As filed with the SEC on August 31, 2009.
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07717
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
570 Carillon Parkway, St. Petersburg, Florida 33716
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: (727) 299-1800
Dennis P. Gallagher, Esq. P.O. Box 9012, Clearwater, Florida 33758-9771
(Name and Address of Agent for Service)
Date of fiscal year end: December 31
Date of reporting period: January 1, 2009 — June 30, 2009
| TRANSAMERICA PARTNERS VARIABLE FUNDS TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS |
This report is not to be construed as an offering for sale of any contracts participating in the Subaccounts (Series) of the Transamerica Partners Variable Funds or the Transamerica Asset Allocation Variable Funds, or as a solicitation of an offer to buy contracts unless preceded by or accompanied by a current prospectus which contains complete information about charges and expenses.
This report consists of the semi-annual report of the Transamerica Asset Allocation Variable Funds and the semi-annual reports of the Transamerica Partners Portfolios and the Calvert Social Balanced Portfolio, the underlying portfolios in which the Transamerica Partners Variable Funds invest.
Proxy Voting Policies and Procedures
A description of the proxy voting policies and procedures of the Transamerica Asset Allocation Variable Funds and Transamerica Partners Portfolios is included in the Statement of Additional Information, which is available without charge, upon request: (i) by calling 1-888-233-4339; (ii) on the Subaccounts’ website at www.transamericafunds.com or (iii) on the SEC’s website at www.sec.gov. In addition, the Transamerica Asset Allocation Variable Funds and the Transamerica Partners Portfolios are required to file Form N-PX, with the complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. Form N-PX for the twelve months ended June 30, 2009, is available without charge, upon request.
Quarterly Portfolios
Transamerica Asset Allocation Variable Funds will file their portfolios of investments on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Subaccounts’ Form N-Q is available on the SEC’s website at www.sec.gov. The Subaccounts’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. For information on the operation of the SEC’s Public Reference Room, call 1-800-SEC-0330. You may also obtain a copy of Form N-Q without charge, upon request, by calling 1-888-233-4339. Form N-Q for the corresponding Transamerica Partners Portfolios is also available without charge on the SEC website, at the SEC’s Public Reference Room, or by calling 1-888-233-4339.
TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY, INC.
Four Manhattanville Road
Purchase, New York 10577
June 30, 2009
To Contractholders with Interests
in the Transamerica Partners Variable Funds:
We are pleased to present the most recent semi-annual reports for the Transamerica Partners Portfolios and for the Calvert Social Balanced Portfolio. As required under applicable law, we are sending these semi-annual reports to contract holders of Group Variable Annuity Contracts issued by Transamerica Financial Life Insurance Company, Inc. with unit interests in one or more of the Transamerica Partners Variable Funds. Each subaccount available within the Transamerica Partners Variable Funds, other than the Calvert Subaccount, invests its assets in a corresponding mutual fund that is a series of Transamerica Partners Portfolios. The Calvert Subaccount invests in the Calvert Social Balanced Portfolio, a series of Calvert Variable Series. Inc.
Please call your retirement plan administrator, Diversified Investment Advisors, Inc., at (800) 755-5801 if you have any questions regarding these reports.
1
Dear Fellow Shareholder,
On behalf of Transamerica Asset Allocation Variable Funds, we would like to thank you for your continued support and confidence in our products as we look forward to continuing to serve you and your financial advisor in the future. We value the trust you have placed in us.
This semi-annual report is provided to you with the intent of presenting a comprehensive review of the investments of each of your funds. The Securities and Exchange Commission requires that annual and semi-annual reports be sent to all shareholders, and we believe this report to be an important part of the investment process. In addition to providing a comprehensive review, this report also provides a discussion of accounting policies as well as matters presented to shareholders that may have required their vote.
We believe it is important to recognize and understand current market conditions in order to provide a context for reading this report. During the past six months, markets have oscillated from weakness in conjunction with investors’ continuing concerns over the health of the economy to strength in conjunction with investor optimism of recovery and bargain hunting. The equity markets touched new lows in March, and then subsequently rallied sharply. The period ended in June with markets stuck in a trading range as investors began to question the timing and strength of an economic recovery as data was mixed and unemployment remained at multi-decade highs. As investors have become skeptical regarding an economic recovery, the U.S. dollar’s negative momentum has slowed from earlier in 2009, and the dollar ended the period in a trading range versus the Euro, British pound, and the yen. Oil prices have come off of their highs of the year in concert with moderating dollar weakness. The Federal Reserve continues to keep the federal funds rate in a range of 0%-0.25%. Investors have become somewhat skeptical of the impact of the government stimulus package, as the unemployment rate continues to climb and reached 9.5% in June. Bargain hunting, particularly in prior months, has led to year-to-date gains for particular equity and fixed-income sectors, including emerging market stocks, technology stocks, and high yield bonds. For the six months ending June 30, 2009, the Dow Jones Industrial Average returned -2.01%, the Standard & Poor’s 500 Index returned 3.16%, and the Barclay’s Capital Aggregate U.S. Bond Index returned 1.90%. Please keep in mind it is important to maintain a diversified portfolio as investment returns have historically been difficult to predict.
In addition to your active involvement in the investment process, we firmly believe that a financial advisor is a key resource to help you build a complete picture of your current and future financial needs. Financial advisors are familiar with the market’s history, including long-term returns and volatility of various asset classes. With your financial advisor, you can develop an investment program that incorporates factors such as your goals, your investment timeline, and your risk tolerance.
Please contact your financial advisor if you have any questions about the contents of this report, and thanks again for the confidence you have placed in us.
Sincerely,
| | | |
John K. Carter
President & Chief Executive Officer
Transamerica Asset Allocation Variable Funds | | Christopher A. Staples
Vice President & Chief Investment Officer
Transamerica Asset Allocation Variable Funds |
2
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
AN EXPLANATION OF FUND EXPENSES
(Unaudited)
Transamerica Asset Allocation Variable Funds (individually, a “Subaccount” and collectively, the “Subaccounts”) is a separate investment account established by Transamerica Financial Life Insurance Company, Inc. (“TFLIC”), and is used as an investment vehicle under certain tax-deferred annuity contracts issued by TFLIC. Each subaccount invests in underlying subaccounts of Transamerica Partners Variable Funds (“TPVF”), a unit investment trust. As a contractholder of a Subaccount, you will bear the ongoing costs of managing the corresponding subaccount in which your Subaccount invests. You will also bear the cost of operating the Subaccount.
The first column in the following table assumes an investment of $1,000 on January 1, 2009. The second column will show your ending balance (per $1,000) on June 30, 2009. The third column will show how much of your investment (per $1,000) went to the ongoing costs of your Subaccount. The figures in both of these columns are based on the actual total return and the actual expenses incurred for the period January 1, 2009-June 30, 2009. In order to approximate how much you paid in expenses during the six months, divide your balance by 1,000, and multiply the result by the dollar amount shown under the heading “Expenses Paid During the Period January 1, 2009-June 30, 2009.”
The fourth and fifth columns will also show your ending balance (per $1,000) on June 30, 2009 and how much of your investment (per $1,000) went to the ongoing costs of your Subaccount, but assumes a total annual return rate of 5% before expenses. Since the 5% is hypothetical, the ending account values and the expenses paid for the period January 1, 2009-June 30, 2009 will not be the actual values per $1,000 of your investment. This information is presented so you may compare the cost of investing in a Transamerica Asset Allocation Variable Fund against the cost of investing in other funds. Other funds should provide this information based on a hypothetical annual return of 5% before expenses in their most recent report in order for you to make a fair comparison.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | Expenses Paid
| | | | | | Expenses Paid
| | | |
| | | | Beginning Account
| | | Ending Account
| | | During the Period
| | | Ending Account
| | | During the Period
| | | Annualized
|
| | | | Value
| | | Value
| | | January 1, 2009-
| | | Value
| | | January 1, 2009-
| | | Expense
|
| Subaccount | | | January 1, 2009 | | | June 30, 2009(1) | | | June 30, 2009(1)(2)(3) | | | June 30, 2009 (4) | | | June 30, 2009(2)(3)(4) | | | Ratio(2) |
| Short Horizon | | | $ | 1,000 | | | | $ | 1,067.53 | | | | $ | 1.03 | | | | $ | 1,023.80 | | | | $ | 1.00 | | | | | 0.20 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Intermediate Horizon | | | | 1,000 | | | | | 1,054.23 | | | | | 1.02 | | | | | 1,023.80 | | | | | 1.00 | | | | | 0.20 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Intermediate/ Long Horizon | | | | 1,000 | | | | | 1,044.22 | | | | | 1.01 | | | | | 1,023.80 | | | | | 1.00 | | | | | 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 365, multiplied by 181 (to reflect the one-half year period). |
| |
| (4) | | Based on hypothetical 5% annual returns before actual expenses. |
3
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
SHORT HORIZON
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Investments in affiliates, at value (Notes 1 and 2) | | $ | 9,439,933 | |
| Cash | | | — | |
| Receivable for units sold | | | 10,656 | |
| Receivable for securities sold | | | — | |
| | | | | |
| Total assets | | | 9,450,589 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Custodian | | | — | |
| Payable for units redeemed | | | 1,608 | |
| Payable for securities purchased | | | 9,048 | |
| Accrued investment advisory fees | | | 1,643 | |
| | | | | |
| Total liabilities | | | 12,299 | |
| | | | | |
| | | | | |
Net assets | | $ | 9,438,290 | |
| | | | | |
| | | | | |
Net assets consist of: | | | | |
| Cost of accumulation units | | $ | 7,164,417 | |
| Undistributed (accumulated) net investment income (loss) | | | (174,283 | ) |
| Undistributed (accumulated) net realized gains (losses) | | | 2,264,392 | |
| Net unrealized appreciaton (depreciation) on investments | | | 183,764 | |
| | | | | |
| | | | | |
Net assets | | $ | 9,438,290 | |
| | | | | |
| | | | | |
Accumulation units | | | 603,160 | |
| | | | | |
| | | | | |
Unit value | | $ | 15.65 | |
| | | | | |
| | | | | |
Investments in affiliates, at cost | | $ | 9,256,169 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment advisory fees (Note 3) | | $ | (9,196 | ) |
| | | | | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | | | | |
| Net realized gains (losses) on investments in affiliates | | | 32,047 | |
| Change in net unrealized appreciation (depreciation) on investments in affiliates | | | 577,462 | |
| | | | | |
| Net realized and unrealized gains (losses) on investments in affiliates | | | 609,509 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 600,313 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Investment advisory fees | | $ | (9,196 | ) | | $ | (21,681 | ) |
| Net realized gains (losses) on investments in affiliates | | | 32,047 | | | | 592,873 | |
| Change in net unrealized appreciation (depreciation) on investments in affiliates | | | 577,462 | | | | (1,723,348 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 600,313 | | | | (1,152,156 | ) |
| | | | | | | | | |
| | | | | | | | | |
From unit transactions: | | | | | | | | |
| Units sold | | | 800,546 | | | | 4,786,093 | |
| Units redeemed | | | (1,412,704 | ) | | | (5,280,703 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from unit transactions | | | (612,158 | ) | | | (494,610 | ) |
| | | | | | | | | |
| Total increase (decrease) in net assets | | | (11,845 | ) | | | (1,646,766 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 9,450,135 | | | | 11,096,901 | |
| | | | | | | | | |
| End of period/year | | $ | 9,438,290 | | | $ | 9,450,135 | |
| | | | | | | | | |
| Units outstanding beginning of period/year | | | 644,661 | | | | 681,662 | |
| Units sold | | | 54,162 | | | | 302,679 | |
| Units redeemed | | | (95,663 | ) | | | (339,680 | ) |
| | | | | | | | | |
| Units outstanding end of period/year | | | 603,160 | | | | 644,661 | |
| | | | | | | | | |
See notes to financial statements.
4
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INTERMEDIATE HORIZON
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Investments in affiliates, at value (Notes 1 and 2) | | $ | 21,736,357 | |
| Cash | | | — | |
| Receivable for units sold | | | 17,842 | |
| Receivable for securities sold | | | 491 | |
| | | | | |
| Total assets | | | 21,754,690 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Custodian | | | — | |
| Payable for units redeemed | | | 18,333 | |
| Payable for securities purchased | | | — | |
| Accrued investment advisory fee | | | 3,804 | |
| | | | | |
| Total liabilities | | | 22,137 | |
| | | | | |
| | | | | |
Net assets | | $ | 21,732,553 | |
| | | | | |
| | | | | |
Net assets consist of: | | | | |
| Cost of accumulation units | | $ | 19,282,158 | |
| Undistributed (accumulated) net investment income (loss) | | | (509,466 | ) |
| Undistributed (accumulated) net realized gains (losses) | | | 5,162,763 | |
| Net unrealized appreciaton (depreciation) on investments | | | (2,202,902 | ) |
| | | | | |
| | | | | |
Net assets | | $ | 21,732,553 | |
| | | | | |
| | | | | |
Accumulation units | | | 1,531,894 | |
| | | | | |
| | | | | |
Unit value | | $ | 14.19 | |
| | | | | |
| | | | | |
Investments in affiliates, at cost | | $ | 23,939,259 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment advisory fees (Note 3) | | $ | (20,720 | ) |
| | | | | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | | | | |
| Net realized gains (losses) on investments in affiliates | | | (10,253 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliates | | | 1,079,460 | |
| | | | | |
| Net realized and unrealized gains (losses) on investments in affiliates | | | 1,069,207 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 1,048,487 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Investment advisory fees | | $ | (20,720 | ) | | $ | (56,271 | ) |
| Net realized gains (losses) on investments in affiliates | | | (10,253 | ) | | | 2,214,327 | |
| Change in net unrealized appreciation (depreciation) on investments in affiliates | | | 1,079,460 | | | | (10,272,210 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 1,048,487 | | | | (8,114,154 | ) |
| | | | | | | | | |
| | | | | | | | | |
From unit transactions: | | | | | | | | |
| Units sold | | | 1,748,536 | | | | 6,324,573 | |
| Units redeemed | | | (3,054,377 | ) | | | (8,803,875 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from unit transactions | | | (1,305,841 | ) | | | (2,479,302 | ) |
| | | | | | | | | |
| Total increase (decrease) in net assets | | | (257,354 | ) | | | (10,593,456 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 21,989,907 | | | | 32,583,363 | |
| | | | | | | | | |
| End of period/year | | $ | 21,732,553 | | | $ | 21,989,907 | |
| | | | | | | | | |
| Units outstanding beginning of period/year | | | 1,633,325 | | | | 1,794,207 | |
| Units sold | | | 133,138 | | | | 389,711 | |
| Units redeemed | | | (234,569 | ) | | | (550,593 | ) |
| | | | | | | | | |
| Units outstanding end of period/year | | | 1,531,894 | | | | 1,633,325 | |
| | | | | | | | | |
See notes to financial statements.
5
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INTERMEDIATE/LONG HORIZON
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Investments in affiliates, at value (Notes 1 and 2) | | $ | 26,578,300 | |
| Cash | | | — | |
| Receivable for units sold | | | 17,384 | |
| Receivable for securities sold | | | — | |
| | | | | |
| Total assets | | | 26,595,684 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to custodian | | | — | |
| Payable for units redeemed | | | 1,012 | |
| Payable for securities purchased | | | 16,372 | |
| Accrued investment advisory fees | | | 4,666 | |
| | | | | |
| Total liabilities | | | 22,050 | |
| | | | | |
| | | | | |
Net assets | | $ | 26,573,634 | |
| | | | | |
| | | | | |
Net assets consist of: | | | | |
| Cost of accumulation units | | $ | 27,652,210 | |
| Undistributed (accumulated) net investment income (loss) | | | (722,305 | ) |
| Undistributed (accumulated) net realized gains (losses) | | | 5,429,231 | |
| Net unrealized appreciaton (depreciation) on investments | | | (5,785,502 | ) |
| | | | | |
| | | | | |
Net assets | | $ | 26,573,634 | |
| | | | | |
| | | | | |
Accumulation units | | | 1,974,534 | |
| | | | | |
| | | | | |
Unit value | | $ | 13.46 | |
| | | | | |
| | | | | |
Investments in affiliates, at cost | | $ | 32,363,802 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment advisory fees (Note 3) | | $ | (29,308 | ) |
| | | | | |
Realized and unrealized gains (losses) on investments in affiliates (Note 2): | | | | |
| Net realized gains (losses) on investments in affiliates | | | (999,282 | ) |
| Change in net unrealized appreciation (depreciation) on investments in affiliates | | | 2,229,625 | |
| | | | | |
| Net realized and unrealized gains (losses) on investments in affiliates | | | 1,230,343 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 1,201,035 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Investment advisory fees | | $ | (29,308 | ) | | $ | (87,849 | ) |
| Net realized gains (losses) on investments in affiliates | | | (999,282 | ) | | | 2,836,963 | |
| Change in net unrealized appreciation (depreciation) on investments in affiliates | | | 2,229,625 | | | | (19,435,674 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 1,201,035 | | | | (16,686,560 | ) |
| | | | | | | | | |
| | | | | | | | | |
From unit transactions: | | | | | | | | |
| Units sold | | | 2,413,902 | | | | 7,759,794 | |
| Units redeemed | | | (10,494,067 | ) | | | (10,324,144 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from unit transactions | | | (8,080,165 | ) | | | (2,564,350 | ) |
| | | | | | | | | |
| Total increase (decrease) in net assets | | | (6,879,130 | ) | | | (19,250,910 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 33,452,764 | | | | 52,703,674 | |
| | | | | | | | | |
| End of period/year | | $ | 26,573,634 | | | $ | 33,452,764 | |
| | | | | | | | | |
| Units outstanding beginning of period/year | | | 2,596,241 | | | | 2,731,348 | |
| Units sold | | | 195,641 | | | | 486,824 | |
| Units redeemed | | | (817,348 | ) | | | (621,931 | ) |
| | | | | | | | | |
| Units outstanding end of period/year | | | 1,974,534 | | | | 2,596,241 | |
| | | | | | | | | |
See notes to financial statements.
6
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
SHORT HORIZON
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Investments |
| | 129,077 | | | Transamerica Partners Variable Funds — Core Bond | | $ | 4,408,049 | |
| | 97,146 | | | Transamerica Partners Variable Funds — High Quality Bond | | | 1,581,113 | |
| | 58,525 | | | Transamerica Partners Variable Funds — High Yield Bond | | | 1,005,382 | |
| | 61,238 | | | Transamerica Partners Variable Funds — Inflation-Protected Securities | | | 1,379,910 | |
| | 13,297 | | | Transamerica Partners Variable Funds — International Equity | | | 202,162 | |
| | 7,927 | | | Transamerica Partners Variable Funds — Large Growth | | | 289,375 | |
| | 8,484 | | | Transamerica Partners Variable Funds — Large Value | | | 283,699 | |
| | 4,288 | | | Transamerica Partners Variable Funds — Money Market | | | 90,453 | |
| | 8,284 | | | Transamerica Partners Variable Funds — Small Core | | | 199,790 | |
| | | | | | | | | |
| | | | | Total Investments — 100.0%
(Cost $9,256,169) | | | 9,439,933 | |
| | | | | Liabilities less other assets — (0.0)%* | | | (1,643 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 9,438,290 | |
| | | | | | | | | |
The aggregate cost of investments for federal income tax purposes at June 30, 2009 is $9,256,169.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 479,806 | |
| Gross unrealized depreciation | | | (296,042 | ) |
| | | | | |
| Net unrealized appreciation | | $ | 183,764 | |
| | | | | |
| | |
| * | | Amount rounds to less than (0.05)%. |
See notes to financial statements.
7
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INTERMEDIATE HORIZON
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Investments |
| | 146,578 | | | Transamerica Partners Variable Funds — Core Bond | | $ | 5,005,701 | |
| | 102,657 | | | Transamerica Partners Variable Funds — High Quality Bond | | | 1,670,807 | |
| | 78,722 | | | Transamerica Partners Variable Funds — High Yield Bond | | | 1,352,342 | |
| | 93,644 | | | Transamerica Partners Variable Funds — Inflation-Protected Securities | | | 2,110,138 | |
| | 178,154 | | | Transamerica Partners Variable Funds — International Equity | | | 2,708,498 | |
| | 88,328 | | | Transamerica Partners Variable Funds — Large Growth | | | 3,224,353 | |
| | 90,890 | | | Transamerica Partners Variable Funds — Large Value | | | 3,039,250 | |
| | 18,950 | | | Transamerica Partners Variable Funds — Money Market | | | 399,715 | |
| | 92,278 | | | Transamerica Partners Variable Funds — Small Core | | | 2,225,553 | |
| | | | | | | | | |
| | | | | Total Investments — 100.0%
(Cost $23,939,259) | | | 21,736,357 | |
| | | | | Liabilities less other assets — (0.0)%* | | | (3,804 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 21,732,553 | |
| | | | | | | | | |
The aggregate cost of investments for federal income tax purposes at June 30, 2009 is $23,939,259.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 616,342 | |
| Gross unrealized depreciation | | | (2,819,244 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (2,202,902 | ) |
| | | | | |
| | |
| * | | Amount rounds to less than (0.05)%. |
See notes to financial statements.
8
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INTERMEDIATE/LONG HORIZON
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Investments |
| | 113,124 | | | Transamerica Partners Variable Funds — Core Bond | | $ | 3,863,234 | |
| | 31,366 | | | Transamerica Partners Variable Funds — High Quality Bond | | | 510,501 | |
| | 65,691 | | | Transamerica Partners Variable Funds — High Yield Bond | | | 1,128,478 | |
| | 81,758 | | | Transamerica Partners Variable Funds — Inflation-Protected Securities | | | 1,842,304 | |
| | 324,493 | | | Transamerica Partners Variable Funds — International Equity | | | 4,933,302 | |
| | 147,290 | | | Transamerica Partners Variable Funds — Large Growth | | | 5,376,716 | |
| | 145,857 | | | Transamerica Partners Variable Funds — Large Value | | | 4,877,269 | |
| | 15,479 | | | Transamerica Partners Variable Funds — Money Market | | | 326,500 | |
| | 154,241 | | | Transamerica Partners Variable Funds — Small Core | | | 3,719,996 | |
| | | | | | | | | |
| | | | | Total Investments — 100.0%
(Cost $32,363,802) | | | 26,578,300 | |
| | | | | Liabilities less other assets — (0.0)%* | | | (4,666 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 26,573,634 | |
| | | | | | | | | |
The aggregate cost of investments for federal income tax purposes at June 30, 2009 is $32,363,802.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 362,978 | |
| Gross unrealized depreciation | | | (6,148,480 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (5,785,502 | ) |
| | | | | |
| | |
| * | | Amount rounds to less than (0.05)%. |
See notes to financial statements.
9
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
PORTFOLIO COMPOSTION
June 30, 2009
(Unaudited)
The following charts summarize the portfolio composition of each Subaccount by asset type.
| | | | | |
Short Horizon | | | | |
| Money Market Fund | | | 1.0 | % |
| Fixed Income Funds | | | 88.7 | |
| Domestic Equity Funds | | | 8.2 | |
| International Equity Fund | | | 2.1 | |
| Liabilities less other assets | | | (0.0 | )* |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Intermediate Horizon | | | | |
| Money Market Fund | | | 1.8 | % |
| Fixed Income Funds | | | 46.6 | |
| Domestic Equity Funds | | | 39.1 | |
| International Equity Fund | | | 12.5 | |
| Liabilities less other assets | | | (0.0 | )* |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Intermediate/Long Horizon | | | | |
| Money Market Fund | | | 1.2 | % |
| Fixed Income Funds | | | 27.6 | |
| Domestic Equity Funds | | | 52.6 | |
| International Equity Fund | | | 18.6 | |
| Liabilities less other assets | | | (0.0 | )* |
| | | | | |
| | | | 100.0 | % |
| | | | | |
| | |
| * | | Amount rounds to less than (0.05)%. |
See notes to financial statements.
10
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
1. Organization
Transamerica Asset Allocation Variable Funds (the “Separate Account”), a separate account of Transamerica Financial Life Insurance Company (“TFLIC”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a management investment company. The Separate Account is composed of three different subaccounts that are, in effect, separate investment funds: Transamerica Asset Allocation — Short Horizon Subaccount (“Short Horizon”), Transamerica Asset Allocation — Intermediate Horizon Subaccount (“Intermediate Horizon”), and Transamerica Asset Allocation — Intermediate/Long Horizon Subaccount (“Intermediate/Long Horizon”) (individually, a “Subaccount” and collectively, the “Subaccounts”). The Separate Account established and designated each of the Subaccounts as separate subaccounts on April 15, 1996 and commenced operations on January 2, 1997. Each Subaccount seeks to achieve its investment objective by investing all of its investable assets among certain Transamerica Partners Variable Funds (“TPVF”). TPVF is a separate investment account offering thirteen subaccounts, each with a different investment objective. Certain TPVF subaccounts seek to achieve their investment objective by investing all of their investable assets in the Transamerica Partners Portfolios (“Portfolios”). TPVF operates as a unit investment trust under the 1940 Act and commenced operations on August 18, 1994. The financial statements of the Portfolios accompany this report.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Separate Account in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America.
A. Investment Valuation:
The value of each Subaccount’s investment in a corresponding subaccount of TPVF is valued at the unit value per share determined as of the close of the New York Stock Exchange (typically, 4:00 P.M. Eastern time) on the valuation date.
The Subaccounts are subject to the provisions of Financial Accounting Standards Board (“FASB”) Standard No. 157, “Fair Value Measurements” (“FAS 157”) which is designed to unify guidance for the measurement of fair value of all types of assets, including financial instruments, and certain liabilities, throughout a number of accounting standards. FAS 157 also establishes a hierarchy for measuring fair value in generally accepted accounting principals and expands financial statement disclosures about fair value measurements that are relevant to mutual funds.
Various inputs are used in determining the value of each Subaccount’s investments. These inputs are summarized in the three broad levels listed below:
Level 1 — Quoted prices in active markets for identical securities.
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — Significant unobservable inputs (including the Subaccount’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risks associated with investing in those securities.
11
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
The following is a summary of fair valuations according to the inputs used to value the Subaccounts’ net assets as of June 30, 2009.
Short Horizon:
| | | | | | | | | | | | | | | | | |
Investment Companies | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Money Market Fund | | $ | — | | | $ | 90,453 | | | $ | — | | | $ | 90,453 | |
| Fixed Income Funds | | | — | | | | 8,374,454 | | | | — | | | | 8,374,454 | |
| Domestic Equity Funds | | | — | | | | 772,864 | | | | — | | | | 772,864 | |
| International Equity Fund | | | — | | | | 202,162 | | | | — | | | | 202,162 | |
| | | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 9,439,933 | | | $ | — | | | $ | 9,439,933 | |
| | | | | | | | | | | | | | | | | |
Intermediate Horizon:
| | | | | | | | | | | | | | | | | |
Investment Companies | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Money Market Fund | | $ | — | | | $ | 399,715 | | | $ | — | | | $ | 399,715 | |
| Fixed Income Funds | | | — | | | | 10,138,988 | | | | — | | | | 10,138,988 | |
| Domestic Equity Funds | | | — | | | | 8,489,156 | | | | — | | | | 8,489,156 | |
| International Equity Fund | | | — | | | | 2,708,498 | | | | — | | | | 2,708,498 | |
| | | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 21,736,357 | | | $ | — | | | $ | 21,736,357 | |
| | | | | | | | | | | | | | | | | |
Intermediate/Long Horizon:
| | | | | | | | | | | | | | | | | |
Investment Companies | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Money Market Fund | | $ | — | | | $ | 326,500 | | | $ | — | | | $ | 326,500 | |
| Fixed Income Funds | | | — | | | | 7,344,517 | | | | — | | | | 7,344,517 | |
| Domestic Equity Funds | | | — | | | | 13,973,981 | | | | — | | | | 13,973,981 | |
| International Equity Fund | | | — | | | | 4,933,302 | | | | — | | | | 4,933,302 | |
| | | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 26,578,300 | | | $ | — | | | $ | 26,578,300 | |
| | | | | | | | | | | | | | | | | |
B. Operating Expenses:
The Separate Account accounts separately for the assets, liabilities and operations of each Subaccount. Each Subaccount will indirectly bear its share of fees and expenses incurred by TPVF. These expenses are not reflected in the expenses in the Statement of Operations and are not included in the ratios to average net assets shown in the financial highlights.
C. Federal Income Taxes:
The operations of the Separate Account form a part of, and are taxed with, the operations of TFLIC, a wholly-owned subsidiary of AEGON USA, LLC (“AEGON USA”). AEGON USA is a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation
12
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
(DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international group. TFLIC does not expect, based upon current tax law, to incur any income tax upon the earnings or realized capital gains attributable to the Separate Account. Based upon this expectation, no charges are currently being deducted from the Separate Account for federal income tax purposes.
D. Other:
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
3. Fees and Transactions with Affiliates
The Separate Account has entered into an Investment Advisory Agreement with Transamerica Asset Management, Inc. (the “Advisor” or “TAM”). TAM is directly owned by Western Reserve Life Assurance Co. of Ohio (77%) (“Western Reserve”) and AUSA Holding Company (23%) (“AUSA”), both of which are indirect, wholly-owned subsidiaries of AEGON NV. AUSA is wholly-owned by AEGON USA. The Advisor provides general investment advice to each Subaccount. For providing these services and facilities and for bearing the related expenses, the Advisor receives a monthly fee from each Subaccount at an annual rate equal to 0.20% of the average daily net assets of each Subaccount.
In addition, TFLIC deducts a mortality and expense risk charge at an annual rate equivalent to 1.10% of the average daily net assets from TPVF. TFLIC reserves the right to charge maximum fees of 1.25% upon notice.
TFLIC bears sales distribution expenses and any other expenses in excess of the mortality and expense risk charge. TFLIC reserves the right to deduct an annual contract charge from a participant’s account to reimburse TFLIC for administrative expenses relating to the maintenance of the group variable annuity contracts. TFLIC has no present intention to impose such a charge but may do so in the future. Any such annual charge will not exceed $50.
Certain managing board members and officers of the Separate Account are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent managing board members so affiliated receive compensation for services as managing board members of the Separate Account. Similarly, none of the Separate Account’s officers receive compensation from the Subaccounts. The independent board members are also trustees of the Portfolios for which they receive fees.
Each eligible independent board member may elect participation in a non-qualified deferred compensation plan (“the Plan”). Under the Plan, such board members may defer payment of all or a portion of their total fees earned as a Separate Account board member. Each board member who is a participant in the Plan may elect that the earnings, gains or losses credited to his/her deferred fee amounts be determined based on a deemed investment in investment options in Transamerica Partners Institutional Funds Group, Transamerica Institutional Asset Allocation Funds, Class A shares of any series of Transamerica Funds and/or funds of Transamerica Investors, Inc.
13
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
4. Purchases and Sales of Investments
The aggregate cost of investments purchased and proceeds from sales for the period ended June 30, 2009 were as follows:
| | | | | | | | | |
| | | Cost of
| | Proceeds
|
| | | Purchases | | from Sales |
| |
| Short Horizon | | $ | 1,080,584 | | | $ | 1,701,968 | |
| Intermediate Horizon | | | 4,605,253 | | | | 5,931,870 | |
| Intermediate/Long Horizon | | | 13,077,262 | | | | 21,187,835 | |
5. Concentrations and Indemnifications
From time to time, the Subaccounts may have a concentration of several contractholders holding a significant percentage of units outstanding. Investment activities of these contractholders could have a material impact on the Subaccounts.
In the normal course of business, the Subaccounts enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Subaccounts’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Subaccounts that have not yet occurred. However, based on experience, the Subaccounts expect the risk of loss to be remote.
6. Financial Highlights
For an accumulation unit outstanding throughout the period/year:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Income (Loss) from
| | | | | | | | | | Ratios to Average
| | |
| | | | | Investment Operations | | | | | | | | | | Net Assets | | |
| | | Unit
| | Net
| | Net Realized
| | Total
| | Unit
| | | | Net
| | | | Net
| | |
For the
| | Value,
| | Investment
| | and Unrealized
| | Income (Loss)
| | Value,
| | | | Assets,
| | | | Investment
| | |
Period/Year
| | Beginning of
| | Income
| | Gains (Losses)
| | from Investment
| | End of
| | Total
| | End of
| | | | Income
| | Portfolio
|
Ended | | Period/Year | | (Loss)(a) | | on Investments | | Operations | | Period/Year | | Return | | Period/Year | | Expenses | | (Loss) | | Turnover |
| |
Short Horizon |
| 06/30/2009 | | $ | 14.66 | | | $ | (0.01 | ) | | $ | 1.00 | | | $ | 0.99 | | | $ | 15.65 | | | | 6.75 | % | | $ | 9,438,290 | | | | 0.20 | %* | | | (0.20 | )%* | | | 12 | % |
| 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 |
| 06/30/2009 | | | 13.46 | | | | (0.01 | ) | | | 0.74 | | | | 0.73 | | | | 14.19 | | | | 5.42 | | | | 21,732,553 | | | | 0.20 | * | | | (0.20 | )* | | | 22 | |
| 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 |
| 06/30/2009 | | | 12.89 | | | | (0.01 | ) | | | 0.58 | | | | 0.57 | | | | 13.46 | | | | 4.42 | | | | 26,573,634 | | | | 0.20 | * | | | (0.20 | )* | | | 44 | |
| 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. |
| * | | Annualized. |
14
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL
June 30, 2009
(Unaudited)
At a meeting of the Board of Trustees of Transamerica Asset Allocation Variable Funds (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Asset Allocation — Short Horizon Subaccount (the “Fund”) and Transamerica Asset Management, Inc. (“TAM”), to determine whether the agreement should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement would enable shareholders of the Fund to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Fund shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM such information as they deemed reasonably necessary to evaluate the agreement. The Trustees also carefully considered information they had previously received from TAM as part of their regular oversight of the Fund, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory Agreement, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. They based their decision on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decision:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM to the Fund in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed TAM’s investment approach for the Fund. The Board concluded that TAM is capable of providing high quality services to the Fund, as indicated by the nature and quality of services provided in the past by TAM for this Fund and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM, and the professional qualifications of the portfolio management team of TAM. The Trustees determined that TAM can provide investment and related services that are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Fund. The Board examined the short and longer-term performance of the Fund, including relative performance against a peer universe of comparable asset allocation funds as prepared by Lipper for various trailing periods ended December 31, 2008. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM, the Board concluded that TAM is capable of generating a level of investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Fund and to Transamerica Asset Allocation Variable Funds as a whole by TAM and its affiliates. The Board reviewed the management fee for the Fund. Based on their review, the Trustees determined that the management fee of the Fund generally is appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Fund and TAM and its affiliates. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Fund grows. The Trustees considered the economies of scale with respect to the management of the Fund,
15
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
whether the Fund had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Fund has achieved economies of scale, and the appropriateness of management fees payable to TAM, in the future.
Benefits to TAM and its affiliates from their relationship with the Fund. The Board concluded that other benefits anticipated to be derived by TAM and its affiliates from their relationships with the Fund are expected to be consistent with industry practice and the best interests of the Fund and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Fund.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Fund, reflected by TAM’s expense limitation and fee waiver arrangements with the Fund, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement, including the fees payable thereunder, was fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement for the Fund.
At a meeting of the Board of Trustees of Transamerica Asset Allocation Variable Funds (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Asset Allocation - Intermediate Horizon Subaccount (the “Fund”) and Transamerica Asset Management, Inc. (“TAM”), to determine whether the agreement should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement would enable shareholders of the Fund to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Fund shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM such information as they deemed reasonably necessary to evaluate the agreement. The Trustees also carefully considered information they had previously received from TAM as part of their regular oversight of the Fund, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory Agreement, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. They based their decision on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decision:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM to the Fund in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed TAM’s investment approach for the Fund. The Board concluded that TAM is capable of providing high quality services to the Fund, as indicated by the nature and quality of services
16
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
provided in the past by TAM for this Fund and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM, and the professional qualifications of the portfolio management team of TAM. The Trustees determined that TAM can provide investment and related services that are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Fund. The Board examined the short and longer-term performance of the Fund, including relative performance against a peer universe of comparable asset allocation funds as prepared by Lipper for various trailing periods ended December 31, 2008. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM, the Board concluded that TAM is capable of generating a level of investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Fund and to Transamerica Asset Allocation Variable Funds as a whole by TAM and its affiliates. The Board reviewed the management fee for the Fund. Based on their review, the Trustees determined that the management fee of the Fund generally is appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Fund and TAM and its affiliates. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Fund grows. The Trustees considered the economies of scale with respect to the management of the Fund, whether the Fund had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Fund has achieved economies of scale, and the appropriateness of management fees payable to TAM, in the future.
Benefits to TAM and its affiliates from their relationship with the Fund. The Board concluded that other benefits anticipated to be derived by TAM and its affiliates from their relationships with the Fund are expected to be consistent with industry practice and the best interests of the Fund and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Fund.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Fund, reflected by TAM’s expense limitation and fee waiver arrangements with the Fund, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement, including the fees payable thereunder, was fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement for the Fund.
17
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
At a meeting of the Board of Trustees of Transamerica Asset Allocation Variable Funds (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Asset Allocation - Intermediate/Long Horizon Subaccount (the “Fund”) and Transamerica Asset Management, Inc. (“TAM”), to determine whether the agreement should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement would enable shareholders of the Fund to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Fund shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM such information as they deemed reasonably necessary to evaluate the agreement. The Trustees also carefully considered information they had previously received from TAM as part of their regular oversight of the Fund, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory Agreement, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. They based their decision on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decision:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM to the Fund in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed TAM’s investment approach for the Fund. The Board concluded that TAM is capable of providing high quality services to the Fund, as indicated by the nature and quality of services provided in the past by TAM for this Fund and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM, and the professional qualifications of the portfolio management team of TAM. The Trustees determined that TAM can provide investment and related services that are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Fund. The Board examined the short and longer-term performance of the Fund, including relative performance against a peer universe of comparable asset allocation funds as prepared by Lipper for various trailing periods ended December 31, 2008. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM, the Board concluded that TAM is capable of generating a level of investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Fund and to Transamerica Asset Allocation Variable Funds as a whole by TAM and its affiliates. The Board reviewed the management fee for the Fund. Based on their review, the Trustees determined that the management fee of the Fund generally is appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Fund and TAM and its affiliates. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Fund grows. The Trustees considered the economies of scale with respect to the management of the Fund,
18
TRANSAMERICA ASSET ALLOCATION VARIABLE FUNDS
INVESTMENT ADVISORY AGREEMENT — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
whether the Fund had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Fund has achieved economies of scale, and the appropriateness of management fees payable to TAM, in the future.
Benefits to TAM and its affiliates from their relationship with the Fund. The Board concluded that other benefits anticipated to be derived by TAM and its affiliates from their relationships with the Fund are expected to be consistent with industry practice and the best interests of the Fund and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Fund.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Fund in a professional manner that is consistent with the best interests of the Fund and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Fund, reflected by TAM’s expense limitation and fee waiver arrangements with the Fund, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement, including the fees payable thereunder, was fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement for the Fund.
19
Transamerica Partners Portfolios
I
TRANSAMERICA PARTNERS PORTFOLIOS
MONEY MARKET
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 1,233,598,296 | |
| Repurchase agreements (cost equals market value) | | | 28,836,884 | |
| 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 | | | 2,163,592 | |
| Dividends receivable | | | — | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 1,264,598,772 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 30,848,153 | |
| 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 | | | 274,444 | |
| Accrued expenses | | | 58,050 | |
| | | | | |
| Total liabilities | | | 31,180,647 | |
| | | | | |
| | | | | |
Net assets | | $ | 1,233,418,125 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 1,233,598,296 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 5,761,524 | |
| Securities lending income (net) | | | — | |
| Dividend income | | | — | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 5,761,524 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 1,603,333 | |
| Custody fees | | | 53,736 | |
| Audit fees | | | 13,987 | |
| Legal fees | | | 26,888 | |
| Reports to shareholders | | | 8,819 | |
| Other fees | | | 25,712 | |
| | | | | |
| Total expenses | | | 1,732,475 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 1,732,475 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 4,029,049 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | 39,491 | |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | 39,491 | |
| | | | | |
| 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 | | | 39,491 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 4,068,540 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 4,029,049 | | | $ | 29,394,341 | |
| Net realized gains (losses) on investments | | | 39,491 | | | | (546,399 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | — | | | | — | |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 4,068,540 | | | | 28,847,942 | |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 716,222,526 | | | | 4,260,151,227 | |
| Withdrawals | | | (812,674,690 | ) | | | (4,013,993,525 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (96,452,164 | ) | | | 246,157,702 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (92,383,624 | ) | | | 275,005,644 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 1,325,801,749 | | | | 1,050,796,105 | |
| | | | | | | | | |
| End of period/year | | $ | 1,233,418,125 | | | $ | 1,325,801,749 | |
| | | | | | | | | |
See notes to financial statements.
1
TRANSAMERICA PARTNERS PORTFOLIOS
HIGH QUALITY BOND
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 394,501,962 | |
| Repurchase agreements (cost equals market value) | | | 4,604,867 | |
| 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 | | | 2,393,516 | |
| Dividends receivable | | | — | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 401,500,345 | |
| | | | | |
| | | | | |
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 | | | 122,531 | |
| Accrued expenses | | | 59,511 | |
| | | | | |
| Total liabilities | | | 182,042 | |
| | | | | |
| | | | | |
Net assets | | $ | 401,318,303 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 396,574,548 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 8,807,928 | |
| Securities lending income (net) | | | 16,755 | |
| Dividend income | | | — | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 8,824,683 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 692,322 | |
| Custody fees | | | 37,197 | |
| Audit fees | | | 15,057 | |
| Legal fees | | | 6,185 | |
| Reports to shareholders | | | 2,877 | |
| Other fees | | | 8,296 | |
| | | | | |
| Total expenses | | | 761,934 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 761,934 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 8,062,749 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (3,105,334 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (3,105,334 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 16,546,707 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 16,546,707 | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 13,441,373 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 21,504,122 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 8,062,749 | | | $ | 22,266,407 | |
| Net realized gains (losses) on investments | | | (3,105,334 | ) | | | 3,031,998 | |
| Change in net unrealized appreciation (depreciation) on investments | | | 16,546,707 | | | | (20,430,574 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 21,504,122 | | | | 4,867,831 | |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 81,284,104 | | | | 202,813,678 | |
| Withdrawals | | | (122,701,426 | ) | | | (619,741,245 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (41,417,322 | ) | | | (416,927,567 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (19,913,200 | ) | | | (412,059,736 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 421,231,503 | | | | 833,291,239 | |
| | | | | | | | | |
| End of period/year | | $ | 401,318,303 | | | $ | 421,231,503 | |
| | | | | | | | | |
See notes to financial statements.
2
TRANSAMERICA PARTNERS PORTFOLIOS
INFLATION-PROTECTED SECURITIES
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 330,637,349 | |
| Repurchase agreements (cost equals market value) | | | 24,097,428 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value (cost $17,058) | | | 17,025 | |
| Receivable for securities sold | | | 5,555,404 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | 80,168 | |
| Swap contracts, at value | | | 332,816 | |
| Variation margin receivable | | | — | |
| Interest receivable | | | 2,863,598 | |
| Dividends receivable | | | — | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 363,583,788 | |
| | | | | |
| | | | | |
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 ($1,480,290) | | | 1,470,294 | |
| Swap contracts, at value | | | 238,969 | |
| Unrealized depreciation on foreign currency forward contracts (Note 8) | | | 3,470 | |
| Variation margin payable | | | 38,611 | |
| Accrued investment advisory fees | | | 112,029 | |
| Accrued expenses | | | 45,904 | |
| | | | | |
| Total liabilities | | | 1,909,277 | |
| | | | | |
| | | | | |
Net assets | | $ | 361,674,511 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 333,418,262 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 15,567 | |
| Securities lending income (net) | | | — | |
| Dividend income | | | — | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 15,567 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 638,008 | |
| Custody fees | | | 31,035 | |
| Audit fees | | | 15,057 | |
| Legal fees | | | 8,284 | |
| Reports to shareholders | | | 2,721 | |
| Other fees | | | 7,871 | |
| | | | | |
| Total expenses | | | 702,976 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 702,976 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | (687,409 | ) |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (1,329,793 | ) |
| Swap contracts | | | (49,656 | ) |
| Futures | | | (704,889 | ) |
| Written options | | | 24,207 | |
| Foreign currency transactions | | | (37,344 | ) |
| | | | | |
| | | | (2,097,475 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 18,192,299 | |
| Futures | | | 578,686 | |
| Written options | | | 9,996 | |
| Short sales | | | — | |
| Swap contracts | | | 93,847 | |
| Foreign currency translations | | | 77,410 | |
| | | | | |
| | | | 18,952,238 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 16,854,763 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 16,167,354 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | (687,409 | ) | | $ | 23,136,350 | |
| Net realized gains (losses) on investments | | | (2,097,475 | ) | | | (10,343,716 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 18,952,238 | | | | (28,629,135 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 16,167,354 | | | | (15,836,501 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 40,149,348 | | | | 509,258,026 | |
| Withdrawals | | | (83,840,065 | ) | | | (253,237,047 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (43,690,717 | ) | | | 256,020,979 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (27,523,363 | ) | | | 240,184,478 | |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 389,197,874 | | | | 149,013,396 | |
| | | | | | | | | |
| End of period/year | | $ | 361,674,511 | | | $ | 389,197,874 | |
| | | | | | | | | |
See notes to financial statements.
3
TRANSAMERICA PARTNERS PORTFOLIOS
CORE BOND
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 1,776,954,261 | |
| Repurchase agreements (cost equals market value) | | | 99,090,576 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value (cost $94,260) | | | 93,706 | |
| Receivable for securities sold | | | 808,271,242 | |
| Receivable for principal paydowns | | | 266,150 | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | 12,420,074 | |
| Variation margin receivable | | | — | |
| Interest receivable | | | 11,511,241 | |
| Dividends receivable | | | — | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 2,708,607,250 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 929,277,572 | |
| Securities sold short, at value (proceeds $267,456,508) | | | 267,965,436 | |
| Written options, at value (premium $29,682,250) | | | 30,456,348 | |
| Swap contracts, at value | | | 5,729,546 | |
| Unrealized depreciation on foreign currency forward contracts (Note 8) | | | 430,511 | |
| Variation margin payable | | | 330,078 | |
| Accrued investment advisory fees | | | 454,565 | |
| Accrued expenses | | | 156,758 | |
| | | | | |
| Total liabilities | | | 1,234,800,814 | |
| | | | | |
| | | | | |
Net assets | | $ | 1,473,806,436 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 1,831,294,844 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 39,367,460 | |
| Securities lending income (net) | | | 6,728 | |
| Dividend income | | | — | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 39,374,188 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 2,637,208 | |
| Custody fees | | | 144,275 | |
| Audit fees | | | 16,727 | |
| Legal fees | | | 25,594 | |
| Reports to shareholders | | | 11,357 | |
| Other fees | | | 32,747 | |
| | | | | |
| Total expenses | | | 2,867,908 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 2,867,908 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 36,506,280 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (57,989,946 | ) |
| Swap contracts | | | 15,758,712 | |
| Futures | | | 1,688,122 | |
| Written options | | | 190,265 | |
| Foreign currency transactions | | | 481,001 | |
| | | | | |
| | | | (39,871,846 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 93,160,131 | |
| Futures | | | (1,293,227 | ) |
| Written options | | | 4,776,945 | |
| Short sales | | | 1,476,568 | |
| Swap contracts | | | (13,190,301 | ) |
| Foreign currency translations | | | (541,152 | ) |
| | | | | |
| | | | 84,388,964 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 44,517,118 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 81,023,398 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 36,506,280 | | | $ | 99,859,649 | |
| Net realized gains (losses) on investments | | | (39,871,846 | ) | | | 32,472,517 | |
| Change in net unrealized appreciation (depreciation) on investments | | | 84,388,964 | | | | (171,050,113 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 81,023,398 | | | | (38,717,947 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 150,037,359 | | | | 611,898,545 | |
| Withdrawals | | | (424,567,006 | ) | | | (1,154,747,429 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (274,529,647 | ) | | | (542,848,884 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (193,506,249 | ) | | | (581,566,831 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 1,667,312,685 | | | | 2,248,879,516 | |
| | | | | | | | | |
| End of period/year | | $ | 1,473,806,436 | | | $ | 1,667,312,685 | |
| | | | | | | | | |
See notes to financial statements.
4
TRANSAMERICA PARTNERS PORTFOLIOS
TOTAL RETURN BOND
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 275,668,544 | |
| Repurchase agreements (cost equals market value) | | | 1,416,448 | |
| Cash at broker | | | 1,992,027 | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 2,224,151 | |
| Receivable for principal paydowns | | | 98,824 | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | 187,369 | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | 2,780,690 | |
| Dividends receivable | | | — | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | 2,847 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 284,370,900 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Payable for written options | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities and options purchased | | | 26,732,552 | |
| Securities sold short, at value | | | — | |
| Written options, at value (premium $162,219) | | | 73,081 | |
| Swap contracts, at value | | | — | |
| Unrealized depreciation on foreign currency forward contracts (Note 8) | | | 283,451 | |
| Variation margin payable | | | 342,229 | |
| Accrued investment advisory fees | | | 81,430 | |
| Accrued expenses | | | 61,075 | |
| | | | | |
| Total liabilities | | | 27,573,818 | |
| | | | | |
| | | | | |
Net assets | | $ | 256,797,082 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 327,448,615 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 8,283,308 | |
| Securities lending income (net) | | | 448 | |
| Dividend income | | | 9,255 | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 8,293,011 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 465,591 | |
| Custody fees | | | 54,127 | |
| Audit fees | | | 16,749 | |
| Legal fees | | | 4,669 | |
| Reports to shareholders | | | 2,051 | |
| Other fees | | | 5,906 | |
| | | | | |
| Total expenses | | | 549,093 | |
| Expenses reimbursed by the Advisor | | | (16,989 | ) |
| | | | | |
| Net expenses | | | 532,104 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 7,760,907 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (1,787,815 | ) |
| Swap contracts | | | — | |
| Futures | | | (2,064,286 | ) |
| Written options | | | 720,011 | |
| Foreign currency transactions | | | 224,203 | |
| | | | | |
| | | | (2,907,887 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 14,140,283 | |
| Futures | | | (1,421,448 | ) |
| Written options | | | 1,131,764 | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | (197,574 | ) |
| | | | | |
| | | | 13,653,025 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 10,745,138 | |
| | | | | |
Net increase (decrease) in net assets | | | | |
resulting from operations | | $ | 18,506,045 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 7,760,907 | | | $ | 19,128,952 | |
| Net realized gains (losses) on investments | | | (2,907,887 | ) | | | 4,762,016 | |
| Change in net unrealized appreciation (depreciation) on investments | | | 13,653,025 | | | | (59,224,787 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 18,506,045 | | | | (35,333,819 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 36,555,972 | | | | 156,252,922 | |
| Withdrawals | | | (98,677,935 | ) | | | (210,793,599 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (62,121,963 | ) | | | (54,540,677 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (43,615,918 | ) | | | (89,874,496 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 300,413,000 | | | | 390,287,496 | |
| | | | | | | | | |
| End of period/year | | $ | 256,797,082 | | | $ | 300,413,000 | |
| | | | | | | | | |
See notes to financial statements.
5
TRANSAMERICA PARTNERS PORTFOLIOS
HIGH YIELD BOND
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 520,856,700 | |
| Repurchase agreements (cost equals market value) | | | 2,968,343 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 8,866,563 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | 12,064,686 | |
| Dividends receivable | | | — | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 544,756,292 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 14,428,957 | |
| 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 | | | 258,007 | |
| Accrued expenses | | | 59,899 | |
| | | | | |
| Total liabilities | | | 14,746,863 | |
| | | | | |
| | | | | |
Net assets | | $ | 530,009,429 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 598,662,753 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 27,366,884 | |
| Securities lending income (net) | | | — | |
| Dividend income | | | 84,155 | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 27,451,039 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 1,286,725 | |
| Custody fees | | | 46,965 | |
| Audit fees | | | 15,057 | |
| Legal fees | | | 7,124 | |
| Reports to shareholders | | | 2,930 | |
| Other fees | | | 10,300 | |
| | | | | |
| Total expenses | | | 1,369,101 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 1,369,101 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 26,081,938 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (24,421,613 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (24,421,613 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 122,526,809 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 122,526,809 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 98,105,196 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 124,187,134 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 26,081,938 | | | $ | 52,310,795 | |
| Net realized gains (losses) on investments | | | (24,421,613 | ) | | | (47,659,274 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 122,526,809 | | | | (177,504,943 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 124,187,134 | | | | (172,853,422 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 52,905,257 | | | | 263,465,864 | |
| Withdrawals | | | (86,946,416 | ) | | | (189,476,006 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (34,041,159 | ) | | | 73,989,858 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | 90,145,975 | | | | (98,863,564 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 439,863,454 | | | | 538,727,018 | |
| | | | | | | | | |
| End of period/year | | $ | 530,009,429 | | | $ | 439,863,454 | |
| | | | | | | | | |
See notes to financial statements.
6
TRANSAMERICA PARTNERS PORTFOLIOS
BALANCED
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 146,608,307 | |
| Repurchase agreements (cost equals market value) | | | 8,313,730 | |
| Cash at broker | | | 800,004 | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 3,114,576 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | 104,927 | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | 214 | |
| Interest receivable | | | 724,790 | |
| Dividends receivable | | | 92,537 | |
| Foreign tax reclaim receivable | | | 56 | |
| Receivable from Advisor | | | 8,520 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 159,767,661 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Payable for written options | | | — | |
| Foreign currency holdings, at value | | | — | |
| Payable for securities and options purchased | | | 11,720,239 | |
| Securities sold short, at value | | | — | |
| Written options, at value (premium $29,076) | | | 36,044 | |
| Swap contracts, at value | | | — | |
| Unrealized depreciation on foreign currency forward contracts (Note 8) | | | 127,207 | |
| Variation margin payable | | | 84,049 | |
| Accrued investment advisory fees | | | 58,577 | |
| Accrued expenses | | | 84,564 | |
| | | | | |
| Total liabilities | | | 12,110,680 | |
| | | | | |
| | | | | |
Net assets | | $ | 147,656,981 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 178,043,923 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 1,758,751 | |
| Securities lending income (net) | | | 2,250 | |
| Dividend income | | | 1,144,645 | |
| Less: foreign withholding taxes | | | (2,134 | ) |
| | | | | |
| Total income | | | 2,903,512 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 323,533 | |
| Custody fees | | | 67,972 | |
| Audit fees | | | 15,642 | |
| Legal fees | | | 2,099 | |
| Reports to shareholders | | | 1,803 | |
| Other fees | | | 3,228 | |
| | | | | |
| Total expenses | | | 414,277 | |
| Expenses reimbursed by the Advisor | | | (54,796 | ) |
| | | | | |
| Net expenses | | | 359,481 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 2,544,031 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (15,600,161 | ) |
| Swap contracts | | | — | |
| Futures | | | (253,910 | ) |
| Written options | | | 177,470 | |
| Foreign currency transactions | | | 167,557 | |
| | | | | |
| | | | (15,509,044 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 19,830,872 | |
| Futures | | | (558,074 | ) |
| Written options | | | 273,128 | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | (121,345 | ) |
| | | | | |
| | | | 19,424,581 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 3,915,537 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 6,459,568 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 2,544,031 | | | $ | 8,396,624 | |
| Net realized gains (losses) on investments | | | (15,509,044 | ) | | | (18,537,242 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 19,424,581 | | | | (61,189,120 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 6,459,568 | | | | (71,329,738 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 7,970,551 | | | | 40,381,517 | |
| Withdrawals | | | (35,703,248 | ) | | | (118,756,852 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (27,732,697 | ) | | | (78,375,335 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (21,273,129 | ) | | | (149,705,073 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 168,930,110 | | | | 318,635,183 | |
| | | | | | | | | |
| End of period/year | | $ | 147,656,981 | | | $ | 168,930,110 | |
| | | | | | | | | |
See notes to financial statements.
7
TRANSAMERICA PARTNERS PORTFOLIOS
LARGE VALUE
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 1,177,918,647 | |
| Repurchase agreements (cost equals market value) | | | 26,800,488 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 17,272,187 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | — | |
| Dividends receivable | | | 1,261,009 | |
| Foreign tax reclaim receivable | | | 1,552 | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 1,223,253,883 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 21,546,883 | |
| 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 | | | 484,717 | |
| Accrued expenses | | | 128,275 | |
| | | | | |
| Total liabilities | | | 22,159,875 | |
| | | | | |
| | | | | |
Net assets | | $ | 1,201,094,008 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 1,248,620,124 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | — | |
| Securities lending income (net) | | | — | |
| Dividend income | | | 18,751,955 | |
| Less: foreign withholding taxes | | | (96,220 | ) |
| | | | | |
| Total income | | | 18,655,735 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 2,715,832 | |
| Custody fees | | | 108,544 | |
| Audit fees | | | 16,732 | |
| Legal fees | | | 28,859 | |
| Reports to shareholders | | | 15,519 | |
| Other fees | | | 25,254 | |
| | | | | |
| Total expenses | | | 2,910,740 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 2,910,740 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 15,744,995 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (709,615,398 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (709,615,398 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities Futures | | | 630,455,358 | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 630,455,358 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | (79,160,040 | ) |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | (63,415,045 | ) |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 15,744,995 | | | $ | 58,283,183 | |
| Net realized gains (losses) on investments | | | (709,615,398 | ) | | | (202,203,330 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 630,455,358 | | | | (1,044,249,653 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | (63,415,045 | ) | | | (1,188,169,800 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 81,374,359 | | | | 536,264,110 | |
| Withdrawals | | | (267,835,453 | ) | | | (1,062,148,938 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (186,461,094 | ) | | | (525,884,828 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (249,876,139 | ) | | | (1,714,054,628 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 1,450,970,147 | | | | 3,165,024,775 | |
| | | | | | | | | |
| End of period/year | | $ | 1,201,094,008 | | | $ | 1,450,970,147 | |
| | | | | | | | | |
See notes to financial statements.
8
TRANSAMERICA PARTNERS PORTFOLIOS
VALUE
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 45,594,329 | |
| Repurchase agreements (cost equals market value) | | | 883,119 | |
| 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 | | | — | |
| Dividends receivable | | | 104,471 | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | 2,311 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 46,584,230 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 182,037 | |
| 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 | | | 23,359 | |
| Accrued expenses | | | 23,233 | |
| | | | | |
| Total liabilities | | | 228,629 | |
| | | | | |
| | | | | |
Net assets | | $ | 46,355,601 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 50,170,550 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 315 | |
| Securities lending income (net) | | | 365 | |
| Dividend income | | | 803,949 | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 804,629 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 128,630 | |
| Custody fees | | | 7,357 | |
| Audit fees | | | 16,749 | |
| Legal fees | | | 924 | |
| Reports to shareholders | | | 650 | |
| Other fees | | | 1,059 | |
| | | | | |
| Total expenses | | | 155,369 | |
| Expenses reimbursed by the Advisor | | | (13,876 | ) |
| | | | | |
| Net expenses | | | 141,493 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 663,136 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (22,268,011 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (22,268,011 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 26,487,849 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 26,487,849 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 4,219,838 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 4,882,974 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 663,136 | | | $ | 2,674,426 | |
| Net realized gains (losses) on investments | | | (22,268,011 | ) | | | (56,111,388 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 26,487,849 | | | | (5,216,768 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 4,882,974 | | | | (58,653,730 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 9,497,318 | | | | 49,620,283 | |
| Withdrawals | | | (28,728,255 | ) | | | (71,828,915 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (19,230,937 | ) | | | (22,208,632 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (14,347,963 | ) | | | (80,862,362 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 60,703,564 | | | | 141,565,926 | |
| | | | | | | | | |
| End of period/year | | $ | 46,355,601 | | | $ | 60,703,564 | |
| | | | | | | | | |
See notes to financial statements.
9
TRANSAMERICA PARTNERS PORTFOLIOS
LARGE CORE
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 246,431,650 | |
| Repurchase agreements (cost equals market value) | | | 3,343,117 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 17,519,486 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | — | |
| Dividends receivable | | | 243,338 | |
| Foreign tax reclaim receivable | | | 563 | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 267,538,154 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 17,591,082 | |
| 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 | | | 1,950 | |
| Accrued investment advisory fees | | | 132,487 | |
| Accrued expenses | | | 85,270 | |
| | | | | |
| Total liabilities | | | 17,810,789 | |
| | | | | |
| | | | | |
Net assets | | $ | 249,727,365 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 274,841,081 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | — | |
| Securities lending income (net) | | | 7,195 | |
| Dividend income | | | 2,750,476 | |
| Less: foreign withholding taxes | | | (3,722 | ) |
| | | | | |
| Total income | | | 2,753,949 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 720,394 | |
| Custody fees | | | 486 | |
| Audit fees | | | 15,639 | |
| Legal fees | | | 2,953 | |
| Reports to shareholders | | | 3,059 | |
| Other fees | | | 5,503 | |
| | | | | |
| Total expenses | | | 748,034 | |
| Expenses reimbursed by the Advisor | | | — | |
| | | | | |
| Net expenses | | | 748,034 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 2,005,915 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (52,119,901 | ) |
| Swap contracts | | | — | |
| Futures | | | (8,056 | ) |
| Written options | | | — | |
| Foreign currency transactions | | | 212 | |
| | | | | |
| | | | (52,127,745 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 54,509,260 | |
| Futures | | | (37,921 | ) |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 54,471,339 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 2,343,594 | |
| | | | | |
Net increase (decrease) in net assets | | | | |
resulting from operations | | $ | 4,349,509 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 2,005,915 | | | $ | 6,019,563 | |
| Net realized gains (losses) on investments | | | (52,127,745 | ) | | | (72,555,667 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 54,471,339 | | | | (138,992,098 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 4,349,509 | | | | (205,528,202 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 15,837,451 | | | | 90,488,196 | |
| Withdrawals | | | (52,233,576 | ) | | | (506,447,834 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (36,396,125 | ) | | | (415,959,638 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (32,046,616 | ) | | | (621,487,840 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 281,773,981 | | | | 903,261,821 | |
| | | | | | | | | |
| End of period/year | | $ | 249,727,365 | | | $ | 281,773,981 | |
| | | | | | | | | |
See notes to financial statements.
10
TRANSAMERICA PARTNERS PORTFOLIOS
LARGE GROWTH
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 1,085,089,774 | |
| Repurchase agreements (cost equals market value) | | | 29,407,920 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value (cost $2,912) | | | 2,978 | |
| Receivable for securities sold | | | 10,382,718 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | 8 | |
| Dividends receivable | | | 1,563,414 | |
| Foreign tax reclaim receivable | | | 242,161 | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 1,126,688,973 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 7,715,210 | |
| 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 | | | 616,177 | |
| Accrued expenses | | | 138,240 | |
| | | | | |
| Total liabilities | | | 8,469,627 | |
| | | | | |
| | | | | |
Net assets | | $ | 1,118,219,346 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 1,130,608,991 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 4,929 | |
| Securities lending income (net) | | | 89,743 | |
| Dividend income | | | 9,873,406 | |
| Less: foreign withholding taxes | | | (23,102 | ) |
| | | | | |
| Total income | | | 9,944,976 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 3,247,286 | |
| Custody fees | | | 90,293 | |
| Audit fees | | | 16,727 | |
| Legal fees | | | 17,697 | |
| Reports to shareholders | | | 12,241 | |
| Other fees | | | 19,530 | |
| | | | | |
| Total expenses | | | 3,403,774 | |
| Expenses reimbursed by the Advisor | | | (4,067 | ) |
| | | | | |
| Net expenses | | | 3,399,707 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 6,545,269 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (146,965,332 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | 718 | |
| | | | | |
| | | | (146,964,614 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 228,987,905 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | 66 | |
| | | | | |
| | | | 228,987,971 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 82,023,357 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 88,568,626 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 6,545,269 | | | $ | 16,251,364 | |
| Net realized gains (losses) on investments | | | (146,964,614 | ) | | | (312,720,453 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 228,987,971 | | | | (519,838,009 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 88,568,626 | | | | (816,307,098 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 66,266,342 | | | | 359,020,573 | |
| Withdrawals | | | (167,398,375 | ) | | | (856,691,575 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (101,132,033 | ) | | | (497,671,002 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (12,563,407 | ) | | | (1,313,978,100 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 1,130,782,753 | | | | 2,444,760,853 | |
| | | | | | | | | |
| End of period/year | | $ | 1,118,219,346 | | | $ | 1,130,782,753 | |
| | | | | | | | | |
See notes to financial statements.
11
TRANSAMERICA PARTNERS PORTFOLIOS
GROWTH
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 182,672,389 | |
| Repurchase agreements (cost equals market value) | | | 307,387 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 2,410,787 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | — | |
| Dividends receivable | | | 77,708 | |
| Foreign tax reclaim receivable | | | 15,799 | |
| Receivable from Advisor | | | 2,081 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 185,486,151 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 1,168,579 | |
| 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 | | | 128,902 | |
| Accrued expenses | | | 45,247 | |
| | | | | |
| Total liabilities | | | 1,342,728 | |
| | | | | |
| | | | | |
Net assets | | $ | 184,143,423 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 176,242,010 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | — | |
| Securities lending income (net) | | | 7,510 | |
| Dividend income | | | 892,075 | |
| Less: foreign withholding taxes | | | (6,503 | ) |
| | | | | |
| Total income | | | 893,082 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 677,428 | |
| Custody fees | | | 22,988 | |
| Audit fees | | | 14,518 | |
| Legal fees | | | 2,891 | |
| Reports to shareholders | | | 2,016 | |
| Other fees | | | 3,594 | |
| | | | | |
| Total expenses | | | 723,435 | |
| Expenses reimbursed by the Advisor | | | (19,612 | ) |
| | | | | |
| Net expenses | | | 703,823 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 189,259 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (26,020,563 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (26,020,563 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 49,877,344 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 49,877,344 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 23,856,781 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 24,046,040 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 189,259 | | | $ | 48,215 | |
| Net realized gains (losses) on investments | | | (26,020,563 | ) | | | (68,303,731 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 49,877,344 | | | | (132,858,969 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 24,046,040 | | | | (201,114,485 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 14,733,171 | | | | 100,062,106 | |
| Withdrawals | | | (37,163,596 | ) | | | (143,792,807 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (22,430,425 | ) | | | (43,730,701 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | 1,615,615 | | | | (244,845,186 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 182,527,808 | | | | 427,372,994 | |
| | | | | | | | | |
| End of period/year | | $ | 184,143,423 | | | $ | 182,527,808 | |
| | | | | | | | | |
See notes to financial statements.
12
TRANSAMERICA PARTNERS PORTFOLIOS
MID VALUE
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 641,855,442 | |
| Repurchase agreements (cost equals market value) | | | 17,340,169 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 4,354,095 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | 1,214 | |
| Dividends receivable | | | 793,301 | |
| Foreign tax reclaim receivable | | | 6,124 | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 664,350,345 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 3,057,904 | |
| 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 | | | 392,642 | |
| Accrued expenses | | | 86,733 | |
| Contingent liability (Note 6) | | | — | |
| | | | | |
| Total liabilities | | | 3,537,279 | |
| | | | | |
| | | | | |
Net assets | | $ | 660,813,066 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 784,181,795 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 7,881 | |
| Securities lending income (net) | | | 25,694 | |
| Dividend income | | | 7,203,382 | |
| Less: foreign withholding taxes | | | (15,309 | ) |
| | | | | |
| Total income | | | 7,221,648 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 2,010,837 | |
| Custody fees | | | 45,577 | |
| Audit fees | | | 12,826 | |
| Legal fees | | | 10,170 | |
| Reports to shareholders | | | 6,717 | |
| Other fees | | | 12,103 | |
| | | | | |
| Total expenses | | | 2,098,230 | |
| Expenses reimbursed by the Advisor | | | (274 | ) |
| | | | | |
| Net expenses | | | 2,097,956 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 5,123,692 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (128,017,058 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (128,017,058 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 163,898,265 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 163,898,265 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 35,881,207 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 41,004,899 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 5,123,692 | | | $ | 14,250,595 | |
| Net realized gains (losses) on investments | | | (128,017,058 | ) | | | (84,755,112 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 163,898,265 | | | | (307,127,354 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 41,004,899 | | | | (377,631,871 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 50,238,477 | | | | 281,951,760 | |
| Withdrawals | | | (60,679,794 | ) | | | (262,247,615 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (10,441,317 | ) | | | 19,704,145 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | 30,563,582 | | | | (357,927,726 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 630,249,484 | | | | 988,177,210 | |
| | | | | | | | | |
| End of period/year | | $ | 660,813,066 | | | $ | 630,249,484 | |
| | | | | | | | | |
See notes to financial statements.
13
TRANSAMERICA PARTNERS PORTFOLIOS
MID GROWTH
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 218,709,180 | |
| Repurchase agreements (cost equals market value) | | | 5,939,419 | |
| 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 | | | — | |
| Dividends receivable | | | 24,011 | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | 1,008 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 224,673,618 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 1,149,696 | |
| 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 | | | 142,991 | |
| Accrued expenses | | | 47,446 | |
| | | | | |
| Total liabilities | | | 1,340,133 | |
| | | | | |
| | | | | |
Net assets | | $ | 223,333,485 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 204,200,246 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 1,206 | |
| Securities lending income (net) | | | 25,581 | |
| Dividend income | | | 476,996 | |
| Less: foreign withholding taxes | | | (3,461 | ) |
| | | | | |
| Total income | | | 500,322 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 781,762 | |
| Custody fees | | | 18,899 | |
| Audit fees | | | 12,819 | |
| Legal fees | | | 3,762 | |
| Reports to shareholders | | | 2,508 | |
| Other fees | | | 4,491 | |
| | | | | |
| Total expenses | | | 824,241 | |
| Expenses reimbursed by the Advisor | | | (9,965 | ) |
| | | | | |
| Net expenses | | | 814,276 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | (313,954 | ) |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (70,610,819 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (70,610,819 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 74,422,336 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 74,422,336 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 3,811,517 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 3,497,563 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | (313,954 | ) | | $ | (58,309 | ) |
| Net realized gains (losses) on investments | | | (70,610,819 | ) | | | (28,806,028 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 74,422,336 | | | | (127,522,362 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 3,497,563 | | | | (156,386,699 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 16,328,699 | | | | 152,813,962 | |
| Withdrawals | | | (25,458,680 | ) | | | (104,650,264 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (9,129,981 | ) | | | 48,163,698 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (5,632,418 | ) | | | (108,223,001 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 228,965,903 | | | | 337,188,904 | |
| | | | | | | | | |
| End of period/year | | $ | 223,333,485 | | | $ | 228,965,903 | |
| | | | | | | | | |
See notes to financial statements.
14
TRANSAMERICA PARTNERS PORTFOLIOS
SMALL VALUE
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 135,389,136 | |
| Repurchase agreements (cost equals market value) | | | 4,796,774 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 178,880 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | — | |
| Dividends receivable | | | 191,848 | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | 3,172 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 140,559,810 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 931,968 | |
| 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 | | | 103,094 | |
| Accrued expenses | | | 45,922 | |
| | | | | |
| Total liabilities | | | 1,080,984 | |
| | | | | |
| | | | | |
Net assets | | $ | 139,478,826 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 162,138,834 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 3,032 | |
| Securities lending income (net) | | | 43,718 | |
| Dividend income | | | 1,635,938 | |
| Less: foreign withholding taxes | | | — | |
| | | | | |
| Total income | | | 1,682,688 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 547,168 | |
| Custody fees | | | 27,662 | |
| Audit fees | | | 12,848 | |
| Legal fees | | | 2,324 | |
| Reports to shareholders | | | 1,661 | |
| Other fees | | | 2,979 | |
| | | | | |
| Total expenses | | | 594,642 | |
| Expenses reimbursed by the Advisor | | | (27,455 | ) |
| | | | | |
| Net expenses | | | 567,187 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 1,115,501 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (18,552,842 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (18,552,842 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 10,865,252 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 10,865,252 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | (7,687,590 | ) |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | (6,572,089 | ) |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 1,115,501 | | | $ | 4,063,695 | |
| Net realized gains (losses) on investments | | | (18,552,842 | ) | | | (36,930,139 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 10,865,252 | | | | (19,172,892 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | (6,572,089 | ) | | | (52,039,336 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 7,403,952 | | | | 131,998,850 | |
| Withdrawals | | | (17,981,220 | ) | | | (108,467,936 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (10,577,268 | ) | | | 23,530,914 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (17,149,357 | ) | | | (28,508,422 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 156,628,183 | | | | 185,136,605 | |
| | | | | | | | | |
| End of period/year | | $ | 139,478,826 | | | $ | 156,628,183 | |
| | | | | | | | | |
See notes to financial statements.
15
TRANSAMERICA PARTNERS PORTFOLIOS
SMALL CORE
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 307,961,984 | |
| Repurchase agreements (cost equals market value) | | | 3,217,403 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 12,063,942 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | — | |
| Dividends receivable | | | 329,546 | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | 2,857 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 323,575,732 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | 255,405 | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 8,974,369 | |
| 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 | | | 2,404 | |
| Accrued investment advisory fees | | | 224,757 | |
| Accrued expenses | | | 93,133 | |
| | | | | |
| Total liabilities | | | 9,550,068 | |
| | | | | |
| | | | | |
Net assets | | $ | 314,025,664 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 315,927,838 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 9,023 | |
| Securities lending income (net) | | | 69,960 | |
| Dividend income | | | 2,467,907 | |
| Less: foreign withholding taxes | | | (1,326 | ) |
| | | | | |
| Total income | | | 2,545,564 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 1,252,803 | |
| Custody fees | | | 55,687 | |
| Audit fees | | | 16,727 | |
| Legal fees | | | 5,618 | |
| Reports to shareholders | | | 4,149 | |
| Other fees | | | 7,414 | |
| | | | | |
| Total expenses | | | 1,342,398 | |
| Expenses reimbursed by the Advisor | | | (11,130 | ) |
| | | | | |
| Net expenses | | | 1,331,268 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 1,214,296 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (122,154,966 | ) |
| Swap contracts | | | — | |
| Futures | | | (47,611 | ) |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (122,202,577 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 126,218,044 | |
| Futures | | | (82,550 | ) |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 126,135,494 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 3,932,917 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 5,147,213 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 1,214,296 | | | $ | 5,961,479 | |
| Net realized gains (losses) on investments | | | (122,202,577 | ) | | | (151,927,373 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 126,135,494 | | | | (115,574,221 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 5,147,213 | | | | (261,540,115 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 21,812,406 | | | | 160,448,103 | |
| Withdrawals | | | (102,596,418 | ) | | | (459,442,988 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (80,784,012 | ) | | | (298,994,885 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (75,636,799 | ) | | | (560,535,000 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 389,662,463 | | | | 950,197,463 | |
| | | | | | | | | |
| End of period/year | | $ | 314,025,664 | | | $ | 389,662,463 | |
| | | | | | | | | |
See notes to financial statements.
16
TRANSAMERICA PARTNERS PORTFOLIOS
SMALL GROWTH
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 154,110,553 | |
| Repurchase agreements (cost equals market value) | | | 1,800,577 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value | | | — | |
| Receivable for securities sold | | | 1,948,330 | |
| Receivable for principal paydowns | | | — | |
| Unrealized appreciation on foreign currency forward contracts (Note 8) | | | — | |
| Swap contracts, at value | | | — | |
| Variation margin receivable | | | — | |
| Interest receivable | | | — | |
| Dividends receivable | | | 20,374 | |
| Foreign tax reclaim receivable | | | — | |
| Receivable from Advisor | | | 3,038 | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 157,882,872 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 1,382,793 | |
| 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 | | | 123,717 | |
| Accrued expenses | | | 39,866 | |
| | | | | |
| Total liabilities | | | 1,546,376 | |
| | | | | |
| | | | | |
Net assets | | $ | 156,336,496 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 158,484,682 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 1,816 | |
| Securities lending income (net) | | | 37,718 | |
| Dividend income | | | 299,884 | |
| Less: foreign withholding taxes | | | (377 | ) |
| | | | | |
| Total income | | | 339,041 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 628,720 | |
| Custody fees | | | 26,124 | |
| Audit fees | | | 12,719 | |
| Legal fees | | | 2,511 | |
| Reports to shareholders | | | 1,642 | |
| Other fees | | | 2,956 | |
| | | | | |
| Total expenses | | | 674,672 | |
| Expenses reimbursed by the Advisor | | | (24,272 | ) |
| | | | | |
| Net expenses | | | 650,400 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | (311,359 | ) |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (26,434,302 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | — | |
| | | | | |
| | | | (26,434,302 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 45,484,678 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | — | |
| | | | | |
| | | | 45,484,678 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 19,050,376 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 18,739,017 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | (311,359 | ) | | $ | (384,137 | ) |
| Net realized gains (losses) on investments | | | (26,434,302 | ) | | | (24,788,914 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 45,484,678 | | | | (59,829,205 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 18,739,017 | | | | (85,002,256 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 7,705,529 | | | | 132,973,836 | |
| Withdrawals | | | (22,620,909 | ) | | | (62,276,042 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (14,915,380 | ) | | | 70,697,794 | |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | 3,823,637 | | | | (14,304,462 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 152,512,859 | | | | 166,817,321 | |
| | | | | | | | | |
| End of period/year | | $ | 156,336,496 | | | $ | 152,512,859 | |
| | | | | | | | | |
See notes to financial statements.
17
TRANSAMERICA PARTNERS PORTFOLIOS
INTERNATIONAL EQUITY
(Unaudited)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2009
| | | | | |
ASSETS: | | | | |
| Securities, at value (Note 2) | | $ | 988,293,129 | |
| Repurchase agreements (cost equals market value) | | | 12,209,573 | |
| Cash at broker | | | — | |
| Foreign currency holdings, at value (cost $483,797) | | | 485,509 | |
| 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 | | | — | |
| Dividends receivable | | | 3,239,972 | |
| Foreign tax reclaim receivable | | | 1,897,475 | |
| Receivable from Advisor | | | — | |
| Receivable from securities lending (net) | | | — | |
| | | | | |
| Total assets | | | 1,006,125,658 | |
| | | | | |
| | | | | |
LIABILITIES: | | | | |
| Due to Advisor | | | — | |
| Due to Custodian | | | — | |
| Due to Broker for swap contracts | | | — | |
| Collateral for securities out on loan | | | — | |
| Payable for securities purchased | | | 4,402,123 | |
| Securities sold short, at value | | | — | |
| Written options, at value | | | — | |
| Swap contracts, at value | | | — | |
| Unrealized depreciation on foreign currency forward contracts (Note 8) | | | 110,737 | |
| Variation margin payable | | | — | |
| Accrued investment advisory fees | | | 674,265 | |
| Accrued expenses | | | 695,522 | |
| | | | | |
| Total liabilities | | | 5,882,647 | |
| | | | | |
| | | | | |
Net assets | | $ | 1,000,243,011 | |
| | | | | |
| | | | | |
Securities, at cost | | $ | 918,053,417 | |
| | | | | |
STATEMENT OF OPERATIONS
For the period ended June 30, 2009
| | | | | |
Investment income (Note 2): | | | | |
| Interest income | | $ | 1,731 | |
| Securities lending income (net) | | | — | |
| Dividend income | | | 20,222,500 | |
| Less: foreign withholding taxes | | | (3,615,675 | ) |
| | | | | |
| Total income | | | 16,608,556 | |
| | | | | |
Expenses (Note 2): | | | | |
| Investment advisory fees | | | 3,521,493 | |
| Custody fees | | | 595,974 | |
| Audit fees | | | 17,957 | |
| Legal fees | | | 17,534 | |
| Reports to shareholders | | | 11,963 | |
| Other fees | | | 21,572 | |
| | | | | |
| Total expenses | | | 4,186,493 | |
| Expenses reimbursed by the Advisor | | | (12,894 | ) |
| | | | | |
| Net expenses | | | 4,173,599 | |
| | | | | |
| | | | | |
Net investment income (loss) | | | 12,434,957 | |
| | | | | |
| |
Realized and unrealized gains (losses) on investments (Note 2): |
| Net realized gains (losses) on transactions from: | | | | |
| Securities | | | (463,946,837 | ) |
| Swap contracts | | | — | |
| Futures | | | — | |
| Written options | | | — | |
| Foreign currency transactions | | | (8,268,678 | ) |
| | | | | |
| | | | (472,215,515 | ) |
| | | | | |
| Change in net unrealized appreciation (depreciation) on: |
| Securities | | | 496,416,795 | |
| Futures | | | — | |
| Written options | | | — | |
| Short sales | | | — | |
| Swap contracts | | | — | |
| Foreign currency translations | | | 101,579 | |
| | | | | |
| | | | 496,518,374 | |
| | | | | |
| | | | | |
Net realized and unrealized gains (losses) on investments | | | 24,302,859 | |
| | | | | |
Net increase (decrease) in net assets | | | | |
resulting from operations | | $ | 36,737,816 | |
| | | | | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | |
| | | For the period
| | For the year
|
| | | ended 06/30/09 | | ended 12/31/08 |
| | | | | | | | | |
From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 12,434,957 | | | $ | 51,093,825 | |
| Net realized gains (losses) on investments | | | (472,215,515 | ) | | | (380,232,998 | ) |
| Change in net unrealized appreciation (depreciation) on investments | | | 496,518,374 | | | | (815,787,805 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from operations | | | 36,737,816 | | | | (1,144,926,978 | ) |
| | | | | | | | | |
| | | | | | | | | |
From transactions in investors’ beneficial interests: | | | | | | | | |
| Contributions | | | 66,904,232 | | | | 764,741,276 | |
| Withdrawals | | | (203,458,681 | ) | | | (783,816,168 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets resulting from transactions in investors’ beneficial interests | | | (136,554,449 | ) | | | (19,074,892 | ) |
| | | | | | | | | |
| Net increase (decrease) in net assets | | | (99,816,633 | ) | | | (1,164,001,870 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of period/year | | | 1,100,059,644 | | | | 2,264,061,514 | |
| | | | | | | | | |
| End of period/year | | $ | 1,000,243,011 | | | $ | 1,100,059,644 | |
| | | | | | | | | |
See notes to financial statements.
18
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Treasury Securities — 2.3% |
| | | | | US Treasury Note | | | | |
| $ | 28,350,000 | | | 4.88%, 08/15/09
(Cost $28,514,603) | | $ | 28,514,603 | |
| | | | | | | | | |
| | | | | Commercial Paper — 28.5% |
| | 25,160,000 | | | Australia & New Zealand — 144A,
0.52%, 07/06/09 | | | 25,158,182 | |
| | 10,280,000 | | | Australia & New Zealand,
0.33%, 08/11/09 | | | 10,276,135 | |
| | 36,840,000 | | | CBA (DE) Finance, Inc.,
0.54%, 07/21/09 | | | 36,828,947 | |
| | 22,570,000 | | | ConocoPhilips,
0.25%, 07/01/09 | | | 22,570,000 | |
| | 24,480,000 | | | Danske Corp.,
1.14%, 07/15/09 | | | 24,469,147 | |
| | 28,850,000 | | | Danske Corp.,
0.37%, 08/19/09 | | | 28,835,471 | |
| | 22,890,000 | | | Eksportfinans A/S,
0.25%, 08/03/09 | | | 22,884,755 | |
| | 11,700,000 | | | Her Majesty RGT Canada,
0.19%, 08/20/09 | | | 11,696,913 | |
| | 25,140,000 | | | JPMorgan Chase Funding, Inc.,
0.25%, 07/08/09 | | | 25,138,778 | |
| | 7,890,000 | | | National Australia Funding,
0.23%, 07/06/09 | | | 7,889,748 | |
| | 14,300,000 | | | National Australia Funding,
0.44%, 08/05/09 | | | 14,293,883 | |
| | 24,000,000 | | | Nordea North America, Inc.,
1.00%, 07/13/09 | | | 23,992,000 | |
| | 11,400,000 | | | Societe Generale North America,
0.16%, 07/01/09 | | | 11,400,000 | |
| | 13,900,000 | | | Societe Generale North America,
0.52%, 11/18/09 | | | 13,871,891 | |
| | 28,490,000 | | | Wells Fargo & Company,
0.06%, 07/01/09 | | | 28,490,000 | |
| | 21,550,000 | | | Westpac Banking Corp.,
0.63%, 08/06/09 | | | 21,536,424 | |
| | 22,580,000 | | | Westpac Banking Corp. — 144A,
0.47%, 11/23/09 | | | 22,537,255 | |
| | | | | | | | | |
| | | | | Total Commercial Paper
(Cost $351,869,529) | | | 351,869,529 | |
| | | | | | | | | |
| | | | | Yankee Certificates of Deposit — 34.3% |
| | 25,610,000 | | | Bank of Montreal,
0.24%, 07/09/09 | | | 25,609,659 | |
| | 17,500,000 | | | Bank of Nova Scotia,
0.53%, 12/09/09 | | | 17,500,000 | |
| | 26,510,000 | | | Bank of Nova Scotia,
1.28%, 01/15/10 | | | 26,510,000 | |
| | 28,040,000 | | | Barclays Bank PLC,
0.83%, 09/14/09 | | | 28,040,000 | |
| | 22,940,000 | | | Barclays Bank PLC,
1.00%, 10/30/09 | | | 22,940,000 | |
| | 16,790,000 | | | BNP Paribas — New York Branch,
1.08%, 09/01/09 | | | 16,790,000 | |
| | 19,780,000 | | | BNP Paribas — New York Branch,
0.50%, 11/25/09 | | | 19,780,000 | |
| | 27,500,000 | | | Calyon — New York Branch,
1.15%, 07/01/09 | | | 27,500,000 | |
| | 8,940,000 | | | Calyon — New York Branch,
0.68%, 02/26/10 | | | 8,928,568 | |
| | 9,240,000 | | | National Australia
Bank, Ltd. — 144A,
0.36%, 09/01/09 | | | 9,240,079 | |
| | 20,710,000 | | | Nordea Bank Finland, PLC,
1.30%, 10/13/09 | | | 20,736,636 | |
| | 33,490,000 | | | Rabobank Nederland,
0.82%, 08/03/09 | | | 33,490,000 | |
| | 17,730,000 | | | Rabobank Nederland,
1.20%, 04/26/10 | | | 17,730,000 | |
| | 48,760,000 | | | Royal Bank of Canada,
1.17%, 01/26/10 | | | 48,760,000 | |
| | 29,940,000 | | | Societe Generale — New York Branch,
0.29%, 07/27/09 | | | 29,940,000 | |
| | 40,170,000 | | | Svenska Handelsbanken AB,
0.70%, 07/17/09 | | | 40,177,184 | |
| | 29,070,000 | | | Toronto Dominion Bank,
1.62%, 08/10/09 | | | 29,070,000 | |
| | | | | | | | | |
| | | | | Total Yankee Certificates of Deposit
(Cost $422,742,126) | | | 422,742,126 | |
| | | | | | | | | |
| | | | | Short Term US Government Agency Securities — 16.6% |
| | | | | Fannie Mae — 4.9% |
| | 14,170,000 | | | 0.42%, 07/20/09 | | | 14,166,859 | |
| | 21,240,000 | | | 0.42%, 07/22/09 | | | 21,234,796 | |
| | 10,270,000 | | | 0.01%, 08/20/09 | | | 10,267,147 | |
| | 14,590,000 | | | 0.88%, 02/12/10 | | | 14,613,720 | |
| | | | | | | | | |
| | | | | | | | 60,282,522 | |
| | | | | | | | | |
| | | | | Federal Home Loan Bank — 3.7% |
| | 24,430,000 | | | 0.01%, 08/19/09 | | | 24,423,350 | |
| | 20,500,000 | | | 0.01%, 10/30/09 | | | 20,481,396 | |
| | | | | | | | | |
| | | | | | | | 44,904,746 | |
| | | | | | | | | |
| | | | | Freddie Mac — 8.0% |
| | 12,660,000 | | | 0.01%, 08/24/09 | | | 12,648,606 | |
| | 33,840,000 | | | 0.01%, 11/09/09 | | | 33,804,107 | |
| | 46,350,000 | | | 0.88%, 02/04/10 | | | 46,350,000 | |
| | 6,080,000 | | | 4.88%, 02/09/10 | | | 6,242,013 | |
| | | | | | | | | |
| | | | | | | | 99,044,726 | |
| | | | | | | | | |
| | | | | Total Short Term US Government Agency Securities
(Cost $204,231,994) | | | 204,231,994 | |
| | | | | | | | | |
See notes to financial statements.
19
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Short Term Corporate Notes — 14.3% |
| $ | 7,000,000 | | | Abbey National Treasury Services, LLC, Series YCD,
Floating Rate,
1.02%, 08/28/09(2) | | $ | 7,000,332 | |
| | 31,780,000 | | | Abbey National Treasury Services, LLC, Series YCD,
Floating Rate,
1.06%, 02/25/10(2) | | | 31,780,000 | |
| | 38,260,000 | | | Bank of America
Corp. NA — 144A,
0.28%, 08/11/09 | | | 38,260,000 | |
| | 3,040,000 | | | Credit Agricole — London Branch — 144A, Floating Rate,
0.71%, 05/28/10(2) | | | 3,030,317 | |
| | 8,830,000 | | | IBM International Group Capital, LLC, Floating Rate,
1.39%, 07/29/09(2) | | | 8,837,705 | |
| | 18,910,000 | | | KFW,
4.50%, 09/21/09 | | | 19,076,267 | |
| | 14,470,000 | | | KFW International Finance, Inc., Floating Rate,
1.15%, 01/21/10(2) | | | 14,501,809 | |
| | 7,150,000 | | | Procter & Gamble International Funding, Floating Rate,
1.00%, 05/07/10(2) | | | 7,150,000 | |
| | 35,870,000 | | | Toyota Motor Credit Corp., Series MTN, Floating Rate,
0.34%, 09/15/09(3) | | | 35,870,000 | |
| | 7,950,000 | | | Wachovia Bank NA, Series BKNT, Floating Rate,
0.89%, 08/21/09(2) | | | 7,954,333 | |
| | 2,910,000 | | | Wal-Mart Stores, Inc.
6.88% 08/10/09 | | | 2,929,281 | |
| | | | | | | | | |
| | | | | Total Short Term Corporate Notes
(Cost $176,390,044) | | | 176,390,044 | |
| | | | | | | | | |
| | | | | Time Deposit — 4.0% |
| | 49,850,000 | | | Bank of Ireland — Dublin Branch,
0.25%, 07/01/09
(Cost $49,850,000) | | | 49,850,000 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $1,233,598,296) | | | 1,233,598,296 | |
| | | | | | | | | |
| | | | | Repurchase Agreements — 2.3% |
| | 13,200,000 | | | With Barclays Bank PLC, dated 06/30/09, 0.08%, due
07/01/09, repurchase proceeds at maturity $13,200,029 (Collateralized by various US Government Agency Securities, zero coupon - 6.88%, due 08/21/09 - 06/15/35, with a total value of $13,464,366) | | | 13,200,000 | |
| | 10,600,000 | | | With Deutsche Bank, dated 06/30/09, 0.08%, due
07/01/09, repurchase proceeds at maturity $10,600,024 (Collateralized by Federal Home Loan Bank,
4.88%, due 05/17/17, with a value of $10,406,205 and Freddie Mac, 5.50%, due 08/23/17, with a value of $410,392) | | | 10,600,000 | |
| | 2,330,000 | | | With HSBC Securities, Inc., dated 06/30/09, 0.05%, due
07/01/09, repurchase proceeds at maturity $2,330,003 (Collateralized by Freddie Mac Discount Note, zero coupon, due 08/18/09, with a value of $2,379,524) | | | 2,330,000 | |
| | 2,700,000 | | | With JPMorgan Chase Bank, dated 06/30/09, 0.05%, due
07/01/09, repurchase proceeds at maturity $2,700,004 (Collateralized by Fannie Mae,
3.32%, due 12/23/13, with a value of $2,754,619) | | | 2,700,000 | |
| | 6,884 | | | With State Street Bank & Trust, dated 06/30/09, 0.01%, due
07/01/09, repurchase proceeds at maturity $6,884 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $9,986) | | | 6,884 | |
| | | | | | | | | |
| | | | | Total Repurchase Agreements
(Cost $28,836,884) | | | 28,836,884 | |
| | | | | | | | | |
| | | | | Total Investments — 102.3%
(Cost $1,262,435,180) | | | 1,262,435,180 | |
| | | | | Liabilities less other assets — (2.3%) | | | (29,017,055 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 1,233,418,125 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $1,262,435,180.
