ametek Inc. 45 1,934 Littelfuse Inc. (b) 3 82 2,016 Electronics - 4.1% Cymer Inc. (b) 3 94 Flextronics International Ltd. (b) 331 4,253 Flir Systems Inc. (b) 115 3,396 Garmin Ltd. (l) 61 4,138 Gentex Corp. 255 4,434 Jabil Circuit Inc. (b) 159 4,913 Symbol Technologies Inc. 11 106 Waters Corp. (b) 66 2,729 24,063 Environmental Control - 0.0% Stericycle Inc. (b) 2 131 Food - 0.5% Hershey Foods Corp. 2 84 McCormick & Co. Inc. 3 88 Tootsie Roll Industries Inc. 3 88 Whole Foods Market Inc. 19 2,555 WM Wrigley Jr Co. 1 79 2,894 Healthcare - 6.9% Arthrocare Corp. (b) (l) 3 125 Bausch & Lomb Inc. 2 161 Becton Dickinson & Co. 2 126 Biomet Inc. 8 260 Community Health Systems Inc. (b) 88 3,415 Cooper Cos Inc. 1 107 Coventry Health Care Inc. (b) 41 3,510 CR Bard Inc. 4 291 DaVita Inc. (b) 44 2,009 Edwards Lifesciences Corp. (b) 79 3,491 Gen-Probe Inc. (b) 46 2,280 Health Management Associates Inc. (l) 123 2,887 Henry Schein Inc. 4 179 Inamed Corp. (b) 21 1,612 Kinetic Concepts Inc (b) 56 3,181 Kyphon Inc. (b) 3 132 Laboratory Corp of America Holdings (b) 105 5,119 Lincare Holdings Inc. (b) 4 144 Manor Care Inc. (l) 151 5,811 Patterson Cos. Inc. (b) 2 88 Quest Diagnostics Inc. 6 323 Resmed Inc. (b) 2 159 Respironics Inc. (b) 3 143 Smith & Nephew Plc - ADR 2 102 St. Jude Medical Inc. (b) 3 145 Sybron Dental Specialties Inc. (b) 2 87 Techne Corp. (b) 3 142 Triad Hospitals Inc. (b) 69 3,124 Varian Medical Systems Inc. (b) 37 1,478 WellChoice Inc. (b) 4 273 Wright Medical Group Inc. (b) 5 116 Zimmer Holdings Inc. (b) (l) 1 62 41,082 Holding Companies - Diversified - 0.0% DeVry Inc. (b) (l) 3 59 Home Builders - 0.1% Centex Corp. 1 65 Lennar Corp. 2 90 Pulte Homes Inc. 2 69 Toll Brothers Inc. (b) 2 98 Winnebago Industries (l) 4 104 426 Home Furnishings - 0.8% Harman International Industries Inc. 44 4,459 Household Products - 0.0% Avery Dennison Corp. (l) 2 79 Insurance - 2.9% AMBAC Financial Group Inc. 2 123 Arch Capital Group Ltd. (b) 1 69 Arthur J Gallagher & Co. 3 95 Assurant Inc. 148 5,633 Axis Capital Holdings Ltd. 125 3,561 Brown & Brown Inc. (l) 2 94 Markel Corp. (b) - 66 Marsh & McLennan Cos. Inc. 3 85 MBIA Inc. (l) 2 115 Principal Financial Group 75 3,553 RenaissanceRe Holdings Ltd. 2 83 Willis Group Holdings Ltd. 92 3,458 16,935 Internet - 3.4% Amazon.Com Inc. (b) (l) 87 3,918 Checkfree Corp. (b) 85 3,215 CNET Networks Inc. (b) (l) 215 2,918 Digital River Inc. (b) (l) 2 52 F5 Networks Inc. (b) 2 74 Internet Security Systems (b) (l) 3 65 KB Home 1 102 Macromedia Inc. (b) 27 1,098 Matrixone Inc (b) - 2 McAfee Inc. (b) 116 3,651 Sina Corp. (b) 3 88 VeriSign Inc. (b) 229 4,894 Websense Inc. (b) (l) 1 67 20,144 Investment Companies - 0.5% Refco Inc. (b) 114 3,217 Leisure Time - 0.9% Brunswick Corp. 124 4,671 Harley-Davidson Inc. 2 78 Royal Caribbean Cruises Ltd. 6 255 Shuffle Master Inc. (b) (l) 4 115 Thor Industries 4 133 WMS Industries Inc. (b) (l) 3 79 5,331 Lodging - 1.3% Boyd Gaming Corp. 8 336 Choice Hotels International Inc. 5 310 Fairmont Hotels & Resorts Inc. 171 5,711 Harrah's Entertainment Inc. 4 280 Hilton Hotels Corp. 5 114 Marriott International Inc. - Class A 5 328 Station Casinos Inc. 7 431 7,511 Machinery - 0.0% IDEX Corp. 2 89 Zebra Technologies Corp (b) 3 102 191 Manufacturing - 4.0% Danaher Corp. 68 3,671 ITT Industries Inc. 38 4,328 Mettler Toledo International Inc. (b) 2 92 Pall Corp. 4 110 Pentair Inc. 77 2,811 Roper Industries Inc. 209 8,227 Teleflex Inc. 67 4,724 23,963 Media - 3.8% Citadel Broadcasting Corp. (b) 309 4,237 Cox Radio Inc. - Class A (b) (l) 80 1,214 Cumulus Media Inc. - Class A (b) 6 69 Discovery Holding Co. (b) 55 794 DreamWorks Animation SKG Inc. (b) 71 1,972 Entercom Communications Corp. 3 82 EW Scripps Co. 2 90 McGraw-Hill Cos. Inc. 2 86 Meredith Corp. (l) 2 105 New York Times Co. - Class A (l) 3 92 Radio One Inc. (b) (l) 8 108 Regent Communications Inc. (b) 17 87 Rogers Communications Inc. 174 6,852 Salem Communications Corp. - Class A (b) 7 133 Scholastic Corp. (b) 13 477 Spanish Broadcasting System - Class A (b) 12 83 Univision Communications Inc. - Class A (b) (l) 136 3,619 Washington Post Co. - 80 Westwood One Inc. 5 93 XM Satellite Radio Holdings Inc. - Class A (b) (l) 55 1,975 22,248 Metal Fabrication & Hardware - 0.0% Precision