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TRANSAMERICA PARTNERS VARIABLE TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS Annual Report December 31, 2008 International Equity Small Core Growth Large Growth Intermediate/Long Horizon Large Core Large Value Balanced Intermediate Horizon Calvert High Yield Bond Short Horizon Core Bond Inflation-Protected Securities High Quality Bond Money Market |
1
AN EXPLANATION OF FUND EXPENSES
(Unaudited)
Expenses Paid | Expenses Paid | |||||||||||||||||||||||||||||
Ending Account | During the Period | Ending Account | During the Period | |||||||||||||||||||||||||||
Beginning Account | Value | July 1, 2008- | Value | July 1, 2008- | Annualized | |||||||||||||||||||||||||
Value | December 31, | December 31, | December 31, | December 31, | Expense | |||||||||||||||||||||||||
Subaccount | July 1, 2008 | 2008(1) | 2008(1)(2)(3) | 2008(4) | 2008(2)(3)(4) | Ratio(2) | ||||||||||||||||||||||||
Short Horizon | $ | 1,000 | $ | 908.87 | $ | 0.96 | $ | 1,024.13 | $ | 1.02 | 0.20 | % | ||||||||||||||||||
Intermediate Horizon | 1,000 | 792.23 | 0.90 | 1,024.13 | 1.02 | 0.20 | ||||||||||||||||||||||||
Intermediate/Long Horizon | 1,000 | 735.31 | 0.87 | 1,024.13 | 1.02 | 0.20 | ||||||||||||||||||||||||
(1) | Based on actual returns and expenses. | |
(2) | These figures exclude fees and expenses of the underlying investments in TPVF. | |
(3) | Expenses are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, divided by 366, multiplied by 184 (to reflect the one-half year period). | |
(4) | Based on hypothetical 5% annual returns before actual expenses. |
2
SHORT HORIZON
December 31, 2008
Assets: | ||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 9,451,808 | ||
Cash | — | |||
Receivable for units sold | 67,317 | |||
Receivable for securities sold | — | |||
Total assets | 9,519,125 | |||
Liabilities: | ||||
Due to Custodian | — | |||
Payable for units redeemed | 4,103 | |||
Payable for securities purchased | 63,214 | |||
Accrued investment advisory fees | 1,673 | |||
Total liabilities | 68,990 | |||
Net assets | $ | 9,450,135 | ||
Net assets consist of: | ||||
Cost of accumulation units | $ | 7,776,575 | ||
Undistributed (accumulated) net investment income (loss) | (165,087 | ) | ||
Undistributed (accumulated) net realized gains (losses) | 2,232,345 | |||
Net unrealized appreciation (depreciation) on investments | (393,698 | ) | ||
Net assets | $ | 9,450,135 | ||
Accumulation units | 644,661 | |||
Unit value | $ | 14.66 | ||
Investments in affiliates, at cost | $ | 9,845,506 | ||
Investment advisory fees (Note 3) | $ | (21,681 | ) | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||
Net realized gains (losses) on investments in affiliates | 592,873 | |||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (1,723,348 | ) | ||
Net realized and unrealized gains (losses) on investments in affiliates | (1,130,475 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (1,152,156 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Investment advisory fees | $ | (21,681 | ) | $ | (21,447 | ) | ||
Net realized gains (losses) on investments in affiliates | 592,873 | 242,773 | ||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (1,723,348 | ) | 249,785 | |||||
Net increase (decrease) in net assets resulting from operations | (1,152,156 | ) | 471,111 | |||||
From unit transactions: | ||||||||
Units sold | 4,786,093 | 3,890,370 | ||||||
Units redeemed | (5,280,703 | ) | (3,469,492 | ) | ||||
Net increase (decrease) in net assets resulting from unit transactions | (494,610 | ) | 420,878 | |||||
Total increase (decrease) in net assets | (1,646,766 | ) | 891,989 | |||||
Net assets: | ||||||||
Beginning of year | 11,096,901 | 10,204,912 | ||||||
End of year | $ | 9,450,135 | $ | 11,096,901 | ||||
Units outstanding beginning of year | 681,662 | 654,393 | ||||||
Units sold | 302,679 | 245,586 | ||||||
Units redeemed | (339,680 | ) | (218,317 | ) | ||||
Units outstanding end of year | 644,661 | 681,662 | ||||||
3
INTERMEDIATE HORIZON
December 31, 2008
Assets: | ||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 21,993,767 | ||
Cash | — | |||
Receivable for units sold | 10,868 | |||
Receivable for securities sold | 133,078 | |||
Total assets | 22,137,713 | |||
Liabilities: | ||||
Due to Custodian | — | |||
Payable for units redeemed | 143,946 | |||
Payable for securities purchased | — | |||
Accrued investment advisory fee | 3,860 | |||
Total liabilities | 147,806 | |||
Net assets | $ | 21,989,907 | ||
Net assets consist of: | ||||
Cost of accumulation units | $ | 20,587,999 | ||
Undistributed (accumulated) net investment income (loss) | (488,746 | ) | ||
Undistributed (accumulated) net realized gains (losses) | 5,173,016 | |||
Net unrealized appreciation (depreciation) on investments | (3,282,362 | ) | ||
Net assets | $ | 21,989,907 | ||
Accumulation units | 1,633,325 | |||
Unit value | $ | 13.46 | ||
Investments in affiliates, at cost | $ | 25,276,129 | ||
Investment advisory fees (Note 3) | $ | (56,271 | ) | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||
Net realized gains (losses) on investments in affiliates | 2,214,327 | |||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (10,272,210 | ) | ||
Net realized and unrealized gains (losses) on investments in affiliates | (8,057,883 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (8,114,154 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Investment advisory fees | $ | (56,271 | ) | $ | (63,294 | ) | ||
Net realized gains (losses) on investments in affiliates | 2,214,327 | 198,466 | ||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (10,272,210 | ) | 1,124,330 | |||||
Net increase (decrease) in net assets resulting from operations | (8,114,154 | ) | 1,259,502 | |||||
From unit transactions: | ||||||||
Units sold | 6,324,573 | 6,971,209 | ||||||
Units redeemed | (8,803,875 | ) | (5,603,555 | ) | ||||
Net increase (decrease) in net assets resulting from unit transactions | (2,479,302 | ) | 1,367,654 | |||||
Total increase (decrease) in net assets | (10,593,456 | ) | 2,627,156 | |||||
Net assets: | ||||||||
Beginning of year | 32,583,363 | 29,956,207 | ||||||
End of year | $ | 21,989,907 | $ | 32,583,363 | ||||
Units outstanding beginning of year | 1,794,207 | 1,717,863 | ||||||
Units sold | 389,711 | 387,964 | ||||||
Units redeemed | (550,593 | ) | (311,620 | ) | ||||
Units outstanding end of year | 1,633,325 | 1,794,207 | ||||||
4
INTERMEDIATE/LONG HORIZON
December 31, 2008
Assets: | ||||
Investments in affiliates, at value (Notes 1 and 2) | $ | 33,458,530 | ||
Cash | — | |||
Receivable for units sold | 11,378 | |||
Receivable for securities sold | 63,952 | |||
Total assets | 33,533,860 | |||
Liabilities: | ||||
Due to Custodian | — | |||
Payable for units redeemed | 75,330 | |||
Payable for securities purchased | — | |||
Accrued investment advisory fees | 5,766 | |||
Total liabilities | 81,096 | |||
Net assets | $ | 33,452,764 | ||
Net assets consist of: | ||||
Cost of accumulation units | $ | 35,732,375 | ||
Undistributed (accumulated) net investment income (loss) | (692,997 | ) | ||
Undistributed (accumulated) net realized gains (losses) | 6,428,513 | |||
Net unrealized appreciation (depreciation) on investments | (8,015,127 | ) | ||
Net assets | $ | 33,452,764 | ||
Accumulation units | 2,596,241 | |||
Unit value | $ | 12.89 | ||
Investments in affiliates, at cost | $ | 41,473,657 | ||
Investment advisory fees (Note 3) | $ | (87,849 | ) | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | ||||
Net realized gains (losses) on investments in affiliates | 2,836,963 | |||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (19,435,674 | ) | ||
Net realized and unrealized gains (losses) on investments in affiliates | (16,598,711 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (16,686,560 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Investment advisory fees | $ | (87,849 | ) | $ | (103,143 | ) | ||
Net realized gains (losses) on investments in affiliates | 2,836,963 | 321,871 | ||||||
Change in net unrealized appreciation (depreciation) on investments in affiliates | (19,435,674 | ) | 1,661,060 | |||||
Net increase (decrease) in net assets resulting from operations | (16,686,560 | ) | 1,879,788 | |||||
From unit transactions: | ||||||||
Units sold | 7,759,794 | 11,094,717 | ||||||
Units redeemed | (10,324,144 | ) | (7,564,308 | ) | ||||
Net increase (decrease) in net assets resulting from unit transactions | (2,564,350 | ) | 3,530,409 | |||||
Total increase (decrease) in net assets | (19,250,910 | ) | 5,410,197 | |||||
Net assets: | ||||||||
Beginning of year | 52,703,674 | 47,293,477 | ||||||
End of year | $ | 33,452,764 | $ | 52,703,674 | ||||
Units outstanding beginning of year | 2,731,348 | 2,548,307 | ||||||
Units sold | 486,824 | 576,621 | ||||||
Units redeemed | (621,931 | ) | (393,580 | ) | ||||
Units outstanding end of year | 2,596,241 | 2,731,348 | ||||||
5
SHORT HORIZON
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Investments | ||||||||
134,264 | Transamerica Partners Variable Funds — Core Bond | $ | 4,359,424 | |||||
98,276 | Transamerica Partners Variable Funds — High Quality Bond | 1,523,687 | ||||||
71,453 | Transamerica Partners Variable Funds — High Yield Bond | 951,563 | ||||||
63,698 | Transamerica Partners Variable Funds — Inflation-Protected Securities | 1,380,638 | ||||||
13,832 | Transamerica Partners Variable Funds — International Equity | 201,483 | ||||||
8,246 | Transamerica Partners Variable Funds — Large Growth | 277,539 | ||||||
8,825 | Transamerica Partners Variable Funds — Large Value | 307,370 | ||||||
11,781 | Transamerica Partners Variable Funds — Money Market | 248,460 | ||||||
8,617 | Transamerica Partners Variable Funds — Small Core | 201,644 | ||||||
Total Investments — 100.0% (Cost $9,845,506) | 9,451,808 | |||||||
Liabilities less other assets — (0.0)%* | (1,673 | ) | ||||||
Net Assets — 100.0% | $ | 9,450,135 | ||||||
Gross unrealized appreciation | $ | 186,010 | ||
Gross unrealized depreciation | (579,708 | ) | ||
Net unrealized depreciation | $ | (393,698 | ) | |
* | Amount rounds to less than (0.05)% |
6
INTERMEDIATE HORIZON
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Investments | ||||||||
158,222 | Transamerica Partners Variable Funds — Core Bond | $ | 5,137,322 | |||||
110,332 | Transamerica Partners Variable Funds — High Quality Bond | 1,710,605 | ||||||
102,664 | Transamerica Partners Variable Funds — High Yield Bond | 1,367,219 | ||||||
99,868 | Transamerica Partners Variable Funds — Inflation-Protected Securities | 2,164,593 | ||||||
184,955 | Transamerica Partners Variable Funds — International Equity | 2,694,186 | ||||||
91,842 | Transamerica Partners Variable Funds — Large Growth | 3,091,269 | ||||||
94,400 | Transamerica Partners Variable Funds — Large Value | 3,287,902 | ||||||
14,081 | Transamerica Partners Variable Funds — Money Market | 296,976 | ||||||
95,879 | Transamerica Partners Variable Funds — Small Core | 2,243,695 | ||||||
Total Investments — 100.0% (Cost $25,276,129) | 21,993,767 | |||||||
Liabilities less other assets — (0.0)%* | (3,860 | ) | ||||||
Net Assets — 100.0% | $ | 21,989,907 | ||||||
Gross unrealized appreciation | $ | 290,667 | ||
Gross unrealized depreciation | (3,573,029 | ) | ||
Net unrealized depreciation | $ | (3,282,362 | ) | |
* | Amount rounds to less than (0.05)% |
7
INTERMEDIATE/LONG HORIZON
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Investments | ||||||||
147,469 | Transamerica Partners Variable Funds — Core Bond | $ | 4,788,183 | |||||
41,607 | Transamerica Partners Variable Funds — High Quality Bond | 645,086 | ||||||
103,687 | Transamerica Partners Variable Funds — High Yield Bond | 1,380,847 | ||||||
101,993 | Transamerica Partners Variable Funds — Inflation-Protected Securities | 2,210,656 | ||||||
422,578 | Transamerica Partners Variable Funds — International Equity | 6,155,569 | ||||||
192,089 | Transamerica Partners Variable Funds — Large Growth | 6,465,431 | ||||||
190,055 | Transamerica Partners Variable Funds — Large Value | 6,619,496 | ||||||
23,025 | Transamerica Partners Variable Funds — Money Market | 485,620 | ||||||
201,169 | Transamerica Partners Variable Funds — Small Core | 4,707,642 | ||||||
Total Investments — 100.0% (Cost $41,473,657) | 33,458,530 | |||||||
Liabilities less other assets — (0.0)%* | (5,766 | ) | ||||||
Net Assets — 100.0% | $ | 33,452,764 | ||||||
Gross unrealized appreciation | $ | 161,809 | ||
Gross unrealized depreciation | (8,176,936 | ) | ||
Net unrealized depreciation | $ | (8,015,127 | ) | |
* | Amount rounds to less than (0.05)% |
8
PORTFOLIO COMPOSITION
Short Horizon | ||||
Money Market Fund | 2.6 | % | ||
Fixed Income Funds | 86.9 | |||
Domestic Equity Funds | 8.3 | |||
International Equity Fund | 2.2 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Intermediate Horizon | ||||
Money Market Fund | 1.3 | % | ||
Fixed Income Funds | 47.2 | |||
Domestic Equity Funds | 39.2 | |||
International Equity Fund | 12.3 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
Intermediate/Long Horizon | ||||
Money Market Fund | 1.4 | % | ||
Fixed Income Funds | 27.0 | |||
Domestic Equity Funds | 53.2 | |||
International Equity Fund | 18.4 | |||
Liabilities less other assets | (0.0 | )* | ||
100.0 | % | |||
* | Amount rounds to less than (0.05)%. |
9
NOTES TO FINANCIAL STATEMENTS
1. | Organization |
2. | Significant Accounting Policies |
A. | Investment Valuation: |
10
NOTES TO FINANCIAL STATEMENTS (Continued)
2. | Significant Accounting Policies (continued) |
Total | Other Financial | |||||||||||||||||||||||||||
Investment in Securities | Investment in | Instruments* | ||||||||||||||||||||||||||
Subaccount | Level 1 | Level 2 | Level 3 | Securities | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||
Short Horizon | $ | — | $ | 9,451,808 | $ | — | $ | 9,451,808 | $ | — | $ | — | $ | — | ||||||||||||||
Intermediate Horizon | — | 21,993,767 | — | 21,993,767 | — | — | — | |||||||||||||||||||||
Intermediate/Long Horizon | — | 33,458,530 | — | 33,458,530 | — | — | — |
* | Other financial instruments, if any, are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the investment. |
B. | Operating Expenses: |
C. | Federal Income Taxes: |
D. | Other: |
3. | Fees and Transactions with Affiliates |
11
NOTES TO FINANCIAL STATEMENTS (Continued)
3. | Fees and Transactions with Affiliates (continued) |
4. | Purchases and Sales of Investments |
Cost of | Proceeds | |||||||
Purchases | from Sales | |||||||
Short Horizon | $ | 13,504,223 | $ | 14,020,725 | ||||
Intermediate Horizon | 31,355,004 | 33,892,238 | ||||||
Intermediate/Long Horizon | 46,422,124 | 49,077,538 |
5. | Concentrations and Indemnifications |
12
NOTES TO FINANCIAL STATEMENTS (Continued)
6. | Financial Highlights |
Income (Loss) from | Ratios to Average | |||||||||||||||||||||||||||||||||||||||
Investment Operations | Net Assets | |||||||||||||||||||||||||||||||||||||||
Unit | Net | Net Realized | Total | Unit | Net | |||||||||||||||||||||||||||||||||||
For the | Value, | Investment | and Unrealized | Income (Loss) | Value, | Net Assets, | Investment | |||||||||||||||||||||||||||||||||
Year | Beginning | Income | Gains (Losses) | from Investment | End of | Total | End of | Income | Portfolio | |||||||||||||||||||||||||||||||
Ended | of Year | (Loss)(a) | on Investments | Operations | Year | Return | Year | Expenses | (Loss) | Turnover | ||||||||||||||||||||||||||||||
Short Horizon | ||||||||||||||||||||||||||||||||||||||||
12/31/2008 | $ | 16.28 | $ | (0.03 | ) | $ | (1.59 | ) | $ | (1.62 | ) | $ | 14.66 | (9.95 | )% | $ | 9,450,135 | 0.20 | % | (0.20 | )% | 125 | % | |||||||||||||||||
12/31/2007 | 15.59 | (0.03 | ) | 0.72 | 0.69 | 16.28 | 4.43 | 11,096,901 | 0.20 | (0.20 | ) | 55 | ||||||||||||||||||||||||||||
12/31/2006 | 14.91 | (0.03 | ) | 0.71 | 0.68 | 15.59 | 4.56 | 10,204,912 | 0.20 | (0.20 | ) | 86 | ||||||||||||||||||||||||||||
12/31/2005 | 14.68 | (0.03 | ) | 0.26 | 0.23 | 14.91 | 1.57 | 11,574,072 | 0.20 | (0.20 | ) | 46 | ||||||||||||||||||||||||||||
12/31/2004 | 14.14 | (0.03 | ) | 0.57 | 0.54 | 14.68 | 3.82 | 10,191,299 | 0.20 | (0.20 | ) | 50 | ||||||||||||||||||||||||||||
Intermediate Horizon | ||||||||||||||||||||||||||||||||||||||||
12/31/2008 | 18.16 | (0.03 | ) | (4.67 | ) | (4.70 | ) | 13.46 | (25.88 | ) | 21,989,907 | 0.20 | (0.20 | ) | 111 | |||||||||||||||||||||||||
12/31/2007 | 17.44 | (0.04 | ) | 0.76 | 0.72 | 18.16 | 4.13 | 32,583,363 | 0.20 | (0.20 | ) | 18 | ||||||||||||||||||||||||||||
12/31/2006 | 16.11 | (0.03 | ) | 1.36 | 1.33 | 17.44 | 8.26 | 29,956,207 | 0.20 | (0.20 | ) | 55 | ||||||||||||||||||||||||||||
12/31/2005 | 15.50 | (0.03 | ) | 0.64 | 0.61 | 16.11 | 3.94 | 29,281,323 | 0.20 | (0.20 | ) | 29 | ||||||||||||||||||||||||||||
12/31/2004 | 14.52 | (0.03 | ) | 1.01 | 0.98 | 15.50 | 6.75 | 28,720,023 | 0.20 | (0.20 | ) | 28 | ||||||||||||||||||||||||||||
Intermediate/Long Horizon | ||||||||||||||||||||||||||||||||||||||||
12/31/2008 | 19.30 | (0.03 | ) | (6.38 | ) | (6.41 | ) | 12.89 | (33.21 | ) | 33,452,764 | 0.20 | (0.20 | ) | 105 | |||||||||||||||||||||||||
12/31/2007 | 18.56 | (0.04 | ) | 0.78 | 0.74 | 19.30 | 3.99 | 52,703,674 | 0.20 | (0.20 | ) | 21 | ||||||||||||||||||||||||||||
12/31/2006 | 16.87 | (0.03 | ) | 1.72 | 1.69 | 18.56 | 10.02 | 47,293,477 | 0.20 | (0.20 | ) | 63 | ||||||||||||||||||||||||||||
12/31/2005 | 16.06 | (0.03 | ) | 0.84 | 0.81 | 16.87 | 5.04 | 45,441,180 | 0.20 | (0.20 | ) | 25 | ||||||||||||||||||||||||||||
12/31/2004 | 14.83 | (0.03 | ) | 1.26 | 1.23 | 16.06 | 8.29 | 40,122,473 | 0.20 | (0.20 | ) | 34 |
(a) | Calculated based upon average units outstanding. |
13
NOTES TO FINANCIAL STATEMENTS (Continued)
7. | Investments in Affiliates |
Beginning | Units | Units | Ending | Purchase | Sale | Gain/(Loss) | ||||||||||||||||||||||
Units | Purchased | Sold | Units | Cost | Cost | on Sales | ||||||||||||||||||||||
Short Horizon | ||||||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||||||
Transamerica Partners Variable Funds — Core Bond | 177,681 | 33,343 | 76,760 | 134,264 | $ | 1,130,430 | $ | 2,256,493 | $ | 295,183 | ||||||||||||||||||
Transamerica Partners Variable Funds — High Quality Bond | 184,617 | 26,593 | 112,934 | 98,276 | 417,768 | 1,635,445 | 129,608 | |||||||||||||||||||||
Transamerica Partners Variable Funds — High Yield Bond | 50,602 | 43,239 | 22,388 | 71,453 | 710,752 | 258,056 | 115,140 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Inflation-Protected Securities | — | 78,260 | 14,562 | 63,698 | 1,775,362 | 330,129 | (14,102 | ) | ||||||||||||||||||||
Transamerica Partners Variable Funds — International Equity | 5,475 | 11,641 | 3,284 | 13,832 | 240,142 | 43,946 | 21,077 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Core | 5,230 | — | 5,230 | — | — | 118,819 | 21,442 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Growth | 6,211 | 4,305 | 2,270 | 8,246 | 179,382 | 89,424 | 8,568 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Value | 5,540 | 5,429 | 2,144 | 8,825 | 232,025 | 75,847 | 21,449 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Money Market | 11,108 | 408,777 | 408,104 | 11,781 | 8,560,143 | 8,542,460 | 3,685 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Small Core | 2,303 | 8,684 | 2,370 | 8,617 | 258,219 | 77,233 | (9,177 | ) | ||||||||||||||||||||
$ | 13,504,223 | $ | 13,427,852 | $ | 592,873 | |||||||||||||||||||||||
14
NOTES TO FINANCIAL STATEMENTS (Continued)
7. | Investments in Affiliates (continued) |
Beginning | Units | Units | Ending | Purchase | Sale | Gain/(Loss) | ||||||||||||||||||||||
Units | Purchased | Sold | Units | Cost | Cost | on Sales | ||||||||||||||||||||||
Intermediate Horizon | ||||||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||||||
Transamerica Partners Variable Funds — Core Bond | 282,973 | 30,644 | 155,395 | 158,222 | $ | 1,016,527 | $ | 4,343,214 | $ | 786,272 | ||||||||||||||||||
Transamerica Partners Variable Funds — High Quality Bond | 302,883 | 28,095 | 220,646 | 110,332 | 437,369 | 3,187,244 | 262,838 | |||||||||||||||||||||
Transamerica Partners Variable Funds — High Yield Bond | 80,265 | 47,429 | 25,030 | 102,664 | 798,381 | 296,477 | 134,183 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Inflation-Protected Securities | — | 150,834 | 50,966 | 99,868 | 3,402,070 | 1,155,456 | (34,213 | ) | ||||||||||||||||||||
Transamerica Partners Variable Funds — International Equity | 90,574 | 114,123 | 19,742 | 184,955 | 2,569,650 | 343,688 | 132,884 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Core | 75,767 | — | 75,767 | — | — | 1,750,228 | 281,894 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Growth | 93,746 | 19,304 | 21,208 | 91,842 | 833,078 | 839,234 | 235,377 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Value | 77,720 | 32,810 | 16,130 | 94,400 | 1,455,454 | 640,730 | 246,140 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Money Market | 38,020 | 878,040 | 901,979 | 14,081 | 18,371,934 | 18,863,465 | 10,601 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Small Core | 31,254 | 77,737 | 13,112 | 95,879 | 2,470,541 | 258,175 | 158,351 | |||||||||||||||||||||
$ | 31,355,004 | $ | 31,677,911 | $ | 2,214,327 | |||||||||||||||||||||||
Intermediate/Long Horizon | ||||||||||||||||||||||||||||
Investments: | ||||||||||||||||||||||||||||
Transamerica Partners Variable Funds — Core Bond | 269,499 | 49,564 | 171,594 | 147,469 | $ | 1,632,885 | $ | 5,091,207 | $ | 563,566 | ||||||||||||||||||
Transamerica Partners Variable Funds — High Quality Bond | 286,827 | 13,726 | 258,946 | 41,607 | 213,149 | 3,829,335 | 230,040 | |||||||||||||||||||||
Transamerica Partners Variable Funds — High Yield Bond | 77,676 | 66,567 | 40,556 | 103,687 | 1,104,148 | 472,568 | 205,682 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Inflation-Protected Securities | — | 175,491 | 73,498 | 101,993 | 3,944,712 | 1,666,281 | (51,271 | ) | ||||||||||||||||||||
Transamerica Partners Variable Funds — International Equity | 205,200 | 254,536 | 37,158 | 422,578 | 5,782,006 | 761,135 | 197,958 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Core | 170,874 | — | 170,874 | — | — | 4,215,250 | 367,732 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Growth | 212,707 | 40,911 | 61,529 | 192,089 | 1,887,395 | 2,672,660 | 555,483 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Large Value | 175,601 | 39,303 | 24,849 | 190,055 | 1,620,671 | 989,451 | 427,640 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Money Market | 57,952 | 1,212,632 | 1,247,559 | 23,025 | 25,364,829 | 26,081,816 | 14,855 | |||||||||||||||||||||
Transamerica Partners Variable Funds — Small Core | 74,212 | 150,227 | 23,270 | 201,169 | 4,872,329 | 460,872 | 325,278 | |||||||||||||||||||||
$ | 46,422,124 | $ | 46,240,575 | $ | 2,836,963 | |||||||||||||||||||||||
15
Allocation Variable Funds:
16
MANAGEMENT OF THE SEPARATE ACCOUNT
(Unaudited)
Term of | Number of | |||||||||||
Office and | Funds in | |||||||||||
Position(s) | Length of | Principal Occupation(s) During | Complex Overseen | |||||||||
Name | Held | Time Served* | Past 5 Years | by Board Members | Other Directorships | |||||||
INTERESTED BOARD MEMBER** | ||||||||||||
John K. Carter (DOB: 1961) | Chairman, Board Member, President, and Chief Executive Officer | Since 2007 | Chairman and Board Member (2008 — present), President (2007 — present), Chief Executive Officer (2006 — present), Vice President, Secretary and Chief Compliance Officer (2003 — 2006), TII; Chairman, Board Member, President and Chief Executive Officer, TPP, TPFG, TPFG II and TAAVF (2007 — present); Chairman (2007 — present), Board Member (2006 — present), President and Chief Executive Officer (2006 — present), Senior Vice President (1999 — 2006), Chief Compliance Officer, General Counsel and Secretary (1999 — 2006), Transamerica Funds and TST; Chairman (2007 — present), Board Member (2006 — present), President and Chief Executive Officer (2006 — present), Senior Vice President (2002 — 2006), General Counsel, Secretary and Chief Compliance Officer (2002 — 2006), TIS; President and Chief Executive Officer (2006 — present), | 176 | N/A |
17
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Term of | Number of | |||||||||||
Office and | Funds in | |||||||||||
Position(s) | Length of | Principal Occupation(s) During | Complex Overseen | |||||||||
Name | Held | Time Served* | Past 5 Years | by Board Members | Other Directorships | |||||||
Senior Vice President (1999 — 2006), Director (2000 — present), General Counsel and Secretary (2000 — 2006), Chief Compliance Officer (2004 — 2006), TAM; President and Chief Executive | ||||||||||||
Officer (2006 — present), Senior Vice President (1999 — 2006), Director (2001 — present), General Counsel and Secretary (2001 — 2006), Transamerica Fund Services, Inc. (“TFS”); Vice President, AFSG Securities Corporation (2001 — present); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (“TIF”) (2002 — 2004); Director (2008 — present); and Vice President,Transamerica Investment Services, Inc.(“TISI”) (2003 — 2005) and Transamerica Investment Management, LLC(“TIM”) (2001 — 2005). | ||||||||||||
INDEPENDENT BOARD MEMBERS*** | ||||||||||||
Sandra N. Bane (DOB: 1952) | Board Member | Since 2008 | Retired, KPMG (1999 — present); and Board Member, TII (2003 — present), Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2008 — present). | 176 | Big 5 Sporting Goods (2002 — present); AGL Resources, Inc. (energy services holding company) (2008 — present) | |||||||
Leo J. Hill (DOB: 1956) | Lead Independent Board Member | Since 2007 | Principal, Advisor Network Solutions, LLC (business consulting) (2006 — present); Board Member, TST (2001 — present); Board Member, Transamerica Funds and TIS (2002 — present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present); TII (2008 — present); Owner and President, Prestige Automotive Group (2001 — 2005); President, L. J. Hill & Company (1999 — present); Market President, Nations Bank of Sun Coast Florida (1998 — 1999); President and Chief Executive Officer, Barnett Banks of Treasure Coast Florida (1994 — 1998);Executive Vice President and Senior Credit Officer, | 176 | N/A |
18
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Term of | Number of | |||||||||||
Office and | Funds in | |||||||||||
Position(s) | Length of | Principal Occupation(s) During | Complex Overseen | |||||||||
Name | Held | Time Served* | Past 5 Years | by Board Members | Other Directorships | |||||||
Barnett Banks of Jacksonville, Florida (1991 — 1994); and Senior Vice President and Senior Loan Administration Officer, Wachovia Bank of Georgia (1976 — 1991). | ||||||||||||
Neal M. Jewell (DOB: 1935) | Board Member | Since 1993 | Retired (2004 — present); Board Member, TPP, TPFG, TPFG II and TAAVF (1993 — present); Board Member, Transamerica Funds, TST and TIS (2007 — present); Board Member, TII (2008 — present); and Independent Trustee, EAI Select Managers Equity Fund (a mutual fund) (1996 — 2004). | 176 | N/A | |||||||
Russell A. Kimball, Jr. (DOB: 1944) | Board Member | Since 2007 | General Manager, Sheraton Sand Key Resort (1975 — present); Board Member, TST (1986 — present); Board Member, Transamerica Funds and TIS (2002 — present); TPP, TPFG, TPFG II and TAAVF (2007 — present); and Board Member, TII (2008 — present). | 176 | N/A | |||||||
Eugene M. Mannella (DOB: 1954) | Board Member | Since 1994 | Chief Executive Officer, HedgeServ Corporation (hedge fund administration) (2008 — present); Self-employed consultant (2006 — present); President, ARAPAHO Partners LLC (limited purpose broker-dealer) (1998 — 2008); Board Member, TPP, TPFG, TPFG II and TAAVF (1994 — present); Board Member, Transamerica Funds, TST and TIS (2007 — present); Board Member, TII (2008 — present); and President, International Fund Services (alternative asset administration) (1993 — 2005). | 176 | N/A |
19
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Term of | Number of | |||||||||||
Office and | Funds in | |||||||||||
Position(s) | Length of | Principal Occupation(s) During | Complex Overseen | |||||||||
Name | Held | Time Served* | Past 5 Years | by Board Members | Other Directorships | |||||||
Norman R. Nielsen (DOB: 1939) | Board Member | Since 2007 | Retired (2005 — present); Director, Iowa Student Loan Service Corporation (2006 — present); Board Member, Transamerica Funds, TST and TIS (2006 — present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present); Board Member, TII (2008 — present); Director, League for Innovation in the Community Colleges (1985 — 2005); Director, Iowa Health Systems (1994 — 2003); Director, U.S. Bank (1987 — 2006); and President, Kirkwood Community College (1985 — 2005). | 176 | Buena Vista University Board of Trustees (2004 — present) | |||||||
Joyce G. Norden (DOB: 1939) | Board Member | Since 1993 | Retired (2004 — present); Board Member, TPFG, TPFG II and TAAVF (1993 — present); Board Member, TPP (2002 — present); Board Member, Transamerica Funds, TST and TIS (2007 — present); Board Member, TII (2008 — present); and Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996 — 2004). | 176 | Board of Governors, Reconstructionist Rabbinical College (2007 — present) | |||||||
Patricia L. Sawyer (DOB: 1950) | Board Member | Since 1993 | Retired (2007 — present); President/Founder, Smith & Sawyer LLC (management consulting) (1989 — 2007); Board Member, Transamerica Funds, TST and TIS (2007 — present); Board Member, TII (2008 — present); Board Member, TPP, TPFG, TPFG II and TAAVF (1993 — present); Vice President, American Express (1987 — 1989); Vice President, The Equitable (1986 — 1987); and Strategy Consultant, Booz, Allen & Hamilton (1982 — 1986). | 176 | N/A |
20
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Term of | Number of | |||||||||||
Office and | Funds in | |||||||||||
Position(s) | Length of | Principal Occupation(s) During | Complex Overseen | |||||||||
Name | Held | Time Served* | Past 5 Years | by Board Members | Other Directorships | |||||||
John W. Waechter (DOB: 1952) | Board Member | Since 2007 | Attorney, Englander & Fischer, P.A. (2008 — present); Retired (2004 — 2008); Board Member, TST and TIS (2004 — present); Board Member, Transamerica Funds (2005 — present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007 — present); Board Member, TII (2008 — present); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979 — 2004); and Treasurer, The Hough Group of Funds (1993 — 2004). | 176 | N/A |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the by-laws. | |
** | May be deemed an “interested person” (as that term is defined in the 1940 Act) of the Trust because of his employment with TAM or an affiliate of TAM. | |
*** | Independent Board Member means a Board Member who is not an “interested person” (as that term is defined under the 1940 Act) of the Trust. |
Term of | ||||||
Office and | ||||||
Position(s) | Length of | Principal Occupation(s) or | ||||
Name | Held | Time Served* | Employment During Past 5 Years | |||
John K. Carter (DOB: 1961) | Chairman, Board Member, President, and Chief Executive Officer | Since 2007 | See the table above. | |||
Dennis P. Gallagher (DOB: 1970) | Vice President, General Counsel and Secretary | Since 2007 | Vice President, General Counsel and Secretary, TII, Transamerica Funds, TST and TIS (2006 — present); Vice President, General Counsel and Secretary, TPP, TPFG, TPFG II and TAAVF (2007 — present); Director, Senior Vice President, General Counsel and Secretary, TAM and TFS (2006 — present); Assistant Vice President, Transamerica Capital, Inc. (2007 -- present); and Director, Deutsche Asset Management (1998 — 2006). |
21
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Term of | ||||||
Office and | ||||||
Position(s) | Length of | Principal Occupation(s) or | ||||
Name | Held | Time Served* | Employment During Past 5 Years | |||
Joseph P. Carusone (DOB: 1965) | Vice President, Treasurer and Principal Financial Officer | Since 2001 | Vice President, Treasurer and Principal Financial Officer, Transamerica Funds, TST, TIS and TII (2007 — present); Vice President (2007 — present), Treasurer and Principal Financial Officer (2001 — present), TPP, TPFG, TPFG II and TAAVF; Senior Vice President, TAM and TFS (2007 — present); Senior Vice President (2008 — present), Vice President (2001 — 2008); Diversified Investment Advisors, Inc. (“DIA”); Director and President, Diversified Investors Securities Corp. (“DISC”) (2007 — present); Director, Transamerica Financial Life Insurance Company (“TFLIC”) (2004 — present); and Treasurer, Diversified Actuarial Services, Inc. (December 2002 — present). | |||
Christopher A. Staples (DOB: 1970) | Vice President and Chief Investment Officer | Since 2007 | Vice President and Chief Investment Officer (2007 — present); Vice President — Investment Administration (2005 — 2007), TII; Vice President and Chief Investment Officer (2007 — present), Senior Vice President — Investment Management (2006 — 2007), Vice President — Investment Management (2005 — 2006), Transamerica Funds, TST and TIS; Vice President and Chief Investment Officer, TPP, TPFG, TPFG II and TAAVF (2007 — present); Director (2005 — present), Senior Vice President — Investment Management (2006 — present) and Chief Investment Officer (2007 — present), TAM; Director, TFS (2005 — present); and Assistant Vice President, Raymond James & Associates (1999 — 2004). | |||
Rick B. Resnik (DOB: 1967) | Vice President, Chief Compliance Officer and Conflicts of Interest Officer | Since 1998 | Chief Compliance Officer, TPP, TPFG, TPFG II and TAAVF (1998 — present); Chief Compliance Officer, Transamerica Funds, TST, TIS and TII (2008 — present); Vice President and Conflicts of Interest Officer, TPP, TPFG, TPFG II, TAAVF, Transamerica Funds, TST, TIS and TII (2008 — present); Senior Vice President and Chief Compliance Officer, TAM (2008 — present); Senior Vice President, TFS (2008 — present); Director (2000 — present), Vice President and Chief Compliance Officer (1997 — present), DISC; and Assistant Vice President, TFLIC (1999 — present). | |||
Robert A. DeVault Jr. (DOB: 1965) | Assistant Treasurer | Since 2009 | Assistant Treasurer, Transamerica Funds, TST, TII, TIS, TPP, TPFG, TPFG II and TAAVF (January 2009 — Present); and Assistant Vice President, (2007 — Present), Manager, Fund Administration (2002 — 2007), TFS. |
22
MANAGEMENT OF THE SEPARATE ACCOUNT (Continued)
(Unaudited)
Term of | ||||||
Office and | ||||||
Position(s) | Length of | Principal Occupation(s) or | ||||
Name | Held | Time Served* | Employment During Past 5 Years | |||
Suzanne Valerio- Montemurro (DOB: 1964) | Assistant Treasurer | Since 2007 | Assistant Treasurer, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (2007 — present); and Vice President, DIA (1998 — present). | |||
Sarah L. Bertrand (DOB: 1967) | Assistant Secretary | Since 2009 | Assistant Secretary, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (January 2009 — present); Assistant Vice President and Manager, Legal Administration, TAM and TFS (2007 — present); Assistant Secretary and Chief Compliance Officer, 4086 Series Trust and 4086 Strategic Income Fund (2000 — 2007); and Second Vice President and Assistant Secretary, Legal and Compliance, 4086 Capital Management, Inc. (1994 — 2007). | |||
Timothy J. Bresnahan (DOB: 1968) | Assistant Secretary | Since 2009 | Assistant Secretary, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (January 2009 — present); Counsel, TAM (2008 — present); Counsel (contract), Massachusetts Financial Services, Inc. (2007); Assistant Counsel, BISYS Fund Services Ohio, Inc. (2005 — 2007); and Associate, Greenberg Traurig, P.A. (2004 — 2005). | |||
Richard E. Shield, Jr. (DOB: 1974) | Tax Officer | Since 2008 | Tax Officer, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (2008 — present); Tax Manager, Jeffrey P. McClanathan, CPA (2006 — 2007) and Gregory, Sharer & Stuart (2005 — 2006); Tax Senior, Kirkland, Russ, Murphy & Tapp, P.A. (2003 — 2005); and Certified Public Accountant, Schultz, Chaipel & Co., LLP (1998 — 2003). |
23
MANAGEMENT REVIEW
December 31, 2008
(Unaudited)
1
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Merganser Capital Management, LP
2
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
3
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
BlackRock Financial Management, Inc.
4
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
• | relative value sector/sub-sector rotation and security selection, |
• | rigorous quantitative security and portfolio valuations, |
• | intense fundamental credit analysis, |
• | portfolio duration controlled within a narrow band around a benchmark, and |
• | the judgment of experienced portfolio managers |
5
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
BlackRock Financial Management, Inc.
6
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
• | relative value sector/sub-sector rotation and security selection, |
• | rigorous quantitative security and portfolio valuations, |
• | intense fundamental credit analysis, |
• | portfolio duration controlled within a narrow band around a benchmark, and |
• | the judgment of experienced portfolio managers. |
Andrew Phillips, Managing Director
7
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Western Asset Management Company
Western Asset Management Company, Ltd.
8
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
9
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Eaton Vance Management
10
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Goldman Sachs Asset Management, LP
Western Asset Management Company
11
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
12
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Alliance Bernstein, LP
TCW Investment Management Company
13
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
14
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Hotchkis and Wiley Capital Management, LLC
15
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
16
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Aronson+Johnson+Ortiz, LP
BlackRock Financial Management, Inc.
17
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
18
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
19
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Marsico Capital Management, LLC
OFI Institutional Asset Management, Inc.
Wellington Management Company, LLP
20
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
21
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
22
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
23
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Turner Investment Partners, Inc.
24
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
25
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Cramer, Rosenthal, McGlynn, LLC
LSV Asset Management
RiverSource Investments, LLC
26
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
27
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
28
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
29
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Columbus Circle Investors
30
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
31
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
OFI Institutional Asset Management, Inc.
Mesirow Financial Investment Management, Inc.
32
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
33
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
34
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Fort Washington Investment Advisors, Inc.
RS Investment Management Co., LLC
INVESCO Institutional (NA), Inc.
Wellington Management Company, LLP
• | The demise of several former bellwether financial firms. |
• | The continued housing slump. |
• | The freezing of the credit markets. |
• | Rapid decline in commodity prices and commodity stocks. |
35
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
• | Industrials — Aerovironment, Duff & Phelps and ESCO Electronics |
• | Consumer discretionary — Panera Bread Company, BJ’s Restaurants and PetMed Express |
• | Healthcare — Genomic Health and Alexion Pharma |
• | Financials — Ezcorp |
• | Technology — Foundry Networks |
36
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
• | Healthcare — RTI Biologics, Spectranetics, and BioMarin Pharma |
• | Energy — ION Geophysical, Berry Petroleum, Lufkin Industries, and Atwood Oceanics |
• | Industrials — Energy Conversion Devices |
• | Technology — Wright Express |
• | Materials — Terra Industries |
• | As has been the case for several years, our largest sector overweight continues to be Healthcare, by about 3% relative to the Portfolio’s benchmark. We continue to see the greatest number of opportunities in that sector for sustained, high growth relative to other sectors with less sensitivity to the broader economy. |
• | The Consumer Staples sector is a new overweight position at about 2.6% over the Portfolio’s benchmark. |
• | We are still about 2.5% underweight in Industrials and Technology as we are concerned about the impact of slowing global growth on the companies in these sectors. However, in Industrials, we saw opportunities to add to or initiate positions in stocks that were at extremely depressed levels due to concerns about domestic and/or global economic activity. We believe some of these companies should benefit from the new administration’s infrastructure stimulus package. |
• | We have used the nearly unprecedented sell-off in some Energy names to take our energy sector position from what was an underweight to neutral. |
• | Financials are now slightly underweight by about 1% relative to the Portfolio’s benchmark weight. We still own no banks or thrifts due to continuing concerns about the credit cycle. However, we are becoming more interested in those two groups and would begin to initiate positions once we believe we can appropriately assess the worst case credit cycle scenario. |
37
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
1. | Systematically evaluates stocks within their industry using four key investment concepts: Earnings Momentum, Price Trend, Management Action, and Relative Value. |
2. | Constructs the Portfolio and manages risk to limit the impact of unintended beta, size, and industry biases, through an optimization technique that seeks to maximize expected return at a specified level of risk. |
1. | Systematically evaluates stocks within their industry using four key investment concepts: Earnings Momentum, Price Trend, Management Action, and Relative Value. |
38
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
2. | Constructs the Portfolio and manages risk to limit the impact of unintended beta, size, and industry biases, through an optimization technique that seeks to maximize expected return at a specified level of risk. |
3. | Quantifies and rigorously tests investment themes. |
39
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
40
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
Perimeter Capital Partners LLC
41
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
42
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
LSV Asset Management
Wellington Management Company, LLP
43
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
44
MANAGEMENT REVIEW (Continued)
December 31, 2008
(Unaudited)
45
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 1,198,284,597 | ||
Repurchase agreements (cost equals market value) | 126,452,311 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 1,441,153 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 1,326,178,061 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 296,958 | |||
Accrued expenses | 79,354 | |||
Total liabilities | 376,312 | |||
Net assets | $ | 1,325,801,749 | ||
Securities, at cost | $ | 1,198,284,597 | ||
Investment income (Note 2): | ||||
Interest income | $ | 32,676,307 | ||
Securities lending income (net) | — | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 32,676,307 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 3,029,823 | |||
Custody fees | 124,447 | |||
Audit fees | 29,136 | |||
Legal fees | 52,713 | |||
Reports to shareholders | 13,766 | |||
Other fees | 32,081 | |||
Total expenses | 3,281,966 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 3,281,966 | |||
Net investment income (loss) | 29,394,341 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (546,399 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(546,399 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | — | |||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
— | ||||
Net realized and unrealized gains (losses) on investments | (546,399 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | 28,847,942 | ||
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 29,394,341 | $ | 49,560,669 | ||||
Net realized gains (losses) on investments | (546,399 | ) | — | |||||
Change in net unrealized appreciation (depreciation) on investments | — | — | ||||||
Net increase (decrease) in net assets resulting from operations | 28,847,942 | 49,560,669 | ||||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 4,260,151,227 | 2,954,349,154 | ||||||
Withdrawals | (4,013,993,525 | ) | (2,879,054,327 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 246,157,702 | 75,294,827 | ||||||
Net increase (decrease) in net assets | 275,005,644 | 124,855,496 | ||||||
Net assets: | ||||||||
Beginning of year | 1,050,796,105 | 925,940,609 | ||||||
End of year | $ | 1,325,801,749 | $ | 1,050,796,105 | ||||
46
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 426,608,085 | ||
Repurchase agreements (cost equals market value) | 2,244,128 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | 4,774 | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 2,949,860 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 12,372 | |||
Total assets | 431,819,219 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 10,391,435 | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 133,008 | |||
Accrued expenses | 63,273 | |||
Total liabilities | 10,587,716 | |||
Net assets | $ | 421,231,503 | ||
Securities, at cost | $ | 445,227,379 | ||
For the year ended December 31, 2008
Investment income (Note 2): | ||||
Interest income | $ | 24,026,900 | ||
Securities lending income (net) | 248,119 | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 24,275,019 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,839,044 | |||
Custody fees | 95,462 | |||
Audit fees | 31,320 | |||
Legal fees | 19,076 | |||
Reports to shareholders | 6,845 | |||
Other fees | 16,865 | |||
Total expenses | 2,008,612 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 2,008,612 | |||
Net investment income (loss) | 22,266,407 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | 3,031,998 | |||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
3,031,998 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (20,430,574 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(20,430,574 | ) | |||
Net realized and unrealized gains (losses) on investments | (17,398,576 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | 4,867,831 | ||
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 22,266,407 | $ | 37,058,128 | ||||
Net realized gains (losses) on investments | 3,031,998 | (1,923,414 | ) | |||||
Change in net unrealized appreciation (depreciation) on investments | (20,430,574 | ) | 8,617,100 | |||||
Net increase (decrease) in net assets resulting from operations | 4,867,831 | 43,751,814 | ||||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 202,813,678 | 284,629,480 | ||||||
Withdrawals | (619,741,245 | ) | (312,713,241 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (416,927,567 | ) | (28,083,761 | ) | ||||
Net increase (decrease) in net assets | (412,059,736 | ) | 15,668,053 | |||||
Net assets: | ||||||||
Beginning of year | 833,291,239 | 817,623,186 | ||||||
End of year | $ | 421,231,503 | $ | 833,291,239 | ||||
47
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 367,010,700 | ||
Repurchase agreements (cost equals market value) | 17,373,040 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $785) | 641 | |||
Receivable for securities sold | 1,446,198 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | 217,532 | |||
Interest receivable | 3,230,575 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 88,937 | |||
Total assets | 389,367,623 | |||
Liabilities: | ||||
Due to Advisor | 819 | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 602 | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 124,135 | |||
Accrued expenses | 44,193 | |||
Total liabilities | 169,749 | |||
Net assets | $ | 389,197,874 | ||
Securities, at cost | $ | 390,207,359 | ||
Investment income (Note 2): | ||||
Interest income | $ | 23,970,791 | ||
Securities lending income (net) | 962,266 | |||
Dividend income | — | |||
Less: foreign withholding taxes | — | |||
Total income | 24,933,057 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,624,043 | |||
Custody fees | 68,688 | |||
Audit fees | 31,350 | |||
Legal fees | 59,258 | |||
Reports to shareholders | 4,001 | |||
Other fees | 10,927 | |||
Total expenses | 1,798,267 | |||
Expenses reimbursed by the Advisor | (1,560 | ) | ||
Net expenses | 1,796,707 | |||
Net investment income (loss) | 23,136,350 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (11,524,452 | ) | ||
Swap contracts | — | |||
Futures | (324,134 | ) | ||
Written options | 438,028 | |||
Foreign currency transactions | 1,066,842 | |||
(10,343,716 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (28,387,680 | ) | ||
Futures | (246,704 | ) | ||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | 5,249 | |||
(28,629,135 | ) | |||
Net realized and unrealized gains (losses) on investments | (38,972,851 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (15,836,501 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 23,136,350 | $ | 7,583,583 | ||||
Net realized gains (losses) on investments | (10,343,716 | ) | 805,098 | |||||
Change in net unrealized appreciation (depreciation) on investments | (28,629,135 | ) | 5,212,164 | |||||
Net increase (decrease) in net assets resulting from operations | (15,836,501 | ) | 13,600,845 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 509,258,026 | 72,255,744 | ||||||
Withdrawals | (253,237,047 | ) | (87,524,361 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 256,020,979 | (15,268,617 | ) | |||||
Net increase (decrease) in net assets | 240,184,478 | (1,667,772 | ) | |||||
Net assets: | ||||||||
Beginning of year | 149,013,396 | 150,681,168 | ||||||
End of year | $ | 389,197,874 | $ | 149,013,396 | ||||
48
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 2,035,413,009 | ||
Repurchase agreements (cost equals market value) | 8,044,299 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $840,794) | 775,349 | |||
Receivable for securities sold | 446,707,833 | |||
Receivable for principal paydowns | 546,113 | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | 1,777,139 | |||
Swap contracts, at value | 86,452,741 | |||
Variation margin receivable | — | |||
Interest receivable | 16,355,729 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 6,910 | |||
Total assets | 2,596,079,122 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 2,425,000 | |||
Payable for securities purchased | 593,609,189 | |||
Securities sold short, at value (proceeds $247,817,336) | 249,802,832 | |||
Written options, at value (premium $5,578,640) | 11,129,683 | |||
Swap contracts, at value | 68,795,481 | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 1,331,381 | |||
Variation margin payable | 991,224 | |||
Accrued investment advisory fees | 522,400 | |||
Accrued expenses | 159,247 | |||
Total liabilities | 928,766,437 | |||
Net assets | $ | 1,667,312,685 | ||
Securities, at cost | $ | 2,182,914,107 | ||
Investment income (Note 2): | ||||
Interest income | $ | 105,857,454 | ||
Securities lending income (net) | 190,713 | |||
Dividend income | 1,162,915 | |||
Less: foreign withholding taxes | — | |||
Total income | 107,211,082 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 6,828,373 | |||
Custody fees | 333,670 | |||
Audit fees | 34,278 | |||
Legal fees | 74,061 | |||
Reports to shareholders | 22,295 | |||
Other fees | 58,756 | |||
Total expenses | 7,351,433 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 7,351,433 | |||
Net investment income (loss) | 99,859,649 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | 9,935,943 | |||
Swap contracts | 12,985,532 | |||
Futures | 3,361,537 | |||
Written options | 1,442,401 | |||
Foreign currency transactions | 4,747,104 | |||
32,472,517 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (164,963,161 | ) | ||
Futures | 4,704,952 | |||
Written options | (5,580,075 | ) | ||
Short sales | (1,647,598 | ) | ||
Swap contracts | (3,995,346 | ) | ||
Foreign currency translations | 431,115 | |||
(171,050,113 | ) | |||
Net realized and unrealized gains (losses) on investments | (138,577,596 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (38,717,947 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 99,859,649 | $ | 103,906,486 | ||||
Net realized gains (losses) on investments | 32,472,517 | (16,401,628 | ) | |||||
Change in net unrealized appreciation (depreciation) on investments | (171,050,113 | ) | 52,800,139 | |||||
Net increase (decrease) in net assets resulting from operations | (38,717,947 | ) | 140,304,997 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 611,898,545 | 568,414,773 | ||||||
Withdrawals | (1,154,747,429 | ) | (537,661,703 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (542,848,884 | ) | 30,753,070 | |||||
Net increase (decrease) in net assets | (581,566,831 | ) | 171,058,067 | |||||
Net assets: | ||||||||
Beginning of year | 2,248,879,516 | 2,077,821,449 | ||||||
End of year | $ | 1,667,312,685 | $ | 2,248,879,516 | ||||
49
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 370,821,558 | ||
Repurchase agreements (cost equals market value) | 8,409,852 | |||
Cash at broker | 1,979,276 | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 4,681,444 | |||
Receivable for principal paydowns | 64,769 | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | 254,125 | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 2,873,524 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 1,436 | |||
Total assets | 389,085,984 | |||
Liabilities: | ||||
Due to Advisor | 1,122 | |||
Due to Custodian | — | |||
Payable for written options | 1,190 | |||
Collateral for securities out on loan | 464,950 | |||
Payable for securities and options purchased | 85,844,550 | |||
Securities sold short, at value | — | |||
Written options, at value (premium $790,246) | 1,832,872 | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 100,312 | |||
Variation margin payable | 270,258 | |||
Accrued investment advisory fees | 94,757 | |||
Accrued expenses | 62,973 | |||
Total liabilities | 88,672,984 | |||
Net assets | $ | 300,413,000 | ||
Securities, at cost | $ | 436,741,912 | ||
Investment income (Note 2): | ||||
Interest income | $ | 20,330,889 | ||
Securities lending income (net) | 209,470 | |||
Dividend income | 107,084 | |||
Less: foreign withholding taxes | — | |||
Total income | 20,647,443 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,337,043 | |||
Custody fees | 125,558 | |||
Audit fees | 26,870 | |||
Legal fees | 14,270 | |||
Reports to shareholders | 4,061 | |||
Other fees | 10,837 | |||
Total expenses | 1,518,639 | |||
Expenses reimbursed by the Advisor | (148 | ) | ||
Net expenses | 1,518,491 | |||
Net investment income (loss) | 19,128,952 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | 1,457,431 | |||
Swap contracts | — | |||
Futures | 2,134,369 | |||
Written options | 711,289 | |||
Foreign currency transactions | 458,927 | |||
4,762,016 | ||||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (60,927,610 | ) | ||
Futures | 2,286,198 | |||
Written options | (790,097 | ) | ||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | 206,722 | |||
(59,224,787 | ) | |||
Net realized and unrealized gains (losses) on investments | (54,462,771 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (35,333,819 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 19,128,952 | $ | 14,141,643 | ||||
Net realized gains (losses) on investments | 4,762,016 | 2,612,690 | ||||||
Change in net unrealized appreciation (depreciation) on investments | (59,224,787 | ) | (5,712,368 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (35,333,819 | ) | 11,041,965 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 156,252,922 | 333,268,808 | ||||||
Withdrawals | (210,793,599 | ) | (74,659,704 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (54,540,677 | ) | 258,609,104 | |||||
Net increase (decrease) in net assets | (89,874,496 | ) | 269,651,069 | |||||
Net assets: | ||||||||
Beginning of year | 390,287,496 | 120,636,427 | ||||||
End of year | $ | 300,413,000 | $ | 390,287,496 | ||||
50
HIGH YIELD BOND
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 388,747,535 | ||
Repurchase agreements (cost equals market value) | 39,226,732 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 495,494 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 13,353,487 | |||
Dividends receivable | — | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | — | |||
Total assets | 441,823,248 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | 1,697,349 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 204,874 | |||
Accrued expenses | 57,571 | |||
Total liabilities | 1,959,794 | |||
Net assets | $ | 439,863,454 | ||
Securities, at cost | $ | 589,080,397 | ||
Investment income (Note 2): | ||||
Interest income | $ | 55,315,675 | ||
Securities lending income (net) | — | |||
Dividend income | 178,660 | |||
Less: foreign withholding taxes | — | |||
Total income | 55,494,335 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 3,006,017 | |||
Custody fees | 100,557 | |||
Audit fees | 31,332 | |||
Legal fees | 20,377 | |||
Reports to shareholders | 5,834 | |||
Other fees | 19,423 | |||
Total expenses | 3,183,540 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 3,183,540 | |||
Net investment income (loss) | 52,310,795 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (47,659,274 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(47,659,274 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (177,504,943 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(177,504,943 | ) | |||
Net realized and unrealized gains (losses) on investments | (225,164,217 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (172,853,422 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 52,310,795 | $ | 43,380,175 | ||||
Net realized gains (losses) on investments | (47,659,274 | ) | 2,952,445 | |||||
Change in net unrealized appreciation (depreciation) on investments | (177,504,943 | ) | (36,569,793 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (172,853,422 | ) | 9,762,827 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 263,465,864 | 201,336,632 | ||||||
Withdrawals | (189,476,006 | ) | (174,702,497 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 73,989,858 | 26,634,135 | ||||||
Net increase (decrease) in net assets | (98,863,564 | ) | 36,396,962 | |||||
Net assets: | ||||||||
Beginning of year | 538,727,018 | 502,330,056 | ||||||
End of year | $ | 439,863,454 | $ | 538,727,018 | ||||
51
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 178,762,974 | ||
Repurchase agreements (cost equals market value) | 3,771,297 | |||
Cash at broker | 1,291,676 | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 3,170,356 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | 141,181 | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 910,946 | |||
Dividends receivable | 202,448 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 6,656 | |||
Receivable from securities lending (net) | 5,523 | |||
Total assets | 188,263,057 | |||
Liabilities | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Payable for written options | 289 | |||
Collateral for securities out on loan | 1,911,215 | |||
Payable for securities and options purchased | 16,137,515 | |||
Securities sold short, at value | — | |||
Written options, at value (premium $205,967) | 486,063 | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | 37,687 | |||
Variation margin payable | 611,171 | |||
Accrued investment advisory fees | 67,414 | |||
Accrued expenses | 81,593 | |||
Total liabilities | 19,332,947 | |||
Net assets | $ | 168,930,110 | ||
Securities, at cost | $ | 230,029,462 | ||
Investment income (Note 2): | ||||
Interest income | $ | 6,296,976 | ||
Securities lending income (net) | 54,332 | |||
Dividend income | 3,260,803 | |||
Less: foreign withholding taxes | (20 | ) | ||
Total income | 9,612,091 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,093,922 | |||
Custody fees | 149,403 | |||
Audit fees | 34,733 | |||
Legal fees | 6,516 | |||
Reports to shareholders | 1,354 | |||
Other fees | 8,974 | |||
Total expenses | 1,294,902 | |||
Expenses reimbursed by the Advisor | (79,435 | ) | ||
Net expenses | 1,215,467 | |||
Net investment income (loss) | 8,396,624 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (18,595,341 | ) | ||
Swap contracts | — | |||
Futures | (376,725 | ) | ||
Written options | 212,221 | |||
Foreign currency transactions | 222,603 | |||
(18,537,242 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (62,133,235 | ) | ||
Futures | 1,004,345 | |||
Written options | (179,508 | ) | ||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | 119,278 | |||
(61,189,120 | ) | |||
Net realized and unrealized gains (losses) on investments | (79,726,362 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (71,329,738 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 8,396,624 | $ | 10,529,981 | ||||
Net realized gains (losses) on investments | (18,537,242 | ) | 22,785,211 | |||||
Change in net unrealized appreciation (depreciation) on investments | (61,189,120 | ) | (25,666,220 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (71,329,738 | ) | 7,648,972 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 40,381,517 | 87,795,282 | ||||||
Withdrawals | (118,756,852 | ) | (158,457,872 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (78,375,335 | ) | (70,662,590 | ) | ||||
Net increase (decrease) in net assets | (149,705,073 | ) | (63,013,618 | ) | ||||
Net assets: | ||||||||
Beginning of year | 318,635,183 | 381,648,801 | ||||||
End of year | $ | 168,930,110 | $ | 318,635,183 | ||||
52
LARGE VALUE
(FORMERLY, VALUE & INCOME)
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 1,436,124,647 | ||
Repurchase agreements (cost equals market value) | 11,411,786 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 3 | |||
Dividends receivable | 4,033,614 | |||
Foreign tax reclaim receivable | 1,600 | |||
Receivable from Advisor | 1,478 | |||
Receivable from securities lending (net) | 94,715 | |||
Total assets | 1,451,667,843 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 573,116 | |||
Accrued expenses | 124,580 | |||
Total liabilities | 697,696 | |||
Net assets | $ | 1,450,970,147 | ||
Securities, at cost | $ | 2,137,281,482 | ||
Investment income (Note 2): | ||||
Interest income | $ | 348,288 | ||
Securities lending income (net) | 1,373,828 | |||
Dividend income | 67,852,034 | |||
Less: foreign withholding taxes | (186,310 | ) | ||
Total income | 69,387,840 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 10,367,668 | |||
Custody fees | 324,082 | |||
Audit fees | 27,983 | |||
Legal fees | 278,122 | |||
Reports to shareholders | 28,310 | |||
Other fees | 79,970 | |||
Total expenses | 11,106,135 | |||
Expenses reimbursed by the Advisor | (1,478 | ) | ||
Net expenses | 11,104,657 | |||
Net investment income (loss) | 58,283,183 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (202,203,330 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(202,203,330 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (1,044,249,653 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(1,044,249,653 | ) | |||
Net realized and unrealized gains (losses) on investments | (1,246,452,983 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (1,188,169,800 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 58,283,183 | $ | 59,270,899 | ||||
Net realized gains (losses) on investments | (202,203,330 | ) | 217,908,338 | |||||
Change in net unrealized appreciation (depreciation) on investments | (1,044,249,653 | ) | (321,315,389 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,188,169,800 | ) | (44,136,152 | ) | ||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 536,264,110 | 819,077,669 | ||||||
Withdrawals | (1,062,148,938 | ) | (1,148,860,468 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (525,884,828 | ) | (329,782,799 | ) | ||||
Net increase (decrease) in net assets | (1,714,054,628 | ) | (373,918,951 | ) | ||||
Net assets: | ||||||||
Beginning of year | 3,165,024,775 | 3,538,943,726 | ||||||
End of year | $ | 1,450,970,147 | $ | 3,165,024,775 | ||||
53
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 62,637,003 | ||
Repurchase agreements (cost equals market value) | 1,274,730 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 18 | |||
Dividends receivable | 118,210 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 470 | |||
Total assets | 64,030,431 | |||
Liabilities: | ||||
Due to Advisor | 1,440 | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 2,594,000 | |||
Payable for securities purchased | 671,845 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 25,979 | |||
Accrued expenses | 33,603 | |||
Total liabilities | 3,326,867 | |||
Net assets | $ | 60,703,564 | ||
Securities, at cost | $ | 93,701,072 | ||
Investment income (Note 2): | ||||
Interest income | $ | 50,596 | ||
Securities lending income (net) | 52,958 | |||
Dividend income | 3,171,970 | |||