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
20
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Treasury Securities — 7.1% |
| | | | | US Treasury Notes | | | | |
| $ | 3,000,000 | | | 0.88%, 04/30/11 | | $ | 2,991,210 | |
| | 12,000,000 | | | 0.88%, 05/31/11 | | | 11,956,920 | |
| | 1,500,000 | | | 4.63%, 10/31/11 | | | 1,615,079 | |
| | 2,430,000 | | | 1.38%, 03/15/12 | | | 2,425,254 | |
| | 6,000,000 | | | 3.13%, 08/31/13 | | | 6,216,096 | |
| | 3,500,000 | | | 1.88%, 04/30/14 | | | 3,396,365 | |
| | | | | | | | | |
| | | | | Total US Treasury Securities
(Cost $28,491,474) | | | 28,600,924 | |
| | | | | | | | | |
| | | | | US Government Agency Securities — 22.4% |
| | | | | Asset Backed: Mortgage and Home Equity — 12.8% |
| | 727,797 | | | Fannie Mae,
Series 2003-32, Class PE,
4.00%, 03/25/26 | | | 728,533 | |
| | 968,510 | | | Fannie Mae,
Series 2003-62, Class OD,
3.50%, 04/25/26 | | | 975,085 | |
| | 166,666 | | | Fannie Mae,
Series 2003-63, Class GU,
4.00%, 07/25/33 | | | 170,283 | |
| | 1,999,844 | | | Fannie Mae,
Series 2004-70, Class DN,
4.00%, 12/25/29 | | | 2,023,573 | |
| | 2,078,755 | | | Fannie Mae,
Series 2004-80, Class LG,
4.00%, 10/25/16 | | | 2,120,691 | |
| | 3,227,240 | | | Federal Home Loan Bank,
Series 1Y-9009, Class A,
4.06%, 08/25/09 | | | 3,243,376 | |
| | 1,673,467 | | | Federal Home Loan Bank,
Series 3Q-9009, Class 1,
3.92%, 09/25/09 | | | 1,677,523 | |
| | 3,383,897 | | | Federal Home Loan Bank,
Series 6T-9009, Class I | | | 3,413,525 | |
| | 4,005,408 | | | Freddie Mac,
Series 2416, Class PE,
6.00%, 10/15/21 | | | 4,221,515 | |
| | 41,267 | | | Freddie Mac,
Series 2454, Class BG,
6.50%, 08/15/31 | | | 41,280 | |
| | 2,572,085 | | | Freddie Mac,
Series 2627, Class KP,
2.87%, 12/15/16 | | | 2,597,212 | |
| | 3,032,279 | | | Freddie Mac,
Series 2630, Class HC,
4.00%, 01/15/17 | | | 3,117,652 | |
| | 2,848,095 | | | Freddie Mac,
Series 2631, Class CD,
4.00%, 10/15/26 | | | 2,878,012 | |
| | 3,626,392 | | | Freddie Mac,
Series 2637, Class A,
3.38%, 03/15/18 | | | 3,686,097 | |
| | 2,417,165 | | | Freddie Mac,
Series 2672, Class HA,
4.00%, 09/15/16 | | | 2,485,394 | |
| | 1,180,537 | | | Freddie Mac,
Series 2782, Class HE,
4.00%, 09/15/17 | | | 1,215,109 | |
| | 1,272,863 | | | Freddie Mac,
Series 3056, Class AP,
5.50%, 01/15/27 | | | 1,296,347 | |
| | 7,206,295 | | | Government National Mortgage Association,
Series 2005-29, Class A,
4.02%, 07/16/27 | | | 7,372,441 | |
| | 5,161,056 | | | Government National Mortgage Association,
Series 2007-15, Class A,
4.51%, 10/16/28 | | | 5,288,107 | |
| | 2,815,304 | | | Government National Mortgage Association,
Series 2007-34, Class A,
4.27%, 11/16/26 | | | 2,877,713 | |
| | | | | | | | | |
| | | | | | | | 51,429,468 | |
| | | | | | | | | |
| | | | | Fannie Mae — 7.4% |
| | 5,500,000 | | | 5.13%, 04/15/11 | | | 5,889,719 | |
| | 3,050,000 | | | 6.00%, 05/15/11 | | | 3,314,944 | |
| | 6,000,000 | | | 3.25%, 04/09/13 | | | 6,229,752 | |
| | 6,250,000 | | | 2.75%, 03/13/14 | | | 6,236,625 | |
| | 206,000 | | | PL# 254062, 6.00%, 10/01/11 | | | 211,902 | |
| | 830,754 | | | PL# 254754, 4.50%, 05/01/10 | | | 852,654 | |
| | 1,074,139 | | | PL# 254758, 4.50%, 06/01/13 | | | 1,100,861 | |
| | 1,030,453 | | | PL# 254807, 5.00%, 07/01/13 | | | 1,062,599 | |
| | 2,092,564 | | | PL# 254914, 4.50%, 09/01/13 | | | 2,145,726 | |
| | 291,105 | | | PL# 323743, 5.00%, 04/01/14 | | | 299,240 | |
| | 139,060 | | | PL# 429168, 6.00%, 05/01/13 | | | 147,916 | |
| | 199,989 | | | PL# 517699, 6.00%, 07/01/14 | | | 212,726 | |
| | 486,138 | | | PL# 545038, 6.00%, 09/01/14 | | | 516,187 | |
| | 1,558,767 | | | PL# 555154, 5.50%, 12/01/22 | | | 1,623,057 | |
| | | | | | | | | |
| | | | | | | | 29,843,908 | |
| | | | | | | | | |
| | | | | Freddie Mac — 1.0% |
| | 3,500,000 | | | 5.00%, 07/15/14 | | | 3,835,608 | |
| | | | | | | | | |
| | | | | Freddie Mac Gold — 0.9% |
| | 54,365 | | | PL# E00532, 6.50%, 02/01/13 | | | 57,167 | |
| | 96,297 | | | PL# E00542, 6.50%, 04/01/13 | | | 101,249 | |
| | 277,923 | | | PL# E00676, 5.50%, 06/01/14 | | | 289,483 | |
| | 570,152 | | | PL# E89557, 5.50%, 04/01/17 | | | 602,366 | |
| | 187,468 | | | PL# G40426, 5.50%, 03/01/11 | | | 189,969 | |
| | 2,394,300 | | | PL# M80812, 4.50%, 04/01/10 | | | 2,429,946 | |
| | | | | | | | | |
| | | | | | | | 3,670,180 | |
| | | | | | | | | |
See notes to financial statements.
21
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Government Agency Securities (continued) |
| | | | | | | | | |
| | | | | Government National Mortgage Association — 0.3% |
| $ | 1,066,991 | | | PL# 436708, 5.75%, 12/15/22 | | $ | 1,117,976 | |
| | | | | | | | | |
| | | | | Total US Government Agency Securities
(Cost $87,478,421) | | | 89,897,140 | |
| | | | | | | | | |
| | | | | Corporate Bonds and Notes — 68.8% |
| | | | | Banks and Financial Services — 16.6% |
| | 2,500,000 | | | Bank of America Corp.,
2.38%, 06/22/12 | | | 2,525,005 | |
| | 935,000 | | | Bank of America Corp.,
Series MTNL,
7.38%, 05/15/14 | | | 965,870 | |
| | 3,980,000 | | | Bank of New York Mellon Corp.,
4.30%, 05/15/14 | | | 4,044,166 | |
| | 1,500,000 | | | Caterpillar Financial Services Corp.,
4.30%, 06/01/10 | | | 1,538,681 | |
| | 3,475,000 | | | Citigroup, Inc.,
5.10%, 09/29/11 | | | 3,402,904 | |
| | 2,275,000 | | | CME Group, Inc.,
5.40%, 08/01/13 | | | 2,390,224 | |
| | 4,230,000 | | | Credit Suisse First Boston USA, Inc.,
6.13%, 11/15/11 | | | 4,528,816 | |
| | 3,150,000 | | | Fifth Third Bank,
Series BKNT,
4.20%, 02/23/10 | | | 3,147,694 | |
| | 5,750,000 | | | General Electric Capital Corp.,
5.00%, 11/15/11 | | | 5,920,308 | |
| | 4,700,000 | | | GMAC LLC,
2.20%, 12/19/12 | | | 4,681,054 | |
| | 2,800,000 | | | Goldman Sachs Group, Inc. (The),
6.88%, 01/15/11 | | | 2,960,182 | |
| | 1,000,000 | | | Goldman Sachs Group, Inc. (The),
1.70%, 03/15/11 | | | 1,009,106 | |
| | 4,000,000 | | | Goldman Sachs Group, Inc. (The),
Series MTNB, Floating Rate,
1.56%, 10/07/11(2) | | | 3,840,456 | |
| | 5,610,000 | | | JPMorgan Chase & Company,
4.65%, 06/01/14 | | | 5,595,201 | |
| | 3,265,000 | | | Morgan Stanley,
6.75%, 04/15/11 | | | 3,420,310 | |
| | 2,860,000 | | | Morgan Stanley,
6.00%, 05/13/14 | | | 2,895,658 | |
| | 3,670,000 | | | NYSE Euronext,
4.80%, 06/28/13 | | | 3,799,063 | |
| | 2,000,000 | | | SLM Corp.,
Series MTNA,
4.50%, 07/26/10 | | | 1,890,000 | |
| | 4,500,000 | | | Wells Fargo & Company,
Floating Rate,
0.67%, 03/23/10(2) | | | 4,485,915 | |
| | 3,000,000 | | | Wells Fargo Bank, NA,
Series BKNT,
6.45%, 02/01/11 | | | 3,136,689 | |
| | | | | | | | | |
| | | | | | | | 66,177,302 | |
| | | | | | | | | |
| | | | | Chemicals — 0.5% |
| | 1,855,000 | | | Praxair, Inc.,
3.95%, 06/01/13 | | | 1,889,802 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 0.9% |
| | 3,455,000 | | | Clorox Company,
4.20%, 01/15/10 | | | 3,504,082 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 1.1% |
| | 5,420,000 | | | International Lease Finance Corp.,
Series MTNQ,
5.75%, 06/15/11 | | | 4,494,600 | |
| | | | | | | | | |
| | | | | Insurance — 2.3% |
| | 6,000,000 | | | Met Life Global Funding I — 144A, Series MTN,
5.75%, 07/25/11 | | | 6,156,582 | |
| | 3,115,000 | | | Principal Life Income Funding Trust, Series MTN,
5.20%, 11/15/10 | | | 3,132,942 | |
| | | | | | | | | |
| | | | | | | | 9,289,524 | |
| | | | | | | | | |
| | | | | Machinery — 0.4% |
| | 1,390,000 | | | Caterpillar, Inc.,
7.25%, 09/15/09 | | | 1,405,721 | |
| | | | | | | | | |
| | | | | Office Equipment, Supplies, and Services — 0.7% |
| | 3,005,000 | | | Xerox Corp.,
5.50%, 05/15/12 | | | 2,996,775 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 11.5% |
| | 1,806,109 | | | Bay View Auto Trust,
Series 2005-LJ1, Class A4,
4.09%, 05/25/12 | | | 1,829,047 | |
| | 3,000,000 | | | BMW Vehicle Lease Trust,
Series 2009-1, Class A3,
2.91%, 08/15/11 | | | 3,019,090 | |
| | 2,500,000 | | | BMW Vehicle Owner Trust,
Series 2006-A, Class A4,
5.07%, 08/25/11 | | | 2,543,954 | |
| | 3,000,000 | | | Capital One Prime Auto Receivables Trust,
Series 2007-1, Class B1,
5.76%, 12/15/13 | | | 2,273,035 | |
| | 983,420 | | | Carmax Auto Owner Trust,
Series 2005-2, Class A4,
4.34%, 09/15/10 | | | 991,422 | |
| | 322,248 | | | Chase Manhattan Auto Owner Trust,
Series 2006-A, Class CTFS,
5.47%, 01/15/13 | | | 323,747 | |
See notes to financial statements.
22
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs (continued) |
| | | | | | | | | |
| $ | 3,200,000 | | | Chase Manhattan Auto Owner Trust,
Series 2006-B, Class A4,
5.11%, 04/15/14 | | $ | 3,297,494 | |
| | 1,000,000 | | | Ford Credit Auto Owner Trust,
Series 2007-A, Class B,
5.60%, 10/15/12 | | | 887,344 | |
| | 2,000,000 | | | Hertz Vehicle Financing, LLC — 144A,
Series 2005-2A, Class A4,
5.01%, 02/25/11 | | | 2,009,235 | |
| | 1,250,000 | | | Honda Auto Receivables Owner Trust,
Series 2009-2, Class A3,
2.79%, 01/16/12 | | | 1,256,806 | |
| | 2,650,000 | | | Honda Auto Receivables Owner Trust,
Series 2009-2, Class A4,
4.43%, 08/15/12 | | | 2,696,651 | |
| | 5,500,000 | | | Huntington Auto Trust — 144A,
Series 2008-1A, Class A3A,
4.81%, 04/16/12 | | | 5,645,336 | |
| | 2,495,300 | | | Hyundai Auto Receivables Trust,
Series 2006-B, Class B,
5.19%, 05/15/13 | | | 2,502,871 | |
| | 3,500,000 | | | Hyundai Auto Receivables Trust,
Series 2008-A, Class A3,
4.93%, 12/17/12 | | | 3,643,473 | |
| | 1,250,000 | | | Susquehanna Auto Lease Trust — 144A,
Series 2007-1, Class B,
5.31%, 07/14/10 | | | 1,244,462 | |
| | 5,400,000 | | | USAA Auto Owner Trust,
Series 2007-2, Class A4,
5.07%, 06/15/13 | | | 5,645,950 | |
| | 1,750,000 | | | Volkswagen Auto Lease Trust,
Series 2009-A, Class A3,
3.41%, 08/15/11 | | | 1,768,541 | |
| | 4,550,000 | | | World Omni Auto Receivables Trust,
Series 2006-B, Class A4,
5.12%, 06/15/12 | | | 4,652,463 | |
| | | | | | | | | |
| | | | | | | | 46,230,921 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Banks and Financial Services — 3.1% |
| | 696,407 | | | Bear Stearns Asset Backed Securities, Inc.,
Series 2003-AC3, Class A1, Floating Rate,
4.00%, 07/25/33(3) | | | 543,869 | |
| | 3,000,000 | | | Caterpillar Financial Asset Trust,
Series 2006-A, Class B,
5.71%, 06/25/12 | | | 2,795,995 | |
| | 1,304,302 | | | Community Program Loan Trust,
Series 1987-A, Class A4,
4.50%, 10/01/18 | | | 1,303,861 | |
| | 2,345,626 | | | Greenwich Capital Commercial Funding Corp.,
Series 2005-GG3, Class A2,
4.31%, 08/10/42 | | | 2,290,032 | |
| | 1,940,498 | | | Greenwich Capital Commercial Funding Corp.,
Series 2005-GG5, Class A1,
4.79%, 04/10/37 | | | 1,946,002 | |
| | 2,660,320 | | | Greenwich Capital Commercial Funding Corp.,
Series 2006-GG7, Class A1,
5.74%, 07/10/38 | | | 2,690,340 | |
| | 1,039,176 | | | Morgan Stanley Capital I,
Series 2005-HQ6, Class A1,
4.65%, 08/13/42 | | | 1,043,147 | |
| | | | | | | | | |
| | | | | | | | 12,613,246 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Credit Cards — 7.1% |
| | 3,000,000 | | | Cabela’s Master Credit Card Trust — 144A,
Series 2006-3A, Class A1,
5.26%, 10/15/14 | | | 3,026,043 | |
| | 3,000,000 | | | Capital One Multi-Asset Execution Trust,
Series 2006-A6, Class A6,
5.30%, 02/18/14 | | | 3,143,117 | |
| | 1,500,000 | | | Capital One Multi-Asset Execution Trust,
Series 2009-A2, Class A2,
3.20%, 04/15/14 | | | 1,510,782 | |
| | 4,500,000 | | | Chase Issuance Trust,
Series 2009-A3, Class A3,
2.40%, 06/17/13 | | | 4,467,816 | |
| | 1,200,000 | | | Citibank Credit Card Issuance Trust, Series 2005-A7, Class A7,
4.75%, 10/22/12 | | | 1,241,759 | |
| | 4,000,000 | | | Citibank Credit Card Issuance Trust, Series 2006-A4, Class A4,
5.45%, 05/10/13 | | | 4,215,568 | |
| | 2,850,000 | | | Citibank Omni Master Trust-144A,
Series 2009-A8, Class A8, Floating Rate,
2.45%, 05/15/16(3) | | | 2,882,063 | |
| | 4,940,000 | | | GE Capital Credit Card Master Note Trust,
Series 2006-1, Class A,
5.08%, 09/15/12 | | | 4,959,932 | |
| | 3,000,000 | | | GE Capital Credit Card Master Note Trust,
Series 2007-3, Class B,
5.49%, 06/15/13 | | | 2,862,110 | |
| | | | | | | | | |
| | | | | | | | 28,309,190 | |
| | | | | | | | | |
See notes to financial statements.
23
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Private Asset Backed: Mortgage and Home Equity — 10.8% |
| $ | 147,473 | | | Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2001-TOP4, Class A1,
5.06%, 11/15/16 | | $ | 148,869 | |
| | 766,329 | | | Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2002-PBW1, Class A1,
3.97%, 11/11/35 | | | 760,886 | |
| | 580,024 | | | Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2005-PWR9, Class A1,
4.50%, 09/11/42 | | | 581,341 | |
| | 1,632,288 | | | Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2006-T22, Class A1,
5.42%, 04/12/38 | | | 1,646,862 | |
| | 7,000,000 | | | Bear Stearns Commercial Mortgage Securities, Inc.,
Series 2007-PW15, Class A2,
5.21%, 02/11/44 | | | 6,449,352 | |
| | 2,713,827 | | | Chase Funding Mortgage Loan Asset-Backed,
Series 2003-4, Class 1A6,
4.43%, 10/25/14 | | | 2,126,920 | |
| | 3,017,162 | | | Citigroup Commercial Mortgage Trust,
Series 2006-C5, Class A1,
5.27%, 10/15/49 | | | 3,057,274 | |
| | 2,120,139 | | | Citigroup/Deutsche Bank Commercial Mortgage Trust,
Series 2005-CD1, Class A1,
5.05%, 07/15/44 | | | 2,124,824 | |
| | 3,193,890 | | | Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-C5, Class A2,
4.18%, 11/15/37 | | | 3,124,423 | |
| | 633,898 | | | DLJ Commercial Mortgage Corp.,
Series 1999-CG3, Class A1B,
7.34%, 10/10/32 | | | 633,203 | |
| | 205,701 | | | GE Capital Commercial Mortgage Corp.,
Series 2001-3, Class A1,
5.56%, 06/10/38 | | | 211,218 | |
| | 1,411,162 | | | GE Capital Commercial Mortgage Corp.,
Series 2002-1A, Class A2,
5.99%, 12/10/35 | | | 1,432,717 | |
| | 175,047 | | | GMAC Mortgage Corp. Loan Trust, Series 2004-GH1, Class A2,
4.39%, 12/25/25 | | | 166,456 | |
| | 291,976 | | | Interstar Millennium Trust,
Series 2003-3G, Class A2 (Australia), Floating Rate,
1.10%, 09/27/35(2) | | | 185,496 | |
| | 583,457 | | | Interstar Millennium Trust,
Series 2004-2G, Class A (Australia), Floating Rate,
1.03%, 03/14/36(2) (14) | | | 527,846 | |
| | 405,142 | | | JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2002-C2, Class A1,
4.33%, 12/12/34 | | | 404,550 | |
| | 1,648,282 | | | JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2005-LDP5, Class A1,
5.04%, 12/15/44 | | | 1,660,141 | |
| | 3,800,179 | | | JPMorgan Mortgage Trust,
Series 2006-S2, Class 1A17,
6.00%, 07/25/36 | | | 2,444,427 | |
| | 4,550,000 | | | LB-UBS Commercial Mortgage Trust,
Series 2003-C7, Class A3,
4.56%, 09/15/27 | | | 4,418,741 | |
| | 1,992,267 | | | Popular ABS Mortgage Pass-Through Trust,
Series 2005-3, Class AF3,
4.44%, 07/25/35 | | | 1,805,793 | |
| | 1,777,553 | | | Salomon Brothers Mortgage Securities VII, Inc.,
Series 2000-C1, Class A2,
7.52%, 12/18/09 | | | 1,788,444 | |
| | 1,954,245 | | | Salomon Brothers Mortgage Securities VII, Inc.,
Series 2000-C2, Class A2,
7.46%, 07/18/33 | | | 1,982,924 | |
| | 3,309,085 | | | Wachovia Bank Commercial Mortgage Trust,
Series 2003-C5, Class A1,
2.99%, 06/15/35 | | | 3,225,283 | |
| | 2,444,088 | | | Wells Fargo Mortgage Backed Securities Trust,
Series 2005-9, Class 1A1,
4.75%, 10/25/35 | | | 2,307,579 | |
| | | | | | | | | |
| | | | | | | | 43,215,569 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Other — 5.9% |
| | 2,155,172 | | | ALG Student Loan Trust — 144A,
Series 2006-1A, Class A1, Floating Rate,
1.08%, 10/28/18(2) | | | 2,148,774 | |
| | 4,064,485 | | | Brazos Texas Higher Education Authority, Inc.
Series 2005-A, Class A5,
4.91%, 12/01/40 (14) | | | 3,800,294 | |
| | 3,000,000 | | | CNH Equipment Trust,
Series 2006-B, Class B,
5.36%, 06/17/13 | | | 2,459,894 | |
| | 2,000,000 | | | CNH Equipment Trust,
Series 2007-A, Class B,
5.09%, 06/16/14 | | | 1,544,450 | |
| | 3,083,712 | | | CNH Equipment Trust,
Series 2007-B, Class A3A,
5.40%, 10/17/11 | | | 3,125,580 | |
See notes to financial statements.
24
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Other (continued) |
| | | | | | | | | |
| $ | 737,206 | | | Crusade Global Trust,
Series 2004-2, Class A1 (Australia), Floating Rate,
0.96%, 11/19/37(2) | | $ | 644,454 | |
| | 869,764 | | | Goal Capital Funding Trust,
Series 2006-1, Class A1,
Floating Rate,
0.66%, 08/25/20(2) | | | 867,263 | |
| | 150,795 | | | Great America Leasing Receivables — 144A,
Series 2006-1, Class A3,
5.34%, 01/15/10 | | | 151,006 | |
| | 4,000,000 | | | John Deere Owner Trust,
Series 2007-A, Class A4,
5.07%, 04/15/14 | | | 4,087,532 | |
| | 2,984,388 | | | Marlin Leasing Receivables LLC — 144A,
Series 2006-1A, Class A4,
5.33%, 09/15/13 | | | 2,974,840 | |
| | 1,995,638 | | | Massachusetts RRB Special Purpose Trust,
Series 1999-1, Class A5,
7.03%, 03/15/12 | | | 2,050,287 | |
| | | | | | | | | |
| | | | | | | | 23,854,374 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Transportation — 1.0% |
| | 960,235 | | | E-Trade RV and Marine Trust, Series 2004-1, Class A3,
3.62%, 10/08/18 | | | 935,309 | |
| | 3,097,510 | | | Railcar Leasing, LLC — 144A, Series 1, Class A2,
7.13%, 01/15/13 | | | 3,267,511 | |
| | | | | | | | | |
| | | | | | | | 4,202,820 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.8% |
| | 3,190,000 | | | Boston Properties LP,
6.25%, 01/15/13 | | | 3,175,205 | |
| | | | | | | | | |
| | | | | Retail — 1.9% |
| | 4,475,000 | | | CVS Caremark Corp.,
Floating Rate,
2.15%, 09/10/10(2) | | | 4,486,935 | |
| | 2,895,000 | | | Target Corp.,
10.00%, 01/01/11 | | | 3,166,733 | |
| | | | | | | | | |
| | | | | | | | 7,653,668 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 2.3% |
| | 5,925,000 | | | BellSouth Corp.,
6.00%, 10/15/11 | | | 6,330,170 | |
| | 2,825,000 | | | Verizon Wireless Capital -144A,
3.75%, 05/20/11 | | | 2,882,836 | |
| | | | | | | | | |
| | | | | | | | 9,213,006 | |
| | | | | | | | | |
| | | | | Transportation — 0.2% |
| | 950,000 | | | United Parcel Service, Inc.,
3.88%, 04/01/14 | | | 979,621 | |
| | | | | | | | | |
| | | | | Utilities — 1.7% |
| | 6,420,000 | | | Exelon Generation Company, LLC,
6.95%, 06/15/11 | | | 6,798,472 | |
| | | | | | | | | |
| | | | | Total Corporate Bonds and Notes
(Cost $280,604,653) | | | 276,003,898 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $396,574,548) | | | 394,501,962 | |
| | | | | | | | | |
| | | | | Repurchase Agreements — 1.1% |
| | 4,604,867 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due
07/01/09, repurchase proceeds at maturity $4,604,868 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $4,698,413)
(Cost $4,604,867) | | | 4,604,867 | |
| | | | | | | | | |
| | | | | Total Investments — 99.4%
(Cost $401,179,415) | | | 399,106,829 | |
| | | | | Other assets less liabilities — 0.6% | | | 2,211,474 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 401,318,303 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $401,179,415.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 5,935,125 | |
| Gross unrealized depreciation | | | (8,007,711 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (2,072,586 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
25
INFLATION-PROTECTED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Treasury Securities — 90.5% |
| | | | | US Treasury Inflation Index — 89.1% |
| $ | 2,627,840 | | | 3.50%, 01/15/11 | | $ | 2,741,988 | |
| | 7,048,813 | | | 3.38%, 01/15/12 | | | 7,491,563 | |
| | 13,980,362 | | | 2.00%, 04/15/12 | | | 14,377,935 | |
| | 5,383,941 | | | 3.00%, 07/15/12 | | | 5,703,612 | |
| | 5,331,402 | | | 0.63%, 04/15/13 | | | 5,268,092 | |
| | 19,190,173 | | | 1.88%, 07/15/13 | | | 19,681,921 | |
| | 24,313,937 | | | 2.00%, 01/15/14 | | | 24,868,587 | |
| | 5,873,783 | | | 1.25%, 04/15/14 | | | 5,897,643 | |
| | 30,541,590 | | | 2.00%, 07/15/14 | | | 31,257,424 | |
| | 1,111,087 | | | 1.63%, 01/15/15 | | | 1,105,878 | |
| | 10,441,305 | | | 1.88%, 07/15/15 | | | 10,555,512 | |
| | 8,035,689 | | | 2.00%, 01/15/16 | | | 8,156,225 | |
| | 6,656,882 | | | 2.50%, 07/15/16(5) | | | 6,987,649 | |
| | 12,777,591 | | | 2.38%, 01/15/17 | | | 13,332,624 | |
| | 2,325,065 | | | 2.63%, 07/15/17 | | | 2,477,648 | |
| | 13,343,096 | | | 1.63%, 01/15/18 | | | 13,213,828 | |
| | 19,281,405 | | | 1.38%, 07/15/18 | | | 18,690,912 | |
| | 13,347,533 | | | 2.13%, 01/15/19 | | | 13,785,492 | |
| | 33,816,327 | | | 2.38%, 01/15/25 | | | 34,756,827 | |
| | 21,646,944 | | | 2.00%, 01/15/26 | | | 21,193,700 | |
| | 12,449,825 | | | 2.38%, 01/15/27 | | | 12,889,453 | |
| | 14,019,920 | | | 1.75%, 01/15/28 | | | 13,231,299 | |
| | 3,770,338 | | | 3.63%, 04/15/28 | | | 4,588,030 | |
| | 4,722,286 | | | 2.50%, 01/15/29 | | | 5,017,428 | |
| | 18,884,757 | | | 3.88%, 04/15/29 | | | 23,960,035 | |
| | 894,931 | | | 3.38%, 04/15/32 | | | 1,123,139 | |
| | | | | | | | | |
| | | | | | | | 322,354,444 | |
| | | | | | | | | |
| | | | | US Treasury Notes — 0.8% |
| | 2,885,000 | | | 4.00%, 08/15/18 | | | 2,992,512 | |
| | | | | | | | | |
| | | | | US Treasury Strips — 0.6% |
| | 4,740,000 | | | 6.13%, 11/15/27 | | | 2,074,347 | |
| | | | | | | | | |
| | | | | Total US Treasury Securities (Cost $328,796,771) | | | 327,421,303 | |
| | | | | | | | | |
| | | | | US Government Agency Securities — 0.2% |
| | | | | Freddie Mac | | | | |
| | 890,000 | | | Series MTN, 5.00%, 12/14/18
(Cost $864,010) | | | 844,967 | |
| | | | | | | | | |
| | | | | Corporate Bonds and Notes — 0.7% |
| | | | | Banks and Financial Services — 0.5% |
| | 649,000 | | | Bear Stearns Companies, Inc. (The),
Series CPI, Floating Rate,
1.42%, 03/10/14(3) | | | 579,291 | |
| | 315,000 | | | International Bank for Reconstruction & Development, Series CPI (Supra National), Floating Rate,
zero coupon, 12/10/13(3) | | | 290,351 | |
| | 1,243,000 | | | Lehman Brothers Holdings, Inc., Series MTNG, Floating Rate,
6.29%, 06/02/09(3)(9)(13) | | | 183,343 | |
| | 900,000 | | | SLM Corp., Series CPI,
Floating Rate,
1.74%, 01/31/14(3) | | | 546,363 | |
| | | | | | | | | |
| | | | | | | | 1,599,348 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Mortgage and Home Equity — 0.2% |
| | 166,645 | | | Citigroup Mortgage Loan Trust, Inc.,
Series 2007-AMC3, Class A2A, Floating Rate,
0.42%, 03/25/37(3) | | | 115,127 | |
| | 695,000 | | | GMAC Commercial Mortgage Securities, Inc.,
Series 2004-C3, Class A4,
4.55%, 12/10/41 | | | 656,604 | |
| | | | | | | | | |
| | | | | | | | 771,731 | |
| | | | | | | | | |
| | | | | Total Corporate Bonds and Notes
(Cost $3,757,481) | | | 2,371,079 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $333,418,262) | | | 330,637,349 | |
| | | | | | | | | |
| | | | | Repurchase Agreements — 6.7% |
| | 24,097,428 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due
07/01/09, repurchase proceeds at maturity $24,097,435 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $24,580,468)
(Cost $24,097,428) | | | 24,097,428 | |
| | | | | | | | | |
| | | | | Total Investments before Call and Put Options Written — 98.1%
(Cost $357,515,690) | | | 354,734,777 | |
| | | | | | | | | |
Contracts | | | | |
| |
| | | | | Call Options Written — (0.2)% |
| | (14,700,000 | ) | | Expiring 6/25/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.19%, expiring 6/29/20, European Style
(Premium $740,145) | | | (731,472 | ) |
| | | | | | | | | |
See notes to financial statements.
26
INFLATION-PROTECTED SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Contracts | | | | Value |
| |
| | | | | Put Options Written — (0.2)% |
| | (14,700,000 | ) | | Expiring 6/25/10. If exercised the Series receives 4.19%, and pays floating 3 month LIBOR, expiring 6/29/20, European Style (Premium $740,145) | | $ | (738,822 | ) |
| | | | | | | | | |
| | | | | Total Investments net of Call and Put Options Written — 97.7%
(Cost $356,035,400) | | | 353,264,483 | |
| | | | | Other assets less liabilities — 2.3% | | | 8,410,028 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 361,674,511 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $357,515,690.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 3,065,885 | |
| Gross unrealized depreciation | | | (5,846,798 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (2,780,913 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
27
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Treasury Securities — 10.8% |
| | | | | US Treasury Bonds — 3.4% |
| $ | 5,900,000 | | | 7.25%, 08/15/22 | | $ | 7,751,125 | |
| | 49,150,000 | | | 3.50%, 02/15/39(5) | | | 42,499,514 | |
| | | | | | | | | |
| | | | | | | | 50,250,639 | |
| | | | | | | | | |
| | | | | US Treasury Notes — 7.4% |
| | 74,065,000 | | | 1.13%, 06/30/11 | | | 74,076,569 | |
| | 23,275,000 | | | 1.88%, 06/15/12(5) | | | 23,444,209 | |
| | 10,710,000 | | | 2.63%, 06/30/14 | | | 10,743,522 | |
| | | | | | | | | |
| | | | | | | | 108,264,300 | |
| | | | | | | | | |
| | | | | Total US Treasury Securities
(Cost $159,066,907) | | | 158,514,939 | |
| | | | | | | | | |
| | | | | US Government Agency Securities — 51.3% |
| | | | | Asset Backed: Mortgage and Home Equity — 0.3% |
| | 4,544,740 | | | Freddie Mac,
Series 2825, Class VP,
5.50%, 06/15/15 | | | 4,870,463 | |
| | | | | | | | | |
| | | | | Asset Backed: US Government Agencies — 0.1% |
| | 689,281 | | | Small Business Administration, Series 2002-P10B, Class 1, 5.20%, 08/10/12 | | | 713,658 | |
| | 1,022,802 | | | Small Business Administration, Series 2004-P10A, Class 1, 4.50%, 02/10/14 | | | 1,044,011 | |
| | | | | | | | | |
| | | | | | | | 1,757,669 | |
| | | | | | | | | |
| | | | | Fannie Mae — 29.7% |
| | 4,100,000 | | | 5.25%, 08/01/12 | | | 4,260,310 | |
| | 10,200,000 | | | 4.63%, 05/01/13 | | | 10,354,938 | |
| | 3,508,905 | | | PL# 190346, 5.50%, 12/01/33 | | | 3,641,003 | |
| | 18,407 | | | PL# 253990, 7.00%, 09/01/16 | | | 19,562 | |
| | 420,009 | | | PL# 323842, 5.50%, 07/01/14 | | | 443,215 | |
| | 19,196 | | | PL# 535103, 7.00%, 01/01/15 | | | 20,279 | |
| | 220,013 | | | PL# 535675, 7.00%, 01/01/16 | | | 233,214 | |
| | 68,806 | | | PL# 545249, 5.50%, 10/01/16 | | | 72,607 | |
| | 370,468 | | | PL# 545298, 5.50%, 11/01/16 | | | 390,936 | |
| | 3,798 | | | PL# 545363, 5.50%, 11/01/16 | | | 4,008 | |
| | 1,373,929 | | | PL# 545411, 5.50%, 01/01/17 | | | 1,449,839 | |
| | 20,239 | | | PL# 545477, 7.00%, 03/01/32 | | | 22,153 | |
| | 19,814 | | | PL# 549659, 7.00%, 02/01/16 | | | 21,057 | |
| | 4,442 | | | PL# 550440, 7.00%, 02/01/16 | | | 4,721 | |
| | 168,026 | | | PL# 555114, 5.50%, 12/01/17 | | | 177,572 | |
| | 65,808 | | | PL# 555880, 5.50%, 11/01/33 | | | 68,286 | |
| | 45,440 | | | PL# 572453, 5.50%, 04/01/16 | | | 47,951 | |
| | 244,939 | | | PL# 580165, 5.50%, 09/01/16 | | | 258,472 | |
| | 8,906 | | | PL# 580179, 7.00%, 10/01/16 | | | 9,464 | |
| | 34,677 | | | PL# 580515, 5.50%, 04/01/16 | | | 36,593 | |
| | 121,291 | | | PL# 589120, 5.50%, 11/01/16 | | | 127,993 | |
| | 5,611 | | | PL# 589893, 7.00%, 06/01/31 | | | 6,147 | |
| | 6,796 | | | PL# 598125, 7.00%, 09/01/16 | | | 7,222 | |
| | 6,217 | | | PL# 602148, 5.50%, 09/01/16 | | | 6,561 | |
| | 46,485 | | | PL# 604517, 5.50%, 11/01/16 | | | 49,053 | |
| | 30,203 | | | PL# 607386, 5.50%, 11/01/16 | | | 31,872 | |
| | 45,270 | | | PL# 607493, 5.50%, 11/01/16 | | | 47,771 | |
| | 15,041 | | | PL# 610128, 7.00%, 10/01/31 | | | 16,478 | |
| | 159,222 | | | PL# 610579, 5.50%, 12/01/16 | | | 168,019 | |
| | 7,321 | | | PL# 611323, 7.00%, 10/01/16 | | | 7,781 | |
| | 18,481 | | | PL# 612071, 5.50%, 11/01/16 | | | 19,502 | |
| | 114,548 | | | PL# 614506, 5.50%, 11/01/16 | | | 120,876 | |
| | 1,121,040 | | | PL# 619054, 5.50%, 02/01/17 | | | 1,184,729 | |
| | 422,491 | | | PL# 631321, 5.50%, 02/01/17 | | | 446,494 | |
| | 24,272 | | | PL# 631606, 5.50%, 03/01/17 | | | 25,651 | |
| | 34,545 | | | PL# 632269, 7.00%, 05/01/32 | | | 37,846 | |
| | 124,930 | | | PL# 650206, 5.50%, 01/01/18 | | | 132,027 | |
| | 25,841 | | | PL# 664188, 5.50%, 09/01/17 | | | 27,309 | |
| | 34,932 | | | PL# 664194, 5.50%, 09/01/17 | | | 36,917 | |
| | 131,325 | | | PL# 675314, 5.50%, 12/01/17 | | | 138,786 | |
| | 206,964 | | | PL# 676800, 5.50%, 01/01/18 | | | 218,722 | |
| | 299,663 | | | PL# 679631, 5.50%, 02/01/18 | | | 316,501 | |
| | 5,918 | | | PL# 681343, 5.50%, 02/01/18 | | | 6,250 | |
| | 248,676 | | | PL# 683199, 5.50%, 02/01/18 | | | 262,648 | |
| | 5,941 | | | PL# 701236, 5.50%, 05/01/18 | | | 6,275 | |
| | 4,907,242 | | | PL# 704038, 5.50%, 05/01/33 | | | 5,091,983 | |
| | 5,131,902 | | | PL# 720097, 5.50%, 07/01/33 | | | 5,325,100 | |
| | 5,726,104 | | | PL# 725162, 6.00%, 02/01/34 | | | 6,030,415 | |
| | 8,086 | | | PL# 725269, 5.50%, 03/01/19 | | | 8,545 | |
| | 6,651,964 | | | PL# 725423, 5.50%, 05/01/34 | | | 6,902,387 | |
| | 4,131,451 | | | PL# 725425, 5.50%, 04/01/34 | | | 4,281,467 | |
| | 3,648,900 | | | PL# 725704,
6.00%, 08/01/34(6) | | | 3,842,819 | |
| | 2,803,247 | | | PL# 735454, 5.50%, 11/01/18 | | | 2,962,507 | |
| | 19,397,262 | | | PL# 735504,
6.00%, 04/01/35(6) | | | 20,452,367 | |
| | 763,805 | | | PL# 735611, 5.50%, 03/01/20 | | | 807,199 | |
| | 7,023,548 | | | PL# 735989, 5.50%, 02/01/35 | | | 7,294,545 | |
| | 4,397,292 | | | PL# 739741, 5.50%, 12/01/33 | | | 4,562,835 | |
| | 4,285,954 | | | PL# 747371, 5.50%, 10/01/33 | | | 4,443,609 | |
| | 5,553,379 | | | PL# 755365, 5.50%, 12/01/33 | | | 5,762,444 | |
| | 24,511 | | | PL# 761808, 5.50%, 05/01/18 | | | 25,904 | |
| | 139,719 | | | PL# 781889, 5.50%, 03/01/17 | | | 147,438 | |
| | 930,781 | | | PL# 826273, 6.00%, 07/01/20 | | | 987,878 | |
| | 3,524,271 | | | PL# 826976, 6.00%, 06/01/35 | | | 3,697,249 | |
| | 436,322 | | | PL# 827756, 6.00%, 06/01/35 | | | 457,738 | |
| | 4,915,709 | | | PL# 845421, 6.00%, 02/01/36 | | | 5,149,302 | |
| | 7,134,765 | | | PL# 850867, Variable Rate, 5.60%, 01/01/36(1) | | | 7,478,854 | |
| | 1,741,327 | | | PL# 889255, 5.00%, 03/01/23 | | | 1,805,430 | |
| | 4,294,530 | | | PL# 889641, 5.50%, 08/01/37 | | | 4,453,520 | |
See notes to financial statements.
28
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Government Agency Securities (continued) |
| | | | | Fannie Mae (continued) |
| | | | | | | | | |
| $ | 1,804,505 | | | PL# 899447, 5.00%, 06/01/22 | | $ | 1,870,933 | |
| | 5,510,245 | | | PL# 915614, 5.00%, 05/01/22 | | | 5,713,091 | |
| | 15,713,864 | | | PL# 917051,
6.00%, 05/01/37(6) | | | 16,445,848 | |
| | 1,607,058 | | | PL# 918320, 5.00%, 05/01/22 | | | 1,666,218 | |
| | 913,597 | | | PL# 928548, 5.00%, 08/01/22 | | | 947,229 | |
| | 575,000 | | | PL# 931324, 4.50%, 06/01/39 | | | 573,652 | |
| | 3,751,722 | | | PL# 936928, 6.00%, 05/01/37 | | | 3,926,484 | |
| | 1,704,560 | | | PL# 941247, 5.00%, 06/01/22 | | | 1,767,309 | |
| | 6,966,519 | | | PL# 944116, 6.00%, 07/01/37 | | | 7,291,033 | |
| | 1,190,696 | | | PL# 945869, 6.00%, 08/01/37 | | | 1,246,162 | |
| | 3,485,195 | | | PL# 949330, 5.00%, 08/01/22 | | | 3,613,494 | |
| | 6,018,774 | | | PL# 952204, 6.00%, 11/01/37 | | | 6,299,140 | |
| | 8,081,098 | | | PL# 962130, 6.00%, 03/01/38 | | | 8,455,814 | |
| | 1,774,840 | | | PL# 972027, 5.00%, 02/01/23 | | | 1,839,244 | |
| | 80,405 | | | PL# 974642, 6.00%, 03/01/38 | | | 84,133 | |
| | 2,434,152 | | | PL# 993056, 5.00%, 12/01/38 | | | 2,482,223 | |
| | 5,148,025 | | | PL# AA1010,
5.50%, 11/01/33 | | | 5,346,657 | |
| | 991,324 | | | PL# AA4410,
5.00%, 03/01/39 | | | 1,010,802 | |
| | 119,144 | | | PL# AA5308,
4.50%, 04/01/39 | | | 119,049 | |
| | 151,754 | | | PL# AA5718,
5.00%, 04/01/39 | | | 154,736 | |
| | 3,134,116 | | | PL# AA6655,
4.50%, 06/01/39 | | | 3,131,637 | |
| | 285,000 | | | PL# AA7071,
4.50%, 06/01/39 | | | 284,775 | |
| | 770,000 | | | PL# AA8165,
4.50%, 06/01/39 | | | 769,391 | |
| | 5,510,884 | | | PL# AA8747,
4.50%, 07/01/39 | | | 5,506,525 | |
| | 2,700,000 | | | TBA, 4.50%, 07/01/24 | | | 2,757,375 | |
| | 1,900,000 | | | TBA, 5.00%, 07/01/24 | | | 1,965,907 | |
| | 12,000,000 | | | TBA, 5.50%, 07/01/24 | | | 12,555,000 | |
| | 2,900,000 | | | TBA, 6.00%, 08/01/24 | | | 3,060,405 | |
| | 7,300,000 | | | TBA, 4.00%, 07/01/39 | | | 7,078,719 | |
| | 35,745,000 | | | TBA, 4.50%, 07/01/39 | | | 35,666,789 | |
| | 55,300,000 | | | TBA, 5.00%, 07/01/39 | | | 56,302,312 | |
| | 10,500,000 | | | TBA, 5.50%, 07/01/39 | | | 10,798,599 | |
| | 64,400,000 | | | TBA, 6.00%, 07/01/39 | | | 67,297,999 | |
| | 30,600,000 | | | TBA, 6.50%, 07/01/39 | | | 32,589,000 | |
| | | | | | | | | |
| | | | | | | | 437,574,829 | |
| | | | | | | | | |
| | | | | Federal Agricultural Mortgage Corporation — 4.7% |
| | 20,230,000 | | | 3.88%, 08/19/11 | | | 21,275,527 | |
| | 45,175,000 | | | 144A, 5.50%, 07/15/11 | | | 48,191,335 | |
| | | | | | | | | |
| | | | | | | | 69,466,862 | |
| | | | | | | | | |
| | | | | Federal Home Loan Bank — 1.4% |
| | 9,195,000 | | | 5.63%, 06/13/16 | | | 8,852,882 | |
| | 10,865,000 | | | 5.38%, 05/15/19 | | | 11,730,277 | |
| | | | | | | | | |
| | | | | | | | 20,583,159 | |
| | | | | | | | | |
| | | | | Freddie Mac — 3.6% |
| | 5,700,000 | | | 1.75%, 06/15/12 | | | 5,679,275 | |
| | 16,800,000 | | | 4.75%, 06/28/12 | | | 18,187,462 | |
| | 6,365,000 | | | 3.00%, 07/28/14 | | | 6,377,895 | |
| | 9,800,000 | | | 5.75%, 06/27/16(5) | | | 9,976,145 | |
| | 2,790,935 | | | PL# 1B2853, Variable Rate, 4.34%, 04/01/35(1) | | | 2,880,099 | |
| | 9,168,173 | | | PL# 1G1119, Variable Rate, 4.75%, 09/01/35(1) | | | 9,339,272 | |
| | | | | | | | | |
| | | | | | | | 52,440,148 | |
| | | | | | | | | |
| | | | | Freddie Mac Gold — 3.6% |
| | 191,389 | | | PL# A32037,
5.00%, 03/01/35 | | | 195,418 | |
| | 21,229 | | | PL# A38585,
5.50%, 10/01/35 | | | 21,989 | |
| | 2,112,665 | | | PL# A68438,
5.50%, 11/01/37 | | | 2,183,947 | |
| | 99,671 | | | PL# A84925,
5.00%, 03/01/39 | | | 101,505 | |
| | 5,597,058 | | | PL# A85071,
5.00%, 03/01/39 | | | 5,700,034 | |
| | 13,801,974 | | | PL# A85720,
5.00%, 04/01/39 | | | 14,055,908 | |
| | 2,172,438 | | | PL# C57150,
6.00%, 05/01/31 | | | 2,287,213 | |
| | 2,749 | | | PL# C67653,
7.00%, 06/01/32 | | | 2,976 | |
| | 39,438 | | | PL# C67868,
7.00%, 06/01/32 | | | 42,703 | |
| | 8,792 | | | PL# C67999,
7.00%, 06/01/32 | | | 9,519 | |
| | 61,282 | | | PL# C68001,
7.00%, 06/01/32 | | | 66,356 | |
| | 9,279 | | | PL# E00570,
6.00%, 09/01/13 | | | 9,738 | |
| | 201,266 | | | PL# E00592,
6.00%, 12/01/13 | | | 211,066 | |
| | 10,374 | | | PL# E00720,
6.00%, 07/01/14 | | | 10,895 | |
| | 11,600 | | | PL# E01007,
6.00%, 08/01/16 | | | 12,237 | |
| | 39,084 | | | PL# E01095,
6.00%, 01/01/17 | | | 41,248 | |
See notes to financial statements.
29
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Government Agency Securities (continued) |
| | | | | Freddie Mac Gold (continued) |
| | | | | | | | | |
| $ | 8,005 | | | PL# E69171,
6.00%, 02/01/13 | | $ | 8,490 | |
| | 4,134 | | | PL# E73319,
6.00%, 11/01/13 | | | 4,384 | |
| | 16,010 | | | PL# E73769,
6.00%, 12/01/13 | | | 16,980 | |
| | 8,104 | | | PL# E75990,
6.00%, 04/01/14 | | | 8,503 | |
| | 14,763 | | | PL# E76341,
6.00%, 04/01/14 | | | 15,671 | |
| | 21,415 | | | PL# E76730,
6.00%, 05/01/14 | | | 22,732 | |
| | 15,032 | | | PL# E76731,
6.00%, 05/01/14 | | | 15,957 | |
| | 12,748 | | | PL# E78995,
6.00%, 11/01/14 | | | 13,532 | |
| | 137,189 | | | PL# E84191,
6.00%, 07/01/16 | | | 146,098 | |
| | 2,133 | | | PL# E84758,
5.50%, 07/01/16 | | | 2,248 | |
| | 10,060 | | | PL# E85885,
6.00%, 11/01/16 | | | 10,714 | |
| | 138,766 | | | PL# E86502,
5.50%, 12/01/16 | | | 146,259 | |
| | 3,306 | | | PL# E86565,
5.50%, 12/01/16 | | | 3,485 | |
| | 136,355 | | | PL# E87961,
6.00%, 02/01/17 | | | 145,210 | |
| | 207,783 | | | PL# E88001,
6.00%, 02/01/17 | | | 221,146 | |
| | 35,551 | | | PL# E88452,
6.00%, 03/01/17 | | | 37,837 | |
| | 139,605 | | | PL# E88749,
6.00%, 03/01/17 | | | 148,670 | |
| | 212,131 | | | PL# E88789,
6.00%, 04/01/17 | | | 225,774 | |
| | 85,260 | | | PL# E88979,
5.50%, 04/01/17 | | | 90,078 | |
| | 156,310 | | | PL# E89282,
6.00%, 04/01/17 | | | 166,362 | |
| | 381,832 | | | PL# E89336,
6.00%, 05/01/17 | | | 406,388 | |
| | 12,962 | | | PL# E89653,
6.00%, 04/01/17 | | | 13,804 | |
| | 258,718 | | | PL# E89913,
6.00%, 05/01/17 | | | 275,357 | |
| | 492,570 | | | PL# E91644,
5.50%, 10/01/17 | | | 520,401 | |
| | 127,074 | | | PL# E91754,
5.50%, 10/01/17 | | | 134,254 | |
| | 198,398 | | | PL# E91774,
5.50%, 10/01/17 | | | 209,607 | |
| | 96,084 | | | PL# E91968,
5.50%, 10/01/17 | | | 101,513 | |
| | 178,572 | | | PL# E92113,
5.50%, 10/01/17 | | | 188,662 | |
| | 869,361 | | | PL# G01391,
7.00%, 04/01/32 | | | 943,710 | |
| | 2,246,009 | | | PL# G03358,
5.50%, 08/01/37 | | | 2,321,790 | |
| | 1,175,454 | | | PL# G04333,
5.00%, 04/01/38 | | | 1,197,264 | |
| | 8,393 | | | PL# Glllll,
6.00%, 04/01/16 | | | 8,917 | |
| | 5,266,729 | | | PL# G12814,
5.00%, 10/01/22 | | | 5,457,319 | |
| | 5,547,250 | | | PL# G12840,
5.00%, 11/01/22 | | | 5,747,991 | |
| | 1,662,517 | | | PL# M80813,
4.00%, 04/01/10 | | | 1,685,829 | |
| | 4,000,000 | | | TBA, 5.00%, 07/01/24 | | | 4,135,000 | |
| | 200,000 | | | TBA, 5.00%, 07/01/39 | | | 203,375 | |
| | 100,000 | | | TBA, 6.00%, 07/01/39 | | | 104,344 | |
| | 1,900,000 | | | TBA, 6.00%, 07/01/39 | | | 2,006,578 | |
| | 600,000 | | | TBA, 6.50%, 07/01/39 | | | 637,500 | |
| | | | | | | | | |
| | | | | | | | 52,702,485 | |
| | | | | | | | | |
| | | | | Government National Mortgage Association — 7.8% |
| | 74,119 | | | PL# 3173, 6.50%, 12/20/31 | | | 79,757 | |
| | 53,100,000 | | | TBA, 5.50%, 07/01/39 | | | 54,543,789 | |
| | 25,200,000 | | | TBA, 6.00%, 07/01/39 | | | 26,247,362 | |
| | 21,500,000 | | | TBA, 5.00%, 08/01/39 | | | 21,829,208 | |
| | 12,500,000 | | | TBA, 6.00%, 08/01/39 | | | 12,988,313 | |
| | | | | | | | | |
| | | | | | | | 115,688,429 | |
| | | | | | | | | |
| | | | | Resolution Funding Strips — 0.1% |
| | 1,200,000 | | | Zero coupon, 07/15/18(8) | | | 817,627 | |
| | 1,200,000 | | | Zero coupon, 10/15/18(8) | | | 806,983 | |
| | | | | | | | | |
| | | | | | | | 1,624,610 | |
| | | | | | | | | |
| | | | | Total US Government Agency Securities
(Cost $745,033,886) | | | 756,708,654 | |
| | | | | | | | | |
| | | | | Corporate Bonds and Notes — 52.8% |
| | | | | Automobile: Rental — 0.0% |
| | 675,000 | | | Hertz Corp.,
8.88%, 01/01/14 | | | 621,000 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 12.2% |
| | 2,130,000 | | | Bank of America Corp.,
6.00%, 09/01/17 | | | 1,936,605 | |
| | 1,000,000 | | | Bear Stearns Companies, Inc. (The), Series MTNB,
4.55%, 06/23/10 | | | 1,020,562 | |
| | 6,755,000 | | | BP Capital Markets PLC (United Kingdom),
3.13%, 03/10/12 | | | 6,890,796 | |
See notes to financial statements.
30
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Banks and Financial Services (continued) |
| | | | | | | | | |
| $ | 6,710,000 | | | Citigroup Funding, Inc.,
2.13%, 07/12/12 | | $ | 6,710,926 | |
| | 2,135,000 | | | Citigroup, Inc.,
4.13%, 02/22/10 | | | 2,135,523 | |
| | 6,390,000 | | | Danske Bank A/S — 144A Series EMTN (Denmark), 2.50%, 05/10/12 | | | 6,413,132 | |
| | 5,165,000 | | | Dexia Credit Local — 144A (France),
2.38%, 09/23/11 | | | 5,109,001 | |
| | 5,075,000 | | | Eksportfinans A/S (Norway), 5.50%, 05/25/16 | | | 5,299,082 | |
| | 14,675,000 | | | General Electric Capital Corp., 5.00%, 11/15/11 | | | 15,109,659 | |
| | 5,250,000 | | | General Electric Capital Corp., 2.13%, 12/21/12 | | | 5,213,875 | |
| | 3,230,000 | | | Goldman Sachs Capital II, Variable Rate,
5.79%, perpetual(1) | | | 1,968,524 | |
| | 4,315,000 | | | Goldman Sachs Group, Inc., 5.25%, 10/15/13 | | | 4,403,867 | |
| | 300,000 | | | Icahn Enterprises Finance Corp., 8.13%, 06/01/12 | | | 276,000 | |
| | 4,045,000 | | | Icahn Enterprises Finance Corp., 7.13%, 02/15/13 | | | 3,650,613 | |
| | 1,100,000 | | | JPMorgan Chase & Company, 7.00%, 11/15/09 | | | 1,117,218 | |
| | 12,600,000 | | | JPMorgan Chase & Company, 2.20%, 06/15/12 | | | 12,663,769 | |
| | 7,750,000 | | | JPMorgan Chase Bank NA, Series BKNT,
6.00%, 07/05/17 | | | 7,548,849 | |
| | 1,945,000 | | | JPMorgan Chase Bank NA, Series BKNT,
6.00%, 10/01/17 | | | 1,893,142 | |
| | 14,875,000 | | | Kreditanstalt fur Wiederaufbau (Germany),
3.50%, 03/10/14 | | | 15,157,789 | |
| | 8,600,000 | | | Leaseplan Corp. NV — 144A (the Netherlands),
3.00%, 05/07/12 | | | 8,663,067 | |
| | 2,250,000 | | | Lehman Brothers Holdings, Inc., 6.50%, 07/19/17(9) | | | 225 | |
| | 2,005,000 | | | Lehman Brothers Holdings, Inc., Series MTN,
6.75%, 12/28/17(9) | | | 201 | |
| | 425,000 | | | Morgan Stanley,
6.75%, 04/15/11 | | | 445,216 | |
| | 19,360,000 | | | Morgan Stanley, Floating Rate, 1.40%, 01/09/12(2) | | | 17,451,239 | |
| | 565,000 | | | Morgan Stanley, Series MTN, 6.25%, 08/28/17 | | | 546,687 | |
| | 18,175,000 | | | Private Expert Funding Corp., Series Y,
3.55%, 04/15/13 | | | 18,854,635 | |
| | 3,365,000 | | | SLM Corp., Series MTN, 5.40%, 10/25/11 | | | 3,026,447 | |
| | 2,370,000 | | | SLM Corp., Series MTNA, 4.00%, 01/15/10 | | | 2,295,591 | |
| | 7,500,000 | | | Societe de Financement de L’ Economie Francaise (France) — 144A,
3.38%, 05/05/14 | | | 7,515,662 | |
| | 9,715,000 | | | UBS AG Stamford Branch, Series DPNT (Switzerland), 5.88%, 12/20/17 | | | 9,047,191 | |
| | 5,900,000 | | | UBS AG Stamford Branch, Series MTN (Switzerland), 5.75%, 04/25/18 | | | 5,373,342 | |
| | | | | | | | | |
| | | | | | | | 177,738,435 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 1.7% |
| | 5,279,000 | | | Comcast Cable Communications Holdings,
8.38%, 03/15/13 | | | 6,018,060 | |
| | 1,800,000 | | | Comcast Cable Communications, Inc.,
6.75%, 01/30/11 | | | 1,901,905 | |
| | 965,000 | | | Comcast Corp.,
7.05%, 03/15/33 | | | 1,027,007 | |
| | 2,935,000 | | | Comcast Corp.,
6.95%, 08/15/37 | | | 3,060,263 | |
| | 465,000 | | | Cox Communications, Inc., 7.75%, 11/01/10 | | | 484,063 | |
| | 3,525,000 | | | Cox Communications, Inc. — 144A,
8.38%, 03/01/39 | | | 3,930,315 | |
| | 1,070,000 | | | News America Holdings,
7.63%, 11/30/28 | | | 1,024,690 | |
| | 260,000 | | | News America, Inc.,
7.28%, 06/30/28 | | | 239,269 | |
| | 1,675,000 | | | TCI Communications, Inc., 7.13%, 02/15/28 | | | 1,708,693 | |
| | 4,030,000 | | | Time Warner Cable, Inc.,
6.20%, 07/01/13 | | | 4,246,185 | |
| | 1,910,000 | | | Time Warner, Inc.,
7.57%, 02/01/24 | | | 1,869,877 | |
| | | | | | | | | |
| | | | | | | | 25,510,327 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 0.0% |
| | 750,000 | | | First Data Corp.,
9.88%, 09/24/15 | | | 532,500 | |
| | | | | | | | | |
| | | | | Chemicals — 0.3% |
| | 2,815,000 | | | Huntsman International LLC, 7.88%, 11/15/14 | | | 2,230,888 | |
| | 755,000 | | | Huntsman International LLC, 7.38%, 01/01/15 | | | 592,675 | |
| | 230,000 | | | Nova Chemicals Corp. (Canada),
6.50%, 01/15/12 | | | 216,200 | |
See notes to financial statements.
31
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Chemicals (continued) |
| | | | | | | | | |
| $ | 1,400,000 | | | Nova Chemicals Corp. (Canada), Floating Rate, 4.54%, 11/15/13(11) | | $ | 1,158,500 | |
| | | | | | | | | |
| | | | | | | | 4,198,263 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 0.2% |
| | 2,980,000 | | | Oracle Corp.,
5.75%, 04/15/18 | | | 3,143,432 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 0.1% |
| | 2,875,000 | | | Belvoir Land LLC — 144A, 5.40%, 12/15/47 | | | 1,838,016 | |
| | | | | | | | | |
| | | | | Education — 0.1% |
| | 2,190,000 | | | Stanford University,
4.25%, 05/01/16 | | | 2,147,952 | |
| | | | | | | | | |
| | | | | Electronics — 0.0% |
| | 470,000 | | | L-3 Communications Corp., 5.88%, 01/15/15 | | | 417,125 | |
| | 155,000 | | | L-3 Communications Corp., Series B,
6.38%, 10/15/15 | | | 140,663 | |
| | | | | | | | | |
| | | | | | | | 557,788 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.0% |
| | 808,000 | | | Harrah’s Operating Company, Inc. — 144A,
10.00%, 12/15/18 | | | 464,600 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services — 0.0% |
| | 560,000 | | | Aleris International, Inc.,
9.00%, 12/15/14(9)(12) | | | 6,300 | |
| | | | | | | | | |
| | | | | Food and Beverage — 0.6% |
| | 4,792,000 | | | Kraft Foods, Inc.,
6.50%, 08/11/17 | | | 5,047,069 | |
| | 4,375,000 | | | Kraft Foods, Inc.,
6.13%, 02/01/18 | | | 4,523,413 | |
| | | | | | | | | |
| | | | | | | | 9,570,482 | |
| | | | | | | | | |
| | | | | Insurance — 0.8% |
| | 1,591,000 | | | American International Group, Series A-6,
8.18%, 05/15/68 | | | 453,810 | |
| | 5,355,000 | | | Hartford Life Global Funding, Series MTN, Floating Rate, 0.80%, 09/15/09(2) | | | 5,333,243 | |
| | 6,550,000 | | | MetLife Global Funding I — 144A,
5.13%, 04/10/13 | | | 6,661,854 | |
| | | | | | | | | |
| | | | | | | | 12,448,907 | |
| | | | | | | | | |
| | | | | Internet Services — 0.4% |
| | 5,565,000 | | | Expedia, Inc.,
7.46%, 08/15/18 | | | 5,286,750 | |
| | | | | | | | | |
| | | | | Machinery — 0.1% |
| | 2,150,000 | | | Atlantic Marine, Inc. — 144A, 5.34%, 12/01/50 | | | 1,400,145 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 1.1% |
| | 4,805,000 | | | Merck & Company, Inc.,
4.00%, 06/30/15 | | | 4,889,544 | |
| | 1,575,000 | | | Roche Holdings, Inc. — 144A, Floating Rate,
2.66%, 02/25/11(2) | | | 1,592,451 | |
| | 7,050,000 | | | Roche Holdings, Inc. — 144A,
5.00%, 03/01/14 | | | 7,373,630 | |
| | 3,600,000 | | | WellPoint, Inc.,
5.95%, 12/15/34 | | | 2,897,921 | |
| | | | | | | | | |
| | | | | | | | 16,753,546 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.1% |
| | 1,999,000 | | | Ispat Inland ULC (Canada), 9.75%, 04/01/14 | | | 2,094,432 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 2.0% |
| | 2,965,000 | | | Arch Western Finance,
6.75%, 07/01/13 | | | 2,705,563 | |
| | 2,000,000 | | | Canadian National Resources (Canada),
6.25%, 03/15/38 | | | 1,996,328 | |
| | 8,395,000 | | | ConocoPhillips,
4.60%, 01/15/15 | | | 8,627,079 | |
| | 1,425,000 | | | Consolidated Natural Gas, Series A,
5.00%, 03/01/14 | | | 1,451,055 | |
| | 365,000 | | | El Paso Natural Gas,
8.63%, 01/15/22 | | | 394,228 | |
| | 2,600,000 | | | Enterprise Products Operating LP,
4.95%, 06/01/10 | | | 2,638,384 | |
| | 920,000 | | | Knight, Inc.,
6.50%, 09/01/12 | | | 899,300 | |
| | 7,700,000 | | | Shell International Finance BV (the Netherlands),
4.00%, 03/21/14 | | | 7,906,560 | |
| | 665,000 | | | Tennessee Gas Pipeline Company,
7.00%, 10/15/28 | | | 633,688 | |
| | 1,700,000 | | | XTO Energy, Inc.,
6.75%, 08/01/37 | | | 1,774,720 | |
| | | | | | | | | |
| | | | | | | | 29,026,905 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 0.3% |
| | 400,000 | | | Catalyst Paper Corp.,
Series D (Canada),
8.63%, 06/15/11 | | | 240,000 | |
| | 3,435,000 | | | MeadWestvaco Corp.,
6.85%, 04/01/12 | | | 3,522,799 | |
| | | | | | | | | |
| | | | | | | | 3,762,799 | |
| | | | | | | | | |
See notes to financial statements.
32
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 0.9% |
| $ | 530,000 | | | Bio-Rad Laboratories, Inc.,
6.13%, 12/15/14 | | $ | 482,300 | |
| | 600,000 | | | Bristol-Myers Squibb,
6.88%, 08/01/97 | | | 623,936 | |
| | 3,235,000 | | | Eli Lilly & Company,
3.55%, 03/06/12 | | | 3,351,399 | |
| | 6,710,000 | | | Pfizer, Inc.,
5.35%, 03/15/15 | | | 7,210,565 | |
| | 1,580,000 | | | Wyeth,
6.00%, 02/15/36 | | | 1,675,865 | |
| | | | | | | | | |
| | | | | | | | 13,344,065 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.7% |
| | 621,049 | | | Daimler Chrysler Auto Trust, Series 2006-B, Class A3,
5.33%, 08/08/10 | | | 622,364 | |
| | 14,501,248 | | | Nissan Auto Receivables Owner Trust, Series 2006-B, Class A4,
5.22%, 11/15/11 | | | 14,769,715 | |
| | 8,995,000 | | | Nissan Auto Receivables Owner Trust, Series 2009-A, Class A2,
2.94%, 07/15/11 | | | 9,114,296 | |
| | | | | | | | | |
| | | | | | | | 24,506,375 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Banks and Financial Services — 3.2% |
| | 2,871,572 | | | Banc of America Alternative Loan Trust, Series 2004-7, Class 4A1,
5.00%, 08/25/19 | | | 2,540,444 | |
| | 4,185,000 | | | SLM Student Loan Trust, Series 2005-4, Class A2, Floating Rate,
1.17%, 04/26/21(2) | | | 4,107,567 | |
| | 171,738 | | | SLM Student Loan Trust, Series 2005-5, Class A1, Floating Rate,
1.09%, 01/25/18(2) | | | 171,751 | |
| | 18,210,000 | | | SLM Student Loan Trust, Series 2008-5, Class A2, Floating Rate,
2.19%, 10/25/16(2) | | | 18,266,973 | |
| | 4,600,000 | | | SLM Student Loan Trust, Series 2008-5, Class A3, Floating Rate,
2.39%, 01/25/18(2) | | | 4,614,798 | |
| | 12,410,000 | | | SLM Student Loan Trust, Series 2008-5, Class A4, Floating Rate,
2.79%, 07/25/23(2) | | | 12,443,929 | |
| | 5,540,326 | | | Washington Mutual Asset Securities Corp. — 144A, Series 2005-C1A, Class A2,
5.15%, 05/25/36 | | | 5,463,652 | |
| | | | | | | | | |
| | | | | | | | 47,609,114 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Mortgage and Home Equity — 21.5% |
| | 6,374,329 | | | Banc of America Commercial Mortgage, Inc., Series 2000-1, Class A2A,
7.33%, 11/15/31 | | | 6,394,683 | |
| | 7,050,441 | | | Banc of America Commercial Mortgage, Inc., Series 2001-1, Class A2,
6.50%, 04/15/36 | | | 7,172,783 | |
| | 16,715,000 | | | Banc of America Commercial Mortgage, Inc., Series 2002-2, Class A3,
5.12%, 07/11/43 | | | 16,584,820 | |
| | 11,170,000 | | | Banc of America Commercial Mortgage, Inc., Series 2002-PB2, Class A4,
6.19%, 06/11/35 | | | 11,446,157 | |
| | 3,997,220 | | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-8, Class 14A1, Floating Rate,
5.47%, 11/25/34(3) | | | 2,830,289 | |
| | 4,211,035 | | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 4A1, Floating Rate,
5.35%, 03/25/35(3) | | | 2,712,391 | |
| | 168,682 | | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2001, Class A1,
6.08%, 02/15/35 | | | 169,932 | |
| | 2,545,000 | | | Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PWR8, Class A4,
4.67%, 06/11/41 | | | 2,191,977 | |
| | 3,049,837 | | | Chase Commercial Mortgage Securities Corp., Series 2000-3, Class A2,
7.32%, 10/15/32 | | | 3,113,494 | |
| | 1,585,000 | | | Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4,
5.43%, 10/15/49 | | | 1,267,685 | |
| | 11,112,094 | | | Citigroup Mortgage Loan Trust, Inc., Series 2005-4, Class A, Floating Rate,
5.34%, 08/25/35(3) | | | 9,164,660 | |
| | 2,481,157 | | | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2A, Floating Rate,
0.42%, 03/25/37(3) | | | 1,714,119 | |
See notes to financial statements.
33
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 1,037,500 | | | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4,
5.32%, 12/11/49 | | $ | 765,537 | |
| | 5,776,939 | | | Countrywide Alternative Loan Trust, Series 2005-50CB, Class 1A1,
5.50%, 11/25/35 | | | 3,652,109 | |
| | 5,459,654 | | | Countrywide Alternative Loan Trust, Series 2006-OA21, Class A1, Floating Rate,
0.51%, 03/20/47(3) | | | 2,153,111 | |
| | 5,364,329 | | | Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A31,
5.50%, 04/25/37 | | | 3,503,433 | |
| | 2,318,585 | | | Countrywide Home Loans, Series 2006-OA5, Class 2A1, Floating Rate,
0.51%, 04/25/36(3) | | | 986,242 | |
| | 7,515,692 | | | Countrywide Home Loans, Series 2007-16, Class A1,
6.50%, 10/25/37 | | | 5,522,860 | |
| | 10,280,000 | | | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2,
5.18%, 11/15/36 | | | 10,092,397 | |
| | 14,005,000 | | | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5,
3.94%, 05/15/38 | | | 12,642,507 | |
| | 3,806,899 | | | Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2006-OA1, Class A1, Floating Rate,
0.51%, 02/25/47(3) | | | 1,599,447 | |
| | 4,006,769 | | | DLJ Commercial Mortgage Corp., Series 2000-CKP1, Class A1B,
7.18%, 11/10/33 | | | 4,085,927 | |
| | 12,090,258 | | | First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2,
6.66%, 01/12/43 | | | 12,449,465 | |
| | 10,380,000 | | | GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3,
6.27%, 12/10/35 | | | 10,582,000 | |
| | 11,875,000 | | | GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3,
5.35%, 08/11/36 | | | 11,872,940 | |
| | 3,330,000 | | | Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4,
4.76%, 06/10/36 | | | 3,343,395 | |
| | 11,200,000 | | | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3,
4.57%, 01/10/12 | | | 10,099,757 | |
| | 3,175,000 | | | GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A,
4.75%, 07/10/39 | | | 2,695,452 | |
| | 2,301,187 | | | GSR Mortgage Loan Trust, Series 2004-9, Class 3A1, Floating Rate,
3.97%, 08/25/34(3) | | | 1,888,941 | |
| | 2,668,649 | | | GSR Mortgage Loan Trust, Series 2005-AR1, Class 2A1, Floating Rate,
4.92%, 01/25/35(3) | | | 1,840,518 | |
| | 7,751,414 | | | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1,
5.25%, 07/25/35 | | | 5,679,194 | |
| | 614,822 | | | Harborview Mortgage Loan Trust, Series 2005-8, Class 1A2A, Floating Rate,
0.64%, 09/19/35(3) | | | 263,801 | |
| | 8,340,933 | | | Harborview Mortgage Loan Trust, Series 2006-11, Class A1A, Floating Rate,
0.48%, 12/19/36(3) | | | 3,438,288 | |
| | 4,051,553 | | | IndyMac INDA Mortgage Loan Trust, Series 2006-AR2, Class 4A1, Floating Rate,
5.89%, 09/25/36(3) | | | 2,229,095 | |
| | 1,732,594 | | | JPMorgan Chase Commercial Mortgage Securities Corp. — 144A, Series 2004-CB8, Class A1A,
4.16%, 01/12/39 | | | 1,442,411 | |
| | 10,490,000 | | | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3,
5.86%, 10/12/35 | | | 10,346,550 | |
| | 6,650,000 | | | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB2, Class A3,
6.43%, 04/15/35 | | | 6,770,775 | |
| | 8,593,282 | | | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIBC, Class A3,
6.26%, 03/15/33 | | | 8,777,637 | |
| | 9,350,000 | | | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4,
4.90%, 09/12/37 | | | 7,968,054 | |
| | 454,505 | | | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1, Floating Rate,
4.08%, 08/25/34(3) | | | 394,351 | |
See notes to financial statements.
34
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 1,416,794 | | | JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2, 5.88%, 07/25/36 | | $ | 1,216,229 | |
| | 4,332,165 | | | JPMorgan Mortgage Trust, Series 2006-S3, Class 1A12, 6.50%, 08/25/36 | | | 3,203,553 | |
| | 1,164,897 | | | JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2, 5.50%, 03/25/22 | | | 986,158 | |
| | 3,668,393 | | | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.75%, 03/25/37 | | | 2,749,990 | |
| | 4,375,948 | | | JPMorgan Mortgage Trust, Series 2007-S2, Class 1A15, 6.75%, 06/25/37 | | | 3,303,841 | |
| | 11,662,123 | | | LB-UBS Commercial Mortgage Trust, Series 2000-C3, Class A2,
7.95%, 05/15/25 | | | 11,851,767 | |
| | 5,723,006 | | | LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2,
7.37%, 08/15/26 | | | 5,859,530 | |
| | 7,395,000 | | | LB-UBS Commercial Mortgage Trust, Series 2003-C7, Class A3,
4.56%, 09/15/27 | | | 7,181,668 | |
| | 9,100,000 | | | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A4,
4.51%, 12/15/29 | | | 8,042,683 | |
| | 9,658,000 | | | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3,
5.43%, 02/15/40 | | | 6,980,643 | |
| | 11,842,000 | | | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A2,
5.59%, 09/15/45 | | | 10,874,816 | |
| | 8,385,286 | | | Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 3A1, Floating Rate,
5.82%, 05/25/36(3) | | | 4,045,552 | |
| | 2,547,706 | | | Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A1, Floating Rate,
0.37%, 11/25/46(3) | | | 2,352,147 | |
| | 6,454,959 | | | Residential Asset Securitization Trust, Series 2005-A14, Class A4,
5.50%, 12/25/35 | | | 5,754,987 | |
| | 8,323,015 | | | Salomon Brothers Mortgage Securities VII, Series 2001-C2, Class A3,
6.50%, 10/13/11 | | | 8,542,292 | |
| | 4,543,524 | | | Structured Adjustable Rate Mortgage Loan, Series 2007-3, Class 3A1, Floating Rate,
5.70%, 04/25/37(3) | | | 2,437,153 | |
| | 12,475,000 | | | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, Floating Rate,
6.10%, 02/15/51(3) | | | 9,184,088 | |
| | 6,245,997 | | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY1, Class 1A1, Floating Rate,
5.69%, 02/25/37(3) | | | 3,485,962 | |
| | 2,754,482 | | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, Floating Rate,
2.11%, 05/25/47(3) | | | 1,050,370 | |
| | 4,454,515 | | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-3, Class A9,
5.50%, 03/25/36 | | | 3,810,302 | |
| | 400,000 | | | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4, Class 2A4, Floating Rate,
5.77%, 04/25/36(3) | | | 270,391 | |
| | | | | | | | | |
| | | | | | | | 315,033,306 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Other — 0.2% |
| | 3,482,802 | | | Structured Asset Securities Corp. — 144A, Series 2003-AL2, Class A,
3.36%, 01/25/31 | | | 2,884,622 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Utilities — 0.5% |
| | 8,000,000 | | | Peco Energy Transition Trust, Series 2000-A, Class A4,
7.65%, 03/01/10 | | | 8,091,076 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.0% |
| | 1,250,000 | | | IStar Financial, Inc.,
5.65%, 09/15/11 | | | 725,000 | |
| | | | | | | | | |
| | | | | Retail — 0.1% |
| | 725,000 | | | Macy’s Retail Holdings, Inc.,
5.35%, 03/15/12 | | | 659,904 | |
| | 730,000 | | | Macy’s Retail Holdings, Inc.,
5.75%, 07/15/14 | | | 620,677 | |
| | | | | | | | | |
| | | | | | | | 1,280,581 | |
| | | | | | | | | |
See notes to financial statements.
35
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 3.7% |
| $ | 625,000 | | | America Movil SA de CV (Mexico),
6.38%, 03/01/35 | | $ | 592,677 | |
| | 10,025,000 | | | AT&T, Inc.,
6.50%, 09/01/37 | | | 9,943,275 | |
| | 810,000 | | | Cincinnati Bell, Inc.,
7.25%, 07/15/13 | | | 741,150 | |
| | 800,000 | | | Citizens Communications Company,
6.25%, 01/15/13 | | | 736,000 | |
| | 2,350,000 | | | New England Telephone & Telegraph,
7.88%, 11/15/29 | | | 2,412,855 | |
| | 970,000 | | | New Jersey Bell Telephone,
7.85%, 11/15/29 | | | 1,008,842 | |
| | 1,375,000 | | | Qwest Communications International, Inc.,
7.50%, 02/15/14 | | | 1,254,688 | |
| | 375,000 | | | Qwest Communications International, Inc., Series B,
7.50%, 02/15/14 | | | 342,188 | |
| | 675,000 | | | Qwest Corp., Floating Rate,
3.88%, 06/15/13(2) | | | 603,281 | |
| | 890,000 | | | Rogers Wireless, Inc. (Canada),
7.50%, 03/15/15 | | | 968,138 | |
| | 1,725,000 | | | Telecom Italia Capital (Luxembourg),
5.25%, 10/01/15 | | | 1,665,206 | |
| | 4,850,000 | | | Telefonica Emisiones SAU (Spain),
4.95%, 01/15/15 | | | 4,929,802 | |
| | 75,000 | | | Telefonica Emisiones SAU (Spain),
6.42%, 06/20/16 | | | 80,191 | |
| | 850,000 | | | Telefonica Europe BV (the Netherlands),
7.75%, 09/15/10 | | | 896,645 | |
| | 6,700,000 | | | Verizon Communications, Inc., 8.75%, 11/01/18 | | | 7,936,009 | |
| | 215,000 | | | Verizon Maryland, Inc., Series B,
5.13%, 06/15/33 | | | 159,290 | |
| | 14,580,000 | | | Verizon Wireless Capital — 144A,
3.75%, 05/20/11 | | | 14,878,495 | |
| | 1,470,000 | | | Vodafone Group PLC (United Kingdom),
5.00%, 12/16/13 | | | 1,524,552 | |
| | 500,000 | | | Vodafone Group PLC (United Kingdom),
5.00%, 09/15/15 | | | 502,051 | |
| | 1,375,000 | | | Windstream Corp.,
8.13%, 08/01/13 | | | 1,330,313 | |
| | 1,220,000 | | | Windstream Corp.,
8.63%, 08/01/16 | | | 1,168,150 | |
| | | | | | | | | |
| | | | | | | | 53,673,798 | |
| | | | | | | | | |
| | | | | Transportation — 0.4% |
| | 3,350,000 | | | United Parcel Service, Inc.,
3.88%, 04/01/14 | | | 3,454,453 | |
| | 2,495,000 | | | United Parcel Service, Inc.,
6.20%, 01/15/38 | | | 2,729,652 | |
| | | | | | | | | |
| | | | | | | | 6,184,105 | |
| | | | | | | | | |
| | | | | Utilities — 0.6% |
| | 315,248 | | | AES Ironwood LLC,
8.86%, 11/30/25 | | | 272,690 | |
| | 235,000 | | | AES Red Oak LLC,
Series B, 9.20%, 11/30/29 | | | 198,575 | |
| | 2,735,000 | | | Centerpoint Energy, Inc., Series B, 7.25%, 09/01/10 | | | 2,779,194 | |
| | 250,682 | | | Elwood Energy LLC,
8.16%, 07/05/26 | | | 208,394 | |
| | 1,000,000 | | | Florida Power & Light Company,
5.63%, 04/01/34 | | | 1,021,742 | |
| | 1,700,000 | | | Florida Power Corp.,
6.40%, 06/15/38 | | | 1,890,259 | |
| | 81,813 | | | Homer City Funding LLC, 8.73%, 10/01/26 | | | 72,813 | |
| | 560,000 | | | NRG Energy, Inc.,
7.38%, 02/01/16 | | | 529,900 | |
| | 2,487,000 | | | Texas Company Electric Holdings LLC, Series B, 10.25%, 11/01/15 | | | 1,548,158 | |
| | | | | | | | | |
| | | | | | | | 8,521,725 | |
| | | | | | | | | |
| | | | | Total Corporate Bonds and Notes (Cost $831,889,468) | | | 778,956,346 | |
| | | | | | | | | |
| | | | | Preferred Corporate Bonds and Notes — 2.5% |
| | | | | Banks and Financial Services — 1.5% |
| | 2,245,000 | | | Barclays Bank PLC — 144A (United Kingdom),
Variable Rate,
7.43%, perpetual(1) | | | 1,504,150 | |
| | 6,885,000 | | | Credit Suisse (Switzerland), Variable Rate,
5.86%, perpetual(1) | | | 4,475,250 | |
| | 5,375,000 | | | General Electric Capital Corp., Variable Rate,
6.38%, 11/15/67(1) | | | 3,586,313 | |
| | 5,655,000 | | | JPMorgan Chase & Company, Series 1, Variable Rate,
7.90%, perpetual(1) | | | 4,948,691 | |
| | 5,795,000 | | | JPMorgan Chase Capital XXV, 6.80%, 10/01/37 | | | 4,983,705 | |
See notes to financial statements.
36
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
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 | |
| | 2,895,000 | | | ZFS Finance USA Trust V — 144A, Variable Rate,
6.50%, 05/09/37(1) | | | 2,084,400 | |
| | | | | | | | | |
| | | | | | | | 21,582,611 | |
| | | | | | | | | |
| | | | | Insurance — 1.0% |
| | 3,800,000 | | | Chubb Corp., Variable Rate, 6.38%, 03/29/67(1) | | | 3,040,000 | |
| | 2,350,000 | | | Lincoln National Corp.,
Variable Rate,
7.00%, 05/17/66(1) | | | 1,480,500 | |
| | 4,455,000 | | | MetLife, Inc.,
6.40%, 12/15/36 | | | 3,185,325 | |
| | 3,595,000 | | | Progressive Corp.,
Variable Rate,
6.70%, 06/15/37(1) | | | 2,534,856 | |
| | 2,150,000 | | | Reinsurance Group of America, Inc., Variable Rate,
6.75%, 12/15/65(1) | | | 1,215,460 | |
| | 4,125,000 | | | Travelers Companies, Inc. (The),
Variable Rate,
6.25%, 03/15/67(1) | | | 3,324,601 | |
| | | | | | | | | |
| | | | | | | | 14,780,742 | |
| | | | | | | | | |
| | | | | Total Preferred Corporate Bonds and Notes
(Cost $50,381,222) | | | 36,363,353 | |
| | | | | | | | | |
| | | | | Municipal Bonds — 1.1% |
| | | | | California — 0.7 % |
| | 11,550,000 | | | California, General Obligation Bond,
5.45%, 04/01/15 | | | 11,287,815 | |
| | | | | | | | | |
| | | | | New York — 0.4% |
| | 3,135,000 | | | Metropolitan Transportation Authority Dedicated Tax Funding Build America Bonds, Revenue Bonds,
7.34%, 11/15/39 | | | 3,694,942 | |
| | 1,825,000 | | | Port Authority of New York and New Jersey, Revenue Bonds, 6.04%, 12/01/29 | | | 1,889,295 | |
| | | | | | | | | |
| | | | | | | | 5,584,237 | |
| | | | | | | | | |
| | | | | Total Municipal Bonds
(Cost $16,579,560) | | | 16,872,052 | |
| | | | | | | | | |
| | | | | Foreign Government Obligations — 1.7% |
| | 9,700,000 | | | AID-Israel (Israel),
5.50%, 09/18/23 | | | 10,370,822 | |
| | 1,155,000 | | | Bundesrepublik Deutschland, Series 05 (Germany),
4.00%, 01/04/37(10) | | | 1,558,558 | |
| | 2,975,000 | | | Bundesrepublik Deutschland, Series 07 (Germany),
4.25%, 07/04/39(10) | | | 4,215,295 | |
| | 4,175,000 | | | Japan Finance Corp. (Japan), 2.00%, 06/24/11 | | | 4,215,267 | |
| | 2,645,000 | | | United Kingdom Treasury Bond (United Kingdom),
4.25%, 12/07/49(4) | | | 4,248,421 | |
| | | | | | | | | |
| | | | | Total Foreign Government Obligations
(Cost $23,693,571) | | | 24,608,363 | |
| | | | | | | | | |
Contracts | | | | |
| |
| | | | | Purchased Call Options — 0.1% |
| | 39,500,000 | | | Expiring 04/08/10. If exercised the Series receives 3.40%, and pays floating 3 month LIBOR, expiring 04/12/20, European Style | | | 799,560 | |
| | 41,500,000 | | | Expiring 11/09/09. If exercised the Series receives 2.75%, and pays floating 3 month LIBOR, expiring 11/12/19, European Style | | | 174,881 | |
| | 34,100,000 | | | Expiring 11/16/09. If exercised the Series receives 2.37%, and pays floating 3 month LIBOR, expiring 11/18/19, European Style | | | 45,387 | |
| | 78,800,000 | | | Expiring 11/30/09. If exercised the Series receives 2.75%, and pays floating 3 month LIBOR, expiring 12/02/16, European Style | | | 479,340 | |
| | 60,000,000 | | | Expiring 12/17/09. If exercised the Series receives 2.75%, and pays floating 3 month LIBOR, expiring 12/21/16, European Style | | | 369,780 | |
| | | | | | | | | |
| | | | | Total Purchased Call Options
(Cost $3,052,060) | | | 1,868,948 | |
| | | | | | | | | |
| | | | | Purchased Put Options — 0.2% |
| | 39,500,000 | | | Expiring 04/08/10. If exercised the Series receives floating 3 month LIBOR, and pays 3.40%, expiring 04/12/20, European Style (Cost $1,598,170) | | | 3,061,606 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $1,831,294,844) | | | 1,776,954,261 | |
| | | | | | | | | |
See notes to financial statements.
37
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Repurchase Agreements — 6.7% |
| $ | 99,090,576 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $99,090,603 (Collateralized by various US Treasury Bills, 0.28% — 0.31%, due 11/27/09 – 12/10/09, with a total value of $101,075,889) (Cost $99,090,576) | | $ | 99,090,576 | |
| | | | | | | | | |
| | | | | Total Investments before Call and Put Options Written and Securities Sold Short — 127.2%
(Cost $1,930,385,420) | | | 1,876,044,837 | |
| | | | | | | | | |
| | | | | | | | | |
Contracts | | | | |
| |
| | | | | Call Options Written — (1.1)% |
| | (35,000,000 | ) | | Expiring 04/01/10. If exercised the Series receives floating 3 month LIBOR, and pays 3.14%, expiring 04/07/20, European Style | | | (462,245 | ) |
| | (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 | | | (3,112,650 | ) |
| | (100,000,000 | ) | | Expiring 05/28/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.14%, expiring 06/02/20, European Style | | | (4,755,500 | ) |
| | (49,300,000 | ) | | Expiring 06/01/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.35%, expiring 06/03/20, European Style | | | (2,858,513 | ) |
| | (25,000,000 | ) | | Expiring 06/03/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.31%, expiring 06/07/20, European Style | | | (1,394,475 | ) |
| | (35,000,000 | ) | | Expiring 06/03/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.35%, expiring 06/07/20, European Style | | | (2,021,145 | ) |
| | (25,200,000 | ) | | Expiring 06/11/10. If exercised the Series receives floating 3 month LIBOR, and pays 4.80%, expiring 06/15/20, European Style | | | (2,055,791 | ) |
| | | | | | | | | |
| | | | | Total Call Options Written
(Premium $14,727,245) | | | (16,660,319 | ) |
| | | | | | | | | |
| | | | | Put Options Written — (0.9)% |
| | (35,000,000 | ) | | Expiring 04/01/10. If exercised the Series receives 3.14%, and pays floating 3 month LIBOR, expiring 04/07/20, European Style | | | (3,199,000 | ) |
| | (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 | | | (1,000,752 | ) |
| | (100,000,000 | ) | | Expiring 05/28/10. If exercised the Series receives 4.14%, and pays floating 3 month LIBOR, expiring 06/02/20, European Style | | | (5,036,500 | ) |
| | (49,300,000 | ) | | Expiring 06/01/10. If exercised the Series receives 4.35%, and pays floating 3 month LIBOR, expiring 06/03/20, European Style | | | (2,148,494 | ) |
| | (25,000,000 | ) | | Expiring 06/03/10. If exercised the Series receives 4.31%, and pays floating 3 month LIBOR, expiring 06/07/20, European Style | | | (11,241 | ) |
| | (35,000,000 | ) | | Expiring 06/03/10. If exercised the Series receives 4.35%, and pays floating 3 month LIBOR, expiring 06/07/20, European Style | | | (1,529,990 | ) |
| | (25,200,000 | ) | | Expiring 06/11/10. If exercised the Series receives 4.80%, and pays floating 3 month LIBOR, expiring 06/15/20, European Style | | | (809,021 | ) |
| | (126 | ) | | US Treasury Bonds (30 year) September Future, expiring August 2009 @ 110 | | | (61,031 | ) |
| | | | | | | | | |
| | | | | Total Put Options Written (Premium $14,955,005) | | | (13,796,029 | ) |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Securities Sold Short — (18.2)% |
| $ | (2,700,000 | ) | | Fannie Mae, TBA,
4.50%, 07/01/24 | | | (2,757,375 | ) |
| | (18,500,000 | ) | | Fannie Mae, TBA,
5.00%, 07/01/24 | | | (19,141,728 | ) |
| | (21,600,000 | ) | | Fannie Mae, TBA,
5.50%, 07/01/24 | | | (22,599,000 | ) |
| | (10,200,000 | ) | | Fannie Mae, TBA,
4.50%, 07/01/39 | | | (10,177,682 | ) |
| | (79,400,000 | ) | | Fannie Mae, TBA,
6.00%, 07/01/39 | | | (82,973,000 | ) |
| | (30,700,000 | ) | | Fannie Mae, TBA,
6.00%, 08/01/39 | | | (31,975,953 | ) |
| | (10,800,000 | ) | | Freddie Mac Gold, TBA,
5.00%, 07/01/24 | | | (11,164,500 | ) |
| | (1,900,000 | ) | | Freddie Mac Gold, TBA,
6.00%, 07/01/24 | | | (2,006,875 | ) |
See notes to financial statements.