Castparts Corp. 4 223 Mining - 0.6% Newmont Mining Corp. 79 3,726 Office Furnishings - 0.0% HNI Corp. 2 139 Oil & Gas Producers - 3.8% EOG Resources Inc. 111 8,314 Murphy Oil Corp. 135 6,742 XTO Energy Inc. 170 7,686 22,742 Oil & Gas Services - 3.5% Baker Hughes Inc. 3 197 BJ Services Co. (l) 256 9,221 Cooper Cameron Corp. (b) 5 355 FMC Technologies Inc. (b) 105 4,422 Grant Prideco Inc. (b) 12 467 Smith International Inc. 177 5,909 Weatherford International Ltd. (b) (l) 6 378 20,949 Packaging & Containers - 0.0% Sealed Air Corp. (b) 2 76 Pharmaceuticals - 8.7% Abgenix Inc. (b) (l) 90 1,139 Allergan Inc. 1 119 Amylin Pharmaceuticals Inc. (b) (l) 74 2,581 Andrx Corp (b) 75 1,157 Atherogenics Inc. (b) 6 101 Barr Laboratories Inc. 94 5,162 Caremark Rx Inc. (b) 3 145 Cephalon Inc. (b) (l) 94 4,382 Clegene Corp. (b) (l) 50 2,732 Dentsply International Inc. 3 140 Elan Corp. Plc - ADR (b) (l) 236 2,091 Express Scripts Inc. (b) (l) 4 274 Gilead Sciences Inc. 122 5,934 Medco Health Solutions Inc. (b) 4 225 Medimmune Inc. (b) 256 8,608 Neurocrine Biosciences Inc. (b) 52 2,568 Omnicare Inc. 91 5,139 OSI Pharmaceuticals Inc. (b) 36 1,038 Sepracor Inc. (b) (l) 52 3,079 Taro Pharmaceutical Industries Ltd. (b) (l) 48 1,235 Valeant Pharmaceutical International 68 1,365 Vertex Pharmaceuticals Inc. (b) 103 2,298 51,512 Pipelines - 0.9% Western Gas Resources Inc. 94 4,816 Williams Cos. Inc. 17 413 5,229 Real Estate - 0.5% Wynn Resorts Ltd. (b) (l) 67 3,039 Retail - 5.9% Bed Bath & Beyond Inc. (b) 6 233 Best Buy Co. Inc. 102 4,440 Carmax Inc. (b) (l) 78 2,439 Cheesecake Factory Inc. (b) (l) 101 3,144 Dollar General Corp. 164 3,004 Family Dollar Stores Inc. 131 2,603 Fred's Inc. 3 43 Men's Wearhouse Inc. (b) 3 88 Michaels Stores Inc. 3 83 MSC Industrial Direct Co. - Class A (l) 17 564 O'Reilly Automotive Inc. (b) 127 3,573 Outback Steakhouse Inc. 2 62 Petsmart Inc. 157 3,413 PF Chang's China Bistro Inc. (b) (l) 39 1,748 Ross Stores Inc. 126 2,989 Ruby Tuesday Inc. 3 59 Shoppers Drug Mart Corp. 66 2,333 Staples Inc. 8 160 Tiffany & Co. 7 262 TJX Cos. Inc. 12 246 Williams-Sonoma Inc. (b) (l) 83 3,175 34,661 Semiconductors - 4.5% Altera Corp. (b) 19 363 AMIS Holdings Inc. (b) 113 1,340 Analog Devices Inc. 11 390 Broadcom Corp. - Class A (b) 5 211 Intersil Corp. (l) 209 4,554 KLA-Tencor Corp. 2 112 Lam Research Corp. (b) 3 94 Linear Technology Corp. (l) 12 436 Marvell Tech Group Ltd. (b) 28 1,305 Maxim Integrated Products Inc. 12 490 Microchip Technology Inc. 166 4,997 National Semiconductor Corp. (l) 18 473 Novellus Systems Inc. (b) 147 3,687 PMC - Sierra Inc. (b) 154 1,357 QLogic Corp. (b) 3 109 Semtech Corp. (b) 95 1,570 Silicon Laboratories Inc. (b) (l) 7 216 Xilinx Inc. (l) 176 4,888 26,592 Software - 3.1% Activision Inc. (b) 131 2,686 Adobe Systems Inc. 91 2,704 Cadence Design Systems Inc. (b) (l) 278 4,486 Citrix Systems Inc. (b) 4 103 Cognos Inc. (b) 5 175 Electronic Arts Inc. 2 131 Fair Isaac Corp. 3 143 Filenet Corp. (b) 3 89 Fiserv Inc. (b) 3 156 Hyperion Solutions Corp. (b) 2 92 Intuit Inc. (b) (l) 4 193 Mercury Interactive Corp. (b) 69 2,740 National Instruments Corp. 3 81 Red Hat Inc. (b) (l) 183 3,871 Research In Motion Ltd. (b) 3 226 Salesforce.com Inc. (b) (l) 5 125 THQ Inc. (b) (l) 4 80 18,082 Storage/Warehousing - 0.0% UTI Worldwide Inc. 1 93 Telecommunications - 1.7% International Game Technology 8 203 NeuStar Inc. - Class A (b) 2 74 Nextel Partners Inc. (b) (l) 225 5,658 Plantronics Inc. 2 68 TELUS Corp. 103 4,305 10,308 Telecommunications Equipment - 2.7% Adtran Inc. (l) 115 3,632 Comverse Technology Inc. (b) (l) 77 2,023 Corning Inc. (b) 7 135 Dolby Laboratories Inc. - Class A (b) 94 1,506 Harris Corp. 148 6,186 Juniper Networks Inc. (b) 107 2,534 16,016 Textiles - 0.0% Cintas Corp. 6 226 Toys & Hobbies - 0.0% Mattel Inc. 4 68 Transportation - 0.3% C.H. Robinson Worldwide Inc. 3 218 Expeditors International Washington Inc. (l) 23 1,329 Landstar System Inc. 5 196 1,743 Water - 0.6% Nalco Holding Co. (b) 210 3,543 Wireless Telecommunications - 1.7% American Tower Corp. 159 3,960 Crown Castle International Corp. 251 6,187 10,147 Total Common Stocks (cost $422,373) 570,249 Short Term Investments - 18.2% Money Market Funds - 3.8% Dreyfus Cash Management Plus Fund, 3.64% (a) 4,237 