Less: foreign withholding taxes | (2,594 | ) | ||
Total income | 3,272,930 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 544,167 | |||
Custody fees | 29,117 | |||
Audit fees | 26,875 | |||
Legal fees | 3,170 | |||
Reports to shareholders | 1,349 | |||
Other fees | 4,091 | |||
Total expenses | 608,769 | |||
Expenses reimbursed by the Advisor | (10,265 | ) | ||
Net expenses | 598,504 | |||
Net investment income (loss) | 2,674,426 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (56,111,388 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(56,111,388 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (5,216,768 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(5,216,768 | ) | |||
Net realized and unrealized gains (losses) on investments | (61,328,156 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (58,653,730 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 2,674,426 | $ | 2,237,723 | ||||
Net realized gains (losses) on investments | (56,111,388 | ) | 11,397,018 | |||||
Change in net unrealized appreciation (depreciation) on investments | (5,216,768 | ) | (32,193,595 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (58,653,730 | ) | (18,558,854 | ) | ||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 49,620,283 | 102,985,023 | ||||||
Withdrawals | (71,828,915 | ) | (44,143,149 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (22,208,632 | ) | 58,841,874 | |||||
Net increase (decrease) in net assets | (80,862,362 | ) | 40,283,020 | |||||
Net assets: | ||||||||
Beginning of year | 141,565,926 | 101,282,906 | ||||||
End of year | $ | 60,703,564 | $ | 141,565,926 | ||||
54
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 274,318,610 | ||
Repurchase agreements (cost equals market value) | 1,295,878 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 16,351,569 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | 40,724 | |||
Interest receivable | 28 | |||
Dividends receivable | 485,190 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 16,733 | |||
Total assets | 292,508,732 | |||
Liabilities: | ||||
Due to Advisor | 7,620 | |||
Due to Custodian | 4,428,383 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 4,004,157 | |||
Payable for securities purchased | 2,023,924 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 152,673 | |||
Accrued expenses | 117,994 | |||
Total liabilities | 10,734,751 | |||
Net assets | $ | 281,773,981 | ||
Securities, at cost | $ | 357,237,301 | ||
Investment income (Note 2): | ||||
Interest income | $ | 111,257 | ||
Securities lending income (net) | 156,129 | |||
Dividend income | 8,739,039 | |||
Less: foreign withholding taxes | (8,512 | ) | ||
Total income | 8,997,913 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 2,754,656 | |||
Custody fees | 147,305 | |||
Audit fees | 34,702 | |||
Legal fees | 16,285 | |||
Reports to shareholders | 7,237 | |||
Other fees | 18,165 | |||
Total expenses | 2,978,350 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 2,978,350 | |||
Net investment income (loss) | 6,019,563 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (69,106,523 | ) | ||
Swap contracts | — | |||
Futures | (3,449,144 | ) | ||
Written options | — | |||
Foreign currency transactions | — | |||
(72,555,667 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (139,037,717 | ) | ||
Futures | 45,619 | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(138,992,098 | ) | |||
Net realized and unrealized gains (losses) on investments | (211,547,765 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (205,528,202 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 6,019,563 | $ | 11,495,679 | ||||
Net realized gains (losses) on investments | (72,555,667 | ) | 107,197,849 | |||||
Change in net unrealized appreciation (depreciation) on investments | (138,992,098 | ) | (89,687,401 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (205,528,202 | ) | 29,006,127 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 90,488,196 | 165,902,628 | ||||||
Withdrawals | (506,447,834 | ) | (450,667,179 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (415,959,638 | ) | (284,764,551 | ) | ||||
Net increase (decrease) in net assets | (621,487,840 | ) | (255,758,424 | ) | ||||
Net assets: | ||||||||
Beginning of year | 903,261,821 | 1,159,020,245 | ||||||
End of year | $ | 281,773,981 | $ | 903,261,821 | ||||
55
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 1,154,549,362 | ||
Repurchase agreements (cost equals market value) | 11,992,800 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 4,408,960 | |||
Receivable for principal paydowns | ||||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 267 | |||
Dividends receivable | 2,385,724 | |||
Foreign tax reclaim receivable | 242,161 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 111,038 | |||
Total assets | 1,173,690,312 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | 975,148 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 38,010,546 | |||
Payable for securities purchased | 3,181,276 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 619,616 | |||
Accrued expenses | 120,973 | |||
Total liabilities | 42,907,559 | |||
Net assets | $ | 1,130,782,753 | ||
Securities, at cost | $ | 1,429,056,484 | ||
Investment income (Note 2): | ||||
Interest income | $ | 1,047,633 | ||
Securities lending income (net) | 721,689 | |||
Dividend income | 25,874,240 | |||
Less: foreign withholding taxes | (242 | ) | ||
Total income | 27,643,320 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 10,928,969 | |||
Custody fees | 286,839 | |||
Audit fees | 33,207 | |||
Legal fees | 56,449 | |||
Reports to shareholders | 22,341 | |||
Other fees | 64,151 | |||
Total expenses | 11,391,956 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 11,391,956 | |||
Net investment income (loss) | 16,251,364 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (312,714,370 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | (6,083 | ) | ||
(312,720,453 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (519,835,635 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | (2,374 | ) | ||
(519,838,009 | ) | |||
Net realized and unrealized gains (losses) on investments | (832,558,462 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (816,307,098 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 16,251,364 | $ | 14,990,153 | ||||
Net realized gains (losses) on investments | (312,720,453 | ) | 348,453,513 | |||||
Change in net unrealized appreciation (depreciation) on investments | (519,838,009 | ) | (77,577,264 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (816,307,098 | ) | 285,866,402 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 359,020,573 | 418,682,402 | ||||||
Withdrawals | (856,691,575 | ) | (786,705,407 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (497,671,002 | ) | (368,023,005 | ) | ||||
Net increase (decrease) in net assets | (1,313,978,100 | ) | (82,156,603 | ) | ||||
Net assets: | ||||||||
Beginning of year | 2,444,760,853 | 2,526,917,456 | ||||||
End of year | $ | 1,130,782,753 | $ | 2,444,760,853 | ||||
56
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 184,496,052 | ||
Repurchase agreements (cost equals market value) | 2,477,105 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 567,303 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 36 | |||
Dividends receivable | 166,564 | |||
Foreign tax reclaim receivable | 15,799 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 16,722 | |||
Total assets | 187,739,581 | |||
Liabilities: | ||||
Due to Advisor | 3,899 | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 5,037,923 | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 124,015 | |||
Accrued expenses | 45,936 | |||
Total liabilities | 5,211,773 | |||
Net assets | $ | 182,527,808 | ||
Securities, at cost | $ | 227,943,017 | ||
Investment income (Note 2): | ||||
Interest income | $ | 65,391 | ||
Securities lending income (net) | 318,942 | |||
Dividend income | 2,084,971 | |||
Less: foreign withholding taxes | (18,371 | ) | ||
Total income | 2,450,933 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 2,310,037 | |||
Custody fees | 71,940 | |||
Audit fees | 30,240 | |||
Legal fees | 9,316 | |||
Reports to shareholders | 3,691 | |||
Other fees | 11,412 | |||
Total expenses | 2,436,636 | |||
Expenses reimbursed by the Advisor | (33,918 | ) | ||
Net expenses | 2,402,718 | |||
Net investment income (loss) | 48,215 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (68,303,731 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(68,303,731 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (132,858,969 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(132,858,969 | ) | |||
Net realized and unrealized gains (losses) on investments | (201,162,700 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (201,114,485 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 48,215 | $ | (608,496 | ) | |||
Net realized gains (losses) on investments | (68,303,731 | ) | 61,547,685 | |||||
Change in net unrealized appreciation (depreciation) on investments | (132,858,969 | ) | 34,636,483 | |||||
Net increase (decrease) in net assets resulting from operations | (201,114,485 | ) | 95,575,672 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 100,062,106 | 153,288,730 | ||||||
Withdrawals | (143,792,807 | ) | (204,159,316 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (43,730,701 | ) | (50,870,586 | ) | ||||
Net increase (decrease) in net assets | (244,845,186 | ) | 44,705,086 | |||||
Net assets: | ||||||||
Beginning of year | 427,372,994 | 382,667,908 | ||||||
End of year | $ | 182,527,808 | $ | 427,372,994 | ||||
57
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 624,895,502 | ||
Repurchase agreements (cost equals market value) | 18,202,898 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 12,560,844 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 1,225 | |||
Dividends receivable | 1,540,533 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 129,924 | |||
Total assets | 657,330,926 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 14,077,125 | |||
Payable for securities purchased | 12,552,535 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 362,926 | |||
Accrued expenses | 88,856 | |||
Total liabilities | 27,081,442 | |||
Net assets | $ | 630,249,484 | ||
Securities, at cost | $ | 931,120,120 | ||
Investment income (Note 2): | ||||
Interest income | $ | 425,476 | ||
Securities lending income (net) | 815,222 | |||
Dividend income | 18,930,274 | |||
Less: foreign withholding taxes | (13,594 | ) | ||
Total income | 20,157,378 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 5,666,154 | |||
Custody fees | 137,489 | |||
Audit fees | 34,682 | |||
Legal fees | 28,944 | |||
Reports to shareholders | 9,841 | |||
Other fees | 29,673 | |||
Total expenses | 5,906,783 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 5,906,783 | |||
Net investment income (loss) | 14,250,595 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (84,755,112 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(84,755,112 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (307,127,354 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(307,127,354 | ) | |||
Net realized and unrealized gains (losses) on investments | (391,882,466 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (377,631,871 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 14,250,595 | $ | 14,406,029 | ||||
Net realized gains (losses) on investments | (84,755,112 | ) | 107,278,549 | |||||
Change in net unrealized appreciation (depreciation) on investments | (307,127,354 | ) | (98,285,078 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (377,631,871 | ) | 23,399,500 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 281,951,760 | 375,357,719 | ||||||
Withdrawals | (262,247,615 | ) | (347,554,214 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 19,704,145 | 27,803,505 | ||||||
Net increase (decrease) in net assets | (357,927,726 | ) | 51,203,005 | |||||
Net assets: | ||||||||
Beginning of year | 988,177,210 | 936,974,205 | ||||||
End of year | $ | 630,249,484 | $ | 988,177,210 | ||||
58
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 238,994,881 | ||
Repurchase agreements (cost equals market value) | 5,792,445 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 2,351,127 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 107 | |||
Dividends receivable | 56,821 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 3,729 | |||
Receivable from securities lending (net) | 69,456 | |||
Total assets | 247,268,566 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | — | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 15,114,459 | |||
Payable for securities purchased | 2,993,357 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 145,307 | |||
Accrued expenses | 49,540 | |||
Total liabilities | 18,302,663 | |||
Net assets | $ | 228,965,903 | ||
Securities, at cost | $ | 298,908,283 | ||
Investment income (Note 2): | ||||
Interest income | $ | 174,832 | ||
Securities lending income (net) | 357,071 | |||
Dividend income | 1,855,794 | |||
Less: foreign withholding taxes | (825 | ) | ||
Total income | 2,386,872 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 2,347,376 | |||
Custody fees | 47,100 | |||
Audit fees | 37,188 | |||
Legal fees | 11,076 | |||
Reports to shareholders | 3,726 | |||
Other fees | 11,476 | |||
Total expenses | 2,457,942 | |||
Expenses reimbursed by the Advisor | (12,761 | ) | ||
Net expenses | 2,445,181 | |||
Net investment income (loss) | (58,309 | ) | ||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (28,806,028 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(28,806,028 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (127,522,362 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(127,522,362 | ) | |||
Net realized and unrealized gains (losses) on investments | (156,328,390 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (156,386,699 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | (58,309 | ) | $ | (703,627 | ) | ||
Net realized gains (losses) on investments | (28,806,028 | ) | 53,287,127 | |||||
Change in net unrealized appreciation (depreciation) on investments | (127,522,362 | ) | 30,493,595 | |||||
Net increase (decrease) in net assets resulting from operations | (156,386,699 | ) | 83,077,095 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 152,813,962 | 87,068,838 | ||||||
Withdrawals | (104,650,264 | ) | (142,866,090 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 48,163,698 | (55,797,252 | ) | |||||
Net increase (decrease) in net assets | (108,223,001 | ) | 27,279,843 | |||||
Net assets: | ||||||||
Beginning of year | 337,188,904 | 309,909,061 | ||||||
End of year | $ | 228,965,903 | $ | 337,188,904 | ||||
59
SMALL VALUE
(FORMERLY, SMALL-CAP VALUE)
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 160,267,540 | ||
Repurchase agreements (cost equals market value) | 465,974 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 3,384,380 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 51 | |||
Dividends receivable | 419,529 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 3,615 | |||
Receivable from securities lending (net) | 156,145 | |||
Total assets | 164,697,234 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | 44,516 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 7,266,311 | |||
Payable for securities purchased | 608,230 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 109,739 | |||
Accrued expenses | 40,255 | |||
Total liabilities | 8,069,051 | |||
Net assets | $ | 156,628,183 | ||
Securities, at cost | $ | 197,882,490 | ||
Investment income (Note 2): | ||||
Interest income | $ | 168,020 | ||
Securities lending income (net) | 1,177,838 | |||
Dividend income | 4,496,519 | |||
Less: foreign withholding taxes | (624 | ) | ||
Total income | 5,841,753 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,715,321 | |||
Custody fees | 51,719 | |||
Audit fees | 26,845 | |||
Legal fees | 6,612 | |||
Reports to shareholders | 3,227 | |||
Other fees | 7,262 | |||
Total expenses | 1,810,986 | |||
Expenses reimbursed by the Advisor | (32,928 | ) | ||
Net expenses | 1,778,058 | |||
Net investment income (loss) | 4,063,695 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (36,930,139 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(36,930,139 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (19,172,892 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(19,172,892 | ) | |||
Net realized and unrealized gains (losses) on investments | (56,103,031 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (52,039,336 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 4,063,695 | $ | 2,956,143 | ||||
Net realized gains (losses) on investments | (36,930,139 | ) | 12,414,521 | |||||
Change in net unrealized appreciation (depreciation) on investments | (19,172,892 | ) | (30,333,479 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (52,039,336 | ) | (14,962,815 | ) | ||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 131,998,850 | 55,225,734 | ||||||
Withdrawals | (108,467,936 | ) | (91,443,032 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 23,530,914 | (36,217,298 | ) | |||||
Net increase (decrease) in net assets | (28,508,422 | ) | (51,180,113 | ) | ||||
Net assets: | ||||||||
Beginning of year | 185,136,605 | 236,316,718 | ||||||
End of year | $ | 156,628,183 | $ | 185,136,605 | ||||
60
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 415,559,414 | ||
Repurchase agreements (cost equals market value) | 2,630,335 | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 2,086,046 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | 58,241 | |||
Interest receivable | 206 | |||
Dividends receivable | 749,897 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 10,847 | |||
Receivable from securities lending (net) | 170,979 | |||
Total assets | 421,265,965 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | 1,693,623 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 29,536,670 | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 269,775 | |||
Accrued expenses | 103,434 | |||
Total liabilities | 31,603,502 | |||
Net assets | $ | 389,662,463 | ||
Securities, at cost | $ | 549,743,312 | ||
Investment income (Note 2): | ||||
Interest income | $ | 371,295 | ||
Securities lending income (net) | 2,045,972 | |||
Dividend income | 8,928,452 | |||
Less: foreign withholding taxes | (2,463 | ) | ||
Total income | 11,343,256 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 5,065,556 | |||
Custody fees | 247,130 | |||
Audit fees | 34,706 | |||
Legal fees | 18,786 | |||
Reports to shareholders | 7,562 | |||
Other fees | 24,604 | |||
Total expenses | 5,398,344 | |||
Expenses reimbursed by the Advisor | (16,567 | ) | ||
Net expenses | 5,381,777 | |||
Net investment income (loss) | 5,961,479 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (150,806,621 | ) | ||
Swap contracts | — | |||
Futures | (1,120,752 | ) | ||
Written options | — | |||
Foreign currency transactions | — | |||
(151,927,373 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (115,565,865 | ) | ||
Futures | (8,356 | ) | ||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(115,574,221 | ) | |||
Net realized and unrealized gains (losses) on investments | (267,501,594 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (261,540,115 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 5,961,479 | $ | 6,536,955 | ||||
Net realized gains (losses) on investments | (151,927,373 | ) | 127,888,258 | |||||
Change in net unrealized appreciation (depreciation) on investments | (115,574,221 | ) | (173,960,096 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (261,540,115 | ) | (39,534,883 | ) | ||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 160,448,103 | 275,074,602 | ||||||
Withdrawals | (459,442,988 | ) | (496,898,715 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (298,994,885 | ) | (221,824,113 | ) | ||||
Net increase (decrease) in net assets | (560,535,000 | ) | (261,358,996 | ) | ||||
Net assets: | ||||||||
Beginning of year | 950,197,463 | 1,211,556,459 | ||||||
End of year | $ | 389,662,463 | $ | 950,197,463 | ||||
61
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 167,721,961 | ||
Repurchase agreements (cost equals market value) | — | |||
Cash at broker | — | |||
Foreign currency holdings, at value | — | |||
Receivable for securities sold | 3,896,335 | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 119 | |||
Dividends receivable | 52,155 | |||
Foreign tax reclaim receivable | — | |||
Receivable from Advisor | 4,732 | |||
Receivable from securities lending (net) | 96,587 | |||
Total assets | 171,771,889 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | 1,466,074 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | 17,132,330 | |||
Payable for securities purchased | 505,272 | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 114,144 | |||
Accrued expenses | 41,210 | |||
Total liabilities | 19,259,030 | |||
Net assets | $ | 152,512,859 | ||
Securities, at cost | $ | 217,580,768 | ||
Investment income (Note 2): | ||||
Interest income | $ | 88,684 | ||
Securities lending income (net) | 557,565 | |||
Dividend income | 839,687 | |||
Less: foreign withholding taxes | (514 | ) | ||
Total income | 1,485,422 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 1,807,291 | |||
Custody fees | 72,610 | |||
Audit fees | 26,846 | |||
Legal fees | 7,114 | |||
Reports to shareholders | 1,689 | |||
Other fees | 6,908 | |||
Total expenses | 1,922,458 | |||
Expenses reimbursed by the Advisor | (52,899 | ) | ||
Net expenses | 1,869,559 | |||
Net investment income (loss) | (384,137 | ) | ||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (24,788,914 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | — | |||
(24,788,914 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (59,829,205 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | — | |||
(59,829,205 | ) | |||
Net realized and unrealized gains (losses) on investments | (84,618,119 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (85,002,256 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | (384,137 | ) | $ | (707,686 | ) | ||
Net realized gains (losses) on investments | (24,788,914 | ) | 18,244,723 | |||||
Change in net unrealized appreciation (depreciation) on investments | (59,829,205 | ) | (4,729,580 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (85,002,256 | ) | 12,807,457 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 132,973,836 | 53,591,068 | ||||||
Withdrawals | (62,276,042 | ) | (54,584,208 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | 70,697,794 | (993,140 | ) | |||||
Net increase (decrease) in net assets | (14,304,462 | ) | 11,814,317 | |||||
Net assets: | ||||||||
Beginning of year | 166,817,321 | 155,003,004 | ||||||
End of year | $ | 152,512,859 | $ | 166,817,321 | ||||
62
Assets: | ||||
Securities, at value, including investments held as collateral for securities out on loan (Notes 2 and 4) | $ | 1,100,694,577 | ||
Repurchase agreements (cost equals market value) | 11,897,953 | |||
Cash at broker | — | |||
Foreign currency holdings, at value (cost $4,443,231) | 4,366,774 | |||
Receivable for securities sold | — | |||
Receivable for principal paydowns | — | |||
Unrealized appreciation on foreign currency forward contracts (Note 8) | — | |||
Swap contracts, at value | — | |||
Variation margin receivable | — | |||
Interest receivable | 3 | |||
Dividends receivable | 2,780,474 | |||
Foreign tax reclaim receivable | 2,085,707 | |||
Receivable from Advisor | — | |||
Receivable from securities lending (net) | 26,145 | |||
Total assets | 1,121,851,633 | |||
Liabilities: | ||||
Due to Advisor | — | |||
Due to Custodian | 20,649,438 | |||
Due to Broker for swap contracts | — | |||
Collateral for securities out on loan | — | |||
Payable for securities purchased | — | |||
Securities sold short, at value | — | |||
Written options, at value | — | |||
Swap contracts, at value | — | |||
Unrealized depreciation on foreign currency forward contracts (Note 8) | — | |||
Variation margin payable | — | |||
Accrued investment advisory fees | 720,375 | |||
Accrued expenses | 422,176 | |||
Total liabilities | 21,791,989 | |||
Net assets | $ | 1,100,059,644 | ||
Securities, at cost | $ | 1,526,871,660 | ||
Investment income (Note 2): | ||||
Interest income | $ | 700,774 | ||
Securities lending income (net) | 1,836,239 | |||
Dividend income | 70,967,698 | |||
Less: foreign withholding taxes | (6,919,306 | ) | ||
Total income | 66,585,405 | |||
Expenses (Note 2): | ||||
Investment advisory fees | 13,803,875 | |||
Custody fees | 1,511,986 | |||
Audit fees | 31,968 | |||
Legal fees | 57,681 | |||
Reports to shareholders | 21,991 | |||
Other fees | 64,079 | |||
Total expenses | 15,491,580 | |||
Expenses reimbursed by the Advisor | — | |||
Net expenses | 15,491,580 | |||
Net investment income (loss) | 51,093,825 | |||
Realized and unrealized gains (losses) on investments (Note 2): | ||||
Net realized gains (losses) on transactions from: | ||||
Securities | (376,772,967 | ) | ||
Swap contracts | — | |||
Futures | — | |||
Written options | — | |||
Foreign currency transactions | (3,460,031 | ) | ||
(380,232,998 | ) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Securities | (815,588,043 | ) | ||
Futures | — | |||
Written options | — | |||
Short sales | — | |||
Swap contracts | — | |||
Foreign currency translations | (199,762 | ) | ||
(815,787,805 | ) | |||
Net realized and unrealized gains (losses) on investments | (1,196,020,803 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (1,144,926,978 | ) | |
For the year | For the year | |||||||
ended 12/31/08 | ended 12/31/07 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | 51,093,825 | $ | 50,970,128 | ||||
Net realized gains (losses) on investments | (380,232,998 | ) | 308,302,384 | |||||
Change in net unrealized appreciation (depreciation) on investments | (815,787,805 | ) | (116,113,249 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,144,926,978 | ) | 243,159,263 | |||||
From transactions in investors’ beneficial interests: | ||||||||
Contributions | 764,741,276 | 730,849,563 | ||||||
Withdrawals | (783,816,168 | ) | (811,099,785 | ) | ||||
Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | (19,074,892 | ) | (80,250,222 | ) | ||||
Net increase (decrease) in net assets | (1,164,001,870 | ) | 162,909,041 | |||||
Net assets: | ||||||||
Beginning of year | 2,264,061,514 | 2,101,152,473 | ||||||
�� | ||||||||
End of year | $ | 1,100,059,644 | $ | 2,264,061,514 | ||||
63
PORTFOLIO OF INVESTMENTS
December 31, 2008
Principal | Value | |||||||
Commercial Paper — 33.1% | ||||||||
$ | 42,240,000 | Abbey National NA, LLC, 0.13%, 01/02/09 | $ | 42,239,854 | ||||
10,530,000 | Abbey National NA, LLC, 1.50%, 03/02/09 | 10,503,675 | ||||||
43,750,000 | Bank of America Corp. NA, 3.10%, 02/12/09 | 43,591,771 | ||||||
39,770,000 | BP Capital Markets PLC, 1.58%, 01/08/09 | 39,757,782 | ||||||
12,900,000 | Calyon — North America, 0.25%, 01/02/09 | 12,899,910 | ||||||
31,100,000 | CBA (DE) Finance, Inc., 1.83%, 01/28/09 | 31,057,315 | ||||||
18,970,000 | CBA (DE) Finance, Inc., 1.08%, 03/17/09 | 18,927,318 | ||||||
26,290,000 | ConocoPhilips, 1.30%, 01/29/09 | 26,263,418 | ||||||
21,520,000 | Danske Corp., 1.30%, 01/12/09 | 21,511,452 | ||||||
28,550,000 | Danske Corp., 1.49%, 02/17/09 | 28,494,462 | ||||||
23,260,000 | HSBC Americas, Inc., 0.30%, 01/21/09 | 23,256,123 | ||||||
26,200,000 | HSBC Americas, Inc., 1.87%, 01/21/09 | 26,172,781 | ||||||
32,870,000 | ING (US) Funding LLC, 1.90%, 01/15/09 | 32,845,713 | ||||||
35,080,000 | Royal Bank of Scotland, 2.74%, 01/30/09 | 35,002,571 | ||||||
13,720,000 | Societe Generale North America, 1.39%, 03/16/09 | 13,680,799 | ||||||
32,910,000 | Westpac Banking Corp. New York, 1.90%, 02/18/09 | 32,826,628 | ||||||
Total Commercial Paper (Cost $439,031,572) | 439,031,572 | |||||||
Domestic Certificates of Deposit — 3.0% | ||||||||
39,620,000 | Chase Bank USA, NA, 2.50%, 02/06/09 (Cost $39,620,000) | 39,620,000 | ||||||
Yankee Certificates of Deposit — 26.5% | ||||||||
26,100,000 | Bank of Nova Scotia, 1.40%, 01/07/09 | 26,100,000 | ||||||
38,890,000 | Barclays Bank PLC, 2.25%, 02/10/09 | 38,890,000 | ||||||
14,800,000 | Barclays Bank PLC, 2.42%, 02/26/09 | 14,815,292 | ||||||
33,060,000 | BNP Paribas — New York Branch, 2.38%, 01/06/09 | 33,060,000 | ||||||
15,400,000 | BNP Paribas — New York Branch, 1.68%, 02/05/09 | 15,400,000 | ||||||
39,620,000 | Calyon — New York Branch, 3.88%, 01/27/09 | 39,620,000 | ||||||
28,390,000 | Lloyds Bank PLC — New York Branch, 2.05%, 03/02/09 | 28,389,983 | ||||||
32,000,000 | Rabobank Nederland, 3.80%, 01/05/09 | 32,000,000 | ||||||
20,300,000 | Rabobank Nederland, 0.50%, 03/19/09 | 20,300,000 | ||||||
39,230,000 | Royal Bank of Canada, 1.69%, 02/04/09 | 39,230,000 | ||||||
38,710,000 | Societe Generale — New York Branch, 2.20%, 03/03/09 | 38,710,000 | ||||||
24,290,000 | Toronto Dominion Bank, 1.75%, 01/22/09 | 24,290,000 | ||||||
Total Yankee Certificates of Deposit (Cost $350,805,275) | 350,805,275 | |||||||
Short Term US Government Agency Securities — 22.9% | ||||||||
Fannie Mae — 9.5% | ||||||||
28,980,000 | 1.90%, 01/20/09 | 28,950,940 | ||||||
29,690,000 | 2.05%, 03/02/09 | 29,588,559 | ||||||
28,910,000 | 1.05%, 03/09/09 | 28,853,505 | ||||||
39,270,000 | 0.47%, 06/10/09 | 39,187,969 | ||||||
126,580,973 | ||||||||
Federal Home Loan Bank — 7.3% | ||||||||
31,030,000 | 2.40%, 01/14/09 | 31,003,108 | ||||||
29,880,000 | 1.00%, 02/23/09 | 29,836,010 | ||||||
15,000,000 | 2.52%, 04/21/09 | 14,999,392 | ||||||
21,670,000 | 0.25%, 05/15/09 | 21,649,835 | ||||||
97,488,345 | ||||||||
Freddie Mac — 6.1% | ||||||||
28,980,000 | 1.95%, 01/12/09 | 28,962,733 | ||||||
25,479,000 | 2.71%, 02/02/09 | 25,417,623 | ||||||
26,020,000 | 1.11%, 03/11/09 | 25,964,642 | ||||||
80,344,998 | ||||||||
Total Short Term US Government Agency Securities (Cost $304,414,316) | 304,414,316 | |||||||
Short Term Corporate Notes — 4.9% | ||||||||
28,540,000 | Bank of Montreal — Chicago Branch, Series YCD1, Variable Rate, 1.82%, 01/12/09(1) | 28,543,434 | ||||||
35,870,000 | Toyota Motor Credit Corp., Series MTM, Variable Rate, 1.22%, 09/15/09(1) | 35,870,000 | ||||||
Total Short Term Corporate Notes (Cost $64,413,434) | 64,413,434 | |||||||
Total Securities (Cost $1,198,284,597) | 1,198,284,597 | |||||||
Repurchase Agreements — 9.5% | ||||||||
16,800,000 | With Barclays Bank PLC, dated 12/31/08, 0.04%, due 01/02/09, repurchase proceeds at maturity $16,800,037 (Collateralized by Fannie Mae, 4.00%, due 05/14/13, with a value of $17,136,720) | 16,800,000 | ||||||
33,600,000 | With Deutsche Bank, dated 12/31/08, 0.05%, due 01/02/09, repurchase proceeds at maturity $33,600,093 (Collateralized by Fannie Mae, 6.25%, due 02/01/11, with a value of $34,272,608) | 33,600,000 |
64
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Repurchase Agreements (continued) | ||||||||
$ | 62,900,000 | With Goldman Sachs & Company, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $62,900,017 (Collateralized by US Treasury Inflation Index Note, 2.38%, due 01/15/17, with a value of $64,158,087) | $ | 62,900,000 | ||||
13,152,311 | With State Street Bank & Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $13,152,318 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $13,586,400) | 13,152,311 | ||||||
Total Repurchase Agreements (Cost $126,452,311) | 126,452,311 | |||||||
Total Investments — 99.9% (Cost $1,324,736,908) | 1,324,736,908 | |||||||
Other assets less liabilities — 0.1% | 1,064,841 | |||||||
Net Assets — 100.0% | $ | 1,325,801,749 | ||||||
65
PORTFOLIO OF INVESTMENTS
December 31, 2008
Principal | Value | |||||||
US Treasury Securities — 3.9% | ||||||||
US Treasury Notes | ||||||||
$ | 4,000,000 | 1.25%, 11/30/10 | $ | 4,042,960 | ||||
4,500,000 | 4.63%, 10/31/11 | 4,967,577 | ||||||
7,000,000 | 3.13%, 08/31/13(8) | 7,547,421 | ||||||
Total US Treasury Securities (Cost $15,908,003) | 16,557,958 | |||||||
US Government Agency Securities — 26.5% | ||||||||
Asset Backed: Mortgage and Home Equity — 17.1% | ||||||||
2,991,453 | Fannie Mae, Series 2003-32, Class PE, 4.00%, 03/25/26 | 2,990,064 | ||||||
285,668 | Fannie Mae, Series 2003-34, Class GT, 4.00%, 01/25/27 | 285,361 | ||||||
1,797,439 | Fannie Mae, Series 2003-62, Class OD, 3.50%, 04/25/26 | 1,793,413 | ||||||
266,822 | Fannie Mae, Series 2003-63, Class GU, 4.00%, 07/25/33 | 267,731 | ||||||
148,724 | Fannie Mae, Series 2003-67, Class GL, 3.00%, 01/25/25 | 148,444 | ||||||
619,435 | Fannie Mae, Series 2003-92, Class KQ, 3.50%, 06/25/23 | 618,531 | ||||||
2,245,853 | Fannie Mae, Series 2004-70, Class DN, 4.00%, 12/25/29 | 2,230,495 | ||||||
2,765,970 | Fannie Mae, Series 2004-80, Class LG, 4.00%, 10/25/16 | 2,784,072 | ||||||
3,611,556 | Federal Home Loan Bank, Series 1Y-9009, Class A, 4.06%, 08/25/09 | 3,618,345 | ||||||
1,872,752 | Federal Home Loan Bank, Series 3Q-9009, Class 1, 3.92%, 09/25/09 | 1,876,778 | ||||||
5,106,310 | Freddie Mac, Series 2416, Class PE, 6.00%, 10/15/21 | 5,274,824 | ||||||
322,491 | Freddie Mac, Series 2454, Class BG, 6.50%, 08/15/31 | 324,703 | ||||||
3,192,323 | Freddie Mac, Series 2627, Class KP, 2.87%, 12/15/16 | 3,143,813 | ||||||
3,697,596 | Freddie Mac, Series 2630, Class HC, 4.00%, 01/15/17 | 3,709,567 | ||||||
4,613,968 | Freddie Mac, Series 2631, Class CD, 4.00%, 10/15/26 | 4,617,254 | ||||||
4,042,656 | Freddie Mac, Series 2637, Class A, 3.38%, 03/15/18 | 3,987,557 | ||||||
2,899,504 | Freddie Mac, Series 2672, Class HA, 4.00%, 09/15/16 | 2,909,858 | ||||||
1,360,424 | Freddie Mac, Series 2782, Class HE, 4.00%, 09/15/17 | 1,359,948 | ||||||
1,957,369 | Freddie Mac, Series 3056, Class AP, 5.50%, 01/15/27 | 1,985,621 | ||||||
7,392,847 | Government National Mortgage Association, Series 2005-29, Class A, 4.02%, 07/16/27 | 7,430,597 | ||||||
5,110,140 | Government National Mortgage Association, Series 2006-67, Class A, 3.95%, 11/16/30 | 5,131,926 | ||||||
5,272,430 | Government National Mortgage Association, Series 2007-15, Class A, 4.51%, 10/16/28 | 5,325,053 | ||||||
2,863,348 | Government National Mortgage Association, Series 2007-34, Class A, 4.27%, 11/16/26 | 2,884,303 | ||||||
7,547,169 | Government National Mortgage Association, Series 2007-4, Class A, 4.21%, 06/16/29 | 7,608,236 | ||||||
72,306,494 | ||||||||
Fannie Mae — 6.8% | ||||||||
5,300,000 | 6.00%, 05/15/11 | 5,858,000 | ||||||
6,000,000 | 3.25%, 04/09/13(8) | 6,252,000 | ||||||
6,000,000 | 3.88%, 07/12/13 | 6,367,181 | ||||||
285,929 | PL# 254062, 6.00%, 10/01/11 | 294,013 | ||||||
1,089,346 | PL# 254754, 4.50%, 05/01/10 | 1,091,584 | ||||||
1,332,681 | PL# 254758, 4.50%, 06/01/13 | 1,362,086 | ||||||
1,261,345 | PL# 254807, 5.00%, 07/01/13 | 1,297,607 | ||||||
2,540,162 | PL# 254914, 4.50%, 09/01/13 | 2,598,258 | ||||||
350,310 | PL# 323743, 5.00%, 04/01/14 | 358,848 | ||||||
184,908 | PL# 429168, 6.00%, 05/01/13 | 192,765 | ||||||
2,451 | PL# 50973, 6.00%, 01/01/09 | 2,461 | ||||||
232,838 | PL# 517699, 6.00%, 07/01/14 | 242,732 | ||||||
590,988 | PL# 545038, 6.00%, 09/01/14 | 615,361 | ||||||
1,906,291 | PL# 555154, 5.50%, 12/01/22 | 1,963,509 | ||||||
28,496,405 | ||||||||
Federal Home Loan Bank — 0.9% | ||||||||
3,786,868 | Series 6T-9009, 3.84%, 11/25/09 | 3,850,476 | ||||||
Freddie Mac Gold — 1.4% | ||||||||
68,984 | PL# E00532, 6.50%, 02/01/13 | 71,458 | ||||||
119,052 | PL# E00542, 6.50%, 04/01/13 | 123,268 | ||||||
334,877 | PL# E00676, 5.50%, 06/01/14 | 344,463 | ||||||
635,781 | PL# E89557, 5.50%, 04/01/17 | 658,028 | ||||||
983,237 | PL# G40426, 5.50%, 03/01/11 | 989,323 | ||||||
3,534,267 | PL# M80812, 4.50%, 04/01/10 | 3,535,595 | ||||||
5,722,135 | ||||||||
66
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Government National Mortgage Association — 0.3% | ||||||||
$ | 1,160,784 | PL# 436708, 5.75%, 12/15/22 | $ | 1,207,925 | ||||
Total US Government Agency Securities (Cost $108,925,277) | 111,583,435 | |||||||
Corporate Bonds and Notes — 64.5% | ||||||||
Banks and Financial Services — 17.9% | ||||||||
5,000,000 | American Express Bank FSB, Series BKNT, Floating Rate, 0.57%, 06/22/09(3) | 4,860,360 | ||||||
4,330,000 | Bank of America Corp., 7.13%, 03/01/09 | 4,336,127 | ||||||
1,375,000 | Bank of America Corp., 7.80%, 02/15/10 | 1,408,743 | ||||||
2,500,000 | Bank of America Corp., Series MTNL, 3.13%, 06/15/12 | 2,597,955 | ||||||
3,475,000 | Citigroup, Inc., 5.10%, 09/29/11 | 3,354,696 | ||||||
2,275,000 | CME Group, Inc., 5.40%, 08/01/13 | 2,259,801 | ||||||
6,155,000 | Credit Suisse First Boston USA, Inc., 4.70%, 06/01/09 | 6,155,221 | ||||||
7,200,000 | General Electric Capital Corp., Series MTNA, 4.13%, 09/01/09 | 7,224,306 | ||||||
2,800,000 | Goldman Sachs Group, Inc. (The), 6.88%, 01/15/11 | 2,820,454 | ||||||
4,000,000 | Goldman Sachs Group, Inc. (The), Series MTNB, Floating Rate, 4.73%, 10/07/11(2) | 3,546,888 | ||||||
5,600,000 | JPMorgan Chase & Company, 4.75%, 05/01/13 | 5,525,906 | ||||||
6,000,000 | Merrill Lynch & Company, Inc., Series MTNC, 4.13%, 01/15/09 | 5,997,426 | ||||||
6,125,000 | Morgan Stanley, 6.75%, 04/15/11 | 6,026,547 | ||||||
3,025,000 | National City Bank, Series BKNT, 4.25%, 01/29/10 | 2,914,240 | ||||||
3,670,000 | NYSE Euronext, 4.80%, 06/28/13 | 3,559,731 | ||||||
5,675,000 | SLM Corp., Series MTNA, 4.50%, 07/26/10 | 4,925,145 | ||||||
4,500,000 | Wells Fargo & Company, Floating Rate, 1.56%, 03/23/10(2) | 4,409,888 | ||||||
3,000,000 | Wells Fargo Bank, NA, Series BKNT, 6.45%, 02/01/11 | 3,109,626 | ||||||
75,033,060 | ||||||||
Chemicals — 0.4% | ||||||||
1,855,000 | Praxair, Inc., 3.95%, 06/01/13 | 1,799,582 | ||||||
Consumer Goods and Services — 0.8% | ||||||||
3,455,000 | Clorox Company, 4.20%, 01/15/10 | 3,413,281 | ||||||
Diversified Operations and Services — 0.3% | ||||||||
3,825,000 | Capmark Financial Group, 5.88%, 05/10/12 | 1,304,291 | ||||||
Equipment Rental and Leasing — 0.9% | ||||||||
5,420,000 | International Lease Finance Corp., Series MTNQ, 5.75%, 06/15/11 | 3,952,719 | ||||||
Insurance — 2.7% | ||||||||
6,000,000 | Met Life Global Funding I — 144A, Series MTN, 5.75%, 07/25/11 | 5,772,191 | ||||||
2,500,000 | New York Life Global Funding — 144A, 3.88%, 01/15/09 | 2,500,608 | ||||||
3,115,000 | Principal Life Income Funding Trust, Series MTN, 5.20%, 11/15/10 | 3,164,236 | ||||||
11,437,035 | ||||||||
Machinery — 0.5% | ||||||||
2,000,000 | Caterpillar, Inc., 7.25%, 09/15/09 | 2,036,392 | ||||||
Office Equipment, Supplies, and Services — 0.6% | ||||||||
3,005,000 | Xerox Corp., 5.50%, 05/15/12 | 2,518,340 | ||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 10.2% | ||||||||
2,491,605 | Bay View Auto Trust, Series 2005-LJ1, Class A4, 4.09%, 05/25/12 | 2,226,483 | ||||||
2,500,000 | BMW Vehicle Owner Trust, Series 2006-A, Class A4, 5.07%, 08/25/11 | 2,438,034 | ||||||
3,000,000 | Capital One Prime Auto Receivables Trust, Series 2007-1, Class B1, 5.76%, 12/15/13 | 2,211,571 | ||||||
2,344,956 | Carmax Auto Owner Trust, Series 2005-2, Class A4, 4.34%, 09/15/10 | 2,331,425 | ||||||
948,633 | Chase Manhattan Auto Owner Trust, Series 2006-A, Class CTFS, 5.47%, 01/15/13 | 941,310 | ||||||
3,200,000 | Chase Manhattan Auto Owner Trust, Series 2006-B, Class A4, 5.11%, 04/15/14 | 3,090,242 | ||||||
3,800,000 | Ford Credit Auto Owner Trust, Series 2005-C, Class B, 4.52%, 09/15/10 | 3,668,154 | ||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2007-A, Class B, 5.60%, 10/15/12 | 761,799 | ||||||
1,666,667 | Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A2, 4.93%, 02/25/10 | 1,655,953 | ||||||
2,000,000 | Hertz Vehicle Financing LLC — 144A, Series 2005-2A, Class A4, 5.01%, 02/25/11 | 1,826,427 |
67
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs (continued) | ||||||||
$ | 5,500,000 | Huntington Auto Trust — 144A, Series 2008-1A, Class A3A, 4.81%, 04/16/12 | $ | 5,073,018 | ||||
3,000,000 | Hyundai Auto Receivables Trust, Series 2006-B, Class B, 5.19%, 05/15/13 | 2,820,674 | ||||||
3,500,000 | Hyundai Auto Receivables Trust, Series 2008-A, Class A3, 4.93%, 12/17/12 | 3,232,689 | ||||||
1,250,000 | Susquehanna Auto Lease Trust — 144A, Series 2007-1, Class B, 5.31%, 07/14/10 | 1,213,769 | ||||||
5,400,000 | USAA Auto Owner Trust, Series 2007-2, Class A4, 5.07%, 06/15/13 | 5,098,723 | ||||||
4,550,000 | World Omni Auto Receivables Trust, Series 2006-B, Class A4, 5.12%, 06/15/12 | 4,404,644 | ||||||
42,994,915 | ||||||||
Private Asset Backed: Banks and Financial Services — 3.5% | ||||||||
796,710 | Bear Stearns Asset Backed Securities, Inc., Series 2003-AC3, Class A1, Floating Rate, 4.50%, 07/25/33(3) | 634,333 | ||||||
3,000,000 | Caterpillar Financial Asset Trust, Series 2006-A, Class B, 5.71%, 06/25/12 | 2,608,160 | ||||||
1,552,234 | Community Program Loan Trust, Series 1987-A, Class A4, 4.50%, 10/01/18 | 1,555,107 | ||||||
2,499,291 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A2, 4.31%, 08/10/42 | 2,364,989 | ||||||
3,151,046 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A1, 4.79%, 04/10/37 | 3,093,072 | ||||||
3,358,853 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A1, 5.74%, 07/10/38 | 3,251,693 | ||||||
1,380,750 | Morgan Stanley Capital I, Series 2005-HQ6, Class A1, 4.65%, 08/13/42 | 1,340,369 | ||||||
14,847,723 | ||||||||
Private Asset Backed: Credit Cards — 4.4% | ||||||||
3,000,000 | Cabela’s Master Credit Card Trust — 144A, Series 2006-3A, Class A1, 5.26%, 10/15/14 | 2,689,424 | ||||||
3,000,000 | Capital One Multi-Asset Execution Trust, Series 2006-A6, Class A6, 5.30%, 02/18/14 | 2,811,494 | ||||||
4,000,000 | Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4, 5.45%, 05/10/13 | 3,829,717 | ||||||
1,925,000 | Citibank Credit Card Issuance Trust, Series 2006-B2, Class B2, 5.15%, 03/07/11 | 1,903,372 | ||||||
4,940,000 | GE Capital Credit Card Master Note Trust, Series 2006-1, Class A, 5.08%, 09/15/12 | 4,818,062 | ||||||
3,000,000 | GE Capital Credit Card Master Note Trust, Series 2007-3, Class B, 5.49%, 06/15/13 | 2,477,261 | ||||||
18,529,330 | ||||||||
Private Asset Backed: Mortgage and Home Equity — 9.5% | ||||||||
19,851 | American General Mortgage Loan Trust — 144A, Series 2006-1, Class A1, 5.75%, 12/25/35 | 19,748 | ||||||
217,162 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001-TOP4, Class A1, 5.06%, 11/15/16 | 211,725 | ||||||
974,999 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2002-PBW1, Class A1, 3.97%, 11/11/35 | 945,960 | ||||||
811,318 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR9, Class A1, 4.50%, 09/11/42 | 789,972 | ||||||
1,958,994 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2006-T22, Class A1, 5.42%, 04/12/38 | 1,888,131 | ||||||
7,000,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW15, Class A2, 5.21%, 02/11/44 | 5,458,630 | ||||||
2,896,551 | Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A6, 4.43%, 10/25/14 | 2,620,953 | ||||||
2,522,905 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2005-CD1, Class A1, 5.05%, 07/15/44 | 2,480,605 | ||||||
3,373,844 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C5, Class A2, 4.18%, 11/15/37 | 3,278,064 | ||||||
231,870 | GE Capital Commercial Mortgage Corp., Series 2001-3, Class A1, 5.56%, 06/10/38 | 226,087 | ||||||
2,815,174 | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A2, 5.99%, 12/10/35 | 2,779,780 | ||||||
315,049 | GE Capital Commercial Mortgage Corp., Series 2005-C1, Class A1, 4.01%, 06/10/48 | 312,165 |
68
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 567,886 | GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2, 4.39%, 12/25/25 | $ | 551,602 | ||||
379,151 | Interstar Millennium Trust, Series 2003-3G, Class A2, (Australia), Floating Rate, 1.72%, 09/27/35(2) | 371,931 | ||||||
717,631 | Interstar Millennium Trust, Series 2004-2G, Class A, (Australia), Floating Rate, 2.20%, 03/14/36(2) | 688,096 | ||||||
441,856 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A1, 4.33%, 12/12/34 | 418,680 | ||||||
4,445,718 | JPMorgan Mortgage Trust, Series 2006-S2, Class 1A17, 6.00%, 07/25/36 | 2,785,898 | ||||||
19,078 | LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class A2, 3.32%, 03/15/27 | 19,021 | ||||||
27,009 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 | 26,848 | ||||||
4,550,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27 | 4,298,469 | ||||||
2,328,925 | Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF3, 4.44%, 07/25/35 | 2,125,018 | ||||||
5,369,203 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-8, Class 1A8, 5.50%, 10/25/35 | 4,390,583 | ||||||
26,924 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-11, Class 1A1, 3.50%, 10/25/18 | 26,830 | ||||||
3,560,469 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-9, Class 1A1, 4.75%, 10/25/35 | 3,296,764 | ||||||
40,011,560 | ||||||||
Private Asset Backed: Other — 5.8% | ||||||||
3,017,241 | ALG Student Loan Trust — 144A, Series 2006-1A, Class A1, Floating Rate, 3.53%, 10/28/18(2) | 2,937,567 | ||||||
354,865 | CIT Equipment Collateral, Series 2006-VT1, Class A3, 5.13%, 12/21/09 | 354,776 | ||||||
3,000,000 | CNH Equipment Trust, Series 2006-B, Class B, 5.36%, 06/17/13 | 2,168,615 | ||||||
2,000,000 | CNH Equipment Trust, Series 2007-A, Class B, 5.09%, 06/16/14 | 1,346,391 | ||||||
4,200,000 | CNH Equipment Trust, Series 2007-B, Class A3A, 5.40%, 10/17/11 | 4,129,787 | ||||||
842,629 | Crusade Global Trust, Series 2004-2, Class A1, (Australia), Floating Rate, 2.37%, 11/19/37(2) | 779,690 | ||||||
1,227,825 | Goal Capital Funding Trust, Series 2006-1, Class A1, Floating Rate, 2.16%, 08/25/20(2) | 1,206,679 | ||||||
1,343,336 | Great America Leasing Receivables — 144A, Series 2006-1, Class A3, 5.34%, 01/15/10 | 1,342,234 | ||||||
4,000,000 | John Deere Owner Trust, Series 2007-A, Class A4, 5.07%, 04/15/14 | 3,806,888 | ||||||
3,501,000 | Marlin Leasing Receivables LLC — 144A, Series 2006-1A, Class A4, 5.33%, 09/15/13 | 3,375,502 | ||||||
3,004,663 | Massachusetts RRB Special Purpose Trust, Series 1999-1, Class A5, 7.03%, 03/15/12 | 3,072,143 | ||||||
24,520,272 | ||||||||
Private Asset Backed: Transportation — 1.1% | ||||||||
1,321,398 | E-Trade RV and Marine Trust, Series 2004-1, Class A3, 3.62%, 10/08/18 | 1,238,827 | ||||||
3,451,939 | Railcar Leasing LLC — 144A, Series 1, Class A2, 7.13%, 01/15/13 | 3,291,748 | ||||||
4,530,575 | ||||||||
Real Estate Investment Trusts — 0.6% | ||||||||
3,190,000 | Boston Properties LP, 6.25%, 01/15/13 | 2,368,119 | ||||||
Retail — 1.2% | ||||||||
5,035,000 | CVS Caremark Corp., 5.75%, 08/15/11 | 5,052,411 | ||||||
Telecommunications Equipment and Services — 1.4% | ||||||||
5,925,000 | BellSouth Corp., 6.00%, 10/15/11 | 6,045,923 | ||||||
Utilities — 2.7% | ||||||||
5,125,000 | Consolidated Edison Company of New York, Inc., 4.70%, 06/15/09 | 5,124,406 | ||||||
6,420,000 | Exelon Generation Company LLC, 6.95%, 06/15/11 | 6,231,887 | ||||||
11,356,293 | ||||||||
Total Corporate Bonds and Notes (Cost $293,747,689) | 271,751,821 | |||||||
69
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Municipal Bonds — 1.5% | ||||||||
Texas | ||||||||
$ | 6,350,000 | Brazos Texas Higher Education Authority, Revenue Bond, Series A-5, 4.91%, 12/01/40 (Cost $6,281,539) | $ | 6,350,000 | ||||
Securities Lending Collateral — 2.5% | ||||||||
10,391,435 | Securities Lending Collateral Investment (Note 4) (Cost $10,391,435) | 10,391,435 | ||||||
Short Term US Government Agency Securities — 2.4% | ||||||||
Fannie Mae — 1.7% | ||||||||
4,000,000 | 0.20%, 02/18/09 | 3,998,933 | ||||||
1,000,000 | 1.45%, 04/01/09 | 996,375 | ||||||
2,000,000 | 0.40%, 05/11/09 | 1,997,111 | ||||||
6,992,419 | ||||||||
Federal Home Loan Bank — 0.7% | ||||||||
3,000,000 | 1.70%, 05/15/09 | 2,981,017 | ||||||
Total Short Term US Government Agency Securities (Cost $9,973,436) | 9,973,436 | |||||||
Total Securities (Cost $445,227,379) | 426,608,085 | |||||||
Repurchase Agreements — 0.5% | ||||||||
2,244,128 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $2,244,129 (Collateralized by US Treasury Bill, 0.02%, due 05/14/09, with a value of $2,289,771) (Cost $2,244,128) | 2,244,128 | ||||||
Total Investments — 101.8% (Cost $447,471,507) | 428,852,213 | |||||||
Liabilities less other assets — (1.8)% | (7,620,710 | ) | ||||||
Net Assets — 100.0% | $ | 421,231,503 | ||||||
Gross unrealized appreciation | $ | 3,766,536 | ||
Gross unrealized depreciation | (22,385,830 | ) | ||
Net unrealized depreciation | $ | (18,619,294 | ) | |
70
PORTFOLIO OF INVESTMENTS
December 31, 2008
Principal | Value | |||||||
US Treasury Securities — 88.6% | ||||||||
US Treasury Bonds — 0.8% | ||||||||
$ | 2,285,000 | 4.50%, 05/15/38 | $ | 3,118,669 | ||||
US Treasury Inflation Index — 87.8% | ||||||||
7,161,928 | 3.38%, 01/15/12 | 7,084,716 | ||||||
25,703,192 | 2.00%, 04/15/12 | 25,064,622 | ||||||
13,049,284 | 3.00%, 07/15/12 | 12,789,316 | ||||||
12,258,641 | 0.63%, 04/15/13 | 11,720,413 | ||||||
13,370,426 | 1.88%, 07/15/13 | 12,588,042 | ||||||
26,879,104 | 2.00%, 01/15/14 | 25,467,951 | ||||||
31,008,923 | 2.00%, 07/15/14 | 29,325,233 | ||||||
6,801,867 | 1.63%, 01/15/15 | 6,307,671 | ||||||
27,315,945 | 1.88%, 07/15/15 | 25,802,887 | ||||||
13,775,109 | 2.00%, 01/15/16 | 13,191,815 | ||||||
12,658,450 | 2.50%, 07/15/16(5) | 12,558,562 | ||||||
14,561,865 | 2.38%, 01/15/17 | 14,446,958 | ||||||
4,364,128 | 2.63%, 07/15/17 | 4,472,209 | ||||||
24,456,938 | 1.63%, 01/15/18 | 23,213,083 | ||||||
9,569,387 | 1.38%, 07/15/18 | 8,949,616 | ||||||
29,032,076 | 2.38%, 01/15/25 | 28,533,072 | ||||||
21,994,330 | 2.00%, 01/15/26 | 20,717,625 | ||||||
11,381,997 | 2.38%, 01/15/27 | 11,434,456 | ||||||
16,370,120 | 1.75%, 01/15/28 | 15,124,452 | ||||||
3,161,126 | 3.63%, 04/15/28 | 3,765,937 | ||||||
22,594,367 | 3.88%, 04/15/29 | 27,905,805 | ||||||
909,295 | 3.38%, 04/15/32 | 1,121,203 | ||||||
341,585,644 | ||||||||
Total US Treasury Securities (Cost $365,058,420) | 344,704,313 | |||||||
US Government Agency Securities — 2.7% | ||||||||
Fannie Mae — 0.6% | ||||||||
2,340,000 | Floating Rate, 6.08%, 02/17/09(3) | 2,337,075 | ||||||
Federal Home Loan Bank — 2.1% | ||||||||
7,100,000 | Series 656, 5.38%, 05/18/16 | 8,118,225 | ||||||
Total US Government Agency Securities (Cost $9,639,843) | 10,455,300 | |||||||
Corporate Bonds and Notes — 3.0% | ||||||||
Banks and Financial Services — 1.4% | ||||||||
649,000 | Bear Stearns Companies, Inc. (The), Series CPI, Floating Rate, 6.74%, 03/10/14(3) | 526,261 | ||||||
2,545,000 | General Electric Capital Corp., 5.63%, 05/01/18(5) | 2,563,449 | ||||||
315,000 | International Bank for Reconstruction & Development, Series CPI (Supra National), Floating Rate, 6.91%, 12/10/13(3) | 262,215 | ||||||
1,530,000 | JPMorgan Chase & Company, Series MTNC, Floating Rate, 5.39%, 06/28/09(3) | 1,542,638 | ||||||
1,055,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.63%, 01/24/13(9) | 100,225 | ||||||
1,243,000 | Lehman Brothers Holdings, Inc., Series MTNG, Floating Rate, 6.29%, 06/02/09(3)(9) | 111,870 | ||||||
370,000 | SLM Corp., Series CPI, Floating Rate, 6.31%, 06/01/09(3) | 324,242 | ||||||
900,000 | SLM Corp., Series CPI, Floating Rate, 7.06%, 01/31/14(3) | 476,721 | ||||||
5,907,621 | ||||||||
Private Asset Backed: Credit Cards — 0.3% | ||||||||
1,100,000 | Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 1,020,459 | ||||||
Private Asset Backed: Mortgage and Home Equity — 1.0% | ||||||||
585,000 | Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43 | 470,669 | ||||||
685,000 | Bank of America Commercial Mortgage, Inc., Series 2005-4, Class A5A, 4.93%, 07/10/45 | 555,725 | ||||||
252,648 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 0.58%, 03/25/37(3) | 218,023 | ||||||
1,996,854 | Countrywide Alternative Loan Trust, Series 2006-OA21, Class A1, Floating Rate, 0.70%, 03/20/47(3) | 818,243 | ||||||
695,000 | GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Class A4, 4.55%, 12/10/41 | 627,796 | ||||||
765,000 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Class A4, Floating Rate, 5.27%, 12/15/44(3) | 612,832 | ||||||
750,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4, Floating Rate, 5.74%, 05/15/43(3) | 597,131 | ||||||
3,900,419 | ||||||||
71
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Telecommunications Equipment and Services — 0.3% | ||||||||
$ | 850,000 | Verizon Wireless — 144A, 8.50%, 11/15/18 | $ | 995,925 | ||||
Total Corporate Bonds and Notes (Cost $15,465,921) | 11,824,424 | |||||||
Contracts | ||||||||
Purchased Put Options — 0.0% | ||||||||
11,000,000 | Expiring 09/14/09. If exercised the Series receives floating 3 month LIBOR, and pays 6.50%, expiring 09/16/39, European Style (Cost $43,175) | 26,663 | ||||||
Total Securities (Cost $390,207,359) | 367,010,700 | |||||||
Principal | ||||||||
Repurchase Agreements — 4.5% | ||||||||
$ | 17,373,040 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $17,373,049 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $17,782,200) (Cost $17,373,040) | 17,373,040 | |||||
Total Investments — 98.8% (Cost $407,580,399) | 384,383,740 | |||||||
Other assets less liabilities — 1.2% | 4,814,134 | |||||||
Net Assets — 100.0% | $ | 389,197,874 | ||||||
Gross/Net unrealized depreciation (includes gross unrealized appreciation of $0) | $ | (26,219,274 | ) | |
72
PORTFOLIO OF INVESTMENTS
December 31, 2008
Principal | Value | |||||||
US Treasury Securities — 2.4% | ||||||||
US Treasury Inflation Index — 1.1% | ||||||||
$ | 7,786,711 | 2.38%, 01/15/25 | $ | 7,652,872 | ||||
4,611,714 | 2.00%, 01/15/26 | 4,344,018 | ||||||
3,018,727 | 2.38%, 01/15/27 | 3,032,640 | ||||||
4,234,721 | 1.75%, 01/15/28 | 3,912,485 | ||||||
18,942,015 | ||||||||
US Treasury Strips — 1.3% | ||||||||
39,505,000 | Zero coupon, 11/15/27 | 21,780,411 | ||||||
Total US Treasury Securities (Cost $35,994,694) | 40,722,426 | |||||||
US Government Agency Securities — 65.7% | ||||||||
Asset Backed: Mortgage and Home Equity — 0.7% | ||||||||
16,862,792 | Fannie Mae IO Strips, Series 360, Class 2, 5.00%, 08/01/35 | 1,925,672 | ||||||
20,380,562 | Fannie Mae IO Strips, Series 378, Class 4, 5.00%, 07/01/36 | 1,953,025 | ||||||
3,929,113 | Fannie Mae IO Strips, Series 387, Class 5, 5.00%, 03/25/38 | 566,904 | ||||||
2,204,548 | Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29 | 2,280,988 | ||||||
4,861,230 | Freddie Mac, Series 2825, Class VP, 5.50%, 06/15/15 | 5,090,173 | ||||||
11,816,762 | ||||||||
Asset Backed: US Government Agencies — 0.1% | ||||||||
937,233 | Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/10/12 | 952,104 | ||||||
1,251,556 | Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14 | 1,230,846 | ||||||
2,182,950 | ||||||||
Fannie Mae — 33.7% | ||||||||
4,100,000 | 5.25%, 08/01/12 | 4,321,482 | ||||||
10,200,000 | 4.63%, 05/01/13 | 10,567,302 | ||||||
15,875,000 | 2.88%, 12/11/13 | 16,260,334 | ||||||
12,480,000 | 5.38%, 06/12/17(8) | 14,580,584 | ||||||
228,460 | PL# 252571, 7.00%, 07/01/29 | 241,709 | ||||||
3,301 | PL# 252716, 7.00%, 09/01/29 | 3,493 | ||||||
1,001 | PL# 253264, 7.00%, 05/01/30 | 1,059 | ||||||
692 | PL# 253346, 7.50%, 06/01/30 | 733 | ||||||
11,434 | PL# 253479, 7.00%, 10/01/30 | 12,098 | ||||||
20,620 | PL# 253990, 7.00%, 09/01/16 | 21,541 | ||||||
18,589 | PL# 254008, 7.00%, 10/01/31 | 19,670 | ||||||
264,599 | PL# 254346, 6.50%, 06/01/32 | 276,092 | ||||||
227,758 | PL# 254406, 6.50%, 08/01/32 | 237,651 | ||||||
10,651 | PL# 255032, 5.50%, 12/01/18 | 11,023 | ||||||
121,442 | PL# 255950, 6.00%, 09/01/15 | 127,749 | ||||||
357,815 | PL# 256137, 6.00%, 02/01/16 | 376,821 | ||||||
376,399 | PL# 256335, 6.00%, 07/01/16 | 389,464 | ||||||
2,535,062 | PL# 256936, 6.00%, 10/01/37 | 2,572,863 | ||||||
510,788 | PL# 323842, 5.50%, 07/01/14 | 531,374 | ||||||
34,084 | PL# 323967, 7.00%, 10/01/29 | 36,061 | ||||||
3,999 | PL# 492742, 7.00%, 05/01/29 | 4,231 | ||||||
1,071 | PL# 503916, 7.50%, 06/01/29 | 1,135 | ||||||
1,788 | PL# 508415, 7.00%, 08/01/29 | 1,891 | ||||||
8,489 | PL# 515946, 7.00%, 10/01/29 | 8,982 | ||||||
265 | PL# 524164, 7.00%, 11/01/29 | 280 | ||||||
107,533 | PL# 524657, 7.00%, 01/01/30 | 113,779 | ||||||
19,085 | PL# 526053, 7.00%, 12/01/29 | 20,192 | ||||||
333 | PL# 527717, 7.50%, 01/01/30 | 353 | ||||||
3,412 | PL# 528107, 7.00%, 02/01/30 | 3,610 | ||||||
4,668 | PL# 531497, 7.00%, 02/01/30 | 4,939 | ||||||
6,264 | PL# 531735, 7.00%, 02/01/30 | 6,628 | ||||||
914 | PL# 533841, 7.50%, 12/01/30 | 968 | ||||||
17,022 | PL# 535030, 7.00%, 12/01/29 | 18,010 | ||||||
22,854 | PL# 535103, 7.00%, 01/01/15 | 23,751 | ||||||
6,639 | PL# 535159, 7.00%, 02/01/30 | 7,024 | ||||||
30,904 | PL# 535195, 7.00%, 03/01/30 | 32,697 | ||||||
8,705 | PL# 535277, 7.00%, 04/01/30 | 9,210 | ||||||
260,398 | PL# 535675, 7.00%, 01/01/16 | 271,412 | ||||||
725 | PL# 535722, 7.00%, 02/01/31 | 767 | ||||||
4,609 | PL# 535723, 7.00%, 02/01/31 | 4,876 | ||||||
1,077 | PL# 535811, 6.50%, 04/01/31 | 1,127 | ||||||
66,755 | PL# 535880, 7.00%, 02/01/31 | 70,628 | ||||||
469 | PL# 540211, 7.50%, 06/01/30 | 497 | ||||||
1,308 | PL# 542999, 7.50%, 08/01/30 | 1,384 | ||||||
79,691 | PL# 545249, 5.50%, 10/01/16 | 82,654 | ||||||
424,089 | PL# 545298, 5.50%, 11/01/16 | 439,856 | ||||||
4,562 | PL# 545363, 5.50%, 11/01/16 | 4,732 | ||||||
1,615,242 | PL# 545411, 5.50%, 01/01/17 | 1,675,295 | ||||||
21,982 | PL# 545477, 7.00%, 03/01/32 | 23,262 | ||||||
181,638 | PL# 545759, 6.50%, 07/01/32 | 189,528 | ||||||
730,842 | PL# 545760, 6.50%, 07/01/32 | 762,588 | ||||||
133,960 | PL# 545762, 6.50%, 07/01/32 | 139,779 | ||||||
21,125 | PL# 549659, 7.00%, 02/01/16 | 22,068 | ||||||
11,664 | PL# 549962, 7.00%, 10/01/30 | 12,342 | ||||||
43,356 | PL# 549975, 7.00%, 10/01/30 | 45,874 | ||||||
4,740 | PL# 550440, 7.00%, 02/01/16 | 4,952 | ||||||
39,637 | PL# 554493, 7.00%, 10/01/30 | 41,939 | ||||||
190,365 | PL# 555114, 5.50%, 12/01/17 | 197,086 | ||||||
23,145 | PL# 555144, 7.00%, 10/01/32 | 24,490 | ||||||
314,035 | PL# 555254, 6.50%, 01/01/33 | 328,657 | ||||||
182,334 | PL# 555798, 6.50%, 05/01/33 | 190,824 |
73
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 1,564 | PL# 558362, 7.50%, 11/01/30 | $ | 1,656 | ||||
365 | PL# 558519, 7.50%, 11/01/30 | 387 | ||||||
1,338 | PL# 559277, 7.00%, 10/01/30 | 1,415 | ||||||
29,644 | PL# 559313, 7.00%, 12/01/30 | 31,366 | ||||||
1,243 | PL# 559741, 7.50%, 01/01/31 | 1,317 | ||||||
20,799 | PL# 560384, 7.00%, 11/01/30 | 22,007 | ||||||
2,712 | PL# 561678, 7.50%, 12/01/30 | 2,871 | ||||||
1,446 | PL# 564080, 7.50%, 12/01/30 | 1,531 | ||||||
6,109 | PL# 564183, 7.00%, 12/01/30 | 6,464 | ||||||
1,372 | PL# 564529, 7.50%, 12/01/30 | 1,452 | ||||||
6,063 | PL# 566658, 7.00%, 02/01/31 | 6,416 | ||||||
55,895 | PL# 572453, 5.50%, 04/01/16 | 57,973 | ||||||
6,238 | PL# 575285, 7.50%, 03/01/31 | 6,609 | ||||||
4,368 | PL# 579161, 6.50%, 04/01/31 | 4,571 | ||||||
304,304 | PL# 580165, 5.50%, 09/01/16 | 315,618 | ||||||
9,923 | PL# 580179, 7.00%, 10/01/16 | 10,366 | ||||||
38,391 | PL# 580515, 5.50%, 04/01/16 | 39,819 | ||||||
9,351 | PL# 584811, 7.00%, 05/01/31 | 9,895 | ||||||
88,920 | PL# 585248, 7.00%, 06/01/31 | 94,085 | ||||||
138,961 | PL# 589120, 5.50%, 11/01/16 | 144,127 | ||||||
1,088 | PL# 589405, 7.50%, 06/01/31 | 1,153 | ||||||
5,662 | PL# 589893, 7.00%, 06/01/31 | 5,992 | ||||||
4,560 | PL# 592129, 7.50%, 06/01/31 | 4,831 | ||||||
4,092 | PL# 596895, 6.50%, 07/01/31 | 4,283 | ||||||
7,172 | PL# 598125, 7.00%, 09/01/16 | 7,492 | ||||||
6,741 | PL# 602148, 5.50%, 09/01/16 | 6,991 | ||||||
55,836 | PL# 604517, 5.50%, 11/01/16 | 57,912 | ||||||
5,963 | PL# 606551, 6.50%, 10/01/31 | 6,241 | ||||||
2,562 | PL# 606600, 7.00%, 10/01/31 | 2,711 | ||||||
32,990 | PL# 607386, 5.50%, 11/01/16 | 34,216 | ||||||
49,403 | PL# 607493, 5.50%, 11/01/16 | 51,240 | ||||||
21,880 | PL# 610128, 7.00%, 10/01/31 | 23,152 | ||||||
167,890 | PL# 610579, 5.50%, 12/01/16 | 174,132 | ||||||
7,700 | PL# 611323, 7.00%, 10/01/16 | 8,044 | ||||||
21,711 | PL# 612071, 5.50%, 11/01/16 | 22,519 | ||||||
130,317 | PL# 614506, 5.50%, 11/01/16 | 135,162 | ||||||
1,297,981 | PL# 619054, 5.50%, 02/01/17 | 1,343,805 | ||||||
5,139 | PL# 622119, 6.50%, 01/01/32 | 5,378 | ||||||
194,389 | PL# 624035, 6.50%, 01/01/32 | 204,611 | ||||||
7,594 | PL# 629236, 6.50%, 02/01/32 | 7,924 | ||||||
491,615 | PL# 631321, 5.50%, 02/01/17 | 508,971 | ||||||
31,001 | PL# 631606, 5.50%, 03/01/17 | 32,096 | ||||||
34,805 | PL# 632269, 7.00%, 05/01/32 | 36,828 | ||||||
6,902 | PL# 634563, 6.50%, 03/01/32 | 7,202 | ||||||
57,240 | PL# 634949, 7.00%, 05/01/32 | 60,571 | ||||||
191,214 | PL# 635164, 6.50%, 08/01/32 | 199,520 | ||||||
2,360 | PL# 644932, 6.50%, 07/01/32 | 2,462 | ||||||
4,559 | PL# 647556, 7.00%, 01/01/30 | 4,824 | ||||||
422,233 | PL# 648795, 6.50%, 08/01/32 | 440,573 | ||||||
136,928 | PL# 650206, 5.50%, 01/01/18 | 141,762 | ||||||
68,805 | PL# 650291, 6.50%, 07/01/32 | 71,794 | ||||||
193,456 | PL# 651649, 6.50%, 08/01/32 | 201,860 | ||||||
746,676 | PL# 652127, 6.50%, 06/01/32 | 779,110 | ||||||
2,076 | PL# 663353, 6.50%, 09/01/32 | 2,166 | ||||||
28,889 | PL# 664188, 5.50%, 09/01/17 | 29,908 | ||||||
39,244 | PL# 664194, 5.50%, 09/01/17 | 40,629 | ||||||
335,767 | PL# 670402, 6.50%, 06/01/32 | 350,352 | ||||||
148,437 | PL# 675314, 5.50%, 12/01/17 | 153,677 | ||||||
245,052 | PL# 676800, 5.50%, 01/01/18 | 253,703 | ||||||
345,087 | PL# 679631, 5.50%, 02/01/18 | 357,054 | ||||||
6,408 | PL# 681343, 5.50%, 02/01/18 | 6,631 | ||||||
278,993 | PL# 683199, 5.50%, 02/01/18 | 288,668 | ||||||
4,428,931 | PL# 687889, 5.50%, 03/01/33 | 4,550,915 | ||||||
5,454 | PL# 694372, 6.50%, 11/01/32 | 5,691 | ||||||
58,750 | PL# 695925, 5.50%, 05/01/18 | 60,788 | ||||||
6,695 | PL# 701236, 5.50%, 05/01/18 | 6,927 | ||||||
6,433 | PL# 708637, 5.50%, 06/01/18 | 6,656 | ||||||
10,630 | PL# 725071, 5.50%, 12/01/18 | 10,998 | ||||||
7,011,293 | PL# 725162, 6.00%, 02/01/34 | 7,240,554 | ||||||
9,088 | PL# 725269, 5.50%, 03/01/19 | 9,409 | ||||||
176,233 | PL# 725407, 6.50%, 01/01/34 | 184,439 | ||||||
251,072 | PL# 725418, 6.50%, 05/01/34 | 262,763 | ||||||
3,674,395 | PL# 725519, 5.50%, 05/01/19 | 3,804,114 | ||||||
4,094,973 | PL# 725704, 6.00%, 08/01/34 | 4,228,874 | ||||||
9,653,388 | PL# 725946, 5.50%, 11/01/34(4)(5) | 9,913,234 | ||||||
8,845 | PL# 732724, 5.50%, 08/01/18 | 9,152 | ||||||
13,973,233 | PL# 735141, 5.50%, 01/01/35 | 14,349,359 | ||||||
3,209,471 | PL# 735454, 5.50%, 11/01/18 | 3,322,776 | ||||||
21,879,021 | PL# 735504, 6.00%, 04/01/35 | 22,608,114 | ||||||
878,470 | PL# 735611, 5.50%, 03/01/20 | 909,483 | ||||||
13,645,734 | PL# 739821, 5.00%, 09/01/33 | 13,968,270 | ||||||
6,956 | PL# 741355, 5.50%, 10/01/18 | 7,197 | ||||||
9,091,692 | PL# 745193, 5.50%, 06/01/20 | 9,412,662 | ||||||
49,408,290 | PL# 745275, 5.00%, 02/01/36 | 50,514,361 | ||||||
20,156,120 | PL# 745412, 5.50%, 12/01/35 | 20,698,674 | ||||||
3,698 | PL# 748655, 6.50%, 09/01/33 | 3,856 | ||||||
2,453 | PL# 749118, 5.50%, 11/01/18 | 2,538 | ||||||
11,645 | PL# 749153, 5.50%, 11/01/18 | 12,049 | ||||||
6,957 | PL# 753643, 5.50%, 11/01/18 | 7,198 | ||||||
16,395 | PL# 755167, 5.50%, 11/01/18 | 16,963 | ||||||
119,280 | PL# 757687, 5.50%, 07/01/34 | 122,491 | ||||||
9,584 | PL# 759423, 5.50%, 01/01/19 | 9,904 | ||||||
7,176 | PL# 761018, 5.50%, 12/01/18 | 7,425 | ||||||
25,785 | PL# 761808, 5.50%, 05/01/18 | 26,695 | ||||||
349,745 | PL# 766312, 5.50%, 03/01/19 | 361,436 |
74
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 168,917 | PL# 768313, 5.50%, 01/01/19 | $ | 174,774 | ||||
160,408 | PL# 781889, 5.50%, 03/01/17 | 166,372 | ||||||
4,348,182 | PL# 806549, Variable Rate, 4.56%, 01/01/35(1) | 4,301,993 | ||||||
964,886 | PL# 826273, 6.00%, 07/01/20 | 1,002,417 | ||||||
50,990 | PL# 831500, 6.00%, 05/01/16 | 53,752 | ||||||
3,303,564 | PL# 831511, 6.00%, 06/01/16 | 3,483,412 | ||||||
761,199 | PL# 845420, 6.00%, 02/01/36 | 784,662 | ||||||
7,852,620 | PL# 850867, Variable Rate, 5.61%, 01/01/36(1) | 7,997,217 | ||||||
1,616,349 | PL# 869713, 6.50%, 04/01/36 | 1,680,751 | ||||||
41,937,108 | PL# 888306, 5.00%, 12/01/36 | 42,875,926 | ||||||
2,275,536 | PL# 888892, 7.50%, 11/01/37 | 2,388,530 | ||||||
759,999 | PL# 891805, 6.00%, 06/01/36 | 783,306 | ||||||
66,339 | PL# 893318, 6.50%, 08/01/36 | 68,983 | ||||||
3,503,668 | PL# 900700, 6.50%, 09/01/36 | 3,643,267 | ||||||
3,180,824 | PL# 911480, 6.50%, 03/01/37 | 3,307,381 | ||||||
3,326,775 | PL# 911650, 6.50%, 01/01/37 | 3,459,327 | ||||||
7,875,049 | PL# 915203, 6.00%, 04/01/37 | 8,116,115 | ||||||
70,865 | PL# 917972, 5.50%, 05/01/37 | 72,724 | ||||||
1,057,465 | PL# 918503, 5.50%, 06/01/37 | 1,085,209 | ||||||
4,103,218 | PL# 922227, 6.50%, 12/01/36 | 4,266,705 | ||||||
16,522,832 | PL# 929822, 5.50%, 08/01/38 | 16,954,678 | ||||||
4,514,565 | PL# 929825, 5.50%, 08/01/38 | 4,632,559 | ||||||
8,991,336 | PL# 929940, 6.00%, 09/01/38 | 9,266,573 | ||||||
48,757 | PL# 929956, 5.50%, 09/01/38 | 50,031 | ||||||
4,923,712 | PL# 934576, 5.50%, 10/01/38 | 5,052,399 | ||||||
45,189 | PL# 940841, 5.50%, 08/01/37 | 46,375 | ||||||
39,361 | PL# 944027, 6.50%, 08/01/37 | 40,927 | ||||||
2,599,318 | PL# 959905, 6.50%, 11/01/37 | 2,702,739 | ||||||
4,908,389 | PL# 964272, 6.00%, 07/01/38 | 5,058,151 | ||||||
9,238,954 | PL# 964452, 5.50%, 07/01/38 | 9,480,427 | ||||||
5,294,201 | PL# 970610, 5.50%, 10/01/38 | 5,432,572 | ||||||
10,257,281 | PL# 983344, 6.00%, 07/01/38 | 10,570,244 | ||||||
171,556 | PL# 985516, 5.50%, 06/01/38 | 176,040 | ||||||
3,416,941 | PL# 990637, 6.50%, 09/01/38 | 3,552,551 | ||||||
58,695 | PL# 990710, 6.00%, 09/01/38 | 60,486 | ||||||
2,800,327 | PL# 991387, 6.50%, 10/01/38 | 2,911,465 | ||||||
14,900,000 | TBA, 4.50%, 01/01/24 | 15,225,938 | ||||||
53,000,000 | TBA, 5.00%, 01/01/24 | 54,391,249 | ||||||
11,300,000 | TBA, 5.50%, 01/01/39 | 11,582,502 | ||||||
37,700,000 | TBA, 6.00%, 01/01/39 | 38,807,437 | ||||||
400,000 | TBA, 6.50%, 01/01/39 | 415,375 | ||||||
45,100,000 | TBA, 4.50%, 02/01/39 | 45,508,695 | ||||||