38
CORE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Securities Sold Short (continued) |
| | | | | | | | | |
| $ | (1,900,000 | ) | | Freddie Mac Gold, TBA,
6.00%, 08/01/24 | | $ | (2,002,718 | ) |
| | (21,000,000 | ) | | Freddie Mac Gold, TBA,
5.00%, 07/01/39 | | | (21,354,375 | ) |
| | (4,200,000 | ) | | Freddie Mac Gold, TBA,
5.50%, 07/01/39 | | | (4,335,190 | ) |
| | (2,200,000 | ) | | Freddie Mac Gold, TBA,
6.00%, 07/01/39 | | | (2,295,564 | ) |
| | (600,000 | ) | | Freddie Mac Gold, TBA,
6.50%, 07/01/39 | | | (637,687 | ) |
| | (53,100,000 | ) | | Government National Mortgage Association, TBA,
5.50%, 07/01/39 | | | (54,543,789 | ) |
| | | | | | | | | |
| | | | | Total Securities Sold Short (Proceeds $267,456,508) | | | (267,965,436 | ) |
| | | | | | | | | |
| | | | | Total Investments net of Call and Put Options Written and Securities Sold Short — 107.0% | | | | |
| | | | | (Cost $1,633,246,662) | | | 1,577,623,053 | |
| | | | | Liabilities less other assets — (7.0)% | | | (103,816,617 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 1,473,806,436 | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $1,930,385,420.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 27,525,575 | |
| Gross unrealized depreciation | | | (81,866,158 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (54,340,583 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
39
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Treasury Securities — 3.8% |
| | | | | US Treasury Bonds — 0.1% |
| $ | 252,000 | | | 3.50%, 02/15/39 | | $ | 217,902 | |
| | | | | | | | | |
| | | | | US Treasury Inflation Index — 2.9% |
| | 203,611 | | | 2.38%, 01/15/25 | | | 209,273 | |
| | 85,943 | | | 2.00%, 01/15/26 | | | 84,144 | |
| | 1,776,281 | | | 2.38%, 01/15/27 | | | 1,839,005 | |
| | 3,409,563 | | | 1.75%, 01/15/28 | | | 3,217,776 | |
| | 1,956,446 | | | 2.50%, 01/15/29 | | | 2,078,724 | |
| | | | | | | | | |
| | | | | | | | 7,428,922 | |
| | | | | | | | | |
| | | | | US Treasury Notes — 0.8% |
| | 1,740,000 | | | 3.25%, 05/31/16 | | | 1,747,612 | |
| | 305,000 | | | 2.75%, 02/15/19 | | | 285,651 | |
| | 6,000 | | | 3.13%, 05/15/19 | | | 5,803 | |
| | | | | | | | | |
| | | | | | | | 2,039,066 | |
| | | | | | | | | |
| | | | | Total US Treasury Securities
(Cost $9,164,688) | | | 9,685,890 | |
| | | | | | | | | |
| | | | | US Government Agency Securities — 44.1% |
| | | | | Fannie Mae — 20.9% |
| | 940,000 | | | 5.25%, 08/01/12 | | | 976,754 | |
| | 1,075,346 | | | PL# 256219, 5.50%, 04/01/36 | | | 1,107,428 | |
| | 1,909,645 | | | PL# 256552, 5.50%, 01/01/37 | | | 1,975,270 | |
| | 2,501,208 | | | PL# 735580, 5.00%, 06/01/35 | | | 2,556,996 | |
| | 240,540 | | | PL# 735809, Variable Rate,
4.44%, 08/01/35(1) | | | 247,914 | |
| | 3,854,468 | | | PL# 745275, 5.00%, 02/01/36 | | | 3,938,032 | |
| | 1,723,418 | | | PL# 745959, 5.50%, 11/01/36 | | | 1,782,644 | |
| | 27,141 | | | PL# 759626, 6.00%, 02/01/34 | | | 28,530 | |
| | 40,308 | | | PL# 795774, 6.00%, 10/01/34 | | | 42,387 | |
| | 182,127 | | | PL# 796050, 6.00%, 08/01/34 | | | 191,522 | |
| | 1,095,304 | | | PL# 796278, 6.00%, 12/01/34 | | | 1,151,802 | |
| | 36,442 | | | PL# 801516, IO, Variable Rate,
4.41%, 08/01/34(1) | | | 37,353 | |
| | 434,476 | | | PL# 809169, 6.00%, 01/01/35 | | | 456,888 | |
| | 80,229 | | | PL# 810896, IO, Variable Rate,
4.83%, 01/01/35(1) | | | 81,995 | |
| | 17,143 | | | PL# 820426, 6.00%, 03/01/35 | | | 17,984 | |
| | 365,292 | | | PL# 852523, 5.50%, 02/01/36 | | | 377,845 | |
| | 949,284 | | | PL# 888022, 5.00%, 02/01/36 | | | 969,864 | |
| | 769,709 | | | PL# 888893, 5.50%, 08/01/37 | | | 797,483 | |
| | 86,052 | | | PL# 889745, 5.50%, 06/01/36 | | | 89,292 | |
| | 315,178 | | | PL# 893681, 6.00%, 10/01/36 | | | 330,155 | |
| | 602,045 | | | PL# 893923, 6.00%, 10/01/36 | | | 630,654 | |
| | 814,363 | | | PL# 894005, 6.00%, 10/01/36 | | | 853,061 | |
| | 1,054,516 | | | PL# 904000, 6.00%, 01/01/37 | | | 1,104,626 | |
| | 2,695,747 | | | PL# 916397, 6.50%, 05/01/37 | | | 2,874,815 | |
| | 1,310,680 | | | PL# 918653, 6.00%, 06/01/37 | | | 1,371,734 | |
| | 100,717 | | | PL# 929774, 5.50%, 07/01/38 | | | 104,109 | |
| | 350,618 | | | PL# 934327, 6.00%, 07/01/38 | | | 366,876 | |
| | 80,036 | | | PL# 950385, IO, Variable Rate,
5.85%, 08/01/37(1) | | | 84,624 | |
| | 4,370,438 | | | PL# 950694, 6.00%, 10/01/37 | | | 4,574,022 | |
| | 736,351 | | | PL# 975639, 5.00%, 07/01/38 | | | 750,893 | |
| | 2,628,976 | | | PL# 981034, 5.00%, 04/01/38 | | | 2,680,895 | |
| | 657,017 | | | PL# 983897, 5.50%, 06/01/38 | | | 679,148 | |
| | 295,889 | | | PL# 985143, 5.00%, 09/01/38 | | | 301,732 | |
| | 4,136,721 | | | PL# 985730, 5.50%, 06/01/38 | | | 4,276,062 | |
| | 943,930 | | | PL# 987420, 5.00%, 07/01/38 | | | 962,571 | |
| | 1,100,000 | | | TBA, 5.50%, 07/01/24 | | | 1,150,875 | |
| | 4,800,000 | | | TBA, 6.00%, 07/01/24 | | | 5,080,501 | |
| | 8,700,000 | | | TBA, 5.00%, 07/01/39 | | | 8,857,687 | |
| | | | | | | | | |
| | | | | | | | 53,863,023 | |
| | | | | | | | | |
| | | | | Federal Agricultural Mortgage Corp. — 0.4% |
| | 900,000 | | | 144A, 5.13%, 04/19/17(5) | | | 953,397 | |
| | | | | | | | | |
| | | | | Federal Home Loan Bank — 4.2% |
| | 10,400,000 | | | Zero coupon, 01/06/10 | | | 10,381,987 | |
| | 490,000 | | | 5.50%, 07/15/36 | | | 499,694 | |
| | | | | | | | | |
| | | | | | | | 10,881,681 | |
| | | | | | | | | |
| | | | | Freddie Mac — 2.9% |
| | 77,731 | | | PL# 1B2694, Variable Rate,
4.38%, 12/01/34(1)(5) | | | 80,122 | |
| | 718,534 | | | PL# 1G2201, HB, Variable Rate,
6.09%, 09/01/37(1) | | | 753,475 | |
| | 3,261,443 | | | PL# 1G2403, HB, Variable Rate,
5.56%, 01/01/38(1) | | | 3,414,547 | |
| | 280,831 | | | PL# 1N1447, HB, Variable Rate,
5.75%, 02/01/37(1) | | | 295,333 | |
| | 1,549,323 | | | PL# 1N1454, HB, Variable Rate,
5.90%, 04/01/37(1) | | | 1,633,685 | |
| | 543,474 | | | PL# 1N1463, HB, Variable Rate,
5.87%, 05/01/37(1) | | | 570,919 | |
| | 741,215 | | | PL# 1N1582, HB, Variable Rate,
5.92%, 05/01/37(1) | | | 780,879 | |
| | | | | | | | | |
| | | | | | | | 7,528,960 | |
| | | | | | | | | |
| | | | | Freddie Mac Gold — 10.9% |
| | 735,185 | | | PL# A39644, 5.50%, 11/01/35 | | | 761,483 | |
| | 696,307 | | | PL# A39756, 5.00%, 11/01/35 | | | 710,968 | |
| | 7,880,137 | | | PL# G02427, 5.50%, 12/01/36(5) | | | 8,149,709 | |
| | 814,918 | | | PL# G03092, 5.50%, 07/01/37(5) | | | 842,413 | |
| | 3,692,271 | | | PL# G03695, 5.50%, 11/01/37 | | | 3,818,580 | |
| | 6,846,979 | | | PL# G03696, 5.50%, 01/01/38 | | | 7,077,997 | |
| | 4,803,907 | | | PL# G04222, 5.50%, 04/01/38 | | | 4,965,992 | |
| | 1,500,000 | | | TBA, 5.00%, 07/01/24 | | | 1,550,625 | |
| | | | | | | | | |
| | | | | | | | 27,877,767 | |
| | | | | | | | | |
See notes to financial statements.
40
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | US Government Agency Securities (continued) |
| | | | | | | | | |
| | | | | Government National Mortgage Association — 4.6% |
| $ | 492,154 | | | PL# 605617, 5.00%, 07/15/34 | | $ | 504,535 | |
| | 1,138,861 | | | PL# 612902, 5.00%, 07/15/33 | | | 1,168,578 | |
| | 532,344 | | | PL# 636084, 5.00%, 01/15/35 | | | 545,237 | |
| | 1,431,588 | | | PL# 644631, 5.00%, 09/15/35 | | | 1,466,259 | |
| | 4,500,000 | | | TBA, 5.00%, 07/01/39 | | | 4,581,287 | |
| | 3,400,000 | | | TBA, 5.50%, 07/01/39 | | | 3,500,980 | |
| | | | | | | | | |
| | | | | | | | 11,766,876 | |
| | | | | | | | | |
| | | | | Tennessee Valley Authority — 0.2% |
| | 440,000 | | | 5.98%, 04/01/36 | | | 468,007 | |
| | | | | | | | | |
| | | | | Total US Government Agency Securities |
| | | | | (Cost $109,810,140) | | | 113,339,711 | |
| | | | | | | | | |
| | | | | Corporate Bonds and Notes — 56.8% |
| | | | | Advertising — 0.0% |
| | 20,000 | | | Lamar Media Corp.,
Series B,
6.63%, 08/15/15 | | | 16,900 | |
| | | | | | | | | |
| | | | | Airlines — 0.2% |
| | 300,000 | | | Continental Airlines, Inc.,
Series 2007-1A,
5.98%, 04/19/22(5) | | | 247,500 | |
| | 62,115 | | | Delta Air Lines, Inc.,
Series 2001-1, Class A-1,
6.62%, 03/18/11(5) | | | 59,009 | |
| | 363,024 | | | Delta Air Lines, Inc.,
Series 2007-1, Class A,
6.82%, 08/10/22(5) | | | 301,310 | |
| | | | | | | | | |
| | | | | | | | 607,819 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 0.0% |
| | 200,000 | | | Neiman Marcus Group, Inc.,
7.13%, 06/01/28 | | | 121,000 | |
| | | | | | | | | |
| | | | | Automobile: Rental — 0.0% |
| | 75,000 | | | Hertz Corp.,
8.88%, 01/01/14 | | | 69,000 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.3% |
| | 600,000 | | | Daimler Chrysler NA Holding,
5.88%, 03/15/11(5) | | | 609,974 | |
| | 840,000 | | | General Motors Corp.,
8.25%, 07/15/23(9) | | | 102,900 | |
| | 150,000 | | | General Motors Corp.,
8.38%, 07/15/33(9) | | | 19,125 | |
| | | | | | | | | |
| | | | | | | | 731,999 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 11.7% |
| | 100,000 | | | AGFC Capital Trust I — 144A, Variable Rate,
6.00%, 01/15/67(1) | | | 21,000 | |
| | 420,000 | | | Aiful Corp. — 144A (Japan),
5.00%, 08/10/10(5) | | | 256,200 | |
| | 560,000 | | | American Express Company,
8.13%, 05/20/19(5) | | | 581,128 | |
| | 420,000 | | | American Express Company, Variable Rate,
6.80%, 09/01/66(l)(5) | | | 302,400 | |
| | 220,000 | | | American Express Credit Company, Series MTNC,
5.88%, 05/02/13(5) | | | 218,453 | |
| | 220,000 | | | American General Finance Corp. Series MTNJ,
6.90%, 12/15/17(5) | | | 119,126 | |
| | 30,000 | | | BAC Capital Trust XIV,
Variable Rate,
5.63%, perpetual(1) | | | 15,000 | |
| | 100,000 | | | Bank of Scotland PLC — 144A (United Kingdom),
5.25%, 02/21/17 | | | 82,750 | |
| | 800,000 | | | Bear Stearns Companies, Inc. (The),
7.25%, 02/01/18(5) | | | 843,191 | |
| | 860,000 | | | Caterpillar Financial Service Corp., Series MTNF,
6.20%, 09/30/13(5) | | | 910,531 | |
| | 1,160,000 | | | Citigroup, Inc.,
6.50%, 08/19/13(5) | | | 1,126,798 | |
| | 1,260,000 | | | Citigroup, Inc.,
5.00%, 09/15/14(5) | | | 1,056,281 | |
| | 1,030,000 | | | Citigroup, Inc.,
6.88%, 03/05/38(5) | | | 909,661 | |
| | 2,440,000 | | | Countrywide Financial Corp., Series MTNA,
4.50%, 06/15/10 | | | 2,415,633 | |
| | 720,000 | | | Ford Motor Credit Company LLC,
7.38%, 10/28/09 | | | 713,828 | |
| | 1,110,000 | | | Ford Motor Credit Company LLC,
12.00%, 05/15/15 | | | 1,038,024 | |
| | 2,130,000 | | | General Electric Capital Corp., Series MTNA,
6.88%, 01/10/39 | | | 1,917,241 | |
| | 290,000 | | | Glitnir Banki HF — 144A (Iceland),
6.33%, 07/28/11(8)(9) | | | 47,125 | |
| | 800,000 | | | Glitnir Banki HF — 144A (Iceland), Variable Rate,
6.69%, 06/15/16(1)(8)(9) | | | 80 | |
| | 1,184,000 | | | GMAC LLC — 144A,
6.63%, 05/15/12 | | | 988,640 | |
| | 295,000 | | | GMAC LLC — 144A,
7.50%, 12/31/13 | | | 228,625 | |
| | 256,000 | | | GMAC LLC — 144A,
8.00%, 12/31/18 | | | 162,560 | |
| | 362,000 | | | GMAC LLC — 144A,
8.00%, 11/01/31 | | | 253,400 | |
| | 40,000 | | | Goldman Sachs Capital II,
Variable Rate,
5.79%, perpetual(1) | | | 24,378 | |
| | 380,000 | | | Goldman Sachs Group, Inc. (The),
4.50%, 06/15/10 | | | 389,390 | |
See notes to financial statements.
41
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Banks and Financial Services (continued) |
| | | | | | | | | |
| $ | 140,000 | | | Goldman Sachs Group, Inc. (The),
5.45%, 11/01/12 | | $ | 144,759 | |
| | 490,000 | | | Goldman Sachs Group, Inc. (The),
7.50%, 02/15/19 | | | 524,678 | |
| | 960,000 | | | HSBC Finance Corp.,
4.63%, 09/15/10 | | | 967,813 | |
| | 170,000 | | | ICICI Bank, Ltd. — 144A (India), Variable Rate,
6.38%, 04/30/22(1) | | | 132,576 | |
| | 920,000 | | | ICICI Bank, Ltd. — REG S (India), Variable Rate,
6.38%, 04/30/22(1) | | | 718,590 | |
| | 920,000 | | | JPMorgan Chase & Company,
5.13%, 09/15/14 | | | 915,546 | |
| | 1,100,000 | | | JPMorgan Chase & Company,
5.15%, 10/01/15 | | | 1,084,292 | |
| | 950,000 | | | JPMorgan Chase & Company,
6.13%, 06/27/17 | | | 938,637 | |
| | 80,000 | | | JPMorgan Chase & Company, Series 2,
2.13%, 06/22/12 | | | 80,297 | |
| | 200,000 | | | Kaupthing Bank hf — 144A (Iceland),
7.13%, 05/19/16(8)(9) | | | 20 | |
| | 2,400,000 | | | Kaupthing Bank hf — 144A, Series 1 (Iceland),
7.63%, 02/28/15(8)(9)(14) | | | 186,000 | |
| | 320,000 | | | Landisbanki Islands hf — 144A (Iceland),
6.10%, 08/25/11(8)(9) | | | 9,600 | |
| | 410,000 | | | Lehman Brothers E — Capital Trust I, Floating Rate,
3.59%, 08/19/65(2)(9) | | | 41 | |
| | 480,000 | | | Lehman Brothers Holdings, Inc., Series MTN,
5.25%, 02/06/12(9) | | | 70,800 | |
| | 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 | | | 1,314,290 | |
| | 350,000 | | | Mitsubishi UFJ Financial Group Capital Financial I, Ltd. (Cayman Islands), Variable Rate,
6.35%, perpetual(l) | | | 306,394 | |
| | 610,000 | | | Morgan Stanley, Series MTN,
5.63%, 01/09/12 | | | 624,278 | |
| | 200,000 | | | Morgan Stanley, Series MTNF, Floating Rate,
1.56%, 10/18/16(2) | | | 161,763 | |
| | 490,000 | | | Resona Preferred Global Securities — 144A (Cayman Islands), Variable Rate,
7.19%, perpetual(l) | | | 357,700 | |
| | 780,000 | | | RSHB Capital — 144A (Luxembourg),
6.30%, 05/15/17 | | | 670,800 | |
| | 220,000 | | | Santander Issuances — 144A (Spain), Variable Rate,
5.81%, 06/20/16(1) | | | 176,964 | |
| | 120,000 | | | SLM Corp., Series MTN,
5.05%, 11/14/14 | | | 92,844 | |
| | 675,000 | | | SLM Corp., Series MTNA,
5.00%, 10/01/13 | | | 545,978 | |
| | 1,005,000 | | | SLM Corp., Series MTNA,
5.38%, 05/15/14 | | | 807,729 | |
| | 40,000 | | | SLM Corp., Series MTNA,
5.00%, 04/15/15 | | | 30,470 | |
| | 105,000 | | | SLM Corp., Series MTNA,
5.63%, 08/01/33 | | | 64,646 | |
| | 270,000 | | | TNK-BP Finance SA — 144A (Luxembourg),
7.50%, 07/18/16 | | | 230,175 | |
| | 100,000 | | | TNK-BP Finance SA — 144A, (Luxembourg),
6.63%, 03/20/17 | | | 79,000 | |
| | 108,000 | | | TNK-BP Finance SA, REG S, Series 2 (Luxembourg),
7.50%, 07/18/16 | | | 93,960 | |
| | 510,000 | | | TNK-BP Finance SA, Series 6 — 144A, (Luxembourg),
7.88%, 03/13/18 | | | 420,750 | |
| | 1,300,000 | | | UBS AG Stamford Branch, Series MTN (Switzerland),
5.75%, 04/25/18 | | | 1,183,957 | |
| | 1,150,000 | | | Wachovia Corp.,
5.25%, 08/01/14 | | | 1,125,358 | |
| | 940,000 | | | Wachovia Corp., Series MTNG,
5.50%, 05/01/13 | | | 971,024 | |
| | 340,000 | | | Wells Fargo Capital X,
5.95%, 12/15/36 | | | 251,600 | |
| | | | | | | | | |
| | | | | | | | 29,904,869 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 1.7% |
| | 130,000 | | | CCH I, LLC/CCH I Capital Corp.,
11.00%, 10/01/15(8)(9) | | | 15,600 | |
| | 320,000 | | | Comcast Cable Communications,
8.88%, 05/01/17(5) | | | 376,248 | |
| | 730,000 | | | Comcast Corp.,
6.50%, 01/15/15(5) | | | 774,299 | |
| | 50,000 | | | Comcast Corp.,
6.50%, 01/15/17(5) | | | 53,043 | |
| | 210,000 | | | Comcast Corp.,
5.88%, 02/15/18(5) | | | 212,872 | |
| | 235,000 | | | CSC Holdings, Inc., Series B,
7.63%, 04/01/11 | | | 232,650 | |
| | 110,000 | | | DIRECTV Holdings LLC/DIRECTV Financing Company, Inc.,
8.38%, 03/15/13 | | | 110,275 | |
| | 115,000 | | | Dish DBS Corp.,
7.00%, 10/01/13 | | | 109,250 | |
| | 145,000 | | | Dish DBS Corp.,
7.75%, 05/31/15 | | | 138,113 | |
See notes to financial statements.
42
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Broadcast Services/Media (continued) |
| | | | | | | | | |
| $ | 20,000 | | | News America, Inc.,
6.20%, 12/15/34 | | $ | 17,074 | |
| | 40,000 | | | News America, Inc.,
6.65%, 11/15/37 | | | 35,981 | |
| | 60,000 | | | Rogers Cable, Inc. (Canada),
6.75%, 03/15/15 | | | 63,553 | |
| | 450,000 | | | Time Warner Cable, Inc.,
5.85%, 05/01/17 | | | 449,370 | |
| | 160,000 | | | Time Warner Cable, Inc.,
8.75%, 02/14/19 | | | 186,391 | |
| | 560,000 | | | Time Warner Cable, Inc.,
8.25%, 04/01/19 | | | 635,386 | |
| | 240,000 | | | Time Warner Cable, Inc.,
6.75%, 06/15/39 | | | 233,590 | |
| | 180,000 | | | Time Warner Entertainment,
8.38%, 07/15/33 | | | 201,479 | |
| | 510,000 | | | Time Warner, Inc.,
6.88%, 05/01/12(5) | | | 545,570 | |
| | | | | | | | | |
| | | | | | | | 4,390,744 | |
| | | | | | | | | |
| | | | | Chemicals — 0.5% |
| | 1,020,000 | | | Dow Chemical Company,
5.70%, 05/15/18(5) | | | 901,398 | |
| | 400,000 | | | PPG Industries, Inc.,
6.65%, 03/15/18 | | | 425,256 | |
| | 44,000 | | | Westlake Chemical Corp.,
6.63%, 01/15/16 | | | 38,500 | |
| | | | | | | | | |
| | | | | | | | 1,365,154 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 0.1% |
| | 240,000 | | | Sungard Data Systems, Inc.,
10.25%, 08/15/15 | | | 221,700 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 0.1% |
| | 110,000 | | | Reynolds American, Inc.,
7.63%, 06/01/16 | | | 110,330 | |
| | 190,000 | | | Reynolds American, Inc.,
6.75%, 06/15/17 | | | 177,403 | |
| | | | | | | | | |
| | | | | | | | 287,733 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.1% |
| | 10,000 | | | AMC Entertainment, Inc. — 144A,
8.75%, 06/01/19 | | | 9,400 | |
| | 15,000 | | | Boyd Gaming Corp.,
6.75%, 04/15/14 | | | 12,150 | |
| | 40,000 | | | Boyd Gaming Corp.,
7.13%, 02/01/16 | | | 29,650 | |
| | 60,000 | | | Inn of The Mountain Gods,
12.00%, 11/15/10(9) | | | 24,000 | |
| | 135,000 | | | MGM MIRAGE, Inc.,
7.63%, 01/15/17 | | | 87,412 | |
| | 25,000 | | | MGM MIRAGE, Inc. — 144A,
10.38%, 05/15/14 | | | 25,938 | |
| | 60,000 | | | MGM MIRAGE, Inc. — 144A,
11.13%, 11/15/17 | | | 63,600 | |
| | 30,000 | | | River Rock Entertainment Authority,
9.75%, 11/01/11 | | | 22,500 | |
| | 140,000 | | | Station Casinos, Inc.,
7.75%, 08/15/16(8)(9) | | | 48,300 | |
| | | | | | | | | |
| | | | | | | | 322,950 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services — 0.2% |
| | 600,000 | | | Waste Management, Inc.,
6.38%, 11/15/12 | | | 637,131 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 0.5% |
| | 3,330,000 | | | International Lease Finance Corp. E-Capital Trust I — 144A, Variable Rate,
5.90%, 12/21/65(1) | | | 1,232,100 | |
| | 440,000 | | | International Lease Finance Corp. E-Capital Trust II — 144A, Variable Rate,
6.25%, 12/21/65(1) | | | 162,800 | |
| | | | | | | | | |
| | | | | | | | 1,394,900 | |
| | | | | | | | | |
| | | | | Food and Beverage — 0.9% |
| | 1,290,000 | | | Diageo Capital PLC (United Kingdom),
7.38%, 01/15/14(5) | | | 1,459,577 | |
| | 600,000 | | | Pepsico, Inc.,
7.90%, 11/01/18 | | | 729,962 | |
| | | | | | | | | |
| | | | | | | | 2,189,539 | |
| | | | | | | | | |
| | | | | Funeral Services — 0.0% |
| | 50,000 | | | Service Corp. International,
7.63%, 10/01/18 | | | 46,375 | |
| | 55,000 | | | Service Corp. International,
7.50%, 04/01/27 | | | 43,175 | |
| | | | | | | | | |
| | | | | | | | 89,550 | |
| | | | | | | | | |
| | | | | Insurance — 0.8% |
| | 130,000 | | | American International Group, Inc., Series MTNG,
5.85%, 01/16/18(5) | | | 68,776 | |
| | 20,000 | | | ASIF Global Financing XIX — 144A,
4.90%, 01/17/13(5) | | | 17,015 | |
| | 825,000 | | | Chubb Corp.,
5.75%, 05/15/18(5) | | | 855,719 | |
| | 220,000 | | | Humana, Inc.,
7.20%, 06/15/18 | | | 198,251 | |
| | 600,000 | | | Merna Reinsurance, Ltd., Series B — 144A (Bermuda), Floating Rate,
2.35%, 07/07/10(2) | | | 558,840 | |
| | 360,000 | | | MetLife, Inc.,
6.75%, 06/01/16 | | | 366,500 | |
| | | | | | | | | |
| | | | | | | | 2,065,101 | |
| | | | | | | | | |
See notes to financial statements.
43
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Machinery — 0.0% |
| $ | 60,000 | | | Terex Corp.,
7.38%, 01/15/14 | | $ | 54,900 | |
| | | | | | | | | |
| | | | | Manufacturing — 0.2% | | | | |
| | 120,000 | | | Tyco International Group SA (Luxembourg),
6.38%, 10/15/11 | | | 126,448 | |
| | 440,000 | | | Tyco International Group SA (Luxembourg),
6.00%, 11/15/13 | | | 447,400 | |
| | | | | | | | | |
| | | | | | | | 573,848 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 0.9% |
| | 190,000 | | | Community Health Systems, Inc.,
8.88%, 07/15/15 | | | 186,200 | |
| | 230,000 | | | DaVita, Inc.,
6.63%, 03/15/13 | | | 216,775 | |
| | 3,000 | | | HCA, Inc.,
6.30%, 10/01/12 | | | 2,753 | |
| | 56,000 | | | HCA, Inc.,
6.25%, 02/15/13 | | | 49,000 | |
| | 110,000 | | | HCA, Inc.,
6.75%, 07/15/13 | | | 96,800 | |
| | 50,000 | | | HCA, Inc.,
9.13%, 11/15/14 | | | 49,500 | |
| | 100,000 | | | HCA, Inc.,
9.25%, 11/15/16 | | | 98,500 | |
| | 743,000 | | | HCA, Inc.,
9.63%, 11/15/16(12) | | | 735,570 | |
| | 350,000 | | | Roche Holdings, Inc. — 144A,
6.00%, 03/01/19 | | | 373,198 | |
| | 558,000 | | | Tenet Healthcare Corp. — 144A,
8.88%, 07/01/19 | | | 560,790 | |
| | 50,000 | | | WellPoint, Inc.,
5.88%, 06/15/17 | | | 48,935 | |
| | | | | | | | | |
| | | | | | | | 2,418,021 | |
| | | | | | | | | |
| | | | | Metals and Mining — 1.5% |
| | 730,000 | | | Alcoa, Inc.,
6.00%, 07/15/13(5) | | | 713,214 | |
| | 880,000 | | | Evraz Group SA — 144A (Luxembourg),
8.88%, 04/24/13 | | | 721,600 | |
| | 320,000 | | | Freeport-McMoRan Copper & Gold, Inc.,
8.38%, 04/01/17 | | | 322,400 | |
| | 870,000 | | | Rio Tinto Finance USA, Ltd. (Australia),
6.50%, 07/15/18 | | | 870,508 | |
| | 155,000 | | | Steel Dynamics, Inc.,
7.38%, 11/01/12 | | | 146,863 | |
| | 105,000 | | | Steel Dynamics, Inc.,
6.75%, 04/01/15 | | | 93,450 | |
| | 25,000 | | | Teck Resources, Ltd. — 144A (Canada),
9.75%, 05/15/14 | | | 25,875 | |
| | 20,000 | | | Teck Resources, Ltd. — 144A (Canada),
10.25%, 05/15/16 | | | 20,950 | |
| | 45,000 | | | Teck Resources, Ltd. — 144A (Canada),
10.75%, 05/15/19 | | | 48,375 | |
| | 484,000 | | | Vale Overseas, Ltd. (Cayman Islands),
6.88%, 11/21/36 | | | 459,560 | |
| | 520,000 | | | Vedanta Resources PLC — 144A (United Kingdom),
8.75%, 01/15/14 | | | 473,200 | |
| | | | | | | | | |
| | | | | | | | 3,895,995 | |
| | | | | | | | | |
| | | | | Office Equipment, Supplies, and Services — 0.0% |
| | 30,000 | | | Xerox Corp.,
6.75%, 02/01/17 | | | 27,300 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 7.5% |
| | 740,000 | | | Anadarko Finance Company, Series B (Canada),
7.50%, 05/01/31(5) | | | 722,069 | |
| | 1,250,000 | | | Anadarko Petroleum Corp.,
6.45%, 09/15/36(5) | | | 1,123,645 | |
| | 240,000 | | | Apache Corp.,
5.25%, 04/15/13(5) | | | 252,106 | |
| | 950,000 | | | Apache Corp.,
5.63%, 01/15/17(5) | | | 996,663 | |
| | 800,000 | | | Baker Hughes, Inc.,
7.50%, 11/15/18(5) | | | 936,848 | |
| | 60,000 | | | Chesapeake Energy Corp.,
6.38%, 06/15/15 | | | 53,400 | |
| | 140,000 | | | Chesapeake Energy Corp.,
6.25%, 01/15/18 | | | 116,200 | |
| | 135,000 | | | Chesapeake Energy Corp.,
7.25%, 12/15/18 | | | 117,450 | |
| | 195,000 | | | Complete Production Services, Inc.,
8.00%, 12/15/16 | | | 166,725 | |
| | 210,000 | | | Conoco, Inc.,
6.95%, 04/15/29(5) | | | 226,278 | |
| | 900,000 | | | ConocoPhillips,
6.50%, 02/01/39(5) | | | 957,990 | |
| | 305,000 | | | Dynegy Holdings, Inc.,
7.75%, 06/01/19 | | | 237,519 | |
| | 1,420,000 | | | El Paso Corp.,
7.00%, 06/15/17 | | | 1,293,271 | |
| | 19,000 | | | El Paso Corp., Series MTN,
7.80%, 08/01/31 | | | 15,498 | |
| | 92,000 | | | El Paso Corp., Series MTN,
7.75%, 01/15/32 | | | 74,890 | |
| | 110,000 | | | El Paso Natural Gas,
8.38%, 06/15/32(5) | | | 119,651 | |
| | 770,000 | | | Gaz Capital (Gazprom) — 144A (Luxembourg),
6.51%, 03/07/22 | | | 577,500 | |
| | 850,000 | | | Hess Corp.,
8.13%, 02/15/19 | | | 967,686 | |
See notes to financial statements.
44
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Oil, Coal and Gas (continued) |
| | | | | | | | | |
| $ | 80,000 | | | Hess Corp.,
7.88%, 10/01/29(5) | | $ | 86,772 | |
| | 440,000 | | | Hess Corp.,
7.30%, 08/15/31(5) | | | 454,187 | |
| | 460,000 | | | Intergas Finance BV — 144A (the Netherlands),
6.38%, 05/14/17 | | | 349,600 | |
| | 440,000 | | | KazMunaiGaz Finance Sub BV — 144A (the Netherlands),
8.38%, 07/02/13 | | | 405,900 | |
| | 200,000 | | | Kerr-McGee Corp.,
6.95%, 07/01/24 | | | 185,575 | |
| | 295,000 | | | Kerr-McGee Corp.,
7.88%, 09/15/31 | | | 287,862 | |
| | 310,000 | | | Key Energy Services, Inc.,
8.38%, 12/01/14 | | | 273,575 | |
| | 470,000 | | | Kinder Morgan Energy Partners LP,
6.75%, 03/15/11 | | | 492,597 | |
| | 130,000 | | | Kinder Morgan Energy Partners LP,
5.85%, 09/15/12 | | | 135,528 | |
| | 260,000 | | | Kinder Morgan Energy Partners LP,
6.00%, 02/01/17 | | | 257,937 | |
| | 1,030,000 | | | Kinder Morgan Energy Partners LP, Series MTN,
6.95%, 01/15/38 | | | 997,752 | |
| | 1,060,000 | | | Occidental Petroleum Corp.,
7.00%, 11/01/13 | | | 1,213,568 | |
| | 160,000 | | | OPTI Canada, Inc. (Canada),
7.88%, 12/15/14 | | | 103,600 | |
| | 120,000 | | | OPTI Canada, Inc. (Canada),
8.25%, 12/15/14 | | | 79,200 | |
| | 45,000 | | | Peabody Energy Corp.,
Series B,
6.88%, 03/15/13 | | | 44,550 | |
| | 1,170,000 | | | Pemex Project Funding Master Trust,
6.63%, 06/15/35 | | | 1,058,185 | |
| | 411,000 | | | Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16 | | | 421,275 | |
| | 215,000 | | | Sandridge Energy, Inc — 144A,
9.88%, 05/15/16 | | | 207,475 | |
| | 125,000 | | | Semgroup LP — 144A,
8.75%, 11/15/15(8)(9) | | | 5,000 | |
| | 5,000 | | | Southern Natural Gas,
8.00%, 03/01/32 | | | 5,291 | |
| | 60,000 | | | Southern Natural Gas — 144A,
5.90%, 04/01/17 | | | 58,110 | |
| | 65,000 | | | Suburban Propane Partners,
6.88%, 12/15/13 | | | 59,800 | |
| | 20,000 | | | Tennessee Gas Pipeline,
7.63%, 04/01/37 | | | 20,256 | |
| | 120,000 | | | Transocean, Inc. (Cayman Islands), 5.25%, 03/15/13 | | | 124,434 | |
| | 370,000 | | | Williams Companies, Inc.,
7.88%, 09/01/21 | | | 364,450 | |
| | 380,000 | | | Williams Companies, Inc.,
7.75%, 06/15/31 | | | 342,000 | |
| | 130,000 | | | Williams Companies, Inc.,
8.75%, 03/15/32 | | | 130,650 | |
| | 840,000 | | | Williams Companies, Inc.,
Series A,
7.50%, 01/15/31 | | | 739,200 | |
| | 550,000 | | | XTO Energy, Inc.,
7.50%, 04/15/12 | | | 609,261 | |
| | 340,000 | | | XTO Energy, Inc.,
5.65%, 04/01/16 | | | 344,212 | |
| | 10,000 | | | XTO Energy, Inc.,
6.25%, 08/01/17 | | | 10,523 | |
| | 270,000 | | | XTO Energy, Inc.,
5.50%, 06/15/18 | | | 270,556 | |
| | 70,000 | | | XTO Energy, Inc.,
6.75%, 08/01/37 | | | 73,077 | |
| | | | | | | | | |
| | | | | | | | 19,167,347 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 0.3% |
| | 820,000 | | | Weyerhaeuser Company,
6.75%, 03/15/12 | | | 820,295 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 0.4% |
| | 200,000 | | | Abbott Laboratories,
5.60%, 11/30/17(5) | | | 214,227 | |
| | 280,000 | | | FMC Finance III SA (Luxembourg),
6.88%, 07/15/17 | | | 260,400 | |
| | 470,000 | | | Wyeth,
5.95%, 04/01/37 | | | 486,228 | |
| | | | | | | | | |
| | | | | | | | 960,855 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 0.2% |
| | 360,000 | | | Reed Elsevier Capital,
8.63%, 01/15/19 | | | 409,023 | |
| | 40,000 | | | Sun Media Corp. (Canada),
7.63%, 02/15/13 | | | 26,300 | |
| | 80,000 | | | TL Acquisitions, Inc. — 144A,
10.50%, 01/15/15 | | | 64,800 | |
| | | | | | | | | |
| | | | | | | | 500,123 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Banks and Financial Services — 1.7% |
| | 2,106,698 | | | Conseco Finance Securitizations Corp.,
Series 2002-1, Class A,
6.68%, 12/01/33(5) | | | 1,795,728 | |
| | 2,296,652 | | | Conseco Finance Securitizations Corp.,
Series 2002-2, Class A2,
6.03%, 03/01/33(5) | | | 1,913,446 | |
| �� | 140,000 | | | Morgan Stanley Capital I,
Series 2005-HQ6, Class A4A,
4.99%, 08/13/42 | | | 119,607 | |
See notes to financial statements.
45
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Banks and Financial Services (continued) |
| | | | | | | | | |
| $ | 430,000 | | | Morgan Stanley Capital I,
Series 2006-IQ12, Class A4, 5.33%, 12/15/43 | | $ | 321,563 | |
| | 159,580 | | | Nomura Asset Acceptance Corp. — 144A,
Series 2004-R1, Class A1,
6.50%, 03/25/34 | | | 135,113 | |
| | 214,620 | | | Nomura Asset Acceptance Corp. — 144A,
Series 2004-R2, Class A1,
6.50%, 10/25/34 | | | 178,790 | |
| | | | | | | | | |
| | | | | | | | 4,464,247 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Credit Cards — 0.6% |
| | 1,530,000 | | | Washington Mutual Master Note Trust — 144A,
Series 2006-A3A, Class A3, Floating Rate,
0.35%, 09/15/13(3) | | | 1,527,654 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Mortgage and Home Equity — 16.8% |
| | 365,569 | | | AAMES Mortgage Investment Trust — 144A,
Series 2005-3, Class A1,
Floating Rate,
0.46%, 08/25/35(3) | | | 346,140 | |
| | 106,408 | | | Accredited Mortgage Loan Trust,
Series 2005-3, Class A1,
Floating Rate,
0.55%, 09/25/35(3) | | | 76,216 | |
| | 48,672 | | | Adjustable Rate Mortgage Trust,
Series 2004-2, Class 7A2,
Floating Rate,
0.73%, 02/25/35(3)(5) | | | 26,237 | |
| | 16,004 | | | Adjustable Rate Mortgage Trust,
Series 2004-5, Class 7A2,
Floating Rate,
0.69%, 04/25/35(3) | | | 13,008 | |
| | 1,542,784 | | | American Home Mortgage Assets Trust,
Series 2006-2, Class 2A1,
Floating Rate,
0.50%, 09/25/46(3)(5) | | | 647,577 | |
| | 261,397 | | | American Home Mortgage Investment Trust,
Series 2005-4, Class 1A1,
Floating Rate,
0.60%, 11/25/45(3)(5) | | | 115,207 | |
| | 470,904 | | | Amortizing Residential Collateral Trust,
Series 2002-BC5, Class Ml, Floating Rate,
1.35%, 07/25/32(3) | | | 290,464 | |
| | 1,214,000 | | | Banc of America Commercial Mortgage, Inc.,
Series 2005-3, Class A4,
4.67%, 07/10/43(5) | | | 1,044,582 | |
| | 280,000 | | | Banc of America Commercial Mortgage, Inc.,
Series 2007-3, Class A3, Floating Rate,
5.66%, 07/10/14(3)(5) | | | 213,794 | |
| | 704,569 | | | Banc of America Funding Corp.,
Series 2005-E, Class 4A1, Floating Rate,
4.43%, 03/20/35(3) | | | 444,563 | |
| | 445,227 | | | Banc of America Mortgage Securities,
Series 2005-A, Class 2A1, Floating Rate,
4.45%, 02/25/35(3)(5) | | | 294,102 | |
| | 197,103 | | | Bear Stearns ALT-A Trust,
Series 2004-11, Class 2A2, Floating Rate,
5.20%, 11/25/34(3)(5) | | | 119,090 | |
| | 897,126 | | | Bear Stearns Mortgage Funding Trust,
Series 2006-AR1, Class 2A2, Floating Rate,
0.57%, 08/25/36(3) | | | 174,518 | |
| | 1,475,088 | | | Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A2, Floating Rate,
0.52%, 12/25/36(3) | | | 239,276 | |
| | 1,276,719 | | | Bear Stearns Second Lien Trust — 144A,
Series 2007-SV1A, Class A3, Floating Rate,
0.56%, 12/25/36(3)(5) | | | 267,865 | |
| | 1,150,000 | | | Chase Funding Mortgage Loan Asset-Backed,
Series 2003-4, Class 1A5,
5.42%, 05/25/33(5) | | | 613,275 | |
| | 2,394,727 | | | Countrywide Alternative Loan
Trust,
Series 2005-36, Class 2A1A, Floating Rate,
0.62%, 08/25/35(3)(5) | | | 1,024,331 | |
| | 280,036 | | | Countrywide Alternative Loan Trust,
Series 2005-36, Class 3A1, Floating Rate,
4.85%, 08/25/35(3)(5) | | | 181,082 | |
| | 652,087 | | | Countrywide Alternative Loan Trust,
Series 2005-38, Class A3,
Floating Rate,
0.66%, 09/25/35(3)(5) | | | 296,649 | |
| | 144,720 | | | Countrywide Alternative Loan Trust,
Series 2005-44, Class 1A1, Floating Rate,
0.64%, 10/25/35(3)(5) | | | 62,221 | |
| | 2,056,946 | | | Countrywide Alternative Loan Trust,
Series 2005-51, Class 3A3A, Floating Rate,
0.64%, 11/20/35(3) | | | 923,746 | |
See notes to financial statements.
46
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 312,928 | | | Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, Floating Rate,
0.64%, 11/20/35(3)(5) | | $ | 141,333 | |
| | 658,026 | | | Countrywide Alternative Loan Trust,
Series 2005-72, Class Al,
Floating Rate,
0.58%, 01/25/36(3)(5) | | | 287,434 | |
| | 829,974 | | | Countrywide Alternative Loan Trust,
Series 2005-J12, Class 2A1, Floating Rate,
0.58%, 08/25/35(3) | | | 376,015 | |
| | 909,751 | | | Countrywide Alternative Loan Trust,
Series 2006-OA2, Class A5, Floating Rate,
0.55%, 05/20/46(3) | | | 347,186 | |
| | 399,998 | | | Countrywide Alternative Loan Trust,
Series 2006-OA6, Class 1A1A, Floating Rate,
0.52%, 07/25/46(3) | | | 156,706 | |
| | 49,518 | | | Countrywide Asset-Backed Certificates,
Series 2005-4, Class AF3,
4.46%, 10/25/35 | | | 45,098 | |
| | 414,981 | | | Countrywide Home Equity Loan Trust — 144A,
Series 2006-RES, Class 4Q1B, Floating Rate,
0.62%, 12/15/33(3)(5) | | | 66,476 | |
| | 145,358 | | | Countrywide Home Equity Loan Trust,
Series 2005-G, Class 2A,
Floating Rate,
0.55%, 12/15/35(3) | | | 56,047 | |
| | 109,591 | | | Countrywide Home Loans — 144A,
Series 2004-R2, Class 1AF1, Floating Rate,
0.73%, 11/25/34(3) | | | 75,687 | |
| | 170,585 | | | Countrywide Home Loans — 144A,
Series 2005-R1, Class 1AF1, Floating Rate,
0.67%, 03/25/35(3) | | | 120,359 | |
| | 293,155 | | | Countrywide Home Loans — 144A,
Series 2005-R3, Class AF, Floating Rate,
0.71%, 09/25/35(3)(5) | | | 197,997 | |
| | 334,702 | | | Countrywide Home Loans,
Series 2003-60, Class 1A1, Floating Rate,
5.53%, 02/25/34(3) | | | 274,123 | |
| | 160,006 | | | Countrywide Home Loans,
Series 2004-23, Class A,
Floating Rate,
2.62%, 11/25/34(3)(5) | | | 86,014 | |
| | 446,171 | | | Countrywide Home Loans,
Series 2005-3, Class 1A2,
Floating Rate,
0.60%, 04/25/35(3)(5) | | | 200,145 | |
| | 250,000 | | | Credit Suisse Mortgage Capital Certificates — 144A,
Series 2006-CF2, Class A1, Floating Rate,
0.57%, 05/25/36(3) | | | 163,384 | |
| | 1,860,000 | | | Credit Suisse Mortgage Capital Certificates,
Series 2006-C4, Class A3,
5.47%, 09/15/39(5) | | | 1,301,507 | |
| | 756,636 | | | CS First Boston Mortgage Securities Corp.,
Series 2004-AR5, Class 7A2, Floating Rate,
3.64%, 06/25/34(3) | | | 632,553 | |
| | 1,270,000 | | | Deutsche Mortgage Securities, Inc. — 144A,
Series 2005-WF1, Class 1A3, Floating Rate,
5.12%, 06/26/35(3)(5) | | | 821,546 | |
| | 673,149 | | | First Horizon Alternative Mortgage Securities,
Series 2006-FA8, Class 1A8, Floating Rate,
0.68%, 02/25/37(3) | | | 297,982 | |
| | 310,000 | | | GE Capital Commercial Mortgage Corp.,
Series 2005-C4, Class A4, Floating Rate,
5.33%, 11/10/45(3) | | | 260,884 | |
| | 1,000,000 | | | GMAC Commercial Mortgage Securities, Inc.,
Series 2006-C1, Class A4,
5.24%, 11/10/45 | | | 828,223 | |
| | 53,720 | | | GMAC Mortgage Corp. Loan Trust,
Series 2003-AR2, Class 1A1, Floating Rate,
5.63%, 12/19/33(3) | | | 46,577 | |
| | 222,456 | | | GMAC Mortgage Corp. Loan Trust,
Series 2005-AR1, Class 3A, Floating Rate,
4.63%, 03/18/35(3) | | | 130,586 | |
| | 287,424 | | | Greenpoint Mortgage Funding Trust,
Series 2006-AR4, Class A1A, Floating Rate,
0.41%, 09/25/46(3) | | | 230,874 | |
| | 1,169,690 | | | Greenpoint Mortgage Funding Trust,
Series 2007-AR1, Class 1A1A, Floating Rate,
0.39%, 02/25/47(3) | | | 580,709 | |
| | 200,000 | | | GS Mortgage Securities Corp. II,
Series 2005-GG4, Class AABA,
4.68%, 07/10/39 | | | 192,536 | |
| | 254,045 | | | GSMPS Mortgage Loan Trust — 144A,
Series 2005-RP3, Class 1AF, Floating Rate,
0.66%, 09/25/35(3) | | | 174,921 | |
See notes to financial statements.
47
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 2,302,643 | | | Harborview Mortgage Loan Trust,
Series 2006-10, Class 2A1A, Floating Rate,
0.49%, 11/19/36(3) | | $ | 915,581 | |
| | 97,920 | | | Impac CMB Trust,
Series 2004-6, Class 1A1,
Floating Rate,
1.11%, 10/25/34(3) | | | 43,550 | |
| | 1,244,639 | | | IndyMac INDA Mortgage Loan Trust,
Series 2007-AR7, Class 1A1, Floating Rate,
6.14%, 09/25/37(3) | | | 811,937 | |
| | 2,269,651 | | | IndyMac Index Mortgage Loan Trust,
Series 2005-AR14, Class 2A1A, Floating Rate,
0.61%, 07/25/35(3) | | | 1,027,155 | |
| | 96,694 | | | IndyMac Index Mortgage Loan Trust,
Series 2005-AR15, Class A2,
5.10%, 09/25/35 | | | 59,781 | |
| | 1,997,235 | | | IndyMac Index Mortgage Loan Trust,
Series 2007-AR15, Class 2A1, Floating Rate,
5.69%, 08/25/37(3) | | | 905,663 | |
| | 1,100,000 | | | JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2007-LD11, Class A3, Floating Rate,
5.80%, 06/15/49(3) | | | 818,825 | |
| | 1,590,000 | | | JPMorgan Chase Commercial Mortgage Securities Corp.,
Series 2007-LD11, Class A4, Floating Rate,
5.80%, 06/15/49(3) | | | 1,214,179 | |
| | 833,748 | | | JPMorgan Mortgage Trust,
Series 2004-A1, Class 1A1, Floating Rate,
4.81%, 02/25/34(3) | | | 751,038 | |
| | 176,762 | | | JPMorgan Mortgage Trust,
Series 2004-A3, Class 1A1, Floating Rate,
3.86%, 07/25/34(3) | | | 154,953 | |
| | 396,238 | | | JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A1, Floating Rate,
5.10%, 11/25/33(3) | | | 346,309 | |
| | 900,000 | | | LB-UBS Commercial Mortgage Trust,
Series 2005-C3, Class A5,
4.74%, 07/15/30 | | | 770,099 | |
| | 100,000 | | | LB-UBS Commercial Mortgage Trust,
Series 2005-C3, Class AAB,
4.66%, 07/15/30 | | | 96,127 | |
| | 200,000 | | | LB-UBS Commercial Mortgage Trust,
Series 2005-C5, Class A4,
4.95%, 09/15/30 | | | 171,363 | |
| | 184,855 | | | Lehman XS Trust,
Series 2005-5N, Class 1A1, Floating Rate,
0.61%, 11/25/35(3) | | | 77,325 | |
| | 1,107,773 | | | Lehman XS Trust,
Series 2005-5N, Class 3A1A, Floating Rate,
0.61%, 11/25/35(3) | | | 472,658 | |
| | 147,759 | | | Lehman XS Trust,
Series 2005-7N, Class 1A1B, Floating Rate,
0.61%, 12/25/35(3) | | | 36,222 | |
| | 245,361 | | | Lehman XS Trust,
Series 2006-GP4, Class 3A1A, Floating Rate,
0.38%, 08/25/46(3) | | | 198,820 | |
| | 835,065 | | | Lehman XS Trust,
Series 2007-2N, Class 3A1, Floating Rate,
0.40%, 02/25/37(3) | | | 489,235 | |
| | 1,122,492 | | | Master Adjustable Rate Mortgages Trust — 144A,
Series 2007-R5, Class A1, Floating Rate,
5.64%, 11/25/35(3) | | | 491,979 | |
| | 1,372,364 | | | Master Adjustable Rate Mortgages Trust,
Series 2006-OA2, Class 1A1, Floating Rate,
2.14%, 12/25/46(3) | | | 333,253 | |
| | 693,003 | | | Merrill Lynch Mortgage Investors Trust,
Series 2004-A1, Class 2A1, Floating Rate,
4.56%, 02/25/34(3) | | | 590,562 | |
| | 770,135 | | | Merrill Lynch Mortgage Investors Trust,
Series 2004-A3, Class 4A3, Floating Rate,
5.03%, 05/25/34(3) | | | 683,558 | |
| | 126,059 | | | Merrill Lynch Mortgage Investors Trust,
Series 2005-A3, Class A1, Floating Rate,
0.58%, 04/25/35(3) | | | 73,017 | |
| | 1,610,404 | | | Merrill Lynch Mortgage Investors Trust,
Series 2007-SD1, Class A1, Floating Rate,
0.76%, 02/25/47(3) | | | 850,879 | |
| | 500,000 | | | Merrill Lynch Mortgage Investors, Inc.,
Series 2005-A4, Class 2A2,
4.46%, 07/25/35 | | | 314,412 | |
See notes to financial statements.
48
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 400,000 | | | Merrill Lynch Mortgage Investors, Inc.,
Series 2005-A5, Class A3,
4.44%, 06/25/35 | | $ | 195,983 | |
| | 42,500 | | | Merrill Lynch Mortgage Trust,
Series 2006-C1, Class A4, Floating Rate,
5.66%, 05/12/39(3) | | | 34,602 | |
| | 123,776 | | | MLCC Mortgage Investors, Inc.,
Series 2003-F, Class A1,
Floating Rate,
0.63%, 10/25/28(3) | | | 93,717 | |
| | 483,210 | | | Morgan Stanley Mortgage Loan Trust,
Series 2004-8AR, Class 4A2, Floating Rate,
5.27%, 10/25/34(3) | | | 371,055 | |
| | 1,084,677 | | | Morgan Stanley Mortgage Loan Trust,
Series 2006-3AR, Class 2A3, Floating Rate,
5.51%, 03/25/36(3) | | | 555,179 | |
| | 374,007 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | | | 354,021 | |
| | 173,975 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | | | 166,744 | |
| | 1,008,964 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | | | 719,379 | |
| | 839,006 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 2A2, 6.00%, 05/25/35 | | | 582,978 | |
| | 1,876,923 | | | RAAC — 144A,
Series 2007-RP4, Class A, Floating Rate,
0.66%, 06/25/37(3) | | | 1,094,865 | |
| | 1,137,638 | | | RBSGC Mortgage Pass Through Certificates,
Series 2007-B, Class 1A4, Floating Rate,
0.76%, 01/25/37(3) | | | 443,627 | |
| | 1,500,000 | | | Renaissance Home Equity Loan Trust,
Series 2007-2, Class AF6,
5.88%, 06/25/37 | | | 527,865 | |
| | 986,013 | | | Residential Accredited Loans, Inc.,
Series 2006-QO10, Class A1, Floating Rate,
0.47%, 01/25/37(3) | | | 396,737 | |
| | 1,170,643 | | | Residential Accredited Loans, Inc.,
Series 2007-QO1, Class A1, Floating Rate,
0.46%, 02/25/47(3) | | | 466,325 | |
| | 2,229,774 | | | Residential Accredited Loans, Inc.,
Series 2007-QO4, Class A1A, Floating Rate,
0.50%, 05/25/47(3) | | | 846,530 | |
| | 1,261,376 | | | Residential Accredited Loans, Inc.,
Series 2007-QS1, Class 2A2, Floating Rate,
0.67%, 01/25/37(3) | | | 619,744 | |
| | 2,700,000 | | | Securitized Asset Backed Receivables LLC,
Series 2007-BR3, Class A2B, Floating Rate,
0.53%, 04/25/37(3) | | | 653,071 | |
| | 835,893 | | | Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 3A1, Floating Rate,
5.33%, 01/25/35(3) | | | 561,014 | |
| | 1,257,001 | | | Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-15, Class 1A1,
5.06%, 07/25/35 | | | 861,570 | |
| | 507,521 | | | Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-16XS, Class Al, Floating Rate,
0.65%, 08/25/35(3) | | | 268,736 | |
| | 673,183 | | | Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-19XS, Class 1A1, Floating Rate,
0.63%, 10/25/35(3) | | | 303,199 | |
| | 120,516 | | | Structured Asset Mortgage Investments, Inc.,
Series 2003-AR4, Class Al, Floating Rate,
0.66%, 01/19/34(3) | | | 59,939 | |
| | 399,518 | | | Structured Asset Mortgage Investments, Inc.,
Series 2006-AR6, Class 1A3, Floating Rate,
0.50%, 07/25/46(3) | | | 139,906 | |
| | 430,635 | | | Structured Asset Securities Corp. — 144A,
Series 2005-RF3, Class 1A, Floating Rate,
0.66%, 06/25/35(3) | | | 237,218 | |
| | 2,243,487 | | | Structured Asset Securities Corp. — 144A,
Series 2007-TC1, Class A, Floating Rate,
0.61%, 04/25/31(3) | | | 1,252,780 | |
| | 220,716 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1, Floating Rate,
0.60%, 10/25/45(3) | | | 115,470 | |
| | 245,770 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A2, Floating Rate,
0.59%, 11/25/45(3) | | | 111,729 | |
See notes to financial statements.
49
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 145,233 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2A1A, Floating Rate,
0.60%, 07/25/45(3) | | $ | 66,485 | |
| | 2,848,776 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A, Floating Rate,
2.31%, 05/25/46(3) | | | 1,101,959 | |
| | 1,750,236 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2006-AR6, Class 2A, Floating Rate,
2.30%, 08/25/46(3) | | | 696,775 | |
| | 590,221 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2007-HY4, Class 4A1,
5.50%, 09/25/36 | | | 356,769 | |
| | 2,676,138 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2007-OA6, Class 1A1B, Floating Rate,
2.15%, 07/25/47(3) | | | 503,233 | |
| | | | | | | | | |
| | | | | | | | 42,964,529 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Student Loans — 0.5% |
| | 780,000 | | | Nelnet Student Loan Trust,
Series 2008-4, Class A4,
Floating Rate,
2.57%, 04/25/17(2) | | | 768,518 | |
| | 400,000 | | | SLC Student Loan Trust,
Series 2008-1, Class A4A, Floating Rate,
2.23%, 12/15/32(2) | | | 388,464 | |
| | 137,215 | | | SLM Student Loan Trust,
Series 2006-5, Class A2,
Floating Rate,
1.08%, 07/25/17(2) | | | 137,126 | |
| | | | | | | | | |
| | | | | | | | 1,294,108 | |
| | | | | | | | | |
| | | | | Real Estate Development and Services — 0.1% |
| | 35,000 | | | Forest City Enterprises, Inc.,
7.63%, 06/01/15 | | | 22,050 | |
| | 30,000 | | | Forest City Enterprises, Inc.,
6.50%, 02/01/17 | | | 16,500 | |
| | 520,000 | | | Realogy Corp.,
12.38%, 04/15/15 | | | 145,600 | |
| | | | | | | | | |
| | | | | | | | 184,150 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.0% |
| | 40,000 | | | Host Hotels & Resorts LP,
Series Q,
6.75%, 06/01/16 | | | 34,700 | |
| | 10,000 | | | Ventas Realty LP/Ventas Capital Corp.,
9.00%, 05/01/12 | | | 10,300 | |
| | 30,000 | | | Ventas Realty LP/Ventas Capital Corp.,
6.50%, 06/01/16 | | | 26,850 | |
| | | | | | | | | |
| | | | | | | | 71,850 | |
| | | | | | | | | |
| | | | | Retail — 0.3% |
| | 757,871 | | | CVS Caremark Corp. — 144A,
6.94%, 01/10/30(5) | | | 685,745 | |
| | | | | | | | | |
| | | | | Scientific and Technical Instruments — 0.1% |
| | 100,000 | | | Cie Generale de Geophysique (France),
7.50%, 05/15/15 | | | 91,750 | |
| | 105,000 | | | Cie Generale de Geophysique (France),
7.75%, 05/15/17 | | | 95,550 | |
| | | | | | | | | |
| | | | | | | | 187,300 | |
| | | | | | | | | |
| | | | | Semiconductors — 0.1% |
| | 260,000 | | | Freescale Semiconductor, Inc.,
8.88%, 12/15/14 | | | 131,300 | |
| | 20,000 | | | Freescale Semiconductor, Inc.,
10.13%, 12/15/16 | | | 6,800 | |
| | | | | | | | | |
| | | | | | | | 138,100 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 3.8% |
| | 220,000 | | | America Movil SAB de CV (Mexico),
5.63%, 11/15/17(5) | | | 215,029 | |
| | 410,000 | | | AT&T, Inc.,
5.10%, 09/15/14 | | | 425,903 | |
| | 380,000 | | | AT&T, Inc.,
5.50%, 02/01/18(5) | | | 379,444 | |
| | 80,000 | | | AT&T, Inc.,
5.80%, 02/15/19(5) | | | 81,225 | |
| | 810,000 | | | AT&T, Inc.,
6.55%, 02/15/39(5) | | | 808,560 | |
| | 10,000 | | | Bellsouth Corp.,
4.75%, 11/15/12(5) | | | 10,353 | |
| | 75,000 | | | Citizens Communications Company,
7.13%, 03/15/19 | | | 63,938 | |
| | 210,000 | | | Cricket Communications I — 144A,
7.75%, 05/15/16 | | | 202,125 | |
| | 375,000 | | | Deutsche Telecom International Finance BV (the Netherlands),
5.75%, 03/23/16(5) | | | 383,949 | |
| | 1,290,000 | | | Embarq Corp.,
6.74%, 06/01/13(5) | | | 1,302,178 | |
| | 235,000 | | | Intelsat Jackson Holdings — 144A (Bermuda),
9.50%, 06/15/16 | | | 236,175 | |
| | 40,000 | | | Intelsat Jackson Holdings (Bermuda),
11.25%, 06/15/16 | | | 40,800 | |
See notes to financial statements.
50
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Telecommunications Equipment and Services (continued) |
| | | | | | | | | |
| $ | 320,000 | | | Koninklijke KPN NV (the Netherlands),
8.00%, 10/01/10 | | $ | 335,769 | |
| | 445,000 | | | Koninklijke KPN NV (the Netherlands),
8.38%, 10/01/30 | | | 508,651 | |
| | 170,000 | | | Level 3 Financing, Inc.,
9.25%, 11/01/14 | | | 139,400 | |
| | 300,000 | | | Nextel Communications, Inc.,
Series E,
6.88%, 10/31/13 | | | 248,250 | |
| | 360,000 | | | Qwest Communications International, Inc.,
Series B,
7.50%, 02/15/14 | | | 328,500 | |
| | 80,000 | | | Rogers Communications (Canada),
6.80%, 08/15/18 | | | 85,762 | |
| | 150,000 | | | Sprint Capital Corp.,
8.38%, 03/15/12 | | | 147,750 | |
| | 540,000 | | | Sprint Capital Corp.,
6.90%, 05/01/19 | | | 446,850 | |
| | 80,000 | | | Sprint Capital Corp.,
8.75%, 03/15/32 | | | 64,400 | |
| | 390,000 | | | Telecom Italia Capital (Luxembourg),
5.25%, 10/01/15 | | | 376,481 | |
| | 650,000 | | | Telecom Italia Capital (Luxembourg),
7.00%, 06/04/18 | | | 657,576 | |
| | 990,000 | | | Verizon Communications, Inc.,
6.90%, 04/15/38 | | | 1,032,771 | |
| | 210,000 | | | Verizon Communications, Inc.,
8.95%, 03/01/39 | | | 265,192 | |
| | 160,000 | | | Verizon Global Funding Corp.,
7.38%, 09/01/12 | | | 178,995 | |
| | 560,000 | | | Verizon New York, Inc.,
Series A,
6.88%, 04/01/12 | | | 593,503 | |
| | 165,000 | | | Windstream Corp.,
8.63%, 08/01/16 | | | 157,988 | |
| | | | | | | | | |
| | | | | | | | 9,717,517 | |
| | | | | | | | | |
| | | | | Transportation — 0.3% |
| | 40,000 | | | Gulfmark Offshore, Inc.,
7.75%, 07/15/14 | | | 36,600 | |
| | 200,000 | | | Kansas City Southern de Mexico, SA de CV — 144A (Mexico),
12.50%, 04/01/16 | | | 203,000 | |
| | 340,000 | | | RailAmerica, Inc. — 144A,
9.25%, 07/01/17 | | | 328,100 | |
| | 130,000 | | | Teekay Shipping Corp. (Marshall Islands),
8.88%, 07/15/11 | | | 129,025 | |
| | 180,000 | | | Union Pacific Corp.,
5.38%, 05/01/14 | | | 184,744 | |
| | | | | | | | | |
| | | | | | | | 881,469 | |
| | | | | | | | | |
| | | | | Utilities—4.4% |
| | 67,000 | | | AES Corp.,
7.75%, 03/01/14 | | | 63,483 | |
| | 210,000 | | | AES Corp.,
7.75%, 10/15/15 | | | 195,300 | |
| | 1,130,000 | | | AES Corp.,
8.00%, 10/15/17 | | | 1,050,899 | |
| | 1,590,000 | | | AES Corp.,
8.00%, 06/01/20 | | | 1,427,024 | |
| | 240,000 | | | Calpine Construction Finance Company, LP/CCFC Finance Corp. — 144A,
8.00%, 06/01/16 | | | 229,800 | |
| | 30,000 | | | Dominion Resources, Inc.,
4.75%, 12/15/10(5) | | | 30,833 | |
| | 580,000 | | | Dominion Resources, Inc.,
5.70%, 09/17/12(5) | | | 616,945 | |
| | 560,000 | | | Dominion Resources, Inc.,
Series D,
8.88%, 01/15/19(5) | | | 667,823 | |
| | 590,000 | | | Duke Energy Carolinas,
5.63%, 11/30/12(5) | | | 632,343 | |
| | 60,000 | | | Edison Mission Energy,
7.75%, 06/15/16 | | | 48,900 | |
| | 50,000 | | | Edison Mission Energy,
7.00%, 05/15/17 | | | 38,375 | |
| | 140,000 | | | Edison Mission Energy,
7.20%, 05/15/19 | | | 104,300 | |
| | 50,000 | | | Edison Mission Energy,
7.63%, 05/15/27 | | | 32,000 | |
| | 10,000 | | | Energy Future Holdings Corp.,
10.88%, 11/01/17 | | | 7,300 | |
| | 3,794,800 | | | Energy Future Holdings Corp.,
11.25%, 11/01/17(12) | | | 2,314,827 | |
| | 370,000 | | | Exelon Corp.,
5.63%, 06/15/35(5) | | | 297,829 | |
| | 650,000 | | | FirstEnergy Corp.,
Series B,
6.45%, 11/15/11 | | | 678,444 | |
| | 515,000 | | | FirstEnergy Corp.,
Series C,
7.38%, 11/15/31 | | | 486,087 | |
| | 311,774 | | | Mirant Mid-Atlantic Trust LLC,
Series C,
10.06%, 12/30/28 | | | 299,693 | |
| | 75,000 | | | NRG Energy, Inc.,
7.25%, 02/01/14 | | | 72,750 | |
| | 170,000 | | | NRG Energy, Inc.,
7.38%, 02/01/16 | | | 160,863 | |
| | 45,000 | | | NRG Energy, Inc.,
7.38%, 01/15/17 | | | 42,413 | |
See notes to financial statements.
51
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Utilities (continued) |
| | | | | | | | | |
| $ | 620,000 | | | Pacific Gas & Electric Company,
5.63%, 11/30/17 | | $ | 656,261 | |
| | 210,000 | | | Pacific Gas & Electric Company,
6.05%, 03/01/34 | | | 217,862 | |
| | 140,000 | | | Pacific Gas & Electric Company,
5.80%, 03/01/37 | | | 140,700 | |
| | 440,000 | | | TXU Corp.,
Series P,
5.55%, 11/15/14 | | | 277,825 | |
| | 200,000 | | | TXU Corp.,
Series Q,
6.50%, 11/15/24 | | | 100,216 | |
| | 635,000 | | | TXU Corp.,
Series R,
6.55%, 11/15/34 | | | 305,282 | |
| | | | | | | | | |
| | | | | | | | 11,196,377 | |
| | | | | | | | | |
| | | | | Total Corporate Bonds and Notes
(Cost $197,556,985) | | | 146,147,819 | |
| | | | | | | | | |
| | | | | Preferred Corporate Bonds and Notes — 2.0% |
| | | | | Banks and Financial Services — 1.5% |
| | 610,000 | | | Bank of America Corp.,
Series K, Variable Rate,
8.00%, perpetual(1) | | | 509,448 | |
| | 90,000 | | | Bank of America Corp.,
Series M, Variable Rate,
8.13%, perpetual(1) | | | 75,167 | |
| | 160,000 | | | Credit Suisse (Switzerland), Variable Rate,
5.86%, perpetual (1)(5) | | | 104,000 | |
| | 1,190,000 | | | General Electric Capital Corp., Variable Rate,
6.38%, 11/15/67(1) | | | 793,993 | |
| | 930,000 | | | Lehman Brothers Capital Trust VII,
Series MTN, Variable Rate,
5.86%, perpetual(1)(9) | | | 93 | |
| | 280,000 | | | Rabobank Nederland — 144A (the Netherlands), Variable Rate,
11.00%, perpetual(1) | | | 311,500 | |
| | 200,000 | | | Royal Bank of Scotland Group PLC,
Series MTNU (United Kingdom), Variable Rate,
7.64%, perpetual(1) | | | 81,000 | |
| | 610,000 | | | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate,
6.42%, perpetual(1) | | | 244,000 | |
| | 150,000 | | | SunTrust Capital VIII,
Variable Rate,
6.10%, 12/15/36(1) | | | 97,437 | |
| | 460,000 | | | Wachovia Capital Trust III,
Variable Rate,
5.80%, perpetual(1) | | | 276,000 | |
| | 1,300,000 | | | Wells Fargo Capital XV,
Variable Rate,
9.75%, perpetual(1) | | | 1,257,750 | |
| | | | | | | | | |
| | | | | | | | 3,750,388 | |
| | | | | | | | | |
| | | | | Insurance — 0.5% |
| | 1,140,000 | | | MetLife, Inc.,
6.40%, 12/15/36 | | | 815,100 | |
| | 670,000 | | | Travelers Companies, Inc. (The), Variable Rate,
6.25%, 03/15/37(1) | | | 539,996 | |
| | | | | | | | | |
| | | | | | | | 1,355,096 | |
| | | | | | | | | |
| | | | | Total Preferred Corporate Bonds and Notes |
| | | | | (Cost $7,691,313) | | | 5,105,484 | |
| | | | | | | | | |
Shares | | | | |
| |
| | | | | Preferred Stocks — 0.1% |
| | | | | Banks and Financial Services |
| | 1,300 | | | Fannie Mae,
Series O, Floating Rate,
7.00%(2) | | | 2,015 | |
| | 31,175 | | | Fannie Mae,
Series S, Variable Rate,
8.25%(1) | | | 41,463 | |
| | 43,300 | | | Freddie Mac,
Series Z, Variable Rate,
8.38%(1) | | | 52,826 | |
| | 341 | | | Preferred Blocker, Inc. — 144A,
7.00% | | | 146,651 | |
| | | | | | | | | |
| | | | | Total Preferred Stocks |
| | | | | (Cost $1,988,323) | | | 242,955 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Municipal Bonds — 0.2% |
| | | | | Virginia |
| $ | 449,107 | | | Virginia State Housing Development Authority,
Series C, Revenue Bond,
6.00%, 06/25/34
(Cost $442,005) | | | 439,208 | |
| | | | | | | | | |
| | | | | Foreign Government Obligations — 0.3% |
| | 710,400 | | | Russia Foreign Bond-REG S (Russia),
7.50%, 03/31/30 | | | 699,389 | |
| | 8,000 | | | United Mexican States (Mexico),
5.63%, 01/15/17 | | | 8,088 | |
| | | | | | | | | |
| | | | | Total Foreign Government Obligations |
| | | | | (Cost $795,161) | | | 707,477 | |
| | | | | | | | | |
| | | | | Total Securities |
| | | | | (Cost $327,448,615) | | | 275,668,544 | |
| | | | | | | | | |
See notes to financial statements.
52
TOTAL RETURN BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Repurchase Agreements — 0.6% | | | | |
| $ | 1,416,448 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $1,416,448 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $1,447,970)
(Cost $1,416,448) | | $ | 1,416,448 | |
| | | | | | | | | |
| | | | | Total Investments before Call and Put Options Written — 107.9% (Cost $328,865,063) | | | 277,084,992 | |
| | | | | | | | | |
Contracts | | | | |
| |
| | | | | Call Options Written — (0.0)% |
| | (74 | ) | | US Treasury Note (10 Year) August Future, Expiring July 2009 @ 119.50
(Premium $40,136) | | | (1,156 | ) |
| | | | | | | | | |
| | | | | Put Options Written — (0.0)% |
| | (137 | ) | | Eurodollar Future, expiring March 2010 @ 98.38
(Premium $122,083) | | | (71,925 | ) |
| | | | | | | | | |
| | | | | Total Investments net of Call and Put Options Written — 107.9% (Cost $328,702,844) | | | 277,011,911 | |
| | | | | Liabilities less other assets —(7.9)% | | | (20,214,829 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 256,797,082 | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $328,865,063.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 6,590,539 | |
| Gross unrealized depreciation | | | (58,370,610 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (51,780,071 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
53
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes — 87.7% |
| | | | | Advertising — 0.8% |
| $ | 470,000 | | | Affinion Group, Inc.,
10.13%, 10/15/13 | | $ | 434,750 | |
| | 1,685,000 | | | Affinion Group, Inc.,
11.50%, 10/15/15 | | | 1,440,675 | |
| | 2,310,000 | | | Interpublic Group of Companies — 144A,
10.00%, 07/15/17 | | | 2,327,325 | |
| | | | | | | | | |
| | | | | | | | 4,202,750 | |
| | | | | | | | | |
| | | | | Aerospace and Defense — 0.8% |
| | 480,000 | | | Hawker Beechcraft Acquisition Company LLC,
8.50%, 04/01/15 | | | 247,200 | |
| | 2,335,000 | | | Hawker Beechcraft Acquisition Company LLC,
9.75%, 04/01/17 | | | 980,700 | |
| | 2,535,000 | | | Transdigm, Inc.,
7.75%, 07/15/14 | | | 2,408,250 | |
| | 905,000 | | | Vought Aircraft Industries, Inc.,
8.00%, 07/15/11 | | | 565,625 | |
| | | | | | | | | |
| | | | | | | | 4,201,775 | |
| | | | | | | | | |
| | | | | Airlines — 0.1% |
| | 415,164 | | | Continental Airlines, Inc., Series 2001-1,
7.03%, 06/15/11 | | | 315,524 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail—2.6% |
| | 1,620,000 | | | Levi Strauss & Company,
8.88%, 04/01/16 | | | 1,567,350 | |
| | 3,350,000 | | | Limited Brands, Inc. — 144A,
8.50%, 06/15/19 | | | 3,209,598 | |
| | 2,005,000 | | | Oxford Industries, Inc.,
8.88%, 06/01/11 | | | 2,005,000 | |
| | 1,720,000 | | | Oxford Industries, Inc. — 144A,
11.38%, 07/15/15 | | | 1,702,800 | |
| | 4,700,000 | | | Perry Ellis International, Inc., Series B,
8.88%, 09/15/13 | | | 3,830,500 | |
| | 205,000 | | | Phillips Van-Heusen Corp.,
8.13%, 05/01/13 | | | 201,413 | |
| | 2,305,000 | | | Quiksilver, Inc.,
6.88%, 04/15/15 | | | 1,221,650 | |
| | | | | | | | | |
| | | | | | | | 13,738,311 | |
| | | | | | | | | |
| | | | | Automobile: Rental—1.7% |
| | 3,435,000 | | | Hertz Corp.,
8.88%, 01/01/14 | | | 3,160,200 | |
| | 1,430,000 | | | Hertz Corp.,
10.50%, 01/01/16 | | | 1,272,700 | |
| | 2,485,000 | | | RSC Equipment Rental, Inc.,
9.50%, 12/01/14 | | | 1,994,213 | |
| | 2,420,000 | | | RSC Equipment Rental, Inc. — 144A,
10.00%, 07/15/17 | | | 2,423,781 | |
| | | | | | | | | |
| | | | | | | | 8,850,894 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs—0.7% |
| | 530,000 | | | Allison Transmission, Inc. — 144A,
11.00%, 11/01/15 | | | 418,700 | |
| | 2,160,000 | | | Allison Transmission, Inc. — 144A,
11.25%, 11/01/15(12) | | | 1,512,000 | |
| | 395,000 | | | Commercial Vehicle Group,
8.00%, 07/01/13 | | | 225,150 | |
| | 1,255,000 | | | KAR Holdings, Inc.,
8.75%, 05/01/14 | | | 1,076,163 | |
| | 480,000 | | | Tenneco, Inc.,
8.13%, 11/15/15 | | | 379,200 | |
| | | | | | | | | |
| | | | | | | | 3,611,213 | |
| | | | | | | | | |
| | | | | Banks and Financial Services—1.6% |
| | 1,220,000 | | | Ford Motor Credit Company LLC,
7.88%, 06/15/10 | | | 1,158,835 | |
| | 2,300,000 | | | Ford Motor Credit Company LLC,
7.80%, 06/01/12 | | | 1,978,968 | |
| | 625,000 | | | Ford Motor Credit Company LLC,
12.00%, 05/15/15 | | | 584,473 | |
| | 4,745,000 | | | Ford Motor Credit Company LLC,
8.00%, 12/15/16 | | | 3,627,691 | |
| | 1,400,000 | | | Nuveen Investments, Inc. — 144A,
10.50%, 11/15/15 | | | 966,000 | |
| | | | | | | | | |
| | | | | | | | 8,315,967 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media—2.0% |
| | 1,995,000 | | | CCO Holdings LLC/Capital Corp.,
8.75%, 11/15/13 | | | 1,895,250 | |
| | 3,535,000 | | | Charter Communications Operating LLC/Capital Corp. — 144A,
10.38%, 04/30/14(9) | | | 3,384,762 | |
| | 2,010,000 | | | Kabel Deutschland GMBH (Germany),
10.63%, 07/01/14 | | | 2,072,813 | |
| | 570,000 | | | LBI Media, Inc.,
11.00%, 10/15/13 | | | 262,913 | |
| | 860,000 | | | LBI Media, Inc. — 144A,
8.50%, 08/01/17 | | | 452,575 | |
| | 605,000 | | | Rainbow National Services LLC — 144A,
10.38%, 09/01/14 | | | 626,931 | |
| | 1,730,000 | | | XM Satellite Radio, Inc. — 144A,
11.25%, 06/15/13 | | | 1,717,025 | |
| | | | | | | | | |
| | | | | | | | 10,412,269 | |
| | | | | | | | | |
| | | | | Business Services and Supplies—1.0% |
| | 2,030,000 | | | Aramark Corp.,
8.50%, 02/01/15 | | | 1,969,100 | |
| | 485,000 | | | Catalina Marketing Corp. — 144A,
10.50%, 10/01/15(12) | | | 400,125 | |
| | 1,848,000 | | | Catalina Marketing Corp. — 144A,
11.63%, 10/01/17(8) | | | 1,339,800 | |
| | 2,050,000 | | | CEVA Group PLC — 144A (United Kingdom),
10.00%, 09/01/14 | | | 1,394,000 | |
| | | | | | | | | |
| | | | | | | | 5,103,025 | |
| | | | | | | | | |
See notes to financial statements.
54
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Chemicals — 1.8% |
| $ | 1,760,000 | | | Ashland, Inc. — 144A,
9.13%, 06/01/17 | | $ | 1,830,400 | |
| | 3,600,000 | | | Dow Chemical Company (The),
8.55%, 05/15/19 | | | 3,606,408 | |
| | 2,570,000 | | | Ineos Group Holdings PLC — 144A (United Kingdom),
8.50%, 02/15/16 | | | 796,700 | |
| | 1,445,000 | | | Nalco Company — 144A,
8.25%, 05/15/17 | | | 1,452,225 | |
| | 830,000 | | | Nova Chemicals Corp. (Canada), Floating Rate,
4.54%, 11/15/13(11) | | | 686,825 | |
| | 3,900,000 | | | Reichhold Industries, Inc. — 144A,
9.00%, 08/15/14(8) | | | 1,365,000 | |
| | | | | | | | | |
| | | | | | | | 9,737,558 | |
| | | | | | | | | |
| | | | | Commercial Services—1.0% |
| | 3,880,000 | | | Ceridian Corp.,
11.25%, 11/15/15 | | | 3,244,650 | |
| | 2,065,000 | | | Ticketmaster — 144A,
10.75%, 07/28/16 | | | 1,837,850 | |
| | | | | | | | | |
| | | | | | | | 5,082,500 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services—1.4% |
| | 1,790,000 | | | Sungard Data Systems, Inc.,
9.13%, 08/15/13 | | | 1,691,550 | |
| | 5,985,000 | | | Sungard Data Systems, Inc. — 144A,
10.63%, 05/15/15 | | | 5,865,300 | |
| | | | | | | | | |
| | | | | | | | 7,556,850 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies—0.6% |
| | 775,000 | | | ESCO Corp. — 144A, Floating Rate,
4.50%, 12/15/13(2)(8) | | | 605,469 | |
| | 775,000 | | | ESCO Corp. — 144A,
8.63%, 12/15/13 | | | 670,375 | |
| | 545,000 | | | Interline Brands, Inc.,
8.13%, 06/15/14 | | | 536,825 | |
| | 3,025,000 | | | Panolam Industries International, 10.75%, 10/01/13(9) | | | 151,250 | |
| | 1,260,000 | | | Texas Industries, Inc. — 144A,
7.25%, 07/15/13 | | | 1,140,300 | |
| | | | | | | | | |
| | | | | | | | 3,104,219 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services—2.1% |
| | 3,365,000 | | | Amscan Holdings, Inc.,
8.75%, 05/01/14 | | | 2,843,425 | |
| | 720,000 | | | Whirlpool Corp.,
8.60%, 05/01/14 | | | 752,400 | |
| | 8,490,000 | | | Yankee Acquisition Corp.,
Series B,
8.50%, 02/15/15 | | | 7,152,825 | |
| | 585,000 | | | Yankee Acquisition Corp.,
Series B,
9.75%, 02/15/17 | | | 456,300 | |
| | | | | | | | | |
| | | | | | | | 11,204,950 | |
| | | | | | | | | |
| | | | | Containers and Packaging—0.6% |
| | 230,000 | | | Graphic Packaging International — 144A,
9.50%, 06/15/17 | | | 226,550 | |
| | 1,055,000 | | | Intertape Polymer US, Inc.,
8.50%, 08/01/14 | | | 465,519 | |
| | 1,246,577 | | | Pliant Corp.,
11.85%, 06/15/09(9)(13) | | | 832,090 | |
| | 1,770,000 | | | Smurfit-Stone Container Corp.,
8.00%, 03/15/17(9) | | | 654,900 | |
| | 1,145,000 | | | Solo Cup Company — 144A,
10.50%, 11/01/13 | | | 1,147,862 | |
| | | | | | | | | |
| | | | | | | | 3,326,921 | |
| | | | | | | | | |
| | | | | Distribution—1.4% |
| | 7,490,000 | | | Sally Holdings LLC,
10.50%, 11/15/16 | | | 7,415,100 | |
| | | | | | | | | |
| | | | | Education—3.5% |
| | 1,375,000 | | | Education Management LLC,
8.75%, 06/01/14 | | | 1,333,750 | |
| | 7,395,000 | | | Education Management LLC,
10.25%, 06/01/16 | | | 7,228,613 | |
| | 5,165,000 | | | Laureate Education, Inc. — 144A,
10.00%, 08/15/15 | | | 4,338,600 | |
| | 5,320,244 | | | Laureate Education, Inc. — 144A,
10.25%, 08/15/15(12)(14) | | | 3,823,925 | |
| | 2,160,000 | | | Laureate Education, Inc. — 144A,
11.75%, 08/15/17 | | | 1,706,400 | |
| | | | | | | | | |
| | | | | | | | 18,431,288 | |
| | | | | | | | | |
| | | | | Electronics — 0.0% |
| | 550,000 | | | Muzak LLC,
10.00%, 02/15/09(9)(13) | | | 233,750 | |
| | | | | | | | | |
| | | | | Engineering—0.1 % |
| | 740,000 | | | Alion Science & Technology Corp.,
10.25%, 02/01/15 | | | 292,300 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation—12.4% |
| | 2,505,000 | | | AMC Entertainment, Inc.,
8.00%, 03/01/14 | | | 2,135,513 | |
| | 6,780,000 | | | AMC Entertainment, Inc.,
11.00%, 02/01/16 | | | 6,559,649 | |
| | 1,185,000 | | | Ameristar Casinos, Inc. — 144A,
9.25%, 06/01/14 | | | 1,208,700 | |
| | 3,095,000 | | | Buffalo Thunder Development Authority — 144A,
9.38%, 12/15/14(9) | | | 433,300 | |
| | 3,935,000 | | | Caesars Entertainment, Inc.,
7.88%, 03/15/10 | | | 3,600,524 | |
| | 2,075,000 | | | CCM Merger, Inc. — 144A,
8.00%, 08/01/13 | | | 1,431,750 | |
| | 935,000 | | | Chukchansi Economic Development Authority — 144A, Floating Rate, 4.91%, 11/15/12(8)(11) | | | 607,750 | |
| | 126,058 | | | Eldorado Casino Shreveport,
10.00%, 08/01/12 | | | 103,998 | |
| | 5,645,000 | | | Fontainebleau Las Vegas — 144A, Variable Rate,
11.00%, 06/15/15(1)(9) | | | 211,688 | |
See notes to financial statements.
55
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Entertainment, Leisure and Recreation (continued) |
| | | | | | | | | |
| $ | 240,000 | | | Galaxy Entertainment Finance — 144A (British Virgin Islands), Floating Rate,
6.22%, 12/15/10(11) | | $ | 218,400 | |
| | 3,255,000 | | | Galaxy Entertainment Finance — 144A (British Virgin Islands),
9.88%, 12/15/12 | | | 2,734,200 | |
| | 1,495,000 | | | GreekTown Holdings — 144A,
10.75%, 12/01/13(9) | | | 93,438 | |
| | 1,395,000 | | | Harrah’s Operating Escrow — 144A,
11.25%, 06/01/17 | | | 1,318,275 | |
| | 1,336,966 | | | HRP Myrtle Beach Holdings/CA — 144A,
14.50%, 04/01/14(9)(12) | | | 1,671 | |
| | 1,730,000 | | | HRP Myrtle Beach Operations/CA — 144A,
Floating Rate,
8.58%, 04/01/12(8)(9)(l1) | | | 17,300 | |
| | 945,000 | | | HRP Myrtle Beach Operations/CA — 144A,
12.50%, 04/01/13(9) | | | 1,181 | |
| | 1,590,000 | | | Indianapolis Downs Capital LLC & Capital Corp. — 144A,
11.00%, 11/01/12 | | | 1,232,250 | |
| | 2,060,000 | | | Inn of The Mountain Gods,
12.00%, 11/15/10(9) | | | 824,000 | |
| | 890,000 | | | Majestic Holdco LLC — 144A,
12.50%, 10/15/11(8)(9) | | | 6,675 | |
| | 2,710,000 | | | Marquee Holdings, Inc.,
9.51%, 08/15/14 | | | 2,086,700 | |
| | 210,000 | | | MGM MIRAGE, Inc.,
7.50%, 06/01/16 | | | 136,238 | |
| | 1,175,000 | | | MGM MIRAGE, Inc. — 144A,
10.38%, 05/15/14 | | | 1,219,063 | |
| | 1,175,000 | | | MGM MIRAGE, Inc. — 144A,
11.13%, 11/15/17 | | | 1,245,500 | |
| | 2,860,000 | | | Mohegan Tribal Gaming Authority,
6.38%, 07/15/09 | | | 2,788,500 | |
| | 2,050,000 | | | Mohegan Tribal Gaming Authority,
8.00%, 04/01/12 | | | 1,558,000 | |
| | 2,225,000 | | | Mohegan Tribal Gaming Authority,
7.13%, 08/15/14 | | | 1,513,000 | |
| | 2,340,000 | | | Mohegan Tribal Gaming Authority,
6.88%, 02/15/15 | | | 1,521,000 | |
| | 2,275,000 | | | OED Corp./Diamond JO,
8.75%, 04/15/12 | | | 2,036,125 | |
| | 240,000 | | | Pinnacle Entertainment, Inc.,
8.25%, 03/15/12 | | | 238,800 | |
| | 1,605,000 | | | Pinnacle Entertainment, Inc.,
7.50%, 06/15/15 | | | 1,372,275 | |
| | 555,000 | | | Pokagon Gaming Authority — 144A,
10.38%, 06/15/14 | | | 543,900 | |
| | 240,000 | | | Royal Caribbean Cruises, Ltd. (Liberia),
8.75%, 02/02/11 | | | 229,200 | |
| | 1,605,000 | | | Royal Caribbean Cruises, Ltd. (Liberia),
7.00%, 06/15/13 | | | 1,402,369 | |
| | 1,005,000 | | | Royal Caribbean Cruises, Ltd. (Liberia),
6.88%, 12/01/13 | | | 839,175 | |
| | 250,000 | | | Royal Caribbean Cruises, Ltd. (Liberia),
7.25%, 06/15/16 | | | 197,500 | |
| | 510,000 | | | Royal Caribbean Cruises, Ltd. (Liberia),
7.25%, 03/15/18 | | | 402,900 | |
| | 475,000 | | | San Pasqual Casino — 144A,
8.00%, 09/15/13(8) | | | 384,750 | |
| | 985,000 | | | Scientific Games International — 144A,
9.25%, 06/15/19 | | | 985,000 | |
| | 995,000 | | | Seminole Hard Rock Entertainment — 144A,
Floating Rate,
3.13%, 03/15/14(2) | | | 686,550 | |
| | 660,000 | | | Sheraton Holding Corp.,
7.38%, 11/15/15 | | | 607,200 | |
| | 360,000 | | | Starwood Hotels & Resorts,
6.75%, 05/15/18 | | | 308,700 | |
| | 2,435,000 | | | Tunica-Biloxi Gaming Authority — 144A,
9.00%, 11/15/15(8) | | | 2,142,800 | |
| | 5,825,000 | | | Universal City Development Partners, Ltd.,
11.75%, 04/01/10 | | | 5,548,312 | |
| | 6,495,000 | | | Universal City Florida, Floating Rate,
5.78%, 05/01/10(2) | | | 5,309,662 | |
| | 3,239,000 | | | Waterford Gaming LLC/Waterford Gaming Finance — 144A,
8.63%, 09/15/14(8) | | | 2,153,935 | |
| | 475,000 | | | WMG Acquisition Corp.,
7.38%, 04/15/14 | | | 401,969 | |
| | 2,935,000 | | | WMG Acquisition Corp. — 144A,
9.50%, 06/15/16 | | | 2,920,324 | |
| | 1,915,000 | | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
6.63%, 12/01/14 | | | 1,685,200 | |
| | | | | | | | | |
| | | | | | | | 65,204,909 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services—0.3% |
| | 1,800,000 | | | Waste Services, Inc.,
9.50%, 04/15/14 | | | 1,696,500 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing—0.4% |
| | 2,095,000 | | | United Rentals North America — 144A,
10.88%, 06/15/16 | | | 2,011,200 | |
| | | | | | | | | |
| | | | | Food and Beverage—1.4% |
| | 3,865,000 | | | ASG Consolidated LLC/ASG Finance, Inc.,
11.50%, 11/01/11 | | | 3,536,475 | |
| | 250,000 | | | Dole Foods Company, Inc.,
7.25%, 06/15/10 | | | 246,250 | |
| | 2,490,000 | | | Dole Foods Company, Inc. — 144A,
13.88%, 03/15/14 | | | 2,739,000 | |
See notes to financial statements.