4,237 T.Rowe Price Reserves Investment Fund, 3.80% (a) (n) 18,210 18,210 22,448 Securities Lending Collateral - 14.4% Mellon GSL Delaware Business Trust Collateral Fund 85,295 85,295 Total Short Term Investments (cost $107,742) 107,742 Total Investments - 114.4% (cost $530,115) 677,991 Other Assets and Liabilities, Net - (14.4%) (85,552) Total Net Assets - 100% $592,439 JNL/T. Rowe Price Value Fund Common Stocks - 97.0% Aerospace & Defense - 2.1% Lockheed Martin Corp. 74 $4,535 Raytheon Co. 119 4,532 Rockwell Collins Inc. (l) 46 2,203 11,270 Auto Manufacturers - 0.7% General Motors Corp. (l) 143 4,389 Auto Parts & Equipment - 0.4% TRW Automotive Holdings Corp. (b) 63 1,848 Banks - 7.4% Bank of America Corp. 133 5,603 Fifth Third Bancorp. 158 5,789 JPMorgan Chase & Co. 204 6,920 Mellon Financial Corp. 112 3,587 Royal Bank of Scotland Group Plc 182 5,168 State Street Corp. 139 6,810 US Bancorp. 157 4,400 38,277 Beverages - 2.7% Coca-Cola Co. 160 6,893 Coca-Cola Enterprises Inc. 134 2,619 Heineken NV 140 4,491 14,003 Biotechnology - 0.3% Chiron Corp. 34 1,479 Chemicals - 1.8% Chemtura Corp. 164 2,031 E.I. Du Pont de Nemours & Co. 158 6,193 Hercules Inc. (b) 83 1,014 9,238 Computers - 2.7% Hewlett-Packard Co. 146 4,249 International Business Machines Corp. 84 6,738 Synopsys Inc. (b) 148 2,790 13,777 Cosmetics & Personal Care - 0.4% Avon Products Inc. 79 2,130 Diversified Financial Services - 7.4% American Express Co. 76 4,337 Charles Schwab Corp. 239 3,453 Citigroup Inc. 127 5,784 Fannie Mae 75 3,362 First Horizon National Corp. (l) 113 4,122 Franklin Resources Inc. 23 1,906 Lazard Ltd. - Class A 184 4,650 Merrill Lynch & Co. Inc. 51 3,104 Morgan Stanley 97 5,221 Nuveen Investments Inc. - Class A 68 2,667 38,606 Electric - 2.7% Duke Energy Corp. (l) 111 3,247 FirstEnergy Corp. 74 3,862 NiSource Inc. 235 5,694 Pinnacle West Capital Corp. 27 1,194 13,997 Environmental Control - 1.2% Waste Management Inc. 218 6,231 Food - 2.3% Campbell Soup Co. 105 3,133 General Mills Inc. 97 4,690 Safeway Inc. 61 1,562 Sara Lee Corp. (l) 140 2,644 12,029 Forest Products & Paper - 2.8% Bowater Inc. 180 5,086 International Paper Co. 231 6,896 MeadWestvaco Corp. 91 2,508 14,490 Healthcare - 2.8% Boston Scientific Corp. (b) 208 4,866 Johnson & Johnson 83 5,246 Medtronic Inc. 86 4,595 14,707 Home Furnishings - 0.8% Sony Corp. - ADR 132 4,381 Household Products - 0.6% Clorox Co. 20 1,105 Fortune Brands Inc. 22 1,757 2,862 Insurance - 8.1% Berkshire Hathaway Inc. (b) - 3,772 Cigna Corp. 30 3,524 Genworth Financial Inc. - Class A (l) 186 5,997 Hartford Financial Services Group Inc. (l) 80 6,181 Marsh & McLennan Cos. Inc. 285 8,646 Principal Financial Group (l) 72 3,387 Prudential Financial Inc. 11 763 Radian Group Inc. 14 754 St. Paul Travelers Cos. Inc. 142 6,387 Willis Group Holdings Ltd. 76 2,865 42,276 Iron & Steel - 0.6% Nucor Corp. 51 2,985 Leisure Time - 0.4% Harley-Davidson Inc. (l) 48 2,320 Lodging - 0.9% Fairmont Hotels & Resorts Inc. 135 4,515 Manufacturing - 6.0% Cooper Industries Ltd. - Class A 35 2,441 Eastman Kodak Co. 48 1,173 Eaton Corp. 31 1,989 General Electric Corp. 390 13,114 Honeywell Inernational Inc. 183 6,851 Pall Corp. 31 847 Tyco International Ltd. 167 4,654 31,069 Media - 9.1% Cablevision Systems Corp. - Class A (b) 168 5,137 Comcast Corp. - Class A (b) 228 6,584 Discovery Holding Co. (b) 70 1,004 Dow Jones & Co. Inc. (l) 106 4,060 Liberty Media Corp. - Class A (b) 830 6,684 New York Times Co. - Class A (l) 157 4,683 Pearson Plc 84 978 Reuters Group Plc 197 1,298 Time Warner Inc. 439 7,941 Viacom Inc. - Class B 172 5,671 Walt Disney Co. 131 3,163 47,203 Mining - 0.8% Alcoa Inc. 172 4,193 Oil & Gas Producers - 7.0% Amerada Hess Corp. (l) 15 2,118 ConocoPhillips 71 4,972 Exxon Mobil Corp. 93 5,877 Royal Dutch Shell Plc 97 6,387 Statoil ASA 277 6,858 Total SA - ADR (l) 76 10,349 36,561 Oil & Gas Services - 2.2% Baker Hughes Inc. 81 4,840 Schlumberger Ltd. 79 6,624 11,464 Packaging & Containers - 1.0% Newell Rubbermaid Inc. 225 5,085 Pharmaceuticals - 5.1% Bristol-Myers Squibb Co. 79 1,894 Cardinal Health Inc. 73 4,656 Medimmune Inc. (b) (l) 160 5,374 Merck & Co. Inc. 191 5,197 Schering-Plough Corp. 195 4,107 Wyeth 112 5,191 26,419 Retail - 4.4% Family Dollar Stores Inc. 