560,509,696 | ||||||||
Federal Agricultural Mortgage Corporation — 4.2% | ||||||||
20,230,000 | 3.88%, 08/19/11 | 21,491,280 | ||||||
45,175,000 | 144A, 5.50%, 07/15/11 | 48,089,510 | ||||||
69,580,790 | ||||||||
Federal Home Loan Bank — 4.3% | ||||||||
9,195,000 | 5.63%, 06/13/16 | 9,655,090 | ||||||
38,390,000 | 5.86%, 03/02/17 | 38,661,878 | ||||||
20,865,000 | 5.38%, 05/15/19 | 23,477,298 | ||||||
71,794,266 | ||||||||
Freddie Mac — 4.8% | ||||||||
16,800,000 | 4.75%, 06/28/12 | 18,253,166 | ||||||
9,800,000 | 5.75%, 06/27/16 | 10,514,832 | ||||||
14,775,000 | 4.88%, 06/13/18 | 16,980,760 | ||||||
3,509,054 | PL# 1B2853, Variable Rate, 4.35%, 04/01/35(1) | 3,493,443 | ||||||
9,911,851 | PL# 1G1119, Variable Rate, 4.75%, 09/01/35(1) | 9,980,577 | ||||||
12,377,736 | PL# 1J1827, HB, 5.30%, 07/01/38 | 12,593,434 | ||||||
8,528,776 | PL# 1L0289, Variable Rate, 5.20%, 12/01/35(1) | 8,618,344 | ||||||
80,434,556 | ||||||||
Freddie Mac Gold — 10.3% | ||||||||
215,688 | PL# A32037, 5.00%, 03/01/35 | 220,719 | ||||||
23,281 | PL# A38585, 5.50%, 10/01/35 | 23,861 | ||||||
539,256 | PL# A62169, 5.50%, 06/01/37 | 552,561 | ||||||
1,865,921 | PL# A63042, 5.50%, 07/01/37 | 1,911,960 | ||||||
2,552,953 | PL# A65021, 5.50%, 08/01/37(5)(6) | 2,615,944 | ||||||
1,219,486 | PL# A68033, 5.50%, 08/01/37 | 1,249,576 | ||||||
2,228,180 | PL# A68438, 5.50%, 11/01/37 | 2,283,158 | ||||||
765,140 | PL# C01271, 6.50%, 12/01/31 | 799,332 | ||||||
2,367,485 | PL# C57150, 6.00%, 05/01/31 | 2,450,078 | ||||||
2,878 | PL# C67653, 7.00%, 06/01/32 | 3,024 | ||||||
39,760 | PL# C67868, 7.00%, 06/01/32 | 41,784 | ||||||
9,884 | PL# C67999, 7.00%, 06/01/32 | 10,387 | ||||||
66,975 | PL# C68001, 7.00%, 06/01/32 | 70,385 | ||||||
93,118 | PL# C90229, 7.00%, 08/01/18 | 98,091 |
75
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Freddie Mac Gold (continued) | ||||||||
$ | 11,242 | PL# E00570, 6.00%, 09/01/13 | $ | 11,615 | ||||
240,764 | PL# E00592, 6.00%, 12/01/13 | 248,466 | ||||||
12,140 | PL# E00720, 6.00%, 07/01/14 | 12,531 | ||||||
13,447 | PL# E01007, 6.00%, 08/01/16 | 13,912 | ||||||
44,814 | PL# E01095, 6.00%, 01/01/17 | 46,375 | ||||||
11,866 | PL# E69171, 6.00%, 02/01/13 | 12,304 | ||||||
6,038 | PL# E73319, 6.00%, 11/01/13 | 6,261 | ||||||
18,160 | PL# E73769, 6.00%, 12/01/13 | 18,830 | ||||||
9,376 | PL# E75990, 6.00%, 04/01/14 | 9,687 | ||||||
17,942 | PL# E76341, 6.00%, 04/01/14 | 18,605 | ||||||
25,546 | PL# E76730, 6.00%, 05/01/14 | 26,489 | ||||||
18,637 | PL# E76731, 6.00%, 05/01/14 | 19,325 | ||||||
14,026 | PL# E78995, 6.00%, 11/01/14 | 14,543 | ||||||
159,077 | PL# E84191, 6.00%, 07/01/16 | 164,955 | ||||||
2,611 | PL# E84758, 5.50%, 07/01/16 | 2,708 | ||||||
11,527 | PL# E85885, 6.00%, 11/01/16 | 11,953 | ||||||
155,184 | PL# E86502, 5.50%, 12/01/16 | 160,905 | ||||||
3,532 | PL# E86565, 5.50%, 12/01/16 | 3,663 | ||||||
159,092 | PL# E87961, 6.00%, 02/01/17 | 164,970 | ||||||
265,773 | PL# E88001, 6.00%, 02/01/17 | 275,597 | ||||||
37,332 | PL# E88452, 6.00%, 03/01/17 | 38,712 | ||||||
167,703 | PL# E88749, 6.00%, 03/01/17 | 173,900 | ||||||
284,478 | PL# E88789, 6.00%, 04/01/17 | 294,994 | ||||||
103,025 | PL# E88979, 5.50%, 04/01/17 | 106,630 | ||||||
202,222 | PL# E89282, 6.00%, 04/01/17 | 209,697 | ||||||
430,357 | PL# E89336, 6.00%, 05/01/17 | 446,266 | ||||||
14,551 | PL# E89653, 6.00%, 04/01/17 | 15,088 | ||||||
286,482 | PL# E89913, 6.00%, 05/01/17 | 297,072 | ||||||
533,154 | PL# E91644, 5.50%, 10/01/17 | 551,809 | ||||||
149,954 | PL# E91754, 5.50%, 10/01/17 | 155,201 | ||||||
232,376 | PL# E91774, 5.50%, 10/01/17 | 240,507 | ||||||
109,101 | PL# E91968, 5.50%, 10/01/17 | 112,918 | ||||||
188,226 | PL# E92113, 5.50%, 10/01/17 | 194,812 | ||||||
948,757 | PL# G01391, 7.00%, 04/01/32 | 997,078 | ||||||
2,542,853 | PL# G03358, 5.50%, 08/01/37(5)(6) | 2,605,595 | ||||||
16,377,776 | PL# G03850, 6.00%, 02/01/38(5)(6) | 16,889,358 | ||||||
17,579,486 | PL# G04544, 6.00%, 08/01/38(5)(6) | 18,128,605 | ||||||
9,987 | PL# G11111, 6.00%, 04/01/16 | 10,356 | ||||||
2,347,908 | PL# M80813, 4.00%, 04/01/10 | 2,347,662 | ||||||
24,000,000 | TBA, 4.50%, 01/01/24 | 24,532,512 | ||||||
3,000,000 | TBA, 5.00%, 01/01/24 | 3,078,750 | ||||||
68,300,000 | TBA, 5.50%, 01/01/39 | 69,900,815 | ||||||
16,900,000 | TBA, 6.00%, 01/01/39 | 17,407,000 | ||||||
172,309,891 | ||||||||
Government National Mortgage Association — 7.5% | ||||||||
80,543 | PL# 3173, 6.50%, 12/20/31 | 84,817 | ||||||
549 | PL# 434615, 7.00%, 11/15/29 | 581 | ||||||
140,872 | PL# 435071, 7.00%, 03/15/31 | 148,964 | ||||||
17,101 | PL# 493966, 7.00%, 06/15/29 | 18,098 | ||||||
36,135 | PL# 494742, 7.00%, 04/15/29 | 38,240 | ||||||
907 | PL# 530260, 7.00%, 02/15/31 | 959 | ||||||
159,790 | PL# 531025, 6.00%, 04/15/32 | 165,456 | ||||||
386 | PL# 538271, 7.00%, 11/15/31 | 408 | ||||||
62,815 | PL# 538312, 6.00%, 02/15/32 | 65,042 | ||||||
95,117 | PL# 543989, 7.00%, 03/15/31 | 100,580 | ||||||
767 | PL# 547545, 7.00%, 04/15/31 | 811 | ||||||
187,306 | PL# 550985, 7.00%, 10/15/31 | 198,066 | ||||||
243 | PL# 551549, 7.00%, 07/15/31 | 256 | ||||||
16,936 | PL# 552413, 7.00%, 02/15/32 | 17,808 | ||||||
71,322 | PL# 554808, 6.00%, 05/15/31 | 73,918 | ||||||
55,119 | PL# 555360, 6.00%, 06/15/31 | 57,126 | ||||||
62,298 | PL# 555733, 6.00%, 03/15/32 | 64,507 | ||||||
445 | PL# 557664, 7.00%, 08/15/31 | 471 | ||||||
53,259 | PL# 557678, 7.00%, 08/15/31 | 56,318 | ||||||
3,687 | PL# 561050, 7.00%, 05/15/31 | 3,899 |
76
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Government National Mortgage Association (continued) | ||||||||
$ | 274 | PL# 561996, 7.00%, 07/15/31 | $ | 290 | ||||
9,900 | PL# 563346, 7.00%, 09/15/31 | 10,469 | ||||||
37,807 | PL# 563599, 7.00%, 06/15/32 | 39,754 | ||||||
62,587 | PL# 564086, 7.00%, 07/15/31 | 66,182 | ||||||
34,634 | PL# 564300, 6.00%, 08/15/31 | 35,895 | ||||||
5,924 | PL# 564706, 7.00%, 07/15/31 | 6,265 | ||||||
50,139 | PL# 565808, 6.00%, 11/15/31 | 51,964 | ||||||
123,193 | PL# 567622, 6.00%, 04/15/32 | 127,561 | ||||||
64,322 | PL# 569567, 7.00%, 01/15/32 | 67,634 | ||||||
50,917 | PL# 570517, 6.00%, 01/15/32 | 52,723 | ||||||
38,402 | PL# 572821, 6.00%, 12/15/31 | 39,800 | ||||||
60,878 | PL# 574873, 6.00%, 12/15/31 | 63,094 | ||||||
75,452 | PL# 575906, 6.00%, 01/15/32 | 78,127 | ||||||
33,943 | PL# 576323, 6.00%, 12/15/31 | 35,179 | ||||||
1,228 | PL# 579377, 7.00%, 04/15/32 | 1,291 | ||||||
178,269 | PL# 581015, 7.00%, 02/15/32 | 187,447 | ||||||
72,549 | PL# 581070, 6.00%, 02/15/32 | 75,121 | ||||||
30,955 | PL# 582956, 7.00%, 02/15/32 | 32,549 | ||||||
171,533 | PL# 587122, 7.00%, 06/15/32 | 180,365 | ||||||
4,767 | PL# 587494, 7.00%, 06/15/32 | 5,013 | ||||||
436 | PL# 589696, 7.00%, 05/15/32 | 458 | ||||||
12,571 | PL# 780802, 6.50%, 05/15/28 | 13,251 | ||||||
20,848 | PL# 781113, 7.00%, 11/15/29 | 22,062 | ||||||
135,455 | PL# 781148, 6.00%, 07/15/29 | 140,707 | ||||||
64,958 | PL# 781276, 6.50%, 04/15/31 | 68,490 | ||||||
18,528 | PL# 781287, 7.00%, 05/15/31 | 19,603 | ||||||
29,091 | PL# 781324, 7.00%, 07/15/31 | 30,770 | ||||||
163,849 | PL# 781328, 7.00%, 09/15/31 | 173,364 | ||||||
130,007 | PL# 781330, 6.00%, 09/15/31 | 134,993 | ||||||
32,731 | PL# 781496, 6.50%, 09/15/32 | 34,518 | ||||||
42,632 | PL# 781548, 7.00%, 11/15/32 | 45,089 | ||||||
25,842 | PL# 781584, 7.00%, 05/15/32 | 27,335 | ||||||
2,169,820 | PL# 781804, 6.00%, 09/15/34 | 2,244,029 | ||||||
1,867,332 | PL# 781847, 6.00%, 12/15/34 | 1,931,118 | ||||||
1,835,271 | PL# 781902, 6.00%, 02/15/35 | 1,897,912 | ||||||
100,400,000 | TBA, 5.50%, 02/01/39 | 103,161,918 | ||||||
12,500,000 | TBA, 6.00%, 02/01/39 | 12,908,203 | ||||||
125,106,868 | ||||||||
Resolution Funding Strips — 0.1% | ||||||||
1,200,000 | Zero coupon, 07/15/18(20) | 860,379 | ||||||
1,200,000 | Zero coupon, 10/15/18(20) | 849,532 | ||||||
1,709,911 | ||||||||
Total US Government Agency Securities (Cost $1,069,324,451) | 1,095,445,690 | |||||||
Corporate Bonds and Notes — 48.2% | ||||||||
Banks and Financial Services — 10.0% | ||||||||
3,000,000 | Bank of America Corp., 7.80%, 09/15/16 | 3,053,958 | ||||||
4,550,000 | Bank of America Corp., 6.00%, 09/01/17 | 4,621,080 | ||||||
2,675,000 | Bank of America Corp., 5.75%, 12/01/17 | 2,670,830 | ||||||
105,000 | Bank of America Corp., 5.65%, 05/01/18 | 105,623 | ||||||
7,565,000 | Bear Stearns Companies, Inc. (The), Series MTN, 6.95%, 08/10/12 | 7,856,805 | ||||||
1,000,000 | Bear Stearns Companies, Inc. (The), Series MTNB, 4.55%, 06/23/10 | 998,515 | ||||||
14,330,000 | Citigroup, Inc., 3.63%, 02/09/09(4)(5) | 14,284,330 | ||||||
3,980,000 | Citigroup, Inc., 4.13%, 02/22/10 | 3,921,992 | ||||||
1,000,000 | Citigroup, Inc., 5.30%, 10/17/12 | 963,726 | ||||||
14,675,000 | General Electric Capital Corp., 5.00%, 11/15/11 | 14,871,792 | ||||||
5,820,000 | General Electric Capital Corp., Series GMTN, 6.15%, 08/07/37 | 5,835,225 | ||||||
5,680,000 | General Electric Capital Corp., Series MTN, 5.00%, 04/10/12 | 5,630,067 | ||||||
8,095,000 | Goldman Sachs Group, Inc., 5.25%, 10/15/13 | 7,436,488 | ||||||
390,000 | Icahn Enterprises Finance Corp., 8.13%, 06/01/12 | 300,300 | ||||||
4,045,000 | Icahn Enterprises Finance Corp., 7.13%, 02/15/13 | 2,791,050 | ||||||
1,100,000 | JPMorgan Chase & Company, 7.00%, 11/15/09 | 1,111,620 | ||||||
7,750,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 07/05/17 | 7,816,635 | ||||||
1,945,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/01/17 | 1,961,881 | ||||||
630,000,000 | Kreditanstalt fur Wiederaufbau (Germany), Series EMTN, Floating Rate, 0.67%, 08/08/11(2)(17) | 6,950,884 | ||||||
2,250,000 | Lehman Brothers Holdings, Inc., 6.50%, 07/19/17(9) | 225 | ||||||
4,400,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12(9) | 418,000 | ||||||
5,730,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.63%, 01/24/13(9) | 544,350 | ||||||
2,005,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17(9) | 201 |
77
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 3,800,000 | Lehman Brothers Holdings, Inc., Series MTN, 7.00%, 09/27/27(9) | $ | 361,000 | ||||
425,000 | Morgan Stanley, 6.75%, 04/15/11 | 418,169 | ||||||
19,360,000 | Morgan Stanley, Floating Rate, 4.57%, 01/09/12(2) | 15,275,271 | ||||||
565,000 | Morgan Stanley, Series MTN, 6.25%, 08/28/17 | 481,316 | ||||||
18,175,000 | Private Expert Funding Corp., Series Y, 3.55%, 04/15/13 | 18,935,914 | ||||||
3,365,000 | SLM Corp., Series MTN, 5.40%, 10/25/11 | 2,545,400 | ||||||
3,972,000 | SLM Corp., Series MTNA, 4.00%, 01/15/09 | 3,953,860 | ||||||
2,370,000 | SLM Corp., Series MTNA, 4.00%, 01/15/10 | 2,145,307 | ||||||
1,535,000 | SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09 | 1,529,501 | ||||||
10,780,000 | UBS AG Stamford Branch, Series DPNT (Switzerland), 5.88%, 12/20/17 | 9,902,993 | ||||||
5,900,000 | UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18 | 5,354,811 | ||||||
7,565,000 | Wachovia Bank NA, Series BKNT, 6.60%, 01/15/38 | 8,207,329 | ||||||
4,090,000 | Wells Fargo & Company, 4.63%, 08/09/10 | 4,108,806 | ||||||
167,365,254 | ||||||||
Broadcast Services/Media — 1.9% | ||||||||
5,279,000 | Comcast Cable Communications Holdings, 8.38%, 03/15/13 | 5,461,252 | ||||||
1,800,000 | Comcast Cable Communications, Inc., 6.75%, 01/30/11 | 1,806,844 | ||||||
965,000 | Comcast Corp., 7.05%, 03/15/33 | 1,006,583 | ||||||
7,165,000 | Comcast Corp., 6.95%, 08/15/37 | 7,545,118 | ||||||
465,000 | Cox Communications, Inc., 7.75%, 11/01/10 | 456,404 | ||||||
475,000 | CSC Holdings, Inc., Series B, 8.13%, 07/15/09 | 472,625 | ||||||
555,000 | CSC Holdings, Inc., Series B, 8.13%, 08/15/09 | 552,225 | ||||||
1,070,000 | News America Holdings, 7.63%, 11/30/28 | 1,073,229 | ||||||
260,000 | News America, Inc., 7.28%, 06/30/28 | 250,200 | ||||||
1,675,000 | TCI Communications, Inc., 7.13%, 02/15/28 | 1,584,039 | ||||||
9,150,000 | Time Warner Cable, Inc., 6.20%, 07/01/13 | 8,654,939 | ||||||
725,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 731,619 | ||||||
1,910,000 | Time Warner, Inc., 7.57%, 02/01/24 | 1,840,745 | ||||||
31,435,822 | ||||||||
Computer Equipment, Software and Services — 0.7% | ||||||||
1,945,000 | International Business Machines Corp., 5.70%, 09/14/17 | 2,079,429 | ||||||
5,000,000 | International Business Machines Corp., 7.63%, 10/15/18 | 5,995,974 | ||||||
2,980,000 | Oracle Corp., 5.75%, 04/15/18 | 3,116,985 | ||||||
11,192,388 | ||||||||
Construction Services and Supplies — 0.1% | ||||||||
2,875,000 | Belvoir Land LLC — 144A, 5.40%, 12/15/47 | 1,852,449 | ||||||
Electronics — 0.0% | ||||||||
470,000 | L-3 Communications Corp., 5.88%, 01/15/15 | 423,000 | ||||||
155,000 | L-3 Communications Corp., Series B, 6.38%, 10/15/15 | 144,925 | ||||||
567,925 | ||||||||
Entertainment, Leisure and Recreation — 0.0% | ||||||||
3,285,000 | Harrah’s Operating Company, Inc. — 144A, 10.75%, 02/01/18(12) | 427,050 | ||||||
810,088 | Harrah’s Operating Company, Inc. — 144A, 10.00%, 12/15/18 | 295,682 | ||||||
722,732 | ||||||||
Environmental Waste Management and Recycling Services — 0.0% | ||||||||
560,000 | Aleris International, Inc., 9.00%, 12/15/14(12) | 33,600 | ||||||
Food and Beverage — 0.5% | ||||||||
4,792,000 | Kraft Foods, Inc., 6.50%, 08/11/17 | 4,816,641 | ||||||
4,375,000 | Kraft Foods, Inc., 6.13%, 02/01/18 | 4,287,049 | ||||||
9,103,690 | ||||||||
78
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Insurance — 0.7% | ||||||||
$ | 5,355,000 | Hartford Life Global Funding, Series MTN, Floating Rate, 2.17%, 09/15/09(2) | $ | 4,987,856 | ||||
6,550,000 | MetLife Global Funding I — 144A, 5.13%, 04/10/13 | 6,103,021 | ||||||
11,090,877 | ||||||||
Machinery — 0.1% | ||||||||
2,150,000 | Atlantic Marine, Inc. — 144A, 5.34%, 12/01/50 | 1,410,271 | ||||||
Medical Equipment, Supplies, and Services — 0.2% | ||||||||
3,600,000 | WellPoint, Inc., 5.95%, 12/15/34 | 2,990,765 | ||||||
Metals and Mining — 0.4% | ||||||||
730,000 | AK Steel Corp., 7.75%, 06/15/12 | 569,400 | ||||||
1,695,000 | Freeport-McMoRan Copper & Gold, Inc., 8.25%, 04/01/15 | 1,440,750 | ||||||
3,080,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 2,525,600 | ||||||
1,999,000 | Ispat Inland ULC (Canada), 9.75%, 04/01/14 | 1,710,988 | ||||||
6,246,738 | ||||||||
Oil, Coal and Gas — 1.1% | ||||||||
4,000,000 | Anadarko Petroleum Corp., 5.95%, 09/15/16 | 3,533,237 | ||||||
2,965,000 | Arch Western Finance, 6.75%, 07/01/13 | 2,579,550 | ||||||
2,000,000 | Canadian National Resources (Canada), 6.25%, 03/15/38 | 1,571,990 | ||||||
120,000 | Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13 | 36,000 | ||||||
1,425,000 | Consolidated Natural Gas, Series A, 5.00%, 03/01/14 | 1,325,052 | ||||||
365,000 | El Paso Natural Gas, 8.63%, 01/15/22 | 328,874 | ||||||
2,600,000 | Enterprise Products Operating LP, 4.95%, 06/01/10 | 2,490,254 | ||||||
3,680,000 | Gaz Capital (Gazprom) — 144A (Russia), 7.29%, 08/16/37 | 2,171,200 | ||||||
1,795,000 | Petrobras International Finance Company (Cayman Islands), 5.88%, 03/01/18 | 1,613,705 | ||||||
665,000 | Tennessee Gas Pipeline Company, 7.00%, 10/15/28 | 508,815 | ||||||
1,700,000 | XTO Energy, Inc., 6.75%, 08/01/37 | 1,592,159 | ||||||
17,750,836 | ||||||||
Paper and Forest Products — 0.1% | ||||||||
400,000 | Catalyst Paper Corp., Series D (Canada), 8.63%, 06/15/11 | 176,000 | ||||||
845,000 | Georgia-Pacific LLC — 144A, 7.13%, 01/15/17 | 709,800 | ||||||
885,800 | ||||||||
Pharmaceuticals/Research and Development — 0.2% | ||||||||
530,000 | Bio-Rad Laboratories, Inc., 6.13%, 12/15/14 | 425,325 | ||||||
600,000 | Bristol-Myers Squibb, 6.88%, 08/01/97 | 662,867 | ||||||
1,580,000 | Wyeth, 6.00%, 02/15/36 | 1,695,191 | ||||||
2,783,383 | ||||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.3% | ||||||||
3,558,377 | Daimler Chrysler Auto Trust, Series 2006-B, Class A3, 5.33%, 08/08/10 | 3,533,234 | ||||||
18,911,000 | Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4, 5.22%, 11/15/11 | 18,628,061 | ||||||
22,161,295 | ||||||||
Private Asset Backed: Banks and Financial Services — 3.8% | ||||||||
3,028,833 | Banc of America Alternative Loan Trust, Series 2004-7, Class 4A1, 5.00%, 08/25/19 | 2,563,150 | ||||||
4,271,413 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, Floating Rate, 5.47%, 11/25/34(3) | 3,876,232 | ||||||
3,330,000 | Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 06/10/36 | 3,232,270 | ||||||
11,200,000 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3, 4.57%, 01/10/12 | 9,333,605 |
79
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Banks and Financial Services (continued) | ||||||||
$ | 1,759,582 | JPMorgan Chase Commercial Mortgage Securities Corp. — 144A, Series 2004-CB8, Class A1A, 4.16%, 01/12/39 | $ | 1,446,450 | ||||
106,915 | Morgan Stanley Capital I, Series 1999-FNV1, Class A2, 6.53%, 03/15/31 | 106,592 | ||||||
7,875,000 | Morgan Stanley Capital I, Series 2007-IQ15, Class AM, Floating Rate, 5.88%, 01/11/17(3) | 3,658,023 | ||||||
997,283 | SLM Student Loan Trust, Series 2005-5, Class A1 (Luxembourg), Floating Rate, 3.54%, 01/25/18(2) | 994,816 | ||||||
18,210,000 | SLM Student Loan Trust, Series 2008-5, Class A2 (Luxembourg), Floating Rate, 4.64%, 10/25/16(2) | 17,040,576 | ||||||
4,600,000 | SLM Student Loan Trust, Series 2008-5, Class A3 (Luxembourg), Floating Rate, 4.84%, 01/25/18(2) | 4,078,188 | ||||||
12,410,000 | SLM Student Loan Trust, Series 2008-5, Class A4 (Luxembourg), Floating Rate, 5.24%, 07/25/23(2) | 10,228,555 | ||||||
7,854,654 | Washington Mutual Asset Securities Corp. — 144A, Series 2005-C1A, Class A2, 5.15%, 05/25/36 | 7,594,082 | ||||||
64,152,539 | ||||||||
Private Asset Backed: Credit Cards — 1.1% | ||||||||
19,800,000 | Chase Issuance Trust, Series 2007-A17, Class A, 5.12%, 10/15/14 | 18,368,256 | ||||||
Private Asset Backed: Mortgage and Home Equity — 22.3% | ||||||||
4,605,054 | American Home Mortgage Assets, Series 2006-6, Class A1A, Floating Rate, 0.66%, 12/25/46(3) | 1,906,586 | ||||||
10,051,292 | Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A, 7.33%, 11/15/31 | 10,023,042 | ||||||
7,637,356 | Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2, 6.50%, 04/15/36 | 7,495,604 | ||||||
16,715,000 | Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3, 5.12%, 07/11/43 | 15,508,440 | ||||||
11,170,000 | Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4, 6.19%, 06/11/35 | 10,695,246 | ||||||
13,250,000 | Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A4, Floating Rate, 5.69%, 04/10/49(3) | 10,066,552 | ||||||
4,526,309 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 4A1, Floating Rate, 5.34%, 03/25/35(3) | 2,867,218 | ||||||
215,218 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1, 6.08%, 02/15/35 | 212,655 | ||||||
2,545,000 | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4, 4.67%, 06/11/41 | 2,150,108 | ||||||
3,085,350 | Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2, 7.32%, 10/15/32 | 3,070,366 | ||||||
2,430,000 | Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.43%, 10/15/49 | 1,904,722 | ||||||
12,075,947 | Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, Floating Rate, 5.34%, 08/25/35(3) | 8,350,800 | ||||||
3,761,647 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate, 0.58%, 03/25/37(3) | 3,246,118 | ||||||
1,037,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.32%, 12/11/49 | 724,275 | ||||||
3,487,500 | Commercial Mortgage Pass-Through Certificate, Series 2007-C9, Class A4, Floating Rate, 5.82%, 07/10/17(3) | 2,644,448 | ||||||
6,104,616 | Countrywide Alternative Loan Trust, Series 2005-50CB, Class 1A1, 5.50%, 11/25/35 | 3,021,785 | ||||||
2,098,320 | Countrywide Alternative Loan Trust, Series 2006-OA10, Class 1A1, Floating Rate, 3.22%, 08/25/46(3) | 881,294 | ||||||
5,577,804 | Countrywide Alternative Loan Trust, Series 2006-OA21, Class A1, Floating Rate, 0.70%, 03/20/47(3) | 2,285,595 |
80
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 5,922,319 | Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A31, 5.50%, 04/25/37 | $ | 3,509,060 | ||||
2,488,784 | Countrywide Home Loans, Series 2006-OA5, Class 2A1, Floating Rate, 0.67%, 04/25/36(3) | 974,522 | ||||||
8,344,802 | Countrywide Home Loans, Series 2007-16, Class A1, 6.50%, 10/25/37 | 5,661,431 | ||||||
10,280,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2, 5.18%, 11/15/36 | 9,396,289 | ||||||
14,005,000 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5, 3.94%, 05/15/38 | 11,913,139 | ||||||
584,957 | Credit Suisse Mortgage Capital Certificates, Series 2006-3, Class 1A1A, Floating Rate, 0.56%, 04/25/36(3) | 577,982 | ||||||
4,773,584 | Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 0.67%, 02/25/47(3) | 1,937,468 | ||||||
4,220,166 | DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B, 7.18%, 11/10/33 | 4,202,949 | ||||||
12,337,108 | First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.66%, 01/12/43 | 12,125,440 | ||||||
10,380,000 | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3, 6.27%, 12/10/35 | 9,747,885 | ||||||
11,875,000 | GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3, 5.35%, 08/11/36 | 10,783,746 | ||||||
3,537,445 | GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33 | 3,523,502 | ||||||
4,866,891 | GMAC Commercial Mortgage Securities, Inc., Series 1999-C3, Class A2, 7.18%, 08/15/36 | 4,850,351 | ||||||
12,905,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, 03/10/39 | 9,822,407 | ||||||
3,175,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.75%, 07/10/39 | 2,561,005 | ||||||
5,027,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ, 4.78%, 07/10/39 | 2,249,026 | ||||||
2,556,050 | GSR Mortgage Loan Trust, Series 2004-9, Class 3A1, Floating Rate, 4.35%, 08/25/34(3) | 1,750,349 | ||||||
2,951,873 | GSR Mortgage Loan Trust, Series 2005-AR1, Class 2A1, Floating Rate, 4.91%, 01/25/35(3) | 1,727,964 | ||||||
8,523,777 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1, 5.25%, 07/25/35 | 6,256,491 | ||||||
5,968,182 | GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1, Floating Rate, 0.66%, 08/25/46(3) | 2,900,281 | ||||||
632,422 | Harborview Mortgage Loan Trust, Series 2005-8, Class 1A2A, Floating Rate, 0.91%, 09/19/35(3) | 293,219 | ||||||
8,827,103 | Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate, 0.75%, 12/19/36(3) | 3,503,408 | ||||||
8,673,345 | Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, Floating Rate, 0.79%, 11/19/36(3) | 3,730,280 | ||||||
4,283,661 | IndyMac INDA Mortgage Loan Trust, Series 2006-AR2, Class 4A1, Floating Rate, 5.90%, 09/25/36(3) | 2,322,205 | ||||||
10,490,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/35 | 10,012,977 | ||||||
6,650,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3, 6.43%, 04/15/35 | 6,467,414 | ||||||
8,802,067 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3, 6.26%, 03/15/33 | 8,603,237 | ||||||
9,350,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37 | 7,390,473 | ||||||
1,665,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4, 5.43%, 12/12/43 | 1,263,759 | ||||||
14,046,876 | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate, 3.88%, 08/25/34(3) | 10,489,083 |
81
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 1,553,824 | JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2, 5.88%, 07/25/36 | $ | 1,145,945 | ||||
4,974,457 | JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | 3,652,961 | ||||||
1,337,367 | JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2, 5.50%, 03/25/22 | 908,992 | ||||||
4,055,440 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.75%, 03/25/37 | 2,674,594 | ||||||
4,677,190 | JPMorgan Mortgage Trust, Series 2007-S2, Class 1A15, 6.75%, 06/25/37 | 3,014,466 | ||||||
13,111,619 | LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2, 7.95%, 05/15/25 | 13,168,289 | ||||||
5,937,586 | LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 08/15/26 | 5,933,538 | ||||||
7,395,000 | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3, 4.56%, 09/15/27 | 6,986,193 | ||||||
9,100,000 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4, 4.51%, 12/15/29 | 8,268,815 | ||||||
11,910,000 | LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.35%, 11/15/38 | 9,276,753 | ||||||
9,658,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.43%, 02/15/40 | 6,941,247 | ||||||
11,842,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A2, 5.59%, 09/15/45 | 9,005,760 | ||||||
8,918,777 | Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 3A1, Floating Rate, 5.82%, 05/25/36(3) | 4,433,619 | ||||||
10,675,000 | Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.28%, 01/11/18 | 8,275,479 | ||||||
3,786,992 | Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate, 0.53%, 11/25/46(3) | 3,555,438 | ||||||
7,732,103 | Residential Asset Securitization Trust, Series 2005-A14, Class A4, 5.50%, 12/25/35 | 6,340,044 | ||||||
8,500,452 | Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3, 6.50%, 10/13/11 | 8,257,127 | ||||||
4,780,044 | Structured Adjustable Rate Mortgage Loan, Series 2007-3, Class 3A1, Floating Rate, 5.71%, 04/25/37(3) | 2,312,177 | ||||||
16,230,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, Floating Rate, 5.90%, 07/15/17(3) | 11,729,017 | ||||||
2,805,037 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, Floating Rate, 3.03%, 05/25/47(3) | 1,199,154 | ||||||
6,578,430 | Washington Mutual Mortgage Pass-Through Certificaties, Series 2007-HY1, Class 1A1, Floating Rate, 5.71%, 02/25/37(3) | 3,588,394 | ||||||
4,959,358 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-3, Class A9, 5.50%, 03/25/36 | 4,331,855 | ||||||
400,000 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A4, Floating Rate, 5.78%, 04/25/36(3) | 228,869 | ||||||
372,830,922 | ||||||||
Private Asset Backed: Other — 0.2% | ||||||||
3,715,429 | Structured Asset Securities Corp. — 144A, Series 2003-AL2, Class A, 3.36%, 01/25/31 | 2,741,511 | ||||||
Private Asset Backed: Utilities — 0.5% | ||||||||
8,000,000 | Peco Energy Transition Trust, Series 2000-A, Class A4, 7.65%, 03/01/10 | 8,180,576 | ||||||
Telecommunications Equipment and Services — 2.2% | ||||||||
625,000 | America Movil SA de CV (Mexico), 6.38%, 03/01/35 | 530,007 | ||||||
10,025,000 | AT&T, Inc., 6.50%, 09/01/37 | 10,796,825 | ||||||
810,000 | Cincinnati Bell, Inc., 7.25%, 07/15/13 | 712,800 |
82
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Telecommunications Equipment and Services (continued) | ||||||||
$ | 800,000 | Citizens Communications Company, 6.25%, 01/15/13 | $ | 680,000 | ||||
2,350,000 | New England Telephone & Telegraph, 7.88%, 11/15/29 | 2,065,516 | ||||||
970,000 | New Jersey Bell Telephone, 7.85%, 11/15/29 | 862,583 | ||||||
2,755,000 | Qwest Communications International, Inc., 7.50%, 02/15/14 | 1,969,825 | ||||||
755,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 539,825 | ||||||
675,000 | Qwest Corp., Floating Rate, 5.25%, 06/15/13(2) | 502,875 | ||||||
890,000 | Rogers Wireless, Inc. (Canada), 7.50%, 03/15/15 | 881,214 | ||||||
1,950,000 | Sprint Nextel Corp., 6.00%, 12/01/16 | 1,374,750 | ||||||
1,725,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 1,313,156 | ||||||
75,000 | Telefonica Emisiones SAU (Spain), 6.42%, 06/20/16 | 74,870 | ||||||
850,000 | Telefonica Europe BV (the Netherlands), 7.75%, 09/15/10 | 863,058 | ||||||
6,700,000 | Verizon Communications, Inc., 8.75%, 11/01/18 | 7,860,587 | ||||||
215,000 | Verizon Maryland, Inc., Series B, 5.13%, 06/15/33 | 156,525 | ||||||
1,470,000 | Vodafone Group PLC (United Kingdom), 5.00%, 12/16/13 | 1,414,100 | ||||||
500,000 | Vodafone Group PLC (United Kingdom), 5.00%, 09/15/15 | 458,502 | ||||||
890,000 | Wind Acquistion Finance SA — 144A (Luxembourg), 10.75%, 12/01/15 | 765,400 | ||||||
1,375,000 | Windstream Corp., 8.13%, 08/01/13 | 1,265,000 | ||||||
1,220,000 | Windstream Corp., 8.63%, 08/01/16 | 1,079,700 | ||||||
36,167,118 | ||||||||
Transportation — 0.2% | ||||||||
560,000 | Overseas Shipholding Group, 7.50%, 02/15/24 | 372,400 | ||||||
2,495,000 | United Parcel Service, Inc., 6.20%, 01/15/38 | 2,750,623 | ||||||
3,123,023 | ||||||||
Utilities — 0.6% | ||||||||
321,176 | AES Ironwood LLC, 8.86%, 11/30/25 | 279,423 | ||||||
235,000 | AES Red Oak LLC, Series B, 9.20%, 11/30/29 | 202,100 | ||||||
2,735,000 | Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10 | 2,692,534 | ||||||
264,556 | Elwood Energy LLC, 8.16%, 07/05/26 | 179,359 | ||||||
1,000,000 | Florida Power & Light Company, 5.63%, 04/01/34 | 1,061,161 | ||||||
1,700,000 | Florida Power Corp., 6.40%, 06/15/38 | 1,898,458 | ||||||
81,813 | Homer City Funding LLC, 8.73%, 10/01/26 | 75,268 | ||||||
560,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 520,800 | ||||||
4,355,000 | Texas Competitive Electric Holdings Company LLC — 144A, 10.50%, 11/01/15 | 3,092,049 | ||||||
10,001,152 | ||||||||
Total Corporate Bonds and Notes (Cost $942,083,651) | 803,158,922 | |||||||
Preferred Corporate Bonds and Notes — 3.2% | ||||||||
Banks and Financial Services — 2.4% | ||||||||
3,840,000 | Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1) | 2,762,066 | ||||||
4,775,000 | Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1) | 3,571,700 | ||||||
2,245,000 | Barclays Bank PLC — 144A (United Kingdom), Variable Rate, 7.43%, perpetual(1) | 1,135,027 | ||||||
2,670,000 | Citigroup Capital XXI, Variable Rate, 8.30%, 12/21/57(1) | 2,059,203 | ||||||
6,885,000 | Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1) | 3,213,457 | ||||||
5,375,000 | General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67(1) | 3,378,558 | ||||||
3,230,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1) | 1,241,686 | ||||||
6,685,000 | JPMorgan Chase & Company, Series 1, Variable Rate, 7.90%, perpetual(1) | 5,560,783 | ||||||
5,795,000 | JPMorgan Chase Capital XXV, 6.80%, 10/01/37 | 5,339,426 |
83
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Preferred Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 1,015,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)(9) | $ | 102 | ||||
6,450,000 | Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual(1) | 3,015,607 | ||||||
980,000 | UBS Preferred Funding Trust I, Variable Rate, 8.62%, perpetual(1) | 592,063 | ||||||
6,240,000 | Wachovia Corp., Series K, Variable Rate, 7.98%, perpetual(1) | 5,318,976 | ||||||
2,895,000 | ZFS Finance USA Trust V — 144A, Variable Rate, 6.50%, 05/09/37(1) | 1,186,950 | ||||||
38,375,604 | ||||||||
Insurance — 0.8% | ||||||||
7,320,000 | American International Group — 144A, Variable Rate, 8.18%, 05/15/58(1) | 2,847,663 | ||||||
3,800,000 | Chubb Corp., Variable Rate, 6.38%, 03/29/67(1) | 2,356,730 | ||||||
2,350,000 | Lincoln National Corp., Variable Rate, 7.00%, 05/17/66(1) | 987,000 | ||||||
4,455,000 | MetLife, Inc., 6.40%, 12/15/36 | 2,673,000 | ||||||
3,595,000 | Progressive Corp., Variable Rate, 6.70%, 06/15/37(1) | 1,767,241 | ||||||
2,150,000 | Reinsurance Group of America, Inc., Variable Rate, 6.75%, 12/15/65(1) | 812,648 | ||||||
4,125,000 | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1) | 2,702,028 | ||||||
14,146,310 | ||||||||
Total Preferred Corporate Bonds and Notes (Cost $86,418,156) | 52,521,914 | |||||||
Foreign Government Obligations — 2.4% | ||||||||
9,700,000 | AID-Israel (Israel), 5.50%, 09/18/23 | 11,989,879 | ||||||
1,155,000 | Bundesrepublik Deutschland, Series 05 (Germany), 4.00%, 01/04/37(16) | 1,720,205 | ||||||
2,975,000 | Bundesrepublik Deutschland, Series 07 (Germany), 4.25%, 07/04/39(16) | 4,696,655 | ||||||
52,300,000 | Mexican Bonos De Desarrollo, Series M10 (Mexico), 7.25%, 12/15/16(19) | 3,619,099 | ||||||
175,210,000 | Mexican Bonos De Desarrollo, Series M20 (Mexico), 10.00%, 12/05/24(19) | 14,533,251 | ||||||
2,645,000 | United Kingdom Treasury Bond (United Kingdom), 4.25%, 12/07/49(15) | 4,160,811 | ||||||
Total Foreign Government Obligations (Cost $43,799,105) | 40,719,900 | |||||||
Contracts | ||||||||
Purchased Put Options — 0.0% | ||||||||
69,900,000 | Expiring 08/09/10. If exercised the Series receives floating 3 month LIBOR, and pays 5.78%, expiring 08/11/20, European Style | 341,930 | ||||||
31,200,000 | Expiring 10/21/09. If exercised the Series receives floating 3 month LIBOR, and pays 6.50%, expiring 10/23/09, European Style | 77,227 | ||||||
Total Purchased Put Options (Cost $2,869,050) | 419,157 | |||||||
Principal | ||||||||
Securities Lending Collateral — 0.1% | ||||||||
$ | 2,425,000 | Securities Lending Collateral Investment (Note 4) (Cost $2,425,000) | 2,425,000 | |||||
Total Securities (Cost $2,182,914,107) | 2,035,413,009 | |||||||
Repurchase Agreements — 0.5% | ||||||||
8,044,299 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $8,044,303 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $8,291,700) (Cost $8,044,299) | 8,044,299 | ||||||
Total Investments before Call and Put Options Written and Securities Sold Short — 122.5% (Cost $2,190,958,406) | 2,043,457,308 | |||||||
84
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Contracts | Value | |||||||
Call Options Written — (0.6)% | ||||||||
(35,600,000 | ) | Expiring 05/04/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.88%, expiring 05/06/20, European Style | $ | (6,797,528 | ) | |||
(20,000,000 | ) | Expiring 10/14/11. If exercised the Series receives floating 3 month LIBOR, and pays 4.98%, expiring 10/18/21, European Style | (3,692,912 | ) | ||||
Total Call Options Written (Premium $2,789,320) | (10,490,440 | ) | ||||||
Put Options Written — (0.0)% | ||||||||
(35,600,000 | ) | Expiring 05/04/10. If exercised the Series receives 4.88%, and pays floating 3 month LIBOR, expiring 05/06/20, European Style | (299,813 | ) | ||||
(20,000,000 | ) | Expiring 10/14/11. If exercised the Series receives 4.98%, and pays floating 3 month LIBOR, expiring 10/18/21, European Style | (339,430 | ) | ||||
Total Put Options Written (Premium $2,789,320) | (639,243 | ) | ||||||
Principal | ||||||||
Securities Sold Short — (15.0)% | ||||||||
$ | (24,600,000 | ) | Fannie Mae, TBA, 5.50%, 01/01/24 | (25,330,325 | ) | |||
(900,000 | ) | Fannie Mae, TBA, 6.00%, 01/01/24 | (933,187 | ) | ||||
(45,900,000 | ) | Fannie Mae, TBA, 5.00%, 01/01/39 | (46,861,054 | ) | ||||
(90,600,000 | ) | Fannie Mae, TBA, 5.50%, 01/01/39 | (92,865,000 | ) | ||||
(40,700,000 | ) | Fannie Mae, TBA, 6.00%, 01/01/39 | (41,895,562 | ) | ||||
(29,900,000 | ) | Fannie Mae, TBA, 6.50%, 01/01/39 | (31,049,296 | ) | ||||
(8,000,000 | ) | Fannie Mae, TBA, 5.50%, 02/01/39 | (8,175,000 | ) | ||||
(1,900,000 | ) | Freddie Mac Gold, TBA, 6.00%, 01/01/24 | (1,966,500 | ) | ||||
(700,000 | ) | Freddie Mac Gold, TBA, 6.50%, 01/01/39 | (726,908 | ) | ||||
Total Securities Sold Short (Proceeds $247,817,336) | (249,802,832 | ) | ||||||
Total Investments net of Call and Put Options Written and Securities Sold Short — 106.9% (Cost $1,937,562,430) | 1,782,524,793 | |||||||
Liabilities less other assets — (6.9)% | (115,212,108 | ) | ||||||
Net Assets — 100.0% | $ | 1,667,312,685 | ||||||
Gross unrealized appreciation | $ | 46,643,819 | ||
Gross unrealized depreciation | (194,844,122 | ) | ||
Net unrealized depreciation | $ | (148,200,303 | ) | |
85
PORTFOLIO OF INVESTMENTS
December 31, 2008
Principal | Value | |||||||
US Treasury Securities — 3.7% | ||||||||
US Treasury Bonds — 1.0% | ||||||||
$ | 50,000 | 8.75%, 05/15/17 | $ | 73,578 | ||||
740,000 | 8.88%, 08/15/17 | 1,101,617 | ||||||
550,000 | 6.38%, 08/15/27 | 804,891 | ||||||
670,000 | 5.38%, 02/15/31 | 920,622 | ||||||
80,000 | 4.75%, 02/15/37 | 111,475 | ||||||
3,012,183 | ||||||||
US Treasury Inflation Index — 2.0% | ||||||||
44,552 | 1.88%, 07/15/15 | 42,084 | ||||||
130,984 | 2.00%, 01/15/16 | 125,437 | ||||||
461,283 | 2.50%, 07/15/16 | 457,643 | ||||||
20,906 | 2.63%, 07/15/17 | 21,424 | ||||||
206,879 | 2.38%, 01/15/25 | 203,324 | ||||||
87,322 | 2.00%, 01/15/26 | 82,254 | ||||||
1,804,790 | 2.38%, 01/15/27(5) | 1,813,108 | ||||||
3,464,302 | 1.75%, 01/15/28(5) | 3,200,688 | ||||||
5,945,962 | ||||||||
US Treasury Notes — 0.1% | ||||||||
10,000 | 1.75%, 11/15/11 | 10,228 | ||||||
170,000 | 1.13%, 12/15/11 | 170,758 | ||||||
130,000 | 1.50%, 12/31/13 | 129,705 | ||||||
310,691 | ||||||||
US Treasury Strips — 0.6% | ||||||||
2,995,000 | Zero coupon, 11/15/24 | 1,950,584 | ||||||
Total US Treasury Securities (Cost $9,856,561) | 11,219,420 | |||||||
US Government Agency Securities — 58.7% | ||||||||
Fannie Mae — 40.3% | ||||||||
790,000 | 3.00%, 07/12/10 | 814,234 | ||||||
940,000 | 5.25%, 08/01/12 | 990,779 | ||||||
1,165,226 | PL# 256219, 5.50%, 04/01/36 | 1,171,211 | ||||||
2,286,719 | PL# 256552, 5.50%, 01/01/37 | 2,346,843 | ||||||
2,749,395 | PL# 735580, 5.00%, 06/01/35 | 2,812,662 | ||||||
268,479 | PL# 735809, Variable Rate, 4.83%, 08/01/35(1) | 269,126 | ||||||
4,247,892 | PL# 745275, 5.00%, 02/01/36 | 4,342,987 | ||||||
2,029,109 | PL# 745959, 5.50%, 11/01/36 | 2,082,460 | ||||||
27,386 | PL# 759626, 6.00%, 02/01/34 | 28,290 | ||||||
41,130 | PL# 795774, 6.00%, 10/01/34 | 42,442 | ||||||
183,584 | PL# 796050, 6.00%, 08/01/34 | 189,443 | ||||||
1,104,858 | PL# 796278, 6.00%, 12/01/34 | 1,140,122 | ||||||
39,921 | PL# 801516, HB, Variable Rate, 4.71%, 08/01/34(1) | 39,862 | ||||||
437,862 | PL# 809169, 6.00%, 01/01/35 | 451,838 | ||||||
85,595 | PL# 810896, HB, Variable Rate, 4.83%, 01/01/35(1) | 86,047 | ||||||
17,275 | PL# 820426, 6.00%, 03/01/35 | 17,808 | ||||||
460,001 | PL# 852523, 5.50%, 02/01/36 | 472,095 | ||||||
1,030,209 | PL# 888022, 5.00%, 02/01/36 | 1,053,272 | ||||||
889,900 | PL# 888893, 5.50%, 08/01/37 | 913,298 | ||||||
95,447 | PL# 889745, 5.50%, 06/01/36 | 98,076 | ||||||
377,729 | PL# 893681, 6.00%, 10/01/36 | 389,313 | ||||||
674,508 | PL# 893923, 6.00%, 10/01/36 | 695,194 | ||||||
919,556 | PL# 894005, 6.00%, 10/01/36 | 947,757 | ||||||
1,306,340 | PL# 904000, 6.00%, 01/01/37 | 1,346,402 | ||||||
2,906,986 | PL# 916397, 6.50%, 05/01/37 | 3,022,648 | ||||||
1,346,558 | PL# 918653, 6.00%, 06/01/37 | 1,387,778 | ||||||
135,466 | PL# 929774, 5.50%, 07/01/38 | 139,007 | ||||||
380,273 | PL# 934327, 6.00%, 07/01/38 | 391,876 | ||||||
91,539 | PL# 950385, HB, Variable Rate, 5.86%, 08/01/37(1) | 95,101 | ||||||
9,337,922 | PL# 950694, 6.00%, 10/01/37 | 9,623,768 | ||||||
796,214 | PL# 975639, 5.00%, 07/01/38 | 813,790 | ||||||
2,934,054 | PL# 981034, 5.00%, 04/01/38 | 2,998,820 | ||||||
661,830 | PL# 983897, 5.50%, 06/01/38 | 679,128 | ||||||
298,614 | PL# 985143, 5.00%, 09/01/38 | 305,206 | ||||||
5,060,621 | PL# 985730, 5.50%, 06/01/38 | 5,192,887 | ||||||
996,319 | PL# 987420, 5.00%, 07/01/38 | 1,018,311 | ||||||
7,100,000 | TBA, 5.50%, 01/01/24 | 7,310,785 | ||||||
4,800,000 | TBA, 6.00%, 01/01/24 | 4,977,000 | ||||||
55,730,000 | TBA, 5.00%, 01/01/39 | 56,896,876 | ||||||
2,400,000 | TBA, 5.50%, 01/01/39 | 2,460,000 | ||||||
1,000,000 | TBA, 6.00%, 01/01/39 | 1,029,375 | ||||||
121,083,917 | ||||||||
Federal Agricultural Mortgage Corp. — 0.3% | ||||||||
900,000 | 144A, 5.13%, 04/19/17(5) | 1,015,758 | ||||||
Federal Home Loan Bank — 0.2% | ||||||||
490,000 | 5.50%, 07/15/36(4) | 627,950 | ||||||
Freddie Mac — 2.7% | ||||||||
90,575 | PL# 1B2694, Variable Rate, 4.36%, 12/01/34(1)(5) | 90,325 | ||||||
759,020 | PL# 1G2201, HB, Variable Rate, 6.09%, 09/01/37(1)(4) | 776,873 | ||||||
3,478,560 | PL# 1G2403, HB, Variable Rate, 5.57%, 01/01/38(1) | 3,557,037 | ||||||
323,385 | PL# 1N1447, HB, Variable Rate, 5.77%, 02/01/37(1)(4) | 330,733 | ||||||
1,882,410 | PL# 1N1454, HB, Variable Rate, 5.88%, 04/01/37(1)(4) | 1,924,165 | ||||||
612,333 | PL# 1N1463, HB, Variable Rate, 5.88%, 05/01/37(1)(4) | 627,092 | ||||||
820,318 | PL# 1N1582, HB, Variable Rate, 5.93%, 05/01/37(1)(4) | 840,282 | ||||||
8,146,507 | ||||||||
Freddie Mac Gold — 11.7% | ||||||||
802,912 | PL# A39644, 5.50%, 11/01/35 | 822,894 |
86
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Freddie Mac Gold (continued) | ||||||||
$ | 768,976 | PL# A39756, 5.00%, 11/01/35(4) | $ | 786,912 | ||||
9,487,670 | PL# G02427, 5.50%, 12/01/36(4)(5) | 9,722,300 | ||||||
917,641 | PL# G03092, 5.50%, 07/01/37(4) | 940,283 | ||||||
4,364,309 | PL# G03695, 5.50%, 11/01/37(4) | 4,472,239 | ||||||
8,031,949 | PL# G03696, 5.50%, 01/01/38(4) | 8,230,128 | ||||||
5,698,832 | PL# G04222, 5.50%, 04/01/38(4) | 5,839,444 | ||||||
1,500,000 | TBA, 5.00%, 01/01/24 | 1,539,375 | ||||||
400,000 | TBA, 5.00%, 01/01/39 | 408,750 | ||||||
2,400,000 | TBA, 6.00%, 01/01/39 | 2,472,000 | ||||||
35,234,325 | ||||||||
Government National Mortgage Association — 3.3% | ||||||||
530,891 | PL# 605617, 5.00%, 07/15/34 | 546,291 | ||||||
1,260,804 | PL# 612902, 5.00%, 07/15/33 | 1,298,165 | ||||||
537,799 | PL# 636084, 5.00%, 01/15/35 | 553,063 | ||||||
1,577,313 | PL# 644631, 5.00%, 09/15/35 | 1,622,081 | ||||||
2,400,000 | TBA, 5.00%, 01/01/39 | 2,460,000 | ||||||
3,400,000 | TBA, 5.50%, 01/01/39 | 3,505,719 | ||||||
9,985,319 | ||||||||
Tennessee Valley Authority — 0.2% | ||||||||
440,000 | 5.98%, 04/01/36 | 571,120 | ||||||
Total US Government Agency Securities (Cost $171,989,787) | 176,664,896 | |||||||
Corporate Bonds and Notes — 52.4% | ||||||||
Advertising — 0.0% | ||||||||
90,000 | Lamar Media Corp., Series B, 6.63%, 08/15/15 | 65,025 | ||||||
Aerospace and Defense — 0.0% | ||||||||
45,000 | DRS Technologies, Inc., 6.63%, 02/01/16(5) | 45,000 | ||||||
Airlines — 0.2% | ||||||||
300,000 | Continental Airlines, Inc., Series A, 5.98%, 04/19/22(5) | 201,000 | ||||||
73,889 | Delta Air Lines, Inc., Series 2001-1, Class A-1, 6.62%, 03/18/11(5) | 64,283 | ||||||
373,974 | Delta Air Lines, Inc., Series 2007-1, Class A, 6.82%, 08/10/22(5) | 217,089 | ||||||
482,372 | ||||||||
Apparel: Manufacturing and Retail — 0.0% | ||||||||
200,000 | Neiman Marcus Group, Inc., 7.13%, 06/01/28 | 94,000 | ||||||
Automobile: Rental — 0.0% | ||||||||
75,000 | Hertz Corp., 8.88%, 01/01/14 | 46,125 | ||||||
135,000 | Hertz Corp., 10.50%, 01/01/16 | 61,594 | ||||||
107,719 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.3% | ||||||||
600,000 | Daimler Chrysler NA Holding, 5.88%, 03/15/11(5) | 523,201 | ||||||
1,100,000 | Ford Motor Company, 7.45%, 07/16/31 | 308,000 | ||||||
840,000 | General Motors Corp., 8.25%, 07/15/23(8) | 138,600 | ||||||
150,000 | General Motors Corp., 8.38%, 07/15/33 | 26,250 | ||||||
55,000 | Visteon Corp., 8.25%, 08/01/10 | 17,050 | ||||||
141,000 | Visteon Corp. — 144A, 12.25%, 12/31/16 | 33,840 | ||||||
1,046,941 | ||||||||
Banks and Financial Services — 11.9% | ||||||||
100,000 | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1)(5) | 23,885 | ||||||
420,000 | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5) | 230,916 | ||||||
420,000 | American Express Company, Variable Rate, 6.80%, 09/01/66(1)(5) | 217,413 | ||||||
220,000 | American Express Credit Company, Series MTNC, 5.88%, 05/02/13(5) | 211,194 | ||||||
220,000 | American General Finance Corp. Series MTNJ, 6.90%, 12/15/17(5) | 95,210 | ||||||
30,000 | BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1)(5) | 12,020 | ||||||
800,000 | Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5) | 876,685 | ||||||
860,000 | Caterpillar Financial Service Corp., Series MTNF, 6.20%, 09/30/13(5) | 886,589 | ||||||
1,160,000 | Citigroup, Inc., 6.50%, 08/19/13(5) | 1,170,540 | ||||||
1,260,000 | Citigroup, Inc., 5.00%, 09/15/14(5) | 1,108,273 | ||||||
1,030,000 | Citigroup, Inc., 6.88%, 03/05/38(5) | 1,172,024 |
87
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 80,000 | Countrywide Financial Corp., Series MTN, Floating Rate, 4.35%, 01/05/09(2) | $ | 80,000 | ||||
2,440,000 | Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10(5) | 2,397,331 | ||||||
3,645,000 | Ford Motor Credit Company LLC, 5.80%, 01/12/09 | 3,634,673 | ||||||
720,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 632,319 | ||||||
1,110,000 | Ford Motor Credit Company LLC, 12.00%, 05/15/15 | 828,902 | ||||||
800,000 | General Motors Acceptance Corp., 5.85%, 01/14/09(8) | 794,786 | ||||||
290,000 | Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11(9) | 13,775 | ||||||
800,000 | Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)(9) | 120 | ||||||
2,040,000 | GMAC LLC, 5.63%, 05/15/09 | 1,960,370 | ||||||
1,184,103 | GMAC LLC — 144A, 6.63%, 05/15/12(14) | 1,129,622 | ||||||
295,081 | GMAC LLC — 144A, 7.50%, 12/31/13(14) | 234,404 | ||||||
256,840 | GMAC LLC — 144A, 8.00%, 12/31/18(14) | 152,520 | ||||||
362,272 | GMAC LLC — 144A, 8.00%, 11/01/31(14) | 247,701 | ||||||
380,000 | Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10 | 374,448 | ||||||
140,000 | Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12 | 133,547 | ||||||
100,000 | HBOS Treasury Services PLC — 144A, 5.25%, 02/21/17 | 97,298 | ||||||
960,000 | HSBC Finance Corp., 4.63%, 09/15/10 | 947,646 | ||||||
100,000 | HSBK Europe BV — 144A (the Netherlands), 9.25%, 10/16/13 | 73,000 | ||||||
270,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22(1) | 141,780 | ||||||
920,000 | ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1) | 484,951 | ||||||
920,000 | JPMorgan Chase & Company, 5.13%, 09/15/14 | 891,552 | ||||||
1,100,000 | JPMorgan Chase & Company, 5.15%, 10/01/15 | 1,038,683 | ||||||
950,000 | JPMorgan Chase & Company, 6.13%, 06/27/17 | 934,916 | ||||||
80,000 | JPMorgan Chase & Company, Series 2, 2.13%, 06/22/12 | 80,333 | ||||||
200,000 | Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16(9) | 1,500 | ||||||
2,400,000 | Kaupthing Bank hf — 144A, Series 1 (Iceland), 7.63%, 02/28/15(9)(14)(20) | 144,000 | ||||||
320,000 | Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11(9) | 5,600 | ||||||
410,000 | Lehman Brothers E — Capital Trust I, Floating Rate, 3.02%, 08/19/65(2)(9) | 41 | ||||||
480,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12(9) | 45,600 | ||||||
970,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17(9) | 97 | ||||||
1,420,000 | Merrill Lynch & Company, Inc., Series MTN, 6.88%, 04/25/18 | 1,485,357 | ||||||
350,000 | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(1) | 243,853 | ||||||
610,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 578,467 | ||||||
200,000 | Morgan Stanley, Series MTNF, Floating Rate, 4.95%, 10/18/16(2) | 137,611 | ||||||
10,000 | Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual(1) | 5,290 | ||||||
20,000 | Rabobank Capital Funding Trust��III — 144A, Variable Rate, 5.25%, perpetual(1) | 10,965 | ||||||
490,000 | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(1) | 233,283 | ||||||
200,000 | Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1) | 79,657 | ||||||
780,000 | RSHB Capital — 144A (Luxembourg), 6.30%, 05/15/17 | 444,600 | ||||||
220,000 | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1) | 197,923 | ||||||
610,000 | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1) | 127,583 | ||||||
120,000 | SLM Corp., Series MTN, 5.05%, 11/14/14 | 79,859 |
88
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 675,000 | SLM Corp., Series MTNA, 5.00%, 10/01/13 | $ | 482,976 | ||||
1,005,000 | SLM Corp., Series MTNA, 5.38%, 05/15/14 | 678,248 | ||||||
40,000 | SLM Corp., Series MTNA, 5.00%, 04/15/15 | 25,376 | ||||||
105,000 | SLM Corp., Series MTNA, 5.63%, 08/01/33 | 63,698 | ||||||
400,000 | SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09 | 398,567 | ||||||
150,000 | SunTrust Capital VIII, Variable Rate, 6.10%, 12/15/36(1) | 105,602 | ||||||
270,000 | TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16 | 140,400 | ||||||
100,000 | TNK-BP Finance SA — 144A (Luxembourg), 6.63%, 03/20/17 | 48,000 | ||||||
108,000 | TNK-BP Finance SA — REG S (Luxembourg), 7.50%, 07/18/16 | 56,700 | ||||||
510,000 | TNK-BP Finance SA, Series 6 — 144A, (Luxembourg), 7.88%, 03/13/18 | 255,000 | ||||||
520,000 | Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37 | 223,600 | ||||||
1,860,000 | Turanalem Finance BV (the Netherlands), 8.25%, 01/22/37 | 799,800 | ||||||
1,300,000 | UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18 | 1,179,874 | ||||||
460,000 | Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1) | 271,400 | ||||||
1,150,000 | Wachovia Corp., 5.25%, 08/01/14 | 1,071,241 | ||||||
940,000 | Wachovia Corp., Series MTNG, 5.50%, 05/01/13 | 929,511 | ||||||
340,000 | Wells Fargo Capital X, 5.95%, 12/15/36 | 291,396 | ||||||
1,300,000 | Wells Fargo Capital XV, Variable Rate, 9.75%, perpetual(1) | 1,313,000 | ||||||
35,465,101 | ||||||||
Broadcast Services/Media — 1.2% | ||||||||
130,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15 | 22,750 | ||||||
20,000 | Clear Channel Communications, Inc., 6.25%, 03/15/11 | 6,000 | ||||||
90,000 | Clear Channel Communications, Inc., 5.50%, 09/15/14 | 10,800 | ||||||
50,000 | Clear Channel Communications, Inc., 4.90%, 05/15/15 | 5,500 | ||||||
320,000 | Comcast Cable Communications, 8.88%, 05/01/17(5) | 341,713 | ||||||
730,000 | Comcast Corp., 6.50%, 01/15/15(5) | 717,539 | ||||||
50,000 | Comcast Corp., 6.50%, 01/15/17(5) | 49,386 | ||||||
210,000 | Comcast Corp., 5.88%, 02/15/18(5) | 198,996 | ||||||
235,000 | CSC Holdings, Inc., Series B, 7.63%, 04/01/11 | 221,488 | ||||||
115,000 | Echostar DBS Corp., 7.00%, 10/01/13 | 99,763 | ||||||
145,000 | Echostar DBS Corp., 7.75%, 05/31/15 | 123,250 | ||||||
20,000 | News America, Inc., 6.20%, 12/15/34 | 18,251 | ||||||
40,000 | News America, Inc., 6.65%, 11/15/37 | 39,590 | ||||||
60,000 | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | 58,429 | ||||||
450,000 | Time Warner Cable, Inc., 5.85%, 05/01/17 | 411,099 | ||||||
180,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 181,643 | ||||||
720,000 | Time Warner, Inc., 6.88%, 05/01/12(5) | 691,701 | ||||||
290,000 | Time Warner, Inc., 7.70%, 05/01/32(5) | 290,358 | ||||||
3,488,256 | ||||||||
Chemicals — 0.4% | ||||||||
1,020,000 | Dow Chemical Company, 5.70%, 05/15/18(5) | 906,177 | ||||||
60,000 | Georgia Gulf Corp., 9.50%, 10/15/14 | 18,000 | ||||||
400,000 | PPG Industries, Inc., 6.65%, 03/15/18 | 394,022 | ||||||
44,000 | Westlake Chemical Corp., 6.63%, 01/15/16 | 25,520 | ||||||
1,343,719 | ||||||||
Computer Equipment, Software and Services — 0.2% | ||||||||
530,000 | Electronic Data Systems, 7.13%, 10/15/09 | 538,811 | ||||||
240,000 | Sungard Data Systems, Inc., 10.25%, 08/15/15 | 158,400 | ||||||
697,211 | ||||||||
Consumer Goods and Services — 0.1% | ||||||||
110,000 | Reynolds American, Inc., 7.63%, 06/01/16 | 91,609 | ||||||
190,000 | Reynolds American, Inc., 6.75%, 06/15/17 | 150,820 | ||||||
242,429 | ||||||||
89
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Containers and Packaging — 0.0% | ||||||||
$ | 110,000 | Graham Packaging Company, LP, 8.50%, 10/15/12 | $ | 78,375 | ||||
Electronics — 0.0% | ||||||||
15,000 | NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14 | 5,850 | ||||||
55,000 | NXP BV/NXP Funding LLC (the Netherlands), 9.50%, 10/15/15 | 10,450 | ||||||
16,300 | ||||||||
Entertainment, Leisure and Recreation — 0.1% | ||||||||
15,000 | Boyd Gaming Corp., 6.75%, 04/15/14 | 9,450 | ||||||
40,000 | Boyd Gaming Corp., 7.13%, 02/01/16 | 23,600 | ||||||
60,000 | Inn of The Mountain Gods, 12.00%, 11/15/10 | 19,800 | ||||||
135,000 | MGM MIRAGE, 7.63%, 01/15/17 | 87,075 | ||||||
30,000 | River Rock Entertainment Authority, 9.75%, 11/01/11 | 24,900 | ||||||
140,000 | Station Casinos, Inc., 7.75%, 08/15/16 | 26,600 | ||||||
191,425 | ||||||||
Environmental Waste Management and Recycling Services — 0.2% | ||||||||
600,000 | Waste Management, Inc., 6.38%, 11/15/12 | 559,517 | ||||||
Equipment Rental and Leasing — 0.4% | ||||||||
3,330,000 | International Lease Finance Corp. E-Capital Trust I — 144A, Variable Rate, 5.90%, 12/21/65(1) | 1,067,301 | ||||||
440,000 | International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65(1) | 183,750 | ||||||
1,251,051 | ||||||||
Food and Beverage — 0.7% | ||||||||
1,290,000 | Diageo Capital PLC (United Kingdom), 7.38%, 01/15/14(5) | 1,374,174 | ||||||
600,000 | Pepsico, Inc., 7.90%, 11/01/18 | 735,388 | ||||||
2,109,562 | ||||||||
Funeral Services — 0.0% | ||||||||
50,000 | Service Corp. International, 7.63%, 10/01/18 | 37,000 | ||||||
55,000 | Service Corp. International, 7.50%, 04/01/27 | 35,200 | ||||||
72,200 | ||||||||
Insurance — 0.5% | ||||||||
130,000 | American International Group, Inc., Series MTNG, 5.85%, 01/16/18(5) | 87,137 | ||||||
20,000 | ASIF Global Financing XIX — 144A, 4.90%, 01/17/13(5) | 16,055 | ||||||
825,000 | Chubb Corp., 5.75%, 05/15/18(5) | 792,138 | ||||||
220,000 | Humana, Inc., 7.20%, 06/15/18 | 176,921 | ||||||
600,000 | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 3.21%, 07/07/10(2) | 541,740 | ||||||
1,613,991 | ||||||||
Machinery — 0.0% | ||||||||
60,000 | Terex Corp., 7.38%, 01/15/14 | 52,200 | ||||||
Manufacturing — 0.2% | ||||||||
120,000 | Tyco International Group SA (Luxembourg), 6.38%, 10/15/11 | 117,953 | ||||||
440,000 | Tyco International Group SA (Luxembourg), 6.00%, 11/15/13 | 412,859 | ||||||
530,812 | ||||||||
Medical Equipment, Supplies, and Services — 0.6% | ||||||||
190,000 | Community Health Systems, Inc., 8.88%, 07/15/15 | 174,800 | ||||||
230,000 | DaVita, Inc., 6.63%, 03/15/13 | 218,500 | ||||||
3,000 | HCA, Inc., 6.30%, 10/01/12 | 2,115 | ||||||
56,000 | HCA, Inc., 6.25%, 02/15/13 | 35,000 | ||||||
110,000 | HCA, Inc., 6.75%, 07/15/13 | 69,300 | ||||||
50,000 | HCA, Inc., 9.13%, 11/15/14 | 46,375 | ||||||
100,000 | HCA, Inc., 9.25%, 11/15/16 | 91,750 | ||||||
707,000 | HCA, Inc., 9.63%, 11/15/16(12) | 551,460 | ||||||
555,000 | Tenet Healthcare Corp., 9.88%, 07/01/14 | 446,775 |
90
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Medical Equipment, Supplies, and Services (continued) | ||||||||
$ | 50,000 | WellPoint, Inc., 5.88%, 06/15/17 | $ | 45,507 | ||||
1,681,582 | ||||||||
Metals and Mining — 1.2% | ||||||||
730,000 | Alcoa, Inc., 6.00%, 07/15/13(5) | 660,054 | ||||||
880,000 | Evraz Group SA — 144A (Luxembourg), 8.88%, 04/24/13 | 448,800 | ||||||
320,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 262,400 | ||||||
870,000 | Rio Tinto Finance USA, Ltd. (Australia), 6.50%, 07/15/18 | 637,859 | ||||||
155,000 | Steel Dynamics, Inc., 7.38%, 11/01/12 | 113,150 | ||||||
105,000 | Steel Dynamics, Inc., 6.75%, 04/01/15 | 72,450 | ||||||
1,304,000 | Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36 | 1,183,640 | ||||||
520,000 | Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14 | 312,000 | ||||||
3,690,353 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
30,000 | Xerox Corp., 6.75%, 02/01/17 | 21,769 | ||||||
Oil, Coal and Gas — 5.5% | ||||||||
740,000 | Anadarko Finance Company, Series B, 7.50%, 05/01/31(5) | 654,365 | ||||||
80,000 | Anadarko Petroleum Corp., 5.95%, 09/15/16(5) | 70,665 | ||||||
1,250,000 | Anadarko Petroleum Corp., 6.45%, 09/15/36(5) | 986,043 | ||||||
240,000 | Apache Corp., 5.25%, 04/15/13(5) | 243,186 | ||||||
950,000 | Apache Corp., 5.63%, 01/15/17(5) | 956,380 | ||||||
800,000 | Baker Hughes, Inc., 7.50%, 11/15/18(5) | 886,926 | ||||||
60,000 | Chesapeake Energy Corp., 6.38%, 06/15/15 | 47,400 | ||||||
140,000 | Chesapeake Energy Corp., 6.25%, 01/15/18 | 103,600 | ||||||
195,000 | Complete Production Services, Inc., 8.00%, 12/15/16 | 122,850 | ||||||
210,000 | Conoco, Inc., 6.95%, 04/15/29(5) | 225,981 | ||||||
305,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 210,450 | ||||||
1,420,000 | El Paso Corp., 7.00%, 06/15/17 | 1,111,298 | ||||||
19,000 | El Paso Corp., Series MTN, 7.80%, 08/01/31 | 12,379 | ||||||
92,000 | El Paso Corp., Series MTN, 7.75%, 01/15/32 | 59,719 | ||||||
110,000 | El Paso Natural Gas, 8.38%, 06/15/32(5) | 94,918 | ||||||
770,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.51%, 03/07/22 | 458,150 | ||||||
80,000 | Hess Corp., 7.88%, 10/01/29(5) | 76,799 | ||||||
440,000 | Hess Corp., 7.30%, 08/15/31(5) | 400,337 | ||||||
760,000 | Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17 | 440,800 | ||||||
1,010,000 | KazMunaiGaz Finance Sub BV — 144A (Kazakhstan), 8.38%, 07/02/13 | 787,800 | ||||||
200,000 | Kerr-McGee Corp., 6.95%, 07/01/24 | 175,370 | ||||||
295,000 | Kerr-McGee Corp., 7.88%, 09/15/31 | 271,561 | ||||||
310,000 | Key Energy Services, Inc., 8.38%, 12/01/14 | 204,600 | ||||||
30,000 | Kinder Morgan Energy Partners LP, 6.30%, 02/01/09 | 29,971 | ||||||
470,000 | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | 457,141 | ||||||
130,000 | Kinder Morgan Energy Partners LP, 5.85%, 09/15/12 | 119,054 | ||||||
260,000 | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | 225,726 | ||||||
1,030,000 | Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38 | 833,009 | ||||||
1,060,000 | Occidental Petroleum Corp., 7.00%, 11/01/13 | 1,156,931 | ||||||
160,000 | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | 81,600 | ||||||
120,000 | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | 64,800 | ||||||
45,000 | Peabody Energy Corp., Series B, 6.88%, 03/15/13 | 42,638 | ||||||
1,300,000 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 1,100,450 | ||||||
120,000 | Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35 | 101,580 | ||||||
720,000 | Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16 | 702,000 |
91
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 125,000 | Semgroup LP — 144A, 8.75%, 11/15/15(8)(9)(20) | $ | 4,375 | ||||
5,000 | Southern Natural Gas, 8.00%, 03/01/32 | 4,166 | ||||||
60,000 | Southern Natural Gas — 144A, 5.90%, 04/01/17 | 47,547 | ||||||
65,000 | Suburban Propane Partners, 6.88%, 12/15/13 | 53,300 | ||||||
20,000 | Tennessee Gas Pipeline, 7.63%, 04/01/37 | 15,875 | ||||||
120,000 | Transocean, Inc. (Cayman Islands), 5.25%, 03/15/13 | 111,456 | ||||||
370,000 | Williams Companies, Inc., 7.88%, 09/01/21 | 283,050 | ||||||
380,000 | Williams Companies, Inc., 7.75%, 06/15/31 | 260,300 | ||||||
130,000 | Williams Companies, Inc., 8.75%, 03/15/32 | 96,850 | ||||||
840,000 | Williams Companies, Inc., Series A, 7.50%, 01/15/31 | 562,800 | ||||||
550,000 | XTO Energy, Inc., 7.50%, 04/15/12 | 543,597 | ||||||
340,000 | XTO Energy, Inc., 5.65%, 04/01/16 | 311,939 | ||||||
10,000 | XTO Energy, Inc., 6.25%, 08/01/17 | 9,603 | ||||||
270,000 | XTO Energy, Inc., 5.50%, 06/15/18 | 244,425 | ||||||
70,000 | XTO Energy, Inc., 6.75%, 08/01/37 | 65,559 | ||||||
16,131,319 | ||||||||
Paper and Forest Products — 0.2% | ||||||||
820,000 | Weyerhaeuser Company, 6.75%, 03/15/12 | 734,023 | ||||||
Pharmaceuticals/Research and Development — 0.3% | ||||||||
200,000 | Abbott Laboratories, 5.60%, 11/30/17(5) | 216,436 | ||||||
280,000 | FMC Finance III SA (Luxembourg), 6.88%, 07/15/17 | 261,800 | ||||||
470,000 | Wyeth, 5.95%, 04/01/37 | 521,835 | ||||||
1,000,071 | ||||||||
Printing and Publishing — 0.0% | ||||||||
440,000 | Idearc, Inc., 8.00%, 11/15/16 | 33,000 | ||||||
40,000 | RH Donnelley Corp., Series A-4, 8.88%, 10/15/17 | 6,000 | ||||||
40,000 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 32,200 | ||||||
80,000 | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | 32,800 | ||||||
104,000 | ||||||||
Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.5% | ||||||||
1,450,666 | Wells Fargo Financial Auto Owner Trust, Series 2005-A, Class A4, 4.28%, 05/15/12 | 1,412,087 | ||||||
Private Asset Backed: Banks and Financial Services — 1.6% | ||||||||
2,376,270 | Conseco Finance Securitizations Corp., Series 2002-1, Class A, 6.68%, 12/01/33(5) | 1,914,030 | ||||||
2,490,923 | Conseco Finance Securitizations Corp., Series 2002-2, Class A2, 6.03%, 03/01/33(5) | 1,800,389 | ||||||
140,000 | Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | 114,377 | ||||||
630,000 | Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43 | 473,951 | ||||||
750,000 | Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.69%, 04/15/49 | 562,840 | ||||||
4,865,587 | ||||||||
Private Asset Backed: Credit Cards — 0.4% | ||||||||
1,530,000 | Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 1.23%, 09/15/13(3) | 1,339,326 | ||||||
Private Asset Backed: Mortgage and Home Equity — 19.1% | ||||||||
�� | 504,844 | AAMES Mortgage Investment Trust — 144A, Series 2005-3, Class A1, Floating Rate, 0.62%, 08/25/35(3) | 470,181 | |||||
123,835 | Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 0.71%, 09/25/35(3) | 96,906 | ||||||
55,766 | Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 0.89%, 02/25/35(3) | 27,115 | ||||||
27,262 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 0.85%, 04/25/35(3) | 12,919 |
92
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 1,621,027 | American Home Mortgage Assets Trust, Series 2006-2, Class 2A1, Floating Rate, 0.66%, 09/25/46(3) | $ | 642,180 | ||||
274,749 | American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, Floating Rate, 0.76%, 11/25/45(3) | 131,579 | ||||||
514,502 | Amortizing Residential Collateral Trust, Series 2002-BC5, Class M1, Floating Rate, 1.51%, 07/25/32(3) | 357,909 | ||||||
1,214,000 | Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.67%, 07/10/43(5) | 976,738 | ||||||
280,000 | Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A3, Floating Rate, 5.66%, 06/10/49(3)(5) | 183,033 | ||||||
811,594 | Banc of America Funding Corp., Series 2005-E, Class 4A1, Floating Rate, 4.52%, 03/20/35(3) | 573,516 | ||||||
498,647 | Banc of America Mortgage Securities, Series 2005-A, Class 2A1, Floating Rate, 4.44%, 02/25/35(3) | 330,932 | ||||||
206,579 | Bear Stearns ALT-A Trust, Series 2004-11, Class 2A2, Floating Rate, 5.41%, 11/25/34(3) | 113,335 | ||||||
977,466 | Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 2A2, Floating Rate, 0.73%, 08/25/36(3) | 192,434 | ||||||
1,571,972 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 0.68%, 12/25/46(3) | 448,459 | ||||||
1,417,832 | Bear Stearns Second Lien Trust — 144A, Series 2007-SV1A, Class A3, Floating Rate, 0.72%, 12/25/36(3) | 584,998 | ||||||
7,449,727 | Bear Stearns Structured Products, Inc. — 144A, Series 2007-R11, Class A1A, Floating Rate, 1.07%, 09/27/37(3) | 7,244,711 | ||||||
1,150,000 | Chase Funding Mortgage Loan Asset-Backed, Series 2003-4, Class 1A5, 5.42%, 05/25/33(5) | 906,553 | ||||||
2,434,071 | Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A, Floating Rate, 0.78%, 08/25/35(3) | 1,080,376 | ||||||
297,026 | Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.91%, 08/25/35(3)(5) | 179,887 | ||||||
674,950 | Countrywide Alternative Loan Trust, Series 2005-38, Class A3, Floating Rate, 0.82%, 09/25/35(3) | 304,377 | ||||||
150,014 | Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1, Floating Rate, 0.80%, 10/25/35(3) | 69,283 | ||||||
2,113,069 | Countrywide Alternative Loan Trust, Series 2005-51, Class 3A3A, Floating Rate, 0.83%, 11/20/35(3) | 984,249 | ||||||
322,265 | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 0.84%, 11/20/35(3) | 161,094 | ||||||
707,176 | Countrywide Alternative Loan Trust, Series 2005-72, Class A1, Floating Rate, 0.74%, 01/25/36(3) | 332,409 | ||||||
936,132 | Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1, Floating Rate, 0.74%, 08/25/35(3) | 451,473 | ||||||
940,915 | Countrywide Alternative Loan Trust, Series 2006-OA2, Class A5, Floating Rate, 0.74%, 05/20/46(3) | 341,857 | ||||||
420,099 | Countrywide Alternative Loan Trust, Series 2006-OA6, Class 1A1A, Floating Rate, 0.68%, 07/25/46(3) | 147,784 | ||||||
58,775 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35(5) | 47,889 | ||||||
446,186 | Countrywide Home Equity Loan Trust — 144A, Series 2006-RES, Class 4Q1B, Floating Rate, 1.50%, 12/15/33(3) | 89,103 | ||||||
156,716 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 1.42%, 12/15/35(3) | 61,287 | ||||||
312,532 | Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 0.87%, 09/25/35(3) | 239,745 |
93
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 411,148 | Countrywide Home Loans, Series 2003-60, Class 1A1, Floating Rate, 5.02%, 02/25/34(3) | $ | 287,040 | ||||
162,860 | Countrywide Home Loans, Series 2004-23, Class A, Floating Rate, 6.41%, 11/25/34(3) | 79,347 | ||||||
458,131 | Countrywide Home Loans, Series 2005-3, Class 1A2, Floating Rate, 0.76%, 04/25/35(3) | 224,439 | ||||||
279,569 | Credit Suisse Mortgage Capital Certificates — 144A, Series 2006-CF2, Class A1, Floating Rate, 0.73%, 05/25/36(3) | 153,794 | ||||||
3,110,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class A3, 5.47%, 09/15/39(5) | 2,288,226 | ||||||
888,138 | CS First Boston Mortgage Securities Corp., Series 2004-AR5, Class 7A2, Floating Rate, 4.61%, 06/25/34(3) | 651,411 | ||||||
1,270,000 | Deutsche Mortgage Securities, Inc. — 144A, Series 2005-WF1, Class 1A3, Floating Rate, 5.10%, 06/26/35(3)(5) | 917,912 | ||||||
725,329 | First Horizon Alternative Mortgage Securities, Series 2006-FA8, Class 1A8, Floating Rate, 0.84%, 02/25/37(3) | 217,081 | ||||||
310,000 | GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, Floating Rate, 5.33%, 11/10/45(3) | 256,812 | ||||||
210,000 | GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 02/10/17 | 156,523 | ||||||
1,000,000 | GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, 5.24%, 11/10/45 | 796,877 | ||||||
55,177 | GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 1A1, Floating Rate, 5.63%, 12/19/33(3) | 54,790 | ||||||
256,218 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.64%, 03/18/35(3) | 151,483 | ||||||
388,717 | Greenpoint Mortgage Funding Trust, Series 2006-AR4, Class A1A, Floating Rate, 0.57%, 09/25/46(3) | 292,366 | ||||||
1,304,781 | Greenpoint Mortgage Funding Trust, Series 2007-AR1, Class 1A1A, Floating Rate, 0.55%, 02/25/47(3) | 658,765 | ||||||
200,000 | GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA, 4.68%, 07/10/39 | 177,079 | ||||||
2,516,374 | Harborview Mortgage Loan Trust, Series 2006-10, Class 2A1A, Floating Rate, 0.76%, 11/19/36(3) | 1,002,100 | ||||||
110,240 | Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 1.27%, 10/25/34(3) | 43,384 | ||||||
1,347,921 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.18%, 11/25/37(3) | 880,040 | ||||||
2,352,119 | IndyMac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, Floating Rate, 0.77%, 07/25/35(3) | 1,080,905 | ||||||
101,201 | IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35 | 48,590 | ||||||