56
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Food and Beverage (continued) |
| | | | | | | | | |
| $ | 1,140,000 | | | Smithfield Foods, Inc. — 144A,
10.00%, 07/15/14 | | $ | 1,125,750 | |
| | | | | | | | | |
| | | | | | | | 7,647,475 | |
| | | | | | | | | |
| | | | | Insurance—1.0% |
| | 1,120,000 | | | Alliant Holdings I, Inc. — 144A,
11.00%, 05/01/15 | | | 942,200 | |
| | 1,340,000 | | | Hub International Holdings — 144A,
9.00%, 12/15/14 | | | 1,093,775 | |
| | 2,825,000 | | | Multiplan, Inc. — 144A,
10.38%, 04/15/16 | | | 2,719,063 | |
| | 980,000 | | | USI Holdings Corp. — 144A, Floating Rate,
4.76%, 11/15/14(2) | | | 637,000 | |
| | | | | | | | | |
| | | | | | | | 5,392,038 | |
| | | | | | | | | |
| | | | | Internet Services—0.5% |
| | 2,565,000 | | | Expedia, Inc. — 144A,
8.50%, 07/01/16 | | | 2,462,400 | |
| | | | | | | | | |
| | | | | Machinery—1.5% |
| | 1,680,000 | | | Altra Industrial Motion, Inc.,
9.00%, 12/01/11 | | | 1,617,000 | |
| | 850,000 | | | Chart Industries, Inc.,
9.13%, 10/15/15 | | | 790,500 | |
| | 2,750,000 | | | Stewart & Stevenson LLC,
10.00%, 07/15/14 | | | 2,310,000 | |
| | 2,420,000 | | | Terex Corp.,
10.88%, 06/01/16 | | | 2,420,000 | |
| | 720,000 | | | Terex Corp.,
8.00%, 11/15/17 | | | 553,500 | |
| | | | | | | | | |
| | | | | | | | 7,691,000 | |
| | | | | | | | | |
| | | | | Manufacturing—0.7% |
| | 1,000,000 | | | American Railcar Industries, Inc., 7.50%, 03/01/14 | | | 872,500 | |
| | 1,535,000 | | | Bombardier, Inc. — 144A (Canada),
8.00%, 11/15/14 | | | 1,444,818 | |
| | 285,000 | | | Harland Clarke Holdings,
9.50%, 05/15/15 | | | 220,163 | |
| | 870,000 | | | RBS Global & Rexnord Corp.,
11.75%, 08/01/16 | | | 641,625 | |
| | 892,000 | | | RBS Global & Rexnord Corp. — 144A,
9.50%, 08/01/14 | | | 762,660 | |
| | 720,000 | | | Venture Holdings Trust,
Series B,
9.50%, 07/01/05(9)(13)(14) | | | 72 | |
| | | | | | | | | |
| | | | | | | | 3,941,838 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services—7.0% |
| | 2,035,000 | | | Accellent, Inc.,
10.50%, 12/01/13 | | | 1,724,663 | |
| | 2,995,000 | | | AMR Holding Company/Emcare Holding Company,
10.00%, 02/15/15 | | | 3,039,925 | |
| | 1,985,000 | | | Biomet, Inc,
10.38%, 10/15/17(12) | | | 1,920,488 | |
| | 6,895,000 | | | Biomet, Inc.,
11.63%, 10/15/17 | | | 6,757,099 | |
| | 2,490,000 | | | Bio-Rad Laboratories — 144A,
8.00%, 09/15/16 | | | 2,465,100 | |
| | 3,465,000 | | | DJO Finance LLC/DJO Finance Corp.,
10.88%, 11/15/14 | | | 3,031,875 | |
| | 1,285,000 | | | Fresenius US Finance II — 144A,
9.00%, 07/15/15 | | | 1,339,613 | |
| | 5,270,000 | | | HCA, Inc.,
9.25%, 11/15/16 | | | 5,190,949 | |
| | 2,990,000 | | | Inverness Medical Innovations,
9.00%, 05/15/16 | | | 2,892,825 | |
| | 1,930,000 | | | National Mentor Holdings, Inc.,
11.25%, 07/01/14 | | | 1,669,450 | |
| | 1,590,000 | | | Res-Care, Inc.,
7.75%, 10/15/13 | | | 1,486,650 | |
| | 535,000 | | | Universal Hospital Services, Inc., Floating Rate,
4.64%, 06/01/15(11) | | | 430,675 | |
| | 1,775,000 | | | US Oncology, Inc.,
10.75%, 08/15/14 | | | 1,757,250 | |
| | 2,905,000 | | | US Oncology, Inc. — 144A,
9.13%, 08/15/17 | | | 2,883,213 | |
| | 719,000 | | | Viant Holdings, Inc. — 144A,
10.13%, 07/15/17(8) | | | 564,415 | |
| | | | | | | | | |
| | | | | | | | 37,154,190 | |
| | | | | | | | | |
| | | | | Metals and Mining—2.7% |
| | 1,630,000 | | | CII Carbon LLC — 144A,
11.13%, 11/15/15 | | | 1,175,638 | |
| | 300,000 | | | FMG Finance Property, Ltd. — 144A (Australia), Floating Rate,
4.67%, 09/01/11(2) | | | 286,500 | |
| | 1,500,000 | | | FMG Finance Property, Ltd. — 144A (Australia),
10.63%, 09/01/16 | | | 1,440,000 | |
| | 2,145,000 | | | RathGibson, Inc.,
11.25%, 02/15/14 | | | 772,200 | |
| | 535,000 | | | Steel Dynamics, Inc.,
7.38%, 11/01/12 | | | 506,913 | |
| | 2,375,000 | | | Teck Resources, Ltd. — 144A (Canada),
9.75%, 05/15/14 | | | 2,458,125 | |
| | 1,785,000 | | | Teck Resources, Ltd. — 144A (Canada),
10.25%, 05/15/16 | | | 1,869,788 | |
| | 5,375,000 | | | Teck Resources, Ltd. — 144A (Canada),
10.75%, 05/15/19 | | | 5,778,124 | |
| | | | | | | | | |
| | | | | | | | 14,287,288 | |
| | | | | | | | | |
See notes to financial statements.
57
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Office Equipment, Supplies, and Services—0.1% |
| $ | 170,000 | | | Interface, Inc.,
9.50%, 02/01/14 | | $ | 156,400 | |
| | 580,000 | | | Interface, Inc. — 144A,
11.38%, 11/01/13 | | | 600,300 | |
| | | | | | | | | |
| | | | | | | | 756,700 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 8.2% |
| | 1,380,000 | | | Allis-Chalmers Energy, Inc.,
9.00%, 01/15/14 | | | 979,800 | |
| | 1,050,000 | | | Berry Petroleum Company,
10.25%, 06/01/14 | | | 1,060,500 | |
| | 340,000 | | | Bill Barrett Corp.,
9.88%, 07/15/16 | | | 323,585 | |
| | 3,250,000 | | | Chesapeake Energy Corp.,
9.50%, 02/15/15 | | | 3,274,375 | |
| | 1,195,000 | | | Clayton William Energy,
7.75%, 08/01/13 | | | 866,375 | |
| | 2,020,000 | | | Compton Petroleum Finance Corp. (Canada),
7.63%, 12/01/13 | | | 1,121,100 | |
| | 1,200,000 | | | Denbury Resources, Inc.,
7.50%, 12/15/15 | | | 1,140,000 | |
| | 2,685,000 | | | Denbury Resources, Inc.,
9.75%, 03/01/16 | | | 2,758,838 | |
| | 1,550,000 | | | Dynegy Holdings, Inc.,
7.63%, 10/15/26 | | | 961,000 | |
| | 1,405,000 | | | El Paso Corp.,
9.63%, 05/15/12 | | | 1,414,846 | |
| | 685,000 | | | Encore Acquisition Corp.,
7.25%, 12/01/17 | | | 587,388 | |
| | 3,120,000 | | | Forbes Energy Services,
11.00%, 02/15/15 | | | 2,308,800 | |
| | 1,735,000 | | | Holly Corp. — 144A,
9.88%, 06/15/17 | | | 1,682,950 | |
| | 1,075,000 | | | OPTI Canada, Inc. (Canada),
7.88%, 12/15/14 | | | 696,063 | |
| | 970,000 | | | OPTI Canada, Inc. (Canada),
8.25%, 12/15/14 | | | 640,200 | |
| | 525,000 | | | Parker Drilling Company,
9.63%, 10/01/13 | | | 485,625 | |
| | 1,960,000 | | | Petrohawk Energy Corp.,
9.13%, 07/15/13 | | | 1,950,200 | |
| | 1,170,000 | | | Petroleum Development Company,
12.00%, 02/15/18 | | | 982,800 | |
| | 255,000 | | | Petroplus Finance, Ltd. — 144A (Bermuda),
6.75%, 05/01/14 | | | 219,300 | |
| | 5,255,000 | | | Petroplus Finance, Ltd. — 144A (Bermuda),
7.00%, 05/01/17 | | | 4,361,649 | |
| | 2,415,000 | | | Quicksilver Resources, Inc.,
11.75%, 01/01/16 | | | 2,499,525 | |
| | 2,480,000 | | | Quicksilver Resources, Inc.,
7.13%, 04/01/16 | | | 1,934,400 | |
| | 3,040,000 | | | Sandridge Energy, Inc.,
8.63%, 04/01/15(12) | | | 2,728,400 | |
| | 1,990,000 | | | Sandridge Energy, Inc. — 144A,
8.00%, 06/01/18 | | | 1,701,450 | |
| | 2,985,000 | | | Semgroup LP — 144A,
8.75%, 11/15/15(8)(9) | | | 119,400 | |
| | 290,000 | | | SESI LLC,
6.88%, 06/01/14 | | | 263,175 | |
| | 440,000 | | | Tennessee Gas Pipeline Company, 8.00%, 02/01/16 | | | 460,900 | |
| | 580,000 | | | Tesoro Corp.,
9.75%, 06/01/19 | | | 572,750 | |
| | 5,970,000 | | | United Refining Company,
10.50%, 08/15/12 | | | 4,656,599 | |
| | 885,000 | | | Williams Companies, Inc. — 144A,
8.75%, 01/15/20 | | | 922,613 | |
| | | | | | | | | |
| | | | | | | | 43,674,606 | |
| | | | | | | | | |
| | | | | Paper and Forest Products—2.5% |
| | 1,795,000 | | | Domtar Corp.,
10.75%, 06/01/17 | | | 1,723,200 | |
| | 745,000 | | | Georgia-Pacific LLC — 144A,
7.13%, 01/15/17 | | | 692,850 | |
| | 290,000 | | | International Paper Company,
7.95%, 06/15/18 | | | 279,775 | |
| | 6,045,000 | | | International Paper Company,
9.38%, 05/15/19 | | | 6,162,025 | |
| | 665,000 | | | NewPage Corp., Floating Rate,
7.28%, 05/01/12(2) | | | 325,850 | |
| | 5,805,000 | | | NewPage Corp.,
10.00%, 05/01/12 | | | 2,786,400 | |
| | 1,445,000 | | | NewPage Corp.,
12.00%, 05/01/13 | | | 404,600 | |
| | 425,000 | | | Verso Paper Holdings LLC,
Series B, Floating Rate,
4.78%, 08/01/14(2) | | | 199,750 | |
| | 3,160,000 | | | Verso Paper Holdings LLC,
Series B,
11.38%, 08/01/16 | | | 884,800 | |
| | | | | | | | | |
| | | | | | | | 13,459,250 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development—0.4% |
| | 925,000 | | | Elan Finance PLC/Elan Finance Corp. (Ireland),
8.88%, 12/01/13 | | | 846,375 | |
| | 1,230,000 | | | Valeant Pharmaceuticals — 144A,
8.38%, 06/15/16 | | | 1,220,775 | |
| | | | | | | | | |
| | | | | | | | 2,067,150 | |
| | | | | | | | | |
| | | | | Printing and Publishing—1.8% |
| | 1,266,000 | | | Dex Media West Finance Company, Series B,
9.88%, 08/15/13(9) | | | 193,065 | |
| | 445,000 | | | Local Insight Regatta Holdings,
11.00%, 12/01/17 | | | 117,925 | |
| | 1,365,000 | | | Medimedia USA, Inc. — 144A,
11.38%, 11/15/14(8) | | | 819,000 | |
| | 4,850,000 | | | Nielsen Finance LLC/Nielsen Finance Company,
10.00%, 08/01/14 | | | 4,589,312 | |
| | 1,365,000 | | | Nielsen Finance LLC/Nielsen Finance Company,
zero coupon, 08/01/16(7) | | | 877,013 | |
See notes to financial statements.
58
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Printing and Publishing (continued) |
| | | | | | | | | |
| $ | 225,000 | | | Nielsen Finance LLC/Nielsen Finance Company — 144A,
11.63%, 02/01/14 | | $ | 223,313 | |
| | 2,390,000 | | | Nielsen Finance LLC/Nielsen Finance Company — 144A,
11.50%, 05/01/16 | | | 2,324,275 | |
| | 4,115,000 | | | Reader’s Digest Association,
9.00%, 02/15/17 | | | 185,175 | |
| | | | | | | | | |
| | | | | | | | 9,329,078 | |
| | | | | | | | | |
| | | | | Real Estate Development and Services—0.2% |
| | 1,160,000 | | | CB Richard Ellis Services, Inc. — 144A,
11.63%, 06/15/17 | | | 1,138,250 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts—0.5% |
| | 3,180,000 | | | Host Hotels & Resorts LP,
Series Q,
6.75%, 06/01/16 | | | 2,758,650 | |
| | | | | | | | | |
| | | | | Retail — 3.7% |
| | 5,695,000 | | | General Nutrition Centers, Inc., Floating Rate,
6.40%, 03/15/14(11)(12) | | | 4,556,000 | |
| | 2,150,000 | | | General Nutrition Centers, Inc.,
10.75%, 03/15/15 | | | 1,827,500 | |
| | 5,699,184 | | | Neiman Marcus Group, Inc.,
9.75%, 10/15/15(12) | | | 3,362,519 | |
| | 8,060,000 | | | Neiman Marcus Group, Inc.,
10.38%, 10/15/15(12) | | | 4,715,100 | |
| | 2,025,000 | | | Rite Aid Corp. — 144A,
9.75%, 06/12/16 | | | 2,025,000 | |
| | 360,000 | | | Sealy Mattress Corp. — 144A,
10.88%, 04/15/16 | | | 377,100 | |
| | 1,840,000 | | | Toys “R” Us, Inc.,
7.63%, 08/01/11 | | | 1,702,000 | |
| | 1,410,000 | | | Toys “R” Us, Inc.,
7.88%, 04/15/13 | | | 1,177,350 | |
| | | | | | | | | |
| | | | | | | | 19,742,569 | |
| | | | | | | | | |
| | | | | Retail: Restaurants—0.7% |
| | 1,720,000 | | | El Pollo Loco, Inc.,
11.75%, 11/15/13 | | | 1,376,000 | |
| | 2,670,000 | | | NPC International, Inc.,
9.50%, 05/01/14 | | | 2,429,700 | |
| | | | | | | | | |
| | | | | | | | 3,805,700 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets—0.5% |
| | 3,000,000 | | | SUPERVALU, Inc.,
8.00%, 05/01/16 | | | 2,910,000 | |
| | | | | | | | | |
| | | | | Rubber Products — 0.3% |
| | 1,795,000 | | | Goodyear Tire & Rubber Company,
10.50%, 05/15/16 | | | 1,812,950 | |
| | | | | | | | | |
| | | | | Semiconductors—2.4% |
| | 2,335,000 | | | Advanced Micro Devices, Inc.,
7.75%, 11/01/12 | | | 1,552,775 | |
| | 510,000 | | | Amkor Technologies, Inc.,
7.75%, 05/15/13 | | | 467,925 | |
| | 7,445,000 | | | Amkor Technologies, Inc.,
9.25%, 06/01/16 | | | 6,895,931 | |
| | 825,000 | | | Avago Technologies Finance Pte., Ltd.,
10.13%, 12/01/13 | | | 841,500 | |
| | 3,030,000 | | | Avago Technologies Finance Pte., Ltd.,
11.88%, 12/01/15 | | | 3,022,425 | |
| | | | | | | | | |
| | | | | | | | 12,780,556 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services—9.9% |
| | 2,065,000 | | | Avaya, Inc. — 144A,
9.75%, 11/01/15 | | | 1,486,800 | |
| | 1,005,000 | | | Digicel Group, Ltd. — 144A (Bermuda),
12.00%, 04/01/14 | | | 994,950 | |
| | 4,862,000 | | | Digicel Group, Ltd. — 144A (Bermuda),
9.13%, 01/15/15 | | | 4,035,460 | |
| | 3,375,000 | | | Digicel, Ltd. — 144A (Bermuda),
9.25%, 09/01/12 | | | 3,273,750 | |
| | 3,070,000 | | | Intelsat Corp. — 144A,
9.25%, 08/15/14 | | | 2,970,225 | |
| | 635,000 | | | Intelsat Corp. — 144A,
9.25%, 06/15/16 | | | 608,013 | |
| | 6,030,000 | | | Intelsat Jackson Holdings — 144A (Bermuda),
9.50%, 06/15/16 | | | 6,060,149 | |
| | 5,730,000 | | | Intelsat Jackson Holdings (Bermuda),
11.25%, 06/15/16 | | | 5,844,599 | |
| | 1,365,000 | | | Qwest Communications International, Inc.,
Series B,
7.50%, 02/15/14 | | | 1,245,563 | |
| | 420,000 | | | Qwest Corp.,
7.50%, 10/01/14 | | | 400,575 | |
| | 470,000 | | | Qwest Corp.,
7.63%, 06/15/15 | | | 441,800 | |
| | 380,000 | | | Qwest Corp. — 144A,
8.38%, 05/01/16 | | | 366,700 | |
| | 3,050,000 | | | Sprint Capital Corp.,
6.88%, 11/15/28 | | | 2,165,500 | |
| | 8,050,000 | | | Telesat (Canada) — 144A,
11.00%, 11/01/15 | | | 8,251,249 | |
| | 3,375,000 | | | Telesat (Canada) — 144A,
12.50%, 11/01/17 | | | 3,324,375 | |
| | 375,000 | | | Virgin Media Finance PLC (United Kingdom),
8.75%, 04/15/14 | | | 365,625 | |
| | 3,450,000 | | | Virgin Media Finance PLC (United Kingdom),
9.13%, 08/15/16 | | | 3,320,625 | |
| | 785,000 | | | Virgin Media Finance PLC, (United Kingdom),
Series 1,
9.50%, 08/15/16 | | | 773,225 | |
| | 5,070,000 | | | West Corp.,
9.50%, 10/15/14 | | | 4,436,250 | |
See notes to financial statements.
59
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Telecommunications Equipment and Services (continued) |
| | | | | | | | | |
| $ | 575,000 | | | Windstream Corp.,
8.63%, 08/01/16 | | $ | 550,563 | |
| | 2,230,000 | | | XM Satellite Radio Holdings — 144A,
13.00%, 08/01/13 | | | 1,814,663 | |
| | | | | | | | | |
| | | | | | | | 52,730,659 | |
| | | | | | | | | |
| | | | | Transportation—1.1% |
| | 1,590,000 | | | Greenbrier Companies, Inc.,
8.38%, 05/15/15 | | | 890,400 | |
| | 2,655,000 | | | Kansas City Southern de Mexico, SA de CV (Mexico),
7.63%, 12/01/13 | | | 2,283,300 | |
| | 805,000 | | | Kansas City Southern de Mexico, SA de CV (Mexico),
7.38%, 06/01/14 | | | 676,200 | |
| | 1,945,000 | | | Kansas City Southern Railway,
8.00%, 06/01/15 | | | 1,808,850 | |
| | 400,000 | | | TFM, SA de CV (Mexico),
9.38%, 05/01/12 | | | 380,000 | |
| | | | | | | | | |
| | | | | | | | 6,038,750 | |
| | | | | | | | | |
| | | | | Utilities — 3.7% |
| | 1,500,000 | | | AES Corp.,
8.00%, 10/15/17 | | | 1,395,000 | |
| | 182,000 | | | AES Corp. — 144A,
8.75%, 05/15/13 | | | 184,730 | |
| | 417,070 | | | AES Eastern Energy,
Series 99-A,
9.00%, 01/02/17 | | | 387,875 | |
| | 1,520,000 | | | Calpine Construction Finance Company, LP/CCFC Finance Corp. — 144A,
8.00%, 06/01/16 | | | 1,455,400 | |
| | 1,040,000 | | | Edison Mission Energy,
7.50%, 06/15/13 | | | 930,800 | |
| | 4,510,000 | | | Edison Mission Energy,
7.00%, 05/15/17 | | | 3,461,425 | |
| | 760,000 | | | Edison Mission Energy,
7.20%, 05/15/19 | | | 566,200 | |
| | 555,000 | | | NRG Energy, Inc.,
7.25%, 02/01/14 | | | 538,350 | |
| | 1,105,000 | | | NRG Energy, Inc.,
7.38%, 02/01/16 | | | 1,045,606 | |
| | 4,460,000 | | | NRG Energy, Inc.,
7.38%, 01/15/17 | | | 4,203,551 | |
| | 2,555,000 | | | NRG Energy, Inc.,
8.50%, 06/15/19 | | | 2,475,156 | |
| | 210,000 | | | RRI Energy, Inc.,
7.63%, 06/15/14 | | | 192,150 | |
| | 3,235,000 | | | RRI Energy, Inc.,
7.88%, 06/15/17 | | | 2,895,325 | |
| | | | | | | | | |
| | | | | | | | 19,731,568 | |
| | | | | | | | | |
| | | | | Total Corporate Bonds and Notes (Cost $533,960,879) | | | 465,362,438 | |
| | | | | | | | | |
| | | | | Loan Participations—9.3% |
| | 1,867,474 | | | ADESA, Inc. Term Loan B,
Variable Rate,
2.56%, 10/18/13(1) | | | 1,654,582 | |
| | 862,400 | | | AMSCAN Holdings, Inc., Term Loan, Variable Rate,
2.91%, 05/25/13(1) | | | 758,912 | |
| | 2,010,000 | | | BLB Worldwide Holdings, 2nd Lien Term Loan, Variable Rate,
5.69%, 07/18/12(1)(9) | | | 150,750 | |
| | 860,000 | | | Cannery Casino Resorts LLC, 2nd Lien Term Loan, Variable Rate,
4.57%, 05/16/14(1) | | | 621,350 | |
| | 255,304 | | | Ceva Sante Animale, Letter of Credit, Variable Rate,
3.60%, 08/02/15(1) | | | 182,542 | |
| | 764,786 | | | Ceva Sante Animale, Term Loan, Variable Rate,
3.32%, 06/29/15(1) | | | 546,822 | |
| | 434,687 | | | Dole Food Company, Inc. (Bermuda), Term Loan C, Variable Rate,
8.00%, 04/12/13(1) | | | 436,316 | |
| | 66,279 | | | Dole Food Company, Inc.,
Credit Link, Variable Rate,
1.14%, 04/12/13(1) | | | 66,527 | |
| | 116,666 | | | Dole Food Company, Inc.,
Term Loan B, Variable Rate,
8.00%, 04/12/13(1) | | | 117,103 | |
| | 4,489,662 | | | Ford Motor Company, Term Loan, Variable Rate,
3.59%, 12/16/13(1) | | | 3,265,107 | |
| | 2,164,412 | | | Freescale Semiconductor, Inc.,
Term Loan B, Variable Rate,
2.07%, 11/29/13(1) | | | 1,594,089 | |
| | 3,226,419 | | | General Nutrition Centers, Inc.,
Term Loan B, Variable Rate,
3.02%, 09/16/13(1) | | | 2,868,287 | |
| | 1,710,019 | | | Great Lakes Entertainment, LLC, Term Loan, Variable Rate,
9.00%, 08/15/12(1) | | | 1,624,518 | |
| | 305,168 | | | Hawker Beechcraft Acquisition Company, LLC, Letter of Credit, Variable Rate,
2.60%, 03/26/14(1) | | | 209,612 | |
| | 5,183,791 | | | Hawker Beechcraft Acquisition Company, LLC, Term Loan, Variable Rate,
2.41%, 03/26/14(1) | | | 3,560,617 | |
| | 3,260,000 | | | Hit Entertainment, Inc., Tranche LN227528, 2nd Lien
Term Loan, Variable Rate,
6.51%, 02/05/13(1) | | | 1,108,400 | |
| | 750,000 | | | Neff Rental, Inc., 2nd Lien
Term Loan, Variable Rate,
3.82%, 11/20/14(1) | | | 146,250 | |
| | 3,083,800 | | | NewPage Corp., 1st Lien Term Loan, Variable Rate,
4.06%, 12/21/14(1) | | | 2,678,622 | |
| | 1,328,052 | | | Nielsen Finance, LLC, Term Loan, Variable Rate,
2.32%, 08/09/13(1) | | | 1,198,567 | |
See notes to financial statements.
60
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Loan Participations (continued) |
| | | | | | | | | |
| $ | 2,250,000 | | | Panolam Industries, Term Loan, Variable Rate,
5.00%, 09/30/12(1) | | $ | 1,755,000 | |
| | 2,047,674 | | | Rental Services Corp., 2nd Lien
Term Loan, Variable Rate,
4.48%, 11/30/13(1) | | | 1,576,709 | |
| | 2,580,000 | | | Rite Aid Corp., Tranche 4,
Term Loan, Variable Rate,
9.50%, 05/06/15(1) | | | 2,575,699 | |
| | 3,095,406 | | | Sabre, Inc., Term Loan B,
Variable Rate,
3.00%, 09/30/14(1) | | | 2,230,903 | |
| | 191,393 | | | Smurfit-Stone Container Corp., CAD Revolver, Variable Rate,
3.11%, 11/01/09(1) | | | 174,168 | |
| | 224,044 | | | Smurfit-Stone Container Corp., Offering Credit Link,
Variable Rate,
4.50%, 11/01/10(1) | | | 205,374 | |
| | 577,156 | | | Smurfit-Stone Container Corp., Revolver, Variable Rate,
3.27%, 11/02/09(1) | | | 525,212 | |
| | 677,043 | | | Smurfit-Stone Container Corp.,
Term Loan C, Variable Rate, 2.63%, 11/01/11(1) | | | 620,341 | |
| | 175,282 | | | Smurfit-Stone Container Corp.,
Term Loan Cl, Variable Rate, 2.63%, 11/01/11(1) | | | 160,602 | |
| | 346,511 | | | Smurift-Stone Container Corp.,
Term Loan B, Variable Rate, 2.63%, 11/01/11(1) | | | 317,635 | |
| | 5,073,555 | | | Texas Competitive Electric Holdings, Term Loan B2, Variable Rate, 3.82%, 10/10/14(1) | | | 3,638,059 | |
| | 5,110,000 | | | Toys “R” Us-Delaware, Inc.,
Term Loan B, Variable Rate,
4.57%, 07/19/12(1) | | | 4,709,188 | |
| | 3,681,506 | | | Travelport LLC, Dollar Term Loan, Variable Rate,
2.91%, 08/23/13(1) | | | 2,905,323 | |
| | 668,494 | | | Travelport LLC, Letter of Credit, Variable Rate,
3.10%, 08/23/13(1) | | | 527,553 | |
| | 2,210,000 | | | Travelport LLC, Term Loan C, Variable Rate,
10.50%, 08/23/13(1) | | | 2,150,606 | |
| | 1,440,000 | | | Veyance Technologies, Inc., 2nd Lien Term Loan, Variable Rate,
6.07%, 07/13/15(1) | | | 378,000 | |
| | 1,684,480 | | | Viant Holdings, Inc., Term Loan B, Variable Rate,
2.85%, 06/25/14(1) | | | 1,448,653 | |
| | 460,931 | | | Yankee Candle Company, Inc. (The), Term Loan B, Variable Rate,
2.31%, 02/06/14(1) | | | 413,916 | |
| | | | | | | | | |
| | | | | Total Loan Participations
(Cost $51,828,602) | | | 49,101,914 | |
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 0.0% |
| | | | | Airlines — 0.0% |
| | 12,233 | | | Delta Air Lines, Inc. * | | $ | 70,829 | |
| | 500,000 | | | Delta Air Lines, Inc. (Escrow Certificates)* | | | 3,500 | |
| | | | | | | | | |
| | | | | | | | 74,329 | |
| | | | | | | | | |
| | | | | Banks and Financial Services—0.0% |
| | 2,697,805 | | | Adelphia Contingent Value Vehicle CVV, Series Acc — 1* | | | 67,445 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media—0.0% |
| | 840,000 | | | Adelphia Communications
(Escrow Certificates)* | | | 15,750 | |
| | 620,000 | | | Adelphia Communications
(Escrow Certificates)* | | | 11,625 | |
| | 1,305,000 | | | Adelphia Communications, Series B (Escrow Certificates)* | | | 24,469 | |
| | | | | | | | | |
| | | | | | | | 51,844 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation—0.0% |
| | 970 | | | HRP — Class B*(14) | | | — | |
| | 889 | | | Shreveport Gaming Holdings, Inc.(14) | | | 12,055 | |
| | | | | | | | | |
| | | | | Real Estate Development and Services—0.0% |
| | 10,080 | | | Ashton Woods USA LLC, — Class B — 144A* | | | — | |
| | | | | | | | | |
| | | | | Utilities — 0.0% |
| | 550,000 | | | Mirant Corp.
(Escrow Certificates)*(14) | | | 55 | |
| | 1,220,000 | | | Mirant Corp.
(Escrow Certificates)*(14) | | | 1 | |
| | | | | | | | | |
| | | | | | | | 56 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $3,189,643) | | | 205,729 | |
| | | | | | | | | |
| | | | | Preferred Stocks — 0.1% |
| | | | | Entertainment, Leisure and Recreation |
| | 3,709,670 | | | Fontainebleau Resorts — 144A, 12.50%(12)(14)
(Cost $3,641,694) | | | 402,128 | |
| | | | | | | | | |
| | | | | Convertible Preferred Stocks — 0.4% |
| | | | | Oil, Coal and Gas — 0.2% |
| | 2,304 | | | Chesapeake Energy Corp. — 144A, 5.00% | | | 153,792 | |
| | 19,142 | | | Chesapeake Energy Corp.,
4.50% | | | 1,208,339 | |
| | | | | | | | | |
| | | | | | | | 1,362,131 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services—0.2% |
| | 18,825 | | | Crown Castle International Corp., 6.25%* | | | 893,011 | |
| | | | | | | | | |
| | | | | Total Convertible Preferred Stocks (Cost $3,003,505) | | | 2,255,142 | |
| | | | | | | | | |
See notes to financial statements.
61
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Convertible Bonds — 0.7% |
| | | | | Machinery—0.2% |
| $ | 1,080,000 | | | Terex Corp.,
4.00%, 06/01/15 | | $ | 1,057,050 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services—0.3% |
| | 1,750,000 | | | LifePoint Hospitals, Inc.,
3.25%, 08/15/25 | | | 1,400,000 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 0.1% |
| | 800,000 | | | Petroplus Finance, Ltd., Series PPHN — 144A (Bermuda),
3.38%, 03/26/13 | | | 677,049 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services—0.1% |
| | 510,000 | | | Virgin Media, Inc., (United Kingdom) — 144A,
6.50%, 11/15/16 | | | 395,250 | |
| | | | | | | | | |
| | | | | Total Convertible Bonds
(Cost $3,038,430) | | | 3,529,349 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $598,662,753) | | | 520,856,700 | |
| | | | | | | | | |
| | | | | Repurchase Agreements—0.6% |
| | 2,968,343 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $2,968,344 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $3,031,358)
(Cost $2,968,343) | | | 2,968,343 | |
| | | | | | | | | |
| | | | | Total Investments — 98.8%
(Cost $601,631,096) | | | 523,825,043 | |
| | | | | Other assets less liabilities — 1.2% | | | 6,184,386 | |
| | | | | | | | | |
| | | | | Net Assets—100.0% | | $ | 530,009,429 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $601,631,096.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 18,585,868 | |
| Gross unrealized depreciation | | | (96,391,921 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (77,806,053 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
62
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 60.0% |
| | | | | Aerospace and Defense — 1.6% |
| | 2,533 | | | Boeing Company (The) | | $ | 107,653 | |
| | 527 | | | L-3 Communications Holdings, Inc. | | | 36,563 | |
| | 7,288 | | | Lockheed Martin Corp. | | | 587,777 | |
| | 12,563 | | | Northrop Grumman Corp. | | | 573,878 | |
| | 1,652 | | | Raytheon Company | | | 73,398 | |
| | 2,854 | | | Rockwell Collins, Inc. | | | 119,097 | |
| | 16,581 | | | United Technologies Corp. | | | 861,549 | |
| | | | | | | | | |
| | | | | | | | 2,359,915 | |
| | | | | | | | | |
| | | | | Agriculture — 0.8% |
| | 16,305 | | | Archer-Daniels-Midland Company | | | 436,484 | |
| | 3,811 | | | Bunge, Ltd. (Bermuda) | | | 229,613 | |
| | 1,097 | | | CF Industries Holdings, Inc. | | | 81,332 | |
| | 5,653 | | | Monsanto Company | | | 420,244 | |
| | | | | | | | | |
| | | | | | | | 1,167,673 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 0.5% |
| | 1,593 | | | Aeropostale, Inc.* | | | 54,592 | |
| | 2,264 | | | Chico’s FAS, Inc.* | | | 22,029 | |
| | 3,372 | | | Foot Locker, Inc. | | | 35,305 | |
| | 5,621 | | | Gap, Inc. (The) | | | 92,184 | |
| | 3,330 | | | Jones Apparel Group, Inc. | | | 35,731 | |
| | 182 | | | Nordstrom, Inc. | | | 3,620 | |
| | 13,482 | | | Ross Stores, Inc. | | | 520,405 | |
| | | | | | | | | |
| | | | | | | | 763,866 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.6% |
| | 769 | | | BorgWarner, Inc. | | | 26,261 | |
| | 5,907 | | | Federal-Mogul Corp.* | | | 55,821 | |
| | 18,735 | | | Ford Motor Company* | | | 113,721 | |
| | 22,882 | | | Johnson Controls, Inc. | | | 496,998 | |
| | 10,588 | | | TRW Automotive Holdings Corp.* | | | 119,644 | |
| | | | | | | | | |
| | | | | | | | 812,445 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 6.3% |
| | 2,038 | | | Affiliated Managers Group, Inc.* | | | 118,591 | |
| | 18,835 | | | American Express Company | | | 437,725 | |
| | 4,162 | | | Ameriprise Financial, Inc. | | | 101,012 | |
| | 92,752 | | | Bank of America Corp. | | | 1,224,326 | |
| | 13,975 | | | Bank of New York Mellon Corp. | | | 409,607 | |
| | 11,960 | | | BB&T Corp. | | | 262,881 | |
| | 890 | | | BlackRock, Inc. | | | 156,124 | |
| | 3,933 | | | Capital One Financial Corp. | | | 86,054 | |
| | 11,219 | | | Charles Schwab Corp. (The) | | | 196,781 | |
| | 120,459 | | | Citigroup, Inc. | | | 357,763 | |
| | 770 | | | CME Group, Inc. | | | 239,555 | |
| | 6,495 | | | Comerica, Inc. | | | 137,369 | |
| | 6,586 | | | Eaton Vance Corp. | | | 176,176 | |
| | 7,061 | | | Federated Investors, Inc. — Class B | | | 170,099 | |
| | 6,260 | | | Franklin Resources, Inc. | | | 450,783 | |
| | 5,653 | | | Hudson City Bancorp, Inc. | | | 75,128 | |
| | 3,717 | | | Invesco, Ltd. (Bermuda) | | | 66,237 | |
| | 620 | | | Investment Technology Group, Inc.* | | | 12,642 | |
| | 42,977 | | | JPMorgan Chase & Company | | | 1,465,946 | |
| | 3,925 | | | MF Global Ltd. (Bermuda)* | | | 23,275 | |
| | 3,431 | | | Moody’s Corp. | | | 90,407 | |
| | 11,394 | | | Morgan Stanley | | | 324,843 | |
| | 1,696 | | | PNC Financial Services Group, Inc. | | | 65,822 | |
| | 2,833 | | | State Street Corp. | | | 133,718 | |
| | 501 | | | Student Loan Corp. (The) | | | 18,637 | |
| | 2,680 | | | SunTrust Banks, Inc. | | | 44,086 | |
| | 12,817 | | | T Rowe Price Group, Inc. | | | 534,084 | |
| | 27,007 | | | US Bancorp | | | 483,965 | |
| | 4,777 | | | Waddell & Reed Financial, Inc. — Class A | | | 125,969 | |
| | 56,465 | | | Wells Fargo & Company | | | 1,369,842 | |
| | | | | | | | | |
| | | | | | | | 9,359,447 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 2.0% |
| | 8,039 | | | CBS Corp. — Class B | | | 55,630 | |
| | 42,530 | | | Comcast Corp. — Class A | | | 616,259 | |
| | 6,705 | | | Comcast Corp. — Special Class A | | | 94,541 | |
| | 1,531 | | | CTC Media, Inc.* | | | 18,096 | |
| | 1,946 | | | DISH Network Corp. — Class A* | | | 31,545 | |
| | 11,439 | | | Liberty Media Corp. — Interactive, Class A* | | | 57,309 | |
| | 2,169 | | | McGraw-Hill Companies, Inc. (The) | | | 65,309 | |
| | 42,960 | | | News Corp. — Class A | | | 391,366 | |
| | 14,758 | | | News Corp. — Class B | | | 155,992 | |
| | 3,467 | | | Scripps Networks Interactive — Class A | | | 96,487 | |
| | 4,140 | | | Time Warner Cable, Inc. | | | 131,114 | |
| | 23,519 | | | Time Warner, Inc. | | | 592,443 | |
| | 25,073 | | | Walt Disney Company (The) | | | 584,953 | |
| | | | | | | | | |
| | | | | | | | 2,891,044 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 0.7% |
| | 20,030 | | | Accenture, Ltd. — Class A (Bermuda) | | | 670,203 | |
| | 5,534 | | | Manpower, Inc. | | | 234,310 | |
| | 1,706 | | | Robert Half International, Inc. | | | 40,296 | |
| | 7,409 | | | SEI Investments Company | | | 133,658 | |
| | | | | | | | | |
| | | | | | | | 1,078,467 | |
| | | | | | | | | |
| | | | | Chemicals — 0.5% |
| | 1,102 | | | Air Products & Chemicals, Inc. | | | 71,178 | |
| | 991 | | | Ashland, Inc. | | | 27,798 | |
| | 124 | | | Celanese Corp. — Series A | | | 2,945 | |
| | 15,724 | | | Dow Chemical Company (The) | | | 253,786 | |
| | 3,158 | | | Eastman Chemical Company | | | 119,688 | |
| | 6,994 | | | EI du Pont de Nemours and Company | | | 179,186 | |
See notes to financial statements.
63
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Chemicals (continued) |
| | | | | | | | | |
| | 11,535 | | | Huntsman Corp. | | $ | 58,021 | |
| | 300 | | | Nalco Holding Company | | | 5,052 | |
| | | | | | | | | |
| | | | | | | | 717,654 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 6.1% |
| | 7,934 | | | Adobe Systems, Inc.* | | | 224,532 | |
| | 9,396 | | | Apple, Inc.* | | | 1,338,272 | |
| | 2,200 | | | Autodesk, Inc.* | | | 41,756 | |
| | 5,084 | | | Cadence Design Systems, Inc.* | | | 29,996 | |
| | 35,443 | | | Dell, Inc.* | | | 486,632 | |
| | 2,825 | | | Electronic Arts, Inc.* | | | 61,359 | |
| | 30,589 | | | EMC Corp.* | | | 400,716 | |
| | 20,395 | | | Hewlett-Packard Company | | | 788,267 | |
| | 15,086 | | | Ingram Micro, Inc. — Class A* | | | 264,005 | |
| | 13,420 | | | International Business Machines Corp. | | | 1,401,316 | |
| | 108,427 | | | Microsoft Corp. | | | 2,577,310 | |
| | 15,685 | | | NetApp, Inc.* | | | 309,308 | |
| | 38,560 | | | Oracle Corp. | | | 825,955 | |
| | 905 | | | SanDisk Corp.* | | | 13,294 | |
| | 14,232 | | | Seagate Technology (Cayman Islands) | | | 148,867 | |
| | 10,575 | | | Sun Microsystems, Inc.* | | | 97,502 | |
| | | | | | | | | |
| | | | | | | | 9,009,087 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 3.2% |
| | 6,108 | | | Altria Group, Inc. | | | 100,110 | |
| | 9,275 | | | Colgate-Palmolive Company | | | 656,114 | |
| | 13,937 | | | Lorillard, Inc. | | | 944,510 | |
| | 410 | | | NBTY, Inc.* | | | 11,529 | |
| | 25,002 | | | Philip Morris International, Inc. | | | 1,090,587 | |
| | 32,426 | | | Procter & Gamble Company (The) | | | 1,656,969 | |
| | 4,478 | | | Toro Company (The) | | | 133,892 | |
| | 2,123 | | | Whirlpool Corp. | | | 90,355 | |
| | | | | | | | | |
| | | | | | | | 4,684,066 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.2% |
| | 6,126 | | | Ball Corp. | | | 276,651 | |
| | 2,392 | | | Packaging Corp. of America | | | 38,750 | |
| | | | | | | | | |
| | | | | | | | 315,401 | |
| | | | | | | | | |
| | | | | Distribution — 0.1% |
| | 2,590 | | | Tech Data Corp.* | | | 84,719 | |
| | | | | | | | | |
| | | | | Diversified Operations and Services — 1.0% |
| | 120,297 | | | General Electric Company | | | 1,409,881 | |
| | | | | | | | | |
| | | | | Electronics — 0.7% |
| | 3,146 | | | Arrow Electronics, Inc.* | | | 66,821 | |
| | 4,650 | | | Avnet, Inc.* | | | 97,790 | |
| | 16,960 | | | Emerson Electric Company | | | 549,503 | |
| | 2,391 | | | Garmin, Ltd. (Cayman Islands) | | | 56,954 | |
| | 14,166 | | | Harman International Industries, Inc. | | | 266,321 | |
| | 3,182 | | | Jabil Circuit, Inc. | | | 23,610 | |
| | | | | | | | | |
| | | | | | | | 1,060,999 | |
| | | | | | | | | |
| | | | | Engineering — 0.1% |
| | 810 | | | Fluor Corp. | | | 41,545 | |
| | 1,660 | | | Jacobs Engineering Group, Inc.* | | | 69,869 | |
| | 1,107 | | | URS Corp.* | | | 54,819 | |
| | | | | | | | | |
| | | | | | | | 166,233 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.6% |
| | 8 | | | Boyd Gaming Corp.* | | | 68 | |
| | 14,358 | | | Carnival Corp. (Panama) | | | 370,006 | |
| | 1,012 | | | Choice Hotels International, Inc. | | | 26,929 | |
| | 15,620 | | | Marriott International, Inc. — Class A | | | 344,743 | |
| | 1,648 | | | Penn National Gaming, Inc.* | | | 47,973 | |
| | 1,926 | | | Royal Caribbean Cruises, Ltd. (Liberia) | | | 26,078 | |
| | 6,933 | | | Wyndham Worldwide Corp. | | | 84,028 | |
| | | | | | | | | |
| | | | | | | | 899,825 | |
| | | | | | | | | |
| | | | | Food and Beverage — 1.8% |
| | 16,332 | | | Coca-Cola Company (The) | | | 783,773 | |
| | 7,962 | | | Coca-Cola Enterprises, Inc. | | | 132,567 | |
| | 8,088 | | | Hansen Natural Corp.* | | | 249,272 | |
| | 3,193 | | | Hershey Company (The) | | | 114,948 | |
| | 7,690 | | | Hormel Foods Corp. | | | 265,613 | |
| | 17,414 | | | PepsiCo, Inc. | | | 957,072 | |
| | 3,250 | | | Smithfield Foods, Inc.* | | | 45,403 | |
| | 13,914 | | | Tyson Foods, Inc. — Class A | | | 175,456 | |
| | | | | | | | | |
| | | | | | | | 2,724,104 | |
| | | | | | | | | |
| | | | | Insurance — 1.4% |
| | 6,302 | | | Aflac, Inc. | | | 195,929 | |
| | 2,231 | | | Allstate Corp. (The) | | | 54,436 | |
| | 504 | | | Chubb Corp. (The) | | | 20,100 | |
| | 12,421 | | | Coventry Health Care, Inc.* | | | 232,397 | |
| | 6,288 | | | Lincoln National Corp. | | | 108,216 | |
| | 12,653 | | | MetLife, Inc. | | | 379,717 | |
| | 796 | | | Principal Financial Group, Inc. | | | 14,997 | |
| | 7,641 | | | Prudential Financial, Inc. | | | 284,398 | |
| | 10,485 | | | Travelers Companies, Inc. (The) | | | 430,304 | |
| | 17,859 | | | Unum Group | | | 283,244 | |
| | | | | | | | | |
| | | | | | | | 2,003,738 | |
| | | | | | | | | |
| | | | | Internet Services — 2.6% |
| | 4,453 | | | Amazon.com, Inc.* | | | 372,538 | |
| | 80,179 | | | Cisco Systems, Inc.* | | | 1,494,537 | |
| | 17,017 | | | eBay, Inc.* | | | 291,501 | |
| | 3,033 | | | Google, Inc. — Class A* | | | 1,278,682 | |
| | 14,180 | | | Symantec Corp.* | | | 220,641 | |
See notes to financial statements.
64
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Internet Services (continued) |
| | | | | | | | | |
| | 8,192 | | | VeriSign, Inc.* | | $ | 151,388 | |
| | 2,519 | | | Yahoo!, Inc.* | | | 39,448 | |
| | | | | | | | | |
| | | | | | | | 3,848,735 | |
| | | | | | | | | |
| | | | | Machinery — 0.5% |
| | 5,309 | | | AGCO Corp.* | | | 154,333 | |
| | 130 | | | Caterpillar, Inc. | | | 4,295 | |
| | 5,568 | | | Cummins, Inc. | | | 196,049 | |
| | 9,129 | | | Deere & Company | | | 364,704 | |
| | 903 | | | Rockwell Automation, Inc. | | | 29,004 | |
| | | | | | | | | |
| | | | | | | | 748,385 | |
| | | | | | | | | |
| | | | | Manufacturing — 0.2% |
| | 1,136 | | | Cooper Industries, Ltd. — Class A (Bermuda) | | | 35,273 | |
| | 2,807 | | | Dover Corp. | | | 92,884 | |
| | 797 | | | Eaton Corp. | | | 35,554 | |
| | 11 | | | Honeywell International, Inc. | | | 345 | |
| | 242 | | | Trinity Industries, Inc. | | | 3,296 | |
| | 6,316 | | | Tyco International, Ltd. (Switzerland) | | | 164,090 | |
| | | | | | | | | |
| | | | | | | | 331,442 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 3.0% |
| | 4,577 | | | Baxter International, Inc. | | | 242,398 | |
| | 102 | | | Beckman Coulter, Inc. | | | 5,828 | |
| | 1,144 | | | Becton, Dickinson and Company | | | 81,579 | |
| | 28,607 | | | Boston Scientific Corp.* | | | 290,075 | |
| | 1,877 | | | Cardinal Health, Inc. | | | 57,342 | |
| | 172 | | | Gen-Probe, Inc.* | | | 7,393 | |
| | 4,252 | | | Hologic, Inc.* | | | 60,506 | |
| | 6,475 | | | Humana, Inc.* | | | 208,884 | |
| | 30,505 | | | Johnson & Johnson | | | 1,732,683 | |
| | 3,028 | | | McKesson Corp. | | | 133,232 | |
| | 12,130 | | | Medtronic, Inc. | | | 423,216 | |
| | 8,479 | | | Stryker Corp. | | | 336,955 | |
| | 14,847 | | | UnitedHealth Group, Inc. | | | 370,878 | |
| | 840 | | | WellCare Health Plans, Inc.* | | | 15,532 | |
| | 4,726 | | | WellPoint, Inc.* | | | 240,506 | |
| | 3,825 | | | Zimmer Holdings, Inc.* | | | 162,945 | |
| | | | | | | | | |
| | | | | | | | 4,369,952 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.7% |
| | 12,501 | | | Alcoa, Inc. | | | 129,135 | |
| | 2,934 | | | Allegheny Technologies, Inc. | | | 102,485 | |
| | 6,480 | | | Commercial Metals Company | | | 103,874 | |
| | 1,766 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 88,494 | |
| | 2,081 | | | Newmont Mining Corp. | | | 85,050 | |
| | 2,216 | | | Nucor Corp. | | | 98,457 | |
| | 7,943 | | | Reliance Steel & Aluminum Company | | | 304,933 | |
| | 2,394 | | | Schnitzer Steel Industries, Inc. — Class A | | | 126,547 | |
| | | | | | | | | |
| | | | | | | | 1,038,975 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 7.6% |
| | 5,061 | | | Alpha Natural Resources, Inc.* | | | 132,952 | |
| | 4,494 | | | Apache Corp. | | | 324,242 | |
| | 3,372 | | | Chesapeake Energy Corp. | | | 66,867 | |
| | 23,392 | | | Chevron Corp. | | | 1,549,720 | |
| | 6,139 | | | Cimarex Energy Company | | | 173,979 | |
| | 26,858 | | | ConocoPhillips | | | 1,129,647 | |
| | 14,714 | | | Devon Energy Corp. | | | 801,913 | |
| | 297 | | | EOG Resources, Inc. | | | 20,172 | |
| | 6,177 | | | Exterran Holdings, Inc.* | | | 99,079 | |
| | 54,542 | | | Exxon Mobil Corp. | | | 3,813,030 | |
| | 6,382 | | | Frontier Oil Corp. | | | 83,668 | |
| | 2,513 | | | Hercules Offshore, Inc.* | | | 9,977 | |
| | 1,209 | | | Hess Corp. | | | 64,984 | |
| | 4,022 | | | Marathon Oil Corp. | | | 121,183 | |
| | 308 | | | Mariner Energy, Inc.* | | | 3,619 | |
| | 1,452 | | | Noble Corp. | | | 43,923 | |
| | 9,532 | | | Occidental Petroleum Corp. | | | 627,301 | |
| | 23,720 | | | Patterson-UTI Energy, Inc. | | | 305,039 | |
| | 5,522 | | | Peabody Energy Corp. | | | 166,544 | |
| | 2,498 | | | Pioneer Natural Resources Company | | | 63,699 | |
| | 18,119 | | | Schlumberger, Ltd. (Netherlands Antilles) | | | 980,419 | |
| | 1,353 | | | Southwestern Energy Company* | | | 52,564 | |
| | 2,334 | | | St. Mary Land & Exploration Company | | | 48,711 | |
| | 4,424 | | | Tesoro Corp. | | | 56,318 | |
| | 821 | | | Transocean, Ltd. (Switzerland)* | | | 60,992 | |
| | 2,307 | | | Unit Corp.* | | | 63,604 | |
| | 24,489 | | | Valero Energy Corp. | | | 413,619 | |
| | 3,026 | | | XTO Energy, Inc. | | | 115,412 | |
| | | | | | | | | |
| | | | | | | | 11,393,177 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 0.2% |
| | 624 | | | International Paper Company | | | 9,441 | |
| | 6,301 | | | Plum Creek Timber Company, Inc. | | | 187,644 | |
| | 2,166 | | | Rayonier, Inc. | | | 78,734 | |
| | 1,446 | | | Weyerhaeuser Company | | | 44,002 | |
| | | | | | | | | |
| | | | | | | | 319,821 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 5.4% |
| | 10,107 | | | Abbott Laboratories | | | 475,433 | |
| | 1,782 | | | Allergan, Inc. | | | 84,788 | |
| | 17,000 | | | Amgen, Inc.* | | | 899,980 | |
| | 9,292 | | | Biogen Idec, Inc.* | | | 419,534 | |
| | 19,957 | | | Bristol-Myers Squibb Company | | | 405,327 | |
| | 929 | | | Celgene Corp.* | | | 44,443 | |
See notes to financial statements.
65
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Pharmaceuticals/Research and Development (continued) |
| | | | | | | | | |
| | 312 | | | Charles River Laboratories International, Inc.* | | $ | 10,530 | |
| | 26,311 | | | Eli Lilly and Company | | | 911,413 | |
| | 6,601 | | | Forest Laboratories, Inc.* | | | 165,751 | |
| | 7,599 | | | Genzyme Corp.* | | | 423,036 | |
| | 18,605 | | | Gilead Sciences, Inc.* | | | 871,458 | |
| | 3,822 | | | Medco Health Solutions, Inc.* | | | 174,321 | |
| | 26,921 | | | Merck & Company, Inc. | | | 752,711 | |
| | 103,533 | | | Pfizer, Inc. | | | 1,552,996 | |
| | 9,516 | | | Schering-Plough Corp. | | | 239,042 | |
| | 10,907 | | | Wyeth | | | 495,069 | |
| | | | | | | | | |
| | | | | | | | 7,925,832 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 0.0% |
| | 1,838 | | | RR Donnelley & Sons Company | | | 21,358 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.7% |
| | 1,389 | | | AvalonBay Communities, Inc. | | | 77,701 | |
| | 416 | | | Duke Realty Corp. | | | 3,648 | |
| | 262 | | | Equity Residential | | | 5,824 | |
| | 2,861 | | | Federal Realty Investment Trust | | | 147,399 | |
| | 9,359 | | | Host Hotels & Resorts, Inc. | | | 78,522 | |
| | 4,596 | | | Kimco Realty Corp. | | | 46,190 | |
| | 5,756 | | | Liberty Property Trust | | | 132,618 | |
| | 4,927 | | | Regency Centers Corp. | | | 172,002 | |
| | 6,963 | | | Simon Property Group, Inc. | | | 358,107 | |
| | | | | | | | | |
| | | | | | | | 1,022,011 | |
| | | | | | | | | |
| | | | | Registered Investment Companies — 0.0% |
| | 5,350 | | | Allied Capital Corp. | | | 18,618 | |
| | | | | | | | | |
| | | | | Retail — 3.0% |
| | 7,687 | | | Big Lots, Inc.* | | | 161,658 | |
| | 9,952 | | | CVS Caremark Corp. | | | 317,170 | |
| | 6,859 | | | Dollar Tree, Inc.* | | | 288,764 | |
| | 15,388 | | | Family Dollar Stores, Inc. | | | 435,480 | |
| | 2,562 | | | HSN, Inc.* | | | 27,080 | |
| | 2,754 | | | Kohl’s Corp.* | | | 117,734 | |
| | 16,053 | | | PetSmart, Inc. | | | 344,497 | |
| | 363 | | | Sears Holdings Corp.* | | | 24,147 | |
| | 2,543 | | | Target Corp. | | | 100,372 | |
| | 17,652 | | | TJX Companies, Inc. (The) | | | 555,332 | |
| | 11,258 | | | Walgreen Company | | | 330,985 | |
| | 34,273 | | | Wal-Mart Stores, Inc. | | | 1,660,185 | |
| | | | | | | | | |
| | | | | | | | 4,363,404 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 0.1% |
| | 395 | | | McDonald’s Corp. | | | 22,709 | |
| | 138 | | | Panera Bread Company — Class A* | | | 6,881 | |
| | 3,555 | | | YUM! Brands, Inc. | | | 118,523 | |
| | | | | | | | | |
| | | | | | | | 148,113 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 0.0% |
| | 263 | | | Safeway, Inc. | | | 5,357 | |
| | | | | | | | | |
| | | | | Scientific and Technical Instruments — 0.2% |
| | 7,990 | | | Thermo Fisher Scientific, Inc.* | | | 325,752 | |
| | | | | | | | | |
| | | | | Semiconductors — 1.6% |
| | 10,877 | | | Broadcom Corp. — Class A* | | | 269,641 | |
| | 1,568 | | | Cypress Semiconductor Corp.* | | | 14,426 | |
| | 12,472 | | | Integrated Device Technology, Inc.* | | | 75,331 | |
| | 86,099 | | | Intel Corp. | | | 1,424,939 | |
| | 26,872 | | | LSI Corp.* | | | 122,536 | |
| | 886 | | | Marvell Technology Group, Ltd. (Bermuda)* | | | 10,313 | |
| | 18,468 | | | Texas Instruments, Inc. | | | 393,368 | |
| | | | | | | | | |
| | | | | | | | 2,310,554 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 2.9% |
| | 1,704 | | | ADC Telecommunications, Inc.* | | | 13,564 | |
| | 67,652 | | | AT&T, Inc.(1) | | | 1,680,476 | |
| | 10,597 | | | Embarq Corp.* | | | 445,710 | |
| | 14,237 | | | Motorola, Inc. | | | 94,391 | |
| | 5,091 | | | NII Holdings, Inc.* | | | 97,085 | |
| | 19,228 | | | QUALCOMM, Inc. | | | 869,106 | |
| | 58,790 | | | Sprint Nextel Corp.* | | | 282,780 | |
| | 4,713 | | | Telephone and Data Systems, Inc. | | | 133,378 | |
| | 16,129 | | | Tellabs, Inc.* | | | 92,419 | |
| | 18,755 | | | Verizon Communications, Inc. | | | 576,341 | |
| | | | | | | | | |
| | | | | | | | 4,285,250 | |
| | | | | | | | | |
| | | | | Transportation — 1.4% |
| | 4,516 | | | CH Robinson Worldwide, Inc. | | | 235,509 | |
| | 6,168 | | | Expeditors International of Washington, Inc. | | | 205,641 | |
| | 7,817 | | | FedEx Corp. | | | 434,782 | |
| | 1,713 | | | Norfolk Southern Corp. | | | 64,529 | |
| | 21,096 | | | United Parcel Service, Inc. — Class B | | | 1,054,589 | |
| | | | | | | | | |
| | | | | | | | 1,995,050 | |
| | | | | | | | | |
| | | | | Utilities — 1.7% |
| | 33 | | | American Water Works Company, Inc. | | | 631 | |
| | 97 | | | Calpine Corp.* | | | 1,082 | |
| | 60,260 | | | Duke Energy Corp. | | | 879,194 | |
| | 53,827 | | | Dynegy, Inc. — Class A* | | | 122,187 | |
| | 15,099 | | | Exelon Corp. | | | 773,220 | |
| | 3,066 | | | FPL Group, Inc. | | | 174,333 | |
| | 971 | | | Integrys Energy Group, Inc. | | | 29,120 | |
| | 2,295 | | | MDU Resources Group, Inc. | | | 43,536 | |
| | 12,199 | | | Mirant Corp.* | | | 192,012 | |
| | 12,521 | | | NiSource, Inc. | | | 145,995 | |
See notes to financial statements.
66
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Utilities (continued) |
| | | | | | | | | |
| | 1,919 | | | PPL Corp. | | $ | 63,250 | |
| | 4,018 | | | Public Service Enterprise Group, Inc. | | | 131,107 | |
| | | | | | | | | |
| | | | | | | | 2,555,667 | |
| | | | | | | | | |
| | | | | Total Common Stocks (Cost $103,471,553) | | | 88,536,017 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | US Treasury Securities — 0.5% |
| | | | | US Treasury Bonds — 0.1% |
| $ | 95,000 | | | 3.50%, 02/15/39 | | | 82,146 | |
| | | | | | | | | |
| | | | | US Treasury Inflation Index — 0.4% |
| | 183,200 | | | 1.75%, 01/15/28 | | | 172,895 | |
| | 427,042 | | | 2.50%, 01/15/29 | | | 453,731 | |
| | | | | | | | | |
| | | | | | | | 626,626 | |
| | | | | | | | | |
| | | | | US Treasury Notes — 0.0% |
| | 4,000 | | | 3.13%, 05/15/19 | | | 3,869 | |
| | | | | | | | | |
| | | | | Total US Treasury Securities (Cost $658,676) | | | 712,641 | |
| | | | | | | | | |
| | | | | US Government Agency Securities — 12.3% |
| | | | | Asset Backed: Mortgage and Home Equity — 1.6% |
| | 600,000 | | | Fannie Mae Grantor Trust,
Series 2001-T2, Class B, 6.02%, 11/25/10(5) | | | 629,554 | |
| | 137,866 | | | Fannie Mae,
Series 1999-7, Class AB, 6.00%, 03/25/29(5) | | | 147,068 | |
| | 760,000 | | | Fannie Mae,
Series 2003-35, Class TE, 5.00%, 05/25/18(5) | | | 800,937 | |
| | 328,405 | | | Fannie Mae,
Series 2004-60, Class LB, 5.00%, 04/25/34(5) | | | 345,162 | |
| | 426,554 | | | Fannie Mae,
Series 2004-99, Class AO, 5.50%, 01/25/34(5) | | | 449,389 | |
| | | | | | | | | |
| | | | | | | | 2,372,110 | |
| | | | | | | | | |
| | | | | Fannie Mae — 7.0% |
| | 1,577,174 | | | PL# 256219, 5.50%, 04/01/36(5) | | | 1,624,228 | |
| | 66,158 | | | PL# 535675, 7.00%, 01/01/16(5) | | | 70,127 | |
| | 915 | | | PL# 549906, 7.50%, 09/01/30(5) | | | 999 | |
| | 1,412 | | | PL# 552549, 7.50%, 09/01/30(5) | | | 1,541 | |
| | 562 | | | PL# 558384, 7.50%, 01/01/31(5) | | | 614 | |
| | 1,904 | | | PL# 568677, 7.50%, 01/01/31(5) | | | 2,079 | |
| | 267 | | | PL# 572762, 7.50%, 03/01/31(5) | | | 291 | |
| | 15,360 | | | PL# 582178, 7.50%, 06/01/31(5) | | | 16,768 | |
| | 12,669 | | | PL# 594316, 6.50%, 07/01/31(5) | | | 13,616 | |
| | 2,374 | | | PL# 602859, 6.50%, 10/01/31(5) | | | 2,551 | |
| | 11,343 | | | PL# 614924, 7.00%, 12/01/16(5) | | | 12,055 | |
| | 625,302 | | | PL# 735580, 5.00%, 06/01/35(5) | | | 639,249 | |
| | 38,806 | | | PL# 785183, 6.00%, 07/01/34(5) | | | 40,807 | |
| | 42,272 | | | PL# 793193, 5.50%, 07/01/19(5) | | | 44,555 | |
| | 266,665 | | | PL# 793693, 6.00%, 08/01/34(5) | | | 280,420 | |
| | 203,418 | | | PL# 888022, 5.00%, 02/01/36(5) | | | 207,828 | |
| | 900,000 | | | TBA, 5.50%, 07/01/24 | | | 941,625 | |
| | 200,000 | | | TBA, 6.00%, 07/01/24 | | | 211,688 | |
| | 4,100,000 | | | TBA, 5.00%, 07/01/39 | | | 4,174,312 | |
| | 2,000,000 | | | TBA, 5.50%, 07/01/39 | | | 2,064,376 | |
| | | | | | | | | |
| | | | | | | | 10,349,729 | |
| | | | | | | | | |
| | | | | Federal Agricultural Mortgage Corp. — 0.3% |
| | 350,000 | | | 144A, 5.13%, 04/19/17(5) | | | 370,765 | |
| | | | | | | | | |
| | | | | Freddie Mac Gold — 1.4% |
| | 73,518 | | | PL# A39644, 5.50%, 11/01/35(5) | | | 76,148 | |
| | 900,000 | | | TBA, 5.00%, 07/01/24 | | | 930,375 | |
| | 1,000,000 | | | TBA, 5.00%, 07/01/39 | | | 1,016,875 | |
| | | | | | | | | |
| | | | | | | | 2,023,398 | |
| | | | | | | | | |
| | | | | Government National Mortgage Association — 1.8% |
| | 2,389 | | | PL# 461836, 7.00%, 01/15/28(5) | | | 2,606 | |
| | 164,629 | | | PL# 604404, 5.00%, 06/15/33(5) | | | 168,925 | |
| | 484,221 | | | PL# 639093, 5.00%, 01/15/35 | | | 495,948 | |
| | 364,159 | | | PL# 639865, 5.00%, 06/15/35 | | | 372,978 | |
| | 80,719 | | | PL# 781881, 5.00%, 03/15/35 | | | 82,421 | |
| | 200,000 | | | TBA, 5.00%, 07/01/39 | | | 203,313 | |
| | 1,300,000 | | | TBA, 5.50%, 07/01/39 | | | 1,338,609 | |
| | | | | | | | | |
| | | | | | | | 2,664,800 | |
| | | | | | | | | |
| | | | | Resolution Funding Strips — 0.2% |
| | 250,000 | | | Zero coupon, 07/15/18(8) | | | 170,339 | |
| | 250,000 | | | Zero coupon, 10/15/18(8) | | | 168,122 | |
| | | | | | | | | |
| | | | | | | | 338,461 | |
| | | | | | | | | |
| | | | | Total US Government Agency Securities
(Cost $17,786,701) | | | 18,119,263 | |
| | | | | | | | | |
| | | | | Corporate Bonds and Notes — 24.9% |
| | | | | Advertising — 0.0% |
| | 10,000 | | | Lamar Media Corp.,
Series B,
6.63%, 08/15/15 | | | 8,450 | |
| | | | | | | | | |
| | | | | Airlines — 0.5% |
| | 400,000 | | | Continental Airlines, Inc., Series 2007-1A, 5.98%, 04/19/22(5) | | | 330,000 | |
| | 300,000 | | | Delta Air Lines, Inc.,
Series 2000-1, Class A-2,
7.57%, 11/18/10(5) | | | 286,500 | |
| | 90,756 | | | Delta Air Lines, Inc.,
Series 2007-1, Class A,
6.82%, 08/10/22(5) | | | 75,328 | |
| | | | | | | | | |
| | | | | | | | 691,828 | |
| | | | | | | | | |
| | | | | Automobile: Rental — 0.0% |
| | 35,000 | | | Hertz Corp.,
8.88%, 01/01/14 | | | 32,200 | |
| | | | | | | | | |
See notes to financial statements.
67
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.3% |
| $ | 300,000 | | | Daimler Chrysler NA Holding, 5.88%, 03/15/11(5) | | $ | 304,987 | |
| | 970,000 | | | General Motors Corp., 8.25%, 07/15/23(9) | | | 118,825 | |
| | | | | | | | | |
| | | | | | | | 423,812 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 4.2% |
| | 100,000 | | | AGFC Capital Trust I — 144A, Variable Rate, 6.00%, 01/15/67(1) | | | 21,000 | |
| | 200,000 | | | Aiful Corp. — 144A (Japan), 5.00%, 08/10/10(5) | | | 122,000 | |
| | 190,000 | | | American Express Company,
Variable Rate,
6.80%, 09/01/66(1)(5) | | | 136,800 | |
| | 10,000 | | | BAC Capital Trust XIV,
Variable Rate,
5.63%, perpetual(1) | | | 5,000 | |
| | 140,000 | | | Bear Stearns Companies, Inc. (The), 7.25%, 02/01/18(5) | | | 147,558 | |
| | 210,000 | | | Caterpillar Financial Service Corp., Series MTNF, 6.20%, 09/30/13(5) | | | 222,339 | |
| | 330,000 | | | Citigroup, Inc.,
5.00%, 09/15/14(5) | | | 276,645 | |
| | 300,000 | | | Citigroup, Inc.,
6.88%, 03/05/38(5) | | | 264,950 | |
| | 220,000 | | | Ford Motor Credit Company LLC, 7.38%, 10/28/09 | | | 218,114 | |
| | 129,000 | | | Ford Motor Credit Company LLC, Floating Rate, 5.88%, 06/15/11(2) | | | 111,908 | |
| | 480,000 | | | General Electric Capital Corp., Series MTNA,
6.88%, 01/10/39 | | | 432,054 | |
| | 160,000 | | | Glitnir Banki HF — 144A (Iceland), 6.33%, 07/28/11(8)(9) | | | 26,000 | |
| | 380,000 | | | Glitnir Banki HF — 144A (Iceland), Variable Rate, 6.69%, 06/15/16(1)(8)(9) | | | 38 | |
| | 645,000 | | | GMAC LLC — 144A, 6.63%, 05/15/12 | | | 538,574 | |
| | 108,000 | | | GMAC LLC — 144A, 7.50%, 12/31/13 | | | 83,700 | |
| | 85,000 | | | GMAC LLC — 144A, 8.00%, 12/31/18 | | | 53,975 | |
| | 165,000 | | | GMAC LLC — 144A, 8.00%, 11/01/31 | | | 115,500 | |
| | 20,000 | | | Goldman Sachs Capital II,
Variable Rate,
5.79%, perpetual (1) | | | 12,189 | |
| | 170,000 | | | Goldman Sachs Group, Inc. (The), 4.50%, 06/15/10 | | | 174,201 | |
| | 70,000 | | | Goldman Sachs Group, Inc. (The), 5.45%, 11/01/12 | | | 72,379 | |
| | 200,000 | | | ICICI Bank, Ltd. — REG S (India), Variable Rate, 6.38%, 04/30/22(1) | | | 156,215 | |
| | 220,000 | | | JPMorgan Chase & Company, 5.13%, 09/15/14 | | | 218,935 | |
| | 270,000 | | | JPMorgan Chase & Company, 5.15%, 10/01/15 | | | 266,144 | |
| | 220,000 | | | JPMorgan Chase & Company, 6.13%, 06/27/17 | | | 217,369 | |
| | 130,000 | | | Kaupthing Bank hf — 144A (Iceland), 7.13%, 05/19/16(8)(9) | | | 13 | |
| | 710,000 | | | Kaupthing Bank hf — 144A,
Series 1 (Iceland), 7.63%, 02/28/15(8)(9)(14) | | | 55,025 | |
| | 140,000 | | | Landisbanki Islands hf — 144A (Iceland), 6.10%, 08/25/11(8)(9) | | | 4,200 | |
| | 120,000 | | | Lehman Brothers E — Capital Trust I, Floating Rate, 3.02%, 08/19/65(2)(9) | | | 12 | |
| | 100,000 | | | Lehman Brothers Holdings, Inc.,
Series MTN, 5.25%, 02/06/12(9) | | | 14,750 | |
| | 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) | | | 148,820 | |
| | 260,000 | | | Morgan Stanley,
Series MTN,
5.63%, 01/09/12 | | | 266,086 | |
| | 100,000 | | | Morgan Stanley,
Series MTNF, Floating Rate, 1.56%, 10/18/16(2) | | | 80,882 | |
| | 235,000 | | | Resona Preferred Global Securities — 144A (Cayman Islands),
Variable Rate, 7.19%, perpetual(1) | | | 171,550 | |
| | 270,000 | | | RSHB Capital (Luxembourg), 6.30%, 05/15/17 | | | 232,200 | |
| | 260,000 | | | Santander Issuances — 144A (Spain), Variable Rate, 5.81%, 06/20/16(1) | | | 209,139 | |
| | 60,000 | | | SLM Corp.,
Series MTN,
5.05%, 11/14/14 | | | 46,422 | |
| | 265,000 | | | SLM Corp.,
Series MTNA,
5.00%, 10/01/13 | | | 214,347 | |
| | 10,000 | | | SLM Corp.,
Series MTNA,
5.00%, 04/15/15 | | | 7,617 | |
| | 45,000 | | | SLM Corp.,
Series MTNA,
5.63%, 08/01/33 | | | 27,706 | |
| | 310,000 | | | TNK-BP Finance SA — 144A (Luxembourg),
7.50%, 07/18/16 | | | 264,275 | |
| | 430,000 | | | Wachovia Corp.,
5.25%, 08/01/14 | | | 420,786 | |
See notes to financial statements.
68
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Banks and Financial Services (continued) |
| | | | | | | | | |
| $ | 130,000 | | | Wells Fargo Capital X, 5.95%, 12/15/36 | | $ | 96,200 | |
| | | | | | | | | |
| | | | | | | | 6,153,665 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 0.7% |
| | 60,000 | | | CCH I, LLC/CCH I Capital Corp., 11.00%, 10/01/15(8)(9) | | | 7,200 | |
| | 150,000 | | | Comcast Cable Communications, 8.88%, 05/01/17(5) | | | 176,366 | |
| | 240,000 | | | Comcast Corp., 6.50%, 01/15/15(5) | | | 254,565 | |
| | 20,000 | | | Comcast Corp., 6.50%, 01/15/17(5) | | | 21,217 | |
| | 20,000 | | | Comcast Corp., 5.88%, 02/15/18(5) | | | 20,273 | |
| | 15,000 | | | CSC Holdings, Inc. — 144A, 8.63%, 02/15/19 | | | 14,588 | |
| | 10,000 | | | CSC Holdings, Inc.,
Series B,
7.63%, 04/01/11 | | | 9,900 | |
| | 70,000 | | | DIRECTV Holdings LLC/DIRECTV Financing Company, Inc.,
8.38%, 03/15/13 | | | 70,175 | |
| | 30,000 | | | Dish DBS Corp.,
7.00%, 10/01/13 | | | 28,500 | |
| | 25,000 | | | Dish DBS Corp.,
7.75%, 05/31/15 | | | 23,813 | |
| | 10,000 | | | Liberty Media Corp., 5.70%, 05/15/13 | | | 8,650 | |
| | 10,000 | | | News America, Inc., 6.65%, 11/15/37 | | | 8,995 | |
| | 35,000 | | | Rogers Cable, Inc. (Canada), 6.75%, 03/15/15 | | | 37,073 | |
| | 10,000 | | | Time Warner Cable, Inc., 8.75%, 02/14/19 | | | 11,649 | |
| | 130,000 | | | Time Warner Cable, Inc., 8.25%, 04/01/19 | | | 147,500 | |
| | 80,000 | | | Time Warner Entertainment, 8.38%, 07/15/33 | | | 89,546 | |
| | 160,000 | | | Time Warner, Inc., 6.88%, 05/01/12(5) | | | 171,159 | |
| | | | | | | | | |
| | | | | | | | 1,101,169 | |
| | | | | | | | | |
| | | | | Chemicals — 0.0% |
| | 27,000 | | | Westlake Chemical Corp., 6.63%, 01/15/16 | | | 23,625 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 0.0% |
| | 65,000 | | | K Hovnanian Enterprises, Inc., 6.25%, 01/15/15 | | | 33,150 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 0.1% |
| | 100,000 | | | Reynolds American, Inc., 6.75%, 06/15/17 | | | 93,370 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.1% |
| | 25,000 | | | Boyd Gaming Corp., 6.75%, 04/15/14 | | | 20,250 | |
| | 80,000 | | | Boyd Gaming Corp., 7.13%, 02/01/16 | | | 59,299 | |
| | 30,000 | | | Inn of The Mountain Gods, 12.00%, 11/15/10(9) | | | 12,000 | |
| | 5,000 | | | MGM MIRAGE,
6.63%, 07/15/15 | | | 3,263 | |
| | 45,000 | | | MGM MIRAGE, Inc., 7.63%, 01/15/17 | | | 29,138 | |
| | 15,000 | | | Mohegan Tribal Gaming Authority, 6.13%, 02/15/13 | | | 11,325 | |
| | 10,000 | | | Station Casinos, Inc., 6.88%, 03/01/16(8)(9) | | | 250 | |
| | 90,000 | | | Station Casinos, Inc., 7.75%, 08/15/16(8)(9) | | | 31,050 | |
| | | | | | | | | |
| | | | | | | | 166,575 | |
| | | | | | | | | |
| | | | | 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) | | | 92,500 | |
| | | | | | | | | |
| | | | | Food and Beverage — 0.2% |
| | 310,000 | | | Diageo Capital PLC (United Kingdom), 7.38%, 01/15/14(5) | | | 350,751 | |
| | | | | | | | | |
| | | | | Funeral Services — 0.0% |
| | 10,000 | | | Service Corp. International, 6.75%, 04/01/16 | | | 9,025 | |
| | 40,000 | | | Service Corp. International, 7.63%, 10/01/18 | | | 37,100 | |
| | 35,000 | | | Service Corp. International, 7.50%, 04/01/27 | | | 27,475 | |
| | | | | | | | | |
| | | | | | | | 73,600 | |
| | | | | | | | | |
| | | | | Insurance — 0.3% |
| | 40,000 | | | American International Group, Inc.,
Series MTNG, 5.85%, 01/16/18(5) | | | 21,162 | |
| | 40,000 | | | ASIF Global Financing XIX — 144A,
4.90%, 01/17/13(5) | | | 34,029 | |
| | 50,000 | | | Humana, Inc.,
7.20%, 06/15/18 | | | 45,057 | |
| | 300,000 | | | Merna Reinsurance, Ltd.,
Series B — 144A (Bermuda), Floating Rate, 2.35%, 07/07/10(2) | | | 279,420 | |
| | | | | | | | | |
| | | | | | | | 379,668 | |
| | | | | | | | | |
| | | | | Manufacturing — 0.0% |
| | 30,000 | | | Tyco International Group SA (Luxembourg),
6.38%, 10/15/11 | | | 31,612 | |
| | | | | | | | | |
See notes to financial statements.
69
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 0.4% |
| $ | 125,000 | | | DaVita, Inc.,
6.63%, 03/15/13 | | $ | 117,813 | |
| | 6,000 | | | HCA, Inc.,
6.30%, 10/01/12 | | | 5,505 | |
| | 160,000 | | | HCA, Inc.,
6.75%, 07/15/13 | | | 140,800 | |
| | 11,000 | | | HCA, Inc.,
5.75%, 03/15/14 | | | 8,800 | |
| | 20,000 | | | HCA, Inc.,
9.13%, 11/15/14 | | | 19,800 | |
| | 160,000 | | | HCA, Inc.,
9.25%, 11/15/16 | | | 157,599 | |
| | 27,000 | | | HCA, Inc.,
9.63%, 11/15/16(12) | | | 26,730 | |
| | 45,000 | | | Tenet Healthcare Corp. — 144A, 9.00%, 05/01/15 | | | 45,338 | |
| | 45,000 | | | Tenet Healthcare Corp. — 144A, 10.00%, 05/01/18 | | | 47,250 | |
| | 20,000 | | | WellPoint, Inc.,
5.88%, 06/15/17 | | | 19,574 | |
| | | | | | | | | |
| | | | | | | | 589,209 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.7% |
| | 180,000 | | | Alcoa, Inc.,
6.00%, 07/15/13(5) | | | 175,861 | |
| | 230,000 | | | Evraz Group SA — 144A (Luxembourg),
8.88%, 04/24/13 | | | 188,600 | |
| | 190,000 | | | Freeport-McMoRan Copper & Gold, Inc.,
8.38%, 04/01/17(5) | | | 191,425 | |
| | 210,000 | | | Rio Tinto Finance USA, Ltd. (Australia),
6.50%, 07/15/18 | | | 210,123 | |
| | 65,000 | | | Steel Dynamics, Inc., 6.75%, 04/01/15 | | | 57,850 | |
| | 101,000 | | | Vale Overseas, Ltd. (Cayman Islands),
6.88%, 11/21/36 | | | 95,900 | |
| | 130,000 | | | Vedanta Resources PLC — 144A (United Kingdom), 8.75%, 01/15/14 | | | 118,300 | |
| | | | | | | | | |
| | | | | | | | 1,038,059 | |
| | | | | | | | | |
| | | | | Office Equipment, Supplies, and Services — 0.0% |
| | 40,000 | | | Xerox Corp.,
6.75%, 02/01/17 | | | 36,400 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 3.0% |
| | 235,000 | | | Anadarko Finance Company,
Series B (Canada),
7.50%, 05/01/31(5) | | | 229,306 | |
| | 35,000 | | | Anadarko Petroleum Corp., 6.45%, 09/15/36(5) | | | 31,462 | |
| | 150,000 | | | Apache Corp.,
6.00%, 09/15/13(5) | | | 163,212 | |
| | 5,000 | | | Chesapeake Energy Corp., 6.38%, 06/15/15 | | | 4,450 | |
| | 20,000 | | | Chesapeake Energy Corp., 6.25%, 01/15/18 | | | 16,600 | |
| | 5,000 | | | Chesapeake Energy Corp., 7.25%, 12/15/18 | | | 4,350 | |
| | 105,000 | | | Complete Production Services, Inc., 8.00%, 12/15/16 | | | 89,775 | |
| | 80,000 | | | Conoco, Inc.,
6.95%, 04/15/29(5) | | | 86,201 | |
| | 140,000 | | | ConocoPhillips, 6.50%, 02/01/39(5) | | | 149,021 | |
| | 125,000 | | | Dynegy Holdings, Inc., 7.75%, 06/01/19 | | | 97,344 | |
| | 86,000 | | | El Paso Corp., Series MTN, 7.80%, 08/01/31 | | | 70,151 | |
| | 25,000 | | | El Paso Corp., Series MTN, 7.75%, 01/15/32 | | | 20,351 | |
| | 130,000 | | | El Paso Natural Gas, 8.38%, 06/15/32(5) | | | 141,405 | |
| | 500,000 | | | El Paso Performance-Link — 144A, 7.75%, 07/15/11 | | | 490,693 | |
| | 250,000 | | | Enterprise Products Operating LLP, 9.75%, 01/31/14(5) | | | 287,377 | |
| | 120,000 | | | Gaz Capital (Gazprom) — 144A (Luxembourg),
6.21%, 11/22/16 | | | 100,200 | |
| | 150,000 | | | Hess Corp.,
8.13%, 02/15/19 | | | 170,768 | |
| | 20,000 | | | Hess Corp.,
7.88%, 10/01/29(5) | | | 21,693 | |
| | 110,000 | | | Hess Corp.,
7.30%, 08/15/31(5) | | | 113,547 | |
| | 180,000 | | | Kerr-McGee Corp., 6.95%, 07/01/24 | | | 167,018 | |
| | 110,000 | | | Kerr-McGee Corp., 7.88%, 09/15/31 | | | 107,338 | |
| | 190,000 | | | Kinder Morgan Energy Partners LP, 6.75%, 03/15/11 | | | 199,135 | |
| | 50,000 | | | Kinder Morgan Energy Partners LP, 5.85%, 09/15/12 | | | 52,126 | |
| | 20,000 | | | Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 | | | 19,841 | |
| | 200,000 | | | Kinder Morgan Energy Partners LP, Series MTN,
6.95%, 01/15/38 | | | 193,738 | |
| | 150,000 | | | Occidental Petroleum Corp., 7.00%, 11/01/13 | | | 171,731 | |
| | 50,000 | | | OPTI Canada, Inc. (Canada), 7.88%, 12/15/14 | | | 32,375 | |
| | 75,000 | | | OPTI Canada, Inc. (Canada), 8.25%, 12/15/14 | | | 49,500 | |
| | 40,000 | | | Peabody Energy Corp.,
Series B,
6.88%, 03/15/13 | | | 39,600 | |
| | 307,000 | | | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | | | 277,661 | |
| | 80,000 | | | Petrobas International Finance Company (Cayman Islands), 6.13%, 10/06/16 | | | 82,000 | |
| | 30,000 | | | Pride International, Inc., 7.38%, 07/15/14 | | | 29,775 | |
See notes to financial statements.
70
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Oil, Coal and Gas (continued) |
| | | | | | | | | |
| $ | 25,000 | | | Semgroup LP — 144A, 8.75%, 11/15/15(8)(9) | | $ | 1,000 | |
| | 80,000 | | | Shell International Finance (the Netherlands),
6.38%, 12/15/38 | | | 87,138 | |
| | 95,000 | | | Suburban Propane Partners, 6.88%, 12/15/13 | | | 87,400 | |
| | 20,000 | | | Williams Companies, Inc., 8.75%, 03/15/32 | | | 20,100 | |
| | 320,000 | | | Williams Companies, Inc.,
Series A,
7.50%, 01/15/31 | | | 281,600 | |
| | 190,000 | | | XTO Energy, Inc., 7.50%, 04/15/12 | | | 210,472 | |
| | 60,000 | | | XTO Energy, Inc., 6.50%, 12/15/18 | | | 64,370 | |
| | | | | | | | | |
| | | | | | | | 4,461,824 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 0.1% |
| | 110,000 | | | Weyerhaeuser Company, 6.75%, 03/15/12 | | | 110,040 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 0.2% | | | | |
| | 40,000 | | | AmerisourceBergen Corp., 5.88%, 09/15/15(5) | | | 38,126 | |
| | 120,000 | | | FMC Finance III SA (Luxembourg), 6.88%, 07/15/17 | | | 111,600 | |
| | 110,000 | | | Wyeth,
5.95%, 04/01/37 | | | 113,798 | |
| | | | | | | | | |
| | | | | | | | 263,524 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 0.1% |
| | 80,000 | | | Reed Elsevier Capital, 8.63%, 01/15/19 | | | 90,894 | |
| | 30,000 | | | Sun Media Corp. (Canada), 7.63%, 02/15/13 | | | 19,725 | |
| | 40,000 | | | TL Acquisitions, Inc. — 144A, 10.50%, 01/15/15 | | | 32,400 | |
| | | | | | | | | |
| | | | | | | | 143,019 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Banks and Financial Services — 0.1% |
| | 190,000 | | | Morgan Stanley Capital I,
Series 2005-HQ6, Class A4A, 4.99%, 08/13/42 | | | 162,323 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Credit Cards — 0.4% |
| | 640,000 | | | Washington Mutual Master Note Trust — 144A,
Series 2006-A3A, Class A3, Floating Rate, 0.35%, 09/15/13(3) | | | 639,019 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Mortgage and Home Equity — 9.2% |
| | 266,020 | | | Accredited Mortgage Loan Trust,
Series 2005-3, Class A1,
Floating Rate,
0.55%, 09/25/35(3) | | | 190,541 | |
| | 121,679 | | | Adjustable Rate Mortgage Trust,
Series 2004-2, Class 7A2,
Floating Rate,
0.73%, 02/25/35(3)(5) | | | 65,592 | |
| | 40,010 | | | Adjustable Rate Mortgage Trust,
Series 2004-5, Class 7A2,
Floating Rate,
0.69%, 04/25/35(3) | | | 32,521 | |
| | 250,000 | | | Banc of America Commercial Mortgage, Inc.,
Series 2005-5, Class A4,
5.12%, 10/10/45(5) | | | 213,459 | |
| | 2,679,679 | | | Bear Stearns Asset Backed Securities, Inc.,
Series 07-SD1, Class 1A3A, 6.50%, 10/25/36(5) | | | 1,445,610 | |
| | 1,311,189 | | | Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A2, Floating Rate, 0.52%, 12/25/36(3) | | | 212,690 | |
| | 280,036 | | | Countrywide Alternative Loan Trust,
Series 2005-36, Class 3A1,
Floating Rate,
4.85%, 08/25/35(3)(5) | | | 181,082 | |
| | 723,941 | | | Countrywide Alternative Loan Trust,
Series 2005-56, Class 4A1,
Floating Rate,
0.62%, 11/25/35(3) | | | 323,365 | |
| | 782,321 | | | Countrywide Alternative Loan Trust,
Series 2005-59, Class 1A1,
Floating Rate,
0.64%, 11/20/35(3)(5) | | | 353,331 | |
| | 148,553 | | | Countrywide Asset-Backed Certificates,
Series 2005-4, Class AF3,
4.46%, 10/25/35 | | | 135,294 | |
| | 339,168 | | | Countrywide Home Equity Loan Trust,
Series 2005-G, Class 2A,
Floating Rate, 0.55%, 12/15/35(3) | | | 130,776 | |
| | 684,029 | | | Countrywide Home Loans — 144A,
Series 2005-R3, Class AF,
Floating Rate,
0.71%, 09/25/35(3)(5) | | | 461,993 | |
| | 720,000 | | | GE Capital Commercial Mortgage Corp.,
Series 2007-C1, Class A4, 5.54%, 12/10/49(5) | | | 497,378 | |
| | 667,368 | | | GMAC Mortgage Corp. Loan Trust,
Series 2005-AR1, Class 3A, Floating Rate, 4.63%, 03/18/35(3) | | | 391,758 | |
| | 1,091,276 | | | GMAC Mortgage Corp. Loan Trust,
Series 2006-HE1, Class A,
Floating Rate,
0.52%, 11/25/36(3) | | | 332,936 | |
See notes to financial statements.
71
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Private Asset Backed: Mortgage and Home Equity (continued) |
| | | | | | | | | |
| $ | 424,696 | | | GSAMP Trust — 144A,
Series 2006-SD2, Class A1, Floating Rate, 0.42%, 05/25/46(3)(5) | | $ | 354,350 | |
| | 228,480 | | | Impac CMB Trust,
Series 2004-6, Class 1A1,
Floating Rate, 1.11%, 10/25/34(3) | | | 101,617 | |
| | 542,720 | | | IndyMac INDA Mortgage Loan Trust,
Series 2007-AR7, Class 1A1, Floating Rate, 6.11%, 09/25/37(3) | | | 354,042 | |
| | 187,344 | | | IndyMac Index Mortgage Loan Trust,
Series 2005-AR15, Class A2, 5.10%, 09/25/35 | | | 115,825 | |
| | 590,487 | | | IndyMac Index Mortgage Loan Trust,
Series 2007-AR15, Class 2A1, Floating Rate, 5.69%, 08/25/37(3) | | | 267,761 | |
| | 441,905 | | | JPMorgan Mortgage Trust,
Series 2004-A3, Class 1A1, Floating Rate, 3.86%, 07/25/34(3) | | | 387,382 | |
| | 431,328 | | | Lehman XS Trust,
Series 2005-5N, Class 1A1, Floating Rate, 0.61%, 11/25/35(3) | | | 180,425 | |
| | 322,382 | | | Lehman XS Trust,
Series 2005-7N, Class 1A1B, Floating Rate, 0.61%, 12/25/35(3) | | | 79,030 | |
| | 369,882 | | | Lehman XS Trust,
Series 2006-GP4, Class 3A1A, Floating Rate, 0.38%, 08/25/46(3) | | | 299,722 | |
| | 308,054 | | | Merrill Lynch Mortgage Investors Trust,
Series 2004-A3, Class 4A3, Floating Rate, 5.03%, 05/25/34(3) | | | 273,423 | |
| | 1,098,000 | | | Merrill Lynch Mortgage Investors, Inc.,
Series 2005-A4, Class 2A2, 4.46%, 07/25/35 | | | 690,449 | |
| | 1,300,000 | | | Merrill Lynch Mortgage Investors, Inc.,
Series 2005-A5, Class A3, 4.44%, 06/25/35 | | | 636,943 | |
| | 500,000 | | | Merrill Lynch Mortgage Trust,
Series 2006-C1, Class A4,
Floating Rate,
5.66%, 05/12/39(3) | | | 407,079 | |
| | 168,786 | | | MLCC Mortgage Investors, Inc.,
Series 2003-F, Class A1,
Floating Rate,
0.63%, 10/25/28(3) | | | 127,796 | |
| | 167,037 | | | Morgan Stanley Mortgage Loan Trust,
Series 2004-6AR, Class 1A, Floating Rate, 0.76%, 07/25/34(3) | | | 99,312 | |
| | 623,345 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 1A1, 5.50%, 05/25/35 | | | 590,035 | |
| | 289,958 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 1A2, 6.00%, 05/25/35 | | | 277,906 | |
| | 1,552,252 | | | Prime Mortgage Trust — 144A,
Series 2006-DR1, Class 2A1, 5.50%, 05/25/35 | | | 1,106,738 | |
| | 1,398,021 | | | Residential Accredit Loans, Inc.,
Series 2005-QO3, Class A1, Floating Rate, 0.71%, 10/25/45(3) | | | 634,591 | |
| | 711,510 | | | Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-15, Class 1A1,
5.06%, 07/25/35 | | | 487,681 | |
| | 284,856 | | | Structured Asset Mortgage Investments, Inc.,
Series 2003-AR4, Class A1, Floating Rate, 0.66%, 01/19/34(3) | | | 141,673 | |
| | 261,370 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A, Floating Rate, 0.63%, 01/25/45(3) | | | 131,445 | |
| | 455,755 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1, Floating Rate, 0.60%, 10/25/45(3) | | | 238,433 | |
| | 488,309 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1B3, Floating Rate, 0.67%, 10/25/45(3) | | | 158,439 | |
| | 573,464 | | | Washington Mutual Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A2, Floating Rate, 0.59%, 11/25/45(3) | | | 260,702 | |
| | 442,666 | | | Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4, Class 4A1, 5.50%, 04/25/37 | | | 267,577 | |
| | | | | | | | | |
| | | | | | | | 13,638,702 | |
| | | | | | | | | |
| | | | | Private Asset Backed: Student Loans — 0.1% |
| | 170,000 | | | Nelnet Student Loan Trust,
Series 2008-4, Class A4,
Floating Rate,
2.57%, 04/25/17(2) | | | 167,498 | |
| | | | | | | | | |
See notes to financial statements.