189 3,761 Federated Department Stores Inc. 14 916 Kohl's Corp. (b) 57 2,840 RadioShack Corp. (l) 225 5,570 TJX Cos. Inc. 257 5,263 Wal-Mart Stores Inc. 107 4,706 23,056 Semiconductors - 1.4% Analog Devices Inc. 94 3,499 Intel Corp. 96 2,364 Texas Instruments Inc. 41 1,397 7,260 Software - 2.7% First Data Corp. 126 5,052 Microsoft Corp. 287 7,379 Oracle Corp. (b) 109 1,353 13,784 Telecommunications - 3.8% Alltel Corp. 40 2,591 International Game Technology 214 5,765 Qwest Communications International Inc. (b) (l) 826 3,385 Sprint Nextel Corp. (l) 273 6,480 TELUS Corp. 43 1,758 19,979 Telecommunications Equipment - 1.2% Nokia OYJ - Class A - ADR 362 6,120 Tobacco - 0.6% Altria Group Inc. 45 3,295 Toys & Hobbies - 0.4% Hasbro Inc. 99 1,953 Transportation - 1.8% CSX Corp. 40 1,841 Union Pacific Corp. 107 7,701 9,542 Wireless Telecommunications - 0.4% Motorola Inc. 94 2,068 Total Common Stocks (cost $446,636) 504,861 Preferred Stocks - 0.7% Auto Manufacturers - 0.3% General Motors Corp., 4.50%, 03/06/32 (b) 59 1,399 Diversified Financial Services - 0.4% Morgan Stanley Group Inc., 5.875%, 10/15/08 (b) 55 2,044 Total Preferred Stocks (cost $3,277) 3,443 Corporate Bonds - 1.2% Airlines - 0.0% Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) 1,030 175 Diversified Financial Services - 0.8% US Bancorp., 2.12%, 08/21/35 (e) (g) (j) (l) 4,070 4,014 Insurance - 0.4% Fortis Insurance, 7.75%, 01/26/08 (e) (j) 1,700 1,900 Total Corporate Bonds (cost $6,709) 6,089 Short Term Investments - 15.1% Money Market Funds - 1.6% Dreyfus Cash Management Plus Fund, 3.64% (a) 2,987 2,987 T.Rowe Price Reserves Investment Fund, 3.80% (a) (n) 5,011 5,011 7,998 Securities Lending Collateral - 13.5% Mellon GSL Delaware Business Trust Collateral Fund 70,347 70,347 Total Short Term Investments (cost $78,345) 78,345 Total Investments - 114.0% (cost $534,967) 592,738 Other Assets and Liabilities, Net - (14.0%) (72,969) Total Net Assets - 100% $519,769
JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 -------------------------------------------------------------------------------- (a) Dividend yield changes daily to reflect current market conditions. Rate is the quoted yield as of September 30, 2005. (b) Non-income producing security. (c) Investment purchased on a when-issued basis. As of September 30, 2005, 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 Bond Fund, JNL/Salomon Brothers High Yield Bond Fund, JNL/Salomon Brothers Strategic Bond Fund, JNL/Salomon Brothers U.S. Government & Quality Bond Fund and JNL/Select Balanced Fund are: $22,962; $165,312; $475; $98,241; $81,628; and $12,398, 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 September 30, 2005, the market value, in thousands, of 144A or other restricted securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International Equity Fund, JNL/Mellon Capital Management Bond Index Fund, JNL/Oppenheimer Global Growth Fund, JNL/PIMCO Total Return Bond 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: $82; $711; $498; $151; $10,186; $30,573; $15,618; $5,639; $2,061; $1,300 and $6,089, 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 September 30, 2005. (h) Coupon payment periodically increases over the life of the security. Rate is in effect as of September 30, 2005. (i) Security is in default. (j) Convertible security. (k) Zero coupon security. Rate stated is the effective yield as of September 30, 2005. (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. (p) Security fair valued in good faith in accordance with the procedures established by the Board of Trustees. 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 (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005