2,051,685 | IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, Floating Rate, 5.94%, 08/25/37(3) | 832,966 | ||||||
1,100,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3, Floating Rate, 5.82%, 06/15/49(3) | 688,789 | ||||||
1,590,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, Floating Rate, 5.82%, 06/15/49(3) | 1,122,899 | ||||||
934,091 | JPMorgan Mortgage Trust, Series 2004-A1, Class 1A1, Floating Rate, 4.80%, 02/25/34(3) | 703,821 | ||||||
218,621 | JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.30%, 07/25/34(3) | 167,833 | ||||||
492,013 | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A1, Floating Rate, 5.14%, 11/25/33(3) | 370,987 | ||||||
900,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, 07/15/30 | 727,364 |
94
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 100,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB, 4.66%, 07/15/30 | $ | 80,453 | ||||
200,000 | LB-UBS Commercial Mortgage Trust, Series 2005-C5, Class A4, 4.95%, 09/15/40 | 163,260 | ||||||
197,954 | Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 0.77%, 11/25/35(3) | 89,014 | ||||||
1,185,385 | Lehman XS Trust, Series 2005-5N, Class 3A1A, Floating Rate, 0.77%, 11/25/35(3) | 551,714 | ||||||
159,518 | Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 0.77%, 12/25/35(3) | 45,659 | ||||||
340,669 | Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 0.54%, 08/25/46(3) | 261,696 | ||||||
994,334 | Lehman XS Trust, Series 2007-2N, Class 3A1, Floating Rate, 0.56%, 02/25/37(3) | 806,302 | ||||||
1,193,227 | Master Adjustable Rate Mortgages Trust — 144A, Series 2007-R5, Class A1, Floating Rate, 5.65%, 11/25/35(3) | 640,697 | ||||||
1,411,636 | Master Adjustable Rate Mortgages Trust, Series 2006-OA2, Class 1A1, Floating Rate, 3.06%, 12/25/46(3) | 288,016 | ||||||
280,000 | Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.38%, 08/12/48 | 206,984 | ||||||
370,000 | Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51 | 254,738 | ||||||
832,149 | Merrill Lynch Mortgage Investors Trust, Series 2004-A1, Class 2A1, Floating Rate, 4.85%, 02/25/34(3) | 678,273 | ||||||
864,944 | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3) | 627,548 | ||||||
136,233 | Merrill Lynch Mortgage Investors Trust, Series 2005-A3, Class A1, Floating Rate, 0.74%, 04/25/35(3) | 53,359 | ||||||
�� | 1,800,819 | Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1, Floating Rate, 0.92%, 02/25/47(3) | 1,311,713 | |||||
500,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | 254,200 | ||||||
400,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35 | 199,724 | ||||||
330,000 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3) | 268,751 | ||||||
129,236 | MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 0.79%, 10/25/28(3) | 94,871 | ||||||
528,624 | Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, Floating Rate, 5.36%, 10/25/34(3) | 275,960 | ||||||
1,188,406 | Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3, Floating Rate, 5.78%, 03/25/36(3) | 542,544 | ||||||
417,861 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | 322,683 | ||||||
197,819 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | 154,214 | ||||||
1,064,756 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | 666,165 | ||||||
890,384 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A2, 6.00%, 05/25/35 | 575,585 | ||||||
2,076,277 | RAAC — 144A, Series 2007-RP4, Class A, Floating Rate, 0.82%, 11/25/46(3) | 933,411 | ||||||
1,200,404 | RBSGC Mortgage Pass Through Certificates, Series 2007-B, Class 1A4, Floating Rate, 0.92%, 01/25/37(3) | 607,575 | ||||||
1,500,000 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF6, 5.88%, 06/25/37 | 861,406 |
95
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 1,040,738 | Residential Accredited Loans, Inc., Series 2006-QO10, Class A1, Floating Rate, 0.63%, 01/25/37(3) | $ | 393,597 | ||||
1,233,309 | Residential Accredited Loans, Inc., Series 2007-QO1, Class A1, Floating Rate, 0.62%, 02/25/47(3) | 468,656 | ||||||
2,359,000 | Residential Accredited Loans, Inc., Series 2007-QO4, Class A1A, Floating Rate, 0.66%, 05/25/47(3) | 855,142 | ||||||
1,353,498 | Residential Accredited Loans, Inc., Series 2007-QS1, Class 2A2, Floating Rate, 0.83%, 01/25/37(3) | 315,268 | ||||||
2,700,000 | Securitized Asset Backed Receivables LLC, Series 2007-BR3, Class A2B, Floating Rate, 0.69%, 04/25/37(3) | 1,012,631 | ||||||
880,098 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1, Floating Rate, 5.35%, 01/25/35(3) | 458,875 | ||||||
1,404,383 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35 | 843,566 | ||||||
552,754 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-16XS, Class A1, Floating Rate, 0.81%, 08/25/35(3) | 226,716 | ||||||
713,390 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, Floating Rate, 0.79%, 10/25/35(3) | 321,241 | ||||||
128,400 | Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 0.93%, 01/19/34(3) | 85,814 | ||||||
419,198 | Structured Asset Mortgage Investments, Inc., Series 2006-AR6, Class 1A3, Floating Rate, 0.66%, 07/25/46(3) | 144,318 | ||||||
2,332,201 | Structured Asset Securities Corp. — 144A, Series 2007-TC1, Class A, Floating Rate, 0.77%, 04/25/31(3) | 1,474,627 | ||||||
1,417,441 | Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 0.64%, 01/25/46(3) | 1,412,035 | ||||||
230,985 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 0.76%, 10/25/45(3) | 126,159 | ||||||
255,621 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 0.75%, 11/25/45(3) | 125,550 | ||||||
150,066 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A, Floating Rate, 0.76%, 07/25/45(3) | 69,643 | ||||||
3,005,925 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A, Floating Rate, 3.23%, 05/25/46(3) | 1,327,266 | ||||||
1,832,543 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, Floating Rate, 3.22%, 08/25/46(3) | 693,434 | ||||||
625,718 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.51%, 09/25/36 | 437,885 | ||||||
2,722,270 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA6, Class 1A1B, Floating Rate, 3.07%, 07/25/47(3) | 639,788 | ||||||
1,106,157 | Zuni Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 0.60%, 08/25/36(3) | 1,048,572 | ||||||
57,115,232 | ||||||||
Private Asset Backed: Student Loans — 0.4% | ||||||||
780,000 | Nelnet Student Loan Trust, Series 2008-4, Class A4, Floating Rate, 5.02%, 04/25/24(2) | 631,904 | ||||||
400,000 | SLC Student Loan Trust, Series 2008-1, Class A4A, Floating Rate, 3.60%, 12/15/32(2) | 316,763 | ||||||
224,171 | SLM Student Loan Trust, Series 2006-5, Class A2, Floating Rate, 3.53%, 07/25/17(2) | 217,408 | ||||||
1,166,075 | ||||||||
Real Estate Development and Services — 0.0% | ||||||||
35,000 | Forest City Enterprises, Inc., 7.63%, 06/01/15 | 12,250 |
96
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Real Estate Development and Services (continued) | ||||||||
$ | 30,000 | Forest City Enterprises, Inc., 6.50%, 02/01/17 | $ | 10,500 | ||||
520,000 | Realogy Corp., 12.38%, 04/15/15 | 70,200 | ||||||
92,950 | ||||||||
Real Estate Investment Trusts — 0.0% | ||||||||
40,000 | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16 | 29,200 | ||||||
10,000 | Ventas Realty LP/Ventas Capital Corp., 9.00%, 05/01/12 | 8,900 | ||||||
30,000 | Ventas Realty LP/Ventas Capital Corp., 6.50%, 06/01/16 | 21,975 | ||||||
60,075 | ||||||||
Retail — 0.2% | ||||||||
766,045 | CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5) | 481,666 | ||||||
Scientific and Technical Instruments — 0.0% | ||||||||
100,000 | Cie Generale de Geophysique (France), 7.50%, 05/15/15 | 62,000 | ||||||
105,000 | Cie Generale de Geophysique (France), 7.75%, 05/15/17 | 60,900 | ||||||
122,900 | ||||||||
Semiconductors — 0.0% | ||||||||
260,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 114,400 | ||||||
Telecommunications Equipment and Services — 2.6% | ||||||||
340,000 | America Movil SAB de CV (Mexico), 5.63%, 11/15/17(5) | 302,270 | ||||||
410,000 | AT&T, Inc., 5.10%, 09/15/14 | 403,025 | ||||||
540,000 | AT&T, Inc., 5.50%, 02/01/18(5) | 545,738 | ||||||
10,000 | Bellsouth Corp., 4.75%, 11/15/12(5) | 9,811 | ||||||
75,000 | Citizens Communications Company, 7.13%, 03/15/19 | 50,250 | ||||||
100,000 | Citizens Communications Company, 7.88%, 01/15/27 | 58,000 | ||||||
375,000 | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5) | 358,964 | ||||||
1,290,000 | Embarq Corp., 6.74%, 06/01/13(5) | 1,090,049 | ||||||
40,000 | Intelsat Jackson Holdings (Bermuda), 11.25%, 06/15/16 | 36,400 | ||||||
320,000 | Koninklijke KPN NV (the Netherlands), 8.00%, 10/01/10 | 322,945 | ||||||
445,000 | Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30 | 502,624 | ||||||
170,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 98,600 | ||||||
300,000 | Nextel Communications, Inc., Series E, 6.88%, 10/31/13 | 127,500 | ||||||
63,000 | Qwest Communications International, Inc., Floating Rate, 5.65%, 02/15/09(2) | 62,685 | ||||||
360,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 257,400 | ||||||
150,000 | Sprint Capital Corp., 8.38%, 03/15/12 | 120,000 | ||||||
540,000 | Sprint Capital Corp., 6.90%, 05/01/19 | 383,400 | ||||||
80,000 | Sprint Capital Corp., 8.75%, 03/15/32 | 54,000 | ||||||
390,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 296,888 | ||||||
650,000 | Telecom Italia Capital (Luxembourg), 7.00%, 06/04/18 | 527,313 | ||||||
990,000 | Verizon Communications, Inc., 6.90%, 04/15/38 | 1,114,000 | ||||||
210,000 | Verizon Communications, Inc., 8.95%, 03/01/39 | 271,255 | ||||||
160,000 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 167,385 | ||||||
560,000 | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | 557,173 | ||||||
165,000 | Windstream Corp., 8.63%, 08/01/16 | 146,025 | ||||||
7,863,700 | ||||||||
Transportation — 0.1% | ||||||||
40,000 | Gulfmark Offshore, Inc., 7.75%, 07/15/14 | 28,400 | ||||||
130,000 | Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11 | 109,850 | ||||||
180,000 | Union Pacific Corp., 5.38%, 05/01/14 | 169,786 | ||||||
308,036 | ||||||||
97
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities — 3.3% | ||||||||
$ | 67,000 | AES Corp., 7.75%, 03/01/14 | $ | 58,960 | ||||
210,000 | AES Corp., 7.75%, 10/15/15 | 176,400 | ||||||
1,130,000 | AES Corp., 8.00%, 10/15/17 | 926,600 | ||||||
1,590,000 | AES Corp. — 144A, 8.00%, 06/01/20 | 1,232,250 | ||||||
30,000 | Dominion Resources, Inc., 4.75%, 12/15/10(5) | 29,664 | ||||||
580,000 | Dominion Resources, Inc., 5.70%, 09/17/12(5) | 574,304 | ||||||
560,000 | Dominion Resources, Inc., Series D, 8.88%, 01/15/19(5) | 603,898 | ||||||
590,000 | Duke Energy Carolinas, 5.63%, 11/30/12(5) | 600,860 | ||||||
110,000 | Edison Mission Energy, 7.00%, 05/15/17 | 95,700 | ||||||
140,000 | Edison Mission Energy, 7.20%, 05/15/19 | 114,800 | ||||||
50,000 | Edison Mission Energy, 7.63%, 05/15/27 | 38,750 | ||||||
10,000 | Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17 | 7,100 | ||||||
3,580,000 | Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17(12) | 1,736,301 | ||||||
370,000 | Exelon Corp., 5.63%, 06/15/35(5) | 233,567 | ||||||
650,000 | FirstEnergy Corp., Series B, 6.45%, 11/15/11 | 614,416 | ||||||
515,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31 | 487,198 | ||||||
286,249 | Mirant Mid-Atlantic LLC, Series B, 9.13%, 06/30/17 | 257,624 | ||||||
75,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 70,125 | ||||||
170,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 158,100 | ||||||
45,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 41,400 | ||||||
620,000 | Pacific Gas & Electric Company, 5.63%, 11/30/17 | 634,998 | ||||||
210,000 | Pacific Gas & Electric Company, 6.05%, 03/01/34 | 223,032 | ||||||
140,000 | Pacific Gas & Electric Company, 5.80%, 03/01/37 | 145,209 | ||||||
440,000 | TXU Corp., Series P, 5.55%, 11/15/14 | 205,580 | ||||||
200,000 | TXU Corp., Series Q, 6.50%, 11/15/24 | 70,758 | ||||||
635,000 | TXU Corp., Series R, 6.55%, 11/15/34 | 214,371 | ||||||
9,551,965 | ||||||||
Total Corporate Bonds and Notes (Cost $224,929,792) | 157,410,322 | |||||||
Preferred Corporate Bonds and Notes — 0.9% | ||||||||
Banks and Financial Services — 0.5% | ||||||||
610,000 | Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1)(5) | 438,766 | ||||||
90,000 | Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1)(5) | 67,320 | ||||||
160,000 | Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1)(5) | 74,677 | ||||||
1,190,000 | General Electric Capital Corp., Variable Rate, 6.38%, 11/15/67(1) | 747,997 | ||||||
40,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1) | 15,377 | ||||||
930,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)(9) | 93 | ||||||
300,000 | Royal Bank of Scotland Group PLC — 144A (United Kingdom), Variable Rate, 6.99%, perpetual(1) | 140,261 | ||||||
1,484,491 | ||||||||
Insurance — 0.4% | ||||||||
1,140,000 | MetLife, Inc., 6.40%, 12/15/36 | 684,000 | ||||||
670,000 | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1) | 438,875 | ||||||
1,122,875 | ||||||||
Total Preferred Corporate Bonds and Notes (Cost $5,035,944) | 2,607,366 | |||||||
Shares | ||||||||
Preferred Stocks — 0.0% | ||||||||
Banks and Financial Services | ||||||||
1,300 | Fannie Mae, Series O, Floating Rate, 7.00%,(2) | 975 |
98
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Preferred Stocks (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
31,175 | Fannie Mae, Series S, Variable Rate, 8.25%,(1) | $ | 25,875 | |||||
43,300 | Freddie Mac, Series Z, Variable Rate, 8.38%,(1) | 16,887 | ||||||
342 | Preferred Blocker, Inc. — 144A,(14) | 57,414 | ||||||
Total Preferred Stocks (Cost $1,931,035) | 101,151 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs | ||||||||
$ | 30,000 | Ford Motor Company, 4.25%, 12/15/36 (Cost $30,000) | 7,725 | |||||
Municipal Bonds — 0.2% | ||||||||
Virginia | ||||||||
515,763 | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $507,539) | 503,014 | ||||||
Foreign Government Obligations — 0.4% | ||||||||
725,200 | Russian Federation (Russia), 7.50%, 03/31/30 | 632,490 | ||||||
8,000 | United Mexican States (Mexico), 5.63%, 01/15/17 | 8,000 | ||||||
439,000 | United Mexican States, Series MTNA, (Mexico), 6.75%, 09/27/34 | 463,145 | ||||||
Total Foreign Government Obligations (Cost $1,257,225) | 1,103,635 | |||||||
Short Term US Government Agency Securities — 6.9% | ||||||||
Fannie Mae — 3.5% | ||||||||
10,400,000 | 2.32%, 01/20/09 | 10,387,266 | ||||||
Federal Home Loan Bank — 3.4% | ||||||||
10,400,000 | 1.20%, 05/20/09 | 10,351,813 | ||||||
Total Short Term US Government Agency Securities (Cost $20,739,079) | 20,739,079 | |||||||
Securities Lending Collateral — 0.2% | ||||||||
464,950 | Securities Lending Collateral Investment (Note 4) (Cost $464,950) | 464,950 | ||||||
Total Securities (Cost $436,741,912) | 370,821,558 | |||||||
Repurchase Agreements — 2.8% | ||||||||
8,409,852 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $8,409,857 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $8,591,400) (Cost $8,409,852) | 8,409,852 | ||||||
Total Investments before Call and Put Options Written — 126.2% (Cost $445,151,764) | 379,231,410 | |||||||
Contracts | ||||||||
Call Options Written — (0.6)% | ||||||||
(185 | ) | Eurodollar Interest Rate Future, Expiring March 2009 @ 98.25 | (335,313 | ) | ||||
(179 | ) | US Treasury Note (10 Year) March Future, Expiring February 2009 @ 118 | (1,468,359 | ) | ||||
Total Call Options Written (Premium $299,434) | (1,803,672 | ) | ||||||
Put Options Written — (0.0)% | ||||||||
(282 | ) | Eurodollar Interest Rate Future, Expiring March 2009 @ 96.75 | (1,763 | ) | ||||
(170 | ) | US Treasury Note (10 Year) March Future, Expiring February 2009 @ 110 | (21,250 | ) | ||||
(44 | ) | US Treasury Note (10 Year) March Future, Expiring February 2009 @ 111 | (6,187 | ) | ||||
Total Put Options Written (Premium $490,812) | (29,200 | ) | ||||||
Total Investments net of Call and Put Options Written — 125.6% (Cost $444,361,518) | 377,398,538 | |||||||
Liabilities less other assets — (25.6)% | (76,985,538 | ) | ||||||
Net Assets — 100.0% | $ | 300,413,000 | ||||||
Gross unrealized appreciation | $ | 7,223,139 | ||
Gross unrealized depreciation | (73,272,234 | ) | ||
Net unrealized depreciation | $ | (66,049,095 | ) | |
99
PORTFOLIO OF INVESTMENTS
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes — 82.4% | ||||||||
Advertising — 0.3% | ||||||||
$ | 470,000 | Affinion Group, Inc., 10.13%, 10/15/13 | $ | 343,100 | ||||
1,685,000 | Affinion Group, Inc., 11.50%, 10/15/15 | 1,013,106 | ||||||
1,356,206 | ||||||||
Aerospace and Defense — 1.8% | ||||||||
2,600,000 | BE Aerospace, Inc., 8.50%, 07/01/18 | 2,340,000 | ||||||
2,460,000 | DRS Technologies, Inc., 7.63%, 02/01/18 | 2,460,000 | ||||||
480,000 | Hawker Beechcraft Acquisition Company LLC, 8.50%, 04/01/15 | 196,800 | ||||||
2,700,000 | Hawker Beechcraft Acquisition Company LLC, 9.75%, 04/01/17 | 729,000 | ||||||
1,975,000 | Transdigm, Inc., 7.75%, 07/15/14 | 1,619,500 | ||||||
905,000 | Vought Aircraft Industries, Inc., 8.00%, 07/15/11 | 610,875 | ||||||
7,956,175 | ||||||||
Airlines — 0.1% | ||||||||
444,176 | Continental Airlines, Inc., Series 2001-1, 7.03%, 06/15/11 | 257,622 | ||||||
Apparel: Manufacturing and Retail — 2.5% | ||||||||
4,135,000 | Levi Strauss & Company, 9.75%, 01/15/15 | 3,059,900 | ||||||
3,915,000 | Levi Strauss & Company, 8.88%, 04/01/16 | 2,662,200 | ||||||
2,005,000 | Oxford Industries, Inc., 8.88%, 06/01/11 | 1,513,775 | ||||||
4,520,000 | Perry Ellis International, Inc., Series B, 8.88%, 09/15/13 | 2,712,000 | ||||||
205,000 | Phillips Van-Heusen Corp., 8.13%, 05/01/13 | 169,125 | ||||||
2,305,000 | Quiksilver, Inc., 6.88%, 04/15/15 | 743,363 | ||||||
10,860,363 | ||||||||
Automobile: Rental — 0.9% | ||||||||
260,000 | Hertz Corp., 8.88%, 01/01/14 | 159,900 | ||||||
3,425,000 | Hertz Corp., 10.50%, 01/01/16 | 1,562,656 | ||||||
3,790,000 | RSC Equipment Rental, Inc., 9.50%, 12/01/14 | 2,084,500 | ||||||
3,807,056 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.2% | ||||||||
1,245,000 | Allison Transmission, Inc. — 144A, 11.00%, 11/01/15 | 610,050 | ||||||
395,000 | Commercial Vehicle Group, 8.00%, 07/01/13 | 185,650 | ||||||
480,000 | Tenneco, Inc., 8.13%, 11/15/15 | 220,800 | ||||||
1,016,500 | ||||||||
Banks and Financial Services — 3.2% | ||||||||
1,465,000 | Ford Motor Credit Company, 7.88%, 06/15/10 | 1,172,264 | ||||||
100,000 | Ford Motor Credit Company, 9.88%, 08/10/11 | 73,772 | ||||||
1,965,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 1,725,704 | ||||||
3,190,000 | Ford Motor Credit Company LLC, 5.70%, 01/15/10 | 2,710,958 | ||||||
8,655,000 | Ford Motor Credit Company LLC, 9.75%, 09/15/10 | 6,923,948 | ||||||
1,210,000 | GMAC LLC, Floating Rate, 3.40%, 05/15/09(2) | 1,155,550 | ||||||
1,400,000 | Nuveen Investments, Inc. — 144A, 10.50%, 11/15/15 | 309,750 | ||||||
14,071,946 | ||||||||
Broadcast Services/Media — 5.2% | ||||||||
4,705,000 | Cablevision Systems Corp., Series B, 8.00%, 04/15/12 | 4,187,450 | ||||||
6,690,000 | CCO Holdings LLC/Capital Corp., 8.75%, 11/15/13 | 4,214,700 | ||||||
7,565,000 | Charter Communications Operating LLC/Capital Corp. — 144A, 8.38%, 04/30/14 | 5,787,224 | ||||||
1,850,000 | Charter Communications Operating LLC/Capital Corp. — 144A, 10.88%, 09/15/14 | 1,480,000 | ||||||
460,000 | CSC Holdings, Inc., Series B, 8.13%, 08/15/09 | 457,700 | ||||||
4,255,000 | DIRECTV Holdings LLC/DIRECTV Financing Company, Inc., 7.63%, 05/15/16 | 4,127,350 | ||||||
1,235,000 | Kabel Deutschland GMBH (Germany), 10.63%, 07/01/14 | 1,099,150 | ||||||
570,000 | LBI Media, Inc., 11.00%, 10/15/13 | 228,000 | ||||||
1,315,000 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50%, 10/15/15 | 856,394 | ||||||
605,000 | Rainbow National Services LLC — 144A, 10.38%, 09/01/14 | 538,450 | ||||||
22,976,418 | ||||||||
Business Services and Supplies — 0.9% | ||||||||
1,625,000 | Aramark Corp., 8.50%, 02/01/15 | 1,470,625 | ||||||
1,848,000 | Catalina Marketing Corp. — 144A, 11.63%, 10/01/17(20) | 960,960 |
100
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Business Services and Supplies (continued) | ||||||||
$ | 2,050,000 | CEVA Group PLC — 144A (United Kingdom), 10.00%, 09/01/14 | $ | 1,519,563 | ||||
110,000 | First Data Corp, 9.88%, 09/24/15 | 66,550 | ||||||
4,017,698 | ||||||||
Chemicals — 0.7% | ||||||||
2,570,000 | Ineos Group Holdings PLC — 144A (United Kingdom), 8.50%, 02/15/16 | 231,300 | ||||||
830,000 | Nova Chemicals Corp. (Canada), Floating Rate, 5.72%, 11/15/13(11) | 315,400 | ||||||
3,900,000 | Reichhold Industries, Inc. — 144A, 9.00%, 08/15/14(20) | 2,574,000 | ||||||
3,120,700 | ||||||||
Commercial Services — 0.3% | ||||||||
2,065,000 | Ticketmaster — 144A, 10.75%, 08/01/16 | 1,115,100 | ||||||
Computer Equipment, Software and Services — 1.6% | ||||||||
3,460,000 | Ceridian Corp. — 144A, 11.50%, 11/15/15 | 1,838,125 | ||||||
170,000 | Interface, Inc., 9.50%, 02/01/14 | 136,000 | ||||||
5,985,000 | Sungard Data Systems, Inc. — 144A, 10.63%, 05/15/15 | 5,117,175 | ||||||
7,091,300 | ||||||||
Construction Services and Supplies — 1.5% | ||||||||
775,000 | ESCO Corp. — 144A, Floating Rate, 5.87%, 12/15/13(2)(20) | 496,000 | ||||||
775,000 | ESCO Corp. — 144A, 8.63%, 12/15/13 | 542,500 | ||||||
545,000 | Interline Brands, Inc., 8.13%, 06/15/14 | 430,550 | ||||||
2,245,000 | Nortek, Inc., 10.00%, 12/01/13 | 1,526,600 | ||||||
3,025,000 | Panolam Industries International, 10.75%, 10/01/13 | 1,210,000 | ||||||
2,475,000 | Ply Gem Industries, 11.75%, 06/15/13 | 1,336,500 | ||||||
1,260,000 | Texas Industries, Inc. — 144A, 7.25%, 07/15/13 | 973,350 | ||||||
6,515,500 | ||||||||
Consumer Goods and Services — 1.2% | ||||||||
3,365,000 | Amscan Holdings, Inc., 8.75%, 05/01/14 | 1,968,525 | ||||||
6,960,000 | Yankee Acquisition Corp., Series B, 8.50%, 02/15/15 | 3,245,100 | ||||||
5,213,625 | ||||||||
Containers and Packaging — 0.8% | ||||||||
1,055,000 | Intertape Polymer US, Inc., 8.50%, 08/01/14 | 685,750 | ||||||
400,000 | Jefferson Smurfit Corp., 7.50%, 06/01/13 | 70,000 | ||||||
795,000 | Owens-Brockway Glass Containers, 8.25%, 05/15/13 | 783,075 | ||||||
1,246,577 | Pliant Corp., 11.63%, 06/15/09(14) | 660,353 | ||||||
1,645,000 | Smurfit-Stone Container Corp., 8.38%, 07/01/12 | 271,425 | ||||||
1,140,000 | Smurfit-Stone Container Corp., 8.25%, 10/01/12 | 193,800 | ||||||
260,000 | Solo Cup Company, 8.50%, 02/15/14 | 166,400 | ||||||
3,255,000 | Stone Container, 8.00%, 03/15/17 | 618,450 | ||||||
3,449,253 | ||||||||
Distribution — 1.0% | ||||||||
645,000 | Sally Holdings LLC, 9.25%, 11/15/14 | 554,700 | ||||||
5,650,000 | Sally Holdings LLC, 10.50%, 11/15/16 | 3,842,000 | ||||||
4,396,700 | ||||||||
Education — 2.8% | ||||||||
3,135,000 | Education Management LLC, 8.75%, 06/01/14 | 2,382,600 | ||||||
3,610,000 | Education Management LLC, 10.25%, 06/01/16 | 2,617,250 | ||||||
5,165,000 | Laureate Education, Inc. — 144A, 10.00%, 08/15/15 | 3,363,707 | ||||||
5,042,885 | Laureate Education, Inc. — 144A, 10.25%, 08/15/15(12)(14) | 2,614,453 | ||||||
2,160,000 | Laureate Education, Inc. — 144A, 11.75%, 08/15/17 | 1,215,000 | ||||||
12,193,010 | ||||||||
Electronics — 0.1% | ||||||||
550,000 | Muzak LLC, 10.00%, 02/15/09 | 330,000 | ||||||
Energy Services — 0.1% | ||||||||
475,000 | Verasun Energy Corp., 9.88%, 12/15/12(9) | 285,000 | ||||||
Engineering — 0.1% | ||||||||
740,000 | Alion Science & Technology Corp., 10.25%, 02/01/15 | 333,925 | ||||||
Entertainment, Leisure and Recreation — 9.3% | ||||||||
2,505,000 | AMC Entertainment, Inc., 8.00%, 03/01/14 | 1,540,575 | ||||||
5,395,000 | AMC Entertainment, Inc., 11.00%, 02/01/16 | 3,769,755 | ||||||
3,095,000 | Buffalo Thunder Development Authority — 144A, 9.38%, 12/15/14 | 619,000 | ||||||
3,935,000 | Caesars Entertainment, Inc., 7.88%, 03/15/10 | 2,597,100 |
101
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Entertainment, Leisure and Recreation (continued) | ||||||||
$ | 2,075,000 | CCM Merger, Inc. — 144A, 8.00%, 08/01/13 | $ | 1,068,625 | ||||
935,000 | Chukchansi Economic Development Authority — 144A, Floating Rate, 6.10%, 11/15/12(11)(20) | 465,163 | ||||||
126,058 | Eldorado Casino Shreveport, 10.00%, 08/01/12 | 112,822 | ||||||
5,645,000 | Fontainebleau Las Vegas — 144A, 10.25%, 06/15/15 | 550,388 | ||||||
3,255,000 | Galaxy Entertainment Finance — 144A (British Virgin Islands), 9.88%, 12/15/12 | 1,432,200 | ||||||
1,495,000 | GreekTown Holdings — 144A, 10.75%, 12/01/13(9) | 351,325 | ||||||
1,336,966 | HRP Myrtle Beach Holdings/CA — 144A, 14.50%, 04/01/14(9) (12)(20) | 3,342 | ||||||
1,730,000 | HRP Myrtle Beach Operations/CA — 144A, Floating Rate, 8.58%, 04/01/12(9)(11)(20) | 86,500 | ||||||
945,000 | HRP Myrtle Beach Operations/CA — 144A, 12.50%, 04/01/13(9)(20) | 18,900 | ||||||
1,590,000 | Indianapolis Downs Capital LLC & Capital Corp. — 144A, 11.00%, 11/01/12 | 866,550 | ||||||
2,060,000 | Inn of The Mountain Gods, 12.00%, 11/15/10 | 679,800 | ||||||
890,000 | Majestic Holdco LLC — 144A, 12.50%, 10/15/11(20) | 2,225 | ||||||
1,850,000 | Mandalay Resort Group, 6.50%, 07/31/09 | 1,794,500 | ||||||
2,710,000 | Marquee Holdings, Inc., 9.51%, 08/15/14 | 1,382,100 | ||||||
210,000 | MGM MIRAGE, 7.50%, 06/01/16 | 133,088 | ||||||
2,670,000 | Mohegan Tribal Gaming Authority, 6.38%, 07/15/09 | 2,509,800 | ||||||
1,180,000 | Mohegan Tribal Gaming Authority, 8.00%, 04/01/12 | 719,800 | ||||||
2,225,000 | Mohegan Tribal Gaming Authority, 7.13%, 08/15/14 | 1,123,625 | ||||||
2,340,000 | Mohegan Tribal Gaming Authority, 6.88%, 02/15/15 | 1,181,700 | ||||||
2,275,000 | OED Corp./Diamond JO, 8.75%, 04/15/12 | 1,558,375 | ||||||
240,000 | Pinnacle Entertainment, Inc., 8.25%, 03/15/12 | 182,400 | ||||||
1,605,000 | Pinnacle Entertainment, Inc., 7.50%, 06/15/15 | 930,900 | ||||||
555,000 | Pokagon Gaming Authority — 144A, 10.38%, 06/15/14 | 477,300 | ||||||
985,000 | Royal Caribbean Cruises, Ltd. (Liberia), 7.00%, 06/15/13 | 561,450 | ||||||
385,000 | Royal Caribbean Cruises, Ltd. (Liberia), 6.88%, 12/01/13 | 215,600 | ||||||
250,000 | Royal Caribbean Cruises, Ltd. (Liberia), 7.25%, 06/15/16 | 136,250 | ||||||
510,000 | Royal Caribbean Cruises, Ltd. (Liberia), 7.25%, 03/15/18 | 260,100 | ||||||
475,000 | San Pasqual Casino — 144A, 8.00%, 09/15/13(20) | 344,375 | ||||||
595,000 | Scientific Games Corp. — 144A, 7.88%, 06/15/16 | 478,975 | ||||||
995,000 | Seminole Hard Rock Entertainment — 144A, Floating Rate, 4.50%, 03/15/14(2)(20) | 504,963 | ||||||
2,635,000 | Travelport LLC, 9.88%, 09/01/14 | 988,125 | ||||||
300,000 | Trump Entertainment Resorts, Inc., 8.50%, 06/01/15 | 39,750 | ||||||
2,435,000 | Tunica-Biloxi Gaming Authority — 144A, 9.00%, 11/15/15(20) | 1,923,650 | ||||||
2,130,000 | Universal City Development Partners, Ltd., 11.75%, 04/01/10 | 1,373,850 | ||||||
6,495,000 | Universal City Florida, Floating Rate, 7.94%, 05/01/10(2) | 2,792,849 | ||||||
3,443,000 | Waterford Gaming LLC/Waterford Gaming Finance — 144A, 8.63%, 09/15/14(20) | 2,194,568 | ||||||
640,000 | WMG Acquisition Corp., 7.38%, 04/15/14 | 374,400 | ||||||
3,670,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.63%, 12/01/14 | 2,770,850 | ||||||
41,117,613 | ||||||||
Environmental Waste Management and Recycling Services — 0.3% | ||||||||
3,090,000 | Aleris International, Inc., 9.00%, 12/15/14(12) | 185,400 | ||||||
1,800,000 | Waste Services, Inc., 9.50%, 04/15/14 | 1,278,000 | ||||||
1,463,400 | ||||||||
Food and Beverage — 2.2% | ||||||||
3,980,000 | ASG Consolidated LLC/ASG Finance, Inc., 11.50%, 11/01/11 | 3,383,000 | ||||||
6,935,000 | Dole Foods Company, Inc., 8.63%, 05/01/09 | 6,276,175 | ||||||
9,659,175 | ||||||||
Insurance — 0.9% | ||||||||
1,120,000 | Alliant Holdings I, Inc. — 144A, 11.00%, 05/01/15 | 604,800 |
102
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Insurance (continued) | ||||||||
$ | 1,340,000 | Hub International Holdings — 144A, 9.00%, 12/15/14 | $ | 819,075 | ||||
2,825,000 | Multiplan, Inc. — 144A, 10.38%, 04/15/16 | 2,288,250 | ||||||
980,000 | USI Holdings Corp. — 144A, Floating Rate, 6.02%, 11/15/14(2) | 398,125 | ||||||
4,110,250 | ||||||||
Internet Services — 0.4% | ||||||||
2,565,000 | Expedia, Inc. — 144A, 8.50%, 07/01/19 | 1,910,925 | ||||||
Machinery — 1.0% | ||||||||
1,680,000 | Altra Industrial Motion, Inc., 9.00%, 12/01/11 | 1,587,600 | ||||||
830,000 | Chart Industries, Inc., 9.13%, 10/15/15 | 622,500 | ||||||
3,385,000 | Stewart & Stevenson LLC, 10.00%, 07/15/14 | 2,098,700 | ||||||
4,308,800 | ||||||||
Manufacturing — 0.8% | ||||||||
1,000,000 | American Railcar Industries, Inc., 7.50%, 03/01/14 | 660,000 | ||||||
1,535,000 | Bombardier, Inc. — 144A (Canada), 8.00%, 11/15/14 | 1,350,800 | ||||||
285,000 | Harland Clarke Holdings, 9.50%, 05/15/15 | 108,300 | ||||||
965,000 | RBS Global & Rexnord Corp., 9.50%, 08/01/14 | 718,925 | ||||||
870,000 | RBS Global & Rexnord Corp., 11.75%, 08/01/16 | 493,725 | ||||||
720,000 | Venture Holdings Trust, Series B, 9.50%, 07/01/05(9)(13) | 72 | ||||||
3,331,822 | ||||||||
Medical Equipment, Supplies, and Services — 8.2% | ||||||||
2,035,000 | Accellent, Inc., 10.50%, 12/01/13 | 1,393,975 | ||||||
2,595,000 | Advanced Medical Optics, 7.50%, 05/01/17 | 1,323,450 | ||||||
2,235,000 | AMR Holding Company/Emcare Holding Company, 10.00%, 02/15/15 | 2,078,550 | ||||||
5,510,000 | Biomet, Inc., 11.63%, 10/15/17 | 4,711,050 | ||||||
820,000 | Community Health Systems, Inc., 8.88%, 07/15/15 | 754,400 | ||||||
500,000 | DaVita, Inc., 6.63%, 03/15/13 | 475,000 | ||||||
2,340,000 | DJO Finance LLC/DJO Finance Corp., 10.88%, 11/15/14 | 1,684,800 | ||||||
2,790,000 | HCA, Inc., 8.75%, 09/01/10 | 2,678,400 | ||||||
168,000 | HCA, Inc., 7.88%, 02/01/11 | 147,840 | ||||||
2,420,000 | HCA, Inc., 9.13%, 11/15/14 | 2,244,550 | ||||||
9,650,000 | HCA, Inc., 9.25%, 11/15/16 | 8,853,874 | ||||||
2,085,000 | National Mentor Holdings, Inc., 11.25%, 07/01/14 | 1,641,938 | ||||||
2,140,000 | Omnicare, Inc., 6.88%, 12/15/15 | 1,754,800 | ||||||
1,590,000 | Res-Care, Inc., 7.75%, 10/15/13 | 1,295,850 | ||||||
4,015,000 | US Oncology, Inc., 9.00%, 08/15/12 | 3,653,650 | ||||||
1,775,000 | US Oncology, Inc., 10.75%, 08/15/14 | 1,446,625 | ||||||
289,000 | Viant Holdings, Inc. — 144A, 10.13%, 07/15/17(20) | 95,370 | ||||||
36,234,122 | ||||||||
Metals and Mining — 1.2% | ||||||||
1,630,000 | CII Carbon LLC — 144A, 11.13%, 11/15/15 | 1,043,200 | ||||||
1,500,000 | FMG Finance Property, Ltd. — 144A (Australia), 10.63%, 09/01/16 | 870,000 | ||||||
1,635,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17 | 1,340,700 | ||||||
2,145,000 | RathGibson, Inc., 11.25%, 02/15/14 | 477,263 | ||||||
2,285,000 | Steel Dynamics, Inc., 7.38%, 11/01/12 | 1,668,050 | ||||||
5,399,213 | ||||||||
Oil, Coal and Gas — 6.3% | ||||||||
580,000 | Airgas, Inc. — 144A, 7.13%, 10/01/18 | 495,900 | ||||||
1,380,000 | Allis-Chalmers Energy, Inc., 9.00%, 01/15/14 | 731,400 | ||||||
2,050,000 | Chesapeake Energy Corp., 7.25%, 12/15/18 | 1,599,000 | ||||||
695,000 | Cimarex Energy Company, 7.13%, 05/01/17 | 542,100 | ||||||
1,195,000 | Clayton William Energy, 7.75%, 08/01/13 | 669,200 | ||||||
2,020,000 | Compton Petroleum Finance Corp. (Canada), 7.63%, 12/01/13 | 606,000 | ||||||
660,000 | Denbury Resources, Inc., 7.50%, 12/15/15 | 468,600 | ||||||
1,550,000 | Dynegy Holdings, Inc., 7.63%, 10/15/26 | 751,750 | ||||||
740,000 | El Paso Corp., 9.63%, 05/15/12 | 628,341 | ||||||
685,000 | Encore Acquisition Corp., 7.25%, 12/01/17 | 441,825 |
103
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 3,120,000 | Forbes Energy Services (Bermuda), 11.00%, 02/15/15 | $ | 1,872,000 | ||||
1,075,000 | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | 548,250 | ||||||
970,000 | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | 523,800 | ||||||
525,000 | Parker Drilling Company, 9.63%, 10/01/13 | 406,875 | ||||||
4,280,000 | Petrohawk Energy Corp., 9.13%, 07/15/13 | 3,466,799 | ||||||
1,455,000 | Petrohawk Energy Corp. — 144A, 7.88%, 06/01/15 | 1,076,700 | ||||||
1,170,000 | Petroleum Development Company, 12.00%, 02/15/18 | 731,250 | ||||||
255,000 | Petroplus Finance, Ltd. — 144A (Bermuda), 6.75%, 05/01/14 | 161,925 | ||||||
5,155,000 | Petroplus Finance, Ltd. — 144A (Bermuda), 7.00%, 05/01/17 | 3,144,550 | ||||||
995,000 | Plains Exploration & Production Company, 7.00%, 03/15/17 | 681,575 | ||||||
260,000 | Quicksilver Resources, Inc., 8.25%, 08/01/15 | 165,100 | ||||||
1,960,000 | Quicksilver Resources, Inc., 7.13%, 04/01/16 | 1,048,600 | ||||||
3,040,000 | Sandridge Energy, Inc., 8.63%, 04/01/15(12) | 1,596,000 | ||||||
2,960,000 | Sandridge Energy, Inc. — 144A, 8.00%, 06/01/18 | 1,642,800 | ||||||
2,985,000 | Semgroup LP — 144A, 8.75%, 11/15/15(9)(20) | 104,475 | ||||||
290,000 | SESI LLC, 6.88%, 06/01/14 | 223,300 | ||||||
5,970,000 | United Refining Company, 10.50%, 08/15/12 | 3,462,600 | ||||||
27,790,715 | ||||||||
Paper and Forest Products — 1.5% | ||||||||
115,000 | Georgia-Pacific Corp., 9.50%, 12/01/11 | 108,675 | ||||||
1,015,000 | Georgia-Pacific LLC — 144A, 7.00%, 01/15/15 | 862,750 | ||||||
745,000 | Georgia-Pacific LLC — 144A, 7.13%, 01/15/17 | 625,800 | ||||||
665,000 | NewPage Corp., Floating Rate, 9.44%, 05/01/12(2) | 254,363 | ||||||
5,445,000 | NewPage Corp., 10.00%, 05/01/12 | 2,395,800 | ||||||
3,795,000 | NewPage Corp., 12.00%, 05/01/13 | 1,081,575 | ||||||
200,000 | Rock-Tenn Company — 144A, 9.25%, 03/15/16 | 186,000 | ||||||
3,765,000 | Verso Paper Holdings LLC, Series B, 11.38%, 08/01/16 | 1,129,500 | ||||||
6,644,463 | ||||||||
Pharmaceuticals/Research and Development — 0.1% | ||||||||
925,000 | Elan Finance PLC/Elan Finance Corp. (Ireland), 8.88%, 12/01/13 | 481,000 | ||||||
Printing and Publishing — 1.8% | ||||||||
1,266,000 | Dex Media West Finance Company, Series B, 9.88%, 08/15/13 | 300,675 | ||||||
445,000 | Local Insight Regatta Holdings, 11.00%, 12/01/17 | 115,700 | ||||||
1,365,000 | Medimedia USA, Inc. — 144A, 11.38%, 11/15/14(20) | 819,000 | ||||||
7,125,000 | Nielsen Finance LLC/Nielsen Finance Company, 10.00%, 08/01/14 | 5,699,999 | ||||||
1,455,000 | Nielsen Finance LLC/Nielsen Finance Company, zero coupon, 08/01/16(7) | 527,438 | ||||||
4,115,000 | Reader’s Digest Association, 9.00%, 02/15/17 | 354,919 | ||||||
7,817,731 | ||||||||
Real Estate Development and Services — 0.0% | ||||||||
630,000 | Ashton Woods USA LLC/Ashton Woods Finance Company, 9.50%, 10/01/15(9) | 126,000 | ||||||
Real Estate Investment Trusts — 0.4% | ||||||||
2,560,000 | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16 | 1,868,800 | ||||||
Retail — 5.0% | ||||||||
3,770,000 | GameStop Corp., 8.00%, 10/01/12 | 3,506,100 | ||||||
5,055,000 | General Nutrition Centers, Inc., Floating Rate, 7.58%, 03/15/14(11)(12) | 2,830,800 | ||||||
2,150,000 | General Nutrition Centers, Inc., 10.75%, 03/15/15 | 1,204,000 | ||||||
5,505,000 | Neiman Marcus Group, Inc., 9.00%, 10/15/15 | 2,422,200 | ||||||
10,130,000 | Neiman Marcus Group, Inc., 10.38%, 10/15/15 | 4,355,900 | ||||||
265,000 | Rite Aid Corp., 10.38%, 07/15/16 | 194,775 | ||||||
10,430,000 | Rite Aid Corp., 7.50%, 03/01/17 | 6,779,500 | ||||||
1,560,000 | Toys “R” Us, Inc., 7.38%, 10/15/18 | 561,600 | ||||||
21,854,875 | ||||||||
104
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Retail: Restaurants — 0.7% | ||||||||
$ | 1,720,000 | El Pollo Loco, Inc., 11.75%, 11/15/13 | $ | 1,272,800 | ||||
2,595,000 | NPC International, Inc., Series WI, 9.50%, 05/01/14 | 1,881,375 | ||||||
3,154,175 | ||||||||
Semiconductors — 1.1% | ||||||||
2,335,000 | Advanced Micro Devices, Inc., 7.75%, 11/01/12 | 1,027,400 | ||||||
435,000 | Amkor Technologies, Inc., 7.13%, 03/15/11 | 292,538 | ||||||
510,000 | Amkor Technologies, Inc., 7.75%, 05/15/13 | 290,700 | ||||||
1,940,000 | Amkor Technologies, Inc., 9.25%, 06/01/16 | 1,125,200 | ||||||
825,000 | Avago Technologies Finance Pte., Ltd., 10.13%, 12/01/13 | 628,031 | ||||||
1,890,000 | Avago Technologies Finance Pte., Ltd., 11.88%, 12/01/15 | 1,313,550 | ||||||
4,677,419 | ||||||||
Telecommunications Equipment and Services — 11.1% | ||||||||
1,460,000 | Centennial Cellular/Communications, 10.13%, 06/15/13 | 1,474,600 | ||||||
2,890,000 | Citizens Communications Company, 7.13%, 03/15/19 | 1,936,300 | ||||||
4,862,000 | Digicel Group, Ltd. — 144A (Bermuda), 9.13%, 01/15/15 | 3,063,060 | ||||||
3,075,000 | Digicel, Ltd. — 144A (Bermuda), 9.25%, 09/01/12 | 2,613,750 | ||||||
3,070,000 | Intelsat Corp. — 144A, 9.25%, 08/15/14 | 2,855,100 | ||||||
6,030,000 | Intelsat Jackson Holdings — 144A (Bermuda), 9.50%, 06/15/16 | 5,547,600 | ||||||
6,685,000 | Intelsat Jackson Holdings (Bermuda), 11.25%, 06/15/16 | 6,083,349 | ||||||
1,000,000 | Intelsat Subsidiary Holdings — 144A (Bermuda), 8.88%, 01/15/15 | 910,000 | ||||||
4,065,000 | Nortel Networks, Ltd. — 144A (Canada), 10.75%, 07/15/16 | 1,077,225 | ||||||
1,345,000 | Nortel Networks, Ltd. (Canada), 10.75%, 07/15/16 | 356,425 | ||||||
2,505,000 | Qwest Capital Funding, Inc., 7.90%, 08/15/10 | 2,279,550 | ||||||
1,365,000 | Qwest Communications International, Inc., Series B, 7.50%, 02/15/14 | 975,975 | ||||||
420,000 | Qwest Corp., 7.50%, 10/01/14 | 348,600 | ||||||
470,000 | Qwest Corp., 7.63%, 06/15/15 | 385,400 | ||||||
765,000 | Sprint Capital Corp., 6.88%, 11/15/28 | 455,175 | ||||||
8,050,000 | Telesat Canada — 144A, 11.00%, 11/01/15 | 5,755,750 | ||||||
3,375,000 | Telesat Canada — 144A, 12.50%, 11/01/17 | 2,025,000 | ||||||
2,775,000 | Verizon Wireless — 144A, 8.50%, 11/15/18 | 3,251,404 | ||||||
375,000 | Virgin Media Finance PLC (United Kingdom), 8.75%, 04/15/14 | 281,250 | ||||||
2,275,000 | Virgin Media Finance PLC (United Kingdom), 9.13%, 08/15/16 | 1,683,500 | ||||||
2,140,000 | West Corp., 9.50%, 10/15/14 | 1,177,000 | ||||||
4,660,000 | Windstream Corp., 8.63%, 08/01/16 | 4,124,100 | ||||||
2,230,000 | XM Satellite Radio Holdings — 144A, 13.00%, 08/01/13 | 512,900 | ||||||
49,173,013 | ||||||||
Transportation — 2.5% | ||||||||
1,590,000 | Greenbrier Companies, Inc., 8.38%, 05/15/15 | 1,130,888 | ||||||
1,695,000 | Kansas City Southern, 7.50%, 06/15/09 | 1,699,238 | ||||||
2,655,000 | Kansas City Southern de Mexico (Mexico), 7.63%, 12/01/13 | 2,177,099 | ||||||
805,000 | Kansas City Southern de Mexico (Mexico), 7.38%, 06/01/14 | 658,651 | ||||||
1,845,000 | Kansas City Southern Railway, 13.00%, 12/15/13 | 1,849,613 | ||||||
1,945,000 | Kansas City Southern Railway, 8.00%, 06/01/15 | 1,536,550 | ||||||
2,325,000 | TFM, SA de CV (Mexico), 9.38%, 05/01/12 | 2,127,375 | ||||||
11,179,414 | ||||||||
Utilities — 2.3% | ||||||||
1,500,000 | AES Corp., 8.00%, 10/15/17 | 1,230,000 | ||||||
182,000 | AES Corp. — 144A, 8.75%, 05/15/13 | 174,720 | ||||||
425,697 | AES Eastern Energy, Series 99-A, 9.00%, 01/02/17 | 378,871 | ||||||
1,040,000 | Edison Mission Energy, 7.50%, 06/15/13 | 951,600 | ||||||
555,000 | NRG Energy, Inc., 7.25%, 02/01/14 | 518,925 |
105
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities (continued) | ||||||||
$ | 1,105,000 | NRG Energy, Inc., 7.38%, 02/01/16 | $ | 1,027,650 | ||||
3,260,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 2,999,200 | ||||||
210,000 | Reliant Energy, Inc., 7.63%, 06/15/14 | 174,300 | ||||||
3,235,000 | Reliant Energy, Inc., 7.88%, 06/15/17 | 2,620,350 | ||||||
10,075,616 | ||||||||
Total Corporate Bonds and Notes (Cost $543,657,876) | 362,742,638 | |||||||
Loan Participations — 4.9% | ||||||||
2,679,918 | ADESA, Inc., Term Loan B, Variable Rate, 3.71%, 10/20/13(1) | 1,524,203 | ||||||
975,333 | Advanced Medical Optics, Inc., Term Loan B, Variable Rate, 4.38%, 04/02/14(1) | 633,967 | ||||||
866,800 | AMSCAN Holdings, Inc., Term Loan, Variable Rate, 3.93%, 05/25/13(1) | 574,255 | ||||||
2,010,000 | BLB Worldwide Holdings, 2nd Lien Term Loan, Variable Rate, 5.69%, 07/18/12(1)(9) | 217,749 | ||||||
860,000 | Cannery Casino Resorts LLC, 2nd Lien Term Loan, Variable Rate, 4.76%, 05/15/14(1) | 688,000 | ||||||
255,304 | Ceva Sante Animale, Letter of Credit, Variable Rate, 6.66%, 08/02/15(1) | 158,288 | ||||||
768,904 | Ceva Sante Animale, US Term Loan, Variable Rate, 5.05%, 08/02/15(1) | 476,721 | ||||||
6,058 | Community Health Systems, Inc., Delayed Draw Loan, Variable Rate, 1.80%, 07/25/14(1) | 4,746 | ||||||
780,103 | Community Health Systems, Inc., Term Loan B, Variable Rate, 4.45%, 07/25/14(1) | 611,211 | ||||||
560,000 | Dresser, Inc., 2nd Lien Term Loan, Variable Rate, 7.99%, 05/02/15(1) | 323,400 | ||||||
905,381 | Ford Motor Company, Term Loan 5.00%, 12/16/13 | 368,943 | ||||||
1,280,252 | General Nutrition Centers, Inc., Term Loan, Variable Rate, 4.89%, 09/16/13(1) | 853,502 | ||||||
1,938,345 | Great Lakes Entertainment, LLC, Term Loan, Variable Rate, 9.00%, 08/15/12(1) | 1,792,969 | ||||||
241,386 | Hawker Beechcraft Acquisition Company, LLC, Letter of Credit, Variable Rate, 3.46%, 03/26/14(1) | 126,848 | ||||||
4,114,688 | Hawker Beechcraft Acquisition Company, LLC, Term Loan, Variable Rate, 2.79%, 03/26/14(1) | 2,162,269 | ||||||
3,260,000 | Hit Entertainment, Inc., Tranche LN227528, 2nd Lien Term Loan, Variable Rate, 8.21%, 02/05/13(1) | 1,141,000 | ||||||
30,683 | HRP Myrtle Beach, Debtor in Possession Loan, Variable Rate, 13.78%, 03/30/10(1)(14) | 30,683 | ||||||
750,000 | Neff Rental, Inc., 2nd Lien Term Loan, Variable Rate, 5.40%, 11/20/14(1) | 174,375 | ||||||
1,517,811 | Nielsen Finance, LLC, Term Loan, Variable Rate, 4.24%, 08/09/13(1) | 1,033,060 | ||||||
2,250,000 | Panolam Industries, Term Loan, Variable Rate, 3.21%, 09/30/12(1) | 1,462,500 | ||||||
3,365,625 | Quicksilver Resources, Inc., 2nd Lien Term Loan, Variable Rate, 7.75%, 08/08/13(1) | 2,221,312 | ||||||
1,707,674 | Rental Services Corp., 2nd Lien Term Loan, Variable Rate, 7.29%, 11/30/13(1) | 917,875 | ||||||
3,095,406 | Sabre, Inc., Term Loan B, Variable Rate, 4.80%, 09/30/14(1) | 1,358,883 | ||||||
176,332 | Smurfit-Stone Container Corp., Term Loan CI, Variable Rate, 2.50%, 11/01/10(1) | 114,490 | ||||||
275,129 | Smurfit-Stone Container Corp., Deposit Fund Loan, Variable Rate, 3.83%, 11/01/11(1) | 182,961 | ||||||
583,230 | Smurfit-Stone Container Corp., Term Loan C, Variable Rate, 2.50% — 4.25%, 11/01/11(1) | 378,683 | ||||||
308,629 | Smurfit-Stone Container Corp., Term Loan B, Variable Rate, 3.50% — 4.25%, 11/01/11(1) | 205,238 | ||||||
1,790,955 | TXU Corp., Term Loan B2, Variable Rate, 5.58%, 10/10/14(1) | 1,249,938 | ||||||
1,440,000 | Veyance Technologies, Inc., 2nd Lien Term Loan, Variable Rate, 7.63%, 07/20/15(1) | 396,000 | ||||||
Total Loan Participations (Cost $34,773,901) | 21,384,069 | |||||||
106
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks — 0.2% | ||||||||
Airlines — 0.0% | ||||||||
11,466 | Delta Air Lines, Inc.* | $ | 131,400 | |||||
500,000 | Delta Air Lines, Inc. (Escrow Certificates)* | 9,375 | ||||||
140,775 | ||||||||
Banks and Financial Services — 0.0% | ||||||||
2,697,805 | Adelphia Contingent Value Vehicle CVV, Series Acc — 1* | 47,212 | ||||||
Broadcast Services/Media — 0.0% | ||||||||
620,000 | Adelphia Communications (Escrow Certificates)* | 17,825 | ||||||
840,000 | Adelphia Communications (Escrow Certificates)* | 24,150 | ||||||
1,305,000 | Adelphia Communications, Series B (Escrow Certificates)* | 37,519 | ||||||
270 | Time Warner Cable, Inc. — Class A* | 5,787 | ||||||
85,281 | ||||||||
Chemicals — 0.0% | ||||||||
547 | Texas Petrochemicals, Inc.* | 2,762 | ||||||
Entertainment, Leisure and Recreation — 0.0% | ||||||||
970 | HRP — Class B* (14) | — | ||||||
889 | Shreveport Gaming Holdings, Inc.(14) | 14,313 | ||||||
Telecommunications Equipment and Services — 0.2% | ||||||||
15,853 | American Tower Corp. — Class A* | 464,810 | ||||||
Utilities — 0.0% | ||||||||
550,000 | Mirant Corp. (Escrow Certifcates)*(14)(20) | 55 | ||||||
1,220,000 | Mirant Corp. (Escrow Certificates)*(14)(20) | 122 | ||||||
177 | ||||||||
Total Common Stocks (Cost $3,265,059) | 755,330 | |||||||
Preferred Stocks — 0.2% | ||||||||
Entertainment, Leisure and Recreation | ||||||||
3,488,830 | Fontainebleau Resorts, 12.50%(12)(14)(20) (Cost $3,418,733) | 701,255 | ||||||
Convertible Preferred Stocks — 0.4% | ||||||||
Oil, Coal and Gas — 0.2% | ||||||||
2,304 | Chesapeake Energy Corp. — 144A, 5.00%* | 124,416 | ||||||
19,142 | Chesapeake Energy Corp., 4.50%* | 1,107,844 | ||||||
1,232,260 | ||||||||
Telecommunications Equipment and Services — 0.2% | ||||||||
18,825 | Crown Castle International Corp., 6.25%* | 674,170 | ||||||
Total Convertible Preferred Stocks (Cost $3,003,505) | 1,906,430 | |||||||
Principal | ||||||||
Convertible Bonds — 0.3% | ||||||||
Medical Equipment, Supplies, and Services | ||||||||
$ | 1,750,000 | LifePoint Hospitals, Inc., 3.25%, 08/15/25 (Cost $961,323) | 1,257,813 | |||||
Total Securities (Cost $589,080,397) | 388,747,535 | |||||||
Repurchase Agreements — 8.9% | ||||||||
39,226,732 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $39,226,754 (Collateralized by US Treasury Bill, 0.15%, due 06/04/09, with a value of $40,013,988) (Cost $39,226,732) | 39,226,732 | ||||||
Total Investments — 97.3% (Cost $628,307,129) | 427,974,267 | |||||||
Other assets less liabilities — 2.7% | 11,889,187 | |||||||
Net Assets — 100.0% | $ | 439,863,454 | ||||||
Gross unrealized appreciation | $ | 1,710,742 | ||
Gross unrealized depreciation | (203,101,692 | ) | ||
Net unrealized depreciation | $ | (201,390,950 | ) | |
107
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 56.6% | ||||||||
Aerospace and Defense — 1.2% | ||||||||
8,829 | Boeing Company (The) | $ | 376,733 | |||||
9,532 | General Dynamics Corp. | 548,948 | ||||||
4,187 | Lockheed Martin Corp. | 352,043 | ||||||
4,942 | Northrop Grumman Corp. | 222,588 | ||||||
8,998 | United Technologies Corp. | 482,293 | ||||||
1,982,605 | ||||||||
Agriculture — 0.8% | ||||||||
13,483 | Archer-Daniels-Midland Company | 388,715 | ||||||
4,835 | Bunge, Ltd. (Bermuda)(8) | 250,308 | ||||||
10,928 | Monsanto Company | 768,785 | ||||||
1,407,808 | ||||||||
Airlines — 0.0% | ||||||||
3,763 | Southwest Airlines Company | 32,437 | ||||||
Apparel: Manufacturing and Retail — 0.4% | ||||||||
296 | Aeropostale, Inc.* | 4,766 | ||||||
5,906 | Coach, Inc.* | 122,668 | ||||||
4,332 | NIKE, Inc. — Class B | 220,931 | ||||||
792 | Polo Ralph Lauren Corp. | 35,965 | ||||||
6,187 | Ross Stores, Inc. | 183,939 | ||||||
3,025 | Urban Outfitters, Inc.* | 45,315 | ||||||
613,584 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.2% | ||||||||
296 | AutoZone, Inc.* | 41,283 | ||||||
18,102 | Johnson Controls, Inc. | 328,732 | ||||||
370,015 | ||||||||
Banks and Financial Services — 6.0% | ||||||||
17,037 | American Express Company | 316,036 | ||||||
6,585 | Ameriprise Financial, Inc. | 153,826 | ||||||
69,616 | Bank of America Corp. | 980,193 | ||||||
19,966 | Bank of New York Mellon Corp. | 565,637 | ||||||
5,807 | BB&T Corp.(8) | 159,460 | ||||||
1,247 | BlackRock, Inc. | 167,285 | ||||||
2,412 | Broadridge Financial Solutions, Inc. | 30,246 | ||||||
8,597 | Capital One Financial Corp. | 274,158 | ||||||
18,971 | Charles Schwab Corp. (The) | 306,761 | ||||||
63,434 | Citigroup, Inc. | 425,642 | ||||||
1,778 | CME Group, Inc. | 370,020 | ||||||
2,247 | Comerica, Inc. | 44,603 | ||||||
5,459 | Discover Financial Services | 52,024 | ||||||
9,087 | Eaton Vance Corp. | 190,918 | ||||||
2,846 | Federated Investors, Inc. — Class B | 48,268 | ||||||
5,867 | Fifth Third Bancorp | 48,461 | ||||||
2,568 | Franklin Resources, Inc. | 163,787 | ||||||
12,050 | Hudson City Bancorp, Inc. | 192,318 | ||||||
7,099 | Huntington Bancshares, Inc. | 54,378 | ||||||
866 | IntercontinentalExchange, Inc.* | 71,393 | ||||||
3,717 | Invesco, Ltd. (Bermuda) | 53,673 | ||||||
45,391 | JPMorgan Chase & Company | 1,431,179 | ||||||
7,600 | Marshall & Ilsley Corp. | 103,664 | ||||||
4,646 | Merrill Lynch & Company, Inc. | 54,079 | ||||||
7,061 | Moody’s Corp. | 141,855 | ||||||
10,506 | Morgan Stanley | 168,516 | ||||||
2,925 | Northern Trust Corp. | 152,510 | ||||||
3,945 | NYSE Euronext* | 108,014 | ||||||
3,662 | PNC Financial Services Group, Inc. | 179,438 | ||||||
1,199 | Raymond James Financial, Inc. | 20,539 | ||||||
20,626 | Regions Financial Corp. | 164,183 | ||||||
6,202 | State Street Corp. | 243,925 | ||||||
7,303 | SunTrust Banks, Inc. | 215,731 | ||||||
15,503 | Synovus Financial Corp. | 128,675 | ||||||
7,259 | T Rowe Price Group, Inc.(8) | 257,259 | ||||||
20,780 | US Bancorp | 519,708 | ||||||
11,390 | Wachovia Corp. | 63,101 | ||||||
43,890 | Wells Fargo & Company | 1,293,878 | ||||||
2,147 | Zions Bancorp | 52,623 | ||||||
9,967,964 | ||||||||
Broadcast Services/Media — 1.7% | ||||||||
11,109 | CBS Corp. — Class B | 90,983 | ||||||
42,530 | Comcast Corp. — Class A | 717,906 | ||||||
9,365 | Comcast Corp. — Special Class A | 151,245 | ||||||
11,232 | DIRECTV Group, Inc. (The)* | 257,325 | ||||||
4,332 | McGraw-Hill Companies, Inc. (The) | 100,459 | ||||||
14,186 | News Corp. — Class A | 128,951 | ||||||
81,108 | Time Warner, Inc. | 815,946 | ||||||
29,143 | Walt Disney Company (The) | 661,255 | ||||||
2,924,070 | ||||||||
Business Services and Supplies — 0.6% | ||||||||
13,848 | Accenture, Ltd. — Class A (Bermuda) | 454,077 | ||||||
2,472 | Fidelity National Information Services, Inc. | 40,219 | ||||||
3,664 | Genpact, Ltd (Bermuda)* | 30,118 | ||||||
3,703 | Manpower, Inc. | 125,865 | ||||||
1,423 | Paychex, Inc. | 37,396 | ||||||
6,465 | Robert Half International, Inc. | 134,602 | ||||||
7,409 | SEI Investments Company | 116,395 | ||||||
938,672 | ||||||||
Chemicals — 0.3% | ||||||||
2,184 | Air Products & Chemicals, Inc. | 109,790 | ||||||
7,015 | Dow Chemical Company (The) | 105,856 |
108
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Chemicals (continued) | ||||||||
5,631 | EI du Pont de Nemours and Company | $ | 142,464 | |||||
2,433 | FMC Corp. | 108,828 | ||||||
1,473 | Rohm and Haas Company | 91,017 | ||||||
557,955 | ||||||||
Computer Equipment, Software and Services — 4.4% | ||||||||
17,472 | Adobe Systems, Inc.* | 371,979 | ||||||
12,126 | Apple, Inc.* | 1,034,954 | ||||||
3,772 | Autodesk, Inc.* | 74,120 | ||||||
2,365 | Automatic Data Processing, Inc. | 93,039 | ||||||
1,878 | Cognizant Technology Solutions Corp. — Class A* | 33,917 | ||||||
1,429 | Computer Sciences Corp.* | 50,215 | ||||||
28,574 | Dell, Inc.* | 292,598 | ||||||
28,010 | EMC Corp.* | 293,265 | ||||||
29,006 | Hewlett-Packard Company | 1,052,628 | ||||||
10,863 | Ingram Micro, Inc. — Class A* | 145,456 | ||||||
14,399 | International Business Machines Corp. | 1,211,819 | ||||||
88,470 | Microsoft Corp. | 1,719,856 | ||||||
10,177 | NetApp, Inc.* | 142,173 | ||||||
44,856 | Oracle Corp.* | 795,297 | ||||||
1,225 | Salesforce.com, Inc.* | 39,212 | ||||||
13,305 | Sun Microsystems, Inc.* | 50,825 | ||||||
7,401,353 | ||||||||
Construction Services and Supplies — 0.1% | ||||||||
6,595 | Centex Corp. | 70,171 | ||||||
1,993 | Toll Brothers, Inc.* | 42,710 | ||||||
112,881 | ||||||||
Consumer Goods and Services — 3.8% | ||||||||
38,598 | Altria Group, Inc.(5) | 581,286 | ||||||
10,311 | Avon Products, Inc. | 247,773 | ||||||
9,493 | Colgate-Palmolive Company | 650,650 | ||||||
3,522 | Fortune Brands, Inc. | 145,388 | ||||||
6,255 | Herbalife, Ltd. (Cayman Islands) | 135,608 | ||||||
657 | Kimberly-Clark Corp. | 34,650 | ||||||
7,082 | Lorillard, Inc. | 399,071 | ||||||
26,508 | Philip Morris International, Inc. | 1,153,363 | ||||||
37,253 | Procter & Gamble Company (The) | 2,302,981 | ||||||
10,573 | United Parcel Service, Inc. — Class B | 583,207 | ||||||
1,813 | UST, Inc. | 125,786 | ||||||
1,514 | Whirlpool Corp. | 62,604 | ||||||
6,422,367 | ||||||||
Containers and Packaging — 0.0% | ||||||||
1,073 | Sonoco Products Company* | 24,851 | ||||||
Distribution — 0.0% | ||||||||
819 | Fastenal Company | 28,542 | ||||||
2,590 | Tech Data Corp.* | 46,206 | ||||||
74,748 | ||||||||
Diversified Operations and Services — 1.2% | ||||||||
124,043 | General Electric Company | 2,009,497 | ||||||
1,923 | Leucadia National Corp.* | 38,075 | ||||||
2,047,572 | ||||||||
Education — 0.1% | ||||||||
1,778 | Apollo Group, Inc. — Class A* | 136,230 | ||||||
269 | ITT Educational Services, Inc.* | 25,550 | ||||||
161,780 | ||||||||
Electronics — 0.5% | ||||||||
21,890 | Emerson Electric Company | 801,393 | ||||||
3,241 | Harman International Industries, Inc. | 54,222 | ||||||
2,381 | Tyco Electronics, Ltd. (Bermuda) | 38,596 | ||||||
894,211 | ||||||||
Engineering — 0.1% | ||||||||
3,027 | Fluor Corp. | 135,821 | ||||||
Environmental Waste Management and Recycling Services — 0.0% | ||||||||
2,272 | Waste Management, Inc. | 75,294 | ||||||
Food and Beverage — 1.7% | ||||||||
6,195 | Campbell Soup Company | 185,912 | ||||||
16,797 | Coca-Cola Company (The) | 760,400 | ||||||
6,985 | Coca-Cola Enterprises, Inc. | 84,030 | ||||||
3,466 | Corn Products International, Inc. | 99,994 | ||||||
4,378 | Del Monte Foods Company | 31,259 | ||||||
4,593 | Dr Pepper Snapple Group, Inc.* | 74,636 | ||||||
1,751 | Hansen Natural Corp.* | 58,711 | ||||||
3,444 | Hershey Company (The) | 119,645 | ||||||
1,575 | HJ Heinz Company | 59,220 | ||||||
4,207 | Hormel Foods Corp. | 130,754 | ||||||
1,045 | JM Smucker Company (The) | 45,311 | ||||||
17,870 | PepsiCo, Inc. | 978,739 | ||||||
5,054 | Smithfield Foods, Inc.*(8) | 71,110 | ||||||
11,908 | Tyson Foods, Inc. — Class A | 104,314 | ||||||
2,804,035 | ||||||||
Insurance — 1.6% | ||||||||
15,073 | Aflac, Inc. | 690,945 | ||||||
1,977 | Allstate Corp. (The) | 64,767 | ||||||
500 | Arch Capital Group, Ltd. (Bermuda)* | 35,050 |
109
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
4,224 | Chubb Corp. (The) | $ | 215,424 | |||||
1,769 | Endurance Specialty Holdings, Ltd. (Bermuda) | 54,008 | ||||||
2,428 | First American Corp. | 70,145 | ||||||
1,841 | Hartford Financial Services Group, Inc. (The) | 30,229 | ||||||
3,057 | Lincoln National Corp. | 57,594 | ||||||
4,606 | Loews Corp. | 130,120 | ||||||
11,364 | MetLife, Inc. | 396,148 | ||||||
7,292 | Old Republic International Corp. | 86,921 | ||||||
2,045 | Principal Financial Group, Inc. | 46,156 | ||||||
10,338 | Progressive Corp. (The) | 153,106 | ||||||
6,653 | Prudential Financial, Inc. | 201,320 | ||||||
9,359 | Travelers Companies, Inc. (The) | 423,026 | ||||||
4,616 | Unum Group | 85,858 | ||||||
2,740,817 | ||||||||
Internet Services — 1.9% | ||||||||
4,217 | Amazon.com, Inc.* | 216,248 | ||||||
85,709 | Cisco Systems, Inc.* | 1,397,058 | ||||||
15,288 | eBay, Inc.* | 213,420 | ||||||
2,948 | Google, Inc. — Class A* | 906,952 | ||||||
13,227 | Symantec Corp.* | 178,829 | ||||||
6,527 | VeriSign, Inc.* | 124,535 | ||||||
12,406 | Yahoo!, Inc.* | 151,353 | ||||||
3,188,395 | ||||||||
Machinery — 0.6% | ||||||||
4,350 | AGCO Corp.* | 102,617 | ||||||
11,422 | Caterpillar, Inc. | 510,221 | ||||||
1,611 | Cummins, Inc. | 43,062 | ||||||
7,192 | Deere & Company | 275,597 | ||||||
931,497 | ||||||||
Manufacturing — 0.7% | ||||||||
4,443 | 3M Company | 255,650 | ||||||
2,006 | AptarGroup, Inc. | 70,691 | ||||||
1,059 | Dover Corp. | 34,862 | ||||||
10,553 | Honeywell International, Inc. | 346,456 | ||||||
7,715 | Illinois Tool Works, Inc. | 270,411 | ||||||
965 | Sherwin-Williams Company (The) | 57,659 | ||||||
7,902 | Tyco International, Ltd. (Bermuda) | 170,683 | ||||||
1,206,412 | ||||||||
Medical Equipment, Supplies, and Services — 2.6% | ||||||||
4,716 | Baxter International, Inc. | 252,730 | ||||||
3,131 | Becton, Dickinson and Company | 214,129 | ||||||
36,219 | Boston Scientific Corp.* | 280,335 | ||||||
4,383 | Cardinal Health, Inc. | 151,082 | ||||||
1,749 | Community Health Systems, Inc.* | 25,500 | ||||||
626 | CR Bard, Inc. | 52,747 | ||||||
728 | Gen-Probe, Inc.* | 31,188 | ||||||
1,592 | Hill-Rom Holdings, Inc. | 26,204 | ||||||
2,886 | Hologic, Inc.* | 37,720 | ||||||
31,281 | Johnson & Johnson | 1,871,542 | ||||||
5,178 | McKesson Corp. | 200,544 | ||||||
15,088 | Medtronic, Inc. | 474,065 | ||||||
3,078 | St Jude Medical, Inc.* | 101,451 | ||||||
10,937 | UnitedHealth Group, Inc. | 290,924 | ||||||
3,567 | Varian Medical Systems, Inc.* | 124,988 | ||||||
5,769 | WellPoint, Inc.* | 243,048 | ||||||
1,709 | Zimmer Holdings, Inc.* | 69,078 | ||||||
4,447,275 | ||||||||
Metals and Mining — 0.3% | ||||||||
10,970 | Alcoa, Inc. | 123,522 | ||||||
2,532 | Freeport-McMoRan Copper & Gold, Inc. | 61,882 | ||||||
1,304 | Newmont Mining Corp. | 53,073 | ||||||
824 | Nucor Corp. | 38,069 | ||||||
5,277 | Southern Copper Corp. | 84,749 | ||||||
2,767 | United States Steel Corp. | 102,932 | ||||||
464,227 | ||||||||
Oil, Coal and Gas — 8.4% | ||||||||
3,396 | Alpha Natural Resources, Inc.* | 54,981 | ||||||
5,909 | Anadarko Petroleum Corp. | 227,792 | ||||||
6,819 | Apache Corp. | 508,220 | ||||||
3,401 | Cameron International Corp.* | 69,721 | ||||||
2,715 | Chesapeake Energy Corp. | 43,902 | ||||||
27,560 | Chevron Corp. | 2,038,613 | ||||||
1,406 | Cimarex Energy Company | 37,653 | ||||||
17,830 | ConocoPhillips | 923,594 | ||||||
956 | CONSOL Energy, Inc. | 27,322 | ||||||
8,540 | Devon Energy Corp. | 561,163 | ||||||
4,382 | EOG Resources, Inc. | 291,754 | ||||||
1,580 | Exterran Holdings, Inc.* | 33,654 | ||||||
62,372 | Exxon Mobil Corp. | 4,979,156 | ||||||
3,629 | FMC Technologies, Inc.* | 86,479 | ||||||
19,030 | Halliburton Company | 345,965 | ||||||
5,561 | Hess Corp. | 298,292 | ||||||
2,978 | Marathon Oil Corp. | 81,478 | ||||||
5,029 | Murphy Oil Corp. | 223,036 | ||||||
4,238 | National-Oilwell Varco, Inc.* | 103,577 | ||||||
1,090 | Noble Energy, Inc. | 53,650 | ||||||
12,173 | Occidental Petroleum Corp. | 730,258 | ||||||
3,473 | Patterson-UTI Energy, Inc. | 39,974 |
110
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
3,044 | Peabody Energy Corp. | $ | 69,251 | |||||
3,386 | Pioneer Natural Resources Company | 54,785 | ||||||
1,150 | Praxair, Inc. | 68,264 | ||||||
14,364 | Schlumberger, Ltd. (Netherland Antilles) | 608,028 | ||||||
1,856 | Smith International, Inc. | 42,484 | ||||||
7,889 | Southwestern Energy Company* | 228,544 | ||||||
1,756 | St Mary Land & Exploration Company | 35,664 | ||||||
3,530 | Sunoco, Inc.(8) | 153,414 | ||||||
14,332 | Tesoro Corp. | 188,752 | ||||||
3,718 | Transocean, Ltd. (Switzerland)* | 175,676 | ||||||
825 | Ultra Petroleum Corp. (Canada)* | 28,471 | ||||||
19,679 | Valero Energy Corp. | 425,854 | ||||||
2,023 | W&T Offshore, Inc. | 28,969 | ||||||
2,773 | XTO Energy, Inc. | 97,804 | ||||||
13,966,194 | ||||||||
Paper and Forest Products — 0.0% | ||||||||
6,022 | International Paper Company | 71,060 | ||||||
Pharmaceuticals/Research and Development — 5.6% | ||||||||
14,100 | Abbott Laboratories | 752,517 | ||||||
1,784 | Allergan, Inc. | 71,931 | ||||||
4,246 | AmerisourceBergen Corp. | 151,412 | ||||||
15,510 | Amgen, Inc.* | �� | 895,703 | |||||
6,333 | Biogen Idec, Inc.* | 301,641 | ||||||
19,957 | Bristol-Myers Squibb Company | 464,000 | ||||||
5,325 | Celgene Corp.* | 294,366 | ||||||
20,568 | Eli Lilly and Company | 828,273 | ||||||
4,776 | Express Scripts, Inc.* | 262,584 | ||||||
2,177 | Facet Biotech Corp.* | 20,877 | ||||||
1,219 | Forest Laboratories, Inc.* | 31,048 | ||||||
747 | Genzyme Corp.* | 49,578 | ||||||
19,720 | Gilead Sciences, Inc.* | 1,008,482 | ||||||
10,483 | King Pharmaceuticals, Inc.* | 111,329 | ||||||
11,498 | Medco Health Solutions, Inc.* | 481,881 | ||||||
26,318 | Merck & Company, Inc. | 800,067 | ||||||
6,628 | Mylan, Inc.* | 65,551 | ||||||
10,889 | PDL BioPharma, Inc. | 67,294 | ||||||
85,118 | Pfizer, Inc. | 1,507,441 | ||||||
29,110 | Schering-Plough Corp. | 495,743 | ||||||
15,600 | Wyeth | 585,156 | ||||||
9,246,874 | ||||||||
Printing and Publishing — 0.0% | ||||||||
5,591 | Gannett Company, Inc. | 44,728 | ||||||
Real Estate Development and Services — 0.1% | ||||||||
3,657 | Jones Lang LaSalle, Inc. | 101,299 | ||||||
Real Estate Investment Trusts — 0.6% | ||||||||
3,719 | AMB Property Corp. | 87,099 | ||||||
3,361 | AvalonBay Communities, Inc. | 203,609 | ||||||
3,189 | Equity Residential | 95,096 | ||||||
1,132 | Kilroy Realty Corp. | 37,877 | ||||||
1,275 | Kimco Realty Corp. | 23,307 | ||||||
5,320 | Nationwide Health Properties, Inc. | 152,790 | ||||||
920 | Regency Centers Corp. | 42,964 | ||||||
7,315 | Simon Property Group, Inc. | 388,646 | ||||||
2,030 | SL Green Realty Corp. | 52,577 | ||||||
1,083,965 | ||||||||
Retail — 2.5% | ||||||||
2,951 | Bed Bath & Beyond, Inc.* | 75,014 | ||||||
6,470 | BJ’s Wholesale Club, Inc.* | 221,662 | ||||||
8,456 | Costco Wholesale Corp. | 443,940 | ||||||
15,588 | CVS Caremark Corp. | 447,999 | ||||||
2,700 | Dollar Tree, Inc.* | 112,860 | ||||||
2,759 | Family Dollar Stores, Inc. | 71,927 | ||||||
15,729 | Home Depot, Inc. (The) | 362,082 | ||||||
18,605 | Lowe’s Companies, Inc. | 400,380 | ||||||
3,037 | PetSmart, Inc. | 56,033 | ||||||
2,270 | RadioShack Corp. | 27,104 | ||||||
8,791 | Target Corp.(8) | 303,553 | ||||||
10,566 | TJX Companies, Inc. (The) | 217,343 | ||||||
2,891 | Walgreen Company | 71,321 | ||||||
26,295 | Wal-Mart Stores, Inc. | 1,474,097 | ||||||
4,285,315 | ||||||||
Retail: Restaurants — 1.3% | ||||||||
24,460 | McDonald’s Corp. | 1,521,167 | ||||||
3,267 | Panera Bread Company — Class A*(8) | 170,668 | ||||||
17,626 | YUM! Brands, Inc. | 555,219 | ||||||
2,247,054 | ||||||||
Retail: Supermarkets — 0.3% | ||||||||
14,430 | Kroger Company (The) | 381,096 | ||||||
5,450 | Safeway, Inc. | 129,547 | ||||||
3,293 | SUPERVALU, Inc. | 48,078 | ||||||
558,721 | ||||||||
Scientific and Technical Instruments — 0.2% | ||||||||
8,723 | Thermo Fisher Scientific, Inc.* | 297,193 | ||||||
Semiconductors — 1.1% | ||||||||
13,302 | Advanced Micro Devices, Inc.* | 28,732 | ||||||
9,074 | Broadcom Corp. — Class A* | 153,986 | ||||||
88,423 | Intel Corp. | 1,296,281 |
111
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Semiconductors (continued) | ||||||||
19,134 | LSI Corp.* | $ | 62,951 | |||||
22,117 | Texas Instruments, Inc. | 343,256 | ||||||
1,885,206 | ||||||||
Telecommunications Equipment and Services — 2.9% | ||||||||
2,357 | American Tower Corp. — Class A* | 69,107 | ||||||
80,613 | AT&T, Inc.(5) | 2,297,471 | ||||||
1,584 | CenturyTel, Inc. | 43,291 | ||||||
21,187 | Motorola, Inc. | 93,858 | ||||||
19,617 | QUALCOMM, Inc. | 702,877 | ||||||
6,623 | Qwest Communications International, Inc. | 24,108 | ||||||
80,479 | Sprint Nextel Corp.* | 147,277 | ||||||
19,833 | Tellabs, Inc.* | 81,712 | ||||||
42,437 | Verizon Communications, Inc. | 1,438,614 | ||||||
10,581 | Virgin Media, Inc. | 52,799 | ||||||
4,951,114 | ||||||||
Transportation — 1.1% | ||||||||
3,962 | Burlington Northern Santa Fe Corp. | 299,963 | ||||||
2,184 | CH Robinson Worldwide, Inc. | 120,186 | ||||||
4,153 | CSX Corp. | 134,848 | ||||||
4,560 | Expeditors International of Washington, Inc. | 151,711 | ||||||
3,828 | FedEx Corp. | 245,566 | ||||||
12,106 | JB Hunt Transport Services, Inc.(8) | 318,025 | ||||||
1,518 | Landstar System, Inc. | 58,337 | ||||||
3,926 | Norfolk Southern Corp. | 184,718 | ||||||
6,540 | Union Pacific Corp. | 312,612 | ||||||
5,906 | Werner Enterprises, Inc. | 102,410 | ||||||
1,928,376 | ||||||||
Utilities — 1.7% | ||||||||
1,663 | American Electric Power Company, Inc. | 55,345 | ||||||
34,157 | Duke Energy Corp. | 512,696 | ||||||
15,959 | Dynegy, Inc. — Class A* | 31,918 | ||||||
2,024 | Edison International | 65,011 | ||||||
1,360 | Entergy Corp. | 113,057 | ||||||
12,473 | Exelon Corp. | 693,623 | ||||||
4,549 | FirstEnergy Corp. | 220,990 | ||||||
3,436 | FPL Group, Inc. | 172,934 | ||||||
2,106 | Integrys Energy Group, Inc. | 90,516 | ||||||
1,232 | MDU Resources Group, Inc. | 26,587 | ||||||
3,591 | Mirant Corp.* | 67,762 | ||||||
3,581 | NiSource, Inc. | 39,284 | ||||||
7,076 | NRG Energy, Inc.*(8) | 165,083 | ||||||
1,756 | PG&E Corp. | 67,975 | ||||||
7,591 | PPL Corp. | 232,967 | ||||||
6,219 | Public Service Enterprise Group, Inc. | 181,408 | ||||||
6,096 | Reliant Energy, Inc.* | 35,235 | ||||||
971 | Sempra Energy | 41,394 | ||||||
1,785 | Southern Company | 66,045 | ||||||
2,879,830 | ||||||||
Total Common Stocks (Cost $125,463,620) | 95,475,575 | |||||||
Principal | ||||||||
US Treasury Securities — 0.1% | ||||||||
US Treasury Inflation Index | ||||||||
$ | 186,142 | 1.75%, 01/15/28 (Cost $149,996) | 171,977 | |||||
US Government Agency Securities — 19.0% | ||||||||
Asset Backed: Mortgage and Home Equity — 1.4% | ||||||||
600,000 | Fannie Mae Grantor Trust, Series 2001-T2, Class B, 6.02%, 11/25/10(5) | $ | 638,054 | |||||
158,886 | Fannie Mae, Series 1999-7, Class AB, 6.00%, 03/25/29(5) | 164,396 | ||||||
760,000 | Fannie Mae, Series 2003-35, Class TE, 5.00%, 05/25/18(5) | 772,541 | ||||||
353,165 | Fannie Mae, Series 2004-60, Class LB, 5.00%, 04/25/34(5) | 362,134 | ||||||
460,332 | Fannie Mae, Series 2004-99, Class AO, 5.50%, 01/25/34(5) | 475,553 | ||||||
2,412,678 | ||||||||
Fannie Mae — 13.0% | ||||||||
1,708,999 | PL# 256219, 5.50%, 04/01/36(5) | 1,717,777 | ||||||
78,302 | PL# 535675, 7.00%, 01/01/16(5) | 81,613 | ||||||
924 | PL# 549906, 7.50%, 09/01/30(5) | 978 | ||||||
1,426 | PL# 552549, 7.50%, 09/01/30(5) | 1,510 | ||||||
568 | PL# 558384, 7.50%, 01/01/31(5) | 601 | ||||||
1,933 | PL# 568677, 7.50%, 01/01/31(5) | 2,046 | ||||||
269 | PL# 572762, 7.50%, 03/01/31(5) | 285 | ||||||
15,488 | PL# 582178, 7.50%, 06/01/31(5) | 16,409 | ||||||
12,791 | PL# 594316, 6.50%, 07/01/31(5) | 13,387 | ||||||
2,409 | PL# 602859, 6.50%, 10/01/31 | 2,520 | ||||||
12,066 | PL# 614924, 7.00%, 12/01/16(5) | 12,604 | ||||||
687,349 | PL# 735580, 5.00%, 06/01/35(5) | 703,166 | ||||||
66,419 | PL# 745000, 6.00%, 10/01/35(5) | 68,467 | ||||||
1,240,906 | PL# 745275, 5.00%, 02/01/36(5) | 1,268,686 | ||||||
50,249 | PL# 779545, 6.00%, 06/01/34(5) | 51,852 | ||||||
43,335 | PL# 785183, 6.00%, 07/01/34(5) | 44,718 | ||||||
197,713 | PL# 787311, 6.00%, 06/01/34(5) | 204,023 |
112
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
US Government Agency Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
$ | 1,409,078 | PL# 792113, 6.00%, 09/01/34(5) | $ | 1,454,052 | ||||
45,020 | PL# 793193, 5.50%, 07/01/19(5) | 46,525 | ||||||