72
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | | | | | |
| | | | | Real Estate Development and Services — 0.0% |
| $ | 230,000 | | | Realogy Corp.,
12.38%, 04/15/15 | | $ | 64,400 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.1% |
| | 50,000 | | | Host Hotels & Resorts LP, Series Q, 6.75%, 06/01/16 | | | 43,375 | |
| | 40,000 | | | Ventas Realty LP/Ventas Capital Corp.,
6.75%, 04/01/17 | | | 35,900 | |
| | | | | | | | | |
| | | | | | | | 79,275 | |
| | | | | | | | | |
| | | | | Retail — 0.2% |
| | 252,622 | | | CVS Caremark Corp. — 144A, 6.94%, 01/10/30(5) | | | 228,580 | |
| | 20,000 | | | JC Penney & Company, Inc., 7.40%, 04/01/37 | | | 15,784 | |
| | | | | | | | | |
| | | | | | | | 244,364 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 0.1% |
| | 93,000 | | | Delhaize America, Inc., 9.00%, 04/15/31(5) | | | 112,896 | |
| | | | | | | | | |
| | | | | Scientific and Technical Instruments — 0.1% |
| | 80,000 | | | Cie Generale de Geophysique (France),
7.50%, 05/15/15 | | | 73,400 | |
| | 40,000 | | | Cie Generale de Geophysique (France),
7.75%, 05/15/17 | | | 36,400 | |
| | | | | | | | | |
| | | | | | | | 109,800 | |
| | | | | | | | | |
| | | | | Semiconductors — 0.0% |
| | 25,000 | | | Freescale Semiconductor, Inc., 8.88%, 12/15/14 | | | 12,625 | |
| | 40,000 | | | MagnaChip Semiconductor, Ltd. (Luxembourg), Floating Rate, 5.25%, 12/15/11(2)(9) | | | 20 | |
| | | | | | | | | |
| | | | | | | | 12,645 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 1.8% |
| | 50,000 | | | America Movil SAB de CV (Mexico),
5.63%, 11/15/17(5) | | | 48,870 | |
| | 190,000 | | | AT&T, Inc.,
5.10%, 09/15/14 | | | 197,370 | |
| | 60,000 | | | AT&T, Inc.,
5.50%, 02/01/18(5) | | | 59,912 | |
| | 10,000 | | | AT&T, Inc.,
5.80%, 02/15/19(5) | | | 10,153 | |
| | 150,000 | | | AT&T, Inc.,
6.55%, 02/15/39(5) | | | 149,733 | |
| | 15,000 | | | Citizens Communications Company, 9.25%, 05/15/11 | | | 15,638 | |
| | 10,000 | | | Citizens Communications Company, 7.88%, 01/15/27 | | | 8,000 | |
| | 180,000 | | | Deutsche Telecom International Finance BV (the Netherlands), 5.75%, 03/23/16(5) | | | 184,295 | |
| | 220,000 | | | Koninklijke KPN NV (the Netherlands),
8.38%, 10/01/30 | | | 251,468 | |
| | 90,000 | | | Level 3 Financing, Inc., 9.25%, 11/01/14 | | | 73,800 | |
| | 10,000 | | | Nextel Communications, Inc.,
Series D,
7.38%, 08/01/15 | | | 7,975 | |
| | 130,000 | | | Nextel Communications, Inc., Series E,
6.88%, 10/31/13 | | | 107,575 | |
| | 60,000 | | | Nextel Communications, Inc.,
Series F,
5.95%, 03/15/14 | | | 47,250 | |
| | 20,000 | | | Rogers Communications (Canada), 6.80%, 08/15/18 | | | 21,441 | |
| | 40,000 | | | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 | | | 42,875 | |
| | 270,000 | | | Sprint Capital Corp., 8.38%, 03/15/12 | | | 265,950 | |
| | 60,000 | | | Sprint Capital Corp., 8.75%, 03/15/32 | | | 48,300 | |
| | 200,000 | | | Telecom Italia Capital (Luxembourg),
5.25%, 10/01/15 | | | 193,067 | |
| | 70,000 | | | Telecom Italia Capital (Luxembourg),
7.00%, 06/04/18 | | | 70,816 | |
| | 90,000 | | | Verizon Communications, Inc., 8.95%, 03/01/39 | | | 113,654 | |
| | 50,000 | | | Verizon Global Funding Corp., 7.38%, 09/01/12 | | | 55,936 | |
| | 300,000 | | | Verizon New York, Inc., Series A, 6.88%, 04/01/12 | | | 317,948 | |
| | 260,000 | | | VIP FIN (VIMPELCOM) — 144A (Ireland),
8.38%, 04/30/13 | | | 235,950 | |
| | 140,000 | | | Windstream Corp., 8.63%, 08/01/16 | | | 134,050 | |
| | | | | | | | | |
| | | | | | | | 2,662,026 | |
| | | | | | | | | |
| | | | | Transportation — 0.0% |
| | 20,000 | | | Teekay Shipping Corp. (Marshall Islands),
8.88%, 07/15/11 | | | 19,850 | |
| | | | | | | | | |
| | | | | Utilities — 1.8% |
| | 80,000 | | | AES Corp.,
7.75%, 10/15/15 | | | 74,400 | |
| | 410,000 | | | AES Corp.,
8.00%, 10/15/17 | | | 381,300 | |
| | 70,000 | | | Dominion Resources, Inc., 4.75%, 12/15/10(5) | | | 71,943 | |
| | 140,000 | | | Dominion Resources, Inc., 5.70%, 09/17/12(5) | | | 148,918 | |
| | 80,000 | | | Dominion Resources, Inc.,
Series D,
8.88%, 01/15/19(5) | | | 95,403 | |
See notes to financial statements.
73
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Corporate Bonds and Notes (continued) |
| | | | | Utilities (continued) |
| | | | | | | | | |
| $ | 70,000 | | | Edison Mission Energy, 7.00%, 05/15/17 | | $ | 53,725 | |
| | 90,000 | | | Edison Mission Energy, 7.20%, 05/15/19 | | | 67,050 | |
| | 40,000 | | | Edison Mission Energy, 7.63%, 05/15/27 | | | 25,600 | |
| | 10,000 | | | Energy Future Holdings Corp., 10.88%, 11/01/17 | | | 7,300 | |
| | 1,219,000 | | | Energy Future Holdings Corp., 11.25%, 11/01/17(12) | | | 743,590 | |
| | 5,000 | | | Exelon Corp.,
5.63%, 06/15/35(5) | | | 4,025 | |
| | 160,000 | | | FirstEnergy Corp.,
Series B, 6.45%, 11/15/11(5) | | | 167,002 | |
| | 125,000 | | | FirstEnergy Corp.,
Series C, 7.38%, 11/15/31(5) | | | 117,982 | |
| | 100,000 | | | NRG Energy, Inc., 7.25%, 02/01/14 | | | 97,000 | |
| | 10,000 | | | NRG Energy, Inc., 7.38%, 02/01/16 | | | 9,463 | |
| | 10,000 | | | NRG Energy, Inc., 7.38%, 01/15/17 | | | 9,425 | |
| | 40,000 | | | Pacific Gas & Electric Company, 8.25%, 10/15/18 | | | 48,813 | |
| | 90,000 | | | Pacific Gas & Electric Company, 6.05%, 03/01/34 | | | 93,369 | |
| | 60,000 | | | Pacific Gas & Electric Company, 5.80%, 03/01/37 | | | 60,300 | |
| | 210,000 | | | TXU Corp., Series P, 5.55%, 11/15/14 | | | 132,598 | |
| | 105,000 | | | TXU Corp., Series Q, 6.50%, 11/15/24 | | | 52,614 | |
| | 310,000 | | | TXU Corp., Series R, 6.55%, 11/15/34 | | | 149,035 | |
| | | | | | | | | |
| | | | | | | | 2,610,855 | |
| | | | | | | | | |
| | | | | Total Corporate Bonds and Notes (Cost $52,391,690) | | | 36,821,703 | |
| | | | | | | | | |
| | | | | Preferred Corporate Bonds and Notes — 0.9% |
| | | | | Banks and Financial Services — 0.6% |
| | 190,000 | | | Bank of America Corp.,
Series K, Variable Rate, 8.00%, perpetual(1) | | | 158,680 | |
| | 40,000 | | | Bank of America Corp.,
Series M, Variable Rate, 8.13%, perpetual(1) | | | 33,408 | |
| | 90,000 | | | Credit Suisse (Switzerland),
Variable Rate,
5.86%, perpetual (1)(5) | | | 58,500 | |
| | 200,000 | | | Lehman Brothers Capital Trust VII,
Series MTN, Variable Rate, 5.86%, perpetual (1)(9) | | | 20 | |
| | 75,000 | | | Rabobank Nederland — 144A (the Netherlands), Variable Rate, 11.00%, perpetual(1) | | | 83,438 | |
| | 100,000 | | | Royal Bank of Scotland Group PLC,
Series MTNU (United Kingdom), Variable Rate, 7.64%, perpetual(1) | | | 40,500 | |
| | 300,000 | | | Shinsei Financial, Ltd. — 144A (Cayman Islands), Variable Rate, 6.42%, perpetual(1) | | | 120,000 | |
| | 170,000 | | | Wachovia Capital Trust III,
Variable Rate,
5.80%, perpetual(1) | | | 102,000 | |
| | 270,000 | | | Wells Fargo Capital XV,
Variable Rate,
9.75%, perpetual(1) | | | 261,225 | |
| | | | | | | | | |
| | | | | | | | 857,771 | |
| | | | | | | | | |
| | | | | Insurance — 0.3% |
| | 430,000 | | | MetLife, Inc., 6.40%, 12/15/36 | | | 307,450 | |
| | 250,000 | | | Travelers Companies, Inc. (The), Variable Rate, 6.25%, 03/15/37(1) | | | 201,491 | |
| | | | | | | | | |
| | | | | | | | 508,941 | |
| | | | | | | | | |
| | | | | Total Preferred Corporate Bonds and Notes
(Cost $2,083,056) | | | 1,366,712 | |
| | | | | | | | | |
Shares | | | | |
| |
| | | | | Preferred Stocks — 0.1% |
| | | | | Banks and Financial Services |
| | 600 | | | Fannie Mae,
Series O, Floating Rate, 7.00%(2) | | | 930 | |
| | 10,800 | | | Fannie Mae,
Series S, Variable Rate, 8.25%(1) | | | 14,364 | |
| | 14,925 | | | Freddie Mac,
Series Z, Variable Rate, 8.38%(1) | | | 18,209 | |
| | 178 | | | Preferred Blocker, Inc. — 144A, 7.00% | | | 76,551 | |
| | | | | | | | | |
| | | | | Total Preferred Stocks (Cost $704,949) | | | 110,054 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Municipal Bonds — 0.6% |
| | | | | Virginia |
| $ | 963,145 | | | Virginia State Housing Development Authority, Series C, Revenue Bond, 6.00%, 06/25/34 (Cost $947,298) | | | 941,917 | |
| | | | | | | | | |
| | | | | Total Securities (Cost $178,043,923) | | | 146,608,307 | |
| | | | | | | | | |
See notes to financial statements.
74
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Repurchase Agreements — 5.6% |
| $ | 8,313,730 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $8,313,733
(Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $8,484,806)
(Cost $8,313,730) | | $ | 8,313,730 | |
| | | | | | | | | |
| | | | | Total Investments before Call and Put Options Written — 104.9%
(Cost $186,357,653) | | | 154,922,037 | |
| | | | | | | | | |
Contracts | | | | |
| | | | | Call Options Written — (0.0)% |
| | (5 | ) | | Eurodollar Future, expiring September 2009 @ 97.63 (Premium $4,127) | | | (21,344 | ) |
| | | | | | | | | |
| | | | | Put Options Written — (0.0)% |
| | (28 | ) | | Eurodollar Future, expiring March 2010 @ 98.38
(Premium $24,949) | | | (14,700 | ) |
| | | | | | | | | |
| | | | | Total Investments net of Call and Put Options Written — 104.9%
(Cost $186,328,577) | | | 154,885,993 | |
| | | | | Liabilities less other assets — (4.9)% | | | (7,229,012 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 147,656,981 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $186,357,653.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 3,221,370 | |
| Gross unrealized depreciation | | | (34,656,986 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (31,435,616 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
75
LARGE VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 98.1% |
| | | | | Aerospace and Defense — 4.4% |
| | 111,600 | | | Boeing Company (The) | | $ | 4,743,000 | |
| | 144,300 | | | Goodrich Corp. | | | 7,210,671 | |
| | 145,200 | | | L-3 Communications Holdings, Inc. | | | 10,073,976 | |
| | 318,300 | | | Northrop Grumman Corp. | | | 14,539,944 | |
| | 138,100 | | | Raytheon Company | | | 6,135,783 | |
| | 206,600 | | | United Technologies Corp. | | | 10,734,936 | |
| | | | | | | | | |
| | | | | | | | 53,438,310 | |
| | | | | | | | | |
| | | | | Agriculture — 0.4% |
| | 186,400 | | | Archer-Daniels-Midland Company | | | 4,989,928 | |
| | | | | | | | | |
| | | | | Airlines — 0.5% |
| | 158,400 | | | Copa Holdings SA — Class A (Panama) | | | 6,465,888 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 2.7% |
| | 257,700 | | | Aeropostale, Inc.* | | | 8,831,379 | |
| | 470,600 | | | Coach, Inc. | | | 12,649,728 | |
| | 128,700 | | | Polo Ralph Lauren Corp. | | | 6,890,598 | |
| | 120,100 | | | Ross Stores, Inc. | | | 4,635,860 | |
| | | | | | | | | |
| | | | | | | | 33,007,565 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 13.1% |
| | 484,900 | | | Ameriprise Financial, Inc. | | | 11,768,523 | |
| | 168,200 | | | Bank of New York Mellon Corp. | | | 4,929,942 | |
| | 684,200 | | | BB&T Corp. | | | 15,038,716 | |
| | 164,800 | | | Credicorp, Ltd. (Bermuda) | | | 9,591,360 | |
| | 381,100 | | | Federated Investors, Inc. — Class B | | | 9,180,699 | |
| | 185,300 | | | Franklin Resources, Inc. | | | 13,343,453 | |
| | 117,000 | | | Goldman Sachs Group, Inc. (The) | | | 17,250,480 | |
| | 962,200 | | | Hudson City Bancorp, Inc. | | | 12,787,638 | |
| | 371,400 | | | JPMorgan Chase & Company | | | 12,668,454 | |
| | 418,200 | | | Knight Capital Group, Inc. — Class A* | | | 7,130,310 | |
| | 430,800 | | | Moody’s Corp. | | | 11,351,580 | |
| | 323,300 | | | Morgan Stanley | | | 9,217,283 | |
| | 447,200 | | | New York Community Bancorp, Inc. | | | 4,780,568 | |
| | 389,100 | | | NYSE Euronext | | | 10,602,975 | |
| | 263,900 | | | Wells Fargo & Company | | | 6,402,214 | |
| | | | | | | | | |
| | | | | | | | 156,044,195 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 2.8% |
| | 754,100 | | | Comcast Corp. — Class A | | | 10,926,909 | |
| | 478,400 | | | CTC Media, Inc.* | | | 5,654,688 | |
| | 385,800 | | | DIRECTV Group, Inc. (The)* | | | 9,533,118 | |
| | 232,800 | | | McGraw-Hill Companies, Inc. (The) | | | 7,009,608 | |
| | | | | | | | | |
| | | | | | | | 33,124,323 | |
| | | | | | | | | |
| | | | | Chemicals — 1.3% |
| | 220,400 | | | Lubrizol Corp. (The) | | | 10,427,124 | |
| | 311,700 | | | Nalco Holding Company | | | 5,249,028 | |
| | | | | | | | | |
| | | | | | | | 15,676,152 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 3.0% |
| | 517,800 | | | Ingram Micro, Inc. — Class A* | | | 9,061,500 | |
| | 565,000 | | | Microsoft Corp. | | | 13,430,050 | |
| | 250,600 | | | Sybase, Inc.* | | | 7,853,804 | |
| | 212,800 | | | Western Digital Corp.* | | | 5,639,200 | |
| | | | | | | | | |
| | | | | | | | 35,984,554 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 0.3% |
| | 324,600 | | | Owens Corning, Inc.* | | | 4,148,388 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 1.6% |
| | 361,900 | | | Herbalife, Ltd. (Cayman Islands) | | | 11,414,326 | |
| | 164,200 | | | Procter & Gamble Company (The) | | | 8,390,620 | |
| | | | | | | | | |
| | | | | | | | 19,804,946 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.9% |
| | 232,600 | | | Bemis Company, Inc. | | | 5,861,520 | |
| | 210,400 | | | Crown Holdings, Inc.* | | | 5,079,056 | |
| | | | | | | | | |
| | | | | | | | 10,940,576 | |
| | | | | | | | | |
| | | | | Distribution — 0.4% |
| | 146,900 | | | Tech Data Corp.* | | | 4,805,099 | |
| | | | | | | | | |
| | | | | Electronics — 0.7% |
| | 359,900 | | | Garmin, Ltd. (Cayman Islands) | | | 8,572,818 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.7% |
| | 195,900 | | | Netflix, Inc.* | | | 8,098,506 | |
| | | | | | | | | |
| | | | | Food and Beverage — 2.6% |
| | 479,900 | | | Coca-Cola Enterprises, Inc. | | | 7,990,335 | |
| | 760,500 | | | ConAgra Foods, Inc. | | | 14,495,130 | |
| | 407,100 | | | Sysco Corp. | | | 9,151,608 | |
| | | | | | | | | |
| | | | | | | | 31,637,073 | |
| | | | | | | | | |
| | | | | Insurance — 9.4% |
| | 559,700 | | | Allstate Corp. (The) | | | 13,656,680 | |
| | 189,500 | | | Assurant, Inc. | | | 4,565,055 | |
| | 392,800 | | | Chubb Corp. (The) | | | 15,664,864 | |
| | 442,700 | | | Cincinnati Financial Corp. | | | 9,894,345 | |
| | 140,500 | | | Hanover Insurance Group, Inc. | | | 5,354,455 | |
See notes to financial statements.
76
LARGE VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Insurance (continued) |
| | | | | | | | | |
| | 695,600 | | | Lincoln National Corp. | | $ | 11,971,276 | |
| | 179,400 | | | Odyssey Re Holdings Corp. | | | 7,172,412 | |
| | 322,200 | | | Platinum Underwriters Holdings, Ltd. (Bermuda) | | | 9,211,698 | |
| | 455,400 | | | Travelers Companies, Inc. (The) | | | 18,689,616 | |
| | 479,300 | | | Unum Group | | | 7,601,698 | |
| | 390,100 | | | WR Berkley Corp. | | | 8,375,447 | |
| | | | | | | | | |
| | | | | | | | 112,157,546 | |
| | | | | | | | | |
| | | | | Internet Services — 0.6% |
| | 485,100 | | | Symantec Corp.* | | | 7,548,156 | |
| | | | | | | | | |
| | | | | Machinery — 0.8% |
| | 275,500 | | | Joy Global, Inc. | | | 9,840,860 | |
| | | | | | | | | |
| | | | | Manufacturing — 2.1% |
| | 222,100 | | | Dover Corp. | | | 7,349,289 | |
| | 243,700 | | | Harsco Corp. | | | 6,896,710 | |
| | 421,600 | | | Tyco International, Ltd. (Switzerland) | | | 10,953,168 | |
| | | | | | | | | |
| | | | | | | | 25,199,167 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 4.7% |
| | 305,800 | | | Health Net, Inc.* | | | 4,755,190 | |
| | 172,000 | | | Johnson & Johnson | | | 9,769,600 | |
| | 181,700 | | | McKesson Corp. | | | 7,994,800 | |
| | 537,200 | | | UnitedHealth Group, Inc. | | | 13,419,256 | |
| | 392,200 | | | WellPoint, Inc.* | | | 19,959,058 | |
| | | | | | | | | |
| | | | | | | | 55,897,904 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.5% |
| | 159,000 | | | Reliance Steel & Aluminum Company | | | 6,104,010 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 18.8% |
| | 65,000 | | | Apache Corp. | | | 4,689,750 | |
| | 737,500 | | | Chevron Corp. | | | 48,859,375 | |
| | 737,300 | | | ConocoPhillips | | | 31,010,838 | |
| | 1,161,200 | | | Exxon Mobil Corp. | | | 81,179,492 | |
| | 208,000 | | | Holly Corp. | | | 3,739,840 | |
| | 582,300 | | | Marathon Oil Corp. | | | 17,544,699 | |
| | 105,200 | | | Murphy Oil Corp. | | | 5,714,464 | |
| | 627,900 | | | Patterson-UTI Energy, Inc. | | | 8,074,794 | |
| | 25,300 | | | SEACOR Holdings, Inc.* | | | 1,903,572 | |
| | 403,900 | | | Sunoco, Inc. | | | 9,370,480 | |
| | 732,500 | | | Valero Energy Corp. | | | 12,371,925 | |
| | | | | | | | | |
| | | | | | | | 224,459,229 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 6.0% |
| | 669,800 | | | AmerisourceBergen Corp. | | | 11,882,252 | |
| | 237,000 | | | Amgen, Inc.* | | | 12,546,780 | |
| | 219,700 | | | Endo Pharmaceuticals Holdings, Inc.* | | | 3,937,024 | |
| | 498,500 | | | Forest Laboratories, Inc.* | | | 12,517,335 | |
| | 2,040,000 | | | Pfizer, Inc. | | | 30,600,000 | |
| | | | | | | | | |
| | | | | | | | 71,483,391 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 0.7% |
| | 742,800 | | | RR Donnelley & Sons Company | | | 8,631,336 | |
| | | | | | | | | |
| | | | | Retail — 1.9% |
| | 129,100 | | | BJ’s Wholesale Club, Inc.* | | | 4,160,893 | |
| | 400,300 | | | TJX Companies, Inc. (The) | | | 12,593,438 | |
| | 155,900 | | | Tractor Supply Company* | | | 6,441,788 | |
| | | | | | | | | |
| | | | | | | | 23,196,119 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 0.4% |
| | 101,400 | | | Panera Bread Company — Class A* | | | 5,055,804 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 1.2% |
| | 406,900 | | | Kroger Company (The) | | | 8,972,145 | |
| | 429,100 | | | SUPERVALU, Inc. | | | 5,556,845 | |
| | | | | | | | | |
| | | | | | | | 14,528,990 | |
| | | | | | | | | |
| | | | | Semiconductors — 1.0% |
| | 550,000 | | | Texas Instruments, Inc. | | | 11,715,000 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 6.8% |
| | 2,091,100 | | | AT&T, Inc. | | | 51,942,924 | |
| | 324,000 | | | NeuStar, Inc. — Class A* | | | 7,179,840 | |
| | 389,900 | | | Telephone and Data Systems, Inc. | | | 11,034,170 | |
| | 372,600 | | | Verizon Communications, Inc. | | | 11,449,998 | |
| | | | | | | | | |
| | | | | | | | 81,606,932 | |
| | | | | | | | | |
| | | | | Transportation — 0.7% |
| | 171,400 | | | Union Pacific Corp. | | | 8,923,084 | |
| | | | | | | | | |
| | | | | Utilities — 7.1% |
| | 615,200 | | | AES Corp. (The)* | | | 7,142,472 | |
| | 383,400 | | | DTE Energy Company | | | 12,268,800 | |
| | 421,000 | | | Edison International | | | 13,244,660 | |
| | 369,300 | | | FirstEnergy Corp. | | | 14,310,375 | |
| | 937,000 | | | NV Energy, Inc. | | | 10,110,230 | |
See notes to financial statements.
77
LARGE VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Utilities (continued) |
| | | | | | | | | |
| | 366,200 | | | Public Service Enterprise Group, Inc. | | $ | 11,949,106 | |
| | 318,500 | | | Sempra Energy | | | 15,807,155 | |
| | | | | | | | | |
| | | | | | | | 84,832,798 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $1,248,620,124) | | | 1,177,918,647 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Repurchase Agreements — 2.2% |
| $ | 26,800,488 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $26,800,496 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $27,337,156)
(Cost $26,800,488) | | | 26,800,488 | |
| | | | | | | | | |
| | | | | Total Investments — 100.3%
(Cost $1,275,420,612) | | | 1,204,719,135 | |
| | | | | Liabilities less other assets — (0.3)% | | | (3,625,127 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 1,201,094,008 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $1,275,420,612.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 72,091,917 | |
| Gross unrealized depreciation | | | (142,793,394 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (70,701,477 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
78
VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 96.8% |
| | | | | Advertising — 0.9% |
| | 84,400 | | | Interpublic Group of Companies, Inc. (The)* | | $ | 426,220 | |
| | | | | | | | | |
| | | | | Aerospace and Defense — 3.7% |
| | 4,600 | | | Boeing Company (The) | | | 195,500 | |
| | 30,600 | | | Empresa Brasileira de Aeronautica SA (ADR) (Brazil) | | | 506,736 | |
| | 22,600 | | | Northrop Grumman Corp. | | | 1,032,368 | |
| | | | | | | | | |
| | | | | | | | 1,734,604 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 1.4% |
| | 24,900 | | | Gap, Inc. (The) | | | 408,360 | |
| | 19,200 | | | Limited Brands, Inc. | | | 229,824 | |
| | | | | | | | | |
| | | | | | | | 638,184 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.5% |
| | 22,100 | | | PACCAR, Inc. | | | 718,471 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 17.2% |
| | 18,900 | | | American Express Company | | | 439,236 | |
| | 128,355 | | | Bank of America Corp. | | | 1,694,286 | |
| | 16,400 | | | Comerica, Inc. | | | 346,860 | |
| | 56,800 | | | JPMorgan Chase & Company | | | 1,937,448 | |
| | 77,875 | | | KeyCorp | | | 408,065 | |
| | 20,151 | | | PNC Financial Services Group, Inc. | | | 782,060 | |
| | 11,600 | | | SunTrust Banks, Inc. | | | 190,820 | |
| | 369,700 | | | Washington Mutual, Inc. | | | 18,670 | |
| | 88,951 | | | Wells Fargo & Company | | | 2,157,950 | |
| | | | | | | | | |
| | | | | | | | 7,975,395 | |
| | | | | | | | | |
| | | | | Chemicals — 2.0% |
| | 13,900 | | | Dow Chemical Company (The) | | | 224,346 | |
| | 3,200 | | | Eastman Chemical Company | | | 121,280 | |
| | 13,400 | | | PPG Industries, Inc. | | | 588,260 | |
| | | | | | | | | |
| | | | | | | | 933,886 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 9.4% |
| | 96,966 | | | CA, Inc. | | | 1,690,117 | |
| | 71,100 | | | Microsoft Corp. | | | 1,690,047 | |
| | 44,700 | | | Oracle Corp. | | | 957,474 | |
| | | | | | | | | |
| | | | | | | | 4,337,638 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 4.9% |
| | 6,600 | | | Lorillard, Inc. | | | 447,282 | |
| | 41,500 | | | Philip Morris International, Inc. | | | 1,810,230 | |
| | | | | | | | | |
| | | | | | | | 2,257,512 | |
| | | | | | | | | |
| | | | | Electronics — 2.6% |
| | 65,450 | | | Tyco Electronics, Ltd. (Switzerland) | | | 1,216,716 | |
| | | | | | | | | |
| | | | | Food and Beverage — 1.7% |
| | 7,100 | | | Coca-Cola Company (The) | | | 340,729 | |
| | 17,600 | | | Kraft Foods, Inc. — Class A | | | 445,984 | |
| | | | | | | | | |
| | | | | | | | 786,713 | |
| | | | | | | | | |
| | | | | Insurance — 9.0% |
| | 28,300 | | | Allstate Corp. (The) | | | 690,520 | |
| | 36,500 | | | Conseco, Inc.* | | | 86,505 | |
| | 53,300 | | | Genworth Financial, Inc. — Class A | | | 372,567 | |
| | 28,559 | | | MetLife, Inc. | | | 857,056 | |
| | 15,100 | | | Prudential Financial, Inc. | | | 562,022 | |
| | 21,700 | | | Travelers Companies, Inc. (The) | | | 890,568 | |
| | 61,900 | | | XL Capital, Ltd. — Class A (Cayman Islands) | | | 709,374 | |
| | | | | | | | | |
| | | | | | | | 4,168,612 | |
| | | | | | | | | |
| | | | | Internet Services — 1.9% |
| | 51,000 | | | eBay, Inc.* | | | 873,630 | |
| | | | | | | | | |
| | | | | Machinery — 1.6% |
| | 21,200 | | | Cummins, Inc. | | | 746,452 | |
| | | | | | | | | |
| | | | | Manufacturing — 2.8% |
| | 8,600 | | | Honeywell International, Inc. | | | 270,040 | |
| | 38,850 | | | Tyco International, Ltd. (Switzerland) | | | 1,009,323 | |
| | | | | | | | | |
| | | | | | | | 1,279,363 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 1.7% |
| | 6,100 | | | Johnson & Johnson | | | 346,480 | |
| | 10,000 | | | Zimmer Holdings, Inc.* | | | 426,000 | |
| | | | | | | | | |
| | | | | | | | 772,480 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.9% |
| | 41,400 | | | Alcoa, Inc. | | | 427,662 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 4.4% |
| | 40,200 | | | Royal Dutch Shell PLC — Class B (ADR) (United Kingdom) | | | 2,044,572 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 8.3% |
| | 45,300 | | | Bristol-Myers Squibb Company | | | 920,043 | |
| | 17,000 | | | Eli Lilly and Company | | | 588,880 | |
| | 13,000 | | | Merck & Company, Inc. | | | 363,480 | |
| | 24,600 | | | Pfizer, Inc. | | | 369,000 | |
| | 63,300 | | | Schering-Plough Corp. | | | 1,590,096 | |
| | | | | | | | | |
| | | | | | | | 3,831,499 | |
| | | | | | | | | |
| | | | | Retail — 5.3% |
| | 41,352 | | | Home Depot, Inc. (The) | | | 977,148 | |
| | 38,000 | | | JC Penney Company, Inc. | | | 1,090,980 | |
| | 7,600 | | | Wal-Mart Stores, Inc. | | | 368,144 | |
| | | | | | | | | |
| | | | | | | | 2,436,272 | |
| | | | | | | | | |
See notes to financial statements.
79
VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 2.9% |
| | 65,400 | | | Safeway, Inc. | | $ | 1,332,198 | |
| | | | | | | | | |
| | | | | Semiconductors — 1.0% |
| | 21,800 | | | Texas Instruments, Inc. | | | 464,340 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 2.4% |
| | 87,300 | | | Alcatel-Lucent (ADR) (France)* | | | 216,504 | |
| | 47,100 | | | Vodafone Group PLC (ADR) (United Kingdom) | | | 917,979 | |
| | | | | | | | | |
| | | | | | | | 1,134,483 | |
| | | | | | | | | |
| | | | | Transportation — 2.3% |
| | 19,100 | | | FedEx Corp. | | | 1,062,342 | |
| | | | | | | | | |
| | | | | Utilities — 7.0% |
| | 22,000 | | | Edison International | | | 692,120 | |
| | 5,900 | | | Entergy Corp. | | | 457,368 | |
| | 23,100 | | | Exelon Corp. | | | 1,182,951 | |
| | 16,100 | | | FPL Group, Inc. | | | 915,446 | |
| | | | | | | | | |
| | | | | | | | 3,247,885 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $49,512,525) | | | 44,847,129 | |
| | | | | | | | | |
| | | | | Preferred Stocks — 1.6% |
| | | | | Banks and Financial Services |
| | 40,000 | | | Citigroup, Inc.,
Series AA,
8.13% (Cost $658,025) | | | 747,200 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $50,170,550) | | | 45,594,329 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Repurchase Agreements — 1.9% |
| $ | 883,119 | | | With State Street Bank and Trust,
dated 06/30/09, 0.01%, due
07/01/09, repurchase proceeds at maturity $883,119
(Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $903,733)
(Cost $883,119) | | | 883,119 | |
| | | | | | | | | |
| | | | | Total Investments — 100.3%
(Cost $51,053,669) | | | 46,477,448 | |
| | | | | Liabilities less other assets — (0.3)% | | | (121,847 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 46,355,601 | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $51,053,669.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 4,200,204 | |
| Gross unrealized depreciation | | | (8,776,425 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (4,576,221 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
80
LARGE CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 98.7% |
| | | | | Aerospace and Defense — 3.3% |
| | 10,400 | | | Boeing Company (The) | | $ | 442,000 | |
| | 38,300 | | | Goodrich Corp. | | | 1,913,851 | |
| | 25,550 | | | L-3 Communications Holdings, Inc. | | | 1,772,659 | |
| | 21,250 | | | Lockheed Martin Corp. | | | 1,713,813 | |
| | 28,800 | | | Northrop Grumman Corp. | | | 1,315,584 | |
| | 26,300 | | | Raytheon Company | | | 1,168,509 | |
| | | | | | | | | |
| | | | | | | | 8,326,416 | |
| | | | | | | | | |
| | | | | Agriculture — 0.7% |
| | 41,150 | | | Archer-Daniels-Midland Company | | | 1,101,585 | |
| | 7,125 | | | Monsanto Company | | | 529,673 | |
| | | | | | | | | |
| | | | | | | | 1,631,258 | |
| | | | | | | | | |
| | | | | Airlines — 0.4% |
| | 25,050 | | | Copa Holdings SA — Class A (Panama) | | | 1,022,541 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 2.0% |
| | 26,000 | | | Aeropostale, Inc.* | | | 891,020 | |
| | 44,500 | | | Coach, Inc. | | | 1,196,160 | |
| | 61,800 | | | Foot Locker, Inc. | | | 647,046 | |
| | 26,050 | | | Guess?, Inc. | | | 671,569 | |
| | 17,000 | | | Polo Ralph Lauren Corp. | | | 910,180 | |
| | 19,575 | | | Ross Stores, Inc. | | | 755,595 | |
| | | | | | | | | |
| | | | | | | | 5,071,570 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 8.7% |
| | 21,375 | | | American Express Company | | | 496,755 | |
| | 46,000 | | | Ameriprise Financial, Inc. | | | 1,116,420 | |
| | 16,200 | | | Bank of New York Mellon Corp. | | | 474,822 | |
| | 21,300 | | | BB&T Corp. | | | 468,174 | |
| | 31,075 | | | Broadridge Financial Solutions, Inc. | | | 515,224 | |
| | 42,625 | | | Charles Schwab Corp. (The) | | | 747,643 | |
| | 18,600 | | | Credicorp, Ltd. (Bermuda) | | | 1,082,520 | |
| | 39,200 | | | Federated Investors, Inc. — Class B | | | 944,328 | |
| | 19,700 | | | Franklin Resources, Inc. | | | 1,418,597 | |
| | 14,975 | | | Goldman Sachs Group, Inc. (The) | | | 2,207,913 | |
| | 25,725 | | | H&R Block, Inc. | | | 443,242 | |
| | 130,925 | | | Hudson City Bancorp, Inc. | | | 1,739,992 | |
| | 7,250 | | | IntercontinentalExchange, Inc.* | | | 828,240 | |
| | 13,500 | | | JPMorgan Chase & Company | | | 460,485 | |
| | 41,500 | | | Knight Capital Group, Inc. — Class A* | | | 707,575 | |
| | 18,425 | | | Lender Processing Services, Inc. | | | 511,662 | |
| | 2,025 | | | MasterCard, Inc. — Class A | | | 338,803 | |
| | 37,900 | | | Moody’s Corp. | | | 998,665 | |
| | 23,300 | | | Morgan Stanley | | | 664,283 | |
| | 37,700 | | | New York Community Bancorp, Inc. | | | 403,013 | |
| | 40,700 | | | NYSE Euronext | | | 1,109,075 | |
| | 20,800 | | | State Street Corp. | | | 981,760 | |
| | 11,500 | | | T Rowe Price Group, Inc. | | | 479,205 | |
| | 7,175 | | | Visa, Inc. — Class A | | | 446,716 | |
| | 65,000 | | | Wells Fargo & Company | | | 1,576,900 | |
| | 40,000 | | | Western Union Company | | | 656,000 | |
| | | | | | | | | |
| | | | | | | | 21,818,012 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 1.8% |
| | 65,575 | | | Comcast Corp. — Class A | | | 950,182 | |
| | 18,000 | | | DIRECTV Group, Inc. (The)* | | | 444,780 | |
| | 13,150 | | | McGraw-Hill Companies, Inc. (The) | | | 395,947 | |
| | 51,400 | | | Shaw Communications, Inc. — Class B (Canada) | | | 866,604 | |
| | 13,830 | | | Time Warner Cable, Inc. | | | 437,996 | |
| | 55,099 | | | Time Warner, Inc. | | | 1,387,943 | |
| | | | | | | | | |
| | | | | | | | 4,483,452 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 0.9% |
| | 16,175 | | | Accenture, Ltd. — Class A (Bermuda) | | | 541,216 | |
| | 12,600 | | | Fiserv, Inc.* | | | 575,820 | |
| | 12,450 | | | Manpower, Inc. | | | 527,133 | |
| | 30,700 | | | SEI Investments Company | | | 553,828 | |
| | | | | | | | | |
| | | | | | | | 2,197,997 | |
| | | | | | | | | |
| | | | | Chemicals — 1.7% |
| | 31,750 | | | Celanese Corp. — Series A | | | 754,063 | |
| | 12,500 | | | Eastman Chemical Company | | | 473,750 | |
| | 55,350 | | | Lubrizol Corp. (The) | | | 2,618,608 | |
| | 26,400 | | | Nalco Holding Company | | | 444,576 | |
| | | | | | | | | |
| | | | | | | | 4,290,997 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 9.8% |
| | 24,350 | | | Apple, Inc.* | | | 3,468,170 | |
| | 45,350 | | | BMC Software, Inc.* | | | 1,532,377 | |
| | 12,300 | | | Computer Sciences Corp.* | | | 544,890 | |
| | 58,600 | | | Hewlett-Packard Company | | | 2,264,890 | |
| | 27,700 | | | Ingram Micro, Inc. — Class A* | | | 484,750 | |
| | 46,575 | | | International Business Machines Corp. | | | 4,863,361 | |
| | 248,875 | | | Microsoft Corp. | | | 5,915,758 | |
| | 146,845 | | | Oracle Corp. | | | 3,145,420 | |
| | 9,300 | | | Sybase, Inc.* | | | 291,462 | |
| | 75,425 | | | Western Digital Corp.* | | | 1,998,763 | |
| | | | | | | | | |
| | | | | | | | 24,509,841 | |
| | | | | | | | | |
See notes to financial statements.
81
LARGE CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 0.2% |
| | 34,400 | | | Owens Corning, Inc.* | | $ | 439,632 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 4.3% |
| | 40,425 | | | Altria Group, Inc. | | | 662,566 | |
| | 13,625 | | | Colgate-Palmolive Company | | | 963,833 | |
| | 51,925 | | | Herbalife, Ltd. (Cayman Islands) | | | 1,637,715 | |
| | 28,325 | | | Jarden Corp.* | | | 531,094 | |
| | 12,450 | | | Kimberly-Clark Corp. | | | 652,754 | |
| | 9,525 | | | Lorillard, Inc. | | | 645,509 | |
| | 55,800 | | | Philip Morris International, Inc. | | | 2,433,995 | |
| | 65,100 | | | Procter & Gamble Company (The) | | | 3,326,609 | |
| | | | | | | | | |
| | | | | | | | 10,854,075 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.6% |
| | 11,100 | | | Ball Corp. | | | 501,276 | |
| | 17,100 | | | Owens-Illinois, Inc.* | | | 478,971 | |
| | 20,425 | | | Pactiv Corp.* | | | 443,223 | |
| | | | | | | | | |
| | | | | | | | 1,423,470 | |
| | | | | | | | | |
| | | | | Distribution — 0.2% |
| | 18,300 | | | WESCO International, Inc.* | | | 458,232 | |
| | | | | | | | | |
| | | | | Education — 0.6% |
| | 16,500 | | | Apollo Group, Inc. — Class A* | | | 1,173,480 | |
| | 8,850 | | | DeVry, Inc. | | | 442,854 | |
| | | | | | | | | |
| | | | | | | | 1,616,334 | |
| | | | | | | | | |
| | | | | Electronics — 1.2% |
| | 32,000 | | | Arrow Electronics, Inc.* | | | 679,680 | |
| | 59,800 | | | Avnet, Inc.* | | | 1,257,594 | |
| | 41,400 | | | Garmin, Ltd. (Cayman Islands) | | | 986,148 | |
| | | | | | | | | |
| | | | | | | | 2,923,422 | |
| | | | | | | | | |
| | | | | Engineering — 0.6% |
| | 18,125 | | | Fluor Corp. | | | 929,631 | |
| | 26,300 | | | KBR, Inc. | | | 484,972 | |
| | | | | | | | | |
| | | | | | | | 1,414,603 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.3% |
| | 19,800 | | | Netflix, Inc.* | | | 818,532 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services — 0.3% |
| | 35,700 | | | Republic Services, Inc. | | | 871,437 | |
| | | | | | | | | |
| | | | | Food and Beverage — 3.7% |
| | 31,250 | | | Coca-Cola Company (The) | | | 1,499,688 | |
| | 27,075 | | | Coca-Cola Enterprises, Inc. | | | 450,799 | |
| | 75,000 | | | ConAgra Foods, Inc. | | | 1,429,500 | |
| | 43,025 | | | Constellation Brands, Inc. — Class A* | | | 545,557 | |
| | 34,650 | | | Dean Foods Company* | | | 664,934 | |
| | 29,975 | | | Dr Pepper Snapple Group, Inc.* | | | 635,170 | |
| | 24,950 | | | Kraft Foods, Inc. — Class A | | | 632,233 | |
| | 48,775 | | | Pepsi Bottling Group, Inc. (The) | | | 1,650,545 | |
| | 29,425 | | | PepsiCo, Inc. | | | 1,617,198 | |
| | | | | | | | | |
| | | | | | | | 9,125,624 | |
| | | | | | | | | |
| | | | | Insurance — 5.0% |
| | 9,600 | | | ACE, Ltd. (Switzerland) | | | 424,608 | |
| | 14,975 | | | Aflac, Inc. | | | 465,573 | |
| | 62,400 | | | Allstate Corp. (The) | | | 1,522,560 | |
| | 52,400 | | | American Financial Group, Inc. | | | 1,130,792 | |
| | 38,200 | | | Axis Capital Holdings, Ltd. (Bermuda) | | | 1,000,076 | |
| | 38,000 | | | Chubb Corp. (The) | | | 1,515,440 | |
| | 34,200 | | | Endurance Specialty Holdings, Ltd. (Bermuda) | | | 1,002,060 | |
| | 29,400 | | | Lincoln National Corp. | | | 505,974 | |
| | 9,600 | | | Odyssey Re Holdings Corp. | | | 383,808 | |
| | 28,800 | | | Platinum Underwriters Holdings, Ltd. (Bermuda) | | | 823,392 | |
| | 36,600 | | | Progressive Corp. (The)* | | | 553,026 | |
| | 10,650 | | | Prudential Financial, Inc. | | | 396,393 | |
| | 41,700 | | | Travelers Companies, Inc. (The) | | | 1,711,368 | |
| | 48,800 | | | WR Berkley Corp. | | | 1,047,736 | |
| | | | | | | | | |
| | | | | | | | 12,482,806 | |
| | | | | | | | | |
| | | | | Internet Services — 3.8% |
| | 14,075 | | | Amazon.com, Inc.* | | | 1,177,515 | |
| | 143,325 | | | Cisco Systems, Inc.* | | | 2,671,578 | |
| | 5,044 | | | Google, Inc. — Class A*(5) | | | 2,126,500 | |
| | 8,775 | | | Priceline.com, Inc.* | | | 978,851 | |
| | 136,325 | | | Symantec Corp.* | | | 2,121,217 | |
| | 31,750 | | | Yahoo!, Inc.* | | | 497,205 | |
| | | | | | | | | |
| | | | | | | | 9,572,866 | |
| | | | | | | | | |
| | | | | Machinery — 0.5% |
| | 33,600 | | | Joy Global, Inc. | | | 1,200,192 | |
| | | | | | | | | |
| | | | | Manufacturing — 2.8% |
| | 10,050 | | | 3M Company | | | 604,005 | |
| | 27,250 | | | Cooper Industries, Ltd. — Class A (Bermuda) | | | 846,113 | |
| | 25,400 | | | Dover Corp. | | | 840,486 | |
| | 17,000 | | | Harsco Corp. | | | 481,100 | |
| | 8,925 | | | ITT Corp. | | | 397,163 | |
| | 22,425 | | | Sherwin-Williams Company (The) | | | 1,205,344 | |
| | 10,200 | | | SPX Corp. | | | 499,494 | |
| | 77,100 | | | Tyco International, Ltd. (Switzerland) | | | 2,003,057 | |
| | | | | | | | | |
| | | | | | | | 6,876,762 | |
| | | | | | | | | |
See notes to financial statements.
82
LARGE CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 5.7% |
| | 30,725 | | | Baxter International, Inc. | | $ | 1,627,196 | |
| | 51,475 | | | Hologic, Inc.* | | | 732,489 | |
| | 63,675 | | | Johnson & Johnson | | | 3,616,740 | |
| | 40,075 | | | Kinetic Concepts, Inc.* | | | 1,092,044 | |
| | 23,875 | | | Life Technologies Corp.* | | | 996,065 | |
| | 36,701 | | | LifePoint Hospitals, Inc.* | | | 963,401 | |
| | 26,300 | | | McKesson Corp. | | | 1,157,200 | |
| | 15,975 | | | St Jude Medical, Inc.* | | | 656,573 | |
| | 65,250 | | | UnitedHealth Group, Inc. | | | 1,629,945 | |
| | 36,100 | | | WellPoint, Inc.* | | | 1,837,129 | |
| | | | | | | | | |
| | | | | | | | 14,308,782 | |
| | | | | | | | | |
| | | | | Metals and Mining — 1.0% |
| | 13,400 | | | Allegheny Technologies, Inc. | | | 468,062 | |
| | 18,400 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 922,024 | |
| | 14,225 | | | Newmont Mining Corp. | | | 581,376 | |
| | 13,900 | | | Reliance Steel & Aluminum Company | | | 533,621 | |
| | | | | | | | | |
| | | | | | | | 2,505,083 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 11.5% |
| | 24,750 | | | Alpha Natural Resources, Inc.* | | | 650,183 | |
| | 10,900 | | | Apache Corp. | | | 786,435 | |
| | 39,700 | | | Chesapeake Energy Corp. | | | 787,251 | |
| | 71,500 | | | Chevron Corp. | | | 4,736,874 | |
| | 69,400 | | | ConocoPhillips | | | 2,918,963 | |
| | 44,600 | | | El Paso Corp. | | | 411,658 | |
| | 145,825 | | | Exxon Mobil Corp. | | | 10,194,625 | |
| | 56,700 | | | Marathon Oil Corp. | | | 1,708,371 | |
| | 20,300 | | | Murphy Oil Corp. | | | 1,102,696 | |
| | 25,850 | | | Noble Corp. (Switzerland) | | | 781,963 | |
| | 77,300 | | | Patterson-UTI Energy, Inc. | | | 994,078 | |
| | 14,000 | | | Schlumberger, Ltd. (Netherlands Antilles) | | | 757,540 | |
| | 19,350 | | | Southwestern Energy Company* | | | 751,748 | |
| | 33,900 | | | Sunoco, Inc. | | | 786,480 | |
| | 63,500 | | | Valero Energy Corp. | | | 1,072,515 | |
| | | | | | | | | |
| | | | | | | | 28,441,380 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 7.9% |
| | 48,000 | | | Abbott Laboratories | | | 2,257,919 | |
| | 62,400 | | | AmerisourceBergen Corp. | | | 1,106,976 | |
| | 55,975 | | | Amgen, Inc.* | | | 2,963,316 | |
| | 19,550 | | | Biogen Idec, Inc.* | | | 882,683 | |
| | 51,650 | | | Bristol-Myers Squibb Company | | | 1,049,012 | |
| | 30,225 | | | Eli Lilly and Company | | | 1,046,994 | |
| | 33,600 | | | Endo Pharmaceuticals Holdings, Inc.* | | | 602,112 | |
| | 17,075 | | | Express Scripts, Inc.* | | | 1,173,906 | |
| | 29,200 | | | Forest Laboratories, Inc.* | | | 733,212 | |
| | 20,600 | | | Gilead Sciences, Inc.* | | | 964,904 | |
| | 25,225 | | | Hospira, Inc.* | | | 971,667 | |
| | 68,850 | | | King Pharmaceuticals, Inc.* | | | 663,026 | |
| | 206,400 | | | Pfizer, Inc. | | | 3,095,999 | |
| | 52,950 | | | Schering-Plough Corp. | | | 1,330,104 | |
| | 46,100 | | | Sepracor, Inc.* | | | 798,452 | |
| | | | | | | | | |
| | | | | | | | 19,640,282 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.2% |
| | 11,347 | | | Simon Property Group, Inc. | | | 583,576 | |
| | | | | | | | | |
| | | | | Retail — 4.5% |
| | 30,125 | | | Best Buy Company, Inc. | | | 1,008,886 | |
| | 73,312 | | | Big Lots, Inc.* | | | 1,541,751 | |
| | 13,900 | | | BJ’s Wholesale Club, Inc.* | | | 447,997 | |
| | 18,900 | | | Dollar Tree, Inc.* | | | 795,690 | |
| | 22,850 | | | Kohl’s Corp.* | | | 976,838 | |
| | 42,300 | | | Macy’s, Inc. | | | 497,448 | |
| | 22,875 | | | Target Corp. | | | 902,876 | |
| | 63,259 | | | TJX Companies, Inc. (The) | | | 1,990,128 | |
| | 65,975 | | | Wal-Mart Stores, Inc. | | | 3,195,830 | |
| | | | | | | | | |
| | | | | | | | 11,357,444 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 1.4% |
| | 25,900 | | | Brinker International, Inc. | | | 441,077 | |
| | 11,725 | | | Darden Restaurants, Inc. | | | 386,691 | |
| | 39,775 | | | McDonald’s Corp. | | | 2,286,664 | |
| | 6,100 | | | Panera Bread Company — Class A* | | | 304,146 | |
| | | | | | | | | |
| | | | | | | | 3,418,578 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 1.1% |
| | 59,775 | | | Kroger Company (The) | | | 1,318,039 | |
| | 34,200 | | | Safeway, Inc. | | | 696,654 | |
| | 51,500 | | | SUPERVALU, Inc. | | | 666,925 | |
| | | | | | | | | |
| | | | | | | | 2,681,618 | |
| | | | | | | | | |
| | | | | Security Services — 0.2% |
| | 18,918 | | | Brink’s Company (The) | | | 549,190 | |
| | | | | | | | | |
| | | | | Semiconductors — 1.9% |
| | 24,825 | | | Broadcom Corp. — Class A* | | | 615,412 | |
| | 127,450 | | | Intel Corp. | | | 2,109,297 | |
| | 93,200 | | | Texas Instruments, Inc. | | | 1,985,160 | |
| | | | | | | | | |
| | | | | | | | 4,709,869 | |
| | | | | | | | | |
See notes to financial statements.
83
LARGE CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 5.1% |
| | 201,500 | | | AT&T, Inc. | | $ | 5,005,260 | |
| | 14,625 | | | CommScope, Inc.* | | | 384,053 | |
| | 82,900 | | | Corning, Inc. | | | 1,331,374 | |
| | 10,500 | | | Embarq Corp.* | | | 441,630 | |
| | 41,400 | | | NeuStar, Inc. — Class A* | | | 917,424 | |
| | 55,800 | | | QUALCOMM, Inc. | | | 2,522,160 | |
| | 71,100 | | | Verizon Communications, Inc. | | | 2,184,903 | |
| | | | | | | | | |
| | | | | | | | 12,786,804 | |
| | | | | | | | | |
| | | | | Transportation — 1.1% |
| | 12,800 | | | CSX Corp. | | | 443,264 | |
| | 18,850 | | | JB Hunt Transport Services, Inc. | | | 575,491 | |
| | 33,550 | | | Union Pacific Corp. | | | 1,746,613 | |
| | | | | | | | | |
| | | | | | | | 2,765,368 | |
| | | | | | | | | |
| | | | | Utilities — 3.7% |
| | 119,925 | | | AES Corp. (The)* | | | 1,392,329 | |
| | 17,900 | | | Alliant Energy Corp. | | | 467,727 | |
| | 37,500 | | | DTE Energy Company | | | 1,200,000 | |
| | 41,700 | | | Edison International | | | 1,311,882 | |
| | 29,400 | | | FirstEnergy Corp. | | | 1,139,250 | |
| | 31,300 | | | NRG Energy, Inc.* | | | 812,548 | |
| | 89,100 | | | NV Energy, Inc. | | | 961,389 | |
| | 18,500 | | | Public Service Enterprise Group, Inc. | | | 603,655 | |
| | 27,500 | | | Sempra Energy | | | 1,364,825 | |
| | | | | | | | | |
| | | | | | | | 9,253,605 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $274,841,081) | | | 246,431,650 | |
| | | | | | | | | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Repurchase Agreements — 1.3% |
| $ | 3,343,117 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $3,343,118 (Collateralized by various US Treasury Bills, 0.28%-0.31%, due 11/27/09-12/10/09, with a total value of $3,415,271)
(Cost $3,343,117) | | | 3,343,117 | |
| | | | | | | | | |
| | | | | Total Investments — 100.0%
(Cost $278,184,198) | | | 249,774,767 | |
| | | | | Liabilities less other assets — (0.0)% | | | (47,402 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 249,727,365 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $278,184,198.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 9,528,637 | |
| Gross unrealized depreciation | | | (37,938,068 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (28,409,431 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
84
LARGE GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 97.1% |
| | | | | Aerospace and Defense — 3.6% |
| | 237,533 | | | General Dynamics Corp. | | $ | 13,156,953 | |
| | 174,936 | | | Lockheed Martin Corp. | | | 14,108,589 | |
| | 32,300 | | | Northrop Grumman Corp. | | | 1,475,464 | |
| | 184,215 | | | Raytheon Company | | | 8,184,672 | |
| | 59,000 | | | United Technologies Corp. | | | 3,065,640 | |
| | | | | | | | | |
| | | | | | | | 39,991,318 | |
| | | | | | | | | |
| | | | | Agriculture — 2.3% |
| | 60,800 | | | Archer-Daniels-Midland Company | | | 1,627,616 | |
| | 186,857 | | | Monsanto Company | | | 13,890,949 | |
| | 47,389 | | | Mosaic Company (The) | | | 2,099,333 | |
| | 91,078 | | | Potash Corp. of Saskatchewan, Inc. (Canada) | | | 8,474,808 | |
| | | | | | | | | |
| | | | | | | | 26,092,706 | |
| | | | | | | | | |
| | | | | Airlines — 0.0% |
| | 112,600 | | | AMR Corp.* | | | 452,652 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 1.7% |
| | 196,308 | | | Abercrombie & Fitch Company — Class A | | | 4,984,261 | |
| | 47,287 | | | Buckle, Inc. (The) | | | 1,502,308 | |
| | 124,530 | | | Coach, Inc. | | | 3,347,366 | |
| | 93,900 | | | Foot Locker, Inc. | | | 983,133 | |
| | 47,531 | | | Gap, Inc. (The) | | | 779,508 | |
| | 99,297 | | | Guess?, Inc. | | | 2,559,877 | |
| | 48,354 | | | Nordstrom, Inc. | | | 961,761 | |
| | 41,000 | | | Ross Stores, Inc. | | | 1,582,600 | |
| | 130,244 | | | Urban Outfitters, Inc.* | | | 2,718,192 | |
| | | | | | | | | |
| | | | | | | | 19,419,006 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 0.9% |
| | 92,496 | | | Advance Auto Parts, Inc. | | | 3,837,659 | |
| | 46,700 | | | AutoNation, Inc.* | | | 810,245 | |
| | 21,699 | | | AutoZone, Inc.* | | | 3,278,936 | |
| | 60,900 | | | Johnson Controls, Inc. | | | 1,322,748 | |
| | 23,000 | | | Thor Industries, Inc. | | | 422,510 | |
| | | | | | | | | |
| | | | | | | | 9,672,098 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 12.1% |
| | 113,461 | | | American Express Company | | | 2,636,834 | |
| | 31,600 | | | Ameriprise Financial, Inc. | | | 766,932 | |
| | 1,235,833 | | | Bank of America Corp. | | | 16,312,996 | |
| | 20,400 | | | Bank of New York Mellon Corp. | | | 597,924 | |
| | 89,300 | | | Charles Schwab Corp. (The) | | | 1,566,322 | |
| | 27,900 | | | Federated Investors, Inc. — Class B | | | 672,111 | |
| | 146,633 | | | Goldman Sachs Group, Inc. (The) | | | 21,619,569 | |
| | 64,300 | | | Hudson City Bancorp, Inc. | | | 854,547 | |
| | 5,800 | | | IntercontinentalExchange, Inc.* | | | 662,592 | |
| | 188,600 | | | Itau Unibanco Banco Multiplo SA (ADR) (Brazil) | | | 2,985,538 | |
| | 38,900 | | | Jefferies Group, Inc.* | | | 829,737 | |
| | 450,656 | | | JPMorgan Chase & Company | | | 15,371,876 | |
| | 62,552 | | | MasterCard, Inc. — Class A | | | 10,465,575 | |
| | 43,085 | | | Moody’s Corp. | | | 1,135,290 | |
| | 214,585 | | | Morgan Stanley | | | 6,117,818 | |
| | 18,800 | | | Northern Trust Corp. | | | 1,009,184 | |
| | 51,793 | | | State Street Corp. | | | 2,444,630 | |
| | 35,400 | | | T Rowe Price Group, Inc. | | | 1,475,118 | |
| | 605,906 | | | US Bancorp | | | 10,857,836 | |
| | 272,130 | | | Visa, Inc. — Class A | | | 16,942,813 | |
| | 676,708 | | | Wells Fargo & Company | | | 16,416,936 | |
| | 248,098 | | | Western Union Company | | | 4,068,807 | |
| | | | | | | | | |
| | | | | | | | 135,810,985 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 0.4% |
| | 110,164 | | | Comcast Corp. — Class A | | | 1,596,276 | |
| | 91,599 | | | Scripps Networks Interactive — Class A | | | 2,549,201 | |
| | | | | | | | | |
| | | | | | | | 4,145,477 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 0.3% |
| | 50,326 | | | Accenture, Ltd. — Class A (Bermuda) | | | 1,683,908 | |
| | 11,000 | | | Hewitt Associates, Inc. — Class A* | | | 327,580 | |
| | 67,500 | | | SAIC, Inc.* | | | 1,252,125 | |
| | | | | | | | | |
| | | | | | | | 3,263,613 | |
| | | | | | | | | |
| | | | | Chemicals — 1.2% |
| | 45,700 | | | Celanese Corp. — Series A | | | 1,085,375 | |
| | 392,070 | | | Dow Chemical Company (The) | | | 6,328,010 | |
| | 28,700 | | | EI du Pont de Nemours and Company | | | 735,294 | |
| | 27,800 | | | Ecolab, Inc. | | | 1,083,922 | |
| | 33,040 | | | FMC Corp. | | | 1,562,792 | |
| | 20,800 | | | International Flavors & Fragrances, Inc. | | | 680,576 | |
| | 19,500 | | | Lubrizol Corp. (The) | | | 922,545 | |
| | 23,100 | | | Sigma-Aldrich Corp. | | | 1,144,836 | |
| | | | | | | | | |
| | | | | | | | 13,543,350 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 16.6% |
| | 17,400 | | | Affiliated Computer Services, Inc. — Class A* | | | 772,908 | |
| | 254,790 | | | Apple, Inc.* | | | 36,289,739 | |
| | 63,600 | | | Automatic Data Processing, Inc. | | | 2,253,984 | |
| | 210,526 | | | BMC Software, Inc.* | | | 7,113,674 | |
See notes to financial statements.
85
LARGE GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Computer Equipment, Software and Services (continued) |
| | | | | | | | | |
| | 67,500 | | | CA, Inc. | | $ | 1,176,525 | |
| | 101,406 | | | Check Point Software Technologies, Ltd. (Israel)* | | | 2,379,999 | |
| | 25,200 | | | Cognizant Technology Solutions Corp. — Class A* | | | 672,840 | |
| | 203,600 | | | Dell, Inc.* | | | 2,795,428 | |
| | 56,600 | | | Electronic Arts, Inc.* | | | 1,229,352 | |
| | 462,917 | | | EMC Corp.* | | | 6,064,213 | |
| | 162,213 | | | Hewlett-Packard Company | | | 6,269,532 | |
| | 349,824 | | | International Business Machines Corp. | | | 36,528,621 | |
| | 1,496,892 | | | Microsoft Corp. | | | 35,581,122 | |
| | 756,848 | | | NetApp, Inc.* | | | 14,925,043 | |
| | 1,065,280 | | | Oracle Corp. | | | 22,818,298 | |
| | 105,644 | | | Riverbed Technology, Inc.* | | | 2,449,884 | |
| | 39,900 | | | SanDisk Corp.* | | | 586,131 | |
| | 36,927 | | | Sybase, Inc.* | | | 1,157,292 | |
| | 131,313 | | | Teradata Corp.* | | | 3,076,664 | |
| | | | | | | | | |
| | | | | | | | 184,141,249 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 2.3% |
| | 151,102 | | | Altria Group, Inc. | | | 2,476,562 | |
| | 27,000 | | | Clorox Company (The) | | | 1,507,410 | |
| | 21,400 | | | Colgate-Palmolive Company | | | 1,513,836 | |
| | 10,600 | | | Energizer Holdings, Inc.* | | | 553,744 | |
| | 13,700 | | | Kimberly-Clark Corp. | | | 718,291 | |
| | 261,445 | | | Philip Morris International, Inc. | | | 11,404,231 | |
| | 157,772 | | | Procter & Gamble Company (The) | | | 8,062,149 | |
| | | | | | | | | |
| | | | | | | | 26,236,223 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.2% |
| | 42,700 | | | Crown Holdings, Inc.* | | | 1,030,778 | |
| | 44,800 | | | Pactiv Corp.* | | | 972,160 | |
| | | | | | | | | |
| | | | | | | | 2,002,938 | |
| | | | | | | | | |
| | | | | Distribution — 0.1% |
| | 13,700 | | | Tech Data Corp.* | | | 448,127 | |
| | 31,700 | | | WESCO International, Inc.* | | | 793,768 | |
| | | | | | | | | |
| | | | | | | | 1,241,895 | |
| | | | | | | | | |
| | | | | Diversified Operations and Services — 0.1% |
| | 66,400 | | | McDermott International, Inc. (Panama)* | | | 1,348,584 | |
| | | | | | | | | |
| | | | | Education — 0.7% |
| | 54,388 | | | Apollo Group, Inc. — Class A* | | | 3,868,075 | |
| | 44,284 | | | ITT Educational Services, Inc.* | | | 4,457,627 | |
| | | | | | | | | |
| | | | | | | | 8,325,702 | |
| | | | | | | | | |
| | | | | Electronics — 0.8% |
| | 47,300 | | | Arrow Electronics, Inc.* | | | 1,004,652 | |
| | 25,900 | | | Avnet, Inc.* | | | 544,677 | |
| | 161,628 | | | Emerson Electric Company | | | 5,236,747 | |
| | 19,200 | | | Hubbell, Inc. — Class B | | | 615,552 | |
| | 43,835 | | | Synopsys, Inc.* | | | 855,221 | |
| | 33,500 | | | Thomas & Betts Corp.* | | | 966,810 | |
| | | | | | | | | |
| | | | | | | | 9,223,659 | |
| | | | | | | | | |
| | | | | Engineering — 0.6% |
| | 92,950 | | | Fluor Corp. | | | 4,767,405 | |
| | 21,944 | | | Jacobs Engineering Group, Inc.* | | | 923,623 | |
| | 17,700 | | | URS Corp.* | | | 876,504 | |
| | | | | | | | | |
| | | | | | | | 6,567,532 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.6% |
| | 191,940 | | | Wynn Resorts, Ltd.* | | | 6,775,482 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 0.1% |
| | 22,300 | | | Aaron’s, Inc. | | | 664,986 | |
| | | | | | | | | |
| | | | | Food and Beverage — 1.8% |
| | 127,404 | | | Coca-Cola Company (The) | | | 6,114,118 | |
| | 25,100 | | | Dean Foods Company* | | | 481,669 | |
| | 20,500 | | | General Mills, Inc. | | | 1,148,410 | |
| | 36,000 | | | Hershey Company (The) | | | 1,296,000 | |
| | 43,700 | | | HJ Heinz Company | | | 1,560,090 | |
| | 11,500 | | | Kellogg Company | | | 535,555 | |
| | 94,969 | | | PepsiCo, Inc. | | | 5,219,496 | |
| | 125,000 | | | Sara Lee Corp. | | | 1,220,000 | |
| | 89,088 | | | Sysco Corp. | | | 2,002,698 | |
| | | | | | | | | |
| | | | | | | | 19,578,036 | |
| | | | | | | | | |
| | | | | Insurance — 0.6% |
| | 28,100 | | | Aflac, Inc. | | | 873,629 | |
| | 37,200 | | | Arthur J. Gallagher & Company | | | 793,848 | |
| | 22,300 | | | Brown & Brown, Inc. | | | 444,439 | |
| | 64,500 | | | Coventry Health Care, Inc.* | | | 1,206,795 | |
| | 29,700 | | | Endurance Specialty Holdings, Ltd. (Bermuda) | | | 870,210 | |
| | 40,700 | | | Marsh & McLennan Companies, Inc. | | | 819,291 | |
| | 16,000 | | | Reinsurance Group of America, Inc. | | | 558,560 | |
| | 35,800 | | | WR Berkley Corp. | | | 768,626 | |
| | | | | | | | | |
| | | | | | | | 6,335,398 | |
| | | | | | | | | |
| | | | | Internet Services — 8.2% |
| | 65,613 | | | Amazon.com, Inc.* | | | 5,489,184 | |
| | 1,640,380 | | | Cisco Systems, Inc.* | | | 30,576,683 | |
| | 280,398 | | | eBay, Inc.* | | | 4,803,218 | |
See notes to financial statements.
86
LARGE GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Internet Services (continued) |
| | | | | | | | | |
| | 205,964 | | | Giant Interactive Group, Inc. (ADR) (Cayman Islands) | | $ | 1,672,428 | |
| | 75,030 | | | Google, Inc. — Class A* | | | 31,631,897 | |
| | 314,632 | | | Juniper Networks, Inc.* | | | 7,425,315 | |
| | 35,300 | | | McAfee, Inc.* | | | 1,489,307 | |
| | 237,800 | | | Novell, Inc.* | | | 1,077,234 | |
| | 20,397 | | | Shanda Interactive Entertainment, Ltd. (ADR) (Cayman Islands)* | | | 1,066,559 | |
| | 52,898 | | | Sohu.com, Inc.* | | | 3,323,581 | |
| | 202,996 | | | Symantec Corp.* | | | 3,158,618 | |
| | 32,900 | | | Yahoo!, Inc.* | | | 515,214 | |
| | | | | | | | | |
| | | | | | | | 92,229,238 | |
| | | | | | | | | |
| | | | | Machinery — 1.4% |
| | 167,064 | | | Caterpillar, Inc. | | | 5,519,794 | |
| | 139,281 | | | Cummins, Inc. | | | 4,904,084 | |
| | 16,444 | | | Deere & Company | | | 656,938 | |
| | 137,289 | | | Joy Global, Inc. | | | 4,903,963 | |
| | | | | | | | | |
| | | | | | | | 15,984,779 | |
| | | | | | | | | |
| | | | | Manufacturing — 1.6% |
| | 32,800 | | | 3M Company | | | 1,971,280 | |
| | 44,500 | | | Crane Company | | | 992,795 | |
| | 196,397 | | | Dover Corp. | | | 6,498,776 | |
| | 52,732 | | | Honeywell International, Inc. | | | 1,655,785 | |
| | 83,084 | | | Illinois Tool Works, Inc. | | | 3,102,357 | |
| | 38,600 | | | Leggett & Platt, Inc. | | | 587,878 | |
| | 38,894 | | | Parker Hannifin Corp. | | | 1,670,886 | |
| | 16,200 | | | Sherwin-Williams Company (The) | | | 870,750 | |
| | | | | | | | | |
| | | | | | | | 17,350,507 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 2.6% |
| | 32,700 | | | Baxter International, Inc. | | | 1,731,792 | |
| | 28,000 | | | Gen-Probe, Inc.* | | | 1,203,440 | |
| | 40,522 | | | Humana, Inc.* | | | 1,307,240 | |
| | 8,282 | | | Intuitive Surgical, Inc.* | | | 1,355,432 | |
| | 140,635 | | | Johnson & Johnson | | | 7,988,067 | |
| | 60,541 | | | Life Technologies Corp.* | | | 2,525,771 | |
| | 28,700 | | | Lincare Holdings, Inc.* | | | 675,024 | |
| | 34,015 | | | McKesson Corp. | | | 1,496,660 | |
| | 207,811 | | | Medtronic, Inc. | | | 7,250,526 | |
| | 21,000 | | | Techne Corp. | | | 1,340,010 | |
| | 48,430 | | | Varian Medical Systems, Inc.* | | | 1,701,830 | |
| | | | | | | | | |
| | | | | | | | 28,575,792 | |
| | | | | | | | | |
| | | | | Metals and Mining — 1.6% |
| | 38,700 | | | AK Steel Holding Corp. | | | 742,653 | |
| | 57,787 | | | Barrick Gold Corp. (Canada) | | | 1,938,754 | |
| | 167,300 | | | BHP Billiton PLC (ADR) (United Kingdom) | | | 7,605,458 | |
| | 42,700 | | | Newmont Mining Corp. | | | 1,745,149 | |
| | 120,618 | | | Nucor Corp. | | | 5,359,058 | |
| | | | | | | | | |
| | | | | | | | 17,391,072 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 8.2% |
| | 52,287 | | | Apache Corp. | | | 3,772,507 | |
| | 135,879 | | | Baker Hughes, Inc. | | | 4,951,431 | |
| | 44,000 | | | Cameron International Corp.* | | | 1,245,200 | |
| | 77,598 | | | Diamond Offshore Drilling, Inc. | | | 6,444,514 | |
| | 24,700 | | | Dresser-Rand Group, Inc.* | | | 644,670 | |
| | 78,293 | | | Exxon Mobil Corp. | | | 5,473,464 | |
| | 68,400 | | | Frontier Oil Corp. | | | 896,724 | |
| | 90,700 | | | Helix Energy Solutions Group, Inc.* | | | 985,909 | |
| | 55,303 | | | Hess Corp. | | | 2,972,536 | |
| | 78,853 | | | Noble Energy, Inc. | | | 4,649,961 | |
| | 180,332 | | | Occidental Petroleum Corp. | | | 11,867,649 | |
| | 48,032 | | | Oceaneering International, Inc.* | | | 2,171,046 | |
| | 312,075 | | | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | | | 12,788,834 | |
| | 12,400 | | | Praxair, Inc. | | | 881,268 | |
| | 40,148 | | | Schlumberger, Ltd. (Netherlands Antilles) | | | 2,172,408 | |
| | 252,119 | | | Smith International, Inc. | | | 6,492,064 | |
| | 42,900 | | | Southwestern Energy Company* | | | 1,666,665 | |
| | 41,800 | | | Tesoro Corp. | | | 532,114 | |
| | 283,704 | | | Transocean, Ltd. (Switzerland)* | | | 21,076,371 | |
| | | | | | | | | |
| | | | | | | | 91,685,335 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 5.3% |
| | 327,238 | | | Abbott Laboratories | | | 15,393,276 | |
| | 12,100 | | | Allergan, Inc. | | | 575,718 | |
| | 66,476 | | | AmerisourceBergen Corp. | | | 1,179,284 | |
| | 94,400 | | | Amgen, Inc.* | | | 4,997,536 | |
| | 75,040 | | | Amylin Pharmaceuticals, Inc.* | | | 1,013,040 | |
| | 41,820 | | | AstraZeneca PLC (ADR) (United Kingdom) | | | 1,845,935 | |
| | 131,450 | | | Bristol-Myers Squibb Company | | | 2,669,750 | |
| | 56,700 | | | Celgene Corp.* | | | 2,712,528 | |
| | 25,600 | | | Dendreon Corp.* | | | 636,160 | |
| | 237,727 | | | Eli Lilly and Company | | | 8,234,863 | |
| | 34,520 | | | Express Scripts, Inc.* | | | 2,373,250 | |
| | 249,392 | | | Gilead Sciences, Inc.* | | | 11,681,521 | |
| | 18,800 | | | Medco Health Solutions, Inc.* | | | 857,468 | |
| | 30,400 | | | Omnicare, Inc. | | | 783,104 | |
See notes to financial statements.
87
LARGE GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Pharmaceuticals/Research and Development (continued) |
| | | | | | | | | |
| | 21,900 | | | OSI Pharmaceuticals, Inc.* | | $ | 618,237 | |
| | 99,700 | | | Schering-Plough Corp. | | | 2,504,464 | |
| | 43,900 | | | Valeant Pharmaceuticals International* | | | 1,129,108 | |
| | 16,300 | | | Vertex Pharmaceuticals, Inc.* | | | 580,932 | |
| | | | | | | | | |
| | | | | | | | 59,786,174 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 0.4% |
| | 24,500 | | | Digital Realty Trust, Inc. | | | 878,325 | |
| | 15,500 | | | Federal Realty Investment Trust | | | 798,560 | |
| | 45,000 | | | HCP, Inc. | | | 953,550 | |
| | 18,200 | | | Health Care REIT, Inc. | | | 620,620 | |
| | 36,300 | | | Nationwide Health Properties, Inc. | | | 934,362 | |
| | | | | | | | | |
| | | | | | | | 4,185,417 | |
| | | | | | | | | |
| | | | | Retail — 5.9% |
| | 45,100 | | | Barnes & Noble, Inc. | | | 930,413 | |
| | 47,900 | | | Best Buy Company, Inc. | | | 1,604,171 | |
| | 21,200 | | | Big Lots, Inc.* | | | 445,836 | |
| | 55,300 | | | Costco Wholesale Corp. | | | 2,527,210 | |
| | 450,811 | | | CVS Caremark Corp. | | | 14,367,347 | |
| | 20,100 | | | Dollar Tree, Inc.* | | | 846,210 | |
| | 51,993 | | | GameStop Corp. — Class A* | | | 1,144,366 | |
| | 564,283 | | | Lowe’s Companies, Inc. | | | 10,952,733 | |
| | 57,800 | | | PetSmart, Inc. | | | 1,240,388 | |
| | 59,100 | | | RadioShack Corp. | | | 825,036 | |
| | 68,494 | | | Target Corp. | | | 2,703,458 | |
| | 225,062 | | | TJX Companies, Inc. (The) | | | 7,080,451 | |
| | 91,100 | | | Walgreen Company | | | 2,678,340 | |
| | 395,515 | | | Wal-Mart Stores, Inc. | | | 19,158,746 | |
| | | | | | | | | |
| | | | | | | | 66,504,705 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 3.4% |
| | 641,734 | | | McDonald’s Corp. | | | 36,893,288 | |
| | 19,500 | | | YUM! Brands, Inc. | | | 650,130 | |
| | | | | | | | | |
| | | | | | | | 37,543,418 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 0.1% |
| | 35,200 | | | Kroger Company (The) | | | 776,160 | |
| | 31,200 | | | Whole Foods Market, Inc.* | | | 592,176 | |
| | | | | | | | | |
| | | | | | | | 1,368,336 | |
| | | | | | | | | |
| | | | | Scientific and Technical Instruments — 0.2% |
| | 26,700 | | | Agilent Technologies, Inc.* | | | 542,277 | |
| | 71,000 | | | PerkinElmer, Inc. | | | 1,235,400 | |
| | | | | | | | | |
| | | | | | | | 1,777,677 | |
| | | | | | | | | |
| | | | | Semiconductors — 4.6% |
| | 639,435 | | | Altera Corp. | | | 10,410,001 | |
| | 168,867 | | | Analog Devices, Inc. | | | 4,184,524 | |
| | 318,384 | | | Emulex Corp.* | | | 3,113,796 | |
| | 615,454 | | | Intel Corp. | | | 10,185,763 | |
| | 56,000 | | | Intersil Corp. — Class A | | | 703,920 | |
| | 1,700 | | | LSI Corp.* | | | 7,752 | |
| | 43,200 | | | NVIDIA Corp.* | | | 487,728 | |
| | 507,020 | | | QLogic Corp.* | | | 6,429,014 | |
| | 396,505 | | | Texas Instruments, Inc. | | | 8,445,557 | |
| | 384,669 | | | Xilinx, Inc. | | | 7,870,328 | |
| | | | | | | | | |
| | | | | | | | 51,838,383 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 3.4% |
| | 23,900 | | | American Tower Corp. — Class A* | | | 753,567 | |
| | 95,593 | | | Brasil Telecom SA (ADR) (Brazil) | | | 1,870,755 | |
| | 89,508 | | | Corning, Inc. | | | 1,437,498 | |
| | 158,400 | | | Frontier Communications Corp. | | | 1,130,976 | |
| | 40,200 | | | Harris Corp. | | | 1,140,072 | |
| | 89,400 | | | Motorola, Inc. | | | 592,722 | |
| | 32,800 | | | NII Holdings, Inc.* | | | 625,496 | |
| | 656,381 | | | QUALCOMM, Inc. | | | 29,668,422 | |
| | 78,000 | | | Qwest Communications International, Inc. | | | 323,700 | |
| | 67,200 | | | Windstream Corp. | | | 561,792 | �� |
| | | | | | | | | |
| | | | | | | | 38,105,000 | |
| | | | | | | | | |
| | | | | Toys — 0.1% |
| | 44,602 | | | Hasbro, Inc. | | | 1,081,152 | |
| | | | | | | | | |
| | | | | Transportation — 2.9% |
| | 34,100 | | | CH Robinson Worldwide, Inc. | | | 1,778,315 | |
| | 39,500 | | | GATX Corp. | | | 1,015,940 | |
| | 206,797 | | | Norfolk Southern Corp. | | | 7,790,043 | |
| | 386,609 | | | Union Pacific Corp. | | | 20,126,865 | |
| | 33,300 | | | United Parcel Service, Inc. — Class B | | | 1,664,667 | |
| | | | | | | | | |
| | | | | | | | 32,375,830 | |
| | | | | | | | | |
| | | | | Utilities — 0.2% |
| | 90,400 | | | CenterPoint Energy, Inc. | | | 1,001,632 | |
| | 8,100 | | | FPL Group, Inc. | | | 460,566 | |
| | 30,700 | | | PPL Corp. | | | 1,011,872 | |
| | | | | | | | | |
| | | | | | | | 2,474,070 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $1,130,608,991) | | | 1,085,089,774 | |
| | | | | | | | | |
See notes to financial statements.
88
LARGE GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Principal | | | | Value |
| |
| | | | | Repurchase Agreements — 2.6% |
| $ | 29,407,920 | | | With State Street Bank and Trust, dated 06/30//09, 0.01%, due 07/01/09, repurchase proceeds at maturity $29,407,928 (Collateralized by various US Treasury Bills, 0.28%-0.31%, due 11/27/09-12/10/09, with a total value of $30,003,315)
(Cost $29,407,920) | | $ | 29,407,920 | |
| | | | | | | | | |
| | | | | Total Investments — 99.7%
(Cost $1,160,016,911) | | | 1,114,497,694 | |
| | | | | Other assets less liabilities — 0.3% | | | 3,721,652 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 1,118,219,346 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $1,160,016,911.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 69,385,444 | |
| Gross unrealized depreciation | | | (114,904,661 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (45,519,217 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
89
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 99.2% |
| | | | | Agriculture — 4.4% |
| | 108,200 | | | Archer-Daniels-Midland Company | | $ | 2,896,514 | |
| | 41,470 | | | Monsanto Company | | | 3,082,880 | |
| | 22,700 | | | Potash Corp. of Saskatchewan, Inc. (Canada) | | | 2,112,235 | |
| | | | | | | | | |
| | | | | | | | 8,091,629 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 1.5% |
| | 51,000 | | | Coach, Inc. | | | 1,370,880 | |
| | 56,580 | | | Guess?, Inc. | | | 1,458,632 | |
| | | | | | | | | |
| | | | | | | | 2,829,512 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles,
Automotive Equipment and Repairs — 1.1% |
| | 74,240 | | | Honda Motor Company, Ltd. (ADR) (Japan) | | | 2,031,949 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 7.3% |
| | 95,000 | | | Charles Schwab Corp. (The) | | | 1,666,300 | |
| | 20,150 | | | Goldman Sachs Group, Inc. (The) | | | 2,970,916 | |
| | 78,700 | | | Morgan Stanley | | | 2,243,737 | |
| | 56,490 | | | PNC Financial Services Group, Inc. | | | 2,192,377 | |
| | 52,820 | | | T Rowe Price Group, Inc. | | | 2,201,009 | |
| | 36,280 | | | Visa, Inc.-— Class A | | | 2,258,793 | |
| | | | | | | | | |
| | | | | | | | 13,533,132 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 1.3% |
| | 97,525 | | | Robert Half International, Inc. | | | 2,303,541 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 12.0% |
| | 171,200 | | | Activision Blizzard, Inc.* | | | 2,162,256 | |
| | 61,430 | | | Adobe Systems, Inc.* | | | 1,738,469 | |
| | 48,420 | | | Apple, Inc.* | | | 6,896,461 | |
| | 72,810 | | | International Business Machines Corp. | | | 7,602,819 | |
| | 54,000 | | | MSCI, Inc. — Class A* | | | 1,319,760 | |
| | 55,830 | | | Salesforce.com, Inc.* | | | 2,131,031 | |
| | | | | | | | | |
| | | | | | | | 21,850,796 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 3.2% |
| | 6,453 | | | NVR, Inc.* | | | 3,241,923 | |
| | 302,330 | | | Pulte Homes, Inc. | | | 2,669,574 | |
| | | | | | | | | |
| | | | | | | | 5,911,497 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 1.3% |
| | 91,800 | | | Avon Products, Inc. | | | 2,366,604 | |
| | | | | | | | | |
| | | | | Energy Services — 0.8% |
| | 8,920 | | | First Solar, Inc.* | | | 1,446,110 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 1.9% |
| | 65,630 | | | International Game Technology | | | 1,043,517 | |
| | 45,350 | | | Starwood Hotels & Resorts Worldwide, Inc. | | | 1,006,770 | |
| | 42,500 | | | Wynn Resorts, Ltd.* | | | 1,500,250 | |
| | | | | | | | | |
| | | | | | | | 3,550,537 | |
| | | | | | | | | |
| | | | | Food and Beverage — 1.1% |
| | 67,120 | | | Hansen Natural Corp.* | | | 2,068,638 | |
| | | | | | | | | |
| | | | | Internet Services — 11.0% |
| | 59,060 | | | Amazon.com, Inc.* | | | 4,940,960 | |
| | 70,410 | | | F5 Networks, Inc.* | | | 2,435,482 | |
| | 17,240 | | | Google, Inc. — Class A* | | | 7,268,211 | |
| | 119,100 | | | Juniper Networks, Inc.* | | | 2,810,760 | |
| | 66,800 | | | McAfee, Inc.* | | | 2,818,292 | |
| | | | | | | | | |
| | | | | | | | 20,273,705 | |
| | | | | | | | | |
| | | | | Machinery — 1.7% |
| | 49,260 | | | Cummins, Inc. | | | 1,734,445 | |
| | 39,450 | | | Joy Global, Inc. | | | 1,409,154 | |
| | | | | | | | | |
| | | | | | | | 3,143,599 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 3.5% |
| | 43,200 | | | Henry Schein, Inc.* | | | 2,071,440 | |
| | 6,900 | | | Intuitive Surgical, Inc.* | | | 1,129,254 | |
| | 80,340 | | | St Jude Medical, Inc.* | | | 3,301,974 | |
| | | | | | | | | |
| | | | | | | | 6,502,668 | |
| | | | | | | | | |
| | | | | Metals and Mining — 3.9% |
| | 244,650 | | | Alcoa, Inc. | | | 2,527,235 | |
| | 56,830 | | | Nucor Corp. | | | 2,524,957 | |
| | 61,230 | | | United States Steel Corp. | | | 2,188,360 | |
| | | | | | | | | |
| | | | | | | | 7,240,552 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 6.5% |
| | 41,750 | | | Occidental Petroleum Corp. | | | 2,747,568 | |
| | 63,790 | | | Petrohawk Energy Corp.* | | | 1,422,517 | |
| | 68,570 | | | Petroleo Brasileiro SA — Petrobras (ADR) (Brazil) | | | 2,809,999 | |
| | 54,190 | | | Southwestern Energy Company* | | | 2,105,282 | |
| | 145,420 | | | Weatherford International, Ltd. (Switzerland)* | | | 2,844,414 | |
| | | | | | | | | |
| | | | | | | | 11,929,780 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 9.3% |
| | 81,240 | | | Alexion Pharmaceuticals, Inc.* | | | 3,340,589 | |
| | 38,040 | | | Allergan, Inc. | | | 1,809,943 | |
| | 52,830 | | | Express Scripts, Inc.* | | | 3,632,063 | |
| | 118,930 | | | Gilead Sciences, Inc.* | | | 5,570,681 | |
| | 56,280 | | | Teva Pharmaceutical Industries, Ltd. (ADR) (Israel) | | | 2,776,855 | |
| | | | | | | | | |
| | | | | | | | 17,130,131 | |
| | | | | | | | | |
See notes to financial statements.
90
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Retail — 3.8% |
| | 73,180 | | | Best Buy Company, Inc. | | $ | 2,450,798 | |
| | 56,850 | | | Kohl’s Corp.* | | | 2,430,338 | |
| | 113,600 | | | Lowe’s Companies, Inc. | | | 2,204,976 | |
| | | | | | | | | |
| | | | | | | | 7,086,112 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 1.2% |
| | 112,260 | | | Whole Foods Market, Inc.* | | | 2,130,695 | |
| | | | | | | | | |
| | | | | Semiconductors — 11.8% |
| | 328,690 | | | Applied Materials, Inc. | | | 3,605,728 | |
| | 105,950 | | | ASML Holding NV (the Netherlands) | | | 2,293,818 | |
| | 176,320 | | | Broadcom Corp. — Class A* | | | 4,370,972 | |
| | 128,860 | | | Lam Research Corp.* | | | 3,350,360 | |
| | 452,000 | | | Micron Technology, Inc.* | | | 2,287,120 | |
| | 251,360 | | | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) (Taiwan) | | | 2,365,298 | |
| | 160,700 | | | Xilinx, Inc. | | | 3,287,922 | |
| | | | | | | | | |
| | | | | | | | 21,561,218 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 9.9% |
| | 510,000 | | | Alcatel-Lucent (ADR) (France)* | | | 1,264,800 | |
| | 48,000 | | | China Mobile, Ltd. (ADR)
(Hong Kong) | | | 2,403,840 | |
| | 269,170 | | | Corning, Inc. | | | 4,322,870 | |
| | 29,310 | | | Millicom International Cellular SA (Luxembourg)* | | | 1,648,981 | |
| | 191,990 | | | QUALCOMM, Inc. | | | 8,677,948 | |
| | | | | | | | | |
| | | | | | | | 18,318,439 | |
| | | | | | | | | |
| | | | | Transportation — 0.7% |
| | 26,300 | | | CH Robinson Worldwide, Inc. | | | 1,371,545 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $176,242,010) | | | 182,672,389 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | | | | | |
| | | | | Repurchase Agreements — 0.2% |
| $ | 307,387 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $307,387 (Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $314,622) (Cost $307,387) | | | 307,387 | |
| | | | | | | | | |
| | | | | Total Investments — 99.4%
(Cost $176,549,397) | | | 182,979,776 | |
| | | | | Other assets less liabilities — 0.6% | | | 1,163,647 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 184,143,423 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $176,549,397.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 18,267,223 | |
| Gross unrealized depreciation | | | (11,836,844 | ) |
| | | | | |
| Net unrealized appreciation | | $ | 6,430,379 | |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
91
MID VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 96.6% |
| | | | | | | | | |
| | | | | Advertising — 1.0% |
| | 205,000 | | | Omnicom Group, Inc. | | $ | 6,473,900 | |
| | | | | | | | | |
| | | | | Aerospace and Defense — 3.1% |
| | 241,849 | | | Goodrich Corp. | | | 12,085,195 | |
| | 14,000 | | | L-3 Communications Holdings, Inc. | | | 971,320 | |
| | 166,700 | | | Raytheon Company | | | 7,406,481 | |
| | | | | | | | | |
| | | | | | | | 20,462,996 | |
| | | | | | | | | |
| | | | | Agriculture — 0.5% |
| | 70,700 | | | Archer-Daniels-Midland Company | | | 1,892,639 | |
| | 24,000 | | | Bunge, Ltd. (Bermuda) | | | 1,446,000 | |
| | | | | | | | | |
| | | | | | | | 3,338,639 | |
| | | | | | | | | |
| | | | | Airlines — 0.4% |
| | 103,811 | | | AMR Corp.* | | | 417,320 | |
| | 48,661 | | | Continental Airlines, Inc. — Class B* | | | 431,136 | |
| | 154,426 | | | Delta Air Lines, Inc.* | | | 894,127 | |
| | 16,800 | | | SkyWest, Inc. | | | 171,360 | |
| | 56,259 | | | UAL Corp.* | | | 179,466 | |
| | 128,409 | | | US Airways Group, Inc.* | | | 312,034 | |
| | | | | | | | | |
| | | | | | | | 2,405,443 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 0.9% |
| | 60,100 | | | Cato Corp. — Class A (The) | | | 1,048,144 | |
| | 74,500 | | | Foot Locker, Inc. | | | 780,015 | |
| | 74,800 | | | Gap, Inc. (The) | | | 1,226,720 | |
| | 114,000 | | | Jones Apparel Group, Inc. | | | 1,223,220 | |
| | 34,854 | | | VF Corp. | | | 1,929,169 | |
| | | | | | | | | |
| | | | | | | | 6,207,268 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 2.4% |
| | 136,000 | | | Advance Auto Parts, Inc. | | | 5,642,640 | |
| | 43,700 | | | Autoliv, Inc. | | | 1,257,249 | |
| | 27,403 | | | Genuine Parts Company | | | 919,645 | |
| | 82,500 | | | Harley-Davidson, Inc. | | | 1,337,325 | |
| | 190,200 | | | Johnson Controls, Inc. | | | 4,131,144 | |
| | 145,566 | | | WABCO Holdings, Inc. | | | 2,576,518 | |
| | | | | | | | | |
| | | | | | | | 15,864,521 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 9.8% |
| | 164,800 | | | Advance America Cash Advance Centers, Inc. | | | 730,064 | |
| | 66,800 | | | Ameriprise Financial, Inc. | | | 1,621,236 | |
| | 106,400 | | | Banco Latinoamericano de Comercio Exterior, SA — Class E (Panama) | | | 1,322,552 | |
| | 304,650 | | | Bank of New York Mellon Corp. | | | 8,929,292 | |
| | 54,000 | | | BB&T Corp. | | | 1,186,920 | |
| | 69,700 | | | Capital One Financial Corp. | | | 1,525,036 | |
| | 781,893 | | | CIT Group, Inc. | | | 1,681,070 | |
| | 44,400 | | | Comerica, Inc. | | | 939,060 | |
| | 20,619 | | | Cullen/Frost Bankers, Inc. | | | 950,948 | |
| | 233,500 | | | Huntington Bancshares, Inc. | | | 976,030 | |
| | 88,399 | | | Invesco, Ltd. (Bermuda) | | | 1,575,270 | |
| | 791,400 | | | KeyCorp | | | 4,146,936 | |
| | 26,522 | | | M&T Bank Corp. | | | 1,350,765 | |
| | 62,900 | | | Morgan Stanley | | | 1,793,279 | |
| | 560,849 | | | People’s United Financial, Inc. | | | 8,435,169 | |
| | 28,200 | | | PNC Financial Services Group, Inc. | | | 1,094,442 | |
| | 193,166 | | | Regions Financial Corp. | | | 780,391 | |
| | 22,259 | | | SLM Corp.* | | | 228,600 | |
| | 226,850 | | | State Street Corp. | | | 10,707,319 | |
| | 413,000 | | | SunTrust Banks, Inc. | | | 6,793,850 | |
| | 430,700 | | | Western Union Company | | | 7,063,480 | |
| | | | | | | | | |
| | | | | | | | 63,831,709 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 1.3% |
| | 79,800 | | | Belo Corp. | | | 142,842 | |
| | 73,300 | | | DISH Network Corp. — Class A* | | | 1,188,193 | |
| | 259,300 | | | Liberty Media Corp.- Entertainment- Series A* | | | 6,936,275 | |
| | | | | | | | | |
| | | | | | | | 8,267,310 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 2.7% |
| | 242,200 | | | Convergys Corp.* | | | 2,247,616 | |
| | 94,300 | | | Dun & Bradstreet Corp. | | | 7,658,103 | |
| | 160,700 | | | Fidelity National Information Services, Inc. | | | 3,207,572 | |
| | 72,450 | | | Manpower, Inc. | | | 3,067,533 | |
| | 84,461 | | | Ritchie Brothers Auctioneers, Inc. (Canada) | | | 1,980,610 | |
| | | | | | | | | |
| | | | | | | | 18,161,434 | |
| | | | | | | | | |
| | | | | Chemicals — 4.3% |
| | 122,900 | | | Air Products & Chemicals, Inc. | | | 7,938,111 | |
| | 96,629 | | | Eastman Chemical Company | | | 3,662,239 | |
| | 80,900 | | | FMC Corp. | | | 3,826,570 | |
| | 113,253 | | | Lubrizol Corp. (The) | | | 5,357,999 | |
| | 35,700 | | | NewMarket Corp. | | | 2,403,681 | |
| | 146,500 | | | PolyOne Corp.* | | | 397,015 | |
| | 104,534 | | | PPG Industries, Inc. | | | 4,589,043 | |
| | | | | | | | | |
| | | | | | | | 28,174,658 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 6.7% |
| | 177,100 | | | 3Com Corp.* | | | 834,141 | |
| | 45,269 | | | Adobe Systems, Inc.* | | | 1,281,113 | |
| | 61,298 | | | Autodesk, Inc.* | | | 1,163,436 | |
| | 309,147 | | | BMC Software, Inc.* | | | 10,446,077 | |
| | 50,577 | | | Brocade Communications Systems, Inc.* | | | 395,512 | |
| | 226,700 | | | Cognizant Technology Solutions Corp. — Class A* | | | 6,052,890 | |
| | 49,600 | | | Computer Sciences Corp.* | | | 2,197,280 | |
| | 272,000 | | | Electronic Arts, Inc.* | | | 5,907,840 | |
| | 81,600 | | | Lexmark International, Inc. — Class A* | | | 1,293,360 | |
| | 426,150 | | | Parametric Technology Corp.* | | | 4,981,694 | |
See notes to financial statements.