SCHEDULE OF OPTIONS WRITTEN: ---------------------------------------------------------------------------------------------------------------------------- EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000'S) JNL/PIMCO Total Return Bond Fund U.S. 5-Year Treasury Note Future Call Option 11/22/2005 $ 108.50 8 $ (1) U.S. 5-Year Treasury Note Future Call Option 11/22/2005 109.00 69 (3) U.S. 5-Year Treasury Note Future Put Option 11/22/2005 107.00 33 (20) U.S. 10-Year Treasury Note Future Call Option 11/22/2005 112.00 16 (2) U.S. 10-Year Treasury Note Future Call Option 11/22/2005 114.00 134 (4) U.S. 10-Year Treasury Note Future Put Option 11/22/2005 108.00 20 (4) U.S. 10-Year Treasury Note Future Put Option 11/22/2005 109.00 147 (67) Call Swaption, 6 month Yen versus 1.00% fixed 11/30/2005 n/a 5 (4) Japanese 10-Year Government Bond Future Call Option 11/30/2005 140.00 1 (1) U.S. 10-Year Treasury Note Future Call Option 12/22/2005 113.00 17 (3) U.S. 10-Year Treasury Note Future Put Option 12/22/2005 107.00 17 (4) Eurodollar Future Put Option 12/18/2006 95.25 48 (34) Put Swaption, 6 month LIBOR versus 4.50% fixed 12/20/2006 n/a 103 (52) ------------ $ (199) ============ SUMMARY OF WRITTEN CALL OPTIONS (in thousands except contracts): ----------------------------------------------------------------------------------------------------------------------------------- NUMBER OF CONTRACTS PREMIUMS JNL/PIMCO Total Return Bond Fund Options outstanding at December 31, 2004 466 $ 192 Options written during the period 1,940 667 Options closed during the period (6) (13) Options exercised during the period (27) (7) Options expired during the period (1,755) (657) ------------ ------------- Options outstanding at September 30, 2005 618 $ 182 ============ ============= JNL/Putnam Equity Fund Options outstanding at December 31, 2004 2,273 $ 3 Options written during the period 46,239 32 Options closed during the period (1,912) (1) Options exercised during the period (5,060) (4) Options expired during the period (41,540) (30) ------------ ------------- Options outstanding at September 30, 2005 - $ - ============ ============= JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) SEPTEMBER 30, 2005 SUMMARY OF SWAP AGREEMENTS : ------------------------------------------------------------------------------------------------------------------------------------ UNREALIZED NOTIONAL AMOUNT APPRECIATION/(DEPRECIATION) JNL/PIMCO Total Return Bond Fund Barclay's Capital Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/15/07 $ 7,000 GBP $ (3) Receive fixed rate equal to 2.10% and pay floating rate based on French CPI Exchange Tobacco, 10/15/10 2,700 EUR 4 Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 12/15/10 11,000 (67) Receive fixed rate equal to 5.00% and pay floating rate based on 6 month LIBOR, 06/16/11 5,400 GBP 158 Goldman Sachs Capital Markets, L.P. Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 12/15/10 400 1 Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 29,100 JPY (31) Receive fixed rate equal to 5.00% and pay floating rate based on 3 month LIBOR, 12/15/15 400 1 Lehman Brothers Special Financing, Inc. Receive fixed rate equal to 4.50% and pay floating rate based on 6 month EURIBOR, 09/20/09 3,800 GBP (4) Morgan Stanley Capital Services Inc. Receive fixed rate equal to 4.00% and pay floating rate based on 3 month LIBOR, 12/15/10 2,100 (14) Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 30,000 JPY (42) UBS Warburg AG Receive floating rate based on 6 month LIBOR and pay fixed rate equal to 2.00%, 06/15/12 80,000 JPY (147) ----------------- $ (144) ================= JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 SUMMARY OF INVESTMENTS BY COUNTRY: ------------------------------------------------------------------------------------------------------------------------------------ JNL/Mellon JNL/FMR JNL/ JNL/ Capital JNL/ JNL/Select JNL/Select JNL/T.Rowe JNL/T.Rowe Capital JPMorgan JPMorgan Management Oppenheimer Global Large Cap Price Price Growth International International International Global Growth Growth Growth Established Value Fund Equity Fund Value Fund Index Fund Fund Fund Fund Growth Fund Fund ------------------------------------------------------------------------------------------------------------------------------------ Australia - % 1.3 % 1.6 % 5.3 % 0.6 % - % - % 0.9 % - % Austria - - - 0.4 - - - - - Belgium - 2.0 - 1.3 - - - - - Bermuda 0.6 - - - - - - 1.6 0.9 Brazil 1.5 1.9 3.0 - 2.2 1.1 1.3 - - Canada 6.0 - - - 2.1 5.6 5.8 1.4 1.2 China - - - - - 0.5 - - - Denmark - - - 0.8 - - - - - Finland 1.8 1.4 1.1 1.4 0.5 - - 0.7 1.2 France - 11.5 9.9 9.1 6.8 3.6 1.4 1.5 2.0 Germany - 5.9 10.5 6.6 3.4 5.9 - - - Greece 0.8 - 2.0 0.6 - - - - - Hong Kong 2.1 0.5 1.6 1.7 1.4 1.6 - - - Hungary - - 1.0 - - - - - - India - - - - 2.9 - - - - Ireland - 0.8 - 0.8 0.5 0.7 - 0.8 - Israel - - - - - 1.0 - 0.2 - Italy - 5.2 4.9 3.7 0.5 0.9 - - - Japan - 21.8 22.3 22.9 10.0 11.9 - - 0.8 Luxembourg - - 1.3 0.2 - 1.3 - - - Mexico 0.1 0.8 - - 1.8 1.4 1.3 1.4 - Netherlands - 4.8 5.7 4.5 2.2 - - 0.2 2.1 New Zealand - - - 0.2 - - - - - Norway - - - 0.7 0.5 - - - 1.3 Philippines 1.0 - - - - - - - - Portugal - - - 0.3 0.3 - - - - Russia - - 1.3 - - - - - - Singapore - - - 0.8 0.4 - - - - South Africa - - - - - 1.1 - - - South Korea - 1.0 2.1 - 2.6 1.1 - 0.6 - Spain - 2.3 2.5 3.8 - 1.0 - 0.4 - Sweden - 1.1 1.4 2.3 5.1 1.1 - - - Switzerland - 11.4 3.0 6.4 2.8 5.2 - 3.0 - Taiwan - - - - 0.6 1.8 - - - United Kingdom 0.5 25.6 23.0 23.1 12.3 11.4 4.6 0.4 1.4 United States 85.6 0.7 1.8 3.1 40.0 41.8 85.6 86.9 89.1 --------------------------------------------------------------------------------------------------------------------- Total Investments 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% ===================================================================================================================== JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS) SEPTEMBER 30, 2005 SUMMARY OF OPEN CURRENCY CONTRACTS: -------------------------------------------------------------------------------------------------------------------------- CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/FMR Balanced Fund CAD/USD 10/3/2005 11 CAD $ 10 $ - EUR/USD 10/3/2005 8 EUR 9 - USD/CAD 10/3/2005 (2) CAD (1) - USD/CAD 10/4/2005 (5) CAD (4) - USD/CAD 10/4/2005 (1) CAD - --------------------- -------------------- $ 14 $ - ===================== ==================== JNL/FMR Capital Growth Fund HKD/USD 10/3/2005 20 HKD $ 3 $ - HKD/USD 10/4/2005 33 HKD 4 - - --------------------- -------------------- $ 7 $ - ===================== ==================== JNL/JPMorgan International Value Fund AUD/GBP 11/21/2005 1,033 AUD $ 786 $ 23 AUD/JPY 11/21/2005 1,337 AUD 1,017 8 AUD/SGD 11/21/2005 621 AUD 472 (1) AUD/USD 11/21/2005 8,574 AUD 6,522 69 CHF/USD 11/21/2005 2,499 CHF 1,939 (72) EUR/CHF 11/21/2005 (2,680)EUR (2,080) 12 EUR/GBP 11/21/2005 820 EUR 987 1 EUR/JPY 11/21/2005 1,047 EUR 1,261 22 EUR/USD 11/21/2005 4,184 EUR 5,041 (85) GBP/AUD 11/21/2005 (1,616)GBP (1,229) (8) GBP/EUR 11/21/2005 (1,475)GBP (1,777) 9 GBP/USD 11/21/2005 6,672 GBP 11,757 (243) HKD/USD 10/4/2005 3,919 HKD 505 - JPY/USD 11/21/2005 563,891 JPY 4,995 (146) NOK/USD 11/21/2005 4,545 NOK 696 (17) SEK/EUR 11/21/2005 (797)SEK (960) 2 SEK/GBP 11/21/2005 (229)SEK (404) - SEK/USD 11/21/2005 33,066 SEK 4,280 (73) SGD/AUD 11/21/2005 (686)SGD (522) (1) SGD/USD 11/21/2005 5,066 SGD 3,000 (61) USD/CHF 11/21/2005 (2,221)CHF (1,724) 43 USD/EUR 11/21/2005 (19,542)EUR (23,541) 510 USD/GBP 11/21/2005 (1,057)GBP (1,862) 43 USD/HKD 11/21/2005 (3,919)HKD (505) - USD/JPY 11/21/2005 (934,060)JPY (8,274) 269 USD/SGD 11/21/2005 (2,403)SGD (1,423) 6 --------------------- -------------------- $ (1,043) $ 310 ===================== ==================== JNL/Mellon Capital Management International Index Fund EUR/USD 12/15/2005 4,015 EUR $ 4,843 $ (151) EUR/USD 12/15/2005 272 EUR 328 - GBP/USD 12/15/2005 2,723 GBP 4,797 (167) JPY/USD 12/15/2005 327,133 JPY 2,906 (87) USD/EUR 12/15/2005 (2,714)EUR (3,273) 107 USD/GBP 12/15/2005 (1,557)GBP (2,743) 104 USD/JPY 12/15/2005 (204,600)JPY (1,818) 49 --------------------- -------------------- $ 5,040 $ (145) ===================== ==================== CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS) JNL/Oppenheimer Global Growth Fund JPY/USD 10/3/2005 105,634 JPY $ 931 $ (6) USD/CAD 10/3/2005 (6)CAD (6) - ---------------------- ---------------------- 925 (6) ====================== ====================== JNL/PIMCO Total Return Bond Fund CPL/USD 2/2/2006 11,392 CLP $ 21 $ 1 CLP/USD 2/16/2006 110,252 CLP 208 4 INR/USD 3/20/2006 6,446 INR 146 - JPY/USD 10/18/2005 763,621 JPY 6,738 (208) KRW/USD 1/26/2006 160,800 KRW 154 (3) KRW/USD 2/24/2006 88,000 KRW 84 (2) KRW/USD 3/21/2006 118,000 KRW 113 (2) MXN/USD 2/28/2006 406 MXN 37 1 MXN/USD 3/23/2006 1,123 MXN 102 1 PEN/USD 2/22/2006 260 PEN 78 (2) PEN/USD 3/13/2006 350 PEN 105 (1) RUB/USD 1/31/2006 2,119 RUB 75 1 RUB/USD 2/13/2006 2,153 RUB 76 - RUB/USD 3/22/2006 