333,739 | PL# 793693, 6.00%, 08/01/34(5) | 344,391 | ||||||
1,039,496 | PL# 835136, 6.00%, 09/01/35(5) | 1,071,537 | ||||||
1,116,289 | PL# 844183, 6.00%, 11/01/35(5) | 1,150,698 | ||||||
220,759 | PL# 888022, 5.00%, 02/01/36(5) | 225,701 | ||||||
4,869,339 | PL# 911205, 6.50%, 05/01/37(4)(5) | 5,063,077 | ||||||
900,000 | TBA, 5.50%, 01/01/24 | 926,719 | ||||||
200,000 | TBA, 6.00%, 01/01/24 | 207,375 | ||||||
6,440,000 | TBA, 5.00%, 01/01/39 | 6,574,841 | ||||||
600,000 | TBA, 5.50%, 01/01/39 | 615,000 | ||||||
21,870,558 | ||||||||
Federal Agricultural Mortgage Corp. — 0.2% | ||||||||
350,000 | 144A, 5.13%, 04/19/17(5) | 395,017 | ||||||
Freddie Mac Gold — 1.6% | ||||||||
80,291 | PL# A39644, 5.50%, 11/01/35 | 82,289 | ||||||
900,000 | TBA, 5.00%, 01/01/24 | 923,625 | ||||||
1,000,000 | TBA, 5.00%, 01/01/39 | 1,021,875 | ||||||
700,000 | TBA, 5.50%, 01/01/39 | 716,407 | ||||||
2,744,196 | ||||||||
Government National Mortgage Association—2.6% | ||||||||
2,726 | PL# 461836, 7.00%, 01/15/28(4) | 2,886 | ||||||
191,513 | PL# 604404, 5.00%, 06/15/33(4) | 197,188 | ||||||
459,270 | PL# 637934, 5.00%, 01/15/35(4) | 472,305 | ||||||
489,550 | PL# 639093, 5.00%, 01/15/35(4) | 503,444 | ||||||
391,638 | PL# 639865, 5.00%, 06/15/35(4) | 402,754 | ||||||
86,563 | PL# 781881, 5.00%, 03/15/35(4) | 88,971 | ||||||
1,300,000 | TBA, 5.00%, 01/01/39 | 1,332,500 | ||||||
1,300,000 | TBA, 5.50%, 01/01/39 | 1,340,423 | ||||||
4,340,471 | ||||||||
Resolution Funding Strips — 0.2% | ||||||||
250,000 | Zero coupon, 07/15/18(20) | 179,246 | ||||||
250,000 | Zero coupon, 10/15/18(20) | 176,986 | ||||||
356,232 | ||||||||
Total US Government Agency Securities (Cost $31,387,704) | 32,119,152 | |||||||
Corporate Bonds and Notes — 27.8% | ||||||||
Advertising — 0.0% | ||||||||
60,000 | Lamar Media Corp., Series B, 6.63%, 08/15/15 | 43,350 | ||||||
Aerospace and Defense — 0.0% | ||||||||
25,000 | DRS Technologies, Inc., 6.63%, 02/01/16(5) | 25,000 | ||||||
Airlines — 0.2% | ||||||||
300,000 | Delta Air Lines, Inc., Series 2000-1, Class A-2, 7.57%, 11/18/10(5) | 252,000 | ||||||
93,494 | Delta Air Lines, Inc., Series 2007-1, Class A, 6.82%, 08/10/22(5) | 54,272 | ||||||
306,272 | ||||||||
Automobile: Rental — 0.0% | ||||||||
35,000 | Hertz Corp., 8.88%, 01/01/14 | 21,525 | ||||||
20,000 | Hertz Corp., 10.50%, 01/01/16 | 9,125 | ||||||
30,650 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.4% | ||||||||
300,000 | Daimler Chrysler NA Holding, 5.88%, 03/15/11(5) | 261,600 | ||||||
580,000 | Ford Motor Company, 7.45%, 07/16/31 | 162,400 | ||||||
970,000 | General Motors Corp., 8.25%, 07/15/23(8) | 160,050 | ||||||
16,000 | Visteon Corp., 8.25%, 08/01/10 | 4,960 | ||||||
38,000 | Visteon Corp. — 144A, 12.25%, 12/31/16 | 9,120 | ||||||
598,130 | ||||||||
Banks and Financial Services — 7.2% | ||||||||
100,000 | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1)(5) | 23,885 | ||||||
200,000 | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5) | 109,960 | ||||||
190,000 | American Express Company, Variable Rate, 6.80%, 09/01/66(1)(5) | 98,354 | ||||||
10,000 | BAC Capital Trust XIV, Variable Rate, 5.63%, perpetual(1)(5) | 4,007 | ||||||
140,000 | Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5) | 153,420 | ||||||
280,000 | BP Capital Markets PLC (United Kingdom), 5.25%, 11/07/13(5) | 292,302 | ||||||
210,000 | Caterpillar Financial Service Corp., Series MTNF, 6.20%, 09/30/13(5) | 216,493 | ||||||
320,000 | Citigroup, Inc., 6.50%, 08/19/13(5) | 322,908 | ||||||
330,000 | Citigroup, Inc., 5.00%, 09/15/14(5) | 290,262 | ||||||
300,000 | Citigroup, Inc., 6.88%, 03/05/38(5) | 341,366 |
113
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 760,000 | Countrywide Financial Corp., Series MTNA, 4.50%, 06/15/10(5) | $ | 746,709 | ||||
2,645,000 | Ford Motor Credit Company LLC, 5.80%, 01/12/09 | 2,637,506 | ||||||
220,000 | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | 193,209 | ||||||
129,000 | Ford Motor Credit Company LLC, Floating Rate, 7.25%, 06/15/11(2) | 85,140 | ||||||
1,130,000 | General Motors Acceptance Corp., 5.85%, 01/14/09(8) | 1,122,635 | ||||||
160,000 | Glitnir Banki hf — 144A (Iceland), 6.33%, 07/28/11(9) | 7,600 | ||||||
380,000 | Glitnir Banki hf — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)(9) | 57 | ||||||
645,000 | GMAC LLC — 144A, 6.63%, 05/15/12(14) | 615,323 | ||||||
109,000 | GMAC LLC — 144A, 7.50%, 12/31/13(14) | 86,586 | ||||||
85,000 | GMAC LLC — 144A, 8.00%, 12/31/18(14) | 50,476 | ||||||
165,000 | GMAC LLC — 144A, 8.00%, 11/01/31(14) | 112,818 | ||||||
170,000 | Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10(4) | 167,516 | ||||||
70,000 | Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12(4) | 66,774 | ||||||
162,000 | ICICI Bank, Ltd. — 144A (India), Variable Rate, 6.38%, 04/30/22(1)(4) | 85,068 | ||||||
200,000 | ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1) | 105,424 | ||||||
220,000 | JPMorgan Chase & Company, 5.13%, 09/15/14(4) | 213,197 | ||||||
270,000 | JPMorgan Chase & Company, 5.15%, 10/01/15(4) | 254,949 | ||||||
220,000 | JPMorgan Chase & Company, 6.13%, 06/27/17(4) | 216,507 | ||||||
130,000 | Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16(9) | 975 | ||||||
710,000 | Kaupthing Bank hf — 144A, Series 1 (Iceland), 7.63%, 02/28/15(9)(14)(20) | 42,600 | ||||||
140,000 | Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11(9) | 2,450 | ||||||
120,000 | Lehman Brothers E — Capital Trust I, Floating Rate, 3.59%, 08/19/65(2)(9) | 12 | ||||||
100,000 | Lehman Brothers Holdings, Inc., Series MTN, 5.25%, 02/06/12(9) | 9,500 | ||||||
480,000 | Lehman Brothers Holdings, Inc., Series MTN, 6.75%, 12/28/17(9) | 48 | ||||||
170,000 | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate, 6.35%, perpetual(1) | 118,443 | ||||||
260,000 | Morgan Stanley, Series MTN, 5.63%, 01/09/12 | 246,560 | ||||||
100,000 | Morgan Stanley, Series MTNF, Floating Rate, 4.95%, 10/18/16(2) | 68,805 | ||||||
20,000 | Rabobank Capital Funding Trust II — 144A, Variable Rate, 5.26%, perpetual(1) | 10,581 | ||||||
40,000 | Rabobank Capital Funding Trust III — 144A, Variable Rate, 5.25%, perpetual(1) | 21,931 | ||||||
235,000 | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate, 7.19%, perpetual(1) | 111,881 | ||||||
100,000 | Royal Bank of Scotland Group PLC, Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1) | 39,828 | ||||||
270,000 | RSHB Capital Bank — 144A (Luxembourg), 6.30%, 05/15/17 | 153,900 | ||||||
260,000 | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1) | 233,910 | ||||||
300,000 | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1) | 62,746 | ||||||
60,000 | SLM Corp., Series MTN, 5.05%, 11/14/14 | 39,929 | ||||||
265,000 | SLM Corp., Series MTNA, 5.00%, 10/01/13 | 189,613 | ||||||
500,000 | SLM Corp., Series MTNA, 5.38%, 05/15/14 | 337,437 | ||||||
10,000 | SLM Corp., Series MTNA, 5.00%, 04/15/15 | 6,344 | ||||||
45,000 | SLM Corp., Series MTNA, 5.63%, 08/01/33 | 27,299 | ||||||
215,000 | SunTrust Banks, Inc., Series CD, 4.42%, 06/15/09 | 214,230 | ||||||
310,000 | TNK-BP Finance SA — 144A (Luxembourg), 7.50%, 07/18/16 | 161,200 |
114
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
$ | 100,000 | TNK-BP Finance SA, Series 6 — 144A (Luxembourg), 7.88%, 03/13/18 | $ | 50,000 | ||||
390,000 | Turanalem Finance BV — 144A (the Netherlands), 8.25%, 01/22/37 | 167,700 | ||||||
350,000 | Turanalem Finance BV (the Netherlands), 8.25%, 01/22/37 | 150,500 | ||||||
170,000 | Wachovia Capital Trust III, Variable Rate, 5.80%, perpetual(1) | 100,300 | ||||||
430,000 | Wachovia Corp., 5.25%, 08/01/14 | 400,550 | ||||||
130,000 | Wells Fargo Capital X, 5.95%, 12/15/36 | 111,416 | ||||||
270,000 | Wells Fargo Capital XV, Variable Rate, 9.75%, perpetual (1) | 272,700 | ||||||
11,973,839 | ||||||||
Broadcast Services/Media — 0.6% | ||||||||
60,000 | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15 | 10,500 | ||||||
100,000 | Clear Channel Communications, Inc., 4.25%, 05/15/09 | 88,000 | ||||||
170,000 | Clear Channel Communications, Inc., 5.50%, 09/15/14 | 20,400 | ||||||
60,000 | Clear Channel Communications, Inc., 4.90%, 05/15/15 | 6,600 | ||||||
150,000 | Comcast Cable Communications, 8.88%, 05/01/17(5) | 160,178 | ||||||
240,000 | Comcast Corp., 6.50%, 01/15/15(5) | 235,904 | ||||||
20,000 | Comcast Corp., 6.50%, 01/15/17(5) | 19,754 | ||||||
20,000 | Comcast Corp., 5.88%, 02/15/18(5) | 18,952 | ||||||
10,000 | CSC Holdings, Inc., Series B, 7.63%, 04/01/11 | 9,425 | ||||||
70,000 | DIRECTV Holdings LLC/ DIRECTV Financing Company, Inc., 8.38%, 03/15/13 | 69,650 | ||||||
30,000 | Echostar DBS Corp., 7.00%, 10/01/13 | 26,025 | ||||||
25,000 | Echostar DBS Corp., 7.13%, 02/01/16 | 20,875 | ||||||
10,000 | Liberty Media Corp., 5.70%, 05/15/13 | 6,556 | ||||||
10,000 | News America, Inc., 6.65%, 11/15/37 | 9,898 | ||||||
35,000 | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | 34,083 | ||||||
80,000 | Time Warner Entertainment, 8.38%, 07/15/33 | 80,730 | ||||||
180,000 | Time Warner, Inc., 6.88%, 05/01/12(5) | 172,926 | ||||||
75,000 | Time Warner, Inc., 7.70%, 05/01/32(5) | 75,092 | ||||||
1,065,548 | ||||||||
Chemicals — 0.0% | ||||||||
30,000 | Georgia Gulf Corp., 9.50%, 10/15/14 | 9,000 | ||||||
27,000 | Westlake Chemical Corp., 6.63%, 01/15/16 | 15,660 | ||||||
24,660 | ||||||||
Computer Equipment, Software and Services — 0.0% | ||||||||
20,000 | Electronic Data Systems, 7.13%, 10/15/09 | 20,333 | ||||||
Construction Services and Supplies — 0.0% | ||||||||
65,000 | K Hovnanian Enterprises, Inc., 6.25%, 01/15/15 | 16,900 | ||||||
Consumer Goods and Services — 0.0% | ||||||||
100,000 | Reynolds American, Inc., 6.75%, 06/15/17 | 79,379 | ||||||
Containers and Packaging — 0.0% | ||||||||
50,000 | Graham Packaging Company, LP, 8.50%, 10/15/12 | 35,625 | ||||||
Electronics — 0.0% | ||||||||
15,000 | NXP BV/NXP Funding LLC (the Netherlands), 7.88%, 10/15/14 | 5,850 | ||||||
Entertainment, Leisure and Recreation — 0.1% | ||||||||
25,000 | Boyd Gaming Corp., 6.75%, 04/15/14 | 15,750 | ||||||
80,000 | Boyd Gaming Corp., 7.13%, 02/01/16 | 47,200 | ||||||
30,000 | Inn of The Mountain Gods, 12.00%, 11/15/10 | 9,900 | ||||||
50,000 | MGM MIRAGE, 8.50%, 09/15/10 | 42,000 | ||||||
5,000 | MGM MIRAGE, 6.63%, 07/15/15 | 3,050 | ||||||
45,000 | MGM MIRAGE, 7.63%, 01/15/17 | 29,025 | ||||||
15,000 | Mohegan Tribal Gaming Authority, 6.13%, 02/15/13 | 9,450 | ||||||
10,000 | Station Casinos, Inc., 6.88%, 03/01/16 | 575 | ||||||
90,000 | Station Casinos, Inc., 7.75%, 08/15/16 | 17,100 | ||||||
174,050 | ||||||||
115
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Environmental Waste Management and Recycling Services — 0.1% | ||||||||
$ | 270,000 | Waste Management, Inc., 6.38%, 11/15/12 | $ | 251,783 | ||||
Equipment Rental and Leasing — 0.1% | ||||||||
250,000 | International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate, 6.25%, 12/21/65(1)(4) | 104,403 | ||||||
Food and Beverage — 0.2% | ||||||||
310,000 | Diageo Capital PLC (United Kingdom), 7.38%, 01/15/14(5) | 330,228 | ||||||
Funeral Services — 0.0% | ||||||||
10,000 | Service Corp. International, 6.75%, 04/01/16 | 7,600 | ||||||
40,000 | Service Corp. International, 7.63%, 10/01/18 | 29,600 | ||||||
35,000 | Service Corp. International, 7.50%, 04/01/27 | 22,400 | ||||||
59,600 | ||||||||
Insurance — 0.2% | ||||||||
40,000 | American International Group, Inc., Series MTNG, 5.85%, 01/16/18(5) | 26,811 | ||||||
40,000 | ASIF Global Financing XIX — 144A, 4.90%, 01/17/13(5) | 32,110 | ||||||
50,000 | Humana, Inc., 7.20%, 06/15/18(4) | 40,209 | ||||||
300,000 | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate, 3.21%, 07/07/10(2) | 270,870 | ||||||
370,000 | ||||||||
Manufacturing — 0.1% | ||||||||
30,000 | Tyco International Group SA (Luxembourg), 6.38%, 10/15/11 | 29,488 | ||||||
110,000 | Tyco International Group SA (Luxembourg), 6.00%, 11/15/13 | 103,215 | ||||||
132,703 | ||||||||
Medical Equipment, Supplies, and Services — 0.3% | ||||||||
60,000 | Community Health Systems, Inc., 8.88%, 07/15/15 | 55,200 | ||||||
125,000 | DaVita, Inc., 6.63%, 03/15/13 | 118,750 | ||||||
6,000 | HCA, Inc., 6.30%, 10/01/12 | 4,230 | ||||||
160,000 | HCA, Inc., 6.75%, 07/15/13 | 100,800 | ||||||
11,000 | HCA, Inc., 5.75%, 03/15/14 | 6,655 | ||||||
20,000 | HCA, Inc., 9.13%, 11/15/14 | 18,550 | ||||||
160,000 | HCA, Inc., 9.25%, 11/15/16 | 146,800 | ||||||
26,000 | HCA, Inc., 9.63%, 11/15/16(12) | 20,280 | ||||||
60,000 | Tenet Healthcare Corp., 6.38%, 12/01/11 | 46,350 | ||||||
30,000 | Tenet Healthcare Corp., 6.50%, 06/01/12 | 22,800 | ||||||
20,000 | WellPoint, Inc., 5.88%, 06/15/17 | 18,203 | ||||||
558,618 | ||||||||
Metals and Mining — 0.6% | ||||||||
180,000 | Alcoa, Inc., 6.00%, 07/15/13(5) | 162,753 | ||||||
230,000 | Evraz Group SA — 144A (Luxembourg), 8.88%, 04/24/13 | 117,300 | ||||||
190,000 | Freeport-McMoRan Copper & Gold, Inc., 8.38%, 04/01/17(4) | 155,800 | ||||||
210,000 | Rio Tinto Finance USA, Ltd. (Australia), 6.50%, 07/15/18 | 153,966 | ||||||
65,000 | Steel Dynamics, Inc., 6.75%, 04/01/15 | 44,850 | ||||||
341,000 | Vale Overseas, Ltd. (Cayman Islands), 6.88%, 11/21/36 | 309,526 | ||||||
130,000 | Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14 | 78,000 | ||||||
1,022,195 | ||||||||
Office Equipment, Supplies, and Services — 0.0% | ||||||||
40,000 | Xerox Corp., 6.75%, 02/01/17 | 29,025 | ||||||
Oil, Coal and Gas — 2.7% | ||||||||
235,000 | Anadarko Finance Company, Series B, 7.50%, 05/01/31(5) | 207,805 | ||||||
35,000 | Anadarko Petroleum Corp., 6.45%, 09/15/36(5) | 27,609 | ||||||
150,000 | Apache Corp., 6.00%, 09/15/13(5) | 155,561 | ||||||
5,000 | Chesapeake Energy Corp., 6.38%, 06/15/15 | 3,950 | ||||||
20,000 | Chesapeake Energy Corp., 6.25%, 01/15/18 | 14,800 | ||||||
5,000 | Chesapeake Energy Corp., 7.25%, 12/15/18 | 3,900 | ||||||
105,000 | Complete Production Services, Inc., 8.00%, 12/15/16 | 66,150 |
116
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
$ | 80,000 | Conoco, Inc., 6.95%, 04/15/29(5) | $ | 86,088 | ||||
125,000 | Dynegy Holdings, Inc., 7.75%, 06/01/19 | 86,250 | ||||||
86,000 | El Paso Corp., Series MTN, 7.80%, 08/01/31 | 56,029 | ||||||
25,000 | El Paso Corp., Series MTN, 7.75%, 01/15/32 | 16,228 | ||||||
220,000 | El Paso Natural Gas, 8.38%, 06/15/32(5) | 189,836 | ||||||
500,000 | El Paso Performance-Link — 144A, 7.75%, 07/15/11 | 432,874 | ||||||
250,000 | Enterprise Products Operating LLP, 9.75%, 01/31/14(5) | 254,572 | ||||||
120,000 | Gaz Capital (Gazprom) — 144A (Luxembourg), 6.21%, 11/22/16(4) | 79,200 | ||||||
20,000 | Hess Corp., 7.88%, 10/01/29(5) | 19,200 | ||||||
110,000 | Hess Corp., 7.30%, 08/15/31(5) | 100,084 | ||||||
260,000 | Intergas Finance BV — 144A (the Netherlands), 6.38%, 05/14/17(4) | 150,800 | ||||||
250,000 | KazMunaiGaz Finance Sub BV — 144A (Kazakhstan), 8.38%, 07/02/13(4) | 195,000 | ||||||
180,000 | Kerr-McGee Corp., 6.95%, 07/01/24(4) | 157,833 | ||||||
110,000 | Kerr-McGee Corp., 7.88%, 09/15/31(4) | 101,260 | ||||||
50,000 | Kinder Morgan Energy Partners LP, 6.30%, 02/01/09 | 49,952 | ||||||
190,000 | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | 184,802 | ||||||
50,000 | Kinder Morgan Energy Partners LP, 5.85%, 09/15/12 | 45,790 | ||||||
20,000 | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | 17,364 | ||||||
200,000 | Kinder Morgan Energy Partners LP, Series MTN, 6.95%, 01/15/38 | 161,749 | ||||||
250,000 | Occidental Petroleum Corp., 7.00%, 11/01/13 | 272,861 | ||||||
50,000 | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | 25,500 | ||||||
75,000 | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | 40,500 | ||||||
40,000 | Peabody Energy Corp., Series B, 6.88%, 03/15/13 | 37,900 | ||||||
17,000 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 14,391 | ||||||
290,000 | Pemex Project Funding Master Trust — 144A, 6.63%, 06/15/35 | 245,485 | ||||||
190,000 | Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16 | 185,250 | ||||||
30,000 | Pride International, Inc., 7.38%, 07/15/14 | 27,900 | ||||||
25,000 | Semgroup LP — 144A, 8.75%, 11/15/15(9)(20) | 875 | ||||||
160,000 | Shell International Finance (the Netherlands), 6.38%, 12/15/38 | 179,998 | ||||||
95,000 | Suburban Propane Partners, 6.88%, 12/15/13 | 77,900 | ||||||
20,000 | Williams Companies, Inc., 8.75%, 03/15/32 | 14,900 | ||||||
320,000 | Williams Companies, Inc., Series A, 7.50%, 01/15/31 | 214,400 | ||||||
190,000 | XTO Energy, Inc., 7.50%, 04/15/12 | 187,788 | ||||||
60,000 | XTO Energy, Inc., 6.50%, 12/15/18 | 58,081 | ||||||
4,448,415 | ||||||||
Paper and Forest Products — 0.1% | ||||||||
110,000 | Weyerhaeuser Company, 6.75%, 03/15/12 | 98,467 | ||||||
Pharmaceuticals/Research and Development — 0.2% | ||||||||
40,000 | AmerisourceBergen Corp., 5.88%, 09/15/15(5) | 34,959 | ||||||
120,000 | FMC Finance III SA (Luxembourg), 6.88%, 07/15/17 | 112,200 | ||||||
110,000 | Wyeth, 5.95%, 04/01/37 | 122,132 | ||||||
269,291 | ||||||||
Printing and Publishing — 0.0% | ||||||||
105,000 | Idearc, Inc., 8.00%, 11/15/16 | 7,875 | ||||||
10,000 | RH Donnelley Corp., Series A-4, 8.88%, 10/15/17 | 1,500 | ||||||
30,000 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 24,150 | ||||||
40,000 | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | 16,400 | ||||||
49,925 | ||||||||
Private Asset Backed: Banks and Financial Services — 0.1% | ||||||||
300,000 | Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | 245,093 | ||||||
117
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Credit Cards — 0.3% | ||||||||
$ | 640,000 | Washington Mutual Master Note Trust — 144A, Series 2006-A3A, Class A3, Floating Rate, 1.23%, 09/15/13(3) | $ | 560,241 | ||||
Private Asset Backed: Mortgage and Home Equity — 11.1% | ||||||||
309,587 | Accredited Mortgage Loan Trust, Series 2005-3, Class A1, Floating Rate, 0.71%, 09/25/35(3) | 242,265 | ||||||
139,415 | Adjustable Rate Mortgage Trust, Series 2004-2, Class 7A2, Floating Rate, 0.89%, 02/25/35(3) | 67,787 | ||||||
68,154 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 7A2, Floating Rate, 0.85%, 04/25/35(3) | 32,173 | ||||||
280,000 | Banc of America Commercial Mortgage, Inc., Series 2005-5, Class A4, 5.11%, 10/10/45(5) | 228,202 | ||||||
2,917,181 | Bear Stearns Asset Backed Securities, Inc., Series 07-SD1, Class 1A3A, 6.50%, 10/25/36(5) | 2,308,641 | ||||||
1,397,308 | Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 1A2, Floating Rate, 0.68%, 12/25/36(3) | 398,631 | ||||||
297,026 | Countrywide Alternative Loan Trust, Series 2005-36, Class 3A1, Floating Rate, 4.91%, 08/25/35(3)(5) | 179,887 | ||||||
739,760 | Countrywide Alternative Loan Trust, Series 2005-56, Class 4A1, Floating Rate, 0.78%, 11/25/35(3) | 341,562 | ||||||
805,662 | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate, 0.84%, 11/20/35(3) | 402,734 | ||||||
176,324 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, 4.46%, 10/25/35(5) | 143,668 | ||||||
365,670 | Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, Floating Rate, 1.42%, 12/15/35(3) | 143,510 | ||||||
729,242 | Countrywide Home Loans — 144A, Series 2005-R3, Class AF, Floating Rate, 0.87%, 09/25/35(3) | 559,405 | ||||||
720,000 | GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.54%, 02/10/17(4) | 536,651 | ||||||
517,675 | GMAC Commercial Mortgage Securities, Inc., Series 1999-C2, Class A2, 6.95%, 09/15/33 | 515,634 | ||||||
768,653 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR1, Class 3A, Floating Rate, 4.64%, 03/18/35(3) | 454,449 | ||||||
1,200,818 | GMAC Mortgage Corp. Loan Trust, Series 2006-HE1, Class A, Floating Rate, 0.68%, 11/25/36(3) | 315,890 | ||||||
552,501 | GSAMP Trust — 144A, Series 2006-SD2, Class A1, Floating Rate, 0.58%, 05/25/46(3) | 458,570 | ||||||
257,226 | Impac CMB Trust, Series 2004-6, Class 1A1, Floating Rate, 1.27%, 10/25/34(3) | 101,229 | ||||||
587,756 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, Floating Rate, 6.18%, 11/25/37(3)(4) | 362,346 | ||||||
196,078 | IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 5.10%, 09/25/35(4) | 94,143 | ||||||
606,735 | IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, Floating Rate, 5.94%, 08/25/37(3) | 246,329 | ||||||
1,080,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4, 4.90%, 09/12/37(4) | 853,659 | ||||||
546,552 | JPMorgan Mortgage Trust, Series 2004-A3, Class 1A1, Floating Rate, 4.30%, 07/25/34(3) | 419,581 | ||||||
461,893 | Lehman XS Trust, Series 2005-5N, Class 1A1, Floating Rate, 0.77%, 11/25/35(3) | 207,699 | ||||||
348,039 | Lehman XS Trust, Series 2005-7N, Class 1A1B, Floating Rate, 0.77%, 12/25/35(3) | 99,620 | ||||||
513,559 | Lehman XS Trust, Series 2006-GP4, Class 3A1A, Floating Rate, 0.54%, 08/25/46(3) | 394,507 | ||||||
850,000 | Merrill Lynch Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, 03/12/51 | 585,210 |
118
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Private Asset Backed: Mortgage and Home Equity (continued) | ||||||||
$ | 345,978 | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3) | $ | 251,019 | ||||
1,098,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | 558,224 | ||||||
1,300,000 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A5, Class A3, 4.44%, 06/25/35 | 649,104 | ||||||
500,000 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, Floating Rate, 5.66%, 05/12/39(3) | 407,199 | ||||||
176,231 | MLCC Mortgage Investors, Inc., Series 2003-F, Class A1, Floating Rate, 0.79%, 10/25/28(3) | 129,369 | ||||||
187,606 | Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A, Floating Rate, 0.92%, 07/25/34(3) | 101,537 | ||||||
696,434 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | 537,805 | ||||||
329,698 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | 257,023 | ||||||
1,638,087 | Prime Mortgage Trust — 144A, Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | 1,024,869 | ||||||
1,475,811 | Residential Accredit Loans, Inc., Series 2005-QO3, Class A1, Floating Rate, 0.87%, 10/25/45(3) | 678,418 | ||||||
794,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-15, Class 1A1, 5.06%, 07/25/35 | 477,490 | ||||||
303,490 | Structured Asset Mortgage Investments, Inc., Series 2003-AR4, Class A1, Floating Rate, 0.93%, 01/19/34(3) | 202,833 | ||||||
894,809 | Thornburg Mortgage Securities Trust, Series 2006-1, Class A3, Floating Rate, 0.64%, 01/25/46(3) | 891,396 | ||||||
271,767 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A, Floating Rate, 0.79%, 01/25/45(3) | 136,757 | ||||||
476,961 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1, Floating Rate, 0.76%, 10/25/45(3) | 260,505 | ||||||
511,030 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1B3, Floating Rate, 0.83%, 10/25/45(3) | 171,288 | ||||||
596,450 | Washington Mutual Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A2, Floating Rate, 0.75%, 11/25/45(3) | 292,951 | ||||||
469,289 | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.51%, 09/25/36 | 328,414 | ||||||
553,079 | Zuni Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate, 0.60%, 08/25/36(3) | 524,286 | ||||||
18,574,469 | ||||||||
Private Asset Backed: Student Loans — 0.1% | ||||||||
170,000 | Nelnet Student Loan Trust, Series 2008-4, Class A4, Floating Rate, 5.01%, 04/25/24(2) | 137,723 | ||||||
Real Estate Development and Services — 0.0% | ||||||||
230,000 | Realogy Corp., 12.38%, 04/15/15 | 31,050 | ||||||
Real Estate Investment Trusts — 0.1% | ||||||||
50,000 | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16(4) | 36,500 | ||||||
50,000 | Ventas Realty LP/Ventas Capital Corp., 6.75%, 06/01/10 | 47,313 | ||||||
40,000 | Ventas Realty LP/Ventas Capital Corp., 6.75%, 04/01/17 | 30,400 | ||||||
114,213 | ||||||||
Retail — 0.1% | ||||||||
255,346 | CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5) | 160,554 | ||||||
20,000 | JC Penney & Company, Inc., 7.40%, 04/01/37 | 13,168 | ||||||
173,722 | ||||||||
Retail: Supermarkets — 0.1% | ||||||||
93,000 | Delhaize America, Inc., 9.00%, 04/15/31(5) | 94,053 | ||||||
119
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Scientific and Technical Instruments — 0.0% | ||||||||
$ | 80,000 | Cie Generale de Geophysique (France), 7.50%, 05/15/15 | $ | 49,600 | ||||
40,000 | Cie Generale de Geophysique (France), 7.75%, 05/15/17 | 23,200 | ||||||
72,800 | ||||||||
Semiconductors — 0.0% | ||||||||
25,000 | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | 11,000 | ||||||
40,000 | MagnaChip Semiconductor, Ltd., Floating Rate, 5.25%, 12/15/11(2)(9) | 1,400 | ||||||
12,400 | ||||||||
Telecommunications Equipment and Services — 1.3% | ||||||||
120,000 | America Movil SAB de CV (Mexico), 5.63%, 11/15/17(5) | 106,683 | ||||||
190,000 | AT&T, Inc., 5.10%, 09/15/14 | 186,768 | ||||||
90,000 | AT&T, Inc., 5.50%, 02/01/18(5) | 90,956 | ||||||
15,000 | Citizens Communications Company, 9.25%, 05/15/11 | 14,250 | ||||||
30,000 | Citizens Communications Company, 7.88%, 01/15/27 | 17,400 | ||||||
180,000 | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5) | 172,303 | ||||||
220,000 | Koninklijke KPN NV (the Netherlands), 8.38%, 10/01/30 | 248,488 | ||||||
90,000 | Level 3 Financing, Inc., 9.25%, 11/01/14 | 52,200 | ||||||
10,000 | Nextel Communications, Inc., Series D, 7.38%, 08/01/15 | 4,200 | ||||||
130,000 | Nextel Communications, Inc., Series E, 6.88%, 10/31/13 | 55,250 | ||||||
60,000 | Nextel Communications, Inc., Series F, 5.95%, 03/15/14 | 25,200 | ||||||
40,000 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 | 38,024 | ||||||
270,000 | Sprint Capital Corp., 8.38%, 03/15/12 | 216,000 | ||||||
60,000 | Sprint Capital Corp., 8.75%, 03/15/32 | 40,500 | ||||||
200,000 | Telecom Italia Capital (Luxembourg), 5.25%, 10/01/15 | 152,250 | ||||||
70,000 | Telecom Italia Capital (Luxembourg), 7.00%, 06/04/18 | 56,788 | ||||||
90,000 | Verizon Communications, Inc., 8.95%, 03/01/39 | 116,252 | ||||||
50,000 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 52,308 | ||||||
300,000 | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | 298,485 | ||||||
260,000 | VIP FIN (VIMPELCOM) — 144A (Luxembourg), 8.38%, 04/30/13 | 166,400 | ||||||
140,000 | Windstream Corp., 8.63%, 08/01/16 | 123,900 | ||||||
2,234,605 | ||||||||
Transportation — 0.1% | ||||||||
20,000 | Teekay Shipping Corp. (Marshall Islands), 8.88%, 07/15/11 | 16,900 | ||||||
110,000 | Union Pacific Corp., 5.38%, 05/01/14 | 103,758 | ||||||
120,658 | ||||||||
Utilities — 1.4% | ||||||||
80,000 | AES Corp., 7.75%, 10/15/15 | 67,200 | ||||||
410,000 | AES Corp., 8.00%, 10/15/17 | 336,200 | ||||||
70,000 | Dominion Resources, Inc., 4.75%, 12/15/10(5) | 69,215 | ||||||
140,000 | Dominion Resources, Inc., 5.70%, 09/17/12(5) | 138,625 | ||||||
80,000 | Dominion Resources, Inc., Series D, 8.88%, 01/15/19(5) | 86,271 | ||||||
70,000 | Edison Mission Energy, 7.00%, 05/15/17 | 60,900 | ||||||
90,000 | Edison Mission Energy, 7.20%, 05/15/19 | 73,800 | ||||||
40,000 | Edison Mission Energy, 7.63%, 05/15/27 | 31,000 | ||||||
10,000 | Energy Future Holdings Corp. — 144A, 10.88%, 11/01/17 | 7,100 | ||||||
1,150,000 | Energy Future Holdings Corp. — 144A, 11.25%, 11/01/17(12) | 557,750 | ||||||
5,000 | Exelon Corp., 5.63%, 06/15/35(5) | 3,156 | ||||||
160,000 | FirstEnergy Corp., Series B, 6.45%, 11/15/11(4) | 151,241 | ||||||
125,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31(4) | 118,252 |
120
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Corporate Bonds and Notes (continued) | ||||||||
Utilities (continued) | ||||||||
$ | 100,000 | NRG Energy, Inc., 7.25%, 02/01/14 | $ | 93,500 | ||||
10,000 | NRG Energy, Inc., 7.38%, 02/01/16 | 9,300 | ||||||
10,000 | NRG Energy, Inc., 7.38%, 01/15/17 | 9,200 | ||||||
40,000 | Pacific Gas & Electric Company, 8.25%, 10/15/18 | 48,058 | ||||||
90,000 | Pacific Gas & Electric Company, 6.05%, 03/01/34 | 95,585 | ||||||
60,000 | Pacific Gas & Electric Company, 5.80%, 03/01/37 | 62,232 | ||||||
210,000 | TXU Corp., Series P, 5.55%, 11/15/14 | 98,118 | ||||||
105,000 | TXU Corp., Series Q, 6.50%, 11/15/24 | 37,148 | ||||||
310,000 | TXU Corp., Series R, 6.55%, 11/15/34 | 104,654 | ||||||
2,258,505 | ||||||||
Total Corporate Bonds and Notes (Cost $67,680,478) | 46,753,771 | |||||||
Preferred Corporate Bonds and Notes — 0.4% | ||||||||
Banks and Financial Services — 0.1% | ||||||||
190,000 | Bank of America Corp., Series K, Variable Rate, 8.00%, perpetual(1)(5) | 136,665 | ||||||
40,000 | Bank of America Corp., Series M, Variable Rate, 8.13%, perpetual(1)(5) | 29,920 | ||||||
90,000 | Credit Suisse (Guernsey), Variable Rate, 5.86%, perpetual(1)(5) | 42,006 | ||||||
20,000 | Goldman Sachs Capital II, Variable Rate, 5.79%, perpetual(1)(4) | 7,688 | ||||||
200,000 | Lehman Brothers Capital Trust VII, Series MTN, Variable Rate, 5.86%, perpetual(1)(9) | 20 | ||||||
216,299 | ||||||||
Insurance — 0.3% | ||||||||
430,000 | MetLife, Inc., 6.40%, 12/15/36 | 258,000 | ||||||
250,000 | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1) | 163,759 | ||||||
421,759 | ||||||||
Total Preferred Corporate Bonds and Notes (Cost $1,187,535) | 638,058 | |||||||
Shares | Value | |||||||
Preferred Stocks — 0.0% | ||||||||
Banks and Financial Services | ||||||||
600 | Fannie Mae, Series O, Floating Rate, 7.00%(2) | $ | 450 | |||||
10,800 | Fannie Mae, Series S, Variable Rate, 8.25%(1) | 8,964 | ||||||
14,925 | Freddie Mac, Series Z, Variable Rate, 8.38%(1) | 5,821 | ||||||
178 | Preferred Blocker, Inc. — 144A(14) | 29,980 | ||||||
Total Preferred Stocks (Cost $675,045) | 45,215 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs | ||||||||
$ | 40,000 | Ford Motor Company, 4.25%, 12/15/36 (Cost $40,000) | 10,300 | |||||
Municipal Bonds — 0.6% | ||||||||
Virginia | ||||||||
1,106,095 | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $1,088,458) | 1,078,752 | ||||||
Foreign Government Obligations — 0.3% | ||||||||
450,000 | AID-Israel (Israel), 5.50%, 04/26/24(4) (Cost $445,411) | 558,959 | ||||||
Securities Lending Collateral — 1.1% | ||||||||
1,911,215 | Securities Lending Collateral Investment (Note 4) (Cost $1,911,215) | 1,911,215 | ||||||
Total Securities (Cost $230,029,462) | 178,762,974 | |||||||
Repurchase Agreements — 2.2% | ||||||||
3,771,297 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $3,771,300 (Collateralized by US Treasury Bill, 0.02%, due 05/14/09, with a value of $3,854,615) (Cost $3,771,297) | 3,771,297 | ||||||
Total Investments before Call and Put Options Written — 108.1% (Cost $233,800,759) | 182,534,271 | |||||||
Contracts | ||||||||
Call Options Written — (0.3)% | ||||||||
(5 | ) | Eurodollar Future, Expiring September 2009 @ 97.63 | (14,719 | ) |
121
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Contracts | Value | |||||||
Call Options Written (continued) | ||||||||
(57 | ) | Eurodollar Interest Rate Future, Expiring March 2009 @ 98.25 | $ | (103,312 | ) | |||
(44 | ) | US Treasury Note (10 Year) March Future, Expiring February 2009 @ 118 | (360,938 | ) | ||||
Total Call Options Written (Premium $86,010) | (478,969 | ) | ||||||
Put Options Written — (0.0)% | ||||||||
(70 | ) | Eurodollar Interest Rate Future, Expiring March 2009 @ 96.75 | (438 | ) | ||||
(42 | ) | US Treasury Note (10 Year) March Future, Expiring February 2009 @ 110 | (5,250 | ) | ||||
(10 | ) | US Treasury Note (10 Year) March Future, Expiring February 2009 @ 111 | (1,406 | ) | ||||
Total Put Options Written (Premium $119,957) | (7,094 | ) | ||||||
Total Investments net of Call and Put Options Written — 107.8% (Cost $233,594,792) | 182,048,208 | |||||||
Liabilities less other assets — (7.8)% | (13,118,098 | ) | ||||||
Net Assets — 100.0% | $ | 168,930,110 | ||||||
Gross unrealized appreciation | $ | 1,056,329 | ||
Gross unrealized depreciation | (54,721,373 | ) | ||
Net unrealized depreciation | $ | (53,665,044 | ) | |
122
(FORMERLY, VALUE & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 99.0% | ||||||||
Advertising — 0.4% | ||||||||
1,377,700 | Interpublic Group of Companies, Inc. (The)* | $ | 5,455,692 | |||||
Agriculture — 0.5% | ||||||||
151,700 | Bunge, Ltd. (Bermuda) | 7,853,509 | ||||||
Apparel: Manufacturing and Retail — 1.2% | ||||||||
1,123,700 | Gap, Inc. (The) | 15,046,343 | ||||||
214,100 | Limited Brands, Inc. | 2,149,564 | ||||||
17,195,907 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.4% | ||||||||
154,727 | Autoliv, Inc. | 3,320,441 | ||||||
86,200 | Magna International, Inc. — Class A (Canada) | 2,579,966 | ||||||
5,900,407 | ||||||||
Banks and Financial Services — 9.1% | ||||||||
386,900 | American Express Company | 7,176,995 | ||||||
1,142,082 | Bank of America Corp. | 16,080,515 | ||||||
61,700 | Capital One Financial Corp. | 1,967,613 | ||||||
1,450,670 | Citigroup, Inc. | 9,733,996 | ||||||
76,928 | Deutsche Bank AG (Germany) | 3,130,200 | ||||||
581,200 | Fifth Third Bancorp | 4,800,712 | ||||||
126,200 | Goldman Sachs Group, Inc. (The) | 10,650,018 | ||||||
218,600 | Invesco, Ltd. (Bermuda) | 3,156,584 | ||||||
1,719,540 | JPMorgan Chase & Company | 54,217,096 | ||||||
66,400 | Lazard, Ltd. — Class A (Bermuda) | 1,974,736 | ||||||
555,000 | Morgan Stanley | 8,902,200 | ||||||
215,800 | SunTrust Banks, Inc. | 6,374,732 | ||||||
134,000 | Wells Fargo & Company | 3,950,320 | ||||||
132,115,717 | ||||||||
Broadcast Services/Media — 5.3% | ||||||||
813,500 | CBS Corp. — Class B | 6,662,565 | ||||||
1,430,000 | Comcast Corp. — Class A | 24,138,400 | ||||||
538,500 | News Corp. — Class A | 4,894,965 | ||||||
3,671,200 | Time Warner, Inc. | 36,932,272 | ||||||
200,000 | Viacom, Inc. — Class B* | 3,812,000 | ||||||
76,440,202 | ||||||||
Chemicals — 0.2% | ||||||||
92,155 | Eastman Chemical Company | 2,922,235 | ||||||
Computer Equipment, Software and Services — 3.6% | ||||||||
1,218,400 | Dell, Inc.* | 12,476,416 | ||||||
219,000 | Hewlett-Packard Company | 7,947,510 | ||||||
327,100 | International Business Machines Corp. | 27,528,736 | ||||||
388,600 | Western Digital Corp.* | 4,449,470 | ||||||
52,402,132 | ||||||||
Construction Services and Supplies — 0.5% | ||||||||
109,500 | Centex Corp. | 1,165,080 | ||||||
107,000 | KB HOME | 1,457,340 | ||||||
530,779 | Lennar Corp. — Class A | 4,601,854 | ||||||
7,224,274 | ||||||||
Consumer Goods and Services — 5.0% | ||||||||
506,000 | Altria Group, Inc. | 7,620,360 | ||||||
115,000 | Black & Decker Corp. (The) | 4,808,150 | ||||||
106,100 | Estee Lauder Companies, Inc. (The) — Class A | 3,284,856 | ||||||
484,000 | Kimberly-Clark Corp. | 25,526,160 | ||||||
328,000 | Philip Morris International, Inc. | 14,271,280 | ||||||
283,455 | Procter & Gamble Company (The) | 17,523,188 | ||||||
73,033,994 | ||||||||
Containers and Packaging — 0.2% | ||||||||
122,000 | Owens-Illinois, Inc.* | 3,334,260 | ||||||
Diversified Operations and Services — 2.9% | ||||||||
2,578,700 | General Electric Company | 41,774,940 | ||||||
Electronics — 2.1% | ||||||||
2,523,748 | Flextronics International, Ltd. (Singapore)* | 6,460,795 | ||||||
674,802 | Sanmina-SCI Corp.* | 317,157 | ||||||
517,000 | Sony Corp. (ADR) (Japan) | 11,306,790 | ||||||
801,750 | Tyco Electronics, Ltd. (Bermuda) | 12,996,367 | ||||||
31,081,109 | ||||||||
Environmental Waste Management and Recycling Services — 0.8% | ||||||||
345,000 | Waste Management, Inc. | 11,433,300 | ||||||
Food and Beverage — 4.9% | ||||||||
447,400 | Coca-Cola Enterprises, Inc. | 5,382,222 | ||||||
791,300 | Dean Foods Company* | 14,219,661 | ||||||
39,427 | JM Smucker Company (The) | 1,709,555 | ||||||
60,000 | Kellogg Company | 2,631,000 | ||||||
1,001,100 | Kraft Foods, Inc. — Class A | 26,879,535 | ||||||
70,000 | Molson Coors Brewing Company — Class B | 3,424,400 | ||||||
1,668,805 | Sara Lee Corp. | 16,337,601 | ||||||
79,195 | Tyson Foods, Inc. — Class A | 693,748 | ||||||
71,277,722 | ||||||||
123
(FORMERLY, VALUE & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance — 6.0% | ||||||||
446,000 | Allstate Corp. (The) | $ | 14,610,960 | |||||
942,700 | American International Group, Inc. | 1,480,039 | ||||||
72,000 | Fidelity National Financial, Inc. — Class A | 1,278,000 | ||||||
550,000 | Genworth Financial, Inc. — Class A | 1,556,500 | ||||||
132,100 | Hartford Financial Services Group, Inc. (The) | 2,169,082 | ||||||
330,415 | MetLife, Inc. | 11,518,267 | ||||||
61,566 | PartnerRe, Ltd. (Bermuda) | 4,387,809 | ||||||
117,300 | RenaissanceRe Holdings, Ltd. (Bermuda) | 6,047,988 | ||||||
932,800 | Travelers Companies, Inc. (The) | 42,162,560 | ||||||
313,000 | XL Capital, Ltd. — Class A (Cayman Islands) | 1,158,100 | ||||||
86,369,305 | ||||||||
Internet Services — 0.3% | ||||||||
298,700 | Symantec Corp.* | 4,038,424 | ||||||
Machinery — 0.3% | ||||||||
82,000 | Caterpillar, Inc. | 3,662,940 | ||||||
Manufacturing — 1.9% | ||||||||
483,000 | Honeywell International, Inc. | 15,856,890 | ||||||
564,350 | Tyco International, Ltd. (Bermuda) | 12,189,960 | ||||||
28,046,850 | ||||||||
Medical Equipment, Supplies, and Services — 3.9% | ||||||||
1,798,100 | Boston Scientific Corp.* | 13,917,294 | ||||||
217,000 | Cardinal Health, Inc. | 7,479,990 | ||||||
733,800 | Hologic, Inc.* | 9,590,766 | ||||||
290,000 | Johnson & Johnson | 17,350,700 | ||||||
57,500 | McKesson Corp. | 2,226,975 | ||||||
5,176,420 | Tenet Healthcare Corp.* | 5,952,883 | ||||||
56,518,608 | ||||||||
Metals and Mining — 0.7% | ||||||||
456,000 | Alcoa, Inc. | 5,134,560 | ||||||
150,900 | United States Steel Corp. | 5,613,480 | ||||||
10,748,040 | ||||||||
Oil, Coal and Gas — 15.8% | ||||||||
171,100 | Anadarko Petroleum Corp. | 6,595,905 | ||||||
157,000 | Apache Corp. | 11,701,210 | ||||||
275,000 | BP PLC (ADR) (United Kingdom) | 12,853,500 | ||||||
819,900 | Chevron Corp. | 60,648,004 | ||||||
927,602 | ConocoPhillips | 48,049,784 | ||||||
181,400 | Devon Energy Corp. | 11,919,794 | ||||||
637,000 | Exxon Mobil Corp. | 50,851,710 | ||||||
78,000 | Occidental Petroleum Corp. | 4,679,220 | ||||||
213,400 | Total SA (ADR) (France) | 11,801,020 | ||||||
374,600 | Valero Energy Corp. | 8,106,344 | ||||||
227,206,491 | ||||||||
Paper and Forest Products — 0.8% | ||||||||
1,046,700 | MeadWestvaco Corp. | 11,712,573 | ||||||
Pharmaceuticals/Research and Development — 11.1% | ||||||||
89,834 | AmerisourceBergen Corp. | 3,203,480 | ||||||
111,000 | Amgen, Inc.* | 6,410,250 | ||||||
904,000 | Bristol-Myers Squibb Company | 21,018,000 | ||||||
150,000 | Eli Lilly and Company | 6,040,500 | ||||||
611,300 | Merck & Company, Inc. | 18,583,520 | ||||||
3,443,900 | Pfizer, Inc. | 60,991,469 | ||||||
130,000 | Sanofi-Aventis (ADR) (France) | 4,180,800 | ||||||
365,100 | Schering-Plough Corp. | 6,217,653 | ||||||
926,500 | Watson Pharmaceuticals, Inc.* | 24,617,105 | ||||||
205,000 | Wyeth | 7,689,550 | ||||||
158,952,327 | ||||||||
Printing and Publishing — 0.2% | ||||||||
450,200 | Gannett Company, Inc. | 3,601,600 | ||||||
Retail — 2.9% | ||||||||
289,900 | CVS Caremark Corp. | 8,331,726 | ||||||
798,200 | Home Depot, Inc. (The) | 18,374,564 | ||||||
360,000 | JC Penney Company, Inc. | 7,092,000 | ||||||
210,000 | Lowe’s Companies, Inc. | 4,519,200 | ||||||
415,100 | Macy’s, Inc. | 4,296,285 | ||||||
42,613,775 | ||||||||
Retail: Supermarkets — 1.7% | ||||||||
479,350 | Kroger Company (The) | 12,659,634 | ||||||
270,525 | Safeway, Inc. | 6,430,379 | ||||||
366,400 | SUPERVALU, Inc. | 5,349,440 | ||||||
24,439,453 | ||||||||
Semiconductors — 2.1% | ||||||||
760,300 | Intel Corp. | 11,145,998 | ||||||
185,200 | KLA-Tencor Corp. | 4,035,508 | ||||||
3,695,800 | LSI Corp.* | 12,159,182 | ||||||
475,330 | NVIDIA Corp.* | 3,835,913 | ||||||
31,176,601 | ||||||||
124
(FORMERLY, VALUE & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Telecommunications Equipment and Services — 9.3% | ||||||||
2,420,355 | AT&T, Inc. | $ | 68,980,117 | |||||
464,000 | Corning, Inc. | 4,421,920 | ||||||
3,712,300 | Motorola, Inc. | 16,445,489 | ||||||
250,000 | Nokia (ADR) (Finland) | 3,900,000 | ||||||
5,588,500 | Qwest Communications International, Inc. | 20,342,140 | ||||||
1,907,818 | Sprint Nextel Corp.* | 3,491,307 | ||||||
736,700 | Telefonaktiebolaget LM Ericsson (ADR) (Sweden) | 5,753,627 | ||||||
358,700 | Verizon Communications, Inc. | 12,159,930 | ||||||
135,494,530 | ||||||||
Toys — 1.2% | ||||||||
1,113,500 | Mattel, Inc. | 17,816,000 | ||||||
Utilities — 3.7% | ||||||||
259,500 | Ameren Corp. | 8,630,970 | ||||||
972,780 | American Electric Power Company, Inc. | 32,374,118 | ||||||
109,100 | Dominion Resources, Inc. — Virginia | 3,910,144 | ||||||
416,300 | Reliant Energy, Inc.* | 2,406,214 | ||||||
165,800 | Wisconsin Energy Corp. | 6,960,284 | ||||||
54,281,730 | ||||||||
Total Common Stocks (Cost $2,137,281,482) | 1,436,124,647 | |||||||
Principal | ||||||||
Repurchase Agreements — 0.8% | ||||||||
$ | 11,411,786 | With State Street Bank & Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $11,411,793 (Collateralized by various US Treasury Bills, 0.01%-0.02%, due 01/02/09-05/14/09, with a total value of $11,831,391) (Cost $11,411,786) | 11,411,786 | |||||
Total Investments — 99.8% (Cost $2,148,693,268) | 1,447,536,433 | |||||||
Other assets less liabilities — 0.2% | 3,433,714 | |||||||
Net Assets — 100.0% | $ | 1,450,970,147 | ||||||
Gross unrealized appreciation | $ | 67,174,003 | ||
Gross unrealized depreciation | (782,904,506 | ) | ||
Net unrealized depreciation | $ | (715,730,503 | ) | |
125
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 98.9% | ||||||||
Advertising — 1.0% | ||||||||
158,200 | Interpublic Group of Companies, Inc. (The)* | $ | 626,472 | |||||
Aerospace and Defense — 3.2% | ||||||||
37,600 | Empresa Brasileira de Aeronautica SA (ADR) (Brazil)(8) | 609,496 | ||||||
29,000 | Northrop Grumman Corp. | 1,306,160 | ||||||
1,915,656 | ||||||||
Apparel: Manufacturing and Retail — 1.6% | ||||||||
48,200 | Gap, Inc. (The) | 645,398 | ||||||
34,800 | Limited Brands, Inc. | 349,392 | ||||||
994,790 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5% | ||||||||
32,800 | PACCAR, Inc. | 938,080 | ||||||
Banks and Financial Services — 15.6% | ||||||||
15,500 | American Express Company | 287,525 | ||||||
164,755 | Bank of America Corp. | 2,319,750 | ||||||
164,800 | Citigroup, Inc. | 1,105,808 | ||||||
16,000 | Comerica, Inc. | 317,600 | ||||||
64,300 | JPMorgan Chase & Company | 2,027,379 | ||||||
92,075 | KeyCorp | 784,479 | ||||||
605,900 | National City Corp. | 1,096,679 | ||||||
276,500 | Wachovia Corp. | 1,531,810 | ||||||
9,471,030 | ||||||||
Chemicals — 2.5% | ||||||||
5,000 | Eastman Chemical Company | 158,550 | ||||||
22,000 | Rohm and Haas Company | 1,359,380 | ||||||
1,517,930 | ||||||||
Computer Equipment, Software and Services — 12.5% | ||||||||
179,466 | CA, Inc. | 3,325,505 | ||||||
132,400 | Microsoft Corp. | 2,573,856 | ||||||
96,900 | Oracle Corp.* | 1,718,037 | ||||||
7,617,398 | ||||||||
Consumer Goods and Services — 6.6% | ||||||||
10,700 | Lorillard, Inc. | 602,945 | ||||||
71,300 | Philip Morris International, Inc. | 3,102,263 | ||||||
13,200 | Unilever PLC (ADR) (United Kingdom) | 303,864 | ||||||
4,009,072 | ||||||||
Electronics — 2.7% | ||||||||
101,050 | Tyco Electronics, Ltd. (Bermuda) | 1,638,021 | ||||||
Food and Beverage — 2.7% | ||||||||
29,200 | Coca-Cola Company (The) | 1,321,884 | ||||||
11,200 | Kraft Foods, Inc. — Class A | 300,720 | ||||||
1,622,604 | ||||||||
Insurance — 6.2% | ||||||||
19,200 | Allstate Corp. (The) | 628,992 | ||||||
77,000 | Conseco, Inc.* | 398,860 | ||||||
81,500 | Genworth Financial, Inc. — Class A | 230,645 | ||||||
26,059 | MetLife, Inc. | 908,417 | ||||||
7,100 | Prudential Financial, Inc. | 214,846 | ||||||
21,500 | Travelers Companies, Inc. (The) | 971,800 | ||||||
107,600 | XL Capital, Ltd. — Class A (Cayman Islands) | 398,120 | ||||||
3,751,680 | ||||||||
Internet Services — 1.5% | ||||||||
66,200 | eBay, Inc.* | 924,152 | ||||||
Manufacturing — 3.1% | ||||||||
85,750 | Tyco International, Ltd. (Bermuda) | 1,852,200 | ||||||
Medical Equipment, Supplies, and Services — 0.9% | ||||||||
9,100 | Johnson��& Johnson | 544,453 | ||||||
Metals and Mining — 0.6% | ||||||||
30,700 | Alcoa, Inc. | 345,682 | ||||||
Oil, Coal and Gas — 5.8% | ||||||||
7,800 | Exxon Mobil Corp. | 622,674 | ||||||
56,500 | Royal Dutch Shell PLC — Class B (ADR) (United Kingdom)(8) | 2,905,795 | ||||||
3,528,469 | ||||||||
Pharmaceuticals/Research and Development — 12.3% | ||||||||
39,500 | Bristol-Myers Squibb Company | 918,375 | ||||||
45,000 | Eli Lilly and Company | 1,812,150 | ||||||
55,600 | Merck & Company, Inc. | 1,690,240 | ||||||
52,500 | Pfizer, Inc. | 929,775 | ||||||
122,900 | Schering-Plough Corp. | 2,092,987 | ||||||
7,443,527 | ||||||||
Retail — 6.4% | ||||||||
90,052 | Home Depot, Inc. (The) | 2,072,997 | ||||||
52,900 | JC Penney Company, Inc. | 1,042,130 | ||||||
14,200 | Wal-Mart Stores, Inc. | 796,052 | ||||||
3,911,179 | ||||||||
Retail: Supermarkets — 2.8% | ||||||||
71,900 | Safeway, Inc. | 1,709,063 | ||||||
Semiconductors — 1.2% | ||||||||
47,700 | Texas Instruments, Inc. | 740,304 | ||||||
126
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Telecommunications Equipment and Services — 1.4% | ||||||||
387,100 | Alcatel-Lucent (ADR) (France)* | $ | 832,265 | |||||
Utilities — 6.8% | ||||||||
12,800 | Entergy Corp. | 1,064,064 | ||||||
32,600 | Exelon Corp. | 1,812,886 | ||||||
24,400 | FPL Group, Inc. | 1,228,052 | ||||||
4,105,002 | ||||||||
Total Common Stocks (Cost $87,872,197) | 60,039,029 | |||||||
Preferred Stocks — 0.0% | ||||||||
Banks and Financial Services | ||||||||
369,700 | Washington Mutual, Inc., Series S, 14.00%(14) (Cost $3,234,875) | 3,974 | ||||||
Principal | ||||||||
Securities Lending Collateral — 4.3% | ||||||||
$ | 2,594,000 | Securities Lending Collateral Investment (Note 4) (Cost $2,594,000) | 2,594,000 | |||||
Total Securities (Cost $93,701,072) | 62,637,003 | |||||||
Repurchase Agreements — 2.1% | ||||||||
1,274,730 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $1,274,731 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $1,398,600) (Cost $1,274,730) | 1,274,730 | ||||||
Total Investments — 105.3% (Cost $94,975,802) | 63,911,733 | |||||||
Liabilities less other assets — (5.3)% | (3,208,169 | ) | ||||||
Net Assets — 100.0% | $ | 60,703,564 | ||||||
Gross/Net unrealized depreciation (includes gross unrealized appreciation of $0) | $ | (36,933,470 | ) | |
127
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 95.9% | ||||||||
Aerospace and Defense — 3.3% | ||||||||
52,750 | Goodrich Corp. | $ | 1,952,805 | |||||
36,650 | L-3 Communications Holdings, Inc. | 2,704,037 | ||||||
25,375 | Lockheed Martin Corp. | 2,133,530 | ||||||
33,800 | Northrop Grumman Corp. | 1,522,352 | ||||||
17,500 | Raytheon Company | 893,200 | ||||||
9,205,924 | ||||||||
Agriculture — 0.5% | ||||||||
20,825 | Monsanto Company | 1,465,039 | ||||||
Airlines — 0.1% | ||||||||
36,500 | Southwest Airlines Company | 314,630 | ||||||
Apparel: Manufacturing and Retail — 1.6% | ||||||||
17,200 | Aeropostale, Inc.* | 276,920 | ||||||
60,900 | Coach, Inc.* | 1,264,893 | ||||||
41,800 | Gap, Inc. (The) | 559,702 | ||||||
22,000 | NIKE, Inc. — Class B | 1,122,000 | ||||||
17,000 | Polo Ralph Lauren Corp. | 771,970 | ||||||
21,750 | Ross Stores, Inc. | 646,628 | ||||||
4,642,113 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.5% | ||||||||
9,375 | AutoZone, Inc.* | 1,307,531 | ||||||
Banks and Financial Services — 7.4% | ||||||||
57,400 | Ameriprise Financial, Inc. | 1,340,864 | ||||||
14,300 | Astoria Financial Corp. | 235,664 | ||||||
41,200 | Bank of America Corp. | 580,096 | ||||||
47,900 | Capital One Financial Corp. | 1,527,531 | ||||||
56,950 | Charles Schwab Corp. (The) | 920,882 | ||||||
23,500 | Credicorp, Ltd. (Bermuda) | 1,174,060 | ||||||
69,650 | Federated Investors, Inc. — Class B | 1,181,264 | ||||||
24,600 | Franklin Resources, Inc. | 1,568,988 | ||||||
14,100 | Global Payments, Inc. | 462,339 | ||||||
22,850 | Goldman Sachs Group, Inc. (The) | 1,928,312 | ||||||
123,100 | Hudson City Bancorp, Inc. | 1,964,676 | ||||||
41,500 | Knight Capital Group, Inc. — Class A* | 670,225 | ||||||
5,425 | MasterCard, Inc. — Class A | 775,395 | ||||||
37,900 | Moody’s Corp.(8) | 761,411 | ||||||
17,500 | NewAlliance Bancshares, Inc. | 230,475 | ||||||
11,900 | PNC Financial Services Group, Inc. | 583,100 | ||||||
143,900 | Regions Financial Corp. | 1,145,444 | ||||||
26,200 | SunTrust Banks, Inc. | 773,948 | ||||||
15,100 | SVB Financial Group* | 396,073 | ||||||
20,425 | Visa, Inc. — Class A | 1,071,291 | ||||||
54,900 | Wells Fargo & Company | 1,618,452 | ||||||
20,910,490 | ||||||||
Broadcast Services/Media — 2.5% | ||||||||
68,775 | Comcast Corp. — Class A | 1,160,922 | ||||||
94,975 | DIRECTV Group, Inc. (The)* | 2,175,877 | ||||||
19,100 | McGraw-Hill Companies, Inc. (The) | 442,929 | ||||||
64,400 | Shaw Communications, Inc. — Class B (Canada) | 1,138,592 | ||||||
203,675 | Time Warner, Inc. | 2,048,971 | ||||||
6,967,291 | ||||||||
Business Services and Supplies — 0.9% | ||||||||
37,125 | Accenture, Ltd. — Class A (Bermuda) | 1,217,329 | ||||||
24,713 | Hewitt Associates, Inc. — Class A* | 701,355 | ||||||
30,700 | SEI Investments Company | 482,297 | ||||||
2,400,981 | ||||||||
Chemicals — 1.3% | ||||||||
15,800 | Airgas, Inc. | 616,042 | ||||||
50,500 | Dow Chemical Company (The) | 762,045 | ||||||
16,425 | FMC Corp. | 734,690 | ||||||
31,600 | Lubrizol Corp. (The) | 1,149,924 | ||||||
41,200 | Methanex Corp. (Canada)(8) | 463,088 | ||||||
3,725,789 | ||||||||
Computer Equipment, Software and Services — 8.2% | ||||||||
20,325 | Apple, Inc.* | 1,734,739 | ||||||
50,325 | BMC Software, Inc.* | 1,354,246 | ||||||
19,800 | Computer Sciences Corp.* | 695,772 | ||||||
114,650 | Hewlett-Packard Company | 4,160,649 | ||||||
59,725 | International Business Machines Corp. | 5,026,456 | ||||||
319,875 | Microsoft Corp. | 6,218,370 | ||||||
162,895 | Oracle Corp.* | 2,888,128 | ||||||
9,300 | Sybase, Inc.* | 230,361 | ||||||
61,225 | Western Digital Corp.* | 701,026 | ||||||
23,009,747 | ||||||||
Construction Services and Supplies — 0.6% | ||||||||
13,300 | Granite Construction, Inc. | 584,269 | ||||||
17,000 | Lennox International, Inc. | 548,930 | ||||||
34,400 | Owens Corning, Inc.* | 595,120 | ||||||
1,728,319 | ||||||||
Consumer Goods and Services — 4.4% | ||||||||
67,400 | Altria Group, Inc. | 1,015,044 |
128
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Consumer Goods and Services (continued) | ||||||||
22,725 | Colgate-Palmolive Company | $ | 1,557,572 | |||||
53,825 | Herbalife, Ltd. (Cayman Islands) | 1,166,926 | ||||||
26,875 | Jarden Corp.* | 309,063 | ||||||
14,950 | Lorillard, Inc. | 842,433 | ||||||
39,200 | NBTY, Inc.* | 613,480 | ||||||
39,475 | Philip Morris International, Inc. | 1,717,556 | ||||||
83,075 | Procter & Gamble Company (The) | 5,135,696 | ||||||
12,357,770 | ||||||||
Containers and Packaging — 0.5% | ||||||||
18,300 | Ball Corp. | 761,097 | ||||||
22,650 | Pactiv Corp.* | 563,532 | ||||||
1,324,629 | ||||||||
Diversified Operations and Services — 0.6% | ||||||||
102,500 | General Electric Company | 1,660,500 | ||||||
Education — 0.2% | ||||||||
9,825 | DeVry, Inc. | 564,053 | ||||||
Electronics — 0.8% | ||||||||
35,500 | Arrow Electronics, Inc.* | 668,820 | ||||||
30,900 | Avnet, Inc.* | 562,689 | ||||||
17,200 | Garmin, Ltd. (Cayman Islands) | 329,724 | ||||||
92,400 | Jabil Circuit, Inc. | 623,700 | ||||||
2,184,933 | ||||||||
Energy Services — 0.1% | ||||||||
2,925 | First Solar, Inc.*(8) | 403,533 | ||||||
Engineering — 0.6% | ||||||||
20,125 | Fluor Corp. | 903,008 | ||||||
35,925 | Foster Wheeler, Ltd. (Bermuda)* | 839,927 | ||||||
1,742,935 | ||||||||
Environmental Waste Management and Recycling Services — 0.4% | ||||||||
50,460 | Republic Services, Inc. | 1,250,903 | ||||||
Food and Beverage — 3.1% | ||||||||
61,775 | Coca-Cola Company (The) | 2,796,554 | ||||||
90,500 | ConAgra Foods, Inc. | 1,493,250 | ||||||
47,725 | Constellation Brands, Inc. — Class A* | 752,623 | ||||||
15,950 | General Mills, Inc. | 968,963 | ||||||
15,400 | HJ Heinz Company | 579,040 | ||||||
14,100 | Kellogg Company | 618,285 | ||||||
62,800 | Pepsi Bottling Group, Inc. (The) | 1,413,628 | ||||||
8,622,343 | ||||||||
Insurance — 6.0% | ||||||||
10,650 | ACE, Ltd. (Switzerland) | 563,598 | ||||||
20,400 | Aetna, Inc. | 581,400 | ||||||
16,625 | Aflac, Inc. | 762,090 | ||||||
62,400 | Allstate Corp. (The) | 2,044,224 | ||||||
52,400 | American Financial Group, Inc. | 1,198,912 | ||||||
24,500 | Assurant, Inc. | 735,000 | ||||||
47,600 | Axis Capital Holdings, Ltd. (Bermuda) | 1,386,112 | ||||||
38,000 | Chubb Corp. (The) | 1,938,000 | ||||||
34,200 | Endurance Specialty Holdings, Ltd. (Bermuda) | 1,044,126 | ||||||
29,400 | Lincoln National Corp. | 553,896 | ||||||
9,600 | Odyssey Re Holdings Corp. | 497,376 | ||||||
37,800 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 1,363,824 | ||||||
36,600 | Progressive Corp. (The) | 542,046 | ||||||
48,000 | Travelers Companies, Inc. (The) | 2,169,600 | ||||||
48,800 | WR Berkley Corp. | 1,512,800 | ||||||
16,893,004 | ||||||||
Internet Services — 2.7% | ||||||||
114,737 | Cisco Systems, Inc.* | 1,870,214 | ||||||
19,148 | eBay, Inc.* | 267,306 | ||||||
5,594 | Google, Inc. — Class A*(5) | 1,720,994 | ||||||
26,300 | Netflix, Inc.*(8) | 786,107 | ||||||
12,925 | Priceline.com, Inc.*(8) | 951,926 | ||||||
111,900 | Symantec Corp.* | 1,512,888 | ||||||
46,375 | Yahoo!, Inc.* | 565,775 | ||||||
7,675,210 | ||||||||
Machinery — 1.6% | ||||||||
22,900 | AGCO Corp.* | 540,211 | ||||||
28,775 | Caterpillar, Inc. | 1,285,379 | ||||||
65,563 | Cummins, Inc. | 1,752,499 | ||||||
41,200 | Gardner Denver, Inc.* | 961,608 | ||||||
4,539,697 | ||||||||
Manufacturing — 1.2% | ||||||||
11,150 | 3M Company | 641,571 | ||||||
25,400 | Dover Corp. | 836,168 | ||||||
14,150 | Parker Hannifin Corp. | 601,941 | ||||||
23,500 | Sherwin-Williams Company (The) | 1,404,125 | ||||||
3,483,805 | ||||||||
Medical Equipment, Supplies, and Services — 5.8% | ||||||||
34,050 | Baxter International, Inc. | 1,824,740 | ||||||
15,684 | Becton, Dickinson and Company | 1,072,629 | ||||||
38,000 | Cardinal Health, Inc. | 1,309,860 | ||||||
91,375 | Johnson & Johnson | 5,466,966 |
129
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Medical Equipment, Supplies, and Services (continued) | ||||||||
33,251 | Kinetic Concepts, Inc.* | $ | 637,754 | |||||
40,701 | LifePoint Hospitals, Inc.* | 929,611 | ||||||
4,700 | Lincare Holdings, Inc.* | 126,571 | ||||||
34,200 | McKesson Corp. | 1,324,566 | ||||||
19,881 | Medtronic, Inc. | 624,661 | ||||||
45,700 | UnitedHealth Group, Inc. | 1,215,620 | ||||||
30,650 | Varian Medical Systems, Inc. * | 1,073,976 | ||||||
17,800 | WellPoint, Inc.* | 749,914 | ||||||
16,356,868 | ||||||||
Metals and Mining — 1.0% | ||||||||
37,000 | Alcoa, Inc. | 416,620 | ||||||
16,400 | Reliance Steel & Aluminum Company | 327,016 | ||||||
56,375 | Timken Company (The) | 1,106,641 | ||||||
27,900 | United States Steel Corp. | 1,037,880 | ||||||
2,888,157 | ||||||||
Office Equipment, Supplies, and Services — 0.3% | ||||||||
29,475 | Pitney Bowes, Inc. | 751,023 | ||||||
Oil, Coal and Gas — 12.9% | ||||||||
44,025 | Chesapeake Energy Corp. | 711,884 | ||||||
78,700 | Chevron Corp. | 5,821,439 | ||||||
74,600 | ConocoPhillips | 3,864,280 | ||||||
75,925 | El Paso Corp. | 594,493 | ||||||
17,385 | ENSCO International, Inc. | 493,560 | ||||||
157,100 | Exxon Mobil Corp. | 12,541,292 | ||||||
48,825 | Massey Energy Company | 673,297 | ||||||
12,500 | Murphy Oil Corp. | 554,375 | ||||||
39,300 | Nabors Industries, Ltd. (Bermuda)* | 470,421 | ||||||
23,870 | Noble Corp. (Cayman Islands) | 527,288 | ||||||
25,975 | Occidental Petroleum Corp. | 1,558,240 | ||||||
36,750 | Schlumberger, Ltd. (Netherland Antilles) | 1,555,628 | ||||||
40,225 | Southwestern Energy Company* | 1,165,318 | ||||||
29,875 | Spectra Energy Corp. | 470,233 | ||||||
37,250 | Sunoco, Inc.(8) | 1,618,885 | ||||||
29,750 | Superior Energy Services, Inc.* | 473,918 | ||||||
11,048 | Transocean, Ltd. (Switzerland)* | 522,018 | ||||||
73,700 | Valero Energy Corp. | 1,594,868 | ||||||
39,650 | W&T Offshore, Inc. | 567,788 | ||||||
14,800 | Walter Industries, Inc. | 259,148 | ||||||
36,038,373 | ||||||||
Pharmaceuticals/Research and Development — 7.6% | ||||||||
47,475 | Abbott Laboratories | 2,533,741 | ||||||
37,700 | AmerisourceBergen Corp. | 1,344,382 | ||||||
67,993 | Amgen, Inc. * | 3,926,596 | ||||||
21,725 | Biogen Idec, Inc.* | 1,034,762 | ||||||
29,075 | Bristol-Myers Squibb Company | 675,994 | ||||||
14,700 | Cephalon, Inc.* | 1,132,488 | ||||||
16,425 | Eli Lilly and Company | 661,435 | ||||||
33,600 | Endo Pharmaceuticals Holdings, Inc.* | 869,568 | ||||||
28,332 | Express Scripts, Inc.* | 1,557,693 | ||||||
29,200 | Forest Laboratories, Inc.* | 743,724 | ||||||
28,025 | Gilead Sciences, Inc.* | 1,433,199 | ||||||
256,300 | Pfizer, Inc. | 4,539,072 | ||||||
60,600 | Schering-Plough Corp. | 1,032,018 | ||||||
21,484,672 | ||||||||
Real Estate Investment Trusts — 0.2% | ||||||||
12,175 | Simon Property Group, Inc. | 646,858 | ||||||
Retail — 3.2% | ||||||||
99,387 | Big Lots, Inc.*(8) | 1,440,118 | ||||||
25,400 | BJ’s Wholesale Club, Inc.* | 870,204 | ||||||
21,500 | CVS Caremark Corp. | 617,910 | ||||||
20,925 | Dollar Tree, Inc.* | 874,665 | ||||||
30,909 | TJX Companies, Inc. (The) | 635,798 | ||||||
82,993 | Wal-Mart Stores, Inc. | 4,652,587 | ||||||
9,091,282 | ||||||||
Retail: Restaurants — 1.2% | ||||||||
49,875 | McDonald’s Corp. | 3,101,726 | ||||||
6,100 | Panera Bread Company — Class A*(8) | 318,664 | ||||||
3,420,390 | ||||||||
Retail: Supermarkets — 1.5% | ||||||||
104,983 | Kroger Company (The) | 2,772,601 | ||||||
34,200 | Safeway, Inc. | 812,934 | ||||||
51,500 | SUPERVALU, Inc. | 751,900 | ||||||
4,337,435 | ||||||||
Scientific and Technical Instruments — 0.1% | ||||||||
11,400 | Thermo Fisher Scientific, Inc.* | 388,398 | ||||||
Security Services — 0.4% | ||||||||
20,943 | Brink’s Company (The) | 562,947 | ||||||
20,943 | Brink’s Home Security Holdings, Inc.* | 459,071 | ||||||
1,022,018 | ||||||||
Semiconductors — 1.7% | ||||||||
48,725 | Altera Corp. | 814,195 |
130
(FORMERLY, GROWTH & INCOME PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Semiconductors (continued) | ||||||||
159,050 | Intel Corp. | $ | 2,331,673 | |||||
174,675 | LSI Corp.* | 574,681 | ||||||
89,325 | QLogic Corp.* | 1,200,528 | ||||||
4,921,077 | ||||||||
Telecommunications Equipment and Services — 4.6% | ||||||||
230,200 | AT&T, Inc. | 6,560,700 | ||||||
22,946 | Embarq Corp. | 825,138 | ||||||
30,750 | Harris Corp. | 1,170,038 | ||||||
52,000 | NeuStar, Inc. — Class A* | 994,760 | ||||||
25,075 | QUALCOMM, Inc. | 898,437 | ||||||
71,100 | Verizon Communications, Inc. | 2,410,290 | ||||||
12,859,363 | ||||||||
Toys — 0.4% | ||||||||
41,300 | Hasbro, Inc. | 1,204,721 | ||||||
Transportation — 2.4% | ||||||||
14,400 | CSX Corp. | 467,568 | ||||||
21,750 | JB Hunt Transport Services, Inc.(8) | 571,373 | ||||||
49,675 | Norfolk Southern Corp. | 2,337,208 | ||||||
12,600 | Overseas Shipholding Group, Inc. | 530,586 | ||||||
18,700 | Ryder System, Inc. | 725,186 | ||||||
41,625 | Union Pacific Corp. | 1,989,675 | ||||||
6,621,596 | ||||||||
Utilities — 3.5% | ||||||||
35,000 | Alliant Energy Corp. | 1,021,300 | ||||||
54,550 | CenterPoint Energy, Inc. | 688,421 | ||||||
37,500 | DTE Energy Company | 1,337,625 | ||||||
77,876 | Edison International | 2,501,377 | ||||||
29,400 | FirstEnergy Corp. | 1,428,252 | ||||||
31,300 | NRG Energy, Inc.*(8) | 730,229 | ||||||
89,100 | NV Energy, Inc. | 881,199 | ||||||
45,000 | Public Service Enterprise Group, Inc. | 1,312,650 | ||||||
9,901,053 | ||||||||
Total Common Stocks (Cost $353,233,144) | 270,314,453 | |||||||
Principal | ||||||||
Securities Lending Collateral—1.4% | ||||||||
$ | 4,004,157 | Securities Lending Collateral Investment (Note 4) (Cost $4,004,157) | 4,004,157 | |||||
Total Securities (Cost $357,237,301) | 274,318,610 | |||||||
Repurchase Agreements—0.5% | ||||||||
1,295,878 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $1,295,879 (Collateralized by US Treasury Bill, 0.02%, due 05/14/09, with a value of $1,324,868) (Cost $1,295,878) | 1,295,878 | ||||||
Total Investments — 97.8% | ||||||||
(Cost $358,533,179) | 275,614,488 | |||||||
Other assets less liabilities — 2.2% | 6,159,493 | |||||||
Net Assets — 100.0% | $ | 281,773,981 | ||||||
Gross unrealized appreciation | $ | 1,101,060 | ||
Gross unrealized depreciation | (90,000,645 | ) | ||
Net unrealized depreciation | $ | (88,899,585 | ) | |
131
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 98.7% | ||||||||
Advertising — 0.1% | ||||||||
303,900 | Interpublic Group of Companies, Inc. (The)* | $ | 1,203,444 | |||||
Aerospace and Defense — 5.6% | ||||||||
45,423 | Boeing Company (The) | 1,938,199 | ||||||
341,722 | General Dynamics Corp. | 19,679,770 | ||||||
9,700 | L-3 Communications Holdings, Inc. | 715,666 | ||||||
296,038 | Lockheed Martin Corp. | 24,890,875 | ||||||
32,300 | Northrop Grumman Corp. | 1,454,792 | ||||||
200,488 | Raytheon Company | 10,232,908 | ||||||
82,910 | United Technologies Corp. | 4,443,976 | ||||||
63,356,186 | ||||||||
Agriculture — 2.5% | ||||||||
23,300 | CF Industries Holdings, Inc. | 1,145,428 | ||||||
305,687 | Monsanto Company | 21,505,080 | ||||||
120,200 | Mosaic Company (The) | 4,158,920 | ||||||
18,400 | Potash Corp. of Saskatchewan, Inc. (Canada) | 1,347,248 | ||||||
28,156,676 | ||||||||
Apparel: Manufacturing and Retail — 1.2% | ||||||||
171,100 | Gap, Inc. (The) | 2,291,029 | ||||||
150,500 | Limited Brands, Inc. | 1,511,020 | ||||||
110,603 | NIKE, Inc. — Class B | 5,640,753 | ||||||
49,100 | Ross Stores, Inc. | 1,459,743 | ||||||
173,500 | Urban Outfitters, Inc.* | 2,599,030 | ||||||
13,501,575 | ||||||||
Automobile: Retail — 0.1% | ||||||||
49,900 | Copart, Inc.* | 1,356,781 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.8% | ||||||||
80,100 | Advance Auto Parts, Inc. | 2,695,365 | ||||||
47,450 | AutoZone, Inc.* | 6,617,852 | ||||||
9,313,217 | ||||||||
Banks and Financial Services — 11.8% | ||||||||
32,919 | American Express Company | 610,647 | ||||||
106,675 | Banco Itau Holding Financeira SA (ADR) (Brazil) | 1,237,430 | ||||||
23,400 | Charles Schwab Corp. (The) | 378,378 | ||||||
36,000 | Federated Investors, Inc. — Class B | 610,560 | ||||||
212,206 | Goldman Sachs Group, Inc. (The) | 17,908,064 | ||||||
40,100 | Hudson City Bancorp, Inc. | 639,996 | ||||||
20,154,000 | Industrial and Commercial Bank of China, Ltd. — Class H (China) | 10,700,099 | ||||||
119,200 | Invesco, Ltd. (Bermuda) | 1,721,248 | ||||||
412,017 | JPMorgan Chase & Company | 12,990,896 | ||||||
48,400 | M&T Bank Corp.(8) | 2,778,644 | ||||||
89,805 | MasterCard, Inc. — Class A | 12,835,829 | ||||||
213,200 | Morgan Stanley | 3,419,728 | ||||||
17,900 | Nasdaq OMX Group, Inc. (The)* | 442,309 | ||||||
30,200 | Northern Trust Corp. | 1,574,628 | ||||||
44,100 | T Rowe Price Group, Inc.(8) | 1,562,904 | ||||||
562,985 | US Bancorp | 14,080,255 | ||||||
487,030 | Visa, Inc. — Class A | 25,544,724 | ||||||
641,677 | Wells Fargo & Company | 18,916,638 | ||||||
298,500 | Western Union Company | 4,280,490 | ||||||
132,233,467 | ||||||||
Broadcast Services/Media — 1.0% | ||||||||
41,264 | Comcast Corp. — Class A | 696,536 | ||||||
66,900 | DIRECTV Group, Inc. (The)* | 1,532,679 | ||||||
52,236 | DreamWorks Animation SKG, Inc. — Class A* | 1,319,481 | ||||||
63,100 | Liberty Global, Inc. — Class A*(8) | 1,004,552 | ||||||
184,200 | News Corp. — Class A | 1,674,378 | ||||||
60,500 | Scripps Networks Interactive — Class A | 1,331,000 | ||||||
158,151 | Time Warner, Inc. | 1,590,999 | ||||||
114,244 | Viacom, Inc. — Class B* | 2,177,491 | ||||||
11,327,116 | ||||||||
Business Services and Supplies — 0.6% | ||||||||
182,955 | Accenture, Ltd. — Class A (Bermuda) | 5,999,094 | ||||||
36,900 | Manpower, Inc. | 1,254,231 | ||||||
7,253,325 | ||||||||
Chemicals — 0.4% | ||||||||
27,900 | Air Products & Chemicals, Inc. | 1,402,533 | ||||||
55,850 | FMC Corp. | 2,498,171 | ||||||
19,100 | Sigma-Aldrich Corp. | 806,784 | ||||||
4,707,488 | ||||||||
Computer Equipment, Software and Services — 11.3% | ||||||||
93,600 | Adobe Systems, Inc.* | 1,992,744 | ||||||
17,400 | Affiliated Computer Services, Inc. — Class A* | 799,530 | ||||||
210,979 | Apple, Inc.* | 18,007,058 | ||||||
44,600 | Automatic Data Processing, Inc. | 1,754,564 | ||||||
269,000 | BMC Software, Inc.* | 7,238,790 | ||||||
73,600 | Compuware Corp.* | 496,800 |
132
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Computer Equipment, Software and Services (continued) | ||||||||
239,000 | Dell, Inc.* | $ | 2,447,360 | |||||
34,500 | DST Systems, Inc.*(8) | 1,310,310 | ||||||
45,200 | Electronic Arts, Inc.* | 725,008 | ||||||
224,013 | Hewlett-Packard Company | 8,129,432 | ||||||
256,736 | International Business Machines Corp. | 21,606,902 | ||||||
1,615,867 | Microsoft Corp. | 31,412,453 | ||||||
420,933 | NetApp, Inc.* | 5,880,434 | ||||||
1,344,424 | Oracle Corp.* | 23,836,638 | ||||||
25,000 | Salesforce.com, Inc.* | 800,250 | ||||||
70,800 | Western Digital Corp.* | 810,660 | ||||||
127,248,933 | ||||||||
Construction Services and Supplies — 0.2% | ||||||||
5,400 | NVR, Inc.* | 2,463,750 | ||||||
Consumer Goods and Services — 4.4% | ||||||||
151,102 | Altria Group, Inc. | 2,275,596 | ||||||
65,100 | Avon Products, Inc. | 1,564,353 | ||||||
166,000 | Colgate-Palmolive Company | 11,377,640 | ||||||
30,500 | Estee Lauder Companies, Inc. (The) — Class A | 944,280 | ||||||
59,300 | Herbalife, Ltd. (Cayman Islands) | 1,285,624 | ||||||
96,300 | Kimberly-Clark Corp. | 5,078,862 | ||||||
484,155 | Philip Morris International, Inc. | 21,065,584 | ||||||
73,072 | Procter & Gamble Company (The) | 4,517,311 | ||||||
33,300 | United Parcel Service, Inc. — Class B | 1,836,828 | ||||||
49,946,078 | ||||||||
Containers and Packaging — 0.0% | ||||||||
29,000 | Crown Holdings, Inc.* | 556,800 | ||||||
Diversified Operations and Services — 0.2% | ||||||||
93,000 | McDermott International, Inc. (Panama)* | 918,840 | ||||||