92
MID VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Computer Equipment, Software and Services (continued) |
| | | | | | | | | |
| | 691,300 | | | Seagate Technology (Cayman Islands) | | $ | 7,230,998 | |
| | 79,700 | | | Sun Microsystems, Inc.* | | | 734,834 | |
| | 60,000 | | | Western Digital Corp.* | | | 1,590,000 | |
| | | | | | | | | |
| | | | | | | | 44,109,175 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 0.6% |
| | 142,442 | | | Cemex SAB de CV (ADR) (Mexico)* | | | 1,330,407 | |
| | 39,794 | | | Centex Corp. | | | 336,657 | |
| | 50,599 | | | Chicago Bridge & Iron Company NV (the Netherlands) | | | 627,428 | |
| | 74,463 | | | DR Horton, Inc. | | | 696,974 | |
| | 12,041 | | | Insituform Technologies, Inc. — Class A* | | | 204,336 | |
| | 27,081 | | | KB HOME | | | 370,468 | |
| | 52,761 | | | Pulte Homes, Inc. | | | 465,880 | |
| | | | | | | | | |
| | | | | | | | 4,032,150 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 1.9% |
| | 59,400 | | | American Greetings Corp. — Class A | | | 693,792 | |
| | 36,700 | | | Black & Decker Corp. (The) | | | 1,051,822 | |
| | 13,975 | | | Blyth, Inc. | | | 458,240 | |
| | 62,000 | | | Eastman Kodak Company | | | 183,520 | |
| | 69,800 | | | Ethan Allen Interiors, Inc. | | | 723,128 | |
| | 82,878 | | | Lorillard, Inc. | | | 5,616,642 | |
| | 30,664 | | | Mohawk Industries, Inc.* | | | 1,094,092 | |
| | 122,400 | | | Newell Rubbermaid, Inc. | | | 1,274,184 | |
| | 41,800 | | | Whirlpool Corp. | | | 1,779,008 | |
| | | | | | | | | |
| | | | | | | | 12,874,428 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.2% |
| | 60,500 | | | Sonoco Products Company | | | 1,448,975 | |
| | | | | | | | | |
| | | | | Distribution — 0.1% |
| | 5,148 | | | WW Grainger, Inc. | | | 421,518 | |
| | | | | | | | | |
| | | | | Diversified Operations and Services — 0.2% |
| | 38,879 | | | McDermott International, Inc. (Panama)* | | | 789,632 | |
| | 19,977 | | | PICO Holdings, Inc.* | | | 573,340 | |
| | | | | | | | | |
| | | | | | | | 1,362,972 | |
| | | | | | | | | |
| | | | | Electronics — 2.2% |
| | 173,600 | | | Amphenol Corp. — Class A | | | 5,492,704 | |
| | 197,300 | | | Avnet, Inc.* | | | 4,149,219 | |
| | 122,400 | | | Benchmark Electronics, Inc.* | | | 1,762,560 | |
| | 275,155 | | | Celestica, Inc. (Canada)* | | | 1,876,557 | |
| | 29,100 | | | Thomas & Betts Corp.* | | | 839,826 | |
| | 99,500 | | | Vishay Intertechnology, Inc.* | | | 675,605 | |
| | | | | | | | | |
| | | | | | | | 14,796,471 | |
| | | | | | | | | |
| | | | | Engineering — 0.4% |
| | 15,990 | | | Fluor Corp. | | | 820,127 | |
| | 29,822 | | | Foster Wheeler AG (Switzerland)* | | | 708,273 | |
| | 18,812 | | | Jacobs Engineering Group, Inc.* | | | 791,797 | |
| | 32,132 | | | KBR, Inc. | | | 592,514 | |
| | | | | | | | | |
| | | | | | | | 2,912,711 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.7% |
| | 106,417 | | | National CineMedia, Inc. | | | 1,464,298 | |
| | 150,034 | | | Regal Entertainment Group — Class A | | | 1,993,951 | |
| | 57,666 | | | Royal Caribbean Cruises, Ltd. (Liberia) | | | 780,798 | |
| | 22,315 | | | Starwood Hotels & Resorts Worldwide, Inc. | | | 495,393 | |
| | | | | | | | | |
| | | | | | | | 4,734,440 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 0.0% |
| | 31,357 | | | United Rentals, Inc.* | | | 203,507 | |
| | | | | | | | | |
| | | | | Food and Beverage — 3.4% |
| | 25,400 | | | Cal-Maine Foods, Inc. | | | 633,984 | |
| | 103,500 | | | ConAgra Foods, Inc. | | | 1,972,710 | |
| | 122,500 | | | Del Monte Foods Company | | | 1,149,050 | |
| | 89,000 | | | HJ Heinz Company | | | 3,177,300 | |
| | 133,500 | | | JM Smucker Company (The) | | | 6,496,110 | |
| | 108,950 | | | McCormick & Company, Inc. | | | 3,544,144 | |
| | 72,400 | | | Pepsi Bottling Group, Inc. (The) | | | 2,450,016 | |
| | 52,500 | | | PepsiAmericas, Inc. | | | 1,407,525 | |
| | 107,600 | | | Sara Lee Corp. | | | 1,050,176 | |
| | 266 | | | Seaboard Corp. | | | 298,452 | |
| | | | | | | | | |
| | | | | | | | 22,179,467 | |
| | | | | | | | | |
| | | | | Insurance — 8.7% |
| | 65,200 | | | Aflac, Inc. | | | 2,027,068 | |
| | 20,700 | | | Allied World Assurance Holdings, Ltd. (Bermuda) | | | 845,181 | |
| | 56,700 | | | Allstate Corp. (The) | | | 1,383,480 | |
| | 78,700 | | | American Financial Group, Inc. | | | 1,698,346 | |
| | 198,941 | | | Aon Corp. | | | 7,533,895 | |
| | 10,624 | | | Arch Capital Group, Ltd. (Bermuda)* | | | 622,354 | |
| | 94,600 | | | Aspen Insurance Holdings, Ltd. (Bermuda) | | | 2,113,364 | |
| | 190,835 | | | Assurant, Inc. | | | 4,597,215 | |
| | 70,799 | | | Axis Capital Holdings, Ltd. (Bermuda) | | | 1,853,518 | |
| | 39,400 | | | Chubb Corp. (The) | | | 1,571,272 | |
| | 31,800 | | | CIGNA Corp. | | | 766,062 | |
| | 87,100 | | | Cincinnati Financial Corp. | | | 1,946,685 | |
| | 80,800 | | | Coventry Health Care, Inc.* | | | 1,511,768 | |
| | 82,336 | | | Everest Re Group, Ltd. (Bermuda) | | | 5,892,788 | |
| | 70,100 | | | Horace Mann Educators Corp.* | | | 698,897 | |
| | 85,800 | | | IPC Holdings, Ltd. (Bermuda) | | | 2,345,772 | |
| | 126,455 | | | Lincoln National Corp. | | | 2,176,291 | |
See notes to financial statements.
93
MID VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Insurance (continued) |
| | | | | | | | | |
| | 293,908 | | | Marsh & McLennan Companies, Inc. | | $ | 5,916,367 | |
| | 86,615 | | | PartnerRe, Ltd. (Bermuda) | | | 5,625,644 | |
| | 22,006 | | | Transatlantic Holdings, Inc. | | | 953,520 | |
| | 1,200 | | | White Mountains Insurance Group, Ltd. (Bermuda) | | | 274,692 | |
| | 55,787 | | | Willis Group Holdings, Ltd. (Bermuda) | | | 1,435,400 | |
| | 339,260 | | | XL Capital, Ltd. — Class A (Cayman Islands) | | | 3,887,920 | |
| | | | | | | | | |
| | | | | | | | 57,677,499 | |
| | | | | | | | | |
| | | | | Internet Services — 1.6% |
| | 71,800 | | | eBay, Inc.* | | | 1,229,934 | |
| | 60,163 | | | McAfee, Inc.* | | | 2,538,277 | |
| | 117,100 | | | TIBCO Software, Inc.* | | | 839,607 | |
| | 400,300 | | | Yahoo!, Inc.* | | | 6,268,698 | |
| | | | | | | | | |
| | | | | | | | 10,876,516 | |
| | | | | | | | | |
| | | | | Machinery — 1.2% |
| | 26,533 | | | AGCO Corp.* | | | 771,314 | |
| | 140,073 | | | Cummins, Inc. | | | 4,931,971 | |
| | 86,547 | | | Manitowoc Company, Inc. (The) | | | 455,237 | |
| | 26,006 | | | Rockwell Automation, Inc. | | | 835,313 | |
| | 90,947 | | | Terex Corp.* | | | 1,097,730 | |
| | | | | | | | | |
| | | | | | | | 8,091,565 | |
| | | | | | | | | |
| | | | | Manufacturing — 4.3% |
| | 63,024 | | | AO Smith Corp. | | | 2,052,692 | |
| | 90,330 | | | Cooper Industries, Ltd. — Class A (Bermuda) | | | 2,804,747 | |
| | 58,900 | | | Crane Company | | | 1,314,059 | |
| | 66,213 | | | Eaton Corp. | | | 2,953,762 | |
| | 42,200 | | | EnPro Industries, Inc.* | | | 760,022 | |
| | 48,800 | | | Mueller Industries, Inc. | | | 1,015,040 | |
| | 53,049 | | | Parker Hannifin Corp. | | | 2,278,985 | |
| | 60,350 | | | Precision Castparts Corp. | | | 4,407,361 | |
| | 89,600 | | | Sherwin-Williams Company (The) | | | 4,816,000 | |
| | 23,800 | | | Tredegar Corp. | | | 317,016 | |
| | 222,000 | | | Tyco International, Ltd. (Switzerland) | | | 5,767,559 | |
| | | | | | | | | |
| | | | | | | | 28,487,243 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 6.0% |
| | 133,400 | | | Cardinal Health, Inc. | | | 4,075,370 | |
| | 25,584 | | | Covance, Inc.* | | | 1,258,733 | |
| | 135,350 | | | CR Bard, Inc. | | | 10,076,808 | |
| | 12,500 | | | Hill-Rom Holdings, Inc. | | | 202,750 | |
| | 380,400 | | | Hologic, Inc.* | | | 5,413,092 | |
| | 18,589 | | | Humana, Inc.* | | | 599,681 | |
| | 31,400 | | | Kindred Healthcare, Inc.* | | | 388,418 | |
| | 87,300 | | | Kinetic Concepts, Inc.* | | | 2,378,925 | |
| | 29,599 | | | Life Technologies Corp.* | | | 1,234,870 | |
| | 23,654 | | | McKesson Corp. | | | 1,040,776 | |
| | 136,900 | | | Stryker Corp. (1) | | | 5,440,406 | |
| | 36,241 | | | Universal Health Services, Inc. — Class B | | | 1,770,373 | |
| | 131,800 | | | Zimmer Holdings, Inc.* | | | 5,614,680 | |
| | | | | | | | | |
| | | | | | | | 39,494,882 | |
| | | | | | | | | |
| | | | | Metals and Mining — 1.0% |
| | 41,100 | | | Carpenter Technology Corp. | | | 855,291 | |
| | 39,416 | | | Freeport-McMoRan Copper & Gold, Inc. | | | 1,975,135 | |
| | 41,583 | | | Nucor Corp. | | | 1,847,533 | |
| | 39,497 | | | Steel Dynamics, Inc. | | | 581,791 | |
| | 34,678 | | | United States Steel Corp. | | | 1,239,392 | |
| | | | | | | | | |
| | | | | | | | 6,499,142 | |
| | | | | | | | | |
| | | | | Office Equipment, Supplies, and Services — 0.4% |
| | 109,500 | | | Steelcase, Inc. — Class A | | | 637,290 | |
| | 303,800 | | | Xerox Corp. | | | 1,968,624 | |
| | | | | | | | | |
| | | | | | | | 2,605,914 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 6.1% |
| | 124,300 | | | Baker Hughes, Inc. | | | 4,529,492 | |
| | 111,843 | | | BJ Services Company | | | 1,524,420 | |
| | 45,965 | | | Cameron International Corp.* | | | 1,300,810 | |
| | 127,977 | | | El Paso Corp. | | | 1,181,228 | |
| | 79,764 | | | Enbridge, Inc. (Canada) | | | 2,770,204 | |
| | 29,460 | | | EQT Corp. | | | 1,028,449 | |
| | 110,900 | | | Hess Corp. | | | 5,960,874 | |
| | 36,200 | | | Holly Corp. | | | 650,876 | |
| | 70,000 | | | Marathon Oil Corp. | | | 2,109,100 | |
| | 54,200 | | | Murphy Oil Corp. | | | 2,944,144 | |
| | 54,512 | | | Newfield Exploration Company* | | | 1,780,907 | |
| | 77,700 | | | Patterson-UTI Energy, Inc. | | | 999,222 | |
| | 43,926 | | | Pioneer Natural Resources Company | | | 1,120,113 | |
| | 43,780 | | | Questar Corp. | | | 1,359,807 | |
| | 41,469 | | | Southwestern Energy Company* | | | 1,611,071 | |
| | 106,394 | | | Sunoco, Inc. | | | 2,468,341 | |
| | 82,200 | | | Tesoro Corp. | | | 1,046,406 | |
| | 13,953 | | | Transocean, Ltd. (Switzerland)* | | | 1,036,568 | |
| | 33,260 | | | Ultra Petroleum Corp. (Canada)* | | | 1,297,140 | |
| | 37,500 | | | Valero Energy Corp. | | | 633,375 | |
| | 30,200 | | | Walter Industries, Inc. | | | 1,094,448 | |
| | 89,390 | | | Weatherford International, Ltd. (Switzerland)* | | | 1,748,468 | |
| | | | | | | | | |
| | | | | | | | 40,195,463 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 0.2% |
| | 44,459 | | | Rayonier, Inc. | | | 1,616,085 | |
| | | | | | | | | |
See notes to financial statements.
94
MID VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 2.2% |
| | 67,000 | | | AmerisourceBergen Corp. | | $ | 1,188,580 | |
| | 49,300 | | | Endo Pharmaceuticals Holdings, Inc.* | | | 883,456 | |
| | 116,300 | | | Forest Laboratories, Inc.* | | | 2,920,293 | |
| | 38,352 | | | Hospira, Inc.* | | | 1,477,319 | |
| | 316,421 | | | King Pharmaceuticals, Inc.* | | | 3,047,134 | |
| | 374,879 | | | Mylan, Inc.* | | | 4,892,171 | |
| | | | | | | | | |
| | | | | | | | 14,408,953 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 0.1% |
| | 49,800 | | | Scholastic Corp. | | | 985,542 | |
| | | | | | | | | |
| | | | | Real Estate Development and Services — 0.2% |
| | 41,620 | | | St Joe Company (The)* | | | 1,102,514 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 1.4% |
| | 20,879 | | | AvalonBay Communities, Inc. | | | 1,167,971 | |
| | 12,788 | | | Boston Properties, Inc. | | | 609,988 | |
| | 42,800 | | | Entertainment Properties Trust | | | 881,680 | |
| | 55,689 | | | Equity Residential | | | 1,237,966 | |
| | 97,500 | | | Hospitality Properties Trust | | | 1,159,275 | |
| | 243,300 | | | HRPT Properties Trust | | | 987,798 | |
| | 138,300 | | | Medical Properties Trust, Inc. | | | 839,481 | |
| | 38,129 | | | ProLogis | | | 307,320 | |
| | 38,998 | | | RAIT Investment Trust | | | 53,427 | |
| | 140,285 | | | Sunstone Hotel Investors, Inc. | | | 750,525 | |
| | 30,872 | | | Ventas, Inc. | | | 921,838 | |
| | 14,462 | | | Walter Investment Management Corp.* | | | 192,055 | |
| | | | | | | | | |
| | | | | | | | 9,109,324 | |
| | | | | | | | | |
| | | | | Retail — 1.0% |
| | 65,800 | | | Barnes & Noble, Inc. | | | 1,357,454 | |
| | 42,140 | | | Bed Bath & Beyond, Inc.* | | | 1,295,805 | |
| | 43,471 | | | Family Dollar Stores, Inc. | | | 1,230,229 | |
| | 121,109 | | | Macy’s, Inc. | | | 1,424,242 | |
| | 82,300 | | | RadioShack Corp. | | | 1,148,908 | |
| | | | | | | | | |
| | | | | | | | 6,456,638 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 0.5% |
| | 39,100 | | | Bob Evans Farms, Inc. | | | 1,123,734 | |
| | 56,700 | | | Brinker International, Inc. | | | 965,601 | |
| | 20,800 | | | Darden Restaurants, Inc. | | | 685,984 | |
| | 110,900 | | | Ruby Tuesday, Inc.* | | | 738,594 | |
| | | | | | | | | |
| | | | | | | | 3,513,913 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 0.5% |
| | 17,800 | | | Kroger Company (The) | | | 392,490 | |
| | 89,600 | | | Safeway, Inc. | | | 1,825,152 | |
| | 80,058 | | | SUPERVALU, Inc. | | | 1,036,751 | |
| | | | | | | | | |
| | | | | | | | 3,254,393 | |
| | | | | | | | | |
| | | | | Rubber Products — 0.1% |
| | 73,662 | | | Goodyear Tire & Rubber Company (The)* | | | 829,434 | |
| | | | | | | | | |
| | | | | Scientific and Technical Instruments — 1.0% |
| | 68,813 | | | Agilent Technologies, Inc.* | | | 1,397,592 | |
| | 125,800 | | | Thermo Fisher Scientific, Inc.* | | | 5,128,866 | |
| | | | | | | | | |
| | | | | | | | 6,526,458 | |
| | | | | | | | | |
| | | | | Semiconductors — 2.8% |
| | 194,500 | | | Analog Devices, Inc. | | | 4,819,710 | |
| | 56,449 | | | ASML Holding NV (the Netherlands) | | | 1,222,121 | |
| | 48,230 | | | Lam Research Corp.* | | | 1,253,980 | |
| | 1,451,122 | | | LSI Corp.* | | | 6,617,116 | |
| | 114,984 | | | Maxim Integrated Products, Inc. | | | 1,804,099 | |
| | 80,093 | | | Microchip Technology, Inc. | | | 1,806,097 | |
| | 244,227 | | | Micron Technology, Inc.* | | | 1,235,789 | |
| | 1,100 | | | MKS Instruments, Inc.* | | | 14,509 | |
| | | | | | | | | |
| | | | | | | | 18,773,421 | |
| | | | | | | | | |
| | | | | Sporting Goods and Equipment — 0.1% |
| | 37,200 | | | Cabela’s, Inc.* | | | 457,560 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 1.4% |
| | 82,795 | | | CenturyTel, Inc. | | | 2,541,806 | |
| | 57,339 | | | Embarq Corp.* | | | 2,411,678 | |
| | 61,900 | | | NII Holdings, Inc.* | | | 1,180,433 | |
| | 492,219 | | | Qwest Communications International, Inc. | | | 2,042,709 | |
| | 134,732 | | | Windstream Corp. | | | 1,126,360 | |
| | | | | | | | | |
| | | | | | | | 9,302,986 | |
| | | | | | | | | |
| | | | | Tools — 0.2% |
| | 34,482 | | | Stanley Works (The) | | | 1,166,871 | |
| | | | | | | | | |
| | | | | Toys — 1.3% |
| | 79,187 | | | Hasbro, Inc. | | | 1,919,493 | |
| | 399,500 | | | Mattel, Inc. | | | 6,411,975 | |
| | | | | | | | | |
| | | | | | | | 8,331,468 | |
| | | | | | | | | |
| | | | | Transportation — 2.4% |
| | 24,300 | | | Arkansas Best Corp. | | | 640,305 | |
| | 47,374 | | | CSX Corp. | | | 1,640,562 | |
| | 153,600 | | | JB Hunt Transport Services, Inc. | | | 4,689,408 | |
| | 83,631 | | | Kansas City Southern* | | | 1,347,295 | |
| | 119,200 | | | Norfolk Southern Corp. | | | 4,490,264 | |
| | 33,400 | | | Overseas Shipholding Group, Inc. | | | 1,136,936 | |
| | 105,550 | | | Pacer International, Inc. | | | 235,377 | |
| | 21,600 | | | Ryder System, Inc. | | | 603,072 | |
| | 29,200 | | | Tidewater, Inc. | | | 1,251,804 | |
| | | | | | | | | |
| | | | | | | | 16,035,023 | |
| | | | | | | | | |
| | | | | Utilities — 9.1% |
| | 27,300 | | | AGL Resources, Inc. | | | 868,140 | |
| | 288,467 | | | Allegheny Energy, Inc. | | | 7,399,179 | |
| | 60,600 | | | Alliant Energy Corp. | | | 1,583,478 | |
| | 200,200 | | | American Electric Power Company, Inc. | | | 5,783,778 | |
| | 613,500 | | | CMS Energy Corp. | | | 7,411,080 | |
See notes to financial statements.
95
MID VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Utilities (continued) |
| | | | | | | | | |
| | 93,416 | | | DTE Energy Company | | $ | 2,989,312 | |
| | 63,300 | | | Entergy Corp. | | | 4,907,016 | |
| | 88,554 | | | Ingersoll-Rand PLC (Ireland) | | | 1,850,779 | |
| | 111,100 | | | Mirant Corp.* | | | 1,748,714 | |
| | 119,300 | | | NiSource, Inc. | | | 1,391,038 | |
| | 140,289 | | | Pepco Holdings, Inc. | | | 1,885,484 | |
| | 90,521 | | | Pinnacle West Capital Corp. | | | 2,729,208 | |
| | 107,400 | | | PPL Corp. | | | 3,539,904 | |
| | 45,600 | | | SCANA Corp. | | | 1,480,632 | |
| | 71,826 | | | Sempra Energy | | | 3,564,724 | |
| | 37,800 | | | Southern Union Company | | | 695,142 | |
| | 65,100 | | | TECO Energy, Inc. | | | 776,643 | |
| | 181,758 | | | Wisconsin Energy Corp. | | | 7,399,368 | |
| | 72,900 | | | Xcel Energy, Inc. | | | 1,342,089 | |
| | | | | | | | | |
| | | | | | | | 59,345,708 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $779,599,100) | | | 637,408,207 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Convertible Bonds — 0.0% |
| | | | | Telecommunications Equipment and Services | | | | |
| $ | 251,000 | | | Qwest Communications International, Inc.,
3.50%, 11/15/25
(Cost $382,695) | | | 247,235 | |
| | | | | | | | | |
| | | | | Short Term Commercial Paper — 0.6% |
| | 4,200,000 | | | Citigroup Funding, Inc.,
0.10%, 07/01/09
(Cost $4,200,000) | | | 4,200,000 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $784,181,795) | | | 641,855,442 | |
| | | | | | | | | |
| | | | | Repurchase Agreements — 2.6% |
| | 17,340,169 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 7/01/09, repurchase proceeds at maturity $17,340,174 (Collateralized by Freddie Mac, 0.84%, due 11/23/10 with a value of $4,687,031 and US Treasury Bill, 0.28%, due 11/27/09, with a value of $13,004,376)
(Cost $17,340,169) | | | 17,340,169 | |
| | | | | | | | | |
| | | | | Total Investments — 99.8%
(Cost $801,521,964) | | | 659,195,611 | |
| | | | | Other assets less liabilities — 0.2% | | | 1,617,455 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 660,813,066 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $801,521,964.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 36,505,659 | |
| Gross unrealized depreciation | | | (178,832,012 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (142,326,353 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
96
MID GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 97.9% |
| | | | | Aerospace and Defense — 1.0% |
| | 43,095 | | | Goodrich Corp. | | $ | 2,153,457 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 3.6% |
| | 260,540 | | | American Eagle Outfitters, Inc. | | | 3,691,852 | |
| | 127,330 | | | Coach, Inc. | | | 3,422,630 | |
| | 48,975 | | | Nordstrom, Inc. | | | 974,113 | |
| | | | | | | | | |
| | | | | | | | 8,088,595 | |
| | | | | | | | | |
| | | | | Automobile: Retail — 2.0% |
| | 130,000 | | | Copart, Inc.* | | | 4,507,100 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.8% |
| | 95,990 | | | Advance Auto Parts, Inc. | | | 3,982,625 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 9.9% |
| | 12,735 | | | BlackRock, Inc. | | | 2,233,974 | |
| | 162,590 | | | Capital One Financial Corp. | | | 3,557,469 | |
| | 212,545 | | | Jefferies Group, Inc.* | | | 4,533,585 | |
| | 95,990 | | | T Rowe Price Group, Inc. | | | 3,999,903 | |
| | 290,642 | | | TD Ameritrade Holding Corp.* | | | 5,097,861 | |
| | 183,160 | | | Western Union Company | | | 3,003,824 | |
| | | | | | | | | |
| | | | | | | | 22,426,616 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 1.9% |
| | 140,065 | | | McGraw-Hill Companies, Inc. (The) | | | 4,217,357 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 1.8% |
| | 88,150 | | | Ctrip.com International, Ltd. (ADR) (Cayman Islands)* | | | 4,081,345 | |
| | | | | | | | | |
| | | | | Chemicals — 1.2% |
| | 93,050 | | | Tetra Tech, Inc.* | | | 2,665,883 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 10.5% |
| | 523,322 | | | Activision Blizzard, Inc.* | | | 6,609,556 | |
| | 585,720 | | | Brocade Communications Systems, Inc.* | | | 4,580,330 | |
| | 166,192 | | | Citrix Systems, Inc.* | | | 5,299,862 | |
| | 87,175 | | | Cognizant Technology Solutions Corp. — Class A* | | | 2,327,573 | |
| | 108,720 | | | MSCI, Inc. — Class A* | | | 2,657,117 | |
| | 56,492 | | | Salesforce.com, Inc.* | | | 2,156,300 | |
| | | | | | | | | |
| | | | | | | | 23,630,738 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 4.5% |
| | 69,270 | | | Church & Dwight Company, Inc. | | | 3,762,054 | |
| | 80,315 | | | Estee Lauder Companies, Inc. (The) — Class A | | | 2,623,891 | |
| | 352,610 | | | Newell Rubbermaid, Inc. | | | 3,670,670 | |
| | | | | | | | | |
| | | | | | | | 10,056,615 | |
| | | | | | | | | |
| | | | | Education — 1.6% |
| | 50,000 | | | Apollo Group, Inc. — Class A* | | | 3,556,000 | |
| | | | | | | | | |
| | | | | Energy Services — 1.0% |
| | 13,550 | | | First Solar, Inc.* | | | 2,196,726 | |
| | | | | | | | | |
| | | | | Engineering and Construction — 1.6% |
| | 111,079 | | | Aecom Technology Corp.* | | | 3,554,528 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 1.1% |
| | 70,520 | | | Wynn Resorts, Ltd.* | | | 2,489,356 | |
| | | | | | | | | |
| | | | | Internet Services — 8.6% |
| | 11,755 | | | Baidu, Inc. (ADR) (Cayman Islands)* | | | 3,539,313 | |
| | 36,788 | | | Equinix, Inc.* | | | 2,675,959 | |
| | 192,221 | | | F5 Networks, Inc.* | | | 6,648,924 | |
| | 95,990 | | | Juniper Networks, Inc.* | | | 2,265,364 | |
| | 95,010 | | | McAfee, Inc.* | | | 4,008,472 | |
| | | | | | | | | |
| | | | | | | | 19,138,032 | |
| | | | | | | | | |
| | | | | Machinery — 2.4% |
| | 91,090 | | | Cummins, Inc. | | | 3,207,279 | |
| | 58,770 | | | Joy Global, Inc. | | | 2,099,264 | |
| | | | | | | | | |
| | | | | | | | 5,306,543 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 8.5% |
| | 39,180 | | | Cerner Corp.* | | | 2,440,522 | |
| | 69,540 | | | Edwards Lifesciences Corp.* | | | 4,730,807 | |
| | 60,429 | | | Illumina, Inc.* | | | 2,353,105 | |
| | 85,215 | | | Life Technologies Corp.* | | | 3,555,170 | |
| | 84,929 | | | ResMed, Inc.* | | | 3,459,158 | |
| | 90,876 | | | STERIS Corp. | | | 2,370,046 | |
| | | | | | | | | |
| | | | | | | | 18,908,808 | |
| | | | | | | | | |
| | | | | Metals and Mining — 3.2% |
| | 55,830 | | | Agnico-Eagle Mines, Ltd. (Canada) | | | 2,929,959 | |
| | 125,370 | | | AK Steel Holding Corp. | | | 2,405,850 | |
| | 208,625 | | | Silver Wheaton Corporation (Canada)* | | | 1,719,070 | |
| | | | | | | | | |
| | | | | | | | 7,054,879 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 6.7% |
| | 128,310 | | | Noble Corp. (Switzerland) | | | 3,881,378 | |
| | 252,131 | | | Petrohawk Energy Corp.* | | | 5,622,521 | |
| | 76,400 | | | Range Resources Corp. | | | 3,163,724 | |
| | 62,990 | | | Whiting Petroleum Corp.* | | | 2,214,728 | |
| | | | | | | | | |
| | | | | | | | 14,882,351 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 3.6% |
| | 62,809 | | | Alexion Pharmaceuticals, Inc.* | | | 2,582,706 | |
| | 77,774 | | | Express Scripts, Inc.* | | | 5,346,963 | |
| | | | | | | | | |
| | | | | | | | 7,929,669 | |
| | | | | | | | | |
| | | | | Retail — 3.9% |
| | 35,000 | | | Bed Bath & Beyond, Inc.* | | | 1,076,250 | |
| | 120,475 | | | Best Buy Company, Inc. | | | 4,034,708 | |
| | 83,255 | | | Kohl’s Corp.* | | | 3,559,151 | |
| | | | | | | | | |
| | | | | | | | 8,670,109 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 2.4% |
| | 55,830 | | | Darden Restaurants, Inc. | | | 1,841,273 | |
| | 105,780 | | | YUM! Brands, Inc. | | | 3,526,706 | |
| | | | | | | | | |
| | | | | | | | 5,367,979 | |
| | | | | | | | | |
See notes to financial statements.
97
MID GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Semiconductors — 6.7% |
| | 130,270 | | | Broadcom Corp. — Class A* | | $ | 3,229,393 | |
| | 555,674 | | | Marvell Technology Group, Ltd. (Bermuda)* | | | 6,468,045 | |
| | 197,000 | | | NVIDIA Corp.* | | | 2,224,130 | |
| | 151,180 | | | Xilinx, Inc. | | | 3,093,143 | |
| | | | | | | | | |
| | | | | | | | 15,014,711 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 6.9% |
| | 153,775 | | | CommScope, Inc.* | | | 4,038,132 | |
| | 151,289 | | | Crown Castle International Corp.* | | | 3,633,962 | |
| | 82,275 | | | General Cable Corp.* | | | 3,091,895 | |
| | 191,975 | | | Starent Networks Corp.* | | | 4,686,109 | |
| | | | | | | | | |
| | | | | | | | 15,450,098 | |
| | | | | | | | | |
| | | | | Transportation — 1.5% |
| | 110,680 | | | JB Hunt Transport Services, Inc. | | | 3,379,060 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $204,200,246) | | | 218,709,180 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Repurchase Agreements — 2.7% |
| $ | 5,939,419 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $5,939,420
(Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $6,062,716)
(Cost $5,939,419) | | | 5,939,419 | |
| | | | | | | | | |
| | | | | Total Investments — 100.6%
(Cost $210,139,665) | | | 224,648,599 | |
| | | | | Liabilities less other
assets — (0.6)% | | | (1,315,114 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 223,333,485 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $210,139,665.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 20,107,953 | |
| Gross unrealized depreciation | | | (5,599,019 | ) |
| | | | | |
| Net unrealized appreciation | | $ | 14,508,934 | |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
98
SMALL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 97.1% |
| | | | | Aerospace and Defense — 2.6% |
| | 30,400 | | | AAR Corp. | | $ | 487,920 | |
| | 2,500 | | | Curtiss — Wright Corp. | | | 74,325 | |
| | 109,272 | | | Ducommun, Inc.* | | | 2,053,221 | |
| | 21,900 | | | Kaman Corp. | | | 365,730 | |
| | 13,600 | | | Moog, Inc. — Class A | | | 351,016 | |
| | 10,600 | | | Teledyne Technologies, Inc.* | | | 347,150 | |
| | | | | | | | | |
| | | | | | | | 3,679,362 | |
| | | | | | | | | |
| | | | | Airlines — 0.6% |
| | 13,000 | | | Alaska Air Group, Inc.* | | | 237,380 | |
| | 32,700 | | | Republic Airways Holdings, Inc.* | | | 213,531 | |
| | 35,300 | | | SkyWest, Inc. | | | 360,060 | |
| | | | | | | | | |
| | | | | | | | 810,971 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 2.8% |
| | 32,400 | | | Brown Shoe Company, Inc. | | | 234,576 | |
| | 15,300 | | | Carter’s, Inc.* | | | 376,533 | |
| | 7,034 | | | Charlotte Russe Holding, Inc.* | | | 90,598 | |
| | 18,500 | | | Genesco, Inc.* | | | 347,245 | |
| | 10,000 | | | Jones Apparel Group, Inc. | | | 107,300 | |
| | 53,995 | | | Jos A Bank Clothiers, Inc. | | | 1,860,668 | |
| | 25,800 | | | Men’s Wearhouse, Inc. (The) | | | 494,844 | |
| | 36,602 | | | Stage Stores, Inc. | | | 406,282 | |
| | | | | | | | | |
| | | | | | | | 3,918,046 | |
| | | | | | | | | |
| | | | | Automobile: Retail — 0.2% |
| | 28,063 | | | Asbury Automotive Group, Inc. | | | 287,365 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 4.0% |
| | 60,733 | | | BorgWarner, Inc. | | | 2,074,033 | |
| | 13,604 | | | Dorman Products, Inc.* | | | 188,143 | |
| | 25,600 | | | Miller Industries, Inc.* | | | 225,280 | |
| | 111,643 | | | Oshkosh Corp. | | | 1,623,289 | |
| | 43,700 | | | Pep Boys — Manny, Moe & Jack (The) | | | 443,118 | |
| | 94,170 | | | Spartan Motors, Inc.* | | | 1,066,946 | |
| | | | | | | | | |
| | | | | | | | 5,620,809 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 14.2% |
| | 24,400 | | | Ameris Bancorp | | | 154,208 | |
| | 19,740 | | | Banco Latinoamericano de Comercio Exterior, SA — Class E (Panama) | | | 245,368 | |
| | 21,400 | | | Bancorp, Inc. (The)* | | | 128,400 | |
| | 17,700 | | | Bank of the Ozarks, Inc.* | | | 382,851 | |
| | 38,298 | | | BGC Partners, Inc. — Class A | | | 145,149 | |
| | 185,054 | | | Brookline Bancorp, Inc. | | | 1,724,703 | |
| | 3,300 | | | Bryn Mawr Bank Corp. | | | 62,271 | |
| | 110,143 | | | Calamos Asset Management, Inc. — Class A* | | | 1,554,118 | |
| | 4,400 | | | Cash America International, Inc.* | | | 102,916 | |
| | 7,900 | | | City Holding Company* | | | 239,844 | |
| | 10,200 | | | Financial Federal Corp. | | | 209,610 | |
| | 49,500 | | | First Financial Bancorp | | | 372,240 | |
| | 6,700 | | | First Financial Bankshares, Inc. | | | 337,412 | |
| | 19,200 | | | First Merchants Corp. | | | 154,176 | |
| | 26,695 | | | FirstMerit Corp. | | | 453,281 | |
| | 18,900 | | | Flushing Financial Corp.* | | | 176,715 | |
| | 10,300 | | | Glacier Bancorp, Inc. | | | 152,131 | |
| | 8,900 | | | Knight Capital Group, Inc. — Class A* | | | 151,745 | |
| | 6,500 | | | Metro Bancorp, Inc.* | | | 125,190 | |
| | 27,800 | | | National Financial Partners Corp. | | | 203,496 | |
| | 19,600 | | | NBT Bancorp, Inc. | | | 425,516 | |
| | 7,100 | | | NewAlliance Bancshares, Inc.* | | | 81,650 | |
| | 17,900 | | | Old National Bancorp — Indiana | | | 175,778 | |
| | 15,400 | | | Pacific Continental Corp.* | | | 186,802 | |
| | 5,000 | | | Park National Corp. | | | 282,400 | |
| | 5,500 | | | People’s Bancorp, Inc. | | | 93,775 | |
| | 16,000 | | | Prosperity Bancshares, Inc.* | | | 477,280 | |
| | 12,700 | | | Republic Bancorp, Inc. — Class A* | | | 286,893 | |
| | 10,900 | | | S&T Bancorp, Inc. | | | 132,544 | |
| | 36,200 | | | Sanders Morris Harris Group, Inc. | | | 199,100 | |
| | 9,900 | | | Sandy Spring Bancorp, Inc. | | | 145,530 | |
| | 12,946 | | | Simmons First National Corp. — Class A | | | 345,917 | |
| | 25,400 | | | Sterling Bancorp — New York* | | | 212,090 | |
| | 53,954 | | | Stifel Financial Corp.* | | | 2,594,647 | |
| | 158,476 | | | SWS Group, Inc. | | | 2,213,910 | |
| | 7,400 | | | Tompkins Financial Corp.* | | | 354,830 | |
| | 17,800 | | | TriCo Bancshares | | | 275,900 | |
| | 11,000 | | | Trustmark Corp. | | | 212,520 | |
| | 11,582 | | | UMB Financial Corp.* | | | 440,232 | |
| | 12,500 | | | United Financial Bancorp, Inc. | | | 172,750 | |
| | 89,961 | | | Washington Federal, Inc. | | | 1,169,493 | |
| | 64,998 | | | WesBanco, Inc. | | | 945,071 | |
| | 85,024 | | | Whitney Holding Corp. | | | 778,820 | |
| | 20,700 | | | World Acceptance Corp.* | | | 412,137 | |
| | | | | | | | | |
| | | | | | | | 19,691,409 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 0.1% |
| | 32,500 | | | Mediacom Communications Corp. — Class A | | | 166,075 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 0.7% |
| | 28,800 | | | Acxiom Corp. | | | 254,304 | |
| | 21,400 | | | Deluxe Corp. | | | 274,134 | |
| | 17,100 | | | Kforce, Inc.* | | | 141,417 | |
See notes to financial statements.
99
SMALL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Business Services and Supplies (continued) |
| | | | | | | | | |
| | 2,800 | | | MAXIMUS, Inc.* | | $ | 115,500 | |
| | 52,500 | | | Standard Register Company (The)* | | | 171,150 | |
| | | | | | | | | |
| | | | | | | | 956,505 | |
| | | | | | | | | |
| | | | | Chemicals — 1.4% |
| | 32,700 | | | A Schulman, Inc.* | | | 494,097 | |
| | 13,000 | | | Innophos Holdings, Inc. | | | 219,570 | |
| | 22,700 | | | Innospec, Inc. | | | 244,025 | |
| | 6,600 | | | Minerals Technologies, Inc. | | | 237,732 | |
| | 8,200 | | | OM Group, Inc.* | | | 237,964 | |
| | 103,800 | | | PolyOne Corp.* | | | 281,298 | |
| | 31,782 | | | Spartech Corp. | | | 292,077 | |
| | | | | | | | | |
| | | | | | | | 2,006,763 | |
| | | | | | | | | |
| | | | | Commercial Services — 0.7% |
| | 34,200 | | | ICT Group, Inc.* | | | 298,566 | |
| | 23,300 | | | PHH Corp.* | | | 423,594 | |
| | 17,300 | | | Providence Service Corp.* | | | 189,435 | |
| | 7,600 | | | Standard Parking Corp.* | | | 123,804 | |
| | | | | | | | | |
| | | | | | | | 1,035,399 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 4.1% |
| | 38,700 | | | 3Com Corp.* | | | 182,277 | |
| | 48,370 | | | Agilysys, Inc. | | | 226,372 | |
| | 14,500 | | | Black Box Corp. | | | 485,315 | |
| | 3,000 | | | CACI International, Inc. — Class A* | | | 128,130 | |
| | 137,400 | | | CIBER, Inc.* | | | 425,940 | |
| | 37,233 | | | COMSYS IT Partners, Inc.* | | | 217,813 | |
| | 173,241 | | | Digi International, Inc.*(8) | | | 1,689,099 | |
| | 17,800 | | | Imation Corp. | | | 135,458 | |
| | 30,693 | | | Mercury Computer Systems, Inc.* | | | 283,910 | |
| | 57,715 | | | MTS Systems Corp.* | | | 1,191,815 | |
| | 42,500 | | | Ness Technologies, Inc. | | | 166,175 | |
| | 10,100 | | | Palm, Inc.* | | | 167,357 | |
| | 29,000 | | | Perot Systems Corp. — Class A* | | | 415,570 | |
| | | | | | | | | |
| | | | | | | | 5,715,231 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 2.4% |
| | 9,500 | | | ABM Industries, Inc.* | | | 171,665 | |
| | 48,800 | | | Comfort Systems USA, Inc.* | | | 500,200 | |
| | 13,500 | | | Granite Construction, Inc. | | | 449,280 | |
| | 69,077 | | | Universal Forest Products, Inc. | | | 2,285,758 | |
| | | | | | | | | |
| | | | | | | | 3,406,903 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 3.3% |
| | 19,800 | | | American Greetings Corp. — Class A | | | 231,264 | |
| | 130,786 | | | Helen of Troy, Ltd. (Bermuda)* | | | 2,195,897 | |
| | 38,600 | | | Inter Parfums, Inc. | | | 283,324 | |
| | 127,264 | | | Nutri System, Inc.* | | | 1,845,328 | |
| | | | | | | | | |
| | | | | | | | 4,555,813 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.3% |
| | 7,500 | | | Silgan Holdings, Inc. | | | 367,725 | |
| | | | | | | | | |
| | | | | Distribution — 0.1% |
| | 3,100 | | | Watsco, Inc. | | | 151,683 | |
| | | | | | | | | |
| | | | | Education — 0.4% |
| | 24,700 | | | School Specialty, Inc.* | | | 499,187 | |
| | | | | | | | | |
| | | | | Electronics — 1.2% |
| | 6,726 | | | Bel Fuse, Inc. — Class B | | | 107,885 | |
| | 10,900 | | | Belden, Inc. | | | 182,030 | |
| | 21,600 | | | Benchmark Electronics, Inc.* | | | 311,040 | |
| | 70,000 | | | CTS Corp.* | | | 458,499 | |
| | 16,300 | | | EnerSys* | | | 296,497 | |
| | 4,850 | | | LaBarge, Inc.* | | | 44,960 | |
| | 52,159 | | | Technitrol, Inc. | | | 337,469 | |
| | | | | | | | | |
| | | | | | | | 1,738,380 | |
| | | | | | | | | |
| | | | | Engineering — 1.5% |
| | 104,411 | | | EMCOR Group, Inc.* | | | 2,100,749 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 1.2% |
| | 41,600 | | | Live Nation, Inc.* | | | 202,176 | |
| | 131,424 | | | Marcus Corp. (The) | | | 1,382,580 | |
| | 10,900 | | | Pinnacle Entertainment, Inc.* | | | 101,261 | |
| | | | | | | | | |
| | | | | | | | 1,686,017 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services — 0.1% |
| | 37,200 | | | Waste Services, Inc.* | | | 192,696 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 0.5% |
| | 34,273 | | | Electro Rent Corp.* | | | 325,251 | |
| | 24,600 | | | Rent-A-Center, Inc.* | | | 438,618 | |
| | | | | | | | | |
| | | | | | | | 763,869 | |
| | | | | | | | | |
| | | | | Food and Beverage — 0.3% |
| | 7,000 | | | Nash Finch Company | | | 189,420 | |
| | 8,600 | | | TreeHouse Foods, Inc.* | | | 247,422 | |
| | | | | | | | | |
| | | | | | | | 436,842 | |
| | | | | | | | | |
| | | | | Funeral Services — 1.0% |
| | 243,138 | | | Service Corp. International* | | | 1,332,396 | |
| | | | | | | | | |
| | | | | Insurance — 4.9% |
| | 31,000 | | | American Equity Investment Life Holding Company | | | 172,980 | |
| | 2,500 | | | American Physicians Capital, Inc. | | | 97,900 | |
| | 11,300 | | | Amerisafe, Inc.* | | | 175,828 | |
See notes to financial statements.
100
SMALL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Insurance (continued) |
| | | | | | | | | |
| | 24,300 | | | CNA Surety Corp.* | | $ | 327,807 | |
| | 15,631 | | | Delphi Financial Group, Inc. — Class A | | | 303,710 | |
| | 17,400 | | | Donegal Group, Inc. — Class A* | | | 264,654 | |
| | 8,200 | | | FPIC Insurance Group, Inc.* | | | 251,084 | |
| | 11,800 | | | Harleysville Group, Inc.* | | | 332,996 | |
| | 12,400 | | | Horace Mann Educators Corp.* | | | 123,628 | |
| | 4,033 | | | Kansas City Life Insurance Company | | | 108,528 | |
| | 3,300 | | | Max Capital Group, Ltd. (Bermuda) | | | 60,918 | |
| | 30,600 | | | Montpelier Re Holdings, Ltd. (Bermuda) | | | 406,674 | |
| | 7,300 | | | National Interstate Corp.* | | | 110,814 | |
| | 7,800 | | | NYMAGIC, Inc. | | | 108,264 | |
| | 13,337 | | | Platinum Underwriters Holdings, Ltd. (Bermuda) | | | 381,305 | |
| | 8,600 | | | ProAssurance Corp.* | | | 397,406 | |
| | 49,535 | | | RLI Corp.* | | | 2,219,168 | |
| | 15,000 | | | Seabright Insurance Holdings* | | | 151,950 | |
| | 21,800 | | | Selective Insurance Group, Inc. | | | 278,386 | |
| | 4,000 | | | United Fire & Casualty Company | | | 68,600 | |
| | 20,600 | | | Universal American Financial Corp.* | | | 179,632 | |
| | 15,739 | | | Zenith National Insurance Corp. | | | 342,166 | |
| | | | | | | | | |
| | | | | | | | 6,864,398 | |
| | | | | | | | | |
| | | | | Machinery — 1.8% |
| | 17,900 | | | Alamo Group, Inc. | | | 180,790 | |
| | 97,484 | | | Applied Industrial Technologies, Inc.* | | | 1,920,435 | |
| | 6,400 | | | Baldor Electric Company* | | | 152,256 | |
| | 35,800 | | | Twin Disc, Inc. | | | 243,798 | |
| | | | | | | | | |
| | | | | | | | 2,497,279 | |
| | | | | | | | | |
| | | | | Manufacturing — 4.0% |
| | 15,200 | | | Acuity Brands, Inc. | | | 426,360 | |
| | 69,437 | | | Ceradyne, Inc.* | | | 1,226,257 | |
| | 49,673 | | | CIRCOR International, Inc.* | | | 1,172,780 | |
| | 11,800 | | | Coherent, Inc.* | | | 244,024 | |
| | 10,227 | | | EnPro Industries, Inc.* | | | 184,188 | |
| | 44,704 | | | Gibraltar Industries, Inc. | | | 307,116 | |
| | 65,100 | | | Mueller Water Products, Inc. — Class A | | | 243,474 | |
| | 81,383 | | | Watts Water Technologies, Inc. — Class A | | | 1,752,991 | |
| | | | | | | | | |
| | | | | | | | 5,557,190 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 4.7% |
| | 16,200 | | | Centene Corp.* | | | 323,676 | |
| | 16,900 | | | Gentiva Health Services, Inc.* | | | 278,174 | |
| | 10,400 | | | Healthspring, Inc.* | | | 112,944 | |
| | 13,000 | | | Kindred Healthcare, Inc.* | | | 160,810 | |
| | 67,890 | | | Magellan Health Services, Inc.* | | | 2,228,150 | |
| | 53,043 | | | Owens & Minor, Inc.* | | | 2,324,344 | |
| | 157,324 | | | Syneron Medical, Ltd. (Israel)* | | | 1,135,879 | |
| | | | | | | | | |
| | | | | | | | 6,563,977 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.3% |
| | 4,000 | | | LB Foster Company — Class A* | | | 120,280 | |
| | 6,800 | | | Olympic Steel, Inc. | | | 166,396 | |
| | 14,800 | | | Worthington Industries, Inc. | | | 189,292 | |
| | | | | | | | | |
| | | | | | | | 475,968 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 9.0% |
| | 5,500 | | | ATP Oil & Gas Corp.* | | | 38,280 | |
| | 25,100 | | | Basic Energy Services, Inc.* | | | 171,433 | |
| | 3,300 | | | Bill Barrett Corp.* | | | 90,618 | |
| | 11,000 | | | Chesapeake Utilities Corp.* | | | 357,830 | |
| | 8,458 | | | Clayton Williams Energy, Inc.* | | | 159,602 | |
| | 32,200 | | | Complete Production Services, Inc.* | | | 204,792 | |
| | 2,900 | | | Dawson Geophysical Company* | | | 86,565 | |
| | 26,300 | | | Delek US Holdings, Inc. | | | 223,024 | |
| | 64,126 | | | Frontier Oil Corp. | | | 840,692 | |
| | 14,500 | | | Gulf Island Fabrication, Inc. | | | 229,535 | |
| | 42,400 | | | Harvest Natural Resources, Inc.* | | | 186,984 | |
| | 42,576 | | | Holly Corp. | | | 765,516 | |
| | 13,900 | | | Hornbeck Offshore Services, Inc.* | | | 297,321 | |
| | 9,200 | | | Laclede Group, Inc. (The)* | | | 304,796 | |
| | 7,000 | | | Lufkin Industries, Inc. | | | 294,350 | |
| | 41,043 | | | National Fuel Gas Company | | | 1,480,831 | |
| | 81,277 | | | Penn Virginia Corp. | | | 1,330,504 | |
| | 7,900 | | | Petroleum Development Corp.* | | | 123,951 | |
| | 9,800 | | | Piedmont Natural Gas Company, Inc.* | | | 236,278 | |
| | 39,200 | | | Rosetta Resources, Inc.* | | | 343,000 | |
| | 20,800 | | | Stone Energy Corp.* | | | 154,336 | |
| | 96,819 | | | Swift Energy Company* | | | 1,612,037 | |
| | 31,000 | | | Union Drilling, Inc.* | | | 205,220 | |
| | 26,300 | | | Western Refining, Inc.* | | | 185,678 | |
| | 58,808 | | | World Fuel Services Corp.* | | | 2,424,655 | |
| | | | | | | | | |
| | | | | | | | 12,347,828 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 2.0% |
| | 42,700 | | | Buckeye Technologies, Inc.* | | | 191,723 | |
| | 47,100 | | | Glatfelter | | | 419,190 | |
See notes to financial statements.
101
SMALL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Paper and Forest Products (continued) |
| | | | | | | | | |
| | 47,740 | | | Rayonier, Inc. | | $ | 1,735,349 | |
| | 56,700 | | | Wausau Paper Corp. | | | 381,024 | |
| | | | | | | | | |
| | | | | | | | 2,727,286 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 4.0% |
| | 69,189 | | | Exponent, Inc.* | | | 1,695,822 | |
| | 149,599 | | | Mannatech, Inc.(8) | | | 493,677 | |
| | 16,300 | | | Par Pharmaceutical Companies, Inc.* | | | 246,945 | |
| | 55,373 | | | Perrigo Company | | | 1,538,262 | |
| | 44,515 | | | West Pharmaceutical Services, Inc. | | | 1,551,348 | |
| | | | | | | | | |
| | | | | | | | 5,526,054 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 0.2% |
| | 18,000 | | | Courier Corp. | | | 274,680 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 6.4% |
| | 31,800 | | | Anworth Mortgage Asset Corp. | | | 229,278 | |
| | 50,100 | | | Ashford Hospitality Trust | | | 140,781 | |
| | 21,200 | | | BioMed Realty Trust, Inc. | | | 216,876 | |
| | 37,500 | | | CapLease, Inc. | | | 103,500 | |
| | 26,900 | | | Education Realty Trust, Inc. | | | 115,401 | |
| | 16,900 | | | Extra Space Storage, Inc.* | | | 141,115 | |
| | 39,600 | | | First Industrial Realty Trust, Inc. | | | 172,260 | |
| | 92,691 | | | Healthcare Realty Trust, Inc.* | | | 1,559,990 | |
| | 10,000 | | | Highwoods Properties, Inc. | | | 223,700 | |
| | 22,500 | | | Investors Real Estate Trust | | | 200,025 | |
| | 24,700 | | | LaSalle Hotel Properties | | | 304,798 | |
| | 54,047 | | | Lexington Realty Trust* | | | 183,760 | |
| | 54,500 | | | MFA Financial, Inc.* | | | 377,140 | |
| | 37,400 | | | Monmouth Real Estate Investment Corp. — Class A | | | 219,164 | |
| | 83,117 | | | National Retail Properties, Inc. | | | 1,442,080 | |
| | 15,000 | | | OMEGA Healthcare Investors, Inc. | | | 232,800 | |
| | 21,900 | | | Parkway Properties, Inc. | | | 284,700 | |
| | 39,800 | | | Pennsylvania Real Estate Investment Trust | | | 199,000 | |
| | 6,700 | | | PS Business Parks, Inc. | | | 324,548 | |
| | 35,740 | | | Ramco-Gershenson Properties Trust | | | 357,757 | |
| | 12,200 | | | Redwood Trust, Inc.* | | | 180,072 | |
| | 52,999 | | | Sovran Self Storage, Inc. | | | 1,303,775 | |
| | 28,594 | | | Sunstone Hotel Investors, Inc. | | | 152,978 | |
| | 40,600 | | | U-Store-It Trust | | | 198,940 | |
| | | | | | | | | |
| | | | | | | | 8,864,438 | |
| | | | | | | | | |
| | | | | Retail — 1.5% |
| | 163,951 | | | EZCORP, Inc. — Class A* | | | 1,767,392 | |
| | 3,600 | | | Fred’s, Inc. — Class A* | | | 45,360 | |
| | 14,300 | | | Pantry, Inc. (The)* | | | 237,380 | |
| | | | | | | | | |
| | | | | | | | 2,050,132 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 1.4% |
| | 21,700 | | | Bob Evans Farms, Inc. | | | 623,658 | |
| | 15,500 | | | Cracker Barrel Old Country Store, Inc. | | | 432,450 | |
| | 16,800 | | | Landry’s Restaurants, Inc.* | | | 144,480 | |
| | 49,800 | | | Ruby Tuesday, Inc.* | | | 331,668 | |
| | 40,600 | | | Steak n Shake Company (The)* | | | 354,844 | |
| | | | | | | | | |
| | | | | | | | 1,887,100 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 1.7% |
| | 72,112 | | | Weis Markets, Inc.(8) | | | 2,417,194 | |
| | | | | | | | | |
| | | | | Scientific and Technical Instruments — 0.1% |
| | 34,585 | | | Newport Corp.* | | | 200,247 | |
| | | | | | | | | |
| | | | | Semiconductors — 2.6% |
| | 23,000 | | | Brooks Automation, Inc. | | | 103,040 | |
| | 189,728 | | | OmniVision Technologies, Inc.* | | | 1,971,274 | |
| | 15,100 | | | Photronics, Inc.* | | | 61,155 | |
| | 97,154 | | | Sigma Designs, Inc.* | | | 1,558,350 | |
| | | | | | | | | |
| | | | | | | | 3,693,819 | |
| | | | | | | | | |
| | | | | Sporting Goods and Equipment — 0.3% |
| | 25,700 | | | Cabela’s, Inc.* | | | 316,110 | |
| | 25,500 | | | Callaway Golf Company | | | 129,285 | |
| | | | | | | | | |
| | | | | | | | 445,395 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 0.9% |
| | 9,600 | | | Arris Group, Inc.* | | | 116,736 | |
| | 86,500 | | | Cincinnati Bell, Inc.* | | | 245,660 | |
| | 11,300 | | | Plantronics, Inc. | | | 213,683 | |
| | 28,400 | | | Premiere Global Services, Inc.* | | | 307,856 | |
| | 30,900 | | | RF Micro Devices, Inc.* | | | 116,184 | |
| | 45,201 | | | Symmetricom, Inc.* | | | 260,810 | |
| | | | | | | | | |
| | | | | | | | 1,260,929 | |
| | | | | | | | | |
| | | | | Transportation — 3.4% |
| | 71,043 | | | Arkansas Best Corp. | | | 1,871,983 | |
| | 20,000 | | | Hub Group, Inc. — Class A* | | | 412,800 | |
| | 16,694 | | | TAL International Group, Inc. | | | 181,965 | |
| | 43,260 | | | Tidewater, Inc. | | | 1,854,556 | |
| | 27,000 | | | Werner Enterprises, Inc.* | | | 489,240 | |
| | | | | | | | | |
| | | | | | | | 4,810,544 | |
| | | | | | | | | |
See notes to financial statements.
102
SMALL VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Utilities — 4.2% |
| | 58,187 | | | American States Water Company | | $ | 2,015,597 | |
| | 10,300 | | | California Water Service Group | | | 379,452 | |
| | 11,100 | | | CH Energy Group, Inc. | | | 518,370 | |
| | 2,800 | | | Cleco Corp.* | | | 62,776 | |
| | 19,200 | | | NorthWestern Corp.* | | | 436,992 | |
| | 30,100 | | | PNM Resources, Inc. | | | 322,371 | |
| | 66,757 | | | UIL Holdings Corp. | | | 1,498,695 | |
| | 5,300 | | | Unisource Energy Corp. | | | 140,662 | |
| | 14,000 | | | Unitil Corp. | | | 288,680 | |
| | 4,400 | | | WGL Holdings, Inc.* | | | 140,888 | |
| | | | | | | | | |
| | | | | | | | 5,804,483 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $162,138,834) | | | 135,389,136 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Repurchase Agreements — 3.4% |
| $ | 4,796,774 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $4,796,775
(Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $4,894,120)
(Cost $4,796,774) | | | 4,796,774 | |
| | | | | | | | | |
| | | | | Total Investments — 100.5% | | | | |
| | | | | (Cost $166,935,608) | | | 140,185,910 | |
| | | | | Liabilities less other assets — (0.5)% | | | (707,084 | ) |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 139,478,826 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $166,935,608.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 7,556,364 | |
| Gross unrealized depreciation | | | (34,306,062 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (26,749,698 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
103
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 98.0% |
| | | | | | | | | |
| | | | | Advertising — 0.0% |
| | 14,200 | | | Harte-Hanks, Inc. | | $ | 131,350 | |
| | | | | | | | | |
| | | | | Aerospace and Defense — 0.4% |
| | 58,027 | | | Ducommun, Inc.* | | | 1,090,327 | |
| | 1,700 | | | Triumph Group, Inc. | | | 68,000 | |
| | | | | | | | | |
| | | | | | | | 1,158,327 | |
| | | | | | | | | |
| | | | | Airlines — 0.2% |
| | 16,600 | | | AirTran Holdings, Inc.* | | | 102,754 | |
| | 4,200 | | | Allegiant Travel Company* | | | 166,488 | |
| | 27,400 | | | Hawaiian Holdings, Inc.* | | | 164,948 | |
| | 10,400 | | | Republic Airways Holdings, Inc.* | | | 67,912 | |
| | | | | | | | | |
| | | | | | | | 502,102 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 2.6% |
| | 6,600 | | | Aeropostale, Inc.* | | | 226,182 | |
| | 149,100 | | | Cato Corp.-— Class A (The) | | | 2,600,304 | |
| | 1,700 | | | Cherokee, Inc. | | | 33,694 | |
| | 15,700 | | | Chico’s FAS, Inc.* | | | 152,761 | |
| | 17,309 | | | Deckers Outdoor Corp.* | | | 1,216,303 | |
| | 19,100 | | | Foot Locker, Inc. | | | 199,977 | |
| | 37,400 | | | Hot Topic, Inc.* | | | 273,394 | |
| | 45,983 | | | Iconix Brand Group, Inc.* | | | 707,219 | |
| | 15,400 | | | Jones Apparel Group, Inc. | | | 165,242 | |
| | 13,000 | | | Oxford Industries, Inc. | | | 151,450 | |
| | 203,200 | | | Stage Stores, Inc. | | | 2,255,520 | |
| | 4,400 | | | Timberland Company (The) — Class A* | | | 58,388 | |
| | | | | | | | | |
| | | | | | | | 8,040,434 | |
| | | | | | | | | |
| | | | | Automobile: Rental — 0.2% |
| | 11,600 | | | Avis Budget Group, Inc.* | | | 65,540 | |
| | 43,900 | | | Dollar Thrifty Automotive Group, Inc.* | | | 612,405 | |
| | | | | | | | | |
| | | | | | | | 677,945 | |
| | | | | | | | | |
| | | | | Automobile: Retail — 0.2% |
| | 4,900 | | | Asbury Automotive Group, Inc. | | | 50,176 | |
| | 11,800 | | | Copart, Inc.* | | | 409,106 | |
| | 14,100 | | | Lithia Motors, Inc. — Class A | | | 130,284 | |
| | | | | | | | | |
| | | | | | | | 589,566 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.0% |
| | 24,300 | | | ATC Technology Corp.* | | | 352,350 | |
| | 5,900 | | | AutoNation, Inc.* | | | 102,365 | |
| | 15,600 | | | Exide Technologies* | | | 58,188 | |
| | 10,100 | | | Federal Signal Corp. | | | 77,265 | |
| | 10,100 | | | Force Protection, Inc.* | | | 89,284 | |
| | 42,311 | | | Fuel Systems Solutions, Inc.* | | | 854,259 | |
| | 37,400 | | | Oshkosh Corp. | | | 543,796 | |
| | 23,500 | | | Polaris Industries, Inc. | | | 754,820 | |
| | 15,900 | | | Spartan Motors, Inc.* | | | 180,147 | |
| | 14,300 | | | Standard Motor Products, Inc. | | | 118,261 | |
| | 3,500 | | | Superior Industries International, Inc. | | | 49,350 | |
| | | | | | | | | |
| | | | | | | | 3,180,085 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 7.8% |
| | 8,700 | | | 1st Source Corp. | | | 150,249 | |
| | 59,900 | | | Advance America Cash Advance Centers, Inc. | | | 265,357 | |
| | 9,100 | | | Ameris Bancorp | | | 57,512 | |
| | 4,200 | | | Asset Acceptance Capital Corp.* | | | 32,298 | |
| | 16,600 | | | Astoria Financial Corp. | | | 142,428 | |
| | 24,000 | | | Banco Latinoamericano de Comercio Exterior, SA — Class E (Panama) | | | 298,320 | |
| | 8,700 | | | Bank Mutual Corp. | | | 75,864 | |
| | 4,600 | | | Beneficial Mutual Bancorp, Inc.* | | | 44,160 | |
| | 1,700 | | | Berkshire Hills Bancorp, Inc. | | | 35,326 | |
| | 39,800 | | | BGC Partners, Inc. — Class A | | | 150,842 | |
| | 33,100 | | | BlackRock Kelso Capital Corp. | | | 206,213 | |
| | 800 | | | Capital Southwest Corp. | | | 57,880 | |
| | 39,925 | | | Cash America International, Inc.* | | | 933,846 | |
| | 29,900 | | | Central Pacific Financial Corp. | | | 112,125 | |
| | 2,700 | | | Chemical Financial Corp. | | | 53,757 | |
| | 46,200 | | | Citizens Republic Bancorp, Inc.* | | | 32,802 | |
| | 10,000 | | | City Holding Company* | | | 303,600 | |
| | 56,400 | | | Community Bank System, Inc. | | | 821,184 | |
| | 9,700 | | | Community Trust Bancorp, Inc. | | | 259,475 | |
| | 43,300 | | | Credit Acceptance Corp.* | | | 946,105 | |
| | 29,100 | | | Dime Community Bancshares | | | 265,101 | |
| | 38,300 | | | Doral Financial Corp. — Puerto Rico* | | | 95,750 | |
| | 66,980 | | | Duff & Phelps Corp. — Class A | | | 1,190,904 | |
| | 121,100 | | | E*TRADE Financial Corp.* | | | 155,008 | |
| | 10,800 | | | Encore Capital Group, Inc.* | | | 143,100 | |
| | 2,100 | | | ESSA Bancorp, Inc. | | | 28,707 | |
| | 33,500 | | | Financial Federal Corp. | | | 688,425 | |
| | 6,700 | | | Financial Institutions, Inc. | | | 91,522 | |
| | 116,400 | | | First BanCorp — Puerto Rico | | | 459,780 | |
| | 2,500 | | | First Citizens Bancshares, Inc. — Class A | | | 334,125 | |
| | 23,200 | | | First Commonwealth Financial Corp. | | | 147,088 | |
| | 1,900 | | | First Community Bancshares, Inc. | | | 24,396 | |
| | 37,000 | | | First Financial Bancorp | | | 278,240 | |
| | 11,400 | | | First Financial Bankshares, Inc. | | | 574,104 | |
| | 6,500 | | | First Financial Corp. | | | 205,270 | |
| | 7,500 | | | First Financial Holdings, Inc. | | | 70,500 | |
| | 2,800 | | | First Merchants Corp. | | | 22,484 | |
| | 106,300 | | | First Midwest Bancorp, Inc. | | | 777,053 | |
| | 29,900 | | | First Niagara Financial Group, Inc. | | | 341,458 | |
| | 9,100 | | | First Place Financial Corp. | | | 28,301 | |
| | 25,300 | | | FirstMerit Corp. | | | 429,594 | |
See notes to financial statements.
104
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Banks and Financial Services (continued) |
| | | | | | | | | |
| | 61,800 | | | Flagstar Bancorp, Inc.* | | $ | 42,024 | |
| | 28,300 | | | GFI Group, Inc. | | | 190,742 | |
| | 42,800 | | | Global Cash Access Holdings, Inc.* | | | 340,688 | |
| | 7,000 | | | Great Southern Bancorp, Inc. | | | 143,850 | |
| | 16,500 | | | Guaranty Bancorp* | | | 31,515 | |
| | 6,600 | | | Harleysville National Corp. | | | 31,020 | |
| | 11,400 | | | Independent Bank Corp. — Massachusetts | | | 224,580 | |
| | 26,000 | | | Interactive Brokers Group, Inc. — Class A* | | | 403,780 | |
| | 93,600 | | | International Bancshares Corp. | | | 965,016 | |
| | 110,900 | | | LaBranche & Company, Inc.* | | | 476,870 | |
| | 4,200 | | | Lakeland Bancorp, Inc. | | | 37,758 | |
| | 4,200 | | | MainSource Financial Group, Inc. | | | 31,164 | |
| | 56,400 | | | MB Financial, Inc. | | | 574,716 | |
| | 9,600 | | | Medallion Financial Corp. | | | 73,440 | |
| | 30,874 | | | Morningstar, Inc.* | | | 1,272,935 | |
| | 37,400 | | | National Financial Partners Corp. | | | 273,768 | |
| | 3,500 | | | NBT Bancorp, Inc. | | | 75,985 | |
| | 54,400 | | | NewAlliance Bancshares, Inc.* | | | 625,600 | |
| | 13,700 | | | OceanFirst Financial Corp. | | | 163,989 | |
| | 15,600 | | | Old National Bancorp — Indiana | | | 153,192 | |
| | 3,700 | | | Old Second Bancorp, Inc. | | | 21,830 | |
| | 5,400 | | | optionsXpress Holdings, Inc. | | | 83,862 | |
| | 50,400 | | | Oriental Financial Group, Inc.- Puerto Rico | | | 488,880 | |
| | 17,000 | | | PacWest Bancorp | | | 223,720 | |
| | 11,400 | | | Park National Corp. | | | 643,872 | |
| | 15,000 | | | Patriot Capital Funding, Inc. | | | 25,650 | |
| | 7,000 | | | Penson Worldwide, Inc.* | | | 62,650 | |
| | 6,500 | | | People’s Bancorp, Inc. | | | 110,825 | |
| | 197,500 | | | Popular, Inc. — Puerto Rico | | | 434,500 | |
| | 23,200 | | | PRG-Schultz International, Inc.* | | | 62,640 | |
| | 18,500 | | | Provident Financial Services, Inc. | | | 168,350 | |
| | 10,900 | | | Provident New York Bancorp | | | 88,508 | |
| | 5,000 | | | Sanders Morris Harris Group, Inc. | | | 27,500 | |
| | 14,200 | | | Santander BanCorp — Puerto Rico* | | | 98,832 | |
| | 6,700 | | | SCBT Financial Corp. | | | 158,723 | |
| | 2,500 | | | Simmons First National Corp. — Class A | | | 66,800 | |
| | 8,100 | | | Suffolk Bancorp | | | 207,684 | |
| | 12,705 | | | Sun Bancorp, Inc. — New Jersey* | | | 65,812 | |
| | 3,400 | | | SWS Group, Inc. | | | 47,498 | |
| | 8,400 | | | SY Bancorp, Inc. | | | 203,028 | |
| | 800 | | | Tompkins Financial Corp.* | | | 38,360 | |
| | 6,100 | | | TriCo Bancshares | | | 94,550 | |
| | 25,900 | | | TrustCo Bank Corp. NY | | | 153,069 | |
| | 10,100 | | | UMB Financial Corp.* | | | 383,901 | |
| | 5,200 | | | Union Bankshares Corp. | | | 77,844 | |
| | 21,000 | | | United Bankshares, Inc. | | | 410,340 | |
| | 162,700 | | | Webster Financial Corp. | | | 1,309,735 | |
| | 4,600 | | | West Bancorp | | | 23,000 | |
| | 20,200 | | | Westamerica Bancorp | | | 1,002,122 | |
| | 6,600 | | | World Acceptance Corp.* | | | 131,406 | |
| | 9,200 | | | WSFS Financial Corp. | | | 251,252 | |
| | 2,500 | | | Zions Bancorp | | | 28,900 | |
| | | | | | | | | |
| | | | | | | | 24,658,528 | |
| | | | | | | | | |
| | | | | Broadcast Services/Media — 0.1% |
| | 43,100 | | | Entercom Communications Corp. — Class A | | | 65,943 | |
| | 15,700 | | | EW Scripps Company (The) — Class A | | | 32,813 | |
| | 28,600 | | | Media General, Inc. — Class A | | | 60,346 | |
| | 39,500 | | | Sinclair Broadcast Group, Inc. — Class A | | | 76,630 | |
| | | | | | | | | |
| | | | | | | | 235,732 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 4.9% |
| | 106,400 | | | Acxiom Corp. | | | 939,512 | |
| | 43,800 | | | Administaff, Inc. | | | 1,019,226 | |
| | 98,700 | | | Arbitron, Inc. | | | 1,568,343 | |
| | 67,915 | | | Coinstar, Inc.* | | | 1,813,331 | |
| | 69,200 | | | CSG Systems International, Inc.* | | | 916,208 | |
| | 46,900 | | | Deluxe Corp. | | | 600,789 | |
| | 32,900 | | | Diamond Management & Technology Consultants, Inc. | | | 138,180 | |
| | 15,200 | | | Dice Holdings, Inc.* | | | 70,680 | |
| | 27,500 | | | Fair Isaac Corp. | | | 425,150 | |
| | 54,500 | | | Hackett Group, Inc.* | | | 126,985 | |
| | 26,500 | | | Hudson Highland Group, Inc.* | | | 51,940 | |
| | 98,580 | | | Kforce, Inc.* | | | 815,257 | |
| | 49,800 | | | MAXIMUS, Inc.* | | | 2,054,250 | |
| | 24,300 | | | ModusLink Global Solutions, Inc.* | | | 166,698 | |
| | 10,000 | | | On Assignment, Inc.* | | | 39,100 | |
| | 55,899 | | | Portfolio Recovery Associates, Inc.* | | | 2,164,967 | |
| | 54,200 | | | Spherion Corp.* | | | 223,304 | |
| | 45,200 | | | UniFirst Corp. | | | 1,680,084 | |
| | 13,447 | | | Watson Wyatt Worldwide, Inc. — Class A | | | 504,666 | |
| | | | | | | | | |
| | | | | | | | 15,318,670 | |
| | | | | | | | | |
| | | | | Chemicals — 1.4% |
| | 16,600 | | | A Schulman, Inc.* | | | 250,826 | |
| | 6,600 | | | Huntsman Corp. | | | 33,198 | |
| | 25,700 | | | Innospec, Inc. | | | 276,275 | |
| | 2,700 | | | Minerals Technologies, Inc. | | | 97,254 | |
| | 64,910 | | | Olin Corp. | | | 771,780 | |
| | 28,500 | | | OM Group, Inc.* | | | 827,070 | |
| | 9,100 | | | Omnova Solutions, Inc.* | | | 29,666 | |
| | 39,500 | | | Spartech Corp. | | | 363,005 | |
| | 11,800 | | | Symyx Technologies, Inc.* | | | 69,030 | |
| | 151,500 | | | Zep, Inc. | | | 1,825,575 | |
| | | | | | | | | |
| | | | | | | | 4,543,679 | |
| | | | | | | | | |
See notes to financial statements.
105
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Collectibles — 0.0% |
| | 9,200 | | | RC2 Corp.* | | $ | 121,716 | |
| | | | | | | | | |
| | | | | Commercial Services — 1.5% |
| | 106,405 | | | Euronet Worldwide, Inc.* | | | 2,063,193 | |
| | 25,735 | | | HMS Holdings Corp.* | | | 1,047,929 | |
| | 11,600 | | | PHH Corp.* | | | 210,888 | |
| | 49,365 | | | Wright Express Corp.* | | | 1,257,327 | |
| | | | | | | | | |
| | | | | | | | 4,579,337 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 5.2% |
| | 101,600 | | | 3Com Corp.* | | | 478,536 | |
| | 9,100 | | | Actuate Corp.* | | | 43,498 | |
| | 74,900 | | | Adaptec, Inc.* | | | 198,485 | |
| | 74,360 | | | Ariba, Inc.* | | | 731,702 | |
| | 26,000 | | | Avocent Corp.* | | | 362,960 | |
| | 4,200 | | | Black Box Corp. | | | 140,574 | |
| | 30,700 | | | CACI International, Inc. — Class A* | | | 1,311,197 | |
| | 76,100 | | | CIBER, Inc.* | | | 235,910 | |
| | 15,700 | | | Cray, Inc.* | | | 123,716 | |
| | 73,333 | | | DivX, Inc.* | | | 402,598 | |
| | 105,900 | | | Electronics For Imaging, Inc.* | | | 1,128,894 | |
| | 30,800 | | | Extreme Networks, Inc.* | | | 61,600 | |
| | 5,800 | | | Imation Corp. | | | 44,138 | |
| | 3,400 | | | Insight Enterprises, Inc.* | | | 32,844 | |
| | 14,680 | | | ManTech International Corp. — Class A* | | | 631,827 | |
| | 28,285 | | | MICROS Systems, Inc.* | | | 716,176 | |
| | 66,516 | | | NetScout Systems, Inc.* | | | 623,920 | |
| | 64,575 | | | Nuance Communications, Inc.* | | | 780,712 | |
| | 102,970 | | | Parametric Technology Corp.* | | | 1,203,719 | |
| | 61,730 | | | Progress Software Corp.* | | | 1,306,824 | |
| | 6,000 | | | Quest Software, Inc.* | | | 83,640 | |
| | 19,000 | | | RadiSys Corp.* | | | 171,190 | |
| | 29,638 | | | Sybase, Inc.* | | | 928,855 | |
| | 78,285 | | | Sykes Enterprises, Inc.* | | | 1,416,176 | |
| | 6,600 | | | Synaptics, Inc.* | | | 255,090 | |
| | 39,165 | | | Taleo Corp. — Class A* | | | 715,545 | |
| | 45,857 | | | Virtusa Corp.* | | | 368,232 | |
| | 217,380 | | | Web.com Group, Inc.* | | | 1,223,849 | |
| | 130,500 | | | Xyratex, Ltd. (Bermuda)* | | | 651,195 | |
| | | | | | | | | |
| | | | | | | | 16,373,602 | |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 1.9% |
| | 10,800 | | | Beacon Roofing Supply, Inc.* | | | 156,168 | |
| | 55,500 | | | Beazer Homes USA, Inc.* | | | 101,565 | |
| | 28,300 | | | BlueLinx Holdings, Inc.* | | | 84,900 | |
| | 57,700 | | | Comfort Systems USA, Inc.* | | | 591,425 | |
| | 28,775 | | | Granite Construction, Inc. | | | 957,632 | |
| | 26,100 | | | Hovnanian Enterprises, Inc. — Class A* | | | 61,596 | |
| | 42,200 | | | M/I Homes, Inc.* | | | 413,138 | |
| | 16,000 | | | Meritage Homes Corp.* | | | 301,760 | |
| | 42,205 | | | MYR Group, Inc. — Delaware* | | | 853,385 | |
| | 22,600 | | | Ryland Group, Inc. (The) | | | 378,776 | |
| | 30,000 | | | Simpson Manufacturing Company, Inc. | | | 648,600 | |
| | 220,000 | | | Standard Pacific Corp.* | | | 446,600 | |
| | 37,500 | | | Sterling Construction Company, Inc.* | | | 572,250 | |
| | 3,700 | | | Trex Company, Inc.* | | | 49,469 | |
| | 10,800 | | | Universal Forest Products, Inc. | | | 357,372 | |
| | | | | | | | | |
| | | | | | | | 5,974,636 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 2.5% |
| | 15,600 | | | Blyth, Inc. | | | 511,524 | |
| | 23,200 | | | Central Garden & Pet Company — Class A* | | | 228,520 | |
| | 14,175 | | | Chattem, Inc.* | | | 965,318 | |
| | 3,600 | | | CSS Industries, Inc. | | | 73,368 | |
| | 121,800 | | | Helen of Troy, Ltd. (Bermuda)* | | | 2,045,022 | |
| | 74,300 | | | Herbalife, Ltd. (Cayman Islands) | | | 2,343,422 | |
| | 3,400 | | | Hooker Furniture Corp. | | | 39,032 | |
| | 44,000 | | | La-Z-Boy, Inc. | | | 207,680 | |
| | 5,200 | | | Prestige Brands Holdings, Inc.* | | | 31,980 | |
| | 29,100 | | | Regis Corp. | | | 506,631 | |
| | 16,600 | | | Revlon, Inc. — Class A* | | | 90,304 | |
| | 63,500 | | | Tempur-Pedic International, Inc. | | | 829,945 | |
| | | | | | | | | |
| | | | | | | | 7,872,746 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.3% |
| | 6,600 | | | Bway Holding Company* | | | 115,698 | |
| | 19,575 | | | Greif, Inc. — Class A | | | 865,607 | |
| | | | | | | | | |
| | | | | | | | 981,305 | |
| | | | | | | | | |
| | | | | Distribution — 1.5% |
| | 5,800 | | | Core-Mark Holding Company, Inc.* | | | 151,148 | |
| | 14,900 | | | Houston Wire & Cable Company | | | 177,459 | |
| | 98,930 | | | LKQ Corp.* | | | 1,627,399 | |
| | 1,700 | | | Nu Skin Enterprises, Inc. — Class A | | | 26,010 | |
| | 800 | | | Tech Data Corp.* | | | 26,168 | |
| | 58,700 | | | United Stationers, Inc.* | | | 2,047,456 | |
| | 2,500 | | | Universal Corp. | | | 82,775 | |
| | 19,500 | | | WESCO International, Inc.* | | | 488,280 | |
| | | | | | | | | |
| | | | | | | | 4,626,695 | |
| | | | | | | | | |
| | | | | Diversified Operations and Services — 0.6% |
| | 43,095 | | | ESCO Technologies, Inc.* | | | 1,930,656 | |
| | 8,300 | | | Standex International Corp. | | | 96,280 | |
| | | | | | | | | |
| | | | | | | | 2,026,936 | |
| | | | | | | | | |
| | | | | Education — 0.1% |
| | 3,300 | | | Career Education Corp.* | | | 82,137 | |
| | 8,400 | | | Corinthian Colleges, Inc.* | | | 142,212 | |
| | | | | | | | | |
| | | | | | | | 224,349 | |
| | | | | | | | | |
See notes to financial statements.
106
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Electronics — 3.1% |
| | 28,910 | | | Avnet, Inc.* | | $ | 607,977 | |
| | 146,300 | | | Belden, Inc. | | | 2,443,211 | |
| | 13,200 | | | Benchmark Electronics, Inc.* | | | 190,080 | |
| | 44,800 | | | CTS Corp.* | | | 293,440 | |
| | 17,800 | | | Cubic Corp. | | | 637,062 | |
| | 70,900 | | | Diebold, Inc. | | | 1,868,924 | |
| | 86,923 | | | LaBarge, Inc.* | | | 805,776 | |
| | 45,900 | | | Methode Electronics, Inc. | | | 322,218 | |
| | 70,400 | | | Micrel, Inc. | | | 515,328 | |
| | 33,701 | | | Multi-Fineline Electronix, Inc.* | | | 721,201 | |
| | 104,800 | | | Nam Tai Electronics, Inc. (British Virgin Islands) | | | 446,448 | |
| | 19,900 | | | Stoneridge, Inc.* | | | 95,520 | |
| | 13,200 | | | Technitrol, Inc. | | | 85,404 | |
| | 15,400 | | | Thomas & Betts Corp.* | | | 444,444 | |
| | 25,900 | | | Vishay Intertechnology, Inc.* | | | 175,861 | |
| | | | | | | | | |
| | | | | | | | 9,652,894 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 1.3% |
| | 5,000 | | | Ameristar Casinos, Inc. | | | 95,150 | |
| | 13,300 | | | Bally Technologies, Inc.* | | | 397,936 | |
| | 30,600 | | | Carmike Cinemas, Inc.* | | | 256,428 | |
| | 52,400 | | | Choice Hotels International, Inc. | | | 1,394,364 | |
| | 3,800 | | | National CineMedia, Inc. | | | 52,288 | |
| | 36,794 | | | Netflix, Inc.* | | | 1,521,064 | |
| | 9,100 | | | Pinnacle Entertainment, Inc.* | | | 84,539 | |
| | 18,300 | | | Shuffle Master, Inc.* | | | 120,963 | |
| | 29,100 | | | Warner Music Group Corp.* | | | 170,235 | |
| | | | | | | | | |
| | | | | | | | 4,092,967 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services — 0.1% |
| | 14,100 | | | Casella Waste Systems, Inc. — Class A* | | | 28,059 | |
| | 32,300 | | | EnergySolutions | | | 297,160 | |
| | 10,800 | | | Waste Services, Inc.* | | | 55,944 | |
| | | | | | | | | |
| | | | | | | | 381,163 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 0.3% |
| | 61,500 | | | Rent-A-Center, Inc.* | | | 1,096,545 | |
| | | | | | | | | |
| | | | | Food and Beverage — 1.7% |
| | 2,600 | | | Coca-Cola Bottling Company Consolidated | | | 143,338 | |
| | 51,100 | | | Del Monte Foods Company | | | 479,318 | |
| | 3,400 | | | Farmer Brothers Company | | | 77,792 | |
| | 37,660 | | | Flowers Foods, Inc. | | | 822,494 | |
| | 26,091 | | | Lancaster Colony Corp. | | | 1,149,830 | |
| | 80,200 | | | Lance, Inc. | | | 1,855,027 | |
| | 26,700 | | | Nash Finch Company | | | 722,502 | |
| | 53,100 | | | Reddy Ice Holdings, Inc.* | | | 87,615 | |
| | | | | | | | | |
| | | | | | | | 5,337,916 | |
| | | | | | | | | |
| | | | | Insurance — 4.6% |
| | 3,300 | | | Alleghany Corp.* | | | 894,300 | |
| | 8,400 | | | Allied World Assurance Holdings, Ltd. (Bermuda) | | | 342,972 | |
| | 134,600 | | | American Equity Investment Life Holding Company | | | 751,068 | |
| | 7,500 | | | American Physicians Capital, Inc. | | | 293,700 | |
| | 21,900 | | | Amerisafe, Inc.* | | | 340,764 | |
| | 26,000 | | | Aspen Insurance Holdings, Ltd. (Bermuda) | | | 580,840 | |
| | 83,200 | | | Assured Guaranty, Ltd. (Bermuda) | | | 1,030,016 | |
| | 100,300 | | | Conseco, Inc.* | | | 237,711 | |
| | 106,528 | | | Delphi Financial Group, Inc. — Class A | | | 2,069,839 | |
| | 15,900 | | | Employers Holdings, Inc. | | | 215,445 | |
| | 7,600 | | | Endurance Specialty Holdings, Ltd. (Bermuda) | | | 222,680 | |
| | 7,500 | | | FPIC Insurance Group, Inc.* | | | 229,650 | |
| | 2,500 | | | Infinity Property & Casualty Corp. | | | 91,150 | |
| | 40,800 | | | IPC Holdings, Ltd. (Bermuda) | | | 1,115,472 | |
| | 8,700 | | | MBIA, Inc.* | | | 37,671 | |
| | 52,800 | | | Montpelier Re Holdings, Ltd. (Bermuda) | | | 701,712 | |
| | 800 | | | National Western Life Insurance Company — Class A | | | 93,400 | |
| | 95,500 | | | Platinum Underwriters Holdings, Ltd. (Bermuda) | | | 2,730,345 | |
| | 17,600 | | | PMA Capital Corp. — Class A* | | | 80,080 | |
| | 15,700 | | | Presidential Life Corp. | | | 118,849 | |
| | 26,500 | | | Reinsurance Group of America, Inc. | | | 925,115 | |
| | 144,400 | | | Universal American Financial Corp.* | | | 1,259,168 | |
| | | | | | | | | |
| | | | | | | | 14,361,947 | |
| | | | | | | | | |
| | | | | Internet Services — 3.6% |
| | 88,245 | | | comScore, Inc.* | | | 1,175,423 | |
| | 40,655 | | | Digital River, Inc.* | | | 1,476,590 | |
| | 47,200 | | | EarthLink, Inc.* | | | 349,752 | |
| | 188,540 | | | eResearchTechnology, Inc.* | | | 1,170,833 | |
| | 34,445 | | | F5 Networks, Inc.* | | | 1,191,453 | |
| | 57,565 | | | j2 Global Communications, Inc.* | | | 1,298,666 | |
| | 36,400 | | | Lionbridge Technologies, Inc.* | | | 66,976 | |
| | 5,700 | | | Marchex, Inc. — Class B | | | 19,209 | |
| | 56,800 | | | S1 Corp.* | | | 391,920 | |
| | 32,300 | | | SonicWALL, Inc.* | | | 177,004 | |
| | 38,800 | | | TIBCO Software, Inc.* | | | 278,196 | |
| | 164,640 | | | United Online, Inc. | | | 1,071,806 | |
| | 80,780 | | | ValueClick, Inc.* | | | 849,806 | |
| | 93,200 | | | Websense, Inc.* | | | 1,662,688 | |
| | | | | | | | | |
| | | | | | | | 11,180,322 | |
| | | | | | | | | |
| | | | | Machinery — 0.7% |
| | 4,900 | | | Altra Holdings, Inc.* | | | 36,701 | |
| | 32,545 | | | Astec Industries, Inc.* | | | 966,261 | |
| | 10,800 | | | Chart Industries, Inc.* | | | 196,344 | |
| | 2,700 | | | Kadant, Inc.* | | | 30,483 | |
See notes to financial statements.
107
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Machinery (continued) |
| | | | | | | | | |
| | 33,200 | | | Tecumseh Products Company — Class A* | | $ | 322,372 | |
| | 17,670 | | | Wabtec Corp. | | | 568,444 | |
| | | | | | | | | |
| | | | | | | | 2,120,605 | |
| | | | | | | | | |
| | | | | Manufacturing — 6.9% |
| | 19,100 | | | Actuant Corp. — Class A | | | 233,020 | |
| | 36,700 | | | Acuity Brands, Inc. | | | 1,029,435 | |
| | 2,500 | | | AEP Industries, Inc.* | | | 65,975 | |
| | 109,500 | | | Albany International Corp. — Class A | | | 1,246,110 | |
| | 3,400 | | | American Woodmark Corp. | | | 81,430 | |
| | 21,270 | | | Ameron International Corp. | | | 1,425,941 | |
| | 900 | | | AO Smith Corp. | | | 29,313 | |
| | 43,200 | | | AptarGroup, Inc. | | | 1,458,864 | |
| | 13,400 | | | Blount International, Inc.* | | | 115,374 | |
| | 13,200 | | | Brady Corp. — Class A | | | 331,584 | |
| | 34,000 | | | Briggs & Stratton Corp. | | | 453,560 | |
| | 138,200 | | | Carlisle Companies, Inc. | | | 3,322,328 | |
| | 7,500 | | | Colfax Corp.* | | | 57,900 | |
| | 10,800 | | | Crane Company | | | 240,948 | |
| | 11,800 | | | Encore Wire Corp. | | | 251,930 | |
| | 75,510 | | | EnPro Industries, Inc.* | | | 1,359,935 | |
| | 37,800 | | | Furniture Brands International, Inc. | | | 114,534 | |
| | 65,900 | | | Gibraltar Industries, Inc. | | | 452,733 | |
| | 123,180 | | | GrafTech International, Ltd.* | | | 1,393,166 | |
| | 15,270 | | | LSB Industries, Inc.* | | | 246,916 | |
| | 43,500 | | | Matthews International Corp. — Class A | | | 1,353,720 | |
| | 104,000 | | | Mueller Industries, Inc. | | | 2,163,200 | |
| | 13,200 | | | Mueller Water Products, Inc. — Class A | | | 49,368 | |
| | 28,935 | | | Powell Industries, Inc.* | | | 1,072,620 | |
| | 20,200 | | | Sturm, Ruger & Company, Inc. | | | 251,288 | |
| | 38,800 | | | Tredegar Corp. | | | 516,816 | |
| | 10,560 | | | Valmont Industries, Inc. | | | 761,165 | |
| | 7,500 | | | Watts Water Technologies, Inc. — Class A | | | 161,550 | |
| | 3,400 | | | Woodward Governor Company | | | 67,320 | |
| | 55,300 | | | Zebra Technologies Corp. — Class A* | | | 1,308,398 | |
| | | | | | | | | |
| | | | | | | | 21,616,441 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 7.6% |
| | 11,600 | | | American Medical Systems Holdings, Inc.* | | | 183,280 | |
| | 7,900 | | | American Service Group, Inc.* | | | 126,953 | |
| | 9,200 | | | AMN Healthcare Services, Inc.* | | | 58,696 | |
| | 63,700 | | | AmSurg Corp.* | | | 1,365,728 | |
| | 30,665 | | | Auxilium Pharmaceuticals, Inc.* | | | 962,268 | |
| | 107,225 | | | CardioNet, Inc.* | | | 1,749,912 | |
| | 77,300 | | | Centene Corp.* | | | 1,544,454 | |
| | 35,700 | | | CorVel Corp.* | | | 812,889 | |
| | 4,200 | | | Cyberonics, Inc.* | | | 69,846 | |
| | 800 | | | Emergency Medical Services Corp. — Class A* | | | 29,456 | |
| | 41,100 | | | Health Management Associates, Inc. — Class A* | | | 203,034 | |
| | 29,300 | | | HealthSouth Corp.* | | | 423,092 | |
| | 6,600 | | | Healthspring, Inc.* | | | 71,676 | |
| | 34,400 | | | ICU Medical, Inc.* | | | 1,415,560 | |
| | 33,100 | | | Invacare Corp. | | | 584,215 | |
| | 20,400 | | | LHC Group, Inc.* | | | 453,084 | |
| | 17,800 | | | Lincare Holdings, Inc.* | | | 418,656 | |
| | 3,400 | | | Magellan Health Services, Inc.* | | | 111,588 | |
| | 9,200 | | | Nighthawk Radiology Holdings, Inc.* | | | 34,040 | |
| | 63,100 | | | NuVasive, Inc.* | | | 2,814,260 | |
| | 5,200 | | | RehabCare Group, Inc.* | | | 124,436 | |
| | 498,218 | | | RTI Biologics, Inc.* | | | 2,137,355 | |
| | 119,640 | | | SonoSite, Inc.* | | | 2,399,978 | |
| | 388,519 | | | Spectranetics Corp. (The)* | | | 1,915,399 | |
| | 18,600 | | | STERIS Corp. | | | 485,088 | |
| | 4,900 | | | Symmetry Medical, Inc.* | | | 45,668 | |
| | 163,356 | | | TranS1, Inc.* | | | 1,017,708 | |
| | 3,400 | | | US Physical Therapy, Inc.* | | | 50,150 | |
| | 4,900 | | | WellCare Health Plans, Inc.* | | | 90,601 | |
| | 125,290 | | | Wright Medical Group, Inc.* | | | 2,037,215 | |
| | | | | | | | | |
| | | | | | | | 23,736,285 | |
| | | | | | | | | |
| | | | | Metals and Mining — 0.3% |
| | 2,500 | | | Lawson Products, Inc. | | | 35,525 | |
| | 29,900 | | | Metalico, Inc.* | | | 139,334 | |
| | 51,300 | | | Worthington Industries, Inc. | | | 656,127 | |
| | | | | | | | | |
| | | | | | | | 830,986 | |
| | | | | | | | | |
| | | | | Office Equipment, Supplies, and Services — 0.3% |
| | 213,100 | | | Acco Brands Corp.* | | | 600,942 | |
| | 6,500 | | | Ennis, Inc. | | | 80,990 | |
| | 24,300 | | | Knoll, Inc. | | | 184,194 | |
| | | | | | | | | |
| | | | | | | | 866,126 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 4.7% |
| | 18,300 | | | Allis-Chalmers Energy, Inc.* | | | 42,273 | |
| | 26,720 | | | Alpha Natural Resources, Inc.* | | | 701,934 | |
| | 37,205 | | | Arena Resources, Inc.* | | | 1,184,979 | |
| | 37,885 | | | Atwood Oceanics, Inc.* | | | 943,715 | |
| | 4,300 | | | Bolt Technology Corp.* | | | 48,332 | |
| | 17,400 | | | Cal Dive International, Inc.* | | | 150,162 | |
| | 8,700 | | | Clayton Williams Energy, Inc.* | | | 164,169 | |
| | 60,600 | | | Complete Production Services, Inc.* | | | 385,416 | |
| | 17,930 | | | Comstock Resources, Inc.* | | | 592,587 | |
| | 14,100 | | | Delta Petroleum Corp.* | | | 27,213 | |
| | 4,200 | | | Gulf Island Fabrication, Inc. | | | 66,486 | |
| | 13,200 | | | Gulfport Energy Corp.* | | | 90,420 | |
See notes to financial statements.