3,058 RUB 108 - SGD/USD 1/26/2006 126 SGD 75 (2) SGD/USD 2/24/2006 129 SGD 77 (1) SGD/USD 3/20/2006 171 SGD 102 (1) SKK/USD 3/2/2006 2,466 SKK 77 (1) SKK/USD 3/27/2006 3,350 SKK 104 (2) TWD/USD 2/24/2006 2,510 TWD 76 (2) TWD/USD 3/21/2006 3,331 TWD 102 - USD/CAD 10/13/2005 (709)CAD (610) (13) USD/EUR 11/8/2005 (9,726)EUR (11,708) 5 ---------------------- ---------------------- $ (3,660) $ (227) ====================== ====================== JNL/Select Global Growth Fund GBP/USD 10/3/2005 110 GBP $ 194 $ - HKD/USD 10/3/2005 3,020 HKD 389 - HKD/USD 10/4/2005 1,460 HKD 188 - JPY/USD 10/3/2005 59,094 JPY 521 (1) JPY/USD 10/4/2005 87,109 JPY 767 (3) JPY/USD 10/5/2005 10,510 JPY 93 - USD/CHF 10/3/2005 (1,615)CHF (1,247) 1 ZAR/USD 10/3/2005 867 ZAR 136 - ZAR/USD 10/4/2005 1,501 ZAR 236 3 ---------------------- ---------------------- $ 1,277 $ - ====================== ====================== JNL SERIES TRUST (UNAUDITED) NOTES TO THE SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS): -------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------- CONTRACTS UNREALIZED LONG/ APPRECIATION/ (SHORT) (DEPRECIATION) JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund S&P 500 Index Future Expiration December 2005 5 $ 3 =================== =================== JNL/Mellon Capital Management International Index Fund Dow Jones Euro Stoxx 50 Future Expiration December 2005 77 $ 66 FTSE 100 Index Future Expiration December 2005 29 37 Tokyo Price Index Future Expiration December 2005 17 136 ------------------- ------------------- $ 239 =================== =================== JNL/Mellon Capital Management S&P 400 MidCap Index Fund S&P MidCap 400 E-Mini Future Expiration December 2005 106 $ 24 =================== =================== JNL/Mellon Capital Management S&P 500 Index Fund S&P 500 E-Mini Future Expiration December 2005 163 $ (15) =================== =================== JNL/Mellon Capital Management Small Cap Index Fund Russell 2000 Mini Index Future Expiration December 2005 131 $ (39) =================== =================== ------------------------------------------------------------------------------------------------------ UNREALIZED NOTIONAL APPRECIATION/ AMOUNT (DEPRECIATION) JNL/PIMCO Total Return Bond Fund Eurodollar Future Expiration March 2006 288,000 USD $ (369) Eurodollar Future Expiration June 2006 548,000 USD (382) Eurodollar Future Expiration September 2006 42,000 USD (31) Sterling Interest Rate Future Expiration December 2006 (9,000)GBP (2) U.S. Treasury Note Future, 5-Year, 6.00%, Expiration December 2005 36,100 USD (215) --------------------- --------------------- $ (999) ===================== ===================== JNL/Salomon Brothers Strategic Bond Fund U.S. Treasury Note Future, 2-Year, 6.00%, Expiration December 2005 $ 8,200 $ (6) U.S. Treasury Note Future, 5-Year, 6.00%, Expiration December 2005 (9,600) 123 U.S. Treasury Note Future, 10-Year, 6.00%, Expiration December 2005 (12,600) 84 --------------------- --------------------- $ 201 ===================== ===================== JNL/Salomon Brothers U.S. Government & Quality Bond Fund U.S. Treasury Note Future, 5-Year, 6.00%, Expiration December 2005 $ 12,100 $ (156) U.S. Treasury Note Future, 10-Year, 6.00%, Expiration December 2005 1,300 (12) --------------------- --------------------- $ (168) ===================== ===================== FEDERAL INCOME TAX MATTERS - As of September 30, 2005, 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 $ 301,295 $ 43,796 $ (4,375) $ 39,421 JNL/AIM Real Estate Fund 64,707 4,440 (452) 3,988 JNL/AIM Small Cap Growth Fund 42,509 8,724 (1,832) 6,892 JNL/Alger Growth Fund 222,395 25,490 (5,049) 20,441 JNL/Eagle Core Equity Fund 228,730 18,136 (7,626) 10,510 JNL/Eagle SmallCap Equity Fund 127,129 39,184 (6,004) 33,180 JNL/FMR Balanced Fund 111,027 15,918 (4,059) 11,859 JNL/FMR Capital Growth Fund 198,830 28,982 (8,590) 20,392 JNL/Franklin Templeton Small Cap Value Fund 62,922 5,596 (1,661) 3,935 JNL/Goldman Sachs Mid Cap Value Fund 72,511 6,782 (1,167) 5,615 JNL/JPMorgan International Equity Fund 173,213 22,240 (6,473) 15,767 JNL/JPMorgan International Value Fund 176,531 27,870 (2,251) 25,619 JNL/Lazard Mid Cap Value Fund 209,131 20,616 (8,473) 12,143 JNL/Lazard