82,900 | Textron, Inc. | 1,149,823 | ||||||
2,068,663 | ||||||||
Education — 0.6% | ||||||||
37,300 | Apollo Group, Inc. — Class A* | 2,857,926 | ||||||
42,100 | ITT Educational Services, Inc.*(8) | 3,998,658 | ||||||
6,856,584 | ||||||||
Electronics — 1.0% | ||||||||
274,564 | Emerson Electric Company | 10,051,788 | ||||||
84,200 | Gentex Corp. | 743,486 | ||||||
10,795,274 | ||||||||
Engineering — 1.0% | ||||||||
153,600 | Fluor Corp. | 6,892,032 | ||||||
49,700 | Foster Wheeler, Ltd. (Bermuda)* | 1,161,986 | ||||||
73,224 | Jacobs Engineering Group, Inc.* | 3,522,074 | ||||||
11,576,092 | ||||||||
Entertainment, Leisure and Recreation — 1.2% | ||||||||
976,222 | Las Vegas Sands Corp.* | 5,788,996 | ||||||
196,579 | Wynn Resorts, Ltd.*(8) | 8,307,429 | ||||||
14,096,425 | ||||||||
Food and Beverage — 2.7% | ||||||||
53,000 | Campbell Soup Company | 1,590,530 | ||||||
101,504 | Coca-Cola Company (The) | 4,595,086 | ||||||
56,600 | Dean Foods Company* | 1,017,102 | ||||||
20,500 | General Mills, Inc. | 1,245,375 | ||||||
38,100 | Hershey Company (The) | 1,323,594 | ||||||
43,700 | HJ Heinz Company | 1,643,120 | ||||||
150,500 | Kellogg Company | 6,599,425 | ||||||
111,900 | Nestle (ADR) (Switzerland) | 4,442,430 | ||||||
96,869 | PepsiCo, Inc. | 5,305,515 | ||||||
99,088 | Sysco Corp. | 2,273,079 | ||||||
83,000 | Tyson Foods, Inc. — Class A | 727,080 | ||||||
30,762,336 | ||||||||
Insurance — 0.8% | ||||||||
51,500 | Aetna, Inc. | 1,467,750 | ||||||
36,400 | Aflac, Inc. | 1,668,576 | ||||||
59,500 | Chubb Corp. (The) | 3,034,500 | ||||||
49,300 | Cigna Corp. | 830,705 | ||||||
53,600 | Coventry Health Care, Inc.* | 797,568 | ||||||
28,200 | Prudential Financial, Inc. | 853,332 | ||||||
8,652,431 | ||||||||
Internet Services — 4.1% | ||||||||
1,602,780 | Cisco Systems, Inc.* | 26,125,314 | ||||||
24,344 | Ctrip.com International, Ltd. (ADR) (Cayman Islands) | 579,387 | ||||||
119,585 | eBay, Inc.* | 1,669,407 | ||||||
362,000 | Giant Interactive Group, Inc. (ADR) (Cayman Islands)*(8) | 2,349,380 | ||||||
30,986 | Google, Inc. — Class A* | 9,532,843 | ||||||
30,600 | McAfee, Inc.* | 1,057,842 | ||||||
10,100 | Priceline.com, Inc.* | 743,865 |
133
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Internet Services (continued) | ||||||||
83,600 | Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)*(8) | $ | 2,705,296 | |||||
26,600 | Sohu.com, Inc.* | 1,259,244 | ||||||
46,022,578 | ||||||||
Machinery — 1.5% | ||||||||
23,200 | AGCO Corp.* | 547,288 | ||||||
167,600 | Caterpillar, Inc. | 7,486,692 | ||||||
123,300 | Cummins, Inc. | 3,295,809 | ||||||
16,800 | Flowserve Corp. | 865,200 | ||||||
195,600 | Joy Global, Inc. | 4,477,284 | ||||||
16,672,273 | ||||||||
Manufacturing — 1.2% | ||||||||
34,600 | 3M Company | 1,990,884 | ||||||
171,900 | Dover Corp. | 5,658,948 | ||||||
50,800 | Harsco Corp. | 1,406,144 | ||||||
96,622 | Honeywell International, Inc. | 3,172,100 | ||||||
22,900 | Lincoln Electric Holdings, Inc. | 1,166,297 | ||||||
13,394,373 | ||||||||
Medical Equipment, Supplies, and Services — 4.7% | ||||||||
63,500 | Baxter International, Inc. | 3,402,965 | ||||||
30,100 | Beckman Coulter, Inc. | 1,322,594 | ||||||
23,600 | Becton, Dickinson and Company | 1,614,004 | ||||||
54,505 | Cardinal Health, Inc. | 1,878,787 | ||||||
39,900 | Community Health Systems, Inc.* | 581,742 | ||||||
18,200 | Edwards Lifesciences Corp.* | 1,000,090 | ||||||
32,400 | Gen-Probe, Inc.* | 1,388,016 | ||||||
44,422 | Humana, Inc.* | 1,656,052 | ||||||
26,425 | Intuitive Surgical, Inc.* | 3,355,711 | ||||||
282,170 | Johnson & Johnson | 16,882,230 | ||||||
130,800 | Life Technologies Corp.* | 3,048,948 | ||||||
47,415 | McKesson Corp. | 1,836,383 | ||||||
253,699 | Medtronic, Inc. | 7,971,223 | ||||||
29,000 | ResMed, Inc.* | 1,086,920 | ||||||
40,329 | Stryker Corp. | 1,611,144 | ||||||
21,000 | Techne Corp. | 1,354,920 | ||||||
83,700 | Varian Medical Systems, Inc.* | 2,932,848 | ||||||
52,924,577 | ||||||||
Metals and Mining — 0.2% | ||||||||
81,000 | Alcoa, Inc. | 912,060 | ||||||
27,000 | United States Steel Corp. | 1,004,400 | ||||||
1,916,460 | ||||||||
Office Equipment, Supplies, and Services — 0.1% | ||||||||
49,200 | Pitney Bowes, Inc. | 1,253,616 | ||||||
Oil, Coal and Gas — 6.9% | ||||||||
40,800 | Alpha Natural Resources, Inc.* | 660,552 | ||||||
24,100 | Apache Corp. | 1,796,173 | ||||||
40,200 | Arch Coal, Inc. | 654,858 | ||||||
44,000 | Cameron International Corp.* | 902,000 | ||||||
85,100 | Chesapeake Energy Corp. | 1,376,067 | ||||||
57,254 | Diamond Offshore Drilling, Inc. | 3,374,551 | ||||||
42,300 | ENSCO International, Inc. | 1,200,897 | ||||||
60,493 | Exxon Mobil Corp. | 4,829,156 | ||||||
43,300 | FMC Technologies, Inc.* | 1,031,839 | ||||||
127,000 | Halliburton Company | 2,308,860 | ||||||
104,000 | Hess Corp. | 5,578,560 | ||||||
18,600 | Murphy Oil Corp. | 824,910 | ||||||
65,668 | Noble Corp. (Cayman Islands) | 1,450,606 | ||||||
68,400 | Noble Energy, Inc. | 3,366,648 | ||||||
253,800 | Occidental Petroleum Corp. | 15,225,462 | ||||||
135,075 | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | 3,307,987 | ||||||
26,700 | Plains Exploration & Production Company* | 620,508 | ||||||
12,400 | Praxair, Inc. | 736,064 | ||||||
40,800 | Pride International, Inc.* | 651,984 | ||||||
85,948 | Schlumberger, Ltd. (Netherland Antilles) | 3,638,179 | ||||||
166,800 | Smith International, Inc. | 3,818,052 | ||||||
42,900 | Southwestern Energy Company* | 1,242,813 | ||||||
24,400 | Sunoco, Inc.(8) | 1,060,424 | ||||||
274,205 | Transocean, Ltd. (Switzerland)* | 12,956,186 | ||||||
32,100 | Weatherford International, Ltd. (Bermuda)* | 347,322 | ||||||
98,400 | Williams Companies, Inc. (The) | 1,424,832 | ||||||
109,352 | XTO Energy, Inc. | 3,856,845 | ||||||
78,242,335 | ||||||||
Pharmaceuticals/Research and Development — 10.4% | ||||||||
334,891 | Abbott Laboratories | 17,873,133 | ||||||
38,288 | AmerisourceBergen Corp. | 1,365,350 | ||||||
48,800 | Amgen, Inc.* | 2,818,200 | ||||||
75,040 | Amylin Pharmaceuticals, Inc.*(8) | 814,184 | ||||||
99,000 | AstraZeneca PLC (ADR) (United Kingdom)(8) | 4,061,970 | ||||||
143,350 | Bristol-Myers Squibb Company | 3,332,888 | ||||||
29,800 | Celgene Corp.* | 1,647,344 |
134
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
373,459 | Eli Lilly and Company | $ | 15,039,194 | |||||
35,720 | Express Scripts, Inc.* | 1,963,886 | ||||||
355,644 | Genentech, Inc.* | 29,486,444 | ||||||
18,700 | Genzyme Corp.* | 1,241,119 | ||||||
320,730 | Gilead Sciences, Inc.* | 16,402,132 | ||||||
67,800 | Medco Health Solutions, Inc.* | 2,841,498 | ||||||
251,773 | Merck & Company, Inc. | 7,653,899 | ||||||
32,200 | Omnicare, Inc. | 893,872 | ||||||
50,600 | Pharmaceutical Product Development, Inc. | 1,467,906 | ||||||
285,572 | Schering-Plough Corp. | 4,863,291 | ||||||
22,030 | Shionogi & Company, Ltd. (Japan) | 568,926 | ||||||
80,500 | Wyeth | 3,019,555 | ||||||
117,354,791 | ||||||||
Real Estate Investment Trusts — 0.3% | ||||||||
22,100 | Digital Realty Trust, Inc. | 725,985 | ||||||
24,100 | HCP, Inc. | 669,257 | ||||||
23,600 | Nationwide Health Properties, Inc. | 677,792 | ||||||
10,000 | Simon Property Group, Inc. | 531,300 | ||||||
23,000 | Taubman Centers, Inc. | 585,580 | ||||||
3,189,914 | ||||||||
Retail — 8.2% | ||||||||
55,300 | Costco Wholesale Corp. | 2,903,250 | ||||||
688,950 | CVS Caremark Corp. | 19,800,423 | ||||||
727,714 | Lowe’s Companies, Inc. | 15,660,405 | ||||||
299,553 | Target Corp.(8) | 10,343,565 | ||||||
325,400 | TJX Companies, Inc. (The) | 6,693,478 | ||||||
25,000 | Walgreen Company | 616,750 | ||||||
652,286 | Wal-Mart Stores, Inc. | 36,567,154 | ||||||
92,585,025 | ||||||||
Retail: Restaurants — 3.9% | ||||||||
718,191 | McDonald’s Corp. | 44,664,298 | ||||||
Retail: Supermarkets — 0.1% | ||||||||
35,200 | Kroger Company (The) | 929,632 | ||||||
Scientific and Technical Instruments — 0.2% | ||||||||
150,800 | PerkinElmer, Inc. | 2,097,628 | ||||||
Semiconductors — 3.1% | ||||||||
622,735 | Altera Corp. | 10,405,902 | ||||||
143,200 | Analog Devices, Inc. | 2,723,664 | ||||||
366,274 | Emulex Corp.* | 2,556,593 | ||||||
418,444 | Intel Corp. | 6,134,389 | ||||||
229,900 | LSI Corp.* | 756,371 | ||||||
360,200 | QLogic Corp.* | 4,841,088 | ||||||
162,029 | Texas Instruments, Inc. | 2,514,690 | ||||||
305,610 | Xilinx, Inc. | 5,445,970 | ||||||
35,378,667 | ||||||||
Telecommunications Equipment and Services — 2.3% | ||||||||
14,100 | American Tower Corp. — Class A* | 413,412 | ||||||
91,258 | Brasil Telecom SA (ADR) (Brazil)(8) | 1,635,343 | ||||||
102,808 | Corning, Inc. | 979,760 | ||||||
126,300 | Frontier Communications Corp. | 1,103,862 | ||||||
55,100 | NII Holdings, Inc.* | 1,001,718 | ||||||
565,962 | QUALCOMM, Inc. | 20,278,419 | ||||||
87,900 | Windstream Corp. | 808,680 | ||||||
26,221,194 | ||||||||
Toys — 0.2% | ||||||||
44,602 | Hasbro, Inc. | 1,301,041 | ||||||
3,003 | Nintendo Company, Ltd. (Japan) | 1,147,601 | ||||||
2,448,642 | ||||||||
Transportation — 3.5% | ||||||||
29,600 | Burlington Northern Santa Fe Corp. | 2,241,016 | ||||||
34,100 | CH Robinson Worldwide, Inc. | 1,876,523 | ||||||
20,400 | CSX Corp. | 662,388 | ||||||
31,100 | Frontline, Ltd. (Bermuda)(8) | 920,871 | ||||||
253,897 | Norfolk Southern Corp. | 11,945,854 | ||||||
19,000 | Tidewater, Inc. | 765,130 | ||||||
451,659 | Union Pacific Corp. | 21,589,300 | ||||||
40,001,082 | ||||||||
Utilities — 0.3% | ||||||||
137,700 | AES Corp. (The)* | 1,134,648 | ||||||
90,400 | CenterPoint Energy, Inc. | 1,140,848 | ||||||
10,400 | Entergy Corp. | 864,552 | ||||||
21,800 | PPL Corp. | 669,042 | ||||||
3,809,090 | ||||||||
Total Common Stocks (Cost $1,391,045,938) | 1,116,538,816 | |||||||
135
(FORMERLY, EQUITY GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Principal | Value | |||||||
Securities Lending Collateral — 3.4% | ||||||||
$ | 38,010,546 | Securities Lending Collateral Investment (Note 4) (Cost $38,010,546) | $ | 38,010,546 | ||||
Total Securities (Cost $1,429,056,484) | 1,154,549,362 | |||||||
Repurchase Agreements — 1.1% | ||||||||
11,992,800 | With State Street Bank and Trust, dated 12/31//08, 0.01%, due 01/02/09 repurchase proceeds at maturity $11,992,806 (Collateralized by US Treasury Bill, 0.02%, due 05/14/09, with a value of $12,238,776) (Cost $11,992,800) | 11,992,800 | ||||||
Total Investments — 103.2% (Cost $1,441,049,284) | 1,166,542,162 | |||||||
Liabilities less other assets — (3.2)% | (35,759,409 | ) | ||||||
Net Assets — 100.0% | $ | 1,130,782,753 | ||||||
Gross/Net unrealized depreciation (includes gross unrealized appreciation of $0) | $ | (313,781,139 | ) | |
136
(FORMERLY, AGGRESSIVE EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 98.2% | ||||||||
Agriculture — 3.6% | ||||||||
96,200 | Archer-Daniels-Midland Company | $ | 2,773,446 | |||||
55,120 | Monsanto Company | 3,877,692 | ||||||
6,651,138 | ||||||||
Apparel: Manufacturing and Retail — 1.9% | ||||||||
127,470 | Guess?, Inc. | 1,956,665 | ||||||
101,640 | Urban Outfitters, Inc.* | 1,522,567 | ||||||
3,479,232 | ||||||||
Banks and Financial Services — 11.3% | ||||||||
17,700 | BlackRock, Inc. | 2,374,455 | ||||||
106,500 | Charles Schwab Corp. (The) | 1,722,105 | ||||||
148,990 | Hudson City Bancorp, Inc. | 2,377,880 | ||||||
29,100 | IntercontinentalExchange, Inc.* | 2,399,004 | ||||||
54,000 | JPMorgan Chase & Company | 1,702,620 | ||||||
143,300 | People’s United Financial, Inc. | 2,555,039 | ||||||
74,620 | T Rowe Price Group, Inc.(8) | 2,644,533 | ||||||
35,000 | Visa, Inc. — Class A | 1,835,750 | ||||||
91,800 | Wells Fargo & Company | 2,706,263 | ||||||
31,130 | Western Union Company | 446,404 | ||||||
20,764,053 | ||||||||
Broadcast Services/Media — 1.7% | ||||||||
181,560 | Comcast Corp. — Class A | 3,064,733 | ||||||
Business Services and Supplies — 2.9% | ||||||||
29,150 | FTI Consulting, Inc.*(8) | 1,302,422 | ||||||
188,345 | Robert Half International, Inc. | 3,921,343 | ||||||
5,223,765 | ||||||||
Computer Equipment, Software and Services — 8.9% | ||||||||
114,400 | Activision Blizzard, Inc.* | 988,416 | ||||||
66,080 | Adobe Systems, Inc.* | 1,406,843 | ||||||
56,270 | Apple, Inc.* | 4,802,645 | ||||||
53,000 | Citrix Systems, Inc.* | 1,249,210 | ||||||
163,290 | Hewlett-Packard Company | 5,925,794 | ||||||
200,380 | SanDisk Corp.* | 1,923,648 | ||||||
16,296,556 | ||||||||
Construction Services and Supplies — 4.1% | ||||||||
20,500 | Martin Marietta Materials, Inc.(8) | 1,990,140 | ||||||
6,333 | NVR, Inc.* | 2,889,431 | ||||||
238,830 | Pulte Homes, Inc. | 2,610,412 | ||||||
7,489,983 | ||||||||
Containers and Packaging — 1.0% | ||||||||
72,230 | Pactiv Corp.* | 1,797,082 | ||||||
Education — 0.7% | ||||||||
16,640 | Apollo Group, Inc. — Class A* | 1,274,957 | ||||||
Energy Services — 1.4% | ||||||||
18,790 | First Solar, Inc.*(8) | 2,592,268 | ||||||
Environmental Waste Management and Recycling Services — 1.7% | ||||||||
58,360 | Stericycle, Inc.* | 3,039,389 | ||||||
Insurance — 1.4% | ||||||||
108,690 | Marsh & McLennan Companies, Inc. | 2,637,906 | ||||||
Internet Services — 7.9% | ||||||||
141,310 | F5 Networks, Inc.* | 3,230,347 | ||||||
23,820 | Google, Inc. — Class A* | 7,328,223 | ||||||
115,600 | Juniper Networks, Inc.* | 2,024,156 | ||||||
53,000 | McAfee, Inc.* | 1,832,210 | ||||||
14,414,936 | ||||||||
Manufacturing — 2.0% | ||||||||
85,270 | Pentair, Inc. | 2,018,341 | ||||||
27,280 | Sherwin-Williams Company (The) | 1,629,980 | ||||||
3,648,321 | ||||||||
Medical Equipment, Supplies, and Services — 5.6% | ||||||||
71,490 | Baxter International, Inc. | 3,831,149 | ||||||
39,600 | Covidien, Ltd. (Bermuda) | 1,435,104 | ||||||
31,000 | DaVita, Inc.* | 1,536,670 | ||||||
13,140 | Intuitive Surgical, Inc.* | 1,668,649 | ||||||
68,000 | UnitedHealth Group, Inc. | 1,808,800 | ||||||
10,280,372 | ||||||||
Oil, Coal and Gas — 6.9% | ||||||||
53,600 | BHP Billiton, Ltd. (ADR) (Australia) | 2,299,440 | ||||||
29,000 | Occidental Petroleum Corp. | 1,739,710 | ||||||
116,390 | Petrohawk Energy Corp.* | 1,819,176 | ||||||
71,030 | Schlumberger, Ltd. (Netherlands Antilles) | 3,006,700 | ||||||
73,140 | Southwestern Energy Company* | 2,118,866 | ||||||
78,060 | Valero Energy Corp. | 1,689,218 | ||||||
12,673,110 | ||||||||
Pharmaceuticals/Research and Development — 9.8% | ||||||||
85,840 | Alexion Pharmaceuticals, Inc.* | 3,106,550 | ||||||
23,900 | Allergan, Inc. | 963,648 | ||||||
42,680 | Express Scripts, Inc.* | 2,346,546 | ||||||
59,730 | Genzyme Corp.* | 3,964,280 | ||||||
110,730 | Gilead Sciences, Inc.* | 5,662,733 | ||||||
26,840 | Myriad Genetics, Inc.*(8) | 1,778,418 | ||||||
17,822,175 | ||||||||
137
(FORMERLY, AGGRESSIVE EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Retail — 4.6% | ||||||||
47,000 | Costco Wholesale Corp. | $ | 2,467,500 | |||||
42,210 | Kohl’s Corp.* | 1,528,002 | ||||||
108,000 | Lowe’s Companies, Inc. | 2,324,160 | ||||||
119,100 | Staples, Inc. | 2,134,272 | ||||||
8,453,934 | ||||||||
Retail: Restaurants — 1.0% | ||||||||
57,250 | YUM! Brands, Inc. | 1,803,375 | ||||||
Retail: Supermarkets — 0.9% | ||||||||
60,000 | Kroger Company (The) | 1,584,600 | ||||||
Semiconductors — 10.6% | ||||||||
385,690 | Applied Materials, Inc. | 3,907,040 | ||||||
217,820 | Broadcom Corp. — Class A* | 3,696,405 | ||||||
399,700 | Intel Corp. | 5,859,602 | ||||||
118,360 | Lam Research Corp.* | 2,518,701 | ||||||
187,770 | Xilinx, Inc. | 3,346,061 | ||||||
19,327,809 | ||||||||
Telecommunications Equipment and Services — 6.8% | ||||||||
61,660 | China Mobile, Ltd. (ADR) (Hong Kong) | 3,135,411 | ||||||
108,030 | MetroPCS Communications, Inc.* | 1,604,246 | ||||||
214,690 | QUALCOMM, Inc. | 7,692,342 | ||||||
12,431,999 | ||||||||
Transportation — 1.5% | ||||||||
56,620 | Union Pacific Corp. | 2,706,436 | ||||||
Total Common Stocks (Cost $222,905,094) | 179,458,129 | |||||||
Principal | ||||||||
Securities Lending Collateral — 2.8% | ||||||||
$ | 5,037,923 | Securities Lending Collateral Investment (Note 4) (Cost $5,037,923) | 5,037,923 | |||||
Total Securities (Cost $227,943,017) | 184,496,052 | |||||||
Repurchase Agreements — 1.4% | ||||||||
2,477,105 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $2,477,106 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $2,597,400) (Cost $2,477,105) | 2,477,105 | ||||||
Total Investments — 102.4% (Cost $230,420,122) | 186,973,157 | |||||||
Liabilities less other assets — (2.4)% | (4,445,349 | ) | ||||||
Net Assets — 100.0% | $ | 182,527,808 | ||||||
Gross unrealized appreciation | $ | 5,019,214 | ||
Gross unrealized depreciation | (50,481,772 | ) | ||
Net unrealized depreciation | $ | (45,462,558 | ) | |
138
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 96.9% | ||||||||
Advertising — 0.6% | ||||||||
1,689 | Interpublic Group of Companies, Inc. (The)* | $ | 6,688 | |||||
138,000 | Omnicom Group, Inc. | 3,714,960 | ||||||
3,721,648 | ||||||||
Aerospace and Defense — 2.5% | ||||||||
316,945 | Goodrich Corp. | 11,733,304 | ||||||
78,100 | Raytheon Company | 3,986,224 | ||||||
18,999 | Spirit AeroSystems Holdings, Inc. — Class A* | 193,220 | ||||||
15,912,748 | ||||||||
Agriculture — 0.5% | ||||||||
70,700 | Archer-Daniels-Midland Company | 2,038,281 | ||||||
20,300 | Bunge, Ltd. (Bermuda)(8) | 1,050,931 | ||||||
3,089,212 | ||||||||
Airlines — 0.8% | ||||||||
87,915 | AMR Corp.* | 938,053 | ||||||
41,564 | Continental Airlines, Inc. — Class B* | 750,646 | ||||||
163,794 | Delta Air Lines, Inc.* | 1,877,079 | ||||||
46,052 | UAL Corp.*(8) | 507,493 | ||||||
108,708 | US Airways Group, Inc.* | 840,313 | ||||||
4,913,584 | ||||||||
Apparel: Manufacturing and Retail — 1.6% | ||||||||
60,100 | Cato Corp. — Class A (The) | 907,510 | ||||||
242,200 | Coach, Inc.* | 5,030,494 | ||||||
74,500 | Foot Locker, Inc. | 546,830 | ||||||
74,800 | Gap, Inc. (The) | 1,001,572 | ||||||
114,000 | Jones Apparel Group, Inc. | 668,040 | ||||||
36,700 | VF Corp. | 2,010,059 | ||||||
10,164,505 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.9% | ||||||||
131,100 | Advance Auto Parts, Inc. | 4,411,515 | ||||||
83,200 | American Axle & Manufacturing Holdings, Inc. | 240,448 | ||||||
161,644 | ArvinMeritor, Inc.(8) | 460,685 | ||||||
52,900 | Autoliv, Inc. | 1,135,234 | ||||||
23,046 | Genuine Parts Company | 872,522 | ||||||
96,100 | Harley-Davidson, Inc. | 1,630,817 | ||||||
188,205 | WABCO Holdings, Inc. | 2,971,757 | ||||||
11,722,978 | ||||||||
Banks and Financial Services — 10.4% | ||||||||
164,800 | Advance America Cash Advance Centers, Inc. | 311,472 | ||||||
27,700 | Advanta Corp. — Class B | 57,893 | ||||||
80,700 | �� | AmeriCredit Corp.*(8) | 616,548 | |||||
66,800 | Ameriprise Financial, Inc. | 1,560,448 | ||||||
106,400 | Banco Latinoamericano de Exportaciones, SA — Class E (Panama) | 1,527,904 | ||||||
335,450 | Bank of New York Mellon Corp. | 9,503,298 | ||||||
461,641 | CIT Group, Inc. | 2,095,850 | ||||||
103,700 | Colonial BancGroup, Inc. (The)(8) | 214,659 | ||||||
53,200 | Comerica, Inc. | 1,056,020 | ||||||
12,864 | Cullen/Frost Bankers, Inc. | 651,948 | ||||||
35,400 | Federated Investors, Inc. — Class B | 600,384 | ||||||
414,600 | Fifth Third Bancorp | 3,424,596 | ||||||
275,175 | Huntington Bancshares, Inc. | 2,107,841 | ||||||
441,155 | Invesco, Ltd. (Bermuda) | 6,370,278 | ||||||
692,832 | KeyCorp | 5,902,929 | ||||||
9,718 | M&T Bank Corp.(8) | 557,910 | ||||||
66,700 | Morgan Stanley | 1,069,868 | ||||||
94,500 | Northern Trust Corp. | 4,927,230 | ||||||
595,149 | People’s United Financial, Inc. | 10,611,506 | ||||||
65,000 | PNC Financial Services Group, Inc. | 3,185,000 | ||||||
44,500 | Provident Bankshares Corp.(8) | 429,870 | ||||||
268,231 | Regions Financial Corp. | 2,135,119 | ||||||
442,800 | Western Union Company | 6,349,752 | ||||||
65,268,323 | ||||||||
Broadcast Services/Media — 0.4% | ||||||||
79,800 | Belo Corp. | 124,488 | ||||||
88,600 | CBS Corp. — Class B | 725,634 | ||||||
73,300 | DISH Network Corp. — Class A* | 812,897 | ||||||
74,300 | News Corp. — Class A | 675,387 | ||||||
2,338,406 | ||||||||
Business Services and Supplies — 4.0% | ||||||||
65,400 | Alliance Data Systems Corp.*(8) | 3,043,062 | ||||||
230,900 | Convergys Corp.* | 1,480,069 | ||||||
131,300 | Dun & Bradstreet Corp. | 10,136,360 | ||||||
306,000 | Fidelity National Information Services, Inc. | 4,978,620 | ||||||
40,300 | Kelly Services, Inc. — Class A | 524,303 | ||||||
90,350 | Manpower, Inc. | 3,070,997 | ||||||
78,698 | Ritchie Brothers Auctioneers, Inc. (Canada)(8) | 1,685,711 | ||||||
24,919,122 | ||||||||
Chemicals — 2.1% | ||||||||
97,868 | Eastman Chemical Company | 3,103,394 | ||||||
108,494 | Lubrizol Corp. (The) | 3,948,097 |
139
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Chemicals (continued) | ||||||||
35,700 | NewMarket Corp. | $ | 1,246,287 | |||||
146,500 | PolyOne Corp.* | 461,475 | ||||||
108,794 | PPG Industries, Inc. | 4,616,129 | ||||||
13,375,382 | ||||||||
Computer Equipment, Software and Services — 6.5% | ||||||||
577,400 | 3Com Corp.* | 1,316,472 | ||||||
36,400 | Adobe Systems, Inc.* | 774,956 | ||||||
43,827 | Autodesk, Inc.* | 861,201 | ||||||
330,886 | BMC Software, Inc.* | 8,904,142 | ||||||
273,200 | Computer Sciences Corp.* | 9,600,247 | ||||||
408,300 | Electronic Arts, Inc.* | 6,549,132 | ||||||
81,600 | Lexmark International, Inc. — Class A* | 2,195,040 | ||||||
426,150 | Parametric Technology Corp.* | 5,390,798 | ||||||
227,000 | Seagate Technology (Cayman Islands) | 1,005,610 | ||||||
122,500 | Sun Microsystems, Inc.* | 467,950 | ||||||
228,400 | Teradata Corp.* | 3,387,172 | ||||||
60,000 | Western Digital Corp.* | 687,000 | ||||||
41,139,720 | ||||||||
Construction Services and Supplies — 0.9% | ||||||||
124,854 | Cemex SAB de CV (ADR) (Mexico)* | 1,141,166 | ||||||
33,913 | Centex Corp. | 360,834 | ||||||
46,668 | Chicago Bridge & Iron Company NV (The Netherlands)(8) | 469,013 | ||||||
69,969 | DR Horton, Inc. | 494,681 | ||||||
12,571 | Insituform Technologies, Inc. — Class A* | 247,523 | ||||||
25,448 | KB HOME | 346,602 | ||||||
72,300 | Lennox International, Inc. | 2,334,567 | ||||||
44,961 | Pulte Homes, Inc. | 491,424 | ||||||
10,448 | USG Corp.* | 84,002 | ||||||
5,969,812 | ||||||||
Consumer Goods and Services — 2.0% | ||||||||
59,400 | American Greetings Corp. — Class A | 449,658 | ||||||
45,000 | Black & Decker Corp. (The) | 1,881,450 | ||||||
55,900 | Blyth, Inc. | 438,256 | ||||||
62,000 | Eastman Kodak Company | 407,960 | ||||||
69,800 | Ethan Allen Interiors, Inc.(8) | 1,003,026 | ||||||
78,522 | Lorillard, Inc. | 4,424,715 | ||||||
26,336 | Mohawk Industries, Inc.* | 1,131,658 | ||||||
74,940 | Whirlpool Corp. | 3,098,769 | ||||||
12,835,492 | ||||||||
Containers and Packaging — 0.8% | ||||||||
127,100 | Pactiv Corp.* | 3,162,248 | ||||||
77,700 | Sonoco Products Company* | 1,799,532 | ||||||
4,961,780 | ||||||||
Diversified Operations and Services — 0.3% | ||||||||
151,415 | McDermott International, Inc. (Panama)* | 1,495,980 | ||||||
18,200 | Textron, Inc. | 252,434 | ||||||
1,748,414 | ||||||||
Electronics — 2.0% | ||||||||
165,700 | Amphenol Corp. — Class A | 3,973,486 | ||||||
188,200 | Avnet, Inc.* | 3,427,122 | ||||||
250,176 | Celestica, Inc. (Canada)* | 1,153,311 | ||||||
335,200 | Sanmina-SCI Corp.* | 157,544 | ||||||
55,600 | Technitrol, Inc. | 193,488 | ||||||
221,050 | Tyco Electronics, Ltd. (Bermuda) | 3,583,221 | ||||||
99,500 | Vishay Intertechnology, Inc.* | 340,290 | ||||||
12,828,462 | ||||||||
Engineering — 0.4% | ||||||||
15,766 | Fluor Corp. | 707,420 | ||||||
28,189 | Foster Wheeler, Ltd. (Bermuda)* | 659,059 | ||||||
17,342 | Jacobs Engineering Group, Inc.* | 834,151 | ||||||
25,491 | KBR, Inc. | 387,463 | ||||||
2,588,093 | ||||||||
Entertainment, Leisure and Recreation — 0.7% | ||||||||
99,994 | National CineMedia, Inc. | 1,013,939 | ||||||
132,833 | Regal Entertainment Group — Class A | 1,356,225 | ||||||
141,469 | Royal Caribbean Cruises, Ltd. (Liberia)(8) | 1,945,199 | ||||||
4,315,363 | ||||||||
Equipment Rental and Leasing — 0.0% | ||||||||
31,357 | United Rentals, Inc.* | 285,976 | ||||||
Food and Beverage — 4.2% | ||||||||
60,687 | Brown-Forman Corp. — Class B | 3,124,774 | ||||||
131,100 | Campbell Soup Company | 3,934,311 | ||||||
103,500 | ConAgra Foods, Inc. | 1,707,750 | ||||||
130,200 | Del Monte Foods Company | 929,628 | ||||||
143,600 | HJ Heinz Company | 5,399,360 | ||||||
58,600 | JM Smucker Company (The) | 2,540,896 | ||||||
149,550 | McCormick & Company, Inc. | 4,764,663 | ||||||
95,600 | Pepsi Bottling Group, Inc. (The) | 2,151,956 | ||||||
63,200 | PepsiAmericas, Inc. | 1,286,752 | ||||||
35,280 | Reddy Ice Holdings, Inc. | 50,803 |
140
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Food and Beverage (continued) | ||||||||
266 | Seaboard Corp. | $ | 317,604 | |||||
26,208,497 | ||||||||
Insurance — 11.0% | ||||||||
20,700 | Allied World Assurance Holdings, Ltd. (Bermuda) | 840,420 | ||||||
56,700 | Allstate Corp. (The) | 1,857,492 | ||||||
78,700 | American Financial Group, Inc. | 1,800,656 | ||||||
177,508 | Aon Corp. | 8,108,565 | ||||||
9,831 | Arch Capital Group, Ltd. (Bermuda)* | 689,153 | ||||||
109,200 | Aspen Insurance Holdings, Ltd. (Bermuda) | 2,648,100 | ||||||
191,773 | Assurant, Inc. | 5,753,190 | ||||||
104,808 | Axis Capital Holdings, Ltd. (Bermuda) | 3,052,009 | ||||||
39,400 | Chubb Corp. (The) | 2,009,400 | ||||||
31,800 | Cigna Corp. | 535,830 | ||||||
87,100 | Cincinnati Financial Corp. | 2,531,997 | ||||||
201,500 | Conseco, Inc.* | 1,043,770 | ||||||
80,800 | Coventry Health Care, Inc.* | 1,202,304 | ||||||
99,210 | Everest Re Group, Ltd. (Bermuda) | 7,553,849 | ||||||
142,300 | Genworth Financial, Inc. — Class A | 402,709 | ||||||
70,100 | Horace Mann Educators Corp. | 644,219 | ||||||
104,900 | IPC Holdings, Ltd. (Bermuda) | 3,136,510 | ||||||
107,354 | Lincoln National Corp. | 2,022,549 | ||||||
494,363 | Marsh & McLennan Companies, Inc. | 11,998,191 | ||||||
10,800 | Nationwide Financial Services, Inc. — Class A | 563,868 | ||||||
109,094 | PartnerRe, Ltd. (Bermuda) | 7,775,129 | ||||||
41,700 | Unitrin, Inc.(8) | 664,698 | ||||||
65,438 | Willis Group Holdings, Ltd. (Bermuda) | 1,628,097 | ||||||
352,521 | XL Capital, Ltd. — Class A (Cayman Islands) | 1,304,328 | ||||||
69,767,033 | ||||||||
Internet Services — 0.8% | ||||||||
71,800 | eBay, Inc.* | 1,002,328 | ||||||
60,622 | McAfee, Inc.* | 2,095,703 | ||||||
111,900 | Symantec Corp.* | 1,512,888 | ||||||
117,100 | TIBCO Software, Inc.* | 607,749 | ||||||
5,218,668 | ||||||||
Machinery — 0.7% | ||||||||
27,332 | AGCO Corp.* | 644,762 | ||||||
25,276 | Cummins, Inc. | 675,627 | ||||||
84,543 | Manitowoc Company, Inc. (The) | 732,142 | ||||||
25,683 | Rockwell Automation, Inc. | 828,020 | ||||||
90,471 | Terex Corp.* | 1,566,958 | ||||||
4,447,509 | ||||||||
Manufacturing — 4.5% | ||||||||
78,622 | AO Smith Corp. | 2,320,921 | ||||||
81,318 | Cooper Industries, Ltd. — Class A (Bermuda) | 2,376,925 | ||||||
39,900 | Crane Company | 687,876 | ||||||
65,384 | Eaton Corp. | 3,250,239 | ||||||
42,200 | EnPro Industries, Inc.* | 908,988 | ||||||
407,595 | Ingersoll-Rand Company, Ltd. — Class A (Bermuda) | 7,071,773 | ||||||
58,200 | Leggett & Platt, Inc. | 884,058 | ||||||
48,800 | Mueller Industries, Inc. | 1,223,904 | ||||||
88,092 | Parker Hannifin Corp. | 3,747,434 | ||||||
69,550 | Precision Castparts Corp. | 4,136,834 | ||||||
83,400 | Tredegar Corp. | 1,516,212 | ||||||
28,125,164 | ||||||||
Medical Equipment, Supplies, and Services — 5.1% | ||||||||
183,400 | Cardinal Health, Inc. | 6,321,798 | ||||||
19,129 | Covance, Inc.* | 880,508 | ||||||
112,050 | CR Bard, Inc. | 9,441,333 | ||||||
369,900 | Hologic, Inc.* | 4,834,593 | ||||||
43,951 | Humana, Inc.* | 1,638,493 | ||||||
31,400 | Kindred Healthcare, Inc.* | 408,828 | ||||||
44,600 | Kinetic Concepts, Inc.* | 855,428 | ||||||
18,326 | McKesson Corp. | 709,766 | ||||||
118,300 | Millipore Corp.* | 6,094,816 | ||||||
23,000 | Universal Health Services, Inc. — Class B | 864,110 | ||||||
32,049,673 | ||||||||
Metals and Mining — 0.8% | ||||||||
41,100 | Carpenter Technology Corp. | 844,194 | ||||||
35,371 | Freeport-McMoRan Copper & Gold, Inc. | 864,467 | ||||||
60,349 | Nucor Corp. | 2,788,124 | ||||||
13,101 | United States Steel Corp. | 487,357 | ||||||
4,984,142 | ||||||||
Office Equipment, Supplies, and Services — 0.5% | ||||||||
173,100 | Steelcase, Inc. — Class A | 972,822 | ||||||
303,800 | Xerox Corp. | 2,421,286 | ||||||
3,394,108 | ||||||||
Oil, Coal and Gas — 6.2% | ||||||||
363,710 | BJ Services Company | 4,244,495 |
141
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Oil, Coal and Gas (continued) | ||||||||
55,959 | Cameron International Corp.* | $ | 1,147,160 | |||||
44,386 | Chesapeake Energy Corp. | 717,722 | ||||||
32,800 | Cimarex Energy Company | 878,384 | ||||||
145,575 | El Paso Corp. | 1,139,852 | ||||||
86,223 | Enbridge, Inc. (Canada)(8) | 2,799,661 | ||||||
24,652 | Equitable Resources, Inc. | 827,075 | ||||||
50,800 | Holly Corp. | 926,084 | ||||||
72,800 | Marathon Oil Corp. | 1,991,808 | ||||||
64,162 | Newfield Exploration Company* | 1,267,200 | ||||||
188,700 | ONEOK, Inc. | 5,494,943 | ||||||
156,400 | Patterson-UTI Energy, Inc. | 1,800,164 | ||||||
54,603 | Pioneer Natural Resources Company | 883,477 | ||||||
138,485 | Questar Corp. | 4,527,074 | ||||||
52,748 | Southwestern Energy Company* | 1,528,110 | ||||||
90,236 | Sunoco, Inc.(8) | 3,921,657 | ||||||
33,000 | Swift Energy Company* | 554,730 | ||||||
15,996 | Transocean, Ltd. (Switzerland)* | 755,811 | ||||||
30,944 | Ultra Petroleum Corp. (Canada)* | 1,067,877 | ||||||
37,500 | Valero Energy Corp. | 811,500 | ||||||
39,600 | Walter Industries, Inc. | 693,396 | ||||||
104,329 | Weatherford International, Ltd. (Bermuda)* | 1,128,840 | ||||||
39,107,020 | ||||||||
Paper and Forest Products — 0.2% | ||||||||
84,800 | International Paper Company | 1,000,640 | ||||||
Pharmaceuticals/Research and Development — 1.7% | ||||||||
116,300 | Forest Laboratories, Inc.* | 2,962,161 | ||||||
27,896 | Hospira, Inc.* | 748,171 | ||||||
293,246 | King Pharmaceuticals, Inc.* | 3,114,273 | ||||||
369,618 | Mylan, Inc.*(8) | 3,655,521 | ||||||
10,480,126 | ||||||||
Printing and Publishing — 0.2% | ||||||||
80,000 | Gannett Company, Inc. | 640,000 | ||||||
49,800 | Scholastic Corp. | 676,284 | ||||||
1,316,284 | ||||||||
Real Estate Development and Services — 0.1% | ||||||||
37,996 | St. Joe Company (The)*(8) | 924,063 | ||||||
Real Estate Investment Trusts — 2.2% | ||||||||
247,400 | Anthracite Capital, Inc.(8) | 551,702 | ||||||
20,108 | AvalonBay Communities, Inc. | 1,218,143 | ||||||
10,122 | Boston Properties, Inc. | 556,710 | ||||||
36,100 | Capital Trust, Inc. — Class A(8) | 129,960 | ||||||
42,800 | Entertainment Properties Trust | 1,275,440 | ||||||
57,006 | Equity Residential | 1,699,918 | ||||||
166,841 | General Growth Properties, Inc. | 215,225 | ||||||
97,500 | Hospitality Properties Trust | 1,449,825 | ||||||
243,300 | HRPT Properties Trust | 819,921 | ||||||
35,300 | Liberty Property Trust | 805,899 | ||||||
128,200 | Medical Properties Trust, Inc.(8) | 808,942 | ||||||
47,300 | National Health Investors, Inc. | 1,297,439 | ||||||
38,998 | RAIT Investment Trust | 101,395 | ||||||
48,376 | Rayonier, Inc. | 1,516,588 | ||||||
128,100 | Sunstone Hotel Investors, Inc. | 792,939 | ||||||
21,458 | Ventas, Inc. | 720,345 | ||||||
13,960,391 | ||||||||
Retail — 2.2% | ||||||||
65,800 | Barnes & Noble, Inc. | 987,000 | ||||||
36,673 | Bed Bath & Beyond, Inc.* | 932,228 | ||||||
27,800 | Bon-Ton Stores, Inc. (The)(8) | 28,634 | ||||||
84,600 | Dollar Tree, Inc.* | 3,536,280 | ||||||
125,464 | Family Dollar Stores, Inc. | 3,270,846 | ||||||
150,350 | JC Penney Company, Inc. | 2,961,895 | ||||||
96,211 | Macy’s, Inc. | 995,784 | ||||||
82,300 | RadioShack Corp. | 982,662 | ||||||
13,695,329 | ||||||||
Retail: Restaurants — 0.4% | ||||||||
32,100 | Bob Evans Farms, Inc. | 655,803 | ||||||
56,700 | Brinker International, Inc. | 597,618 | ||||||
43,000 | Darden Restaurants, Inc. | 1,211,740 | ||||||
110,900 | Ruby Tuesday, Inc.* | 173,004 | ||||||
2,638,165 | ||||||||
Retail: Supermarkets — 0.5% | ||||||||
17,800 | Kroger Company (The) | 470,098 | ||||||
54,000 | Safeway, Inc. | 1,283,580 | ||||||
83,500 | SUPERVALU, Inc. | 1,219,100 | ||||||
2,972,778 | ||||||||
Rubber Products — 0.0% | ||||||||
47,300 | Goodyear Tire & Rubber Company (The)* | 282,381 | ||||||
Scientific and Technical Instruments — 0.2% | ||||||||
100,537 | Agilent Technologies, Inc.* | 1,571,393 | ||||||
Semiconductors — 2.6% | ||||||||
153,400 | Analog Devices, Inc. | 2,917,668 | ||||||
48,038 | ASML Holding NV (The Netherlands) | 868,047 | ||||||
56,979 | Lam Research Corp.* | 1,212,513 |
142
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Semiconductors (continued) | ||||||||
65,800 | Linear Technology Corp. | $ | 1,455,496 | |||||
1,545,075 | LSI Corp.* | 5,083,296 | ||||||
104,657 | Maxim Integrated Products, Inc. | 1,195,183 | ||||||
71,869 | Microchip Technology, Inc.(8) | 1,403,602 | ||||||
281,489 | Micron Technology, Inc.* | 743,131 | ||||||
56,600 | MKS Instruments, Inc.* | 837,114 | ||||||
55,100 | Novellus Systems, Inc.* | 679,934 | ||||||
16,395,984 | ||||||||
Telecommunications Equipment and Services — 1.4% | ||||||||
101,605 | CenturyTel, Inc. | 2,776,865 | ||||||
57,966 | Embarq Corp. | 2,084,457 | ||||||
625,913 | Qwest Communications International, Inc. | 2,278,323 | ||||||
97,080 | Tellabs, Inc.* | 399,970 | ||||||
137,644 | Windstream Corp. | 1,266,325 | ||||||
8,805,940 | ||||||||
Tools — 0.4% | ||||||||
65,817 | Stanley Works (The) | 2,244,360 | ||||||
Toys — 1.8% | ||||||||
80,831 | Hasbro, Inc. | 2,357,840 | ||||||
545,900 | Mattel, Inc. | 8,734,400 | ||||||
11,092,240 | ||||||||
Transportation — 2.4% | ||||||||
31,300 | Arkansas Best Corp.(8) | 942,443 | ||||||
45,386 | CSX Corp. | 1,473,683 | ||||||
47,000 | FedEx Corp. | 3,015,050 | ||||||
121,200 | JB Hunt Transport Services, Inc.(8) | 3,183,924 | ||||||
76,243 | Kansas City Southern* | 1,452,429 | ||||||
39,800 | Overseas Shipholding Group, Inc. | 1,675,978 | ||||||
105,550 | Pacer International, Inc. | 1,100,887 | ||||||
21,600 | Ryder System, Inc. | 837,648 | ||||||
29,200 | Tidewater, Inc. | 1,175,884 | ||||||
57,500 | YRC Worldwide, Inc.*(8) | 165,025 | ||||||
15,022,951 | ||||||||
Utilities — 8.4% | ||||||||
40,200 | AGL Resources, Inc. | 1,260,270 | ||||||
265,843 | Allegheny Energy, Inc. | 9,001,443 | ||||||
65,300 | Alliant Energy Corp. | 1,905,454 | ||||||
68,200 | American Electric Power Company, Inc. | 2,269,696 | ||||||
409,200 | CMS Energy Corp. | 4,137,012 | ||||||
86,283 | DTE Energy Company | 3,077,715 | ||||||
77,900 | Mirant Corp.* | 1,469,973 | ||||||
119,300 | NiSource, Inc. | 1,308,721 | ||||||
93,872 | Pepco Holdings, Inc. | 1,667,167 | ||||||
105,781 | Pinnacle West Capital Corp. | 3,398,744 | ||||||
140,600 | PPL Corp. | 4,315,014 | ||||||
84,600 | Puget Energy, Inc. | 2,307,042 | ||||||
45,600 | SCANA Corp. | 1,623,360 | ||||||
116,540 | Sempra Energy | 4,968,100 | ||||||
65,100 | TECO Energy, Inc. | 803,985 | ||||||
165,037 | Wisconsin Energy Corp. | 6,928,253 | ||||||
127,300 | Xcel Energy, Inc. | 2,361,415 | ||||||
52,803,364 | ||||||||
Total Common Stocks (Cost $916,657,411) | 610,607,223 | |||||||
Principal | ||||||||
Convertible Bonds — 0.0% | ||||||||
Telecommunications Equipment and Services | ||||||||
$ | 251,000 | Qwest Communications International, Inc., 3.50%, 11/15/25 (Cost $385,584) | 211,154 | |||||
Securities Lending Collateral — 2.2% | ||||||||
14,077,125 | Securities Lending Collateral Investment (Note 4) (Cost $14,077,125) | 14,077,125 | ||||||
Total Securities (Cost $931,120,120) | 624,895,502 | |||||||
Repurchase Agreements — 2.9% | ||||||||
18,202,898 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 1/02/09, repurchase proceeds at maturity $18,202,908 (Collateralized by various US Treasury Bills, 0.01%-0.02%, due 01/29/09-05/14/09, with a total value of $18,573,271) (Cost $18,202,898) | 18,202,898 | ||||||
Total Investments — 102.0% (Cost $949,323,018) | 643,098,400 | |||||||
Liabilities less other assets — (2.0)% | (12,848,916 | ) | ||||||
Net Assets — 100.0% | $ | 630,249,484 | ||||||
143
(FORMERLY, MID-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Gross/Net unrealized depreciation (includes gross unrealized appreciation of $0) | $ | (317,086,800 | ) | |
144
(FORMERLY, MID-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 97.8% | ||||||||
Airlines — 1.8% | ||||||||
382,924 | UAL Corp.*(8) | $ | 4,219,822 | |||||
Apparel: Manufacturing and Retail — 3.4% | ||||||||
342,832 | Urban Outfitters, Inc.* | 5,135,623 | ||||||
140,249 | Warnaco Group, Inc. (The)* | 2,753,088 | ||||||
7,888,711 | ||||||||
Banks and Financial Services — 4.0% | ||||||||
42,684 | IntercontinentalExchange, Inc.* | 3,518,869 | ||||||
46,200 | Northern Trust Corp. | 2,408,868 | ||||||
232,833 | TD Ameritrade Holding Corp.* | 3,317,870 | ||||||
9,245,607 | ||||||||
Broadcast Services/Media — 1.5% | ||||||||
104,831 | Dolby Laboratories, Inc. — Class A* | 3,434,264 | ||||||
Business Services and Supplies — 4.1% | ||||||||
118,253 | FTI Consulting, Inc.*(8) | 5,283,544 | ||||||
210,389 | SAIC, Inc.* | 4,098,378 | ||||||
9,381,922 | ||||||||
Commercial Services — 2.0% | ||||||||
229,414 | Quanta Services, Inc.* | 4,542,397 | ||||||
Computer Equipment, Software and Services — 8.3% | ||||||||
692,307 | Activision Blizzard, Inc.* | 5,981,531 | ||||||
101,000 | BMC Software, Inc.* | 2,717,910 | ||||||
220,536 | Citrix Systems, Inc.* | 5,198,034 | ||||||
151,677 | Salesforce.com, Inc.* | 4,855,181 | ||||||
18,752,656 | ||||||||
Construction Services and Supplies — 1.1% | ||||||||
25,407 | Martin Marietta Materials, Inc.(8) | 2,466,512 | ||||||
Consumer Goods and Services — 2.1% | ||||||||
85,771 | Church & Dwight Company, Inc. | 4,813,469 | ||||||
Containers and Packaging — 4.0% | ||||||||
111,719 | Ball Corp. | 4,646,394 | ||||||
167,962 | Owens-Illinois, Inc.* | 4,590,401 | ||||||
9,236,795 | ||||||||
Education — 4.1% | ||||||||
47,055 | Apollo Group, Inc. — Class A* | 3,605,354 | ||||||
60,571 | ITT Educational Services, Inc.*(8) | 5,753,034 | ||||||
9,358,388 | ||||||||
Engineering and Construction — 1.1% | ||||||||
83,336 | Aecom Technology Corp.* | 2,560,915 | ||||||
Environmental Waste Management and Recycling Services — 3.0% | ||||||||
133,170 | Stericycle, Inc.* | 6,935,494 | ||||||
Food and Beverage — 4.0% | ||||||||
95,242 | Molson Coors Brewing Company — Class B | 4,659,239 | ||||||
77,950 | Ralcorp Holdings, Inc.* | 4,552,280 | ||||||
9,211,519 | ||||||||
Internet Services — 5.1% | ||||||||
91,263 | Equinix, Inc.*(8) | 4,854,279 | ||||||
300,519 | F5 Networks, Inc.* | 6,869,864 | ||||||
11,724,143 | ||||||||
Manufacturing — 3.4% | ||||||||
166,063 | AMETEK, Inc. | 5,016,763 | ||||||
67,718 | SPX Corp. | 2,745,965 | ||||||
7,762,728 | ||||||||
Medical Equipment, Supplies, and Services — 14.5% | ||||||||
77,950 | CR Bard, Inc. | 6,568,067 | ||||||
58,437 | Edwards Lifesciences Corp.* | 3,211,113 | ||||||
18,282 | Intuitive Surgical, Inc.* | 2,321,631 | ||||||
105,400 | ResMed, Inc.* | 3,950,392 | ||||||
209,052 | St Jude Medical, Inc.* | 6,890,353 | ||||||
160,067 | STERIS Corp. | 3,824,001 | ||||||
40,042 | Techne Corp. | 2,583,510 | ||||||
106,162 | Varian Medical Systems, Inc.* | 3,719,916 | ||||||
33,068,983 | ||||||||
Metals and Mining — 1.8% | ||||||||
128,053 | Goldcorp, Inc. (Canada) | 4,037,511 | ||||||
Oil, Coal and Gas — 5.2% | ||||||||
115,795 | Cameron International Corp.* | 2,373,798 | ||||||
604,890 | Petrohawk Energy Corp.* | 9,454,430 | ||||||
11,828,228 | ||||||||
Pharmaceuticals/Research and Development — 2.9% | ||||||||
121,966 | Express Scripts, Inc.* | 6,705,691 | ||||||
Retail: Restaurants — 4.5% | ||||||||
207,454 | Burger King Holdings, Inc. | 4,954,002 | ||||||
104,140 | Panera Bread Company — Class A*(8) | 5,440,273 | ||||||
10,394,275 | ||||||||
Retail: Supermarkets — 1.2% | ||||||||
104,796 | Kroger Company (The) | 2,767,662 | ||||||
145
(FORMERLY, MID-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Scientific and Technical Instruments — 2.6% | ||||||||
43,081 | Mettler-Toledo International, Inc.* | $ | 2,903,659 | |||||
87,640 | Thermo Fisher Scientific, Inc.* | 2,985,895 | ||||||
5,889,554 | ||||||||
Semiconductors — 1.4% | ||||||||
487,212 | Marvell Technology Group, Ltd. (Bermuda)* | 3,249,704 | ||||||
Telecommunications Equipment and Services — 7.2% | ||||||||
226,559 | American Tower Corp. — Class A* | 6,642,710 | ||||||
311,800 | Crown Castle International Corp.* | 5,481,444 | ||||||
241,065 | NII Holdings, Inc.* | 4,382,562 | ||||||
16,506,716 | ||||||||
Toys — 2.5% | ||||||||
193,909 | Hasbro, Inc. | 5,656,326 | ||||||
Transportation — 1.0% | ||||||||
69,000 | CSX Corp. | 2,240,430 | ||||||
Total Common Stocks | ||||||||
(Cost $283,793,824) | 223,880,422 | |||||||
Principal | ||||||||
Securities Lending Collateral — 6.6% | ||||||||
$ | 15,114,459 | Securities Lending Collateral Investment (Note 4) (Cost $15,114,459) | 15,114,459 | |||||
Total Securities (Cost $298,908,283) | 238,994,881 | |||||||
Repurchase Agreements — 2.5% | ||||||||
5,792,445 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $5,792,448 (Collateralized by US Treasury Bill, 0.02%, due 5/14/09, with a value of $5,909,409) (Cost $5,792,445) | 5,792,445 | ||||||
Total Investments — 106.9% (Cost $304,700,728) | 244,787,326 | |||||||
Liabilities less other assets — (6.9)% | (15,821,423 | ) | ||||||
Net Assets — 100.0% | $ | 228,965,903 | ||||||
Gross/Net unrealized depreciation (includes gross unrealized appreciation of $0) | $ | (63,513,890 | ) | |
146
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 97.7% | ||||||||
Aerospace and Defense — 1.3% | ||||||||
122,002 | Ducommun, Inc. | $ | 2,037,433 | |||||
Agriculture — 0.2% | ||||||||
19,700 | Andersons, Inc. (The)(8) | 324,656 | ||||||
Airlines — 0.1% | ||||||||
33,900 | Hawaiian Holdings, Inc.* | 216,282 | ||||||
Apparel: Manufacturing and Retail — 2.7% | ||||||||
5,400 | Carter’s, Inc.* | 104,004 | ||||||
28,400 | Cato Corp. — Class A (The) | 428,840 | ||||||
31,300 | Collective Brands, Inc.* | 366,836 | ||||||
23,300 | Genesco, Inc.* | 394,236 | ||||||
105,851 | Jos A Bank Clothiers, Inc.*(8) | 2,768,004 | ||||||
5,700 | Steven Madden, Ltd.* | 121,524 | ||||||
4,183,444 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 2.6% | ||||||||
51,200 | ArvinMeritor, Inc. | 145,920 | ||||||
68,616 | BorgWarner, Inc. | 1,493,770 | ||||||
126,150 | Oshkosh Truck Corp. | 1,121,474 | ||||||
12,300 | Polaris Industries, Inc. | 352,395 | ||||||
215,447 | Spartan Motors, Inc.(8) | 1,019,064 | ||||||
4,132,623 | ||||||||
Banks and Financial Services — 16.3% | ||||||||
34,400 | BGC Partners, Inc. — Class A | 94,944 | ||||||
208,762 | Brookline Bancorp, Inc. | 2,223,315 | ||||||
10,960 | Bryn Mawr Bank Corp. | 220,296 | ||||||
135,580 | Calamos Asset Management, Inc. — Class A(8) | 1,003,292 | ||||||
4,400 | Cash America International, Inc. | 120,340 | ||||||
3,600 | Cathay General Bancorp | 85,500 | ||||||
11,400 | City Holding Company | 396,492 | ||||||
10,200 | Farmers Capital Bank Corp. | 249,084 | ||||||
10,200 | Financial Federal Corp. | 237,354 | ||||||
14,879 | Financial Institutions, Inc. | 213,514 | ||||||
39,400 | First Commonwealth Financial Corp. | 487,772 | ||||||
29,200 | First Financial Bancorp | 361,788 | ||||||
7,200 | First Financial Bankshares, Inc.(8) | 397,512 | ||||||
1,400 | First Financial Holdings, Inc. | 28,336 | ||||||
14,300 | First Merchants Corp. | 317,603 | ||||||
27,000 | First Niagara Financial Group, Inc. | 436,590 | ||||||
20,600 | FirstMerit Corp. | 424,154 | ||||||
8,800 | Flushing Financial Corp. | 105,248 | ||||||
10,300 | Glacier Bancorp, Inc. | 195,906 | ||||||
9,300 | Hancock Holding Company | 422,778 | ||||||
14,500 | Independent Bank Corp. — Massachusetts | 379,320 | ||||||
18,700 | Knight Capital Group, Inc. — Class A* | 302,005 | ||||||
29,596 | Lakeland Bancorp, Inc. | 333,251 | ||||||
15,700 | National Penn Bancshares, Inc. | 227,807 | ||||||
15,900 | NBT Bancorp, Inc. | 444,564 | ||||||
11,500 | NewAlliance Bancshares, Inc. | 151,455 | ||||||
17,900 | Old National Bancorp — Indiana | 325,064 | ||||||
44,600 | Oriental Financial Group, Inc.- Puerto Rico | 269,830 | ||||||
8,300 | Pennsylvania Commerce Bancorp, Inc.* | 221,278 | ||||||
11,200 | Republic Bancorp, Inc. — Class A | 304,640 | ||||||
10,900 | S&T Bancorp, Inc.(8) | 386,950 | ||||||
36,200 | Sanders Morris Harris Group, Inc. | 216,838 | ||||||
40,900 | Seacoast Banking Corp. | 269,940 | ||||||
4,746 | Simmons First National Corp. — Class A | 139,865 | ||||||
7,415 | Southside Bancshares, Inc. | 174,253 | ||||||
25,400 | Sterling Bancorp — New York | 356,362 | ||||||
60,862 | Stifel Financial Corp.* | 2,790,523 | ||||||
30,900 | Susquehanna Bancshares, Inc. | 491,619 | ||||||
2,200 | SVB Financial Group* | 57,706 | ||||||
190,868 | SWS Group, Inc. | 3,616,948 | ||||||
10,582 | UMB Financial Corp. | 519,999 | ||||||
3,800 | United Bankshares, Inc.(8) | 126,236 | ||||||
102,291 | Washington Federal, Inc. | 1,530,273 | ||||||
74,492 | WesBanco, Inc. | 2,026,927 | ||||||
95,915 | Whitney Holding Corp. | 1,533,681 | ||||||
4,000 | WSFS Financial Corp. | 191,960 | ||||||
25,411,112 | ||||||||
Broadcast Services/Media — 0.4% | ||||||||
40,500 | Outdoor Channel Holdings, Inc.* | 303,345 | ||||||
86,400 | Sinclair Broadcast Group, Inc. — Class A | 267,840 | ||||||
571,185 | ||||||||
Business Services and Supplies — 0.7% | ||||||||
12,000 | Acxiom Corp. | 97,320 | ||||||
21,400 | Deluxe Corp. | 320,144 | ||||||
68,500 | On Assignment, Inc.* | 388,395 | ||||||
7,600 | Portfolio Recovery Associates, Inc.*(8) | 257,184 | ||||||
1,063,043 | ||||||||
Chemicals — 1.3% | ||||||||
32,700 | A Schulman, Inc. | 555,900 |
147
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Chemicals (continued) | ||||||||
7,500 | Compass Minerals International, Inc. | $ | 439,950 | |||||
39,000 | Ferro Corp. | 274,950 | ||||||
22,700 | Innospec, Inc. | 133,703 | ||||||
6,600 | Minerals Technologies, Inc. | 269,940 | ||||||
4,000 | Olin Corp. | 72,320 | ||||||
8,200 | OM Group, Inc.* | 173,102 | ||||||
48,900 | PolyOne Corp.* | 154,035 | ||||||
2,073,900 | ||||||||
Commercial Services — 0.5% | ||||||||
16,500 | Interactive Data Corp. | 406,890 | ||||||
10,200 | TNS, Inc.* | 95,778 | ||||||
12,900 | Viad Corp. | 319,146 | ||||||
�� | 821,814 | |||||||
Computer Equipment, Software and Services — 4.3% | ||||||||
10,274 | CACI International, Inc. — Class A* | 463,255 | ||||||
119,900 | CIBER, Inc.* | 576,719 | ||||||
196,985 | Digi International, Inc.*(20) | 1,597,548 | ||||||
68,700 | Epicor Software Corp.* | 329,760 | ||||||
17,800 | Imation Corp. | 241,546 | ||||||
49,800 | Insight Enterprises, Inc.* | 343,620 | ||||||
76,640 | MTS Systems Corp. | 2,041,690 | ||||||
172,596 | OpenTV Corp. (British Virgin Islands)* | 212,293 | ||||||
29,600 | Palm, Inc.* | 90,872 | ||||||
32,565 | RadiSys Corp.* | 180,084 | ||||||
69,000 | Silicon Storage Technology, Inc.* | 158,010 | ||||||
18,493 | Sybase, Inc.* | 458,072 | ||||||
1,300 | SYNNEX Corp.* | 14,729 | ||||||
6,708,198 | ||||||||
Construction Services and Supplies — 2.2% | ||||||||
56,900 | Comfort Systems USA, Inc. | 606,554 | ||||||
43,800 | Dycom Industries, Inc.* | 360,036 | ||||||
22,100 | NCI Building Systems, Inc.*(8) | 360,230 | ||||||
78,315 | Universal Forest Products, Inc. | 2,107,457 | ||||||
3,434,277 | ||||||||
Consumer Goods and Services — 3.2% | ||||||||
19,800 | American Greetings Corp. — Class A | 149,886 | ||||||
148,709 | Helen of Troy, Ltd. (Bermuda)* | 2,581,589 | ||||||
12,700 | Inter Parfums, Inc. | 97,536 | ||||||
143,421 | Nutri System, Inc.(8) | 2,092,512 | ||||||
6,525 | Regis Corp. | 94,808 | ||||||
5,016,331 | ||||||||
Distribution — 0.2% | ||||||||
22,700 | Nu Skin Enterprises, Inc. — Class A | 236,761 | ||||||
Education — 0.3% | ||||||||
24,700 | School Specialty, Inc.* | 472,264 | ||||||
Electronics — 0.7% | ||||||||
66,300 | Applied Micro Circuits Corp.* | 260,559 | ||||||
21,600 | Benchmark Electronics, Inc.* | 275,832 | ||||||
13,700 | EnerSys* | 150,700 | ||||||
5,600 | Rogers Corp.* | 155,512 | ||||||
408,900 | Sanmina-SCI Corp.* | 192,183 | ||||||
1,034,786 | ||||||||
Engineering — 1.7% | ||||||||
117,187 | EMCOR Group, Inc.* | 2,628,504 | ||||||
Entertainment, Leisure and Recreation — 1.7% | ||||||||
49,400 | Live Nation, Inc.* | 283,556 | ||||||
149,779 | Marcus Corp. (The)(20) | 2,430,913 | ||||||
2,714,469 | ||||||||
Equipment Rental and Leasing — 0.3% | ||||||||
34,273 | Electro Rent Corp. | 382,487 | ||||||
7,500 | Rent-A-Center, Inc.* | 132,375 | ||||||
514,862 | ||||||||
Food and Beverage — 1.3% | ||||||||
14,000 | Chiquita Brands International, Inc.* | 206,920 | ||||||
15,700 | Flowers Foods, Inc. | 382,452 | ||||||
7,500 | Fresh Del Monte Produce, Inc. (Cayman Islands)* | 168,150 | ||||||
16,400 | J & J Snack Foods Corp. | 588,432 | ||||||
7,000 | Nash Finch Company | 314,230 | ||||||
1,400 | Ralcorp Holdings, Inc.* | 81,760 | ||||||
8,600 | TreeHouse Foods, Inc.* | 234,264 | ||||||
7,400 | United Natural Foods, Inc.* | 131,868 | ||||||
2,108,076 | ||||||||
Funeral Services — 0.9% | ||||||||
274,699 | Service Corp. International | 1,365,254 | ||||||
Insurance — 5.9% | ||||||||
24,500 | American Equity Investment Life Holding Company | 171,500 | ||||||
5,214 | American Physicians Capital, Inc. | 250,793 | ||||||
22,637 | Aspen Insurance Holdings, Ltd. (Bermuda) | 548,947 |
148
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
20,800 | CNA Surety Corp.* | $ | 399,360 | |||||
5,500 | Crawford & Company* | 79,970 | ||||||
15,631 | Delphi Financial Group, Inc. — Class A | 288,236 | ||||||
17,300 | Donegal Group, Inc. — Class A | 290,121 | ||||||
15,266 | FBL Financial Group, Inc. — Class A | 235,860 | ||||||
5,600 | Harleysville Group, Inc. | 194,488 | ||||||
12,400 | Horace Mann Educators Corp. | 113,956 | ||||||
15,200 | IPC Holdings, Ltd. (Bermuda) | 454,480 | ||||||
10,100 | National Interstate Corp. | 180,487 | ||||||
7,400 | Navigators Group, Inc. (The)* | 406,334 | ||||||
5,800 | Odyssey Re Holdings Corp. | 300,498 | ||||||
76,600 | Phoenix Companies, Inc. (The) | 250,482 | ||||||
13,937 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 502,847 | ||||||
3,200 | ProAssurance Corp.* | 168,896 | ||||||
46,840 | RLI Corp. | 2,864,735 | ||||||
20,900 | Seabright Insurance Holdings* | 245,366 | ||||||
14,700 | Selective Insurance Group, Inc. | 337,071 | ||||||
12,900 | State Auto Financial Corp. | 387,774 | ||||||
20,700 | Universal American Financial Corp.* | 182,574 | ||||||
14,639 | Zenith National Insurance Corp. | 462,153 | ||||||
9,316,928 | ||||||||
Internet Services — 0.4% | ||||||||
52,700 | Ixia* | 304,606 | ||||||
32,045 | Vignette Corp.* | 301,543 | ||||||
606,149 | ||||||||
Machinery — 1.9% | ||||||||
97,085 | Applied Industrial Technologies, Inc. | 1,836,848 | ||||||
6,400 | Baldor Electric Company | 114,240 | ||||||
16,400 | Columbus McKinnon Corp.* | 223,860 | ||||||
19,700 | Robbins & Myers, Inc. | 318,549 | ||||||
30,000 | Sauer-Danfoss, Inc. | 262,500 | ||||||
6,200 | Wabtec Corp. | 246,450 | ||||||
3,002,447 | ||||||||
Manufacturing — 4.6% | ||||||||
16,180 | Acuity Brands, Inc. | 564,844 | ||||||
78,654 | Ceradyne, Inc.* | 1,597,463 | ||||||
56,482 | CIRCOR International, Inc. | 1,553,255 | ||||||
11,800 | Coherent, Inc.* | 253,228 | ||||||
16,827 | EnPro Industries, Inc.* | 362,454 | ||||||
37,571 | Gibraltar Industries, Inc. | 448,598 | ||||||
92,536 | Watts Water Technologies, Inc. | 2,310,623 | ||||||
5,600 | Woodward Governor Company | 128,912 | ||||||
7,219,377 | ||||||||
Medical Equipment, Supplies, and Services — 5.5% | ||||||||
13,523 | AMERIGROUP Corp.* | 399,199 | ||||||
6,200 | AmSurg Corp.* | 144,708 | ||||||
11,000 | Centene Corp.* | 216,810 | ||||||
30,600 | Cross Country Healthcare, Inc.* | 268,974 | ||||||
16,900 | Gentiva Health Services, Inc.* | 494,494 | ||||||
15,700 | Kindred Healthcare, Inc.* | 204,414 | ||||||
75,241 | Magellan Health Services, Inc.* | 2,946,438 | ||||||
52,636 | Owens & Minor, Inc. | 1,981,745 | ||||||
11,300 | Res-Care, Inc.* | 169,726 | ||||||
33,300 | Symmetry Medical, Inc.* | 265,401 | ||||||
177,748 | Syneron Medical, Ltd. (Israel)* | 1,482,418 | ||||||
8,574,327 | ||||||||
Metals and Mining — 0.2% | ||||||||
6,800 | Olympic Steel, Inc. | 138,516 | ||||||
1,500 | Royal Gold, Inc. | 73,815 | ||||||
14,800 | Worthington Industries, Inc.(8) | 163,096 | ||||||
375,427 | ||||||||
Oil, Coal and Gas — 7.3% | ||||||||
46,600 | Allis-Chalmers Energy, Inc.* | 256,300 | ||||||
23,462 | Berry Petroleum Company — Class A | 177,373 | ||||||
17,100 | Bill Barrett Corp.* | 361,323 | ||||||
7,700 | Dawson Geophysical Company* | 137,137 | ||||||
72,313 | Frontier Oil Corp. | 913,313 | ||||||
48,010 | Holly Corp. | 875,222 | ||||||
19,100 | Hornbeck Offshore Services, Inc.* | 312,094 | ||||||
8,900 | Lufkin Industries, Inc. | 307,050 | ||||||
46,775 | National Fuel Gas Company | 1,465,461 | ||||||
15,800 | Nicor, Inc. | 548,892 | ||||||
51,346 | Penn Virginia Corp. | 1,333,969 | ||||||
16,200 | Piedmont Natural Gas Company, Inc. | 513,054 | ||||||
17,000 | Superior Well Services, Inc.* | 170,000 | ||||||
63,493 | Swift Energy Company* | 1,067,317 | ||||||
79,133 | World Fuel Services Corp. | 2,927,921 | ||||||
11,366,426 | ||||||||
Paper and Forest Products — 0.2% | ||||||||
40,600 | Glatfelter | 377,580 | ||||||
Pharmaceuticals/Research and Development — 4.8% | ||||||||
74,524 | Cytokinetics, Inc.* | 212,393 | ||||||
78,193 | Exponent, Inc.* | 2,352,046 |
149
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
170,103 | Mannatech, Inc.(8)(20) | $ | 416,752 | |||||
12,700 | Par Pharmaceutical Companies, Inc.* | 170,307 | ||||||
63,110 | Perrigo Company | 2,039,084 | ||||||
28,700 | ViroPharma, Inc.* | 373,674 | ||||||
50,732 | West Pharmaceutical Services, Inc. | 1,916,148 | ||||||
7,480,404 | ||||||||
Printing and Publishing — 0.1% | ||||||||
7,000 | Courier Corp. | 125,300 | ||||||
Real Estate Investment Trusts — 7.7% | ||||||||
161,398 | Ashford Hospitality Trust | 185,608 | ||||||
22,200 | Cedar Shopping Centers, Inc. | 157,176 | ||||||
3,600 | Corporate Office Properties Trust | 110,520 | ||||||
11,324 | Entertainment Properties Trust | 337,455 | ||||||
82,100 | Glimcher Realty Trust | 230,701 | ||||||
104,119 | Healthcare Realty Trust, Inc. | 2,444,714 | ||||||
44,603 | Hersha Hospitality Trust | 133,809 | ||||||
10,000 | Highwoods Properties, Inc. | 273,600 | ||||||
71,200 | Lexington Realty Trust | 356,000 | ||||||
94,506 | National Retail Properties, Inc. | 1,624,558 | ||||||
17,900 | NorthStar Realty Finance Corp. | 69,989 | ||||||
14,400 | Parkway Properties, Inc. | 259,200 | ||||||
49,900 | Pennsylvania Real Estate Investment Trust(8) | 371,755 | ||||||
6,400 | PS Business Parks, Inc. | 285,824 | ||||||
28,200 | Ramco-Gershenson Properties Trust | 174,276 | ||||||
54,281 | Rayonier, Inc. | 1,701,709 | ||||||
19,344 | Realty Income Corp.(8) | 447,814 | ||||||
18,900 | Senior Housing Properties Trust | 338,688 | ||||||
59,879 | Sovran Self Storage, Inc. | 2,155,644 | ||||||
45,378 | Sunstone Hotel Investors, Inc. | 280,890 | ||||||
40,600 | U-Store-It Trust | 180,670 | ||||||
12,120,600 | ||||||||
Retail — 2.6% | ||||||||
102,900 | Blockbuster, Inc. — Class A* | 129,654 | ||||||
22,139 | Casey’s General Stores, Inc. | 504,105 | ||||||
186,421 | EZCORP, Inc. — Class A* | 2,835,463 | ||||||
16,900 | Pantry, Inc. (The)* | 362,505 | ||||||
8,100 | Tractor Supply Company* | 292,734 | ||||||
4,124,461 | ||||||||
Retail: Restaurants — 0.7% | ||||||||
21,700 | Bob Evans Farms, Inc. | 443,331 | ||||||
24,200 | Cracker Barrel Old Country Store, Inc. | 498,278 | ||||||
9,200 | Red Robin Gourmet Burgers, Inc.* | 154,836 | ||||||
1,096,445 | ||||||||
Retail: Supermarkets — 2.1% | ||||||||
20,600 | Ruddick Corp. | 569,590 | ||||||
81,237 | Weis Markets, Inc.(20) | 2,732,000 | ||||||
3,301,590 | ||||||||
Rubber Products — 0.1% | ||||||||
24,500 | Myers Industries, Inc. | 196,000 | ||||||
Scientific and Technical Instruments — 0.3% | ||||||||
14,062 | Varian, Inc.* | 471,218 | ||||||
Semiconductors — 1.3% | ||||||||
220,274 | OmniVision Technologies, Inc.*(8) | 1,156,439 | ||||||
200,400 | TriQuint Semiconductor, Inc.* | 689,376 | ||||||
26,100 | Veeco Instruments, Inc.* | 165,474 | ||||||
2,011,289 | ||||||||
Sporting Goods and Equipment — 0.2% | ||||||||
25,500 | Callaway Golf Company | 236,895 | ||||||
Telecommunications Equipment and Services — 0.5% | ||||||||
11,300 | Atlantic Tele-Network, Inc. | 300,015 | ||||||
86,500 | Cincinnati Bell, Inc.* | 166,945 | ||||||
18,500 | Premiere Global Services, Inc.* | 159,285 | ||||||
26,000 | tw telecom, Inc.* | 220,220 | ||||||
846,465 | ||||||||
Transportation — 3.4% | ||||||||
82,783 | Arkansas Best Corp.(8) | 2,492,597 | ||||||
8,800 | Hub Group, Inc. — Class A* | 233,464 | ||||||
16,694 | TAL International Group, Inc. | 235,385 | ||||||
49,252 | Tidewater, Inc. | 1,983,378 | ||||||
20,600 | Werner Enterprises, Inc. | 357,204 | ||||||
5,302,028 | ||||||||
Utilities — 5.0% | ||||||||
66,159 | American States Water Company | 2,181,924 | ||||||
6,600 | Avista Corp. | 127,908 | ||||||
12,500 | CH Energy Group, Inc. | 642,375 | ||||||
4,800 | Connecticut Water Service, Inc. | 113,328 | ||||||
26,500 | El Paso Electric Company* | 479,385 | ||||||
16,600 | New Jersey Resources Corp. | 653,210 | ||||||
24,600 | NorthWestern Corp. | 577,362 | ||||||
75,905 | UIL Holdings Corp. | 2,279,427 |
150
(FORMERLY, SMALL-CAP VALUE PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Utilities (continued) | ||||||||
16,700 | Unisource Energy Corp. | $ | 490,312 | |||||
7,200 | WGL Holdings, Inc. | 235,368 | ||||||
7,780,599 | ||||||||
Total Common Stocks (Cost $190,616,179) | 153,001,229 | |||||||
Principal | ||||||||
Securities Lending Collateral — 4.6% | ||||||||
$ | 7,266,311 | Securities Lending Collateral Investment (Note 4) (Cost $7,266,311) | 7,266,311 | |||||
Total Securities (Cost $197,882,490) | 160,267,540 | |||||||
Repurchase Agreements — 0.3% | ||||||||
465,974 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $465,974 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $475,524) (Cost $465,974) | 465,974 | ||||||
Total Investments — 102.6% (Cost $198,348,464) | 160,733,514 | |||||||
Liabilities less other assets — (2.6)% | (4,105,331 | ) | ||||||
Net Assets — 100.0% | $ | 156,628,183 | ||||||
Gross unrealized appreciation | $ | 2,879,357 | ||
Gross unrealized depreciation | (45,237,596 | ) | ||
Net unrealized depreciation | $ | (42,358,239 | ) | |
151
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 98.9% | ||||||||
Advertising — 0.0% | ||||||||
3,300 | Harte-Hanks, Inc. | $ | 20,592 | |||||
Aerospace and Defense — 0.5% | ||||||||
27,987 | Aerovironment, Inc.*(8) | 1,030,201 | ||||||
49,628 | Ducommun, Inc. | 828,788 | ||||||
1,858,989 | ||||||||
Agriculture — 0.2% | ||||||||
24,457 | Andersons, Inc. (The)(8) | 403,051 | ||||||
20,500 | Titan Machinery, Inc.* | 288,230 | ||||||
691,281 | ||||||||
Airlines — 0.6% | ||||||||
3,200 | Alaska Air Group, Inc.* | 93,600 | ||||||
12,080 | Allegiant Travel Company* | 586,726 | ||||||
20,600 | AMR Corp.* | 219,802 | ||||||
11,700 | ExpressJet Holdings, Inc.* | 19,890 | ||||||
13,700 | Hawaiian Holdings, Inc.* | 87,406 | ||||||
36,000 | JetBlue Airways Corp.* | 255,600 | ||||||
6,500 | Republic Airways Holdings, Inc.* | 69,355 | ||||||
29,600 | SkyWest, Inc. | 550,560 | ||||||
27,400 | UAL Corp.*(8) | 301,948 | ||||||
13,200 | US Airways Group, Inc.* | 102,036 | ||||||
2,286,923 | ||||||||
Apparel: Manufacturing and Retail — 2.7% | ||||||||
41,400 | Aeropostale, Inc.* | 666,540 | ||||||
4,700 | AnnTaylor Stores Corp.* | 27,119 | ||||||
206,241 | Cato Corp. — Class A (The) | 3,114,240 | ||||||
4,700 | Charlotte Russe Holding, Inc.* | 30,503 | ||||||
1,400 | Cherokee, Inc. | 24,290 | ||||||
6,800 | Children’s Place Retail Stores, Inc. (The)* | 147,424 | ||||||
11,100 | Christopher & Banks Corp. | 62,160 | ||||||
2,800 | Collective Brands, Inc.* | 32,816 | ||||||
14,258 | Deckers Outdoor Corp.* | 1,138,786 | ||||||
25,900 | Finish Line (The) | 145,040 | ||||||
4,000 | Genesco, Inc.* | 67,680 | ||||||
900 | Gymboree Corp. (The)* | 23,481 | ||||||
73,187 | Iconix Brand Group, Inc.* | 715,769 | ||||||
13,100 | Jones Apparel Group, Inc. | 76,766 | ||||||
17,383 | Jos A Bank Clothiers, Inc.*(8) | 454,565 | ||||||
2,900 | Maidenform Brands, Inc.* | 29,435 | ||||||
23,106 | Men’s Wearhouse, Inc. (The)(8) | 312,855 | ||||||
4,200 | Oxford Industries, Inc. | 36,834 | ||||||
322,958 | Stage Stores, Inc. | 2,664,404 | ||||||
60,800 | Talbots, Inc. (The)(8) | 145,312 | ||||||
17,600 | Timberland Company (The) — Class A* | 203,280 | ||||||
10,000 | Wet Seal, Inc. (The) — Class A* | 29,700 | ||||||
13,600 | Wolverine World Wide, Inc. | 286,144 | ||||||
10,435,143 | ||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.0% | ||||||||
28,400 | ATC Technology Corp.* | 415,492 | ||||||
5,700 | AutoNation, Inc.* | 56,316 | ||||||
13,900 | Exide Technologies* | 73,531 | ||||||
12,100 | Federal Signal Corp. | 99,341 | ||||||
10,800 | Force Protection, Inc.* | 64,584 | ||||||
35,635 | Fuel Systems Solutions, Inc.*(8) | 1,167,403 | ||||||
5,100 | Midas, Inc.* | 53,499 | ||||||
177,474 | Modine Manufacturing Company | 864,298 | ||||||
34,600 | Polaris Industries, Inc. | 991,290 | ||||||
7,800 | Standard Motor Products, Inc. | 26,988 | ||||||
1,800 | Superior Industries International, Inc. | 18,936 | ||||||
37,200 | Wabash National Corp. | 167,400 | ||||||
3,999,078 | ||||||||
Banks and Financial Services — 9.3% | ||||||||
8,400 | 1st Source Corp. | 198,492 | ||||||
16,300 | Advance America Cash Advance Centers, Inc. | 30,807 | ||||||
4,400 | Ameris Bancorp | 52,140 | ||||||
1,900 | Arrow Financial Corp. | 47,766 | ||||||
87,603 | Asset Acceptance Capital Corp.*(8) | 447,651 | ||||||
9,300 | BancFirst Corp. | 492,156 | ||||||
4,700 | Bank Mutual Corp. | 54,238 | ||||||
5,300 | Bank of Granite Corp. | 12,985 | ||||||
4,800 | BankFinancial Corp. | 48,912 | ||||||
3,900 | Beneficial Mutual Bancorp, Inc.* | 43,875 | ||||||
4,800 | Berkshire Hills Bancorp, Inc. | 148,128 | ||||||
4,200 | BGC Partners, Inc. — Class A | 11,592 | ||||||
2,200 | BlackRock Kelso Capital Corp. | 21,692 | ||||||
1,700 | Capital Southwest Corp. | 183,872 | ||||||
59,004 | Cardtronics, Inc.* | 76,115 | ||||||
31,994 | Cash America International, Inc. | 875,036 | ||||||
6,100 | Center Financial Corp. | 37,637 | ||||||
1,400 | Chemical Financial Corp. | 39,032 | ||||||
10,400 | City Bank(8) | 54,080 | ||||||
10,400 | City Holding Company | 361,712 | ||||||
4,200 | Colonial BancGroup, Inc. (The) | 8,694 | ||||||
38,400 | Community Bank System, Inc. | 936,576 | ||||||
8,900 | Community Trust Bancorp, Inc. | 327,075 | ||||||
7,600 | Corus Bankshares, Inc.(8) | 8,436 | ||||||
72,626 | Credit Acceptance Corp.*(8) | 994,976 | ||||||
31,400 | Dime Community Bancshares | 417,620 |
152
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PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
42,500 | Doral Financial Corp. — Puerto Rico*(8) | $ | 318,750 | |||||
49,908 | Duff & Phelps Corp. — Class A* | 954,241 | ||||||
22,000 | Encore Capital Group, Inc.* | 158,400 | ||||||
4,200 | ESSA Bancorp, Inc. | 59,346 | ||||||
55,682 | Financial Federal Corp. | 1,295,720 | ||||||
2,400 | Financial Institutions, Inc. | 34,440 | ||||||
131,500 | First BanCorp — Puerto Rico(8) | 1,464,910 | ||||||
2,650 | First Citizens Bancshares, Inc. — Class A | 404,920 | ||||||
89,400 | First Commonwealth Financial Corp.(8) | 1,106,772 | ||||||
900 | First Community Bancshares, Inc. | 31,383 | ||||||
52,700 | First Financial Bancorp | 652,953 | ||||||
9,600 | First Financial Bankshares, Inc.(8) | 530,016 | ||||||
4,400 | First Financial Corp. | 180,356 | ||||||
6,000 | First Financial Holdings, Inc. | 121,440 | ||||||
1,300 | First Merchants Corp. | 28,873 | ||||||
109,195 | First Midwest Bancorp, Inc. | 2,180,625 | ||||||
47,400 | First Niagara Financial Group, Inc. | 766,458 | ||||||
4,600 | First Place Financial Corp. | 17,618 | ||||||
35,800 | FirstMerit Corp. | 737,122 | ||||||
32,200 | Flagstar Bancorp, Inc.* | 22,862 | ||||||
3,400 | FNB Corp. | 44,880 | ||||||
20,500 | Frontier Financial Corp.(8) | 89,380 | ||||||
48,200 | GFI Group, Inc. | 170,628 | ||||||
70,500 | Global Cash Access Holdings, Inc.* | 156,510 | ||||||
8,700 | Great Southern Bancorp, Inc.(8) | 99,528 | ||||||
8,900 | Guaranty Bancorp* | 17,800 | ||||||
1,400 | Hancock Holding Company | 63,644 | ||||||
2,500 | Home Bancshares, Inc. | 67,375 | ||||||
6,500 | Horizon Financial Corp. | 30,810 | ||||||
14,100 | Independent Bank Corp. — Massachusetts | 368,856 | ||||||
10,800 | Interactive Brokers Group, Inc. — Class A* | 193,212 | ||||||
94,606 | International Bancshares Corp. | 2,065,249 | ||||||
66,000 | Knight Capital Group, Inc. — Class A* | 1,065,900 | ||||||
83,500 | LaBranche & Company, Inc.* | 399,965 | ||||||
5,000 | Lakeland Bancorp, Inc. | 56,300 | ||||||
3,900 | MainSource Financial Group, Inc. | 60,450 | ||||||
52,631 | MB Financial, Inc. | 1,471,036 | ||||||
8,500 | Medallion Financial Corp. | 64,855 | ||||||
20,891 | Morningstar, Inc.*(8) | 741,631 | ||||||
10,200 | National Financial Partners Corp. | 31,008 | ||||||
5,000 | NBT Bancorp, Inc. | 139,800 | ||||||
9,500 | Net 1 UEPS Technologies, Inc.* | 130,150 | ||||||
73,455 | NewAlliance Bancshares, Inc. | 967,402 | ||||||
13,100 | OceanFirst Financial Corp. | 217,460 | ||||||
45,200 | Old National Bancorp — Indiana | 820,832 | ||||||
2,800 | Old Second Bancorp, Inc. | 32,480 | ||||||
14,000 | optionsXpress Holdings, Inc. | 187,040 | ||||||
13,900 | Oriental Financial Group, Inc.- Puerto Rico | 84,095 | ||||||
7,000 | Pacific Capital Bancorp | 118,160 | ||||||
3,800 | PacWest Bancorp | 102,220 | ||||||
400 | Park National Corp. | 28,700 | ||||||