108
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Oil, Coal and Gas (continued) |
| | | | | | | | | |
| | 21,085 | | | Lufkin Industries, Inc. | | $ | 886,624 | |
| | 22,400 | | | McMoRan Exploration Company* | | | 133,504 | |
| | 66,350 | | | Natural Gas Services Group* | | | 882,455 | |
| | 14,100 | | | Newpark Resources, Inc.* | | | 40,185 | |
| | 37,200 | | | Nicor, Inc. | | | 1,287,865 | |
| | 11,400 | | | Northwest Natural Gas Company | | | 505,248 | |
| | 75,300 | | | Penn Virginia Corp. | | | 1,232,661 | |
| | 20,200 | | | Rosetta Resources, Inc.* | | | 176,750 | |
| | 14,000 | | | SEACOR Holdings, Inc.* | | | 1,053,360 | |
| | 14,100 | | | Southwest Gas Corp. | | | 313,161 | |
| | 24,200 | | | St Mary Land & Exploration Company | | | 505,054 | |
| | 82,000 | | | Stone Energy Corp.* | | | 608,440 | |
| | 65,920 | | | T-3 Energy Services, Inc.* | | | 785,107 | |
| | 35,300 | | | VAALCO Energy, Inc.* | | | 149,319 | |
| | 34,000 | | | Venoco, Inc.* | | | 260,780 | |
| | 6,600 | | | W&T Offshore, Inc. | | | 64,284 | |
| | 34,000 | | | Whiting Petroleum Corp.* | | | 1,195,440 | |
| | 7,500 | | | World Fuel Services Corp.* | | | 309,225 | |
| | | | | | | | | |
| | | | | | | | 14,787,148 | |
| | | | | | | | | |
| | | | | Paper and Forest Products — 0.7% |
| | 53,800 | | | Buckeye Technologies, Inc.* | | | 241,562 | |
| | 7,500 | | | Clearwater Paper Corp.* | | | 189,675 | |
| | 34,800 | | | Deltic Timber Corp. | | | 1,234,356 | |
| | 8,300 | | | Domtar Corp.* | | | 137,614 | |
| | 20,800 | | | Glatfelter | | | 185,120 | |
| | 7,500 | | | KapStone Paper and Packaging Corp.* | | | 35,175 | |
| | 6,600 | | | Neenah Paper, Inc. | | | 58,146 | |
| | | | | | | | | |
| | | | | | | | 2,081,648 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 5.9% |
| | 107,035 | | | Acorda Therapeutics, Inc.* | | | 3,017,317 | |
| | 65,040 | | | Alexion Pharmaceuticals, Inc.* | | | 2,674,445 | |
| | 119,795 | | | BioMarin Pharmaceutical, Inc.* | | | 1,870,000 | |
| | 55,800 | | | Charles River Laboratories International, Inc.* | | | 1,883,250 | |
| | 10,000 | | | DepoMed, Inc.* | | | 32,500 | |
| | 23,200 | | | Enzon Pharmaceuticals, Inc.* | | | 182,584 | |
| | 112,680 | | | Genomic Health, Inc.* | | | 1,952,744 | |
| | 14,200 | | | Noven Pharmaceuticals, Inc.* | | | 203,060 | |
| | 44,555 | | | Onyx Pharmaceuticals, Inc.* | | | 1,259,124 | |
| | 52,990 | | | OSI Pharmaceuticals, Inc.* | | | 1,495,908 | |
| | 6,600 | | | Par Pharmaceutical Companies, Inc.* | | | 99,990 | |
| | 11,800 | | | PharMerica Corp.* | | | 231,634 | |
| | 27,480 | | | United Therapeutics Corp.* | | | 2,289,908 | |
| | 47,900 | | | Valeant Pharmaceuticals International* | | | 1,231,988 | |
| | | | | | | | | |
| | | | | | | | 18,424,452 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 1.2% |
| | 131,090 | | | Bowne & Company, Inc. | | | 853,396 | |
| | 52,300 | | | Gannett Company, Inc. | | | 186,711 | |
| | 37,400 | | | Valassis Communications, Inc.* | | | 228,514 | |
| | 60,495 | | | VistaPrint, Ltd. (Bermuda)* | | | 2,580,112 | |
| | | | | | | | | |
| | | | | | | | 3,848,733 | |
| | | | | | | | | |
| | | | | Real Estate Investment Trusts — 4.7% |
| | 69,300 | | | Acadia Realty Trust | | | 904,365 | |
| | 9,700 | | | Agree Realty Corp. | | | 177,801 | |
| | 40,400 | | | American Campus Communities, Inc. | | | 896,072 | |
| | 13,400 | | | American Capital Agency Corp. | | | 307,798 | |
| | 169,100 | | | Anworth Mortgage Asset Corp. | | | 1,219,211 | |
| | 20,800 | | | Associated Estates Realty Corp. | | | 123,968 | |
| | 16,000 | | | CapLease, Inc. | | | 44,160 | |
| | 4,200 | | | Capstead Mortgage Corp. | | | 53,382 | |
| | 13,900 | | | Care Investment Trust, Inc. | | | 72,280 | |
| | 7,600 | | | Cedar Shopping Centers, Inc. | | | 34,352 | |
| | 156,800 | | | Chimera Investment Corp. | | | 547,232 | |
| | 4,700 | | | Cogdell Spencer, Inc. | | | 20,163 | |
| | 56,400 | | | Colonial Properties Trust | | | 417,360 | |
| | 80,200 | | | DiamondRock Hospitality Company | | | 502,052 | |
| | 33,800 | | | Education Realty Trust, Inc. | | | 145,002 | |
| | 1,800 | | | Equity Lifestyle Properties, Inc. | | | 66,924 | |
| | 11,200 | | | Equity One, Inc. | | | 148,512 | |
| | 33,600 | | | Extra Space Storage, Inc.* | | | 280,560 | |
| | 13,200 | | | First Potomac Realty Trust | | | 128,700 | |
| | 5,200 | | | Getty Realty Corp. | | | 98,124 | |
| | 6,500 | | | Hatteras Financial Corp. | | | 185,835 | |
| | 9,100 | | | Healthcare Realty Trust, Inc.* | | | 153,153 | |
| | 14,100 | | | Highwoods Properties, Inc. | | | 315,417 | |
| | 38,800 | | | HRPT Properties Trust | | | 157,528 | |
| | 69,100 | | | Inland Real Estate Corp. | | | 483,700 | |
| | 62,200 | | | Investors Real Estate Trust | | | 552,958 | |
| | 13,500 | | | Kite Realty Group Trust | | | 39,420 | |
| | 13,200 | | | Lexington Realty Trust* | | | 44,880 | |
| | 31,600 | | | LTC Properties, Inc. | | | 646,220 | |
| | 31,700 | | | Mack-Cali Realty Corp. | | | 722,760 | |
| | 19,100 | | | Mission West Properties, Inc. | | | 130,453 | |
| | 8,200 | | | Monmouth Real Estate Investment Corp. — Class A | | | 48,052 | |
| | 17,400 | | | National Health Investors, Inc. | | | 464,754 | |
| | 47,200 | | | OMEGA Healthcare Investors, Inc. | | | 732,544 | |
| | 8,102 | | | One Liberty Properties, Inc. | | | 46,587 | |
| | 27,900 | | | PS Business Parks, Inc. | | | 1,351,476 | |
| | 77,500 | | | Realty Income Corp. | | | 1,698,800 | |
| | 11,300 | | | Sun Communities, Inc. | | | 155,714 | |
| | 9,700 | | | Urstadt Biddle Properties — Class A | | | 136,576 | |
| | 116,400 | | | U-Store-It Trust | | | 570,360 | |
| | | | | | | | | |
| | | | | | | | 14,825,205 | |
| | | | | | | | | |
See notes to financial statements.
109
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Registered Investment Companies — 0.7% |
| | 14,900 | | | Allied Capital Corp. | | $ | 51,852 | |
| | 173,000 | | | Ares Capital Corp. | | | 1,394,380 | |
| | 15,700 | | | Fifth Street Finance Corp. | | | 157,628 | |
| | 7,000 | | | Harris & Harris Group, Inc.* | | | 40,810 | |
| | 21,500 | | | Hercules Technology Growth Capital, Inc. | | | 179,740 | |
| | 16,600 | | | Kayne Anderson Energy Development Company | | | 220,116 | |
| | 81,300 | | | MCG Capital Corp.* | | | 197,559 | |
| | 2,900 | | | Prospect Capital Corp. | | | 26,680 | |
| | | | | | | | | |
| | | | | | | | 2,268,765 | |
| | | | | | | | | |
| | | | | Retail — 3.7% |
| | 133,262 | | | 99 Cents Only Stores* | | | 1,809,698 | |
| | 114,593 | | | Big Lots, Inc.* | | | 2,409,890 | |
| | 11,308 | | | BJ’s Wholesale Club, Inc.* | | | 364,457 | |
| | 29,900 | | | Borders Group, Inc.* | | | 110,032 | |
| | 40,000 | | | Casey’s General Stores, Inc. | | | 1,027,600 | |
| | 26,000 | | | Dillard’s, Inc. — Class A | | | 239,200 | |
| | 118,750 | | | EZCORP, Inc. — Class A* | | | 1,280,125 | |
| | 59,510 | | | First Cash Financial Services, Inc.* | | | 1,042,615 | |
| | 51,600 | | | Hibbett Sports, Inc.* | | | 928,800 | |
| | 24,300 | | | Jo-Ann Stores, Inc.* | | | 502,281 | |
| | 26,000 | | | Kirkland’s, Inc.* | | | 312,260 | |
| | 28,200 | | | MarineMax, Inc.* | | | 97,008 | |
| | 7,500 | | | Office Depot, Inc.* | | | 34,200 | |
| | 3,600 | | | Pantry, Inc. (The)* | | | 59,760 | |
| | 87,119 | | | PetMed Express, Inc.* | | | 1,309,399 | |
| | 7,500 | | | Sally Beauty Holdings, Inc.* | | | 47,700 | |
| | 6,600 | | | Systemax, Inc.* | | | 78,606 | |
| | 20,200 | | | Zale Corp.* | | | 69,488 | |
| | | | | | | | | |
| | | | | | | | 11,723,119 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 1.9% |
| | 10,900 | | | AFC Enterprises, Inc.* | | | 73,575 | |
| | 74,345 | | | BJ’s Restaurants, Inc.* | | | 1,254,200 | |
| | 5,200 | | | Brinker International, Inc. | | | 88,556 | |
| | 36,000 | | | CEC Entertainment, Inc.* | | | 1,061,280 | |
| | 7,420 | | | Chipotle Mexican Grill, Inc. — Class A* | | | 593,600 | |
| | 10,000 | | | O’Charley’s, Inc. | | | 92,500 | |
| | 22,715 | | | Panera Bread Company — Class A* | | | 1,132,570 | |
| | 51,200 | | | Ruby Tuesday, Inc.* | | | 340,992 | |
| | 118,500 | | | Sonic Corp.* | | | 1,188,555 | |
| | | | | | | | | |
| | | | | | | | 5,825,828 | |
| | | | | | | | | |
| | | | | Retail: Supermarkets — 0.2% |
| | 4,300 | | | Weis Markets, Inc. | | | 144,136 | |
| | 17,382 | | | Whole Foods Market, Inc.* | | | 329,910 | |
| | | | | | | | | |
| | | | | | | | 474,046 | |
| | | | | | | | | |
| | | | | Rubber Products — 0.0% |
| | 7,300 | | | Myers Industries, Inc. | | | 60,736 | |
| | | | | | | | | |
| | | | | Semiconductors — 2.4% |
| | 135,000 | | | Amkor Technology, Inc.* | | | 638,550 | |
| | 39,600 | | | Cirrus Logic, Inc.* | | | 178,200 | |
| | 72,300 | | | Cypress Semiconductor Corp.* | | | 665,160 | |
| | 48,900 | | | Entegris, Inc.* | | | 133,008 | |
| | 54,000 | | | Lattice Semiconductor Corp.* | | | 101,520 | |
| | 115,170 | | | Microsemi Corp.* | | | 1,589,346 | |
| | 19,900 | | | QLogic Corp.* | | | 252,332 | |
| | 48,800 | | | Silicon Image, Inc.* | | | 112,240 | |
| | 244,895 | | | Skyworks Solutions, Inc.* | | | 2,395,073 | |
| | 10,100 | | | Smart Modular Technologies (WWH), Inc. (Cayman Islands)* | | | 22,927 | |
| | 60,290 | | | Tessera Technologies, Inc.* | | | 1,524,734 | |
| | | | | | | | | |
| | | | | | | | 7,613,090 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 2.9% |
| | 28,200 | | | ADC Telecommunications, Inc.* | | | 224,472 | |
| | 16,000 | | | ADTRAN, Inc. | | | 343,520 | |
| | 1,700 | | | Anaren, Inc.* | | | 30,056 | |
| | 21,115 | | | Anixter International, Inc.* | | | 793,713 | |
| | 9,100 | | | Applied Signal Technology, Inc. | | | 232,141 | |
| | 2,500 | | | Arris Group, Inc.* | | | 30,400 | |
| | 121,100 | | | Cincinnati Bell, Inc.* | | | 343,924 | |
| | 3,800 | | | CPI International, Inc.* | | | 33,022 | |
| | 24,000 | | | Harris Stratex Networks, Inc. — Class A* | | | 155,520 | |
| | 27,400 | | | IDT Corp. — Class B* | | | 44,388 | |
| | 10,800 | | | InterDigital, Inc.* | | | 263,952 | |
| | 13,200 | | | Iowa Telecommunications Services, Inc. | | | 165,132 | |
| | 6,100 | | | JDS Uniphase Corp.* | | | 34,892 | |
| | 123,302 | | | Novatel Wireless, Inc.* | | | 1,112,184 | |
| | 48,780 | | | NTELOS Holdings Corp. | | | 898,528 | |
| | 17,400 | | | Orbcomm, Inc.* | | | 30,624 | |
| | 1,700 | | | Plantronics, Inc. | | | 32,147 | |
| | 76,400 | | | Polycom, Inc.* | | | 1,548,627 | |
| | 72,200 | | | Powerwave Technologies, Inc.* | | | 116,242 | |
| | 10,500 | | | Symmetricom, Inc.* | | | 60,585 | |
| | 84,185 | | | Syniverse Holdings, Inc.* | | | 1,349,486 | |
| | 19,100 | | | Tekelec* | | | 321,453 | |
| | 74,800 | | | USA Mobility, Inc. | | | 954,448 | |
| | 87,100 | | | UTStarcom, Inc.* | | | 141,973 | |
| | | | | | | | | |
| | | | | | | | 9,261,429 | |
| | | | | | | | | |
| | | | | Toys — 0.1% |
| | 7,500 | | | Marvel Entertainment, Inc.* | | | 266,925 | |
| | | | | | | | | |
| | | | | Transportation — 2.8% |
| | 9,100 | | | American Commercial Lines, Inc.* | | | 140,868 | |
| | 4,200 | | | Celadon Group, Inc.* | | | 35,238 | |
| | 5,500 | | | Dynamex, Inc.* | | | 84,645 | |
| | 74,700 | | | GATX Corp. | | | 1,921,284 | |
| | 53,200 | | | Genesee & Wyoming, Inc. — Class A* | | | 1,410,332 | |
| | 5,800 | | | Greenbrier Companies, Inc. (The) | | | 41,702 | |
See notes to financial statements.
110
SMALL CORE PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Transportation (continued) |
| | | | | | | | | |
| | 17,400 | | | Heartland Express, Inc. | | $ | 256,128 | |
| | 13,200 | | | Horizon Lines, Inc. — Class A | | | 50,952 | |
| | 37,300 | | | Kirby Corp.* | | | 1,185,767 | |
| | 3,900 | | | Knightsbridge Tankers, Ltd. (Bermuda) | | | 53,196 | |
| | 19,100 | | | Marten Transport, Ltd.* | | | 396,516 | |
| | 3,400 | | | Nordic American Tanker Shipping, Ltd. (Bermuda) | | | 108,188 | |
| | 41,430 | | | Old Dominion Freight Line, Inc.* | | | 1,390,805 | |
| | 6,500 | | | Overseas Shipholding Group, Inc. | | | 221,260 | |
| | 18,100 | | | Pacer International, Inc. | | | 40,363 | |
| | 102,960 | | | TBS International, Ltd. — Class A (Bermuda)* | | | 804,118 | |
| | 51,300 | | | Vitran Corp., Inc. — Class A (Canada)* | | | 507,870 | |
| | 15,100 | | | Werner Enterprises, Inc.* | | | 273,612 | |
| | | | | | | | | |
| | | | | | | | 8,922,844 | |
| | | | | | | | | |
| | | | | Utilities — 3.2% |
| | 50,600 | | | Atmos Energy Corp. | | | 1,267,024 | |
| | 27,400 | | | El Paso Electric Company* | | | 382,504 | |
| | 2,800 | | | IDACORP, Inc. | | | 73,192 | |
| | 24,372 | | | New Jersey Resources Corp. | | | 902,739 | |
| | 39,800 | | | NorthWestern Corp.* | | | 905,848 | |
| | 5,800 | | | Pike Electric Corp.* | | | 69,890 | |
| | 40,700 | | | Portland General Electric Company | | | 792,836 | |
| | 1,700 | | | UIL Holdings Corp. | | | 38,165 | |
| | 109,800 | | | Unisource Energy Corp. | | | 2,914,092 | |
| | 79,200 | | | Westar Energy, Inc. | | | 1,486,584 | |
| | 38,200 | | | WGL Holdings, Inc.* | | | 1,223,164 | |
| | | | | | | | | |
| | | | | | | | 10,056,038 | |
| | | | | | | | | |
| | | | | Total Common Stocks
(Cost $315,497,982) | | | 307,531,943 | |
| | | | | | | | | |
| | | | | Warrants — 0.0% |
| | 4,637 | | | Krispy Kreme Doughnuts, Inc.* | | | 185 | |
| | 640 | | | Lantronix, Inc.*(14) | | | — | |
| | | | | | | | | |
| | | | | Total Warrants
(Cost $0) | | | 185 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Short Term US Treasury Securities — 0.1% |
| | | | | US Treasury Bills | | | | |
| $ | 430,000 | | | 0.17%, 09/17/09 (5)
(Cost $429,856) | | | 429,856 | |
| | | | | | | | | |
| | | | | Total Securities
(Cost $315,927,838) | | | 307,961,984 | |
| | | | | | | | | |
| | | | | Repurchase Agreements — 1.0% |
| | 3,217,403 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $3,217,404
(Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $3,286,052)
(Cost $3,217,403) | | | 3,217,403 | |
| | | | | | | | | |
| | | | | Total Investments — 99.1%
(Cost $319,145,241) | | | 311,179,387 | |
| | | | | Other assets less liabilities — 0.9% | | | 2,846,277 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 314,025,664 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $319,145,241.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 34,327,014 | |
| Gross unrealized depreciation | | | (42,292,868 | ) |
| | | | | |
| Net unrealized depreciation | | $ | (7,965,854 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
111
SMALL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks — 98.5% |
| | | | | Aerospace and Defense — 0.5% |
| | 21,900 | | | Teledyne Technologies, Inc.* | | $ | 717,225 | |
| | | | | | | | | |
| | | | | Airlines — 0.9% |
| | 88,539 | | | AirTran Holdings, Inc.* | | | 548,056 | |
| | 49,500 | | | Alaska Air Group, Inc.* | | | 903,870 | |
| | | | | | | | | |
| | | | | | | | 1,451,926 | |
| | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 4.4% |
| | 25,100 | | | Buckle, Inc. (The) | | | 797,427 | |
| | 27,253 | | | Children’s Place Retail Stores, Inc. (The)* | | | 720,297 | |
| | 57,300 | | | Dress Barn, Inc. (The)* | | | 819,389 | |
| | 80,900 | | | Finish Line, Inc. (The)— Class A | | | 600,278 | |
| | 64,900 | | | Foot Locker, Inc. | | | 679,503 | |
| | 8,300 | | | Gymboree Corp. (The)* | | | 294,484 | |
| | 70,700 | | | Hot Topic, Inc.* | | | 516,817 | |
| | 1,460 | | | Iconix Brand Group, Inc.* | | | 22,455 | |
| | 20,162 | | | Jos A Bank Clothiers, Inc. | | | 694,783 | |
| | 69,700 | | | Maidenform Brands, Inc.* | | | 799,458 | |
| | 16,905 | | | Shoe Carnival, Inc.* | | | 201,677 | |
| | 35,178 | | | Wolverine World Wide, Inc. | | | 776,027 | |
| | | | | | | | | |
| | | | | | | | 6,922,595 | |
| | | | | | | | | |
| | | | | Automobile: Retail — 0.4% |
| | 32,112 | | | America’s Car-Mart, Inc.* | | | 658,296 | |
| | | | | | | | | |
| | | | | Automobiles/Motor Vehicles, Automotive Equipment and Repairs — 1.1% |
| | 57,893 | | | Amerigon, Inc.* | | | 353,147 | |
| | 41,400 | | | ATC Technology Corp.* | | | 600,300 | |
| | 31,700 | | | Monro Muffler Brake, Inc. | | | 815,007 | |
| | | | | | | | | |
| | | | | | | | 1,768,454 | |
| | | | | | | | | |
| | | | | Banks and Financial Services — 4.8% |
| | 42,000 | | | Cash America International, Inc.* | | | 982,380 | |
| | 42,400 | | | Encore Capital Group, Inc.* | | | 561,800 | |
| | 5,300 | | | First Citizens Bancshares, Inc.— Class A | | | 708,345 | |
| | 48,473 | | | Greene Bancshares, Inc. | | | 217,159 | |
| | 90,300 | | | Heckman Corp.* | | | 338,625 | |
| | 51,300 | | | Knight Capital Group, Inc.-— Class A* | | | 874,665 | |
| | 46,600 | | | MarketAxess Holdings, Inc.* | | | 444,098 | |
| | 35,400 | | | Net 1 UEPS Technologies, Inc.* | | | 481,086 | |
| | 23,200 | | | Provident Financial Services, Inc. | | | 211,120 | |
| | 25,300 | | | Stifel Financial Corp.* | | | 1,216,677 | |
| | 30,847 | | | Texas Capital Bancshares, Inc.* | | | 477,203 | |
| | 41,970 | | | United Community Banks, Inc.— Georgia* | | | 251,400 | |
| | 25,300 | | | Waddell & Reed Financial, Inc.— Class A | | | 667,161 | |
| | | | | | | | | |
| | | | | | | | 7,431,719 | |
| | | | | | | | | |
| | | | | Business Services and Supplies — 4.5% |
| | 102,100 | | | APAC Customer Services, Inc.* | | | 523,773 | |
| | 148,113 | | | CBIZ, Inc.* | | | 1,054,565 | |
| | 37,500 | | | CRA International, Inc.* | | | 1,041,000 | |
| | 24,600 | | | FTI Consulting, Inc.* | | | 1,247,712 | |
| | 204,300 | | | Hackett Group, Inc.* | | | 476,019 | |
| | 17,100 | | | Huron Consulting Group, Inc.* | | | 790,533 | |
| | 68,757 | | | Kforce, Inc.* | | | 568,620 | |
| | 78,798 | | | TrueBlue, Inc.* | | | 661,903 | |
| | 17,478 | | | UniFirst Corp. | | | 649,657 | |
| | | | | | | | | |
| | | | | | | | 7,013,782 | |
| | | | | | | | | |
| | | | | Chemicals — 0.6% |
| | 40,200 | | | Sensient Technologies Corp. | | | 907,314 | |
| | | | | | | | | |
| | | | | Commercial Services — 1.1% |
| | 50,800 | | | DynCorp International, Inc.— Class A* | | | 852,931 | |
| | 12,303 | | | Steiner Leisure, Ltd. (Bahama Islands)* | | | 375,611 | |
| | 35,919 | | | Team, Inc.* | | | 562,851 | |
| | | | | | | | | |
| | | | | | | | 1,791,393 | |
| | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 10.9% |
| | 198,414 | | | 3Com Corp.* | | | 934,530 | |
| | 51,869 | | | ACI Worldwide, Inc.* | | | 724,091 | |
| | 50,700 | | | Actuate Corp.* | | | 242,346 | |
| | 41,000 | | | ANSYS, Inc.* | | | 1,277,560 | |
| | 94,623 | | | Aspen Technology, Inc.* | | | 807,134 | |
| | 55,300 | | | Avocent Corp.* | | | 771,988 | |
| | 170,513 | | | Bluephoenix Solutions, Ltd. (Israel)* | | | 417,757 | |
| | 26,900 | | | CACI International, Inc.— Class A* | | | 1,148,899 | |
| | 42,600 | | | Compellent Technologies, Inc.* | | | 649,650 | |
| | 27,800 | | | Ebix, Inc.* | | | 870,696 | |
| | 83,030 | | | EPIQ Systems, Inc.* | | | 1,274,511 | |
| | 94,047 | | | FalconStor Software, Inc.* | | | 446,723 | |
| | 20,700 | | | ManTech International Corp.— Class A* | | | 890,928 | |
| | 1,902 | | | Open Text Corp. (Canada)* | | | 69,271 | |
| | 15,300 | | | Pegasystems, Inc. | | | 403,614 | |
| | 78,554 | | | Radiant Systems, Inc.* | | | 651,998 | |
| | 68,686 | | | Smith Micro Software, Inc.* | | | 674,497 | |
| | 108,500 | | | Soapstone Networks, Inc.* | | | 453,530 | |
| | 46,500 | | | Solera Holdings, Inc.* | | | 1,181,100 | |
| | 28,770 | | | Sybase, Inc.* | | | 901,652 | |
| | 20,700 | | | Synaptics, Inc.* | | | 800,055 | |
| | 57,500 | | | Tyler Technologies, Inc.* | | | 898,150 | |
| | 18,700 | | | Ultimate Software Group, Inc. (The)* | | | 453,288 | |
| | | | | | | | | |
| | | | | | | | 16,943,968 | |
| | | | | | | | | |
See notes to financial statements.
112
SMALL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | | | | | |
| | | | | Construction Services and Supplies — 1.1% |
| | 51,000 | | | Beacon Roofing Supply, Inc.* | | $ | 737,460 | |
| | 40,474 | | | Integrated Electrical Services, Inc.* | | | 316,102 | |
| | 33,945 | | | Simpson Manufacturing Company, Inc. | | | 733,891 | |
| | | | | | | | | |
| | | | | | | | 1,787,453 | |
| | | | | | | | | |
| | | | | Consumer Goods and Services — 1.9% |
| | 15,933 | | | Chattem, Inc.* | | | 1,085,037 | |
| | 32,900 | | | Helen of Troy, Ltd. (Bermuda)* | | | 552,391 | |
| | 72,300 | | | Jarden Corp.* | | | 1,355,625 | |
| | | | | | | | | |
| | | | | | | | 2,993,053 | |
| | | | | | | | | |
| | | | | Containers and Packaging — 0.9% |
| | 20,474 | | | Rock-Tenn Company— Class A | | | 781,288 | |
| | 13,400 | | | Silgan Holdings, Inc. | | | 657,002 | |
| | | | | | | | | |
| | | | | | | | 1,438,290 | |
| | | | | | | | | |
| | | | | Education — 2.6% |
| | 22,431 | | | American Public Education, Inc.* | | | 888,492 | |
| | 18,600 | | | Capella Education Company* | | | 1,115,070 | |
| | 47,000 | | | Career Education Corp.* | | | 1,169,830 | |
| | 96,700 | | | ChinaCast Education Corp.* | | | 688,504 | |
| | 14,300 | | | Grand Canyon Education, Inc.* | | | 239,954 | |
| | | | | | | | | |
| | | | | | | | 4,101,850 | |
| | | | | | | | | |
| | | | | Electrical Equipment — 0.9% |
| | 621,975 | | | Capstone Turbine Corp.* | | | 516,239 | |
| | 40,220 | | | Greatbatch, Inc.* | | | 909,374 | |
| | | | | | | | | |
| | | | | | | | 1,425,613 | |
| | | | | | | | | |
| | | | | Electronics — 1.8% |
| | 29,600 | | | Diebold, Inc. | | | 780,256 | |
| | 42,000 | | | EnerSys* | | | 763,980 | |
| | 16,937 | | | NVE Corp.* | | | 823,138 | |
| | 20,400 | | | Plexus Corp.* | | | 417,384 | |
| | | | | | | | | |
| | | | | | | | 2,784,758 | |
| | | | | | | | | |
| | | | | Engineering — 0.7% |
| | 23,974 | | | Stanley, Inc.* | | | 788,265 | |
| | 14,300 | | | VSE Corp. | | | 374,088 | |
| | | | | | | | | |
| | | | | | | | 1,162,353 | |
| | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 0.9% |
| | 19,700 | | | Bally Technologies, Inc.* | | | 589,424 | |
| | 30,200 | | | Penn National Gaming, Inc.* | | | 879,122 | |
| | | | | | | | | |
| | | | | | | | 1,468,546 | |
| | | | | | | | | |
| | | | | Environmental Waste Management and Recycling Services — 1.5% |
| | 15,900 | | | Clean Harbors, Inc.* | | | 858,441 | |
| | 99,304 | | | EnergySolutions | | | 913,597 | |
| | 22,300 | | | Waste Connections, Inc.* | | | 577,793 | |
| | | | | | | | | |
| | | | | | | | 2,349,831 | |
| | | | | | | | | |
| | | | | Equipment Rental and Leasing — 0.6% |
| | 30,270 | | | Aaron’s, Inc. | | | 902,651 | |
| | | | | | | | | |
| | | | | Food and Beverage — 1.3% |
| | 29,130 | | | Central European Distribution Corp.* | | | 773,984 | |
| | 45,874 | | | Chiquita Brands International, Inc.* | | | 470,667 | |
| | 39,400 | | | Flowers Foods, Inc. | | | 860,496 | |
| | | | | | | | | |
| | | | | | | | 2,105,147 | |
| | | | | | | | | |
| | | | | Insurance — 1.6% |
| | 20,181 | | | Infinity Property & Casualty Corp. | | | 735,799 | |
| | 36,400 | | | IPC Holdings, Ltd. (Bermuda) | | | 995,176 | |
| | 32,300 | | | Tower Group, Inc. | | | 800,394 | |
| | | | | | | | | |
| | | | | | | | 2,531,369 | |
| | | | | | | | | |
| | | | | Internet Services — 4.1% |
| | 238,300 | | | Art Technology Group, Inc.* | | | 905,540 | |
| | 40,200 | | | Blue Coat Systems, Inc.* | | | 664,908 | |
| | 82,149 | | | CyberSource Corp.* | | | 1,256,879 | |
| | 143,186 | | | GigaMedia, Ltd. (Singapore)* | | | 841,934 | |
| | 219,623 | | | Move, Inc.* | | | 474,386 | |
| | 63,200 | | | NIC, Inc. | | | 427,864 | |
| | 31,900 | | | Perfect World Company, Ltd. (ADR) (Cayman Islands)* | | | 912,340 | |
| | 125,300 | | | TeleCommunications Systems, Inc.— Class A* | | | 890,883 | |
| | | | | | | | | |
| | | | | | | | 6,374,734 | |
| | | | | | | | | |
| | | | | Machinery — 0.1% |
| | 94,400 | | | Flow International Corp.* | | | 221,840 | |
| | | | | | | | | |
| | | | | Manufacturing — 1.4% |
| | 16,800 | | | AptarGroup, Inc. | | | 567,336 | |
| | 84,400 | | | GrafTech International, Ltd.* | | | 954,564 | |
| | 28,180 | | | II-VI, Inc.* | | | 624,751 | |
| | | | | | | | | |
| | | | | | | | 2,146,651 | |
| | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 10.4% |
| | 20,900 | | | Amedisys, Inc.* | | | 690,118 | |
| | 84,605 | | | American Medical Systems Holdings, Inc.* | | | 1,336,759 | |
| | 144,454 | | | Bruker BioSciences Corp.* | | | 1,337,644 | |
| | 21,500 | | | CardioNet, Inc.* | | | 350,880 | |
| | 101,012 | | | Celera Corp.* | | | 770,722 | |
| | 125,448 | | | CryoLife, Inc.* | | | 694,982 | |
| | 20,900 | | | Emergency Medical Services Corp.— Class A* | | | 769,538 | |
| | 29,000 | | | Ensign Group, Inc. | | | 412,670 | |
| | 30,000 | | | Genoptix, Inc.* | | | 959,700 | |
| | 18,900 | | | Haemonetics Corp.* | | | 1,077,300 | |
| | 47,800 | | | ICON PLC (ADR) (Ireland)* | | | 1,031,524 | |
| | 20,000 | | | ICU Medical, Inc.* | | | 823,000 | |
| | 55,150 | | | IRIS International, Inc.* | | | 650,770 | |
| | 24,787 | | | LHC Group, Inc.* | | | 550,519 | |
See notes to financial statements.
113
SMALL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Medical Equipment, Supplies, and Services (continued) |
| | | | | | | | | |
| | 26,700 | | | Luminex Corp.* | | $ | 495,018 | |
| | 5,502 | | | Neogen Corp.* | | | 159,448 | |
| | 54,953 | | | Phase Forward, Inc.* | | | 830,340 | |
| | 9,968 | | | Psychiatric Solutions, Inc.* | | | 226,672 | |
| | 30,400 | | | STERIS Corp. | | | 792,832 | |
| | 66,691 | | | Synovis Life Technologies, Inc.* | | | 1,385,173 | |
| | 49,864 | | | US Physical Therapy, Inc.* | | | 735,494 | |
| | | | | | | | | |
| | | | | | | | 16,081,103 | |
| | | | | | | | | |
| | | | | Metals and Mining — 1.3% |
| | 41,300 | | | AK Steel Holding Corp. | | | 792,547 | |
| | 103,300 | | | Gammon Gold, Inc. (Canada)* | | | 689,011 | |
| | 103,200 | | | Stillwater Mining Company* | | | 589,272 | |
| | | | | | | | | |
| | | | | | | | 2,070,830 | |
| | | | | | | | | |
| | | | | Oil, Coal and Gas — 5.3% |
| | 34,361 | | | Bill Barrett Corp.* | | | 943,554 | |
| | 288,832 | | | Cano Petroleum, Inc.* | | | 274,390 | |
| | 25,400 | | | Comstock Resources, Inc.* | | | 839,470 | |
| | 10,500 | | | Core Laboratories NV (the Netherlands) | | | 915,075 | |
| | 71,100 | | | EXCO Resources, Inc.* | | | 918,613 | |
| | 147,453 | | | Hercules Offshore, Inc.* | | | 585,388 | |
| | 17,947 | | | Hornbeck Offshore Services, Inc.* | | | 383,886 | |
| | 84,700 | | | Key Energy Services, Inc.* | | | 487,872 | |
| | 43,008 | | | Natural Gas Services Group* | | | 572,006 | |
| | 125,891 | | | North American Energy Partners, Inc. (Canada)* | | | 766,676 | |
| | 27,400 | | | Oil States International, Inc.* | | | 663,354 | |
| | 31,500 | | | Penn Virginia Corp. | | | 515,655 | |
| | 14,800 | | | Unit Corp.* | | | 408,036 | |
| | | | | | | | | |
| | | | | | | | 8,273,975 | |
| | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 6.2% |
| | 45,099 | | | Albany Molecular Research, Inc.* | | | 378,381 | |
| | 31,700 | | | Alexion Pharmaceuticals, Inc.* | | | 1,303,504 | |
| | 45,800 | | | Alnylam Pharmaceuticals, Inc.* | | | 1,019,966 | |
| | 51,300 | | | Cubist Pharmaceuticals, Inc.* | | | 940,329 | |
| | 46,800 | | | Emergent Biosolutions, Inc.* | | | 670,644 | |
| | 24,426 | | | Exponent, Inc.* | | | 598,681 | |
| | 49,700 | | | Isis Pharmaceuticals, Inc.* | | | 820,050 | |
| | 71,109 | | | Oculus Innovative Sciences, Inc.* | | | 241,771 | |
| | 78,700 | | | PAREXEL International Corp.* | | | 1,131,706 | |
| | 56,000 | | | Questcor Pharmaceuticals, Inc.* | | | 280,000 | |
| | 14,300 | | | United Therapeutics Corp.* | | | 1,191,619 | |
| | 171,349 | | | VIVUS, Inc.* | | | 1,041,802 | |
| | | | | | | | | |
| | | | | | | | 9,618,453 | |
| | | | | | | | | |
| | | | | Printing and Publishing — 1.2% |
| | 31,400 | | | Consolidated Graphics, Inc.* | | | 546,988 | |
| | 64,414 | | | Dolan Media Company* | | | 823,855 | |
| | 13,200 | | | VistaPrint, Ltd. (Bermuda)* | | | 562,980 | |
| | | | | | | | | |
| | | | | | | | 1,933,823 | |
| | | | | | | | | |
| | | | | Retail — 2.7% |
| | 65,300 | | | Conn’s, Inc.* | | | 816,250 | |
| | 49,600 | | | First Cash Financial Services, Inc.* | | | 868,992 | |
| | 23,200 | | | hhgregg, Inc.* | | | 351,712 | |
| | 33,600 | | | Hibbett Sports, Inc.* | | | 604,800 | |
| | 46,900 | | | Pantry, Inc. (The)* | | | 778,540 | |
| | 48,800 | | | PetMed Express, Inc.* | | | 733,464 | |
| | | | | | | | | |
| | | | | | | | 4,153,758 | |
| | | | | | | | | |
| | | | | Retail: Restaurants — 2.5% |
| | 48,806 | | | BJ’s Restaurants, Inc.* | | | 823,357 | |
| | 23,625 | | | Buffalo Wild Wings, Inc.* | | | 768,285 | |
| | 30,900 | | | Jack in the Box, Inc.* | | | 693,705 | |
| | 23,357 | | | O’Charley’s, Inc. | | | 216,052 | |
| | 24,400 | | | PF Chang’s China Bistro, Inc.* | | | 782,264 | |
| | 37,413 | | | Red Robin Gourmet Burgers, Inc.* | | | 701,494 | |
| | | | | | | | | |
| | | | | | | | 3,985,157 | |
| | | | | | | | | |
| | | | | Security Service and Devices — 1.0% |
| | 9,700 | | | American Science and Engineering, Inc. | | | 670,464 | |
| | 85,800 | | | Cogent, Inc.* | | | 920,634 | |
| | | | | | | | | |
| | | | | | | | 1,591,098 | |
| | | | | | | | | |
| | | | | Semiconductors — 4.4% |
| | 105,177 | | | Advanced Analogic Technologies, Inc.* | | | 482,762 | |
| | 197,300 | | | ANADIGICS, Inc.* | | | 826,687 | |
| | 45,300 | | | Cavium Networks, Inc.* | | | 761,493 | |
| | 42,548 | | | Monolithic Power Systems, Inc.* | | | 953,501 | |
| | 19,100 | | | Netlogic Microsystems, Inc.* | | | 696,386 | |
| | 198,400 | | | O2Micro International, Ltd. (ADR) (Cayman Islands)* | | | 992,000 | |
| | 157,300 | | | PMC-Sierra, Inc.* | | | 1,252,107 | |
| | 170,007 | | | Silicon Motion Technology Corp. (ADR) (Cayman Islands)* | | | 620,526 | |
| | 25,385 | | | Zoran Corp.* | | | 276,697 | |
| | | | | | | | | |
| | | | | | | | 6,862,159 | |
| | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 8.6% |
| | 43,400 | | | ADTRAN, Inc. | | | 931,798 | |
| | 29,200 | | | Applied Signal Technology, Inc. | | | 744,892 | |
| | 55,100 | | | Atheros Communications* | | | 1,060,124 | |
| | 31,420 | | | Comtech Telecommunications Corp.* | | | 1,001,670 | |
| | 28,962 | | | EMS Technologies, Inc.* | | | 605,306 | |
| | 31,678 | | | General Cable Corp.* | | | 1,190,460 | |
| | 56,515 | | | GeoEye, Inc.* | | | 1,331,494 | |
| | 105,600 | | | Globecomm Systems, Inc.* | | | 759,264 | |
See notes to financial statements.
114
SMALL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | |
Shares | | | | Value |
| |
| | | | | Common Stocks (continued) |
| | | | | Telecommunications Equipment and Services (continued) |
| | | | | | | | | |
| | 64,700 | | | MasTec, Inc.* | | $ | 758,284 | |
| | 12,331 | | | Neutral Tandem, Inc.* | | | 364,011 | |
| | 49,163 | | | NICE— Systems, Ltd. (ADR) (Israel)* | | | 1,134,190 | |
| | 99,700 | | | Novatel Wireless, Inc.* | | | 899,294 | |
| | 69,420 | | | Oplink Communications, Inc.* | | | 791,388 | |
| | 34,347 | | | Starent Networks Corp.* | | | 838,410 | |
| | 60,300 | | | Syniverse Holdings, Inc.* | | | 966,609 | |
| | | | | | | | | |
| | | | | | | | 13,377,194 | |
| | | | | | | | | |
| | | | | Transportation — 3.7% |
| | 34,038 | | | Arkansas Best Corp. | | | 896,901 | |
| | 111,463 | | | Celadon Group, Inc.* | | | 935,175 | |
| | 84,253 | | | Excel Maritime Carriers, Ltd. (Liberia) | | | 567,023 | |
| | 16,800 | | | Genco Shipping & Trading, Ltd. (Marshall Islands) | | | 364,896 | |
| | 50,300 | | | Heartland Express, Inc. | | | 740,416 | |
| | 42,466 | | | Hub Group, Inc.— Class A* | | | 876,498 | |
| | 63,800 | | | Kansas City Southern* | | | 1,027,818 | |
| | 21,700 | | | Marten Transport, Ltd.* | | | 450,492 | |
| | | | | | | | | |
| | | | | | | | 5,859,219 | |
| | | | | | | | | |
| | | | | Utilities — 0.6% |
| | 50,700 | | | Avista Corp. | | | 902,967 | |
| | | | | | | | | |
| | | | | Total Common Stocks (Cost $158,484,682) | | | 154,110,547 | |
| | | | | | | | | |
| | | | | Warrants — 0.0% |
| | 141 | | | Krispy Kreme Doughnuts, Inc.* (Cost $0) | | | 6 | |
| | | | | | | | | |
| | | | | Total Securities (Cost $158,484,682) | | | 154,110,553 | |
| | | | | | | | | |
Principal | | | | |
| |
| | | | | Repurchase Agreements — 1.2% |
| $ | 1,800,577 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $1,800,577
(Collateralized by US Treasury Bill, 0.28%, due 11/27/09, with a value of $1,837,792)
(Cost $1,800,577) | | | 1,800,577 | |
| | | | | | | | | |
| | | | | Total Investments — 99.7%
(Cost $160,285,259) | | | 155,911,130 | |
| | | | | Other assets less liabilities — 0.3% | | | 425,366 | |
| | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 156,336,496 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $160,285,259.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 16,770,284 | |
| Gross unrealized depreciation | | | (21,144,413 | ) |
| | | | | |
| Net unrealized depreciation | | $ | ( 4,374,129 | ) |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
115
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 2009
(Unaudited)
| | | | | | | | | | | | | |
Shares | | | | Value | | Country |
| |
| | | | | Common Stocks — 98.8% |
| | | | | Aerospace and Defense — 0.6% |
| | 363,100 | | | Empresa Brasileira de Aeronautica SA (ADR) | | $ | 6,012,936 | | | | BRA | |
| | | | | | | | | | | | | |
| | | | | Agriculture — 1.4% |
| | 149,400 | | | Potash Corp. of Saskatchewan, Inc. | | | 13,901,670 | | | | CDA | |
| | | | | | | | | | | | | |
| | | | | Apparel: Manufacturing and Retail — 2.5% |
| | 495,558 | | | Hennes & Mauritz AB (H&M) — B Shares | | | 24,730,847 | | | | SWE | |
| | | | | | | | | | | | | |
| | | | | Automobile: Retail — 2.0% |
| | 535,900 | | | Toyota Motor Corp. | | | 20,415,768 | | | | JPN | |
| | | | | | | | | | | | | |
| | | | | Banks and Financial Services — 23.1% |
| | 1,903,800 | | | BM&F BOVERSPA SA | | | 11,445,146 | | | | BRA | |
| | 331,215 | | | BNP Paribas | | | 21,489,817 | | | | FRA | |
| | 8,827,650 | | | China Merchants Bank Company, Ltd. | | | 20,206,645 | | | | CHN | |
| | 339,700 | | | Cia Brasileira de Meios de Pagamento — Class H* | | | 2,921,125 | | | | BRA | |
| | 254,600 | | | Deutsche Bank AG | | | 15,427,760 | | | | GER | |
| | 179,700 | | | Deutsche Boerse AG | | | 13,935,646 | | | | GER | |
| | 1,859,700 | | | Hong Kong Exchanges & Clearing, Ltd. | | | 28,963,141 | | | | HNG | |
| | 36,505,500 | | | Industrial and Commercial Bank of China, Ltd. — Class H | | | 25,483,030 | | | | CHN | |
| | 429,627 | | | Julius Baer Holding AG | | | 16,678,171 | | | | SWI | |
| | 3,512,800 | | | Mitsubishi UFJ Financial Group, Inc. (MUFG) | | | 21,805,724 | | | | JPN | |
| | 726,299 | | | National Bank of Greece SA | | | 20,173,982 | | | | GRC | |
| | 371,900 | | | Redecard SA | | | 5,722,268 | | | | BRA | |
| | 1,360,750 | | | Standard Chartered PLC | | | 25,521,240 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | | | | 229,773,695 | | | | | |
| | | | | | | | | | | | | |
| | | | | Broadcast Services/Media — 1.0% |
| | 1,368,210 | | | British Sky Broadcasting Group PLC | | | 10,241,952 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | Computer Equipment, Software and Services — 3.3% |
| | 599,387 | | | Logitech International SA* | | | 8,302,217 | | | | SWI | |
| | 605,661 | | | SAP AG | | | 24,359,496 | | | | GER | |
| | | | | | | | | | | | | |
| | | | | | | | 32,661,713 | | | | | |
| | | | | | | | | | | | | |
| | | | | Consumer Goods and Services — 4.7% |
| | 514,816 | | | British American Tobacco PLC | | | 14,169,893 | | | | BRI | |
| | 4,323,500 | | | Kingfisher PLC | | | 12,646,950 | | | | BRI | |
| | 441,191 | | | Reckitt Benckiser Group PLC | | | 20,076,934 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | | | | 46,893,777 | | | | | |
| | | | | | | | | | | | | |
| | | | | Diversified Operations and Services — 2.3% |
| | 299,533 | | | LVMH Moet Hennessy Louis Vuitton SA | | | 22,858,860 | | | | FRA | |
| | | | | | | | | | | | | |
| | | | | Entertainment, Leisure and Recreation — 2.7% |
| | 800,898 | | | Carnival PLC | | | 21,174,427 | | | | BRI | |
| | 223,414 | | | OPAP SA | | | 5,954,907 | | | | GRC | |
| | | | | | | | | | | | | |
| | | | | | | | 27,129,334 | | | | | |
| | | | | | | | | | | | | |
| | | | | Food and Beverage — 3.5% |
| | 572,154 | | | Nestle SA | | | 21,547,598 | | | | SWI | |
| | 661,156 | | | SABMiller PLC | | | 13,433,509 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | | | | 34,981,107 | | | | | |
| | | | | | | | | | | | | |
| | | | | Insurance — 3.6% |
| | 796,324 | | | AXA SA | | | 14,958,270 | | | | FRA | |
| | 5,765,033 | | | China Life Insurance Company, Ltd. — Class H | | | 21,200,307 | | | | CHN | |
| | | | | | | | | | | | | |
| | | | | | | | 36,158,577 | | | | | |
| | | | | | | | | | | | | |
| | | | | Internet Services — 1.3% |
| | 43,600 | | | Baidu, Inc. (ADR)* | | | 13,127,524 | | | | CAY | |
| | | | | | | | | | | | | |
| | | | | Machinery — 2.1% |
| | 1,363,000 | | | KOMATSU, Ltd. | | | 21,109,628 | | | | JPN | |
| | | | | | | | | | | | | |
| | | | | Manufacturing — 1.5% |
| | 188,594 | | | FANUC, Ltd. | | | 15,191,669 | | | | JPN | |
| | | | | | | | | | | | | |
| | | | | Medical Equipment, Supplies, and Services — 4.4% |
| | 167,171 | | | Air Liquide SA | | | 15,269,317 | | | | FRA | |
| | 144,200 | | | Covidien PLC | | | 5,398,848 | | | | IRE | |
| | 297,000 | | | Fresenius Medical Care AG & Company | | | 13,286,848 | | | | GER | |
| | 1,387,241 | | | Smith & Nephew PLC | | | 10,258,886 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | | | | 44,213,899 | | | | | |
| | | | | | | | | | | | | |
| | | | | Metals and Mining — 1.9% |
| | 688,286 | | | BHP Billiton, Ltd. | | | 19,256,432 | | | | AUS | |
| | | | | | | | | | | | | |
| | | | | Oil, Coal and Gas — 4.9% |
| | 310,200 | | | Canadian Natural Resources, Ltd. | | | 16,318,736 | | | | CDA | |
| | 482,700 | | | Petroleo Brasileiro SA — Petrobras (ADR) | | | 19,781,046 | | | | BRA | |
| | 242,900 | | | Schlumberger, Ltd. | | | 13,143,319 | | | | ANT | |
| | | | | | | | | | | | | |
| | | | | | | | 49,243,101 | | | | | |
| | | | | | | | | | | | | |
| | | | | Pharmaceuticals/Research and Development — 9.9% |
| | 423,471 | | | Novartis AG | | | 17,164,109 | | | | SWI | |
| | 486,349 | | | Novo Nordisk A/S — Class B | | | 26,294,335 | | | | DEN | |
See notes to financial statements.
116
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | | | | | | | | | |
Shares | | | | Value | | Country |
| |
| | | | | Common Stocks (continued) |
| | | | | Pharmaceuticals/Research and Development (continued) |
| | | | | | | | | | | | | |
| | 129,192 | | | Roche Holding AG | | $ | 17,561,694 | | | | SWI | |
| | 774,800 | | | Teva Pharmaceutical Industries, Ltd. (ADR) | | | 38,228,632 | | | | ISR | |
| | | | | | | | | | | | | |
| | | | | | | | 99,248,770 | | | | | |
| | | | | | | | | | | | | |
| | | | | Retail — 1.8% |
| | 6,178,200 | | | Wal-Mart de Mexico SAB de CV — Series V | | | 18,321,243 | | | | MEX | |
| | | | | | | | | | | | | |
| | | | | Semiconductors — 1.1% |
| | 5,389,343 | | | ARM Holdings PLC | | | 10,617,687 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | Telecommunications Equipment and Services — 11.7% |
| | 551,200 | | | Amdocs, Ltd. * | | | 11,823,240 | | | | GCI | |
| | 377,409 | | | America Movil SAB de CV — Series L (ADR) | | | 14,613,276 | | | | MEX | |
| | 776,500 | | | China Mobile, Ltd. | | | 7,774,969 | | | | HNG | |
| | 1,323,092 | | | Nokia Corp. | | | 19,377,669 | | | | FIN | |
| | 707,400 | | | Rogers Communications, Inc. — Class B | | | 18,184,465 | | | | CDA | |
| | 964,673 | | | Telefonica SA | | | 21,815,047 | | | | SPA | |
| | 1,943,017 | | | Turkcell Iletisim Hizmetleri AS | | | 10,781,928 | | | | TUR | |
| | 657,400 | | | Vodafone Group PLC (ADR) | | | 12,812,726 | | | | BRI | |
| | | | | | | | | | | | | |
| | | | | | | | 117,183,320 | | | | | |
| | | | | | | | | | | | | |
| | | | | Toys — 1.1% |
| | 39,700 | | | Nintendo Company, Ltd. | | | 10,974,319 | | | | JPN | |
| | | | | | | | | | | | | |
| | | | | Transportation — 1.8% |
| | 415,200 | | | Canadian National Railway Company | | | 17,837,376 | | | | CDA | |
| | | | | | | | | | | | | |
| | | | | Utilities — 4.6% |
| | 363,213 | | | E. ON AG | | | 12,850,424 | | | | GER | |
| | 441,096 | | | Fortum Oyi | | | 10,036,793 | | | | FIN | |
| | 325,353 | | | Vestas Wind Systems A/S* | | | 23,320,708 | | | | DEN | |
| | | | | | | | | | | | | |
| | | | | | | | 46,207,925 | | | | | |
| | | | | | | | | | | | | |
| | | | | Total Common Stocks (Cost $918,053,417) | | | 988,293,129 | | | | | |
| | | | | | | | | | | | | |
Principal | | | | Value | | Country |
| |
| | | | | Repurchase Agreements — 1.2% |
| $ | 12,209,573 | | | With State Street Bank and Trust, dated 06/30/09, 0.01%, due 07/01/09, repurchase proceeds at maturity $12,209,577 (Collateralized by US Treasury Bill, 0.31%, due 12/10/09, with a value of $12,457,535) (Cost $12,209,573) | | $ | 12,209,573 | | | | USA | |
| | | | | | | | | | | | | |
| | | | | Total Investments — 100.0%
(Cost $930,262,990) | | | 1,000,502,702 | | | | | |
| | | | | Liabilities less other assets — (0.0)% | | | (259,691 | ) | | | | |
| | | | | | | | | | | | | |
| | | | | Net Assets — 100.0% | | $ | 1,000,243,011 | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
The aggregate cost of securities for federal income tax purposes at June 30, 2009 is $930,262,990.
The following amounts are based on cost for federal income tax purposes:
| | | | | |
| Gross unrealized appreciation | | $ | 97,742,100 | |
| Gross unrealized depreciation | | | (27,502,388 | ) |
| | | | | |
| Net unrealized appreciation | | $ | 70,239,712 | |
| | | | | |
See summary of footnotes and abbreviations to portfolios.
See notes to financial statements.
117
INTERNATIONAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2009
(Unaudited)
| | | | | |
| | | Percent of Total
|
Country Composition | | Investments at Value |
| |
| Australia (AUS) | | | 1.93 | % |
| Brazil (BRA) | | | 4.59 | |
| Canada (CDA) | | | 6.62 | |
| Cayman Islands (CAY) | | | 1.31 | |
| China (CHN) | | | 6.69 | |
| Denmark (DEN) | | | 4.96 | |
| Finland (FIN) | | | 2.94 | |
| France (FRA) | | | 7.45 | |
| Germany (GER) | | | 7.98 | |
| Greece (GRC) | | | 2.61 | |
| Guernsey, Channel Islands (GCI) | | | 1.18 | |
| Hong Kong (HNG) | | | 3.67 | |
| Ireland (IRE) | | | 0.54 | |
| Israel (ISR) | | | 3.82 | |
| Japan (JPN) | | | 8.95 | |
| Mexico (MEX) | | | 3.29 | |
| Netherlands Antillies (ANT) | | | 1.31 | |
| Spain (SPA) | | | 2.18 | |
| Sweden (SWE) | | | 2.47 | |
| Switzerland (SWI) | | | 8.12 | |
| Turkey (TUR) | | | 1.08 | |
| United Kingdom (BRI) | | | 15.09 | |
| United States (USA) | | | 1.22 | |
| | | | | |
Total Percentage | | | 100.00 | % |
| | | | | |
See notes to financial statements.
118
TRANSAMERICA PARTNERS PORTFOLIOS
PORTFOLIO OF INVESTMENTS
SUMMARY OF FOOTNOTES AND ABBREVIATIONS TO PORTFOLIOS
June 30, 2009
(Unaudited)
| | | |
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 exempts from registration, normally to qualified institutional buyers. |
| | | |
| 1) | | Variable rate security. The rate shown was in effect at June 30, 2009. |
| 2) | | Quarterly reset provision. The rate shown was in effect at June 30, 2009. |
| 3) | | Monthly reset provision. The rate shown was in effect at June 30, 2009. |
| 4) | | Principal amount for this security is denominated in Euros. |
| 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) | | Security has been deemed illiquid pursuant to procedures approved by the Advisor and may be difficult to sell. |
| 9) | | Bond is in default. |
| 10) | | Principal amount for this security is denominated in British Pound Sterling. |
| 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 June 30, 2009. |
| 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 June 30, 2009. |
| | | Following are the market values (as determined by fair valuation) and the corresponding percentage of Portfolio net assets of all fair valued securities at June 30, 2009. |
| | | | | | | | | |
Series | | Market Value | | Percentage |
| High Quality Bond | | $ | 4,328,140 | | | | 1.08 | % |
| Total Return Bond | | | 186,000 | | | | 0.07 | |
| High Yield Bond | | | 4,238,236 | | | | 0.80 | |
| Balanced | | | 55,025 | | | | 0.04 | |
| Small Core | | | — | | | | — | |
| | | |
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. |
| 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. |
| | | • 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. |
119
TRANSAMERICA PARTNERS PORTFOLIOS
PORTFOLIO COMPOSITION
June 30, 2009
(Unaudited)
The following charts summarize the portfolio composition of each Series by asset type.
| | | | | |
Money Market Series | | | | |
| Yankee Certificates of Deposit | | | 34.3 | % |
| Commercial Paper | | | 28.5 | |
| Short Term US Government Agency Securities | | | 16.6 | |
| Short Term Corporate Notes | | | 14.3 | |
| Time Deposit | | | 4.0 | |
| US Treasury Securities | | | 2.3 | |
| Repurchase Agreements/Cash Equivalents | | | 2.3 | |
| Liabilities less other assets | | | (2.3 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
High Quality Bond Series | | | | |
| Corporate Bonds and Notes | | | 67.9 | % |
| US Government Agency Securities | | | 22.4 | |
| US Treasury Securities | | | 7.1 | |
| Repurchase Agreements/Cash Equivalents | | | 1.1 | |
| Municipal Bonds | | | 0.9 | |
| Other assets less liabilities | | | 0.6 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Inflation-Protected Securities Series | | | | |
| US Treasury Securities | | | 90.5 | % |
| Repurchase Agreements/Cash Equivalents | | | 6.7 | |
| Corporate Bonds and Notes | | | 0.7 | |
| US Government Agency Securities | | | 0.2 | |
| Call Options Written | | | (0.2 | ) |
| Put Options Written | | | (0.2 | ) |
| Other assets less liabilities | | | 2.3 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Core Bond Series | | | | |
| US Government Agency Securities | | | 52.8 | % |
| Corporate Bonds and Notes | | | 51.3 | |
| US Treasury Securities | | | 10.8 | |
| Repurchase Agreements/Cash Equivalents | | | 6.7 | |
| Preferred Corporate Bonds and Notes | | | 2.5 | |
| Foreign Government Obligations | | | 1.7 | |
| Municipal Bonds | | | 1.1 | |
| Purchased Put Options | | | 0.2 | |
| Purchased Call Options | | | 0.1 | |
| Put Options Written | | | (0.9 | ) |
| Call Options Written | | | (1.1 | ) |
| Securities Sold Short | | | (18.2 | ) |
| Liabilities less other assets | | | (7.0 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Total Return Bond Series | | | | |
| Corporate Bonds and Notes | | | 56.8 | % |
| US Government Agency Securities | | | 44.1 | |
| US Treasury Securities | | | 3.8 | |
| Preferred Corporate Bonds and Notes | | | 2.0 | |
| Repurchase Agreements/Cash Equivalents | | | 0.6 | |
| Foreign Government Obligations | | | 0.3 | |
| Municipal Bonds | | | 0.2 | |
| Preferred Stocks | | | 0.1 | |
| Put Options Written | | | (0.0 | )* |
| Call Options Written | | | (0.0 | )* |
| Liabilities less other assets | | | (7.9 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
High Yield Bond Series | | | | |
| Corporate Bonds and Notes | | | 87.7 | % |
| Loan Participations | | | 9.3 | |
| Convertible Bonds | | | 0.7 | |
| Repurchase Agreements/Cash Equivalents | | | 0.6 | |
| Convertible Preferred Stocks | | | 0.4 | |
| Preferred Stocks | | | 0.1 | |
| Common Stocks | | | 0.0 | * |
| Other assets less liabilities | | | 1.2 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Balanced Series | | | | |
| Common Stocks | | | 60.0 | % |
| Corporate Bonds and Notes | | | 24.9 | |
| US Government Agency Securities | | | 12.3 | |
| Repurchase Agreements/Cash Equivalents | | | 5.6 | |
| Preferred Corporate Bonds and Notes | | | 0.9 | |
| Municipal Bonds | | | 0.6 | |
| US Treasury Securities | | | 0.5 | |
| Preferred Stocks | | | 0.1 | |
| Put Options Written | | | (0.0 | )* |
| Call Options Written | | | (0.0 | )* |
| Liabilities less other assets | | | (4.9 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Large Value Series | | | | |
| Common Stocks | | | 98.1 | % |
| Repurchase Agreements/Cash Equivalents | | | 2.2 | |
| Liabilities less other assets | | | (0.3 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
See notes to financial statements.
120
TRANSAMERICA PARTNERS PORTFOLIOS
PORTFOLIO COMPOSITION (Continued)
June 30, 2009
(Unaudited)
| | | | | |
Value Series | | | | |
| Common Stocks | | | 96.8 | % |
| Repurchase Agreements/Cash Equivalents | | | 1.9 | |
| Preferred Stocks | | | 1.6 | |
| Liabilities less other assets | | | (0.3 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Large Core Series | | | | |
| Common Stocks | | | 98.7 | % |
| Repurchase Agreements/Cash Equivalents | | | 1.3 | |
| Liabilities less other assets | | | (0.0 | )* |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Large Growth Series | | | | |
| Common Stocks | | | 97.1 | % |
| Repurchase Agreements/Cash Equivalents | | | 2.6 | |
| Other assets less liabilities | | | 0.3 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Growth Series | | | | |
| Common Stocks | | | 99.2 | % |
| Repurchase Agreements/Cash Equivalents | | | 0.2 | |
| Other assets less liabilities | | | 0.6 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Mid Value Series | | | | |
| Common Stocks | | | 96.6 | % |
| Repurchase Agreements/Cash Equivalents | | | 2.6 | |
| Short Term Commercial Paper | | | 0.6 | |
| Convertible Bonds | | | 0.0 | * |
| Other assets less liabilities | | | 0.2 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Mid Growth Series | | | | |
| Common Stocks | | | 97.9 | % |
| Repurchase Agreements/Cash Equivalents | | | 2.7 | |
| Liabilities less other assets | | | (0.6 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Small Value Series | | | | |
| Common Stocks | | | 97.1 | % |
| Repurchase Agreements/Cash Equivalents | | | 3.4 | |
| Liabilities less other assets | | | (0.5 | ) |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Small Core Series | | | | |
| Common Stocks | | | 98.0 | % |
| Repurchase Agreements/Cash Equivalents | | | 1.0 | |
| Short Term US Treasury Securities | | | 0.1 | |
| Warrants | | | 0.0 | * |
| Other assets less liabilities | | | 0.9 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
Small Growth Series | | | | |
| Common Stocks | | | 98.5 | % |
| Repurchase Agreements/Cash Equivalents | | | 1.2 | |
| Warrants | | | 0.0 | * |
| Other assets less liabilities | | | 0.3 | |
| | | | | |
| | | | 100.0 | % |
| | | | | |
International Equity Series | | | �� | |
| Common Stocks | | | 98.8 | % |
| Repurchase Agreements/Cash Equivalents | | | 1.2 | |
| Liabilities less other assets | | | (0.0 | )* |
| | | | | |
| | | | 100.0 | % |
| | | | | |
| | |
| * | | Amount rounds to less than 0.05% or (0.05)%. |
See notes to financial statements.
121
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
1. Organization and Business
Transamerica Partners Portfolios (the “Series Portfolio”), a series trust organized on September 1, 1993 under the laws of the State of New York, is composed of eighteen different series that are, in effect, separate investment funds: the Money Market Portfolio, the High Quality Bond Portfolio, the Inflation-Protected Securities Portfolio, the Core Bond Portfolio, the Total Return Bond Portfolio, the High Yield Bond Portfolio, the Balanced Portfolio, the Large Value Portfolio, the Value Portfolio, the Large Core Portfolio, the Large Growth Portfolio, the Growth Portfolio, the Mid Value Portfolio, the Mid Growth Portfolio, the Small Value Portfolio, the Small Core Portfolio, the Small Growth Portfolio, and the International Equity Portfolio (each a “Series”). The Declaration of Trust permits the Board of Trustees to issue an unlimited number of beneficial interests in each Series. Investors in a Series (e.g., investment companies, insurance company separate accounts and common and commingled trust funds) will each be liable for all obligations of that Series (and of no other Series).
The investment objectives of each Series are as follows:
Money Market — The Series’ goal is to provide liquidity and as high a level of income as is consistent with the preservation of capital.
High Quality Bond — The Series’ goal is to provide a high risk-adjusted return while focusing on the preservation of capital.
Inflation-Protected Securities — The Series’ goal is to seek maximum real return consistent with the preservation of capital.
Core Bond — The Series’ goal is to achieve maximum total return.
Total Return Bond — The Series’ goal is to maximize long-term total return.
High Yield Bond — The Series’ goal is to provide a high level of current income.
Balanced — The Series’ goal is to provide a high total investment return through investment in a broadly diversified portfolio of stocks, bonds and money market instruments.
Large Value — The Series’ goal is to provide long-term capital appreciation through investment in a diversified portfolio of common stocks of large-capitalization companies. Current income is a secondary goal.
Value — The Series’ goal is to provide capital appreciation. Dividend income is a secondary goal.
Large Core — The Series’ goal is to provide capital appreciation and current income.
Large Growth — The Series’ goal is to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks with a potential for above-average growth in earnings. Current income is a secondary goal.
Growth — The Series’ goal is to provide a high level of capital appreciation primarily through investing in a diversified portfolio of common stocks.
Mid Value — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.
Mid Growth — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.
Small Value — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.
122
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
1. Organization and Business (continued)
Small Core — The Series’ goal is to provide a high level of capital appreciation through investment in a diversified portfolio of common stocks of small to medium size companies.
Small Growth — The Series’ goal is to provide a high total investment return through investments primarily in a diversified portfolio of common stocks.
International Equity — The Series’ goal is to provide a high level of long—term capital appreciation through investment in a diversified portfolio of securities of foreign issuers.
2. Significant Accounting Policies
A. Security Valuation:
Short-term securities having remaining maturities of 60 days or less are valued at amortized cost, which approximates market value. The amortized cost of a security is determined by valuing it at original cost and thereafter amortizing any discount or premium at a constant rate until maturity. Equity securities are valued at the official closing price or last sale price on the exchange on which they are primarily traded or at the last quoted bid price for securities in which there were no sales during the day or for unlisted securities. Portfolio securities listed on the NASDAQ National Market and NASDAQ Small Cap Market for which reliable market quotations are available are valued at the official closing price or, if there is no official closing price on that day, at the last sale price. Bonds and warrants are valued at the last available bid prices by an independent pricing service. Option contracts that are traded on commodities or securities exchanges are normally valued at the last mean price on the exchange on which they are traded; if mean prices are not available, the bid price will be used. If neither mean nor bid prices are available, a broker quote will be obtained. Futures contracts traded on commodities or securities exchanges are normally valued at the last closing price on the exchange on which they are traded. If last closing price is not available for futures contracts, a broker quote will be obtained. Swap agreements are normally valued by an independent pricing service. If the independent pricing service is not able to value a swap contract, that contract will be valued at bid price. If bid is not available, a broker quote will be obtained. When valuations are not readily available, securities will be valued at their fair market value as determined in good faith by Transamerica Asset Management, Inc.’s (“TAM”) Valuation Committee, under the supervision of the Board of Trustees. Unlisted securities are valued at the last sales price provided by an independent pricing agent or the principal market maker.
Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. Events or circumstances affecting the values of portfolio securities that occur between the closing of their principal markets and the time the net asset value is determined may be reflected in the calculation of net asset value when the investment advisor deems that the particular event or circumstance would materially affect its asset value. In accordance with procedures adopted by the Board of Trustees, all Series apply fair value pricing on a daily basis for all non-US and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless the Series’ investment advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value each day.
The Series adopted the Financial Accounting Standards Board (“FASB”) Standard No. 157, “Fair Value Measurements” (“FAS 157”). FAS 157 is designed to unify guidance for the measurement of fair value of all types of assets, including financial instruments, and certain liabilities, throughout a number of accounting standards. FAS 157 also establishes a hierarchy for measuring fair value in generally accepted accounting principles and expands financial statement disclosures about fair value measurements that are relevant to the funds.
123
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Various inputs are used in determining the value of each Series’ investments. These inputs are summarized in the three broad levels listed below:
Level 1 — Quoted prices in active markets for identical securities.
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — Significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not an indication of the risks associated with investing in those securities.
Following is a summary of the inputs used to value each Series’ net assets as of June 30, 2009.
For fair valuations using significant unobservable inputs, FAS 157 requires a reconciliation of the beginning to ending balances for reported market values that represents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period.
In accordance with this requirement, a reconciliation is provided for each applicable Series for the period ended June 30, 2009.
Money Market Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| US Treasury Note | | $ | — | | | $ | 28,514,603 | | | $ | — | | | $ | 28,514,603 | |
| Commercial Paper | | | — | | | | 351,869,529 | | | | — | | | | 351,869,529 | |
| Yankee Certificates of Deposit | | | — | | | | 422,742,126 | | | | — | | | | 422,742,126 | |
| Short Term Us Government Agency Securities | | | — | | | | 204,231,994 | | | | — | | | | 204,231,994 | |
| Short Term Corporate Notes | | | — | | | | 176,390,044 | | | | — | | | | 176,390,044 | |
| Time Deposit | | | — | | | | 49,850,000 | | | | — | | | | 49,850,000 | |
| Repurchase Agreements | | | — | | | | 28,836,884 | | | | — | | | | 28,836,884 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 1,262,435,180 | | | $ | — | | | $ | 1,262,435,180 | |
| | | | | | | | | | | | | | | | | |
124
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
High Quality Bond Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Fixed Income — Asset-Backed Security | | $ | — | | | $ | 106,351,582 | | | $ | 3,800,294 | | | $ | 110,151,876 | |
| Fixed Income — Consumer Discretionary | | | — | | | | 3,166,732 | | | | — | | | | 3,166,732 | |
| Fixed Income — Consumer Staples | | | — | | | | 7,991,017 | | | | — | | | | 7,991,017 | |
| Fixed Income — Financials | | | — | | | | 83,136,632 | | | | — | | | | 83,136,632 | |
| Fixed Income — Industrials | | | — | | | | 2,385,342 | | | | — | | | | 2,385,342 | |
| Fixed Income — Information Technology | | | — | | | | 2,996,775 | | | | — | | | | 2,996,775 | |
| Fixed Income — Materials | | | — | | | | 1,889,802 | | | | — | | | | 1,889,802 | |
| Fixed Income — Mortgage-Backed Security | | | — | | | | 48,274,244 | | | | — | | | | 48,274,244 | |
| Fixed Income — Telecommunication Services | | | — | | | | 9,213,006 | | | | — | | | | 9,213,006 | |
| Fixed Income — U.S. Government Agency Obligation | | | — | | | | 89,897,140 | | | | — | | | | 89,897,140 | |
| Fixed Income — U.S. Government Obligation | | | — | | | | 28,600,924 | | | | — | | | | 28,600,924 | |
| Fixed Income — Utilities | | | — | | | | 6,798,472 | | | | — | | | | 6,798,472 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 4,604,867 | | | | — | | | | 4,604,867 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 395,306,535 | | | $ | 3,800,294 | | | $ | 399,106,829 | |
| | | | | | | | | | | | | | | | | |
Level 3 Rollforward:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning
| | | | | | Total
| | Total
| | | | Ending
|
Investment
| | Balance at
| | Net
| | Accrued
| | Realized
| | Unrealized
| | Net Transfers
| | Balance at
|
Securities | | 12/31/2008 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | In/(Out) of Level 3 | | 06/30/2009 |
| |
| Fixed Income — Asset-Backed Security | | $ | — | | | $ | (1,015,515 | ) | | $ | 121 | | | $ | 10,949 | | | $ | (275,261 | ) | | $ | 5,080,000 | | | $ | 3,800,294 | |
Inflation-Protected Securities Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Fixed Income — Asset-Backed Security | | $ | — | | | $ | 115,613 | | | $ | — | | | $ | 115,613 | |
| Fixed Income — Financials | | | — | | | | 1,599,348 | | | | — | | | | 1,599,348 | |
| Fixed Income — Mortgage-Backed Security | | | — | | | | 656,117 | | | | — | | | | 656,117 | |
| Fixed Income — U.S. Government Agency Obligation | | | — | | | | 844,967 | | | | — | | | | 844,967 | |
| Fixed Income — U.S. Government Obligation | | | — | | | | 327,421,304 | | | | — | | | | 327,421,304 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 24,097,428 | | | | — | | | | 24,097,428 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 354,734,777 | | | $ | — | | | $ | 354,734,777 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments,* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Forward Contracts | | $ | — | | | $ | 76,698 | | | $ | — | | | $ | 76,698 | |
| Interest Rate Swaps | | | — | | | | 93,847 | | | | — | | | | 93,847 | |
| Futures | | | — | | | | 371,992 | | | | — | | | | 371,992 | |
| Written Swaptions | | | — | | | | 9,996 | | | | — | | | | 9,996 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 552,533 | | | $ | — | | | $ | 552,533 | |
| | | | | | | | | | | | | | | | | |
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
125
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Core Bond Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Derivative | | $ | — | | | $ | 4,930,554 | | | $ | — | | | $ | 4,930,554 | |
| Fixed Income — Asset-Backed Security | | | — | | | | 398,124,493 | | | | — | | | | 398,124,493 | |
| Fixed Income — Consumer Discretionary | | | — | | | | 5,071,921 | | | | — | | | | 5,071,921 | |
| Fixed Income — Consumer Staples | | | — | | | | 10,102,982 | | | | — | | | | 10,102,982 | |
| Fixed Income — Energy | | | — | | | | 29,026,905 | | | | — | | | | 29,026,905 | |
| Fixed Income — Financials | | | — | | | | 227,275,695 | | | | — | | | | 227,275,695 | |
| Fixed Income — Foreign Government Obligation | | | — | | | | 24,608,363 | | | | — | | | | 24,608,363 | |
| Fixed Income — Health Care | | | — | | | | 30,097,611 | | | | — | | | | 30,097,611 | |
| Fixed Income — Industrials | | | — | | | | 13,883,245 | | | | — | | | | 13,883,245 | |
| Fixed Income — Information Technology | | | — | | | | 33,940,509 | | | | — | | | | 33,940,509 | |
| Fixed Income — Materials | | | — | | | | 5,600,815 | | | | — | | | | 5,600,815 | |
| Fixed Income — Municipal Government Obligation | | | — | | | | 16,872,052 | | | | — | | | | 16,872,052 | |
| Fixed Income — Telecommunication Services | | | — | | | | 53,673,798 | | | | — | | | | 53,673,798 | |
| Fixed Income — U.S. Government Agency Obligation | | | — | | | | 756,708,654 | | | | — | | | | 756,708,654 | |
| Fixed Income — U.S. Government Obligation | | | — | | | | 158,514,939 | | | | — | | | | 158,514,939 | |
| Fixed Income — Utilities | | | — | | | | 8,521,725 | | | | — | | | | 8,521,725 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 99,090,576 | | | | — | | | | 99,090,576 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 1,876,044,837 | | | $ | — | | | $ | 1,876,044,837 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments,* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Forward Contracts | | $ | — | | | $ | (430,511 | ) | | $ | — | | | $ | (430,511 | ) |
| Interest Rate Swaps | | | — | | | | 6,336,883 | | | | — | | | | 6,336,883 | |
| Credit Default Swaps | | | — | | | | 353,644 | | | | — | | | | 353,644 | |
| Written Swaptions | | | — | | | | (940,826 | ) | | | — | | | | (940,826 | ) |
| Futures | | | — | | | | 452,303 | | | | — | | | | 452,303 | |
| Written Options | | | — | | | | 166,728 | | | | — | | | | 166,728 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 5,938,221 | | | $ | — | | | $ | 5,938,221 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Securities Sold Short* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Fixed Income — U.S. Government Agency Obligation | | $ | — | | | $ | (508,928 | ) | | $ | — | | | $ | (508,928 | ) |
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
126
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Total Return Bond Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Financials | | $ | 242,955 | | | $ | — | | | $ | — | | | $ | 242,955 | |
| Fixed Income — Asset-Backed Security | | | — | | | | 14,168,633 | | | | — | | | | 14,168,633 | |
| Fixed Income — Consumer Discretionary | | | — | | | | 6,394,920 | | | | — | | | | 6,394,920 | |
| Fixed Income — Consumer Staples | | | — | | | | 3,163,017 | | | | — | | | | 3,163,017 | |
| Fixed Income — Energy | | | — | | | | 23,545,929 | | | | — | | | | 23,545,929 | |
| Fixed Income — Financials | | | — | | | | 38,934,542 | | | | 186,000 | | | | 39,120,542 | |
| Fixed Income — Foreign Government Obligation | | | — | | | | 707,477 | | | | — | | | | 707,477 | |
| Fixed Income — Health Care | | | — | | | | 3,016,337 | | | | — | | | | 3,016,337 | |
| Fixed Income — Industrials | | | — | | | | 2,562,635 | | | | — | | | | 2,562,635 | |
| Fixed Income — Information Technology | | | — | | | | 387,100 | | | | — | | | | 387,100 | |
| Fixed Income — Materials | | | — | | | | 6,081,444 | | | | — | | | | 6,081,444 | |
| Fixed Income — Mortgage-Backed Security | | | — | | | | 36,140,915 | | | | — | | | | 36,140,915 | |
| Fixed Income — Municipal Government Obligation | | | — | | | | 439,208 | | | | — | | | | 439,208 | |
| Fixed Income — Telecommunication Services | | | — | | | | 10,026,904 | | | | — | | | | 10,026,904 | |
| Fixed Income — U.S. Government Agency Obligation | | | — | | | | 112,873,719 | | | | — | | | | 112,873,719 | |
| Fixed Income — U.S. Government Obligation | | | — | | | | 9,685,890 | | | | — | | | | 9,685,890 | |
| Fixed Income — Utilities | | | — | | | | 7,110,919 | | | | — | | | | 7,110,919 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 1,416,448 | | | | — | | | | 1,416,448 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 242,955 | | | $ | 276,656,037 | | | $ | 186,000 | | | $ | 277,084,992 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Forward Contracts | | $ | — | | | $ | (96,082 | ) | | $ | — | | | $ | (96,082 | ) |
| Futures | | | — | | | | 371,007 | | | | — | | | | 371,007 | |
| Written Options | | | — | | | | 89,138 | | | | — | | | | 89,138 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 364,063 | | | $ | — | | | $ | 364,063 | |
| | | | | | | | | | | | | | | | | |
Level 3 Rollforward:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning
| | | | | | | | Total
| | | | Ending
|
| | | Balance
| | Net
| | Accrued
| | Total Realized
| | Unrealized
| | Net Transfers
| | Balance at
|
Securities | | at 12/31/2008 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | In/(Out) of Level 3 | | 06/30/2009 |
| |
| Fixed Income — Financials | | $ | 144,000 | | | $ | — | | | $ | 5,491 | | | $ | — | | | $ | 36,509 | | | $ | — | | | $ | 186,000 | |
| Equities — Financials | | | 1,821,661 | | | | — | | | | — | | | | — | | | | — | | | | (1,821,661 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,965,661 | | | $ | — | | | $ | 5,491 | | | $ | — | | | $ | 36,509 | | | $ | (1,821,661 | ) | | $ | 186,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
127
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
High Yield Bond Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | — | | | $ | — | | | $ | 12,055 | | | $ | 12,055 | |
| Equities — Energy | | | 1,362,131 | | | | — | | | | — | | | | 1,362,131 | |
| Equities — Industrials | | | 70,829 | | | | — | | | | — | | | | 70,829 | |
| Equities — Telecommunication Services | | | 893,011 | | | | — | | | | — | | | | 893,011 | |
| Equities — Utilities | | | — | | | | — | | | | 56 | | | | 56 | |
| Fixed Income — Asset-Backed Security | | | — | | | | 315,524 | | | | — | | | | 315,524 | |
| Fixed Income — Consumer Discretionary | | | — | | | | 158,647,441 | | | | 4,180,581 | | | | 162,828,022 | |
| Fixed Income — Consumer Staples | | | — | | | | 34,498,094 | | | | — | | | | 34,498,094 | |
| Fixed Income — Energy | | | — | | | | 47,840,780 | | | | — | | | | 47,840,780 | |
| Fixed Income — Financials | | | — | | | | 40,934,055 | | | | — | | | | 40,934,055 | |
| Fixed Income — Health Care | | | — | | | | 40,215,603 | | | | — | | | | 40,215,603 | |
| Fixed Income — Industrials | | | — | | | | 55,888,539 | | | | 72 | | | | 55,888,611 | |
| Fixed Income — Information Technology | | | — | | | | 23,900,596 | | | | — | | | | 23,900,596 | |
| Fixed Income — Materials | | | — | | | | 47,165,109 | | | | — | | | | 47,165,109 | |
| Fixed Income — Telecommunication Services | | | — | | | | 50,242,286 | | | | — | | | | 50,242,286 | |
| Fixed Income — Utilities | | | — | | | | 14,622,493 | | | | — | | | | 14,622,493 | |
| Investment Company — Financials | | | — | | | | — | | | | 67,445 | | | | 67,445 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 2,968,343 | | | | — | | | | 2,968,343 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 2,325,971 | | | $ | 517,238,863 | | | $ | 4,260,209 | | | $ | 523,825,043 | |
| | | | | | | | | | | | | | | | | |
Level 3 Rollforward:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning
| | | | | | | | Total
| | Net Transfers
| | Ending
|
| | | Balance at
| | Net
| | Accrued
| | Total Realized
| | Unrealized
| | In/(Out) of
| | Balance at
|
Securities | | 12/31/2008 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | Level 3 | | 06/30/2009 |
| |
| Equities — Consumer Discretionary | | $ | 14,313 | | | $ | — | | | $ | — | | | $ | — | | | $ | (2,258 | ) | | $ | — | | | $ | 12,055 | |
| Equities — Utilities | | | 177 | | | | — | | | | — | | | | — | | | | (121 | ) | | | — | | | | 56 | |
| Fixed Income — Consumer Discretionary | | | 4,719,475 | | | | (464,798 | ) | | | 3,648 | | | | 23,195 | | | | (100,939 | ) | | | — | | | | 4,180,581 | |
| Fixed Income — Industrials | | | 72 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 72 | |
| Investment Company — Financials | | | 47,212 | | | | — | | | | — | | | | — | | | | 20,233 | | | | — | | | | 67,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 4,781,249 | | | $ | (464,798 | ) | | $ | 3,648 | | | $ | 23,195 | | | $ | (83,085 | ) | | $ | — | | | $ | 4,260,209 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 8,779,386 | | | $ | — | | | $ | — | | | $ | 8,779,386 | |
128
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Staples | | | 18,264,947 | | | | — | | | | — | | | | 18,264,947 | |
| Equities — Energy | | | 11,393,177 | | | | — | | | | — | | | | 11,393,177 | |
| Equities — Financials | | | 12,513,868 | | | | — | | | | — | | | | 12,513,868 | |
| Equities — Health Care | | | 12,295,784 | | | | — | | | | — | | | | 12,295,784 | |
| Equities — Industrials | | | 7,704,764 | | | | — | | | | — | | | | 7,704,764 | |
| Equities — Information Technology | | | 9,050,333 | | | | — | | | | — | | | | 9,050,333 | |
| Equities — Materials | | | 1,802,895 | | | | — | | | | — | | | | 1,802,895 | |
| Equities — Telecommunication Services | | | 4,285,250 | | | | — | | | | — | | | | 4,285,250 | |
| Equities — Utilities | | | 2,555,667 | | | | — | | | | — | | | | 2,555,667 | |
| Fixed Income — Asset-Backed Security | | | — | | | | 14,607,542 | | | | — | | | | 14,607,542 | |
| Fixed Income — Consumer Discretionary | | | — | | | | 1,179,817 | | | | — | | | | 1,179,817 | |
| Fixed Income — Consumer Staples | | | — | | | | 630,617 | | | | — | | | | 630,617 | |
| Fixed Income — Energy | | | — | | | | 4,461,824 | | | | — | | | | 4,461,824 | |
| Fixed Income — Financials | | | — | | | | 7,924,295 | | | | 55,025 | | | | 7,979,320 | |
| Fixed Income — Health Care | | | — | | | | 852,733 | | | | — | | | | 852,733 | |
| Fixed Income — Industrials | | | — | | | | 1,946,677 | | | | — | | | | 1,946,677 | |
| Fixed Income — Information Technology | | | — | | | | 1,113,814 | | | | — | | | | 1,113,814 | |
| Fixed Income — Materials | | | — | | | | 143,190 | | | | — | | | | 143,190 | |
| Fixed Income — Municipal Government Obligation | | | — | | | | 941,917 | | | | — | | | | 941,917 | |
| Fixed Income — Telecommunication Services | | | — | | | | 2,662,026 | | | | — | | | | 2,662,026 | |
| Fixed Income — U.S. Government Agency Obligation | | | — | | | | 18,119,263 | | | | — | | | | 18,119,263 | |
| Fixed Income — U.S. Government Obligation | | | — | | | | 712,641 | | | | — | | | | 712,641 | |
| Fixed Income — Utilities | | | — | | | | 2,610,855 | | | | — | | | | 2,610,855 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 8,313,730 | | | | — | | | | 8,313,730 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 88,646,071 | | | $ | 66,220,941 | | | $ | 55,025 | | | $ | 154,922,037 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Futures | | $ | — | | | $ | 272,452 | | | $ | — | | | $ | 272,452 | |
| Forward Contracts | | | — | | | | (22,280 | ) | | | — | | | | (22,280 | ) |
| Written Options | | | — | | | | (6,968 | ) | | | — | | | | (6,968 | ) |
| | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 243,204 | | | $ | — | | | $ | 243,204 | |
| | | | | | | | | | | | | | | | | |
Balanced Series (continued)
Level 3 Rollforward:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Beginning
| | | | | | | | Total
| | | | Ending
|
| | | Balance
| | Net
| | Accrued
| | Total Realized
| | Unrealized
| | Net Transfers
| | Balance at
|
Securities | | at 12/31/2008 | | Purchases/(Sales) | | Discounts/(Premiums) | | Gain/(Loss) | | Appreciation/(Depreciation) | | In/(Out) of Level 3 | | 06/30/2009 |
| |
| Fixed Income — Financials | | $ | 42,600 | | | $ | — | | | $ | 6,450 | | | $ | — | | | $ | 5,975 | | | $ | — | | | $ | 55,025 | |
| Equities — Financials | | | 895,184 | | | | — | | | | — | | | | — | | | | — | | | | (895,184 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 937,784 | | | $ | — | | | $ | 6,450 | | | $ | — | | | $ | 5,975 | | | $ | (895,184 | ) | | $ | 55,025 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
129
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
Large Value Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 106,894,242 | | | $ | — | | | $ | — | | | $ | 106,894,242 | |
| Equities — Consumer Staples | | | 75,121,830 | | | | — | | | | — | | | | 75,121,830 | |
| Equities — Energy | | | 224,459,229 | | | | — | | | | — | | | | 224,459,229 | |
| Equities — Financials | | | 268,201,741 | | | | — | | | | — | | | | 268,201,741 | |
| Equities — Health Care | | | 127,381,295 | | | | — | | | | — | | | | 127,381,295 | |
| Equities — Industrials | | | 116,647,033 | | | | — | | | | — | | | | 116,647,033 | |
| Equities — Information Technology | | | 67,232,649 | | | | — | | | | — | | | | 67,232,649 | |
| Equities — Materials | | | 32,720,738 | | | | — | | | | — | | | | 32,720,738 | |
| Equities — Telecommunication Services | | | 74,427,092 | | | | — | | | | — | | | | 74,427,092 | |
| Equities — Utilities | | | 84,832,798 | | | | — | | | | — | | | | 84,832,798 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 26,800,488 | | | | — | | | | 26,800,488 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 1,177,918,647 | | | $ | 26,800,488 | | | $ | — | | | $ | 1,204,719,135 | |
| | | | | | | | | | | | | | | | | |
Value Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 3,132,531 | | | $ | — | | | $ | — | | | $ | 3,132,531 | |
| Equities — Consumer Staples | | | 4,744,567 | | | | — | | | | — | | | | 4,744,567 | |
| Equities — Energy | | | 2,044,572 | | | | — | | | | — | | | | 2,044,572 | |
| Equities — Financials | | | 12,891,208 | | | | — | | | | — | | | | 12,891,208 | |
| Equities — Health Care | | | 4,603,979 | | | | — | | | | — | | | | 4,603,979 | |
| Equities — Industrials | | | 5,541,232 | | | | — | | | | — | | | | 5,541,232 | |
| Equities — Information Technology | | | 7,108,828 | | | | — | | | | — | | | | 7,108,828 | |
| Equities — Materials | | | 1,361,548 | | | | — | | | | — | | | | 1,361,548 | |
| Equities — Telecommunication Services | | | 917,979 | | | | — | | | | — | | | | 917,979 | |
| Equities — Utilities | | | 3,247,885 | | | | — | | | | — | | | | 3,247,885 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 883,119 | | | | — | | | | 883,119 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 45,594,329 | | | $ | 883,119 | | | $ | — | | | $ | 46,477,448 | |
| | | | | | | | | | | | | | | | | |
Large Core Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 28,444,276 | | | $ | — | | | $ | — | | | $ | 28,444,276 | |
| Equities — Consumer Staples | | | 26,875,635 | | | | — | | | | — | | | | 26,875,635 | |
| Equities — Energy | | | 28,441,381 | | | | — | | | | — | | | | 28,441,381 | |
| Equities — Financials | | | 32,526,577 | | | | — | | | | — | | | | 32,526,577 | |
| Equities — Health Care | | | 33,949,065 | | | | — | | | | — | | | | 33,949,065 | |
| Equities — Industrials | | | 23,246,161 | | | | — | | | | — | | | | 23,246,161 | |
130
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Information Technology | | | 47,313,935 | | | | — | | | | — | | | | 47,313,935 | |
| Equities — Materials | | | 8,749,222 | | | | — | | | | — | | | | 8,749,222 | |
| Equities — Telecommunication Services | | | 7,631,793 | | | | — | | | | — | | | | 7,631,793 | |
| Equities — Utilities | | | 9,253,605 | | | | — | | | | — | | | | 9,253,605 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 3,343,117 | | | | — | | | | 3,343,117 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 246,431,650 | | | $ | 3,343,117 | | | $ | — | | | $ | 249,774,767 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Futures | | $ | — | | | $ | (7,096 | ) | | $ | — | | | $ | (7,096 | ) |
| | | | | | | | | | | | | | | | | |
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
Large Growth Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 122,984,353 | | | $ | — | | | $ | — | | | $ | 122,984,353 | |
| Equities — Consumer Staples | | | 73,174,507 | | | | — | | | | — | | | | 73,174,507 | |
| Equities — Energy | | | 90,804,067 | | | | — | | | | — | | | | 90,804,067 | |
| Equities — Financials | | | 113,647,809 | | | | — | | | | — | | | | 113,647,809 | |
| Equities — Health Care | | | 90,168,001 | | | | — | | | | — | | | | 90,168,001 | |
| Equities — Industrials | | | 120,225,452 | | | | — | | | | — | | | | 120,225,452 | |
| Equities — Information Technology | | | 393,694,165 | | | | — | | | | — | | | | 393,694,165 | |
| Equities — Materials | | | 58,283,717 | | | | — | | | | — | | | | 58,283,717 | |
| Equities — Telecommunication Services | | | 19,633,633 | | | | — | | | | — | | | | 19,633,633 | |
| Equities — Utilities | | | 2,474,070 | | | | — | | | | — | | | | 2,474,070 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 29,407,920 | | | | — | | | | 29,407,920 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 1,085,089,774 | | | $ | 29,407,920 | | | $ | — | | | $ | 1,114,497,694 | |
| | | | | | | | | | | | | | | | | |
Growth Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 26,350,565 | | | $ | — | | | $ | — | | | $ | 26,350,565 | |
| Equities — Consumer Staples | | | 9,462,451 | | | | — | | | | — | | | | 9,462,451 | |
| Equities — Energy | | | 11,929,780 | | | | — | | | | — | | | | 11,929,780 | |
| Equities — Financials | | | 12,594,099 | | | | — | | | | — | | | | 12,594,099 | |
| Equities — Health Care | | | 23,632,799 | | | | — | | | | — | | | | 23,632,799 | |
| Equities — Industrials | | | 8,264,795 | | | | — | | | | — | | | | 8,264,795 | |
| Equities — Information Technology | | | 73,949,413 | | | | — | | | | — | | | | 73,949,413 | |
| Equities — Materials | | | 12,435,666 | | | | — | | | | — | | | | 12,435,666 | |
| Equities — Telecommunication Services | | | 4,052,821 | | | | — | | | | — | | | | 4,052,821 | |
131
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 307,387 | | | | — | | | | 307,387 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 182,672,389 | | | $ | 307,387 | | | $ | — | | | $ | 182,979,776 | |
| | | | | | | | | | | | | | | | | |
Mid Value Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 77,232,630 | | | $ | — | | | $ | — | | | $ | 77,232,630 | |
| Equities — Consumer Staples | | | 34,389,141 | | | | — | | | | — | | | | 34,389,141 | |
| Equities — Energy | | | 40,891,089 | | | | — | | | | — | | | | 40,891,089 | |
| Equities — Financials | | | 124,569,162 | | | | — | | | | — | | | | 124,569,162 | |
| Equities — Health Care | | | 61,310,531 | | | | — | | | | — | | | | 61,310,531 | |
| Equities — Industrials | | | 89,470,802 | | | | — | | | | — | | | | 89,470,802 | |
| Equities — Information Technology | | | 103,600,641 | | | | — | | | | — | | | | 103,600,641 | |
| Equities — Materials | | | 37,453,183 | | | | — | | | | — | | | | 37,453,183 | |
| Equities — Telecommunication Services | | | 9,302,986 | | | | — | | | | — | | | | 9,302,986 | |
| Equities — Utilities | | | 59,188,042 | | | | — | | | | — | | | | 59,188,042 | |
| Fixed Income — Telecommunication Services | | | — | | | | 247,235 | | | | — | | | | 247,235 | |
| Cash & Cash Equivalent — Financials | | | — | | | | 4,200,000 | | | | — | | | | 4,200,000 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 17,340,169 | | | | — | | | | 17,340,169 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 637,408,207 | | | $ | 21,787,404 | | | $ | — | | | $ | 659,195,611 | |
| | | | | | | | | | | | | | | | | |
Mid Growth Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 44,124,035 | | | $ | — | | | $ | — | | | $ | 44,124,035 | |
| Equities — Consumer Staples | | | 6,385,945 | | | | — | | | | — | | | | 6,385,945 | |
| Equities — Energy | | | 14,882,351 | | | | — | | | | — | | | | 14,882,351 | |
| Equities — Financials | | | 22,079,909 | | | | — | | | | — | | | | 22,079,909 | |
| Equities — Health Care | | | 26,838,476 | | | | — | | | | — | | | | 26,838,476 | |
| Equities — Industrials | | | 26,855,192 | | | | — | | | | — | | | | 26,855,192 | |
| Equities — Information Technology | | | 66,854,431 | | | | — | | | | — | | | | 66,854,431 | |
| Equities — Materials | | | 7,054,879 | | | | — | | | | — | | | | 7,054,879 | |
| Equities — Telecommunication Services | | | 3,633,962 | | | | — | | | | — | | | | 3,633,962 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 5,939,419 | | | | — | | | | 5,939,419 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 218,709,180 | | | $ | 5,939,419 | | | $ | — | | | $ | 224,648,599 | |
| | | | | | | | | | | | | | | | | |
Small Value Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 18,238,415 | | | $ | — | | | $ | — | | | $ | 18,238,415 | |
132
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Staples | | | 4,155,781 | | | | — | | | | — | | | | 4,155,781 | |
| Equities — Energy | | | 11,525,328 | | | | — | | | | — | | | | 11,525,328 | |
| Equities — Financials | | | 38,743,355 | | | | — | | | | — | | | | 38,743,355 | |
| Equities — Health Care | | | 10,080,164 | | | | — | | | | — | | | | 10,080,164 | |
| Equities — Industrials | | | 28,258,626 | | | | — | | | | — | | | | 28,258,626 | |
| Equities — Information Technology | | | 11,927,619 | | | | — | | | | — | | | | 11,927,619 | |
| Equities — Materials | | | 3,722,113 | | | | — | | | | — | | | | 3,722,113 | |
| Equities — Telecommunication Services | | | 553,516 | | | | — | | | | — | | | | 553,516 | |
| Equities — Utilities | | | 8,184,219 | | | | — | | | | — | | | | 8,184,219 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 4,796,774 | | | | — | | | | 4,796,774 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 135,389,136 | | | $ | 4,796,774 | | | $ | — | | | $ | 140,185,910 | |
| | | | | | | | | | | | | | | | | |
Small Core Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 46,084,906 | | | $ | — | | | $ | — | | | $ | 46,084,906 | |
| Equities — Consumer Staples | | | 11,294,809 | | | | — | | | | — | | | | 11,294,809 | |
| Equities — Energy | | | 13,063,519 | | | | — | | | | — | | | | 13,063,519 | |
| Equities — Financials | | | 60,104,815 | | | | — | | | | — | | | | 60,104,815 | |
| Equities — Health Care | | | 45,456,084 | | | | — | | | | — | | | | 45,456,084 | |
| Equities — Industrials | | | 50,866,033 | | | | — | | | | — | | | | 50,866,033 | |
| Equities — Information Technology | | | 53,261,822 | | | | — | | | | — | | | | 53,261,822 | |
| Equities — Materials | | | 11,521,190 | | | | — | | | | — | | | | 11,521,190 | |
| Equities — Telecommunication Services | | | 3,786,529 | | | | — | | | | — | | | | 3,786,529 | |
| Equities — Utilities | | | 12,092,421 | | | | — | | | | — | | | | 12,092,421 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 3,217,403 | | | | — | | | | 3,217,403 | |
| Cash & Cash Equivalent — Short-Term U.S. Government Obligation | | | — | | | | 429,856 | | | | — | | | | 429,856 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 307,532,128 | | | $ | 3,647,259 | | | $ | — | | | $ | 311,179,387 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Futures | | $ | — | | | $ | (6,776 | ) | | $ | — | | | $ | (6,776 | ) |
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
Small Growth Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 25,065,936 | | | $ | — | | | $ | — | | | $ | 25,065,936 | |
| Equities — Consumer Staples | | | 4,876,039 | | | | — | | | | — | | | | 4,876,039 | |
133
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Energy | | | 7,123,412 | | | | — | | | | — | | | | 7,123,412 | |
| Equities — Financials | | | 10,146,851 | | | | — | | | | — | | | | 10,146,851 | |
| Equities — Health Care | | | 25,100,873 | | | | — | | | | — | | | | 25,100,873 | |
| Equities — Industrials | | | 31,951,211 | | | | — | | | | — | | | | 31,951,211 | |
| Equities — Information Technology | | | 43,082,658 | | | | — | | | | — | | | | 43,082,658 | |
| Equities — Materials | | | 4,076,456 | | | | — | | | | — | | | | 4,076,456 | |
| Equities — Telecommunication Services | | | 1,784,150 | | | | — | | | | — | | | | 1,784,150 | |
| Equities — Utilities | | | 902,967 | | | | — | | | | — | | | | 902,967 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 1,800,577 | | | | — | | | | 1,800,577 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 154,110,553 | | | $ | 1,800,577 | | | $ | — | | | $ | 155,911,130 | |
| | | | | | | | | | | | | | | | | |
International Equity Series
Valuation Summary:
| | | | | | | | | | | | | | | | | |
Investment Securities | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Equities — Consumer Discretionary | | $ | 126,343,684 | | | $ | — | | | $ | — | | | $ | 126,343,684 | |
| Equities — Consumer Staples | | | 87,549,177 | | | | — | | | | — | | | | 87,549,177 | |
| Equities — Energy | | | 49,243,101 | | | | — | | | | — | | | | 49,243,101 | |
| Equities — Financials | | | 257,288,879 | | | | — | | | | — | | | | 257,288,879 | |
| Equities — Health Care | | | 122,794,503 | | | | — | | | | — | | | | 122,794,503 | |
| Equities — Industrials | | | 83,472,318 | | | | — | | | | — | | | | 83,472,318 | |
| Equities — Information Technology | | | 104,304,420 | | | | — | | | | — | | | | 104,304,420 | |
| Equities — Materials | | | 48,427,419 | | | | — | | | | — | | | | 48,427,419 | |
| Equities — Telecommunication Services | | | 85,982,411 | | | | — | | | | — | | | | 85,982,411 | |
| Equities — Utilities | | | 22,887,217 | | | | — | | | | — | | | | 22,887,217 | |
| Cash & Cash Equivalent — Repurchase Agreement | | | — | | | | 12,209,573 | | | | — | | | | 12,209,573 | |
| | | | | | | | | | | | | | | | | |
Total | | $ | 988,293,129 | | | $ | 12,209,573 | | | $ | — | | | $ | 1,000,502,702 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Other Financial Instruments* | | Level 1 | | Level 2 | | Level 3 | | Total |
| |
| Forward Contracts | | $ | — | | | $ | (110,737 | ) | | $ | — | | | $ | (110,737 | ) |
| | |
| * | | Other financial instruments are valued at unrealized appreciation (depreciation). |
B. Repurchase Agreements:
Each Series, along with other affiliated entities of the investment advisor, may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Series’ investment advisor, subject to the seller’s agreement to repurchase and the Series agreement to resell such securities at a mutually agreed upon price. Securities purchased subject to repurchase agreements are segregated at the custodian and, pursuant to the terms of the repurchase agreements, must have an aggregate market value greater than or equal to 102% for domestic securities and 105% for international securities of the repurchase price at all times. If the value of the underlying securities falls below the value of the repurchase price, the Series will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met or the seller
134
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
defaults on its repurchase obligation, the Series maintains the right to sell the underlying securities at market value and may claim any resulting loss against the seller. However, in the event of default or bankruptcy by the seller, realization and/or retention of the collateral may be subject to legal proceedings.