Small Cap Value Fund 181,062 24,110 (7,702) 16,408 JNL/Mellon Capital Management Bond Index Fund 209,983 1,183 (2,256) (1,073) JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 57,616 5,750 (2,814) 2,936 JNL/Mellon Capital Management International Index Fund 225,669 37,131 (4,683) 32,448 JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund 228,970 49,307 (11,935) 37,372 JNL/Mellon Capital Management S&P 500 Index Fund 364,131 56,240 (19,557) 36,683 JNL/Mellon Capital Management Small Cap Index Fund 198,698 41,891 (15,540) 26,351 JNL/Oppenheimer Global Growth Fund 217,156 57,572 (5,062) 52,510 JNL/Oppenheimer Growth Fund 23,163 3,270 (657) 2,614 JNL/PIMCO Total Return Bond Fund 700,483 5,669 (5,258) 411 JNL/Putnam Equity Fund 150,494 15,594 (7,390) 8,204 JNL/Putnam Midcap Growth Fund 29,613 5,365 (688) 4,677 JNL/Putnam Value Equity Fund 173,004 26,022 (10,292) 15,730 JNL/S&P Managed Aggressive Growth Fund 646,849 89,804 (83,332) 6,472 JNL/S&P Managed Conservative Fund 69,641 1,318 (121) 1,197 JNL/S&P Managed Growth Fund 962,949 120,735 (45,487) 75,248 JNL/S&P Managed Moderate Fund 121,823 3,541 (183) 3,358 JNL/S&P Managed Moderate Growth Fund 744,826 72,889 (14,448) 58,441 JNL/Salomon Brothers High Yield Bond Fund 264,992 8,267 (8,837) (570) JNL/Salomon Brothers Strategic Bond Fund 407,959 6,716 (6,140) 576 JNL/Salomon Brothers U.S. Government & Quality Bond Fund 292,410 3,497 (2,420) 1,077 JNL/Select Balanced Fund 380,175 36,567 (10,832) 25,735 JNL/Select Global Growth Fund 170,042 19,621 (2,567) 17,054 JNL/Select Large Cap Growth Fund 195,178 24,028 (4,368) 19,660 JNL/Select Money Market Fund 242,844 - - - JNL/Select Value Fund 246,324 26,950 (7,028) 19,922 JNL/T. Rowe Price Established Growth Fund 634,447 104,722 (26,051) 78,671 JNL/T. Rowe Price Mid-Cap Growth Fund 448,470 166,944 (22,718) 144,226 JNL/T. Rowe Price Value Fund 468,011 80,071 (25,691) 54,380
ITEM 2. CONTROLS AND PROCEDURES (a) EVALUATION OF DISCLOSURE CONTROLS AND PROCEDURES. The Registrant maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in the Registrant's filings under the Securities Exchange Act of 1934 and the Investment Company Act of 1940 is recorded, processed, summarized and reported within the periods specified in the rules and forms of the Securities and Exchange Commission. Such information is accumulated and communicated to the Registrant's management, including its principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. The Registrant's management, including the principal executive officer and the principal financial officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. Within 90 days prior to the filing date of this Quarterly Schedule of Portfolio Holdings on Form N-Q, the Registrant had carried out an evaluation, under the supervision and with the participation of the Registrant's management, including the Registrant's principal executive officer and the Registrant's principal financial officer, of the effectiveness of the design and operation of the Registrant's disclosure controls and procedures. Based on such evaluation, the Registrant's principal executive officer and principal financial officer concluded that the Registrant's disclosure controls and procedures are effective. (b) CHANGES IN INTERNAL CONTROLS. There have been no significant changes in the Registrant's internal controls or in other factors that could significantly affect the internal controls subsequent to the date of their evaluation in connection with the preparation of this Quarterly Schedule of Portfolio Holdings on Form N-Q. ITEM 3. EXHIBITS Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. JNL Series Trust By: /s/ Robert A. Fritts -------------------------- Robert A. Fritts President and Chief Executive Officer Date: November 18, 2005 By: /s/ Mark D. Nerud -------------------------- Mark D. Nerud Vice President, Treasurer and Chief Financial Officer Date: November 18, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Robert A. Fritts -------------------------- Robert A. Fritts President and Chief Executive Officer Date: November 18, 2005 By: /s/ Mark D. Nerud -------------------------- Mark D. Nerud Vice President, Treasurer and Chief Financial Officer Date: November 18, 2005