4,200 | Patriot Capital Funding, Inc. | 15,288 | ||||||
5,200 | People’s Bancorp, Inc. | 99,476 | ||||||
4,700 | PHH Corp.* | 59,831 | ||||||
41,400 | PRG-Schultz International, Inc.* | 168,912 | ||||||
15,220 | PrivateBancorp, Inc. | 494,041 | ||||||
18,900 | Provident Bankshares Corp. | 182,574 | ||||||
6,100 | Provident Financial Services, Inc. | 93,330 | ||||||
18,600 | Provident New York Bancorp | 230,640 | ||||||
1,400 | S&T Bancorp, Inc.(8) | 49,700 | ||||||
5,900 | Sanders Morris Harris Group, Inc. | 35,341 | ||||||
15,100 | Santander BanCorp — Puerto Rico | 188,599 | ||||||
5,400 | SCBT Financial Corp. | 186,300 | ||||||
4,200 | Simmons First National Corp. — Class A | 123,774 | ||||||
3,200 | Sterling Bancorp — New York | 44,896 | ||||||
11,160 | Stifel Financial Corp.* | 511,686 | ||||||
11,200 | Suffolk Bancorp | 402,416 | ||||||
11,200 | Sun Bancorp, Inc. — New Jersey* | 83,888 | ||||||
2,300 | SVB Financial Group* | 60,329 | ||||||
4,700 | SWS Group, Inc. | 89,065 | ||||||
8,600 | SY Bancorp, Inc.(8) | 236,500 | ||||||
20,900 | TrustCo Bank Corp. NY | 198,759 | ||||||
14,400 | Trustmark Corp. | 310,896 | ||||||
11,200 | UMB Financial Corp. | 550,368 | ||||||
1,400 | Umpqua Holdings Corp. | 20,258 | ||||||
4,000 | Union Bankshares Corp. | 99,200 | ||||||
1,900 | United Bankshares, Inc.(8) | 63,118 | ||||||
2,200 | Univest Corp. of Pennsylvania | 70,708 | ||||||
4,400 | US Global Investors, Inc. — Class A | 21,516 | ||||||
3,600 | Washington Federal, Inc. | 53,856 |
153
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PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Banks and Financial Services (continued) | ||||||||
7,900 | Washington Trust Bancorp, Inc. | $ | 156,025 | |||||
143,500 | Webster Financial Corp. | 1,977,430 | ||||||
1,800 | WesBanco, Inc. | 48,978 | ||||||
2,400 | West Bancorp | 29,400 | ||||||
29,226 | Westamerica Bancorp(8) | 1,494,910 | ||||||
9,900 | WSFS Financial Corp. | 475,101 | ||||||
36,012,965 | ||||||||
Broadcast Services/Media — 0.2% | ||||||||
6,500 | CKX, Inc.* | 23,855 | ||||||
38,290 | DG Fastchannel, Inc.*(8) | 477,859 | ||||||
56,000 | Emmis Communications Corp. — Class A* | 19,600 | ||||||
9,400 | Media General, Inc. — Class A | 16,450 | ||||||
64,600 | Sinclair Broadcast Group, Inc. — Class A | 200,260 | ||||||
11,400 | TiVo, Inc.* | 81,624 | ||||||
819,648 | ||||||||
Business Services and Supplies — 4.7% | ||||||||
37,600 | Acxiom Corp. | 304,936 | ||||||
135,362 | Arbitron, Inc. | 1,797,607 | ||||||
21,123 | Catalyst Health Solutions, Inc.* | 514,345 | ||||||
23,000 | CBIZ, Inc.* | 198,950 | ||||||
6,800 | CDI Corp. | 87,992 | ||||||
21,191 | Coinstar, Inc.* | 413,436 | ||||||
12,100 | Convergys Corp.* | 77,561 | ||||||
5,700 | Corporate Executive Board Company (The) | 125,742 | ||||||
84,100 | CSG Systems International, Inc.* | 1,469,227 | ||||||
80,100 | Deluxe Corp. | 1,198,296 | ||||||
44,000 | Diamond Management & Technology Consultants, Inc. | 185,240 | ||||||
28,500 | Dice Holdings, Inc.* | 116,280 | ||||||
48,900 | Fair Isaac Corp. | 824,454 | ||||||
12,970 | FTI Consulting, Inc.*(8) | 579,500 | ||||||
9,100 | Gartner, Inc.* | 162,253 | ||||||
20,000 | Gevity HR, Inc. | 30,200 | ||||||
84,400 | Hackett Group, Inc.* | 246,448 | ||||||
26,300 | Hudson Highland Group, Inc.* | 88,105 | ||||||
99,268 | MAXIMUS, Inc. | 3,485,300 | ||||||
68,500 | ModusLink Global Solutions, Inc.* | 197,965 | ||||||
5,000 | Navigant Consulting, Inc.* | 79,350 | ||||||
49,519 | Portfolio Recovery Associates, Inc.*(8) | 1,675,723 | ||||||
42,640 | Riskmetrics Group, Inc.* | 634,910 | ||||||
61,900 | Spherion Corp.* | 136,799 | ||||||
4,500 | SuccessFactors, Inc.* | 25,830 | ||||||
47,800 | TrueBlue, Inc.* | 457,446 | ||||||
71,625 | UniFirst Corp. | 2,126,546 | ||||||
23,343 | Watson Wyatt Worldwide, Inc. — Class A | 1,116,262 | ||||||
18,356,703 | ||||||||
Chemicals — 2.0% | ||||||||
31,567 | Compass Minerals International, Inc. | 1,851,720 | ||||||
19,800 | Ferro Corp. | 139,590 | ||||||
11,860 | FMC Corp. | 530,498 | ||||||
39,700 | Innospec, Inc. | 233,833 | ||||||
1,400 | Minerals Technologies, Inc. | 57,260 | ||||||
900 | NewMarket Corp. | 31,419 | ||||||
66,022 | Olin Corp. | 1,193,678 | ||||||
8,700 | Spartech Corp. | 54,462 | ||||||
15,000 | Symyx Technologies, Inc.* | 89,100 | ||||||
18,400 | Terra Industries, Inc. | 306,728 | ||||||
32,000 | Tetra Tech, Inc.* | 772,800 | ||||||
140,164 | Zep, Inc. | 2,706,567 | ||||||
7,967,655 | ||||||||
Collectibles — 0.1% | ||||||||
25,300 | RC2 Corp.* | 269,951 | ||||||
Commercial Services — 0.6% | ||||||||
68,853 | Euronet Worldwide, Inc.* | 799,384 | ||||||
2,200 | Pre-Paid Legal Services, Inc.* | 82,038 | ||||||
8,700 | Standard Parking Corp.* | 168,258 | ||||||
24,410 | Team, Inc.* | 676,157 | ||||||
43,300 | TNS, Inc.* | 406,587 | ||||||
31,669 | Wright Express Corp.* | 399,029 | ||||||
2,531,453 | ||||||||
Computer Equipment, Software and Services — 5.3% | ||||||||
177,300 | 3Com Corp.* | 404,244 | ||||||
5,600 | ACI Worldwide, Inc.* | 89,040 | ||||||
30,700 | Actuate Corp.* | 90,872 | ||||||
83,900 | Adaptec, Inc.* | 276,870 | ||||||
11,800 | AsiaInfo Holdings, Inc.* | 139,712 | ||||||
33,100 | Avocent Corp.* | 592,821 | ||||||
13,280 | CACI International, Inc. — Class A* | 598,795 | ||||||
84,800 | CIBER, Inc.* | 407,888 | ||||||
12,500 | Computer Task Group, Inc.* | 40,250 | ||||||
35,300 | COMSYS IT Partners, Inc.* | 79,072 | ||||||
32,330 | Data Domain, Inc.*(8) | 607,804 | ||||||
60,135 | DivX, Inc.* | 314,506 |
154
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Computer Equipment, Software and Services (continued) | ||||||||
3,100 | Double-Take Software, Inc.* | $ | 27,807 | |||||
38,050 | Ebix, Inc.* | 909,395 | ||||||
148,562 | Electronics For Imaging, Inc.* | 1,420,253 | ||||||
42,420 | EPIQ Systems, Inc.*(8) | 708,838 | ||||||
16,300 | Extreme Networks, Inc.* | 38,142 | ||||||
5,100 | Hutchinson Technology, Inc.* | 17,748 | ||||||
106,960 | Innerworkings, Inc.*(8) | 700,588 | ||||||
3,400 | Insight Enterprises, Inc.* | 23,460 | ||||||
3,400 | Interactive Intelligence, Inc.* | 21,794 | ||||||
10,100 | Jack Henry & Associates, Inc. | 196,041 | ||||||
21,800 | Manhattan Associates, Inc.* | 344,658 | ||||||
61,130 | MedAssets, Inc.* | 892,498 | ||||||
7,500 | Mentor Graphics Corp.* | 38,775 | ||||||
20,285 | MICROS Systems, Inc.* | 331,051 | ||||||
2,700 | MicroStrategy, Inc. — Class A* | 100,251 | ||||||
29,668 | MSCI, Inc. — Class A* | 526,904 | ||||||
18,200 | MTS Systems Corp. | 484,848 | ||||||
51,462 | NetScout Systems, Inc.* | 443,602 | ||||||
46,242 | Nuance Communications, Inc.* | 479,067 | ||||||
43,935 | Omniture, Inc.* | 467,468 | ||||||
52,056 | Parametric Technology Corp.* | 658,508 | ||||||
24,007 | Progress Software Corp.* | 462,375 | ||||||
105,590 | PROS Holdings, Inc.* | 607,143 | ||||||
12,000 | Quest Software, Inc.* | 151,080 | ||||||
42,800 | Rackable Systems, Inc.* | 168,632 | ||||||
25,600 | RadiSys Corp.* | 141,568 | ||||||
3,300 | Renaissance Learning, Inc. | 29,667 | ||||||
27,300 | Silicon Storage Technology, Inc.* | 62,517 | ||||||
12,200 | Solera Holdings, Inc.* | 294,020 | ||||||
74,343 | Super Micro Computer, Inc.* | 470,591 | ||||||
84,625 | Sybase, Inc.* | 2,096,162 | ||||||
38,530 | Sykes Enterprises, Inc.* | 736,694 | ||||||
9,500 | Synaptics, Inc.* | 157,320 | ||||||
28,600 | Take-Two Interactive Software, Inc.* | 216,216 | ||||||
91,000 | Unisys Corp.* | 77,350 | ||||||
376,550 | Web.com Group, Inc.* | 1,378,173 | ||||||
62,055 | Wind River Systems, Inc.* | 560,357 | ||||||
189,257 | Xyratex, Ltd. (Bermuda)* | 558,308 | ||||||
20,641,743 | ||||||||
Construction Services and Supplies — 1.6% | ||||||||
20,900 | Beacon Roofing Supply, Inc.* | 290,092 | ||||||
59,900 | Beazer Homes USA, Inc.*(8) | 94,642 | ||||||
39,400 | BlueLinx Holdings, Inc.* | 74,466 | ||||||
103,300 | Comfort Systems USA, Inc. | 1,101,178 | ||||||
6,610 | Granite Construction, Inc. | 290,377 | ||||||
32,800 | Hovnanian Enterprises, Inc. — Class A* | 56,416 | ||||||
63,000 | M/I Homes, Inc.(8) | 664,020 | ||||||
3,200 | Matrix Service Company* | 24,544 | ||||||
13,800 | Meritage Homes Corp.* | 167,946 | ||||||
22,500 | NCI Building Systems, Inc.* | 366,750 | ||||||
24,300 | Ryland Group, Inc. (The) | 429,381 | ||||||
36,899 | Simpson Manufacturing Company, Inc.(8) | 1,024,316 | ||||||
179,100 | Standard Pacific Corp.* | 318,798 | ||||||
67,500 | Sterling Construction Company, Inc.* | 1,251,451 | ||||||
6,154,377 | ||||||||
Consumer Goods and Services — 2.3% | ||||||||
53,400 | American Greetings Corp. — Class A | 404,238 | ||||||
86,600 | Blyth, Inc. | 678,944 | ||||||
12,240 | Chattem, Inc.*(8) | 875,527 | ||||||
3,600 | CSS Industries, Inc. | 63,864 | ||||||
149,928 | Helen of Troy, Ltd. (Bermuda)* | 2,602,751 | ||||||
101,202 | Herbalife, Ltd. (Cayman Islands) | 2,194,059 | ||||||
12,800 | Hooker Furniture Corp. | 98,048 | ||||||
42,600 | La-Z-Boy, Inc. | 92,442 | ||||||
22,600 | Parlux Fragrances, Inc.* | 65,992 | ||||||
24,600 | Prestige Brands Holdings, Inc.* | 259,530 | ||||||
22,200 | Regis Corp. | 322,566 | ||||||
22,100 | Revlon, Inc. — Class A* | 147,407 | ||||||
19,755 | Rollins, Inc. | 357,170 | ||||||
114,260 | Tempur-Pedic International, Inc.(8) | 810,103 | ||||||
8,972,641 | ||||||||
Containers and Packaging — 0.2% | ||||||||
17,666 | Greif, Inc. — Class A | 590,574 | ||||||
Distribution — 1.3% | ||||||||
900 | Core-Mark Holding Company, Inc.* | 19,368 | ||||||
15,300 | Houston Wire & Cable Company | 142,443 | ||||||
133,573 | LKQ Corp.* | 1,557,461 | ||||||
9,600 | Nu Skin Enterprises, Inc. — Class A | 100,128 | ||||||
89,836 | United Stationers, Inc.* | 3,008,608 | ||||||
7,400 | Universal Corp. | 221,038 | ||||||
2,900 | WESCO International, Inc.* | 55,767 | ||||||
5,104,813 | ||||||||
155
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Diversified Operations and Services — 0.9% | ||||||||
2,000 | Chemed Corp. | $ | 79,540 | |||||
81,216 | ESCO Technologies, Inc.*(8) | 3,325,795 | ||||||
3,405,335 | ||||||||
Education — 0.3% | ||||||||
1,800 | Career Education Corp.* | 32,292 | ||||||
12,700 | Corinthian Colleges, Inc.* | 207,899 | ||||||
13,370 | DeVry, Inc. | 767,572 | ||||||
1,007,763 | ||||||||
Electronics — 3.1% | ||||||||
1,700 | American Superconductor Corp.* | 27,727 | ||||||
20,793 | Avnet, Inc.* | 378,641 | ||||||
205,206 | Belden CDT, Inc. | 4,284,701 | ||||||
14,100 | Benchmark Electronics, Inc.* | 180,057 | ||||||
55,700 | CTS Corp. | 306,907 | ||||||
33,900 | Cubic Corp. | 922,080 | ||||||
90,400 | Diebold, Inc. | 2,539,336 | ||||||
4,800 | Harman International Industries, Inc. | 80,304 | ||||||
58,052 | LaBarge, Inc.* | 833,046 | ||||||
65,700 | Methode Electronics, Inc. | 442,818 | ||||||
106,800 | Micrel, Inc. | 780,708 | ||||||
9,400 | Multi-Fineline Electronix, Inc.* | 109,886 | ||||||
181,858 | Nam Tai Electronics, Inc. (British Virgin Islands) | 1,000,219 | ||||||
4,000 | Park Electrochemical Corp. | 75,840 | ||||||
108,100 | Sanmina-SCI Corp.* | 50,807 | ||||||
17,300 | Stoneridge, Inc.* | 78,888 | ||||||
12,091,965 | ||||||||
Energy Services — 0.1% | ||||||||
13,662 | Energy Conversion Devices, Inc.*(8) | 344,419 | ||||||
49,800 | Plug Power, Inc.* | 50,796 | ||||||
395,215 | ||||||||
Engineering — 0.1% | ||||||||
13,500 | EMCOR Group, Inc.* | 302,805 | ||||||
Entertainment, Leisure and Recreation — 1.2% | ||||||||
20,000 | Brunswick Corp. | 84,200 | ||||||
31,800 | Carmike Cinemas, Inc. | 116,070 | ||||||
70,700 | Choice Hotels International, Inc. | 2,125,243 | ||||||
26,102 | Life Time Fitness, Inc.*(8) | 338,021 | ||||||
2,000 | National CineMedia, Inc. | 20,280 | ||||||
25,570 | Netflix, Inc.*(8) | 764,287 | ||||||
52,510 | Scientific Games Corp. — Class A* | 921,025 | ||||||
51,800 | Warner Music Group Corp. | 156,436 | ||||||
4,200 | WMS Industries, Inc.* | 112,980 | ||||||
4,638,542 | ||||||||
Environmental Waste Management and Recycling Services — 0.1% | ||||||||
17,200 | Casella Waste Systems, Inc.* | 70,176 | ||||||
48,100 | Darling International, Inc.* | 264,069 | ||||||
4,100 | Waste Services, Inc.* | 26,978 | ||||||
361,223 | ||||||||
Equipment Rental and Leasing — 0.1% | ||||||||
12,000 | Rent-A-Center, Inc.* | 211,800 | ||||||
13,700 | United Rentals, Inc.* | 124,944 | ||||||
336,744 | ||||||||
Food and Beverage — 2.1% | ||||||||
900 | Cal-Maine Foods, Inc. | 25,830 | ||||||
1,400 | Coca-Cola Bottling Company Consolidated | 64,344 | ||||||
59,000 | Del Monte Foods Company | 421,260 | ||||||
6,700 | Diamond Foods, Inc. | 135,005 | ||||||
3,400 | Farmer Brothers Company | 84,796 | ||||||
36,765 | Flowers Foods, Inc. | 895,595 | ||||||
15,340 | JM Smucker Company (The) | 665,142 | ||||||
137,800 | Lance, Inc. | 3,161,132 | ||||||
31,100 | Nash Finch Company | 1,396,079 | ||||||
21,810 | Peet’s Coffee & Tea, Inc.* | 507,083 | ||||||
13,850 | Ralcorp Holdings, Inc.* | 808,840 | ||||||
39,400 | Reddy Ice Holdings, Inc. | 56,736 | ||||||
8,221,842 | ||||||||
Funeral Services — 0.0% | ||||||||
13,400 | Stewart Enterprises, Inc. — Class A | 40,334 | ||||||
Insurance — 5.7% | ||||||||
4,400 | Allied World Assurance Holdings, Ltd. (Bermuda) | 178,640 | ||||||
10,700 | Ambac Financial Group, Inc. | 13,910 | ||||||
102,000 | American Equity Investment Life Holding Company | 714,000 | ||||||
11,000 | American Physicians Capital, Inc. | 529,100 | ||||||
8,500 | Amerisafe, Inc.* | 174,505 | ||||||
94,510 | AmTrust Financial Services, Inc. | 1,096,316 | ||||||
62,600 | Aspen Insurance Holdings, Ltd. (Bermuda) | 1,518,050 | ||||||
132,966 | Assured Guaranty, Ltd. (Bermuda)(8) | 1,515,812 | ||||||
11,700 | Conseco, Inc.* | 60,606 |
156
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Insurance (continued) | ||||||||
151,387 | Delphi Financial Group, Inc. — Class A | $ | 2,791,576 | |||||
58,570 | eHealth, Inc.* | 777,810 | ||||||
7,700 | Employers Holdings, Inc. | 127,050 | ||||||
11,300 | Endurance Specialty Holdings, Ltd. (Bermuda) | 344,989 | ||||||
4,200 | FBL Financial Group, Inc. — Class A | 64,890 | ||||||
3,600 | FPIC Insurance Group, Inc.* | 157,608 | ||||||
105,728 | IPC Holdings, Ltd. (Bermuda) | 3,161,267 | ||||||
12,875 | Life Partners Holdings, Inc.(8) | 561,865 | ||||||
43,500 | Montpelier Re Holdings, Ltd. (Bermuda) | 730,365 | ||||||
200 | National Western Life Insurance Company — Class A | 33,834 | ||||||
128,322 | Platinum Underwriters Holdings, Ltd. (Bermuda) | 4,629,858 | ||||||
19,700 | PMA Capital Corp. — Class A* | 139,476 | ||||||
15,900 | Presidential Life Corp. | 157,251 | ||||||
290,851 | Universal American Financial Corp.* | 2,565,306 | ||||||
11,000 | Zenith National Insurance Corp. | 347,270 | ||||||
22,391,354 | ||||||||
Internet Services — 3.7% | ||||||||
33,730 | Akamai Technologies, Inc.* | 508,986 | ||||||
21,866 | comScore, Inc.* | 278,792 | ||||||
55,700 | CyberSource Corp.* | 667,843 | ||||||
52,532 | Digital River, Inc.* | 1,302,794 | ||||||
47,000 | EarthLink, Inc.* | 317,720 | ||||||
14,394 | Equinix, Inc.*(8) | 765,617 | ||||||
193,145 | eResearchTechnology, Inc.* | 1,280,551 | ||||||
24,889 | F5 Networks, Inc.* | 568,963 | ||||||
192,968 | Internet Brands, Inc. — Class A*(8) | 1,123,074 | ||||||
93,261 | j2 Global Communications, Inc.* | 1,868,950 | ||||||
13,100 | Limelight Networks, Inc.* | 32,095 | ||||||
11,800 | Marchex, Inc. — Class B | 68,794 | ||||||
10,800 | NIC, Inc. | 49,680 | ||||||
7,300 | Priceline.com, Inc.* | 537,645 | ||||||
69,300 | Rackspace Hosting, Inc.* | 372,834 | ||||||
97,000 | S1 Corp.* | 765,330 | ||||||
17,500 | Sapient Corp.* | 77,700 | ||||||
5,700 | Sohu.com, Inc.* | 269,838 | ||||||
81,700 | SonicWALL, Inc.* | 325,166 | ||||||
3,200 | Syntel, Inc. | 73,984 | ||||||
14,800 | TeleCommunications Systems, Inc. — Class A* | 127,132 | ||||||
69,700 | TIBCO Software, Inc.* | 361,743 | ||||||
67,599 | United Online, Inc. | 410,326 | ||||||
66,592 | ValueClick, Inc.* | 455,489 | ||||||
125,700 | Websense, Inc.* | 1,881,728 | ||||||
14,492,774 | ||||||||
Machinery — 1.2% | ||||||||
11,600 | Actuant Corp. — Class A | 220,632 | ||||||
3,300 | Applied Industrial Technologies, Inc. | 62,436 | ||||||
16,950 | Astec Industries, Inc.* | 531,044 | ||||||
7,500 | Chart Industries, Inc.* | 79,725 | ||||||
5,600 | Columbus McKinnon Corp.* | 76,440 | ||||||
289,301 | Flow International Corp.* | 700,108 | ||||||
17,100 | Gardner Denver, Inc.* | 399,114 | ||||||
6,000 | Graham Corp. | 64,920 | ||||||
14,600 | Robbins & Myers, Inc. | 236,082 | ||||||
44,100 | Tecumseh Products Company — Class A* | 422,478 | ||||||
44,153 | Wabtec Corp. | 1,755,082 | ||||||
4,548,061 | ||||||||
Manufacturing — 6.5% | ||||||||
64,929 | Acuity Brands, Inc. | 2,266,671 | ||||||
132,189 | Albany International Corp. — Class A | 1,697,307 | ||||||
1,300 | American Woodmark Corp.(8) | 23,699 | ||||||
9,600 | Ameron International Corp. | 604,032 | ||||||
4,000 | AO Smith Corp. | 118,080 | ||||||
66,004 | AptarGroup, Inc. | 2,325,981 | ||||||
2,400 | AZZ, Inc.* | 60,240 | ||||||
11,700 | Blount International, Inc.* | 110,916 | ||||||
209,239 | Carlisle Companies, Inc. | 4,331,247 | ||||||
1,400 | Ceradyne, Inc.* | 28,434 | ||||||
3,100 | China Fire & Security Group, Inc.* | 21,111 | ||||||
6,300 | CIRCOR International, Inc. | 173,250 | ||||||
9,200 | Cognex Corp. | 136,160 | ||||||
4,400 | Coherent, Inc.* | 94,424 | ||||||
50,739 | EnPro Industries, Inc.* | 1,092,918 | ||||||
34,300 | Furniture Brands International, Inc. | 75,803 | ||||||
28,000 | Gibraltar Industries, Inc. | 334,320 | ||||||
81,090 | GrafTech International, Ltd.* | 674,669 | ||||||
77,170 | Hexcel Corp.* | 570,286 | ||||||
1,900 | LS Starrett Company (The) — Class A | 30,590 | ||||||
8,800 | Lydall, Inc.* | 50,600 | ||||||
50,326 | Matthews International Corp. — Class A | 1,845,958 |
157
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Manufacturing (continued) | ||||||||
149,172 | Mueller Industries, Inc. | $ | 3,741,234 | |||||
6,600 | Mueller Water Products, Inc. — Class A | 55,440 | ||||||
1,200 | Powell Industries, Inc.* | 34,824 | ||||||
8,400 | Steinway Musical Instruments, Inc.* | 147,084 | ||||||
21,000 | Sturm, Ruger & Company, Inc.* | 125,370 | ||||||
48,300 | Tredegar Corp. | 878,094 | ||||||
9,350 | Valmont Industries, Inc. | 573,716 | ||||||
31,899 | Woodward Governor Company | 734,315 | ||||||
109,000 | Zebra Technologies Corp. — Class A* | 2,208,340 | ||||||
25,165,113 | ||||||||
Medical Equipment, Supplies, and Services — 9.3% | ||||||||
3,800 | Align Technology, Inc.* | 33,250 | ||||||
8,300 | Allscripts-Misys Healthcare Solutions, Inc. | 82,336 | ||||||
15,070 | Amedisys, Inc.*(8) | 622,994 | ||||||
42,500 | American Medical Systems Holdings, Inc.* | 382,075 | ||||||
19,200 | AMN Healthcare Services, Inc.* | 162,432 | ||||||
73,636 | AmSurg Corp.* | 1,718,664 | ||||||
1,600 | ArthroCare Corp.* | 7,632 | ||||||
14,490 | athenahealth, Inc.* | 545,114 | ||||||
1,700 | Bio-Rad Laboratories, Inc. — Class A* | 128,027 | ||||||
10,200 | Cardiac Science Corp.* | 76,500 | ||||||
80,575 | CardioNet, Inc.* | 1,986,174 | ||||||
134,390 | Centene Corp.* | 2,648,826 | ||||||
36,644 | Conceptus, Inc.* | 557,722 | ||||||
4,900 | CONMED Corp.* | 117,306 | ||||||
38,948 | CorVel Corp.* | 856,077 | ||||||
8,800 | Cyberonics, Inc.* | 145,816 | ||||||
2,800 | Emergency Medical Services Corp. — Class A* | 102,508 | ||||||
13,450 | Genoptix, Inc.* | 458,376 | ||||||
33,462 | Gen-Probe, Inc.* | 1,433,512 | ||||||
13,790 | Haemonetics Corp.* | 779,135 | ||||||
36,600 | Health Management Associates, Inc. — Class A* | 65,514 | ||||||
31,500 | HealthSouth Corp.* | 345,240 | ||||||
65,900 | ICU Medical, Inc.* | 2,183,925 | ||||||
53,400 | Invacare Corp. | 828,768 | ||||||
29,284 | IPC The Hospitalist Company* | 492,850 | ||||||
250,780 | LeMaitre Vascular, Inc.* | 506,576 | ||||||
1,900 | LHC Group, Inc.* | 68,400 | ||||||
38,700 | Lincare Holdings, Inc.* | 1,042,191 | ||||||
22,670 | Luminex Corp.* | 484,231 | ||||||
1,100 | Magellan Health Services, Inc.* | 43,076 | ||||||
6,000 | Meridian Bioscience, Inc. | 152,820 | ||||||
10,100 | Merit Medical Systems, Inc.* | 181,093 | ||||||
33,438 | Natus Medical, Inc.* | 433,022 | ||||||
5,100 | Nighthawk Radiology Holdings, Inc.* | 24,786 | ||||||
214,504 | NovaMed, Inc.*(8) | 742,184 | ||||||
60,840 | NuVasive, Inc.*(8) | 2,108,106 | ||||||
100,500 | Orthofix International NV (Netherland Antilles)* | 1,540,665 | ||||||
31,500 | Owens & Minor, Inc. | 1,185,975 | ||||||
28,620 | Phase Forward, Inc.* | 358,322 | ||||||
15,100 | PSS World Medical, Inc.* | 284,182 | ||||||
16,230 | Psychiatric Solutions, Inc.*(8) | 452,006 | ||||||
13,200 | Quidel Corp.* | 172,524 | ||||||
4,400 | RehabCare Group, Inc.* | 66,704 | ||||||
12,060 | ResMed, Inc.* | 452,009 | ||||||
368,346 | RTI Biologics, Inc.* | 1,016,635 | ||||||
3,000 | Sirona Dental Systems, Inc,* | 31,500 | ||||||
64,925 | SonoSite, Inc.* | 1,238,769 | ||||||
461,903 | Spectranetics Corp. (The)* | 1,205,567 | ||||||
40,700 | STERIS Corp. | 972,323 | ||||||
1,100 | SurModics, Inc.* | 27,797 | ||||||
6,900 | Synovis Life Technologies, Inc.* | 129,306 | ||||||
5,400 | Techne Corp. | 348,408 | ||||||
8,110 | Thoratec Corp.* | 263,494 | ||||||
116,312 | TranS1, Inc.* | 838,610 | ||||||
4,500 | US Physical Therapy, Inc.* | 59,985 | ||||||
50,334 | VNUS Medical Technologies* | 816,417 | ||||||
30,160 | Volcano Corp.* | 452,400 | ||||||
75,100 | Wright Medical Group, Inc.* | 1,534,293 | ||||||
35,995,149 | ||||||||
Metals and Mining — 0.4% | ||||||||
6,200 | Hawk Corp. — Class A* | 102,920 | ||||||
5,300 | Insteel Industries, Inc. | 59,837 | ||||||
4,400 | Royal Gold, Inc. | 216,524 | ||||||
103,700 | Worthington Industries, Inc.(8) | 1,142,774 | ||||||
1,522,055 | ||||||||
Office Equipment, Supplies, and Services — 0.6% | ||||||||
311,843 | Acco Brands Corp.* | 1,075,858 | ||||||
7,400 | Ennis, Inc. | 89,614 | ||||||
21,100 | Herman Miller, Inc. | 274,933 | ||||||
11,800 | HNI Corp. | 186,912 | ||||||
57,600 | Knoll, Inc. | 519,552 |
158
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Office Equipment, Supplies, and Services (continued) | ||||||||
41,800 | Steelcase, Inc. — Class A | $ | 234,916 | |||||
2,381,785 | ||||||||
Oil, Coal and Gas — 4.5% | ||||||||
20,290 | Arena Resources, Inc.* | 569,946 | ||||||
31,676 | Atwood Oceanics, Inc.* | 484,009 | ||||||
6,800 | Bolt Technology Corp.* | 47,328 | ||||||
2,200 | CARBO Ceramics, Inc. | 78,166 | ||||||
900 | Chesapeake Utilities Corp. | 28,332 | ||||||
13,100 | Clayton Williams Energy, Inc.* | 595,264 | ||||||
32,960 | Comstock Resources, Inc.* | 1,557,360 | ||||||
12,500 | Concho Resources, Inc.* | 285,250 | ||||||
8,180 | Core Laboratories NV (the Netherlands) | 489,655 | ||||||
19,810 | Dril-Quip, Inc.* | 406,303 | ||||||
54,700 | Energy Partners, Ltd.* | 73,845 | ||||||
25,052 | GMX Resources, Inc.*(8) | 634,317 | ||||||
4,600 | HKN, Inc.* | 13,662 | ||||||
131,279 | ION Geophysical Corp.* | 450,287 | ||||||
11,300 | Key Energy Services, Inc.* | 49,833 | ||||||
18,971 | Lufkin Industries, Inc. | 654,500 | ||||||
104,767 | McMoRan Exploration Company* | 1,026,717 | ||||||
4,000 | Mitcham Industries, Inc.* | 15,880 | ||||||
46,780 | Natural Gas Services Group* | 473,881 | ||||||
50,600 | Newpark Resources, Inc.* | 187,220 | ||||||
38,000 | Nicor, Inc. | 1,320,120 | ||||||
9,100 | Northwest Natural Gas Company | 402,493 | ||||||
13,000 | Oil States International, Inc.* | 242,970 | ||||||
90,320 | Penn Virginia Corp. | 2,346,513 | ||||||
33,018 | PetroQuest Energy, Inc.* | 223,202 | ||||||
17,600 | Piedmont Natural Gas Company, Inc. | 557,392 | ||||||
23,500 | Rosetta Resources, Inc.* | 166,380 | ||||||
16,800 | SEACOR Holdings, Inc.* | 1,119,720 | ||||||
6,600 | Southwest Gas Corp. | 166,452 | ||||||
25,930 | Superior Energy Services, Inc.* | 413,065 | ||||||
118,800 | VAALCO Energy, Inc.* | 883,872 | ||||||
2,700 | Westmoreland Coal Company* | 29,970 | ||||||
42,822 | Whiting Petroleum Corp.* | 1,432,824 | ||||||
6,800 | World Fuel Services Corp. | 251,600 | ||||||
17,678,328 | ||||||||
Paper and Forest Products — 0.5% | ||||||||
40,900 | Buckeye Technologies, Inc.* | 148,876 | ||||||
2,428 | Clearwater Paper Corp.* | 20,371 | ||||||
37,801 | Deltic Timber Corp. | 1,729,396 | ||||||
3,600 | KapStone Paper and Packaging Corp.* | 8,568 | ||||||
8,100 | Potlatch Corp. | 210,681 | ||||||
2,117,892 | ||||||||
Pharmaceuticals/Research and Development — 5.6% | ||||||||
82,333 | Acorda Therapeutics, Inc.* | 1,688,650 | ||||||
41,400 | Albany Molecular Research, Inc.* | 403,236 | ||||||
66,843 | Alexion Pharmaceuticals, Inc.* | 2,419,048 | ||||||
4,100 | Alkermes, Inc.* | 43,665 | ||||||
3,800 | Alnylam Pharmaceuticals, Inc.*(8) | 93,974 | ||||||
77,234 | BioMarin Pharmaceutical, Inc.*(8) | 1,374,765 | ||||||
80,900 | Charles River Laboratories International, Inc.* | 2,119,580 | ||||||
12,000 | Columbia Laboratories, Inc.* | 15,240 | ||||||
16,400 | Cubist Pharmaceuticals, Inc.* | 396,224 | ||||||
6,000 | CV Therapeutics, Inc.* | 55,260 | ||||||
17,200 | Dendreon Corp.* | 78,776 | ||||||
73,400 | DepoMed, Inc.* | 121,110 | ||||||
102,400 | Enzon Pharmaceuticals, Inc.*(8) | 596,992 | ||||||
3,200 | Exponent, Inc.* | 96,256 | ||||||
2,040 | Facet Biotech Corp.* | 19,564 | ||||||
84,497 | Genomic Health, Inc.*(8) | 1,646,002 | ||||||
36,200 | Human Genome Sciences, Inc.* | 76,744 | ||||||
2,900 | Idera Pharmaceuticals, Inc.* | 22,272 | ||||||
26,600 | Incyte Corp.* | 100,814 | ||||||
18,100 | Indevus Pharmaceuticals, Inc.* | 56,834 | ||||||
6,200 | Isis Pharmaceuticals, Inc.* | 87,916 | ||||||
12,300 | Martek Biosciences Corp.(8) | 372,813 | ||||||
5,200 | Matrixx Initiatives, Inc.* | 85,748 | ||||||
5,400 | Medarex, Inc.* | 30,132 | ||||||
1,400 | Medicines Company (The)* | 20,622 | ||||||
26,300 | Medicis Pharmaceuticals Corp. — Class A | 365,570 | ||||||
1,600 | Medivation, Inc.* | 23,312 | ||||||
14,159 | Myriad Genetics, Inc.*(8) | 938,175 | ||||||
66,100 | Nektar Therapeutics* | 367,516 | ||||||
38,400 | Noven Pharmaceuticals, Inc.* | 422,400 | ||||||
45,900 | NPS Pharmaceuticals, Inc.* | 285,039 | ||||||
31,438 | Onyx Pharmaceuticals, Inc.* | 1,073,922 | ||||||
58,102 | OSI Pharmaceuticals, Inc.* | 2,268,883 | ||||||
2,600 | Pain Therapeutics, Inc.* | 15,392 | ||||||
1,900 | Par Pharmaceutical Companies, Inc.* | 25,479 | ||||||
10,200 | PDL BioPharma, Inc. | 63,036 |
159
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Pharmaceuticals/Research and Development (continued) | ||||||||
26,200 | PharMerica Corp.* | $ | 410,554 | |||||
21,700 | Regeneron Pharmaceuticals, Inc.* | 398,412 | ||||||
33,900 | Salix Pharmaceuticals, Ltd.* | 299,337 | ||||||
4,000 | Sequenom, Inc.* | 79,360 | ||||||
6,900 | Synta Pharmaceuticals Corp.*(8) | 42,228 | ||||||
27,462 | United Therapeutics Corp.* | 1,717,748 | ||||||
2,000 | USANA Health Services, Inc.* | 68,480 | ||||||
44,600 | Valeant Pharmaceuticals International*(8) | 1,021,340 | ||||||
21,908,420 | ||||||||
Printing and Publishing — 0.6% | ||||||||
189,453 | Bowne & Company, Inc. | 1,113,983 | ||||||
9,900 | Dolan Media Company* | 65,241 | ||||||
22,500 | Lee Enterprises, Inc.(8) | 9,225 | ||||||
10,300 | Scholastic Corp. | 139,874 | ||||||
133,790 | Valassis Communications, Inc.* | 176,603 | ||||||
48,454 | VistaPrint, Ltd. (Bermuda)*(8) | 901,729 | ||||||
2,406,655 | ||||||||
Real Estate Investment Trusts — 4.3% | ||||||||
92,907 | Acadia Realty Trust | 1,325,783 | ||||||
6,600 | Agree Realty Corp. | 119,658 | ||||||
54,341 | American Campus Communities, Inc. | 1,112,904 | ||||||
6,400 | American Capital Agency Corp.(8) | 136,704 | ||||||
21,100 | Anworth Mortgage Asset Corp. | 135,673 | ||||||
25,700 | Associated Estates Realty Corp. | 234,641 | ||||||
3,600 | Brandywine Realty Trust | 27,756 | ||||||
8,900 | CapLease, Inc. | 15,397 | ||||||
9,800 | Care Investment Trust, Inc. | 76,342 | ||||||
4,200 | Cogdell Spencer, Inc. | 39,312 | ||||||
2,600 | Cousins Properties, Inc. | 36,010 | ||||||
24,800 | DuPont Fabros Technology, Inc. | 51,336 | ||||||
40,200 | Education Realty Trust, Inc. | 209,844 | ||||||
35,500 | Extra Space Storage, Inc.�� | 366,360 | ||||||
2,200 | Hatteras Financial Corp. | 58,520 | ||||||
24,000 | Healthcare Realty Trust, Inc. | 563,520 | ||||||
32,700 | Highwoods Properties, Inc. | 894,672 | ||||||
106,400 | Inland Real Estate Corp.(8) | 1,381,072 | ||||||
64,300 | Investors Real Estate Trust | 688,653 | ||||||
5,900 | Kite Realty Group Trust | 32,804 | ||||||
19,900 | Lexington Realty Trust | 99,500 | ||||||
40,100 | LTC Properties, Inc. | 813,228 | ||||||
1,900 | Mid-America Apartment Communities, Inc. | 70,604 | ||||||
21,000 | Mission West Properties, Inc. | 160,650 | ||||||
9,300 | Monmouth Real Estate Investment Corp. — Class A | 65,100 | ||||||
20,900 | National Health Investors, Inc. | 573,287 | ||||||
1,400 | Nationwide Health Properties, Inc. | 40,208 | ||||||
87,500 | OMEGA Healthcare Investors, Inc. | 1,397,375 | ||||||
4,200 | One Liberty Properties, Inc. | 36,960 | ||||||
30,304 | PS Business Parks, Inc. | 1,353,377 | ||||||
103,246 | Realty Income Corp.(8) | 2,390,144 | ||||||
5,400 | Saul Centers, Inc. | 213,300 | ||||||
46,500 | Senior Housing Properties Trust | 833,280 | ||||||
8,700 | Urstadt Biddle Properties — Class A | 138,591 | ||||||
243,140 | U-Store-It Trust | 1,081,973 | ||||||
16,774,538 | ||||||||
Registered Investment Companies — 0.6% | ||||||||
220,475 | Ares Capital Corp. | 1,395,606 | ||||||
8,700 | Harris & Harris Group, Inc.* | 34,365 | ||||||
15,010 | iShares Russell 2000 Growth Index Fund | 763,409 | ||||||
2,193,380 | ||||||||
Retail — 2.9% | ||||||||
23,300 | 99 Cents Only Stores* | 254,669 | ||||||
25,741 | Barnes & Noble, Inc. | 386,115 | ||||||
100,230 | Big Lots, Inc.*(8) | 1,452,333 | ||||||
16,963 | BJ’s Wholesale Club, Inc.* | 581,152 | ||||||
85,900 | Blockbuster, Inc. — Class A* | 108,234 | ||||||
13,700 | Build-A-Bear-Workshop, Inc.* | 66,582 | ||||||
83,825 | Casey’s General Stores, Inc. | 1,908,695 | ||||||
5,000 | Dillard’s, Inc. — Class A | 19,850 | ||||||
68,026 | EZCORP, Inc. — Class A* | 1,034,675 | ||||||
85,970 | FGX International Holdings, Ltd. (British Virgin Islands)* | 1,181,228 | ||||||
14,600 | Fuqi International, Inc. (China)* | 91,396 | ||||||
141,714 | Hibbett Sports, Inc.*(8) | 2,226,328 | ||||||
27,900 | Jo-Ann Stores, Inc.* | 432,171 | ||||||
42,230 | Lumber Liquidators, Inc.* | 445,949 | ||||||
1,700 | Overstock.com, Inc.* | 18,326 | ||||||
38,148 | PetMed Express, Inc.* | 672,549 | ||||||
15,900 | Sally Beauty Holdings, Inc.* | 90,471 | ||||||
21,700 | Systemax, Inc. | 233,709 | ||||||
3,500 | Tractor Supply Company* | 126,490 | ||||||
6,800 | Ulta Salon, Cosmetics & Fragrance, Inc.* | 56,304 |
160
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Retail (continued) | ||||||||
26,300 | Zale Corp.* | $ | 87,579 | |||||
11,474,805 | ||||||||
Retail: Restaurants — 1.6% | ||||||||
26,900 | AFC Enterprises, Inc.* | 126,161 | ||||||
69,355 | BJ’s Restaurants, Inc.*(8) | 746,953 | ||||||
8,700 | Bob Evans Farms, Inc. | 177,741 | ||||||
58,288 | CEC Entertainment, Inc.* | 1,413,484 | ||||||
8,960 | Chipotle Mexican Grill, Inc. — Class A* | 555,341 | ||||||
27,900 | Cracker Barrel Old Country Store, Inc. | 574,461 | ||||||
58,200 | Denny’s Corp.* | 115,818 | ||||||
66,400 | Krispy Kreme Doughnuts, Inc.* | 111,552 | ||||||
13,298 | Panera Bread Company — Class A*(8) | 694,688 | ||||||
143,526 | Sonic Corp.* | 1,746,711 | ||||||
6,262,910 | ||||||||
Rubber Products — 0.0% | ||||||||
4,400 | Myers Industries, Inc. | 35,200 | ||||||
Scientific and Technical Instruments — 0.2% | ||||||||
16,067 | Badger Meter, Inc. | 466,264 | ||||||
11,600 | Varian, Inc.* | 388,716 | ||||||
854,980 | ||||||||
Security Service and Devices — 0.0% | ||||||||
6,300 | Cogent, Inc.* | 85,491 | ||||||
Semiconductors — 2.0% | ||||||||
88,800 | Amkor Technology, Inc.* | 193,584 | ||||||
40,250 | Cavium Networks, Inc.*(8) | 423,028 | ||||||
73,600 | Cirrus Logic, Inc.* | 197,248 | ||||||
65,300 | Conexant Systems, Inc.* | 44,731 | ||||||
77,400 | Emulex Corp.* | 540,252 | ||||||
84,100 | Entegris, Inc.* | 184,179 | ||||||
72,100 | Integrated Device Technology, Inc.* | 404,481 | ||||||
49,700 | Integrated Silicon Solution, Inc.* | 81,011 | ||||||
72,200 | Lattice Semiconductor Corp.* | 109,022 | ||||||
92,026 | Microsemi Corp.*(8) | 1,163,208 | ||||||
21,210 | Netlogic Microsystems, Inc.* | 466,832 | ||||||
85,300 | PMC-Sierra, Inc.* | 414,558 | ||||||
47,100 | QLogic Corp.* | 633,024 | ||||||
20,700 | Semtech Corp.* | 233,289 | ||||||
117,200 | Silicon Image, Inc.* | 492,240 | ||||||
191,041 | Skyworks Solutions, Inc.* | 1,058,367 | ||||||
67,600 | Teradyne, Inc.* | 285,272 | ||||||
53,314 | Tessera Technologies, Inc.* | 633,370 | ||||||
37,600 | TriQuint Semiconductor, Inc.* | 129,344 | ||||||
7,687,040 | ||||||||
Sporting Goods and Equipment — 0.1% | ||||||||
49,600 | Callaway Golf Company | 460,784 | ||||||
21,000 | Nautilus Group, Inc. (The)* | 46,410 | ||||||
507,194 | ||||||||
Telecommunications Equipment and Services — 2.7% | ||||||||
48,200 | ADTRAN, Inc. | 717,216 | ||||||
2,200 | Anaren, Inc.* | 26,290 | ||||||
16,373 | Anixter International, Inc.* | 493,155 | ||||||
16,200 | Arris Group, Inc.* | 128,790 | ||||||
255,600 | Cincinnati Bell, Inc.* | 493,308 | ||||||
16,000 | ICO Global Communications (Holdings), Ltd.* | 18,080 | ||||||
69,200 | IDT Corp. — Class B* | 27,680 | ||||||
23,500 | InterDigital, Inc.* | 646,250 | ||||||
32,700 | Iowa Telecommunications Services, Inc. | 466,956 | ||||||
25,700 | JDS Uniphase Corp.* | 93,805 | ||||||
56,900 | Neutral Tandem, Inc.* | 922,918 | ||||||
35,083 | NTELOS Holdings Corp. | 865,147 | ||||||
19,800 | Plantronics, Inc. | 261,360 | ||||||
44,653 | Polycom, Inc.* | 603,262 | ||||||
127,050 | Premiere Global Services, Inc.* | 1,093,901 | ||||||
8,500 | RCN Corp.* | 50,150 | ||||||
10,700 | Shenandoah Telecommunications Company | 300,135 | ||||||
6,300 | Starent Networks Corp.*(8) | 75,159 | ||||||
126,490 | Syniverse Holdings, Inc.* | 1,510,290 | ||||||
33,000 | Tekelec* | 440,220 | ||||||
94,200 | USA Mobility, Inc.* | 1,089,894 | ||||||
94,900 | UTStarcom, Inc.* | 175,565 | ||||||
10,499,531 | ||||||||
Toys — 0.0% | ||||||||
4,600 | Marvel Entertainment, Inc.* | 141,450 | ||||||
Transportation — 1.8% | ||||||||
12,000 | American Commercial Lines, Inc.* | 58,800 | ||||||
79,600 | GATX Corp. | 2,465,211 | ||||||
46,762 | Genesee & Wyoming, Inc. — Class A* | 1,426,241 | ||||||
10,700 | Knightsbridge Tankers, Ltd. (Bermuda) | 156,755 | ||||||
3,400 | Marten Transport, Ltd.* | 64,464 | ||||||
28,975 | Old Dominion Freight Line, Inc.* | 824,629 |
161
(FORMERLY, SPECIAL EQUITY PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Transportation (continued) | ||||||||
7,000 | Overseas Shipholding Group, Inc. | $ | 294,770 | |||||
23,100 | Pacer International, Inc. | 240,933 | ||||||
158,569 | Vitran Corp., Inc. — Class A (Canada)* | 983,128 | ||||||
35,700 | Werner Enterprises, Inc. | 619,038 | ||||||
7,133,969 | ||||||||
Utilities — 3.5% | ||||||||
59,861 | Atmos Energy Corp. | 1,418,706 | ||||||
32,500 | Black Hills Corp. | 876,200 | ||||||
10,400 | El Paso Electric Company* | 188,136 | ||||||
1,400 | IDACORP, Inc. | 41,230 | ||||||
19,595 | ITC Holdings Corp. | 855,910 | ||||||
31,026 | New Jersey Resources Corp. | 1,220,873 | ||||||
22,400 | NorthWestern Corp. | 525,728 | ||||||
8,300 | Pike Electric Corp.* | 102,090 | ||||||
60,300 | Portland General Electric Company | 1,174,041 | ||||||
900 | UIL Holdings Corp. | 27,027 | ||||||
119,200 | Unisource Energy Corp. | 3,499,712 | ||||||
102,797 | Westar Energy, Inc. | 2,108,366 | ||||||
50,639 | WGL Holdings, Inc. | 1,655,389 | ||||||
13,693,408 | ||||||||
Total Common Stocks | ||||||||
(Cost $519,651,678) | 385,467,779 | |||||||
Warrants—0.0% | ||||||||
640 | Lantronix, Inc.*(14) (Cost $0) | — | ||||||
Rights—0.0% | ||||||||
Registered Investment Companies | ||||||||
2 | MCG Capital Corp.* (Cost $0) | 1 | ||||||
Principal | ||||||||
Short Term US Treasury Securities — 0.1% | ||||||||
US Treasury Bills | ||||||||
$ | 555,000 | 0.03%, 03/19/09(5) (Cost $554,964) | 554,964 | |||||
Securities Lending Collateral — 7.6% | ||||||||
29,536,670 | Securities Lending Collateral Investment (Note 4) (Cost $29,536,670) | 29,536,670 | ||||||
Total Securities (Cost $549,743,312) | 415,559,414 | |||||||
Repurchase Agreements — 0.7% | ||||||||
2,630,335 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $2,630,337 (Collateralized by various US Treasury Bills, 0.01% — 0.05%, due 01/02/09-05/14/09, with a total value of $2,686,470) (Cost $2,630,335) | 2,630,335 | ||||||
Total Investments — 107.3% (Cost $552,373,647) | 418,189,749 | |||||||
Liabilities less other assets — (7.3)% | (28,527,286 | ) | ||||||
Net Assets — 100.0% | $ | 389,662,463 | ||||||
Gross/Net unrealized depreciation (includes gross unrealized appreciation of $0) | $ | (159,969,487 | ) | |
162
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | |||||||
Common Stocks — 98.8% | ||||||||
Aerospace and Defense — 2.0% | ||||||||
15,183 | Aerovironment, Inc.*(8) | $ | 558,886 | |||||
28,651 | Curtiss — Wright Corp. | 956,658 | ||||||
17,696 | Esterline Technologies Corp.* | 670,501 | ||||||
20,100 | Teledyne Technologies, Inc.* | 895,455 | ||||||
3,081,500 | ||||||||
Airlines — 0.8% | ||||||||
284,400 | AirTran Holdings, Inc.* | 1,262,736 | ||||||
Apparel: Manufacturing and Retail — 5.8% | ||||||||
58,450 | Aeropostale, Inc.* | 941,045 | ||||||
45,851 | Brown Shoe Company, Inc. | 388,358 | ||||||
43,100 | Buckle, Inc. (The) | 940,442 | ||||||
40,100 | Children’s Place Retail Stores, Inc. (The)* | 869,368 | ||||||
85,100 | Dress Barn, Inc. (The)* | 913,974 | ||||||
123,900 | Foot Locker, Inc. | 909,426 | ||||||
43,500 | Gymboree Corp. (The)* | 1,134,915 | ||||||
20,200 | Jos A Bank Clothiers, Inc.*(8) | 528,230 | ||||||
78,800 | Maidenform Brands, Inc.* | 799,820 | ||||||
54,400 | Shoe Carnival, Inc.* | 519,520 | ||||||
39,878 | Wolverine World Wide, Inc. | 839,033 | ||||||
8,784,131 | ||||||||
Automobile: Retail — 0.3% | ||||||||
32,712 | America’s Car-Mart, Inc.* | 451,753 | ||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.7% | ||||||||
144,702 | Amerigon, Inc.* | 471,729 | ||||||
45,700 | ATC Technology Corp.* | 668,591 | ||||||
1,140,320 | ||||||||
Banks and Financial Services — 5.1% | ||||||||
57,008 | City Bank(8) | 296,442 | ||||||
65,400 | Encore Capital Group, Inc.* | 470,880 | ||||||
7,000 | First Citizens Bancshares, Inc. — Class A | 1,069,600 | ||||||
53,374 | Greene Bancshares, Inc.(8) | 722,684 | ||||||
99,300 | Heckman Corp.*(8) | 561,045 | ||||||
45,991 | Pacific Capital Bancorp | 776,328 | ||||||
13,749 | Pinnacle Financial Partners, Inc.* | 409,858 | ||||||
22,200 | Provident Financial Services, Inc. | 339,660 | ||||||
26,000 | Stifel Financial Corp.* | 1,192,099 | ||||||
62,547 | Texas Capital Bancshares, Inc.* | 835,628 | ||||||
45,497 | United Community Banks, Inc. — Georgia(8) | 617,844 | ||||||
27,927 | Whitney Holding Corp. | 446,553 | ||||||
7,738,621 | ||||||||
Business Services and Supplies — 4.0% | ||||||||
157,213 | CBIZ, Inc.* | 1,359,892 | ||||||
27,000 | CRA International, Inc.* | 727,110 | ||||||
27,100 | FTI Consulting, Inc.*(8) | 1,210,828 | ||||||
234,700 | Hackett Group, Inc.* | 685,324 | ||||||
20,100 | Huron Consulting Group, Inc.* | 1,151,127 | ||||||
77,857 | Kforce, Inc.* | 597,942 | ||||||
37,098 | TrueBlue, Inc.* | 355,028 | ||||||
6,087,251 | ||||||||
Chemicals — 1.2% | ||||||||
69,805 | ICO, Inc.* | 220,584 | ||||||
67,800 | Landec Corp.* | 446,124 | ||||||
49,400 | Sensient Technologies Corp. | 1,179,672 | ||||||
1,846,380 | ||||||||
Commercial Services — 0.6% | ||||||||
30,419 | Team, Inc.* | 842,606 | ||||||
Computer Equipment, Software and Services — 10.2% | ||||||||
20,991 | ACI Worldwide, Inc.* | 333,757 | ||||||
39,800 | ANSYS, Inc.* | 1,110,022 | ||||||
103,924 | Aspen Technology, Inc.* | 771,116 | ||||||
51,500 | Avocent Corp.* | 922,365 | ||||||
100,049 | Bluephoenix Solutions, Ltd. (Israel)* | 186,091 | ||||||
26,100 | CACI International, Inc. — Class A* | 1,176,849 | ||||||
63,179 | Compellent Technologies, Inc.* | 614,732 | ||||||
35,700 | Ebix, Inc.* | 853,230 | ||||||
94,530 | EPIQ Systems, Inc.*(8) | 1,579,597 | ||||||
68,098 | FalconStor Software, Inc.* | 189,312 | ||||||
57,681 | Integral Systems, Inc.* | 695,056 | ||||||
19,000 | ManTech International Corp. — Class A* | 1,029,610 | ||||||
116,891 | NetScout Systems, Inc.* | 1,007,600 | ||||||
108,554 | Radiant Systems, Inc.* | 365,827 | ||||||
173,500 | Soapstone Networks, Inc.* | 447,630 | ||||||
49,900 | Solera Holdings, Inc.* | 1,202,590 | ||||||
40,870 | Sybase, Inc.* | 1,012,350 | ||||||
38,200 | Synaptics, Inc.* | 632,592 | ||||||
52,600 | Ultimate Software Group, Inc. (The)* | 767,960 | ||||||
139,830 | Web.com Group, Inc.* | 511,778 | ||||||
15,410,064 | ||||||||
Construction Services and Supplies — 1.9% | ||||||||
76,100 | Beacon Roofing Supply, Inc.*(8) | 1,056,268 | ||||||
79,891 | Furmanite Corp.* | 430,612 | ||||||
44,474 | Integrated Electrical Services, Inc.* | 389,592 |
163
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Construction Services and Supplies (continued) | ||||||||
38,400 | Simpson Manufacturing Company, Inc.(8) | $ | 1,065,985 | |||||
2,942,457 | ||||||||
Consumer Goods and Services — 1.5% | ||||||||
10,733 | Chattem, Inc.*(8) | 767,731 | ||||||
33,300 | Helen of Troy, Ltd. (Bermuda)* | 578,088 | ||||||
87,700 | Jarden Corp.* | 1,008,550 | ||||||
2,354,369 | ||||||||
Containers and Packaging — 0.3% | ||||||||
9,400 | Silgan Holdings, Inc. | 449,414 | ||||||
Distribution — 0.6% | ||||||||
52,300 | Pool Corp.(8) | 939,831 | ||||||
Education — 1.4% | ||||||||
10,800 | Capella Education Company* | 634,608 | ||||||
62,300 | Career Education Corp.* | 1,117,662 | ||||||
139,300 | ChinaCast Education Corp.* | 356,608 | ||||||
2,108,878 | ||||||||
Electrical Equipment — 1.7% | ||||||||
711,875 | Capstone Turbine Corp.*(8) | 597,975 | ||||||
101,300 | Cogent, Inc.*(8) | 1,374,641 | ||||||
23,200 | Greatbatch, Inc.* | 613,872 | ||||||
2,586,488 | ||||||||
Electronics — 1.3% | ||||||||
23,600 | Diebold, Inc. | 662,924 | ||||||
58,000 | EnerSys* | 638,000 | ||||||
26,937 | NVE Corp.*(8) | 703,864 | ||||||
2,004,788 | ||||||||
Engineering — 1.7% | ||||||||
36,658 | EMCOR Group, Inc.* | 822,239 | ||||||
27,674 | Stanley, Inc.* | 1,002,352 | ||||||
18,500 | VSE Corp. | 725,755 | ||||||
2,550,346 | ||||||||
Entertainment, Leisure and Recreation — 0.3% | ||||||||
16,800 | Netflix, Inc.*(8) | 502,152 | ||||||
Environmental Waste Management and Recycling Services — 0.4% | ||||||||
10,800 | Clean Harbors, Inc.* | 685,152 | ||||||
Equipment Rental and Leasing — 0.9% | ||||||||
49,000 | Aaron Rents, Inc. | 1,304,380 | ||||||
Food and Beverage — 1.5% | ||||||||
7,230 | Central European Distribution Corp.* | 142,431 | ||||||
86,074 | Chiquita Brands International, Inc.*(8) | 1,272,174 | ||||||
33,700 | Flowers Foods, Inc. | 820,932 | ||||||
2,235,537 | ||||||||
Insurance — 1.4% | ||||||||
29,361 | FBL Financial Group, Inc. — Class A | 453,627 | ||||||
9,600 | Infinity Property & Casualty Corp. | 448,608 | ||||||
40,100 | IPC Holdings, Ltd. (Bermuda) | 1,198,990 | ||||||
2,101,225 | ||||||||
Internet Services — 5.4% | ||||||||
170,100 | Art Technology Group, Inc.* | 328,293 | ||||||
105,249 | CyberSource Corp.* | 1,261,936 | ||||||
155,824 | eResearchTechnology, Inc.* | 1,033,113 | ||||||
39,800 | F5 Networks, Inc.* | 909,828 | ||||||
151,500 | GigaMedia, Ltd. (Singapore)*(8) | 852,945 | ||||||
43,822 | Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)*(8) | 1,418,080 | ||||||
158,900 | TeleCommunications Systems, Inc. — Class A* | 1,364,951 | ||||||
70,300 | Websense, Inc.* | 1,052,391 | ||||||
8,221,537 | ||||||||
Machinery — 0.8% | ||||||||
45,304 | Chart Industries, Inc.* | 481,582 | ||||||
103,900 | Flow International Corp.* | 251,438 | ||||||
52,153 | PMFG, Inc.* | 498,582 | ||||||
1,231,602 | ||||||||
Manufacturing — 2.3% | ||||||||
18,600 | AptarGroup, Inc. | 655,464 | ||||||
33,500 | EnPro Industries, Inc.* | 721,590 | ||||||
126,100 | GrafTech International, Ltd.* | 1,049,152 | ||||||
30,980 | II-VI, Inc.* | 591,408 | ||||||
22,456 | Woodward Governor Company | 516,937 | ||||||
3,534,551 | ||||||||
Medical Equipment, Supplies, and Services — 11.8% | ||||||||
108,944 | American Medical Systems Holdings, Inc.* | 979,407 | ||||||
222,354 | Bruker BioSciences Corp.* | 898,310 | ||||||
109,512 | Celera Corp.* | 1,218,869 | ||||||
44,555 | Cross Country Healthcare, Inc.* | 391,638 | ||||||
94,548 | CryoLife, Inc.* | 918,061 | ||||||
19,800 | Emergency Medical Services Corp. — Class A* | 724,878 |
164
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Medical Equipment, Supplies, and Services (continued) | ||||||||
42,800 | Ensign Group, Inc. | $ | 716,472 | |||||
47,500 | ICON PLC (ADR) (Ireland)* | 935,275 | ||||||
49,600 | Immucor, Inc.* | 1,318,368 | ||||||
86,600 | inVentiv Health, Inc.* | 999,364 | ||||||
71,631 | IRIS International, Inc.* | 998,536 | ||||||
6,428 | LHC Group, Inc.* | 231,408 | ||||||
43,000 | Merit Medical Systems, Inc.* | 770,990 | ||||||
32,800 | Neogen Corp.* | 819,344 | ||||||
39,774 | Psychiatric Solutions, Inc.*(8) | 1,107,706 | ||||||
34,306 | RehabCare Group, Inc.* | 520,079 | ||||||
36,500 | STERIS Corp. | 871,985 | ||||||
17,831 | SurModics, Inc.*(8) | 450,589 | ||||||
73,391 | Synovis Life Technologies, Inc.* | 1,375,348 | ||||||
54,764 | US Physical Therapy, Inc.* | 730,004 | ||||||
56,400 | VNUS Medical Technologies* | 914,808 | ||||||
17,891,439 | ||||||||
Metals and Mining — 1.5% | ||||||||
55,900 | AK Steel Holding Corp. | 520,988 | ||||||
5,454 | Kaiser Aluminum Corp. | 122,824 | ||||||
25,600 | Olympic Steel, Inc. | 521,472 | ||||||
30,800 | Schnitzer Steel Industries, Inc. — Class A | 1,159,620 | ||||||
2,324,904 | ||||||||
Oil, Coal and Gas — 6.0% | ||||||||
39,863 | Arena Resources, Inc.* | 1,119,751 | ||||||
47,061 | Bill Barrett Corp.* | 994,399 | ||||||
211,132 | Cano Petroleum, Inc.* | 92,898 | ||||||
14,000 | Core Laboratories NV (the Netherlands) | 838,040 | ||||||
107,000 | EXCO Resources, Inc.* | 969,420 | ||||||
36,700 | Gulf Island Fabrication, Inc. | 528,847 | ||||||
117,953 | Hercules Offshore, Inc.* | 560,277 | ||||||
30,747 | Hornbeck Offshore Services, Inc.* | 502,406 | ||||||
49,208 | Natural Gas Services Group* | 498,477 | ||||||
206,791 | North American Energy Partners, Inc. (Canada)* | 690,682 | ||||||
39,600 | Oil States International, Inc.* | 740,124 | ||||||
65,800 | Parker Drilling Company* | 190,820 | ||||||
21,000 | Penn Virginia Corp. | 545,580 | ||||||
79,700 | PetroQuest Energy, Inc.* | 538,772 | ||||||
42,157 | T-3 Energy Services, Inc.* | 397,962 | ||||||
9,208,455 | ||||||||
Paper and Forest Products — 0.5% | ||||||||
24,500 | Rock-Tenn Company — Class A | 837,410 | ||||||
Pharmaceuticals/Research and Development — 5.0% | ||||||||
63,999 | Albany Molecular Research, Inc.* | 623,350 | ||||||
34,800 | Alexion Pharmaceuticals, Inc.* | 1,259,412 | ||||||
50,400 | Alnylam Pharmaceuticals, Inc.*(8) | 1,246,392 | ||||||
31,200 | Cubist Pharmaceuticals, Inc.* | 753,792 | ||||||
25,564 | Exponent, Inc.* | 768,965 | ||||||
34,900 | Medicines Company (The)* | 514,077 | ||||||
18,400 | Myriad Genetics, Inc.*(8) | 1,219,184 | ||||||
82,537 | Oculus Innovative Sciences, Inc.*(8) | 117,203 | ||||||
32,200 | Questcor Pharmaceuticals, Inc.* | 299,782 | ||||||
168,949 | VIVUS, Inc.* | 898,809 | ||||||
7,700,966 | ||||||||
Real Estate Investment Trusts — 0.5% | ||||||||
31,800 | BioMed Realty Trust, Inc. | 372,696 | ||||||
15,400 | Entertainment Properties Trust | 458,920 | ||||||
831,616 | ||||||||
Retail — 1.9% | ||||||||
60,000 | First Cash Financial Services, Inc.* | 1,143,600 | ||||||
36,700 | Pantry, Inc. (The)* | 787,215 | ||||||
53,500 | PetMed Express, Inc.* | 943,205 | ||||||
2,874,020 | ||||||||
Retail: Restaurants — 1.9% | ||||||||
30,200 | Bob Evans Farms, Inc. | 616,986 | ||||||
38,525 | Buffalo Wild Wings, Inc.*(8) | 988,166 | ||||||
45,700 | PF Chang’s China Bistro, Inc.* | 956,958 | ||||||
18,100 | Red Robin Gourmet Burgers, Inc.* | 304,623 | ||||||
2,866,733 | ||||||||
Semiconductors — 3.2% | ||||||||
125,320 | Advanced Analogic Technologies, Inc.* | 378,466 | ||||||
279,300 | ANADIGICS, Inc.* | 413,364 | ||||||
38,000 | Monolithic Power Systems, Inc.* | 479,180 | ||||||
210,400 | O2Micro International, Ltd. (ADR) (Cayman Islands)* | 412,384 | ||||||
185,700 | PMC-Sierra, Inc.* | 902,502 | ||||||
84,400 | Semtech Corp.* | 951,188 | ||||||
158,800 | Silicon Motion Technology Corp. (ADR) (Cayman Islands)*(8) | 363,652 | ||||||
51,700 | Techwell, Inc.* | 336,050 | ||||||
88,185 | Zoran Corp.* | 602,304 | ||||||
4,839,090 | ||||||||
165
(FORMERLY, SMALL-CAP GROWTH PORTFOLIO)
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | |||||||
Common Stocks (continued) | ||||||||
Semiconductors (continued) | ||||||||
Telecommunications Equipment and Services — 7.1% | ||||||||
50,400 | ADTRAN, Inc. | $ | 749,952 | |||||
25,020 | Comtech Telecommunications Corp.* | 1,146,416 | ||||||
30,062 | EMS Technologies, Inc.* | 777,704 | ||||||
19,278 | General Cable Corp.*(8) | 341,028 | ||||||
62,115 | GeoEye, Inc.*(8) | 1,194,471 | ||||||
116,100 | Globecomm Systems, Inc.* | 637,389 | ||||||
52,763 | NICE — Systems, Ltd. (ADR) (Israel)* | 1,185,585 | ||||||
72,200 | Oplink Communications, Inc.* | 620,920 | ||||||
107,800 | SeaChange International, Inc.* | 777,238 | ||||||
95,647 | Starent Networks Corp.*(8) | 1,141,069 | ||||||
96,500 | Syniverse Holdings, Inc.* | 1,152,210 | ||||||
76,700 | Tekelec* | 1,023,178 | ||||||
10,747,160 | ||||||||
Toys — 0.5% | ||||||||
38,100 | JAKKS Pacific, Inc.* | 786,003 | ||||||
Transportation — 4.3% | ||||||||
23,900 | Arkansas Best Corp.(8) | 719,629 | ||||||
114,363 | Celadon Group, Inc.* | 975,516 | ||||||
17,300 | DryShips, Inc. (Marshall Islands)(8) | 184,418 | ||||||
74,053 | Excel Maritime Carriers, Ltd. (Liberia)(8) | 521,333 | ||||||
18,600 | Genco Shipping & Trading, Ltd. (Marshall Islands)(8) | 275,280 | ||||||
61,500 | Heartland Express, Inc.(8) | 969,240 | ||||||
28,366 | Hub Group, Inc. — Class A* | 752,550 | ||||||
35,800 | Kansas City Southern* | 681,990 | ||||||
27,500 | Marten Transport, Ltd.* | 521,400 | ||||||
31,400 | Old Dominion Freight Line, Inc.* | 893,644 | ||||||
6,495,000 | ||||||||
Utilities — 0.5% | ||||||||
40,700 | Avista Corp. | 788,766 | ||||||
Total Common Stocks (Cost $200,448,438) | 150,589,631 | |||||||
Principal | Value | |||||||
Securities Lending Collateral—11.2% | ||||||||
$ | 17,132,330 | Securities Lending Collateral Investment (Note 4) (Cost $17,132,330) | $ | 17,132,330 | ||||
Total Investments — 110.0% (Cost $217,580,768) | 167,721,961 | |||||||
Liabilities less other assets — (10.0)% | (15,209,102 | ) | ||||||
Net Assets — 100.0% | $ | 152,512,859 | ||||||
Gross unrealized appreciation | $ | 1,680,789 | ||
Gross unrealized depreciation | (55,793,913 | ) | ||
Net unrealized depreciation | $ | (54,113,124 | ) | |
166
PORTFOLIO OF INVESTMENTS
December 31, 2008
Shares | Value | Country | ||||||||||
Common Stocks — 100.0% | ||||||||||||
Aerospace and Defense — 0.4% | ||||||||||||
77,952 | MTU Aero Engines Holding AG | $ | 2,156,323 | GER | ||||||||
210,174 | Saab AB-Class B | 1,967,111 | SWE | |||||||||
4,123,434 | ||||||||||||
Agriculture — 0.7% | ||||||||||||
4,889,144 | Chaoda Modern Agriculture (Holdings), Ltd. | 3,141,814 | CAY | |||||||||
64,000 | Potash Corp. of Saskatchewan, Inc. | 4,686,080 | CDA | |||||||||
7,827,894 | ||||||||||||
Airlines — 2.0% | ||||||||||||
2,009,000 | Air New Zealand, Ltd. | 1,128,815 | NZE | |||||||||
2,425,266 | easyJet PLC* | 9,970,171 | BRI | |||||||||
3,537,400 | Qantas Airways, Ltd. | 6,516,977 | AUS | |||||||||
612,671 | Singapore Airlines, Ltd. | 4,818,624 | SIN | |||||||||
22,434,587 | ||||||||||||
Apparel: Manufacturing and Retail — 0.9% | ||||||||||||
364,500 | Benetton Group SpA | 3,163,086 | ITA | |||||||||
53,230 | Hennes & Mauitz AB- Class B | 2,117,229 | SWE | |||||||||
65,655 | Industria de Diseno Textil SA | 2,923,676 | SPA | |||||||||
104,480 | Next PLC | 1,641,809 | BRI | |||||||||
26,000 | Onward Holdings Company, Ltd. | 207,238 | JPN | |||||||||
10,053,038 | ||||||||||||
Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.9% | ||||||||||||
329,200 | Alpine Electronics, Inc. | 2,642,585 | JPN | |||||||||
1,119,000 | Calsonic Kansei Corp. | 1,598,745 | JPN | |||||||||
244,600 | Daimler AG | 9,319,724 | GER | |||||||||
1,521,000 | Fuji Heavy Industries, Ltd. | 4,179,898 | JPN | |||||||||
10,200 | Georg Fischer AG | 2,354,136 | SWI | |||||||||
1,726,700 | GKN PLC | 2,404,144 | BRI | |||||||||
351,600 | Honda Motor Company, Ltd. | 7,488,619 | JPN | |||||||||
77,600 | Magna International, Inc. — Class A | 2,310,085 | CDA | |||||||||
1,664,300 | Nissan Motor Company, Ltd. | 5,987,538 | JPN | |||||||||
105,400 | PSA Peugeot Citroen SA | 1,801,991 | FRA | |||||||||
258,600 | Toyota Auto Body Company, Ltd. | 3,789,313 | JPN | |||||||||
249,400 | Toyota Motor Corp. | 8,244,747 | JPN | |||||||||
104,788 | Valeo SA | 1,561,025 | FRA | |||||||||
53,682,550 | ||||||||||||
Banks and Financial Services — 19.0% | ||||||||||||
772,498 | 3i Group PLC | 3,025,162 | BRI | |||||||||
2,240 | ACOM Company, Ltd. | 94,672 | JPN | |||||||||
424,800 | Allied Irish Banks PLC | 1,016,134 | IRE | |||||||||
239,500 | Alpha Bank AE | 2,240,672 | GRC | |||||||||
2,594,000 | Aozora Bank, Ltd. | 2,437,054 | JPN | |||||||||
279,900 | Banco Bilbao Vizcaya Argentaria SA | 3,468,071 | SPA | |||||||||
721,700 | Banco Espirito Santo SA | 6,721,767 | POR | |||||||||
1,553,900 | Banco Santander Central Hispano SA | 15,011,774 | SPA | |||||||||
178,533 | Banco Santander SA | 1,618,478 | SPA | |||||||||
252,300 | Bank of Montreal | 6,386,695 | CDA | |||||||||
2,469,900 | Barclays PLC | 5,613,801 | BRI | |||||||||
185,900 | BNP Paribas SA | 8,024,287 | FRA | |||||||||
244,800 | Canadian Imperial Bank of Commerce | 10,131,092 | CDA | |||||||||
1,218,000 | Chiba Bank, Ltd. (The) | 7,617,184 | JPN | |||||||||
1,236,500 | China Merchants Bank Company, Ltd. — Class H | 2,313,582 | CHN | |||||||||
171,900 | Commerzbank AG | 1,633,243 | GER | |||||||||
440,100 | Credit Agricole SA | 4,943,266 | FRA | |||||||||
130,100 | Credit Suisse Group | 3,645,997 | SWI | |||||||||
288,500 | Danske Bank A/S | 2,906,348 | DEN | |||||||||
84,100 | Deutsche Bank AG | 3,325,841 | GER | |||||||||
190,500 | Dexia | 863,694 | BEL | |||||||||
956,400 | DNB NOR ASA | 3,794,653 | NOR | |||||||||
1,467,106 | HBOS PLC | 1,518,708 | BRI | |||||||||
398,100 | Hitachi Capital Corp. | 4,980,343 | JPN | |||||||||
2,311,000 | Industrial and Commercial Bank of China, Ltd. | 2,488,306 | HNG | |||||||||
1,082,900 | Intesa Sanpaolo | 3,933,843 | ITA | |||||||||
319,800 | Irish Life & Permanent PLC | 700,408 | IRE | |||||||||
166,039 | Julius Baer Holding AG | 6,435,226 | SWI | |||||||||
202,900 | Laurentian Bank of Canada | 5,670,352 | CDA |
167
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | Country | ||||||||||
Common Stocks (continued) | ||||||||||||
Banks and Financial Services (continued) | ||||||||||||
1,895,100 | Lloyds TSB Group PLC | $ | 3,586,891 | BRI | ||||||||
129,000 | Macquarie Group, Ltd. | 2,618,102 | AUS | |||||||||
2,050 | Mizuho Financial Group, Inc.(20) | 5,827,744 | JPN | |||||||||
147,907 | Muenchener Rueckversicherungs-Gesellschaft AG | 22,962,258 | GER | |||||||||
246,000 | National Australia Bank, Ltd. | 3,616,610 | AUS | |||||||||
230,600 | National Bank of Canada | 5,846,723 | CDA | |||||||||
382,200 | Nomura Holdings, Inc. | 3,182,321 | JPN | |||||||||
435,900 | Nordea Bank AB | 3,106,959 | SWE | |||||||||
56,200 | SFCG Company, Ltd. | 2,479,232 | JPN | |||||||||
515,700 | SNS Reaal | 2,834,500 | NET | |||||||||
84,200 | Societe Generale | 4,271,719 | FRA | |||||||||
567,682 | Standard Chartered PLC | 7,264,076 | BRI | |||||||||
185,000 | Sumitomo Trust and Banking Company, Ltd. (The) | 1,093,581 | JPN | |||||||||
119,100 | Sun Life Financial, Inc. | 2,743,786 | CDA | |||||||||
579,293 | Suncorp-Metway, Ltd. | 3,414,535 | AUS | |||||||||
228,878 | Svenska Handelsbanken AB — Class A | 3,784,781 | SWE | |||||||||
182,300 | Swedbank AB — Class A | 1,076,791 | SWE | |||||||||
546,860 | UBS AG* | 7,956,461 | SWI | |||||||||
210,227,723 | ||||||||||||
Broadcast Services/Media — 1.8% | ||||||||||||
140,500 | Rogers Communications, Inc. — Class B | 4,164,354 | CDA | |||||||||
466,259 | Vivendi Universal SA | 15,197,277 | FRA | |||||||||
19,361,631 | ||||||||||||
Business Services and Supplies — 1.7% | ||||||||||||
897,203 | Capita Group PLC | 9,624,236 | BRI | |||||||||
1,396,000 | Marubeni Corp. | 5,344,668 | JPN | |||||||||
1,275,222 | Michael Page International PLC | 4,007,369 | BRI | |||||||||
18,976,273 | ||||||||||||
Chemicals — 1.3% | ||||||||||||
321,000 | ADEKA Corp. | 2,366,936 | JPN | |||||||||
6,140 | Arkema | 105,813 | FRA | |||||||||
82,000 | Kaneka Corp. | 523,793 | JPN | |||||||||
264,800 | Methanex Corp. | 2,938,647 | CDA | |||||||||
601,000 | Nippon Shokubai Company, Ltd. | 4,631,316 | JPN | |||||||||
171,800 | Nova Chemicals Corp. | 814,119 | CDA | |||||||||
708,500 | Sumitomo Bakelite Company, Ltd. | 2,859,846 | JPN | |||||||||
14,240,470 | ||||||||||||
Computer Equipment, Software and Services — 0.7% | ||||||||||||
560,712 | Autonomy Corp. PLC* | 7,802,376 | BRI | |||||||||
Construction Services and Supplies — 1.5% | ||||||||||||
8,800 | Cementos Portland Valderrivas SA | 304,256 | SPA | |||||||||
3,358,000 | China Communications Construction Company, Ltd. — Class H | 4,195,724 | CHN | |||||||||
15,600 | Ciments Francais SA | 1,319,555 | FRA | |||||||||
84,600 | Compagnie Generale de Geophysique Veritas (CGG — Veritas) | 3,997,374 | FRA | |||||||||
43,500 | Lafarge SA | 2,660,526 | FRA | |||||||||
91,000 | Maeda Road Construction Company, Ltd. | 911,320 | JPN | |||||||||
910,000 | Sanwa Shutter Corp. | 3,500,083 | JPN | |||||||||
16,888,838 | ||||||||||||
Consumer Goods and Services — 2.2% | ||||||||||||
244,576 | British American Tobacco PLC | 6,380,210 | BRI | |||||||||
302,100 | Electrolux AB — Series B | 2,643,396 | SWE | |||||||||
120,534 | Reckitt Benckiser Group PLC | 4,516,517 | BRI | |||||||||
289,755 | Swedish Match AB | 4,183,147 | SWE | |||||||||
80,400 | Unicharm Corp. | 6,048,629 | JPN | |||||||||
23,771,899 | ||||||||||||
Containers and Packaging — 0.1% | ||||||||||||
153,784 | Amcor, Ltd. | 624,949 | AUS | |||||||||
Diversified Operations and Services — 1.9% | ||||||||||||
257,200 | BASF AG | 9,993,172 | GER | |||||||||
318,000 | Mitsubishi Corp. | 4,504,171 | JPN | |||||||||
697,500 | Sumitomo Corp. | 6,186,324 | JPN | |||||||||
20,683,667 | ||||||||||||
168
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | Country | ||||||||||
Common Stocks (continued) | ||||||||||||
Electronics — 1.0% | ||||||||||||
210,886 | ABB, Ltd. | $ | 3,216,042 | SWI | ||||||||
387,500 | Omron Corp. | 5,206,394 | JPN | |||||||||
810,100 | Toshiba Tec Corp. | 2,442,188 | JPN | |||||||||
10,864,624 | ||||||||||||
Energy Services — 0.6% | ||||||||||||
59,000 | LDK Solar Company, Ltd. (ADR)* | 774,080 | CHN | |||||||||
91,083 | Vestas Wind Systems A/S* | 5,359,942 | DEN | |||||||||
6,134,022 | ||||||||||||
Engineering — 0.1% | ||||||||||||
494,000 | Downer EDI, Ltd. | 1,325,570 | AUS | |||||||||
Food and Beverage — 2.2% | ||||||||||||
1,772 | Barry Callebaut AG | 1,160,076 | SWI | |||||||||
508,600 | Cadbury PLC | 4,494,211 | BRI | |||||||||
64,100 | East Asiatic Company, Ltd. | 2,182,635 | DEN | |||||||||
489,600 | Foster’s Group, Ltd. | 1,883,041 | AUS | |||||||||
280,500 | Greene King PLC | 1,612,338 | BRI | |||||||||
184,958 | Nestle SA | 7,323,993 | SWI | |||||||||
1,537,300 | Northern Foods PLC | 1,268,639 | BRI | |||||||||
799,400 | Tate & Lyle PLC | 4,657,851 | BRI | |||||||||
24,582,784 | ||||||||||||
Insurance — 6.1% | ||||||||||||
58,555 | Allianz SE | 6,230,300 | GER | |||||||||
697,500 | Amlin PLC | 3,625,536 | BRI | |||||||||
730,700 | Aviva PLC | 4,140,499 | BRI | |||||||||
19,500 | Fairfax Financial Holdings, Ltd. | 6,160,389 | CDA | |||||||||
1,939,300 | Friends Provident PLC | 2,478,863 | BRI | |||||||||
564,500 | ING Groep NV | 6,212,856 | NET | |||||||||
1,003,300 | Milano Assicurazioni SpA | 3,150,940 | ITA | |||||||||
4,176,300 | Old Mutual PLC | 3,356,670 | BRI | |||||||||
2,049,500 | Royal & Sun Alliance Insurance Group PLC | 4,084,071 | BRI | |||||||||
311,100 | SCOR SE | 7,187,489 | FRA | |||||||||
94,700 | Swiss Re | 4,637,043 | SWI | |||||||||
71,400 | Zurich Financial Services AG | 15,599,542 | SWI | |||||||||
66,864,198 | ||||||||||||
Internet Services — 0.9% | ||||||||||||
91,300 | Ctrip.com International, Ltd. (ADR) | 2,172,940 | CAY | |||||||||
54,884 | Metro AG | 2,182,658 | GER | |||||||||
12,550 | Yahoo! Japan Corp. | 5,149,442 | JPN | |||||||||
9,505,040 | ||||||||||||
Machinery — 0.6% | ||||||||||||
135,700 | Heidelberger Druckmaschinen AG | 1,216,277 | GER | |||||||||
192,500 | Komatsu, Ltd. | 2,455,629 | JPN | |||||||||
15,900 | Rieter Holding AG | 2,605,071 | SWI | |||||||||
6,276,977 | ||||||||||||
Manufacturing — 1.9% | ||||||||||||
914,000 | Asahi Glass Company, Ltd. | 5,210,080 | JPN | |||||||||
2,080,680 | Hansen Transmissions* | 3,446,588 | BEL | |||||||||
1,126,300 | IMI PLC | 4,473,693 | BRI | |||||||||
704,000 | Kurabo Industries, Ltd. | 1,175,003 | JPN | |||||||||
24,340 | Siemens AG | 1,832,400 | GER | |||||||||
1,155,936 | Tomkins PLC | 2,081,210 | BRI | |||||||||
350,300 | Trelleborg AB — Class B | 2,225,872 | SWE | |||||||||
20,444,846 | ||||||||||||
Medical Equipment, Supplies, and Services — 0.7% | ||||||||||||
94,827 | Fresenius Medical Care AG & Company | 4,359,367 | GER | |||||||||
30,160 | Synthes, Inc. | 3,824,468 | SWI | |||||||||
8,183,835 | ||||||||||||
Metals and Mining — 4.2% | ||||||||||||
248,676 | Anglo American PLC | 5,803,375 | BRI | |||||||||
229,900 | Barrick Gold Corp. | 8,453,422 | CDA | |||||||||
412,617 | BHP Billiton PLC | 8,002,941 | BRI | |||||||||
646,100 | BlueScope Steel, Ltd. | 1,587,402 | AUS | |||||||||
326,600 | Companhia Vale do Rio Doce (ADR) | 3,955,126 | BRA | |||||||||
1,202,100 | Minara Resources, Ltd. | 241,976 | AUS | |||||||||
37,300 | Norddeutsche Affinerie AG | 1,468,413 | GER | |||||||||
80,200 | Rautaruukki Oyj | 1,400,725 | FIN | |||||||||
60,461 | Salzgitter AG | 4,698,741 | GER | |||||||||
302,400 | ThyssenKrupp AG | 8,418,245 | GER | |||||||||
94,700 | voestalpine AG | 2,045,987 | AST | |||||||||
46,076,353 | ||||||||||||
Office Equipment, Supplies, and Services — 1.4% | ||||||||||||
409,000 | Brother Industries, Ltd. | 2,439,965 | JPN |
169
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | Country | ||||||||||
Common Stocks (continued) | ||||||||||||
Office Equipment, Supplies, and Services (continued) | ||||||||||||
26,592 | Neopost SA | $ | 2,412,915 | FRA | ||||||||
193,900 | Oce NV | 856,567 | NET | |||||||||
655,000 | Ricoh Company, Ltd. | 8,394,953 | JPN | |||||||||
3,314,500 | TPV Technology, Ltd. | 1,077,953 | HNG | |||||||||
15,182,353 | ||||||||||||
Oil, Coal and Gas — 13.5% | ||||||||||||
194,430 | BG Group PLC | 2,691,215 | BRI | |||||||||
2,760,581 | BP PLC | 21,310,098 | BRI | |||||||||
124,900 | Canadian Natural Resources, Ltd. | 4,932,260 | CDA | |||||||||
1,420,200 | Cosmo Oil Company, Ltd. | 4,421,265 | JPN | |||||||||
73,700 | EnCana Corp. | 3,400,528 | CDA | |||||||||
822,300 | Eni SpA | 19,787,567 | ITA | |||||||||
987,100 | Nippon Oil Corp. | 5,004,957 | JPN | |||||||||
174,800 | Norsk Hydro ASA | 712,206 | NOR | |||||||||
139,900 | Petro-Canada | 3,028,050 | CDA | |||||||||
211,300 | Petroleo Brasileiro SA — Petrobras (ADR) | 5,174,737 | BRA | |||||||||
415,600 | Repsol YPF SA | 8,873,149 | SPA | |||||||||
363,460 | Royal Dutch Shell PLC — Class A | 9,549,205 | NET | |||||||||
835,800 | Royal Dutch Shell PLC — Class B | 21,186,195 | NET | |||||||||
196,350 | Seadrill, Ltd. | 1,600,253 | BER | |||||||||
735,500 | Showa Shell Sekiyu KK | 7,288,758 | JPN | |||||||||
150,712 | StatoilHydro ASA | 2,520,627 | NOR | |||||||||
254,900 | Suncor Energy, Inc. | 4,897,714 | CDA | |||||||||
414,378 | Total SA | 22,782,186 | FRA | |||||||||
149,160,970 | ||||||||||||
Pharmaceuticals/Research and Development — 11.6% | ||||||||||||
72,271 | Actelion, Ltd.* | 4,088,480 | SWI | |||||||||
70,700 | Astellas Pharma, Inc. | 2,893,914 | JPN | |||||||||
772,252 | AstraZeneca PLC | 31,593,113 | BRI | |||||||||
338,900 | Biovail Corp. | 3,168,008 | CDA | |||||||||
154,707 | CSL, Ltd. | 3,648,279 | AUS | |||||||||
74,000 | Eisai Company, Ltd. | 3,087,990 | JPN | |||||||||
285,300 | GlaxoSmithKline PLC | 5,305,930 | BRI | |||||||||
205,876 | H Lundbeck A/S | 4,305,766 | DEN | |||||||||
324,400 | Recordati SpA | 1,780,737 | ITA | |||||||||
63,308 | Roche Holding AG | 9,801,162 | SWI | |||||||||
47,503 | Sanofi-Aventis | 3,010,218 | FRA | |||||||||
465,445 | Sanofi-Aventis | 29,771,374 | FRA | |||||||||
246,972 | Shire PLC | 3,637,886 | JER | |||||||||
6,204,100 | Sigma Pharmaceuticals, Ltd. | 4,689,584 | AUS | |||||||||
67,900 | Takeda Pharmaceutical Company, Ltd. | 3,539,105 | JPN | |||||||||
318,100 | Teva Pharmaceutical Industries, Ltd. (ADR) | 13,541,517 | ISR | |||||||||
127,863,063 | ||||||||||||
Real Estate Development and Services — 0.4% | ||||||||||||
234,000 | Mitsui Fudosan Company, Ltd. | 3,901,304 | JPN | |||||||||
Retail — 0.7% | ||||||||||||
308,300 | Circle K Sunkus Company, Ltd. | 5,577,718 | JPN | |||||||||
249,468 | JJB Sports PLC | 14,799 | BRI | |||||||||
27,243 | PPR | 1,783,746 | FRA | |||||||||
4,729 | Valora Holding AG | 692,547 | SWI | |||||||||
8,068,810 | ||||||||||||
Retail: Restaurants — 0.2% | ||||||||||||
112,200 | Plenus Company, Ltd. | 2,020,454 | JPN | |||||||||
Retail: Supermarkets — 1.6% | ||||||||||||
1,472,061 | J Sainsbury PLC | 7,024,696 | BRI | |||||||||