C. Foreign Currency Translation:
The accounting records of each Series are maintained in US dollars. The market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated to US dollars based on the prevailing exchange rates each business day. Income, expenses, purchases, and sales of investment securities denominated in foreign currencies are translated at prevailing exchange rates when accrued or incurred.
None of the Series isolates realized gains and losses attributable to changes in exchange rates from gains and losses that arise from changes in the market value of investments. Such fluctuations are included with net realized and unrealized gains or losses on securities. Net realized gains and losses on foreign currency transactions represent net foreign exchange gains and losses on disposition of foreign currencies and foreign currency forward and spot contracts, and the difference between the amount of investment income receivable and foreign withholding taxes payable recorded on each Series’ books and the US dollar equivalent of amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities (other than investments in securities) and foreign currency forward and spot contracts, resulting from changes in the prevailing exchange rates.
D. Foreign Currency Forward, Spot, and Cross Currency Contracts:
Each Series, with the exception of the Money Market Series, may enter into foreign currency forward contracts, spot, and cross currency contracts in connection with settling planned purchases or sales of securities or to hedge the currency exposure associated with those Series that participate in such contracts. A foreign currency forward contract is an agreement between two parties to buy and sell a currency at a set price on a future date. A spot contract is also an agreement to buy and sell a currency, but will settle within a week or less from the date it is entered into. The market value of a foreign currency forward, spot, or cross currency contract fluctuates with changes in forward currency exchange rates. Foreign currency forward, spot, and cross currency contracts are marked to market daily and the change in value is recorded by the Series as an unrealized foreign exchange gain or loss. When a foreign currency forward, spot, or cross currency contract is extinguished, through delivery or by entering into another offsetting foreign currency forward, spot, or cross currency contract, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. In addition, the Series could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the US dollar.
As of June 30, 2009, the Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, and International Equity Series each had outstanding foreign currency forward contracts as listed in Note 7.
E. Written Options:
Each Series, with the exception of the Money Market Series, may write or purchase options for the purpose of either hedging its exposure to the market fluctuations of the portfolio, or an individual security position. When a Series writes an option, an amount equal to the premium received by the Series is recorded as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. These options are settled for cash and subject the Series to unknown risk of loss. The Series, however, are not subject to credit risk
135
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
on written options, as the counterparty has already performed its obligation by paying the premium at the inception of the contract. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Series realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written.
Transactions in options written for the period ended June 30, 2009 were as follows:
| | | | | | | | | | | | | | | | | |
| | | Inflation-Protected
| | |
| | | Securities | | Core Bond |
| | | Number of
| | | | Number of
| | |
| | | Contracts | | Premiums | | Contracts | | Premiums |
| |
| Written call options outstanding at December 31, 2008 | | | — | | | $ | — | | | | 55,600,000 | | | $ | 2,789,320 | |
| Call options written | | | 14,700,000 | | | | 740,145 | | | | 339,200,000 | | | | 16,511,800 | |
| Call options terminated in closing purchase transactions | | | — | | | | — | | | | (89,700,000 | ) | | | (4,573,875 | ) |
| Call options expired | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | |
| Written call options outstanding at June 30, 2009 | | | 14,700,000 | | | $ | 740,145 | | | | 305,100,000 | | | $ | 14,727,245 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Written put options outstanding at December 31, 2008 | | | — | | | $ | — | | | | 55,600,000 | | | $ | 2,789,320 | |
| Put options written | | | 14,700,000 | | | | 740,145 | | | | 339,202,375 | | | | 17,949,715 | |
| Put options terminated in closing purchase transactions | | | — | | | | — | | | | (89,700,731 | ) | | | (5,051,833 | ) |
| Put options expired | | | — | | | | — | | | | (1,518 | ) | | | (732,197 | ) |
| | | | | | | | | | | | | | | | | |
| Written put options outstanding at June 30, 2009 | | | 14,700,000 | | | $ | 740,145 | | | | 305,100,126 | | | $ | 14,955,005 | |
| | | | | | | | | | | | | | | | | |
136
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | | |
| | | Total Return Bond | | Balanced |
| | | Number of
| | | | Number of
| | |
| | | Contracts | | Premiums | | Contracts | | Premiums |
| |
| Written call options outstanding at December 31, 2008 | | | 364 | | | $ | 299,434 | | | | 106 | | | $ | 86,010 | |
| Call options written | | | 439 | | | | 242,740 | | | | 89 | | | | 48,947 | |
| Call options terminated in closing purchase transactions | | | (613 | ) | | | (445,954 | ) | | | (152 | ) | | | (111,591 | ) |
| Call options expired | | | (116 | ) | | | (56,084 | ) | | | (38 | ) | | | (19,239 | ) |
| | | | | | | | | | | | | | | | | |
| Written call options outstanding at June 30, 2009 | | | 74 | | | $ | 40,136 | | | | 5 | | | $ | 4,127 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Written put options outstanding at December 31, 2008 | | | 496 | | | $ | 490,812 | | | | 122 | | | $ | 119,957 | |
| Put options written | | | 684 | | | | 652,575 | | | | 142 | | | | 135,186 | |
| Put options terminated in closing purchase transactions | | | (1,043 | ) | | | (1,021,304 | ) | | | (236 | ) | | | (230,194 | ) |
| Put options expired | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | |
| Written put options outstanding at June 30, 2009 | | | 137 | | | $ | 122,083 | | | | 28 | | | $ | 24,949 | |
| | | | | | | | | | | | | | | | | |
F. Futures Contracts:
Each Series, with the exception of the Money Market Series, may enter into futures contracts for the purpose of hedging its existing portfolio securities, or securities that the Series intends to purchase, against fluctuations in market value caused by changes in prevailing market or interest rates. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the daily market value of the contract.
Variation margin payments are received or made by each Series each day, depending upon the daily fluctuations in the market value of the underlying instrument. Each Series recognizes an unrealized gain or loss equal to the daily variation margin. When the contract is closed, the Series records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the basis in the contract.
Should market conditions move unexpectedly, the Series may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets. These contracts may involve market risk in excess of the unrealized gains or losses reflected in the Series’ Statements of Assets and Liabilities.
Use of long futures contracts subjects the Series to risk of loss in excess of amounts shown on the Statement of Assets and Liabilities up to the notional value of the futures contracts. Use of short futures contracts subjects the Series to unlimited risk of loss. The Series may enter into futures contracts on exchanges or boards of trade. In that case, the exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Series’ credit risk is limited to failure of the exchange or board of trade.
137
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Open futures contracts as of June 30, 2009:
| | | | | | | | | | | | | | | | |
| | | | | | | | | Value as of
| | Net Unrealized
|
| | | Number of
| | | | | | June 30,
| | Appreciation/
|
Series | | Contracts | | Description | | Expiration Date | | 2009 | | (Depreciation) |
| |
| Inflation-Protected Securities | | 36 Long | | German Euro-Bobl Future | | September 2009 | | $ | 5,830,522 | | | $ | 45,970 | | |
| | | 160 Long | | US Treasury Note 5 Year Future | | September 2009 | | | 18,355,000 | | | | (108,110 | | ) |
| | | 220 Long | | US Treasury Note 10 Year Future | | September 2009 | | | 25,578,438 | | | | 428,676 | | |
| | | 75 Short | | US Treasury Bond 30 Year Future | | September 2009 | | | 8,876,953 | | | | (103,350 | | ) |
| | | 451 Short | | US Treasury Note 2 Year Future | | September 2009 | | | 97,514,656 | | | | 108,806 | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 371,992 | | |
| | | | | | | | | | | | | | | | |
| Core Bond | | 53 Long | | German Euro-Bobl Future | | September 2009 | | $ | 9,002,420 | | | $ | 161,226 | | |
| | | 28 Long | | UK Long Gilt Future | | September 2009 | | | 5,439,425 | | | | 10,761 | | |
| | | 18 Long | | US Treasury Note 2 Year Future | | September 2009 | | | 3,891,938 | | | | 523 | | |
| | | 261 Long | | US Treasury Note 5 Year Future | | September 2009 | | | 29,941,594 | | | | 185,916 | | |
| | | 985 Long | | US Treasury Note 10 Year Future | | September 2009 | | | 114,521,641 | | | | 93,877 | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 452,303 | | |
| | | | | | | | | | | | | | | | |
| Total Return Bond | | 120 Long | | 90 Day Euro Future | | December 2009 | | $ | 29,728,500 | | | $ | 106,647 | | |
| | | 211 Long | | 90 Day Euro Future | | March 2010 | | | 52,130,187 | | | | 190,450 | | |
| | | 45 Long | | 90 Day Euro Future | | June 2010 | | | 11,076,188 | | | | 51,185 | | |
| | | 19 Long | | US Treasury Bond 30 Year Future | | September 2009 | | | 2,248,828 | | | | 29,008 | | |
| | | 12 Long | | US Treasury Note 2 Year Future | | September 2009 | | | 2,594,625 | | | | (7,569 | | ) |
| | | 224 Long | | US Treasury Note 10 Year Future | | September 2009 | | | 26,043,500 | | | | 195,789 | | |
| | | 39 Short | | German Euro Bund Future | | September 2009 | | | 6,624,422 | | | | (125,480 | | ) |
| | | 92 Short | | US Treasury Note 5 Year Future | | September 2009 | | | 10,554,125 | | | | (69,023 | | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 371,007 | | |
| | | | | | | | | | | | | | | | |
| Balanced | | 42 Long | | S&P 500 Emini Future | | September 2009 | | $ | 1,922,550 | | | $ | (2,112 | | ) |
| | | 23 Long | | 90 Day Euro Future | | December 2009 | | | 5,697,962 | | | | 20,759 | | |
| | | 44 Long | | 90 Day Euro Future | | March 2010 | | | 10,870,750 | | | | 39,002 | | |
| | | 7 Long | | 90 Day Euro Future | | June 2010 | | | 1,722,962 | | | | 8,056 | | |
| | | 9 Long | | US Treasury Bond 30 Year Future | | September 2009 | | | 1,065,234 | | | | 522 | | |
| | | 6 Long | | US Treasury Note 2 Year Future | | September 2009 | | | 1,297,312 | | | | (3,793 | | ) |
| | | 62 Long | | US Treasury Note 5 Year Future | | September 2009 | | | 7,112,562 | | | | 91,752 | | |
| | | 80 Long | | US Treasury Note 10 Year Future | | September 2009 | | | 9,301,250 | | | | 73,257 | | |
| | | 9 Short | | German Euro Bund Future | | September 2009 | | | 1,528,713 | | | | (28,957 | | ) |
| | | 84 Short | | US Treasury Note 5 Year Future | | September 2009 | | | 9,636,375 | | | | 73,966 | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | 272,452 | | |
| | | | | | | | | | | | | | | | |
| Large Core | | 1 Long | | NASDAQ 100 Future | | September 2009 | | $ | 147,625 | | | $ | (1,854 | | ) |
| | | 1 Long | | S&P 500 Future | | September 2009 | | | 228,875 | | | | (5,242 | | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $ | (7,096 | | ) |
| | | | | | | | | | | | | | | | |
138
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
| | | | | | | | | | | | | | | | |
| | | | | | | | | Value as of
| | Net Unrealized
|
| | | Number of
| | | | | | June 30,
| | Appreciation/
|
Series | | Contracts | | Description | | Expiration Date | | 2009 | | (Depreciation) |
| |
| Small Core | | 34 Long | | Russell 2000 Future | | September 2009 | | $ | 1,724,480 | | | $ | (6,776 | | ) |
| | | | | | | | | | | | | | | | |
The Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, Large Core Series, and Small Core Series have segregated securities as collateral for their respective open futures contracts. The segregated securities are identified within each Series’ portfolio of investments. In addition, the Total Return Bond Series has segregated $1,992,027 of cash, and the Balanced Series has segregated $800,004 of cash as collateral for their respective open futures contracts.
G. Swap Agreements:
Each Series, with the exception of the Money Market Series, may engage in various swap transactions including interest rate, currency exchange rate, equity index, credit default and total return swap agreements, for hedging purposes, or as alternatives to direct investments.
An interest rate swap involves a Series and another party, and each agrees to exchange interest earned with respect to a notional amount of principal. An interest rate swap typically involves the exchange of a fixed rate payment for a floating rate payment. A currency rate swap involves two parties who agree to sell each other a foreign currency and commit to exchanging the principal amount at a specified future date. An equity index swap represents an exchange of cash flow streams, one typically based on a reference interest rate; the other on the performance of a stock or stock market index. A credit default swap involves the payment of a premium by a buyer for protection against a specified credit risk or event, such as default. Should a default occur, the protection seller can either accept delivery of the defaulted security or pay the buyer a cash settlement. If a Series is a protection buyer and no event occurs, the Series may receive or recover nothing. If a Series is a protection seller it will receive premium payments (if there is no event) and generally receives an upfront payment as well. A Series will only enter into credit default swaps with parties that meet certain levels of creditworthiness as assessed by the subadvisor. In a total return swap, one party receives interest payments on a referenced asset or index plus any capital gains or losses over the payment period, while the other receives a specified cash flow based on the same notional amount.
Swaps can expose a Series to credit or market risk due to unfavorable changes in interest rates or a change in value of underlying securities or indices. In addition, there is a possibility that there will not be a liquid market for the agreements, or that a counterparty may default on its obligation.
Premiums paid or received by a Series are recorded as unrealized appreciation/depreciation in the Statement of Operations. Contracts are marked to market daily based on valuations supplied by a dealer or broker. Changes in value, including accruals of periodic amounts of interest to be paid or received on swaps, are reported as unrealized appreciation/(depreciation). A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of the swap agreements. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller.
From time to time, a Series will receive short term, highly liquid investments as collateral pledged for various swap agreements from brokers.
During the period ended June 30, 2009, the Inflation-Protected Securities Series and Core Bond Series entered into interest rate swaps and/or credit default swaps.
139
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Outstanding swap agreements as of June 30, 2009:
Inlfation-Protected Securities Series
Interest Rate Swaps:
| | | | | | | | | | | | | | | | | |
| | | Payments made by
| | Payments Received
| | | | | | |
Swap Counterparty | | the Series | | by the Series | | Termination Date | | Notional Amount | | Value |
| |
| Deutsche Bank AG | | 3 month LIBOR | | 1.60% semi-annual | | | 02/04/11 | | | $ | 20,200,000 | | | $ | 190,965 | |
| Deutsche Bank AG | | 3 month LIBOR | | 1.41% semi-annual | | | 06/08/11 | | | | 55,300,000 | | | | (66,076 | ) |
| Goldman Sachs Bank USA | | 2.43% semi-annual | | 3 month LIBOR | | | 04/09/14 | | | | 7,800,000 | | | | 141,851 | |
| Goldman Sachs Bank USA | | 3.89% semi-annual | | 3 month LIBOR | | | 06/05/19 | | | | 12,500,000 | | | | (172,893 | ) |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | 93,847 | |
| | | | | | | | | | | | | | | | | |
Core Bond Series
Interest Rate Swaps:
| | | | | | | | | | | | | | | | | |
| | | Payments made by
| | Payments Received
| | | | | | |
Swap Counterparty | | the Series | | by the Series | | Termination Date | | Notional Amount | | Value |
| |
| Citigroup Global Markets, NA, New York | | 3 month LIBOR | | 5.27% semi-annual | | | 08/06/12 | | | $ | 74,800,000 | | | $ | 8,323,050 | |
| Citigroup Global Markets, NA, New York | | 3 month LIBOR | | 3.26% semi-annual | | | 06/09/14 | | | | 50,300,000 | | | | 798,621 | |
| Citigroup Global Markets, NA, New York | | 3 month LIBOR | | 3.22% semi-annual | | | 05/15/19 | | | | 16,100,000 | | | | (670,928 | ) |
| Citigroup Global Markets, NA, New York | | 3 month LIBOR | | 3.73% semi-annual | | | 06/02/19 | | | | 10,500,000 | | | | 1,851 | |
| Citigroup Global Markets, NA, New York | | 3 month LIBOR | | 3.94% semi-annual | | | 06/03/19 | | | | 21,100,000 | | | | 381,642 | |
| Citigroup Global Markets, NA, New York | | 2.43% semi-annual | | 3 month LIBOR | | | 04/09/14 | | | | 15,900,000 | | | | 285,398 | |
| Citigroup Global Markets, NA, New York | | 2.48% semi-annual | | 3 month LIBOR | | | 04/08/14 | | | | 7,000,000 | | | | 109,340 | |
| Citigroup Global Markets, NA, New York | | 2.53% semi-annual | | 3 month LIBOR | | | 03/16/14 | | | | 30,600,000 | | | | 249,521 | |
| Citigroup Global Markets, NA, New York | | 2.93% semi-annual | | 3 month LIBOR | | | 06/30/14 | | | | 32,100,000 | | | | (46,866 | ) |
| Citigroup Global Markets, NA, New York | | 2.95% semi-annual | | 3 month LIBOR | | | 06/01/14 | | | | 33,400,000 | | | | (58,537 | ) |
| Citigroup Global Markets, NA, New York | | 3.11% semi-annual | | 3 month LIBOR | | | 04/08/19 | | | | 14,000,000 | | | | 667,954 | |
| Citigroup Global Markets, NA, New York | | 3.80% semi-annual | | 3 month LIBOR | | | 05/29/19 | | | | 13,900,000 | | | | (100,877 | ) |
| Citigroup Global Markets, NA, New York | | 3.92% semi-annual | | 3 month LIBOR | | | 06/26/19 | | | | 12,800,000 | | | | (180,425 | ) |
| Citigroup Global Markets, NA, New York | | 4.30% semi-annual | | 3 month LIBOR | | | 06/10/19 | | | | 24,500,000 | | | | (1,186,479 | ) |
| Citigroup Global Markets, NA, New York | | 4.39% semi-annual | | 3 month LIBOR | | | 06/15/20 | | | | 7,500,000 | | | | (125,835 | ) |
| Citigroup Global Markets, NA, New York | | 5.31% semi-annual | | 3 month LIBOR | | | 10/16/17 | | | | 14,900,000 | | | | (1,991,151 | ) |
| Deutsche Bank AG | | 2.25% semi-annual | | 3 month LIBOR | | | 12/19/12 | | | | 19,765,000 | | | | 73,645 | |
140
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Core Bond Series (continued)
| | | | | | | | | | | | | | | | | |
| | | Payments made by
| | Payments Received
| | | | | | |
Swap Counterparty | | the Series | | by the Series | | Termination Date | | Notional Amount | | Value |
| |
| Morgan Stanley Capital Services, Inc. | | 3 month LIBOR | | 1.54% semi-annual | | | 01/16/12 | | | | 46,000,000 | | | | (191,446 | ) |
| Morgan Stanley Capital Services, Inc. | | 3 month LIBOR | | 3.83% semi-annual | | | 06/19/19 | | | | 6,400,000 | | | | 44,980 | |
| Morgan Stanley Capital Services, Inc. | | 1.63% semi-annual | | 3 month LIBOR | | | 06/24/11 | | | | 36,500,000 | | | | (102,224 | ) |
| Morgan Stanley Capital Services, Inc. | | 4.08% semi-annual | | 3 month LIBOR | | | 06/22/19 | | | | 13,400,000 | | | | (380,329 | ) |
| UBS AG | | 3 month LIBOR | | 4.18% semi-annual | | | 06/15/09 | | | | 11,600,000 | | | | 435,978 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | 6,336,883 | |
| | | | | | | | | | | | | | | | | |
141
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Core Bond Series (continued)
Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection(1):
| | | | | | | | | | | | | | | | | | | | | |
| | | Payments
| | | | Implied Credit
| | | | | | Upfront
|
Swap Counterparty/
| | payable by
| | Termination
| | Spread as of
| | Notional
| | | | Premiums
|
Reference Obligation | | the Series | | Date | | 06/30/09(3) | | Amount(2) | | Value | | (Paid)/Received(4) |
| |
| Citigroup Global Markets, NA, New York: |
| Expedia, Inc., 7.46%, 08/15/18 | | 5.00% annual | | 09/20/13 | | | 2.33 | % | | $ | 2,525,000 | | | $ | (258,804 | ) | | $ | — | |
| Expedia, Inc., 7.46%, 08/15/18 | | 5.00% annual | | 09/20/13 | | | 2.33 | | | | 840,000 | | | | (86,097 | ) | | | — | |
Nova Chemicals Corp.,
4.54%, 11/15/13 | | 5.00% annual | | 03/20/12 | | | 4.83 | | | | 230,000 | | | | (1,200 | ) | | | (3,208 | ) |
Deutsche Bank AG: | | | | | | | | | | | | | | | | | | | | |
| Westvaco Corp., 7.95%, 02/15/31 | | 1.20% annual | | 06/20/12 | | | 0.90 | % | | | 3,435,000 | | | | (30,347 | ) | | | — | |
Goldman Sachs Bank, USA: | | | | | | | | | | | | | | | | | | | | |
| Expedia, Inc., 7.46%, 08/15/18 | | 5.18% annual | | 09/20/13 | | | 2.33 | | | | 2,200,000 | | | | (240,608 | ) | | | — | |
| First Data Corp., 9.88%, 09/24/15 | | 5.00% annual | | 12/20/15 | | | 11.04 | | | | 750,000 | | | | 172,970 | | | | 201,801 | |
| Hertz Corp. (The), 8.88%, 01/01/14 | | 5.00% annual | | 03/20/14 | | | 6.41 | | | | 675,000 | | | | 34,099 | | | | 210,994 | |
Huntsman International LLC,
7.38%, 01/01/15 | | 5.00% annual | | 12/20/14 | | | 7.57 | | | | 1,315,000 | | | | 130,606 | | | | 513,996 | |
Huntsman International LLC,
7.38%, 01/01/15 | | 5.00% annual | | 12/20/14 | | | 7.57 | | | | 1,500,000 | | | | 148,980 | | | | 627,047 | |
Huntsman International LLC,
7.38%, 01/01/15 | | 5.00% annual | | 03/20/15 | | | 7.50 | | | | 755,000 | | | | 75,044 | | | | 249,550 | |
| Nova Chemicals Corp., 4.54%, 11/15/13 | | 5.00% annual | | 12/20/13 | | | 5.00 | | | | 1,400,000 | | | | (1,727 | ) | | | 24,889 | |
Morgan Stanley Capital Services, Inc.: | | | | | | | | | | | | | | | | | | | | |
| Istar Financial, Inc., 5.95%,10/15/13 | | 5.00% annual | | 09/20/11 | | | 24.23 | | | | 625,000 | | | | 195,919 | | | | 177,433 | |
| Istar Financial, Inc., 5.95%,10/15/13 | | 5.00% annual | | 09/20/11 | | | 24.23 | | | | 625,000 | | | | 195,919 | | | | 174,395 | |
| Knight Inc., 6.50%,09/01/12 | | 1.00% annual | | 09/20/12 | | | 1.35 | | | | 920,000 | | | | 9,559 | | | | 10,052 | |
| Macy’s Inc., 7.45%, 07/15/17 | | 8.00% annual | | 06/20/12 | | | 4.15 | | | | 725,000 | | | | (75,666 | ) | | | — | |
| Macy’s Inc., 7.45%, 07/15/17 | | 1.00% annual | | 09/20/14 | | | 3.76 | | | | 730,000 | | | | 84,997 | | | | 36,622 | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $ | 353,644 | | | $ | 2,223,571 | |
| | | | | | | | | | | | | | | | | | | | | |
| | |
| (1) | | If the Series is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Series will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comparising the referenced index. |
| |
| (2) | | The maximum potential amount the Series could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| |
| (3) | | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| |
| (4) | | Upfront premiums generally relate to payments made or received at the initiation of the agreement in lieu of all or a portion of future periodic payments. |
142
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Core Bond Series (continued)
H. Derivative Instruments:
The Series Portfolio is subject to the provisions of Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities — an amendment of FASB Statement No. 133” (“FAS 161”). The Series Portfolio is subject to various risks in the normal course of pursuing its investment objectives. The following table highlights the types of risks and the derivative instruments used to mitigate the risks:
Inflation-Protected Securities Series:
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Interest Rate Swaps | | Swap contracts, at value | | $ | 332,816 | | | Swap contracts, at value | | $ | 238,969 | |
| Open Futures Contracts | | Variation margin receivable | | | — | | | Variation margin payable | | | 38,611 | |
| Foreign Currency Contracts | | Unrealized appreciation on foreign currency forward contracts | | | 79,650 | | | Unrealized depreciation on foreign currency forward contracts | | | 2,512 | |
| Written Options | | | | | — | | | Written options, at value | | | 1,470,294 | |
| | | | | | | | | | | | | |
| Total | | | | $ | 412,466 | | | | | $ | 1,750,386 | |
| | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Interest Rate Swaps | | $ | — | | | $ | — | | | $ | — | | | $ | (49,656 | ) | | $ | — | | | $ | (49,656 | ) |
| Open Futures Contracts | | | (704,889 | ) | | | — | | | | — | | | | — | | | | — | | | | (704,889 | ) |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | (82,647 | ) | | | (82,647 | ) |
| Purchased Options | | | — | | | | 25,701 | | | | — | | | | — | | | | — | | | | 25,701 | |
| Written Options | | | — | | | | — | | | | 24,207 | | | | — | | | | — | | | | 24,207 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (704,889 | ) | | $ | 25,701 | | | $ | 24,207 | | | $ | (49,656 | ) | | $ | (82,647 | ) | | $ | (787,284 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Interest Rate Swaps | | $ | — | | | $ | — | | | $ | — | | | $ | 93,847 | | | $ | — | | | $ | 93,847 | |
| Open Futures Contracts | | | 578,686 | | | | — | | | | — | | | | — | | | | — | | | | 578,686 | |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | 77,138 | | | | 77,138 | |
| Purchased Options | | | — | | | | (16,512 | ) | | | — | | | | — | | | | — | | | | (16,512 | ) |
| Written Options | | | — | | | | — | | | | 9,996 | | | | — | | | | — | | | | 9,996 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 578,686 | | | $ | (16,512 | ) | | $ | 9,996 | | | $ | 93,847 | | | $ | 77,138 | | | $ | 743,155 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
143
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Core Bond Series
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Interest Rate Swaps | | Swap contracts, at value | | $ | 11,371,981 | | | Swap contracts, at value | | $ | 5,035,097 | |
| Credit Default Swaps | | Swap contracts, at value | | | 1,048,093 | | | Swap contracts, at value | | | 694,449 | |
| Open Futures Contracts | | Variation margin receivable | | | — | | | Variation margin payable | | | 330,078 | |
| Foreign Currency Contracts | | Unrealized appreciation on foreign currency forward contracts | | | — | | | Unrealized depreciation on foreign currency forward contracts | | | 430,511 | |
| Purchased Options | | Securities, at value, including investments held as collateral for securities out on loan | | | 4,930,554 | | | | | | | |
| Written Options | | | | | — | | | Written options, at value | | | 30,456,348 | |
| | | | | | | | | | | | | |
| Total | | | | $ | 17,350,628 | | | | | $ | 36,946,483 | |
| | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Purchased
| | Written
| | | | | | |
| | | | | Options and
| | Options and
| | Swap
| | Forward
| | |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Interest Rate Swaps | | $ | — | | | $ | — | | | $ | — | | | $ | 15,758,712 | | | $ | — | | | $ | 15,758,712 | |
| Open Futures Contracts | | | 1,688,122 | | | | — | | | | — | | | | — | | | | — | | | | 1,688,122 | |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | (634,415 | ) | | | (634,415 | ) |
| Purchased Options | | | — | | | | (1,985,160 | ) | | | — | | | | — | | | | — | | | | (1,985,160 | ) |
| Written Options | | | — | | | | — | | | | 190,265 | | | | — | | | | — | | | | 190,265 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 1,688,122 | | | $ | (1,985,160 | ) | | $ | 190,265 | | | $ | 15,758,712 | | | $ | (634,415 | ) | | $ | 15,017,524 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Purchased
| | Written
| | | | | | |
| | | | | Options and
| | Options and
| | Swap
| | Forward
| | |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Interest Rate Swaps | | $ | — | | | $ | — | | | $ | — | | | $ | (13,190,301 | ) | | $ | — | | | $ | (13,190,301 | ) |
| Open Futures Contracts | | | (1,293,227 | ) | | | — | | | | — | | | | — | | | | — | | | | (1,293,227 | ) |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | (876,269 | ) | | | (876,269 | ) |
| Purchased Options | | | — | | | | 2,730,217 | | | | — | | | | — | | | | — | | | | 2,730,217 | |
| Written Options | | | — | | | | — | | | | 4,776,945 | | | | — | | | | — | | | | 4,776,945 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (1,293,227 | ) | | $ | 2,730,217 | | | $ | 4,776,945 | | | $ | (13,190,301 | ) | | $ | (876,269 | ) | | $ | (7,852,635 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
144
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Total Return Bond Series
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Open Futures Contracts | | Variation margin receivable | | $ | — | | | Variation margin payable | | $ | 342,229 | |
| Foreign Currency Contracts | | Unrealized appreciation on foreign currency forward contracts | | | 187,369 | | | Unrealized depreciation on foreign currency forward contracts | | | 283,451 | |
| Written Options | | | | | — | | | Written options, at value | | | 73,081 | |
| | | | | | | | | | | | | |
| Total | | | | $ | 187,369 | | | | | $ | 698,761 | |
| | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Purchased
| | Written
| | | | | | |
Derivatives not accounted for as hedging instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (2,064,286 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (2,064,286 | ) |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | 230,165 | | | | 230,165 | |
| Purchased Options | | | — | | | | (56,085 | ) | | | — | | | | — | | | | — | | | | (56,085 | ) |
| Written Options | | | — | | | | — | | | | 720,011 | | | | — | | | | — | | | | 720,011 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (2,064,286 | ) | | $ | (56,085 | ) | | $ | 720,011 | | | $ | — | | | $ | 230,165 | | | $ | (1,170,195 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Purchased
| | Written
| | | | | | |
| | | | | Options and
| | Options and
| | Swap
| | Forward
| | |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (1,421,448 | ) | | | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (1,421,448 | ) |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | (249,895 | ) | | | (249,895 | ) |
| Written Options | | | — | | | | — | | | | 1,131,764 | | | | — | | | | — | | | | 1,131,764 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (1,421,448 | ) | | $ | — | | | $ | 1,131,764 | | | $ | — | | | $ | (249,895 | ) | | $ | (539,579 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balanced Series
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Open Futures Contracts | | Variation margin receivable | | $ | 214 | | | Variation margin payable | | $ | 84,049 | |
| Foreign Currency Contracts | | Unrealized appreciation on foreign currency forward contracts | | | 104,927 | | | Unrealized depreciation on foreign currency forward contracts | | | 127,207 | |
| Written Options | | | | | — | | | Written options, at value | | | 36,044 | |
| | | | | | | | | | | | | |
| Total | | | | $ | 105,141 | | | | | $ | 247,300 | |
| | | | | | | | | | | | | |
145
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Balanced Series (continued)
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Purchased
| | Written
| | | | | | |
Derivatives not accounted for as hedging instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (253,910 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (253,910 | ) |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | 121,267 | | | | 121,267 | |
| Purchased Options | | | — | | | | (11,104 | ) | | | — | | | | — | | | | — | | | | (11,104 | ) |
| Written Options | | | — | | | | — | | | | 177,470 | | | | — | | | | — | | | | 177,470 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (253,910 | ) | | $ | (11,104 | ) | | $ | 177,470 | | | $ | — | | | $ | 121,267 | | | $ | 33,723 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (558,074 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (558,074 | ) |
| Foreign Currency Contracts | | | — | | | | — | | | | — | | | | — | | | | (125,774 | ) | | | (125,774 | ) |
| Written Options | | | — | | | | — | | | | 273,128 | | | | — | | | | — | | | | 273,128 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (558,074 | ) | | $ | — | | | $ | 273,128 | | | $ | — | | | $ | (125,774 | ) | | $ | (410,720 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Large Core Series
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Open Futures Contracts | | Variation margin receivable | | $ | — | | | Variation margin payable | | $ | 1,950 | |
| | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (8,056 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (8,056 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (37,921 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (37,921 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
146
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
Small Core Series
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Open Futures Contracts | | Variation margin receivable | | $ | — | | | Variation margin payable | | $ | 2,404 | |
| | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (47,611 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (47,611 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Open Futures Contracts | | $ | (82,550 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (82,550 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
International Equity Series
| | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Derivatives not accounted for as hedging instruments under FASB Statement No. 133 | | Balance Sheet Location | | Fair Value | | Balance Sheet Location | | Fair Value |
| |
| Foreign Currency Contracts | | Unrealized appreciation on foreign currency forward contracts | | $ | — | | | Unrealized depreciation on foreign currency forward contracts | | $ | 110,737 | |
| | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Foreign Currency Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (5,725,251 | ) | | $ | (5,725,251 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income:
| | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives not accounted for as hedging
| | | | Purchased
| | Written
| | | | | | |
instruments under FASB Statement
| | | | Options and
| | Options and
| | Swap
| | Forward
| | |
No. 133 | | Futures | | Swaptions | | Swaptions | | Agreements | | Contracts | | Total |
| |
| Foreign Currency Contracts | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (110,737 | ) | | $ | (110,737 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
I. Short Sales:
Each Series, with the exception of the Money Market Series, may sell securities short. A short sale is a transaction in which a Series sells securities it does not own, but has borrowed, in anticipation of a decline in the market price of the securities. The Series is obligated to replace the borrowed securities at the market price at the time of replacement. The Series’ obligation to replace the securities borrowed in connection with a short sale will be fully secured by collateral deposited with the custodian. In addition, the Series will consider the short sale to
147
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
be a borrowing by the Series that is subject to the asset coverage requirements of the Investment Company Act of 1940, as amended. Short sales by the Series involve certain risks and special considerations. Possible losses from short sales differ from losses that could be incurred from a purchase of a security because losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.
J. Dollar Rolls:
Each Series, with the exception of the Money Market Series, may enter into dollar rolls (principally using TBA’s) in which the Series sells mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Series account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Series maintains liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Series is required to purchase may decline below the agreed upon repurchase price of those securities.
The Core Bond Series, Total Return Bond Series and Balanced Series had TBA dollar rolls outstanding as of June 30, 2009, which are included in receivable for securities sold and payable for securities purchased on the Statement of Assets and Liabilities.
K. Loan Participations/Assignments:
Each Series, with the exception of the Money Market Series, may purchase participations/assignments in commercial loans. Such indebtedness may be secured or unsecured. These investments may include standby financing commitments, including revolving credit facilities that obligate the Series to supply additional cash to the borrowers on demand. Loan participations/assignments involve risks of insolvency of the lending banks or other financial intermediaries. As such, the Series assume the credit risks associated with the corporate borrowers and may assume the credit risks associated with the interposed banks or other financial intermediaries. The Series may be contractually obligated to receive approval from the agent banks and/or borrowers prior to the sale of these investments. Loan participations typically represent direct participation in loans to corporate borrowers, and generally are offered by banks or other financial institutions or lending syndicates. The Series may participate in such syndications, or can buy a portion of the loans, becoming part lenders. Loans are often administered by agent banks acting as agents for all holders. The agent banks administer the terms of the loans, as specified in the loan agreements. In addition, the agent banks are normally responsible for the collection of principal and interest payments from the corporate borrowers and the apportionment of these payments to the credit of all institutions that are parties to the loan agreements. Unless, under the terms of the loans or other indebtedness, a Series has direct recourse against the corporate borrowers, the Series may have to rely on the agent banks or other financial intermediaries to apply appropriate credit remedies against corporate borrowers.
L. Treasury Inflation-Protected Securities:
Each Series may invest in Treasury Inflation-Protected Securities (“TIPS”), including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the US Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the US Government.
148
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
M. Commission Recapture:
The subadvisors of certain Series, to the extent consistent with the best execution and usual commission rate policies and practices, have elected to place security transactions of the Series with broker/dealers with which other Funds or Series advised by TAM have established a Commission Recapture Program. A Commission Recapture Program is any arrangement under which a broker/dealer applies a portion of the commissions received by such broker/dealer from security transactions to a Series. In no event will commissions paid by the Series be used to pay expenses that would otherwise be borne by any other Funds or Series advised by TAM or by any other party.
Recaptured commissions during the period ended June 30, 2009 are included in net realized gains on the Statement of Operations and are summarized as follows:
| | | | | |
Series | | Commissions |
| |
| Large Value | | $ | 72,834 | |
| Large Core | | | 421 | |
| Large Growth | | | 31,081 | |
| Growth | | | 37,316 | |
| Mid Value | | | 158,397 | |
| Mid Growth | | | 34,874 | |
| Small Value | | | 24,933 | |
| Small Core | | | 50,213 | |
| Small Growth | | | 49,622 | |
| International Equity | | | 7,843 | |
N. Federal Income Taxes:
It is the Series’ policy to comply with the applicable provisions of the Internal Revenue Code. Therefore, no federal income tax provision is required.
Each Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
O. Security Transactions and Investment Income:
Security transactions are accounted for on a trade date basis (the date the order to buy or sell is executed). Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date. Interest income is recorded on the accrual basis and includes amortization of premiums and accretion of discounts on investments. Realized gains and losses from securities transactions are recorded on the identified cost basis.
Purchases of TBA, when-issued or delayed delivery securities may be settled a month or more after the trade date. Interest income is not accrued until settlement date.
All of the net investment income and realized and unrealized gains and losses from security transactions are determined on each valuation day and allocated pro rata among the investors in a Series at the time of such determination.
149
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. Significant Accounting Policies (continued)
P. Operating Expenses:
Each Series accounts separately for its assets, liabilities and operations. Expenses directly attributable to a Series are charged to that Series, while expenses attributable to all Series are allocated among all Series based on their relative net assets, or another methodology that is appropriate based on the circumstances.
Q. Restricted and Illiquid Securities:
Each Series is permitted to invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
As of June 30, 2009 the Series had no investments in restricted securities other than 144A issues.
The following is the value and percentage of net assets of illiquid securities as of June 30, 2009:
| | | | | | | | | |
Series | | Amount | | Percentage |
| |
| Core Bond | | $ | 1,624,610 | | | | 0.11 | % |
| Total Return Bond | | | 311,725 | | | | 0.12 | |
| High Yield Bond | | | 10,126,294 | | | | 1.91 | |
| Balanced | | | 463,237 | | | | 0.31 | |
| Small Value | | | 4,599,871 | | | | 3.30 | |
R. Other:
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
S. Subsequent Events:
The Board of Directors approved an agreement and Plan of Reorganization relating to the proposed reorganization of the following Series:
| | | |
Target Series | | Destination Series |
| |
| Total Return Bond | | Core Bond |
| Value | | Large Value |
| Growth | | Large Growth |
A proxy statement will be sent to holders to discuss the transaction in detail. If approved, the reorganization is expected to take place during the fourth quarter 2009.
3. Fees and Transactions with Affiliates
Transamerica Financial Life Insurance Company (“TFLIC”), a wholly-owned subsidiary of AEGON USA, LLC (“AEGON USA”), is an affiliate of Transamerica Asset Management, Inc. (the “Advisor” or “TAM”). TAM is directly owned by Western Reserve Life Assurance Co. of Ohio (77%) (“Western Reserve”) and AUSA Holding Company (23%) (“AUSA”), both of which are indirect, wholly-owned subsidiaries of AEGON
150
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
3. Fees and Transactions with Affiliates (continued)
NV. AUSA is wholly-owned by AEGON USA, a financial services holding company whose primary emphasis is on life and health insurance, and annuity and investment products. AEGON USA is owned by AEGON US Holding Corporation, which is owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is owned by The AEGON Trust, which is owned by AEGON International B.V., which is owned by AEGON NV, a Netherlands corporation, and a publicly traded international insurance group. TFLIC has sub-accounts which invest in the corresponding Series as follows:
| | | | | |
| | | Investment in
|
TFLIC Sub-account | | Series |
| |
| Money Market | | | 5.23 | % |
| High Quality Bond | | | 14.43 | |
| Inflation-Protected Securities | | | 14.44 | |
| Core Bond | | | 9.10 | |
| High Yield Bond | | | 5.28 | |
| Balanced | | | 37.75 | |
| Large Value | | | 21.49 | |
| Large Core | | | 42.70 | |
| Large Growth | | | 18.85 | |
| Growth | | | 30.61 | |
| Mid Value | | | 4.23 | |
| Mid Growth | | | 1.68 | |
| Small Value | | | 1.96 | |
| Small Core | | | 37.17 | |
| Small Growth | | | 1.94 | |
| International Equity | | | 12.86 | |
The Advisor manages the assets of each Series of the Series Portfolio pursuant to the Investment Advisory Agreement with the Series Portfolio. Subject to such further policies as the Board of Trustees may determine, the Advisor provides general investment advice to each Series. For its services, the Advisor receives fees from each Series, accrued daily and payable monthly, at an annual rate equal to the percentages specified in the table below of the corresponding Series’ average daily net assets. The Advisor is currently waiving a portion of its investment advisory fees for certain Series.
For each Series, the Advisor has entered into Investment Subadvisory Agreements with the Subadvisors listed in the following table (each a “Subadvisor”, collectively the “Subadvisors”). It is the responsibility of each Subadvisor to make the day-to-day investment decisions of the Series and to place the purchase and sales orders for securities transactions of such Series, subject in all cases to the general supervision of the Advisor. Payment of fees to the Subadvisors is the responsibility of the Advisor, and is not an additional expense of a Series.
| | | | | | | |
| | | | | 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 | |
| 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 | |
151
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
3. Fees and Transactions with Affiliates (continued)
| | | | | | | |
| | | | | Advisory
|
Series | | Series Subadvisor | | Fee (%) |
| |
| Balanced | | Goldman, Sachs Asset Management, LP | | | 0.45 | (1) |
| | | Western Asset Management Company Western Asset Management Company, Ltd. | | | | |
| Large Value | | Aronson+Johnson+Ortiz, LP(a) | | | 0.45 | |
| 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 | (1) |
| | | 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 | (1) |
| | | 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. | | | 0.80 | (1) |
| | | INVESCO Institutional (NA), Inc. | | | | |
| | | RS Investment Management Co., LLC(b) Wellington Management Company, LLP | | | | |
| Small Growth | | Perimeter Capital Partners LLC | | | 0.87 | (1) |
| International Equity | | Thornburg Investment Management, Inc.(c) | | | 0.75 | (1) |
| | |
| (1) | | For the period ended June 30, 2009, 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 February 27, 2009, the Small Core Series terminated RS Investment Management Co., LLC as subadvisor. |
| |
| (c) | | Effective January 2, 2009, Thornburg Investment Management, Inc. replaced LSV Asset Management and Wellington Management Company, LLP. |
152
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
3. Fees and Transactions with Affiliates (continued)
For the period ended June 30, 2009, the Advisor has voluntarily undertaken to waive fees to the extent the expenses of a Series exceed the following expense caps (as a proportion of average daily net assets):
| | | |
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. |
Certain trustees and officers of the Series Portfolio and of the funds that invest in the Series Portfolio are also directors, officers or employees of the Advisor or its affiliates. None of the non-independent trustees so affiliated receive compensation for services as trustees of the Series Portfolio or the funds that invest in the Series Portfolio. Similarly, none of the Series Portfolio officers receive compensation from the Series Portfolio. Aggregate remuneration earned by non-affiliated trustees of the Series Portfolio from the Series Portfolio for the period ended June 30, 2009 amounted to $136,365.
Each eligible non-affiliated trustee may elect participation in a non-qualified deferred compensation plan (“the Plan”). Under the Plan, such trustees may defer payment of all or a portion of their total fees earned as a Series trustee. Each trustee who is a participant in the Plan may elect that the earnings, gains or losses credited to his/her deferred fee amounts be determined based on a deemed investment in investment options in Transamerica Partners Institutional Funds Group, Transamerica Institutional Asset Allocation Funds, Class A shares of any series of Transamerica Funds and/or funds of Transamerica Investors, Inc.
4. Securities Lending
Each Series may lend its securities to certain member firms of the New York Stock Exchange. The loans are collateralized at all times with cash or securities with a market value at least 102% for domestic securities and 105% for international securities of the market value of the securities on loan. Any deficiencies or excess of collateral must be delivered or transferred by the member firms no later than the close of business on the next business day. As with other extensions of credit, the Series may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially.
During the term of the loan, a Series receives payments from borrowers equivalent to the dividends, interest, and any other distributions that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral in accordance with investment guidelines contained in the Securities
153
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
4. Securities Lending (continued)
Lending Agreement. For loans secured by cash, each Series retains the interest on cash collateral investments but is required to pay the borrower a rebate for the use of the cash collateral. For loans secured by collateral other than cash, the borrower pays a securities loan fee to the lending agent.
Any compensation (net of related expenses) received by a Series for lending its securities, as described above, is reported on its respective Statement of Operations. This includes interest income on short-term investments purchased with cash collateral received.
At June 30, 2009, none of the Series had securities on loan.
5. Purchases and Sales of Investments
The aggregate cost of investments purchased and proceeds from sales or maturities (excluding short-term securities) for the period ended June 30, 2009 were as follows:
| | | | | | | | | | | |
| | | | | Cost of
| | Proceeds
|
Series | | | | Purchases | | From Sales |
| |
| High Quality Bond | | US Government Obligations | | $ | 68,524,990 | | | $ | 92,311,413 | |
| | | Other | | | 80,536,961 | | | | 104,628,394 | |
| Inflation-Protected Securities | | US Government Obligations | | | 212,675,837 | | | | 249,916,558 | |
| | | Other | | | — | | | | 11,936,117 | |
| Core Bond | | US Government Obligations | | | 7,834,748,270 | | | | 7,929,073,031 | |
| | | Other | | | 316,873,980 | | | | 400,483,295 | |
| Total Return Bond | | US Government Obligations | | | 373,552,591 | | | | 439,310,424 | |
| | | Other | | | 13,905,769 | | | | 32,480,787 | |
| High Yield Bond | | Other | | | 255,888,941 | | | | 225,073,860 | |
| Balanced | | US Government Obligations | | | 88,996,993 | | | | 102,707,441 | |
| | | Other | | | 39,171,326 | | | | 58,503,179 | |
| Large Value | | Other | | | 1,249,323,630 | | | | 1,427,468,079 | |
| Value | | Other | | | 17,354,589 | | | | 36,023,100 | |
| Large Core | | Other | | | 96,948,651 | | | | 123,078,437 | |
| Large Growth | | Other | | | 455,455,048 | | | | 568,277,007 | |
| Growth | | Other | | | 127,863,548 | | | | 148,098,804 | |
| Mid Value | | Other | | | 214,794,305 | | | | 223,586,994 | |
| Mid Growth | | Other | | | 235,306,110 | | | | 244,205,486 | |
| Small Value | | Other | | | 49,631,105 | | | | 59,508,455 | |
| Small Core | | Other | | | 202,948,874 | | | | 284,271,744 | |
| Small Growth | | Other | | | 70,978,874 | | | | 86,430,051 | |
| International Equity | | Other | | | 1,131,449,678 | | | | 1,276,313,189 | |
6. Concentrations and Indemnifications
Some Series may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Series to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable US securities.
154
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
6. Concentrations and Indemnifications (continued)
As of June 30, 2009, the High Yield Bond Series, Value Series, Growth Series, and Mid Growth Series invested approximately 13.07%, 14.25%, 12.32%, and 10.07%, respectively, of their portfolios in issuers outside the United States.
As of June 30, 2009, substantially all of the International Equity Series’ net assets consist of securities of issuers that are domiciled in foreign countries. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
As of June 30, 2009, the International Equity Series invested approximately 15.09% of its portfolio in issuers in the United Kingdom.
The ability of the issuers of debt, asset-backed and mortgage-backed securities to meet their obligations may be affected by the economic and political developments in a specific industry or region. The value of asset-backed and mortgage-backed securities can be significantly affected by changes in interest rates or rapid principal payments including prepayments.
Credit risk is measured by the loss a Series would record if its counter-parties failed to perform pursuant to the terms of their obligations to the Series. Since certain Series enters into various types of debt obligations including private placements, swap agreements, forward currency contracts, spot contracts, forward commitments and over-the-counter options, credit exposure exists with counterparties.
In the normal course of business, the Series Portfolio enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Series Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series Portfolio that have not yet occurred. However, based on experience, the Series Portfolio expects the risk of loss to be remote.
7. Foreign Currency Forward, Spot and Cross Currency Contracts
At June 30, 2009, the Inflation-Protected Securities Series, Core Bond Series, Total Return Bond Series, Balanced Series, and International Equity Series had entered into foreign currency forward, spot and cross currency contracts which contractually obligate each portfolio to deliver/receive currency at specified future dates.
The open contracts were as follows:
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Net Unrealized
|
| | | Foreign
| | In Exchange
| | Settlement
| | Value At
| | Appreciation/
|
| | | Currency | | For | | Date | | 06/30/09 | | (Depreciation) |
| |
| Inflation-Protected Securities Series | | | | | | | | | | | | | | | | | | | | |
Purchase Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 90,832 | | | $ | 150,313 | | | | 07/01/09 | | | $ | 149,437 | | | $ | (876 | ) |
| Canadian Dollar | | | 18,802 | | | | 16,247 | | | | 07/01/09 | | | | 16,165 | | | | (82 | ) |
| Euro | | | 207,000 | | | | 292,903 | | | | 07/15/09 | | | | 290,391 | | | | (2,512 | ) |
| Japanese Yen | | | 350,165,000 | | | | 3,584,524 | | | | 08/26/09 | | | | 3,637,310 | | | | 52,786 | |
| | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | 49,316 | |
| | | | | | | | | | | | | | | | | | | | | |
Sale Contracts: | | | | | | | | | | | | | | | | | | | | |
| Euro | | | 172,514 | | | $ | 242,529 | | | | 07/01/09 | | | $ | 242,011 | | | $ | 518 | |
| Japanese Yen | | | 350,165,000 | | | | 3,664,174 | | | | 08/26/09 | | | | 3,637,310 | | | | 26,864 | |
| | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | 27,382 | |
| | | | | | | | | | | | | | | | | | | | | |
155
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
7. Foreign Currency Forward, Spot and Cross Currency Contracts (continued)
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Net Unrealized
|
| | | Foreign
| | In Exchange
| | Settlement
| | Value At
| | Appreciation/
|
| | | Currency | | For | | Date | | 06/30/09 | | (Depreciation) |
| |
| | | | | | | | | | | | | | | | | | | | | |
| Core Bond Series | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Purchase Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 3,743,867 | | | $ | 6,195,538 | | | | 07/01/09 | | | $ | 6,159,408 | | | $ | (36,130 | ) |
| Euro | | | 1,378,768 | | | | 1,938,340 | | | | 07/01/09 | | | | 1,934,203 | | | | (4,137 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | (40,267 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Sale Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 5,877,500 | | | $ | 9,513,075 | | | | 08/26/09 | | | $ | 9,668,959 | | | $ | (155,884 | ) |
| Euro | | | 5,736,500 | | | | 7,813,113 | | | | 07/15/09 | | | | 8,047,473 | | | | (234,360 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | (390,244 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return Bond Series | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| Purchase Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 1,000,000 | | | $ | 1,457,730 | | | | 08/19/09 | | | $ | 1,645,099 | | | $ | 187,369 | |
| | | | | | | | | | | | | | | | | | | | | |
Sale Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 999,000 | | | $ | 1,468,930 | | | | 08/19/09 | | | $ | 1,643,454 | | | $ | (174,524 | ) |
| Euro | | | 1,074,448 | | | | 1,398,297 | | | | 08/19/09 | | | | 1,507,224 | | | | (108,927 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | (283,451 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| Balanced Series | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Purchase Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 560,000 | | | $ | 816,328 | | | | 08/19/09 | | | $ | 921,255 | | | $ | 104,927 | |
| | | | | | | | | | | | | | | | | | | | | |
Sale Contracts: | | | | | | | | | | | | | | | | | | | | |
| British Pound Sterling | | | 555,000 | | | $ | 816,072 | | | | 08/19/09 | | | $ | 913,030 | | | $ | (96,958 | ) |
| Euro | | | 298,380 | | | | 388,315 | | | | 08/19/09 | | | | 418,564 | | | | (30,249 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | (127,207 | ) |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| International Equity Series | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
Purchase Contracts: | | | | | | | | | | | | | | | | | | | | |
| Brazilian Real | | | 5,095,500 | | | $ | 2,608,929 | | | | 07/01/09 | | | $ | 2,600,408 | | | $ | (8,521 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Sale Contracts: | | | | | | | | | | | | | | | | | | | | |
| Mexican Peso | | | 406,534,000 | | | | 30,112,515 | | | | 11/30/09 | | | | 30,214,731 | | | $ | (102,216 | ) |
| | | | | | | | | | | | | | | | | | | | | |
156
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
8. Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios to Average Net Assets | | | | | | |
| | | | | | | Net Investment
| | | | | | |
For the
| | | | Net Expenses
| | Income (Loss)
| | | | Net Assets,
| | |
Period/Year
| | Net
| | (Net of
| | (Net of
| | Portfolio
| | End of
| | Total
|
Ended | | Expenses | | Reimbursements) | | Reimbursements) | | Turnover | | Period/Year | | Return |
| |
| |
Money Market |
| 06/30/2009 | | | 0.27 | %* | | | 0.27 | %* | | | 0.63 | %* | | | N/A | | | $ | 1,233,418,125 | | | | 0.31 | % |
| 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 |
| 06/30/2009 | | | 0.39 | * | | | 0.39 | * | | | 4.08 | * | | | 44 | % | | | 401,318,303 | | | | 5.55 | |
| 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 |
| 06/30/2009 | | | 0.39 | * | | | 0.39 | * | | | (0.38 | )* | | | 60 | | | | 361,674,511 | | | | 4.53 | |
| 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 |
| 06/30/2009 | | | 0.38 | * | | | 0.38 | * | | | 4.84 | * | | | 462 | (a) | | | 1,473,806,436 | | | | 5.75 | |
| 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 |
| 06/30/2009 | | | 0.41 | * | | | 0.40 | * | | | 5.83 | * | | | 130 | (a) | | | 256,797,082 | | | | 7.25 | |
| 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 | |
157
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
8. Financial Highlights (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios to Average Net Assets | | | | | | |
| | | | | | | Net Investment
| | | | | | |
For the
| | | | Net Expenses
| | Income (Loss)
| | | | Net Assets,
| | |
Period/Year
| | Net
| | (Net of
| | (Net of
| | Portfolio
| | End of
| | Total
|
Ended | | Expenses | | Reimbursements) | | Reimbursements) | | Turnover | | Period/Year | | Return |
| |
| |
High Yield Bond |
| 06/30/2009 | | | 0.59 | %* | | | 0.59 | %* | | | 11.15 | %* | | | 51 | % | | $ | 530,009,429 | | | | 29.69 | % |
| 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 | |
| |
Balanced |
| 06/30/2009 | | | 0.58 | * | | | 0.50 | * | | | 3.54 | * | | | 85 | (a) | | | 147,656,981 | | | | 5.11 | |
| 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 |
| 06/30/2009 | | | 0.48 | * | | | 0.48 | * | | | 2.61 | * | | | 104 | | | | 1,201,094,008 | | | | (3.44 | ) |
| 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 |
| 06/30/2009 | | | 0.60 | * | | | 0.55 | * | | | 2.58 | * | | | 34 | | | | 46,355,601 | | | | 12.05 | |
| 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 |
| 06/30/2009 | | | 0.62 | * | | | 0.62 | * | | | 1.67 | * | | | 41 | | | | 249,727,365 | | | | 2.55 | |
| 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 | |
158
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
8. Financial Highlights (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios to Average Net Assets | | | | | | |
| | | | | | | Net Investment
| | | | | | |
For the
| | | | Net Expenses
| | Income (Loss)
| | | | Net Assets,
| | |
Period/Year
| | Net
| | (Net of
| | (Net of
| | Portfolio
| | End of
| | Total
|
Ended | | Expenses | | Reimbursements) | | Reimbursements) | | Turnover | | Period/Year | | Return |
| |
| |
Large Growth |
| 06/30/2009 | | | 0.65 | %* | | | 0.65 | %* | | | 1.25 | %* | | | 44 | % | | $ | 1,118,219,346 | | | | 9.04 | % |
| 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 |
| 06/30/2009 | | | 0.82 | * | | | 0.80 | * | | | 0.22 | * | | | 73 | | | | 184,143,423 | | | | 15.05 | |
| 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 |
| 06/30/2009 | | | 0.70 | * | | | 0.70 | * | | | 1.71 | * | | | 37 | | | | 660,813,066 | | | | 6.97 | |
| 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 | |
| |
Mid Growth |
| 06/30/2009 | | | 0.76 | * | | | 0.75 | * | | | (0.29 | )* | | | 110 | | | | 223,333,485 | | | | 1.91 | |
| 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 |
| 06/30/2009 | | | 0.89 | * | | | 0.85 | * | | | 1.67 | * | | | 38 | | | | 139,478,826 | | | | (3.84 | ) |
| 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 | |
159
TRANSAMERICA PARTNERS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
8. Financial Highlights (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Ratios to Average Net Assets | | | | | | |
| | | | | | | Net Investment
| | | | | | |
For the
| | | | Net Expenses
| | Income (Loss)
| | | | Net Assets,
| | |
Period/Year
| | Net
| | (Net of
| | (Net of
| | Portfolio
| | End of
| | Total
|
Ended | | Expenses | | Reimbursements) | | Reimbursements) | | Turnover | | Period/Year | | Return |
| |
| |
Small Core |
| 06/30/2009 | | | 0.86 | %* | | | 0.85 | %* | | | 0.78 | %* | | | 65 | % | | $ | 314,025,664 | | | | 3.62 | % |
| 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 |
| 06/30/2009 | | | 0.93 | | | | 0.90 | | | | (0.43 | ) | | | 49 | | | | 156,336,496 | | | | 13.42 | |
| 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 |
| 06/30/2009 | | | 0.89 | * | | | 0.89 | * | | | 2.65 | * | | | 120 | | | | 1,000,243,011 | | | | 4.94 | |
| 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 2J. |
| |
| * | | Annualized. |
| |
| (1) | | Commencement of Operations, May 6, 2005. |
160
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL
June 30, 2009
(Unaudited)
Money Market. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Money Market Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and GE Asset Management, Incorporated (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods. It was noted that the Portfolio’s managers sought to avoid risk by increasing allocations to U.S. Government securities. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
161
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the median for its peer group and above the median for its peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and above the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
High Quality Bond. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners High Quality Bond Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), to determine whether the agreement should be renewed.
162
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM such information as they deemed reasonably necessary to evaluate the agreement. The Trustees also carefully considered information they had previously received from TAM as part of their regular oversight of the Fund, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory Agreement, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Board concluded that TAM is capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM, and the professional qualifications of the portfolio management team of TAM. The Trustees determined that TAM can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was above the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1-, 3- and 5-year periods. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM, the Board concluded that TAM is capable of generating a level of investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management fee for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its expense group and universe and the Transamerica Partners Institutional Fund’s contractual management fee was above the median for its expense group and in line with the median for its expense universe. The total expenses of the Transamerica Partners Fund were above the medians for its expense group and universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its expense group and above the median for its expense universe. Based on their review, the Trustees determined that the management fee of the Portfolio generally is appropriate in light of the services expected to be provided or procured, and the anticipated
163
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
profitability of the relationship between the Portfolio and TAM and its affiliates. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM, in the future.
Benefits to TAM and its affiliates from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM and its affiliates from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement, including the fees payable thereunder, was fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement for the Portfolio.
Inflation-Protected Securities. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Inflation-Protected Securities Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and BlackRock Financial Management, Inc. (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the
164
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008, noting that the Portfolio changed its name and investment objective on May 1, 2007 and that Lipper discarded the prior track record of the funds for performance comparison purposes. The Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1-year period and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1-year period. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were above the medians for its peer group and peer universe and the total expenses of the Transamerica Partners Institutional Fund were above the medians for its peer group and peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
165
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
Core Bond. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Core Bond Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and BlackRock Financial Management, Inc. (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to
166
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1- and 3-year periods and above the median for the past 5-year period. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the
167
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
Total Return Bond. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Total Return Bond Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: Western Asset Management Company and Western Asset Management Company Ltd. (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review,
168
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Advisers’ investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Advisers are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Advisers. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008, noting that the Portfolio’s inception date was in May 2005. The Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1- and 3-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1- and 3-year periods. The Trustees discussed the reasons for the underperformance TAM, and agreed that they would continue to monitor the performance of the Portfolio closely. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and universe. The total expenses of the Transamerica Partners Fund were below the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the
169
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
High Yield Bond. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners High Yield Bond Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and Eaton Vance Management (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at
170
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was above below the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods. The Trustees discussed the reasons for the underperformance with TAM, and agreed to continue to monitor the performance of the Portfolio closely. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was
171
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
Balanced. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Balanced Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: Goldman Sachs Asset Management, L.P., Western Asset Management Company and Western Asset Management Company Ltd. (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review,
172
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Advisers’ investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was above the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1-year period, in line with the median for the past 3-year period and below the median for the past 5-year period. The Trustees discussed the reasons for the underperformance with TAM, and agreed that they would continue to monitor the performance of the Portfolio closely. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was in line with the median for its peer group and above the median for its peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were below the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the medians for its peer group and peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
173
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
Large Value. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Large Value Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), to determine whether the agreement should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM such information as they deemed reasonably necessary to evaluate the agreement. The Trustees also carefully considered information they had previously received from TAM as part of their regular oversight of the Fund, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory Agreement, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its
174
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Board concluded that TAM is capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM, and the professional qualifications of the portfolio management team of TAM. The Trustees determined that TAM can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM, the Board concluded that TAM is capable of generating a level of investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management fee for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the median for its expense group and in line with the median for its expense universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its expense group and universe. The total expenses of the Transamerica Partners Fund were below the median for its expense group and in line with the median for its expense universe and the total expenses of the Transamerica Partners Institutional Fund were below the medians for its expense group and universe. Based on their review, the Trustees determined that the management fee of the Portfolio generally is appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio and TAM and its affiliates. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM, in the future.
Benefits to TAM and its affiliates from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM and its affiliates from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
175
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement, including the fees payable thereunder, was fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement for the Portfolio.
Value. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Value Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and Hotchkis and Wiley Capital Management, LLC (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and
176
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008, noting that the Portfolio’s inception date was in May 2005. The Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1- and 3-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1- and 3-year periods. The Trustees discussed the reasons for the underperformance with TAM, noting the deeper value bias inherent in the Portfolio’s strategy and its impact on performance. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was in line with the median for its peer group and above the median for its peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were below the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the medians for its peer group and peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
177
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
Large Core. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Large Core Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: Aronson+Johnson+Ortiz, LP and BlackRock Financial Management, Inc. (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Advisers’ investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-
178
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Advisers are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Advisers. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s that the contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
179
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
Large Growth. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Large Growth Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: Marsico Capital Management, LLC, OFI Institutional Asset Management, Inc. and Wellington Management Company, LLP (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a
180
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Advisers are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Advisers. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1- and 5-year periods and below the median for the past 3-year period. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were in line with median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below medians for its peer group and peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio. The Board also noted that the Sub-Advisers are participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit
181
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Advisers may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
Growth. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Growth Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and Turner Investment Partners, Inc. (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital
182
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5- year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5- year periods. The Trustees discussed the reasons for the underperformance with TAM, and agreed to continue to monitor the performance of the Portfolio closely. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and universe and the Transamerica Partners Institutional Fund’s contractual management fee was above the median for its peer group and in line with median for its peer universe. The total expenses of the Transamerica Partners Fund were below the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its
183
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
relationship with the Portfolio. The Board also noted that the Sub-Adviser is participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Adviser may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
Mid Value. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Mid Value Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: Cramer Rosenthal McGlynn, LLC, LSV Asset Management and RiverSource Investments, LLC (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and each Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among
184
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Advisers’ investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Advisers are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Advisers. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1- and 3-year periods and above the median for the past 5-year period and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1- year period and above the median for the past 3- and 5-year periods. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the medians for its peer group and peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine
185
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio. The Board also noted that two of the Sub-Advisers (Cramer Rosenthal McGlynn, LLC and RiverSource Investments, LLC) are participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Advisers may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
Mid Growth. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Mid Growth Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and Columbus Circle Investors (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at
186
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was above the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1-, 3- and 5-year periods. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the median for its peer group and in line with the median for its peer universe. The total expenses of the Transamerica Partners Fund were above the medians for its peer group and peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the medians for its peer group and peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the
187
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio. The Board also noted that the Sub-Adviser is participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Adviser may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
Small Value. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Small Value Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: Mesirow Financial Investment Management, Inc. and OFI Institutional Asset Management, Inc. (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review,
188
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Advisers’ investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Advisers are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Advisers. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was above the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1-year period, in line with the median for the past 3-year period and below the median for the past 5-year period. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the median for its peer group and in line with the median for its peer universe. The total expenses of the Transamerica Partners Fund were below the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the
189
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio. The Board also noted that one of the Sub-Advisers (Mesirow Financial Investment Management, Inc.) is participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Adviser may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
Small Core. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Small Core Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreements”) of the Portfolio between TAM and the following sub-advisers: INVESCO Institutional (N.A.), Inc. and Wellington Management Company, LLP (each a “Sub-Adviser” and collectively the “Sub-Advisers”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreements through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Advisers such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Advisers. The Trustees also carefully considered information they had previously received from TAM and the Sub-Advisers as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund
190
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Advisers to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Advisers’ investment approaches for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Advisers and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Advisers are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Advisers for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Advisers, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Advisers. The Trustees determined that TAM and the Sub-Advisers can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was in line with the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was in line with the median for its peer universe for the past 1-year period and below the median for the past 3- and 5-year periods. The Trustees agreed that they would continue to monitor the performance of the Portfolio closely. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Advisers, the Board concluded that TAM and the Sub-Advisers are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the median for its peer group and peer universe and the Transamerica Partners Institutional Fund’s contractual management fee was in line with the median for its peer group and below the median for its peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with median for its peer universe. Based on their review, the Trustees determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the
191
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
Portfolio, TAM and its affiliates, and the Sub-Advisers. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Advisers, in the future.
Benefits to TAM, its affiliates, or the Sub-Advisers from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Advisers from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio. The Board also noted that one of the Sub-Advisers (Wellington Management Company, LLP) is participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Adviser may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Advisers. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreements, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreements for the Portfolio.
Small Growth. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners Small Growth Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), as well as the renewal of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) of the Portfolio between TAM and Perimeter Capital Partners LLC (the “Sub-Adviser”), to determine whether the agreements should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement and Sub-Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM and the Sub-Adviser such information as they deemed reasonably necessary to evaluate the agreements, including information about fees and performance of comparable funds managed by the Sub-Adviser. The Trustees also carefully considered information they had previously received from TAM
192
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
and the Sub-Adviser as part of their regular oversight of the Portfolio, as well as comparative fee, expense, and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory and Sub-Advisory Agreements, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM and the Sub-Adviser to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Trustees also reviewed the Sub-Adviser’s investment approach for the Portfolio. The Trustees noted that they receive, on a quarterly basis, an execution analysis from Capital Institutional Services, Inc. (CAPIS), an independent provider of trade analyses, for the Sub-Adviser and a comparison of trading results against a peer universe of managers. The Board concluded that TAM and the Sub-Adviser are capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM and the Sub-Adviser for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM and the Sub-Adviser, TAM’s management oversight process and the professional qualifications of the portfolio management team of the Sub-Adviser. The Trustees determined that TAM and the Sub-Adviser can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was above the median for its peer universe for the past 1- and 3-year periods and in line with the median for its peer universe for the past 5-year period and that the Transamerica Partners Institutional Fund’s performance was above the median for its peer universe for the past 1- and 3-year periods and in line with the median for its peer universe for the past 5-year period. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM and the Sub-Adviser, the Board concluded that TAM and the Sub-Adviser are capable of generating a level of investment performance that is appropriate in light of the Portfolio’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management and sub-advisory fees for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its peer group and universe and the Transamerica Partners Institutional Fund’s contractual management fee was below the median for its peer group and in line with median for its peer universe. The total expenses of the Transamerica Partners Fund were in line with the median for its peer group and above the median for its peer universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its peer group and in line with the median for its peer universe. Based on their review, the Trustees
193
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
determined that the management and sub-advisory fees of the Portfolio generally are appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio, TAM and its affiliates, and the Sub-Adviser. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM and fees paid to the Sub-Adviser, in the future.
Benefits to TAM, its affiliates, or the Sub-Adviser from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM, its affiliates, and the Sub-Adviser from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio. The Board also noted that the Sub-Adviser is participating in a brokerage program pursuant to which a portion of brokerage commissions paid by the Portfolio is recaptured for the benefit of the Portfolio and its shareholders, thus limiting the amount of soft dollar arrangements the Sub-Adviser may engage in with respect to the Portfolio’s brokerage transactions.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations and oversee the portfolio management activities of the Sub-Adviser. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement and the Sub-Advisory Agreement, including the fees payable thereunder, were fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement and the Sub-Advisory Agreement for the Portfolio.
International Equity. At a meeting of the Board of Trustees of Transamerica Partners Portfolios (the “Board”) held on June 4, 2009, the Board reviewed and considered the renewal of the investment advisory agreement (the “Investment Advisory Agreement”) between Transamerica Partners International Equity Portfolio (the “Portfolio”) and Transamerica Asset Management, Inc. (“TAM”), to determine whether the agreement should be renewed.
Following their review and consideration, the Trustees determined that the renewal of the Investment Advisory Agreement would enable shareholders of the Portfolio to obtain high quality services at a cost that is appropriate, fair, and in the best interests of Portfolio shareholders. The Board, including the independent members of the Board, unanimously approved the renewal of the Investment Advisory Agreement through June 30, 2010. In reaching their decision, the Trustees requested and obtained from TAM such information as they deemed reasonably necessary to evaluate the agreement. The Trustees also carefully considered information they had previously received from TAM as part of their regular oversight of the Fund, as well as comparative fee, expense,
194
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
and performance information prepared by Lipper Inc. (“Lipper”), an independent provider of mutual fund performance, and fee and expense information and profitability data prepared by management. In considering the proposed continuation of the Investment Advisory Agreement, the Trustees evaluated a number of considerations that they believed, in light of the legal advice furnished to them by independent legal counsel and their own business judgment, to be relevant. In conducting their review, the Trustees noted that the relevant analysis of investment performance, fees and expenses were better made at the level of the Funds that invest in the Portfolio (the Transamerica Partners Fund and Transamerica Partners Institutional Fund), since shareholders could not invest directly in the Portfolio and this is the manner in which Lipper provided its comparative information. They based their decisions on the following considerations, among others, although they did not identify any consideration or particular information that was controlling of their decisions:
The nature, extent and quality of the advisory services to be provided. The Board considered the nature and quality of the services provided by TAM to the Portfolio in the past, as well as the services anticipated to be provided in the future. The Board concluded that TAM is capable of providing high quality services to the Portfolio, as indicated by the nature and quality of services provided in the past by TAM for this Portfolio and the experience, capability and integrity of TAM’s senior management, the financial resources of TAM, and the professional qualifications of the portfolio management team of TAM. The Trustees determined that TAM can provide investment and related services that are appropriate in scope and extent in light of the Portfolio’s operations, the competitive landscape of the investment company business and investor needs.
The investment performance of the Portfolio. The Board examined the short and longer-term performance of the Portfolio, including relative performance against a peer universe of comparable mutual funds as prepared by Lipper for various trailing periods ended December 31, 2008. The Board noted that the Transamerica Partners Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods and that the Transamerica Partners Institutional Fund’s performance was below the median for its peer universe for the past 1-, 3- and 5-year periods. On the basis of the Board’s assessment of the nature, extent and quality of advisory services to be provided or procured by TAM, the Board concluded that TAM is capable of generating a level of investment performance that is appropriate in light of the Fund’s investment objectives, policies and strategies and competitive with other investment companies.
The cost of advisory services provided and the level of profitability. The Board reviewed profitability information of TAM’s cost of procuring fund management services, as well as the costs of provision of administration, fund accounting and other services, to the Portfolio and to Transamerica Partners Portfolios as a whole by TAM and its affiliates. The Board reviewed the management fee for the Portfolio. The Trustees noted that the Transamerica Partners Fund’s contractual management fee was above the medians for its expense group and universe and the Transamerica Partners Institutional Fund’s contractual management fee was above the median for its expense group and below the median for its expense universe. The total expenses of the Transamerica Partners Fund were above the medians for its expense group and universe and the total expenses of the Transamerica Partners Institutional Fund were below the median for its expense group and in line with the median for its expense universe. Based on their review, the Trustees determined that the management fee of the Portfolio generally is appropriate in light of the services expected to be provided or procured, and the anticipated profitability of the relationship between the Portfolio and TAM and its affiliates. In making these observations and determinations, the Board reviewed comparative information provided by Lipper.
Whether fee levels reflect economies of scale and the extent to which economies of scale would be realized as the Portfolio grows. The Trustees considered the economies of scale with respect to the management of the Portfolio, whether the Portfolio had appropriately benefited from any economies of scale, and whether there was potential for realization of any further economies of scale. The Trustees considered the absence of breakpoints in the management fee schedule, and concluded the absence of breakpoints was acceptable under the circumstances. The Trustees also concluded that they will have the opportunity to periodically reexamine
195
TRANSAMERICA PARTNERS PORTFOLIOS
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS — CONTRACT RENEWAL (Continued)
June 30, 2009
(Unaudited)
whether the Portfolio has achieved economies of scale, and the appropriateness of management fees payable to TAM, in the future.
Benefits to TAM and its affiliates from their relationship with the Portfolio. The Board concluded that other benefits anticipated to be derived by TAM and its affiliates from their relationships with the Portfolio are expected to be consistent with industry practice and the best interests of the Portfolio and its shareholders. The Trustees noted that TAM would not realize soft dollar benefits from its relationship with the Portfolio.
Other considerations. The Board determined that TAM has made a substantial commitment to the recruitment and retention of high quality personnel, and maintains the financial, compliance and operational resources reasonably necessary to manage the Portfolio in a professional manner that is consistent with the best interests of the Portfolio and its shareholders. In this regard, the Trustees favorably considered the procedures and policies in place by TAM to enforce compliance with applicable laws and regulations. The Trustees also determined that TAM has made a significant entrepreneurial commitment to the management and success of the Portfolio, reflected by TAM’s expense limitation and fee waiver arrangements with the Portfolio, which may result in TAM waiving fees for the benefit of shareholders.
Conclusion. After consideration of the factors described above as well as other factors, the Trustees, including all of the independent members of the Board, concluded that the Investment Advisory Agreement, including the fees payable thereunder, was fair and reasonable and voted to approve the renewal of the Investment Advisory Agreement for the Portfolio.
196
TRANSAMERICA PARTNERS HIGH QUALITY BOND PORTFOLIO
APPROVAL OF NEW INVESTMENT SUB-ADVISORY AGREEMENT
June 30, 2009
(Unaudited)
At a meeting of the Board of Trustees of Transamerica Partners Portfolios held on October 21, 2008, the Board considered approval of a new Investment Subadvisory Agreement with Merganser Capital Management LP (“Merganser”), on behalf of Transamerica Partners High Quality Bond Portfolio (the “New Subadvisory Agreement”) in light of Merganser’s impending acquisition by Annaly Capital Management, Inc. (the “Transaction”).
It was noted that the Transaction would constitute an “assignment” (within the meaning of the 1940 Act) which would result in the termination of the subadvisory agreement with Merganser (referred to as the Prior Subadvisory Agreement). At the Board meeting on October 21, 2008, prior to the close of the Transaction, the Board approved the New Subadvisory Agreement with Merganser. Discussed below are some of the material factors considered by the Board in approving the New Subadvisory Agreement.
The Board considered information with respect to Merganser, the rationale, structure and expected results of the Transaction and whether the New Subadvisory Agreement was in the best interests of the Portfolio and its holders of beneficial interests.
The Board considered that the Portfolio’s portfolio management team was not expected to change as a result of the Transaction. The Board also noted that, other than the effective and termination dates, the New Subadvisory Agreement was substantially identical to the Prior Subadvisory Agreement. In its deliberations, the Board also considered information that had been received by the Board in its most recent approval of the Prior Subadvisory Agreement, in addition to information provided in connection with the Board’s evaluation of the terms and conditions of the New Subadvisory Agreement.
Based upon its review and the representations made to it, the Board, including all of the Independent Board Members, concluded that (a) the terms of the New Subadvisory Agreement were reasonable, fair and in the best interests of the Portfolio and its holders of beneficial interests, and (b) the fees provided in the New Subadvisory Agreement were fair and reasonable in light of the usual and customary charges made for services of the same nature and quality. Accordingly, after consideration of the above factors, and such other factors and information as it deemed relevant, the Board, including all of the Independent Board Members, approved the New Subadvisory Agreement.
197
TRANSAMERICA FINANCIAL LIFE INSURANCE COMPANY
4 Manhattanville Rd.
Purchase, New York 10577
2875 (8/09)
Item 1: Report(s) to Stockholders.
The Semi-Annual Report is attached.
Item 2: Code of Ethics.
Not applicable for semi-annual reports.
Item 3: Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4: Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5: Audit Committee of Listed Registrant.
Not applicable for semi-annual reports.
Item 6: Investments.
The schedules of investments are included in the Semi-Annual report to shareholders filed under Item 1 of this Form N-CSR.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that have been implemented since the Registrant last provided disclosure in response to the requirements of this Item.
Item 11: Controls and Procedures.
| | (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 the Registrant in |
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| | | | 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. |
Item 12: Exhibits.
| (a) | (1) | Not Applicable |
| |
| | (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 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. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | | |
| | Transamerica Asset Allocation Variable Funds
(Registrant)
| |
| | By: | /s/ John K. Carter | |
| | | John K. Carter | |
| | | Chief Executive Officer | |
| | Date: August 28, 2009 |
| |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | | | | |
| | | |
| By: | /s/ John K. Carter | | |
| | John K. Carter | | |
| | Chief Executive Officer | | |
| Date: August 28, 2009 | | |
| |
| | | |
| By: | /s/ Joseph P. Carusone | | |
| | Joseph P. Carusone | | |
| | Principal Financial Officer | | |
| Date: August 28, 2009 | | |
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EXHIBIT INDEX
| | | |
| Exhibit No. | | Description of Exhibit |
| 12(a)(2)(i) | | Section 302 N-CSR Certification of Chief Executive Officer |
| 12(a)(2)(ii) | | Section 302 N-CSR Certification of Principal Financial Officer |
| 12(b) | | Section 906 N-CSR Certification of Chief Executive Officer and Principal Financial Officer |
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