304,639 | Koninklijke Ahold NV | 3,754,044 | NET | |||||||||
1,768,147 | William Morrison Supermarkets PLC | 7,166,905 | BRI | |||||||||
17,945,645 | ||||||||||||
Rubber Products — 0.0% | ||||||||||||
75,000 | Zeon Corp. | 256,748 | JPN | |||||||||
Semiconductors — 0.8% | ||||||||||||
4,478,084 | ARM Holdings PLC | 5,669,167 | BRI | |||||||||
195,609 | ASML Holding NV | 3,526,278 | NET | |||||||||
9,195,445 | ||||||||||||
Telecommunications Equipment and Services — 9.1% | ||||||||||||
4,188,000 | BT Group PLC | 8,422,500 | BRI | |||||||||
389,500 | China Mobile, Ltd. | 3,951,912 | HNG | |||||||||
265,098 | Deutsche Telekom AG | 4,008,102 | GER | |||||||||
151,951 | Elcoteq Network Corp. — Class A* | 261,212 | FIN | |||||||||
337,313 | France Telecom SA | 9,401,832 | FRA | |||||||||
608,577 | Koninklijke (Royal) KPN NV | 8,847,772 | NET |
170
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Shares | Value | Country | ||||||||||
Common Stocks (continued) | ||||||||||||
Telecommunications Equipment and Services (continued) | ||||||||||||
1,588,500 | MobileOne, Ltd. | $ | 1,640,054 | SIN | ||||||||
2,324 | Nippon Telegraph and Telephone Corp. | 11,998,147 | JPN | |||||||||
6,913 | NTT DoCoMo, Inc. | 13,606,969 | JPN | |||||||||
232,300 | Portugal Telecom SGPS SA | 1,987,987 | POR | |||||||||
109,480 | Research In Motion, Ltd.* | 4,442,698 | CDA | |||||||||
515,900 | Softbank Corp. | 9,369,358 | JPN | |||||||||
11,000 | Swisscom AG | 3,568,233 | SWI | |||||||||
267,169 | Telefonica SA | 6,030,460 | SPA | |||||||||
5,201,474 | Vodafone Group PLC | 10,650,795 | BRI | |||||||||
395,600 | VTech Holdings, Ltd. | 1,675,928 | BER | |||||||||
99,863,959 | ||||||||||||
Toys — 0.8% | ||||||||||||
23,700 | Nintendo Company, Ltd. | 9,056,995 | JPN | |||||||||
Transportation — 0.9% | ||||||||||||
567 | East Japan Railway Company(20) | 4,309,575 | JPN | |||||||||
2,535,000 | Neptune Orient Lines, Ltd. | 1,992,119 | SIN | |||||||||
1,367,100 | Orient Overseas International, Ltd. | 3,065,432 | BER | |||||||||
9,367,126 | ||||||||||||
Utilities — 1.6% | ||||||||||||
73,100 | ATCO, Ltd. — Class I | 2,250,142 | CDA | |||||||||
212,000 | E.ON AG | 8,324,654 | GER | |||||||||
643,700 | Enel SpA | 4,146,460 | ITA | |||||||||
81,566 | Fortum Oyj | 1,772,865 | FIN | |||||||||
43,116 | Veolia Environment | 1,360,006 | FRA | |||||||||
17,854,127 | ||||||||||||
Total Common Stocks (Cost $1,526,871,660) | 1,100,694,577 | |||||||||||
Rights — 0.0% | ||||||||||||
Banks and Financial Services | ||||||||||||
2,030,326 | HBOS PLC* | — | BRI | |||||||||
823,799 | Lloyds TSB Group PLC* | — | BRI | |||||||||
Total Rights (Cost $0) | — | |||||||||||
Total Securities (Cost $1,526,871,660) | 1,100,694,577 | |||||||||||
Principal | ||||||||||||
Repurchase Agreements — 1.1% | ||||||||||||
$ | 11,897,953 | With State Street Bank and Trust, dated 12/31/08, 0.01%, due 01/02/09, repurchase proceeds at maturity $11,897,960 (Collateralized by US Treasury Bill, 0.01%, due 01/02/09, with a value of $12,187,800) (Cost $11,897,953) | 11,897,953 | USA | ||||||||
Total Investments — 101.1% (Cost $1,538,769,613) | 1,112,592,530 | |||||||||||
Liabilities less other assets — (1.1)% | (12,532,886 | ) | ||||||||||
Net Assets — 100.0% | $ | 1,100,059,644 | ||||||||||
Gross unrealized appreciation | $ | 5,531,768 | ||
Gross unrealized depreciation | (469,207,529 | ) | ||
Net unrealized depreciation | $ | (463,675,761 | ) | |
171
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2008
Percent of Total | ||||
Country Composition | Investments at Value | |||
Australia (AUS) | 2.71 | % | ||
Austria (AST) | 0.18 | |||
Belgium (BEL) | 0.39 | |||
Bermuda (BER) | 0.67 | |||
Brazil (BRA) | 0.82 | |||
Canada (CDA) | 7.77 | |||
Cayman Islands (CAY) | 0.48 | |||
China (CHN) | 0.65 | |||
Denmark (DEN) | 1.33 | |||
Finland (FIN) | 0.31 | |||
France (FRA) | 10.93 | |||
Germany (GER) | 8.28 | |||
Greece (GRC) | 0.20 | |||
Hong Kong (HNG) | 0.58 | |||
Ireland (IRE) | 0.15 | |||
Israel (ISR) | 1.22 | |||
Italy (ITA) | 3.23 | |||
Japan (JPN) | 19.55 | |||
Jersey, Channel Islands (JER) | 0.33 | |||
New Zealand (NZE) | 0.10 | |||
Norway (NOR) | 0.63 | |||
Portugal (POR) | 0.78 | |||
Singapore (SIN) | 0.76 | |||
Spain (SPA) | 3.44 | |||
Sweden (SWE) | 1.90 | |||
Switzerland (SWI) | 6.91 | |||
The Netherlands (NET) | 3.20 | |||
United Kingdom (BRI) | 21.43 | |||
United States (USA) | 1.07 | |||
Total Percentage | 100.00 | % | ||
172
PORTFOLIO OF INVESTMENTS (Continued)
SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS
December 31, 2008
Footnotes: | ||
* | Non-income producing security. | |
144A | Securities are registered pursuant to Rule 144A of the Securities Act of 1933. These securities are deemed to be liquid for purposes of compliance limitations on holdings of illiquid securities and may be resold as transactions exempt from registration, normally to qualified institutional buyers. |
1) | Variable rate security. The rate shown was in effect at December 31, 2008. | |
2) | Quarterly reset provision. The rate shown was in effect at December 31, 2008. | |
3) | Monthly reset provision. The rate shown was in effect at December 31, 2008. | |
4) | Security is segregated as collateral for written options. | |
5) | Security is segregated as initial margin for futures contracts. | |
6) | Security is segregated as collateral for swap contracts and/or for swaptions. | |
7) | Represents a zero coupon bond which will convert to an interest bearing security at a later date. | |
8) | All or part of this security is on loan. | |
9) | Bond is in default. | |
10) | Variable rate security. Interest rate is based on the credit rating of the issuer. The rate shown was in effect at December 31, 2008. Not applicable. | |
11) | Floating rate security. The interest rate is subject to change semi-annually based on the London Interbank Offered Rate (“LIBOR”). The rate shown was in effect at December 31, 2008. | |
12) | PIK (“Payment-In-Kind”) bond. These bonds pay interest in the form of additional bonds. | |
13) | Security was in bankruptcy reorganization at the time of maturity. Recovery will be determined at the conclusion of the bankruptcy. | |
14) | Fair valued at December 31, 2008. | |
Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at December 31, 2008. |
Series | Market Value | Percentage | ||||||
Total Return Bond | $ | 1,965,661 | 0.65 | % | ||||
High Yield Bond | 4,021,234 | 0.91 | ||||||
Balanced | 937,783 | 0.56 | ||||||
Value | 3,974 | 0.01 | ||||||
Small Core | — | — |
International Equity — | ||
The value and percentage based upon Portfolio net assets of the investments that apply the fair valuation policy as described in note 2A of the Notes to Financial Statements are $853,954,445 and 77.63%, respectively. | ||
15) | Principal amount for this security is denominated in British Pound Sterling. | |
16) | Principal amount for this security is denominated in Euros. | |
17) | Principal amount for this security is denominated in Japanese Yen. | |
18) | Principal amount for this security is denominated in New Zealand Dollars. Not applicable. | |
19) | Principal amount for this security is denominated in Mexican Pesos. | |
20) | Security has been deemed illiquid pursuant to procedures approved by the Advisor and may be difficult to sell. |
Abbreviations: | ||
ADR | American Depository Receipt. | |
HB | High Coupon Bonds (a.k.a. “IO-ettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit (REMIC) trust and allocating them to the small principal of the HB class. | |
IO | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities generally exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
173
PORTFOLIO OF INVESTMENTS (Continued)
SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS (Continued)
December 31, 2008
Abbreviations: | ||
REG S | Security is sold under Regulation S of the Securities Act of 1933, which governs offers and sales outside the US without registration under the Securities Act of 1933. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees. | |
TBA | To be announced. Securities are purchased on a forward commitment basis with approximate principal amount and general stated maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
• Securities issued by companies registered outside the United States are denoted with their domestic country in parenthesis except the International Equity Portfolio. | ||
• Securities designated as Supra National jurisdictions are represented by an international organization, or union, whereby member states transcend national boundaries or interests to share in the decision-making and vote on issues pertaining to the wider grouping. | ||
• Fixed income securities designated as “perpetual” are securities that make (or are scheduled to make) a steady payment of interest. They do not have a maturity date, and the interest payments are indefinite. | ||
• Footnotes and abbreviations may or may not appear in each portfolio of investments. |
174
PORTFOLIO COMPOSITION
December 31, 2008
Money Market | ||||
Commercial Paper | 33.1 | % | ||
Yankee Certificates of Deposit | 26.5 | |||
Short Term US Government Agency Securities | 22.9 | |||
Repurchase Agreements/Cash Equivalents | 9.5 | |||
Short Term Corporate Notes | 4.9 | |||
Domestic Certificates of Deposit | 3.0 | |||
Other assets less liabilities | 0.1 | |||
100.0 | % | |||
High Quality Bond | ||||
Corporate Bonds and Notes | 64.5 | % | ||
US Government Agency Securities | 26.5 | |||
US Treasury Securities | 3.9 | |||
Securities Lending Collateral | 2.5 | |||
Short Term US Government Agency Securities | 2.4 | |||
Municipal Bonds | 1.5 | |||
Repurchase Agreements/Cash Equivalents | 0.5 | |||
Liabilities less other assets | (1.8 | ) | ||
100.0 | % | |||
Inflation-Protected Securities | ||||
US Treasury Securities | 88.6 | % | ||
Repurchase Agreements/Cash Equivalents | 4.5 | |||
Corporate Bonds and Notes | 3.0 | |||
US Government Agency Securities | 2.7 | |||
Purchased Put Options | 0.0 | * | ||
Other assets less liabilities | 1.2 | |||
100.0 | % | |||
Core Bond | ||||
US Government Agency Securities | 65.7 | % | ||
Corporate Bonds and Notes | 48.2 | |||
Preferred Corporate Bonds and Notes | 3.2 | |||
Foreign Government Obligations | 2.4 | |||
US Treasury Securities | 2.4 | |||
Repurchase Agreements/Cash Equivalents | 0.5 | |||
Securities Lending Collateral | 0.1 | |||
Purchased Put Options | 0.0 | * | ||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.6 | ) | ||
Securities Sold Short | (15.0 | ) | ||
Liabilities less other assets | (6.9 | ) | ||
100.0 | % | |||
Total Return Bond | ||||
US Government Agency Securities | 58.7 | % | ||
Corporate Bonds and Notes | 52.4 | |||
Short Term US Government Agency Securities | 6.9 | |||
US Treasury Securities | 3.7 | |||
Repurchase Agreements/Cash Equivalents | 2.8 | |||
Preferred Corporate Bonds and Notes | 0.9 | |||
Foreign Government Obligations | 0.4 | |||
Municipal Bonds | 0.2 | |||
Securities Lending Collateral | 0.2 | |||
Preferred Stocks | 0.0 | * | ||
Convertible Bonds | 0.0 | * | ||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.6 | ) | ||
Liabilities less other assets | (25.6 | ) | ||
100.0 | % | |||
High Yield Bond | ||||
Corporate Bonds and Notes | 82.4 | % | ||
Repurchase Agreements/Cash Equivalents | 8.9 | |||
Loan Participations | 4.9 | |||
Convertible Preferred Stocks | 0.4 | |||
Convertible Bonds | 0.3 | |||
Common Stocks | 0.2 | |||
Preferred Stocks | 0.2 | |||
Other assets less liabilities | 2.7 | |||
100.0 | % | |||
Balanced | ||||
Common Stocks | 56.6 | % | ||
Corporate Bonds and Notes | 27.8 | |||
US Government Agency Securities | 19.0 | |||
Repurchase Agreements/Cash Equivalents | 2.2 | |||
Securities Lending Collateral | 1.1 | |||
Municipal Bonds | 0.6 | |||
Preferred Corporate Bonds and Notes | 0.4 | |||
Foreign Government Obligations | 0.3 | |||
US Treasury Securities | 0.1 | |||
Convertible Bonds | 0.0 | * | ||
Preferred Stocks | 0.0 | * | ||
Put Options Written | (0.0 | )* | ||
Call Options Written | (0.3 | ) | ||
Liabilities less other assets | (7.8 | ) | ||
100.0 | % | |||
175
PORTFOLIO COMPOSITION (Continued)
December 31, 2008
Large Value (formerly, Value & Income) | ||||
Common Stocks | 99.0 | % | ||
Repurchase Agreements/Cash Equivalents | 0.8 | |||
Other assets less liabilities | 0.2 | |||
100.0 | % | |||
Value | ||||
Common Stocks | 98.9 | % | ||
Securities Lending Collateral | 4.3 | |||
Repurchase Agreements/Cash Equivalents | 2.1 | |||
Preferred Stocks | 0.0 | * | ||
Liabilities less other assets | (5.3 | ) | ||
100.0 | % | |||
Large Core (formerly, Growth & Income) | ||||
Common Stocks | 95.9 | % | ||
Securities Lending Collateral | 1.4 | |||
Repurchase Agreements/Cash Equivalents | 0.5 | |||
Other assets less liabilities | 2.2 | |||
100.0 | % | |||
Large Growth (formerly, Equity Growth) | ||||
Common Stocks | 98.7 | % | ||
Securities Lending Collateral | 3.4 | |||
Repurchase Agreements/Cash Equivalents | 1.1 | |||
Liabilities less other assets | (3.2 | ) | ||
100.0 | % | |||
Growth (formerly, Aggressive Equity) | ||||
Common Stocks | 98.2 | % | ||
Securities Lending Collateral | 2.8 | |||
Repurchase Agreements/Cash Equivalents | 1.4 | |||
Liabilities less other assets | (2.4 | ) | ||
100.0 | % | |||
Mid Value (formerly, Mid-Cap Value) | ||||
Common Stocks | 96.9 | % | ||
Repurchase Agreements/Cash Equivalents | 2.9 | |||
Securities Lending Collateral | 2.2 | |||
Convertible Bonds | 0.0 | * | ||
Liabilities less other assets | (2.0 | ) | ||
100.0 | % | |||
Mid Growth (formerly, Mid-Cap Growth) | ||||
Common Stocks | 97.8 | % | ||
Securities Lending Collateral | 6.6 | |||
Repurchase Agreements/Cash Equivalents | 2.5 | |||
Liabilities less other assets | (6.9 | ) | ||
100.0 | % | |||
Small Value (formerly, Small-Cap Value) | ||||
Common Stocks | 97.7 | % | ||
Securities Lending Collateral | 4.6 | |||
Repurchase Agreements/Cash Equivalents | 0.3 | |||
Liabilities less other assets | (2.6 | ) | ||
100.0 | % | |||
Small Core (formerly, Special Equity) | ||||
Common Stocks | 98.9 | % | ||
Securities Lending Collateral | 7.6 | |||
Repurchase Agreements/Cash Equivalents | 0.7 | |||
Short Term US Treasury Securities | 0.1 | |||
Rights | 0.0 | * | ||
Warrants | 0.0 | * | ||
Liabilities less other assets | (7.3 | ) | ||
100.0 | % | |||
Small Growth (formerly, Small-Cap Growth) | ||||
Common Stocks | 98.8 | % | ||
Securities Lending Collateral | 11.2 | |||
Liabilities less other assets | (10.0 | ) | ||
100.0 | % | |||
International Equity | ||||
Common Stocks | 100.0 | % | ||
Repurchase Agreements/Cash Equivalents | 1.1 | |||
Rights | 0.0 | * | ||
Liabilities less other assets | (1.1 | ) | ||
100.0 | % | |||
* | Amount rounds to less than 0.05% or (0.05)%. |
176
NOTES TO FINANCIAL STATEMENTS
177
NOTES TO FINANCIAL STATEMENTS (Continued)
178
NOTES TO FINANCIAL STATEMENTS (Continued)
Total Investments in | ||||||||||||||||||||||||||||
Investments in Securities | Securities (net of | |||||||||||||||||||||||||||
(net of Call and Put Options Written) | Call and Put | Other Financial Instruments * | ||||||||||||||||||||||||||
Series | Level 1 | Level 2 | Level 3 | Options Written) | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||
Money Market | $ | — | $ | 1,324,736,908 | $ | — | $ | 1,324,736,908 | $ | — | $ | — | $ | — | ||||||||||||||
High Quality | — | 428,852,213 | — | 428,852,213 | — | — | — | |||||||||||||||||||||
Inflation-Protected Securities | — | 384,383,740 | — | 384,383,740 | — | (207,296 | ) | — | ||||||||||||||||||||
Core Bond | — | 1,782,524,793 | — | 1,782,524,793 | — | 19,848,548 | — | |||||||||||||||||||||
Total Return Bond | 43,737 | 375,389,140 | 1,965,661 | 377,398,538 | — | 1,946,268 | — | |||||||||||||||||||||
High Yield | 2,600,058 | 420,592,960 | 4,781,249 | 427,974,267 | — | — | — | |||||||||||||||||||||
Balanced | 95,490,810 | 85,619,614 | 937,784 | 182,048,208 | — | 934,020 | — | |||||||||||||||||||||
Large Value | 1,436,124,647 | 11,411,786 | — | 1,447,536,433 | — | — | — | |||||||||||||||||||||
Value | 60,039,029 | 3,872,704 | — | 63,911,733 | — | — | — | |||||||||||||||||||||
Large Core | 270,314,453 | 5,300,035 | — | 275,614,488 | — | 30,825 | — | |||||||||||||||||||||
Large Growth | 1,104,122,190 | 62,419,972 | — | 1,166,542,162 | — | — | — | |||||||||||||||||||||
Growth | 179,458,129 | 7,515,028 | — | 186,973,157 | — | — | — | |||||||||||||||||||||
Mid Value | 610,607,223 | 32,491,177 | — | 643,098,400 | — | — | — | |||||||||||||||||||||
Mid Growth | 223,880,422 | 20,906,904 | — | 244,787,326 | — | — | — | |||||||||||||||||||||
Small Value | 153,001,229 | 7,732,285 | — | 160,733,514 | — | — | — | |||||||||||||||||||||
Small Core | 385,467,779 | 32,721,970 | — | 418,189,749 | — | 75,774 | — | |||||||||||||||||||||
Small Growth | 150,589,631 | 17,132,330 | — | 167,721,961 | — | — | — | |||||||||||||||||||||
International Equity | 236,602,811 | 875,989,719 | — | 1,112,592,530 | — | — | — |
* | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
179
NOTES TO FINANCIAL STATEMENTS (Continued)
Beginning Balance | Total | Ending Balance | ||||||||||||||||||||||||||
of Investments, | New | Accrued | Realized | Total Unrealized | of Investments, | |||||||||||||||||||||||
at Value | Purchases/ | Discounts/ | Gain/ | Appreciation/ | Net Transfers In/ | at Value | ||||||||||||||||||||||
Series | at 12/31/2007 | (Sales) | (Premiums) | (Loss) | (Depreciation) | (Out) of Level 3 | at 12/31/2008 | |||||||||||||||||||||
Total Return Bond | $ | — | $ | 3,831,565 | $ | 33,260 | $ | — | $ | (1,899,164 | ) | $ | — | $ | 1,965,661 | |||||||||||||
High Yield Bond | 9,239,839 | (475,186 | ) | 70,202 | 31,632 | (4,085,238 | ) | — | 4,781,249 | |||||||||||||||||||
Balanced | — | 1,489,781 | 47,616 | — | (599,613 | ) | — | 937,784 |
180
NOTES TO FINANCIAL STATEMENTS (Continued)
Inflation - Protected | ||||||||||||||||
Securities | Core Bond | |||||||||||||||
Number of | Number of | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Written call options outstanding at December 31, 2007 | — | $ | — | 217 | $ | 123,969 | ||||||||||
Call options written | 59 | 50,057 | 55,600,328 | 3,044,749 | ||||||||||||
Call options terminated in closing purchase transactions | (59 | ) | (50,057 | ) | (545 | ) | (379,398 | ) | ||||||||
Call options expired | — | — | — | — | ||||||||||||
Written call options outstanding at December 31, 2008 | — | $ | — | 55,600,000 | $ | 2,789,320 | ||||||||||
Written put options outstanding at December 31, 2007 | — | $ | — | — | $ | — | ||||||||||
Put options written | 59 | 68,582 | 190,600,583 | 3,971,824 | ||||||||||||
Put options terminated in closing purchase transactions | (59 | ) | (68,582 | ) | (135,000,583 | ) | (1,182,504 | ) | ||||||||
Put options expired | — | — | — | — | ||||||||||||
Written put options outstanding at December 31, 2008 | — | $ | — | 55,600,000 | $ | 2,789,320 | ||||||||||
181
NOTES TO FINANCIAL STATEMENTS (Continued)
Total Return | ||||||||||||||||
Bond | Balanced | |||||||||||||||
Number of | Number of | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Written call options outstanding at December 31, 2007 | 141 | $ | 101,733 | 56 | $ | 40,189 | ||||||||||
Call options written | 994 | 679,758 | 274 | 185,853 | ||||||||||||
Call options terminated in closing purchase transactions | (771 | ) | (482,057 | ) | (224 | ) | (140,032 | ) | ||||||||
Call options expired | — | — | — | — | ||||||||||||
Written call options outstanding at December 31, 2008 | 364 | $ | 299,434 | 106 | $ | 86,010 | ||||||||||
Written put options outstanding at December 31, 2007 | 118 | $ | 96,535 | 43 | $ | 35,254 | ||||||||||
Put options written | 1,172 | 952,510 | 301 | 241,575 | ||||||||||||
Put options terminated in closing purchase transactions | (794 | ) | (558,233 | ) | (222 | ) | (156,872 | ) | ||||||||
Put options expired | — | — | — | — | ||||||||||||
Written put options outstanding at December 31, 2008 | 496 | $ | 490,812 | 122 | $ | 119,957 | ||||||||||
182
NOTES TO FINANCIAL STATEMENTS (Continued)
Value as of | Net Unrealized | ||||||||||||||
Number of | December 31, | Appreciation/ | |||||||||||||
Series | Contracts | Description | Expiration Date | 2008 | (Depreciation) | ||||||||||
Inflation - Protected Securities | 58 Long | US Long Bond Future | March 2009 | $ | 8,006,719 | $ | 62,526 | ||||||||
41 Long | US Treasury Note 2 Year Future | March 2009 | 8,940,563 | 25,655 | |||||||||||
268 Short | US Treasury Note 10 Year Future | March 2009 | 33,701,000 | (294,875 | ) | ||||||||||
$ | (206,694 | ) | |||||||||||||
Core Bond | 147 Long | Euro Bund Future | March 2009 | $ | 25,509,475 | $ | 391,247 | ||||||||
271 Long | Long Gilt Future | March 2009 | 48,107,647 | 3,194,239 | |||||||||||
96 Long | US Long Bond Future | March 2009 | 13,252,500 | 581,635 | |||||||||||
200 Long | US Treasury Note 5 Year Future | March 2009 | 23,810,938 | (218,534 | ) | ||||||||||
428 Long | US Treasury Note 10 Year Future | March 2009 | 53,821,000 | 971,500 | |||||||||||
101 Short | 90 Day Euro Future | June 2009 | 24,964,675 | (466,171 | ) | ||||||||||
101 Short | 90 Day Euro Future | June 2010 | 24,810,650 | (512,257 | ) | ||||||||||
1,040 Short | US Treasury Note 2 Year Future | March 2009 | 226,785,000 | (2,196,129 | ) | ||||||||||
$ | 1,745,530 | ||||||||||||||
Total Return Bond | 229 Long | 90 Day Euro Future | March 2009 | $ | 56,643,150 | $ | 1,202,423 | ||||||||
82 Long | Euro Bund Future | March 2009 | 14,229,775 | (19,989 | ) | ||||||||||
53 Long | US Long Bond Future | March 2009 | 7,316,484 | 699,691 | |||||||||||
58 Long | US Treasury Note 2 Year Future | March 2009 | 12,647,625 | 182,989 | |||||||||||
15 Long | US Treasury Note 10 Year Future | March 2009 | 1,886,250 | (30,536 | ) | ||||||||||
69 Short | US Treasury Note 5 Year Future | March 2009 | 8,214,773 | (242,123 | ) | ||||||||||
$ | 1,792,455 | ||||||||||||||
Balanced | 5 Long | 90 Day Euro Future | September 2009 | $ | 1,234,313 | $ | 34,600 | ||||||||
5 Long | 90 Day Euro Future | June 2009 | 1,235,875 | 34,475 | |||||||||||
74 Long | 90 Day Euro Future | March 2009 | 18,303,900 | 412,516 | |||||||||||
19 Long | Euro Bund Future | March 2009 | 3,297,143 | (4,729 | ) | ||||||||||
72 Long | S&P 500 Emini Future | March 2009 | 3,240,360 | 108,941 | |||||||||||
24 Long | US Long Bond Future | March 2009 | 3,313,125 | 315,025 | |||||||||||
31 Long | US Treasury Note 2 Year Future | March 2009 | 6,759,938 | 98,157 | |||||||||||
29 Long | US Treasury Note 10 Year Future | March 2009 | 3,646,750 | 91,916 | |||||||||||
73 Short | US Treasury Note 5 Year Future | March 2009 | 8,690,992 | (260,375 | ) | ||||||||||
$ | 830,526 | ||||||||||||||
Large Core | 2 Long | NASDAQ 100 Future | March 2009 | $ | 242,500 | $ | 3,692 | ||||||||
5 Long | S&P 500 Future | March 2009 | 1,125,125 | 27,133 | |||||||||||
$ | 30,825 | ||||||||||||||
Small Core | 33 Long | Russell 2000 Future | March 2009 | $ | 1,643,070 | $ | 75,774 | ||||||||
183
NOTES TO FINANCIAL STATEMENTS (Continued)
184
NOTES TO FINANCIAL STATEMENTS (Continued)
Interest Rate Swaps:
Payments made by | Payments Received | |||||||||||||||
Swap Counterparty | the Series | by the Series | Termination Date | Notional Amount | Value | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.18% semi-annual | 09/20/10 | $ | 100,000,000 | $ | 7,583,869 | |||||||||
Citigroup Global Markets | 3 month LIBOR | 5.27% semi-annual | 08/06/12 | 74,800,000 | 9,914,231 | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 5.53% semi-annual | 06/05/17 | 17,800,000 | 4,192,394 | |||||||||||
Citigroup Global Markets | 3 month LIBOR | 4.50% semi-annual | 10/16/18 | 49,200,000 | 8,363,036 | |||||||||||
Citigroup Global Markets | 4.04% semi-annual | 3 month LIBOR | 09/02/13 | 44,200,000 | (4,235,547 | ) | ||||||||||
Citigroup Global Markets | 5.64% semi-annual | 3 month LIBOR | 07/05/17 | 38,000,000 | (9,957,607 | ) | ||||||||||
Citigroup Global Markets | 5.31% semi-annual | 3 month LIBOR | 10/16/17 | 133,900,000 | (29,955,762 | ) | ||||||||||
Deutsche Bank AG | 3 month LIBOR | 2.81% semi-annual | 10/30/10 | 50,000,000 | 1,030,654 | |||||||||||
Deutsche Bank AG | 3 month LIBOR | 4.28% semi-annual | 07/01/13 | 43,000,000 | 4,526,406 | |||||||||||
Deutsche Bank AG | 3 month LIBOR | 4.28% semi-annual | 07/07/13 | 24,900,000 | 2,610,025 | |||||||||||
Deutsche Bank AG | 3 month LIBOR | 4.56% semi-annual | 10/16/18 | 24,000,000 | 4,216,966 | |||||||||||
Deutsche Bank AG | 3.62% semi-annual | 3 month LIBOR | 09/26/10 | 113,500,000 | (5,199,739 | ) | ||||||||||
Deutsche Bank AG | 4.31% semi-annual | 3 month LIBOR | 01/17/18 | 28,800,000 | (4,491,549 | ) | ||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 5.50% semi-annual | 07/12/12 | 220,000,000 | 30,345,187 | |||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 4.31% semi-annual | 06/11/13 | 33,000,000 | 3,127,632 | |||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 4.27% semi-annual | 07/07/13 | 13,000,000 | 1,361,103 | |||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 4.89% semi-annual | 06/16/18 | 40,000,000 | 8,039,949 | |||||||||||
Goldman Sachs Capital Markets, LP | 3 month LIBOR | 2.99% semi-annual | 12/10/18 | 29,600,000 | 1,141,289 | |||||||||||
Goldman Sachs Capital Markets, LP | 4.08% semi-annual | 3 month LIBOR | 08/22/13 | 26,900,000 | (2,651,321 | ) | ||||||||||
Goldman Sachs Capital Markets, LP | 3.78% semi-annual | 3 month LIBOR | 09/11/13 | 32,700,000 | (2,729,091 | ) | ||||||||||
Goldman Sachs Capital Markets, LP | 4.56% semi-annual | 3 month LIBOR | 01/04/18 | 53,600,000 | (9,574,865 | ) | ||||||||||
$ | 17,657,260 | |||||||||||||||
185
NOTES TO FINANCIAL STATEMENTS (Continued)
• | Unfunded Commitments: |
Unrealized | ||||||||
Appreciation/ | ||||||||
Security Description | Amount | (Depreciation) | ||||||
Community Health Systems, Inc. | $ | 26,598 | $ | 85 | ||||
HRP Myrtle Beach | 11,317 | — |
186
NOTES TO FINANCIAL STATEMENTS (Continued)
Series | Commissions | |||
Large Value | $ | 246,146 | ||
Large Growth | 142,490 | |||
Growth | 86,183 | |||
Mid Value | 131,901 | |||
Mid Growth | 43,025 | |||
Small Value | 161,154 | |||
Small Core | 64,959 | |||
Small Growth | 100,114 | |||
International Equity | 77,683 |
187
NOTES TO FINANCIAL STATEMENTS (Continued)
Series | Amount | Percentage | ||||||
Core Bond | $ | 1,709,911 | 0.10 | % | ||||
Total Return Bond | 148,375 | 0.05 | ||||||
High Yield Bond | 11,294,923 | 2.57 | ||||||
Balanced | 399,707 | 0.24 | ||||||
Small Value | 7,177,213 | 4.58 | ||||||
International Equity | 10,137,319 | 0.92 |
188
NOTES TO FINANCIAL STATEMENTS (Continued)
Investment | ||||
TFLIC Sub-account | in Series | |||
Money Market | 5.28 | % | ||
High Quality Bond | 13.93 | |||
Inflation-Protected Securities | 13.96 | |||
Core Bond | 8.00 | |||
High Yield Bond | 5.21 | |||
Balanced | 34.39 | |||
Large Value | 19.18 | |||
Large Core | 39.24 | |||
Large Growth | 18.03 | |||
Growth | 27.60 | |||
Mid Value | 3.96 | |||
Mid Growth | 1.71 | |||
Small Value | 1.77 | |||
Small Core | 30.85 | |||
Small Growth | 1.73 | |||
International Equity | 11.78 |
189
NOTES TO FINANCIAL STATEMENTS (Continued)
Advisory | ||||||
Series | Series Subadvisor | Fee (%) | ||||
Money Market | GE Asset Management, Inc. | 0.25 | ||||
High Quality Bond | Merganser Capital Management, LP | 0.35 | ||||
Inflation-Protected Securities | BlackRock Financial Management, Inc. | 0.35 | (1) | |||
Core Bond | BlackRock Financial Management, Inc. | 0.35 | ||||
Total Return Bond | Western Asset Management Company | 0.35 | (1) | |||
Western Asset Management Company, Ltd. | ||||||
High Yield Bond | Eaton Vance Management | 0.55 | ||||
Balanced | Goldman, Sachs Asset Management, LP | 0.45 | (1) | |||
Western Asset Management Company Western Asset Management Company, Ltd. | ||||||
Large Value | AllianceBernstein, LP (a) | 0.45 | (1) | |||
TCW Investment Management Company (a) | ||||||
Value | Hotchkis and Wiley Capital Management, LLC | 0.50 | (1) | |||
Large Core | Aronson+Johnson+Ortiz, LP | 0.60 | ||||
Blackrock Financial Management, Inc. | ||||||
Large Growth | Marsico Capital Management, LLC | 0.62 | ||||
OFI Institutional Asset Management, Inc. Wellington Management Company, LLP | ||||||
Growth | Turner Investment Partners, Inc. | 0.77 | (1) | |||
Mid Value | Cramer, Rosenthal, McGlynn, LLC | 0.67 | ||||
LSV Asset Management RiverSource Investments, LLC | ||||||
Mid Growth | Columbus Circle Investors | 0.72 | (1) | |||
Small Value | Mesirow Financial Investment Management, Inc. | 0.82 | (1) | |||
OFI Institutional Asset Management, Inc. | ||||||
Small Core | Fort Washington Investment Advisors, Inc. (b) | 0.80 | (1) | |||
INVESCO Institutional (NA), Inc. RS Investment Management Co., LLC Wellington Management Company, LLP | ||||||
Small Growth | Perimeter Capital Partners LLC | 0.87 | (1) | |||
International Equity | LSV Asset Management (c) | 0.75 | ||||
Wellington Management Company, LLP (c) |
(1) | For the year ended December 31, 2008, the Advisor voluntarily waived a portion of its fee. | |
(a) | Effective January 2, 2009, Aronson+Johnson+Ortiz, LP replaced AllianceBernstein, LP and TCW Investment Management Company. | |
(b) | Effective July 7, 2008, Fort Washington Advisors, Inc. replaced Mazama Capital Management. | |
(c) | Effective January 2, 2009, Thornburg Investment Management, Inc. replaced LSV Asset Management and Wellington Management Company, LLP. |
190
NOTES TO FINANCIAL STATEMENTS (Continued)
Series | Expense Cap | |
Money Market | 30 basis points (b.p.) | |
High Quality Bond | 40 b.p. | |
Inflation-Protected Securities | 40 b.p. | |
Core Bond | 40 b.p. | |
Total Return Bond | 40 b.p. | |
High Yield Bond | 60 b.p. | |
Balanced | 50 b.p. | |
Large Value | 50 b.p. | |
Value | 55 b.p. | |
Large Core | 65 b.p. | |
Large Growth | 65 b.p. | |
Growth | 80 b.p. | |
Mid Value | 70 b.p. | |
Mid Growth | 75 b.p. | |
Small Value | 85 b.p. | |
Small Core | 85 b.p. | |
Small Growth | 90 b.p. | |
International Equity | 90 b.p. |
191
NOTES TO FINANCIAL STATEMENTS (Continued)
Market | Cash Collateral | |||||||
Series | Value | Received | ||||||
High Quality Bond | $ | 10,150,124 | $ | 10,391,435 | ||||
Core Bond | 2,373,406 | 2,425,000 | ||||||
Total Return Bond | 451,439 | 464,950 | ||||||
Balanced | 1,848,193 | 1,911,215 | ||||||
Value | 2,502,900 | 2,594,000 | ||||||
Large Core | 3,863,195 | 4,004,157 | ||||||
Large Growth | 36,400,935 | 38,010,546 | ||||||
Growth | 4,903,126 | 5,037,923 | ||||||
Mid Value | 13,252,905 | 14,077,125 | ||||||
Mid Growth | 14,710,581 | 15,114,459 | ||||||
Small Value | 6,868,859 | 7,266,311 | ||||||
Small Core | 28,000,187 | 29,536,670 | ||||||
Small Growth | 16,141,569 | 17,132,330 |
192
NOTES TO FINANCIAL STATEMENTS (Continued)
Cost of | Proceeds | |||||||||
Series | Purchases | From Sales | ||||||||
High Quality Bond | US Government Obligations | $ | 265,461,609 | $ | 424,502,801 | |||||
Other | 65,687,135 | 270,094,287 | ||||||||
Inflation-Protected Securities | US Government Obligations | 895,104,702 | 655,409,561 | |||||||
Other | 30,628,376 | 18,273,789 | ||||||||
Core Bond | US Government Obligations | 11,754,948,922 | 11,731,336,077 | |||||||
Other | 430,031,032 | 534,113,169 | ||||||||
Total Return Bond | US Government Obligations | 1,658,608,625 | 1,724,398,227 | |||||||
Other | 63,409,391 | 39,368,077 | ||||||||
High Yield Bond | Other | 376,622,102 | 270,534,164 | |||||||
Balanced | US Government Obligations | 276,257,375 | 315,227,648 | |||||||
Other | 122,909,354 | 169,304,103 | ||||||||
Large Value | Other | 610,929,355 | 1,064,031,234 | |||||||
Value | Other | 107,722,502 | 121,580,028 | |||||||
Large Core | Other | 462,306,069 | 880,455,642 | |||||||
Large Growth | Other | 1,761,403,359 | 2,169,615,694 | |||||||
Growth | Other | 638,929,057 | 682,207,459 | |||||||
Mid Value | Other | 607,834,376 | 562,547,192 | |||||||
Mid Growth | Other | 551,691,253 | 505,497,534 | |||||||
Small Value | Other | 266,317,772 | 238,569,461 | |||||||
Small Core | Other | 666,585,521 | 935,742,981 | |||||||
Small Growth | Other | 369,584,011 | 298,724,510 | |||||||
International Equity | Other | 3,204,946,661 | 3,145,861,823 |
193
NOTES TO FINANCIAL STATEMENTS (Continued)
Amount | ||||
Inflation-Protected Securities | $ | 326,977 | ||
Large Value | 1,402,977 |
194
NOTES TO FINANCIAL STATEMENTS (Continued)
Net Unrealized | ||||||||||||||||||||
Foreign | In Exchange | Settlement | Value | Appreciation/ | ||||||||||||||||
Currency | For | Date | at 12/31/08 | (Depreciation) | ||||||||||||||||
Inflation-Protected Securities | ||||||||||||||||||||
Purchases Contracts: | ||||||||||||||||||||
British Pound Sterling | 22,700 | $ | 32,753 | 01/02/09 | $ | 32,637 | $ | (116 | ) | |||||||||||
Canadian Dollar | 18,803 | 15,352 | 01/02/09 | 15,231 | (121 | ) | ||||||||||||||
Euro | 14,988 | 21,199 | 01/02/09 | 20,834 | (365 | ) | ||||||||||||||
Total | $ | (602 | ) | |||||||||||||||||
Core Bond | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 3,466,656 | $ | 5,001,865 | 01/02/09 | $ | 4,984,185 | $ | (17,680 | ) | |||||||||||
Euro | 1,394,703 | 1,972,738 | 01/02/09 | 1,938,707 | (34,031 | ) | ||||||||||||||
Total | $ | (51,711 | ) | |||||||||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 2,737,000 | $ | 4,074,038 | 01/21/09 | $ | 3,933,356 | $ | 140,682 | ||||||||||||
British Pound Sterling | 1,059,500 | 1,566,174 | 01/21/09 | 1,522,613 | 43,561 | |||||||||||||||
British Pound Sterling | 966,000 | 1,419,392 | 01/21/09 | 1,388,243 | 31,149 | |||||||||||||||
British Pound Sterling | 1,110,000 | 1,665,146 | 01/21/09 | 1,595,186 | 69,960 | |||||||||||||||
Euro | 3,968,000 | 5,039,400 | 01/21/09 | 5,511,746 | (472,346 | ) | ||||||||||||||
Euro | 1,815,000 | 2,320,601 | 01/21/09 | 2,521,123 | (200,522 | ) | ||||||||||||||
Japenese Yen | 584,925,000 | 5,847,730 | 01/21/09 | 6,454,532 | (606,802 | ) | ||||||||||||||
Mexican Peso | 232,870,000 | 18,157,505 | 01/21/09 | 16,720,631 | 1,436,874 | |||||||||||||||
Mexican Peso | 21,950,000 | 1,630,976 | 01/21/09 | 1,576,063 | 54,913 | |||||||||||||||
Total | $ | 497,469 | ||||||||||||||||||
Total Return Bond | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 1,000,000 | $ | 1,471,400 | 02/03/09 | $ | 1,436,581 | $ | (34,819 | ) | |||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 999,000 | $ | 1,689,269 | 02/03/09 | $ | 1,435,144 | $ | 254,125 | ||||||||||||
Euro | 1,074,448 | 1,426,093 | 02/03/09 | 1,491,586 | (65,493 | ) | ||||||||||||||
Total | $ | 188,632 | ||||||||||||||||||
Balanced | ||||||||||||||||||||
Purchase Contracts: | ||||||||||||||||||||
British Pound Sterling | 560,000 | $ | 823,984 | 02/03/09 | $ | 804,485 | $ | (19,499 | ) | |||||||||||
Sale Contracts: | ||||||||||||||||||||
British Pound Sterling | 555,000 | $ | 938,483 | 02/03/09 | $ | 797,302 | $ | 141,181 | ||||||||||||
Euro | 298,380 | 396,033 | 02/03/09 | 414,221 | (18,188 | ) | ||||||||||||||
Total | $ | 122,993 | ||||||||||||||||||
195
NOTES TO FINANCIAL STATEMENTS (Continued)
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||||||
Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Year | Return | ||||||||||||||||||||||
Money Market | ||||||||||||||||||||||||||||
12/31/2008 | 0.27 | % | 0.27 | % | 2.43 | % | N/A | $ | 1,325,801,749 | 2.44 | % | |||||||||||||||||
12/31/2007 | 0.28 | 0.28 | 5.01 | N/A | 1,050,796,105 | 5.17 | ||||||||||||||||||||||
12/31/2006 | 0.28 | 0.28 | 4.77 | N/A | 925,940,609 | 4.86 | ||||||||||||||||||||||
12/31/2005 | 0.28 | 0.28 | 2.97 | N/A | 765,777,258 | 3.00 | ||||||||||||||||||||||
12/31/2004 | 0.28 | 0.28 | 1.17 | N/A | 809,352,385 | 1.17 | ||||||||||||||||||||||
High Quality Bond | ||||||||||||||||||||||||||||
12/31/2008 | 0.38 | 0.38 | 4.24 | 64 | % | 421,231,503 | 0.55 | |||||||||||||||||||||
12/31/2007 | 0.38 | 0.38 | 4.38 | 56 | 833,291,239 | 5.34 | ||||||||||||||||||||||
12/31/2006 | 0.38 | 0.38 | 4.03 | 55 | 817,623,186 | 4.38 | ||||||||||||||||||||||
12/31/2005 | 0.39 | 0.39 | 3.25 | 58 | 788,399,166 | 1.95 | ||||||||||||||||||||||
12/31/2004 | 0.38 | 0.38 | 2.96 | 48 | 690,594,378 | 1.48 | ||||||||||||||||||||||
Inflation-Protected Securities | ||||||||||||||||||||||||||||
12/31/2008 | 0.39 | 0.39 | 4.99 | 154 | 389,197,874 | (2.14 | ) | |||||||||||||||||||||
12/31/2007 | 0.42 | 0.40 | 5.26 | 340 | 149,013,396 | 10.16 | ||||||||||||||||||||||
12/31/2006 | 0.41 | 0.40 | 4.50 | 525 | 150,681,168 | 3.48 | ||||||||||||||||||||||
12/31/2005 | 0.40 | 0.40 | 3.45 | 756 | 261,106,523 | 1.34 | ||||||||||||||||||||||
12/31/2004 | 0.42 | 0.40 | 2.48 | 554 | 256,502,651 | 1.59 | ||||||||||||||||||||||
Core Bond | ||||||||||||||||||||||||||||
12/31/2008 | 0.38 | 0.38 | 5.12 | 530 | (a) | 1,667,312,685 | (1.83 | ) | ||||||||||||||||||||
12/31/2007 | 0.38 | 0.38 | 4.81 | 503 | (a) | 2,248,879,516 | 6.67 | |||||||||||||||||||||
12/31/2006 | 0.38 | 0.38 | 4.50 | 487 | (a) | 2,077,821,449 | 4.17 | |||||||||||||||||||||
12/31/2005 | 0.39 | 0.39 | 3.99 | 1,003 | (a) | 2,052,893,035 | 2.38 | |||||||||||||||||||||
12/31/2004 | 0.39 | 0.39 | 3.62 | 885 | (a) | 1,655,367,885 | 4.65 | |||||||||||||||||||||
Total Return Bond | ||||||||||||||||||||||||||||
12/31/2008 | 0.40 | 0.40 | 5.01 | 407 | (a) | 300,413,000 | (8.43 | ) | ||||||||||||||||||||
12/31/2007 | 0.41 | 0.40 | 5.05 | 521 | (a) | 390,287,496 | 3.81 | |||||||||||||||||||||
12/31/2006 | 0.50 | 0.40 | 4.74 | 470 | (a) | 120,636,427 | 4.96 | |||||||||||||||||||||
12/31/2005(1) | 0.55 | * | 0.40 | * | 4.08 | * | 327 | (a) | 70,072,859 | 2.35 | ||||||||||||||||||
High Yield Bond | ||||||||||||||||||||||||||||
12/31/2008 | 0.58 | 0.58 | 9.57 | 54 | 439,863,454 | (28.90 | ) | |||||||||||||||||||||
12/31/2007 | 0.58 | 0.58 | 7.97 | 96 | 538,727,018 | 2.02 | ||||||||||||||||||||||
12/31/2006 | 0.59 | 0.59 | 7.86 | 93 | 502,330,056 | 11.99 | ||||||||||||||||||||||
12/31/2005 | 0.60 | 0.60 | 7.74 | 68 | 416,027,255 | 3.34 | ||||||||||||||||||||||
12/31/2004 | 0.60 | 0.60 | 8.06 | 80 | 351,772,536 | 10.32 |
196
NOTES TO FINANCIAL STATEMENTS (Continued)
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||||||
Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Year | Return | ||||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||
12/31/2008 | 0.53 | % | 0.50 | % | 3.45 | % | 154 | (a)% | $ | 168,930,110 | (26.71 | )% | ||||||||||||||||
12/31/2007 | 0.52 | 0.50 | 2.87 | 226 | (a) | 318,635,183 | 1.79 | |||||||||||||||||||||
12/31/2006 | 0.53 | 0.50 | 2.72 | 224 | (a) | 381,648,801 | 11.74 | |||||||||||||||||||||
12/31/2005 | 0.54 | 0.50 | 2.25 | 367 | (a) | 410,747,655 | 5.59 | |||||||||||||||||||||
12/31/2004 | 0.52 | 0.50 | 2.21 | 338 | (a) | 419,726,689 | 8.31 | |||||||||||||||||||||
Large Value (formerly, Value & Income) | ||||||||||||||||||||||||||||
12/31/2008 | 0.48 | 0.48 | 2.53 | 26 | 1,450,970,147 | (42.94 | ) | |||||||||||||||||||||
12/31/2007 | 0.48 | 0.48 | 1.68 | 30 | 3,165,024,775 | (1.75 | ) | |||||||||||||||||||||
12/31/2006 | 0.48 | 0.48 | 1.47 | 31 | 3,538,943,726 | 20.68 | ||||||||||||||||||||||
12/31/2005 | 0.48 | 0.48 | 1.38 | 89 | 3,018,060,297 | 6.88 | ||||||||||||||||||||||
12/31/2004 | 0.48 | 0.48 | 1.79 | 44 | 2,705,463,322 | 12.91 | ||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||
12/31/2008 | 0.56 | 0.55 | 2.46 | 101 | 60,703,564 | (46.62 | ) | |||||||||||||||||||||
12/31/2007 | 0.56 | 0.55 | 1.51 | 57 | 141,565,926 | (11.06 | ) | |||||||||||||||||||||
12/31/2006 | 0.71 | 0.55 | 1.42 | 74 | 101,282,906 | 15.44 | ||||||||||||||||||||||
12/31/2005(1) | 1.18 | * | 0.55 | * | 1.78 | * | 21 | 35,138,512 | 9.47 | |||||||||||||||||||
Large Core (formerly, Growth & Income) | ||||||||||||||||||||||||||||
12/31/2008 | 0.65 | 0.65 | 1.31 | 99 | 281,773,981 | (36.65 | ) | |||||||||||||||||||||
12/31/2007 | 0.64 | 0.64 | 1.08 | 101 | 903,261,821 | 2.11 | ||||||||||||||||||||||
12/31/2006 | 0.63 | 0.63 | 1.11 | 73 | 1,159,020,245 | 11.77 | ||||||||||||||||||||||
12/31/2005 | 0.64 | 0.64 | 0.96 | 79 | 1,178,758,869 | 7.12 | ||||||||||||||||||||||
12/31/2004 | 0.64 | 0.64 | 1.22 | 184 | 1,135,948,434 | 10.79 | ||||||||||||||||||||||
Large Growth (formerly, Equity Growth) | ||||||||||||||||||||||||||||
12/31/2008 | 0.65 | 0.65 | 0.92 | 102 | 1,130,782,753 | (39.87 | ) | |||||||||||||||||||||
12/31/2007 | 0.65 | 0.65 | 0.61 | 129 | 2,444,760,853 | 12.25 | ||||||||||||||||||||||
12/31/2006 | 0.64 | 0.64 | 0.43 | 84 | 2,526,917,456 | 4.12 | ||||||||||||||||||||||
12/31/2005 | 0.65 | 0.65 | 0.34 | 76 | 2,587,382,061 | 7.18 | ||||||||||||||||||||||
12/31/2004 | 0.65 | 0.65 | 0.68 | 129 | 2,290,559,947 | 7.75 | ||||||||||||||||||||||
Growth (formerly, Aggressive Equity) | ||||||||||||||||||||||||||||
12/31/2008 | 0.81 | 0.80 | 0.02 | 212 | 182,527,808 | (51.00 | ) | |||||||||||||||||||||
12/31/2007 | 0.81 | 0.80 | (0.16 | ) | 134 | 427,372,994 | 28.50 | |||||||||||||||||||||
12/31/2006 | 0.81 | 0.80 | (0.17 | ) | 147 | 382,667,908 | 6.46 | |||||||||||||||||||||
12/31/2005 | 0.81 | 0.80 | (0.14 | ) | 187 | 382,129,060 | 8.20 | |||||||||||||||||||||
12/31/2004 | 0.95 | 0.94 | (0.48 | ) | 252 | 397,726,867 | 12.14 | |||||||||||||||||||||
Mid Value (formerly, Mid-Cap Value) | ||||||||||||||||||||||||||||
12/31/2008 | 0.70 | 0.70 | 1.69 | 68 | 630,249,484 | (37.73 | ) | |||||||||||||||||||||
12/31/2007 | 0.70 | 0.70 | 1.37 | 69 | 998,177,210 | 2.62 | ||||||||||||||||||||||
12/31/2006 | 0.71 | 0.70 | 1.17 | 80 | 936,974,205 | 18.33 | ||||||||||||||||||||||
12/31/2005 | 0.72 | 0.70 | 1.28 | 112 | 641,531,538 | 9.77 | ||||||||||||||||||||||
12/31/2004 | 0.71 | 0.70 | 0.79 | 147 | 414,710,679 | 25.47 |
197
NOTES TO FINANCIAL STATEMENTS (Continued)
Ratios to Average Net Assets | ||||||||||||||||||||||||||||
Net Investment | ||||||||||||||||||||||||||||
For the | Net Expenses | Income (Loss) | Net Assets, | |||||||||||||||||||||||||
Year | Net | (Net of | (Net of | Portfolio | End of | Total | ||||||||||||||||||||||
Ended | Expenses | Reimbursements) | Reimbursements) | Turnover | Year | Return | ||||||||||||||||||||||
Mid Growth (formerly, Mid-Cap Growth) | ||||||||||||||||||||||||||||
12/31/2008 | 0.75 | % | 0.75 | % | (0.02 | )% | 158 | % | $ | 228,965,903 | (41.55 | )% | ||||||||||||||||
12/31/2007 | 0.75 | 0.75 | (0.23 | ) | 152 | 337,188,904 | 30.42 | |||||||||||||||||||||
12/31/2006 | 0.75 | 0.75 | (0.31 | ) | 151 | 309,909,061 | 2.17 | |||||||||||||||||||||
12/31/2005 | 0.76 | 0.75 | (0.38 | ) | 142 | 282,950,442 | 13.42 | |||||||||||||||||||||
12/31/2004 | 0.79 | 0.75 | (0.29 | ) | 223 | 210,100,872 | 15.38 | |||||||||||||||||||||
Small Value (formerly, Small-Cap Value) | ||||||||||||||||||||||||||||
12/31/2008 | 0.87 | 0.85 | 1.94 | 117 | 156,628,183 | (26.63 | ) | |||||||||||||||||||||
12/31/2007 | 0.87 | 0.85 | 1.36 | 94 | 185,136,605 | (7.74 | ) | |||||||||||||||||||||
12/31/2006 | 0.87 | 0.85 | 0.27 | 105 | 236,316,718 | 9.64 | ||||||||||||||||||||||
12/31/2005 | 0.88 | 0.85 | 0.10 | 143 | 218,749,221 | (4.70 | ) | |||||||||||||||||||||
12/31/2004 | 0.89 | 0.85 | 0.31 | 42 | 172,735,949 | 21.75 | ||||||||||||||||||||||
Small Core (formerly, Special Equity) | ||||||||||||||||||||||||||||
12/31/2008 | 0.85 | 0.85 | 0.94 | 106 | 389,662,463 | (36.06 | ) | |||||||||||||||||||||
12/31/2007 | 0.84 | 0.84 | 0.58 | 97 | 950,197,463 | (4.49 | ) | |||||||||||||||||||||
12/31/2006 | 0.85 | 0.85 | 0.29 | 86 | 1,211,556,459 | 11.77 | ||||||||||||||||||||||
12/31/2005 | 0.85 | 0.85 | 0.09 | 92 | 1,296,671,909 | 10.53 | ||||||||||||||||||||||
12/31/2004 | 0.84 | 0.84 | 0.15 | 103 | 1,227,530,742 | 12.63 | ||||||||||||||||||||||
Small Growth (formerly, Small-Cap Growth) | ||||||||||||||||||||||||||||
12/31/2008 | 0.93 | 0.90 | (0.18 | ) | 146 | 152,512,859 | (37.87 | ) | ||||||||||||||||||||
12/31/2007 | 0.92 | 0.90 | (0.42 | ) | 144 | 166,817,321 | 8.64 | |||||||||||||||||||||
12/30/2006 | 1.04 | 0.90 | (0.29 | ) | 173 | 155,003,004 | 8.71 | |||||||||||||||||||||
12/31/2005 | 0.98 | 0.90 | (0.41 | ) | 183 | 132,903,534 | 0.55 | |||||||||||||||||||||
12/31/2004 | 0.97 | 0.90 | (0.51 | ) | 84 | 108,429,152 | 11.94 | |||||||||||||||||||||
International Equity | ||||||||||||||||||||||||||||
12/31/2008 | 0.84 | 0.84 | 2.78 | 174 | 1,100,059,644 | (49.94 | ) | |||||||||||||||||||||
12/31/2007 | 0.87 | 0.87 | 2.25 | 110 | 2,264,061,514 | 11.69 | ||||||||||||||||||||||
12/31/2006 | 0.87 | 0.87 | 1.78 | 81 | 2,101,152,473 | 27.31 | ||||||||||||||||||||||
12/31/2005 | 0.88 | 0.88 | 2.03 | 94 | 1,721,786,149 | 11.20 | ||||||||||||||||||||||
12/31/2004 | 0.87 | 0.87 | 1.85 | 171 | 1,401,617,944 | 19.66 |
(a) | Portfolio turnover calculation includes effect of buying and selling TBA securities used in dollar roll transactions. Refer to Note 2I. | |
* | Annualized. | |
(1) | Commencement of Operations, May 6, 2005. |
198
199
SUB-ADVISORY AGREEMENT — INITIAL REVIEW AND APPROVAL
December 31, 2008
(Unaudited)
200
SUB-ADVISORY AGREEMENT — INITIAL REVIEW AND APPROVAL (Continued)
December 31, 2008
(Unaudited)
201
SUB-ADVISORY AGREEMENT — INITIAL REVIEW AND APPROVAL (Continued)
December 31, 2008
(Unaudited)
202
MANAGEMENT OF THE TRUST
(Unaudited)
203
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Number of | ||||||||||
Term of | Funds in | |||||||||
Office and | Complex | |||||||||
Position(s) | Length of | Overseen | ||||||||
Held with | Time | Principal Occupation(s) During | by Board | |||||||
Name | Trust | Served* | Past 5 Years | Members | Other Directorships | |||||
INTERESTED BOARD MEMBER** | ||||||||||
John K. Carter (DOB: 1961) | Chairman, Board Member, President, and Chief Executive Officer | Since 2007 | Chairman and Board Member (2008–present), President (2007–present), Chief Executive Officer (2006–present), Vice President, Secretary and Chief Compliance Officer (2003–2006), TII; Chairman, Board Member, President and Chief Executive Officer, TPP, TPFG, TPFG II and TAAVF (2007–present); Chairman (2007–present), Board Member (2006–present), President and Chief Executive Officer (2006–present), Senior Vice President (1999–2006), Chief Compliance Officer, General Counsel and Secretary (1999–2006), Transamerica Funds and TST; Chairman (2007–present), Board Member (2006–present), President and Chief Executive Officer (2006–present), Senior Vice President (2002–2006), General Counsel, Secretary and Chief Compliance Officer (2002–2006), TIS; President and Chief Executive Officer (2006– present), Senior Vice President (1999–2006), Director (2000–present), General Counsel and Secretary (2000–2006), Chief Compliance Officer (2004–2006), TAM; President and Chief Executive Officer (2006–present), Senior Vice President (1999–2006), Director (2001–present), General Counsel and Secretary (2001–2006), Transamerica Fund Services, Inc. (“TFS”); Vice President, AFSG Securities Corporation (2001–present); Senior Vice President, General Counsel and Secretary, Transamerica Index Funds, Inc. (“TIF”) (2002–2004); Director (2008–present) and Vice President, Transamerica Investment Services, Inc. (“TISI”) (2003–2005) and Transamerica Investment Management, LLC (“TIM”) (2001–2005). | 176 | N/A |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the by-laws. |
** | May be deemed an “interested person” (as that term is defined in the 1940 Act) of the Trust because of his employment with TAM or an affiliate of TAM. |
204
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Number of | ||||||||||
Term of | Funds in | |||||||||
Office and | Complex | |||||||||
Position(s) | Length of | Overseen | ||||||||
Held with | Time | Principal Occupation(s) During | by Board | |||||||
Name | Trust | Served* | Past 5 Years | Members | Other Directorships | |||||
INDEPENDENT BOARD MEMBERS*** | ||||||||||
Sandra N. Bane (DOB: 1952) | Board Member | Since 2008 | Retired, KPMG (1999–present); and Board Member, TII (2003–present), Transamerica Funds, TST, TIS, TPP, TPFG, TPFG II and TAAVF (2008–present). | 176 | Big 5 Sporting Goods (2002–present); AGL Resources, Inc. (energy services holding company) (2008–present) | |||||
Leo J. Hill (DOB: 1956) | Lead Independent Board Member | Since 2007 | Principal, Advisor Network Solutions, LLC (business consulting) (2006–present); Board Member, TST (2001–present); Board Member, Transamerica Funds and TIS (2002–present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007–present); TII (2008–present); Owner and President, Prestige Automotive Group (2001–2005); President, L. J. Hill & Company (1999–present); Market President, Nations Bank of Sun Coast Florida (1998–1999); President and Chief Executive Officer, Barnett Banks of Treasure Coast Florida (1994–1998); Executive Vice President and Senior Credit Officer, Barnett Banks of Jacksonville, Florida (1991–1994); and Senior Vice President and Senior Loan Administration Officer, Wachovia Bank of Georgia (1976–1991). | 176 | N/A | |||||
Neal M. Jewell (DOB: 1935) | Board Member | Since 1993 | Retired (2004–present); Board Member, TPP, TPFG, TPFG II and TAAVF (1993–present); Board Member, Transamerica Funds, TST and TIS (2007–present); Board Member, TII (2008–present); and Independent Trustee, EAI Select Managers Equity Fund (a mutual fund) (1996–2004). | 176 | N/A |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the by-laws. |
*** | Independent Board Member means a Board Member who is not an “interested person” (as that term is defined under the 1940 Act) of the Trust. |
205
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Number of | ||||||||||
Term of | Funds in | |||||||||
Office and | Complex | |||||||||
Position(s) | Length of | Overseen | ||||||||
Held with | Time | Principal Occupation(s) During | by Board | |||||||
Name | Trust | Served* | Past 5 Years | Members | Other Directorships | |||||
Russell A. Kimball, Jr. (DOB: 1944) | Board Member | Since 2007 | General Manager, Sheraton Sand Key Resort (1975–present); Board Member, TST (1986–present); Board Member, Transamerica Funds and TIS (2002–present); TPP, TPFG, TPFG II and TAAVF (2007–present); and Board Member, TII (2008–present). | 176 | N/A | |||||
Eugene M. Mannella (DOB: 1954) | Board Member | Since 1994 | Chief Executive Officer, HedgeServ Corporation (hedge fund administration) (2008–present); Self-employed consultant (2006–present); President, ARAPAHO Partners LLC (limited purpose broker-dealer) (1998–2008); Board Member, TPP, TPFG, TPFG II and TAAVF (1994–present); Board Member, Transamerica Funds, TST and TIS (2007–present); Board Member, TII (2008–present); and President, International Fund Services (alternative asset administration) (1993–2005). | 176 | N/A | |||||
Norman R. Nielsen (DOB: 1939) | Board Member | Since 2007 | Retired (2005–present); Director, Iowa Student Loan Service Corporation (2006–present); Board Member, Transamerica Funds, TST and TIS (2006–present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007–present); Board Member, TII (2008–present); Director, League for Innovation in the Community Colleges (1985–2005); Director, Iowa Health Systems (1994–2003); Director, U.S. Bank (1987–2006); and President, Kirkwood Community College (1985–2005). | 176 | Buena Vista University Board of Trustees (2004–present) | |||||
Joyce G. Norden (DOB: 1939) | Board Member | Since 2002 | Retired (2004–present); Board Member, TPFG, TPFG II and TAAVF (1993–present); Board Member, TPP (2002–present); Board Member, Transamerica Funds, TST and TIS (2007–present); Board Member, TII (2008–present); and Vice President, Institutional Advancement, Reconstructionist Rabbinical College (1996–2004). | 176 | Board of Governors, Reconstructionist Rabbinical College (2007–present) |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the by-laws. |
206
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Number of | ||||||||||
Term of | Funds in | |||||||||
Office and | Complex | |||||||||
Position(s) | Length of | Overseen | ||||||||
Held with | Time | Principal Occupation(s) During | by Board | |||||||
Name | Trust | Served* | Past 5 Years | Members | Other Directorships | |||||
Patricia L. Sawyer (DOB: 1950) | Board Member | Since 1993 | Retired (2007–present); President/ Founder, Smith & Sawyer LLC (management consulting) (1989–2007); Board Member, Transamerica Funds, TST and TIS (2007–present); Board Member, TII (2008–present); Board Member, TPP, TPFG, TPFG II and TAAVF (1993–present); Vice President, American Express (1987–1989); Vice President, The Equitable (1986–1987); and Strategy Consultant, Booz, Allen & Hamilton (1982–1986). | 176 | N/A | |||||
John W. Waechter (DOB: 1952) | Board Member | Since 2007 | Attorney, Englander & Fischer, P.A. (2008–present); Retired (2004–2008); Board Member, TST and TIS (2004–present); Board Member, Transamerica Funds (2005–present); Board Member, TPP, TPFG, TPFG II and TAAVF (2007–present); Board Member, TII (2008–present); Executive Vice President, Chief Financial Officer and Chief Compliance Officer, William R. Hough & Co. (securities dealer) (1979–2004); and Treasurer, The Hough Group of Funds (1993–2004). | 176 | N/A |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the by-laws. |
207
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Term of | ||||||
Position(s) | Office and | |||||
Held with | Length of | Principal Occupation(s) or Employment | ||||
Name | Trust | Time Served* | During Past 5 Years | |||
John K. Carter (DOB: 1961) | Chairman, Board Member, President, and Chief Executive Officer | Since 2007 | See the table above. | |||
Dennis P. Gallagher (DOB: 1970) | Vice President, General Counsel and Secretary | Since 2007 | Vice President, General Counsel and Secretary, TII, Transamerica Funds, TST and TIS (2006–present); Vice President, General Counsel and Secretary, TPP, TPFG, TPFG II and TAAVF (2007–present); Director, Senior Vice President, General Counsel and Secretary, TAM and TFS (2006–present); Assistant Vice President, Transamerica Capital, Inc. (2007–present); and Director, Deutsche Asset Management (1998–2006). | |||
Joseph P. Carusone (DOB: 1965) | Vice President, Treasurer and Principal Financial Officer | Since 2001 | Vice President, Treasurer and Principal Financial Officer, Transamerica Funds, TST, TIS and TII (2007–present); Vice President (2007–present), Treasurer and Principal Financial Officer (2001–present), TPP, TPFG, TPFG II and TAAVF; Senior Vice President, TAM and TFS (2007–present); Senior Vice President (2008–present), Vice President (2001–2008); Diversified Investment Advisors, Inc. (“DIA”); Director and President, Diversified Investors Securities Corp. (“DISC”) (2007–present); Director, Transamerica Financial Life Insurance Company (“TFLIC”) (2004–present); and Treasurer, Diversified Actuarial Services, Inc. (2002–present). | |||
Christopher A. Staples (DOB: 1970) | Vice President and Chief Investment Officer | Since 2007 | Vice President and Chief Investment Officer (2007–present); Vice President–Investment Administration (2005–2007), TII; Vice President and Chief Investment Officer (2007–present), Senior Vice President–Investment Management (2006–2007), Vice President–Investment Management (2005–2006), Transamerica Funds, TST and TIS; Vice President and Chief Investment Officer, TPP, TPFG, TPFG II and TAAVF (2007–present); Director (2005–present), Senior Vice President– Investment Management (2006–present) and Chief Investment Officer (2007–present), TAM; Director, TFS (2005–present); and Assistant Vice President, Raymond James & Associates (1999–2004). | |||
Rick B. Resnik (DOB: 1967) | Vice President, Chief Compliance Officer and Conflicts of Interest Officer | Since 1998 | Chief Compliance Officer, TPP, TPFG, TPFG II and TAAVF (1998–present); Chief Compliance Officer, Transamerica Funds, TST, TIS and TII (2008–present); Vice President and Conflicts of Interest Officer, TPP, TPFG, TPFG II, TAAVF, Transamerica Funds, TST, TIS and TII (2008–present); Senior Vice President and Chief Compliance Officer, TAM (2008–present); Senior Vice President, TFS (2008–present); Director (2000–present), Vice President and Chief Compliance Officer (1997–present), DISC; and Assistant Vice President, TFLIC (1999–present). |
208
MANAGEMENT OF THE TRUST (Continued)
(Unaudited)
Term of | ||||||
Position(s) | Office and | |||||
Held with | Length of | Principal Occupation(s) or Employment | ||||
Name | Trust | Time Served* | During Past 5 Years | |||
Robert A. DeVault Jr. (DOB: 1965) | Assistant Treasurer | Since 2009 | Assistant Treasurer, Transamerica Funds, TST, TII, TIS, TPP, TPFG, TPFG II and TAAVF (January 2009–present); and Assistant Vice President, (2007–present), Manager, Fund Administration (2002–2007), TFS. | |||
Suzanne Valerio-Montemurro (DOB: 1964) | Assistant Treasurer | Since 2007 | Assistant Treasurer, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (2007–present); and Vice President, DIA (1998–present). | |||
Sarah L. Bertrand (DOB: 1967) | Assistant Secretary | Since 2009 | Assistant Secretary, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (January 2009–present); Assistant Vice President and Manager, Legal Administration, TAM and TFS (2007–present); Assistant Secretary and Chief Compliance Officer, 40ï86 Series Trust and 40ï86 Strategic Income Fund (2000 - 2007); and Second Vice President and Assistant Secretary, Legal and Compliance, 40ï86 Capital Management, Inc. (1994–2007). | |||
Timothy J. Bresnahan (DOB: 1968) | Assistant Secretary | Since 2009 | Assistant Secretary, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (January 2009–present); Counsel, TAM (2008–present); Counsel (contract), Massachusetts Financial Services, Inc. (2007); Assistant Counsel, BISYS Fund Services Ohio, Inc. (2005–2007); and Associate, Greenberg Traurig, P.A. (2004–2005). | |||
Richard E. Shield, Jr. (DOB: 1974) | Tax Officer | Since 2008 | Tax Officer, Transamerica Funds, TST, TIS, TII, TPP, TPFG, TPFG II and TAAVF (2008–present); Tax Manager, Jeffrey P. McClanathan, CPA (2006–2007) and Gregory, Sharer & Stuart (2005–2006); Tax Senior, Kirkland, Russ, Murphy & Tapp, P.A. (2003– 2005); and Certified Public Accountant, Schultz, Chaipel & Co., LLP (1998–2003). |
* | Elected and serves at the pleasure of the Board of the Trust. |
209
4 Manhattanville Rd.
Purchase, New York 10577
(a) | Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function. | |
(b) | Registrant’s code of ethics is reasonably designed as described in this Form N-CSR. | |
(c) | During the period covered by the report, no amendments were made to the provisions of this code of ethics. | |
(d) | During the period covered by the report, Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics. | |
(e) | Not Applicable | |
(f) | Registrant has filed this code of ethics as an exhibit pursuant to Item 12(a)(1) of Form N-CSR. |
Fiscal Year Ended 12/31 | ||||||||||
2008 | 2007 | |||||||||
(a) | Audit Fees | $ | 15,690 | $ | 15,690 | |||||
(b) | Audit-related Fees (1) | $ | 0 | $ | 0 | |||||
(c) | Tax Fees (2) | $ | 0 | $ | 0 | |||||
(d) | All Other Fees | $ | 0 | $ | 0 | |||||
(e) (1) | Pre-approval policy (3) (see below) | |||||||||
(e) (2) | % of above that were pre-approved | 100 | % | 100 | % | |||||
(f) | If greater than 50%, disclose hours | N/A | N/A | |||||||
(g) | Non-audit fees rendered to Adviser (or affiliate that provided services to Registrant) | $ | 52,000 | $ | 671,630 | |||||
(h) | Disclose whether the Audit Committee has considered whether the provisions of non-audit services rendered to the Adviser that were NOT pre-approved is compatible with maintaining the auditor’s independence. | Yes | Yes |
(1) | Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Registrant, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements. | |
(2) | There were no tax fees billed by the principal accountant for 2008 or 2007. | |
(3) | The Audit Committee may delegate any portion of its authority, including the authority to grant pre-approvals of audit and permitted non-audit services, to one or more members or a subcommittee. Any decision of the subcommittee to grant pre-approvals shall be presented to the full Audit Committee at its next regularly scheduled meeting. |
1. | Each eligible shareholder or shareholder group may submit no more than one nominee each calendar year. | ||
2. | The nominee must satisfy all qualifications provided herein and in the Funds’ organizational documents, including qualification as a possible Independent Trustee if the nominee is to serve in that capacity. |
• | The nominee may not be the nominating shareholder, a member of the nominating shareholder group or a member of the immediate family of the nominating shareholder or any member of the nominating shareholder group.1 | ||
• | Neither the nominee nor any member of the nominee’s immediate family may be currently employed or employed within the year prior to the nomination by any nominating shareholder entity or entity in a nominating shareholder group. | ||
• | Neither the nominee nor any immediate family member of the nominee is permitted to have accepted directly or indirectly, during the year of the election for which the nominee’s name was submitted, during the immediately preceding calendar year, or during the year when the nominee’s name was submitted, any consulting, advisory, or other compensatory fee from the nominating shareholder or any member of a nominating shareholder group. | ||
• | The nominee may not be an executive officer, director or person fulfilling similar functions of the nominating shareholder or any member of the nominating shareholder group, or of an affiliate of the nominating shareholder or any such member of the nominating shareholder group. | ||
• | The nominee may not control the nominating shareholder or any member of the nominating shareholder group (or, in the case of a holder or member that is a fund, an interested person of such holder or member as defined by Section 2(a)(19) of the 1940 Act). | ||
• | A shareholder or shareholder group may not submit for consideration a nominee which has previously been considered by the Committee. |
3. | In order for the Committee to consider shareholder submissions, the following requirements must be satisfied regarding the shareholder or shareholder group submitting the proposed nominee: |
• | Any shareholder or shareholder group submitting a proposed nominee must beneficially own, either individually or in the aggregate, more than 5% of a Fund’s (or a series thereof) securities that are eligible to vote both at the time of submission of the nominee and at the time of the Board member election. Each of the securities used for purposes of calculating this ownership must have been held continuously for at least two years as of the date of the nomination. In addition, such securities must continue to be held through the date of the meeting. | ||
The nominating shareholder or shareholder group must also bear the economic risk of the investment. | |||
• | The nominating shareholder or shareholder group must also submit a certification which provides the number of shares which the person or group has (a) sole power to vote or direct the vote; (b) shared power to vote or direct the vote; (c) sole power to dispose or direct the disposition of such shares; and (d) shared power to dispose or direct the disposition of such shares. In addition the certification shall provide that the shares have been held continuously for at least two years. |
4. | Shareholders or shareholder groups submitting proposed nominees must substantiate compliance with the above requirements at the time of submitting their proposed nominee as part of their written submission to the attention of the Funds’ Secretary, who will provide all submissions to the Committee. This submission to the Funds must include: |
1 | Terms such as “immediate family member” and “control” shall be interpreted in accordance with the federal securities laws. |
• | the shareholder’s contact information; | ||
• | the nominee’s contact information and the number of applicable Fund shares owned by the proposed nominee; | ||
• | all information regarding the nominee that would be required to be disclosed in solicitations of proxies for elections of directors required by Regulation 14A under the Securities Exchange Act of 1934; | ||
and | |||
• | a notarized letter executed by the nominee, stating his or her intention to serve as a nominee and be named in a Fund’s proxy statement, if so designated by the Committee and the Funds’ Board. |
5. | The Committee will consider all submissions meeting the applicable requirements stated herein that are received by December 31 of the most recently completed calendar year. |
(a) | The Registrant’s principal executive officer and principal financial officer evaluated the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) are appropriately designed to ensure that information required to be disclosed by Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. | ||
(b) | The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
(a) (1) | Registrant’s code of ethics (that is the subject of the disclosure required by Item 2(a)) is attached. | |
(2) | Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached. | |
(3) | Not applicable. | |
(b) | A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. The certification furnished pursuant to this paragraph is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the Registrant specifically incorporates it by reference. |
Transamerica Asset Allocation Variable Funds (Registrant) | ||||
By: | /s/ John K. Carter | |||
John K. Carter | ||||
Chief Executive Officer | ||||
Date: March 9, 2009 | ||||
By: | /s/ John K. Carter | |||
John K. Carter | ||||
Chief Executive Officer | ||||
Date: March 9, 2009 | ||||
By: | /s/ Joseph P. Carusone | |||
Joseph P. Carusone | ||||
Principal Financial Officer | ||||
Date: March 9, 2009 | ||||
Exhibit No. | Description of Exhibit | |
12(a)(1) | Code of Ethics for Principal Executive and Senior Financial Officers | |
12(a)(2)(i) | Section 302 N-CSR Certification of Principal Executive Officer | |
12(a)(2)(ii) | Section 302 N-CSR Certification of Principal Financial Officer | |
12(b) | Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer |